UniCredit S.p.A.
Annual Report 2021

Plain-text annual report

Unlock your potential 2021 Annual Reports and Accounts   This document, PDF format, does not fulfill the obligations deriving from Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 (the "ESEF Regulation" - European Single Electronic Format) for which a dedicated XHTML format has been prepared. This document, PDF format, does not fulfill the obligations deriving from Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 (the "ESEF Regulation" - European Single Electronic Format) for which a dedicated XHTML format has been prepared. This document, PDF format, does not fulfill the obligations deriving from Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 (the "ESEF Regulation" - European Single Electronic Format) for which a dedicated XHTML format has been prepared. This document, PDF format, does not fulfill the obligations deriving from Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 (the "ESEF Regulation" - European Single Electronic Format) for which a dedicated XHTML format has been prepared. This document, PDF format, does not fulfill the obligations deriving from Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 (the "ESEF Regulation" - European Single Electronic Format) for which a dedicated XHTML format has been prepared. Fine-tuning the skills of tomorrow: through RenewAcad, UniCredit Bank Romania helped over a thousand miners to retrain as specialists in wind energy and electricity distribution – thereby supporting the transition. Our Clients Wind Power Energy Romania Curious to know more? Check out the entire story (and others) on annualreport.unicredit.eu/en  Contents UniCredit · 2021 Annual Report and Accounts 3 Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 5 Letter from the Chairman 8 Letter from Chief Executive Officer 12 Preliminary notes 67 CONSOLIDATED REPORT AND ACCOUNTS 2021 OF UNICREDIT GROUP 71 COMPANY REPORT AND ACCOUNTS 2021 OF UNICREDIT S.P.A. 559 Incorporations of qualitative information by reference 825 Glossary 831 Contacts 841 Notes The following conventional symbols have been used in the tables: a dash (-) indicates that the item/figure is non-existent; two stops (..) or “n.m.” when the figures do not reach the minimum considered significant or are not meaningful; “n.a.” indicates that the figure is not available. Any discrepancy amoung data is solely due to the effect of rounding. Contents UniCredit · 2021 Annual Report and Accounts 3 Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 5 Letter from the Chairman 8 Letter from Chief Executive Officer 12 Preliminary notes 67 CONSOLIDATED REPORT AND ACCOUNTS 2021 OF UNICREDIT GROUP 71 COMPANY REPORT AND ACCOUNTS 2021 OF UNICREDIT S.P.A. 559 Incorporations of qualitative information by reference 825 Glossary 831 Contacts 841 Notes The following conventional symbols have been used in the tables: a dash (-) indicates that the item/figure is non-existent; two stops (..) or “n.m.” when the figures do not reach the minimum considered significant or are not meaningful; “n.a.” indicates that the figure is not available. Any discrepancy amoung data is solely due to the effect of rounding. Contents UniCredit · 2021 Annual Report and Accounts 3 Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 5 Letter from the Chairman 8 Letter from Chief Executive Officer 12 Preliminary notes 67 CONSOLIDATED REPORT AND ACCOUNTS 2021 OF UNICREDIT GROUP 71 COMPANY REPORT AND ACCOUNTS 2021 OF UNICREDIT S.P.A. 559 Incorporations of qualitative information by reference 825 Glossary 831 Contacts 841 Notes The following conventional symbols have been used in the tables: a dash (-) indicates that the item/figure is non-existent; two stops (..) or “n.m.” when the figures do not reach the minimum considered significant or are not meaningful; “n.a.” indicates that the figure is not available. Any discrepancy amoung data is solely due to the effect of rounding. Contents UniCredit · 2021 Annual Report and Accounts 3 Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 5 Letter from the Chairman 8 Letter from Chief Executive Officer 12 Preliminary notes 67 CONSOLIDATED REPORT AND ACCOUNTS 2021 OF UNICREDIT GROUP 71 COMPANY REPORT AND ACCOUNTS 2021 OF UNICREDIT S.P.A. 559 Incorporations of qualitative information by reference 825 Glossary 831 Contacts 841 Notes The following conventional symbols have been used in the tables: a dash (-) indicates that the item/figure is non-existent; two stops (..) or “n.m.” when the figures do not reach the minimum considered significant or are not meaningful; “n.a.” indicates that the figure is not available. Any discrepancy amoung data is solely due to the effect of rounding. Contents UniCredit · 2021 Annual Report and Accounts 3 Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 5 Letter from the Chairman 8 Letter from Chief Executive Officer 12 Preliminary notes 67 CONSOLIDATED REPORT AND ACCOUNTS 2021 OF UNICREDIT GROUP 71 COMPANY REPORT AND ACCOUNTS 2021 OF UNICREDIT S.P.A. 559 Incorporations of qualitative information by reference 825 Glossary 831 Contacts 841 Notes The following conventional symbols have been used in the tables: a dash (-) indicates that the item/figure is non-existent; two stops (..) or “n.m.” when the figures do not reach the minimum considered significant or are not meaningful; “n.a.” indicates that the figure is not available. Any discrepancy amoung data is solely due to the effect of rounding.  I 4 2021 Annual Report and Accounts · UniCredit UniCredit S.p.A. A joint stock company Registered Office and Head Office: Piazza Gae Aulenti, 3 - Tower A - 20154 Milano, Italy Share capital €21,133,469,082.48 fully paid in Registered in the Register of Banking Groups and Parent Company of the UniCredit Banking Group, with cod. 02008.1 Cod. ABI 02008.1 Fiscal Code, VAT number and Registration number with the Company Register of Milan-Monza-Brianza-Lodi: 00348170101 Member of the National Interbank Deposit Guarantee Fund and of the National Compensation Fund Stamp duty paid virtually, if due - Auth. Agenzia delle Entrate, Ufficio di Roma 1, No.143106/07 of 12.21.2007 I 4 2021 Annual Report and Accounts · UniCredit UniCredit S.p.A. A joint stock company Registered Office and Head Office: Piazza Gae Aulenti, 3 - Tower A - 20154 Milano, Italy Share capital €21,133,469,082.48 fully paid in Registered in the Register of Banking Groups and Parent Company of the UniCredit Banking Group, with cod. 02008.1 Cod. ABI 02008.1 Fiscal Code, VAT number and Registration number with the Company Register of Milan-Monza-Brianza-Lodi: 00348170101 Member of the National Interbank Deposit Guarantee Fund and of the National Compensation Fund Stamp duty paid virtually, if due - Auth. Agenzia delle Entrate, Ufficio di Roma 1, No.143106/07 of 12.21.2007 I 4 2021 Annual Report and Accounts · UniCredit UniCredit S.p.A. A joint stock company Registered Office and Head Office: Piazza Gae Aulenti, 3 - Tower A - 20154 Milano, Italy Share capital €21,133,469,082.48 fully paid in Registered in the Register of Banking Groups and Parent Company of the UniCredit Banking Group, with cod. 02008.1 Cod. ABI 02008.1 Fiscal Code, VAT number and Registration number with the Company Register of Milan-Monza-Brianza-Lodi: 00348170101 Member of the National Interbank Deposit Guarantee Fund and of the National Compensation Fund Stamp duty paid virtually, if due - Auth. Agenzia delle Entrate, Ufficio di Roma 1, No.143106/07 of 12.21.2007 I 4 2021 Annual Report and Accounts · UniCredit UniCredit S.p.A. A joint stock company Registered Office and Head Office: Piazza Gae Aulenti, 3 - Tower A - 20154 Milano, Italy Share capital €21,133,469,082.48 fully paid in Registered in the Register of Banking Groups and Parent Company of the UniCredit Banking Group, with cod. 02008.1 Cod. ABI 02008.1 Fiscal Code, VAT number and Registration number with the Company Register of Milan-Monza-Brianza-Lodi: 00348170101 Member of the National Interbank Deposit Guarantee Fund and of the National Compensation Fund Stamp duty paid virtually, if due - Auth. Agenzia delle Entrate, Ufficio di Roma 1, No.143106/07 of 12.21.2007 I 4 2021 Annual Report and Accounts · UniCredit UniCredit S.p.A. A joint stock company Registered Office and Head Office: Piazza Gae Aulenti, 3 - Tower A - 20154 Milano, Italy Share capital €21,133,469,082.48 fully paid in Registered in the Register of Banking Groups and Parent Company of the UniCredit Banking Group, with cod. 02008.1 Cod. ABI 02008.1 Fiscal Code, VAT number and Registration number with the Company Register of Milan-Monza-Brianza-Lodi: 00348170101 Member of the National Interbank Deposit Guarantee Fund and of the National Compensation Fund Stamp duty paid virtually, if due - Auth. Agenzia delle Entrate, Ufficio di Roma 1, No.143106/07 of 12.21.2007  Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 UniCredit · 2021 Annual Report and Accounts 5 Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 Board of Directors Pietro Carlo Padoan Chairman Lamberto Andreotti Deputy Vice Chairman Andrea Orcel CEO Vincenzo Cariello Directors Elena Carletti Jayne-Anne Gadhia Jeffrey Alan Hedberg Beatriz Lara Bartolomé Luca Molinari Maria Pierdicchi Francesca Tondi Renate Wagner Alexander Wolfgring Gianpaolo Alessandro Secretary of the Board of Directors Board of Statutory Auditors Marco Rigotti Chairman Antonella Bientinesi Standing Auditors Angelo Rocco Bonissoni Benedetta Navarra Guido Paolucci Stefano Porro Manager in charge of preparing the financial reports Deloitte & Touche S.p.A. External Auditors Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 UniCredit · 2021 Annual Report and Accounts 5 Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 Board of Directors Pietro Carlo Padoan Chairman Lamberto Andreotti Deputy Vice Chairman Andrea Orcel CEO Vincenzo Cariello Directors Elena Carletti Jayne-Anne Gadhia Jeffrey Alan Hedberg Beatriz Lara Bartolomé Luca Molinari Maria Pierdicchi Francesca Tondi Renate Wagner Alexander Wolfgring Gianpaolo Alessandro Secretary of the Board of Directors Board of Statutory Auditors Marco Rigotti Chairman Antonella Bientinesi Standing Auditors Angelo Rocco Bonissoni Benedetta Navarra Guido Paolucci Stefano Porro Manager in charge of preparing the financial reports Deloitte & Touche S.p.A. External Auditors Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 UniCredit · 2021 Annual Report and Accounts 5 Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 Board of Directors Pietro Carlo Padoan Chairman Lamberto Andreotti Deputy Vice Chairman Andrea Orcel CEO Vincenzo Cariello Directors Elena Carletti Jayne-Anne Gadhia Jeffrey Alan Hedberg Beatriz Lara Bartolomé Luca Molinari Maria Pierdicchi Francesca Tondi Renate Wagner Alexander Wolfgring Gianpaolo Alessandro Secretary of the Board of Directors Board of Statutory Auditors Marco Rigotti Chairman Antonella Bientinesi Standing Auditors Angelo Rocco Bonissoni Benedetta Navarra Guido Paolucci Stefano Porro Manager in charge of preparing the financial reports Deloitte & Touche S.p.A. External Auditors Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 UniCredit · 2021 Annual Report and Accounts 5 Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 Board of Directors Pietro Carlo Padoan Chairman Lamberto Andreotti Deputy Vice Chairman Andrea Orcel CEO Vincenzo Cariello Directors Elena Carletti Jayne-Anne Gadhia Jeffrey Alan Hedberg Beatriz Lara Bartolomé Luca Molinari Maria Pierdicchi Francesca Tondi Renate Wagner Alexander Wolfgring Gianpaolo Alessandro Secretary of the Board of Directors Board of Statutory Auditors Marco Rigotti Chairman Antonella Bientinesi Standing Auditors Angelo Rocco Bonissoni Benedetta Navarra Guido Paolucci Stefano Porro Manager in charge of preparing the financial reports Deloitte & Touche S.p.A. External Auditors Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 UniCredit · 2021 Annual Report and Accounts 5 Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2021 Board of Directors Pietro Carlo Padoan Chairman Lamberto Andreotti Deputy Vice Chairman Andrea Orcel CEO Vincenzo Cariello Directors Elena Carletti Jayne-Anne Gadhia Jeffrey Alan Hedberg Beatriz Lara Bartolomé Luca Molinari Maria Pierdicchi Francesca Tondi Renate Wagner Alexander Wolfgring Gianpaolo Alessandro Secretary of the Board of Directors Board of Statutory Auditors Marco Rigotti Chairman Antonella Bientinesi Standing Auditors Angelo Rocco Bonissoni Benedetta Navarra Guido Paolucci Stefano Porro Manager in charge of preparing the financial reports Deloitte & Touche S.p.A. External Auditors At a glance UniCredit is a pan-European Commercial Bank with a unique service offering in Italy, Germany, Central and Eastern Europe. Our purpose is to empower communities to progress, delivering the best-in-class for all stakeholders, unlocking the potential of our clients and our people across Europe. We serve over 15 million customers in a cohesive manner worldwide. They are at the heart of what we do in all our markets. OUR ORGANIZATION 4 Coverage regions 2 Product factories serving all regions 1 Leaner Corporate Centre embedding Digital & Data s e an d V a l u D a t a rinciples Digital& orporate S o l u Italy P C i o n s t Ger m a n y C e n t r a l E urope E a e p s n s t e rn Euro al Solutio u d v i I n d i 6 2021 Annual Reports and Accounts · UniCredit CORE MARKETS OUR CLIENTS, OUR COMMUNITIES, OUR PEOPLE Our new strategy UniCredit Unlocked puts clients back at the centre, connecting them to their bank in a unified way across Europe. We are their gateway to Europe. We have a harmonised service model, simplifying our processes and establishing a common organisational structure across our business to connect our clients to our 13 banks and 4 regions in a unified way across Europe. Digitalisation and our commitment to ESG principles are key enablers for our service. They help us deliver excellence to our stakeholders and creating a sustainable future for our clients, our communities and our people. The diversity, knowledge and talent of our 87,000 people are the levers to go above and beyond for our clients. This will allow us to deliver all our ambitions. Financial Highlights FY21 COMMERCIAL RESULTS DEMONSTRATING THE INHERENT VALUE OF THE FRANCHISE CONNECTING OVER 15M CLIENTS ACROSS EUROPE ~14 M RETAIL CLIENTS ~1 M CORPORATE CLIENTS CROSS BORDER PAYMENTS MARKET SHARE: C. 2X INTRA COUNTRY THROUGH A UNIQUE AND DIVERSE TALENT BASE PRESENCE IN BoD PRESENCE IN GEC International mindset1 Outside of head office country 38% 53% 14 Employees Resource Groups (LGBTI, Gender, Disability, Culture, Generations) Gender balance1 Female 46% 40% 33% Presence in leadership team 13 BANKS EMBEDDED IN THE FABRIC OF EUROPE2 #2 ITALY #3 GERMANY #2 CENTRAL EUROPE #1 EASTERN EUROPE 1. Calculated in FTEs. 2. Ranking by total assets. Germany only Private Banks. Italian and German Peers last available update as of 3Q21; Positioning vs other main Peers in CE region is as of 3Q21; ERSTE Austria in CE perimeter ranking consists of ErsteBank Oesterreich & Subsidiaries, Savings banks and Other Austria; Positioning vs other main Peers in EE region is as of 3Q21. REVENUES (%)3 12% 48% 24% 16% Italy Germany Central Europe Eastern Europe ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE Net profit4 FY21, bn GOP3 ∆% vs. FY20 2.0 0.8 0.9 0.8 +8.1% +28.4% At constant FX +12.6% At constant FX +0.2% OUR FINANCIAL RESULTS SHOWED POSITIVE MOMENTUM 3. Revenues by region: Italy excl. PC_CE, PC_EE, PC_Russia, Germany Subgroup. 4. The net profit is the stated net profit (for 2021 Underlying net profit) adjusted for AT1 coupons, Cashes related payments and impacts from DTAs from tax loss carry forward sustainability test. GROW Revenues: 18bn exceeding guidance STRENGTHEN Non Core rundown completed CET1 ratio: 15.03% DISTRIBUTE OPTIMISE Proposed shareholder distribution: 3.75bn Cost: 9.8bn exceeding guidance UniCredit · 2021 Annual Reports and Accounts 7 Letter from the Chairman “ Each new challenge is a new opportunity. And to believe in new opportunities is to believe in change. This is the reason we have adopted a long-term strategy which is already delivering results above expectations. PIETRO CARLO PADOAN CHAIRMAN UNICREDIT S.P.A. Dear Stakeholders, It is my pleasure to write to you as Chairman of the UniCredit Board. It is a privilege to be part of this great bank, a group that is truly diverse in terms of skills, nationalities and gender, as shown by our recent first place award in the 2021 Best Practice Leaders Italy ranking by the European Women on Boards network. I would like to extend my thanks to you all for the welcome you have given both me and our new CEO, Andrea Orcel, since our arrival in April. There is an adage that every challenge is an opportunity, but recent events have given this a new resonance. We are yet to fully see the impact of the war in Ukraine but we know it will be seismic. Europe has already seen immense change since March 2020, with Covid-19 driving change at an unprecedented pace. The pandemic has accelerated the digitalisation process within public and private sectors, further strengthened a customer-centric approach, and prompted a renewed focus on ESG issues as part of a path to a sustainable future. Our industry plays a decisive role in each of these areas. The pandemic has reminded us in many ways what the banking system can and should do when challenged. First, to help manage the aftermath of economic shock, and then, to return to its fundamental role, filling the gap between savings and investments. This has not been – and will continue not to be – easy or straightforward. But each new challenge is a new opportunity. And to believe in new opportunities is to believe in change: to believe that what is coming can be better than what has come before. It is a privilege of those in the banking industry to know that we can help create a better future. And we must. We must do so by returning to our fundamental roles of helping manage the allocation of resources and providing expertise to those in need – whether individuals, households, or companies. In doing so, we will support society through the post Covid-19 transition and through the current conflict. The action taken by European institutions in terms of increasing both economic support, and humanitarian aid, is critical if we are to rebuild better than before. This means providing the best expertise possible, whilst always acting in the interests of our clients. It means supporting the allocation of resources in a way that is sustainable and in the interests of society for the long-term. Practically speaking, this equates to a focus on ESG – and an equal focus on each of the Environmental, Social, and Governance priorities. We, as banks are uniquely positioned to speed up this shift to a more sustainable way of living and working. Our knowledge of and proximity to our clients mean we can identify the most sustainable sectors and players to support growth over the long-term. And our role in providing financial and advisory support means we can channel resources to the most sustainable investments and strategies. UniCredit · 2021 Annual Reports and Accounts 9 Supporting our clients and communities is our reason for existing, but we should not underestimate the impact of fostering a positive and responsible culture within our own business. UniCredit’s choice to be guided by ESG frameworks and targets, setting appropriate policies to deliver on these, will ultimately be fundamental in building a better Europe. Finally, more generally, the financial sector plays a crucial role in allocating national and public resources, such as the EU Recovery Fund, to trigger environmental and social transformation. Our industry can drive swift change and sustainable recovery across Europe – from the pandemic and, eventually, from the conflict. UniCredit has been no stranger to change this year. We have a new leadership, and a new strategic plan to deliver growth for all our stakeholders. The plan, to unlock the strength within UniCredit, enacts in a small way what we hope to see in Europe. It will identify the potential embedded in our bank and give us the necessary framework to excel in the long-term. I have confidence that the UniCredit leadership team will deliver on this mission. We have already made a strong start, exceeding 2021 key financial guidance, which allows us to offer substantial shareholder returns. As we continue on this path, the Board is committed to providing the requisite oversight and controls to ensure that we are both holding ourselves accountable for all our actions and acting in line with the ECB’s requirements at all times. We have taken significant steps to strengthen our governance in line with the current environment. This includes creating a new ESG Board Committee to ensure this topic remains central to our overall corporate strategy and strengthening our Internal Controls & Risks Committee in line with industry best practices. These are examples of actions taken willingly and proactively because we are invested in success not just for UniCredit, but for all our stakeholders. We know that the successful execution of this plan will impact each of our clients, investors, and regulators. The challenge is to take each of these different perspectives into account and deliver something that enables them all to succeed. The opportunity is for us all. Yours sincerely, PIETRO CARLO PADOAN CHAIRMAN UNICREDIT S.P.A. 10 2021 Annual Reports and Accounts · UniCredit UniCredit Tower Our Headquarter UniCredit Tower in Milan UniCredit · 2021 Annual Reports and Accounts 13 Letter from the Chief Executive Officer “ There is a bold future ahead for UniCredit and we have already embarked upon our journey to get there. What we have accomplished to date – giving our team the framework for success; beginning to unlock UniCredit; and delivering a pathway to sustainable fi nancial growth for our stakeholders – gives me every confi dence that we will achieve all that we have set out to do. ANDREA ORCEL CHIEF EXECUTIVE OFFICER UNICREDIT S.P.A. Dear Stakeholders, When I joined UniCredit early in 2021, I said it felt like coming home. This is true, but it was a home that was relatively unfamiliar. Although I have worked closely with the bank throughout my career, nothing replaces what you discover about a business when you are on the inside. So much of my first few months here was spent taking to our people, our investors, and our regulators, gathering an understanding of the bank and the needs and opinions of our stakeholders. What I found was remarkable and deeply heartening, especially as we began to craft our long-term vision for UniCredit. Our bank is not an institution that needs to be fundamentally changed or rebuilt. We have all the raw ingredients for success: 13 banks across Europe; 87,000 people with a truly international mindset, and 15m clients. We are a truly local bank with a pan-European reach. It would be an honour to be at the helm of such an institution at any time, but it is particular honour at this point in our collective history. Just as Europe was beginning to emerge from the Covid-19 pandemic, we found ourselves facing a crisis of a different nature in Ukraine: conflict the scale of which has not been seen on our continent for generations. As with the pandemic, we must endure these events and emerge from them determined to rebuild: not only to recapture the strength and success we had before, but to go further and do better. Banks have a critical role to play as we do so. Operating correctly, they act as the engines for financial progress – the plumbing which facilitates this recovery and regrowth. They are the key transmission mechanism for our financial system; the deployers of monetary policy; the financers of state projects designed to increase growth, and so much more. As a continent, we need our banks to function well because Europe has been underperforming. Our capital markets are less developed than those of other blocs and our real GDP growth is falling behind others, even before the war. UniCredit is the only pan-European bank. Our true and deep presence across the continent means we are well-positioned to provide this financial plumbing which will help local communities to progress and Europe to succeed. My role is to ensure that we are utilizing our bank’s ingredients properly to achieve the above, as well as our financial objectives: growth, profitability, strength, returns to shareholders, and long-term, sustainable success. When we deliver this, we deliver for our people, giving them a bank to be proud of, and pride in the work they do every day. A team of passionate people, building true partnerships with clients and serving the communities they know well, will be at the heart of our success. UniCredit · 2021 Annual Reports and Accounts 13 These things together will put UniCredit back in the top tier of European banks. Looking beyond our bank, I believe this combination of financial success and empowered people is what will form the basis of Europe’s reestablishment as a leading economic bloc. We have already made significant progress in 2021, working tirelessly with these goals in mind, and we have begun to see the results of such a strategy. 2021 Although we formally announced our strategic plan in December, our action to unlock UniCredit and build the bank for Europe’s future began the moment we stepped through the door in April. We were firmly in execution mode throughout 2021 and much of what we articulated in December was already in flight. This year we have made significant changes to the way UniCredit operates, moving from five siloed business divisions to four coverage regions. We established Italy as a stand-alone territory. We removed unnecessary layers of decision making and empowered the people who really know their clients best to make decisions that concern them, within a clear risk framework. We unified our view of our clients, ensuring that they are grouped in the same way across all regions. We developed two new, best-in-class product factories to serve these clients: corporate solutions and individual solutions. And we started rationalizing and transforming our technology. In 2021 we saw the first signs of success from this strategy. Our Q4 results announced underlying net profit more than tripled compared to 2020 and net revenues were up 34% year on year. Win. The right way. Together. We should not underestimate the potential impact of us delivering on this strategy. Doing so will have repercussions – both financial and social – across the continent. This is what we mean when we say empowering communities to progress, and it is this that equates to helping Europe recover and rebuild post-pandemic and, eventually, post-conflict. 14 2021 Annual Reports and Accounts · UniCredit The most important factor that will determine whether we deliver on our ambitions is the presence of an engaged, empowered and driven team around us. It is their unique understanding of our clients that will enable us to deliver for them and, in turn, deliver on all of our ambitions. We are committed to giving them the inspiration, passion, and ambition to do their very best and go above and beyond for our clients. We have taken measures to do so this year, defining our collective mindset as Win. The Right Way. Together. We want our people to be driven to succeed for our clients and for themselves: ambition is not something we shy away from. We want them to do so in the right way, in a way that adheres to our values of Integrity, Caring and Ownership, and we want them to do so in partnership with one another and with our clients. This mindset will drive all the decisions we take and provide the requisite attitude for long- term, sustainable success. We have started a Courageous Voices campaign, to encourage our team to speak up, in all different settings. Our team are our most important asset and we must listen to their ideas and different perspectives to ensure we are working as a united group, moving in the same direction with shared goals. Our success will be a direct reflection of theirs. There is an inextricable connection between a businesses’ financial success and an engaged team working to deliver a clear purpose. This is explicit in our plan, which sets out our dual goals of providing such a purpose and delivering a return on tangible equity of around 10%, annual net revenue growth of 2%, and a distribution of at least €16bn over 2021-2024, in spite of significant investment in our future – in our people as well as in our technology. 2021 RoTE of 7.3% STRATEGIC AMBITIONS RoTE of c.10% by 2024 9.8bn costs Cost base stable, self-funding investment in the business 200 bps Meaningful organic capital generation 16.3bn net revenue Net revenue +34% FY/FY, with increasing capital-light component 9.4bn costs 2024 0.4bn cost reduction, net of 0.6bn investment and 0.5bn inflation c.150 bps Organic capital generation per annum 1.1bn Incremental net revenue mostly driven by fees Proposed distribution 3.75bn Sustainable distribution (cid:138)(cid:108)(cid:113)bn 2021-24 UniCredit · 2021 Annual Reports and Accounts 15 UniCredit Unlocked UniCredit Unlocked is a plan designed to deliver for all our stakeholders: investors, employees, and clients. It is a long-term plan for our business. For obvious reasons, key metrics are based on 2021-2024, but this is just one milestone. True success will be measured by how well the plan sets us up for success beyond this date. It is a plan designed to ensure we are ready for the future and, more importantly, ready to serve our clients of the future. We have bold ambitions to make UniCredit a truly digital bank, powered by data in all we do, investing 2.8bn in this area and making 3,600 new hires to help us on this journey. Any plan for the long-term must have ESG at heart. Our commitment to sustainability and positive action across all three pillars of ESG will be a guiding force in each and every one of our actions and decisions. ESG is about actions, not words, for both our own business and in the support of our clients and communities as they embark on their own transitions. We are committed to maintaining the highest standards within UniCredit across each of Environmental, Social and Governance, and to expecting and asking nothing less from our clients too. Balancing these objectives will not always be straightforward. This is a journey, one which will not be complete overnight, but we will embody these principles every single day, working to do better and be better, until we get there. We have committed to target net-zero by 2030 for our own emissions and have reduced our greenhouse gas emissions by 32% since 2017 (market based). We have contributed 36m to corporate citizenship and philanthropic initiatives, and to the education of 123,000 young people; and are investing 100m to ensuring equal gender pay, which means equal pay for equal jobs. The UniCredit Foundation continued its excellent work, donating €2.4m in Covid-19 relief to tackle hunger, providing over €1m to social solidarity projects and over €1m to support research, study and scholarship grants, whilst also providing €650,000 in match gifting to support our own employees’ charitable contributions. ENVIRONMENT SOCIAL Greenhouse gas emissions 32% reduction vs. 2017, market-based Renewable energy 80% use on our premises Plastic-free Net Zero by 2030 100% ITA 100% GER 98% AUT No single-use plastic items in UniCredit buildings by end of 2022 Corporate citizenship and philanthropic initiatives 36m contribution to communities Education and impact 123k young people educated 3.7m direct and indirect beneficiaries of social financing GOVERNANCE Global policies • ESG policies, statements and commitments • • Human capital policies and joint declarations Compliance key policies Strong diversity and inclusion framework 46% female BoD 40% female GEC 33% female Leadership team Actions on gender pay gap 16 2021 Annual Reports and Accounts · UniCredit Our financial ambition to unlock UniCredit is based on six pillars, designed to deliver sustainable performance and profitable growth through the cycle. We optimise UniCredit by improving both our operational and our capital efficiency, enabling us to invest these resources into our business, with a key focus on digital and data. The focus of our plan is delivering growth, at an accelerated rate from 2022, reaching a return on tangible equity of around 10% in 2024 and aiming to surpass it thereafter. This strengthened business will distribute at least €16bn over the next four years in a sustainable fashion. Shareholder distribution (cid:138)(cid:108)(cid:113)(cid:32)(cid:44) Consistent with our organic capital generation DISTRIBUTE OPTIMISE Operational efficiency: 1.5bn gross cost savings o/w Digital & Data: 0.4bn rationalisation Capital efficiency: c.130bps gross saving CET1 ratio: 12.5-13% Organic capital generation o/w Net profit: >130bps p.a. o/w RWA evolution: 20bps p.a. NPE ratio (2024) Gross: c.3.5% Net: c.1.8% STRENGTHEN THE BANK FOR EUROPE’S FUTURE INVEST Digital & Data transformation: 2.8bn New hires in Business, Digital & Data: (cid:110).(cid:113)(cid:41) Targeted growth initiatives including ESG RoTE: c.10% (2024) RETURN GROW Net revenue 2% o/w Fees 4% Net profit 10% EpS >15% (2021-24 CAGR) We have three interconnected levers that will drive returns over the coming years. Cost THE BANK FOR EUROPE’S FUTURE Capital TOTAL COSTS Deliver a lower absolute cost base while funding digital transformation and investing in the business ALLOCATED CAPITAL Optimal capital allocation and active portfolio management driven by RoTE maximisation Levers largely under management control Net Revenue REVENUE MINUS LLP Driven by revenue that delivers profitability above the Cost of Equity and recovery of natural market share with risk discipline Revenue mix and stable Cost of Risk largely under management control UniCredit · 2021 Annual Reports and Accounts 17 By managing the interaction of these three levers, we can optimally balance growth, strength and profitability. RoTE walk All figures in % >7 c.1 c.1 c.1 >0 c.10 RoTE 2021 Cost Capital Net Revenue Other RoTE 2024 Contribution to RoTE increase 40% 30% 30% RoTE evolution All figures in % 2022 net profit guidance, >3.3bn, in line with 2021 (cid:113).(cid:114) 9.0 >7.0 c.10 Stated RoTE RoTE 1.7 -5.4 2019 2020 2021 2022 2023 2024 Future Focus I do not want to underestimate the incline of the path ahead, but I also want to stress the scale of what I believe is possible if UniCredit unlocks its potential and operates in the right way. When our bank’s clearly defined ambition, purpose and values work in synergy, we will deliver for all stakeholders while not losing sight of the very fundamental reason for our existence: to empower communities to progress. I truly believe that when these things operate in partnership, and when people work hard to win – the right way – together, this is when companies will excel. Furthermore, this is not limited to companies. It should not only be mantra for our bank, but for the communities and societies in which we operate. 18 2021 Annual Reports and Accounts · UniCredit If we get this right, I believe the convergence of a shared ambition, purpose and values is the principle that European recovery and growth will be founded on. We will start with our bank: a bank that is united in this way, with the right measures in place to meet the needs of the clients of the future, so that we can better serve not only our clients but the societies in which we operate. It is this that will enable us to be the engine of our continent’s recovery, the bank for Europe’s future. This is a powerful purpose and one I hope that the UniCredit team can feel proud to be a part of. I extend my sincere thanks to all those colleagues who have welcomed me so warmly and been open to the change that I know can be both exciting and challenging in equal measure. There is a bold future ahead for UniCredit and we have already embarked upon our journey to get there. What we have accomplished to date – giving our team the framework for success; successfully beginning to unlock UniCredit; and delivering fi nancial success for our stakeholders – gives me every confi dence that we will achieve all that we set out to do. I ask for the support of our investors and stakeholders as we do so; as we continue to deliver on our promise to build a better bank for Europe’s future. Thank you, ANDREA ORCEL CHIEF EXECUTIVE OFFICER UNICREDIT S.P.A. UniCredit · 2021 Annual Reports and Accounts 19 FIONA MELROSE HEAD OF GROUP STRATEGY & ESG ESG A Blueprint for our Business What does ESG mean to UniCredit? At UniCredit, ESG is not a set of factors or considerations. It is a way of doing business and fundamental to every action we undertake. It is not a retrospective consideration only after we have made a business decision; ESG implications are innately woven into our approach and fully integrated in the decision-making process. The UniCredit mindset and culture is about doing things the right way and ESG is central to that. OUR ESG STRATEGY: BUILDING ON STRONG FUNDAMENTALS TO DELIVER VALUE Our ESG principles and beliefs Leading by example on ESG Our ESG Goals Key strategic actions across 4 building blocks How to ensure we deliver Partnering with our Clients for a just and fair transition Supporting Communities and Society Steering our behaviour with clear commitments Enriching our Risk & Lending approach Our Governance Model Our targeted country approach Our Culture Monitoring, Reporting & Disclosure How do you make sure this is maintained throughout your business? We have established a set of principles which underpin all aspects of ESG to ensure the pillars of Environmental, Social and Corporate Governance remain core to our work across the business. These are: • We will hold ourselves to the highest possible standards so that we do the right thing by our clients and society; • We are totally committed to supporting our clients in a just and fair transition; • We will reflect and respect the views of our stakeholders in our business and decision-making process. UniCredit · 2021 Annual Reports and Accounts 21 OUR ESG PRINCIPLES AND BELIEFS PRINCIPLES BELIEFS We will hold ourselves to the highest possible standards so that we do the right thing by our customers and society We are totally committed to supporting our customer in a just and fair transition We will reflect & respect the views of our stakeholders in our business and decision- making process > We are signatory of the Principles for Responsible Banking > We foster a more inclusive and fair society with finance, education and measurement of our impact > We engage in academic research to ensure our approach to ESG is rooted in science > We create excellent and innovative ESG solutions for our customer > We partner with our customer to deliver aligned environmental and social goals > We mobilise capital and set targets to foster sustainable development > We ensure transparency through open dialogue and extensive disclosure practices > We develop policies which match our stakeholders' expectations > We incorporate ESG issues into our company-wide operations These policies are integral to every part of our business and will act as a lens through which we view all activity. Our ESG policies are not a separate division: they shape how UniCredit operates at every level. This includes actions we take within our own organisation, such as managing our carbon footprint and supporting our people to work together to win, as well as the communities we support and what we expect of those we choose to partner with. Having concrete policies like these that apply to every area of our business will ensure we hold ourselves accountable. That sounds simple. Is it? Having clearly defined principles provides us with a clear framework to simplify the decision-making process. For example, UniCredit Unlocked announced our plan to deliver €150 bn in ESG finance in the form of lending, DCM and investments by 2024. OUR ESG GOALS AND TARGETS ENVIRONMENTAL LENDING With bulk of the facilities to support clients in green transition €25bn New Production ESG INVESTMENT PRODUCTS >40% of 2024 AuM invested in ESG products €65bn AuM conversion towards ESG investments €150bn overall Cumulative ESG Volumes 22-24 SUSTAINABLE BONDS Significant contribution to the origination of sustainable bonds coming from Recovery and Resilience Facility funds €50bn DCM Origination SOCIAL LENDING Expanding the scope of Social Lending to activities with high impact on society and disadvantaged areas €10bn New Production 22 2021 Annual Reports and Accounts · UniCredit In 2021 we enhanced our Coal and Oil & Gas policies, supporting the financing of green activities for those companies actively engaged in a phase out of coal and aligned with their national energy plans and an updated policy that prohibits financing of all unconventional activities, all Arctic activities and the financing of new explorations of oil and the expansion of oil reserves. We also signed the Tobacco Free Finance Pledge and the UNEP-FI commitment to financial health and inclusion in 2021 amongst others. All of these actions were taken because they align with our fundamental principles and are best-in-class, which is what we strive for across all ESG components. Of course, any corporate or global transition is complex. Particularly when ESG is seen as one single consideration, rather than a vast array of different – and sometimes conflicting – priorities. SECTOR POLICIES UniCredit has adopted detailed special policies regarding sectors that present significant environmental and social risks and monitors portfolio exposures to them accordingly.A Coal sector UPDATED Oil & Gas sector UPDATED POLICIES IN PLACE Mining sector Human rights commitment Nuclear energy Deforestation commitment Defense/Armaments Tobacco commitment Water infrastructure > UniCredit signed the Free-Tobacco Finance Pledge NEW We intend to review and, if necessary, set up policies in other sensitive ESG sectors. This will be done on the basis of our portfolio analysis and with the support of scientific experts in order to address such topics from a factual and impact-based perspective. (cid:5).(cid:4)(cid:22)efer to the (cid:23)upplement (cid:81) (cid:22)isk (cid:17)anagement section or to (cid:23)ustainability on our corporate website for more information. How do you manage that? Firstly, we are pragmatic in acknowledging that the journey to a sustainable future is not a simple one. We know that compromises are required between competing aspects of ESG priorities. While we are equally committed to each pillar of E, S and G, we also know that fulfilling certain obligations will come at a detrimental effect to others. This is particularly true in relation to environmental and social factors. For example, there are certain countries and industries less far along in the green transition than others. We know that way to a sustainable future is not to discount these sectors or abandon them in this process. Rather, we intend to support them and their stakeholders in a just and fair transition. This is the right thing to do. This is part of our social responsibility and not doing so would fundamentally be forgetting the ‘S’ pillar. UniCredit · 2021 Annual Reports and Accounts 23 KEY STRATEGIC ACTION ACROSS 4 BUILDING BLOCKS Our building block Partnering with our Customers for a just and fair transition is implemented to three main strategic actions. Partnering with our Clients for a just and fair transition > products & services for transition > dedicated ESG Advisory model Deep-dive > ESG Ecosystems What does it mean to fulfil your social responsibilities? The social implications of our actions are often less quantifiable and more difficult to measure than environmental ones, but this is no reason to neglect them. We place particular emphasis on our social responsibilities because our role and position, as a pan-European bank, means we have a critical role to play in supporting communities across the continent. Our Social Impact Banking business is working to build a fairer and more inclusive society by identifying, financing and promoting initiatives that have a positive social impact. In 2021, our Social Impact Banking has €0.4bn stock of loans in microcredit and impact financing and reached 3.7m people who were direct and indirect beneficiaries of social financing. Now we intend to go further, targeting a cumulated volume of €10bn in 2022-2024. This will involve improving access to our offering for vulnerable people and supporting companies and investments that will help achieve the social Sustainable Development Goals as defined by the United Nations. Social responsibility goes beyond finance. UniCredit’s purpose is to empower communities to progress, which means supporting people in all aspects of their lives via our own contribution to society. The UniCredit Foundation plays a critical role here, disbursing c.€7 million in 2021, €2.78m of which supported support organizations committed to fighting hunger post Covid-19. We operate a number of financial and ESG awareness initiatives which reached more than 206,000 beneficiaries in 2021, as well as giving over €20m for c.350 scholarships and fellowships to more than 1,000 students and researchers. This role goes beyond finance: UniCredit has a long tradition of sustaining culture, in particular art and music. Recently we announced a new strategy to leverage and enhance our artistic heritage with a focus on increasing access to our collections, including loaning our works out and providing virtual access to them. 24 2021 Annual Reports and Accounts · UniCredit How will you measure progress? There are some key milestones which we are working towards. This year we joined the Net-Zero Banking Alliance, committing to achieve Net Zero emissions from our operations by 2030 and from our financing portfolio by 2050. ENVIRONMENTAL FOOTPRINT NET ZERO on own emissions NET ZERO on emissions for lending and investment portfolio (financed emissions) by 2030 by 2050 In 2021 we reduced our direct CO2 emissions by 32% compared to 2017 and are targeting no single-use plastic items in our buildings by the end of 2022. The ECB’s climate risk stress test in 2022, will be an important moment in our collective journey to a greener future, and we are committed to working with regulators to meet these mutual goals. We are also one of the few banking groups in Europe to have a dedicated ESG Committee, created in April 2021. The committee’s role is to supervise all our ESG activities and will ensure we are held accountable. This will also be the case with regards to our Governance and we will maintain strict respect of the UN Principles for Responsible Banking. We’re proud of our Diversity & Inclusion efforts: 46% of our Board, 40% of our GEC and 33% of our senior leadership are female, and we recently announced our investment of €100m to close the gender pay gap over the next three years, ensuring equal pay for equal jobs. Why is UniCredit uniquely able to make a difference in this space? We believe that our role is to facilitate growth, innovation, and development the right way. This means limiting the negative consequences for all stakeholders and securing growth for the long term. I believe that UniCredit’s unparalleled positioning across Europe can enable us to play a critical role in our whole continent’s transition to a more sustainable future. We do not want to support the green transition; we want to lead it. That is why we established our Sustainable Finance Advisory team to accelerate clients in their journey. UniCredit · 2021 Annual Reports and Accounts 25 DEEP-DIVE DEDICATED ESG ADVISORY MODEL TO STRENGTHEN DISTINCTIVE VALUE PROPOSITION Sustainable Finance Advisory Team We are a credible partner, among leaders in ESG corporate financing, providing Sustainable Finance Advisory for corporate customers, financial institutions and public sector, as certified ESG experts on commercial banking network, with our regional ESG Competence Centres and a 360° ESG advisory approach for mid-caps. Our priorities for UniCredit Unlocked time horizon are to enhance our ESG strategy, ESG rating and ESG tools to serve our clients with a customised approach. ESG strategy ESG rating ESG tools What can we expect from UniCredit in this space in the future? I am determined that we see ESG as an opportunity rather than a rulebook. Financially, the potential is clear: there is an estimated €2tn per year additional global net financing opportunities for banks if we are to achieve 1.5°C pathway by 2050. But the financial upside is just one aspect of the ESG opportunity. At UniCredit we know that good ESG means more than financial growth; it equates to progress, in all aspects of life, for the clients and communities we serve. This belief will govern how we do business. It will enable us to not only improve the financial circumstances of our bank and the communities and clients we serve, but to fuel the progress of communities across Europe. 26 2021 Annual Reports and Accounts · UniCredit This goes far beyond our offices and branches. We work in a way that will benefit all our stakeholders, including the world around us. That’s why we enhanced our target to remove all single-use plastic items from our premises by the end of 2022 and we continue to educate our employees on waste management. Finally, our ongoing Mobility Initiatives have also been adopted by our people across all of our European branches. In 2021, we installed bike stations in our buildings in Bulgaria, Russia, and Italy and recharging stations for electric vehicles were installed in Italy, Austria, and Germany. We know that our commitment to sustainability and actions to support the environment expand well beyond our local communities. As a pan-European bank with over 15 million clients and 87,000 employees across the world, collectively, we truly believe that our local impact can make a global difference. SUSTAINABLE APPROACH IN OUR PREMISES At UniCredit, ESG is at the heart of everything that we do. Our sustainable approach to business ensures that our work has a positive impact on, and secures the future of, our communities and planet. Our commitment to sustainability is reflected by our ongoing Green Real Estate initiative which focuses on reducing our CO2 footprint to build a greener tomorrow. Over the past several years, we have run a series of Energy Management initiatives with the ambition of reducing energy consumption and waste across our premises. Across 1,100 branches in Italy and in Russia we have continued to modernise our buildings by installing remote HVAC and lighting management systems at our head offices. We have also implemented lighting optimisation projects in Italy, Germany, Bulgaria, Bosnia, and Herzegovina, Romania, and Slovenia. We are committed to using green energy procurement to guarantee that our total electricity consumption comes from a renewable source. We have already achieved this by 79% in Italy, Germany, and Austria. Additionally, we have and will continue to invest in making our data centres more energy efficient with a special focus on Power Usage Efficiency. At UniCredit, we believe in the power of our industry and in the good it can do when functioning correctly. UniCredit · 2021 Annual Reports and Accounts 27 ULRIKE ECKERSTORFER OWNER LA SCHACHTULA AUSTRIA Our stories This year UniCredit announced our purpose of empowering communi- ties to progress. This may be a new articulation of our role, but it’s what we’ve always done and what we will continue to do. We pride ourselves on always putting our clients and their communities at the center of every- thing that we do, going above and beyond to support their needs. This is because we are more than just a financial institution; we are UniCredit: a bank for our clients and communi- ties, a bank for Europe’s future. Although these stories, that capture some of our clients and our people, come from many different countries, they are united by a common theme: how UniCredit’s existence is predi- cated upon our mission to serve and to empower people of all ages and backgrounds to unlock their poten- tial and to progress. They not only reflect UniCredit’s active role in the functioning of today’s society, but also our work with and financing of organi- sations that are striving to protect our planet for future generations. We are proud of our team’s dedication to supporting and financing initiatives that will have a positive and enduring impact, and as ever, we look to the future with the determination to do more; to do better for our clients and communities. PROMOTIONAL MESSAGE 2 2021 Annual Reports and Accounts · UniCredit Italy UniCredit · 2021 Annual Reports and Accounts 3 COUNTRY ITALY Quid SECTOR: FASHION ESG FOCUS OUR COMMUNITIES Quid, founded in 2013, strives to provide equal job oppor- tunities to people who have faced difficulties due to their social and economic circumstances. Over the years, Quid has grown from collaborations with small tailoring workshops to hosting its own, collaborating within ethical and sustain- able supply chains, and opening new stores. Its mission of gentle disruption, using a model based on recovery, creation, and building, has seen it become a recognised brand in the Italian fashion industry. If you look at the label on any garment produced by Quid you will find the note: “Ethically made (in Italy).” This encapsulates the two central goals of the Verona-based social enterprise: to reduce fashion’s environmental impact and to make a tangible social impact through work oppor- tunities. 80% of the fabrics Quid uses to produce its own exclusive clothing collections and lines for other brands are remainders of large companies’ discontinued products. Quid extends the life cycle of these materials to produce beautiful clothing sustainably. What is more, this model uplifts the socially and economically marginalized, as Quid employs mainly female workers at the fringes of the labor market. For founder and president Anna Fiscale, 33, Quid’s social enterprise model is rooted in a core belief: “that by trans- forming limits into starting points, innovative business models can be developed. Our mission begins where oth- ers’ stop: where the fabric value chain ends, our design and production process begins; where the labor market discriminates, we build experiments in inclusive training and leadership”. When the impact of Covid-19 was affecting many busi- nesses, Quid overcame this global challenge using its sustainable and inclusive production model and with the power of creativity. “The pandemic forced us to quickly rethink our business model,” says Anna Fiscale. “In less than 3 weeks we success- fully converted our production into reusable and washable individual protection masks. Once again we were able to turn limitations into starting points.” UniCredit has a long-standing collaborative relationship with Quid. When this opportunity for reinvention during the pandemic came up, the bank was ready to support them. In November 2020, the bank purchased 90,000 certified, washable and reusable ‘Cover-up’ masks that were made available to the Group’s employees. Ambitious as Quid have been with a reimagined business model, their plans for the future do not stop here. Recently, UniCredit provided the cooperative with a €2.5 million social impact loan to support its growth plan, which aims to increase female employment with the creation of 12 new jobs. The bank also committed to disburse €30 thousand to Quid, which, on the achievement of pre-established social objectives, it will use to enhance its corporate welfare project ‘Libera-mente’. “We are very happy to have this collaboration with UniCredit,” said Anna Fiscale, “because with your support we will be able to generate a greater social and environmental impact and to develop new initiatives to increase the economic sustainability of our business model. Thanks to UniCredit’s support we will develop several important projects: on the one hand we will continue in our mission to employ and empower disadvantaged people, with a special focus on women. On the commercial side, we will seek new collaborations with commercial and distribution partners and we will open new stores to further develop our business model”. 3 0 2021 Annual Reports and Accounts · UniCredit In 2021, with the help of UniCredit and the continuous stream of investments, the PLT group reached a major mile- stone as it produced approximately 470 GWh of clean energy from wind power generated by its 44 wind farms. In addition, SEF produced approximately 60 GWh from pho- tovoltaic sources in its 37 power plants. This astonishing achievement avoided the emission of more than 247,000 tons of CO2 into the atmosphere and met the energy needs of 240,000 households. In this year, UniCredit also joined leading public financial institutions supporting the PLT Group with a loan agreement for a total of €92.3 million. This will go towards the construc- tion of greenfield wind projects which will have a capacity of 95 MW. The bank also allowed a further loan of €43.95 million to refinance several companies in the PLT Group that own a wind operating portfolio of 74 MW. President of the PLT group Pierluigi Tortora professed that having UniCredit as a partner over the years, in addition to the credit support the bank has provided, “has allowed the group to identify and structure in the market the best finan- cial solutions to make important investments both in Italy and abroad”. In this way, UniCredit has played a vital role in the group’s ongoing quest to combat climate change. COUNTRY ITALY PLT ENERGIA SECTOR: RENEWABLE ENERGY ESG FOCUS OUR CLIENTS The price of gas skyrocketed in the fourth quarter of 2021, leading to a substantial rise in electricity and gas bills for both households and energy-intensive manufacturing sectors. This demonstrates once more how urgent it is to transition to the production of energy using renewable sources. PLT energia aims to answer this need. The company designs, develops, and manages wind and photovoltaic plants, with facilities in Spain and Italy. In 2016 PLT ener- gia established its subsidiary company PLT puregreen, Italy’s first company to produce and sell only green energy. The group is continuously enhancing its technical and financial know-how to hit new milestones in sustainable energy production. To become a leading green utility in Italy, the company could rely on a long-standing partner as UniCredit. The bank stepped in to make these ambitions a reality. In 2018, UniCredit structured a hybrid financing opera- tion for the PLT group, consisting of a bond issue and a bank loan for a total amount of over €162 million, which aimed, among other things, at refinancing a portfolio of 9 wind farms. In 2019, PLT energia signed a project financ- ing contract with UniCredit with an EIB guarantee for over €34 million to construct wind farms with a total capacity of 37 MW in Calabria and Basilicata. In 2020, SEF signed a loan agreement with UniCredit for a total of €60 million for the refinancing of a portfolio of 16 photovoltaic plants for a total of 13.5 MWp. UniCredit · 2021 Annual Reports and Accounts 3 1 To help the company complete this project and see its plans underway, UniCredit fully subscribed to a €14 million 7-year mini-bond issued by Dott. Gallina to finance the factory’s construction. The instrument itself is sustaina- bility-linked, with a mechanism that ties its interest rate to the achievement of precise objectives in terms of reducing energy consumption and improving employee access to cor- porate welfare services. “I am particularly pleased to have concluded such an innovative financial transaction with UniCredit, which enhances both the green and social commitments of our company”, commented Dario Gallina, CEO. “The loan is for the construction of a new production plant which rehabilitates a site with a great industrial history where Comau was born. UniCredit has proved to be a very constructive financial partner as regards issues of sustain- able growth – supporting us with an investment that will allow us to combine innovation, productivity, efficiency, bet- ter working conditions and reduced environmental impact”. The subscription of the mini-bond issued by the Piedmont- based company also represented an important milestone for UniCredit. In addition to being one of the largest sustain- able mini-bonds issued in Italy to date, it was the hun- dredth mini-bond structured by the bank in favor of small and medium-sized Italian companies (SMEs) – testament once again to UniCredit’s leadership in facilitating capital markets access for SMEs and its enduring commitment to sustainability. COUNTRY ITALY DOTT. GALLINA SECTOR: CHEMICAL ESG FOCUS OUR CLIENTS The Piedmontese company Dott. Gallina has an ambitious goal: to convert an abandoned, historic industrial site into a new type of factory. The “Transparent Factory” will use innovative automated production technologies and blend cutting-edge research with respect for the environ- ment, employee welfare services, and benefits for the com- munity and wider territory. Founded over sixty years ago in Turin, the family owned Dott. Gallina is active in the production of polycarbonate sheets and systems for the building industry, as well as technical profiles for the automotive industry. The company initially grew through its work for the automotive sector before expanding into the production of building materials. Thanks to continuous investment, the development of a method that allows the design and manufacture of the production lines to take place internally, and a willingness to look beyond borders, Dott. Gallina is today present in Europe, Asia and the United States, realizing 70% of its turnover in forty countries outside Italy. The company launched a sizeable investment plan in 2021, aimed at increasing competitiveness, and therefore growth, through a stronger commitment to research and development combined with greater attention to environ- mental protection and the promotion of a welfare system for employees. The final objectives of the three-year plan are to increase turnover by more than a third and create more than a fifth of new jobs. The first step in Dott. Gallina’s ESG transition is the 100,000 sq m ‘Transparent Factory’, which is being built with an investment of €27 million and without the con- sumption of any new land, instead redeveloping a former industrial site using the best available technology in terms of innovative production processes, energy efficiency, and overall quality of the working environment. 3 2 2021 Annual Reports and Accounts · UniCredit i a n b m a G o b a F i COUNTRY ITALY DONNAFUGATA SECTOR: WINE ESG FOCUS OUR CLIENTS Donnafugata was founded in Sicily in 1983 by Giacomo Rallo and his wife Gabriella with a shared desire to innovate the style and reputation of Sicilian wine globally. Today, José and Antonio Rallo, the fifth generation of the family, lead the company along with a team of people dedicated to “Made in Italy” excellence. José Rallo acts as both the face and voice of the company. The leader of the marketing and public relations team also has lent her vocal talent to the Donnafugata Music&Wine project, a revolutionary multisensory experience that pairs wine with music. José is also a member of the board of direc- tors of Assovini Sicilia, the ICE Agency, and FAI. Antonio Rallo is the company’s agronomist and win- emaker, gifted with a strategic vision and unwavering in his commitment to the Sicilian wine sector. He heads the Consortium of Sicilian DOC Wines, a promotional and ter- ritorial cohesion network that counts more than 8,300 wine- growers amongst its members. Sicily is a wine-producing region rich in biodiversity and with an extraordinary climate. Donnafugata’s identity is firmly rooted in this environment. In addition to its historic cellars in Marsala, the company’s estates cover more than 400 hectares of vineyards; from the lands overlooking the sea on Pantelleria, to the hilly landscape of Contessa Entellina and Vittoria, to the rugged territory of Mount Etna. The company has been committed to eco-sustainable development in its territory for more than 30 years. To Donnafugata, sustainability is the key to Sicilian quality wine: good practices are applied in the vineyards, such as the cultivation of native varieties. In the cellar, it has adopted energy-saving measures and produces clean energy from renewable sources. Donnafugata’s sustainable certifications include Carbon and Water Footprint by DNV-GL and SOStain, which promote the sharing of environmentally-friendly good practices and transparent communication with customers. t i d e r c o t o h P Sicily’s historical-cultural heritage is in the heart of Donnafugata inspiring the dialogue between wine, litera- ture, and art: the company’s name alludes to the famous Italian novel Il Gattopardo and the story of the fleeing queen, who found refuge where the vineyards are today. The signa- ture labels are a trait of Donnafugata, representing the world and the colors of the island through tradition and innovation. Donnafugata believes in its corporate social responsi- bility and has supported various projects over time: these include the donation of a Pantelleria garden to the FAI (Fondo Ambiente Italiano), which is open to the public, the financing of the Giuseppe Nenci Prize of the Scuola Normale di Pisa and the recovery of two precious Sicilian puppets at the “Pasqualino” Museum in Palermo. A unique feature of Donnafugata is the role of women within the company’s organization who make up 40% of the mana- gerial positions. Excluding the production sector, women represent 52% of Donnafugata. The company places great importance on the ongoing training of human resources. CEO José Rallo commented: “We are a family business in perpetual motion, an example of an authentic and sustain- able wine-producing Sicily. In constant pursuit of new chal- lenges, UniCredit, our long-standing partner, has embraced our growth plans over the years, supporting, in particular, the recent investments that led to the creation of the Etna and Vittoria estates. Areas that have further reinforced our premium positioning with small, prestigious productions from unique territories and vineyards”. Photo credit Beatrice Pilotto UniCredit · 2021 Annual Reports and Accounts 3 3 COUNTRY ITALY AUTOGRILL OUR CLIENTS SECTOR: FOOD & BEVERAGE RETAIL Autogrill is the leading global operator in food and bever- age services for travelers, comprised of more than three hundred different brands in thirty countries across four continents, operating 3,800 points of sale and employing more than 31,000 people. The company operates in one of the sectors most affected by the 2020 lockdowns due to the pandemic. It has since benefited from the gradual reopening and is now back on track in pursuing its sustainable long-term develop- ment strategy. UniCredit has a longstanding relationship with Autogrill going back a number of years. In 2020, UniCredit led the pool of banks granting a €300 mil- lion five-year SACE-backed loan financing aimed at restoring liquidity. In 2021, the bank played a pivotal role in Autogrill’s very successful post-pandemic capital structure optimization, with the €600 million capital increase executed in June and COUNTRY ITALY DIASORIN SECTOR: PHARMA OUR CLIENTS DiaSorin is an Italy based bio-tech multinational, world leader in the lab diagnostics market, specialized in the immunodiagnostics and molecular diagnostics segments and active in the licensed technology business. It has been developing, producing and marketing reagent kits for labora- tory diagnostics all over the world for over 50 years. Its broad offering of diagnostic tests and licensed technology solutions positions DiaSorin as the market player with the widest range of specialty solutions in the sector. Listed on the Italian Stock Exchange since 2007, DiaSorin is present on a global scale with 45 companies, 4 branches, 10 production facilities and 9 research and development centres, employing more than 3,300 people and making two thirds of its revenues outside Europe. In the bio-tech industry, success is based on continuous innovation through major investments in research and development, while scale and global reach are essential. In 2021 DiaSorin acquired the US based Luminex Corporation, listed on the NASDAQ, in an all-cash transaction worth USD1.8 billion that allowed the group to acquire new competencies and gain multiplexing technology for molecular diagnostics. 2021 Annual Reports and Accounts · UniCredit the €1 billion full debt refinancing that followed in October representing a landmark achievement as one of the most prominent deals of the year in Italy. “UniCredit proved once again to be a competent, reliable and supportive partner, acting as real deal enabler to ensure us full financial flexibility and allow the company to focus on accelerating growth, with the aim of strengthen- ing its global leadership position in coming years by optimiz- ing the concession portfolio, evolving the business model and making the capital structure more flexible”, commented Camillo Rossotto, General Manager Corporate and Group Chief Financial Officer & Chief Sustainability Officer at Autogrill. UniCredit participated into the USD1.6 billion financing pack- age granted by primary financial institutions to DiaSorin in the context of Luminex acquisition, and later acted as joint bookrunner in the placement of senior unsecured equity linked bonds worth €500 million, for a capital market take- out of the financing package. “The acquisition of Luminex represents an important step in our expansion strategy - Piergiorgio Pedron, Chief Financial Officer at DiaSorin commented – as it will position our group as a fully-fledged diagnostic and life science player, offering increasingly sophisticated solutions to customers worldwide. Constant support received cross border by UniCredit in all phases of the financing of the transaction has been of paramount importance to the successful execution of this transformative deal”. 3 4 COUNTRY ITALY ERG SECTOR: RENEWABLE ENERGY OUR CLIENTS Less than a decade to complete the transition from oil com- pany to leading international producer of energy from renewable and clean sources. This is how long ERG, the his- toric Genoese energy producer, has been working, radically changing its business model, anticipating long-term energy scenarios and achieving a leading position in the Italian and European renewable energy market. ERG is an example of a transformation successfully comple- ted: the company has changed its skin, abandoning since 2008 models of energy production no longer sustainable to follow the evolution of the times and new energy needs. ERG is today the major wind energy producer in Italy and ranking among the top five for solar energy. It has a new industrial plan that foresees further, strong growth in installed capacity. And it has developed an integrated ESG strategy, adopting a business model oriented towards sus- tainable development and decarbonisation objectives, consistent with the transition process of the energy system underway worldwide. ERG has also evolved its financial strategy, moving from a structure based on bank credit and project financing to a capital structure centred on the issue of Green Bonds placed on the market. COUNTRY ITALY ANDREA BERTAMINI ROLE: DATA ANALYST ESG STORY OUR PEOPLE I apply my innate passion and zeal for life into everything I do, and I believe it’s my duty to act as an advocate for those who are not able to truly live life to its fullest. Therefore, I’m incredibly grateful that I’m part of the UniCredit Trento team as all my colleagues share in my moral responsibility to help people, and organizations that have a “small but mighty cause”. For years, I have spent my time outside of work support- ing an organization known as “FOP Italia OdV”. FOP stands for “Fibrodisplasia Ossificante Progressiva”, and it is an extremely rare and progressive disease among children. It affects their bone and muscle development, leading to high immobility or the inability to move their bodies correctly. Due to the rarity of the disease, there is very little medical research or studies that have been conducted on the illness. That’s why, in 2006, FOP was created by parents of patients, all of which are driven by a shared passion. They organize meetings and conferences, promote the importance of the sharing of knowledge, provide funding for research, and they go to impossible lengths to provide their children with a chance for a better future. UniCredit has accompanied ERG’s transition over the years, overseeing numerous capital market transactions aimed at optimizing the capital and ownership structure and providing advisory for the reorganization of the group through the sale of oil assets and several acquisitions of renewable portfolios in the various segments and geographies. “The partnership with UniCredit - said Michele Pedemonte, ERG’s Chief Financial Officer - has helped us to successfully implement a complex industrial and financial transformation. The bank’s significant expertise in solutions to support decarbonisation has proved invaluable in mobilising capital for the investments required for our sustainable develop- ment”. In 2021, the bank oversaw the placement on the market for ERG of a ten-year green bond - the longest so far issued by the company - of €500 million, which was very successful and obtained a demand equal to 6.6 times the offer. And it assisted ERG in the acquisition from Omnes Capital of 100% of Omniwatt, a French company that owns a portfolio of wind and solar power generation plants, which has enabled it to reach 3.2 GWh of installed capacity. A future that all children deserve. With the tremendous support and generosity of my fellow colleagues at UniCredit, our Foundation has been able to make significant inroads to enhancing the lives of children who suffer from this rare and life-altering disease. Since 2008, the funds raised by the Foundation have financed an annual research scholarship for young research- ers at Gaslini Pediatric Hospital. Furthermore, from 2019 they have made an annual con- tribution to IFOPA, an American research organization for projects on gene therapy (since 2019), and they funded the “Simona Vallara” Award in 2020, with the aim of improving the daily life of FOP patients. I’m incredible proud to be part of “the UniCredit Group that recognizes and supports such a small but mighty cause”. The support of my team has provided me with the “continued motivation I need to make a difference in my community, and in the lives of others.” UniCredit · 2021 Annual Reports and Accounts 3 5 This means that once Doc Servizi has achieved two of its core social goals, which include stabilising employment opportunities for over 1,000 workers between 2021-2022 and relocating over 400 workers through training courses, UniCredit will grant the cooperative an interest repayment of €10 thousand on the impact loan. Demetrio Chiappa, Chairman of Doc Servizi, comment- ed: “The €1.3 million loan we received from UniCredit has allowed us to overcome the terrible impact of the pan- demic on our sector and on our cooperative. The funding has enabled us to maintain our network of worker mem- bers and build adequate training plans for them to ensure employment continuity. Moreover, during the recovery period, the Italian entertainment market has seen more than 20% of technicians change jobs, and the financial capacity granted by UniCredit also allows us to further support and introduce new entertainment professionals to work with Doc Servizi”. COUNTRY ITALY DOC SERVIZI SECTOR: ENTERTAINMENT ESG FOCUS OUR COMMUNITIES Doc Servizi is the largest entertainment cooperative in Italy and is part of a network of six other companies that together cover all sectors of the cultural and creative industries, as well as the technology sector. Founded in 1990 in Verona with the aim of supporting workers in the performing arts, by the end of 2019 the Doc network represented over 8,400 members, with 33 branches across Italy and a turnover of more than €70 million. Doc Servizi is committed to helping the entertainment industry navigate the economic impact of the Covid-19 pandemic, reshaping its support for the performing arts to achieve this. At a time when this support has been more essential than ever, UniCredit’s Social Impact Banking’s team support has been vital. In 2021, UniCredit supported Doc Servizi with an impact financing loan of €1.3 mil- lion, to be used as part of an investment plan designed to guarantee new employment opportunities for workers in the performing arts. Part of this plan is to stabilise the professional position of workers in the sector, guaranteeing access to social protec- tion mechanisms and providing unemployed workers the opportunity to develop new professional skills. As the loan falls within the scope of UniCredit’s support activities for profit and non-profit enterprises with clear and measurable social aims, it was classified as an impact financing opera- tion. The offer terms therefore included subsidised financing and the possibility of a partial repayment of interest upon successful delivery of their core objectives. 3 6 2021 Annual Reports and Accounts · UniCredit Germany UniCredit · 2021 Annual Reports and Accounts 11 COUNTRY GERMANY DETTMER GROUP SECTOR: LOGISTICS ESG FOCUS OUR CLIENTS The Dettmer Group is a logistics company, active throughout Germany with around 1,200 employees. The Group was founded in 1947, recognizing from the outset the importance of investing in sustainable business mod- els in order to secure its future. To demonstrate this commitment, it began extensive activi- ties in inland shipping, one of the least environmentally damaging modes of transport, in addition to operating 25 tankers in Europe’s waterways. Today, a total of 32 different companies are united under the umbrella of the family-owned company. As well as inland shipping, it deploys container logistics, project logis- tics, air freight, waste disposal, and recycling at the “Die Grünen Engel” plant in Nuremberg, which it owns. This responsible approach has also led it to employ innova- tive new propulsion systems using hydrogen technology. Sustainability is fundamental to the Dettmer Group’s activi- ties, and it will remain fundamental as the Group expands with further acquisitions in the future.“Sustainability and in particular the recycling of valuable raw materials is a growth market from our point of view”, says Heiner Dettmer, Dettmer Group CEO, who has been at the helm of the Bremen-based company for more than 30 years. UniCredit HypoVereinsbank has been the Dettmer Group’s strategic banking partner for many years. The bank has assisted with financing bilateral acquisitions, allowed a high degree of flexibility, and provided both competent advice and knowledge from experience of company takeovers. The relationship has imbued the Group with the confidence to make quick decisions and has helped to make unusual solu- tions possible. UniCredit HypoVereinsbank’s close cooperation and inten- sive involvement with the Dettmer Group’s business model can be seen as recently as 2021. UniCredit coordinated a debut syndicated loan for the company, which bundled and refinanced almost all bilateral loans and credit lines of its subsidiaries. The Group was confident in allowing UniCredit to act as bookrunner, mandated lead arranger, and doc agent in this transaction, based on its positive experiences with the bank in previous years. Once more the support of UniCredit is ensuring the Dettmer Group can achieve new heights, as this solid financing foundation allows the company to continue investing in growth and sustainability. “We need banks that not only want to sell us something but advise us so that we can expand and breathe in other areas as well. This is not a matter of course, but it works very well with UniCredit HypoVereinsbank”, commented Heiner Dettmer about the successful cooperation. 2021 Annual Reports and Accounts · UniCredit 3 8 COUNTRY GERMANY STEINICKE SECTOR: FOOD ESG FOCUS OUR CLIENTS Steinicke is one of the world’s leading manufacturers of dried vegetables and herbs, supplying major food groups such as Nestlé and Unilever. A family-run company with a rich history, founded over 100 years ago, Steinicke has three production sites across Germany growing and processing vegetables and herbs such as parsley, dill, coriander, carrots, cauliflower and asparagus. Sustainability is of the utmost importance to the company and sustainability education is key to Steinicke’s work practices, with regular training provided to employees and suppliers. The company also allows elementary schools access to its production facilities to engage young people in topics such as biodiversity and resource conservation. Steinicke also employs environmentally conscious innova- tions in its production process, such as a watering system it developed with a customer that implements GPS to help farmers reduce water consumption. Proving what is possible with a sustainable working model, Steinicke achieved sales of €29 million in 2020. The company has no intention of resting on its laurels, as it has set itself the goal of being climate-neutral by 2030. Recently, Steinicke decided to make two major investments that will help it to continue its work in the sustainability area, while also remaining competitive. One of these is a major innovation: Steinicker is one of the first ever compa- nies in Germany to have built an agrophotovoltaic plant at its headquarters in Lüchow, Lower Saxony. This system generates solar power in the same fields where crops are grown, which will be used for the energy-intensive process of drying herbs and vegetables. The second investment is a combined heat and power planet with a wood chip system, which is being built at Steinicke’s headquarters. Valuable as these investments are, they required a great deal of capital. UniCredit HypoVereinsbank has been Steinicke’s house bank for over 30 years, providing financ- ing as well as strategic advice on day-to-day business and significant issues such as working capital management. When the bank leaned what the company hoped to achieve with these investments, it was ready to lend support. UniCredit HypoVereinsbank financed the investments of €1.3 million for the photovoltaic system and approximately €8 million for the combined heat and power plant. The expertise of the bank’s funding specialists was invalu- able when Steinicke explored funding programs from the German government’s development bank, KfW. The spe- cialists, using their high level of industry knowledge from a wide range of sectors, advised the company to apply for product no. 270, “Renewable Energies,” in addition to a grant from the Federal Environment Agency to fund the agrophotovoltaic system. For the woodchip heating sys- tem, the specialists found that Steinicke was eligible for program no. 295: “Federal support for energy efficiency in the economy”. This program provides for a repayment subsidy of up to 55%, provided that the system meets certain criteria. These must be confirmed by an independent energy con- sultant after a certain period of operation. Michael Lettenbichler, one of Steinicke’s three Managing Directors and responsible for purchasing and sales, human resources and public relations, is very satisfied with the advice he receives. “When it comes to money, you need a good bank that finds clever solutions just as UniCredit HypoVereinsbank”, he said commenting on the cooperation with the bank. UniCredit · 2021 Annual Reports and Accounts 3 9 UniCredit HypoVereinsbank financed the sustainably- designed boarding house, which opened last year and cov- ers an area of 6,400 square meters and 152 apartments, with its first ‘Real Estate Green Loan’ for a total of €15 million. With this new loan product, UniCredit HypoVereinsbank has expanded its range of sustainable financing solutions to include commercial real estate financing and is helping its customers achieve their sustainability goals with an additional tool. In this context, the granting of loans is linked to specific property criteria for energy savings. The financing was also supplemented by a KfW loan for energy-efficient construction amounting to €4 million. “With the green loan from UniCredit HypoVereinsbank, we are underlining the sustainable character of Meiller Gardens and also including the area of financing in our sustainability approach”, commented Andreas Ferstl, CEO of Rathgeber AG. COUNTRY GERMANY RATHGEBER AG SECTOR: REAL ESTATE OUR CLIENTS A household name, Rathgeber AG has been active in Munich for more than a hundred years. In recent times, the former mechanical engineering company has transformed itself firstly into a property ownership company and sub- sequently into a real estate project developer. Rathgeber AG develops real estate exclusively for its own portfolio. Through the “Meiller Gärten” project, Rathgeber AG is build- ing one of the largest private rental housing developments in Munich – with a total investment of approximately €300 million. A total of fourteen buildings with over 650 residential units, a boarding house, several commercial units and two daycare facilities are being built across the eight construction sites. In addition to private gardens, the open space planning also includes two large public green areas. The standout feature of the project is its sustainable orientation. Clinker bricks are used, for example, as a sustainable and durable material for parts of the facades. A regenerative concept leveraging groundwater heat pumps and solar power will be installed for the develop- ment’s energy supply. Taking into account the boarding house alone, a total CO2 saving of 103,905 kilograms per year can be unlocked through the trifecta of good insula- tion, proper use of groundwater and CO2-free generated electricity. The electricity required for the groundwater heat pumps is partly generated with the help of solar cells on the roof. 4 0 2021 Annual Reports and Accounts · UniCredit with the funds to construct a new wheelchair-accessible building with 44 publicly funded housing units, and to build two commercial units for organisations which provide sup- port to disabled people. UniCredit’s loan, which forms part of their Social Impact Banking initiative, is granted to companies and organiza- tions whose projects will have an enduring positive impact on society. In response to the bank’s support, GWG Managing Director Alexander Bendzko said: “We see it as our social obligation to provide affordable, attractive and safe housing. In doing so, we make a point of acting sustainably. Therefore, we are pleased that UniCredit HypoVereinsbank has sup- ported us in this mission”. PAESE GERMANIA OUR COMMUNITIES GEMEINNÜTZIGE WOHNUNGSBAUGESELLSCHAFT INGOLSTADT (GWG) SECTOR: NON-PROFIT HOUSING ASSOCIATION Founded in 1934, the non-profit housing association Gemeinnützige Wohnungsbaugesellschaft Ingolstadt (GWG) is the largest housing company in the Inglostadt region with over 7,400 rentals. Driven by the philoso- phy “Everyone should find their favorite place,” GWG is dedicated to designing modern, aesthetically pleasing, and affordable housing that caters to individual needs and pref- erences. Each of GWG’s houses are based in idyllic, natural surroundings. Ensuring that its housing developments are environmentally sustainable is imperative to the company. The actions it takes to ensure its rentals do not harm our planet include, but are not limited to, designing buildings that are energy efficient and making certain that its portfo- lio development is sustainable. In 2021 GWG launched a new housing development called ‘IWO - Inclusive Living’, with houses designed to be acces- sible to disabled people. The project was driven by GWG’s enduring goal of creating living conditions that enable every- body to lead independent and enriching lives. In recognition of the tremendous impact the housing project would have on the community, UniCredit HypoVereinsbank granted the association an impact-oriented loan. This loan provided GWG UniCredit · 2021 Annual Reports and Accounts 4 1 practical business skills as well as key entrepreneurial knowledge, including how to approach current social issues with an entrepreneurial mindset. Most importantly, they also had the opportunity to unlock, develop, and refine their personal potential. The positive impact the programme has had on the lives of young people within the community, as well as wider society, is demonstrated by a team which has continued to develop its app. The app measures a user’s daily CO2 consumption and provides them with incentives for a more sustainable life. Praising UniCredit’s support, Head of Corporate Development at Pfennigparade Foundation Thomas Heymel said: “With this project, UniCredit HypoVereinsbank equips students with and without disabilities, who have an interest in start- ups and their operational methods, so that their ideas can be successfully implemented. A great contribution to inclusion in the start-up scene of tomorrow”. PAESE GERMANIA OUR COMMUNITIES PFENNIGPARADE FOUNDATION AS COOPERATION PARTNER OF UNICREDIT HYPOVEREINSBANK SECTOR: NON-PROFIT ORGANISATION The Pfennigparade Foundation was founded in the early 1950s as a citizens’ movement to fight the polio pandemic. It is committed to supporting people with disabilities in their professional and personal lives, ensuring that everyone is afforded equal opportunities and rights. Behind their dedica- tion to helping disabled people is the ambition of creating a colorful and diverse society where each member of the community is viewed as an equal. In acknowledgement of the Pfennigparade Foundation’s admirable goal of creating an undiscriminating and inclu- sive society, UniCredit HypoVereinsbank ran their sec- ond “Entrepreneurship Inclusive” programme with the Foundation. The programme, which forms part of HVB’s Social Impact Banking initiative, aims to help disabled and non-disabled students within an inclusive context to kick start their professional careers by helping them to realise and develop their business ideas. Following an intensive workshop and a four-month long mentoring phase, the school teams worked with volunteers from UniCredit HypoVereinsbank’s to further their business models. The students then had the opportunity to present their projects to a jury of experts at a final “Entrepreneurship Inclusive” event. Through the initiative, the pupils gained 4 2 2021 Annual Reports and Accounts · UniCredit COUNTRY GERMANY MICHAEL HÖGLAUER ROLE: TEAM LEADER SMARTBANKING REMOTE SALES ESG STORY OUR PEOPLE My fellow colleagues, across all our European branches, immediately rose to action in support of our initiative. Their overwhelming generosity saw our team collect close to 700 donations. The Foundation doubled the amount donated, leading to a combined total of €180 thousand in funds raised. The money raised by UniCredit was immediately provided to the non-profit relief organisation, Aktion Deutch Hilft e.V, which provided food, shelter, and medical aid to the mem- bers of our community whose lives were greatly affected by the floods. “The response has been overwhelming... many of the colleagues also explicitly thanked the Foundation”. In July 2021, my home country of Germany suffered record- breaking rainfall. The torrential downpour caused catastrophic flash floods which resulted in over 220 fatalities, the destruc- tion of buildings, and colossal damage to critical infrastructure. This fatal tragedy left our country’s citizens in tremendous shock. When disaster happens, the UniCredit team knows that those in need require a swift response. The care and compassion of our team at UniCredit Germany led to several of our colleagues to quickly contact the Bank’s Foundation. Within a matter of hours, the Foundation was on board and helped to support our initiative aimed at provid- ing funds for disaster relief in the communities directly affected by the fatal natural disaster. UniCredit · 2021 Annual Reports and Accounts 4 3 Central Europe 18 2021 Annual Reports and Accounts · UniCredit COUNTRY (cid:7)(cid:30)(cid:9)(cid:7)(cid:12) (cid:22)(cid:9)(cid:20)(cid:25)(cid:6)(cid:16)(cid:13)(cid:7) OUR CLIENTS (cid:7)(cid:9)(cid:18)(cid:24)(cid:22)(cid:25)(cid:17) (cid:20)(cid:213)(cid:207)(cid:9) (cid:8)(cid:19)(cid:25)(cid:6)(cid:22)(cid:5)(cid:26)(cid:5) SECTOR: SOCIAL HOUSING ESG FOCUS (cid:23)ituated in the leafy village of (cid:8)oubrav(cid:310)ice on the outskirts of Prague, (cid:7)(cid:35)(cid:44)(cid:50)(cid:48)(cid:51)(cid:43) (cid:46)(cid:316)(cid:310)(cid:35) (cid:8)(cid:45)(cid:51)(cid:32)(cid:48)(cid:31)v(cid:31) is a specialised thera- peutic care centre focused around three core tenets: health, nursing, and activation. The harmonious, award-winning facility caters to those who require continuous care with chronic diseases and impaired cognitive functions, delivering a highly-personalised service through its hundred-strong team of nurses, caregivers, activators, physiotherapists and masseurs. (cid:13)n (cid:40)ust three short years, (cid:7)entrum p(cid:316)(cid:310)e (cid:8)oubrava has built a stellar reputation based on its modern approach and excep- tional levels of patient expertise. It is the first care centre in the Czech Republic, for instance, to provide Namaste Care: an exclusively non-pharmacological method that ena- bles staff to cater to the personal needs of residents living with advanced dementia, focusing on the person rather than the process and protocol. In its private park, inspired by the rolling hills of the French countryside, residents can undertake both creative and physical activities in a natural setting. This outdoor recreation simultaneously prolongs the active part of their lives whilst alleviating the intense pressures associated with such caregiving that often fall to close family members. In addition, a personal physician is located on site, complemented by a team of specialists including a psychiatrist, a neurologist, and an ENT doctor. (cid:24)hanks to the (cid:47)uality of services that it offers, (cid:7)entrum p(cid:316)(cid:310)e Doubrava became an important pillar of its local commu- nity. However, with this growth in stature naturally came increased interest. The centre’s management soon realised that additional capacity was required to provide for the influx of patients. Plans were immediately drawn up to build a second senior house, once more revolving around the model of continuous care but this time with a sharper focus on treatment of the neurodegenerative disease Alzheimer’s. The centre’s ambitions were noble, but if it was to expand and provide care for this condition, which requires a unique degree of treatment, it would need funding. Recognising the value of the institution and what it could provide the community, UniCredit Bank Czech Republic & Slovakia granted (cid:7)entrum p(cid:316)(cid:310)e (cid:8)oubrava (cid:7)(cid:30)(cid:15)(cid:114)(cid:112) million in loans in order to both finance the facility and boost the company’s working capital. How society treats its most vulnerable is always the fore- most measure of its humanity. In providing both dignity in old age and peace of mind for families, (cid:7)entrum p(cid:316)(cid:310)e Doubrava continues to exemplify this value on a daily basis, ensuring quality of life for its patients until the end of life – with (cid:7)(cid:9)(cid:19) (cid:17)(cid:39)(cid:42)(cid:45)(cid:372) (cid:24)(cid:41)(cid:295)(cid:310)(cid:39)(cid:41) (cid:33)ommenting: “Dignified old age is something we care about. We are very pleased that, with the financial support of UniCredit Bank, we have built (cid:7)entrum p(cid:316)(cid:310)e (cid:8)oubrava – the place you want for your loved ones where specialized care of the highest order is provided for chronically ill seniors”. UniCredit · 2021 Annual Reports and Accounts 4 5 COUNTRY (cid:7)(cid:30)(cid:9)(cid:7)(cid:12) (cid:22)(cid:9)(cid:20)(cid:25)(cid:6)(cid:16)(cid:13)(cid:7) CZECH GAS NETWORKS INVESTMENTS SECTOR: ENERGY INFRASTRUCTURE ESG FOCUS OUR CLIENTS The debut Green Bond proceeds raised will be used for financing and refinancing purposes with a focus on the retrofit of the company’s existing gas network to make it compatible for the distribution of hydrogen and other low- carbon gases. A key feature in the retrofit of local networks, covering circa 49,000 km is the replacement of steel for polyethylene pipelines, to enable the distribution of clean energy in more than 3,800 municipalities. In addition, the proceeds will also be used for various energy efficiency improvements planned across CGNI’s buildings. Thomas Merker, CFO Czech Gas Networks Investments S.à.r.l. commented: “Sustainability and transformation to a low-carbon environment are key drivers for our future and our business strategies. It has been an honour and privilege to cooperate with the UniCredit Bank team on this strategic Green Bond transaction. Thank you for their professional knowledge and expertise to succeed”. Czech Gas Networks Investments S.à.r.l. (CGNI) is the par- ent company of the Czech Grid Holding a.s., the owner and operator of the largest fully regulated natural gas distri- bution network in the Czech Republic, which covers more than 80% of the country’s energy market and is provided by two companies – (cid:11)as(cid:18)et and (cid:11)as(cid:18)et (cid:23)lu(cid:399)by. Given its strong commitment to ESG and the adjustments needed to its network assets and renewal strategy to reach net-zero by 2050, CGNI was looking to optimise its debt capital structure using its Green Finance Framework, which is closely aligned to the EU’s Taxonomy Regulation. CGNI’s aim was to find the best balance between debt capital markets and bank loans, and the financing of eligible green projects. This led to the issuance of its inaugural €500 million 8-year Green Bond in September 2021 with UniCredit as Joint Bookrunner. 4 6 2021 Annual Reports and Accounts · UniCredit Through MicroCredits, UniCredit is able to promote the crea- tion and development of small companies not only through conventional forms of financing, but also by making the necessary expertise available. A MicroCredit is part of the Social Impact Banking Initiative and an effective instrument for corporate and social devel- opment. UniCredit Bank Austria extended a MicroCredit so Ulrike could finance her ambition and benefit from access to a network of mentors, who provided her with more day-to- day, holistic advice. In August, Ulrike joyfully threw open the doors to her new premises in Vienna’s first district in a ceremony shared with close friends, city representatives and the local press. Thanks to the fruitful cooperation, there are now two loca- tions where consumers can find Ulrike’s unique brand of ‘homemade happiness’. Despite the entrepreneurial challenges and uncertainty of expanding during a global pandemic, Ulrike’s courage paid off, and she fulfilled her long standing dream of growing her business with UniCredit Bank Austria’s help. Reflecting on the leap she made, she commented: “UniCredit Bank Austria has supported us in this big step. Not only with a favourable microcredit, but with com- prehensive actionable advice. The many lockdowns were a challenge. But I used the time to design new products. Despite the Pandemic, I knew it was the right time to further grow my business”. COUNTRY AUSTRIA LA SCHACHTULA SECTOR: FASHION ESG FOCUS OUR COMMUNITIES With an enduring commitment to sustainability and detailed craftsmanship, Ulrike Eckerstorfer’s artisanal ‘La Schachtula’ prides itself on “homemade gifts that tug at the heartstrings”. Her pieces, suitable for every occasion and ranging from tea towels to cuddly toys, are sourced from 100% natural materials and tell a vivid story grounded in both Austrian heritage and her own family history, having been taught to sew by her mother at a young age. For Ulrike, regionality is both a deeply rooted and passion- ately lived philosophy. That is why she not only opts for 100% Austrian materi- als, but wholly Austrian supply chains. Her fabrics derive from exclusively selected partners and are woven in the heartlands of Vorarlberg and the Mühlviertel region (Upper Austria). Sustainability informs every decision and sits at the very core of her value proposition, from product right down to handmade packaging. In March 2021, spurred on to take the reins and play an active role in stimulating a domestic economy beset by Covid-19, Ulrike took the courageous step to open a second shop in Vienna. UniCredit Bank Austria had supported Ulrike in the estab- lishment of her first shop. Believing that good ideas deserve a chance, UniCredit Bank Austria were determined to help Ulrike’s business continue to thrive. UniCredit · 2021 Annual Reports and Accounts 4 7 COUNTRY AUSTRIA OUR COMMUNITIES MAGDAS - SOCIAL BUSINESS OF CARITAS OF THE ARCHDIOCESE OF VIENNA SECTOR: SOCIAL CARE ESG FOCUS Magdas was founded by the Archdiocese of Vienna’s Caritas in April 2012 with the entrepreneurial objective of solving social issues. Their projects are economically self-sustaining, and their ultimate goal is and remains solving a social challenge. They provide meaningful apprenticeships and jobs and create prospects for people who do not get a chance with many other employers. They see potential where others focus on hurdles. Magdas is a story with proof that things can be done differently. In autumn 2020 they approached UniCredit Bank Austria enquiring about financing possibilities for the project “magdas HOTEL City”, the challenge was their ambitions needed to be developed right in the middle of the Covid-19 pandemic in order to open the new Hotel which is now planned for Autumn 2022. Our team at UniCredit Bank Austria evaluated the project within the framework of our Social Impact Banking pro- gramme and granted the client with a funding of €5.7 mil- lion from June 2021 for a 20-year term. COUNTRY AUSTRIA HARALD MADL OUR PEOPLE ROLE: CORPORATE RELATIONSHIP MANAGER ESG FOCUS At the heart of UniCredit Bank Austria is our community. We are always striving to do better, to do more to empower our communities to progress and to lead the lives that they deserve. Therefore, above all else, we place huge importance on identifying critical need projects that require support. Last year, we leveraged impact financing for the construc- tion of a new Ronald McDonald’s Children’s Aid House on the grounds of University Hospital Salzburg. The construction of the new house will enable four times as many families to stay close to their seriously ill children during their treatment at the hospital. In total, this amounts to 15 flats which will be made available to around 300 families per year. This new building will make all the difference to the parents and carers of children who are undergoing life-saving treat- ment. I strongly believe that this geographical proximity will not only provide families with the courage to remain strong for their children, but it will also provide the young patients 2021 Annual Reports and Accounts · UniCredit Thanks to our support magdas was able to successfully launch its programme to reintegrate around 15 people per year into the labour market, thus achieving its goal of creat- ing job opportunities for the disadvantaged. Based on the experience with other Caritas projects, we are confident that about 70 people will be successfully reintegrated into society over the next five years thanks to UniCredit’s support. Klaus Schwertner, Managing Director of the Archdiocese of Vienna’s Caritas, commented on our collaboration “The Covid-19 pandemic is causing adversity, especially for people with a refugee background. In magdas HOTEL they have the opportunity to develop their potential. We are very pleased to have found a partner in UniCredit Bank Austria and its Social Impact Initiative, which shares our commitment to society”. with the familial care and comfort that they require to help them through the healing process. I am humbled to be part of UniCredit: a bank that never ceases in its ambition to help those within the community who need it most, a bank who will never stop putting our people at the centre of everything that we do. It is “an incredible feeling knowing I work for a Bank that truly cares for its people and empowers our communities to progress – that’s the UniCredit way”. 4 8 our bank closer together. Our employees have embraced this opportunity to further their environmental education. Currently, they are busy planning educational workshops with our beekeeper Marian Aschenbrenner, which will take place at UniCredit Centre Am Kaiserwasser in the Spring. Through these workshops, participants can fully immerse themselves in the world of bees – learning about biodiver- sity and ecological interrelationships, including bee work with all senses. For CEO Robert Zadrazil, the settlement of the bees was a logical next step: “With this initiative, we are also strength- ening the ecologically important ‘bee fleet’ here in Vienna, and bee workshops for school classes in our UniCredit Centre Am Kaiserwasser. All in all, a nice, consistent project that ideally complements our existing initiatives in the environ- mental, sustainability and education sectors!” We are excited to continue our partnership with Bienenzentrum for the foreseeable future and to benefit from their expertise in the professional care of bees. With their help, we hope to further our education and to achieve something more, together. COUNTRY AUSTRIA ROBERT ZADRAZIL ROLE: CEO AUSTRIA ESG STORY OUR PEOPLE At UniCredit Bank Austria, ecological sustainability plays a critical role in both the way we do business and the way we impact the communities in which we operate. It is a widely reported fact that global bee populations are in decline. The loss of habitats due to urbanization and farm- ing, the effects of climate change, and the widespread use of pesticides are all contributing to this phenomenon, which has dire implications for our world. Bees play a major role as pollinators of plants that other species need to survive; if we lose them, all of nature will feel the catastrophic effects. UniCredit Bank Austria saw this as a call to action. We were determined that we would take responsibility for this crisis in the natural world. What is more, we would respond to it in the right way. That’s why we partnered with Bienenzentrum (“Bee Centre”, (cid:6)(cid:13)(cid:9)(cid:30)(cid:9)(cid:18) – Wiener (cid:12)onigmanufaktur(cid:74) to launch this initiative. Bienenzentrum are a group that is completely committed to organic beekeeping. With their help, Bank Austria have given a home to more than one million bees on the roof terrace of our Vienna headquarters in the past two years. Within a flight radius of 3 kilometres around the beehives, the bee colonies on our campus travel around 75 million kil- ometres and supply the bank with around 500 kg of organic honey per year, which makes an excellent gift to customers, partners, and employees. As well as providing a space for twenty bee colonies to flour- ish, this initiative has also brough the community within UniCredit · 2021 Annual Reports and Accounts 4 9 OUR COMMUNITIES Social Impact Banking is UniCredit’s commitment to build- ing a fairer and more inclusive society by identifying, financing, and promoting initiatives that will have a lasting positive impact on society. Recognizing the exceptional standard of care that Viola delivers and their admirable mission to provide an idylli- cally harmonious home for their residents as they advance towards their sunset years, UniCredit was keen to support the institution’s cause of serving more of the region’s elderly community. The UniCredit team provided Viola with a long-term investment credit, which enabled them to finance the construction of a brand-new home called Building C. Their new building, which opened in the first quarter of 2022, increased the home’s capacity by an additional 99 residents, whilst also meeting the highest energy efficiency standards for a project of its type and creating 20 new jobs. UniCredit’s support not only enabled Viola to accommodate more elderly guests, but it also meant that the care home was able to provide their residents who suffer from demen- tia with the physical and emotional assistance they require and deserve. Building C’s provision of dementia care makes it a unique facility in the region and, importantly, it serves to ease the caregiving burden placed on local families, with Vivien Magyari, Co-owner commenting “What do we think is good about the cooperation between UniCredit Bank Hungary and us? As a well-known television personality once said: You can only do well if you’re on good terms with the person you’re doing it with. The great thing about our collaboration with the bank is that we are not only pursuing short-term goals, but we can also be partners in long-term thinking”. COUNTRY HUNGARY MAGYARI NON-PROFIT KFT (VIOLA RETIREMENT HOME) SECTOR: HEALTHCARE ESG FOCUS Nyékládháza’s Magyari Nonprofit Kft, also referred to as Viola Retirement Home, is known in the region of Northern Hungary for its model of community-centric care and its high standard of round-the-clock emotional and physical sup- port. From taking care of retrieving prescription medicines, to running an extensive recreational activities programme that aims to elicit a sense of wellbeing and togetherness, there is no stone left unturned when it comes to Viola’s treatment of its guests. The design of the home is modern, with Viola’s designers bringing to life a vision of comfort against a canvas of bright living spaces. Not only is the home aesthetically pleasing but it is also highly functional. Accessibility features such as handrails, ramps, and lifts are to be found in both individual rooms and public areas, both of which have been built with a barrier- free approach. Ultimately, Viola prides itself on enhancing the lives of those in their elderly years who wish to maintain a sense of independence and community, whilst also requir- ing on-site care and support. However, due to their stellar reputation, Viola faced a prob- lem: the demand for spaces outstripped available space, which previously sat at just shy of a hundred permanent residents. With each passing day, the waitlist grew and grew. Knowing that they could do more in terms of service delivery and determined that no-one would be denied residency at their care home, Viola decided to seek help from UniCredit Bank Hungary. 5 0 2021 Annual Reports and Accounts · UniCredit In August 2021, more than one hundred of UniCredit’s employees helped with the renovation of the Scouts centre and its surroundings in Bohinj. (cid:24)he centre will host (cid:110)(cid:107) children from (cid:30)(cid:20)(cid:17) (cid:16)(cid:40)ubl(cid:40)ana (cid:17)oste – Polje for a week of relaxation. The children’s week of fun and tranquillity at the Scouts centre will provide them with a much-needed break from their everyday lives but they will also have the opportunity to acquire, with the help and guid- ance of professionals, social and other skills. As the New Year approached, the support of UniCredit’s staff for the camp was highlighted by the combined donation of (cid:119)(cid:108)(cid:112) thousand made by the (cid:6)ank. (cid:30)(cid:20)(cid:17) and (cid:25)ni(cid:7)redit’s synergistic partnership also extended to the inception of the Giftmatching programme, taking place during the last months of 2021. The amount donated by the employees – including from the UniCredit Foundation - will be around €3 thousand. Emphasizing the magnitude of UniCredit’s support of their initiative, Anita Ogulin, President of ZPM Ljubljana Moste – Polje, commented: “Together with UniCredit, we have already helped many families from all over Slovenia on their way to equal opportunities. We are sincerely grateful for the bank’s contribution to our empowerment programs that restore strength, courage, and dignity to families so they may live independently. The support and involvement of various members of society will be of the utmost importance in the coming period”. COUNTRY SLOVENIA OUR CLIENTS ZVEZA PRIJATELJEV MLADINE (ZPM) LJUBLJANA MOSTE – POLJE SECTOR: NON-PROFIT HUMANITARIAN ORGANIZATION ESG FOCUS UniCredit Bank Slovenia has been affiliated with the charity organisation ZPM Ljubljana Moste-Polje since 2009. The non-profit and humanitarian organisation is committed to improving the quality of life of young people and fami- lies by representing their interests, asserting their needs, and protecting their rights. (cid:30)(cid:20)(cid:17) is driven by the value of social inclusion to improve the terms on which individuals and groups take part in society. Propelling their aim forward is a team of forty specialists, including social workers and legal counsellors, as well as a devoted team of volunteers. Traditionally, the organisation drew the bulk of its funding from the public and local businesses in order to support families in paying for basic living expenses. However, as the pandemic took hold and the financial situ- ation (cid:47)uickly worsened for many families in (cid:23)lovenia, (cid:30)(cid:20)(cid:17) realised that they had to do more than just offer financial assistance. While financial assistance can make an instant impact, (cid:30)(cid:17)(cid:20) knew that to facilitate lasting change they needed to adopt a systematic approach – and so the “Chain of Good People” project was born. The programme is grounded in the organisation’s long-term work with families and covers areas such as psychosocial assistance, effective parent- ing, and housekeeping training. Recognising the astonishing work of the project and its extraordinary assistance programme for the alleviation of poverty, the UniCredit Foundation donated €10 thousand to the “Chain of Good People”. And the collaboration with UniCredit did not stop there. UniCredit · 2021 Annual Reports and Accounts 5 1 COUNTRY SLOVAKIA OUR CLIENTS DM DROGERIE MARKT, S.R.O. SECTOR: RETAIL PERSONAL CARE AND BEAUTY Dm drogerie markt, s.r.o. is a chain of retail stores that offer cosmetics, healthcare items, household products and health food and drinks. The company is part of the dm Group, headquartered in Germany and present across Europe with more than 3,862 points of sale, including in Germany, Austria, Bosnia and Herzegovina, Bulgaria, Italy, Croatia, Serbia and North Macedonia, Romania, Slovakia, Slovenia, the Czech Republic and Hungary. dm drogerie markt in Slovakia was looking for a new banking partner to support it with a full range of bank products and services. UniCredit successfully pitched for this role with a tailored approach and clear objectives. It supported dm drogerie markt with a total of €8.5 million in 2021 providing finan- cial support for the company’s multipurpose, overdraft and bank guarantee lines, credit cards, its leasing framework, SEPA direct limit and acquiring services. This had a significant positive financial impact on dm drog- erie markt, allowing the company to cover turbulence in cash management during seasonal peaks thanks to COUNTRY (cid:6)(cid:19)(cid:23)(cid:18)(cid:13)(cid:5) (cid:5)(cid:18)(cid:8) (cid:12)(cid:9)(cid:22)(cid:30)(cid:9)(cid:11)(cid:19)(cid:26)(cid:13)(cid:18)(cid:5) OUR CLIENTS HOTEL SUNCE D.O.O. NEUM SECTOR: TOURISM Hotel Sunce d.o.o. Neum is one of two largest hotels in Neum, the only coastal town in Bosnia and Herzegovina. After an extremely successful tourist season in 2019, its best to date, the company decided to invest in expanding its offer and redecorating its premises. To do this, it obtained two long-term loans in the total amount of €2.675 million from UniCredit in December 2019 to start works immediately and be ready for the 2020 tourist season. However, in 2020 when the Covid-19 pandemic hit, the tourism sector in Bosnia & Herzegovina as in many other countries was severely impacted by travel restrictions. Given this situation, Hotel Sunce turned to UniCredit to dis- cuss the best way forward. UniCredit reacted quickly to the company’s financial needs, granting it an 18-month grace period on its loans to help Hotel Sunce navigate the nega- tive impact of Covid-19 on its business. In 2021, with Covid-19 restrictions easing and tourism returning to Neum, Hotel Sunce was able to obtain 80% of the revenues it had generated in 2019, at the peak of busi- ness, which meant the grace period on its loan repayments could be finished one month early. Hotel Sunce is now back to strong financial health and already planning new investments to further enhance its offer to customers, in collaboration with UniCredit. 5 2 2021 Annual Reports and Accounts · UniCredit the overdraft line, issue rental guarantees thanks to bank guarantees, lease passenger cars using a new and effective leasing framework, enhance its cash management thanks to the SEPA direct limit and smart safes solution, and custom- ise its acquiring services in line with customer expectations of a smooth and efficient process. Zuzana Klena Kostková, dm drogerie markt Procurist, commented: “Thanks to this cooperation we have been proposed with professional, cus- tomised financial solutions, which have helped us in acquir- ing and cash management”. Meanwhile the two loans originally granted in 2019, have been used to renovate 100 rooms, common areas, the façade and outdoor pool of the hotel, making it more attractive and helping Hotel Sunce stand out amongst competition. (cid:16)(cid:51)(cid:41)(cid:31) (cid:20)(cid:48)(cid:41)(cid:31)(cid:310)(cid:39)(cid:44), CEO of the Hotel Sunce Neum, commented “Having a partner and support is key to business progress and success, especially in times of economic crisis. When deciding to undertake business ventures in order improve business during such a period, questions and worries arise how to get through it. The support and understanding provided by UniCredit Bank were crucial. We thus overcame the negative effects caused by the pandemic and successfully welcomed the tourist sea- son by improving our services’’. COUNTRY (cid:6)(cid:19)(cid:23)(cid:18)(cid:13)(cid:5) (cid:5)(cid:18)(cid:8) (cid:12)(cid:9)(cid:22)(cid:30)(cid:9)(cid:11)(cid:19)(cid:26)(cid:13)(cid:18)(cid:5) OUR CLIENTS CENTAR FOR ELDERLY “SUNCE” SECTOR: CARE FOR THE ELDERLY Centar for elderly “Sunce” is a care centre for the elderly in Bosnia and Herzegovina. During the pandemic, its care cen- tre faced significant disruption as both, staff and customers were becoming infected with Covid-19. The business continuity of the centre came under sub- stantial risk due to decreased capacity and increased costs given the need for more medical staff and improved health services in response to the Covid-19 virus. The UniCredit team worked with the centre in March 2021 to help manage its financial obligations during the pandemic. This meant reprogramming the company’s out- standing loans by granting it a grace period of 12 months. In addition, UniCredit helped provide Centar for elderly “Sunce” with a Guarantee Fund credit line for working capital. This allowed the business to overcome its financial difficul- ties and continue supporting the elderly throughout the pandemic and beyond. (cid:22)(cid:31)(cid:34)(cid:45)(cid:43)(cid:39)(cid:48) (cid:204)(cid:51)(cid:307)(cid:51)(cid:42)(cid:31), Director and legal representative, commented “Taking care of the elderly is a job that comes with great responsibilities. COUNTRY (cid:6)(cid:19)(cid:23)(cid:18)(cid:13)(cid:5) (cid:5)(cid:18)(cid:8) (cid:12)(cid:9)(cid:22)(cid:30)(cid:9)(cid:11)(cid:19)(cid:26)(cid:13)(cid:18)(cid:5) OUR CLIENTS (cid:24)(cid:5)(cid:20)(cid:9)(cid:24)(cid:5)(cid:22)(cid:13)(cid:14)(cid:5) (cid:17)(cid:5)(cid:24)(cid:13)(cid:204) SECTOR: FURNITURE MANUFACTURING (cid:24)apetari(cid:40)a (cid:17)ati(cid:307) is a furniture manufacturer based in Bosnia and Herzegovina with a strong focus on the export market, which covers around 80% of its core business. (cid:5)t the start of the (cid:7)ovid(cid:81)(cid:108)(cid:116) pandemic, (cid:24)apetari(cid:40)a (cid:17)ati(cid:307) had to stop manufacturing for two months resulting in signifi- cant financial stress for the business. With continued uncertainty, the company looked for a bank- ing partner to provide financial support during this dif- ficult time. UniCredit first addressed this need in April 2020 by granting temporary financial relief on (cid:24)apetari(cid:40)a (cid:17)ati(cid:307)’s loan repayments. After this, our bank also provided the company with a 36-month loan in June 2020 and further support for recovery and business growth through the Guarantee Fund across 2021. (cid:24)his allowed (cid:24)apetari(cid:40)a (cid:17)ati(cid:307) to make a fast recovery in its sale volumes, increase production and even employ addi- tional workers. The company has also been able to follow its growth ambitions by investing in the procurement of new equipment to meet growing furniture demand. The first wave of the pandemic had tremendous conse- quences on us, but thanks to UniCredit’s support we managed to provide the same level of care to patients. Once again, you proved to be the right partner in the most difficult moments”. (cid:8)(cid:51)(cid:372)(cid:31)(cid:44) (cid:17)(cid:31)(cid:50)(cid:39)(cid:307), CEO and legal representative, commented: “UniCredit supported us while we were striving to preserve the business we built over 20 years ago. Thanks to the help and advice received, I recognized a quality business partnership that I want to be loyal to. You are doing the right thing at the right time”. UniCredit · 2021 Annual Reports and Accounts 5 3 Eastern Europe 28 2021 Annual Reports and Accounts · UniCredit COUNTRY BULGARIA CUPFFEE SECTOR: FOOD TECHNOLOGY ESG FOCUS Over a decade ago, Bulgarian start-up Cupffee set about working to achieve its mission: to revolutionise the hot and cold beverage sector by redefining sustainability. CEO Miroslav Zapryanov and his Plovdiv-based team began cre- ating edible, biodegradable ‘cookie cups’ that obliterate the need for plastic and single-use alternatives. From mixing ingredients, through to dough making, baking, and packag- ing, (cid:30)apryanov has striven for (cid:7)upffee’s production process to be at the cutting edge of automation and digitalisation. Moreover, the use of wholly natural ingredients means that this process does not generate any excess industrial waste; just clean steam and the tasty aroma of freshly-baked cook- ies. As a testament to the popularity of the product and the brand’s mantra of environmental responsibility and social consciousness, participants in meetings involving the Bulgarian Parliamentary Committee on Environment and Water began drinking their coffee in Cupffee cookie cups last year, with the company also becoming part of the world’s first long-haul flight without the use of disposable plastics on board. (cid:13)t was clear to (cid:30)apryanov that (cid:7)upffee held vast potential. (cid:24)o fully realise it, he had to take the next step. Cupffee needed to increase industrial production whilst, at the same time, ensuring sufficient liquidity to cover the CEO’s growing OUR CLIENTS working capital needs. (cid:30)apryanov and the team would need support if they were to make this transition and spark the revolution they desired. Thankfully, UniCredit Bulbank saw its potential as well. The bank provided Cupffee with two targeted credit lines (Investment Line: purchase of a production line; Credit line: working capital needs; Size (total amount: €1.5 thousand) to both finance the purchase of a new production line and pro- vide assistance in optimising the company’s balance sheet during its crucial start-up phase. Bulbank’s help has been nothing short of revolutionary for Cupffee. In September this year, the startup opened the first fully-automated European production plant for edible, biodegradable cups, with a capacity of 2,500,000 cups a month. The factory occupies 3,600 sq m in Plovdiv’s Trakia (cid:9)conomic (cid:30)one and currently employs more than thirty peo- ple. (cid:8)espite this success, (cid:30)apryanov certainly isn’t resting on his laurels. The company aims to boost its monthly pro- duction capacity by another 7,500,000 cups in the coming months. “Thanks to our strong and highly motivated team,” he says, “and with gratitude to UniCredit Bulbank, we man- aged to find a solution that both improves the environment and protects our nature’s wealth. The bank is our ultimate financial partner and we greatly rely on its expertise and support. Having a like-minded partner is critical in the reali- sation of further business”. UniCredit · 2021 Annual Reports and Accounts 5 5 COUNTRY BULGARIA ALCOMET AD OUR CLIENTS SECTOR: ALUMINIUM PRODUCTION Alcomet AD is the largest Bulgarian manufacturer of rolled and extruded aluminium products. The company offers a broad range of aluminium semi-finished products from household to technical use with 95% of its total production exported, mainly to Europe and the US. In 2020, Alcomet AD started looking for a reliable and flexible solution for the insurance of the company’s long-term assets, which amount to over €200 million in total value and face a complex range of varying risks given the technology, state-of-the-art equipment and large-scale facilities involved in its core activities. The UniCredit Bulbank team together with UniCredit Insurance Broker supported Alcomet AD throughout the search process, starting by providing a pool of the most relevant options and later supporting the company with expertise in the selection phase which was completed in 2021. As a result, Alcomet AD was able to find a suitable insurance solution to cover all the wide ranging and complex risks COUNTRY BULGARIA SOLMATE LTD SECTOR: FASHION OUR CLIENTS Solmate LTD is the fashion company behind By Far, a designer accessories brand from Bulgaria that reinvents timeless silhouettes. It was collectively established in 2016 by sisters Valentina Ignatova, Sabina Gyosheva and Denitsa Bumbarova. Through their diverse interests, each founder brings a distinct voice and versatile skills to the label, cultivating design aesthetics tailored to adapt to the complexity of modern life. In 2021, Solmate LTD needed working capital financing to support the growth of its business through the opening of physical stores in the US and China and the addition of new product categories in 2021/22. The UniCredit Bulbank team provided Solmate LTD with a €4 million working capital revolving credit line in March 2021, supporting the company’s ambitions and growth plans, which are now well underway. 5 6 2021 Annual Reports and Accounts · UniCredit related to its production and payments as well as relations with partners, vendors and clients. Semih Baturay, Member of the Management Board, Financial Director, commented “We are glad and could proudly state, that through all the years of our relationship with UniCredit, the bank has proven itself to be a reliable and trustworthy partner in all fields of finance. UniCredit always finds the suitable solution no matter how complex or tailor- made it might be”. Strahil Pechilkov, Solmate LTD CFO, commented “We are enthusiastic and proud to work with UniCredit Bulbank and confident that with the help of a reliable financial partner like them we can achieve our goal of triple digit growth in the next 3 years”. COUNTRY SERBIA PLANET BIKE OUR CLIENTS SECTOR: OUTDOOR & SPORTING GOODS The onset of the pandemic not only radically changed our working habits, but it transformed the way we move around our towns and cities. More and more people are turning to cycling for its con- venience and environmentally-friendly status, as one of the lowest carbon-per-kilometre modes of transport. In consequence, market demand has increased exponen- tially, challenging both manufacturers’ supply chains and their production capacity. Planet Bike, a Serbian company specialising in the production and sale of bicycles and the distribution of other sports equipment across a vast whole- sale network, found itself facing higher demand than ever. During a particularly busy 2020, in which the businesses struggled to maintain pace with the heightened European demand, Planet Bike recognised that this was its moment to expand. Immediately it sought to increase its existing capacity by building a new factory and storage space. It also planned to purchase new equipment in order to reach a production figure of 200,000 bicycles annually. Notably, the new project would also enable Planet Bike to start manufacturing e-bicycles, latching onto a nascent market driven by broader societal sustainability trends. Support in this venture came via UniCredit Bank Serbia, who in November last year granted Planet Bike a long-term investment loan of €2.2 million from the KFW rural credit line program, as well as working capital to the tune of €1 million in the form of a revolving loan. UniCredit’s financing and a grant received from the Serbian government soon led to the planning of a new production facility in Krusevac, where state-of-the-art robotic tech- nology will be used in the manufacture and installation of certain bicycle components. Undoubtedly, the crown jewel of the new site is the 4,150 sq m operations hall in which each part of the production process will be centralised, including a fully automatic line for the painting of frames, forks, and other key components. Alongside the benefits associated with automating parts of the commercial process, UniCredit’s help to finance the new factory will, most importantly, help to benefit the wider community. The factory will bolster local employ- ment through the creation of 70 new jobs, with the company publicly stating its ambition to hire additional engineers in the near future. A modern company with truly modern aspirations, Planet Bike is now on the precipice of becoming the dominant bicycle manufacturer in Serbia, as well as the first mover in the production of e-bicycles – a market that is expected to grow by 200% globally by 2030 – with Managing Director, (cid:16)(cid:31)(cid:56)(cid:31)(cid:48) (cid:207)v(cid:45)(cid:48)(cid:45), commenting: “We have been producing bicycles for 27 years. Planet Bike has reached the limit of production. Now we are building a new bicycle factory - modern facilities and the most modern production equip- ment. The annual capacity will be 300,000 bicycles and electric bicycles, mostly for export to the EU. Unicredit Bank fully understood our ideas and potential, supporting us as a partner by optimally monitoring investments”. UniCredit · 2021 Annual Reports and Accounts 5 7 COUNTRY SERBIA ELICIO ALI VE SECTOR: ENERGY OUR CLIENTS Elicio Ali VE is a 100% subsidiary of Elicio NV, a young and ambitious energy producer with the goal to ensure a sus- tainable and better world for everyone. The company started as a pioneer in onshore and offshore wind energy in Belgium and has grown to be an internation- al player in the sector with a growing portfolio of wind farms in Belgium, France, Serbia, Spain and in Scottish waters. In July 2021, Elicio Ali VE was looking for refinancing for its Alibunar 42MW wind farm, which supplies energy to nearly 30,000 households in Serbia. UniCredit Bank Serbia worked with Elicio Ali VE to complete the required transaction as the leading structuring bank and sole lender in the €53 million refinancing. The transaction represented an important milestone for the Serbian renewables market, demonstrating its strong fundamentals and bankability. Furthermore, the green energy that can be produced as a result is expected to reduce carbon-dioxide emissions in Serbia by 94,455 tonnes per year. COUNTRY ROMANIA OUR CLIENTS LICEUL TEORETIC ATLAS (ATLAS THEORETICAL HIGH SCHOOL) SECTOR: EDUCATION ESG FOCUS Liceul Teoretic Atlas is a high school in Romania that needed financing for a new building. The UniCredit team in Romania provided the school with an investment loan under special pricing conditions for this purpose, which was originally dis- bursed in October 2020 with a 10-year reimbursement period. 75% of the loan was used for the acquisition of a new building, completed in 2021 (RON2.8 million), and the financing structure also allowed the client to spend further own funds on building and schoolyard refurbishment. Furthermore, thanks to the support to the school’s cashflows from the loan, it was able to continue to sustain its spending in other key areas last year, including on providing special educational activities for pupils with disabilities. The Founders of the school, Anda Demeter and Irina Laura (cid:22)(cid:300)(cid:39)(cid:42)(cid:35)(cid:31)(cid:44)(cid:51)(cid:65) commented “We are extremely pleased that by accessing this loan we could start our dream project: the 2021 Annual Reports and Accounts · UniCredit Alain Janssens, CEO of Elicio, commented: “This refinanc- ing represents an important milestone for the Serbian renewables market as it affirms the project and the bankable regulatory environment for renewable energy production in the country. The transaction also confirms the funding available in the Serbian market to locally finance well-structured projects and to do so on longer tenors. We are grateful to UniCredit for supporting us in this journey”. purchase and renovation of a building, the establishment of Atlas Primary and Secondary School and the provision of equal educational opportunities for children with disabilities. We thank UniCredit Bank for their amazing support”. 5 8 nearby areas with the required skills and training to become specialists in wind energy and electricity distribution. The loan from UniCredit Romania covers 90% of the total €954 thousand investment required for the project, and will be used for equipment, accommodation and other support activities needed to carry out the training programmes. The overarching objective of the RenewAcad project is to pro- vide employees and former employees from less developed areas in Romania, who may hold lower academic qualifica- tions, with the opportunity to continue their learning through dedicated programmes. With UniCredit’s support, RenewAcad expects to be able to help more than 400 people find new employment and to provide training for more than 700 people. In addition, this initiative will allow Wind Power Energy and its partners to contribute to Romania’s economic development by ensuring better employment opportunities. Importantly, it will also make certain that the energy transi- tion does not leave anyone in its wake. Business Development Manager, Sebastian Enache, com- mented “We are proud to implement an innovative project for the first time in Europe. As Romania will have more than 10,000 MW newly installed by 2030, we want to build up the necessary infrastructure to support skilling and re-skilling activities, needed for this sector. We thank UniCredit for the trust and we hope to work together on further renewable projects in the future”. COUNTRY ROMANIA OUR COMMUNITIES WIND POWER ENERGY SRL SECTOR: RENEWABLE ENERGY ESG FOCUS Founded in 2007, Wind Power Energy SRL is a member of the Monsson Group and is one of the leading players in the renewables sector in Romania and across Europe. The company offers an extensive range of products and services to facilitate the energy transition and has designed over 5,000 MW of wind energy projects over the last five years, including Europe’s largest onshore wind farm. Wind Power Energy is best known for its team of experts who provide information services and professional con- sultancy in addition to carrying out technical analysis, wind studies, infrastructure projects, and communications for the wind farms developed by the Monsson Group. It also runs several vocational education and training programmes. In 2019, the company partnered with the Renewable Energy School of Skills (RESS) and the Romanian Wind Energy Association (RWEA) to launch the project RenewAcad – Academy for Counseling and Professional Training for Renewable Energy Sources. This project was born out of two necessities: change, and increasing awareness that the energy transition assumes certain jobs will disappear over time. To support this initiative, the UniCredit team in Romania, together with the European Social Fund’s Human Operational Programme, provided the necessary financing for the Academy to start its activities. As a result, in September 2021, one of the largest professional retraining pro- grammes for miners and former miners was launched in the Jiu Valley, specifically designated by the Romanian gov- ernment for carbon transition. One of the Academy’s goals is to provide all miners and former miners in the valley and UniCredit · 2021 Annual Reports and Accounts 5 9 COUNTRY RUSSIA RUSSIAN RAILWAYS SECTOR: TRANSPORT ESG FOCUS OUR CLIENTS Russian Railways is a state-owned railway company and the largest commercial employer in Russia with around 723,000 employees. It is also one of the top three railway companies worldwide. The railway complex is of particular strategic importance for Russia to ensure the stable operation of its industrial enterprises and the timely supply of essential goods to the most remote corners of the country. It is also the most affordable form of transport for millions of Russian citizens. In 2021, Russian Railways was looking for an international loan linked to the company’s environmental performance, in line with the targets of its Environmental Strategy. In July last year it became the first company in Russia’s transport sector to secure such a loan with our bank’s help. UniCredit provided Russian Railways with a Sustainability- linked CHF585 million (approximately €545 million) seven- year facility with interest tied to the achievement of the company’s annual sustainable development targets according to Ecological Strategy until 2030. The latter includes the reduction of emissions, of water consumption and the share of production waste for disposal. COUNTRY RUSSIA ZF KAMA SECTOR: AUTOMOTIVE OUR CLIENTS (cid:30)(cid:10) (cid:15)ama was established in (cid:22)ussia in (cid:109)(cid:107)(cid:107)(cid:112) as part of the ZF global technology company that supplies systems for passenger cars, commercial vehicles and industrial technology, enabling the next generation of mobility. The company’s aim in Russia is to develop local automotive production and modernise transmissions, both of which tend to be highly capital-intensive activities. (cid:13)ndustrial (cid:13)n (cid:109)(cid:107)(cid:109)(cid:107), (cid:30)(cid:10) (cid:15)ama approached (cid:22)ussia’s Development Fund for special subsidised financing from the government. UniCredit supported the company in this process by provid- ing the necessary bank guarantee as collateral to secure the state financing, which was finalised in 2021. (cid:24)his allowed (cid:30)(cid:10) (cid:15)ama to receive funding at favourable terms, which it used to modernise its operations to master the production of automated TraXon transmissions, electric power steering and cab suspension for trucks. (cid:30)(cid:10) (cid:15)ama has set itself many ambitious business targets from the start 60 2021 Annual Reports and Accounts · UniCredit The proceeds from the loan are directed towards the com- pany’s corporate purposes, including capital expenditure, helping it progress its Environmental Strategy and sup- port key environmental and social projects. Furthermore, the loan’s interest rate can also be reduced if relevant goals are successfully met. “The principle of balancing various goals - economic, envi- ronmental and social - is an important aspect of sustainable development in Russian Railways. We are pleased that, with the help of UniCredit, we were able to link our economic and ESG goals, and thus create additional incentives for internal development towards sus- tainability targets and support the Russian Railways respon- sible borrower image” commented Vadim Mikhaylov, First Deputy CEO of Russian Railways. and with the help of this funding and with UniCredit’s finan- cial expertise, all its goals are now within reach. Furthermore, the modernisation of its production will help secure the company’s top position in the local automotive sector while it continues to successfully develop its activi- ties further. “We appreciate our current cooperation with UniCredit Bank and hope for the future fruitful cooperation”. commented Chief Financial Officer, Marat Gazizov. PAESE RUSSIA OUR COMMUNITIES CHARITY FOUNDATION FOR THE SUPPORT OF PEOPLE WITH SPECIAL NEEDS “I AM!” SECTOR: CHARITY ESG FOCUS The Charity Foundation for the Support of People with Special Needs “I am!” was established in 2012. The Foundation exists to provide support to children and adults with dis- abilities that will help them to live comfortable and fulfilling lives. “I am!” has undertaken projects of various sizes to sup- port disabled children and their families in their everyday lives, helping young people with disabilities to develop their talents and enjoy a high quality of life. In 2021, UniCredit Bank supported the project “Music Laboratory for Special People” at the training center “The Amazing Center” in Rostov-on-Don, with which the Foundation was involved. Volunteers from “I am!” came together with professional musicians and children with dis- abilities who participated in the project, providing music les- sons to the children. The project provided the children with a variety of musical instruments to learn, as well as offering singing lessons. The qualified teachers helped the children to not only develop their musical talents, but also to feel confident performing onstage in public. The project was so success- COUNTRY RUSSIA OUR CLIENTS VSMPO-AVISMA CORPORATION SECTOR: MANUFACTURING VSMPO-AVISMA Corporation is the world’s largest titanium producer based in Russia with operations also in Great Britain, Switzerland, Germany, the US and China. It is the number one supplier for Airbus and number two for Boeing as well as having several other tier one aircraft sup- pliers and producers as key clients. In 2021, VSMPO-AVISMA was looking for a new cash management solution for its international trading subsidiaries. The UniCredit team proposed a solution that allows the company to centralise its international cash flows within UniCredit Group whilst also offering a user-friendly and sophisticated e-Banking tool to operate the accounts. In this way, VSMPO-AVISMA now has a one-stop-shop for all its international cash management needs accompanied by UniCredit’s e-Banking Global tool to make the process safe, simple and efficient. ful that the children who played at the center formed their own rock band. To help them to continue to explore their creative expression and enjoy developing their talents, the grant provided by UniCredit Bank was used to purchase musi- cal equipment for the children. The band have gone on to perform concerts at the “I am!” Foundation’s representative office in Rostov-on-Don and at creative festivals for children with disabilities. Dmitry V. Osipov, CEO of VSMPO-AVISMA Corporation commented “UniCredit has been a key partner of VSMPO- AVISMA for many years servicing our needs in Russia. Last year was remarkable as our partnership turned into a truly global cooperation”. UniCredit · 2021 Annual Reports and Accounts 61 COUNTRY CROATIA DUNJA PRGOMET ROLE: CORPORATE COMMUNICATION SPECIALIST ESG STORY OUR PEOPLE this, we also raised funds for, amongst other things, hospital parking. This is something a lot of people take for granted, but often the smallest things can make a huge difference in such situations. Over time, we began to focus on specific projects like rehabilitation camps for children who have won the fight against these diseases. Above all else, I’m incredibly “proud to be an ambassador of the Bank, for eight years now, and to be given the opportu- nity to share in this experience with like-minded colleagues”. As a child, I was fortunate enough to be able to participate in several different humanitarian initiatives. During my time working with these charitable organizations, I witnessed the tangible positive impacts of their work on the lives of others. When (cid:13) (cid:40)oined (cid:30)agreba(cid:310)ka banka, (cid:13) was pleased to learn about their Gift Matching Program as it provided me with the perfect opportunity to continue my passion for philanthropic work. Apart from raising money to support causes financially, as an ambassador of UniCredit’s Gift Matching Program we are provided with the chance to meet people within the organi- zation that we are working with. To hear their stories and to receive another perspective on life is incredibly inspiring. Furthermore, UniCredit’s GMP has provided me with the rewarding sense that I am helping to shape people’s lives for the better. Through the GMP I have supported the Association of people with disabilities, in my hometown of Rovinj. Later, I had the chance to meet some amazing people from the Association Firefly (Krijesnica), which helps children and families facing malignant diseases. In partnership with a colleague, I decided to become their ambassador in Zaba. My work as an ambassador for the Association Firefly began with collecting donations for patients’ everyday activities and accommodation for out-of-town families who want to be near their loved ones as they undergo treatment. As well as 62 2021 Annual Reports and Accounts · UniCredit (cid:25)ni(cid:7)redit’s (cid:30)agrebacka (cid:6)anka’s #FirstTime project is a competition aimed at Croatian micro- and small businesses operating in the tourism sector. The winners are granted the necessary funds to conceive a targeted marketing campaign that will be aired on national television. The latest iteration of the competition saw an initial deluge of over three hundred applications, including renowned family hotels, resorts, and restaurants, shortlisted to fifteen unique locations and experiences. Fifteen quickly became two as the judges then picked their standout entries, with (cid:22)an(cid:310) (cid:22)amarin finally receiving (cid:119)(cid:110)(cid:114)(cid:112) thousand to finance the production, associated media costs, and market- ing collateral attached to its proposed campaign. As the new adverts aired in Spring, increased visibility led to increased revenues and a gradual recovery in booking volumes, with CEO (cid:5)(cid:44)(cid:40)(cid:31) (cid:11)(cid:31)(cid:42)(cid:45)v(cid:39)(cid:307) commenting “The #firsttime campaign has brought us recognition in all segments of our business and customer relations and we are happy that we have positioned ourselves on the rural recognition map throughout our beautiful country. We will continue to be guided by our vision to become a leading rural economy with a wealth of content in the region and beyond, and the (cid:25)ni(cid:7)redit (cid:30)aba campaign has certainly made a great contribution and has been the wind behind our vision”. COUNTRY CROATIA (cid:22)(cid:5)(cid:18)(cid:207) (cid:22)(cid:5)(cid:17)(cid:5)(cid:22)(cid:13)(cid:18) (cid:8).(cid:19).(cid:19) SECTOR: TOURISM OUR CLIENTS In the heart of Croatia’s Brod-Posavina County, sandwiched between the (cid:23)ava (cid:22)iver and the slopes of (cid:8)il(cid:40), lies (cid:22)an(cid:310) Ramarin. (cid:22)(cid:31)(cid:44)(cid:310) (cid:22)(cid:31)(cid:43)(cid:31)(cid:48)(cid:39)(cid:44) is a working ranch which has evolved into a thriving countryside idyll. Founded in 2008 as a paddock for the breeding of horses, (cid:22)an(cid:310) (cid:22)amarin has since transformed into a popular tourist destination, perfect for those seeking an active vacation in an oasis of peace. The site boasts accommodation for upwards of sixty people, including eleven luxury bungalows, as well as an expansive campsite with tent rental facilities. Guests can spend their days enjoying a spot of recrea- tional carp fishing, horse riding lessons, or exploring the numerous local hiking trails in nature’s warm glow. For the slightly more adventurous, (cid:22)an(cid:310) (cid:22)amarin recently opened a runway for recreational flying. As the night rolls in, the ranch’s gastronomic prowess comes to the fore. This manifests through regular banquets and wine-tasting eve- nings, hosted in its seventy(cid:81)person onsite restaurant. (cid:22)an(cid:310) Ramarin prides itself on sourcing all its ingredients from nearby family farms in order to offer guests an even more authentic experience. The dual combination of local lockdowns and closed borders saw the tourism and leisure industries bear the immediate economic brunt of the pandemic. With their (cid:109)(cid:107)(cid:109)(cid:107) revenues sharply declining, (cid:22)an(cid:310) (cid:22)amarin needed a bank that could help them survive the damaging economic effects of Covid-19. This is where UniCredit Zagrebacka Banka lent a hand. UniCredit · 2021 Annual Reports and Accounts 63 COUNTRY CROATIA (cid:18)(cid:13)(cid:15)(cid:19)(cid:16)(cid:13)(cid:18)(cid:5) (cid:30)(cid:9)(cid:207)(cid:13)(cid:204) OUR PEOPLE ROLE: HEAD OF CUSTOMER EXPERIENCE MANAGEMENT, MARKETING AND IDENTITY & COMMUNICATION ESG STORY Over the last two years, the entire world has been shaken by the crippling effects of an unprecedented global pandemic. To further this blow, our home country of Croatia was struck by a magnitude 6.2 earthquake which devastated the central region of Banija. The calamitous earthquake wreaked ruinous material damage in Petrinja, Sisak, Glina, and the surrounding areas, leaving many of the population homeless and in desperate need of immediate support. Bearing witness to the cataclysmic earthquake and the crushing effects it had on our communities, the UniCredit team at (cid:30)agrebacka (cid:6)anka knew that that it needed to act, and it needed to act fast. With great urgency, we worked within the Bank to be one of the first companies to provide a substantial donation to the Croatian Red Cross. However, we knew that there was so much more we could do to help. This is because UniCredit’s notion of care for our clients, communities, and colleagues transcends the work that we do professionally. Our understanding of care, which is not limited by the confines of our workplace, drives us to always pursue a more active in role society and to always strive to do more to support and help our communities. With that, we knew that we could turn to the UniCredit Foundation to bolster our donations to help our people. 64 2021 Annual Reports and Accounts · UniCredit Instantaneously, the UniCredit Foundation responded to our request for help by launching a fundraising initiative to support those impacted by the natural disaster. The fundraiser raised €100 thousand. The hundreds of thousands of donations which “flowed in from our UniCredit colleagues across several countries enabled the team at (cid:30)agrebacka to provide food and shelter to people whose lives had been devastated by the earthquake”. The philanthropic donations from our colleagues emphasises how caring for our communities, coming together to achieve one common goal is what UniCredit does best. This is because at UniCredit all that we are and all that we do is predicated on serving and supporting our people. PROMOTIONAL MESSAGE Breaking new ground: In supporting ethical fashion brand Quid, we are not only helping the company reduce its environmental impact, but also take concrete steps towards greater job inclusion. Our Clients Quid Italy Curious to know more? Check out the entire story (and others) on annualreport.unicredit.eu/en Lending a voice to the voiceless: We believe in equal opportunities, UniCredit Bank Slovenia’s long-standing collaboration with charity ZPM Ljubljana Moste-Polje has led to improved outcomes for children for well over a decade. Our Clients Zveza Prijateljev Mladine (ZPM) Ljubljana Mo'ste – Polje Slovenia Curious to know more? Check out the entire story (and others) on annualreport.unicredit.eu/en  Preliminary notes UniCredit · 2021 Annual Report and Accounts 67 Preliminary notes UniCredit prepares a single document called “Annual report and accounts” replacing the two documents relating to the UniCredit group consolidated financial statements and the UniCredit S.p.A. company financial statements. The integration of the contents of the two financial statements documents into a single one leadsto the elimination of duplications of the qualitative information presented in both files and, in order to facilitate the reading, the adoption of a system of cross-references between the chapters dedicated to the consolidated financial statements and the company ones; pursuant to these references the contents of the each referenced paragraph is entirely reported in the paragraph containing the reference. The chapter “Incorporations of qualitative information by reference” reports the list of the references. General aspects The UniCredit group’s Consolidated financial statements and UniCredit S.p.A. financial statements as at 31 December 2021 were drafted in accordance with the IAS/IFRS international accounting standards, in compliance with the instructions of Banca d’Italia with the Circular No.262 of 22 December 2005 (and subsequent amendments). These instructions define binding requirements for the related fulfilling methods as well as regarding the minimal contents of the Notes to the accounts. The Consolidated financial statements is made up of the Balance sheet, the Income statement, the Statement of Other comprehensive income, the Statement of changes in Shareholders’ Equity, the Cash flow statement, the Notes to the accounts, as well as the Report on operations, the economic results achieved, the Group’s financial situation and Annexes. A section dedicated to Corporate Governance is also included within the document. The Consolidated financial statements include: • the Consolidated financial statements certification pursuant to Art.81-ter of Consob Regulation No.11971/99 as amended; • the Independent Auditor’s Report pursuant to Art.14 of Legislative Decree No.39 of 27 January 2010 and Art.10 of the EU Regulation No.537/2014. UniCredit S.p.A. financial statements is made up of the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in Shareholder’s Equity, the Cash flow statement, the Notes to the accounts as well as the Report on operation, the economic results achieved, the Bank’s financial situation and Annexes. UniCredit S.p.A. financial statements include: • the Annual financial statements certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended; • the Report of the Board of Statutory Auditors pursuant to Art.153 of Legislative Decree No.58/1998; • the Independent Auditor’s Report pursuant to Art.14 of Legislative Decree No.39 of 27 January 2010 and Art.10 of the EU Regulation No.537/2014. UniCredit’s group website also contains the press releases concerning the main events of the period, the market presentation of Group results and the UniCredit group Disclosure (Pillar III), this latter is subject of joint publication with this document. For the declaration of a non-financial nature, refer to the Integrated Report published on the company website. Preliminary notes UniCredit · 2021 Annual Report and Accounts 67 Preliminary notes UniCredit prepares a single document called “Annual report and accounts” replacing the two documents relating to the UniCredit group consolidated financial statements and the UniCredit S.p.A. company financial statements. The integration of the contents of the two financial statements documents into a single one leadsto the elimination of duplications of the qualitative information presented in both files and, in order to facilitate the reading, the adoption of a system of cross-references between the chapters dedicated to the consolidated financial statements and the company ones; pursuant to these references the contents of the each referenced paragraph is entirely reported in the paragraph containing the reference. The chapter “Incorporations of qualitative information by reference” reports the list of the references. General aspects The UniCredit group’s Consolidated financial statements and UniCredit S.p.A. financial statements as at 31 December 2021 were drafted in accordance with the IAS/IFRS international accounting standards, in compliance with the instructions of Banca d’Italia with the Circular No.262 of 22 December 2005 (and subsequent amendments). These instructions define binding requirements for the related fulfilling methods as well as regarding the minimal contents of the Notes to the accounts. The Consolidated financial statements is made up of the Balance sheet, the Income statement, the Statement of Other comprehensive income, the Statement of changes in Shareholders’ Equity, the Cash flow statement, the Notes to the accounts, as well as the Report on operations, the economic results achieved, the Group’s financial situation and Annexes. A section dedicated to Corporate Governance is also included within the document. The Consolidated financial statements include: • the Consolidated financial statements certification pursuant to Art.81-ter of Consob Regulation No.11971/99 as amended; • the Independent Auditor’s Report pursuant to Art.14 of Legislative Decree No.39 of 27 January 2010 and Art.10 of the EU Regulation No.537/2014. UniCredit S.p.A. financial statements is made up of the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in Shareholder’s Equity, the Cash flow statement, the Notes to the accounts as well as the Report on operation, the economic results achieved, the Bank’s financial situation and Annexes. UniCredit S.p.A. financial statements include: • the Annual financial statements certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended; • the Report of the Board of Statutory Auditors pursuant to Art.153 of Legislative Decree No.58/1998; • the Independent Auditor’s Report pursuant to Art.14 of Legislative Decree No.39 of 27 January 2010 and Art.10 of the EU Regulation No.537/2014. UniCredit’s group website also contains the press releases concerning the main events of the period, the market presentation of Group results and the UniCredit group Disclosure (Pillar III), this latter is subject of joint publication with this document. For the declaration of a non-financial nature, refer to the Integrated Report published on the company website. Preliminary notes UniCredit · 2021 Annual Report and Accounts 67 Preliminary notes UniCredit prepares a single document called “Annual report and accounts” replacing the two documents relating to the UniCredit group consolidated financial statements and the UniCredit S.p.A. company financial statements. The integration of the contents of the two financial statements documents into a single one leadsto the elimination of duplications of the qualitative information presented in both files and, in order to facilitate the reading, the adoption of a system of cross-references between the chapters dedicated to the consolidated financial statements and the company ones; pursuant to these references the contents of the each referenced paragraph is entirely reported in the paragraph containing the reference. The chapter “Incorporations of qualitative information by reference” reports the list of the references. General aspects The UniCredit group’s Consolidated financial statements and UniCredit S.p.A. financial statements as at 31 December 2021 were drafted in accordance with the IAS/IFRS international accounting standards, in compliance with the instructions of Banca d’Italia with the Circular No.262 of 22 December 2005 (and subsequent amendments). These instructions define binding requirements for the related fulfilling methods as well as regarding the minimal contents of the Notes to the accounts. The Consolidated financial statements is made up of the Balance sheet, the Income statement, the Statement of Other comprehensive income, the Statement of changes in Shareholders’ Equity, the Cash flow statement, the Notes to the accounts, as well as the Report on operations, the economic results achieved, the Group’s financial situation and Annexes. A section dedicated to Corporate Governance is also included within the document. The Consolidated financial statements include: • the Consolidated financial statements certification pursuant to Art.81-ter of Consob Regulation No.11971/99 as amended; • the Independent Auditor’s Report pursuant to Art.14 of Legislative Decree No.39 of 27 January 2010 and Art.10 of the EU Regulation No.537/2014. UniCredit S.p.A. financial statements is made up of the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in Shareholder’s Equity, the Cash flow statement, the Notes to the accounts as well as the Report on operation, the economic results achieved, the Bank’s financial situation and Annexes. UniCredit S.p.A. financial statements include: • the Annual financial statements certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended; • the Report of the Board of Statutory Auditors pursuant to Art.153 of Legislative Decree No.58/1998; • the Independent Auditor’s Report pursuant to Art.14 of Legislative Decree No.39 of 27 January 2010 and Art.10 of the EU Regulation No.537/2014. UniCredit’s group website also contains the press releases concerning the main events of the period, the market presentation of Group results and the UniCredit group Disclosure (Pillar III), this latter is subject of joint publication with this document. For the declaration of a non-financial nature, refer to the Integrated Report published on the company website. Preliminary notes UniCredit · 2021 Annual Report and Accounts 67 Preliminary notes UniCredit prepares a single document called “Annual report and accounts” replacing the two documents relating to the UniCredit group consolidated financial statements and the UniCredit S.p.A. company financial statements. The integration of the contents of the two financial statements documents into a single one leadsto the elimination of duplications of the qualitative information presented in both files and, in order to facilitate the reading, the adoption of a system of cross-references between the chapters dedicated to the consolidated financial statements and the company ones; pursuant to these references the contents of the each referenced paragraph is entirely reported in the paragraph containing the reference. The chapter “Incorporations of qualitative information by reference” reports the list of the references. General aspects The UniCredit group’s Consolidated financial statements and UniCredit S.p.A. financial statements as at 31 December 2021 were drafted in accordance with the IAS/IFRS international accounting standards, in compliance with the instructions of Banca d’Italia with the Circular No.262 of 22 December 2005 (and subsequent amendments). These instructions define binding requirements for the related fulfilling methods as well as regarding the minimal contents of the Notes to the accounts. The Consolidated financial statements is made up of the Balance sheet, the Income statement, the Statement of Other comprehensive income, the Statement of changes in Shareholders’ Equity, the Cash flow statement, the Notes to the accounts, as well as the Report on operations, the economic results achieved, the Group’s financial situation and Annexes. A section dedicated to Corporate Governance is also included within the document. The Consolidated financial statements include: • the Consolidated financial statements certification pursuant to Art.81-ter of Consob Regulation No.11971/99 as amended; • the Independent Auditor’s Report pursuant to Art.14 of Legislative Decree No.39 of 27 January 2010 and Art.10 of the EU Regulation No.537/2014. UniCredit S.p.A. financial statements is made up of the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in Shareholder’s Equity, the Cash flow statement, the Notes to the accounts as well as the Report on operation, the economic results achieved, the Bank’s financial situation and Annexes. UniCredit S.p.A. financial statements include: • the Annual financial statements certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended; • the Report of the Board of Statutory Auditors pursuant to Art.153 of Legislative Decree No.58/1998; • the Independent Auditor’s Report pursuant to Art.14 of Legislative Decree No.39 of 27 January 2010 and Art.10 of the EU Regulation No.537/2014. UniCredit’s group website also contains the press releases concerning the main events of the period, the market presentation of Group results and the UniCredit group Disclosure (Pillar III), this latter is subject of joint publication with this document. For the declaration of a non-financial nature, refer to the Integrated Report published on the company website. Preliminary notes UniCredit · 2021 Annual Report and Accounts 67 Preliminary notes UniCredit prepares a single document called “Annual report and accounts” replacing the two documents relating to the UniCredit group consolidated financial statements and the UniCredit S.p.A. company financial statements. The integration of the contents of the two financial statements documents into a single one leadsto the elimination of duplications of the qualitative information presented in both files and, in order to facilitate the reading, the adoption of a system of cross-references between the chapters dedicated to the consolidated financial statements and the company ones; pursuant to these references the contents of the each referenced paragraph is entirely reported in the paragraph containing the reference. The chapter “Incorporations of qualitative information by reference” reports the list of the references. General aspects The UniCredit group’s Consolidated financial statements and UniCredit S.p.A. financial statements as at 31 December 2021 were drafted in accordance with the IAS/IFRS international accounting standards, in compliance with the instructions of Banca d’Italia with the Circular No.262 of 22 December 2005 (and subsequent amendments). These instructions define binding requirements for the related fulfilling methods as well as regarding the minimal contents of the Notes to the accounts. The Consolidated financial statements is made up of the Balance sheet, the Income statement, the Statement of Other comprehensive income, the Statement of changes in Shareholders’ Equity, the Cash flow statement, the Notes to the accounts, as well as the Report on operations, the economic results achieved, the Group’s financial situation and Annexes. A section dedicated to Corporate Governance is also included within the document. The Consolidated financial statements include: • the Consolidated financial statements certification pursuant to Art.81-ter of Consob Regulation No.11971/99 as amended; • the Independent Auditor’s Report pursuant to Art.14 of Legislative Decree No.39 of 27 January 2010 and Art.10 of the EU Regulation No.537/2014. UniCredit S.p.A. financial statements is made up of the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in Shareholder’s Equity, the Cash flow statement, the Notes to the accounts as well as the Report on operation, the economic results achieved, the Bank’s financial situation and Annexes. UniCredit S.p.A. financial statements include: • the Annual financial statements certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended; • the Report of the Board of Statutory Auditors pursuant to Art.153 of Legislative Decree No.58/1998; • the Independent Auditor’s Report pursuant to Art.14 of Legislative Decree No.39 of 27 January 2010 and Art.10 of the EU Regulation No.537/2014. UniCredit’s group website also contains the press releases concerning the main events of the period, the market presentation of Group results and the UniCredit group Disclosure (Pillar III), this latter is subject of joint publication with this document. For the declaration of a non-financial nature, refer to the Integrated Report published on the company website.  68 2021 Annual Report and Accounts · UniCredit 68 2021 Annual Report and Accounts · UniCredit 68 2021 Annual Report and Accounts · UniCredit 68 2021 Annual Report and Accounts · UniCredit 68 2021 Annual Report and Accounts · UniCredit Unlock your potential 2021 Consolidated Report and Accounts of UniCredit Group c 70 2021 Annual Report and Accounts · UniCredit c 70 2021 Annual Report and Accounts · UniCredit c 70 2021 Annual Report and Accounts · UniCredit c 70 2021 Annual Report and Accounts · UniCredit c 70 2021 Annual Report and Accounts · UniCredit  Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 71 CONSOLIDATED REPORT AND ACCOUNTS 2021 OF UNICREDIT GROUP Consolidated report on operations 77 Introduction and Group highlights 77 Introduction to the Consolidated report on operations of UniCredit group 77 Group highlights, alternative performance indicators and other measures 77 Reclassified consolidated accounts 80 Summary results by business segments 87 Group and UniCredit share historical data series 88 Group results 90 Macroeconomic situation, banking and financial markets 90 Main results and performance for the period 92 Capital and value management 100 Principles of value creation and capital allocation 100 Capital ratios 100 Capital strengthening 102 Shareholders’ equity attributable to the Group 103 Reconciliation parent company UniCredit S.p.A. - Consolidated accounts 103 Contribution of the sector of activity to the results of the Group 104 Other information 107 Report on corporate governance and ownership structure 107 Report on remuneration 107 Non-financial information 107 Research and development projects 109 Group activities development operations and other corporate transactions 109 Organisational model 116 Conversion of Deferred tax assets (DTAs) into tax credits 117 Certifications and other communications 117 Information on risks 117 Subsequent events and outlook 118 Subsequent events 118 Outlook 119 Corporate Governance 121 Governance structure 121 Group Executive Committee 134 Board of Directors 136 Consolidated financial statements 139 Consolidated accounts 139 Consolidated balance sheet 139 Consolidated income statement 140 Consolidated statement of comprehensive income 141 Statement of changes in the consolidated shareholders’ equity 142 Consolidated cash flow statement 145 Notes to the consolidated accounts 149 Part A - Accounting policies 149 A.1 - General 149 Section 1 - Statement of compliance with IFRS 149 Section 2 - General preparation criteria 149 Section 3 - Consolidation scope and methods 154 Section 4 - Subsequent events 179 Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 71 CONSOLIDATED REPORT AND ACCOUNTS 2021 OF UNICREDIT GROUP Consolidated report on operations 77 Introduction and Group highlights 77 Introduction to the Consolidated report on operations of UniCredit group 77 Group highlights, alternative performance indicators and other measures 77 Reclassified consolidated accounts 80 Summary results by business segments 87 Group and UniCredit share historical data series 88 Group results 90 Macroeconomic situation, banking and financial markets 90 Main results and performance for the period 92 Capital and value management 100 Principles of value creation and capital allocation 100 Capital ratios 100 Capital strengthening 102 Shareholders’ equity attributable to the Group 103 Reconciliation parent company UniCredit S.p.A. - Consolidated accounts 103 Contribution of the sector of activity to the results of the Group 104 Other information 107 Report on corporate governance and ownership structure 107 Report on remuneration 107 Non-financial information 107 Research and development projects 109 Group activities development operations and other corporate transactions 109 Organisational model 116 Conversion of Deferred tax assets (DTAs) into tax credits 117 Certifications and other communications 117 Information on risks 117 Subsequent events and outlook 118 Subsequent events 118 Outlook 119 Corporate Governance 121 Governance structure 121 Group Executive Committee 134 Board of Directors 136 Consolidated financial statements 139 Consolidated accounts 139 Consolidated balance sheet 139 Consolidated income statement 140 Consolidated statement of comprehensive income 141 Statement of changes in the consolidated shareholders’ equity 142 Consolidated cash flow statement 145 Notes to the consolidated accounts 149 Part A - Accounting policies 149 A.1 - General 149 Section 1 - Statement of compliance with IFRS 149 Section 2 - General preparation criteria 149 Section 3 - Consolidation scope and methods 154 Section 4 - Subsequent events 179 Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 71 CONSOLIDATED REPORT AND ACCOUNTS 2021 OF UNICREDIT GROUP Consolidated report on operations 77 Introduction and Group highlights 77 Introduction to the Consolidated report on operations of UniCredit group 77 Group highlights, alternative performance indicators and other measures 77 Reclassified consolidated accounts 80 Summary results by business segments 87 Group and UniCredit share historical data series 88 Group results 90 Macroeconomic situation, banking and financial markets 90 Main results and performance for the period 92 Capital and value management 100 Principles of value creation and capital allocation 100 Capital ratios 100 Capital strengthening 102 Shareholders’ equity attributable to the Group 103 Reconciliation parent company UniCredit S.p.A. - Consolidated accounts 103 Contribution of the sector of activity to the results of the Group 104 Other information 107 Report on corporate governance and ownership structure 107 Report on remuneration 107 Non-financial information 107 Research and development projects 109 Group activities development operations and other corporate transactions 109 Organisational model 116 Conversion of Deferred tax assets (DTAs) into tax credits 117 Certifications and other communications 117 Information on risks 117 Subsequent events and outlook 118 Subsequent events 118 Outlook 119 Corporate Governance 121 Governance structure 121 Group Executive Committee 134 Board of Directors 136 Consolidated financial statements 139 Consolidated accounts 139 Consolidated balance sheet 139 Consolidated income statement 140 Consolidated statement of comprehensive income 141 Statement of changes in the consolidated shareholders’ equity 142 Consolidated cash flow statement 145 Notes to the consolidated accounts 149 Part A - Accounting policies 149 A.1 - General 149 Section 1 - Statement of compliance with IFRS 149 Section 2 - General preparation criteria 149 Section 3 - Consolidation scope and methods 154 Section 4 - Subsequent events 179 Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 71 CONSOLIDATED REPORT AND ACCOUNTS 2021 OF UNICREDIT GROUP Consolidated report on operations 77 Introduction and Group highlights 77 Introduction to the Consolidated report on operations of UniCredit group 77 Group highlights, alternative performance indicators and other measures 77 Reclassified consolidated accounts 80 Summary results by business segments 87 Group and UniCredit share historical data series 88 Group results 90 Macroeconomic situation, banking and financial markets 90 Main results and performance for the period 92 Capital and value management 100 Principles of value creation and capital allocation 100 Capital ratios 100 Capital strengthening 102 Shareholders’ equity attributable to the Group 103 Reconciliation parent company UniCredit S.p.A. - Consolidated accounts 103 Contribution of the sector of activity to the results of the Group 104 Other information 107 Report on corporate governance and ownership structure 107 Report on remuneration 107 Non-financial information 107 Research and development projects 109 Group activities development operations and other corporate transactions 109 Organisational model 116 Conversion of Deferred tax assets (DTAs) into tax credits 117 Certifications and other communications 117 Information on risks 117 Subsequent events and outlook 118 Subsequent events 118 Outlook 119 Corporate Governance 121 Governance structure 121 Group Executive Committee 134 Board of Directors 136 Consolidated financial statements 139 Consolidated accounts 139 Consolidated balance sheet 139 Consolidated income statement 140 Consolidated statement of comprehensive income 141 Statement of changes in the consolidated shareholders’ equity 142 Consolidated cash flow statement 145 Notes to the consolidated accounts 149 Part A - Accounting policies 149 A.1 - General 149 Section 1 - Statement of compliance with IFRS 149 Section 2 - General preparation criteria 149 Section 3 - Consolidation scope and methods 154 Section 4 - Subsequent events 179 Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 71 CONSOLIDATED REPORT AND ACCOUNTS 2021 OF UNICREDIT GROUP Consolidated report on operations 77 Introduction and Group highlights 77 Introduction to the Consolidated report on operations of UniCredit group 77 Group highlights, alternative performance indicators and other measures 77 Reclassified consolidated accounts 80 Summary results by business segments 87 Group and UniCredit share historical data series 88 Group results 90 Macroeconomic situation, banking and financial markets 90 Main results and performance for the period 92 Capital and value management 100 Principles of value creation and capital allocation 100 Capital ratios 100 Capital strengthening 102 Shareholders’ equity attributable to the Group 103 Reconciliation parent company UniCredit S.p.A. - Consolidated accounts 103 Contribution of the sector of activity to the results of the Group 104 Other information 107 Report on corporate governance and ownership structure 107 Report on remuneration 107 Non-financial information 107 Research and development projects 109 Group activities development operations and other corporate transactions 109 Organisational model 116 Conversion of Deferred tax assets (DTAs) into tax credits 117 Certifications and other communications 117 Information on risks 117 Subsequent events and outlook 118 Subsequent events 118 Outlook 119 Corporate Governance 121 Governance structure 121 Group Executive Committee 134 Board of Directors 136 Consolidated financial statements 139 Consolidated accounts 139 Consolidated balance sheet 139 Consolidated income statement 140 Consolidated statement of comprehensive income 141 Statement of changes in the consolidated shareholders’ equity 142 Consolidated cash flow statement 145 Notes to the consolidated accounts 149 Part A - Accounting policies 149 A.1 - General 149 Section 1 - Statement of compliance with IFRS 149 Section 2 - General preparation criteria 149 Section 3 - Consolidation scope and methods 154 Section 4 - Subsequent events 179  Consolidated report and accounts 2021 of UniCredit Group 72 2021 Annual Report and Accounts · UniCredit Section 5 - Other matters 180 A.2 - Main items of the accounts 186 A.3 - Information on transfers between portfolios of financial assets 205 A.4 - Information on fair value 206 A.5 - Information on “day one profit/loss" 218 Part B - Consolidated balance sheet 219 Assets 219 Section 1 - Cash and cash balances - Item 10 219 Section 2 - Financial assets at fair value through profit or loss - Item 20 219 Information about the units of Atlante Fund and Italian Recovery Fund 222 Information about the investments in the “Schema Volontario” (Voluntary Scheme) 222 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 223 Information about the shareholding in Banca d'Italia 223 Section 4 - Financial assets at amortised cost - Item 40 225 Section 5 - Hedging derivatives - Item 50 228 Section 6 - Changes in fair value of portfolio hedged items - Item 60 229 Section 7 - Equity investments - Item 70 230 Section 8 - Insurance reserves charged to reinsurers - Item 80 235 Section 9 - Property, plant and equipment - Item 90 235 Section 10 - Intangible assets - Item 100 240 Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) 242 Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities) 245 Section 13 - Other assets - Item 130 247 Liabilities 249 Section 1 - Financial liabilities at amortised cost - Item 10 249 Section 2 - Financial liabilities held for trading - Item 20 251 Section 3 - Financial liabilities designated at fair value - Item 30 252 Section 4 - Hedging derivatives - Item 40 253 Section 5 - Value adjustment of hedged financial liabilities - Item 50 254 Section 6 - Tax liabilities - Item 60 254 Section 7 - Liabilities associated with assets classified as held for sale - Item 70 254 Section 8 - Other liabilities - Item 80 254 Section 9 - Provision for employee severance pay - Item 90 255 Section 10 - Provisions for risks and charges - Item 100 256 Section 11 - Technical reserves - Item 110 260 Section 12 - Redeemable Shares - Item 130 260 Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 260 Section 14 - Minority shareholders‘ equity - Item 190 264 Other information 265 Part C - Consolidated income statement 268 Section 1 - Interests - Items 10 and 20 268 Section 2 - Fees and commissions - Items 40 and 50 270 Section 3 - Dividend income and similar revenue - Item 70 271 Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 272 Section 5 - Fair value adjustments in hedge accounting - Item 90 272 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 273 Consolidated report and accounts 2021 of UniCredit Group 72 2021 Annual Report and Accounts · UniCredit Section 5 - Other matters 180 A.2 - Main items of the accounts 186 A.3 - Information on transfers between portfolios of financial assets 205 A.4 - Information on fair value 206 A.5 - Information on “day one profit/loss" 218 Part B - Consolidated balance sheet 219 Assets 219 Section 1 - Cash and cash balances - Item 10 219 Section 2 - Financial assets at fair value through profit or loss - Item 20 219 Information about the units of Atlante Fund and Italian Recovery Fund 222 Information about the investments in the “Schema Volontario” (Voluntary Scheme) 222 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 223 Information about the shareholding in Banca d'Italia 223 Section 4 - Financial assets at amortised cost - Item 40 225 Section 5 - Hedging derivatives - Item 50 228 Section 6 - Changes in fair value of portfolio hedged items - Item 60 229 Section 7 - Equity investments - Item 70 230 Section 8 - Insurance reserves charged to reinsurers - Item 80 235 Section 9 - Property, plant and equipment - Item 90 235 Section 10 - Intangible assets - Item 100 240 Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) 242 Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities) 245 Section 13 - Other assets - Item 130 247 Liabilities 249 Section 1 - Financial liabilities at amortised cost - Item 10 249 Section 2 - Financial liabilities held for trading - Item 20 251 Section 3 - Financial liabilities designated at fair value - Item 30 252 Section 4 - Hedging derivatives - Item 40 253 Section 5 - Value adjustment of hedged financial liabilities - Item 50 254 Section 6 - Tax liabilities - Item 60 254 Section 7 - Liabilities associated with assets classified as held for sale - Item 70 254 Section 8 - Other liabilities - Item 80 254 Section 9 - Provision for employee severance pay - Item 90 255 Section 10 - Provisions for risks and charges - Item 100 256 Section 11 - Technical reserves - Item 110 260 Section 12 - Redeemable Shares - Item 130 260 Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 260 Section 14 - Minority shareholders‘ equity - Item 190 264 Other information 265 Part C - Consolidated income statement 268 Section 1 - Interests - Items 10 and 20 268 Section 2 - Fees and commissions - Items 40 and 50 270 Section 3 - Dividend income and similar revenue - Item 70 271 Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 272 Section 5 - Fair value adjustments in hedge accounting - Item 90 272 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 273 Consolidated report and accounts 2021 of UniCredit Group 72 2021 Annual Report and Accounts · UniCredit Section 5 - Other matters 180 A.2 - Main items of the accounts 186 A.3 - Information on transfers between portfolios of financial assets 205 A.4 - Information on fair value 206 A.5 - Information on “day one profit/loss" 218 Part B - Consolidated balance sheet 219 Assets 219 Section 1 - Cash and cash balances - Item 10 219 Section 2 - Financial assets at fair value through profit or loss - Item 20 219 Information about the units of Atlante Fund and Italian Recovery Fund 222 Information about the investments in the “Schema Volontario” (Voluntary Scheme) 222 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 223 Information about the shareholding in Banca d'Italia 223 Section 4 - Financial assets at amortised cost - Item 40 225 Section 5 - Hedging derivatives - Item 50 228 Section 6 - Changes in fair value of portfolio hedged items - Item 60 229 Section 7 - Equity investments - Item 70 230 Section 8 - Insurance reserves charged to reinsurers - Item 80 235 Section 9 - Property, plant and equipment - Item 90 235 Section 10 - Intangible assets - Item 100 240 Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) 242 Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities) 245 Section 13 - Other assets - Item 130 247 Liabilities 249 Section 1 - Financial liabilities at amortised cost - Item 10 249 Section 2 - Financial liabilities held for trading - Item 20 251 Section 3 - Financial liabilities designated at fair value - Item 30 252 Section 4 - Hedging derivatives - Item 40 253 Section 5 - Value adjustment of hedged financial liabilities - Item 50 254 Section 6 - Tax liabilities - Item 60 254 Section 7 - Liabilities associated with assets classified as held for sale - Item 70 254 Section 8 - Other liabilities - Item 80 254 Section 9 - Provision for employee severance pay - Item 90 255 Section 10 - Provisions for risks and charges - Item 100 256 Section 11 - Technical reserves - Item 110 260 Section 12 - Redeemable Shares - Item 130 260 Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 260 Section 14 - Minority shareholders‘ equity - Item 190 264 Other information 265 Part C - Consolidated income statement 268 Section 1 - Interests - Items 10 and 20 268 Section 2 - Fees and commissions - Items 40 and 50 270 Section 3 - Dividend income and similar revenue - Item 70 271 Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 272 Section 5 - Fair value adjustments in hedge accounting - Item 90 272 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 273 Consolidated report and accounts 2021 of UniCredit Group 72 2021 Annual Report and Accounts · UniCredit Section 5 - Other matters 180 A.2 - Main items of the accounts 186 A.3 - Information on transfers between portfolios of financial assets 205 A.4 - Information on fair value 206 A.5 - Information on “day one profit/loss" 218 Part B - Consolidated balance sheet 219 Assets 219 Section 1 - Cash and cash balances - Item 10 219 Section 2 - Financial assets at fair value through profit or loss - Item 20 219 Information about the units of Atlante Fund and Italian Recovery Fund 222 Information about the investments in the “Schema Volontario” (Voluntary Scheme) 222 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 223 Information about the shareholding in Banca d'Italia 223 Section 4 - Financial assets at amortised cost - Item 40 225 Section 5 - Hedging derivatives - Item 50 228 Section 6 - Changes in fair value of portfolio hedged items - Item 60 229 Section 7 - Equity investments - Item 70 230 Section 8 - Insurance reserves charged to reinsurers - Item 80 235 Section 9 - Property, plant and equipment - Item 90 235 Section 10 - Intangible assets - Item 100 240 Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) 242 Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities) 245 Section 13 - Other assets - Item 130 247 Liabilities 249 Section 1 - Financial liabilities at amortised cost - Item 10 249 Section 2 - Financial liabilities held for trading - Item 20 251 Section 3 - Financial liabilities designated at fair value - Item 30 252 Section 4 - Hedging derivatives - Item 40 253 Section 5 - Value adjustment of hedged financial liabilities - Item 50 254 Section 6 - Tax liabilities - Item 60 254 Section 7 - Liabilities associated with assets classified as held for sale - Item 70 254 Section 8 - Other liabilities - Item 80 254 Section 9 - Provision for employee severance pay - Item 90 255 Section 10 - Provisions for risks and charges - Item 100 256 Section 11 - Technical reserves - Item 110 260 Section 12 - Redeemable Shares - Item 130 260 Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 260 Section 14 - Minority shareholders‘ equity - Item 190 264 Other information 265 Part C - Consolidated income statement 268 Section 1 - Interests - Items 10 and 20 268 Section 2 - Fees and commissions - Items 40 and 50 270 Section 3 - Dividend income and similar revenue - Item 70 271 Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 272 Section 5 - Fair value adjustments in hedge accounting - Item 90 272 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 273 Consolidated report and accounts 2021 of UniCredit Group 72 2021 Annual Report and Accounts · UniCredit Section 5 - Other matters 180 A.2 - Main items of the accounts 186 A.3 - Information on transfers between portfolios of financial assets 205 A.4 - Information on fair value 206 A.5 - Information on “day one profit/loss" 218 Part B - Consolidated balance sheet 219 Assets 219 Section 1 - Cash and cash balances - Item 10 219 Section 2 - Financial assets at fair value through profit or loss - Item 20 219 Information about the units of Atlante Fund and Italian Recovery Fund 222 Information about the investments in the “Schema Volontario” (Voluntary Scheme) 222 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 223 Information about the shareholding in Banca d'Italia 223 Section 4 - Financial assets at amortised cost - Item 40 225 Section 5 - Hedging derivatives - Item 50 228 Section 6 - Changes in fair value of portfolio hedged items - Item 60 229 Section 7 - Equity investments - Item 70 230 Section 8 - Insurance reserves charged to reinsurers - Item 80 235 Section 9 - Property, plant and equipment - Item 90 235 Section 10 - Intangible assets - Item 100 240 Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) 242 Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities) 245 Section 13 - Other assets - Item 130 247 Liabilities 249 Section 1 - Financial liabilities at amortised cost - Item 10 249 Section 2 - Financial liabilities held for trading - Item 20 251 Section 3 - Financial liabilities designated at fair value - Item 30 252 Section 4 - Hedging derivatives - Item 40 253 Section 5 - Value adjustment of hedged financial liabilities - Item 50 254 Section 6 - Tax liabilities - Item 60 254 Section 7 - Liabilities associated with assets classified as held for sale - Item 70 254 Section 8 - Other liabilities - Item 80 254 Section 9 - Provision for employee severance pay - Item 90 255 Section 10 - Provisions for risks and charges - Item 100 256 Section 11 - Technical reserves - Item 110 260 Section 12 - Redeemable Shares - Item 130 260 Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 260 Section 14 - Minority shareholders‘ equity - Item 190 264 Other information 265 Part C - Consolidated income statement 268 Section 1 - Interests - Items 10 and 20 268 Section 2 - Fees and commissions - Items 40 and 50 270 Section 3 - Dividend income and similar revenue - Item 70 271 Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 272 Section 5 - Fair value adjustments in hedge accounting - Item 90 272 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 273  Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 73 Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 274 Section 8 - Net losses/recoveries on credit impairment - Item 130 275 Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 276 Section 10 - Net premiums - Item 160 276 Section 11 - Other net insurance income/expenses - Item 170 276 Section 12 - Administrative expenses - Item 190 277 Contributions to Resolution and Guarantee funds 280 Guarantee fees for DTA conversion 281 Fees paid to the auditing firm 281 Section 13 - Net provisions for risks and charges - Item 200 281 Section 14 - Net value adjustments/write-backs on property, plant and equipment - Item 210 282 Section 15 - Net value adjustments/write-backs on intangible assets - Item 220 283 Section 16 - Other operating expenses/income - Item 230 283 Section 17 - Gains (Losses) of equity investments - Item 250 284 Section 18 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 260 286 Section 19 - Goodwill impairment - Item 270 286 Section 20 - Gains (Losses) on disposals on investments - Item 280 286 Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 287 Section 22 - Profit (Loss) after tax from discontinued operations - Item 320 289 Section 23 - Minority profit (loss) of the year - Item 340 289 Section 24 - Other information 290 Section 25 - Earnings per share 293 Part D - Consolidated comprehensive income 294 Part E - Information on risks and hedging policies 295 Introduction 295 Section 1 - Risks of the accounting consolidated perimeter 303 Quantitative information 303 A. Credit quality 303 A.1 Impaired and non-performing credit exposures: stocks, value adjustments, dynamics and economic 303 B. Structured entities (other than entities for securitisation transaction) 304 B.1 Consolidated structured entities 304 B.2 Non-consolidated for accounting purposes structured entities 304 Section 2 - Risks of the prudential consolidated perimeter 308 2.1 Credit risk 308 Qualitative information 308 1. General aspects 308 2. Credit risk management policies 310 3. Non-performing credit exposures 325 4. Financial assets subject to commercial renegotiations and forborne exposures 328 Quantitative information 330 A. Credit quality 330 B. Distribution and concentration of credit exposures 345 C. Securitisation transactions 346 D. Sales transactions 366 E. Prudential perimeter - Credit risk measurement models 375 Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 73 Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 274 Section 8 - Net losses/recoveries on credit impairment - Item 130 275 Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 276 Section 10 - Net premiums - Item 160 276 Section 11 - Other net insurance income/expenses - Item 170 276 Section 12 - Administrative expenses - Item 190 277 Contributions to Resolution and Guarantee funds 280 Guarantee fees for DTA conversion 281 Fees paid to the auditing firm 281 Section 13 - Net provisions for risks and charges - Item 200 281 Section 14 - Net value adjustments/write-backs on property, plant and equipment - Item 210 282 Section 15 - Net value adjustments/write-backs on intangible assets - Item 220 283 Section 16 - Other operating expenses/income - Item 230 283 Section 17 - Gains (Losses) of equity investments - Item 250 284 Section 18 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 260 286 Section 19 - Goodwill impairment - Item 270 286 Section 20 - Gains (Losses) on disposals on investments - Item 280 286 Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 287 Section 22 - Profit (Loss) after tax from discontinued operations - Item 320 289 Section 23 - Minority profit (loss) of the year - Item 340 289 Section 24 - Other information 290 Section 25 - Earnings per share 293 Part D - Consolidated comprehensive income 294 Part E - Information on risks and hedging policies 295 Introduction 295 Section 1 - Risks of the accounting consolidated perimeter 303 Quantitative information 303 A. Credit quality 303 A.1 Impaired and non-performing credit exposures: stocks, value adjustments, dynamics and economic 303 B. Structured entities (other than entities for securitisation transaction) 304 B.1 Consolidated structured entities 304 B.2 Non-consolidated for accounting purposes structured entities 304 Section 2 - Risks of the prudential consolidated perimeter 308 2.1 Credit risk 308 Qualitative information 308 1. General aspects 308 2. Credit risk management policies 310 3. Non-performing credit exposures 325 4. Financial assets subject to commercial renegotiations and forborne exposures 328 Quantitative information 330 A. Credit quality 330 B. Distribution and concentration of credit exposures 345 C. Securitisation transactions 346 D. Sales transactions 366 E. Prudential perimeter - Credit risk measurement models 375 Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 73 Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 274 Section 8 - Net losses/recoveries on credit impairment - Item 130 275 Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 276 Section 10 - Net premiums - Item 160 276 Section 11 - Other net insurance income/expenses - Item 170 276 Section 12 - Administrative expenses - Item 190 277 Contributions to Resolution and Guarantee funds 280 Guarantee fees for DTA conversion 281 Fees paid to the auditing firm 281 Section 13 - Net provisions for risks and charges - Item 200 281 Section 14 - Net value adjustments/write-backs on property, plant and equipment - Item 210 282 Section 15 - Net value adjustments/write-backs on intangible assets - Item 220 283 Section 16 - Other operating expenses/income - Item 230 283 Section 17 - Gains (Losses) of equity investments - Item 250 284 Section 18 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 260 286 Section 19 - Goodwill impairment - Item 270 286 Section 20 - Gains (Losses) on disposals on investments - Item 280 286 Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 287 Section 22 - Profit (Loss) after tax from discontinued operations - Item 320 289 Section 23 - Minority profit (loss) of the year - Item 340 289 Section 24 - Other information 290 Section 25 - Earnings per share 293 Part D - Consolidated comprehensive income 294 Part E - Information on risks and hedging policies 295 Introduction 295 Section 1 - Risks of the accounting consolidated perimeter 303 Quantitative information 303 A. Credit quality 303 A.1 Impaired and non-performing credit exposures: stocks, value adjustments, dynamics and economic 303 B. Structured entities (other than entities for securitisation transaction) 304 B.1 Consolidated structured entities 304 B.2 Non-consolidated for accounting purposes structured entities 304 Section 2 - Risks of the prudential consolidated perimeter 308 2.1 Credit risk 308 Qualitative information 308 1. General aspects 308 2. Credit risk management policies 310 3. Non-performing credit exposures 325 4. Financial assets subject to commercial renegotiations and forborne exposures 328 Quantitative information 330 A. Credit quality 330 B. Distribution and concentration of credit exposures 345 C. Securitisation transactions 346 D. Sales transactions 366 E. Prudential perimeter - Credit risk measurement models 375 Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 73 Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 274 Section 8 - Net losses/recoveries on credit impairment - Item 130 275 Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 276 Section 10 - Net premiums - Item 160 276 Section 11 - Other net insurance income/expenses - Item 170 276 Section 12 - Administrative expenses - Item 190 277 Contributions to Resolution and Guarantee funds 280 Guarantee fees for DTA conversion 281 Fees paid to the auditing firm 281 Section 13 - Net provisions for risks and charges - Item 200 281 Section 14 - Net value adjustments/write-backs on property, plant and equipment - Item 210 282 Section 15 - Net value adjustments/write-backs on intangible assets - Item 220 283 Section 16 - Other operating expenses/income - Item 230 283 Section 17 - Gains (Losses) of equity investments - Item 250 284 Section 18 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 260 286 Section 19 - Goodwill impairment - Item 270 286 Section 20 - Gains (Losses) on disposals on investments - Item 280 286 Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 287 Section 22 - Profit (Loss) after tax from discontinued operations - Item 320 289 Section 23 - Minority profit (loss) of the year - Item 340 289 Section 24 - Other information 290 Section 25 - Earnings per share 293 Part D - Consolidated comprehensive income 294 Part E - Information on risks and hedging policies 295 Introduction 295 Section 1 - Risks of the accounting consolidated perimeter 303 Quantitative information 303 A. Credit quality 303 A.1 Impaired and non-performing credit exposures: stocks, value adjustments, dynamics and economic 303 B. Structured entities (other than entities for securitisation transaction) 304 B.1 Consolidated structured entities 304 B.2 Non-consolidated for accounting purposes structured entities 304 Section 2 - Risks of the prudential consolidated perimeter 308 2.1 Credit risk 308 Qualitative information 308 1. General aspects 308 2. Credit risk management policies 310 3. Non-performing credit exposures 325 4. Financial assets subject to commercial renegotiations and forborne exposures 328 Quantitative information 330 A. Credit quality 330 B. Distribution and concentration of credit exposures 345 C. Securitisation transactions 346 D. Sales transactions 366 E. Prudential perimeter - Credit risk measurement models 375 Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 73 Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 274 Section 8 - Net losses/recoveries on credit impairment - Item 130 275 Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 276 Section 10 - Net premiums - Item 160 276 Section 11 - Other net insurance income/expenses - Item 170 276 Section 12 - Administrative expenses - Item 190 277 Contributions to Resolution and Guarantee funds 280 Guarantee fees for DTA conversion 281 Fees paid to the auditing firm 281 Section 13 - Net provisions for risks and charges - Item 200 281 Section 14 - Net value adjustments/write-backs on property, plant and equipment - Item 210 282 Section 15 - Net value adjustments/write-backs on intangible assets - Item 220 283 Section 16 - Other operating expenses/income - Item 230 283 Section 17 - Gains (Losses) of equity investments - Item 250 284 Section 18 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 260 286 Section 19 - Goodwill impairment - Item 270 286 Section 20 - Gains (Losses) on disposals on investments - Item 280 286 Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 287 Section 22 - Profit (Loss) after tax from discontinued operations - Item 320 289 Section 23 - Minority profit (loss) of the year - Item 340 289 Section 24 - Other information 290 Section 25 - Earnings per share 293 Part D - Consolidated comprehensive income 294 Part E - Information on risks and hedging policies 295 Introduction 295 Section 1 - Risks of the accounting consolidated perimeter 303 Quantitative information 303 A. Credit quality 303 A.1 Impaired and non-performing credit exposures: stocks, value adjustments, dynamics and economic 303 B. Structured entities (other than entities for securitisation transaction) 304 B.1 Consolidated structured entities 304 B.2 Non-consolidated for accounting purposes structured entities 304 Section 2 - Risks of the prudential consolidated perimeter 308 2.1 Credit risk 308 Qualitative information 308 1. General aspects 308 2. Credit risk management policies 310 3. Non-performing credit exposures 325 4. Financial assets subject to commercial renegotiations and forborne exposures 328 Quantitative information 330 A. Credit quality 330 B. Distribution and concentration of credit exposures 345 C. Securitisation transactions 346 D. Sales transactions 366 E. Prudential perimeter - Credit risk measurement models 375  Consolidated report and accounts 2021 of UniCredit Group 74 2021 Annual Report and Accounts · UniCredit 2.2 Market risk 375 Risk management strategies and processes 375 Structure and organisation 379 Risk measurement and reporting systems 380 Hedging policies and risk mitigation 381 Internal model for price, interest rate and exchange rate risk of the regulatory trading book 381 2.2.1 Interest rate risk and price risk - Regulatory trading book 387 Qualitative information 387 Quantitative information 387 2.2.2 Interest rate risk and price risk - Banking book 389 Qualitative information 389 Quantitative information 391 2.2.3 Exchange rate risk 395 Qualitative information 395 Quantitative information 396 Credit spread risk 396 Stress test 397 2.3 Derivative instruments and hedging policies 400 2.3.1 Trading financial derivatives 400 A Financial Derivatives 400 B. Credit derivatives 403 2.3.2 Hedging policies 404 Qualitative information 404 Quantitative information 406 2.3.3 Other information on derivatives instruments (trading and hedging) 410 A. Financial and credit derivatives 410 2.4 Liquidity risk 410 Qualitative information 410 Quantitative information 418 2.5 Operational risks 420 Qualitative information 420 A. General aspects, operational processes and methods for measuring operational risk 420 B. Legal risks 425 C. Risks arising from employment law cases 431 D. Risks arising from tax disputes 431 E. Other claims by customers 432 Quantitative information 432 2.6 Other risks 434 Other risks included in Economic Capital 434 1. Business risk 434 2. Real estate risk 434 3. Financial investments risk 434 Reputational risk 435 Top and emerging risks 436 Consolidated report and accounts 2021 of UniCredit Group 74 2021 Annual Report and Accounts · UniCredit 2.2 Market risk 375 Risk management strategies and processes 375 Structure and organisation 379 Risk measurement and reporting systems 380 Hedging policies and risk mitigation 381 Internal model for price, interest rate and exchange rate risk of the regulatory trading book 381 2.2.1 Interest rate risk and price risk - Regulatory trading book 387 Qualitative information 387 Quantitative information 387 2.2.2 Interest rate risk and price risk - Banking book 389 Qualitative information 389 Quantitative information 391 2.2.3 Exchange rate risk 395 Qualitative information 395 Quantitative information 396 Credit spread risk 396 Stress test 397 2.3 Derivative instruments and hedging policies 400 2.3.1 Trading financial derivatives 400 A Financial Derivatives 400 B. Credit derivatives 403 2.3.2 Hedging policies 404 Qualitative information 404 Quantitative information 406 2.3.3 Other information on derivatives instruments (trading and hedging) 410 A. Financial and credit derivatives 410 2.4 Liquidity risk 410 Qualitative information 410 Quantitative information 418 2.5 Operational risks 420 Qualitative information 420 A. General aspects, operational processes and methods for measuring operational risk 420 B. Legal risks 425 C. Risks arising from employment law cases 431 D. Risks arising from tax disputes 431 E. Other claims by customers 432 Quantitative information 432 2.6 Other risks 434 Other risks included in Economic Capital 434 1. Business risk 434 2. Real estate risk 434 3. Financial investments risk 434 Reputational risk 435 Top and emerging risks 436 Consolidated report and accounts 2021 of UniCredit Group 74 2021 Annual Report and Accounts · UniCredit 2.2 Market risk 375 Risk management strategies and processes 375 Structure and organisation 379 Risk measurement and reporting systems 380 Hedging policies and risk mitigation 381 Internal model for price, interest rate and exchange rate risk of the regulatory trading book 381 2.2.1 Interest rate risk and price risk - Regulatory trading book 387 Qualitative information 387 Quantitative information 387 2.2.2 Interest rate risk and price risk - Banking book 389 Qualitative information 389 Quantitative information 391 2.2.3 Exchange rate risk 395 Qualitative information 395 Quantitative information 396 Credit spread risk 396 Stress test 397 2.3 Derivative instruments and hedging policies 400 2.3.1 Trading financial derivatives 400 A Financial Derivatives 400 B. Credit derivatives 403 2.3.2 Hedging policies 404 Qualitative information 404 Quantitative information 406 2.3.3 Other information on derivatives instruments (trading and hedging) 410 A. Financial and credit derivatives 410 2.4 Liquidity risk 410 Qualitative information 410 Quantitative information 418 2.5 Operational risks 420 Qualitative information 420 A. General aspects, operational processes and methods for measuring operational risk 420 B. Legal risks 425 C. Risks arising from employment law cases 431 D. Risks arising from tax disputes 431 E. Other claims by customers 432 Quantitative information 432 2.6 Other risks 434 Other risks included in Economic Capital 434 1. Business risk 434 2. Real estate risk 434 3. Financial investments risk 434 Reputational risk 435 Top and emerging risks 436 Consolidated report and accounts 2021 of UniCredit Group 74 2021 Annual Report and Accounts · UniCredit 2.2 Market risk 375 Risk management strategies and processes 375 Structure and organisation 379 Risk measurement and reporting systems 380 Hedging policies and risk mitigation 381 Internal model for price, interest rate and exchange rate risk of the regulatory trading book 381 2.2.1 Interest rate risk and price risk - Regulatory trading book 387 Qualitative information 387 Quantitative information 387 2.2.2 Interest rate risk and price risk - Banking book 389 Qualitative information 389 Quantitative information 391 2.2.3 Exchange rate risk 395 Qualitative information 395 Quantitative information 396 Credit spread risk 396 Stress test 397 2.3 Derivative instruments and hedging policies 400 2.3.1 Trading financial derivatives 400 A Financial Derivatives 400 B. Credit derivatives 403 2.3.2 Hedging policies 404 Qualitative information 404 Quantitative information 406 2.3.3 Other information on derivatives instruments (trading and hedging) 410 A. Financial and credit derivatives 410 2.4 Liquidity risk 410 Qualitative information 410 Quantitative information 418 2.5 Operational risks 420 Qualitative information 420 A. General aspects, operational processes and methods for measuring operational risk 420 B. Legal risks 425 C. Risks arising from employment law cases 431 D. Risks arising from tax disputes 431 E. Other claims by customers 432 Quantitative information 432 2.6 Other risks 434 Other risks included in Economic Capital 434 1. Business risk 434 2. Real estate risk 434 3. Financial investments risk 434 Reputational risk 435 Top and emerging risks 436 Consolidated report and accounts 2021 of UniCredit Group 74 2021 Annual Report and Accounts · UniCredit 2.2 Market risk 375 Risk management strategies and processes 375 Structure and organisation 379 Risk measurement and reporting systems 380 Hedging policies and risk mitigation 381 Internal model for price, interest rate and exchange rate risk of the regulatory trading book 381 2.2.1 Interest rate risk and price risk - Regulatory trading book 387 Qualitative information 387 Quantitative information 387 2.2.2 Interest rate risk and price risk - Banking book 389 Qualitative information 389 Quantitative information 391 2.2.3 Exchange rate risk 395 Qualitative information 395 Quantitative information 396 Credit spread risk 396 Stress test 397 2.3 Derivative instruments and hedging policies 400 2.3.1 Trading financial derivatives 400 A Financial Derivatives 400 B. Credit derivatives 403 2.3.2 Hedging policies 404 Qualitative information 404 Quantitative information 406 2.3.3 Other information on derivatives instruments (trading and hedging) 410 A. Financial and credit derivatives 410 2.4 Liquidity risk 410 Qualitative information 410 Quantitative information 418 2.5 Operational risks 420 Qualitative information 420 A. General aspects, operational processes and methods for measuring operational risk 420 B. Legal risks 425 C. Risks arising from employment law cases 431 D. Risks arising from tax disputes 431 E. Other claims by customers 432 Quantitative information 432 2.6 Other risks 434 Other risks included in Economic Capital 434 1. Business risk 434 2. Real estate risk 434 3. Financial investments risk 434 Reputational risk 435 Top and emerging risks 436  Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 75 Part F - Consolidated shareholders’ equity 445 Section 1 - Consolidated Shareholders’ Equity 445 A. Qualitative information 445 B. Quantitative information 446 Section 2 - Own funds and banking regulatory ratios 447 Part G - Business combinatios 448 Section 1 - Business combinations completed in the year 448 Section 2 - Business combinations completed after year-end 448 Section 3 - Retrospective adjustments 448 Part H - Related-party transactions 449 Introduction 449 1. Details of Key management personnels’ compensation 450 2. Related-party transactions 451 Part I - Share-based payments 453 Qualitative information 453 1. Description of payment agreements based on own equity instruments 453 Quantitative information 455 1. Annual changes 455 2. Other Information 456 Part L - Segment reporting 457 Organisational structure 457 A - Primary segment 457 B - Secondary segment 459 Part M - Information on leases 460 Section 1 - Lessee 460 Qualitative information 460 Quantitative information 460 Section 2 - Lessor 461 Qualitative information 461 Quantitative information 461 Certification 465 Report of the External Auditors 467 Annexes 481 Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 481 Annex 2 - Audit fees and other non-audit services 486 Annex 3 - Securitisations - qualitative tables 487 Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds – qualitative tables 550 Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 75 Part F - Consolidated shareholders’ equity 445 Section 1 - Consolidated Shareholders’ Equity 445 A. Qualitative information 445 B. Quantitative information 446 Section 2 - Own funds and banking regulatory ratios 447 Part G - Business combinatios 448 Section 1 - Business combinations completed in the year 448 Section 2 - Business combinations completed after year-end 448 Section 3 - Retrospective adjustments 448 Part H - Related-party transactions 449 Introduction 449 1. Details of Key management personnels’ compensation 450 2. Related-party transactions 451 Part I - Share-based payments 453 Qualitative information 453 1. Description of payment agreements based on own equity instruments 453 Quantitative information 455 1. Annual changes 455 2. Other Information 456 Part L - Segment reporting 457 Organisational structure 457 A - Primary segment 457 B - Secondary segment 459 Part M - Information on leases 460 Section 1 - Lessee 460 Qualitative information 460 Quantitative information 460 Section 2 - Lessor 461 Qualitative information 461 Quantitative information 461 Certification 465 Report of the External Auditors 467 Annexes 481 Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 481 Annex 2 - Audit fees and other non-audit services 486 Annex 3 - Securitisations - qualitative tables 487 Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds – qualitative tables 550 Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 75 Part F - Consolidated shareholders’ equity 445 Section 1 - Consolidated Shareholders’ Equity 445 A. Qualitative information 445 B. Quantitative information 446 Section 2 - Own funds and banking regulatory ratios 447 Part G - Business combinatios 448 Section 1 - Business combinations completed in the year 448 Section 2 - Business combinations completed after year-end 448 Section 3 - Retrospective adjustments 448 Part H - Related-party transactions 449 Introduction 449 1. Details of Key management personnels’ compensation 450 2. Related-party transactions 451 Part I - Share-based payments 453 Qualitative information 453 1. Description of payment agreements based on own equity instruments 453 Quantitative information 455 1. Annual changes 455 2. Other Information 456 Part L - Segment reporting 457 Organisational structure 457 A - Primary segment 457 B - Secondary segment 459 Part M - Information on leases 460 Section 1 - Lessee 460 Qualitative information 460 Quantitative information 460 Section 2 - Lessor 461 Qualitative information 461 Quantitative information 461 Certification 465 Report of the External Auditors 467 Annexes 481 Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 481 Annex 2 - Audit fees and other non-audit services 486 Annex 3 - Securitisations - qualitative tables 487 Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds – qualitative tables 550 Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 75 Part F - Consolidated shareholders’ equity 445 Section 1 - Consolidated Shareholders’ Equity 445 A. Qualitative information 445 B. Quantitative information 446 Section 2 - Own funds and banking regulatory ratios 447 Part G - Business combinatios 448 Section 1 - Business combinations completed in the year 448 Section 2 - Business combinations completed after year-end 448 Section 3 - Retrospective adjustments 448 Part H - Related-party transactions 449 Introduction 449 1. Details of Key management personnels’ compensation 450 2. Related-party transactions 451 Part I - Share-based payments 453 Qualitative information 453 1. Description of payment agreements based on own equity instruments 453 Quantitative information 455 1. Annual changes 455 2. Other Information 456 Part L - Segment reporting 457 Organisational structure 457 A - Primary segment 457 B - Secondary segment 459 Part M - Information on leases 460 Section 1 - Lessee 460 Qualitative information 460 Quantitative information 460 Section 2 - Lessor 461 Qualitative information 461 Quantitative information 461 Certification 465 Report of the External Auditors 467 Annexes 481 Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 481 Annex 2 - Audit fees and other non-audit services 486 Annex 3 - Securitisations - qualitative tables 487 Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds – qualitative tables 550 Consolidated report and accounts 2021 of UniCredit Group UniCredit · 2021 Annual Report and Accounts 75 Part F - Consolidated shareholders’ equity 445 Section 1 - Consolidated Shareholders’ Equity 445 A. Qualitative information 445 B. Quantitative information 446 Section 2 - Own funds and banking regulatory ratios 447 Part G - Business combinatios 448 Section 1 - Business combinations completed in the year 448 Section 2 - Business combinations completed after year-end 448 Section 3 - Retrospective adjustments 448 Part H - Related-party transactions 449 Introduction 449 1. Details of Key management personnels’ compensation 450 2. Related-party transactions 451 Part I - Share-based payments 453 Qualitative information 453 1. Description of payment agreements based on own equity instruments 453 Quantitative information 455 1. Annual changes 455 2. Other Information 456 Part L - Segment reporting 457 Organisational structure 457 A - Primary segment 457 B - Secondary segment 459 Part M - Information on leases 460 Section 1 - Lessee 460 Qualitative information 460 Quantitative information 460 Section 2 - Lessor 461 Qualitative information 461 Quantitative information 461 Certification 465 Report of the External Auditors 467 Annexes 481 Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 481 Annex 2 - Audit fees and other non-audit services 486 Annex 3 - Securitisations - qualitative tables 487 Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds – qualitative tables 550 The road back: after a difficult year for leisure and tourism, UniCredit Zagrebacka’s #FirstTime project put Ranč Ramarin back in the public eye where it belongs. Our Clients Ranč Ramarin d.o.o Croatia Curious to know more? Check out the entire story (and others!) on annualreport.unicredit.eu/en Consolidated report on operations Introduction and Group highlights UniCredit · 2021 Annual Report and Accounts 77 Consolidated report on operations Introduction and Group highlights Introduction to the Consolidated report on operations of UniCredit group The Consolidated report on operations illustrates the performance of UniCredit group and the related amounts and results. It includes financial information such as Group highlights, Reclassified consolidated accounts and their Quarterly figures, Summary results by business segment, Group and UniCredit share historical data series as well as a comment on “Group results”. To further illustrate the results of the period, the Consolidated report on operations includes Reclassified consolidated accounts prepared using the same criteria of previous quarterly reports. In order to provide further evidences about the performance achieved by the Group, the Consolidated report on operations is also supported by some alternative performance indicators (“API”) such as: Cost/Income ratio, Economic Value Added (EVA), Return On Tangible Equity (RoTE), Net bad loans to customers/Loans to customers, Net non-performing loans to customers/Loans to customers, Absorbed capital, Return On Allocated Capital (ROAC), Return On Assets (ROA), Cost of risk. Although some of this information, including certain APIs, is neither extracted nor directly reconciled with the Consolidated financial statements, it is worth mentioning that the Consolidated report on operations, the Annexes and the Glossary provide explanatory descriptions of the contents and, in case, the calculation methods used, in accordance with European Securities and Markets Authority Guidelines (ESMA/2015/1415) of 5 October 2015. In particular the Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule, as required by Consob Notice No.6064293 of 28 July 2006. The amounts related to year 2020 Reclassified consolidated income statement differ from the ones published at that time. For further details about the reasons of these restatement, refer to following paragraphs relating to the “Reconciliation principles followed for the reclassified consolidated income statement”. For information on relations and transactions with related-party, it shall be referred to the Notes to the consolidated accounts - Part H - Related-party transactions. For a complete description of risks and uncertainties that the Group has to face in the current market situation, it shall be referred to the specific paragraph of this Consolidated report on operations and to the Notes to the consolidated accounts - Part E - Information on risks and hedging policies. Group highlights, alternative performance indicators and other measures Income statement (€ million) YEAR 2021 2020 % CHANGE Operating income 17,954 17,132 + 4.8% of which: - net interest 9,060 9,441 - 4.0% - dividends and other income from equity investments 520 415 + 25.2% - net fees and commissions 6,692 5,968 + 12.1% Operating costs (9,797) (9,797) - 0.0% Operating profit (loss) 8,158 7,335 + 11.2% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) - 67.3% Net operating profit (loss) 6,524 2,339 n.m. Profit (Loss) before tax 1,236 (1,546) n.m. Group net profit (loss) 1,540 (2,785) n.m. The figures in this table refer to the reclassified income statement. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified consolidated income statement”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Consolidated report on operations Introduction and Group highlights UniCredit · 2021 Annual Report and Accounts 77 Consolidated report on operations Introduction and Group highlights Introduction to the Consolidated report on operations of UniCredit group The Consolidated report on operations illustrates the performance of UniCredit group and the related amounts and results. It includes financial information such as Group highlights, Reclassified consolidated accounts and their Quarterly figures, Summary results by business segment, Group and UniCredit share historical data series as well as a comment on “Group results”. To further illustrate the results of the period, the Consolidated report on operations includes Reclassified consolidated accounts prepared using the same criteria of previous quarterly reports. In order to provide further evidences about the performance achieved by the Group, the Consolidated report on operations is also supported by some alternative performance indicators (“API”) such as: Cost/Income ratio, Economic Value Added (EVA), Return On Tangible Equity (RoTE), Net bad loans to customers/Loans to customers, Net non-performing loans to customers/Loans to customers, Absorbed capital, Return On Allocated Capital (ROAC), Return On Assets (ROA), Cost of risk. Although some of this information, including certain APIs, is neither extracted nor directly reconciled with the Consolidated financial statements, it is worth mentioning that the Consolidated report on operations, the Annexes and the Glossary provide explanatory descriptions of the contents and, in case, the calculation methods used, in accordance with European Securities and Markets Authority Guidelines (ESMA/2015/1415) of 5 October 2015. In particular the Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule, as required by Consob Notice No.6064293 of 28 July 2006. The amounts related to year 2020 Reclassified consolidated income statement differ from the ones published at that time. For further details about the reasons of these restatement, refer to following paragraphs relating to the “Reconciliation principles followed for the reclassified consolidated income statement”. For information on relations and transactions with related-party, it shall be referred to the Notes to the consolidated accounts - Part H - Related-party transactions. For a complete description of risks and uncertainties that the Group has to face in the current market situation, it shall be referred to the specific paragraph of this Consolidated report on operations and to the Notes to the consolidated accounts - Part E - Information on risks and hedging policies. Group highlights, alternative performance indicators and other measures Income statement (€ million) YEAR 2021 2020 % CHANGE Operating income 17,954 17,132 + 4.8% of which: - net interest 9,060 9,441 - 4.0% - dividends and other income from equity investments 520 415 + 25.2% - net fees and commissions 6,692 5,968 + 12.1% Operating costs (9,797) (9,797) - 0.0% Operating profit (loss) 8,158 7,335 + 11.2% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) - 67.3% Net operating profit (loss) 6,524 2,339 n.m. Profit (Loss) before tax 1,236 (1,546) n.m. Group net profit (loss) 1,540 (2,785) n.m. The figures in this table refer to the reclassified income statement. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified consolidated income statement”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Consolidated report on operations Introduction and Group highlights UniCredit · 2021 Annual Report and Accounts 77 Consolidated report on operations Introduction and Group highlights Introduction to the Consolidated report on operations of UniCredit group The Consolidated report on operations illustrates the performance of UniCredit group and the related amounts and results. It includes financial information such as Group highlights, Reclassified consolidated accounts and their Quarterly figures, Summary results by business segment, Group and UniCredit share historical data series as well as a comment on “Group results”. To further illustrate the results of the period, the Consolidated report on operations includes Reclassified consolidated accounts prepared using the same criteria of previous quarterly reports. In order to provide further evidences about the performance achieved by the Group, the Consolidated report on operations is also supported by some alternative performance indicators (“API”) such as: Cost/Income ratio, Economic Value Added (EVA), Return On Tangible Equity (RoTE), Net bad loans to customers/Loans to customers, Net non-performing loans to customers/Loans to customers, Absorbed capital, Return On Allocated Capital (ROAC), Return On Assets (ROA), Cost of risk. Although some of this information, including certain APIs, is neither extracted nor directly reconciled with the Consolidated financial statements, it is worth mentioning that the Consolidated report on operations, the Annexes and the Glossary provide explanatory descriptions of the contents and, in case, the calculation methods used, in accordance with European Securities and Markets Authority Guidelines (ESMA/2015/1415) of 5 October 2015. In particular the Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule, as required by Consob Notice No.6064293 of 28 July 2006. The amounts related to year 2020 Reclassified consolidated income statement differ from the ones published at that time. For further details about the reasons of these restatement, refer to following paragraphs relating to the “Reconciliation principles followed for the reclassified consolidated income statement”. For information on relations and transactions with related-party, it shall be referred to the Notes to the consolidated accounts - Part H - Related-party transactions. For a complete description of risks and uncertainties that the Group has to face in the current market situation, it shall be referred to the specific paragraph of this Consolidated report on operations and to the Notes to the consolidated accounts - Part E - Information on risks and hedging policies. Group highlights, alternative performance indicators and other measures Income statement (€ million) YEAR 2021 2020 % CHANGE Operating income 17,954 17,132 + 4.8% of which: - net interest 9,060 9,441 - 4.0% - dividends and other income from equity investments 520 415 + 25.2% - net fees and commissions 6,692 5,968 + 12.1% Operating costs (9,797) (9,797) - 0.0% Operating profit (loss) 8,158 7,335 + 11.2% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) - 67.3% Net operating profit (loss) 6,524 2,339 n.m. Profit (Loss) before tax 1,236 (1,546) n.m. Group net profit (loss) 1,540 (2,785) n.m. The figures in this table refer to the reclassified income statement. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified consolidated income statement”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Consolidated report on operations Introduction and Group highlights UniCredit · 2021 Annual Report and Accounts 77 Consolidated report on operations Introduction and Group highlights Introduction to the Consolidated report on operations of UniCredit group The Consolidated report on operations illustrates the performance of UniCredit group and the related amounts and results. It includes financial information such as Group highlights, Reclassified consolidated accounts and their Quarterly figures, Summary results by business segment, Group and UniCredit share historical data series as well as a comment on “Group results”. To further illustrate the results of the period, the Consolidated report on operations includes Reclassified consolidated accounts prepared using the same criteria of previous quarterly reports. In order to provide further evidences about the performance achieved by the Group, the Consolidated report on operations is also supported by some alternative performance indicators (“API”) such as: Cost/Income ratio, Economic Value Added (EVA), Return On Tangible Equity (RoTE), Net bad loans to customers/Loans to customers, Net non-performing loans to customers/Loans to customers, Absorbed capital, Return On Allocated Capital (ROAC), Return On Assets (ROA), Cost of risk. Although some of this information, including certain APIs, is neither extracted nor directly reconciled with the Consolidated financial statements, it is worth mentioning that the Consolidated report on operations, the Annexes and the Glossary provide explanatory descriptions of the contents and, in case, the calculation methods used, in accordance with European Securities and Markets Authority Guidelines (ESMA/2015/1415) of 5 October 2015. In particular the Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule, as required by Consob Notice No.6064293 of 28 July 2006. The amounts related to year 2020 Reclassified consolidated income statement differ from the ones published at that time. For further details about the reasons of these restatement, refer to following paragraphs relating to the “Reconciliation principles followed for the reclassified consolidated income statement”. For information on relations and transactions with related-party, it shall be referred to the Notes to the consolidated accounts - Part H - Related-party transactions. For a complete description of risks and uncertainties that the Group has to face in the current market situation, it shall be referred to the specific paragraph of this Consolidated report on operations and to the Notes to the consolidated accounts - Part E - Information on risks and hedging policies. Group highlights, alternative performance indicators and other measures Income statement (€ million) YEAR 2021 2020 % CHANGE Operating income 17,954 17,132 + 4.8% of which: - net interest 9,060 9,441 - 4.0% - dividends and other income from equity investments 520 415 + 25.2% - net fees and commissions 6,692 5,968 + 12.1% Operating costs (9,797) (9,797) - 0.0% Operating profit (loss) 8,158 7,335 + 11.2% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) - 67.3% Net operating profit (loss) 6,524 2,339 n.m. Profit (Loss) before tax 1,236 (1,546) n.m. Group net profit (loss) 1,540 (2,785) n.m. The figures in this table refer to the reclassified income statement. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified consolidated income statement”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Consolidated report on operations Introduction and Group highlights UniCredit · 2021 Annual Report and Accounts 77 Consolidated report on operations Introduction and Group highlights Introduction to the Consolidated report on operations of UniCredit group The Consolidated report on operations illustrates the performance of UniCredit group and the related amounts and results. It includes financial information such as Group highlights, Reclassified consolidated accounts and their Quarterly figures, Summary results by business segment, Group and UniCredit share historical data series as well as a comment on “Group results”. To further illustrate the results of the period, the Consolidated report on operations includes Reclassified consolidated accounts prepared using the same criteria of previous quarterly reports. In order to provide further evidences about the performance achieved by the Group, the Consolidated report on operations is also supported by some alternative performance indicators (“API”) such as: Cost/Income ratio, Economic Value Added (EVA), Return On Tangible Equity (RoTE), Net bad loans to customers/Loans to customers, Net non-performing loans to customers/Loans to customers, Absorbed capital, Return On Allocated Capital (ROAC), Return On Assets (ROA), Cost of risk. Although some of this information, including certain APIs, is neither extracted nor directly reconciled with the Consolidated financial statements, it is worth mentioning that the Consolidated report on operations, the Annexes and the Glossary provide explanatory descriptions of the contents and, in case, the calculation methods used, in accordance with European Securities and Markets Authority Guidelines (ESMA/2015/1415) of 5 October 2015. In particular the Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule, as required by Consob Notice No.6064293 of 28 July 2006. The amounts related to year 2020 Reclassified consolidated income statement differ from the ones published at that time. For further details about the reasons of these restatement, refer to following paragraphs relating to the “Reconciliation principles followed for the reclassified consolidated income statement”. For information on relations and transactions with related-party, it shall be referred to the Notes to the consolidated accounts - Part H - Related-party transactions. For a complete description of risks and uncertainties that the Group has to face in the current market situation, it shall be referred to the specific paragraph of this Consolidated report on operations and to the Notes to the consolidated accounts - Part E - Information on risks and hedging policies. Group highlights, alternative performance indicators and other measures Income statement (€ million) YEAR 2021 2020 % CHANGE Operating income 17,954 17,132 + 4.8% of which: - net interest 9,060 9,441 - 4.0% - dividends and other income from equity investments 520 415 + 25.2% - net fees and commissions 6,692 5,968 + 12.1% Operating costs (9,797) (9,797) - 0.0% Operating profit (loss) 8,158 7,335 + 11.2% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) - 67.3% Net operating profit (loss) 6,524 2,339 n.m. Profit (Loss) before tax 1,236 (1,546) n.m. Group net profit (loss) 1,540 (2,785) n.m. The figures in this table refer to the reclassified income statement. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified consolidated income statement”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Consolidated report on operations Introduction and Group highlights 78 2021 Annual Report and Accounts · UniCredit Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 % CHANGE Total assets 916,671 931,456 - 1.6% Financial assets held for trading 80,109 72,705 + 10.2% Loans and receivables with customers 437,544 450,550 - 2.9% Financial liabilities held for trading 51,608 47,787 + 8.0% Deposits from customers and debt securities issue 596,402 600,964 - 0.8% of which: - deposits from customers 500,504 498,440 + 0.4% - debt securities issue 95,898 102,524 - 6.5% Group shareholders' equity 61,628 59,507 + 3.6% The figures in the table above refer to the reclassified balance sheet. For further details refer to “Reconciliation principles followed for the reclassified consolidated balance sheet”. In Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule. Profitability ratios YEAR 2021 2020 CHANGE EPS(*) (€) 0.680 (1.306) 1.986 Cost/Income ratio(**) 54.6% 57.2% - 2.6% EVA(***) (€ million) 212 (3,347) + 3,559 RoTE(****) 2.9% -5.4% + 8.4% ROA(*****) 0.2% -0.3% + 0.5% Notes: (*) Earnings per share. For further details refer to Part C - Section 25. (**) Ratio between operating expenses and operating income. (***) Economic value added equal to the difference between Net operating profit after tax (NOPAT) and the Cost of the absorbed capital. (****) Annualised ratio between the net profit and the average tangible equity. (*****) Return on assets calculated as the ratio between Net profit (loss) attributable to the Group and Total assets pursuant to Art. 90 of CRD IV. Risk ratios AS AT 12.31.2021 12.31.2020 % CHANGE Net bad loans to customers/Loans to customers 0.3% 0.4% - 0.1% Net non-performing loans to customers/Loans to customers 1.7% 1.9% - 0.2% For the amounts, refer to the table “Loans to customers - Asset quality” in the paragraph “Net write-downs on loans and provisions for guarantees and commitments” of this Consolidated report on operations of the UniCredit group. Staff and Branches AS AT 12.31.2021 12.31.2020 CHANGE Employees(1) 78,571 82,107 -3,536 Branches(2) 3,290 3,490 -200 of which: - Italy 2,059 2,229 -170 - Other countries 1,231 1,261 -30 Notes: (1) "Full time equivalent" data (FTE): number of employees counted for the rate of presence. (2) Retail branches only. Consolidated report on operations Introduction and Group highlights 78 2021 Annual Report and Accounts · UniCredit Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 % CHANGE Total assets 916,671 931,456 - 1.6% Financial assets held for trading 80,109 72,705 + 10.2% Loans and receivables with customers 437,544 450,550 - 2.9% Financial liabilities held for trading 51,608 47,787 + 8.0% Deposits from customers and debt securities issue 596,402 600,964 - 0.8% of which: - deposits from customers 500,504 498,440 + 0.4% - debt securities issue 95,898 102,524 - 6.5% Group shareholders' equity 61,628 59,507 + 3.6% The figures in the table above refer to the reclassified balance sheet. For further details refer to “Reconciliation principles followed for the reclassified consolidated balance sheet”. In Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule. Profitability ratios YEAR 2021 2020 CHANGE EPS(*) (€) 0.680 (1.306) 1.986 Cost/Income ratio(**) 54.6% 57.2% - 2.6% EVA(***) (€ million) 212 (3,347) + 3,559 RoTE(****) 2.9% -5.4% + 8.4% ROA(*****) 0.2% -0.3% + 0.5% Notes: (*) Earnings per share. For further details refer to Part C - Section 25. (**) Ratio between operating expenses and operating income. (***) Economic value added equal to the difference between Net operating profit after tax (NOPAT) and the Cost of the absorbed capital. (****) Annualised ratio between the net profit and the average tangible equity. (*****) Return on assets calculated as the ratio between Net profit (loss) attributable to the Group and Total assets pursuant to Art. 90 of CRD IV. Risk ratios AS AT 12.31.2021 12.31.2020 % CHANGE Net bad loans to customers/Loans to customers 0.3% 0.4% - 0.1% Net non-performing loans to customers/Loans to customers 1.7% 1.9% - 0.2% For the amounts, refer to the table “Loans to customers - Asset quality” in the paragraph “Net write-downs on loans and provisions for guarantees and commitments” of this Consolidated report on operations of the UniCredit group. Staff and Branches AS AT 12.31.2021 12.31.2020 CHANGE Employees(1) 78,571 82,107 -3,536 Branches(2) 3,290 3,490 -200 of which: - Italy 2,059 2,229 -170 - Other countries 1,231 1,261 -30 Notes: (1) "Full time equivalent" data (FTE): number of employees counted for the rate of presence. (2) Retail branches only. Consolidated report on operations Introduction and Group highlights 78 2021 Annual Report and Accounts · UniCredit Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 % CHANGE Total assets 916,671 931,456 - 1.6% Financial assets held for trading 80,109 72,705 + 10.2% Loans and receivables with customers 437,544 450,550 - 2.9% Financial liabilities held for trading 51,608 47,787 + 8.0% Deposits from customers and debt securities issue 596,402 600,964 - 0.8% of which: - deposits from customers 500,504 498,440 + 0.4% - debt securities issue 95,898 102,524 - 6.5% Group shareholders' equity 61,628 59,507 + 3.6% The figures in the table above refer to the reclassified balance sheet. For further details refer to “Reconciliation principles followed for the reclassified consolidated balance sheet”. In Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule. Profitability ratios YEAR 2021 2020 CHANGE EPS(*) (€) 0.680 (1.306) 1.986 Cost/Income ratio(**) 54.6% 57.2% - 2.6% EVA(***) (€ million) 212 (3,347) + 3,559 RoTE(****) 2.9% -5.4% + 8.4% ROA(*****) 0.2% -0.3% + 0.5% Notes: (*) Earnings per share. For further details refer to Part C - Section 25. (**) Ratio between operating expenses and operating income. (***) Economic value added equal to the difference between Net operating profit after tax (NOPAT) and the Cost of the absorbed capital. (****) Annualised ratio between the net profit and the average tangible equity. (*****) Return on assets calculated as the ratio between Net profit (loss) attributable to the Group and Total assets pursuant to Art. 90 of CRD IV. Risk ratios AS AT 12.31.2021 12.31.2020 % CHANGE Net bad loans to customers/Loans to customers 0.3% 0.4% - 0.1% Net non-performing loans to customers/Loans to customers 1.7% 1.9% - 0.2% For the amounts, refer to the table “Loans to customers - Asset quality” in the paragraph “Net write-downs on loans and provisions for guarantees and commitments” of this Consolidated report on operations of the UniCredit group. Staff and Branches AS AT 12.31.2021 12.31.2020 CHANGE Employees(1) 78,571 82,107 -3,536 Branches(2) 3,290 3,490 -200 of which: - Italy 2,059 2,229 -170 - Other countries 1,231 1,261 -30 Notes: (1) "Full time equivalent" data (FTE): number of employees counted for the rate of presence. (2) Retail branches only. Consolidated report on operations Introduction and Group highlights 78 2021 Annual Report and Accounts · UniCredit Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 % CHANGE Total assets 916,671 931,456 - 1.6% Financial assets held for trading 80,109 72,705 + 10.2% Loans and receivables with customers 437,544 450,550 - 2.9% Financial liabilities held for trading 51,608 47,787 + 8.0% Deposits from customers and debt securities issue 596,402 600,964 - 0.8% of which: - deposits from customers 500,504 498,440 + 0.4% - debt securities issue 95,898 102,524 - 6.5% Group shareholders' equity 61,628 59,507 + 3.6% The figures in the table above refer to the reclassified balance sheet. For further details refer to “Reconciliation principles followed for the reclassified consolidated balance sheet”. In Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule. Profitability ratios YEAR 2021 2020 CHANGE EPS(*) (€) 0.680 (1.306) 1.986 Cost/Income ratio(**) 54.6% 57.2% - 2.6% EVA(***) (€ million) 212 (3,347) + 3,559 RoTE(****) 2.9% -5.4% + 8.4% ROA(*****) 0.2% -0.3% + 0.5% Notes: (*) Earnings per share. For further details refer to Part C - Section 25. (**) Ratio between operating expenses and operating income. (***) Economic value added equal to the difference between Net operating profit after tax (NOPAT) and the Cost of the absorbed capital. (****) Annualised ratio between the net profit and the average tangible equity. (*****) Return on assets calculated as the ratio between Net profit (loss) attributable to the Group and Total assets pursuant to Art. 90 of CRD IV. Risk ratios AS AT 12.31.2021 12.31.2020 % CHANGE Net bad loans to customers/Loans to customers 0.3% 0.4% - 0.1% Net non-performing loans to customers/Loans to customers 1.7% 1.9% - 0.2% For the amounts, refer to the table “Loans to customers - Asset quality” in the paragraph “Net write-downs on loans and provisions for guarantees and commitments” of this Consolidated report on operations of the UniCredit group. Staff and Branches AS AT 12.31.2021 12.31.2020 CHANGE Employees(1) 78,571 82,107 -3,536 Branches(2) 3,290 3,490 -200 of which: - Italy 2,059 2,229 -170 - Other countries 1,231 1,261 -30 Notes: (1) "Full time equivalent" data (FTE): number of employees counted for the rate of presence. (2) Retail branches only. Consolidated report on operations Introduction and Group highlights 78 2021 Annual Report and Accounts · UniCredit Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 % CHANGE Total assets 916,671 931,456 - 1.6% Financial assets held for trading 80,109 72,705 + 10.2% Loans and receivables with customers 437,544 450,550 - 2.9% Financial liabilities held for trading 51,608 47,787 + 8.0% Deposits from customers and debt securities issue 596,402 600,964 - 0.8% of which: - deposits from customers 500,504 498,440 + 0.4% - debt securities issue 95,898 102,524 - 6.5% Group shareholders' equity 61,628 59,507 + 3.6% The figures in the table above refer to the reclassified balance sheet. For further details refer to “Reconciliation principles followed for the reclassified consolidated balance sheet”. In Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule. Profitability ratios YEAR 2021 2020 CHANGE EPS(*) (€) 0.680 (1.306) 1.986 Cost/Income ratio(**) 54.6% 57.2% - 2.6% EVA(***) (€ million) 212 (3,347) + 3,559 RoTE(****) 2.9% -5.4% + 8.4% ROA(*****) 0.2% -0.3% + 0.5% Notes: (*) Earnings per share. For further details refer to Part C - Section 25. (**) Ratio between operating expenses and operating income. (***) Economic value added equal to the difference between Net operating profit after tax (NOPAT) and the Cost of the absorbed capital. (****) Annualised ratio between the net profit and the average tangible equity. (*****) Return on assets calculated as the ratio between Net profit (loss) attributable to the Group and Total assets pursuant to Art. 90 of CRD IV. Risk ratios AS AT 12.31.2021 12.31.2020 % CHANGE Net bad loans to customers/Loans to customers 0.3% 0.4% - 0.1% Net non-performing loans to customers/Loans to customers 1.7% 1.9% - 0.2% For the amounts, refer to the table “Loans to customers - Asset quality” in the paragraph “Net write-downs on loans and provisions for guarantees and commitments” of this Consolidated report on operations of the UniCredit group. Staff and Branches AS AT 12.31.2021 12.31.2020 CHANGE Employees(1) 78,571 82,107 -3,536 Branches(2) 3,290 3,490 -200 of which: - Italy 2,059 2,229 -170 - Other countries 1,231 1,261 -30 Notes: (1) "Full time equivalent" data (FTE): number of employees counted for the rate of presence. (2) Retail branches only. Consolidated report on operations Introduction and Group highlights UniCredit · 2021 Annual Report and Accounts 79 Transitional capital ratios AS AT 12.31.2021(*) 12.31.2020(*) CHANGE Total own funds (€ million) 64,850 67,464 - 2,614 Total risk-weighted assets (€ million) 321,992 325,665 - 3,672 Common Equity Tier 1 Capital Ratio 15.82% 15.96% - 0.1% Total Capital Ratio 20.14% 20.72% - 0.6% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. Furthermore, starting from 30 June 2020, UniCredit group has decided to apply the IFRS9 transitional approach as reported in article 473a of the Regulation (UE) No.873/2020 that amends the Regulation (EU) No.575/2013 and Regulation (EU) No.876/2019. Therefore, the values here reported reflect the impact of the transitional arrangements provisioned in such Regulation. For further details refer to the paragraph "Capital and value management - Capital ratios" of this Consolidated report on operations. Ratings SHORT-TERM MEDIUM AND STANDALONE DEBT LONG-TERM OUTLOOK RATING Fitch Ratings F2 BBB stable bbb Moody's Investors Service P-2 Baa1 stable baa3 Standard & Poor's A-2 BBB positive bbb Ratings updated as at 14 February 2022. Consolidated report on operations Introduction and Group highlights UniCredit · 2021 Annual Report and Accounts 79 Transitional capital ratios AS AT 12.31.2021(*) 12.31.2020(*) CHANGE Total own funds (€ million) 64,850 67,464 - 2,614 Total risk-weighted assets (€ million) 321,992 325,665 - 3,672 Common Equity Tier 1 Capital Ratio 15.82% 15.96% - 0.1% Total Capital Ratio 20.14% 20.72% - 0.6% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. Furthermore, starting from 30 June 2020, UniCredit group has decided to apply the IFRS9 transitional approach as reported in article 473a of the Regulation (UE) No.873/2020 that amends the Regulation (EU) No.575/2013 and Regulation (EU) No.876/2019. Therefore, the values here reported reflect the impact of the transitional arrangements provisioned in such Regulation. For further details refer to the paragraph "Capital and value management - Capital ratios" of this Consolidated report on operations. Ratings SHORT-TERM MEDIUM AND STANDALONE DEBT LONG-TERM OUTLOOK RATING Fitch Ratings F2 BBB stable bbb Moody's Investors Service P-2 Baa1 stable baa3 Standard & Poor's A-2 BBB positive bbb Ratings updated as at 14 February 2022. Consolidated report on operations Introduction and Group highlights UniCredit · 2021 Annual Report and Accounts 79 Transitional capital ratios AS AT 12.31.2021(*) 12.31.2020(*) CHANGE Total own funds (€ million) 64,850 67,464 - 2,614 Total risk-weighted assets (€ million) 321,992 325,665 - 3,672 Common Equity Tier 1 Capital Ratio 15.82% 15.96% - 0.1% Total Capital Ratio 20.14% 20.72% - 0.6% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. Furthermore, starting from 30 June 2020, UniCredit group has decided to apply the IFRS9 transitional approach as reported in article 473a of the Regulation (UE) No.873/2020 that amends the Regulation (EU) No.575/2013 and Regulation (EU) No.876/2019. Therefore, the values here reported reflect the impact of the transitional arrangements provisioned in such Regulation. For further details refer to the paragraph "Capital and value management - Capital ratios" of this Consolidated report on operations. Ratings SHORT-TERM MEDIUM AND STANDALONE DEBT LONG-TERM OUTLOOK RATING Fitch Ratings F2 BBB stable bbb Moody's Investors Service P-2 Baa1 stable baa3 Standard & Poor's A-2 BBB positive bbb Ratings updated as at 14 February 2022. Consolidated report on operations Introduction and Group highlights UniCredit · 2021 Annual Report and Accounts 79 Transitional capital ratios AS AT 12.31.2021(*) 12.31.2020(*) CHANGE Total own funds (€ million) 64,850 67,464 - 2,614 Total risk-weighted assets (€ million) 321,992 325,665 - 3,672 Common Equity Tier 1 Capital Ratio 15.82% 15.96% - 0.1% Total Capital Ratio 20.14% 20.72% - 0.6% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. Furthermore, starting from 30 June 2020, UniCredit group has decided to apply the IFRS9 transitional approach as reported in article 473a of the Regulation (UE) No.873/2020 that amends the Regulation (EU) No.575/2013 and Regulation (EU) No.876/2019. Therefore, the values here reported reflect the impact of the transitional arrangements provisioned in such Regulation. For further details refer to the paragraph "Capital and value management - Capital ratios" of this Consolidated report on operations. Ratings SHORT-TERM MEDIUM AND STANDALONE DEBT LONG-TERM OUTLOOK RATING Fitch Ratings F2 BBB stable bbb Moody's Investors Service P-2 Baa1 stable baa3 Standard & Poor's A-2 BBB positive bbb Ratings updated as at 14 February 2022. Consolidated report on operations Introduction and Group highlights UniCredit · 2021 Annual Report and Accounts 79 Transitional capital ratios AS AT 12.31.2021(*) 12.31.2020(*) CHANGE Total own funds (€ million) 64,850 67,464 - 2,614 Total risk-weighted assets (€ million) 321,992 325,665 - 3,672 Common Equity Tier 1 Capital Ratio 15.82% 15.96% - 0.1% Total Capital Ratio 20.14% 20.72% - 0.6% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. Furthermore, starting from 30 June 2020, UniCredit group has decided to apply the IFRS9 transitional approach as reported in article 473a of the Regulation (UE) No.873/2020 that amends the Regulation (EU) No.575/2013 and Regulation (EU) No.876/2019. Therefore, the values here reported reflect the impact of the transitional arrangements provisioned in such Regulation. For further details refer to the paragraph "Capital and value management - Capital ratios" of this Consolidated report on operations. Ratings SHORT-TERM MEDIUM AND STANDALONE DEBT LONG-TERM OUTLOOK RATING Fitch Ratings F2 BBB stable bbb Moody's Investors Service P-2 Baa1 stable baa3 Standard & Poor's A-2 BBB positive bbb Ratings updated as at 14 February 2022. Consolidated report on operations Reclassified consolidated accounts 80 2021 Annual Report and Accounts · UniCredit Reclassified consolidated accounts Changes occurred in the scope of consolidation During 2021, with reference to the consolidation perimeter, the following changes were recorded: • the number of fully consolidated companies, including those ones classified as non-current assets and asset disposal groups based on the accounting principle IFRS5, decreases for 59 (8 in and 67 out) changing from 466, at the end of 2020, to 407 as at 31 December 2021; • the number of companies consolidated by using the equity method, including those ones classified as non-current assets and asset disposal groups, present a decrease of 2 (2 out) changing from 31, at the end of 2020, to 29 as at 31 December 2021. For additional information, reference is made in Notes to the consolidated accounts, Part A - Accounting Policies, A.1 - General, Section 3 - Consolidation scope and methods and in Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Non-current assets and disposal groups classified as held for sale As at 31 December 2021, the main assets which, based on the application of IFRS5 accounting principle, were reclassified as non-current assets and asset disposal groups, are the following: • regarding the individual asset and liability held for sale and associated liabilities which do not satisfy IFRS5 requirements for the classification as discontinued operations: - the companies of the WealthCap Group, the leasing controlled companies UniCredit Leasing S.p.A. and its controlled company, UniCredit Leasing GMBH and its controlled companies, UniCredit Leasing, Leasing, D.O.O., the controlled companies UCTAM Svk S.R.O. and Borgo Di Perolla S.r.l. and the associated company Risanamento S.p.A.; - the loans included in some sale’s initiatives of portfolios; - the real estate properties held by certain companies in the Group; • regarding the data relating to the discontinued operations, the controlled company OT-Optima Telekom (Croatia). For additional information, reference is made in Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). Reconciliation principles followed for the reclassified consolidated balance sheet The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Loans to banks” of item “Financial assets at amortised cost: a) loans and advances to banks”, net of debt securities reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the inclusion in “Loans to customers” of item “Financial assets at amortised cost: b) Loans and advances to customers”, net of debt securities and of IFRS16 leasing assets reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the aggregation as “Other financial assets” of items (i) “Financial assets at fair value through profit or loss: b) financial assets designated at fair value and c) other financial assets mandatorily at fair value”, net of loans reclassified in “Loans to banks and to customers”, of (ii) “Financial assets at fair value through other comprehensive income”, of (iii) “Equity investments”, besides reclassifications of (iv) debt securities from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers” and of (v) IFRS16 leasing assets from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers”; • the inclusion in “Other financial liabilities” of leasing liabilities pursuant to accounting standard IFRS16 relating to item “Financial liabilities at amortised cost: a) deposits from banks and b) deposits from customers”; • grouping under “Hedging instruments”, both assets and liabilities, of items “Hedging derivatives” and “Changes in fair value of portfolio hedged items” in the assets and “Value adjustment of hedged financial liabilities” in the liabilities; • the inclusion of items “Provision for employee severance pay” and “Provisions for risks and charges” under “Other liabilities”. The figures of the Reclassified consolidated balance sheet relating to 2020 and the first three quarters of 2021 have been restated in order to reflect the amendments contained in the 7th update of Banca d’Italia Circular 262 dated 22 December 2005 (dated 29 October 2021) through the reclassification of current accounts and demand deposits with Banks and with Central Banks (with the exclusion of the mandatory reserve) from item “Loans to banks” to item “Cash and cash balances”. Consolidated report on operations Reclassified consolidated accounts 80 2021 Annual Report and Accounts · UniCredit Reclassified consolidated accounts Changes occurred in the scope of consolidation During 2021, with reference to the consolidation perimeter, the following changes were recorded: • the number of fully consolidated companies, including those ones classified as non-current assets and asset disposal groups based on the accounting principle IFRS5, decreases for 59 (8 in and 67 out) changing from 466, at the end of 2020, to 407 as at 31 December 2021; • the number of companies consolidated by using the equity method, including those ones classified as non-current assets and asset disposal groups, present a decrease of 2 (2 out) changing from 31, at the end of 2020, to 29 as at 31 December 2021. For additional information, reference is made in Notes to the consolidated accounts, Part A - Accounting Policies, A.1 - General, Section 3 - Consolidation scope and methods and in Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Non-current assets and disposal groups classified as held for sale As at 31 December 2021, the main assets which, based on the application of IFRS5 accounting principle, were reclassified as non-current assets and asset disposal groups, are the following: • regarding the individual asset and liability held for sale and associated liabilities which do not satisfy IFRS5 requirements for the classification as discontinued operations: - the companies of the WealthCap Group, the leasing controlled companies UniCredit Leasing S.p.A. and its controlled company, UniCredit Leasing GMBH and its controlled companies, UniCredit Leasing, Leasing, D.O.O., the controlled companies UCTAM Svk S.R.O. and Borgo Di Perolla S.r.l. and the associated company Risanamento S.p.A.; - the loans included in some sale’s initiatives of portfolios; - the real estate properties held by certain companies in the Group; • regarding the data relating to the discontinued operations, the controlled company OT-Optima Telekom (Croatia). For additional information, reference is made in Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). Reconciliation principles followed for the reclassified consolidated balance sheet The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Loans to banks” of item “Financial assets at amortised cost: a) loans and advances to banks”, net of debt securities reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the inclusion in “Loans to customers” of item “Financial assets at amortised cost: b) Loans and advances to customers”, net of debt securities and of IFRS16 leasing assets reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the aggregation as “Other financial assets” of items (i) “Financial assets at fair value through profit or loss: b) financial assets designated at fair value and c) other financial assets mandatorily at fair value”, net of loans reclassified in “Loans to banks and to customers”, of (ii) “Financial assets at fair value through other comprehensive income”, of (iii) “Equity investments”, besides reclassifications of (iv) debt securities from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers” and of (v) IFRS16 leasing assets from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers”; • the inclusion in “Other financial liabilities” of leasing liabilities pursuant to accounting standard IFRS16 relating to item “Financial liabilities at amortised cost: a) deposits from banks and b) deposits from customers”; • grouping under “Hedging instruments”, both assets and liabilities, of items “Hedging derivatives” and “Changes in fair value of portfolio hedged items” in the assets and “Value adjustment of hedged financial liabilities” in the liabilities; • the inclusion of items “Provision for employee severance pay” and “Provisions for risks and charges” under “Other liabilities”. The figures of the Reclassified consolidated balance sheet relating to 2020 and the first three quarters of 2021 have been restated in order to reflect the amendments contained in the 7th update of Banca d’Italia Circular 262 dated 22 December 2005 (dated 29 October 2021) through the reclassification of current accounts and demand deposits with Banks and with Central Banks (with the exclusion of the mandatory reserve) from item “Loans to banks” to item “Cash and cash balances”. Consolidated report on operations Reclassified consolidated accounts 80 2021 Annual Report and Accounts · UniCredit Reclassified consolidated accounts Changes occurred in the scope of consolidation During 2021, with reference to the consolidation perimeter, the following changes were recorded: • the number of fully consolidated companies, including those ones classified as non-current assets and asset disposal groups based on the accounting principle IFRS5, decreases for 59 (8 in and 67 out) changing from 466, at the end of 2020, to 407 as at 31 December 2021; • the number of companies consolidated by using the equity method, including those ones classified as non-current assets and asset disposal groups, present a decrease of 2 (2 out) changing from 31, at the end of 2020, to 29 as at 31 December 2021. For additional information, reference is made in Notes to the consolidated accounts, Part A - Accounting Policies, A.1 - General, Section 3 - Consolidation scope and methods and in Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Non-current assets and disposal groups classified as held for sale As at 31 December 2021, the main assets which, based on the application of IFRS5 accounting principle, were reclassified as non-current assets and asset disposal groups, are the following: • regarding the individual asset and liability held for sale and associated liabilities which do not satisfy IFRS5 requirements for the classification as discontinued operations: - the companies of the WealthCap Group, the leasing controlled companies UniCredit Leasing S.p.A. and its controlled company, UniCredit Leasing GMBH and its controlled companies, UniCredit Leasing, Leasing, D.O.O., the controlled companies UCTAM Svk S.R.O. and Borgo Di Perolla S.r.l. and the associated company Risanamento S.p.A.; - the loans included in some sale’s initiatives of portfolios; - the real estate properties held by certain companies in the Group; • regarding the data relating to the discontinued operations, the controlled company OT-Optima Telekom (Croatia). For additional information, reference is made in Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). Reconciliation principles followed for the reclassified consolidated balance sheet The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Loans to banks” of item “Financial assets at amortised cost: a) loans and advances to banks”, net of debt securities reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the inclusion in “Loans to customers” of item “Financial assets at amortised cost: b) Loans and advances to customers”, net of debt securities and of IFRS16 leasing assets reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the aggregation as “Other financial assets” of items (i) “Financial assets at fair value through profit or loss: b) financial assets designated at fair value and c) other financial assets mandatorily at fair value”, net of loans reclassified in “Loans to banks and to customers”, of (ii) “Financial assets at fair value through other comprehensive income”, of (iii) “Equity investments”, besides reclassifications of (iv) debt securities from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers” and of (v) IFRS16 leasing assets from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers”; • the inclusion in “Other financial liabilities” of leasing liabilities pursuant to accounting standard IFRS16 relating to item “Financial liabilities at amortised cost: a) deposits from banks and b) deposits from customers”; • grouping under “Hedging instruments”, both assets and liabilities, of items “Hedging derivatives” and “Changes in fair value of portfolio hedged items” in the assets and “Value adjustment of hedged financial liabilities” in the liabilities; • the inclusion of items “Provision for employee severance pay” and “Provisions for risks and charges” under “Other liabilities”. The figures of the Reclassified consolidated balance sheet relating to 2020 and the first three quarters of 2021 have been restated in order to reflect the amendments contained in the 7th update of Banca d’Italia Circular 262 dated 22 December 2005 (dated 29 October 2021) through the reclassification of current accounts and demand deposits with Banks and with Central Banks (with the exclusion of the mandatory reserve) from item “Loans to banks” to item “Cash and cash balances”. Consolidated report on operations Reclassified consolidated accounts 80 2021 Annual Report and Accounts · UniCredit Reclassified consolidated accounts Changes occurred in the scope of consolidation During 2021, with reference to the consolidation perimeter, the following changes were recorded: • the number of fully consolidated companies, including those ones classified as non-current assets and asset disposal groups based on the accounting principle IFRS5, decreases for 59 (8 in and 67 out) changing from 466, at the end of 2020, to 407 as at 31 December 2021; • the number of companies consolidated by using the equity method, including those ones classified as non-current assets and asset disposal groups, present a decrease of 2 (2 out) changing from 31, at the end of 2020, to 29 as at 31 December 2021. For additional information, reference is made in Notes to the consolidated accounts, Part A - Accounting Policies, A.1 - General, Section 3 - Consolidation scope and methods and in Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Non-current assets and disposal groups classified as held for sale As at 31 December 2021, the main assets which, based on the application of IFRS5 accounting principle, were reclassified as non-current assets and asset disposal groups, are the following: • regarding the individual asset and liability held for sale and associated liabilities which do not satisfy IFRS5 requirements for the classification as discontinued operations: - the companies of the WealthCap Group, the leasing controlled companies UniCredit Leasing S.p.A. and its controlled company, UniCredit Leasing GMBH and its controlled companies, UniCredit Leasing, Leasing, D.O.O., the controlled companies UCTAM Svk S.R.O. and Borgo Di Perolla S.r.l. and the associated company Risanamento S.p.A.; - the loans included in some sale’s initiatives of portfolios; - the real estate properties held by certain companies in the Group; • regarding the data relating to the discontinued operations, the controlled company OT-Optima Telekom (Croatia). For additional information, reference is made in Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). Reconciliation principles followed for the reclassified consolidated balance sheet The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Loans to banks” of item “Financial assets at amortised cost: a) loans and advances to banks”, net of debt securities reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the inclusion in “Loans to customers” of item “Financial assets at amortised cost: b) Loans and advances to customers”, net of debt securities and of IFRS16 leasing assets reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the aggregation as “Other financial assets” of items (i) “Financial assets at fair value through profit or loss: b) financial assets designated at fair value and c) other financial assets mandatorily at fair value”, net of loans reclassified in “Loans to banks and to customers”, of (ii) “Financial assets at fair value through other comprehensive income”, of (iii) “Equity investments”, besides reclassifications of (iv) debt securities from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers” and of (v) IFRS16 leasing assets from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers”; • the inclusion in “Other financial liabilities” of leasing liabilities pursuant to accounting standard IFRS16 relating to item “Financial liabilities at amortised cost: a) deposits from banks and b) deposits from customers”; • grouping under “Hedging instruments”, both assets and liabilities, of items “Hedging derivatives” and “Changes in fair value of portfolio hedged items” in the assets and “Value adjustment of hedged financial liabilities” in the liabilities; • the inclusion of items “Provision for employee severance pay” and “Provisions for risks and charges” under “Other liabilities”. The figures of the Reclassified consolidated balance sheet relating to 2020 and the first three quarters of 2021 have been restated in order to reflect the amendments contained in the 7th update of Banca d’Italia Circular 262 dated 22 December 2005 (dated 29 October 2021) through the reclassification of current accounts and demand deposits with Banks and with Central Banks (with the exclusion of the mandatory reserve) from item “Loans to banks” to item “Cash and cash balances”. Consolidated report on operations Reclassified consolidated accounts 80 2021 Annual Report and Accounts · UniCredit Reclassified consolidated accounts Changes occurred in the scope of consolidation During 2021, with reference to the consolidation perimeter, the following changes were recorded: • the number of fully consolidated companies, including those ones classified as non-current assets and asset disposal groups based on the accounting principle IFRS5, decreases for 59 (8 in and 67 out) changing from 466, at the end of 2020, to 407 as at 31 December 2021; • the number of companies consolidated by using the equity method, including those ones classified as non-current assets and asset disposal groups, present a decrease of 2 (2 out) changing from 31, at the end of 2020, to 29 as at 31 December 2021. For additional information, reference is made in Notes to the consolidated accounts, Part A - Accounting Policies, A.1 - General, Section 3 - Consolidation scope and methods and in Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Non-current assets and disposal groups classified as held for sale As at 31 December 2021, the main assets which, based on the application of IFRS5 accounting principle, were reclassified as non-current assets and asset disposal groups, are the following: • regarding the individual asset and liability held for sale and associated liabilities which do not satisfy IFRS5 requirements for the classification as discontinued operations: - the companies of the WealthCap Group, the leasing controlled companies UniCredit Leasing S.p.A. and its controlled company, UniCredit Leasing GMBH and its controlled companies, UniCredit Leasing, Leasing, D.O.O., the controlled companies UCTAM Svk S.R.O. and Borgo Di Perolla S.r.l. and the associated company Risanamento S.p.A.; - the loans included in some sale’s initiatives of portfolios; - the real estate properties held by certain companies in the Group; • regarding the data relating to the discontinued operations, the controlled company OT-Optima Telekom (Croatia). For additional information, reference is made in Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). Reconciliation principles followed for the reclassified consolidated balance sheet The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Loans to banks” of item “Financial assets at amortised cost: a) loans and advances to banks”, net of debt securities reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the inclusion in “Loans to customers” of item “Financial assets at amortised cost: b) Loans and advances to customers”, net of debt securities and of IFRS16 leasing assets reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the aggregation as “Other financial assets” of items (i) “Financial assets at fair value through profit or loss: b) financial assets designated at fair value and c) other financial assets mandatorily at fair value”, net of loans reclassified in “Loans to banks and to customers”, of (ii) “Financial assets at fair value through other comprehensive income”, of (iii) “Equity investments”, besides reclassifications of (iv) debt securities from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers” and of (v) IFRS16 leasing assets from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers”; • the inclusion in “Other financial liabilities” of leasing liabilities pursuant to accounting standard IFRS16 relating to item “Financial liabilities at amortised cost: a) deposits from banks and b) deposits from customers”; • grouping under “Hedging instruments”, both assets and liabilities, of items “Hedging derivatives” and “Changes in fair value of portfolio hedged items” in the assets and “Value adjustment of hedged financial liabilities” in the liabilities; • the inclusion of items “Provision for employee severance pay” and “Provisions for risks and charges” under “Other liabilities”. The figures of the Reclassified consolidated balance sheet relating to 2020 and the first three quarters of 2021 have been restated in order to reflect the amendments contained in the 7th update of Banca d’Italia Circular 262 dated 22 December 2005 (dated 29 October 2021) through the reclassification of current accounts and demand deposits with Banks and with Central Banks (with the exclusion of the mandatory reserve) from item “Loans to banks” to item “Cash and cash balances”. Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 81 Reclassified consolidated balance sheet (€ million) AMOUNTS AS AT CHANGE ASSETS 12.31.2021 12.31.2020 AMOUNT % Cash and cash balances 107,407 117,003 - 9,596 - 8.2% Financial assets held for trading 80,109 72,705 + 7,404 + 10.2% Loans to banks 82,938 96,519 - 13,581 - 14.1% Loans to customers 437,544 450,550 - 13,005 - 2.9% Other financial assets 157,902 153,349 + 4,554 + 3.0% Hedging instruments 4,576 7,687 - 3,111 - 40.5% Property, plant and equipment 8,911 9,939 - 1,029 - 10.3% Goodwill - - - - Other intangible assets 2,213 2,117 + 96 + 4.5% Tax assets 13,551 13,097 + 454 + 3.5% Non-current assets and disposal groups classified as held for sale 14,287 2,017 + 12,269 n.m. Other assets 7,234 6,473 + 761 + 11.8% Total assets 916,671 931,456 - 14,785 - 1.6% (€ million) AMOUNTS AS AT CHANGE LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 AMOUNT % Deposits from banks 162,561 172,465 - 9,904 - 5.7% Deposits from customers 500,504 498,440 + 2,064 + 0.4% Debt securities issued 95,898 102,524 - 6,626 - 6.5% Financial liabilities held for trading 51,608 47,787 + 3,821 + 8.0% Other financial liabilities 11,616 12,887 - 1,270 - 9.9% Hedging instruments 5,265 11,764 - 6,499 - 55.2% Tax liabilities 1,216 1,358 - 142 - 10.4% Liabilities included in disposal groups classified as held for sale 2,149 761 + 1,388 n.m. Other liabilities 23,760 23,529 + 230 + 1.0% Minorities 465 435 + 30 + 7.0% Group shareholders' equity 61,628 59,507 + 2,121 + 3.6% of which: - capital and reserves 60,089 62,292 - 2,204 - 3.5% - net profit (loss) 1,540 (2,785) + 4,325 n.m. Total liabilities and shareholders' equity 916,671 931,456 - 14,785 - 1.6% Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 81 Reclassified consolidated balance sheet (€ million) AMOUNTS AS AT CHANGE ASSETS 12.31.2021 12.31.2020 AMOUNT % Cash and cash balances 107,407 117,003 - 9,596 - 8.2% Financial assets held for trading 80,109 72,705 + 7,404 + 10.2% Loans to banks 82,938 96,519 - 13,581 - 14.1% Loans to customers 437,544 450,550 - 13,005 - 2.9% Other financial assets 157,902 153,349 + 4,554 + 3.0% Hedging instruments 4,576 7,687 - 3,111 - 40.5% Property, plant and equipment 8,911 9,939 - 1,029 - 10.3% Goodwill - - - - Other intangible assets 2,213 2,117 + 96 + 4.5% Tax assets 13,551 13,097 + 454 + 3.5% Non-current assets and disposal groups classified as held for sale 14,287 2,017 + 12,269 n.m. Other assets 7,234 6,473 + 761 + 11.8% Total assets 916,671 931,456 - 14,785 - 1.6% (€ million) AMOUNTS AS AT CHANGE LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 AMOUNT % Deposits from banks 162,561 172,465 - 9,904 - 5.7% Deposits from customers 500,504 498,440 + 2,064 + 0.4% Debt securities issued 95,898 102,524 - 6,626 - 6.5% Financial liabilities held for trading 51,608 47,787 + 3,821 + 8.0% Other financial liabilities 11,616 12,887 - 1,270 - 9.9% Hedging instruments 5,265 11,764 - 6,499 - 55.2% Tax liabilities 1,216 1,358 - 142 - 10.4% Liabilities included in disposal groups classified as held for sale 2,149 761 + 1,388 n.m. Other liabilities 23,760 23,529 + 230 + 1.0% Minorities 465 435 + 30 + 7.0% Group shareholders' equity 61,628 59,507 + 2,121 + 3.6% of which: - capital and reserves 60,089 62,292 - 2,204 - 3.5% - net profit (loss) 1,540 (2,785) + 4,325 n.m. Total liabilities and shareholders' equity 916,671 931,456 - 14,785 - 1.6% Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 81 Reclassified consolidated balance sheet (€ million) AMOUNTS AS AT CHANGE ASSETS 12.31.2021 12.31.2020 AMOUNT % Cash and cash balances 107,407 117,003 - 9,596 - 8.2% Financial assets held for trading 80,109 72,705 + 7,404 + 10.2% Loans to banks 82,938 96,519 - 13,581 - 14.1% Loans to customers 437,544 450,550 - 13,005 - 2.9% Other financial assets 157,902 153,349 + 4,554 + 3.0% Hedging instruments 4,576 7,687 - 3,111 - 40.5% Property, plant and equipment 8,911 9,939 - 1,029 - 10.3% Goodwill - - - - Other intangible assets 2,213 2,117 + 96 + 4.5% Tax assets 13,551 13,097 + 454 + 3.5% Non-current assets and disposal groups classified as held for sale 14,287 2,017 + 12,269 n.m. Other assets 7,234 6,473 + 761 + 11.8% Total assets 916,671 931,456 - 14,785 - 1.6% (€ million) AMOUNTS AS AT CHANGE LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 AMOUNT % Deposits from banks 162,561 172,465 - 9,904 - 5.7% Deposits from customers 500,504 498,440 + 2,064 + 0.4% Debt securities issued 95,898 102,524 - 6,626 - 6.5% Financial liabilities held for trading 51,608 47,787 + 3,821 + 8.0% Other financial liabilities 11,616 12,887 - 1,270 - 9.9% Hedging instruments 5,265 11,764 - 6,499 - 55.2% Tax liabilities 1,216 1,358 - 142 - 10.4% Liabilities included in disposal groups classified as held for sale 2,149 761 + 1,388 n.m. Other liabilities 23,760 23,529 + 230 + 1.0% Minorities 465 435 + 30 + 7.0% Group shareholders' equity 61,628 59,507 + 2,121 + 3.6% of which: - capital and reserves 60,089 62,292 - 2,204 - 3.5% - net profit (loss) 1,540 (2,785) + 4,325 n.m. Total liabilities and shareholders' equity 916,671 931,456 - 14,785 - 1.6% Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 81 Reclassified consolidated balance sheet (€ million) AMOUNTS AS AT CHANGE ASSETS 12.31.2021 12.31.2020 AMOUNT % Cash and cash balances 107,407 117,003 - 9,596 - 8.2% Financial assets held for trading 80,109 72,705 + 7,404 + 10.2% Loans to banks 82,938 96,519 - 13,581 - 14.1% Loans to customers 437,544 450,550 - 13,005 - 2.9% Other financial assets 157,902 153,349 + 4,554 + 3.0% Hedging instruments 4,576 7,687 - 3,111 - 40.5% Property, plant and equipment 8,911 9,939 - 1,029 - 10.3% Goodwill - - - - Other intangible assets 2,213 2,117 + 96 + 4.5% Tax assets 13,551 13,097 + 454 + 3.5% Non-current assets and disposal groups classified as held for sale 14,287 2,017 + 12,269 n.m. Other assets 7,234 6,473 + 761 + 11.8% Total assets 916,671 931,456 - 14,785 - 1.6% (€ million) AMOUNTS AS AT CHANGE LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 AMOUNT % Deposits from banks 162,561 172,465 - 9,904 - 5.7% Deposits from customers 500,504 498,440 + 2,064 + 0.4% Debt securities issued 95,898 102,524 - 6,626 - 6.5% Financial liabilities held for trading 51,608 47,787 + 3,821 + 8.0% Other financial liabilities 11,616 12,887 - 1,270 - 9.9% Hedging instruments 5,265 11,764 - 6,499 - 55.2% Tax liabilities 1,216 1,358 - 142 - 10.4% Liabilities included in disposal groups classified as held for sale 2,149 761 + 1,388 n.m. Other liabilities 23,760 23,529 + 230 + 1.0% Minorities 465 435 + 30 + 7.0% Group shareholders' equity 61,628 59,507 + 2,121 + 3.6% of which: - capital and reserves 60,089 62,292 - 2,204 - 3.5% - net profit (loss) 1,540 (2,785) + 4,325 n.m. Total liabilities and shareholders' equity 916,671 931,456 - 14,785 - 1.6% Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 81 Reclassified consolidated balance sheet (€ million) AMOUNTS AS AT CHANGE ASSETS 12.31.2021 12.31.2020 AMOUNT % Cash and cash balances 107,407 117,003 - 9,596 - 8.2% Financial assets held for trading 80,109 72,705 + 7,404 + 10.2% Loans to banks 82,938 96,519 - 13,581 - 14.1% Loans to customers 437,544 450,550 - 13,005 - 2.9% Other financial assets 157,902 153,349 + 4,554 + 3.0% Hedging instruments 4,576 7,687 - 3,111 - 40.5% Property, plant and equipment 8,911 9,939 - 1,029 - 10.3% Goodwill - - - - Other intangible assets 2,213 2,117 + 96 + 4.5% Tax assets 13,551 13,097 + 454 + 3.5% Non-current assets and disposal groups classified as held for sale 14,287 2,017 + 12,269 n.m. Other assets 7,234 6,473 + 761 + 11.8% Total assets 916,671 931,456 - 14,785 - 1.6% (€ million) AMOUNTS AS AT CHANGE LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 AMOUNT % Deposits from banks 162,561 172,465 - 9,904 - 5.7% Deposits from customers 500,504 498,440 + 2,064 + 0.4% Debt securities issued 95,898 102,524 - 6,626 - 6.5% Financial liabilities held for trading 51,608 47,787 + 3,821 + 8.0% Other financial liabilities 11,616 12,887 - 1,270 - 9.9% Hedging instruments 5,265 11,764 - 6,499 - 55.2% Tax liabilities 1,216 1,358 - 142 - 10.4% Liabilities included in disposal groups classified as held for sale 2,149 761 + 1,388 n.m. Other liabilities 23,760 23,529 + 230 + 1.0% Minorities 465 435 + 30 + 7.0% Group shareholders' equity 61,628 59,507 + 2,121 + 3.6% of which: - capital and reserves 60,089 62,292 - 2,204 - 3.5% - net profit (loss) 1,540 (2,785) + 4,325 n.m. Total liabilities and shareholders' equity 916,671 931,456 - 14,785 - 1.6% Consolidated report on operations Reclassified consolidated accounts 82 2021 Annual Report and Accounts · UniCredit Reclassified consolidated balance sheet - Quarterly figures (€ million) AMOUNTS AS AT AMOUNTS AS AT ASSETS 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Cash and cash balances 107,407 135,412 136,036 123,899 117,003 52,814 32,997 35,338 Financial assets held for trading 80,109 80,545 78,991 73,925 72,705 73,165 67,236 69,756 Loans to banks 82,938 98,379 100,219 100,733 96,519 114,226 110,886 79,914 Loans to customers 437,544 439,811 438,401 446,691 450,550 466,776 479,253 489,973 Other financial assets 157,902 157,104 158,590 158,337 153,349 153,407 155,884 151,907 Hedging instruments 4,576 5,553 5,907 6,607 7,687 8,241 11,445 11,051 Property, plant and equipment 8,911 9,582 9,674 9,817 9,939 10,148 10,242 10,519 Goodwill - - - - - 878 878 886 Other intangible assets 2,213 2,205 2,170 2,116 2,117 1,994 1,957 1,865 Tax assets 13,551 12,402 12,484 12,831 13,097 13,024 12,978 12,955 Non-current assets and disposal groups classified as held for sale 14,287 832 749 1,003 2,017 2,104 1,984 2,045 Other assets 7,234 6,760 6,824 6,206 6,473 6,575 6,994 6,542 Total assets 916,671 948,584 950,046 942,165 931,456 903,353 892,735 872,753 (€ million) AMOUNTS AS AT AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Deposits from banks 162,561 181,186 186,742 189,419 172,465 163,775 164,843 161,497 Deposits from customers 500,504 509,794 505,716 497,394 498,440 474,790 468,315 454,956 Debt securities issued 95,898 98,518 95,973 98,876 102,524 101,588 95,902 95,197 Financial liabilities held for trading 51,608 49,863 49,798 46,428 47,787 47,812 45,551 46,785 Other financial liabilities 11,616 11,802 12,013 12,326 12,887 12,963 12,656 11,094 Hedging instruments 5,265 7,045 8,041 9,056 11,764 12,551 15,029 14,236 Tax liabilities 1,216 1,243 1,151 1,113 1,358 1,469 1,454 1,509 Liabilities included in disposal groups classified as held for sale 2,149 576 565 651 761 593 615 559 Other liabilities 23,760 25,907 28,245 25,803 23,529 26,722 27,186 25,669 Minorities 465 463 447 440 435 443 437 430 Group shareholders' equity 61,628 62,186 61,356 60,660 59,507 60,645 60,748 60,820 of which: - capital and reserves 60,089 59,207 59,435 59,772 62,292 62,252 63,034 63,526 - net profit (loss) 1,540 2,979 1,921 887 (2,785) (1,606) (2,286) (2,706) Total liabilities and shareholders' equity 916,671 948,584 950,046 942,165 931,456 903,353 892,735 872,753 Consolidated report on operations Reclassified consolidated accounts 82 2021 Annual Report and Accounts · UniCredit Reclassified consolidated balance sheet - Quarterly figures (€ million) AMOUNTS AS AT AMOUNTS AS AT ASSETS 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Cash and cash balances 107,407 135,412 136,036 123,899 117,003 52,814 32,997 35,338 Financial assets held for trading 80,109 80,545 78,991 73,925 72,705 73,165 67,236 69,756 Loans to banks 82,938 98,379 100,219 100,733 96,519 114,226 110,886 79,914 Loans to customers 437,544 439,811 438,401 446,691 450,550 466,776 479,253 489,973 Other financial assets 157,902 157,104 158,590 158,337 153,349 153,407 155,884 151,907 Hedging instruments 4,576 5,553 5,907 6,607 7,687 8,241 11,445 11,051 Property, plant and equipment 8,911 9,582 9,674 9,817 9,939 10,148 10,242 10,519 Goodwill - - - - - 878 878 886 Other intangible assets 2,213 2,205 2,170 2,116 2,117 1,994 1,957 1,865 Tax assets 13,551 12,402 12,484 12,831 13,097 13,024 12,978 12,955 Non-current assets and disposal groups classified as held for sale 14,287 832 749 1,003 2,017 2,104 1,984 2,045 Other assets 7,234 6,760 6,824 6,206 6,473 6,575 6,994 6,542 Total assets 916,671 948,584 950,046 942,165 931,456 903,353 892,735 872,753 (€ million) AMOUNTS AS AT AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Deposits from banks 162,561 181,186 186,742 189,419 172,465 163,775 164,843 161,497 Deposits from customers 500,504 509,794 505,716 497,394 498,440 474,790 468,315 454,956 Debt securities issued 95,898 98,518 95,973 98,876 102,524 101,588 95,902 95,197 Financial liabilities held for trading 51,608 49,863 49,798 46,428 47,787 47,812 45,551 46,785 Other financial liabilities 11,616 11,802 12,013 12,326 12,887 12,963 12,656 11,094 Hedging instruments 5,265 7,045 8,041 9,056 11,764 12,551 15,029 14,236 Tax liabilities 1,216 1,243 1,151 1,113 1,358 1,469 1,454 1,509 Liabilities included in disposal groups classified as held for sale 2,149 576 565 651 761 593 615 559 Other liabilities 23,760 25,907 28,245 25,803 23,529 26,722 27,186 25,669 Minorities 465 463 447 440 435 443 437 430 Group shareholders' equity 61,628 62,186 61,356 60,660 59,507 60,645 60,748 60,820 of which: - capital and reserves 60,089 59,207 59,435 59,772 62,292 62,252 63,034 63,526 - net profit (loss) 1,540 2,979 1,921 887 (2,785) (1,606) (2,286) (2,706) Total liabilities and shareholders' equity 916,671 948,584 950,046 942,165 931,456 903,353 892,735 872,753 Consolidated report on operations Reclassified consolidated accounts 82 2021 Annual Report and Accounts · UniCredit Reclassified consolidated balance sheet - Quarterly figures (€ million) AMOUNTS AS AT AMOUNTS AS AT ASSETS 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Cash and cash balances 107,407 135,412 136,036 123,899 117,003 52,814 32,997 35,338 Financial assets held for trading 80,109 80,545 78,991 73,925 72,705 73,165 67,236 69,756 Loans to banks 82,938 98,379 100,219 100,733 96,519 114,226 110,886 79,914 Loans to customers 437,544 439,811 438,401 446,691 450,550 466,776 479,253 489,973 Other financial assets 157,902 157,104 158,590 158,337 153,349 153,407 155,884 151,907 Hedging instruments 4,576 5,553 5,907 6,607 7,687 8,241 11,445 11,051 Property, plant and equipment 8,911 9,582 9,674 9,817 9,939 10,148 10,242 10,519 Goodwill - - - - - 878 878 886 Other intangible assets 2,213 2,205 2,170 2,116 2,117 1,994 1,957 1,865 Tax assets 13,551 12,402 12,484 12,831 13,097 13,024 12,978 12,955 Non-current assets and disposal groups classified as held for sale 14,287 832 749 1,003 2,017 2,104 1,984 2,045 Other assets 7,234 6,760 6,824 6,206 6,473 6,575 6,994 6,542 Total assets 916,671 948,584 950,046 942,165 931,456 903,353 892,735 872,753 (€ million) AMOUNTS AS AT AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Deposits from banks 162,561 181,186 186,742 189,419 172,465 163,775 164,843 161,497 Deposits from customers 500,504 509,794 505,716 497,394 498,440 474,790 468,315 454,956 Debt securities issued 95,898 98,518 95,973 98,876 102,524 101,588 95,902 95,197 Financial liabilities held for trading 51,608 49,863 49,798 46,428 47,787 47,812 45,551 46,785 Other financial liabilities 11,616 11,802 12,013 12,326 12,887 12,963 12,656 11,094 Hedging instruments 5,265 7,045 8,041 9,056 11,764 12,551 15,029 14,236 Tax liabilities 1,216 1,243 1,151 1,113 1,358 1,469 1,454 1,509 Liabilities included in disposal groups classified as held for sale 2,149 576 565 651 761 593 615 559 Other liabilities 23,760 25,907 28,245 25,803 23,529 26,722 27,186 25,669 Minorities 465 463 447 440 435 443 437 430 Group shareholders' equity 61,628 62,186 61,356 60,660 59,507 60,645 60,748 60,820 of which: - capital and reserves 60,089 59,207 59,435 59,772 62,292 62,252 63,034 63,526 - net profit (loss) 1,540 2,979 1,921 887 (2,785) (1,606) (2,286) (2,706) Total liabilities and shareholders' equity 916,671 948,584 950,046 942,165 931,456 903,353 892,735 872,753 Consolidated report on operations Reclassified consolidated accounts 82 2021 Annual Report and Accounts · UniCredit Reclassified consolidated balance sheet - Quarterly figures (€ million) AMOUNTS AS AT AMOUNTS AS AT ASSETS 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Cash and cash balances 107,407 135,412 136,036 123,899 117,003 52,814 32,997 35,338 Financial assets held for trading 80,109 80,545 78,991 73,925 72,705 73,165 67,236 69,756 Loans to banks 82,938 98,379 100,219 100,733 96,519 114,226 110,886 79,914 Loans to customers 437,544 439,811 438,401 446,691 450,550 466,776 479,253 489,973 Other financial assets 157,902 157,104 158,590 158,337 153,349 153,407 155,884 151,907 Hedging instruments 4,576 5,553 5,907 6,607 7,687 8,241 11,445 11,051 Property, plant and equipment 8,911 9,582 9,674 9,817 9,939 10,148 10,242 10,519 Goodwill - - - - - 878 878 886 Other intangible assets 2,213 2,205 2,170 2,116 2,117 1,994 1,957 1,865 Tax assets 13,551 12,402 12,484 12,831 13,097 13,024 12,978 12,955 Non-current assets and disposal groups classified as held for sale 14,287 832 749 1,003 2,017 2,104 1,984 2,045 Other assets 7,234 6,760 6,824 6,206 6,473 6,575 6,994 6,542 Total assets 916,671 948,584 950,046 942,165 931,456 903,353 892,735 872,753 (€ million) AMOUNTS AS AT AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Deposits from banks 162,561 181,186 186,742 189,419 172,465 163,775 164,843 161,497 Deposits from customers 500,504 509,794 505,716 497,394 498,440 474,790 468,315 454,956 Debt securities issued 95,898 98,518 95,973 98,876 102,524 101,588 95,902 95,197 Financial liabilities held for trading 51,608 49,863 49,798 46,428 47,787 47,812 45,551 46,785 Other financial liabilities 11,616 11,802 12,013 12,326 12,887 12,963 12,656 11,094 Hedging instruments 5,265 7,045 8,041 9,056 11,764 12,551 15,029 14,236 Tax liabilities 1,216 1,243 1,151 1,113 1,358 1,469 1,454 1,509 Liabilities included in disposal groups classified as held for sale 2,149 576 565 651 761 593 615 559 Other liabilities 23,760 25,907 28,245 25,803 23,529 26,722 27,186 25,669 Minorities 465 463 447 440 435 443 437 430 Group shareholders' equity 61,628 62,186 61,356 60,660 59,507 60,645 60,748 60,820 of which: - capital and reserves 60,089 59,207 59,435 59,772 62,292 62,252 63,034 63,526 - net profit (loss) 1,540 2,979 1,921 887 (2,785) (1,606) (2,286) (2,706) Total liabilities and shareholders' equity 916,671 948,584 950,046 942,165 931,456 903,353 892,735 872,753 Consolidated report on operations Reclassified consolidated accounts 82 2021 Annual Report and Accounts · UniCredit Reclassified consolidated balance sheet - Quarterly figures (€ million) AMOUNTS AS AT AMOUNTS AS AT ASSETS 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Cash and cash balances 107,407 135,412 136,036 123,899 117,003 52,814 32,997 35,338 Financial assets held for trading 80,109 80,545 78,991 73,925 72,705 73,165 67,236 69,756 Loans to banks 82,938 98,379 100,219 100,733 96,519 114,226 110,886 79,914 Loans to customers 437,544 439,811 438,401 446,691 450,550 466,776 479,253 489,973 Other financial assets 157,902 157,104 158,590 158,337 153,349 153,407 155,884 151,907 Hedging instruments 4,576 5,553 5,907 6,607 7,687 8,241 11,445 11,051 Property, plant and equipment 8,911 9,582 9,674 9,817 9,939 10,148 10,242 10,519 Goodwill - - - - - 878 878 886 Other intangible assets 2,213 2,205 2,170 2,116 2,117 1,994 1,957 1,865 Tax assets 13,551 12,402 12,484 12,831 13,097 13,024 12,978 12,955 Non-current assets and disposal groups classified as held for sale 14,287 832 749 1,003 2,017 2,104 1,984 2,045 Other assets 7,234 6,760 6,824 6,206 6,473 6,575 6,994 6,542 Total assets 916,671 948,584 950,046 942,165 931,456 903,353 892,735 872,753 (€ million) AMOUNTS AS AT AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Deposits from banks 162,561 181,186 186,742 189,419 172,465 163,775 164,843 161,497 Deposits from customers 500,504 509,794 505,716 497,394 498,440 474,790 468,315 454,956 Debt securities issued 95,898 98,518 95,973 98,876 102,524 101,588 95,902 95,197 Financial liabilities held for trading 51,608 49,863 49,798 46,428 47,787 47,812 45,551 46,785 Other financial liabilities 11,616 11,802 12,013 12,326 12,887 12,963 12,656 11,094 Hedging instruments 5,265 7,045 8,041 9,056 11,764 12,551 15,029 14,236 Tax liabilities 1,216 1,243 1,151 1,113 1,358 1,469 1,454 1,509 Liabilities included in disposal groups classified as held for sale 2,149 576 565 651 761 593 615 559 Other liabilities 23,760 25,907 28,245 25,803 23,529 26,722 27,186 25,669 Minorities 465 463 447 440 435 443 437 430 Group shareholders' equity 61,628 62,186 61,356 60,660 59,507 60,645 60,748 60,820 of which: - capital and reserves 60,089 59,207 59,435 59,772 62,292 62,252 63,034 63,526 - net profit (loss) 1,540 2,979 1,921 887 (2,785) (1,606) (2,286) (2,706) Total liabilities and shareholders' equity 916,671 948,584 950,046 942,165 931,456 903,353 892,735 872,753 Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 83 Reconciliation principles followed for the reclassified consolidated income statement The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Dividends and other income from equity investments” of “Profit (Loss) of equity investments valued at equity” and the exclusion of (i) “Dividends from held for trading equity instruments” and (ii) “Dividends on equity investments, shares and equity instruments mandatorily at fair value” which are included in “Net trading income”; • the inclusion in the “Net other expenses/income” of “Other operating expenses/income”, excluding “Recovery of expenses” which is classified under its own item, the exclusion of the costs for “Net value adjustments/write-backs on leasehold improvements” classified among “Other administrative expenses” and inclusion of result of industrial companies; • presentation of “Net other expenses/income”, “Payroll costs”, “Other administrative expenses”, “Amortisation, depreciation and impairment losses on intangible and tangible assets” and “Other charges and provisions” net of any “Integration costs” relating to the reorganisation operations, classified as a separate item; • the exclusion from the “Other administrative expenses” of the Contributions to the Resolution Funds (SRF), the Deposit Guarantee Schemes (DGS), the Bank Levy and the Guarantee fees for DTA reclassified in item “Other charges and provisions”; • the exclusion from “Amortisation, depreciation and impairment losses on intangible and tangible assets” of impairment/writebacks related to (i) inventories assets (IAS2) obtained from recovery procedures of NPE (ii) rights of use of land and buildings used in the business (classified in item “Net income from investments”) and (iii) tangible in operating lease assets (classified in item “Net other expenses/income”); • in “Net write-downs on loans and provisions for guarantees and commitments”, the inclusion of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income net of debt securities, the gains (losses) on disposal and repurchase of nonperforming financial assets at amortised cost net of debt securities and of the “Net provisions for risks and charges” related to commitments and financial guarantees given; • the inclusion in “Net income from investments” of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income - debt securities, gains (losses) on tangible and intangible assets measured at fair value as well as gains (losses) of equity investments and on disposal on investments, including impacts from revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method not presented to item “Profit (Loss) from non-current assets held for sale after tax”; • the inclusion among “Net trading income” (i) of the net gains (losses) on trading, (ii) of the net gains (losses) on hedge accounting, (iii) of the net gains/losses on other financial assets/liabilities at fair value through profit or loss, (iv) of the gains/losses on disposal or repurchase of financial assets at fair value through other comprehensive income and (v) of the interest income and expenses deriving from Trading Book instruments, excluded the economical hedging or funding banking book positions. Figures of Reclassified consolidated income statement have been restated, starting from June 2021 and with reference to 2020 quarters and first quarter 2021, for the external service costs related to credit cards in Austria that have been reclassified from item “Other administrative expenses” to item “Net fees and commissions”. Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 83 Reconciliation principles followed for the reclassified consolidated income statement The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Dividends and other income from equity investments” of “Profit (Loss) of equity investments valued at equity” and the exclusion of (i) “Dividends from held for trading equity instruments” and (ii) “Dividends on equity investments, shares and equity instruments mandatorily at fair value” which are included in “Net trading income”; • the inclusion in the “Net other expenses/income” of “Other operating expenses/income”, excluding “Recovery of expenses” which is classified under its own item, the exclusion of the costs for “Net value adjustments/write-backs on leasehold improvements” classified among “Other administrative expenses” and inclusion of result of industrial companies; • presentation of “Net other expenses/income”, “Payroll costs”, “Other administrative expenses”, “Amortisation, depreciation and impairment losses on intangible and tangible assets” and “Other charges and provisions” net of any “Integration costs” relating to the reorganisation operations, classified as a separate item; • the exclusion from the “Other administrative expenses” of the Contributions to the Resolution Funds (SRF), the Deposit Guarantee Schemes (DGS), the Bank Levy and the Guarantee fees for DTA reclassified in item “Other charges and provisions”; • the exclusion from “Amortisation, depreciation and impairment losses on intangible and tangible assets” of impairment/writebacks related to (i) inventories assets (IAS2) obtained from recovery procedures of NPE (ii) rights of use of land and buildings used in the business (classified in item “Net income from investments”) and (iii) tangible in operating lease assets (classified in item “Net other expenses/income”); • in “Net write-downs on loans and provisions for guarantees and commitments”, the inclusion of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income net of debt securities, the gains (losses) on disposal and repurchase of nonperforming financial assets at amortised cost net of debt securities and of the “Net provisions for risks and charges” related to commitments and financial guarantees given; • the inclusion in “Net income from investments” of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income - debt securities, gains (losses) on tangible and intangible assets measured at fair value as well as gains (losses) of equity investments and on disposal on investments, including impacts from revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method not presented to item “Profit (Loss) from non-current assets held for sale after tax”; • the inclusion among “Net trading income” (i) of the net gains (losses) on trading, (ii) of the net gains (losses) on hedge accounting, (iii) of the net gains/losses on other financial assets/liabilities at fair value through profit or loss, (iv) of the gains/losses on disposal or repurchase of financial assets at fair value through other comprehensive income and (v) of the interest income and expenses deriving from Trading Book instruments, excluded the economical hedging or funding banking book positions. Figures of Reclassified consolidated income statement have been restated, starting from June 2021 and with reference to 2020 quarters and first quarter 2021, for the external service costs related to credit cards in Austria that have been reclassified from item “Other administrative expenses” to item “Net fees and commissions”. Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 83 Reconciliation principles followed for the reclassified consolidated income statement The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Dividends and other income from equity investments” of “Profit (Loss) of equity investments valued at equity” and the exclusion of (i) “Dividends from held for trading equity instruments” and (ii) “Dividends on equity investments, shares and equity instruments mandatorily at fair value” which are included in “Net trading income”; • the inclusion in the “Net other expenses/income” of “Other operating expenses/income”, excluding “Recovery of expenses” which is classified under its own item, the exclusion of the costs for “Net value adjustments/write-backs on leasehold improvements” classified among “Other administrative expenses” and inclusion of result of industrial companies; • presentation of “Net other expenses/income”, “Payroll costs”, “Other administrative expenses”, “Amortisation, depreciation and impairment losses on intangible and tangible assets” and “Other charges and provisions” net of any “Integration costs” relating to the reorganisation operations, classified as a separate item; • the exclusion from the “Other administrative expenses” of the Contributions to the Resolution Funds (SRF), the Deposit Guarantee Schemes (DGS), the Bank Levy and the Guarantee fees for DTA reclassified in item “Other charges and provisions”; • the exclusion from “Amortisation, depreciation and impairment losses on intangible and tangible assets” of impairment/writebacks related to (i) inventories assets (IAS2) obtained from recovery procedures of NPE (ii) rights of use of land and buildings used in the business (classified in item “Net income from investments”) and (iii) tangible in operating lease assets (classified in item “Net other expenses/income”); • in “Net write-downs on loans and provisions for guarantees and commitments”, the inclusion of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income net of debt securities, the gains (losses) on disposal and repurchase of nonperforming financial assets at amortised cost net of debt securities and of the “Net provisions for risks and charges” related to commitments and financial guarantees given; • the inclusion in “Net income from investments” of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income - debt securities, gains (losses) on tangible and intangible assets measured at fair value as well as gains (losses) of equity investments and on disposal on investments, including impacts from revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method not presented to item “Profit (Loss) from non-current assets held for sale after tax”; • the inclusion among “Net trading income” (i) of the net gains (losses) on trading, (ii) of the net gains (losses) on hedge accounting, (iii) of the net gains/losses on other financial assets/liabilities at fair value through profit or loss, (iv) of the gains/losses on disposal or repurchase of financial assets at fair value through other comprehensive income and (v) of the interest income and expenses deriving from Trading Book instruments, excluded the economical hedging or funding banking book positions. Figures of Reclassified consolidated income statement have been restated, starting from June 2021 and with reference to 2020 quarters and first quarter 2021, for the external service costs related to credit cards in Austria that have been reclassified from item “Other administrative expenses” to item “Net fees and commissions”. Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 83 Reconciliation principles followed for the reclassified consolidated income statement The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Dividends and other income from equity investments” of “Profit (Loss) of equity investments valued at equity” and the exclusion of (i) “Dividends from held for trading equity instruments” and (ii) “Dividends on equity investments, shares and equity instruments mandatorily at fair value” which are included in “Net trading income”; • the inclusion in the “Net other expenses/income” of “Other operating expenses/income”, excluding “Recovery of expenses” which is classified under its own item, the exclusion of the costs for “Net value adjustments/write-backs on leasehold improvements” classified among “Other administrative expenses” and inclusion of result of industrial companies; • presentation of “Net other expenses/income”, “Payroll costs”, “Other administrative expenses”, “Amortisation, depreciation and impairment losses on intangible and tangible assets” and “Other charges and provisions” net of any “Integration costs” relating to the reorganisation operations, classified as a separate item; • the exclusion from the “Other administrative expenses” of the Contributions to the Resolution Funds (SRF), the Deposit Guarantee Schemes (DGS), the Bank Levy and the Guarantee fees for DTA reclassified in item “Other charges and provisions”; • the exclusion from “Amortisation, depreciation and impairment losses on intangible and tangible assets” of impairment/writebacks related to (i) inventories assets (IAS2) obtained from recovery procedures of NPE (ii) rights of use of land and buildings used in the business (classified in item “Net income from investments”) and (iii) tangible in operating lease assets (classified in item “Net other expenses/income”); • in “Net write-downs on loans and provisions for guarantees and commitments”, the inclusion of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income net of debt securities, the gains (losses) on disposal and repurchase of nonperforming financial assets at amortised cost net of debt securities and of the “Net provisions for risks and charges” related to commitments and financial guarantees given; • the inclusion in “Net income from investments” of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income - debt securities, gains (losses) on tangible and intangible assets measured at fair value as well as gains (losses) of equity investments and on disposal on investments, including impacts from revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method not presented to item “Profit (Loss) from non-current assets held for sale after tax”; • the inclusion among “Net trading income” (i) of the net gains (losses) on trading, (ii) of the net gains (losses) on hedge accounting, (iii) of the net gains/losses on other financial assets/liabilities at fair value through profit or loss, (iv) of the gains/losses on disposal or repurchase of financial assets at fair value through other comprehensive income and (v) of the interest income and expenses deriving from Trading Book instruments, excluded the economical hedging or funding banking book positions. Figures of Reclassified consolidated income statement have been restated, starting from June 2021 and with reference to 2020 quarters and first quarter 2021, for the external service costs related to credit cards in Austria that have been reclassified from item “Other administrative expenses” to item “Net fees and commissions”. Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 83 Reconciliation principles followed for the reclassified consolidated income statement The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Dividends and other income from equity investments” of “Profit (Loss) of equity investments valued at equity” and the exclusion of (i) “Dividends from held for trading equity instruments” and (ii) “Dividends on equity investments, shares and equity instruments mandatorily at fair value” which are included in “Net trading income”; • the inclusion in the “Net other expenses/income” of “Other operating expenses/income”, excluding “Recovery of expenses” which is classified under its own item, the exclusion of the costs for “Net value adjustments/write-backs on leasehold improvements” classified among “Other administrative expenses” and inclusion of result of industrial companies; • presentation of “Net other expenses/income”, “Payroll costs”, “Other administrative expenses”, “Amortisation, depreciation and impairment losses on intangible and tangible assets” and “Other charges and provisions” net of any “Integration costs” relating to the reorganisation operations, classified as a separate item; • the exclusion from the “Other administrative expenses” of the Contributions to the Resolution Funds (SRF), the Deposit Guarantee Schemes (DGS), the Bank Levy and the Guarantee fees for DTA reclassified in item “Other charges and provisions”; • the exclusion from “Amortisation, depreciation and impairment losses on intangible and tangible assets” of impairment/writebacks related to (i) inventories assets (IAS2) obtained from recovery procedures of NPE (ii) rights of use of land and buildings used in the business (classified in item “Net income from investments”) and (iii) tangible in operating lease assets (classified in item “Net other expenses/income”); • in “Net write-downs on loans and provisions for guarantees and commitments”, the inclusion of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income net of debt securities, the gains (losses) on disposal and repurchase of nonperforming financial assets at amortised cost net of debt securities and of the “Net provisions for risks and charges” related to commitments and financial guarantees given; • the inclusion in “Net income from investments” of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income - debt securities, gains (losses) on tangible and intangible assets measured at fair value as well as gains (losses) of equity investments and on disposal on investments, including impacts from revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method not presented to item “Profit (Loss) from non-current assets held for sale after tax”; • the inclusion among “Net trading income” (i) of the net gains (losses) on trading, (ii) of the net gains (losses) on hedge accounting, (iii) of the net gains/losses on other financial assets/liabilities at fair value through profit or loss, (iv) of the gains/losses on disposal or repurchase of financial assets at fair value through other comprehensive income and (v) of the interest income and expenses deriving from Trading Book instruments, excluded the economical hedging or funding banking book positions. Figures of Reclassified consolidated income statement have been restated, starting from June 2021 and with reference to 2020 quarters and first quarter 2021, for the external service costs related to credit cards in Austria that have been reclassified from item “Other administrative expenses” to item “Net fees and commissions”. Consolidated report on operations Reclassified consolidated accounts 84 2021 Annual Report and Accounts · UniCredit Reclassified consolidated income statement (€ million) YEAR CHANGE 2021 2020 P&L % % AT CONSTANT FX(*) RATES Net interest 9,060 9,441 - 381 - 4.0% - 3.8% Dividends and other income from equity investments 520 415 + 105 + 25.2% + 25.2% Net fees and commissions 6,692 5,968 + 724 + 12.1% + 12.1% Net trading income 1,638 1,412 + 226 + 16.0% + 15.4% Net other expenses/income 45 (104) + 149 n.m. n.m. OPERATING INCOME 17,954 17,132 + 822 + 4.8% + 4.8% Payroll costs (6,022) (5,968) - 54 + 0.9% + 1.0% Other administrative expenses (3,190) (3,215) + 26 - 0.8% - 0.7% Recovery of expenses 548 523 + 25 + 4.7% + 4.9% Amortisation, depreciation and impairment losses on intangible and tangible assets (1,133) (1,137) + 5 - 0.4% - 0.2% Operating costs (9,797) (9,797) + 1 - 0.0% + 0.1% OPERATING PROFIT (LOSS) 8,158 7,335 + 823 + 11.2% + 11.1% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) + 3,362 - 67.3% - 67.3% NET OPERATING PROFIT (LOSS) 6,524 2,339 + 4,185 n.m. n.m. Other charges and provisions (1,386) (1,055) - 331 + 31.4% + 31.3% of which: systemic charges (1,037) (958) - 79 + 8.3% + 8.3% Integration costs (1,337) (1,464) + 127 - 8.7% - 8.8% Net income from investments (2,565) (1,365) - 1,200 + 87.9% + 87.9% PROFIT (LOSS) BEFORE TAX 1,236 (1,546) + 2,782 n.m. n.m. Income tax for the period 330 (344) + 675 n.m. n.m. NET PROFIT (LOSS) 1,566 (1,890) + 3,456 n.m. n.m. Profit (Loss) from non-current assets held for sale after tax 4 49 - 45 - 92.2% - 92.1% PROFIT (LOSS) FOR THE PERIOD 1,570 (1,842) + 3,411 n.m. n.m. Minorities (30) (7) - 22 n.m. n.m. NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA 1,540 (1,849) + 3,389 n.m. n.m. Purchase Price Allocation effect (1) (50) + 49 - 98.6% - 98.6% Goodwill impairment - (886) + 886 - 100.0% - 100.0% NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP 1,540 (2,785) + 4,325 n.m. n.m. Note: (*) Foreign Exchange. Consolidated report on operations Reclassified consolidated accounts 84 2021 Annual Report and Accounts · UniCredit Reclassified consolidated income statement (€ million) YEAR CHANGE 2021 2020 P&L % % AT CONSTANT FX(*) RATES Net interest 9,060 9,441 - 381 - 4.0% - 3.8% Dividends and other income from equity investments 520 415 + 105 + 25.2% + 25.2% Net fees and commissions 6,692 5,968 + 724 + 12.1% + 12.1% Net trading income 1,638 1,412 + 226 + 16.0% + 15.4% Net other expenses/income 45 (104) + 149 n.m. n.m. OPERATING INCOME 17,954 17,132 + 822 + 4.8% + 4.8% Payroll costs (6,022) (5,968) - 54 + 0.9% + 1.0% Other administrative expenses (3,190) (3,215) + 26 - 0.8% - 0.7% Recovery of expenses 548 523 + 25 + 4.7% + 4.9% Amortisation, depreciation and impairment losses on intangible and tangible assets (1,133) (1,137) + 5 - 0.4% - 0.2% Operating costs (9,797) (9,797) + 1 - 0.0% + 0.1% OPERATING PROFIT (LOSS) 8,158 7,335 + 823 + 11.2% + 11.1% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) + 3,362 - 67.3% - 67.3% NET OPERATING PROFIT (LOSS) 6,524 2,339 + 4,185 n.m. n.m. Other charges and provisions (1,386) (1,055) - 331 + 31.4% + 31.3% of which: systemic charges (1,037) (958) - 79 + 8.3% + 8.3% Integration costs (1,337) (1,464) + 127 - 8.7% - 8.8% Net income from investments (2,565) (1,365) - 1,200 + 87.9% + 87.9% PROFIT (LOSS) BEFORE TAX 1,236 (1,546) + 2,782 n.m. n.m. Income tax for the period 330 (344) + 675 n.m. n.m. NET PROFIT (LOSS) 1,566 (1,890) + 3,456 n.m. n.m. Profit (Loss) from non-current assets held for sale after tax 4 49 - 45 - 92.2% - 92.1% PROFIT (LOSS) FOR THE PERIOD 1,570 (1,842) + 3,411 n.m. n.m. Minorities (30) (7) - 22 n.m. n.m. NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA 1,540 (1,849) + 3,389 n.m. n.m. Purchase Price Allocation effect (1) (50) + 49 - 98.6% - 98.6% Goodwill impairment - (886) + 886 - 100.0% - 100.0% NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP 1,540 (2,785) + 4,325 n.m. n.m. Note: (*) Foreign Exchange. Consolidated report on operations Reclassified consolidated accounts 84 2021 Annual Report and Accounts · UniCredit Reclassified consolidated income statement (€ million) YEAR CHANGE 2021 2020 P&L % % AT CONSTANT FX(*) RATES Net interest 9,060 9,441 - 381 - 4.0% - 3.8% Dividends and other income from equity investments 520 415 + 105 + 25.2% + 25.2% Net fees and commissions 6,692 5,968 + 724 + 12.1% + 12.1% Net trading income 1,638 1,412 + 226 + 16.0% + 15.4% Net other expenses/income 45 (104) + 149 n.m. n.m. OPERATING INCOME 17,954 17,132 + 822 + 4.8% + 4.8% Payroll costs (6,022) (5,968) - 54 + 0.9% + 1.0% Other administrative expenses (3,190) (3,215) + 26 - 0.8% - 0.7% Recovery of expenses 548 523 + 25 + 4.7% + 4.9% Amortisation, depreciation and impairment losses on intangible and tangible assets (1,133) (1,137) + 5 - 0.4% - 0.2% Operating costs (9,797) (9,797) + 1 - 0.0% + 0.1% OPERATING PROFIT (LOSS) 8,158 7,335 + 823 + 11.2% + 11.1% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) + 3,362 - 67.3% - 67.3% NET OPERATING PROFIT (LOSS) 6,524 2,339 + 4,185 n.m. n.m. Other charges and provisions (1,386) (1,055) - 331 + 31.4% + 31.3% of which: systemic charges (1,037) (958) - 79 + 8.3% + 8.3% Integration costs (1,337) (1,464) + 127 - 8.7% - 8.8% Net income from investments (2,565) (1,365) - 1,200 + 87.9% + 87.9% PROFIT (LOSS) BEFORE TAX 1,236 (1,546) + 2,782 n.m. n.m. Income tax for the period 330 (344) + 675 n.m. n.m. NET PROFIT (LOSS) 1,566 (1,890) + 3,456 n.m. n.m. Profit (Loss) from non-current assets held for sale after tax 4 49 - 45 - 92.2% - 92.1% PROFIT (LOSS) FOR THE PERIOD 1,570 (1,842) + 3,411 n.m. n.m. Minorities (30) (7) - 22 n.m. n.m. NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA 1,540 (1,849) + 3,389 n.m. n.m. Purchase Price Allocation effect (1) (50) + 49 - 98.6% - 98.6% Goodwill impairment - (886) + 886 - 100.0% - 100.0% NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP 1,540 (2,785) + 4,325 n.m. n.m. Note: (*) Foreign Exchange. Consolidated report on operations Reclassified consolidated accounts 84 2021 Annual Report and Accounts · UniCredit Reclassified consolidated income statement (€ million) YEAR CHANGE 2021 2020 P&L % % AT CONSTANT FX(*) RATES Net interest 9,060 9,441 - 381 - 4.0% - 3.8% Dividends and other income from equity investments 520 415 + 105 + 25.2% + 25.2% Net fees and commissions 6,692 5,968 + 724 + 12.1% + 12.1% Net trading income 1,638 1,412 + 226 + 16.0% + 15.4% Net other expenses/income 45 (104) + 149 n.m. n.m. OPERATING INCOME 17,954 17,132 + 822 + 4.8% + 4.8% Payroll costs (6,022) (5,968) - 54 + 0.9% + 1.0% Other administrative expenses (3,190) (3,215) + 26 - 0.8% - 0.7% Recovery of expenses 548 523 + 25 + 4.7% + 4.9% Amortisation, depreciation and impairment losses on intangible and tangible assets (1,133) (1,137) + 5 - 0.4% - 0.2% Operating costs (9,797) (9,797) + 1 - 0.0% + 0.1% OPERATING PROFIT (LOSS) 8,158 7,335 + 823 + 11.2% + 11.1% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) + 3,362 - 67.3% - 67.3% NET OPERATING PROFIT (LOSS) 6,524 2,339 + 4,185 n.m. n.m. Other charges and provisions (1,386) (1,055) - 331 + 31.4% + 31.3% of which: systemic charges (1,037) (958) - 79 + 8.3% + 8.3% Integration costs (1,337) (1,464) + 127 - 8.7% - 8.8% Net income from investments (2,565) (1,365) - 1,200 + 87.9% + 87.9% PROFIT (LOSS) BEFORE TAX 1,236 (1,546) + 2,782 n.m. n.m. Income tax for the period 330 (344) + 675 n.m. n.m. NET PROFIT (LOSS) 1,566 (1,890) + 3,456 n.m. n.m. Profit (Loss) from non-current assets held for sale after tax 4 49 - 45 - 92.2% - 92.1% PROFIT (LOSS) FOR THE PERIOD 1,570 (1,842) + 3,411 n.m. n.m. Minorities (30) (7) - 22 n.m. n.m. NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA 1,540 (1,849) + 3,389 n.m. n.m. Purchase Price Allocation effect (1) (50) + 49 - 98.6% - 98.6% Goodwill impairment - (886) + 886 - 100.0% - 100.0% NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP 1,540 (2,785) + 4,325 n.m. n.m. Note: (*) Foreign Exchange. Consolidated report on operations Reclassified consolidated accounts 84 2021 Annual Report and Accounts · UniCredit Reclassified consolidated income statement (€ million) YEAR CHANGE 2021 2020 P&L % % AT CONSTANT FX(*) RATES Net interest 9,060 9,441 - 381 - 4.0% - 3.8% Dividends and other income from equity investments 520 415 + 105 + 25.2% + 25.2% Net fees and commissions 6,692 5,968 + 724 + 12.1% + 12.1% Net trading income 1,638 1,412 + 226 + 16.0% + 15.4% Net other expenses/income 45 (104) + 149 n.m. n.m. OPERATING INCOME 17,954 17,132 + 822 + 4.8% + 4.8% Payroll costs (6,022) (5,968) - 54 + 0.9% + 1.0% Other administrative expenses (3,190) (3,215) + 26 - 0.8% - 0.7% Recovery of expenses 548 523 + 25 + 4.7% + 4.9% Amortisation, depreciation and impairment losses on intangible and tangible assets (1,133) (1,137) + 5 - 0.4% - 0.2% Operating costs (9,797) (9,797) + 1 - 0.0% + 0.1% OPERATING PROFIT (LOSS) 8,158 7,335 + 823 + 11.2% + 11.1% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) + 3,362 - 67.3% - 67.3% NET OPERATING PROFIT (LOSS) 6,524 2,339 + 4,185 n.m. n.m. Other charges and provisions (1,386) (1,055) - 331 + 31.4% + 31.3% of which: systemic charges (1,037) (958) - 79 + 8.3% + 8.3% Integration costs (1,337) (1,464) + 127 - 8.7% - 8.8% Net income from investments (2,565) (1,365) - 1,200 + 87.9% + 87.9% PROFIT (LOSS) BEFORE TAX 1,236 (1,546) + 2,782 n.m. n.m. Income tax for the period 330 (344) + 675 n.m. n.m. NET PROFIT (LOSS) 1,566 (1,890) + 3,456 n.m. n.m. Profit (Loss) from non-current assets held for sale after tax 4 49 - 45 - 92.2% - 92.1% PROFIT (LOSS) FOR THE PERIOD 1,570 (1,842) + 3,411 n.m. n.m. Minorities (30) (7) - 22 n.m. n.m. NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA 1,540 (1,849) + 3,389 n.m. n.m. Purchase Price Allocation effect (1) (50) + 49 - 98.6% - 98.6% Goodwill impairment - (886) + 886 - 100.0% - 100.0% NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP 1,540 (2,785) + 4,325 n.m. n.m. Note: (*) Foreign Exchange. Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 85 Reclassified consolidated income statement - Quarterly figures (€ million) 2021 2020 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Net interest 2,406 2,271 2,203 2,180 2,250 2,303 2,393 2,494 Dividends and other income from equity investments 114 169 125 112 124 128 62 102 Net fees and commissions 1,680 1,650 1,674 1,688 1,504 1,467 1,378 1,618 Net trading income 220 354 425 639 426 455 357 173 Net other expenses/income 16 (10) (29) 68 (69) (1) (22) (11) OPERATING INCOME 4,436 4,435 4,398 4,686 4,236 4,352 4,168 4,376 Payroll costs (1,532) (1,515) (1,495) (1,480) (1,456) (1,479) (1,492) (1,542) Other administrative expenses (804) (783) (811) (792) (825) (786) (795) (809) Recovery of expenses 150 134 135 129 147 124 128 125 Amortisation, depreciation and impairment losses on intangible and tangible assets (286) (286) (290) (270) (323) (266) (284) (265) Operating costs (2,472) (2,450) (2,461) (2,413) (2,456) (2,408) (2,442) (2,491) OPERATING PROFIT (LOSS) 1,963 1,985 1,937 2,272 1,780 1,945 1,726 1,885 Net write-downs on loans and provisions for guarantees and commitments (810) (297) (360) (167) (2,058) (741) (937) (1,261) NET OPERATING PROFIT (LOSS) 1,153 1,688 1,577 2,105 (278) 1,204 788 624 Other charges and provisions (274) (195) (214) (702) (91) (251) (185) (528) of which: systemic charges (92) (200) (125) (620) (53) (201) (166) (538) Integration costs (1,327) (4) (7) - (82) (30) (6) (1,347) Net income from investments (2,325) (59) 15 (195) 130 (141) (92) (1,261) PROFIT (LOSS) BEFORE TAX (2,772) 1,430 1,371 1,207 (322) 782 505 (2,512) Income tax for the period 1,338 (362) (331) (314) (34) (97) (73) (140) NET PROFIT (LOSS) (1,434) 1,068 1,040 893 (356) 685 432 (2,652) Profit (Loss) from non-current assets held for sale after tax 2 - - 1 48 - 1 - PROFIT (LOSS) FOR THE PERIOD (1,432) 1,068 1,040 894 (308) 685 433 (2,652) Minorities (8) (10) (5) (7) 8 (5) (6) (5) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA (1,439) 1,058 1,034 888 (300) 680 428 (2,656) Purchase Price Allocation effect - - (1) - - - - (50) Goodwill impairment - - - - (878) - (8) - NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP (1,439) 1,058 1,034 887 (1,179) 680 420 (2,706) Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 85 Reclassified consolidated income statement - Quarterly figures (€ million) 2021 2020 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Net interest 2,406 2,271 2,203 2,180 2,250 2,303 2,393 2,494 Dividends and other income from equity investments 114 169 125 112 124 128 62 102 Net fees and commissions 1,680 1,650 1,674 1,688 1,504 1,467 1,378 1,618 Net trading income 220 354 425 639 426 455 357 173 Net other expenses/income 16 (10) (29) 68 (69) (1) (22) (11) OPERATING INCOME 4,436 4,435 4,398 4,686 4,236 4,352 4,168 4,376 Payroll costs (1,532) (1,515) (1,495) (1,480) (1,456) (1,479) (1,492) (1,542) Other administrative expenses (804) (783) (811) (792) (825) (786) (795) (809) Recovery of expenses 150 134 135 129 147 124 128 125 Amortisation, depreciation and impairment losses on intangible and tangible assets (286) (286) (290) (270) (323) (266) (284) (265) Operating costs (2,472) (2,450) (2,461) (2,413) (2,456) (2,408) (2,442) (2,491) OPERATING PROFIT (LOSS) 1,963 1,985 1,937 2,272 1,780 1,945 1,726 1,885 Net write-downs on loans and provisions for guarantees and commitments (810) (297) (360) (167) (2,058) (741) (937) (1,261) NET OPERATING PROFIT (LOSS) 1,153 1,688 1,577 2,105 (278) 1,204 788 624 Other charges and provisions (274) (195) (214) (702) (91) (251) (185) (528) of which: systemic charges (92) (200) (125) (620) (53) (201) (166) (538) Integration costs (1,327) (4) (7) - (82) (30) (6) (1,347) Net income from investments (2,325) (59) 15 (195) 130 (141) (92) (1,261) PROFIT (LOSS) BEFORE TAX (2,772) 1,430 1,371 1,207 (322) 782 505 (2,512) Income tax for the period 1,338 (362) (331) (314) (34) (97) (73) (140) NET PROFIT (LOSS) (1,434) 1,068 1,040 893 (356) 685 432 (2,652) Profit (Loss) from non-current assets held for sale after tax 2 - - 1 48 - 1 - PROFIT (LOSS) FOR THE PERIOD (1,432) 1,068 1,040 894 (308) 685 433 (2,652) Minorities (8) (10) (5) (7) 8 (5) (6) (5) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA (1,439) 1,058 1,034 888 (300) 680 428 (2,656) Purchase Price Allocation effect - - (1) - - - - (50) Goodwill impairment - - - - (878) - (8) - NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP (1,439) 1,058 1,034 887 (1,179) 680 420 (2,706) Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 85 Reclassified consolidated income statement - Quarterly figures (€ million) 2021 2020 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Net interest 2,406 2,271 2,203 2,180 2,250 2,303 2,393 2,494 Dividends and other income from equity investments 114 169 125 112 124 128 62 102 Net fees and commissions 1,680 1,650 1,674 1,688 1,504 1,467 1,378 1,618 Net trading income 220 354 425 639 426 455 357 173 Net other expenses/income 16 (10) (29) 68 (69) (1) (22) (11) OPERATING INCOME 4,436 4,435 4,398 4,686 4,236 4,352 4,168 4,376 Payroll costs (1,532) (1,515) (1,495) (1,480) (1,456) (1,479) (1,492) (1,542) Other administrative expenses (804) (783) (811) (792) (825) (786) (795) (809) Recovery of expenses 150 134 135 129 147 124 128 125 Amortisation, depreciation and impairment losses on intangible and tangible assets (286) (286) (290) (270) (323) (266) (284) (265) Operating costs (2,472) (2,450) (2,461) (2,413) (2,456) (2,408) (2,442) (2,491) OPERATING PROFIT (LOSS) 1,963 1,985 1,937 2,272 1,780 1,945 1,726 1,885 Net write-downs on loans and provisions for guarantees and commitments (810) (297) (360) (167) (2,058) (741) (937) (1,261) NET OPERATING PROFIT (LOSS) 1,153 1,688 1,577 2,105 (278) 1,204 788 624 Other charges and provisions (274) (195) (214) (702) (91) (251) (185) (528) of which: systemic charges (92) (200) (125) (620) (53) (201) (166) (538) Integration costs (1,327) (4) (7) - (82) (30) (6) (1,347) Net income from investments (2,325) (59) 15 (195) 130 (141) (92) (1,261) PROFIT (LOSS) BEFORE TAX (2,772) 1,430 1,371 1,207 (322) 782 505 (2,512) Income tax for the period 1,338 (362) (331) (314) (34) (97) (73) (140) NET PROFIT (LOSS) (1,434) 1,068 1,040 893 (356) 685 432 (2,652) Profit (Loss) from non-current assets held for sale after tax 2 - - 1 48 - 1 - PROFIT (LOSS) FOR THE PERIOD (1,432) 1,068 1,040 894 (308) 685 433 (2,652) Minorities (8) (10) (5) (7) 8 (5) (6) (5) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA (1,439) 1,058 1,034 888 (300) 680 428 (2,656) Purchase Price Allocation effect - - (1) - - - - (50) Goodwill impairment - - - - (878) - (8) - NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP (1,439) 1,058 1,034 887 (1,179) 680 420 (2,706) Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 85 Reclassified consolidated income statement - Quarterly figures (€ million) 2021 2020 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Net interest 2,406 2,271 2,203 2,180 2,250 2,303 2,393 2,494 Dividends and other income from equity investments 114 169 125 112 124 128 62 102 Net fees and commissions 1,680 1,650 1,674 1,688 1,504 1,467 1,378 1,618 Net trading income 220 354 425 639 426 455 357 173 Net other expenses/income 16 (10) (29) 68 (69) (1) (22) (11) OPERATING INCOME 4,436 4,435 4,398 4,686 4,236 4,352 4,168 4,376 Payroll costs (1,532) (1,515) (1,495) (1,480) (1,456) (1,479) (1,492) (1,542) Other administrative expenses (804) (783) (811) (792) (825) (786) (795) (809) Recovery of expenses 150 134 135 129 147 124 128 125 Amortisation, depreciation and impairment losses on intangible and tangible assets (286) (286) (290) (270) (323) (266) (284) (265) Operating costs (2,472) (2,450) (2,461) (2,413) (2,456) (2,408) (2,442) (2,491) OPERATING PROFIT (LOSS) 1,963 1,985 1,937 2,272 1,780 1,945 1,726 1,885 Net write-downs on loans and provisions for guarantees and commitments (810) (297) (360) (167) (2,058) (741) (937) (1,261) NET OPERATING PROFIT (LOSS) 1,153 1,688 1,577 2,105 (278) 1,204 788 624 Other charges and provisions (274) (195) (214) (702) (91) (251) (185) (528) of which: systemic charges (92) (200) (125) (620) (53) (201) (166) (538) Integration costs (1,327) (4) (7) - (82) (30) (6) (1,347) Net income from investments (2,325) (59) 15 (195) 130 (141) (92) (1,261) PROFIT (LOSS) BEFORE TAX (2,772) 1,430 1,371 1,207 (322) 782 505 (2,512) Income tax for the period 1,338 (362) (331) (314) (34) (97) (73) (140) NET PROFIT (LOSS) (1,434) 1,068 1,040 893 (356) 685 432 (2,652) Profit (Loss) from non-current assets held for sale after tax 2 - - 1 48 - 1 - PROFIT (LOSS) FOR THE PERIOD (1,432) 1,068 1,040 894 (308) 685 433 (2,652) Minorities (8) (10) (5) (7) 8 (5) (6) (5) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA (1,439) 1,058 1,034 888 (300) 680 428 (2,656) Purchase Price Allocation effect - - (1) - - - - (50) Goodwill impairment - - - - (878) - (8) - NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP (1,439) 1,058 1,034 887 (1,179) 680 420 (2,706) Consolidated report on operations Reclassified consolidated accounts UniCredit · 2021 Annual Report and Accounts 85 Reclassified consolidated income statement - Quarterly figures (€ million) 2021 2020 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Net interest 2,406 2,271 2,203 2,180 2,250 2,303 2,393 2,494 Dividends and other income from equity investments 114 169 125 112 124 128 62 102 Net fees and commissions 1,680 1,650 1,674 1,688 1,504 1,467 1,378 1,618 Net trading income 220 354 425 639 426 455 357 173 Net other expenses/income 16 (10) (29) 68 (69) (1) (22) (11) OPERATING INCOME 4,436 4,435 4,398 4,686 4,236 4,352 4,168 4,376 Payroll costs (1,532) (1,515) (1,495) (1,480) (1,456) (1,479) (1,492) (1,542) Other administrative expenses (804) (783) (811) (792) (825) (786) (795) (809) Recovery of expenses 150 134 135 129 147 124 128 125 Amortisation, depreciation and impairment losses on intangible and tangible assets (286) (286) (290) (270) (323) (266) (284) (265) Operating costs (2,472) (2,450) (2,461) (2,413) (2,456) (2,408) (2,442) (2,491) OPERATING PROFIT (LOSS) 1,963 1,985 1,937 2,272 1,780 1,945 1,726 1,885 Net write-downs on loans and provisions for guarantees and commitments (810) (297) (360) (167) (2,058) (741) (937) (1,261) NET OPERATING PROFIT (LOSS) 1,153 1,688 1,577 2,105 (278) 1,204 788 624 Other charges and provisions (274) (195) (214) (702) (91) (251) (185) (528) of which: systemic charges (92) (200) (125) (620) (53) (201) (166) (538) Integration costs (1,327) (4) (7) - (82) (30) (6) (1,347) Net income from investments (2,325) (59) 15 (195) 130 (141) (92) (1,261) PROFIT (LOSS) BEFORE TAX (2,772) 1,430 1,371 1,207 (322) 782 505 (2,512) Income tax for the period 1,338 (362) (331) (314) (34) (97) (73) (140) NET PROFIT (LOSS) (1,434) 1,068 1,040 893 (356) 685 432 (2,652) Profit (Loss) from non-current assets held for sale after tax 2 - - 1 48 - 1 - PROFIT (LOSS) FOR THE PERIOD (1,432) 1,068 1,040 894 (308) 685 433 (2,652) Minorities (8) (10) (5) (7) 8 (5) (6) (5) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA (1,439) 1,058 1,034 888 (300) 680 428 (2,656) Purchase Price Allocation effect - - (1) - - - - (50) Goodwill impairment - - - - (878) - (8) - NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP (1,439) 1,058 1,034 887 (1,179) 680 420 (2,706) Consolidated report on operations Reclassified consolidated accounts 86 2021 Annual Report and Accounts · UniCredit Reclassified consolidated income statement - Comparison of Q4 2021/Q4 2020 (€ million) Q4 CHANGE 2021 2020 P&L % % AT CONSTANT FX(*) RATES Net interest 2,406 2,250 + 156 + 6.9% + 6.3% Dividends and other income from equity investments 114 124 - 10 - 8.2% - 8.2% Net fees and commissions 1,680 1,504 + 175 + 11.7% + 11.3% Net trading income 220 426 - 207 - 48.5% - 49.4% Net other expenses/income 16 (69) + 85 n.m. n.m. OPERATING INCOME 4,436 4,236 + 200 + 4.7% + 4.2% Payroll costs (1,532) (1,456) - 76 + 5.2% + 4.9% Other administrative expenses (804) (825) + 21 - 2.5% - 2.8% Recovery of expenses 150 147 + 3 + 2.0% + 2.1% Amortisation, depreciation and impairment losses on intangible and tangible assets (286) (323) + 36 - 11.3% - 11.6% Operating costs (2,472) (2,456) - 16 + 0.6% + 0.3% OPERATING PROFIT (LOSS) 1,963 1,780 + 184 + 10.3% + 9.4% Net write-downs on loans and provisions for guarantees and commitments (810) (2,058) + 1,248 - 60.6% - 60.4% NET OPERATING PROFIT (LOSS) 1,153 (278) + 1,431 n.m. n.m. Other charges and provisions (274) (91) - 183 n.m. n.m. of which: systemic charges (92) (53) - 39 + 73.7% + 71.5% Integration costs (1,327) (82) - 1,244 n.m. n.m. Net income from investments (2,325) 130 - 2,455 n.m. n.m. PROFIT (LOSS) BEFORE TAX (2,772) (322) - 2,451 n.m. n.m. Income tax for the period 1,338 (34) + 1,373 n.m. n.m. NET PROFIT (LOSS) (1,434) (356) - 1,078 n.m. n.m. Profit (Loss) from non-current assets held for sale after tax 2 48 - 46 - 95.3% - 95.3% PROFIT (LOSS) FOR THE PERIOD (1,432) (308) - 1,124 n.m. n.m. Minorities (8) 8 - 15 n.m. n.m. NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA (1,439) (300) - 1,139 n.m. n.m. Purchase Price Allocation effect - - - n.m. n.m. Goodwill impairment - (878) + 878 - 100.0% - 100.0% NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP (1,439) (1,179) - 261 + 22.1% + 22.6% Note: (*) Foreign Exchange. Consolidated report on operations Reclassified consolidated accounts 86 2021 Annual Report and Accounts · UniCredit Reclassified consolidated income statement - Comparison of Q4 2021/Q4 2020 (€ million) Q4 CHANGE 2021 2020 P&L % % AT CONSTANT FX(*) RATES Net interest 2,406 2,250 + 156 + 6.9% + 6.3% Dividends and other income from equity investments 114 124 - 10 - 8.2% - 8.2% Net fees and commissions 1,680 1,504 + 175 + 11.7% + 11.3% Net trading income 220 426 - 207 - 48.5% - 49.4% Net other expenses/income 16 (69) + 85 n.m. n.m. OPERATING INCOME 4,436 4,236 + 200 + 4.7% + 4.2% Payroll costs (1,532) (1,456) - 76 + 5.2% + 4.9% Other administrative expenses (804) (825) + 21 - 2.5% - 2.8% Recovery of expenses 150 147 + 3 + 2.0% + 2.1% Amortisation, depreciation and impairment losses on intangible and tangible assets (286) (323) + 36 - 11.3% - 11.6% Operating costs (2,472) (2,456) - 16 + 0.6% + 0.3% OPERATING PROFIT (LOSS) 1,963 1,780 + 184 + 10.3% + 9.4% Net write-downs on loans and provisions for guarantees and commitments (810) (2,058) + 1,248 - 60.6% - 60.4% NET OPERATING PROFIT (LOSS) 1,153 (278) + 1,431 n.m. n.m. Other charges and provisions (274) (91) - 183 n.m. n.m. of which: systemic charges (92) (53) - 39 + 73.7% + 71.5% Integration costs (1,327) (82) - 1,244 n.m. n.m. Net income from investments (2,325) 130 - 2,455 n.m. n.m. PROFIT (LOSS) BEFORE TAX (2,772) (322) - 2,451 n.m. n.m. Income tax for the period 1,338 (34) + 1,373 n.m. n.m. NET PROFIT (LOSS) (1,434) (356) - 1,078 n.m. n.m. Profit (Loss) from non-current assets held for sale after tax 2 48 - 46 - 95.3% - 95.3% PROFIT (LOSS) FOR THE PERIOD (1,432) (308) - 1,124 n.m. n.m. Minorities (8) 8 - 15 n.m. n.m. NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA (1,439) (300) - 1,139 n.m. n.m. Purchase Price Allocation effect - - - n.m. n.m. Goodwill impairment - (878) + 878 - 100.0% - 100.0% NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP (1,439) (1,179) - 261 + 22.1% + 22.6% Note: (*) Foreign Exchange. Consolidated report on operations Reclassified consolidated accounts 86 2021 Annual Report and Accounts · UniCredit Reclassified consolidated income statement - Comparison of Q4 2021/Q4 2020 (€ million) Q4 CHANGE 2021 2020 P&L % % AT CONSTANT FX(*) RATES Net interest 2,406 2,250 + 156 + 6.9% + 6.3% Dividends and other income from equity investments 114 124 - 10 - 8.2% - 8.2% Net fees and commissions 1,680 1,504 + 175 + 11.7% + 11.3% Net trading income 220 426 - 207 - 48.5% - 49.4% Net other expenses/income 16 (69) + 85 n.m. n.m. OPERATING INCOME 4,436 4,236 + 200 + 4.7% + 4.2% Payroll costs (1,532) (1,456) - 76 + 5.2% + 4.9% Other administrative expenses (804) (825) + 21 - 2.5% - 2.8% Recovery of expenses 150 147 + 3 + 2.0% + 2.1% Amortisation, depreciation and impairment losses on intangible and tangible assets (286) (323) + 36 - 11.3% - 11.6% Operating costs (2,472) (2,456) - 16 + 0.6% + 0.3% OPERATING PROFIT (LOSS) 1,963 1,780 + 184 + 10.3% + 9.4% Net write-downs on loans and provisions for guarantees and commitments (810) (2,058) + 1,248 - 60.6% - 60.4% NET OPERATING PROFIT (LOSS) 1,153 (278) + 1,431 n.m. n.m. Other charges and provisions (274) (91) - 183 n.m. n.m. of which: systemic charges (92) (53) - 39 + 73.7% + 71.5% Integration costs (1,327) (82) - 1,244 n.m. n.m. Net income from investments (2,325) 130 - 2,455 n.m. n.m. PROFIT (LOSS) BEFORE TAX (2,772) (322) - 2,451 n.m. n.m. Income tax for the period 1,338 (34) + 1,373 n.m. n.m. NET PROFIT (LOSS) (1,434) (356) - 1,078 n.m. n.m. Profit (Loss) from non-current assets held for sale after tax 2 48 - 46 - 95.3% - 95.3% PROFIT (LOSS) FOR THE PERIOD (1,432) (308) - 1,124 n.m. n.m. Minorities (8) 8 - 15 n.m. n.m. NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA (1,439) (300) - 1,139 n.m. n.m. Purchase Price Allocation effect - - - n.m. n.m. Goodwill impairment - (878) + 878 - 100.0% - 100.0% NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP (1,439) (1,179) - 261 + 22.1% + 22.6% Note: (*) Foreign Exchange. Consolidated report on operations Reclassified consolidated accounts 86 2021 Annual Report and Accounts · UniCredit Reclassified consolidated income statement - Comparison of Q4 2021/Q4 2020 (€ million) Q4 CHANGE 2021 2020 P&L % % AT CONSTANT FX(*) RATES Net interest 2,406 2,250 + 156 + 6.9% + 6.3% Dividends and other income from equity investments 114 124 - 10 - 8.2% - 8.2% Net fees and commissions 1,680 1,504 + 175 + 11.7% + 11.3% Net trading income 220 426 - 207 - 48.5% - 49.4% Net other expenses/income 16 (69) + 85 n.m. n.m. OPERATING INCOME 4,436 4,236 + 200 + 4.7% + 4.2% Payroll costs (1,532) (1,456) - 76 + 5.2% + 4.9% Other administrative expenses (804) (825) + 21 - 2.5% - 2.8% Recovery of expenses 150 147 + 3 + 2.0% + 2.1% Amortisation, depreciation and impairment losses on intangible and tangible assets (286) (323) + 36 - 11.3% - 11.6% Operating costs (2,472) (2,456) - 16 + 0.6% + 0.3% OPERATING PROFIT (LOSS) 1,963 1,780 + 184 + 10.3% + 9.4% Net write-downs on loans and provisions for guarantees and commitments (810) (2,058) + 1,248 - 60.6% - 60.4% NET OPERATING PROFIT (LOSS) 1,153 (278) + 1,431 n.m. n.m. Other charges and provisions (274) (91) - 183 n.m. n.m. of which: systemic charges (92) (53) - 39 + 73.7% + 71.5% Integration costs (1,327) (82) - 1,244 n.m. n.m. Net income from investments (2,325) 130 - 2,455 n.m. n.m. PROFIT (LOSS) BEFORE TAX (2,772) (322) - 2,451 n.m. n.m. Income tax for the period 1,338 (34) + 1,373 n.m. n.m. NET PROFIT (LOSS) (1,434) (356) - 1,078 n.m. n.m. Profit (Loss) from non-current assets held for sale after tax 2 48 - 46 - 95.3% - 95.3% PROFIT (LOSS) FOR THE PERIOD (1,432) (308) - 1,124 n.m. n.m. Minorities (8) 8 - 15 n.m. n.m. NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA (1,439) (300) - 1,139 n.m. n.m. Purchase Price Allocation effect - - - n.m. n.m. Goodwill impairment - (878) + 878 - 100.0% - 100.0% NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP (1,439) (1,179) - 261 + 22.1% + 22.6% Note: (*) Foreign Exchange. Consolidated report on operations Reclassified consolidated accounts 86 2021 Annual Report and Accounts · UniCredit Reclassified consolidated income statement - Comparison of Q4 2021/Q4 2020 (€ million) Q4 CHANGE 2021 2020 P&L % % AT CONSTANT FX(*) RATES Net interest 2,406 2,250 + 156 + 6.9% + 6.3% Dividends and other income from equity investments 114 124 - 10 - 8.2% - 8.2% Net fees and commissions 1,680 1,504 + 175 + 11.7% + 11.3% Net trading income 220 426 - 207 - 48.5% - 49.4% Net other expenses/income 16 (69) + 85 n.m. n.m. OPERATING INCOME 4,436 4,236 + 200 + 4.7% + 4.2% Payroll costs (1,532) (1,456) - 76 + 5.2% + 4.9% Other administrative expenses (804) (825) + 21 - 2.5% - 2.8% Recovery of expenses 150 147 + 3 + 2.0% + 2.1% Amortisation, depreciation and impairment losses on intangible and tangible assets (286) (323) + 36 - 11.3% - 11.6% Operating costs (2,472) (2,456) - 16 + 0.6% + 0.3% OPERATING PROFIT (LOSS) 1,963 1,780 + 184 + 10.3% + 9.4% Net write-downs on loans and provisions for guarantees and commitments (810) (2,058) + 1,248 - 60.6% - 60.4% NET OPERATING PROFIT (LOSS) 1,153 (278) + 1,431 n.m. n.m. Other charges and provisions (274) (91) - 183 n.m. n.m. of which: systemic charges (92) (53) - 39 + 73.7% + 71.5% Integration costs (1,327) (82) - 1,244 n.m. n.m. Net income from investments (2,325) 130 - 2,455 n.m. n.m. PROFIT (LOSS) BEFORE TAX (2,772) (322) - 2,451 n.m. n.m. Income tax for the period 1,338 (34) + 1,373 n.m. n.m. NET PROFIT (LOSS) (1,434) (356) - 1,078 n.m. n.m. Profit (Loss) from non-current assets held for sale after tax 2 48 - 46 - 95.3% - 95.3% PROFIT (LOSS) FOR THE PERIOD (1,432) (308) - 1,124 n.m. n.m. Minorities (8) 8 - 15 n.m. n.m. NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA (1,439) (300) - 1,139 n.m. n.m. Purchase Price Allocation effect - - - n.m. n.m. Goodwill impairment - (878) + 878 - 100.0% - 100.0% NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP (1,439) (1,179) - 261 + 22.1% + 22.6% Note: (*) Foreign Exchange. Consolidated report on operations Summary results by business segments UniCredit · 2021 Annual Report and Accounts 87 Key figures by business segment (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE(*) NON CORE CONSOLIDATED GROUP TOTAL Income statement OPERATING INCOME 2021 8,415 4,454 3,007 2,357 (223) (56) 17,954 2020 8,088 4,092 2,817 2,361 (179) (46) 17,132 OPERATING COSTS 2021 (3,997) (2,692) (1,664) (1,013) (357) (74) (9,797) 2020 (4,001) (2,719) (1,633) (1,012) (318) (115) (9,797) OPERATING PROFIT 2021 4,418 1,763 1,343 1,343 (580) (130) 8,158 2020 4,088 1,373 1,184 1,349 (497) (162) 7,335 PROFIT BEFORE TAX 2021 1,988 521 548 939 (2,629) (132) 1,236 2020 (612) 996 282 401 (2,273) (339) (1,546) Balance sheet CUSTOMERS LOANS(**) as at 31 December 2021 157,514 125,509 92,543 40,676 2,869 194 419,305 as at 31 December 2020 167,810 120,795 84,516 37,829 3,068 775 414,793 CUSTOMERS DEPOS(**) as at 31 December 2021 199,123 131,756 92,962 49,223 3,223 473 476,761 as at 31 December 2020 190,594 133,973 86,575 45,824 2,459 518 459,944 TOTAL RISK WEIGHTED ASSETS as at 31 December 2021 125,751 81,973 56,787 36,787 20,334 361 321,992 as at 31 December 2020 131,198 78,606 49,969 36,489 21,763 7,642 325,665 EVA 2021 674 50 388 243 (1,038) (105) 212 2020 (942) (713) (306) (298) (862) (226) (3,347) Cost/income ratio 2021 47.5% 60.4% 55.3% 43.0% n.m. n.m. 54.6% 2020 49.5% 66.4% 58.0% 42.9% n.m. n.m. 57.2% Employees as at 31 December 2021 28,721 11,282 10,665 17,762 10,058 85 78,571 as at 31 December 2020 30,429 11,937 11,072 18,110 10,347 211 82,107 Notes: (*) Corporate Centre Global Functions, inter-segment adjustments and consolidation adjustments not attributable to individual segments. (**) Net of repos, intercompany transactions. Figures as of 2020 were recast, where necessary, on a like-to-like basis to consider changes in scope of business segment and methodological rules. With reference to the changes in the perimeters of business sectors, refer to Notes to the consolidated accounts, Part L - Segment reporting, Organisational Structure. Summary results by business segments Consolidated report on operations Summary results by business segments UniCredit · 2021 Annual Report and Accounts 87 Key figures by business segment (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE(*) NON CORE CONSOLIDATED GROUP TOTAL Income statement OPERATING INCOME 2021 8,415 4,454 3,007 2,357 (223) (56) 17,954 2020 8,088 4,092 2,817 2,361 (179) (46) 17,132 OPERATING COSTS 2021 (3,997) (2,692) (1,664) (1,013) (357) (74) (9,797) 2020 (4,001) (2,719) (1,633) (1,012) (318) (115) (9,797) OPERATING PROFIT 2021 4,418 1,763 1,343 1,343 (580) (130) 8,158 2020 4,088 1,373 1,184 1,349 (497) (162) 7,335 PROFIT BEFORE TAX 2021 1,988 521 548 939 (2,629) (132) 1,236 2020 (612) 996 282 401 (2,273) (339) (1,546) Balance sheet CUSTOMERS LOANS(**) as at 31 December 2021 157,514 125,509 92,543 40,676 2,869 194 419,305 as at 31 December 2020 167,810 120,795 84,516 37,829 3,068 775 414,793 CUSTOMERS DEPOS(**) as at 31 December 2021 199,123 131,756 92,962 49,223 3,223 473 476,761 as at 31 December 2020 190,594 133,973 86,575 45,824 2,459 518 459,944 TOTAL RISK WEIGHTED ASSETS as at 31 December 2021 125,751 81,973 56,787 36,787 20,334 361 321,992 as at 31 December 2020 131,198 78,606 49,969 36,489 21,763 7,642 325,665 EVA 2021 674 50 388 243 (1,038) (105) 212 2020 (942) (713) (306) (298) (862) (226) (3,347) Cost/income ratio 2021 47.5% 60.4% 55.3% 43.0% n.m. n.m. 54.6% 2020 49.5% 66.4% 58.0% 42.9% n.m. n.m. 57.2% Employees as at 31 December 2021 28,721 11,282 10,665 17,762 10,058 85 78,571 as at 31 December 2020 30,429 11,937 11,072 18,110 10,347 211 82,107 Notes: (*) Corporate Centre Global Functions, inter-segment adjustments and consolidation adjustments not attributable to individual segments. (**) Net of repos, intercompany transactions. Figures as of 2020 were recast, where necessary, on a like-to-like basis to consider changes in scope of business segment and methodological rules. With reference to the changes in the perimeters of business sectors, refer to Notes to the consolidated accounts, Part L - Segment reporting, Organisational Structure. Summary results by business segments Consolidated report on operations Summary results by business segments UniCredit · 2021 Annual Report and Accounts 87 Key figures by business segment (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE(*) NON CORE CONSOLIDATED GROUP TOTAL Income statement OPERATING INCOME 2021 8,415 4,454 3,007 2,357 (223) (56) 17,954 2020 8,088 4,092 2,817 2,361 (179) (46) 17,132 OPERATING COSTS 2021 (3,997) (2,692) (1,664) (1,013) (357) (74) (9,797) 2020 (4,001) (2,719) (1,633) (1,012) (318) (115) (9,797) OPERATING PROFIT 2021 4,418 1,763 1,343 1,343 (580) (130) 8,158 2020 4,088 1,373 1,184 1,349 (497) (162) 7,335 PROFIT BEFORE TAX 2021 1,988 521 548 939 (2,629) (132) 1,236 2020 (612) 996 282 401 (2,273) (339) (1,546) Balance sheet CUSTOMERS LOANS(**) as at 31 December 2021 157,514 125,509 92,543 40,676 2,869 194 419,305 as at 31 December 2020 167,810 120,795 84,516 37,829 3,068 775 414,793 CUSTOMERS DEPOS(**) as at 31 December 2021 199,123 131,756 92,962 49,223 3,223 473 476,761 as at 31 December 2020 190,594 133,973 86,575 45,824 2,459 518 459,944 TOTAL RISK WEIGHTED ASSETS as at 31 December 2021 125,751 81,973 56,787 36,787 20,334 361 321,992 as at 31 December 2020 131,198 78,606 49,969 36,489 21,763 7,642 325,665 EVA 2021 674 50 388 243 (1,038) (105) 212 2020 (942) (713) (306) (298) (862) (226) (3,347) Cost/income ratio 2021 47.5% 60.4% 55.3% 43.0% n.m. n.m. 54.6% 2020 49.5% 66.4% 58.0% 42.9% n.m. n.m. 57.2% Employees as at 31 December 2021 28,721 11,282 10,665 17,762 10,058 85 78,571 as at 31 December 2020 30,429 11,937 11,072 18,110 10,347 211 82,107 Notes: (*) Corporate Centre Global Functions, inter-segment adjustments and consolidation adjustments not attributable to individual segments. (**) Net of repos, intercompany transactions. Figures as of 2020 were recast, where necessary, on a like-to-like basis to consider changes in scope of business segment and methodological rules. With reference to the changes in the perimeters of business sectors, refer to Notes to the consolidated accounts, Part L - Segment reporting, Organisational Structure. Summary results by business segments Consolidated report on operations Summary results by business segments UniCredit · 2021 Annual Report and Accounts 87 Key figures by business segment (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE(*) NON CORE CONSOLIDATED GROUP TOTAL Income statement OPERATING INCOME 2021 8,415 4,454 3,007 2,357 (223) (56) 17,954 2020 8,088 4,092 2,817 2,361 (179) (46) 17,132 OPERATING COSTS 2021 (3,997) (2,692) (1,664) (1,013) (357) (74) (9,797) 2020 (4,001) (2,719) (1,633) (1,012) (318) (115) (9,797) OPERATING PROFIT 2021 4,418 1,763 1,343 1,343 (580) (130) 8,158 2020 4,088 1,373 1,184 1,349 (497) (162) 7,335 PROFIT BEFORE TAX 2021 1,988 521 548 939 (2,629) (132) 1,236 2020 (612) 996 282 401 (2,273) (339) (1,546) Balance sheet CUSTOMERS LOANS(**) as at 31 December 2021 157,514 125,509 92,543 40,676 2,869 194 419,305 as at 31 December 2020 167,810 120,795 84,516 37,829 3,068 775 414,793 CUSTOMERS DEPOS(**) as at 31 December 2021 199,123 131,756 92,962 49,223 3,223 473 476,761 as at 31 December 2020 190,594 133,973 86,575 45,824 2,459 518 459,944 TOTAL RISK WEIGHTED ASSETS as at 31 December 2021 125,751 81,973 56,787 36,787 20,334 361 321,992 as at 31 December 2020 131,198 78,606 49,969 36,489 21,763 7,642 325,665 EVA 2021 674 50 388 243 (1,038) (105) 212 2020 (942) (713) (306) (298) (862) (226) (3,347) Cost/income ratio 2021 47.5% 60.4% 55.3% 43.0% n.m. n.m. 54.6% 2020 49.5% 66.4% 58.0% 42.9% n.m. n.m. 57.2% Employees as at 31 December 2021 28,721 11,282 10,665 17,762 10,058 85 78,571 as at 31 December 2020 30,429 11,937 11,072 18,110 10,347 211 82,107 Notes: (*) Corporate Centre Global Functions, inter-segment adjustments and consolidation adjustments not attributable to individual segments. (**) Net of repos, intercompany transactions. Figures as of 2020 were recast, where necessary, on a like-to-like basis to consider changes in scope of business segment and methodological rules. With reference to the changes in the perimeters of business sectors, refer to Notes to the consolidated accounts, Part L - Segment reporting, Organisational Structure. Summary results by business segments Consolidated report on operations Summary results by business segments UniCredit · 2021 Annual Report and Accounts 87 Key figures by business segment (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE(*) NON CORE CONSOLIDATED GROUP TOTAL Income statement OPERATING INCOME 2021 8,415 4,454 3,007 2,357 (223) (56) 17,954 2020 8,088 4,092 2,817 2,361 (179) (46) 17,132 OPERATING COSTS 2021 (3,997) (2,692) (1,664) (1,013) (357) (74) (9,797) 2020 (4,001) (2,719) (1,633) (1,012) (318) (115) (9,797) OPERATING PROFIT 2021 4,418 1,763 1,343 1,343 (580) (130) 8,158 2020 4,088 1,373 1,184 1,349 (497) (162) 7,335 PROFIT BEFORE TAX 2021 1,988 521 548 939 (2,629) (132) 1,236 2020 (612) 996 282 401 (2,273) (339) (1,546) Balance sheet CUSTOMERS LOANS(**) as at 31 December 2021 157,514 125,509 92,543 40,676 2,869 194 419,305 as at 31 December 2020 167,810 120,795 84,516 37,829 3,068 775 414,793 CUSTOMERS DEPOS(**) as at 31 December 2021 199,123 131,756 92,962 49,223 3,223 473 476,761 as at 31 December 2020 190,594 133,973 86,575 45,824 2,459 518 459,944 TOTAL RISK WEIGHTED ASSETS as at 31 December 2021 125,751 81,973 56,787 36,787 20,334 361 321,992 as at 31 December 2020 131,198 78,606 49,969 36,489 21,763 7,642 325,665 EVA 2021 674 50 388 243 (1,038) (105) 212 2020 (942) (713) (306) (298) (862) (226) (3,347) Cost/income ratio 2021 47.5% 60.4% 55.3% 43.0% n.m. n.m. 54.6% 2020 49.5% 66.4% 58.0% 42.9% n.m. n.m. 57.2% Employees as at 31 December 2021 28,721 11,282 10,665 17,762 10,058 85 78,571 as at 31 December 2020 30,429 11,937 11,072 18,110 10,347 211 82,107 Notes: (*) Corporate Centre Global Functions, inter-segment adjustments and consolidation adjustments not attributable to individual segments. (**) Net of repos, intercompany transactions. Figures as of 2020 were recast, where necessary, on a like-to-like basis to consider changes in scope of business segment and methodological rules. With reference to the changes in the perimeters of business sectors, refer to Notes to the consolidated accounts, Part L - Segment reporting, Organisational Structure. Summary results by business segments Consolidated report on operations Group and UniCredit share historical data series 88 2021 Annual Report and Accounts · UniCredit Group figures 2011 - 2021 IAS/IFRS 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Reclassified income statement (€ million) Operating income 17,954 17,140 18,839 19,723 19,619 18,801 22,405 22,513 23,973 25,049 25,200 Operating costs (9,797) (9,805) (9,929) (10,698) (11,350) (12,453) (13,618) (13,838) (14,801) (14,979) (15,460) Operating profit (loss) 8,158 7,335 8,910 9,025 8,268 6,348 8,787 8,675 9,172 10,070 9,740 Profit (loss) before income tax 1,236 (1,546) 3,065 3,619 4,148 (10,978) 2,671 4,091 (4,888) 317 2,060 Net profit (loss) for the period 1,570 (1,842) 3,559 4,112 5,790 (11,061) 2,239 2,669 (3,920) 1,687 644 Net profit (loss) attributable to the Group 1,540 (2,785) 3,373 3,892 5,473 (11,790) 1,694 2,008 (13,965) 865 (9,206) Reclassified balance sheet (€ million) Total assets 916,671 931,456 855,647 831,469 836,790 859,533 860,433 844,217 845,838 926,827 926,769 Loans and receivables with customers 437,544 450,550 482,574 471,839 447,727 444,607 473,999 470,569 503,142 547,144 559,553 of which: bad exposures 1,121 1,645 2,956 5,787 9,499 10,945 19,924 19,701 18,058 19,360 18,118 Deposits from customers and debt securities issued 596,402 600,964 566,871 560,141 561,498 567,855 584,268 560,688 571,024 579,965 561,370 Group shareholders’ equity 61,628 59,507 61,416 55,841 59,331 39,336 50,087 49,390 46,841 62,784 51,479 Profitability ratios (%) Operating profit (loss)/Total assets 0.89 0.79 1.04 1.09 0.99 0.74 1.02 1.03 1.08 1.09 1.05 Cost/Income ratio 54.6 57.2 52.7 54.2 57.9 66.2 60.8 61.5 61.7 59.8 61.4 The figures here reported refer to the information published in the reference year. Group and UniCredit share historical data series Share information 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Share price(*) (€) - maximum 13.576 14.174 13.494 18.212 18.350 25.733 32.824 34.427 28.213 22.440 65.912 - minimum 7.420 6.213 9.190 9.596 12.160 8.785 24.605 25.583 16.227 11.456 21.157 - average 10.088 8.650 11.193 14.635 15.801 13.820 29.509 30.015 22.067 16.520 42.923 - end of period 13.544 7.648 13.020 9.894 15.580 13.701 25.733 26.735 26.961 18.572 21.190 Number of outstanding shares (million) - at period end(**) 2,211 2,237 2,233 2,230 2,226 6,180 5,970 5,866 5,792 5,789 1,930 - shares cum dividend 2,201 2,228 2,224 2,220 2,216 6,084 5,873 5,769 5,695 5,693 1,833 of which: savings shares - - - - 0.25 2.52 2.48 2.45 2.42 2.42 2.42 - average 2,231 2,236 2,233 2,229 1,957 6,110 5,927 5,837 5,791 5,473 1,930 Dividend(***) - total dividends (€ million) - 268 - 601 726 - 706 697 570 512 - - dividend per ordinary share - 0.120 - 0.270 0.320 - 0.120 0.120 0.100 0.090 - - dividend per savings share - - - - - - 0.120 1.065 0.100 0.090 - Notes: (*) Due to extraordinary corporate operations (such as shares’ grouping, demergers, distribution of extraordinary dividends, etc.) share prices might change being no longer comparable from one financial year to another. The historical series of share prices have been therefore adjusted to allow a better comparison. (**) The number of shares, existing at the end of the reference period, is net of treasury shares and includes 9.676 million of shares held under a contract of usufruct signed with Mediobanca S.p.A. The shares held under a contract of usufruct are excluded from the shares cum dividend highlighted at the following row. (***) With reference to the dividend amount for the year 2021, subject to approval by the Shareholders' Meeting scheduled for 8 April 2022, please refer to the paragraph " Capital and value management - Capital ratios” of this Consolidated report on operations. The following paragraph outlines additional information concerning shares capital changes and dividends pay-out. On 30 March 2021 was registered with the Company Register the resolution to increase the share capital for €73,932,132.00 by issuing No.6,288,605 ordinary free shares for the execution of Group Incentive System. On 15 April 2021 the Shareholders’ Meeting resolved the remuneration of shareholders for the year 2020 in implementation of the dividend policy approved by the Board of Directors on 10 February 2021 and in accordance with the measures contained in the ECB Recommendation of 15 December 2020. The approved distributable amount of €447 million was partly paid out in cash (€268 million) equivalent to a dividend of €0.12 for each share outstanding and partly (€179 million) with the implementation of a share buy-back programme (“First Buy-Back Programme 2021”) launched on 11 May 2021 and concluded on 23 June 2021 with the purchase of a total of No.17,416,128 UniCredit ordinary shares. Also taking into account the No.4,760 treasury shares already in portfolio on 4 October 2021 the resolution to cancel No.17,420,888 treasury shares in portfolio has been registered with the Company Register without reducing the share capital, pursuant to the resolutions passed by Extraordinary Shareholders' Meeting on 15 April 2021, by the Board of Directors on 5 May 2021 and by the Chairman on 4 October 2021. Consolidated report on operations Group and UniCredit share historical data series 88 2021 Annual Report and Accounts · UniCredit Group figures 2011 - 2021 IAS/IFRS 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Reclassified income statement (€ million) Operating income 17,954 17,140 18,839 19,723 19,619 18,801 22,405 22,513 23,973 25,049 25,200 Operating costs (9,797) (9,805) (9,929) (10,698) (11,350) (12,453) (13,618) (13,838) (14,801) (14,979) (15,460) Operating profit (loss) 8,158 7,335 8,910 9,025 8,268 6,348 8,787 8,675 9,172 10,070 9,740 Profit (loss) before income tax 1,236 (1,546) 3,065 3,619 4,148 (10,978) 2,671 4,091 (4,888) 317 2,060 Net profit (loss) for the period 1,570 (1,842) 3,559 4,112 5,790 (11,061) 2,239 2,669 (3,920) 1,687 644 Net profit (loss) attributable to the Group 1,540 (2,785) 3,373 3,892 5,473 (11,790) 1,694 2,008 (13,965) 865 (9,206) Reclassified balance sheet (€ million) Total assets 916,671 931,456 855,647 831,469 836,790 859,533 860,433 844,217 845,838 926,827 926,769 Loans and receivables with customers 437,544 450,550 482,574 471,839 447,727 444,607 473,999 470,569 503,142 547,144 559,553 of which: bad exposures 1,121 1,645 2,956 5,787 9,499 10,945 19,924 19,701 18,058 19,360 18,118 Deposits from customers and debt securities issued 596,402 600,964 566,871 560,141 561,498 567,855 584,268 560,688 571,024 579,965 561,370 Group shareholders’ equity 61,628 59,507 61,416 55,841 59,331 39,336 50,087 49,390 46,841 62,784 51,479 Profitability ratios (%) Operating profit (loss)/Total assets 0.89 0.79 1.04 1.09 0.99 0.74 1.02 1.03 1.08 1.09 1.05 Cost/Income ratio 54.6 57.2 52.7 54.2 57.9 66.2 60.8 61.5 61.7 59.8 61.4 The figures here reported refer to the information published in the reference year. Group and UniCredit share historical data series Share information 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Share price(*) (€) - maximum 13.576 14.174 13.494 18.212 18.350 25.733 32.824 34.427 28.213 22.440 65.912 - minimum 7.420 6.213 9.190 9.596 12.160 8.785 24.605 25.583 16.227 11.456 21.157 - average 10.088 8.650 11.193 14.635 15.801 13.820 29.509 30.015 22.067 16.520 42.923 - end of period 13.544 7.648 13.020 9.894 15.580 13.701 25.733 26.735 26.961 18.572 21.190 Number of outstanding shares (million) - at period end(**) 2,211 2,237 2,233 2,230 2,226 6,180 5,970 5,866 5,792 5,789 1,930 - shares cum dividend 2,201 2,228 2,224 2,220 2,216 6,084 5,873 5,769 5,695 5,693 1,833 of which: savings shares - - - - 0.25 2.52 2.48 2.45 2.42 2.42 2.42 - average 2,231 2,236 2,233 2,229 1,957 6,110 5,927 5,837 5,791 5,473 1,930 Dividend(***) - total dividends (€ million) - 268 - 601 726 - 706 697 570 512 - - dividend per ordinary share - 0.120 - 0.270 0.320 - 0.120 0.120 0.100 0.090 - - dividend per savings share - - - - - - 0.120 1.065 0.100 0.090 - Notes: (*) Due to extraordinary corporate operations (such as shares’ grouping, demergers, distribution of extraordinary dividends, etc.) share prices might change being no longer comparable from one financial year to another. The historical series of share prices have been therefore adjusted to allow a better comparison. (**) The number of shares, existing at the end of the reference period, is net of treasury shares and includes 9.676 million of shares held under a contract of usufruct signed with Mediobanca S.p.A. The shares held under a contract of usufruct are excluded from the shares cum dividend highlighted at the following row. (***) With reference to the dividend amount for the year 2021, subject to approval by the Shareholders' Meeting scheduled for 8 April 2022, please refer to the paragraph " Capital and value management - Capital ratios” of this Consolidated report on operations. The following paragraph outlines additional information concerning shares capital changes and dividends pay-out. On 30 March 2021 was registered with the Company Register the resolution to increase the share capital for €73,932,132.00 by issuing No.6,288,605 ordinary free shares for the execution of Group Incentive System. On 15 April 2021 the Shareholders’ Meeting resolved the remuneration of shareholders for the year 2020 in implementation of the dividend policy approved by the Board of Directors on 10 February 2021 and in accordance with the measures contained in the ECB Recommendation of 15 December 2020. The approved distributable amount of €447 million was partly paid out in cash (€268 million) equivalent to a dividend of €0.12 for each share outstanding and partly (€179 million) with the implementation of a share buy-back programme (“First Buy-Back Programme 2021”) launched on 11 May 2021 and concluded on 23 June 2021 with the purchase of a total of No.17,416,128 UniCredit ordinary shares. Also taking into account the No.4,760 treasury shares already in portfolio on 4 October 2021 the resolution to cancel No.17,420,888 treasury shares in portfolio has been registered with the Company Register without reducing the share capital, pursuant to the resolutions passed by Extraordinary Shareholders' Meeting on 15 April 2021, by the Board of Directors on 5 May 2021 and by the Chairman on 4 October 2021. Consolidated report on operations Group and UniCredit share historical data series 88 2021 Annual Report and Accounts · UniCredit Group figures 2011 - 2021 IAS/IFRS 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Reclassified income statement (€ million) Operating income 17,954 17,140 18,839 19,723 19,619 18,801 22,405 22,513 23,973 25,049 25,200 Operating costs (9,797) (9,805) (9,929) (10,698) (11,350) (12,453) (13,618) (13,838) (14,801) (14,979) (15,460) Operating profit (loss) 8,158 7,335 8,910 9,025 8,268 6,348 8,787 8,675 9,172 10,070 9,740 Profit (loss) before income tax 1,236 (1,546) 3,065 3,619 4,148 (10,978) 2,671 4,091 (4,888) 317 2,060 Net profit (loss) for the period 1,570 (1,842) 3,559 4,112 5,790 (11,061) 2,239 2,669 (3,920) 1,687 644 Net profit (loss) attributable to the Group 1,540 (2,785) 3,373 3,892 5,473 (11,790) 1,694 2,008 (13,965) 865 (9,206) Reclassified balance sheet (€ million) Total assets 916,671 931,456 855,647 831,469 836,790 859,533 860,433 844,217 845,838 926,827 926,769 Loans and receivables with customers 437,544 450,550 482,574 471,839 447,727 444,607 473,999 470,569 503,142 547,144 559,553 of which: bad exposures 1,121 1,645 2,956 5,787 9,499 10,945 19,924 19,701 18,058 19,360 18,118 Deposits from customers and debt securities issued 596,402 600,964 566,871 560,141 561,498 567,855 584,268 560,688 571,024 579,965 561,370 Group shareholders’ equity 61,628 59,507 61,416 55,841 59,331 39,336 50,087 49,390 46,841 62,784 51,479 Profitability ratios (%) Operating profit (loss)/Total assets 0.89 0.79 1.04 1.09 0.99 0.74 1.02 1.03 1.08 1.09 1.05 Cost/Income ratio 54.6 57.2 52.7 54.2 57.9 66.2 60.8 61.5 61.7 59.8 61.4 The figures here reported refer to the information published in the reference year. Group and UniCredit share historical data series Share information 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Share price(*) (€) - maximum 13.576 14.174 13.494 18.212 18.350 25.733 32.824 34.427 28.213 22.440 65.912 - minimum 7.420 6.213 9.190 9.596 12.160 8.785 24.605 25.583 16.227 11.456 21.157 - average 10.088 8.650 11.193 14.635 15.801 13.820 29.509 30.015 22.067 16.520 42.923 - end of period 13.544 7.648 13.020 9.894 15.580 13.701 25.733 26.735 26.961 18.572 21.190 Number of outstanding shares (million) - at period end(**) 2,211 2,237 2,233 2,230 2,226 6,180 5,970 5,866 5,792 5,789 1,930 - shares cum dividend 2,201 2,228 2,224 2,220 2,216 6,084 5,873 5,769 5,695 5,693 1,833 of which: savings shares - - - - 0.25 2.52 2.48 2.45 2.42 2.42 2.42 - average 2,231 2,236 2,233 2,229 1,957 6,110 5,927 5,837 5,791 5,473 1,930 Dividend(***) - total dividends (€ million) - 268 - 601 726 - 706 697 570 512 - - dividend per ordinary share - 0.120 - 0.270 0.320 - 0.120 0.120 0.100 0.090 - - dividend per savings share - - - - - - 0.120 1.065 0.100 0.090 - Notes: (*) Due to extraordinary corporate operations (such as shares’ grouping, demergers, distribution of extraordinary dividends, etc.) share prices might change being no longer comparable from one financial year to another. The historical series of share prices have been therefore adjusted to allow a better comparison. (**) The number of shares, existing at the end of the reference period, is net of treasury shares and includes 9.676 million of shares held under a contract of usufruct signed with Mediobanca S.p.A. The shares held under a contract of usufruct are excluded from the shares cum dividend highlighted at the following row. (***) With reference to the dividend amount for the year 2021, subject to approval by the Shareholders' Meeting scheduled for 8 April 2022, please refer to the paragraph " Capital and value management - Capital ratios” of this Consolidated report on operations. The following paragraph outlines additional information concerning shares capital changes and dividends pay-out. On 30 March 2021 was registered with the Company Register the resolution to increase the share capital for €73,932,132.00 by issuing No.6,288,605 ordinary free shares for the execution of Group Incentive System. On 15 April 2021 the Shareholders’ Meeting resolved the remuneration of shareholders for the year 2020 in implementation of the dividend policy approved by the Board of Directors on 10 February 2021 and in accordance with the measures contained in the ECB Recommendation of 15 December 2020. The approved distributable amount of €447 million was partly paid out in cash (€268 million) equivalent to a dividend of €0.12 for each share outstanding and partly (€179 million) with the implementation of a share buy-back programme (“First Buy-Back Programme 2021”) launched on 11 May 2021 and concluded on 23 June 2021 with the purchase of a total of No.17,416,128 UniCredit ordinary shares. Also taking into account the No.4,760 treasury shares already in portfolio on 4 October 2021 the resolution to cancel No.17,420,888 treasury shares in portfolio has been registered with the Company Register without reducing the share capital, pursuant to the resolutions passed by Extraordinary Shareholders' Meeting on 15 April 2021, by the Board of Directors on 5 May 2021 and by the Chairman on 4 October 2021. Consolidated report on operations Group and UniCredit share historical data series 88 2021 Annual Report and Accounts · UniCredit Group figures 2011 - 2021 IAS/IFRS 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Reclassified income statement (€ million) Operating income 17,954 17,140 18,839 19,723 19,619 18,801 22,405 22,513 23,973 25,049 25,200 Operating costs (9,797) (9,805) (9,929) (10,698) (11,350) (12,453) (13,618) (13,838) (14,801) (14,979) (15,460) Operating profit (loss) 8,158 7,335 8,910 9,025 8,268 6,348 8,787 8,675 9,172 10,070 9,740 Profit (loss) before income tax 1,236 (1,546) 3,065 3,619 4,148 (10,978) 2,671 4,091 (4,888) 317 2,060 Net profit (loss) for the period 1,570 (1,842) 3,559 4,112 5,790 (11,061) 2,239 2,669 (3,920) 1,687 644 Net profit (loss) attributable to the Group 1,540 (2,785) 3,373 3,892 5,473 (11,790) 1,694 2,008 (13,965) 865 (9,206) Reclassified balance sheet (€ million) Total assets 916,671 931,456 855,647 831,469 836,790 859,533 860,433 844,217 845,838 926,827 926,769 Loans and receivables with customers 437,544 450,550 482,574 471,839 447,727 444,607 473,999 470,569 503,142 547,144 559,553 of which: bad exposures 1,121 1,645 2,956 5,787 9,499 10,945 19,924 19,701 18,058 19,360 18,118 Deposits from customers and debt securities issued 596,402 600,964 566,871 560,141 561,498 567,855 584,268 560,688 571,024 579,965 561,370 Group shareholders’ equity 61,628 59,507 61,416 55,841 59,331 39,336 50,087 49,390 46,841 62,784 51,479 Profitability ratios (%) Operating profit (loss)/Total assets 0.89 0.79 1.04 1.09 0.99 0.74 1.02 1.03 1.08 1.09 1.05 Cost/Income ratio 54.6 57.2 52.7 54.2 57.9 66.2 60.8 61.5 61.7 59.8 61.4 The figures here reported refer to the information published in the reference year. Group and UniCredit share historical data series Share information 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Share price(*) (€) - maximum 13.576 14.174 13.494 18.212 18.350 25.733 32.824 34.427 28.213 22.440 65.912 - minimum 7.420 6.213 9.190 9.596 12.160 8.785 24.605 25.583 16.227 11.456 21.157 - average 10.088 8.650 11.193 14.635 15.801 13.820 29.509 30.015 22.067 16.520 42.923 - end of period 13.544 7.648 13.020 9.894 15.580 13.701 25.733 26.735 26.961 18.572 21.190 Number of outstanding shares (million) - at period end(**) 2,211 2,237 2,233 2,230 2,226 6,180 5,970 5,866 5,792 5,789 1,930 - shares cum dividend 2,201 2,228 2,224 2,220 2,216 6,084 5,873 5,769 5,695 5,693 1,833 of which: savings shares - - - - 0.25 2.52 2.48 2.45 2.42 2.42 2.42 - average 2,231 2,236 2,233 2,229 1,957 6,110 5,927 5,837 5,791 5,473 1,930 Dividend(***) - total dividends (€ million) - 268 - 601 726 - 706 697 570 512 - - dividend per ordinary share - 0.120 - 0.270 0.320 - 0.120 0.120 0.100 0.090 - - dividend per savings share - - - - - - 0.120 1.065 0.100 0.090 - Notes: (*) Due to extraordinary corporate operations (such as shares’ grouping, demergers, distribution of extraordinary dividends, etc.) share prices might change being no longer comparable from one financial year to another. The historical series of share prices have been therefore adjusted to allow a better comparison. (**) The number of shares, existing at the end of the reference period, is net of treasury shares and includes 9.676 million of shares held under a contract of usufruct signed with Mediobanca S.p.A. The shares held under a contract of usufruct are excluded from the shares cum dividend highlighted at the following row. (***) With reference to the dividend amount for the year 2021, subject to approval by the Shareholders' Meeting scheduled for 8 April 2022, please refer to the paragraph " Capital and value management - Capital ratios” of this Consolidated report on operations. The following paragraph outlines additional information concerning shares capital changes and dividends pay-out. On 30 March 2021 was registered with the Company Register the resolution to increase the share capital for €73,932,132.00 by issuing No.6,288,605 ordinary free shares for the execution of Group Incentive System. On 15 April 2021 the Shareholders’ Meeting resolved the remuneration of shareholders for the year 2020 in implementation of the dividend policy approved by the Board of Directors on 10 February 2021 and in accordance with the measures contained in the ECB Recommendation of 15 December 2020. The approved distributable amount of €447 million was partly paid out in cash (€268 million) equivalent to a dividend of €0.12 for each share outstanding and partly (€179 million) with the implementation of a share buy-back programme (“First Buy-Back Programme 2021”) launched on 11 May 2021 and concluded on 23 June 2021 with the purchase of a total of No.17,416,128 UniCredit ordinary shares. Also taking into account the No.4,760 treasury shares already in portfolio on 4 October 2021 the resolution to cancel No.17,420,888 treasury shares in portfolio has been registered with the Company Register without reducing the share capital, pursuant to the resolutions passed by Extraordinary Shareholders' Meeting on 15 April 2021, by the Board of Directors on 5 May 2021 and by the Chairman on 4 October 2021. Consolidated report on operations Group and UniCredit share historical data series 88 2021 Annual Report and Accounts · UniCredit Group figures 2011 - 2021 IAS/IFRS 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Reclassified income statement (€ million) Operating income 17,954 17,140 18,839 19,723 19,619 18,801 22,405 22,513 23,973 25,049 25,200 Operating costs (9,797) (9,805) (9,929) (10,698) (11,350) (12,453) (13,618) (13,838) (14,801) (14,979) (15,460) Operating profit (loss) 8,158 7,335 8,910 9,025 8,268 6,348 8,787 8,675 9,172 10,070 9,740 Profit (loss) before income tax 1,236 (1,546) 3,065 3,619 4,148 (10,978) 2,671 4,091 (4,888) 317 2,060 Net profit (loss) for the period 1,570 (1,842) 3,559 4,112 5,790 (11,061) 2,239 2,669 (3,920) 1,687 644 Net profit (loss) attributable to the Group 1,540 (2,785) 3,373 3,892 5,473 (11,790) 1,694 2,008 (13,965) 865 (9,206) Reclassified balance sheet (€ million) Total assets 916,671 931,456 855,647 831,469 836,790 859,533 860,433 844,217 845,838 926,827 926,769 Loans and receivables with customers 437,544 450,550 482,574 471,839 447,727 444,607 473,999 470,569 503,142 547,144 559,553 of which: bad exposures 1,121 1,645 2,956 5,787 9,499 10,945 19,924 19,701 18,058 19,360 18,118 Deposits from customers and debt securities issued 596,402 600,964 566,871 560,141 561,498 567,855 584,268 560,688 571,024 579,965 561,370 Group shareholders’ equity 61,628 59,507 61,416 55,841 59,331 39,336 50,087 49,390 46,841 62,784 51,479 Profitability ratios (%) Operating profit (loss)/Total assets 0.89 0.79 1.04 1.09 0.99 0.74 1.02 1.03 1.08 1.09 1.05 Cost/Income ratio 54.6 57.2 52.7 54.2 57.9 66.2 60.8 61.5 61.7 59.8 61.4 The figures here reported refer to the information published in the reference year. Group and UniCredit share historical data series Share information 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Share price(*) (€) - maximum 13.576 14.174 13.494 18.212 18.350 25.733 32.824 34.427 28.213 22.440 65.912 - minimum 7.420 6.213 9.190 9.596 12.160 8.785 24.605 25.583 16.227 11.456 21.157 - average 10.088 8.650 11.193 14.635 15.801 13.820 29.509 30.015 22.067 16.520 42.923 - end of period 13.544 7.648 13.020 9.894 15.580 13.701 25.733 26.735 26.961 18.572 21.190 Number of outstanding shares (million) - at period end(**) 2,211 2,237 2,233 2,230 2,226 6,180 5,970 5,866 5,792 5,789 1,930 - shares cum dividend 2,201 2,228 2,224 2,220 2,216 6,084 5,873 5,769 5,695 5,693 1,833 of which: savings shares - - - - 0.25 2.52 2.48 2.45 2.42 2.42 2.42 - average 2,231 2,236 2,233 2,229 1,957 6,110 5,927 5,837 5,791 5,473 1,930 Dividend(***) - total dividends (€ million) - 268 - 601 726 - 706 697 570 512 - - dividend per ordinary share - 0.120 - 0.270 0.320 - 0.120 0.120 0.100 0.090 - - dividend per savings share - - - - - - 0.120 1.065 0.100 0.090 - Notes: (*) Due to extraordinary corporate operations (such as shares’ grouping, demergers, distribution of extraordinary dividends, etc.) share prices might change being no longer comparable from one financial year to another. The historical series of share prices have been therefore adjusted to allow a better comparison. (**) The number of shares, existing at the end of the reference period, is net of treasury shares and includes 9.676 million of shares held under a contract of usufruct signed with Mediobanca S.p.A. The shares held under a contract of usufruct are excluded from the shares cum dividend highlighted at the following row. (***) With reference to the dividend amount for the year 2021, subject to approval by the Shareholders' Meeting scheduled for 8 April 2022, please refer to the paragraph " Capital and value management - Capital ratios” of this Consolidated report on operations. The following paragraph outlines additional information concerning shares capital changes and dividends pay-out. On 30 March 2021 was registered with the Company Register the resolution to increase the share capital for €73,932,132.00 by issuing No.6,288,605 ordinary free shares for the execution of Group Incentive System. On 15 April 2021 the Shareholders’ Meeting resolved the remuneration of shareholders for the year 2020 in implementation of the dividend policy approved by the Board of Directors on 10 February 2021 and in accordance with the measures contained in the ECB Recommendation of 15 December 2020. The approved distributable amount of €447 million was partly paid out in cash (€268 million) equivalent to a dividend of €0.12 for each share outstanding and partly (€179 million) with the implementation of a share buy-back programme (“First Buy-Back Programme 2021”) launched on 11 May 2021 and concluded on 23 June 2021 with the purchase of a total of No.17,416,128 UniCredit ordinary shares. Also taking into account the No.4,760 treasury shares already in portfolio on 4 October 2021 the resolution to cancel No.17,420,888 treasury shares in portfolio has been registered with the Company Register without reducing the share capital, pursuant to the resolutions passed by Extraordinary Shareholders' Meeting on 15 April 2021, by the Board of Directors on 5 May 2021 and by the Chairman on 4 October 2021. Consolidated report on operations Group and UniCredit share historical data series UniCredit · 2021 Annual Report and Accounts 89 The Shareholders' Meeting of 15 April 2021 also authorized an extraordinary distribution to be fully realized in the form of shares buy-backs (“Second Buy-Back Programme 2021") for a maximum amount of €652 million and for a number of UniCredit shares not exceeding 110 million; the share buy-back was communicated to the market on 9 December 2021 and initiated on 13 December 2021 with the aim of concluding the purchase transactions by the first quarter of 2022. As at 31 December 2021, No.15,048,642 UniCredit ordinary shares were purchased and settled under the item “Treasury Shares” of Shareholders' equity, for a total consideration of €199 million. Earnings ratios IAS/IFRS 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Shareholders' equity (€ million) 61,628 59,507 61,416 55,841 59,331 39,336 50,087 49,390 46,841 62,784 51,479 Net profit (loss) attribuible to the Group (€ million)1,540 (2,785) 3,373 3,892 5,473 (11,790) 1,694 2,008 (13,965)865 (9,206) Shareholders' equity per share (€) 27.87 26.60 27.50 25.04 26.65 6.36 8.39 8.42 8.09 10.85 26.67 Price/Book value0.490.290.470.400.580.430.610.630.670.340.16Earnings per share(*) (€) 0.680 (1.306) 1.462 1.712 2.794 (1.982)0.270.34 (2.47)0.15 (5.12) Payout ratio (%) -n.m.-15.413.3-41.734.7n.m.59.2-Dividend yield on average price per ordinary share (%)(**) -1.39-1.842.03-2.042.002.272.73-Notes: (*) For further details on Earnings per share (EPS) refer to Part C - Section 25 Earnings per share. (**) For what concern to the amount of dividend related to 2021, subject to the 8 April 2022 General Shareholders Meeting approval, refer to the paragraph "Capital and value management - Capital ratios" of this Consolidated report on operations. The amounts in the table are published "historical figures" and they should be read with reference to each reference period. The net profit for the period used to calculate EPS is reduced for the following amounts related to the cash-out, charged to equity, related to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for supporting the issuance of convertible securities denominated “Cashes”: €172 million for 2011, €46 million for 2012, €105 million for 2013, €35 million for 2014, €100 million for 2015, €128 million for 2016, €32 million for 2017, €93 million for 2018, €124 million for 2019, €122 million for 2020 and €30 million in the first quarter 2021 and related to the last payment referred to 2019 results. -5.120.15-2.470.340.27-1.9822.7941.7121.462-1.3060.680-6.00-4.00-2.000.002.004.0020112012201320142015201620172018201920202021Earnings per share(€)Consolidated report on operations Group and UniCredit share historical data series UniCredit · 2021 Annual Report and Accounts 89 The Shareholders' Meeting of 15 April 2021 also authorized an extraordinary distribution to be fully realized in the form of shares buy-backs (“Second Buy-Back Programme 2021") for a maximum amount of €652 million and for a number of UniCredit shares not exceeding 110 million; the share buy-back was communicated to the market on 9 December 2021 and initiated on 13 December 2021 with the aim of concluding the purchase transactions by the first quarter of 2022. As at 31 December 2021, No.15,048,642 UniCredit ordinary shares were purchased and settled under the item “Treasury Shares” of Shareholders' equity, for a total consideration of €199 million. Earnings ratios IAS/IFRS 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Shareholders' equity (€ million) 61,628 59,507 61,416 55,841 59,331 39,336 50,087 49,390 46,841 62,784 51,479 Net profit (loss) attribuible to the Group (€ million)1,540 (2,785) 3,373 3,892 5,473 (11,790) 1,694 2,008 (13,965)865 (9,206) Shareholders' equity per share (€) 27.87 26.60 27.50 25.04 26.65 6.36 8.39 8.42 8.09 10.85 26.67 Price/Book value0.490.290.470.400.580.430.610.630.670.340.16Earnings per share(*) (€) 0.680 (1.306) 1.462 1.712 2.794 (1.982)0.270.34 (2.47)0.15 (5.12) Payout ratio (%) -n.m.-15.413.3-41.734.7n.m.59.2-Dividend yield on average price per ordinary share (%)(**) -1.39-1.842.03-2.042.002.272.73-Notes: (*) For further details on Earnings per share (EPS) refer to Part C - Section 25 Earnings per share. (**) For what concern to the amount of dividend related to 2021, subject to the 8 April 2022 General Shareholders Meeting approval, refer to the paragraph "Capital and value management - Capital ratios" of this Consolidated report on operations. The amounts in the table are published "historical figures" and they should be read with reference to each reference period. The net profit for the period used to calculate EPS is reduced for the following amounts related to the cash-out, charged to equity, related to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for supporting the issuance of convertible securities denominated “Cashes”: €172 million for 2011, €46 million for 2012, €105 million for 2013, €35 million for 2014, €100 million for 2015, €128 million for 2016, €32 million for 2017, €93 million for 2018, €124 million for 2019, €122 million for 2020 and €30 million in the first quarter 2021 and related to the last payment referred to 2019 results. -5.120.15-2.470.340.27-1.9822.7941.7121.462-1.3060.680-6.00-4.00-2.000.002.004.0020112012201320142015201620172018201920202021Earnings per share(€)Consolidated report on operations Group and UniCredit share historical data series UniCredit · 2021 Annual Report and Accounts 89 The Shareholders' Meeting of 15 April 2021 also authorized an extraordinary distribution to be fully realized in the form of shares buy-backs (“Second Buy-Back Programme 2021") for a maximum amount of €652 million and for a number of UniCredit shares not exceeding 110 million; the share buy-back was communicated to the market on 9 December 2021 and initiated on 13 December 2021 with the aim of concluding the purchase transactions by the first quarter of 2022. As at 31 December 2021, No.15,048,642 UniCredit ordinary shares were purchased and settled under the item “Treasury Shares” of Shareholders' equity, for a total consideration of €199 million. Earnings ratios IAS/IFRS 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Shareholders' equity (€ million) 61,628 59,507 61,416 55,841 59,331 39,336 50,087 49,390 46,841 62,784 51,479 Net profit (loss) attribuible to the Group (€ million)1,540 (2,785) 3,373 3,892 5,473 (11,790) 1,694 2,008 (13,965)865 (9,206) Shareholders' equity per share (€) 27.87 26.60 27.50 25.04 26.65 6.36 8.39 8.42 8.09 10.85 26.67 Price/Book value0.490.290.470.400.580.430.610.630.670.340.16Earnings per share(*) (€) 0.680 (1.306) 1.462 1.712 2.794 (1.982)0.270.34 (2.47)0.15 (5.12) Payout ratio (%) -n.m.-15.413.3-41.734.7n.m.59.2-Dividend yield on average price per ordinary share (%)(**) -1.39-1.842.03-2.042.002.272.73-Notes: (*) For further details on Earnings per share (EPS) refer to Part C - Section 25 Earnings per share. (**) For what concern to the amount of dividend related to 2021, subject to the 8 April 2022 General Shareholders Meeting approval, refer to the paragraph "Capital and value management - Capital ratios" of this Consolidated report on operations. The amounts in the table are published "historical figures" and they should be read with reference to each reference period. The net profit for the period used to calculate EPS is reduced for the following amounts related to the cash-out, charged to equity, related to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for supporting the issuance of convertible securities denominated “Cashes”: €172 million for 2011, €46 million for 2012, €105 million for 2013, €35 million for 2014, €100 million for 2015, €128 million for 2016, €32 million for 2017, €93 million for 2018, €124 million for 2019, €122 million for 2020 and €30 million in the first quarter 2021 and related to the last payment referred to 2019 results. -5.120.15-2.470.340.27-1.9822.7941.7121.462-1.3060.680-6.00-4.00-2.000.002.004.0020112012201320142015201620172018201920202021Earnings per share(€)Consolidated report on operations Group and UniCredit share historical data series UniCredit · 2021 Annual Report and Accounts 89 The Shareholders' Meeting of 15 April 2021 also authorized an extraordinary distribution to be fully realized in the form of shares buy-backs (“Second Buy-Back Programme 2021") for a maximum amount of €652 million and for a number of UniCredit shares not exceeding 110 million; the share buy-back was communicated to the market on 9 December 2021 and initiated on 13 December 2021 with the aim of concluding the purchase transactions by the first quarter of 2022. As at 31 December 2021, No.15,048,642 UniCredit ordinary shares were purchased and settled under the item “Treasury Shares” of Shareholders' equity, for a total consideration of €199 million. Earnings ratios IAS/IFRS 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Shareholders' equity (€ million) 61,628 59,507 61,416 55,841 59,331 39,336 50,087 49,390 46,841 62,784 51,479 Net profit (loss) attribuible to the Group (€ million)1,540 (2,785) 3,373 3,892 5,473 (11,790) 1,694 2,008 (13,965)865 (9,206) Shareholders' equity per share (€) 27.87 26.60 27.50 25.04 26.65 6.36 8.39 8.42 8.09 10.85 26.67 Price/Book value0.490.290.470.400.580.430.610.630.670.340.16Earnings per share(*) (€) 0.680 (1.306) 1.462 1.712 2.794 (1.982)0.270.34 (2.47)0.15 (5.12) Payout ratio (%) -n.m.-15.413.3-41.734.7n.m.59.2-Dividend yield on average price per ordinary share (%)(**) -1.39-1.842.03-2.042.002.272.73-Notes: (*) For further details on Earnings per share (EPS) refer to Part C - Section 25 Earnings per share. (**) For what concern to the amount of dividend related to 2021, subject to the 8 April 2022 General Shareholders Meeting approval, refer to the paragraph "Capital and value management - Capital ratios" of this Consolidated report on operations. The amounts in the table are published "historical figures" and they should be read with reference to each reference period. The net profit for the period used to calculate EPS is reduced for the following amounts related to the cash-out, charged to equity, related to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for supporting the issuance of convertible securities denominated “Cashes”: €172 million for 2011, €46 million for 2012, €105 million for 2013, €35 million for 2014, €100 million for 2015, €128 million for 2016, €32 million for 2017, €93 million for 2018, €124 million for 2019, €122 million for 2020 and €30 million in the first quarter 2021 and related to the last payment referred to 2019 results. -5.120.15-2.470.340.27-1.9822.7941.7121.462-1.3060.680-6.00-4.00-2.000.002.004.0020112012201320142015201620172018201920202021Earnings per share(€)Consolidated report on operations Group and UniCredit share historical data series UniCredit · 2021 Annual Report and Accounts 89 The Shareholders' Meeting of 15 April 2021 also authorized an extraordinary distribution to be fully realized in the form of shares buy-backs (“Second Buy-Back Programme 2021") for a maximum amount of €652 million and for a number of UniCredit shares not exceeding 110 million; the share buy-back was communicated to the market on 9 December 2021 and initiated on 13 December 2021 with the aim of concluding the purchase transactions by the first quarter of 2022. As at 31 December 2021, No.15,048,642 UniCredit ordinary shares were purchased and settled under the item “Treasury Shares” of Shareholders' equity, for a total consideration of €199 million. Earnings ratios IAS/IFRS 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Shareholders' equity (€ million) 61,628 59,507 61,416 55,841 59,331 39,336 50,087 49,390 46,841 62,784 51,479 Net profit (loss) attribuible to the Group (€ million)1,540 (2,785) 3,373 3,892 5,473 (11,790) 1,694 2,008 (13,965)865 (9,206) Shareholders' equity per share (€) 27.87 26.60 27.50 25.04 26.65 6.36 8.39 8.42 8.09 10.85 26.67 Price/Book value0.490.290.470.400.580.430.610.630.670.340.16Earnings per share(*) (€) 0.680 (1.306) 1.462 1.712 2.794 (1.982)0.270.34 (2.47)0.15 (5.12) Payout ratio (%) -n.m.-15.413.3-41.734.7n.m.59.2-Dividend yield on average price per ordinary share (%)(**) -1.39-1.842.03-2.042.002.272.73-Notes: (*) For further details on Earnings per share (EPS) refer to Part C - Section 25 Earnings per share. (**) For what concern to the amount of dividend related to 2021, subject to the 8 April 2022 General Shareholders Meeting approval, refer to the paragraph "Capital and value management - Capital ratios" of this Consolidated report on operations. The amounts in the table are published "historical figures" and they should be read with reference to each reference period. The net profit for the period used to calculate EPS is reduced for the following amounts related to the cash-out, charged to equity, related to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for supporting the issuance of convertible securities denominated “Cashes”: €172 million for 2011, €46 million for 2012, €105 million for 2013, €35 million for 2014, €100 million for 2015, €128 million for 2016, €32 million for 2017, €93 million for 2018, €124 million for 2019, €122 million for 2020 and €30 million in the first quarter 2021 and related to the last payment referred to 2019 results. -5.120.15-2.470.340.27-1.9822.7941.7121.462-1.3060.680-6.00-4.00-2.000.002.004.0020112012201320142015201620172018201920202021Earnings per share(€)Consolidated report on operations Group results 90 2021 Annual Report and Accounts · UniCredit Group results Macroeconomic situation, banking and financial markets International situation In the second half 2021, global economic activity continued to expand, albeit at a measurably moderating pace amid persistent supply bottlenecks that turned into elevated shipping costs. Both demand and supply factors were at play. Shifts in spending patterns away from contact-intensive services (restaurants, hotels and so on) towards goods during the pandemic, along with unprecedented fiscal support for incomes and a lack of investment in ships (before the pandemic, the expectation was for a structural decline in seaborne trade), caught the shipping industry by surprise. As a result, there were not enough container boxes and ships to accommodate rising orders at a time when Covid-19 created significant supply friction, from a lack of port workers to the implementation of time-consuming health protocols and the shutting of entire harbors. Thus, the shipping industry’s problems have had a ripple effect across supply chains and regions, as evident in long delivery times, shortages of key raw materials and high input prices, which have progressively fed through to consumer inflation in advanced economies and endangered recovery more broadly. The global outlook was further clouded by a series of other events. First, the natural gas crisis that broke out in the fall as a result of geopolitical tensions with Russia and of burgeoning demand from the manufacturing sector reinforced the inflationary pressures generated by high shipping costs. Second, China’s abrupt regulatory tightening during the summer, along with rising financial vulnerabilities of its real estate sector, contributed to a loss of momentum in the performance of the second largest economy in the world. Third, after a summer of relative calm on the pandemic front, Countries with low vaccination rates were forced to introduce containment measures already in October, and the emergence of the more contagious Omicron variant from South Africa in late November led to a spike in the number of cases everywhere, triggering a further and widespread tightening in restrictions, targeting foreign travelers in particular. Finally, labor shortages, particularly in the sectors more exposed to the pandemic, slowed the recovery in the US in particular, forcing employers to offer higher salaries in order to attract potential employees, further intensifying inflationary pressures. After posting a spectacular rebound in 2020, when China’s GDP returned to its pre-pandemic trend (2016-2019 average) just three quarters after the outbreak of the global pandemic, the Chinese economy has since struggled to maintain that growth trajectory, particularly in the second half 2021. This has been due to power shortages, the government’s zero-tolerance approach to Covid-19, real-estate fragility and abrupt regulatory tightening. In Japan, after subdued growth for most of 2021 amid continued spread of Covid-19 and the re-imposition of containment measures, economic activity likely regained some ground in the last quarter of the year thanks to the reopening of the economy, whose recovery remains highly fragile. The UK economy, instead, rebounded quickly in the second quarter 2021 after months of lockdown due to the spread of the Delta variant but in the second half it struggled to accelerate as a result of supply shortages of different kind, partly related to the pandemic and partly to Brexit itself. Economic activity in the eurozone rebounded in the third quarter 2021 thanks to the reopening of the economy that benefited services in particular. But GDP growth moderated in the last part of the year as a result of persistent supply bottlenecks, the spread of the virus, the natural gas crisis, and the reimposition of restrictions across most jurisdictions. Overall, citizens, firms and governments have become better at coping with the pandemic waves and resulting constraints. This has lessened the pandemic impact on the economy. The combination of rising energy prices, supply bottlenecks and sustained aggregate demand contributed to rising inflationary pressures in the eurozone, with the CPI hitting 5% yoy increase in December 2021. The factors behind the recent spike in inflation numbers look of a temporary nature. There have been no signs of any amplification caused by wage growth as yet, although they may emerge in the future. At its latest monetary policy meeting in December, the European Central Bank (ECB) decided to recalibrate its monetary stance in many ways, gradually existing the emergency mode of the last few months. First, it will discontinue PEPP (Pandemic Emergency Purchase Programme) net purchases in March. The reinvestment horizon for the PEPP was extended by one year to until at least the end of 2024. Flexibility in asset purchases will be retained through a “silent” PEPP. Reinvestments will be the main tool here, but the ECB would also consider reactivating net purchases if needed to counter pandemic-related shocks. Second, the ECB outlined an APP (Asset Purchase Programme) path that envisages monthly purchases of €40 billion in the second quarter 2022 (the first quarter without PEPP net purchases), €30 billion in the third quarter 2022, and €20 billion from October 2022 “for as long as necessary to reinforce the accommodative impact of the policy rates”. Third, the ECB will discontinue in June the special (very favorable) conditions applicable to TLTRO III, but the Governing Council will “assess the appropriate recalibration of its two-tier system”. This indicates that the ECB will scale back its highly incentivized liquidity support, reverting to the tiering multiplier as the main tool to relieve banks from the side effects of negative rates. Consolidated report on operations Group results 90 2021 Annual Report and Accounts · UniCredit Group results Macroeconomic situation, banking and financial markets International situation In the second half 2021, global economic activity continued to expand, albeit at a measurably moderating pace amid persistent supply bottlenecks that turned into elevated shipping costs. Both demand and supply factors were at play. Shifts in spending patterns away from contact-intensive services (restaurants, hotels and so on) towards goods during the pandemic, along with unprecedented fiscal support for incomes and a lack of investment in ships (before the pandemic, the expectation was for a structural decline in seaborne trade), caught the shipping industry by surprise. As a result, there were not enough container boxes and ships to accommodate rising orders at a time when Covid-19 created significant supply friction, from a lack of port workers to the implementation of time-consuming health protocols and the shutting of entire harbors. Thus, the shipping industry’s problems have had a ripple effect across supply chains and regions, as evident in long delivery times, shortages of key raw materials and high input prices, which have progressively fed through to consumer inflation in advanced economies and endangered recovery more broadly. The global outlook was further clouded by a series of other events. First, the natural gas crisis that broke out in the fall as a result of geopolitical tensions with Russia and of burgeoning demand from the manufacturing sector reinforced the inflationary pressures generated by high shipping costs. Second, China’s abrupt regulatory tightening during the summer, along with rising financial vulnerabilities of its real estate sector, contributed to a loss of momentum in the performance of the second largest economy in the world. Third, after a summer of relative calm on the pandemic front, Countries with low vaccination rates were forced to introduce containment measures already in October, and the emergence of the more contagious Omicron variant from South Africa in late November led to a spike in the number of cases everywhere, triggering a further and widespread tightening in restrictions, targeting foreign travelers in particular. Finally, labor shortages, particularly in the sectors more exposed to the pandemic, slowed the recovery in the US in particular, forcing employers to offer higher salaries in order to attract potential employees, further intensifying inflationary pressures. After posting a spectacular rebound in 2020, when China’s GDP returned to its pre-pandemic trend (2016-2019 average) just three quarters after the outbreak of the global pandemic, the Chinese economy has since struggled to maintain that growth trajectory, particularly in the second half 2021. This has been due to power shortages, the government’s zero-tolerance approach to Covid-19, real-estate fragility and abrupt regulatory tightening. In Japan, after subdued growth for most of 2021 amid continued spread of Covid-19 and the re-imposition of containment measures, economic activity likely regained some ground in the last quarter of the year thanks to the reopening of the economy, whose recovery remains highly fragile. The UK economy, instead, rebounded quickly in the second quarter 2021 after months of lockdown due to the spread of the Delta variant but in the second half it struggled to accelerate as a result of supply shortages of different kind, partly related to the pandemic and partly to Brexit itself. Economic activity in the eurozone rebounded in the third quarter 2021 thanks to the reopening of the economy that benefited services in particular. But GDP growth moderated in the last part of the year as a result of persistent supply bottlenecks, the spread of the virus, the natural gas crisis, and the reimposition of restrictions across most jurisdictions. Overall, citizens, firms and governments have become better at coping with the pandemic waves and resulting constraints. This has lessened the pandemic impact on the economy. The combination of rising energy prices, supply bottlenecks and sustained aggregate demand contributed to rising inflationary pressures in the eurozone, with the CPI hitting 5% yoy increase in December 2021. The factors behind the recent spike in inflation numbers look of a temporary nature. There have been no signs of any amplification caused by wage growth as yet, although they may emerge in the future. At its latest monetary policy meeting in December, the European Central Bank (ECB) decided to recalibrate its monetary stance in many ways, gradually existing the emergency mode of the last few months. First, it will discontinue PEPP (Pandemic Emergency Purchase Programme) net purchases in March. The reinvestment horizon for the PEPP was extended by one year to until at least the end of 2024. Flexibility in asset purchases will be retained through a “silent” PEPP. Reinvestments will be the main tool here, but the ECB would also consider reactivating net purchases if needed to counter pandemic-related shocks. Second, the ECB outlined an APP (Asset Purchase Programme) path that envisages monthly purchases of €40 billion in the second quarter 2022 (the first quarter without PEPP net purchases), €30 billion in the third quarter 2022, and €20 billion from October 2022 “for as long as necessary to reinforce the accommodative impact of the policy rates”. Third, the ECB will discontinue in June the special (very favorable) conditions applicable to TLTRO III, but the Governing Council will “assess the appropriate recalibration of its two-tier system”. This indicates that the ECB will scale back its highly incentivized liquidity support, reverting to the tiering multiplier as the main tool to relieve banks from the side effects of negative rates. Consolidated report on operations Group results 90 2021 Annual Report and Accounts · UniCredit Group results Macroeconomic situation, banking and financial markets International situation In the second half 2021, global economic activity continued to expand, albeit at a measurably moderating pace amid persistent supply bottlenecks that turned into elevated shipping costs. Both demand and supply factors were at play. Shifts in spending patterns away from contact-intensive services (restaurants, hotels and so on) towards goods during the pandemic, along with unprecedented fiscal support for incomes and a lack of investment in ships (before the pandemic, the expectation was for a structural decline in seaborne trade), caught the shipping industry by surprise. As a result, there were not enough container boxes and ships to accommodate rising orders at a time when Covid-19 created significant supply friction, from a lack of port workers to the implementation of time-consuming health protocols and the shutting of entire harbors. Thus, the shipping industry’s problems have had a ripple effect across supply chains and regions, as evident in long delivery times, shortages of key raw materials and high input prices, which have progressively fed through to consumer inflation in advanced economies and endangered recovery more broadly. The global outlook was further clouded by a series of other events. First, the natural gas crisis that broke out in the fall as a result of geopolitical tensions with Russia and of burgeoning demand from the manufacturing sector reinforced the inflationary pressures generated by high shipping costs. Second, China’s abrupt regulatory tightening during the summer, along with rising financial vulnerabilities of its real estate sector, contributed to a loss of momentum in the performance of the second largest economy in the world. Third, after a summer of relative calm on the pandemic front, Countries with low vaccination rates were forced to introduce containment measures already in October, and the emergence of the more contagious Omicron variant from South Africa in late November led to a spike in the number of cases everywhere, triggering a further and widespread tightening in restrictions, targeting foreign travelers in particular. Finally, labor shortages, particularly in the sectors more exposed to the pandemic, slowed the recovery in the US in particular, forcing employers to offer higher salaries in order to attract potential employees, further intensifying inflationary pressures. After posting a spectacular rebound in 2020, when China’s GDP returned to its pre-pandemic trend (2016-2019 average) just three quarters after the outbreak of the global pandemic, the Chinese economy has since struggled to maintain that growth trajectory, particularly in the second half 2021. This has been due to power shortages, the government’s zero-tolerance approach to Covid-19, real-estate fragility and abrupt regulatory tightening. In Japan, after subdued growth for most of 2021 amid continued spread of Covid-19 and the re-imposition of containment measures, economic activity likely regained some ground in the last quarter of the year thanks to the reopening of the economy, whose recovery remains highly fragile. The UK economy, instead, rebounded quickly in the second quarter 2021 after months of lockdown due to the spread of the Delta variant but in the second half it struggled to accelerate as a result of supply shortages of different kind, partly related to the pandemic and partly to Brexit itself. Economic activity in the eurozone rebounded in the third quarter 2021 thanks to the reopening of the economy that benefited services in particular. But GDP growth moderated in the last part of the year as a result of persistent supply bottlenecks, the spread of the virus, the natural gas crisis, and the reimposition of restrictions across most jurisdictions. Overall, citizens, firms and governments have become better at coping with the pandemic waves and resulting constraints. This has lessened the pandemic impact on the economy. The combination of rising energy prices, supply bottlenecks and sustained aggregate demand contributed to rising inflationary pressures in the eurozone, with the CPI hitting 5% yoy increase in December 2021. The factors behind the recent spike in inflation numbers look of a temporary nature. There have been no signs of any amplification caused by wage growth as yet, although they may emerge in the future. At its latest monetary policy meeting in December, the European Central Bank (ECB) decided to recalibrate its monetary stance in many ways, gradually existing the emergency mode of the last few months. First, it will discontinue PEPP (Pandemic Emergency Purchase Programme) net purchases in March. The reinvestment horizon for the PEPP was extended by one year to until at least the end of 2024. Flexibility in asset purchases will be retained through a “silent” PEPP. Reinvestments will be the main tool here, but the ECB would also consider reactivating net purchases if needed to counter pandemic-related shocks. Second, the ECB outlined an APP (Asset Purchase Programme) path that envisages monthly purchases of €40 billion in the second quarter 2022 (the first quarter without PEPP net purchases), €30 billion in the third quarter 2022, and €20 billion from October 2022 “for as long as necessary to reinforce the accommodative impact of the policy rates”. Third, the ECB will discontinue in June the special (very favorable) conditions applicable to TLTRO III, but the Governing Council will “assess the appropriate recalibration of its two-tier system”. This indicates that the ECB will scale back its highly incentivized liquidity support, reverting to the tiering multiplier as the main tool to relieve banks from the side effects of negative rates. Consolidated report on operations Group results 90 2021 Annual Report and Accounts · UniCredit Group results Macroeconomic situation, banking and financial markets International situation In the second half 2021, global economic activity continued to expand, albeit at a measurably moderating pace amid persistent supply bottlenecks that turned into elevated shipping costs. Both demand and supply factors were at play. Shifts in spending patterns away from contact-intensive services (restaurants, hotels and so on) towards goods during the pandemic, along with unprecedented fiscal support for incomes and a lack of investment in ships (before the pandemic, the expectation was for a structural decline in seaborne trade), caught the shipping industry by surprise. As a result, there were not enough container boxes and ships to accommodate rising orders at a time when Covid-19 created significant supply friction, from a lack of port workers to the implementation of time-consuming health protocols and the shutting of entire harbors. Thus, the shipping industry’s problems have had a ripple effect across supply chains and regions, as evident in long delivery times, shortages of key raw materials and high input prices, which have progressively fed through to consumer inflation in advanced economies and endangered recovery more broadly. The global outlook was further clouded by a series of other events. First, the natural gas crisis that broke out in the fall as a result of geopolitical tensions with Russia and of burgeoning demand from the manufacturing sector reinforced the inflationary pressures generated by high shipping costs. Second, China’s abrupt regulatory tightening during the summer, along with rising financial vulnerabilities of its real estate sector, contributed to a loss of momentum in the performance of the second largest economy in the world. Third, after a summer of relative calm on the pandemic front, Countries with low vaccination rates were forced to introduce containment measures already in October, and the emergence of the more contagious Omicron variant from South Africa in late November led to a spike in the number of cases everywhere, triggering a further and widespread tightening in restrictions, targeting foreign travelers in particular. Finally, labor shortages, particularly in the sectors more exposed to the pandemic, slowed the recovery in the US in particular, forcing employers to offer higher salaries in order to attract potential employees, further intensifying inflationary pressures. After posting a spectacular rebound in 2020, when China’s GDP returned to its pre-pandemic trend (2016-2019 average) just three quarters after the outbreak of the global pandemic, the Chinese economy has since struggled to maintain that growth trajectory, particularly in the second half 2021. This has been due to power shortages, the government’s zero-tolerance approach to Covid-19, real-estate fragility and abrupt regulatory tightening. In Japan, after subdued growth for most of 2021 amid continued spread of Covid-19 and the re-imposition of containment measures, economic activity likely regained some ground in the last quarter of the year thanks to the reopening of the economy, whose recovery remains highly fragile. The UK economy, instead, rebounded quickly in the second quarter 2021 after months of lockdown due to the spread of the Delta variant but in the second half it struggled to accelerate as a result of supply shortages of different kind, partly related to the pandemic and partly to Brexit itself. Economic activity in the eurozone rebounded in the third quarter 2021 thanks to the reopening of the economy that benefited services in particular. But GDP growth moderated in the last part of the year as a result of persistent supply bottlenecks, the spread of the virus, the natural gas crisis, and the reimposition of restrictions across most jurisdictions. Overall, citizens, firms and governments have become better at coping with the pandemic waves and resulting constraints. This has lessened the pandemic impact on the economy. The combination of rising energy prices, supply bottlenecks and sustained aggregate demand contributed to rising inflationary pressures in the eurozone, with the CPI hitting 5% yoy increase in December 2021. The factors behind the recent spike in inflation numbers look of a temporary nature. There have been no signs of any amplification caused by wage growth as yet, although they may emerge in the future. At its latest monetary policy meeting in December, the European Central Bank (ECB) decided to recalibrate its monetary stance in many ways, gradually existing the emergency mode of the last few months. First, it will discontinue PEPP (Pandemic Emergency Purchase Programme) net purchases in March. The reinvestment horizon for the PEPP was extended by one year to until at least the end of 2024. Flexibility in asset purchases will be retained through a “silent” PEPP. Reinvestments will be the main tool here, but the ECB would also consider reactivating net purchases if needed to counter pandemic-related shocks. Second, the ECB outlined an APP (Asset Purchase Programme) path that envisages monthly purchases of €40 billion in the second quarter 2022 (the first quarter without PEPP net purchases), €30 billion in the third quarter 2022, and €20 billion from October 2022 “for as long as necessary to reinforce the accommodative impact of the policy rates”. Third, the ECB will discontinue in June the special (very favorable) conditions applicable to TLTRO III, but the Governing Council will “assess the appropriate recalibration of its two-tier system”. This indicates that the ECB will scale back its highly incentivized liquidity support, reverting to the tiering multiplier as the main tool to relieve banks from the side effects of negative rates. Consolidated report on operations Group results 90 2021 Annual Report and Accounts · UniCredit Group results Macroeconomic situation, banking and financial markets International situation In the second half 2021, global economic activity continued to expand, albeit at a measurably moderating pace amid persistent supply bottlenecks that turned into elevated shipping costs. Both demand and supply factors were at play. Shifts in spending patterns away from contact-intensive services (restaurants, hotels and so on) towards goods during the pandemic, along with unprecedented fiscal support for incomes and a lack of investment in ships (before the pandemic, the expectation was for a structural decline in seaborne trade), caught the shipping industry by surprise. As a result, there were not enough container boxes and ships to accommodate rising orders at a time when Covid-19 created significant supply friction, from a lack of port workers to the implementation of time-consuming health protocols and the shutting of entire harbors. Thus, the shipping industry’s problems have had a ripple effect across supply chains and regions, as evident in long delivery times, shortages of key raw materials and high input prices, which have progressively fed through to consumer inflation in advanced economies and endangered recovery more broadly. The global outlook was further clouded by a series of other events. First, the natural gas crisis that broke out in the fall as a result of geopolitical tensions with Russia and of burgeoning demand from the manufacturing sector reinforced the inflationary pressures generated by high shipping costs. Second, China’s abrupt regulatory tightening during the summer, along with rising financial vulnerabilities of its real estate sector, contributed to a loss of momentum in the performance of the second largest economy in the world. Third, after a summer of relative calm on the pandemic front, Countries with low vaccination rates were forced to introduce containment measures already in October, and the emergence of the more contagious Omicron variant from South Africa in late November led to a spike in the number of cases everywhere, triggering a further and widespread tightening in restrictions, targeting foreign travelers in particular. Finally, labor shortages, particularly in the sectors more exposed to the pandemic, slowed the recovery in the US in particular, forcing employers to offer higher salaries in order to attract potential employees, further intensifying inflationary pressures. After posting a spectacular rebound in 2020, when China’s GDP returned to its pre-pandemic trend (2016-2019 average) just three quarters after the outbreak of the global pandemic, the Chinese economy has since struggled to maintain that growth trajectory, particularly in the second half 2021. This has been due to power shortages, the government’s zero-tolerance approach to Covid-19, real-estate fragility and abrupt regulatory tightening. In Japan, after subdued growth for most of 2021 amid continued spread of Covid-19 and the re-imposition of containment measures, economic activity likely regained some ground in the last quarter of the year thanks to the reopening of the economy, whose recovery remains highly fragile. The UK economy, instead, rebounded quickly in the second quarter 2021 after months of lockdown due to the spread of the Delta variant but in the second half it struggled to accelerate as a result of supply shortages of different kind, partly related to the pandemic and partly to Brexit itself. Economic activity in the eurozone rebounded in the third quarter 2021 thanks to the reopening of the economy that benefited services in particular. But GDP growth moderated in the last part of the year as a result of persistent supply bottlenecks, the spread of the virus, the natural gas crisis, and the reimposition of restrictions across most jurisdictions. Overall, citizens, firms and governments have become better at coping with the pandemic waves and resulting constraints. This has lessened the pandemic impact on the economy. The combination of rising energy prices, supply bottlenecks and sustained aggregate demand contributed to rising inflationary pressures in the eurozone, with the CPI hitting 5% yoy increase in December 2021. The factors behind the recent spike in inflation numbers look of a temporary nature. There have been no signs of any amplification caused by wage growth as yet, although they may emerge in the future. At its latest monetary policy meeting in December, the European Central Bank (ECB) decided to recalibrate its monetary stance in many ways, gradually existing the emergency mode of the last few months. First, it will discontinue PEPP (Pandemic Emergency Purchase Programme) net purchases in March. The reinvestment horizon for the PEPP was extended by one year to until at least the end of 2024. Flexibility in asset purchases will be retained through a “silent” PEPP. Reinvestments will be the main tool here, but the ECB would also consider reactivating net purchases if needed to counter pandemic-related shocks. Second, the ECB outlined an APP (Asset Purchase Programme) path that envisages monthly purchases of €40 billion in the second quarter 2022 (the first quarter without PEPP net purchases), €30 billion in the third quarter 2022, and €20 billion from October 2022 “for as long as necessary to reinforce the accommodative impact of the policy rates”. Third, the ECB will discontinue in June the special (very favorable) conditions applicable to TLTRO III, but the Governing Council will “assess the appropriate recalibration of its two-tier system”. This indicates that the ECB will scale back its highly incentivized liquidity support, reverting to the tiering multiplier as the main tool to relieve banks from the side effects of negative rates. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 91 In the US, the recovery was well underway thanks to unprecedented fiscal support, with a focus both on the short-term post-pandemic recovery and on the long-term investment-driven expansion. At its monetary policy meeting in December, the FOMC (Federal Open Market Committee) left interest rates on hold but confirmed its hawkish shift in two main respects. First, it doubled the pace of tapering of its asset purchases, with net asset purchases now expected to end in mid-March, three months earlier than initially planned. Second, it signaled earlier and more rate hikes. The “dot plot” representation of FOMC interest rate projections now indicates three 25bps hikes this year, three hikes in 2023 and two hikes in 2024. Banking and financial markets Lending to the private sector in the eurozone showed moderate expansion during the second half of 2021, with the growth rate standing at 4.1% in December, compared to growth of 3.0% in June. This improvement was, in part, driven by a slight recovery of loans to non-financial corporations, with the growth rate recovering to 4.2% yoy, after hitting 1.5% yoy in August. Loans to firms normalized/slowed during 2021 as a result of i) lower support for loan supply through government guarantees, as observed during 2020, to counter the negative impacts of the pandemic and ii) firms’ ample liquidity and the availability of alternative sources of financing, which limited demand for credit. On the other hand, the growth rate of loans granted to households stabilized at around 4.0% yoy, mainly thanks to an increase in the amount of loans for house purchase. Consumer credit proved weak due to lower demand for credit to finance consumption, with households mainly drawing on savings to finance spending. Observed during the second half of the year, these trends characterized the evolution of loans to the private sector in all three main reference countries of UniCredit group (Austria, Germany and Italy). The trend was particular similar among loans to households, which showed a pace growth of just over 5.0% yoy and 6.0% respectively in Germany and Austria, while in Italy, annual growth stabilized at just under 4.0% yoy. In terms of loans to non-financial corporations, there was a recovery towards a growth rate close to 6.0% yoy in Germany in the second half of the year, after it had fallen below 2% by the end of the first half 2021, and a similar recovery trend also characterized corporate loans in Austria. In Italy, the slowdown continued throughout the second half of the year. Here, the growth rate of loans granted to businesses went slightly above 1.5% yoy. With regard to bank funding at a system level, deposits from households and non-financial corporations were characterized during the second half of the year by sustained growth rates in all reference countries of UniCredit group. At the same time, a dynamic of gradual reduction in the pace of growth materialized over the course of the second half of the year, especially among sight deposits. However, this was still characterized by positive monthly inflows. This trend most likely reflects the strong recovery observed in private-consumption growth following the reopening of economies in the spring of this year as well as the recovery in firms’ investment activity. In particular, households have begun to draw on savings accumulated during 2020 and early 2021 to finance consumer spending. Support from the ECB allowed a tightening of financial conditions to be averted, also during the second half of 2021, guaranteeing that financing conditions for households and businesses remained favorable, supporting private spending and fixed investment. Bank interest rates on loans stabilized at levels only slightly lower than those observed at the end of the first half of the year in all the main reference countries of UniCredit group. In this context, interest rates on sight deposits still remained close to zero. During the second half of the year, financial markets have been characterized by an increase in volatility, which partially limited the performance of equity markets. On the one hand, a sustained economic recovery related to the reopening of economies was a supporting factor. On the other hand, concerns spread that supply-chain bottlenecks and the increasing cost of energy and raw materials could slow the economic recovery and affect margins. Expectations of a possible tightening of monetary policy presented addition uncertainty for financial markets, although these are still well supported by the ECB and by ongoing expansionary fiscal policy. Against this backdrop, the Italian and Austrian stock exchanges performed relatively better, recording gains of about 10% compared to the end of the first half of 2021, while the German stock exchange approached the end of the second semester broadly flat compared to where it was in June 2021. CEE countries CEE has had an uneven economic recovery in 2021 in terms of strength and geographical patterns. The recovery started on a strong footing, but growth momentum slowed amid the third pandemic wave, only to accelerate again as economies reopened in the spring. In the second half of the year, supply-chain bottlenecks and higher commodity prices affected production and exports while driving inflation to the highest levels since the global financial crisis. A fourth pandemic wave has reduced mobility and consumer spending in the last quarter 2021. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 91 In the US, the recovery was well underway thanks to unprecedented fiscal support, with a focus both on the short-term post-pandemic recovery and on the long-term investment-driven expansion. At its monetary policy meeting in December, the FOMC (Federal Open Market Committee) left interest rates on hold but confirmed its hawkish shift in two main respects. First, it doubled the pace of tapering of its asset purchases, with net asset purchases now expected to end in mid-March, three months earlier than initially planned. Second, it signaled earlier and more rate hikes. The “dot plot” representation of FOMC interest rate projections now indicates three 25bps hikes this year, three hikes in 2023 and two hikes in 2024. Banking and financial markets Lending to the private sector in the eurozone showed moderate expansion during the second half of 2021, with the growth rate standing at 4.1% in December, compared to growth of 3.0% in June. This improvement was, in part, driven by a slight recovery of loans to non-financial corporations, with the growth rate recovering to 4.2% yoy, after hitting 1.5% yoy in August. Loans to firms normalized/slowed during 2021 as a result of i) lower support for loan supply through government guarantees, as observed during 2020, to counter the negative impacts of the pandemic and ii) firms’ ample liquidity and the availability of alternative sources of financing, which limited demand for credit. On the other hand, the growth rate of loans granted to households stabilized at around 4.0% yoy, mainly thanks to an increase in the amount of loans for house purchase. Consumer credit proved weak due to lower demand for credit to finance consumption, with households mainly drawing on savings to finance spending. Observed during the second half of the year, these trends characterized the evolution of loans to the private sector in all three main reference countries of UniCredit group (Austria, Germany and Italy). The trend was particular similar among loans to households, which showed a pace growth of just over 5.0% yoy and 6.0% respectively in Germany and Austria, while in Italy, annual growth stabilized at just under 4.0% yoy. In terms of loans to non-financial corporations, there was a recovery towards a growth rate close to 6.0% yoy in Germany in the second half of the year, after it had fallen below 2% by the end of the first half 2021, and a similar recovery trend also characterized corporate loans in Austria. In Italy, the slowdown continued throughout the second half of the year. Here, the growth rate of loans granted to businesses went slightly above 1.5% yoy. With regard to bank funding at a system level, deposits from households and non-financial corporations were characterized during the second half of the year by sustained growth rates in all reference countries of UniCredit group. At the same time, a dynamic of gradual reduction in the pace of growth materialized over the course of the second half of the year, especially among sight deposits. However, this was still characterized by positive monthly inflows. This trend most likely reflects the strong recovery observed in private-consumption growth following the reopening of economies in the spring of this year as well as the recovery in firms’ investment activity. In particular, households have begun to draw on savings accumulated during 2020 and early 2021 to finance consumer spending. Support from the ECB allowed a tightening of financial conditions to be averted, also during the second half of 2021, guaranteeing that financing conditions for households and businesses remained favorable, supporting private spending and fixed investment. Bank interest rates on loans stabilized at levels only slightly lower than those observed at the end of the first half of the year in all the main reference countries of UniCredit group. In this context, interest rates on sight deposits still remained close to zero. During the second half of the year, financial markets have been characterized by an increase in volatility, which partially limited the performance of equity markets. On the one hand, a sustained economic recovery related to the reopening of economies was a supporting factor. On the other hand, concerns spread that supply-chain bottlenecks and the increasing cost of energy and raw materials could slow the economic recovery and affect margins. Expectations of a possible tightening of monetary policy presented addition uncertainty for financial markets, although these are still well supported by the ECB and by ongoing expansionary fiscal policy. Against this backdrop, the Italian and Austrian stock exchanges performed relatively better, recording gains of about 10% compared to the end of the first half of 2021, while the German stock exchange approached the end of the second semester broadly flat compared to where it was in June 2021. CEE countries CEE has had an uneven economic recovery in 2021 in terms of strength and geographical patterns. The recovery started on a strong footing, but growth momentum slowed amid the third pandemic wave, only to accelerate again as economies reopened in the spring. In the second half of the year, supply-chain bottlenecks and higher commodity prices affected production and exports while driving inflation to the highest levels since the global financial crisis. A fourth pandemic wave has reduced mobility and consumer spending in the last quarter 2021. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 91 In the US, the recovery was well underway thanks to unprecedented fiscal support, with a focus both on the short-term post-pandemic recovery and on the long-term investment-driven expansion. At its monetary policy meeting in December, the FOMC (Federal Open Market Committee) left interest rates on hold but confirmed its hawkish shift in two main respects. First, it doubled the pace of tapering of its asset purchases, with net asset purchases now expected to end in mid-March, three months earlier than initially planned. Second, it signaled earlier and more rate hikes. The “dot plot” representation of FOMC interest rate projections now indicates three 25bps hikes this year, three hikes in 2023 and two hikes in 2024. Banking and financial markets Lending to the private sector in the eurozone showed moderate expansion during the second half of 2021, with the growth rate standing at 4.1% in December, compared to growth of 3.0% in June. This improvement was, in part, driven by a slight recovery of loans to non-financial corporations, with the growth rate recovering to 4.2% yoy, after hitting 1.5% yoy in August. Loans to firms normalized/slowed during 2021 as a result of i) lower support for loan supply through government guarantees, as observed during 2020, to counter the negative impacts of the pandemic and ii) firms’ ample liquidity and the availability of alternative sources of financing, which limited demand for credit. On the other hand, the growth rate of loans granted to households stabilized at around 4.0% yoy, mainly thanks to an increase in the amount of loans for house purchase. Consumer credit proved weak due to lower demand for credit to finance consumption, with households mainly drawing on savings to finance spending. Observed during the second half of the year, these trends characterized the evolution of loans to the private sector in all three main reference countries of UniCredit group (Austria, Germany and Italy). The trend was particular similar among loans to households, which showed a pace growth of just over 5.0% yoy and 6.0% respectively in Germany and Austria, while in Italy, annual growth stabilized at just under 4.0% yoy. In terms of loans to non-financial corporations, there was a recovery towards a growth rate close to 6.0% yoy in Germany in the second half of the year, after it had fallen below 2% by the end of the first half 2021, and a similar recovery trend also characterized corporate loans in Austria. In Italy, the slowdown continued throughout the second half of the year. Here, the growth rate of loans granted to businesses went slightly above 1.5% yoy. With regard to bank funding at a system level, deposits from households and non-financial corporations were characterized during the second half of the year by sustained growth rates in all reference countries of UniCredit group. At the same time, a dynamic of gradual reduction in the pace of growth materialized over the course of the second half of the year, especially among sight deposits. However, this was still characterized by positive monthly inflows. This trend most likely reflects the strong recovery observed in private-consumption growth following the reopening of economies in the spring of this year as well as the recovery in firms’ investment activity. In particular, households have begun to draw on savings accumulated during 2020 and early 2021 to finance consumer spending. Support from the ECB allowed a tightening of financial conditions to be averted, also during the second half of 2021, guaranteeing that financing conditions for households and businesses remained favorable, supporting private spending and fixed investment. Bank interest rates on loans stabilized at levels only slightly lower than those observed at the end of the first half of the year in all the main reference countries of UniCredit group. In this context, interest rates on sight deposits still remained close to zero. During the second half of the year, financial markets have been characterized by an increase in volatility, which partially limited the performance of equity markets. On the one hand, a sustained economic recovery related to the reopening of economies was a supporting factor. On the other hand, concerns spread that supply-chain bottlenecks and the increasing cost of energy and raw materials could slow the economic recovery and affect margins. Expectations of a possible tightening of monetary policy presented addition uncertainty for financial markets, although these are still well supported by the ECB and by ongoing expansionary fiscal policy. Against this backdrop, the Italian and Austrian stock exchanges performed relatively better, recording gains of about 10% compared to the end of the first half of 2021, while the German stock exchange approached the end of the second semester broadly flat compared to where it was in June 2021. CEE countries CEE has had an uneven economic recovery in 2021 in terms of strength and geographical patterns. The recovery started on a strong footing, but growth momentum slowed amid the third pandemic wave, only to accelerate again as economies reopened in the spring. In the second half of the year, supply-chain bottlenecks and higher commodity prices affected production and exports while driving inflation to the highest levels since the global financial crisis. A fourth pandemic wave has reduced mobility and consumer spending in the last quarter 2021. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 91 In the US, the recovery was well underway thanks to unprecedented fiscal support, with a focus both on the short-term post-pandemic recovery and on the long-term investment-driven expansion. At its monetary policy meeting in December, the FOMC (Federal Open Market Committee) left interest rates on hold but confirmed its hawkish shift in two main respects. First, it doubled the pace of tapering of its asset purchases, with net asset purchases now expected to end in mid-March, three months earlier than initially planned. Second, it signaled earlier and more rate hikes. The “dot plot” representation of FOMC interest rate projections now indicates three 25bps hikes this year, three hikes in 2023 and two hikes in 2024. Banking and financial markets Lending to the private sector in the eurozone showed moderate expansion during the second half of 2021, with the growth rate standing at 4.1% in December, compared to growth of 3.0% in June. This improvement was, in part, driven by a slight recovery of loans to non-financial corporations, with the growth rate recovering to 4.2% yoy, after hitting 1.5% yoy in August. Loans to firms normalized/slowed during 2021 as a result of i) lower support for loan supply through government guarantees, as observed during 2020, to counter the negative impacts of the pandemic and ii) firms’ ample liquidity and the availability of alternative sources of financing, which limited demand for credit. On the other hand, the growth rate of loans granted to households stabilized at around 4.0% yoy, mainly thanks to an increase in the amount of loans for house purchase. Consumer credit proved weak due to lower demand for credit to finance consumption, with households mainly drawing on savings to finance spending. Observed during the second half of the year, these trends characterized the evolution of loans to the private sector in all three main reference countries of UniCredit group (Austria, Germany and Italy). The trend was particular similar among loans to households, which showed a pace growth of just over 5.0% yoy and 6.0% respectively in Germany and Austria, while in Italy, annual growth stabilized at just under 4.0% yoy. In terms of loans to non-financial corporations, there was a recovery towards a growth rate close to 6.0% yoy in Germany in the second half of the year, after it had fallen below 2% by the end of the first half 2021, and a similar recovery trend also characterized corporate loans in Austria. In Italy, the slowdown continued throughout the second half of the year. Here, the growth rate of loans granted to businesses went slightly above 1.5% yoy. With regard to bank funding at a system level, deposits from households and non-financial corporations were characterized during the second half of the year by sustained growth rates in all reference countries of UniCredit group. At the same time, a dynamic of gradual reduction in the pace of growth materialized over the course of the second half of the year, especially among sight deposits. However, this was still characterized by positive monthly inflows. This trend most likely reflects the strong recovery observed in private-consumption growth following the reopening of economies in the spring of this year as well as the recovery in firms’ investment activity. In particular, households have begun to draw on savings accumulated during 2020 and early 2021 to finance consumer spending. Support from the ECB allowed a tightening of financial conditions to be averted, also during the second half of 2021, guaranteeing that financing conditions for households and businesses remained favorable, supporting private spending and fixed investment. Bank interest rates on loans stabilized at levels only slightly lower than those observed at the end of the first half of the year in all the main reference countries of UniCredit group. In this context, interest rates on sight deposits still remained close to zero. During the second half of the year, financial markets have been characterized by an increase in volatility, which partially limited the performance of equity markets. On the one hand, a sustained economic recovery related to the reopening of economies was a supporting factor. On the other hand, concerns spread that supply-chain bottlenecks and the increasing cost of energy and raw materials could slow the economic recovery and affect margins. Expectations of a possible tightening of monetary policy presented addition uncertainty for financial markets, although these are still well supported by the ECB and by ongoing expansionary fiscal policy. Against this backdrop, the Italian and Austrian stock exchanges performed relatively better, recording gains of about 10% compared to the end of the first half of 2021, while the German stock exchange approached the end of the second semester broadly flat compared to where it was in June 2021. CEE countries CEE has had an uneven economic recovery in 2021 in terms of strength and geographical patterns. The recovery started on a strong footing, but growth momentum slowed amid the third pandemic wave, only to accelerate again as economies reopened in the spring. In the second half of the year, supply-chain bottlenecks and higher commodity prices affected production and exports while driving inflation to the highest levels since the global financial crisis. A fourth pandemic wave has reduced mobility and consumer spending in the last quarter 2021. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 91 In the US, the recovery was well underway thanks to unprecedented fiscal support, with a focus both on the short-term post-pandemic recovery and on the long-term investment-driven expansion. At its monetary policy meeting in December, the FOMC (Federal Open Market Committee) left interest rates on hold but confirmed its hawkish shift in two main respects. First, it doubled the pace of tapering of its asset purchases, with net asset purchases now expected to end in mid-March, three months earlier than initially planned. Second, it signaled earlier and more rate hikes. The “dot plot” representation of FOMC interest rate projections now indicates three 25bps hikes this year, three hikes in 2023 and two hikes in 2024. Banking and financial markets Lending to the private sector in the eurozone showed moderate expansion during the second half of 2021, with the growth rate standing at 4.1% in December, compared to growth of 3.0% in June. This improvement was, in part, driven by a slight recovery of loans to non-financial corporations, with the growth rate recovering to 4.2% yoy, after hitting 1.5% yoy in August. Loans to firms normalized/slowed during 2021 as a result of i) lower support for loan supply through government guarantees, as observed during 2020, to counter the negative impacts of the pandemic and ii) firms’ ample liquidity and the availability of alternative sources of financing, which limited demand for credit. On the other hand, the growth rate of loans granted to households stabilized at around 4.0% yoy, mainly thanks to an increase in the amount of loans for house purchase. Consumer credit proved weak due to lower demand for credit to finance consumption, with households mainly drawing on savings to finance spending. Observed during the second half of the year, these trends characterized the evolution of loans to the private sector in all three main reference countries of UniCredit group (Austria, Germany and Italy). The trend was particular similar among loans to households, which showed a pace growth of just over 5.0% yoy and 6.0% respectively in Germany and Austria, while in Italy, annual growth stabilized at just under 4.0% yoy. In terms of loans to non-financial corporations, there was a recovery towards a growth rate close to 6.0% yoy in Germany in the second half of the year, after it had fallen below 2% by the end of the first half 2021, and a similar recovery trend also characterized corporate loans in Austria. In Italy, the slowdown continued throughout the second half of the year. Here, the growth rate of loans granted to businesses went slightly above 1.5% yoy. With regard to bank funding at a system level, deposits from households and non-financial corporations were characterized during the second half of the year by sustained growth rates in all reference countries of UniCredit group. At the same time, a dynamic of gradual reduction in the pace of growth materialized over the course of the second half of the year, especially among sight deposits. However, this was still characterized by positive monthly inflows. This trend most likely reflects the strong recovery observed in private-consumption growth following the reopening of economies in the spring of this year as well as the recovery in firms’ investment activity. In particular, households have begun to draw on savings accumulated during 2020 and early 2021 to finance consumer spending. Support from the ECB allowed a tightening of financial conditions to be averted, also during the second half of 2021, guaranteeing that financing conditions for households and businesses remained favorable, supporting private spending and fixed investment. Bank interest rates on loans stabilized at levels only slightly lower than those observed at the end of the first half of the year in all the main reference countries of UniCredit group. In this context, interest rates on sight deposits still remained close to zero. During the second half of the year, financial markets have been characterized by an increase in volatility, which partially limited the performance of equity markets. On the one hand, a sustained economic recovery related to the reopening of economies was a supporting factor. On the other hand, concerns spread that supply-chain bottlenecks and the increasing cost of energy and raw materials could slow the economic recovery and affect margins. Expectations of a possible tightening of monetary policy presented addition uncertainty for financial markets, although these are still well supported by the ECB and by ongoing expansionary fiscal policy. Against this backdrop, the Italian and Austrian stock exchanges performed relatively better, recording gains of about 10% compared to the end of the first half of 2021, while the German stock exchange approached the end of the second semester broadly flat compared to where it was in June 2021. CEE countries CEE has had an uneven economic recovery in 2021 in terms of strength and geographical patterns. The recovery started on a strong footing, but growth momentum slowed amid the third pandemic wave, only to accelerate again as economies reopened in the spring. In the second half of the year, supply-chain bottlenecks and higher commodity prices affected production and exports while driving inflation to the highest levels since the global financial crisis. A fourth pandemic wave has reduced mobility and consumer spending in the last quarter 2021. Consolidated report on operations Group results 92 2021 Annual Report and Accounts · UniCredit In EU-CEE1, Hungary, Poland and Romania have seen economic activity return to pre-pandemic levels, while the other countries of the region have lagged behind because global tourism and economic activity in the eurozone have failed to recover fully. The Western Balkans have had a similar performance to EU-CEE. The exception is Serbia, whose economy had returned above the pre-pandemic trend of growth by the autumn, alongside the economies of Russia and Turkey. However, momentum has weakened here too, as in EU-CEE, as the end of the year approached. We estimate EU-CEE to have grown by around 5% in 2021, Russia by 4.2% and Turkey by 10.7%. While we expect CEE countries to resist tight lockdowns, weaker demand from the eurozone and the impact of higher food and energy costs on hand-to-mouth consumers could translate into slower economic activity at the beginning of 2022. CEE households have started spending out of their excess savings accumulated in 2020-21 and borrowing more from banks, but a large share of the population has no access to emergency funding and, thus, could see its purchasing power tumble if commodity prices remain high. CEE companies’ production has been affected by supply-chain blockages and by high commodity prices, which will likely persist in the first half of 2022. Supply bottlenecks contrast with strong demand and a large backlog of orders that bodes well for future exports. Whenever supply chains ran smoothly in 2021, exports were close to all-time highs, especially in Central Europe and Turkey. Yet eurozone companies expect these bottlenecks to last beyond mid-2022, easing gradually in the second half 2022 and completely only in 2023. Absent further lockdowns, this scenario would still lead to higher exports in 2022 than in 2021. In 2021, inflation increased significantly in all countries due to commodity prices, global-supply chain bottlenecks, the recovery in domestic demand and, in some cases, currency depreciation. Central banks in the region reacted with significant monetary policy tightening with the exception of Serbia, where the central bank limited its actions to a reduction in liquidity so far, and Turkey, where the central bank lowered interest rates from September due to political pressure. Central banks also tapered their bond purchases and stopped them altogether before the end of 2021. Inflation will likely remain high throughout 2022 with the inflationary effects of supply shocks likely to last longer in CEE than in Western Europe. Main results and performance for the period Introduction The macroeconomic context in which the Group functioned in 2021 was characterised by the encouraging signs of recovery compared with the prior year, supported by the governmental measures sustaining the economy, by vaccination campaigns and by the progressive slowing-down of the lockdown measures. The adequate operative answer and the prudential management ensured by the Group during 2020 to face the crisis emerging from the Covid-19 pandemic, allowed in 2021 the effective pursue of the strategic priorities of the plan “Team 23” communicated in December 2019. However, the profoundly changed macroeconomic scenario following the pandemic, the resulting reprioritization of some of the strategic guidelines, as well as the appointment of the new Managerial Team, made appropriate the development of a new Strategic Plan “UniCredit Unlocked” for 2022-2024 which optimises the Group current set-up and builds a clear long-term program for tomorrow while moving into an era of growth and value creation for all our stakeholders. UniCredit Unlocked, presented for the financial community during the Strategy Day of the 9 December 2021, delivers the following strategic ambitions: Grow in our regions and develop our client franchise, changing our business model and how our people operate: • selective growth both from our existing and new clients; • development of best-in-class products and services: either in house or with external partners; • business growth based on low capital absorption, focusing on value-added products and services for clients; • targeted cost efficiency to fund investments and insure operating lever. 1 Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia. Consolidated report on operations Group results 92 2021 Annual Report and Accounts · UniCredit In EU-CEE1, Hungary, Poland and Romania have seen economic activity return to pre-pandemic levels, while the other countries of the region have lagged behind because global tourism and economic activity in the eurozone have failed to recover fully. The Western Balkans have had a similar performance to EU-CEE. The exception is Serbia, whose economy had returned above the pre-pandemic trend of growth by the autumn, alongside the economies of Russia and Turkey. However, momentum has weakened here too, as in EU-CEE, as the end of the year approached. We estimate EU-CEE to have grown by around 5% in 2021, Russia by 4.2% and Turkey by 10.7%. While we expect CEE countries to resist tight lockdowns, weaker demand from the eurozone and the impact of higher food and energy costs on hand-to-mouth consumers could translate into slower economic activity at the beginning of 2022. CEE households have started spending out of their excess savings accumulated in 2020-21 and borrowing more from banks, but a large share of the population has no access to emergency funding and, thus, could see its purchasing power tumble if commodity prices remain high. CEE companies’ production has been affected by supply-chain blockages and by high commodity prices, which will likely persist in the first half of 2022. Supply bottlenecks contrast with strong demand and a large backlog of orders that bodes well for future exports. Whenever supply chains ran smoothly in 2021, exports were close to all-time highs, especially in Central Europe and Turkey. Yet eurozone companies expect these bottlenecks to last beyond mid-2022, easing gradually in the second half 2022 and completely only in 2023. Absent further lockdowns, this scenario would still lead to higher exports in 2022 than in 2021. In 2021, inflation increased significantly in all countries due to commodity prices, global-supply chain bottlenecks, the recovery in domestic demand and, in some cases, currency depreciation. Central banks in the region reacted with significant monetary policy tightening with the exception of Serbia, where the central bank limited its actions to a reduction in liquidity so far, and Turkey, where the central bank lowered interest rates from September due to political pressure. Central banks also tapered their bond purchases and stopped them altogether before the end of 2021. Inflation will likely remain high throughout 2022 with the inflationary effects of supply shocks likely to last longer in CEE than in Western Europe. Main results and performance for the period Introduction The macroeconomic context in which the Group functioned in 2021 was characterised by the encouraging signs of recovery compared with the prior year, supported by the governmental measures sustaining the economy, by vaccination campaigns and by the progressive slowing-down of the lockdown measures. The adequate operative answer and the prudential management ensured by the Group during 2020 to face the crisis emerging from the Covid-19 pandemic, allowed in 2021 the effective pursue of the strategic priorities of the plan “Team 23” communicated in December 2019. However, the profoundly changed macroeconomic scenario following the pandemic, the resulting reprioritization of some of the strategic guidelines, as well as the appointment of the new Managerial Team, made appropriate the development of a new Strategic Plan “UniCredit Unlocked” for 2022-2024 which optimises the Group current set-up and builds a clear long-term program for tomorrow while moving into an era of growth and value creation for all our stakeholders. UniCredit Unlocked, presented for the financial community during the Strategy Day of the 9 December 2021, delivers the following strategic ambitions: Grow in our regions and develop our client franchise, changing our business model and how our people operate: • selective growth both from our existing and new clients; • development of best-in-class products and services: either in house or with external partners; • business growth based on low capital absorption, focusing on value-added products and services for clients; • targeted cost efficiency to fund investments and insure operating lever. 1 Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia. Consolidated report on operations Group results 92 2021 Annual Report and Accounts · UniCredit In EU-CEE1, Hungary, Poland and Romania have seen economic activity return to pre-pandemic levels, while the other countries of the region have lagged behind because global tourism and economic activity in the eurozone have failed to recover fully. The Western Balkans have had a similar performance to EU-CEE. The exception is Serbia, whose economy had returned above the pre-pandemic trend of growth by the autumn, alongside the economies of Russia and Turkey. However, momentum has weakened here too, as in EU-CEE, as the end of the year approached. We estimate EU-CEE to have grown by around 5% in 2021, Russia by 4.2% and Turkey by 10.7%. While we expect CEE countries to resist tight lockdowns, weaker demand from the eurozone and the impact of higher food and energy costs on hand-to-mouth consumers could translate into slower economic activity at the beginning of 2022. CEE households have started spending out of their excess savings accumulated in 2020-21 and borrowing more from banks, but a large share of the population has no access to emergency funding and, thus, could see its purchasing power tumble if commodity prices remain high. CEE companies’ production has been affected by supply-chain blockages and by high commodity prices, which will likely persist in the first half of 2022. Supply bottlenecks contrast with strong demand and a large backlog of orders that bodes well for future exports. Whenever supply chains ran smoothly in 2021, exports were close to all-time highs, especially in Central Europe and Turkey. Yet eurozone companies expect these bottlenecks to last beyond mid-2022, easing gradually in the second half 2022 and completely only in 2023. Absent further lockdowns, this scenario would still lead to higher exports in 2022 than in 2021. In 2021, inflation increased significantly in all countries due to commodity prices, global-supply chain bottlenecks, the recovery in domestic demand and, in some cases, currency depreciation. Central banks in the region reacted with significant monetary policy tightening with the exception of Serbia, where the central bank limited its actions to a reduction in liquidity so far, and Turkey, where the central bank lowered interest rates from September due to political pressure. Central banks also tapered their bond purchases and stopped them altogether before the end of 2021. Inflation will likely remain high throughout 2022 with the inflationary effects of supply shocks likely to last longer in CEE than in Western Europe. Main results and performance for the period Introduction The macroeconomic context in which the Group functioned in 2021 was characterised by the encouraging signs of recovery compared with the prior year, supported by the governmental measures sustaining the economy, by vaccination campaigns and by the progressive slowing-down of the lockdown measures. The adequate operative answer and the prudential management ensured by the Group during 2020 to face the crisis emerging from the Covid-19 pandemic, allowed in 2021 the effective pursue of the strategic priorities of the plan “Team 23” communicated in December 2019. However, the profoundly changed macroeconomic scenario following the pandemic, the resulting reprioritization of some of the strategic guidelines, as well as the appointment of the new Managerial Team, made appropriate the development of a new Strategic Plan “UniCredit Unlocked” for 2022-2024 which optimises the Group current set-up and builds a clear long-term program for tomorrow while moving into an era of growth and value creation for all our stakeholders. UniCredit Unlocked, presented for the financial community during the Strategy Day of the 9 December 2021, delivers the following strategic ambitions: Grow in our regions and develop our client franchise, changing our business model and how our people operate: • selective growth both from our existing and new clients; • development of best-in-class products and services: either in house or with external partners; • business growth based on low capital absorption, focusing on value-added products and services for clients; • targeted cost efficiency to fund investments and insure operating lever. 1 Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia. Consolidated report on operations Group results 92 2021 Annual Report and Accounts · UniCredit In EU-CEE1, Hungary, Poland and Romania have seen economic activity return to pre-pandemic levels, while the other countries of the region have lagged behind because global tourism and economic activity in the eurozone have failed to recover fully. The Western Balkans have had a similar performance to EU-CEE. The exception is Serbia, whose economy had returned above the pre-pandemic trend of growth by the autumn, alongside the economies of Russia and Turkey. However, momentum has weakened here too, as in EU-CEE, as the end of the year approached. We estimate EU-CEE to have grown by around 5% in 2021, Russia by 4.2% and Turkey by 10.7%. While we expect CEE countries to resist tight lockdowns, weaker demand from the eurozone and the impact of higher food and energy costs on hand-to-mouth consumers could translate into slower economic activity at the beginning of 2022. CEE households have started spending out of their excess savings accumulated in 2020-21 and borrowing more from banks, but a large share of the population has no access to emergency funding and, thus, could see its purchasing power tumble if commodity prices remain high. CEE companies’ production has been affected by supply-chain blockages and by high commodity prices, which will likely persist in the first half of 2022. Supply bottlenecks contrast with strong demand and a large backlog of orders that bodes well for future exports. Whenever supply chains ran smoothly in 2021, exports were close to all-time highs, especially in Central Europe and Turkey. Yet eurozone companies expect these bottlenecks to last beyond mid-2022, easing gradually in the second half 2022 and completely only in 2023. Absent further lockdowns, this scenario would still lead to higher exports in 2022 than in 2021. In 2021, inflation increased significantly in all countries due to commodity prices, global-supply chain bottlenecks, the recovery in domestic demand and, in some cases, currency depreciation. Central banks in the region reacted with significant monetary policy tightening with the exception of Serbia, where the central bank limited its actions to a reduction in liquidity so far, and Turkey, where the central bank lowered interest rates from September due to political pressure. Central banks also tapered their bond purchases and stopped them altogether before the end of 2021. Inflation will likely remain high throughout 2022 with the inflationary effects of supply shocks likely to last longer in CEE than in Western Europe. Main results and performance for the period Introduction The macroeconomic context in which the Group functioned in 2021 was characterised by the encouraging signs of recovery compared with the prior year, supported by the governmental measures sustaining the economy, by vaccination campaigns and by the progressive slowing-down of the lockdown measures. The adequate operative answer and the prudential management ensured by the Group during 2020 to face the crisis emerging from the Covid-19 pandemic, allowed in 2021 the effective pursue of the strategic priorities of the plan “Team 23” communicated in December 2019. However, the profoundly changed macroeconomic scenario following the pandemic, the resulting reprioritization of some of the strategic guidelines, as well as the appointment of the new Managerial Team, made appropriate the development of a new Strategic Plan “UniCredit Unlocked” for 2022-2024 which optimises the Group current set-up and builds a clear long-term program for tomorrow while moving into an era of growth and value creation for all our stakeholders. UniCredit Unlocked, presented for the financial community during the Strategy Day of the 9 December 2021, delivers the following strategic ambitions: Grow in our regions and develop our client franchise, changing our business model and how our people operate: • selective growth both from our existing and new clients; • development of best-in-class products and services: either in house or with external partners; • business growth based on low capital absorption, focusing on value-added products and services for clients; • targeted cost efficiency to fund investments and insure operating lever. 1 Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia. Consolidated report on operations Group results 92 2021 Annual Report and Accounts · UniCredit In EU-CEE1, Hungary, Poland and Romania have seen economic activity return to pre-pandemic levels, while the other countries of the region have lagged behind because global tourism and economic activity in the eurozone have failed to recover fully. The Western Balkans have had a similar performance to EU-CEE. The exception is Serbia, whose economy had returned above the pre-pandemic trend of growth by the autumn, alongside the economies of Russia and Turkey. However, momentum has weakened here too, as in EU-CEE, as the end of the year approached. We estimate EU-CEE to have grown by around 5% in 2021, Russia by 4.2% and Turkey by 10.7%. While we expect CEE countries to resist tight lockdowns, weaker demand from the eurozone and the impact of higher food and energy costs on hand-to-mouth consumers could translate into slower economic activity at the beginning of 2022. CEE households have started spending out of their excess savings accumulated in 2020-21 and borrowing more from banks, but a large share of the population has no access to emergency funding and, thus, could see its purchasing power tumble if commodity prices remain high. CEE companies’ production has been affected by supply-chain blockages and by high commodity prices, which will likely persist in the first half of 2022. Supply bottlenecks contrast with strong demand and a large backlog of orders that bodes well for future exports. Whenever supply chains ran smoothly in 2021, exports were close to all-time highs, especially in Central Europe and Turkey. Yet eurozone companies expect these bottlenecks to last beyond mid-2022, easing gradually in the second half 2022 and completely only in 2023. Absent further lockdowns, this scenario would still lead to higher exports in 2022 than in 2021. In 2021, inflation increased significantly in all countries due to commodity prices, global-supply chain bottlenecks, the recovery in domestic demand and, in some cases, currency depreciation. Central banks in the region reacted with significant monetary policy tightening with the exception of Serbia, where the central bank limited its actions to a reduction in liquidity so far, and Turkey, where the central bank lowered interest rates from September due to political pressure. Central banks also tapered their bond purchases and stopped them altogether before the end of 2021. Inflation will likely remain high throughout 2022 with the inflationary effects of supply shocks likely to last longer in CEE than in Western Europe. Main results and performance for the period Introduction The macroeconomic context in which the Group functioned in 2021 was characterised by the encouraging signs of recovery compared with the prior year, supported by the governmental measures sustaining the economy, by vaccination campaigns and by the progressive slowing-down of the lockdown measures. The adequate operative answer and the prudential management ensured by the Group during 2020 to face the crisis emerging from the Covid-19 pandemic, allowed in 2021 the effective pursue of the strategic priorities of the plan “Team 23” communicated in December 2019. However, the profoundly changed macroeconomic scenario following the pandemic, the resulting reprioritization of some of the strategic guidelines, as well as the appointment of the new Managerial Team, made appropriate the development of a new Strategic Plan “UniCredit Unlocked” for 2022-2024 which optimises the Group current set-up and builds a clear long-term program for tomorrow while moving into an era of growth and value creation for all our stakeholders. UniCredit Unlocked, presented for the financial community during the Strategy Day of the 9 December 2021, delivers the following strategic ambitions: Grow in our regions and develop our client franchise, changing our business model and how our people operate: • selective growth both from our existing and new clients; • development of best-in-class products and services: either in house or with external partners; • business growth based on low capital absorption, focusing on value-added products and services for clients; • targeted cost efficiency to fund investments and insure operating lever. 1 Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 93 Deliver economies of scale from our banks network, through a transformation of technology leveraging on Digital & Data and operating with a view towards sustainability: • achieve the full integration of our 13 banks; • empowering the local banks within clear risk and behavior framework, limiting the central steering to those activities where it actually adds value; • redesign operating model by re-insourcing the strategic competencies; • new way of working: centered around clients and common platforms; • adopting a new client oriented working model and based on common platforms; • equipping the Group with all necessary tools to support our clients and the communities in the transition towards a way of operating more sustainable both for the environment and the society; Drive financial performance via three interconnected levers under full management control: • further reducing the costs base of 2024, excluding the impact of new significant investments expected in Digital & Data and Business and the inflation; • generate organic capital2 growth thanks to higher profitability and capital low absorption model, to optimal capital allocation and active portfolio management driven by RoTE maximization (Return on Tangible Equity); • increase of revenues excluding LLPs to achieve a profitability above the cost of equity, mostly driven by fees and recovery of market share. Allow, through the new business model, a strong organic capital generation2 with materially increased and progressively growing shareholder distributions3 while maintaining or exceeding a robust CET1 ratio target of 12.5-13 per cent: • it is expected a Shareholder distribution3 of at least €16 billion total for 2021-2024, with yearly distributions being consistent with the organic capital generation2 of each relevant year; • from this perspective, it is expected in 2022 a distribution of €3.75 billion (related to 2021), consisting of a cash dividend of circa 30 per cent of underlying net profit4 with the balance composed of share buybacks; • based on plan assumptions, total distribution related to 2022 is expected to be in line or greater than 2021 and to progressively increase starting from 2023. The 2022 annual cash dividend is expected at 35 per cent of net profit5 and thereafter to be at least 35 per cent of net profit5 with the balance composed of share buybacks. In the second half of the year the new organizational structure announced on 12 May 2021 became fully operative, allowing the members of the Group Executive Committee to effectively have all the levels of the managerial structure available to guide their respective competence business areas, being fully responsible for the related performance. Therefore, at 31 December 2021, the performance and the results of the Group were measured and monitored based on the new business divisions. Consequently, applying IFRS8 accounting principle, the reporting by business sectors of the present Consolidated Report on Operations was drawn up accordingly with the new organization. For the changes in the organizational structure refer also to the paragraph “Other information on Group activities” of this Consolidated report on operations. All the managerial Team is focused on implementing the measures defined within the new Strategic Plan, aiming at the achievement of a sustainable long-term growth, which will happen through business relaunch and strengthening, with a client focus view; the Group’s strategy will pivot on digitalization and the valorization of economies of scale which are intrinsic to the Group’s banks; the later mentioned will be able to leverage on an uniform clients segmentation (currently in a development phase), on a harmonised service model, simplified processes and a unique organizational structure; the unification of technology and data platforms together with the consolidation of common principles will allow offering to the clients the best products and services. Moving on to the results of 2021, the Group managed to benefit from the macroeconomic and financial context characterised by the firsts clear signs of post pandemic recovery and achieved a net profit of €1,540 million, compared with the €2,785 million loss realised in 2020. 2 Organic capital generation means CET1r evolution deriving from (i) stated net profit excluding DTA from tax loss carry forward contribution and (ii) RWA dynamic net of regulatory headwind. 3 Shareholder distribution subject to supervisory & shareholder approvals and inorganic options. 4 Underlying net profit means Stated net profit adjusted for non-operating items. 5 Net profit means Stated net profit adjusted for AT1 coupons, Cashes cash-out and impacts from DTAs from tax loss carry forward sustainability test. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 93 Deliver economies of scale from our banks network, through a transformation of technology leveraging on Digital & Data and operating with a view towards sustainability: • achieve the full integration of our 13 banks; • empowering the local banks within clear risk and behavior framework, limiting the central steering to those activities where it actually adds value; • redesign operating model by re-insourcing the strategic competencies; • new way of working: centered around clients and common platforms; • adopting a new client oriented working model and based on common platforms; • equipping the Group with all necessary tools to support our clients and the communities in the transition towards a way of operating more sustainable both for the environment and the society; Drive financial performance via three interconnected levers under full management control: • further reducing the costs base of 2024, excluding the impact of new significant investments expected in Digital & Data and Business and the inflation; • generate organic capital2 growth thanks to higher profitability and capital low absorption model, to optimal capital allocation and active portfolio management driven by RoTE maximization (Return on Tangible Equity); • increase of revenues excluding LLPs to achieve a profitability above the cost of equity, mostly driven by fees and recovery of market share. Allow, through the new business model, a strong organic capital generation2 with materially increased and progressively growing shareholder distributions3 while maintaining or exceeding a robust CET1 ratio target of 12.5-13 per cent: • it is expected a Shareholder distribution3 of at least €16 billion total for 2021-2024, with yearly distributions being consistent with the organic capital generation2 of each relevant year; • from this perspective, it is expected in 2022 a distribution of €3.75 billion (related to 2021), consisting of a cash dividend of circa 30 per cent of underlying net profit4 with the balance composed of share buybacks; • based on plan assumptions, total distribution related to 2022 is expected to be in line or greater than 2021 and to progressively increase starting from 2023. The 2022 annual cash dividend is expected at 35 per cent of net profit5 and thereafter to be at least 35 per cent of net profit5 with the balance composed of share buybacks. In the second half of the year the new organizational structure announced on 12 May 2021 became fully operative, allowing the members of the Group Executive Committee to effectively have all the levels of the managerial structure available to guide their respective competence business areas, being fully responsible for the related performance. Therefore, at 31 December 2021, the performance and the results of the Group were measured and monitored based on the new business divisions. Consequently, applying IFRS8 accounting principle, the reporting by business sectors of the present Consolidated Report on Operations was drawn up accordingly with the new organization. For the changes in the organizational structure refer also to the paragraph “Other information on Group activities” of this Consolidated report on operations. All the managerial Team is focused on implementing the measures defined within the new Strategic Plan, aiming at the achievement of a sustainable long-term growth, which will happen through business relaunch and strengthening, with a client focus view; the Group’s strategy will pivot on digitalization and the valorization of economies of scale which are intrinsic to the Group’s banks; the later mentioned will be able to leverage on an uniform clients segmentation (currently in a development phase), on a harmonised service model, simplified processes and a unique organizational structure; the unification of technology and data platforms together with the consolidation of common principles will allow offering to the clients the best products and services. Moving on to the results of 2021, the Group managed to benefit from the macroeconomic and financial context characterised by the firsts clear signs of post pandemic recovery and achieved a net profit of €1,540 million, compared with the €2,785 million loss realised in 2020. 2 Organic capital generation means CET1r evolution deriving from (i) stated net profit excluding DTA from tax loss carry forward contribution and (ii) RWA dynamic net of regulatory headwind. 3 Shareholder distribution subject to supervisory & shareholder approvals and inorganic options. 4 Underlying net profit means Stated net profit adjusted for non-operating items. 5 Net profit means Stated net profit adjusted for AT1 coupons, Cashes cash-out and impacts from DTAs from tax loss carry forward sustainability test. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 93 Deliver economies of scale from our banks network, through a transformation of technology leveraging on Digital & Data and operating with a view towards sustainability: • achieve the full integration of our 13 banks; • empowering the local banks within clear risk and behavior framework, limiting the central steering to those activities where it actually adds value; • redesign operating model by re-insourcing the strategic competencies; • new way of working: centered around clients and common platforms; • adopting a new client oriented working model and based on common platforms; • equipping the Group with all necessary tools to support our clients and the communities in the transition towards a way of operating more sustainable both for the environment and the society; Drive financial performance via three interconnected levers under full management control: • further reducing the costs base of 2024, excluding the impact of new significant investments expected in Digital & Data and Business and the inflation; • generate organic capital2 growth thanks to higher profitability and capital low absorption model, to optimal capital allocation and active portfolio management driven by RoTE maximization (Return on Tangible Equity); • increase of revenues excluding LLPs to achieve a profitability above the cost of equity, mostly driven by fees and recovery of market share. Allow, through the new business model, a strong organic capital generation2 with materially increased and progressively growing shareholder distributions3 while maintaining or exceeding a robust CET1 ratio target of 12.5-13 per cent: • it is expected a Shareholder distribution3 of at least €16 billion total for 2021-2024, with yearly distributions being consistent with the organic capital generation2 of each relevant year; • from this perspective, it is expected in 2022 a distribution of €3.75 billion (related to 2021), consisting of a cash dividend of circa 30 per cent of underlying net profit4 with the balance composed of share buybacks; • based on plan assumptions, total distribution related to 2022 is expected to be in line or greater than 2021 and to progressively increase starting from 2023. The 2022 annual cash dividend is expected at 35 per cent of net profit5 and thereafter to be at least 35 per cent of net profit5 with the balance composed of share buybacks. In the second half of the year the new organizational structure announced on 12 May 2021 became fully operative, allowing the members of the Group Executive Committee to effectively have all the levels of the managerial structure available to guide their respective competence business areas, being fully responsible for the related performance. Therefore, at 31 December 2021, the performance and the results of the Group were measured and monitored based on the new business divisions. Consequently, applying IFRS8 accounting principle, the reporting by business sectors of the present Consolidated Report on Operations was drawn up accordingly with the new organization. For the changes in the organizational structure refer also to the paragraph “Other information on Group activities” of this Consolidated report on operations. All the managerial Team is focused on implementing the measures defined within the new Strategic Plan, aiming at the achievement of a sustainable long-term growth, which will happen through business relaunch and strengthening, with a client focus view; the Group’s strategy will pivot on digitalization and the valorization of economies of scale which are intrinsic to the Group’s banks; the later mentioned will be able to leverage on an uniform clients segmentation (currently in a development phase), on a harmonised service model, simplified processes and a unique organizational structure; the unification of technology and data platforms together with the consolidation of common principles will allow offering to the clients the best products and services. Moving on to the results of 2021, the Group managed to benefit from the macroeconomic and financial context characterised by the firsts clear signs of post pandemic recovery and achieved a net profit of €1,540 million, compared with the €2,785 million loss realised in 2020. 2 Organic capital generation means CET1r evolution deriving from (i) stated net profit excluding DTA from tax loss carry forward contribution and (ii) RWA dynamic net of regulatory headwind. 3 Shareholder distribution subject to supervisory & shareholder approvals and inorganic options. 4 Underlying net profit means Stated net profit adjusted for non-operating items. 5 Net profit means Stated net profit adjusted for AT1 coupons, Cashes cash-out and impacts from DTAs from tax loss carry forward sustainability test. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 93 Deliver economies of scale from our banks network, through a transformation of technology leveraging on Digital & Data and operating with a view towards sustainability: • achieve the full integration of our 13 banks; • empowering the local banks within clear risk and behavior framework, limiting the central steering to those activities where it actually adds value; • redesign operating model by re-insourcing the strategic competencies; • new way of working: centered around clients and common platforms; • adopting a new client oriented working model and based on common platforms; • equipping the Group with all necessary tools to support our clients and the communities in the transition towards a way of operating more sustainable both for the environment and the society; Drive financial performance via three interconnected levers under full management control: • further reducing the costs base of 2024, excluding the impact of new significant investments expected in Digital & Data and Business and the inflation; • generate organic capital2 growth thanks to higher profitability and capital low absorption model, to optimal capital allocation and active portfolio management driven by RoTE maximization (Return on Tangible Equity); • increase of revenues excluding LLPs to achieve a profitability above the cost of equity, mostly driven by fees and recovery of market share. Allow, through the new business model, a strong organic capital generation2 with materially increased and progressively growing shareholder distributions3 while maintaining or exceeding a robust CET1 ratio target of 12.5-13 per cent: • it is expected a Shareholder distribution3 of at least €16 billion total for 2021-2024, with yearly distributions being consistent with the organic capital generation2 of each relevant year; • from this perspective, it is expected in 2022 a distribution of €3.75 billion (related to 2021), consisting of a cash dividend of circa 30 per cent of underlying net profit4 with the balance composed of share buybacks; • based on plan assumptions, total distribution related to 2022 is expected to be in line or greater than 2021 and to progressively increase starting from 2023. The 2022 annual cash dividend is expected at 35 per cent of net profit5 and thereafter to be at least 35 per cent of net profit5 with the balance composed of share buybacks. In the second half of the year the new organizational structure announced on 12 May 2021 became fully operative, allowing the members of the Group Executive Committee to effectively have all the levels of the managerial structure available to guide their respective competence business areas, being fully responsible for the related performance. Therefore, at 31 December 2021, the performance and the results of the Group were measured and monitored based on the new business divisions. Consequently, applying IFRS8 accounting principle, the reporting by business sectors of the present Consolidated Report on Operations was drawn up accordingly with the new organization. For the changes in the organizational structure refer also to the paragraph “Other information on Group activities” of this Consolidated report on operations. All the managerial Team is focused on implementing the measures defined within the new Strategic Plan, aiming at the achievement of a sustainable long-term growth, which will happen through business relaunch and strengthening, with a client focus view; the Group’s strategy will pivot on digitalization and the valorization of economies of scale which are intrinsic to the Group’s banks; the later mentioned will be able to leverage on an uniform clients segmentation (currently in a development phase), on a harmonised service model, simplified processes and a unique organizational structure; the unification of technology and data platforms together with the consolidation of common principles will allow offering to the clients the best products and services. Moving on to the results of 2021, the Group managed to benefit from the macroeconomic and financial context characterised by the firsts clear signs of post pandemic recovery and achieved a net profit of €1,540 million, compared with the €2,785 million loss realised in 2020. 2 Organic capital generation means CET1r evolution deriving from (i) stated net profit excluding DTA from tax loss carry forward contribution and (ii) RWA dynamic net of regulatory headwind. 3 Shareholder distribution subject to supervisory & shareholder approvals and inorganic options. 4 Underlying net profit means Stated net profit adjusted for non-operating items. 5 Net profit means Stated net profit adjusted for AT1 coupons, Cashes cash-out and impacts from DTAs from tax loss carry forward sustainability test. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 93 Deliver economies of scale from our banks network, through a transformation of technology leveraging on Digital & Data and operating with a view towards sustainability: • achieve the full integration of our 13 banks; • empowering the local banks within clear risk and behavior framework, limiting the central steering to those activities where it actually adds value; • redesign operating model by re-insourcing the strategic competencies; • new way of working: centered around clients and common platforms; • adopting a new client oriented working model and based on common platforms; • equipping the Group with all necessary tools to support our clients and the communities in the transition towards a way of operating more sustainable both for the environment and the society; Drive financial performance via three interconnected levers under full management control: • further reducing the costs base of 2024, excluding the impact of new significant investments expected in Digital & Data and Business and the inflation; • generate organic capital2 growth thanks to higher profitability and capital low absorption model, to optimal capital allocation and active portfolio management driven by RoTE maximization (Return on Tangible Equity); • increase of revenues excluding LLPs to achieve a profitability above the cost of equity, mostly driven by fees and recovery of market share. Allow, through the new business model, a strong organic capital generation2 with materially increased and progressively growing shareholder distributions3 while maintaining or exceeding a robust CET1 ratio target of 12.5-13 per cent: • it is expected a Shareholder distribution3 of at least €16 billion total for 2021-2024, with yearly distributions being consistent with the organic capital generation2 of each relevant year; • from this perspective, it is expected in 2022 a distribution of €3.75 billion (related to 2021), consisting of a cash dividend of circa 30 per cent of underlying net profit4 with the balance composed of share buybacks; • based on plan assumptions, total distribution related to 2022 is expected to be in line or greater than 2021 and to progressively increase starting from 2023. The 2022 annual cash dividend is expected at 35 per cent of net profit5 and thereafter to be at least 35 per cent of net profit5 with the balance composed of share buybacks. In the second half of the year the new organizational structure announced on 12 May 2021 became fully operative, allowing the members of the Group Executive Committee to effectively have all the levels of the managerial structure available to guide their respective competence business areas, being fully responsible for the related performance. Therefore, at 31 December 2021, the performance and the results of the Group were measured and monitored based on the new business divisions. Consequently, applying IFRS8 accounting principle, the reporting by business sectors of the present Consolidated Report on Operations was drawn up accordingly with the new organization. For the changes in the organizational structure refer also to the paragraph “Other information on Group activities” of this Consolidated report on operations. All the managerial Team is focused on implementing the measures defined within the new Strategic Plan, aiming at the achievement of a sustainable long-term growth, which will happen through business relaunch and strengthening, with a client focus view; the Group’s strategy will pivot on digitalization and the valorization of economies of scale which are intrinsic to the Group’s banks; the later mentioned will be able to leverage on an uniform clients segmentation (currently in a development phase), on a harmonised service model, simplified processes and a unique organizational structure; the unification of technology and data platforms together with the consolidation of common principles will allow offering to the clients the best products and services. Moving on to the results of 2021, the Group managed to benefit from the macroeconomic and financial context characterised by the firsts clear signs of post pandemic recovery and achieved a net profit of €1,540 million, compared with the €2,785 million loss realised in 2020. 2 Organic capital generation means CET1r evolution deriving from (i) stated net profit excluding DTA from tax loss carry forward contribution and (ii) RWA dynamic net of regulatory headwind. 3 Shareholder distribution subject to supervisory & shareholder approvals and inorganic options. 4 Underlying net profit means Stated net profit adjusted for non-operating items. 5 Net profit means Stated net profit adjusted for AT1 coupons, Cashes cash-out and impacts from DTAs from tax loss carry forward sustainability test. Consolidated report on operations Group results 94 2021 Annual Report and Accounts · UniCredit The net profit of the Group was negatively impacted by the accounting of some non-recurring items amounting, net of taxes and minority interest, to a negative amount of €2,361 million; particularly were recorded: - with negative impact the following main impacts: • €1,644 million related to the sale on the market of 2% of the participation in Yapi Ve Kredi Bankasi A.S. and to the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi also considering the FX hedging effects. The 18% stake, classified as a financial instrument mandatory at fair value, will be sold to Koç Holding A.S. "Koç" which has confirmed to UniCredit the irrevocable decision to exercise the right of first offer pursuant to the agreement signed in 2019 between UniCredit and Koç. The completion of the sale of the 18% stake to Koç is subject to obtaining any applicable regulatory approvals in the relevant jurisdictions and is expected to occur in the first quarter of 2022; • €554 million related to classification under disposal of the leasing legal entities in Italy, Germany and Slovenia; • €370 million from additional loan loss provisions following the update of the internal calculation models derived from the implementation of the European regulation; • €735 million for severances in Italy, Germany and Austria; • €221 million for other integration costs. - with positive impact, €1,164 million related to the recognition with reference to the Italian fiscal perimeter of new Deferred Tax Assets (DTA) from tax loss carry forward derived from the update of the sustainability test also on the base of the new Strategic Plan projection. Net of the non-recurring items, in 2021, the Group recorded an underlying net profit of €3,900 million, compared with €1,264 million of underlying net profit of 2020. This trend was positively impacted by the higher revenues as well as the lower Loan Loss Provisions, which were significantly higher in 2020 also in relation to the overlay provisions connected with the emerging of the Covid-19 pandemic crisis. Operating income In 2021 Group’s revenues were €17,954 million, increasing by 4.8% compared to 2020 (up by 4.8% at constant exchange rates). The increase, sustained mainly by higher Commissions and Trading Profit, reflects a gradually improving macroeconomic context, compared to a 2020 particularly impacted, especially in the first half, by the financial-economic consequences related to the pandemic and by the consequent lockdown initiatives. Net interest was equal to €9,060 million, decreasing by 4.0% compared to last year (down by 3.8% at constant exchange rates). During 2021 net interest continued to be characterised by a drop of the interest income on lending to customers, especially visible in Italy, in Eastern Europe countries and in Germany. In particular, Italy customer income rates were influenced both by an overall rebalancing of portfolio with a decrease of the short-term products characterised by rates on average higher and by the effect of the continuation of granting state guaranteed loans; the latter, positively contributing to the reduction of the risk profile of the loan portfolio, generally involve more favorable customer rates versus the ordinary ones. The loan spreads have been negatively affected by the situation, with the decrease of customer loans interest rates being only partially mitigated by the decrease of deposit interest rates. In the fourth quarter of the year the interest margin trend benefited in Germany, from positive non-recurring tax related items, while in the main countries of Eastern Europe, in Czech Republic and Hungary the increase of the market rates, dictated by the inflation pressure and by the increase of the local reference rates, generated an adjustment to the increase transferred in the lending rates to customers. Customer loans volumes recorded a decrease of €13.0 billion, or down by 2.9%, dropping from €450.5 billion as at 31 December 2020 to €437.5 billion as at 31 December 2021. This decrease was generated by the repurchase agreements dynamic which recorded a decrease of €17.5 billion, while the Non Core component recorded a €0.6 billion reduction; with reference to the latter, the strategic initiatives undertaken during the year led to the achievement of the objective of a complete run-off by the end of 2021, in line with the expectations. The customer loans excluding the repos component, showed in 2021 an increase of €4.5 billion, or up by 1.1% compared to last year (0.8% at constant exchange rates) sustained by the positive trend of the medium long-term components; this dynamic was impacted as at 31 December 2021 by the reclassifications to activities under disposal of the Leasing portfolios equal to €11.5 billion (approximately €9.6 billion in Italy and approximately €1.9 billion in Germany). Considering that the reclassified Leasing portfolios amounted to €12.9 billion as of 31 December 2020, excluding these Leasing portfolios and the repos component, the customer loans stock increased by €17.4 billion versus 2020. The increase of customer loans excluding repos was sustained by Central Europe, with volumes up by €8.0 billion (up by 9.5% or by +8.4% at constant exchange rates), thanks to the increase of €5.7 billion in Austria (up by 9.4%) and of €1.8 billion in Czech Republic (up by 10.3% or by 4.7% at constant exchange rates); also Germany had a positive contribution with an increase of €4.7 billion (€7.4 billion excluding the reclassified Leasing portfolio) up by 3.9%, while Eastern Europe registered an increase of €2.8 billion, up by 7.5% or by +6.2% at constant exchange rates. Amongst the countries of Eastern Europe the increases in Russia (up by 11.5% or by +3.9% at constant exchange rates), in Romania (up by 13.3% Consolidated report on operations Group results 94 2021 Annual Report and Accounts · UniCredit The net profit of the Group was negatively impacted by the accounting of some non-recurring items amounting, net of taxes and minority interest, to a negative amount of €2,361 million; particularly were recorded: - with negative impact the following main impacts: • €1,644 million related to the sale on the market of 2% of the participation in Yapi Ve Kredi Bankasi A.S. and to the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi also considering the FX hedging effects. The 18% stake, classified as a financial instrument mandatory at fair value, will be sold to Koç Holding A.S. "Koç" which has confirmed to UniCredit the irrevocable decision to exercise the right of first offer pursuant to the agreement signed in 2019 between UniCredit and Koç. The completion of the sale of the 18% stake to Koç is subject to obtaining any applicable regulatory approvals in the relevant jurisdictions and is expected to occur in the first quarter of 2022; • €554 million related to classification under disposal of the leasing legal entities in Italy, Germany and Slovenia; • €370 million from additional loan loss provisions following the update of the internal calculation models derived from the implementation of the European regulation; • €735 million for severances in Italy, Germany and Austria; • €221 million for other integration costs. - with positive impact, €1,164 million related to the recognition with reference to the Italian fiscal perimeter of new Deferred Tax Assets (DTA) from tax loss carry forward derived from the update of the sustainability test also on the base of the new Strategic Plan projection. Net of the non-recurring items, in 2021, the Group recorded an underlying net profit of €3,900 million, compared with €1,264 million of underlying net profit of 2020. This trend was positively impacted by the higher revenues as well as the lower Loan Loss Provisions, which were significantly higher in 2020 also in relation to the overlay provisions connected with the emerging of the Covid-19 pandemic crisis. Operating income In 2021 Group’s revenues were €17,954 million, increasing by 4.8% compared to 2020 (up by 4.8% at constant exchange rates). The increase, sustained mainly by higher Commissions and Trading Profit, reflects a gradually improving macroeconomic context, compared to a 2020 particularly impacted, especially in the first half, by the financial-economic consequences related to the pandemic and by the consequent lockdown initiatives. Net interest was equal to €9,060 million, decreasing by 4.0% compared to last year (down by 3.8% at constant exchange rates). During 2021 net interest continued to be characterised by a drop of the interest income on lending to customers, especially visible in Italy, in Eastern Europe countries and in Germany. In particular, Italy customer income rates were influenced both by an overall rebalancing of portfolio with a decrease of the short-term products characterised by rates on average higher and by the effect of the continuation of granting state guaranteed loans; the latter, positively contributing to the reduction of the risk profile of the loan portfolio, generally involve more favorable customer rates versus the ordinary ones. The loan spreads have been negatively affected by the situation, with the decrease of customer loans interest rates being only partially mitigated by the decrease of deposit interest rates. In the fourth quarter of the year the interest margin trend benefited in Germany, from positive non-recurring tax related items, while in the main countries of Eastern Europe, in Czech Republic and Hungary the increase of the market rates, dictated by the inflation pressure and by the increase of the local reference rates, generated an adjustment to the increase transferred in the lending rates to customers. Customer loans volumes recorded a decrease of €13.0 billion, or down by 2.9%, dropping from €450.5 billion as at 31 December 2020 to €437.5 billion as at 31 December 2021. This decrease was generated by the repurchase agreements dynamic which recorded a decrease of €17.5 billion, while the Non Core component recorded a €0.6 billion reduction; with reference to the latter, the strategic initiatives undertaken during the year led to the achievement of the objective of a complete run-off by the end of 2021, in line with the expectations. The customer loans excluding the repos component, showed in 2021 an increase of €4.5 billion, or up by 1.1% compared to last year (0.8% at constant exchange rates) sustained by the positive trend of the medium long-term components; this dynamic was impacted as at 31 December 2021 by the reclassifications to activities under disposal of the Leasing portfolios equal to €11.5 billion (approximately €9.6 billion in Italy and approximately €1.9 billion in Germany). Considering that the reclassified Leasing portfolios amounted to €12.9 billion as of 31 December 2020, excluding these Leasing portfolios and the repos component, the customer loans stock increased by €17.4 billion versus 2020. The increase of customer loans excluding repos was sustained by Central Europe, with volumes up by €8.0 billion (up by 9.5% or by +8.4% at constant exchange rates), thanks to the increase of €5.7 billion in Austria (up by 9.4%) and of €1.8 billion in Czech Republic (up by 10.3% or by 4.7% at constant exchange rates); also Germany had a positive contribution with an increase of €4.7 billion (€7.4 billion excluding the reclassified Leasing portfolio) up by 3.9%, while Eastern Europe registered an increase of €2.8 billion, up by 7.5% or by +6.2% at constant exchange rates. Amongst the countries of Eastern Europe the increases in Russia (up by 11.5% or by +3.9% at constant exchange rates), in Romania (up by 13.3% Consolidated report on operations Group results 94 2021 Annual Report and Accounts · UniCredit The net profit of the Group was negatively impacted by the accounting of some non-recurring items amounting, net of taxes and minority interest, to a negative amount of €2,361 million; particularly were recorded: - with negative impact the following main impacts: • €1,644 million related to the sale on the market of 2% of the participation in Yapi Ve Kredi Bankasi A.S. and to the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi also considering the FX hedging effects. The 18% stake, classified as a financial instrument mandatory at fair value, will be sold to Koç Holding A.S. "Koç" which has confirmed to UniCredit the irrevocable decision to exercise the right of first offer pursuant to the agreement signed in 2019 between UniCredit and Koç. The completion of the sale of the 18% stake to Koç is subject to obtaining any applicable regulatory approvals in the relevant jurisdictions and is expected to occur in the first quarter of 2022; • €554 million related to classification under disposal of the leasing legal entities in Italy, Germany and Slovenia; • €370 million from additional loan loss provisions following the update of the internal calculation models derived from the implementation of the European regulation; • €735 million for severances in Italy, Germany and Austria; • €221 million for other integration costs. - with positive impact, €1,164 million related to the recognition with reference to the Italian fiscal perimeter of new Deferred Tax Assets (DTA) from tax loss carry forward derived from the update of the sustainability test also on the base of the new Strategic Plan projection. Net of the non-recurring items, in 2021, the Group recorded an underlying net profit of €3,900 million, compared with €1,264 million of underlying net profit of 2020. This trend was positively impacted by the higher revenues as well as the lower Loan Loss Provisions, which were significantly higher in 2020 also in relation to the overlay provisions connected with the emerging of the Covid-19 pandemic crisis. Operating income In 2021 Group’s revenues were €17,954 million, increasing by 4.8% compared to 2020 (up by 4.8% at constant exchange rates). The increase, sustained mainly by higher Commissions and Trading Profit, reflects a gradually improving macroeconomic context, compared to a 2020 particularly impacted, especially in the first half, by the financial-economic consequences related to the pandemic and by the consequent lockdown initiatives. Net interest was equal to €9,060 million, decreasing by 4.0% compared to last year (down by 3.8% at constant exchange rates). During 2021 net interest continued to be characterised by a drop of the interest income on lending to customers, especially visible in Italy, in Eastern Europe countries and in Germany. In particular, Italy customer income rates were influenced both by an overall rebalancing of portfolio with a decrease of the short-term products characterised by rates on average higher and by the effect of the continuation of granting state guaranteed loans; the latter, positively contributing to the reduction of the risk profile of the loan portfolio, generally involve more favorable customer rates versus the ordinary ones. The loan spreads have been negatively affected by the situation, with the decrease of customer loans interest rates being only partially mitigated by the decrease of deposit interest rates. In the fourth quarter of the year the interest margin trend benefited in Germany, from positive non-recurring tax related items, while in the main countries of Eastern Europe, in Czech Republic and Hungary the increase of the market rates, dictated by the inflation pressure and by the increase of the local reference rates, generated an adjustment to the increase transferred in the lending rates to customers. Customer loans volumes recorded a decrease of €13.0 billion, or down by 2.9%, dropping from €450.5 billion as at 31 December 2020 to €437.5 billion as at 31 December 2021. This decrease was generated by the repurchase agreements dynamic which recorded a decrease of €17.5 billion, while the Non Core component recorded a €0.6 billion reduction; with reference to the latter, the strategic initiatives undertaken during the year led to the achievement of the objective of a complete run-off by the end of 2021, in line with the expectations. The customer loans excluding the repos component, showed in 2021 an increase of €4.5 billion, or up by 1.1% compared to last year (0.8% at constant exchange rates) sustained by the positive trend of the medium long-term components; this dynamic was impacted as at 31 December 2021 by the reclassifications to activities under disposal of the Leasing portfolios equal to €11.5 billion (approximately €9.6 billion in Italy and approximately €1.9 billion in Germany). Considering that the reclassified Leasing portfolios amounted to €12.9 billion as of 31 December 2020, excluding these Leasing portfolios and the repos component, the customer loans stock increased by €17.4 billion versus 2020. The increase of customer loans excluding repos was sustained by Central Europe, with volumes up by €8.0 billion (up by 9.5% or by +8.4% at constant exchange rates), thanks to the increase of €5.7 billion in Austria (up by 9.4%) and of €1.8 billion in Czech Republic (up by 10.3% or by 4.7% at constant exchange rates); also Germany had a positive contribution with an increase of €4.7 billion (€7.4 billion excluding the reclassified Leasing portfolio) up by 3.9%, while Eastern Europe registered an increase of €2.8 billion, up by 7.5% or by +6.2% at constant exchange rates. Amongst the countries of Eastern Europe the increases in Russia (up by 11.5% or by +3.9% at constant exchange rates), in Romania (up by 13.3% Consolidated report on operations Group results 94 2021 Annual Report and Accounts · UniCredit The net profit of the Group was negatively impacted by the accounting of some non-recurring items amounting, net of taxes and minority interest, to a negative amount of €2,361 million; particularly were recorded: - with negative impact the following main impacts: • €1,644 million related to the sale on the market of 2% of the participation in Yapi Ve Kredi Bankasi A.S. and to the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi also considering the FX hedging effects. The 18% stake, classified as a financial instrument mandatory at fair value, will be sold to Koç Holding A.S. "Koç" which has confirmed to UniCredit the irrevocable decision to exercise the right of first offer pursuant to the agreement signed in 2019 between UniCredit and Koç. The completion of the sale of the 18% stake to Koç is subject to obtaining any applicable regulatory approvals in the relevant jurisdictions and is expected to occur in the first quarter of 2022; • €554 million related to classification under disposal of the leasing legal entities in Italy, Germany and Slovenia; • €370 million from additional loan loss provisions following the update of the internal calculation models derived from the implementation of the European regulation; • €735 million for severances in Italy, Germany and Austria; • €221 million for other integration costs. - with positive impact, €1,164 million related to the recognition with reference to the Italian fiscal perimeter of new Deferred Tax Assets (DTA) from tax loss carry forward derived from the update of the sustainability test also on the base of the new Strategic Plan projection. Net of the non-recurring items, in 2021, the Group recorded an underlying net profit of €3,900 million, compared with €1,264 million of underlying net profit of 2020. This trend was positively impacted by the higher revenues as well as the lower Loan Loss Provisions, which were significantly higher in 2020 also in relation to the overlay provisions connected with the emerging of the Covid-19 pandemic crisis. Operating income In 2021 Group’s revenues were €17,954 million, increasing by 4.8% compared to 2020 (up by 4.8% at constant exchange rates). The increase, sustained mainly by higher Commissions and Trading Profit, reflects a gradually improving macroeconomic context, compared to a 2020 particularly impacted, especially in the first half, by the financial-economic consequences related to the pandemic and by the consequent lockdown initiatives. Net interest was equal to €9,060 million, decreasing by 4.0% compared to last year (down by 3.8% at constant exchange rates). During 2021 net interest continued to be characterised by a drop of the interest income on lending to customers, especially visible in Italy, in Eastern Europe countries and in Germany. In particular, Italy customer income rates were influenced both by an overall rebalancing of portfolio with a decrease of the short-term products characterised by rates on average higher and by the effect of the continuation of granting state guaranteed loans; the latter, positively contributing to the reduction of the risk profile of the loan portfolio, generally involve more favorable customer rates versus the ordinary ones. The loan spreads have been negatively affected by the situation, with the decrease of customer loans interest rates being only partially mitigated by the decrease of deposit interest rates. In the fourth quarter of the year the interest margin trend benefited in Germany, from positive non-recurring tax related items, while in the main countries of Eastern Europe, in Czech Republic and Hungary the increase of the market rates, dictated by the inflation pressure and by the increase of the local reference rates, generated an adjustment to the increase transferred in the lending rates to customers. Customer loans volumes recorded a decrease of €13.0 billion, or down by 2.9%, dropping from €450.5 billion as at 31 December 2020 to €437.5 billion as at 31 December 2021. This decrease was generated by the repurchase agreements dynamic which recorded a decrease of €17.5 billion, while the Non Core component recorded a €0.6 billion reduction; with reference to the latter, the strategic initiatives undertaken during the year led to the achievement of the objective of a complete run-off by the end of 2021, in line with the expectations. The customer loans excluding the repos component, showed in 2021 an increase of €4.5 billion, or up by 1.1% compared to last year (0.8% at constant exchange rates) sustained by the positive trend of the medium long-term components; this dynamic was impacted as at 31 December 2021 by the reclassifications to activities under disposal of the Leasing portfolios equal to €11.5 billion (approximately €9.6 billion in Italy and approximately €1.9 billion in Germany). Considering that the reclassified Leasing portfolios amounted to €12.9 billion as of 31 December 2020, excluding these Leasing portfolios and the repos component, the customer loans stock increased by €17.4 billion versus 2020. The increase of customer loans excluding repos was sustained by Central Europe, with volumes up by €8.0 billion (up by 9.5% or by +8.4% at constant exchange rates), thanks to the increase of €5.7 billion in Austria (up by 9.4%) and of €1.8 billion in Czech Republic (up by 10.3% or by 4.7% at constant exchange rates); also Germany had a positive contribution with an increase of €4.7 billion (€7.4 billion excluding the reclassified Leasing portfolio) up by 3.9%, while Eastern Europe registered an increase of €2.8 billion, up by 7.5% or by +6.2% at constant exchange rates. Amongst the countries of Eastern Europe the increases in Russia (up by 11.5% or by +3.9% at constant exchange rates), in Romania (up by 13.3% Consolidated report on operations Group results 94 2021 Annual Report and Accounts · UniCredit The net profit of the Group was negatively impacted by the accounting of some non-recurring items amounting, net of taxes and minority interest, to a negative amount of €2,361 million; particularly were recorded: - with negative impact the following main impacts: • €1,644 million related to the sale on the market of 2% of the participation in Yapi Ve Kredi Bankasi A.S. and to the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi also considering the FX hedging effects. The 18% stake, classified as a financial instrument mandatory at fair value, will be sold to Koç Holding A.S. "Koç" which has confirmed to UniCredit the irrevocable decision to exercise the right of first offer pursuant to the agreement signed in 2019 between UniCredit and Koç. The completion of the sale of the 18% stake to Koç is subject to obtaining any applicable regulatory approvals in the relevant jurisdictions and is expected to occur in the first quarter of 2022; • €554 million related to classification under disposal of the leasing legal entities in Italy, Germany and Slovenia; • €370 million from additional loan loss provisions following the update of the internal calculation models derived from the implementation of the European regulation; • €735 million for severances in Italy, Germany and Austria; • €221 million for other integration costs. - with positive impact, €1,164 million related to the recognition with reference to the Italian fiscal perimeter of new Deferred Tax Assets (DTA) from tax loss carry forward derived from the update of the sustainability test also on the base of the new Strategic Plan projection. Net of the non-recurring items, in 2021, the Group recorded an underlying net profit of €3,900 million, compared with €1,264 million of underlying net profit of 2020. This trend was positively impacted by the higher revenues as well as the lower Loan Loss Provisions, which were significantly higher in 2020 also in relation to the overlay provisions connected with the emerging of the Covid-19 pandemic crisis. Operating income In 2021 Group’s revenues were €17,954 million, increasing by 4.8% compared to 2020 (up by 4.8% at constant exchange rates). The increase, sustained mainly by higher Commissions and Trading Profit, reflects a gradually improving macroeconomic context, compared to a 2020 particularly impacted, especially in the first half, by the financial-economic consequences related to the pandemic and by the consequent lockdown initiatives. Net interest was equal to €9,060 million, decreasing by 4.0% compared to last year (down by 3.8% at constant exchange rates). During 2021 net interest continued to be characterised by a drop of the interest income on lending to customers, especially visible in Italy, in Eastern Europe countries and in Germany. In particular, Italy customer income rates were influenced both by an overall rebalancing of portfolio with a decrease of the short-term products characterised by rates on average higher and by the effect of the continuation of granting state guaranteed loans; the latter, positively contributing to the reduction of the risk profile of the loan portfolio, generally involve more favorable customer rates versus the ordinary ones. The loan spreads have been negatively affected by the situation, with the decrease of customer loans interest rates being only partially mitigated by the decrease of deposit interest rates. In the fourth quarter of the year the interest margin trend benefited in Germany, from positive non-recurring tax related items, while in the main countries of Eastern Europe, in Czech Republic and Hungary the increase of the market rates, dictated by the inflation pressure and by the increase of the local reference rates, generated an adjustment to the increase transferred in the lending rates to customers. Customer loans volumes recorded a decrease of €13.0 billion, or down by 2.9%, dropping from €450.5 billion as at 31 December 2020 to €437.5 billion as at 31 December 2021. This decrease was generated by the repurchase agreements dynamic which recorded a decrease of €17.5 billion, while the Non Core component recorded a €0.6 billion reduction; with reference to the latter, the strategic initiatives undertaken during the year led to the achievement of the objective of a complete run-off by the end of 2021, in line with the expectations. The customer loans excluding the repos component, showed in 2021 an increase of €4.5 billion, or up by 1.1% compared to last year (0.8% at constant exchange rates) sustained by the positive trend of the medium long-term components; this dynamic was impacted as at 31 December 2021 by the reclassifications to activities under disposal of the Leasing portfolios equal to €11.5 billion (approximately €9.6 billion in Italy and approximately €1.9 billion in Germany). Considering that the reclassified Leasing portfolios amounted to €12.9 billion as of 31 December 2020, excluding these Leasing portfolios and the repos component, the customer loans stock increased by €17.4 billion versus 2020. The increase of customer loans excluding repos was sustained by Central Europe, with volumes up by €8.0 billion (up by 9.5% or by +8.4% at constant exchange rates), thanks to the increase of €5.7 billion in Austria (up by 9.4%) and of €1.8 billion in Czech Republic (up by 10.3% or by 4.7% at constant exchange rates); also Germany had a positive contribution with an increase of €4.7 billion (€7.4 billion excluding the reclassified Leasing portfolio) up by 3.9%, while Eastern Europe registered an increase of €2.8 billion, up by 7.5% or by +6.2% at constant exchange rates. Amongst the countries of Eastern Europe the increases in Russia (up by 11.5% or by +3.9% at constant exchange rates), in Romania (up by 13.3% Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 95 or by +15.1% at constant exchange rates) and in Serbia (up by 10.6% or by +10.8% at constant exchange rates). are particularly noteworthy Italy, showing a decrease of €10.3 billion (down by 6.1%), is substantially stable year over year excluding the Leasing portfolio reclassified under assets held for sale. Deposits from customers, equal to €500.5 billion, have been growing by €2.1 billion, or up by 0.4% (up by 0.1% at constant exchange rates) compared to 2020. Net of repos, the Deposits from customers increased by 3.7% (up by 3.3% at constant exchange rates) compared to last year. In detail, deposits from customers net of repos increased in Italy (up by 4.5%), in Central Europe, up by 7.4% (or by 6.4% at constant exchange rates), with Austria up by 5.1%, Czech Republic up by 16.9% (or by 10.8% at constant exchange rates) and Hungary increasing with 7.3% (or by 8.9% at constant exchange rates). Eastern Europe showed an increase of 7.4% (or by 5.3% at constant exchange rates) with Croatia up by 9.7% (or by 9.2% at constant exchange rates), Romania up by 9.6% (or by 11.4% at constant exchange rates) and Serbia up by 19.0% (or by 19.2% at constant exchange rates). Contrarily in Germany the Deposits volumes showed a contraction of 1.7%. Dividends and other income from equity investments (which include the profits of the companies accounted at equity method) in 2021 amounted to €520 million, increasing by €105 million, or up by 25.2% (up by 25.2% at constant exchange rates) compared with 2020. The increase is mainly explained by the higher profitability of the Austrian banks in which we have participations (in particularly BKS Bank Ag, Oberbank Ag), by the participation in Yapi Ve Kredi Bankasi A.S. whose contribution to the aforementioned item ceased starting from November following the classification of this participation among activities under disposal, and to a lesser extent by the result of the Insurance companies in Italy. The net fees and commissions 2021 amounted to €6,692 million, increasing by 12.1% (up by 12.1% at constant exchange rates) compared to previous year; the positive trend reflects the sustained dynamic of the commercial activity in a macroeconomic context of recovery compared to a 2020 especially impacted by the lockdown periods, especially in the first half of the year. Particularly, the Investment services recorded an increase of €526 million, or up by 23.4% in comparison to 2020 (up by 23.4% at constant exchange rates), mainly thanks to the commission of placements for assets under management products, which showed a very strong increase compared to the prior year, benefitting al well from a more favorable market scenario. The commissions for transactional services show an increase as well, equal to €138 million (up by 6.5% compared to 2020; up by 6.5% at constant exchange rates), mainly driven by higher Debit and Credit cards commissions, Payments and Current Accounts fees. Also positive, the trend of Financing services component is increasing by €60 million, up by 3.7% compared to 2020 (up by 3.6% at constant exchange rates), sustained by loans related fees (thanks to Structure Finance activities, mainly in Germany), by Credit Protection Insurance fees (thanks to Italy) and by guarantees fees. In 2021 also the net trading income showed a strong increase compared to prior year (€226 million), moving from €1,412 million in 2020 to €1,638 million in the current year (up by 16.0%, or up 15.4% at constant exchange rate). The increase is mainly derived from XVA contribution and from client’s activity, negatively impacted in the first quarter of last year by the market trends in the Covid-19 pandemic crisis peak period. The final result is impacted as well by the positive contribution of fair value valuation of some shares and equity investments held in portfolio. Lastly, in 2021, the net other expenses/income were positive, in an amount of €45 million, compared with the negative results of €104 million in 2020. The upward dynamic (€149 million) benefited from the positive effects derived from updating the overall terms of the outsourcing agreement with SIA company, in relation to suppling some of the processing services in Italy, Austria and Germany, related to Card transactions and to the operation of POS and ATM terminals. Operating income (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Net interest 9,060 9,441 - 4.0% 2,406 + 6.0% Dividends and other income from equity investments 520 415 + 25.2% 114 - 32.9% Net fees and commissions 6,692 5,968 + 12.1% 1,680 + 1.8% Net trading income 1,638 1,412 + 16.0% 220 - 38.0% Net other expenses/income 45 (104) n.m. 16 n.m. Operating income 17,954 17,132 + 4.8% 4,436 + 0.0% Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 95 or by +15.1% at constant exchange rates) and in Serbia (up by 10.6% or by +10.8% at constant exchange rates). are particularly noteworthy Italy, showing a decrease of €10.3 billion (down by 6.1%), is substantially stable year over year excluding the Leasing portfolio reclassified under assets held for sale. Deposits from customers, equal to €500.5 billion, have been growing by €2.1 billion, or up by 0.4% (up by 0.1% at constant exchange rates) compared to 2020. Net of repos, the Deposits from customers increased by 3.7% (up by 3.3% at constant exchange rates) compared to last year. In detail, deposits from customers net of repos increased in Italy (up by 4.5%), in Central Europe, up by 7.4% (or by 6.4% at constant exchange rates), with Austria up by 5.1%, Czech Republic up by 16.9% (or by 10.8% at constant exchange rates) and Hungary increasing with 7.3% (or by 8.9% at constant exchange rates). Eastern Europe showed an increase of 7.4% (or by 5.3% at constant exchange rates) with Croatia up by 9.7% (or by 9.2% at constant exchange rates), Romania up by 9.6% (or by 11.4% at constant exchange rates) and Serbia up by 19.0% (or by 19.2% at constant exchange rates). Contrarily in Germany the Deposits volumes showed a contraction of 1.7%. Dividends and other income from equity investments (which include the profits of the companies accounted at equity method) in 2021 amounted to €520 million, increasing by €105 million, or up by 25.2% (up by 25.2% at constant exchange rates) compared with 2020. The increase is mainly explained by the higher profitability of the Austrian banks in which we have participations (in particularly BKS Bank Ag, Oberbank Ag), by the participation in Yapi Ve Kredi Bankasi A.S. whose contribution to the aforementioned item ceased starting from November following the classification of this participation among activities under disposal, and to a lesser extent by the result of the Insurance companies in Italy. The net fees and commissions 2021 amounted to €6,692 million, increasing by 12.1% (up by 12.1% at constant exchange rates) compared to previous year; the positive trend reflects the sustained dynamic of the commercial activity in a macroeconomic context of recovery compared to a 2020 especially impacted by the lockdown periods, especially in the first half of the year. Particularly, the Investment services recorded an increase of €526 million, or up by 23.4% in comparison to 2020 (up by 23.4% at constant exchange rates), mainly thanks to the commission of placements for assets under management products, which showed a very strong increase compared to the prior year, benefitting al well from a more favorable market scenario. The commissions for transactional services show an increase as well, equal to €138 million (up by 6.5% compared to 2020; up by 6.5% at constant exchange rates), mainly driven by higher Debit and Credit cards commissions, Payments and Current Accounts fees. Also positive, the trend of Financing services component is increasing by €60 million, up by 3.7% compared to 2020 (up by 3.6% at constant exchange rates), sustained by loans related fees (thanks to Structure Finance activities, mainly in Germany), by Credit Protection Insurance fees (thanks to Italy) and by guarantees fees. In 2021 also the net trading income showed a strong increase compared to prior year (€226 million), moving from €1,412 million in 2020 to €1,638 million in the current year (up by 16.0%, or up 15.4% at constant exchange rate). The increase is mainly derived from XVA contribution and from client’s activity, negatively impacted in the first quarter of last year by the market trends in the Covid-19 pandemic crisis peak period. The final result is impacted as well by the positive contribution of fair value valuation of some shares and equity investments held in portfolio. Lastly, in 2021, the net other expenses/income were positive, in an amount of €45 million, compared with the negative results of €104 million in 2020. The upward dynamic (€149 million) benefited from the positive effects derived from updating the overall terms of the outsourcing agreement with SIA company, in relation to suppling some of the processing services in Italy, Austria and Germany, related to Card transactions and to the operation of POS and ATM terminals. Operating income (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Net interest 9,060 9,441 - 4.0% 2,406 + 6.0% Dividends and other income from equity investments 520 415 + 25.2% 114 - 32.9% Net fees and commissions 6,692 5,968 + 12.1% 1,680 + 1.8% Net trading income 1,638 1,412 + 16.0% 220 - 38.0% Net other expenses/income 45 (104) n.m. 16 n.m. Operating income 17,954 17,132 + 4.8% 4,436 + 0.0% Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 95 or by +15.1% at constant exchange rates) and in Serbia (up by 10.6% or by +10.8% at constant exchange rates). are particularly noteworthy Italy, showing a decrease of €10.3 billion (down by 6.1%), is substantially stable year over year excluding the Leasing portfolio reclassified under assets held for sale. Deposits from customers, equal to €500.5 billion, have been growing by €2.1 billion, or up by 0.4% (up by 0.1% at constant exchange rates) compared to 2020. Net of repos, the Deposits from customers increased by 3.7% (up by 3.3% at constant exchange rates) compared to last year. In detail, deposits from customers net of repos increased in Italy (up by 4.5%), in Central Europe, up by 7.4% (or by 6.4% at constant exchange rates), with Austria up by 5.1%, Czech Republic up by 16.9% (or by 10.8% at constant exchange rates) and Hungary increasing with 7.3% (or by 8.9% at constant exchange rates). Eastern Europe showed an increase of 7.4% (or by 5.3% at constant exchange rates) with Croatia up by 9.7% (or by 9.2% at constant exchange rates), Romania up by 9.6% (or by 11.4% at constant exchange rates) and Serbia up by 19.0% (or by 19.2% at constant exchange rates). Contrarily in Germany the Deposits volumes showed a contraction of 1.7%. Dividends and other income from equity investments (which include the profits of the companies accounted at equity method) in 2021 amounted to €520 million, increasing by €105 million, or up by 25.2% (up by 25.2% at constant exchange rates) compared with 2020. The increase is mainly explained by the higher profitability of the Austrian banks in which we have participations (in particularly BKS Bank Ag, Oberbank Ag), by the participation in Yapi Ve Kredi Bankasi A.S. whose contribution to the aforementioned item ceased starting from November following the classification of this participation among activities under disposal, and to a lesser extent by the result of the Insurance companies in Italy. The net fees and commissions 2021 amounted to €6,692 million, increasing by 12.1% (up by 12.1% at constant exchange rates) compared to previous year; the positive trend reflects the sustained dynamic of the commercial activity in a macroeconomic context of recovery compared to a 2020 especially impacted by the lockdown periods, especially in the first half of the year. Particularly, the Investment services recorded an increase of €526 million, or up by 23.4% in comparison to 2020 (up by 23.4% at constant exchange rates), mainly thanks to the commission of placements for assets under management products, which showed a very strong increase compared to the prior year, benefitting al well from a more favorable market scenario. The commissions for transactional services show an increase as well, equal to €138 million (up by 6.5% compared to 2020; up by 6.5% at constant exchange rates), mainly driven by higher Debit and Credit cards commissions, Payments and Current Accounts fees. Also positive, the trend of Financing services component is increasing by €60 million, up by 3.7% compared to 2020 (up by 3.6% at constant exchange rates), sustained by loans related fees (thanks to Structure Finance activities, mainly in Germany), by Credit Protection Insurance fees (thanks to Italy) and by guarantees fees. In 2021 also the net trading income showed a strong increase compared to prior year (€226 million), moving from €1,412 million in 2020 to €1,638 million in the current year (up by 16.0%, or up 15.4% at constant exchange rate). The increase is mainly derived from XVA contribution and from client’s activity, negatively impacted in the first quarter of last year by the market trends in the Covid-19 pandemic crisis peak period. The final result is impacted as well by the positive contribution of fair value valuation of some shares and equity investments held in portfolio. Lastly, in 2021, the net other expenses/income were positive, in an amount of €45 million, compared with the negative results of €104 million in 2020. The upward dynamic (€149 million) benefited from the positive effects derived from updating the overall terms of the outsourcing agreement with SIA company, in relation to suppling some of the processing services in Italy, Austria and Germany, related to Card transactions and to the operation of POS and ATM terminals. Operating income (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Net interest 9,060 9,441 - 4.0% 2,406 + 6.0% Dividends and other income from equity investments 520 415 + 25.2% 114 - 32.9% Net fees and commissions 6,692 5,968 + 12.1% 1,680 + 1.8% Net trading income 1,638 1,412 + 16.0% 220 - 38.0% Net other expenses/income 45 (104) n.m. 16 n.m. Operating income 17,954 17,132 + 4.8% 4,436 + 0.0% Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 95 or by +15.1% at constant exchange rates) and in Serbia (up by 10.6% or by +10.8% at constant exchange rates). are particularly noteworthy Italy, showing a decrease of €10.3 billion (down by 6.1%), is substantially stable year over year excluding the Leasing portfolio reclassified under assets held for sale. Deposits from customers, equal to €500.5 billion, have been growing by €2.1 billion, or up by 0.4% (up by 0.1% at constant exchange rates) compared to 2020. Net of repos, the Deposits from customers increased by 3.7% (up by 3.3% at constant exchange rates) compared to last year. In detail, deposits from customers net of repos increased in Italy (up by 4.5%), in Central Europe, up by 7.4% (or by 6.4% at constant exchange rates), with Austria up by 5.1%, Czech Republic up by 16.9% (or by 10.8% at constant exchange rates) and Hungary increasing with 7.3% (or by 8.9% at constant exchange rates). Eastern Europe showed an increase of 7.4% (or by 5.3% at constant exchange rates) with Croatia up by 9.7% (or by 9.2% at constant exchange rates), Romania up by 9.6% (or by 11.4% at constant exchange rates) and Serbia up by 19.0% (or by 19.2% at constant exchange rates). Contrarily in Germany the Deposits volumes showed a contraction of 1.7%. Dividends and other income from equity investments (which include the profits of the companies accounted at equity method) in 2021 amounted to €520 million, increasing by €105 million, or up by 25.2% (up by 25.2% at constant exchange rates) compared with 2020. The increase is mainly explained by the higher profitability of the Austrian banks in which we have participations (in particularly BKS Bank Ag, Oberbank Ag), by the participation in Yapi Ve Kredi Bankasi A.S. whose contribution to the aforementioned item ceased starting from November following the classification of this participation among activities under disposal, and to a lesser extent by the result of the Insurance companies in Italy. The net fees and commissions 2021 amounted to €6,692 million, increasing by 12.1% (up by 12.1% at constant exchange rates) compared to previous year; the positive trend reflects the sustained dynamic of the commercial activity in a macroeconomic context of recovery compared to a 2020 especially impacted by the lockdown periods, especially in the first half of the year. Particularly, the Investment services recorded an increase of €526 million, or up by 23.4% in comparison to 2020 (up by 23.4% at constant exchange rates), mainly thanks to the commission of placements for assets under management products, which showed a very strong increase compared to the prior year, benefitting al well from a more favorable market scenario. The commissions for transactional services show an increase as well, equal to €138 million (up by 6.5% compared to 2020; up by 6.5% at constant exchange rates), mainly driven by higher Debit and Credit cards commissions, Payments and Current Accounts fees. Also positive, the trend of Financing services component is increasing by €60 million, up by 3.7% compared to 2020 (up by 3.6% at constant exchange rates), sustained by loans related fees (thanks to Structure Finance activities, mainly in Germany), by Credit Protection Insurance fees (thanks to Italy) and by guarantees fees. In 2021 also the net trading income showed a strong increase compared to prior year (€226 million), moving from €1,412 million in 2020 to €1,638 million in the current year (up by 16.0%, or up 15.4% at constant exchange rate). The increase is mainly derived from XVA contribution and from client’s activity, negatively impacted in the first quarter of last year by the market trends in the Covid-19 pandemic crisis peak period. The final result is impacted as well by the positive contribution of fair value valuation of some shares and equity investments held in portfolio. Lastly, in 2021, the net other expenses/income were positive, in an amount of €45 million, compared with the negative results of €104 million in 2020. The upward dynamic (€149 million) benefited from the positive effects derived from updating the overall terms of the outsourcing agreement with SIA company, in relation to suppling some of the processing services in Italy, Austria and Germany, related to Card transactions and to the operation of POS and ATM terminals. Operating income (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Net interest 9,060 9,441 - 4.0% 2,406 + 6.0% Dividends and other income from equity investments 520 415 + 25.2% 114 - 32.9% Net fees and commissions 6,692 5,968 + 12.1% 1,680 + 1.8% Net trading income 1,638 1,412 + 16.0% 220 - 38.0% Net other expenses/income 45 (104) n.m. 16 n.m. Operating income 17,954 17,132 + 4.8% 4,436 + 0.0% Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 95 or by +15.1% at constant exchange rates) and in Serbia (up by 10.6% or by +10.8% at constant exchange rates). are particularly noteworthy Italy, showing a decrease of €10.3 billion (down by 6.1%), is substantially stable year over year excluding the Leasing portfolio reclassified under assets held for sale. Deposits from customers, equal to €500.5 billion, have been growing by €2.1 billion, or up by 0.4% (up by 0.1% at constant exchange rates) compared to 2020. Net of repos, the Deposits from customers increased by 3.7% (up by 3.3% at constant exchange rates) compared to last year. In detail, deposits from customers net of repos increased in Italy (up by 4.5%), in Central Europe, up by 7.4% (or by 6.4% at constant exchange rates), with Austria up by 5.1%, Czech Republic up by 16.9% (or by 10.8% at constant exchange rates) and Hungary increasing with 7.3% (or by 8.9% at constant exchange rates). Eastern Europe showed an increase of 7.4% (or by 5.3% at constant exchange rates) with Croatia up by 9.7% (or by 9.2% at constant exchange rates), Romania up by 9.6% (or by 11.4% at constant exchange rates) and Serbia up by 19.0% (or by 19.2% at constant exchange rates). Contrarily in Germany the Deposits volumes showed a contraction of 1.7%. Dividends and other income from equity investments (which include the profits of the companies accounted at equity method) in 2021 amounted to €520 million, increasing by €105 million, or up by 25.2% (up by 25.2% at constant exchange rates) compared with 2020. The increase is mainly explained by the higher profitability of the Austrian banks in which we have participations (in particularly BKS Bank Ag, Oberbank Ag), by the participation in Yapi Ve Kredi Bankasi A.S. whose contribution to the aforementioned item ceased starting from November following the classification of this participation among activities under disposal, and to a lesser extent by the result of the Insurance companies in Italy. The net fees and commissions 2021 amounted to €6,692 million, increasing by 12.1% (up by 12.1% at constant exchange rates) compared to previous year; the positive trend reflects the sustained dynamic of the commercial activity in a macroeconomic context of recovery compared to a 2020 especially impacted by the lockdown periods, especially in the first half of the year. Particularly, the Investment services recorded an increase of €526 million, or up by 23.4% in comparison to 2020 (up by 23.4% at constant exchange rates), mainly thanks to the commission of placements for assets under management products, which showed a very strong increase compared to the prior year, benefitting al well from a more favorable market scenario. The commissions for transactional services show an increase as well, equal to €138 million (up by 6.5% compared to 2020; up by 6.5% at constant exchange rates), mainly driven by higher Debit and Credit cards commissions, Payments and Current Accounts fees. Also positive, the trend of Financing services component is increasing by €60 million, up by 3.7% compared to 2020 (up by 3.6% at constant exchange rates), sustained by loans related fees (thanks to Structure Finance activities, mainly in Germany), by Credit Protection Insurance fees (thanks to Italy) and by guarantees fees. In 2021 also the net trading income showed a strong increase compared to prior year (€226 million), moving from €1,412 million in 2020 to €1,638 million in the current year (up by 16.0%, or up 15.4% at constant exchange rate). The increase is mainly derived from XVA contribution and from client’s activity, negatively impacted in the first quarter of last year by the market trends in the Covid-19 pandemic crisis peak period. The final result is impacted as well by the positive contribution of fair value valuation of some shares and equity investments held in portfolio. Lastly, in 2021, the net other expenses/income were positive, in an amount of €45 million, compared with the negative results of €104 million in 2020. The upward dynamic (€149 million) benefited from the positive effects derived from updating the overall terms of the outsourcing agreement with SIA company, in relation to suppling some of the processing services in Italy, Austria and Germany, related to Card transactions and to the operation of POS and ATM terminals. Operating income (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Net interest 9,060 9,441 - 4.0% 2,406 + 6.0% Dividends and other income from equity investments 520 415 + 25.2% 114 - 32.9% Net fees and commissions 6,692 5,968 + 12.1% 1,680 + 1.8% Net trading income 1,638 1,412 + 16.0% 220 - 38.0% Net other expenses/income 45 (104) n.m. 16 n.m. Operating income 17,954 17,132 + 4.8% 4,436 + 0.0% Consolidated report on operations Group results 96 2021 Annual Report and Accounts · UniCredit Operating costs Group’s operating costs in 2021 were equal to €9,797 million, stable when compared to 2020 (by -0.0% or up by 0.1% at constant exchange rates), mainly thanks to the continuation of the staff resizing initiatives and the constant control of the administrative expenses, which allowed the full compensation of both the increase of the variable component of the staff expenses, related to the positive economic performance of the Group, and the higher costs for IT projects. In detail, the staff expenses of 2021 were €6,022 million, increasing by 0.9% compared with prior year (up by 1.0% at constant exchange rates). This result, mainly explained by the normalization of the variable component of the staff expenses, benefited however from the positive effects generated by the dynamic of employee’s reduction, characterised by a drop of 3,536 FTEs (equivalent to a drop of 2,763 FTEs average) compared to 2020, and equal to a decrease of 4.3%. Secondly, the staff expenses of 2021 benefited as well from the positive impact deriving from the voluntary offer of capitalization of pension liabilities (Defined Benefit Obligations) carried out in Austria and Italy during the year. The other administrative expenses in 2021 amounted to €3,190 million, down by €26 million in comparison with prior year (down by 0.8% or down by 0.7% at constant exchange rates). The internal dynamic of the other administrative expenses has shown a substantial decreasing of the Covid-19 pandemic related costs which characterised 2020 and of the credit recovery expenses, the latter thanks to the non-performing exposures portfolio rundown actions. Expenses related to personnel continued to benefit from a decreasing trend, both as an effect of further staff reductions and of the protraction of the restrictive policies adopted by the Group during last year to counterbalance the Covid-19 (particularly related to travel expenses). Decreasing year over year are also the real estate expenses (which in Italy benefited as well from branch closure) and the consulting expenses, thanks to further optimization initiatives. All these savings have more than offset the higher IT expenses related to new projects and undertaken initiatives. The expense recoveries in 2021 amounted to €548 million, increasing when compared to the €523 million of last year (up by 4.7%), mainly thanks to higher recoveries of indirect taxes. Finally, in 2021 were accounted write-downs on tangible and intangible assets for €1,133 million, essentially stable in comparison to the €1,137 million posted of 2020 (down by €5 million or by 0.4%). It should be noted that the aforementioned write-downs consist mainly of amortizations. Operating costs (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Payroll costs (6,022) (5,968) + 0.9% (1,532) + 1.1% Other administrative expenses (3,190) (3,215) - 0.8% (804) + 2.7% Recovery of expenses 548 523 + 4.7% 150 + 11.6% Write downs of tangible and intangible assets (1,133) (1,137) - 0.4% (286) + 0.2% Operating costs (9,797) (9,797) - 0.0% (2,472) + 0.9% Thanks to the sustained revenues recovery and to the continuous expenses control, the Group gross operating profit of €8,158 million showed an increase of 11.2% in comparison to the last year (up by 11.1% at constant exchange rates). The cost income ratio decreased to 54.6%, showed an improvement of 2.6 percentage points compared 2020. Net write-downs on loans and provisions for guarantees and commitments Net write-downs on loans and provisions for guarantees and commitments of the Group in 2021 amounted to €1,634 million, compared to €4,996 million of 2020 (down by 67.3% or down by 67.3% at constant exchange rates). Such trend was positively impacted by the dynamic of the non-performing loans portfolio, with Italy being able to benefit from lower flows to default and Germany which recorded recoveries on Corporate counterparties; at the same time, €131 million of writebacks were recognized following the update of the IFRS9 macro-economic scenario; particularly recoveries were booked in the second quarter of 2021, while in the fourth quarter the bank adopted a managerial overlay to grant a substantial neutrality from the impact of the macro-economic scenario update, in light of the uncertainty linked to the pandemic evolution. On top to the update of the macroeconomic scenario, the amount of net loan loss provisions at 31 December 2021 has been affected by the following elements: • extension of the portfolios evaluated under IFRS9 selling scenarios, by means of the inclusion of the “Core” unlikely-to-pay and exclusion of the Consolidated report on operations Group results 96 2021 Annual Report and Accounts · UniCredit Operating costs Group’s operating costs in 2021 were equal to €9,797 million, stable when compared to 2020 (by -0.0% or up by 0.1% at constant exchange rates), mainly thanks to the continuation of the staff resizing initiatives and the constant control of the administrative expenses, which allowed the full compensation of both the increase of the variable component of the staff expenses, related to the positive economic performance of the Group, and the higher costs for IT projects. In detail, the staff expenses of 2021 were €6,022 million, increasing by 0.9% compared with prior year (up by 1.0% at constant exchange rates). This result, mainly explained by the normalization of the variable component of the staff expenses, benefited however from the positive effects generated by the dynamic of employee’s reduction, characterised by a drop of 3,536 FTEs (equivalent to a drop of 2,763 FTEs average) compared to 2020, and equal to a decrease of 4.3%. Secondly, the staff expenses of 2021 benefited as well from the positive impact deriving from the voluntary offer of capitalization of pension liabilities (Defined Benefit Obligations) carried out in Austria and Italy during the year. The other administrative expenses in 2021 amounted to €3,190 million, down by €26 million in comparison with prior year (down by 0.8% or down by 0.7% at constant exchange rates). The internal dynamic of the other administrative expenses has shown a substantial decreasing of the Covid-19 pandemic related costs which characterised 2020 and of the credit recovery expenses, the latter thanks to the non-performing exposures portfolio rundown actions. Expenses related to personnel continued to benefit from a decreasing trend, both as an effect of further staff reductions and of the protraction of the restrictive policies adopted by the Group during last year to counterbalance the Covid-19 (particularly related to travel expenses). Decreasing year over year are also the real estate expenses (which in Italy benefited as well from branch closure) and the consulting expenses, thanks to further optimization initiatives. All these savings have more than offset the higher IT expenses related to new projects and undertaken initiatives. The expense recoveries in 2021 amounted to €548 million, increasing when compared to the €523 million of last year (up by 4.7%), mainly thanks to higher recoveries of indirect taxes. Finally, in 2021 were accounted write-downs on tangible and intangible assets for €1,133 million, essentially stable in comparison to the €1,137 million posted of 2020 (down by €5 million or by 0.4%). It should be noted that the aforementioned write-downs consist mainly of amortizations. Operating costs (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Payroll costs (6,022) (5,968) + 0.9% (1,532) + 1.1% Other administrative expenses (3,190) (3,215) - 0.8% (804) + 2.7% Recovery of expenses 548 523 + 4.7% 150 + 11.6% Write downs of tangible and intangible assets (1,133) (1,137) - 0.4% (286) + 0.2% Operating costs (9,797) (9,797) - 0.0% (2,472) + 0.9% Thanks to the sustained revenues recovery and to the continuous expenses control, the Group gross operating profit of €8,158 million showed an increase of 11.2% in comparison to the last year (up by 11.1% at constant exchange rates). The cost income ratio decreased to 54.6%, showed an improvement of 2.6 percentage points compared 2020. Net write-downs on loans and provisions for guarantees and commitments Net write-downs on loans and provisions for guarantees and commitments of the Group in 2021 amounted to €1,634 million, compared to €4,996 million of 2020 (down by 67.3% or down by 67.3% at constant exchange rates). Such trend was positively impacted by the dynamic of the non-performing loans portfolio, with Italy being able to benefit from lower flows to default and Germany which recorded recoveries on Corporate counterparties; at the same time, €131 million of writebacks were recognized following the update of the IFRS9 macro-economic scenario; particularly recoveries were booked in the second quarter of 2021, while in the fourth quarter the bank adopted a managerial overlay to grant a substantial neutrality from the impact of the macro-economic scenario update, in light of the uncertainty linked to the pandemic evolution. On top to the update of the macroeconomic scenario, the amount of net loan loss provisions at 31 December 2021 has been affected by the following elements: • extension of the portfolios evaluated under IFRS9 selling scenarios, by means of the inclusion of the “Core” unlikely-to-pay and exclusion of the Consolidated report on operations Group results 96 2021 Annual Report and Accounts · UniCredit Operating costs Group’s operating costs in 2021 were equal to €9,797 million, stable when compared to 2020 (by -0.0% or up by 0.1% at constant exchange rates), mainly thanks to the continuation of the staff resizing initiatives and the constant control of the administrative expenses, which allowed the full compensation of both the increase of the variable component of the staff expenses, related to the positive economic performance of the Group, and the higher costs for IT projects. In detail, the staff expenses of 2021 were €6,022 million, increasing by 0.9% compared with prior year (up by 1.0% at constant exchange rates). This result, mainly explained by the normalization of the variable component of the staff expenses, benefited however from the positive effects generated by the dynamic of employee’s reduction, characterised by a drop of 3,536 FTEs (equivalent to a drop of 2,763 FTEs average) compared to 2020, and equal to a decrease of 4.3%. Secondly, the staff expenses of 2021 benefited as well from the positive impact deriving from the voluntary offer of capitalization of pension liabilities (Defined Benefit Obligations) carried out in Austria and Italy during the year. The other administrative expenses in 2021 amounted to €3,190 million, down by €26 million in comparison with prior year (down by 0.8% or down by 0.7% at constant exchange rates). The internal dynamic of the other administrative expenses has shown a substantial decreasing of the Covid-19 pandemic related costs which characterised 2020 and of the credit recovery expenses, the latter thanks to the non-performing exposures portfolio rundown actions. Expenses related to personnel continued to benefit from a decreasing trend, both as an effect of further staff reductions and of the protraction of the restrictive policies adopted by the Group during last year to counterbalance the Covid-19 (particularly related to travel expenses). Decreasing year over year are also the real estate expenses (which in Italy benefited as well from branch closure) and the consulting expenses, thanks to further optimization initiatives. All these savings have more than offset the higher IT expenses related to new projects and undertaken initiatives. The expense recoveries in 2021 amounted to €548 million, increasing when compared to the €523 million of last year (up by 4.7%), mainly thanks to higher recoveries of indirect taxes. Finally, in 2021 were accounted write-downs on tangible and intangible assets for €1,133 million, essentially stable in comparison to the €1,137 million posted of 2020 (down by €5 million or by 0.4%). It should be noted that the aforementioned write-downs consist mainly of amortizations. Operating costs (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Payroll costs (6,022) (5,968) + 0.9% (1,532) + 1.1% Other administrative expenses (3,190) (3,215) - 0.8% (804) + 2.7% Recovery of expenses 548 523 + 4.7% 150 + 11.6% Write downs of tangible and intangible assets (1,133) (1,137) - 0.4% (286) + 0.2% Operating costs (9,797) (9,797) - 0.0% (2,472) + 0.9% Thanks to the sustained revenues recovery and to the continuous expenses control, the Group gross operating profit of €8,158 million showed an increase of 11.2% in comparison to the last year (up by 11.1% at constant exchange rates). The cost income ratio decreased to 54.6%, showed an improvement of 2.6 percentage points compared 2020. Net write-downs on loans and provisions for guarantees and commitments Net write-downs on loans and provisions for guarantees and commitments of the Group in 2021 amounted to €1,634 million, compared to €4,996 million of 2020 (down by 67.3% or down by 67.3% at constant exchange rates). Such trend was positively impacted by the dynamic of the non-performing loans portfolio, with Italy being able to benefit from lower flows to default and Germany which recorded recoveries on Corporate counterparties; at the same time, €131 million of writebacks were recognized following the update of the IFRS9 macro-economic scenario; particularly recoveries were booked in the second quarter of 2021, while in the fourth quarter the bank adopted a managerial overlay to grant a substantial neutrality from the impact of the macro-economic scenario update, in light of the uncertainty linked to the pandemic evolution. On top to the update of the macroeconomic scenario, the amount of net loan loss provisions at 31 December 2021 has been affected by the following elements: • extension of the portfolios evaluated under IFRS9 selling scenarios, by means of the inclusion of the “Core” unlikely-to-pay and exclusion of the Consolidated report on operations Group results 96 2021 Annual Report and Accounts · UniCredit Operating costs Group’s operating costs in 2021 were equal to €9,797 million, stable when compared to 2020 (by -0.0% or up by 0.1% at constant exchange rates), mainly thanks to the continuation of the staff resizing initiatives and the constant control of the administrative expenses, which allowed the full compensation of both the increase of the variable component of the staff expenses, related to the positive economic performance of the Group, and the higher costs for IT projects. In detail, the staff expenses of 2021 were €6,022 million, increasing by 0.9% compared with prior year (up by 1.0% at constant exchange rates). This result, mainly explained by the normalization of the variable component of the staff expenses, benefited however from the positive effects generated by the dynamic of employee’s reduction, characterised by a drop of 3,536 FTEs (equivalent to a drop of 2,763 FTEs average) compared to 2020, and equal to a decrease of 4.3%. Secondly, the staff expenses of 2021 benefited as well from the positive impact deriving from the voluntary offer of capitalization of pension liabilities (Defined Benefit Obligations) carried out in Austria and Italy during the year. The other administrative expenses in 2021 amounted to €3,190 million, down by €26 million in comparison with prior year (down by 0.8% or down by 0.7% at constant exchange rates). The internal dynamic of the other administrative expenses has shown a substantial decreasing of the Covid-19 pandemic related costs which characterised 2020 and of the credit recovery expenses, the latter thanks to the non-performing exposures portfolio rundown actions. Expenses related to personnel continued to benefit from a decreasing trend, both as an effect of further staff reductions and of the protraction of the restrictive policies adopted by the Group during last year to counterbalance the Covid-19 (particularly related to travel expenses). Decreasing year over year are also the real estate expenses (which in Italy benefited as well from branch closure) and the consulting expenses, thanks to further optimization initiatives. All these savings have more than offset the higher IT expenses related to new projects and undertaken initiatives. The expense recoveries in 2021 amounted to €548 million, increasing when compared to the €523 million of last year (up by 4.7%), mainly thanks to higher recoveries of indirect taxes. Finally, in 2021 were accounted write-downs on tangible and intangible assets for €1,133 million, essentially stable in comparison to the €1,137 million posted of 2020 (down by €5 million or by 0.4%). It should be noted that the aforementioned write-downs consist mainly of amortizations. Operating costs (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Payroll costs (6,022) (5,968) + 0.9% (1,532) + 1.1% Other administrative expenses (3,190) (3,215) - 0.8% (804) + 2.7% Recovery of expenses 548 523 + 4.7% 150 + 11.6% Write downs of tangible and intangible assets (1,133) (1,137) - 0.4% (286) + 0.2% Operating costs (9,797) (9,797) - 0.0% (2,472) + 0.9% Thanks to the sustained revenues recovery and to the continuous expenses control, the Group gross operating profit of €8,158 million showed an increase of 11.2% in comparison to the last year (up by 11.1% at constant exchange rates). The cost income ratio decreased to 54.6%, showed an improvement of 2.6 percentage points compared 2020. Net write-downs on loans and provisions for guarantees and commitments Net write-downs on loans and provisions for guarantees and commitments of the Group in 2021 amounted to €1,634 million, compared to €4,996 million of 2020 (down by 67.3% or down by 67.3% at constant exchange rates). Such trend was positively impacted by the dynamic of the non-performing loans portfolio, with Italy being able to benefit from lower flows to default and Germany which recorded recoveries on Corporate counterparties; at the same time, €131 million of writebacks were recognized following the update of the IFRS9 macro-economic scenario; particularly recoveries were booked in the second quarter of 2021, while in the fourth quarter the bank adopted a managerial overlay to grant a substantial neutrality from the impact of the macro-economic scenario update, in light of the uncertainty linked to the pandemic evolution. On top to the update of the macroeconomic scenario, the amount of net loan loss provisions at 31 December 2021 has been affected by the following elements: • extension of the portfolios evaluated under IFRS9 selling scenarios, by means of the inclusion of the “Core” unlikely-to-pay and exclusion of the Consolidated report on operations Group results 96 2021 Annual Report and Accounts · UniCredit Operating costs Group’s operating costs in 2021 were equal to €9,797 million, stable when compared to 2020 (by -0.0% or up by 0.1% at constant exchange rates), mainly thanks to the continuation of the staff resizing initiatives and the constant control of the administrative expenses, which allowed the full compensation of both the increase of the variable component of the staff expenses, related to the positive economic performance of the Group, and the higher costs for IT projects. In detail, the staff expenses of 2021 were €6,022 million, increasing by 0.9% compared with prior year (up by 1.0% at constant exchange rates). This result, mainly explained by the normalization of the variable component of the staff expenses, benefited however from the positive effects generated by the dynamic of employee’s reduction, characterised by a drop of 3,536 FTEs (equivalent to a drop of 2,763 FTEs average) compared to 2020, and equal to a decrease of 4.3%. Secondly, the staff expenses of 2021 benefited as well from the positive impact deriving from the voluntary offer of capitalization of pension liabilities (Defined Benefit Obligations) carried out in Austria and Italy during the year. The other administrative expenses in 2021 amounted to €3,190 million, down by €26 million in comparison with prior year (down by 0.8% or down by 0.7% at constant exchange rates). The internal dynamic of the other administrative expenses has shown a substantial decreasing of the Covid-19 pandemic related costs which characterised 2020 and of the credit recovery expenses, the latter thanks to the non-performing exposures portfolio rundown actions. Expenses related to personnel continued to benefit from a decreasing trend, both as an effect of further staff reductions and of the protraction of the restrictive policies adopted by the Group during last year to counterbalance the Covid-19 (particularly related to travel expenses). Decreasing year over year are also the real estate expenses (which in Italy benefited as well from branch closure) and the consulting expenses, thanks to further optimization initiatives. All these savings have more than offset the higher IT expenses related to new projects and undertaken initiatives. The expense recoveries in 2021 amounted to €548 million, increasing when compared to the €523 million of last year (up by 4.7%), mainly thanks to higher recoveries of indirect taxes. Finally, in 2021 were accounted write-downs on tangible and intangible assets for €1,133 million, essentially stable in comparison to the €1,137 million posted of 2020 (down by €5 million or by 0.4%). It should be noted that the aforementioned write-downs consist mainly of amortizations. Operating costs (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Payroll costs (6,022) (5,968) + 0.9% (1,532) + 1.1% Other administrative expenses (3,190) (3,215) - 0.8% (804) + 2.7% Recovery of expenses 548 523 + 4.7% 150 + 11.6% Write downs of tangible and intangible assets (1,133) (1,137) - 0.4% (286) + 0.2% Operating costs (9,797) (9,797) - 0.0% (2,472) + 0.9% Thanks to the sustained revenues recovery and to the continuous expenses control, the Group gross operating profit of €8,158 million showed an increase of 11.2% in comparison to the last year (up by 11.1% at constant exchange rates). The cost income ratio decreased to 54.6%, showed an improvement of 2.6 percentage points compared 2020. Net write-downs on loans and provisions for guarantees and commitments Net write-downs on loans and provisions for guarantees and commitments of the Group in 2021 amounted to €1,634 million, compared to €4,996 million of 2020 (down by 67.3% or down by 67.3% at constant exchange rates). Such trend was positively impacted by the dynamic of the non-performing loans portfolio, with Italy being able to benefit from lower flows to default and Germany which recorded recoveries on Corporate counterparties; at the same time, €131 million of writebacks were recognized following the update of the IFRS9 macro-economic scenario; particularly recoveries were booked in the second quarter of 2021, while in the fourth quarter the bank adopted a managerial overlay to grant a substantial neutrality from the impact of the macro-economic scenario update, in light of the uncertainty linked to the pandemic evolution. On top to the update of the macroeconomic scenario, the amount of net loan loss provisions at 31 December 2021 has been affected by the following elements: • extension of the portfolios evaluated under IFRS9 selling scenarios, by means of the inclusion of the “Core” unlikely-to-pay and exclusion of the Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 97 non “Core” illiquid bad loans (lead back within the ordinary management), that - jointly to the update of the prises used for evaluation purposes - has determined the booking of net write-down equal to €208 million; • adoption of methodological interventions with impact on the classification of the credit exposures among credit risk stages foreseen by IFRS9, aimed at further increasing the timeliness of Stage 2 classification for positions characterized by significant increase in credit risk and, at the same time, reducing the volatility of migration of the classification among difference Stages of risk; such actions have generated the booking of write-down for €438 million; • introduction of management overlay in the calculation of the expected credit loss - applied in specific geographies in light of local economies peculiarities and of the persistent uncertainty linked to the pandemic/that has determined the booking of write-down for €119 million; • IRB models changes for the computation of PD and LGD, consistently with the EBA Guidelines on the PD estimation, LGD estimation and the treatment of defaulted assets; though such models - in some countries where Group operates - will be deployed in 2022, related effects have been recognized already at 31 December 2021 in coherence with “forward looking” approach foreseen by IFRS9 principle, generating the booking of write-downs for €142 million. With reference to the credit portfolios under moratoria, part of the Corporate counterparties (ex Art.56 of the Decreto Legge 18/2020) with moratoria under expiration on 30 June 2021 has requested the extension up to year end (opt-in). At 31 December 2021, moratoria in Italy amount at €7,105 million; of which, circa €6,000 million have been object of extension (opt-in) and will expire starting from 1 January 2022, cumulating to the amount of already expired moratoria at 31 December 2021 equal to €13,195 million. With reference to the connected evaluation themes, it is highlighted the following: • with reference to the exposures (opt-in) in Italy, an adjustment has been introduced - with impact in terms of write-downs on credit for €153 million, in order to consider the risk of potential credit losses that might arise after the expiration of the moratoria; the adjustment is based on: (i) classification of the exposure in Stage 2, assuming that such counterparties incorporate an intrinsically higher potential risk of default given the explicit request of prorogation; (ii) setting of the average coverage ratio of the portfolio at least to the average coverage ratio of the Stage 2 reported at March 2020 (before the deployment of the Covid-19 pandemic effects), thus recognizing a level of coverage more representative of the riskiness of Stage 2 portfolio in ordinary conditions; • furthermore, a PD flooring measure has been introduced in order to limit spurious improvements of the risk profile likely expected to be linked to the mere effect of payment suspension/re-scheduling more than to the effective improvements of the clients’ fundamentals. The measure, applied on Corporate and Retail Italian portfolios and on Hungarian Retail one (i.e. the two geographies with portfolios under moratoria), has determined an impact in terms of credit write-downs for €68 million; • finally, an Unlikely-To-Pay assessment has been done on the riskiest opt-in moratoria exposures, with an impact in terms of credit write-downs for €160 million; particularly, on top to the direct classification to unlikely-to-pay: (i) all transactions of clients under opt-in moratoria have been migrated to Stage 2 and their coverage ratio aligned to the pre-crises level; (ii) for all Clients with worst rating classes, an additional coverage consistent with expectation of potential migration to default has been recognized. Additionally, it is pointed out that at 31 of December 2021, all “moratorium” loans in Germany and Austria are expired. For additional details refer to the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk - Qualitative information, 2.3 Measurement methods for expected losses. The cost of risk of 2021 was of 37 basis points, in comparison to the 105 basis points of 2020. In details, Italy shows a cost of risk of 55 basis points, improving by 81 basis points compared to prior year. Germany recorded 9 basis points, improving by 46 basis points compared with prior year, while Central Europe recorded 30 basis points, improving by 39 basis points compared to 2020, with Austria at 27 basis points of cost of risk signaling an improvement of 36 basis points year over year. Lastly, Eastern Europe shows a cost of risk equal to 71 basis points, dropping by 118 basis points compared to prior year. The Group gross impaired loans as at 31 December 2021 amounted to €16.3 billion, in sharp decline (€5.0 billion) compared to the €21.2 billion of 31 December 2020 driven by the effect of the realised disposures, by the classification to activities under disposal of loans portfolios related to leasing legal entities in Italy, Germany and Slovenia and by other actions carried out for the purpose of risk reduction. Thanks to this reduction, the gross non-performing loans on total loans ratio improved from 4.55% of December 2020 to 3.61% of December 2021. Gross bad exposure stock amounted to €4.5 billion, decreasing by €3.1 billion compared to December 2020 (€7.6 billion), benefiting from the disposals, the classification to activities under disposal, the write-offs and the recoveries carried out during the year. The Group coverage ratio of the gross non-performing loans as at 31 of December 2021 was 54.01%, decreasing in comparison to the 59.85% (down by 5.8 percentage points) of December 2020, affected firstly by the lower weight of NPE loans (characterised by a higher coverage rate) on total gross impaired loans, and secondly by the positive evolution of the non-performing loans portfolio quality, also following the disposals and closures realised during the current year. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 97 non “Core” illiquid bad loans (lead back within the ordinary management), that - jointly to the update of the prises used for evaluation purposes - has determined the booking of net write-down equal to €208 million; • adoption of methodological interventions with impact on the classification of the credit exposures among credit risk stages foreseen by IFRS9, aimed at further increasing the timeliness of Stage 2 classification for positions characterized by significant increase in credit risk and, at the same time, reducing the volatility of migration of the classification among difference Stages of risk; such actions have generated the booking of write-down for €438 million; • introduction of management overlay in the calculation of the expected credit loss - applied in specific geographies in light of local economies peculiarities and of the persistent uncertainty linked to the pandemic/that has determined the booking of write-down for €119 million; • IRB models changes for the computation of PD and LGD, consistently with the EBA Guidelines on the PD estimation, LGD estimation and the treatment of defaulted assets; though such models - in some countries where Group operates - will be deployed in 2022, related effects have been recognized already at 31 December 2021 in coherence with “forward looking” approach foreseen by IFRS9 principle, generating the booking of write-downs for €142 million. With reference to the credit portfolios under moratoria, part of the Corporate counterparties (ex Art.56 of the Decreto Legge 18/2020) with moratoria under expiration on 30 June 2021 has requested the extension up to year end (opt-in). At 31 December 2021, moratoria in Italy amount at €7,105 million; of which, circa €6,000 million have been object of extension (opt-in) and will expire starting from 1 January 2022, cumulating to the amount of already expired moratoria at 31 December 2021 equal to €13,195 million. With reference to the connected evaluation themes, it is highlighted the following: • with reference to the exposures (opt-in) in Italy, an adjustment has been introduced - with impact in terms of write-downs on credit for €153 million, in order to consider the risk of potential credit losses that might arise after the expiration of the moratoria; the adjustment is based on: (i) classification of the exposure in Stage 2, assuming that such counterparties incorporate an intrinsically higher potential risk of default given the explicit request of prorogation; (ii) setting of the average coverage ratio of the portfolio at least to the average coverage ratio of the Stage 2 reported at March 2020 (before the deployment of the Covid-19 pandemic effects), thus recognizing a level of coverage more representative of the riskiness of Stage 2 portfolio in ordinary conditions; • furthermore, a PD flooring measure has been introduced in order to limit spurious improvements of the risk profile likely expected to be linked to the mere effect of payment suspension/re-scheduling more than to the effective improvements of the clients’ fundamentals. The measure, applied on Corporate and Retail Italian portfolios and on Hungarian Retail one (i.e. the two geographies with portfolios under moratoria), has determined an impact in terms of credit write-downs for €68 million; • finally, an Unlikely-To-Pay assessment has been done on the riskiest opt-in moratoria exposures, with an impact in terms of credit write-downs for €160 million; particularly, on top to the direct classification to unlikely-to-pay: (i) all transactions of clients under opt-in moratoria have been migrated to Stage 2 and their coverage ratio aligned to the pre-crises level; (ii) for all Clients with worst rating classes, an additional coverage consistent with expectation of potential migration to default has been recognized. Additionally, it is pointed out that at 31 of December 2021, all “moratorium” loans in Germany and Austria are expired. For additional details refer to the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk - Qualitative information, 2.3 Measurement methods for expected losses. The cost of risk of 2021 was of 37 basis points, in comparison to the 105 basis points of 2020. In details, Italy shows a cost of risk of 55 basis points, improving by 81 basis points compared to prior year. Germany recorded 9 basis points, improving by 46 basis points compared with prior year, while Central Europe recorded 30 basis points, improving by 39 basis points compared to 2020, with Austria at 27 basis points of cost of risk signaling an improvement of 36 basis points year over year. Lastly, Eastern Europe shows a cost of risk equal to 71 basis points, dropping by 118 basis points compared to prior year. The Group gross impaired loans as at 31 December 2021 amounted to €16.3 billion, in sharp decline (€5.0 billion) compared to the €21.2 billion of 31 December 2020 driven by the effect of the realised disposures, by the classification to activities under disposal of loans portfolios related to leasing legal entities in Italy, Germany and Slovenia and by other actions carried out for the purpose of risk reduction. Thanks to this reduction, the gross non-performing loans on total loans ratio improved from 4.55% of December 2020 to 3.61% of December 2021. Gross bad exposure stock amounted to €4.5 billion, decreasing by €3.1 billion compared to December 2020 (€7.6 billion), benefiting from the disposals, the classification to activities under disposal, the write-offs and the recoveries carried out during the year. The Group coverage ratio of the gross non-performing loans as at 31 of December 2021 was 54.01%, decreasing in comparison to the 59.85% (down by 5.8 percentage points) of December 2020, affected firstly by the lower weight of NPE loans (characterised by a higher coverage rate) on total gross impaired loans, and secondly by the positive evolution of the non-performing loans portfolio quality, also following the disposals and closures realised during the current year. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 97 non “Core” illiquid bad loans (lead back within the ordinary management), that - jointly to the update of the prises used for evaluation purposes - has determined the booking of net write-down equal to €208 million; • adoption of methodological interventions with impact on the classification of the credit exposures among credit risk stages foreseen by IFRS9, aimed at further increasing the timeliness of Stage 2 classification for positions characterized by significant increase in credit risk and, at the same time, reducing the volatility of migration of the classification among difference Stages of risk; such actions have generated the booking of write-down for €438 million; • introduction of management overlay in the calculation of the expected credit loss - applied in specific geographies in light of local economies peculiarities and of the persistent uncertainty linked to the pandemic/that has determined the booking of write-down for €119 million; • IRB models changes for the computation of PD and LGD, consistently with the EBA Guidelines on the PD estimation, LGD estimation and the treatment of defaulted assets; though such models - in some countries where Group operates - will be deployed in 2022, related effects have been recognized already at 31 December 2021 in coherence with “forward looking” approach foreseen by IFRS9 principle, generating the booking of write-downs for €142 million. With reference to the credit portfolios under moratoria, part of the Corporate counterparties (ex Art.56 of the Decreto Legge 18/2020) with moratoria under expiration on 30 June 2021 has requested the extension up to year end (opt-in). At 31 December 2021, moratoria in Italy amount at €7,105 million; of which, circa €6,000 million have been object of extension (opt-in) and will expire starting from 1 January 2022, cumulating to the amount of already expired moratoria at 31 December 2021 equal to €13,195 million. With reference to the connected evaluation themes, it is highlighted the following: • with reference to the exposures (opt-in) in Italy, an adjustment has been introduced - with impact in terms of write-downs on credit for €153 million, in order to consider the risk of potential credit losses that might arise after the expiration of the moratoria; the adjustment is based on: (i) classification of the exposure in Stage 2, assuming that such counterparties incorporate an intrinsically higher potential risk of default given the explicit request of prorogation; (ii) setting of the average coverage ratio of the portfolio at least to the average coverage ratio of the Stage 2 reported at March 2020 (before the deployment of the Covid-19 pandemic effects), thus recognizing a level of coverage more representative of the riskiness of Stage 2 portfolio in ordinary conditions; • furthermore, a PD flooring measure has been introduced in order to limit spurious improvements of the risk profile likely expected to be linked to the mere effect of payment suspension/re-scheduling more than to the effective improvements of the clients’ fundamentals. The measure, applied on Corporate and Retail Italian portfolios and on Hungarian Retail one (i.e. the two geographies with portfolios under moratoria), has determined an impact in terms of credit write-downs for €68 million; • finally, an Unlikely-To-Pay assessment has been done on the riskiest opt-in moratoria exposures, with an impact in terms of credit write-downs for €160 million; particularly, on top to the direct classification to unlikely-to-pay: (i) all transactions of clients under opt-in moratoria have been migrated to Stage 2 and their coverage ratio aligned to the pre-crises level; (ii) for all Clients with worst rating classes, an additional coverage consistent with expectation of potential migration to default has been recognized. Additionally, it is pointed out that at 31 of December 2021, all “moratorium” loans in Germany and Austria are expired. For additional details refer to the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk - Qualitative information, 2.3 Measurement methods for expected losses. The cost of risk of 2021 was of 37 basis points, in comparison to the 105 basis points of 2020. In details, Italy shows a cost of risk of 55 basis points, improving by 81 basis points compared to prior year. Germany recorded 9 basis points, improving by 46 basis points compared with prior year, while Central Europe recorded 30 basis points, improving by 39 basis points compared to 2020, with Austria at 27 basis points of cost of risk signaling an improvement of 36 basis points year over year. Lastly, Eastern Europe shows a cost of risk equal to 71 basis points, dropping by 118 basis points compared to prior year. The Group gross impaired loans as at 31 December 2021 amounted to €16.3 billion, in sharp decline (€5.0 billion) compared to the €21.2 billion of 31 December 2020 driven by the effect of the realised disposures, by the classification to activities under disposal of loans portfolios related to leasing legal entities in Italy, Germany and Slovenia and by other actions carried out for the purpose of risk reduction. Thanks to this reduction, the gross non-performing loans on total loans ratio improved from 4.55% of December 2020 to 3.61% of December 2021. Gross bad exposure stock amounted to €4.5 billion, decreasing by €3.1 billion compared to December 2020 (€7.6 billion), benefiting from the disposals, the classification to activities under disposal, the write-offs and the recoveries carried out during the year. The Group coverage ratio of the gross non-performing loans as at 31 of December 2021 was 54.01%, decreasing in comparison to the 59.85% (down by 5.8 percentage points) of December 2020, affected firstly by the lower weight of NPE loans (characterised by a higher coverage rate) on total gross impaired loans, and secondly by the positive evolution of the non-performing loans portfolio quality, also following the disposals and closures realised during the current year. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 97 non “Core” illiquid bad loans (lead back within the ordinary management), that - jointly to the update of the prises used for evaluation purposes - has determined the booking of net write-down equal to €208 million; • adoption of methodological interventions with impact on the classification of the credit exposures among credit risk stages foreseen by IFRS9, aimed at further increasing the timeliness of Stage 2 classification for positions characterized by significant increase in credit risk and, at the same time, reducing the volatility of migration of the classification among difference Stages of risk; such actions have generated the booking of write-down for €438 million; • introduction of management overlay in the calculation of the expected credit loss - applied in specific geographies in light of local economies peculiarities and of the persistent uncertainty linked to the pandemic/that has determined the booking of write-down for €119 million; • IRB models changes for the computation of PD and LGD, consistently with the EBA Guidelines on the PD estimation, LGD estimation and the treatment of defaulted assets; though such models - in some countries where Group operates - will be deployed in 2022, related effects have been recognized already at 31 December 2021 in coherence with “forward looking” approach foreseen by IFRS9 principle, generating the booking of write-downs for €142 million. With reference to the credit portfolios under moratoria, part of the Corporate counterparties (ex Art.56 of the Decreto Legge 18/2020) with moratoria under expiration on 30 June 2021 has requested the extension up to year end (opt-in). At 31 December 2021, moratoria in Italy amount at €7,105 million; of which, circa €6,000 million have been object of extension (opt-in) and will expire starting from 1 January 2022, cumulating to the amount of already expired moratoria at 31 December 2021 equal to €13,195 million. With reference to the connected evaluation themes, it is highlighted the following: • with reference to the exposures (opt-in) in Italy, an adjustment has been introduced - with impact in terms of write-downs on credit for €153 million, in order to consider the risk of potential credit losses that might arise after the expiration of the moratoria; the adjustment is based on: (i) classification of the exposure in Stage 2, assuming that such counterparties incorporate an intrinsically higher potential risk of default given the explicit request of prorogation; (ii) setting of the average coverage ratio of the portfolio at least to the average coverage ratio of the Stage 2 reported at March 2020 (before the deployment of the Covid-19 pandemic effects), thus recognizing a level of coverage more representative of the riskiness of Stage 2 portfolio in ordinary conditions; • furthermore, a PD flooring measure has been introduced in order to limit spurious improvements of the risk profile likely expected to be linked to the mere effect of payment suspension/re-scheduling more than to the effective improvements of the clients’ fundamentals. The measure, applied on Corporate and Retail Italian portfolios and on Hungarian Retail one (i.e. the two geographies with portfolios under moratoria), has determined an impact in terms of credit write-downs for €68 million; • finally, an Unlikely-To-Pay assessment has been done on the riskiest opt-in moratoria exposures, with an impact in terms of credit write-downs for €160 million; particularly, on top to the direct classification to unlikely-to-pay: (i) all transactions of clients under opt-in moratoria have been migrated to Stage 2 and their coverage ratio aligned to the pre-crises level; (ii) for all Clients with worst rating classes, an additional coverage consistent with expectation of potential migration to default has been recognized. Additionally, it is pointed out that at 31 of December 2021, all “moratorium” loans in Germany and Austria are expired. For additional details refer to the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk - Qualitative information, 2.3 Measurement methods for expected losses. The cost of risk of 2021 was of 37 basis points, in comparison to the 105 basis points of 2020. In details, Italy shows a cost of risk of 55 basis points, improving by 81 basis points compared to prior year. Germany recorded 9 basis points, improving by 46 basis points compared with prior year, while Central Europe recorded 30 basis points, improving by 39 basis points compared to 2020, with Austria at 27 basis points of cost of risk signaling an improvement of 36 basis points year over year. Lastly, Eastern Europe shows a cost of risk equal to 71 basis points, dropping by 118 basis points compared to prior year. The Group gross impaired loans as at 31 December 2021 amounted to €16.3 billion, in sharp decline (€5.0 billion) compared to the €21.2 billion of 31 December 2020 driven by the effect of the realised disposures, by the classification to activities under disposal of loans portfolios related to leasing legal entities in Italy, Germany and Slovenia and by other actions carried out for the purpose of risk reduction. Thanks to this reduction, the gross non-performing loans on total loans ratio improved from 4.55% of December 2020 to 3.61% of December 2021. Gross bad exposure stock amounted to €4.5 billion, decreasing by €3.1 billion compared to December 2020 (€7.6 billion), benefiting from the disposals, the classification to activities under disposal, the write-offs and the recoveries carried out during the year. The Group coverage ratio of the gross non-performing loans as at 31 of December 2021 was 54.01%, decreasing in comparison to the 59.85% (down by 5.8 percentage points) of December 2020, affected firstly by the lower weight of NPE loans (characterised by a higher coverage rate) on total gross impaired loans, and secondly by the positive evolution of the non-performing loans portfolio quality, also following the disposals and closures realised during the current year. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 97 non “Core” illiquid bad loans (lead back within the ordinary management), that - jointly to the update of the prises used for evaluation purposes - has determined the booking of net write-down equal to €208 million; • adoption of methodological interventions with impact on the classification of the credit exposures among credit risk stages foreseen by IFRS9, aimed at further increasing the timeliness of Stage 2 classification for positions characterized by significant increase in credit risk and, at the same time, reducing the volatility of migration of the classification among difference Stages of risk; such actions have generated the booking of write-down for €438 million; • introduction of management overlay in the calculation of the expected credit loss - applied in specific geographies in light of local economies peculiarities and of the persistent uncertainty linked to the pandemic/that has determined the booking of write-down for €119 million; • IRB models changes for the computation of PD and LGD, consistently with the EBA Guidelines on the PD estimation, LGD estimation and the treatment of defaulted assets; though such models - in some countries where Group operates - will be deployed in 2022, related effects have been recognized already at 31 December 2021 in coherence with “forward looking” approach foreseen by IFRS9 principle, generating the booking of write-downs for €142 million. With reference to the credit portfolios under moratoria, part of the Corporate counterparties (ex Art.56 of the Decreto Legge 18/2020) with moratoria under expiration on 30 June 2021 has requested the extension up to year end (opt-in). At 31 December 2021, moratoria in Italy amount at €7,105 million; of which, circa €6,000 million have been object of extension (opt-in) and will expire starting from 1 January 2022, cumulating to the amount of already expired moratoria at 31 December 2021 equal to €13,195 million. With reference to the connected evaluation themes, it is highlighted the following: • with reference to the exposures (opt-in) in Italy, an adjustment has been introduced - with impact in terms of write-downs on credit for €153 million, in order to consider the risk of potential credit losses that might arise after the expiration of the moratoria; the adjustment is based on: (i) classification of the exposure in Stage 2, assuming that such counterparties incorporate an intrinsically higher potential risk of default given the explicit request of prorogation; (ii) setting of the average coverage ratio of the portfolio at least to the average coverage ratio of the Stage 2 reported at March 2020 (before the deployment of the Covid-19 pandemic effects), thus recognizing a level of coverage more representative of the riskiness of Stage 2 portfolio in ordinary conditions; • furthermore, a PD flooring measure has been introduced in order to limit spurious improvements of the risk profile likely expected to be linked to the mere effect of payment suspension/re-scheduling more than to the effective improvements of the clients’ fundamentals. The measure, applied on Corporate and Retail Italian portfolios and on Hungarian Retail one (i.e. the two geographies with portfolios under moratoria), has determined an impact in terms of credit write-downs for €68 million; • finally, an Unlikely-To-Pay assessment has been done on the riskiest opt-in moratoria exposures, with an impact in terms of credit write-downs for €160 million; particularly, on top to the direct classification to unlikely-to-pay: (i) all transactions of clients under opt-in moratoria have been migrated to Stage 2 and their coverage ratio aligned to the pre-crises level; (ii) for all Clients with worst rating classes, an additional coverage consistent with expectation of potential migration to default has been recognized. Additionally, it is pointed out that at 31 of December 2021, all “moratorium” loans in Germany and Austria are expired. For additional details refer to the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk - Qualitative information, 2.3 Measurement methods for expected losses. The cost of risk of 2021 was of 37 basis points, in comparison to the 105 basis points of 2020. In details, Italy shows a cost of risk of 55 basis points, improving by 81 basis points compared to prior year. Germany recorded 9 basis points, improving by 46 basis points compared with prior year, while Central Europe recorded 30 basis points, improving by 39 basis points compared to 2020, with Austria at 27 basis points of cost of risk signaling an improvement of 36 basis points year over year. Lastly, Eastern Europe shows a cost of risk equal to 71 basis points, dropping by 118 basis points compared to prior year. The Group gross impaired loans as at 31 December 2021 amounted to €16.3 billion, in sharp decline (€5.0 billion) compared to the €21.2 billion of 31 December 2020 driven by the effect of the realised disposures, by the classification to activities under disposal of loans portfolios related to leasing legal entities in Italy, Germany and Slovenia and by other actions carried out for the purpose of risk reduction. Thanks to this reduction, the gross non-performing loans on total loans ratio improved from 4.55% of December 2020 to 3.61% of December 2021. Gross bad exposure stock amounted to €4.5 billion, decreasing by €3.1 billion compared to December 2020 (€7.6 billion), benefiting from the disposals, the classification to activities under disposal, the write-offs and the recoveries carried out during the year. The Group coverage ratio of the gross non-performing loans as at 31 of December 2021 was 54.01%, decreasing in comparison to the 59.85% (down by 5.8 percentage points) of December 2020, affected firstly by the lower weight of NPE loans (characterised by a higher coverage rate) on total gross impaired loans, and secondly by the positive evolution of the non-performing loans portfolio quality, also following the disposals and closures realised during the current year. Consolidated report on operations Group results 98 2021 Annual Report and Accounts · UniCredit Loans to customers - Asset quality (€ million) BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE TOTAL NON-PERFORMING PERFORMING TOTAL LOANS As at 12.31.2021(*) Gross exposure 4,495 10,927 845 16,268 434,434 450,702 as a percentage of total loans 1.00% 2.42% 0.19% 3.61% 96.39% Writedowns 3,374 5,091 321 8,787 4,371 13,158 as a percentage of gross value 75.06% 46.59% 38.02% 54.01% 1.01% Carrying value 1,121 5,836 524 7,481 430,063 437,544 as a percentage of total loans 0.26% 1.33% 0.12% 1.71% 98.29% As at 12.31.2020(*) Gross exposure 7,613 12,874 759 21,246 446,157 467,403 as a percentage of total loans 1.63% 2.75% 0.16% 4.55% 95.45% Writedowns 5,967 6,492 256 12,716 4,138 16,853 as a percentage of gross value 78.39% 50.43% 33.70% 59.85% 0.93% Carrying value 1,645 6,381 503 8,530 442,019 450,550 as a percentage of total loans 0.37% 1.42% 0.11% 1.89% 98.11% Note: (*) Total loans to customers exclude the receivables arising from subleases recognised due to the application of IFRS16. Figures and ratios presented do not include loans to customers classified as non-current assets held for sale. By including these exposures belonging to Legal entities classified as held for sale as at 31 December 201 (mainly UniCredit Leasing S.p.A. and its subsidiary, UniCredit Leasing GMBH and UniCredit Leasing, Leasing, D.O.O.), the ratio between gross value of NPE loans and total gross loans moves from 3.61% to 3.79% while the ratio of write-downs on NPE gross exposure (coverage ratio) moves from 54.01% to 53.89%. From net operating profit to profit before tax The improvement of the gross operating profit (equal to €8,158 million in 2021) and the decrease of the net write-downs on loans and on provisions for guarantees and commitments (equal to a negative of €1,634 million) have resulted in a Group’s net operating profit of €6,524 million, increasing by €4,185 million compared to 2020. Group’s provisions for risk and charges were at a negative of €1,386 million, increasing in comparison to the negative amount of €1,055 million of 2020. This item includes provisions for legal cases and estimated liabilities of various nature totaling a negative amount of €349 million, in addition to the systemic charges, amounting to a negative of €1,037 million. The latter include the contributions to the Single Resolution Fund (SRF), the harmonized guarantees schemes charges (Deposits Guarantee Scheme - DGS) and the non-harmonized ones, as well as the Bank Levies. Integration costs in 2021 were at a negative amount of €1,337 million, of which a negative amount of €1,023 million are severance costs connected to the new Strategic Plan “UniCredit unlocked” in Italy, Germany and Central Europe. This amount is comparable with the negative amount of €1,464 million recorded in 2020 when, in the first half of the year, were accounted the severance charges for the Italian perimeter personnel related to “Team 23” plan, amounting to a negative amount of €1,347 million. Net income from investments in 2021 was at a negative of €2,565 million, in comparison to the negative of €1,365 million recorded last year. The 2021 amount was mainly impacted by the negative amount of €554 million related to the classification as under disposal of the Leasing business; an additional negative amount of €155 million derived from the sale on the market of 2% of the participation in Yapi Ve Kredi Bankasi A.S., mainly stemming from the recognition on the income statement of the negative FX reserve connected and a negative amount of €1,537 million was originated by the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi which determined the recognition on the income statement of the negative FX reserve. The results of 2020 were negatively impacted mainly by €1,576 million related to the sales of 20,95% of Yapi Ve Kredi Bankasi A.S. and the resulting unwinding of Joint Venture agreements with Koç Financial Services and positively impacted by €516 million of capital gains connected with Real estate disposal in Germany As an effect of the items mentioned above, in 2021 the Group registered a profit before tax of €1,236 million, compared to a loss of €1,546 million of 2020. Consolidated report on operations Group results 98 2021 Annual Report and Accounts · UniCredit Loans to customers - Asset quality (€ million) BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE TOTAL NON-PERFORMING PERFORMING TOTAL LOANS As at 12.31.2021(*) Gross exposure 4,495 10,927 845 16,268 434,434 450,702 as a percentage of total loans 1.00% 2.42% 0.19% 3.61% 96.39% Writedowns 3,374 5,091 321 8,787 4,371 13,158 as a percentage of gross value 75.06% 46.59% 38.02% 54.01% 1.01% Carrying value 1,121 5,836 524 7,481 430,063 437,544 as a percentage of total loans 0.26% 1.33% 0.12% 1.71% 98.29% As at 12.31.2020(*) Gross exposure 7,613 12,874 759 21,246 446,157 467,403 as a percentage of total loans 1.63% 2.75% 0.16% 4.55% 95.45% Writedowns 5,967 6,492 256 12,716 4,138 16,853 as a percentage of gross value 78.39% 50.43% 33.70% 59.85% 0.93% Carrying value 1,645 6,381 503 8,530 442,019 450,550 as a percentage of total loans 0.37% 1.42% 0.11% 1.89% 98.11% Note: (*) Total loans to customers exclude the receivables arising from subleases recognised due to the application of IFRS16. Figures and ratios presented do not include loans to customers classified as non-current assets held for sale. By including these exposures belonging to Legal entities classified as held for sale as at 31 December 201 (mainly UniCredit Leasing S.p.A. and its subsidiary, UniCredit Leasing GMBH and UniCredit Leasing, Leasing, D.O.O.), the ratio between gross value of NPE loans and total gross loans moves from 3.61% to 3.79% while the ratio of write-downs on NPE gross exposure (coverage ratio) moves from 54.01% to 53.89%. From net operating profit to profit before tax The improvement of the gross operating profit (equal to €8,158 million in 2021) and the decrease of the net write-downs on loans and on provisions for guarantees and commitments (equal to a negative of €1,634 million) have resulted in a Group’s net operating profit of €6,524 million, increasing by €4,185 million compared to 2020. Group’s provisions for risk and charges were at a negative of €1,386 million, increasing in comparison to the negative amount of €1,055 million of 2020. This item includes provisions for legal cases and estimated liabilities of various nature totaling a negative amount of €349 million, in addition to the systemic charges, amounting to a negative of €1,037 million. The latter include the contributions to the Single Resolution Fund (SRF), the harmonized guarantees schemes charges (Deposits Guarantee Scheme - DGS) and the non-harmonized ones, as well as the Bank Levies. Integration costs in 2021 were at a negative amount of €1,337 million, of which a negative amount of €1,023 million are severance costs connected to the new Strategic Plan “UniCredit unlocked” in Italy, Germany and Central Europe. This amount is comparable with the negative amount of €1,464 million recorded in 2020 when, in the first half of the year, were accounted the severance charges for the Italian perimeter personnel related to “Team 23” plan, amounting to a negative amount of €1,347 million. Net income from investments in 2021 was at a negative of €2,565 million, in comparison to the negative of €1,365 million recorded last year. The 2021 amount was mainly impacted by the negative amount of €554 million related to the classification as under disposal of the Leasing business; an additional negative amount of €155 million derived from the sale on the market of 2% of the participation in Yapi Ve Kredi Bankasi A.S., mainly stemming from the recognition on the income statement of the negative FX reserve connected and a negative amount of €1,537 million was originated by the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi which determined the recognition on the income statement of the negative FX reserve. The results of 2020 were negatively impacted mainly by €1,576 million related to the sales of 20,95% of Yapi Ve Kredi Bankasi A.S. and the resulting unwinding of Joint Venture agreements with Koç Financial Services and positively impacted by €516 million of capital gains connected with Real estate disposal in Germany As an effect of the items mentioned above, in 2021 the Group registered a profit before tax of €1,236 million, compared to a loss of €1,546 million of 2020. Consolidated report on operations Group results 98 2021 Annual Report and Accounts · UniCredit Loans to customers - Asset quality (€ million) BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE TOTAL NON-PERFORMING PERFORMING TOTAL LOANS As at 12.31.2021(*) Gross exposure 4,495 10,927 845 16,268 434,434 450,702 as a percentage of total loans 1.00% 2.42% 0.19% 3.61% 96.39% Writedowns 3,374 5,091 321 8,787 4,371 13,158 as a percentage of gross value 75.06% 46.59% 38.02% 54.01% 1.01% Carrying value 1,121 5,836 524 7,481 430,063 437,544 as a percentage of total loans 0.26% 1.33% 0.12% 1.71% 98.29% As at 12.31.2020(*) Gross exposure 7,613 12,874 759 21,246 446,157 467,403 as a percentage of total loans 1.63% 2.75% 0.16% 4.55% 95.45% Writedowns 5,967 6,492 256 12,716 4,138 16,853 as a percentage of gross value 78.39% 50.43% 33.70% 59.85% 0.93% Carrying value 1,645 6,381 503 8,530 442,019 450,550 as a percentage of total loans 0.37% 1.42% 0.11% 1.89% 98.11% Note: (*) Total loans to customers exclude the receivables arising from subleases recognised due to the application of IFRS16. Figures and ratios presented do not include loans to customers classified as non-current assets held for sale. By including these exposures belonging to Legal entities classified as held for sale as at 31 December 201 (mainly UniCredit Leasing S.p.A. and its subsidiary, UniCredit Leasing GMBH and UniCredit Leasing, Leasing, D.O.O.), the ratio between gross value of NPE loans and total gross loans moves from 3.61% to 3.79% while the ratio of write-downs on NPE gross exposure (coverage ratio) moves from 54.01% to 53.89%. From net operating profit to profit before tax The improvement of the gross operating profit (equal to €8,158 million in 2021) and the decrease of the net write-downs on loans and on provisions for guarantees and commitments (equal to a negative of €1,634 million) have resulted in a Group’s net operating profit of €6,524 million, increasing by €4,185 million compared to 2020. Group’s provisions for risk and charges were at a negative of €1,386 million, increasing in comparison to the negative amount of €1,055 million of 2020. This item includes provisions for legal cases and estimated liabilities of various nature totaling a negative amount of €349 million, in addition to the systemic charges, amounting to a negative of €1,037 million. The latter include the contributions to the Single Resolution Fund (SRF), the harmonized guarantees schemes charges (Deposits Guarantee Scheme - DGS) and the non-harmonized ones, as well as the Bank Levies. Integration costs in 2021 were at a negative amount of €1,337 million, of which a negative amount of €1,023 million are severance costs connected to the new Strategic Plan “UniCredit unlocked” in Italy, Germany and Central Europe. This amount is comparable with the negative amount of €1,464 million recorded in 2020 when, in the first half of the year, were accounted the severance charges for the Italian perimeter personnel related to “Team 23” plan, amounting to a negative amount of €1,347 million. Net income from investments in 2021 was at a negative of €2,565 million, in comparison to the negative of €1,365 million recorded last year. The 2021 amount was mainly impacted by the negative amount of €554 million related to the classification as under disposal of the Leasing business; an additional negative amount of €155 million derived from the sale on the market of 2% of the participation in Yapi Ve Kredi Bankasi A.S., mainly stemming from the recognition on the income statement of the negative FX reserve connected and a negative amount of €1,537 million was originated by the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi which determined the recognition on the income statement of the negative FX reserve. The results of 2020 were negatively impacted mainly by €1,576 million related to the sales of 20,95% of Yapi Ve Kredi Bankasi A.S. and the resulting unwinding of Joint Venture agreements with Koç Financial Services and positively impacted by €516 million of capital gains connected with Real estate disposal in Germany As an effect of the items mentioned above, in 2021 the Group registered a profit before tax of €1,236 million, compared to a loss of €1,546 million of 2020. Consolidated report on operations Group results 98 2021 Annual Report and Accounts · UniCredit Loans to customers - Asset quality (€ million) BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE TOTAL NON-PERFORMING PERFORMING TOTAL LOANS As at 12.31.2021(*) Gross exposure 4,495 10,927 845 16,268 434,434 450,702 as a percentage of total loans 1.00% 2.42% 0.19% 3.61% 96.39% Writedowns 3,374 5,091 321 8,787 4,371 13,158 as a percentage of gross value 75.06% 46.59% 38.02% 54.01% 1.01% Carrying value 1,121 5,836 524 7,481 430,063 437,544 as a percentage of total loans 0.26% 1.33% 0.12% 1.71% 98.29% As at 12.31.2020(*) Gross exposure 7,613 12,874 759 21,246 446,157 467,403 as a percentage of total loans 1.63% 2.75% 0.16% 4.55% 95.45% Writedowns 5,967 6,492 256 12,716 4,138 16,853 as a percentage of gross value 78.39% 50.43% 33.70% 59.85% 0.93% Carrying value 1,645 6,381 503 8,530 442,019 450,550 as a percentage of total loans 0.37% 1.42% 0.11% 1.89% 98.11% Note: (*) Total loans to customers exclude the receivables arising from subleases recognised due to the application of IFRS16. Figures and ratios presented do not include loans to customers classified as non-current assets held for sale. By including these exposures belonging to Legal entities classified as held for sale as at 31 December 201 (mainly UniCredit Leasing S.p.A. and its subsidiary, UniCredit Leasing GMBH and UniCredit Leasing, Leasing, D.O.O.), the ratio between gross value of NPE loans and total gross loans moves from 3.61% to 3.79% while the ratio of write-downs on NPE gross exposure (coverage ratio) moves from 54.01% to 53.89%. From net operating profit to profit before tax The improvement of the gross operating profit (equal to €8,158 million in 2021) and the decrease of the net write-downs on loans and on provisions for guarantees and commitments (equal to a negative of €1,634 million) have resulted in a Group’s net operating profit of €6,524 million, increasing by €4,185 million compared to 2020. Group’s provisions for risk and charges were at a negative of €1,386 million, increasing in comparison to the negative amount of €1,055 million of 2020. This item includes provisions for legal cases and estimated liabilities of various nature totaling a negative amount of €349 million, in addition to the systemic charges, amounting to a negative of €1,037 million. The latter include the contributions to the Single Resolution Fund (SRF), the harmonized guarantees schemes charges (Deposits Guarantee Scheme - DGS) and the non-harmonized ones, as well as the Bank Levies. Integration costs in 2021 were at a negative amount of €1,337 million, of which a negative amount of €1,023 million are severance costs connected to the new Strategic Plan “UniCredit unlocked” in Italy, Germany and Central Europe. This amount is comparable with the negative amount of €1,464 million recorded in 2020 when, in the first half of the year, were accounted the severance charges for the Italian perimeter personnel related to “Team 23” plan, amounting to a negative amount of €1,347 million. Net income from investments in 2021 was at a negative of €2,565 million, in comparison to the negative of €1,365 million recorded last year. The 2021 amount was mainly impacted by the negative amount of €554 million related to the classification as under disposal of the Leasing business; an additional negative amount of €155 million derived from the sale on the market of 2% of the participation in Yapi Ve Kredi Bankasi A.S., mainly stemming from the recognition on the income statement of the negative FX reserve connected and a negative amount of €1,537 million was originated by the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi which determined the recognition on the income statement of the negative FX reserve. The results of 2020 were negatively impacted mainly by €1,576 million related to the sales of 20,95% of Yapi Ve Kredi Bankasi A.S. and the resulting unwinding of Joint Venture agreements with Koç Financial Services and positively impacted by €516 million of capital gains connected with Real estate disposal in Germany As an effect of the items mentioned above, in 2021 the Group registered a profit before tax of €1,236 million, compared to a loss of €1,546 million of 2020. Consolidated report on operations Group results 98 2021 Annual Report and Accounts · UniCredit Loans to customers - Asset quality (€ million) BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE TOTAL NON-PERFORMING PERFORMING TOTAL LOANS As at 12.31.2021(*) Gross exposure 4,495 10,927 845 16,268 434,434 450,702 as a percentage of total loans 1.00% 2.42% 0.19% 3.61% 96.39% Writedowns 3,374 5,091 321 8,787 4,371 13,158 as a percentage of gross value 75.06% 46.59% 38.02% 54.01% 1.01% Carrying value 1,121 5,836 524 7,481 430,063 437,544 as a percentage of total loans 0.26% 1.33% 0.12% 1.71% 98.29% As at 12.31.2020(*) Gross exposure 7,613 12,874 759 21,246 446,157 467,403 as a percentage of total loans 1.63% 2.75% 0.16% 4.55% 95.45% Writedowns 5,967 6,492 256 12,716 4,138 16,853 as a percentage of gross value 78.39% 50.43% 33.70% 59.85% 0.93% Carrying value 1,645 6,381 503 8,530 442,019 450,550 as a percentage of total loans 0.37% 1.42% 0.11% 1.89% 98.11% Note: (*) Total loans to customers exclude the receivables arising from subleases recognised due to the application of IFRS16. Figures and ratios presented do not include loans to customers classified as non-current assets held for sale. By including these exposures belonging to Legal entities classified as held for sale as at 31 December 201 (mainly UniCredit Leasing S.p.A. and its subsidiary, UniCredit Leasing GMBH and UniCredit Leasing, Leasing, D.O.O.), the ratio between gross value of NPE loans and total gross loans moves from 3.61% to 3.79% while the ratio of write-downs on NPE gross exposure (coverage ratio) moves from 54.01% to 53.89%. From net operating profit to profit before tax The improvement of the gross operating profit (equal to €8,158 million in 2021) and the decrease of the net write-downs on loans and on provisions for guarantees and commitments (equal to a negative of €1,634 million) have resulted in a Group’s net operating profit of €6,524 million, increasing by €4,185 million compared to 2020. Group’s provisions for risk and charges were at a negative of €1,386 million, increasing in comparison to the negative amount of €1,055 million of 2020. This item includes provisions for legal cases and estimated liabilities of various nature totaling a negative amount of €349 million, in addition to the systemic charges, amounting to a negative of €1,037 million. The latter include the contributions to the Single Resolution Fund (SRF), the harmonized guarantees schemes charges (Deposits Guarantee Scheme - DGS) and the non-harmonized ones, as well as the Bank Levies. Integration costs in 2021 were at a negative amount of €1,337 million, of which a negative amount of €1,023 million are severance costs connected to the new Strategic Plan “UniCredit unlocked” in Italy, Germany and Central Europe. This amount is comparable with the negative amount of €1,464 million recorded in 2020 when, in the first half of the year, were accounted the severance charges for the Italian perimeter personnel related to “Team 23” plan, amounting to a negative amount of €1,347 million. Net income from investments in 2021 was at a negative of €2,565 million, in comparison to the negative of €1,365 million recorded last year. The 2021 amount was mainly impacted by the negative amount of €554 million related to the classification as under disposal of the Leasing business; an additional negative amount of €155 million derived from the sale on the market of 2% of the participation in Yapi Ve Kredi Bankasi A.S., mainly stemming from the recognition on the income statement of the negative FX reserve connected and a negative amount of €1,537 million was originated by the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi which determined the recognition on the income statement of the negative FX reserve. The results of 2020 were negatively impacted mainly by €1,576 million related to the sales of 20,95% of Yapi Ve Kredi Bankasi A.S. and the resulting unwinding of Joint Venture agreements with Koç Financial Services and positively impacted by €516 million of capital gains connected with Real estate disposal in Germany As an effect of the items mentioned above, in 2021 the Group registered a profit before tax of €1,236 million, compared to a loss of €1,546 million of 2020. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 99 Profit before tax by business segment (€ million) OPERATING INCOME OPERATING COSTS NET WRITE-DOWNS ON LOANS AND PROVISIONS NET OPERATING PROFIT PROFIT BEFORE TAX YEAR 2021 2020 Italy 8,415 (3,997) (1,033) 3,385 1,988 (612) Germany 4,454 (2,692) (118) 1,645 521 996 Central Europe 3,007 (1,664) (261) 1,081 548 282 Eastern Europe 2,357 (1,013) (281) 1,063 939 401 Group Corporate Centre (223) (357) (3) (583) (2,629) (2,273) Non Core (56) (74) 61 (68) (132) (339) Group Total 17,954 (9,797) (1,634) 6,524 1,236 (1,546) Profit (Loss) attributable to the Group In 2021, the Group’s income taxes line resulted in a positive amount of €330 million, in comparison to the negative amount of €344 million in 2020; the amount of the current year was positively impacted by €1,164 million connected to the registration of new deferred tax assets from tax losses carried forward, consequences of the update of the sustainability test on the base of the new projections of the “UniCredit unlocked” Strategic Plan, approved by the Board of Directors (BoD) on 8 December 2021 meeting and presented to the market on the next day. Other taxes, on the other hand, are negative, reflecting overall the higher profitability achieved by the Group in 2021, net of non-recurring items that are not tax deductible. Profit from discontinued operations net of taxes in 2021 was €4 million, compared to the €49 million of last year. The profit for the period of 2021 was €1,570 million, in comparison to the loss of €1,842 million of 2020. Minorities, conventionally exposed with negative sign, were at -€30 million compared to -€7 million of the prior year. Purchase price allocation was at a negative of €1 million, compared to a negative of €50 million in 2020. The amount accounted in 2020 is almost entirely (a negative of €49 million) related to non-recurring revenues from the real estate sale in Germany. Consequently, in 2021 the net profit attributable to the Group amounted to €1,540 million, compared to the loss of €2,785 million of 2020. Net of non-recurring items, the Group achieved a profit underlying of €3,900 million, compared to €1,264 million of 2020. Profit (Loss) attributable to the Group (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 17,954 17,132 + 4.8% 4,436 + 0.0% Operating costs (9,797) (9,797) - 0.0% (2,472) + 0.9% Operating profit (loss) 8,158 7,335 + 11.2% 1,963 - 1.1% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) - 67.3% (810) n.m. Net operating profit (loss) 6,524 2,339 n.m. 1,153 - 31.7% Other charges and provisions (1,386) (1,055) + 31.4% (274) + 40.7% Integration costs (1,337) (1,464) - 8.7% (1,327) n.m. Net income from investment (2,565) (1,365) + 87.9% (2,325) n.m. Profit (Loss) before tax 1,236 (1,546) n.m. (2,772) n.m. Income tax for the period 330 (344) n.m. 1,338 n.m. Profit (Loss) from non-current assets held for sale, after tax 4 49 - 92.2% 2 n.m. Profit (Loss) for the period 1,570 (1,842) n.m. (1,432) n.m. Minorities (30) (7) n.m. (8) - 24.6% Net profit (loss) attributable to the Group before PPA 1,540 (1,849) n.m. (1,439) n.m. Purchase Price Allocation effects (1) (50) - 98.6% - n.m. Goodwill impairment - (886) - 100.0% - n.m. Net profit (loss) attributable to the Group 1,540 (2,785) n.m. (1,439) n.m. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 99 Profit before tax by business segment (€ million) OPERATING INCOME OPERATING COSTS NET WRITE-DOWNS ON LOANS AND PROVISIONS NET OPERATING PROFIT PROFIT BEFORE TAX YEAR 2021 2020 Italy 8,415 (3,997) (1,033) 3,385 1,988 (612) Germany 4,454 (2,692) (118) 1,645 521 996 Central Europe 3,007 (1,664) (261) 1,081 548 282 Eastern Europe 2,357 (1,013) (281) 1,063 939 401 Group Corporate Centre (223) (357) (3) (583) (2,629) (2,273) Non Core (56) (74) 61 (68) (132) (339) Group Total 17,954 (9,797) (1,634) 6,524 1,236 (1,546) Profit (Loss) attributable to the Group In 2021, the Group’s income taxes line resulted in a positive amount of €330 million, in comparison to the negative amount of €344 million in 2020; the amount of the current year was positively impacted by €1,164 million connected to the registration of new deferred tax assets from tax losses carried forward, consequences of the update of the sustainability test on the base of the new projections of the “UniCredit unlocked” Strategic Plan, approved by the Board of Directors (BoD) on 8 December 2021 meeting and presented to the market on the next day. Other taxes, on the other hand, are negative, reflecting overall the higher profitability achieved by the Group in 2021, net of non-recurring items that are not tax deductible. Profit from discontinued operations net of taxes in 2021 was €4 million, compared to the €49 million of last year. The profit for the period of 2021 was €1,570 million, in comparison to the loss of €1,842 million of 2020. Minorities, conventionally exposed with negative sign, were at -€30 million compared to -€7 million of the prior year. Purchase price allocation was at a negative of €1 million, compared to a negative of €50 million in 2020. The amount accounted in 2020 is almost entirely (a negative of €49 million) related to non-recurring revenues from the real estate sale in Germany. Consequently, in 2021 the net profit attributable to the Group amounted to €1,540 million, compared to the loss of €2,785 million of 2020. Net of non-recurring items, the Group achieved a profit underlying of €3,900 million, compared to €1,264 million of 2020. Profit (Loss) attributable to the Group (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 17,954 17,132 + 4.8% 4,436 + 0.0% Operating costs (9,797) (9,797) - 0.0% (2,472) + 0.9% Operating profit (loss) 8,158 7,335 + 11.2% 1,963 - 1.1% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) - 67.3% (810) n.m. Net operating profit (loss) 6,524 2,339 n.m. 1,153 - 31.7% Other charges and provisions (1,386) (1,055) + 31.4% (274) + 40.7% Integration costs (1,337) (1,464) - 8.7% (1,327) n.m. Net income from investment (2,565) (1,365) + 87.9% (2,325) n.m. Profit (Loss) before tax 1,236 (1,546) n.m. (2,772) n.m. Income tax for the period 330 (344) n.m. 1,338 n.m. Profit (Loss) from non-current assets held for sale, after tax 4 49 - 92.2% 2 n.m. Profit (Loss) for the period 1,570 (1,842) n.m. (1,432) n.m. Minorities (30) (7) n.m. (8) - 24.6% Net profit (loss) attributable to the Group before PPA 1,540 (1,849) n.m. (1,439) n.m. Purchase Price Allocation effects (1) (50) - 98.6% - n.m. Goodwill impairment - (886) - 100.0% - n.m. Net profit (loss) attributable to the Group 1,540 (2,785) n.m. (1,439) n.m. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 99 Profit before tax by business segment (€ million) OPERATING INCOME OPERATING COSTS NET WRITE-DOWNS ON LOANS AND PROVISIONS NET OPERATING PROFIT PROFIT BEFORE TAX YEAR 2021 2020 Italy 8,415 (3,997) (1,033) 3,385 1,988 (612) Germany 4,454 (2,692) (118) 1,645 521 996 Central Europe 3,007 (1,664) (261) 1,081 548 282 Eastern Europe 2,357 (1,013) (281) 1,063 939 401 Group Corporate Centre (223) (357) (3) (583) (2,629) (2,273) Non Core (56) (74) 61 (68) (132) (339) Group Total 17,954 (9,797) (1,634) 6,524 1,236 (1,546) Profit (Loss) attributable to the Group In 2021, the Group’s income taxes line resulted in a positive amount of €330 million, in comparison to the negative amount of €344 million in 2020; the amount of the current year was positively impacted by €1,164 million connected to the registration of new deferred tax assets from tax losses carried forward, consequences of the update of the sustainability test on the base of the new projections of the “UniCredit unlocked” Strategic Plan, approved by the Board of Directors (BoD) on 8 December 2021 meeting and presented to the market on the next day. Other taxes, on the other hand, are negative, reflecting overall the higher profitability achieved by the Group in 2021, net of non-recurring items that are not tax deductible. Profit from discontinued operations net of taxes in 2021 was €4 million, compared to the €49 million of last year. The profit for the period of 2021 was €1,570 million, in comparison to the loss of €1,842 million of 2020. Minorities, conventionally exposed with negative sign, were at -€30 million compared to -€7 million of the prior year. Purchase price allocation was at a negative of €1 million, compared to a negative of €50 million in 2020. The amount accounted in 2020 is almost entirely (a negative of €49 million) related to non-recurring revenues from the real estate sale in Germany. Consequently, in 2021 the net profit attributable to the Group amounted to €1,540 million, compared to the loss of €2,785 million of 2020. Net of non-recurring items, the Group achieved a profit underlying of €3,900 million, compared to €1,264 million of 2020. Profit (Loss) attributable to the Group (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 17,954 17,132 + 4.8% 4,436 + 0.0% Operating costs (9,797) (9,797) - 0.0% (2,472) + 0.9% Operating profit (loss) 8,158 7,335 + 11.2% 1,963 - 1.1% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) - 67.3% (810) n.m. Net operating profit (loss) 6,524 2,339 n.m. 1,153 - 31.7% Other charges and provisions (1,386) (1,055) + 31.4% (274) + 40.7% Integration costs (1,337) (1,464) - 8.7% (1,327) n.m. Net income from investment (2,565) (1,365) + 87.9% (2,325) n.m. Profit (Loss) before tax 1,236 (1,546) n.m. (2,772) n.m. Income tax for the period 330 (344) n.m. 1,338 n.m. Profit (Loss) from non-current assets held for sale, after tax 4 49 - 92.2% 2 n.m. Profit (Loss) for the period 1,570 (1,842) n.m. (1,432) n.m. Minorities (30) (7) n.m. (8) - 24.6% Net profit (loss) attributable to the Group before PPA 1,540 (1,849) n.m. (1,439) n.m. Purchase Price Allocation effects (1) (50) - 98.6% - n.m. Goodwill impairment - (886) - 100.0% - n.m. Net profit (loss) attributable to the Group 1,540 (2,785) n.m. (1,439) n.m. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 99 Profit before tax by business segment (€ million) OPERATING INCOME OPERATING COSTS NET WRITE-DOWNS ON LOANS AND PROVISIONS NET OPERATING PROFIT PROFIT BEFORE TAX YEAR 2021 2020 Italy 8,415 (3,997) (1,033) 3,385 1,988 (612) Germany 4,454 (2,692) (118) 1,645 521 996 Central Europe 3,007 (1,664) (261) 1,081 548 282 Eastern Europe 2,357 (1,013) (281) 1,063 939 401 Group Corporate Centre (223) (357) (3) (583) (2,629) (2,273) Non Core (56) (74) 61 (68) (132) (339) Group Total 17,954 (9,797) (1,634) 6,524 1,236 (1,546) Profit (Loss) attributable to the Group In 2021, the Group’s income taxes line resulted in a positive amount of €330 million, in comparison to the negative amount of €344 million in 2020; the amount of the current year was positively impacted by €1,164 million connected to the registration of new deferred tax assets from tax losses carried forward, consequences of the update of the sustainability test on the base of the new projections of the “UniCredit unlocked” Strategic Plan, approved by the Board of Directors (BoD) on 8 December 2021 meeting and presented to the market on the next day. Other taxes, on the other hand, are negative, reflecting overall the higher profitability achieved by the Group in 2021, net of non-recurring items that are not tax deductible. Profit from discontinued operations net of taxes in 2021 was €4 million, compared to the €49 million of last year. The profit for the period of 2021 was €1,570 million, in comparison to the loss of €1,842 million of 2020. Minorities, conventionally exposed with negative sign, were at -€30 million compared to -€7 million of the prior year. Purchase price allocation was at a negative of €1 million, compared to a negative of €50 million in 2020. The amount accounted in 2020 is almost entirely (a negative of €49 million) related to non-recurring revenues from the real estate sale in Germany. Consequently, in 2021 the net profit attributable to the Group amounted to €1,540 million, compared to the loss of €2,785 million of 2020. Net of non-recurring items, the Group achieved a profit underlying of €3,900 million, compared to €1,264 million of 2020. Profit (Loss) attributable to the Group (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 17,954 17,132 + 4.8% 4,436 + 0.0% Operating costs (9,797) (9,797) - 0.0% (2,472) + 0.9% Operating profit (loss) 8,158 7,335 + 11.2% 1,963 - 1.1% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) - 67.3% (810) n.m. Net operating profit (loss) 6,524 2,339 n.m. 1,153 - 31.7% Other charges and provisions (1,386) (1,055) + 31.4% (274) + 40.7% Integration costs (1,337) (1,464) - 8.7% (1,327) n.m. Net income from investment (2,565) (1,365) + 87.9% (2,325) n.m. Profit (Loss) before tax 1,236 (1,546) n.m. (2,772) n.m. Income tax for the period 330 (344) n.m. 1,338 n.m. Profit (Loss) from non-current assets held for sale, after tax 4 49 - 92.2% 2 n.m. Profit (Loss) for the period 1,570 (1,842) n.m. (1,432) n.m. Minorities (30) (7) n.m. (8) - 24.6% Net profit (loss) attributable to the Group before PPA 1,540 (1,849) n.m. (1,439) n.m. Purchase Price Allocation effects (1) (50) - 98.6% - n.m. Goodwill impairment - (886) - 100.0% - n.m. Net profit (loss) attributable to the Group 1,540 (2,785) n.m. (1,439) n.m. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 99 Profit before tax by business segment (€ million) OPERATING INCOME OPERATING COSTS NET WRITE-DOWNS ON LOANS AND PROVISIONS NET OPERATING PROFIT PROFIT BEFORE TAX YEAR 2021 2020 Italy 8,415 (3,997) (1,033) 3,385 1,988 (612) Germany 4,454 (2,692) (118) 1,645 521 996 Central Europe 3,007 (1,664) (261) 1,081 548 282 Eastern Europe 2,357 (1,013) (281) 1,063 939 401 Group Corporate Centre (223) (357) (3) (583) (2,629) (2,273) Non Core (56) (74) 61 (68) (132) (339) Group Total 17,954 (9,797) (1,634) 6,524 1,236 (1,546) Profit (Loss) attributable to the Group In 2021, the Group’s income taxes line resulted in a positive amount of €330 million, in comparison to the negative amount of €344 million in 2020; the amount of the current year was positively impacted by €1,164 million connected to the registration of new deferred tax assets from tax losses carried forward, consequences of the update of the sustainability test on the base of the new projections of the “UniCredit unlocked” Strategic Plan, approved by the Board of Directors (BoD) on 8 December 2021 meeting and presented to the market on the next day. Other taxes, on the other hand, are negative, reflecting overall the higher profitability achieved by the Group in 2021, net of non-recurring items that are not tax deductible. Profit from discontinued operations net of taxes in 2021 was €4 million, compared to the €49 million of last year. The profit for the period of 2021 was €1,570 million, in comparison to the loss of €1,842 million of 2020. Minorities, conventionally exposed with negative sign, were at -€30 million compared to -€7 million of the prior year. Purchase price allocation was at a negative of €1 million, compared to a negative of €50 million in 2020. The amount accounted in 2020 is almost entirely (a negative of €49 million) related to non-recurring revenues from the real estate sale in Germany. Consequently, in 2021 the net profit attributable to the Group amounted to €1,540 million, compared to the loss of €2,785 million of 2020. Net of non-recurring items, the Group achieved a profit underlying of €3,900 million, compared to €1,264 million of 2020. Profit (Loss) attributable to the Group (€ million) YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 17,954 17,132 + 4.8% 4,436 + 0.0% Operating costs (9,797) (9,797) - 0.0% (2,472) + 0.9% Operating profit (loss) 8,158 7,335 + 11.2% 1,963 - 1.1% Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) - 67.3% (810) n.m. Net operating profit (loss) 6,524 2,339 n.m. 1,153 - 31.7% Other charges and provisions (1,386) (1,055) + 31.4% (274) + 40.7% Integration costs (1,337) (1,464) - 8.7% (1,327) n.m. Net income from investment (2,565) (1,365) + 87.9% (2,325) n.m. Profit (Loss) before tax 1,236 (1,546) n.m. (2,772) n.m. Income tax for the period 330 (344) n.m. 1,338 n.m. Profit (Loss) from non-current assets held for sale, after tax 4 49 - 92.2% 2 n.m. Profit (Loss) for the period 1,570 (1,842) n.m. (1,432) n.m. Minorities (30) (7) n.m. (8) - 24.6% Net profit (loss) attributable to the Group before PPA 1,540 (1,849) n.m. (1,439) n.m. Purchase Price Allocation effects (1) (50) - 98.6% - n.m. Goodwill impairment - (886) - 100.0% - n.m. Net profit (loss) attributable to the Group 1,540 (2,785) n.m. (1,439) n.m. Consolidated report on operations Group results 100 2021 Annual Report and Accounts · UniCredit Capital and value management Principles of value creation and capital allocation In order to create value for the shareholders, the Group’s strategic guidelines aim at optimising the composition of the business portfolio. This goal is pursued through a process of capital allocation to each business line in relation to its specific risk profile and ability to generate sustainable earnings measured as EVA (Economic Value Added), which is the main performance indicator linked to TSR (Total Shareholder Return). The capital allocated to business segments is quantified applying internal capitalisation targets to regulatory capital requirements (Regulatory Capital). The development of Group operations with a view to value creation requires a process of allocating and managing capital governed by different phases in the process of planning and control, articulated as: • formulation of the proposed risk propensity and capitalisation targets; • analysis of the risks associated with the value drivers and resulting allocation of capital to the business lines and to the Business Units; • assignment of performance targets in line with risk; • analysis of the impact on the Group’s value and of the creation of value for shareholders; • drafting and proposal of the financial plan, capital plan and dividend policy. The Group dynamically manages its capital base by monitoring regulatory capital ratios, anticipating the appropriate changes necessary to achieve its defined targets, and optimising the composition of its assets and equity. Planning and monitoring refer, on the one hand, to the total Own Funds (Common Equity Tier 1, Additional Tier 1 and Tier 2 Capital), TLAC and Leverage Ratio and, on the other hand, to the Risk-Weighted Assets (RWAs). The Risk-Weighted Assets, for portfolios managed using the internal advanced models, do not only depend on the nominal value of the assets but also on the relevant credit parameters. Besides volume dynamics, it is also crucial to monitor and forecast the change in the asset quality of the portfolio in view of the macroeconomic scenario (the so-called pro-cyclical effect). Following the financial crisis that unfolded in 2007-2008, the European Union implemented a substantial reform of the financial services regulatory framework to enhance the resilience of its financial institutions. This reform was largely based on international standards agreed in 2010 by the Basel Committee on Banking Supervision, known as the Basel 3 framework. Among its many measures, the reform package included the adoption of Regulation (EU) 575/2013 of the European Parliament and of the Council and Directive 2013/36/EU of the European Parliament and of the Council, which strengthened the prudential requirements for credit institutions and investment firms. These rules have been modified by Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (so-called CRR2), amending Regulation (EU) 575/2013 and by Directive (EU) 2019/878 of the European Parliament and of the Council of 20 May 2019 (so-called CRD V), amending Directive 2013/36/EU. Capital ratios Transitional own funds and capital ratios (€ million) AS AT 12.31.2021(*) 12.31.2020(*) Common Equity Tier 1 Capital 50,933 51,971 Tier 1 Capital 57,780 59,321 Total own funds 64,850 67,464 Total RWA 321,992 325,665 Common Equity Tier 1 Capital Ratio 15.82% 15.96% Tier 1 Capital Ratio 17.94% 18.22% Total Capital Ratio 20.14% 20.72% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. Furthermore, starting from 30 June 2020, UniCredit group has decided to apply the IFRS9 transitional approach as reported in article 473a of the Regulation (UE) 873/2020 that amends the Regulation (EU) 575/2013 and Regulation (EU) 876/2019. Therefore, the values here reported reflect the impact of the transitional arrangements provisioned in such Regulation. The negative change with respect to 31 December 2020, equal to €1.0 billion on Common Equity Tier 1 Capital, mainly reflects: (i) the higher deduction for €1,2 billion on deferred tax assets that rely on future profitability and do not arise from temporary differences, resulting from the Deferred Tax Assets sustainability test related to tax losses carry forward (TLCF) of the Italian tax perimeter carried out in the fourth quarter 2021; (ii) negative effect of the deduction for €831 million connected to the “First Buy-Back Programme” (€179 million) and “Second Buy-Back Programme” (€652 million); (iii) the higher deduction for €473 million connected to the exceedance of the 17.65% of Common Equity Tier 1 Capital after applying Consolidated report on operations Group results 100 2021 Annual Report and Accounts · UniCredit Capital and value management Principles of value creation and capital allocation In order to create value for the shareholders, the Group’s strategic guidelines aim at optimising the composition of the business portfolio. This goal is pursued through a process of capital allocation to each business line in relation to its specific risk profile and ability to generate sustainable earnings measured as EVA (Economic Value Added), which is the main performance indicator linked to TSR (Total Shareholder Return). The capital allocated to business segments is quantified applying internal capitalisation targets to regulatory capital requirements (Regulatory Capital). The development of Group operations with a view to value creation requires a process of allocating and managing capital governed by different phases in the process of planning and control, articulated as: • formulation of the proposed risk propensity and capitalisation targets; • analysis of the risks associated with the value drivers and resulting allocation of capital to the business lines and to the Business Units; • assignment of performance targets in line with risk; • analysis of the impact on the Group’s value and of the creation of value for shareholders; • drafting and proposal of the financial plan, capital plan and dividend policy. The Group dynamically manages its capital base by monitoring regulatory capital ratios, anticipating the appropriate changes necessary to achieve its defined targets, and optimising the composition of its assets and equity. Planning and monitoring refer, on the one hand, to the total Own Funds (Common Equity Tier 1, Additional Tier 1 and Tier 2 Capital), TLAC and Leverage Ratio and, on the other hand, to the Risk-Weighted Assets (RWAs). The Risk-Weighted Assets, for portfolios managed using the internal advanced models, do not only depend on the nominal value of the assets but also on the relevant credit parameters. Besides volume dynamics, it is also crucial to monitor and forecast the change in the asset quality of the portfolio in view of the macroeconomic scenario (the so-called pro-cyclical effect). Following the financial crisis that unfolded in 2007-2008, the European Union implemented a substantial reform of the financial services regulatory framework to enhance the resilience of its financial institutions. This reform was largely based on international standards agreed in 2010 by the Basel Committee on Banking Supervision, known as the Basel 3 framework. Among its many measures, the reform package included the adoption of Regulation (EU) 575/2013 of the European Parliament and of the Council and Directive 2013/36/EU of the European Parliament and of the Council, which strengthened the prudential requirements for credit institutions and investment firms. These rules have been modified by Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (so-called CRR2), amending Regulation (EU) 575/2013 and by Directive (EU) 2019/878 of the European Parliament and of the Council of 20 May 2019 (so-called CRD V), amending Directive 2013/36/EU. Capital ratios Transitional own funds and capital ratios (€ million) AS AT 12.31.2021(*) 12.31.2020(*) Common Equity Tier 1 Capital 50,933 51,971 Tier 1 Capital 57,780 59,321 Total own funds 64,850 67,464 Total RWA 321,992 325,665 Common Equity Tier 1 Capital Ratio 15.82% 15.96% Tier 1 Capital Ratio 17.94% 18.22% Total Capital Ratio 20.14% 20.72% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. Furthermore, starting from 30 June 2020, UniCredit group has decided to apply the IFRS9 transitional approach as reported in article 473a of the Regulation (UE) 873/2020 that amends the Regulation (EU) 575/2013 and Regulation (EU) 876/2019. Therefore, the values here reported reflect the impact of the transitional arrangements provisioned in such Regulation. The negative change with respect to 31 December 2020, equal to €1.0 billion on Common Equity Tier 1 Capital, mainly reflects: (i) the higher deduction for €1,2 billion on deferred tax assets that rely on future profitability and do not arise from temporary differences, resulting from the Deferred Tax Assets sustainability test related to tax losses carry forward (TLCF) of the Italian tax perimeter carried out in the fourth quarter 2021; (ii) negative effect of the deduction for €831 million connected to the “First Buy-Back Programme” (€179 million) and “Second Buy-Back Programme” (€652 million); (iii) the higher deduction for €473 million connected to the exceedance of the 17.65% of Common Equity Tier 1 Capital after applying Consolidated report on operations Group results 100 2021 Annual Report and Accounts · UniCredit Capital and value management Principles of value creation and capital allocation In order to create value for the shareholders, the Group’s strategic guidelines aim at optimising the composition of the business portfolio. This goal is pursued through a process of capital allocation to each business line in relation to its specific risk profile and ability to generate sustainable earnings measured as EVA (Economic Value Added), which is the main performance indicator linked to TSR (Total Shareholder Return). The capital allocated to business segments is quantified applying internal capitalisation targets to regulatory capital requirements (Regulatory Capital). The development of Group operations with a view to value creation requires a process of allocating and managing capital governed by different phases in the process of planning and control, articulated as: • formulation of the proposed risk propensity and capitalisation targets; • analysis of the risks associated with the value drivers and resulting allocation of capital to the business lines and to the Business Units; • assignment of performance targets in line with risk; • analysis of the impact on the Group’s value and of the creation of value for shareholders; • drafting and proposal of the financial plan, capital plan and dividend policy. The Group dynamically manages its capital base by monitoring regulatory capital ratios, anticipating the appropriate changes necessary to achieve its defined targets, and optimising the composition of its assets and equity. Planning and monitoring refer, on the one hand, to the total Own Funds (Common Equity Tier 1, Additional Tier 1 and Tier 2 Capital), TLAC and Leverage Ratio and, on the other hand, to the Risk-Weighted Assets (RWAs). The Risk-Weighted Assets, for portfolios managed using the internal advanced models, do not only depend on the nominal value of the assets but also on the relevant credit parameters. Besides volume dynamics, it is also crucial to monitor and forecast the change in the asset quality of the portfolio in view of the macroeconomic scenario (the so-called pro-cyclical effect). Following the financial crisis that unfolded in 2007-2008, the European Union implemented a substantial reform of the financial services regulatory framework to enhance the resilience of its financial institutions. This reform was largely based on international standards agreed in 2010 by the Basel Committee on Banking Supervision, known as the Basel 3 framework. Among its many measures, the reform package included the adoption of Regulation (EU) 575/2013 of the European Parliament and of the Council and Directive 2013/36/EU of the European Parliament and of the Council, which strengthened the prudential requirements for credit institutions and investment firms. These rules have been modified by Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (so-called CRR2), amending Regulation (EU) 575/2013 and by Directive (EU) 2019/878 of the European Parliament and of the Council of 20 May 2019 (so-called CRD V), amending Directive 2013/36/EU. Capital ratios Transitional own funds and capital ratios (€ million) AS AT 12.31.2021(*) 12.31.2020(*) Common Equity Tier 1 Capital 50,933 51,971 Tier 1 Capital 57,780 59,321 Total own funds 64,850 67,464 Total RWA 321,992 325,665 Common Equity Tier 1 Capital Ratio 15.82% 15.96% Tier 1 Capital Ratio 17.94% 18.22% Total Capital Ratio 20.14% 20.72% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. Furthermore, starting from 30 June 2020, UniCredit group has decided to apply the IFRS9 transitional approach as reported in article 473a of the Regulation (UE) 873/2020 that amends the Regulation (EU) 575/2013 and Regulation (EU) 876/2019. Therefore, the values here reported reflect the impact of the transitional arrangements provisioned in such Regulation. The negative change with respect to 31 December 2020, equal to €1.0 billion on Common Equity Tier 1 Capital, mainly reflects: (i) the higher deduction for €1,2 billion on deferred tax assets that rely on future profitability and do not arise from temporary differences, resulting from the Deferred Tax Assets sustainability test related to tax losses carry forward (TLCF) of the Italian tax perimeter carried out in the fourth quarter 2021; (ii) negative effect of the deduction for €831 million connected to the “First Buy-Back Programme” (€179 million) and “Second Buy-Back Programme” (€652 million); (iii) the higher deduction for €473 million connected to the exceedance of the 17.65% of Common Equity Tier 1 Capital after applying Consolidated report on operations Group results 100 2021 Annual Report and Accounts · UniCredit Capital and value management Principles of value creation and capital allocation In order to create value for the shareholders, the Group’s strategic guidelines aim at optimising the composition of the business portfolio. This goal is pursued through a process of capital allocation to each business line in relation to its specific risk profile and ability to generate sustainable earnings measured as EVA (Economic Value Added), which is the main performance indicator linked to TSR (Total Shareholder Return). The capital allocated to business segments is quantified applying internal capitalisation targets to regulatory capital requirements (Regulatory Capital). The development of Group operations with a view to value creation requires a process of allocating and managing capital governed by different phases in the process of planning and control, articulated as: • formulation of the proposed risk propensity and capitalisation targets; • analysis of the risks associated with the value drivers and resulting allocation of capital to the business lines and to the Business Units; • assignment of performance targets in line with risk; • analysis of the impact on the Group’s value and of the creation of value for shareholders; • drafting and proposal of the financial plan, capital plan and dividend policy. The Group dynamically manages its capital base by monitoring regulatory capital ratios, anticipating the appropriate changes necessary to achieve its defined targets, and optimising the composition of its assets and equity. Planning and monitoring refer, on the one hand, to the total Own Funds (Common Equity Tier 1, Additional Tier 1 and Tier 2 Capital), TLAC and Leverage Ratio and, on the other hand, to the Risk-Weighted Assets (RWAs). The Risk-Weighted Assets, for portfolios managed using the internal advanced models, do not only depend on the nominal value of the assets but also on the relevant credit parameters. Besides volume dynamics, it is also crucial to monitor and forecast the change in the asset quality of the portfolio in view of the macroeconomic scenario (the so-called pro-cyclical effect). Following the financial crisis that unfolded in 2007-2008, the European Union implemented a substantial reform of the financial services regulatory framework to enhance the resilience of its financial institutions. This reform was largely based on international standards agreed in 2010 by the Basel Committee on Banking Supervision, known as the Basel 3 framework. Among its many measures, the reform package included the adoption of Regulation (EU) 575/2013 of the European Parliament and of the Council and Directive 2013/36/EU of the European Parliament and of the Council, which strengthened the prudential requirements for credit institutions and investment firms. These rules have been modified by Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (so-called CRR2), amending Regulation (EU) 575/2013 and by Directive (EU) 2019/878 of the European Parliament and of the Council of 20 May 2019 (so-called CRD V), amending Directive 2013/36/EU. Capital ratios Transitional own funds and capital ratios (€ million) AS AT 12.31.2021(*) 12.31.2020(*) Common Equity Tier 1 Capital 50,933 51,971 Tier 1 Capital 57,780 59,321 Total own funds 64,850 67,464 Total RWA 321,992 325,665 Common Equity Tier 1 Capital Ratio 15.82% 15.96% Tier 1 Capital Ratio 17.94% 18.22% Total Capital Ratio 20.14% 20.72% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. Furthermore, starting from 30 June 2020, UniCredit group has decided to apply the IFRS9 transitional approach as reported in article 473a of the Regulation (UE) 873/2020 that amends the Regulation (EU) 575/2013 and Regulation (EU) 876/2019. Therefore, the values here reported reflect the impact of the transitional arrangements provisioned in such Regulation. The negative change with respect to 31 December 2020, equal to €1.0 billion on Common Equity Tier 1 Capital, mainly reflects: (i) the higher deduction for €1,2 billion on deferred tax assets that rely on future profitability and do not arise from temporary differences, resulting from the Deferred Tax Assets sustainability test related to tax losses carry forward (TLCF) of the Italian tax perimeter carried out in the fourth quarter 2021; (ii) negative effect of the deduction for €831 million connected to the “First Buy-Back Programme” (€179 million) and “Second Buy-Back Programme” (€652 million); (iii) the higher deduction for €473 million connected to the exceedance of the 17.65% of Common Equity Tier 1 Capital after applying Consolidated report on operations Group results 100 2021 Annual Report and Accounts · UniCredit Capital and value management Principles of value creation and capital allocation In order to create value for the shareholders, the Group’s strategic guidelines aim at optimising the composition of the business portfolio. This goal is pursued through a process of capital allocation to each business line in relation to its specific risk profile and ability to generate sustainable earnings measured as EVA (Economic Value Added), which is the main performance indicator linked to TSR (Total Shareholder Return). The capital allocated to business segments is quantified applying internal capitalisation targets to regulatory capital requirements (Regulatory Capital). The development of Group operations with a view to value creation requires a process of allocating and managing capital governed by different phases in the process of planning and control, articulated as: • formulation of the proposed risk propensity and capitalisation targets; • analysis of the risks associated with the value drivers and resulting allocation of capital to the business lines and to the Business Units; • assignment of performance targets in line with risk; • analysis of the impact on the Group’s value and of the creation of value for shareholders; • drafting and proposal of the financial plan, capital plan and dividend policy. The Group dynamically manages its capital base by monitoring regulatory capital ratios, anticipating the appropriate changes necessary to achieve its defined targets, and optimising the composition of its assets and equity. Planning and monitoring refer, on the one hand, to the total Own Funds (Common Equity Tier 1, Additional Tier 1 and Tier 2 Capital), TLAC and Leverage Ratio and, on the other hand, to the Risk-Weighted Assets (RWAs). The Risk-Weighted Assets, for portfolios managed using the internal advanced models, do not only depend on the nominal value of the assets but also on the relevant credit parameters. Besides volume dynamics, it is also crucial to monitor and forecast the change in the asset quality of the portfolio in view of the macroeconomic scenario (the so-called pro-cyclical effect). Following the financial crisis that unfolded in 2007-2008, the European Union implemented a substantial reform of the financial services regulatory framework to enhance the resilience of its financial institutions. This reform was largely based on international standards agreed in 2010 by the Basel Committee on Banking Supervision, known as the Basel 3 framework. Among its many measures, the reform package included the adoption of Regulation (EU) 575/2013 of the European Parliament and of the Council and Directive 2013/36/EU of the European Parliament and of the Council, which strengthened the prudential requirements for credit institutions and investment firms. These rules have been modified by Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (so-called CRR2), amending Regulation (EU) 575/2013 and by Directive (EU) 2019/878 of the European Parliament and of the Council of 20 May 2019 (so-called CRD V), amending Directive 2013/36/EU. Capital ratios Transitional own funds and capital ratios (€ million) AS AT 12.31.2021(*) 12.31.2020(*) Common Equity Tier 1 Capital 50,933 51,971 Tier 1 Capital 57,780 59,321 Total own funds 64,850 67,464 Total RWA 321,992 325,665 Common Equity Tier 1 Capital Ratio 15.82% 15.96% Tier 1 Capital Ratio 17.94% 18.22% Total Capital Ratio 20.14% 20.72% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. Furthermore, starting from 30 June 2020, UniCredit group has decided to apply the IFRS9 transitional approach as reported in article 473a of the Regulation (UE) 873/2020 that amends the Regulation (EU) 575/2013 and Regulation (EU) 876/2019. Therefore, the values here reported reflect the impact of the transitional arrangements provisioned in such Regulation. The negative change with respect to 31 December 2020, equal to €1.0 billion on Common Equity Tier 1 Capital, mainly reflects: (i) the higher deduction for €1,2 billion on deferred tax assets that rely on future profitability and do not arise from temporary differences, resulting from the Deferred Tax Assets sustainability test related to tax losses carry forward (TLCF) of the Italian tax perimeter carried out in the fourth quarter 2021; (ii) negative effect of the deduction for €831 million connected to the “First Buy-Back Programme” (€179 million) and “Second Buy-Back Programme” (€652 million); (iii) the higher deduction for €473 million connected to the exceedance of the 17.65% of Common Equity Tier 1 Capital after applying Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 101 the adjustments and deductions in CRR articles 32 to 36 in full in comparison with the deferred tax assets that rely on future profitability and arise from temporary differences summed up to the direct, indirect and synthetic holdings detained by UniCredit S.p.A. in financial sector entities in which UniCredit S.p.A. has a significant investments; (iv) negative change due to the payment of coupons on AT1 equity instruments for €343 million; (v) other negative impacts for €0.38 billion mainly driven by the additional deduction of CET1 Capital due to article 3 of CRR, in accordance with ECB guidance to banks on nonperforming loans; partially offset by (vi) positive change in revaluation reserve for €1,822 million mainly due to the disposal of the 2% in the Market of the stake in Yapi Ve Kredi Bankasi A.S. and the deconsolidation of the 18% following the loss of UniCredit’s significant influence over Yapi Ve Kredi Bankasi A.S. (such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira); (vii) the profit of 2021 (equal to €1,540 million), net of dividends for €1,170 and of €4 million of social and charity initiatives, computed for €366 million. With reference to the Total Own Funds, the negative change with respect to 31 December 2020, equal to €2.6 billion, reflects in addition to the effects on Common Equity Tier 1 Capital negative for €1.0 billion, the additional negative effects for €1.6 billion mainly deriving from: (i) negative effect on Additional Tier 1 Capital deriving from the authorization received by the competent authority to early redeem the Capital instrument XS1107890847 (computable amount equal to €991 million); (ii) negative effect on Tier 2 Capital deriving from the authorization received by the competent authority to early redeem instrument XS1426039696 (computable amount €748 million); (iii) negative impact for €625 million that considers the effects of IFRS9 transitional adjustments and referred to the re-calculation of the excess of the credit risk adjustments included in Tier 2 Capital; (iv) the new issuance of one subordinated instrument classified in Additional Tier 1 Capital for €744 million. The minimum capital requirements applicable to the Group as at 31 December 2021 in coherence with CRR article 92 are the following (Pillar 1): • Common Equity Tier 1 Capital: 4.50% • Tier 1 Capital: 6.00% • Total Capital: 8.00% In addition to such requirements, for 2021 the Group shall also meet the following additional requirements: • 1.75%, as Pillar 2 Requirements in coherence with SREP results; • 2.50%, as Capital Conservation buffer (CCB) according to CRDIV article 129; • 1.00%, as Global Systemically Important Institutions (G-SII) buffer6; • 0.05%, as Countercyclical Capital buffer7 (CCyB) according to the CRDIV article 130, to be calculated on a quarterly basis. As at 31 December 2021, the Group shall meet the following overall capital requirements: • Common Equity Tier 1 Capital: 9.03% • Tier 1 Capital: 10.86% • Total Capital: 13.30% Here below a scheme of the UniCredit group capital requirements and buffers which also provides evidence of the “Total SREP Capital Requirement” (TSCR) and the “Overall Capital Requirement” (OCR) related to the outcome of the SREP process held in 2020 and applicable for 2021. The scheme reflects the application of article 104a.4 of CRDV, that allows banks to partially use capital instruments that do not qualify as CET1 capital (e.g. Additional Tier 1 or Tier 2 instruments) to meet the Pillar 2 Requirements (P2R). 2021 Capital requirements and buffers for UniCredit group REQUIREMENT CET1 T1 TOTAL CAPITAL A) Pillar 1 Requirements 4.50% 6.00% 8.00% B) Pillar 2 Requirements 0.98% 1.31% 1.75% C) TSCR (A+B) 5.48% 7.31% 9.75% D) Combined capital buffer requirement, of which: 3.55% 3.55% 3.55% 1. Capital Conservation buffer (CCB) 2.50% 2.50% 2.50% 2. Global Systemically Important Institution buffer (G-SII) 1.00% 1.00% 1.00% 3. Institution-specific Countercyclical Capital buffer (CCyB) 0.05% 0.05% 0.05% E) OCR (C+D) 9.03% 10.86% 13.30% 6 It should be noted that UniCredit group was identified by the Banca d’Italia as an O-SII authorized to operate in Italy, and it has to maintain a CET1 capital buffer; such level is equal to 1.00% in 2021. Nevertheless, it is worth mentioning that according to the CRD IV article 131.14, the higher of the G-SII and the O-SII buffer will apply: hence, UniCredit group is subject to the application of 1.00% G-SII buffer for 2021. 7 Amount rounded to two decimal numbers. With reference to 31 December 2021: (I) countercyclical capital rates have generally been set at 0%, except for the following countries: Czech Republic (0.50%); Hong Kong (1.00%); Norway (1.00%); Slovakia (1.00%); Luxemburg (0.50%); Bulgaria (0,50%) (II) with reference to the exposures towards Italian counterparties, Banca d’Italia has set the rate equal to 0%. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 101 the adjustments and deductions in CRR articles 32 to 36 in full in comparison with the deferred tax assets that rely on future profitability and arise from temporary differences summed up to the direct, indirect and synthetic holdings detained by UniCredit S.p.A. in financial sector entities in which UniCredit S.p.A. has a significant investments; (iv) negative change due to the payment of coupons on AT1 equity instruments for €343 million; (v) other negative impacts for €0.38 billion mainly driven by the additional deduction of CET1 Capital due to article 3 of CRR, in accordance with ECB guidance to banks on nonperforming loans; partially offset by (vi) positive change in revaluation reserve for €1,822 million mainly due to the disposal of the 2% in the Market of the stake in Yapi Ve Kredi Bankasi A.S. and the deconsolidation of the 18% following the loss of UniCredit’s significant influence over Yapi Ve Kredi Bankasi A.S. (such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira); (vii) the profit of 2021 (equal to €1,540 million), net of dividends for €1,170 and of €4 million of social and charity initiatives, computed for €366 million. With reference to the Total Own Funds, the negative change with respect to 31 December 2020, equal to €2.6 billion, reflects in addition to the effects on Common Equity Tier 1 Capital negative for €1.0 billion, the additional negative effects for €1.6 billion mainly deriving from: (i) negative effect on Additional Tier 1 Capital deriving from the authorization received by the competent authority to early redeem the Capital instrument XS1107890847 (computable amount equal to €991 million); (ii) negative effect on Tier 2 Capital deriving from the authorization received by the competent authority to early redeem instrument XS1426039696 (computable amount €748 million); (iii) negative impact for €625 million that considers the effects of IFRS9 transitional adjustments and referred to the re-calculation of the excess of the credit risk adjustments included in Tier 2 Capital; (iv) the new issuance of one subordinated instrument classified in Additional Tier 1 Capital for €744 million. The minimum capital requirements applicable to the Group as at 31 December 2021 in coherence with CRR article 92 are the following (Pillar 1): • Common Equity Tier 1 Capital: 4.50% • Tier 1 Capital: 6.00% • Total Capital: 8.00% In addition to such requirements, for 2021 the Group shall also meet the following additional requirements: • 1.75%, as Pillar 2 Requirements in coherence with SREP results; • 2.50%, as Capital Conservation buffer (CCB) according to CRDIV article 129; • 1.00%, as Global Systemically Important Institutions (G-SII) buffer6; • 0.05%, as Countercyclical Capital buffer7 (CCyB) according to the CRDIV article 130, to be calculated on a quarterly basis. As at 31 December 2021, the Group shall meet the following overall capital requirements: • Common Equity Tier 1 Capital: 9.03% • Tier 1 Capital: 10.86% • Total Capital: 13.30% Here below a scheme of the UniCredit group capital requirements and buffers which also provides evidence of the “Total SREP Capital Requirement” (TSCR) and the “Overall Capital Requirement” (OCR) related to the outcome of the SREP process held in 2020 and applicable for 2021. The scheme reflects the application of article 104a.4 of CRDV, that allows banks to partially use capital instruments that do not qualify as CET1 capital (e.g. Additional Tier 1 or Tier 2 instruments) to meet the Pillar 2 Requirements (P2R). 2021 Capital requirements and buffers for UniCredit group REQUIREMENT CET1 T1 TOTAL CAPITAL A) Pillar 1 Requirements 4.50% 6.00% 8.00% B) Pillar 2 Requirements 0.98% 1.31% 1.75% C) TSCR (A+B) 5.48% 7.31% 9.75% D) Combined capital buffer requirement, of which: 3.55% 3.55% 3.55% 1. Capital Conservation buffer (CCB) 2.50% 2.50% 2.50% 2. Global Systemically Important Institution buffer (G-SII) 1.00% 1.00% 1.00% 3. Institution-specific Countercyclical Capital buffer (CCyB) 0.05% 0.05% 0.05% E) OCR (C+D) 9.03% 10.86% 13.30% 6 It should be noted that UniCredit group was identified by the Banca d’Italia as an O-SII authorized to operate in Italy, and it has to maintain a CET1 capital buffer; such level is equal to 1.00% in 2021. Nevertheless, it is worth mentioning that according to the CRD IV article 131.14, the higher of the G-SII and the O-SII buffer will apply: hence, UniCredit group is subject to the application of 1.00% G-SII buffer for 2021. 7 Amount rounded to two decimal numbers. With reference to 31 December 2021: (I) countercyclical capital rates have generally been set at 0%, except for the following countries: Czech Republic (0.50%); Hong Kong (1.00%); Norway (1.00%); Slovakia (1.00%); Luxemburg (0.50%); Bulgaria (0,50%) (II) with reference to the exposures towards Italian counterparties, Banca d’Italia has set the rate equal to 0%. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 101 the adjustments and deductions in CRR articles 32 to 36 in full in comparison with the deferred tax assets that rely on future profitability and arise from temporary differences summed up to the direct, indirect and synthetic holdings detained by UniCredit S.p.A. in financial sector entities in which UniCredit S.p.A. has a significant investments; (iv) negative change due to the payment of coupons on AT1 equity instruments for €343 million; (v) other negative impacts for €0.38 billion mainly driven by the additional deduction of CET1 Capital due to article 3 of CRR, in accordance with ECB guidance to banks on nonperforming loans; partially offset by (vi) positive change in revaluation reserve for €1,822 million mainly due to the disposal of the 2% in the Market of the stake in Yapi Ve Kredi Bankasi A.S. and the deconsolidation of the 18% following the loss of UniCredit’s significant influence over Yapi Ve Kredi Bankasi A.S. (such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira); (vii) the profit of 2021 (equal to €1,540 million), net of dividends for €1,170 and of €4 million of social and charity initiatives, computed for €366 million. With reference to the Total Own Funds, the negative change with respect to 31 December 2020, equal to €2.6 billion, reflects in addition to the effects on Common Equity Tier 1 Capital negative for €1.0 billion, the additional negative effects for €1.6 billion mainly deriving from: (i) negative effect on Additional Tier 1 Capital deriving from the authorization received by the competent authority to early redeem the Capital instrument XS1107890847 (computable amount equal to €991 million); (ii) negative effect on Tier 2 Capital deriving from the authorization received by the competent authority to early redeem instrument XS1426039696 (computable amount €748 million); (iii) negative impact for €625 million that considers the effects of IFRS9 transitional adjustments and referred to the re-calculation of the excess of the credit risk adjustments included in Tier 2 Capital; (iv) the new issuance of one subordinated instrument classified in Additional Tier 1 Capital for €744 million. The minimum capital requirements applicable to the Group as at 31 December 2021 in coherence with CRR article 92 are the following (Pillar 1): • Common Equity Tier 1 Capital: 4.50% • Tier 1 Capital: 6.00% • Total Capital: 8.00% In addition to such requirements, for 2021 the Group shall also meet the following additional requirements: • 1.75%, as Pillar 2 Requirements in coherence with SREP results; • 2.50%, as Capital Conservation buffer (CCB) according to CRDIV article 129; • 1.00%, as Global Systemically Important Institutions (G-SII) buffer6; • 0.05%, as Countercyclical Capital buffer7 (CCyB) according to the CRDIV article 130, to be calculated on a quarterly basis. As at 31 December 2021, the Group shall meet the following overall capital requirements: • Common Equity Tier 1 Capital: 9.03% • Tier 1 Capital: 10.86% • Total Capital: 13.30% Here below a scheme of the UniCredit group capital requirements and buffers which also provides evidence of the “Total SREP Capital Requirement” (TSCR) and the “Overall Capital Requirement” (OCR) related to the outcome of the SREP process held in 2020 and applicable for 2021. The scheme reflects the application of article 104a.4 of CRDV, that allows banks to partially use capital instruments that do not qualify as CET1 capital (e.g. Additional Tier 1 or Tier 2 instruments) to meet the Pillar 2 Requirements (P2R). 2021 Capital requirements and buffers for UniCredit group REQUIREMENT CET1 T1 TOTAL CAPITAL A) Pillar 1 Requirements 4.50% 6.00% 8.00% B) Pillar 2 Requirements 0.98% 1.31% 1.75% C) TSCR (A+B) 5.48% 7.31% 9.75% D) Combined capital buffer requirement, of which: 3.55% 3.55% 3.55% 1. Capital Conservation buffer (CCB) 2.50% 2.50% 2.50% 2. Global Systemically Important Institution buffer (G-SII) 1.00% 1.00% 1.00% 3. Institution-specific Countercyclical Capital buffer (CCyB) 0.05% 0.05% 0.05% E) OCR (C+D) 9.03% 10.86% 13.30% 6 It should be noted that UniCredit group was identified by the Banca d’Italia as an O-SII authorized to operate in Italy, and it has to maintain a CET1 capital buffer; such level is equal to 1.00% in 2021. Nevertheless, it is worth mentioning that according to the CRD IV article 131.14, the higher of the G-SII and the O-SII buffer will apply: hence, UniCredit group is subject to the application of 1.00% G-SII buffer for 2021. 7 Amount rounded to two decimal numbers. With reference to 31 December 2021: (I) countercyclical capital rates have generally been set at 0%, except for the following countries: Czech Republic (0.50%); Hong Kong (1.00%); Norway (1.00%); Slovakia (1.00%); Luxemburg (0.50%); Bulgaria (0,50%) (II) with reference to the exposures towards Italian counterparties, Banca d’Italia has set the rate equal to 0%. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 101 the adjustments and deductions in CRR articles 32 to 36 in full in comparison with the deferred tax assets that rely on future profitability and arise from temporary differences summed up to the direct, indirect and synthetic holdings detained by UniCredit S.p.A. in financial sector entities in which UniCredit S.p.A. has a significant investments; (iv) negative change due to the payment of coupons on AT1 equity instruments for €343 million; (v) other negative impacts for €0.38 billion mainly driven by the additional deduction of CET1 Capital due to article 3 of CRR, in accordance with ECB guidance to banks on nonperforming loans; partially offset by (vi) positive change in revaluation reserve for €1,822 million mainly due to the disposal of the 2% in the Market of the stake in Yapi Ve Kredi Bankasi A.S. and the deconsolidation of the 18% following the loss of UniCredit’s significant influence over Yapi Ve Kredi Bankasi A.S. (such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira); (vii) the profit of 2021 (equal to €1,540 million), net of dividends for €1,170 and of €4 million of social and charity initiatives, computed for €366 million. With reference to the Total Own Funds, the negative change with respect to 31 December 2020, equal to €2.6 billion, reflects in addition to the effects on Common Equity Tier 1 Capital negative for €1.0 billion, the additional negative effects for €1.6 billion mainly deriving from: (i) negative effect on Additional Tier 1 Capital deriving from the authorization received by the competent authority to early redeem the Capital instrument XS1107890847 (computable amount equal to €991 million); (ii) negative effect on Tier 2 Capital deriving from the authorization received by the competent authority to early redeem instrument XS1426039696 (computable amount €748 million); (iii) negative impact for €625 million that considers the effects of IFRS9 transitional adjustments and referred to the re-calculation of the excess of the credit risk adjustments included in Tier 2 Capital; (iv) the new issuance of one subordinated instrument classified in Additional Tier 1 Capital for €744 million. The minimum capital requirements applicable to the Group as at 31 December 2021 in coherence with CRR article 92 are the following (Pillar 1): • Common Equity Tier 1 Capital: 4.50% • Tier 1 Capital: 6.00% • Total Capital: 8.00% In addition to such requirements, for 2021 the Group shall also meet the following additional requirements: • 1.75%, as Pillar 2 Requirements in coherence with SREP results; • 2.50%, as Capital Conservation buffer (CCB) according to CRDIV article 129; • 1.00%, as Global Systemically Important Institutions (G-SII) buffer6; • 0.05%, as Countercyclical Capital buffer7 (CCyB) according to the CRDIV article 130, to be calculated on a quarterly basis. As at 31 December 2021, the Group shall meet the following overall capital requirements: • Common Equity Tier 1 Capital: 9.03% • Tier 1 Capital: 10.86% • Total Capital: 13.30% Here below a scheme of the UniCredit group capital requirements and buffers which also provides evidence of the “Total SREP Capital Requirement” (TSCR) and the “Overall Capital Requirement” (OCR) related to the outcome of the SREP process held in 2020 and applicable for 2021. The scheme reflects the application of article 104a.4 of CRDV, that allows banks to partially use capital instruments that do not qualify as CET1 capital (e.g. Additional Tier 1 or Tier 2 instruments) to meet the Pillar 2 Requirements (P2R). 2021 Capital requirements and buffers for UniCredit group REQUIREMENT CET1 T1 TOTAL CAPITAL A) Pillar 1 Requirements 4.50% 6.00% 8.00% B) Pillar 2 Requirements 0.98% 1.31% 1.75% C) TSCR (A+B) 5.48% 7.31% 9.75% D) Combined capital buffer requirement, of which: 3.55% 3.55% 3.55% 1. Capital Conservation buffer (CCB) 2.50% 2.50% 2.50% 2. Global Systemically Important Institution buffer (G-SII) 1.00% 1.00% 1.00% 3. Institution-specific Countercyclical Capital buffer (CCyB) 0.05% 0.05% 0.05% E) OCR (C+D) 9.03% 10.86% 13.30% 6 It should be noted that UniCredit group was identified by the Banca d’Italia as an O-SII authorized to operate in Italy, and it has to maintain a CET1 capital buffer; such level is equal to 1.00% in 2021. Nevertheless, it is worth mentioning that according to the CRD IV article 131.14, the higher of the G-SII and the O-SII buffer will apply: hence, UniCredit group is subject to the application of 1.00% G-SII buffer for 2021. 7 Amount rounded to two decimal numbers. With reference to 31 December 2021: (I) countercyclical capital rates have generally been set at 0%, except for the following countries: Czech Republic (0.50%); Hong Kong (1.00%); Norway (1.00%); Slovakia (1.00%); Luxemburg (0.50%); Bulgaria (0,50%) (II) with reference to the exposures towards Italian counterparties, Banca d’Italia has set the rate equal to 0%. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 101 the adjustments and deductions in CRR articles 32 to 36 in full in comparison with the deferred tax assets that rely on future profitability and arise from temporary differences summed up to the direct, indirect and synthetic holdings detained by UniCredit S.p.A. in financial sector entities in which UniCredit S.p.A. has a significant investments; (iv) negative change due to the payment of coupons on AT1 equity instruments for €343 million; (v) other negative impacts for €0.38 billion mainly driven by the additional deduction of CET1 Capital due to article 3 of CRR, in accordance with ECB guidance to banks on nonperforming loans; partially offset by (vi) positive change in revaluation reserve for €1,822 million mainly due to the disposal of the 2% in the Market of the stake in Yapi Ve Kredi Bankasi A.S. and the deconsolidation of the 18% following the loss of UniCredit’s significant influence over Yapi Ve Kredi Bankasi A.S. (such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira); (vii) the profit of 2021 (equal to €1,540 million), net of dividends for €1,170 and of €4 million of social and charity initiatives, computed for €366 million. With reference to the Total Own Funds, the negative change with respect to 31 December 2020, equal to €2.6 billion, reflects in addition to the effects on Common Equity Tier 1 Capital negative for €1.0 billion, the additional negative effects for €1.6 billion mainly deriving from: (i) negative effect on Additional Tier 1 Capital deriving from the authorization received by the competent authority to early redeem the Capital instrument XS1107890847 (computable amount equal to €991 million); (ii) negative effect on Tier 2 Capital deriving from the authorization received by the competent authority to early redeem instrument XS1426039696 (computable amount €748 million); (iii) negative impact for €625 million that considers the effects of IFRS9 transitional adjustments and referred to the re-calculation of the excess of the credit risk adjustments included in Tier 2 Capital; (iv) the new issuance of one subordinated instrument classified in Additional Tier 1 Capital for €744 million. The minimum capital requirements applicable to the Group as at 31 December 2021 in coherence with CRR article 92 are the following (Pillar 1): • Common Equity Tier 1 Capital: 4.50% • Tier 1 Capital: 6.00% • Total Capital: 8.00% In addition to such requirements, for 2021 the Group shall also meet the following additional requirements: • 1.75%, as Pillar 2 Requirements in coherence with SREP results; • 2.50%, as Capital Conservation buffer (CCB) according to CRDIV article 129; • 1.00%, as Global Systemically Important Institutions (G-SII) buffer6; • 0.05%, as Countercyclical Capital buffer7 (CCyB) according to the CRDIV article 130, to be calculated on a quarterly basis. As at 31 December 2021, the Group shall meet the following overall capital requirements: • Common Equity Tier 1 Capital: 9.03% • Tier 1 Capital: 10.86% • Total Capital: 13.30% Here below a scheme of the UniCredit group capital requirements and buffers which also provides evidence of the “Total SREP Capital Requirement” (TSCR) and the “Overall Capital Requirement” (OCR) related to the outcome of the SREP process held in 2020 and applicable for 2021. The scheme reflects the application of article 104a.4 of CRDV, that allows banks to partially use capital instruments that do not qualify as CET1 capital (e.g. Additional Tier 1 or Tier 2 instruments) to meet the Pillar 2 Requirements (P2R). 2021 Capital requirements and buffers for UniCredit group REQUIREMENT CET1 T1 TOTAL CAPITAL A) Pillar 1 Requirements 4.50% 6.00% 8.00% B) Pillar 2 Requirements 0.98% 1.31% 1.75% C) TSCR (A+B) 5.48% 7.31% 9.75% D) Combined capital buffer requirement, of which: 3.55% 3.55% 3.55% 1. Capital Conservation buffer (CCB) 2.50% 2.50% 2.50% 2. Global Systemically Important Institution buffer (G-SII) 1.00% 1.00% 1.00% 3. Institution-specific Countercyclical Capital buffer (CCyB) 0.05% 0.05% 0.05% E) OCR (C+D) 9.03% 10.86% 13.30% 6 It should be noted that UniCredit group was identified by the Banca d’Italia as an O-SII authorized to operate in Italy, and it has to maintain a CET1 capital buffer; such level is equal to 1.00% in 2021. Nevertheless, it is worth mentioning that according to the CRD IV article 131.14, the higher of the G-SII and the O-SII buffer will apply: hence, UniCredit group is subject to the application of 1.00% G-SII buffer for 2021. 7 Amount rounded to two decimal numbers. With reference to 31 December 2021: (I) countercyclical capital rates have generally been set at 0%, except for the following countries: Czech Republic (0.50%); Hong Kong (1.00%); Norway (1.00%); Slovakia (1.00%); Luxemburg (0.50%); Bulgaria (0,50%) (II) with reference to the exposures towards Italian counterparties, Banca d’Italia has set the rate equal to 0%. Consolidated report on operations Group results 102 2021 Annual Report and Accounts · UniCredit The above-mentioned requirements are the ones which are relevant for MDA purposes for UniCredit group as at 31 December 2021. As at 31 December 2021, UniCredit group’s ratios are compliant with all the above requirements. The consolidated net profit as at 31 December 2021, equal to €1,540 million, is recognised in the Own Funds for €366 million, resulting after the cash distributions approved by the Board of Directors €1,170 million to cash dividends and for €4 million to social and charity initiatives. Shareholders’ remuneration consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) for €2,580 million, for a total amount of €3,750 million. Considering that the SBB component is subject to authorizations, the Own Funds deduction in the fourth quarter 2021 does not include such amount, but only the cash component (€1,170 million), further to €4 million for social and charity initiatives. As at 31 December 2021, UniCredit group’s Common Equity Tier 1 Capital ratio, excluding the benefits from transitional arrangements (so-called Fully Loaded), stands at 15.03% while Common Equity Tier 1 Capital ratio pro-forma for the Share Buy Backs (subject to authorizations and to be executed in 2022) stands at 14.13%. Capital strengthening During 2021 UniCredit S.p.A. carried out the following transactions on Additional Tier 1 instruments (so-called “Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes”) recognised in the “Equity Instruments” of Shareholders' Equity: • on 30 June 2021 UniCredit S.p.A. placed an issue of equity instruments Additional Tier 1 with settlement date 7 July 2021, for a total amount of €750 million (gross of charges) targeted to institutional investors to continue strengthening its regulatory capital, taking advantage of the positive market window. The issue contributed to improve the Tier 1 ratio and completed the 2021 UniCredit's funding plan for these instruments. The securities are perpetual (with maturity linked to corporate duration of UniCredit S.p.A.) and may be called by the Issuer on any calendar day during the six-month period commencing on 3 December 2027 and ending on 3 June 2028 and thereafter on any interest payment date, subject to Regulatory approval. Notes pay fixed rate coupons of 4.45% per annum up to June 2028 on a semi-annual basis; if not called, coupon will be reset every 5 years to the aggregate of the then 5-Years Mid-Swap rate plus 460.6 basis points, calculated on an annual basis and then converted to a semi-annual rate in accordance with market conventions. In line with the regulatory requirements, the coupon payments are fully discretionary; • on 10 September 2021 UniCredit S.p.A. exercised at the first call date its option to early redeem in whole the Additional Tier 1 instruments issued in 2014 in accordance with the relevant terms and conditions of the securities; the notes called up for a total amount of €1,000 million (gross of charges) have been redeemed at par, together with accrued and unpaid interests. For additional information concerning shares capital changes and dividends pay-out of the year, both cash and through share buy-back programmes, refer to chapter “Group and UniCredit share historical data series” of this Consolidated report on operations. Consolidated report on operations Group results 102 2021 Annual Report and Accounts · UniCredit The above-mentioned requirements are the ones which are relevant for MDA purposes for UniCredit group as at 31 December 2021. As at 31 December 2021, UniCredit group’s ratios are compliant with all the above requirements. The consolidated net profit as at 31 December 2021, equal to €1,540 million, is recognised in the Own Funds for €366 million, resulting after the cash distributions approved by the Board of Directors €1,170 million to cash dividends and for €4 million to social and charity initiatives. Shareholders’ remuneration consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) for €2,580 million, for a total amount of €3,750 million. Considering that the SBB component is subject to authorizations, the Own Funds deduction in the fourth quarter 2021 does not include such amount, but only the cash component (€1,170 million), further to €4 million for social and charity initiatives. As at 31 December 2021, UniCredit group’s Common Equity Tier 1 Capital ratio, excluding the benefits from transitional arrangements (so-called Fully Loaded), stands at 15.03% while Common Equity Tier 1 Capital ratio pro-forma for the Share Buy Backs (subject to authorizations and to be executed in 2022) stands at 14.13%. Capital strengthening During 2021 UniCredit S.p.A. carried out the following transactions on Additional Tier 1 instruments (so-called “Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes”) recognised in the “Equity Instruments” of Shareholders' Equity: • on 30 June 2021 UniCredit S.p.A. placed an issue of equity instruments Additional Tier 1 with settlement date 7 July 2021, for a total amount of €750 million (gross of charges) targeted to institutional investors to continue strengthening its regulatory capital, taking advantage of the positive market window. The issue contributed to improve the Tier 1 ratio and completed the 2021 UniCredit's funding plan for these instruments. The securities are perpetual (with maturity linked to corporate duration of UniCredit S.p.A.) and may be called by the Issuer on any calendar day during the six-month period commencing on 3 December 2027 and ending on 3 June 2028 and thereafter on any interest payment date, subject to Regulatory approval. Notes pay fixed rate coupons of 4.45% per annum up to June 2028 on a semi-annual basis; if not called, coupon will be reset every 5 years to the aggregate of the then 5-Years Mid-Swap rate plus 460.6 basis points, calculated on an annual basis and then converted to a semi-annual rate in accordance with market conventions. In line with the regulatory requirements, the coupon payments are fully discretionary; • on 10 September 2021 UniCredit S.p.A. exercised at the first call date its option to early redeem in whole the Additional Tier 1 instruments issued in 2014 in accordance with the relevant terms and conditions of the securities; the notes called up for a total amount of €1,000 million (gross of charges) have been redeemed at par, together with accrued and unpaid interests. For additional information concerning shares capital changes and dividends pay-out of the year, both cash and through share buy-back programmes, refer to chapter “Group and UniCredit share historical data series” of this Consolidated report on operations. Consolidated report on operations Group results 102 2021 Annual Report and Accounts · UniCredit The above-mentioned requirements are the ones which are relevant for MDA purposes for UniCredit group as at 31 December 2021. As at 31 December 2021, UniCredit group’s ratios are compliant with all the above requirements. The consolidated net profit as at 31 December 2021, equal to €1,540 million, is recognised in the Own Funds for €366 million, resulting after the cash distributions approved by the Board of Directors €1,170 million to cash dividends and for €4 million to social and charity initiatives. Shareholders’ remuneration consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) for €2,580 million, for a total amount of €3,750 million. Considering that the SBB component is subject to authorizations, the Own Funds deduction in the fourth quarter 2021 does not include such amount, but only the cash component (€1,170 million), further to €4 million for social and charity initiatives. As at 31 December 2021, UniCredit group’s Common Equity Tier 1 Capital ratio, excluding the benefits from transitional arrangements (so-called Fully Loaded), stands at 15.03% while Common Equity Tier 1 Capital ratio pro-forma for the Share Buy Backs (subject to authorizations and to be executed in 2022) stands at 14.13%. Capital strengthening During 2021 UniCredit S.p.A. carried out the following transactions on Additional Tier 1 instruments (so-called “Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes”) recognised in the “Equity Instruments” of Shareholders' Equity: • on 30 June 2021 UniCredit S.p.A. placed an issue of equity instruments Additional Tier 1 with settlement date 7 July 2021, for a total amount of €750 million (gross of charges) targeted to institutional investors to continue strengthening its regulatory capital, taking advantage of the positive market window. The issue contributed to improve the Tier 1 ratio and completed the 2021 UniCredit's funding plan for these instruments. The securities are perpetual (with maturity linked to corporate duration of UniCredit S.p.A.) and may be called by the Issuer on any calendar day during the six-month period commencing on 3 December 2027 and ending on 3 June 2028 and thereafter on any interest payment date, subject to Regulatory approval. Notes pay fixed rate coupons of 4.45% per annum up to June 2028 on a semi-annual basis; if not called, coupon will be reset every 5 years to the aggregate of the then 5-Years Mid-Swap rate plus 460.6 basis points, calculated on an annual basis and then converted to a semi-annual rate in accordance with market conventions. In line with the regulatory requirements, the coupon payments are fully discretionary; • on 10 September 2021 UniCredit S.p.A. exercised at the first call date its option to early redeem in whole the Additional Tier 1 instruments issued in 2014 in accordance with the relevant terms and conditions of the securities; the notes called up for a total amount of €1,000 million (gross of charges) have been redeemed at par, together with accrued and unpaid interests. For additional information concerning shares capital changes and dividends pay-out of the year, both cash and through share buy-back programmes, refer to chapter “Group and UniCredit share historical data series” of this Consolidated report on operations. Consolidated report on operations Group results 102 2021 Annual Report and Accounts · UniCredit The above-mentioned requirements are the ones which are relevant for MDA purposes for UniCredit group as at 31 December 2021. As at 31 December 2021, UniCredit group’s ratios are compliant with all the above requirements. The consolidated net profit as at 31 December 2021, equal to €1,540 million, is recognised in the Own Funds for €366 million, resulting after the cash distributions approved by the Board of Directors €1,170 million to cash dividends and for €4 million to social and charity initiatives. Shareholders’ remuneration consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) for €2,580 million, for a total amount of €3,750 million. Considering that the SBB component is subject to authorizations, the Own Funds deduction in the fourth quarter 2021 does not include such amount, but only the cash component (€1,170 million), further to €4 million for social and charity initiatives. As at 31 December 2021, UniCredit group’s Common Equity Tier 1 Capital ratio, excluding the benefits from transitional arrangements (so-called Fully Loaded), stands at 15.03% while Common Equity Tier 1 Capital ratio pro-forma for the Share Buy Backs (subject to authorizations and to be executed in 2022) stands at 14.13%. Capital strengthening During 2021 UniCredit S.p.A. carried out the following transactions on Additional Tier 1 instruments (so-called “Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes”) recognised in the “Equity Instruments” of Shareholders' Equity: • on 30 June 2021 UniCredit S.p.A. placed an issue of equity instruments Additional Tier 1 with settlement date 7 July 2021, for a total amount of €750 million (gross of charges) targeted to institutional investors to continue strengthening its regulatory capital, taking advantage of the positive market window. The issue contributed to improve the Tier 1 ratio and completed the 2021 UniCredit's funding plan for these instruments. The securities are perpetual (with maturity linked to corporate duration of UniCredit S.p.A.) and may be called by the Issuer on any calendar day during the six-month period commencing on 3 December 2027 and ending on 3 June 2028 and thereafter on any interest payment date, subject to Regulatory approval. Notes pay fixed rate coupons of 4.45% per annum up to June 2028 on a semi-annual basis; if not called, coupon will be reset every 5 years to the aggregate of the then 5-Years Mid-Swap rate plus 460.6 basis points, calculated on an annual basis and then converted to a semi-annual rate in accordance with market conventions. In line with the regulatory requirements, the coupon payments are fully discretionary; • on 10 September 2021 UniCredit S.p.A. exercised at the first call date its option to early redeem in whole the Additional Tier 1 instruments issued in 2014 in accordance with the relevant terms and conditions of the securities; the notes called up for a total amount of €1,000 million (gross of charges) have been redeemed at par, together with accrued and unpaid interests. For additional information concerning shares capital changes and dividends pay-out of the year, both cash and through share buy-back programmes, refer to chapter “Group and UniCredit share historical data series” of this Consolidated report on operations. Consolidated report on operations Group results 102 2021 Annual Report and Accounts · UniCredit The above-mentioned requirements are the ones which are relevant for MDA purposes for UniCredit group as at 31 December 2021. As at 31 December 2021, UniCredit group’s ratios are compliant with all the above requirements. The consolidated net profit as at 31 December 2021, equal to €1,540 million, is recognised in the Own Funds for €366 million, resulting after the cash distributions approved by the Board of Directors €1,170 million to cash dividends and for €4 million to social and charity initiatives. Shareholders’ remuneration consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) for €2,580 million, for a total amount of €3,750 million. Considering that the SBB component is subject to authorizations, the Own Funds deduction in the fourth quarter 2021 does not include such amount, but only the cash component (€1,170 million), further to €4 million for social and charity initiatives. As at 31 December 2021, UniCredit group’s Common Equity Tier 1 Capital ratio, excluding the benefits from transitional arrangements (so-called Fully Loaded), stands at 15.03% while Common Equity Tier 1 Capital ratio pro-forma for the Share Buy Backs (subject to authorizations and to be executed in 2022) stands at 14.13%. Capital strengthening During 2021 UniCredit S.p.A. carried out the following transactions on Additional Tier 1 instruments (so-called “Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes”) recognised in the “Equity Instruments” of Shareholders' Equity: • on 30 June 2021 UniCredit S.p.A. placed an issue of equity instruments Additional Tier 1 with settlement date 7 July 2021, for a total amount of €750 million (gross of charges) targeted to institutional investors to continue strengthening its regulatory capital, taking advantage of the positive market window. The issue contributed to improve the Tier 1 ratio and completed the 2021 UniCredit's funding plan for these instruments. The securities are perpetual (with maturity linked to corporate duration of UniCredit S.p.A.) and may be called by the Issuer on any calendar day during the six-month period commencing on 3 December 2027 and ending on 3 June 2028 and thereafter on any interest payment date, subject to Regulatory approval. Notes pay fixed rate coupons of 4.45% per annum up to June 2028 on a semi-annual basis; if not called, coupon will be reset every 5 years to the aggregate of the then 5-Years Mid-Swap rate plus 460.6 basis points, calculated on an annual basis and then converted to a semi-annual rate in accordance with market conventions. In line with the regulatory requirements, the coupon payments are fully discretionary; • on 10 September 2021 UniCredit S.p.A. exercised at the first call date its option to early redeem in whole the Additional Tier 1 instruments issued in 2014 in accordance with the relevant terms and conditions of the securities; the notes called up for a total amount of €1,000 million (gross of charges) have been redeemed at par, together with accrued and unpaid interests. For additional information concerning shares capital changes and dividends pay-out of the year, both cash and through share buy-back programmes, refer to chapter “Group and UniCredit share historical data series” of this Consolidated report on operations. Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 103 Shareholders’ equity attributable to the Group The Shareholders’ equity of the Group, including the result for the year equal to +€1,540 million, amounted to €61,628 million as at 31 December 2021, compared to €59,507 million as at 31 December 2020. The following table shows the main changes occurred in 2021. Shareholders' equity attributable to the Group (€ million) Shareholders' equity as at 31 December 2020 59,507 Dividends distributed (268) Equity instruments(*) (246) Share buyback(**) (378) Change in reserve related coupon on AT1 instruments (343) Change in the valuation of hedging for financial risks (314) Change in the valuation reserve relating to the financial assets and liabilities at fair value (208) Change in the valuation reserve relating to the actuarial gains/losses on defined benefit plans(***) 214 Change in the valuation reserve tangible assets(****) 246 Exchange differences reserve(*****) 285 Change in the valuation reserve of the companies accounted for using the equity method(******) 1,604 Other changes (11) Profit (loss) for the year 1,540 Shareholders' equity as at 31 December 2021 61,628 Notes: (*) The amount is referred to +€744 million AT1 equity instrument issue and -€990 million anticipated redemption of AT1 equity instrument issued in 2014, both net of fees. (**) Composed by shares buyback, consequently cancelled, for -€179 million in execution of the “First Buy-Back Programme 2021” and for -€199 million representing the amount of purchases performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021”. (***) Mainly referred to the increase in DBO discount rate induced by the reduction in prices of High Quality Corporate Bonds partially offset by plan assets performance. (****) Mainly referred to the alignment between tax values of tangible assets and higher accounting values, for further information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part C - Income statement, Section 19 - Tax expenses (income) for the period from continuing operations - Item 270. (*****) This effect is mainly due to the impact of Russian Ruble for +€154 million and of Czech Crown for +€147 million. (******) The change in the valuation reserve of the companies accounted for using the equity method is mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle - mostly through P&L - of the related reserves, basically referred to exchange rate differences on Turkish Lira. For further information, refer to section Consolidated accounts - Statement of changes in the consolidated shareholders’ equity. Reconciliation parent company UniCredit S.p.A. - Consolidated accounts The following table reconciles the Parent Company’s shareholders’ equity and Net profit to the corresponding consolidated figures. Reconciliation of parent company UniCredit S.p.A. to Consolidated accounts (€ million) SHAREHOLDERS' of which: EQUITY NET PROFIT Balance as at 31 December 2021 of parent company UniCredit S.p.A. 59,265 10,366 Consolidated contribution: 2,410 (7,162) - fully consolidated subsidiaries 479 (5,861) - investments valued at equity method 1,931 (1,301) Reverse of ordinary dividends approved in the period: - (1,197) - fully consolidated subsidiaries - (1,065) - investments valued at equity method - (132) Other consolidation adjustments 418 (437) Balance as at 31 December 2021 (minorities included) 62,093 1,570 of which Group 61,628 1,540 of which minorities 465 30 Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 103 Shareholders’ equity attributable to the Group The Shareholders’ equity of the Group, including the result for the year equal to +€1,540 million, amounted to €61,628 million as at 31 December 2021, compared to €59,507 million as at 31 December 2020. The following table shows the main changes occurred in 2021. Shareholders' equity attributable to the Group (€ million) Shareholders' equity as at 31 December 2020 59,507 Dividends distributed (268) Equity instruments(*) (246) Share buyback(**) (378) Change in reserve related coupon on AT1 instruments (343) Change in the valuation of hedging for financial risks (314) Change in the valuation reserve relating to the financial assets and liabilities at fair value (208) Change in the valuation reserve relating to the actuarial gains/losses on defined benefit plans(***) 214 Change in the valuation reserve tangible assets(****) 246 Exchange differences reserve(*****) 285 Change in the valuation reserve of the companies accounted for using the equity method(******) 1,604 Other changes (11) Profit (loss) for the year 1,540 Shareholders' equity as at 31 December 2021 61,628 Notes: (*) The amount is referred to +€744 million AT1 equity instrument issue and -€990 million anticipated redemption of AT1 equity instrument issued in 2014, both net of fees. (**) Composed by shares buyback, consequently cancelled, for -€179 million in execution of the “First Buy-Back Programme 2021” and for -€199 million representing the amount of purchases performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021”. (***) Mainly referred to the increase in DBO discount rate induced by the reduction in prices of High Quality Corporate Bonds partially offset by plan assets performance. (****) Mainly referred to the alignment between tax values of tangible assets and higher accounting values, for further information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part C - Income statement, Section 19 - Tax expenses (income) for the period from continuing operations - Item 270. (*****) This effect is mainly due to the impact of Russian Ruble for +€154 million and of Czech Crown for +€147 million. (******) The change in the valuation reserve of the companies accounted for using the equity method is mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle - mostly through P&L - of the related reserves, basically referred to exchange rate differences on Turkish Lira. For further information, refer to section Consolidated accounts - Statement of changes in the consolidated shareholders’ equity. Reconciliation parent company UniCredit S.p.A. - Consolidated accounts The following table reconciles the Parent Company’s shareholders’ equity and Net profit to the corresponding consolidated figures. Reconciliation of parent company UniCredit S.p.A. to Consolidated accounts (€ million) SHAREHOLDERS' of which: EQUITY NET PROFIT Balance as at 31 December 2021 of parent company UniCredit S.p.A. 59,265 10,366 Consolidated contribution: 2,410 (7,162) - fully consolidated subsidiaries 479 (5,861) - investments valued at equity method 1,931 (1,301) Reverse of ordinary dividends approved in the period: - (1,197) - fully consolidated subsidiaries - (1,065) - investments valued at equity method - (132) Other consolidation adjustments 418 (437) Balance as at 31 December 2021 (minorities included) 62,093 1,570 of which Group 61,628 1,540 of which minorities 465 30 Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 103 Shareholders’ equity attributable to the Group The Shareholders’ equity of the Group, including the result for the year equal to +€1,540 million, amounted to €61,628 million as at 31 December 2021, compared to €59,507 million as at 31 December 2020. The following table shows the main changes occurred in 2021. Shareholders' equity attributable to the Group (€ million) Shareholders' equity as at 31 December 2020 59,507 Dividends distributed (268) Equity instruments(*) (246) Share buyback(**) (378) Change in reserve related coupon on AT1 instruments (343) Change in the valuation of hedging for financial risks (314) Change in the valuation reserve relating to the financial assets and liabilities at fair value (208) Change in the valuation reserve relating to the actuarial gains/losses on defined benefit plans(***) 214 Change in the valuation reserve tangible assets(****) 246 Exchange differences reserve(*****) 285 Change in the valuation reserve of the companies accounted for using the equity method(******) 1,604 Other changes (11) Profit (loss) for the year 1,540 Shareholders' equity as at 31 December 2021 61,628 Notes: (*) The amount is referred to +€744 million AT1 equity instrument issue and -€990 million anticipated redemption of AT1 equity instrument issued in 2014, both net of fees. (**) Composed by shares buyback, consequently cancelled, for -€179 million in execution of the “First Buy-Back Programme 2021” and for -€199 million representing the amount of purchases performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021”. (***) Mainly referred to the increase in DBO discount rate induced by the reduction in prices of High Quality Corporate Bonds partially offset by plan assets performance. (****) Mainly referred to the alignment between tax values of tangible assets and higher accounting values, for further information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part C - Income statement, Section 19 - Tax expenses (income) for the period from continuing operations - Item 270. (*****) This effect is mainly due to the impact of Russian Ruble for +€154 million and of Czech Crown for +€147 million. (******) The change in the valuation reserve of the companies accounted for using the equity method is mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle - mostly through P&L - of the related reserves, basically referred to exchange rate differences on Turkish Lira. For further information, refer to section Consolidated accounts - Statement of changes in the consolidated shareholders’ equity. Reconciliation parent company UniCredit S.p.A. - Consolidated accounts The following table reconciles the Parent Company’s shareholders’ equity and Net profit to the corresponding consolidated figures. Reconciliation of parent company UniCredit S.p.A. to Consolidated accounts (€ million) SHAREHOLDERS' of which: EQUITY NET PROFIT Balance as at 31 December 2021 of parent company UniCredit S.p.A. 59,265 10,366 Consolidated contribution: 2,410 (7,162) - fully consolidated subsidiaries 479 (5,861) - investments valued at equity method 1,931 (1,301) Reverse of ordinary dividends approved in the period: - (1,197) - fully consolidated subsidiaries - (1,065) - investments valued at equity method - (132) Other consolidation adjustments 418 (437) Balance as at 31 December 2021 (minorities included) 62,093 1,570 of which Group 61,628 1,540 of which minorities 465 30 Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 103 Shareholders’ equity attributable to the Group The Shareholders’ equity of the Group, including the result for the year equal to +€1,540 million, amounted to €61,628 million as at 31 December 2021, compared to €59,507 million as at 31 December 2020. The following table shows the main changes occurred in 2021. Shareholders' equity attributable to the Group (€ million) Shareholders' equity as at 31 December 2020 59,507 Dividends distributed (268) Equity instruments(*) (246) Share buyback(**) (378) Change in reserve related coupon on AT1 instruments (343) Change in the valuation of hedging for financial risks (314) Change in the valuation reserve relating to the financial assets and liabilities at fair value (208) Change in the valuation reserve relating to the actuarial gains/losses on defined benefit plans(***) 214 Change in the valuation reserve tangible assets(****) 246 Exchange differences reserve(*****) 285 Change in the valuation reserve of the companies accounted for using the equity method(******) 1,604 Other changes (11) Profit (loss) for the year 1,540 Shareholders' equity as at 31 December 2021 61,628 Notes: (*) The amount is referred to +€744 million AT1 equity instrument issue and -€990 million anticipated redemption of AT1 equity instrument issued in 2014, both net of fees. (**) Composed by shares buyback, consequently cancelled, for -€179 million in execution of the “First Buy-Back Programme 2021” and for -€199 million representing the amount of purchases performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021”. (***) Mainly referred to the increase in DBO discount rate induced by the reduction in prices of High Quality Corporate Bonds partially offset by plan assets performance. (****) Mainly referred to the alignment between tax values of tangible assets and higher accounting values, for further information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part C - Income statement, Section 19 - Tax expenses (income) for the period from continuing operations - Item 270. (*****) This effect is mainly due to the impact of Russian Ruble for +€154 million and of Czech Crown for +€147 million. (******) The change in the valuation reserve of the companies accounted for using the equity method is mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle - mostly through P&L - of the related reserves, basically referred to exchange rate differences on Turkish Lira. For further information, refer to section Consolidated accounts - Statement of changes in the consolidated shareholders’ equity. Reconciliation parent company UniCredit S.p.A. - Consolidated accounts The following table reconciles the Parent Company’s shareholders’ equity and Net profit to the corresponding consolidated figures. Reconciliation of parent company UniCredit S.p.A. to Consolidated accounts (€ million) SHAREHOLDERS' of which: EQUITY NET PROFIT Balance as at 31 December 2021 of parent company UniCredit S.p.A. 59,265 10,366 Consolidated contribution: 2,410 (7,162) - fully consolidated subsidiaries 479 (5,861) - investments valued at equity method 1,931 (1,301) Reverse of ordinary dividends approved in the period: - (1,197) - fully consolidated subsidiaries - (1,065) - investments valued at equity method - (132) Other consolidation adjustments 418 (437) Balance as at 31 December 2021 (minorities included) 62,093 1,570 of which Group 61,628 1,540 of which minorities 465 30 Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 103 Shareholders’ equity attributable to the Group The Shareholders’ equity of the Group, including the result for the year equal to +€1,540 million, amounted to €61,628 million as at 31 December 2021, compared to €59,507 million as at 31 December 2020. The following table shows the main changes occurred in 2021. Shareholders' equity attributable to the Group (€ million) Shareholders' equity as at 31 December 2020 59,507 Dividends distributed (268) Equity instruments(*) (246) Share buyback(**) (378) Change in reserve related coupon on AT1 instruments (343) Change in the valuation of hedging for financial risks (314) Change in the valuation reserve relating to the financial assets and liabilities at fair value (208) Change in the valuation reserve relating to the actuarial gains/losses on defined benefit plans(***) 214 Change in the valuation reserve tangible assets(****) 246 Exchange differences reserve(*****) 285 Change in the valuation reserve of the companies accounted for using the equity method(******) 1,604 Other changes (11) Profit (loss) for the year 1,540 Shareholders' equity as at 31 December 2021 61,628 Notes: (*) The amount is referred to +€744 million AT1 equity instrument issue and -€990 million anticipated redemption of AT1 equity instrument issued in 2014, both net of fees. (**) Composed by shares buyback, consequently cancelled, for -€179 million in execution of the “First Buy-Back Programme 2021” and for -€199 million representing the amount of purchases performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021”. (***) Mainly referred to the increase in DBO discount rate induced by the reduction in prices of High Quality Corporate Bonds partially offset by plan assets performance. (****) Mainly referred to the alignment between tax values of tangible assets and higher accounting values, for further information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part C - Income statement, Section 19 - Tax expenses (income) for the period from continuing operations - Item 270. (*****) This effect is mainly due to the impact of Russian Ruble for +€154 million and of Czech Crown for +€147 million. (******) The change in the valuation reserve of the companies accounted for using the equity method is mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle - mostly through P&L - of the related reserves, basically referred to exchange rate differences on Turkish Lira. For further information, refer to section Consolidated accounts - Statement of changes in the consolidated shareholders’ equity. Reconciliation parent company UniCredit S.p.A. - Consolidated accounts The following table reconciles the Parent Company’s shareholders’ equity and Net profit to the corresponding consolidated figures. Reconciliation of parent company UniCredit S.p.A. to Consolidated accounts (€ million) SHAREHOLDERS' of which: EQUITY NET PROFIT Balance as at 31 December 2021 of parent company UniCredit S.p.A. 59,265 10,366 Consolidated contribution: 2,410 (7,162) - fully consolidated subsidiaries 479 (5,861) - investments valued at equity method 1,931 (1,301) Reverse of ordinary dividends approved in the period: - (1,197) - fully consolidated subsidiaries - (1,065) - investments valued at equity method - (132) Other consolidation adjustments 418 (437) Balance as at 31 December 2021 (minorities included) 62,093 1,570 of which Group 61,628 1,540 of which minorities 465 30 Consolidated report on operations Group results 104 2021 Annual Report and Accounts · UniCredit Contribution of the sector of activity to the results of the Group For the description of the organizational structure, refer to Notes to consolidated account, Part L - Segment reporting. Italy Income statement, key ratios and indicators (€ million) ITALY YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 8,415 8,088 + 4.0% 2,021 - 1.6% Operating costs (3,997) (4,001) - 0.1% (989) - 0.5% Net write-downs on loans and provisions for guarantees and commitments (1,033) (2,891) - 64.3% (356) + 72.2% Net operating profit 3,385 1,196 n.m. 675 - 20.8% Profit before tax 1,988 (612) n.m. (201) n.m. Customers loans (net Repos and IC) 157,514 167,810 - 6.1% 157,514 - 5.7% Customers depos (net Repos and IC) 199,123 190,594 + 4.5% 199,123 + 5.6% Total RWA Eop 125,751 131,198 - 4.2% 125,751 - 0.8% EVA (€ million) 674 (942) n.m. 26 - 82.2% Absorbed Capital (€ million) 14,855 16,916 - 12.2% 14,900 - 0.9% ROAC + 17.4% - 4.7% + 22.1 p.p. + 23.2% + 10.4 p.p. Cost/Income 47.5% 49.5% - 2.0 p.p. 49.0% 0.6 p.p. Cost of Risk 55 bps 137 bps - 81 bps 79 bps 35 bps Full Time Equivalent (eop) 28,721 30,429 - 5.6% 28,721 - 3.2% Germany Income statement, key ratios and indicators (€ million) GERMANY YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 4,454 4,092 + 8.9% 1,128 + 4.6% Operating costs (2,692) (2,719) - 1.0% (668) + 2.9% Net write-downs on loans and provisions for guarantees and commitments (118) (728) - 83.8% (93) + 73.7% Net operating profit 1,645 645 n.m. 366 - 2.3% Profit before tax 521 996 - 47.6% (438) n.m. Customers loans (net Repos and IC) 125,509 120,795 + 3.9% 125,509 + 3.1% Customers depos (net Repos and IC) 131,756 133,973 - 1.7% 131,756 - 4.5% Total RWA Eop 81,973 78,606 + 4.3% 81,973 + 2.8% EVA (€ million) 50 (713) n.m. 72 n.m. Absorbed Capital (€ million) 9,455 10,488 - 9.8% 9,431 - 1.2% ROAC + 3.1% + 5.2% - 2.1 p.p. - 12.1% - 21.6 p.p. Cost/Income 60.4% 66.4% - 6.0 p.p. 59.3% - 1.0 p.p. Cost of Risk 9 bps 55 bps - 46 bps 30 bps 13 bps Full Time Equivalent (eop) 11,282 11,937 - 5.5% 11,282 - 1.6% Consolidated report on operations Group results 104 2021 Annual Report and Accounts · UniCredit Contribution of the sector of activity to the results of the Group For the description of the organizational structure, refer to Notes to consolidated account, Part L - Segment reporting. Italy Income statement, key ratios and indicators (€ million) ITALY YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 8,415 8,088 + 4.0% 2,021 - 1.6% Operating costs (3,997) (4,001) - 0.1% (989) - 0.5% Net write-downs on loans and provisions for guarantees and commitments (1,033) (2,891) - 64.3% (356) + 72.2% Net operating profit 3,385 1,196 n.m. 675 - 20.8% Profit before tax 1,988 (612) n.m. (201) n.m. Customers loans (net Repos and IC) 157,514 167,810 - 6.1% 157,514 - 5.7% Customers depos (net Repos and IC) 199,123 190,594 + 4.5% 199,123 + 5.6% Total RWA Eop 125,751 131,198 - 4.2% 125,751 - 0.8% EVA (€ million) 674 (942) n.m. 26 - 82.2% Absorbed Capital (€ million) 14,855 16,916 - 12.2% 14,900 - 0.9% ROAC + 17.4% - 4.7% + 22.1 p.p. + 23.2% + 10.4 p.p. Cost/Income 47.5% 49.5% - 2.0 p.p. 49.0% 0.6 p.p. Cost of Risk 55 bps 137 bps - 81 bps 79 bps 35 bps Full Time Equivalent (eop) 28,721 30,429 - 5.6% 28,721 - 3.2% Germany Income statement, key ratios and indicators (€ million) GERMANY YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 4,454 4,092 + 8.9% 1,128 + 4.6% Operating costs (2,692) (2,719) - 1.0% (668) + 2.9% Net write-downs on loans and provisions for guarantees and commitments (118) (728) - 83.8% (93) + 73.7% Net operating profit 1,645 645 n.m. 366 - 2.3% Profit before tax 521 996 - 47.6% (438) n.m. Customers loans (net Repos and IC) 125,509 120,795 + 3.9% 125,509 + 3.1% Customers depos (net Repos and IC) 131,756 133,973 - 1.7% 131,756 - 4.5% Total RWA Eop 81,973 78,606 + 4.3% 81,973 + 2.8% EVA (€ million) 50 (713) n.m. 72 n.m. Absorbed Capital (€ million) 9,455 10,488 - 9.8% 9,431 - 1.2% ROAC + 3.1% + 5.2% - 2.1 p.p. - 12.1% - 21.6 p.p. Cost/Income 60.4% 66.4% - 6.0 p.p. 59.3% - 1.0 p.p. Cost of Risk 9 bps 55 bps - 46 bps 30 bps 13 bps Full Time Equivalent (eop) 11,282 11,937 - 5.5% 11,282 - 1.6% Consolidated report on operations Group results 104 2021 Annual Report and Accounts · UniCredit Contribution of the sector of activity to the results of the Group For the description of the organizational structure, refer to Notes to consolidated account, Part L - Segment reporting. Italy Income statement, key ratios and indicators (€ million) ITALY YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 8,415 8,088 + 4.0% 2,021 - 1.6% Operating costs (3,997) (4,001) - 0.1% (989) - 0.5% Net write-downs on loans and provisions for guarantees and commitments (1,033) (2,891) - 64.3% (356) + 72.2% Net operating profit 3,385 1,196 n.m. 675 - 20.8% Profit before tax 1,988 (612) n.m. (201) n.m. Customers loans (net Repos and IC) 157,514 167,810 - 6.1% 157,514 - 5.7% Customers depos (net Repos and IC) 199,123 190,594 + 4.5% 199,123 + 5.6% Total RWA Eop 125,751 131,198 - 4.2% 125,751 - 0.8% EVA (€ million) 674 (942) n.m. 26 - 82.2% Absorbed Capital (€ million) 14,855 16,916 - 12.2% 14,900 - 0.9% ROAC + 17.4% - 4.7% + 22.1 p.p. + 23.2% + 10.4 p.p. Cost/Income 47.5% 49.5% - 2.0 p.p. 49.0% 0.6 p.p. Cost of Risk 55 bps 137 bps - 81 bps 79 bps 35 bps Full Time Equivalent (eop) 28,721 30,429 - 5.6% 28,721 - 3.2% Germany Income statement, key ratios and indicators (€ million) GERMANY YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 4,454 4,092 + 8.9% 1,128 + 4.6% Operating costs (2,692) (2,719) - 1.0% (668) + 2.9% Net write-downs on loans and provisions for guarantees and commitments (118) (728) - 83.8% (93) + 73.7% Net operating profit 1,645 645 n.m. 366 - 2.3% Profit before tax 521 996 - 47.6% (438) n.m. Customers loans (net Repos and IC) 125,509 120,795 + 3.9% 125,509 + 3.1% Customers depos (net Repos and IC) 131,756 133,973 - 1.7% 131,756 - 4.5% Total RWA Eop 81,973 78,606 + 4.3% 81,973 + 2.8% EVA (€ million) 50 (713) n.m. 72 n.m. Absorbed Capital (€ million) 9,455 10,488 - 9.8% 9,431 - 1.2% ROAC + 3.1% + 5.2% - 2.1 p.p. - 12.1% - 21.6 p.p. Cost/Income 60.4% 66.4% - 6.0 p.p. 59.3% - 1.0 p.p. Cost of Risk 9 bps 55 bps - 46 bps 30 bps 13 bps Full Time Equivalent (eop) 11,282 11,937 - 5.5% 11,282 - 1.6% Consolidated report on operations Group results 104 2021 Annual Report and Accounts · UniCredit Contribution of the sector of activity to the results of the Group For the description of the organizational structure, refer to Notes to consolidated account, Part L - Segment reporting. Italy Income statement, key ratios and indicators (€ million) ITALY YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 8,415 8,088 + 4.0% 2,021 - 1.6% Operating costs (3,997) (4,001) - 0.1% (989) - 0.5% Net write-downs on loans and provisions for guarantees and commitments (1,033) (2,891) - 64.3% (356) + 72.2% Net operating profit 3,385 1,196 n.m. 675 - 20.8% Profit before tax 1,988 (612) n.m. (201) n.m. Customers loans (net Repos and IC) 157,514 167,810 - 6.1% 157,514 - 5.7% Customers depos (net Repos and IC) 199,123 190,594 + 4.5% 199,123 + 5.6% Total RWA Eop 125,751 131,198 - 4.2% 125,751 - 0.8% EVA (€ million) 674 (942) n.m. 26 - 82.2% Absorbed Capital (€ million) 14,855 16,916 - 12.2% 14,900 - 0.9% ROAC + 17.4% - 4.7% + 22.1 p.p. + 23.2% + 10.4 p.p. Cost/Income 47.5% 49.5% - 2.0 p.p. 49.0% 0.6 p.p. Cost of Risk 55 bps 137 bps - 81 bps 79 bps 35 bps Full Time Equivalent (eop) 28,721 30,429 - 5.6% 28,721 - 3.2% Germany Income statement, key ratios and indicators (€ million) GERMANY YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 4,454 4,092 + 8.9% 1,128 + 4.6% Operating costs (2,692) (2,719) - 1.0% (668) + 2.9% Net write-downs on loans and provisions for guarantees and commitments (118) (728) - 83.8% (93) + 73.7% Net operating profit 1,645 645 n.m. 366 - 2.3% Profit before tax 521 996 - 47.6% (438) n.m. Customers loans (net Repos and IC) 125,509 120,795 + 3.9% 125,509 + 3.1% Customers depos (net Repos and IC) 131,756 133,973 - 1.7% 131,756 - 4.5% Total RWA Eop 81,973 78,606 + 4.3% 81,973 + 2.8% EVA (€ million) 50 (713) n.m. 72 n.m. Absorbed Capital (€ million) 9,455 10,488 - 9.8% 9,431 - 1.2% ROAC + 3.1% + 5.2% - 2.1 p.p. - 12.1% - 21.6 p.p. Cost/Income 60.4% 66.4% - 6.0 p.p. 59.3% - 1.0 p.p. Cost of Risk 9 bps 55 bps - 46 bps 30 bps 13 bps Full Time Equivalent (eop) 11,282 11,937 - 5.5% 11,282 - 1.6% Consolidated report on operations Group results 104 2021 Annual Report and Accounts · UniCredit Contribution of the sector of activity to the results of the Group For the description of the organizational structure, refer to Notes to consolidated account, Part L - Segment reporting. Italy Income statement, key ratios and indicators (€ million) ITALY YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 8,415 8,088 + 4.0% 2,021 - 1.6% Operating costs (3,997) (4,001) - 0.1% (989) - 0.5% Net write-downs on loans and provisions for guarantees and commitments (1,033) (2,891) - 64.3% (356) + 72.2% Net operating profit 3,385 1,196 n.m. 675 - 20.8% Profit before tax 1,988 (612) n.m. (201) n.m. Customers loans (net Repos and IC) 157,514 167,810 - 6.1% 157,514 - 5.7% Customers depos (net Repos and IC) 199,123 190,594 + 4.5% 199,123 + 5.6% Total RWA Eop 125,751 131,198 - 4.2% 125,751 - 0.8% EVA (€ million) 674 (942) n.m. 26 - 82.2% Absorbed Capital (€ million) 14,855 16,916 - 12.2% 14,900 - 0.9% ROAC + 17.4% - 4.7% + 22.1 p.p. + 23.2% + 10.4 p.p. Cost/Income 47.5% 49.5% - 2.0 p.p. 49.0% 0.6 p.p. Cost of Risk 55 bps 137 bps - 81 bps 79 bps 35 bps Full Time Equivalent (eop) 28,721 30,429 - 5.6% 28,721 - 3.2% Germany Income statement, key ratios and indicators (€ million) GERMANY YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 4,454 4,092 + 8.9% 1,128 + 4.6% Operating costs (2,692) (2,719) - 1.0% (668) + 2.9% Net write-downs on loans and provisions for guarantees and commitments (118) (728) - 83.8% (93) + 73.7% Net operating profit 1,645 645 n.m. 366 - 2.3% Profit before tax 521 996 - 47.6% (438) n.m. Customers loans (net Repos and IC) 125,509 120,795 + 3.9% 125,509 + 3.1% Customers depos (net Repos and IC) 131,756 133,973 - 1.7% 131,756 - 4.5% Total RWA Eop 81,973 78,606 + 4.3% 81,973 + 2.8% EVA (€ million) 50 (713) n.m. 72 n.m. Absorbed Capital (€ million) 9,455 10,488 - 9.8% 9,431 - 1.2% ROAC + 3.1% + 5.2% - 2.1 p.p. - 12.1% - 21.6 p.p. Cost/Income 60.4% 66.4% - 6.0 p.p. 59.3% - 1.0 p.p. Cost of Risk 9 bps 55 bps - 46 bps 30 bps 13 bps Full Time Equivalent (eop) 11,282 11,937 - 5.5% 11,282 - 1.6% Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 105 Central Europe Income statement, key ratios and indicators (€ million) CENTRAL EUROPE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 3,007 2,817 + 6.7% 763 + 0.0% Operating costs (1,664) (1,633) + 1.9% (431) + 3.4% Net write-downs on loans and provisions for guarantees and commitments (261) (598) - 56.3% (170) n.m. Net operating profit 1,081 586 + 84.6% 162 - 50.2% Profit before tax 548 282 + 94.2% (238) n.m. Customers loans (net Repos and IC) 92,543 84,516 + 9.5% 92,543 + 7.2% Customers depos (net Repos and IC) 92,962 86,575 + 7.4% 92,962 + 5.3% Total RWA Eop 56,787 49,969 + 13.6% 56,787 + 2.2% EVA (€ million) 388 (306) n.m. 84 - 37.2% Absorbed Capital (€ million) 6,154 6,408 - 4.0% 6,572 + 5.1% ROAC + 7.5% + 3.8% + 3.7 p.p. - 11.0% - 27.6 p.p. Cost/Income 55.3% 58.0% - 2.6 p.p. 56.5% 1.8 p.p. Cost of Risk 30 bps 69 bps - 39 bps 76 bps 66 bps Full Time Equivalent (eop) 10,665 11,072 - 3.7% 10,665 - 1.4% Eastern Europe Income statement, key ratios and indicators (€ million) EASTERN EUROPE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 2,357 2,361 - 0.2% 601 + 2.2% Operating costs (1,013) (1,012) + 0.1% (262) + 3.5% Net write-downs on loans and provisions for guarantees and commitments (281) (775) - 63.8% (164) n.m. Net operating profit 1,063 574 + 85.1% 175 - 43.4% Profit before tax 939 401 n.m. 138 - 51.3% Customers loans (net Repos and IC) 40,676 37,829 + 7.5% 40,676 + 0.3% Customers depos (net Repos and IC) 49,223 45,824 + 7.4% 49,223 + 2.0% Total RWA Eop 36,787 36,489 + 0.8% 36,787 - 1.7% EVA (€ million) 243 (298) n.m. 34 - 62.3% Absorbed Capital (€ million) 4,185 4,816 - 13.1% 4,157 - 2.7% ROAC + 16.0% + 5.3% + 10.7 p.p. + 8.6% - 10.9 p.p. Cost/Income 43.0% 42.9% 0.1 p.p. 43.6% 0.6 p.p. Cost of Risk 71 bps 189 bps - 118 bps 161 bps 135 bps Full Time Equivalent (eop) 17,762 18,110 - 1.9% 17,762 - 0.8% Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 105 Central Europe Income statement, key ratios and indicators (€ million) CENTRAL EUROPE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 3,007 2,817 + 6.7% 763 + 0.0% Operating costs (1,664) (1,633) + 1.9% (431) + 3.4% Net write-downs on loans and provisions for guarantees and commitments (261) (598) - 56.3% (170) n.m. Net operating profit 1,081 586 + 84.6% 162 - 50.2% Profit before tax 548 282 + 94.2% (238) n.m. Customers loans (net Repos and IC) 92,543 84,516 + 9.5% 92,543 + 7.2% Customers depos (net Repos and IC) 92,962 86,575 + 7.4% 92,962 + 5.3% Total RWA Eop 56,787 49,969 + 13.6% 56,787 + 2.2% EVA (€ million) 388 (306) n.m. 84 - 37.2% Absorbed Capital (€ million) 6,154 6,408 - 4.0% 6,572 + 5.1% ROAC + 7.5% + 3.8% + 3.7 p.p. - 11.0% - 27.6 p.p. Cost/Income 55.3% 58.0% - 2.6 p.p. 56.5% 1.8 p.p. Cost of Risk 30 bps 69 bps - 39 bps 76 bps 66 bps Full Time Equivalent (eop) 10,665 11,072 - 3.7% 10,665 - 1.4% Eastern Europe Income statement, key ratios and indicators (€ million) EASTERN EUROPE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 2,357 2,361 - 0.2% 601 + 2.2% Operating costs (1,013) (1,012) + 0.1% (262) + 3.5% Net write-downs on loans and provisions for guarantees and commitments (281) (775) - 63.8% (164) n.m. Net operating profit 1,063 574 + 85.1% 175 - 43.4% Profit before tax 939 401 n.m. 138 - 51.3% Customers loans (net Repos and IC) 40,676 37,829 + 7.5% 40,676 + 0.3% Customers depos (net Repos and IC) 49,223 45,824 + 7.4% 49,223 + 2.0% Total RWA Eop 36,787 36,489 + 0.8% 36,787 - 1.7% EVA (€ million) 243 (298) n.m. 34 - 62.3% Absorbed Capital (€ million) 4,185 4,816 - 13.1% 4,157 - 2.7% ROAC + 16.0% + 5.3% + 10.7 p.p. + 8.6% - 10.9 p.p. Cost/Income 43.0% 42.9% 0.1 p.p. 43.6% 0.6 p.p. Cost of Risk 71 bps 189 bps - 118 bps 161 bps 135 bps Full Time Equivalent (eop) 17,762 18,110 - 1.9% 17,762 - 0.8% Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 105 Central Europe Income statement, key ratios and indicators (€ million) CENTRAL EUROPE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 3,007 2,817 + 6.7% 763 + 0.0% Operating costs (1,664) (1,633) + 1.9% (431) + 3.4% Net write-downs on loans and provisions for guarantees and commitments (261) (598) - 56.3% (170) n.m. Net operating profit 1,081 586 + 84.6% 162 - 50.2% Profit before tax 548 282 + 94.2% (238) n.m. Customers loans (net Repos and IC) 92,543 84,516 + 9.5% 92,543 + 7.2% Customers depos (net Repos and IC) 92,962 86,575 + 7.4% 92,962 + 5.3% Total RWA Eop 56,787 49,969 + 13.6% 56,787 + 2.2% EVA (€ million) 388 (306) n.m. 84 - 37.2% Absorbed Capital (€ million) 6,154 6,408 - 4.0% 6,572 + 5.1% ROAC + 7.5% + 3.8% + 3.7 p.p. - 11.0% - 27.6 p.p. Cost/Income 55.3% 58.0% - 2.6 p.p. 56.5% 1.8 p.p. Cost of Risk 30 bps 69 bps - 39 bps 76 bps 66 bps Full Time Equivalent (eop) 10,665 11,072 - 3.7% 10,665 - 1.4% Eastern Europe Income statement, key ratios and indicators (€ million) EASTERN EUROPE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 2,357 2,361 - 0.2% 601 + 2.2% Operating costs (1,013) (1,012) + 0.1% (262) + 3.5% Net write-downs on loans and provisions for guarantees and commitments (281) (775) - 63.8% (164) n.m. Net operating profit 1,063 574 + 85.1% 175 - 43.4% Profit before tax 939 401 n.m. 138 - 51.3% Customers loans (net Repos and IC) 40,676 37,829 + 7.5% 40,676 + 0.3% Customers depos (net Repos and IC) 49,223 45,824 + 7.4% 49,223 + 2.0% Total RWA Eop 36,787 36,489 + 0.8% 36,787 - 1.7% EVA (€ million) 243 (298) n.m. 34 - 62.3% Absorbed Capital (€ million) 4,185 4,816 - 13.1% 4,157 - 2.7% ROAC + 16.0% + 5.3% + 10.7 p.p. + 8.6% - 10.9 p.p. Cost/Income 43.0% 42.9% 0.1 p.p. 43.6% 0.6 p.p. Cost of Risk 71 bps 189 bps - 118 bps 161 bps 135 bps Full Time Equivalent (eop) 17,762 18,110 - 1.9% 17,762 - 0.8% Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 105 Central Europe Income statement, key ratios and indicators (€ million) CENTRAL EUROPE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 3,007 2,817 + 6.7% 763 + 0.0% Operating costs (1,664) (1,633) + 1.9% (431) + 3.4% Net write-downs on loans and provisions for guarantees and commitments (261) (598) - 56.3% (170) n.m. Net operating profit 1,081 586 + 84.6% 162 - 50.2% Profit before tax 548 282 + 94.2% (238) n.m. Customers loans (net Repos and IC) 92,543 84,516 + 9.5% 92,543 + 7.2% Customers depos (net Repos and IC) 92,962 86,575 + 7.4% 92,962 + 5.3% Total RWA Eop 56,787 49,969 + 13.6% 56,787 + 2.2% EVA (€ million) 388 (306) n.m. 84 - 37.2% Absorbed Capital (€ million) 6,154 6,408 - 4.0% 6,572 + 5.1% ROAC + 7.5% + 3.8% + 3.7 p.p. - 11.0% - 27.6 p.p. Cost/Income 55.3% 58.0% - 2.6 p.p. 56.5% 1.8 p.p. Cost of Risk 30 bps 69 bps - 39 bps 76 bps 66 bps Full Time Equivalent (eop) 10,665 11,072 - 3.7% 10,665 - 1.4% Eastern Europe Income statement, key ratios and indicators (€ million) EASTERN EUROPE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 2,357 2,361 - 0.2% 601 + 2.2% Operating costs (1,013) (1,012) + 0.1% (262) + 3.5% Net write-downs on loans and provisions for guarantees and commitments (281) (775) - 63.8% (164) n.m. Net operating profit 1,063 574 + 85.1% 175 - 43.4% Profit before tax 939 401 n.m. 138 - 51.3% Customers loans (net Repos and IC) 40,676 37,829 + 7.5% 40,676 + 0.3% Customers depos (net Repos and IC) 49,223 45,824 + 7.4% 49,223 + 2.0% Total RWA Eop 36,787 36,489 + 0.8% 36,787 - 1.7% EVA (€ million) 243 (298) n.m. 34 - 62.3% Absorbed Capital (€ million) 4,185 4,816 - 13.1% 4,157 - 2.7% ROAC + 16.0% + 5.3% + 10.7 p.p. + 8.6% - 10.9 p.p. Cost/Income 43.0% 42.9% 0.1 p.p. 43.6% 0.6 p.p. Cost of Risk 71 bps 189 bps - 118 bps 161 bps 135 bps Full Time Equivalent (eop) 17,762 18,110 - 1.9% 17,762 - 0.8% Consolidated report on operations Group results UniCredit · 2021 Annual Report and Accounts 105 Central Europe Income statement, key ratios and indicators (€ million) CENTRAL EUROPE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 3,007 2,817 + 6.7% 763 + 0.0% Operating costs (1,664) (1,633) + 1.9% (431) + 3.4% Net write-downs on loans and provisions for guarantees and commitments (261) (598) - 56.3% (170) n.m. Net operating profit 1,081 586 + 84.6% 162 - 50.2% Profit before tax 548 282 + 94.2% (238) n.m. Customers loans (net Repos and IC) 92,543 84,516 + 9.5% 92,543 + 7.2% Customers depos (net Repos and IC) 92,962 86,575 + 7.4% 92,962 + 5.3% Total RWA Eop 56,787 49,969 + 13.6% 56,787 + 2.2% EVA (€ million) 388 (306) n.m. 84 - 37.2% Absorbed Capital (€ million) 6,154 6,408 - 4.0% 6,572 + 5.1% ROAC + 7.5% + 3.8% + 3.7 p.p. - 11.0% - 27.6 p.p. Cost/Income 55.3% 58.0% - 2.6 p.p. 56.5% 1.8 p.p. Cost of Risk 30 bps 69 bps - 39 bps 76 bps 66 bps Full Time Equivalent (eop) 10,665 11,072 - 3.7% 10,665 - 1.4% Eastern Europe Income statement, key ratios and indicators (€ million) EASTERN EUROPE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income 2,357 2,361 - 0.2% 601 + 2.2% Operating costs (1,013) (1,012) + 0.1% (262) + 3.5% Net write-downs on loans and provisions for guarantees and commitments (281) (775) - 63.8% (164) n.m. Net operating profit 1,063 574 + 85.1% 175 - 43.4% Profit before tax 939 401 n.m. 138 - 51.3% Customers loans (net Repos and IC) 40,676 37,829 + 7.5% 40,676 + 0.3% Customers depos (net Repos and IC) 49,223 45,824 + 7.4% 49,223 + 2.0% Total RWA Eop 36,787 36,489 + 0.8% 36,787 - 1.7% EVA (€ million) 243 (298) n.m. 34 - 62.3% Absorbed Capital (€ million) 4,185 4,816 - 13.1% 4,157 - 2.7% ROAC + 16.0% + 5.3% + 10.7 p.p. + 8.6% - 10.9 p.p. Cost/Income 43.0% 42.9% 0.1 p.p. 43.6% 0.6 p.p. Cost of Risk 71 bps 189 bps - 118 bps 161 bps 135 bps Full Time Equivalent (eop) 17,762 18,110 - 1.9% 17,762 - 0.8% Consolidated report on operations Group results 106 2021 Annual Report and Accounts · UniCredit Non Core Income statement, key ratios and indicators (€ million) NON CORE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income (56) (46) + 20.4% (19) + 81.4% Operating costs (74) (115) - 36.0% (15) - 13.7% Net write-downs on loans and provisions for guarantees and commitments 61 (1) n.m. (24) n.m. Net operating profit (68) (162) - 58.1% (58) n.m. Profit before tax (132) (339) - 61.2% (79) n.m. Customers loans (net Repos and IC) 194 775 - 74.9% 194 - 66.2% Customers depos (net Repos and IC) 473 518 - 8.8% 473 - 5.5% Net Impaired Loans (percentage of total net loans Non Core) 100.0% 100.0% - 100.0% - Total RWA Eop 361 7,642 - 95.3% 361 - 92.8% EVA (€ million) (105) (226) - 53.5% (41) + 17.2% Absorbed Capital (€ million) 600 1,126 - 46.8% 315 - 48.0% ROAC - 8.0% - 20.7% + 12.7 p.p. - 45.1% - 32.0 p.p. Cost/Income n.m. n.m. n.m. n.m. n.m. Cost of Risk - 972 bps 6 bps - 978 bps n.m. n.m. Full Time Equivalent (eop) 85 211 - 59.9% 85 - 52.5% Consolidated report on operations Group results 106 2021 Annual Report and Accounts · UniCredit Non Core Income statement, key ratios and indicators (€ million) NON CORE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income (56) (46) + 20.4% (19) + 81.4% Operating costs (74) (115) - 36.0% (15) - 13.7% Net write-downs on loans and provisions for guarantees and commitments 61 (1) n.m. (24) n.m. Net operating profit (68) (162) - 58.1% (58) n.m. Profit before tax (132) (339) - 61.2% (79) n.m. Customers loans (net Repos and IC) 194 775 - 74.9% 194 - 66.2% Customers depos (net Repos and IC) 473 518 - 8.8% 473 - 5.5% Net Impaired Loans (percentage of total net loans Non Core) 100.0% 100.0% - 100.0% - Total RWA Eop 361 7,642 - 95.3% 361 - 92.8% EVA (€ million) (105) (226) - 53.5% (41) + 17.2% Absorbed Capital (€ million) 600 1,126 - 46.8% 315 - 48.0% ROAC - 8.0% - 20.7% + 12.7 p.p. - 45.1% - 32.0 p.p. Cost/Income n.m. n.m. n.m. n.m. n.m. Cost of Risk - 972 bps 6 bps - 978 bps n.m. n.m. Full Time Equivalent (eop) 85 211 - 59.9% 85 - 52.5% Consolidated report on operations Group results 106 2021 Annual Report and Accounts · UniCredit Non Core Income statement, key ratios and indicators (€ million) NON CORE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income (56) (46) + 20.4% (19) + 81.4% Operating costs (74) (115) - 36.0% (15) - 13.7% Net write-downs on loans and provisions for guarantees and commitments 61 (1) n.m. (24) n.m. Net operating profit (68) (162) - 58.1% (58) n.m. Profit before tax (132) (339) - 61.2% (79) n.m. Customers loans (net Repos and IC) 194 775 - 74.9% 194 - 66.2% Customers depos (net Repos and IC) 473 518 - 8.8% 473 - 5.5% Net Impaired Loans (percentage of total net loans Non Core) 100.0% 100.0% - 100.0% - Total RWA Eop 361 7,642 - 95.3% 361 - 92.8% EVA (€ million) (105) (226) - 53.5% (41) + 17.2% Absorbed Capital (€ million) 600 1,126 - 46.8% 315 - 48.0% ROAC - 8.0% - 20.7% + 12.7 p.p. - 45.1% - 32.0 p.p. Cost/Income n.m. n.m. n.m. n.m. n.m. Cost of Risk - 972 bps 6 bps - 978 bps n.m. n.m. Full Time Equivalent (eop) 85 211 - 59.9% 85 - 52.5% Consolidated report on operations Group results 106 2021 Annual Report and Accounts · UniCredit Non Core Income statement, key ratios and indicators (€ million) NON CORE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income (56) (46) + 20.4% (19) + 81.4% Operating costs (74) (115) - 36.0% (15) - 13.7% Net write-downs on loans and provisions for guarantees and commitments 61 (1) n.m. (24) n.m. Net operating profit (68) (162) - 58.1% (58) n.m. Profit before tax (132) (339) - 61.2% (79) n.m. Customers loans (net Repos and IC) 194 775 - 74.9% 194 - 66.2% Customers depos (net Repos and IC) 473 518 - 8.8% 473 - 5.5% Net Impaired Loans (percentage of total net loans Non Core) 100.0% 100.0% - 100.0% - Total RWA Eop 361 7,642 - 95.3% 361 - 92.8% EVA (€ million) (105) (226) - 53.5% (41) + 17.2% Absorbed Capital (€ million) 600 1,126 - 46.8% 315 - 48.0% ROAC - 8.0% - 20.7% + 12.7 p.p. - 45.1% - 32.0 p.p. Cost/Income n.m. n.m. n.m. n.m. n.m. Cost of Risk - 972 bps 6 bps - 978 bps n.m. n.m. Full Time Equivalent (eop) 85 211 - 59.9% 85 - 52.5% Consolidated report on operations Group results 106 2021 Annual Report and Accounts · UniCredit Non Core Income statement, key ratios and indicators (€ million) NON CORE YEAR % CHANGE 2021 Q4 % CHANGE ON Q3 2021 2021 2020 Operating income (56) (46) + 20.4% (19) + 81.4% Operating costs (74) (115) - 36.0% (15) - 13.7% Net write-downs on loans and provisions for guarantees and commitments 61 (1) n.m. (24) n.m. Net operating profit (68) (162) - 58.1% (58) n.m. Profit before tax (132) (339) - 61.2% (79) n.m. Customers loans (net Repos and IC) 194 775 - 74.9% 194 - 66.2% Customers depos (net Repos and IC) 473 518 - 8.8% 473 - 5.5% Net Impaired Loans (percentage of total net loans Non Core) 100.0% 100.0% - 100.0% - Total RWA Eop 361 7,642 - 95.3% 361 - 92.8% EVA (€ million) (105) (226) - 53.5% (41) + 17.2% Absorbed Capital (€ million) 600 1,126 - 46.8% 315 - 48.0% ROAC - 8.0% - 20.7% + 12.7 p.p. - 45.1% - 32.0 p.p. Cost/Income n.m. n.m. n.m. n.m. n.m. Cost of Risk - 972 bps 6 bps - 978 bps n.m. n.m. Full Time Equivalent (eop) 85 211 - 59.9% 85 - 52.5% Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 107 Other information Report on corporate governance and ownership structure Within the meaning of Art.123-bis par.3 of the Legislative Decree No.58 dated 24 February 1998, the “Report on corporate governance and ownership structure” is available in the “Governance” section of the UniCredit website (https://www.unicreditgroup.eu). An explanatory chapter on the corporate governance structure is likewise included below in this document (“Corporate Governance”). Report on remuneration Pursuant to Art.123-ter of the Legislative Decree dated 24 February 1998 No.58 and of Art.84-quater, of the Consob Issuers’ Regulations, the “Group Remuneration Policy and Report” is available on UniCredit’s website (https://www.unicreditgroup.eu). Non-financial information In recent years, society, the economy, employment and the way of doing business are being increasingly affected by multiple changes, also as a result of the pandemic. The acronym ESG (Environment, Social, Governance), little known until recently, is now at the heart of all we do. It cannot be denied that this long journey will encounter difficulties and obstacles. Financial players are growing knowledge and skills to afford unexpected events caused by ESG variables and the impact of their interactions. The high volatility related to the recent increase in price of gas, oil and raw materials we are experiencing is an example of the impacts such variables can have. Financial institutions will constantly be required to evaluate the trade-off between environmental impacts and social repercussions and strike the appropriate balance. No transformation is without cost but, as with any investment, the return is spread over time: spend today to reap the rewards tomorrow. With a multiplier effect, finance and private savings flank the extraordinary booster of public spending and become the main agents of change in social and business models. It is within this logic that the UniCredit ESG strategy is inserted: starting from purpose and values, it is extensively applied to behaviours, actions and activities. UniCredit Unlocked, the new 2022-2024 Strategic Plan, announced during the Strategy Day on 9 December 2021, aims to put UniCredit back in the top tier of European banks, with sustainability being at the core. The ambition is to create a bank for Europe's future. UniCredit is unlocking the potential and moving from retrenchment to renewal, towards an era of purpose, growth and value creation. UniCredit values are cultural cornerstones that guide in all actions and behaviours and are driven by the purpose, enabling to deliver on ambition and new business strategy. UniCredit wants to win the right way, by placing the values of integrity, caring and ownership at the heart of the decisions, and to do so together, one united team acting as true partners to different stakeholders, leading by example with sustainability embedded in culture. The journey we embarked on, started in 2020, is to complete the ESG Strategy, further integrating all ESG factors in the Bank’s strategy, core business and processes, looking at both risks and market opportunities and with a clear multi-stakeholder approach. UniCredit’s conviction is that leading by example is the right thing to do embedding ESG in all that is done and bearing the associated cost of it. This is why the last step of the journey consisted in the finalization and external communication of UniCredit new ESG strategy to the stakeholders during the Strategy Day. Step 1 - Starting point Step 2 - Benchmark Step 3 - Prioritization Step 4 - ESG roadmap Step 5 - ESG Strategy Mapping of all ESG practices across the Group with shared effort across countries and functions Identifying relative position versus peers and best practice Prioritization of initiatives to cover gaps with a multi faceted approach Definition of 20 key workstreams across the entire organization within the roadmap Finalization and external communication of the ESG Strategy Stakeholder engagement represented a key step in the definition of the new ESG Strategy, enabling to obtain stakeholders’ opinions on UniCredit ambitions Embedding sustainability in all that we do is one of the five strategic imperatives of UniCredit Unlocked, built around UniCredit principles and beliefs and on four fundamentals: • leading by example, striving for the same high standards sought in those doing business with; • setting ambitious ESG goals to support customers’ need for change; • equipping themselves with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments to enable a more equal and sustainable society. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 107 Other information Report on corporate governance and ownership structure Within the meaning of Art.123-bis par.3 of the Legislative Decree No.58 dated 24 February 1998, the “Report on corporate governance and ownership structure” is available in the “Governance” section of the UniCredit website (https://www.unicreditgroup.eu). An explanatory chapter on the corporate governance structure is likewise included below in this document (“Corporate Governance”). Report on remuneration Pursuant to Art.123-ter of the Legislative Decree dated 24 February 1998 No.58 and of Art.84-quater, of the Consob Issuers’ Regulations, the “Group Remuneration Policy and Report” is available on UniCredit’s website (https://www.unicreditgroup.eu). Non-financial information In recent years, society, the economy, employment and the way of doing business are being increasingly affected by multiple changes, also as a result of the pandemic. The acronym ESG (Environment, Social, Governance), little known until recently, is now at the heart of all we do. It cannot be denied that this long journey will encounter difficulties and obstacles. Financial players are growing knowledge and skills to afford unexpected events caused by ESG variables and the impact of their interactions. The high volatility related to the recent increase in price of gas, oil and raw materials we are experiencing is an example of the impacts such variables can have. Financial institutions will constantly be required to evaluate the trade-off between environmental impacts and social repercussions and strike the appropriate balance. No transformation is without cost but, as with any investment, the return is spread over time: spend today to reap the rewards tomorrow. With a multiplier effect, finance and private savings flank the extraordinary booster of public spending and become the main agents of change in social and business models. It is within this logic that the UniCredit ESG strategy is inserted: starting from purpose and values, it is extensively applied to behaviours, actions and activities. UniCredit Unlocked, the new 2022-2024 Strategic Plan, announced during the Strategy Day on 9 December 2021, aims to put UniCredit back in the top tier of European banks, with sustainability being at the core. The ambition is to create a bank for Europe's future. UniCredit is unlocking the potential and moving from retrenchment to renewal, towards an era of purpose, growth and value creation. UniCredit values are cultural cornerstones that guide in all actions and behaviours and are driven by the purpose, enabling to deliver on ambition and new business strategy. UniCredit wants to win the right way, by placing the values of integrity, caring and ownership at the heart of the decisions, and to do so together, one united team acting as true partners to different stakeholders, leading by example with sustainability embedded in culture. The journey we embarked on, started in 2020, is to complete the ESG Strategy, further integrating all ESG factors in the Bank’s strategy, core business and processes, looking at both risks and market opportunities and with a clear multi-stakeholder approach. UniCredit’s conviction is that leading by example is the right thing to do embedding ESG in all that is done and bearing the associated cost of it. This is why the last step of the journey consisted in the finalization and external communication of UniCredit new ESG strategy to the stakeholders during the Strategy Day. Step 1 - Starting point Step 2 - Benchmark Step 3 - Prioritization Step 4 - ESG roadmap Step 5 - ESG Strategy Mapping of all ESG practices across the Group with shared effort across countries and functions Identifying relative position versus peers and best practice Prioritization of initiatives to cover gaps with a multi faceted approach Definition of 20 key workstreams across the entire organization within the roadmap Finalization and external communication of the ESG Strategy Stakeholder engagement represented a key step in the definition of the new ESG Strategy, enabling to obtain stakeholders’ opinions on UniCredit ambitions Embedding sustainability in all that we do is one of the five strategic imperatives of UniCredit Unlocked, built around UniCredit principles and beliefs and on four fundamentals: • leading by example, striving for the same high standards sought in those doing business with; • setting ambitious ESG goals to support customers’ need for change; • equipping themselves with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments to enable a more equal and sustainable society. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 107 Other information Report on corporate governance and ownership structure Within the meaning of Art.123-bis par.3 of the Legislative Decree No.58 dated 24 February 1998, the “Report on corporate governance and ownership structure” is available in the “Governance” section of the UniCredit website (https://www.unicreditgroup.eu). An explanatory chapter on the corporate governance structure is likewise included below in this document (“Corporate Governance”). Report on remuneration Pursuant to Art.123-ter of the Legislative Decree dated 24 February 1998 No.58 and of Art.84-quater, of the Consob Issuers’ Regulations, the “Group Remuneration Policy and Report” is available on UniCredit’s website (https://www.unicreditgroup.eu). Non-financial information In recent years, society, the economy, employment and the way of doing business are being increasingly affected by multiple changes, also as a result of the pandemic. The acronym ESG (Environment, Social, Governance), little known until recently, is now at the heart of all we do. It cannot be denied that this long journey will encounter difficulties and obstacles. Financial players are growing knowledge and skills to afford unexpected events caused by ESG variables and the impact of their interactions. The high volatility related to the recent increase in price of gas, oil and raw materials we are experiencing is an example of the impacts such variables can have. Financial institutions will constantly be required to evaluate the trade-off between environmental impacts and social repercussions and strike the appropriate balance. No transformation is without cost but, as with any investment, the return is spread over time: spend today to reap the rewards tomorrow. With a multiplier effect, finance and private savings flank the extraordinary booster of public spending and become the main agents of change in social and business models. It is within this logic that the UniCredit ESG strategy is inserted: starting from purpose and values, it is extensively applied to behaviours, actions and activities. UniCredit Unlocked, the new 2022-2024 Strategic Plan, announced during the Strategy Day on 9 December 2021, aims to put UniCredit back in the top tier of European banks, with sustainability being at the core. The ambition is to create a bank for Europe's future. UniCredit is unlocking the potential and moving from retrenchment to renewal, towards an era of purpose, growth and value creation. UniCredit values are cultural cornerstones that guide in all actions and behaviours and are driven by the purpose, enabling to deliver on ambition and new business strategy. UniCredit wants to win the right way, by placing the values of integrity, caring and ownership at the heart of the decisions, and to do so together, one united team acting as true partners to different stakeholders, leading by example with sustainability embedded in culture. The journey we embarked on, started in 2020, is to complete the ESG Strategy, further integrating all ESG factors in the Bank’s strategy, core business and processes, looking at both risks and market opportunities and with a clear multi-stakeholder approach. UniCredit’s conviction is that leading by example is the right thing to do embedding ESG in all that is done and bearing the associated cost of it. This is why the last step of the journey consisted in the finalization and external communication of UniCredit new ESG strategy to the stakeholders during the Strategy Day. Step 1 - Starting point Step 2 - Benchmark Step 3 - Prioritization Step 4 - ESG roadmap Step 5 - ESG Strategy Mapping of all ESG practices across the Group with shared effort across countries and functions Identifying relative position versus peers and best practice Prioritization of initiatives to cover gaps with a multi faceted approach Definition of 20 key workstreams across the entire organization within the roadmap Finalization and external communication of the ESG Strategy Stakeholder engagement represented a key step in the definition of the new ESG Strategy, enabling to obtain stakeholders’ opinions on UniCredit ambitions Embedding sustainability in all that we do is one of the five strategic imperatives of UniCredit Unlocked, built around UniCredit principles and beliefs and on four fundamentals: • leading by example, striving for the same high standards sought in those doing business with; • setting ambitious ESG goals to support customers’ need for change; • equipping themselves with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments to enable a more equal and sustainable society. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 107 Other information Report on corporate governance and ownership structure Within the meaning of Art.123-bis par.3 of the Legislative Decree No.58 dated 24 February 1998, the “Report on corporate governance and ownership structure” is available in the “Governance” section of the UniCredit website (https://www.unicreditgroup.eu). An explanatory chapter on the corporate governance structure is likewise included below in this document (“Corporate Governance”). Report on remuneration Pursuant to Art.123-ter of the Legislative Decree dated 24 February 1998 No.58 and of Art.84-quater, of the Consob Issuers’ Regulations, the “Group Remuneration Policy and Report” is available on UniCredit’s website (https://www.unicreditgroup.eu). Non-financial information In recent years, society, the economy, employment and the way of doing business are being increasingly affected by multiple changes, also as a result of the pandemic. The acronym ESG (Environment, Social, Governance), little known until recently, is now at the heart of all we do. It cannot be denied that this long journey will encounter difficulties and obstacles. Financial players are growing knowledge and skills to afford unexpected events caused by ESG variables and the impact of their interactions. The high volatility related to the recent increase in price of gas, oil and raw materials we are experiencing is an example of the impacts such variables can have. Financial institutions will constantly be required to evaluate the trade-off between environmental impacts and social repercussions and strike the appropriate balance. No transformation is without cost but, as with any investment, the return is spread over time: spend today to reap the rewards tomorrow. With a multiplier effect, finance and private savings flank the extraordinary booster of public spending and become the main agents of change in social and business models. It is within this logic that the UniCredit ESG strategy is inserted: starting from purpose and values, it is extensively applied to behaviours, actions and activities. UniCredit Unlocked, the new 2022-2024 Strategic Plan, announced during the Strategy Day on 9 December 2021, aims to put UniCredit back in the top tier of European banks, with sustainability being at the core. The ambition is to create a bank for Europe's future. UniCredit is unlocking the potential and moving from retrenchment to renewal, towards an era of purpose, growth and value creation. UniCredit values are cultural cornerstones that guide in all actions and behaviours and are driven by the purpose, enabling to deliver on ambition and new business strategy. UniCredit wants to win the right way, by placing the values of integrity, caring and ownership at the heart of the decisions, and to do so together, one united team acting as true partners to different stakeholders, leading by example with sustainability embedded in culture. The journey we embarked on, started in 2020, is to complete the ESG Strategy, further integrating all ESG factors in the Bank’s strategy, core business and processes, looking at both risks and market opportunities and with a clear multi-stakeholder approach. UniCredit’s conviction is that leading by example is the right thing to do embedding ESG in all that is done and bearing the associated cost of it. This is why the last step of the journey consisted in the finalization and external communication of UniCredit new ESG strategy to the stakeholders during the Strategy Day. Step 1 - Starting point Step 2 - Benchmark Step 3 - Prioritization Step 4 - ESG roadmap Step 5 - ESG Strategy Mapping of all ESG practices across the Group with shared effort across countries and functions Identifying relative position versus peers and best practice Prioritization of initiatives to cover gaps with a multi faceted approach Definition of 20 key workstreams across the entire organization within the roadmap Finalization and external communication of the ESG Strategy Stakeholder engagement represented a key step in the definition of the new ESG Strategy, enabling to obtain stakeholders’ opinions on UniCredit ambitions Embedding sustainability in all that we do is one of the five strategic imperatives of UniCredit Unlocked, built around UniCredit principles and beliefs and on four fundamentals: • leading by example, striving for the same high standards sought in those doing business with; • setting ambitious ESG goals to support customers’ need for change; • equipping themselves with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments to enable a more equal and sustainable society. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 107 Other information Report on corporate governance and ownership structure Within the meaning of Art.123-bis par.3 of the Legislative Decree No.58 dated 24 February 1998, the “Report on corporate governance and ownership structure” is available in the “Governance” section of the UniCredit website (https://www.unicreditgroup.eu). An explanatory chapter on the corporate governance structure is likewise included below in this document (“Corporate Governance”). Report on remuneration Pursuant to Art.123-ter of the Legislative Decree dated 24 February 1998 No.58 and of Art.84-quater, of the Consob Issuers’ Regulations, the “Group Remuneration Policy and Report” is available on UniCredit’s website (https://www.unicreditgroup.eu). Non-financial information In recent years, society, the economy, employment and the way of doing business are being increasingly affected by multiple changes, also as a result of the pandemic. The acronym ESG (Environment, Social, Governance), little known until recently, is now at the heart of all we do. It cannot be denied that this long journey will encounter difficulties and obstacles. Financial players are growing knowledge and skills to afford unexpected events caused by ESG variables and the impact of their interactions. The high volatility related to the recent increase in price of gas, oil and raw materials we are experiencing is an example of the impacts such variables can have. Financial institutions will constantly be required to evaluate the trade-off between environmental impacts and social repercussions and strike the appropriate balance. No transformation is without cost but, as with any investment, the return is spread over time: spend today to reap the rewards tomorrow. With a multiplier effect, finance and private savings flank the extraordinary booster of public spending and become the main agents of change in social and business models. It is within this logic that the UniCredit ESG strategy is inserted: starting from purpose and values, it is extensively applied to behaviours, actions and activities. UniCredit Unlocked, the new 2022-2024 Strategic Plan, announced during the Strategy Day on 9 December 2021, aims to put UniCredit back in the top tier of European banks, with sustainability being at the core. The ambition is to create a bank for Europe's future. UniCredit is unlocking the potential and moving from retrenchment to renewal, towards an era of purpose, growth and value creation. UniCredit values are cultural cornerstones that guide in all actions and behaviours and are driven by the purpose, enabling to deliver on ambition and new business strategy. UniCredit wants to win the right way, by placing the values of integrity, caring and ownership at the heart of the decisions, and to do so together, one united team acting as true partners to different stakeholders, leading by example with sustainability embedded in culture. The journey we embarked on, started in 2020, is to complete the ESG Strategy, further integrating all ESG factors in the Bank’s strategy, core business and processes, looking at both risks and market opportunities and with a clear multi-stakeholder approach. UniCredit’s conviction is that leading by example is the right thing to do embedding ESG in all that is done and bearing the associated cost of it. This is why the last step of the journey consisted in the finalization and external communication of UniCredit new ESG strategy to the stakeholders during the Strategy Day. Step 1 - Starting point Step 2 - Benchmark Step 3 - Prioritization Step 4 - ESG roadmap Step 5 - ESG Strategy Mapping of all ESG practices across the Group with shared effort across countries and functions Identifying relative position versus peers and best practice Prioritization of initiatives to cover gaps with a multi faceted approach Definition of 20 key workstreams across the entire organization within the roadmap Finalization and external communication of the ESG Strategy Stakeholder engagement represented a key step in the definition of the new ESG Strategy, enabling to obtain stakeholders’ opinions on UniCredit ambitions Embedding sustainability in all that we do is one of the five strategic imperatives of UniCredit Unlocked, built around UniCredit principles and beliefs and on four fundamentals: • leading by example, striving for the same high standards sought in those doing business with; • setting ambitious ESG goals to support customers’ need for change; • equipping themselves with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments to enable a more equal and sustainable society. Consolidated report on operations Other information 108 2021 Annual Report and Accounts · UniCredit The strategy reflects the ambition for positioning as a bank of reference on ESG issues. The new strategy is based on three guiding principles: • to observe the highest possible standards to do the right thing both for clients and society; • to be fully committed to supporting clients in a just and fair transition; • to reflect and respect the views of stakeholders in business and decision-making processes. At UniCredit, the importance of being purpose-driven global leaders is recognised. As financial sector player and as a bank, UniCredit is both part of the game and part of the solution: the bank can enable the future by financing the change and changing finance. UniCredit wants to maintain its leadership position in the ESG global framework, leading by example on ESG with concrete results and a positive impact on communities: • reduced the Greenhouse Gas (GHG) emissions by 32% in 2021 vs. 2017 (market based) and by 63% (location based) vs. 2008; • contributed to sustainable bonds origination for an apportioned quota of €12 billion of ESG-related League Table credit8 ; • supported communities with €36m of contributions9 in 2021. Issued €0.4 billion of microcredit and impact financing cumulated loans, reaching 3.7 million of direct and indirect beneficiaries. UniCredit results are built on a strong diversity and inclusion framework, with 46% female representation in the Board, 40% in Group Executive Committee and 33% in the leadership team. Success as a global sustainability leader is a result of a strong commitment and requires to set challenging targets against which performance must continuously be monitored. UniCredit has therefore decided to boost the agenda, reviewing the ESG targets set in 2019 and adopting new ones, announced at the Strategy Day in December 2021: Cumulative ESG Volumes 22-24 €150 billion overall ENVIRONMENTAL LENDING With bulk of the facilities to support clients in green transition €25 billion New Production ESG INVESTMENT PRODUCTS More than 40% of 2024 AuM invested in ESG products €65 billion AuM conversion towards ESG investments SUSTAINABLE BONDS Significant contribution to the origination of sustainable bonds coming from Recovery and Resilience Facility funds €50 billion DCM Origination SOCIAL LENDING Expanding the scope of Social Lending to activities with high impact on society and disadvantaged areas €10 billion New Production Environmental footprint NET ZERO on own emissions by 2030 NET ZERO on emissions for lending and investment portfolio by 2050 UniCredit ESG Strategy is based on the implementation of key strategic actions across four main building blocks: • partnering with customers for a just transition; • supporting communities and Society; • steering the behaviour with clear commitments; • enriching risk and lending approach. In October 2021 UniCredit joined the Net Zero Banking Alliance, aiming at aligning the lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement. UniCredit is investigating the key pre-requisites necessary to navigate through all phases along the process to net zero. A dedicated task force has been set up to achieve this goal, with the aim to coordinate the task at Group Level, bringing together all the relevant skills and competencies. The bank looks forward to engaging with the clients to support them in their transition plans and accelerate action on climate. UniCredit is the first Italian bank to sign the commitment to Financial Health and Inclusion, developed under the framework of the Principles for Responsible Banking, as further proof of the bank’s strong social responsibility and dedication to building an inclusive economy for all stakeholders. Furthermore, in 2021 the CEO signed the CEO Champion Commitment “Towards the Zero Gender Gap”: €100 million will be invested to ensuring equal gender pay, which means equal pay for equal jobs. 8 Including Green, Social, Sustainability and Sustainability-linked bonds. All regions, all currencies. FY 2021. Source: Dealogic. 9 Measured by the former London Benchmarking Group (LBG), now Business for Societal Impact (B4SI) reporting framework. Consolidated report on operations Other information 108 2021 Annual Report and Accounts · UniCredit The strategy reflects the ambition for positioning as a bank of reference on ESG issues. The new strategy is based on three guiding principles: • to observe the highest possible standards to do the right thing both for clients and society; • to be fully committed to supporting clients in a just and fair transition; • to reflect and respect the views of stakeholders in business and decision-making processes. At UniCredit, the importance of being purpose-driven global leaders is recognised. As financial sector player and as a bank, UniCredit is both part of the game and part of the solution: the bank can enable the future by financing the change and changing finance. UniCredit wants to maintain its leadership position in the ESG global framework, leading by example on ESG with concrete results and a positive impact on communities: • reduced the Greenhouse Gas (GHG) emissions by 32% in 2021 vs. 2017 (market based) and by 63% (location based) vs. 2008; • contributed to sustainable bonds origination for an apportioned quota of €12 billion of ESG-related League Table credit8 ; • supported communities with €36m of contributions9 in 2021. Issued €0.4 billion of microcredit and impact financing cumulated loans, reaching 3.7 million of direct and indirect beneficiaries. UniCredit results are built on a strong diversity and inclusion framework, with 46% female representation in the Board, 40% in Group Executive Committee and 33% in the leadership team. Success as a global sustainability leader is a result of a strong commitment and requires to set challenging targets against which performance must continuously be monitored. UniCredit has therefore decided to boost the agenda, reviewing the ESG targets set in 2019 and adopting new ones, announced at the Strategy Day in December 2021: Cumulative ESG Volumes 22-24 €150 billion overall ENVIRONMENTAL LENDING With bulk of the facilities to support clients in green transition €25 billion New Production ESG INVESTMENT PRODUCTS More than 40% of 2024 AuM invested in ESG products €65 billion AuM conversion towards ESG investments SUSTAINABLE BONDS Significant contribution to the origination of sustainable bonds coming from Recovery and Resilience Facility funds €50 billion DCM Origination SOCIAL LENDING Expanding the scope of Social Lending to activities with high impact on society and disadvantaged areas €10 billion New Production Environmental footprint NET ZERO on own emissions by 2030 NET ZERO on emissions for lending and investment portfolio by 2050 UniCredit ESG Strategy is based on the implementation of key strategic actions across four main building blocks: • partnering with customers for a just transition; • supporting communities and Society; • steering the behaviour with clear commitments; • enriching risk and lending approach. In October 2021 UniCredit joined the Net Zero Banking Alliance, aiming at aligning the lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement. UniCredit is investigating the key pre-requisites necessary to navigate through all phases along the process to net zero. A dedicated task force has been set up to achieve this goal, with the aim to coordinate the task at Group Level, bringing together all the relevant skills and competencies. The bank looks forward to engaging with the clients to support them in their transition plans and accelerate action on climate. UniCredit is the first Italian bank to sign the commitment to Financial Health and Inclusion, developed under the framework of the Principles for Responsible Banking, as further proof of the bank’s strong social responsibility and dedication to building an inclusive economy for all stakeholders. Furthermore, in 2021 the CEO signed the CEO Champion Commitment “Towards the Zero Gender Gap”: €100 million will be invested to ensuring equal gender pay, which means equal pay for equal jobs. 8 Including Green, Social, Sustainability and Sustainability-linked bonds. All regions, all currencies. FY 2021. Source: Dealogic. 9 Measured by the former London Benchmarking Group (LBG), now Business for Societal Impact (B4SI) reporting framework. Consolidated report on operations Other information 108 2021 Annual Report and Accounts · UniCredit The strategy reflects the ambition for positioning as a bank of reference on ESG issues. The new strategy is based on three guiding principles: • to observe the highest possible standards to do the right thing both for clients and society; • to be fully committed to supporting clients in a just and fair transition; • to reflect and respect the views of stakeholders in business and decision-making processes. At UniCredit, the importance of being purpose-driven global leaders is recognised. As financial sector player and as a bank, UniCredit is both part of the game and part of the solution: the bank can enable the future by financing the change and changing finance. UniCredit wants to maintain its leadership position in the ESG global framework, leading by example on ESG with concrete results and a positive impact on communities: • reduced the Greenhouse Gas (GHG) emissions by 32% in 2021 vs. 2017 (market based) and by 63% (location based) vs. 2008; • contributed to sustainable bonds origination for an apportioned quota of €12 billion of ESG-related League Table credit8 ; • supported communities with €36m of contributions9 in 2021. Issued €0.4 billion of microcredit and impact financing cumulated loans, reaching 3.7 million of direct and indirect beneficiaries. UniCredit results are built on a strong diversity and inclusion framework, with 46% female representation in the Board, 40% in Group Executive Committee and 33% in the leadership team. Success as a global sustainability leader is a result of a strong commitment and requires to set challenging targets against which performance must continuously be monitored. UniCredit has therefore decided to boost the agenda, reviewing the ESG targets set in 2019 and adopting new ones, announced at the Strategy Day in December 2021: Cumulative ESG Volumes 22-24 €150 billion overall ENVIRONMENTAL LENDING With bulk of the facilities to support clients in green transition €25 billion New Production ESG INVESTMENT PRODUCTS More than 40% of 2024 AuM invested in ESG products €65 billion AuM conversion towards ESG investments SUSTAINABLE BONDS Significant contribution to the origination of sustainable bonds coming from Recovery and Resilience Facility funds €50 billion DCM Origination SOCIAL LENDING Expanding the scope of Social Lending to activities with high impact on society and disadvantaged areas €10 billion New Production Environmental footprint NET ZERO on own emissions by 2030 NET ZERO on emissions for lending and investment portfolio by 2050 UniCredit ESG Strategy is based on the implementation of key strategic actions across four main building blocks: • partnering with customers for a just transition; • supporting communities and Society; • steering the behaviour with clear commitments; • enriching risk and lending approach. In October 2021 UniCredit joined the Net Zero Banking Alliance, aiming at aligning the lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement. UniCredit is investigating the key pre-requisites necessary to navigate through all phases along the process to net zero. A dedicated task force has been set up to achieve this goal, with the aim to coordinate the task at Group Level, bringing together all the relevant skills and competencies. The bank looks forward to engaging with the clients to support them in their transition plans and accelerate action on climate. UniCredit is the first Italian bank to sign the commitment to Financial Health and Inclusion, developed under the framework of the Principles for Responsible Banking, as further proof of the bank’s strong social responsibility and dedication to building an inclusive economy for all stakeholders. Furthermore, in 2021 the CEO signed the CEO Champion Commitment “Towards the Zero Gender Gap”: €100 million will be invested to ensuring equal gender pay, which means equal pay for equal jobs. 8 Including Green, Social, Sustainability and Sustainability-linked bonds. All regions, all currencies. FY 2021. Source: Dealogic. 9 Measured by the former London Benchmarking Group (LBG), now Business for Societal Impact (B4SI) reporting framework. Consolidated report on operations Other information 108 2021 Annual Report and Accounts · UniCredit The strategy reflects the ambition for positioning as a bank of reference on ESG issues. The new strategy is based on three guiding principles: • to observe the highest possible standards to do the right thing both for clients and society; • to be fully committed to supporting clients in a just and fair transition; • to reflect and respect the views of stakeholders in business and decision-making processes. At UniCredit, the importance of being purpose-driven global leaders is recognised. As financial sector player and as a bank, UniCredit is both part of the game and part of the solution: the bank can enable the future by financing the change and changing finance. UniCredit wants to maintain its leadership position in the ESG global framework, leading by example on ESG with concrete results and a positive impact on communities: • reduced the Greenhouse Gas (GHG) emissions by 32% in 2021 vs. 2017 (market based) and by 63% (location based) vs. 2008; • contributed to sustainable bonds origination for an apportioned quota of €12 billion of ESG-related League Table credit8 ; • supported communities with €36m of contributions9 in 2021. Issued €0.4 billion of microcredit and impact financing cumulated loans, reaching 3.7 million of direct and indirect beneficiaries. UniCredit results are built on a strong diversity and inclusion framework, with 46% female representation in the Board, 40% in Group Executive Committee and 33% in the leadership team. Success as a global sustainability leader is a result of a strong commitment and requires to set challenging targets against which performance must continuously be monitored. UniCredit has therefore decided to boost the agenda, reviewing the ESG targets set in 2019 and adopting new ones, announced at the Strategy Day in December 2021: Cumulative ESG Volumes 22-24 €150 billion overall ENVIRONMENTAL LENDING With bulk of the facilities to support clients in green transition €25 billion New Production ESG INVESTMENT PRODUCTS More than 40% of 2024 AuM invested in ESG products €65 billion AuM conversion towards ESG investments SUSTAINABLE BONDS Significant contribution to the origination of sustainable bonds coming from Recovery and Resilience Facility funds €50 billion DCM Origination SOCIAL LENDING Expanding the scope of Social Lending to activities with high impact on society and disadvantaged areas €10 billion New Production Environmental footprint NET ZERO on own emissions by 2030 NET ZERO on emissions for lending and investment portfolio by 2050 UniCredit ESG Strategy is based on the implementation of key strategic actions across four main building blocks: • partnering with customers for a just transition; • supporting communities and Society; • steering the behaviour with clear commitments; • enriching risk and lending approach. In October 2021 UniCredit joined the Net Zero Banking Alliance, aiming at aligning the lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement. UniCredit is investigating the key pre-requisites necessary to navigate through all phases along the process to net zero. A dedicated task force has been set up to achieve this goal, with the aim to coordinate the task at Group Level, bringing together all the relevant skills and competencies. The bank looks forward to engaging with the clients to support them in their transition plans and accelerate action on climate. UniCredit is the first Italian bank to sign the commitment to Financial Health and Inclusion, developed under the framework of the Principles for Responsible Banking, as further proof of the bank’s strong social responsibility and dedication to building an inclusive economy for all stakeholders. Furthermore, in 2021 the CEO signed the CEO Champion Commitment “Towards the Zero Gender Gap”: €100 million will be invested to ensuring equal gender pay, which means equal pay for equal jobs. 8 Including Green, Social, Sustainability and Sustainability-linked bonds. All regions, all currencies. FY 2021. Source: Dealogic. 9 Measured by the former London Benchmarking Group (LBG), now Business for Societal Impact (B4SI) reporting framework. Consolidated report on operations Other information 108 2021 Annual Report and Accounts · UniCredit The strategy reflects the ambition for positioning as a bank of reference on ESG issues. The new strategy is based on three guiding principles: • to observe the highest possible standards to do the right thing both for clients and society; • to be fully committed to supporting clients in a just and fair transition; • to reflect and respect the views of stakeholders in business and decision-making processes. At UniCredit, the importance of being purpose-driven global leaders is recognised. As financial sector player and as a bank, UniCredit is both part of the game and part of the solution: the bank can enable the future by financing the change and changing finance. UniCredit wants to maintain its leadership position in the ESG global framework, leading by example on ESG with concrete results and a positive impact on communities: • reduced the Greenhouse Gas (GHG) emissions by 32% in 2021 vs. 2017 (market based) and by 63% (location based) vs. 2008; • contributed to sustainable bonds origination for an apportioned quota of €12 billion of ESG-related League Table credit8 ; • supported communities with €36m of contributions9 in 2021. Issued €0.4 billion of microcredit and impact financing cumulated loans, reaching 3.7 million of direct and indirect beneficiaries. UniCredit results are built on a strong diversity and inclusion framework, with 46% female representation in the Board, 40% in Group Executive Committee and 33% in the leadership team. Success as a global sustainability leader is a result of a strong commitment and requires to set challenging targets against which performance must continuously be monitored. UniCredit has therefore decided to boost the agenda, reviewing the ESG targets set in 2019 and adopting new ones, announced at the Strategy Day in December 2021: Cumulative ESG Volumes 22-24 €150 billion overall ENVIRONMENTAL LENDING With bulk of the facilities to support clients in green transition €25 billion New Production ESG INVESTMENT PRODUCTS More than 40% of 2024 AuM invested in ESG products €65 billion AuM conversion towards ESG investments SUSTAINABLE BONDS Significant contribution to the origination of sustainable bonds coming from Recovery and Resilience Facility funds €50 billion DCM Origination SOCIAL LENDING Expanding the scope of Social Lending to activities with high impact on society and disadvantaged areas €10 billion New Production Environmental footprint NET ZERO on own emissions by 2030 NET ZERO on emissions for lending and investment portfolio by 2050 UniCredit ESG Strategy is based on the implementation of key strategic actions across four main building blocks: • partnering with customers for a just transition; • supporting communities and Society; • steering the behaviour with clear commitments; • enriching risk and lending approach. In October 2021 UniCredit joined the Net Zero Banking Alliance, aiming at aligning the lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement. UniCredit is investigating the key pre-requisites necessary to navigate through all phases along the process to net zero. A dedicated task force has been set up to achieve this goal, with the aim to coordinate the task at Group Level, bringing together all the relevant skills and competencies. The bank looks forward to engaging with the clients to support them in their transition plans and accelerate action on climate. UniCredit is the first Italian bank to sign the commitment to Financial Health and Inclusion, developed under the framework of the Principles for Responsible Banking, as further proof of the bank’s strong social responsibility and dedication to building an inclusive economy for all stakeholders. Furthermore, in 2021 the CEO signed the CEO Champion Commitment “Towards the Zero Gender Gap”: €100 million will be invested to ensuring equal gender pay, which means equal pay for equal jobs. 8 Including Green, Social, Sustainability and Sustainability-linked bonds. All regions, all currencies. FY 2021. Source: Dealogic. 9 Measured by the former London Benchmarking Group (LBG), now Business for Societal Impact (B4SI) reporting framework. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 109 Sustainable value is delivered to the stakeholders through four underlying drivers: • governance model: which supports the implementation of UniCredit ESG strategy, promoting both clarity and accountability; • targeted country approach: enabling each country to design a dedicated ESG plan which takes into account country-specific priorities; • culture: putting the values of integrity, ownership and care at the heart of everything done, with diversity and inclusion remaining strategic assets, and employee engagement and training being UniCredit priorities; • monitoring, reporting and disclosure: striving to invest in the deployment of an ESG IT Global architecture to manage all relevant ESG data, for several monitoring purposes, Multi-Year Plan ESG targets, Green Transition Financing, EU Taxonomy and Pillar III. For a more detailed disclosure concerning the new ESG strategy and 2021 achievements, refer to the 2021 Integrated Report that is published on UniCredit website (https://www.unicreditgroup.eu), and that, pursuant to articles 3 and 4 of Legislative Decree 254/2016, constitutes the Non-financial Declaration. The report also includes the Simplified Disclosure according to Art.10 of the Delegated Act supplementing EU Taxonomy Regulation (2020/852), requiring to financial companies to disclose the eligibility KPIs from 1 January 2022 to 31 December 2023. In terms of climate-related information, in November 2021 a separate document dedicated to disclosure aligned with TCFD (Task Force on Climate-related Financial Disclosures) recommendations has been issued. A new version will be released during 2022. Research and development projects Research activities during 2021 were mainly focused on cryptography, streaming architectures and reinforcement learning. • on cryptography our main topics were attribute-based, functional and homomorphic encryption. Attribute-based encryption was a key focus, implementing state-of-the-art schemes with application to authentication and secure messaging in Cloud- and Edge-computing designs; • research on streaming architectures was meant to support the Kite project, which is based on an ecosystem of event-based service components; • beside cryptography, an active area of research was reinforcement learning (meant to support the Heka project) with a view towards its application to suggestions and advanced interaction engines. Group activities development operations and other corporate transactions Transactions and initiatives involving shareholdings Disposal of SIA UniCredit Leasing Following the signing of the binding agreement in December 2019 and the obtainment of the relevant regulatory approvals, on 4 January 2021, UniCredit completed the disposal of SIA UniCredit Leasing and its subsidiary SIA UniCredit Insurance Broker to AS Citadele Banka. The investment was classified among held for sale (IFRS5) as at 31 December 2020. The transaction had a low single digit positive impact on the consolidated CET1 ratio. The intragroup funding has been fully reimbursed at closing. Acquisition of the entire stake in Cordusio SIM On 30 April 2021, following the execution of a Call Option on the minority stake held by some private bankers, UniCredit completed the acquisition of the remaining shareholding (2.88%) in Cordusio SIM S.p.A., reaching the 100% ownership. Disposal of the entire shareholding held in Yapi Kredi Bank A.S. equal to 20% At the end of October, the UniCredit S.p.A. Board of Directors approved the disposal of up to the entire shareholding in Yapı ve Kredi Bankası A.S. UniCredit delivered therefore a right of first offer notice to Koç Holding A.S., pursuant to the share purchase agreement signed in 2019. On 8 November 2021 Koç Holding A.S. confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a 18% stake. As a result, UniCredit: (i) has reclassified 20% stake as held for sale (IFRS5); (ii) has disposed of the 2% stake in Yapı ve Kredi Bankası A.S. on the market (transaction finalised in November via a dribble-out) and (iii) deconsolidated the remaining 18% stake as held for sale subsequently the loss of the significant influence (and the consequent recognition of a financial instrument in “Financial assets at fair value through profit or loss”). Considering the binding commitment subject only to regulatory approvals the completion of the sale of such remaining stake is expected to occur in the first quarter of 2022. As already communicated, the overall transaction had a low-mid single digit positive impact on the consolidated CET1 ratio of UniCredit, considering inter alia a negative consolidated P&L impact of approximately €1.7 billion in 2021, mostly deriving from the recycle of the reserves for the exchange rate differences on Turkish Lira, which did not bring impact on the CET1 capital, being currently already recognised. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 109 Sustainable value is delivered to the stakeholders through four underlying drivers: • governance model: which supports the implementation of UniCredit ESG strategy, promoting both clarity and accountability; • targeted country approach: enabling each country to design a dedicated ESG plan which takes into account country-specific priorities; • culture: putting the values of integrity, ownership and care at the heart of everything done, with diversity and inclusion remaining strategic assets, and employee engagement and training being UniCredit priorities; • monitoring, reporting and disclosure: striving to invest in the deployment of an ESG IT Global architecture to manage all relevant ESG data, for several monitoring purposes, Multi-Year Plan ESG targets, Green Transition Financing, EU Taxonomy and Pillar III. For a more detailed disclosure concerning the new ESG strategy and 2021 achievements, refer to the 2021 Integrated Report that is published on UniCredit website (https://www.unicreditgroup.eu), and that, pursuant to articles 3 and 4 of Legislative Decree 254/2016, constitutes the Non-financial Declaration. The report also includes the Simplified Disclosure according to Art.10 of the Delegated Act supplementing EU Taxonomy Regulation (2020/852), requiring to financial companies to disclose the eligibility KPIs from 1 January 2022 to 31 December 2023. In terms of climate-related information, in November 2021 a separate document dedicated to disclosure aligned with TCFD (Task Force on Climate-related Financial Disclosures) recommendations has been issued. A new version will be released during 2022. Research and development projects Research activities during 2021 were mainly focused on cryptography, streaming architectures and reinforcement learning. • on cryptography our main topics were attribute-based, functional and homomorphic encryption. Attribute-based encryption was a key focus, implementing state-of-the-art schemes with application to authentication and secure messaging in Cloud- and Edge-computing designs; • research on streaming architectures was meant to support the Kite project, which is based on an ecosystem of event-based service components; • beside cryptography, an active area of research was reinforcement learning (meant to support the Heka project) with a view towards its application to suggestions and advanced interaction engines. Group activities development operations and other corporate transactions Transactions and initiatives involving shareholdings Disposal of SIA UniCredit Leasing Following the signing of the binding agreement in December 2019 and the obtainment of the relevant regulatory approvals, on 4 January 2021, UniCredit completed the disposal of SIA UniCredit Leasing and its subsidiary SIA UniCredit Insurance Broker to AS Citadele Banka. The investment was classified among held for sale (IFRS5) as at 31 December 2020. The transaction had a low single digit positive impact on the consolidated CET1 ratio. The intragroup funding has been fully reimbursed at closing. Acquisition of the entire stake in Cordusio SIM On 30 April 2021, following the execution of a Call Option on the minority stake held by some private bankers, UniCredit completed the acquisition of the remaining shareholding (2.88%) in Cordusio SIM S.p.A., reaching the 100% ownership. Disposal of the entire shareholding held in Yapi Kredi Bank A.S. equal to 20% At the end of October, the UniCredit S.p.A. Board of Directors approved the disposal of up to the entire shareholding in Yapı ve Kredi Bankası A.S. UniCredit delivered therefore a right of first offer notice to Koç Holding A.S., pursuant to the share purchase agreement signed in 2019. On 8 November 2021 Koç Holding A.S. confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a 18% stake. As a result, UniCredit: (i) has reclassified 20% stake as held for sale (IFRS5); (ii) has disposed of the 2% stake in Yapı ve Kredi Bankası A.S. on the market (transaction finalised in November via a dribble-out) and (iii) deconsolidated the remaining 18% stake as held for sale subsequently the loss of the significant influence (and the consequent recognition of a financial instrument in “Financial assets at fair value through profit or loss”). Considering the binding commitment subject only to regulatory approvals the completion of the sale of such remaining stake is expected to occur in the first quarter of 2022. As already communicated, the overall transaction had a low-mid single digit positive impact on the consolidated CET1 ratio of UniCredit, considering inter alia a negative consolidated P&L impact of approximately €1.7 billion in 2021, mostly deriving from the recycle of the reserves for the exchange rate differences on Turkish Lira, which did not bring impact on the CET1 capital, being currently already recognised. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 109 Sustainable value is delivered to the stakeholders through four underlying drivers: • governance model: which supports the implementation of UniCredit ESG strategy, promoting both clarity and accountability; • targeted country approach: enabling each country to design a dedicated ESG plan which takes into account country-specific priorities; • culture: putting the values of integrity, ownership and care at the heart of everything done, with diversity and inclusion remaining strategic assets, and employee engagement and training being UniCredit priorities; • monitoring, reporting and disclosure: striving to invest in the deployment of an ESG IT Global architecture to manage all relevant ESG data, for several monitoring purposes, Multi-Year Plan ESG targets, Green Transition Financing, EU Taxonomy and Pillar III. For a more detailed disclosure concerning the new ESG strategy and 2021 achievements, refer to the 2021 Integrated Report that is published on UniCredit website (https://www.unicreditgroup.eu), and that, pursuant to articles 3 and 4 of Legislative Decree 254/2016, constitutes the Non-financial Declaration. The report also includes the Simplified Disclosure according to Art.10 of the Delegated Act supplementing EU Taxonomy Regulation (2020/852), requiring to financial companies to disclose the eligibility KPIs from 1 January 2022 to 31 December 2023. In terms of climate-related information, in November 2021 a separate document dedicated to disclosure aligned with TCFD (Task Force on Climate-related Financial Disclosures) recommendations has been issued. A new version will be released during 2022. Research and development projects Research activities during 2021 were mainly focused on cryptography, streaming architectures and reinforcement learning. • on cryptography our main topics were attribute-based, functional and homomorphic encryption. Attribute-based encryption was a key focus, implementing state-of-the-art schemes with application to authentication and secure messaging in Cloud- and Edge-computing designs; • research on streaming architectures was meant to support the Kite project, which is based on an ecosystem of event-based service components; • beside cryptography, an active area of research was reinforcement learning (meant to support the Heka project) with a view towards its application to suggestions and advanced interaction engines. Group activities development operations and other corporate transactions Transactions and initiatives involving shareholdings Disposal of SIA UniCredit Leasing Following the signing of the binding agreement in December 2019 and the obtainment of the relevant regulatory approvals, on 4 January 2021, UniCredit completed the disposal of SIA UniCredit Leasing and its subsidiary SIA UniCredit Insurance Broker to AS Citadele Banka. The investment was classified among held for sale (IFRS5) as at 31 December 2020. The transaction had a low single digit positive impact on the consolidated CET1 ratio. The intragroup funding has been fully reimbursed at closing. Acquisition of the entire stake in Cordusio SIM On 30 April 2021, following the execution of a Call Option on the minority stake held by some private bankers, UniCredit completed the acquisition of the remaining shareholding (2.88%) in Cordusio SIM S.p.A., reaching the 100% ownership. Disposal of the entire shareholding held in Yapi Kredi Bank A.S. equal to 20% At the end of October, the UniCredit S.p.A. Board of Directors approved the disposal of up to the entire shareholding in Yapı ve Kredi Bankası A.S. UniCredit delivered therefore a right of first offer notice to Koç Holding A.S., pursuant to the share purchase agreement signed in 2019. On 8 November 2021 Koç Holding A.S. confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a 18% stake. As a result, UniCredit: (i) has reclassified 20% stake as held for sale (IFRS5); (ii) has disposed of the 2% stake in Yapı ve Kredi Bankası A.S. on the market (transaction finalised in November via a dribble-out) and (iii) deconsolidated the remaining 18% stake as held for sale subsequently the loss of the significant influence (and the consequent recognition of a financial instrument in “Financial assets at fair value through profit or loss”). Considering the binding commitment subject only to regulatory approvals the completion of the sale of such remaining stake is expected to occur in the first quarter of 2022. As already communicated, the overall transaction had a low-mid single digit positive impact on the consolidated CET1 ratio of UniCredit, considering inter alia a negative consolidated P&L impact of approximately €1.7 billion in 2021, mostly deriving from the recycle of the reserves for the exchange rate differences on Turkish Lira, which did not bring impact on the CET1 capital, being currently already recognised. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 109 Sustainable value is delivered to the stakeholders through four underlying drivers: • governance model: which supports the implementation of UniCredit ESG strategy, promoting both clarity and accountability; • targeted country approach: enabling each country to design a dedicated ESG plan which takes into account country-specific priorities; • culture: putting the values of integrity, ownership and care at the heart of everything done, with diversity and inclusion remaining strategic assets, and employee engagement and training being UniCredit priorities; • monitoring, reporting and disclosure: striving to invest in the deployment of an ESG IT Global architecture to manage all relevant ESG data, for several monitoring purposes, Multi-Year Plan ESG targets, Green Transition Financing, EU Taxonomy and Pillar III. For a more detailed disclosure concerning the new ESG strategy and 2021 achievements, refer to the 2021 Integrated Report that is published on UniCredit website (https://www.unicreditgroup.eu), and that, pursuant to articles 3 and 4 of Legislative Decree 254/2016, constitutes the Non-financial Declaration. The report also includes the Simplified Disclosure according to Art.10 of the Delegated Act supplementing EU Taxonomy Regulation (2020/852), requiring to financial companies to disclose the eligibility KPIs from 1 January 2022 to 31 December 2023. In terms of climate-related information, in November 2021 a separate document dedicated to disclosure aligned with TCFD (Task Force on Climate-related Financial Disclosures) recommendations has been issued. A new version will be released during 2022. Research and development projects Research activities during 2021 were mainly focused on cryptography, streaming architectures and reinforcement learning. • on cryptography our main topics were attribute-based, functional and homomorphic encryption. Attribute-based encryption was a key focus, implementing state-of-the-art schemes with application to authentication and secure messaging in Cloud- and Edge-computing designs; • research on streaming architectures was meant to support the Kite project, which is based on an ecosystem of event-based service components; • beside cryptography, an active area of research was reinforcement learning (meant to support the Heka project) with a view towards its application to suggestions and advanced interaction engines. Group activities development operations and other corporate transactions Transactions and initiatives involving shareholdings Disposal of SIA UniCredit Leasing Following the signing of the binding agreement in December 2019 and the obtainment of the relevant regulatory approvals, on 4 January 2021, UniCredit completed the disposal of SIA UniCredit Leasing and its subsidiary SIA UniCredit Insurance Broker to AS Citadele Banka. The investment was classified among held for sale (IFRS5) as at 31 December 2020. The transaction had a low single digit positive impact on the consolidated CET1 ratio. The intragroup funding has been fully reimbursed at closing. Acquisition of the entire stake in Cordusio SIM On 30 April 2021, following the execution of a Call Option on the minority stake held by some private bankers, UniCredit completed the acquisition of the remaining shareholding (2.88%) in Cordusio SIM S.p.A., reaching the 100% ownership. Disposal of the entire shareholding held in Yapi Kredi Bank A.S. equal to 20% At the end of October, the UniCredit S.p.A. Board of Directors approved the disposal of up to the entire shareholding in Yapı ve Kredi Bankası A.S. UniCredit delivered therefore a right of first offer notice to Koç Holding A.S., pursuant to the share purchase agreement signed in 2019. On 8 November 2021 Koç Holding A.S. confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a 18% stake. As a result, UniCredit: (i) has reclassified 20% stake as held for sale (IFRS5); (ii) has disposed of the 2% stake in Yapı ve Kredi Bankası A.S. on the market (transaction finalised in November via a dribble-out) and (iii) deconsolidated the remaining 18% stake as held for sale subsequently the loss of the significant influence (and the consequent recognition of a financial instrument in “Financial assets at fair value through profit or loss”). Considering the binding commitment subject only to regulatory approvals the completion of the sale of such remaining stake is expected to occur in the first quarter of 2022. As already communicated, the overall transaction had a low-mid single digit positive impact on the consolidated CET1 ratio of UniCredit, considering inter alia a negative consolidated P&L impact of approximately €1.7 billion in 2021, mostly deriving from the recycle of the reserves for the exchange rate differences on Turkish Lira, which did not bring impact on the CET1 capital, being currently already recognised. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 109 Sustainable value is delivered to the stakeholders through four underlying drivers: • governance model: which supports the implementation of UniCredit ESG strategy, promoting both clarity and accountability; • targeted country approach: enabling each country to design a dedicated ESG plan which takes into account country-specific priorities; • culture: putting the values of integrity, ownership and care at the heart of everything done, with diversity and inclusion remaining strategic assets, and employee engagement and training being UniCredit priorities; • monitoring, reporting and disclosure: striving to invest in the deployment of an ESG IT Global architecture to manage all relevant ESG data, for several monitoring purposes, Multi-Year Plan ESG targets, Green Transition Financing, EU Taxonomy and Pillar III. For a more detailed disclosure concerning the new ESG strategy and 2021 achievements, refer to the 2021 Integrated Report that is published on UniCredit website (https://www.unicreditgroup.eu), and that, pursuant to articles 3 and 4 of Legislative Decree 254/2016, constitutes the Non-financial Declaration. The report also includes the Simplified Disclosure according to Art.10 of the Delegated Act supplementing EU Taxonomy Regulation (2020/852), requiring to financial companies to disclose the eligibility KPIs from 1 January 2022 to 31 December 2023. In terms of climate-related information, in November 2021 a separate document dedicated to disclosure aligned with TCFD (Task Force on Climate-related Financial Disclosures) recommendations has been issued. A new version will be released during 2022. Research and development projects Research activities during 2021 were mainly focused on cryptography, streaming architectures and reinforcement learning. • on cryptography our main topics were attribute-based, functional and homomorphic encryption. Attribute-based encryption was a key focus, implementing state-of-the-art schemes with application to authentication and secure messaging in Cloud- and Edge-computing designs; • research on streaming architectures was meant to support the Kite project, which is based on an ecosystem of event-based service components; • beside cryptography, an active area of research was reinforcement learning (meant to support the Heka project) with a view towards its application to suggestions and advanced interaction engines. Group activities development operations and other corporate transactions Transactions and initiatives involving shareholdings Disposal of SIA UniCredit Leasing Following the signing of the binding agreement in December 2019 and the obtainment of the relevant regulatory approvals, on 4 January 2021, UniCredit completed the disposal of SIA UniCredit Leasing and its subsidiary SIA UniCredit Insurance Broker to AS Citadele Banka. The investment was classified among held for sale (IFRS5) as at 31 December 2020. The transaction had a low single digit positive impact on the consolidated CET1 ratio. The intragroup funding has been fully reimbursed at closing. Acquisition of the entire stake in Cordusio SIM On 30 April 2021, following the execution of a Call Option on the minority stake held by some private bankers, UniCredit completed the acquisition of the remaining shareholding (2.88%) in Cordusio SIM S.p.A., reaching the 100% ownership. Disposal of the entire shareholding held in Yapi Kredi Bank A.S. equal to 20% At the end of October, the UniCredit S.p.A. Board of Directors approved the disposal of up to the entire shareholding in Yapı ve Kredi Bankası A.S. UniCredit delivered therefore a right of first offer notice to Koç Holding A.S., pursuant to the share purchase agreement signed in 2019. On 8 November 2021 Koç Holding A.S. confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a 18% stake. As a result, UniCredit: (i) has reclassified 20% stake as held for sale (IFRS5); (ii) has disposed of the 2% stake in Yapı ve Kredi Bankası A.S. on the market (transaction finalised in November via a dribble-out) and (iii) deconsolidated the remaining 18% stake as held for sale subsequently the loss of the significant influence (and the consequent recognition of a financial instrument in “Financial assets at fair value through profit or loss”). Considering the binding commitment subject only to regulatory approvals the completion of the sale of such remaining stake is expected to occur in the first quarter of 2022. As already communicated, the overall transaction had a low-mid single digit positive impact on the consolidated CET1 ratio of UniCredit, considering inter alia a negative consolidated P&L impact of approximately €1.7 billion in 2021, mostly deriving from the recycle of the reserves for the exchange rate differences on Turkish Lira, which did not bring impact on the CET1 capital, being currently already recognised. Consolidated report on operations Other information 110 2021 Annual Report and Accounts · UniCredit Execution of the Put Option on the entire stake held in ABH Holdings S.A. On 9 November 2021, UniCredit S.p.A. exercised its put option right for the disposal of its entire stake in ABH Holdings S.A., equal to 9.9% of the share capital of the company, pursuant to the shareholders’ agreement in force. The shareholding was acquired in 2016, in the context of the disposal of its Ukrainian bank (Ukrsotsbank). The closing of the transaction is expected to occur in the first quarter of 2022. The carrying value of the stake (equal to €287 million as of 31 December 2021) is aligned with the euro equivalent of the put option price. The price of the put option will be partially offset by the liability amount related to certain guarantees given by UniCredit S.p.A. in the context of the disposal of Ukrsotsbank; the net amount will be equal to approximately USD 137 million. The liability amount is already fully covered by specific provisions. Acquisition of Aviva S.p.A. by CNP Assurances At the beginning of December 2021, the finalization of the acquisition by CNP Assurances of Aviva S.p.A. (now CNP Vita Assicura S.p.A.), participated by UniCredit S.p.A. at 49% of the share capital, was announced. The completion of the transaction triggered the closing phase of the enhancement of the existing partnership on the basis of the agreement signed between UniCredit S.p.A. and CNP Assurance on 3 March 2021. Merger by incorporation of UniCredit Bank Ireland Public Limited Company in UniCredit S.p.A. In order to simplifying the Group’s structure and ensure greater efficiency optimizing the economic, management and financial structure, the cross-border merger for the incorporation of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A., after having received the required authorization by European Central Bank, was carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. Sale initiatives of non-performing portfolios Sale of an Individual unsecured non-performing credit portfolio On 21 June 2021 UniCredit has reached an agreement with MBCredit Solutions S.p.A. ("MBCS") and a securitisation vehicle managed by KRUK SA ("KRUK") in relation to the disposal on a non-recourse basis (pro-soluto) of a non-performing unsecured Individual credit portfolio, in Italy. The portfolio consists entirely of Italian unsecured Individual credits, including Salary Backed Loan, classified as bad loans by 30 November 2020, with a claim value of €220 million. UniCredit and KRUK have also reached an agreement for the disposal of up to €250 million of Italian unsecured consumer bad loans, generated beginning in the first quarter and ending at the end on the year, receivables were sold with a claim value of €113 million. During the second half 2021 further sales were finalized for a total amount, gross of value adjustments, of €132 million. An overall impact on the income statement of €5 million was recognised in item 100. Gains (Losses) on disposal and repurchase. The marginal negative economic impact coming from the transactions above was reflected in the second quarter 2021 financial statements. Following the agreements outlined above, the total amount of the sales performed during the 2021 involved credit exposures with a gross book value at the transfer date of €402 million and a net book value, at the transfer date, of €54 million. Sale of an Individual Secured unlikely to pay credit portfolio On 9 November 2021 UniCredit S.p.A. has reached an agreement with Eidos Partners S.r.l. and a securitisation vehicle managed by Master Gardant S.p.A. in relation to the disposal on a non-recourse basis (pro-soluto) of unlikely to pay secured Individual credit portfolio. The portfolio consists entirely of Italian secured Individual credits classified as unlikely to pay with a claim value of €125 million. On 16 November 2021 and 16 December 2021 UniCredit S.p.A. sold additional €26 million. Following the agreements outlined above, the total amount of the sales performed involved credit exposures with a gross book value at the transfer date of €150 million and a net book value, at the transfer date, of €78 million. Sale of a non-performing secured and unsecured loans portfolio to Olympia SPV On 29 November 2021 UniCredit informed that. as part of its program to finalise the non core portfolio run-down, on 11 November 2021 completed the transfer of €1.6 billion in terms of gross book value (€2.1billion total claim amount) of a NPL Portfolio including both secured and unsecured loans to a securitisation vehicle (Olympia SPV SrL "Olympia") with the transaction ("Securitisation") structured by UniCredit Bank AG as Sole Arranger. On 25 November 2021 Olympia issued three classes of notes: €261 million senior note, €26.1 million mezzanine note and €2.9 million junior note, fully subscribed by UniCredit S.p.A. The senior notes are rated “Baa2”/”BBB”/”BBB” by Moody's, S&P and Scope Ratings respectively. The Securitisation has been structured for complying with the GACS (Garanzia sulle Cartolarizzazioni delle Sofferenze) law in order to obtain the GACS guarantee on the senior note. Consolidated report on operations Other information 110 2021 Annual Report and Accounts · UniCredit Execution of the Put Option on the entire stake held in ABH Holdings S.A. On 9 November 2021, UniCredit S.p.A. exercised its put option right for the disposal of its entire stake in ABH Holdings S.A., equal to 9.9% of the share capital of the company, pursuant to the shareholders’ agreement in force. The shareholding was acquired in 2016, in the context of the disposal of its Ukrainian bank (Ukrsotsbank). The closing of the transaction is expected to occur in the first quarter of 2022. The carrying value of the stake (equal to €287 million as of 31 December 2021) is aligned with the euro equivalent of the put option price. The price of the put option will be partially offset by the liability amount related to certain guarantees given by UniCredit S.p.A. in the context of the disposal of Ukrsotsbank; the net amount will be equal to approximately USD 137 million. The liability amount is already fully covered by specific provisions. Acquisition of Aviva S.p.A. by CNP Assurances At the beginning of December 2021, the finalization of the acquisition by CNP Assurances of Aviva S.p.A. (now CNP Vita Assicura S.p.A.), participated by UniCredit S.p.A. at 49% of the share capital, was announced. The completion of the transaction triggered the closing phase of the enhancement of the existing partnership on the basis of the agreement signed between UniCredit S.p.A. and CNP Assurance on 3 March 2021. Merger by incorporation of UniCredit Bank Ireland Public Limited Company in UniCredit S.p.A. In order to simplifying the Group’s structure and ensure greater efficiency optimizing the economic, management and financial structure, the cross-border merger for the incorporation of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A., after having received the required authorization by European Central Bank, was carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. Sale initiatives of non-performing portfolios Sale of an Individual unsecured non-performing credit portfolio On 21 June 2021 UniCredit has reached an agreement with MBCredit Solutions S.p.A. ("MBCS") and a securitisation vehicle managed by KRUK SA ("KRUK") in relation to the disposal on a non-recourse basis (pro-soluto) of a non-performing unsecured Individual credit portfolio, in Italy. The portfolio consists entirely of Italian unsecured Individual credits, including Salary Backed Loan, classified as bad loans by 30 November 2020, with a claim value of €220 million. UniCredit and KRUK have also reached an agreement for the disposal of up to €250 million of Italian unsecured consumer bad loans, generated beginning in the first quarter and ending at the end on the year, receivables were sold with a claim value of €113 million. During the second half 2021 further sales were finalized for a total amount, gross of value adjustments, of €132 million. An overall impact on the income statement of €5 million was recognised in item 100. Gains (Losses) on disposal and repurchase. The marginal negative economic impact coming from the transactions above was reflected in the second quarter 2021 financial statements. Following the agreements outlined above, the total amount of the sales performed during the 2021 involved credit exposures with a gross book value at the transfer date of €402 million and a net book value, at the transfer date, of €54 million. Sale of an Individual Secured unlikely to pay credit portfolio On 9 November 2021 UniCredit S.p.A. has reached an agreement with Eidos Partners S.r.l. and a securitisation vehicle managed by Master Gardant S.p.A. in relation to the disposal on a non-recourse basis (pro-soluto) of unlikely to pay secured Individual credit portfolio. The portfolio consists entirely of Italian secured Individual credits classified as unlikely to pay with a claim value of €125 million. On 16 November 2021 and 16 December 2021 UniCredit S.p.A. sold additional €26 million. Following the agreements outlined above, the total amount of the sales performed involved credit exposures with a gross book value at the transfer date of €150 million and a net book value, at the transfer date, of €78 million. Sale of a non-performing secured and unsecured loans portfolio to Olympia SPV On 29 November 2021 UniCredit informed that. as part of its program to finalise the non core portfolio run-down, on 11 November 2021 completed the transfer of €1.6 billion in terms of gross book value (€2.1billion total claim amount) of a NPL Portfolio including both secured and unsecured loans to a securitisation vehicle (Olympia SPV SrL "Olympia") with the transaction ("Securitisation") structured by UniCredit Bank AG as Sole Arranger. On 25 November 2021 Olympia issued three classes of notes: €261 million senior note, €26.1 million mezzanine note and €2.9 million junior note, fully subscribed by UniCredit S.p.A. The senior notes are rated “Baa2”/”BBB”/”BBB” by Moody's, S&P and Scope Ratings respectively. The Securitisation has been structured for complying with the GACS (Garanzia sulle Cartolarizzazioni delle Sofferenze) law in order to obtain the GACS guarantee on the senior note. Consolidated report on operations Other information 110 2021 Annual Report and Accounts · UniCredit Execution of the Put Option on the entire stake held in ABH Holdings S.A. On 9 November 2021, UniCredit S.p.A. exercised its put option right for the disposal of its entire stake in ABH Holdings S.A., equal to 9.9% of the share capital of the company, pursuant to the shareholders’ agreement in force. The shareholding was acquired in 2016, in the context of the disposal of its Ukrainian bank (Ukrsotsbank). The closing of the transaction is expected to occur in the first quarter of 2022. The carrying value of the stake (equal to €287 million as of 31 December 2021) is aligned with the euro equivalent of the put option price. The price of the put option will be partially offset by the liability amount related to certain guarantees given by UniCredit S.p.A. in the context of the disposal of Ukrsotsbank; the net amount will be equal to approximately USD 137 million. The liability amount is already fully covered by specific provisions. Acquisition of Aviva S.p.A. by CNP Assurances At the beginning of December 2021, the finalization of the acquisition by CNP Assurances of Aviva S.p.A. (now CNP Vita Assicura S.p.A.), participated by UniCredit S.p.A. at 49% of the share capital, was announced. The completion of the transaction triggered the closing phase of the enhancement of the existing partnership on the basis of the agreement signed between UniCredit S.p.A. and CNP Assurance on 3 March 2021. Merger by incorporation of UniCredit Bank Ireland Public Limited Company in UniCredit S.p.A. In order to simplifying the Group’s structure and ensure greater efficiency optimizing the economic, management and financial structure, the cross-border merger for the incorporation of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A., after having received the required authorization by European Central Bank, was carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. Sale initiatives of non-performing portfolios Sale of an Individual unsecured non-performing credit portfolio On 21 June 2021 UniCredit has reached an agreement with MBCredit Solutions S.p.A. ("MBCS") and a securitisation vehicle managed by KRUK SA ("KRUK") in relation to the disposal on a non-recourse basis (pro-soluto) of a non-performing unsecured Individual credit portfolio, in Italy. The portfolio consists entirely of Italian unsecured Individual credits, including Salary Backed Loan, classified as bad loans by 30 November 2020, with a claim value of €220 million. UniCredit and KRUK have also reached an agreement for the disposal of up to €250 million of Italian unsecured consumer bad loans, generated beginning in the first quarter and ending at the end on the year, receivables were sold with a claim value of €113 million. During the second half 2021 further sales were finalized for a total amount, gross of value adjustments, of €132 million. An overall impact on the income statement of €5 million was recognised in item 100. Gains (Losses) on disposal and repurchase. The marginal negative economic impact coming from the transactions above was reflected in the second quarter 2021 financial statements. Following the agreements outlined above, the total amount of the sales performed during the 2021 involved credit exposures with a gross book value at the transfer date of €402 million and a net book value, at the transfer date, of €54 million. Sale of an Individual Secured unlikely to pay credit portfolio On 9 November 2021 UniCredit S.p.A. has reached an agreement with Eidos Partners S.r.l. and a securitisation vehicle managed by Master Gardant S.p.A. in relation to the disposal on a non-recourse basis (pro-soluto) of unlikely to pay secured Individual credit portfolio. The portfolio consists entirely of Italian secured Individual credits classified as unlikely to pay with a claim value of €125 million. On 16 November 2021 and 16 December 2021 UniCredit S.p.A. sold additional €26 million. Following the agreements outlined above, the total amount of the sales performed involved credit exposures with a gross book value at the transfer date of €150 million and a net book value, at the transfer date, of €78 million. Sale of a non-performing secured and unsecured loans portfolio to Olympia SPV On 29 November 2021 UniCredit informed that. as part of its program to finalise the non core portfolio run-down, on 11 November 2021 completed the transfer of €1.6 billion in terms of gross book value (€2.1billion total claim amount) of a NPL Portfolio including both secured and unsecured loans to a securitisation vehicle (Olympia SPV SrL "Olympia") with the transaction ("Securitisation") structured by UniCredit Bank AG as Sole Arranger. On 25 November 2021 Olympia issued three classes of notes: €261 million senior note, €26.1 million mezzanine note and €2.9 million junior note, fully subscribed by UniCredit S.p.A. The senior notes are rated “Baa2”/”BBB”/”BBB” by Moody's, S&P and Scope Ratings respectively. The Securitisation has been structured for complying with the GACS (Garanzia sulle Cartolarizzazioni delle Sofferenze) law in order to obtain the GACS guarantee on the senior note. Consolidated report on operations Other information 110 2021 Annual Report and Accounts · UniCredit Execution of the Put Option on the entire stake held in ABH Holdings S.A. On 9 November 2021, UniCredit S.p.A. exercised its put option right for the disposal of its entire stake in ABH Holdings S.A., equal to 9.9% of the share capital of the company, pursuant to the shareholders’ agreement in force. The shareholding was acquired in 2016, in the context of the disposal of its Ukrainian bank (Ukrsotsbank). The closing of the transaction is expected to occur in the first quarter of 2022. The carrying value of the stake (equal to €287 million as of 31 December 2021) is aligned with the euro equivalent of the put option price. The price of the put option will be partially offset by the liability amount related to certain guarantees given by UniCredit S.p.A. in the context of the disposal of Ukrsotsbank; the net amount will be equal to approximately USD 137 million. The liability amount is already fully covered by specific provisions. Acquisition of Aviva S.p.A. by CNP Assurances At the beginning of December 2021, the finalization of the acquisition by CNP Assurances of Aviva S.p.A. (now CNP Vita Assicura S.p.A.), participated by UniCredit S.p.A. at 49% of the share capital, was announced. The completion of the transaction triggered the closing phase of the enhancement of the existing partnership on the basis of the agreement signed between UniCredit S.p.A. and CNP Assurance on 3 March 2021. Merger by incorporation of UniCredit Bank Ireland Public Limited Company in UniCredit S.p.A. In order to simplifying the Group’s structure and ensure greater efficiency optimizing the economic, management and financial structure, the cross-border merger for the incorporation of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A., after having received the required authorization by European Central Bank, was carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. Sale initiatives of non-performing portfolios Sale of an Individual unsecured non-performing credit portfolio On 21 June 2021 UniCredit has reached an agreement with MBCredit Solutions S.p.A. ("MBCS") and a securitisation vehicle managed by KRUK SA ("KRUK") in relation to the disposal on a non-recourse basis (pro-soluto) of a non-performing unsecured Individual credit portfolio, in Italy. The portfolio consists entirely of Italian unsecured Individual credits, including Salary Backed Loan, classified as bad loans by 30 November 2020, with a claim value of €220 million. UniCredit and KRUK have also reached an agreement for the disposal of up to €250 million of Italian unsecured consumer bad loans, generated beginning in the first quarter and ending at the end on the year, receivables were sold with a claim value of €113 million. During the second half 2021 further sales were finalized for a total amount, gross of value adjustments, of €132 million. An overall impact on the income statement of €5 million was recognised in item 100. Gains (Losses) on disposal and repurchase. The marginal negative economic impact coming from the transactions above was reflected in the second quarter 2021 financial statements. Following the agreements outlined above, the total amount of the sales performed during the 2021 involved credit exposures with a gross book value at the transfer date of €402 million and a net book value, at the transfer date, of €54 million. Sale of an Individual Secured unlikely to pay credit portfolio On 9 November 2021 UniCredit S.p.A. has reached an agreement with Eidos Partners S.r.l. and a securitisation vehicle managed by Master Gardant S.p.A. in relation to the disposal on a non-recourse basis (pro-soluto) of unlikely to pay secured Individual credit portfolio. The portfolio consists entirely of Italian secured Individual credits classified as unlikely to pay with a claim value of €125 million. On 16 November 2021 and 16 December 2021 UniCredit S.p.A. sold additional €26 million. Following the agreements outlined above, the total amount of the sales performed involved credit exposures with a gross book value at the transfer date of €150 million and a net book value, at the transfer date, of €78 million. Sale of a non-performing secured and unsecured loans portfolio to Olympia SPV On 29 November 2021 UniCredit informed that. as part of its program to finalise the non core portfolio run-down, on 11 November 2021 completed the transfer of €1.6 billion in terms of gross book value (€2.1billion total claim amount) of a NPL Portfolio including both secured and unsecured loans to a securitisation vehicle (Olympia SPV SrL "Olympia") with the transaction ("Securitisation") structured by UniCredit Bank AG as Sole Arranger. On 25 November 2021 Olympia issued three classes of notes: €261 million senior note, €26.1 million mezzanine note and €2.9 million junior note, fully subscribed by UniCredit S.p.A. The senior notes are rated “Baa2”/”BBB”/”BBB” by Moody's, S&P and Scope Ratings respectively. The Securitisation has been structured for complying with the GACS (Garanzia sulle Cartolarizzazioni delle Sofferenze) law in order to obtain the GACS guarantee on the senior note. Consolidated report on operations Other information 110 2021 Annual Report and Accounts · UniCredit Execution of the Put Option on the entire stake held in ABH Holdings S.A. On 9 November 2021, UniCredit S.p.A. exercised its put option right for the disposal of its entire stake in ABH Holdings S.A., equal to 9.9% of the share capital of the company, pursuant to the shareholders’ agreement in force. The shareholding was acquired in 2016, in the context of the disposal of its Ukrainian bank (Ukrsotsbank). The closing of the transaction is expected to occur in the first quarter of 2022. The carrying value of the stake (equal to €287 million as of 31 December 2021) is aligned with the euro equivalent of the put option price. The price of the put option will be partially offset by the liability amount related to certain guarantees given by UniCredit S.p.A. in the context of the disposal of Ukrsotsbank; the net amount will be equal to approximately USD 137 million. The liability amount is already fully covered by specific provisions. Acquisition of Aviva S.p.A. by CNP Assurances At the beginning of December 2021, the finalization of the acquisition by CNP Assurances of Aviva S.p.A. (now CNP Vita Assicura S.p.A.), participated by UniCredit S.p.A. at 49% of the share capital, was announced. The completion of the transaction triggered the closing phase of the enhancement of the existing partnership on the basis of the agreement signed between UniCredit S.p.A. and CNP Assurance on 3 March 2021. Merger by incorporation of UniCredit Bank Ireland Public Limited Company in UniCredit S.p.A. In order to simplifying the Group’s structure and ensure greater efficiency optimizing the economic, management and financial structure, the cross-border merger for the incorporation of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A., after having received the required authorization by European Central Bank, was carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. Sale initiatives of non-performing portfolios Sale of an Individual unsecured non-performing credit portfolio On 21 June 2021 UniCredit has reached an agreement with MBCredit Solutions S.p.A. ("MBCS") and a securitisation vehicle managed by KRUK SA ("KRUK") in relation to the disposal on a non-recourse basis (pro-soluto) of a non-performing unsecured Individual credit portfolio, in Italy. The portfolio consists entirely of Italian unsecured Individual credits, including Salary Backed Loan, classified as bad loans by 30 November 2020, with a claim value of €220 million. UniCredit and KRUK have also reached an agreement for the disposal of up to €250 million of Italian unsecured consumer bad loans, generated beginning in the first quarter and ending at the end on the year, receivables were sold with a claim value of €113 million. During the second half 2021 further sales were finalized for a total amount, gross of value adjustments, of €132 million. An overall impact on the income statement of €5 million was recognised in item 100. Gains (Losses) on disposal and repurchase. The marginal negative economic impact coming from the transactions above was reflected in the second quarter 2021 financial statements. Following the agreements outlined above, the total amount of the sales performed during the 2021 involved credit exposures with a gross book value at the transfer date of €402 million and a net book value, at the transfer date, of €54 million. Sale of an Individual Secured unlikely to pay credit portfolio On 9 November 2021 UniCredit S.p.A. has reached an agreement with Eidos Partners S.r.l. and a securitisation vehicle managed by Master Gardant S.p.A. in relation to the disposal on a non-recourse basis (pro-soluto) of unlikely to pay secured Individual credit portfolio. The portfolio consists entirely of Italian secured Individual credits classified as unlikely to pay with a claim value of €125 million. On 16 November 2021 and 16 December 2021 UniCredit S.p.A. sold additional €26 million. Following the agreements outlined above, the total amount of the sales performed involved credit exposures with a gross book value at the transfer date of €150 million and a net book value, at the transfer date, of €78 million. Sale of a non-performing secured and unsecured loans portfolio to Olympia SPV On 29 November 2021 UniCredit informed that. as part of its program to finalise the non core portfolio run-down, on 11 November 2021 completed the transfer of €1.6 billion in terms of gross book value (€2.1billion total claim amount) of a NPL Portfolio including both secured and unsecured loans to a securitisation vehicle (Olympia SPV SrL "Olympia") with the transaction ("Securitisation") structured by UniCredit Bank AG as Sole Arranger. On 25 November 2021 Olympia issued three classes of notes: €261 million senior note, €26.1 million mezzanine note and €2.9 million junior note, fully subscribed by UniCredit S.p.A. The senior notes are rated “Baa2”/”BBB”/”BBB” by Moody's, S&P and Scope Ratings respectively. The Securitisation has been structured for complying with the GACS (Garanzia sulle Cartolarizzazioni delle Sofferenze) law in order to obtain the GACS guarantee on the senior note. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 111 On 9 December 2021 UniCredit entered into a binding agreement to dispose 95% of the mezzanine and junior notes to a financial institution not belonging to the Group, while retaining the 5% required by regulation as Originator net economic interest in Olympia. Following the completion of this agreement, UniCredit proceeded with the cancellation (derecognition) of the transferred loans from the Assets. Italfondiario and doValue act respectively as Master and Special Servicer of the Securitisation while Banca Finanziaria Internazionale S.p.A. covers the roles of Corporate service provider, Monitoring Agent, Calculation Agent, Representative of Noteholders and Back-up Servicer Facilitator. UniCredit Bank AG is the Placement and Settlement Agent of the mezzanine and junior notes, and cap and liquidity line provider for Olympia. With reference to the regulatory treatment applied as of the fourth quarter 2021, UniCredit, following the notification to the European Central Bank, represented the related significant risk transfer when reporting the transaction above outlined. For further detail on the initiative refer to Company financial statement, Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, “Olympia transaction”. Sale of non-performing credit portfolios to InvestCapital Ltd. of Malta On 27 December 2021 UniCredit announced that, through its subsidiary UniCredit Consumer Financing IFN S.A. of Bucharest, Romania, it has reached an agreement with InvestCapital Ltd. of Malta, part of KRUK Group, to sell debt portfolios composed by unsecured consumer loans, with an aggregate nominal value of up to RON 240 million (€48.5 million) granted by UniCredit Consumer Financing IFN S.A. to its individual customers. The Agreement stipulates that the debt portfolios will be purchased in 24 monthly tranches. Other information on Group activities FINO project In relation to the FINO Project (started in 2016 and completed in 2018), as at 31 December 2021, following the redemptions made, the Notes (Asset Backed Securities) owned by UniCredit S.p.A. amount totally €131 million (€88 million recorded under item “30. Financial assets at fair value through other comprehensive income” pertaining to the Senior securities and in part to the Mezzanine securities, and €43 million recorded under item “20. Financial assets at fair value through profit or loss c) other financial assets mandatorily at fair value” in connection with the remaining Mezzanine securities and all the Junior Notes). The evaluation of the Notes classified among other assets mandatorily at fair value led in 2021 to a positive impact of €2.5 million, while the Notes classified among financial assets at fair value through other comprehensive income an impairment has been recognised for €22 million, due to the change in estimation of expected cash flows of the underlying securitised loans. The receivables related to the Deferred Subscription Price (DSP/Deferred Purchase Price-DPP), owed to UniCredit S.p.A. by third-party entities belonging to the relevant third-party investor's groups, and deriving from the securitisation transactions completed during 2017, have been fully reimbursed in 2020, according to the contractual provisions. Prisma transaction In relation to Prisma transaction, finalised in the fourth quarter 2019 and referring to the securitisation of a non-performing loan Residential Mortgage Portfolio of €4.1 billion gross book value originated by UniCredit S.p.A. and transferred to the securitisation vehicle Prisma SPV S.r.l., issuer of the Asset Backed Securities (named also ABS or Note), it should be noted that as at 31 December 202,1 following the redemptions made, the total amount of the Notes owned by UniCredit S.p.A. amount to €748 million (of which €745 million recorded under item “30. Financial assets at fair value through other comprehensive income” pertaining to the Senior securities, and €3 million recorded under item “20. Financial assets at fair value through profit or loss c) other financial assets mandatorily at fair value” in connection with the Mezzanine securities and the Junior Notes). During 2021, with reference to the Notes, no material impact was recognized in the income statement. Relais transaction In the fourth quarter 2020, as part of its program to accelerate the Non Core portfolio rundown, UniCredit Leasing ("UCL") completed the transfer of €1.6 billion Claim of an Italian non-performing real estate lease portfolio ("NPL Lease Portfolio") to a securitisation vehicle (Relais SPV S.r.l. "RELAIS") and the assets to a LeaseCo, a company envisaged by the Italian Securitisation Law for managing the real estate assets (Relais LeaseCo S.r.l. and together with Relais, the "Securitisation"). In December 2020 UCL purchased all the Asset Backed Securities (Note Senior, Mezzanine e Junior) issued by the SPV, and on 22 December 2020 exercised the put option (“back-stop”) following which UCL sold to doValue (the securitisation’s Servicer) the 95% of the Mezzanine and Junior Notes, leading to recognize the accounting derecognition of the receivables. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 111 On 9 December 2021 UniCredit entered into a binding agreement to dispose 95% of the mezzanine and junior notes to a financial institution not belonging to the Group, while retaining the 5% required by regulation as Originator net economic interest in Olympia. Following the completion of this agreement, UniCredit proceeded with the cancellation (derecognition) of the transferred loans from the Assets. Italfondiario and doValue act respectively as Master and Special Servicer of the Securitisation while Banca Finanziaria Internazionale S.p.A. covers the roles of Corporate service provider, Monitoring Agent, Calculation Agent, Representative of Noteholders and Back-up Servicer Facilitator. UniCredit Bank AG is the Placement and Settlement Agent of the mezzanine and junior notes, and cap and liquidity line provider for Olympia. With reference to the regulatory treatment applied as of the fourth quarter 2021, UniCredit, following the notification to the European Central Bank, represented the related significant risk transfer when reporting the transaction above outlined. For further detail on the initiative refer to Company financial statement, Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, “Olympia transaction”. Sale of non-performing credit portfolios to InvestCapital Ltd. of Malta On 27 December 2021 UniCredit announced that, through its subsidiary UniCredit Consumer Financing IFN S.A. of Bucharest, Romania, it has reached an agreement with InvestCapital Ltd. of Malta, part of KRUK Group, to sell debt portfolios composed by unsecured consumer loans, with an aggregate nominal value of up to RON 240 million (€48.5 million) granted by UniCredit Consumer Financing IFN S.A. to its individual customers. The Agreement stipulates that the debt portfolios will be purchased in 24 monthly tranches. Other information on Group activities FINO project In relation to the FINO Project (started in 2016 and completed in 2018), as at 31 December 2021, following the redemptions made, the Notes (Asset Backed Securities) owned by UniCredit S.p.A. amount totally €131 million (€88 million recorded under item “30. Financial assets at fair value through other comprehensive income” pertaining to the Senior securities and in part to the Mezzanine securities, and €43 million recorded under item “20. Financial assets at fair value through profit or loss c) other financial assets mandatorily at fair value” in connection with the remaining Mezzanine securities and all the Junior Notes). The evaluation of the Notes classified among other assets mandatorily at fair value led in 2021 to a positive impact of €2.5 million, while the Notes classified among financial assets at fair value through other comprehensive income an impairment has been recognised for €22 million, due to the change in estimation of expected cash flows of the underlying securitised loans. The receivables related to the Deferred Subscription Price (DSP/Deferred Purchase Price-DPP), owed to UniCredit S.p.A. by third-party entities belonging to the relevant third-party investor's groups, and deriving from the securitisation transactions completed during 2017, have been fully reimbursed in 2020, according to the contractual provisions. Prisma transaction In relation to Prisma transaction, finalised in the fourth quarter 2019 and referring to the securitisation of a non-performing loan Residential Mortgage Portfolio of €4.1 billion gross book value originated by UniCredit S.p.A. and transferred to the securitisation vehicle Prisma SPV S.r.l., issuer of the Asset Backed Securities (named also ABS or Note), it should be noted that as at 31 December 202,1 following the redemptions made, the total amount of the Notes owned by UniCredit S.p.A. amount to €748 million (of which €745 million recorded under item “30. Financial assets at fair value through other comprehensive income” pertaining to the Senior securities, and €3 million recorded under item “20. Financial assets at fair value through profit or loss c) other financial assets mandatorily at fair value” in connection with the Mezzanine securities and the Junior Notes). During 2021, with reference to the Notes, no material impact was recognized in the income statement. Relais transaction In the fourth quarter 2020, as part of its program to accelerate the Non Core portfolio rundown, UniCredit Leasing ("UCL") completed the transfer of €1.6 billion Claim of an Italian non-performing real estate lease portfolio ("NPL Lease Portfolio") to a securitisation vehicle (Relais SPV S.r.l. "RELAIS") and the assets to a LeaseCo, a company envisaged by the Italian Securitisation Law for managing the real estate assets (Relais LeaseCo S.r.l. and together with Relais, the "Securitisation"). In December 2020 UCL purchased all the Asset Backed Securities (Note Senior, Mezzanine e Junior) issued by the SPV, and on 22 December 2020 exercised the put option (“back-stop”) following which UCL sold to doValue (the securitisation’s Servicer) the 95% of the Mezzanine and Junior Notes, leading to recognize the accounting derecognition of the receivables. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 111 On 9 December 2021 UniCredit entered into a binding agreement to dispose 95% of the mezzanine and junior notes to a financial institution not belonging to the Group, while retaining the 5% required by regulation as Originator net economic interest in Olympia. Following the completion of this agreement, UniCredit proceeded with the cancellation (derecognition) of the transferred loans from the Assets. Italfondiario and doValue act respectively as Master and Special Servicer of the Securitisation while Banca Finanziaria Internazionale S.p.A. covers the roles of Corporate service provider, Monitoring Agent, Calculation Agent, Representative of Noteholders and Back-up Servicer Facilitator. UniCredit Bank AG is the Placement and Settlement Agent of the mezzanine and junior notes, and cap and liquidity line provider for Olympia. With reference to the regulatory treatment applied as of the fourth quarter 2021, UniCredit, following the notification to the European Central Bank, represented the related significant risk transfer when reporting the transaction above outlined. For further detail on the initiative refer to Company financial statement, Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, “Olympia transaction”. Sale of non-performing credit portfolios to InvestCapital Ltd. of Malta On 27 December 2021 UniCredit announced that, through its subsidiary UniCredit Consumer Financing IFN S.A. of Bucharest, Romania, it has reached an agreement with InvestCapital Ltd. of Malta, part of KRUK Group, to sell debt portfolios composed by unsecured consumer loans, with an aggregate nominal value of up to RON 240 million (€48.5 million) granted by UniCredit Consumer Financing IFN S.A. to its individual customers. The Agreement stipulates that the debt portfolios will be purchased in 24 monthly tranches. Other information on Group activities FINO project In relation to the FINO Project (started in 2016 and completed in 2018), as at 31 December 2021, following the redemptions made, the Notes (Asset Backed Securities) owned by UniCredit S.p.A. amount totally €131 million (€88 million recorded under item “30. Financial assets at fair value through other comprehensive income” pertaining to the Senior securities and in part to the Mezzanine securities, and €43 million recorded under item “20. Financial assets at fair value through profit or loss c) other financial assets mandatorily at fair value” in connection with the remaining Mezzanine securities and all the Junior Notes). The evaluation of the Notes classified among other assets mandatorily at fair value led in 2021 to a positive impact of €2.5 million, while the Notes classified among financial assets at fair value through other comprehensive income an impairment has been recognised for €22 million, due to the change in estimation of expected cash flows of the underlying securitised loans. The receivables related to the Deferred Subscription Price (DSP/Deferred Purchase Price-DPP), owed to UniCredit S.p.A. by third-party entities belonging to the relevant third-party investor's groups, and deriving from the securitisation transactions completed during 2017, have been fully reimbursed in 2020, according to the contractual provisions. Prisma transaction In relation to Prisma transaction, finalised in the fourth quarter 2019 and referring to the securitisation of a non-performing loan Residential Mortgage Portfolio of €4.1 billion gross book value originated by UniCredit S.p.A. and transferred to the securitisation vehicle Prisma SPV S.r.l., issuer of the Asset Backed Securities (named also ABS or Note), it should be noted that as at 31 December 202,1 following the redemptions made, the total amount of the Notes owned by UniCredit S.p.A. amount to €748 million (of which €745 million recorded under item “30. Financial assets at fair value through other comprehensive income” pertaining to the Senior securities, and €3 million recorded under item “20. Financial assets at fair value through profit or loss c) other financial assets mandatorily at fair value” in connection with the Mezzanine securities and the Junior Notes). During 2021, with reference to the Notes, no material impact was recognized in the income statement. Relais transaction In the fourth quarter 2020, as part of its program to accelerate the Non Core portfolio rundown, UniCredit Leasing ("UCL") completed the transfer of €1.6 billion Claim of an Italian non-performing real estate lease portfolio ("NPL Lease Portfolio") to a securitisation vehicle (Relais SPV S.r.l. "RELAIS") and the assets to a LeaseCo, a company envisaged by the Italian Securitisation Law for managing the real estate assets (Relais LeaseCo S.r.l. and together with Relais, the "Securitisation"). In December 2020 UCL purchased all the Asset Backed Securities (Note Senior, Mezzanine e Junior) issued by the SPV, and on 22 December 2020 exercised the put option (“back-stop”) following which UCL sold to doValue (the securitisation’s Servicer) the 95% of the Mezzanine and Junior Notes, leading to recognize the accounting derecognition of the receivables. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 111 On 9 December 2021 UniCredit entered into a binding agreement to dispose 95% of the mezzanine and junior notes to a financial institution not belonging to the Group, while retaining the 5% required by regulation as Originator net economic interest in Olympia. Following the completion of this agreement, UniCredit proceeded with the cancellation (derecognition) of the transferred loans from the Assets. Italfondiario and doValue act respectively as Master and Special Servicer of the Securitisation while Banca Finanziaria Internazionale S.p.A. covers the roles of Corporate service provider, Monitoring Agent, Calculation Agent, Representative of Noteholders and Back-up Servicer Facilitator. UniCredit Bank AG is the Placement and Settlement Agent of the mezzanine and junior notes, and cap and liquidity line provider for Olympia. With reference to the regulatory treatment applied as of the fourth quarter 2021, UniCredit, following the notification to the European Central Bank, represented the related significant risk transfer when reporting the transaction above outlined. For further detail on the initiative refer to Company financial statement, Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, “Olympia transaction”. Sale of non-performing credit portfolios to InvestCapital Ltd. of Malta On 27 December 2021 UniCredit announced that, through its subsidiary UniCredit Consumer Financing IFN S.A. of Bucharest, Romania, it has reached an agreement with InvestCapital Ltd. of Malta, part of KRUK Group, to sell debt portfolios composed by unsecured consumer loans, with an aggregate nominal value of up to RON 240 million (€48.5 million) granted by UniCredit Consumer Financing IFN S.A. to its individual customers. The Agreement stipulates that the debt portfolios will be purchased in 24 monthly tranches. Other information on Group activities FINO project In relation to the FINO Project (started in 2016 and completed in 2018), as at 31 December 2021, following the redemptions made, the Notes (Asset Backed Securities) owned by UniCredit S.p.A. amount totally €131 million (€88 million recorded under item “30. Financial assets at fair value through other comprehensive income” pertaining to the Senior securities and in part to the Mezzanine securities, and €43 million recorded under item “20. Financial assets at fair value through profit or loss c) other financial assets mandatorily at fair value” in connection with the remaining Mezzanine securities and all the Junior Notes). The evaluation of the Notes classified among other assets mandatorily at fair value led in 2021 to a positive impact of €2.5 million, while the Notes classified among financial assets at fair value through other comprehensive income an impairment has been recognised for €22 million, due to the change in estimation of expected cash flows of the underlying securitised loans. The receivables related to the Deferred Subscription Price (DSP/Deferred Purchase Price-DPP), owed to UniCredit S.p.A. by third-party entities belonging to the relevant third-party investor's groups, and deriving from the securitisation transactions completed during 2017, have been fully reimbursed in 2020, according to the contractual provisions. Prisma transaction In relation to Prisma transaction, finalised in the fourth quarter 2019 and referring to the securitisation of a non-performing loan Residential Mortgage Portfolio of €4.1 billion gross book value originated by UniCredit S.p.A. and transferred to the securitisation vehicle Prisma SPV S.r.l., issuer of the Asset Backed Securities (named also ABS or Note), it should be noted that as at 31 December 202,1 following the redemptions made, the total amount of the Notes owned by UniCredit S.p.A. amount to €748 million (of which €745 million recorded under item “30. Financial assets at fair value through other comprehensive income” pertaining to the Senior securities, and €3 million recorded under item “20. Financial assets at fair value through profit or loss c) other financial assets mandatorily at fair value” in connection with the Mezzanine securities and the Junior Notes). During 2021, with reference to the Notes, no material impact was recognized in the income statement. Relais transaction In the fourth quarter 2020, as part of its program to accelerate the Non Core portfolio rundown, UniCredit Leasing ("UCL") completed the transfer of €1.6 billion Claim of an Italian non-performing real estate lease portfolio ("NPL Lease Portfolio") to a securitisation vehicle (Relais SPV S.r.l. "RELAIS") and the assets to a LeaseCo, a company envisaged by the Italian Securitisation Law for managing the real estate assets (Relais LeaseCo S.r.l. and together with Relais, the "Securitisation"). In December 2020 UCL purchased all the Asset Backed Securities (Note Senior, Mezzanine e Junior) issued by the SPV, and on 22 December 2020 exercised the put option (“back-stop”) following which UCL sold to doValue (the securitisation’s Servicer) the 95% of the Mezzanine and Junior Notes, leading to recognize the accounting derecognition of the receivables. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 111 On 9 December 2021 UniCredit entered into a binding agreement to dispose 95% of the mezzanine and junior notes to a financial institution not belonging to the Group, while retaining the 5% required by regulation as Originator net economic interest in Olympia. Following the completion of this agreement, UniCredit proceeded with the cancellation (derecognition) of the transferred loans from the Assets. Italfondiario and doValue act respectively as Master and Special Servicer of the Securitisation while Banca Finanziaria Internazionale S.p.A. covers the roles of Corporate service provider, Monitoring Agent, Calculation Agent, Representative of Noteholders and Back-up Servicer Facilitator. UniCredit Bank AG is the Placement and Settlement Agent of the mezzanine and junior notes, and cap and liquidity line provider for Olympia. With reference to the regulatory treatment applied as of the fourth quarter 2021, UniCredit, following the notification to the European Central Bank, represented the related significant risk transfer when reporting the transaction above outlined. For further detail on the initiative refer to Company financial statement, Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, “Olympia transaction”. Sale of non-performing credit portfolios to InvestCapital Ltd. of Malta On 27 December 2021 UniCredit announced that, through its subsidiary UniCredit Consumer Financing IFN S.A. of Bucharest, Romania, it has reached an agreement with InvestCapital Ltd. of Malta, part of KRUK Group, to sell debt portfolios composed by unsecured consumer loans, with an aggregate nominal value of up to RON 240 million (€48.5 million) granted by UniCredit Consumer Financing IFN S.A. to its individual customers. The Agreement stipulates that the debt portfolios will be purchased in 24 monthly tranches. Other information on Group activities FINO project In relation to the FINO Project (started in 2016 and completed in 2018), as at 31 December 2021, following the redemptions made, the Notes (Asset Backed Securities) owned by UniCredit S.p.A. amount totally €131 million (€88 million recorded under item “30. Financial assets at fair value through other comprehensive income” pertaining to the Senior securities and in part to the Mezzanine securities, and €43 million recorded under item “20. Financial assets at fair value through profit or loss c) other financial assets mandatorily at fair value” in connection with the remaining Mezzanine securities and all the Junior Notes). The evaluation of the Notes classified among other assets mandatorily at fair value led in 2021 to a positive impact of €2.5 million, while the Notes classified among financial assets at fair value through other comprehensive income an impairment has been recognised for €22 million, due to the change in estimation of expected cash flows of the underlying securitised loans. The receivables related to the Deferred Subscription Price (DSP/Deferred Purchase Price-DPP), owed to UniCredit S.p.A. by third-party entities belonging to the relevant third-party investor's groups, and deriving from the securitisation transactions completed during 2017, have been fully reimbursed in 2020, according to the contractual provisions. Prisma transaction In relation to Prisma transaction, finalised in the fourth quarter 2019 and referring to the securitisation of a non-performing loan Residential Mortgage Portfolio of €4.1 billion gross book value originated by UniCredit S.p.A. and transferred to the securitisation vehicle Prisma SPV S.r.l., issuer of the Asset Backed Securities (named also ABS or Note), it should be noted that as at 31 December 202,1 following the redemptions made, the total amount of the Notes owned by UniCredit S.p.A. amount to €748 million (of which €745 million recorded under item “30. Financial assets at fair value through other comprehensive income” pertaining to the Senior securities, and €3 million recorded under item “20. Financial assets at fair value through profit or loss c) other financial assets mandatorily at fair value” in connection with the Mezzanine securities and the Junior Notes). During 2021, with reference to the Notes, no material impact was recognized in the income statement. Relais transaction In the fourth quarter 2020, as part of its program to accelerate the Non Core portfolio rundown, UniCredit Leasing ("UCL") completed the transfer of €1.6 billion Claim of an Italian non-performing real estate lease portfolio ("NPL Lease Portfolio") to a securitisation vehicle (Relais SPV S.r.l. "RELAIS") and the assets to a LeaseCo, a company envisaged by the Italian Securitisation Law for managing the real estate assets (Relais LeaseCo S.r.l. and together with Relais, the "Securitisation"). In December 2020 UCL purchased all the Asset Backed Securities (Note Senior, Mezzanine e Junior) issued by the SPV, and on 22 December 2020 exercised the put option (“back-stop”) following which UCL sold to doValue (the securitisation’s Servicer) the 95% of the Mezzanine and Junior Notes, leading to recognize the accounting derecognition of the receivables. Consolidated report on operations Other information 112 2021 Annual Report and Accounts · UniCredit With reference to the regulatory treatment applied, following the notification to the European Central Bank, starting from February 2021, UniCredit represents the related significant risk transfer when reporting the transaction above outlined. On 9 March 2021, the Ministry of Economy and Finance granted the GACS guarantee on the Senior note. On 31 December 2021, also following the reimbursements occurred, the Senior notes held by UniCredit S.p.A. (due to the purchase by UCL performed on 6 April 2021) are recognised in item “30. Financial asset at fair value through other comprehensive income” for €407 million; the Senior, Mezzanine and Junior notes hold by UCL are recognised in item “120. Non-current assets and disposal groups classified as held for sale” for a total amount of €24 million. Issue of a dual tranche Senior Preferred Notes for a total amount of €2 billion On 12 January 2021 the parent company UniCredit S.p.A. launched a dual tranche Senior Preferred €1 billion with 5 years maturity and €1 billion with 10 years maturity. The combined amount represents the largest Euro institutional Senior Preferred issuance ever done by UniCredit. Pietro Carlo Padoan and Andrea Orcel appointed respectively as Chairman and Chief Executive Officer of UniCredit S.p.A. Following the approval of the list of candidates by the Annual General meeting (AGM) on 15 April 2021, the Board of Directors appointed as Chairman Mr. Pietro Carlo Padoan and Mr. Andrea Orcel as Chief Executive Officer (CEO) of the company with all the powers and authorizations necessary to fulfill his role. The Board of Directors unanimously already co-opted Professor Pietro Carlo Padoan as a non-executive director after having concluded that he was the best candidate for the position as Chairman of UniCredit for the next term, as well as, last 27 January 2021, unanimously nominated Andrea Orcel as designated Chief Executive Officer (CEO) to replace the outgoing CEO Jean Pierre Mustier. Launch of the share Buy-Back Programmes On 11 May 2021 UniCredit S.p.A. announced, in execution of the authorisation granted by the Shareholders' Meeting of the Company held on 15 April 2021, that it has defined and approved the measures for the execution of the share buy-back programme for a maximum amount of €178,688,534.90 and for a number of UniCredit ordinary shares not exceeding 30,000,000 (the "First Buy-Back Programme 2021"). As disclosed on 24 June 2021, the First Buy-Back Programme 2021 was completed on 23 June 2021 with the purchase by UniCredit of No.17,416,128 shares for a total consideration of €178,688,527. The shares purchased by UniCredit under the First Buy-Back Programme 2021 were cancelled, jointly with the treasury shares held by UniCredit at that time, on 4 October 2021. On 9 December 2021 UniCredit S.p.A. announced, always as per the authorisation granted by the Shareholders' Meeting of the company held on 15 April 2021 that it has defined and approved the measures for the execution of the share buy-back programme for a maximum amount of €651,573,111.00 and for a number of UniCredit ordinary shares not exceeding 110,000,000 (the "Second Buy-Back Programme 2021"). For the purpose of executing the Second Buy-Back Programme 2021, UniCredit S.p.A. engaged J.P. Morgan AG as qualified third-party broker to decide on the stock purchases in full independence, also in relation to the timing of the transactions and in compliance with the daily price and volume limits and the terms of the programme. For further details on timing and methods of the programmes, refer to paragraph “Treasury Shares” of the Report on operations of UniCredit S.p.A. New organisational structure, reorganisation of the Management Team and redesign of Group’s structures On 12 May 2021 UniCredit announced a new organisational structure and a new Management Team to drive the business effectively and deliver its new strategic plan during the second half of 2021. This new structure creates a simplified organisation that enables greater accountability across all businesses and areas. It ensures clients remain at the heart of everything, further integrating technology and digitalisation as a key driver of future success and provides clarity on key roles and responsibilities. On 15 July 2021 UniCredit announced further steps in its business simplification. Following the new organisational structure and the appointment of a new Group Executive Committee ("GEC") put in place in May, notice was given that, to further improve efficiency, the first line of each business area and region has been designed to reduce layering and complexity whilst retaining clear lines of control and oversight. The new reporting lines provide a clean and clear management structure designed to deliver faster execution and decision-making capabilities and promote operational excellence, providing closer links between management and the clients and communities within which it operates. Consolidated report on operations Other information 112 2021 Annual Report and Accounts · UniCredit With reference to the regulatory treatment applied, following the notification to the European Central Bank, starting from February 2021, UniCredit represents the related significant risk transfer when reporting the transaction above outlined. On 9 March 2021, the Ministry of Economy and Finance granted the GACS guarantee on the Senior note. On 31 December 2021, also following the reimbursements occurred, the Senior notes held by UniCredit S.p.A. (due to the purchase by UCL performed on 6 April 2021) are recognised in item “30. Financial asset at fair value through other comprehensive income” for €407 million; the Senior, Mezzanine and Junior notes hold by UCL are recognised in item “120. Non-current assets and disposal groups classified as held for sale” for a total amount of €24 million. Issue of a dual tranche Senior Preferred Notes for a total amount of €2 billion On 12 January 2021 the parent company UniCredit S.p.A. launched a dual tranche Senior Preferred €1 billion with 5 years maturity and €1 billion with 10 years maturity. The combined amount represents the largest Euro institutional Senior Preferred issuance ever done by UniCredit. Pietro Carlo Padoan and Andrea Orcel appointed respectively as Chairman and Chief Executive Officer of UniCredit S.p.A. Following the approval of the list of candidates by the Annual General meeting (AGM) on 15 April 2021, the Board of Directors appointed as Chairman Mr. Pietro Carlo Padoan and Mr. Andrea Orcel as Chief Executive Officer (CEO) of the company with all the powers and authorizations necessary to fulfill his role. The Board of Directors unanimously already co-opted Professor Pietro Carlo Padoan as a non-executive director after having concluded that he was the best candidate for the position as Chairman of UniCredit for the next term, as well as, last 27 January 2021, unanimously nominated Andrea Orcel as designated Chief Executive Officer (CEO) to replace the outgoing CEO Jean Pierre Mustier. Launch of the share Buy-Back Programmes On 11 May 2021 UniCredit S.p.A. announced, in execution of the authorisation granted by the Shareholders' Meeting of the Company held on 15 April 2021, that it has defined and approved the measures for the execution of the share buy-back programme for a maximum amount of €178,688,534.90 and for a number of UniCredit ordinary shares not exceeding 30,000,000 (the "First Buy-Back Programme 2021"). As disclosed on 24 June 2021, the First Buy-Back Programme 2021 was completed on 23 June 2021 with the purchase by UniCredit of No.17,416,128 shares for a total consideration of €178,688,527. The shares purchased by UniCredit under the First Buy-Back Programme 2021 were cancelled, jointly with the treasury shares held by UniCredit at that time, on 4 October 2021. On 9 December 2021 UniCredit S.p.A. announced, always as per the authorisation granted by the Shareholders' Meeting of the company held on 15 April 2021 that it has defined and approved the measures for the execution of the share buy-back programme for a maximum amount of €651,573,111.00 and for a number of UniCredit ordinary shares not exceeding 110,000,000 (the "Second Buy-Back Programme 2021"). For the purpose of executing the Second Buy-Back Programme 2021, UniCredit S.p.A. engaged J.P. Morgan AG as qualified third-party broker to decide on the stock purchases in full independence, also in relation to the timing of the transactions and in compliance with the daily price and volume limits and the terms of the programme. For further details on timing and methods of the programmes, refer to paragraph “Treasury Shares” of the Report on operations of UniCredit S.p.A. New organisational structure, reorganisation of the Management Team and redesign of Group’s structures On 12 May 2021 UniCredit announced a new organisational structure and a new Management Team to drive the business effectively and deliver its new strategic plan during the second half of 2021. This new structure creates a simplified organisation that enables greater accountability across all businesses and areas. It ensures clients remain at the heart of everything, further integrating technology and digitalisation as a key driver of future success and provides clarity on key roles and responsibilities. On 15 July 2021 UniCredit announced further steps in its business simplification. Following the new organisational structure and the appointment of a new Group Executive Committee ("GEC") put in place in May, notice was given that, to further improve efficiency, the first line of each business area and region has been designed to reduce layering and complexity whilst retaining clear lines of control and oversight. The new reporting lines provide a clean and clear management structure designed to deliver faster execution and decision-making capabilities and promote operational excellence, providing closer links between management and the clients and communities within which it operates. Consolidated report on operations Other information 112 2021 Annual Report and Accounts · UniCredit With reference to the regulatory treatment applied, following the notification to the European Central Bank, starting from February 2021, UniCredit represents the related significant risk transfer when reporting the transaction above outlined. On 9 March 2021, the Ministry of Economy and Finance granted the GACS guarantee on the Senior note. On 31 December 2021, also following the reimbursements occurred, the Senior notes held by UniCredit S.p.A. (due to the purchase by UCL performed on 6 April 2021) are recognised in item “30. Financial asset at fair value through other comprehensive income” for €407 million; the Senior, Mezzanine and Junior notes hold by UCL are recognised in item “120. Non-current assets and disposal groups classified as held for sale” for a total amount of €24 million. Issue of a dual tranche Senior Preferred Notes for a total amount of €2 billion On 12 January 2021 the parent company UniCredit S.p.A. launched a dual tranche Senior Preferred €1 billion with 5 years maturity and €1 billion with 10 years maturity. The combined amount represents the largest Euro institutional Senior Preferred issuance ever done by UniCredit. Pietro Carlo Padoan and Andrea Orcel appointed respectively as Chairman and Chief Executive Officer of UniCredit S.p.A. Following the approval of the list of candidates by the Annual General meeting (AGM) on 15 April 2021, the Board of Directors appointed as Chairman Mr. Pietro Carlo Padoan and Mr. Andrea Orcel as Chief Executive Officer (CEO) of the company with all the powers and authorizations necessary to fulfill his role. The Board of Directors unanimously already co-opted Professor Pietro Carlo Padoan as a non-executive director after having concluded that he was the best candidate for the position as Chairman of UniCredit for the next term, as well as, last 27 January 2021, unanimously nominated Andrea Orcel as designated Chief Executive Officer (CEO) to replace the outgoing CEO Jean Pierre Mustier. Launch of the share Buy-Back Programmes On 11 May 2021 UniCredit S.p.A. announced, in execution of the authorisation granted by the Shareholders' Meeting of the Company held on 15 April 2021, that it has defined and approved the measures for the execution of the share buy-back programme for a maximum amount of €178,688,534.90 and for a number of UniCredit ordinary shares not exceeding 30,000,000 (the "First Buy-Back Programme 2021"). As disclosed on 24 June 2021, the First Buy-Back Programme 2021 was completed on 23 June 2021 with the purchase by UniCredit of No.17,416,128 shares for a total consideration of €178,688,527. The shares purchased by UniCredit under the First Buy-Back Programme 2021 were cancelled, jointly with the treasury shares held by UniCredit at that time, on 4 October 2021. On 9 December 2021 UniCredit S.p.A. announced, always as per the authorisation granted by the Shareholders' Meeting of the company held on 15 April 2021 that it has defined and approved the measures for the execution of the share buy-back programme for a maximum amount of €651,573,111.00 and for a number of UniCredit ordinary shares not exceeding 110,000,000 (the "Second Buy-Back Programme 2021"). For the purpose of executing the Second Buy-Back Programme 2021, UniCredit S.p.A. engaged J.P. Morgan AG as qualified third-party broker to decide on the stock purchases in full independence, also in relation to the timing of the transactions and in compliance with the daily price and volume limits and the terms of the programme. For further details on timing and methods of the programmes, refer to paragraph “Treasury Shares” of the Report on operations of UniCredit S.p.A. New organisational structure, reorganisation of the Management Team and redesign of Group’s structures On 12 May 2021 UniCredit announced a new organisational structure and a new Management Team to drive the business effectively and deliver its new strategic plan during the second half of 2021. This new structure creates a simplified organisation that enables greater accountability across all businesses and areas. It ensures clients remain at the heart of everything, further integrating technology and digitalisation as a key driver of future success and provides clarity on key roles and responsibilities. On 15 July 2021 UniCredit announced further steps in its business simplification. Following the new organisational structure and the appointment of a new Group Executive Committee ("GEC") put in place in May, notice was given that, to further improve efficiency, the first line of each business area and region has been designed to reduce layering and complexity whilst retaining clear lines of control and oversight. The new reporting lines provide a clean and clear management structure designed to deliver faster execution and decision-making capabilities and promote operational excellence, providing closer links between management and the clients and communities within which it operates. Consolidated report on operations Other information 112 2021 Annual Report and Accounts · UniCredit With reference to the regulatory treatment applied, following the notification to the European Central Bank, starting from February 2021, UniCredit represents the related significant risk transfer when reporting the transaction above outlined. On 9 March 2021, the Ministry of Economy and Finance granted the GACS guarantee on the Senior note. On 31 December 2021, also following the reimbursements occurred, the Senior notes held by UniCredit S.p.A. (due to the purchase by UCL performed on 6 April 2021) are recognised in item “30. Financial asset at fair value through other comprehensive income” for €407 million; the Senior, Mezzanine and Junior notes hold by UCL are recognised in item “120. Non-current assets and disposal groups classified as held for sale” for a total amount of €24 million. Issue of a dual tranche Senior Preferred Notes for a total amount of €2 billion On 12 January 2021 the parent company UniCredit S.p.A. launched a dual tranche Senior Preferred €1 billion with 5 years maturity and €1 billion with 10 years maturity. The combined amount represents the largest Euro institutional Senior Preferred issuance ever done by UniCredit. Pietro Carlo Padoan and Andrea Orcel appointed respectively as Chairman and Chief Executive Officer of UniCredit S.p.A. Following the approval of the list of candidates by the Annual General meeting (AGM) on 15 April 2021, the Board of Directors appointed as Chairman Mr. Pietro Carlo Padoan and Mr. Andrea Orcel as Chief Executive Officer (CEO) of the company with all the powers and authorizations necessary to fulfill his role. The Board of Directors unanimously already co-opted Professor Pietro Carlo Padoan as a non-executive director after having concluded that he was the best candidate for the position as Chairman of UniCredit for the next term, as well as, last 27 January 2021, unanimously nominated Andrea Orcel as designated Chief Executive Officer (CEO) to replace the outgoing CEO Jean Pierre Mustier. Launch of the share Buy-Back Programmes On 11 May 2021 UniCredit S.p.A. announced, in execution of the authorisation granted by the Shareholders' Meeting of the Company held on 15 April 2021, that it has defined and approved the measures for the execution of the share buy-back programme for a maximum amount of €178,688,534.90 and for a number of UniCredit ordinary shares not exceeding 30,000,000 (the "First Buy-Back Programme 2021"). As disclosed on 24 June 2021, the First Buy-Back Programme 2021 was completed on 23 June 2021 with the purchase by UniCredit of No.17,416,128 shares for a total consideration of €178,688,527. The shares purchased by UniCredit under the First Buy-Back Programme 2021 were cancelled, jointly with the treasury shares held by UniCredit at that time, on 4 October 2021. On 9 December 2021 UniCredit S.p.A. announced, always as per the authorisation granted by the Shareholders' Meeting of the company held on 15 April 2021 that it has defined and approved the measures for the execution of the share buy-back programme for a maximum amount of €651,573,111.00 and for a number of UniCredit ordinary shares not exceeding 110,000,000 (the "Second Buy-Back Programme 2021"). For the purpose of executing the Second Buy-Back Programme 2021, UniCredit S.p.A. engaged J.P. Morgan AG as qualified third-party broker to decide on the stock purchases in full independence, also in relation to the timing of the transactions and in compliance with the daily price and volume limits and the terms of the programme. For further details on timing and methods of the programmes, refer to paragraph “Treasury Shares” of the Report on operations of UniCredit S.p.A. New organisational structure, reorganisation of the Management Team and redesign of Group’s structures On 12 May 2021 UniCredit announced a new organisational structure and a new Management Team to drive the business effectively and deliver its new strategic plan during the second half of 2021. This new structure creates a simplified organisation that enables greater accountability across all businesses and areas. It ensures clients remain at the heart of everything, further integrating technology and digitalisation as a key driver of future success and provides clarity on key roles and responsibilities. On 15 July 2021 UniCredit announced further steps in its business simplification. Following the new organisational structure and the appointment of a new Group Executive Committee ("GEC") put in place in May, notice was given that, to further improve efficiency, the first line of each business area and region has been designed to reduce layering and complexity whilst retaining clear lines of control and oversight. The new reporting lines provide a clean and clear management structure designed to deliver faster execution and decision-making capabilities and promote operational excellence, providing closer links between management and the clients and communities within which it operates. Consolidated report on operations Other information 112 2021 Annual Report and Accounts · UniCredit With reference to the regulatory treatment applied, following the notification to the European Central Bank, starting from February 2021, UniCredit represents the related significant risk transfer when reporting the transaction above outlined. On 9 March 2021, the Ministry of Economy and Finance granted the GACS guarantee on the Senior note. On 31 December 2021, also following the reimbursements occurred, the Senior notes held by UniCredit S.p.A. (due to the purchase by UCL performed on 6 April 2021) are recognised in item “30. Financial asset at fair value through other comprehensive income” for €407 million; the Senior, Mezzanine and Junior notes hold by UCL are recognised in item “120. Non-current assets and disposal groups classified as held for sale” for a total amount of €24 million. Issue of a dual tranche Senior Preferred Notes for a total amount of €2 billion On 12 January 2021 the parent company UniCredit S.p.A. launched a dual tranche Senior Preferred €1 billion with 5 years maturity and €1 billion with 10 years maturity. The combined amount represents the largest Euro institutional Senior Preferred issuance ever done by UniCredit. Pietro Carlo Padoan and Andrea Orcel appointed respectively as Chairman and Chief Executive Officer of UniCredit S.p.A. Following the approval of the list of candidates by the Annual General meeting (AGM) on 15 April 2021, the Board of Directors appointed as Chairman Mr. Pietro Carlo Padoan and Mr. Andrea Orcel as Chief Executive Officer (CEO) of the company with all the powers and authorizations necessary to fulfill his role. The Board of Directors unanimously already co-opted Professor Pietro Carlo Padoan as a non-executive director after having concluded that he was the best candidate for the position as Chairman of UniCredit for the next term, as well as, last 27 January 2021, unanimously nominated Andrea Orcel as designated Chief Executive Officer (CEO) to replace the outgoing CEO Jean Pierre Mustier. Launch of the share Buy-Back Programmes On 11 May 2021 UniCredit S.p.A. announced, in execution of the authorisation granted by the Shareholders' Meeting of the Company held on 15 April 2021, that it has defined and approved the measures for the execution of the share buy-back programme for a maximum amount of €178,688,534.90 and for a number of UniCredit ordinary shares not exceeding 30,000,000 (the "First Buy-Back Programme 2021"). As disclosed on 24 June 2021, the First Buy-Back Programme 2021 was completed on 23 June 2021 with the purchase by UniCredit of No.17,416,128 shares for a total consideration of €178,688,527. The shares purchased by UniCredit under the First Buy-Back Programme 2021 were cancelled, jointly with the treasury shares held by UniCredit at that time, on 4 October 2021. On 9 December 2021 UniCredit S.p.A. announced, always as per the authorisation granted by the Shareholders' Meeting of the company held on 15 April 2021 that it has defined and approved the measures for the execution of the share buy-back programme for a maximum amount of €651,573,111.00 and for a number of UniCredit ordinary shares not exceeding 110,000,000 (the "Second Buy-Back Programme 2021"). For the purpose of executing the Second Buy-Back Programme 2021, UniCredit S.p.A. engaged J.P. Morgan AG as qualified third-party broker to decide on the stock purchases in full independence, also in relation to the timing of the transactions and in compliance with the daily price and volume limits and the terms of the programme. For further details on timing and methods of the programmes, refer to paragraph “Treasury Shares” of the Report on operations of UniCredit S.p.A. New organisational structure, reorganisation of the Management Team and redesign of Group’s structures On 12 May 2021 UniCredit announced a new organisational structure and a new Management Team to drive the business effectively and deliver its new strategic plan during the second half of 2021. This new structure creates a simplified organisation that enables greater accountability across all businesses and areas. It ensures clients remain at the heart of everything, further integrating technology and digitalisation as a key driver of future success and provides clarity on key roles and responsibilities. On 15 July 2021 UniCredit announced further steps in its business simplification. Following the new organisational structure and the appointment of a new Group Executive Committee ("GEC") put in place in May, notice was given that, to further improve efficiency, the first line of each business area and region has been designed to reduce layering and complexity whilst retaining clear lines of control and oversight. The new reporting lines provide a clean and clear management structure designed to deliver faster execution and decision-making capabilities and promote operational excellence, providing closer links between management and the clients and communities within which it operates. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 113 The realignment has further increased the diversity of the management team, mirroring the increased female presence at GEC level and introducing greater variety in the nationalities represented. Italy is established as a standalone geography, reflecting the critical importance of this Country to the Group. As already evidenced in the paragraph “Main results and performance of the period”, as at 31 December 2021 the performance of the Group was measured based on the new business divisions as well as the reporting by business sectors. Moody's affirmed UniCredit S.p.A.'s ratings and outlook even after the methodology’s update to banks On 12 May 2021 the Rating Agency Moody's affirmed UniCredit S.p.A.'s long-term deposit and senior debt ratings at “Baa1”. The outlook remains stable. The BCA/stand-alone rating was affirmed at “baa3”. On 13 July 2021 it has been reported that Moody's has updated its banks methodology. As a result, UniCredit S.p.A.'s long-term deposit and senior debt ratings and Tier 2 rating are unchanged at “Baa1” and “Baa3” respectively. UniCredit's Senior Non-Preferred Ratings were downgraded to “Baa3” from “Baa2”. The outlook remains “stable”. Update on MREL requirements On 14 May 2021 UniCredit S.p.A. informed having received the Single Resolution Board and Banca d'Italia the updated decision on the Minimum Requirement for Own Funds and Eligible Liabilities (MREL): this supersedes the previous one communicated in December 2019, which set the MREL equal to 10.67% of Total Liabilities and Own Funds (TLOF) and applicable from 30 June 2022. From 1 January 2022, UniCredit S.p.A. shall comply, on a consolidated basis, with an intermediate MREL equal to the maximum between 20.73% of Risk Weighted Assets (RWA), plus the Combined Buffer Requirement (CBR) applicable at that point in time, and a 5.90% of leverage ratio exposures (LRE). From 1 January 2024, the consolidated MREL will become "fully loaded" and will be set equal to the maximum between 21.40% RWA, plus the applicable CBR, and 5.90% LRE. Starting from 1 January 2022, UniCredit S.p.A. will also have to comply with a subordinated MREL, i.e. to be met with subordinated instruments, equal to the maximum between 11.79% RWA, plus the applicable CBR, and 5.68% LRE. Both these amounts already take into account the "senior allowance", i.e. the possibility to meet part of the subordinated requirement with senior (non-subordinated) instruments. All these requirements shall be met with consolidated Own Funds plus Eligible Liabilities issued by UniCredit S.p.A. only. Issue of a USD Dual-Tranche benchmark callable 6NC5 and 11NC10 Preferred Senior Transaction for 2 billion dollars On 26 May 2021 UniCredit S.p.A. has issued 1 billion dollars of Fixed to Fixed Rate Senior Preferred Notes, with a 6 year maturity and a call after year 5, and 1 billion dollars of Fixed to Fixed Rate Senior Preferred Notes, with a 11 year maturity and a call after year 10, targeted to institutional investors for a total amount of 2 billion dollars. The bonds are TLAC/MREL eligible and contribute to provide liquidity to the USD credit curve. S&P changed UniCredit S.p.A.'s outlook to “stable” from “negative” and, afterwards, to “positive” from “stable” On 24 June 2021 it has been announced that the rating agency S&P Global Ratings ("S&P") has changed UniCredit S.p.A.'s outlook to “stable” (from “negative”). The “BBB” long- and “A-2” short-term UniCredit S.p.A.’s credit ratings have been affirmed. The instrument ratings have been affirmed as well. On 23 November 2021 S&P has changed UniCredit S.p.A.'s outlook to “positive” (from “stable”). The “BBB” long- and “A-2” short-term Issuer Credit Ratings have been affirmed. The instrument ratings have been affirmed as well. Issue of a Senior Preferred Green Bond for €1 billion On 28 June 2021 UniCredit S.p.A. has issued its inaugural fix-to-floater Senior Preferred Green Bond for €1.0 billion with an 8-year maturity and a call after year 7, targeted to institutional investors. The issuance follows a book building process that gathered strong demand of more than €3.25 billion from more than 200 investors globally. The initial guidance of 120bps over the 7-year mid-swap rate has been tightened by 30bps, achieving a final spread of 90bps, resulting in a fixed coupon of 0.80% paid annually, with an issue/re-offer price of 99.953%. The bond proceeds are dedicated to fund renewable energy, clean transportation, and green buildings with the aim of supporting the United Nations Sustainable Development Goals (UN SDGs). The inaugural green bond issuance took place under UniCredit's newly established Sustainability Bond Framework. The framework allows the Group's main issuers UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria to issue green, social, and sustainability bonds, which will be a recurring part of the Group's funding activity going forward. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 113 The realignment has further increased the diversity of the management team, mirroring the increased female presence at GEC level and introducing greater variety in the nationalities represented. Italy is established as a standalone geography, reflecting the critical importance of this Country to the Group. As already evidenced in the paragraph “Main results and performance of the period”, as at 31 December 2021 the performance of the Group was measured based on the new business divisions as well as the reporting by business sectors. Moody's affirmed UniCredit S.p.A.'s ratings and outlook even after the methodology’s update to banks On 12 May 2021 the Rating Agency Moody's affirmed UniCredit S.p.A.'s long-term deposit and senior debt ratings at “Baa1”. The outlook remains stable. The BCA/stand-alone rating was affirmed at “baa3”. On 13 July 2021 it has been reported that Moody's has updated its banks methodology. As a result, UniCredit S.p.A.'s long-term deposit and senior debt ratings and Tier 2 rating are unchanged at “Baa1” and “Baa3” respectively. UniCredit's Senior Non-Preferred Ratings were downgraded to “Baa3” from “Baa2”. The outlook remains “stable”. Update on MREL requirements On 14 May 2021 UniCredit S.p.A. informed having received the Single Resolution Board and Banca d'Italia the updated decision on the Minimum Requirement for Own Funds and Eligible Liabilities (MREL): this supersedes the previous one communicated in December 2019, which set the MREL equal to 10.67% of Total Liabilities and Own Funds (TLOF) and applicable from 30 June 2022. From 1 January 2022, UniCredit S.p.A. shall comply, on a consolidated basis, with an intermediate MREL equal to the maximum between 20.73% of Risk Weighted Assets (RWA), plus the Combined Buffer Requirement (CBR) applicable at that point in time, and a 5.90% of leverage ratio exposures (LRE). From 1 January 2024, the consolidated MREL will become "fully loaded" and will be set equal to the maximum between 21.40% RWA, plus the applicable CBR, and 5.90% LRE. Starting from 1 January 2022, UniCredit S.p.A. will also have to comply with a subordinated MREL, i.e. to be met with subordinated instruments, equal to the maximum between 11.79% RWA, plus the applicable CBR, and 5.68% LRE. Both these amounts already take into account the "senior allowance", i.e. the possibility to meet part of the subordinated requirement with senior (non-subordinated) instruments. All these requirements shall be met with consolidated Own Funds plus Eligible Liabilities issued by UniCredit S.p.A. only. Issue of a USD Dual-Tranche benchmark callable 6NC5 and 11NC10 Preferred Senior Transaction for 2 billion dollars On 26 May 2021 UniCredit S.p.A. has issued 1 billion dollars of Fixed to Fixed Rate Senior Preferred Notes, with a 6 year maturity and a call after year 5, and 1 billion dollars of Fixed to Fixed Rate Senior Preferred Notes, with a 11 year maturity and a call after year 10, targeted to institutional investors for a total amount of 2 billion dollars. The bonds are TLAC/MREL eligible and contribute to provide liquidity to the USD credit curve. S&P changed UniCredit S.p.A.'s outlook to “stable” from “negative” and, afterwards, to “positive” from “stable” On 24 June 2021 it has been announced that the rating agency S&P Global Ratings ("S&P") has changed UniCredit S.p.A.'s outlook to “stable” (from “negative”). The “BBB” long- and “A-2” short-term UniCredit S.p.A.’s credit ratings have been affirmed. The instrument ratings have been affirmed as well. On 23 November 2021 S&P has changed UniCredit S.p.A.'s outlook to “positive” (from “stable”). The “BBB” long- and “A-2” short-term Issuer Credit Ratings have been affirmed. The instrument ratings have been affirmed as well. Issue of a Senior Preferred Green Bond for €1 billion On 28 June 2021 UniCredit S.p.A. has issued its inaugural fix-to-floater Senior Preferred Green Bond for €1.0 billion with an 8-year maturity and a call after year 7, targeted to institutional investors. The issuance follows a book building process that gathered strong demand of more than €3.25 billion from more than 200 investors globally. The initial guidance of 120bps over the 7-year mid-swap rate has been tightened by 30bps, achieving a final spread of 90bps, resulting in a fixed coupon of 0.80% paid annually, with an issue/re-offer price of 99.953%. The bond proceeds are dedicated to fund renewable energy, clean transportation, and green buildings with the aim of supporting the United Nations Sustainable Development Goals (UN SDGs). The inaugural green bond issuance took place under UniCredit's newly established Sustainability Bond Framework. The framework allows the Group's main issuers UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria to issue green, social, and sustainability bonds, which will be a recurring part of the Group's funding activity going forward. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 113 The realignment has further increased the diversity of the management team, mirroring the increased female presence at GEC level and introducing greater variety in the nationalities represented. Italy is established as a standalone geography, reflecting the critical importance of this Country to the Group. As already evidenced in the paragraph “Main results and performance of the period”, as at 31 December 2021 the performance of the Group was measured based on the new business divisions as well as the reporting by business sectors. Moody's affirmed UniCredit S.p.A.'s ratings and outlook even after the methodology’s update to banks On 12 May 2021 the Rating Agency Moody's affirmed UniCredit S.p.A.'s long-term deposit and senior debt ratings at “Baa1”. The outlook remains stable. The BCA/stand-alone rating was affirmed at “baa3”. On 13 July 2021 it has been reported that Moody's has updated its banks methodology. As a result, UniCredit S.p.A.'s long-term deposit and senior debt ratings and Tier 2 rating are unchanged at “Baa1” and “Baa3” respectively. UniCredit's Senior Non-Preferred Ratings were downgraded to “Baa3” from “Baa2”. The outlook remains “stable”. Update on MREL requirements On 14 May 2021 UniCredit S.p.A. informed having received the Single Resolution Board and Banca d'Italia the updated decision on the Minimum Requirement for Own Funds and Eligible Liabilities (MREL): this supersedes the previous one communicated in December 2019, which set the MREL equal to 10.67% of Total Liabilities and Own Funds (TLOF) and applicable from 30 June 2022. From 1 January 2022, UniCredit S.p.A. shall comply, on a consolidated basis, with an intermediate MREL equal to the maximum between 20.73% of Risk Weighted Assets (RWA), plus the Combined Buffer Requirement (CBR) applicable at that point in time, and a 5.90% of leverage ratio exposures (LRE). From 1 January 2024, the consolidated MREL will become "fully loaded" and will be set equal to the maximum between 21.40% RWA, plus the applicable CBR, and 5.90% LRE. Starting from 1 January 2022, UniCredit S.p.A. will also have to comply with a subordinated MREL, i.e. to be met with subordinated instruments, equal to the maximum between 11.79% RWA, plus the applicable CBR, and 5.68% LRE. Both these amounts already take into account the "senior allowance", i.e. the possibility to meet part of the subordinated requirement with senior (non-subordinated) instruments. All these requirements shall be met with consolidated Own Funds plus Eligible Liabilities issued by UniCredit S.p.A. only. Issue of a USD Dual-Tranche benchmark callable 6NC5 and 11NC10 Preferred Senior Transaction for 2 billion dollars On 26 May 2021 UniCredit S.p.A. has issued 1 billion dollars of Fixed to Fixed Rate Senior Preferred Notes, with a 6 year maturity and a call after year 5, and 1 billion dollars of Fixed to Fixed Rate Senior Preferred Notes, with a 11 year maturity and a call after year 10, targeted to institutional investors for a total amount of 2 billion dollars. The bonds are TLAC/MREL eligible and contribute to provide liquidity to the USD credit curve. S&P changed UniCredit S.p.A.'s outlook to “stable” from “negative” and, afterwards, to “positive” from “stable” On 24 June 2021 it has been announced that the rating agency S&P Global Ratings ("S&P") has changed UniCredit S.p.A.'s outlook to “stable” (from “negative”). The “BBB” long- and “A-2” short-term UniCredit S.p.A.’s credit ratings have been affirmed. The instrument ratings have been affirmed as well. On 23 November 2021 S&P has changed UniCredit S.p.A.'s outlook to “positive” (from “stable”). The “BBB” long- and “A-2” short-term Issuer Credit Ratings have been affirmed. The instrument ratings have been affirmed as well. Issue of a Senior Preferred Green Bond for €1 billion On 28 June 2021 UniCredit S.p.A. has issued its inaugural fix-to-floater Senior Preferred Green Bond for €1.0 billion with an 8-year maturity and a call after year 7, targeted to institutional investors. The issuance follows a book building process that gathered strong demand of more than €3.25 billion from more than 200 investors globally. The initial guidance of 120bps over the 7-year mid-swap rate has been tightened by 30bps, achieving a final spread of 90bps, resulting in a fixed coupon of 0.80% paid annually, with an issue/re-offer price of 99.953%. The bond proceeds are dedicated to fund renewable energy, clean transportation, and green buildings with the aim of supporting the United Nations Sustainable Development Goals (UN SDGs). The inaugural green bond issuance took place under UniCredit's newly established Sustainability Bond Framework. The framework allows the Group's main issuers UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria to issue green, social, and sustainability bonds, which will be a recurring part of the Group's funding activity going forward. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 113 The realignment has further increased the diversity of the management team, mirroring the increased female presence at GEC level and introducing greater variety in the nationalities represented. Italy is established as a standalone geography, reflecting the critical importance of this Country to the Group. As already evidenced in the paragraph “Main results and performance of the period”, as at 31 December 2021 the performance of the Group was measured based on the new business divisions as well as the reporting by business sectors. Moody's affirmed UniCredit S.p.A.'s ratings and outlook even after the methodology’s update to banks On 12 May 2021 the Rating Agency Moody's affirmed UniCredit S.p.A.'s long-term deposit and senior debt ratings at “Baa1”. The outlook remains stable. The BCA/stand-alone rating was affirmed at “baa3”. On 13 July 2021 it has been reported that Moody's has updated its banks methodology. As a result, UniCredit S.p.A.'s long-term deposit and senior debt ratings and Tier 2 rating are unchanged at “Baa1” and “Baa3” respectively. UniCredit's Senior Non-Preferred Ratings were downgraded to “Baa3” from “Baa2”. The outlook remains “stable”. Update on MREL requirements On 14 May 2021 UniCredit S.p.A. informed having received the Single Resolution Board and Banca d'Italia the updated decision on the Minimum Requirement for Own Funds and Eligible Liabilities (MREL): this supersedes the previous one communicated in December 2019, which set the MREL equal to 10.67% of Total Liabilities and Own Funds (TLOF) and applicable from 30 June 2022. From 1 January 2022, UniCredit S.p.A. shall comply, on a consolidated basis, with an intermediate MREL equal to the maximum between 20.73% of Risk Weighted Assets (RWA), plus the Combined Buffer Requirement (CBR) applicable at that point in time, and a 5.90% of leverage ratio exposures (LRE). From 1 January 2024, the consolidated MREL will become "fully loaded" and will be set equal to the maximum between 21.40% RWA, plus the applicable CBR, and 5.90% LRE. Starting from 1 January 2022, UniCredit S.p.A. will also have to comply with a subordinated MREL, i.e. to be met with subordinated instruments, equal to the maximum between 11.79% RWA, plus the applicable CBR, and 5.68% LRE. Both these amounts already take into account the "senior allowance", i.e. the possibility to meet part of the subordinated requirement with senior (non-subordinated) instruments. All these requirements shall be met with consolidated Own Funds plus Eligible Liabilities issued by UniCredit S.p.A. only. Issue of a USD Dual-Tranche benchmark callable 6NC5 and 11NC10 Preferred Senior Transaction for 2 billion dollars On 26 May 2021 UniCredit S.p.A. has issued 1 billion dollars of Fixed to Fixed Rate Senior Preferred Notes, with a 6 year maturity and a call after year 5, and 1 billion dollars of Fixed to Fixed Rate Senior Preferred Notes, with a 11 year maturity and a call after year 10, targeted to institutional investors for a total amount of 2 billion dollars. The bonds are TLAC/MREL eligible and contribute to provide liquidity to the USD credit curve. S&P changed UniCredit S.p.A.'s outlook to “stable” from “negative” and, afterwards, to “positive” from “stable” On 24 June 2021 it has been announced that the rating agency S&P Global Ratings ("S&P") has changed UniCredit S.p.A.'s outlook to “stable” (from “negative”). The “BBB” long- and “A-2” short-term UniCredit S.p.A.’s credit ratings have been affirmed. The instrument ratings have been affirmed as well. On 23 November 2021 S&P has changed UniCredit S.p.A.'s outlook to “positive” (from “stable”). The “BBB” long- and “A-2” short-term Issuer Credit Ratings have been affirmed. The instrument ratings have been affirmed as well. Issue of a Senior Preferred Green Bond for €1 billion On 28 June 2021 UniCredit S.p.A. has issued its inaugural fix-to-floater Senior Preferred Green Bond for €1.0 billion with an 8-year maturity and a call after year 7, targeted to institutional investors. The issuance follows a book building process that gathered strong demand of more than €3.25 billion from more than 200 investors globally. The initial guidance of 120bps over the 7-year mid-swap rate has been tightened by 30bps, achieving a final spread of 90bps, resulting in a fixed coupon of 0.80% paid annually, with an issue/re-offer price of 99.953%. The bond proceeds are dedicated to fund renewable energy, clean transportation, and green buildings with the aim of supporting the United Nations Sustainable Development Goals (UN SDGs). The inaugural green bond issuance took place under UniCredit's newly established Sustainability Bond Framework. The framework allows the Group's main issuers UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria to issue green, social, and sustainability bonds, which will be a recurring part of the Group's funding activity going forward. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 113 The realignment has further increased the diversity of the management team, mirroring the increased female presence at GEC level and introducing greater variety in the nationalities represented. Italy is established as a standalone geography, reflecting the critical importance of this Country to the Group. As already evidenced in the paragraph “Main results and performance of the period”, as at 31 December 2021 the performance of the Group was measured based on the new business divisions as well as the reporting by business sectors. Moody's affirmed UniCredit S.p.A.'s ratings and outlook even after the methodology’s update to banks On 12 May 2021 the Rating Agency Moody's affirmed UniCredit S.p.A.'s long-term deposit and senior debt ratings at “Baa1”. The outlook remains stable. The BCA/stand-alone rating was affirmed at “baa3”. On 13 July 2021 it has been reported that Moody's has updated its banks methodology. As a result, UniCredit S.p.A.'s long-term deposit and senior debt ratings and Tier 2 rating are unchanged at “Baa1” and “Baa3” respectively. UniCredit's Senior Non-Preferred Ratings were downgraded to “Baa3” from “Baa2”. The outlook remains “stable”. Update on MREL requirements On 14 May 2021 UniCredit S.p.A. informed having received the Single Resolution Board and Banca d'Italia the updated decision on the Minimum Requirement for Own Funds and Eligible Liabilities (MREL): this supersedes the previous one communicated in December 2019, which set the MREL equal to 10.67% of Total Liabilities and Own Funds (TLOF) and applicable from 30 June 2022. From 1 January 2022, UniCredit S.p.A. shall comply, on a consolidated basis, with an intermediate MREL equal to the maximum between 20.73% of Risk Weighted Assets (RWA), plus the Combined Buffer Requirement (CBR) applicable at that point in time, and a 5.90% of leverage ratio exposures (LRE). From 1 January 2024, the consolidated MREL will become "fully loaded" and will be set equal to the maximum between 21.40% RWA, plus the applicable CBR, and 5.90% LRE. Starting from 1 January 2022, UniCredit S.p.A. will also have to comply with a subordinated MREL, i.e. to be met with subordinated instruments, equal to the maximum between 11.79% RWA, plus the applicable CBR, and 5.68% LRE. Both these amounts already take into account the "senior allowance", i.e. the possibility to meet part of the subordinated requirement with senior (non-subordinated) instruments. All these requirements shall be met with consolidated Own Funds plus Eligible Liabilities issued by UniCredit S.p.A. only. Issue of a USD Dual-Tranche benchmark callable 6NC5 and 11NC10 Preferred Senior Transaction for 2 billion dollars On 26 May 2021 UniCredit S.p.A. has issued 1 billion dollars of Fixed to Fixed Rate Senior Preferred Notes, with a 6 year maturity and a call after year 5, and 1 billion dollars of Fixed to Fixed Rate Senior Preferred Notes, with a 11 year maturity and a call after year 10, targeted to institutional investors for a total amount of 2 billion dollars. The bonds are TLAC/MREL eligible and contribute to provide liquidity to the USD credit curve. S&P changed UniCredit S.p.A.'s outlook to “stable” from “negative” and, afterwards, to “positive” from “stable” On 24 June 2021 it has been announced that the rating agency S&P Global Ratings ("S&P") has changed UniCredit S.p.A.'s outlook to “stable” (from “negative”). The “BBB” long- and “A-2” short-term UniCredit S.p.A.’s credit ratings have been affirmed. The instrument ratings have been affirmed as well. On 23 November 2021 S&P has changed UniCredit S.p.A.'s outlook to “positive” (from “stable”). The “BBB” long- and “A-2” short-term Issuer Credit Ratings have been affirmed. The instrument ratings have been affirmed as well. Issue of a Senior Preferred Green Bond for €1 billion On 28 June 2021 UniCredit S.p.A. has issued its inaugural fix-to-floater Senior Preferred Green Bond for €1.0 billion with an 8-year maturity and a call after year 7, targeted to institutional investors. The issuance follows a book building process that gathered strong demand of more than €3.25 billion from more than 200 investors globally. The initial guidance of 120bps over the 7-year mid-swap rate has been tightened by 30bps, achieving a final spread of 90bps, resulting in a fixed coupon of 0.80% paid annually, with an issue/re-offer price of 99.953%. The bond proceeds are dedicated to fund renewable energy, clean transportation, and green buildings with the aim of supporting the United Nations Sustainable Development Goals (UN SDGs). The inaugural green bond issuance took place under UniCredit's newly established Sustainability Bond Framework. The framework allows the Group's main issuers UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria to issue green, social, and sustainability bonds, which will be a recurring part of the Group's funding activity going forward. Consolidated report on operations Other information 114 2021 Annual Report and Accounts · UniCredit Issue of €750 million Additional Tier 1 PerpNC 6/2028 Notes (AT1) On 30 June 2021 UniCredit S.p.A. placed an issue of Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes - Additional Tier 1, with settlement date 7 July 2021, for a total amount of €750 million targeted to institutional investors. For further details on the issue, refer to paragraphs “Capital strengthening” of this Consolidated report on operations. Sale of equity investment in Optima Telekom As at 30 June 2021 the Group held, through Zagrebačka Banka, a 36.9% equity investment in Optima Telekom, a telecommunication company in Croatia. Such equity investment was classified as other financial assets mandatorily at fair value, by virtue of an agreement signed in 2014, according to which Zagrebačka Banka transferred its management rights to Hrvatski Telekom, which obtained the control of Optima Telekom. On 9 July 2021, consequently to the Croatian Competition Agency's decision, the above-mentioned agreement was terminated. Upon termination, the transfer of the management to Hrvatski Telekom was terminated as well. Consequentially, Zagrebačka Banka was entitled to exercise its rights from 36.9% shareholding. Despite not having the full voting majority, the dispersion of other shareholders allowed Zagrebačka Banka to have the de-facto control over Optima Telekom and therefore Optima was consolidated in financial statements. In this regard, it should be noted that a sale process of this equity investment was in place, as Zagrebačka Banka received binding offer approved by the Bank’s Management Board and a Sale and Purchase Agreement has been signed with the potential buyer. As at 31 December 2021 the Group, on the basis of the above, has presented assets and liabilities resulting from consolidation of the company as held for sale. For further information on the sale, refer to the paragraph “Subsequent events” of this Consolidated report on operations. Early redemption of notes for €1 billion On 28 July 2021 UniCredit announced the early redemption of notes, issued on 10 September 2014 (ISIN XS1107890847) for €1 billion, in accordance with the relevant Terms and Conditions of the notes themselves. UniCredit S.p.A. exercised its option to early redeem in whole the notes on 10 September 2021 (the first call date). The early redemption of the issue was at par, together with accrued and unpaid interests. The interests ceased to accrue on the same first call date. Potential transfer of a defined perimeter of Banca Monte dei Paschi di Siena S.p.A. (“MPS”) On 29 July 2021 UniCredit S.p.A. and the Ministry of Economy and Finance ("MEF") of the Republic of Italy, the majority shareholder of MPS, announced having approved the prerequisites for a potential transaction involving the commercial operations of MPS with a carefully defined perimeter and appropriate risk mitigation. Despite the effort from both sides, on 24 October 2021 UniCredit and the MEF announced that the negotiations had been terminated. 2021 EBA EU-wide Stress test results UniCredit was subject to the 2021 EU-wide stress test conducted by the European Banking Authority (EBA), in cooperation with the Single Supervisory Mechanism (SSM), the European Central Bank (ECB), and the European Systemic Risk Board (ESRB). The stress test has been carried out applying a static balance sheet assumption as of December 2020 and therefore does not take into account future business strategies and management actions. On 30 July 2021 UniCredit noted the announcements made by the EBA and the ECB on the EU-wide stress test. The UniCredit results were the following: • baseline scenario: - 2023 fully loaded CET1r at 15.66% corresponding to 52bps higher than fully loaded CET1r as of December 2020; - 2023 transitional CET1r at 15.80% corresponding to 16bps lower than transitional CET1r as of December 2020; • adverse scenario: - 2023 fully loaded CET1r at 9.22% corresponding to 592bps lower than fully loaded CET1r as of December 2020; - 2023 transitional CET1r at 9.59%, corresponding to 637bps lower than transitional CET1r as of December 2020. Placement of the first retail Social Bond On 29 September 2021 UniCredit S.p.A. launched the public offering of the first bond loan - Senior Preferred Retail Social Bond - to finance projects with social aims and impacts. The bond, initially distributable for an amount of €110 million, envisaged the possibility of increasing, based on requests, up to €250 million. Consolidated report on operations Other information 114 2021 Annual Report and Accounts · UniCredit Issue of €750 million Additional Tier 1 PerpNC 6/2028 Notes (AT1) On 30 June 2021 UniCredit S.p.A. placed an issue of Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes - Additional Tier 1, with settlement date 7 July 2021, for a total amount of €750 million targeted to institutional investors. For further details on the issue, refer to paragraphs “Capital strengthening” of this Consolidated report on operations. Sale of equity investment in Optima Telekom As at 30 June 2021 the Group held, through Zagrebačka Banka, a 36.9% equity investment in Optima Telekom, a telecommunication company in Croatia. Such equity investment was classified as other financial assets mandatorily at fair value, by virtue of an agreement signed in 2014, according to which Zagrebačka Banka transferred its management rights to Hrvatski Telekom, which obtained the control of Optima Telekom. On 9 July 2021, consequently to the Croatian Competition Agency's decision, the above-mentioned agreement was terminated. Upon termination, the transfer of the management to Hrvatski Telekom was terminated as well. Consequentially, Zagrebačka Banka was entitled to exercise its rights from 36.9% shareholding. Despite not having the full voting majority, the dispersion of other shareholders allowed Zagrebačka Banka to have the de-facto control over Optima Telekom and therefore Optima was consolidated in financial statements. In this regard, it should be noted that a sale process of this equity investment was in place, as Zagrebačka Banka received binding offer approved by the Bank’s Management Board and a Sale and Purchase Agreement has been signed with the potential buyer. As at 31 December 2021 the Group, on the basis of the above, has presented assets and liabilities resulting from consolidation of the company as held for sale. For further information on the sale, refer to the paragraph “Subsequent events” of this Consolidated report on operations. Early redemption of notes for €1 billion On 28 July 2021 UniCredit announced the early redemption of notes, issued on 10 September 2014 (ISIN XS1107890847) for €1 billion, in accordance with the relevant Terms and Conditions of the notes themselves. UniCredit S.p.A. exercised its option to early redeem in whole the notes on 10 September 2021 (the first call date). The early redemption of the issue was at par, together with accrued and unpaid interests. The interests ceased to accrue on the same first call date. Potential transfer of a defined perimeter of Banca Monte dei Paschi di Siena S.p.A. (“MPS”) On 29 July 2021 UniCredit S.p.A. and the Ministry of Economy and Finance ("MEF") of the Republic of Italy, the majority shareholder of MPS, announced having approved the prerequisites for a potential transaction involving the commercial operations of MPS with a carefully defined perimeter and appropriate risk mitigation. Despite the effort from both sides, on 24 October 2021 UniCredit and the MEF announced that the negotiations had been terminated. 2021 EBA EU-wide Stress test results UniCredit was subject to the 2021 EU-wide stress test conducted by the European Banking Authority (EBA), in cooperation with the Single Supervisory Mechanism (SSM), the European Central Bank (ECB), and the European Systemic Risk Board (ESRB). The stress test has been carried out applying a static balance sheet assumption as of December 2020 and therefore does not take into account future business strategies and management actions. On 30 July 2021 UniCredit noted the announcements made by the EBA and the ECB on the EU-wide stress test. The UniCredit results were the following: • baseline scenario: - 2023 fully loaded CET1r at 15.66% corresponding to 52bps higher than fully loaded CET1r as of December 2020; - 2023 transitional CET1r at 15.80% corresponding to 16bps lower than transitional CET1r as of December 2020; • adverse scenario: - 2023 fully loaded CET1r at 9.22% corresponding to 592bps lower than fully loaded CET1r as of December 2020; - 2023 transitional CET1r at 9.59%, corresponding to 637bps lower than transitional CET1r as of December 2020. Placement of the first retail Social Bond On 29 September 2021 UniCredit S.p.A. launched the public offering of the first bond loan - Senior Preferred Retail Social Bond - to finance projects with social aims and impacts. The bond, initially distributable for an amount of €110 million, envisaged the possibility of increasing, based on requests, up to €250 million. Consolidated report on operations Other information 114 2021 Annual Report and Accounts · UniCredit Issue of €750 million Additional Tier 1 PerpNC 6/2028 Notes (AT1) On 30 June 2021 UniCredit S.p.A. placed an issue of Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes - Additional Tier 1, with settlement date 7 July 2021, for a total amount of €750 million targeted to institutional investors. For further details on the issue, refer to paragraphs “Capital strengthening” of this Consolidated report on operations. Sale of equity investment in Optima Telekom As at 30 June 2021 the Group held, through Zagrebačka Banka, a 36.9% equity investment in Optima Telekom, a telecommunication company in Croatia. Such equity investment was classified as other financial assets mandatorily at fair value, by virtue of an agreement signed in 2014, according to which Zagrebačka Banka transferred its management rights to Hrvatski Telekom, which obtained the control of Optima Telekom. On 9 July 2021, consequently to the Croatian Competition Agency's decision, the above-mentioned agreement was terminated. Upon termination, the transfer of the management to Hrvatski Telekom was terminated as well. Consequentially, Zagrebačka Banka was entitled to exercise its rights from 36.9% shareholding. Despite not having the full voting majority, the dispersion of other shareholders allowed Zagrebačka Banka to have the de-facto control over Optima Telekom and therefore Optima was consolidated in financial statements. In this regard, it should be noted that a sale process of this equity investment was in place, as Zagrebačka Banka received binding offer approved by the Bank’s Management Board and a Sale and Purchase Agreement has been signed with the potential buyer. As at 31 December 2021 the Group, on the basis of the above, has presented assets and liabilities resulting from consolidation of the company as held for sale. For further information on the sale, refer to the paragraph “Subsequent events” of this Consolidated report on operations. Early redemption of notes for €1 billion On 28 July 2021 UniCredit announced the early redemption of notes, issued on 10 September 2014 (ISIN XS1107890847) for €1 billion, in accordance with the relevant Terms and Conditions of the notes themselves. UniCredit S.p.A. exercised its option to early redeem in whole the notes on 10 September 2021 (the first call date). The early redemption of the issue was at par, together with accrued and unpaid interests. The interests ceased to accrue on the same first call date. Potential transfer of a defined perimeter of Banca Monte dei Paschi di Siena S.p.A. (“MPS”) On 29 July 2021 UniCredit S.p.A. and the Ministry of Economy and Finance ("MEF") of the Republic of Italy, the majority shareholder of MPS, announced having approved the prerequisites for a potential transaction involving the commercial operations of MPS with a carefully defined perimeter and appropriate risk mitigation. Despite the effort from both sides, on 24 October 2021 UniCredit and the MEF announced that the negotiations had been terminated. 2021 EBA EU-wide Stress test results UniCredit was subject to the 2021 EU-wide stress test conducted by the European Banking Authority (EBA), in cooperation with the Single Supervisory Mechanism (SSM), the European Central Bank (ECB), and the European Systemic Risk Board (ESRB). The stress test has been carried out applying a static balance sheet assumption as of December 2020 and therefore does not take into account future business strategies and management actions. On 30 July 2021 UniCredit noted the announcements made by the EBA and the ECB on the EU-wide stress test. The UniCredit results were the following: • baseline scenario: - 2023 fully loaded CET1r at 15.66% corresponding to 52bps higher than fully loaded CET1r as of December 2020; - 2023 transitional CET1r at 15.80% corresponding to 16bps lower than transitional CET1r as of December 2020; • adverse scenario: - 2023 fully loaded CET1r at 9.22% corresponding to 592bps lower than fully loaded CET1r as of December 2020; - 2023 transitional CET1r at 9.59%, corresponding to 637bps lower than transitional CET1r as of December 2020. Placement of the first retail Social Bond On 29 September 2021 UniCredit S.p.A. launched the public offering of the first bond loan - Senior Preferred Retail Social Bond - to finance projects with social aims and impacts. The bond, initially distributable for an amount of €110 million, envisaged the possibility of increasing, based on requests, up to €250 million. Consolidated report on operations Other information 114 2021 Annual Report and Accounts · UniCredit Issue of €750 million Additional Tier 1 PerpNC 6/2028 Notes (AT1) On 30 June 2021 UniCredit S.p.A. placed an issue of Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes - Additional Tier 1, with settlement date 7 July 2021, for a total amount of €750 million targeted to institutional investors. For further details on the issue, refer to paragraphs “Capital strengthening” of this Consolidated report on operations. Sale of equity investment in Optima Telekom As at 30 June 2021 the Group held, through Zagrebačka Banka, a 36.9% equity investment in Optima Telekom, a telecommunication company in Croatia. Such equity investment was classified as other financial assets mandatorily at fair value, by virtue of an agreement signed in 2014, according to which Zagrebačka Banka transferred its management rights to Hrvatski Telekom, which obtained the control of Optima Telekom. On 9 July 2021, consequently to the Croatian Competition Agency's decision, the above-mentioned agreement was terminated. Upon termination, the transfer of the management to Hrvatski Telekom was terminated as well. Consequentially, Zagrebačka Banka was entitled to exercise its rights from 36.9% shareholding. Despite not having the full voting majority, the dispersion of other shareholders allowed Zagrebačka Banka to have the de-facto control over Optima Telekom and therefore Optima was consolidated in financial statements. In this regard, it should be noted that a sale process of this equity investment was in place, as Zagrebačka Banka received binding offer approved by the Bank’s Management Board and a Sale and Purchase Agreement has been signed with the potential buyer. As at 31 December 2021 the Group, on the basis of the above, has presented assets and liabilities resulting from consolidation of the company as held for sale. For further information on the sale, refer to the paragraph “Subsequent events” of this Consolidated report on operations. Early redemption of notes for €1 billion On 28 July 2021 UniCredit announced the early redemption of notes, issued on 10 September 2014 (ISIN XS1107890847) for €1 billion, in accordance with the relevant Terms and Conditions of the notes themselves. UniCredit S.p.A. exercised its option to early redeem in whole the notes on 10 September 2021 (the first call date). The early redemption of the issue was at par, together with accrued and unpaid interests. The interests ceased to accrue on the same first call date. Potential transfer of a defined perimeter of Banca Monte dei Paschi di Siena S.p.A. (“MPS”) On 29 July 2021 UniCredit S.p.A. and the Ministry of Economy and Finance ("MEF") of the Republic of Italy, the majority shareholder of MPS, announced having approved the prerequisites for a potential transaction involving the commercial operations of MPS with a carefully defined perimeter and appropriate risk mitigation. Despite the effort from both sides, on 24 October 2021 UniCredit and the MEF announced that the negotiations had been terminated. 2021 EBA EU-wide Stress test results UniCredit was subject to the 2021 EU-wide stress test conducted by the European Banking Authority (EBA), in cooperation with the Single Supervisory Mechanism (SSM), the European Central Bank (ECB), and the European Systemic Risk Board (ESRB). The stress test has been carried out applying a static balance sheet assumption as of December 2020 and therefore does not take into account future business strategies and management actions. On 30 July 2021 UniCredit noted the announcements made by the EBA and the ECB on the EU-wide stress test. The UniCredit results were the following: • baseline scenario: - 2023 fully loaded CET1r at 15.66% corresponding to 52bps higher than fully loaded CET1r as of December 2020; - 2023 transitional CET1r at 15.80% corresponding to 16bps lower than transitional CET1r as of December 2020; • adverse scenario: - 2023 fully loaded CET1r at 9.22% corresponding to 592bps lower than fully loaded CET1r as of December 2020; - 2023 transitional CET1r at 9.59%, corresponding to 637bps lower than transitional CET1r as of December 2020. Placement of the first retail Social Bond On 29 September 2021 UniCredit S.p.A. launched the public offering of the first bond loan - Senior Preferred Retail Social Bond - to finance projects with social aims and impacts. The bond, initially distributable for an amount of €110 million, envisaged the possibility of increasing, based on requests, up to €250 million. Consolidated report on operations Other information 114 2021 Annual Report and Accounts · UniCredit Issue of €750 million Additional Tier 1 PerpNC 6/2028 Notes (AT1) On 30 June 2021 UniCredit S.p.A. placed an issue of Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes - Additional Tier 1, with settlement date 7 July 2021, for a total amount of €750 million targeted to institutional investors. For further details on the issue, refer to paragraphs “Capital strengthening” of this Consolidated report on operations. Sale of equity investment in Optima Telekom As at 30 June 2021 the Group held, through Zagrebačka Banka, a 36.9% equity investment in Optima Telekom, a telecommunication company in Croatia. Such equity investment was classified as other financial assets mandatorily at fair value, by virtue of an agreement signed in 2014, according to which Zagrebačka Banka transferred its management rights to Hrvatski Telekom, which obtained the control of Optima Telekom. On 9 July 2021, consequently to the Croatian Competition Agency's decision, the above-mentioned agreement was terminated. Upon termination, the transfer of the management to Hrvatski Telekom was terminated as well. Consequentially, Zagrebačka Banka was entitled to exercise its rights from 36.9% shareholding. Despite not having the full voting majority, the dispersion of other shareholders allowed Zagrebačka Banka to have the de-facto control over Optima Telekom and therefore Optima was consolidated in financial statements. In this regard, it should be noted that a sale process of this equity investment was in place, as Zagrebačka Banka received binding offer approved by the Bank’s Management Board and a Sale and Purchase Agreement has been signed with the potential buyer. As at 31 December 2021 the Group, on the basis of the above, has presented assets and liabilities resulting from consolidation of the company as held for sale. For further information on the sale, refer to the paragraph “Subsequent events” of this Consolidated report on operations. Early redemption of notes for €1 billion On 28 July 2021 UniCredit announced the early redemption of notes, issued on 10 September 2014 (ISIN XS1107890847) for €1 billion, in accordance with the relevant Terms and Conditions of the notes themselves. UniCredit S.p.A. exercised its option to early redeem in whole the notes on 10 September 2021 (the first call date). The early redemption of the issue was at par, together with accrued and unpaid interests. The interests ceased to accrue on the same first call date. Potential transfer of a defined perimeter of Banca Monte dei Paschi di Siena S.p.A. (“MPS”) On 29 July 2021 UniCredit S.p.A. and the Ministry of Economy and Finance ("MEF") of the Republic of Italy, the majority shareholder of MPS, announced having approved the prerequisites for a potential transaction involving the commercial operations of MPS with a carefully defined perimeter and appropriate risk mitigation. Despite the effort from both sides, on 24 October 2021 UniCredit and the MEF announced that the negotiations had been terminated. 2021 EBA EU-wide Stress test results UniCredit was subject to the 2021 EU-wide stress test conducted by the European Banking Authority (EBA), in cooperation with the Single Supervisory Mechanism (SSM), the European Central Bank (ECB), and the European Systemic Risk Board (ESRB). The stress test has been carried out applying a static balance sheet assumption as of December 2020 and therefore does not take into account future business strategies and management actions. On 30 July 2021 UniCredit noted the announcements made by the EBA and the ECB on the EU-wide stress test. The UniCredit results were the following: • baseline scenario: - 2023 fully loaded CET1r at 15.66% corresponding to 52bps higher than fully loaded CET1r as of December 2020; - 2023 transitional CET1r at 15.80% corresponding to 16bps lower than transitional CET1r as of December 2020; • adverse scenario: - 2023 fully loaded CET1r at 9.22% corresponding to 592bps lower than fully loaded CET1r as of December 2020; - 2023 transitional CET1r at 9.59%, corresponding to 637bps lower than transitional CET1r as of December 2020. Placement of the first retail Social Bond On 29 September 2021 UniCredit S.p.A. launched the public offering of the first bond loan - Senior Preferred Retail Social Bond - to finance projects with social aims and impacts. The bond, initially distributable for an amount of €110 million, envisaged the possibility of increasing, based on requests, up to €250 million. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 115 The issue took place at par for a total amount of €155 million and will have a ten-year duration with a variable coupon equal to Euribor 3 months + 0.35% with a minimum of 0.65% and a maximum of 2.00% per year, paid on a quarterly basis10. The first social bond was issued as part of the Sustainability Bond Framework, which the bank has recently developed. It allows the main issuing companies of the Group, including UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria, to issue green, social and sustainability bonds which will henceforth be a recurring part of the Group's funding activity. The Sustainability Bond Framework is in line with the 2021 version of the Green and Social Bond Principles and the Sustainability Bond Guidelines of the International Capital Market Association (ICMA). The destination of the proceeds and the social benefits deriving from the financed projects will be monitored annually and UniCredit will provide information on their development through dedicated performance indicators within specific "allocation reports" and "impact reports". Establishment of the new Advisory Board Italy On 19 October 2021, the new Advisory Board Italy of UniCredit S.p.A., composed of 15 members and chaired by Niccolò Ubertalli, head of UniCredit Italia, was established. At the same time, the 7 new Territorial Advisory Boards took office, one for each Region through which UniCredit Italia operates in the territories. The Advisory Boards (AdBs) are advisory bodies created with the aim of strengthening knowledge of individual territories, relevant sectors and local social issues, providing a positive contribution to business development in the areas of their competence. The AdBs will therefore represent a tool for comparison on national and territorial dynamics, a laboratory in which to experiment shared projects between the Bank and the country's representatives, will contribute to the sustainable development of the business and the territories, finally offering support for the definition of the Bank's territorial development plans. Fitch affirmed UniCredit S.p.A.'s ratings and later upgraded them On 20 October 2021 the Rating Agency Fitch Ratings affirmed UniCredit S.p.A.'s “BBB-” Long-Term Issuer Default Rating (“IDR”), the “F3” Short-Term Rating and the “bbb-” Viability Rating (i.e. standalone rating). The outlook has been affirmed at “stable”. SNP, Tier2 and AT1 ratings have been affirmed as well. On 17 December 2021 the rating agency Fitch Ratings upgraded UniCredit S.p.A.'s Long-Term Issuer Default Rating (“IDR”) to “BBB” from “BBB-”. The outlook was affirmed at stable. The Short-Term Rating and the Viability Rating, have been upgraded to “F2” from “F3” and to “bbb” from “bbb-”, respectively. Instruments ratings have been updated in line with the rating action, with the Senior Non Preferred rating now at “BBB-”. 2021 EU-wide Transparency Exercise On 3 December 2021 UniCredit S.p.A. notes the announcements made today by the European Banking Authority (EBA) and the European Central Bank (ECB) regarding the information of the 2021 EU-wide Transparency Exercise and fulfilment of the EBA Board of Supervisors' decision. “UniCredit Unlocked” 2022-2024 Strategic Plan presentation On 9 December 2021 UniCredit S.p.A. outlined a new strategic plan for 2022-2024, which optimises the Group and builds a clear long-term programme. UniCredit Unlocked delivers strategic imperatives and financial ambitions for the details of which refer to paragraph “Main results and performance for the period, Introduction” of this Consolidated report on operations. Transaction with EIB (European Investment Bank) risk sharing guarantee On 13 December 2021 UniCredit S.p.A. announced the finalization of a €15 million loan, with a duration of 6 years, to Fontana Pietro S.p.A., a company specializing in the activity of engineering, molds’ construction of and bodyworks’ production and design furniture in aluminum, assisted by an EIB risk sharing guarantee on 75% of the amount. Early redemption of notes for €750 million On 14 December 2021 UniCredit S.p.A. announced the early redemption, on 3 January 2022, of notes for €750 million issued on 3 June 2016 (ISIN XS1426039696), in accordance with terms and conditions of the notes themselves. The early redemption of the Notes will be at par, together with accrued and unpaid interests. The interests shall cease to accrue on the Optional redemption date. 10 Minimum investment lot of €10,000 with multiples of €10,000. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 115 The issue took place at par for a total amount of €155 million and will have a ten-year duration with a variable coupon equal to Euribor 3 months + 0.35% with a minimum of 0.65% and a maximum of 2.00% per year, paid on a quarterly basis10. The first social bond was issued as part of the Sustainability Bond Framework, which the bank has recently developed. It allows the main issuing companies of the Group, including UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria, to issue green, social and sustainability bonds which will henceforth be a recurring part of the Group's funding activity. The Sustainability Bond Framework is in line with the 2021 version of the Green and Social Bond Principles and the Sustainability Bond Guidelines of the International Capital Market Association (ICMA). The destination of the proceeds and the social benefits deriving from the financed projects will be monitored annually and UniCredit will provide information on their development through dedicated performance indicators within specific "allocation reports" and "impact reports". Establishment of the new Advisory Board Italy On 19 October 2021, the new Advisory Board Italy of UniCredit S.p.A., composed of 15 members and chaired by Niccolò Ubertalli, head of UniCredit Italia, was established. At the same time, the 7 new Territorial Advisory Boards took office, one for each Region through which UniCredit Italia operates in the territories. The Advisory Boards (AdBs) are advisory bodies created with the aim of strengthening knowledge of individual territories, relevant sectors and local social issues, providing a positive contribution to business development in the areas of their competence. The AdBs will therefore represent a tool for comparison on national and territorial dynamics, a laboratory in which to experiment shared projects between the Bank and the country's representatives, will contribute to the sustainable development of the business and the territories, finally offering support for the definition of the Bank's territorial development plans. Fitch affirmed UniCredit S.p.A.'s ratings and later upgraded them On 20 October 2021 the Rating Agency Fitch Ratings affirmed UniCredit S.p.A.'s “BBB-” Long-Term Issuer Default Rating (“IDR”), the “F3” Short-Term Rating and the “bbb-” Viability Rating (i.e. standalone rating). The outlook has been affirmed at “stable”. SNP, Tier2 and AT1 ratings have been affirmed as well. On 17 December 2021 the rating agency Fitch Ratings upgraded UniCredit S.p.A.'s Long-Term Issuer Default Rating (“IDR”) to “BBB” from “BBB-”. The outlook was affirmed at stable. The Short-Term Rating and the Viability Rating, have been upgraded to “F2” from “F3” and to “bbb” from “bbb-”, respectively. Instruments ratings have been updated in line with the rating action, with the Senior Non Preferred rating now at “BBB-”. 2021 EU-wide Transparency Exercise On 3 December 2021 UniCredit S.p.A. notes the announcements made today by the European Banking Authority (EBA) and the European Central Bank (ECB) regarding the information of the 2021 EU-wide Transparency Exercise and fulfilment of the EBA Board of Supervisors' decision. “UniCredit Unlocked” 2022-2024 Strategic Plan presentation On 9 December 2021 UniCredit S.p.A. outlined a new strategic plan for 2022-2024, which optimises the Group and builds a clear long-term programme. UniCredit Unlocked delivers strategic imperatives and financial ambitions for the details of which refer to paragraph “Main results and performance for the period, Introduction” of this Consolidated report on operations. Transaction with EIB (European Investment Bank) risk sharing guarantee On 13 December 2021 UniCredit S.p.A. announced the finalization of a €15 million loan, with a duration of 6 years, to Fontana Pietro S.p.A., a company specializing in the activity of engineering, molds’ construction of and bodyworks’ production and design furniture in aluminum, assisted by an EIB risk sharing guarantee on 75% of the amount. Early redemption of notes for €750 million On 14 December 2021 UniCredit S.p.A. announced the early redemption, on 3 January 2022, of notes for €750 million issued on 3 June 2016 (ISIN XS1426039696), in accordance with terms and conditions of the notes themselves. The early redemption of the Notes will be at par, together with accrued and unpaid interests. The interests shall cease to accrue on the Optional redemption date. 10 Minimum investment lot of €10,000 with multiples of €10,000. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 115 The issue took place at par for a total amount of €155 million and will have a ten-year duration with a variable coupon equal to Euribor 3 months + 0.35% with a minimum of 0.65% and a maximum of 2.00% per year, paid on a quarterly basis10. The first social bond was issued as part of the Sustainability Bond Framework, which the bank has recently developed. It allows the main issuing companies of the Group, including UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria, to issue green, social and sustainability bonds which will henceforth be a recurring part of the Group's funding activity. The Sustainability Bond Framework is in line with the 2021 version of the Green and Social Bond Principles and the Sustainability Bond Guidelines of the International Capital Market Association (ICMA). The destination of the proceeds and the social benefits deriving from the financed projects will be monitored annually and UniCredit will provide information on their development through dedicated performance indicators within specific "allocation reports" and "impact reports". Establishment of the new Advisory Board Italy On 19 October 2021, the new Advisory Board Italy of UniCredit S.p.A., composed of 15 members and chaired by Niccolò Ubertalli, head of UniCredit Italia, was established. At the same time, the 7 new Territorial Advisory Boards took office, one for each Region through which UniCredit Italia operates in the territories. The Advisory Boards (AdBs) are advisory bodies created with the aim of strengthening knowledge of individual territories, relevant sectors and local social issues, providing a positive contribution to business development in the areas of their competence. The AdBs will therefore represent a tool for comparison on national and territorial dynamics, a laboratory in which to experiment shared projects between the Bank and the country's representatives, will contribute to the sustainable development of the business and the territories, finally offering support for the definition of the Bank's territorial development plans. Fitch affirmed UniCredit S.p.A.'s ratings and later upgraded them On 20 October 2021 the Rating Agency Fitch Ratings affirmed UniCredit S.p.A.'s “BBB-” Long-Term Issuer Default Rating (“IDR”), the “F3” Short-Term Rating and the “bbb-” Viability Rating (i.e. standalone rating). The outlook has been affirmed at “stable”. SNP, Tier2 and AT1 ratings have been affirmed as well. On 17 December 2021 the rating agency Fitch Ratings upgraded UniCredit S.p.A.'s Long-Term Issuer Default Rating (“IDR”) to “BBB” from “BBB-”. The outlook was affirmed at stable. The Short-Term Rating and the Viability Rating, have been upgraded to “F2” from “F3” and to “bbb” from “bbb-”, respectively. Instruments ratings have been updated in line with the rating action, with the Senior Non Preferred rating now at “BBB-”. 2021 EU-wide Transparency Exercise On 3 December 2021 UniCredit S.p.A. notes the announcements made today by the European Banking Authority (EBA) and the European Central Bank (ECB) regarding the information of the 2021 EU-wide Transparency Exercise and fulfilment of the EBA Board of Supervisors' decision. “UniCredit Unlocked” 2022-2024 Strategic Plan presentation On 9 December 2021 UniCredit S.p.A. outlined a new strategic plan for 2022-2024, which optimises the Group and builds a clear long-term programme. UniCredit Unlocked delivers strategic imperatives and financial ambitions for the details of which refer to paragraph “Main results and performance for the period, Introduction” of this Consolidated report on operations. Transaction with EIB (European Investment Bank) risk sharing guarantee On 13 December 2021 UniCredit S.p.A. announced the finalization of a €15 million loan, with a duration of 6 years, to Fontana Pietro S.p.A., a company specializing in the activity of engineering, molds’ construction of and bodyworks’ production and design furniture in aluminum, assisted by an EIB risk sharing guarantee on 75% of the amount. Early redemption of notes for €750 million On 14 December 2021 UniCredit S.p.A. announced the early redemption, on 3 January 2022, of notes for €750 million issued on 3 June 2016 (ISIN XS1426039696), in accordance with terms and conditions of the notes themselves. The early redemption of the Notes will be at par, together with accrued and unpaid interests. The interests shall cease to accrue on the Optional redemption date. 10 Minimum investment lot of €10,000 with multiples of €10,000. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 115 The issue took place at par for a total amount of €155 million and will have a ten-year duration with a variable coupon equal to Euribor 3 months + 0.35% with a minimum of 0.65% and a maximum of 2.00% per year, paid on a quarterly basis10. The first social bond was issued as part of the Sustainability Bond Framework, which the bank has recently developed. It allows the main issuing companies of the Group, including UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria, to issue green, social and sustainability bonds which will henceforth be a recurring part of the Group's funding activity. The Sustainability Bond Framework is in line with the 2021 version of the Green and Social Bond Principles and the Sustainability Bond Guidelines of the International Capital Market Association (ICMA). The destination of the proceeds and the social benefits deriving from the financed projects will be monitored annually and UniCredit will provide information on their development through dedicated performance indicators within specific "allocation reports" and "impact reports". Establishment of the new Advisory Board Italy On 19 October 2021, the new Advisory Board Italy of UniCredit S.p.A., composed of 15 members and chaired by Niccolò Ubertalli, head of UniCredit Italia, was established. At the same time, the 7 new Territorial Advisory Boards took office, one for each Region through which UniCredit Italia operates in the territories. The Advisory Boards (AdBs) are advisory bodies created with the aim of strengthening knowledge of individual territories, relevant sectors and local social issues, providing a positive contribution to business development in the areas of their competence. The AdBs will therefore represent a tool for comparison on national and territorial dynamics, a laboratory in which to experiment shared projects between the Bank and the country's representatives, will contribute to the sustainable development of the business and the territories, finally offering support for the definition of the Bank's territorial development plans. Fitch affirmed UniCredit S.p.A.'s ratings and later upgraded them On 20 October 2021 the Rating Agency Fitch Ratings affirmed UniCredit S.p.A.'s “BBB-” Long-Term Issuer Default Rating (“IDR”), the “F3” Short-Term Rating and the “bbb-” Viability Rating (i.e. standalone rating). The outlook has been affirmed at “stable”. SNP, Tier2 and AT1 ratings have been affirmed as well. On 17 December 2021 the rating agency Fitch Ratings upgraded UniCredit S.p.A.'s Long-Term Issuer Default Rating (“IDR”) to “BBB” from “BBB-”. The outlook was affirmed at stable. The Short-Term Rating and the Viability Rating, have been upgraded to “F2” from “F3” and to “bbb” from “bbb-”, respectively. Instruments ratings have been updated in line with the rating action, with the Senior Non Preferred rating now at “BBB-”. 2021 EU-wide Transparency Exercise On 3 December 2021 UniCredit S.p.A. notes the announcements made today by the European Banking Authority (EBA) and the European Central Bank (ECB) regarding the information of the 2021 EU-wide Transparency Exercise and fulfilment of the EBA Board of Supervisors' decision. “UniCredit Unlocked” 2022-2024 Strategic Plan presentation On 9 December 2021 UniCredit S.p.A. outlined a new strategic plan for 2022-2024, which optimises the Group and builds a clear long-term programme. UniCredit Unlocked delivers strategic imperatives and financial ambitions for the details of which refer to paragraph “Main results and performance for the period, Introduction” of this Consolidated report on operations. Transaction with EIB (European Investment Bank) risk sharing guarantee On 13 December 2021 UniCredit S.p.A. announced the finalization of a €15 million loan, with a duration of 6 years, to Fontana Pietro S.p.A., a company specializing in the activity of engineering, molds’ construction of and bodyworks’ production and design furniture in aluminum, assisted by an EIB risk sharing guarantee on 75% of the amount. Early redemption of notes for €750 million On 14 December 2021 UniCredit S.p.A. announced the early redemption, on 3 January 2022, of notes for €750 million issued on 3 June 2016 (ISIN XS1426039696), in accordance with terms and conditions of the notes themselves. The early redemption of the Notes will be at par, together with accrued and unpaid interests. The interests shall cease to accrue on the Optional redemption date. 10 Minimum investment lot of €10,000 with multiples of €10,000. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 115 The issue took place at par for a total amount of €155 million and will have a ten-year duration with a variable coupon equal to Euribor 3 months + 0.35% with a minimum of 0.65% and a maximum of 2.00% per year, paid on a quarterly basis10. The first social bond was issued as part of the Sustainability Bond Framework, which the bank has recently developed. It allows the main issuing companies of the Group, including UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria, to issue green, social and sustainability bonds which will henceforth be a recurring part of the Group's funding activity. The Sustainability Bond Framework is in line with the 2021 version of the Green and Social Bond Principles and the Sustainability Bond Guidelines of the International Capital Market Association (ICMA). The destination of the proceeds and the social benefits deriving from the financed projects will be monitored annually and UniCredit will provide information on their development through dedicated performance indicators within specific "allocation reports" and "impact reports". Establishment of the new Advisory Board Italy On 19 October 2021, the new Advisory Board Italy of UniCredit S.p.A., composed of 15 members and chaired by Niccolò Ubertalli, head of UniCredit Italia, was established. At the same time, the 7 new Territorial Advisory Boards took office, one for each Region through which UniCredit Italia operates in the territories. The Advisory Boards (AdBs) are advisory bodies created with the aim of strengthening knowledge of individual territories, relevant sectors and local social issues, providing a positive contribution to business development in the areas of their competence. The AdBs will therefore represent a tool for comparison on national and territorial dynamics, a laboratory in which to experiment shared projects between the Bank and the country's representatives, will contribute to the sustainable development of the business and the territories, finally offering support for the definition of the Bank's territorial development plans. Fitch affirmed UniCredit S.p.A.'s ratings and later upgraded them On 20 October 2021 the Rating Agency Fitch Ratings affirmed UniCredit S.p.A.'s “BBB-” Long-Term Issuer Default Rating (“IDR”), the “F3” Short-Term Rating and the “bbb-” Viability Rating (i.e. standalone rating). The outlook has been affirmed at “stable”. SNP, Tier2 and AT1 ratings have been affirmed as well. On 17 December 2021 the rating agency Fitch Ratings upgraded UniCredit S.p.A.'s Long-Term Issuer Default Rating (“IDR”) to “BBB” from “BBB-”. The outlook was affirmed at stable. The Short-Term Rating and the Viability Rating, have been upgraded to “F2” from “F3” and to “bbb” from “bbb-”, respectively. Instruments ratings have been updated in line with the rating action, with the Senior Non Preferred rating now at “BBB-”. 2021 EU-wide Transparency Exercise On 3 December 2021 UniCredit S.p.A. notes the announcements made today by the European Banking Authority (EBA) and the European Central Bank (ECB) regarding the information of the 2021 EU-wide Transparency Exercise and fulfilment of the EBA Board of Supervisors' decision. “UniCredit Unlocked” 2022-2024 Strategic Plan presentation On 9 December 2021 UniCredit S.p.A. outlined a new strategic plan for 2022-2024, which optimises the Group and builds a clear long-term programme. UniCredit Unlocked delivers strategic imperatives and financial ambitions for the details of which refer to paragraph “Main results and performance for the period, Introduction” of this Consolidated report on operations. Transaction with EIB (European Investment Bank) risk sharing guarantee On 13 December 2021 UniCredit S.p.A. announced the finalization of a €15 million loan, with a duration of 6 years, to Fontana Pietro S.p.A., a company specializing in the activity of engineering, molds’ construction of and bodyworks’ production and design furniture in aluminum, assisted by an EIB risk sharing guarantee on 75% of the amount. Early redemption of notes for €750 million On 14 December 2021 UniCredit S.p.A. announced the early redemption, on 3 January 2022, of notes for €750 million issued on 3 June 2016 (ISIN XS1426039696), in accordance with terms and conditions of the notes themselves. The early redemption of the Notes will be at par, together with accrued and unpaid interests. The interests shall cease to accrue on the Optional redemption date. 10 Minimum investment lot of €10,000 with multiples of €10,000. Consolidated report on operations Other information 116 2021 Annual Report and Accounts · UniCredit Organisational model Significant organisational changes in 2021 In 2021, effective from July, the following main changes have occurred in the organizational model for UniCredit S.p.A.: • cancellation of the role of Co-CEO Western Europe, with the contextual creation of the “Italy” Division role, that includes the responsibility for the Italian perimeter; • change of the Central Europe & Eastern Europe Division, with different perimeter of Countries respectively for Central (including Austria) and Eastern geographies; • cancellation of the Head of Finance & Controls role with the contextual reallocation of responsibilities and activities; • set up of the Group Digital and Information Officer which is responsible for digitalization and data management activities as an integral part of all final products in order to optimize execution and improve the customer experience; • set up of the Group Strategy & Optimization role which supports the CEO in managing strategic initiatives, including the integration of ESG in the Group's strategy; • set up of the Group Stakeholder Engagement role, which is in charge of coordinating the overall Investor Relations process, Identity and Communications activities, developing relationships with institutional counterparties, managing the relationships with the European Banking Supervisory Authorities (e.g. EBA, ECB) and Banca d’Italia; • overall review of the Managerial Committees in order to simplify and optimize the related set up, streamlining the number of Committees and of participants, focusing on the decisional topic and processes. Effective from August, the Divisions and other Governance Functions (e.g. Competence Lines) have been further reviewed to empower the Business Divisions through the assignment of dedicated functions directly supporting the business and ensuring, at the same time, the alignment with Group initiatives in terms of targets, direction, and purpose. Organisational structure UniCredit adopts an organisational and business model that, while guaranteeing the autonomy of countries/local banks on specific activities in order to ensure greater proximity to customers and efficient decision-making processes, maintains a divisional structure for the governance of business/products, as well as global control over Digital and Operation functions. More specifically, the current organisational structure of the Holding Company can be broken down into: • Group Finance, Group Risk Management, Group Legal, Group Compliance, Group People and Culture, the Functions, identified as Competence Lines (CL), together with Internal Audit, aimed at guiding, coordinating and controlling, for their area of competence, the management of activities and related risks of the Group as a whole and of the single Legal Entities; • Italy, Germany, Central Europe & Eastern Europe: business functions, responsible for proposing and implementing the business strategies to maximize the risk adjusted value creation for the relevant perimeter, for this purpose, with reference to the related customer segments/geographies, these functions are assigned the responsibilities for marketing and service model definition as well as product development activities. Central Europe & Eastern Europe is placed under the responsibility of two “co-Heads” in charge of the countries of Central Europe and the countries of Eastern Europe, respectively Germany represents the synthesis point of the Group's business in the reference Country, maintaining an executive role at local level. Group Client Solutions supports the business functions of the Countries developing a complete range of best-in-class products for all types of customers; • Group Digital & Information Division defines and executes the Group Technology, Digital and Data related management and transformation, driving value through the capability of technology and data, embedded into digital solutions that optimize execution and improve customer experience; • Group Operations, responsible for the oversight of the operating machine with a specific focus on costs, procurement, real estate, operations performance management, corporate security, in coherence with the defined Group strategies, by ensuring at the same time synergies, savings and operational excellence; • Group Stakeholder Engagement governs the Group’s reputation and overseeing all communication activities to ensure the delivery of coordinated and consistent messages across multiple stakeholder group (investor relations, identity and communication, relationships with institutional counterparties and with the European Banking Supervisory Authorities - e.g. EBA, ECB - and Banca d’Italia); • Group Strategy & Optimization, responsible for supporting strategic initiatives, including the integration of ESG into the Group's strategy. The Group Strategy and Optimisation and Group Stakeholder Engagement functions represent the “CEO Office” aimed at supporting CEO in the development and implementation of strategic initiatives. Consolidated report on operations Other information 116 2021 Annual Report and Accounts · UniCredit Organisational model Significant organisational changes in 2021 In 2021, effective from July, the following main changes have occurred in the organizational model for UniCredit S.p.A.: • cancellation of the role of Co-CEO Western Europe, with the contextual creation of the “Italy” Division role, that includes the responsibility for the Italian perimeter; • change of the Central Europe & Eastern Europe Division, with different perimeter of Countries respectively for Central (including Austria) and Eastern geographies; • cancellation of the Head of Finance & Controls role with the contextual reallocation of responsibilities and activities; • set up of the Group Digital and Information Officer which is responsible for digitalization and data management activities as an integral part of all final products in order to optimize execution and improve the customer experience; • set up of the Group Strategy & Optimization role which supports the CEO in managing strategic initiatives, including the integration of ESG in the Group's strategy; • set up of the Group Stakeholder Engagement role, which is in charge of coordinating the overall Investor Relations process, Identity and Communications activities, developing relationships with institutional counterparties, managing the relationships with the European Banking Supervisory Authorities (e.g. EBA, ECB) and Banca d’Italia; • overall review of the Managerial Committees in order to simplify and optimize the related set up, streamlining the number of Committees and of participants, focusing on the decisional topic and processes. Effective from August, the Divisions and other Governance Functions (e.g. Competence Lines) have been further reviewed to empower the Business Divisions through the assignment of dedicated functions directly supporting the business and ensuring, at the same time, the alignment with Group initiatives in terms of targets, direction, and purpose. Organisational structure UniCredit adopts an organisational and business model that, while guaranteeing the autonomy of countries/local banks on specific activities in order to ensure greater proximity to customers and efficient decision-making processes, maintains a divisional structure for the governance of business/products, as well as global control over Digital and Operation functions. More specifically, the current organisational structure of the Holding Company can be broken down into: • Group Finance, Group Risk Management, Group Legal, Group Compliance, Group People and Culture, the Functions, identified as Competence Lines (CL), together with Internal Audit, aimed at guiding, coordinating and controlling, for their area of competence, the management of activities and related risks of the Group as a whole and of the single Legal Entities; • Italy, Germany, Central Europe & Eastern Europe: business functions, responsible for proposing and implementing the business strategies to maximize the risk adjusted value creation for the relevant perimeter, for this purpose, with reference to the related customer segments/geographies, these functions are assigned the responsibilities for marketing and service model definition as well as product development activities. Central Europe & Eastern Europe is placed under the responsibility of two “co-Heads” in charge of the countries of Central Europe and the countries of Eastern Europe, respectively Germany represents the synthesis point of the Group's business in the reference Country, maintaining an executive role at local level. Group Client Solutions supports the business functions of the Countries developing a complete range of best-in-class products for all types of customers; • Group Digital & Information Division defines and executes the Group Technology, Digital and Data related management and transformation, driving value through the capability of technology and data, embedded into digital solutions that optimize execution and improve customer experience; • Group Operations, responsible for the oversight of the operating machine with a specific focus on costs, procurement, real estate, operations performance management, corporate security, in coherence with the defined Group strategies, by ensuring at the same time synergies, savings and operational excellence; • Group Stakeholder Engagement governs the Group’s reputation and overseeing all communication activities to ensure the delivery of coordinated and consistent messages across multiple stakeholder group (investor relations, identity and communication, relationships with institutional counterparties and with the European Banking Supervisory Authorities - e.g. EBA, ECB - and Banca d’Italia); • Group Strategy & Optimization, responsible for supporting strategic initiatives, including the integration of ESG into the Group's strategy. The Group Strategy and Optimisation and Group Stakeholder Engagement functions represent the “CEO Office” aimed at supporting CEO in the development and implementation of strategic initiatives. Consolidated report on operations Other information 116 2021 Annual Report and Accounts · UniCredit Organisational model Significant organisational changes in 2021 In 2021, effective from July, the following main changes have occurred in the organizational model for UniCredit S.p.A.: • cancellation of the role of Co-CEO Western Europe, with the contextual creation of the “Italy” Division role, that includes the responsibility for the Italian perimeter; • change of the Central Europe & Eastern Europe Division, with different perimeter of Countries respectively for Central (including Austria) and Eastern geographies; • cancellation of the Head of Finance & Controls role with the contextual reallocation of responsibilities and activities; • set up of the Group Digital and Information Officer which is responsible for digitalization and data management activities as an integral part of all final products in order to optimize execution and improve the customer experience; • set up of the Group Strategy & Optimization role which supports the CEO in managing strategic initiatives, including the integration of ESG in the Group's strategy; • set up of the Group Stakeholder Engagement role, which is in charge of coordinating the overall Investor Relations process, Identity and Communications activities, developing relationships with institutional counterparties, managing the relationships with the European Banking Supervisory Authorities (e.g. EBA, ECB) and Banca d’Italia; • overall review of the Managerial Committees in order to simplify and optimize the related set up, streamlining the number of Committees and of participants, focusing on the decisional topic and processes. Effective from August, the Divisions and other Governance Functions (e.g. Competence Lines) have been further reviewed to empower the Business Divisions through the assignment of dedicated functions directly supporting the business and ensuring, at the same time, the alignment with Group initiatives in terms of targets, direction, and purpose. Organisational structure UniCredit adopts an organisational and business model that, while guaranteeing the autonomy of countries/local banks on specific activities in order to ensure greater proximity to customers and efficient decision-making processes, maintains a divisional structure for the governance of business/products, as well as global control over Digital and Operation functions. More specifically, the current organisational structure of the Holding Company can be broken down into: • Group Finance, Group Risk Management, Group Legal, Group Compliance, Group People and Culture, the Functions, identified as Competence Lines (CL), together with Internal Audit, aimed at guiding, coordinating and controlling, for their area of competence, the management of activities and related risks of the Group as a whole and of the single Legal Entities; • Italy, Germany, Central Europe & Eastern Europe: business functions, responsible for proposing and implementing the business strategies to maximize the risk adjusted value creation for the relevant perimeter, for this purpose, with reference to the related customer segments/geographies, these functions are assigned the responsibilities for marketing and service model definition as well as product development activities. Central Europe & Eastern Europe is placed under the responsibility of two “co-Heads” in charge of the countries of Central Europe and the countries of Eastern Europe, respectively Germany represents the synthesis point of the Group's business in the reference Country, maintaining an executive role at local level. Group Client Solutions supports the business functions of the Countries developing a complete range of best-in-class products for all types of customers; • Group Digital & Information Division defines and executes the Group Technology, Digital and Data related management and transformation, driving value through the capability of technology and data, embedded into digital solutions that optimize execution and improve customer experience; • Group Operations, responsible for the oversight of the operating machine with a specific focus on costs, procurement, real estate, operations performance management, corporate security, in coherence with the defined Group strategies, by ensuring at the same time synergies, savings and operational excellence; • Group Stakeholder Engagement governs the Group’s reputation and overseeing all communication activities to ensure the delivery of coordinated and consistent messages across multiple stakeholder group (investor relations, identity and communication, relationships with institutional counterparties and with the European Banking Supervisory Authorities - e.g. EBA, ECB - and Banca d’Italia); • Group Strategy & Optimization, responsible for supporting strategic initiatives, including the integration of ESG into the Group's strategy. The Group Strategy and Optimisation and Group Stakeholder Engagement functions represent the “CEO Office” aimed at supporting CEO in the development and implementation of strategic initiatives. Consolidated report on operations Other information 116 2021 Annual Report and Accounts · UniCredit Organisational model Significant organisational changes in 2021 In 2021, effective from July, the following main changes have occurred in the organizational model for UniCredit S.p.A.: • cancellation of the role of Co-CEO Western Europe, with the contextual creation of the “Italy” Division role, that includes the responsibility for the Italian perimeter; • change of the Central Europe & Eastern Europe Division, with different perimeter of Countries respectively for Central (including Austria) and Eastern geographies; • cancellation of the Head of Finance & Controls role with the contextual reallocation of responsibilities and activities; • set up of the Group Digital and Information Officer which is responsible for digitalization and data management activities as an integral part of all final products in order to optimize execution and improve the customer experience; • set up of the Group Strategy & Optimization role which supports the CEO in managing strategic initiatives, including the integration of ESG in the Group's strategy; • set up of the Group Stakeholder Engagement role, which is in charge of coordinating the overall Investor Relations process, Identity and Communications activities, developing relationships with institutional counterparties, managing the relationships with the European Banking Supervisory Authorities (e.g. EBA, ECB) and Banca d’Italia; • overall review of the Managerial Committees in order to simplify and optimize the related set up, streamlining the number of Committees and of participants, focusing on the decisional topic and processes. Effective from August, the Divisions and other Governance Functions (e.g. Competence Lines) have been further reviewed to empower the Business Divisions through the assignment of dedicated functions directly supporting the business and ensuring, at the same time, the alignment with Group initiatives in terms of targets, direction, and purpose. Organisational structure UniCredit adopts an organisational and business model that, while guaranteeing the autonomy of countries/local banks on specific activities in order to ensure greater proximity to customers and efficient decision-making processes, maintains a divisional structure for the governance of business/products, as well as global control over Digital and Operation functions. More specifically, the current organisational structure of the Holding Company can be broken down into: • Group Finance, Group Risk Management, Group Legal, Group Compliance, Group People and Culture, the Functions, identified as Competence Lines (CL), together with Internal Audit, aimed at guiding, coordinating and controlling, for their area of competence, the management of activities and related risks of the Group as a whole and of the single Legal Entities; • Italy, Germany, Central Europe & Eastern Europe: business functions, responsible for proposing and implementing the business strategies to maximize the risk adjusted value creation for the relevant perimeter, for this purpose, with reference to the related customer segments/geographies, these functions are assigned the responsibilities for marketing and service model definition as well as product development activities. Central Europe & Eastern Europe is placed under the responsibility of two “co-Heads” in charge of the countries of Central Europe and the countries of Eastern Europe, respectively Germany represents the synthesis point of the Group's business in the reference Country, maintaining an executive role at local level. Group Client Solutions supports the business functions of the Countries developing a complete range of best-in-class products for all types of customers; • Group Digital & Information Division defines and executes the Group Technology, Digital and Data related management and transformation, driving value through the capability of technology and data, embedded into digital solutions that optimize execution and improve customer experience; • Group Operations, responsible for the oversight of the operating machine with a specific focus on costs, procurement, real estate, operations performance management, corporate security, in coherence with the defined Group strategies, by ensuring at the same time synergies, savings and operational excellence; • Group Stakeholder Engagement governs the Group’s reputation and overseeing all communication activities to ensure the delivery of coordinated and consistent messages across multiple stakeholder group (investor relations, identity and communication, relationships with institutional counterparties and with the European Banking Supervisory Authorities - e.g. EBA, ECB - and Banca d’Italia); • Group Strategy & Optimization, responsible for supporting strategic initiatives, including the integration of ESG into the Group's strategy. The Group Strategy and Optimisation and Group Stakeholder Engagement functions represent the “CEO Office” aimed at supporting CEO in the development and implementation of strategic initiatives. Consolidated report on operations Other information 116 2021 Annual Report and Accounts · UniCredit Organisational model Significant organisational changes in 2021 In 2021, effective from July, the following main changes have occurred in the organizational model for UniCredit S.p.A.: • cancellation of the role of Co-CEO Western Europe, with the contextual creation of the “Italy” Division role, that includes the responsibility for the Italian perimeter; • change of the Central Europe & Eastern Europe Division, with different perimeter of Countries respectively for Central (including Austria) and Eastern geographies; • cancellation of the Head of Finance & Controls role with the contextual reallocation of responsibilities and activities; • set up of the Group Digital and Information Officer which is responsible for digitalization and data management activities as an integral part of all final products in order to optimize execution and improve the customer experience; • set up of the Group Strategy & Optimization role which supports the CEO in managing strategic initiatives, including the integration of ESG in the Group's strategy; • set up of the Group Stakeholder Engagement role, which is in charge of coordinating the overall Investor Relations process, Identity and Communications activities, developing relationships with institutional counterparties, managing the relationships with the European Banking Supervisory Authorities (e.g. EBA, ECB) and Banca d’Italia; • overall review of the Managerial Committees in order to simplify and optimize the related set up, streamlining the number of Committees and of participants, focusing on the decisional topic and processes. Effective from August, the Divisions and other Governance Functions (e.g. Competence Lines) have been further reviewed to empower the Business Divisions through the assignment of dedicated functions directly supporting the business and ensuring, at the same time, the alignment with Group initiatives in terms of targets, direction, and purpose. Organisational structure UniCredit adopts an organisational and business model that, while guaranteeing the autonomy of countries/local banks on specific activities in order to ensure greater proximity to customers and efficient decision-making processes, maintains a divisional structure for the governance of business/products, as well as global control over Digital and Operation functions. More specifically, the current organisational structure of the Holding Company can be broken down into: • Group Finance, Group Risk Management, Group Legal, Group Compliance, Group People and Culture, the Functions, identified as Competence Lines (CL), together with Internal Audit, aimed at guiding, coordinating and controlling, for their area of competence, the management of activities and related risks of the Group as a whole and of the single Legal Entities; • Italy, Germany, Central Europe & Eastern Europe: business functions, responsible for proposing and implementing the business strategies to maximize the risk adjusted value creation for the relevant perimeter, for this purpose, with reference to the related customer segments/geographies, these functions are assigned the responsibilities for marketing and service model definition as well as product development activities. Central Europe & Eastern Europe is placed under the responsibility of two “co-Heads” in charge of the countries of Central Europe and the countries of Eastern Europe, respectively Germany represents the synthesis point of the Group's business in the reference Country, maintaining an executive role at local level. Group Client Solutions supports the business functions of the Countries developing a complete range of best-in-class products for all types of customers; • Group Digital & Information Division defines and executes the Group Technology, Digital and Data related management and transformation, driving value through the capability of technology and data, embedded into digital solutions that optimize execution and improve customer experience; • Group Operations, responsible for the oversight of the operating machine with a specific focus on costs, procurement, real estate, operations performance management, corporate security, in coherence with the defined Group strategies, by ensuring at the same time synergies, savings and operational excellence; • Group Stakeholder Engagement governs the Group’s reputation and overseeing all communication activities to ensure the delivery of coordinated and consistent messages across multiple stakeholder group (investor relations, identity and communication, relationships with institutional counterparties and with the European Banking Supervisory Authorities - e.g. EBA, ECB - and Banca d’Italia); • Group Strategy & Optimization, responsible for supporting strategic initiatives, including the integration of ESG into the Group's strategy. The Group Strategy and Optimisation and Group Stakeholder Engagement functions represent the “CEO Office” aimed at supporting CEO in the development and implementation of strategic initiatives. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 117 Conversion of Deferred tax assets (DTAs) into tax credits Referring to financial year 2020, UniCredit S.p.A. and UniCredit Leasing S.p.A. registered a loss in their separate financial statements and in 2021 they converted respectively €383.7 and €26.4 million of Deferred Tax Assets (DTA) into tax credits (pursuant to Art.2, paragraph 55, of Law Decree No.225/2010). The Law Decree No.73 of 25 May 2021 (LD 73/2021) extended to 2021 the incentives, introduced in 2020, for Non-Performing Exposures (NPE) disposals provided by Art.44-bis Law Decree No.34/2019. Therefore, the NPE disposals to companies not belonging to UniCredit group completed by 31 December 2021 allowed the transformation in Tax Credits (TC) of Deferred Tax Assets (DTAs) deriving from (i) tax losses and (ii) ACE (so-called Aiuto alla Crescita Economica) surpluses, under the same conditions applied to the benefit in 2020. As of 31 December 2021, €110 million of DTAs were recognised into tax credits, with a correspondent positive impact on the income statement. In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European Commission in connection to the application of State Aid rules, Art.11 of Law Decree No.59/2016, converted into Law No.119/2016 (as modified by Law Decree No.237/2016, converted in to Law No.15/2017) provides for the possibility, starting from 2016 till 2030, to elect for the payment of an annual fee equal to 1.5% of an aggregate amount deriving from the difference between: • the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTAs existing as at the end of 2007, for IRES tax, and as at the end of 2012 for IRAP tax, taking into account the amounts already converted into tax credits (including those carried out pursuant to Art.44-bis Law Decree No.34/2019 as extended by Law Decree No.73/2021); • taxes: - IRES paid by tax group starting from 1 January 2008; - IRAP paid registered starting from 1 January 2013 by Legal Entities included in Tax Group with convertible DTAs; - substitute taxes that generated convertible DTAs. The fee due for financial year 2021 has been paid on 30 June 2021 for an overall amount of €104.3 million relating to the whole Italian Tax Group, of which €99.8 million for UniCredit S.p.A., €4.2 million for UniCredit Leasing S.p.A. and €0.3 million for UniCredit Factoring S.p.A. Certifications and other communications With reference to the “Rules of Markets organized and managed by Borsa Italiana S.p.A.” dated 4 January 2021 (Title 2.6 “Obligations of issuers”, Art.2.6.2. “Disclosure requirements”, paragraph 10) the satisfaction of conditions provided by article 15 of Consob Regulation No.20249/2017, letters a), b) and c) is hereby certified. With reference to paragraph 8 of Art.5 - “Public information on transactions with related parties" of Consob Regulation containing provisions relating to transactions with related parties (adopted by Consob with Resolution No.17221 of 12 March 2010, as subsequently amended by Resolution No.21624 of 10 December 2020), it should be noted that: a) according to the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” adopted by the Board of Directors of UniCredit S.p.A. on 8 June 2021, and published on the website www.unicreditgroup.eu, during 2021 the Bank’s Presidio Unico received no reports of transactions of greater importance ended in the period; b) during 2021, no transactions with related parties as defined by article 2427, paragraph 22-bis of the Civil Code were conducted, under different conditions from normal market conditions and materially affecting the Group’s financial and economic situation; c) during 2021, there were no changes or developments in the individual transactions with related parties already described in the latest annual report that had a material effect on the Group’s financial position or results during the reference period. For more information on related-party transactions refer to the paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts. Information on risks For a complete description of the risks and uncertainties that the Group must face under the current market conditions, refer to “Part E - Information on risks and hedging policies” of the Notes to the consolidated accounts. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 117 Conversion of Deferred tax assets (DTAs) into tax credits Referring to financial year 2020, UniCredit S.p.A. and UniCredit Leasing S.p.A. registered a loss in their separate financial statements and in 2021 they converted respectively €383.7 and €26.4 million of Deferred Tax Assets (DTA) into tax credits (pursuant to Art.2, paragraph 55, of Law Decree No.225/2010). The Law Decree No.73 of 25 May 2021 (LD 73/2021) extended to 2021 the incentives, introduced in 2020, for Non-Performing Exposures (NPE) disposals provided by Art.44-bis Law Decree No.34/2019. Therefore, the NPE disposals to companies not belonging to UniCredit group completed by 31 December 2021 allowed the transformation in Tax Credits (TC) of Deferred Tax Assets (DTAs) deriving from (i) tax losses and (ii) ACE (so-called Aiuto alla Crescita Economica) surpluses, under the same conditions applied to the benefit in 2020. As of 31 December 2021, €110 million of DTAs were recognised into tax credits, with a correspondent positive impact on the income statement. In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European Commission in connection to the application of State Aid rules, Art.11 of Law Decree No.59/2016, converted into Law No.119/2016 (as modified by Law Decree No.237/2016, converted in to Law No.15/2017) provides for the possibility, starting from 2016 till 2030, to elect for the payment of an annual fee equal to 1.5% of an aggregate amount deriving from the difference between: • the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTAs existing as at the end of 2007, for IRES tax, and as at the end of 2012 for IRAP tax, taking into account the amounts already converted into tax credits (including those carried out pursuant to Art.44-bis Law Decree No.34/2019 as extended by Law Decree No.73/2021); • taxes: - IRES paid by tax group starting from 1 January 2008; - IRAP paid registered starting from 1 January 2013 by Legal Entities included in Tax Group with convertible DTAs; - substitute taxes that generated convertible DTAs. The fee due for financial year 2021 has been paid on 30 June 2021 for an overall amount of €104.3 million relating to the whole Italian Tax Group, of which €99.8 million for UniCredit S.p.A., €4.2 million for UniCredit Leasing S.p.A. and €0.3 million for UniCredit Factoring S.p.A. Certifications and other communications With reference to the “Rules of Markets organized and managed by Borsa Italiana S.p.A.” dated 4 January 2021 (Title 2.6 “Obligations of issuers”, Art.2.6.2. “Disclosure requirements”, paragraph 10) the satisfaction of conditions provided by article 15 of Consob Regulation No.20249/2017, letters a), b) and c) is hereby certified. With reference to paragraph 8 of Art.5 - “Public information on transactions with related parties" of Consob Regulation containing provisions relating to transactions with related parties (adopted by Consob with Resolution No.17221 of 12 March 2010, as subsequently amended by Resolution No.21624 of 10 December 2020), it should be noted that: a) according to the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” adopted by the Board of Directors of UniCredit S.p.A. on 8 June 2021, and published on the website www.unicreditgroup.eu, during 2021 the Bank’s Presidio Unico received no reports of transactions of greater importance ended in the period; b) during 2021, no transactions with related parties as defined by article 2427, paragraph 22-bis of the Civil Code were conducted, under different conditions from normal market conditions and materially affecting the Group’s financial and economic situation; c) during 2021, there were no changes or developments in the individual transactions with related parties already described in the latest annual report that had a material effect on the Group’s financial position or results during the reference period. For more information on related-party transactions refer to the paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts. Information on risks For a complete description of the risks and uncertainties that the Group must face under the current market conditions, refer to “Part E - Information on risks and hedging policies” of the Notes to the consolidated accounts. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 117 Conversion of Deferred tax assets (DTAs) into tax credits Referring to financial year 2020, UniCredit S.p.A. and UniCredit Leasing S.p.A. registered a loss in their separate financial statements and in 2021 they converted respectively €383.7 and €26.4 million of Deferred Tax Assets (DTA) into tax credits (pursuant to Art.2, paragraph 55, of Law Decree No.225/2010). The Law Decree No.73 of 25 May 2021 (LD 73/2021) extended to 2021 the incentives, introduced in 2020, for Non-Performing Exposures (NPE) disposals provided by Art.44-bis Law Decree No.34/2019. Therefore, the NPE disposals to companies not belonging to UniCredit group completed by 31 December 2021 allowed the transformation in Tax Credits (TC) of Deferred Tax Assets (DTAs) deriving from (i) tax losses and (ii) ACE (so-called Aiuto alla Crescita Economica) surpluses, under the same conditions applied to the benefit in 2020. As of 31 December 2021, €110 million of DTAs were recognised into tax credits, with a correspondent positive impact on the income statement. In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European Commission in connection to the application of State Aid rules, Art.11 of Law Decree No.59/2016, converted into Law No.119/2016 (as modified by Law Decree No.237/2016, converted in to Law No.15/2017) provides for the possibility, starting from 2016 till 2030, to elect for the payment of an annual fee equal to 1.5% of an aggregate amount deriving from the difference between: • the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTAs existing as at the end of 2007, for IRES tax, and as at the end of 2012 for IRAP tax, taking into account the amounts already converted into tax credits (including those carried out pursuant to Art.44-bis Law Decree No.34/2019 as extended by Law Decree No.73/2021); • taxes: - IRES paid by tax group starting from 1 January 2008; - IRAP paid registered starting from 1 January 2013 by Legal Entities included in Tax Group with convertible DTAs; - substitute taxes that generated convertible DTAs. The fee due for financial year 2021 has been paid on 30 June 2021 for an overall amount of €104.3 million relating to the whole Italian Tax Group, of which €99.8 million for UniCredit S.p.A., €4.2 million for UniCredit Leasing S.p.A. and €0.3 million for UniCredit Factoring S.p.A. Certifications and other communications With reference to the “Rules of Markets organized and managed by Borsa Italiana S.p.A.” dated 4 January 2021 (Title 2.6 “Obligations of issuers”, Art.2.6.2. “Disclosure requirements”, paragraph 10) the satisfaction of conditions provided by article 15 of Consob Regulation No.20249/2017, letters a), b) and c) is hereby certified. With reference to paragraph 8 of Art.5 - “Public information on transactions with related parties" of Consob Regulation containing provisions relating to transactions with related parties (adopted by Consob with Resolution No.17221 of 12 March 2010, as subsequently amended by Resolution No.21624 of 10 December 2020), it should be noted that: a) according to the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” adopted by the Board of Directors of UniCredit S.p.A. on 8 June 2021, and published on the website www.unicreditgroup.eu, during 2021 the Bank’s Presidio Unico received no reports of transactions of greater importance ended in the period; b) during 2021, no transactions with related parties as defined by article 2427, paragraph 22-bis of the Civil Code were conducted, under different conditions from normal market conditions and materially affecting the Group’s financial and economic situation; c) during 2021, there were no changes or developments in the individual transactions with related parties already described in the latest annual report that had a material effect on the Group’s financial position or results during the reference period. For more information on related-party transactions refer to the paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts. Information on risks For a complete description of the risks and uncertainties that the Group must face under the current market conditions, refer to “Part E - Information on risks and hedging policies” of the Notes to the consolidated accounts. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 117 Conversion of Deferred tax assets (DTAs) into tax credits Referring to financial year 2020, UniCredit S.p.A. and UniCredit Leasing S.p.A. registered a loss in their separate financial statements and in 2021 they converted respectively €383.7 and €26.4 million of Deferred Tax Assets (DTA) into tax credits (pursuant to Art.2, paragraph 55, of Law Decree No.225/2010). The Law Decree No.73 of 25 May 2021 (LD 73/2021) extended to 2021 the incentives, introduced in 2020, for Non-Performing Exposures (NPE) disposals provided by Art.44-bis Law Decree No.34/2019. Therefore, the NPE disposals to companies not belonging to UniCredit group completed by 31 December 2021 allowed the transformation in Tax Credits (TC) of Deferred Tax Assets (DTAs) deriving from (i) tax losses and (ii) ACE (so-called Aiuto alla Crescita Economica) surpluses, under the same conditions applied to the benefit in 2020. As of 31 December 2021, €110 million of DTAs were recognised into tax credits, with a correspondent positive impact on the income statement. In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European Commission in connection to the application of State Aid rules, Art.11 of Law Decree No.59/2016, converted into Law No.119/2016 (as modified by Law Decree No.237/2016, converted in to Law No.15/2017) provides for the possibility, starting from 2016 till 2030, to elect for the payment of an annual fee equal to 1.5% of an aggregate amount deriving from the difference between: • the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTAs existing as at the end of 2007, for IRES tax, and as at the end of 2012 for IRAP tax, taking into account the amounts already converted into tax credits (including those carried out pursuant to Art.44-bis Law Decree No.34/2019 as extended by Law Decree No.73/2021); • taxes: - IRES paid by tax group starting from 1 January 2008; - IRAP paid registered starting from 1 January 2013 by Legal Entities included in Tax Group with convertible DTAs; - substitute taxes that generated convertible DTAs. The fee due for financial year 2021 has been paid on 30 June 2021 for an overall amount of €104.3 million relating to the whole Italian Tax Group, of which €99.8 million for UniCredit S.p.A., €4.2 million for UniCredit Leasing S.p.A. and €0.3 million for UniCredit Factoring S.p.A. Certifications and other communications With reference to the “Rules of Markets organized and managed by Borsa Italiana S.p.A.” dated 4 January 2021 (Title 2.6 “Obligations of issuers”, Art.2.6.2. “Disclosure requirements”, paragraph 10) the satisfaction of conditions provided by article 15 of Consob Regulation No.20249/2017, letters a), b) and c) is hereby certified. With reference to paragraph 8 of Art.5 - “Public information on transactions with related parties" of Consob Regulation containing provisions relating to transactions with related parties (adopted by Consob with Resolution No.17221 of 12 March 2010, as subsequently amended by Resolution No.21624 of 10 December 2020), it should be noted that: a) according to the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” adopted by the Board of Directors of UniCredit S.p.A. on 8 June 2021, and published on the website www.unicreditgroup.eu, during 2021 the Bank’s Presidio Unico received no reports of transactions of greater importance ended in the period; b) during 2021, no transactions with related parties as defined by article 2427, paragraph 22-bis of the Civil Code were conducted, under different conditions from normal market conditions and materially affecting the Group’s financial and economic situation; c) during 2021, there were no changes or developments in the individual transactions with related parties already described in the latest annual report that had a material effect on the Group’s financial position or results during the reference period. For more information on related-party transactions refer to the paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts. Information on risks For a complete description of the risks and uncertainties that the Group must face under the current market conditions, refer to “Part E - Information on risks and hedging policies” of the Notes to the consolidated accounts. Consolidated report on operations Other information UniCredit · 2021 Annual Report and Accounts 117 Conversion of Deferred tax assets (DTAs) into tax credits Referring to financial year 2020, UniCredit S.p.A. and UniCredit Leasing S.p.A. registered a loss in their separate financial statements and in 2021 they converted respectively €383.7 and €26.4 million of Deferred Tax Assets (DTA) into tax credits (pursuant to Art.2, paragraph 55, of Law Decree No.225/2010). The Law Decree No.73 of 25 May 2021 (LD 73/2021) extended to 2021 the incentives, introduced in 2020, for Non-Performing Exposures (NPE) disposals provided by Art.44-bis Law Decree No.34/2019. Therefore, the NPE disposals to companies not belonging to UniCredit group completed by 31 December 2021 allowed the transformation in Tax Credits (TC) of Deferred Tax Assets (DTAs) deriving from (i) tax losses and (ii) ACE (so-called Aiuto alla Crescita Economica) surpluses, under the same conditions applied to the benefit in 2020. As of 31 December 2021, €110 million of DTAs were recognised into tax credits, with a correspondent positive impact on the income statement. In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European Commission in connection to the application of State Aid rules, Art.11 of Law Decree No.59/2016, converted into Law No.119/2016 (as modified by Law Decree No.237/2016, converted in to Law No.15/2017) provides for the possibility, starting from 2016 till 2030, to elect for the payment of an annual fee equal to 1.5% of an aggregate amount deriving from the difference between: • the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTAs existing as at the end of 2007, for IRES tax, and as at the end of 2012 for IRAP tax, taking into account the amounts already converted into tax credits (including those carried out pursuant to Art.44-bis Law Decree No.34/2019 as extended by Law Decree No.73/2021); • taxes: - IRES paid by tax group starting from 1 January 2008; - IRAP paid registered starting from 1 January 2013 by Legal Entities included in Tax Group with convertible DTAs; - substitute taxes that generated convertible DTAs. The fee due for financial year 2021 has been paid on 30 June 2021 for an overall amount of €104.3 million relating to the whole Italian Tax Group, of which €99.8 million for UniCredit S.p.A., €4.2 million for UniCredit Leasing S.p.A. and €0.3 million for UniCredit Factoring S.p.A. Certifications and other communications With reference to the “Rules of Markets organized and managed by Borsa Italiana S.p.A.” dated 4 January 2021 (Title 2.6 “Obligations of issuers”, Art.2.6.2. “Disclosure requirements”, paragraph 10) the satisfaction of conditions provided by article 15 of Consob Regulation No.20249/2017, letters a), b) and c) is hereby certified. With reference to paragraph 8 of Art.5 - “Public information on transactions with related parties" of Consob Regulation containing provisions relating to transactions with related parties (adopted by Consob with Resolution No.17221 of 12 March 2010, as subsequently amended by Resolution No.21624 of 10 December 2020), it should be noted that: a) according to the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” adopted by the Board of Directors of UniCredit S.p.A. on 8 June 2021, and published on the website www.unicreditgroup.eu, during 2021 the Bank’s Presidio Unico received no reports of transactions of greater importance ended in the period; b) during 2021, no transactions with related parties as defined by article 2427, paragraph 22-bis of the Civil Code were conducted, under different conditions from normal market conditions and materially affecting the Group’s financial and economic situation; c) during 2021, there were no changes or developments in the individual transactions with related parties already described in the latest annual report that had a material effect on the Group’s financial position or results during the reference period. For more information on related-party transactions refer to the paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts. Information on risks For a complete description of the risks and uncertainties that the Group must face under the current market conditions, refer to “Part E - Information on risks and hedging policies” of the Notes to the consolidated accounts. Consolidated report on operations Subsequent events and outlook 118 2021 Annual Report and Accounts · UniCredit Subsequent events and outlook Subsequent events11 On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access the market in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non-performing corporate credit portfolio both secured and unsecured, in Italy. The portfolio consists entirely of Italian Non-Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 21 January 2022, as all necessary regulatory approvals and all other conditions for transactions completion have been met, Zagrebačka banka signed the Share Transfer Agreement with Telemach Hrvatska for the transfer of 36.90% of Optima shares. Based on the above, the company is therefore deconsolidated since January 2022. For additional information on such transaction refer to paragraph “Other information on Group activities” of this Consolidated report on operations. On 28 January 2022 UniCredit and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 2 February 2022, the National Assembly of Republic of Slovenia approved a law aimed at restructuring consumer loans denominated in CHF, or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap which limits the amount to be repaid by customers, as capital or interest, following revaluation of the CHF against the EUR. For further information refer to the Consolidated Notes to the accounts, Part A - Accounting policies, Section 4 - Subsequent events. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. 11 Up to the date of approval by the Board of Directors’ Meeting of 15 February 2022 which, on the same date, authorised the publication also in accordance with IAS10. Consolidated report on operations Subsequent events and outlook 118 2021 Annual Report and Accounts · UniCredit Subsequent events and outlook Subsequent events11 On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access the market in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non-performing corporate credit portfolio both secured and unsecured, in Italy. The portfolio consists entirely of Italian Non-Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 21 January 2022, as all necessary regulatory approvals and all other conditions for transactions completion have been met, Zagrebačka banka signed the Share Transfer Agreement with Telemach Hrvatska for the transfer of 36.90% of Optima shares. Based on the above, the company is therefore deconsolidated since January 2022. For additional information on such transaction refer to paragraph “Other information on Group activities” of this Consolidated report on operations. On 28 January 2022 UniCredit and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 2 February 2022, the National Assembly of Republic of Slovenia approved a law aimed at restructuring consumer loans denominated in CHF, or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap which limits the amount to be repaid by customers, as capital or interest, following revaluation of the CHF against the EUR. For further information refer to the Consolidated Notes to the accounts, Part A - Accounting policies, Section 4 - Subsequent events. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. 11 Up to the date of approval by the Board of Directors’ Meeting of 15 February 2022 which, on the same date, authorised the publication also in accordance with IAS10. Consolidated report on operations Subsequent events and outlook 118 2021 Annual Report and Accounts · UniCredit Subsequent events and outlook Subsequent events11 On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access the market in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non-performing corporate credit portfolio both secured and unsecured, in Italy. The portfolio consists entirely of Italian Non-Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 21 January 2022, as all necessary regulatory approvals and all other conditions for transactions completion have been met, Zagrebačka banka signed the Share Transfer Agreement with Telemach Hrvatska for the transfer of 36.90% of Optima shares. Based on the above, the company is therefore deconsolidated since January 2022. For additional information on such transaction refer to paragraph “Other information on Group activities” of this Consolidated report on operations. On 28 January 2022 UniCredit and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 2 February 2022, the National Assembly of Republic of Slovenia approved a law aimed at restructuring consumer loans denominated in CHF, or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap which limits the amount to be repaid by customers, as capital or interest, following revaluation of the CHF against the EUR. For further information refer to the Consolidated Notes to the accounts, Part A - Accounting policies, Section 4 - Subsequent events. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. 11 Up to the date of approval by the Board of Directors’ Meeting of 15 February 2022 which, on the same date, authorised the publication also in accordance with IAS10. Consolidated report on operations Subsequent events and outlook 118 2021 Annual Report and Accounts · UniCredit Subsequent events and outlook Subsequent events11 On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access the market in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non-performing corporate credit portfolio both secured and unsecured, in Italy. The portfolio consists entirely of Italian Non-Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 21 January 2022, as all necessary regulatory approvals and all other conditions for transactions completion have been met, Zagrebačka banka signed the Share Transfer Agreement with Telemach Hrvatska for the transfer of 36.90% of Optima shares. Based on the above, the company is therefore deconsolidated since January 2022. For additional information on such transaction refer to paragraph “Other information on Group activities” of this Consolidated report on operations. On 28 January 2022 UniCredit and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 2 February 2022, the National Assembly of Republic of Slovenia approved a law aimed at restructuring consumer loans denominated in CHF, or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap which limits the amount to be repaid by customers, as capital or interest, following revaluation of the CHF against the EUR. For further information refer to the Consolidated Notes to the accounts, Part A - Accounting policies, Section 4 - Subsequent events. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. 11 Up to the date of approval by the Board of Directors’ Meeting of 15 February 2022 which, on the same date, authorised the publication also in accordance with IAS10. Consolidated report on operations Subsequent events and outlook 118 2021 Annual Report and Accounts · UniCredit Subsequent events and outlook Subsequent events11 On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access the market in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non-performing corporate credit portfolio both secured and unsecured, in Italy. The portfolio consists entirely of Italian Non-Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 21 January 2022, as all necessary regulatory approvals and all other conditions for transactions completion have been met, Zagrebačka banka signed the Share Transfer Agreement with Telemach Hrvatska for the transfer of 36.90% of Optima shares. Based on the above, the company is therefore deconsolidated since January 2022. For additional information on such transaction refer to paragraph “Other information on Group activities” of this Consolidated report on operations. On 28 January 2022 UniCredit and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 2 February 2022, the National Assembly of Republic of Slovenia approved a law aimed at restructuring consumer loans denominated in CHF, or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap which limits the amount to be repaid by customers, as capital or interest, following revaluation of the CHF against the EUR. For further information refer to the Consolidated Notes to the accounts, Part A - Accounting policies, Section 4 - Subsequent events. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. 11 Up to the date of approval by the Board of Directors’ Meeting of 15 February 2022 which, on the same date, authorised the publication also in accordance with IAS10. Consolidated report on operations Subsequent events and outlook UniCredit · 2021 Annual Report and Accounts 119 Outlook The global recovery from the Covid-19-induced collapse in economic activity continues. However, severe and persistent supply bottlenecks and high inflation are likely to slow the pace of growth this year. We expect global GDP to grow by 4.2% in 2022, after 5.8% in 2021. In the eurozone, it is expected GDP growth to slow from 5.2% in 2021 to 3.9% in 2022. The Omicron variant of Covid-19 is adding to headwinds in the short term and is expected to have contributed to dampening activity at the turn of the year. However, we expect that its impact on the growth trajectory for 2022 should be contained. Activity is likely to reaccelerate to a robust pace starting in the spring, also benefitting from a gradual easing of bottlenecks and a deceleration in inflation. In Italy, following a 6.3% increase in 2021, it is expected GDP growth to continue at 4.1% in 2022. While it is less exposed than Germany, Italy will not escape the negative impact of persistent supply-side bottlenecks on manufacturing activity in the first half of 2022. Domestic demand will be the main growth engine. Several tailwinds, in particular, will continue to support fixed investment, such as public resources, the EU recovery funds “Next Generation EU” and financing conditions, which should remain favorable. With regard to the European Central Bank, it is expected asset purchases to continue into 2023 and no rate hikes before 2024. Geopolitical risk and, in particular, the risk related to an escalation of tensions between Russia and Ukraine, might weigh on the economic outlook. The negative economic impact is expected to mainly come from a potential energy shock, especially for countries more vulnerable such as Germany, possible tensions in financial markets and, to a lesser extent, a slowdown in the trade channel. Lingering inflation pressure might induce earlier and/or bolder action by central banks, weighing on economic growth and investors’ confidence and fuelling volatility in global markets. In the following months the Group will fully focus on the objectives defined through the new Strategic Plan operating in a more favorable macroeconomic context, of gradual recovery but not without uncertainties. The new plan, by optimizing the Group’s set-up and by defining a clear long-term program, has laid concrete foundations for the achievement of the strategic guidelines; starting immediately the managerial Team will put in place actions to relaunch and strengthen the business, by always placing in the foreground the client focus; contextually, initiatives will be undertaken aimed at achieving a better integration of technology and simplification of processes. The value creation for the shareholders will be realized through a profitable growth, sustainable, coherent with the economic and social role of the Group and focused on the areas where the Group is capable of realizing a true added value. Milano, 15 February 2022 THE BOARD OF DIRECTORS CHAIRMAN CEO PIETRO CARLO PADOAN ANDREA ORCEL Consolidated report on operations Subsequent events and outlook UniCredit · 2021 Annual Report and Accounts 119 Outlook The global recovery from the Covid-19-induced collapse in economic activity continues. However, severe and persistent supply bottlenecks and high inflation are likely to slow the pace of growth this year. We expect global GDP to grow by 4.2% in 2022, after 5.8% in 2021. In the eurozone, it is expected GDP growth to slow from 5.2% in 2021 to 3.9% in 2022. The Omicron variant of Covid-19 is adding to headwinds in the short term and is expected to have contributed to dampening activity at the turn of the year. However, we expect that its impact on the growth trajectory for 2022 should be contained. Activity is likely to reaccelerate to a robust pace starting in the spring, also benefitting from a gradual easing of bottlenecks and a deceleration in inflation. In Italy, following a 6.3% increase in 2021, it is expected GDP growth to continue at 4.1% in 2022. While it is less exposed than Germany, Italy will not escape the negative impact of persistent supply-side bottlenecks on manufacturing activity in the first half of 2022. Domestic demand will be the main growth engine. Several tailwinds, in particular, will continue to support fixed investment, such as public resources, the EU recovery funds “Next Generation EU” and financing conditions, which should remain favorable. With regard to the European Central Bank, it is expected asset purchases to continue into 2023 and no rate hikes before 2024. Geopolitical risk and, in particular, the risk related to an escalation of tensions between Russia and Ukraine, might weigh on the economic outlook. The negative economic impact is expected to mainly come from a potential energy shock, especially for countries more vulnerable such as Germany, possible tensions in financial markets and, to a lesser extent, a slowdown in the trade channel. Lingering inflation pressure might induce earlier and/or bolder action by central banks, weighing on economic growth and investors’ confidence and fuelling volatility in global markets. In the following months the Group will fully focus on the objectives defined through the new Strategic Plan operating in a more favorable macroeconomic context, of gradual recovery but not without uncertainties. The new plan, by optimizing the Group’s set-up and by defining a clear long-term program, has laid concrete foundations for the achievement of the strategic guidelines; starting immediately the managerial Team will put in place actions to relaunch and strengthen the business, by always placing in the foreground the client focus; contextually, initiatives will be undertaken aimed at achieving a better integration of technology and simplification of processes. The value creation for the shareholders will be realized through a profitable growth, sustainable, coherent with the economic and social role of the Group and focused on the areas where the Group is capable of realizing a true added value. Milano, 15 February 2022 THE BOARD OF DIRECTORS CHAIRMAN CEO PIETRO CARLO PADOAN ANDREA ORCEL Consolidated report on operations Subsequent events and outlook UniCredit · 2021 Annual Report and Accounts 119 Outlook The global recovery from the Covid-19-induced collapse in economic activity continues. However, severe and persistent supply bottlenecks and high inflation are likely to slow the pace of growth this year. We expect global GDP to grow by 4.2% in 2022, after 5.8% in 2021. In the eurozone, it is expected GDP growth to slow from 5.2% in 2021 to 3.9% in 2022. The Omicron variant of Covid-19 is adding to headwinds in the short term and is expected to have contributed to dampening activity at the turn of the year. However, we expect that its impact on the growth trajectory for 2022 should be contained. Activity is likely to reaccelerate to a robust pace starting in the spring, also benefitting from a gradual easing of bottlenecks and a deceleration in inflation. In Italy, following a 6.3% increase in 2021, it is expected GDP growth to continue at 4.1% in 2022. While it is less exposed than Germany, Italy will not escape the negative impact of persistent supply-side bottlenecks on manufacturing activity in the first half of 2022. Domestic demand will be the main growth engine. Several tailwinds, in particular, will continue to support fixed investment, such as public resources, the EU recovery funds “Next Generation EU” and financing conditions, which should remain favorable. With regard to the European Central Bank, it is expected asset purchases to continue into 2023 and no rate hikes before 2024. Geopolitical risk and, in particular, the risk related to an escalation of tensions between Russia and Ukraine, might weigh on the economic outlook. The negative economic impact is expected to mainly come from a potential energy shock, especially for countries more vulnerable such as Germany, possible tensions in financial markets and, to a lesser extent, a slowdown in the trade channel. Lingering inflation pressure might induce earlier and/or bolder action by central banks, weighing on economic growth and investors’ confidence and fuelling volatility in global markets. In the following months the Group will fully focus on the objectives defined through the new Strategic Plan operating in a more favorable macroeconomic context, of gradual recovery but not without uncertainties. The new plan, by optimizing the Group’s set-up and by defining a clear long-term program, has laid concrete foundations for the achievement of the strategic guidelines; starting immediately the managerial Team will put in place actions to relaunch and strengthen the business, by always placing in the foreground the client focus; contextually, initiatives will be undertaken aimed at achieving a better integration of technology and simplification of processes. The value creation for the shareholders will be realized through a profitable growth, sustainable, coherent with the economic and social role of the Group and focused on the areas where the Group is capable of realizing a true added value. Milano, 15 February 2022 THE BOARD OF DIRECTORS CHAIRMAN CEO PIETRO CARLO PADOAN ANDREA ORCEL Consolidated report on operations Subsequent events and outlook UniCredit · 2021 Annual Report and Accounts 119 Outlook The global recovery from the Covid-19-induced collapse in economic activity continues. However, severe and persistent supply bottlenecks and high inflation are likely to slow the pace of growth this year. We expect global GDP to grow by 4.2% in 2022, after 5.8% in 2021. In the eurozone, it is expected GDP growth to slow from 5.2% in 2021 to 3.9% in 2022. The Omicron variant of Covid-19 is adding to headwinds in the short term and is expected to have contributed to dampening activity at the turn of the year. However, we expect that its impact on the growth trajectory for 2022 should be contained. Activity is likely to reaccelerate to a robust pace starting in the spring, also benefitting from a gradual easing of bottlenecks and a deceleration in inflation. In Italy, following a 6.3% increase in 2021, it is expected GDP growth to continue at 4.1% in 2022. While it is less exposed than Germany, Italy will not escape the negative impact of persistent supply-side bottlenecks on manufacturing activity in the first half of 2022. Domestic demand will be the main growth engine. Several tailwinds, in particular, will continue to support fixed investment, such as public resources, the EU recovery funds “Next Generation EU” and financing conditions, which should remain favorable. With regard to the European Central Bank, it is expected asset purchases to continue into 2023 and no rate hikes before 2024. Geopolitical risk and, in particular, the risk related to an escalation of tensions between Russia and Ukraine, might weigh on the economic outlook. The negative economic impact is expected to mainly come from a potential energy shock, especially for countries more vulnerable such as Germany, possible tensions in financial markets and, to a lesser extent, a slowdown in the trade channel. Lingering inflation pressure might induce earlier and/or bolder action by central banks, weighing on economic growth and investors’ confidence and fuelling volatility in global markets. In the following months the Group will fully focus on the objectives defined through the new Strategic Plan operating in a more favorable macroeconomic context, of gradual recovery but not without uncertainties. The new plan, by optimizing the Group’s set-up and by defining a clear long-term program, has laid concrete foundations for the achievement of the strategic guidelines; starting immediately the managerial Team will put in place actions to relaunch and strengthen the business, by always placing in the foreground the client focus; contextually, initiatives will be undertaken aimed at achieving a better integration of technology and simplification of processes. The value creation for the shareholders will be realized through a profitable growth, sustainable, coherent with the economic and social role of the Group and focused on the areas where the Group is capable of realizing a true added value. Milano, 15 February 2022 THE BOARD OF DIRECTORS CHAIRMAN CEO PIETRO CARLO PADOAN ANDREA ORCEL Consolidated report on operations Subsequent events and outlook UniCredit · 2021 Annual Report and Accounts 119 Outlook The global recovery from the Covid-19-induced collapse in economic activity continues. However, severe and persistent supply bottlenecks and high inflation are likely to slow the pace of growth this year. We expect global GDP to grow by 4.2% in 2022, after 5.8% in 2021. In the eurozone, it is expected GDP growth to slow from 5.2% in 2021 to 3.9% in 2022. The Omicron variant of Covid-19 is adding to headwinds in the short term and is expected to have contributed to dampening activity at the turn of the year. However, we expect that its impact on the growth trajectory for 2022 should be contained. Activity is likely to reaccelerate to a robust pace starting in the spring, also benefitting from a gradual easing of bottlenecks and a deceleration in inflation. In Italy, following a 6.3% increase in 2021, it is expected GDP growth to continue at 4.1% in 2022. While it is less exposed than Germany, Italy will not escape the negative impact of persistent supply-side bottlenecks on manufacturing activity in the first half of 2022. Domestic demand will be the main growth engine. Several tailwinds, in particular, will continue to support fixed investment, such as public resources, the EU recovery funds “Next Generation EU” and financing conditions, which should remain favorable. With regard to the European Central Bank, it is expected asset purchases to continue into 2023 and no rate hikes before 2024. Geopolitical risk and, in particular, the risk related to an escalation of tensions between Russia and Ukraine, might weigh on the economic outlook. The negative economic impact is expected to mainly come from a potential energy shock, especially for countries more vulnerable such as Germany, possible tensions in financial markets and, to a lesser extent, a slowdown in the trade channel. Lingering inflation pressure might induce earlier and/or bolder action by central banks, weighing on economic growth and investors’ confidence and fuelling volatility in global markets. In the following months the Group will fully focus on the objectives defined through the new Strategic Plan operating in a more favorable macroeconomic context, of gradual recovery but not without uncertainties. The new plan, by optimizing the Group’s set-up and by defining a clear long-term program, has laid concrete foundations for the achievement of the strategic guidelines; starting immediately the managerial Team will put in place actions to relaunch and strengthen the business, by always placing in the foreground the client focus; contextually, initiatives will be undertaken aimed at achieving a better integration of technology and simplification of processes. The value creation for the shareholders will be realized through a profitable growth, sustainable, coherent with the economic and social role of the Group and focused on the areas where the Group is capable of realizing a true added value. Milano, 15 February 2022 THE BOARD OF DIRECTORS CHAIRMAN CEO PIETRO CARLO PADOAN ANDREA ORCEL Climate neutrality: we stood alongside family-run Steinecke, a leading manufacturer of dried herbs and vegetables, when it decided to build one of Germany’s first agrophotovoltaic plants. Our Clients Steinicke Germany Curious to know more? Check out the entire story (and others) on annualreport.unicredit.eu/en Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 121 Corporate Governance Governance structure Introduction UniCredit’s overall corporate governance framework, i.e. the system of rules and procedures that its corporate bodies refer to steer the principles of their behavior and fulfil their various responsibilities towards the Group’s stakeholders, has been defined in compliance with current national and European provisions, as well as the recommendations contained in the Italian Corporate Governance Code (hereinafter, also the “Code”). In line with practice on major international markets, the Code identifies goals for a sound corporate governance, as well as the behaviors deemed appropriate for their achievements recommended by the Corporate Governance Committee to companies listed in Italy, to be applied according to the “comply or explain” principle that requires explanation in the corporate governance report of any reasons for failure to comply with one or more recommended best practices. Moreover, UniCredit is subject to the provisions contained in the Supervisory Regulations issued by Banca d’Italia and, specifically with regards to corporate governance issues, to regulations on banks’ corporate governance (Circular No.285/2013, First Part, Title IV, Chapter 1). In compliance with the aforementioned Supervisory Regulations, as a significant bank subject to the direct prudential supervision of the ECB, as well as being a listed bank, UniCredit qualifies as a bank of large size or operational complexity and consequently complies with provisions applicable to such banks. Since 2001, UniCredit has adopted the Code, which is publicly available on the Italian Corporate Governance Committee website (https://www.borsaitaliana.it/comitato-corporate-governance/homepage/homepage.en.htm). On an annual basis, UniCredit draws up a corporate governance report for its shareholders, institutional and non-institutional investors, and the market. The report conveys appropriate information about the UniCredit in-house corporate governance system. Consistently with applicable legal and regulatory obligations, and in line with the provisions of the Code, in its version as approved as at January 2020, the 2021 Report on corporate governance and ownership structure has been drafted, in accordance with article 123/bis of the Legislative Decree No.58 dated 24 February 1998 (hereinafter, also the Consolidated Law on Finance - TUF). The Report on corporate governance and ownership structure, approved by the Board of Directors in its meeting held 8 March 2022, will be disclosed at the same time as the Report on Operations via the Issuer’s website (https://www.unicreditgroup.eu/en/governance/our-governance-system.html). For further information on the UniCredit corporate governance system see the first of the above documents. As an issuer of shares that are also listed on the Frankfurt and Warsaw regulated markets, UniCredit also fulfils legal and regulatory obligations relating to listings on said markets, as well as the provisions on corporate governance stipulated under the Polish Corporate Governance Code issued by the Warsaw Stock Exchange. Since its establishment, UniCredit has adopted the so-called traditional management and control system. The distinctive feature of this model is that the strategic supervision and the management of the company, the overseeing of its management and the legal accounting supervision are separated. In particular, the Board of Directors is solely responsible for the strategic supervision and the management of the Company, while the Board of Statutory Auditors is entrusted with supervising its management. Legal accounting supervision is assigned to an external audit firm by the Shareholders' Meeting on the basis of a proposal from the Board of Statutory Auditors, in compliance with relevant current laws. The reasons behind the choice of such governance model are that it has proven capable of managing the business efficiently, while ensuring effective controls. That is, it creates the conditions for UniCredit S.p.A. to be able to guarantee the sound and prudent management of a complex and global banking group, such as the UniCredit group. Moreover, the traditional management ascribes certain aspects to the sole responsibility of the Shareholders' Meeting, creating in this way an opportunity for dialogue and debate between shareholders and management about the fundamental elements of governance. These include the appointment and dismissal of directors, the appointment of the Board of Statutory Auditors members, the assignment of the mandate for the external auditing to an audit firm, the setting of the related remuneration, as well as the approval of the financial statements, the profit allocations, the resolutions on the remuneration and incentive policies and practices provided for by current provisions and the criteria to determine the compensation to be granted in the event of early termination of employment or early retirement from office. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 121 Corporate Governance Governance structure Introduction UniCredit’s overall corporate governance framework, i.e. the system of rules and procedures that its corporate bodies refer to steer the principles of their behavior and fulfil their various responsibilities towards the Group’s stakeholders, has been defined in compliance with current national and European provisions, as well as the recommendations contained in the Italian Corporate Governance Code (hereinafter, also the “Code”). In line with practice on major international markets, the Code identifies goals for a sound corporate governance, as well as the behaviors deemed appropriate for their achievements recommended by the Corporate Governance Committee to companies listed in Italy, to be applied according to the “comply or explain” principle that requires explanation in the corporate governance report of any reasons for failure to comply with one or more recommended best practices. Moreover, UniCredit is subject to the provisions contained in the Supervisory Regulations issued by Banca d’Italia and, specifically with regards to corporate governance issues, to regulations on banks’ corporate governance (Circular No.285/2013, First Part, Title IV, Chapter 1). In compliance with the aforementioned Supervisory Regulations, as a significant bank subject to the direct prudential supervision of the ECB, as well as being a listed bank, UniCredit qualifies as a bank of large size or operational complexity and consequently complies with provisions applicable to such banks. Since 2001, UniCredit has adopted the Code, which is publicly available on the Italian Corporate Governance Committee website (https://www.borsaitaliana.it/comitato-corporate-governance/homepage/homepage.en.htm). On an annual basis, UniCredit draws up a corporate governance report for its shareholders, institutional and non-institutional investors, and the market. The report conveys appropriate information about the UniCredit in-house corporate governance system. Consistently with applicable legal and regulatory obligations, and in line with the provisions of the Code, in its version as approved as at January 2020, the 2021 Report on corporate governance and ownership structure has been drafted, in accordance with article 123/bis of the Legislative Decree No.58 dated 24 February 1998 (hereinafter, also the Consolidated Law on Finance - TUF). The Report on corporate governance and ownership structure, approved by the Board of Directors in its meeting held 8 March 2022, will be disclosed at the same time as the Report on Operations via the Issuer’s website (https://www.unicreditgroup.eu/en/governance/our-governance-system.html). For further information on the UniCredit corporate governance system see the first of the above documents. As an issuer of shares that are also listed on the Frankfurt and Warsaw regulated markets, UniCredit also fulfils legal and regulatory obligations relating to listings on said markets, as well as the provisions on corporate governance stipulated under the Polish Corporate Governance Code issued by the Warsaw Stock Exchange. Since its establishment, UniCredit has adopted the so-called traditional management and control system. The distinctive feature of this model is that the strategic supervision and the management of the company, the overseeing of its management and the legal accounting supervision are separated. In particular, the Board of Directors is solely responsible for the strategic supervision and the management of the Company, while the Board of Statutory Auditors is entrusted with supervising its management. Legal accounting supervision is assigned to an external audit firm by the Shareholders' Meeting on the basis of a proposal from the Board of Statutory Auditors, in compliance with relevant current laws. The reasons behind the choice of such governance model are that it has proven capable of managing the business efficiently, while ensuring effective controls. That is, it creates the conditions for UniCredit S.p.A. to be able to guarantee the sound and prudent management of a complex and global banking group, such as the UniCredit group. Moreover, the traditional management ascribes certain aspects to the sole responsibility of the Shareholders' Meeting, creating in this way an opportunity for dialogue and debate between shareholders and management about the fundamental elements of governance. These include the appointment and dismissal of directors, the appointment of the Board of Statutory Auditors members, the assignment of the mandate for the external auditing to an audit firm, the setting of the related remuneration, as well as the approval of the financial statements, the profit allocations, the resolutions on the remuneration and incentive policies and practices provided for by current provisions and the criteria to determine the compensation to be granted in the event of early termination of employment or early retirement from office. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 121 Corporate Governance Governance structure Introduction UniCredit’s overall corporate governance framework, i.e. the system of rules and procedures that its corporate bodies refer to steer the principles of their behavior and fulfil their various responsibilities towards the Group’s stakeholders, has been defined in compliance with current national and European provisions, as well as the recommendations contained in the Italian Corporate Governance Code (hereinafter, also the “Code”). In line with practice on major international markets, the Code identifies goals for a sound corporate governance, as well as the behaviors deemed appropriate for their achievements recommended by the Corporate Governance Committee to companies listed in Italy, to be applied according to the “comply or explain” principle that requires explanation in the corporate governance report of any reasons for failure to comply with one or more recommended best practices. Moreover, UniCredit is subject to the provisions contained in the Supervisory Regulations issued by Banca d’Italia and, specifically with regards to corporate governance issues, to regulations on banks’ corporate governance (Circular No.285/2013, First Part, Title IV, Chapter 1). In compliance with the aforementioned Supervisory Regulations, as a significant bank subject to the direct prudential supervision of the ECB, as well as being a listed bank, UniCredit qualifies as a bank of large size or operational complexity and consequently complies with provisions applicable to such banks. Since 2001, UniCredit has adopted the Code, which is publicly available on the Italian Corporate Governance Committee website (https://www.borsaitaliana.it/comitato-corporate-governance/homepage/homepage.en.htm). On an annual basis, UniCredit draws up a corporate governance report for its shareholders, institutional and non-institutional investors, and the market. The report conveys appropriate information about the UniCredit in-house corporate governance system. Consistently with applicable legal and regulatory obligations, and in line with the provisions of the Code, in its version as approved as at January 2020, the 2021 Report on corporate governance and ownership structure has been drafted, in accordance with article 123/bis of the Legislative Decree No.58 dated 24 February 1998 (hereinafter, also the Consolidated Law on Finance - TUF). The Report on corporate governance and ownership structure, approved by the Board of Directors in its meeting held 8 March 2022, will be disclosed at the same time as the Report on Operations via the Issuer’s website (https://www.unicreditgroup.eu/en/governance/our-governance-system.html). For further information on the UniCredit corporate governance system see the first of the above documents. As an issuer of shares that are also listed on the Frankfurt and Warsaw regulated markets, UniCredit also fulfils legal and regulatory obligations relating to listings on said markets, as well as the provisions on corporate governance stipulated under the Polish Corporate Governance Code issued by the Warsaw Stock Exchange. Since its establishment, UniCredit has adopted the so-called traditional management and control system. The distinctive feature of this model is that the strategic supervision and the management of the company, the overseeing of its management and the legal accounting supervision are separated. In particular, the Board of Directors is solely responsible for the strategic supervision and the management of the Company, while the Board of Statutory Auditors is entrusted with supervising its management. Legal accounting supervision is assigned to an external audit firm by the Shareholders' Meeting on the basis of a proposal from the Board of Statutory Auditors, in compliance with relevant current laws. The reasons behind the choice of such governance model are that it has proven capable of managing the business efficiently, while ensuring effective controls. That is, it creates the conditions for UniCredit S.p.A. to be able to guarantee the sound and prudent management of a complex and global banking group, such as the UniCredit group. Moreover, the traditional management ascribes certain aspects to the sole responsibility of the Shareholders' Meeting, creating in this way an opportunity for dialogue and debate between shareholders and management about the fundamental elements of governance. These include the appointment and dismissal of directors, the appointment of the Board of Statutory Auditors members, the assignment of the mandate for the external auditing to an audit firm, the setting of the related remuneration, as well as the approval of the financial statements, the profit allocations, the resolutions on the remuneration and incentive policies and practices provided for by current provisions and the criteria to determine the compensation to be granted in the event of early termination of employment or early retirement from office. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 121 Corporate Governance Governance structure Introduction UniCredit’s overall corporate governance framework, i.e. the system of rules and procedures that its corporate bodies refer to steer the principles of their behavior and fulfil their various responsibilities towards the Group’s stakeholders, has been defined in compliance with current national and European provisions, as well as the recommendations contained in the Italian Corporate Governance Code (hereinafter, also the “Code”). In line with practice on major international markets, the Code identifies goals for a sound corporate governance, as well as the behaviors deemed appropriate for their achievements recommended by the Corporate Governance Committee to companies listed in Italy, to be applied according to the “comply or explain” principle that requires explanation in the corporate governance report of any reasons for failure to comply with one or more recommended best practices. Moreover, UniCredit is subject to the provisions contained in the Supervisory Regulations issued by Banca d’Italia and, specifically with regards to corporate governance issues, to regulations on banks’ corporate governance (Circular No.285/2013, First Part, Title IV, Chapter 1). In compliance with the aforementioned Supervisory Regulations, as a significant bank subject to the direct prudential supervision of the ECB, as well as being a listed bank, UniCredit qualifies as a bank of large size or operational complexity and consequently complies with provisions applicable to such banks. Since 2001, UniCredit has adopted the Code, which is publicly available on the Italian Corporate Governance Committee website (https://www.borsaitaliana.it/comitato-corporate-governance/homepage/homepage.en.htm). On an annual basis, UniCredit draws up a corporate governance report for its shareholders, institutional and non-institutional investors, and the market. The report conveys appropriate information about the UniCredit in-house corporate governance system. Consistently with applicable legal and regulatory obligations, and in line with the provisions of the Code, in its version as approved as at January 2020, the 2021 Report on corporate governance and ownership structure has been drafted, in accordance with article 123/bis of the Legislative Decree No.58 dated 24 February 1998 (hereinafter, also the Consolidated Law on Finance - TUF). The Report on corporate governance and ownership structure, approved by the Board of Directors in its meeting held 8 March 2022, will be disclosed at the same time as the Report on Operations via the Issuer’s website (https://www.unicreditgroup.eu/en/governance/our-governance-system.html). For further information on the UniCredit corporate governance system see the first of the above documents. As an issuer of shares that are also listed on the Frankfurt and Warsaw regulated markets, UniCredit also fulfils legal and regulatory obligations relating to listings on said markets, as well as the provisions on corporate governance stipulated under the Polish Corporate Governance Code issued by the Warsaw Stock Exchange. Since its establishment, UniCredit has adopted the so-called traditional management and control system. The distinctive feature of this model is that the strategic supervision and the management of the company, the overseeing of its management and the legal accounting supervision are separated. In particular, the Board of Directors is solely responsible for the strategic supervision and the management of the Company, while the Board of Statutory Auditors is entrusted with supervising its management. Legal accounting supervision is assigned to an external audit firm by the Shareholders' Meeting on the basis of a proposal from the Board of Statutory Auditors, in compliance with relevant current laws. The reasons behind the choice of such governance model are that it has proven capable of managing the business efficiently, while ensuring effective controls. That is, it creates the conditions for UniCredit S.p.A. to be able to guarantee the sound and prudent management of a complex and global banking group, such as the UniCredit group. Moreover, the traditional management ascribes certain aspects to the sole responsibility of the Shareholders' Meeting, creating in this way an opportunity for dialogue and debate between shareholders and management about the fundamental elements of governance. These include the appointment and dismissal of directors, the appointment of the Board of Statutory Auditors members, the assignment of the mandate for the external auditing to an audit firm, the setting of the related remuneration, as well as the approval of the financial statements, the profit allocations, the resolutions on the remuneration and incentive policies and practices provided for by current provisions and the criteria to determine the compensation to be granted in the event of early termination of employment or early retirement from office. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 121 Corporate Governance Governance structure Introduction UniCredit’s overall corporate governance framework, i.e. the system of rules and procedures that its corporate bodies refer to steer the principles of their behavior and fulfil their various responsibilities towards the Group’s stakeholders, has been defined in compliance with current national and European provisions, as well as the recommendations contained in the Italian Corporate Governance Code (hereinafter, also the “Code”). In line with practice on major international markets, the Code identifies goals for a sound corporate governance, as well as the behaviors deemed appropriate for their achievements recommended by the Corporate Governance Committee to companies listed in Italy, to be applied according to the “comply or explain” principle that requires explanation in the corporate governance report of any reasons for failure to comply with one or more recommended best practices. Moreover, UniCredit is subject to the provisions contained in the Supervisory Regulations issued by Banca d’Italia and, specifically with regards to corporate governance issues, to regulations on banks’ corporate governance (Circular No.285/2013, First Part, Title IV, Chapter 1). In compliance with the aforementioned Supervisory Regulations, as a significant bank subject to the direct prudential supervision of the ECB, as well as being a listed bank, UniCredit qualifies as a bank of large size or operational complexity and consequently complies with provisions applicable to such banks. Since 2001, UniCredit has adopted the Code, which is publicly available on the Italian Corporate Governance Committee website (https://www.borsaitaliana.it/comitato-corporate-governance/homepage/homepage.en.htm). On an annual basis, UniCredit draws up a corporate governance report for its shareholders, institutional and non-institutional investors, and the market. The report conveys appropriate information about the UniCredit in-house corporate governance system. Consistently with applicable legal and regulatory obligations, and in line with the provisions of the Code, in its version as approved as at January 2020, the 2021 Report on corporate governance and ownership structure has been drafted, in accordance with article 123/bis of the Legislative Decree No.58 dated 24 February 1998 (hereinafter, also the Consolidated Law on Finance - TUF). The Report on corporate governance and ownership structure, approved by the Board of Directors in its meeting held 8 March 2022, will be disclosed at the same time as the Report on Operations via the Issuer’s website (https://www.unicreditgroup.eu/en/governance/our-governance-system.html). For further information on the UniCredit corporate governance system see the first of the above documents. As an issuer of shares that are also listed on the Frankfurt and Warsaw regulated markets, UniCredit also fulfils legal and regulatory obligations relating to listings on said markets, as well as the provisions on corporate governance stipulated under the Polish Corporate Governance Code issued by the Warsaw Stock Exchange. Since its establishment, UniCredit has adopted the so-called traditional management and control system. The distinctive feature of this model is that the strategic supervision and the management of the company, the overseeing of its management and the legal accounting supervision are separated. In particular, the Board of Directors is solely responsible for the strategic supervision and the management of the Company, while the Board of Statutory Auditors is entrusted with supervising its management. Legal accounting supervision is assigned to an external audit firm by the Shareholders' Meeting on the basis of a proposal from the Board of Statutory Auditors, in compliance with relevant current laws. The reasons behind the choice of such governance model are that it has proven capable of managing the business efficiently, while ensuring effective controls. That is, it creates the conditions for UniCredit S.p.A. to be able to guarantee the sound and prudent management of a complex and global banking group, such as the UniCredit group. Moreover, the traditional management ascribes certain aspects to the sole responsibility of the Shareholders' Meeting, creating in this way an opportunity for dialogue and debate between shareholders and management about the fundamental elements of governance. These include the appointment and dismissal of directors, the appointment of the Board of Statutory Auditors members, the assignment of the mandate for the external auditing to an audit firm, the setting of the related remuneration, as well as the approval of the financial statements, the profit allocations, the resolutions on the remuneration and incentive policies and practices provided for by current provisions and the criteria to determine the compensation to be granted in the event of early termination of employment or early retirement from office. Corporate Governance Governance structure 122 2021 Annual Report and Accounts · UniCredit Shareholders' Meeting The Ordinary Shareholders’ Meeting of UniCredit is convened at least once a year within 180 days of the end of the financial year, to resolve upon the issues that current laws and the Articles of Association make it responsible for. An Extraordinary Shareholders’ Meeting is convened, instead, whenever it is necessary to resolve upon any of the matters that are exclusively attributed to it by current laws. The Agenda of the Shareholders’ Meeting is established pursuant to legal requirements and to the UniCredit Articles of Association by whoever exercises the power to call a Meeting. The Ordinary Shareholders’ Meeting has adopted Regulations governing Ordinary and Extraordinary Meetings in a functional and regular way. The Regulations are available on the Governance/Shareholders Section of the UniCredit website. Board of Directors The Board of Directors of UniCredit may be comprised of between a minimum of 9 up to a maximum of 24 members. As at the approval date of this document, UniCredit has 13 Directors. Their term in office is 3 financial years, unless a shorter term is established at the time they are appointed, and ends on the date of the Shareholders’ Meeting called upon to approve the financial statements relating to the latest year in which they were in office. The term in office of the current Board of Directors, which was appointed by the Shareholders’ Meeting of 15 April 2021, will end on the date of the Shareholders’ Meeting called upon to approve the 2023 financial statements. According to the current legal and regulatory provisions, the UniCredit Directors shall be appointed on the basis of a proportional representation mechanism (“voto di lista”) abiding to the membership criteria concerning, inter alia, minority and independent Directors, as well as the balance between genders, pursuant to the procedures specified in Clause 20 of the UniCredit Articles of Association. The legitimate parties who are entitled to submit slates are the Board of Directors and shareholders, who individually or collectively with others represent at least 0.5% of share capital in the form of shares with voting rights at the ordinary Shareholders’ Meetings. The UniCredit Articles of Association envisage that, regardless of the total number of the Board members, two Directors shall be appointed from the second slate receiving the highest votes, without any connection with the shareholders who, even jointly, filed, or voted for, the slate first by number of votes, to ensure to the minority shareholders a greater presence on the Board of Directors. The Board establishes its qualitative and quantitative composition deemed to be optimal for the effective fulfillment of the duties entrusted to the Board of Directors by law, by the Supervisory Provisions and by the UniCredit Articles of Association, according to the current provisions applicable on such topics, also concerning the time commitment and the limits upon the maximum number of offices that UniCredit Directors may hold. Moreover, Directors must take into account the provisions of Art.36 of Law Decree No.201/2011 (“ban on interlocking directorships”), approved as statute by Law No.214/2011, which establishes that holders of a seat in managerial, supervisory and controlling bodies, as well as top management officers in companies or group of companies active in banking, insurance and financial markets are forbidden to hold similar offices, or to exercise similar duties, in competing companies or groups of companies. The function and competencies of the Board of Directors are set forth in the UniCredit Corporate Bodies and Committees Regulation, available on the Governance/Corporate Bodies Section of the UniCredit website. Independence of Directors In compliance with the provisions in force from time to time as well as in line with the criteria envisaged under the Italian Corporate Governance Code, non-executive Directors’ independence shall be assessed by the Board of Directors upon their appointment, during the mandate upon the occurrence of circumstances concerning their independence and in any case at least once a year, on the basis of information provided by the Directors themselves or however available to the Company, also considering any circumstance that affects or could affect such requirement. The outcome of these Board assessments shall be disclosed to the market after the appointment, through a press release and, subsequently, via the Corporate Governance Report. The Corporate Governance & Nomination Committee and the Board of Directors, the latter at the assessment carried out for the renewal of the Board on 5 May 2021, carried out the assessment of the Directors’ independence requirements based on the statements made by the parties concerned and on information available to the Company. Corporate Governance Governance structure 122 2021 Annual Report and Accounts · UniCredit Shareholders' Meeting The Ordinary Shareholders’ Meeting of UniCredit is convened at least once a year within 180 days of the end of the financial year, to resolve upon the issues that current laws and the Articles of Association make it responsible for. An Extraordinary Shareholders’ Meeting is convened, instead, whenever it is necessary to resolve upon any of the matters that are exclusively attributed to it by current laws. The Agenda of the Shareholders’ Meeting is established pursuant to legal requirements and to the UniCredit Articles of Association by whoever exercises the power to call a Meeting. The Ordinary Shareholders’ Meeting has adopted Regulations governing Ordinary and Extraordinary Meetings in a functional and regular way. The Regulations are available on the Governance/Shareholders Section of the UniCredit website. Board of Directors The Board of Directors of UniCredit may be comprised of between a minimum of 9 up to a maximum of 24 members. As at the approval date of this document, UniCredit has 13 Directors. Their term in office is 3 financial years, unless a shorter term is established at the time they are appointed, and ends on the date of the Shareholders’ Meeting called upon to approve the financial statements relating to the latest year in which they were in office. The term in office of the current Board of Directors, which was appointed by the Shareholders’ Meeting of 15 April 2021, will end on the date of the Shareholders’ Meeting called upon to approve the 2023 financial statements. According to the current legal and regulatory provisions, the UniCredit Directors shall be appointed on the basis of a proportional representation mechanism (“voto di lista”) abiding to the membership criteria concerning, inter alia, minority and independent Directors, as well as the balance between genders, pursuant to the procedures specified in Clause 20 of the UniCredit Articles of Association. The legitimate parties who are entitled to submit slates are the Board of Directors and shareholders, who individually or collectively with others represent at least 0.5% of share capital in the form of shares with voting rights at the ordinary Shareholders’ Meetings. The UniCredit Articles of Association envisage that, regardless of the total number of the Board members, two Directors shall be appointed from the second slate receiving the highest votes, without any connection with the shareholders who, even jointly, filed, or voted for, the slate first by number of votes, to ensure to the minority shareholders a greater presence on the Board of Directors. The Board establishes its qualitative and quantitative composition deemed to be optimal for the effective fulfillment of the duties entrusted to the Board of Directors by law, by the Supervisory Provisions and by the UniCredit Articles of Association, according to the current provisions applicable on such topics, also concerning the time commitment and the limits upon the maximum number of offices that UniCredit Directors may hold. Moreover, Directors must take into account the provisions of Art.36 of Law Decree No.201/2011 (“ban on interlocking directorships”), approved as statute by Law No.214/2011, which establishes that holders of a seat in managerial, supervisory and controlling bodies, as well as top management officers in companies or group of companies active in banking, insurance and financial markets are forbidden to hold similar offices, or to exercise similar duties, in competing companies or groups of companies. The function and competencies of the Board of Directors are set forth in the UniCredit Corporate Bodies and Committees Regulation, available on the Governance/Corporate Bodies Section of the UniCredit website. Independence of Directors In compliance with the provisions in force from time to time as well as in line with the criteria envisaged under the Italian Corporate Governance Code, non-executive Directors’ independence shall be assessed by the Board of Directors upon their appointment, during the mandate upon the occurrence of circumstances concerning their independence and in any case at least once a year, on the basis of information provided by the Directors themselves or however available to the Company, also considering any circumstance that affects or could affect such requirement. The outcome of these Board assessments shall be disclosed to the market after the appointment, through a press release and, subsequently, via the Corporate Governance Report. The Corporate Governance & Nomination Committee and the Board of Directors, the latter at the assessment carried out for the renewal of the Board on 5 May 2021, carried out the assessment of the Directors’ independence requirements based on the statements made by the parties concerned and on information available to the Company. Corporate Governance Governance structure 122 2021 Annual Report and Accounts · UniCredit Shareholders' Meeting The Ordinary Shareholders’ Meeting of UniCredit is convened at least once a year within 180 days of the end of the financial year, to resolve upon the issues that current laws and the Articles of Association make it responsible for. An Extraordinary Shareholders’ Meeting is convened, instead, whenever it is necessary to resolve upon any of the matters that are exclusively attributed to it by current laws. The Agenda of the Shareholders’ Meeting is established pursuant to legal requirements and to the UniCredit Articles of Association by whoever exercises the power to call a Meeting. The Ordinary Shareholders’ Meeting has adopted Regulations governing Ordinary and Extraordinary Meetings in a functional and regular way. The Regulations are available on the Governance/Shareholders Section of the UniCredit website. Board of Directors The Board of Directors of UniCredit may be comprised of between a minimum of 9 up to a maximum of 24 members. As at the approval date of this document, UniCredit has 13 Directors. Their term in office is 3 financial years, unless a shorter term is established at the time they are appointed, and ends on the date of the Shareholders’ Meeting called upon to approve the financial statements relating to the latest year in which they were in office. The term in office of the current Board of Directors, which was appointed by the Shareholders’ Meeting of 15 April 2021, will end on the date of the Shareholders’ Meeting called upon to approve the 2023 financial statements. According to the current legal and regulatory provisions, the UniCredit Directors shall be appointed on the basis of a proportional representation mechanism (“voto di lista”) abiding to the membership criteria concerning, inter alia, minority and independent Directors, as well as the balance between genders, pursuant to the procedures specified in Clause 20 of the UniCredit Articles of Association. The legitimate parties who are entitled to submit slates are the Board of Directors and shareholders, who individually or collectively with others represent at least 0.5% of share capital in the form of shares with voting rights at the ordinary Shareholders’ Meetings. The UniCredit Articles of Association envisage that, regardless of the total number of the Board members, two Directors shall be appointed from the second slate receiving the highest votes, without any connection with the shareholders who, even jointly, filed, or voted for, the slate first by number of votes, to ensure to the minority shareholders a greater presence on the Board of Directors. The Board establishes its qualitative and quantitative composition deemed to be optimal for the effective fulfillment of the duties entrusted to the Board of Directors by law, by the Supervisory Provisions and by the UniCredit Articles of Association, according to the current provisions applicable on such topics, also concerning the time commitment and the limits upon the maximum number of offices that UniCredit Directors may hold. Moreover, Directors must take into account the provisions of Art.36 of Law Decree No.201/2011 (“ban on interlocking directorships”), approved as statute by Law No.214/2011, which establishes that holders of a seat in managerial, supervisory and controlling bodies, as well as top management officers in companies or group of companies active in banking, insurance and financial markets are forbidden to hold similar offices, or to exercise similar duties, in competing companies or groups of companies. The function and competencies of the Board of Directors are set forth in the UniCredit Corporate Bodies and Committees Regulation, available on the Governance/Corporate Bodies Section of the UniCredit website. Independence of Directors In compliance with the provisions in force from time to time as well as in line with the criteria envisaged under the Italian Corporate Governance Code, non-executive Directors’ independence shall be assessed by the Board of Directors upon their appointment, during the mandate upon the occurrence of circumstances concerning their independence and in any case at least once a year, on the basis of information provided by the Directors themselves or however available to the Company, also considering any circumstance that affects or could affect such requirement. The outcome of these Board assessments shall be disclosed to the market after the appointment, through a press release and, subsequently, via the Corporate Governance Report. The Corporate Governance & Nomination Committee and the Board of Directors, the latter at the assessment carried out for the renewal of the Board on 5 May 2021, carried out the assessment of the Directors’ independence requirements based on the statements made by the parties concerned and on information available to the Company. Corporate Governance Governance structure 122 2021 Annual Report and Accounts · UniCredit Shareholders' Meeting The Ordinary Shareholders’ Meeting of UniCredit is convened at least once a year within 180 days of the end of the financial year, to resolve upon the issues that current laws and the Articles of Association make it responsible for. An Extraordinary Shareholders’ Meeting is convened, instead, whenever it is necessary to resolve upon any of the matters that are exclusively attributed to it by current laws. The Agenda of the Shareholders’ Meeting is established pursuant to legal requirements and to the UniCredit Articles of Association by whoever exercises the power to call a Meeting. The Ordinary Shareholders’ Meeting has adopted Regulations governing Ordinary and Extraordinary Meetings in a functional and regular way. The Regulations are available on the Governance/Shareholders Section of the UniCredit website. Board of Directors The Board of Directors of UniCredit may be comprised of between a minimum of 9 up to a maximum of 24 members. As at the approval date of this document, UniCredit has 13 Directors. Their term in office is 3 financial years, unless a shorter term is established at the time they are appointed, and ends on the date of the Shareholders’ Meeting called upon to approve the financial statements relating to the latest year in which they were in office. The term in office of the current Board of Directors, which was appointed by the Shareholders’ Meeting of 15 April 2021, will end on the date of the Shareholders’ Meeting called upon to approve the 2023 financial statements. According to the current legal and regulatory provisions, the UniCredit Directors shall be appointed on the basis of a proportional representation mechanism (“voto di lista”) abiding to the membership criteria concerning, inter alia, minority and independent Directors, as well as the balance between genders, pursuant to the procedures specified in Clause 20 of the UniCredit Articles of Association. The legitimate parties who are entitled to submit slates are the Board of Directors and shareholders, who individually or collectively with others represent at least 0.5% of share capital in the form of shares with voting rights at the ordinary Shareholders’ Meetings. The UniCredit Articles of Association envisage that, regardless of the total number of the Board members, two Directors shall be appointed from the second slate receiving the highest votes, without any connection with the shareholders who, even jointly, filed, or voted for, the slate first by number of votes, to ensure to the minority shareholders a greater presence on the Board of Directors. The Board establishes its qualitative and quantitative composition deemed to be optimal for the effective fulfillment of the duties entrusted to the Board of Directors by law, by the Supervisory Provisions and by the UniCredit Articles of Association, according to the current provisions applicable on such topics, also concerning the time commitment and the limits upon the maximum number of offices that UniCredit Directors may hold. Moreover, Directors must take into account the provisions of Art.36 of Law Decree No.201/2011 (“ban on interlocking directorships”), approved as statute by Law No.214/2011, which establishes that holders of a seat in managerial, supervisory and controlling bodies, as well as top management officers in companies or group of companies active in banking, insurance and financial markets are forbidden to hold similar offices, or to exercise similar duties, in competing companies or groups of companies. The function and competencies of the Board of Directors are set forth in the UniCredit Corporate Bodies and Committees Regulation, available on the Governance/Corporate Bodies Section of the UniCredit website. Independence of Directors In compliance with the provisions in force from time to time as well as in line with the criteria envisaged under the Italian Corporate Governance Code, non-executive Directors’ independence shall be assessed by the Board of Directors upon their appointment, during the mandate upon the occurrence of circumstances concerning their independence and in any case at least once a year, on the basis of information provided by the Directors themselves or however available to the Company, also considering any circumstance that affects or could affect such requirement. The outcome of these Board assessments shall be disclosed to the market after the appointment, through a press release and, subsequently, via the Corporate Governance Report. The Corporate Governance & Nomination Committee and the Board of Directors, the latter at the assessment carried out for the renewal of the Board on 5 May 2021, carried out the assessment of the Directors’ independence requirements based on the statements made by the parties concerned and on information available to the Company. Corporate Governance Governance structure 122 2021 Annual Report and Accounts · UniCredit Shareholders' Meeting The Ordinary Shareholders’ Meeting of UniCredit is convened at least once a year within 180 days of the end of the financial year, to resolve upon the issues that current laws and the Articles of Association make it responsible for. An Extraordinary Shareholders’ Meeting is convened, instead, whenever it is necessary to resolve upon any of the matters that are exclusively attributed to it by current laws. The Agenda of the Shareholders’ Meeting is established pursuant to legal requirements and to the UniCredit Articles of Association by whoever exercises the power to call a Meeting. The Ordinary Shareholders’ Meeting has adopted Regulations governing Ordinary and Extraordinary Meetings in a functional and regular way. The Regulations are available on the Governance/Shareholders Section of the UniCredit website. Board of Directors The Board of Directors of UniCredit may be comprised of between a minimum of 9 up to a maximum of 24 members. As at the approval date of this document, UniCredit has 13 Directors. Their term in office is 3 financial years, unless a shorter term is established at the time they are appointed, and ends on the date of the Shareholders’ Meeting called upon to approve the financial statements relating to the latest year in which they were in office. The term in office of the current Board of Directors, which was appointed by the Shareholders’ Meeting of 15 April 2021, will end on the date of the Shareholders’ Meeting called upon to approve the 2023 financial statements. According to the current legal and regulatory provisions, the UniCredit Directors shall be appointed on the basis of a proportional representation mechanism (“voto di lista”) abiding to the membership criteria concerning, inter alia, minority and independent Directors, as well as the balance between genders, pursuant to the procedures specified in Clause 20 of the UniCredit Articles of Association. The legitimate parties who are entitled to submit slates are the Board of Directors and shareholders, who individually or collectively with others represent at least 0.5% of share capital in the form of shares with voting rights at the ordinary Shareholders’ Meetings. The UniCredit Articles of Association envisage that, regardless of the total number of the Board members, two Directors shall be appointed from the second slate receiving the highest votes, without any connection with the shareholders who, even jointly, filed, or voted for, the slate first by number of votes, to ensure to the minority shareholders a greater presence on the Board of Directors. The Board establishes its qualitative and quantitative composition deemed to be optimal for the effective fulfillment of the duties entrusted to the Board of Directors by law, by the Supervisory Provisions and by the UniCredit Articles of Association, according to the current provisions applicable on such topics, also concerning the time commitment and the limits upon the maximum number of offices that UniCredit Directors may hold. Moreover, Directors must take into account the provisions of Art.36 of Law Decree No.201/2011 (“ban on interlocking directorships”), approved as statute by Law No.214/2011, which establishes that holders of a seat in managerial, supervisory and controlling bodies, as well as top management officers in companies or group of companies active in banking, insurance and financial markets are forbidden to hold similar offices, or to exercise similar duties, in competing companies or groups of companies. The function and competencies of the Board of Directors are set forth in the UniCredit Corporate Bodies and Committees Regulation, available on the Governance/Corporate Bodies Section of the UniCredit website. Independence of Directors In compliance with the provisions in force from time to time as well as in line with the criteria envisaged under the Italian Corporate Governance Code, non-executive Directors’ independence shall be assessed by the Board of Directors upon their appointment, during the mandate upon the occurrence of circumstances concerning their independence and in any case at least once a year, on the basis of information provided by the Directors themselves or however available to the Company, also considering any circumstance that affects or could affect such requirement. The outcome of these Board assessments shall be disclosed to the market after the appointment, through a press release and, subsequently, via the Corporate Governance Report. The Corporate Governance & Nomination Committee and the Board of Directors, the latter at the assessment carried out for the renewal of the Board on 5 May 2021, carried out the assessment of the Directors’ independence requirements based on the statements made by the parties concerned and on information available to the Company. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 123 With specific reference to the independence requirements laid down by the Italian Corporate Governance Code, information was taken into account relating to the existence of direct or indirect relationships (credit relationships, business/professional relationships and employee relationships, as well as significant offices held) that Directors and their other connected subjects may have with UniCredit and Group companies. In order to assess the potential significance of the abovementioned relationships, the Board of Directors has decided not to proceed with merely identifying predefined economic targets, which if simply exceeded could automatically indicate that independence has been compromised, as such check requires an overall assessment of both objective and subjective aspects. Therefore, for this purpose, the following criteria should be taken into account: (i) the nature and characteristics of the relationship; (ii) the amount in absolute and relative terms of the transactions; and (iii) the subjective profile of the relationship. More specifically, when assessing the significance of such a relationship, the following information, where available, is considered by the Board: • as far as credit relations are concerned, the amount in absolute value of the credit granted, its weighting in relation to the system and, where appropriate, the economic and financial situation of the borrower; • as far as professional/commercial relations are concerned, the characteristics of the transaction/relationship, the amount of the consideration and, where appropriate, the economic and financial situation of the counterparty; • as far as offices held in Group companies are concerned, the total amount of any additional remunerations. In all of the above cases, all the parties involved (Director or family member; UniCredit or Group Company) and, for relationships with companies/entities, the related kind of “connection" (post held/control participation) with the Director or the family member were taken into account. As a result of such assessments, the number of independent Directors according to the provisions of the Code is equal to 11. At its meeting held on 11 May 2011, the Board of Statutory Auditors ascertained, with a positive outcome, the proper application of the criteria and procedures adopted by the Board of Directors to assess the independence of its own members. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 123 With specific reference to the independence requirements laid down by the Italian Corporate Governance Code, information was taken into account relating to the existence of direct or indirect relationships (credit relationships, business/professional relationships and employee relationships, as well as significant offices held) that Directors and their other connected subjects may have with UniCredit and Group companies. In order to assess the potential significance of the abovementioned relationships, the Board of Directors has decided not to proceed with merely identifying predefined economic targets, which if simply exceeded could automatically indicate that independence has been compromised, as such check requires an overall assessment of both objective and subjective aspects. Therefore, for this purpose, the following criteria should be taken into account: (i) the nature and characteristics of the relationship; (ii) the amount in absolute and relative terms of the transactions; and (iii) the subjective profile of the relationship. More specifically, when assessing the significance of such a relationship, the following information, where available, is considered by the Board: • as far as credit relations are concerned, the amount in absolute value of the credit granted, its weighting in relation to the system and, where appropriate, the economic and financial situation of the borrower; • as far as professional/commercial relations are concerned, the characteristics of the transaction/relationship, the amount of the consideration and, where appropriate, the economic and financial situation of the counterparty; • as far as offices held in Group companies are concerned, the total amount of any additional remunerations. In all of the above cases, all the parties involved (Director or family member; UniCredit or Group Company) and, for relationships with companies/entities, the related kind of “connection" (post held/control participation) with the Director or the family member were taken into account. As a result of such assessments, the number of independent Directors according to the provisions of the Code is equal to 11. At its meeting held on 11 May 2011, the Board of Statutory Auditors ascertained, with a positive outcome, the proper application of the criteria and procedures adopted by the Board of Directors to assess the independence of its own members. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 123 With specific reference to the independence requirements laid down by the Italian Corporate Governance Code, information was taken into account relating to the existence of direct or indirect relationships (credit relationships, business/professional relationships and employee relationships, as well as significant offices held) that Directors and their other connected subjects may have with UniCredit and Group companies. In order to assess the potential significance of the abovementioned relationships, the Board of Directors has decided not to proceed with merely identifying predefined economic targets, which if simply exceeded could automatically indicate that independence has been compromised, as such check requires an overall assessment of both objective and subjective aspects. Therefore, for this purpose, the following criteria should be taken into account: (i) the nature and characteristics of the relationship; (ii) the amount in absolute and relative terms of the transactions; and (iii) the subjective profile of the relationship. More specifically, when assessing the significance of such a relationship, the following information, where available, is considered by the Board: • as far as credit relations are concerned, the amount in absolute value of the credit granted, its weighting in relation to the system and, where appropriate, the economic and financial situation of the borrower; • as far as professional/commercial relations are concerned, the characteristics of the transaction/relationship, the amount of the consideration and, where appropriate, the economic and financial situation of the counterparty; • as far as offices held in Group companies are concerned, the total amount of any additional remunerations. In all of the above cases, all the parties involved (Director or family member; UniCredit or Group Company) and, for relationships with companies/entities, the related kind of “connection" (post held/control participation) with the Director or the family member were taken into account. As a result of such assessments, the number of independent Directors according to the provisions of the Code is equal to 11. At its meeting held on 11 May 2011, the Board of Statutory Auditors ascertained, with a positive outcome, the proper application of the criteria and procedures adopted by the Board of Directors to assess the independence of its own members. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 123 With specific reference to the independence requirements laid down by the Italian Corporate Governance Code, information was taken into account relating to the existence of direct or indirect relationships (credit relationships, business/professional relationships and employee relationships, as well as significant offices held) that Directors and their other connected subjects may have with UniCredit and Group companies. In order to assess the potential significance of the abovementioned relationships, the Board of Directors has decided not to proceed with merely identifying predefined economic targets, which if simply exceeded could automatically indicate that independence has been compromised, as such check requires an overall assessment of both objective and subjective aspects. Therefore, for this purpose, the following criteria should be taken into account: (i) the nature and characteristics of the relationship; (ii) the amount in absolute and relative terms of the transactions; and (iii) the subjective profile of the relationship. More specifically, when assessing the significance of such a relationship, the following information, where available, is considered by the Board: • as far as credit relations are concerned, the amount in absolute value of the credit granted, its weighting in relation to the system and, where appropriate, the economic and financial situation of the borrower; • as far as professional/commercial relations are concerned, the characteristics of the transaction/relationship, the amount of the consideration and, where appropriate, the economic and financial situation of the counterparty; • as far as offices held in Group companies are concerned, the total amount of any additional remunerations. In all of the above cases, all the parties involved (Director or family member; UniCredit or Group Company) and, for relationships with companies/entities, the related kind of “connection" (post held/control participation) with the Director or the family member were taken into account. As a result of such assessments, the number of independent Directors according to the provisions of the Code is equal to 11. At its meeting held on 11 May 2011, the Board of Statutory Auditors ascertained, with a positive outcome, the proper application of the criteria and procedures adopted by the Board of Directors to assess the independence of its own members. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 123 With specific reference to the independence requirements laid down by the Italian Corporate Governance Code, information was taken into account relating to the existence of direct or indirect relationships (credit relationships, business/professional relationships and employee relationships, as well as significant offices held) that Directors and their other connected subjects may have with UniCredit and Group companies. In order to assess the potential significance of the abovementioned relationships, the Board of Directors has decided not to proceed with merely identifying predefined economic targets, which if simply exceeded could automatically indicate that independence has been compromised, as such check requires an overall assessment of both objective and subjective aspects. Therefore, for this purpose, the following criteria should be taken into account: (i) the nature and characteristics of the relationship; (ii) the amount in absolute and relative terms of the transactions; and (iii) the subjective profile of the relationship. More specifically, when assessing the significance of such a relationship, the following information, where available, is considered by the Board: • as far as credit relations are concerned, the amount in absolute value of the credit granted, its weighting in relation to the system and, where appropriate, the economic and financial situation of the borrower; • as far as professional/commercial relations are concerned, the characteristics of the transaction/relationship, the amount of the consideration and, where appropriate, the economic and financial situation of the counterparty; • as far as offices held in Group companies are concerned, the total amount of any additional remunerations. In all of the above cases, all the parties involved (Director or family member; UniCredit or Group Company) and, for relationships with companies/entities, the related kind of “connection" (post held/control participation) with the Director or the family member were taken into account. As a result of such assessments, the number of independent Directors according to the provisions of the Code is equal to 11. At its meeting held on 11 May 2011, the Board of Statutory Auditors ascertained, with a positive outcome, the proper application of the criteria and procedures adopted by the Board of Directors to assess the independence of its own members. Corporate Governance Governance structure 124 2021 Annual Report and Accounts · UniCredit Status and activities of the Directors In the following chart the information regarding the members of the Board of Directors in office at the approval date of this document is reported. IN OFFICE SLATE (M/m)(*) EXECUTIVE NON-EXECUTIVE INDEPENDENT AS CODE INDEPENDENT AS TUB INDEPENDENT AS TUF BOARD MEETINGS ATTENDANCE %(**) NUMBER OF OTHER POSITIONS(***) POSITION MEMBERS SINCE UNTIL Chairman Padoan Pietro Carlo 04.15.2021 Approval of 2023 financial statements M X X X 100 -- Deputy Vice Chairman Andreotti Lamberto 04.15.2021 Approval of 2023 financial statements M X X X X 95.65 1 CEO◊ Orcel Andrea 04.15.2021 Approval of 2023 financial statements M X 100 1 Director Cariello Vincenzo 04.15.2021 Approval of 2023 financial statements m X X X X 95.65 1 Director Carletti Elena 04.15.2021 Approval of 2023 financial statements M X X X X 100 -- Director Gadhia Jane-Anne 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Hedberg Jeffrey Alan 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Lara Bartolomé Beatriz Ángela 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Molinari Luca 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Pierdicchi Maria 04.15.2021 Approval of 2023 financial statements M X X X X 100 2 Director Tondi Francesca 04.15.2021 Approval of 2023 financial statements m X X X X 100 1 Director Wagner Renate 04.15.2021 Approval of 2023 financial statements M X X X 93.75 2 Director Wolfgring Alexander 04.15.2021 Approval of 2023 financial statements M X X X X 100 2 ----- Directors who left during the Reference Period ----- Chairman Bisoni Cesare(1) 04.12.2018 04.15.2021 M X -- X 100 -- CEO◊ Mustier Jean Pierre (2) 04.12.2018 02.10.2021 M X -- 66.67 -- Director Al Mehairi Mohamed Hamad 04.12.2018 04.15.2021 M X X -- X 71.43 6 Director Balbinot Sergio 04.12.2018 04.15.2021 M X -- X 85.71 9 Director De Giorgi Diego(3) 02.05.2020 04.15.2021 -- X X -- X 100 -- Director Micossi Stefano 04.12.2018 04.15.2021 M X X -- X 100 -- Quorum required for the submission of the slates for the latest appointment: 0.5% Number of meetings held during the financial year: 23 Notes: (*) M = Member elected from the slate that obtained the majority of the Shareholders’ votes. m = Member elected from the slate voted by the minority. (**) Number of meeting attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period. (***) Number of positions as Director or Auditor held in other listed companies or large companies. A list of such companies for each Director is attached to the Report on corporate governance and ownership structure. ◊ Director in charge of the internal controls and risks management system. (1) Appointed as Chair on 20 September 2019. As Deputy Vice Chairman, Mr. Bisoni acted as pro-tempore Chair from 8 August to 20 September 2019. (2) Termination following the anticipated ending from the position of Chief Executive Officer and General Manager (effective from 11 February 2021). In order to ensure full managerial continuity, the Board appointed a General Manager in accordance with Clause 21 (5) of the Articles of Association, who remained in office until the appointment of the new Chief Executive Officer. (3) Co-opted on 5 February 2020, and confirmed by the Shareholders’ Meeting on 9 April 2020. Corporate Governance Governance structure 124 2021 Annual Report and Accounts · UniCredit Status and activities of the Directors In the following chart the information regarding the members of the Board of Directors in office at the approval date of this document is reported. IN OFFICE SLATE (M/m)(*) EXECUTIVE NON-EXECUTIVE INDEPENDENT AS CODE INDEPENDENT AS TUB INDEPENDENT AS TUF BOARD MEETINGS ATTENDANCE %(**) NUMBER OF OTHER POSITIONS(***) POSITION MEMBERS SINCE UNTIL Chairman Padoan Pietro Carlo 04.15.2021 Approval of 2023 financial statements M X X X 100 -- Deputy Vice Chairman Andreotti Lamberto 04.15.2021 Approval of 2023 financial statements M X X X X 95.65 1 CEO◊ Orcel Andrea 04.15.2021 Approval of 2023 financial statements M X 100 1 Director Cariello Vincenzo 04.15.2021 Approval of 2023 financial statements m X X X X 95.65 1 Director Carletti Elena 04.15.2021 Approval of 2023 financial statements M X X X X 100 -- Director Gadhia Jane-Anne 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Hedberg Jeffrey Alan 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Lara Bartolomé Beatriz Ángela 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Molinari Luca 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Pierdicchi Maria 04.15.2021 Approval of 2023 financial statements M X X X X 100 2 Director Tondi Francesca 04.15.2021 Approval of 2023 financial statements m X X X X 100 1 Director Wagner Renate 04.15.2021 Approval of 2023 financial statements M X X X 93.75 2 Director Wolfgring Alexander 04.15.2021 Approval of 2023 financial statements M X X X X 100 2 ----- Directors who left during the Reference Period ----- Chairman Bisoni Cesare(1) 04.12.2018 04.15.2021 M X -- X 100 -- CEO◊ Mustier Jean Pierre (2) 04.12.2018 02.10.2021 M X -- 66.67 -- Director Al Mehairi Mohamed Hamad 04.12.2018 04.15.2021 M X X -- X 71.43 6 Director Balbinot Sergio 04.12.2018 04.15.2021 M X -- X 85.71 9 Director De Giorgi Diego(3) 02.05.2020 04.15.2021 -- X X -- X 100 -- Director Micossi Stefano 04.12.2018 04.15.2021 M X X -- X 100 -- Quorum required for the submission of the slates for the latest appointment: 0.5% Number of meetings held during the financial year: 23 Notes: (*) M = Member elected from the slate that obtained the majority of the Shareholders’ votes. m = Member elected from the slate voted by the minority. (**) Number of meeting attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period. (***) Number of positions as Director or Auditor held in other listed companies or large companies. A list of such companies for each Director is attached to the Report on corporate governance and ownership structure. ◊ Director in charge of the internal controls and risks management system. (1) Appointed as Chair on 20 September 2019. As Deputy Vice Chairman, Mr. Bisoni acted as pro-tempore Chair from 8 August to 20 September 2019. (2) Termination following the anticipated ending from the position of Chief Executive Officer and General Manager (effective from 11 February 2021). In order to ensure full managerial continuity, the Board appointed a General Manager in accordance with Clause 21 (5) of the Articles of Association, who remained in office until the appointment of the new Chief Executive Officer. (3) Co-opted on 5 February 2020, and confirmed by the Shareholders’ Meeting on 9 April 2020. Corporate Governance Governance structure 124 2021 Annual Report and Accounts · UniCredit Status and activities of the Directors In the following chart the information regarding the members of the Board of Directors in office at the approval date of this document is reported. IN OFFICE SLATE (M/m)(*) EXECUTIVE NON-EXECUTIVE INDEPENDENT AS CODE INDEPENDENT AS TUB INDEPENDENT AS TUF BOARD MEETINGS ATTENDANCE %(**) NUMBER OF OTHER POSITIONS(***) POSITION MEMBERS SINCE UNTIL Chairman Padoan Pietro Carlo 04.15.2021 Approval of 2023 financial statements M X X X 100 -- Deputy Vice Chairman Andreotti Lamberto 04.15.2021 Approval of 2023 financial statements M X X X X 95.65 1 CEO◊ Orcel Andrea 04.15.2021 Approval of 2023 financial statements M X 100 1 Director Cariello Vincenzo 04.15.2021 Approval of 2023 financial statements m X X X X 95.65 1 Director Carletti Elena 04.15.2021 Approval of 2023 financial statements M X X X X 100 -- Director Gadhia Jane-Anne 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Hedberg Jeffrey Alan 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Lara Bartolomé Beatriz Ángela 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Molinari Luca 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Pierdicchi Maria 04.15.2021 Approval of 2023 financial statements M X X X X 100 2 Director Tondi Francesca 04.15.2021 Approval of 2023 financial statements m X X X X 100 1 Director Wagner Renate 04.15.2021 Approval of 2023 financial statements M X X X 93.75 2 Director Wolfgring Alexander 04.15.2021 Approval of 2023 financial statements M X X X X 100 2 ----- Directors who left during the Reference Period ----- Chairman Bisoni Cesare(1) 04.12.2018 04.15.2021 M X -- X 100 -- CEO◊ Mustier Jean Pierre (2) 04.12.2018 02.10.2021 M X -- 66.67 -- Director Al Mehairi Mohamed Hamad 04.12.2018 04.15.2021 M X X -- X 71.43 6 Director Balbinot Sergio 04.12.2018 04.15.2021 M X -- X 85.71 9 Director De Giorgi Diego(3) 02.05.2020 04.15.2021 -- X X -- X 100 -- Director Micossi Stefano 04.12.2018 04.15.2021 M X X -- X 100 -- Quorum required for the submission of the slates for the latest appointment: 0.5% Number of meetings held during the financial year: 23 Notes: (*) M = Member elected from the slate that obtained the majority of the Shareholders’ votes. m = Member elected from the slate voted by the minority. (**) Number of meeting attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period. (***) Number of positions as Director or Auditor held in other listed companies or large companies. A list of such companies for each Director is attached to the Report on corporate governance and ownership structure. ◊ Director in charge of the internal controls and risks management system. (1) Appointed as Chair on 20 September 2019. As Deputy Vice Chairman, Mr. Bisoni acted as pro-tempore Chair from 8 August to 20 September 2019. (2) Termination following the anticipated ending from the position of Chief Executive Officer and General Manager (effective from 11 February 2021). In order to ensure full managerial continuity, the Board appointed a General Manager in accordance with Clause 21 (5) of the Articles of Association, who remained in office until the appointment of the new Chief Executive Officer. (3) Co-opted on 5 February 2020, and confirmed by the Shareholders’ Meeting on 9 April 2020. Corporate Governance Governance structure 124 2021 Annual Report and Accounts · UniCredit Status and activities of the Directors In the following chart the information regarding the members of the Board of Directors in office at the approval date of this document is reported. IN OFFICE SLATE (M/m)(*) EXECUTIVE NON-EXECUTIVE INDEPENDENT AS CODE INDEPENDENT AS TUB INDEPENDENT AS TUF BOARD MEETINGS ATTENDANCE %(**) NUMBER OF OTHER POSITIONS(***) POSITION MEMBERS SINCE UNTIL Chairman Padoan Pietro Carlo 04.15.2021 Approval of 2023 financial statements M X X X 100 -- Deputy Vice Chairman Andreotti Lamberto 04.15.2021 Approval of 2023 financial statements M X X X X 95.65 1 CEO◊ Orcel Andrea 04.15.2021 Approval of 2023 financial statements M X 100 1 Director Cariello Vincenzo 04.15.2021 Approval of 2023 financial statements m X X X X 95.65 1 Director Carletti Elena 04.15.2021 Approval of 2023 financial statements M X X X X 100 -- Director Gadhia Jane-Anne 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Hedberg Jeffrey Alan 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Lara Bartolomé Beatriz Ángela 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Molinari Luca 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Pierdicchi Maria 04.15.2021 Approval of 2023 financial statements M X X X X 100 2 Director Tondi Francesca 04.15.2021 Approval of 2023 financial statements m X X X X 100 1 Director Wagner Renate 04.15.2021 Approval of 2023 financial statements M X X X 93.75 2 Director Wolfgring Alexander 04.15.2021 Approval of 2023 financial statements M X X X X 100 2 ----- Directors who left during the Reference Period ----- Chairman Bisoni Cesare(1) 04.12.2018 04.15.2021 M X -- X 100 -- CEO◊ Mustier Jean Pierre (2) 04.12.2018 02.10.2021 M X -- 66.67 -- Director Al Mehairi Mohamed Hamad 04.12.2018 04.15.2021 M X X -- X 71.43 6 Director Balbinot Sergio 04.12.2018 04.15.2021 M X -- X 85.71 9 Director De Giorgi Diego(3) 02.05.2020 04.15.2021 -- X X -- X 100 -- Director Micossi Stefano 04.12.2018 04.15.2021 M X X -- X 100 -- Quorum required for the submission of the slates for the latest appointment: 0.5% Number of meetings held during the financial year: 23 Notes: (*) M = Member elected from the slate that obtained the majority of the Shareholders’ votes. m = Member elected from the slate voted by the minority. (**) Number of meeting attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period. (***) Number of positions as Director or Auditor held in other listed companies or large companies. A list of such companies for each Director is attached to the Report on corporate governance and ownership structure. ◊ Director in charge of the internal controls and risks management system. (1) Appointed as Chair on 20 September 2019. As Deputy Vice Chairman, Mr. Bisoni acted as pro-tempore Chair from 8 August to 20 September 2019. (2) Termination following the anticipated ending from the position of Chief Executive Officer and General Manager (effective from 11 February 2021). In order to ensure full managerial continuity, the Board appointed a General Manager in accordance with Clause 21 (5) of the Articles of Association, who remained in office until the appointment of the new Chief Executive Officer. (3) Co-opted on 5 February 2020, and confirmed by the Shareholders’ Meeting on 9 April 2020. Corporate Governance Governance structure 124 2021 Annual Report and Accounts · UniCredit Status and activities of the Directors In the following chart the information regarding the members of the Board of Directors in office at the approval date of this document is reported. IN OFFICE SLATE (M/m)(*) EXECUTIVE NON-EXECUTIVE INDEPENDENT AS CODE INDEPENDENT AS TUB INDEPENDENT AS TUF BOARD MEETINGS ATTENDANCE %(**) NUMBER OF OTHER POSITIONS(***) POSITION MEMBERS SINCE UNTIL Chairman Padoan Pietro Carlo 04.15.2021 Approval of 2023 financial statements M X X X 100 -- Deputy Vice Chairman Andreotti Lamberto 04.15.2021 Approval of 2023 financial statements M X X X X 95.65 1 CEO◊ Orcel Andrea 04.15.2021 Approval of 2023 financial statements M X 100 1 Director Cariello Vincenzo 04.15.2021 Approval of 2023 financial statements m X X X X 95.65 1 Director Carletti Elena 04.15.2021 Approval of 2023 financial statements M X X X X 100 -- Director Gadhia Jane-Anne 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Hedberg Jeffrey Alan 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Lara Bartolomé Beatriz Ángela 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Molinari Luca 04.15.2021 Approval of 2023 financial statements M X X X X 100 1 Director Pierdicchi Maria 04.15.2021 Approval of 2023 financial statements M X X X X 100 2 Director Tondi Francesca 04.15.2021 Approval of 2023 financial statements m X X X X 100 1 Director Wagner Renate 04.15.2021 Approval of 2023 financial statements M X X X 93.75 2 Director Wolfgring Alexander 04.15.2021 Approval of 2023 financial statements M X X X X 100 2 ----- Directors who left during the Reference Period ----- Chairman Bisoni Cesare(1) 04.12.2018 04.15.2021 M X -- X 100 -- CEO◊ Mustier Jean Pierre (2) 04.12.2018 02.10.2021 M X -- 66.67 -- Director Al Mehairi Mohamed Hamad 04.12.2018 04.15.2021 M X X -- X 71.43 6 Director Balbinot Sergio 04.12.2018 04.15.2021 M X -- X 85.71 9 Director De Giorgi Diego(3) 02.05.2020 04.15.2021 -- X X -- X 100 -- Director Micossi Stefano 04.12.2018 04.15.2021 M X X -- X 100 -- Quorum required for the submission of the slates for the latest appointment: 0.5% Number of meetings held during the financial year: 23 Notes: (*) M = Member elected from the slate that obtained the majority of the Shareholders’ votes. m = Member elected from the slate voted by the minority. (**) Number of meeting attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period. (***) Number of positions as Director or Auditor held in other listed companies or large companies. A list of such companies for each Director is attached to the Report on corporate governance and ownership structure. ◊ Director in charge of the internal controls and risks management system. (1) Appointed as Chair on 20 September 2019. As Deputy Vice Chairman, Mr. Bisoni acted as pro-tempore Chair from 8 August to 20 September 2019. (2) Termination following the anticipated ending from the position of Chief Executive Officer and General Manager (effective from 11 February 2021). In order to ensure full managerial continuity, the Board appointed a General Manager in accordance with Clause 21 (5) of the Articles of Association, who remained in office until the appointment of the new Chief Executive Officer. (3) Co-opted on 5 February 2020, and confirmed by the Shareholders’ Meeting on 9 April 2020. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 125 Committees of the Board of Directors In order to foster an efficient information and advisory system to enable the Board of Directors better to assess the topics for which it is responsible, also in accordance with the provisions of the Code, the Board has established five Committees, vested with research, advisory and proposal-making powers diversified by sector of competence: the Internal Controls & Risks Committee, the Corporate Governance & Nomination Committee, the ESG Committee, the Remuneration Committee and the Related-Parties Committee. Their duties are undertaken based on terms of reference and procedures set forth by the Board. The Committees consist, as a rule, of a number of members from 3 up to 5. More specifically, the Internal Controls & Risks Committee, the Corporate Governance & Nomination Committee, the ESG Committee and the Remuneration Committee, all set up in compliance with the provisions contained in the Banca d’Italia Supervisory Regulations on banks’ corporate governance, are composed of non-executives Directors, mostly independent. Such Committees must be differentiated from each other by at least one member and, if a Director elected by the minorities is present, that Director is a member of at least one Committee. The Chair of each Committee shall be chosen from among the independent members. The Related-Parties Committee, set up for overseeing issues concerning transactions with related and associated parties, in compliance with the CONSOB regulatory provisions and the Banca d’Italia Supervisory Regulations, consists only of independent Directors pursuant to the Italian Corporate Governance Code. None of the functions of one or more specialist Committees on appointments, risks and remuneration envisaged by the Code has been reserved for the Board of Directors. Moreover, none of the abovementioned Committees, per se, performs the multiple functions of two or more committees as envisaged by the Code. The Committee functions have not been allocated amongst the various Committees in a different manner that differs from the provisions of the Code. The Committee’s tasks are coordinated by its Chair, who exercises all necessary powers for its proper functioning. Each Committee draws up an annual plan of activities to ensure the fulfillment of its tasks. Committee meetings are convened by the Chair with frequency adequate to the fulfillment of its tasks and plan of activities or when needed or requested in writing, with proper motivation, by at least two members of the Committee. The provisions set out for the Board of Directors’ functioning shall apply, as compatible, to the Board Committees. Committee members have the necessary knowledge, skills and experience to perform the duties assigned to them and ensure that any other corporate positions they hold in other companies or entities (including non-Italian ones) are compatible with their availability and commitment to serve as a Committee member. At the invitation of each Committee Chair, the CEO, other Directors, the General Manager (when appointed), the Manager in charge of drafting the company financial reports, as well as personnel belonging to the Company and the Group, may attend Committee meetings on specific Agenda items. Without prejudice to the possibility for the other Statutory Auditors to attend the meetings, the Chair of the Board of Statutory Auditors - or any other Auditor designated by the latter - attends Board Committee meetings. Always at the invitation of each Committee Chair, personnel or externals appointed in the corporate bodies of the Group’s subsidiaries may be called upon to attend Committee meetings. To perform their duties, Board Committees have access to the financial resources necessary to guarantee their operational independence and, within the limitations of the budget approved by the Board of Directors, may consult independent external experts and invite them to attend meetings; in the event of specific requirements, the relevant budget may be supplemented. The Chair of each Committee, at the first available Board of Directors meeting, reports on the activities carried out during the Committee meetings, with the support of specific documentation. The Board Committees’ composition, functions and competencies are set forth in the Corporate Bodies and Committees Regulation, available on the Governance/Corporate bodies Section of the UniCredit website. Internal Controls & Risks Committee The Internal Controls & Risks Committee consists of 4 non-executive Directors. The composition of the Internal Controls & Risks Committee is the following: Ms. Elena Carletti (Chairwoman), Ms. Maria Pierdicchi, Ms. Francesca Tondi and Mr. Alexander Wolfgring. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 125 Committees of the Board of Directors In order to foster an efficient information and advisory system to enable the Board of Directors better to assess the topics for which it is responsible, also in accordance with the provisions of the Code, the Board has established five Committees, vested with research, advisory and proposal-making powers diversified by sector of competence: the Internal Controls & Risks Committee, the Corporate Governance & Nomination Committee, the ESG Committee, the Remuneration Committee and the Related-Parties Committee. Their duties are undertaken based on terms of reference and procedures set forth by the Board. The Committees consist, as a rule, of a number of members from 3 up to 5. More specifically, the Internal Controls & Risks Committee, the Corporate Governance & Nomination Committee, the ESG Committee and the Remuneration Committee, all set up in compliance with the provisions contained in the Banca d’Italia Supervisory Regulations on banks’ corporate governance, are composed of non-executives Directors, mostly independent. Such Committees must be differentiated from each other by at least one member and, if a Director elected by the minorities is present, that Director is a member of at least one Committee. The Chair of each Committee shall be chosen from among the independent members. The Related-Parties Committee, set up for overseeing issues concerning transactions with related and associated parties, in compliance with the CONSOB regulatory provisions and the Banca d’Italia Supervisory Regulations, consists only of independent Directors pursuant to the Italian Corporate Governance Code. None of the functions of one or more specialist Committees on appointments, risks and remuneration envisaged by the Code has been reserved for the Board of Directors. Moreover, none of the abovementioned Committees, per se, performs the multiple functions of two or more committees as envisaged by the Code. The Committee functions have not been allocated amongst the various Committees in a different manner that differs from the provisions of the Code. The Committee’s tasks are coordinated by its Chair, who exercises all necessary powers for its proper functioning. Each Committee draws up an annual plan of activities to ensure the fulfillment of its tasks. Committee meetings are convened by the Chair with frequency adequate to the fulfillment of its tasks and plan of activities or when needed or requested in writing, with proper motivation, by at least two members of the Committee. The provisions set out for the Board of Directors’ functioning shall apply, as compatible, to the Board Committees. Committee members have the necessary knowledge, skills and experience to perform the duties assigned to them and ensure that any other corporate positions they hold in other companies or entities (including non-Italian ones) are compatible with their availability and commitment to serve as a Committee member. At the invitation of each Committee Chair, the CEO, other Directors, the General Manager (when appointed), the Manager in charge of drafting the company financial reports, as well as personnel belonging to the Company and the Group, may attend Committee meetings on specific Agenda items. Without prejudice to the possibility for the other Statutory Auditors to attend the meetings, the Chair of the Board of Statutory Auditors - or any other Auditor designated by the latter - attends Board Committee meetings. Always at the invitation of each Committee Chair, personnel or externals appointed in the corporate bodies of the Group’s subsidiaries may be called upon to attend Committee meetings. To perform their duties, Board Committees have access to the financial resources necessary to guarantee their operational independence and, within the limitations of the budget approved by the Board of Directors, may consult independent external experts and invite them to attend meetings; in the event of specific requirements, the relevant budget may be supplemented. The Chair of each Committee, at the first available Board of Directors meeting, reports on the activities carried out during the Committee meetings, with the support of specific documentation. The Board Committees’ composition, functions and competencies are set forth in the Corporate Bodies and Committees Regulation, available on the Governance/Corporate bodies Section of the UniCredit website. Internal Controls & Risks Committee The Internal Controls & Risks Committee consists of 4 non-executive Directors. The composition of the Internal Controls & Risks Committee is the following: Ms. Elena Carletti (Chairwoman), Ms. Maria Pierdicchi, Ms. Francesca Tondi and Mr. Alexander Wolfgring. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 125 Committees of the Board of Directors In order to foster an efficient information and advisory system to enable the Board of Directors better to assess the topics for which it is responsible, also in accordance with the provisions of the Code, the Board has established five Committees, vested with research, advisory and proposal-making powers diversified by sector of competence: the Internal Controls & Risks Committee, the Corporate Governance & Nomination Committee, the ESG Committee, the Remuneration Committee and the Related-Parties Committee. Their duties are undertaken based on terms of reference and procedures set forth by the Board. The Committees consist, as a rule, of a number of members from 3 up to 5. More specifically, the Internal Controls & Risks Committee, the Corporate Governance & Nomination Committee, the ESG Committee and the Remuneration Committee, all set up in compliance with the provisions contained in the Banca d’Italia Supervisory Regulations on banks’ corporate governance, are composed of non-executives Directors, mostly independent. Such Committees must be differentiated from each other by at least one member and, if a Director elected by the minorities is present, that Director is a member of at least one Committee. The Chair of each Committee shall be chosen from among the independent members. The Related-Parties Committee, set up for overseeing issues concerning transactions with related and associated parties, in compliance with the CONSOB regulatory provisions and the Banca d’Italia Supervisory Regulations, consists only of independent Directors pursuant to the Italian Corporate Governance Code. None of the functions of one or more specialist Committees on appointments, risks and remuneration envisaged by the Code has been reserved for the Board of Directors. Moreover, none of the abovementioned Committees, per se, performs the multiple functions of two or more committees as envisaged by the Code. The Committee functions have not been allocated amongst the various Committees in a different manner that differs from the provisions of the Code. The Committee’s tasks are coordinated by its Chair, who exercises all necessary powers for its proper functioning. Each Committee draws up an annual plan of activities to ensure the fulfillment of its tasks. Committee meetings are convened by the Chair with frequency adequate to the fulfillment of its tasks and plan of activities or when needed or requested in writing, with proper motivation, by at least two members of the Committee. The provisions set out for the Board of Directors’ functioning shall apply, as compatible, to the Board Committees. Committee members have the necessary knowledge, skills and experience to perform the duties assigned to them and ensure that any other corporate positions they hold in other companies or entities (including non-Italian ones) are compatible with their availability and commitment to serve as a Committee member. At the invitation of each Committee Chair, the CEO, other Directors, the General Manager (when appointed), the Manager in charge of drafting the company financial reports, as well as personnel belonging to the Company and the Group, may attend Committee meetings on specific Agenda items. Without prejudice to the possibility for the other Statutory Auditors to attend the meetings, the Chair of the Board of Statutory Auditors - or any other Auditor designated by the latter - attends Board Committee meetings. Always at the invitation of each Committee Chair, personnel or externals appointed in the corporate bodies of the Group’s subsidiaries may be called upon to attend Committee meetings. To perform their duties, Board Committees have access to the financial resources necessary to guarantee their operational independence and, within the limitations of the budget approved by the Board of Directors, may consult independent external experts and invite them to attend meetings; in the event of specific requirements, the relevant budget may be supplemented. The Chair of each Committee, at the first available Board of Directors meeting, reports on the activities carried out during the Committee meetings, with the support of specific documentation. The Board Committees’ composition, functions and competencies are set forth in the Corporate Bodies and Committees Regulation, available on the Governance/Corporate bodies Section of the UniCredit website. Internal Controls & Risks Committee The Internal Controls & Risks Committee consists of 4 non-executive Directors. The composition of the Internal Controls & Risks Committee is the following: Ms. Elena Carletti (Chairwoman), Ms. Maria Pierdicchi, Ms. Francesca Tondi and Mr. Alexander Wolfgring. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 125 Committees of the Board of Directors In order to foster an efficient information and advisory system to enable the Board of Directors better to assess the topics for which it is responsible, also in accordance with the provisions of the Code, the Board has established five Committees, vested with research, advisory and proposal-making powers diversified by sector of competence: the Internal Controls & Risks Committee, the Corporate Governance & Nomination Committee, the ESG Committee, the Remuneration Committee and the Related-Parties Committee. Their duties are undertaken based on terms of reference and procedures set forth by the Board. The Committees consist, as a rule, of a number of members from 3 up to 5. More specifically, the Internal Controls & Risks Committee, the Corporate Governance & Nomination Committee, the ESG Committee and the Remuneration Committee, all set up in compliance with the provisions contained in the Banca d’Italia Supervisory Regulations on banks’ corporate governance, are composed of non-executives Directors, mostly independent. Such Committees must be differentiated from each other by at least one member and, if a Director elected by the minorities is present, that Director is a member of at least one Committee. The Chair of each Committee shall be chosen from among the independent members. The Related-Parties Committee, set up for overseeing issues concerning transactions with related and associated parties, in compliance with the CONSOB regulatory provisions and the Banca d’Italia Supervisory Regulations, consists only of independent Directors pursuant to the Italian Corporate Governance Code. None of the functions of one or more specialist Committees on appointments, risks and remuneration envisaged by the Code has been reserved for the Board of Directors. Moreover, none of the abovementioned Committees, per se, performs the multiple functions of two or more committees as envisaged by the Code. The Committee functions have not been allocated amongst the various Committees in a different manner that differs from the provisions of the Code. The Committee’s tasks are coordinated by its Chair, who exercises all necessary powers for its proper functioning. Each Committee draws up an annual plan of activities to ensure the fulfillment of its tasks. Committee meetings are convened by the Chair with frequency adequate to the fulfillment of its tasks and plan of activities or when needed or requested in writing, with proper motivation, by at least two members of the Committee. The provisions set out for the Board of Directors’ functioning shall apply, as compatible, to the Board Committees. Committee members have the necessary knowledge, skills and experience to perform the duties assigned to them and ensure that any other corporate positions they hold in other companies or entities (including non-Italian ones) are compatible with their availability and commitment to serve as a Committee member. At the invitation of each Committee Chair, the CEO, other Directors, the General Manager (when appointed), the Manager in charge of drafting the company financial reports, as well as personnel belonging to the Company and the Group, may attend Committee meetings on specific Agenda items. Without prejudice to the possibility for the other Statutory Auditors to attend the meetings, the Chair of the Board of Statutory Auditors - or any other Auditor designated by the latter - attends Board Committee meetings. Always at the invitation of each Committee Chair, personnel or externals appointed in the corporate bodies of the Group’s subsidiaries may be called upon to attend Committee meetings. To perform their duties, Board Committees have access to the financial resources necessary to guarantee their operational independence and, within the limitations of the budget approved by the Board of Directors, may consult independent external experts and invite them to attend meetings; in the event of specific requirements, the relevant budget may be supplemented. The Chair of each Committee, at the first available Board of Directors meeting, reports on the activities carried out during the Committee meetings, with the support of specific documentation. The Board Committees’ composition, functions and competencies are set forth in the Corporate Bodies and Committees Regulation, available on the Governance/Corporate bodies Section of the UniCredit website. Internal Controls & Risks Committee The Internal Controls & Risks Committee consists of 4 non-executive Directors. The composition of the Internal Controls & Risks Committee is the following: Ms. Elena Carletti (Chairwoman), Ms. Maria Pierdicchi, Ms. Francesca Tondi and Mr. Alexander Wolfgring. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 125 Committees of the Board of Directors In order to foster an efficient information and advisory system to enable the Board of Directors better to assess the topics for which it is responsible, also in accordance with the provisions of the Code, the Board has established five Committees, vested with research, advisory and proposal-making powers diversified by sector of competence: the Internal Controls & Risks Committee, the Corporate Governance & Nomination Committee, the ESG Committee, the Remuneration Committee and the Related-Parties Committee. Their duties are undertaken based on terms of reference and procedures set forth by the Board. The Committees consist, as a rule, of a number of members from 3 up to 5. More specifically, the Internal Controls & Risks Committee, the Corporate Governance & Nomination Committee, the ESG Committee and the Remuneration Committee, all set up in compliance with the provisions contained in the Banca d’Italia Supervisory Regulations on banks’ corporate governance, are composed of non-executives Directors, mostly independent. Such Committees must be differentiated from each other by at least one member and, if a Director elected by the minorities is present, that Director is a member of at least one Committee. The Chair of each Committee shall be chosen from among the independent members. The Related-Parties Committee, set up for overseeing issues concerning transactions with related and associated parties, in compliance with the CONSOB regulatory provisions and the Banca d’Italia Supervisory Regulations, consists only of independent Directors pursuant to the Italian Corporate Governance Code. None of the functions of one or more specialist Committees on appointments, risks and remuneration envisaged by the Code has been reserved for the Board of Directors. Moreover, none of the abovementioned Committees, per se, performs the multiple functions of two or more committees as envisaged by the Code. The Committee functions have not been allocated amongst the various Committees in a different manner that differs from the provisions of the Code. The Committee’s tasks are coordinated by its Chair, who exercises all necessary powers for its proper functioning. Each Committee draws up an annual plan of activities to ensure the fulfillment of its tasks. Committee meetings are convened by the Chair with frequency adequate to the fulfillment of its tasks and plan of activities or when needed or requested in writing, with proper motivation, by at least two members of the Committee. The provisions set out for the Board of Directors’ functioning shall apply, as compatible, to the Board Committees. Committee members have the necessary knowledge, skills and experience to perform the duties assigned to them and ensure that any other corporate positions they hold in other companies or entities (including non-Italian ones) are compatible with their availability and commitment to serve as a Committee member. At the invitation of each Committee Chair, the CEO, other Directors, the General Manager (when appointed), the Manager in charge of drafting the company financial reports, as well as personnel belonging to the Company and the Group, may attend Committee meetings on specific Agenda items. Without prejudice to the possibility for the other Statutory Auditors to attend the meetings, the Chair of the Board of Statutory Auditors - or any other Auditor designated by the latter - attends Board Committee meetings. Always at the invitation of each Committee Chair, personnel or externals appointed in the corporate bodies of the Group’s subsidiaries may be called upon to attend Committee meetings. To perform their duties, Board Committees have access to the financial resources necessary to guarantee their operational independence and, within the limitations of the budget approved by the Board of Directors, may consult independent external experts and invite them to attend meetings; in the event of specific requirements, the relevant budget may be supplemented. The Chair of each Committee, at the first available Board of Directors meeting, reports on the activities carried out during the Committee meetings, with the support of specific documentation. The Board Committees’ composition, functions and competencies are set forth in the Corporate Bodies and Committees Regulation, available on the Governance/Corporate bodies Section of the UniCredit website. Internal Controls & Risks Committee The Internal Controls & Risks Committee consists of 4 non-executive Directors. The composition of the Internal Controls & Risks Committee is the following: Ms. Elena Carletti (Chairwoman), Ms. Maria Pierdicchi, Ms. Francesca Tondi and Mr. Alexander Wolfgring. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. Corporate Governance Governance structure 126 2021 Annual Report and Accounts · UniCredit All members of the Committee have the experience required under applicable provisions, covering the provided areas of competence related to risk and control as well as accounting and audit. Committee meetings are attended by the Chair of the Board of Statutory Auditors, the Head of Internal Audit, the Group Compliance Officer and the Group Risk Officer. Upon invitation of the Committee Chair, the Chief Executive Officer, other Directors, the Manager in charge of drafting the company financial reports, as well as personnel belonging to the Company and the Group, may attend Committee meetings. Representatives from the external audit firm may also be invited. The Committee is responsible for setting up the necessary functional links with the Board of Statutory Auditors, so as to undertake activities deemed common to the two bodies, and to exchange information of mutual interest, within the purview of their respective competencies. The Committee must be able to access relevant corporate information, consult external experts and, where necessary, communicate directly with the Heads of Internal Audit, Group Risk Management and Group Compliance. In 2021, the Committee held 20 meetings. Duties The Committee supports the Board of Directors on risk management and control-related issues. Among other things, the Committee: a) with the support of the Corporate Governance & Nomination Committee, identifies and proposes to the Board who should be appointed as Head of the corporate control functions or assesses the evaluation of their dismissal; for the Head of Internal Audit function, issues its opinion on setting the remuneration and the performance goals associated with its variable portion in line with the company policies; b) pre-examines activity programmes (including audit plans) and annual reports from corporate control functions to be sent to the Board, as well as periodical reports prepared by these functions above and beyond legal or regulatory requirements; c) evaluates and issues opinions to the Board on the compliance of the internal control system and corporate organization with the applicable rules and regulations, and on the requirements that must be complied with by the corporate control functions, drawing the Board’s attention to any weaknesses and consequent corrective actions to be implemented; for this purpose, it assesses proposals put forward by the CEO; d) through evaluations and opinions, contributes to defining company policy on the outsourcing of corporate control functions; e) verifies that the corporate control functions correctly comply with the Board’s recommendations and guidelines, assisting the Board in drafting the coordination documents envisaged under Banca d’Italia Circular No.285/2013; f) examines and assesses the correct use of accounting principles and their uniformity with regard to drafting the main accounting documents (such as, by way of example, operating and consolidated financial statements, interim operating reports, etc.), for this purpose coordinating with the Manager in charge of drafting the company financial reports and with the Board of Statutory Auditors; g) examines the work carried out by the Group’s external auditors and the results stated in their reports or any letters and suggestions; h) assesses any findings reported by Internal Audit and Group Compliance, or that may arise from enquiries and/or investigations carried out by third parties; i) may seek specific audit interventions, at such time informing the Chair of the Board of Statutory Auditors; j) analyses Group guidelines for the Group Compliance function that fall within its remit, monitoring that they have been adopted and implemented; k) requests that the Head of Internal Audit draft any proposals for the qualitative and quantitative improvement of the function itself; l) is involved, within its specific remit, in the process of identifying material risk takers on an on-going basis. With a special focus on risk management and control-related issues, the Committee supports the Board of Directors in: • defining and approving strategic guidelines and risk management policies with specific reference to risk appetite and risk tolerance. For this purpose, it also examines the annual budget drafting guidelines; • verifying that risk strategies, management policies and the Risk Appetite Framework (RAF) have been correctly implemented; • defining policies and processes for evaluating corporate activities, including verification that the price and conditions of client transactions comply with the risk-related business model and strategies. Without prejudice to the competencies of the Remuneration Committee, the Committee checks that the incentives underlying the remuneration and incentive system comply with the RAF, particularly taking into account risks, capital and liquidity. Moreover, the Committee reports to the Board of Directors on the status of the Group’s internal control system. Furthermore, as regards investments in non-financial equities, the Committee assesses, supports and puts forward proposals with regard to organizing and enacting internal controls on the making and managing of equity investments in non-financial companies, in addition to verifying compliance within the framework of such equity investments in terms of strategic and operational guidelines. Corporate Governance Governance structure 126 2021 Annual Report and Accounts · UniCredit All members of the Committee have the experience required under applicable provisions, covering the provided areas of competence related to risk and control as well as accounting and audit. Committee meetings are attended by the Chair of the Board of Statutory Auditors, the Head of Internal Audit, the Group Compliance Officer and the Group Risk Officer. Upon invitation of the Committee Chair, the Chief Executive Officer, other Directors, the Manager in charge of drafting the company financial reports, as well as personnel belonging to the Company and the Group, may attend Committee meetings. Representatives from the external audit firm may also be invited. The Committee is responsible for setting up the necessary functional links with the Board of Statutory Auditors, so as to undertake activities deemed common to the two bodies, and to exchange information of mutual interest, within the purview of their respective competencies. The Committee must be able to access relevant corporate information, consult external experts and, where necessary, communicate directly with the Heads of Internal Audit, Group Risk Management and Group Compliance. In 2021, the Committee held 20 meetings. Duties The Committee supports the Board of Directors on risk management and control-related issues. Among other things, the Committee: a) with the support of the Corporate Governance & Nomination Committee, identifies and proposes to the Board who should be appointed as Head of the corporate control functions or assesses the evaluation of their dismissal; for the Head of Internal Audit function, issues its opinion on setting the remuneration and the performance goals associated with its variable portion in line with the company policies; b) pre-examines activity programmes (including audit plans) and annual reports from corporate control functions to be sent to the Board, as well as periodical reports prepared by these functions above and beyond legal or regulatory requirements; c) evaluates and issues opinions to the Board on the compliance of the internal control system and corporate organization with the applicable rules and regulations, and on the requirements that must be complied with by the corporate control functions, drawing the Board’s attention to any weaknesses and consequent corrective actions to be implemented; for this purpose, it assesses proposals put forward by the CEO; d) through evaluations and opinions, contributes to defining company policy on the outsourcing of corporate control functions; e) verifies that the corporate control functions correctly comply with the Board’s recommendations and guidelines, assisting the Board in drafting the coordination documents envisaged under Banca d’Italia Circular No.285/2013; f) examines and assesses the correct use of accounting principles and their uniformity with regard to drafting the main accounting documents (such as, by way of example, operating and consolidated financial statements, interim operating reports, etc.), for this purpose coordinating with the Manager in charge of drafting the company financial reports and with the Board of Statutory Auditors; g) examines the work carried out by the Group’s external auditors and the results stated in their reports or any letters and suggestions; h) assesses any findings reported by Internal Audit and Group Compliance, or that may arise from enquiries and/or investigations carried out by third parties; i) may seek specific audit interventions, at such time informing the Chair of the Board of Statutory Auditors; j) analyses Group guidelines for the Group Compliance function that fall within its remit, monitoring that they have been adopted and implemented; k) requests that the Head of Internal Audit draft any proposals for the qualitative and quantitative improvement of the function itself; l) is involved, within its specific remit, in the process of identifying material risk takers on an on-going basis. With a special focus on risk management and control-related issues, the Committee supports the Board of Directors in: • defining and approving strategic guidelines and risk management policies with specific reference to risk appetite and risk tolerance. For this purpose, it also examines the annual budget drafting guidelines; • verifying that risk strategies, management policies and the Risk Appetite Framework (RAF) have been correctly implemented; • defining policies and processes for evaluating corporate activities, including verification that the price and conditions of client transactions comply with the risk-related business model and strategies. Without prejudice to the competencies of the Remuneration Committee, the Committee checks that the incentives underlying the remuneration and incentive system comply with the RAF, particularly taking into account risks, capital and liquidity. Moreover, the Committee reports to the Board of Directors on the status of the Group’s internal control system. Furthermore, as regards investments in non-financial equities, the Committee assesses, supports and puts forward proposals with regard to organizing and enacting internal controls on the making and managing of equity investments in non-financial companies, in addition to verifying compliance within the framework of such equity investments in terms of strategic and operational guidelines. Corporate Governance Governance structure 126 2021 Annual Report and Accounts · UniCredit All members of the Committee have the experience required under applicable provisions, covering the provided areas of competence related to risk and control as well as accounting and audit. Committee meetings are attended by the Chair of the Board of Statutory Auditors, the Head of Internal Audit, the Group Compliance Officer and the Group Risk Officer. Upon invitation of the Committee Chair, the Chief Executive Officer, other Directors, the Manager in charge of drafting the company financial reports, as well as personnel belonging to the Company and the Group, may attend Committee meetings. Representatives from the external audit firm may also be invited. The Committee is responsible for setting up the necessary functional links with the Board of Statutory Auditors, so as to undertake activities deemed common to the two bodies, and to exchange information of mutual interest, within the purview of their respective competencies. The Committee must be able to access relevant corporate information, consult external experts and, where necessary, communicate directly with the Heads of Internal Audit, Group Risk Management and Group Compliance. In 2021, the Committee held 20 meetings. Duties The Committee supports the Board of Directors on risk management and control-related issues. Among other things, the Committee: a) with the support of the Corporate Governance & Nomination Committee, identifies and proposes to the Board who should be appointed as Head of the corporate control functions or assesses the evaluation of their dismissal; for the Head of Internal Audit function, issues its opinion on setting the remuneration and the performance goals associated with its variable portion in line with the company policies; b) pre-examines activity programmes (including audit plans) and annual reports from corporate control functions to be sent to the Board, as well as periodical reports prepared by these functions above and beyond legal or regulatory requirements; c) evaluates and issues opinions to the Board on the compliance of the internal control system and corporate organization with the applicable rules and regulations, and on the requirements that must be complied with by the corporate control functions, drawing the Board’s attention to any weaknesses and consequent corrective actions to be implemented; for this purpose, it assesses proposals put forward by the CEO; d) through evaluations and opinions, contributes to defining company policy on the outsourcing of corporate control functions; e) verifies that the corporate control functions correctly comply with the Board’s recommendations and guidelines, assisting the Board in drafting the coordination documents envisaged under Banca d’Italia Circular No.285/2013; f) examines and assesses the correct use of accounting principles and their uniformity with regard to drafting the main accounting documents (such as, by way of example, operating and consolidated financial statements, interim operating reports, etc.), for this purpose coordinating with the Manager in charge of drafting the company financial reports and with the Board of Statutory Auditors; g) examines the work carried out by the Group’s external auditors and the results stated in their reports or any letters and suggestions; h) assesses any findings reported by Internal Audit and Group Compliance, or that may arise from enquiries and/or investigations carried out by third parties; i) may seek specific audit interventions, at such time informing the Chair of the Board of Statutory Auditors; j) analyses Group guidelines for the Group Compliance function that fall within its remit, monitoring that they have been adopted and implemented; k) requests that the Head of Internal Audit draft any proposals for the qualitative and quantitative improvement of the function itself; l) is involved, within its specific remit, in the process of identifying material risk takers on an on-going basis. With a special focus on risk management and control-related issues, the Committee supports the Board of Directors in: • defining and approving strategic guidelines and risk management policies with specific reference to risk appetite and risk tolerance. For this purpose, it also examines the annual budget drafting guidelines; • verifying that risk strategies, management policies and the Risk Appetite Framework (RAF) have been correctly implemented; • defining policies and processes for evaluating corporate activities, including verification that the price and conditions of client transactions comply with the risk-related business model and strategies. Without prejudice to the competencies of the Remuneration Committee, the Committee checks that the incentives underlying the remuneration and incentive system comply with the RAF, particularly taking into account risks, capital and liquidity. Moreover, the Committee reports to the Board of Directors on the status of the Group’s internal control system. Furthermore, as regards investments in non-financial equities, the Committee assesses, supports and puts forward proposals with regard to organizing and enacting internal controls on the making and managing of equity investments in non-financial companies, in addition to verifying compliance within the framework of such equity investments in terms of strategic and operational guidelines. Corporate Governance Governance structure 126 2021 Annual Report and Accounts · UniCredit All members of the Committee have the experience required under applicable provisions, covering the provided areas of competence related to risk and control as well as accounting and audit. Committee meetings are attended by the Chair of the Board of Statutory Auditors, the Head of Internal Audit, the Group Compliance Officer and the Group Risk Officer. Upon invitation of the Committee Chair, the Chief Executive Officer, other Directors, the Manager in charge of drafting the company financial reports, as well as personnel belonging to the Company and the Group, may attend Committee meetings. Representatives from the external audit firm may also be invited. The Committee is responsible for setting up the necessary functional links with the Board of Statutory Auditors, so as to undertake activities deemed common to the two bodies, and to exchange information of mutual interest, within the purview of their respective competencies. The Committee must be able to access relevant corporate information, consult external experts and, where necessary, communicate directly with the Heads of Internal Audit, Group Risk Management and Group Compliance. In 2021, the Committee held 20 meetings. Duties The Committee supports the Board of Directors on risk management and control-related issues. Among other things, the Committee: a) with the support of the Corporate Governance & Nomination Committee, identifies and proposes to the Board who should be appointed as Head of the corporate control functions or assesses the evaluation of their dismissal; for the Head of Internal Audit function, issues its opinion on setting the remuneration and the performance goals associated with its variable portion in line with the company policies; b) pre-examines activity programmes (including audit plans) and annual reports from corporate control functions to be sent to the Board, as well as periodical reports prepared by these functions above and beyond legal or regulatory requirements; c) evaluates and issues opinions to the Board on the compliance of the internal control system and corporate organization with the applicable rules and regulations, and on the requirements that must be complied with by the corporate control functions, drawing the Board’s attention to any weaknesses and consequent corrective actions to be implemented; for this purpose, it assesses proposals put forward by the CEO; d) through evaluations and opinions, contributes to defining company policy on the outsourcing of corporate control functions; e) verifies that the corporate control functions correctly comply with the Board’s recommendations and guidelines, assisting the Board in drafting the coordination documents envisaged under Banca d’Italia Circular No.285/2013; f) examines and assesses the correct use of accounting principles and their uniformity with regard to drafting the main accounting documents (such as, by way of example, operating and consolidated financial statements, interim operating reports, etc.), for this purpose coordinating with the Manager in charge of drafting the company financial reports and with the Board of Statutory Auditors; g) examines the work carried out by the Group’s external auditors and the results stated in their reports or any letters and suggestions; h) assesses any findings reported by Internal Audit and Group Compliance, or that may arise from enquiries and/or investigations carried out by third parties; i) may seek specific audit interventions, at such time informing the Chair of the Board of Statutory Auditors; j) analyses Group guidelines for the Group Compliance function that fall within its remit, monitoring that they have been adopted and implemented; k) requests that the Head of Internal Audit draft any proposals for the qualitative and quantitative improvement of the function itself; l) is involved, within its specific remit, in the process of identifying material risk takers on an on-going basis. With a special focus on risk management and control-related issues, the Committee supports the Board of Directors in: • defining and approving strategic guidelines and risk management policies with specific reference to risk appetite and risk tolerance. For this purpose, it also examines the annual budget drafting guidelines; • verifying that risk strategies, management policies and the Risk Appetite Framework (RAF) have been correctly implemented; • defining policies and processes for evaluating corporate activities, including verification that the price and conditions of client transactions comply with the risk-related business model and strategies. Without prejudice to the competencies of the Remuneration Committee, the Committee checks that the incentives underlying the remuneration and incentive system comply with the RAF, particularly taking into account risks, capital and liquidity. Moreover, the Committee reports to the Board of Directors on the status of the Group’s internal control system. Furthermore, as regards investments in non-financial equities, the Committee assesses, supports and puts forward proposals with regard to organizing and enacting internal controls on the making and managing of equity investments in non-financial companies, in addition to verifying compliance within the framework of such equity investments in terms of strategic and operational guidelines. Corporate Governance Governance structure 126 2021 Annual Report and Accounts · UniCredit All members of the Committee have the experience required under applicable provisions, covering the provided areas of competence related to risk and control as well as accounting and audit. Committee meetings are attended by the Chair of the Board of Statutory Auditors, the Head of Internal Audit, the Group Compliance Officer and the Group Risk Officer. Upon invitation of the Committee Chair, the Chief Executive Officer, other Directors, the Manager in charge of drafting the company financial reports, as well as personnel belonging to the Company and the Group, may attend Committee meetings. Representatives from the external audit firm may also be invited. The Committee is responsible for setting up the necessary functional links with the Board of Statutory Auditors, so as to undertake activities deemed common to the two bodies, and to exchange information of mutual interest, within the purview of their respective competencies. The Committee must be able to access relevant corporate information, consult external experts and, where necessary, communicate directly with the Heads of Internal Audit, Group Risk Management and Group Compliance. In 2021, the Committee held 20 meetings. Duties The Committee supports the Board of Directors on risk management and control-related issues. Among other things, the Committee: a) with the support of the Corporate Governance & Nomination Committee, identifies and proposes to the Board who should be appointed as Head of the corporate control functions or assesses the evaluation of their dismissal; for the Head of Internal Audit function, issues its opinion on setting the remuneration and the performance goals associated with its variable portion in line with the company policies; b) pre-examines activity programmes (including audit plans) and annual reports from corporate control functions to be sent to the Board, as well as periodical reports prepared by these functions above and beyond legal or regulatory requirements; c) evaluates and issues opinions to the Board on the compliance of the internal control system and corporate organization with the applicable rules and regulations, and on the requirements that must be complied with by the corporate control functions, drawing the Board’s attention to any weaknesses and consequent corrective actions to be implemented; for this purpose, it assesses proposals put forward by the CEO; d) through evaluations and opinions, contributes to defining company policy on the outsourcing of corporate control functions; e) verifies that the corporate control functions correctly comply with the Board’s recommendations and guidelines, assisting the Board in drafting the coordination documents envisaged under Banca d’Italia Circular No.285/2013; f) examines and assesses the correct use of accounting principles and their uniformity with regard to drafting the main accounting documents (such as, by way of example, operating and consolidated financial statements, interim operating reports, etc.), for this purpose coordinating with the Manager in charge of drafting the company financial reports and with the Board of Statutory Auditors; g) examines the work carried out by the Group’s external auditors and the results stated in their reports or any letters and suggestions; h) assesses any findings reported by Internal Audit and Group Compliance, or that may arise from enquiries and/or investigations carried out by third parties; i) may seek specific audit interventions, at such time informing the Chair of the Board of Statutory Auditors; j) analyses Group guidelines for the Group Compliance function that fall within its remit, monitoring that they have been adopted and implemented; k) requests that the Head of Internal Audit draft any proposals for the qualitative and quantitative improvement of the function itself; l) is involved, within its specific remit, in the process of identifying material risk takers on an on-going basis. With a special focus on risk management and control-related issues, the Committee supports the Board of Directors in: • defining and approving strategic guidelines and risk management policies with specific reference to risk appetite and risk tolerance. For this purpose, it also examines the annual budget drafting guidelines; • verifying that risk strategies, management policies and the Risk Appetite Framework (RAF) have been correctly implemented; • defining policies and processes for evaluating corporate activities, including verification that the price and conditions of client transactions comply with the risk-related business model and strategies. Without prejudice to the competencies of the Remuneration Committee, the Committee checks that the incentives underlying the remuneration and incentive system comply with the RAF, particularly taking into account risks, capital and liquidity. Moreover, the Committee reports to the Board of Directors on the status of the Group’s internal control system. Furthermore, as regards investments in non-financial equities, the Committee assesses, supports and puts forward proposals with regard to organizing and enacting internal controls on the making and managing of equity investments in non-financial companies, in addition to verifying compliance within the framework of such equity investments in terms of strategic and operational guidelines. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 127 Corporate Governance & Nomination Committee The Corporate Governance & Nomination Committee consists of 3 non-executive Directors. The composition of the Corporate Governance & Nomination Committee is the following: Mr. Lamberto Andreotti (Chairman), Ms. Jane-Anne Gadhia and Mr. Alexander Wolfgring. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. In 2021, the Committee held 19 meetings. Duties Among other things, the Committee: a) provides opinions and support to the Board regarding the definition of the UniCredit corporate governance system, corporate structure and Group governance models and guidelines; b) drafts proposals to be submitted to the Board regarding the optimal qualitative and quantitative composition of the Board, and the maximum number of posts held by Directors in other companies considered compatible with effectively fulfilling these roles at UniCredit; c) provides opinions and support regarding the Board self-assessment process, as directed by the Chair of the Board of Directors; d) sets targets for the least well represented gender in corporate bodies as well as for management and staff belonging to the Group, and prepares a plan to bring this proportion up to set targets; e) drafts proposals to be submitted to the Chair of the Board of Directors regarding the selection of staff appointed to conduct the Board’s self-assessment process. The Committee provides opinions and support to the Board also regarding: a) the verification that UniCredit Directors comply with the requirements provided by applicable laws and the Articles of Association (including the ban on interlocking directorships laid down by applicable laws), and that they collectively and individually ensure abidance with the qualitative and quantitative composition of the Board deemed to be optimal; b) the selection of candidates for the post of Chair, Chief Executive Officer and Director of UniCredit, in the event of co-optation, and, should the Board present its own list of candidates for the position of independent Director for approval by the UniCredit Shareholders’ Meeting, taking into due account any recommendations from shareholders, as per the process for selecting candidates to the post of Board of Directors members (including the Chair and the Chief Executive Officer) approved by the Board itself; c) the appointment of the CEO, General Manager, Deputy General Managers and other Executives with strategic responsibilities; d) the verification that the General Manager and the Manager in charge of drafting the company financial reports comply with the requirements provided by applicable laws and the Articles of Association, if applicable; e) the definition of appointment and succession plan policies for the CEO, General Manager, Deputy General Managers and other Executives with strategic responsibilities, Senior Executive Vice Presidents, the Group Management Team (Executive Vice Presidents) and Leadership Team (Senior Vice Presidents); f) the definition of the policy for the appointment of corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at Group companies; g) the designation of corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at the main companies. Moreover, the Committee: • provides support, coordinating with the Internal Controls & Risks Committee, in proposing candidates or assessing dismissal for the roles of Heads of corporate control functions to the Board of Directors; • undertakes research to help the Board of Directors draft a succession plan for executive directors. ESG Committee The ESG Committee consists of 3 non-executive Directors. The composition of the ESG Committee is the following: Ms. Francesca Tondi (Chairwoman), Mr. Jeffrey Alan Hedberg and Ms. Beatriz Ángela Lara Bartolomé. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance no. 169/2020 and Art.148 of the Consolidated Law on Finance. In 2021, the Committee held 7 meetings. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 127 Corporate Governance & Nomination Committee The Corporate Governance & Nomination Committee consists of 3 non-executive Directors. The composition of the Corporate Governance & Nomination Committee is the following: Mr. Lamberto Andreotti (Chairman), Ms. Jane-Anne Gadhia and Mr. Alexander Wolfgring. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. In 2021, the Committee held 19 meetings. Duties Among other things, the Committee: a) provides opinions and support to the Board regarding the definition of the UniCredit corporate governance system, corporate structure and Group governance models and guidelines; b) drafts proposals to be submitted to the Board regarding the optimal qualitative and quantitative composition of the Board, and the maximum number of posts held by Directors in other companies considered compatible with effectively fulfilling these roles at UniCredit; c) provides opinions and support regarding the Board self-assessment process, as directed by the Chair of the Board of Directors; d) sets targets for the least well represented gender in corporate bodies as well as for management and staff belonging to the Group, and prepares a plan to bring this proportion up to set targets; e) drafts proposals to be submitted to the Chair of the Board of Directors regarding the selection of staff appointed to conduct the Board’s self-assessment process. The Committee provides opinions and support to the Board also regarding: a) the verification that UniCredit Directors comply with the requirements provided by applicable laws and the Articles of Association (including the ban on interlocking directorships laid down by applicable laws), and that they collectively and individually ensure abidance with the qualitative and quantitative composition of the Board deemed to be optimal; b) the selection of candidates for the post of Chair, Chief Executive Officer and Director of UniCredit, in the event of co-optation, and, should the Board present its own list of candidates for the position of independent Director for approval by the UniCredit Shareholders’ Meeting, taking into due account any recommendations from shareholders, as per the process for selecting candidates to the post of Board of Directors members (including the Chair and the Chief Executive Officer) approved by the Board itself; c) the appointment of the CEO, General Manager, Deputy General Managers and other Executives with strategic responsibilities; d) the verification that the General Manager and the Manager in charge of drafting the company financial reports comply with the requirements provided by applicable laws and the Articles of Association, if applicable; e) the definition of appointment and succession plan policies for the CEO, General Manager, Deputy General Managers and other Executives with strategic responsibilities, Senior Executive Vice Presidents, the Group Management Team (Executive Vice Presidents) and Leadership Team (Senior Vice Presidents); f) the definition of the policy for the appointment of corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at Group companies; g) the designation of corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at the main companies. Moreover, the Committee: • provides support, coordinating with the Internal Controls & Risks Committee, in proposing candidates or assessing dismissal for the roles of Heads of corporate control functions to the Board of Directors; • undertakes research to help the Board of Directors draft a succession plan for executive directors. ESG Committee The ESG Committee consists of 3 non-executive Directors. The composition of the ESG Committee is the following: Ms. Francesca Tondi (Chairwoman), Mr. Jeffrey Alan Hedberg and Ms. Beatriz Ángela Lara Bartolomé. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance no. 169/2020 and Art.148 of the Consolidated Law on Finance. In 2021, the Committee held 7 meetings. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 127 Corporate Governance & Nomination Committee The Corporate Governance & Nomination Committee consists of 3 non-executive Directors. The composition of the Corporate Governance & Nomination Committee is the following: Mr. Lamberto Andreotti (Chairman), Ms. Jane-Anne Gadhia and Mr. Alexander Wolfgring. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. In 2021, the Committee held 19 meetings. Duties Among other things, the Committee: a) provides opinions and support to the Board regarding the definition of the UniCredit corporate governance system, corporate structure and Group governance models and guidelines; b) drafts proposals to be submitted to the Board regarding the optimal qualitative and quantitative composition of the Board, and the maximum number of posts held by Directors in other companies considered compatible with effectively fulfilling these roles at UniCredit; c) provides opinions and support regarding the Board self-assessment process, as directed by the Chair of the Board of Directors; d) sets targets for the least well represented gender in corporate bodies as well as for management and staff belonging to the Group, and prepares a plan to bring this proportion up to set targets; e) drafts proposals to be submitted to the Chair of the Board of Directors regarding the selection of staff appointed to conduct the Board’s self-assessment process. The Committee provides opinions and support to the Board also regarding: a) the verification that UniCredit Directors comply with the requirements provided by applicable laws and the Articles of Association (including the ban on interlocking directorships laid down by applicable laws), and that they collectively and individually ensure abidance with the qualitative and quantitative composition of the Board deemed to be optimal; b) the selection of candidates for the post of Chair, Chief Executive Officer and Director of UniCredit, in the event of co-optation, and, should the Board present its own list of candidates for the position of independent Director for approval by the UniCredit Shareholders’ Meeting, taking into due account any recommendations from shareholders, as per the process for selecting candidates to the post of Board of Directors members (including the Chair and the Chief Executive Officer) approved by the Board itself; c) the appointment of the CEO, General Manager, Deputy General Managers and other Executives with strategic responsibilities; d) the verification that the General Manager and the Manager in charge of drafting the company financial reports comply with the requirements provided by applicable laws and the Articles of Association, if applicable; e) the definition of appointment and succession plan policies for the CEO, General Manager, Deputy General Managers and other Executives with strategic responsibilities, Senior Executive Vice Presidents, the Group Management Team (Executive Vice Presidents) and Leadership Team (Senior Vice Presidents); f) the definition of the policy for the appointment of corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at Group companies; g) the designation of corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at the main companies. Moreover, the Committee: • provides support, coordinating with the Internal Controls & Risks Committee, in proposing candidates or assessing dismissal for the roles of Heads of corporate control functions to the Board of Directors; • undertakes research to help the Board of Directors draft a succession plan for executive directors. ESG Committee The ESG Committee consists of 3 non-executive Directors. The composition of the ESG Committee is the following: Ms. Francesca Tondi (Chairwoman), Mr. Jeffrey Alan Hedberg and Ms. Beatriz Ángela Lara Bartolomé. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance no. 169/2020 and Art.148 of the Consolidated Law on Finance. In 2021, the Committee held 7 meetings. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 127 Corporate Governance & Nomination Committee The Corporate Governance & Nomination Committee consists of 3 non-executive Directors. The composition of the Corporate Governance & Nomination Committee is the following: Mr. Lamberto Andreotti (Chairman), Ms. Jane-Anne Gadhia and Mr. Alexander Wolfgring. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. In 2021, the Committee held 19 meetings. Duties Among other things, the Committee: a) provides opinions and support to the Board regarding the definition of the UniCredit corporate governance system, corporate structure and Group governance models and guidelines; b) drafts proposals to be submitted to the Board regarding the optimal qualitative and quantitative composition of the Board, and the maximum number of posts held by Directors in other companies considered compatible with effectively fulfilling these roles at UniCredit; c) provides opinions and support regarding the Board self-assessment process, as directed by the Chair of the Board of Directors; d) sets targets for the least well represented gender in corporate bodies as well as for management and staff belonging to the Group, and prepares a plan to bring this proportion up to set targets; e) drafts proposals to be submitted to the Chair of the Board of Directors regarding the selection of staff appointed to conduct the Board’s self-assessment process. The Committee provides opinions and support to the Board also regarding: a) the verification that UniCredit Directors comply with the requirements provided by applicable laws and the Articles of Association (including the ban on interlocking directorships laid down by applicable laws), and that they collectively and individually ensure abidance with the qualitative and quantitative composition of the Board deemed to be optimal; b) the selection of candidates for the post of Chair, Chief Executive Officer and Director of UniCredit, in the event of co-optation, and, should the Board present its own list of candidates for the position of independent Director for approval by the UniCredit Shareholders’ Meeting, taking into due account any recommendations from shareholders, as per the process for selecting candidates to the post of Board of Directors members (including the Chair and the Chief Executive Officer) approved by the Board itself; c) the appointment of the CEO, General Manager, Deputy General Managers and other Executives with strategic responsibilities; d) the verification that the General Manager and the Manager in charge of drafting the company financial reports comply with the requirements provided by applicable laws and the Articles of Association, if applicable; e) the definition of appointment and succession plan policies for the CEO, General Manager, Deputy General Managers and other Executives with strategic responsibilities, Senior Executive Vice Presidents, the Group Management Team (Executive Vice Presidents) and Leadership Team (Senior Vice Presidents); f) the definition of the policy for the appointment of corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at Group companies; g) the designation of corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at the main companies. Moreover, the Committee: • provides support, coordinating with the Internal Controls & Risks Committee, in proposing candidates or assessing dismissal for the roles of Heads of corporate control functions to the Board of Directors; • undertakes research to help the Board of Directors draft a succession plan for executive directors. ESG Committee The ESG Committee consists of 3 non-executive Directors. The composition of the ESG Committee is the following: Ms. Francesca Tondi (Chairwoman), Mr. Jeffrey Alan Hedberg and Ms. Beatriz Ángela Lara Bartolomé. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance no. 169/2020 and Art.148 of the Consolidated Law on Finance. In 2021, the Committee held 7 meetings. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 127 Corporate Governance & Nomination Committee The Corporate Governance & Nomination Committee consists of 3 non-executive Directors. The composition of the Corporate Governance & Nomination Committee is the following: Mr. Lamberto Andreotti (Chairman), Ms. Jane-Anne Gadhia and Mr. Alexander Wolfgring. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. In 2021, the Committee held 19 meetings. Duties Among other things, the Committee: a) provides opinions and support to the Board regarding the definition of the UniCredit corporate governance system, corporate structure and Group governance models and guidelines; b) drafts proposals to be submitted to the Board regarding the optimal qualitative and quantitative composition of the Board, and the maximum number of posts held by Directors in other companies considered compatible with effectively fulfilling these roles at UniCredit; c) provides opinions and support regarding the Board self-assessment process, as directed by the Chair of the Board of Directors; d) sets targets for the least well represented gender in corporate bodies as well as for management and staff belonging to the Group, and prepares a plan to bring this proportion up to set targets; e) drafts proposals to be submitted to the Chair of the Board of Directors regarding the selection of staff appointed to conduct the Board’s self-assessment process. The Committee provides opinions and support to the Board also regarding: a) the verification that UniCredit Directors comply with the requirements provided by applicable laws and the Articles of Association (including the ban on interlocking directorships laid down by applicable laws), and that they collectively and individually ensure abidance with the qualitative and quantitative composition of the Board deemed to be optimal; b) the selection of candidates for the post of Chair, Chief Executive Officer and Director of UniCredit, in the event of co-optation, and, should the Board present its own list of candidates for the position of independent Director for approval by the UniCredit Shareholders’ Meeting, taking into due account any recommendations from shareholders, as per the process for selecting candidates to the post of Board of Directors members (including the Chair and the Chief Executive Officer) approved by the Board itself; c) the appointment of the CEO, General Manager, Deputy General Managers and other Executives with strategic responsibilities; d) the verification that the General Manager and the Manager in charge of drafting the company financial reports comply with the requirements provided by applicable laws and the Articles of Association, if applicable; e) the definition of appointment and succession plan policies for the CEO, General Manager, Deputy General Managers and other Executives with strategic responsibilities, Senior Executive Vice Presidents, the Group Management Team (Executive Vice Presidents) and Leadership Team (Senior Vice Presidents); f) the definition of the policy for the appointment of corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at Group companies; g) the designation of corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at the main companies. Moreover, the Committee: • provides support, coordinating with the Internal Controls & Risks Committee, in proposing candidates or assessing dismissal for the roles of Heads of corporate control functions to the Board of Directors; • undertakes research to help the Board of Directors draft a succession plan for executive directors. ESG Committee The ESG Committee consists of 3 non-executive Directors. The composition of the ESG Committee is the following: Ms. Francesca Tondi (Chairwoman), Mr. Jeffrey Alan Hedberg and Ms. Beatriz Ángela Lara Bartolomé. All members of the Committee meet the independence requirements prescribed by the Code and are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance no. 169/2020 and Art.148 of the Consolidated Law on Finance. In 2021, the Committee held 7 meetings. Corporate Governance Governance structure 128 2021 Annual Report and Accounts · UniCredit Duties The purpose of the ESG Committee is to support the Board of Directors in fulfilling its responsibilities with respect to the ESG integral components on the Group’s business strategy and sustainability. The ESG Committee shall provide opinions and support to the other Board Committees to ensure the alignment of the Group’s policies to UniCredit’s ESG principles and objectives. The Committee also oversees: • ESG and sustainability-related developments also considering international guidelines and principles and market developments, monitoring the positioning of the Group with respect to national and international best practices in the ESG field; • the preparation of the yearly Integrated Report, which constitutes a non-financial declaration pursuant to the provisions of articles 3 and 4 of Legislative Decree no. 254/2016, as well as the preparation of the TCFD (Task force on Climate-related Financial Disclosures) report, and any other specific disclosure obligations required by future ESG commitments of the Bank. Remuneration Committee The Remuneration Committee consists of 3 non-executive Directors. The composition of the Remuneration Committee is the following: Ms. Jane-Anne Gadhia (Chairwoman), Mr. Luca Molinari and Ms. Renate Wagner. The majority of the members of the Committee meet the independence requirements prescribed by the Code; all members of the Committee are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. At least one member of the Committee has adequate knowledge and experience in finance or remuneration policies, which the Board of Directors assesses at such time as they are appointed to the Committee. In order for the incentives included in the compensation and incentive schemes to be consistent with the Bank’s risk, capital and liquidity management, as well as to get updates on the market trends, compensation levels and regulatory developments, an external advisor also attends Committee meetings. The Group Chief Risk Officer is invited, upon need, to attend Committee meetings to ensure that incentive schemes are appropriately updated to take into account all of the risks that the Bank has taken on, pursuant to methodologies in compliance with those adopted by the Bank in managing risk for regulatory and internal purposes. In 2021, the Committee held 16 meetings. Duties Among other things, the Committee: • puts proposals to the Board regarding the remuneration and the performance goals associated with its variable portion, for the members of the Board of Directors, the General Manager, Deputy General Managers, Heads of the corporate control functions and personnel whose remuneration and incentive systems are decided upon by the Board; • exercises oversight on the criteria for remunerating the most significant employees, as identified pursuant to the relevant Banca d’Italia provisions, as well as on the outcomes of the application of such criteria. Furthermore, the Committee issues opinions to the Board on: a) the remuneration policy for Senior Executive Vice Presidents, the Group Management Team (Executive Vice Presidents) and the Leadership Team (Senior Vice Presidents); b) Group incentive schemes based on financial instruments; c) the remuneration policy for corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at Group companies. Committee members regarding whom the Committee is called upon to express its opinion on their remuneration as a result of their specific assignments shall not attend meetings at which the proposal for such remuneration is calculated. Corporate Governance Governance structure 128 2021 Annual Report and Accounts · UniCredit Duties The purpose of the ESG Committee is to support the Board of Directors in fulfilling its responsibilities with respect to the ESG integral components on the Group’s business strategy and sustainability. The ESG Committee shall provide opinions and support to the other Board Committees to ensure the alignment of the Group’s policies to UniCredit’s ESG principles and objectives. The Committee also oversees: • ESG and sustainability-related developments also considering international guidelines and principles and market developments, monitoring the positioning of the Group with respect to national and international best practices in the ESG field; • the preparation of the yearly Integrated Report, which constitutes a non-financial declaration pursuant to the provisions of articles 3 and 4 of Legislative Decree no. 254/2016, as well as the preparation of the TCFD (Task force on Climate-related Financial Disclosures) report, and any other specific disclosure obligations required by future ESG commitments of the Bank. Remuneration Committee The Remuneration Committee consists of 3 non-executive Directors. The composition of the Remuneration Committee is the following: Ms. Jane-Anne Gadhia (Chairwoman), Mr. Luca Molinari and Ms. Renate Wagner. The majority of the members of the Committee meet the independence requirements prescribed by the Code; all members of the Committee are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. At least one member of the Committee has adequate knowledge and experience in finance or remuneration policies, which the Board of Directors assesses at such time as they are appointed to the Committee. In order for the incentives included in the compensation and incentive schemes to be consistent with the Bank’s risk, capital and liquidity management, as well as to get updates on the market trends, compensation levels and regulatory developments, an external advisor also attends Committee meetings. The Group Chief Risk Officer is invited, upon need, to attend Committee meetings to ensure that incentive schemes are appropriately updated to take into account all of the risks that the Bank has taken on, pursuant to methodologies in compliance with those adopted by the Bank in managing risk for regulatory and internal purposes. In 2021, the Committee held 16 meetings. Duties Among other things, the Committee: • puts proposals to the Board regarding the remuneration and the performance goals associated with its variable portion, for the members of the Board of Directors, the General Manager, Deputy General Managers, Heads of the corporate control functions and personnel whose remuneration and incentive systems are decided upon by the Board; • exercises oversight on the criteria for remunerating the most significant employees, as identified pursuant to the relevant Banca d’Italia provisions, as well as on the outcomes of the application of such criteria. Furthermore, the Committee issues opinions to the Board on: a) the remuneration policy for Senior Executive Vice Presidents, the Group Management Team (Executive Vice Presidents) and the Leadership Team (Senior Vice Presidents); b) Group incentive schemes based on financial instruments; c) the remuneration policy for corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at Group companies. Committee members regarding whom the Committee is called upon to express its opinion on their remuneration as a result of their specific assignments shall not attend meetings at which the proposal for such remuneration is calculated. Corporate Governance Governance structure 128 2021 Annual Report and Accounts · UniCredit Duties The purpose of the ESG Committee is to support the Board of Directors in fulfilling its responsibilities with respect to the ESG integral components on the Group’s business strategy and sustainability. The ESG Committee shall provide opinions and support to the other Board Committees to ensure the alignment of the Group’s policies to UniCredit’s ESG principles and objectives. The Committee also oversees: • ESG and sustainability-related developments also considering international guidelines and principles and market developments, monitoring the positioning of the Group with respect to national and international best practices in the ESG field; • the preparation of the yearly Integrated Report, which constitutes a non-financial declaration pursuant to the provisions of articles 3 and 4 of Legislative Decree no. 254/2016, as well as the preparation of the TCFD (Task force on Climate-related Financial Disclosures) report, and any other specific disclosure obligations required by future ESG commitments of the Bank. Remuneration Committee The Remuneration Committee consists of 3 non-executive Directors. The composition of the Remuneration Committee is the following: Ms. Jane-Anne Gadhia (Chairwoman), Mr. Luca Molinari and Ms. Renate Wagner. The majority of the members of the Committee meet the independence requirements prescribed by the Code; all members of the Committee are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. At least one member of the Committee has adequate knowledge and experience in finance or remuneration policies, which the Board of Directors assesses at such time as they are appointed to the Committee. In order for the incentives included in the compensation and incentive schemes to be consistent with the Bank’s risk, capital and liquidity management, as well as to get updates on the market trends, compensation levels and regulatory developments, an external advisor also attends Committee meetings. The Group Chief Risk Officer is invited, upon need, to attend Committee meetings to ensure that incentive schemes are appropriately updated to take into account all of the risks that the Bank has taken on, pursuant to methodologies in compliance with those adopted by the Bank in managing risk for regulatory and internal purposes. In 2021, the Committee held 16 meetings. Duties Among other things, the Committee: • puts proposals to the Board regarding the remuneration and the performance goals associated with its variable portion, for the members of the Board of Directors, the General Manager, Deputy General Managers, Heads of the corporate control functions and personnel whose remuneration and incentive systems are decided upon by the Board; • exercises oversight on the criteria for remunerating the most significant employees, as identified pursuant to the relevant Banca d’Italia provisions, as well as on the outcomes of the application of such criteria. Furthermore, the Committee issues opinions to the Board on: a) the remuneration policy for Senior Executive Vice Presidents, the Group Management Team (Executive Vice Presidents) and the Leadership Team (Senior Vice Presidents); b) Group incentive schemes based on financial instruments; c) the remuneration policy for corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at Group companies. Committee members regarding whom the Committee is called upon to express its opinion on their remuneration as a result of their specific assignments shall not attend meetings at which the proposal for such remuneration is calculated. Corporate Governance Governance structure 128 2021 Annual Report and Accounts · UniCredit Duties The purpose of the ESG Committee is to support the Board of Directors in fulfilling its responsibilities with respect to the ESG integral components on the Group’s business strategy and sustainability. The ESG Committee shall provide opinions and support to the other Board Committees to ensure the alignment of the Group’s policies to UniCredit’s ESG principles and objectives. The Committee also oversees: • ESG and sustainability-related developments also considering international guidelines and principles and market developments, monitoring the positioning of the Group with respect to national and international best practices in the ESG field; • the preparation of the yearly Integrated Report, which constitutes a non-financial declaration pursuant to the provisions of articles 3 and 4 of Legislative Decree no. 254/2016, as well as the preparation of the TCFD (Task force on Climate-related Financial Disclosures) report, and any other specific disclosure obligations required by future ESG commitments of the Bank. Remuneration Committee The Remuneration Committee consists of 3 non-executive Directors. The composition of the Remuneration Committee is the following: Ms. Jane-Anne Gadhia (Chairwoman), Mr. Luca Molinari and Ms. Renate Wagner. The majority of the members of the Committee meet the independence requirements prescribed by the Code; all members of the Committee are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. At least one member of the Committee has adequate knowledge and experience in finance or remuneration policies, which the Board of Directors assesses at such time as they are appointed to the Committee. In order for the incentives included in the compensation and incentive schemes to be consistent with the Bank’s risk, capital and liquidity management, as well as to get updates on the market trends, compensation levels and regulatory developments, an external advisor also attends Committee meetings. The Group Chief Risk Officer is invited, upon need, to attend Committee meetings to ensure that incentive schemes are appropriately updated to take into account all of the risks that the Bank has taken on, pursuant to methodologies in compliance with those adopted by the Bank in managing risk for regulatory and internal purposes. In 2021, the Committee held 16 meetings. Duties Among other things, the Committee: • puts proposals to the Board regarding the remuneration and the performance goals associated with its variable portion, for the members of the Board of Directors, the General Manager, Deputy General Managers, Heads of the corporate control functions and personnel whose remuneration and incentive systems are decided upon by the Board; • exercises oversight on the criteria for remunerating the most significant employees, as identified pursuant to the relevant Banca d’Italia provisions, as well as on the outcomes of the application of such criteria. Furthermore, the Committee issues opinions to the Board on: a) the remuneration policy for Senior Executive Vice Presidents, the Group Management Team (Executive Vice Presidents) and the Leadership Team (Senior Vice Presidents); b) Group incentive schemes based on financial instruments; c) the remuneration policy for corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at Group companies. Committee members regarding whom the Committee is called upon to express its opinion on their remuneration as a result of their specific assignments shall not attend meetings at which the proposal for such remuneration is calculated. Corporate Governance Governance structure 128 2021 Annual Report and Accounts · UniCredit Duties The purpose of the ESG Committee is to support the Board of Directors in fulfilling its responsibilities with respect to the ESG integral components on the Group’s business strategy and sustainability. The ESG Committee shall provide opinions and support to the other Board Committees to ensure the alignment of the Group’s policies to UniCredit’s ESG principles and objectives. The Committee also oversees: • ESG and sustainability-related developments also considering international guidelines and principles and market developments, monitoring the positioning of the Group with respect to national and international best practices in the ESG field; • the preparation of the yearly Integrated Report, which constitutes a non-financial declaration pursuant to the provisions of articles 3 and 4 of Legislative Decree no. 254/2016, as well as the preparation of the TCFD (Task force on Climate-related Financial Disclosures) report, and any other specific disclosure obligations required by future ESG commitments of the Bank. Remuneration Committee The Remuneration Committee consists of 3 non-executive Directors. The composition of the Remuneration Committee is the following: Ms. Jane-Anne Gadhia (Chairwoman), Mr. Luca Molinari and Ms. Renate Wagner. The majority of the members of the Committee meet the independence requirements prescribed by the Code; all members of the Committee are independent pursuant to Art.13 of the Decree issued by the Ministry of Economics and Finance No.169/2020 and Art.148 of the Consolidated Law on Finance. At least one member of the Committee has adequate knowledge and experience in finance or remuneration policies, which the Board of Directors assesses at such time as they are appointed to the Committee. In order for the incentives included in the compensation and incentive schemes to be consistent with the Bank’s risk, capital and liquidity management, as well as to get updates on the market trends, compensation levels and regulatory developments, an external advisor also attends Committee meetings. The Group Chief Risk Officer is invited, upon need, to attend Committee meetings to ensure that incentive schemes are appropriately updated to take into account all of the risks that the Bank has taken on, pursuant to methodologies in compliance with those adopted by the Bank in managing risk for regulatory and internal purposes. In 2021, the Committee held 16 meetings. Duties Among other things, the Committee: • puts proposals to the Board regarding the remuneration and the performance goals associated with its variable portion, for the members of the Board of Directors, the General Manager, Deputy General Managers, Heads of the corporate control functions and personnel whose remuneration and incentive systems are decided upon by the Board; • exercises oversight on the criteria for remunerating the most significant employees, as identified pursuant to the relevant Banca d’Italia provisions, as well as on the outcomes of the application of such criteria. Furthermore, the Committee issues opinions to the Board on: a) the remuneration policy for Senior Executive Vice Presidents, the Group Management Team (Executive Vice Presidents) and the Leadership Team (Senior Vice Presidents); b) Group incentive schemes based on financial instruments; c) the remuneration policy for corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at Group companies. Committee members regarding whom the Committee is called upon to express its opinion on their remuneration as a result of their specific assignments shall not attend meetings at which the proposal for such remuneration is calculated. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 129 Furthermore, the Committee: • coordinates the process for identifying material risk takers on an on-going basis; • directly oversees the correct application of rules regarding the remuneration of the Heads of corporate control functions, working closely with the Board of Statutory Auditors; • works with the other committees, particularly the Internal Controls & Risks Committee, to verify that the incentives included in compensation and incentive schemes are consistent with the RAF, ensuring the involvement of the corporate functions responsible for drafting and monitoring remuneration and incentive policies and practices; • provides appropriate feedback on its operations to the Board of Directors, Board of Statutory Auditors and the Shareholders’ Meeting; • where necessary drawing on information received from the relevant corporate functions, expresses its opinion on the achievement of the performance targets associated with incentive schemes, and on the other conditions laid down for bonus payments. Related-Parties Committee The Related-Parties Committee consist of 3 independent Directors. The composition of the Related-Parties Committee is the following: Ms. Maria Pierdicchi (Chairwoman), Mr. Vincenzo Cariello and Ms. Elena Carletti. In reference to the Related-Parties Committee’s meetings, only for reasons of urgency, in specific cases dealing with transactions falling into the decision-making powers of the Board of Directors, a meeting may be convened at least twelve hours in advance. In 2021 the Committee held 14 meetings. Duties The Committee oversees issues concerning transactions with related parties pursuant to CONSOB Regulation No.17221/2010 and transactions with associated parties pursuant to Bank of Italy Circular No.285/2013 (Third Part, Chapter 11), carrying out the specific role attributed to independent directors by the aforementioned provisions. Furthermore, it carries out any other duties assigned to it within the Global Policy for the management of transactions with persons in conflict of interest. The Company’s competent offices ensure a constant monitoring of transactions envisaged by the procedures for the identification and management of transactions with related and/or associated parties, also in view of enabling the Committee to propose corrective actions. a) Temporary replacement in cases of conflict of interest For each individual transaction, Committee members must be different from the counterparty, its associated parties and/or any entities related to it. If a Committee member is a counterparty to the transaction under examination (or is related/associated with the counterparty), he/she must promptly inform the Chair of the Board of Directors and the Committee Chair (provided he/she is not in a conflict of interest situation), and abstain from attending further Committee proceedings with regard to the transaction in which the relationship exists. Having consulted with the Committee Chair (provided he/she is not in a conflict of interest situation), the Chair of the Board of Directors shall immediately take steps to replace the member who has this conflict of interest with another member from the Board of Directors who qualifies as independent pursuant to the Italian Corporate Governance Code, after contacting them beforehand, in order to restore the Committee to three non-related and non-associated independent Directors. b) Temporary replacement of unavailable members in the event of an urgent transaction For transactions that need to be finalized urgently and require the intervention of the Related-Parties Committee during negotiations and due diligence and/or during the issue of opinions, having acknowledged the urgency and noted that the majority or all members are unable to meet or carry out the required activities in time to conclude the transaction, the Committee Chair shall promptly inform the Chair of the Board of Directors of this situation. In any event, these circumstances must be communicated no later than the day after the Committee Chair was informed that the majority or all Committee members were not available. Having consulted with the CEO and determined that the transaction cannot be delayed, the Chair of the Board of Directors immediately takes steps to find three Directors to sit on the Committee and follow the process for temporary substitutions in the event of conflicts of interest. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 129 Furthermore, the Committee: • coordinates the process for identifying material risk takers on an on-going basis; • directly oversees the correct application of rules regarding the remuneration of the Heads of corporate control functions, working closely with the Board of Statutory Auditors; • works with the other committees, particularly the Internal Controls & Risks Committee, to verify that the incentives included in compensation and incentive schemes are consistent with the RAF, ensuring the involvement of the corporate functions responsible for drafting and monitoring remuneration and incentive policies and practices; • provides appropriate feedback on its operations to the Board of Directors, Board of Statutory Auditors and the Shareholders’ Meeting; • where necessary drawing on information received from the relevant corporate functions, expresses its opinion on the achievement of the performance targets associated with incentive schemes, and on the other conditions laid down for bonus payments. Related-Parties Committee The Related-Parties Committee consist of 3 independent Directors. The composition of the Related-Parties Committee is the following: Ms. Maria Pierdicchi (Chairwoman), Mr. Vincenzo Cariello and Ms. Elena Carletti. In reference to the Related-Parties Committee’s meetings, only for reasons of urgency, in specific cases dealing with transactions falling into the decision-making powers of the Board of Directors, a meeting may be convened at least twelve hours in advance. In 2021 the Committee held 14 meetings. Duties The Committee oversees issues concerning transactions with related parties pursuant to CONSOB Regulation No.17221/2010 and transactions with associated parties pursuant to Bank of Italy Circular No.285/2013 (Third Part, Chapter 11), carrying out the specific role attributed to independent directors by the aforementioned provisions. Furthermore, it carries out any other duties assigned to it within the Global Policy for the management of transactions with persons in conflict of interest. The Company’s competent offices ensure a constant monitoring of transactions envisaged by the procedures for the identification and management of transactions with related and/or associated parties, also in view of enabling the Committee to propose corrective actions. a) Temporary replacement in cases of conflict of interest For each individual transaction, Committee members must be different from the counterparty, its associated parties and/or any entities related to it. If a Committee member is a counterparty to the transaction under examination (or is related/associated with the counterparty), he/she must promptly inform the Chair of the Board of Directors and the Committee Chair (provided he/she is not in a conflict of interest situation), and abstain from attending further Committee proceedings with regard to the transaction in which the relationship exists. Having consulted with the Committee Chair (provided he/she is not in a conflict of interest situation), the Chair of the Board of Directors shall immediately take steps to replace the member who has this conflict of interest with another member from the Board of Directors who qualifies as independent pursuant to the Italian Corporate Governance Code, after contacting them beforehand, in order to restore the Committee to three non-related and non-associated independent Directors. b) Temporary replacement of unavailable members in the event of an urgent transaction For transactions that need to be finalized urgently and require the intervention of the Related-Parties Committee during negotiations and due diligence and/or during the issue of opinions, having acknowledged the urgency and noted that the majority or all members are unable to meet or carry out the required activities in time to conclude the transaction, the Committee Chair shall promptly inform the Chair of the Board of Directors of this situation. In any event, these circumstances must be communicated no later than the day after the Committee Chair was informed that the majority or all Committee members were not available. Having consulted with the CEO and determined that the transaction cannot be delayed, the Chair of the Board of Directors immediately takes steps to find three Directors to sit on the Committee and follow the process for temporary substitutions in the event of conflicts of interest. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 129 Furthermore, the Committee: • coordinates the process for identifying material risk takers on an on-going basis; • directly oversees the correct application of rules regarding the remuneration of the Heads of corporate control functions, working closely with the Board of Statutory Auditors; • works with the other committees, particularly the Internal Controls & Risks Committee, to verify that the incentives included in compensation and incentive schemes are consistent with the RAF, ensuring the involvement of the corporate functions responsible for drafting and monitoring remuneration and incentive policies and practices; • provides appropriate feedback on its operations to the Board of Directors, Board of Statutory Auditors and the Shareholders’ Meeting; • where necessary drawing on information received from the relevant corporate functions, expresses its opinion on the achievement of the performance targets associated with incentive schemes, and on the other conditions laid down for bonus payments. Related-Parties Committee The Related-Parties Committee consist of 3 independent Directors. The composition of the Related-Parties Committee is the following: Ms. Maria Pierdicchi (Chairwoman), Mr. Vincenzo Cariello and Ms. Elena Carletti. In reference to the Related-Parties Committee’s meetings, only for reasons of urgency, in specific cases dealing with transactions falling into the decision-making powers of the Board of Directors, a meeting may be convened at least twelve hours in advance. In 2021 the Committee held 14 meetings. Duties The Committee oversees issues concerning transactions with related parties pursuant to CONSOB Regulation No.17221/2010 and transactions with associated parties pursuant to Bank of Italy Circular No.285/2013 (Third Part, Chapter 11), carrying out the specific role attributed to independent directors by the aforementioned provisions. Furthermore, it carries out any other duties assigned to it within the Global Policy for the management of transactions with persons in conflict of interest. The Company’s competent offices ensure a constant monitoring of transactions envisaged by the procedures for the identification and management of transactions with related and/or associated parties, also in view of enabling the Committee to propose corrective actions. a) Temporary replacement in cases of conflict of interest For each individual transaction, Committee members must be different from the counterparty, its associated parties and/or any entities related to it. If a Committee member is a counterparty to the transaction under examination (or is related/associated with the counterparty), he/she must promptly inform the Chair of the Board of Directors and the Committee Chair (provided he/she is not in a conflict of interest situation), and abstain from attending further Committee proceedings with regard to the transaction in which the relationship exists. Having consulted with the Committee Chair (provided he/she is not in a conflict of interest situation), the Chair of the Board of Directors shall immediately take steps to replace the member who has this conflict of interest with another member from the Board of Directors who qualifies as independent pursuant to the Italian Corporate Governance Code, after contacting them beforehand, in order to restore the Committee to three non-related and non-associated independent Directors. b) Temporary replacement of unavailable members in the event of an urgent transaction For transactions that need to be finalized urgently and require the intervention of the Related-Parties Committee during negotiations and due diligence and/or during the issue of opinions, having acknowledged the urgency and noted that the majority or all members are unable to meet or carry out the required activities in time to conclude the transaction, the Committee Chair shall promptly inform the Chair of the Board of Directors of this situation. In any event, these circumstances must be communicated no later than the day after the Committee Chair was informed that the majority or all Committee members were not available. Having consulted with the CEO and determined that the transaction cannot be delayed, the Chair of the Board of Directors immediately takes steps to find three Directors to sit on the Committee and follow the process for temporary substitutions in the event of conflicts of interest. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 129 Furthermore, the Committee: • coordinates the process for identifying material risk takers on an on-going basis; • directly oversees the correct application of rules regarding the remuneration of the Heads of corporate control functions, working closely with the Board of Statutory Auditors; • works with the other committees, particularly the Internal Controls & Risks Committee, to verify that the incentives included in compensation and incentive schemes are consistent with the RAF, ensuring the involvement of the corporate functions responsible for drafting and monitoring remuneration and incentive policies and practices; • provides appropriate feedback on its operations to the Board of Directors, Board of Statutory Auditors and the Shareholders’ Meeting; • where necessary drawing on information received from the relevant corporate functions, expresses its opinion on the achievement of the performance targets associated with incentive schemes, and on the other conditions laid down for bonus payments. Related-Parties Committee The Related-Parties Committee consist of 3 independent Directors. The composition of the Related-Parties Committee is the following: Ms. Maria Pierdicchi (Chairwoman), Mr. Vincenzo Cariello and Ms. Elena Carletti. In reference to the Related-Parties Committee’s meetings, only for reasons of urgency, in specific cases dealing with transactions falling into the decision-making powers of the Board of Directors, a meeting may be convened at least twelve hours in advance. In 2021 the Committee held 14 meetings. Duties The Committee oversees issues concerning transactions with related parties pursuant to CONSOB Regulation No.17221/2010 and transactions with associated parties pursuant to Bank of Italy Circular No.285/2013 (Third Part, Chapter 11), carrying out the specific role attributed to independent directors by the aforementioned provisions. Furthermore, it carries out any other duties assigned to it within the Global Policy for the management of transactions with persons in conflict of interest. The Company’s competent offices ensure a constant monitoring of transactions envisaged by the procedures for the identification and management of transactions with related and/or associated parties, also in view of enabling the Committee to propose corrective actions. a) Temporary replacement in cases of conflict of interest For each individual transaction, Committee members must be different from the counterparty, its associated parties and/or any entities related to it. If a Committee member is a counterparty to the transaction under examination (or is related/associated with the counterparty), he/she must promptly inform the Chair of the Board of Directors and the Committee Chair (provided he/she is not in a conflict of interest situation), and abstain from attending further Committee proceedings with regard to the transaction in which the relationship exists. Having consulted with the Committee Chair (provided he/she is not in a conflict of interest situation), the Chair of the Board of Directors shall immediately take steps to replace the member who has this conflict of interest with another member from the Board of Directors who qualifies as independent pursuant to the Italian Corporate Governance Code, after contacting them beforehand, in order to restore the Committee to three non-related and non-associated independent Directors. b) Temporary replacement of unavailable members in the event of an urgent transaction For transactions that need to be finalized urgently and require the intervention of the Related-Parties Committee during negotiations and due diligence and/or during the issue of opinions, having acknowledged the urgency and noted that the majority or all members are unable to meet or carry out the required activities in time to conclude the transaction, the Committee Chair shall promptly inform the Chair of the Board of Directors of this situation. In any event, these circumstances must be communicated no later than the day after the Committee Chair was informed that the majority or all Committee members were not available. Having consulted with the CEO and determined that the transaction cannot be delayed, the Chair of the Board of Directors immediately takes steps to find three Directors to sit on the Committee and follow the process for temporary substitutions in the event of conflicts of interest. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 129 Furthermore, the Committee: • coordinates the process for identifying material risk takers on an on-going basis; • directly oversees the correct application of rules regarding the remuneration of the Heads of corporate control functions, working closely with the Board of Statutory Auditors; • works with the other committees, particularly the Internal Controls & Risks Committee, to verify that the incentives included in compensation and incentive schemes are consistent with the RAF, ensuring the involvement of the corporate functions responsible for drafting and monitoring remuneration and incentive policies and practices; • provides appropriate feedback on its operations to the Board of Directors, Board of Statutory Auditors and the Shareholders’ Meeting; • where necessary drawing on information received from the relevant corporate functions, expresses its opinion on the achievement of the performance targets associated with incentive schemes, and on the other conditions laid down for bonus payments. Related-Parties Committee The Related-Parties Committee consist of 3 independent Directors. The composition of the Related-Parties Committee is the following: Ms. Maria Pierdicchi (Chairwoman), Mr. Vincenzo Cariello and Ms. Elena Carletti. In reference to the Related-Parties Committee’s meetings, only for reasons of urgency, in specific cases dealing with transactions falling into the decision-making powers of the Board of Directors, a meeting may be convened at least twelve hours in advance. In 2021 the Committee held 14 meetings. Duties The Committee oversees issues concerning transactions with related parties pursuant to CONSOB Regulation No.17221/2010 and transactions with associated parties pursuant to Bank of Italy Circular No.285/2013 (Third Part, Chapter 11), carrying out the specific role attributed to independent directors by the aforementioned provisions. Furthermore, it carries out any other duties assigned to it within the Global Policy for the management of transactions with persons in conflict of interest. The Company’s competent offices ensure a constant monitoring of transactions envisaged by the procedures for the identification and management of transactions with related and/or associated parties, also in view of enabling the Committee to propose corrective actions. a) Temporary replacement in cases of conflict of interest For each individual transaction, Committee members must be different from the counterparty, its associated parties and/or any entities related to it. If a Committee member is a counterparty to the transaction under examination (or is related/associated with the counterparty), he/she must promptly inform the Chair of the Board of Directors and the Committee Chair (provided he/she is not in a conflict of interest situation), and abstain from attending further Committee proceedings with regard to the transaction in which the relationship exists. Having consulted with the Committee Chair (provided he/she is not in a conflict of interest situation), the Chair of the Board of Directors shall immediately take steps to replace the member who has this conflict of interest with another member from the Board of Directors who qualifies as independent pursuant to the Italian Corporate Governance Code, after contacting them beforehand, in order to restore the Committee to three non-related and non-associated independent Directors. b) Temporary replacement of unavailable members in the event of an urgent transaction For transactions that need to be finalized urgently and require the intervention of the Related-Parties Committee during negotiations and due diligence and/or during the issue of opinions, having acknowledged the urgency and noted that the majority or all members are unable to meet or carry out the required activities in time to conclude the transaction, the Committee Chair shall promptly inform the Chair of the Board of Directors of this situation. In any event, these circumstances must be communicated no later than the day after the Committee Chair was informed that the majority or all Committee members were not available. Having consulted with the CEO and determined that the transaction cannot be delayed, the Chair of the Board of Directors immediately takes steps to find three Directors to sit on the Committee and follow the process for temporary substitutions in the event of conflicts of interest. Corporate Governance Governance structure 130 2021 Annual Report and Accounts · UniCredit As regards sections a) and b) above, it should be noted that: • replacements must be provided with all available information in good time before the meeting at which the Committee is called upon to express its opinion regarding the transaction; • replacements undertake the duties allocated to them until the conclusion of the decision-making process regarding the specific transaction in question, and remain involved in the decisions taken by the Committee. Board Committees INTERNAL CONTROLS & RISKS COMMITTEE CORPORATE GOVERNANCE & NOMINATION COMMITTEE ESG COMMITTEE REMUNERATION COMMITTEE RELATED-PARTIES COMMITTEE MEMBERS EXEC. NON EXEC. INDEP. AS CODE (*) (**) (*) (**) (*) (**) (*) (**) (*) (**) Padoan Pietro Carlo X X M(1) 100% Andreotti Lamberto X X C(2) 100% C(1) 100% Orcel Andrea X Cariello Vincenzo X X M 100% Carletti Elena X X C(3) 100% M (1) 100% M (2) 100% Gadhia Jayne-Anne X X M(2) 100% C (2) 100% Hedberg Jeffrey Alan X X M (2) 100% Lara Bartolomé Beatriz Ángela X X M (2) 100% Molinari Luca X X M (2) 100% Pierdicchi Maria X X M 100% C 100% Tondi Francesca X X M 100% M(1) 100% C(2) 100% Wagner Renate X M (2) 91.67% Wolfgring Alexander X X M(4) 100% M 100% ----- Members who left during the Reference Period ----- Bisoni Cesare X Mustier Jean Pierre X Al Mehairi Mohamed Hamad X X Balbinot Sergio X De Giorgi Diego X X M(1) 50% Micossi Stefano X X C(1) 88.89% M (1) 75% No. of meetings held during the financial year IC&RC: 20 CG&NC: 19 ESGC: 7 RC: 16 RPC: 14 Notes: (*) A “C” (Chair) or an “M” (Member) in this column shows that the member of the Board of Directors belongs to the Committee and also indicates his/her position. (**) Meetings’ attendance percentage (number of meetings attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period). (1) Office held since 15 April 2021. (2) Office held until 15 April 2021. (3) Chair of the IC&RC since 15 April 2021. (4) Chair of the IC&RC until 15 April 2021. Corporate Governance Governance structure 130 2021 Annual Report and Accounts · UniCredit As regards sections a) and b) above, it should be noted that: • replacements must be provided with all available information in good time before the meeting at which the Committee is called upon to express its opinion regarding the transaction; • replacements undertake the duties allocated to them until the conclusion of the decision-making process regarding the specific transaction in question, and remain involved in the decisions taken by the Committee. Board Committees INTERNAL CONTROLS & RISKS COMMITTEE CORPORATE GOVERNANCE & NOMINATION COMMITTEE ESG COMMITTEE REMUNERATION COMMITTEE RELATED-PARTIES COMMITTEE MEMBERS EXEC. NON EXEC. INDEP. AS CODE (*) (**) (*) (**) (*) (**) (*) (**) (*) (**) Padoan Pietro Carlo X X M(1) 100% Andreotti Lamberto X X C(2) 100% C(1) 100% Orcel Andrea X Cariello Vincenzo X X M 100% Carletti Elena X X C(3) 100% M (1) 100% M (2) 100% Gadhia Jayne-Anne X X M(2) 100% C (2) 100% Hedberg Jeffrey Alan X X M (2) 100% Lara Bartolomé Beatriz Ángela X X M (2) 100% Molinari Luca X X M (2) 100% Pierdicchi Maria X X M 100% C 100% Tondi Francesca X X M 100% M(1) 100% C(2) 100% Wagner Renate X M (2) 91.67% Wolfgring Alexander X X M(4) 100% M 100% ----- Members who left during the Reference Period ----- Bisoni Cesare X Mustier Jean Pierre X Al Mehairi Mohamed Hamad X X Balbinot Sergio X De Giorgi Diego X X M(1) 50% Micossi Stefano X X C(1) 88.89% M (1) 75% No. of meetings held during the financial year IC&RC: 20 CG&NC: 19 ESGC: 7 RC: 16 RPC: 14 Notes: (*) A “C” (Chair) or an “M” (Member) in this column shows that the member of the Board of Directors belongs to the Committee and also indicates his/her position. (**) Meetings’ attendance percentage (number of meetings attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period). (1) Office held since 15 April 2021. (2) Office held until 15 April 2021. (3) Chair of the IC&RC since 15 April 2021. (4) Chair of the IC&RC until 15 April 2021. Corporate Governance Governance structure 130 2021 Annual Report and Accounts · UniCredit As regards sections a) and b) above, it should be noted that: • replacements must be provided with all available information in good time before the meeting at which the Committee is called upon to express its opinion regarding the transaction; • replacements undertake the duties allocated to them until the conclusion of the decision-making process regarding the specific transaction in question, and remain involved in the decisions taken by the Committee. Board Committees INTERNAL CONTROLS & RISKS COMMITTEE CORPORATE GOVERNANCE & NOMINATION COMMITTEE ESG COMMITTEE REMUNERATION COMMITTEE RELATED-PARTIES COMMITTEE MEMBERS EXEC. NON EXEC. INDEP. AS CODE (*) (**) (*) (**) (*) (**) (*) (**) (*) (**) Padoan Pietro Carlo X X M(1) 100% Andreotti Lamberto X X C(2) 100% C(1) 100% Orcel Andrea X Cariello Vincenzo X X M 100% Carletti Elena X X C(3) 100% M (1) 100% M (2) 100% Gadhia Jayne-Anne X X M(2) 100% C (2) 100% Hedberg Jeffrey Alan X X M (2) 100% Lara Bartolomé Beatriz Ángela X X M (2) 100% Molinari Luca X X M (2) 100% Pierdicchi Maria X X M 100% C 100% Tondi Francesca X X M 100% M(1) 100% C(2) 100% Wagner Renate X M (2) 91.67% Wolfgring Alexander X X M(4) 100% M 100% ----- Members who left during the Reference Period ----- Bisoni Cesare X Mustier Jean Pierre X Al Mehairi Mohamed Hamad X X Balbinot Sergio X De Giorgi Diego X X M(1) 50% Micossi Stefano X X C(1) 88.89% M (1) 75% No. of meetings held during the financial year IC&RC: 20 CG&NC: 19 ESGC: 7 RC: 16 RPC: 14 Notes: (*) A “C” (Chair) or an “M” (Member) in this column shows that the member of the Board of Directors belongs to the Committee and also indicates his/her position. (**) Meetings’ attendance percentage (number of meetings attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period). (1) Office held since 15 April 2021. (2) Office held until 15 April 2021. (3) Chair of the IC&RC since 15 April 2021. (4) Chair of the IC&RC until 15 April 2021. Corporate Governance Governance structure 130 2021 Annual Report and Accounts · UniCredit As regards sections a) and b) above, it should be noted that: • replacements must be provided with all available information in good time before the meeting at which the Committee is called upon to express its opinion regarding the transaction; • replacements undertake the duties allocated to them until the conclusion of the decision-making process regarding the specific transaction in question, and remain involved in the decisions taken by the Committee. Board Committees INTERNAL CONTROLS & RISKS COMMITTEE CORPORATE GOVERNANCE & NOMINATION COMMITTEE ESG COMMITTEE REMUNERATION COMMITTEE RELATED-PARTIES COMMITTEE MEMBERS EXEC. NON EXEC. INDEP. AS CODE (*) (**) (*) (**) (*) (**) (*) (**) (*) (**) Padoan Pietro Carlo X X M(1) 100% Andreotti Lamberto X X C(2) 100% C(1) 100% Orcel Andrea X Cariello Vincenzo X X M 100% Carletti Elena X X C(3) 100% M (1) 100% M (2) 100% Gadhia Jayne-Anne X X M(2) 100% C (2) 100% Hedberg Jeffrey Alan X X M (2) 100% Lara Bartolomé Beatriz Ángela X X M (2) 100% Molinari Luca X X M (2) 100% Pierdicchi Maria X X M 100% C 100% Tondi Francesca X X M 100% M(1) 100% C(2) 100% Wagner Renate X M (2) 91.67% Wolfgring Alexander X X M(4) 100% M 100% ----- Members who left during the Reference Period ----- Bisoni Cesare X Mustier Jean Pierre X Al Mehairi Mohamed Hamad X X Balbinot Sergio X De Giorgi Diego X X M(1) 50% Micossi Stefano X X C(1) 88.89% M (1) 75% No. of meetings held during the financial year IC&RC: 20 CG&NC: 19 ESGC: 7 RC: 16 RPC: 14 Notes: (*) A “C” (Chair) or an “M” (Member) in this column shows that the member of the Board of Directors belongs to the Committee and also indicates his/her position. (**) Meetings’ attendance percentage (number of meetings attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period). (1) Office held since 15 April 2021. (2) Office held until 15 April 2021. (3) Chair of the IC&RC since 15 April 2021. (4) Chair of the IC&RC until 15 April 2021. Corporate Governance Governance structure 130 2021 Annual Report and Accounts · UniCredit As regards sections a) and b) above, it should be noted that: • replacements must be provided with all available information in good time before the meeting at which the Committee is called upon to express its opinion regarding the transaction; • replacements undertake the duties allocated to them until the conclusion of the decision-making process regarding the specific transaction in question, and remain involved in the decisions taken by the Committee. Board Committees INTERNAL CONTROLS & RISKS COMMITTEE CORPORATE GOVERNANCE & NOMINATION COMMITTEE ESG COMMITTEE REMUNERATION COMMITTEE RELATED-PARTIES COMMITTEE MEMBERS EXEC. NON EXEC. INDEP. AS CODE (*) (**) (*) (**) (*) (**) (*) (**) (*) (**) Padoan Pietro Carlo X X M(1) 100% Andreotti Lamberto X X C(2) 100% C(1) 100% Orcel Andrea X Cariello Vincenzo X X M 100% Carletti Elena X X C(3) 100% M (1) 100% M (2) 100% Gadhia Jayne-Anne X X M(2) 100% C (2) 100% Hedberg Jeffrey Alan X X M (2) 100% Lara Bartolomé Beatriz Ángela X X M (2) 100% Molinari Luca X X M (2) 100% Pierdicchi Maria X X M 100% C 100% Tondi Francesca X X M 100% M(1) 100% C(2) 100% Wagner Renate X M (2) 91.67% Wolfgring Alexander X X M(4) 100% M 100% ----- Members who left during the Reference Period ----- Bisoni Cesare X Mustier Jean Pierre X Al Mehairi Mohamed Hamad X X Balbinot Sergio X De Giorgi Diego X X M(1) 50% Micossi Stefano X X C(1) 88.89% M (1) 75% No. of meetings held during the financial year IC&RC: 20 CG&NC: 19 ESGC: 7 RC: 16 RPC: 14 Notes: (*) A “C” (Chair) or an “M” (Member) in this column shows that the member of the Board of Directors belongs to the Committee and also indicates his/her position. (**) Meetings’ attendance percentage (number of meetings attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period). (1) Office held since 15 April 2021. (2) Office held until 15 April 2021. (3) Chair of the IC&RC since 15 April 2021. (4) Chair of the IC&RC until 15 April 2021. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 131 Board of Statutory Auditors Pursuant to the UniCredit Articles of Association, the Ordinary Shareholders’ Meeting appoints 5 permanent Statutory Auditors, among whom the Chair, and 4 substitute Statutory Auditors. Both the permanent and substitute Statutory Auditors may be re-elected. Permanent and substitute members of the Board of Statutory Auditors are appointed on the basis of a proportional representation mechanism (“voto di lista”) in abidance to the composition criteria, inter alia, regarding the appointment of the Chair of the Board of Statutory Auditors by the minority shareholders and the balance between genders, as established by the UniCredit Articles of Association, and in compliance with current legal provisions. In detail, the candidate who has obtained the highest share of votes among the candidates belonging to the slate that obtained the highest number of votes among the minority slates, as defined by current provisions (also regulatory) in force, shall be selected by the Shareholders’ Meeting as Chair of the Board of Statutory Auditors. Their term in office is 3 financial years and ends on the date of the Shareholders’ Meeting called upon to approve the financial statements relating to the last year in which they are in office. Members of the Board of Statutory Auditors shall meet the requirements envisaged by current provisions, also of a regulatory nature, in particular the professional experience, integrity and independence ones, and they can hold administrative and control appointments with other companies within the limits set by current laws and regulations. The ordinary Shareholders’ Meeting of 11 April 2019 appointed the permanent and substitute Statutory Auditors for the 2019-2021 financial years, whose term runs until 8 April 2022, the date of the Shareholders’ Meeting called to approve the 2021 financial statements. In the following chart the information regarding the members of the Board of Statutory Auditors in office. Statutory Auditors POSITION MEMBERS IN OFFICE SLATE (M/m)(*) INDEPENDENT AS PER CODE %(**) NUMBER OF OTHERS POSITIONS(***) SINCE UNTIL Chairman Rigotti Marco Giuseppe Maria 04.11.2019 04.08.2022 m X 100% -- Permanent Statutory Auditor Bonissoni Angelo Rocco 04.11.2019 04.08.2022 M X 98.5% 2 Permanent Statutory Auditor Navarra Benedetta 04.11.2019 04.08.2022 M X 100% 1 Permanent Statutory Auditor Paolucci Guido 04.11.2019 04.08.2022 M X 100% -- Permanent Statutory Auditor Bientinesi Antonella 04.11.2019 04.08.2022 m X 100% 1 Substitute Statutory Auditor Pagani Raffaella 04.11.2019 04.08.2022 M X Substitute Statutory Auditor Manes Paola 04.11.2019 04.08.2022 M X Substitute Statutory Auditor Rimoldi Enrica 04.11.2019 04.08.2022 m X Substitute Statutory Auditor Di Carluccio Ciro(1) 04.15.2021 04.08.2022 -- X ----- Statutory Auditors that left off during the Reference Period ----- -- Quorum required for the submission of the slates for the latest appointment: 0.5% Number of meetings held during the financial year: 64 Notes: (*) M = Member elected from the slate that obtained the majority of the Shareholders' votes; m = Member elected from the slate voted by a minority. (**) Meetings’ attendance percentage (number of meetings attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period). (***) Number of positions as Director or Auditor held by the concerned party pursuant to Art.148/bis of the Consolidated Law on Finance (TUF) and to the relevant implementing provisions contained in the CONSOB Issuers' Regulation. A complete list of such positions is published by the CONSOB on its website pursuant to Art.144-quinquiesdecies of the CONSOB Issuers Rules. (1) Appointed by the 15 April 2021, Shareholders’ Meeting in place of Mr. Roberto Franchini, who resigned as Substitute Statutory Auditor, effective from 28 April 2020. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 131 Board of Statutory Auditors Pursuant to the UniCredit Articles of Association, the Ordinary Shareholders’ Meeting appoints 5 permanent Statutory Auditors, among whom the Chair, and 4 substitute Statutory Auditors. Both the permanent and substitute Statutory Auditors may be re-elected. Permanent and substitute members of the Board of Statutory Auditors are appointed on the basis of a proportional representation mechanism (“voto di lista”) in abidance to the composition criteria, inter alia, regarding the appointment of the Chair of the Board of Statutory Auditors by the minority shareholders and the balance between genders, as established by the UniCredit Articles of Association, and in compliance with current legal provisions. In detail, the candidate who has obtained the highest share of votes among the candidates belonging to the slate that obtained the highest number of votes among the minority slates, as defined by current provisions (also regulatory) in force, shall be selected by the Shareholders’ Meeting as Chair of the Board of Statutory Auditors. Their term in office is 3 financial years and ends on the date of the Shareholders’ Meeting called upon to approve the financial statements relating to the last year in which they are in office. Members of the Board of Statutory Auditors shall meet the requirements envisaged by current provisions, also of a regulatory nature, in particular the professional experience, integrity and independence ones, and they can hold administrative and control appointments with other companies within the limits set by current laws and regulations. The ordinary Shareholders’ Meeting of 11 April 2019 appointed the permanent and substitute Statutory Auditors for the 2019-2021 financial years, whose term runs until 8 April 2022, the date of the Shareholders’ Meeting called to approve the 2021 financial statements. In the following chart the information regarding the members of the Board of Statutory Auditors in office. Statutory Auditors POSITION MEMBERS IN OFFICE SLATE (M/m)(*) INDEPENDENT AS PER CODE %(**) NUMBER OF OTHERS POSITIONS(***) SINCE UNTIL Chairman Rigotti Marco Giuseppe Maria 04.11.2019 04.08.2022 m X 100% -- Permanent Statutory Auditor Bonissoni Angelo Rocco 04.11.2019 04.08.2022 M X 98.5% 2 Permanent Statutory Auditor Navarra Benedetta 04.11.2019 04.08.2022 M X 100% 1 Permanent Statutory Auditor Paolucci Guido 04.11.2019 04.08.2022 M X 100% -- Permanent Statutory Auditor Bientinesi Antonella 04.11.2019 04.08.2022 m X 100% 1 Substitute Statutory Auditor Pagani Raffaella 04.11.2019 04.08.2022 M X Substitute Statutory Auditor Manes Paola 04.11.2019 04.08.2022 M X Substitute Statutory Auditor Rimoldi Enrica 04.11.2019 04.08.2022 m X Substitute Statutory Auditor Di Carluccio Ciro(1) 04.15.2021 04.08.2022 -- X ----- Statutory Auditors that left off during the Reference Period ----- -- Quorum required for the submission of the slates for the latest appointment: 0.5% Number of meetings held during the financial year: 64 Notes: (*) M = Member elected from the slate that obtained the majority of the Shareholders' votes; m = Member elected from the slate voted by a minority. (**) Meetings’ attendance percentage (number of meetings attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period). (***) Number of positions as Director or Auditor held by the concerned party pursuant to Art.148/bis of the Consolidated Law on Finance (TUF) and to the relevant implementing provisions contained in the CONSOB Issuers' Regulation. A complete list of such positions is published by the CONSOB on its website pursuant to Art.144-quinquiesdecies of the CONSOB Issuers Rules. (1) Appointed by the 15 April 2021, Shareholders’ Meeting in place of Mr. Roberto Franchini, who resigned as Substitute Statutory Auditor, effective from 28 April 2020. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 131 Board of Statutory Auditors Pursuant to the UniCredit Articles of Association, the Ordinary Shareholders’ Meeting appoints 5 permanent Statutory Auditors, among whom the Chair, and 4 substitute Statutory Auditors. Both the permanent and substitute Statutory Auditors may be re-elected. Permanent and substitute members of the Board of Statutory Auditors are appointed on the basis of a proportional representation mechanism (“voto di lista”) in abidance to the composition criteria, inter alia, regarding the appointment of the Chair of the Board of Statutory Auditors by the minority shareholders and the balance between genders, as established by the UniCredit Articles of Association, and in compliance with current legal provisions. In detail, the candidate who has obtained the highest share of votes among the candidates belonging to the slate that obtained the highest number of votes among the minority slates, as defined by current provisions (also regulatory) in force, shall be selected by the Shareholders’ Meeting as Chair of the Board of Statutory Auditors. Their term in office is 3 financial years and ends on the date of the Shareholders’ Meeting called upon to approve the financial statements relating to the last year in which they are in office. Members of the Board of Statutory Auditors shall meet the requirements envisaged by current provisions, also of a regulatory nature, in particular the professional experience, integrity and independence ones, and they can hold administrative and control appointments with other companies within the limits set by current laws and regulations. The ordinary Shareholders’ Meeting of 11 April 2019 appointed the permanent and substitute Statutory Auditors for the 2019-2021 financial years, whose term runs until 8 April 2022, the date of the Shareholders’ Meeting called to approve the 2021 financial statements. In the following chart the information regarding the members of the Board of Statutory Auditors in office. Statutory Auditors POSITION MEMBERS IN OFFICE SLATE (M/m)(*) INDEPENDENT AS PER CODE %(**) NUMBER OF OTHERS POSITIONS(***) SINCE UNTIL Chairman Rigotti Marco Giuseppe Maria 04.11.2019 04.08.2022 m X 100% -- Permanent Statutory Auditor Bonissoni Angelo Rocco 04.11.2019 04.08.2022 M X 98.5% 2 Permanent Statutory Auditor Navarra Benedetta 04.11.2019 04.08.2022 M X 100% 1 Permanent Statutory Auditor Paolucci Guido 04.11.2019 04.08.2022 M X 100% -- Permanent Statutory Auditor Bientinesi Antonella 04.11.2019 04.08.2022 m X 100% 1 Substitute Statutory Auditor Pagani Raffaella 04.11.2019 04.08.2022 M X Substitute Statutory Auditor Manes Paola 04.11.2019 04.08.2022 M X Substitute Statutory Auditor Rimoldi Enrica 04.11.2019 04.08.2022 m X Substitute Statutory Auditor Di Carluccio Ciro(1) 04.15.2021 04.08.2022 -- X ----- Statutory Auditors that left off during the Reference Period ----- -- Quorum required for the submission of the slates for the latest appointment: 0.5% Number of meetings held during the financial year: 64 Notes: (*) M = Member elected from the slate that obtained the majority of the Shareholders' votes; m = Member elected from the slate voted by a minority. (**) Meetings’ attendance percentage (number of meetings attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period). (***) Number of positions as Director or Auditor held by the concerned party pursuant to Art.148/bis of the Consolidated Law on Finance (TUF) and to the relevant implementing provisions contained in the CONSOB Issuers' Regulation. A complete list of such positions is published by the CONSOB on its website pursuant to Art.144-quinquiesdecies of the CONSOB Issuers Rules. (1) Appointed by the 15 April 2021, Shareholders’ Meeting in place of Mr. Roberto Franchini, who resigned as Substitute Statutory Auditor, effective from 28 April 2020. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 131 Board of Statutory Auditors Pursuant to the UniCredit Articles of Association, the Ordinary Shareholders’ Meeting appoints 5 permanent Statutory Auditors, among whom the Chair, and 4 substitute Statutory Auditors. Both the permanent and substitute Statutory Auditors may be re-elected. Permanent and substitute members of the Board of Statutory Auditors are appointed on the basis of a proportional representation mechanism (“voto di lista”) in abidance to the composition criteria, inter alia, regarding the appointment of the Chair of the Board of Statutory Auditors by the minority shareholders and the balance between genders, as established by the UniCredit Articles of Association, and in compliance with current legal provisions. In detail, the candidate who has obtained the highest share of votes among the candidates belonging to the slate that obtained the highest number of votes among the minority slates, as defined by current provisions (also regulatory) in force, shall be selected by the Shareholders’ Meeting as Chair of the Board of Statutory Auditors. Their term in office is 3 financial years and ends on the date of the Shareholders’ Meeting called upon to approve the financial statements relating to the last year in which they are in office. Members of the Board of Statutory Auditors shall meet the requirements envisaged by current provisions, also of a regulatory nature, in particular the professional experience, integrity and independence ones, and they can hold administrative and control appointments with other companies within the limits set by current laws and regulations. The ordinary Shareholders’ Meeting of 11 April 2019 appointed the permanent and substitute Statutory Auditors for the 2019-2021 financial years, whose term runs until 8 April 2022, the date of the Shareholders’ Meeting called to approve the 2021 financial statements. In the following chart the information regarding the members of the Board of Statutory Auditors in office. Statutory Auditors POSITION MEMBERS IN OFFICE SLATE (M/m)(*) INDEPENDENT AS PER CODE %(**) NUMBER OF OTHERS POSITIONS(***) SINCE UNTIL Chairman Rigotti Marco Giuseppe Maria 04.11.2019 04.08.2022 m X 100% -- Permanent Statutory Auditor Bonissoni Angelo Rocco 04.11.2019 04.08.2022 M X 98.5% 2 Permanent Statutory Auditor Navarra Benedetta 04.11.2019 04.08.2022 M X 100% 1 Permanent Statutory Auditor Paolucci Guido 04.11.2019 04.08.2022 M X 100% -- Permanent Statutory Auditor Bientinesi Antonella 04.11.2019 04.08.2022 m X 100% 1 Substitute Statutory Auditor Pagani Raffaella 04.11.2019 04.08.2022 M X Substitute Statutory Auditor Manes Paola 04.11.2019 04.08.2022 M X Substitute Statutory Auditor Rimoldi Enrica 04.11.2019 04.08.2022 m X Substitute Statutory Auditor Di Carluccio Ciro(1) 04.15.2021 04.08.2022 -- X ----- Statutory Auditors that left off during the Reference Period ----- -- Quorum required for the submission of the slates for the latest appointment: 0.5% Number of meetings held during the financial year: 64 Notes: (*) M = Member elected from the slate that obtained the majority of the Shareholders' votes; m = Member elected from the slate voted by a minority. (**) Meetings’ attendance percentage (number of meetings attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period). (***) Number of positions as Director or Auditor held by the concerned party pursuant to Art.148/bis of the Consolidated Law on Finance (TUF) and to the relevant implementing provisions contained in the CONSOB Issuers' Regulation. A complete list of such positions is published by the CONSOB on its website pursuant to Art.144-quinquiesdecies of the CONSOB Issuers Rules. (1) Appointed by the 15 April 2021, Shareholders’ Meeting in place of Mr. Roberto Franchini, who resigned as Substitute Statutory Auditor, effective from 28 April 2020. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 131 Board of Statutory Auditors Pursuant to the UniCredit Articles of Association, the Ordinary Shareholders’ Meeting appoints 5 permanent Statutory Auditors, among whom the Chair, and 4 substitute Statutory Auditors. Both the permanent and substitute Statutory Auditors may be re-elected. Permanent and substitute members of the Board of Statutory Auditors are appointed on the basis of a proportional representation mechanism (“voto di lista”) in abidance to the composition criteria, inter alia, regarding the appointment of the Chair of the Board of Statutory Auditors by the minority shareholders and the balance between genders, as established by the UniCredit Articles of Association, and in compliance with current legal provisions. In detail, the candidate who has obtained the highest share of votes among the candidates belonging to the slate that obtained the highest number of votes among the minority slates, as defined by current provisions (also regulatory) in force, shall be selected by the Shareholders’ Meeting as Chair of the Board of Statutory Auditors. Their term in office is 3 financial years and ends on the date of the Shareholders’ Meeting called upon to approve the financial statements relating to the last year in which they are in office. Members of the Board of Statutory Auditors shall meet the requirements envisaged by current provisions, also of a regulatory nature, in particular the professional experience, integrity and independence ones, and they can hold administrative and control appointments with other companies within the limits set by current laws and regulations. The ordinary Shareholders’ Meeting of 11 April 2019 appointed the permanent and substitute Statutory Auditors for the 2019-2021 financial years, whose term runs until 8 April 2022, the date of the Shareholders’ Meeting called to approve the 2021 financial statements. In the following chart the information regarding the members of the Board of Statutory Auditors in office. Statutory Auditors POSITION MEMBERS IN OFFICE SLATE (M/m)(*) INDEPENDENT AS PER CODE %(**) NUMBER OF OTHERS POSITIONS(***) SINCE UNTIL Chairman Rigotti Marco Giuseppe Maria 04.11.2019 04.08.2022 m X 100% -- Permanent Statutory Auditor Bonissoni Angelo Rocco 04.11.2019 04.08.2022 M X 98.5% 2 Permanent Statutory Auditor Navarra Benedetta 04.11.2019 04.08.2022 M X 100% 1 Permanent Statutory Auditor Paolucci Guido 04.11.2019 04.08.2022 M X 100% -- Permanent Statutory Auditor Bientinesi Antonella 04.11.2019 04.08.2022 m X 100% 1 Substitute Statutory Auditor Pagani Raffaella 04.11.2019 04.08.2022 M X Substitute Statutory Auditor Manes Paola 04.11.2019 04.08.2022 M X Substitute Statutory Auditor Rimoldi Enrica 04.11.2019 04.08.2022 m X Substitute Statutory Auditor Di Carluccio Ciro(1) 04.15.2021 04.08.2022 -- X ----- Statutory Auditors that left off during the Reference Period ----- -- Quorum required for the submission of the slates for the latest appointment: 0.5% Number of meetings held during the financial year: 64 Notes: (*) M = Member elected from the slate that obtained the majority of the Shareholders' votes; m = Member elected from the slate voted by a minority. (**) Meetings’ attendance percentage (number of meetings attended/number of meetings held during the concerned party’s term of office with regard to the Reference Period). (***) Number of positions as Director or Auditor held by the concerned party pursuant to Art.148/bis of the Consolidated Law on Finance (TUF) and to the relevant implementing provisions contained in the CONSOB Issuers' Regulation. A complete list of such positions is published by the CONSOB on its website pursuant to Art.144-quinquiesdecies of the CONSOB Issuers Rules. (1) Appointed by the 15 April 2021, Shareholders’ Meeting in place of Mr. Roberto Franchini, who resigned as Substitute Statutory Auditor, effective from 28 April 2020. Corporate Governance Governance structure 132 2021 Annual Report and Accounts · UniCredit Share capital As at 31 December 2021, the fully subscribed and paid up UniCredit share capital amounted to Euro 21,133,469,082.48, divided into No.2,226,129,520 ordinary shares with no nominal value. The ordinary shares are issued in a dematerialised form and are indivisible as well as freely transferable. Each share entitles holders to the right to cast one vote at ordinary and extraordinary shareholders’ meetings. No other types of shares, equity instruments or convertible or exchangeable bonds have been issued. Major Shareholders On the basis of the communications received in accordance with Art.120 of the Consolidated Law on Finance (TUF), direct and indirect relevant equity holdings as at 31 December 2021, registered on the Shareholders Register are stated below. The shareholders listed below hold more than 3%, and do not qualify for disclosure exemptions (as provided under Art.119/bis of CONSOB Rule No.11971/99). DECLARANT DIRECT SHAREHOLDER % (up to the third decimal) OF ORDINARY CAPITAL % (up to the third decimal) OF VOTING CAPITAL Capital Research and Management Company 6.287% 6.287% EuroPacific Growth Fund 5.130% 5.130% BlackRock Group 5.162% 5.162% BlackRock Fund Advisors 1.418% 1.418% BlackRock Institutional Trust Company, National Association 1.354% 1.354% BlackRock Advisors (UK) Ltd 0.821% 0.821% BlackRock Asset Management Deutschland Ag 0.677% 0.677% BlackRock Investment Management (UK) Ltd 0.334% 0.334% BlackRock Investment Management, Llc 0.246% 0.246% BlackRock Advisors, Llc 0.106% 0.106% BlackRock Asset Management Canada Ltd 0.072% 0.072% BlackRock Japan Co. Ltd 0.055% 0.055% BlackRock Investment Management (Australia) Ltd 0.043% 0.043% BlackRock Financial Management, Inc. 0.032% 0.032% BlackRock Asset Management North Asia Ltd 0.003% 0.003% Aperio Group Llc 0.002% 0.002% Blackrock (Singapore) Ltd 0.000% 0.000% Blackrock International Limited 0.000% 0.000% Allianz SE Group 3.128% 3.128% Allianz Finance II Luxembourg S.a.r.l. 3.023% 3.023% Allianz S.p.A. 0.087% 0.087% Allianz Lebensverischerungs Ag 0.007% 0.007% Investitori Società di Gestione del Risparmio Società per Azioni 0.007% 0.007% Allianz Life Luxembourg Sa 0.002% 0.002% Allianz Benelux Sa 0.001% 0.001% Allianz Vie 0.000% 0.000% Corporate Governance Governance structure 132 2021 Annual Report and Accounts · UniCredit Share capital As at 31 December 2021, the fully subscribed and paid up UniCredit share capital amounted to Euro 21,133,469,082.48, divided into No.2,226,129,520 ordinary shares with no nominal value. The ordinary shares are issued in a dematerialised form and are indivisible as well as freely transferable. Each share entitles holders to the right to cast one vote at ordinary and extraordinary shareholders’ meetings. No other types of shares, equity instruments or convertible or exchangeable bonds have been issued. Major Shareholders On the basis of the communications received in accordance with Art.120 of the Consolidated Law on Finance (TUF), direct and indirect relevant equity holdings as at 31 December 2021, registered on the Shareholders Register are stated below. The shareholders listed below hold more than 3%, and do not qualify for disclosure exemptions (as provided under Art.119/bis of CONSOB Rule No.11971/99). DECLARANT DIRECT SHAREHOLDER % (up to the third decimal) OF ORDINARY CAPITAL % (up to the third decimal) OF VOTING CAPITAL Capital Research and Management Company 6.287% 6.287% EuroPacific Growth Fund 5.130% 5.130% BlackRock Group 5.162% 5.162% BlackRock Fund Advisors 1.418% 1.418% BlackRock Institutional Trust Company, National Association 1.354% 1.354% BlackRock Advisors (UK) Ltd 0.821% 0.821% BlackRock Asset Management Deutschland Ag 0.677% 0.677% BlackRock Investment Management (UK) Ltd 0.334% 0.334% BlackRock Investment Management, Llc 0.246% 0.246% BlackRock Advisors, Llc 0.106% 0.106% BlackRock Asset Management Canada Ltd 0.072% 0.072% BlackRock Japan Co. Ltd 0.055% 0.055% BlackRock Investment Management (Australia) Ltd 0.043% 0.043% BlackRock Financial Management, Inc. 0.032% 0.032% BlackRock Asset Management North Asia Ltd 0.003% 0.003% Aperio Group Llc 0.002% 0.002% Blackrock (Singapore) Ltd 0.000% 0.000% Blackrock International Limited 0.000% 0.000% Allianz SE Group 3.128% 3.128% Allianz Finance II Luxembourg S.a.r.l. 3.023% 3.023% Allianz S.p.A. 0.087% 0.087% Allianz Lebensverischerungs Ag 0.007% 0.007% Investitori Società di Gestione del Risparmio Società per Azioni 0.007% 0.007% Allianz Life Luxembourg Sa 0.002% 0.002% Allianz Benelux Sa 0.001% 0.001% Allianz Vie 0.000% 0.000% Corporate Governance Governance structure 132 2021 Annual Report and Accounts · UniCredit Share capital As at 31 December 2021, the fully subscribed and paid up UniCredit share capital amounted to Euro 21,133,469,082.48, divided into No.2,226,129,520 ordinary shares with no nominal value. The ordinary shares are issued in a dematerialised form and are indivisible as well as freely transferable. Each share entitles holders to the right to cast one vote at ordinary and extraordinary shareholders’ meetings. No other types of shares, equity instruments or convertible or exchangeable bonds have been issued. Major Shareholders On the basis of the communications received in accordance with Art.120 of the Consolidated Law on Finance (TUF), direct and indirect relevant equity holdings as at 31 December 2021, registered on the Shareholders Register are stated below. The shareholders listed below hold more than 3%, and do not qualify for disclosure exemptions (as provided under Art.119/bis of CONSOB Rule No.11971/99). DECLARANT DIRECT SHAREHOLDER % (up to the third decimal) OF ORDINARY CAPITAL % (up to the third decimal) OF VOTING CAPITAL Capital Research and Management Company 6.287% 6.287% EuroPacific Growth Fund 5.130% 5.130% BlackRock Group 5.162% 5.162% BlackRock Fund Advisors 1.418% 1.418% BlackRock Institutional Trust Company, National Association 1.354% 1.354% BlackRock Advisors (UK) Ltd 0.821% 0.821% BlackRock Asset Management Deutschland Ag 0.677% 0.677% BlackRock Investment Management (UK) Ltd 0.334% 0.334% BlackRock Investment Management, Llc 0.246% 0.246% BlackRock Advisors, Llc 0.106% 0.106% BlackRock Asset Management Canada Ltd 0.072% 0.072% BlackRock Japan Co. Ltd 0.055% 0.055% BlackRock Investment Management (Australia) Ltd 0.043% 0.043% BlackRock Financial Management, Inc. 0.032% 0.032% BlackRock Asset Management North Asia Ltd 0.003% 0.003% Aperio Group Llc 0.002% 0.002% Blackrock (Singapore) Ltd 0.000% 0.000% Blackrock International Limited 0.000% 0.000% Allianz SE Group 3.128% 3.128% Allianz Finance II Luxembourg S.a.r.l. 3.023% 3.023% Allianz S.p.A. 0.087% 0.087% Allianz Lebensverischerungs Ag 0.007% 0.007% Investitori Società di Gestione del Risparmio Società per Azioni 0.007% 0.007% Allianz Life Luxembourg Sa 0.002% 0.002% Allianz Benelux Sa 0.001% 0.001% Allianz Vie 0.000% 0.000% Corporate Governance Governance structure 132 2021 Annual Report and Accounts · UniCredit Share capital As at 31 December 2021, the fully subscribed and paid up UniCredit share capital amounted to Euro 21,133,469,082.48, divided into No.2,226,129,520 ordinary shares with no nominal value. The ordinary shares are issued in a dematerialised form and are indivisible as well as freely transferable. Each share entitles holders to the right to cast one vote at ordinary and extraordinary shareholders’ meetings. No other types of shares, equity instruments or convertible or exchangeable bonds have been issued. Major Shareholders On the basis of the communications received in accordance with Art.120 of the Consolidated Law on Finance (TUF), direct and indirect relevant equity holdings as at 31 December 2021, registered on the Shareholders Register are stated below. The shareholders listed below hold more than 3%, and do not qualify for disclosure exemptions (as provided under Art.119/bis of CONSOB Rule No.11971/99). DECLARANT DIRECT SHAREHOLDER % (up to the third decimal) OF ORDINARY CAPITAL % (up to the third decimal) OF VOTING CAPITAL Capital Research and Management Company 6.287% 6.287% EuroPacific Growth Fund 5.130% 5.130% BlackRock Group 5.162% 5.162% BlackRock Fund Advisors 1.418% 1.418% BlackRock Institutional Trust Company, National Association 1.354% 1.354% BlackRock Advisors (UK) Ltd 0.821% 0.821% BlackRock Asset Management Deutschland Ag 0.677% 0.677% BlackRock Investment Management (UK) Ltd 0.334% 0.334% BlackRock Investment Management, Llc 0.246% 0.246% BlackRock Advisors, Llc 0.106% 0.106% BlackRock Asset Management Canada Ltd 0.072% 0.072% BlackRock Japan Co. Ltd 0.055% 0.055% BlackRock Investment Management (Australia) Ltd 0.043% 0.043% BlackRock Financial Management, Inc. 0.032% 0.032% BlackRock Asset Management North Asia Ltd 0.003% 0.003% Aperio Group Llc 0.002% 0.002% Blackrock (Singapore) Ltd 0.000% 0.000% Blackrock International Limited 0.000% 0.000% Allianz SE Group 3.128% 3.128% Allianz Finance II Luxembourg S.a.r.l. 3.023% 3.023% Allianz S.p.A. 0.087% 0.087% Allianz Lebensverischerungs Ag 0.007% 0.007% Investitori Società di Gestione del Risparmio Società per Azioni 0.007% 0.007% Allianz Life Luxembourg Sa 0.002% 0.002% Allianz Benelux Sa 0.001% 0.001% Allianz Vie 0.000% 0.000% Corporate Governance Governance structure 132 2021 Annual Report and Accounts · UniCredit Share capital As at 31 December 2021, the fully subscribed and paid up UniCredit share capital amounted to Euro 21,133,469,082.48, divided into No.2,226,129,520 ordinary shares with no nominal value. The ordinary shares are issued in a dematerialised form and are indivisible as well as freely transferable. Each share entitles holders to the right to cast one vote at ordinary and extraordinary shareholders’ meetings. No other types of shares, equity instruments or convertible or exchangeable bonds have been issued. Major Shareholders On the basis of the communications received in accordance with Art.120 of the Consolidated Law on Finance (TUF), direct and indirect relevant equity holdings as at 31 December 2021, registered on the Shareholders Register are stated below. The shareholders listed below hold more than 3%, and do not qualify for disclosure exemptions (as provided under Art.119/bis of CONSOB Rule No.11971/99). DECLARANT DIRECT SHAREHOLDER % (up to the third decimal) OF ORDINARY CAPITAL % (up to the third decimal) OF VOTING CAPITAL Capital Research and Management Company 6.287% 6.287% EuroPacific Growth Fund 5.130% 5.130% BlackRock Group 5.162% 5.162% BlackRock Fund Advisors 1.418% 1.418% BlackRock Institutional Trust Company, National Association 1.354% 1.354% BlackRock Advisors (UK) Ltd 0.821% 0.821% BlackRock Asset Management Deutschland Ag 0.677% 0.677% BlackRock Investment Management (UK) Ltd 0.334% 0.334% BlackRock Investment Management, Llc 0.246% 0.246% BlackRock Advisors, Llc 0.106% 0.106% BlackRock Asset Management Canada Ltd 0.072% 0.072% BlackRock Japan Co. Ltd 0.055% 0.055% BlackRock Investment Management (Australia) Ltd 0.043% 0.043% BlackRock Financial Management, Inc. 0.032% 0.032% BlackRock Asset Management North Asia Ltd 0.003% 0.003% Aperio Group Llc 0.002% 0.002% Blackrock (Singapore) Ltd 0.000% 0.000% Blackrock International Limited 0.000% 0.000% Allianz SE Group 3.128% 3.128% Allianz Finance II Luxembourg S.a.r.l. 3.023% 3.023% Allianz S.p.A. 0.087% 0.087% Allianz Lebensverischerungs Ag 0.007% 0.007% Investitori Società di Gestione del Risparmio Società per Azioni 0.007% 0.007% Allianz Life Luxembourg Sa 0.002% 0.002% Allianz Benelux Sa 0.001% 0.001% Allianz Vie 0.000% 0.000% Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 133 Participation Rights Eligible to attend Shareholders' Meetings are those who hold voting rights and in respect of whom the Company has received, from the broker holding the relevant securities account, the notification within the deadline set forth by applicable law (record date, i.e., seven market trading days before the Shareholders’ Meeting date). Those who hold voting rights may arrange to be represented in the Shareholders’ Meeting, in compliance with the provisions of the prevailing law. UniCredit has always encouraged its shareholders to exercise their participation and voting rights and, for that reason, some time ago it adopted the Regulations governing Shareholders’ Meetings to ensure their regular conduct. Said Regulations are available on UniCredit website on the Governance/Shareholders’ Meeting Section. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 133 Participation Rights Eligible to attend Shareholders' Meetings are those who hold voting rights and in respect of whom the Company has received, from the broker holding the relevant securities account, the notification within the deadline set forth by applicable law (record date, i.e., seven market trading days before the Shareholders’ Meeting date). Those who hold voting rights may arrange to be represented in the Shareholders’ Meeting, in compliance with the provisions of the prevailing law. UniCredit has always encouraged its shareholders to exercise their participation and voting rights and, for that reason, some time ago it adopted the Regulations governing Shareholders’ Meetings to ensure their regular conduct. Said Regulations are available on UniCredit website on the Governance/Shareholders’ Meeting Section. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 133 Participation Rights Eligible to attend Shareholders' Meetings are those who hold voting rights and in respect of whom the Company has received, from the broker holding the relevant securities account, the notification within the deadline set forth by applicable law (record date, i.e., seven market trading days before the Shareholders’ Meeting date). Those who hold voting rights may arrange to be represented in the Shareholders’ Meeting, in compliance with the provisions of the prevailing law. UniCredit has always encouraged its shareholders to exercise their participation and voting rights and, for that reason, some time ago it adopted the Regulations governing Shareholders’ Meetings to ensure their regular conduct. Said Regulations are available on UniCredit website on the Governance/Shareholders’ Meeting Section. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 133 Participation Rights Eligible to attend Shareholders' Meetings are those who hold voting rights and in respect of whom the Company has received, from the broker holding the relevant securities account, the notification within the deadline set forth by applicable law (record date, i.e., seven market trading days before the Shareholders’ Meeting date). Those who hold voting rights may arrange to be represented in the Shareholders’ Meeting, in compliance with the provisions of the prevailing law. UniCredit has always encouraged its shareholders to exercise their participation and voting rights and, for that reason, some time ago it adopted the Regulations governing Shareholders’ Meetings to ensure their regular conduct. Said Regulations are available on UniCredit website on the Governance/Shareholders’ Meeting Section. Corporate Governance Governance structure UniCredit · 2021 Annual Report and Accounts 133 Participation Rights Eligible to attend Shareholders' Meetings are those who hold voting rights and in respect of whom the Company has received, from the broker holding the relevant securities account, the notification within the deadline set forth by applicable law (record date, i.e., seven market trading days before the Shareholders’ Meeting date). Those who hold voting rights may arrange to be represented in the Shareholders’ Meeting, in compliance with the provisions of the prevailing law. UniCredit has always encouraged its shareholders to exercise their participation and voting rights and, for that reason, some time ago it adopted the Regulations governing Shareholders’ Meetings to ensure their regular conduct. Said Regulations are available on UniCredit website on the Governance/Shareholders’ Meeting Section. Corporate G ov ernance roup E x ecutiv e Com ittee ( E C) The Group Executive Committee (GEC) is a Managerial Committee set up in order to ensure the effective steering, coordination and control of Group business, as well as an effective managerial alignment across the Group. ANDREA ORCEL NICCOLÒ UBERTALLI MICHAEL DIEDERICH Group Chief Executive Officer Head of Italy Head of Germany GIANFRANCO BISAGNI TEODORA PETKOVA RICHARD BURTON Head of Central Europe Head of Eastern Europe Head of Client Solutions 13 2021 Annual Reports and Accounts · UniCredit 4 G m G STEFANO PORRO JINGLE PANG RANIERI DE MARCHIS Chief Financial Officer Group Digital & Information Officer Group Operating Officer FIONA MELROSE JOANNA CARSS TJ LIM Head of Group Strategy & ESG Head of Group Stakeholder Engagement Group Risk Officer SERENELLA DE CANDIA GIANPAOLO ALESSANDRO Group Compliance Officer Group Legal Officer Secretary of the Board of Directors ANDREA VINTANI AD INTERIM UNTIL MAY 2022 Group People and Culture Officer UniCredit · 2021 Annual Reports and Accounts 13 5 Corporate G ov ernance B oard of D irectors (cid:8)irectors’ term in office is three financial years, unless a shorter term is established at such time as they are appointed, and ends on the date of the (cid:23)hareholders’ (cid:17)eeting called to approve the financial statements relating to the last year in which they are in office. (cid:24)he (cid:6)oard of (cid:8)irectors currently in office was appointed by the Ordinary Shareholders’ Meeting on April 15, 2021 for the financial years (cid:109)(cid:107)(cid:109)(cid:108) (cid:81) (cid:109)(cid:107)(cid:109)(cid:110), on the basis of a proportional representation mechanism (cid:72)(cid:93)voto di lista(cid:94)(cid:74), and its terms of office ends on the date of the (cid:23)hareholders’ (cid:17)eeting called to approve the (cid:109)(cid:107)(cid:109)(cid:110) financial statements. (cid:5)s regards the actions taken in recent years to strengthen our governance and align it with international best practices, improving the composition and functioning of the (cid:6)oard of (cid:8)irectors has been a fundamental commitment for our (cid:11)roup. PIETRO CARLO PADOAN LAMBERTO ANDREOTTI ANDREA ORCEL (cid:7)hairman of the (cid:6)oard of (cid:8)irectors (cid:8)eputy (cid:7)hairman (cid:11)roup (cid:7)hief (cid:9)(cid:54)ecutive (cid:19)fficer VINCENZO CARIELLO ELENA CARLETTI JAYNE-ANNE GADHIA Director Director Director 13 6 2021 Annual Reports and Accounts · UniCredit JEFFREY ALAN HEDBERG BEATRIZ LARA BARTOLOMÉ LUCA MOLINARI Director Director Director MARIA PIERDICCHI FRANCESCA TONDI RENATE WAGNER Director Director Director ALEXANDER WOLFGRING GIANPAOLO ALESSANDRO Director (cid:11)roup (cid:16)egal (cid:19)fficer (cid:23)ecretary of the (cid:6)oard of (cid:8)irectors UniCredit · 2021 Annual Reports and Accounts 13 7  138 2021 Annual Report and Accounts · UniCredit 138 2021 Annual Report and Accounts · UniCredit 138 2021 Annual Report and Accounts · UniCredit 138 2021 Annual Report and Accounts · UniCredit 138 2021 Annual Report and Accounts · UniCredit Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 139 Consolidated financial statements Consolidated accounts Consolidated balance sheet Consolidated balance sheet (€ million) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 10. Cash and cash balances 107,407 117,003 20. Financial assets at fair value through profit or loss: 92,239 87,825 a) financial assets held for trading 80,109 72,705 b) financial assets designated at fair value 279 226 c) other financial assets mandatorily at fair value 11,851 14,894 30. Financial assets at fair value through other comprehensive income 68,564 72,737 40. Financial assets at amortised cost: 593,618 608,205 a) loans and advances to banks 91,403 102,193 b) loans and advances to customers 502,215 506,012 50. Hedging derivatives 3,065 3,802 60. Changes in fair value of portfolio hedged items (+/-) 1,511 3,886 70. Equity investments 4,073 4,354 80. Insurance reserves charged to reinsurers - - 90. Property, plant and equipment 8,911 9,939 100. Intangible assets 2,213 2,117 of which: goodwill - - 110. Tax assets: 13,552 13,098 a) current 1,954 1,737 b) deferred 11,598 11,361 120. Non-current assets and disposal groups classified as held for sale 14,287 2,017 130. Other assets 7,231 6,473 Total assets 916,671 931,456 (€ million) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 10. Financial liabilities at amortised cost: 761,023 775,747 a) deposits from banks 162,571 172,473 b) deposits from customers 502,554 500,750 c) debt securities in issue 95,898 102,524 20. Financial liabilities held for trading 51,608 47,787 30. Financial liabilities designated at fair value 9,556 10,568 40. Hedging derivatives 4,303 5,699 50. Value adjustment of hedged financial liabilities (+/-) 963 6,065 60. Tax liabilities: 1,215 1,358 a) current 627 792 b) deferred 588 566 70. Liabilities associated with assets classified as held for sale 2,149 761 80. Other liabilities 13,301 12,749 90. Provision for employee severance pay 516 592 100. Provisions for risks and charges: 9,944 10,188 a) commitments and guarantees given 1,425 1,388 b) post-retirement benefit obligations 4,738 5,677 c) other provisions for risks and charges 3,781 3,123 110. Technical reserves - - 120. Valuation reserves (4,337) (6,159) 130. Redeemable shares - - 140. Equity instruments 6,595 6,841 150. Reserves 31,451 31,167 160. Share premium 5,446 9,386 170. Share capital 21,133 21,060 180. Treasury shares (-) (200) (3) 190. Minority shareholders' equity (+/-) 465 435 200. Profit (Loss) of the year (+/-) 1,540 (2,785) Total liabilities and shareholders' equity 916,671 931,456 Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 139 Consolidated financial statements Consolidated accounts Consolidated balance sheet Consolidated balance sheet (€ million) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 10. Cash and cash balances 107,407 117,003 20. Financial assets at fair value through profit or loss: 92,239 87,825 a) financial assets held for trading 80,109 72,705 b) financial assets designated at fair value 279 226 c) other financial assets mandatorily at fair value 11,851 14,894 30. Financial assets at fair value through other comprehensive income 68,564 72,737 40. Financial assets at amortised cost: 593,618 608,205 a) loans and advances to banks 91,403 102,193 b) loans and advances to customers 502,215 506,012 50. Hedging derivatives 3,065 3,802 60. Changes in fair value of portfolio hedged items (+/-) 1,511 3,886 70. Equity investments 4,073 4,354 80. Insurance reserves charged to reinsurers - - 90. Property, plant and equipment 8,911 9,939 100. Intangible assets 2,213 2,117 of which: goodwill - - 110. Tax assets: 13,552 13,098 a) current 1,954 1,737 b) deferred 11,598 11,361 120. Non-current assets and disposal groups classified as held for sale 14,287 2,017 130. Other assets 7,231 6,473 Total assets 916,671 931,456 (€ million) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 10. Financial liabilities at amortised cost: 761,023 775,747 a) deposits from banks 162,571 172,473 b) deposits from customers 502,554 500,750 c) debt securities in issue 95,898 102,524 20. Financial liabilities held for trading 51,608 47,787 30. Financial liabilities designated at fair value 9,556 10,568 40. Hedging derivatives 4,303 5,699 50. Value adjustment of hedged financial liabilities (+/-) 963 6,065 60. Tax liabilities: 1,215 1,358 a) current 627 792 b) deferred 588 566 70. Liabilities associated with assets classified as held for sale 2,149 761 80. Other liabilities 13,301 12,749 90. Provision for employee severance pay 516 592 100. Provisions for risks and charges: 9,944 10,188 a) commitments and guarantees given 1,425 1,388 b) post-retirement benefit obligations 4,738 5,677 c) other provisions for risks and charges 3,781 3,123 110. Technical reserves - - 120. Valuation reserves (4,337) (6,159) 130. Redeemable shares - - 140. Equity instruments 6,595 6,841 150. Reserves 31,451 31,167 160. Share premium 5,446 9,386 170. Share capital 21,133 21,060 180. Treasury shares (-) (200) (3) 190. Minority shareholders' equity (+/-) 465 435 200. Profit (Loss) of the year (+/-) 1,540 (2,785) Total liabilities and shareholders' equity 916,671 931,456 Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 139 Consolidated financial statements Consolidated accounts Consolidated balance sheet Consolidated balance sheet (€ million) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 10. Cash and cash balances 107,407 117,003 20. Financial assets at fair value through profit or loss: 92,239 87,825 a) financial assets held for trading 80,109 72,705 b) financial assets designated at fair value 279 226 c) other financial assets mandatorily at fair value 11,851 14,894 30. Financial assets at fair value through other comprehensive income 68,564 72,737 40. Financial assets at amortised cost: 593,618 608,205 a) loans and advances to banks 91,403 102,193 b) loans and advances to customers 502,215 506,012 50. Hedging derivatives 3,065 3,802 60. Changes in fair value of portfolio hedged items (+/-) 1,511 3,886 70. Equity investments 4,073 4,354 80. Insurance reserves charged to reinsurers - - 90. Property, plant and equipment 8,911 9,939 100. Intangible assets 2,213 2,117 of which: goodwill - - 110. Tax assets: 13,552 13,098 a) current 1,954 1,737 b) deferred 11,598 11,361 120. Non-current assets and disposal groups classified as held for sale 14,287 2,017 130. Other assets 7,231 6,473 Total assets 916,671 931,456 (€ million) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 10. Financial liabilities at amortised cost: 761,023 775,747 a) deposits from banks 162,571 172,473 b) deposits from customers 502,554 500,750 c) debt securities in issue 95,898 102,524 20. Financial liabilities held for trading 51,608 47,787 30. Financial liabilities designated at fair value 9,556 10,568 40. Hedging derivatives 4,303 5,699 50. Value adjustment of hedged financial liabilities (+/-) 963 6,065 60. Tax liabilities: 1,215 1,358 a) current 627 792 b) deferred 588 566 70. Liabilities associated with assets classified as held for sale 2,149 761 80. Other liabilities 13,301 12,749 90. Provision for employee severance pay 516 592 100. Provisions for risks and charges: 9,944 10,188 a) commitments and guarantees given 1,425 1,388 b) post-retirement benefit obligations 4,738 5,677 c) other provisions for risks and charges 3,781 3,123 110. Technical reserves - - 120. Valuation reserves (4,337) (6,159) 130. Redeemable shares - - 140. Equity instruments 6,595 6,841 150. Reserves 31,451 31,167 160. Share premium 5,446 9,386 170. Share capital 21,133 21,060 180. Treasury shares (-) (200) (3) 190. Minority shareholders' equity (+/-) 465 435 200. Profit (Loss) of the year (+/-) 1,540 (2,785) Total liabilities and shareholders' equity 916,671 931,456 Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 139 Consolidated financial statements Consolidated accounts Consolidated balance sheet Consolidated balance sheet (€ million) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 10. Cash and cash balances 107,407 117,003 20. Financial assets at fair value through profit or loss: 92,239 87,825 a) financial assets held for trading 80,109 72,705 b) financial assets designated at fair value 279 226 c) other financial assets mandatorily at fair value 11,851 14,894 30. Financial assets at fair value through other comprehensive income 68,564 72,737 40. Financial assets at amortised cost: 593,618 608,205 a) loans and advances to banks 91,403 102,193 b) loans and advances to customers 502,215 506,012 50. Hedging derivatives 3,065 3,802 60. Changes in fair value of portfolio hedged items (+/-) 1,511 3,886 70. Equity investments 4,073 4,354 80. Insurance reserves charged to reinsurers - - 90. Property, plant and equipment 8,911 9,939 100. Intangible assets 2,213 2,117 of which: goodwill - - 110. Tax assets: 13,552 13,098 a) current 1,954 1,737 b) deferred 11,598 11,361 120. Non-current assets and disposal groups classified as held for sale 14,287 2,017 130. Other assets 7,231 6,473 Total assets 916,671 931,456 (€ million) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 10. Financial liabilities at amortised cost: 761,023 775,747 a) deposits from banks 162,571 172,473 b) deposits from customers 502,554 500,750 c) debt securities in issue 95,898 102,524 20. Financial liabilities held for trading 51,608 47,787 30. Financial liabilities designated at fair value 9,556 10,568 40. Hedging derivatives 4,303 5,699 50. Value adjustment of hedged financial liabilities (+/-) 963 6,065 60. Tax liabilities: 1,215 1,358 a) current 627 792 b) deferred 588 566 70. Liabilities associated with assets classified as held for sale 2,149 761 80. Other liabilities 13,301 12,749 90. Provision for employee severance pay 516 592 100. Provisions for risks and charges: 9,944 10,188 a) commitments and guarantees given 1,425 1,388 b) post-retirement benefit obligations 4,738 5,677 c) other provisions for risks and charges 3,781 3,123 110. Technical reserves - - 120. Valuation reserves (4,337) (6,159) 130. Redeemable shares - - 140. Equity instruments 6,595 6,841 150. Reserves 31,451 31,167 160. Share premium 5,446 9,386 170. Share capital 21,133 21,060 180. Treasury shares (-) (200) (3) 190. Minority shareholders' equity (+/-) 465 435 200. Profit (Loss) of the year (+/-) 1,540 (2,785) Total liabilities and shareholders' equity 916,671 931,456 Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 139 Consolidated financial statements Consolidated accounts Consolidated balance sheet Consolidated balance sheet (€ million) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 10. Cash and cash balances 107,407 117,003 20. Financial assets at fair value through profit or loss: 92,239 87,825 a) financial assets held for trading 80,109 72,705 b) financial assets designated at fair value 279 226 c) other financial assets mandatorily at fair value 11,851 14,894 30. Financial assets at fair value through other comprehensive income 68,564 72,737 40. Financial assets at amortised cost: 593,618 608,205 a) loans and advances to banks 91,403 102,193 b) loans and advances to customers 502,215 506,012 50. Hedging derivatives 3,065 3,802 60. Changes in fair value of portfolio hedged items (+/-) 1,511 3,886 70. Equity investments 4,073 4,354 80. Insurance reserves charged to reinsurers - - 90. Property, plant and equipment 8,911 9,939 100. Intangible assets 2,213 2,117 of which: goodwill - - 110. Tax assets: 13,552 13,098 a) current 1,954 1,737 b) deferred 11,598 11,361 120. Non-current assets and disposal groups classified as held for sale 14,287 2,017 130. Other assets 7,231 6,473 Total assets 916,671 931,456 (€ million) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 10. Financial liabilities at amortised cost: 761,023 775,747 a) deposits from banks 162,571 172,473 b) deposits from customers 502,554 500,750 c) debt securities in issue 95,898 102,524 20. Financial liabilities held for trading 51,608 47,787 30. Financial liabilities designated at fair value 9,556 10,568 40. Hedging derivatives 4,303 5,699 50. Value adjustment of hedged financial liabilities (+/-) 963 6,065 60. Tax liabilities: 1,215 1,358 a) current 627 792 b) deferred 588 566 70. Liabilities associated with assets classified as held for sale 2,149 761 80. Other liabilities 13,301 12,749 90. Provision for employee severance pay 516 592 100. Provisions for risks and charges: 9,944 10,188 a) commitments and guarantees given 1,425 1,388 b) post-retirement benefit obligations 4,738 5,677 c) other provisions for risks and charges 3,781 3,123 110. Technical reserves - - 120. Valuation reserves (4,337) (6,159) 130. Redeemable shares - - 140. Equity instruments 6,595 6,841 150. Reserves 31,451 31,167 160. Share premium 5,446 9,386 170. Share capital 21,133 21,060 180. Treasury shares (-) (200) (3) 190. Minority shareholders' equity (+/-) 465 435 200. Profit (Loss) of the year (+/-) 1,540 (2,785) Total liabilities and shareholders' equity 916,671 931,456 Consolidated financial statements | Consolidated accounts Consolidated accounts 140 2021 Annual Report and Accounts · UniCredit Consolidated income statement (€ million) YEAR ITEMS 2021 2020 10. Interest income and similar revenues 12,703 13,182 of which: interest income calculated with the effective interest method 9,846 11,095 20. Interest expenses and similar charges (3,612) (3,685) 30. Net interest margin 9,091 9,497 40. Fees and commissions income 7,963 7,169 50. Fees and commissions expenses (1,260) (1,212) 60. Net fees and commissions 6,703 5,957 70. Dividend income and similar revenues 351 208 80. Net gains (losses) on trading 1,472 678 90. Net gains (losses) on hedge accounting 49 (54) 100. Gains (Losses) on disposal and repurchase of: 244 230 a) financial assets at amortised cost 53 80 b) financial assets at fair value through other comprehensive income 141 144 c) financial liabilities 50 6 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: (469) 225 a) financial assets/liabilities designated at fair value (306) 242 b) other financial assets mandatorily at fair value (163) (17) 120. Operating income 17,441 16,741 130. Net losses/recoveries on credit impairment relating to: (2,185) (4,656) a) financial assets at amortised cost (2,167) (4,640) b) financial assets at fair value through other comprehensive income (18) (16) 140. Gains/Losses from contractual changes with no cancellations (5) (20) 150. Net profit from financial activities 15,251 12,065 160. Net premiums - - 170. Other net insurance income/expenses - - 180. Net profit from financial and insurance activities 15,251 12,065 190. Administrative expenses: (11,257) (11,479) a) staff costs (7,045) (7,388) b) other administrative expenses (4,212) (4,091) 200. Net provisions for risks and charges: (377) (488) a) commitments and financial guarantees given (26) (330) b) other net provisions (351) (158) 210. Net value adjustments/write-backs on property, plant and equipment (857) (960) 220. Net value adjustments/write-backs on intangible assets (621) (471) 230. Other operating expenses/income 566 513 240. Operating costs (12,546) (12,885) 250. Gains (Losses) of equity investments (1,462) (1,297) 260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (19) 10 270. Goodwill impairment - (886) 280. Gains (Losses) on disposals on investments 11 488 290. Profit (Loss) before tax from continuing operations 1,235 (2,505) 300. Tax expenses (income) of the year from continuing operations 331 (322) 310. Profit (Loss) after tax from continuing operations 1,566 (2,827) 320. Profit (Loss) after tax from discontinued operations 4 49 330. Profit (Loss) of the year 1,570 (2,778) 340. Minority profit (loss) of the year (30) (7) 350. Parent Company's profit (loss) of the year 1,540 (2,785) Earnings per share (€) 0.680 (1.306) Diluted earnings per share (€) 0.675 (1.298) Consolidated income statement Consolidated financial statements | Consolidated accounts Consolidated accounts 140 2021 Annual Report and Accounts · UniCredit Consolidated income statement (€ million) YEAR ITEMS 2021 2020 10. Interest income and similar revenues 12,703 13,182 of which: interest income calculated with the effective interest method 9,846 11,095 20. Interest expenses and similar charges (3,612) (3,685) 30. Net interest margin 9,091 9,497 40. Fees and commissions income 7,963 7,169 50. Fees and commissions expenses (1,260) (1,212) 60. Net fees and commissions 6,703 5,957 70. Dividend income and similar revenues 351 208 80. Net gains (losses) on trading 1,472 678 90. Net gains (losses) on hedge accounting 49 (54) 100. Gains (Losses) on disposal and repurchase of: 244 230 a) financial assets at amortised cost 53 80 b) financial assets at fair value through other comprehensive income 141 144 c) financial liabilities 50 6 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: (469) 225 a) financial assets/liabilities designated at fair value (306) 242 b) other financial assets mandatorily at fair value (163) (17) 120. Operating income 17,441 16,741 130. Net losses/recoveries on credit impairment relating to: (2,185) (4,656) a) financial assets at amortised cost (2,167) (4,640) b) financial assets at fair value through other comprehensive income (18) (16) 140. Gains/Losses from contractual changes with no cancellations (5) (20) 150. Net profit from financial activities 15,251 12,065 160. Net premiums - - 170. Other net insurance income/expenses - - 180. Net profit from financial and insurance activities 15,251 12,065 190. Administrative expenses: (11,257) (11,479) a) staff costs (7,045) (7,388) b) other administrative expenses (4,212) (4,091) 200. Net provisions for risks and charges: (377) (488) a) commitments and financial guarantees given (26) (330) b) other net provisions (351) (158) 210. Net value adjustments/write-backs on property, plant and equipment (857) (960) 220. Net value adjustments/write-backs on intangible assets (621) (471) 230. Other operating expenses/income 566 513 240. Operating costs (12,546) (12,885) 250. Gains (Losses) of equity investments (1,462) (1,297) 260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (19) 10 270. Goodwill impairment - (886) 280. Gains (Losses) on disposals on investments 11 488 290. Profit (Loss) before tax from continuing operations 1,235 (2,505) 300. Tax expenses (income) of the year from continuing operations 331 (322) 310. Profit (Loss) after tax from continuing operations 1,566 (2,827) 320. Profit (Loss) after tax from discontinued operations 4 49 330. Profit (Loss) of the year 1,570 (2,778) 340. Minority profit (loss) of the year (30) (7) 350. Parent Company's profit (loss) of the year 1,540 (2,785) Earnings per share (€) 0.680 (1.306) Diluted earnings per share (€) 0.675 (1.298) Consolidated income statement Consolidated financial statements | Consolidated accounts Consolidated accounts 140 2021 Annual Report and Accounts · UniCredit Consolidated income statement (€ million) YEAR ITEMS 2021 2020 10. Interest income and similar revenues 12,703 13,182 of which: interest income calculated with the effective interest method 9,846 11,095 20. Interest expenses and similar charges (3,612) (3,685) 30. Net interest margin 9,091 9,497 40. Fees and commissions income 7,963 7,169 50. Fees and commissions expenses (1,260) (1,212) 60. Net fees and commissions 6,703 5,957 70. Dividend income and similar revenues 351 208 80. Net gains (losses) on trading 1,472 678 90. Net gains (losses) on hedge accounting 49 (54) 100. Gains (Losses) on disposal and repurchase of: 244 230 a) financial assets at amortised cost 53 80 b) financial assets at fair value through other comprehensive income 141 144 c) financial liabilities 50 6 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: (469) 225 a) financial assets/liabilities designated at fair value (306) 242 b) other financial assets mandatorily at fair value (163) (17) 120. Operating income 17,441 16,741 130. Net losses/recoveries on credit impairment relating to: (2,185) (4,656) a) financial assets at amortised cost (2,167) (4,640) b) financial assets at fair value through other comprehensive income (18) (16) 140. Gains/Losses from contractual changes with no cancellations (5) (20) 150. Net profit from financial activities 15,251 12,065 160. Net premiums - - 170. Other net insurance income/expenses - - 180. Net profit from financial and insurance activities 15,251 12,065 190. Administrative expenses: (11,257) (11,479) a) staff costs (7,045) (7,388) b) other administrative expenses (4,212) (4,091) 200. Net provisions for risks and charges: (377) (488) a) commitments and financial guarantees given (26) (330) b) other net provisions (351) (158) 210. Net value adjustments/write-backs on property, plant and equipment (857) (960) 220. Net value adjustments/write-backs on intangible assets (621) (471) 230. Other operating expenses/income 566 513 240. Operating costs (12,546) (12,885) 250. Gains (Losses) of equity investments (1,462) (1,297) 260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (19) 10 270. Goodwill impairment - (886) 280. Gains (Losses) on disposals on investments 11 488 290. Profit (Loss) before tax from continuing operations 1,235 (2,505) 300. Tax expenses (income) of the year from continuing operations 331 (322) 310. Profit (Loss) after tax from continuing operations 1,566 (2,827) 320. Profit (Loss) after tax from discontinued operations 4 49 330. Profit (Loss) of the year 1,570 (2,778) 340. Minority profit (loss) of the year (30) (7) 350. Parent Company's profit (loss) of the year 1,540 (2,785) Earnings per share (€) 0.680 (1.306) Diluted earnings per share (€) 0.675 (1.298) Consolidated income statement Consolidated financial statements | Consolidated accounts Consolidated accounts 140 2021 Annual Report and Accounts · UniCredit Consolidated income statement (€ million) YEAR ITEMS 2021 2020 10. Interest income and similar revenues 12,703 13,182 of which: interest income calculated with the effective interest method 9,846 11,095 20. Interest expenses and similar charges (3,612) (3,685) 30. Net interest margin 9,091 9,497 40. Fees and commissions income 7,963 7,169 50. Fees and commissions expenses (1,260) (1,212) 60. Net fees and commissions 6,703 5,957 70. Dividend income and similar revenues 351 208 80. Net gains (losses) on trading 1,472 678 90. Net gains (losses) on hedge accounting 49 (54) 100. Gains (Losses) on disposal and repurchase of: 244 230 a) financial assets at amortised cost 53 80 b) financial assets at fair value through other comprehensive income 141 144 c) financial liabilities 50 6 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: (469) 225 a) financial assets/liabilities designated at fair value (306) 242 b) other financial assets mandatorily at fair value (163) (17) 120. Operating income 17,441 16,741 130. Net losses/recoveries on credit impairment relating to: (2,185) (4,656) a) financial assets at amortised cost (2,167) (4,640) b) financial assets at fair value through other comprehensive income (18) (16) 140. Gains/Losses from contractual changes with no cancellations (5) (20) 150. Net profit from financial activities 15,251 12,065 160. Net premiums - - 170. Other net insurance income/expenses - - 180. Net profit from financial and insurance activities 15,251 12,065 190. Administrative expenses: (11,257) (11,479) a) staff costs (7,045) (7,388) b) other administrative expenses (4,212) (4,091) 200. Net provisions for risks and charges: (377) (488) a) commitments and financial guarantees given (26) (330) b) other net provisions (351) (158) 210. Net value adjustments/write-backs on property, plant and equipment (857) (960) 220. Net value adjustments/write-backs on intangible assets (621) (471) 230. Other operating expenses/income 566 513 240. Operating costs (12,546) (12,885) 250. Gains (Losses) of equity investments (1,462) (1,297) 260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (19) 10 270. Goodwill impairment - (886) 280. Gains (Losses) on disposals on investments 11 488 290. Profit (Loss) before tax from continuing operations 1,235 (2,505) 300. Tax expenses (income) of the year from continuing operations 331 (322) 310. Profit (Loss) after tax from continuing operations 1,566 (2,827) 320. Profit (Loss) after tax from discontinued operations 4 49 330. Profit (Loss) of the year 1,570 (2,778) 340. Minority profit (loss) of the year (30) (7) 350. Parent Company's profit (loss) of the year 1,540 (2,785) Earnings per share (€) 0.680 (1.306) Diluted earnings per share (€) 0.675 (1.298) Consolidated income statement Consolidated financial statements | Consolidated accounts Consolidated accounts 140 2021 Annual Report and Accounts · UniCredit Consolidated income statement (€ million) YEAR ITEMS 2021 2020 10. Interest income and similar revenues 12,703 13,182 of which: interest income calculated with the effective interest method 9,846 11,095 20. Interest expenses and similar charges (3,612) (3,685) 30. Net interest margin 9,091 9,497 40. Fees and commissions income 7,963 7,169 50. Fees and commissions expenses (1,260) (1,212) 60. Net fees and commissions 6,703 5,957 70. Dividend income and similar revenues 351 208 80. Net gains (losses) on trading 1,472 678 90. Net gains (losses) on hedge accounting 49 (54) 100. Gains (Losses) on disposal and repurchase of: 244 230 a) financial assets at amortised cost 53 80 b) financial assets at fair value through other comprehensive income 141 144 c) financial liabilities 50 6 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: (469) 225 a) financial assets/liabilities designated at fair value (306) 242 b) other financial assets mandatorily at fair value (163) (17) 120. Operating income 17,441 16,741 130. Net losses/recoveries on credit impairment relating to: (2,185) (4,656) a) financial assets at amortised cost (2,167) (4,640) b) financial assets at fair value through other comprehensive income (18) (16) 140. Gains/Losses from contractual changes with no cancellations (5) (20) 150. Net profit from financial activities 15,251 12,065 160. Net premiums - - 170. Other net insurance income/expenses - - 180. Net profit from financial and insurance activities 15,251 12,065 190. Administrative expenses: (11,257) (11,479) a) staff costs (7,045) (7,388) b) other administrative expenses (4,212) (4,091) 200. Net provisions for risks and charges: (377) (488) a) commitments and financial guarantees given (26) (330) b) other net provisions (351) (158) 210. Net value adjustments/write-backs on property, plant and equipment (857) (960) 220. Net value adjustments/write-backs on intangible assets (621) (471) 230. Other operating expenses/income 566 513 240. Operating costs (12,546) (12,885) 250. Gains (Losses) of equity investments (1,462) (1,297) 260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (19) 10 270. Goodwill impairment - (886) 280. Gains (Losses) on disposals on investments 11 488 290. Profit (Loss) before tax from continuing operations 1,235 (2,505) 300. Tax expenses (income) of the year from continuing operations 331 (322) 310. Profit (Loss) after tax from continuing operations 1,566 (2,827) 320. Profit (Loss) after tax from discontinued operations 4 49 330. Profit (Loss) of the year 1,570 (2,778) 340. Minority profit (loss) of the year (30) (7) 350. Parent Company's profit (loss) of the year 1,540 (2,785) Earnings per share (€) 0.680 (1.306) Diluted earnings per share (€) 0.675 (1.298) Consolidated income statement Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 141 Consolidated statement of comprehensive income Consolidated statement of other comprehensive income (€ million) AS AT ITEMS 12.31.2021 12.31.2020 10. Profit (Loss) for the year 1,570 (2,778) Other comprehensive income after tax not reclassified to profit or loss 650 (462) 20. Equity instruments designated at fair value through other comprehensive income 138 (112) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) 25 (83) 40. Hedge accounting of equity instruments designated at fair value through other comprehensive income - - 50. Property, plant and equipment 251 30 60. Intangible assets - - 70. Defined-benefit plans 210 (288) 80. Non-current assets and disposal groups classified as held for sale 7 (5) 90. Portion of valuation reserves from investments valued at equity method 19 (4) Other comprehensive income after tax reclassified to profit or loss 1,173 560 100. Foreign investments hedging - - 110. Foreign exchange differences 287 (922) 120. Cash flow hedging (314) (40) 130. Hedging instruments (non-designated items) - - 140. Financial assets (different from equity instruments) at fair value through other comprehensive income (378) 136 150. Non-current assets and disposal groups classified as held for sale 1,589 656 160. Part of valuation reserves from investments valued at equity method (11) 730 170. Total other comprehensive income after tax 1,823 98 180. Other comprehensive income (Item 10+170) 3,393 (2,680) 190. Minority consolidated other comprehensive income (30) 2 200. Parent Company's consolidated other comprehensive income 3,363 (2,678) Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 141 Consolidated statement of comprehensive income Consolidated statement of other comprehensive income (€ million) AS AT ITEMS 12.31.2021 12.31.2020 10. Profit (Loss) for the year 1,570 (2,778) Other comprehensive income after tax not reclassified to profit or loss 650 (462) 20. Equity instruments designated at fair value through other comprehensive income 138 (112) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) 25 (83) 40. Hedge accounting of equity instruments designated at fair value through other comprehensive income - - 50. Property, plant and equipment 251 30 60. Intangible assets - - 70. Defined-benefit plans 210 (288) 80. Non-current assets and disposal groups classified as held for sale 7 (5) 90. Portion of valuation reserves from investments valued at equity method 19 (4) Other comprehensive income after tax reclassified to profit or loss 1,173 560 100. Foreign investments hedging - - 110. Foreign exchange differences 287 (922) 120. Cash flow hedging (314) (40) 130. Hedging instruments (non-designated items) - - 140. Financial assets (different from equity instruments) at fair value through other comprehensive income (378) 136 150. Non-current assets and disposal groups classified as held for sale 1,589 656 160. Part of valuation reserves from investments valued at equity method (11) 730 170. Total other comprehensive income after tax 1,823 98 180. Other comprehensive income (Item 10+170) 3,393 (2,680) 190. Minority consolidated other comprehensive income (30) 2 200. Parent Company's consolidated other comprehensive income 3,363 (2,678) Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 141 Consolidated statement of comprehensive income Consolidated statement of other comprehensive income (€ million) AS AT ITEMS 12.31.2021 12.31.2020 10. Profit (Loss) for the year 1,570 (2,778) Other comprehensive income after tax not reclassified to profit or loss 650 (462) 20. Equity instruments designated at fair value through other comprehensive income 138 (112) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) 25 (83) 40. Hedge accounting of equity instruments designated at fair value through other comprehensive income - - 50. Property, plant and equipment 251 30 60. Intangible assets - - 70. Defined-benefit plans 210 (288) 80. Non-current assets and disposal groups classified as held for sale 7 (5) 90. Portion of valuation reserves from investments valued at equity method 19 (4) Other comprehensive income after tax reclassified to profit or loss 1,173 560 100. Foreign investments hedging - - 110. Foreign exchange differences 287 (922) 120. Cash flow hedging (314) (40) 130. Hedging instruments (non-designated items) - - 140. Financial assets (different from equity instruments) at fair value through other comprehensive income (378) 136 150. Non-current assets and disposal groups classified as held for sale 1,589 656 160. Part of valuation reserves from investments valued at equity method (11) 730 170. Total other comprehensive income after tax 1,823 98 180. Other comprehensive income (Item 10+170) 3,393 (2,680) 190. Minority consolidated other comprehensive income (30) 2 200. Parent Company's consolidated other comprehensive income 3,363 (2,678) Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 141 Consolidated statement of comprehensive income Consolidated statement of other comprehensive income (€ million) AS AT ITEMS 12.31.2021 12.31.2020 10. Profit (Loss) for the year 1,570 (2,778) Other comprehensive income after tax not reclassified to profit or loss 650 (462) 20. Equity instruments designated at fair value through other comprehensive income 138 (112) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) 25 (83) 40. Hedge accounting of equity instruments designated at fair value through other comprehensive income - - 50. Property, plant and equipment 251 30 60. Intangible assets - - 70. Defined-benefit plans 210 (288) 80. Non-current assets and disposal groups classified as held for sale 7 (5) 90. Portion of valuation reserves from investments valued at equity method 19 (4) Other comprehensive income after tax reclassified to profit or loss 1,173 560 100. Foreign investments hedging - - 110. Foreign exchange differences 287 (922) 120. Cash flow hedging (314) (40) 130. Hedging instruments (non-designated items) - - 140. Financial assets (different from equity instruments) at fair value through other comprehensive income (378) 136 150. Non-current assets and disposal groups classified as held for sale 1,589 656 160. Part of valuation reserves from investments valued at equity method (11) 730 170. Total other comprehensive income after tax 1,823 98 180. Other comprehensive income (Item 10+170) 3,393 (2,680) 190. Minority consolidated other comprehensive income (30) 2 200. Parent Company's consolidated other comprehensive income 3,363 (2,678) Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 141 Consolidated statement of comprehensive income Consolidated statement of other comprehensive income (€ million) AS AT ITEMS 12.31.2021 12.31.2020 10. Profit (Loss) for the year 1,570 (2,778) Other comprehensive income after tax not reclassified to profit or loss 650 (462) 20. Equity instruments designated at fair value through other comprehensive income 138 (112) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) 25 (83) 40. Hedge accounting of equity instruments designated at fair value through other comprehensive income - - 50. Property, plant and equipment 251 30 60. Intangible assets - - 70. Defined-benefit plans 210 (288) 80. Non-current assets and disposal groups classified as held for sale 7 (5) 90. Portion of valuation reserves from investments valued at equity method 19 (4) Other comprehensive income after tax reclassified to profit or loss 1,173 560 100. Foreign investments hedging - - 110. Foreign exchange differences 287 (922) 120. Cash flow hedging (314) (40) 130. Hedging instruments (non-designated items) - - 140. Financial assets (different from equity instruments) at fair value through other comprehensive income (378) 136 150. Non-current assets and disposal groups classified as held for sale 1,589 656 160. Part of valuation reserves from investments valued at equity method (11) 730 170. Total other comprehensive income after tax 1,823 98 180. Other comprehensive income (Item 10+170) 3,393 (2,680) 190. Minority consolidated other comprehensive income (30) 2 200. Parent Company's consolidated other comprehensive income 3,363 (2,678) Consolidated financial statements | Consolidated accounts Consolidated accounts 142 2021 Annual Report and Accounts · UniCredit Statement of changes in the consolidated shareholders' equity as at 31 December 2021 (€ million) PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR SHAREHOLDERS' EQUITY TRANSACTIONS BALANCE AS AT 12.31.2020 CHANGE IN OPENING BALANCE BALANCE AS AT 01.01.2021 RESERVES DIVIDENDS AND OTHER ALLOCATIONS CHANGES IN RESERVES ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES ADVANCED DIVIDENDS DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS CHANGES IN EQUITY INVESTMENTS OTHER COMPREHENSIVE INCOME 2021 TOTAL SHAREHOLDERS' EQUITY AS AT 12.31.2021 GROUP SHAREHOLDERS' EQUITY AS AT 12.31.2021 MINORITY SHAREHOLDERS' EQUITY AS AT 12.31.2021 Share capital: 21,229 - 21,229 - - (2) 73 - - - - - - - - 21,300 21,133 167 - ordinary shares 21,229 - 21,229 - - (2) 73 - - - - - - - - 21,300 21,133 167 - other shares - - - - - - - - - - - - - - - - - - Share premium 9,476 - 9,476 (2,732) - (1,202) - - - - - - - - - 5,542 5,446 96 Reserves: 31,334 - 31,334 (49) - 610 (73) - - (268) - - 67 - - 31,621 31,451 170 - from profits 23,495 - 23,495 (49) - (147) (73) - - (268) - - - - - 22,958 22,914 44 - other 7,839 - 7,839 - - 757 - - - - - - 67 - - 8,663 8,537 126 Valuation reserves (6,157) - (6,157) - - (1) - - - - - - - - 1,823 (4,335) (4,337) 2 Advanced dividends - - - - - - - - - - - - - - - - - - Equity instruments 6,841 - 6,841 - - - - - - - (246) - - - - 6,595 6,595 - Treasury shares (3) - (3) - - - 181 (378) - - - - - - - (200) (200) - Profit (Loss) for the year (2,778) - (2,778) 2,781 (3) - - - - - - - - - 1,570 1,570 1,540 30 Total shareholders’ equity 59,942 - 59,942 - (3) (595) 181 (378) - (268) (246) - 67 - 3,393 62,093 61,628 465 Group shareholders' equity 59,507 - 59,507 - (2) (596) 181 (378) - (268) (246) - 67 - 3,363 61,628 Minority shareholders' equity 435 - 435 - (1) 1 - - - - - - - - 30 465 Statement of changes in the consolidated shareholders’ equity The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares (Stock Options, Performance Shares, Discount and Matching Shares connected with the ESOP Plans and other Group Executive Incentive Plans). The cumulated change of valuation reserves, for +€1,822 million, mainly includes the effect of the variation for: • +€1,604 million of investments valued at net equity mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) the deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira, for the further details refer to Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70, 7.1 Equity investments: information on shareholders’ equity; • +€287 million of exchange differences, mainly related to Russian Ruble for +€154 million and Czech Crown for +€147 million; • +€245 million of property, plant and equipment related to the properties used in business, ruled by IAS16 "Property, plant and machinery" mainly referred to the alignment between tax values of tangible assets and higher accounting values; • +€214 million of defined-benefit plans related to pensions and other post-retirement benefits obligations and provision for employee severance pay; • -€209 million of financial asset and liabilities at fair value; • -€314 million of cash-flow hedges. The change in Group share capital refers to the increase for +€73 million following the resolution of the Board of Directors of 10 February 2021 of UniCredit S.p.A. executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Consolidated financial statements | Consolidated accounts Consolidated accounts 142 2021 Annual Report and Accounts · UniCredit Statement of changes in the consolidated shareholders' equity as at 31 December 2021 (€ million) PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR SHAREHOLDERS' EQUITY TRANSACTIONS BALANCE AS AT 12.31.2020 CHANGE IN OPENING BALANCE BALANCE AS AT 01.01.2021 RESERVES DIVIDENDS AND OTHER ALLOCATIONS CHANGES IN RESERVES ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES ADVANCED DIVIDENDS DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS CHANGES IN EQUITY INVESTMENTS OTHER COMPREHENSIVE INCOME 2021 TOTAL SHAREHOLDERS' EQUITY AS AT 12.31.2021 GROUP SHAREHOLDERS' EQUITY AS AT 12.31.2021 MINORITY SHAREHOLDERS' EQUITY AS AT 12.31.2021 Share capital: 21,229 - 21,229 - - (2) 73 - - - - - - - - 21,300 21,133 167 - ordinary shares 21,229 - 21,229 - - (2) 73 - - - - - - - - 21,300 21,133 167 - other shares - - - - - - - - - - - - - - - - - - Share premium 9,476 - 9,476 (2,732) - (1,202) - - - - - - - - - 5,542 5,446 96 Reserves: 31,334 - 31,334 (49) - 610 (73) - - (268) - - 67 - - 31,621 31,451 170 - from profits 23,495 - 23,495 (49) - (147) (73) - - (268) - - - - - 22,958 22,914 44 - other 7,839 - 7,839 - - 757 - - - - - - 67 - - 8,663 8,537 126 Valuation reserves (6,157) - (6,157) - - (1) - - - - - - - - 1,823 (4,335) (4,337) 2 Advanced dividends - - - - - - - - - - - - - - - - - - Equity instruments 6,841 - 6,841 - - - - - - - (246) - - - - 6,595 6,595 - Treasury shares (3) - (3) - - - 181 (378) - - - - - - - (200) (200) - Profit (Loss) for the year (2,778) - (2,778) 2,781 (3) - - - - - - - - - 1,570 1,570 1,540 30 Total shareholders’ equity 59,942 - 59,942 - (3) (595) 181 (378) - (268) (246) - 67 - 3,393 62,093 61,628 465 Group shareholders' equity 59,507 - 59,507 - (2) (596) 181 (378) - (268) (246) - 67 - 3,363 61,628 Minority shareholders' equity 435 - 435 - (1) 1 - - - - - - - - 30 465 Statement of changes in the consolidated shareholders’ equity The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares (Stock Options, Performance Shares, Discount and Matching Shares connected with the ESOP Plans and other Group Executive Incentive Plans). The cumulated change of valuation reserves, for +€1,822 million, mainly includes the effect of the variation for: • +€1,604 million of investments valued at net equity mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) the deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira, for the further details refer to Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70, 7.1 Equity investments: information on shareholders’ equity; • +€287 million of exchange differences, mainly related to Russian Ruble for +€154 million and Czech Crown for +€147 million; • +€245 million of property, plant and equipment related to the properties used in business, ruled by IAS16 "Property, plant and machinery" mainly referred to the alignment between tax values of tangible assets and higher accounting values; • +€214 million of defined-benefit plans related to pensions and other post-retirement benefits obligations and provision for employee severance pay; • -€209 million of financial asset and liabilities at fair value; • -€314 million of cash-flow hedges. The change in Group share capital refers to the increase for +€73 million following the resolution of the Board of Directors of 10 February 2021 of UniCredit S.p.A. executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Consolidated financial statements | Consolidated accounts Consolidated accounts 142 2021 Annual Report and Accounts · UniCredit Statement of changes in the consolidated shareholders' equity as at 31 December 2021 (€ million) PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR SHAREHOLDERS' EQUITY TRANSACTIONS BALANCE AS AT 12.31.2020 CHANGE IN OPENING BALANCE BALANCE AS AT 01.01.2021 RESERVES DIVIDENDS AND OTHER ALLOCATIONS CHANGES IN RESERVES ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES ADVANCED DIVIDENDS DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS CHANGES IN EQUITY INVESTMENTS OTHER COMPREHENSIVE INCOME 2021 TOTAL SHAREHOLDERS' EQUITY AS AT 12.31.2021 GROUP SHAREHOLDERS' EQUITY AS AT 12.31.2021 MINORITY SHAREHOLDERS' EQUITY AS AT 12.31.2021 Share capital: 21,229 - 21,229 - - (2) 73 - - - - - - - - 21,300 21,133 167 - ordinary shares 21,229 - 21,229 - - (2) 73 - - - - - - - - 21,300 21,133 167 - other shares - - - - - - - - - - - - - - - - - - Share premium 9,476 - 9,476 (2,732) - (1,202) - - - - - - - - - 5,542 5,446 96 Reserves: 31,334 - 31,334 (49) - 610 (73) - - (268) - - 67 - - 31,621 31,451 170 - from profits 23,495 - 23,495 (49) - (147) (73) - - (268) - - - - - 22,958 22,914 44 - other 7,839 - 7,839 - - 757 - - - - - - 67 - - 8,663 8,537 126 Valuation reserves (6,157) - (6,157) - - (1) - - - - - - - - 1,823 (4,335) (4,337) 2 Advanced dividends - - - - - - - - - - - - - - - - - - Equity instruments 6,841 - 6,841 - - - - - - - (246) - - - - 6,595 6,595 - Treasury shares (3) - (3) - - - 181 (378) - - - - - - - (200) (200) - Profit (Loss) for the year (2,778) - (2,778) 2,781 (3) - - - - - - - - - 1,570 1,570 1,540 30 Total shareholders’ equity 59,942 - 59,942 - (3) (595) 181 (378) - (268) (246) - 67 - 3,393 62,093 61,628 465 Group shareholders' equity 59,507 - 59,507 - (2) (596) 181 (378) - (268) (246) - 67 - 3,363 61,628 Minority shareholders' equity 435 - 435 - (1) 1 - - - - - - - - 30 465 Statement of changes in the consolidated shareholders’ equity The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares (Stock Options, Performance Shares, Discount and Matching Shares connected with the ESOP Plans and other Group Executive Incentive Plans). The cumulated change of valuation reserves, for +€1,822 million, mainly includes the effect of the variation for: • +€1,604 million of investments valued at net equity mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) the deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira, for the further details refer to Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70, 7.1 Equity investments: information on shareholders’ equity; • +€287 million of exchange differences, mainly related to Russian Ruble for +€154 million and Czech Crown for +€147 million; • +€245 million of property, plant and equipment related to the properties used in business, ruled by IAS16 "Property, plant and machinery" mainly referred to the alignment between tax values of tangible assets and higher accounting values; • +€214 million of defined-benefit plans related to pensions and other post-retirement benefits obligations and provision for employee severance pay; • -€209 million of financial asset and liabilities at fair value; • -€314 million of cash-flow hedges. The change in Group share capital refers to the increase for +€73 million following the resolution of the Board of Directors of 10 February 2021 of UniCredit S.p.A. executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Consolidated financial statements | Consolidated accounts Consolidated accounts 142 2021 Annual Report and Accounts · UniCredit Statement of changes in the consolidated shareholders' equity as at 31 December 2021 (€ million) PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR SHAREHOLDERS' EQUITY TRANSACTIONS BALANCE AS AT 12.31.2020 CHANGE IN OPENING BALANCE BALANCE AS AT 01.01.2021 RESERVES DIVIDENDS AND OTHER ALLOCATIONS CHANGES IN RESERVES ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES ADVANCED DIVIDENDS DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS CHANGES IN EQUITY INVESTMENTS OTHER COMPREHENSIVE INCOME 2021 TOTAL SHAREHOLDERS' EQUITY AS AT 12.31.2021 GROUP SHAREHOLDERS' EQUITY AS AT 12.31.2021 MINORITY SHAREHOLDERS' EQUITY AS AT 12.31.2021 Share capital: 21,229 - 21,229 - - (2) 73 - - - - - - - - 21,300 21,133 167 - ordinary shares 21,229 - 21,229 - - (2) 73 - - - - - - - - 21,300 21,133 167 - other shares - - - - - - - - - - - - - - - - - - Share premium 9,476 - 9,476 (2,732) - (1,202) - - - - - - - - - 5,542 5,446 96 Reserves: 31,334 - 31,334 (49) - 610 (73) - - (268) - - 67 - - 31,621 31,451 170 - from profits 23,495 - 23,495 (49) - (147) (73) - - (268) - - - - - 22,958 22,914 44 - other 7,839 - 7,839 - - 757 - - - - - - 67 - - 8,663 8,537 126 Valuation reserves (6,157) - (6,157) - - (1) - - - - - - - - 1,823 (4,335) (4,337) 2 Advanced dividends - - - - - - - - - - - - - - - - - - Equity instruments 6,841 - 6,841 - - - - - - - (246) - - - - 6,595 6,595 - Treasury shares (3) - (3) - - - 181 (378) - - - - - - - (200) (200) - Profit (Loss) for the year (2,778) - (2,778) 2,781 (3) - - - - - - - - - 1,570 1,570 1,540 30 Total shareholders’ equity 59,942 - 59,942 - (3) (595) 181 (378) - (268) (246) - 67 - 3,393 62,093 61,628 465 Group shareholders' equity 59,507 - 59,507 - (2) (596) 181 (378) - (268) (246) - 67 - 3,363 61,628 Minority shareholders' equity 435 - 435 - (1) 1 - - - - - - - - 30 465 Statement of changes in the consolidated shareholders’ equity The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares (Stock Options, Performance Shares, Discount and Matching Shares connected with the ESOP Plans and other Group Executive Incentive Plans). The cumulated change of valuation reserves, for +€1,822 million, mainly includes the effect of the variation for: • +€1,604 million of investments valued at net equity mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) the deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira, for the further details refer to Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70, 7.1 Equity investments: information on shareholders’ equity; • +€287 million of exchange differences, mainly related to Russian Ruble for +€154 million and Czech Crown for +€147 million; • +€245 million of property, plant and equipment related to the properties used in business, ruled by IAS16 "Property, plant and machinery" mainly referred to the alignment between tax values of tangible assets and higher accounting values; • +€214 million of defined-benefit plans related to pensions and other post-retirement benefits obligations and provision for employee severance pay; • -€209 million of financial asset and liabilities at fair value; • -€314 million of cash-flow hedges. The change in Group share capital refers to the increase for +€73 million following the resolution of the Board of Directors of 10 February 2021 of UniCredit S.p.A. executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Consolidated financial statements | Consolidated accounts Consolidated accounts 142 2021 Annual Report and Accounts · UniCredit Statement of changes in the consolidated shareholders' equity as at 31 December 2021 (€ million) PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR SHAREHOLDERS' EQUITY TRANSACTIONS BALANCE AS AT 12.31.2020 CHANGE IN OPENING BALANCE BALANCE AS AT 01.01.2021 RESERVES DIVIDENDS AND OTHER ALLOCATIONS CHANGES IN RESERVES ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES ADVANCED DIVIDENDS DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS CHANGES IN EQUITY INVESTMENTS OTHER COMPREHENSIVE INCOME 2021 TOTAL SHAREHOLDERS' EQUITY AS AT 12.31.2021 GROUP SHAREHOLDERS' EQUITY AS AT 12.31.2021 MINORITY SHAREHOLDERS' EQUITY AS AT 12.31.2021 Share capital: 21,229 - 21,229 - - (2) 73 - - - - - - - - 21,300 21,133 167 - ordinary shares 21,229 - 21,229 - - (2) 73 - - - - - - - - 21,300 21,133 167 - other shares - - - - - - - - - - - - - - - - - - Share premium 9,476 - 9,476 (2,732) - (1,202) - - - - - - - - - 5,542 5,446 96 Reserves: 31,334 - 31,334 (49) - 610 (73) - - (268) - - 67 - - 31,621 31,451 170 - from profits 23,495 - 23,495 (49) - (147) (73) - - (268) - - - - - 22,958 22,914 44 - other 7,839 - 7,839 - - 757 - - - - - - 67 - - 8,663 8,537 126 Valuation reserves (6,157) - (6,157) - - (1) - - - - - - - - 1,823 (4,335) (4,337) 2 Advanced dividends - - - - - - - - - - - - - - - - - - Equity instruments 6,841 - 6,841 - - - - - - - (246) - - - - 6,595 6,595 - Treasury shares (3) - (3) - - - 181 (378) - - - - - - - (200) (200) - Profit (Loss) for the year (2,778) - (2,778) 2,781 (3) - - - - - - - - - 1,570 1,570 1,540 30 Total shareholders’ equity 59,942 - 59,942 - (3) (595) 181 (378) - (268) (246) - 67 - 3,393 62,093 61,628 465 Group shareholders' equity 59,507 - 59,507 - (2) (596) 181 (378) - (268) (246) - 67 - 3,363 61,628 Minority shareholders' equity 435 - 435 - (1) 1 - - - - - - - - 30 465 Statement of changes in the consolidated shareholders’ equity The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares (Stock Options, Performance Shares, Discount and Matching Shares connected with the ESOP Plans and other Group Executive Incentive Plans). The cumulated change of valuation reserves, for +€1,822 million, mainly includes the effect of the variation for: • +€1,604 million of investments valued at net equity mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) the deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira, for the further details refer to Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70, 7.1 Equity investments: information on shareholders’ equity; • +€287 million of exchange differences, mainly related to Russian Ruble for +€154 million and Czech Crown for +€147 million; • +€245 million of property, plant and equipment related to the properties used in business, ruled by IAS16 "Property, plant and machinery" mainly referred to the alignment between tax values of tangible assets and higher accounting values; • +€214 million of defined-benefit plans related to pensions and other post-retirement benefits obligations and provision for employee severance pay; • -€209 million of financial asset and liabilities at fair value; • -€314 million of cash-flow hedges. The change in Group share capital refers to the increase for +€73 million following the resolution of the Board of Directors of 10 February 2021 of UniCredit S.p.A. executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 143 Following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 15 April 2021, the following events occurred: (i) coverage of the entire loss from the 2020 financial year through the use of the Share Premium Reserve (€2,732 million); (ii) increase of the Legal reserve (€55 million) withdrawn from Share Premium Reserve; (iii) coverage of the negative reserves totaling €449 million, partly by use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out, made during 2020, related to usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” (€127 million); (iv) the allocation of a portion of the Share Premium Reserve (€179 million) to set up a specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” concluded on 23 June 2021 with the purchase of No.17,416,128 shares recorded under the item Treasury shares; (v) the unavailable reserve was consequently used to offset the negative item Treasury shares (€181 million) following the cancellation of the shares registered on 4 October 2021, including treasury shares already held in portfolio before the start of the buy-back; (vi) for the execution of the “Second Buy-Back Programme” launched on 13 December 2021, an additional portion of the Share Premium Reserve (€652 million) was allocated to the specific unavailable reserve for the maximum amount of authorised purchases. The change in the period in the item “Purchase of treasury shares” included also -€199 million for the purchase of No.15,048,642 shares performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021”. Moreover, the change of the other reserves includes the payment of coupons on AT1 equity instruments for -€343 million. Furthermore, the change in the period in the item “Equity instruments” equal to -€246 million is referred to: (i) -€990 million anticipated redemption of AT1 equity instruments issued in 2014; (ii) +€744 million issue of AT1 equity instruments, both net of fees. For further details about the Shareholders’ equity changes refer to Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities, Section 13. Statement of changes in the consolidated shareholders' equity as at 31 December 2020 (€ million) PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR SHAREHOLDERS' EQUITY TRANSACTIONS BALANCE AS AT 12.31.2019 CHANGE IN OPENING BALANCE BALANCE AS AT 01.01.2020 RESERVES DIVIDENDS AND OTHER ALLOCATIONS CHANGES IN RESERVES ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES ADVANCED DIVIDENDS DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS CHANGES IN EQUITY INVESTMENTS OTHER COMPREHENSIVE INCOME 2020 TOTAL SHAREHOLDERS' EQUITY AS AT 12.31.2020 GROUP SHAREHOLDERS' EQUITY AS AT 12.31.2020 MINORITY SHAREHOLDERS' EQUITY AS AT 12.31.2020 Share capital: 21,166 - 21,166 - - (2) 65 - - - - - - - - 21,229 21,060 169 - ordinary shares 21,166 - 21,166 - - (2) 65 - - - - - - - - 21,229 21,060 169 - other shares - - - - - - - - - - - - - - - - - - Share premium 13,311 - 13,311 (555) - (3,280) - - - - - - - - - 9,476 9,386 90 Reserves: 24,327 - 24,327 4,043 - 2,979 (65) - - - - - 50 - - 31,334 31,167 167 - from profits 16,694 - 16,694 4,043 - 2,823 (65) - - - - - - - - 23,495 23,455 40 - other 7,633 - 7,633 - - 156 - - - - - - 50 - - 7,839 7,712 127 Valuation reserves (6,109) - (6,109) - - (146) - - - - - - - - 98 (6,157) (6,159) 2 Advanced dividends - - - - - - - - - - - - - - - - - - Equity instruments 5,602 - 5,602 - - - - - - - 1,239 - - - - 6,841 6,841 - Treasury shares (3) - (3) - - - - - - - - - - - - (3) (3) - Profit (Loss) for the year 3,491 - 3,491 (3,488) (3) - - - - - - - - - (2,778) (2,778) (2,785) 7 Total shareholders’ equity 61,785 - 61,785 - (3) (449) - - - - 1,239 - 50 - (2,680) 59,942 59,507 435 Group shareholders' equity 61,416 - 61,416 - (2) (518) - - - - 1,239 - 50 - (2,678) 59,507 Minority shareholders' equity 369 - 369 - (1) 69 - - - - - - - - (2) 435 The amounts disclosed in column “Stock Options” represented the effects of the delivery of shares (Stock Options, Performance Shares, Discount and Matching Shares connected with the ESOP Plans and other Group Executive Incentive Plans). Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 143 Following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 15 April 2021, the following events occurred: (i) coverage of the entire loss from the 2020 financial year through the use of the Share Premium Reserve (€2,732 million); (ii) increase of the Legal reserve (€55 million) withdrawn from Share Premium Reserve; (iii) coverage of the negative reserves totaling €449 million, partly by use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out, made during 2020, related to usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” (€127 million); (iv) the allocation of a portion of the Share Premium Reserve (€179 million) to set up a specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” concluded on 23 June 2021 with the purchase of No.17,416,128 shares recorded under the item Treasury shares; (v) the unavailable reserve was consequently used to offset the negative item Treasury shares (€181 million) following the cancellation of the shares registered on 4 October 2021, including treasury shares already held in portfolio before the start of the buy-back; (vi) for the execution of the “Second Buy-Back Programme” launched on 13 December 2021, an additional portion of the Share Premium Reserve (€652 million) was allocated to the specific unavailable reserve for the maximum amount of authorised purchases. The change in the period in the item “Purchase of treasury shares” included also -€199 million for the purchase of No.15,048,642 shares performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021”. Moreover, the change of the other reserves includes the payment of coupons on AT1 equity instruments for -€343 million. Furthermore, the change in the period in the item “Equity instruments” equal to -€246 million is referred to: (i) -€990 million anticipated redemption of AT1 equity instruments issued in 2014; (ii) +€744 million issue of AT1 equity instruments, both net of fees. For further details about the Shareholders’ equity changes refer to Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities, Section 13. Statement of changes in the consolidated shareholders' equity as at 31 December 2020 (€ million) PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR SHAREHOLDERS' EQUITY TRANSACTIONS BALANCE AS AT 12.31.2019 CHANGE IN OPENING BALANCE BALANCE AS AT 01.01.2020 RESERVES DIVIDENDS AND OTHER ALLOCATIONS CHANGES IN RESERVES ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES ADVANCED DIVIDENDS DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS CHANGES IN EQUITY INVESTMENTS OTHER COMPREHENSIVE INCOME 2020 TOTAL SHAREHOLDERS' EQUITY AS AT 12.31.2020 GROUP SHAREHOLDERS' EQUITY AS AT 12.31.2020 MINORITY SHAREHOLDERS' EQUITY AS AT 12.31.2020 Share capital: 21,166 - 21,166 - - (2) 65 - - - - - - - - 21,229 21,060 169 - ordinary shares 21,166 - 21,166 - - (2) 65 - - - - - - - - 21,229 21,060 169 - other shares - - - - - - - - - - - - - - - - - - Share premium 13,311 - 13,311 (555) - (3,280) - - - - - - - - - 9,476 9,386 90 Reserves: 24,327 - 24,327 4,043 - 2,979 (65) - - - - - 50 - - 31,334 31,167 167 - from profits 16,694 - 16,694 4,043 - 2,823 (65) - - - - - - - - 23,495 23,455 40 - other 7,633 - 7,633 - - 156 - - - - - - 50 - - 7,839 7,712 127 Valuation reserves (6,109) - (6,109) - - (146) - - - - - - - - 98 (6,157) (6,159) 2 Advanced dividends - - - - - - - - - - - - - - - - - - Equity instruments 5,602 - 5,602 - - - - - - - 1,239 - - - - 6,841 6,841 - Treasury shares (3) - (3) - - - - - - - - - - - - (3) (3) - Profit (Loss) for the year 3,491 - 3,491 (3,488) (3) - - - - - - - - - (2,778) (2,778) (2,785) 7 Total shareholders’ equity 61,785 - 61,785 - (3) (449) - - - - 1,239 - 50 - (2,680) 59,942 59,507 435 Group shareholders' equity 61,416 - 61,416 - (2) (518) - - - - 1,239 - 50 - (2,678) 59,507 Minority shareholders' equity 369 - 369 - (1) 69 - - - - - - - - (2) 435 The amounts disclosed in column “Stock Options” represented the effects of the delivery of shares (Stock Options, Performance Shares, Discount and Matching Shares connected with the ESOP Plans and other Group Executive Incentive Plans). Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 143 Following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 15 April 2021, the following events occurred: (i) coverage of the entire loss from the 2020 financial year through the use of the Share Premium Reserve (€2,732 million); (ii) increase of the Legal reserve (€55 million) withdrawn from Share Premium Reserve; (iii) coverage of the negative reserves totaling €449 million, partly by use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out, made during 2020, related to usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” (€127 million); (iv) the allocation of a portion of the Share Premium Reserve (€179 million) to set up a specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” concluded on 23 June 2021 with the purchase of No.17,416,128 shares recorded under the item Treasury shares; (v) the unavailable reserve was consequently used to offset the negative item Treasury shares (€181 million) following the cancellation of the shares registered on 4 October 2021, including treasury shares already held in portfolio before the start of the buy-back; (vi) for the execution of the “Second Buy-Back Programme” launched on 13 December 2021, an additional portion of the Share Premium Reserve (€652 million) was allocated to the specific unavailable reserve for the maximum amount of authorised purchases. The change in the period in the item “Purchase of treasury shares” included also -€199 million for the purchase of No.15,048,642 shares performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021”. Moreover, the change of the other reserves includes the payment of coupons on AT1 equity instruments for -€343 million. Furthermore, the change in the period in the item “Equity instruments” equal to -€246 million is referred to: (i) -€990 million anticipated redemption of AT1 equity instruments issued in 2014; (ii) +€744 million issue of AT1 equity instruments, both net of fees. For further details about the Shareholders’ equity changes refer to Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities, Section 13. Statement of changes in the consolidated shareholders' equity as at 31 December 2020 (€ million) PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR SHAREHOLDERS' EQUITY TRANSACTIONS BALANCE AS AT 12.31.2019 CHANGE IN OPENING BALANCE BALANCE AS AT 01.01.2020 RESERVES DIVIDENDS AND OTHER ALLOCATIONS CHANGES IN RESERVES ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES ADVANCED DIVIDENDS DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS CHANGES IN EQUITY INVESTMENTS OTHER COMPREHENSIVE INCOME 2020 TOTAL SHAREHOLDERS' EQUITY AS AT 12.31.2020 GROUP SHAREHOLDERS' EQUITY AS AT 12.31.2020 MINORITY SHAREHOLDERS' EQUITY AS AT 12.31.2020 Share capital: 21,166 - 21,166 - - (2) 65 - - - - - - - - 21,229 21,060 169 - ordinary shares 21,166 - 21,166 - - (2) 65 - - - - - - - - 21,229 21,060 169 - other shares - - - - - - - - - - - - - - - - - - Share premium 13,311 - 13,311 (555) - (3,280) - - - - - - - - - 9,476 9,386 90 Reserves: 24,327 - 24,327 4,043 - 2,979 (65) - - - - - 50 - - 31,334 31,167 167 - from profits 16,694 - 16,694 4,043 - 2,823 (65) - - - - - - - - 23,495 23,455 40 - other 7,633 - 7,633 - - 156 - - - - - - 50 - - 7,839 7,712 127 Valuation reserves (6,109) - (6,109) - - (146) - - - - - - - - 98 (6,157) (6,159) 2 Advanced dividends - - - - - - - - - - - - - - - - - - Equity instruments 5,602 - 5,602 - - - - - - - 1,239 - - - - 6,841 6,841 - Treasury shares (3) - (3) - - - - - - - - - - - - (3) (3) - Profit (Loss) for the year 3,491 - 3,491 (3,488) (3) - - - - - - - - - (2,778) (2,778) (2,785) 7 Total shareholders’ equity 61,785 - 61,785 - (3) (449) - - - - 1,239 - 50 - (2,680) 59,942 59,507 435 Group shareholders' equity 61,416 - 61,416 - (2) (518) - - - - 1,239 - 50 - (2,678) 59,507 Minority shareholders' equity 369 - 369 - (1) 69 - - - - - - - - (2) 435 The amounts disclosed in column “Stock Options” represented the effects of the delivery of shares (Stock Options, Performance Shares, Discount and Matching Shares connected with the ESOP Plans and other Group Executive Incentive Plans). Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 143 Following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 15 April 2021, the following events occurred: (i) coverage of the entire loss from the 2020 financial year through the use of the Share Premium Reserve (€2,732 million); (ii) increase of the Legal reserve (€55 million) withdrawn from Share Premium Reserve; (iii) coverage of the negative reserves totaling €449 million, partly by use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out, made during 2020, related to usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” (€127 million); (iv) the allocation of a portion of the Share Premium Reserve (€179 million) to set up a specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” concluded on 23 June 2021 with the purchase of No.17,416,128 shares recorded under the item Treasury shares; (v) the unavailable reserve was consequently used to offset the negative item Treasury shares (€181 million) following the cancellation of the shares registered on 4 October 2021, including treasury shares already held in portfolio before the start of the buy-back; (vi) for the execution of the “Second Buy-Back Programme” launched on 13 December 2021, an additional portion of the Share Premium Reserve (€652 million) was allocated to the specific unavailable reserve for the maximum amount of authorised purchases. The change in the period in the item “Purchase of treasury shares” included also -€199 million for the purchase of No.15,048,642 shares performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021”. Moreover, the change of the other reserves includes the payment of coupons on AT1 equity instruments for -€343 million. Furthermore, the change in the period in the item “Equity instruments” equal to -€246 million is referred to: (i) -€990 million anticipated redemption of AT1 equity instruments issued in 2014; (ii) +€744 million issue of AT1 equity instruments, both net of fees. For further details about the Shareholders’ equity changes refer to Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities, Section 13. Statement of changes in the consolidated shareholders' equity as at 31 December 2020 (€ million) PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR SHAREHOLDERS' EQUITY TRANSACTIONS BALANCE AS AT 12.31.2019 CHANGE IN OPENING BALANCE BALANCE AS AT 01.01.2020 RESERVES DIVIDENDS AND OTHER ALLOCATIONS CHANGES IN RESERVES ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES ADVANCED DIVIDENDS DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS CHANGES IN EQUITY INVESTMENTS OTHER COMPREHENSIVE INCOME 2020 TOTAL SHAREHOLDERS' EQUITY AS AT 12.31.2020 GROUP SHAREHOLDERS' EQUITY AS AT 12.31.2020 MINORITY SHAREHOLDERS' EQUITY AS AT 12.31.2020 Share capital: 21,166 - 21,166 - - (2) 65 - - - - - - - - 21,229 21,060 169 - ordinary shares 21,166 - 21,166 - - (2) 65 - - - - - - - - 21,229 21,060 169 - other shares - - - - - - - - - - - - - - - - - - Share premium 13,311 - 13,311 (555) - (3,280) - - - - - - - - - 9,476 9,386 90 Reserves: 24,327 - 24,327 4,043 - 2,979 (65) - - - - - 50 - - 31,334 31,167 167 - from profits 16,694 - 16,694 4,043 - 2,823 (65) - - - - - - - - 23,495 23,455 40 - other 7,633 - 7,633 - - 156 - - - - - - 50 - - 7,839 7,712 127 Valuation reserves (6,109) - (6,109) - - (146) - - - - - - - - 98 (6,157) (6,159) 2 Advanced dividends - - - - - - - - - - - - - - - - - - Equity instruments 5,602 - 5,602 - - - - - - - 1,239 - - - - 6,841 6,841 - Treasury shares (3) - (3) - - - - - - - - - - - - (3) (3) - Profit (Loss) for the year 3,491 - 3,491 (3,488) (3) - - - - - - - - - (2,778) (2,778) (2,785) 7 Total shareholders’ equity 61,785 - 61,785 - (3) (449) - - - - 1,239 - 50 - (2,680) 59,942 59,507 435 Group shareholders' equity 61,416 - 61,416 - (2) (518) - - - - 1,239 - 50 - (2,678) 59,507 Minority shareholders' equity 369 - 369 - (1) 69 - - - - - - - - (2) 435 The amounts disclosed in column “Stock Options” represented the effects of the delivery of shares (Stock Options, Performance Shares, Discount and Matching Shares connected with the ESOP Plans and other Group Executive Incentive Plans). Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 143 Following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 15 April 2021, the following events occurred: (i) coverage of the entire loss from the 2020 financial year through the use of the Share Premium Reserve (€2,732 million); (ii) increase of the Legal reserve (€55 million) withdrawn from Share Premium Reserve; (iii) coverage of the negative reserves totaling €449 million, partly by use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out, made during 2020, related to usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” (€127 million); (iv) the allocation of a portion of the Share Premium Reserve (€179 million) to set up a specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” concluded on 23 June 2021 with the purchase of No.17,416,128 shares recorded under the item Treasury shares; (v) the unavailable reserve was consequently used to offset the negative item Treasury shares (€181 million) following the cancellation of the shares registered on 4 October 2021, including treasury shares already held in portfolio before the start of the buy-back; (vi) for the execution of the “Second Buy-Back Programme” launched on 13 December 2021, an additional portion of the Share Premium Reserve (€652 million) was allocated to the specific unavailable reserve for the maximum amount of authorised purchases. The change in the period in the item “Purchase of treasury shares” included also -€199 million for the purchase of No.15,048,642 shares performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021”. Moreover, the change of the other reserves includes the payment of coupons on AT1 equity instruments for -€343 million. Furthermore, the change in the period in the item “Equity instruments” equal to -€246 million is referred to: (i) -€990 million anticipated redemption of AT1 equity instruments issued in 2014; (ii) +€744 million issue of AT1 equity instruments, both net of fees. For further details about the Shareholders’ equity changes refer to Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities, Section 13. Statement of changes in the consolidated shareholders' equity as at 31 December 2020 (€ million) PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR SHAREHOLDERS' EQUITY TRANSACTIONS BALANCE AS AT 12.31.2019 CHANGE IN OPENING BALANCE BALANCE AS AT 01.01.2020 RESERVES DIVIDENDS AND OTHER ALLOCATIONS CHANGES IN RESERVES ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES ADVANCED DIVIDENDS DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS CHANGES IN EQUITY INVESTMENTS OTHER COMPREHENSIVE INCOME 2020 TOTAL SHAREHOLDERS' EQUITY AS AT 12.31.2020 GROUP SHAREHOLDERS' EQUITY AS AT 12.31.2020 MINORITY SHAREHOLDERS' EQUITY AS AT 12.31.2020 Share capital: 21,166 - 21,166 - - (2) 65 - - - - - - - - 21,229 21,060 169 - ordinary shares 21,166 - 21,166 - - (2) 65 - - - - - - - - 21,229 21,060 169 - other shares - - - - - - - - - - - - - - - - - - Share premium 13,311 - 13,311 (555) - (3,280) - - - - - - - - - 9,476 9,386 90 Reserves: 24,327 - 24,327 4,043 - 2,979 (65) - - - - - 50 - - 31,334 31,167 167 - from profits 16,694 - 16,694 4,043 - 2,823 (65) - - - - - - - - 23,495 23,455 40 - other 7,633 - 7,633 - - 156 - - - - - - 50 - - 7,839 7,712 127 Valuation reserves (6,109) - (6,109) - - (146) - - - - - - - - 98 (6,157) (6,159) 2 Advanced dividends - - - - - - - - - - - - - - - - - - Equity instruments 5,602 - 5,602 - - - - - - - 1,239 - - - - 6,841 6,841 - Treasury shares (3) - (3) - - - - - - - - - - - - (3) (3) - Profit (Loss) for the year 3,491 - 3,491 (3,488) (3) - - - - - - - - - (2,778) (2,778) (2,785) 7 Total shareholders’ equity 61,785 - 61,785 - (3) (449) - - - - 1,239 - 50 - (2,680) 59,942 59,507 435 Group shareholders' equity 61,416 - 61,416 - (2) (518) - - - - 1,239 - 50 - (2,678) 59,507 Minority shareholders' equity 369 - 369 - (1) 69 - - - - - - - - (2) 435 The amounts disclosed in column “Stock Options” represented the effects of the delivery of shares (Stock Options, Performance Shares, Discount and Matching Shares connected with the ESOP Plans and other Group Executive Incentive Plans). Consolidated financial statements | Consolidated accounts Consolidated accounts 144 2021 Annual Report and Accounts · UniCredit The cumulated change of valuation reserves, for -€48 million, included the effect of the variation for: • +€726 million of investments valued at net equity and +€658 million of non-current assets classified as held for sale, mainly due to the disposal of respectively 11.93% and 9.02% stake of Yapi Ve Kredi Bankasi A.S. with the consequent recycle mostly to profit or loss of these reserves basically referred to exchange rate differences on Turkish Lira; • +€25 million of property, plant and equipment related to the properties used in business, ruled by IAS16 "Property, plant and machinery"; • -€41 million of cash-flow hedges; • -€60 million of financial asset and liabilities at fair value; • -€434 million of defined-benefit plans related to pensions and other post-retirement benefits obligations and provision for employee severance pay (-€264 million for liability remeasurement and the residual mainly for temporary Deferred Tax asset sustainability test); • -€922 million of exchange differences, mainly related to effect of Russian Ruble for -€681 million, Hungarian Forint for -€99 million and Czech Crown for -€81 million. The change in Group share capital referred to the increase for +€65 million following the resolution of the Board of Directors of 5 February 2020 of UniCredit S.p.A. executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 9 April 2020 occurred: (i) coverage the entire loss of UniCredit S.p.A. from the 2019 financial year through the use of the Share Premium Reserve (€555 million); (ii) coverage of the negative reserves totaling €3,408 million, partly by use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€525 million) and to the first time adoption of the IFRS9 (€2,759 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out connected to usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” (€124 million). It is worth to remind that, following the Recommendation 2020/35 published by ECB on 27 March 2020 not to pay dividends until October 2020, 2019 Group result of +€3,373 million had been entirely allocated to the reserves without proceeding with the dividend distribution during 2020, following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 9 April 2020. On 15 December 2020, the European Central Bank issued the Recommendation 2020/62 “on dividend distributions during the Covid-19 pandemic and repealing Recommendation ECB/2020/35”; the recommendation asked banks to “refrain from or limit dividends until September 2021”. For the implications related to its application at UniCredit group, refer to the paragraph “Capital and value management - Capital ratios” of the Consolidated report on operations in Consolidated Report and Accounts 2020 of UniCredit group. Moreover, the change of the other reserves included the payment of coupons on AT1 equity instruments for -€326 million. Consolidated financial statements | Consolidated accounts Consolidated accounts 144 2021 Annual Report and Accounts · UniCredit The cumulated change of valuation reserves, for -€48 million, included the effect of the variation for: • +€726 million of investments valued at net equity and +€658 million of non-current assets classified as held for sale, mainly due to the disposal of respectively 11.93% and 9.02% stake of Yapi Ve Kredi Bankasi A.S. with the consequent recycle mostly to profit or loss of these reserves basically referred to exchange rate differences on Turkish Lira; • +€25 million of property, plant and equipment related to the properties used in business, ruled by IAS16 "Property, plant and machinery"; • -€41 million of cash-flow hedges; • -€60 million of financial asset and liabilities at fair value; • -€434 million of defined-benefit plans related to pensions and other post-retirement benefits obligations and provision for employee severance pay (-€264 million for liability remeasurement and the residual mainly for temporary Deferred Tax asset sustainability test); • -€922 million of exchange differences, mainly related to effect of Russian Ruble for -€681 million, Hungarian Forint for -€99 million and Czech Crown for -€81 million. The change in Group share capital referred to the increase for +€65 million following the resolution of the Board of Directors of 5 February 2020 of UniCredit S.p.A. executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 9 April 2020 occurred: (i) coverage the entire loss of UniCredit S.p.A. from the 2019 financial year through the use of the Share Premium Reserve (€555 million); (ii) coverage of the negative reserves totaling €3,408 million, partly by use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€525 million) and to the first time adoption of the IFRS9 (€2,759 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out connected to usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” (€124 million). It is worth to remind that, following the Recommendation 2020/35 published by ECB on 27 March 2020 not to pay dividends until October 2020, 2019 Group result of +€3,373 million had been entirely allocated to the reserves without proceeding with the dividend distribution during 2020, following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 9 April 2020. On 15 December 2020, the European Central Bank issued the Recommendation 2020/62 “on dividend distributions during the Covid-19 pandemic and repealing Recommendation ECB/2020/35”; the recommendation asked banks to “refrain from or limit dividends until September 2021”. For the implications related to its application at UniCredit group, refer to the paragraph “Capital and value management - Capital ratios” of the Consolidated report on operations in Consolidated Report and Accounts 2020 of UniCredit group. Moreover, the change of the other reserves included the payment of coupons on AT1 equity instruments for -€326 million. Consolidated financial statements | Consolidated accounts Consolidated accounts 144 2021 Annual Report and Accounts · UniCredit The cumulated change of valuation reserves, for -€48 million, included the effect of the variation for: • +€726 million of investments valued at net equity and +€658 million of non-current assets classified as held for sale, mainly due to the disposal of respectively 11.93% and 9.02% stake of Yapi Ve Kredi Bankasi A.S. with the consequent recycle mostly to profit or loss of these reserves basically referred to exchange rate differences on Turkish Lira; • +€25 million of property, plant and equipment related to the properties used in business, ruled by IAS16 "Property, plant and machinery"; • -€41 million of cash-flow hedges; • -€60 million of financial asset and liabilities at fair value; • -€434 million of defined-benefit plans related to pensions and other post-retirement benefits obligations and provision for employee severance pay (-€264 million for liability remeasurement and the residual mainly for temporary Deferred Tax asset sustainability test); • -€922 million of exchange differences, mainly related to effect of Russian Ruble for -€681 million, Hungarian Forint for -€99 million and Czech Crown for -€81 million. The change in Group share capital referred to the increase for +€65 million following the resolution of the Board of Directors of 5 February 2020 of UniCredit S.p.A. executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 9 April 2020 occurred: (i) coverage the entire loss of UniCredit S.p.A. from the 2019 financial year through the use of the Share Premium Reserve (€555 million); (ii) coverage of the negative reserves totaling €3,408 million, partly by use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€525 million) and to the first time adoption of the IFRS9 (€2,759 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out connected to usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” (€124 million). It is worth to remind that, following the Recommendation 2020/35 published by ECB on 27 March 2020 not to pay dividends until October 2020, 2019 Group result of +€3,373 million had been entirely allocated to the reserves without proceeding with the dividend distribution during 2020, following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 9 April 2020. On 15 December 2020, the European Central Bank issued the Recommendation 2020/62 “on dividend distributions during the Covid-19 pandemic and repealing Recommendation ECB/2020/35”; the recommendation asked banks to “refrain from or limit dividends until September 2021”. For the implications related to its application at UniCredit group, refer to the paragraph “Capital and value management - Capital ratios” of the Consolidated report on operations in Consolidated Report and Accounts 2020 of UniCredit group. Moreover, the change of the other reserves included the payment of coupons on AT1 equity instruments for -€326 million. Consolidated financial statements | Consolidated accounts Consolidated accounts 144 2021 Annual Report and Accounts · UniCredit The cumulated change of valuation reserves, for -€48 million, included the effect of the variation for: • +€726 million of investments valued at net equity and +€658 million of non-current assets classified as held for sale, mainly due to the disposal of respectively 11.93% and 9.02% stake of Yapi Ve Kredi Bankasi A.S. with the consequent recycle mostly to profit or loss of these reserves basically referred to exchange rate differences on Turkish Lira; • +€25 million of property, plant and equipment related to the properties used in business, ruled by IAS16 "Property, plant and machinery"; • -€41 million of cash-flow hedges; • -€60 million of financial asset and liabilities at fair value; • -€434 million of defined-benefit plans related to pensions and other post-retirement benefits obligations and provision for employee severance pay (-€264 million for liability remeasurement and the residual mainly for temporary Deferred Tax asset sustainability test); • -€922 million of exchange differences, mainly related to effect of Russian Ruble for -€681 million, Hungarian Forint for -€99 million and Czech Crown for -€81 million. The change in Group share capital referred to the increase for +€65 million following the resolution of the Board of Directors of 5 February 2020 of UniCredit S.p.A. executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 9 April 2020 occurred: (i) coverage the entire loss of UniCredit S.p.A. from the 2019 financial year through the use of the Share Premium Reserve (€555 million); (ii) coverage of the negative reserves totaling €3,408 million, partly by use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€525 million) and to the first time adoption of the IFRS9 (€2,759 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out connected to usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” (€124 million). It is worth to remind that, following the Recommendation 2020/35 published by ECB on 27 March 2020 not to pay dividends until October 2020, 2019 Group result of +€3,373 million had been entirely allocated to the reserves without proceeding with the dividend distribution during 2020, following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 9 April 2020. On 15 December 2020, the European Central Bank issued the Recommendation 2020/62 “on dividend distributions during the Covid-19 pandemic and repealing Recommendation ECB/2020/35”; the recommendation asked banks to “refrain from or limit dividends until September 2021”. For the implications related to its application at UniCredit group, refer to the paragraph “Capital and value management - Capital ratios” of the Consolidated report on operations in Consolidated Report and Accounts 2020 of UniCredit group. Moreover, the change of the other reserves included the payment of coupons on AT1 equity instruments for -€326 million. Consolidated financial statements | Consolidated accounts Consolidated accounts 144 2021 Annual Report and Accounts · UniCredit The cumulated change of valuation reserves, for -€48 million, included the effect of the variation for: • +€726 million of investments valued at net equity and +€658 million of non-current assets classified as held for sale, mainly due to the disposal of respectively 11.93% and 9.02% stake of Yapi Ve Kredi Bankasi A.S. with the consequent recycle mostly to profit or loss of these reserves basically referred to exchange rate differences on Turkish Lira; • +€25 million of property, plant and equipment related to the properties used in business, ruled by IAS16 "Property, plant and machinery"; • -€41 million of cash-flow hedges; • -€60 million of financial asset and liabilities at fair value; • -€434 million of defined-benefit plans related to pensions and other post-retirement benefits obligations and provision for employee severance pay (-€264 million for liability remeasurement and the residual mainly for temporary Deferred Tax asset sustainability test); • -€922 million of exchange differences, mainly related to effect of Russian Ruble for -€681 million, Hungarian Forint for -€99 million and Czech Crown for -€81 million. The change in Group share capital referred to the increase for +€65 million following the resolution of the Board of Directors of 5 February 2020 of UniCredit S.p.A. executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 9 April 2020 occurred: (i) coverage the entire loss of UniCredit S.p.A. from the 2019 financial year through the use of the Share Premium Reserve (€555 million); (ii) coverage of the negative reserves totaling €3,408 million, partly by use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€525 million) and to the first time adoption of the IFRS9 (€2,759 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out connected to usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” (€124 million). It is worth to remind that, following the Recommendation 2020/35 published by ECB on 27 March 2020 not to pay dividends until October 2020, 2019 Group result of +€3,373 million had been entirely allocated to the reserves without proceeding with the dividend distribution during 2020, following the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 9 April 2020. On 15 December 2020, the European Central Bank issued the Recommendation 2020/62 “on dividend distributions during the Covid-19 pandemic and repealing Recommendation ECB/2020/35”; the recommendation asked banks to “refrain from or limit dividends until September 2021”. For the implications related to its application at UniCredit group, refer to the paragraph “Capital and value management - Capital ratios” of the Consolidated report on operations in Consolidated Report and Accounts 2020 of UniCredit group. Moreover, the change of the other reserves included the payment of coupons on AT1 equity instruments for -€326 million. Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 145 Consolidated cash flow statement (indirect method) (€ million) YEAR 2021 2020 A. OPERATING ACTIVITIES 1. Operations: 7,421 8,486 - profit (loss) for the year (+/-) 1,570 (2,778) - gains/losses on financial assets held for trading and on other financial assets/liabilities at fair value through profit or loss (-/+) (2,818) (453) - gains (losses) on hedge accounting (-/+) (49) 54 - net impairment losses/writebacks on impairment for credit risk (+/-) 4,252 7,010 - net value adjustments/write-backs on property, plant and equipment and intangible assets (+/-) 1,497 1,420 - net provisions for risks and charges and other expenses/income (+/-) 1,476 1,211 - uncollected net premiums (-) - - - other uncollected insurance income/expenses (-/+) - - - unpaid duties, taxes and tax credits (+/-) (428) 118 - impairment/write-backs after tax on discontinued operations (+/-) - 19 - other adjustments (+/-) 1,921 1,885 2. Liquidity generated/absorbed by financial assets: (1,164) 4,255 - financial assets held for trading (2,665) (1,593) - financial assets designated at fair value (68) (224) - other financial assets mandatorily at fair value 2,859 3,333 - financial assets at fair value through other comprehensive income 3,826 6,452 - financial assets at amortised cost 628 (5,220) - other assets (5,744) 1,507 3. Liquidity generated/absorbed by financial liabilities: (13,778) 72,838 - financial liabilities at amortised cost (15,196) 76,034 - financial liabilities held for trading 2,367 (1,095) - financial liabilities designated at fair value (1,254) 930 - other liabilities 305 (3,031) Net liquidity generated/absorbed by operating activities (7,521) 85,579 B. INVESTMENT ACTIVITIES 1. Liquidity generated by: 638 2,025 - sales of equity investments 67 508 - collected dividends on equity investments 150 61 - sales of property, plant and equipment 392 1,417 - sales of intangible assets - - - sales of subsidiaries and business units 29 39 2. Liquidity absorbed by: (1,337) (1,456) - purchases of equity investments (1) (10) - purchases of property, plant and equipment (522) (730) - purchases of intangible assets (715) (700) - purchases of subsidiaries and business units (99) (16) Net liquidity generated/absorbed by investment activities (699) 569 C. FUNDING ACTIVITIES - issue/purchase of treasury shares (378) - - issue/purchase of equity instruments (256) 1,239 - dividend distribution and other (774) (579) - sale/purchase of minority control - - Net liquidity generated/absorbed by funding activities (1,408) 660 NET LIQUIDITY GENERATED/ABSORBED IN THE YEAR (9,628) 86,808 Key: (+) generated; (-) absorbed. Consolidated cash flow statement Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 145 Consolidated cash flow statement (indirect method) (€ million) YEAR 2021 2020 A. OPERATING ACTIVITIES 1. Operations: 7,421 8,486 - profit (loss) for the year (+/-) 1,570 (2,778) - gains/losses on financial assets held for trading and on other financial assets/liabilities at fair value through profit or loss (-/+) (2,818) (453) - gains (losses) on hedge accounting (-/+) (49) 54 - net impairment losses/writebacks on impairment for credit risk (+/-) 4,252 7,010 - net value adjustments/write-backs on property, plant and equipment and intangible assets (+/-) 1,497 1,420 - net provisions for risks and charges and other expenses/income (+/-) 1,476 1,211 - uncollected net premiums (-) - - - other uncollected insurance income/expenses (-/+) - - - unpaid duties, taxes and tax credits (+/-) (428) 118 - impairment/write-backs after tax on discontinued operations (+/-) - 19 - other adjustments (+/-) 1,921 1,885 2. Liquidity generated/absorbed by financial assets: (1,164) 4,255 - financial assets held for trading (2,665) (1,593) - financial assets designated at fair value (68) (224) - other financial assets mandatorily at fair value 2,859 3,333 - financial assets at fair value through other comprehensive income 3,826 6,452 - financial assets at amortised cost 628 (5,220) - other assets (5,744) 1,507 3. Liquidity generated/absorbed by financial liabilities: (13,778) 72,838 - financial liabilities at amortised cost (15,196) 76,034 - financial liabilities held for trading 2,367 (1,095) - financial liabilities designated at fair value (1,254) 930 - other liabilities 305 (3,031) Net liquidity generated/absorbed by operating activities (7,521) 85,579 B. INVESTMENT ACTIVITIES 1. Liquidity generated by: 638 2,025 - sales of equity investments 67 508 - collected dividends on equity investments 150 61 - sales of property, plant and equipment 392 1,417 - sales of intangible assets - - - sales of subsidiaries and business units 29 39 2. Liquidity absorbed by: (1,337) (1,456) - purchases of equity investments (1) (10) - purchases of property, plant and equipment (522) (730) - purchases of intangible assets (715) (700) - purchases of subsidiaries and business units (99) (16) Net liquidity generated/absorbed by investment activities (699) 569 C. FUNDING ACTIVITIES - issue/purchase of treasury shares (378) - - issue/purchase of equity instruments (256) 1,239 - dividend distribution and other (774) (579) - sale/purchase of minority control - - Net liquidity generated/absorbed by funding activities (1,408) 660 NET LIQUIDITY GENERATED/ABSORBED IN THE YEAR (9,628) 86,808 Key: (+) generated; (-) absorbed. Consolidated cash flow statement Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 145 Consolidated cash flow statement (indirect method) (€ million) YEAR 2021 2020 A. OPERATING ACTIVITIES 1. Operations: 7,421 8,486 - profit (loss) for the year (+/-) 1,570 (2,778) - gains/losses on financial assets held for trading and on other financial assets/liabilities at fair value through profit or loss (-/+) (2,818) (453) - gains (losses) on hedge accounting (-/+) (49) 54 - net impairment losses/writebacks on impairment for credit risk (+/-) 4,252 7,010 - net value adjustments/write-backs on property, plant and equipment and intangible assets (+/-) 1,497 1,420 - net provisions for risks and charges and other expenses/income (+/-) 1,476 1,211 - uncollected net premiums (-) - - - other uncollected insurance income/expenses (-/+) - - - unpaid duties, taxes and tax credits (+/-) (428) 118 - impairment/write-backs after tax on discontinued operations (+/-) - 19 - other adjustments (+/-) 1,921 1,885 2. Liquidity generated/absorbed by financial assets: (1,164) 4,255 - financial assets held for trading (2,665) (1,593) - financial assets designated at fair value (68) (224) - other financial assets mandatorily at fair value 2,859 3,333 - financial assets at fair value through other comprehensive income 3,826 6,452 - financial assets at amortised cost 628 (5,220) - other assets (5,744) 1,507 3. Liquidity generated/absorbed by financial liabilities: (13,778) 72,838 - financial liabilities at amortised cost (15,196) 76,034 - financial liabilities held for trading 2,367 (1,095) - financial liabilities designated at fair value (1,254) 930 - other liabilities 305 (3,031) Net liquidity generated/absorbed by operating activities (7,521) 85,579 B. INVESTMENT ACTIVITIES 1. Liquidity generated by: 638 2,025 - sales of equity investments 67 508 - collected dividends on equity investments 150 61 - sales of property, plant and equipment 392 1,417 - sales of intangible assets - - - sales of subsidiaries and business units 29 39 2. Liquidity absorbed by: (1,337) (1,456) - purchases of equity investments (1) (10) - purchases of property, plant and equipment (522) (730) - purchases of intangible assets (715) (700) - purchases of subsidiaries and business units (99) (16) Net liquidity generated/absorbed by investment activities (699) 569 C. FUNDING ACTIVITIES - issue/purchase of treasury shares (378) - - issue/purchase of equity instruments (256) 1,239 - dividend distribution and other (774) (579) - sale/purchase of minority control - - Net liquidity generated/absorbed by funding activities (1,408) 660 NET LIQUIDITY GENERATED/ABSORBED IN THE YEAR (9,628) 86,808 Key: (+) generated; (-) absorbed. Consolidated cash flow statement Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 145 Consolidated cash flow statement (indirect method) (€ million) YEAR 2021 2020 A. OPERATING ACTIVITIES 1. Operations: 7,421 8,486 - profit (loss) for the year (+/-) 1,570 (2,778) - gains/losses on financial assets held for trading and on other financial assets/liabilities at fair value through profit or loss (-/+) (2,818) (453) - gains (losses) on hedge accounting (-/+) (49) 54 - net impairment losses/writebacks on impairment for credit risk (+/-) 4,252 7,010 - net value adjustments/write-backs on property, plant and equipment and intangible assets (+/-) 1,497 1,420 - net provisions for risks and charges and other expenses/income (+/-) 1,476 1,211 - uncollected net premiums (-) - - - other uncollected insurance income/expenses (-/+) - - - unpaid duties, taxes and tax credits (+/-) (428) 118 - impairment/write-backs after tax on discontinued operations (+/-) - 19 - other adjustments (+/-) 1,921 1,885 2. Liquidity generated/absorbed by financial assets: (1,164) 4,255 - financial assets held for trading (2,665) (1,593) - financial assets designated at fair value (68) (224) - other financial assets mandatorily at fair value 2,859 3,333 - financial assets at fair value through other comprehensive income 3,826 6,452 - financial assets at amortised cost 628 (5,220) - other assets (5,744) 1,507 3. Liquidity generated/absorbed by financial liabilities: (13,778) 72,838 - financial liabilities at amortised cost (15,196) 76,034 - financial liabilities held for trading 2,367 (1,095) - financial liabilities designated at fair value (1,254) 930 - other liabilities 305 (3,031) Net liquidity generated/absorbed by operating activities (7,521) 85,579 B. INVESTMENT ACTIVITIES 1. Liquidity generated by: 638 2,025 - sales of equity investments 67 508 - collected dividends on equity investments 150 61 - sales of property, plant and equipment 392 1,417 - sales of intangible assets - - - sales of subsidiaries and business units 29 39 2. Liquidity absorbed by: (1,337) (1,456) - purchases of equity investments (1) (10) - purchases of property, plant and equipment (522) (730) - purchases of intangible assets (715) (700) - purchases of subsidiaries and business units (99) (16) Net liquidity generated/absorbed by investment activities (699) 569 C. FUNDING ACTIVITIES - issue/purchase of treasury shares (378) - - issue/purchase of equity instruments (256) 1,239 - dividend distribution and other (774) (579) - sale/purchase of minority control - - Net liquidity generated/absorbed by funding activities (1,408) 660 NET LIQUIDITY GENERATED/ABSORBED IN THE YEAR (9,628) 86,808 Key: (+) generated; (-) absorbed. Consolidated cash flow statement Consolidated financial statements | Consolidated accounts Consolidated accounts UniCredit · 2021 Annual Report and Accounts 145 Consolidated cash flow statement (indirect method) (€ million) YEAR 2021 2020 A. OPERATING ACTIVITIES 1. Operations: 7,421 8,486 - profit (loss) for the year (+/-) 1,570 (2,778) - gains/losses on financial assets held for trading and on other financial assets/liabilities at fair value through profit or loss (-/+) (2,818) (453) - gains (losses) on hedge accounting (-/+) (49) 54 - net impairment losses/writebacks on impairment for credit risk (+/-) 4,252 7,010 - net value adjustments/write-backs on property, plant and equipment and intangible assets (+/-) 1,497 1,420 - net provisions for risks and charges and other expenses/income (+/-) 1,476 1,211 - uncollected net premiums (-) - - - other uncollected insurance income/expenses (-/+) - - - unpaid duties, taxes and tax credits (+/-) (428) 118 - impairment/write-backs after tax on discontinued operations (+/-) - 19 - other adjustments (+/-) 1,921 1,885 2. Liquidity generated/absorbed by financial assets: (1,164) 4,255 - financial assets held for trading (2,665) (1,593) - financial assets designated at fair value (68) (224) - other financial assets mandatorily at fair value 2,859 3,333 - financial assets at fair value through other comprehensive income 3,826 6,452 - financial assets at amortised cost 628 (5,220) - other assets (5,744) 1,507 3. Liquidity generated/absorbed by financial liabilities: (13,778) 72,838 - financial liabilities at amortised cost (15,196) 76,034 - financial liabilities held for trading 2,367 (1,095) - financial liabilities designated at fair value (1,254) 930 - other liabilities 305 (3,031) Net liquidity generated/absorbed by operating activities (7,521) 85,579 B. INVESTMENT ACTIVITIES 1. Liquidity generated by: 638 2,025 - sales of equity investments 67 508 - collected dividends on equity investments 150 61 - sales of property, plant and equipment 392 1,417 - sales of intangible assets - - - sales of subsidiaries and business units 29 39 2. Liquidity absorbed by: (1,337) (1,456) - purchases of equity investments (1) (10) - purchases of property, plant and equipment (522) (730) - purchases of intangible assets (715) (700) - purchases of subsidiaries and business units (99) (16) Net liquidity generated/absorbed by investment activities (699) 569 C. FUNDING ACTIVITIES - issue/purchase of treasury shares (378) - - issue/purchase of equity instruments (256) 1,239 - dividend distribution and other (774) (579) - sale/purchase of minority control - - Net liquidity generated/absorbed by funding activities (1,408) 660 NET LIQUIDITY GENERATED/ABSORBED IN THE YEAR (9,628) 86,808 Key: (+) generated; (-) absorbed. Consolidated cash flow statement Consolidated financial statements | Consolidated accounts Consolidated accounts 146 2021 Annual Report and Accounts · UniCredit Reconciliation (€ million) YEAR ITEMS 2021 2020 Cash and cash balances at the beginning of the year 117,003 30,345 Net liquidity generated/absorbed in the year (9,628) 86,808 Cash and cash balances: foreign exchange effect 32 (150) Cash and cash balances at the end of the year 107,407 117,003 The item "Cash and cash balances" refers to the definition according to Banca d’Italia (Circular No.262 of 22 December 2005 and subsequent amendments). For further details on item’s composition refer to Part B - Consolidated balance sheet - Assets, Section 1 - Cash and cash balances - Item 10 of the Notes to the consolidated accounts. The information related to the significant restrictions are provided in Part A - Accounting Policies, A.1 - General, Section 3 - Consolidation scope and methods. Consolidated financial statements | Consolidated accounts Consolidated accounts 146 2021 Annual Report and Accounts · UniCredit Reconciliation (€ million) YEAR ITEMS 2021 2020 Cash and cash balances at the beginning of the year 117,003 30,345 Net liquidity generated/absorbed in the year (9,628) 86,808 Cash and cash balances: foreign exchange effect 32 (150) Cash and cash balances at the end of the year 107,407 117,003 The item "Cash and cash balances" refers to the definition according to Banca d’Italia (Circular No.262 of 22 December 2005 and subsequent amendments). For further details on item’s composition refer to Part B - Consolidated balance sheet - Assets, Section 1 - Cash and cash balances - Item 10 of the Notes to the consolidated accounts. The information related to the significant restrictions are provided in Part A - Accounting Policies, A.1 - General, Section 3 - Consolidation scope and methods. Consolidated financial statements | Consolidated accounts Consolidated accounts 146 2021 Annual Report and Accounts · UniCredit Reconciliation (€ million) YEAR ITEMS 2021 2020 Cash and cash balances at the beginning of the year 117,003 30,345 Net liquidity generated/absorbed in the year (9,628) 86,808 Cash and cash balances: foreign exchange effect 32 (150) Cash and cash balances at the end of the year 107,407 117,003 The item "Cash and cash balances" refers to the definition according to Banca d’Italia (Circular No.262 of 22 December 2005 and subsequent amendments). For further details on item’s composition refer to Part B - Consolidated balance sheet - Assets, Section 1 - Cash and cash balances - Item 10 of the Notes to the consolidated accounts. The information related to the significant restrictions are provided in Part A - Accounting Policies, A.1 - General, Section 3 - Consolidation scope and methods. Consolidated financial statements | Consolidated accounts Consolidated accounts 146 2021 Annual Report and Accounts · UniCredit Reconciliation (€ million) YEAR ITEMS 2021 2020 Cash and cash balances at the beginning of the year 117,003 30,345 Net liquidity generated/absorbed in the year (9,628) 86,808 Cash and cash balances: foreign exchange effect 32 (150) Cash and cash balances at the end of the year 107,407 117,003 The item "Cash and cash balances" refers to the definition according to Banca d’Italia (Circular No.262 of 22 December 2005 and subsequent amendments). For further details on item’s composition refer to Part B - Consolidated balance sheet - Assets, Section 1 - Cash and cash balances - Item 10 of the Notes to the consolidated accounts. The information related to the significant restrictions are provided in Part A - Accounting Policies, A.1 - General, Section 3 - Consolidation scope and methods. Consolidated financial statements | Consolidated accounts Consolidated accounts 146 2021 Annual Report and Accounts · UniCredit Reconciliation (€ million) YEAR ITEMS 2021 2020 Cash and cash balances at the beginning of the year 117,003 30,345 Net liquidity generated/absorbed in the year (9,628) 86,808 Cash and cash balances: foreign exchange effect 32 (150) Cash and cash balances at the end of the year 107,407 117,003 The item "Cash and cash balances" refers to the definition according to Banca d’Italia (Circular No.262 of 22 December 2005 and subsequent amendments). For further details on item’s composition refer to Part B - Consolidated balance sheet - Assets, Section 1 - Cash and cash balances - Item 10 of the Notes to the consolidated accounts. The information related to the significant restrictions are provided in Part A - Accounting Policies, A.1 - General, Section 3 - Consolidation scope and methods.  UniCredit · 2021 Annual Report and Accounts 147 UniCredit · 2021 Annual Report and Accounts 147 UniCredit · 2021 Annual Report and Accounts 147 UniCredit · 2021 Annual Report and Accounts 147 UniCredit · 2021 Annual Report and Accounts 147  148 2021 Annual Report and Accounts · UniCredit 148 2021 Annual Report and Accounts · UniCredit 148 2021 Annual Report and Accounts · UniCredit 148 2021 Annual Report and Accounts · UniCredit 148 2021 Annual Report and Accounts · UniCredit Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 149 Notes to the consolidated accounts Part A - Accounting policies A.1 - General Section 1 - Statement of compliance with IFRS These Consolidated financial statements have been prepared in accordance with the IFRS issued by the International Accounting Standards Board (IASB), including the interpretation documents issued by the SIC and the IFRIC, and endorsed by the European Commission up to 31 December 2021, pursuant to EU Regulation No.1606/2002 which was incorporated into Italian legislation through Legislative Decree No.38 of 28 February 2005 (see Section 5 - Other matters). These financial statements are an integral part of the Annual financial statements as required by Art.154-ter, par.1 of the Single Finance Act (Consolidated Law on Finance - TUF, Legislative Decree No.58 of 24 February 1998). In Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), with regard to the banks and financial institutions subject to supervision, Banca d’Italia has established the formats for the financial statements and Notes to the accounts used to prepare these Consolidated financial statements. Banca d’Italia issued on 29 October 2021 the 7th update of its Circular No.262 that amends the formats of certain tables of the Notes to the consolidated accounts and preparation rules with the main objective to align financial statements information with Regulatory reporting (FINREP). Such update has been integrated by the 21 December 2021 Banca d’Italia Communication “Update of integration to Circular No.262 requirements - Banks financial statements: schemes and compilation rules” which has updated the information to be reported with regard to impacts coming from Covid-19 and related relief and support measures. Section 2 - General preparation criteria As mentioned above, these “Consolidated financial statements as at 31 December 2021” have been prepared in accordance with the international accounting standards endorsed by the European Commission. The following documents have been used to interpret and support the application of such accounting standards, even though they have not all been endorsed by the European Commission: • The Conceptual Framework for Financial Reporting; • Implementation Guidance, Basis for Conclusions, IFRICs and the documents prepared by either the IASB (including the IFRS Foundation communication of 27 March 2020 concerning "IFRS9 and Covid-19") or the International Financial Reporting Interpretations Committee (IFRIC) supplementing the IFRS; • Interpretative documents on the application of the IAS/IFRS in Italy prepared by the Organismo Italiano di Contabilità (the Italian Standard Setter; OIC) and Associazione Bancaria Italiana (Italian Banking Association, that is the trade association of Italian banks; ABI); • Coordination Table between Banca d'Italia, Consob ed Ivass with regard to the application of IAS/IFRS, in particular the Document n.9, dated 5 January 2021, Accounting Treatment of tax credits connected with the “Cura Italia” and “Rilancio” Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers (“Trattamento contabile dei crediti d’imposta connessi con i Decreti Legge “Cura Italia” e “Rilancio” acquistati a seguito di cessione da parte dei beneficiari diretti o di precedenti acquirenti”); • ESMA (European Securities and Markets Authority), European Banking Authority, European Central Bank and Consob documents on the application of specific IAS/IFRS provisions also with specific reference to the presentation of the effects arising from Covid-19 pandemic and their effects on the evaluation processes. In particular, it shall be made reference to the ESMA statements 25 March 2020, 20 May 2020, 28 October 2020 and 29 October 2021, to the European Central Bank statements dated 1 April 2020 and 4 December 2020, to the European Banking Authority statements dated 25 March 2020, 2 April 2020, 2 June 2020 and 2 December 2020, and to Consob “Call for attention" dated 16 February 2021. The content of these statements, when relevant, has been reported in "Section 5 - Other matters” of the Notes to consolidated accounts Part A - Accounting policies, A.1 General, in the context of the description of the evaluation choices made by the Group as at 31 December 2021. The Consolidated financial statements include the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in shareholders’ equity, the Cash flow statement (compiled using the “indirect method”) and the Notes to the consolidated accounts, together with the Consolidated report on operations and Annexes. The schemes and Notes of the “Consolidated financial statement as at 31 December 2021” are in line with Banca d’Italia templates as prescribed by Circular 262 dated 22 December 2005 (7th update of 29 October 2021) as well as 21 December 2021 communication on impacts of Covid-19 and measures to support the economy, and they present comparative figures, as at 31 December 2020. More specifically, 2020 comparative figures have been recasted, when required, in order to reflect the mentioned Banca d’Italia Circular 262 updates. Main changes relate to (i) the reclassification of sight deposits and current accounts toward Banks and Central Banks into item Cash and cash balances, (ii) the specific and separate disclosure of Financial assets purchased or originated credit impaired, (iii) the disclosure in the tables reporting Covid-19 measures of the loans under moratorium no longer compliant to the Guidelines requirements and not valued as forborne exposure and (iv) the update of the tables related to commissions. Figures in the consolidated accounts and Notes to the consolidated accounts are given in millions of euros, unless otherwise specified. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 149 Notes to the consolidated accounts Part A - Accounting policies A.1 - General Section 1 - Statement of compliance with IFRS These Consolidated financial statements have been prepared in accordance with the IFRS issued by the International Accounting Standards Board (IASB), including the interpretation documents issued by the SIC and the IFRIC, and endorsed by the European Commission up to 31 December 2021, pursuant to EU Regulation No.1606/2002 which was incorporated into Italian legislation through Legislative Decree No.38 of 28 February 2005 (see Section 5 - Other matters). These financial statements are an integral part of the Annual financial statements as required by Art.154-ter, par.1 of the Single Finance Act (Consolidated Law on Finance - TUF, Legislative Decree No.58 of 24 February 1998). In Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), with regard to the banks and financial institutions subject to supervision, Banca d’Italia has established the formats for the financial statements and Notes to the accounts used to prepare these Consolidated financial statements. Banca d’Italia issued on 29 October 2021 the 7th update of its Circular No.262 that amends the formats of certain tables of the Notes to the consolidated accounts and preparation rules with the main objective to align financial statements information with Regulatory reporting (FINREP). Such update has been integrated by the 21 December 2021 Banca d’Italia Communication “Update of integration to Circular No.262 requirements - Banks financial statements: schemes and compilation rules” which has updated the information to be reported with regard to impacts coming from Covid-19 and related relief and support measures. Section 2 - General preparation criteria As mentioned above, these “Consolidated financial statements as at 31 December 2021” have been prepared in accordance with the international accounting standards endorsed by the European Commission. The following documents have been used to interpret and support the application of such accounting standards, even though they have not all been endorsed by the European Commission: • The Conceptual Framework for Financial Reporting; • Implementation Guidance, Basis for Conclusions, IFRICs and the documents prepared by either the IASB (including the IFRS Foundation communication of 27 March 2020 concerning "IFRS9 and Covid-19") or the International Financial Reporting Interpretations Committee (IFRIC) supplementing the IFRS; • Interpretative documents on the application of the IAS/IFRS in Italy prepared by the Organismo Italiano di Contabilità (the Italian Standard Setter; OIC) and Associazione Bancaria Italiana (Italian Banking Association, that is the trade association of Italian banks; ABI); • Coordination Table between Banca d'Italia, Consob ed Ivass with regard to the application of IAS/IFRS, in particular the Document n.9, dated 5 January 2021, Accounting Treatment of tax credits connected with the “Cura Italia” and “Rilancio” Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers (“Trattamento contabile dei crediti d’imposta connessi con i Decreti Legge “Cura Italia” e “Rilancio” acquistati a seguito di cessione da parte dei beneficiari diretti o di precedenti acquirenti”); • ESMA (European Securities and Markets Authority), European Banking Authority, European Central Bank and Consob documents on the application of specific IAS/IFRS provisions also with specific reference to the presentation of the effects arising from Covid-19 pandemic and their effects on the evaluation processes. In particular, it shall be made reference to the ESMA statements 25 March 2020, 20 May 2020, 28 October 2020 and 29 October 2021, to the European Central Bank statements dated 1 April 2020 and 4 December 2020, to the European Banking Authority statements dated 25 March 2020, 2 April 2020, 2 June 2020 and 2 December 2020, and to Consob “Call for attention" dated 16 February 2021. The content of these statements, when relevant, has been reported in "Section 5 - Other matters” of the Notes to consolidated accounts Part A - Accounting policies, A.1 General, in the context of the description of the evaluation choices made by the Group as at 31 December 2021. The Consolidated financial statements include the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in shareholders’ equity, the Cash flow statement (compiled using the “indirect method”) and the Notes to the consolidated accounts, together with the Consolidated report on operations and Annexes. The schemes and Notes of the “Consolidated financial statement as at 31 December 2021” are in line with Banca d’Italia templates as prescribed by Circular 262 dated 22 December 2005 (7th update of 29 October 2021) as well as 21 December 2021 communication on impacts of Covid-19 and measures to support the economy, and they present comparative figures, as at 31 December 2020. More specifically, 2020 comparative figures have been recasted, when required, in order to reflect the mentioned Banca d’Italia Circular 262 updates. Main changes relate to (i) the reclassification of sight deposits and current accounts toward Banks and Central Banks into item Cash and cash balances, (ii) the specific and separate disclosure of Financial assets purchased or originated credit impaired, (iii) the disclosure in the tables reporting Covid-19 measures of the loans under moratorium no longer compliant to the Guidelines requirements and not valued as forborne exposure and (iv) the update of the tables related to commissions. Figures in the consolidated accounts and Notes to the consolidated accounts are given in millions of euros, unless otherwise specified. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 149 Notes to the consolidated accounts Part A - Accounting policies A.1 - General Section 1 - Statement of compliance with IFRS These Consolidated financial statements have been prepared in accordance with the IFRS issued by the International Accounting Standards Board (IASB), including the interpretation documents issued by the SIC and the IFRIC, and endorsed by the European Commission up to 31 December 2021, pursuant to EU Regulation No.1606/2002 which was incorporated into Italian legislation through Legislative Decree No.38 of 28 February 2005 (see Section 5 - Other matters). These financial statements are an integral part of the Annual financial statements as required by Art.154-ter, par.1 of the Single Finance Act (Consolidated Law on Finance - TUF, Legislative Decree No.58 of 24 February 1998). In Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), with regard to the banks and financial institutions subject to supervision, Banca d’Italia has established the formats for the financial statements and Notes to the accounts used to prepare these Consolidated financial statements. Banca d’Italia issued on 29 October 2021 the 7th update of its Circular No.262 that amends the formats of certain tables of the Notes to the consolidated accounts and preparation rules with the main objective to align financial statements information with Regulatory reporting (FINREP). Such update has been integrated by the 21 December 2021 Banca d’Italia Communication “Update of integration to Circular No.262 requirements - Banks financial statements: schemes and compilation rules” which has updated the information to be reported with regard to impacts coming from Covid-19 and related relief and support measures. Section 2 - General preparation criteria As mentioned above, these “Consolidated financial statements as at 31 December 2021” have been prepared in accordance with the international accounting standards endorsed by the European Commission. The following documents have been used to interpret and support the application of such accounting standards, even though they have not all been endorsed by the European Commission: • The Conceptual Framework for Financial Reporting; • Implementation Guidance, Basis for Conclusions, IFRICs and the documents prepared by either the IASB (including the IFRS Foundation communication of 27 March 2020 concerning "IFRS9 and Covid-19") or the International Financial Reporting Interpretations Committee (IFRIC) supplementing the IFRS; • Interpretative documents on the application of the IAS/IFRS in Italy prepared by the Organismo Italiano di Contabilità (the Italian Standard Setter; OIC) and Associazione Bancaria Italiana (Italian Banking Association, that is the trade association of Italian banks; ABI); • Coordination Table between Banca d'Italia, Consob ed Ivass with regard to the application of IAS/IFRS, in particular the Document n.9, dated 5 January 2021, Accounting Treatment of tax credits connected with the “Cura Italia” and “Rilancio” Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers (“Trattamento contabile dei crediti d’imposta connessi con i Decreti Legge “Cura Italia” e “Rilancio” acquistati a seguito di cessione da parte dei beneficiari diretti o di precedenti acquirenti”); • ESMA (European Securities and Markets Authority), European Banking Authority, European Central Bank and Consob documents on the application of specific IAS/IFRS provisions also with specific reference to the presentation of the effects arising from Covid-19 pandemic and their effects on the evaluation processes. In particular, it shall be made reference to the ESMA statements 25 March 2020, 20 May 2020, 28 October 2020 and 29 October 2021, to the European Central Bank statements dated 1 April 2020 and 4 December 2020, to the European Banking Authority statements dated 25 March 2020, 2 April 2020, 2 June 2020 and 2 December 2020, and to Consob “Call for attention" dated 16 February 2021. The content of these statements, when relevant, has been reported in "Section 5 - Other matters” of the Notes to consolidated accounts Part A - Accounting policies, A.1 General, in the context of the description of the evaluation choices made by the Group as at 31 December 2021. The Consolidated financial statements include the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in shareholders’ equity, the Cash flow statement (compiled using the “indirect method”) and the Notes to the consolidated accounts, together with the Consolidated report on operations and Annexes. The schemes and Notes of the “Consolidated financial statement as at 31 December 2021” are in line with Banca d’Italia templates as prescribed by Circular 262 dated 22 December 2005 (7th update of 29 October 2021) as well as 21 December 2021 communication on impacts of Covid-19 and measures to support the economy, and they present comparative figures, as at 31 December 2020. More specifically, 2020 comparative figures have been recasted, when required, in order to reflect the mentioned Banca d’Italia Circular 262 updates. Main changes relate to (i) the reclassification of sight deposits and current accounts toward Banks and Central Banks into item Cash and cash balances, (ii) the specific and separate disclosure of Financial assets purchased or originated credit impaired, (iii) the disclosure in the tables reporting Covid-19 measures of the loans under moratorium no longer compliant to the Guidelines requirements and not valued as forborne exposure and (iv) the update of the tables related to commissions. Figures in the consolidated accounts and Notes to the consolidated accounts are given in millions of euros, unless otherwise specified. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 149 Notes to the consolidated accounts Part A - Accounting policies A.1 - General Section 1 - Statement of compliance with IFRS These Consolidated financial statements have been prepared in accordance with the IFRS issued by the International Accounting Standards Board (IASB), including the interpretation documents issued by the SIC and the IFRIC, and endorsed by the European Commission up to 31 December 2021, pursuant to EU Regulation No.1606/2002 which was incorporated into Italian legislation through Legislative Decree No.38 of 28 February 2005 (see Section 5 - Other matters). These financial statements are an integral part of the Annual financial statements as required by Art.154-ter, par.1 of the Single Finance Act (Consolidated Law on Finance - TUF, Legislative Decree No.58 of 24 February 1998). In Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), with regard to the banks and financial institutions subject to supervision, Banca d’Italia has established the formats for the financial statements and Notes to the accounts used to prepare these Consolidated financial statements. Banca d’Italia issued on 29 October 2021 the 7th update of its Circular No.262 that amends the formats of certain tables of the Notes to the consolidated accounts and preparation rules with the main objective to align financial statements information with Regulatory reporting (FINREP). Such update has been integrated by the 21 December 2021 Banca d’Italia Communication “Update of integration to Circular No.262 requirements - Banks financial statements: schemes and compilation rules” which has updated the information to be reported with regard to impacts coming from Covid-19 and related relief and support measures. Section 2 - General preparation criteria As mentioned above, these “Consolidated financial statements as at 31 December 2021” have been prepared in accordance with the international accounting standards endorsed by the European Commission. The following documents have been used to interpret and support the application of such accounting standards, even though they have not all been endorsed by the European Commission: • The Conceptual Framework for Financial Reporting; • Implementation Guidance, Basis for Conclusions, IFRICs and the documents prepared by either the IASB (including the IFRS Foundation communication of 27 March 2020 concerning "IFRS9 and Covid-19") or the International Financial Reporting Interpretations Committee (IFRIC) supplementing the IFRS; • Interpretative documents on the application of the IAS/IFRS in Italy prepared by the Organismo Italiano di Contabilità (the Italian Standard Setter; OIC) and Associazione Bancaria Italiana (Italian Banking Association, that is the trade association of Italian banks; ABI); • Coordination Table between Banca d'Italia, Consob ed Ivass with regard to the application of IAS/IFRS, in particular the Document n.9, dated 5 January 2021, Accounting Treatment of tax credits connected with the “Cura Italia” and “Rilancio” Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers (“Trattamento contabile dei crediti d’imposta connessi con i Decreti Legge “Cura Italia” e “Rilancio” acquistati a seguito di cessione da parte dei beneficiari diretti o di precedenti acquirenti”); • ESMA (European Securities and Markets Authority), European Banking Authority, European Central Bank and Consob documents on the application of specific IAS/IFRS provisions also with specific reference to the presentation of the effects arising from Covid-19 pandemic and their effects on the evaluation processes. In particular, it shall be made reference to the ESMA statements 25 March 2020, 20 May 2020, 28 October 2020 and 29 October 2021, to the European Central Bank statements dated 1 April 2020 and 4 December 2020, to the European Banking Authority statements dated 25 March 2020, 2 April 2020, 2 June 2020 and 2 December 2020, and to Consob “Call for attention" dated 16 February 2021. The content of these statements, when relevant, has been reported in "Section 5 - Other matters” of the Notes to consolidated accounts Part A - Accounting policies, A.1 General, in the context of the description of the evaluation choices made by the Group as at 31 December 2021. The Consolidated financial statements include the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in shareholders’ equity, the Cash flow statement (compiled using the “indirect method”) and the Notes to the consolidated accounts, together with the Consolidated report on operations and Annexes. The schemes and Notes of the “Consolidated financial statement as at 31 December 2021” are in line with Banca d’Italia templates as prescribed by Circular 262 dated 22 December 2005 (7th update of 29 October 2021) as well as 21 December 2021 communication on impacts of Covid-19 and measures to support the economy, and they present comparative figures, as at 31 December 2020. More specifically, 2020 comparative figures have been recasted, when required, in order to reflect the mentioned Banca d’Italia Circular 262 updates. Main changes relate to (i) the reclassification of sight deposits and current accounts toward Banks and Central Banks into item Cash and cash balances, (ii) the specific and separate disclosure of Financial assets purchased or originated credit impaired, (iii) the disclosure in the tables reporting Covid-19 measures of the loans under moratorium no longer compliant to the Guidelines requirements and not valued as forborne exposure and (iv) the update of the tables related to commissions. Figures in the consolidated accounts and Notes to the consolidated accounts are given in millions of euros, unless otherwise specified. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 149 Notes to the consolidated accounts Part A - Accounting policies A.1 - General Section 1 - Statement of compliance with IFRS These Consolidated financial statements have been prepared in accordance with the IFRS issued by the International Accounting Standards Board (IASB), including the interpretation documents issued by the SIC and the IFRIC, and endorsed by the European Commission up to 31 December 2021, pursuant to EU Regulation No.1606/2002 which was incorporated into Italian legislation through Legislative Decree No.38 of 28 February 2005 (see Section 5 - Other matters). These financial statements are an integral part of the Annual financial statements as required by Art.154-ter, par.1 of the Single Finance Act (Consolidated Law on Finance - TUF, Legislative Decree No.58 of 24 February 1998). In Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), with regard to the banks and financial institutions subject to supervision, Banca d’Italia has established the formats for the financial statements and Notes to the accounts used to prepare these Consolidated financial statements. Banca d’Italia issued on 29 October 2021 the 7th update of its Circular No.262 that amends the formats of certain tables of the Notes to the consolidated accounts and preparation rules with the main objective to align financial statements information with Regulatory reporting (FINREP). Such update has been integrated by the 21 December 2021 Banca d’Italia Communication “Update of integration to Circular No.262 requirements - Banks financial statements: schemes and compilation rules” which has updated the information to be reported with regard to impacts coming from Covid-19 and related relief and support measures. Section 2 - General preparation criteria As mentioned above, these “Consolidated financial statements as at 31 December 2021” have been prepared in accordance with the international accounting standards endorsed by the European Commission. The following documents have been used to interpret and support the application of such accounting standards, even though they have not all been endorsed by the European Commission: • The Conceptual Framework for Financial Reporting; • Implementation Guidance, Basis for Conclusions, IFRICs and the documents prepared by either the IASB (including the IFRS Foundation communication of 27 March 2020 concerning "IFRS9 and Covid-19") or the International Financial Reporting Interpretations Committee (IFRIC) supplementing the IFRS; • Interpretative documents on the application of the IAS/IFRS in Italy prepared by the Organismo Italiano di Contabilità (the Italian Standard Setter; OIC) and Associazione Bancaria Italiana (Italian Banking Association, that is the trade association of Italian banks; ABI); • Coordination Table between Banca d'Italia, Consob ed Ivass with regard to the application of IAS/IFRS, in particular the Document n.9, dated 5 January 2021, Accounting Treatment of tax credits connected with the “Cura Italia” and “Rilancio” Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers (“Trattamento contabile dei crediti d’imposta connessi con i Decreti Legge “Cura Italia” e “Rilancio” acquistati a seguito di cessione da parte dei beneficiari diretti o di precedenti acquirenti”); • ESMA (European Securities and Markets Authority), European Banking Authority, European Central Bank and Consob documents on the application of specific IAS/IFRS provisions also with specific reference to the presentation of the effects arising from Covid-19 pandemic and their effects on the evaluation processes. In particular, it shall be made reference to the ESMA statements 25 March 2020, 20 May 2020, 28 October 2020 and 29 October 2021, to the European Central Bank statements dated 1 April 2020 and 4 December 2020, to the European Banking Authority statements dated 25 March 2020, 2 April 2020, 2 June 2020 and 2 December 2020, and to Consob “Call for attention" dated 16 February 2021. The content of these statements, when relevant, has been reported in "Section 5 - Other matters” of the Notes to consolidated accounts Part A - Accounting policies, A.1 General, in the context of the description of the evaluation choices made by the Group as at 31 December 2021. The Consolidated financial statements include the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in shareholders’ equity, the Cash flow statement (compiled using the “indirect method”) and the Notes to the consolidated accounts, together with the Consolidated report on operations and Annexes. The schemes and Notes of the “Consolidated financial statement as at 31 December 2021” are in line with Banca d’Italia templates as prescribed by Circular 262 dated 22 December 2005 (7th update of 29 October 2021) as well as 21 December 2021 communication on impacts of Covid-19 and measures to support the economy, and they present comparative figures, as at 31 December 2020. More specifically, 2020 comparative figures have been recasted, when required, in order to reflect the mentioned Banca d’Italia Circular 262 updates. Main changes relate to (i) the reclassification of sight deposits and current accounts toward Banks and Central Banks into item Cash and cash balances, (ii) the specific and separate disclosure of Financial assets purchased or originated credit impaired, (iii) the disclosure in the tables reporting Covid-19 measures of the loans under moratorium no longer compliant to the Guidelines requirements and not valued as forborne exposure and (iv) the update of the tables related to commissions. Figures in the consolidated accounts and Notes to the consolidated accounts are given in millions of euros, unless otherwise specified. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 150 2021 Annual Report and Accounts · UniCredit Risks and uncertainty relating to the use of estimates Under the IFRS, management must make judgments, estimates and assumptions that affect the application of accounting principles and the amounts of assets/liabilities and income and expenses reported in the accounts, as well as the disclosure concerning contingent assets and liabilities. Estimates and related assumptions are based on previous experience and on the available information framework with reference to the current and expected context and have been used to estimate the carrying values of assets and liabilities not readily available from other sources. Estimates and assumptions are regularly reviewed. Any change resulting from these reviews is recognised in the period in which the review was carried out, provided the change only concerns that period. If the review concerns both current and future periods, it is recognised accordingly in both current and future periods. In particular, estimated figures have been used for the recognition and measurement of some of the main items in the Consolidated financial statements as at 31 December 2021, as required by the accounting policies, statements and regulations described above. The current market environment continues to be affected by an increased risk of a lower predictivity of the macro-economic projections arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery which may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macro-economic projections of September 202112 that report that GDP is showing positive growth rate for next years. However, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks, and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. ECB updated its macroeconomic projections in December 202113 highlighting an increase in the uncertainty about the magnitude and the timing of economic recovery. Indeed, the ECB macroeconomic projections published by mid-December have noted that sharply rising rates of coronavirus (Covid-19) infections in several euro area countries led to a renewal of restrictions and heightened uncertainty about the duration of the pandemic. The emergence of the Omicron variant has added to this uncertainty. Moreover, supply bottlenecks have intensified and are expected to last longer, only gradually dissipating from the second quarter of 2022 and fully unwinding by 2023. Compared with the September 2021 projections, the intensified global supply bottlenecks and tighter pandemic-related restrictions have led to a downward revision to growth in the short term. Additionally, ESMA issued a public statement ("European common enforcement priorities for 2021 Annual Financial Reports") in which it reiterated the messages already included in its 2020 Public Statement also with reference to impairment of assets. In the context of persisting uncertainty explained above and considering the aforementioned ESMA communication, UniCredit group has defined different macro-economic scenarios, to be used for the purposes of the evaluation processes of 2021 Consolidated financial statements. In particular, in addition to the "Baseline" scenario, which reflects the expectations considered most likely concerning macro-economic trends, alternative scenarios have been outlined that assume different trends in the main macro-economic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of deferred tax assets, a worst-case scenario ("Downturn") was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios ("Positive" and "Negative" vis-à-vis the “Baseline” scenario) were defined; such alternative scenarios provide for different assessments regarding the expected trend of the parameters that can influence the assessment of the prospective credit risk. The paragraphs below provide a detailed description of the characteristics associated with the above scenarios. Deferred tax assets As shown above and in light of the aforementioned considerations, UniCredit group has defined certain macro-economic scenarios, used for the measurement of deferred tax assets: • Baseline scenario: it is the scenario, prepared in September 2021 and used for UniCredit Unlocked 2022-2024 strategic plan approved by the Board of Directors in the meeting held on 8 December 2021. Such scenario assumes that - in terms of macro-economic conditions - the recovery in the economic activity continues, showing resilience to any renewed intensification of the pandemic. This is consistent with the view that the economic damage of new waves of Covid-19 tends to become progressively smaller. Fiscal policy gradually normalises while remaining supportive and households can count on high savings accumulated during the pandemic. In Western Europe (WE), overall, Countries would be on track for solid expansion in 2022, followed by a slowdown in growth rates towards potential in 2023-2024. Central Europe (CE) and Eastern Europe (EE) economies would be on track for solid expansion in 2022, followed by a slowdown in growth rates in 2023-2024 similarly to Western Europe Countries. In EU-CEE and the Western Balkans the growth rates will be supported also by EU funding. With reference to FX rates, the Baseline scenario envisages a gradual appreciation of the CZK and a mild depreciation for the RON, the HUF and the RSD. 12 European Central Banks Macroeconomic projections September 2021. 13 European Central Banks Macroeconomic projections December 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 150 2021 Annual Report and Accounts · UniCredit Risks and uncertainty relating to the use of estimates Under the IFRS, management must make judgments, estimates and assumptions that affect the application of accounting principles and the amounts of assets/liabilities and income and expenses reported in the accounts, as well as the disclosure concerning contingent assets and liabilities. Estimates and related assumptions are based on previous experience and on the available information framework with reference to the current and expected context and have been used to estimate the carrying values of assets and liabilities not readily available from other sources. Estimates and assumptions are regularly reviewed. Any change resulting from these reviews is recognised in the period in which the review was carried out, provided the change only concerns that period. If the review concerns both current and future periods, it is recognised accordingly in both current and future periods. In particular, estimated figures have been used for the recognition and measurement of some of the main items in the Consolidated financial statements as at 31 December 2021, as required by the accounting policies, statements and regulations described above. The current market environment continues to be affected by an increased risk of a lower predictivity of the macro-economic projections arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery which may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macro-economic projections of September 202112 that report that GDP is showing positive growth rate for next years. However, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks, and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. ECB updated its macroeconomic projections in December 202113 highlighting an increase in the uncertainty about the magnitude and the timing of economic recovery. Indeed, the ECB macroeconomic projections published by mid-December have noted that sharply rising rates of coronavirus (Covid-19) infections in several euro area countries led to a renewal of restrictions and heightened uncertainty about the duration of the pandemic. The emergence of the Omicron variant has added to this uncertainty. Moreover, supply bottlenecks have intensified and are expected to last longer, only gradually dissipating from the second quarter of 2022 and fully unwinding by 2023. Compared with the September 2021 projections, the intensified global supply bottlenecks and tighter pandemic-related restrictions have led to a downward revision to growth in the short term. Additionally, ESMA issued a public statement ("European common enforcement priorities for 2021 Annual Financial Reports") in which it reiterated the messages already included in its 2020 Public Statement also with reference to impairment of assets. In the context of persisting uncertainty explained above and considering the aforementioned ESMA communication, UniCredit group has defined different macro-economic scenarios, to be used for the purposes of the evaluation processes of 2021 Consolidated financial statements. In particular, in addition to the "Baseline" scenario, which reflects the expectations considered most likely concerning macro-economic trends, alternative scenarios have been outlined that assume different trends in the main macro-economic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of deferred tax assets, a worst-case scenario ("Downturn") was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios ("Positive" and "Negative" vis-à-vis the “Baseline” scenario) were defined; such alternative scenarios provide for different assessments regarding the expected trend of the parameters that can influence the assessment of the prospective credit risk. The paragraphs below provide a detailed description of the characteristics associated with the above scenarios. Deferred tax assets As shown above and in light of the aforementioned considerations, UniCredit group has defined certain macro-economic scenarios, used for the measurement of deferred tax assets: • Baseline scenario: it is the scenario, prepared in September 2021 and used for UniCredit Unlocked 2022-2024 strategic plan approved by the Board of Directors in the meeting held on 8 December 2021. Such scenario assumes that - in terms of macro-economic conditions - the recovery in the economic activity continues, showing resilience to any renewed intensification of the pandemic. This is consistent with the view that the economic damage of new waves of Covid-19 tends to become progressively smaller. Fiscal policy gradually normalises while remaining supportive and households can count on high savings accumulated during the pandemic. In Western Europe (WE), overall, Countries would be on track for solid expansion in 2022, followed by a slowdown in growth rates towards potential in 2023-2024. Central Europe (CE) and Eastern Europe (EE) economies would be on track for solid expansion in 2022, followed by a slowdown in growth rates in 2023-2024 similarly to Western Europe Countries. In EU-CEE and the Western Balkans the growth rates will be supported also by EU funding. With reference to FX rates, the Baseline scenario envisages a gradual appreciation of the CZK and a mild depreciation for the RON, the HUF and the RSD. 12 European Central Banks Macroeconomic projections September 2021. 13 European Central Banks Macroeconomic projections December 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 150 2021 Annual Report and Accounts · UniCredit Risks and uncertainty relating to the use of estimates Under the IFRS, management must make judgments, estimates and assumptions that affect the application of accounting principles and the amounts of assets/liabilities and income and expenses reported in the accounts, as well as the disclosure concerning contingent assets and liabilities. Estimates and related assumptions are based on previous experience and on the available information framework with reference to the current and expected context and have been used to estimate the carrying values of assets and liabilities not readily available from other sources. Estimates and assumptions are regularly reviewed. Any change resulting from these reviews is recognised in the period in which the review was carried out, provided the change only concerns that period. If the review concerns both current and future periods, it is recognised accordingly in both current and future periods. In particular, estimated figures have been used for the recognition and measurement of some of the main items in the Consolidated financial statements as at 31 December 2021, as required by the accounting policies, statements and regulations described above. The current market environment continues to be affected by an increased risk of a lower predictivity of the macro-economic projections arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery which may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macro-economic projections of September 202112 that report that GDP is showing positive growth rate for next years. However, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks, and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. ECB updated its macroeconomic projections in December 202113 highlighting an increase in the uncertainty about the magnitude and the timing of economic recovery. Indeed, the ECB macroeconomic projections published by mid-December have noted that sharply rising rates of coronavirus (Covid-19) infections in several euro area countries led to a renewal of restrictions and heightened uncertainty about the duration of the pandemic. The emergence of the Omicron variant has added to this uncertainty. Moreover, supply bottlenecks have intensified and are expected to last longer, only gradually dissipating from the second quarter of 2022 and fully unwinding by 2023. Compared with the September 2021 projections, the intensified global supply bottlenecks and tighter pandemic-related restrictions have led to a downward revision to growth in the short term. Additionally, ESMA issued a public statement ("European common enforcement priorities for 2021 Annual Financial Reports") in which it reiterated the messages already included in its 2020 Public Statement also with reference to impairment of assets. In the context of persisting uncertainty explained above and considering the aforementioned ESMA communication, UniCredit group has defined different macro-economic scenarios, to be used for the purposes of the evaluation processes of 2021 Consolidated financial statements. In particular, in addition to the "Baseline" scenario, which reflects the expectations considered most likely concerning macro-economic trends, alternative scenarios have been outlined that assume different trends in the main macro-economic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of deferred tax assets, a worst-case scenario ("Downturn") was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios ("Positive" and "Negative" vis-à-vis the “Baseline” scenario) were defined; such alternative scenarios provide for different assessments regarding the expected trend of the parameters that can influence the assessment of the prospective credit risk. The paragraphs below provide a detailed description of the characteristics associated with the above scenarios. Deferred tax assets As shown above and in light of the aforementioned considerations, UniCredit group has defined certain macro-economic scenarios, used for the measurement of deferred tax assets: • Baseline scenario: it is the scenario, prepared in September 2021 and used for UniCredit Unlocked 2022-2024 strategic plan approved by the Board of Directors in the meeting held on 8 December 2021. Such scenario assumes that - in terms of macro-economic conditions - the recovery in the economic activity continues, showing resilience to any renewed intensification of the pandemic. This is consistent with the view that the economic damage of new waves of Covid-19 tends to become progressively smaller. Fiscal policy gradually normalises while remaining supportive and households can count on high savings accumulated during the pandemic. In Western Europe (WE), overall, Countries would be on track for solid expansion in 2022, followed by a slowdown in growth rates towards potential in 2023-2024. Central Europe (CE) and Eastern Europe (EE) economies would be on track for solid expansion in 2022, followed by a slowdown in growth rates in 2023-2024 similarly to Western Europe Countries. In EU-CEE and the Western Balkans the growth rates will be supported also by EU funding. With reference to FX rates, the Baseline scenario envisages a gradual appreciation of the CZK and a mild depreciation for the RON, the HUF and the RSD. 12 European Central Banks Macroeconomic projections September 2021. 13 European Central Banks Macroeconomic projections December 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 150 2021 Annual Report and Accounts · UniCredit Risks and uncertainty relating to the use of estimates Under the IFRS, management must make judgments, estimates and assumptions that affect the application of accounting principles and the amounts of assets/liabilities and income and expenses reported in the accounts, as well as the disclosure concerning contingent assets and liabilities. Estimates and related assumptions are based on previous experience and on the available information framework with reference to the current and expected context and have been used to estimate the carrying values of assets and liabilities not readily available from other sources. Estimates and assumptions are regularly reviewed. Any change resulting from these reviews is recognised in the period in which the review was carried out, provided the change only concerns that period. If the review concerns both current and future periods, it is recognised accordingly in both current and future periods. In particular, estimated figures have been used for the recognition and measurement of some of the main items in the Consolidated financial statements as at 31 December 2021, as required by the accounting policies, statements and regulations described above. The current market environment continues to be affected by an increased risk of a lower predictivity of the macro-economic projections arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery which may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macro-economic projections of September 202112 that report that GDP is showing positive growth rate for next years. However, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks, and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. ECB updated its macroeconomic projections in December 202113 highlighting an increase in the uncertainty about the magnitude and the timing of economic recovery. Indeed, the ECB macroeconomic projections published by mid-December have noted that sharply rising rates of coronavirus (Covid-19) infections in several euro area countries led to a renewal of restrictions and heightened uncertainty about the duration of the pandemic. The emergence of the Omicron variant has added to this uncertainty. Moreover, supply bottlenecks have intensified and are expected to last longer, only gradually dissipating from the second quarter of 2022 and fully unwinding by 2023. Compared with the September 2021 projections, the intensified global supply bottlenecks and tighter pandemic-related restrictions have led to a downward revision to growth in the short term. Additionally, ESMA issued a public statement ("European common enforcement priorities for 2021 Annual Financial Reports") in which it reiterated the messages already included in its 2020 Public Statement also with reference to impairment of assets. In the context of persisting uncertainty explained above and considering the aforementioned ESMA communication, UniCredit group has defined different macro-economic scenarios, to be used for the purposes of the evaluation processes of 2021 Consolidated financial statements. In particular, in addition to the "Baseline" scenario, which reflects the expectations considered most likely concerning macro-economic trends, alternative scenarios have been outlined that assume different trends in the main macro-economic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of deferred tax assets, a worst-case scenario ("Downturn") was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios ("Positive" and "Negative" vis-à-vis the “Baseline” scenario) were defined; such alternative scenarios provide for different assessments regarding the expected trend of the parameters that can influence the assessment of the prospective credit risk. The paragraphs below provide a detailed description of the characteristics associated with the above scenarios. Deferred tax assets As shown above and in light of the aforementioned considerations, UniCredit group has defined certain macro-economic scenarios, used for the measurement of deferred tax assets: • Baseline scenario: it is the scenario, prepared in September 2021 and used for UniCredit Unlocked 2022-2024 strategic plan approved by the Board of Directors in the meeting held on 8 December 2021. Such scenario assumes that - in terms of macro-economic conditions - the recovery in the economic activity continues, showing resilience to any renewed intensification of the pandemic. This is consistent with the view that the economic damage of new waves of Covid-19 tends to become progressively smaller. Fiscal policy gradually normalises while remaining supportive and households can count on high savings accumulated during the pandemic. In Western Europe (WE), overall, Countries would be on track for solid expansion in 2022, followed by a slowdown in growth rates towards potential in 2023-2024. Central Europe (CE) and Eastern Europe (EE) economies would be on track for solid expansion in 2022, followed by a slowdown in growth rates in 2023-2024 similarly to Western Europe Countries. In EU-CEE and the Western Balkans the growth rates will be supported also by EU funding. With reference to FX rates, the Baseline scenario envisages a gradual appreciation of the CZK and a mild depreciation for the RON, the HUF and the RSD. 12 European Central Banks Macroeconomic projections September 2021. 13 European Central Banks Macroeconomic projections December 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 150 2021 Annual Report and Accounts · UniCredit Risks and uncertainty relating to the use of estimates Under the IFRS, management must make judgments, estimates and assumptions that affect the application of accounting principles and the amounts of assets/liabilities and income and expenses reported in the accounts, as well as the disclosure concerning contingent assets and liabilities. Estimates and related assumptions are based on previous experience and on the available information framework with reference to the current and expected context and have been used to estimate the carrying values of assets and liabilities not readily available from other sources. Estimates and assumptions are regularly reviewed. Any change resulting from these reviews is recognised in the period in which the review was carried out, provided the change only concerns that period. If the review concerns both current and future periods, it is recognised accordingly in both current and future periods. In particular, estimated figures have been used for the recognition and measurement of some of the main items in the Consolidated financial statements as at 31 December 2021, as required by the accounting policies, statements and regulations described above. The current market environment continues to be affected by an increased risk of a lower predictivity of the macro-economic projections arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery which may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macro-economic projections of September 202112 that report that GDP is showing positive growth rate for next years. However, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks, and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. ECB updated its macroeconomic projections in December 202113 highlighting an increase in the uncertainty about the magnitude and the timing of economic recovery. Indeed, the ECB macroeconomic projections published by mid-December have noted that sharply rising rates of coronavirus (Covid-19) infections in several euro area countries led to a renewal of restrictions and heightened uncertainty about the duration of the pandemic. The emergence of the Omicron variant has added to this uncertainty. Moreover, supply bottlenecks have intensified and are expected to last longer, only gradually dissipating from the second quarter of 2022 and fully unwinding by 2023. Compared with the September 2021 projections, the intensified global supply bottlenecks and tighter pandemic-related restrictions have led to a downward revision to growth in the short term. Additionally, ESMA issued a public statement ("European common enforcement priorities for 2021 Annual Financial Reports") in which it reiterated the messages already included in its 2020 Public Statement also with reference to impairment of assets. In the context of persisting uncertainty explained above and considering the aforementioned ESMA communication, UniCredit group has defined different macro-economic scenarios, to be used for the purposes of the evaluation processes of 2021 Consolidated financial statements. In particular, in addition to the "Baseline" scenario, which reflects the expectations considered most likely concerning macro-economic trends, alternative scenarios have been outlined that assume different trends in the main macro-economic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of deferred tax assets, a worst-case scenario ("Downturn") was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios ("Positive" and "Negative" vis-à-vis the “Baseline” scenario) were defined; such alternative scenarios provide for different assessments regarding the expected trend of the parameters that can influence the assessment of the prospective credit risk. The paragraphs below provide a detailed description of the characteristics associated with the above scenarios. Deferred tax assets As shown above and in light of the aforementioned considerations, UniCredit group has defined certain macro-economic scenarios, used for the measurement of deferred tax assets: • Baseline scenario: it is the scenario, prepared in September 2021 and used for UniCredit Unlocked 2022-2024 strategic plan approved by the Board of Directors in the meeting held on 8 December 2021. Such scenario assumes that - in terms of macro-economic conditions - the recovery in the economic activity continues, showing resilience to any renewed intensification of the pandemic. This is consistent with the view that the economic damage of new waves of Covid-19 tends to become progressively smaller. Fiscal policy gradually normalises while remaining supportive and households can count on high savings accumulated during the pandemic. In Western Europe (WE), overall, Countries would be on track for solid expansion in 2022, followed by a slowdown in growth rates towards potential in 2023-2024. Central Europe (CE) and Eastern Europe (EE) economies would be on track for solid expansion in 2022, followed by a slowdown in growth rates in 2023-2024 similarly to Western Europe Countries. In EU-CEE and the Western Balkans the growth rates will be supported also by EU funding. With reference to FX rates, the Baseline scenario envisages a gradual appreciation of the CZK and a mild depreciation for the RON, the HUF and the RSD. 12 European Central Banks Macroeconomic projections September 2021. 13 European Central Banks Macroeconomic projections December 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 151 For the RUB, the exchange rate vs. the EUR is expected to increase somewhat in 2022, fall slightly in 2023 and remain broadly stable in 2024. Inflation would decelerate as supply-demand imbalances triggered by the pandemic fade and base effects lower energy inflation. Central banks are willing to look through temporary inflation spikes and remain accommodative as fiscal stimulus works its way through the economy. In terms of monetary policy, in the Eurozone, PEPP purchases are phased out in 2022 but traditional Quantitative Easing (QE) remains supportive. The phasing-out of stimulus is likely to happen gradually, consistently with the muted inflation outlook over the medium term. In CE & EE, in 2022, the scenario assumes further hikes in almost all countries, while in Russia a first reduction in interest rates is expected as inflation declines. With reference to Interest rate, as central banks remain firmly accommodative, short term and MM rates are expected to remain close to present levels. Along with the pick-up in economic activity and the more general improvement in risk sentiment, long maturity yields are expected to rise, more pronouncedly in the US while more gradually in the Eurozone. This will lead to somewhat steeper curves. The 10Y BTP-Bund spread is expected to stabilise as less supportive stance from the ECB is offset by improving macro fundamentals, amid still abundant liquidity. • “Downturn” scenario: this scenario embeds stressed macro-economic conditions when compared to the “Baseline” considering the possible implications of having to live with Covid-19 well into the medium term. The motivation is twofold: (i) first, vaccinations, although critical in the fight, will not, on their own, put an end to the virus’s circulation; (ii) second, constraints on vaccine availability and vaccine hesitancy mean that there is likely to be a significant number of unvaccinated people for an extended period. In addition to the direct demand impact of reduced mobility, structural changes will be needed to minimise the impact of the virus over the medium term. For WE, the narrative above translates into a Lower GDP growth due to the vaccine hesitancy assumed to persist in the medium term. After GDP rebound in 2021, WE Countries GDP would grow 1%, 1.2% and 0.4% less than Baseline in 2022-2024 respectively. For CE & EE the growth shock is assumed to be ca. -1% for the region in 2022 while the vaccination campaign is expected to speed up, and approx. respectively -0.8% for CE and -0.6% for EE in 2023 with the majority of the population covered by the vaccine. In 2024 the real GDP is expected to stay -0.4% below the Baseline. For Russian Ruble, it is assumed a depreciation over time, considering the typical volatility in the downturn economic cycles. With reference to inflation, faster growth in demand relative to the output expansion in second half 2021 could create a risk of a moderate inflation pressure (including higher oil prices) and allow businesses to pass higher costs onto consumers. That risk is partially mitigated by economic slowdown, so that inflation level in most of the Countries assumed approx. +0.3% compared to Baseline. With reference to Interest rate, no tensions are assumed in MM rates with a flattish 3M Euribor till 2024, considering a lower banking loan dynamic and still accommodative ECB measures. The weak recovery in economic activity together with the QE provided by central banks slow down significantly the repricing in long-maturity yields and contribute to keeping the curve relatively flat. BTP credit spread continues to benefit from the supportive ECB stance in the short term, but it is expected to widen over time considering the increase of public debt and the tapering of ECB measures in 2023 and 2024. The table below shows the most significant macro-economic data characterising the "Baseline" and "Downturn" scenarios, also in order to highlight the different assumptions underlying these scenarios. INTEREST RATES AND YIELD ENVIRONMENT, EoP% 2021(*) 2022 2023 2024 Baseline Scenario 2021 Euribor 3M (bps) (54) (52) (50) (47) Mid Swap 10Y (bps) 15 30 45 60 Spread BTP - Bund (bps) 90 125 125 125 Real GDP growth y/y, % Italy 6.1 4.2 1.9 1.2 Germany 3.0 5.0 2.2 1.7 Central Europe(**) 4.4 4.8 3.1 2.6 Eastern Europe(***) 4.7 3.0 2.7 2.6 Downturn Scenario 2021 Euribor 3M (bps) - (54) (54) (54) Mid Swap 10Y (bps) - 20 25 30 Spread BTP - Bund (bps) - 150 180 200 Real GDP growth y/y, % Italy - 3.2 0.7 0.8 Germany - 4.0 1.0 1.3 Central Europe(**) - 3.8 2.3 2.2 Eastern Europe(***) - 2.0 2.1 2.2 Notes: (*) Data 2021 are shown only for the Baseline scenario for information purposes, data referred to the real GDP for Western Europe and the CEE are forecasts prepared during the fourth quarter of 2021. (**) Includes Austria. (***) Include Russia. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 151 For the RUB, the exchange rate vs. the EUR is expected to increase somewhat in 2022, fall slightly in 2023 and remain broadly stable in 2024. Inflation would decelerate as supply-demand imbalances triggered by the pandemic fade and base effects lower energy inflation. Central banks are willing to look through temporary inflation spikes and remain accommodative as fiscal stimulus works its way through the economy. In terms of monetary policy, in the Eurozone, PEPP purchases are phased out in 2022 but traditional Quantitative Easing (QE) remains supportive. The phasing-out of stimulus is likely to happen gradually, consistently with the muted inflation outlook over the medium term. In CE & EE, in 2022, the scenario assumes further hikes in almost all countries, while in Russia a first reduction in interest rates is expected as inflation declines. With reference to Interest rate, as central banks remain firmly accommodative, short term and MM rates are expected to remain close to present levels. Along with the pick-up in economic activity and the more general improvement in risk sentiment, long maturity yields are expected to rise, more pronouncedly in the US while more gradually in the Eurozone. This will lead to somewhat steeper curves. The 10Y BTP-Bund spread is expected to stabilise as less supportive stance from the ECB is offset by improving macro fundamentals, amid still abundant liquidity. • “Downturn” scenario: this scenario embeds stressed macro-economic conditions when compared to the “Baseline” considering the possible implications of having to live with Covid-19 well into the medium term. The motivation is twofold: (i) first, vaccinations, although critical in the fight, will not, on their own, put an end to the virus’s circulation; (ii) second, constraints on vaccine availability and vaccine hesitancy mean that there is likely to be a significant number of unvaccinated people for an extended period. In addition to the direct demand impact of reduced mobility, structural changes will be needed to minimise the impact of the virus over the medium term. For WE, the narrative above translates into a Lower GDP growth due to the vaccine hesitancy assumed to persist in the medium term. After GDP rebound in 2021, WE Countries GDP would grow 1%, 1.2% and 0.4% less than Baseline in 2022-2024 respectively. For CE & EE the growth shock is assumed to be ca. -1% for the region in 2022 while the vaccination campaign is expected to speed up, and approx. respectively -0.8% for CE and -0.6% for EE in 2023 with the majority of the population covered by the vaccine. In 2024 the real GDP is expected to stay -0.4% below the Baseline. For Russian Ruble, it is assumed a depreciation over time, considering the typical volatility in the downturn economic cycles. With reference to inflation, faster growth in demand relative to the output expansion in second half 2021 could create a risk of a moderate inflation pressure (including higher oil prices) and allow businesses to pass higher costs onto consumers. That risk is partially mitigated by economic slowdown, so that inflation level in most of the Countries assumed approx. +0.3% compared to Baseline. With reference to Interest rate, no tensions are assumed in MM rates with a flattish 3M Euribor till 2024, considering a lower banking loan dynamic and still accommodative ECB measures. The weak recovery in economic activity together with the QE provided by central banks slow down significantly the repricing in long-maturity yields and contribute to keeping the curve relatively flat. BTP credit spread continues to benefit from the supportive ECB stance in the short term, but it is expected to widen over time considering the increase of public debt and the tapering of ECB measures in 2023 and 2024. The table below shows the most significant macro-economic data characterising the "Baseline" and "Downturn" scenarios, also in order to highlight the different assumptions underlying these scenarios. INTEREST RATES AND YIELD ENVIRONMENT, EoP% 2021(*) 2022 2023 2024 Baseline Scenario 2021 Euribor 3M (bps) (54) (52) (50) (47) Mid Swap 10Y (bps) 15 30 45 60 Spread BTP - Bund (bps) 90 125 125 125 Real GDP growth y/y, % Italy 6.1 4.2 1.9 1.2 Germany 3.0 5.0 2.2 1.7 Central Europe(**) 4.4 4.8 3.1 2.6 Eastern Europe(***) 4.7 3.0 2.7 2.6 Downturn Scenario 2021 Euribor 3M (bps) - (54) (54) (54) Mid Swap 10Y (bps) - 20 25 30 Spread BTP - Bund (bps) - 150 180 200 Real GDP growth y/y, % Italy - 3.2 0.7 0.8 Germany - 4.0 1.0 1.3 Central Europe(**) - 3.8 2.3 2.2 Eastern Europe(***) - 2.0 2.1 2.2 Notes: (*) Data 2021 are shown only for the Baseline scenario for information purposes, data referred to the real GDP for Western Europe and the CEE are forecasts prepared during the fourth quarter of 2021. (**) Includes Austria. (***) Include Russia. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 151 For the RUB, the exchange rate vs. the EUR is expected to increase somewhat in 2022, fall slightly in 2023 and remain broadly stable in 2024. Inflation would decelerate as supply-demand imbalances triggered by the pandemic fade and base effects lower energy inflation. Central banks are willing to look through temporary inflation spikes and remain accommodative as fiscal stimulus works its way through the economy. In terms of monetary policy, in the Eurozone, PEPP purchases are phased out in 2022 but traditional Quantitative Easing (QE) remains supportive. The phasing-out of stimulus is likely to happen gradually, consistently with the muted inflation outlook over the medium term. In CE & EE, in 2022, the scenario assumes further hikes in almost all countries, while in Russia a first reduction in interest rates is expected as inflation declines. With reference to Interest rate, as central banks remain firmly accommodative, short term and MM rates are expected to remain close to present levels. Along with the pick-up in economic activity and the more general improvement in risk sentiment, long maturity yields are expected to rise, more pronouncedly in the US while more gradually in the Eurozone. This will lead to somewhat steeper curves. The 10Y BTP-Bund spread is expected to stabilise as less supportive stance from the ECB is offset by improving macro fundamentals, amid still abundant liquidity. • “Downturn” scenario: this scenario embeds stressed macro-economic conditions when compared to the “Baseline” considering the possible implications of having to live with Covid-19 well into the medium term. The motivation is twofold: (i) first, vaccinations, although critical in the fight, will not, on their own, put an end to the virus’s circulation; (ii) second, constraints on vaccine availability and vaccine hesitancy mean that there is likely to be a significant number of unvaccinated people for an extended period. In addition to the direct demand impact of reduced mobility, structural changes will be needed to minimise the impact of the virus over the medium term. For WE, the narrative above translates into a Lower GDP growth due to the vaccine hesitancy assumed to persist in the medium term. After GDP rebound in 2021, WE Countries GDP would grow 1%, 1.2% and 0.4% less than Baseline in 2022-2024 respectively. For CE & EE the growth shock is assumed to be ca. -1% for the region in 2022 while the vaccination campaign is expected to speed up, and approx. respectively -0.8% for CE and -0.6% for EE in 2023 with the majority of the population covered by the vaccine. In 2024 the real GDP is expected to stay -0.4% below the Baseline. For Russian Ruble, it is assumed a depreciation over time, considering the typical volatility in the downturn economic cycles. With reference to inflation, faster growth in demand relative to the output expansion in second half 2021 could create a risk of a moderate inflation pressure (including higher oil prices) and allow businesses to pass higher costs onto consumers. That risk is partially mitigated by economic slowdown, so that inflation level in most of the Countries assumed approx. +0.3% compared to Baseline. With reference to Interest rate, no tensions are assumed in MM rates with a flattish 3M Euribor till 2024, considering a lower banking loan dynamic and still accommodative ECB measures. The weak recovery in economic activity together with the QE provided by central banks slow down significantly the repricing in long-maturity yields and contribute to keeping the curve relatively flat. BTP credit spread continues to benefit from the supportive ECB stance in the short term, but it is expected to widen over time considering the increase of public debt and the tapering of ECB measures in 2023 and 2024. The table below shows the most significant macro-economic data characterising the "Baseline" and "Downturn" scenarios, also in order to highlight the different assumptions underlying these scenarios. INTEREST RATES AND YIELD ENVIRONMENT, EoP% 2021(*) 2022 2023 2024 Baseline Scenario 2021 Euribor 3M (bps) (54) (52) (50) (47) Mid Swap 10Y (bps) 15 30 45 60 Spread BTP - Bund (bps) 90 125 125 125 Real GDP growth y/y, % Italy 6.1 4.2 1.9 1.2 Germany 3.0 5.0 2.2 1.7 Central Europe(**) 4.4 4.8 3.1 2.6 Eastern Europe(***) 4.7 3.0 2.7 2.6 Downturn Scenario 2021 Euribor 3M (bps) - (54) (54) (54) Mid Swap 10Y (bps) - 20 25 30 Spread BTP - Bund (bps) - 150 180 200 Real GDP growth y/y, % Italy - 3.2 0.7 0.8 Germany - 4.0 1.0 1.3 Central Europe(**) - 3.8 2.3 2.2 Eastern Europe(***) - 2.0 2.1 2.2 Notes: (*) Data 2021 are shown only for the Baseline scenario for information purposes, data referred to the real GDP for Western Europe and the CEE are forecasts prepared during the fourth quarter of 2021. (**) Includes Austria. (***) Include Russia. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 151 For the RUB, the exchange rate vs. the EUR is expected to increase somewhat in 2022, fall slightly in 2023 and remain broadly stable in 2024. Inflation would decelerate as supply-demand imbalances triggered by the pandemic fade and base effects lower energy inflation. Central banks are willing to look through temporary inflation spikes and remain accommodative as fiscal stimulus works its way through the economy. In terms of monetary policy, in the Eurozone, PEPP purchases are phased out in 2022 but traditional Quantitative Easing (QE) remains supportive. The phasing-out of stimulus is likely to happen gradually, consistently with the muted inflation outlook over the medium term. In CE & EE, in 2022, the scenario assumes further hikes in almost all countries, while in Russia a first reduction in interest rates is expected as inflation declines. With reference to Interest rate, as central banks remain firmly accommodative, short term and MM rates are expected to remain close to present levels. Along with the pick-up in economic activity and the more general improvement in risk sentiment, long maturity yields are expected to rise, more pronouncedly in the US while more gradually in the Eurozone. This will lead to somewhat steeper curves. The 10Y BTP-Bund spread is expected to stabilise as less supportive stance from the ECB is offset by improving macro fundamentals, amid still abundant liquidity. • “Downturn” scenario: this scenario embeds stressed macro-economic conditions when compared to the “Baseline” considering the possible implications of having to live with Covid-19 well into the medium term. The motivation is twofold: (i) first, vaccinations, although critical in the fight, will not, on their own, put an end to the virus’s circulation; (ii) second, constraints on vaccine availability and vaccine hesitancy mean that there is likely to be a significant number of unvaccinated people for an extended period. In addition to the direct demand impact of reduced mobility, structural changes will be needed to minimise the impact of the virus over the medium term. For WE, the narrative above translates into a Lower GDP growth due to the vaccine hesitancy assumed to persist in the medium term. After GDP rebound in 2021, WE Countries GDP would grow 1%, 1.2% and 0.4% less than Baseline in 2022-2024 respectively. For CE & EE the growth shock is assumed to be ca. -1% for the region in 2022 while the vaccination campaign is expected to speed up, and approx. respectively -0.8% for CE and -0.6% for EE in 2023 with the majority of the population covered by the vaccine. In 2024 the real GDP is expected to stay -0.4% below the Baseline. For Russian Ruble, it is assumed a depreciation over time, considering the typical volatility in the downturn economic cycles. With reference to inflation, faster growth in demand relative to the output expansion in second half 2021 could create a risk of a moderate inflation pressure (including higher oil prices) and allow businesses to pass higher costs onto consumers. That risk is partially mitigated by economic slowdown, so that inflation level in most of the Countries assumed approx. +0.3% compared to Baseline. With reference to Interest rate, no tensions are assumed in MM rates with a flattish 3M Euribor till 2024, considering a lower banking loan dynamic and still accommodative ECB measures. The weak recovery in economic activity together with the QE provided by central banks slow down significantly the repricing in long-maturity yields and contribute to keeping the curve relatively flat. BTP credit spread continues to benefit from the supportive ECB stance in the short term, but it is expected to widen over time considering the increase of public debt and the tapering of ECB measures in 2023 and 2024. The table below shows the most significant macro-economic data characterising the "Baseline" and "Downturn" scenarios, also in order to highlight the different assumptions underlying these scenarios. INTEREST RATES AND YIELD ENVIRONMENT, EoP% 2021(*) 2022 2023 2024 Baseline Scenario 2021 Euribor 3M (bps) (54) (52) (50) (47) Mid Swap 10Y (bps) 15 30 45 60 Spread BTP - Bund (bps) 90 125 125 125 Real GDP growth y/y, % Italy 6.1 4.2 1.9 1.2 Germany 3.0 5.0 2.2 1.7 Central Europe(**) 4.4 4.8 3.1 2.6 Eastern Europe(***) 4.7 3.0 2.7 2.6 Downturn Scenario 2021 Euribor 3M (bps) - (54) (54) (54) Mid Swap 10Y (bps) - 20 25 30 Spread BTP - Bund (bps) - 150 180 200 Real GDP growth y/y, % Italy - 3.2 0.7 0.8 Germany - 4.0 1.0 1.3 Central Europe(**) - 3.8 2.3 2.2 Eastern Europe(***) - 2.0 2.1 2.2 Notes: (*) Data 2021 are shown only for the Baseline scenario for information purposes, data referred to the real GDP for Western Europe and the CEE are forecasts prepared during the fourth quarter of 2021. (**) Includes Austria. (***) Include Russia. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 151 For the RUB, the exchange rate vs. the EUR is expected to increase somewhat in 2022, fall slightly in 2023 and remain broadly stable in 2024. Inflation would decelerate as supply-demand imbalances triggered by the pandemic fade and base effects lower energy inflation. Central banks are willing to look through temporary inflation spikes and remain accommodative as fiscal stimulus works its way through the economy. In terms of monetary policy, in the Eurozone, PEPP purchases are phased out in 2022 but traditional Quantitative Easing (QE) remains supportive. The phasing-out of stimulus is likely to happen gradually, consistently with the muted inflation outlook over the medium term. In CE & EE, in 2022, the scenario assumes further hikes in almost all countries, while in Russia a first reduction in interest rates is expected as inflation declines. With reference to Interest rate, as central banks remain firmly accommodative, short term and MM rates are expected to remain close to present levels. Along with the pick-up in economic activity and the more general improvement in risk sentiment, long maturity yields are expected to rise, more pronouncedly in the US while more gradually in the Eurozone. This will lead to somewhat steeper curves. The 10Y BTP-Bund spread is expected to stabilise as less supportive stance from the ECB is offset by improving macro fundamentals, amid still abundant liquidity. • “Downturn” scenario: this scenario embeds stressed macro-economic conditions when compared to the “Baseline” considering the possible implications of having to live with Covid-19 well into the medium term. The motivation is twofold: (i) first, vaccinations, although critical in the fight, will not, on their own, put an end to the virus’s circulation; (ii) second, constraints on vaccine availability and vaccine hesitancy mean that there is likely to be a significant number of unvaccinated people for an extended period. In addition to the direct demand impact of reduced mobility, structural changes will be needed to minimise the impact of the virus over the medium term. For WE, the narrative above translates into a Lower GDP growth due to the vaccine hesitancy assumed to persist in the medium term. After GDP rebound in 2021, WE Countries GDP would grow 1%, 1.2% and 0.4% less than Baseline in 2022-2024 respectively. For CE & EE the growth shock is assumed to be ca. -1% for the region in 2022 while the vaccination campaign is expected to speed up, and approx. respectively -0.8% for CE and -0.6% for EE in 2023 with the majority of the population covered by the vaccine. In 2024 the real GDP is expected to stay -0.4% below the Baseline. For Russian Ruble, it is assumed a depreciation over time, considering the typical volatility in the downturn economic cycles. With reference to inflation, faster growth in demand relative to the output expansion in second half 2021 could create a risk of a moderate inflation pressure (including higher oil prices) and allow businesses to pass higher costs onto consumers. That risk is partially mitigated by economic slowdown, so that inflation level in most of the Countries assumed approx. +0.3% compared to Baseline. With reference to Interest rate, no tensions are assumed in MM rates with a flattish 3M Euribor till 2024, considering a lower banking loan dynamic and still accommodative ECB measures. The weak recovery in economic activity together with the QE provided by central banks slow down significantly the repricing in long-maturity yields and contribute to keeping the curve relatively flat. BTP credit spread continues to benefit from the supportive ECB stance in the short term, but it is expected to widen over time considering the increase of public debt and the tapering of ECB measures in 2023 and 2024. The table below shows the most significant macro-economic data characterising the "Baseline" and "Downturn" scenarios, also in order to highlight the different assumptions underlying these scenarios. INTEREST RATES AND YIELD ENVIRONMENT, EoP% 2021(*) 2022 2023 2024 Baseline Scenario 2021 Euribor 3M (bps) (54) (52) (50) (47) Mid Swap 10Y (bps) 15 30 45 60 Spread BTP - Bund (bps) 90 125 125 125 Real GDP growth y/y, % Italy 6.1 4.2 1.9 1.2 Germany 3.0 5.0 2.2 1.7 Central Europe(**) 4.4 4.8 3.1 2.6 Eastern Europe(***) 4.7 3.0 2.7 2.6 Downturn Scenario 2021 Euribor 3M (bps) - (54) (54) (54) Mid Swap 10Y (bps) - 20 25 30 Spread BTP - Bund (bps) - 150 180 200 Real GDP growth y/y, % Italy - 3.2 0.7 0.8 Germany - 4.0 1.0 1.3 Central Europe(**) - 3.8 2.3 2.2 Eastern Europe(***) - 2.0 2.1 2.2 Notes: (*) Data 2021 are shown only for the Baseline scenario for information purposes, data referred to the real GDP for Western Europe and the CEE are forecasts prepared during the fourth quarter of 2021. (**) Includes Austria. (***) Include Russia. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 152 2021 Annual Report and Accounts · UniCredit With reference to deferred tax assets, the measurement is significantly influenced by assumptions on future cash flows, which in turn incorporate assumptions on the evolution of the macro-economic scenario. As a result, for the measurement and with the aim to reflect the aforementioned degree of uncertainty, pursuant to requirements of ESMA public statement of 29 October 2021, both the scenarios outlined above have been considered. In particular, the future cash flows have been estimated by weighting the “Baseline” scenario and the “Downturn” scenario with a higher probability attributed to the “Baseline” scenario (respectively 60% vs. 40%). Moreover, additional parameters bring impacts on the measurement of DTA such as the volatility of expected results and the confidence level used. In the context of measurement as at 31 December 2021, the evaluation of these items has been updated through the redetermination, if needed, of the underlying parameters. For further information on the methodology, results and base assumptions used in deferred tax assets, refer to section “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) of the Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets. The results of these evaluation might be subject to changes not foreseeable at the moment depending on the evolution of the pandemic, the effect of the relief measures adopted and, ultimately, on the degree of the economic recovery. Possible deviations of the actual economic recovery compared with the assumptions which form the basis of the evaluations might require a re-determination of the parameters used for valuation purposes, in particular with regard to the future cash flows, and the consequent change in the valuation. Measurement of Real estate portfolio Always with reference to the valuation of the non-financial assets, it is worth to mention the valuation of the real estate portfolio which has become relevant following the adoption, starting from 31 December 2019, of the fair value model (assets held for investment) and the revaluation model (assets used in the business). For these assets, on 31 December 2021, the fair value has been determined through external appraisals. Further information has been reported in the paragraph “Section 9 - Property, plant and equipment - Item 90” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. In this context it is worth to note that, in the upcoming financial years, fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures will be lifted. Measurement of Credit Exposures With reference to credit exposures, the slow-down of the economic activity resulting from the pandemic Covid-19 and the associated lock-down measures have also affected the estimates on their recoverability and the calculation of the associated loan loss provisions. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, among other factors, forward looking information and the expected evolution of the macro-economic scenario. In this context, the Group has updated macro-economic scenarios as at 31 December 2021 considering, as already underlined, in addition to a Baseline scenario (as already mentioned), a negative scenario and a positive scenario by applying proper weighting factors. • Negative Scenario, it reflects the assumption that Virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, the US is assumed to adopt less stringent measures than the eurozone countries, similarly to the previous waves. It is also assumed that some sort of herd immunity is only reached towards the end of the forecasting horizon. Given these assumptions, the Covid-19 crisis dampens private demand by more than assumed in the Baseline scenario, and scarring effects are larger. Governments will keep expansionary policies in place to mitigate the effects of the pandemic and to preserve social stability. After expanding by 5% in 2021, Eurozone GDP would: (i) increase by 2.6% in 2022 (-1.7% compared to Baseline), (ii) followed by an expansion of only 0.4% in 2023 (-1.7%) and 0.7% in 2024 (-1.0%), then (iii) by the end of 2024, remain well below its pre-crisis trend line. Disinflationary forces materialise, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, Eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. Policy rates remain unchanged in the US through 2023 and in the Euro area throughout the whole forecast horizon. BTP credit spreads continue to benefit from the supportive ECB stance. In this scenario, the spread BTP-Bund is assumed to remain 35bp above the Baseline until 2023, and around 15bp in the following year. • Positive Scenario: it reflects the assumption that roll-out of vaccines boosts confidence and GDP by more than in Baseline scenario. A materially stronger pace of recovery is driven by households, which significantly reduce precautionary savings, and firms which forcefully resume investment plans put on hold. Driven by pent-up demand, Eurozone GDP is back to its pre-pandemic trend line by the end of 2022. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 152 2021 Annual Report and Accounts · UniCredit With reference to deferred tax assets, the measurement is significantly influenced by assumptions on future cash flows, which in turn incorporate assumptions on the evolution of the macro-economic scenario. As a result, for the measurement and with the aim to reflect the aforementioned degree of uncertainty, pursuant to requirements of ESMA public statement of 29 October 2021, both the scenarios outlined above have been considered. In particular, the future cash flows have been estimated by weighting the “Baseline” scenario and the “Downturn” scenario with a higher probability attributed to the “Baseline” scenario (respectively 60% vs. 40%). Moreover, additional parameters bring impacts on the measurement of DTA such as the volatility of expected results and the confidence level used. In the context of measurement as at 31 December 2021, the evaluation of these items has been updated through the redetermination, if needed, of the underlying parameters. For further information on the methodology, results and base assumptions used in deferred tax assets, refer to section “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) of the Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets. The results of these evaluation might be subject to changes not foreseeable at the moment depending on the evolution of the pandemic, the effect of the relief measures adopted and, ultimately, on the degree of the economic recovery. Possible deviations of the actual economic recovery compared with the assumptions which form the basis of the evaluations might require a re-determination of the parameters used for valuation purposes, in particular with regard to the future cash flows, and the consequent change in the valuation. Measurement of Real estate portfolio Always with reference to the valuation of the non-financial assets, it is worth to mention the valuation of the real estate portfolio which has become relevant following the adoption, starting from 31 December 2019, of the fair value model (assets held for investment) and the revaluation model (assets used in the business). For these assets, on 31 December 2021, the fair value has been determined through external appraisals. Further information has been reported in the paragraph “Section 9 - Property, plant and equipment - Item 90” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. In this context it is worth to note that, in the upcoming financial years, fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures will be lifted. Measurement of Credit Exposures With reference to credit exposures, the slow-down of the economic activity resulting from the pandemic Covid-19 and the associated lock-down measures have also affected the estimates on their recoverability and the calculation of the associated loan loss provisions. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, among other factors, forward looking information and the expected evolution of the macro-economic scenario. In this context, the Group has updated macro-economic scenarios as at 31 December 2021 considering, as already underlined, in addition to a Baseline scenario (as already mentioned), a negative scenario and a positive scenario by applying proper weighting factors. • Negative Scenario, it reflects the assumption that Virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, the US is assumed to adopt less stringent measures than the eurozone countries, similarly to the previous waves. It is also assumed that some sort of herd immunity is only reached towards the end of the forecasting horizon. Given these assumptions, the Covid-19 crisis dampens private demand by more than assumed in the Baseline scenario, and scarring effects are larger. Governments will keep expansionary policies in place to mitigate the effects of the pandemic and to preserve social stability. After expanding by 5% in 2021, Eurozone GDP would: (i) increase by 2.6% in 2022 (-1.7% compared to Baseline), (ii) followed by an expansion of only 0.4% in 2023 (-1.7%) and 0.7% in 2024 (-1.0%), then (iii) by the end of 2024, remain well below its pre-crisis trend line. Disinflationary forces materialise, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, Eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. Policy rates remain unchanged in the US through 2023 and in the Euro area throughout the whole forecast horizon. BTP credit spreads continue to benefit from the supportive ECB stance. In this scenario, the spread BTP-Bund is assumed to remain 35bp above the Baseline until 2023, and around 15bp in the following year. • Positive Scenario: it reflects the assumption that roll-out of vaccines boosts confidence and GDP by more than in Baseline scenario. A materially stronger pace of recovery is driven by households, which significantly reduce precautionary savings, and firms which forcefully resume investment plans put on hold. Driven by pent-up demand, Eurozone GDP is back to its pre-pandemic trend line by the end of 2022. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 152 2021 Annual Report and Accounts · UniCredit With reference to deferred tax assets, the measurement is significantly influenced by assumptions on future cash flows, which in turn incorporate assumptions on the evolution of the macro-economic scenario. As a result, for the measurement and with the aim to reflect the aforementioned degree of uncertainty, pursuant to requirements of ESMA public statement of 29 October 2021, both the scenarios outlined above have been considered. In particular, the future cash flows have been estimated by weighting the “Baseline” scenario and the “Downturn” scenario with a higher probability attributed to the “Baseline” scenario (respectively 60% vs. 40%). Moreover, additional parameters bring impacts on the measurement of DTA such as the volatility of expected results and the confidence level used. In the context of measurement as at 31 December 2021, the evaluation of these items has been updated through the redetermination, if needed, of the underlying parameters. For further information on the methodology, results and base assumptions used in deferred tax assets, refer to section “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) of the Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets. The results of these evaluation might be subject to changes not foreseeable at the moment depending on the evolution of the pandemic, the effect of the relief measures adopted and, ultimately, on the degree of the economic recovery. Possible deviations of the actual economic recovery compared with the assumptions which form the basis of the evaluations might require a re-determination of the parameters used for valuation purposes, in particular with regard to the future cash flows, and the consequent change in the valuation. Measurement of Real estate portfolio Always with reference to the valuation of the non-financial assets, it is worth to mention the valuation of the real estate portfolio which has become relevant following the adoption, starting from 31 December 2019, of the fair value model (assets held for investment) and the revaluation model (assets used in the business). For these assets, on 31 December 2021, the fair value has been determined through external appraisals. Further information has been reported in the paragraph “Section 9 - Property, plant and equipment - Item 90” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. In this context it is worth to note that, in the upcoming financial years, fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures will be lifted. Measurement of Credit Exposures With reference to credit exposures, the slow-down of the economic activity resulting from the pandemic Covid-19 and the associated lock-down measures have also affected the estimates on their recoverability and the calculation of the associated loan loss provisions. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, among other factors, forward looking information and the expected evolution of the macro-economic scenario. In this context, the Group has updated macro-economic scenarios as at 31 December 2021 considering, as already underlined, in addition to a Baseline scenario (as already mentioned), a negative scenario and a positive scenario by applying proper weighting factors. • Negative Scenario, it reflects the assumption that Virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, the US is assumed to adopt less stringent measures than the eurozone countries, similarly to the previous waves. It is also assumed that some sort of herd immunity is only reached towards the end of the forecasting horizon. Given these assumptions, the Covid-19 crisis dampens private demand by more than assumed in the Baseline scenario, and scarring effects are larger. Governments will keep expansionary policies in place to mitigate the effects of the pandemic and to preserve social stability. After expanding by 5% in 2021, Eurozone GDP would: (i) increase by 2.6% in 2022 (-1.7% compared to Baseline), (ii) followed by an expansion of only 0.4% in 2023 (-1.7%) and 0.7% in 2024 (-1.0%), then (iii) by the end of 2024, remain well below its pre-crisis trend line. Disinflationary forces materialise, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, Eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. Policy rates remain unchanged in the US through 2023 and in the Euro area throughout the whole forecast horizon. BTP credit spreads continue to benefit from the supportive ECB stance. In this scenario, the spread BTP-Bund is assumed to remain 35bp above the Baseline until 2023, and around 15bp in the following year. • Positive Scenario: it reflects the assumption that roll-out of vaccines boosts confidence and GDP by more than in Baseline scenario. A materially stronger pace of recovery is driven by households, which significantly reduce precautionary savings, and firms which forcefully resume investment plans put on hold. Driven by pent-up demand, Eurozone GDP is back to its pre-pandemic trend line by the end of 2022. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 152 2021 Annual Report and Accounts · UniCredit With reference to deferred tax assets, the measurement is significantly influenced by assumptions on future cash flows, which in turn incorporate assumptions on the evolution of the macro-economic scenario. As a result, for the measurement and with the aim to reflect the aforementioned degree of uncertainty, pursuant to requirements of ESMA public statement of 29 October 2021, both the scenarios outlined above have been considered. In particular, the future cash flows have been estimated by weighting the “Baseline” scenario and the “Downturn” scenario with a higher probability attributed to the “Baseline” scenario (respectively 60% vs. 40%). Moreover, additional parameters bring impacts on the measurement of DTA such as the volatility of expected results and the confidence level used. In the context of measurement as at 31 December 2021, the evaluation of these items has been updated through the redetermination, if needed, of the underlying parameters. For further information on the methodology, results and base assumptions used in deferred tax assets, refer to section “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) of the Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets. The results of these evaluation might be subject to changes not foreseeable at the moment depending on the evolution of the pandemic, the effect of the relief measures adopted and, ultimately, on the degree of the economic recovery. Possible deviations of the actual economic recovery compared with the assumptions which form the basis of the evaluations might require a re-determination of the parameters used for valuation purposes, in particular with regard to the future cash flows, and the consequent change in the valuation. Measurement of Real estate portfolio Always with reference to the valuation of the non-financial assets, it is worth to mention the valuation of the real estate portfolio which has become relevant following the adoption, starting from 31 December 2019, of the fair value model (assets held for investment) and the revaluation model (assets used in the business). For these assets, on 31 December 2021, the fair value has been determined through external appraisals. Further information has been reported in the paragraph “Section 9 - Property, plant and equipment - Item 90” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. In this context it is worth to note that, in the upcoming financial years, fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures will be lifted. Measurement of Credit Exposures With reference to credit exposures, the slow-down of the economic activity resulting from the pandemic Covid-19 and the associated lock-down measures have also affected the estimates on their recoverability and the calculation of the associated loan loss provisions. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, among other factors, forward looking information and the expected evolution of the macro-economic scenario. In this context, the Group has updated macro-economic scenarios as at 31 December 2021 considering, as already underlined, in addition to a Baseline scenario (as already mentioned), a negative scenario and a positive scenario by applying proper weighting factors. • Negative Scenario, it reflects the assumption that Virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, the US is assumed to adopt less stringent measures than the eurozone countries, similarly to the previous waves. It is also assumed that some sort of herd immunity is only reached towards the end of the forecasting horizon. Given these assumptions, the Covid-19 crisis dampens private demand by more than assumed in the Baseline scenario, and scarring effects are larger. Governments will keep expansionary policies in place to mitigate the effects of the pandemic and to preserve social stability. After expanding by 5% in 2021, Eurozone GDP would: (i) increase by 2.6% in 2022 (-1.7% compared to Baseline), (ii) followed by an expansion of only 0.4% in 2023 (-1.7%) and 0.7% in 2024 (-1.0%), then (iii) by the end of 2024, remain well below its pre-crisis trend line. Disinflationary forces materialise, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, Eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. Policy rates remain unchanged in the US through 2023 and in the Euro area throughout the whole forecast horizon. BTP credit spreads continue to benefit from the supportive ECB stance. In this scenario, the spread BTP-Bund is assumed to remain 35bp above the Baseline until 2023, and around 15bp in the following year. • Positive Scenario: it reflects the assumption that roll-out of vaccines boosts confidence and GDP by more than in Baseline scenario. A materially stronger pace of recovery is driven by households, which significantly reduce precautionary savings, and firms which forcefully resume investment plans put on hold. Driven by pent-up demand, Eurozone GDP is back to its pre-pandemic trend line by the end of 2022. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 152 2021 Annual Report and Accounts · UniCredit With reference to deferred tax assets, the measurement is significantly influenced by assumptions on future cash flows, which in turn incorporate assumptions on the evolution of the macro-economic scenario. As a result, for the measurement and with the aim to reflect the aforementioned degree of uncertainty, pursuant to requirements of ESMA public statement of 29 October 2021, both the scenarios outlined above have been considered. In particular, the future cash flows have been estimated by weighting the “Baseline” scenario and the “Downturn” scenario with a higher probability attributed to the “Baseline” scenario (respectively 60% vs. 40%). Moreover, additional parameters bring impacts on the measurement of DTA such as the volatility of expected results and the confidence level used. In the context of measurement as at 31 December 2021, the evaluation of these items has been updated through the redetermination, if needed, of the underlying parameters. For further information on the methodology, results and base assumptions used in deferred tax assets, refer to section “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) of the Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets. The results of these evaluation might be subject to changes not foreseeable at the moment depending on the evolution of the pandemic, the effect of the relief measures adopted and, ultimately, on the degree of the economic recovery. Possible deviations of the actual economic recovery compared with the assumptions which form the basis of the evaluations might require a re-determination of the parameters used for valuation purposes, in particular with regard to the future cash flows, and the consequent change in the valuation. Measurement of Real estate portfolio Always with reference to the valuation of the non-financial assets, it is worth to mention the valuation of the real estate portfolio which has become relevant following the adoption, starting from 31 December 2019, of the fair value model (assets held for investment) and the revaluation model (assets used in the business). For these assets, on 31 December 2021, the fair value has been determined through external appraisals. Further information has been reported in the paragraph “Section 9 - Property, plant and equipment - Item 90” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. In this context it is worth to note that, in the upcoming financial years, fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures will be lifted. Measurement of Credit Exposures With reference to credit exposures, the slow-down of the economic activity resulting from the pandemic Covid-19 and the associated lock-down measures have also affected the estimates on their recoverability and the calculation of the associated loan loss provisions. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, among other factors, forward looking information and the expected evolution of the macro-economic scenario. In this context, the Group has updated macro-economic scenarios as at 31 December 2021 considering, as already underlined, in addition to a Baseline scenario (as already mentioned), a negative scenario and a positive scenario by applying proper weighting factors. • Negative Scenario, it reflects the assumption that Virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, the US is assumed to adopt less stringent measures than the eurozone countries, similarly to the previous waves. It is also assumed that some sort of herd immunity is only reached towards the end of the forecasting horizon. Given these assumptions, the Covid-19 crisis dampens private demand by more than assumed in the Baseline scenario, and scarring effects are larger. Governments will keep expansionary policies in place to mitigate the effects of the pandemic and to preserve social stability. After expanding by 5% in 2021, Eurozone GDP would: (i) increase by 2.6% in 2022 (-1.7% compared to Baseline), (ii) followed by an expansion of only 0.4% in 2023 (-1.7%) and 0.7% in 2024 (-1.0%), then (iii) by the end of 2024, remain well below its pre-crisis trend line. Disinflationary forces materialise, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, Eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. Policy rates remain unchanged in the US through 2023 and in the Euro area throughout the whole forecast horizon. BTP credit spreads continue to benefit from the supportive ECB stance. In this scenario, the spread BTP-Bund is assumed to remain 35bp above the Baseline until 2023, and around 15bp in the following year. • Positive Scenario: it reflects the assumption that roll-out of vaccines boosts confidence and GDP by more than in Baseline scenario. A materially stronger pace of recovery is driven by households, which significantly reduce precautionary savings, and firms which forcefully resume investment plans put on hold. Driven by pent-up demand, Eurozone GDP is back to its pre-pandemic trend line by the end of 2022. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 153 Governments progressively scale back their support measures. In this scenario, Eurozone GDP grows by 5.8% in 2022 (+1.5% compared to Baseline); by 3.6% in 2023 (+1.5%); by 2.5% in 2024 (+0.8%). The difference between the potential and actual GDP (output gap) closes by the end of 2022. Core inflation moves higher, mainly boosted by price increases in sectors most hit by the pandemic while supply bottlenecks last for longer. Over the forecasting horizon, Eurozone headline inflation settles at around 2%, a level in line with the ECB’s definition of price stability. Central banks retain an accommodative stance but less than in Baseline projections. The improved economic outlook benefits BTPs, whose spread remains tighter compared to the Vaseline. Particularly, the 10Y BTP-Bund spread is expected to be 25bp lower than the Baseline in 2022 and 45 bps lower in the following two years. For details refer to table below. INTEREST RATES AND YIELD ENVIRONMENT, EoP%(*) 2022 2023 2024 Negative Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 15 20 40 Spread BTP - Bund (bps) 160 160 140 Real GDP growth y/y, % Italy 2.3 - - Germany 3.0 0.2 0.4 Central Europe(**) 2.9 1.2 1.5 Eastern Europe(***) 1.6 1.3 1.8 Positive Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 45 60 65 Spread BTP - Bund (bps) 100 80 80 Real GDP growth y/y, % Italy 5.6 3.3 2.1 Germany 6.7 3.9 3.1 Central Europe(**) 6.2 4.8 3.4 Eastern Europe(***) 4.2 3.9 3.2 Notes: (*) For Baseline Scenario data refer to the table above. (**) Includes Austria (***) Include Russia. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the base scenario and the positive scenario have been kept at 55% and 5% respectively. For additional information on the measurement of credit exposure refer to the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. As well as for other assets, in this case the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, among other factors, the ability of the customers to service their debt once moratoria measures will expire. In addition, adjustments to the loan loss provisions, might derive from the occurrence of a macro-economic scenario different from the one estimated for the calculation of the credit risk parameters or by the prevalence on the market of non-performing exposures of prices different from those used in the measurement. Finally, the evolution of the real estate market could impact on the value of properties received as collateral and may require an adjustment to the loan loss provisions. Other measurements The following additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 153 Governments progressively scale back their support measures. In this scenario, Eurozone GDP grows by 5.8% in 2022 (+1.5% compared to Baseline); by 3.6% in 2023 (+1.5%); by 2.5% in 2024 (+0.8%). The difference between the potential and actual GDP (output gap) closes by the end of 2022. Core inflation moves higher, mainly boosted by price increases in sectors most hit by the pandemic while supply bottlenecks last for longer. Over the forecasting horizon, Eurozone headline inflation settles at around 2%, a level in line with the ECB’s definition of price stability. Central banks retain an accommodative stance but less than in Baseline projections. The improved economic outlook benefits BTPs, whose spread remains tighter compared to the Vaseline. Particularly, the 10Y BTP-Bund spread is expected to be 25bp lower than the Baseline in 2022 and 45 bps lower in the following two years. For details refer to table below. INTEREST RATES AND YIELD ENVIRONMENT, EoP%(*) 2022 2023 2024 Negative Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 15 20 40 Spread BTP - Bund (bps) 160 160 140 Real GDP growth y/y, % Italy 2.3 - - Germany 3.0 0.2 0.4 Central Europe(**) 2.9 1.2 1.5 Eastern Europe(***) 1.6 1.3 1.8 Positive Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 45 60 65 Spread BTP - Bund (bps) 100 80 80 Real GDP growth y/y, % Italy 5.6 3.3 2.1 Germany 6.7 3.9 3.1 Central Europe(**) 6.2 4.8 3.4 Eastern Europe(***) 4.2 3.9 3.2 Notes: (*) For Baseline Scenario data refer to the table above. (**) Includes Austria (***) Include Russia. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the base scenario and the positive scenario have been kept at 55% and 5% respectively. For additional information on the measurement of credit exposure refer to the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. As well as for other assets, in this case the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, among other factors, the ability of the customers to service their debt once moratoria measures will expire. In addition, adjustments to the loan loss provisions, might derive from the occurrence of a macro-economic scenario different from the one estimated for the calculation of the credit risk parameters or by the prevalence on the market of non-performing exposures of prices different from those used in the measurement. Finally, the evolution of the real estate market could impact on the value of properties received as collateral and may require an adjustment to the loan loss provisions. Other measurements The following additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 153 Governments progressively scale back their support measures. In this scenario, Eurozone GDP grows by 5.8% in 2022 (+1.5% compared to Baseline); by 3.6% in 2023 (+1.5%); by 2.5% in 2024 (+0.8%). The difference between the potential and actual GDP (output gap) closes by the end of 2022. Core inflation moves higher, mainly boosted by price increases in sectors most hit by the pandemic while supply bottlenecks last for longer. Over the forecasting horizon, Eurozone headline inflation settles at around 2%, a level in line with the ECB’s definition of price stability. Central banks retain an accommodative stance but less than in Baseline projections. The improved economic outlook benefits BTPs, whose spread remains tighter compared to the Vaseline. Particularly, the 10Y BTP-Bund spread is expected to be 25bp lower than the Baseline in 2022 and 45 bps lower in the following two years. For details refer to table below. INTEREST RATES AND YIELD ENVIRONMENT, EoP%(*) 2022 2023 2024 Negative Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 15 20 40 Spread BTP - Bund (bps) 160 160 140 Real GDP growth y/y, % Italy 2.3 - - Germany 3.0 0.2 0.4 Central Europe(**) 2.9 1.2 1.5 Eastern Europe(***) 1.6 1.3 1.8 Positive Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 45 60 65 Spread BTP - Bund (bps) 100 80 80 Real GDP growth y/y, % Italy 5.6 3.3 2.1 Germany 6.7 3.9 3.1 Central Europe(**) 6.2 4.8 3.4 Eastern Europe(***) 4.2 3.9 3.2 Notes: (*) For Baseline Scenario data refer to the table above. (**) Includes Austria (***) Include Russia. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the base scenario and the positive scenario have been kept at 55% and 5% respectively. For additional information on the measurement of credit exposure refer to the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. As well as for other assets, in this case the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, among other factors, the ability of the customers to service their debt once moratoria measures will expire. In addition, adjustments to the loan loss provisions, might derive from the occurrence of a macro-economic scenario different from the one estimated for the calculation of the credit risk parameters or by the prevalence on the market of non-performing exposures of prices different from those used in the measurement. Finally, the evolution of the real estate market could impact on the value of properties received as collateral and may require an adjustment to the loan loss provisions. Other measurements The following additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 153 Governments progressively scale back their support measures. In this scenario, Eurozone GDP grows by 5.8% in 2022 (+1.5% compared to Baseline); by 3.6% in 2023 (+1.5%); by 2.5% in 2024 (+0.8%). The difference between the potential and actual GDP (output gap) closes by the end of 2022. Core inflation moves higher, mainly boosted by price increases in sectors most hit by the pandemic while supply bottlenecks last for longer. Over the forecasting horizon, Eurozone headline inflation settles at around 2%, a level in line with the ECB’s definition of price stability. Central banks retain an accommodative stance but less than in Baseline projections. The improved economic outlook benefits BTPs, whose spread remains tighter compared to the Vaseline. Particularly, the 10Y BTP-Bund spread is expected to be 25bp lower than the Baseline in 2022 and 45 bps lower in the following two years. For details refer to table below. INTEREST RATES AND YIELD ENVIRONMENT, EoP%(*) 2022 2023 2024 Negative Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 15 20 40 Spread BTP - Bund (bps) 160 160 140 Real GDP growth y/y, % Italy 2.3 - - Germany 3.0 0.2 0.4 Central Europe(**) 2.9 1.2 1.5 Eastern Europe(***) 1.6 1.3 1.8 Positive Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 45 60 65 Spread BTP - Bund (bps) 100 80 80 Real GDP growth y/y, % Italy 5.6 3.3 2.1 Germany 6.7 3.9 3.1 Central Europe(**) 6.2 4.8 3.4 Eastern Europe(***) 4.2 3.9 3.2 Notes: (*) For Baseline Scenario data refer to the table above. (**) Includes Austria (***) Include Russia. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the base scenario and the positive scenario have been kept at 55% and 5% respectively. For additional information on the measurement of credit exposure refer to the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. As well as for other assets, in this case the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, among other factors, the ability of the customers to service their debt once moratoria measures will expire. In addition, adjustments to the loan loss provisions, might derive from the occurrence of a macro-economic scenario different from the one estimated for the calculation of the credit risk parameters or by the prevalence on the market of non-performing exposures of prices different from those used in the measurement. Finally, the evolution of the real estate market could impact on the value of properties received as collateral and may require an adjustment to the loan loss provisions. Other measurements The following additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 153 Governments progressively scale back their support measures. In this scenario, Eurozone GDP grows by 5.8% in 2022 (+1.5% compared to Baseline); by 3.6% in 2023 (+1.5%); by 2.5% in 2024 (+0.8%). The difference between the potential and actual GDP (output gap) closes by the end of 2022. Core inflation moves higher, mainly boosted by price increases in sectors most hit by the pandemic while supply bottlenecks last for longer. Over the forecasting horizon, Eurozone headline inflation settles at around 2%, a level in line with the ECB’s definition of price stability. Central banks retain an accommodative stance but less than in Baseline projections. The improved economic outlook benefits BTPs, whose spread remains tighter compared to the Vaseline. Particularly, the 10Y BTP-Bund spread is expected to be 25bp lower than the Baseline in 2022 and 45 bps lower in the following two years. For details refer to table below. INTEREST RATES AND YIELD ENVIRONMENT, EoP%(*) 2022 2023 2024 Negative Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 15 20 40 Spread BTP - Bund (bps) 160 160 140 Real GDP growth y/y, % Italy 2.3 - - Germany 3.0 0.2 0.4 Central Europe(**) 2.9 1.2 1.5 Eastern Europe(***) 1.6 1.3 1.8 Positive Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 45 60 65 Spread BTP - Bund (bps) 100 80 80 Real GDP growth y/y, % Italy 5.6 3.3 2.1 Germany 6.7 3.9 3.1 Central Europe(**) 6.2 4.8 3.4 Eastern Europe(***) 4.2 3.9 3.2 Notes: (*) For Baseline Scenario data refer to the table above. (**) Includes Austria (***) Include Russia. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the base scenario and the positive scenario have been kept at 55% and 5% respectively. For additional information on the measurement of credit exposure refer to the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. As well as for other assets, in this case the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, among other factors, the ability of the customers to service their debt once moratoria measures will expire. In addition, adjustments to the loan loss provisions, might derive from the occurrence of a macro-economic scenario different from the one estimated for the calculation of the credit risk parameters or by the prevalence on the market of non-performing exposures of prices different from those used in the measurement. Finally, the evolution of the real estate market could impact on the value of properties received as collateral and may require an adjustment to the loan loss provisions. Other measurements The following additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 154 2021 Annual Report and Accounts · UniCredit While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Group and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Group operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Group operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Directors observed the emergence of Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Governments. The Directors have considered these circumstances in the assessments of significant items recognised in the Consolidated financial statements as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Group will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the document Consolidated financial statements as at 31 December 2021 was prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the periods 2022-2024. Based upon the aforementioned evaluations, the main regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the actual figures as at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); (iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistently with such evidence the Directors intend to propose in 2022 to the Shareholders’ Meeting to authorise the distribution of a remuneration, in part in cash and in part through shares buyback. Furthermore, on the basis of the Strategic plan, such distributions, consistently with the organic capital generation of each relevant year, are expected to progressively increase in 2023-2024. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. Section 3 - Consolidation scope and methods The consolidation criteria and principles used to prepare the Consolidated financial statements as at 31 December 2021 are described below. Consolidated accounts For the preparation of the Consolidated financial statements as at 31 December 2021 the following sources have been used: • the parent company UniCredit S.p.A. accounts as at 31 December 2021; • the accounts as at 31 December 2021, approved by the competent bodies and functions, of the other fully consolidated subsidiaries duly reclassified and adjusted to take account of consolidation needs and, where necessary, to align them to the Group accounting principles; • the sub-consolidated Accounts as at 31 December 2021 of Nuova Compagnia di Partecipazioni Group, including Nuova Compagnia di Partecipazioni S.p.A. (formerly Compagnia Italpetroli S.p.A.) and its direct and indirect subsidiaries. Amounts in foreign currencies are converted at closing exchange rates in the balance sheet, whereas the average exchange rate for the year is used for the income statement. The accounts and explanatory notes of the main fully consolidated subsidiaries prepared under IIAS/IFRS are audited by leading audit companies. Subsidiaries Entities, including structured entities, over which the Group has direct or indirect control, are considered subsidiaries. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 154 2021 Annual Report and Accounts · UniCredit While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Group and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Group operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Group operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Directors observed the emergence of Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Governments. The Directors have considered these circumstances in the assessments of significant items recognised in the Consolidated financial statements as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Group will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the document Consolidated financial statements as at 31 December 2021 was prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the periods 2022-2024. Based upon the aforementioned evaluations, the main regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the actual figures as at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); (iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistently with such evidence the Directors intend to propose in 2022 to the Shareholders’ Meeting to authorise the distribution of a remuneration, in part in cash and in part through shares buyback. Furthermore, on the basis of the Strategic plan, such distributions, consistently with the organic capital generation of each relevant year, are expected to progressively increase in 2023-2024. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. Section 3 - Consolidation scope and methods The consolidation criteria and principles used to prepare the Consolidated financial statements as at 31 December 2021 are described below. Consolidated accounts For the preparation of the Consolidated financial statements as at 31 December 2021 the following sources have been used: • the parent company UniCredit S.p.A. accounts as at 31 December 2021; • the accounts as at 31 December 2021, approved by the competent bodies and functions, of the other fully consolidated subsidiaries duly reclassified and adjusted to take account of consolidation needs and, where necessary, to align them to the Group accounting principles; • the sub-consolidated Accounts as at 31 December 2021 of Nuova Compagnia di Partecipazioni Group, including Nuova Compagnia di Partecipazioni S.p.A. (formerly Compagnia Italpetroli S.p.A.) and its direct and indirect subsidiaries. Amounts in foreign currencies are converted at closing exchange rates in the balance sheet, whereas the average exchange rate for the year is used for the income statement. The accounts and explanatory notes of the main fully consolidated subsidiaries prepared under IIAS/IFRS are audited by leading audit companies. Subsidiaries Entities, including structured entities, over which the Group has direct or indirect control, are considered subsidiaries. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 154 2021 Annual Report and Accounts · UniCredit While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Group and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Group operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Group operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Directors observed the emergence of Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Governments. The Directors have considered these circumstances in the assessments of significant items recognised in the Consolidated financial statements as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Group will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the document Consolidated financial statements as at 31 December 2021 was prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the periods 2022-2024. Based upon the aforementioned evaluations, the main regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the actual figures as at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); (iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistently with such evidence the Directors intend to propose in 2022 to the Shareholders’ Meeting to authorise the distribution of a remuneration, in part in cash and in part through shares buyback. Furthermore, on the basis of the Strategic plan, such distributions, consistently with the organic capital generation of each relevant year, are expected to progressively increase in 2023-2024. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. Section 3 - Consolidation scope and methods The consolidation criteria and principles used to prepare the Consolidated financial statements as at 31 December 2021 are described below. Consolidated accounts For the preparation of the Consolidated financial statements as at 31 December 2021 the following sources have been used: • the parent company UniCredit S.p.A. accounts as at 31 December 2021; • the accounts as at 31 December 2021, approved by the competent bodies and functions, of the other fully consolidated subsidiaries duly reclassified and adjusted to take account of consolidation needs and, where necessary, to align them to the Group accounting principles; • the sub-consolidated Accounts as at 31 December 2021 of Nuova Compagnia di Partecipazioni Group, including Nuova Compagnia di Partecipazioni S.p.A. (formerly Compagnia Italpetroli S.p.A.) and its direct and indirect subsidiaries. Amounts in foreign currencies are converted at closing exchange rates in the balance sheet, whereas the average exchange rate for the year is used for the income statement. The accounts and explanatory notes of the main fully consolidated subsidiaries prepared under IIAS/IFRS are audited by leading audit companies. Subsidiaries Entities, including structured entities, over which the Group has direct or indirect control, are considered subsidiaries. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 154 2021 Annual Report and Accounts · UniCredit While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Group and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Group operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Group operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Directors observed the emergence of Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Governments. The Directors have considered these circumstances in the assessments of significant items recognised in the Consolidated financial statements as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Group will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the document Consolidated financial statements as at 31 December 2021 was prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the periods 2022-2024. Based upon the aforementioned evaluations, the main regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the actual figures as at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); (iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistently with such evidence the Directors intend to propose in 2022 to the Shareholders’ Meeting to authorise the distribution of a remuneration, in part in cash and in part through shares buyback. Furthermore, on the basis of the Strategic plan, such distributions, consistently with the organic capital generation of each relevant year, are expected to progressively increase in 2023-2024. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. Section 3 - Consolidation scope and methods The consolidation criteria and principles used to prepare the Consolidated financial statements as at 31 December 2021 are described below. Consolidated accounts For the preparation of the Consolidated financial statements as at 31 December 2021 the following sources have been used: • the parent company UniCredit S.p.A. accounts as at 31 December 2021; • the accounts as at 31 December 2021, approved by the competent bodies and functions, of the other fully consolidated subsidiaries duly reclassified and adjusted to take account of consolidation needs and, where necessary, to align them to the Group accounting principles; • the sub-consolidated Accounts as at 31 December 2021 of Nuova Compagnia di Partecipazioni Group, including Nuova Compagnia di Partecipazioni S.p.A. (formerly Compagnia Italpetroli S.p.A.) and its direct and indirect subsidiaries. Amounts in foreign currencies are converted at closing exchange rates in the balance sheet, whereas the average exchange rate for the year is used for the income statement. The accounts and explanatory notes of the main fully consolidated subsidiaries prepared under IIAS/IFRS are audited by leading audit companies. Subsidiaries Entities, including structured entities, over which the Group has direct or indirect control, are considered subsidiaries. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 154 2021 Annual Report and Accounts · UniCredit While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Group and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Group operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Group operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Directors observed the emergence of Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Governments. The Directors have considered these circumstances in the assessments of significant items recognised in the Consolidated financial statements as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Group will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the document Consolidated financial statements as at 31 December 2021 was prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the periods 2022-2024. Based upon the aforementioned evaluations, the main regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the actual figures as at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); (iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistently with such evidence the Directors intend to propose in 2022 to the Shareholders’ Meeting to authorise the distribution of a remuneration, in part in cash and in part through shares buyback. Furthermore, on the basis of the Strategic plan, such distributions, consistently with the organic capital generation of each relevant year, are expected to progressively increase in 2023-2024. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. Section 3 - Consolidation scope and methods The consolidation criteria and principles used to prepare the Consolidated financial statements as at 31 December 2021 are described below. Consolidated accounts For the preparation of the Consolidated financial statements as at 31 December 2021 the following sources have been used: • the parent company UniCredit S.p.A. accounts as at 31 December 2021; • the accounts as at 31 December 2021, approved by the competent bodies and functions, of the other fully consolidated subsidiaries duly reclassified and adjusted to take account of consolidation needs and, where necessary, to align them to the Group accounting principles; • the sub-consolidated Accounts as at 31 December 2021 of Nuova Compagnia di Partecipazioni Group, including Nuova Compagnia di Partecipazioni S.p.A. (formerly Compagnia Italpetroli S.p.A.) and its direct and indirect subsidiaries. Amounts in foreign currencies are converted at closing exchange rates in the balance sheet, whereas the average exchange rate for the year is used for the income statement. The accounts and explanatory notes of the main fully consolidated subsidiaries prepared under IIAS/IFRS are audited by leading audit companies. Subsidiaries Entities, including structured entities, over which the Group has direct or indirect control, are considered subsidiaries. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 155 Control over an entity entails: • the existence of power over the relevant activities; • the exposure to the variability of returns; • the ability to use the power exercised in order to influence the returns to which the Group is exposed. In order to verify the existence of control, the Group considers the following factors: • the purpose and establishment of the investee, in order to identify which are the entity's objectives, the activities that determine its returns and how these activities are governed; • the power, in order to understand whether the Group has contractual rights that attribute the ability to govern the relevant activities; to this end only substantial rights that provide practical ability to govern are considered; • the exposure held in relation to the investee, in order to assess whether the Group has relations with the investee, the returns of which are subject to changes depending on the investee's performance; • the existence of potential (principal - agent) relationships. If the relevant activities are governed through voting rights, the existence of control is verified considering the voting rights held, including the potential ones, and the existence of any shareholders' or other agreements which attribute the right to control the majority of the voting rights, to appoint the majority of the governing body or in any case the power to determine the entity's financial and operating policies. Subsidiaries may also include any “structured entity” in which the voting rights are not significant for establishing control, including special purpose entities and investment funds. In the case of structured entities, the existence of control is ascertained considering both the contractual rights that enable governance of the relevant activities of the entity (or those that contribute most to the results) and the Group's exposure to the variability of returns deriving from these activities. The carrying amount of an equity interest in a fully consolidated entity held by the Parent company or another Group company is eliminated against the recognition of the assets and liabilities of the investee as an offsetting entry to the corresponding portion of net equity of the subsidiary attributable to the Group. Intragroup balances, the off-balance sheet transactions, the income and expenses, and the gain/losses between consolidated companies are eliminated in full, according to the method of consolidation adopted. A subsidiary’s income and expenses are included in the consolidation from the date the Parent acquires the control. On disposal of a subsidiary, its income and expenses are consolidated up to the date of the disposal, i.e. until the Parent ceases to control the subsidiary. The difference between the consideration received of the subsidiary and the carrying amount of its net assets at the same date is recognised in the Income statement under item “280 Gains (Losses) on disposal of investments” for fully consolidated companies. The portion attributable to non-controlling interests is presented in the Balance sheet under item “190 Minorities”, separately from the liabilities and net equity attributable to the Group. In the Income statement, the portion attributable to minorities is also presented separately under item “340 Minorities”. With respect to companies included in the consolidation scope for the first time, the fair value of the cost paid to obtain control of this equity interest, including ancillary expenses, is measured at the acquisition date. The difference between the consideration received of an interest held in a subsidiary and the carrying amount of the net assets is recognised in the Net Equity, if the sale does not entail loss of control. Joint arrangements A joint arrangement is a contractual agreement under the terms of which two or more counterparties arrange to jointly control an entity. Joint control is the contractually agreed sharing of control of an arrangement, which exists only when the decisions about the relevant activities require the unanimous consent of the parties sharing control. According to the standard IFRS11 - Joint Arrangements, such agreements must be classified as Joint Operations or Joint Ventures according to the contractual rights and obligations held by the Group. A Joint Operation is a joint arrangement in which the parties have rights on the assets and obligations with respect to the liabilities of the arrangement. A Joint Venture is a joint arrangement in which the parties have rights on the net assets of the arrangement. The Group has assessed the nature of the joint arrangements and has determined that its jointly controlled equity investments are of the Joint Venture type. These equity investments are recognised using the equity method. Carrying amount of the Joint Ventures is tested in accordance with IAS36 as a single asset, by comparing it with the corresponding recoverable amount (i.e. higher of value in use (VIU) and fair value (FV) less cost to sell). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 155 Control over an entity entails: • the existence of power over the relevant activities; • the exposure to the variability of returns; • the ability to use the power exercised in order to influence the returns to which the Group is exposed. In order to verify the existence of control, the Group considers the following factors: • the purpose and establishment of the investee, in order to identify which are the entity's objectives, the activities that determine its returns and how these activities are governed; • the power, in order to understand whether the Group has contractual rights that attribute the ability to govern the relevant activities; to this end only substantial rights that provide practical ability to govern are considered; • the exposure held in relation to the investee, in order to assess whether the Group has relations with the investee, the returns of which are subject to changes depending on the investee's performance; • the existence of potential (principal - agent) relationships. If the relevant activities are governed through voting rights, the existence of control is verified considering the voting rights held, including the potential ones, and the existence of any shareholders' or other agreements which attribute the right to control the majority of the voting rights, to appoint the majority of the governing body or in any case the power to determine the entity's financial and operating policies. Subsidiaries may also include any “structured entity” in which the voting rights are not significant for establishing control, including special purpose entities and investment funds. In the case of structured entities, the existence of control is ascertained considering both the contractual rights that enable governance of the relevant activities of the entity (or those that contribute most to the results) and the Group's exposure to the variability of returns deriving from these activities. The carrying amount of an equity interest in a fully consolidated entity held by the Parent company or another Group company is eliminated against the recognition of the assets and liabilities of the investee as an offsetting entry to the corresponding portion of net equity of the subsidiary attributable to the Group. Intragroup balances, the off-balance sheet transactions, the income and expenses, and the gain/losses between consolidated companies are eliminated in full, according to the method of consolidation adopted. A subsidiary’s income and expenses are included in the consolidation from the date the Parent acquires the control. On disposal of a subsidiary, its income and expenses are consolidated up to the date of the disposal, i.e. until the Parent ceases to control the subsidiary. The difference between the consideration received of the subsidiary and the carrying amount of its net assets at the same date is recognised in the Income statement under item “280 Gains (Losses) on disposal of investments” for fully consolidated companies. The portion attributable to non-controlling interests is presented in the Balance sheet under item “190 Minorities”, separately from the liabilities and net equity attributable to the Group. In the Income statement, the portion attributable to minorities is also presented separately under item “340 Minorities”. With respect to companies included in the consolidation scope for the first time, the fair value of the cost paid to obtain control of this equity interest, including ancillary expenses, is measured at the acquisition date. The difference between the consideration received of an interest held in a subsidiary and the carrying amount of the net assets is recognised in the Net Equity, if the sale does not entail loss of control. Joint arrangements A joint arrangement is a contractual agreement under the terms of which two or more counterparties arrange to jointly control an entity. Joint control is the contractually agreed sharing of control of an arrangement, which exists only when the decisions about the relevant activities require the unanimous consent of the parties sharing control. According to the standard IFRS11 - Joint Arrangements, such agreements must be classified as Joint Operations or Joint Ventures according to the contractual rights and obligations held by the Group. A Joint Operation is a joint arrangement in which the parties have rights on the assets and obligations with respect to the liabilities of the arrangement. A Joint Venture is a joint arrangement in which the parties have rights on the net assets of the arrangement. The Group has assessed the nature of the joint arrangements and has determined that its jointly controlled equity investments are of the Joint Venture type. These equity investments are recognised using the equity method. Carrying amount of the Joint Ventures is tested in accordance with IAS36 as a single asset, by comparing it with the corresponding recoverable amount (i.e. higher of value in use (VIU) and fair value (FV) less cost to sell). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 155 Control over an entity entails: • the existence of power over the relevant activities; • the exposure to the variability of returns; • the ability to use the power exercised in order to influence the returns to which the Group is exposed. In order to verify the existence of control, the Group considers the following factors: • the purpose and establishment of the investee, in order to identify which are the entity's objectives, the activities that determine its returns and how these activities are governed; • the power, in order to understand whether the Group has contractual rights that attribute the ability to govern the relevant activities; to this end only substantial rights that provide practical ability to govern are considered; • the exposure held in relation to the investee, in order to assess whether the Group has relations with the investee, the returns of which are subject to changes depending on the investee's performance; • the existence of potential (principal - agent) relationships. If the relevant activities are governed through voting rights, the existence of control is verified considering the voting rights held, including the potential ones, and the existence of any shareholders' or other agreements which attribute the right to control the majority of the voting rights, to appoint the majority of the governing body or in any case the power to determine the entity's financial and operating policies. Subsidiaries may also include any “structured entity” in which the voting rights are not significant for establishing control, including special purpose entities and investment funds. In the case of structured entities, the existence of control is ascertained considering both the contractual rights that enable governance of the relevant activities of the entity (or those that contribute most to the results) and the Group's exposure to the variability of returns deriving from these activities. The carrying amount of an equity interest in a fully consolidated entity held by the Parent company or another Group company is eliminated against the recognition of the assets and liabilities of the investee as an offsetting entry to the corresponding portion of net equity of the subsidiary attributable to the Group. Intragroup balances, the off-balance sheet transactions, the income and expenses, and the gain/losses between consolidated companies are eliminated in full, according to the method of consolidation adopted. A subsidiary’s income and expenses are included in the consolidation from the date the Parent acquires the control. On disposal of a subsidiary, its income and expenses are consolidated up to the date of the disposal, i.e. until the Parent ceases to control the subsidiary. The difference between the consideration received of the subsidiary and the carrying amount of its net assets at the same date is recognised in the Income statement under item “280 Gains (Losses) on disposal of investments” for fully consolidated companies. The portion attributable to non-controlling interests is presented in the Balance sheet under item “190 Minorities”, separately from the liabilities and net equity attributable to the Group. In the Income statement, the portion attributable to minorities is also presented separately under item “340 Minorities”. With respect to companies included in the consolidation scope for the first time, the fair value of the cost paid to obtain control of this equity interest, including ancillary expenses, is measured at the acquisition date. The difference between the consideration received of an interest held in a subsidiary and the carrying amount of the net assets is recognised in the Net Equity, if the sale does not entail loss of control. Joint arrangements A joint arrangement is a contractual agreement under the terms of which two or more counterparties arrange to jointly control an entity. Joint control is the contractually agreed sharing of control of an arrangement, which exists only when the decisions about the relevant activities require the unanimous consent of the parties sharing control. According to the standard IFRS11 - Joint Arrangements, such agreements must be classified as Joint Operations or Joint Ventures according to the contractual rights and obligations held by the Group. A Joint Operation is a joint arrangement in which the parties have rights on the assets and obligations with respect to the liabilities of the arrangement. A Joint Venture is a joint arrangement in which the parties have rights on the net assets of the arrangement. The Group has assessed the nature of the joint arrangements and has determined that its jointly controlled equity investments are of the Joint Venture type. These equity investments are recognised using the equity method. Carrying amount of the Joint Ventures is tested in accordance with IAS36 as a single asset, by comparing it with the corresponding recoverable amount (i.e. higher of value in use (VIU) and fair value (FV) less cost to sell). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 155 Control over an entity entails: • the existence of power over the relevant activities; • the exposure to the variability of returns; • the ability to use the power exercised in order to influence the returns to which the Group is exposed. In order to verify the existence of control, the Group considers the following factors: • the purpose and establishment of the investee, in order to identify which are the entity's objectives, the activities that determine its returns and how these activities are governed; • the power, in order to understand whether the Group has contractual rights that attribute the ability to govern the relevant activities; to this end only substantial rights that provide practical ability to govern are considered; • the exposure held in relation to the investee, in order to assess whether the Group has relations with the investee, the returns of which are subject to changes depending on the investee's performance; • the existence of potential (principal - agent) relationships. If the relevant activities are governed through voting rights, the existence of control is verified considering the voting rights held, including the potential ones, and the existence of any shareholders' or other agreements which attribute the right to control the majority of the voting rights, to appoint the majority of the governing body or in any case the power to determine the entity's financial and operating policies. Subsidiaries may also include any “structured entity” in which the voting rights are not significant for establishing control, including special purpose entities and investment funds. In the case of structured entities, the existence of control is ascertained considering both the contractual rights that enable governance of the relevant activities of the entity (or those that contribute most to the results) and the Group's exposure to the variability of returns deriving from these activities. The carrying amount of an equity interest in a fully consolidated entity held by the Parent company or another Group company is eliminated against the recognition of the assets and liabilities of the investee as an offsetting entry to the corresponding portion of net equity of the subsidiary attributable to the Group. Intragroup balances, the off-balance sheet transactions, the income and expenses, and the gain/losses between consolidated companies are eliminated in full, according to the method of consolidation adopted. A subsidiary’s income and expenses are included in the consolidation from the date the Parent acquires the control. On disposal of a subsidiary, its income and expenses are consolidated up to the date of the disposal, i.e. until the Parent ceases to control the subsidiary. The difference between the consideration received of the subsidiary and the carrying amount of its net assets at the same date is recognised in the Income statement under item “280 Gains (Losses) on disposal of investments” for fully consolidated companies. The portion attributable to non-controlling interests is presented in the Balance sheet under item “190 Minorities”, separately from the liabilities and net equity attributable to the Group. In the Income statement, the portion attributable to minorities is also presented separately under item “340 Minorities”. With respect to companies included in the consolidation scope for the first time, the fair value of the cost paid to obtain control of this equity interest, including ancillary expenses, is measured at the acquisition date. The difference between the consideration received of an interest held in a subsidiary and the carrying amount of the net assets is recognised in the Net Equity, if the sale does not entail loss of control. Joint arrangements A joint arrangement is a contractual agreement under the terms of which two or more counterparties arrange to jointly control an entity. Joint control is the contractually agreed sharing of control of an arrangement, which exists only when the decisions about the relevant activities require the unanimous consent of the parties sharing control. According to the standard IFRS11 - Joint Arrangements, such agreements must be classified as Joint Operations or Joint Ventures according to the contractual rights and obligations held by the Group. A Joint Operation is a joint arrangement in which the parties have rights on the assets and obligations with respect to the liabilities of the arrangement. A Joint Venture is a joint arrangement in which the parties have rights on the net assets of the arrangement. The Group has assessed the nature of the joint arrangements and has determined that its jointly controlled equity investments are of the Joint Venture type. These equity investments are recognised using the equity method. Carrying amount of the Joint Ventures is tested in accordance with IAS36 as a single asset, by comparing it with the corresponding recoverable amount (i.e. higher of value in use (VIU) and fair value (FV) less cost to sell). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 155 Control over an entity entails: • the existence of power over the relevant activities; • the exposure to the variability of returns; • the ability to use the power exercised in order to influence the returns to which the Group is exposed. In order to verify the existence of control, the Group considers the following factors: • the purpose and establishment of the investee, in order to identify which are the entity's objectives, the activities that determine its returns and how these activities are governed; • the power, in order to understand whether the Group has contractual rights that attribute the ability to govern the relevant activities; to this end only substantial rights that provide practical ability to govern are considered; • the exposure held in relation to the investee, in order to assess whether the Group has relations with the investee, the returns of which are subject to changes depending on the investee's performance; • the existence of potential (principal - agent) relationships. If the relevant activities are governed through voting rights, the existence of control is verified considering the voting rights held, including the potential ones, and the existence of any shareholders' or other agreements which attribute the right to control the majority of the voting rights, to appoint the majority of the governing body or in any case the power to determine the entity's financial and operating policies. Subsidiaries may also include any “structured entity” in which the voting rights are not significant for establishing control, including special purpose entities and investment funds. In the case of structured entities, the existence of control is ascertained considering both the contractual rights that enable governance of the relevant activities of the entity (or those that contribute most to the results) and the Group's exposure to the variability of returns deriving from these activities. The carrying amount of an equity interest in a fully consolidated entity held by the Parent company or another Group company is eliminated against the recognition of the assets and liabilities of the investee as an offsetting entry to the corresponding portion of net equity of the subsidiary attributable to the Group. Intragroup balances, the off-balance sheet transactions, the income and expenses, and the gain/losses between consolidated companies are eliminated in full, according to the method of consolidation adopted. A subsidiary’s income and expenses are included in the consolidation from the date the Parent acquires the control. On disposal of a subsidiary, its income and expenses are consolidated up to the date of the disposal, i.e. until the Parent ceases to control the subsidiary. The difference between the consideration received of the subsidiary and the carrying amount of its net assets at the same date is recognised in the Income statement under item “280 Gains (Losses) on disposal of investments” for fully consolidated companies. The portion attributable to non-controlling interests is presented in the Balance sheet under item “190 Minorities”, separately from the liabilities and net equity attributable to the Group. In the Income statement, the portion attributable to minorities is also presented separately under item “340 Minorities”. With respect to companies included in the consolidation scope for the first time, the fair value of the cost paid to obtain control of this equity interest, including ancillary expenses, is measured at the acquisition date. The difference between the consideration received of an interest held in a subsidiary and the carrying amount of the net assets is recognised in the Net Equity, if the sale does not entail loss of control. Joint arrangements A joint arrangement is a contractual agreement under the terms of which two or more counterparties arrange to jointly control an entity. Joint control is the contractually agreed sharing of control of an arrangement, which exists only when the decisions about the relevant activities require the unanimous consent of the parties sharing control. According to the standard IFRS11 - Joint Arrangements, such agreements must be classified as Joint Operations or Joint Ventures according to the contractual rights and obligations held by the Group. A Joint Operation is a joint arrangement in which the parties have rights on the assets and obligations with respect to the liabilities of the arrangement. A Joint Venture is a joint arrangement in which the parties have rights on the net assets of the arrangement. The Group has assessed the nature of the joint arrangements and has determined that its jointly controlled equity investments are of the Joint Venture type. These equity investments are recognised using the equity method. Carrying amount of the Joint Ventures is tested in accordance with IAS36 as a single asset, by comparing it with the corresponding recoverable amount (i.e. higher of value in use (VIU) and fair value (FV) less cost to sell). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 156 2021 Annual Report and Accounts · UniCredit Associates An associate is an entity over which the investor has significant influence and which are not subsidiaries or joint ventures. Significant influence is presumed when the investor: • holds, directly or indirectly, at least 20% of the share capital of another entity, or • is able, also through shareholders' agreements, to exercise significant influence through: - representation on the governing body of the company; - participation in the policy-making process, including participation in decisions about dividends or other distributions; - the existence of significant transactions; - interchange of managerial personnel; - provision of key technical information. It is to be pointed out that only companies which are governed through voting rights can be classified as subject to significant influence. Investments in associates are recognised using the equity method. Carrying amount of Associates is tested in accordance with IAS36 as a single asset, by comparing it with the corresponding recoverable amount (i.e. higher of VIU and FV less cost to sell). Equity method Equity investments in companies measured using the equity method include the goodwill (less any impairment loss) paid to purchase them. The investor’s share of the profit and loss of the investee after the date of acquisition is recognised in the Income statement under item “250 Profit (Loss) of investments”. Any dividends distributed reduce the carrying amount of the equity investment. If the investor’s share of an investee’s losses is equal to or greater than its carrying amount, no further losses are recognised, unless the investor has incurred specific obligations or made payments on behalf of the associate. Gains and losses on transactions with associates or joint arrangements are eliminated according to the percentage interest in the said company. Any changes in the revaluation reserves of associates or joint arrangements, which are recorded as a contra item to changes in value of the phenomena relevant to this purpose, are reported separately in the Statement of other comprehensive income. The following table shows the companies included in the scope of consolidation. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 156 2021 Annual Report and Accounts · UniCredit Associates An associate is an entity over which the investor has significant influence and which are not subsidiaries or joint ventures. Significant influence is presumed when the investor: • holds, directly or indirectly, at least 20% of the share capital of another entity, or • is able, also through shareholders' agreements, to exercise significant influence through: - representation on the governing body of the company; - participation in the policy-making process, including participation in decisions about dividends or other distributions; - the existence of significant transactions; - interchange of managerial personnel; - provision of key technical information. It is to be pointed out that only companies which are governed through voting rights can be classified as subject to significant influence. Investments in associates are recognised using the equity method. Carrying amount of Associates is tested in accordance with IAS36 as a single asset, by comparing it with the corresponding recoverable amount (i.e. higher of VIU and FV less cost to sell). Equity method Equity investments in companies measured using the equity method include the goodwill (less any impairment loss) paid to purchase them. The investor’s share of the profit and loss of the investee after the date of acquisition is recognised in the Income statement under item “250 Profit (Loss) of investments”. Any dividends distributed reduce the carrying amount of the equity investment. If the investor’s share of an investee’s losses is equal to or greater than its carrying amount, no further losses are recognised, unless the investor has incurred specific obligations or made payments on behalf of the associate. Gains and losses on transactions with associates or joint arrangements are eliminated according to the percentage interest in the said company. Any changes in the revaluation reserves of associates or joint arrangements, which are recorded as a contra item to changes in value of the phenomena relevant to this purpose, are reported separately in the Statement of other comprehensive income. The following table shows the companies included in the scope of consolidation. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 156 2021 Annual Report and Accounts · UniCredit Associates An associate is an entity over which the investor has significant influence and which are not subsidiaries or joint ventures. Significant influence is presumed when the investor: • holds, directly or indirectly, at least 20% of the share capital of another entity, or • is able, also through shareholders' agreements, to exercise significant influence through: - representation on the governing body of the company; - participation in the policy-making process, including participation in decisions about dividends or other distributions; - the existence of significant transactions; - interchange of managerial personnel; - provision of key technical information. It is to be pointed out that only companies which are governed through voting rights can be classified as subject to significant influence. Investments in associates are recognised using the equity method. Carrying amount of Associates is tested in accordance with IAS36 as a single asset, by comparing it with the corresponding recoverable amount (i.e. higher of VIU and FV less cost to sell). Equity method Equity investments in companies measured using the equity method include the goodwill (less any impairment loss) paid to purchase them. The investor’s share of the profit and loss of the investee after the date of acquisition is recognised in the Income statement under item “250 Profit (Loss) of investments”. Any dividends distributed reduce the carrying amount of the equity investment. If the investor’s share of an investee’s losses is equal to or greater than its carrying amount, no further losses are recognised, unless the investor has incurred specific obligations or made payments on behalf of the associate. Gains and losses on transactions with associates or joint arrangements are eliminated according to the percentage interest in the said company. Any changes in the revaluation reserves of associates or joint arrangements, which are recorded as a contra item to changes in value of the phenomena relevant to this purpose, are reported separately in the Statement of other comprehensive income. The following table shows the companies included in the scope of consolidation. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 156 2021 Annual Report and Accounts · UniCredit Associates An associate is an entity over which the investor has significant influence and which are not subsidiaries or joint ventures. Significant influence is presumed when the investor: • holds, directly or indirectly, at least 20% of the share capital of another entity, or • is able, also through shareholders' agreements, to exercise significant influence through: - representation on the governing body of the company; - participation in the policy-making process, including participation in decisions about dividends or other distributions; - the existence of significant transactions; - interchange of managerial personnel; - provision of key technical information. It is to be pointed out that only companies which are governed through voting rights can be classified as subject to significant influence. Investments in associates are recognised using the equity method. Carrying amount of Associates is tested in accordance with IAS36 as a single asset, by comparing it with the corresponding recoverable amount (i.e. higher of VIU and FV less cost to sell). Equity method Equity investments in companies measured using the equity method include the goodwill (less any impairment loss) paid to purchase them. The investor’s share of the profit and loss of the investee after the date of acquisition is recognised in the Income statement under item “250 Profit (Loss) of investments”. Any dividends distributed reduce the carrying amount of the equity investment. If the investor’s share of an investee’s losses is equal to or greater than its carrying amount, no further losses are recognised, unless the investor has incurred specific obligations or made payments on behalf of the associate. Gains and losses on transactions with associates or joint arrangements are eliminated according to the percentage interest in the said company. Any changes in the revaluation reserves of associates or joint arrangements, which are recorded as a contra item to changes in value of the phenomena relevant to this purpose, are reported separately in the Statement of other comprehensive income. The following table shows the companies included in the scope of consolidation. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 156 2021 Annual Report and Accounts · UniCredit Associates An associate is an entity over which the investor has significant influence and which are not subsidiaries or joint ventures. Significant influence is presumed when the investor: • holds, directly or indirectly, at least 20% of the share capital of another entity, or • is able, also through shareholders' agreements, to exercise significant influence through: - representation on the governing body of the company; - participation in the policy-making process, including participation in decisions about dividends or other distributions; - the existence of significant transactions; - interchange of managerial personnel; - provision of key technical information. It is to be pointed out that only companies which are governed through voting rights can be classified as subject to significant influence. Investments in associates are recognised using the equity method. Carrying amount of Associates is tested in accordance with IAS36 as a single asset, by comparing it with the corresponding recoverable amount (i.e. higher of VIU and FV less cost to sell). Equity method Equity investments in companies measured using the equity method include the goodwill (less any impairment loss) paid to purchase them. The investor’s share of the profit and loss of the investee after the date of acquisition is recognised in the Income statement under item “250 Profit (Loss) of investments”. Any dividends distributed reduce the carrying amount of the equity investment. If the investor’s share of an investee’s losses is equal to or greater than its carrying amount, no further losses are recognised, unless the investor has incurred specific obligations or made payments on behalf of the associate. Gains and losses on transactions with associates or joint arrangements are eliminated according to the percentage interest in the said company. Any changes in the revaluation reserves of associates or joint arrangements, which are recorded as a contra item to changes in value of the phenomena relevant to this purpose, are reported separately in the Statement of other comprehensive income. The following table shows the companies included in the scope of consolidation. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 157 1. Investments in Subsidiaries OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % A. LINE BY LINE METHOD 1 UNICREDIT SPA MILAN MILAN PARENT COMPANY Issued capital EUR 21,133,469,082.48 2 ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. OBERBAUM CITY KG GRUENWALD GRUENWALD 1 HVB IMMOBILIEN AG 100.00 98.11 Issued capital EUR 26,000 3 ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. STUTTGART KRONPRINZSTRASSE KG GRUENWALD GRUENWALD 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 98.11 Issued capital EUR 26,000 4 ALLEGRO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 5 ALLIB LEASING S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 100,000 6 ALMS LEASING GMBH. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,000 7 ALPHA RENT DOO BEOGRAD BELGRADE BELGRADE 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital RSD 3,285,948,900 8 ALTUS ALPHA PLC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 9 ALV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 10 ANTARES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 11 ANTHEMIS EVO LLP LONDON LONDON 4 UNICREDIT SPA .. (3) 12 AO UNICREDIT BANK MOSCOW MOSCOW 1 UNICREDIT SPA 100.00 Issued capital RUB 41,787,805,174 13 ARABELLA FINANCE DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 14 ARENA NPL ONE S.R.L. (CARTOLARIZZAZIONE 2014) VERONA VERONA 4 UNICREDIT SPA .. (3) 15 ARGENTAURUS IMMOBILIEN-VERMIETUNGS- UND VERWALTUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 511,300 16 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 17 AUSTRIA LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 0.40 Issued capital EUR 36,336 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.40 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 18 BA CA SECUND LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 19 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 363,364 20 BA GEBAEUDEVERMIETUNGSGMBH VIENNA VIENNA 1 BA GVG-HOLDING GMBH 89.00 Issued capital EUR 36,336 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. 10.00 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 1.00 21 BA GVG-HOLDING GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 18,168 22 BA-CA ANDANTE LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 23 BA-CA LEASING DREI GARAGEN GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 35,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 24 BA-CA LEASING MAR IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 157 1. Investments in Subsidiaries OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % A. LINE BY LINE METHOD 1 UNICREDIT SPA MILAN MILAN PARENT COMPANY Issued capital EUR 21,133,469,082.48 2 ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. OBERBAUM CITY KG GRUENWALD GRUENWALD 1 HVB IMMOBILIEN AG 100.00 98.11 Issued capital EUR 26,000 3 ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. STUTTGART KRONPRINZSTRASSE KG GRUENWALD GRUENWALD 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 98.11 Issued capital EUR 26,000 4 ALLEGRO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 5 ALLIB LEASING S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 100,000 6 ALMS LEASING GMBH. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,000 7 ALPHA RENT DOO BEOGRAD BELGRADE BELGRADE 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital RSD 3,285,948,900 8 ALTUS ALPHA PLC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 9 ALV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 10 ANTARES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 11 ANTHEMIS EVO LLP LONDON LONDON 4 UNICREDIT SPA .. (3) 12 AO UNICREDIT BANK MOSCOW MOSCOW 1 UNICREDIT SPA 100.00 Issued capital RUB 41,787,805,174 13 ARABELLA FINANCE DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 14 ARENA NPL ONE S.R.L. (CARTOLARIZZAZIONE 2014) VERONA VERONA 4 UNICREDIT SPA .. (3) 15 ARGENTAURUS IMMOBILIEN-VERMIETUNGS- UND VERWALTUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 511,300 16 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 17 AUSTRIA LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 0.40 Issued capital EUR 36,336 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.40 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 18 BA CA SECUND LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 19 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 363,364 20 BA GEBAEUDEVERMIETUNGSGMBH VIENNA VIENNA 1 BA GVG-HOLDING GMBH 89.00 Issued capital EUR 36,336 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. 10.00 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 1.00 21 BA GVG-HOLDING GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 18,168 22 BA-CA ANDANTE LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 23 BA-CA LEASING DREI GARAGEN GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 35,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 24 BA-CA LEASING MAR IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 157 1. Investments in Subsidiaries OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % A. LINE BY LINE METHOD 1 UNICREDIT SPA MILAN MILAN PARENT COMPANY Issued capital EUR 21,133,469,082.48 2 ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. OBERBAUM CITY KG GRUENWALD GRUENWALD 1 HVB IMMOBILIEN AG 100.00 98.11 Issued capital EUR 26,000 3 ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. STUTTGART KRONPRINZSTRASSE KG GRUENWALD GRUENWALD 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 98.11 Issued capital EUR 26,000 4 ALLEGRO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 5 ALLIB LEASING S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 100,000 6 ALMS LEASING GMBH. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,000 7 ALPHA RENT DOO BEOGRAD BELGRADE BELGRADE 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital RSD 3,285,948,900 8 ALTUS ALPHA PLC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 9 ALV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 10 ANTARES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 11 ANTHEMIS EVO LLP LONDON LONDON 4 UNICREDIT SPA .. (3) 12 AO UNICREDIT BANK MOSCOW MOSCOW 1 UNICREDIT SPA 100.00 Issued capital RUB 41,787,805,174 13 ARABELLA FINANCE DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 14 ARENA NPL ONE S.R.L. (CARTOLARIZZAZIONE 2014) VERONA VERONA 4 UNICREDIT SPA .. (3) 15 ARGENTAURUS IMMOBILIEN-VERMIETUNGS- UND VERWALTUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 511,300 16 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 17 AUSTRIA LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 0.40 Issued capital EUR 36,336 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.40 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 18 BA CA SECUND LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 19 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 363,364 20 BA GEBAEUDEVERMIETUNGSGMBH VIENNA VIENNA 1 BA GVG-HOLDING GMBH 89.00 Issued capital EUR 36,336 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. 10.00 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 1.00 21 BA GVG-HOLDING GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 18,168 22 BA-CA ANDANTE LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 23 BA-CA LEASING DREI GARAGEN GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 35,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 24 BA-CA LEASING MAR IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 157 1. Investments in Subsidiaries OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % A. LINE BY LINE METHOD 1 UNICREDIT SPA MILAN MILAN PARENT COMPANY Issued capital EUR 21,133,469,082.48 2 ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. OBERBAUM CITY KG GRUENWALD GRUENWALD 1 HVB IMMOBILIEN AG 100.00 98.11 Issued capital EUR 26,000 3 ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. STUTTGART KRONPRINZSTRASSE KG GRUENWALD GRUENWALD 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 98.11 Issued capital EUR 26,000 4 ALLEGRO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 5 ALLIB LEASING S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 100,000 6 ALMS LEASING GMBH. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,000 7 ALPHA RENT DOO BEOGRAD BELGRADE BELGRADE 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital RSD 3,285,948,900 8 ALTUS ALPHA PLC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 9 ALV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 10 ANTARES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 11 ANTHEMIS EVO LLP LONDON LONDON 4 UNICREDIT SPA .. (3) 12 AO UNICREDIT BANK MOSCOW MOSCOW 1 UNICREDIT SPA 100.00 Issued capital RUB 41,787,805,174 13 ARABELLA FINANCE DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 14 ARENA NPL ONE S.R.L. (CARTOLARIZZAZIONE 2014) VERONA VERONA 4 UNICREDIT SPA .. (3) 15 ARGENTAURUS IMMOBILIEN-VERMIETUNGS- UND VERWALTUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 511,300 16 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 17 AUSTRIA LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 0.40 Issued capital EUR 36,336 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.40 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 18 BA CA SECUND LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 19 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 363,364 20 BA GEBAEUDEVERMIETUNGSGMBH VIENNA VIENNA 1 BA GVG-HOLDING GMBH 89.00 Issued capital EUR 36,336 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. 10.00 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 1.00 21 BA GVG-HOLDING GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 18,168 22 BA-CA ANDANTE LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 23 BA-CA LEASING DREI GARAGEN GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 35,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 24 BA-CA LEASING MAR IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 157 1. Investments in Subsidiaries OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % A. LINE BY LINE METHOD 1 UNICREDIT SPA MILAN MILAN PARENT COMPANY Issued capital EUR 21,133,469,082.48 2 ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. OBERBAUM CITY KG GRUENWALD GRUENWALD 1 HVB IMMOBILIEN AG 100.00 98.11 Issued capital EUR 26,000 3 ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. STUTTGART KRONPRINZSTRASSE KG GRUENWALD GRUENWALD 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 98.11 Issued capital EUR 26,000 4 ALLEGRO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 5 ALLIB LEASING S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 100,000 6 ALMS LEASING GMBH. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,000 7 ALPHA RENT DOO BEOGRAD BELGRADE BELGRADE 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital RSD 3,285,948,900 8 ALTUS ALPHA PLC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 9 ALV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 10 ANTARES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 11 ANTHEMIS EVO LLP LONDON LONDON 4 UNICREDIT SPA .. (3) 12 AO UNICREDIT BANK MOSCOW MOSCOW 1 UNICREDIT SPA 100.00 Issued capital RUB 41,787,805,174 13 ARABELLA FINANCE DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 14 ARENA NPL ONE S.R.L. (CARTOLARIZZAZIONE 2014) VERONA VERONA 4 UNICREDIT SPA .. (3) 15 ARGENTAURUS IMMOBILIEN-VERMIETUNGS- UND VERWALTUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 511,300 16 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 17 AUSTRIA LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 0.40 Issued capital EUR 36,336 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.40 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 18 BA CA SECUND LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 19 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 363,364 20 BA GEBAEUDEVERMIETUNGSGMBH VIENNA VIENNA 1 BA GVG-HOLDING GMBH 89.00 Issued capital EUR 36,336 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. 10.00 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 1.00 21 BA GVG-HOLDING GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 18,168 22 BA-CA ANDANTE LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 23 BA-CA LEASING DREI GARAGEN GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 35,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 24 BA-CA LEASING MAR IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 158 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 25 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 127,177 26 BA-CA PRESTO LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 27 BA/CA-LEASING BETEILIGUNGEN GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 454,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 28 BACA CENA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 29 BACA HYDRA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 30 BACA KOMMUNALLEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 31 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 98.80 Issued capital EUR 18,287 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 32 BAH-OMEGA ZRT.'V.A.' BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 70,000,000 33 BAHBETA INGATLANHASZNOSITO KFT. BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 30,000,000 34 BAL CARINA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 35 BAL HESTIA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 36 BAL HORUS IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 37 BAL HYPNOS IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 38 BAL LETO IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 39 BAL OSIRIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 40 BAL SOBEK IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 99.80 41 BANK AUSTRIA CREDITANSTALT LEASING IMMOBILIENANLAGEN GMBH VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 42 BANK AUSTRIA FINANZSERVICE GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 490,542 43 BANK AUSTRIA LEASING ARGO IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 99.80 44 BANK AUSTRIA LEASING HERA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,337 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 45 BANK AUSTRIA LEASING IKARUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 46 BANK AUSTRIA LEASING MEDEA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 158 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 25 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 127,177 26 BA-CA PRESTO LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 27 BA/CA-LEASING BETEILIGUNGEN GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 454,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 28 BACA CENA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 29 BACA HYDRA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 30 BACA KOMMUNALLEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 31 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 98.80 Issued capital EUR 18,287 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 32 BAH-OMEGA ZRT.'V.A.' BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 70,000,000 33 BAHBETA INGATLANHASZNOSITO KFT. BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 30,000,000 34 BAL CARINA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 35 BAL HESTIA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 36 BAL HORUS IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 37 BAL HYPNOS IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 38 BAL LETO IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 39 BAL OSIRIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 40 BAL SOBEK IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 99.80 41 BANK AUSTRIA CREDITANSTALT LEASING IMMOBILIENANLAGEN GMBH VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 42 BANK AUSTRIA FINANZSERVICE GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 490,542 43 BANK AUSTRIA LEASING ARGO IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 99.80 44 BANK AUSTRIA LEASING HERA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,337 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 45 BANK AUSTRIA LEASING IKARUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 46 BANK AUSTRIA LEASING MEDEA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 158 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 25 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 127,177 26 BA-CA PRESTO LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 27 BA/CA-LEASING BETEILIGUNGEN GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 454,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 28 BACA CENA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 29 BACA HYDRA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 30 BACA KOMMUNALLEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 31 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 98.80 Issued capital EUR 18,287 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 32 BAH-OMEGA ZRT.'V.A.' BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 70,000,000 33 BAHBETA INGATLANHASZNOSITO KFT. BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 30,000,000 34 BAL CARINA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 35 BAL HESTIA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 36 BAL HORUS IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 37 BAL HYPNOS IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 38 BAL LETO IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 39 BAL OSIRIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 40 BAL SOBEK IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 99.80 41 BANK AUSTRIA CREDITANSTALT LEASING IMMOBILIENANLAGEN GMBH VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 42 BANK AUSTRIA FINANZSERVICE GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 490,542 43 BANK AUSTRIA LEASING ARGO IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 99.80 44 BANK AUSTRIA LEASING HERA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,337 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 45 BANK AUSTRIA LEASING IKARUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 46 BANK AUSTRIA LEASING MEDEA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 158 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 25 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 127,177 26 BA-CA PRESTO LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 27 BA/CA-LEASING BETEILIGUNGEN GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 454,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 28 BACA CENA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 29 BACA HYDRA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 30 BACA KOMMUNALLEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 31 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 98.80 Issued capital EUR 18,287 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 32 BAH-OMEGA ZRT.'V.A.' BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 70,000,000 33 BAHBETA INGATLANHASZNOSITO KFT. BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 30,000,000 34 BAL CARINA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 35 BAL HESTIA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 36 BAL HORUS IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 37 BAL HYPNOS IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 38 BAL LETO IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 39 BAL OSIRIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 40 BAL SOBEK IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 99.80 41 BANK AUSTRIA CREDITANSTALT LEASING IMMOBILIENANLAGEN GMBH VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 42 BANK AUSTRIA FINANZSERVICE GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 490,542 43 BANK AUSTRIA LEASING ARGO IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 99.80 44 BANK AUSTRIA LEASING HERA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,337 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 45 BANK AUSTRIA LEASING IKARUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 46 BANK AUSTRIA LEASING MEDEA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 158 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 25 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 127,177 26 BA-CA PRESTO LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 27 BA/CA-LEASING BETEILIGUNGEN GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 454,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 28 BACA CENA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 29 BACA HYDRA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 30 BACA KOMMUNALLEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 31 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 98.80 Issued capital EUR 18,287 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 32 BAH-OMEGA ZRT.'V.A.' BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 70,000,000 33 BAHBETA INGATLANHASZNOSITO KFT. BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 30,000,000 34 BAL CARINA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 35 BAL HESTIA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 36 BAL HORUS IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 37 BAL HYPNOS IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 38 BAL LETO IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 39 BAL OSIRIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 40 BAL SOBEK IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 99.80 41 BANK AUSTRIA CREDITANSTALT LEASING IMMOBILIENANLAGEN GMBH VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 42 BANK AUSTRIA FINANZSERVICE GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 490,542 43 BANK AUSTRIA LEASING ARGO IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 99.80 44 BANK AUSTRIA LEASING HERA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,337 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 45 BANK AUSTRIA LEASING IKARUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 46 BANK AUSTRIA LEASING MEDEA IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 159 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 47 BANK AUSTRIA REAL INVEST CLIENT INVESTMENT GMBH VIENNA VIENNA 1 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH 100.00 Issued capital EUR 145,500 48 BANK AUSTRIA REAL INVEST IMMOBILIEN-KAPITALANLAGE GMBH VIENNA VIENNA 1 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH 100.00 Issued capital EUR 5,000,000 49 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 94.95 Issued capital EUR 10,900,500 50 BANK AUSTRIA WOHNBAUBANK AG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 18,765,944 51 BARD ENGINEERING GMBH EMDEN EMDEN 4 BARD HOLDING GMBH .. (3) 52 BARD HOLDING GMBH EMDEN EMDEN 4 UNICREDIT BANK AG .. (3) 53 BAULANDENTWICKLUNG GDST 1682/8 GMBH & CO OEG VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 1.00 Issued capital EUR 0 CALG IMMOBILIEN LEASING GMBH 99.00 54 BAYERISCHE WOHNUNGSGESELLSCHAFT FUER HANDEL UND INDUSTRIE, GESELLSCHAFT MIT BESCHRAENKTER HAFTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 51,150 55 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 56 BF NINE HOLDING GMBH VIENNA VIENNA 1 ALLEGRO LEASING GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 35,000 57 BIL LEASING-FONDS VERWALTUNGS-GMBH GRUENWALD GRUENWALD 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 26,000 58 BORGO DI PEROLLA SRL MASSA MARITTIMA MASSA MARITTIMA 1 FONDIARIA LASA SPA 100.00 Issued capital EUR 2,043,952 59 BREWO GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT PEGASUS LEASING GMBH 100.00 Issued capital EUR 36,337 60 CA-LEASING OVUS S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 100,000 61 CA-LEASING SENIOREN PARK GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 62 CA-ZETA REAL ESTATE DEVELOPMENT LIMITED LIABILITY COMPANY BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 3,000,000 63 CABET-HOLDING GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 290,909 64 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 CABET-HOLDING GMBH 100.00 Issued capital EUR 35,000 65 CALG 307 MOBILIEN LEASING GMBH VIENNA VIENNA 1 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,500 66 CALG 443 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,336 CALG IMMOBILIEN LEASING GMBH 1.00 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 67 CALG 445 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.60 Issued capital EUR 18,168 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.40 68 CALG 451 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 69 CALG ALPHA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 70 CALG ANLAGEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 159 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 47 BANK AUSTRIA REAL INVEST CLIENT INVESTMENT GMBH VIENNA VIENNA 1 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH 100.00 Issued capital EUR 145,500 48 BANK AUSTRIA REAL INVEST IMMOBILIEN-KAPITALANLAGE GMBH VIENNA VIENNA 1 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH 100.00 Issued capital EUR 5,000,000 49 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 94.95 Issued capital EUR 10,900,500 50 BANK AUSTRIA WOHNBAUBANK AG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 18,765,944 51 BARD ENGINEERING GMBH EMDEN EMDEN 4 BARD HOLDING GMBH .. (3) 52 BARD HOLDING GMBH EMDEN EMDEN 4 UNICREDIT BANK AG .. (3) 53 BAULANDENTWICKLUNG GDST 1682/8 GMBH & CO OEG VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 1.00 Issued capital EUR 0 CALG IMMOBILIEN LEASING GMBH 99.00 54 BAYERISCHE WOHNUNGSGESELLSCHAFT FUER HANDEL UND INDUSTRIE, GESELLSCHAFT MIT BESCHRAENKTER HAFTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 51,150 55 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 56 BF NINE HOLDING GMBH VIENNA VIENNA 1 ALLEGRO LEASING GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 35,000 57 BIL LEASING-FONDS VERWALTUNGS-GMBH GRUENWALD GRUENWALD 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 26,000 58 BORGO DI PEROLLA SRL MASSA MARITTIMA MASSA MARITTIMA 1 FONDIARIA LASA SPA 100.00 Issued capital EUR 2,043,952 59 BREWO GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT PEGASUS LEASING GMBH 100.00 Issued capital EUR 36,337 60 CA-LEASING OVUS S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 100,000 61 CA-LEASING SENIOREN PARK GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 62 CA-ZETA REAL ESTATE DEVELOPMENT LIMITED LIABILITY COMPANY BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 3,000,000 63 CABET-HOLDING GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 290,909 64 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 CABET-HOLDING GMBH 100.00 Issued capital EUR 35,000 65 CALG 307 MOBILIEN LEASING GMBH VIENNA VIENNA 1 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,500 66 CALG 443 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,336 CALG IMMOBILIEN LEASING GMBH 1.00 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 67 CALG 445 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.60 Issued capital EUR 18,168 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.40 68 CALG 451 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 69 CALG ALPHA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 70 CALG ANLAGEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 159 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 47 BANK AUSTRIA REAL INVEST CLIENT INVESTMENT GMBH VIENNA VIENNA 1 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH 100.00 Issued capital EUR 145,500 48 BANK AUSTRIA REAL INVEST IMMOBILIEN-KAPITALANLAGE GMBH VIENNA VIENNA 1 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH 100.00 Issued capital EUR 5,000,000 49 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 94.95 Issued capital EUR 10,900,500 50 BANK AUSTRIA WOHNBAUBANK AG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 18,765,944 51 BARD ENGINEERING GMBH EMDEN EMDEN 4 BARD HOLDING GMBH .. (3) 52 BARD HOLDING GMBH EMDEN EMDEN 4 UNICREDIT BANK AG .. (3) 53 BAULANDENTWICKLUNG GDST 1682/8 GMBH & CO OEG VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 1.00 Issued capital EUR 0 CALG IMMOBILIEN LEASING GMBH 99.00 54 BAYERISCHE WOHNUNGSGESELLSCHAFT FUER HANDEL UND INDUSTRIE, GESELLSCHAFT MIT BESCHRAENKTER HAFTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 51,150 55 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 56 BF NINE HOLDING GMBH VIENNA VIENNA 1 ALLEGRO LEASING GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 35,000 57 BIL LEASING-FONDS VERWALTUNGS-GMBH GRUENWALD GRUENWALD 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 26,000 58 BORGO DI PEROLLA SRL MASSA MARITTIMA MASSA MARITTIMA 1 FONDIARIA LASA SPA 100.00 Issued capital EUR 2,043,952 59 BREWO GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT PEGASUS LEASING GMBH 100.00 Issued capital EUR 36,337 60 CA-LEASING OVUS S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 100,000 61 CA-LEASING SENIOREN PARK GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 62 CA-ZETA REAL ESTATE DEVELOPMENT LIMITED LIABILITY COMPANY BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 3,000,000 63 CABET-HOLDING GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 290,909 64 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 CABET-HOLDING GMBH 100.00 Issued capital EUR 35,000 65 CALG 307 MOBILIEN LEASING GMBH VIENNA VIENNA 1 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,500 66 CALG 443 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,336 CALG IMMOBILIEN LEASING GMBH 1.00 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 67 CALG 445 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.60 Issued capital EUR 18,168 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.40 68 CALG 451 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 69 CALG ALPHA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 70 CALG ANLAGEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 159 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 47 BANK AUSTRIA REAL INVEST CLIENT INVESTMENT GMBH VIENNA VIENNA 1 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH 100.00 Issued capital EUR 145,500 48 BANK AUSTRIA REAL INVEST IMMOBILIEN-KAPITALANLAGE GMBH VIENNA VIENNA 1 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH 100.00 Issued capital EUR 5,000,000 49 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 94.95 Issued capital EUR 10,900,500 50 BANK AUSTRIA WOHNBAUBANK AG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 18,765,944 51 BARD ENGINEERING GMBH EMDEN EMDEN 4 BARD HOLDING GMBH .. (3) 52 BARD HOLDING GMBH EMDEN EMDEN 4 UNICREDIT BANK AG .. (3) 53 BAULANDENTWICKLUNG GDST 1682/8 GMBH & CO OEG VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 1.00 Issued capital EUR 0 CALG IMMOBILIEN LEASING GMBH 99.00 54 BAYERISCHE WOHNUNGSGESELLSCHAFT FUER HANDEL UND INDUSTRIE, GESELLSCHAFT MIT BESCHRAENKTER HAFTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 51,150 55 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 56 BF NINE HOLDING GMBH VIENNA VIENNA 1 ALLEGRO LEASING GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 35,000 57 BIL LEASING-FONDS VERWALTUNGS-GMBH GRUENWALD GRUENWALD 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 26,000 58 BORGO DI PEROLLA SRL MASSA MARITTIMA MASSA MARITTIMA 1 FONDIARIA LASA SPA 100.00 Issued capital EUR 2,043,952 59 BREWO GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT PEGASUS LEASING GMBH 100.00 Issued capital EUR 36,337 60 CA-LEASING OVUS S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 100,000 61 CA-LEASING SENIOREN PARK GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 62 CA-ZETA REAL ESTATE DEVELOPMENT LIMITED LIABILITY COMPANY BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 3,000,000 63 CABET-HOLDING GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 290,909 64 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 CABET-HOLDING GMBH 100.00 Issued capital EUR 35,000 65 CALG 307 MOBILIEN LEASING GMBH VIENNA VIENNA 1 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,500 66 CALG 443 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,336 CALG IMMOBILIEN LEASING GMBH 1.00 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 67 CALG 445 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.60 Issued capital EUR 18,168 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.40 68 CALG 451 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 69 CALG ALPHA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 70 CALG ANLAGEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 159 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 47 BANK AUSTRIA REAL INVEST CLIENT INVESTMENT GMBH VIENNA VIENNA 1 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH 100.00 Issued capital EUR 145,500 48 BANK AUSTRIA REAL INVEST IMMOBILIEN-KAPITALANLAGE GMBH VIENNA VIENNA 1 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH 100.00 Issued capital EUR 5,000,000 49 BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 94.95 Issued capital EUR 10,900,500 50 BANK AUSTRIA WOHNBAUBANK AG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 18,765,944 51 BARD ENGINEERING GMBH EMDEN EMDEN 4 BARD HOLDING GMBH .. (3) 52 BARD HOLDING GMBH EMDEN EMDEN 4 UNICREDIT BANK AG .. (3) 53 BAULANDENTWICKLUNG GDST 1682/8 GMBH & CO OEG VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 1.00 Issued capital EUR 0 CALG IMMOBILIEN LEASING GMBH 99.00 54 BAYERISCHE WOHNUNGSGESELLSCHAFT FUER HANDEL UND INDUSTRIE, GESELLSCHAFT MIT BESCHRAENKTER HAFTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 51,150 55 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 56 BF NINE HOLDING GMBH VIENNA VIENNA 1 ALLEGRO LEASING GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 35,000 57 BIL LEASING-FONDS VERWALTUNGS-GMBH GRUENWALD GRUENWALD 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 26,000 58 BORGO DI PEROLLA SRL MASSA MARITTIMA MASSA MARITTIMA 1 FONDIARIA LASA SPA 100.00 Issued capital EUR 2,043,952 59 BREWO GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT PEGASUS LEASING GMBH 100.00 Issued capital EUR 36,337 60 CA-LEASING OVUS S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 100,000 61 CA-LEASING SENIOREN PARK GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 62 CA-ZETA REAL ESTATE DEVELOPMENT LIMITED LIABILITY COMPANY BUDAPEST BUDAPEST 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HUF 3,000,000 63 CABET-HOLDING GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 290,909 64 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 CABET-HOLDING GMBH 100.00 Issued capital EUR 35,000 65 CALG 307 MOBILIEN LEASING GMBH VIENNA VIENNA 1 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,500 66 CALG 443 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,336 CALG IMMOBILIEN LEASING GMBH 1.00 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 67 CALG 445 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.60 Issued capital EUR 18,168 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.40 68 CALG 451 GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 69 CALG ALPHA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 70 CALG ANLAGEN LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 160 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 71 CALG ANLAGEN LEASING GMBH & CO GRUNDSTUECKVERMIETUNG UND -VERWALTUNG KG MUNICH MUNICH 1 CALG ANLAGEN LEASING GMBH 99.90 Issued capital EUR 2,326,378 72 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 73 CALG GAMMA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 74 CALG GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 75 CALG IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 254,355 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 76 CALG MINAL GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 18,286 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 77 CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE: CAPITAL MORTGAGE 2007 - 1) VERONA VERONA 4 UNICREDIT SPA .. (3) 78 CARD COMPLETE SERVICE BANK AG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 50.10 Issued capital EUR 6,000,000 79 CASTELLANI LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 1,800,000 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 80 CHARADE LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 81 CHEFREN LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 82 CIVITAS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 83 COMMUNA - LEASING GRUNDSTUECKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 REAL-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 84 COMPAGNIA FONDIARIA ROMANA - SOCIETA' A RESPONSABILITA' LIMITATA ROME ROME 1 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA 100.00 Issued capital EUR 103,400 85 CONSUMER THREE SRL (CARTOLARIZZAZIONE: CONSUMER THREE ) VERONA VERONA 4 UNICREDIT SPA .. (3) 86 CONTRA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 JAUSERN-LEASING GESELLSCHAFT M.B.H. 25.00 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 87 CORDUSIO RMBS - UCFIN SRL (CARTOLARIZZAZIONE: CORDUSIO RMBS UCFIN - SERIE 2006) VERONA VERONA 4 UNICREDIT SPA .. (3) 88 CORDUSIO RMBS SECURITISATION SRL (CARTOLARIZZAZIONE: CORDUSIO RMBS SECURITISATION - SERIE 2007) VERONA VERONA 4 UNICREDIT SPA .. (3) 89 CORDUSIO SIM SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 76,282,051 90 CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 520,000 91 CRIVELLI SRL MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 10,000 92 DC BANK AG VIENNA VIENNA 1 CARD COMPLETE SERVICE BANK AG 100.00 Issued capital EUR 5,000,000 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 160 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 71 CALG ANLAGEN LEASING GMBH & CO GRUNDSTUECKVERMIETUNG UND -VERWALTUNG KG MUNICH MUNICH 1 CALG ANLAGEN LEASING GMBH 99.90 Issued capital EUR 2,326,378 72 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 73 CALG GAMMA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 74 CALG GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 75 CALG IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 254,355 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 76 CALG MINAL GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 18,286 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 77 CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE: CAPITAL MORTGAGE 2007 - 1) VERONA VERONA 4 UNICREDIT SPA .. (3) 78 CARD COMPLETE SERVICE BANK AG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 50.10 Issued capital EUR 6,000,000 79 CASTELLANI LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 1,800,000 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 80 CHARADE LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 81 CHEFREN LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 82 CIVITAS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 83 COMMUNA - LEASING GRUNDSTUECKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 REAL-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 84 COMPAGNIA FONDIARIA ROMANA - SOCIETA' A RESPONSABILITA' LIMITATA ROME ROME 1 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA 100.00 Issued capital EUR 103,400 85 CONSUMER THREE SRL (CARTOLARIZZAZIONE: CONSUMER THREE ) VERONA VERONA 4 UNICREDIT SPA .. (3) 86 CONTRA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 JAUSERN-LEASING GESELLSCHAFT M.B.H. 25.00 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 87 CORDUSIO RMBS - UCFIN SRL (CARTOLARIZZAZIONE: CORDUSIO RMBS UCFIN - SERIE 2006) VERONA VERONA 4 UNICREDIT SPA .. (3) 88 CORDUSIO RMBS SECURITISATION SRL (CARTOLARIZZAZIONE: CORDUSIO RMBS SECURITISATION - SERIE 2007) VERONA VERONA 4 UNICREDIT SPA .. (3) 89 CORDUSIO SIM SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 76,282,051 90 CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 520,000 91 CRIVELLI SRL MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 10,000 92 DC BANK AG VIENNA VIENNA 1 CARD COMPLETE SERVICE BANK AG 100.00 Issued capital EUR 5,000,000 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 160 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 71 CALG ANLAGEN LEASING GMBH & CO GRUNDSTUECKVERMIETUNG UND -VERWALTUNG KG MUNICH MUNICH 1 CALG ANLAGEN LEASING GMBH 99.90 Issued capital EUR 2,326,378 72 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 73 CALG GAMMA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 74 CALG GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 75 CALG IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 254,355 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 76 CALG MINAL GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 18,286 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 77 CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE: CAPITAL MORTGAGE 2007 - 1) VERONA VERONA 4 UNICREDIT SPA .. (3) 78 CARD COMPLETE SERVICE BANK AG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 50.10 Issued capital EUR 6,000,000 79 CASTELLANI LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 1,800,000 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 80 CHARADE LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 81 CHEFREN LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 82 CIVITAS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 83 COMMUNA - LEASING GRUNDSTUECKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 REAL-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 84 COMPAGNIA FONDIARIA ROMANA - SOCIETA' A RESPONSABILITA' LIMITATA ROME ROME 1 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA 100.00 Issued capital EUR 103,400 85 CONSUMER THREE SRL (CARTOLARIZZAZIONE: CONSUMER THREE ) VERONA VERONA 4 UNICREDIT SPA .. (3) 86 CONTRA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 JAUSERN-LEASING GESELLSCHAFT M.B.H. 25.00 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 87 CORDUSIO RMBS - UCFIN SRL (CARTOLARIZZAZIONE: CORDUSIO RMBS UCFIN - SERIE 2006) VERONA VERONA 4 UNICREDIT SPA .. (3) 88 CORDUSIO RMBS SECURITISATION SRL (CARTOLARIZZAZIONE: CORDUSIO RMBS SECURITISATION - SERIE 2007) VERONA VERONA 4 UNICREDIT SPA .. (3) 89 CORDUSIO SIM SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 76,282,051 90 CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 520,000 91 CRIVELLI SRL MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 10,000 92 DC BANK AG VIENNA VIENNA 1 CARD COMPLETE SERVICE BANK AG 100.00 Issued capital EUR 5,000,000 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 160 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 71 CALG ANLAGEN LEASING GMBH & CO GRUNDSTUECKVERMIETUNG UND -VERWALTUNG KG MUNICH MUNICH 1 CALG ANLAGEN LEASING GMBH 99.90 Issued capital EUR 2,326,378 72 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 73 CALG GAMMA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 74 CALG GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 75 CALG IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 254,355 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 76 CALG MINAL GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 18,286 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 77 CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE: CAPITAL MORTGAGE 2007 - 1) VERONA VERONA 4 UNICREDIT SPA .. (3) 78 CARD COMPLETE SERVICE BANK AG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 50.10 Issued capital EUR 6,000,000 79 CASTELLANI LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 1,800,000 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 80 CHARADE LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 81 CHEFREN LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 82 CIVITAS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 83 COMMUNA - LEASING GRUNDSTUECKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 REAL-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 84 COMPAGNIA FONDIARIA ROMANA - SOCIETA' A RESPONSABILITA' LIMITATA ROME ROME 1 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA 100.00 Issued capital EUR 103,400 85 CONSUMER THREE SRL (CARTOLARIZZAZIONE: CONSUMER THREE ) VERONA VERONA 4 UNICREDIT SPA .. (3) 86 CONTRA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 JAUSERN-LEASING GESELLSCHAFT M.B.H. 25.00 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 87 CORDUSIO RMBS - UCFIN SRL (CARTOLARIZZAZIONE: CORDUSIO RMBS UCFIN - SERIE 2006) VERONA VERONA 4 UNICREDIT SPA .. (3) 88 CORDUSIO RMBS SECURITISATION SRL (CARTOLARIZZAZIONE: CORDUSIO RMBS SECURITISATION - SERIE 2007) VERONA VERONA 4 UNICREDIT SPA .. (3) 89 CORDUSIO SIM SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 76,282,051 90 CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 520,000 91 CRIVELLI SRL MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 10,000 92 DC BANK AG VIENNA VIENNA 1 CARD COMPLETE SERVICE BANK AG 100.00 Issued capital EUR 5,000,000 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 160 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 71 CALG ANLAGEN LEASING GMBH & CO GRUNDSTUECKVERMIETUNG UND -VERWALTUNG KG MUNICH MUNICH 1 CALG ANLAGEN LEASING GMBH 99.90 Issued capital EUR 2,326,378 72 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 73 CALG GAMMA GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 74 CALG GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 75 CALG IMMOBILIEN LEASING GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 254,355 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 76 CALG MINAL GRUNDSTUECKVERWALTUNG GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 18,286 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 77 CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE: CAPITAL MORTGAGE 2007 - 1) VERONA VERONA 4 UNICREDIT SPA .. (3) 78 CARD COMPLETE SERVICE BANK AG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 50.10 Issued capital EUR 6,000,000 79 CASTELLANI LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 1,800,000 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 80 CHARADE LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 81 CHEFREN LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 82 CIVITAS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 83 COMMUNA - LEASING GRUNDSTUECKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 REAL-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 84 COMPAGNIA FONDIARIA ROMANA - SOCIETA' A RESPONSABILITA' LIMITATA ROME ROME 1 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA 100.00 Issued capital EUR 103,400 85 CONSUMER THREE SRL (CARTOLARIZZAZIONE: CONSUMER THREE ) VERONA VERONA 4 UNICREDIT SPA .. (3) 86 CONTRA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 JAUSERN-LEASING GESELLSCHAFT M.B.H. 25.00 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 87 CORDUSIO RMBS - UCFIN SRL (CARTOLARIZZAZIONE: CORDUSIO RMBS UCFIN - SERIE 2006) VERONA VERONA 4 UNICREDIT SPA .. (3) 88 CORDUSIO RMBS SECURITISATION SRL (CARTOLARIZZAZIONE: CORDUSIO RMBS SECURITISATION - SERIE 2007) VERONA VERONA 4 UNICREDIT SPA .. (3) 89 CORDUSIO SIM SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 76,282,051 90 CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 520,000 91 CRIVELLI SRL MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 10,000 92 DC BANK AG VIENNA VIENNA 1 CARD COMPLETE SERVICE BANK AG 100.00 Issued capital EUR 5,000,000 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 161 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 93 DIRANA LIEGENSCHAFTSVERWERTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital EUR 17,500 94 DLV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 90.00 95 DUODEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 96 EBS FINANCE S.R.L. MILAN MILAN 4 UNICREDIT SPA .. (3) 97 ELEKTRA PURCHASE NO. 28 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 98 ELEKTRA PURCHASE NO. 31 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 99 ELEKTRA PURCHASE NO. 32 S.A. LUXEMBOURG LUXEMBOURG 4 UNICREDIT BANK AG .. (3) 100 ELEKTRA PURCHASE NO. 33 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 101 ELEKTRA PURCHASE NO. 36 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 102 ELEKTRA PURCHASE NO. 37 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 103 ELEKTRA PURCHASE NO. 38 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 104 ELEKTRA PURCHASE NO. 43 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 105 ELEKTRA PURCHASE NO. 46 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 106 ELEKTRA PURCHASE NO. 54 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 107 ELEKTRA PURCHASE NO. 56 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 108 ELEKTRA PURCHASE NO. 57 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 109 ELEKTRA PURCHASE NO. 64 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 110 ELEKTRA PURCHASE NO. 69 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 111 ELEKTRA PURCHASE NO. 71 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 112 ELEKTRA PURCHASE NO. 74 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 113 ELEKTRA PURCHASE NO. 911 LTD ST. HELIER ST. HELIER 4 UNICREDIT BANK AG .. (3) 114 EUROLEASE ANUBIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 115 EUROLEASE ISIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 116 EUROLEASE MARDUK IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 117 EUROLEASE RA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 118 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 119 EUROPA BEFEKTETESI ALAPKEZELOE ZRT (EUROPA INVESTMENT FUND MANAGEMENT LTD.) BUDAPEST BUDAPEST 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital HUF 100,000,000 120 EUROPA INGATLANBEFEKTETESI ALAP (EUROPE REAL-ESTATE INVESTMENT FUND) BUDAPEST BUDAPEST 4 UNICREDIT BANK HUNGARY ZRT. .. (3) 121 EUROPEAN-OFFICE-FONDS MUNICH MUNICH 4 UNICREDIT BANK AG .. (3) 122 EXPANDA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 123 F-E MORTGAGES SRL (CARTOLARIZZAZIONE: F-E MORTGAGES 2005) VERONA VERONA 4 UNICREDIT SPA .. (3) 124 F-E MORTGAGES SRL (CARTOLARIZZAZIONE: F-E MORTGAGES SERIES 1 - 2003) VERONA VERONA 4 UNICREDIT SPA .. (3) 125 FACTORBANK AKTIENGESELLSCHAFT VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 3,000,000 126 FINN ARSENAL LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.60 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 0.20 127 FMZ SAVARIA SZOLGALTATO KORLATOLT FELELOESSEG TARSASAG BUDAPEST BUDAPEST 1 BAHBETA INGATLANHASZNOSITO KFT. 75.00 Issued capital HUF 3,000,000 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 161 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 93 DIRANA LIEGENSCHAFTSVERWERTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital EUR 17,500 94 DLV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 90.00 95 DUODEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 96 EBS FINANCE S.R.L. MILAN MILAN 4 UNICREDIT SPA .. (3) 97 ELEKTRA PURCHASE NO. 28 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 98 ELEKTRA PURCHASE NO. 31 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 99 ELEKTRA PURCHASE NO. 32 S.A. LUXEMBOURG LUXEMBOURG 4 UNICREDIT BANK AG .. (3) 100 ELEKTRA PURCHASE NO. 33 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 101 ELEKTRA PURCHASE NO. 36 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 102 ELEKTRA PURCHASE NO. 37 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 103 ELEKTRA PURCHASE NO. 38 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 104 ELEKTRA PURCHASE NO. 43 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 105 ELEKTRA PURCHASE NO. 46 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 106 ELEKTRA PURCHASE NO. 54 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 107 ELEKTRA PURCHASE NO. 56 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 108 ELEKTRA PURCHASE NO. 57 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 109 ELEKTRA PURCHASE NO. 64 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 110 ELEKTRA PURCHASE NO. 69 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 111 ELEKTRA PURCHASE NO. 71 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 112 ELEKTRA PURCHASE NO. 74 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 113 ELEKTRA PURCHASE NO. 911 LTD ST. HELIER ST. HELIER 4 UNICREDIT BANK AG .. (3) 114 EUROLEASE ANUBIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 115 EUROLEASE ISIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 116 EUROLEASE MARDUK IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 117 EUROLEASE RA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 118 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 119 EUROPA BEFEKTETESI ALAPKEZELOE ZRT (EUROPA INVESTMENT FUND MANAGEMENT LTD.) BUDAPEST BUDAPEST 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital HUF 100,000,000 120 EUROPA INGATLANBEFEKTETESI ALAP (EUROPE REAL-ESTATE INVESTMENT FUND) BUDAPEST BUDAPEST 4 UNICREDIT BANK HUNGARY ZRT. .. (3) 121 EUROPEAN-OFFICE-FONDS MUNICH MUNICH 4 UNICREDIT BANK AG .. (3) 122 EXPANDA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 123 F-E MORTGAGES SRL (CARTOLARIZZAZIONE: F-E MORTGAGES 2005) VERONA VERONA 4 UNICREDIT SPA .. (3) 124 F-E MORTGAGES SRL (CARTOLARIZZAZIONE: F-E MORTGAGES SERIES 1 - 2003) VERONA VERONA 4 UNICREDIT SPA .. (3) 125 FACTORBANK AKTIENGESELLSCHAFT VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 3,000,000 126 FINN ARSENAL LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.60 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 0.20 127 FMZ SAVARIA SZOLGALTATO KORLATOLT FELELOESSEG TARSASAG BUDAPEST BUDAPEST 1 BAHBETA INGATLANHASZNOSITO KFT. 75.00 Issued capital HUF 3,000,000 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 161 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 93 DIRANA LIEGENSCHAFTSVERWERTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital EUR 17,500 94 DLV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 90.00 95 DUODEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 96 EBS FINANCE S.R.L. MILAN MILAN 4 UNICREDIT SPA .. (3) 97 ELEKTRA PURCHASE NO. 28 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 98 ELEKTRA PURCHASE NO. 31 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 99 ELEKTRA PURCHASE NO. 32 S.A. LUXEMBOURG LUXEMBOURG 4 UNICREDIT BANK AG .. (3) 100 ELEKTRA PURCHASE NO. 33 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 101 ELEKTRA PURCHASE NO. 36 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 102 ELEKTRA PURCHASE NO. 37 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 103 ELEKTRA PURCHASE NO. 38 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 104 ELEKTRA PURCHASE NO. 43 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 105 ELEKTRA PURCHASE NO. 46 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 106 ELEKTRA PURCHASE NO. 54 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 107 ELEKTRA PURCHASE NO. 56 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 108 ELEKTRA PURCHASE NO. 57 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 109 ELEKTRA PURCHASE NO. 64 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 110 ELEKTRA PURCHASE NO. 69 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 111 ELEKTRA PURCHASE NO. 71 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 112 ELEKTRA PURCHASE NO. 74 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 113 ELEKTRA PURCHASE NO. 911 LTD ST. HELIER ST. HELIER 4 UNICREDIT BANK AG .. (3) 114 EUROLEASE ANUBIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 115 EUROLEASE ISIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 116 EUROLEASE MARDUK IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 117 EUROLEASE RA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 118 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 119 EUROPA BEFEKTETESI ALAPKEZELOE ZRT (EUROPA INVESTMENT FUND MANAGEMENT LTD.) BUDAPEST BUDAPEST 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital HUF 100,000,000 120 EUROPA INGATLANBEFEKTETESI ALAP (EUROPE REAL-ESTATE INVESTMENT FUND) BUDAPEST BUDAPEST 4 UNICREDIT BANK HUNGARY ZRT. .. (3) 121 EUROPEAN-OFFICE-FONDS MUNICH MUNICH 4 UNICREDIT BANK AG .. (3) 122 EXPANDA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 123 F-E MORTGAGES SRL (CARTOLARIZZAZIONE: F-E MORTGAGES 2005) VERONA VERONA 4 UNICREDIT SPA .. (3) 124 F-E MORTGAGES SRL (CARTOLARIZZAZIONE: F-E MORTGAGES SERIES 1 - 2003) VERONA VERONA 4 UNICREDIT SPA .. (3) 125 FACTORBANK AKTIENGESELLSCHAFT VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 3,000,000 126 FINN ARSENAL LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.60 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 0.20 127 FMZ SAVARIA SZOLGALTATO KORLATOLT FELELOESSEG TARSASAG BUDAPEST BUDAPEST 1 BAHBETA INGATLANHASZNOSITO KFT. 75.00 Issued capital HUF 3,000,000 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 161 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 93 DIRANA LIEGENSCHAFTSVERWERTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital EUR 17,500 94 DLV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 90.00 95 DUODEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 96 EBS FINANCE S.R.L. MILAN MILAN 4 UNICREDIT SPA .. (3) 97 ELEKTRA PURCHASE NO. 28 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 98 ELEKTRA PURCHASE NO. 31 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 99 ELEKTRA PURCHASE NO. 32 S.A. LUXEMBOURG LUXEMBOURG 4 UNICREDIT BANK AG .. (3) 100 ELEKTRA PURCHASE NO. 33 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 101 ELEKTRA PURCHASE NO. 36 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 102 ELEKTRA PURCHASE NO. 37 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 103 ELEKTRA PURCHASE NO. 38 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 104 ELEKTRA PURCHASE NO. 43 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 105 ELEKTRA PURCHASE NO. 46 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 106 ELEKTRA PURCHASE NO. 54 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 107 ELEKTRA PURCHASE NO. 56 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 108 ELEKTRA PURCHASE NO. 57 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 109 ELEKTRA PURCHASE NO. 64 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 110 ELEKTRA PURCHASE NO. 69 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 111 ELEKTRA PURCHASE NO. 71 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 112 ELEKTRA PURCHASE NO. 74 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 113 ELEKTRA PURCHASE NO. 911 LTD ST. HELIER ST. HELIER 4 UNICREDIT BANK AG .. (3) 114 EUROLEASE ANUBIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 115 EUROLEASE ISIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 116 EUROLEASE MARDUK IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 117 EUROLEASE RA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 118 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 119 EUROPA BEFEKTETESI ALAPKEZELOE ZRT (EUROPA INVESTMENT FUND MANAGEMENT LTD.) BUDAPEST BUDAPEST 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital HUF 100,000,000 120 EUROPA INGATLANBEFEKTETESI ALAP (EUROPE REAL-ESTATE INVESTMENT FUND) BUDAPEST BUDAPEST 4 UNICREDIT BANK HUNGARY ZRT. .. (3) 121 EUROPEAN-OFFICE-FONDS MUNICH MUNICH 4 UNICREDIT BANK AG .. (3) 122 EXPANDA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 123 F-E MORTGAGES SRL (CARTOLARIZZAZIONE: F-E MORTGAGES 2005) VERONA VERONA 4 UNICREDIT SPA .. (3) 124 F-E MORTGAGES SRL (CARTOLARIZZAZIONE: F-E MORTGAGES SERIES 1 - 2003) VERONA VERONA 4 UNICREDIT SPA .. (3) 125 FACTORBANK AKTIENGESELLSCHAFT VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 3,000,000 126 FINN ARSENAL LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.60 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 0.20 127 FMZ SAVARIA SZOLGALTATO KORLATOLT FELELOESSEG TARSASAG BUDAPEST BUDAPEST 1 BAHBETA INGATLANHASZNOSITO KFT. 75.00 Issued capital HUF 3,000,000 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 161 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 93 DIRANA LIEGENSCHAFTSVERWERTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital EUR 17,500 94 DLV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 90.00 95 DUODEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 96 EBS FINANCE S.R.L. MILAN MILAN 4 UNICREDIT SPA .. (3) 97 ELEKTRA PURCHASE NO. 28 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 98 ELEKTRA PURCHASE NO. 31 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 99 ELEKTRA PURCHASE NO. 32 S.A. LUXEMBOURG LUXEMBOURG 4 UNICREDIT BANK AG .. (3) 100 ELEKTRA PURCHASE NO. 33 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 101 ELEKTRA PURCHASE NO. 36 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 102 ELEKTRA PURCHASE NO. 37 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 103 ELEKTRA PURCHASE NO. 38 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 104 ELEKTRA PURCHASE NO. 43 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 105 ELEKTRA PURCHASE NO. 46 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 106 ELEKTRA PURCHASE NO. 54 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 107 ELEKTRA PURCHASE NO. 56 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 108 ELEKTRA PURCHASE NO. 57 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 109 ELEKTRA PURCHASE NO. 64 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 110 ELEKTRA PURCHASE NO. 69 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 111 ELEKTRA PURCHASE NO. 71 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 112 ELEKTRA PURCHASE NO. 74 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 113 ELEKTRA PURCHASE NO. 911 LTD ST. HELIER ST. HELIER 4 UNICREDIT BANK AG .. (3) 114 EUROLEASE ANUBIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 115 EUROLEASE ISIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 116 EUROLEASE MARDUK IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 117 EUROLEASE RA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 118 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 119 EUROPA BEFEKTETESI ALAPKEZELOE ZRT (EUROPA INVESTMENT FUND MANAGEMENT LTD.) BUDAPEST BUDAPEST 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital HUF 100,000,000 120 EUROPA INGATLANBEFEKTETESI ALAP (EUROPE REAL-ESTATE INVESTMENT FUND) BUDAPEST BUDAPEST 4 UNICREDIT BANK HUNGARY ZRT. .. (3) 121 EUROPEAN-OFFICE-FONDS MUNICH MUNICH 4 UNICREDIT BANK AG .. (3) 122 EXPANDA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 123 F-E MORTGAGES SRL (CARTOLARIZZAZIONE: F-E MORTGAGES 2005) VERONA VERONA 4 UNICREDIT SPA .. (3) 124 F-E MORTGAGES SRL (CARTOLARIZZAZIONE: F-E MORTGAGES SERIES 1 - 2003) VERONA VERONA 4 UNICREDIT SPA .. (3) 125 FACTORBANK AKTIENGESELLSCHAFT VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 3,000,000 126 FINN ARSENAL LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.60 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 0.20 127 FMZ SAVARIA SZOLGALTATO KORLATOLT FELELOESSEG TARSASAG BUDAPEST BUDAPEST 1 BAHBETA INGATLANHASZNOSITO KFT. 75.00 Issued capital HUF 3,000,000 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 162 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 128 FMZ SIGMA PROJEKTENTWICKLUNGS GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 129 FOLIA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 130 FONDIARIA LASA SPA ROME ROME 1 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA 100.00 Issued capital EUR 3,102,000 131 FUGATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 36,336 132 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.80 Issued capital EUR 27,434 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 133 GEBAEUDELEASING GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 134 GELDILUX-TS-2015 S.A. LUXEMBOURG LUXEMBOURG 4 UNICREDIT BANK AG .. (3) 135 GEMEINDELEASING GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 37.30 Issued capital EUR 18,333 CALG IMMOBILIEN LEASING GMBH 37.50 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 136 GEMMA VERWALTUNGSGESELLSCHAFT MBH & CO. VERMIETUNGS KG PULLACH PULLACH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 98.69 137 GRUNDSTUCKSGESELLSCHAFT SIMON BESCHRANKT HAFTENDE KOMMANDITGESELLSCHAF MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 51,500 138 GRUNDSTUECKSVERWALTUNG LINZ-MITTE GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 139 H.F.S. IMMOBILIENFONDS GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 25,565 140 H.F.S. LEASINGFONDS DEUTSCHLAND 1 GMBH & CO. KG (IMMOBILIENLEASING) MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 97,755,806 141 H.F.S. LEASINGFONDS DEUTSCHLAND 7 GMBH & CO. KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 99.41 Issued capital EUR 85,430,630 142 H.F.S. LEASINGFONDS GMBH GRUENWALD GRUENWALD 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 26,000 143 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 10 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 144 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 11 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 145 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 12 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 146 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 8 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 147 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 9 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 148 HAWA GRUNDSTUCKS GMBH & CO OHG IMMOBILIENVERWALTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 99.50 Issued capital EUR 54,300 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 0.50 149 HAWA GRUNDSTUCKS GMBH & CO. OHG HOTELVERWALTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 99.50 Issued capital EUR 276,200 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 0.50 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 162 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 128 FMZ SIGMA PROJEKTENTWICKLUNGS GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 129 FOLIA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 130 FONDIARIA LASA SPA ROME ROME 1 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA 100.00 Issued capital EUR 3,102,000 131 FUGATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 36,336 132 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.80 Issued capital EUR 27,434 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 133 GEBAEUDELEASING GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 134 GELDILUX-TS-2015 S.A. LUXEMBOURG LUXEMBOURG 4 UNICREDIT BANK AG .. (3) 135 GEMEINDELEASING GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 37.30 Issued capital EUR 18,333 CALG IMMOBILIEN LEASING GMBH 37.50 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 136 GEMMA VERWALTUNGSGESELLSCHAFT MBH & CO. VERMIETUNGS KG PULLACH PULLACH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 98.69 137 GRUNDSTUCKSGESELLSCHAFT SIMON BESCHRANKT HAFTENDE KOMMANDITGESELLSCHAF MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 51,500 138 GRUNDSTUECKSVERWALTUNG LINZ-MITTE GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 139 H.F.S. IMMOBILIENFONDS GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 25,565 140 H.F.S. LEASINGFONDS DEUTSCHLAND 1 GMBH & CO. KG (IMMOBILIENLEASING) MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 97,755,806 141 H.F.S. LEASINGFONDS DEUTSCHLAND 7 GMBH & CO. KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 99.41 Issued capital EUR 85,430,630 142 H.F.S. LEASINGFONDS GMBH GRUENWALD GRUENWALD 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 26,000 143 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 10 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 144 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 11 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 145 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 12 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 146 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 8 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 147 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 9 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 148 HAWA GRUNDSTUCKS GMBH & CO OHG IMMOBILIENVERWALTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 99.50 Issued capital EUR 54,300 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 0.50 149 HAWA GRUNDSTUCKS GMBH & CO. OHG HOTELVERWALTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 99.50 Issued capital EUR 276,200 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 0.50 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 162 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 128 FMZ SIGMA PROJEKTENTWICKLUNGS GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 129 FOLIA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 130 FONDIARIA LASA SPA ROME ROME 1 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA 100.00 Issued capital EUR 3,102,000 131 FUGATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 36,336 132 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.80 Issued capital EUR 27,434 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 133 GEBAEUDELEASING GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 134 GELDILUX-TS-2015 S.A. LUXEMBOURG LUXEMBOURG 4 UNICREDIT BANK AG .. (3) 135 GEMEINDELEASING GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 37.30 Issued capital EUR 18,333 CALG IMMOBILIEN LEASING GMBH 37.50 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 136 GEMMA VERWALTUNGSGESELLSCHAFT MBH & CO. VERMIETUNGS KG PULLACH PULLACH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 98.69 137 GRUNDSTUCKSGESELLSCHAFT SIMON BESCHRANKT HAFTENDE KOMMANDITGESELLSCHAF MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 51,500 138 GRUNDSTUECKSVERWALTUNG LINZ-MITTE GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 139 H.F.S. IMMOBILIENFONDS GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 25,565 140 H.F.S. LEASINGFONDS DEUTSCHLAND 1 GMBH & CO. KG (IMMOBILIENLEASING) MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 97,755,806 141 H.F.S. LEASINGFONDS DEUTSCHLAND 7 GMBH & CO. KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 99.41 Issued capital EUR 85,430,630 142 H.F.S. LEASINGFONDS GMBH GRUENWALD GRUENWALD 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 26,000 143 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 10 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 144 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 11 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 145 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 12 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 146 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 8 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 147 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 9 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 148 HAWA GRUNDSTUCKS GMBH & CO OHG IMMOBILIENVERWALTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 99.50 Issued capital EUR 54,300 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 0.50 149 HAWA GRUNDSTUCKS GMBH & CO. OHG HOTELVERWALTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 99.50 Issued capital EUR 276,200 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 0.50 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 162 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 128 FMZ SIGMA PROJEKTENTWICKLUNGS GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 129 FOLIA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 130 FONDIARIA LASA SPA ROME ROME 1 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA 100.00 Issued capital EUR 3,102,000 131 FUGATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 36,336 132 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.80 Issued capital EUR 27,434 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 133 GEBAEUDELEASING GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 134 GELDILUX-TS-2015 S.A. LUXEMBOURG LUXEMBOURG 4 UNICREDIT BANK AG .. (3) 135 GEMEINDELEASING GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 37.30 Issued capital EUR 18,333 CALG IMMOBILIEN LEASING GMBH 37.50 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 136 GEMMA VERWALTUNGSGESELLSCHAFT MBH & CO. VERMIETUNGS KG PULLACH PULLACH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 98.69 137 GRUNDSTUCKSGESELLSCHAFT SIMON BESCHRANKT HAFTENDE KOMMANDITGESELLSCHAF MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 51,500 138 GRUNDSTUECKSVERWALTUNG LINZ-MITTE GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 139 H.F.S. IMMOBILIENFONDS GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 25,565 140 H.F.S. LEASINGFONDS DEUTSCHLAND 1 GMBH & CO. KG (IMMOBILIENLEASING) MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 97,755,806 141 H.F.S. LEASINGFONDS DEUTSCHLAND 7 GMBH & CO. KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 99.41 Issued capital EUR 85,430,630 142 H.F.S. LEASINGFONDS GMBH GRUENWALD GRUENWALD 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 26,000 143 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 10 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 144 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 11 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 145 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 12 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 146 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 8 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 147 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 9 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 148 HAWA GRUNDSTUCKS GMBH & CO OHG IMMOBILIENVERWALTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 99.50 Issued capital EUR 54,300 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 0.50 149 HAWA GRUNDSTUCKS GMBH & CO. OHG HOTELVERWALTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 99.50 Issued capital EUR 276,200 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 0.50 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 162 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 128 FMZ SIGMA PROJEKTENTWICKLUNGS GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 129 FOLIA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 130 FONDIARIA LASA SPA ROME ROME 1 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA 100.00 Issued capital EUR 3,102,000 131 FUGATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 36,336 132 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 99.80 Issued capital EUR 27,434 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 133 GEBAEUDELEASING GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 134 GELDILUX-TS-2015 S.A. LUXEMBOURG LUXEMBOURG 4 UNICREDIT BANK AG .. (3) 135 GEMEINDELEASING GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 37.30 Issued capital EUR 18,333 CALG IMMOBILIEN LEASING GMBH 37.50 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 136 GEMMA VERWALTUNGSGESELLSCHAFT MBH & CO. VERMIETUNGS KG PULLACH PULLACH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 98.69 137 GRUNDSTUCKSGESELLSCHAFT SIMON BESCHRANKT HAFTENDE KOMMANDITGESELLSCHAF MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 51,500 138 GRUNDSTUECKSVERWALTUNG LINZ-MITTE GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 139 H.F.S. IMMOBILIENFONDS GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 25,565 140 H.F.S. LEASINGFONDS DEUTSCHLAND 1 GMBH & CO. KG (IMMOBILIENLEASING) MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 97,755,806 141 H.F.S. LEASINGFONDS DEUTSCHLAND 7 GMBH & CO. KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 99.41 Issued capital EUR 85,430,630 142 H.F.S. LEASINGFONDS GMBH GRUENWALD GRUENWALD 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 26,000 143 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 10 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 144 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 11 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 145 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 12 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 146 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 8 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 147 H.F.S. LEASINGFONDS GMBH & CO. DEUTSCHLAND 9 KG EBERSBERG EBERSBERG 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 148 HAWA GRUNDSTUCKS GMBH & CO OHG IMMOBILIENVERWALTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 99.50 Issued capital EUR 54,300 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 0.50 149 HAWA GRUNDSTUCKS GMBH & CO. OHG HOTELVERWALTUNG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 99.50 Issued capital EUR 276,200 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 0.50 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 163 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 150 HERKU LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 151 HONEU LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 152 HVB CAPITAL LLC WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 10,000 153 HVB CAPITAL LLC II WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 13 154 HVB CAPITAL LLC III WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 10,000 155 HVB FUNDING TRUST WILMINGTON WILMINGTON 4 UNICREDIT BANK AG .. (3) 156 HVB FUNDING TRUST II WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 2,420 157 HVB FUNDING TRUST III WILMINGTON WILMINGTON 4 UNICREDIT BANK AG .. (3) 158 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 10,000,000 159 HVB IMMOBILIEN AG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 520,000 160 HVB LEASING CZECH REPUBLIC S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 49,632,000 161 HVB PROJEKT GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 24,543,000 UNICREDIT BANK AG 6.00 162 HVB TECTA GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 1,534,000 UNICREDIT BANK AG 6.00 163 HVB VERWA 4 GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 26,000 164 HVB VERWA 4.4 GMBH MUNICH MUNICH 1 HVB VERWA 4 GMBH 100.00 Issued capital EUR 25,000 165 HVZ GMBH & CO. OBJEKT KG MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 100.00 Issued capital EUR 148,090,766 166 HYPO-BANK VERWALTUNGSZENTRUM GMBH & CO. KG OBJEKT ARABELLASTRASSE MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 25,600 167 ICE CREEK POOL NO. 5 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 168 ICE CREEK POOL NO.1 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 169 ICE CREEK POOL NO.2 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 170 ICE CREEK POOL NO.3 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 171 IDEA FIMIT SGR FONDO SIGMA IMMOBILIARE ROME ROME 4 UNICREDIT SPA .. (3) 172 IMMOBILIENLEASING GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 173 IMPRESA TWO SRL (CARTOLARIZZAZIONE: IMPRESA TWO) CONEGLIANO CONEGLIANO 4 UNICREDIT SPA .. (3) 174 INTRO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,336 175 ISB UNIVERSALE BAU GMBH BERLIN BERLIN 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital EUR 6,288,890 176 JAUSERN-LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,336 177 KAISERWASSER BAU- UND ERRICHTUNGS GMBH UND CO OG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 99.80 0.00 Issued capital EUR 36,336 178 KUTRA GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 163 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 150 HERKU LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 151 HONEU LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 152 HVB CAPITAL LLC WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 10,000 153 HVB CAPITAL LLC II WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 13 154 HVB CAPITAL LLC III WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 10,000 155 HVB FUNDING TRUST WILMINGTON WILMINGTON 4 UNICREDIT BANK AG .. (3) 156 HVB FUNDING TRUST II WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 2,420 157 HVB FUNDING TRUST III WILMINGTON WILMINGTON 4 UNICREDIT BANK AG .. (3) 158 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 10,000,000 159 HVB IMMOBILIEN AG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 520,000 160 HVB LEASING CZECH REPUBLIC S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 49,632,000 161 HVB PROJEKT GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 24,543,000 UNICREDIT BANK AG 6.00 162 HVB TECTA GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 1,534,000 UNICREDIT BANK AG 6.00 163 HVB VERWA 4 GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 26,000 164 HVB VERWA 4.4 GMBH MUNICH MUNICH 1 HVB VERWA 4 GMBH 100.00 Issued capital EUR 25,000 165 HVZ GMBH & CO. OBJEKT KG MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 100.00 Issued capital EUR 148,090,766 166 HYPO-BANK VERWALTUNGSZENTRUM GMBH & CO. KG OBJEKT ARABELLASTRASSE MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 25,600 167 ICE CREEK POOL NO. 5 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 168 ICE CREEK POOL NO.1 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 169 ICE CREEK POOL NO.2 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 170 ICE CREEK POOL NO.3 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 171 IDEA FIMIT SGR FONDO SIGMA IMMOBILIARE ROME ROME 4 UNICREDIT SPA .. (3) 172 IMMOBILIENLEASING GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 173 IMPRESA TWO SRL (CARTOLARIZZAZIONE: IMPRESA TWO) CONEGLIANO CONEGLIANO 4 UNICREDIT SPA .. (3) 174 INTRO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,336 175 ISB UNIVERSALE BAU GMBH BERLIN BERLIN 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital EUR 6,288,890 176 JAUSERN-LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,336 177 KAISERWASSER BAU- UND ERRICHTUNGS GMBH UND CO OG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 99.80 0.00 Issued capital EUR 36,336 178 KUTRA GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 163 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 150 HERKU LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 151 HONEU LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 152 HVB CAPITAL LLC WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 10,000 153 HVB CAPITAL LLC II WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 13 154 HVB CAPITAL LLC III WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 10,000 155 HVB FUNDING TRUST WILMINGTON WILMINGTON 4 UNICREDIT BANK AG .. (3) 156 HVB FUNDING TRUST II WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 2,420 157 HVB FUNDING TRUST III WILMINGTON WILMINGTON 4 UNICREDIT BANK AG .. (3) 158 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 10,000,000 159 HVB IMMOBILIEN AG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 520,000 160 HVB LEASING CZECH REPUBLIC S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 49,632,000 161 HVB PROJEKT GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 24,543,000 UNICREDIT BANK AG 6.00 162 HVB TECTA GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 1,534,000 UNICREDIT BANK AG 6.00 163 HVB VERWA 4 GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 26,000 164 HVB VERWA 4.4 GMBH MUNICH MUNICH 1 HVB VERWA 4 GMBH 100.00 Issued capital EUR 25,000 165 HVZ GMBH & CO. OBJEKT KG MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 100.00 Issued capital EUR 148,090,766 166 HYPO-BANK VERWALTUNGSZENTRUM GMBH & CO. KG OBJEKT ARABELLASTRASSE MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 25,600 167 ICE CREEK POOL NO. 5 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 168 ICE CREEK POOL NO.1 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 169 ICE CREEK POOL NO.2 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 170 ICE CREEK POOL NO.3 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 171 IDEA FIMIT SGR FONDO SIGMA IMMOBILIARE ROME ROME 4 UNICREDIT SPA .. (3) 172 IMMOBILIENLEASING GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 173 IMPRESA TWO SRL (CARTOLARIZZAZIONE: IMPRESA TWO) CONEGLIANO CONEGLIANO 4 UNICREDIT SPA .. (3) 174 INTRO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,336 175 ISB UNIVERSALE BAU GMBH BERLIN BERLIN 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital EUR 6,288,890 176 JAUSERN-LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,336 177 KAISERWASSER BAU- UND ERRICHTUNGS GMBH UND CO OG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 99.80 0.00 Issued capital EUR 36,336 178 KUTRA GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 163 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 150 HERKU LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 151 HONEU LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 152 HVB CAPITAL LLC WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 10,000 153 HVB CAPITAL LLC II WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 13 154 HVB CAPITAL LLC III WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 10,000 155 HVB FUNDING TRUST WILMINGTON WILMINGTON 4 UNICREDIT BANK AG .. (3) 156 HVB FUNDING TRUST II WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 2,420 157 HVB FUNDING TRUST III WILMINGTON WILMINGTON 4 UNICREDIT BANK AG .. (3) 158 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 10,000,000 159 HVB IMMOBILIEN AG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 520,000 160 HVB LEASING CZECH REPUBLIC S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 49,632,000 161 HVB PROJEKT GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 24,543,000 UNICREDIT BANK AG 6.00 162 HVB TECTA GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 1,534,000 UNICREDIT BANK AG 6.00 163 HVB VERWA 4 GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 26,000 164 HVB VERWA 4.4 GMBH MUNICH MUNICH 1 HVB VERWA 4 GMBH 100.00 Issued capital EUR 25,000 165 HVZ GMBH & CO. OBJEKT KG MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 100.00 Issued capital EUR 148,090,766 166 HYPO-BANK VERWALTUNGSZENTRUM GMBH & CO. KG OBJEKT ARABELLASTRASSE MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 25,600 167 ICE CREEK POOL NO. 5 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 168 ICE CREEK POOL NO.1 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 169 ICE CREEK POOL NO.2 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 170 ICE CREEK POOL NO.3 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 171 IDEA FIMIT SGR FONDO SIGMA IMMOBILIARE ROME ROME 4 UNICREDIT SPA .. (3) 172 IMMOBILIENLEASING GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 173 IMPRESA TWO SRL (CARTOLARIZZAZIONE: IMPRESA TWO) CONEGLIANO CONEGLIANO 4 UNICREDIT SPA .. (3) 174 INTRO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,336 175 ISB UNIVERSALE BAU GMBH BERLIN BERLIN 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital EUR 6,288,890 176 JAUSERN-LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,336 177 KAISERWASSER BAU- UND ERRICHTUNGS GMBH UND CO OG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 99.80 0.00 Issued capital EUR 36,336 178 KUTRA GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 163 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 150 HERKU LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 151 HONEU LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 152 HVB CAPITAL LLC WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 10,000 153 HVB CAPITAL LLC II WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 13 154 HVB CAPITAL LLC III WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 10,000 155 HVB FUNDING TRUST WILMINGTON WILMINGTON 4 UNICREDIT BANK AG .. (3) 156 HVB FUNDING TRUST II WILMINGTON WILMINGTON 1 UNICREDIT BANK AG 100.00 Issued capital USD 2,420 157 HVB FUNDING TRUST III WILMINGTON WILMINGTON 4 UNICREDIT BANK AG .. (3) 158 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 10,000,000 159 HVB IMMOBILIEN AG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 520,000 160 HVB LEASING CZECH REPUBLIC S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 49,632,000 161 HVB PROJEKT GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 24,543,000 UNICREDIT BANK AG 6.00 162 HVB TECTA GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 1,534,000 UNICREDIT BANK AG 6.00 163 HVB VERWA 4 GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 26,000 164 HVB VERWA 4.4 GMBH MUNICH MUNICH 1 HVB VERWA 4 GMBH 100.00 Issued capital EUR 25,000 165 HVZ GMBH & CO. OBJEKT KG MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 100.00 Issued capital EUR 148,090,766 166 HYPO-BANK VERWALTUNGSZENTRUM GMBH & CO. KG OBJEKT ARABELLASTRASSE MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 25,600 167 ICE CREEK POOL NO. 5 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 168 ICE CREEK POOL NO.1 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 169 ICE CREEK POOL NO.2 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 170 ICE CREEK POOL NO.3 DAC DUBLIN DUBLIN 4 UNICREDIT BANK AG .. (3) 171 IDEA FIMIT SGR FONDO SIGMA IMMOBILIARE ROME ROME 4 UNICREDIT SPA .. (3) 172 IMMOBILIENLEASING GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 173 IMPRESA TWO SRL (CARTOLARIZZAZIONE: IMPRESA TWO) CONEGLIANO CONEGLIANO 4 UNICREDIT SPA .. (3) 174 INTRO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,336 175 ISB UNIVERSALE BAU GMBH BERLIN BERLIN 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital EUR 6,288,890 176 JAUSERN-LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,336 177 KAISERWASSER BAU- UND ERRICHTUNGS GMBH UND CO OG VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 99.80 0.00 Issued capital EUR 36,336 178 KUTRA GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 164 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 179 LAGERMAX LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 180 LAGEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 181 LARGO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H. 98.80 182 LEASFINANZ ALPHA ASSETVERMIETUNG GMBH VIENNA VIENNA 1 LEASFINANZ GMBH 100.00 Issued capital EUR 35,000 183 LEASFINANZ BANK GMBH VIENNA VIENNA 1 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH 100.00 Issued capital EUR 36,500 184 LEASFINANZ GMBH VIENNA VIENNA 1 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH 100.00 Issued capital EUR 218,019 185 LEGATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 186 LELEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 187 LINO HOTEL-LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 188 LIPARK LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 189 LIVA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 190 LOCAT CROATIA DOO ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 100.00 Issued capital HRK 39,000,000 191 M. A. V. 7., BANK AUSTRIA LEASING BAUTRAEGER GMBH & CO.OG. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 1.96 Issued capital EUR 3,707 UNICREDIT LUNA LEASING GMBH 98.04 192 MBC IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 193 MENUETT GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,337 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 194 MERKURHOF GRUNDSTUCKSGESELLSCHAFT MIT BESCHRANKTER HAFTUNG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 5,112,919 195 MM OMEGA PROJEKTENTWICKLUNGS GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 196 MOC VERWALTUNGS GMBH & CO. IMMOBILIEN KG MUNICH MUNICH 4 HVB PROJEKT GMBH .. (3) 197 MOEGRA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 198 MOMENTUM ALLWEATHER STRATEGIES - LONG TERM STRATEG HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) 199 MOMENTUM LONG TERM VALUE FUND HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 164 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 179 LAGERMAX LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 180 LAGEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 181 LARGO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H. 98.80 182 LEASFINANZ ALPHA ASSETVERMIETUNG GMBH VIENNA VIENNA 1 LEASFINANZ GMBH 100.00 Issued capital EUR 35,000 183 LEASFINANZ BANK GMBH VIENNA VIENNA 1 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH 100.00 Issued capital EUR 36,500 184 LEASFINANZ GMBH VIENNA VIENNA 1 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH 100.00 Issued capital EUR 218,019 185 LEGATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 186 LELEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 187 LINO HOTEL-LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 188 LIPARK LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 189 LIVA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 190 LOCAT CROATIA DOO ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 100.00 Issued capital HRK 39,000,000 191 M. A. V. 7., BANK AUSTRIA LEASING BAUTRAEGER GMBH & CO.OG. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 1.96 Issued capital EUR 3,707 UNICREDIT LUNA LEASING GMBH 98.04 192 MBC IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 193 MENUETT GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,337 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 194 MERKURHOF GRUNDSTUCKSGESELLSCHAFT MIT BESCHRANKTER HAFTUNG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 5,112,919 195 MM OMEGA PROJEKTENTWICKLUNGS GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 196 MOC VERWALTUNGS GMBH & CO. IMMOBILIEN KG MUNICH MUNICH 4 HVB PROJEKT GMBH .. (3) 197 MOEGRA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 198 MOMENTUM ALLWEATHER STRATEGIES - LONG TERM STRATEG HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) 199 MOMENTUM LONG TERM VALUE FUND HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 164 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 179 LAGERMAX LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 180 LAGEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 181 LARGO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H. 98.80 182 LEASFINANZ ALPHA ASSETVERMIETUNG GMBH VIENNA VIENNA 1 LEASFINANZ GMBH 100.00 Issued capital EUR 35,000 183 LEASFINANZ BANK GMBH VIENNA VIENNA 1 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH 100.00 Issued capital EUR 36,500 184 LEASFINANZ GMBH VIENNA VIENNA 1 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH 100.00 Issued capital EUR 218,019 185 LEGATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 186 LELEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 187 LINO HOTEL-LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 188 LIPARK LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 189 LIVA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 190 LOCAT CROATIA DOO ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 100.00 Issued capital HRK 39,000,000 191 M. A. V. 7., BANK AUSTRIA LEASING BAUTRAEGER GMBH & CO.OG. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 1.96 Issued capital EUR 3,707 UNICREDIT LUNA LEASING GMBH 98.04 192 MBC IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 193 MENUETT GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,337 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 194 MERKURHOF GRUNDSTUCKSGESELLSCHAFT MIT BESCHRANKTER HAFTUNG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 5,112,919 195 MM OMEGA PROJEKTENTWICKLUNGS GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 196 MOC VERWALTUNGS GMBH & CO. IMMOBILIEN KG MUNICH MUNICH 4 HVB PROJEKT GMBH .. (3) 197 MOEGRA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 198 MOMENTUM ALLWEATHER STRATEGIES - LONG TERM STRATEG HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) 199 MOMENTUM LONG TERM VALUE FUND HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 164 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 179 LAGERMAX LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 180 LAGEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 181 LARGO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H. 98.80 182 LEASFINANZ ALPHA ASSETVERMIETUNG GMBH VIENNA VIENNA 1 LEASFINANZ GMBH 100.00 Issued capital EUR 35,000 183 LEASFINANZ BANK GMBH VIENNA VIENNA 1 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH 100.00 Issued capital EUR 36,500 184 LEASFINANZ GMBH VIENNA VIENNA 1 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH 100.00 Issued capital EUR 218,019 185 LEGATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 186 LELEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 187 LINO HOTEL-LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 188 LIPARK LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 189 LIVA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 190 LOCAT CROATIA DOO ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 100.00 Issued capital HRK 39,000,000 191 M. A. V. 7., BANK AUSTRIA LEASING BAUTRAEGER GMBH & CO.OG. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 1.96 Issued capital EUR 3,707 UNICREDIT LUNA LEASING GMBH 98.04 192 MBC IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 193 MENUETT GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,337 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 194 MERKURHOF GRUNDSTUCKSGESELLSCHAFT MIT BESCHRANKTER HAFTUNG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 5,112,919 195 MM OMEGA PROJEKTENTWICKLUNGS GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 196 MOC VERWALTUNGS GMBH & CO. IMMOBILIEN KG MUNICH MUNICH 4 HVB PROJEKT GMBH .. (3) 197 MOEGRA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 198 MOMENTUM ALLWEATHER STRATEGIES - LONG TERM STRATEG HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) 199 MOMENTUM LONG TERM VALUE FUND HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 164 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 179 LAGERMAX LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 180 LAGEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 181 LARGO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H. 98.80 182 LEASFINANZ ALPHA ASSETVERMIETUNG GMBH VIENNA VIENNA 1 LEASFINANZ GMBH 100.00 Issued capital EUR 35,000 183 LEASFINANZ BANK GMBH VIENNA VIENNA 1 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH 100.00 Issued capital EUR 36,500 184 LEASFINANZ GMBH VIENNA VIENNA 1 BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH 100.00 Issued capital EUR 218,019 185 LEGATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 186 LELEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 187 LINO HOTEL-LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 188 LIPARK LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 189 LIVA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 190 LOCAT CROATIA DOO ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 100.00 Issued capital HRK 39,000,000 191 M. A. V. 7., BANK AUSTRIA LEASING BAUTRAEGER GMBH & CO.OG. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 1.96 Issued capital EUR 3,707 UNICREDIT LUNA LEASING GMBH 98.04 192 MBC IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 193 MENUETT GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,337 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 194 MERKURHOF GRUNDSTUCKSGESELLSCHAFT MIT BESCHRANKTER HAFTUNG MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 5,112,919 195 MM OMEGA PROJEKTENTWICKLUNGS GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 35,000 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 196 MOC VERWALTUNGS GMBH & CO. IMMOBILIEN KG MUNICH MUNICH 4 HVB PROJEKT GMBH .. (3) 197 MOEGRA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 198 MOMENTUM ALLWEATHER STRATEGIES - LONG TERM STRATEG HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) 199 MOMENTUM LONG TERM VALUE FUND HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 165 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 200 NAGE LOKALVERMIETUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 201 NF OBJEKT FFM GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 25,000 202 NF OBJEKTE BERLIN GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 25,000 203 NOE HYPO LEASING ASTRICTA GRUNDSTUECKVERMIETUNGS GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 95.00 Issued capital EUR 36,337 204 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA ROME ROME 1 UNICREDIT SPA 100.00 Issued capital EUR 200,000 205 OCT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 206 OLG HANDELS- UND BETEILIGUNGSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 36,336 207 OMNIA GRUNDSTUCKS-GMBH & CO. OBJEKT HAIDENAUPLATZ KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 26,000 UNICREDIT BANK AG 6.00 208 OMNIA GRUNDSTUECKS-GMBH & CO. OBJEKT PERLACH KG MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 94.78 93.87 Issued capital EUR 5,125,701 WEALTHCAP LEASING GMBH 5.22 5.14 209 OOO UNICREDIT GARANT MOSCOW MOSCOW 1 OOO UNICREDIT LEASING 100.00 Issued capital RUB 106,998,000 210 OOO UNICREDIT LEASING MOSCOW MOSCOW 1 AO UNICREDIT BANK 100.00 Issued capital RUB 149,160,248 211 ORBIT PERFORMANCE STRATEGIES - ORBIT US CLASSE I U HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) 212 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 10,149,150 213 OT-OPTIMA TELEKOM DD ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 36.90 44.70 Issued capital HRK 694,432,640 214 OTHMARSCHEN PARK HAMBURG GMBH & CO. GEWERBEPARK KG MUNICH MUNICH 1 HVB PROJEKT GMBH 10.00 Issued capital EUR 51,129 T & P FRANKFURT DEVELOPMENT B.V. 30.00 T & P VASTGOED STUTTGART B.V. 60.00 215 PAI (BERMUDA) LIMITED HAMILTON HAMILTON 1 UNICREDIT SPA 100.00 Issued capital USD 12,000 216 PAI MANAGEMENT LTD DUBLIN DUBLIN 1 UNICREDIT SPA 100.00 Issued capital EUR 1,032,000 217 PALAIS ROTHSCHILD VERMIETUNGS GMBH & CO OG VIENNA VIENNA 1 SCHOELLERBANK AKTIENGESELLSCHAFT 100.00 Issued capital EUR 2,180,185 218 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 36,336 219 PELOPS LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 220 PENSIONSKASSE DER HYPO VEREINSBANK VVAG MUNICH MUNICH 4 UNICREDIT BANK AG .. (3) 221 PIANA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 222 PIRTA VERWALTUNGS GMBH VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 2,067,138 223 POLLUX IMMOBILIEN GMBH VIENNA VIENNA 1 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.20 Issued capital EUR 36,500 UNICREDIT BANK AUSTRIA AG 99.80 224 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 500,013,550 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 165 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 200 NAGE LOKALVERMIETUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 201 NF OBJEKT FFM GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 25,000 202 NF OBJEKTE BERLIN GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 25,000 203 NOE HYPO LEASING ASTRICTA GRUNDSTUECKVERMIETUNGS GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 95.00 Issued capital EUR 36,337 204 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA ROME ROME 1 UNICREDIT SPA 100.00 Issued capital EUR 200,000 205 OCT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 206 OLG HANDELS- UND BETEILIGUNGSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 36,336 207 OMNIA GRUNDSTUCKS-GMBH & CO. OBJEKT HAIDENAUPLATZ KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 26,000 UNICREDIT BANK AG 6.00 208 OMNIA GRUNDSTUECKS-GMBH & CO. OBJEKT PERLACH KG MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 94.78 93.87 Issued capital EUR 5,125,701 WEALTHCAP LEASING GMBH 5.22 5.14 209 OOO UNICREDIT GARANT MOSCOW MOSCOW 1 OOO UNICREDIT LEASING 100.00 Issued capital RUB 106,998,000 210 OOO UNICREDIT LEASING MOSCOW MOSCOW 1 AO UNICREDIT BANK 100.00 Issued capital RUB 149,160,248 211 ORBIT PERFORMANCE STRATEGIES - ORBIT US CLASSE I U HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) 212 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 10,149,150 213 OT-OPTIMA TELEKOM DD ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 36.90 44.70 Issued capital HRK 694,432,640 214 OTHMARSCHEN PARK HAMBURG GMBH & CO. GEWERBEPARK KG MUNICH MUNICH 1 HVB PROJEKT GMBH 10.00 Issued capital EUR 51,129 T & P FRANKFURT DEVELOPMENT B.V. 30.00 T & P VASTGOED STUTTGART B.V. 60.00 215 PAI (BERMUDA) LIMITED HAMILTON HAMILTON 1 UNICREDIT SPA 100.00 Issued capital USD 12,000 216 PAI MANAGEMENT LTD DUBLIN DUBLIN 1 UNICREDIT SPA 100.00 Issued capital EUR 1,032,000 217 PALAIS ROTHSCHILD VERMIETUNGS GMBH & CO OG VIENNA VIENNA 1 SCHOELLERBANK AKTIENGESELLSCHAFT 100.00 Issued capital EUR 2,180,185 218 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 36,336 219 PELOPS LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 220 PENSIONSKASSE DER HYPO VEREINSBANK VVAG MUNICH MUNICH 4 UNICREDIT BANK AG .. (3) 221 PIANA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 222 PIRTA VERWALTUNGS GMBH VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 2,067,138 223 POLLUX IMMOBILIEN GMBH VIENNA VIENNA 1 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.20 Issued capital EUR 36,500 UNICREDIT BANK AUSTRIA AG 99.80 224 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 500,013,550 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 165 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 200 NAGE LOKALVERMIETUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 201 NF OBJEKT FFM GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 25,000 202 NF OBJEKTE BERLIN GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 25,000 203 NOE HYPO LEASING ASTRICTA GRUNDSTUECKVERMIETUNGS GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 95.00 Issued capital EUR 36,337 204 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA ROME ROME 1 UNICREDIT SPA 100.00 Issued capital EUR 200,000 205 OCT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 206 OLG HANDELS- UND BETEILIGUNGSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 36,336 207 OMNIA GRUNDSTUCKS-GMBH & CO. OBJEKT HAIDENAUPLATZ KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 26,000 UNICREDIT BANK AG 6.00 208 OMNIA GRUNDSTUECKS-GMBH & CO. OBJEKT PERLACH KG MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 94.78 93.87 Issued capital EUR 5,125,701 WEALTHCAP LEASING GMBH 5.22 5.14 209 OOO UNICREDIT GARANT MOSCOW MOSCOW 1 OOO UNICREDIT LEASING 100.00 Issued capital RUB 106,998,000 210 OOO UNICREDIT LEASING MOSCOW MOSCOW 1 AO UNICREDIT BANK 100.00 Issued capital RUB 149,160,248 211 ORBIT PERFORMANCE STRATEGIES - ORBIT US CLASSE I U HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) 212 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 10,149,150 213 OT-OPTIMA TELEKOM DD ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 36.90 44.70 Issued capital HRK 694,432,640 214 OTHMARSCHEN PARK HAMBURG GMBH & CO. GEWERBEPARK KG MUNICH MUNICH 1 HVB PROJEKT GMBH 10.00 Issued capital EUR 51,129 T & P FRANKFURT DEVELOPMENT B.V. 30.00 T & P VASTGOED STUTTGART B.V. 60.00 215 PAI (BERMUDA) LIMITED HAMILTON HAMILTON 1 UNICREDIT SPA 100.00 Issued capital USD 12,000 216 PAI MANAGEMENT LTD DUBLIN DUBLIN 1 UNICREDIT SPA 100.00 Issued capital EUR 1,032,000 217 PALAIS ROTHSCHILD VERMIETUNGS GMBH & CO OG VIENNA VIENNA 1 SCHOELLERBANK AKTIENGESELLSCHAFT 100.00 Issued capital EUR 2,180,185 218 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 36,336 219 PELOPS LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 220 PENSIONSKASSE DER HYPO VEREINSBANK VVAG MUNICH MUNICH 4 UNICREDIT BANK AG .. (3) 221 PIANA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 222 PIRTA VERWALTUNGS GMBH VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 2,067,138 223 POLLUX IMMOBILIEN GMBH VIENNA VIENNA 1 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.20 Issued capital EUR 36,500 UNICREDIT BANK AUSTRIA AG 99.80 224 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 500,013,550 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 165 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 200 NAGE LOKALVERMIETUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 201 NF OBJEKT FFM GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 25,000 202 NF OBJEKTE BERLIN GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 25,000 203 NOE HYPO LEASING ASTRICTA GRUNDSTUECKVERMIETUNGS GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 95.00 Issued capital EUR 36,337 204 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA ROME ROME 1 UNICREDIT SPA 100.00 Issued capital EUR 200,000 205 OCT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 206 OLG HANDELS- UND BETEILIGUNGSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 36,336 207 OMNIA GRUNDSTUCKS-GMBH & CO. OBJEKT HAIDENAUPLATZ KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 26,000 UNICREDIT BANK AG 6.00 208 OMNIA GRUNDSTUECKS-GMBH & CO. OBJEKT PERLACH KG MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 94.78 93.87 Issued capital EUR 5,125,701 WEALTHCAP LEASING GMBH 5.22 5.14 209 OOO UNICREDIT GARANT MOSCOW MOSCOW 1 OOO UNICREDIT LEASING 100.00 Issued capital RUB 106,998,000 210 OOO UNICREDIT LEASING MOSCOW MOSCOW 1 AO UNICREDIT BANK 100.00 Issued capital RUB 149,160,248 211 ORBIT PERFORMANCE STRATEGIES - ORBIT US CLASSE I U HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) 212 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 10,149,150 213 OT-OPTIMA TELEKOM DD ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 36.90 44.70 Issued capital HRK 694,432,640 214 OTHMARSCHEN PARK HAMBURG GMBH & CO. GEWERBEPARK KG MUNICH MUNICH 1 HVB PROJEKT GMBH 10.00 Issued capital EUR 51,129 T & P FRANKFURT DEVELOPMENT B.V. 30.00 T & P VASTGOED STUTTGART B.V. 60.00 215 PAI (BERMUDA) LIMITED HAMILTON HAMILTON 1 UNICREDIT SPA 100.00 Issued capital USD 12,000 216 PAI MANAGEMENT LTD DUBLIN DUBLIN 1 UNICREDIT SPA 100.00 Issued capital EUR 1,032,000 217 PALAIS ROTHSCHILD VERMIETUNGS GMBH & CO OG VIENNA VIENNA 1 SCHOELLERBANK AKTIENGESELLSCHAFT 100.00 Issued capital EUR 2,180,185 218 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 36,336 219 PELOPS LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 220 PENSIONSKASSE DER HYPO VEREINSBANK VVAG MUNICH MUNICH 4 UNICREDIT BANK AG .. (3) 221 PIANA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 222 PIRTA VERWALTUNGS GMBH VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 2,067,138 223 POLLUX IMMOBILIEN GMBH VIENNA VIENNA 1 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.20 Issued capital EUR 36,500 UNICREDIT BANK AUSTRIA AG 99.80 224 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 500,013,550 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 165 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 200 NAGE LOKALVERMIETUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 201 NF OBJEKT FFM GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 25,000 202 NF OBJEKTE BERLIN GMBH MUNICH MUNICH 1 HVB IMMOBILIEN AG 100.00 Issued capital EUR 25,000 203 NOE HYPO LEASING ASTRICTA GRUNDSTUECKVERMIETUNGS GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 95.00 Issued capital EUR 36,337 204 NUOVA COMPAGNIA DI PARTECIPAZIONI SPA ROME ROME 1 UNICREDIT SPA 100.00 Issued capital EUR 200,000 205 OCT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 206 OLG HANDELS- UND BETEILIGUNGSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 36,336 207 OMNIA GRUNDSTUCKS-GMBH & CO. OBJEKT HAIDENAUPLATZ KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 94.00 Issued capital EUR 26,000 UNICREDIT BANK AG 6.00 208 OMNIA GRUNDSTUECKS-GMBH & CO. OBJEKT PERLACH KG MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 94.78 93.87 Issued capital EUR 5,125,701 WEALTHCAP LEASING GMBH 5.22 5.14 209 OOO UNICREDIT GARANT MOSCOW MOSCOW 1 OOO UNICREDIT LEASING 100.00 Issued capital RUB 106,998,000 210 OOO UNICREDIT LEASING MOSCOW MOSCOW 1 AO UNICREDIT BANK 100.00 Issued capital RUB 149,160,248 211 ORBIT PERFORMANCE STRATEGIES - ORBIT US CLASSE I U HAMILTON HAMILTON 4 UNICREDIT SPA .. (3) 212 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 10,149,150 213 OT-OPTIMA TELEKOM DD ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 36.90 44.70 Issued capital HRK 694,432,640 214 OTHMARSCHEN PARK HAMBURG GMBH & CO. GEWERBEPARK KG MUNICH MUNICH 1 HVB PROJEKT GMBH 10.00 Issued capital EUR 51,129 T & P FRANKFURT DEVELOPMENT B.V. 30.00 T & P VASTGOED STUTTGART B.V. 60.00 215 PAI (BERMUDA) LIMITED HAMILTON HAMILTON 1 UNICREDIT SPA 100.00 Issued capital USD 12,000 216 PAI MANAGEMENT LTD DUBLIN DUBLIN 1 UNICREDIT SPA 100.00 Issued capital EUR 1,032,000 217 PALAIS ROTHSCHILD VERMIETUNGS GMBH & CO OG VIENNA VIENNA 1 SCHOELLERBANK AKTIENGESELLSCHAFT 100.00 Issued capital EUR 2,180,185 218 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 36,336 219 PELOPS LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 220 PENSIONSKASSE DER HYPO VEREINSBANK VVAG MUNICH MUNICH 4 UNICREDIT BANK AG .. (3) 221 PIANA LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 222 PIRTA VERWALTUNGS GMBH VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 2,067,138 223 POLLUX IMMOBILIEN GMBH VIENNA VIENNA 1 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.20 Issued capital EUR 36,500 UNICREDIT BANK AUSTRIA AG 99.80 224 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 500,013,550 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 166 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 225 POSATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 226 PRELUDE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 227 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 228 QUADEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 229 QUART Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 230 QUINT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 231 RANA-LIEGENSCHAFTSVERWERTUNG GMBH VIENNA VIENNA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 99.90 Issued capital EUR 72,700 232 REAL INVEST EUROPE DER BANK AUSTRIA REAL INVEST IMMOBILIEN- KAPI VIENNA VIENNA 4 UNICREDIT BANK AUSTRIA AG .. (3) 233 REAL-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 234 REAL-RENT LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 73,000 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 235 REGEV REALITAETENVERWERTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 726,728 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 236 ROLIN GRUNDSTUCKSPLANUNGS- UND -VERWALTUNGSGESELLSCHAFT MBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 30,677 237 ROSENKAVALIER 2008 GMBH FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 238 ROSENKAVALIER 2015 UG FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 239 ROSENKAVALIER 2020 UG FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 240 SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO. OHG SAARLAND MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 1,533,900 241 SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO. OHG VERWALTUNGSZENTRUM MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 97.78 Issued capital EUR 2,300,850 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 2.22 242 SANITA' - S.R.L. IN LIQUIDAZIONE ROME ROME 1 UNICREDIT SPA 99.60 Issued capital EUR 5,164,333 243 SCHOELLERBANK AKTIENGESELLSCHAFT VIENNA VIENNA 1 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.01 Issued capital EUR 20,000,000 UNICREDIT BANK AUSTRIA AG 99.99 244 SCHOELLERBANK INVEST AG SALZBURG SALZBURG 1 SCHOELLERBANK AKTIENGESELLSCHAFT 100.00 Issued capital EUR 2,543,549 245 SECA-LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 246 SEDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 166 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 225 POSATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 226 PRELUDE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 227 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 228 QUADEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 229 QUART Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 230 QUINT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 231 RANA-LIEGENSCHAFTSVERWERTUNG GMBH VIENNA VIENNA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 99.90 Issued capital EUR 72,700 232 REAL INVEST EUROPE DER BANK AUSTRIA REAL INVEST IMMOBILIEN- KAPI VIENNA VIENNA 4 UNICREDIT BANK AUSTRIA AG .. (3) 233 REAL-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 234 REAL-RENT LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 73,000 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 235 REGEV REALITAETENVERWERTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 726,728 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 236 ROLIN GRUNDSTUCKSPLANUNGS- UND -VERWALTUNGSGESELLSCHAFT MBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 30,677 237 ROSENKAVALIER 2008 GMBH FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 238 ROSENKAVALIER 2015 UG FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 239 ROSENKAVALIER 2020 UG FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 240 SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO. OHG SAARLAND MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 1,533,900 241 SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO. OHG VERWALTUNGSZENTRUM MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 97.78 Issued capital EUR 2,300,850 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 2.22 242 SANITA' - S.R.L. IN LIQUIDAZIONE ROME ROME 1 UNICREDIT SPA 99.60 Issued capital EUR 5,164,333 243 SCHOELLERBANK AKTIENGESELLSCHAFT VIENNA VIENNA 1 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.01 Issued capital EUR 20,000,000 UNICREDIT BANK AUSTRIA AG 99.99 244 SCHOELLERBANK INVEST AG SALZBURG SALZBURG 1 SCHOELLERBANK AKTIENGESELLSCHAFT 100.00 Issued capital EUR 2,543,549 245 SECA-LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 246 SEDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 166 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 225 POSATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 226 PRELUDE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 227 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 228 QUADEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 229 QUART Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 230 QUINT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 231 RANA-LIEGENSCHAFTSVERWERTUNG GMBH VIENNA VIENNA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 99.90 Issued capital EUR 72,700 232 REAL INVEST EUROPE DER BANK AUSTRIA REAL INVEST IMMOBILIEN- KAPI VIENNA VIENNA 4 UNICREDIT BANK AUSTRIA AG .. (3) 233 REAL-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 234 REAL-RENT LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 73,000 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 235 REGEV REALITAETENVERWERTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 726,728 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 236 ROLIN GRUNDSTUCKSPLANUNGS- UND -VERWALTUNGSGESELLSCHAFT MBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 30,677 237 ROSENKAVALIER 2008 GMBH FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 238 ROSENKAVALIER 2015 UG FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 239 ROSENKAVALIER 2020 UG FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 240 SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO. OHG SAARLAND MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 1,533,900 241 SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO. OHG VERWALTUNGSZENTRUM MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 97.78 Issued capital EUR 2,300,850 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 2.22 242 SANITA' - S.R.L. IN LIQUIDAZIONE ROME ROME 1 UNICREDIT SPA 99.60 Issued capital EUR 5,164,333 243 SCHOELLERBANK AKTIENGESELLSCHAFT VIENNA VIENNA 1 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.01 Issued capital EUR 20,000,000 UNICREDIT BANK AUSTRIA AG 99.99 244 SCHOELLERBANK INVEST AG SALZBURG SALZBURG 1 SCHOELLERBANK AKTIENGESELLSCHAFT 100.00 Issued capital EUR 2,543,549 245 SECA-LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 246 SEDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 166 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 225 POSATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 226 PRELUDE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 227 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 228 QUADEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 229 QUART Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 230 QUINT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 231 RANA-LIEGENSCHAFTSVERWERTUNG GMBH VIENNA VIENNA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 99.90 Issued capital EUR 72,700 232 REAL INVEST EUROPE DER BANK AUSTRIA REAL INVEST IMMOBILIEN- KAPI VIENNA VIENNA 4 UNICREDIT BANK AUSTRIA AG .. (3) 233 REAL-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 234 REAL-RENT LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 73,000 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 235 REGEV REALITAETENVERWERTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 726,728 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 236 ROLIN GRUNDSTUCKSPLANUNGS- UND -VERWALTUNGSGESELLSCHAFT MBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 30,677 237 ROSENKAVALIER 2008 GMBH FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 238 ROSENKAVALIER 2015 UG FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 239 ROSENKAVALIER 2020 UG FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 240 SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO. OHG SAARLAND MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 1,533,900 241 SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO. OHG VERWALTUNGSZENTRUM MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 97.78 Issued capital EUR 2,300,850 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 2.22 242 SANITA' - S.R.L. IN LIQUIDAZIONE ROME ROME 1 UNICREDIT SPA 99.60 Issued capital EUR 5,164,333 243 SCHOELLERBANK AKTIENGESELLSCHAFT VIENNA VIENNA 1 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.01 Issued capital EUR 20,000,000 UNICREDIT BANK AUSTRIA AG 99.99 244 SCHOELLERBANK INVEST AG SALZBURG SALZBURG 1 SCHOELLERBANK AKTIENGESELLSCHAFT 100.00 Issued capital EUR 2,543,549 245 SECA-LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 246 SEDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 166 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 225 POSATO LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 226 PRELUDE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 227 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 228 QUADEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 229 QUART Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 230 QUINT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 231 RANA-LIEGENSCHAFTSVERWERTUNG GMBH VIENNA VIENNA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 99.90 Issued capital EUR 72,700 232 REAL INVEST EUROPE DER BANK AUSTRIA REAL INVEST IMMOBILIEN- KAPI VIENNA VIENNA 4 UNICREDIT BANK AUSTRIA AG .. (3) 233 REAL-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 234 REAL-RENT LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 73,000 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 235 REGEV REALITAETENVERWERTUNGSGESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 726,728 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 236 ROLIN GRUNDSTUCKSPLANUNGS- UND -VERWALTUNGSGESELLSCHAFT MBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 30,677 237 ROSENKAVALIER 2008 GMBH FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 238 ROSENKAVALIER 2015 UG FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 239 ROSENKAVALIER 2020 UG FRANKFURT FRANKFURT 4 UNICREDIT BANK AG .. (3) 240 SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO. OHG SAARLAND MUNICH MUNICH 1 HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG 100.00 Issued capital EUR 1,533,900 241 SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO. OHG VERWALTUNGSZENTRUM MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 97.78 Issued capital EUR 2,300,850 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT 2.22 242 SANITA' - S.R.L. IN LIQUIDAZIONE ROME ROME 1 UNICREDIT SPA 99.60 Issued capital EUR 5,164,333 243 SCHOELLERBANK AKTIENGESELLSCHAFT VIENNA VIENNA 1 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.01 Issued capital EUR 20,000,000 UNICREDIT BANK AUSTRIA AG 99.99 244 SCHOELLERBANK INVEST AG SALZBURG SALZBURG 1 SCHOELLERBANK AKTIENGESELLSCHAFT 100.00 Issued capital EUR 2,543,549 245 SECA-LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 246 SEDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 167 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 247 SEXT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 248 SIGMA LEASING GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.40 Issued capital EUR 18,286 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 0.40 249 SIRIUS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 5.00 Issued capital EUR 30,000 SOLOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. SIRIUS BETEILIGUNGS KG 95.00 250 SOCIETA' DI GESTIONI ESATTORIALI IN SICILIA SO.G.E.SI. S.P.A. IN LIQ. PALERMO PALERMO 1 UNICREDIT SPA 80.00 Issued capital EUR 36,151,500 251 SOFIGERE SOCIETE PAR ACTIONS SIMPLIFIEE (IN LIQUIDAZIONE) PARIS PARIS 1 UNICREDIT SPA 100.00 Issued capital EUR 40,000 252 SOLOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. SIRIUS BETEILIGUNGS KG MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 12,537,500 253 SONATA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 1.00 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 98.80 254 SPECTRUM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,336 255 STEWE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 24.00 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 75.80 256 STRUCTURED INVEST SOCIETE ANONYME LUXEMBOURG LUXEMBOURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 125,500 257 SUCCESS 2015 B.V. AMSTERDAM AMSTERDAM 4 UNICREDIT LEASING (AUSTRIA) GMBH .. (3) 258 T & P FRANKFURT DEVELOPMENT B.V. AMSTERDAM MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 4,938,271 259 T & P VASTGOED STUTTGART B.V. AMSTERDAM MUNICH 1 HVB PROJEKT GMBH 87.50 Issued capital EUR 10,769,773 260 TERRENO GRUNDSTUCKSVERWALTUNG GMBH & CO. ENTWICKLUNGS- UND FINANZIERUNGSVERMITTLUNGS-KG MUNICH MUNICH 1 HVB TECTA GMBH 75.00 Issued capital EUR 920,400 261 TERZ Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 262 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 100.00 Issued capital EUR 6,240,000 263 TREDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 264 TRICASA GRUNDBESITZ GESELLSCHAFT MBH & CO. 1. VERMIETUNGS KG MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 100.00 Issued capital EUR 6,979,476 265 TRICASA GRUNDBESITZGESELLSCHAFT DES BURGERLICHEN RECHTS NR. 1 MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 100.00 Issued capital EUR 13,687,272 266 UCLA AM WINTERHAFEN 11 IMMOBILIENLEASING GMBH & CO OG VIENNA VIENNA 1 UNICREDIT PEGASUS LEASING GMBH 50.00 Issued capital EUR 0 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 50.00 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 167 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 247 SEXT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 248 SIGMA LEASING GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.40 Issued capital EUR 18,286 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 0.40 249 SIRIUS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 5.00 Issued capital EUR 30,000 SOLOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. SIRIUS BETEILIGUNGS KG 95.00 250 SOCIETA' DI GESTIONI ESATTORIALI IN SICILIA SO.G.E.SI. S.P.A. IN LIQ. PALERMO PALERMO 1 UNICREDIT SPA 80.00 Issued capital EUR 36,151,500 251 SOFIGERE SOCIETE PAR ACTIONS SIMPLIFIEE (IN LIQUIDAZIONE) PARIS PARIS 1 UNICREDIT SPA 100.00 Issued capital EUR 40,000 252 SOLOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. SIRIUS BETEILIGUNGS KG MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 12,537,500 253 SONATA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 1.00 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 98.80 254 SPECTRUM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,336 255 STEWE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 24.00 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 75.80 256 STRUCTURED INVEST SOCIETE ANONYME LUXEMBOURG LUXEMBOURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 125,500 257 SUCCESS 2015 B.V. AMSTERDAM AMSTERDAM 4 UNICREDIT LEASING (AUSTRIA) GMBH .. (3) 258 T & P FRANKFURT DEVELOPMENT B.V. AMSTERDAM MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 4,938,271 259 T & P VASTGOED STUTTGART B.V. AMSTERDAM MUNICH 1 HVB PROJEKT GMBH 87.50 Issued capital EUR 10,769,773 260 TERRENO GRUNDSTUCKSVERWALTUNG GMBH & CO. ENTWICKLUNGS- UND FINANZIERUNGSVERMITTLUNGS-KG MUNICH MUNICH 1 HVB TECTA GMBH 75.00 Issued capital EUR 920,400 261 TERZ Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 262 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 100.00 Issued capital EUR 6,240,000 263 TREDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 264 TRICASA GRUNDBESITZ GESELLSCHAFT MBH & CO. 1. VERMIETUNGS KG MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 100.00 Issued capital EUR 6,979,476 265 TRICASA GRUNDBESITZGESELLSCHAFT DES BURGERLICHEN RECHTS NR. 1 MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 100.00 Issued capital EUR 13,687,272 266 UCLA AM WINTERHAFEN 11 IMMOBILIENLEASING GMBH & CO OG VIENNA VIENNA 1 UNICREDIT PEGASUS LEASING GMBH 50.00 Issued capital EUR 0 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 50.00 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 167 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 247 SEXT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 248 SIGMA LEASING GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.40 Issued capital EUR 18,286 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 0.40 249 SIRIUS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 5.00 Issued capital EUR 30,000 SOLOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. SIRIUS BETEILIGUNGS KG 95.00 250 SOCIETA' DI GESTIONI ESATTORIALI IN SICILIA SO.G.E.SI. S.P.A. IN LIQ. PALERMO PALERMO 1 UNICREDIT SPA 80.00 Issued capital EUR 36,151,500 251 SOFIGERE SOCIETE PAR ACTIONS SIMPLIFIEE (IN LIQUIDAZIONE) PARIS PARIS 1 UNICREDIT SPA 100.00 Issued capital EUR 40,000 252 SOLOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. SIRIUS BETEILIGUNGS KG MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 12,537,500 253 SONATA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 1.00 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 98.80 254 SPECTRUM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,336 255 STEWE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 24.00 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 75.80 256 STRUCTURED INVEST SOCIETE ANONYME LUXEMBOURG LUXEMBOURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 125,500 257 SUCCESS 2015 B.V. AMSTERDAM AMSTERDAM 4 UNICREDIT LEASING (AUSTRIA) GMBH .. (3) 258 T & P FRANKFURT DEVELOPMENT B.V. AMSTERDAM MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 4,938,271 259 T & P VASTGOED STUTTGART B.V. AMSTERDAM MUNICH 1 HVB PROJEKT GMBH 87.50 Issued capital EUR 10,769,773 260 TERRENO GRUNDSTUCKSVERWALTUNG GMBH & CO. ENTWICKLUNGS- UND FINANZIERUNGSVERMITTLUNGS-KG MUNICH MUNICH 1 HVB TECTA GMBH 75.00 Issued capital EUR 920,400 261 TERZ Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 262 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 100.00 Issued capital EUR 6,240,000 263 TREDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 264 TRICASA GRUNDBESITZ GESELLSCHAFT MBH & CO. 1. VERMIETUNGS KG MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 100.00 Issued capital EUR 6,979,476 265 TRICASA GRUNDBESITZGESELLSCHAFT DES BURGERLICHEN RECHTS NR. 1 MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 100.00 Issued capital EUR 13,687,272 266 UCLA AM WINTERHAFEN 11 IMMOBILIENLEASING GMBH & CO OG VIENNA VIENNA 1 UNICREDIT PEGASUS LEASING GMBH 50.00 Issued capital EUR 0 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 50.00 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 167 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 247 SEXT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 248 SIGMA LEASING GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.40 Issued capital EUR 18,286 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 0.40 249 SIRIUS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 5.00 Issued capital EUR 30,000 SOLOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. SIRIUS BETEILIGUNGS KG 95.00 250 SOCIETA' DI GESTIONI ESATTORIALI IN SICILIA SO.G.E.SI. S.P.A. IN LIQ. PALERMO PALERMO 1 UNICREDIT SPA 80.00 Issued capital EUR 36,151,500 251 SOFIGERE SOCIETE PAR ACTIONS SIMPLIFIEE (IN LIQUIDAZIONE) PARIS PARIS 1 UNICREDIT SPA 100.00 Issued capital EUR 40,000 252 SOLOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. SIRIUS BETEILIGUNGS KG MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 12,537,500 253 SONATA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 1.00 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 98.80 254 SPECTRUM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,336 255 STEWE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 24.00 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 75.80 256 STRUCTURED INVEST SOCIETE ANONYME LUXEMBOURG LUXEMBOURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 125,500 257 SUCCESS 2015 B.V. AMSTERDAM AMSTERDAM 4 UNICREDIT LEASING (AUSTRIA) GMBH .. (3) 258 T & P FRANKFURT DEVELOPMENT B.V. AMSTERDAM MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 4,938,271 259 T & P VASTGOED STUTTGART B.V. AMSTERDAM MUNICH 1 HVB PROJEKT GMBH 87.50 Issued capital EUR 10,769,773 260 TERRENO GRUNDSTUCKSVERWALTUNG GMBH & CO. ENTWICKLUNGS- UND FINANZIERUNGSVERMITTLUNGS-KG MUNICH MUNICH 1 HVB TECTA GMBH 75.00 Issued capital EUR 920,400 261 TERZ Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 262 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 100.00 Issued capital EUR 6,240,000 263 TREDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 264 TRICASA GRUNDBESITZ GESELLSCHAFT MBH & CO. 1. VERMIETUNGS KG MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 100.00 Issued capital EUR 6,979,476 265 TRICASA GRUNDBESITZGESELLSCHAFT DES BURGERLICHEN RECHTS NR. 1 MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 100.00 Issued capital EUR 13,687,272 266 UCLA AM WINTERHAFEN 11 IMMOBILIENLEASING GMBH & CO OG VIENNA VIENNA 1 UNICREDIT PEGASUS LEASING GMBH 50.00 Issued capital EUR 0 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 50.00 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 167 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 247 SEXT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 248 SIGMA LEASING GMBH VIENNA VIENNA 1 CALG ANLAGEN LEASING GMBH 99.40 Issued capital EUR 18,286 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 0.40 249 SIRIUS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH MUNICH MUNICH 1 HVB PROJEKT GMBH 5.00 Issued capital EUR 30,000 SOLOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. SIRIUS BETEILIGUNGS KG 95.00 250 SOCIETA' DI GESTIONI ESATTORIALI IN SICILIA SO.G.E.SI. S.P.A. IN LIQ. PALERMO PALERMO 1 UNICREDIT SPA 80.00 Issued capital EUR 36,151,500 251 SOFIGERE SOCIETE PAR ACTIONS SIMPLIFIEE (IN LIQUIDAZIONE) PARIS PARIS 1 UNICREDIT SPA 100.00 Issued capital EUR 40,000 252 SOLOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. SIRIUS BETEILIGUNGS KG MUNICH MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 12,537,500 253 SONATA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H. 1.00 Issued capital EUR 36,336 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 98.80 254 SPECTRUM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 36,336 255 STEWE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 PROJEKT-LEASE GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 24.00 Issued capital EUR 36,337 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 75.80 256 STRUCTURED INVEST SOCIETE ANONYME LUXEMBOURG LUXEMBOURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 125,500 257 SUCCESS 2015 B.V. AMSTERDAM AMSTERDAM 4 UNICREDIT LEASING (AUSTRIA) GMBH .. (3) 258 T & P FRANKFURT DEVELOPMENT B.V. AMSTERDAM MUNICH 1 HVB PROJEKT GMBH 100.00 Issued capital EUR 4,938,271 259 T & P VASTGOED STUTTGART B.V. AMSTERDAM MUNICH 1 HVB PROJEKT GMBH 87.50 Issued capital EUR 10,769,773 260 TERRENO GRUNDSTUCKSVERWALTUNG GMBH & CO. ENTWICKLUNGS- UND FINANZIERUNGSVERMITTLUNGS-KG MUNICH MUNICH 1 HVB TECTA GMBH 75.00 Issued capital EUR 920,400 261 TERZ Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 262 TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT MUNICH MUNICH 1 PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT KG 100.00 Issued capital EUR 6,240,000 263 TREDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 264 TRICASA GRUNDBESITZ GESELLSCHAFT MBH & CO. 1. VERMIETUNGS KG MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 100.00 Issued capital EUR 6,979,476 265 TRICASA GRUNDBESITZGESELLSCHAFT DES BURGERLICHEN RECHTS NR. 1 MUNICH MUNICH 1 ORESTOS IMMOBILIEN-VERWALTUNGS GMBH 100.00 Issued capital EUR 13,687,272 266 UCLA AM WINTERHAFEN 11 IMMOBILIENLEASING GMBH & CO OG VIENNA VIENNA 1 UNICREDIT PEGASUS LEASING GMBH 50.00 Issued capital EUR 0 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 50.00 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 168 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 267 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 90.00 Issued capital EUR 10,000 BA-CA ANDANTE LEASING GMBH 10.00 268 UCTAM BALTICS SIA RIGA RIGA 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital EUR 4,265,585 269 UCTAM BH D.O.O. MOSTAR MOSTAR 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital BAM 2,000 270 UCTAM BULGARIA EOOD SOFIA SOFIA 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital BGN 20,000 271 UCTAM CZECH REPUBLIC SRO PRAGUE PRAGUE 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital CZK 45,500,000 272 UCTAM D.O.O. BEOGRAD BELGRADE BELGRADE 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital RSD 631,564,325 273 UCTAM RU LIMITED LIABILITY COMPANY MOSCOW MOSCOW 1 UCTAM BALTICS SIA .. Issued capital RUB 4,000,000 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 274 UCTAM SVK S.R.O. BRATISLAVA BRATISLAVA 1 UCTAM BALTICS SIA 15.00 0.01 Issued capital EUR 5,000 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 85.00 99.99 275 UFFICIUM IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 KUTRA GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 5.00 Issued capital EUR 36,337 UNICREDIT LEASING (AUSTRIA) GMBH 95.00 276 UNICOM IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 277 UNICREDIT AURORA LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 219,000 278 UNICREDIT BANK A.D. BANJA LUKA BANJA LUKA BANJA LUKA 1 UNICREDIT SPA 99.44 Issued capital BAM 97,055,000 279 UNICREDIT BANK AG MUNICH MUNICH 1 UNICREDIT SPA 100.00 Issued capital EUR 2,407,151,016 280 UNICREDIT BANK AUSTRIA AG VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 1,681,033,521 281 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. PRAGUE PRAGUE 1 UNICREDIT SPA 100.00 Issued capital CZK 8,754,617,898 282 UNICREDIT BANK D.D. MOSTAR MOSTAR 1 ZAGREBACKA BANKA D.D. 99.35 99.31 Issued capital BAM 119,195,000 283 UNICREDIT BANK HUNGARY ZRT. BUDAPEST BUDAPEST 1 UNICREDIT SPA 100.00 Issued capital HUF 24,118,220,000 284 UNICREDIT BANK S.A. BUCHAREST BUCHAREST 1 UNICREDIT SPA 98.63 Issued capital RON 1,177,748,253 285 UNICREDIT BANK SERBIA JSC BELGRADE BELGRADE 1 UNICREDIT SPA 100.00 Issued capital RSD 23,607,620,000 286 UNICREDIT BANKA SLOVENIJA D.D. LJUBLJANA LJUBLJANA 1 UNICREDIT SPA 100.00 Issued capital EUR 20,383,698 287 UNICREDIT BETEILIGUNGS GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 1,000,000 288 UNICREDIT BPC MORTAGE SRL (COVERED BONDS) VERONA VERONA 4 UNICREDIT SPA .. (3) 289 UNICREDIT BPC MORTGAGE S.R.L. VERONA VERONA 1 UNICREDIT SPA 60.00 Issued capital EUR 12,000 290 UNICREDIT BROKER S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 8,266 291 UNICREDIT BULBANK AD SOFIA SOFIA 1 UNICREDIT SPA 99.45 Issued capital BGN 285,776,674 292 UNICREDIT CAPITAL MARKETS LLC NEW YORK NEW YORK 1 UNICREDIT U.S. FINANCE LLC 100.00 Issued capital USD 100,100 293 UNICREDIT CENTER AM KAISERWASSER GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 35,000 294 UNICREDIT CONSUMER FINANCING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 2,800,000 295 UNICREDIT CONSUMER FINANCING IFN S.A. BUCHAREST BUCHAREST 1 UNICREDIT BANK S.A. 50.10 Issued capital RON 103,269,200 UNICREDIT SPA 49.90 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 168 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 267 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 90.00 Issued capital EUR 10,000 BA-CA ANDANTE LEASING GMBH 10.00 268 UCTAM BALTICS SIA RIGA RIGA 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital EUR 4,265,585 269 UCTAM BH D.O.O. MOSTAR MOSTAR 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital BAM 2,000 270 UCTAM BULGARIA EOOD SOFIA SOFIA 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital BGN 20,000 271 UCTAM CZECH REPUBLIC SRO PRAGUE PRAGUE 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital CZK 45,500,000 272 UCTAM D.O.O. BEOGRAD BELGRADE BELGRADE 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital RSD 631,564,325 273 UCTAM RU LIMITED LIABILITY COMPANY MOSCOW MOSCOW 1 UCTAM BALTICS SIA .. Issued capital RUB 4,000,000 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 274 UCTAM SVK S.R.O. BRATISLAVA BRATISLAVA 1 UCTAM BALTICS SIA 15.00 0.01 Issued capital EUR 5,000 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 85.00 99.99 275 UFFICIUM IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 KUTRA GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 5.00 Issued capital EUR 36,337 UNICREDIT LEASING (AUSTRIA) GMBH 95.00 276 UNICOM IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 277 UNICREDIT AURORA LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 219,000 278 UNICREDIT BANK A.D. BANJA LUKA BANJA LUKA BANJA LUKA 1 UNICREDIT SPA 99.44 Issued capital BAM 97,055,000 279 UNICREDIT BANK AG MUNICH MUNICH 1 UNICREDIT SPA 100.00 Issued capital EUR 2,407,151,016 280 UNICREDIT BANK AUSTRIA AG VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 1,681,033,521 281 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. PRAGUE PRAGUE 1 UNICREDIT SPA 100.00 Issued capital CZK 8,754,617,898 282 UNICREDIT BANK D.D. MOSTAR MOSTAR 1 ZAGREBACKA BANKA D.D. 99.35 99.31 Issued capital BAM 119,195,000 283 UNICREDIT BANK HUNGARY ZRT. BUDAPEST BUDAPEST 1 UNICREDIT SPA 100.00 Issued capital HUF 24,118,220,000 284 UNICREDIT BANK S.A. BUCHAREST BUCHAREST 1 UNICREDIT SPA 98.63 Issued capital RON 1,177,748,253 285 UNICREDIT BANK SERBIA JSC BELGRADE BELGRADE 1 UNICREDIT SPA 100.00 Issued capital RSD 23,607,620,000 286 UNICREDIT BANKA SLOVENIJA D.D. LJUBLJANA LJUBLJANA 1 UNICREDIT SPA 100.00 Issued capital EUR 20,383,698 287 UNICREDIT BETEILIGUNGS GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 1,000,000 288 UNICREDIT BPC MORTAGE SRL (COVERED BONDS) VERONA VERONA 4 UNICREDIT SPA .. (3) 289 UNICREDIT BPC MORTGAGE S.R.L. VERONA VERONA 1 UNICREDIT SPA 60.00 Issued capital EUR 12,000 290 UNICREDIT BROKER S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 8,266 291 UNICREDIT BULBANK AD SOFIA SOFIA 1 UNICREDIT SPA 99.45 Issued capital BGN 285,776,674 292 UNICREDIT CAPITAL MARKETS LLC NEW YORK NEW YORK 1 UNICREDIT U.S. FINANCE LLC 100.00 Issued capital USD 100,100 293 UNICREDIT CENTER AM KAISERWASSER GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 35,000 294 UNICREDIT CONSUMER FINANCING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 2,800,000 295 UNICREDIT CONSUMER FINANCING IFN S.A. BUCHAREST BUCHAREST 1 UNICREDIT BANK S.A. 50.10 Issued capital RON 103,269,200 UNICREDIT SPA 49.90 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 168 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 267 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 90.00 Issued capital EUR 10,000 BA-CA ANDANTE LEASING GMBH 10.00 268 UCTAM BALTICS SIA RIGA RIGA 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital EUR 4,265,585 269 UCTAM BH D.O.O. MOSTAR MOSTAR 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital BAM 2,000 270 UCTAM BULGARIA EOOD SOFIA SOFIA 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital BGN 20,000 271 UCTAM CZECH REPUBLIC SRO PRAGUE PRAGUE 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital CZK 45,500,000 272 UCTAM D.O.O. BEOGRAD BELGRADE BELGRADE 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital RSD 631,564,325 273 UCTAM RU LIMITED LIABILITY COMPANY MOSCOW MOSCOW 1 UCTAM BALTICS SIA .. Issued capital RUB 4,000,000 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 274 UCTAM SVK S.R.O. BRATISLAVA BRATISLAVA 1 UCTAM BALTICS SIA 15.00 0.01 Issued capital EUR 5,000 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 85.00 99.99 275 UFFICIUM IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 KUTRA GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 5.00 Issued capital EUR 36,337 UNICREDIT LEASING (AUSTRIA) GMBH 95.00 276 UNICOM IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 277 UNICREDIT AURORA LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 219,000 278 UNICREDIT BANK A.D. BANJA LUKA BANJA LUKA BANJA LUKA 1 UNICREDIT SPA 99.44 Issued capital BAM 97,055,000 279 UNICREDIT BANK AG MUNICH MUNICH 1 UNICREDIT SPA 100.00 Issued capital EUR 2,407,151,016 280 UNICREDIT BANK AUSTRIA AG VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 1,681,033,521 281 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. PRAGUE PRAGUE 1 UNICREDIT SPA 100.00 Issued capital CZK 8,754,617,898 282 UNICREDIT BANK D.D. MOSTAR MOSTAR 1 ZAGREBACKA BANKA D.D. 99.35 99.31 Issued capital BAM 119,195,000 283 UNICREDIT BANK HUNGARY ZRT. BUDAPEST BUDAPEST 1 UNICREDIT SPA 100.00 Issued capital HUF 24,118,220,000 284 UNICREDIT BANK S.A. BUCHAREST BUCHAREST 1 UNICREDIT SPA 98.63 Issued capital RON 1,177,748,253 285 UNICREDIT BANK SERBIA JSC BELGRADE BELGRADE 1 UNICREDIT SPA 100.00 Issued capital RSD 23,607,620,000 286 UNICREDIT BANKA SLOVENIJA D.D. LJUBLJANA LJUBLJANA 1 UNICREDIT SPA 100.00 Issued capital EUR 20,383,698 287 UNICREDIT BETEILIGUNGS GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 1,000,000 288 UNICREDIT BPC MORTAGE SRL (COVERED BONDS) VERONA VERONA 4 UNICREDIT SPA .. (3) 289 UNICREDIT BPC MORTGAGE S.R.L. VERONA VERONA 1 UNICREDIT SPA 60.00 Issued capital EUR 12,000 290 UNICREDIT BROKER S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 8,266 291 UNICREDIT BULBANK AD SOFIA SOFIA 1 UNICREDIT SPA 99.45 Issued capital BGN 285,776,674 292 UNICREDIT CAPITAL MARKETS LLC NEW YORK NEW YORK 1 UNICREDIT U.S. FINANCE LLC 100.00 Issued capital USD 100,100 293 UNICREDIT CENTER AM KAISERWASSER GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 35,000 294 UNICREDIT CONSUMER FINANCING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 2,800,000 295 UNICREDIT CONSUMER FINANCING IFN S.A. BUCHAREST BUCHAREST 1 UNICREDIT BANK S.A. 50.10 Issued capital RON 103,269,200 UNICREDIT SPA 49.90 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 168 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 267 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 90.00 Issued capital EUR 10,000 BA-CA ANDANTE LEASING GMBH 10.00 268 UCTAM BALTICS SIA RIGA RIGA 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital EUR 4,265,585 269 UCTAM BH D.O.O. MOSTAR MOSTAR 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital BAM 2,000 270 UCTAM BULGARIA EOOD SOFIA SOFIA 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital BGN 20,000 271 UCTAM CZECH REPUBLIC SRO PRAGUE PRAGUE 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital CZK 45,500,000 272 UCTAM D.O.O. BEOGRAD BELGRADE BELGRADE 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital RSD 631,564,325 273 UCTAM RU LIMITED LIABILITY COMPANY MOSCOW MOSCOW 1 UCTAM BALTICS SIA .. Issued capital RUB 4,000,000 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 274 UCTAM SVK S.R.O. BRATISLAVA BRATISLAVA 1 UCTAM BALTICS SIA 15.00 0.01 Issued capital EUR 5,000 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 85.00 99.99 275 UFFICIUM IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 KUTRA GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 5.00 Issued capital EUR 36,337 UNICREDIT LEASING (AUSTRIA) GMBH 95.00 276 UNICOM IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 277 UNICREDIT AURORA LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 219,000 278 UNICREDIT BANK A.D. BANJA LUKA BANJA LUKA BANJA LUKA 1 UNICREDIT SPA 99.44 Issued capital BAM 97,055,000 279 UNICREDIT BANK AG MUNICH MUNICH 1 UNICREDIT SPA 100.00 Issued capital EUR 2,407,151,016 280 UNICREDIT BANK AUSTRIA AG VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 1,681,033,521 281 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. PRAGUE PRAGUE 1 UNICREDIT SPA 100.00 Issued capital CZK 8,754,617,898 282 UNICREDIT BANK D.D. MOSTAR MOSTAR 1 ZAGREBACKA BANKA D.D. 99.35 99.31 Issued capital BAM 119,195,000 283 UNICREDIT BANK HUNGARY ZRT. BUDAPEST BUDAPEST 1 UNICREDIT SPA 100.00 Issued capital HUF 24,118,220,000 284 UNICREDIT BANK S.A. BUCHAREST BUCHAREST 1 UNICREDIT SPA 98.63 Issued capital RON 1,177,748,253 285 UNICREDIT BANK SERBIA JSC BELGRADE BELGRADE 1 UNICREDIT SPA 100.00 Issued capital RSD 23,607,620,000 286 UNICREDIT BANKA SLOVENIJA D.D. LJUBLJANA LJUBLJANA 1 UNICREDIT SPA 100.00 Issued capital EUR 20,383,698 287 UNICREDIT BETEILIGUNGS GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 1,000,000 288 UNICREDIT BPC MORTAGE SRL (COVERED BONDS) VERONA VERONA 4 UNICREDIT SPA .. (3) 289 UNICREDIT BPC MORTGAGE S.R.L. VERONA VERONA 1 UNICREDIT SPA 60.00 Issued capital EUR 12,000 290 UNICREDIT BROKER S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 8,266 291 UNICREDIT BULBANK AD SOFIA SOFIA 1 UNICREDIT SPA 99.45 Issued capital BGN 285,776,674 292 UNICREDIT CAPITAL MARKETS LLC NEW YORK NEW YORK 1 UNICREDIT U.S. FINANCE LLC 100.00 Issued capital USD 100,100 293 UNICREDIT CENTER AM KAISERWASSER GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 35,000 294 UNICREDIT CONSUMER FINANCING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 2,800,000 295 UNICREDIT CONSUMER FINANCING IFN S.A. BUCHAREST BUCHAREST 1 UNICREDIT BANK S.A. 50.10 Issued capital RON 103,269,200 UNICREDIT SPA 49.90 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 168 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 267 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 90.00 Issued capital EUR 10,000 BA-CA ANDANTE LEASING GMBH 10.00 268 UCTAM BALTICS SIA RIGA RIGA 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital EUR 4,265,585 269 UCTAM BH D.O.O. MOSTAR MOSTAR 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital BAM 2,000 270 UCTAM BULGARIA EOOD SOFIA SOFIA 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital BGN 20,000 271 UCTAM CZECH REPUBLIC SRO PRAGUE PRAGUE 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital CZK 45,500,000 272 UCTAM D.O.O. BEOGRAD BELGRADE BELGRADE 1 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 Issued capital RSD 631,564,325 273 UCTAM RU LIMITED LIABILITY COMPANY MOSCOW MOSCOW 1 UCTAM BALTICS SIA .. Issued capital RUB 4,000,000 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 100.00 274 UCTAM SVK S.R.O. BRATISLAVA BRATISLAVA 1 UCTAM BALTICS SIA 15.00 0.01 Issued capital EUR 5,000 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH 85.00 99.99 275 UFFICIUM IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 KUTRA GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. 5.00 Issued capital EUR 36,337 UNICREDIT LEASING (AUSTRIA) GMBH 95.00 276 UNICOM IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 277 UNICREDIT AURORA LEASING GMBH VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 219,000 278 UNICREDIT BANK A.D. BANJA LUKA BANJA LUKA BANJA LUKA 1 UNICREDIT SPA 99.44 Issued capital BAM 97,055,000 279 UNICREDIT BANK AG MUNICH MUNICH 1 UNICREDIT SPA 100.00 Issued capital EUR 2,407,151,016 280 UNICREDIT BANK AUSTRIA AG VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 1,681,033,521 281 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. PRAGUE PRAGUE 1 UNICREDIT SPA 100.00 Issued capital CZK 8,754,617,898 282 UNICREDIT BANK D.D. MOSTAR MOSTAR 1 ZAGREBACKA BANKA D.D. 99.35 99.31 Issued capital BAM 119,195,000 283 UNICREDIT BANK HUNGARY ZRT. BUDAPEST BUDAPEST 1 UNICREDIT SPA 100.00 Issued capital HUF 24,118,220,000 284 UNICREDIT BANK S.A. BUCHAREST BUCHAREST 1 UNICREDIT SPA 98.63 Issued capital RON 1,177,748,253 285 UNICREDIT BANK SERBIA JSC BELGRADE BELGRADE 1 UNICREDIT SPA 100.00 Issued capital RSD 23,607,620,000 286 UNICREDIT BANKA SLOVENIJA D.D. LJUBLJANA LJUBLJANA 1 UNICREDIT SPA 100.00 Issued capital EUR 20,383,698 287 UNICREDIT BETEILIGUNGS GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 1,000,000 288 UNICREDIT BPC MORTAGE SRL (COVERED BONDS) VERONA VERONA 4 UNICREDIT SPA .. (3) 289 UNICREDIT BPC MORTGAGE S.R.L. VERONA VERONA 1 UNICREDIT SPA 60.00 Issued capital EUR 12,000 290 UNICREDIT BROKER S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 8,266 291 UNICREDIT BULBANK AD SOFIA SOFIA 1 UNICREDIT SPA 99.45 Issued capital BGN 285,776,674 292 UNICREDIT CAPITAL MARKETS LLC NEW YORK NEW YORK 1 UNICREDIT U.S. FINANCE LLC 100.00 Issued capital USD 100,100 293 UNICREDIT CENTER AM KAISERWASSER GMBH VIENNA VIENNA 1 UNICREDIT BANK AUSTRIA AG 100.00 Issued capital EUR 35,000 294 UNICREDIT CONSUMER FINANCING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 2,800,000 295 UNICREDIT CONSUMER FINANCING IFN S.A. BUCHAREST BUCHAREST 1 UNICREDIT BANK S.A. 50.10 Issued capital RON 103,269,200 UNICREDIT SPA 49.90 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 169 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 296 UNICREDIT DIRECT SERVICES GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 767,000 297 UNICREDIT FACTORING CZECH REPUBLIC AND SLOVAKIA, A.S. PRAGUE PRAGUE 1 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. 100.00 Issued capital CZK 222,600,000 298 UNICREDIT FACTORING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 1,000,000 299 UNICREDIT FACTORING SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 414,348,000 300 UNICREDIT FLEET MANAGEMENT EOOD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 100,000 301 UNICREDIT FLEET MANAGEMENT S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 5,000,000 302 UNICREDIT FLEET MANAGEMENT S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 6,639 303 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH VIENNA VIENNA 1 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 57,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 304 UNICREDIT GUSTRA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 305 UNICREDIT HAMRED LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 306 UNICREDIT INSURANCE BROKER EOOD SOFIA SOFIA 1 UNICREDIT LEASING EAD 100.00 Issued capital BGN 5,000 307 UNICREDIT INSURANCE BROKER SRL BUCHAREST BUCHAREST 1 UNICREDIT LEASING CORPORATION IFN S.A. 100.00 Issued capital RON 150,000 308 UNICREDIT INSURANCE MANAGEMENT CEE GMBH VIENNA VIENNA 1 PIRTA VERWALTUNGS GMBH 100.00 Issued capital EUR 156,905 309 UNICREDIT INTERNATIONAL BANK (LUXEMBOURG) SA LUXEMBOURG LUXEMBOURG 1 UNICREDIT SPA 100.00 Issued capital EUR 13,406,600 310 UNICREDIT JELZALOGBANK ZRT. BUDAPEST BUDAPEST 1 UNICREDIT BANK HUNGARY ZRT. 100.00 Issued capital HUF 3,000,000,000 311 UNICREDIT KFZ LEASING GMBH VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 648,000 312 UNICREDIT LEASED ASSET MANAGEMENT SPA MILAN MILAN 1 UNICREDIT LEASING SPA 100.00 Issued capital EUR 1,000,000 313 UNICREDIT LEASING (AUSTRIA) GMBH VIENNA VIENNA 1 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. 10.00 Issued capital EUR 17,296,134 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.02 UNICREDIT BANK AUSTRIA AG 89.98 314 UNICREDIT LEASING ALPHA ASSETVERMIETUNG GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 35,000 315 UNICREDIT LEASING AVIATION GMBH HAMBURG HAMBURG 1 UNICREDIT LEASING GMBH 100.00 Issued capital EUR 1,600,000 316 UNICREDIT LEASING CORPORATION IFN S.A. BUCHAREST BUCHAREST 1 UNICREDIT BANK S.A. 99.96 Issued capital RON 90,989,013 UNICREDIT CONSUMER FINANCING IFN S.A. 0.04 317 UNICREDIT LEASING CROATIA D.O.O. ZA LEASING ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 100.00 Issued capital HRK 28,741,800 318 UNICREDIT LEASING CZ, A.S. PRAGUE PRAGUE 1 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. 100.00 Issued capital CZK 981,452,000 319 UNICREDIT LEASING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 2,605,000 320 UNICREDIT LEASING FINANCE GMBH HAMBURG HAMBURG 1 UNICREDIT LEASING GMBH 100.00 Issued capital EUR 17,580,000 321 UNICREDIT LEASING FLEET MANAGEMENT S.R.L. BUCHAREST BUCHAREST 1 PIRTA VERWALTUNGS GMBH 90.02 Issued capital RON 680,000 UNICREDIT LEASING CORPORATION IFN S.A. 9.98 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 169 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 296 UNICREDIT DIRECT SERVICES GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 767,000 297 UNICREDIT FACTORING CZECH REPUBLIC AND SLOVAKIA, A.S. PRAGUE PRAGUE 1 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. 100.00 Issued capital CZK 222,600,000 298 UNICREDIT FACTORING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 1,000,000 299 UNICREDIT FACTORING SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 414,348,000 300 UNICREDIT FLEET MANAGEMENT EOOD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 100,000 301 UNICREDIT FLEET MANAGEMENT S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 5,000,000 302 UNICREDIT FLEET MANAGEMENT S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 6,639 303 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH VIENNA VIENNA 1 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 57,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 304 UNICREDIT GUSTRA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 305 UNICREDIT HAMRED LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 306 UNICREDIT INSURANCE BROKER EOOD SOFIA SOFIA 1 UNICREDIT LEASING EAD 100.00 Issued capital BGN 5,000 307 UNICREDIT INSURANCE BROKER SRL BUCHAREST BUCHAREST 1 UNICREDIT LEASING CORPORATION IFN S.A. 100.00 Issued capital RON 150,000 308 UNICREDIT INSURANCE MANAGEMENT CEE GMBH VIENNA VIENNA 1 PIRTA VERWALTUNGS GMBH 100.00 Issued capital EUR 156,905 309 UNICREDIT INTERNATIONAL BANK (LUXEMBOURG) SA LUXEMBOURG LUXEMBOURG 1 UNICREDIT SPA 100.00 Issued capital EUR 13,406,600 310 UNICREDIT JELZALOGBANK ZRT. BUDAPEST BUDAPEST 1 UNICREDIT BANK HUNGARY ZRT. 100.00 Issued capital HUF 3,000,000,000 311 UNICREDIT KFZ LEASING GMBH VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 648,000 312 UNICREDIT LEASED ASSET MANAGEMENT SPA MILAN MILAN 1 UNICREDIT LEASING SPA 100.00 Issued capital EUR 1,000,000 313 UNICREDIT LEASING (AUSTRIA) GMBH VIENNA VIENNA 1 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. 10.00 Issued capital EUR 17,296,134 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.02 UNICREDIT BANK AUSTRIA AG 89.98 314 UNICREDIT LEASING ALPHA ASSETVERMIETUNG GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 35,000 315 UNICREDIT LEASING AVIATION GMBH HAMBURG HAMBURG 1 UNICREDIT LEASING GMBH 100.00 Issued capital EUR 1,600,000 316 UNICREDIT LEASING CORPORATION IFN S.A. BUCHAREST BUCHAREST 1 UNICREDIT BANK S.A. 99.96 Issued capital RON 90,989,013 UNICREDIT CONSUMER FINANCING IFN S.A. 0.04 317 UNICREDIT LEASING CROATIA D.O.O. ZA LEASING ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 100.00 Issued capital HRK 28,741,800 318 UNICREDIT LEASING CZ, A.S. PRAGUE PRAGUE 1 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. 100.00 Issued capital CZK 981,452,000 319 UNICREDIT LEASING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 2,605,000 320 UNICREDIT LEASING FINANCE GMBH HAMBURG HAMBURG 1 UNICREDIT LEASING GMBH 100.00 Issued capital EUR 17,580,000 321 UNICREDIT LEASING FLEET MANAGEMENT S.R.L. BUCHAREST BUCHAREST 1 PIRTA VERWALTUNGS GMBH 90.02 Issued capital RON 680,000 UNICREDIT LEASING CORPORATION IFN S.A. 9.98 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 169 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 296 UNICREDIT DIRECT SERVICES GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 767,000 297 UNICREDIT FACTORING CZECH REPUBLIC AND SLOVAKIA, A.S. PRAGUE PRAGUE 1 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. 100.00 Issued capital CZK 222,600,000 298 UNICREDIT FACTORING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 1,000,000 299 UNICREDIT FACTORING SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 414,348,000 300 UNICREDIT FLEET MANAGEMENT EOOD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 100,000 301 UNICREDIT FLEET MANAGEMENT S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 5,000,000 302 UNICREDIT FLEET MANAGEMENT S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 6,639 303 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH VIENNA VIENNA 1 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 57,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 304 UNICREDIT GUSTRA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 305 UNICREDIT HAMRED LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 306 UNICREDIT INSURANCE BROKER EOOD SOFIA SOFIA 1 UNICREDIT LEASING EAD 100.00 Issued capital BGN 5,000 307 UNICREDIT INSURANCE BROKER SRL BUCHAREST BUCHAREST 1 UNICREDIT LEASING CORPORATION IFN S.A. 100.00 Issued capital RON 150,000 308 UNICREDIT INSURANCE MANAGEMENT CEE GMBH VIENNA VIENNA 1 PIRTA VERWALTUNGS GMBH 100.00 Issued capital EUR 156,905 309 UNICREDIT INTERNATIONAL BANK (LUXEMBOURG) SA LUXEMBOURG LUXEMBOURG 1 UNICREDIT SPA 100.00 Issued capital EUR 13,406,600 310 UNICREDIT JELZALOGBANK ZRT. BUDAPEST BUDAPEST 1 UNICREDIT BANK HUNGARY ZRT. 100.00 Issued capital HUF 3,000,000,000 311 UNICREDIT KFZ LEASING GMBH VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 648,000 312 UNICREDIT LEASED ASSET MANAGEMENT SPA MILAN MILAN 1 UNICREDIT LEASING SPA 100.00 Issued capital EUR 1,000,000 313 UNICREDIT LEASING (AUSTRIA) GMBH VIENNA VIENNA 1 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. 10.00 Issued capital EUR 17,296,134 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.02 UNICREDIT BANK AUSTRIA AG 89.98 314 UNICREDIT LEASING ALPHA ASSETVERMIETUNG GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 35,000 315 UNICREDIT LEASING AVIATION GMBH HAMBURG HAMBURG 1 UNICREDIT LEASING GMBH 100.00 Issued capital EUR 1,600,000 316 UNICREDIT LEASING CORPORATION IFN S.A. BUCHAREST BUCHAREST 1 UNICREDIT BANK S.A. 99.96 Issued capital RON 90,989,013 UNICREDIT CONSUMER FINANCING IFN S.A. 0.04 317 UNICREDIT LEASING CROATIA D.O.O. ZA LEASING ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 100.00 Issued capital HRK 28,741,800 318 UNICREDIT LEASING CZ, A.S. PRAGUE PRAGUE 1 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. 100.00 Issued capital CZK 981,452,000 319 UNICREDIT LEASING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 2,605,000 320 UNICREDIT LEASING FINANCE GMBH HAMBURG HAMBURG 1 UNICREDIT LEASING GMBH 100.00 Issued capital EUR 17,580,000 321 UNICREDIT LEASING FLEET MANAGEMENT S.R.L. BUCHAREST BUCHAREST 1 PIRTA VERWALTUNGS GMBH 90.02 Issued capital RON 680,000 UNICREDIT LEASING CORPORATION IFN S.A. 9.98 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 169 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 296 UNICREDIT DIRECT SERVICES GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 767,000 297 UNICREDIT FACTORING CZECH REPUBLIC AND SLOVAKIA, A.S. PRAGUE PRAGUE 1 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. 100.00 Issued capital CZK 222,600,000 298 UNICREDIT FACTORING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 1,000,000 299 UNICREDIT FACTORING SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 414,348,000 300 UNICREDIT FLEET MANAGEMENT EOOD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 100,000 301 UNICREDIT FLEET MANAGEMENT S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 5,000,000 302 UNICREDIT FLEET MANAGEMENT S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 6,639 303 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH VIENNA VIENNA 1 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 57,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 304 UNICREDIT GUSTRA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 305 UNICREDIT HAMRED LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 306 UNICREDIT INSURANCE BROKER EOOD SOFIA SOFIA 1 UNICREDIT LEASING EAD 100.00 Issued capital BGN 5,000 307 UNICREDIT INSURANCE BROKER SRL BUCHAREST BUCHAREST 1 UNICREDIT LEASING CORPORATION IFN S.A. 100.00 Issued capital RON 150,000 308 UNICREDIT INSURANCE MANAGEMENT CEE GMBH VIENNA VIENNA 1 PIRTA VERWALTUNGS GMBH 100.00 Issued capital EUR 156,905 309 UNICREDIT INTERNATIONAL BANK (LUXEMBOURG) SA LUXEMBOURG LUXEMBOURG 1 UNICREDIT SPA 100.00 Issued capital EUR 13,406,600 310 UNICREDIT JELZALOGBANK ZRT. BUDAPEST BUDAPEST 1 UNICREDIT BANK HUNGARY ZRT. 100.00 Issued capital HUF 3,000,000,000 311 UNICREDIT KFZ LEASING GMBH VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 648,000 312 UNICREDIT LEASED ASSET MANAGEMENT SPA MILAN MILAN 1 UNICREDIT LEASING SPA 100.00 Issued capital EUR 1,000,000 313 UNICREDIT LEASING (AUSTRIA) GMBH VIENNA VIENNA 1 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. 10.00 Issued capital EUR 17,296,134 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.02 UNICREDIT BANK AUSTRIA AG 89.98 314 UNICREDIT LEASING ALPHA ASSETVERMIETUNG GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 35,000 315 UNICREDIT LEASING AVIATION GMBH HAMBURG HAMBURG 1 UNICREDIT LEASING GMBH 100.00 Issued capital EUR 1,600,000 316 UNICREDIT LEASING CORPORATION IFN S.A. BUCHAREST BUCHAREST 1 UNICREDIT BANK S.A. 99.96 Issued capital RON 90,989,013 UNICREDIT CONSUMER FINANCING IFN S.A. 0.04 317 UNICREDIT LEASING CROATIA D.O.O. ZA LEASING ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 100.00 Issued capital HRK 28,741,800 318 UNICREDIT LEASING CZ, A.S. PRAGUE PRAGUE 1 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. 100.00 Issued capital CZK 981,452,000 319 UNICREDIT LEASING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 2,605,000 320 UNICREDIT LEASING FINANCE GMBH HAMBURG HAMBURG 1 UNICREDIT LEASING GMBH 100.00 Issued capital EUR 17,580,000 321 UNICREDIT LEASING FLEET MANAGEMENT S.R.L. BUCHAREST BUCHAREST 1 PIRTA VERWALTUNGS GMBH 90.02 Issued capital RON 680,000 UNICREDIT LEASING CORPORATION IFN S.A. 9.98 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 169 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 296 UNICREDIT DIRECT SERVICES GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 767,000 297 UNICREDIT FACTORING CZECH REPUBLIC AND SLOVAKIA, A.S. PRAGUE PRAGUE 1 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. 100.00 Issued capital CZK 222,600,000 298 UNICREDIT FACTORING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 1,000,000 299 UNICREDIT FACTORING SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 414,348,000 300 UNICREDIT FLEET MANAGEMENT EOOD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 100,000 301 UNICREDIT FLEET MANAGEMENT S.R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 5,000,000 302 UNICREDIT FLEET MANAGEMENT S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 6,639 303 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH VIENNA VIENNA 1 EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 57,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 304 UNICREDIT GUSTRA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 305 UNICREDIT HAMRED LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 306 UNICREDIT INSURANCE BROKER EOOD SOFIA SOFIA 1 UNICREDIT LEASING EAD 100.00 Issued capital BGN 5,000 307 UNICREDIT INSURANCE BROKER SRL BUCHAREST BUCHAREST 1 UNICREDIT LEASING CORPORATION IFN S.A. 100.00 Issued capital RON 150,000 308 UNICREDIT INSURANCE MANAGEMENT CEE GMBH VIENNA VIENNA 1 PIRTA VERWALTUNGS GMBH 100.00 Issued capital EUR 156,905 309 UNICREDIT INTERNATIONAL BANK (LUXEMBOURG) SA LUXEMBOURG LUXEMBOURG 1 UNICREDIT SPA 100.00 Issued capital EUR 13,406,600 310 UNICREDIT JELZALOGBANK ZRT. BUDAPEST BUDAPEST 1 UNICREDIT BANK HUNGARY ZRT. 100.00 Issued capital HUF 3,000,000,000 311 UNICREDIT KFZ LEASING GMBH VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 100.00 Issued capital EUR 648,000 312 UNICREDIT LEASED ASSET MANAGEMENT SPA MILAN MILAN 1 UNICREDIT LEASING SPA 100.00 Issued capital EUR 1,000,000 313 UNICREDIT LEASING (AUSTRIA) GMBH VIENNA VIENNA 1 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. 10.00 Issued capital EUR 17,296,134 PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH 0.02 UNICREDIT BANK AUSTRIA AG 89.98 314 UNICREDIT LEASING ALPHA ASSETVERMIETUNG GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 100.00 Issued capital EUR 35,000 315 UNICREDIT LEASING AVIATION GMBH HAMBURG HAMBURG 1 UNICREDIT LEASING GMBH 100.00 Issued capital EUR 1,600,000 316 UNICREDIT LEASING CORPORATION IFN S.A. BUCHAREST BUCHAREST 1 UNICREDIT BANK S.A. 99.96 Issued capital RON 90,989,013 UNICREDIT CONSUMER FINANCING IFN S.A. 0.04 317 UNICREDIT LEASING CROATIA D.O.O. ZA LEASING ZAGREB ZAGREB 1 ZAGREBACKA BANKA D.D. 100.00 Issued capital HRK 28,741,800 318 UNICREDIT LEASING CZ, A.S. PRAGUE PRAGUE 1 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA, A.S. 100.00 Issued capital CZK 981,452,000 319 UNICREDIT LEASING EAD SOFIA SOFIA 1 UNICREDIT BULBANK AD 100.00 Issued capital BGN 2,605,000 320 UNICREDIT LEASING FINANCE GMBH HAMBURG HAMBURG 1 UNICREDIT LEASING GMBH 100.00 Issued capital EUR 17,580,000 321 UNICREDIT LEASING FLEET MANAGEMENT S.R.L. BUCHAREST BUCHAREST 1 PIRTA VERWALTUNGS GMBH 90.02 Issued capital RON 680,000 UNICREDIT LEASING CORPORATION IFN S.A. 9.98 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 170 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 322 UNICREDIT LEASING GMBH HAMBURG HAMBURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 15,000,000 323 UNICREDIT LEASING HUNGARY ZRT BUDAPEST BUDAPEST 1 UNICREDIT BANK HUNGARY ZRT. 100.00 Issued capital HUF 50,000,000 324 UNICREDIT LEASING INSURANCE SERVICES S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 5,000 325 UNICREDIT LEASING SLOVAKIA A.S. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital EUR 26,560,000 326 UNICREDIT LEASING SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 1,106,877,000 327 UNICREDIT LEASING SRBIJA D.O.O. BEOGRAD BELGRADE BELGRADE 1 UNICREDIT BANK SERBIA JSC 100.00 Issued capital RSD 1,078,133,000 328 UNICREDIT LEASING TECHNIKUM GMBH VIENNA VIENNA 1 LEASFINANZ GMBH 99.80 Issued capital EUR 35,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 329 UNICREDIT LEASING VERSICHERUNGSSERVICE GMBH & CO KG VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 330 UNICREDIT LEASING, LEASING, D.O.O. LJUBLJANA LJUBLJANA 1 UNICREDIT BANKA SLOVENIJA D.D. 100.00 Issued capital EUR 25,039,658 331 UNICREDIT LUNA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 332 UNICREDIT MOBILIEN UND KFZ LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 333 UNICREDIT OBG S.R.L. VERONA VERONA 1 UNICREDIT SPA 60.00 Issued capital EUR 10,000 334 UNICREDIT OBG SRL (COVERED BONDS) VERONA VERONA 4 UNICREDIT SPA .. (3) 335 UNICREDIT OK1 LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 336 UNICREDIT PEGASUS LEASING GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 337 UNICREDIT POJISTOVACI MAKLERSKA SPOL.S R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 510,000 338 UNICREDIT POLARIS LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 339 UNICREDIT SERVICES GMBH VIENNA VIENNA 1 UNICREDIT SERVICES S.C.P.A. 100.00 Issued capital EUR 1,200,000 340 UNICREDIT SERVICES S.C.P.A. MILAN MILAN 1 CORDUSIO SIM SPA .. Issued capital EUR 194,159,415 CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI .. UNICREDIT BANK AG .. UNICREDIT FACTORING SPA .. UNICREDIT SPA 100.00 100.00 341 UNICREDIT STERNECK LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 342 UNICREDIT SUBITO CASA SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 500,000 343 UNICREDIT TECHRENT LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.00 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 344 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 750,000 345 UNICREDIT U.S. FINANCE LLC WILMINGTON NEW YORK 1 UNICREDIT BANK AG 100.00 Issued capital USD 130 346 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 170 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 322 UNICREDIT LEASING GMBH HAMBURG HAMBURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 15,000,000 323 UNICREDIT LEASING HUNGARY ZRT BUDAPEST BUDAPEST 1 UNICREDIT BANK HUNGARY ZRT. 100.00 Issued capital HUF 50,000,000 324 UNICREDIT LEASING INSURANCE SERVICES S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 5,000 325 UNICREDIT LEASING SLOVAKIA A.S. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital EUR 26,560,000 326 UNICREDIT LEASING SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 1,106,877,000 327 UNICREDIT LEASING SRBIJA D.O.O. BEOGRAD BELGRADE BELGRADE 1 UNICREDIT BANK SERBIA JSC 100.00 Issued capital RSD 1,078,133,000 328 UNICREDIT LEASING TECHNIKUM GMBH VIENNA VIENNA 1 LEASFINANZ GMBH 99.80 Issued capital EUR 35,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 329 UNICREDIT LEASING VERSICHERUNGSSERVICE GMBH & CO KG VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 330 UNICREDIT LEASING, LEASING, D.O.O. LJUBLJANA LJUBLJANA 1 UNICREDIT BANKA SLOVENIJA D.D. 100.00 Issued capital EUR 25,039,658 331 UNICREDIT LUNA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 332 UNICREDIT MOBILIEN UND KFZ LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 333 UNICREDIT OBG S.R.L. VERONA VERONA 1 UNICREDIT SPA 60.00 Issued capital EUR 10,000 334 UNICREDIT OBG SRL (COVERED BONDS) VERONA VERONA 4 UNICREDIT SPA .. (3) 335 UNICREDIT OK1 LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 336 UNICREDIT PEGASUS LEASING GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 337 UNICREDIT POJISTOVACI MAKLERSKA SPOL.S R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 510,000 338 UNICREDIT POLARIS LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 339 UNICREDIT SERVICES GMBH VIENNA VIENNA 1 UNICREDIT SERVICES S.C.P.A. 100.00 Issued capital EUR 1,200,000 340 UNICREDIT SERVICES S.C.P.A. MILAN MILAN 1 CORDUSIO SIM SPA .. Issued capital EUR 194,159,415 CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI .. UNICREDIT BANK AG .. UNICREDIT FACTORING SPA .. UNICREDIT SPA 100.00 100.00 341 UNICREDIT STERNECK LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 342 UNICREDIT SUBITO CASA SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 500,000 343 UNICREDIT TECHRENT LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.00 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 344 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 750,000 345 UNICREDIT U.S. FINANCE LLC WILMINGTON NEW YORK 1 UNICREDIT BANK AG 100.00 Issued capital USD 130 346 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 170 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 322 UNICREDIT LEASING GMBH HAMBURG HAMBURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 15,000,000 323 UNICREDIT LEASING HUNGARY ZRT BUDAPEST BUDAPEST 1 UNICREDIT BANK HUNGARY ZRT. 100.00 Issued capital HUF 50,000,000 324 UNICREDIT LEASING INSURANCE SERVICES S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 5,000 325 UNICREDIT LEASING SLOVAKIA A.S. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital EUR 26,560,000 326 UNICREDIT LEASING SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 1,106,877,000 327 UNICREDIT LEASING SRBIJA D.O.O. BEOGRAD BELGRADE BELGRADE 1 UNICREDIT BANK SERBIA JSC 100.00 Issued capital RSD 1,078,133,000 328 UNICREDIT LEASING TECHNIKUM GMBH VIENNA VIENNA 1 LEASFINANZ GMBH 99.80 Issued capital EUR 35,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 329 UNICREDIT LEASING VERSICHERUNGSSERVICE GMBH & CO KG VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 330 UNICREDIT LEASING, LEASING, D.O.O. LJUBLJANA LJUBLJANA 1 UNICREDIT BANKA SLOVENIJA D.D. 100.00 Issued capital EUR 25,039,658 331 UNICREDIT LUNA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 332 UNICREDIT MOBILIEN UND KFZ LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 333 UNICREDIT OBG S.R.L. VERONA VERONA 1 UNICREDIT SPA 60.00 Issued capital EUR 10,000 334 UNICREDIT OBG SRL (COVERED BONDS) VERONA VERONA 4 UNICREDIT SPA .. (3) 335 UNICREDIT OK1 LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 336 UNICREDIT PEGASUS LEASING GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 337 UNICREDIT POJISTOVACI MAKLERSKA SPOL.S R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 510,000 338 UNICREDIT POLARIS LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 339 UNICREDIT SERVICES GMBH VIENNA VIENNA 1 UNICREDIT SERVICES S.C.P.A. 100.00 Issued capital EUR 1,200,000 340 UNICREDIT SERVICES S.C.P.A. MILAN MILAN 1 CORDUSIO SIM SPA .. Issued capital EUR 194,159,415 CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI .. UNICREDIT BANK AG .. UNICREDIT FACTORING SPA .. UNICREDIT SPA 100.00 100.00 341 UNICREDIT STERNECK LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 342 UNICREDIT SUBITO CASA SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 500,000 343 UNICREDIT TECHRENT LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.00 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 344 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 750,000 345 UNICREDIT U.S. FINANCE LLC WILMINGTON NEW YORK 1 UNICREDIT BANK AG 100.00 Issued capital USD 130 346 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 170 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 322 UNICREDIT LEASING GMBH HAMBURG HAMBURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 15,000,000 323 UNICREDIT LEASING HUNGARY ZRT BUDAPEST BUDAPEST 1 UNICREDIT BANK HUNGARY ZRT. 100.00 Issued capital HUF 50,000,000 324 UNICREDIT LEASING INSURANCE SERVICES S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 5,000 325 UNICREDIT LEASING SLOVAKIA A.S. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital EUR 26,560,000 326 UNICREDIT LEASING SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 1,106,877,000 327 UNICREDIT LEASING SRBIJA D.O.O. BEOGRAD BELGRADE BELGRADE 1 UNICREDIT BANK SERBIA JSC 100.00 Issued capital RSD 1,078,133,000 328 UNICREDIT LEASING TECHNIKUM GMBH VIENNA VIENNA 1 LEASFINANZ GMBH 99.80 Issued capital EUR 35,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 329 UNICREDIT LEASING VERSICHERUNGSSERVICE GMBH & CO KG VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 330 UNICREDIT LEASING, LEASING, D.O.O. LJUBLJANA LJUBLJANA 1 UNICREDIT BANKA SLOVENIJA D.D. 100.00 Issued capital EUR 25,039,658 331 UNICREDIT LUNA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 332 UNICREDIT MOBILIEN UND KFZ LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 333 UNICREDIT OBG S.R.L. VERONA VERONA 1 UNICREDIT SPA 60.00 Issued capital EUR 10,000 334 UNICREDIT OBG SRL (COVERED BONDS) VERONA VERONA 4 UNICREDIT SPA .. (3) 335 UNICREDIT OK1 LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 336 UNICREDIT PEGASUS LEASING GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 337 UNICREDIT POJISTOVACI MAKLERSKA SPOL.S R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 510,000 338 UNICREDIT POLARIS LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 339 UNICREDIT SERVICES GMBH VIENNA VIENNA 1 UNICREDIT SERVICES S.C.P.A. 100.00 Issued capital EUR 1,200,000 340 UNICREDIT SERVICES S.C.P.A. MILAN MILAN 1 CORDUSIO SIM SPA .. Issued capital EUR 194,159,415 CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI .. UNICREDIT BANK AG .. UNICREDIT FACTORING SPA .. UNICREDIT SPA 100.00 100.00 341 UNICREDIT STERNECK LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 342 UNICREDIT SUBITO CASA SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 500,000 343 UNICREDIT TECHRENT LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.00 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 344 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 750,000 345 UNICREDIT U.S. FINANCE LLC WILMINGTON NEW YORK 1 UNICREDIT BANK AG 100.00 Issued capital USD 130 346 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 170 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 322 UNICREDIT LEASING GMBH HAMBURG HAMBURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 15,000,000 323 UNICREDIT LEASING HUNGARY ZRT BUDAPEST BUDAPEST 1 UNICREDIT BANK HUNGARY ZRT. 100.00 Issued capital HUF 50,000,000 324 UNICREDIT LEASING INSURANCE SERVICES S.R.O. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING SLOVAKIA A.S. 100.00 Issued capital EUR 5,000 325 UNICREDIT LEASING SLOVAKIA A.S. BRATISLAVA BRATISLAVA 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital EUR 26,560,000 326 UNICREDIT LEASING SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 1,106,877,000 327 UNICREDIT LEASING SRBIJA D.O.O. BEOGRAD BELGRADE BELGRADE 1 UNICREDIT BANK SERBIA JSC 100.00 Issued capital RSD 1,078,133,000 328 UNICREDIT LEASING TECHNIKUM GMBH VIENNA VIENNA 1 LEASFINANZ GMBH 99.80 Issued capital EUR 35,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 329 UNICREDIT LEASING VERSICHERUNGSSERVICE GMBH & CO KG VIENNA VIENNA 1 UNICREDIT LEASING (AUSTRIA) GMBH 100.00 Issued capital EUR 36,500 330 UNICREDIT LEASING, LEASING, D.O.O. LJUBLJANA LJUBLJANA 1 UNICREDIT BANKA SLOVENIJA D.D. 100.00 Issued capital EUR 25,039,658 331 UNICREDIT LUNA LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 332 UNICREDIT MOBILIEN UND KFZ LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 98.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 333 UNICREDIT OBG S.R.L. VERONA VERONA 1 UNICREDIT SPA 60.00 Issued capital EUR 10,000 334 UNICREDIT OBG SRL (COVERED BONDS) VERONA VERONA 4 UNICREDIT SPA .. (3) 335 UNICREDIT OK1 LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 336 UNICREDIT PEGASUS LEASING GMBH VIENNA VIENNA 1 CALG IMMOBILIEN LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 337 UNICREDIT POJISTOVACI MAKLERSKA SPOL.S R.O. PRAGUE PRAGUE 1 UNICREDIT LEASING CZ, A.S. 100.00 Issued capital CZK 510,000 338 UNICREDIT POLARIS LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 339 UNICREDIT SERVICES GMBH VIENNA VIENNA 1 UNICREDIT SERVICES S.C.P.A. 100.00 Issued capital EUR 1,200,000 340 UNICREDIT SERVICES S.C.P.A. MILAN MILAN 1 CORDUSIO SIM SPA .. Issued capital EUR 194,159,415 CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI .. UNICREDIT BANK AG .. UNICREDIT FACTORING SPA .. UNICREDIT SPA 100.00 100.00 341 UNICREDIT STERNECK LEASING GMBH VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 35,000 UNICREDIT PEGASUS LEASING GMBH 90.00 342 UNICREDIT SUBITO CASA SPA MILAN MILAN 1 UNICREDIT SPA 100.00 Issued capital EUR 500,000 343 UNICREDIT TECHRENT LEASING GMBH VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.00 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 1.00 344 UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH VIENNA VIENNA 1 UNICREDIT SPA 100.00 Issued capital EUR 750,000 345 UNICREDIT U.S. FINANCE LLC WILMINGTON NEW YORK 1 UNICREDIT BANK AG 100.00 Issued capital USD 130 346 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 171 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 347 UNIVERSALE INTERNATIONAL REALITAETEN GMBH VIENNA VIENNA 1 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. .. Issued capital EUR 32,715,000 UNICREDIT BANK AUSTRIA AG 100.00 348 V.M.G. VERMIETUNGSGESELLSCHAFT MBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 25,565 349 VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 350 VERMIETUNGSGESELLSCHAFT MBH & CO OBJEKT MOC KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 89.28 89.23 Issued capital EUR 48,728,161 351 VISCONTI SRL MILAN MILAN 1 UNICREDIT SPA 76.00 Issued capital EUR 11,000,000 352 WEALTH MANAGEMENT CAPITAL HOLDING GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 26,000 353 WEALTHCAP ENTITY SERVICE GMBH MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 100.00 Issued capital EUR 25,000 354 WEALTHCAP EQUITY GMBH MUNICH MUNICH 1 WEALTHCAP INITIATOREN GMBH 100.00 Issued capital EUR 500,000 355 WEALTHCAP EQUITY MANAGEMENT GMBH MUNICH MUNICH 1 WEALTHCAP EQUITY GMBH 100.00 Issued capital EUR 25,000 356 WEALTHCAP FONDS GMBH MUNICH MUNICH 1 WEALTHCAP INITIATOREN GMBH 100.00 Issued capital EUR 512,000 357 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 100.00 50.00 Issued capital EUR 5,000 WEALTHCAP VORRATS-2 GMBH .. 50.00 358 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 94.34 50.00 Issued capital EUR 10,600 WEALTHCAP VORRATS-2 GMBH 5.66 50.00 359 WEALTHCAP IMMOBILIEN 43 KOMPLEMENTAER GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 360 WEALTHCAP IMMOBILIENANKAUF KOMPLEMENTAER GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 361 WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 36 KOMPLEMENTAR GMBH MUNICH MUNICH 1 H.F.S. LEASINGFONDS GMBH 100.00 Issued capital EUR 25,565 362 WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 38 KOMPLEMENTAR GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 363 WEALTHCAP INITIATOREN GMBH MUNICH MUNICH 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 1,533,876 364 WEALTHCAP INVESTMENT SERVICES GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 10.00 Issued capital EUR 4,000,000 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 90.00 365 WEALTHCAP INVESTMENTS INC. WILMINGTON ATLANTA 1 WEALTHCAP FONDS GMBH 100.00 Issued capital USD 312,000 366 WEALTHCAP INVESTORENBETREUUNG GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 60,000 367 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH GRUENWALD GRUENWALD 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 125,000 368 WEALTHCAP LEASING GMBH GRUENWALD GRUENWALD 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 25,000 369 WEALTHCAP MANAGEMENT SERVICES GMBH MUNICH MUNICH 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 50,000 370 WEALTHCAP OBJEKT BERLIN III GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 371 WEALTHCAP OBJEKT DRESDEN GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 171 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 347 UNIVERSALE INTERNATIONAL REALITAETEN GMBH VIENNA VIENNA 1 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. .. Issued capital EUR 32,715,000 UNICREDIT BANK AUSTRIA AG 100.00 348 V.M.G. VERMIETUNGSGESELLSCHAFT MBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 25,565 349 VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 350 VERMIETUNGSGESELLSCHAFT MBH & CO OBJEKT MOC KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 89.28 89.23 Issued capital EUR 48,728,161 351 VISCONTI SRL MILAN MILAN 1 UNICREDIT SPA 76.00 Issued capital EUR 11,000,000 352 WEALTH MANAGEMENT CAPITAL HOLDING GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 26,000 353 WEALTHCAP ENTITY SERVICE GMBH MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 100.00 Issued capital EUR 25,000 354 WEALTHCAP EQUITY GMBH MUNICH MUNICH 1 WEALTHCAP INITIATOREN GMBH 100.00 Issued capital EUR 500,000 355 WEALTHCAP EQUITY MANAGEMENT GMBH MUNICH MUNICH 1 WEALTHCAP EQUITY GMBH 100.00 Issued capital EUR 25,000 356 WEALTHCAP FONDS GMBH MUNICH MUNICH 1 WEALTHCAP INITIATOREN GMBH 100.00 Issued capital EUR 512,000 357 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 100.00 50.00 Issued capital EUR 5,000 WEALTHCAP VORRATS-2 GMBH .. 50.00 358 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 94.34 50.00 Issued capital EUR 10,600 WEALTHCAP VORRATS-2 GMBH 5.66 50.00 359 WEALTHCAP IMMOBILIEN 43 KOMPLEMENTAER GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 360 WEALTHCAP IMMOBILIENANKAUF KOMPLEMENTAER GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 361 WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 36 KOMPLEMENTAR GMBH MUNICH MUNICH 1 H.F.S. LEASINGFONDS GMBH 100.00 Issued capital EUR 25,565 362 WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 38 KOMPLEMENTAR GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 363 WEALTHCAP INITIATOREN GMBH MUNICH MUNICH 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 1,533,876 364 WEALTHCAP INVESTMENT SERVICES GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 10.00 Issued capital EUR 4,000,000 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 90.00 365 WEALTHCAP INVESTMENTS INC. WILMINGTON ATLANTA 1 WEALTHCAP FONDS GMBH 100.00 Issued capital USD 312,000 366 WEALTHCAP INVESTORENBETREUUNG GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 60,000 367 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH GRUENWALD GRUENWALD 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 125,000 368 WEALTHCAP LEASING GMBH GRUENWALD GRUENWALD 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 25,000 369 WEALTHCAP MANAGEMENT SERVICES GMBH MUNICH MUNICH 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 50,000 370 WEALTHCAP OBJEKT BERLIN III GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 371 WEALTHCAP OBJEKT DRESDEN GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 171 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 347 UNIVERSALE INTERNATIONAL REALITAETEN GMBH VIENNA VIENNA 1 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. .. Issued capital EUR 32,715,000 UNICREDIT BANK AUSTRIA AG 100.00 348 V.M.G. VERMIETUNGSGESELLSCHAFT MBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 25,565 349 VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 350 VERMIETUNGSGESELLSCHAFT MBH & CO OBJEKT MOC KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 89.28 89.23 Issued capital EUR 48,728,161 351 VISCONTI SRL MILAN MILAN 1 UNICREDIT SPA 76.00 Issued capital EUR 11,000,000 352 WEALTH MANAGEMENT CAPITAL HOLDING GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 26,000 353 WEALTHCAP ENTITY SERVICE GMBH MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 100.00 Issued capital EUR 25,000 354 WEALTHCAP EQUITY GMBH MUNICH MUNICH 1 WEALTHCAP INITIATOREN GMBH 100.00 Issued capital EUR 500,000 355 WEALTHCAP EQUITY MANAGEMENT GMBH MUNICH MUNICH 1 WEALTHCAP EQUITY GMBH 100.00 Issued capital EUR 25,000 356 WEALTHCAP FONDS GMBH MUNICH MUNICH 1 WEALTHCAP INITIATOREN GMBH 100.00 Issued capital EUR 512,000 357 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 100.00 50.00 Issued capital EUR 5,000 WEALTHCAP VORRATS-2 GMBH .. 50.00 358 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 94.34 50.00 Issued capital EUR 10,600 WEALTHCAP VORRATS-2 GMBH 5.66 50.00 359 WEALTHCAP IMMOBILIEN 43 KOMPLEMENTAER GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 360 WEALTHCAP IMMOBILIENANKAUF KOMPLEMENTAER GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 361 WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 36 KOMPLEMENTAR GMBH MUNICH MUNICH 1 H.F.S. LEASINGFONDS GMBH 100.00 Issued capital EUR 25,565 362 WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 38 KOMPLEMENTAR GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 363 WEALTHCAP INITIATOREN GMBH MUNICH MUNICH 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 1,533,876 364 WEALTHCAP INVESTMENT SERVICES GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 10.00 Issued capital EUR 4,000,000 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 90.00 365 WEALTHCAP INVESTMENTS INC. WILMINGTON ATLANTA 1 WEALTHCAP FONDS GMBH 100.00 Issued capital USD 312,000 366 WEALTHCAP INVESTORENBETREUUNG GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 60,000 367 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH GRUENWALD GRUENWALD 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 125,000 368 WEALTHCAP LEASING GMBH GRUENWALD GRUENWALD 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 25,000 369 WEALTHCAP MANAGEMENT SERVICES GMBH MUNICH MUNICH 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 50,000 370 WEALTHCAP OBJEKT BERLIN III GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 371 WEALTHCAP OBJEKT DRESDEN GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 171 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 347 UNIVERSALE INTERNATIONAL REALITAETEN GMBH VIENNA VIENNA 1 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. .. Issued capital EUR 32,715,000 UNICREDIT BANK AUSTRIA AG 100.00 348 V.M.G. VERMIETUNGSGESELLSCHAFT MBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 25,565 349 VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 350 VERMIETUNGSGESELLSCHAFT MBH & CO OBJEKT MOC KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 89.28 89.23 Issued capital EUR 48,728,161 351 VISCONTI SRL MILAN MILAN 1 UNICREDIT SPA 76.00 Issued capital EUR 11,000,000 352 WEALTH MANAGEMENT CAPITAL HOLDING GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 26,000 353 WEALTHCAP ENTITY SERVICE GMBH MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 100.00 Issued capital EUR 25,000 354 WEALTHCAP EQUITY GMBH MUNICH MUNICH 1 WEALTHCAP INITIATOREN GMBH 100.00 Issued capital EUR 500,000 355 WEALTHCAP EQUITY MANAGEMENT GMBH MUNICH MUNICH 1 WEALTHCAP EQUITY GMBH 100.00 Issued capital EUR 25,000 356 WEALTHCAP FONDS GMBH MUNICH MUNICH 1 WEALTHCAP INITIATOREN GMBH 100.00 Issued capital EUR 512,000 357 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 100.00 50.00 Issued capital EUR 5,000 WEALTHCAP VORRATS-2 GMBH .. 50.00 358 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 94.34 50.00 Issued capital EUR 10,600 WEALTHCAP VORRATS-2 GMBH 5.66 50.00 359 WEALTHCAP IMMOBILIEN 43 KOMPLEMENTAER GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 360 WEALTHCAP IMMOBILIENANKAUF KOMPLEMENTAER GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 361 WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 36 KOMPLEMENTAR GMBH MUNICH MUNICH 1 H.F.S. LEASINGFONDS GMBH 100.00 Issued capital EUR 25,565 362 WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 38 KOMPLEMENTAR GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 363 WEALTHCAP INITIATOREN GMBH MUNICH MUNICH 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 1,533,876 364 WEALTHCAP INVESTMENT SERVICES GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 10.00 Issued capital EUR 4,000,000 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 90.00 365 WEALTHCAP INVESTMENTS INC. WILMINGTON ATLANTA 1 WEALTHCAP FONDS GMBH 100.00 Issued capital USD 312,000 366 WEALTHCAP INVESTORENBETREUUNG GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 60,000 367 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH GRUENWALD GRUENWALD 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 125,000 368 WEALTHCAP LEASING GMBH GRUENWALD GRUENWALD 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 25,000 369 WEALTHCAP MANAGEMENT SERVICES GMBH MUNICH MUNICH 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 50,000 370 WEALTHCAP OBJEKT BERLIN III GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 371 WEALTHCAP OBJEKT DRESDEN GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 171 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 347 UNIVERSALE INTERNATIONAL REALITAETEN GMBH VIENNA VIENNA 1 BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H. .. Issued capital EUR 32,715,000 UNICREDIT BANK AUSTRIA AG 100.00 348 V.M.G. VERMIETUNGSGESELLSCHAFT MBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 25,565 349 VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H. VIENNA VIENNA 1 BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK AUSTRIA CREDITANSTALT LEASING GMBH 74.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 UNICREDIT LEASING (AUSTRIA) GMBH 25.00 350 VERMIETUNGSGESELLSCHAFT MBH & CO OBJEKT MOC KG MUNICH MUNICH 1 HVB IMMOBILIEN AG 89.28 89.23 Issued capital EUR 48,728,161 351 VISCONTI SRL MILAN MILAN 1 UNICREDIT SPA 76.00 Issued capital EUR 11,000,000 352 WEALTH MANAGEMENT CAPITAL HOLDING GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 100.00 Issued capital EUR 26,000 353 WEALTHCAP ENTITY SERVICE GMBH MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 100.00 Issued capital EUR 25,000 354 WEALTHCAP EQUITY GMBH MUNICH MUNICH 1 WEALTHCAP INITIATOREN GMBH 100.00 Issued capital EUR 500,000 355 WEALTHCAP EQUITY MANAGEMENT GMBH MUNICH MUNICH 1 WEALTHCAP EQUITY GMBH 100.00 Issued capital EUR 25,000 356 WEALTHCAP FONDS GMBH MUNICH MUNICH 1 WEALTHCAP INITIATOREN GMBH 100.00 Issued capital EUR 512,000 357 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 100.00 50.00 Issued capital EUR 5,000 WEALTHCAP VORRATS-2 GMBH .. 50.00 358 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 94.34 50.00 Issued capital EUR 10,600 WEALTHCAP VORRATS-2 GMBH 5.66 50.00 359 WEALTHCAP IMMOBILIEN 43 KOMPLEMENTAER GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 360 WEALTHCAP IMMOBILIENANKAUF KOMPLEMENTAER GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 361 WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 36 KOMPLEMENTAR GMBH MUNICH MUNICH 1 H.F.S. LEASINGFONDS GMBH 100.00 Issued capital EUR 25,565 362 WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 38 KOMPLEMENTAR GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 363 WEALTHCAP INITIATOREN GMBH MUNICH MUNICH 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 1,533,876 364 WEALTHCAP INVESTMENT SERVICES GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 10.00 Issued capital EUR 4,000,000 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 90.00 365 WEALTHCAP INVESTMENTS INC. WILMINGTON ATLANTA 1 WEALTHCAP FONDS GMBH 100.00 Issued capital USD 312,000 366 WEALTHCAP INVESTORENBETREUUNG GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 60,000 367 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH GRUENWALD GRUENWALD 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 125,000 368 WEALTHCAP LEASING GMBH GRUENWALD GRUENWALD 1 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 100.00 Issued capital EUR 25,000 369 WEALTHCAP MANAGEMENT SERVICES GMBH MUNICH MUNICH 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 50,000 370 WEALTHCAP OBJEKT BERLIN III GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 371 WEALTHCAP OBJEKT DRESDEN GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 172 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 372 WEALTHCAP OBJEKT STUTTGART III GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP IMMOBILIEN 43 KOMPLEMENTAER GMBH .. 33.33 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 89.90 33.33 373 WEALTHCAP OBJEKT-VORRAT 39 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP IMMOBILIENANKAUF KOMPLEMENTAER GMBH .. 33.33 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 374 WEALTHCAP PEIA KOMPLEMENTAR GMBH GRUENWALD GRUENWALD 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 26,000 375 WEALTHCAP PEIA MANAGEMENT GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 6.00 Issued capital EUR 1,023,000 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 94.00 376 WEALTHCAP REAL ESTATE MANAGEMENT GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 60,000 377 WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 378 WEALTHCAP SPEZIAL- AIF-SV BUERO 8 GRUENWALD GRUENWALD 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 379 WEALTHCAP VORRATS-2 GMBH MUNICH MUNICH 1 WEALTHCAP FONDS GMBH 100.00 Issued capital EUR 25,000 380 WEALTHCAP WOHNEN 1B GMBH &CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH .. 33.33 381 WEICKER S. A R.L. LUXEMBOURG LUXEMBOURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 20,658,840 382 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 383 Z LEASING ALFA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 384 Z LEASING ARKTUR IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 385 Z LEASING AURIGA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 386 Z LEASING CORVUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 387 Z LEASING DORADO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 388 Z LEASING DRACO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 389 Z LEASING GAMA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 390 Z LEASING GEMINI IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 391 Z LEASING HEBE IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GEBAEUDELEASING GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 172 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 372 WEALTHCAP OBJEKT STUTTGART III GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP IMMOBILIEN 43 KOMPLEMENTAER GMBH .. 33.33 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 89.90 33.33 373 WEALTHCAP OBJEKT-VORRAT 39 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP IMMOBILIENANKAUF KOMPLEMENTAER GMBH .. 33.33 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 374 WEALTHCAP PEIA KOMPLEMENTAR GMBH GRUENWALD GRUENWALD 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 26,000 375 WEALTHCAP PEIA MANAGEMENT GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 6.00 Issued capital EUR 1,023,000 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 94.00 376 WEALTHCAP REAL ESTATE MANAGEMENT GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 60,000 377 WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 378 WEALTHCAP SPEZIAL- AIF-SV BUERO 8 GRUENWALD GRUENWALD 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 379 WEALTHCAP VORRATS-2 GMBH MUNICH MUNICH 1 WEALTHCAP FONDS GMBH 100.00 Issued capital EUR 25,000 380 WEALTHCAP WOHNEN 1B GMBH &CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH .. 33.33 381 WEICKER S. A R.L. LUXEMBOURG LUXEMBOURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 20,658,840 382 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 383 Z LEASING ALFA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 384 Z LEASING ARKTUR IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 385 Z LEASING AURIGA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 386 Z LEASING CORVUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 387 Z LEASING DORADO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 388 Z LEASING DRACO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 389 Z LEASING GAMA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 390 Z LEASING GEMINI IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 391 Z LEASING HEBE IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GEBAEUDELEASING GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 172 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 372 WEALTHCAP OBJEKT STUTTGART III GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP IMMOBILIEN 43 KOMPLEMENTAER GMBH .. 33.33 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 89.90 33.33 373 WEALTHCAP OBJEKT-VORRAT 39 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP IMMOBILIENANKAUF KOMPLEMENTAER GMBH .. 33.33 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 374 WEALTHCAP PEIA KOMPLEMENTAR GMBH GRUENWALD GRUENWALD 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 26,000 375 WEALTHCAP PEIA MANAGEMENT GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 6.00 Issued capital EUR 1,023,000 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 94.00 376 WEALTHCAP REAL ESTATE MANAGEMENT GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 60,000 377 WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 378 WEALTHCAP SPEZIAL- AIF-SV BUERO 8 GRUENWALD GRUENWALD 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 379 WEALTHCAP VORRATS-2 GMBH MUNICH MUNICH 1 WEALTHCAP FONDS GMBH 100.00 Issued capital EUR 25,000 380 WEALTHCAP WOHNEN 1B GMBH &CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH .. 33.33 381 WEICKER S. A R.L. LUXEMBOURG LUXEMBOURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 20,658,840 382 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 383 Z LEASING ALFA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 384 Z LEASING ARKTUR IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 385 Z LEASING AURIGA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 386 Z LEASING CORVUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 387 Z LEASING DORADO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 388 Z LEASING DRACO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 389 Z LEASING GAMA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 390 Z LEASING GEMINI IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 391 Z LEASING HEBE IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GEBAEUDELEASING GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 172 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 372 WEALTHCAP OBJEKT STUTTGART III GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP IMMOBILIEN 43 KOMPLEMENTAER GMBH .. 33.33 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 89.90 33.33 373 WEALTHCAP OBJEKT-VORRAT 39 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP IMMOBILIENANKAUF KOMPLEMENTAER GMBH .. 33.33 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 374 WEALTHCAP PEIA KOMPLEMENTAR GMBH GRUENWALD GRUENWALD 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 26,000 375 WEALTHCAP PEIA MANAGEMENT GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 6.00 Issued capital EUR 1,023,000 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 94.00 376 WEALTHCAP REAL ESTATE MANAGEMENT GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 60,000 377 WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 378 WEALTHCAP SPEZIAL- AIF-SV BUERO 8 GRUENWALD GRUENWALD 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 379 WEALTHCAP VORRATS-2 GMBH MUNICH MUNICH 1 WEALTHCAP FONDS GMBH 100.00 Issued capital EUR 25,000 380 WEALTHCAP WOHNEN 1B GMBH &CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH .. 33.33 381 WEICKER S. A R.L. LUXEMBOURG LUXEMBOURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 20,658,840 382 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 383 Z LEASING ALFA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 384 Z LEASING ARKTUR IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 385 Z LEASING AURIGA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 386 Z LEASING CORVUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 387 Z LEASING DORADO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 388 Z LEASING DRACO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 389 Z LEASING GAMA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 390 Z LEASING GEMINI IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 391 Z LEASING HEBE IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GEBAEUDELEASING GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 172 2021 Annual Report and Accounts · UniCredit OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 372 WEALTHCAP OBJEKT STUTTGART III GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP IMMOBILIEN 43 KOMPLEMENTAER GMBH .. 33.33 WEALTHCAP REAL ESTATE MANAGEMENT GMBH 89.90 33.33 373 WEALTHCAP OBJEKT-VORRAT 39 GMBH & CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP IMMOBILIENANKAUF KOMPLEMENTAER GMBH .. 33.33 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 374 WEALTHCAP PEIA KOMPLEMENTAR GMBH GRUENWALD GRUENWALD 1 WEALTHCAP PEIA MANAGEMENT GMBH 100.00 Issued capital EUR 26,000 375 WEALTHCAP PEIA MANAGEMENT GMBH MUNICH MUNICH 1 UNICREDIT BANK AG 6.00 Issued capital EUR 1,023,000 WEALTH MANAGEMENT CAPITAL HOLDING GMBH 94.00 376 WEALTHCAP REAL ESTATE MANAGEMENT GMBH MUNICH MUNICH 1 WEALTHCAP INVESTMENT SERVICES GMBH 100.00 Issued capital EUR 60,000 377 WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH MUNICH MUNICH 1 WEALTHCAP ENTITY SERVICE GMBH 100.00 Issued capital EUR 25,000 378 WEALTHCAP SPEZIAL- AIF-SV BUERO 8 GRUENWALD GRUENWALD 4 WEALTH MANAGEMENT CAPITAL HOLDING GMBH .. (3) 379 WEALTHCAP VORRATS-2 GMBH MUNICH MUNICH 1 WEALTHCAP FONDS GMBH 100.00 Issued capital EUR 25,000 380 WEALTHCAP WOHNEN 1B GMBH &CO. KG MUNICH MUNICH 1 WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG 10.10 33.33 Issued capital EUR 10,000 WEALTHCAP KAPITALVERWALTUNGSGESELLSCHAFT MBH 89.90 33.33 WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH .. 33.33 381 WEICKER S. A R.L. LUXEMBOURG LUXEMBOURG 1 UNICREDIT BANK AG 100.00 Issued capital EUR 20,658,840 382 WOEM GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,336 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 383 Z LEASING ALFA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 384 Z LEASING ARKTUR IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 385 Z LEASING AURIGA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 386 Z LEASING CORVUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 387 Z LEASING DORADO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 388 Z LEASING DRACO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 389 Z LEASING GAMA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 390 Z LEASING GEMINI IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 391 Z LEASING HEBE IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GEBAEUDELEASING GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 173 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 392 Z LEASING HERCULES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 393 Z LEASING IPSILON IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 394 Z LEASING ITA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 395 Z LEASING JANUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 396 Z LEASING KALLISTO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 397 Z LEASING KAPA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 398 Z LEASING LYRA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 399 Z LEASING NEREIDE IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 400 Z LEASING OMEGA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 401 Z LEASING PERSEUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 36,500 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 402 Z LEASING SCORPIUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 403 Z LEASING TAURUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 73,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 404 Z LEASING VENUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 405 Z LEASING VOLANS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT PEGASUS LEASING GMBH 99.80 406 ZAGREBACKA BANKA D.D. ZAGREB ZAGREB 1 UNICREDIT SPA 84.48 Issued capital HRK 6,404,839,100 407 ZAPADNI TRGOVACKI CENTAR D.O.O. RIJEKA RIJEKA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HRK 20,000 Notes to the table showing the investments in subsidiaries: (1) Type of relationship: 1= majority of voting rights at ordinary shareholders’ meeting; 2= dominant influence at ordinary shareholders’ meeting; 3= agreements with other shareholders; 4= other types of control; 5= centralised management pursuant to paragraph 1 of Art.39 of “Legislative decree 136/2015”; 6= centralised management pursuant to paragraph 2 of Art.39 of “Legislative decree 136/2015”; (2) Voting rights available in general meeting. Voting rights are disclosed only if different from the percentage of ownership. (3) Companies consolidated line by line under IFRS10 as a result of the simultaneous availability of power to govern the relevant activities and exposures to variability of related returns. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 173 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 392 Z LEASING HERCULES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 393 Z LEASING IPSILON IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 394 Z LEASING ITA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 395 Z LEASING JANUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 396 Z LEASING KALLISTO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 397 Z LEASING KAPA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 398 Z LEASING LYRA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 399 Z LEASING NEREIDE IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 400 Z LEASING OMEGA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 401 Z LEASING PERSEUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 36,500 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 402 Z LEASING SCORPIUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 403 Z LEASING TAURUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 73,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 404 Z LEASING VENUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 405 Z LEASING VOLANS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT PEGASUS LEASING GMBH 99.80 406 ZAGREBACKA BANKA D.D. ZAGREB ZAGREB 1 UNICREDIT SPA 84.48 Issued capital HRK 6,404,839,100 407 ZAPADNI TRGOVACKI CENTAR D.O.O. RIJEKA RIJEKA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HRK 20,000 Notes to the table showing the investments in subsidiaries: (1) Type of relationship: 1= majority of voting rights at ordinary shareholders’ meeting; 2= dominant influence at ordinary shareholders’ meeting; 3= agreements with other shareholders; 4= other types of control; 5= centralised management pursuant to paragraph 1 of Art.39 of “Legislative decree 136/2015”; 6= centralised management pursuant to paragraph 2 of Art.39 of “Legislative decree 136/2015”; (2) Voting rights available in general meeting. Voting rights are disclosed only if different from the percentage of ownership. (3) Companies consolidated line by line under IFRS10 as a result of the simultaneous availability of power to govern the relevant activities and exposures to variability of related returns. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 173 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 392 Z LEASING HERCULES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 393 Z LEASING IPSILON IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 394 Z LEASING ITA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 395 Z LEASING JANUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 396 Z LEASING KALLISTO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 397 Z LEASING KAPA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 398 Z LEASING LYRA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 399 Z LEASING NEREIDE IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 400 Z LEASING OMEGA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 401 Z LEASING PERSEUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 36,500 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 402 Z LEASING SCORPIUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 403 Z LEASING TAURUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 73,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 404 Z LEASING VENUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 405 Z LEASING VOLANS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT PEGASUS LEASING GMBH 99.80 406 ZAGREBACKA BANKA D.D. ZAGREB ZAGREB 1 UNICREDIT SPA 84.48 Issued capital HRK 6,404,839,100 407 ZAPADNI TRGOVACKI CENTAR D.O.O. RIJEKA RIJEKA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HRK 20,000 Notes to the table showing the investments in subsidiaries: (1) Type of relationship: 1= majority of voting rights at ordinary shareholders’ meeting; 2= dominant influence at ordinary shareholders’ meeting; 3= agreements with other shareholders; 4= other types of control; 5= centralised management pursuant to paragraph 1 of Art.39 of “Legislative decree 136/2015”; 6= centralised management pursuant to paragraph 2 of Art.39 of “Legislative decree 136/2015”; (2) Voting rights available in general meeting. Voting rights are disclosed only if different from the percentage of ownership. (3) Companies consolidated line by line under IFRS10 as a result of the simultaneous availability of power to govern the relevant activities and exposures to variability of related returns. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 173 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 392 Z LEASING HERCULES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 393 Z LEASING IPSILON IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 394 Z LEASING ITA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 395 Z LEASING JANUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 396 Z LEASING KALLISTO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 397 Z LEASING KAPA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 398 Z LEASING LYRA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 399 Z LEASING NEREIDE IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 400 Z LEASING OMEGA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 401 Z LEASING PERSEUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 36,500 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 402 Z LEASING SCORPIUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 403 Z LEASING TAURUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 73,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 404 Z LEASING VENUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 405 Z LEASING VOLANS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT PEGASUS LEASING GMBH 99.80 406 ZAGREBACKA BANKA D.D. ZAGREB ZAGREB 1 UNICREDIT SPA 84.48 Issued capital HRK 6,404,839,100 407 ZAPADNI TRGOVACKI CENTAR D.O.O. RIJEKA RIJEKA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HRK 20,000 Notes to the table showing the investments in subsidiaries: (1) Type of relationship: 1= majority of voting rights at ordinary shareholders’ meeting; 2= dominant influence at ordinary shareholders’ meeting; 3= agreements with other shareholders; 4= other types of control; 5= centralised management pursuant to paragraph 1 of Art.39 of “Legislative decree 136/2015”; 6= centralised management pursuant to paragraph 2 of Art.39 of “Legislative decree 136/2015”; (2) Voting rights available in general meeting. Voting rights are disclosed only if different from the percentage of ownership. (3) Companies consolidated line by line under IFRS10 as a result of the simultaneous availability of power to govern the relevant activities and exposures to variability of related returns. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 173 OWNERSHIP RELATIONSHIP VOTING RIGHTS % (2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) HELD BY HOLDING % 392 Z LEASING HERCULES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 393 Z LEASING IPSILON IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH 99.80 394 Z LEASING ITA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 395 Z LEASING JANUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 396 Z LEASING KALLISTO IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 397 Z LEASING KAPA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 398 Z LEASING LYRA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 GALA GRUNDSTUECKVERWALTUNG GESELLSCHAFT M.B.H. 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 399 Z LEASING NEREIDE IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 400 Z LEASING OMEGA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 CALG DELTA GRUNDSTUECKVERWALTUNG GMBH 99.80 Issued capital EUR 36,500 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 401 Z LEASING PERSEUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 10.00 Issued capital EUR 36,500 UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. 90.00 402 Z LEASING SCORPIUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 403 Z LEASING TAURUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. 99.80 Issued capital EUR 73,000 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 404 Z LEASING VENUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT LEASING (AUSTRIA) GMBH 99.80 405 Z LEASING VOLANS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA VIENNA 1 UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH & CO KG 0.20 Issued capital EUR 36,500 UNICREDIT PEGASUS LEASING GMBH 99.80 406 ZAGREBACKA BANKA D.D. ZAGREB ZAGREB 1 UNICREDIT SPA 84.48 Issued capital HRK 6,404,839,100 407 ZAPADNI TRGOVACKI CENTAR D.O.O. RIJEKA RIJEKA 1 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 100.00 Issued capital HRK 20,000 Notes to the table showing the investments in subsidiaries: (1) Type of relationship: 1= majority of voting rights at ordinary shareholders’ meeting; 2= dominant influence at ordinary shareholders’ meeting; 3= agreements with other shareholders; 4= other types of control; 5= centralised management pursuant to paragraph 1 of Art.39 of “Legislative decree 136/2015”; 6= centralised management pursuant to paragraph 2 of Art.39 of “Legislative decree 136/2015”; (2) Voting rights available in general meeting. Voting rights are disclosed only if different from the percentage of ownership. (3) Companies consolidated line by line under IFRS10 as a result of the simultaneous availability of power to govern the relevant activities and exposures to variability of related returns. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 174 2021 Annual Report and Accounts · UniCredit Changes in the scope of consolidation Companies consolidated line by line, including the Parent company and those ones classified as non-current assets and asset disposal groups, decreased by 59 entities compared with 31 December 2020 (8 inclusions and 67 exclusions as a result of disposals, changes of the consolidation method and mergers), from 466 as at 31 December 2020 to 407 as at 31 December 2021. Wholly-owned subsidiaries The following table shows the changes in equity investments in wholly-owned subsidiaries. Equity investments in wholly-owned subsidiaries (consolidated line by line): annual changes NUMBER OF COMPANIES A. Opening balance (from previous year) 466 B. Increased by 8 B.1 Newly established companies 2 B.2 Change of the consolidation method 5 B.3 Entities consolidated for the first time in the year 1 C. Reduced by 67 C.1 Disposal/Liquidation 16 C.2 Change of the consolidation method 44 C.3 Absorption by other Group entities 7 D. Closing balance 407 The tables below analyse the other increases and decreases occurred during the year by company. Increases Newly established companies COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE EBS FINANCE S.R.L. MILAN ICE CREEK POOL NO.3 DAC DUBLIN Change of the consolidation method COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE WEALTHCAP WOHNEN 1B GMBH &CO. KG MUNICH WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH MUNICH OT-OPTIMA TELEKOM DD ZAGREB WEALTHCAP OBJEKT-VORRAT 39 GMBH & CO. KG MUNICH WEALTHCAP OBJEKT BERLIN III GMBH & CO. KG MUNICH Entities consolidated for the first time in the year COMPANY NAME MAIN OFFICE UCLA AM WINTERHAFEN 11 IMMOBILIENLEASING GMBH & CO OG VIENNA Reductions The above table refers to disposals and liquidations of inactive companies. Disposal/Liquidation COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE SIA UNICREDIT LEASING RIGA SIA UNICREDIT INSURANCE BROKER RIGA LOCAT SV SRL (CARTOLARIZZAZIONE: SERIE 2016) CONEGLIANO ELEKTRA PURCHASE NO. 41 DAC DUBLIN IMMOBILIEN RATING GMBH IN LIQU. VIENNA LARGE CORPORATE ONE SRL (CARTOLARIZZAZIONE: LARGE CORPORATE ONE) VERONA ELEKTRA PURCHASE NO. 718 DAC DUBLIN ELEKTRA PURCHASE NO. 55 DAC DUBLIN ELEKTRA PURCHASE NO. 44 DAC DUBLIN UCTAM RO S.R.L. BUCHAREST HELICONUS SRL (CARTOLARIZZAZIONE: HELICONUS) VERONA UCTAM RETAIL HUNGARY KFT. BUDAPEST UCTAM HUNGARY KFT BUDAPEST UCTAM UPRAVLJANJE D.O.O. LJUBLJANA DEBO LEASING SRL BUCHAREST CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE: BIPCA CORDUSIO RMBS) VERONA Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 174 2021 Annual Report and Accounts · UniCredit Changes in the scope of consolidation Companies consolidated line by line, including the Parent company and those ones classified as non-current assets and asset disposal groups, decreased by 59 entities compared with 31 December 2020 (8 inclusions and 67 exclusions as a result of disposals, changes of the consolidation method and mergers), from 466 as at 31 December 2020 to 407 as at 31 December 2021. Wholly-owned subsidiaries The following table shows the changes in equity investments in wholly-owned subsidiaries. Equity investments in wholly-owned subsidiaries (consolidated line by line): annual changes NUMBER OF COMPANIES A. Opening balance (from previous year) 466 B. Increased by 8 B.1 Newly established companies 2 B.2 Change of the consolidation method 5 B.3 Entities consolidated for the first time in the year 1 C. Reduced by 67 C.1 Disposal/Liquidation 16 C.2 Change of the consolidation method 44 C.3 Absorption by other Group entities 7 D. Closing balance 407 The tables below analyse the other increases and decreases occurred during the year by company. Increases Newly established companies COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE EBS FINANCE S.R.L. MILAN ICE CREEK POOL NO.3 DAC DUBLIN Change of the consolidation method COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE WEALTHCAP WOHNEN 1B GMBH &CO. KG MUNICH WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH MUNICH OT-OPTIMA TELEKOM DD ZAGREB WEALTHCAP OBJEKT-VORRAT 39 GMBH & CO. KG MUNICH WEALTHCAP OBJEKT BERLIN III GMBH & CO. KG MUNICH Entities consolidated for the first time in the year COMPANY NAME MAIN OFFICE UCLA AM WINTERHAFEN 11 IMMOBILIENLEASING GMBH & CO OG VIENNA Reductions The above table refers to disposals and liquidations of inactive companies. Disposal/Liquidation COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE SIA UNICREDIT LEASING RIGA SIA UNICREDIT INSURANCE BROKER RIGA LOCAT SV SRL (CARTOLARIZZAZIONE: SERIE 2016) CONEGLIANO ELEKTRA PURCHASE NO. 41 DAC DUBLIN IMMOBILIEN RATING GMBH IN LIQU. VIENNA LARGE CORPORATE ONE SRL (CARTOLARIZZAZIONE: LARGE CORPORATE ONE) VERONA ELEKTRA PURCHASE NO. 718 DAC DUBLIN ELEKTRA PURCHASE NO. 55 DAC DUBLIN ELEKTRA PURCHASE NO. 44 DAC DUBLIN UCTAM RO S.R.L. BUCHAREST HELICONUS SRL (CARTOLARIZZAZIONE: HELICONUS) VERONA UCTAM RETAIL HUNGARY KFT. BUDAPEST UCTAM HUNGARY KFT BUDAPEST UCTAM UPRAVLJANJE D.O.O. LJUBLJANA DEBO LEASING SRL BUCHAREST CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE: BIPCA CORDUSIO RMBS) VERONA Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 174 2021 Annual Report and Accounts · UniCredit Changes in the scope of consolidation Companies consolidated line by line, including the Parent company and those ones classified as non-current assets and asset disposal groups, decreased by 59 entities compared with 31 December 2020 (8 inclusions and 67 exclusions as a result of disposals, changes of the consolidation method and mergers), from 466 as at 31 December 2020 to 407 as at 31 December 2021. Wholly-owned subsidiaries The following table shows the changes in equity investments in wholly-owned subsidiaries. Equity investments in wholly-owned subsidiaries (consolidated line by line): annual changes NUMBER OF COMPANIES A. Opening balance (from previous year) 466 B. Increased by 8 B.1 Newly established companies 2 B.2 Change of the consolidation method 5 B.3 Entities consolidated for the first time in the year 1 C. Reduced by 67 C.1 Disposal/Liquidation 16 C.2 Change of the consolidation method 44 C.3 Absorption by other Group entities 7 D. Closing balance 407 The tables below analyse the other increases and decreases occurred during the year by company. Increases Newly established companies COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE EBS FINANCE S.R.L. MILAN ICE CREEK POOL NO.3 DAC DUBLIN Change of the consolidation method COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE WEALTHCAP WOHNEN 1B GMBH &CO. KG MUNICH WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH MUNICH OT-OPTIMA TELEKOM DD ZAGREB WEALTHCAP OBJEKT-VORRAT 39 GMBH & CO. KG MUNICH WEALTHCAP OBJEKT BERLIN III GMBH & CO. KG MUNICH Entities consolidated for the first time in the year COMPANY NAME MAIN OFFICE UCLA AM WINTERHAFEN 11 IMMOBILIENLEASING GMBH & CO OG VIENNA Reductions The above table refers to disposals and liquidations of inactive companies. Disposal/Liquidation COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE SIA UNICREDIT LEASING RIGA SIA UNICREDIT INSURANCE BROKER RIGA LOCAT SV SRL (CARTOLARIZZAZIONE: SERIE 2016) CONEGLIANO ELEKTRA PURCHASE NO. 41 DAC DUBLIN IMMOBILIEN RATING GMBH IN LIQU. VIENNA LARGE CORPORATE ONE SRL (CARTOLARIZZAZIONE: LARGE CORPORATE ONE) VERONA ELEKTRA PURCHASE NO. 718 DAC DUBLIN ELEKTRA PURCHASE NO. 55 DAC DUBLIN ELEKTRA PURCHASE NO. 44 DAC DUBLIN UCTAM RO S.R.L. BUCHAREST HELICONUS SRL (CARTOLARIZZAZIONE: HELICONUS) VERONA UCTAM RETAIL HUNGARY KFT. BUDAPEST UCTAM HUNGARY KFT BUDAPEST UCTAM UPRAVLJANJE D.O.O. LJUBLJANA DEBO LEASING SRL BUCHAREST CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE: BIPCA CORDUSIO RMBS) VERONA Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 174 2021 Annual Report and Accounts · UniCredit Changes in the scope of consolidation Companies consolidated line by line, including the Parent company and those ones classified as non-current assets and asset disposal groups, decreased by 59 entities compared with 31 December 2020 (8 inclusions and 67 exclusions as a result of disposals, changes of the consolidation method and mergers), from 466 as at 31 December 2020 to 407 as at 31 December 2021. Wholly-owned subsidiaries The following table shows the changes in equity investments in wholly-owned subsidiaries. Equity investments in wholly-owned subsidiaries (consolidated line by line): annual changes NUMBER OF COMPANIES A. Opening balance (from previous year) 466 B. Increased by 8 B.1 Newly established companies 2 B.2 Change of the consolidation method 5 B.3 Entities consolidated for the first time in the year 1 C. Reduced by 67 C.1 Disposal/Liquidation 16 C.2 Change of the consolidation method 44 C.3 Absorption by other Group entities 7 D. Closing balance 407 The tables below analyse the other increases and decreases occurred during the year by company. Increases Newly established companies COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE EBS FINANCE S.R.L. MILAN ICE CREEK POOL NO.3 DAC DUBLIN Change of the consolidation method COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE WEALTHCAP WOHNEN 1B GMBH &CO. KG MUNICH WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH MUNICH OT-OPTIMA TELEKOM DD ZAGREB WEALTHCAP OBJEKT-VORRAT 39 GMBH & CO. KG MUNICH WEALTHCAP OBJEKT BERLIN III GMBH & CO. KG MUNICH Entities consolidated for the first time in the year COMPANY NAME MAIN OFFICE UCLA AM WINTERHAFEN 11 IMMOBILIENLEASING GMBH & CO OG VIENNA Reductions The above table refers to disposals and liquidations of inactive companies. Disposal/Liquidation COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE SIA UNICREDIT LEASING RIGA SIA UNICREDIT INSURANCE BROKER RIGA LOCAT SV SRL (CARTOLARIZZAZIONE: SERIE 2016) CONEGLIANO ELEKTRA PURCHASE NO. 41 DAC DUBLIN IMMOBILIEN RATING GMBH IN LIQU. VIENNA LARGE CORPORATE ONE SRL (CARTOLARIZZAZIONE: LARGE CORPORATE ONE) VERONA ELEKTRA PURCHASE NO. 718 DAC DUBLIN ELEKTRA PURCHASE NO. 55 DAC DUBLIN ELEKTRA PURCHASE NO. 44 DAC DUBLIN UCTAM RO S.R.L. BUCHAREST HELICONUS SRL (CARTOLARIZZAZIONE: HELICONUS) VERONA UCTAM RETAIL HUNGARY KFT. BUDAPEST UCTAM HUNGARY KFT BUDAPEST UCTAM UPRAVLJANJE D.O.O. LJUBLJANA DEBO LEASING SRL BUCHAREST CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE: BIPCA CORDUSIO RMBS) VERONA Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 174 2021 Annual Report and Accounts · UniCredit Changes in the scope of consolidation Companies consolidated line by line, including the Parent company and those ones classified as non-current assets and asset disposal groups, decreased by 59 entities compared with 31 December 2020 (8 inclusions and 67 exclusions as a result of disposals, changes of the consolidation method and mergers), from 466 as at 31 December 2020 to 407 as at 31 December 2021. Wholly-owned subsidiaries The following table shows the changes in equity investments in wholly-owned subsidiaries. Equity investments in wholly-owned subsidiaries (consolidated line by line): annual changes NUMBER OF COMPANIES A. Opening balance (from previous year) 466 B. Increased by 8 B.1 Newly established companies 2 B.2 Change of the consolidation method 5 B.3 Entities consolidated for the first time in the year 1 C. Reduced by 67 C.1 Disposal/Liquidation 16 C.2 Change of the consolidation method 44 C.3 Absorption by other Group entities 7 D. Closing balance 407 The tables below analyse the other increases and decreases occurred during the year by company. Increases Newly established companies COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE EBS FINANCE S.R.L. MILAN ICE CREEK POOL NO.3 DAC DUBLIN Change of the consolidation method COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE WEALTHCAP WOHNEN 1B GMBH &CO. KG MUNICH WEALTHCAP SPEZIAL WOHNEN 1 KOMPLEMENTAR GMBH MUNICH OT-OPTIMA TELEKOM DD ZAGREB WEALTHCAP OBJEKT-VORRAT 39 GMBH & CO. KG MUNICH WEALTHCAP OBJEKT BERLIN III GMBH & CO. KG MUNICH Entities consolidated for the first time in the year COMPANY NAME MAIN OFFICE UCLA AM WINTERHAFEN 11 IMMOBILIENLEASING GMBH & CO OG VIENNA Reductions The above table refers to disposals and liquidations of inactive companies. Disposal/Liquidation COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE SIA UNICREDIT LEASING RIGA SIA UNICREDIT INSURANCE BROKER RIGA LOCAT SV SRL (CARTOLARIZZAZIONE: SERIE 2016) CONEGLIANO ELEKTRA PURCHASE NO. 41 DAC DUBLIN IMMOBILIEN RATING GMBH IN LIQU. VIENNA LARGE CORPORATE ONE SRL (CARTOLARIZZAZIONE: LARGE CORPORATE ONE) VERONA ELEKTRA PURCHASE NO. 718 DAC DUBLIN ELEKTRA PURCHASE NO. 55 DAC DUBLIN ELEKTRA PURCHASE NO. 44 DAC DUBLIN UCTAM RO S.R.L. BUCHAREST HELICONUS SRL (CARTOLARIZZAZIONE: HELICONUS) VERONA UCTAM RETAIL HUNGARY KFT. BUDAPEST UCTAM HUNGARY KFT BUDAPEST UCTAM UPRAVLJANJE D.O.O. LJUBLJANA DEBO LEASING SRL BUCHAREST CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE: BIPCA CORDUSIO RMBS) VERONA Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 175 Change of the consolidation method COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE A&T-PROJEKTENTWICKLUNGS GMBH & CO. POTSDAMER PLATZ BERLIN KG MUNICH ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. PARKKOLONNADEN KG GRUENWALD REAL INVEST IMMOBILIEN GMBH IN LIQU. VIENNA WEALTHCAP OBJEKT MAINZ GMBH & CO. KG MUNICH BAH-KAPPA KFT. V.A. BUDAPEST HUMAN RESOURCES SERVICE AND DEVELOPMENT GMBH VIENNA BA-CA FINANCE (CAYMAN) II LIMITED GEORGE TOWN BA-CA FINANCE (CAYMAN) LIMITED GEORGE TOWN ALPINE CAYMAN ISLANDS LTD. GEORGE TOWN UNICREDIT BIZTOSITASKOEZVETITO KFT BUDAPEST HVB HONG KONG LIMITED HONG KONG BA ALPINE HOLDINGS, INC. WILMINGTON BUITENGAATS HOLDING B.V. EEMSHAVEN UNICREDIT GLOBAL LEASING EXPORT GMBH VIENNA UNICREDIT PARTNER D.O.O. BEOGRAD BELGRADE BA-CA WIEN MITTE HOLDING GMBH VIENNA HVB SECUR GMBH MUNICH AMBASSADOR PARC DEDINJE D.O.O. BEOGRAD BELGRADE INTERRA GESELLSCHAFT FUR IMMOBILIENVERWALTUNG MBH MUNICH UNICREDIT OPERATIV LIZING KFT BUDAPEST TREUCONSULT BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA ATLANTERRA IMMOBILIENVERWALTUNGS GMBH MUNICH OTHMARSCHEN PARK HAMBURG GMBH & CO. CENTERPARK KG MUNICH BIL LEASING-FONDS GMBH & CO VELUM KG GRUENWALD SELFOSS BETEILIGUNGSGESELLSCHAFT MBH GRUENWALD DC ELEKTRONISCHE ZAHLUNGSSYSTEME GMBH VIENNA SIMON VERWALTUNGS-AKTIENGESELLSCHAFT I.L. MUNICH DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. GROSSKUGEL BAUABSCHNITT GAMMA MANAGEMENT KG MUNICH SPREE GALERIE HOTELBETRIEBSGESELLSCHAFT MBH MUNICH DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. GROSSKUGEL BAUABSCHNITT ALPHA MANAGEMENT KG MUNICH VERWALTUNGSGESELLSCHAFT KATHARINENHOF MBH MUNICH FOOD & MORE GMBH MUNICH UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH IN LIQUIDATION VIENNA GRUNDSTUCKSAKTIENGESELLSCHAFT AM POTSDAMER PLATZ (HAUS VATERLAND) MUNICH WEALTHCAP OBJEKT ESSEN II GMBH & CO. KG MUNICH WEALTHCAP OBJEKT-VORRAT 25 GMBH & CO. KG MUNICH BACAL ALPHA DOO ZA POSLOVANJE NEKRETNINAMA ZAGREB ZANE BH DOO SARAJEVO ZB INVEST D.O.O. ZA UPRAVLJANJE INVESTICIJSKIM FONDOVIMA ZAGREB ZAGREB NEKRETNINE D.O.O. ZA POSLOVANJE NEKRETNINAMA ZAGREB ALLIB NEKRETNINE D.O.O. ZA POSLOVANJE NEKRETNINAMA ZAGREB ZABA PARTNER D.O.O. ZA BROKERSKE POSLOVE U OSIGURANJU I REOSIGURANJU ZAGREB DINERS CLUB POLSKA SP.Z.O.O. WARSAW DINERS CLUB CS, S.R.O. BRATISLAVA Absorption by other Group entities COMPANY NAME OF THE MERGERED ENTITY MAIN OFFICE COMPANY NAME OF THE TAKING IN ENTITY MAIN OFFICE BACA LEASING ALFA S.R.O. PRAGUE UNICREDIT LEASING CZ, A.S. PRAGUE PRO WOHNBAU GMBH VIENNA IMMOBILIEN HOLDING GMBH VIENNA POMINVEST DD ZAGREB ZAGREBACKA BANKA D.D. ZAGREB KSG KARTEN-VERRECHNUNGS- UND SERVICEGESELLSCHAFT M.B.H. VIENNA CARD COMPLETE SERVICE BANK AG VIENNA BA BETRIEBSOBJEKTE GMBH VIENNA POLLUX IMMOBILIEN GMBH VIENNA IMMOBILIEN HOLDING GMBH VIENNA UNIVERSALE INTERNATIONAL REALITAETEN GMBH VIENNA UNICREDIT BANK IRELAND PLC DUBLIN UNICREDIT SPA MILAN Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 175 Change of the consolidation method COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE A&T-PROJEKTENTWICKLUNGS GMBH & CO. POTSDAMER PLATZ BERLIN KG MUNICH ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. PARKKOLONNADEN KG GRUENWALD REAL INVEST IMMOBILIEN GMBH IN LIQU. VIENNA WEALTHCAP OBJEKT MAINZ GMBH & CO. KG MUNICH BAH-KAPPA KFT. V.A. BUDAPEST HUMAN RESOURCES SERVICE AND DEVELOPMENT GMBH VIENNA BA-CA FINANCE (CAYMAN) II LIMITED GEORGE TOWN BA-CA FINANCE (CAYMAN) LIMITED GEORGE TOWN ALPINE CAYMAN ISLANDS LTD. GEORGE TOWN UNICREDIT BIZTOSITASKOEZVETITO KFT BUDAPEST HVB HONG KONG LIMITED HONG KONG BA ALPINE HOLDINGS, INC. WILMINGTON BUITENGAATS HOLDING B.V. EEMSHAVEN UNICREDIT GLOBAL LEASING EXPORT GMBH VIENNA UNICREDIT PARTNER D.O.O. BEOGRAD BELGRADE BA-CA WIEN MITTE HOLDING GMBH VIENNA HVB SECUR GMBH MUNICH AMBASSADOR PARC DEDINJE D.O.O. BEOGRAD BELGRADE INTERRA GESELLSCHAFT FUR IMMOBILIENVERWALTUNG MBH MUNICH UNICREDIT OPERATIV LIZING KFT BUDAPEST TREUCONSULT BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA ATLANTERRA IMMOBILIENVERWALTUNGS GMBH MUNICH OTHMARSCHEN PARK HAMBURG GMBH & CO. CENTERPARK KG MUNICH BIL LEASING-FONDS GMBH & CO VELUM KG GRUENWALD SELFOSS BETEILIGUNGSGESELLSCHAFT MBH GRUENWALD DC ELEKTRONISCHE ZAHLUNGSSYSTEME GMBH VIENNA SIMON VERWALTUNGS-AKTIENGESELLSCHAFT I.L. MUNICH DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. GROSSKUGEL BAUABSCHNITT GAMMA MANAGEMENT KG MUNICH SPREE GALERIE HOTELBETRIEBSGESELLSCHAFT MBH MUNICH DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. GROSSKUGEL BAUABSCHNITT ALPHA MANAGEMENT KG MUNICH VERWALTUNGSGESELLSCHAFT KATHARINENHOF MBH MUNICH FOOD & MORE GMBH MUNICH UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH IN LIQUIDATION VIENNA GRUNDSTUCKSAKTIENGESELLSCHAFT AM POTSDAMER PLATZ (HAUS VATERLAND) MUNICH WEALTHCAP OBJEKT ESSEN II GMBH & CO. KG MUNICH WEALTHCAP OBJEKT-VORRAT 25 GMBH & CO. KG MUNICH BACAL ALPHA DOO ZA POSLOVANJE NEKRETNINAMA ZAGREB ZANE BH DOO SARAJEVO ZB INVEST D.O.O. ZA UPRAVLJANJE INVESTICIJSKIM FONDOVIMA ZAGREB ZAGREB NEKRETNINE D.O.O. ZA POSLOVANJE NEKRETNINAMA ZAGREB ALLIB NEKRETNINE D.O.O. ZA POSLOVANJE NEKRETNINAMA ZAGREB ZABA PARTNER D.O.O. ZA BROKERSKE POSLOVE U OSIGURANJU I REOSIGURANJU ZAGREB DINERS CLUB POLSKA SP.Z.O.O. WARSAW DINERS CLUB CS, S.R.O. BRATISLAVA Absorption by other Group entities COMPANY NAME OF THE MERGERED ENTITY MAIN OFFICE COMPANY NAME OF THE TAKING IN ENTITY MAIN OFFICE BACA LEASING ALFA S.R.O. PRAGUE UNICREDIT LEASING CZ, A.S. PRAGUE PRO WOHNBAU GMBH VIENNA IMMOBILIEN HOLDING GMBH VIENNA POMINVEST DD ZAGREB ZAGREBACKA BANKA D.D. ZAGREB KSG KARTEN-VERRECHNUNGS- UND SERVICEGESELLSCHAFT M.B.H. VIENNA CARD COMPLETE SERVICE BANK AG VIENNA BA BETRIEBSOBJEKTE GMBH VIENNA POLLUX IMMOBILIEN GMBH VIENNA IMMOBILIEN HOLDING GMBH VIENNA UNIVERSALE INTERNATIONAL REALITAETEN GMBH VIENNA UNICREDIT BANK IRELAND PLC DUBLIN UNICREDIT SPA MILAN Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 175 Change of the consolidation method COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE A&T-PROJEKTENTWICKLUNGS GMBH & CO. POTSDAMER PLATZ BERLIN KG MUNICH ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. PARKKOLONNADEN KG GRUENWALD REAL INVEST IMMOBILIEN GMBH IN LIQU. VIENNA WEALTHCAP OBJEKT MAINZ GMBH & CO. KG MUNICH BAH-KAPPA KFT. V.A. BUDAPEST HUMAN RESOURCES SERVICE AND DEVELOPMENT GMBH VIENNA BA-CA FINANCE (CAYMAN) II LIMITED GEORGE TOWN BA-CA FINANCE (CAYMAN) LIMITED GEORGE TOWN ALPINE CAYMAN ISLANDS LTD. GEORGE TOWN UNICREDIT BIZTOSITASKOEZVETITO KFT BUDAPEST HVB HONG KONG LIMITED HONG KONG BA ALPINE HOLDINGS, INC. WILMINGTON BUITENGAATS HOLDING B.V. EEMSHAVEN UNICREDIT GLOBAL LEASING EXPORT GMBH VIENNA UNICREDIT PARTNER D.O.O. BEOGRAD BELGRADE BA-CA WIEN MITTE HOLDING GMBH VIENNA HVB SECUR GMBH MUNICH AMBASSADOR PARC DEDINJE D.O.O. BEOGRAD BELGRADE INTERRA GESELLSCHAFT FUR IMMOBILIENVERWALTUNG MBH MUNICH UNICREDIT OPERATIV LIZING KFT BUDAPEST TREUCONSULT BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA ATLANTERRA IMMOBILIENVERWALTUNGS GMBH MUNICH OTHMARSCHEN PARK HAMBURG GMBH & CO. CENTERPARK KG MUNICH BIL LEASING-FONDS GMBH & CO VELUM KG GRUENWALD SELFOSS BETEILIGUNGSGESELLSCHAFT MBH GRUENWALD DC ELEKTRONISCHE ZAHLUNGSSYSTEME GMBH VIENNA SIMON VERWALTUNGS-AKTIENGESELLSCHAFT I.L. MUNICH DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. GROSSKUGEL BAUABSCHNITT GAMMA MANAGEMENT KG MUNICH SPREE GALERIE HOTELBETRIEBSGESELLSCHAFT MBH MUNICH DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. GROSSKUGEL BAUABSCHNITT ALPHA MANAGEMENT KG MUNICH VERWALTUNGSGESELLSCHAFT KATHARINENHOF MBH MUNICH FOOD & MORE GMBH MUNICH UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH IN LIQUIDATION VIENNA GRUNDSTUCKSAKTIENGESELLSCHAFT AM POTSDAMER PLATZ (HAUS VATERLAND) MUNICH WEALTHCAP OBJEKT ESSEN II GMBH & CO. KG MUNICH WEALTHCAP OBJEKT-VORRAT 25 GMBH & CO. KG MUNICH BACAL ALPHA DOO ZA POSLOVANJE NEKRETNINAMA ZAGREB ZANE BH DOO SARAJEVO ZB INVEST D.O.O. ZA UPRAVLJANJE INVESTICIJSKIM FONDOVIMA ZAGREB ZAGREB NEKRETNINE D.O.O. ZA POSLOVANJE NEKRETNINAMA ZAGREB ALLIB NEKRETNINE D.O.O. ZA POSLOVANJE NEKRETNINAMA ZAGREB ZABA PARTNER D.O.O. ZA BROKERSKE POSLOVE U OSIGURANJU I REOSIGURANJU ZAGREB DINERS CLUB POLSKA SP.Z.O.O. WARSAW DINERS CLUB CS, S.R.O. BRATISLAVA Absorption by other Group entities COMPANY NAME OF THE MERGERED ENTITY MAIN OFFICE COMPANY NAME OF THE TAKING IN ENTITY MAIN OFFICE BACA LEASING ALFA S.R.O. PRAGUE UNICREDIT LEASING CZ, A.S. PRAGUE PRO WOHNBAU GMBH VIENNA IMMOBILIEN HOLDING GMBH VIENNA POMINVEST DD ZAGREB ZAGREBACKA BANKA D.D. ZAGREB KSG KARTEN-VERRECHNUNGS- UND SERVICEGESELLSCHAFT M.B.H. VIENNA CARD COMPLETE SERVICE BANK AG VIENNA BA BETRIEBSOBJEKTE GMBH VIENNA POLLUX IMMOBILIEN GMBH VIENNA IMMOBILIEN HOLDING GMBH VIENNA UNIVERSALE INTERNATIONAL REALITAETEN GMBH VIENNA UNICREDIT BANK IRELAND PLC DUBLIN UNICREDIT SPA MILAN Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 175 Change of the consolidation method COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE A&T-PROJEKTENTWICKLUNGS GMBH & CO. POTSDAMER PLATZ BERLIN KG MUNICH ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. PARKKOLONNADEN KG GRUENWALD REAL INVEST IMMOBILIEN GMBH IN LIQU. VIENNA WEALTHCAP OBJEKT MAINZ GMBH & CO. KG MUNICH BAH-KAPPA KFT. V.A. BUDAPEST HUMAN RESOURCES SERVICE AND DEVELOPMENT GMBH VIENNA BA-CA FINANCE (CAYMAN) II LIMITED GEORGE TOWN BA-CA FINANCE (CAYMAN) LIMITED GEORGE TOWN ALPINE CAYMAN ISLANDS LTD. GEORGE TOWN UNICREDIT BIZTOSITASKOEZVETITO KFT BUDAPEST HVB HONG KONG LIMITED HONG KONG BA ALPINE HOLDINGS, INC. WILMINGTON BUITENGAATS HOLDING B.V. EEMSHAVEN UNICREDIT GLOBAL LEASING EXPORT GMBH VIENNA UNICREDIT PARTNER D.O.O. BEOGRAD BELGRADE BA-CA WIEN MITTE HOLDING GMBH VIENNA HVB SECUR GMBH MUNICH AMBASSADOR PARC DEDINJE D.O.O. BEOGRAD BELGRADE INTERRA GESELLSCHAFT FUR IMMOBILIENVERWALTUNG MBH MUNICH UNICREDIT OPERATIV LIZING KFT BUDAPEST TREUCONSULT BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA ATLANTERRA IMMOBILIENVERWALTUNGS GMBH MUNICH OTHMARSCHEN PARK HAMBURG GMBH & CO. CENTERPARK KG MUNICH BIL LEASING-FONDS GMBH & CO VELUM KG GRUENWALD SELFOSS BETEILIGUNGSGESELLSCHAFT MBH GRUENWALD DC ELEKTRONISCHE ZAHLUNGSSYSTEME GMBH VIENNA SIMON VERWALTUNGS-AKTIENGESELLSCHAFT I.L. MUNICH DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. GROSSKUGEL BAUABSCHNITT GAMMA MANAGEMENT KG MUNICH SPREE GALERIE HOTELBETRIEBSGESELLSCHAFT MBH MUNICH DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. GROSSKUGEL BAUABSCHNITT ALPHA MANAGEMENT KG MUNICH VERWALTUNGSGESELLSCHAFT KATHARINENHOF MBH MUNICH FOOD & MORE GMBH MUNICH UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH IN LIQUIDATION VIENNA GRUNDSTUCKSAKTIENGESELLSCHAFT AM POTSDAMER PLATZ (HAUS VATERLAND) MUNICH WEALTHCAP OBJEKT ESSEN II GMBH & CO. KG MUNICH WEALTHCAP OBJEKT-VORRAT 25 GMBH & CO. KG MUNICH BACAL ALPHA DOO ZA POSLOVANJE NEKRETNINAMA ZAGREB ZANE BH DOO SARAJEVO ZB INVEST D.O.O. ZA UPRAVLJANJE INVESTICIJSKIM FONDOVIMA ZAGREB ZAGREB NEKRETNINE D.O.O. ZA POSLOVANJE NEKRETNINAMA ZAGREB ALLIB NEKRETNINE D.O.O. ZA POSLOVANJE NEKRETNINAMA ZAGREB ZABA PARTNER D.O.O. ZA BROKERSKE POSLOVE U OSIGURANJU I REOSIGURANJU ZAGREB DINERS CLUB POLSKA SP.Z.O.O. WARSAW DINERS CLUB CS, S.R.O. BRATISLAVA Absorption by other Group entities COMPANY NAME OF THE MERGERED ENTITY MAIN OFFICE COMPANY NAME OF THE TAKING IN ENTITY MAIN OFFICE BACA LEASING ALFA S.R.O. PRAGUE UNICREDIT LEASING CZ, A.S. PRAGUE PRO WOHNBAU GMBH VIENNA IMMOBILIEN HOLDING GMBH VIENNA POMINVEST DD ZAGREB ZAGREBACKA BANKA D.D. ZAGREB KSG KARTEN-VERRECHNUNGS- UND SERVICEGESELLSCHAFT M.B.H. VIENNA CARD COMPLETE SERVICE BANK AG VIENNA BA BETRIEBSOBJEKTE GMBH VIENNA POLLUX IMMOBILIEN GMBH VIENNA IMMOBILIEN HOLDING GMBH VIENNA UNIVERSALE INTERNATIONAL REALITAETEN GMBH VIENNA UNICREDIT BANK IRELAND PLC DUBLIN UNICREDIT SPA MILAN Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 175 Change of the consolidation method COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE A&T-PROJEKTENTWICKLUNGS GMBH & CO. POTSDAMER PLATZ BERLIN KG MUNICH ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. PARKKOLONNADEN KG GRUENWALD REAL INVEST IMMOBILIEN GMBH IN LIQU. VIENNA WEALTHCAP OBJEKT MAINZ GMBH & CO. KG MUNICH BAH-KAPPA KFT. V.A. BUDAPEST HUMAN RESOURCES SERVICE AND DEVELOPMENT GMBH VIENNA BA-CA FINANCE (CAYMAN) II LIMITED GEORGE TOWN BA-CA FINANCE (CAYMAN) LIMITED GEORGE TOWN ALPINE CAYMAN ISLANDS LTD. GEORGE TOWN UNICREDIT BIZTOSITASKOEZVETITO KFT BUDAPEST HVB HONG KONG LIMITED HONG KONG BA ALPINE HOLDINGS, INC. WILMINGTON BUITENGAATS HOLDING B.V. EEMSHAVEN UNICREDIT GLOBAL LEASING EXPORT GMBH VIENNA UNICREDIT PARTNER D.O.O. BEOGRAD BELGRADE BA-CA WIEN MITTE HOLDING GMBH VIENNA HVB SECUR GMBH MUNICH AMBASSADOR PARC DEDINJE D.O.O. BEOGRAD BELGRADE INTERRA GESELLSCHAFT FUR IMMOBILIENVERWALTUNG MBH MUNICH UNICREDIT OPERATIV LIZING KFT BUDAPEST TREUCONSULT BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA ATLANTERRA IMMOBILIENVERWALTUNGS GMBH MUNICH OTHMARSCHEN PARK HAMBURG GMBH & CO. CENTERPARK KG MUNICH BIL LEASING-FONDS GMBH & CO VELUM KG GRUENWALD SELFOSS BETEILIGUNGSGESELLSCHAFT MBH GRUENWALD DC ELEKTRONISCHE ZAHLUNGSSYSTEME GMBH VIENNA SIMON VERWALTUNGS-AKTIENGESELLSCHAFT I.L. MUNICH DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. GROSSKUGEL BAUABSCHNITT GAMMA MANAGEMENT KG MUNICH SPREE GALERIE HOTELBETRIEBSGESELLSCHAFT MBH MUNICH DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH & CO. GROSSKUGEL BAUABSCHNITT ALPHA MANAGEMENT KG MUNICH VERWALTUNGSGESELLSCHAFT KATHARINENHOF MBH MUNICH FOOD & MORE GMBH MUNICH UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH IN LIQUIDATION VIENNA GRUNDSTUCKSAKTIENGESELLSCHAFT AM POTSDAMER PLATZ (HAUS VATERLAND) MUNICH WEALTHCAP OBJEKT ESSEN II GMBH & CO. KG MUNICH WEALTHCAP OBJEKT-VORRAT 25 GMBH & CO. KG MUNICH BACAL ALPHA DOO ZA POSLOVANJE NEKRETNINAMA ZAGREB ZANE BH DOO SARAJEVO ZB INVEST D.O.O. ZA UPRAVLJANJE INVESTICIJSKIM FONDOVIMA ZAGREB ZAGREB NEKRETNINE D.O.O. ZA POSLOVANJE NEKRETNINAMA ZAGREB ALLIB NEKRETNINE D.O.O. ZA POSLOVANJE NEKRETNINAMA ZAGREB ZABA PARTNER D.O.O. ZA BROKERSKE POSLOVE U OSIGURANJU I REOSIGURANJU ZAGREB DINERS CLUB POLSKA SP.Z.O.O. WARSAW DINERS CLUB CS, S.R.O. BRATISLAVA Absorption by other Group entities COMPANY NAME OF THE MERGERED ENTITY MAIN OFFICE COMPANY NAME OF THE TAKING IN ENTITY MAIN OFFICE BACA LEASING ALFA S.R.O. PRAGUE UNICREDIT LEASING CZ, A.S. PRAGUE PRO WOHNBAU GMBH VIENNA IMMOBILIEN HOLDING GMBH VIENNA POMINVEST DD ZAGREB ZAGREBACKA BANKA D.D. ZAGREB KSG KARTEN-VERRECHNUNGS- UND SERVICEGESELLSCHAFT M.B.H. VIENNA CARD COMPLETE SERVICE BANK AG VIENNA BA BETRIEBSOBJEKTE GMBH VIENNA POLLUX IMMOBILIEN GMBH VIENNA IMMOBILIEN HOLDING GMBH VIENNA UNIVERSALE INTERNATIONAL REALITAETEN GMBH VIENNA UNICREDIT BANK IRELAND PLC DUBLIN UNICREDIT SPA MILAN Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 176 2021 Annual Report and Accounts · UniCredit Entities line by line which changed the company name during the the year COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE BAH-OMEGA ZRT.'V.A.' (ex. BAH-OMEGA ZRT.) BUDAPEST UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH IN LIQUIDATION (ex. UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH) VIENNA ALPHA RENT DOO BEOGRAD (ex. UNICREDIT RENT D.O.O. BEOGRAD) BELGRADE ICE CREEK POOL NO. 5 DAC (ex. ELEKTRA PURCHASE NO. 39 DAC) DUBLIN 2. Significant assumptions and assessment in determining the consolidation scope The Group determines the existence of control and, consequently, the consolidation scope, checking, with reference to the entities in which it holds exposures: • the existence of power over the relevant activities; • the exposure to the variability of returns; • the ability to use the power exercised in order to influence the returns to which it is exposed. The factors that have been considered for the purposes of this assessment depend on the entity's governance methods, purposes and equity structure. On this point, the Group differentiates between entities governed through voting rights, i.e. operating entities, and entities not governed through voting rights, which comprise special purpose entities (SPEs) and investment funds. In the case of operating entities, the following factors provide evidence of control: • more than half of the company's voting rights are held directly or indirectly through subsidiaries (also when they act as trustee companies) unless, exceptionally, it can be clearly demonstrated that this ownership does not originate control; • half, or a lower proportion, of the votes exercisable in the shareholders' meeting are held and it is possible to govern the relevant activities unilaterally through: - the control of more than half of the voting rights based on an agreement with other investors; - the power to determine the entity's financial and operating policies based on a contract or a statutory clause; - the power to appoint or remove the majority of the members of the Board of Directors or the equivalent governing body, and that board or body is responsible for managing the company; - the power to exercise the majority of voting rights in meetings of the Board of Directors or the equivalent governing body, and that board or body is responsible for managing the company. The existence and effect of potential voting rights, including those incorporated in options, way-out clauses, or instruments convertible into shares, are taken into consideration when assessing the existence of control, in case they are substantial. In particular, potential voting rights are considered substantial if all the following conditions are met: • they can be exercised either immediately or at least in good time for the company's shareholders' meeting; • there are no legal or economic barriers to exercise them; • exercising them is economically convenient. As at 31 December 2021 the Group holds the majority of the voting rights in all the operating entities subject to consolidation, with the exception of two companies for which the Group, although not holding the majority of voting rights, (i) has signed shareholders' agreements which enable it to appoint the majority of members of the governing body, or contractual agreements which determine the possibility of managing the company’s business unilaterally, and (ii) is exposed to the variability of the said company’s returns. It should also be noted that there are no cases in which control derives from holding potential voting rights. Special purpose entities are considered controlled if the Group is, at one and the same time: • exposed to a significant extent to the variability of returns, as a result of exposures in securities, of disbursing loans or of providing guarantees. In this regard it is assumed as a rebuttable presumption that the exposure to variability of returns is significant if the Group has at least 30% of the most subordinated exposure, • able to govern the relevant activities, also in a de facto manner. Examples of the power to govern on this point are performing the role of sponsor or servicer appointed to recover underlying receivables, or managing the company's business. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 176 2021 Annual Report and Accounts · UniCredit Entities line by line which changed the company name during the the year COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE BAH-OMEGA ZRT.'V.A.' (ex. BAH-OMEGA ZRT.) BUDAPEST UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH IN LIQUIDATION (ex. UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH) VIENNA ALPHA RENT DOO BEOGRAD (ex. UNICREDIT RENT D.O.O. BEOGRAD) BELGRADE ICE CREEK POOL NO. 5 DAC (ex. ELEKTRA PURCHASE NO. 39 DAC) DUBLIN 2. Significant assumptions and assessment in determining the consolidation scope The Group determines the existence of control and, consequently, the consolidation scope, checking, with reference to the entities in which it holds exposures: • the existence of power over the relevant activities; • the exposure to the variability of returns; • the ability to use the power exercised in order to influence the returns to which it is exposed. The factors that have been considered for the purposes of this assessment depend on the entity's governance methods, purposes and equity structure. On this point, the Group differentiates between entities governed through voting rights, i.e. operating entities, and entities not governed through voting rights, which comprise special purpose entities (SPEs) and investment funds. In the case of operating entities, the following factors provide evidence of control: • more than half of the company's voting rights are held directly or indirectly through subsidiaries (also when they act as trustee companies) unless, exceptionally, it can be clearly demonstrated that this ownership does not originate control; • half, or a lower proportion, of the votes exercisable in the shareholders' meeting are held and it is possible to govern the relevant activities unilaterally through: - the control of more than half of the voting rights based on an agreement with other investors; - the power to determine the entity's financial and operating policies based on a contract or a statutory clause; - the power to appoint or remove the majority of the members of the Board of Directors or the equivalent governing body, and that board or body is responsible for managing the company; - the power to exercise the majority of voting rights in meetings of the Board of Directors or the equivalent governing body, and that board or body is responsible for managing the company. The existence and effect of potential voting rights, including those incorporated in options, way-out clauses, or instruments convertible into shares, are taken into consideration when assessing the existence of control, in case they are substantial. In particular, potential voting rights are considered substantial if all the following conditions are met: • they can be exercised either immediately or at least in good time for the company's shareholders' meeting; • there are no legal or economic barriers to exercise them; • exercising them is economically convenient. As at 31 December 2021 the Group holds the majority of the voting rights in all the operating entities subject to consolidation, with the exception of two companies for which the Group, although not holding the majority of voting rights, (i) has signed shareholders' agreements which enable it to appoint the majority of members of the governing body, or contractual agreements which determine the possibility of managing the company’s business unilaterally, and (ii) is exposed to the variability of the said company’s returns. It should also be noted that there are no cases in which control derives from holding potential voting rights. Special purpose entities are considered controlled if the Group is, at one and the same time: • exposed to a significant extent to the variability of returns, as a result of exposures in securities, of disbursing loans or of providing guarantees. In this regard it is assumed as a rebuttable presumption that the exposure to variability of returns is significant if the Group has at least 30% of the most subordinated exposure, • able to govern the relevant activities, also in a de facto manner. Examples of the power to govern on this point are performing the role of sponsor or servicer appointed to recover underlying receivables, or managing the company's business. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 176 2021 Annual Report and Accounts · UniCredit Entities line by line which changed the company name during the the year COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE BAH-OMEGA ZRT.'V.A.' (ex. BAH-OMEGA ZRT.) BUDAPEST UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH IN LIQUIDATION (ex. UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH) VIENNA ALPHA RENT DOO BEOGRAD (ex. UNICREDIT RENT D.O.O. BEOGRAD) BELGRADE ICE CREEK POOL NO. 5 DAC (ex. ELEKTRA PURCHASE NO. 39 DAC) DUBLIN 2. Significant assumptions and assessment in determining the consolidation scope The Group determines the existence of control and, consequently, the consolidation scope, checking, with reference to the entities in which it holds exposures: • the existence of power over the relevant activities; • the exposure to the variability of returns; • the ability to use the power exercised in order to influence the returns to which it is exposed. The factors that have been considered for the purposes of this assessment depend on the entity's governance methods, purposes and equity structure. On this point, the Group differentiates between entities governed through voting rights, i.e. operating entities, and entities not governed through voting rights, which comprise special purpose entities (SPEs) and investment funds. In the case of operating entities, the following factors provide evidence of control: • more than half of the company's voting rights are held directly or indirectly through subsidiaries (also when they act as trustee companies) unless, exceptionally, it can be clearly demonstrated that this ownership does not originate control; • half, or a lower proportion, of the votes exercisable in the shareholders' meeting are held and it is possible to govern the relevant activities unilaterally through: - the control of more than half of the voting rights based on an agreement with other investors; - the power to determine the entity's financial and operating policies based on a contract or a statutory clause; - the power to appoint or remove the majority of the members of the Board of Directors or the equivalent governing body, and that board or body is responsible for managing the company; - the power to exercise the majority of voting rights in meetings of the Board of Directors or the equivalent governing body, and that board or body is responsible for managing the company. The existence and effect of potential voting rights, including those incorporated in options, way-out clauses, or instruments convertible into shares, are taken into consideration when assessing the existence of control, in case they are substantial. In particular, potential voting rights are considered substantial if all the following conditions are met: • they can be exercised either immediately or at least in good time for the company's shareholders' meeting; • there are no legal or economic barriers to exercise them; • exercising them is economically convenient. As at 31 December 2021 the Group holds the majority of the voting rights in all the operating entities subject to consolidation, with the exception of two companies for which the Group, although not holding the majority of voting rights, (i) has signed shareholders' agreements which enable it to appoint the majority of members of the governing body, or contractual agreements which determine the possibility of managing the company’s business unilaterally, and (ii) is exposed to the variability of the said company’s returns. It should also be noted that there are no cases in which control derives from holding potential voting rights. Special purpose entities are considered controlled if the Group is, at one and the same time: • exposed to a significant extent to the variability of returns, as a result of exposures in securities, of disbursing loans or of providing guarantees. In this regard it is assumed as a rebuttable presumption that the exposure to variability of returns is significant if the Group has at least 30% of the most subordinated exposure, • able to govern the relevant activities, also in a de facto manner. Examples of the power to govern on this point are performing the role of sponsor or servicer appointed to recover underlying receivables, or managing the company's business. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 176 2021 Annual Report and Accounts · UniCredit Entities line by line which changed the company name during the the year COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE BAH-OMEGA ZRT.'V.A.' (ex. BAH-OMEGA ZRT.) BUDAPEST UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH IN LIQUIDATION (ex. UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH) VIENNA ALPHA RENT DOO BEOGRAD (ex. UNICREDIT RENT D.O.O. BEOGRAD) BELGRADE ICE CREEK POOL NO. 5 DAC (ex. ELEKTRA PURCHASE NO. 39 DAC) DUBLIN 2. Significant assumptions and assessment in determining the consolidation scope The Group determines the existence of control and, consequently, the consolidation scope, checking, with reference to the entities in which it holds exposures: • the existence of power over the relevant activities; • the exposure to the variability of returns; • the ability to use the power exercised in order to influence the returns to which it is exposed. The factors that have been considered for the purposes of this assessment depend on the entity's governance methods, purposes and equity structure. On this point, the Group differentiates between entities governed through voting rights, i.e. operating entities, and entities not governed through voting rights, which comprise special purpose entities (SPEs) and investment funds. In the case of operating entities, the following factors provide evidence of control: • more than half of the company's voting rights are held directly or indirectly through subsidiaries (also when they act as trustee companies) unless, exceptionally, it can be clearly demonstrated that this ownership does not originate control; • half, or a lower proportion, of the votes exercisable in the shareholders' meeting are held and it is possible to govern the relevant activities unilaterally through: - the control of more than half of the voting rights based on an agreement with other investors; - the power to determine the entity's financial and operating policies based on a contract or a statutory clause; - the power to appoint or remove the majority of the members of the Board of Directors or the equivalent governing body, and that board or body is responsible for managing the company; - the power to exercise the majority of voting rights in meetings of the Board of Directors or the equivalent governing body, and that board or body is responsible for managing the company. The existence and effect of potential voting rights, including those incorporated in options, way-out clauses, or instruments convertible into shares, are taken into consideration when assessing the existence of control, in case they are substantial. In particular, potential voting rights are considered substantial if all the following conditions are met: • they can be exercised either immediately or at least in good time for the company's shareholders' meeting; • there are no legal or economic barriers to exercise them; • exercising them is economically convenient. As at 31 December 2021 the Group holds the majority of the voting rights in all the operating entities subject to consolidation, with the exception of two companies for which the Group, although not holding the majority of voting rights, (i) has signed shareholders' agreements which enable it to appoint the majority of members of the governing body, or contractual agreements which determine the possibility of managing the company’s business unilaterally, and (ii) is exposed to the variability of the said company’s returns. It should also be noted that there are no cases in which control derives from holding potential voting rights. Special purpose entities are considered controlled if the Group is, at one and the same time: • exposed to a significant extent to the variability of returns, as a result of exposures in securities, of disbursing loans or of providing guarantees. In this regard it is assumed as a rebuttable presumption that the exposure to variability of returns is significant if the Group has at least 30% of the most subordinated exposure, • able to govern the relevant activities, also in a de facto manner. Examples of the power to govern on this point are performing the role of sponsor or servicer appointed to recover underlying receivables, or managing the company's business. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 176 2021 Annual Report and Accounts · UniCredit Entities line by line which changed the company name during the the year COMPANY NAME MAIN OFFICE COMPANY NAME MAIN OFFICE BAH-OMEGA ZRT.'V.A.' (ex. BAH-OMEGA ZRT.) BUDAPEST UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH IN LIQUIDATION (ex. UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT GMBH) VIENNA ALPHA RENT DOO BEOGRAD (ex. UNICREDIT RENT D.O.O. BEOGRAD) BELGRADE ICE CREEK POOL NO. 5 DAC (ex. ELEKTRA PURCHASE NO. 39 DAC) DUBLIN 2. Significant assumptions and assessment in determining the consolidation scope The Group determines the existence of control and, consequently, the consolidation scope, checking, with reference to the entities in which it holds exposures: • the existence of power over the relevant activities; • the exposure to the variability of returns; • the ability to use the power exercised in order to influence the returns to which it is exposed. The factors that have been considered for the purposes of this assessment depend on the entity's governance methods, purposes and equity structure. On this point, the Group differentiates between entities governed through voting rights, i.e. operating entities, and entities not governed through voting rights, which comprise special purpose entities (SPEs) and investment funds. In the case of operating entities, the following factors provide evidence of control: • more than half of the company's voting rights are held directly or indirectly through subsidiaries (also when they act as trustee companies) unless, exceptionally, it can be clearly demonstrated that this ownership does not originate control; • half, or a lower proportion, of the votes exercisable in the shareholders' meeting are held and it is possible to govern the relevant activities unilaterally through: - the control of more than half of the voting rights based on an agreement with other investors; - the power to determine the entity's financial and operating policies based on a contract or a statutory clause; - the power to appoint or remove the majority of the members of the Board of Directors or the equivalent governing body, and that board or body is responsible for managing the company; - the power to exercise the majority of voting rights in meetings of the Board of Directors or the equivalent governing body, and that board or body is responsible for managing the company. The existence and effect of potential voting rights, including those incorporated in options, way-out clauses, or instruments convertible into shares, are taken into consideration when assessing the existence of control, in case they are substantial. In particular, potential voting rights are considered substantial if all the following conditions are met: • they can be exercised either immediately or at least in good time for the company's shareholders' meeting; • there are no legal or economic barriers to exercise them; • exercising them is economically convenient. As at 31 December 2021 the Group holds the majority of the voting rights in all the operating entities subject to consolidation, with the exception of two companies for which the Group, although not holding the majority of voting rights, (i) has signed shareholders' agreements which enable it to appoint the majority of members of the governing body, or contractual agreements which determine the possibility of managing the company’s business unilaterally, and (ii) is exposed to the variability of the said company’s returns. It should also be noted that there are no cases in which control derives from holding potential voting rights. Special purpose entities are considered controlled if the Group is, at one and the same time: • exposed to a significant extent to the variability of returns, as a result of exposures in securities, of disbursing loans or of providing guarantees. In this regard it is assumed as a rebuttable presumption that the exposure to variability of returns is significant if the Group has at least 30% of the most subordinated exposure, • able to govern the relevant activities, also in a de facto manner. Examples of the power to govern on this point are performing the role of sponsor or servicer appointed to recover underlying receivables, or managing the company's business. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 177 In particular, consolidated special purpose entities include: • Conduits in which the Group plays the role of sponsor and is exposed to the variability of returns, as a result of subscribing Asset Backed Commercial Paper issued by them and/or of providing guarantees in the form of letters of credit or liquidity lines; • vehicles used to carry out securitisation transactions in which the Group is the originator as a result of subscribing the subordinated tranches; • vehicles financed by the Group and established for the sole purpose of performing financial or operating leasing in favor of customers which are financed by the Group; • vehicles in which, as a result of deteriorating market conditions, the Group has found itself holding the majority of the financial exposure and, at the same time, managing the underlying assets or the related collections. It should be noted that, in the case of special purpose entities set up as part of securitisation transactions pursuant to Italian Law 130/99, the segregated assets are analysed separately with respect to the analysis of the SPE. For the latter, control is assessed on the basis of possession of the voting rights attributed to the company's shares. Investment funds managed by Group companies are considered controlled if the Group is significantly exposed to the variability of returns and if the third-party investors have no rights to remove the management company. In this regard it is assumed as a rebuttable presumption that the exposure to the variability of returns is significant if the Group has at least 30% as a result of subscription of the units and commissions received for the management of the fund's assets. Funds managed by Group companies that are in seed/warehousing phases are not considered controlled. In this phase, in fact, the aim of the fund is to invest, in accordance with fund’s regulation, in financial and non financial assets with the aim of allotting the quotas to third party investors. Consequently it has been evaluated that the management company is not able to exercise power due to its limited decision power. Investment funds managed by third-party companies are considered controlled if the Group is significantly exposed to the variability of returns and at the same time, has the unilateral right to remove the management company. In this regard it is assumed as a rebuttable presumption that the exposure to the variability of returns is significant if the Group has subscribed at least 30% of the fund’s units. With reference to 31 December 2021, it should be noted that 222 controlled entities (of which 28 belonging to the Banking Group) were not consolidated pursuant to IFRS10, of which 221 for materiality threshold and/or liquidation procedures, while the remaining company relates to one restructuring procedure whose risks are measured coherently as part of the credit exposures. Based on available information, it is believed that their consolidation would not have impacted significantly the Group net equity. 3. Equity investments in wholly-owned subsidiaries with significant non-controlling interests 3.1 Non-controlling interests, availability of votes of NCIs and dividends distributed to NCIs COMPANY NAME MINORITIES EQUITY RATIOS (%) MINORITIES VOTING RIGHTS (%) DIVIDENDS TO MINORITIES (€ million) ZAGREBACKA BANKA D.D. 15.53 15.53 - 3.2 Equity investments with significant non-controlling interests: accounting information (€ million) COMPANY NAME TOTAL ASSETS CASH AND CASH EQUIVALENTS FINANCIAL ASSETS TANGIBLE AND INTANGIBLE ASSETS FINANCIAL LIABILITIES NET EQUITY NET INTEREST MARGIN ZAGREBACKA BANKA D.D. 17,581 4,664 12,643 179 14,785 2,490 289 continued: 3.2 Equity investments with significant non-controlling interests: accounting information COMPANY NAME OPERATING INCOME OPERATING COSTS PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS PROFIT (LOSS) AFTER TAX FROM DISCONTINUED OPERATIONS PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME AFTER TAX (2) OTHER COMPREHENSIVE INCOME (3) = (1) + (2) ZAGREBACKA BANKA D.D. 595 (245) 304 267 - 267 (5) 262 The exposures above refer to the amounts of individual accounts of subsidiary as at 31 December 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 177 In particular, consolidated special purpose entities include: • Conduits in which the Group plays the role of sponsor and is exposed to the variability of returns, as a result of subscribing Asset Backed Commercial Paper issued by them and/or of providing guarantees in the form of letters of credit or liquidity lines; • vehicles used to carry out securitisation transactions in which the Group is the originator as a result of subscribing the subordinated tranches; • vehicles financed by the Group and established for the sole purpose of performing financial or operating leasing in favor of customers which are financed by the Group; • vehicles in which, as a result of deteriorating market conditions, the Group has found itself holding the majority of the financial exposure and, at the same time, managing the underlying assets or the related collections. It should be noted that, in the case of special purpose entities set up as part of securitisation transactions pursuant to Italian Law 130/99, the segregated assets are analysed separately with respect to the analysis of the SPE. For the latter, control is assessed on the basis of possession of the voting rights attributed to the company's shares. Investment funds managed by Group companies are considered controlled if the Group is significantly exposed to the variability of returns and if the third-party investors have no rights to remove the management company. In this regard it is assumed as a rebuttable presumption that the exposure to the variability of returns is significant if the Group has at least 30% as a result of subscription of the units and commissions received for the management of the fund's assets. Funds managed by Group companies that are in seed/warehousing phases are not considered controlled. In this phase, in fact, the aim of the fund is to invest, in accordance with fund’s regulation, in financial and non financial assets with the aim of allotting the quotas to third party investors. Consequently it has been evaluated that the management company is not able to exercise power due to its limited decision power. Investment funds managed by third-party companies are considered controlled if the Group is significantly exposed to the variability of returns and at the same time, has the unilateral right to remove the management company. In this regard it is assumed as a rebuttable presumption that the exposure to the variability of returns is significant if the Group has subscribed at least 30% of the fund’s units. With reference to 31 December 2021, it should be noted that 222 controlled entities (of which 28 belonging to the Banking Group) were not consolidated pursuant to IFRS10, of which 221 for materiality threshold and/or liquidation procedures, while the remaining company relates to one restructuring procedure whose risks are measured coherently as part of the credit exposures. Based on available information, it is believed that their consolidation would not have impacted significantly the Group net equity. 3. Equity investments in wholly-owned subsidiaries with significant non-controlling interests 3.1 Non-controlling interests, availability of votes of NCIs and dividends distributed to NCIs COMPANY NAME MINORITIES EQUITY RATIOS (%) MINORITIES VOTING RIGHTS (%) DIVIDENDS TO MINORITIES (€ million) ZAGREBACKA BANKA D.D. 15.53 15.53 - 3.2 Equity investments with significant non-controlling interests: accounting information (€ million) COMPANY NAME TOTAL ASSETS CASH AND CASH EQUIVALENTS FINANCIAL ASSETS TANGIBLE AND INTANGIBLE ASSETS FINANCIAL LIABILITIES NET EQUITY NET INTEREST MARGIN ZAGREBACKA BANKA D.D. 17,581 4,664 12,643 179 14,785 2,490 289 continued: 3.2 Equity investments with significant non-controlling interests: accounting information COMPANY NAME OPERATING INCOME OPERATING COSTS PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS PROFIT (LOSS) AFTER TAX FROM DISCONTINUED OPERATIONS PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME AFTER TAX (2) OTHER COMPREHENSIVE INCOME (3) = (1) + (2) ZAGREBACKA BANKA D.D. 595 (245) 304 267 - 267 (5) 262 The exposures above refer to the amounts of individual accounts of subsidiary as at 31 December 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 177 In particular, consolidated special purpose entities include: • Conduits in which the Group plays the role of sponsor and is exposed to the variability of returns, as a result of subscribing Asset Backed Commercial Paper issued by them and/or of providing guarantees in the form of letters of credit or liquidity lines; • vehicles used to carry out securitisation transactions in which the Group is the originator as a result of subscribing the subordinated tranches; • vehicles financed by the Group and established for the sole purpose of performing financial or operating leasing in favor of customers which are financed by the Group; • vehicles in which, as a result of deteriorating market conditions, the Group has found itself holding the majority of the financial exposure and, at the same time, managing the underlying assets or the related collections. It should be noted that, in the case of special purpose entities set up as part of securitisation transactions pursuant to Italian Law 130/99, the segregated assets are analysed separately with respect to the analysis of the SPE. For the latter, control is assessed on the basis of possession of the voting rights attributed to the company's shares. Investment funds managed by Group companies are considered controlled if the Group is significantly exposed to the variability of returns and if the third-party investors have no rights to remove the management company. In this regard it is assumed as a rebuttable presumption that the exposure to the variability of returns is significant if the Group has at least 30% as a result of subscription of the units and commissions received for the management of the fund's assets. Funds managed by Group companies that are in seed/warehousing phases are not considered controlled. In this phase, in fact, the aim of the fund is to invest, in accordance with fund’s regulation, in financial and non financial assets with the aim of allotting the quotas to third party investors. Consequently it has been evaluated that the management company is not able to exercise power due to its limited decision power. Investment funds managed by third-party companies are considered controlled if the Group is significantly exposed to the variability of returns and at the same time, has the unilateral right to remove the management company. In this regard it is assumed as a rebuttable presumption that the exposure to the variability of returns is significant if the Group has subscribed at least 30% of the fund’s units. With reference to 31 December 2021, it should be noted that 222 controlled entities (of which 28 belonging to the Banking Group) were not consolidated pursuant to IFRS10, of which 221 for materiality threshold and/or liquidation procedures, while the remaining company relates to one restructuring procedure whose risks are measured coherently as part of the credit exposures. Based on available information, it is believed that their consolidation would not have impacted significantly the Group net equity. 3. Equity investments in wholly-owned subsidiaries with significant non-controlling interests 3.1 Non-controlling interests, availability of votes of NCIs and dividends distributed to NCIs COMPANY NAME MINORITIES EQUITY RATIOS (%) MINORITIES VOTING RIGHTS (%) DIVIDENDS TO MINORITIES (€ million) ZAGREBACKA BANKA D.D. 15.53 15.53 - 3.2 Equity investments with significant non-controlling interests: accounting information (€ million) COMPANY NAME TOTAL ASSETS CASH AND CASH EQUIVALENTS FINANCIAL ASSETS TANGIBLE AND INTANGIBLE ASSETS FINANCIAL LIABILITIES NET EQUITY NET INTEREST MARGIN ZAGREBACKA BANKA D.D. 17,581 4,664 12,643 179 14,785 2,490 289 continued: 3.2 Equity investments with significant non-controlling interests: accounting information COMPANY NAME OPERATING INCOME OPERATING COSTS PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS PROFIT (LOSS) AFTER TAX FROM DISCONTINUED OPERATIONS PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME AFTER TAX (2) OTHER COMPREHENSIVE INCOME (3) = (1) + (2) ZAGREBACKA BANKA D.D. 595 (245) 304 267 - 267 (5) 262 The exposures above refer to the amounts of individual accounts of subsidiary as at 31 December 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 177 In particular, consolidated special purpose entities include: • Conduits in which the Group plays the role of sponsor and is exposed to the variability of returns, as a result of subscribing Asset Backed Commercial Paper issued by them and/or of providing guarantees in the form of letters of credit or liquidity lines; • vehicles used to carry out securitisation transactions in which the Group is the originator as a result of subscribing the subordinated tranches; • vehicles financed by the Group and established for the sole purpose of performing financial or operating leasing in favor of customers which are financed by the Group; • vehicles in which, as a result of deteriorating market conditions, the Group has found itself holding the majority of the financial exposure and, at the same time, managing the underlying assets or the related collections. It should be noted that, in the case of special purpose entities set up as part of securitisation transactions pursuant to Italian Law 130/99, the segregated assets are analysed separately with respect to the analysis of the SPE. For the latter, control is assessed on the basis of possession of the voting rights attributed to the company's shares. Investment funds managed by Group companies are considered controlled if the Group is significantly exposed to the variability of returns and if the third-party investors have no rights to remove the management company. In this regard it is assumed as a rebuttable presumption that the exposure to the variability of returns is significant if the Group has at least 30% as a result of subscription of the units and commissions received for the management of the fund's assets. Funds managed by Group companies that are in seed/warehousing phases are not considered controlled. In this phase, in fact, the aim of the fund is to invest, in accordance with fund’s regulation, in financial and non financial assets with the aim of allotting the quotas to third party investors. Consequently it has been evaluated that the management company is not able to exercise power due to its limited decision power. Investment funds managed by third-party companies are considered controlled if the Group is significantly exposed to the variability of returns and at the same time, has the unilateral right to remove the management company. In this regard it is assumed as a rebuttable presumption that the exposure to the variability of returns is significant if the Group has subscribed at least 30% of the fund’s units. With reference to 31 December 2021, it should be noted that 222 controlled entities (of which 28 belonging to the Banking Group) were not consolidated pursuant to IFRS10, of which 221 for materiality threshold and/or liquidation procedures, while the remaining company relates to one restructuring procedure whose risks are measured coherently as part of the credit exposures. Based on available information, it is believed that their consolidation would not have impacted significantly the Group net equity. 3. Equity investments in wholly-owned subsidiaries with significant non-controlling interests 3.1 Non-controlling interests, availability of votes of NCIs and dividends distributed to NCIs COMPANY NAME MINORITIES EQUITY RATIOS (%) MINORITIES VOTING RIGHTS (%) DIVIDENDS TO MINORITIES (€ million) ZAGREBACKA BANKA D.D. 15.53 15.53 - 3.2 Equity investments with significant non-controlling interests: accounting information (€ million) COMPANY NAME TOTAL ASSETS CASH AND CASH EQUIVALENTS FINANCIAL ASSETS TANGIBLE AND INTANGIBLE ASSETS FINANCIAL LIABILITIES NET EQUITY NET INTEREST MARGIN ZAGREBACKA BANKA D.D. 17,581 4,664 12,643 179 14,785 2,490 289 continued: 3.2 Equity investments with significant non-controlling interests: accounting information COMPANY NAME OPERATING INCOME OPERATING COSTS PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS PROFIT (LOSS) AFTER TAX FROM DISCONTINUED OPERATIONS PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME AFTER TAX (2) OTHER COMPREHENSIVE INCOME (3) = (1) + (2) ZAGREBACKA BANKA D.D. 595 (245) 304 267 - 267 (5) 262 The exposures above refer to the amounts of individual accounts of subsidiary as at 31 December 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 177 In particular, consolidated special purpose entities include: • Conduits in which the Group plays the role of sponsor and is exposed to the variability of returns, as a result of subscribing Asset Backed Commercial Paper issued by them and/or of providing guarantees in the form of letters of credit or liquidity lines; • vehicles used to carry out securitisation transactions in which the Group is the originator as a result of subscribing the subordinated tranches; • vehicles financed by the Group and established for the sole purpose of performing financial or operating leasing in favor of customers which are financed by the Group; • vehicles in which, as a result of deteriorating market conditions, the Group has found itself holding the majority of the financial exposure and, at the same time, managing the underlying assets or the related collections. It should be noted that, in the case of special purpose entities set up as part of securitisation transactions pursuant to Italian Law 130/99, the segregated assets are analysed separately with respect to the analysis of the SPE. For the latter, control is assessed on the basis of possession of the voting rights attributed to the company's shares. Investment funds managed by Group companies are considered controlled if the Group is significantly exposed to the variability of returns and if the third-party investors have no rights to remove the management company. In this regard it is assumed as a rebuttable presumption that the exposure to the variability of returns is significant if the Group has at least 30% as a result of subscription of the units and commissions received for the management of the fund's assets. Funds managed by Group companies that are in seed/warehousing phases are not considered controlled. In this phase, in fact, the aim of the fund is to invest, in accordance with fund’s regulation, in financial and non financial assets with the aim of allotting the quotas to third party investors. Consequently it has been evaluated that the management company is not able to exercise power due to its limited decision power. Investment funds managed by third-party companies are considered controlled if the Group is significantly exposed to the variability of returns and at the same time, has the unilateral right to remove the management company. In this regard it is assumed as a rebuttable presumption that the exposure to the variability of returns is significant if the Group has subscribed at least 30% of the fund’s units. With reference to 31 December 2021, it should be noted that 222 controlled entities (of which 28 belonging to the Banking Group) were not consolidated pursuant to IFRS10, of which 221 for materiality threshold and/or liquidation procedures, while the remaining company relates to one restructuring procedure whose risks are measured coherently as part of the credit exposures. Based on available information, it is believed that their consolidation would not have impacted significantly the Group net equity. 3. Equity investments in wholly-owned subsidiaries with significant non-controlling interests 3.1 Non-controlling interests, availability of votes of NCIs and dividends distributed to NCIs COMPANY NAME MINORITIES EQUITY RATIOS (%) MINORITIES VOTING RIGHTS (%) DIVIDENDS TO MINORITIES (€ million) ZAGREBACKA BANKA D.D. 15.53 15.53 - 3.2 Equity investments with significant non-controlling interests: accounting information (€ million) COMPANY NAME TOTAL ASSETS CASH AND CASH EQUIVALENTS FINANCIAL ASSETS TANGIBLE AND INTANGIBLE ASSETS FINANCIAL LIABILITIES NET EQUITY NET INTEREST MARGIN ZAGREBACKA BANKA D.D. 17,581 4,664 12,643 179 14,785 2,490 289 continued: 3.2 Equity investments with significant non-controlling interests: accounting information COMPANY NAME OPERATING INCOME OPERATING COSTS PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS PROFIT (LOSS) AFTER TAX FROM DISCONTINUED OPERATIONS PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME AFTER TAX (2) OTHER COMPREHENSIVE INCOME (3) = (1) + (2) ZAGREBACKA BANKA D.D. 595 (245) 304 267 - 267 (5) 262 The exposures above refer to the amounts of individual accounts of subsidiary as at 31 December 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 178 2021 Annual Report and Accounts · UniCredit 4. Significant restrictions Shareholder agreements, regulatory requirements and contractual agreements can limit the ability of the Group to access the assets or settle the liabilities of its subsidiaries or restrict the latter from distribution of capital and/or dividends. With reference to shareholder agreements, it should be noted that to the consolidated entities UniCredit BPC Mortgages S.r.l. and UniCredit OBG S.r.l. companies established according to Law 130/99 for the execution of securitisation transactions or the issuance of covered bonds, shareholders’ agreements allow the distribution of dividends only when the credit claims of guaranteed lenders and bearer of covered bonds are satisfied. In the course of the demerger of the CEE Banking Business from UniCredit Bank Austria AG (UCBA) to UniCredit S.p.A. effected in 2016, UniCredit S.p.A. undertook an agreement with UniCredit Bank Austria AG and its minority shareholders that until 30 June 2024, envisaging: (i) the restriction, as shareholder of UniCredit Bank Austria AG, from resolving on any dividend distributions of the latter in case UniCredit Bank Austria AG’s consolidated and solo CET1 ratios, as a consequence thereof, fall below (a) 14% or (b) the higher minimum CET1 ratio required at the time by the applicable regulatory framework, plus any required buffers, and (ii) the support to any management decision and board resolution of UCBA aimed at safeguarding such CET1 ratios. UniCredit group is a banking group subject to the rules provided by Directive (EU) 2019/878 of the European Parliament and of the Council (so called CRD V), amending Directive 2013/36/EU on “access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms” and by Regulation (EU) 2019/876 of the European Parliament and of the Council (so called CRR2), amending Regulation (EU) 575/2013 on “prudential requirements for credit institutions and investment firms” and that controls financial institutions subject to the same regulation. The ability of the controlled banks, and of the other regulated entities, to distribute capital or dividends may be restricted to the fulfilment of these requirements in terms of both capital ratios and “Maximum Distributable Amount” as well as further eventual regulation applicable at national level and recommendation by competent authorities provided time by time. In particular, the ECB recommendation on dividend distribution (ECB/2020/62, issued on 15 December 2020), referred to the exceptional Covid-19 circumstances, has impacted ordinary distributions on 2020 results. The restrictions remained valid until 30 September 2021 following the ECB/2021/31 recommendation issued on 23 July 2021; considering that the full year 2021 distribution will occur after that date, the limits to the distribution established by the recommendation ECB/2020/62 are not applicable to the dividends on the 2021 results. Finally, also in consideration of recommendations received from the local supervisory authorities, some subsidiaries of the UniCredit group, during the 2021, have suspended or reduced the distribution of dividends. The capital ratios requested for 2022 from UniCredit group and agreed upon with the European Central Bank (ECB), also as a result of the Supervisory Review and Evaluation Process (SREP) performed in 2021, are higher than the minimum requirements set by the mentioned regulations. With reference to subsidiaries, we note that in some jurisdictions and for some foreign entities of the Group, commitments to maintain local supervisory capital higher than regulatory thresholds may exist also as a result of SREP performed at local level. With reference to free flow among entities based in different countries, available liquidity at Group level bears some restrictions related to the Large Exposure prudential limits, according to both CRR definition and decisions adopted by Member States (with reference to cross border intragroup exposures) some of them recently implemented with the aim to face the recent health emergency: consequently, a portion of available liquidity may suffer impediments that hinder its transfer among group entities. Further details are reported in the Notes to the consolidated accounts as at 31 December 2021, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.4 Liquidity risk. With reference to contractual agreements, UniCredit group has also issued financial liabilities whose callability, redemption, repurchase or repayment before their contractual maturity date is subject to the prior permission of the competent authority. The carrying value of these instruments as at 31 December 2021 is equal to €40,549 million and includes capital instruments and TLAC eligible instruments. 5. Other information For information on jointly-controlled companies and companies subject to significant influence that have not been consolidated in accordance with IFRS10 as at 31 December 2021, in addition to the controlled ones disclosed in previous paragraph 2. Significant assumptions and assessment in determining the consolidation scope, reference is made to the paragraph “7.6 Valuation and significant assumptions to establish the existence of joint control or significant influence” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 178 2021 Annual Report and Accounts · UniCredit 4. Significant restrictions Shareholder agreements, regulatory requirements and contractual agreements can limit the ability of the Group to access the assets or settle the liabilities of its subsidiaries or restrict the latter from distribution of capital and/or dividends. With reference to shareholder agreements, it should be noted that to the consolidated entities UniCredit BPC Mortgages S.r.l. and UniCredit OBG S.r.l. companies established according to Law 130/99 for the execution of securitisation transactions or the issuance of covered bonds, shareholders’ agreements allow the distribution of dividends only when the credit claims of guaranteed lenders and bearer of covered bonds are satisfied. In the course of the demerger of the CEE Banking Business from UniCredit Bank Austria AG (UCBA) to UniCredit S.p.A. effected in 2016, UniCredit S.p.A. undertook an agreement with UniCredit Bank Austria AG and its minority shareholders that until 30 June 2024, envisaging: (i) the restriction, as shareholder of UniCredit Bank Austria AG, from resolving on any dividend distributions of the latter in case UniCredit Bank Austria AG’s consolidated and solo CET1 ratios, as a consequence thereof, fall below (a) 14% or (b) the higher minimum CET1 ratio required at the time by the applicable regulatory framework, plus any required buffers, and (ii) the support to any management decision and board resolution of UCBA aimed at safeguarding such CET1 ratios. UniCredit group is a banking group subject to the rules provided by Directive (EU) 2019/878 of the European Parliament and of the Council (so called CRD V), amending Directive 2013/36/EU on “access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms” and by Regulation (EU) 2019/876 of the European Parliament and of the Council (so called CRR2), amending Regulation (EU) 575/2013 on “prudential requirements for credit institutions and investment firms” and that controls financial institutions subject to the same regulation. The ability of the controlled banks, and of the other regulated entities, to distribute capital or dividends may be restricted to the fulfilment of these requirements in terms of both capital ratios and “Maximum Distributable Amount” as well as further eventual regulation applicable at national level and recommendation by competent authorities provided time by time. In particular, the ECB recommendation on dividend distribution (ECB/2020/62, issued on 15 December 2020), referred to the exceptional Covid-19 circumstances, has impacted ordinary distributions on 2020 results. The restrictions remained valid until 30 September 2021 following the ECB/2021/31 recommendation issued on 23 July 2021; considering that the full year 2021 distribution will occur after that date, the limits to the distribution established by the recommendation ECB/2020/62 are not applicable to the dividends on the 2021 results. Finally, also in consideration of recommendations received from the local supervisory authorities, some subsidiaries of the UniCredit group, during the 2021, have suspended or reduced the distribution of dividends. The capital ratios requested for 2022 from UniCredit group and agreed upon with the European Central Bank (ECB), also as a result of the Supervisory Review and Evaluation Process (SREP) performed in 2021, are higher than the minimum requirements set by the mentioned regulations. With reference to subsidiaries, we note that in some jurisdictions and for some foreign entities of the Group, commitments to maintain local supervisory capital higher than regulatory thresholds may exist also as a result of SREP performed at local level. With reference to free flow among entities based in different countries, available liquidity at Group level bears some restrictions related to the Large Exposure prudential limits, according to both CRR definition and decisions adopted by Member States (with reference to cross border intragroup exposures) some of them recently implemented with the aim to face the recent health emergency: consequently, a portion of available liquidity may suffer impediments that hinder its transfer among group entities. Further details are reported in the Notes to the consolidated accounts as at 31 December 2021, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.4 Liquidity risk. With reference to contractual agreements, UniCredit group has also issued financial liabilities whose callability, redemption, repurchase or repayment before their contractual maturity date is subject to the prior permission of the competent authority. The carrying value of these instruments as at 31 December 2021 is equal to €40,549 million and includes capital instruments and TLAC eligible instruments. 5. Other information For information on jointly-controlled companies and companies subject to significant influence that have not been consolidated in accordance with IFRS10 as at 31 December 2021, in addition to the controlled ones disclosed in previous paragraph 2. Significant assumptions and assessment in determining the consolidation scope, reference is made to the paragraph “7.6 Valuation and significant assumptions to establish the existence of joint control or significant influence” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 178 2021 Annual Report and Accounts · UniCredit 4. Significant restrictions Shareholder agreements, regulatory requirements and contractual agreements can limit the ability of the Group to access the assets or settle the liabilities of its subsidiaries or restrict the latter from distribution of capital and/or dividends. With reference to shareholder agreements, it should be noted that to the consolidated entities UniCredit BPC Mortgages S.r.l. and UniCredit OBG S.r.l. companies established according to Law 130/99 for the execution of securitisation transactions or the issuance of covered bonds, shareholders’ agreements allow the distribution of dividends only when the credit claims of guaranteed lenders and bearer of covered bonds are satisfied. In the course of the demerger of the CEE Banking Business from UniCredit Bank Austria AG (UCBA) to UniCredit S.p.A. effected in 2016, UniCredit S.p.A. undertook an agreement with UniCredit Bank Austria AG and its minority shareholders that until 30 June 2024, envisaging: (i) the restriction, as shareholder of UniCredit Bank Austria AG, from resolving on any dividend distributions of the latter in case UniCredit Bank Austria AG’s consolidated and solo CET1 ratios, as a consequence thereof, fall below (a) 14% or (b) the higher minimum CET1 ratio required at the time by the applicable regulatory framework, plus any required buffers, and (ii) the support to any management decision and board resolution of UCBA aimed at safeguarding such CET1 ratios. UniCredit group is a banking group subject to the rules provided by Directive (EU) 2019/878 of the European Parliament and of the Council (so called CRD V), amending Directive 2013/36/EU on “access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms” and by Regulation (EU) 2019/876 of the European Parliament and of the Council (so called CRR2), amending Regulation (EU) 575/2013 on “prudential requirements for credit institutions and investment firms” and that controls financial institutions subject to the same regulation. The ability of the controlled banks, and of the other regulated entities, to distribute capital or dividends may be restricted to the fulfilment of these requirements in terms of both capital ratios and “Maximum Distributable Amount” as well as further eventual regulation applicable at national level and recommendation by competent authorities provided time by time. In particular, the ECB recommendation on dividend distribution (ECB/2020/62, issued on 15 December 2020), referred to the exceptional Covid-19 circumstances, has impacted ordinary distributions on 2020 results. The restrictions remained valid until 30 September 2021 following the ECB/2021/31 recommendation issued on 23 July 2021; considering that the full year 2021 distribution will occur after that date, the limits to the distribution established by the recommendation ECB/2020/62 are not applicable to the dividends on the 2021 results. Finally, also in consideration of recommendations received from the local supervisory authorities, some subsidiaries of the UniCredit group, during the 2021, have suspended or reduced the distribution of dividends. The capital ratios requested for 2022 from UniCredit group and agreed upon with the European Central Bank (ECB), also as a result of the Supervisory Review and Evaluation Process (SREP) performed in 2021, are higher than the minimum requirements set by the mentioned regulations. With reference to subsidiaries, we note that in some jurisdictions and for some foreign entities of the Group, commitments to maintain local supervisory capital higher than regulatory thresholds may exist also as a result of SREP performed at local level. With reference to free flow among entities based in different countries, available liquidity at Group level bears some restrictions related to the Large Exposure prudential limits, according to both CRR definition and decisions adopted by Member States (with reference to cross border intragroup exposures) some of them recently implemented with the aim to face the recent health emergency: consequently, a portion of available liquidity may suffer impediments that hinder its transfer among group entities. Further details are reported in the Notes to the consolidated accounts as at 31 December 2021, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.4 Liquidity risk. With reference to contractual agreements, UniCredit group has also issued financial liabilities whose callability, redemption, repurchase or repayment before their contractual maturity date is subject to the prior permission of the competent authority. The carrying value of these instruments as at 31 December 2021 is equal to €40,549 million and includes capital instruments and TLAC eligible instruments. 5. Other information For information on jointly-controlled companies and companies subject to significant influence that have not been consolidated in accordance with IFRS10 as at 31 December 2021, in addition to the controlled ones disclosed in previous paragraph 2. Significant assumptions and assessment in determining the consolidation scope, reference is made to the paragraph “7.6 Valuation and significant assumptions to establish the existence of joint control or significant influence” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 178 2021 Annual Report and Accounts · UniCredit 4. Significant restrictions Shareholder agreements, regulatory requirements and contractual agreements can limit the ability of the Group to access the assets or settle the liabilities of its subsidiaries or restrict the latter from distribution of capital and/or dividends. With reference to shareholder agreements, it should be noted that to the consolidated entities UniCredit BPC Mortgages S.r.l. and UniCredit OBG S.r.l. companies established according to Law 130/99 for the execution of securitisation transactions or the issuance of covered bonds, shareholders’ agreements allow the distribution of dividends only when the credit claims of guaranteed lenders and bearer of covered bonds are satisfied. In the course of the demerger of the CEE Banking Business from UniCredit Bank Austria AG (UCBA) to UniCredit S.p.A. effected in 2016, UniCredit S.p.A. undertook an agreement with UniCredit Bank Austria AG and its minority shareholders that until 30 June 2024, envisaging: (i) the restriction, as shareholder of UniCredit Bank Austria AG, from resolving on any dividend distributions of the latter in case UniCredit Bank Austria AG’s consolidated and solo CET1 ratios, as a consequence thereof, fall below (a) 14% or (b) the higher minimum CET1 ratio required at the time by the applicable regulatory framework, plus any required buffers, and (ii) the support to any management decision and board resolution of UCBA aimed at safeguarding such CET1 ratios. UniCredit group is a banking group subject to the rules provided by Directive (EU) 2019/878 of the European Parliament and of the Council (so called CRD V), amending Directive 2013/36/EU on “access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms” and by Regulation (EU) 2019/876 of the European Parliament and of the Council (so called CRR2), amending Regulation (EU) 575/2013 on “prudential requirements for credit institutions and investment firms” and that controls financial institutions subject to the same regulation. The ability of the controlled banks, and of the other regulated entities, to distribute capital or dividends may be restricted to the fulfilment of these requirements in terms of both capital ratios and “Maximum Distributable Amount” as well as further eventual regulation applicable at national level and recommendation by competent authorities provided time by time. In particular, the ECB recommendation on dividend distribution (ECB/2020/62, issued on 15 December 2020), referred to the exceptional Covid-19 circumstances, has impacted ordinary distributions on 2020 results. The restrictions remained valid until 30 September 2021 following the ECB/2021/31 recommendation issued on 23 July 2021; considering that the full year 2021 distribution will occur after that date, the limits to the distribution established by the recommendation ECB/2020/62 are not applicable to the dividends on the 2021 results. Finally, also in consideration of recommendations received from the local supervisory authorities, some subsidiaries of the UniCredit group, during the 2021, have suspended or reduced the distribution of dividends. The capital ratios requested for 2022 from UniCredit group and agreed upon with the European Central Bank (ECB), also as a result of the Supervisory Review and Evaluation Process (SREP) performed in 2021, are higher than the minimum requirements set by the mentioned regulations. With reference to subsidiaries, we note that in some jurisdictions and for some foreign entities of the Group, commitments to maintain local supervisory capital higher than regulatory thresholds may exist also as a result of SREP performed at local level. With reference to free flow among entities based in different countries, available liquidity at Group level bears some restrictions related to the Large Exposure prudential limits, according to both CRR definition and decisions adopted by Member States (with reference to cross border intragroup exposures) some of them recently implemented with the aim to face the recent health emergency: consequently, a portion of available liquidity may suffer impediments that hinder its transfer among group entities. Further details are reported in the Notes to the consolidated accounts as at 31 December 2021, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.4 Liquidity risk. With reference to contractual agreements, UniCredit group has also issued financial liabilities whose callability, redemption, repurchase or repayment before their contractual maturity date is subject to the prior permission of the competent authority. The carrying value of these instruments as at 31 December 2021 is equal to €40,549 million and includes capital instruments and TLAC eligible instruments. 5. Other information For information on jointly-controlled companies and companies subject to significant influence that have not been consolidated in accordance with IFRS10 as at 31 December 2021, in addition to the controlled ones disclosed in previous paragraph 2. Significant assumptions and assessment in determining the consolidation scope, reference is made to the paragraph “7.6 Valuation and significant assumptions to establish the existence of joint control or significant influence” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 178 2021 Annual Report and Accounts · UniCredit 4. Significant restrictions Shareholder agreements, regulatory requirements and contractual agreements can limit the ability of the Group to access the assets or settle the liabilities of its subsidiaries or restrict the latter from distribution of capital and/or dividends. With reference to shareholder agreements, it should be noted that to the consolidated entities UniCredit BPC Mortgages S.r.l. and UniCredit OBG S.r.l. companies established according to Law 130/99 for the execution of securitisation transactions or the issuance of covered bonds, shareholders’ agreements allow the distribution of dividends only when the credit claims of guaranteed lenders and bearer of covered bonds are satisfied. In the course of the demerger of the CEE Banking Business from UniCredit Bank Austria AG (UCBA) to UniCredit S.p.A. effected in 2016, UniCredit S.p.A. undertook an agreement with UniCredit Bank Austria AG and its minority shareholders that until 30 June 2024, envisaging: (i) the restriction, as shareholder of UniCredit Bank Austria AG, from resolving on any dividend distributions of the latter in case UniCredit Bank Austria AG’s consolidated and solo CET1 ratios, as a consequence thereof, fall below (a) 14% or (b) the higher minimum CET1 ratio required at the time by the applicable regulatory framework, plus any required buffers, and (ii) the support to any management decision and board resolution of UCBA aimed at safeguarding such CET1 ratios. UniCredit group is a banking group subject to the rules provided by Directive (EU) 2019/878 of the European Parliament and of the Council (so called CRD V), amending Directive 2013/36/EU on “access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms” and by Regulation (EU) 2019/876 of the European Parliament and of the Council (so called CRR2), amending Regulation (EU) 575/2013 on “prudential requirements for credit institutions and investment firms” and that controls financial institutions subject to the same regulation. The ability of the controlled banks, and of the other regulated entities, to distribute capital or dividends may be restricted to the fulfilment of these requirements in terms of both capital ratios and “Maximum Distributable Amount” as well as further eventual regulation applicable at national level and recommendation by competent authorities provided time by time. In particular, the ECB recommendation on dividend distribution (ECB/2020/62, issued on 15 December 2020), referred to the exceptional Covid-19 circumstances, has impacted ordinary distributions on 2020 results. The restrictions remained valid until 30 September 2021 following the ECB/2021/31 recommendation issued on 23 July 2021; considering that the full year 2021 distribution will occur after that date, the limits to the distribution established by the recommendation ECB/2020/62 are not applicable to the dividends on the 2021 results. Finally, also in consideration of recommendations received from the local supervisory authorities, some subsidiaries of the UniCredit group, during the 2021, have suspended or reduced the distribution of dividends. The capital ratios requested for 2022 from UniCredit group and agreed upon with the European Central Bank (ECB), also as a result of the Supervisory Review and Evaluation Process (SREP) performed in 2021, are higher than the minimum requirements set by the mentioned regulations. With reference to subsidiaries, we note that in some jurisdictions and for some foreign entities of the Group, commitments to maintain local supervisory capital higher than regulatory thresholds may exist also as a result of SREP performed at local level. With reference to free flow among entities based in different countries, available liquidity at Group level bears some restrictions related to the Large Exposure prudential limits, according to both CRR definition and decisions adopted by Member States (with reference to cross border intragroup exposures) some of them recently implemented with the aim to face the recent health emergency: consequently, a portion of available liquidity may suffer impediments that hinder its transfer among group entities. Further details are reported in the Notes to the consolidated accounts as at 31 December 2021, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.4 Liquidity risk. With reference to contractual agreements, UniCredit group has also issued financial liabilities whose callability, redemption, repurchase or repayment before their contractual maturity date is subject to the prior permission of the competent authority. The carrying value of these instruments as at 31 December 2021 is equal to €40,549 million and includes capital instruments and TLAC eligible instruments. 5. Other information For information on jointly-controlled companies and companies subject to significant influence that have not been consolidated in accordance with IFRS10 as at 31 December 2021, in addition to the controlled ones disclosed in previous paragraph 2. Significant assumptions and assessment in determining the consolidation scope, reference is made to the paragraph “7.6 Valuation and significant assumptions to establish the existence of joint control or significant influence” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 179 Section 4 - Subsequent events No material events have occurred after the balance sheet date that would make it necessary to change any of the information given in the Consolidated financial statements as at 31 December 2021. For a description of the significant events after year-end refer to the information below. On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access markets in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non performing corporate credit portfolio both secured and unsecured, in Italy. The portfolio consists entirely of Italian Non Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 21 January 2022, as all necessary regulatory approvals and all other conditions for transactions completion have been met, Zagrebačka banka signed the Share Transfer Agreement with Telemach Hrvatska for the transfer of 36.90% of OT-Optima Telekom DD shares. Based on the above, the company is therefore deconsolidated since January 2022. For additional information on such transaction refer to paragraph “Other information on Group activities” of this Consolidated report on operations. On 28 January 2022 UniCredit and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 14 April 2021, the National Council of Republic of Slovenia filed with the National Assembly a legislative proposal on limiting and distributing currency risk among creditors and borrowers of loans in Swiss francs (CHF). The proposal for the introduction of the new law aimed at restructuring consumer loans denominated in CHF or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap which limits the amount to be repaid by customers, as capital or interest, following revaluation of the CHF against the EUR. During 2021, the following events occurred: • on 25 May 2021, the Slovenian Government submitted to the National Assembly a negative opinion stating that it would not support the law proposal; • on 26 November 2021, the European Central Bank released an opinion (CON/2021/36) on the modification of Swiss franc loan agreements; among other comments, the opinion stated that “introducing measures with retroactive effect undermines legal certainty and is not in line with the principle of legitimate expectations and may also interfere with acquired rights”. On 5 January 2022, the National Assembly’s Legislative Office issued an opinion highlighting material constitutional deficiencies of the proposal for the introduction of the new law, mainly related to retroactivity, rule of law, right to private property and free enterprise. Despite the above, on 2 February 2022, the National Assembly approved the law, subject to publication in the Official gazette, and effective 15 days (vacatio legis) after the publication in the Official gazette. On the basis of the above, no provision was recognized as of 31 December 2021 regarding the entry into force of the aforementioned law. The approval of the law by the National Assembly was deemed to be a non-adjusting event under IAS10, as the virtual certainty of the law enactment, which is the condition required by IAS37 for recognition and measurement of provisions determined by the introduction of new laws, was not met as at 31 December 2021, and only emerged in February 2022 with the approval by the National Assembly. The Group is evaluating the features of the law; in the event its enactment will result in a negative economic effect, the estimated impact on the Group CET1 ratio would not exceed a mid-single digit. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 179 Section 4 - Subsequent events No material events have occurred after the balance sheet date that would make it necessary to change any of the information given in the Consolidated financial statements as at 31 December 2021. For a description of the significant events after year-end refer to the information below. On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access markets in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non performing corporate credit portfolio both secured and unsecured, in Italy. The portfolio consists entirely of Italian Non Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 21 January 2022, as all necessary regulatory approvals and all other conditions for transactions completion have been met, Zagrebačka banka signed the Share Transfer Agreement with Telemach Hrvatska for the transfer of 36.90% of OT-Optima Telekom DD shares. Based on the above, the company is therefore deconsolidated since January 2022. For additional information on such transaction refer to paragraph “Other information on Group activities” of this Consolidated report on operations. On 28 January 2022 UniCredit and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 14 April 2021, the National Council of Republic of Slovenia filed with the National Assembly a legislative proposal on limiting and distributing currency risk among creditors and borrowers of loans in Swiss francs (CHF). The proposal for the introduction of the new law aimed at restructuring consumer loans denominated in CHF or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap which limits the amount to be repaid by customers, as capital or interest, following revaluation of the CHF against the EUR. During 2021, the following events occurred: • on 25 May 2021, the Slovenian Government submitted to the National Assembly a negative opinion stating that it would not support the law proposal; • on 26 November 2021, the European Central Bank released an opinion (CON/2021/36) on the modification of Swiss franc loan agreements; among other comments, the opinion stated that “introducing measures with retroactive effect undermines legal certainty and is not in line with the principle of legitimate expectations and may also interfere with acquired rights”. On 5 January 2022, the National Assembly’s Legislative Office issued an opinion highlighting material constitutional deficiencies of the proposal for the introduction of the new law, mainly related to retroactivity, rule of law, right to private property and free enterprise. Despite the above, on 2 February 2022, the National Assembly approved the law, subject to publication in the Official gazette, and effective 15 days (vacatio legis) after the publication in the Official gazette. On the basis of the above, no provision was recognized as of 31 December 2021 regarding the entry into force of the aforementioned law. The approval of the law by the National Assembly was deemed to be a non-adjusting event under IAS10, as the virtual certainty of the law enactment, which is the condition required by IAS37 for recognition and measurement of provisions determined by the introduction of new laws, was not met as at 31 December 2021, and only emerged in February 2022 with the approval by the National Assembly. The Group is evaluating the features of the law; in the event its enactment will result in a negative economic effect, the estimated impact on the Group CET1 ratio would not exceed a mid-single digit. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 179 Section 4 - Subsequent events No material events have occurred after the balance sheet date that would make it necessary to change any of the information given in the Consolidated financial statements as at 31 December 2021. For a description of the significant events after year-end refer to the information below. On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access markets in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non performing corporate credit portfolio both secured and unsecured, in Italy. The portfolio consists entirely of Italian Non Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 21 January 2022, as all necessary regulatory approvals and all other conditions for transactions completion have been met, Zagrebačka banka signed the Share Transfer Agreement with Telemach Hrvatska for the transfer of 36.90% of OT-Optima Telekom DD shares. Based on the above, the company is therefore deconsolidated since January 2022. For additional information on such transaction refer to paragraph “Other information on Group activities” of this Consolidated report on operations. On 28 January 2022 UniCredit and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 14 April 2021, the National Council of Republic of Slovenia filed with the National Assembly a legislative proposal on limiting and distributing currency risk among creditors and borrowers of loans in Swiss francs (CHF). The proposal for the introduction of the new law aimed at restructuring consumer loans denominated in CHF or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap which limits the amount to be repaid by customers, as capital or interest, following revaluation of the CHF against the EUR. During 2021, the following events occurred: • on 25 May 2021, the Slovenian Government submitted to the National Assembly a negative opinion stating that it would not support the law proposal; • on 26 November 2021, the European Central Bank released an opinion (CON/2021/36) on the modification of Swiss franc loan agreements; among other comments, the opinion stated that “introducing measures with retroactive effect undermines legal certainty and is not in line with the principle of legitimate expectations and may also interfere with acquired rights”. On 5 January 2022, the National Assembly’s Legislative Office issued an opinion highlighting material constitutional deficiencies of the proposal for the introduction of the new law, mainly related to retroactivity, rule of law, right to private property and free enterprise. Despite the above, on 2 February 2022, the National Assembly approved the law, subject to publication in the Official gazette, and effective 15 days (vacatio legis) after the publication in the Official gazette. On the basis of the above, no provision was recognized as of 31 December 2021 regarding the entry into force of the aforementioned law. The approval of the law by the National Assembly was deemed to be a non-adjusting event under IAS10, as the virtual certainty of the law enactment, which is the condition required by IAS37 for recognition and measurement of provisions determined by the introduction of new laws, was not met as at 31 December 2021, and only emerged in February 2022 with the approval by the National Assembly. The Group is evaluating the features of the law; in the event its enactment will result in a negative economic effect, the estimated impact on the Group CET1 ratio would not exceed a mid-single digit. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 179 Section 4 - Subsequent events No material events have occurred after the balance sheet date that would make it necessary to change any of the information given in the Consolidated financial statements as at 31 December 2021. For a description of the significant events after year-end refer to the information below. On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access markets in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non performing corporate credit portfolio both secured and unsecured, in Italy. The portfolio consists entirely of Italian Non Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 21 January 2022, as all necessary regulatory approvals and all other conditions for transactions completion have been met, Zagrebačka banka signed the Share Transfer Agreement with Telemach Hrvatska for the transfer of 36.90% of OT-Optima Telekom DD shares. Based on the above, the company is therefore deconsolidated since January 2022. For additional information on such transaction refer to paragraph “Other information on Group activities” of this Consolidated report on operations. On 28 January 2022 UniCredit and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 14 April 2021, the National Council of Republic of Slovenia filed with the National Assembly a legislative proposal on limiting and distributing currency risk among creditors and borrowers of loans in Swiss francs (CHF). The proposal for the introduction of the new law aimed at restructuring consumer loans denominated in CHF or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap which limits the amount to be repaid by customers, as capital or interest, following revaluation of the CHF against the EUR. During 2021, the following events occurred: • on 25 May 2021, the Slovenian Government submitted to the National Assembly a negative opinion stating that it would not support the law proposal; • on 26 November 2021, the European Central Bank released an opinion (CON/2021/36) on the modification of Swiss franc loan agreements; among other comments, the opinion stated that “introducing measures with retroactive effect undermines legal certainty and is not in line with the principle of legitimate expectations and may also interfere with acquired rights”. On 5 January 2022, the National Assembly’s Legislative Office issued an opinion highlighting material constitutional deficiencies of the proposal for the introduction of the new law, mainly related to retroactivity, rule of law, right to private property and free enterprise. Despite the above, on 2 February 2022, the National Assembly approved the law, subject to publication in the Official gazette, and effective 15 days (vacatio legis) after the publication in the Official gazette. On the basis of the above, no provision was recognized as of 31 December 2021 regarding the entry into force of the aforementioned law. The approval of the law by the National Assembly was deemed to be a non-adjusting event under IAS10, as the virtual certainty of the law enactment, which is the condition required by IAS37 for recognition and measurement of provisions determined by the introduction of new laws, was not met as at 31 December 2021, and only emerged in February 2022 with the approval by the National Assembly. The Group is evaluating the features of the law; in the event its enactment will result in a negative economic effect, the estimated impact on the Group CET1 ratio would not exceed a mid-single digit. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 179 Section 4 - Subsequent events No material events have occurred after the balance sheet date that would make it necessary to change any of the information given in the Consolidated financial statements as at 31 December 2021. For a description of the significant events after year-end refer to the information below. On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access markets in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non performing corporate credit portfolio both secured and unsecured, in Italy. The portfolio consists entirely of Italian Non Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 21 January 2022, as all necessary regulatory approvals and all other conditions for transactions completion have been met, Zagrebačka banka signed the Share Transfer Agreement with Telemach Hrvatska for the transfer of 36.90% of OT-Optima Telekom DD shares. Based on the above, the company is therefore deconsolidated since January 2022. For additional information on such transaction refer to paragraph “Other information on Group activities” of this Consolidated report on operations. On 28 January 2022 UniCredit and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 14 April 2021, the National Council of Republic of Slovenia filed with the National Assembly a legislative proposal on limiting and distributing currency risk among creditors and borrowers of loans in Swiss francs (CHF). The proposal for the introduction of the new law aimed at restructuring consumer loans denominated in CHF or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap which limits the amount to be repaid by customers, as capital or interest, following revaluation of the CHF against the EUR. During 2021, the following events occurred: • on 25 May 2021, the Slovenian Government submitted to the National Assembly a negative opinion stating that it would not support the law proposal; • on 26 November 2021, the European Central Bank released an opinion (CON/2021/36) on the modification of Swiss franc loan agreements; among other comments, the opinion stated that “introducing measures with retroactive effect undermines legal certainty and is not in line with the principle of legitimate expectations and may also interfere with acquired rights”. On 5 January 2022, the National Assembly’s Legislative Office issued an opinion highlighting material constitutional deficiencies of the proposal for the introduction of the new law, mainly related to retroactivity, rule of law, right to private property and free enterprise. Despite the above, on 2 February 2022, the National Assembly approved the law, subject to publication in the Official gazette, and effective 15 days (vacatio legis) after the publication in the Official gazette. On the basis of the above, no provision was recognized as of 31 December 2021 regarding the entry into force of the aforementioned law. The approval of the law by the National Assembly was deemed to be a non-adjusting event under IAS10, as the virtual certainty of the law enactment, which is the condition required by IAS37 for recognition and measurement of provisions determined by the introduction of new laws, was not met as at 31 December 2021, and only emerged in February 2022 with the approval by the National Assembly. The Group is evaluating the features of the law; in the event its enactment will result in a negative economic effect, the estimated impact on the Group CET1 ratio would not exceed a mid-single digit. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 180 2021 Annual Report and Accounts · UniCredit Section 5 - Other matters In 2021 the following standards, amendments or interpretations came into force: • amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2 (EU Regulation 2021/25); • amendments to IFRS4 Insurance Contracts - deferral of IFRS9 (EU Regulation 2020/2097); • amendments to IFRS16 Leases: Covid-19-Related Rent Concessions beyond 30 June 2021 (EU Regulation 2021/1421); whose adoption has not determined substantial effects on the amounts recognised in balance sheet or income statement. With reference to the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions beyond 30 June 2021” and “Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2” additional explanations are provided below in this section. As at 31 December 2021, the following documents have been endorsed by the European Commission: • Amendments to IFRS3 Business Combinations; IAS16 Property, Plant and Equipment; IAS37 Provisions, Contingent Liabilities and Contingent Assets; and Annual Improvements 2018-2020” (EU Regulation 2021/1080) applicable to reporting starting from 1 January 2022; and • IFRS17 Insurance Contracts; including Amendments to IFRS17 (EU Regulation 2021/2036) applicable to reporting starting from 1 January 2023. As at 31 December 2021 the IASB issued the following accounting standards whose application is subject to completion of the endorsement process by the competent bodies of the European Commission, which is still ongoing: • amendments to IAS1 Presentation of Financial Statements: Classification of Liabilities as Current or Non-current and Classification of Liabilities as Current or Non-current - Deferral of Effective Date (January 2020 and July 2020 respectively); • amendments to IAS1 Presentation of Financial Statements and IFRS Practice Statement 2: Disclosure of Accounting policies (February 2021); • amendments to IAS8 Accounting policies, Changes in Accounting Estimates and Errors: Definition of Accounting Estimates (February 2021); • amendments to IAS12 Income Taxes: Deferred Tax related to Assets and Liabilities arising from a Single Transaction (May 2021); • amendments to IFRS17 Insurance contracts: Initial Application of IFRS17 and IFRS9 - Comparative Information (December 2021). Risks, uncertainties and impacts of Covid-19 pandemic Reference is made to “Section 2 - General preparation criteria” for a description of risks and uncertainty relating to Covid-19 pandemic. Contractual modifications arising from Covid-19 1) Contractual modifications and accounting derecognition (IFRS9) In order to limit the effects of the restriction measures put in place to contain the Covid-19 pandemic, starting from the first half 2020, the Group has granted to its customers debt moratoria measures. These measures have been granted both following the approval of specific laws by the governments in which the Group operates and as a result of specific initiatives of Group’s credit institutions so to complement government initiatives or in those countries in which the local government has not issued specific laws. These moratoria measures generally allowed to postpone the payment of instalments, either upon request by the customers or, in some countries, automatically for all the loans in scope of local laws, with the consequent increase in the maturity of the loan and the accrual of interests on the capital being postponed. As a result of the continuing health emergencies, restrictions measures have not been lifted and these initiatives have been renewed in the second half of 2021 allowing the possibility to further postpone payments at a future date defined by local measures which is within either 31 December 2021 or first half 2022 depending on countries. In accordance with ESMA's declaration14 which clarified that it is unlikely that the contractual changes resulting from these moratoria can be considered as substantial, the Group has not derecognised the related credit exposures15. A modification loss is consequently recognised in item “140. Gains/Losses from contractual changes with no cancellations" if the increase in future payments is not sufficient to remunerate the Group for the postponement period also in light of local laws and regulations. As at 31 December 2021 the amount deriving from the modification loss recognizing through Profit & Loss was equal to €6 million. 2) Amendment to IFRS16 accounting standard The IASB published 28 May 2020 the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions" which has been endorsed on 15 December 2020. 14 ESMA public statement: "Accounting implications of the Covid-19 outbreak on the calculation of expected credit losses in accordance with IFRS9" of 25 March 2020. 15 According to IFRS9, the contractual modifications must be accounted for (i) if significant, through the derecognition, (ii) if not significant, through the recalculation of the gross exposure by discounting the contractual cash flows after the modification at the original effective interest rate. The standard does not provide any indication as to whether a change is significant or not. For further information on accounting principles used by the Group on this matter, refer to Part A - Accounting policies, A.2 - Main items of the accounts. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 180 2021 Annual Report and Accounts · UniCredit Section 5 - Other matters In 2021 the following standards, amendments or interpretations came into force: • amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2 (EU Regulation 2021/25); • amendments to IFRS4 Insurance Contracts - deferral of IFRS9 (EU Regulation 2020/2097); • amendments to IFRS16 Leases: Covid-19-Related Rent Concessions beyond 30 June 2021 (EU Regulation 2021/1421); whose adoption has not determined substantial effects on the amounts recognised in balance sheet or income statement. With reference to the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions beyond 30 June 2021” and “Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2” additional explanations are provided below in this section. As at 31 December 2021, the following documents have been endorsed by the European Commission: • Amendments to IFRS3 Business Combinations; IAS16 Property, Plant and Equipment; IAS37 Provisions, Contingent Liabilities and Contingent Assets; and Annual Improvements 2018-2020” (EU Regulation 2021/1080) applicable to reporting starting from 1 January 2022; and • IFRS17 Insurance Contracts; including Amendments to IFRS17 (EU Regulation 2021/2036) applicable to reporting starting from 1 January 2023. As at 31 December 2021 the IASB issued the following accounting standards whose application is subject to completion of the endorsement process by the competent bodies of the European Commission, which is still ongoing: • amendments to IAS1 Presentation of Financial Statements: Classification of Liabilities as Current or Non-current and Classification of Liabilities as Current or Non-current - Deferral of Effective Date (January 2020 and July 2020 respectively); • amendments to IAS1 Presentation of Financial Statements and IFRS Practice Statement 2: Disclosure of Accounting policies (February 2021); • amendments to IAS8 Accounting policies, Changes in Accounting Estimates and Errors: Definition of Accounting Estimates (February 2021); • amendments to IAS12 Income Taxes: Deferred Tax related to Assets and Liabilities arising from a Single Transaction (May 2021); • amendments to IFRS17 Insurance contracts: Initial Application of IFRS17 and IFRS9 - Comparative Information (December 2021). Risks, uncertainties and impacts of Covid-19 pandemic Reference is made to “Section 2 - General preparation criteria” for a description of risks and uncertainty relating to Covid-19 pandemic. Contractual modifications arising from Covid-19 1) Contractual modifications and accounting derecognition (IFRS9) In order to limit the effects of the restriction measures put in place to contain the Covid-19 pandemic, starting from the first half 2020, the Group has granted to its customers debt moratoria measures. These measures have been granted both following the approval of specific laws by the governments in which the Group operates and as a result of specific initiatives of Group’s credit institutions so to complement government initiatives or in those countries in which the local government has not issued specific laws. These moratoria measures generally allowed to postpone the payment of instalments, either upon request by the customers or, in some countries, automatically for all the loans in scope of local laws, with the consequent increase in the maturity of the loan and the accrual of interests on the capital being postponed. As a result of the continuing health emergencies, restrictions measures have not been lifted and these initiatives have been renewed in the second half of 2021 allowing the possibility to further postpone payments at a future date defined by local measures which is within either 31 December 2021 or first half 2022 depending on countries. In accordance with ESMA's declaration14 which clarified that it is unlikely that the contractual changes resulting from these moratoria can be considered as substantial, the Group has not derecognised the related credit exposures15. A modification loss is consequently recognised in item “140. Gains/Losses from contractual changes with no cancellations" if the increase in future payments is not sufficient to remunerate the Group for the postponement period also in light of local laws and regulations. As at 31 December 2021 the amount deriving from the modification loss recognizing through Profit & Loss was equal to €6 million. 2) Amendment to IFRS16 accounting standard The IASB published 28 May 2020 the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions" which has been endorsed on 15 December 2020. 14 ESMA public statement: "Accounting implications of the Covid-19 outbreak on the calculation of expected credit losses in accordance with IFRS9" of 25 March 2020. 15 According to IFRS9, the contractual modifications must be accounted for (i) if significant, through the derecognition, (ii) if not significant, through the recalculation of the gross exposure by discounting the contractual cash flows after the modification at the original effective interest rate. The standard does not provide any indication as to whether a change is significant or not. For further information on accounting principles used by the Group on this matter, refer to Part A - Accounting policies, A.2 - Main items of the accounts. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 180 2021 Annual Report and Accounts · UniCredit Section 5 - Other matters In 2021 the following standards, amendments or interpretations came into force: • amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2 (EU Regulation 2021/25); • amendments to IFRS4 Insurance Contracts - deferral of IFRS9 (EU Regulation 2020/2097); • amendments to IFRS16 Leases: Covid-19-Related Rent Concessions beyond 30 June 2021 (EU Regulation 2021/1421); whose adoption has not determined substantial effects on the amounts recognised in balance sheet or income statement. With reference to the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions beyond 30 June 2021” and “Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2” additional explanations are provided below in this section. As at 31 December 2021, the following documents have been endorsed by the European Commission: • Amendments to IFRS3 Business Combinations; IAS16 Property, Plant and Equipment; IAS37 Provisions, Contingent Liabilities and Contingent Assets; and Annual Improvements 2018-2020” (EU Regulation 2021/1080) applicable to reporting starting from 1 January 2022; and • IFRS17 Insurance Contracts; including Amendments to IFRS17 (EU Regulation 2021/2036) applicable to reporting starting from 1 January 2023. As at 31 December 2021 the IASB issued the following accounting standards whose application is subject to completion of the endorsement process by the competent bodies of the European Commission, which is still ongoing: • amendments to IAS1 Presentation of Financial Statements: Classification of Liabilities as Current or Non-current and Classification of Liabilities as Current or Non-current - Deferral of Effective Date (January 2020 and July 2020 respectively); • amendments to IAS1 Presentation of Financial Statements and IFRS Practice Statement 2: Disclosure of Accounting policies (February 2021); • amendments to IAS8 Accounting policies, Changes in Accounting Estimates and Errors: Definition of Accounting Estimates (February 2021); • amendments to IAS12 Income Taxes: Deferred Tax related to Assets and Liabilities arising from a Single Transaction (May 2021); • amendments to IFRS17 Insurance contracts: Initial Application of IFRS17 and IFRS9 - Comparative Information (December 2021). Risks, uncertainties and impacts of Covid-19 pandemic Reference is made to “Section 2 - General preparation criteria” for a description of risks and uncertainty relating to Covid-19 pandemic. Contractual modifications arising from Covid-19 1) Contractual modifications and accounting derecognition (IFRS9) In order to limit the effects of the restriction measures put in place to contain the Covid-19 pandemic, starting from the first half 2020, the Group has granted to its customers debt moratoria measures. These measures have been granted both following the approval of specific laws by the governments in which the Group operates and as a result of specific initiatives of Group’s credit institutions so to complement government initiatives or in those countries in which the local government has not issued specific laws. These moratoria measures generally allowed to postpone the payment of instalments, either upon request by the customers or, in some countries, automatically for all the loans in scope of local laws, with the consequent increase in the maturity of the loan and the accrual of interests on the capital being postponed. As a result of the continuing health emergencies, restrictions measures have not been lifted and these initiatives have been renewed in the second half of 2021 allowing the possibility to further postpone payments at a future date defined by local measures which is within either 31 December 2021 or first half 2022 depending on countries. In accordance with ESMA's declaration14 which clarified that it is unlikely that the contractual changes resulting from these moratoria can be considered as substantial, the Group has not derecognised the related credit exposures15. A modification loss is consequently recognised in item “140. Gains/Losses from contractual changes with no cancellations" if the increase in future payments is not sufficient to remunerate the Group for the postponement period also in light of local laws and regulations. As at 31 December 2021 the amount deriving from the modification loss recognizing through Profit & Loss was equal to €6 million. 2) Amendment to IFRS16 accounting standard The IASB published 28 May 2020 the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions" which has been endorsed on 15 December 2020. 14 ESMA public statement: "Accounting implications of the Covid-19 outbreak on the calculation of expected credit losses in accordance with IFRS9" of 25 March 2020. 15 According to IFRS9, the contractual modifications must be accounted for (i) if significant, through the derecognition, (ii) if not significant, through the recalculation of the gross exposure by discounting the contractual cash flows after the modification at the original effective interest rate. The standard does not provide any indication as to whether a change is significant or not. For further information on accounting principles used by the Group on this matter, refer to Part A - Accounting policies, A.2 - Main items of the accounts. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 180 2021 Annual Report and Accounts · UniCredit Section 5 - Other matters In 2021 the following standards, amendments or interpretations came into force: • amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2 (EU Regulation 2021/25); • amendments to IFRS4 Insurance Contracts - deferral of IFRS9 (EU Regulation 2020/2097); • amendments to IFRS16 Leases: Covid-19-Related Rent Concessions beyond 30 June 2021 (EU Regulation 2021/1421); whose adoption has not determined substantial effects on the amounts recognised in balance sheet or income statement. With reference to the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions beyond 30 June 2021” and “Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2” additional explanations are provided below in this section. As at 31 December 2021, the following documents have been endorsed by the European Commission: • Amendments to IFRS3 Business Combinations; IAS16 Property, Plant and Equipment; IAS37 Provisions, Contingent Liabilities and Contingent Assets; and Annual Improvements 2018-2020” (EU Regulation 2021/1080) applicable to reporting starting from 1 January 2022; and • IFRS17 Insurance Contracts; including Amendments to IFRS17 (EU Regulation 2021/2036) applicable to reporting starting from 1 January 2023. As at 31 December 2021 the IASB issued the following accounting standards whose application is subject to completion of the endorsement process by the competent bodies of the European Commission, which is still ongoing: • amendments to IAS1 Presentation of Financial Statements: Classification of Liabilities as Current or Non-current and Classification of Liabilities as Current or Non-current - Deferral of Effective Date (January 2020 and July 2020 respectively); • amendments to IAS1 Presentation of Financial Statements and IFRS Practice Statement 2: Disclosure of Accounting policies (February 2021); • amendments to IAS8 Accounting policies, Changes in Accounting Estimates and Errors: Definition of Accounting Estimates (February 2021); • amendments to IAS12 Income Taxes: Deferred Tax related to Assets and Liabilities arising from a Single Transaction (May 2021); • amendments to IFRS17 Insurance contracts: Initial Application of IFRS17 and IFRS9 - Comparative Information (December 2021). Risks, uncertainties and impacts of Covid-19 pandemic Reference is made to “Section 2 - General preparation criteria” for a description of risks and uncertainty relating to Covid-19 pandemic. Contractual modifications arising from Covid-19 1) Contractual modifications and accounting derecognition (IFRS9) In order to limit the effects of the restriction measures put in place to contain the Covid-19 pandemic, starting from the first half 2020, the Group has granted to its customers debt moratoria measures. These measures have been granted both following the approval of specific laws by the governments in which the Group operates and as a result of specific initiatives of Group’s credit institutions so to complement government initiatives or in those countries in which the local government has not issued specific laws. These moratoria measures generally allowed to postpone the payment of instalments, either upon request by the customers or, in some countries, automatically for all the loans in scope of local laws, with the consequent increase in the maturity of the loan and the accrual of interests on the capital being postponed. As a result of the continuing health emergencies, restrictions measures have not been lifted and these initiatives have been renewed in the second half of 2021 allowing the possibility to further postpone payments at a future date defined by local measures which is within either 31 December 2021 or first half 2022 depending on countries. In accordance with ESMA's declaration14 which clarified that it is unlikely that the contractual changes resulting from these moratoria can be considered as substantial, the Group has not derecognised the related credit exposures15. A modification loss is consequently recognised in item “140. Gains/Losses from contractual changes with no cancellations" if the increase in future payments is not sufficient to remunerate the Group for the postponement period also in light of local laws and regulations. As at 31 December 2021 the amount deriving from the modification loss recognizing through Profit & Loss was equal to €6 million. 2) Amendment to IFRS16 accounting standard The IASB published 28 May 2020 the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions" which has been endorsed on 15 December 2020. 14 ESMA public statement: "Accounting implications of the Covid-19 outbreak on the calculation of expected credit losses in accordance with IFRS9" of 25 March 2020. 15 According to IFRS9, the contractual modifications must be accounted for (i) if significant, through the derecognition, (ii) if not significant, through the recalculation of the gross exposure by discounting the contractual cash flows after the modification at the original effective interest rate. The standard does not provide any indication as to whether a change is significant or not. For further information on accounting principles used by the Group on this matter, refer to Part A - Accounting policies, A.2 - Main items of the accounts. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 180 2021 Annual Report and Accounts · UniCredit Section 5 - Other matters In 2021 the following standards, amendments or interpretations came into force: • amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2 (EU Regulation 2021/25); • amendments to IFRS4 Insurance Contracts - deferral of IFRS9 (EU Regulation 2020/2097); • amendments to IFRS16 Leases: Covid-19-Related Rent Concessions beyond 30 June 2021 (EU Regulation 2021/1421); whose adoption has not determined substantial effects on the amounts recognised in balance sheet or income statement. With reference to the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions beyond 30 June 2021” and “Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2” additional explanations are provided below in this section. As at 31 December 2021, the following documents have been endorsed by the European Commission: • Amendments to IFRS3 Business Combinations; IAS16 Property, Plant and Equipment; IAS37 Provisions, Contingent Liabilities and Contingent Assets; and Annual Improvements 2018-2020” (EU Regulation 2021/1080) applicable to reporting starting from 1 January 2022; and • IFRS17 Insurance Contracts; including Amendments to IFRS17 (EU Regulation 2021/2036) applicable to reporting starting from 1 January 2023. As at 31 December 2021 the IASB issued the following accounting standards whose application is subject to completion of the endorsement process by the competent bodies of the European Commission, which is still ongoing: • amendments to IAS1 Presentation of Financial Statements: Classification of Liabilities as Current or Non-current and Classification of Liabilities as Current or Non-current - Deferral of Effective Date (January 2020 and July 2020 respectively); • amendments to IAS1 Presentation of Financial Statements and IFRS Practice Statement 2: Disclosure of Accounting policies (February 2021); • amendments to IAS8 Accounting policies, Changes in Accounting Estimates and Errors: Definition of Accounting Estimates (February 2021); • amendments to IAS12 Income Taxes: Deferred Tax related to Assets and Liabilities arising from a Single Transaction (May 2021); • amendments to IFRS17 Insurance contracts: Initial Application of IFRS17 and IFRS9 - Comparative Information (December 2021). Risks, uncertainties and impacts of Covid-19 pandemic Reference is made to “Section 2 - General preparation criteria” for a description of risks and uncertainty relating to Covid-19 pandemic. Contractual modifications arising from Covid-19 1) Contractual modifications and accounting derecognition (IFRS9) In order to limit the effects of the restriction measures put in place to contain the Covid-19 pandemic, starting from the first half 2020, the Group has granted to its customers debt moratoria measures. These measures have been granted both following the approval of specific laws by the governments in which the Group operates and as a result of specific initiatives of Group’s credit institutions so to complement government initiatives or in those countries in which the local government has not issued specific laws. These moratoria measures generally allowed to postpone the payment of instalments, either upon request by the customers or, in some countries, automatically for all the loans in scope of local laws, with the consequent increase in the maturity of the loan and the accrual of interests on the capital being postponed. As a result of the continuing health emergencies, restrictions measures have not been lifted and these initiatives have been renewed in the second half of 2021 allowing the possibility to further postpone payments at a future date defined by local measures which is within either 31 December 2021 or first half 2022 depending on countries. In accordance with ESMA's declaration14 which clarified that it is unlikely that the contractual changes resulting from these moratoria can be considered as substantial, the Group has not derecognised the related credit exposures15. A modification loss is consequently recognised in item “140. Gains/Losses from contractual changes with no cancellations" if the increase in future payments is not sufficient to remunerate the Group for the postponement period also in light of local laws and regulations. As at 31 December 2021 the amount deriving from the modification loss recognizing through Profit & Loss was equal to €6 million. 2) Amendment to IFRS16 accounting standard The IASB published 28 May 2020 the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions" which has been endorsed on 15 December 2020. 14 ESMA public statement: "Accounting implications of the Covid-19 outbreak on the calculation of expected credit losses in accordance with IFRS9" of 25 March 2020. 15 According to IFRS9, the contractual modifications must be accounted for (i) if significant, through the derecognition, (ii) if not significant, through the recalculation of the gross exposure by discounting the contractual cash flows after the modification at the original effective interest rate. The standard does not provide any indication as to whether a change is significant or not. For further information on accounting principles used by the Group on this matter, refer to Part A - Accounting policies, A.2 - Main items of the accounts. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 181 Such amendments provide lessees with an exemption (permitted and not required) from assessing whether a Covid-19-related rent concession is a lease modification. Entities applying the exemption, available from 1 June 2020, would account for the changes as if they were not lease modifications. If the exemption is applied by the lessee then: • forgiveness or waiver of lease payments are accounted for as a variable lease payment against the derecognition of the part of lease liability forgiven or waived; • change in lease payments that reduces payments in one period but proportionally increases payments in another, requires interest to be accrued on the lease liability and lease liability to be reduced in order to reflect lease payments made to the lessor. The exemption could be used only if the following conditions are met: • rent concessions occur as a direct consequence of the Covid-19 pandemic; • the revised consideration for the lease is the same as, or less than, the consideration for the lease immediately preceding the change; • the reduction in lease payments affects only payments originally due on or before 30 June 2021; • there is no substantive change to other terms and conditions of the lease. On 31 March 2021, the IASB published “Covid-19-Related Rent Concessions beyond 30 June 2021 (Amendment to IFRS16)” which extended the aforementioned exemption also to lease contracts with payment relief and payments originally due before, or on 30 June 2022. Such amendment, which has been endorsed on 30 August 2021, is applicable for annual reporting periods beginning on or after 1 April 2021. The Group has not applied the exemption foreseen by the IFRS16 amendments. TLTRO On 6 January 2021, ESMA published a document which, referring to the changes introduced by the ECB during 2020 due to the Covid-19 emergency with particular reference to the interest rates applicable to the third series of targeted longer term refinancing operations (TLTRO III), recommends an adequate level of transparency regarding the accounting treatment applied for the purposes of preparing the financial statements. Then, on 16 February 2021, ESMA informed the Market that a letter16 requiring an official position by IFRS Interpretation Committee (IFRIC) about the TLTRO III accounting treatment was issued on 9 February 2021; specifically, ESMA invited the IFRIC to clarify the applicable requirements considering questions related to: (i) accounting for the transactions according to requirements of IFRS9 or IAS20; (ii) the method to calculate the effective interest rate at initial recognition and, in particular, the circumstance that this rate has to incorporate the expectations of obtaining future benefits in terms of lower cost of funding following the expected achievement of the "eligibility" criteria required by the regulations; and (iii) accounting treatment of changes in estimates of payments due to revised assessment of meeting the eligibility criteria upon application of IFRS9. In June 2021, IFRIC reported the following remarks regarding the questions raised by ESMA; specifically: (i) the topics about the application of IFRS9 vs. IAS20 accounting standards embedded topics different from being accounting matters (e.g. determining whether the ECB meets the definition of government); (ii) regarding the effective interest rate and the consequence of the modification in interest rate, IFRIC reported that the topics will be discussed during the ”Post-Implementation Review of the classification and measurement requirements in IFRS9” by IASB, starting from fourth quarter 2021. Therefore, the accounting treatment adopted by the Group, as described below, may be still subject in the future to different interpretations by the competent bodies. According to UniCredit group approach, the TLTRO liabilities are recognised as banking book funding instruments to be subsequently measured at amortised cost according to IFRS9.4.2.1. The prospect for the borrowing bank to be charged of a variable negative interest on “long term refinancing operations”, additional to the average Deposit Facility Rate (“DFR”) or Main Refinancing Operation (“MRO”) rate, is linked to the achievement of specific threshold on cumulative net lending toward eligible counterparties17. In particular, financial conditions incorporated into TLTROs are reflecting ECB monetary policy initiatives to prospectively reduce market “cost of funding” for banking institutions by using “non-conventional” tools and reflected in money market operations. As a result, accounting analysis rejected such an interest would have been assimilated to either (i) a government grants (being ECB TLTRO a “limited access & banking specific” market by its own), or (ii) an embedded derivative. Therefore, such contractual term must be seen as contractual clause included into a one-coupon floating-rate18 financial liability (the refinancing operation), and to be considered part of the calculation of the liability’s interests according to IFRS9. 16 Link: https://www.esma.europa.eu/press-news/esma-news/esma-submits-ifrs-9-and-ias-20-related-questions-ifrs-interpretations-committee. 17 Loans to non-financial corporations & Loans to households, excluding loans for house purchase. 18 Either for the base rate (Avg DFR or Avg MRO) and the spread (up to -50bps with a minimum of -1% for a portion of the liability’s expected duration). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 181 Such amendments provide lessees with an exemption (permitted and not required) from assessing whether a Covid-19-related rent concession is a lease modification. Entities applying the exemption, available from 1 June 2020, would account for the changes as if they were not lease modifications. If the exemption is applied by the lessee then: • forgiveness or waiver of lease payments are accounted for as a variable lease payment against the derecognition of the part of lease liability forgiven or waived; • change in lease payments that reduces payments in one period but proportionally increases payments in another, requires interest to be accrued on the lease liability and lease liability to be reduced in order to reflect lease payments made to the lessor. The exemption could be used only if the following conditions are met: • rent concessions occur as a direct consequence of the Covid-19 pandemic; • the revised consideration for the lease is the same as, or less than, the consideration for the lease immediately preceding the change; • the reduction in lease payments affects only payments originally due on or before 30 June 2021; • there is no substantive change to other terms and conditions of the lease. On 31 March 2021, the IASB published “Covid-19-Related Rent Concessions beyond 30 June 2021 (Amendment to IFRS16)” which extended the aforementioned exemption also to lease contracts with payment relief and payments originally due before, or on 30 June 2022. Such amendment, which has been endorsed on 30 August 2021, is applicable for annual reporting periods beginning on or after 1 April 2021. The Group has not applied the exemption foreseen by the IFRS16 amendments. TLTRO On 6 January 2021, ESMA published a document which, referring to the changes introduced by the ECB during 2020 due to the Covid-19 emergency with particular reference to the interest rates applicable to the third series of targeted longer term refinancing operations (TLTRO III), recommends an adequate level of transparency regarding the accounting treatment applied for the purposes of preparing the financial statements. Then, on 16 February 2021, ESMA informed the Market that a letter16 requiring an official position by IFRS Interpretation Committee (IFRIC) about the TLTRO III accounting treatment was issued on 9 February 2021; specifically, ESMA invited the IFRIC to clarify the applicable requirements considering questions related to: (i) accounting for the transactions according to requirements of IFRS9 or IAS20; (ii) the method to calculate the effective interest rate at initial recognition and, in particular, the circumstance that this rate has to incorporate the expectations of obtaining future benefits in terms of lower cost of funding following the expected achievement of the "eligibility" criteria required by the regulations; and (iii) accounting treatment of changes in estimates of payments due to revised assessment of meeting the eligibility criteria upon application of IFRS9. In June 2021, IFRIC reported the following remarks regarding the questions raised by ESMA; specifically: (i) the topics about the application of IFRS9 vs. IAS20 accounting standards embedded topics different from being accounting matters (e.g. determining whether the ECB meets the definition of government); (ii) regarding the effective interest rate and the consequence of the modification in interest rate, IFRIC reported that the topics will be discussed during the ”Post-Implementation Review of the classification and measurement requirements in IFRS9” by IASB, starting from fourth quarter 2021. Therefore, the accounting treatment adopted by the Group, as described below, may be still subject in the future to different interpretations by the competent bodies. According to UniCredit group approach, the TLTRO liabilities are recognised as banking book funding instruments to be subsequently measured at amortised cost according to IFRS9.4.2.1. The prospect for the borrowing bank to be charged of a variable negative interest on “long term refinancing operations”, additional to the average Deposit Facility Rate (“DFR”) or Main Refinancing Operation (“MRO”) rate, is linked to the achievement of specific threshold on cumulative net lending toward eligible counterparties17. In particular, financial conditions incorporated into TLTROs are reflecting ECB monetary policy initiatives to prospectively reduce market “cost of funding” for banking institutions by using “non-conventional” tools and reflected in money market operations. As a result, accounting analysis rejected such an interest would have been assimilated to either (i) a government grants (being ECB TLTRO a “limited access & banking specific” market by its own), or (ii) an embedded derivative. Therefore, such contractual term must be seen as contractual clause included into a one-coupon floating-rate18 financial liability (the refinancing operation), and to be considered part of the calculation of the liability’s interests according to IFRS9. 16 Link: https://www.esma.europa.eu/press-news/esma-news/esma-submits-ifrs-9-and-ias-20-related-questions-ifrs-interpretations-committee. 17 Loans to non-financial corporations & Loans to households, excluding loans for house purchase. 18 Either for the base rate (Avg DFR or Avg MRO) and the spread (up to -50bps with a minimum of -1% for a portion of the liability’s expected duration). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 181 Such amendments provide lessees with an exemption (permitted and not required) from assessing whether a Covid-19-related rent concession is a lease modification. Entities applying the exemption, available from 1 June 2020, would account for the changes as if they were not lease modifications. If the exemption is applied by the lessee then: • forgiveness or waiver of lease payments are accounted for as a variable lease payment against the derecognition of the part of lease liability forgiven or waived; • change in lease payments that reduces payments in one period but proportionally increases payments in another, requires interest to be accrued on the lease liability and lease liability to be reduced in order to reflect lease payments made to the lessor. The exemption could be used only if the following conditions are met: • rent concessions occur as a direct consequence of the Covid-19 pandemic; • the revised consideration for the lease is the same as, or less than, the consideration for the lease immediately preceding the change; • the reduction in lease payments affects only payments originally due on or before 30 June 2021; • there is no substantive change to other terms and conditions of the lease. On 31 March 2021, the IASB published “Covid-19-Related Rent Concessions beyond 30 June 2021 (Amendment to IFRS16)” which extended the aforementioned exemption also to lease contracts with payment relief and payments originally due before, or on 30 June 2022. Such amendment, which has been endorsed on 30 August 2021, is applicable for annual reporting periods beginning on or after 1 April 2021. The Group has not applied the exemption foreseen by the IFRS16 amendments. TLTRO On 6 January 2021, ESMA published a document which, referring to the changes introduced by the ECB during 2020 due to the Covid-19 emergency with particular reference to the interest rates applicable to the third series of targeted longer term refinancing operations (TLTRO III), recommends an adequate level of transparency regarding the accounting treatment applied for the purposes of preparing the financial statements. Then, on 16 February 2021, ESMA informed the Market that a letter16 requiring an official position by IFRS Interpretation Committee (IFRIC) about the TLTRO III accounting treatment was issued on 9 February 2021; specifically, ESMA invited the IFRIC to clarify the applicable requirements considering questions related to: (i) accounting for the transactions according to requirements of IFRS9 or IAS20; (ii) the method to calculate the effective interest rate at initial recognition and, in particular, the circumstance that this rate has to incorporate the expectations of obtaining future benefits in terms of lower cost of funding following the expected achievement of the "eligibility" criteria required by the regulations; and (iii) accounting treatment of changes in estimates of payments due to revised assessment of meeting the eligibility criteria upon application of IFRS9. In June 2021, IFRIC reported the following remarks regarding the questions raised by ESMA; specifically: (i) the topics about the application of IFRS9 vs. IAS20 accounting standards embedded topics different from being accounting matters (e.g. determining whether the ECB meets the definition of government); (ii) regarding the effective interest rate and the consequence of the modification in interest rate, IFRIC reported that the topics will be discussed during the ”Post-Implementation Review of the classification and measurement requirements in IFRS9” by IASB, starting from fourth quarter 2021. Therefore, the accounting treatment adopted by the Group, as described below, may be still subject in the future to different interpretations by the competent bodies. According to UniCredit group approach, the TLTRO liabilities are recognised as banking book funding instruments to be subsequently measured at amortised cost according to IFRS9.4.2.1. The prospect for the borrowing bank to be charged of a variable negative interest on “long term refinancing operations”, additional to the average Deposit Facility Rate (“DFR”) or Main Refinancing Operation (“MRO”) rate, is linked to the achievement of specific threshold on cumulative net lending toward eligible counterparties17. In particular, financial conditions incorporated into TLTROs are reflecting ECB monetary policy initiatives to prospectively reduce market “cost of funding” for banking institutions by using “non-conventional” tools and reflected in money market operations. As a result, accounting analysis rejected such an interest would have been assimilated to either (i) a government grants (being ECB TLTRO a “limited access & banking specific” market by its own), or (ii) an embedded derivative. Therefore, such contractual term must be seen as contractual clause included into a one-coupon floating-rate18 financial liability (the refinancing operation), and to be considered part of the calculation of the liability’s interests according to IFRS9. 16 Link: https://www.esma.europa.eu/press-news/esma-news/esma-submits-ifrs-9-and-ias-20-related-questions-ifrs-interpretations-committee. 17 Loans to non-financial corporations & Loans to households, excluding loans for house purchase. 18 Either for the base rate (Avg DFR or Avg MRO) and the spread (up to -50bps with a minimum of -1% for a portion of the liability’s expected duration). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 181 Such amendments provide lessees with an exemption (permitted and not required) from assessing whether a Covid-19-related rent concession is a lease modification. Entities applying the exemption, available from 1 June 2020, would account for the changes as if they were not lease modifications. If the exemption is applied by the lessee then: • forgiveness or waiver of lease payments are accounted for as a variable lease payment against the derecognition of the part of lease liability forgiven or waived; • change in lease payments that reduces payments in one period but proportionally increases payments in another, requires interest to be accrued on the lease liability and lease liability to be reduced in order to reflect lease payments made to the lessor. The exemption could be used only if the following conditions are met: • rent concessions occur as a direct consequence of the Covid-19 pandemic; • the revised consideration for the lease is the same as, or less than, the consideration for the lease immediately preceding the change; • the reduction in lease payments affects only payments originally due on or before 30 June 2021; • there is no substantive change to other terms and conditions of the lease. On 31 March 2021, the IASB published “Covid-19-Related Rent Concessions beyond 30 June 2021 (Amendment to IFRS16)” which extended the aforementioned exemption also to lease contracts with payment relief and payments originally due before, or on 30 June 2022. Such amendment, which has been endorsed on 30 August 2021, is applicable for annual reporting periods beginning on or after 1 April 2021. The Group has not applied the exemption foreseen by the IFRS16 amendments. TLTRO On 6 January 2021, ESMA published a document which, referring to the changes introduced by the ECB during 2020 due to the Covid-19 emergency with particular reference to the interest rates applicable to the third series of targeted longer term refinancing operations (TLTRO III), recommends an adequate level of transparency regarding the accounting treatment applied for the purposes of preparing the financial statements. Then, on 16 February 2021, ESMA informed the Market that a letter16 requiring an official position by IFRS Interpretation Committee (IFRIC) about the TLTRO III accounting treatment was issued on 9 February 2021; specifically, ESMA invited the IFRIC to clarify the applicable requirements considering questions related to: (i) accounting for the transactions according to requirements of IFRS9 or IAS20; (ii) the method to calculate the effective interest rate at initial recognition and, in particular, the circumstance that this rate has to incorporate the expectations of obtaining future benefits in terms of lower cost of funding following the expected achievement of the "eligibility" criteria required by the regulations; and (iii) accounting treatment of changes in estimates of payments due to revised assessment of meeting the eligibility criteria upon application of IFRS9. In June 2021, IFRIC reported the following remarks regarding the questions raised by ESMA; specifically: (i) the topics about the application of IFRS9 vs. IAS20 accounting standards embedded topics different from being accounting matters (e.g. determining whether the ECB meets the definition of government); (ii) regarding the effective interest rate and the consequence of the modification in interest rate, IFRIC reported that the topics will be discussed during the ”Post-Implementation Review of the classification and measurement requirements in IFRS9” by IASB, starting from fourth quarter 2021. Therefore, the accounting treatment adopted by the Group, as described below, may be still subject in the future to different interpretations by the competent bodies. According to UniCredit group approach, the TLTRO liabilities are recognised as banking book funding instruments to be subsequently measured at amortised cost according to IFRS9.4.2.1. The prospect for the borrowing bank to be charged of a variable negative interest on “long term refinancing operations”, additional to the average Deposit Facility Rate (“DFR”) or Main Refinancing Operation (“MRO”) rate, is linked to the achievement of specific threshold on cumulative net lending toward eligible counterparties17. In particular, financial conditions incorporated into TLTROs are reflecting ECB monetary policy initiatives to prospectively reduce market “cost of funding” for banking institutions by using “non-conventional” tools and reflected in money market operations. As a result, accounting analysis rejected such an interest would have been assimilated to either (i) a government grants (being ECB TLTRO a “limited access & banking specific” market by its own), or (ii) an embedded derivative. Therefore, such contractual term must be seen as contractual clause included into a one-coupon floating-rate18 financial liability (the refinancing operation), and to be considered part of the calculation of the liability’s interests according to IFRS9. 16 Link: https://www.esma.europa.eu/press-news/esma-news/esma-submits-ifrs-9-and-ias-20-related-questions-ifrs-interpretations-committee. 17 Loans to non-financial corporations & Loans to households, excluding loans for house purchase. 18 Either for the base rate (Avg DFR or Avg MRO) and the spread (up to -50bps with a minimum of -1% for a portion of the liability’s expected duration). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 181 Such amendments provide lessees with an exemption (permitted and not required) from assessing whether a Covid-19-related rent concession is a lease modification. Entities applying the exemption, available from 1 June 2020, would account for the changes as if they were not lease modifications. If the exemption is applied by the lessee then: • forgiveness or waiver of lease payments are accounted for as a variable lease payment against the derecognition of the part of lease liability forgiven or waived; • change in lease payments that reduces payments in one period but proportionally increases payments in another, requires interest to be accrued on the lease liability and lease liability to be reduced in order to reflect lease payments made to the lessor. The exemption could be used only if the following conditions are met: • rent concessions occur as a direct consequence of the Covid-19 pandemic; • the revised consideration for the lease is the same as, or less than, the consideration for the lease immediately preceding the change; • the reduction in lease payments affects only payments originally due on or before 30 June 2021; • there is no substantive change to other terms and conditions of the lease. On 31 March 2021, the IASB published “Covid-19-Related Rent Concessions beyond 30 June 2021 (Amendment to IFRS16)” which extended the aforementioned exemption also to lease contracts with payment relief and payments originally due before, or on 30 June 2022. Such amendment, which has been endorsed on 30 August 2021, is applicable for annual reporting periods beginning on or after 1 April 2021. The Group has not applied the exemption foreseen by the IFRS16 amendments. TLTRO On 6 January 2021, ESMA published a document which, referring to the changes introduced by the ECB during 2020 due to the Covid-19 emergency with particular reference to the interest rates applicable to the third series of targeted longer term refinancing operations (TLTRO III), recommends an adequate level of transparency regarding the accounting treatment applied for the purposes of preparing the financial statements. Then, on 16 February 2021, ESMA informed the Market that a letter16 requiring an official position by IFRS Interpretation Committee (IFRIC) about the TLTRO III accounting treatment was issued on 9 February 2021; specifically, ESMA invited the IFRIC to clarify the applicable requirements considering questions related to: (i) accounting for the transactions according to requirements of IFRS9 or IAS20; (ii) the method to calculate the effective interest rate at initial recognition and, in particular, the circumstance that this rate has to incorporate the expectations of obtaining future benefits in terms of lower cost of funding following the expected achievement of the "eligibility" criteria required by the regulations; and (iii) accounting treatment of changes in estimates of payments due to revised assessment of meeting the eligibility criteria upon application of IFRS9. In June 2021, IFRIC reported the following remarks regarding the questions raised by ESMA; specifically: (i) the topics about the application of IFRS9 vs. IAS20 accounting standards embedded topics different from being accounting matters (e.g. determining whether the ECB meets the definition of government); (ii) regarding the effective interest rate and the consequence of the modification in interest rate, IFRIC reported that the topics will be discussed during the ”Post-Implementation Review of the classification and measurement requirements in IFRS9” by IASB, starting from fourth quarter 2021. Therefore, the accounting treatment adopted by the Group, as described below, may be still subject in the future to different interpretations by the competent bodies. According to UniCredit group approach, the TLTRO liabilities are recognised as banking book funding instruments to be subsequently measured at amortised cost according to IFRS9.4.2.1. The prospect for the borrowing bank to be charged of a variable negative interest on “long term refinancing operations”, additional to the average Deposit Facility Rate (“DFR”) or Main Refinancing Operation (“MRO”) rate, is linked to the achievement of specific threshold on cumulative net lending toward eligible counterparties17. In particular, financial conditions incorporated into TLTROs are reflecting ECB monetary policy initiatives to prospectively reduce market “cost of funding” for banking institutions by using “non-conventional” tools and reflected in money market operations. As a result, accounting analysis rejected such an interest would have been assimilated to either (i) a government grants (being ECB TLTRO a “limited access & banking specific” market by its own), or (ii) an embedded derivative. Therefore, such contractual term must be seen as contractual clause included into a one-coupon floating-rate18 financial liability (the refinancing operation), and to be considered part of the calculation of the liability’s interests according to IFRS9. 16 Link: https://www.esma.europa.eu/press-news/esma-news/esma-submits-ifrs-9-and-ias-20-related-questions-ifrs-interpretations-committee. 17 Loans to non-financial corporations & Loans to households, excluding loans for house purchase. 18 Either for the base rate (Avg DFR or Avg MRO) and the spread (up to -50bps with a minimum of -1% for a portion of the liability’s expected duration). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 182 2021 Annual Report and Accounts · UniCredit Under the said accounting principle, the interests shall be calculated by using the “effective interest method”, that allocates interests over the application period of the “effective interest rate”. The latter is defined as the rate that discounts estimated future cash flows through the expected life of the financial instruments to the net carrying amount. Accordingly, having introduced a new/prospective “performance-related” remuneration within the ECB, TLTRO “market” specific financial features are handled similarly to changes in market-index for floating-rate liabilities. Therefore, referencing EIR rules for “markets-driven” variable remunerations, changes in “market index” (e.g., base rate and spread) are reflected by adjusting instruments’ carrying amount calculated by reference to the evolution of the “TLTRO index” and limited to the accrued (to-date) portion19. As a result, TLTRO III effective interest rate ranges: (i) between -0.33% and -0.83% for the €94.3 billion allotment cashed-in during June 2020 (3years funding20); (ii) between -0.50% and -1.00% for the €12.5 billion allotment cashed-in during March 2021 (expected to be almost entirely repaid by June 2022); such effects are coherent with the benchmark achievements for cumulative net lending as at March 2021 and December 2021, as well as current MRO and DFR levels. With reference to 2021, the interest income contribution, related to the total outstanding of €106.8 billion TLTRO funding, is equal to +€893 million (o/w +€366 million from CNL spread additional to “DFR”), including the effects associated to achieving the threshold of outstanding cumulative net lending production. With reference to the special reference period ending on 31 March 2021 the relevant volumes have been submitted to ECB by August 2021, while for the additional reference period ending on 31 December 2021 the relevant volumes will be provided to ECB with the third report not later than 17 May 2022, together with the result of the auditor's evaluation. Tax credits connected with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers The Law Decrees 18/2020 (so-called "Cura Italia") and 34/2020 (so-called "Rilancio"), converted into law No.27 and No.77 of 2020, introduced into the Italian legal system some tax incentive measures related to both investment expenses (e.g., Eco and Sismabonus) and current expenses (e.g., rents for non-residential premises). These incentives that apply to households or businesses, are commensurate with a percentage of the expenditure incurred (which in some cases even reaches 110%) and are disbursed in the form of tax credits or tax deductions (convertible, on option, into tax credits). The holders of these credits, not refundable by the State, can use them to offset taxes and contributions or they can further transfer them (in whole or in part) to third parties. Since the third quarter of 2020 UniCredit S.p.A. launched commercial initiatives aimed at: • providing "bridge" credit facilities subject to the presentation of appropriate documentation proving the intervention and the future generation of tax credit, to support the financial needs related to the cost of the interventions; • simultaneously underwriting commitments related to the purchase of the future tax credit with the associated obligation of the assigning customer to use the amount collected from the transfer of the tax credit to reimburse the granted "bridge" loan; • directly purchasing tax credits from assignors who do not require any "bridge" loan. Starting from the second quarter of 2021 indirect purchases of Tax Credit has been exploited through fully consolidated Italian Securitization SPVs, incorporated under Law 130/99, to manage CIB clients network financing needs. The specific features of these tax credits are such that these assets are not in the scope of international accounting standards IAS/IFRS. Therefore, the paragraph of IAS821 is applied, requiring the management to define an accounting policy suitable for providing relevant and reliable information. In accordance with the paper published by the OIC on 17 May 202022 and the Document No.9 jointly published by Banca d’Italia, CONSOB, IVASS on 5 January 202123, it is believed that an accounting model based on IFRS9 is the accounting model more suitable for providing relevant and reliable information. As a result of the above, on initial recognition tax credits are booked among assets in item “130. Other assets" for a value equal to the purchase price, assumed equal to a Level 3 fair value of the fair value hierarchy according to IFRS13. For subsequent measurement, the provisions of IFRS9 relating to the “Held to collect portfolio” are applied for both direct and indirect (through Italian Securitization SPVs) purchases. As a result, these tax credits are measured at amortised costs recognising in the Income statement in item “10. Interest income and similar revenues" the portion -accrued in the period- related to the difference between the value at initial recognition and the value that is expected to be utilised through the offsetting with tax liabilities. The latter value is subject to periodical re-assessment with recognition into income statement, item “10. Interest income and similar revenues” of any write-downs. 19 Similarly, to other “market indexed” variable rate notes. 20 Early termination will result in lower (i.e., more negative) EIR with additional NII effect. 21 IAS8 paragraph 10. 22 “Cessione del credito d’imposta” - Law 17 July 2020 No.77. 23 Accounting treatment of tax credits associated with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale by direct beneficiaries or previous buyers. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 182 2021 Annual Report and Accounts · UniCredit Under the said accounting principle, the interests shall be calculated by using the “effective interest method”, that allocates interests over the application period of the “effective interest rate”. The latter is defined as the rate that discounts estimated future cash flows through the expected life of the financial instruments to the net carrying amount. Accordingly, having introduced a new/prospective “performance-related” remuneration within the ECB, TLTRO “market” specific financial features are handled similarly to changes in market-index for floating-rate liabilities. Therefore, referencing EIR rules for “markets-driven” variable remunerations, changes in “market index” (e.g., base rate and spread) are reflected by adjusting instruments’ carrying amount calculated by reference to the evolution of the “TLTRO index” and limited to the accrued (to-date) portion19. As a result, TLTRO III effective interest rate ranges: (i) between -0.33% and -0.83% for the €94.3 billion allotment cashed-in during June 2020 (3years funding20); (ii) between -0.50% and -1.00% for the €12.5 billion allotment cashed-in during March 2021 (expected to be almost entirely repaid by June 2022); such effects are coherent with the benchmark achievements for cumulative net lending as at March 2021 and December 2021, as well as current MRO and DFR levels. With reference to 2021, the interest income contribution, related to the total outstanding of €106.8 billion TLTRO funding, is equal to +€893 million (o/w +€366 million from CNL spread additional to “DFR”), including the effects associated to achieving the threshold of outstanding cumulative net lending production. With reference to the special reference period ending on 31 March 2021 the relevant volumes have been submitted to ECB by August 2021, while for the additional reference period ending on 31 December 2021 the relevant volumes will be provided to ECB with the third report not later than 17 May 2022, together with the result of the auditor's evaluation. Tax credits connected with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers The Law Decrees 18/2020 (so-called "Cura Italia") and 34/2020 (so-called "Rilancio"), converted into law No.27 and No.77 of 2020, introduced into the Italian legal system some tax incentive measures related to both investment expenses (e.g., Eco and Sismabonus) and current expenses (e.g., rents for non-residential premises). These incentives that apply to households or businesses, are commensurate with a percentage of the expenditure incurred (which in some cases even reaches 110%) and are disbursed in the form of tax credits or tax deductions (convertible, on option, into tax credits). The holders of these credits, not refundable by the State, can use them to offset taxes and contributions or they can further transfer them (in whole or in part) to third parties. Since the third quarter of 2020 UniCredit S.p.A. launched commercial initiatives aimed at: • providing "bridge" credit facilities subject to the presentation of appropriate documentation proving the intervention and the future generation of tax credit, to support the financial needs related to the cost of the interventions; • simultaneously underwriting commitments related to the purchase of the future tax credit with the associated obligation of the assigning customer to use the amount collected from the transfer of the tax credit to reimburse the granted "bridge" loan; • directly purchasing tax credits from assignors who do not require any "bridge" loan. Starting from the second quarter of 2021 indirect purchases of Tax Credit has been exploited through fully consolidated Italian Securitization SPVs, incorporated under Law 130/99, to manage CIB clients network financing needs. The specific features of these tax credits are such that these assets are not in the scope of international accounting standards IAS/IFRS. Therefore, the paragraph of IAS821 is applied, requiring the management to define an accounting policy suitable for providing relevant and reliable information. In accordance with the paper published by the OIC on 17 May 202022 and the Document No.9 jointly published by Banca d’Italia, CONSOB, IVASS on 5 January 202123, it is believed that an accounting model based on IFRS9 is the accounting model more suitable for providing relevant and reliable information. As a result of the above, on initial recognition tax credits are booked among assets in item “130. Other assets" for a value equal to the purchase price, assumed equal to a Level 3 fair value of the fair value hierarchy according to IFRS13. For subsequent measurement, the provisions of IFRS9 relating to the “Held to collect portfolio” are applied for both direct and indirect (through Italian Securitization SPVs) purchases. As a result, these tax credits are measured at amortised costs recognising in the Income statement in item “10. Interest income and similar revenues" the portion -accrued in the period- related to the difference between the value at initial recognition and the value that is expected to be utilised through the offsetting with tax liabilities. The latter value is subject to periodical re-assessment with recognition into income statement, item “10. Interest income and similar revenues” of any write-downs. 19 Similarly, to other “market indexed” variable rate notes. 20 Early termination will result in lower (i.e., more negative) EIR with additional NII effect. 21 IAS8 paragraph 10. 22 “Cessione del credito d’imposta” - Law 17 July 2020 No.77. 23 Accounting treatment of tax credits associated with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale by direct beneficiaries or previous buyers. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 182 2021 Annual Report and Accounts · UniCredit Under the said accounting principle, the interests shall be calculated by using the “effective interest method”, that allocates interests over the application period of the “effective interest rate”. The latter is defined as the rate that discounts estimated future cash flows through the expected life of the financial instruments to the net carrying amount. Accordingly, having introduced a new/prospective “performance-related” remuneration within the ECB, TLTRO “market” specific financial features are handled similarly to changes in market-index for floating-rate liabilities. Therefore, referencing EIR rules for “markets-driven” variable remunerations, changes in “market index” (e.g., base rate and spread) are reflected by adjusting instruments’ carrying amount calculated by reference to the evolution of the “TLTRO index” and limited to the accrued (to-date) portion19. As a result, TLTRO III effective interest rate ranges: (i) between -0.33% and -0.83% for the €94.3 billion allotment cashed-in during June 2020 (3years funding20); (ii) between -0.50% and -1.00% for the €12.5 billion allotment cashed-in during March 2021 (expected to be almost entirely repaid by June 2022); such effects are coherent with the benchmark achievements for cumulative net lending as at March 2021 and December 2021, as well as current MRO and DFR levels. With reference to 2021, the interest income contribution, related to the total outstanding of €106.8 billion TLTRO funding, is equal to +€893 million (o/w +€366 million from CNL spread additional to “DFR”), including the effects associated to achieving the threshold of outstanding cumulative net lending production. With reference to the special reference period ending on 31 March 2021 the relevant volumes have been submitted to ECB by August 2021, while for the additional reference period ending on 31 December 2021 the relevant volumes will be provided to ECB with the third report not later than 17 May 2022, together with the result of the auditor's evaluation. Tax credits connected with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers The Law Decrees 18/2020 (so-called "Cura Italia") and 34/2020 (so-called "Rilancio"), converted into law No.27 and No.77 of 2020, introduced into the Italian legal system some tax incentive measures related to both investment expenses (e.g., Eco and Sismabonus) and current expenses (e.g., rents for non-residential premises). These incentives that apply to households or businesses, are commensurate with a percentage of the expenditure incurred (which in some cases even reaches 110%) and are disbursed in the form of tax credits or tax deductions (convertible, on option, into tax credits). The holders of these credits, not refundable by the State, can use them to offset taxes and contributions or they can further transfer them (in whole or in part) to third parties. Since the third quarter of 2020 UniCredit S.p.A. launched commercial initiatives aimed at: • providing "bridge" credit facilities subject to the presentation of appropriate documentation proving the intervention and the future generation of tax credit, to support the financial needs related to the cost of the interventions; • simultaneously underwriting commitments related to the purchase of the future tax credit with the associated obligation of the assigning customer to use the amount collected from the transfer of the tax credit to reimburse the granted "bridge" loan; • directly purchasing tax credits from assignors who do not require any "bridge" loan. Starting from the second quarter of 2021 indirect purchases of Tax Credit has been exploited through fully consolidated Italian Securitization SPVs, incorporated under Law 130/99, to manage CIB clients network financing needs. The specific features of these tax credits are such that these assets are not in the scope of international accounting standards IAS/IFRS. Therefore, the paragraph of IAS821 is applied, requiring the management to define an accounting policy suitable for providing relevant and reliable information. In accordance with the paper published by the OIC on 17 May 202022 and the Document No.9 jointly published by Banca d’Italia, CONSOB, IVASS on 5 January 202123, it is believed that an accounting model based on IFRS9 is the accounting model more suitable for providing relevant and reliable information. As a result of the above, on initial recognition tax credits are booked among assets in item “130. Other assets" for a value equal to the purchase price, assumed equal to a Level 3 fair value of the fair value hierarchy according to IFRS13. For subsequent measurement, the provisions of IFRS9 relating to the “Held to collect portfolio” are applied for both direct and indirect (through Italian Securitization SPVs) purchases. As a result, these tax credits are measured at amortised costs recognising in the Income statement in item “10. Interest income and similar revenues" the portion -accrued in the period- related to the difference between the value at initial recognition and the value that is expected to be utilised through the offsetting with tax liabilities. The latter value is subject to periodical re-assessment with recognition into income statement, item “10. Interest income and similar revenues” of any write-downs. 19 Similarly, to other “market indexed” variable rate notes. 20 Early termination will result in lower (i.e., more negative) EIR with additional NII effect. 21 IAS8 paragraph 10. 22 “Cessione del credito d’imposta” - Law 17 July 2020 No.77. 23 Accounting treatment of tax credits associated with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale by direct beneficiaries or previous buyers. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 182 2021 Annual Report and Accounts · UniCredit Under the said accounting principle, the interests shall be calculated by using the “effective interest method”, that allocates interests over the application period of the “effective interest rate”. The latter is defined as the rate that discounts estimated future cash flows through the expected life of the financial instruments to the net carrying amount. Accordingly, having introduced a new/prospective “performance-related” remuneration within the ECB, TLTRO “market” specific financial features are handled similarly to changes in market-index for floating-rate liabilities. Therefore, referencing EIR rules for “markets-driven” variable remunerations, changes in “market index” (e.g., base rate and spread) are reflected by adjusting instruments’ carrying amount calculated by reference to the evolution of the “TLTRO index” and limited to the accrued (to-date) portion19. As a result, TLTRO III effective interest rate ranges: (i) between -0.33% and -0.83% for the €94.3 billion allotment cashed-in during June 2020 (3years funding20); (ii) between -0.50% and -1.00% for the €12.5 billion allotment cashed-in during March 2021 (expected to be almost entirely repaid by June 2022); such effects are coherent with the benchmark achievements for cumulative net lending as at March 2021 and December 2021, as well as current MRO and DFR levels. With reference to 2021, the interest income contribution, related to the total outstanding of €106.8 billion TLTRO funding, is equal to +€893 million (o/w +€366 million from CNL spread additional to “DFR”), including the effects associated to achieving the threshold of outstanding cumulative net lending production. With reference to the special reference period ending on 31 March 2021 the relevant volumes have been submitted to ECB by August 2021, while for the additional reference period ending on 31 December 2021 the relevant volumes will be provided to ECB with the third report not later than 17 May 2022, together with the result of the auditor's evaluation. Tax credits connected with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers The Law Decrees 18/2020 (so-called "Cura Italia") and 34/2020 (so-called "Rilancio"), converted into law No.27 and No.77 of 2020, introduced into the Italian legal system some tax incentive measures related to both investment expenses (e.g., Eco and Sismabonus) and current expenses (e.g., rents for non-residential premises). These incentives that apply to households or businesses, are commensurate with a percentage of the expenditure incurred (which in some cases even reaches 110%) and are disbursed in the form of tax credits or tax deductions (convertible, on option, into tax credits). The holders of these credits, not refundable by the State, can use them to offset taxes and contributions or they can further transfer them (in whole or in part) to third parties. Since the third quarter of 2020 UniCredit S.p.A. launched commercial initiatives aimed at: • providing "bridge" credit facilities subject to the presentation of appropriate documentation proving the intervention and the future generation of tax credit, to support the financial needs related to the cost of the interventions; • simultaneously underwriting commitments related to the purchase of the future tax credit with the associated obligation of the assigning customer to use the amount collected from the transfer of the tax credit to reimburse the granted "bridge" loan; • directly purchasing tax credits from assignors who do not require any "bridge" loan. Starting from the second quarter of 2021 indirect purchases of Tax Credit has been exploited through fully consolidated Italian Securitization SPVs, incorporated under Law 130/99, to manage CIB clients network financing needs. The specific features of these tax credits are such that these assets are not in the scope of international accounting standards IAS/IFRS. Therefore, the paragraph of IAS821 is applied, requiring the management to define an accounting policy suitable for providing relevant and reliable information. In accordance with the paper published by the OIC on 17 May 202022 and the Document No.9 jointly published by Banca d’Italia, CONSOB, IVASS on 5 January 202123, it is believed that an accounting model based on IFRS9 is the accounting model more suitable for providing relevant and reliable information. As a result of the above, on initial recognition tax credits are booked among assets in item “130. Other assets" for a value equal to the purchase price, assumed equal to a Level 3 fair value of the fair value hierarchy according to IFRS13. For subsequent measurement, the provisions of IFRS9 relating to the “Held to collect portfolio” are applied for both direct and indirect (through Italian Securitization SPVs) purchases. As a result, these tax credits are measured at amortised costs recognising in the Income statement in item “10. Interest income and similar revenues" the portion -accrued in the period- related to the difference between the value at initial recognition and the value that is expected to be utilised through the offsetting with tax liabilities. The latter value is subject to periodical re-assessment with recognition into income statement, item “10. Interest income and similar revenues” of any write-downs. 19 Similarly, to other “market indexed” variable rate notes. 20 Early termination will result in lower (i.e., more negative) EIR with additional NII effect. 21 IAS8 paragraph 10. 22 “Cessione del credito d’imposta” - Law 17 July 2020 No.77. 23 Accounting treatment of tax credits associated with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale by direct beneficiaries or previous buyers. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 182 2021 Annual Report and Accounts · UniCredit Under the said accounting principle, the interests shall be calculated by using the “effective interest method”, that allocates interests over the application period of the “effective interest rate”. The latter is defined as the rate that discounts estimated future cash flows through the expected life of the financial instruments to the net carrying amount. Accordingly, having introduced a new/prospective “performance-related” remuneration within the ECB, TLTRO “market” specific financial features are handled similarly to changes in market-index for floating-rate liabilities. Therefore, referencing EIR rules for “markets-driven” variable remunerations, changes in “market index” (e.g., base rate and spread) are reflected by adjusting instruments’ carrying amount calculated by reference to the evolution of the “TLTRO index” and limited to the accrued (to-date) portion19. As a result, TLTRO III effective interest rate ranges: (i) between -0.33% and -0.83% for the €94.3 billion allotment cashed-in during June 2020 (3years funding20); (ii) between -0.50% and -1.00% for the €12.5 billion allotment cashed-in during March 2021 (expected to be almost entirely repaid by June 2022); such effects are coherent with the benchmark achievements for cumulative net lending as at March 2021 and December 2021, as well as current MRO and DFR levels. With reference to 2021, the interest income contribution, related to the total outstanding of €106.8 billion TLTRO funding, is equal to +€893 million (o/w +€366 million from CNL spread additional to “DFR”), including the effects associated to achieving the threshold of outstanding cumulative net lending production. With reference to the special reference period ending on 31 March 2021 the relevant volumes have been submitted to ECB by August 2021, while for the additional reference period ending on 31 December 2021 the relevant volumes will be provided to ECB with the third report not later than 17 May 2022, together with the result of the auditor's evaluation. Tax credits connected with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers The Law Decrees 18/2020 (so-called "Cura Italia") and 34/2020 (so-called "Rilancio"), converted into law No.27 and No.77 of 2020, introduced into the Italian legal system some tax incentive measures related to both investment expenses (e.g., Eco and Sismabonus) and current expenses (e.g., rents for non-residential premises). These incentives that apply to households or businesses, are commensurate with a percentage of the expenditure incurred (which in some cases even reaches 110%) and are disbursed in the form of tax credits or tax deductions (convertible, on option, into tax credits). The holders of these credits, not refundable by the State, can use them to offset taxes and contributions or they can further transfer them (in whole or in part) to third parties. Since the third quarter of 2020 UniCredit S.p.A. launched commercial initiatives aimed at: • providing "bridge" credit facilities subject to the presentation of appropriate documentation proving the intervention and the future generation of tax credit, to support the financial needs related to the cost of the interventions; • simultaneously underwriting commitments related to the purchase of the future tax credit with the associated obligation of the assigning customer to use the amount collected from the transfer of the tax credit to reimburse the granted "bridge" loan; • directly purchasing tax credits from assignors who do not require any "bridge" loan. Starting from the second quarter of 2021 indirect purchases of Tax Credit has been exploited through fully consolidated Italian Securitization SPVs, incorporated under Law 130/99, to manage CIB clients network financing needs. The specific features of these tax credits are such that these assets are not in the scope of international accounting standards IAS/IFRS. Therefore, the paragraph of IAS821 is applied, requiring the management to define an accounting policy suitable for providing relevant and reliable information. In accordance with the paper published by the OIC on 17 May 202022 and the Document No.9 jointly published by Banca d’Italia, CONSOB, IVASS on 5 January 202123, it is believed that an accounting model based on IFRS9 is the accounting model more suitable for providing relevant and reliable information. As a result of the above, on initial recognition tax credits are booked among assets in item “130. Other assets" for a value equal to the purchase price, assumed equal to a Level 3 fair value of the fair value hierarchy according to IFRS13. For subsequent measurement, the provisions of IFRS9 relating to the “Held to collect portfolio” are applied for both direct and indirect (through Italian Securitization SPVs) purchases. As a result, these tax credits are measured at amortised costs recognising in the Income statement in item “10. Interest income and similar revenues" the portion -accrued in the period- related to the difference between the value at initial recognition and the value that is expected to be utilised through the offsetting with tax liabilities. The latter value is subject to periodical re-assessment with recognition into income statement, item “10. Interest income and similar revenues” of any write-downs. 19 Similarly, to other “market indexed” variable rate notes. 20 Early termination will result in lower (i.e., more negative) EIR with additional NII effect. 21 IAS8 paragraph 10. 22 “Cessione del credito d’imposta” - Law 17 July 2020 No.77. 23 Accounting treatment of tax credits associated with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale by direct beneficiaries or previous buyers. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 183 As of 31 December 2021, no write-downs have been recognised and the tax credit presented in “Other assets” amounts to €337 million. The commitments connected with the purchase of the future tax credit are recognised, for a value equal to the price that will be paid when the commitment will be used by the customer, among "Other commitments" (€490 million as of 31 December 2021), and were evaluated in relation to their effectively offset value resulting in no need for write-downs, that, if existing, are recognised in Income statement under item “200. Net provisions for risks and charges”. For the sake of completeness, it should be noted that against credit facilities for €325 million, as of 31 December 2021 bridge loans equal to €183 million has been recognised among financial instruments measured at amortised cost, according to the ordinary provisions of IFRS9. Interbank Offered Rates (IBORs) transition Following the concerns raised about the integrity and reliability of major financial market benchmarks the Financial Stability Board (FSB) started a comprehensive reference rates reform. In order to assess the relevant risks associated with the benchmark reforms and taking appropriate actions to ensure an adequate transition to alternative or reformed benchmark rates ahead of the deadline of the end of 2021 specified in the revised EU Benchmark Regulation (BMR), UniCredit group launched in October 2018 a Group wide project in order to manage the IBORs discontinuation with a multiyear roadmap defined based on both Group exposure (mainly focused on Euro) and transition timeline. It is worth to mention that the “European Working Groups on Euro Risk-Free Rates” issued its recommendations on Euribor fallbacks and cessation triggers while other international working groups and bodies (e.g., International Swaps and Derivatives Association - ISDA; ICE Benchmark Administration - IBA; London Clearing House - LCH) issued recommendations, focused on LIBOR discontinuation, that will be taken into account while envisaging market practices to consider on transition. At the same time Benchmark Regulation has been amended in order to allow the EU Commission to provide for statutory replacement rates (to be defined after a public consultation and applicable to contracts lacking a suitable fallback provision in case of the cessation of the benchmark rate agreed by the parties), while the other mainly involved international market authorities (e.g., Financial Conduct Authority and Bank of England in the UK, New York State Department of Financial Services in the US) are defining possible amendments to the applicable laws in order to support a smooth transition. Such discussions and consultation outcomes, while aimed to bring further stability in the market and reduce conduct risk, still represent source of possible uncertainty, with reference to the timing and/or fallback rules applied to outstanding stock of assets, liability and derivatives linked to other IBOR agreements (yet to be transformed or transitioned). On 5 March 2021, the Financial Conduct Authority (FCA) in its capacity as LIBOR regulator announced that LIBOR settings process will not be available (ceased to be provided or no longer representative) according with the below discontinuation path: • immediately after 31 December 2021, in the case of all Sterling, Euro, Swiss Franc and Japanese Yen settings, and the 1-week and 2-month US Dollar settings; and • immediately after 30 June 2023, in the case of the remaining US Dollar settings. ISDA echoed on the same day, stating that the FCA announcement constituted a trigger event under the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment on relevant derivatives (also applicable on cash instrument considering the recommendations of major national working group), is fixed starting from the same day for all Euro, Sterling, Swiss Franc, US Dollar and Japanese Yen LIBOR settings. In order to avoid disruption to legacy contracts that reference the 1,3 and 6-month GBP and JPY Libor, the FCA deliberate for the publication under a changed methodology basis (also known as 'synthetic'), until end of 2022, of the mentioned 6 Libor settings made available by IBA for use in legacy contracts other than cleared derivatives. Synthetic settings availability provides some relief on LIBOR contracts repapering effort (in particular for contracts subject to UK law). The European Commission adopted an Implementing Act of the BMR that has been published in the Official Journal of the European Union on 22 October 2021; the Implementing Act provides legal ground for a Statutory Replacement Rate for legacy contracts indexed to CHF LIBOR and EONIA that have not yet been repapered or do not contain adequate fallback rates. Such a replacement rate operating by law brought further stability in the market and reduced the conduct risk associated with the outstanding stock of assets, liabilities and derivatives transformed or transitioned or yet to be transformed or transitioned. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 183 As of 31 December 2021, no write-downs have been recognised and the tax credit presented in “Other assets” amounts to €337 million. The commitments connected with the purchase of the future tax credit are recognised, for a value equal to the price that will be paid when the commitment will be used by the customer, among "Other commitments" (€490 million as of 31 December 2021), and were evaluated in relation to their effectively offset value resulting in no need for write-downs, that, if existing, are recognised in Income statement under item “200. Net provisions for risks and charges”. For the sake of completeness, it should be noted that against credit facilities for €325 million, as of 31 December 2021 bridge loans equal to €183 million has been recognised among financial instruments measured at amortised cost, according to the ordinary provisions of IFRS9. Interbank Offered Rates (IBORs) transition Following the concerns raised about the integrity and reliability of major financial market benchmarks the Financial Stability Board (FSB) started a comprehensive reference rates reform. In order to assess the relevant risks associated with the benchmark reforms and taking appropriate actions to ensure an adequate transition to alternative or reformed benchmark rates ahead of the deadline of the end of 2021 specified in the revised EU Benchmark Regulation (BMR), UniCredit group launched in October 2018 a Group wide project in order to manage the IBORs discontinuation with a multiyear roadmap defined based on both Group exposure (mainly focused on Euro) and transition timeline. It is worth to mention that the “European Working Groups on Euro Risk-Free Rates” issued its recommendations on Euribor fallbacks and cessation triggers while other international working groups and bodies (e.g., International Swaps and Derivatives Association - ISDA; ICE Benchmark Administration - IBA; London Clearing House - LCH) issued recommendations, focused on LIBOR discontinuation, that will be taken into account while envisaging market practices to consider on transition. At the same time Benchmark Regulation has been amended in order to allow the EU Commission to provide for statutory replacement rates (to be defined after a public consultation and applicable to contracts lacking a suitable fallback provision in case of the cessation of the benchmark rate agreed by the parties), while the other mainly involved international market authorities (e.g., Financial Conduct Authority and Bank of England in the UK, New York State Department of Financial Services in the US) are defining possible amendments to the applicable laws in order to support a smooth transition. Such discussions and consultation outcomes, while aimed to bring further stability in the market and reduce conduct risk, still represent source of possible uncertainty, with reference to the timing and/or fallback rules applied to outstanding stock of assets, liability and derivatives linked to other IBOR agreements (yet to be transformed or transitioned). On 5 March 2021, the Financial Conduct Authority (FCA) in its capacity as LIBOR regulator announced that LIBOR settings process will not be available (ceased to be provided or no longer representative) according with the below discontinuation path: • immediately after 31 December 2021, in the case of all Sterling, Euro, Swiss Franc and Japanese Yen settings, and the 1-week and 2-month US Dollar settings; and • immediately after 30 June 2023, in the case of the remaining US Dollar settings. ISDA echoed on the same day, stating that the FCA announcement constituted a trigger event under the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment on relevant derivatives (also applicable on cash instrument considering the recommendations of major national working group), is fixed starting from the same day for all Euro, Sterling, Swiss Franc, US Dollar and Japanese Yen LIBOR settings. In order to avoid disruption to legacy contracts that reference the 1,3 and 6-month GBP and JPY Libor, the FCA deliberate for the publication under a changed methodology basis (also known as 'synthetic'), until end of 2022, of the mentioned 6 Libor settings made available by IBA for use in legacy contracts other than cleared derivatives. Synthetic settings availability provides some relief on LIBOR contracts repapering effort (in particular for contracts subject to UK law). The European Commission adopted an Implementing Act of the BMR that has been published in the Official Journal of the European Union on 22 October 2021; the Implementing Act provides legal ground for a Statutory Replacement Rate for legacy contracts indexed to CHF LIBOR and EONIA that have not yet been repapered or do not contain adequate fallback rates. Such a replacement rate operating by law brought further stability in the market and reduced the conduct risk associated with the outstanding stock of assets, liabilities and derivatives transformed or transitioned or yet to be transformed or transitioned. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 183 As of 31 December 2021, no write-downs have been recognised and the tax credit presented in “Other assets” amounts to €337 million. The commitments connected with the purchase of the future tax credit are recognised, for a value equal to the price that will be paid when the commitment will be used by the customer, among "Other commitments" (€490 million as of 31 December 2021), and were evaluated in relation to their effectively offset value resulting in no need for write-downs, that, if existing, are recognised in Income statement under item “200. Net provisions for risks and charges”. For the sake of completeness, it should be noted that against credit facilities for €325 million, as of 31 December 2021 bridge loans equal to €183 million has been recognised among financial instruments measured at amortised cost, according to the ordinary provisions of IFRS9. Interbank Offered Rates (IBORs) transition Following the concerns raised about the integrity and reliability of major financial market benchmarks the Financial Stability Board (FSB) started a comprehensive reference rates reform. In order to assess the relevant risks associated with the benchmark reforms and taking appropriate actions to ensure an adequate transition to alternative or reformed benchmark rates ahead of the deadline of the end of 2021 specified in the revised EU Benchmark Regulation (BMR), UniCredit group launched in October 2018 a Group wide project in order to manage the IBORs discontinuation with a multiyear roadmap defined based on both Group exposure (mainly focused on Euro) and transition timeline. It is worth to mention that the “European Working Groups on Euro Risk-Free Rates” issued its recommendations on Euribor fallbacks and cessation triggers while other international working groups and bodies (e.g., International Swaps and Derivatives Association - ISDA; ICE Benchmark Administration - IBA; London Clearing House - LCH) issued recommendations, focused on LIBOR discontinuation, that will be taken into account while envisaging market practices to consider on transition. At the same time Benchmark Regulation has been amended in order to allow the EU Commission to provide for statutory replacement rates (to be defined after a public consultation and applicable to contracts lacking a suitable fallback provision in case of the cessation of the benchmark rate agreed by the parties), while the other mainly involved international market authorities (e.g., Financial Conduct Authority and Bank of England in the UK, New York State Department of Financial Services in the US) are defining possible amendments to the applicable laws in order to support a smooth transition. Such discussions and consultation outcomes, while aimed to bring further stability in the market and reduce conduct risk, still represent source of possible uncertainty, with reference to the timing and/or fallback rules applied to outstanding stock of assets, liability and derivatives linked to other IBOR agreements (yet to be transformed or transitioned). On 5 March 2021, the Financial Conduct Authority (FCA) in its capacity as LIBOR regulator announced that LIBOR settings process will not be available (ceased to be provided or no longer representative) according with the below discontinuation path: • immediately after 31 December 2021, in the case of all Sterling, Euro, Swiss Franc and Japanese Yen settings, and the 1-week and 2-month US Dollar settings; and • immediately after 30 June 2023, in the case of the remaining US Dollar settings. ISDA echoed on the same day, stating that the FCA announcement constituted a trigger event under the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment on relevant derivatives (also applicable on cash instrument considering the recommendations of major national working group), is fixed starting from the same day for all Euro, Sterling, Swiss Franc, US Dollar and Japanese Yen LIBOR settings. In order to avoid disruption to legacy contracts that reference the 1,3 and 6-month GBP and JPY Libor, the FCA deliberate for the publication under a changed methodology basis (also known as 'synthetic'), until end of 2022, of the mentioned 6 Libor settings made available by IBA for use in legacy contracts other than cleared derivatives. Synthetic settings availability provides some relief on LIBOR contracts repapering effort (in particular for contracts subject to UK law). The European Commission adopted an Implementing Act of the BMR that has been published in the Official Journal of the European Union on 22 October 2021; the Implementing Act provides legal ground for a Statutory Replacement Rate for legacy contracts indexed to CHF LIBOR and EONIA that have not yet been repapered or do not contain adequate fallback rates. Such a replacement rate operating by law brought further stability in the market and reduced the conduct risk associated with the outstanding stock of assets, liabilities and derivatives transformed or transitioned or yet to be transformed or transitioned. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 183 As of 31 December 2021, no write-downs have been recognised and the tax credit presented in “Other assets” amounts to €337 million. The commitments connected with the purchase of the future tax credit are recognised, for a value equal to the price that will be paid when the commitment will be used by the customer, among "Other commitments" (€490 million as of 31 December 2021), and were evaluated in relation to their effectively offset value resulting in no need for write-downs, that, if existing, are recognised in Income statement under item “200. Net provisions for risks and charges”. For the sake of completeness, it should be noted that against credit facilities for €325 million, as of 31 December 2021 bridge loans equal to €183 million has been recognised among financial instruments measured at amortised cost, according to the ordinary provisions of IFRS9. Interbank Offered Rates (IBORs) transition Following the concerns raised about the integrity and reliability of major financial market benchmarks the Financial Stability Board (FSB) started a comprehensive reference rates reform. In order to assess the relevant risks associated with the benchmark reforms and taking appropriate actions to ensure an adequate transition to alternative or reformed benchmark rates ahead of the deadline of the end of 2021 specified in the revised EU Benchmark Regulation (BMR), UniCredit group launched in October 2018 a Group wide project in order to manage the IBORs discontinuation with a multiyear roadmap defined based on both Group exposure (mainly focused on Euro) and transition timeline. It is worth to mention that the “European Working Groups on Euro Risk-Free Rates” issued its recommendations on Euribor fallbacks and cessation triggers while other international working groups and bodies (e.g., International Swaps and Derivatives Association - ISDA; ICE Benchmark Administration - IBA; London Clearing House - LCH) issued recommendations, focused on LIBOR discontinuation, that will be taken into account while envisaging market practices to consider on transition. At the same time Benchmark Regulation has been amended in order to allow the EU Commission to provide for statutory replacement rates (to be defined after a public consultation and applicable to contracts lacking a suitable fallback provision in case of the cessation of the benchmark rate agreed by the parties), while the other mainly involved international market authorities (e.g., Financial Conduct Authority and Bank of England in the UK, New York State Department of Financial Services in the US) are defining possible amendments to the applicable laws in order to support a smooth transition. Such discussions and consultation outcomes, while aimed to bring further stability in the market and reduce conduct risk, still represent source of possible uncertainty, with reference to the timing and/or fallback rules applied to outstanding stock of assets, liability and derivatives linked to other IBOR agreements (yet to be transformed or transitioned). On 5 March 2021, the Financial Conduct Authority (FCA) in its capacity as LIBOR regulator announced that LIBOR settings process will not be available (ceased to be provided or no longer representative) according with the below discontinuation path: • immediately after 31 December 2021, in the case of all Sterling, Euro, Swiss Franc and Japanese Yen settings, and the 1-week and 2-month US Dollar settings; and • immediately after 30 June 2023, in the case of the remaining US Dollar settings. ISDA echoed on the same day, stating that the FCA announcement constituted a trigger event under the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment on relevant derivatives (also applicable on cash instrument considering the recommendations of major national working group), is fixed starting from the same day for all Euro, Sterling, Swiss Franc, US Dollar and Japanese Yen LIBOR settings. In order to avoid disruption to legacy contracts that reference the 1,3 and 6-month GBP and JPY Libor, the FCA deliberate for the publication under a changed methodology basis (also known as 'synthetic'), until end of 2022, of the mentioned 6 Libor settings made available by IBA for use in legacy contracts other than cleared derivatives. Synthetic settings availability provides some relief on LIBOR contracts repapering effort (in particular for contracts subject to UK law). The European Commission adopted an Implementing Act of the BMR that has been published in the Official Journal of the European Union on 22 October 2021; the Implementing Act provides legal ground for a Statutory Replacement Rate for legacy contracts indexed to CHF LIBOR and EONIA that have not yet been repapered or do not contain adequate fallback rates. Such a replacement rate operating by law brought further stability in the market and reduced the conduct risk associated with the outstanding stock of assets, liabilities and derivatives transformed or transitioned or yet to be transformed or transitioned. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 183 As of 31 December 2021, no write-downs have been recognised and the tax credit presented in “Other assets” amounts to €337 million. The commitments connected with the purchase of the future tax credit are recognised, for a value equal to the price that will be paid when the commitment will be used by the customer, among "Other commitments" (€490 million as of 31 December 2021), and were evaluated in relation to their effectively offset value resulting in no need for write-downs, that, if existing, are recognised in Income statement under item “200. Net provisions for risks and charges”. For the sake of completeness, it should be noted that against credit facilities for €325 million, as of 31 December 2021 bridge loans equal to €183 million has been recognised among financial instruments measured at amortised cost, according to the ordinary provisions of IFRS9. Interbank Offered Rates (IBORs) transition Following the concerns raised about the integrity and reliability of major financial market benchmarks the Financial Stability Board (FSB) started a comprehensive reference rates reform. In order to assess the relevant risks associated with the benchmark reforms and taking appropriate actions to ensure an adequate transition to alternative or reformed benchmark rates ahead of the deadline of the end of 2021 specified in the revised EU Benchmark Regulation (BMR), UniCredit group launched in October 2018 a Group wide project in order to manage the IBORs discontinuation with a multiyear roadmap defined based on both Group exposure (mainly focused on Euro) and transition timeline. It is worth to mention that the “European Working Groups on Euro Risk-Free Rates” issued its recommendations on Euribor fallbacks and cessation triggers while other international working groups and bodies (e.g., International Swaps and Derivatives Association - ISDA; ICE Benchmark Administration - IBA; London Clearing House - LCH) issued recommendations, focused on LIBOR discontinuation, that will be taken into account while envisaging market practices to consider on transition. At the same time Benchmark Regulation has been amended in order to allow the EU Commission to provide for statutory replacement rates (to be defined after a public consultation and applicable to contracts lacking a suitable fallback provision in case of the cessation of the benchmark rate agreed by the parties), while the other mainly involved international market authorities (e.g., Financial Conduct Authority and Bank of England in the UK, New York State Department of Financial Services in the US) are defining possible amendments to the applicable laws in order to support a smooth transition. Such discussions and consultation outcomes, while aimed to bring further stability in the market and reduce conduct risk, still represent source of possible uncertainty, with reference to the timing and/or fallback rules applied to outstanding stock of assets, liability and derivatives linked to other IBOR agreements (yet to be transformed or transitioned). On 5 March 2021, the Financial Conduct Authority (FCA) in its capacity as LIBOR regulator announced that LIBOR settings process will not be available (ceased to be provided or no longer representative) according with the below discontinuation path: • immediately after 31 December 2021, in the case of all Sterling, Euro, Swiss Franc and Japanese Yen settings, and the 1-week and 2-month US Dollar settings; and • immediately after 30 June 2023, in the case of the remaining US Dollar settings. ISDA echoed on the same day, stating that the FCA announcement constituted a trigger event under the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment on relevant derivatives (also applicable on cash instrument considering the recommendations of major national working group), is fixed starting from the same day for all Euro, Sterling, Swiss Franc, US Dollar and Japanese Yen LIBOR settings. In order to avoid disruption to legacy contracts that reference the 1,3 and 6-month GBP and JPY Libor, the FCA deliberate for the publication under a changed methodology basis (also known as 'synthetic'), until end of 2022, of the mentioned 6 Libor settings made available by IBA for use in legacy contracts other than cleared derivatives. Synthetic settings availability provides some relief on LIBOR contracts repapering effort (in particular for contracts subject to UK law). The European Commission adopted an Implementing Act of the BMR that has been published in the Official Journal of the European Union on 22 October 2021; the Implementing Act provides legal ground for a Statutory Replacement Rate for legacy contracts indexed to CHF LIBOR and EONIA that have not yet been repapered or do not contain adequate fallback rates. Such a replacement rate operating by law brought further stability in the market and reduced the conduct risk associated with the outstanding stock of assets, liabilities and derivatives transformed or transitioned or yet to be transformed or transitioned. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 184 2021 Annual Report and Accounts · UniCredit In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform on existing accounting hedge relationships the “Amendments to IFRS9, IAS39 and IFRS7 Interest Rate Benchmark Reform” (the Amendment) clarifies that the reform does not require to terminate such hedge relationships, whose volume as of 31 December 2021 is presented below: Hedging contracts: notional amount(*) (€ million) INDEX HEDGING RELATIONSHIP HEDGED ITEMS LIBOR USD LIBOR JPY LIBOR OTHER CURRENCIES OTHERS Fair value Assets 16,325 6,191 223 - Liabilities 29,923 5,085 87 - Cash flows Assets 17,783 3,767 194 - Liabilities 6,913 696 97 - Total 70,944 15,739 601 - Note: (*) Double-entry method when relevant. In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform IASB issued “Interest Rates benchmark Reform - Phase 2; Amendments to IFRS9, IAS39 and IFRS7” including indications to manage changes in financial instruments that are directly required by the Reform and providing for (i) exceptions to standard rules dealing with accounting for changes of the contractual cash flows of assets and liabilities and (ii) reliefs from discontinuing hedge relationships. As long as contractual terms (i) are amended as a direct consequence of interest rate benchmark reform and (ii) the new basis (to determine the contractual cash flows) is economically equivalent to the previous basis24, they will be treated as changes to a floating interest rate arising from movement in the market rate of interest (meaning the EIR will be updated prospectively without adjusting the carrying amount)25. Similarly, the Amendments requires an assessment whether a modification of a financial instruments might lead to its derecognition (i.e. when the modification results in a “substantial change” in the expected cash flows) to be applied only to changes beyond those resulting from the market-wide reforms of an interest rate benchmark26. As a result, changes that do qualify for the practical expedient will not be regarded as sufficiently substantial that the instrument would be derecognised and, consequently, IFRS9 classification requirements (to be run at initial recognition of a financial assets, including SPPI test) doesn’t have to be conducted. The major relief Amendments introduces in respect of hedge relationships is that changes to the documentation do not result in the discontinuation of hedge accounting nor (in) the designation of a new hedge relationship as long as it only refer to designating an alternative benchmark rate as the hedged risk, or amending the description (i) of the hedged item/portion of the cashflows or fair value being hedged, (ii) of the hedging instruments or (iii) how the entity will assess hedge effectiveness27 as a consequences of changes to hedged and hedging instruments induced by the Reform (including the addition of a fixed spread to compensate for the basis difference). 24 Including replacement of the benchmark, addition of a fixed spread to compensate for the “basis difference” among former and new benchmark duration, and changes to the reset period, reset dates or the number of days between coupon payment dates, addition of a fallback provision. 25 Ref. IFRS9.5.4.7-8. 26 Ref. IFRS9.5.4.9. 27 Ref. IFRS9.6.9.1, IAS39.102P. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 184 2021 Annual Report and Accounts · UniCredit In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform on existing accounting hedge relationships the “Amendments to IFRS9, IAS39 and IFRS7 Interest Rate Benchmark Reform” (the Amendment) clarifies that the reform does not require to terminate such hedge relationships, whose volume as of 31 December 2021 is presented below: Hedging contracts: notional amount(*) (€ million) INDEX HEDGING RELATIONSHIP HEDGED ITEMS LIBOR USD LIBOR JPY LIBOR OTHER CURRENCIES OTHERS Fair value Assets 16,325 6,191 223 - Liabilities 29,923 5,085 87 - Cash flows Assets 17,783 3,767 194 - Liabilities 6,913 696 97 - Total 70,944 15,739 601 - Note: (*) Double-entry method when relevant. In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform IASB issued “Interest Rates benchmark Reform - Phase 2; Amendments to IFRS9, IAS39 and IFRS7” including indications to manage changes in financial instruments that are directly required by the Reform and providing for (i) exceptions to standard rules dealing with accounting for changes of the contractual cash flows of assets and liabilities and (ii) reliefs from discontinuing hedge relationships. As long as contractual terms (i) are amended as a direct consequence of interest rate benchmark reform and (ii) the new basis (to determine the contractual cash flows) is economically equivalent to the previous basis24, they will be treated as changes to a floating interest rate arising from movement in the market rate of interest (meaning the EIR will be updated prospectively without adjusting the carrying amount)25. Similarly, the Amendments requires an assessment whether a modification of a financial instruments might lead to its derecognition (i.e. when the modification results in a “substantial change” in the expected cash flows) to be applied only to changes beyond those resulting from the market-wide reforms of an interest rate benchmark26. As a result, changes that do qualify for the practical expedient will not be regarded as sufficiently substantial that the instrument would be derecognised and, consequently, IFRS9 classification requirements (to be run at initial recognition of a financial assets, including SPPI test) doesn’t have to be conducted. The major relief Amendments introduces in respect of hedge relationships is that changes to the documentation do not result in the discontinuation of hedge accounting nor (in) the designation of a new hedge relationship as long as it only refer to designating an alternative benchmark rate as the hedged risk, or amending the description (i) of the hedged item/portion of the cashflows or fair value being hedged, (ii) of the hedging instruments or (iii) how the entity will assess hedge effectiveness27 as a consequences of changes to hedged and hedging instruments induced by the Reform (including the addition of a fixed spread to compensate for the basis difference). 24 Including replacement of the benchmark, addition of a fixed spread to compensate for the “basis difference” among former and new benchmark duration, and changes to the reset period, reset dates or the number of days between coupon payment dates, addition of a fallback provision. 25 Ref. IFRS9.5.4.7-8. 26 Ref. IFRS9.5.4.9. 27 Ref. IFRS9.6.9.1, IAS39.102P. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 184 2021 Annual Report and Accounts · UniCredit In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform on existing accounting hedge relationships the “Amendments to IFRS9, IAS39 and IFRS7 Interest Rate Benchmark Reform” (the Amendment) clarifies that the reform does not require to terminate such hedge relationships, whose volume as of 31 December 2021 is presented below: Hedging contracts: notional amount(*) (€ million) INDEX HEDGING RELATIONSHIP HEDGED ITEMS LIBOR USD LIBOR JPY LIBOR OTHER CURRENCIES OTHERS Fair value Assets 16,325 6,191 223 - Liabilities 29,923 5,085 87 - Cash flows Assets 17,783 3,767 194 - Liabilities 6,913 696 97 - Total 70,944 15,739 601 - Note: (*) Double-entry method when relevant. In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform IASB issued “Interest Rates benchmark Reform - Phase 2; Amendments to IFRS9, IAS39 and IFRS7” including indications to manage changes in financial instruments that are directly required by the Reform and providing for (i) exceptions to standard rules dealing with accounting for changes of the contractual cash flows of assets and liabilities and (ii) reliefs from discontinuing hedge relationships. As long as contractual terms (i) are amended as a direct consequence of interest rate benchmark reform and (ii) the new basis (to determine the contractual cash flows) is economically equivalent to the previous basis24, they will be treated as changes to a floating interest rate arising from movement in the market rate of interest (meaning the EIR will be updated prospectively without adjusting the carrying amount)25. Similarly, the Amendments requires an assessment whether a modification of a financial instruments might lead to its derecognition (i.e. when the modification results in a “substantial change” in the expected cash flows) to be applied only to changes beyond those resulting from the market-wide reforms of an interest rate benchmark26. As a result, changes that do qualify for the practical expedient will not be regarded as sufficiently substantial that the instrument would be derecognised and, consequently, IFRS9 classification requirements (to be run at initial recognition of a financial assets, including SPPI test) doesn’t have to be conducted. The major relief Amendments introduces in respect of hedge relationships is that changes to the documentation do not result in the discontinuation of hedge accounting nor (in) the designation of a new hedge relationship as long as it only refer to designating an alternative benchmark rate as the hedged risk, or amending the description (i) of the hedged item/portion of the cashflows or fair value being hedged, (ii) of the hedging instruments or (iii) how the entity will assess hedge effectiveness27 as a consequences of changes to hedged and hedging instruments induced by the Reform (including the addition of a fixed spread to compensate for the basis difference). 24 Including replacement of the benchmark, addition of a fixed spread to compensate for the “basis difference” among former and new benchmark duration, and changes to the reset period, reset dates or the number of days between coupon payment dates, addition of a fallback provision. 25 Ref. IFRS9.5.4.7-8. 26 Ref. IFRS9.5.4.9. 27 Ref. IFRS9.6.9.1, IAS39.102P. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 184 2021 Annual Report and Accounts · UniCredit In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform on existing accounting hedge relationships the “Amendments to IFRS9, IAS39 and IFRS7 Interest Rate Benchmark Reform” (the Amendment) clarifies that the reform does not require to terminate such hedge relationships, whose volume as of 31 December 2021 is presented below: Hedging contracts: notional amount(*) (€ million) INDEX HEDGING RELATIONSHIP HEDGED ITEMS LIBOR USD LIBOR JPY LIBOR OTHER CURRENCIES OTHERS Fair value Assets 16,325 6,191 223 - Liabilities 29,923 5,085 87 - Cash flows Assets 17,783 3,767 194 - Liabilities 6,913 696 97 - Total 70,944 15,739 601 - Note: (*) Double-entry method when relevant. In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform IASB issued “Interest Rates benchmark Reform - Phase 2; Amendments to IFRS9, IAS39 and IFRS7” including indications to manage changes in financial instruments that are directly required by the Reform and providing for (i) exceptions to standard rules dealing with accounting for changes of the contractual cash flows of assets and liabilities and (ii) reliefs from discontinuing hedge relationships. As long as contractual terms (i) are amended as a direct consequence of interest rate benchmark reform and (ii) the new basis (to determine the contractual cash flows) is economically equivalent to the previous basis24, they will be treated as changes to a floating interest rate arising from movement in the market rate of interest (meaning the EIR will be updated prospectively without adjusting the carrying amount)25. Similarly, the Amendments requires an assessment whether a modification of a financial instruments might lead to its derecognition (i.e. when the modification results in a “substantial change” in the expected cash flows) to be applied only to changes beyond those resulting from the market-wide reforms of an interest rate benchmark26. As a result, changes that do qualify for the practical expedient will not be regarded as sufficiently substantial that the instrument would be derecognised and, consequently, IFRS9 classification requirements (to be run at initial recognition of a financial assets, including SPPI test) doesn’t have to be conducted. The major relief Amendments introduces in respect of hedge relationships is that changes to the documentation do not result in the discontinuation of hedge accounting nor (in) the designation of a new hedge relationship as long as it only refer to designating an alternative benchmark rate as the hedged risk, or amending the description (i) of the hedged item/portion of the cashflows or fair value being hedged, (ii) of the hedging instruments or (iii) how the entity will assess hedge effectiveness27 as a consequences of changes to hedged and hedging instruments induced by the Reform (including the addition of a fixed spread to compensate for the basis difference). 24 Including replacement of the benchmark, addition of a fixed spread to compensate for the “basis difference” among former and new benchmark duration, and changes to the reset period, reset dates or the number of days between coupon payment dates, addition of a fallback provision. 25 Ref. IFRS9.5.4.7-8. 26 Ref. IFRS9.5.4.9. 27 Ref. IFRS9.6.9.1, IAS39.102P. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 184 2021 Annual Report and Accounts · UniCredit In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform on existing accounting hedge relationships the “Amendments to IFRS9, IAS39 and IFRS7 Interest Rate Benchmark Reform” (the Amendment) clarifies that the reform does not require to terminate such hedge relationships, whose volume as of 31 December 2021 is presented below: Hedging contracts: notional amount(*) (€ million) INDEX HEDGING RELATIONSHIP HEDGED ITEMS LIBOR USD LIBOR JPY LIBOR OTHER CURRENCIES OTHERS Fair value Assets 16,325 6,191 223 - Liabilities 29,923 5,085 87 - Cash flows Assets 17,783 3,767 194 - Liabilities 6,913 696 97 - Total 70,944 15,739 601 - Note: (*) Double-entry method when relevant. In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform IASB issued “Interest Rates benchmark Reform - Phase 2; Amendments to IFRS9, IAS39 and IFRS7” including indications to manage changes in financial instruments that are directly required by the Reform and providing for (i) exceptions to standard rules dealing with accounting for changes of the contractual cash flows of assets and liabilities and (ii) reliefs from discontinuing hedge relationships. As long as contractual terms (i) are amended as a direct consequence of interest rate benchmark reform and (ii) the new basis (to determine the contractual cash flows) is economically equivalent to the previous basis24, they will be treated as changes to a floating interest rate arising from movement in the market rate of interest (meaning the EIR will be updated prospectively without adjusting the carrying amount)25. Similarly, the Amendments requires an assessment whether a modification of a financial instruments might lead to its derecognition (i.e. when the modification results in a “substantial change” in the expected cash flows) to be applied only to changes beyond those resulting from the market-wide reforms of an interest rate benchmark26. As a result, changes that do qualify for the practical expedient will not be regarded as sufficiently substantial that the instrument would be derecognised and, consequently, IFRS9 classification requirements (to be run at initial recognition of a financial assets, including SPPI test) doesn’t have to be conducted. The major relief Amendments introduces in respect of hedge relationships is that changes to the documentation do not result in the discontinuation of hedge accounting nor (in) the designation of a new hedge relationship as long as it only refer to designating an alternative benchmark rate as the hedged risk, or amending the description (i) of the hedged item/portion of the cashflows or fair value being hedged, (ii) of the hedging instruments or (iii) how the entity will assess hedge effectiveness27 as a consequences of changes to hedged and hedging instruments induced by the Reform (including the addition of a fixed spread to compensate for the basis difference). 24 Including replacement of the benchmark, addition of a fixed spread to compensate for the “basis difference” among former and new benchmark duration, and changes to the reset period, reset dates or the number of days between coupon payment dates, addition of a fallback provision. 25 Ref. IFRS9.5.4.7-8. 26 Ref. IFRS9.5.4.9. 27 Ref. IFRS9.6.9.1, IAS39.102P. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 185 Volume of financial instruments that have yet to transition to an alternative RFR as at the end of the reporting period are the follow: Financial instruments subject to IBOR reform: contractual/notional amount(*) (€ million) INDEX LIBOR USD LIBOR CHF LIBOR OTHER CURRENCIES OTHERS Total Non-derivative financial assets 16,271 5,157 1,080 - 22,508 Loans&Advances 15,251 5,157 1,042 - 21,450 Securities 1,020 - 38 - 1,058 Non-derivative financial liabilties 2,103 78 59 - 2,240 Deposits 1,559 78 59 - 1,696 Issued securities 544 - - - 544 Derivatives 237,206 4,971 7,945 - 250,122 Note: (*) Figures submitted to KMPs. In order to closely follow the developments on IBORs and to proper manage the transition and the discontinuation impacts, UniCredit group is continuously monitoring the market, also attending the European working groups, the industry working groups (e.g. International Swaps and Derivatives Association - ISDA) and participating to the relevant public consultations. Agreement between UniCredit and SIA In 2016, in the context of the contribution of UniCredit’s card processing business to a newco (“P4cards S.r.l." or “P4C”) purchased by SIA, UniCredit Services (“UCS”) signed a 10-year outsourcing agreement (i.e. until 2026) with P4C and SIA for the provision of card-processing services in Italy, Germany and Austria (“Master Services Agreement” or the “MSA”). On 5 October 2020, UniCredit and SIA announced, through a press release, that they entered into exclusive negotiations about the existing current outsourcing agreement, and its renewal until 2036. The parties further announced their aim to close the transaction binding documents in early 2021. On 12 February 2021, as a follow up, UniCredit and SIA announced the successful revision of the overall terms of their existing business relationships. The key terms, accounting wise, of the new agreement are the following: • agreement to equitably settle their existing discussions on certain circumstances occurred under the existing MSA that in UCS view were inconsistent with its expectations under such MSA (“Settlement Agreement”); • possibility by SIA to unilaterally renew the MSA until 31 December 2036 upon condition that SIA is performing its obligations in full compliance with the MSA (“Renewal interest”); • introduction of a profit-sharing mechanism to be paid to UniCredit Services (UCS) on yearly basis as a reduction of charges subject to the achievement of certain level of yearly actual fees paid to SIA. In light of the above, in February 2021 SIA paid to UCS an amount of €228 million, of which €48 million related to the Settlement Agreement and €180 million related to the Renewal interest. With reference to the Settlement agreement, it settles circumstances occurred in the previous periods and does not remunerate actions or performance to be carried out after the signature; as a result, the related amount of €48 million was recognised during 2021 as Other income. With reference to Renewal interest, the contract envisages the advance payment of €180 million by SIA to UniCredit group, in exchange for the possibility by SIA to decide unilaterally on a yearly basis until 2025, whether extending the contract for the period 2027-2036. In case SIA decides to waive the renewal, the Group shall reimburse SIA for a portion of the €180 million, decreasing in the period 2021-2024 according to the contractual provisions. Therefore, the amount of €180 million, recognised under the item Other Liabilities, is booked through Profit & Loss as Other income in the periods 2021-2024 for the portion, defined by the contract, that shall not be reimbursed to SIA in case it waives its renewal right. Within 2021 the Group has recognised among Other income the amount of €79 million referred to the years 2021 and 2022. The profit-sharing mechanism has been introduced starting from 1 January 2021, and it envisages a reduction of the commission expenses paid by the Group to SIA for an amount calculated on the basis of the positive difference between: (i) the actual yearly revenues generated, and (ii) certain yearly revenues defined by the contract. Accounting-wise, the profit-sharing related amount is recognised in Income statement, as a reduction of fee expenses, when the Group will be entitled to receive the relevant amount as a result of the conditions defined by the contract being met. As at 31 December 2021, reduction of Commission expenses has been recognised for €5 million on the basis of the mentioned profit-sharing mechanism. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 185 Volume of financial instruments that have yet to transition to an alternative RFR as at the end of the reporting period are the follow: Financial instruments subject to IBOR reform: contractual/notional amount(*) (€ million) INDEX LIBOR USD LIBOR CHF LIBOR OTHER CURRENCIES OTHERS Total Non-derivative financial assets 16,271 5,157 1,080 - 22,508 Loans&Advances 15,251 5,157 1,042 - 21,450 Securities 1,020 - 38 - 1,058 Non-derivative financial liabilties 2,103 78 59 - 2,240 Deposits 1,559 78 59 - 1,696 Issued securities 544 - - - 544 Derivatives 237,206 4,971 7,945 - 250,122 Note: (*) Figures submitted to KMPs. In order to closely follow the developments on IBORs and to proper manage the transition and the discontinuation impacts, UniCredit group is continuously monitoring the market, also attending the European working groups, the industry working groups (e.g. International Swaps and Derivatives Association - ISDA) and participating to the relevant public consultations. Agreement between UniCredit and SIA In 2016, in the context of the contribution of UniCredit’s card processing business to a newco (“P4cards S.r.l." or “P4C”) purchased by SIA, UniCredit Services (“UCS”) signed a 10-year outsourcing agreement (i.e. until 2026) with P4C and SIA for the provision of card-processing services in Italy, Germany and Austria (“Master Services Agreement” or the “MSA”). On 5 October 2020, UniCredit and SIA announced, through a press release, that they entered into exclusive negotiations about the existing current outsourcing agreement, and its renewal until 2036. The parties further announced their aim to close the transaction binding documents in early 2021. On 12 February 2021, as a follow up, UniCredit and SIA announced the successful revision of the overall terms of their existing business relationships. The key terms, accounting wise, of the new agreement are the following: • agreement to equitably settle their existing discussions on certain circumstances occurred under the existing MSA that in UCS view were inconsistent with its expectations under such MSA (“Settlement Agreement”); • possibility by SIA to unilaterally renew the MSA until 31 December 2036 upon condition that SIA is performing its obligations in full compliance with the MSA (“Renewal interest”); • introduction of a profit-sharing mechanism to be paid to UniCredit Services (UCS) on yearly basis as a reduction of charges subject to the achievement of certain level of yearly actual fees paid to SIA. In light of the above, in February 2021 SIA paid to UCS an amount of €228 million, of which €48 million related to the Settlement Agreement and €180 million related to the Renewal interest. With reference to the Settlement agreement, it settles circumstances occurred in the previous periods and does not remunerate actions or performance to be carried out after the signature; as a result, the related amount of €48 million was recognised during 2021 as Other income. With reference to Renewal interest, the contract envisages the advance payment of €180 million by SIA to UniCredit group, in exchange for the possibility by SIA to decide unilaterally on a yearly basis until 2025, whether extending the contract for the period 2027-2036. In case SIA decides to waive the renewal, the Group shall reimburse SIA for a portion of the €180 million, decreasing in the period 2021-2024 according to the contractual provisions. Therefore, the amount of €180 million, recognised under the item Other Liabilities, is booked through Profit & Loss as Other income in the periods 2021-2024 for the portion, defined by the contract, that shall not be reimbursed to SIA in case it waives its renewal right. Within 2021 the Group has recognised among Other income the amount of €79 million referred to the years 2021 and 2022. The profit-sharing mechanism has been introduced starting from 1 January 2021, and it envisages a reduction of the commission expenses paid by the Group to SIA for an amount calculated on the basis of the positive difference between: (i) the actual yearly revenues generated, and (ii) certain yearly revenues defined by the contract. Accounting-wise, the profit-sharing related amount is recognised in Income statement, as a reduction of fee expenses, when the Group will be entitled to receive the relevant amount as a result of the conditions defined by the contract being met. As at 31 December 2021, reduction of Commission expenses has been recognised for €5 million on the basis of the mentioned profit-sharing mechanism. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 185 Volume of financial instruments that have yet to transition to an alternative RFR as at the end of the reporting period are the follow: Financial instruments subject to IBOR reform: contractual/notional amount(*) (€ million) INDEX LIBOR USD LIBOR CHF LIBOR OTHER CURRENCIES OTHERS Total Non-derivative financial assets 16,271 5,157 1,080 - 22,508 Loans&Advances 15,251 5,157 1,042 - 21,450 Securities 1,020 - 38 - 1,058 Non-derivative financial liabilties 2,103 78 59 - 2,240 Deposits 1,559 78 59 - 1,696 Issued securities 544 - - - 544 Derivatives 237,206 4,971 7,945 - 250,122 Note: (*) Figures submitted to KMPs. In order to closely follow the developments on IBORs and to proper manage the transition and the discontinuation impacts, UniCredit group is continuously monitoring the market, also attending the European working groups, the industry working groups (e.g. International Swaps and Derivatives Association - ISDA) and participating to the relevant public consultations. Agreement between UniCredit and SIA In 2016, in the context of the contribution of UniCredit’s card processing business to a newco (“P4cards S.r.l." or “P4C”) purchased by SIA, UniCredit Services (“UCS”) signed a 10-year outsourcing agreement (i.e. until 2026) with P4C and SIA for the provision of card-processing services in Italy, Germany and Austria (“Master Services Agreement” or the “MSA”). On 5 October 2020, UniCredit and SIA announced, through a press release, that they entered into exclusive negotiations about the existing current outsourcing agreement, and its renewal until 2036. The parties further announced their aim to close the transaction binding documents in early 2021. On 12 February 2021, as a follow up, UniCredit and SIA announced the successful revision of the overall terms of their existing business relationships. The key terms, accounting wise, of the new agreement are the following: • agreement to equitably settle their existing discussions on certain circumstances occurred under the existing MSA that in UCS view were inconsistent with its expectations under such MSA (“Settlement Agreement”); • possibility by SIA to unilaterally renew the MSA until 31 December 2036 upon condition that SIA is performing its obligations in full compliance with the MSA (“Renewal interest”); • introduction of a profit-sharing mechanism to be paid to UniCredit Services (UCS) on yearly basis as a reduction of charges subject to the achievement of certain level of yearly actual fees paid to SIA. In light of the above, in February 2021 SIA paid to UCS an amount of €228 million, of which €48 million related to the Settlement Agreement and €180 million related to the Renewal interest. With reference to the Settlement agreement, it settles circumstances occurred in the previous periods and does not remunerate actions or performance to be carried out after the signature; as a result, the related amount of €48 million was recognised during 2021 as Other income. With reference to Renewal interest, the contract envisages the advance payment of €180 million by SIA to UniCredit group, in exchange for the possibility by SIA to decide unilaterally on a yearly basis until 2025, whether extending the contract for the period 2027-2036. In case SIA decides to waive the renewal, the Group shall reimburse SIA for a portion of the €180 million, decreasing in the period 2021-2024 according to the contractual provisions. Therefore, the amount of €180 million, recognised under the item Other Liabilities, is booked through Profit & Loss as Other income in the periods 2021-2024 for the portion, defined by the contract, that shall not be reimbursed to SIA in case it waives its renewal right. Within 2021 the Group has recognised among Other income the amount of €79 million referred to the years 2021 and 2022. The profit-sharing mechanism has been introduced starting from 1 January 2021, and it envisages a reduction of the commission expenses paid by the Group to SIA for an amount calculated on the basis of the positive difference between: (i) the actual yearly revenues generated, and (ii) certain yearly revenues defined by the contract. Accounting-wise, the profit-sharing related amount is recognised in Income statement, as a reduction of fee expenses, when the Group will be entitled to receive the relevant amount as a result of the conditions defined by the contract being met. As at 31 December 2021, reduction of Commission expenses has been recognised for €5 million on the basis of the mentioned profit-sharing mechanism. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 185 Volume of financial instruments that have yet to transition to an alternative RFR as at the end of the reporting period are the follow: Financial instruments subject to IBOR reform: contractual/notional amount(*) (€ million) INDEX LIBOR USD LIBOR CHF LIBOR OTHER CURRENCIES OTHERS Total Non-derivative financial assets 16,271 5,157 1,080 - 22,508 Loans&Advances 15,251 5,157 1,042 - 21,450 Securities 1,020 - 38 - 1,058 Non-derivative financial liabilties 2,103 78 59 - 2,240 Deposits 1,559 78 59 - 1,696 Issued securities 544 - - - 544 Derivatives 237,206 4,971 7,945 - 250,122 Note: (*) Figures submitted to KMPs. In order to closely follow the developments on IBORs and to proper manage the transition and the discontinuation impacts, UniCredit group is continuously monitoring the market, also attending the European working groups, the industry working groups (e.g. International Swaps and Derivatives Association - ISDA) and participating to the relevant public consultations. Agreement between UniCredit and SIA In 2016, in the context of the contribution of UniCredit’s card processing business to a newco (“P4cards S.r.l." or “P4C”) purchased by SIA, UniCredit Services (“UCS”) signed a 10-year outsourcing agreement (i.e. until 2026) with P4C and SIA for the provision of card-processing services in Italy, Germany and Austria (“Master Services Agreement” or the “MSA”). On 5 October 2020, UniCredit and SIA announced, through a press release, that they entered into exclusive negotiations about the existing current outsourcing agreement, and its renewal until 2036. The parties further announced their aim to close the transaction binding documents in early 2021. On 12 February 2021, as a follow up, UniCredit and SIA announced the successful revision of the overall terms of their existing business relationships. The key terms, accounting wise, of the new agreement are the following: • agreement to equitably settle their existing discussions on certain circumstances occurred under the existing MSA that in UCS view were inconsistent with its expectations under such MSA (“Settlement Agreement”); • possibility by SIA to unilaterally renew the MSA until 31 December 2036 upon condition that SIA is performing its obligations in full compliance with the MSA (“Renewal interest”); • introduction of a profit-sharing mechanism to be paid to UniCredit Services (UCS) on yearly basis as a reduction of charges subject to the achievement of certain level of yearly actual fees paid to SIA. In light of the above, in February 2021 SIA paid to UCS an amount of €228 million, of which €48 million related to the Settlement Agreement and €180 million related to the Renewal interest. With reference to the Settlement agreement, it settles circumstances occurred in the previous periods and does not remunerate actions or performance to be carried out after the signature; as a result, the related amount of €48 million was recognised during 2021 as Other income. With reference to Renewal interest, the contract envisages the advance payment of €180 million by SIA to UniCredit group, in exchange for the possibility by SIA to decide unilaterally on a yearly basis until 2025, whether extending the contract for the period 2027-2036. In case SIA decides to waive the renewal, the Group shall reimburse SIA for a portion of the €180 million, decreasing in the period 2021-2024 according to the contractual provisions. Therefore, the amount of €180 million, recognised under the item Other Liabilities, is booked through Profit & Loss as Other income in the periods 2021-2024 for the portion, defined by the contract, that shall not be reimbursed to SIA in case it waives its renewal right. Within 2021 the Group has recognised among Other income the amount of €79 million referred to the years 2021 and 2022. The profit-sharing mechanism has been introduced starting from 1 January 2021, and it envisages a reduction of the commission expenses paid by the Group to SIA for an amount calculated on the basis of the positive difference between: (i) the actual yearly revenues generated, and (ii) certain yearly revenues defined by the contract. Accounting-wise, the profit-sharing related amount is recognised in Income statement, as a reduction of fee expenses, when the Group will be entitled to receive the relevant amount as a result of the conditions defined by the contract being met. As at 31 December 2021, reduction of Commission expenses has been recognised for €5 million on the basis of the mentioned profit-sharing mechanism. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 185 Volume of financial instruments that have yet to transition to an alternative RFR as at the end of the reporting period are the follow: Financial instruments subject to IBOR reform: contractual/notional amount(*) (€ million) INDEX LIBOR USD LIBOR CHF LIBOR OTHER CURRENCIES OTHERS Total Non-derivative financial assets 16,271 5,157 1,080 - 22,508 Loans&Advances 15,251 5,157 1,042 - 21,450 Securities 1,020 - 38 - 1,058 Non-derivative financial liabilties 2,103 78 59 - 2,240 Deposits 1,559 78 59 - 1,696 Issued securities 544 - - - 544 Derivatives 237,206 4,971 7,945 - 250,122 Note: (*) Figures submitted to KMPs. In order to closely follow the developments on IBORs and to proper manage the transition and the discontinuation impacts, UniCredit group is continuously monitoring the market, also attending the European working groups, the industry working groups (e.g. International Swaps and Derivatives Association - ISDA) and participating to the relevant public consultations. Agreement between UniCredit and SIA In 2016, in the context of the contribution of UniCredit’s card processing business to a newco (“P4cards S.r.l." or “P4C”) purchased by SIA, UniCredit Services (“UCS”) signed a 10-year outsourcing agreement (i.e. until 2026) with P4C and SIA for the provision of card-processing services in Italy, Germany and Austria (“Master Services Agreement” or the “MSA”). On 5 October 2020, UniCredit and SIA announced, through a press release, that they entered into exclusive negotiations about the existing current outsourcing agreement, and its renewal until 2036. The parties further announced their aim to close the transaction binding documents in early 2021. On 12 February 2021, as a follow up, UniCredit and SIA announced the successful revision of the overall terms of their existing business relationships. The key terms, accounting wise, of the new agreement are the following: • agreement to equitably settle their existing discussions on certain circumstances occurred under the existing MSA that in UCS view were inconsistent with its expectations under such MSA (“Settlement Agreement”); • possibility by SIA to unilaterally renew the MSA until 31 December 2036 upon condition that SIA is performing its obligations in full compliance with the MSA (“Renewal interest”); • introduction of a profit-sharing mechanism to be paid to UniCredit Services (UCS) on yearly basis as a reduction of charges subject to the achievement of certain level of yearly actual fees paid to SIA. In light of the above, in February 2021 SIA paid to UCS an amount of €228 million, of which €48 million related to the Settlement Agreement and €180 million related to the Renewal interest. With reference to the Settlement agreement, it settles circumstances occurred in the previous periods and does not remunerate actions or performance to be carried out after the signature; as a result, the related amount of €48 million was recognised during 2021 as Other income. With reference to Renewal interest, the contract envisages the advance payment of €180 million by SIA to UniCredit group, in exchange for the possibility by SIA to decide unilaterally on a yearly basis until 2025, whether extending the contract for the period 2027-2036. In case SIA decides to waive the renewal, the Group shall reimburse SIA for a portion of the €180 million, decreasing in the period 2021-2024 according to the contractual provisions. Therefore, the amount of €180 million, recognised under the item Other Liabilities, is booked through Profit & Loss as Other income in the periods 2021-2024 for the portion, defined by the contract, that shall not be reimbursed to SIA in case it waives its renewal right. Within 2021 the Group has recognised among Other income the amount of €79 million referred to the years 2021 and 2022. The profit-sharing mechanism has been introduced starting from 1 January 2021, and it envisages a reduction of the commission expenses paid by the Group to SIA for an amount calculated on the basis of the positive difference between: (i) the actual yearly revenues generated, and (ii) certain yearly revenues defined by the contract. Accounting-wise, the profit-sharing related amount is recognised in Income statement, as a reduction of fee expenses, when the Group will be entitled to receive the relevant amount as a result of the conditions defined by the contract being met. As at 31 December 2021, reduction of Commission expenses has been recognised for €5 million on the basis of the mentioned profit-sharing mechanism. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 186 2021 Annual Report and Accounts · UniCredit *** The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 are audited by Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010 and to the resolution passed by the Shareholder’s Meeting on 11 May 2012. UniCredit group prepared and published within the time limits set by law and in manner required by Consob, the Consolidated first half financial Report as at 30 June 2021, subject to limited scope audit, as well as the Consolidated interim reports as at 31 March and 30 September 2021, both as press releases. The financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 have been approved by the Board of Directors’ meeting of 15 February 2022, which authorised its disclosure to the public also pursuant to IAS10. Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets of the European Union to draw up the annual financial report in the language XHTML, based on the European Single Electronic Format (ESEF), approved by ESMA. For the year 2021 it is expected that the consolidated financial statements must be "marked" with the ESEF taxonomy, using an integrated computer language (iXBRL). The whole document is filed in the competent offices and entities as required by law. A.2 - Main items of the accounts It should be noted that the descriptions of the main items of the accounts reported below are also valid for the Company financial statements of UniCredit S.p.A., unless differently stated. 1 - Financial assets at fair value through profit or loss a) Financial assets held for trading A financial asset is classified as held for trading if it is: • acquired or incurred principally for the purpose of selling or repurchasing it in the short term; • part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit-taking; • a derivative contract not designated under hedge accounting, including derivatives with positive fair value embedded in financial liabilities other than those valued at fair value with recognition of income effects through profit or loss. Like other financial instruments, on initial recognition, at settlement date, a held-for-trading financial asset is measured at its fair value, usually equal to the amount paid, excluding transaction costs and income, which are recognised in profit and loss even when directly attributable to the financial assets. Held for Trading derivatives are recognised at trade date. After initial recognition these financial assets are measured at their fair value through profit or loss. A gain or loss arising from sale or redemption or a change in the fair value of a held for trading financial asset is recognised in income statement in item “80. Net gains (losses) on trading”, including gains or losses related to derivative contracts that are linked to assets and/or liabilities designated at fair value and other financial assets mandatorily at fair value. If the fair value of a financial instrument falls below zero, which may happen with derivative contracts, it is recognised in item “20. Financial liabilities held for trading”. A derivative is a financial instrument or other contract that has all three of the following characteristics: • its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable (usually called the “underlying”) provided that in case of non-financial variable, this is not specific of one of the parties to the contract; • it requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors; • it is settled at a future date. An embedded derivative is a component of a hybrid (combined) instrument that also includes a non-derivative host contract, with the effect that some of the cash flows of the combined instrument vary in a way similar to a stand-alone derivative. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 186 2021 Annual Report and Accounts · UniCredit *** The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 are audited by Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010 and to the resolution passed by the Shareholder’s Meeting on 11 May 2012. UniCredit group prepared and published within the time limits set by law and in manner required by Consob, the Consolidated first half financial Report as at 30 June 2021, subject to limited scope audit, as well as the Consolidated interim reports as at 31 March and 30 September 2021, both as press releases. The financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 have been approved by the Board of Directors’ meeting of 15 February 2022, which authorised its disclosure to the public also pursuant to IAS10. Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets of the European Union to draw up the annual financial report in the language XHTML, based on the European Single Electronic Format (ESEF), approved by ESMA. For the year 2021 it is expected that the consolidated financial statements must be "marked" with the ESEF taxonomy, using an integrated computer language (iXBRL). The whole document is filed in the competent offices and entities as required by law. A.2 - Main items of the accounts It should be noted that the descriptions of the main items of the accounts reported below are also valid for the Company financial statements of UniCredit S.p.A., unless differently stated. 1 - Financial assets at fair value through profit or loss a) Financial assets held for trading A financial asset is classified as held for trading if it is: • acquired or incurred principally for the purpose of selling or repurchasing it in the short term; • part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit-taking; • a derivative contract not designated under hedge accounting, including derivatives with positive fair value embedded in financial liabilities other than those valued at fair value with recognition of income effects through profit or loss. Like other financial instruments, on initial recognition, at settlement date, a held-for-trading financial asset is measured at its fair value, usually equal to the amount paid, excluding transaction costs and income, which are recognised in profit and loss even when directly attributable to the financial assets. Held for Trading derivatives are recognised at trade date. After initial recognition these financial assets are measured at their fair value through profit or loss. A gain or loss arising from sale or redemption or a change in the fair value of a held for trading financial asset is recognised in income statement in item “80. Net gains (losses) on trading”, including gains or losses related to derivative contracts that are linked to assets and/or liabilities designated at fair value and other financial assets mandatorily at fair value. If the fair value of a financial instrument falls below zero, which may happen with derivative contracts, it is recognised in item “20. Financial liabilities held for trading”. A derivative is a financial instrument or other contract that has all three of the following characteristics: • its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable (usually called the “underlying”) provided that in case of non-financial variable, this is not specific of one of the parties to the contract; • it requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors; • it is settled at a future date. An embedded derivative is a component of a hybrid (combined) instrument that also includes a non-derivative host contract, with the effect that some of the cash flows of the combined instrument vary in a way similar to a stand-alone derivative. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 186 2021 Annual Report and Accounts · UniCredit *** The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 are audited by Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010 and to the resolution passed by the Shareholder’s Meeting on 11 May 2012. UniCredit group prepared and published within the time limits set by law and in manner required by Consob, the Consolidated first half financial Report as at 30 June 2021, subject to limited scope audit, as well as the Consolidated interim reports as at 31 March and 30 September 2021, both as press releases. The financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 have been approved by the Board of Directors’ meeting of 15 February 2022, which authorised its disclosure to the public also pursuant to IAS10. Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets of the European Union to draw up the annual financial report in the language XHTML, based on the European Single Electronic Format (ESEF), approved by ESMA. For the year 2021 it is expected that the consolidated financial statements must be "marked" with the ESEF taxonomy, using an integrated computer language (iXBRL). The whole document is filed in the competent offices and entities as required by law. A.2 - Main items of the accounts It should be noted that the descriptions of the main items of the accounts reported below are also valid for the Company financial statements of UniCredit S.p.A., unless differently stated. 1 - Financial assets at fair value through profit or loss a) Financial assets held for trading A financial asset is classified as held for trading if it is: • acquired or incurred principally for the purpose of selling or repurchasing it in the short term; • part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit-taking; • a derivative contract not designated under hedge accounting, including derivatives with positive fair value embedded in financial liabilities other than those valued at fair value with recognition of income effects through profit or loss. Like other financial instruments, on initial recognition, at settlement date, a held-for-trading financial asset is measured at its fair value, usually equal to the amount paid, excluding transaction costs and income, which are recognised in profit and loss even when directly attributable to the financial assets. Held for Trading derivatives are recognised at trade date. After initial recognition these financial assets are measured at their fair value through profit or loss. A gain or loss arising from sale or redemption or a change in the fair value of a held for trading financial asset is recognised in income statement in item “80. Net gains (losses) on trading”, including gains or losses related to derivative contracts that are linked to assets and/or liabilities designated at fair value and other financial assets mandatorily at fair value. If the fair value of a financial instrument falls below zero, which may happen with derivative contracts, it is recognised in item “20. Financial liabilities held for trading”. A derivative is a financial instrument or other contract that has all three of the following characteristics: • its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable (usually called the “underlying”) provided that in case of non-financial variable, this is not specific of one of the parties to the contract; • it requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors; • it is settled at a future date. An embedded derivative is a component of a hybrid (combined) instrument that also includes a non-derivative host contract, with the effect that some of the cash flows of the combined instrument vary in a way similar to a stand-alone derivative. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 186 2021 Annual Report and Accounts · UniCredit *** The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 are audited by Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010 and to the resolution passed by the Shareholder’s Meeting on 11 May 2012. UniCredit group prepared and published within the time limits set by law and in manner required by Consob, the Consolidated first half financial Report as at 30 June 2021, subject to limited scope audit, as well as the Consolidated interim reports as at 31 March and 30 September 2021, both as press releases. The financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 have been approved by the Board of Directors’ meeting of 15 February 2022, which authorised its disclosure to the public also pursuant to IAS10. Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets of the European Union to draw up the annual financial report in the language XHTML, based on the European Single Electronic Format (ESEF), approved by ESMA. For the year 2021 it is expected that the consolidated financial statements must be "marked" with the ESEF taxonomy, using an integrated computer language (iXBRL). The whole document is filed in the competent offices and entities as required by law. A.2 - Main items of the accounts It should be noted that the descriptions of the main items of the accounts reported below are also valid for the Company financial statements of UniCredit S.p.A., unless differently stated. 1 - Financial assets at fair value through profit or loss a) Financial assets held for trading A financial asset is classified as held for trading if it is: • acquired or incurred principally for the purpose of selling or repurchasing it in the short term; • part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit-taking; • a derivative contract not designated under hedge accounting, including derivatives with positive fair value embedded in financial liabilities other than those valued at fair value with recognition of income effects through profit or loss. Like other financial instruments, on initial recognition, at settlement date, a held-for-trading financial asset is measured at its fair value, usually equal to the amount paid, excluding transaction costs and income, which are recognised in profit and loss even when directly attributable to the financial assets. Held for Trading derivatives are recognised at trade date. After initial recognition these financial assets are measured at their fair value through profit or loss. A gain or loss arising from sale or redemption or a change in the fair value of a held for trading financial asset is recognised in income statement in item “80. Net gains (losses) on trading”, including gains or losses related to derivative contracts that are linked to assets and/or liabilities designated at fair value and other financial assets mandatorily at fair value. If the fair value of a financial instrument falls below zero, which may happen with derivative contracts, it is recognised in item “20. Financial liabilities held for trading”. A derivative is a financial instrument or other contract that has all three of the following characteristics: • its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable (usually called the “underlying”) provided that in case of non-financial variable, this is not specific of one of the parties to the contract; • it requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors; • it is settled at a future date. An embedded derivative is a component of a hybrid (combined) instrument that also includes a non-derivative host contract, with the effect that some of the cash flows of the combined instrument vary in a way similar to a stand-alone derivative. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 186 2021 Annual Report and Accounts · UniCredit *** The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 are audited by Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010 and to the resolution passed by the Shareholder’s Meeting on 11 May 2012. UniCredit group prepared and published within the time limits set by law and in manner required by Consob, the Consolidated first half financial Report as at 30 June 2021, subject to limited scope audit, as well as the Consolidated interim reports as at 31 March and 30 September 2021, both as press releases. The financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 have been approved by the Board of Directors’ meeting of 15 February 2022, which authorised its disclosure to the public also pursuant to IAS10. Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets of the European Union to draw up the annual financial report in the language XHTML, based on the European Single Electronic Format (ESEF), approved by ESMA. For the year 2021 it is expected that the consolidated financial statements must be "marked" with the ESEF taxonomy, using an integrated computer language (iXBRL). The whole document is filed in the competent offices and entities as required by law. A.2 - Main items of the accounts It should be noted that the descriptions of the main items of the accounts reported below are also valid for the Company financial statements of UniCredit S.p.A., unless differently stated. 1 - Financial assets at fair value through profit or loss a) Financial assets held for trading A financial asset is classified as held for trading if it is: • acquired or incurred principally for the purpose of selling or repurchasing it in the short term; • part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit-taking; • a derivative contract not designated under hedge accounting, including derivatives with positive fair value embedded in financial liabilities other than those valued at fair value with recognition of income effects through profit or loss. Like other financial instruments, on initial recognition, at settlement date, a held-for-trading financial asset is measured at its fair value, usually equal to the amount paid, excluding transaction costs and income, which are recognised in profit and loss even when directly attributable to the financial assets. Held for Trading derivatives are recognised at trade date. After initial recognition these financial assets are measured at their fair value through profit or loss. A gain or loss arising from sale or redemption or a change in the fair value of a held for trading financial asset is recognised in income statement in item “80. Net gains (losses) on trading”, including gains or losses related to derivative contracts that are linked to assets and/or liabilities designated at fair value and other financial assets mandatorily at fair value. If the fair value of a financial instrument falls below zero, which may happen with derivative contracts, it is recognised in item “20. Financial liabilities held for trading”. A derivative is a financial instrument or other contract that has all three of the following characteristics: • its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable (usually called the “underlying”) provided that in case of non-financial variable, this is not specific of one of the parties to the contract; • it requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors; • it is settled at a future date. An embedded derivative is a component of a hybrid (combined) instrument that also includes a non-derivative host contract, with the effect that some of the cash flows of the combined instrument vary in a way similar to a stand-alone derivative. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 187 An embedded derivative is separated from financial liabilities other than those measured at fair value through profit or loss and from non-financial instruments, and is recognised as a derivative, if: • the economic characteristics and risks of the embedded derivative are not closely relating to those of the host contract; • a separate instrument with the same terms as the embedded derivative would meet the definition of a derivative and; • the hybrid (combined) instrument is not measured entirely at fair value through profit or loss. When an embedded derivative is separated, the host contract is accounted for according to its accounting classification. b) Financial assets designated at fair value through profit or loss A non-derivative financial asset can be designated at fair value if the abovementioned designation avoids accounting mismatches that arise from measuring assets and associated liabilities according to different measurement criteria. These assets are accounted for alike “Financial assets held for trading” however gains and losses, whether realised or unrealised, are recognised in item “110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: a) financial assets/liabilities designated at fair value”; such item also includes changes in fair value on “financial liabilities designated at fair value” linked to own credit risk, if such a designation creates or increases an accounting mismatch in income statement according to IFRS9. c) Other financial assets mandatorily at fair value A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow characteristics, for being measured at amortised cost or at fair value through other comprehensive income. Specifically, the following assets have been classified in this portfolio: • debt instruments, securities and loans for which the business model is neither held to collect nor held to collect and sell but which are not part of the Trading book; • debt instruments, securities and loans with cash flows that are not solely payment of principal and interest; • units in investment funds; • equity instruments not held for trading for which the Group does not apply the option granted by the standard of valuing these instruments at fair value through other comprehensive income. These assets are accounted for alike “Financial assets held for trading”, however gains and losses, whether realised or unrealised, are recognised in item “110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: b) Other financial assets mandatorily at fair value”. 2 - Financial assets at fair value through other comprehensive income A financial asset is classified at fair value through other comprehensive income if: • its business model is held to collect and sell; • its cash flows are solely the payment of principal and interest. This category also includes equity instruments not held for trading for which the Group applies the option granted by the standard of valuing the instruments at fair value through other comprehensive income. On initial recognition, at settlement date, a financial asset is measured at fair value, which is usually equal to the consideration paid, plus transaction costs and revenues directly attributable to the instrument. After initial recognition, the interests accrued on interest-bearing instruments are recorded in the income statement according to the amortised cost criterion in item “10. Interest income and similar revenues” if positive, or in item “20. Interest expenses and similar charges” if negative. The gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive income and reported under item “120. Valuation reserves” in shareholders' equity (item “110. Valuation reserves” in the Company financial statements). These instruments are tested for impairment as illustrated in the specific section 16 - Other Information - Impairment. Impairment losses are recorded in the income statement in item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” with contra-entry in the statement of other comprehensive income and also reported under item “120. Valuation reserves” in shareholders' equity (item “110. Valuation reserves” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 187 An embedded derivative is separated from financial liabilities other than those measured at fair value through profit or loss and from non-financial instruments, and is recognised as a derivative, if: • the economic characteristics and risks of the embedded derivative are not closely relating to those of the host contract; • a separate instrument with the same terms as the embedded derivative would meet the definition of a derivative and; • the hybrid (combined) instrument is not measured entirely at fair value through profit or loss. When an embedded derivative is separated, the host contract is accounted for according to its accounting classification. b) Financial assets designated at fair value through profit or loss A non-derivative financial asset can be designated at fair value if the abovementioned designation avoids accounting mismatches that arise from measuring assets and associated liabilities according to different measurement criteria. These assets are accounted for alike “Financial assets held for trading” however gains and losses, whether realised or unrealised, are recognised in item “110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: a) financial assets/liabilities designated at fair value”; such item also includes changes in fair value on “financial liabilities designated at fair value” linked to own credit risk, if such a designation creates or increases an accounting mismatch in income statement according to IFRS9. c) Other financial assets mandatorily at fair value A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow characteristics, for being measured at amortised cost or at fair value through other comprehensive income. Specifically, the following assets have been classified in this portfolio: • debt instruments, securities and loans for which the business model is neither held to collect nor held to collect and sell but which are not part of the Trading book; • debt instruments, securities and loans with cash flows that are not solely payment of principal and interest; • units in investment funds; • equity instruments not held for trading for which the Group does not apply the option granted by the standard of valuing these instruments at fair value through other comprehensive income. These assets are accounted for alike “Financial assets held for trading”, however gains and losses, whether realised or unrealised, are recognised in item “110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: b) Other financial assets mandatorily at fair value”. 2 - Financial assets at fair value through other comprehensive income A financial asset is classified at fair value through other comprehensive income if: • its business model is held to collect and sell; • its cash flows are solely the payment of principal and interest. This category also includes equity instruments not held for trading for which the Group applies the option granted by the standard of valuing the instruments at fair value through other comprehensive income. On initial recognition, at settlement date, a financial asset is measured at fair value, which is usually equal to the consideration paid, plus transaction costs and revenues directly attributable to the instrument. After initial recognition, the interests accrued on interest-bearing instruments are recorded in the income statement according to the amortised cost criterion in item “10. Interest income and similar revenues” if positive, or in item “20. Interest expenses and similar charges” if negative. The gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive income and reported under item “120. Valuation reserves” in shareholders' equity (item “110. Valuation reserves” in the Company financial statements). These instruments are tested for impairment as illustrated in the specific section 16 - Other Information - Impairment. Impairment losses are recorded in the income statement in item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” with contra-entry in the statement of other comprehensive income and also reported under item “120. Valuation reserves” in shareholders' equity (item “110. Valuation reserves” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 187 An embedded derivative is separated from financial liabilities other than those measured at fair value through profit or loss and from non-financial instruments, and is recognised as a derivative, if: • the economic characteristics and risks of the embedded derivative are not closely relating to those of the host contract; • a separate instrument with the same terms as the embedded derivative would meet the definition of a derivative and; • the hybrid (combined) instrument is not measured entirely at fair value through profit or loss. When an embedded derivative is separated, the host contract is accounted for according to its accounting classification. b) Financial assets designated at fair value through profit or loss A non-derivative financial asset can be designated at fair value if the abovementioned designation avoids accounting mismatches that arise from measuring assets and associated liabilities according to different measurement criteria. These assets are accounted for alike “Financial assets held for trading” however gains and losses, whether realised or unrealised, are recognised in item “110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: a) financial assets/liabilities designated at fair value”; such item also includes changes in fair value on “financial liabilities designated at fair value” linked to own credit risk, if such a designation creates or increases an accounting mismatch in income statement according to IFRS9. c) Other financial assets mandatorily at fair value A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow characteristics, for being measured at amortised cost or at fair value through other comprehensive income. Specifically, the following assets have been classified in this portfolio: • debt instruments, securities and loans for which the business model is neither held to collect nor held to collect and sell but which are not part of the Trading book; • debt instruments, securities and loans with cash flows that are not solely payment of principal and interest; • units in investment funds; • equity instruments not held for trading for which the Group does not apply the option granted by the standard of valuing these instruments at fair value through other comprehensive income. These assets are accounted for alike “Financial assets held for trading”, however gains and losses, whether realised or unrealised, are recognised in item “110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: b) Other financial assets mandatorily at fair value”. 2 - Financial assets at fair value through other comprehensive income A financial asset is classified at fair value through other comprehensive income if: • its business model is held to collect and sell; • its cash flows are solely the payment of principal and interest. This category also includes equity instruments not held for trading for which the Group applies the option granted by the standard of valuing the instruments at fair value through other comprehensive income. On initial recognition, at settlement date, a financial asset is measured at fair value, which is usually equal to the consideration paid, plus transaction costs and revenues directly attributable to the instrument. After initial recognition, the interests accrued on interest-bearing instruments are recorded in the income statement according to the amortised cost criterion in item “10. Interest income and similar revenues” if positive, or in item “20. Interest expenses and similar charges” if negative. The gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive income and reported under item “120. Valuation reserves” in shareholders' equity (item “110. Valuation reserves” in the Company financial statements). These instruments are tested for impairment as illustrated in the specific section 16 - Other Information - Impairment. Impairment losses are recorded in the income statement in item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” with contra-entry in the statement of other comprehensive income and also reported under item “120. Valuation reserves” in shareholders' equity (item “110. Valuation reserves” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 187 An embedded derivative is separated from financial liabilities other than those measured at fair value through profit or loss and from non-financial instruments, and is recognised as a derivative, if: • the economic characteristics and risks of the embedded derivative are not closely relating to those of the host contract; • a separate instrument with the same terms as the embedded derivative would meet the definition of a derivative and; • the hybrid (combined) instrument is not measured entirely at fair value through profit or loss. When an embedded derivative is separated, the host contract is accounted for according to its accounting classification. b) Financial assets designated at fair value through profit or loss A non-derivative financial asset can be designated at fair value if the abovementioned designation avoids accounting mismatches that arise from measuring assets and associated liabilities according to different measurement criteria. These assets are accounted for alike “Financial assets held for trading” however gains and losses, whether realised or unrealised, are recognised in item “110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: a) financial assets/liabilities designated at fair value”; such item also includes changes in fair value on “financial liabilities designated at fair value” linked to own credit risk, if such a designation creates or increases an accounting mismatch in income statement according to IFRS9. c) Other financial assets mandatorily at fair value A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow characteristics, for being measured at amortised cost or at fair value through other comprehensive income. Specifically, the following assets have been classified in this portfolio: • debt instruments, securities and loans for which the business model is neither held to collect nor held to collect and sell but which are not part of the Trading book; • debt instruments, securities and loans with cash flows that are not solely payment of principal and interest; • units in investment funds; • equity instruments not held for trading for which the Group does not apply the option granted by the standard of valuing these instruments at fair value through other comprehensive income. These assets are accounted for alike “Financial assets held for trading”, however gains and losses, whether realised or unrealised, are recognised in item “110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: b) Other financial assets mandatorily at fair value”. 2 - Financial assets at fair value through other comprehensive income A financial asset is classified at fair value through other comprehensive income if: • its business model is held to collect and sell; • its cash flows are solely the payment of principal and interest. This category also includes equity instruments not held for trading for which the Group applies the option granted by the standard of valuing the instruments at fair value through other comprehensive income. On initial recognition, at settlement date, a financial asset is measured at fair value, which is usually equal to the consideration paid, plus transaction costs and revenues directly attributable to the instrument. After initial recognition, the interests accrued on interest-bearing instruments are recorded in the income statement according to the amortised cost criterion in item “10. Interest income and similar revenues” if positive, or in item “20. Interest expenses and similar charges” if negative. The gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive income and reported under item “120. Valuation reserves” in shareholders' equity (item “110. Valuation reserves” in the Company financial statements). These instruments are tested for impairment as illustrated in the specific section 16 - Other Information - Impairment. Impairment losses are recorded in the income statement in item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” with contra-entry in the statement of other comprehensive income and also reported under item “120. Valuation reserves” in shareholders' equity (item “110. Valuation reserves” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 187 An embedded derivative is separated from financial liabilities other than those measured at fair value through profit or loss and from non-financial instruments, and is recognised as a derivative, if: • the economic characteristics and risks of the embedded derivative are not closely relating to those of the host contract; • a separate instrument with the same terms as the embedded derivative would meet the definition of a derivative and; • the hybrid (combined) instrument is not measured entirely at fair value through profit or loss. When an embedded derivative is separated, the host contract is accounted for according to its accounting classification. b) Financial assets designated at fair value through profit or loss A non-derivative financial asset can be designated at fair value if the abovementioned designation avoids accounting mismatches that arise from measuring assets and associated liabilities according to different measurement criteria. These assets are accounted for alike “Financial assets held for trading” however gains and losses, whether realised or unrealised, are recognised in item “110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: a) financial assets/liabilities designated at fair value”; such item also includes changes in fair value on “financial liabilities designated at fair value” linked to own credit risk, if such a designation creates or increases an accounting mismatch in income statement according to IFRS9. c) Other financial assets mandatorily at fair value A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow characteristics, for being measured at amortised cost or at fair value through other comprehensive income. Specifically, the following assets have been classified in this portfolio: • debt instruments, securities and loans for which the business model is neither held to collect nor held to collect and sell but which are not part of the Trading book; • debt instruments, securities and loans with cash flows that are not solely payment of principal and interest; • units in investment funds; • equity instruments not held for trading for which the Group does not apply the option granted by the standard of valuing these instruments at fair value through other comprehensive income. These assets are accounted for alike “Financial assets held for trading”, however gains and losses, whether realised or unrealised, are recognised in item “110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: b) Other financial assets mandatorily at fair value”. 2 - Financial assets at fair value through other comprehensive income A financial asset is classified at fair value through other comprehensive income if: • its business model is held to collect and sell; • its cash flows are solely the payment of principal and interest. This category also includes equity instruments not held for trading for which the Group applies the option granted by the standard of valuing the instruments at fair value through other comprehensive income. On initial recognition, at settlement date, a financial asset is measured at fair value, which is usually equal to the consideration paid, plus transaction costs and revenues directly attributable to the instrument. After initial recognition, the interests accrued on interest-bearing instruments are recorded in the income statement according to the amortised cost criterion in item “10. Interest income and similar revenues” if positive, or in item “20. Interest expenses and similar charges” if negative. The gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive income and reported under item “120. Valuation reserves” in shareholders' equity (item “110. Valuation reserves” in the Company financial statements). These instruments are tested for impairment as illustrated in the specific section 16 - Other Information - Impairment. Impairment losses are recorded in the income statement in item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” with contra-entry in the statement of other comprehensive income and also reported under item “120. Valuation reserves” in shareholders' equity (item “110. Valuation reserves” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 188 2021 Annual Report and Accounts · UniCredit In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income”. Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual cash flows that do not give rise to accounting derecognition, are recognised in Income statement in item “140. Gains/Losses from contractual changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income”. Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as “Purchased Originated Credit Impaired - POCI”. The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the expected credit losses over the entire residual duration of the asset. This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs. For further information on "Purchased Originated Credit Impaired” assets see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies with reference to the Company’s financial statements With regard to equity instruments, the gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive income and reported under item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). In the event of disposal, the accumulated profits and losses are recorded in item “150. Reserves” (item “140. Reserves” in the Company financial statements). In accordance with the provisions of IFRS9, no impairment losses on equity instruments are recognised in the income statement. Only dividends are recognised in Income statement within item “70. Dividend income and similar revenues”. 3 - Financial assets at amortised cost A financial asset, loan or debt securities, is classified as financial asset measured at amortised cost if: • its business model is held to collect; • its cash flows are solely the payment of principal and interest. These items also include the net value of finance leases of assets under construction or awaiting lease, provided the leases have the characteristics of contracts entailing the transfer of risk. On initial recognition, at settlement date, financial assets at amortised cost are measured at fair value, which is usually equal to the consideration paid, plus transaction costs and income directly attributable to the instrument. After initial recognition at fair value, these assets are measured at amortised cost which requires the recognition of interest on an accrual basis by using the effective interest rate method over the term of the loan. Such interest is recognised in item “10. Interest income and similar revenues” if positive or in item “20. Interest expenses and similar charges” if negative. The amount of financial assets at amortised cost is adjusted in order to take into account impairment losses arising from valuation process as illustrated in the specific section 16 - Other information - Impairment. Impairment losses are recorded in the income statement, in item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost”. Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual cash flows that do not give rise to accounting derecognition, are recognised in Income statement in item “140. Gains/Losses from contractual changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as “Purchased Originated Credit Impaired - POCI”. The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the expected credit losses over the entire residual duration of the asset. This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs. For further information see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 188 2021 Annual Report and Accounts · UniCredit In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income”. Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual cash flows that do not give rise to accounting derecognition, are recognised in Income statement in item “140. Gains/Losses from contractual changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income”. Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as “Purchased Originated Credit Impaired - POCI”. The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the expected credit losses over the entire residual duration of the asset. This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs. For further information on "Purchased Originated Credit Impaired” assets see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies with reference to the Company’s financial statements With regard to equity instruments, the gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive income and reported under item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). In the event of disposal, the accumulated profits and losses are recorded in item “150. Reserves” (item “140. Reserves” in the Company financial statements). In accordance with the provisions of IFRS9, no impairment losses on equity instruments are recognised in the income statement. Only dividends are recognised in Income statement within item “70. Dividend income and similar revenues”. 3 - Financial assets at amortised cost A financial asset, loan or debt securities, is classified as financial asset measured at amortised cost if: • its business model is held to collect; • its cash flows are solely the payment of principal and interest. These items also include the net value of finance leases of assets under construction or awaiting lease, provided the leases have the characteristics of contracts entailing the transfer of risk. On initial recognition, at settlement date, financial assets at amortised cost are measured at fair value, which is usually equal to the consideration paid, plus transaction costs and income directly attributable to the instrument. After initial recognition at fair value, these assets are measured at amortised cost which requires the recognition of interest on an accrual basis by using the effective interest rate method over the term of the loan. Such interest is recognised in item “10. Interest income and similar revenues” if positive or in item “20. Interest expenses and similar charges” if negative. The amount of financial assets at amortised cost is adjusted in order to take into account impairment losses arising from valuation process as illustrated in the specific section 16 - Other information - Impairment. Impairment losses are recorded in the income statement, in item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost”. Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual cash flows that do not give rise to accounting derecognition, are recognised in Income statement in item “140. Gains/Losses from contractual changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as “Purchased Originated Credit Impaired - POCI”. The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the expected credit losses over the entire residual duration of the asset. This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs. For further information see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 188 2021 Annual Report and Accounts · UniCredit In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income”. Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual cash flows that do not give rise to accounting derecognition, are recognised in Income statement in item “140. Gains/Losses from contractual changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income”. Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as “Purchased Originated Credit Impaired - POCI”. The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the expected credit losses over the entire residual duration of the asset. This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs. For further information on "Purchased Originated Credit Impaired” assets see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies with reference to the Company’s financial statements With regard to equity instruments, the gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive income and reported under item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). In the event of disposal, the accumulated profits and losses are recorded in item “150. Reserves” (item “140. Reserves” in the Company financial statements). In accordance with the provisions of IFRS9, no impairment losses on equity instruments are recognised in the income statement. Only dividends are recognised in Income statement within item “70. Dividend income and similar revenues”. 3 - Financial assets at amortised cost A financial asset, loan or debt securities, is classified as financial asset measured at amortised cost if: • its business model is held to collect; • its cash flows are solely the payment of principal and interest. These items also include the net value of finance leases of assets under construction or awaiting lease, provided the leases have the characteristics of contracts entailing the transfer of risk. On initial recognition, at settlement date, financial assets at amortised cost are measured at fair value, which is usually equal to the consideration paid, plus transaction costs and income directly attributable to the instrument. After initial recognition at fair value, these assets are measured at amortised cost which requires the recognition of interest on an accrual basis by using the effective interest rate method over the term of the loan. Such interest is recognised in item “10. Interest income and similar revenues” if positive or in item “20. Interest expenses and similar charges” if negative. The amount of financial assets at amortised cost is adjusted in order to take into account impairment losses arising from valuation process as illustrated in the specific section 16 - Other information - Impairment. Impairment losses are recorded in the income statement, in item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost”. Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual cash flows that do not give rise to accounting derecognition, are recognised in Income statement in item “140. Gains/Losses from contractual changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as “Purchased Originated Credit Impaired - POCI”. The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the expected credit losses over the entire residual duration of the asset. This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs. For further information see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 188 2021 Annual Report and Accounts · UniCredit In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income”. Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual cash flows that do not give rise to accounting derecognition, are recognised in Income statement in item “140. Gains/Losses from contractual changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income”. Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as “Purchased Originated Credit Impaired - POCI”. The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the expected credit losses over the entire residual duration of the asset. This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs. For further information on "Purchased Originated Credit Impaired” assets see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies with reference to the Company’s financial statements With regard to equity instruments, the gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive income and reported under item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). In the event of disposal, the accumulated profits and losses are recorded in item “150. Reserves” (item “140. Reserves” in the Company financial statements). In accordance with the provisions of IFRS9, no impairment losses on equity instruments are recognised in the income statement. Only dividends are recognised in Income statement within item “70. Dividend income and similar revenues”. 3 - Financial assets at amortised cost A financial asset, loan or debt securities, is classified as financial asset measured at amortised cost if: • its business model is held to collect; • its cash flows are solely the payment of principal and interest. These items also include the net value of finance leases of assets under construction or awaiting lease, provided the leases have the characteristics of contracts entailing the transfer of risk. On initial recognition, at settlement date, financial assets at amortised cost are measured at fair value, which is usually equal to the consideration paid, plus transaction costs and income directly attributable to the instrument. After initial recognition at fair value, these assets are measured at amortised cost which requires the recognition of interest on an accrual basis by using the effective interest rate method over the term of the loan. Such interest is recognised in item “10. Interest income and similar revenues” if positive or in item “20. Interest expenses and similar charges” if negative. The amount of financial assets at amortised cost is adjusted in order to take into account impairment losses arising from valuation process as illustrated in the specific section 16 - Other information - Impairment. Impairment losses are recorded in the income statement, in item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost”. Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual cash flows that do not give rise to accounting derecognition, are recognised in Income statement in item “140. Gains/Losses from contractual changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as “Purchased Originated Credit Impaired - POCI”. The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the expected credit losses over the entire residual duration of the asset. This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs. For further information see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 188 2021 Annual Report and Accounts · UniCredit In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income”. Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual cash flows that do not give rise to accounting derecognition, are recognised in Income statement in item “140. Gains/Losses from contractual changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income”. Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as “Purchased Originated Credit Impaired - POCI”. The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the expected credit losses over the entire residual duration of the asset. This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs. For further information on "Purchased Originated Credit Impaired” assets see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies with reference to the Company’s financial statements With regard to equity instruments, the gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive income and reported under item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). In the event of disposal, the accumulated profits and losses are recorded in item “150. Reserves” (item “140. Reserves” in the Company financial statements). In accordance with the provisions of IFRS9, no impairment losses on equity instruments are recognised in the income statement. Only dividends are recognised in Income statement within item “70. Dividend income and similar revenues”. 3 - Financial assets at amortised cost A financial asset, loan or debt securities, is classified as financial asset measured at amortised cost if: • its business model is held to collect; • its cash flows are solely the payment of principal and interest. These items also include the net value of finance leases of assets under construction or awaiting lease, provided the leases have the characteristics of contracts entailing the transfer of risk. On initial recognition, at settlement date, financial assets at amortised cost are measured at fair value, which is usually equal to the consideration paid, plus transaction costs and income directly attributable to the instrument. After initial recognition at fair value, these assets are measured at amortised cost which requires the recognition of interest on an accrual basis by using the effective interest rate method over the term of the loan. Such interest is recognised in item “10. Interest income and similar revenues” if positive or in item “20. Interest expenses and similar charges” if negative. The amount of financial assets at amortised cost is adjusted in order to take into account impairment losses arising from valuation process as illustrated in the specific section 16 - Other information - Impairment. Impairment losses are recorded in the income statement, in item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost”. Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual cash flows that do not give rise to accounting derecognition, are recognised in Income statement in item “140. Gains/Losses from contractual changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as “Purchased Originated Credit Impaired - POCI”. The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the expected credit losses over the entire residual duration of the asset. This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs. For further information see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 189 4 - Hedge accounting Hedging instruments are created to hedge market (interest-rate, currency and price) and/or credit risk to which the hedged positions are exposed. They may be described as follows: • fair value hedge: a hedge of the exposure to changes in fair value of a recognised asset or liability, or an identifiable portion of such an asset or liability; • cash flow hedge: a hedge of the exposure to variability in cash flows that is attributable to a particular risk associated with a recognised asset or liability or a highly probable forecast transaction which could affect profit or loss in future periods; • hedge of a net investment in a foreign entity, whose operations are based or conducted in a currency other than euro. It should be noted that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Hedging derivatives are initially recognised on trade date and are valued at their fair value. A hedging relationship qualifies for hedge accounting if there is formal designation and documentation of the hedging relationship including the risk management objective, the strategy for undertaking the hedge, and how the hedging instrument’s prospective and retrospective effectiveness will be assessed. It is necessary to assess the hedge’s effectiveness, at inception and in subsequent periods, in offsetting the exposure to changes in the hedged item’s fair value or cash flows attributable to the hedged risk. Generally, a hedge is regarded as highly effective if, at the inception of the hedge and in subsequent periods, it is determined prospectively to remain highly effective, and retrospectively verified that the hedge ratio (i.e. the changes in fair value of hedged items and hedging instruments) is within a range of 80-125%. The hedge is assessed on an ongoing basis and thus must prospectively remain highly effective throughout the financial reporting periods for which the hedge has been designated. The assessment of effectiveness is made at each balance-sheet date or other reporting date. If the assessment does not confirm the effectiveness of the hedge, from that time on hedge accounting is discontinued in respect of the hedge and the hedging derivative is reclassified as a held-for-trading instrument. In addition, the hedging relationship ceases when (i) the hedging instrument expires or is sold, terminated or exercised, (ii) the hedged item is sold, expires or is repaid, (iii) it is no longer highly probable that the forecast transaction will occur. Hedging instruments are so designated when identifiable with an ultimate counterparty outside the Group. Hedging derivatives are measured at fair value. Specifically: • fair value hedging, an effective fair value hedge is accounted for as follows: the gain or loss from remeasuring the hedging instrument at fair value is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”; the gain or loss on the hedged item attributable to the hedged risk adjusts the carrying amount of the hedged item and is recognised through profit or loss in the same item. Hedging ineffectiveness is represented by the difference between the change in the fair value of hedging instruments and the change in the fair value of hedged item. If the hedging relationship is terminated for reasons other than the sale of the hedged item, the difference between the carrying amount of the hedged item on termination of the hedging and the carrying amount it would have had if the hedge had never existed, is recognised through profit or loss in interest receivable or payable over the residual life of the original hedge, in the case of interest-bearing instruments; if the financial instrument does not bear interest, the difference is recognised in profit or loss under item “90. Net gains (losses) on hedge accounting” at once. If the hedged item is sold or repaid, the portion of fair value which is still unamortised is at once recognised through profit or loss in item “100. Gains (Losses) on disposal and repurchase”; • cash flow hedging, hedging instruments are valued at fair value. Change in the fair value of a hedging instrument that is considered effective is recognised in equity item “120. Valuation reserves” (item “110. Valuation reserves” in the Company Financial Statements). The ineffective portion of the gain or loss is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”. If a cash flow hedge is determined to be no longer effective or the hedging relationship is terminated, the cumulative gain or loss on the hedging instrument that remains recognised in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements) from the period when the hedge was effective remains separately recognised in revaluation reserves until the forecast hedged transaction occurs or is determined to be no longer possible; in the latter case gains or losses are transferred through profit or loss to item “80. Net gains (losses) on trading”. The fair value changes are recorded in the Statement of other comprehensive income and disclosed in item “120. Valuation reserves" (item “110. Valuation reserves” in the Company financial statements); • hedging a net investment in a foreign entity, hedges of a net investment in a foreign entity whose activities are based or conducted in a country or currency other than those of the reporting entity are accounted for similarly to cash flow hedges. The gain or loss on the hedging instrument relating to the effective portion of the hedge that has been recognised directly in equity is recognised through profit or loss on disposal of the foreign entity. The fair value changes are recorded in the Statement of comprehensive income and disclosed in item “120. Valuation reserves (item “110. Valuation reserves” in the Company Financial Statements)"; the ineffective portion of the gain or loss is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”; Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 189 4 - Hedge accounting Hedging instruments are created to hedge market (interest-rate, currency and price) and/or credit risk to which the hedged positions are exposed. They may be described as follows: • fair value hedge: a hedge of the exposure to changes in fair value of a recognised asset or liability, or an identifiable portion of such an asset or liability; • cash flow hedge: a hedge of the exposure to variability in cash flows that is attributable to a particular risk associated with a recognised asset or liability or a highly probable forecast transaction which could affect profit or loss in future periods; • hedge of a net investment in a foreign entity, whose operations are based or conducted in a currency other than euro. It should be noted that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Hedging derivatives are initially recognised on trade date and are valued at their fair value. A hedging relationship qualifies for hedge accounting if there is formal designation and documentation of the hedging relationship including the risk management objective, the strategy for undertaking the hedge, and how the hedging instrument’s prospective and retrospective effectiveness will be assessed. It is necessary to assess the hedge’s effectiveness, at inception and in subsequent periods, in offsetting the exposure to changes in the hedged item’s fair value or cash flows attributable to the hedged risk. Generally, a hedge is regarded as highly effective if, at the inception of the hedge and in subsequent periods, it is determined prospectively to remain highly effective, and retrospectively verified that the hedge ratio (i.e. the changes in fair value of hedged items and hedging instruments) is within a range of 80-125%. The hedge is assessed on an ongoing basis and thus must prospectively remain highly effective throughout the financial reporting periods for which the hedge has been designated. The assessment of effectiveness is made at each balance-sheet date or other reporting date. If the assessment does not confirm the effectiveness of the hedge, from that time on hedge accounting is discontinued in respect of the hedge and the hedging derivative is reclassified as a held-for-trading instrument. In addition, the hedging relationship ceases when (i) the hedging instrument expires or is sold, terminated or exercised, (ii) the hedged item is sold, expires or is repaid, (iii) it is no longer highly probable that the forecast transaction will occur. Hedging instruments are so designated when identifiable with an ultimate counterparty outside the Group. Hedging derivatives are measured at fair value. Specifically: • fair value hedging, an effective fair value hedge is accounted for as follows: the gain or loss from remeasuring the hedging instrument at fair value is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”; the gain or loss on the hedged item attributable to the hedged risk adjusts the carrying amount of the hedged item and is recognised through profit or loss in the same item. Hedging ineffectiveness is represented by the difference between the change in the fair value of hedging instruments and the change in the fair value of hedged item. If the hedging relationship is terminated for reasons other than the sale of the hedged item, the difference between the carrying amount of the hedged item on termination of the hedging and the carrying amount it would have had if the hedge had never existed, is recognised through profit or loss in interest receivable or payable over the residual life of the original hedge, in the case of interest-bearing instruments; if the financial instrument does not bear interest, the difference is recognised in profit or loss under item “90. Net gains (losses) on hedge accounting” at once. If the hedged item is sold or repaid, the portion of fair value which is still unamortised is at once recognised through profit or loss in item “100. Gains (Losses) on disposal and repurchase”; • cash flow hedging, hedging instruments are valued at fair value. Change in the fair value of a hedging instrument that is considered effective is recognised in equity item “120. Valuation reserves” (item “110. Valuation reserves” in the Company Financial Statements). The ineffective portion of the gain or loss is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”. If a cash flow hedge is determined to be no longer effective or the hedging relationship is terminated, the cumulative gain or loss on the hedging instrument that remains recognised in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements) from the period when the hedge was effective remains separately recognised in revaluation reserves until the forecast hedged transaction occurs or is determined to be no longer possible; in the latter case gains or losses are transferred through profit or loss to item “80. Net gains (losses) on trading”. The fair value changes are recorded in the Statement of other comprehensive income and disclosed in item “120. Valuation reserves" (item “110. Valuation reserves” in the Company financial statements); • hedging a net investment in a foreign entity, hedges of a net investment in a foreign entity whose activities are based or conducted in a country or currency other than those of the reporting entity are accounted for similarly to cash flow hedges. The gain or loss on the hedging instrument relating to the effective portion of the hedge that has been recognised directly in equity is recognised through profit or loss on disposal of the foreign entity. The fair value changes are recorded in the Statement of comprehensive income and disclosed in item “120. Valuation reserves (item “110. Valuation reserves” in the Company Financial Statements)"; the ineffective portion of the gain or loss is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”; Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 189 4 - Hedge accounting Hedging instruments are created to hedge market (interest-rate, currency and price) and/or credit risk to which the hedged positions are exposed. They may be described as follows: • fair value hedge: a hedge of the exposure to changes in fair value of a recognised asset or liability, or an identifiable portion of such an asset or liability; • cash flow hedge: a hedge of the exposure to variability in cash flows that is attributable to a particular risk associated with a recognised asset or liability or a highly probable forecast transaction which could affect profit or loss in future periods; • hedge of a net investment in a foreign entity, whose operations are based or conducted in a currency other than euro. It should be noted that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Hedging derivatives are initially recognised on trade date and are valued at their fair value. A hedging relationship qualifies for hedge accounting if there is formal designation and documentation of the hedging relationship including the risk management objective, the strategy for undertaking the hedge, and how the hedging instrument’s prospective and retrospective effectiveness will be assessed. It is necessary to assess the hedge’s effectiveness, at inception and in subsequent periods, in offsetting the exposure to changes in the hedged item’s fair value or cash flows attributable to the hedged risk. Generally, a hedge is regarded as highly effective if, at the inception of the hedge and in subsequent periods, it is determined prospectively to remain highly effective, and retrospectively verified that the hedge ratio (i.e. the changes in fair value of hedged items and hedging instruments) is within a range of 80-125%. The hedge is assessed on an ongoing basis and thus must prospectively remain highly effective throughout the financial reporting periods for which the hedge has been designated. The assessment of effectiveness is made at each balance-sheet date or other reporting date. If the assessment does not confirm the effectiveness of the hedge, from that time on hedge accounting is discontinued in respect of the hedge and the hedging derivative is reclassified as a held-for-trading instrument. In addition, the hedging relationship ceases when (i) the hedging instrument expires or is sold, terminated or exercised, (ii) the hedged item is sold, expires or is repaid, (iii) it is no longer highly probable that the forecast transaction will occur. Hedging instruments are so designated when identifiable with an ultimate counterparty outside the Group. Hedging derivatives are measured at fair value. Specifically: • fair value hedging, an effective fair value hedge is accounted for as follows: the gain or loss from remeasuring the hedging instrument at fair value is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”; the gain or loss on the hedged item attributable to the hedged risk adjusts the carrying amount of the hedged item and is recognised through profit or loss in the same item. Hedging ineffectiveness is represented by the difference between the change in the fair value of hedging instruments and the change in the fair value of hedged item. If the hedging relationship is terminated for reasons other than the sale of the hedged item, the difference between the carrying amount of the hedged item on termination of the hedging and the carrying amount it would have had if the hedge had never existed, is recognised through profit or loss in interest receivable or payable over the residual life of the original hedge, in the case of interest-bearing instruments; if the financial instrument does not bear interest, the difference is recognised in profit or loss under item “90. Net gains (losses) on hedge accounting” at once. If the hedged item is sold or repaid, the portion of fair value which is still unamortised is at once recognised through profit or loss in item “100. Gains (Losses) on disposal and repurchase”; • cash flow hedging, hedging instruments are valued at fair value. Change in the fair value of a hedging instrument that is considered effective is recognised in equity item “120. Valuation reserves” (item “110. Valuation reserves” in the Company Financial Statements). The ineffective portion of the gain or loss is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”. If a cash flow hedge is determined to be no longer effective or the hedging relationship is terminated, the cumulative gain or loss on the hedging instrument that remains recognised in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements) from the period when the hedge was effective remains separately recognised in revaluation reserves until the forecast hedged transaction occurs or is determined to be no longer possible; in the latter case gains or losses are transferred through profit or loss to item “80. Net gains (losses) on trading”. The fair value changes are recorded in the Statement of other comprehensive income and disclosed in item “120. Valuation reserves" (item “110. Valuation reserves” in the Company financial statements); • hedging a net investment in a foreign entity, hedges of a net investment in a foreign entity whose activities are based or conducted in a country or currency other than those of the reporting entity are accounted for similarly to cash flow hedges. The gain or loss on the hedging instrument relating to the effective portion of the hedge that has been recognised directly in equity is recognised through profit or loss on disposal of the foreign entity. The fair value changes are recorded in the Statement of comprehensive income and disclosed in item “120. Valuation reserves (item “110. Valuation reserves” in the Company Financial Statements)"; the ineffective portion of the gain or loss is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”; Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 189 4 - Hedge accounting Hedging instruments are created to hedge market (interest-rate, currency and price) and/or credit risk to which the hedged positions are exposed. They may be described as follows: • fair value hedge: a hedge of the exposure to changes in fair value of a recognised asset or liability, or an identifiable portion of such an asset or liability; • cash flow hedge: a hedge of the exposure to variability in cash flows that is attributable to a particular risk associated with a recognised asset or liability or a highly probable forecast transaction which could affect profit or loss in future periods; • hedge of a net investment in a foreign entity, whose operations are based or conducted in a currency other than euro. It should be noted that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Hedging derivatives are initially recognised on trade date and are valued at their fair value. A hedging relationship qualifies for hedge accounting if there is formal designation and documentation of the hedging relationship including the risk management objective, the strategy for undertaking the hedge, and how the hedging instrument’s prospective and retrospective effectiveness will be assessed. It is necessary to assess the hedge’s effectiveness, at inception and in subsequent periods, in offsetting the exposure to changes in the hedged item’s fair value or cash flows attributable to the hedged risk. Generally, a hedge is regarded as highly effective if, at the inception of the hedge and in subsequent periods, it is determined prospectively to remain highly effective, and retrospectively verified that the hedge ratio (i.e. the changes in fair value of hedged items and hedging instruments) is within a range of 80-125%. The hedge is assessed on an ongoing basis and thus must prospectively remain highly effective throughout the financial reporting periods for which the hedge has been designated. The assessment of effectiveness is made at each balance-sheet date or other reporting date. If the assessment does not confirm the effectiveness of the hedge, from that time on hedge accounting is discontinued in respect of the hedge and the hedging derivative is reclassified as a held-for-trading instrument. In addition, the hedging relationship ceases when (i) the hedging instrument expires or is sold, terminated or exercised, (ii) the hedged item is sold, expires or is repaid, (iii) it is no longer highly probable that the forecast transaction will occur. Hedging instruments are so designated when identifiable with an ultimate counterparty outside the Group. Hedging derivatives are measured at fair value. Specifically: • fair value hedging, an effective fair value hedge is accounted for as follows: the gain or loss from remeasuring the hedging instrument at fair value is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”; the gain or loss on the hedged item attributable to the hedged risk adjusts the carrying amount of the hedged item and is recognised through profit or loss in the same item. Hedging ineffectiveness is represented by the difference between the change in the fair value of hedging instruments and the change in the fair value of hedged item. If the hedging relationship is terminated for reasons other than the sale of the hedged item, the difference between the carrying amount of the hedged item on termination of the hedging and the carrying amount it would have had if the hedge had never existed, is recognised through profit or loss in interest receivable or payable over the residual life of the original hedge, in the case of interest-bearing instruments; if the financial instrument does not bear interest, the difference is recognised in profit or loss under item “90. Net gains (losses) on hedge accounting” at once. If the hedged item is sold or repaid, the portion of fair value which is still unamortised is at once recognised through profit or loss in item “100. Gains (Losses) on disposal and repurchase”; • cash flow hedging, hedging instruments are valued at fair value. Change in the fair value of a hedging instrument that is considered effective is recognised in equity item “120. Valuation reserves” (item “110. Valuation reserves” in the Company Financial Statements). The ineffective portion of the gain or loss is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”. If a cash flow hedge is determined to be no longer effective or the hedging relationship is terminated, the cumulative gain or loss on the hedging instrument that remains recognised in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements) from the period when the hedge was effective remains separately recognised in revaluation reserves until the forecast hedged transaction occurs or is determined to be no longer possible; in the latter case gains or losses are transferred through profit or loss to item “80. Net gains (losses) on trading”. The fair value changes are recorded in the Statement of other comprehensive income and disclosed in item “120. Valuation reserves" (item “110. Valuation reserves” in the Company financial statements); • hedging a net investment in a foreign entity, hedges of a net investment in a foreign entity whose activities are based or conducted in a country or currency other than those of the reporting entity are accounted for similarly to cash flow hedges. The gain or loss on the hedging instrument relating to the effective portion of the hedge that has been recognised directly in equity is recognised through profit or loss on disposal of the foreign entity. The fair value changes are recorded in the Statement of comprehensive income and disclosed in item “120. Valuation reserves (item “110. Valuation reserves” in the Company Financial Statements)"; the ineffective portion of the gain or loss is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”; Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 189 4 - Hedge accounting Hedging instruments are created to hedge market (interest-rate, currency and price) and/or credit risk to which the hedged positions are exposed. They may be described as follows: • fair value hedge: a hedge of the exposure to changes in fair value of a recognised asset or liability, or an identifiable portion of such an asset or liability; • cash flow hedge: a hedge of the exposure to variability in cash flows that is attributable to a particular risk associated with a recognised asset or liability or a highly probable forecast transaction which could affect profit or loss in future periods; • hedge of a net investment in a foreign entity, whose operations are based or conducted in a currency other than euro. It should be noted that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Hedging derivatives are initially recognised on trade date and are valued at their fair value. A hedging relationship qualifies for hedge accounting if there is formal designation and documentation of the hedging relationship including the risk management objective, the strategy for undertaking the hedge, and how the hedging instrument’s prospective and retrospective effectiveness will be assessed. It is necessary to assess the hedge’s effectiveness, at inception and in subsequent periods, in offsetting the exposure to changes in the hedged item’s fair value or cash flows attributable to the hedged risk. Generally, a hedge is regarded as highly effective if, at the inception of the hedge and in subsequent periods, it is determined prospectively to remain highly effective, and retrospectively verified that the hedge ratio (i.e. the changes in fair value of hedged items and hedging instruments) is within a range of 80-125%. The hedge is assessed on an ongoing basis and thus must prospectively remain highly effective throughout the financial reporting periods for which the hedge has been designated. The assessment of effectiveness is made at each balance-sheet date or other reporting date. If the assessment does not confirm the effectiveness of the hedge, from that time on hedge accounting is discontinued in respect of the hedge and the hedging derivative is reclassified as a held-for-trading instrument. In addition, the hedging relationship ceases when (i) the hedging instrument expires or is sold, terminated or exercised, (ii) the hedged item is sold, expires or is repaid, (iii) it is no longer highly probable that the forecast transaction will occur. Hedging instruments are so designated when identifiable with an ultimate counterparty outside the Group. Hedging derivatives are measured at fair value. Specifically: • fair value hedging, an effective fair value hedge is accounted for as follows: the gain or loss from remeasuring the hedging instrument at fair value is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”; the gain or loss on the hedged item attributable to the hedged risk adjusts the carrying amount of the hedged item and is recognised through profit or loss in the same item. Hedging ineffectiveness is represented by the difference between the change in the fair value of hedging instruments and the change in the fair value of hedged item. If the hedging relationship is terminated for reasons other than the sale of the hedged item, the difference between the carrying amount of the hedged item on termination of the hedging and the carrying amount it would have had if the hedge had never existed, is recognised through profit or loss in interest receivable or payable over the residual life of the original hedge, in the case of interest-bearing instruments; if the financial instrument does not bear interest, the difference is recognised in profit or loss under item “90. Net gains (losses) on hedge accounting” at once. If the hedged item is sold or repaid, the portion of fair value which is still unamortised is at once recognised through profit or loss in item “100. Gains (Losses) on disposal and repurchase”; • cash flow hedging, hedging instruments are valued at fair value. Change in the fair value of a hedging instrument that is considered effective is recognised in equity item “120. Valuation reserves” (item “110. Valuation reserves” in the Company Financial Statements). The ineffective portion of the gain or loss is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”. If a cash flow hedge is determined to be no longer effective or the hedging relationship is terminated, the cumulative gain or loss on the hedging instrument that remains recognised in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements) from the period when the hedge was effective remains separately recognised in revaluation reserves until the forecast hedged transaction occurs or is determined to be no longer possible; in the latter case gains or losses are transferred through profit or loss to item “80. Net gains (losses) on trading”. The fair value changes are recorded in the Statement of other comprehensive income and disclosed in item “120. Valuation reserves" (item “110. Valuation reserves” in the Company financial statements); • hedging a net investment in a foreign entity, hedges of a net investment in a foreign entity whose activities are based or conducted in a country or currency other than those of the reporting entity are accounted for similarly to cash flow hedges. The gain or loss on the hedging instrument relating to the effective portion of the hedge that has been recognised directly in equity is recognised through profit or loss on disposal of the foreign entity. The fair value changes are recorded in the Statement of comprehensive income and disclosed in item “120. Valuation reserves (item “110. Valuation reserves” in the Company Financial Statements)"; the ineffective portion of the gain or loss is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”; Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 190 2021 Annual Report and Accounts · UniCredit • macro-hedges of financial assets (liabilities) - IAS39 allows a fair-value item hedged against interest rate fluctuations to be not only a single asset or liability but also a monetary position contained in a number of financial assets or liabilities (or parts of them); accordingly, a group of derivatives can be used to offset fair-value fluctuations in hedged items due to changes in market rates. Macro-hedging may not be used for net positions resulting from the offsetting of assets and liabilities. As for fair value micro-hedging, macrohedging is considered highly effective if, at the inception of the hedge and in subsequent periods, changes in the fair value attributable to the hedged position are offset by changes in fair value of the hedging instrument and if the hedge ratio is retrospectively assessed falling within the range of 80-125%. Net changes, gains or losses, in the fair value of the macro-hedged assets and liabilities attributable to the hedged risk are recognised in asset item “60. Changes in fair value of portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)”, respectively and offset the profit and loss item “90. Net gains (losses) on hedge accounting “. The ineffectiveness of the hedging arises to the extent that the change in the fair value of the hedging item differs from the change in the fair value of the hedged monetary position. The extent of hedge ineffectiveness is in any case recognised in profit and loss item “90. Net gains (losses) on hedge accounting”. If the hedging relationship is terminated, for reasons other than the sale of the hedged items, cumulative gain or loss in items “60. Changes in fair value of portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)” is recognised through profit or loss in items “10. Interest income and similar revenues” or “20. Interest expenses and similar charges”, along the residual life of the hedged financial assets or liabilities. If the latter are sold or repaid, unamortised fair value is at once recognised through profit and loss in item “100. Gains (Losses) on disposal and repurchase”. 5 - Equity investments The principles governing the recognition and measurement of equity investments under IFRS10 Consolidated financial statements, IAS27 Company financial statements, IAS28 Investments in associates and joint ventures and IFRS11 Joint Arrangements are provided in detail in the paragraph “Section 3 - Consolidation scope and methods” of the Notes to the consolidated accounts Part A - Accounting policies, A.1 - General, where disclosure on the evaluation processes and key assumptions used to assess the existence of control, joint control or significant influence in accordance with IFRS12 (paragraphs 7-9) is provided. The remaining interests other than subsidiaries, associates and joint ventures, and interests recognised in items “120. Non-current assets and disposal groups classified as held for sale” and “70. Liabilities associated with assets classified as held for sale” are classified as financial assets at fair value through other comprehensive income or other financial assets mandatorily at fair value and accordingly accounted. 6 - Property, plant and equipment (Tangible assets) The item includes: • land; • buildings; • furniture and fixtures; • plant and machinery; • other machinery and equipment; and is divided between: • assets used in the business; • assets held as investments; • inventories in the scope of IAS2 standard. This item also includes tangible assets arising from collection of collaterals. Assets used in the business and Assets held as investments Assets used in the business are held for use in the production or supply of goods or services or for administrative purposes and are expected to be used for more than one period. This category also conventionally includes assets to be let or under construction and to be leased under a finance lease, only for those finance leases which provide for retention of risk by the lessor until the acceptance of the asset by the lessee and the start of rentals under the finance lease. The item “Property, plant and equipment” includes assets used by the Group as lessee under a lease contract (right of use) or let/hired out by the Group as lessor under an operating lease. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 190 2021 Annual Report and Accounts · UniCredit • macro-hedges of financial assets (liabilities) - IAS39 allows a fair-value item hedged against interest rate fluctuations to be not only a single asset or liability but also a monetary position contained in a number of financial assets or liabilities (or parts of them); accordingly, a group of derivatives can be used to offset fair-value fluctuations in hedged items due to changes in market rates. Macro-hedging may not be used for net positions resulting from the offsetting of assets and liabilities. As for fair value micro-hedging, macrohedging is considered highly effective if, at the inception of the hedge and in subsequent periods, changes in the fair value attributable to the hedged position are offset by changes in fair value of the hedging instrument and if the hedge ratio is retrospectively assessed falling within the range of 80-125%. Net changes, gains or losses, in the fair value of the macro-hedged assets and liabilities attributable to the hedged risk are recognised in asset item “60. Changes in fair value of portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)”, respectively and offset the profit and loss item “90. Net gains (losses) on hedge accounting “. The ineffectiveness of the hedging arises to the extent that the change in the fair value of the hedging item differs from the change in the fair value of the hedged monetary position. The extent of hedge ineffectiveness is in any case recognised in profit and loss item “90. Net gains (losses) on hedge accounting”. If the hedging relationship is terminated, for reasons other than the sale of the hedged items, cumulative gain or loss in items “60. Changes in fair value of portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)” is recognised through profit or loss in items “10. Interest income and similar revenues” or “20. Interest expenses and similar charges”, along the residual life of the hedged financial assets or liabilities. If the latter are sold or repaid, unamortised fair value is at once recognised through profit and loss in item “100. Gains (Losses) on disposal and repurchase”. 5 - Equity investments The principles governing the recognition and measurement of equity investments under IFRS10 Consolidated financial statements, IAS27 Company financial statements, IAS28 Investments in associates and joint ventures and IFRS11 Joint Arrangements are provided in detail in the paragraph “Section 3 - Consolidation scope and methods” of the Notes to the consolidated accounts Part A - Accounting policies, A.1 - General, where disclosure on the evaluation processes and key assumptions used to assess the existence of control, joint control or significant influence in accordance with IFRS12 (paragraphs 7-9) is provided. The remaining interests other than subsidiaries, associates and joint ventures, and interests recognised in items “120. Non-current assets and disposal groups classified as held for sale” and “70. Liabilities associated with assets classified as held for sale” are classified as financial assets at fair value through other comprehensive income or other financial assets mandatorily at fair value and accordingly accounted. 6 - Property, plant and equipment (Tangible assets) The item includes: • land; • buildings; • furniture and fixtures; • plant and machinery; • other machinery and equipment; and is divided between: • assets used in the business; • assets held as investments; • inventories in the scope of IAS2 standard. This item also includes tangible assets arising from collection of collaterals. Assets used in the business and Assets held as investments Assets used in the business are held for use in the production or supply of goods or services or for administrative purposes and are expected to be used for more than one period. This category also conventionally includes assets to be let or under construction and to be leased under a finance lease, only for those finance leases which provide for retention of risk by the lessor until the acceptance of the asset by the lessee and the start of rentals under the finance lease. The item “Property, plant and equipment” includes assets used by the Group as lessee under a lease contract (right of use) or let/hired out by the Group as lessor under an operating lease. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 190 2021 Annual Report and Accounts · UniCredit • macro-hedges of financial assets (liabilities) - IAS39 allows a fair-value item hedged against interest rate fluctuations to be not only a single asset or liability but also a monetary position contained in a number of financial assets or liabilities (or parts of them); accordingly, a group of derivatives can be used to offset fair-value fluctuations in hedged items due to changes in market rates. Macro-hedging may not be used for net positions resulting from the offsetting of assets and liabilities. As for fair value micro-hedging, macrohedging is considered highly effective if, at the inception of the hedge and in subsequent periods, changes in the fair value attributable to the hedged position are offset by changes in fair value of the hedging instrument and if the hedge ratio is retrospectively assessed falling within the range of 80-125%. Net changes, gains or losses, in the fair value of the macro-hedged assets and liabilities attributable to the hedged risk are recognised in asset item “60. Changes in fair value of portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)”, respectively and offset the profit and loss item “90. Net gains (losses) on hedge accounting “. The ineffectiveness of the hedging arises to the extent that the change in the fair value of the hedging item differs from the change in the fair value of the hedged monetary position. The extent of hedge ineffectiveness is in any case recognised in profit and loss item “90. Net gains (losses) on hedge accounting”. If the hedging relationship is terminated, for reasons other than the sale of the hedged items, cumulative gain or loss in items “60. Changes in fair value of portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)” is recognised through profit or loss in items “10. Interest income and similar revenues” or “20. Interest expenses and similar charges”, along the residual life of the hedged financial assets or liabilities. If the latter are sold or repaid, unamortised fair value is at once recognised through profit and loss in item “100. Gains (Losses) on disposal and repurchase”. 5 - Equity investments The principles governing the recognition and measurement of equity investments under IFRS10 Consolidated financial statements, IAS27 Company financial statements, IAS28 Investments in associates and joint ventures and IFRS11 Joint Arrangements are provided in detail in the paragraph “Section 3 - Consolidation scope and methods” of the Notes to the consolidated accounts Part A - Accounting policies, A.1 - General, where disclosure on the evaluation processes and key assumptions used to assess the existence of control, joint control or significant influence in accordance with IFRS12 (paragraphs 7-9) is provided. The remaining interests other than subsidiaries, associates and joint ventures, and interests recognised in items “120. Non-current assets and disposal groups classified as held for sale” and “70. Liabilities associated with assets classified as held for sale” are classified as financial assets at fair value through other comprehensive income or other financial assets mandatorily at fair value and accordingly accounted. 6 - Property, plant and equipment (Tangible assets) The item includes: • land; • buildings; • furniture and fixtures; • plant and machinery; • other machinery and equipment; and is divided between: • assets used in the business; • assets held as investments; • inventories in the scope of IAS2 standard. This item also includes tangible assets arising from collection of collaterals. Assets used in the business and Assets held as investments Assets used in the business are held for use in the production or supply of goods or services or for administrative purposes and are expected to be used for more than one period. This category also conventionally includes assets to be let or under construction and to be leased under a finance lease, only for those finance leases which provide for retention of risk by the lessor until the acceptance of the asset by the lessee and the start of rentals under the finance lease. The item “Property, plant and equipment” includes assets used by the Group as lessee under a lease contract (right of use) or let/hired out by the Group as lessor under an operating lease. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 190 2021 Annual Report and Accounts · UniCredit • macro-hedges of financial assets (liabilities) - IAS39 allows a fair-value item hedged against interest rate fluctuations to be not only a single asset or liability but also a monetary position contained in a number of financial assets or liabilities (or parts of them); accordingly, a group of derivatives can be used to offset fair-value fluctuations in hedged items due to changes in market rates. Macro-hedging may not be used for net positions resulting from the offsetting of assets and liabilities. As for fair value micro-hedging, macrohedging is considered highly effective if, at the inception of the hedge and in subsequent periods, changes in the fair value attributable to the hedged position are offset by changes in fair value of the hedging instrument and if the hedge ratio is retrospectively assessed falling within the range of 80-125%. Net changes, gains or losses, in the fair value of the macro-hedged assets and liabilities attributable to the hedged risk are recognised in asset item “60. Changes in fair value of portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)”, respectively and offset the profit and loss item “90. Net gains (losses) on hedge accounting “. The ineffectiveness of the hedging arises to the extent that the change in the fair value of the hedging item differs from the change in the fair value of the hedged monetary position. The extent of hedge ineffectiveness is in any case recognised in profit and loss item “90. Net gains (losses) on hedge accounting”. If the hedging relationship is terminated, for reasons other than the sale of the hedged items, cumulative gain or loss in items “60. Changes in fair value of portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)” is recognised through profit or loss in items “10. Interest income and similar revenues” or “20. Interest expenses and similar charges”, along the residual life of the hedged financial assets or liabilities. If the latter are sold or repaid, unamortised fair value is at once recognised through profit and loss in item “100. Gains (Losses) on disposal and repurchase”. 5 - Equity investments The principles governing the recognition and measurement of equity investments under IFRS10 Consolidated financial statements, IAS27 Company financial statements, IAS28 Investments in associates and joint ventures and IFRS11 Joint Arrangements are provided in detail in the paragraph “Section 3 - Consolidation scope and methods” of the Notes to the consolidated accounts Part A - Accounting policies, A.1 - General, where disclosure on the evaluation processes and key assumptions used to assess the existence of control, joint control or significant influence in accordance with IFRS12 (paragraphs 7-9) is provided. The remaining interests other than subsidiaries, associates and joint ventures, and interests recognised in items “120. Non-current assets and disposal groups classified as held for sale” and “70. Liabilities associated with assets classified as held for sale” are classified as financial assets at fair value through other comprehensive income or other financial assets mandatorily at fair value and accordingly accounted. 6 - Property, plant and equipment (Tangible assets) The item includes: • land; • buildings; • furniture and fixtures; • plant and machinery; • other machinery and equipment; and is divided between: • assets used in the business; • assets held as investments; • inventories in the scope of IAS2 standard. This item also includes tangible assets arising from collection of collaterals. Assets used in the business and Assets held as investments Assets used in the business are held for use in the production or supply of goods or services or for administrative purposes and are expected to be used for more than one period. This category also conventionally includes assets to be let or under construction and to be leased under a finance lease, only for those finance leases which provide for retention of risk by the lessor until the acceptance of the asset by the lessee and the start of rentals under the finance lease. The item “Property, plant and equipment” includes assets used by the Group as lessee under a lease contract (right of use) or let/hired out by the Group as lessor under an operating lease. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 190 2021 Annual Report and Accounts · UniCredit • macro-hedges of financial assets (liabilities) - IAS39 allows a fair-value item hedged against interest rate fluctuations to be not only a single asset or liability but also a monetary position contained in a number of financial assets or liabilities (or parts of them); accordingly, a group of derivatives can be used to offset fair-value fluctuations in hedged items due to changes in market rates. Macro-hedging may not be used for net positions resulting from the offsetting of assets and liabilities. As for fair value micro-hedging, macrohedging is considered highly effective if, at the inception of the hedge and in subsequent periods, changes in the fair value attributable to the hedged position are offset by changes in fair value of the hedging instrument and if the hedge ratio is retrospectively assessed falling within the range of 80-125%. Net changes, gains or losses, in the fair value of the macro-hedged assets and liabilities attributable to the hedged risk are recognised in asset item “60. Changes in fair value of portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)”, respectively and offset the profit and loss item “90. Net gains (losses) on hedge accounting “. The ineffectiveness of the hedging arises to the extent that the change in the fair value of the hedging item differs from the change in the fair value of the hedged monetary position. The extent of hedge ineffectiveness is in any case recognised in profit and loss item “90. Net gains (losses) on hedge accounting”. If the hedging relationship is terminated, for reasons other than the sale of the hedged items, cumulative gain or loss in items “60. Changes in fair value of portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)” is recognised through profit or loss in items “10. Interest income and similar revenues” or “20. Interest expenses and similar charges”, along the residual life of the hedged financial assets or liabilities. If the latter are sold or repaid, unamortised fair value is at once recognised through profit and loss in item “100. Gains (Losses) on disposal and repurchase”. 5 - Equity investments The principles governing the recognition and measurement of equity investments under IFRS10 Consolidated financial statements, IAS27 Company financial statements, IAS28 Investments in associates and joint ventures and IFRS11 Joint Arrangements are provided in detail in the paragraph “Section 3 - Consolidation scope and methods” of the Notes to the consolidated accounts Part A - Accounting policies, A.1 - General, where disclosure on the evaluation processes and key assumptions used to assess the existence of control, joint control or significant influence in accordance with IFRS12 (paragraphs 7-9) is provided. The remaining interests other than subsidiaries, associates and joint ventures, and interests recognised in items “120. Non-current assets and disposal groups classified as held for sale” and “70. Liabilities associated with assets classified as held for sale” are classified as financial assets at fair value through other comprehensive income or other financial assets mandatorily at fair value and accordingly accounted. 6 - Property, plant and equipment (Tangible assets) The item includes: • land; • buildings; • furniture and fixtures; • plant and machinery; • other machinery and equipment; and is divided between: • assets used in the business; • assets held as investments; • inventories in the scope of IAS2 standard. This item also includes tangible assets arising from collection of collaterals. Assets used in the business and Assets held as investments Assets used in the business are held for use in the production or supply of goods or services or for administrative purposes and are expected to be used for more than one period. This category also conventionally includes assets to be let or under construction and to be leased under a finance lease, only for those finance leases which provide for retention of risk by the lessor until the acceptance of the asset by the lessee and the start of rentals under the finance lease. The item “Property, plant and equipment” includes assets used by the Group as lessee under a lease contract (right of use) or let/hired out by the Group as lessor under an operating lease. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 191 Property, plant and equipment also include leasehold improvements relating to assets which can be separately identified. They are classified according to the specific sub-items relating to the asset type (e.g., plants). Leasehold improvements are usually borne in order to make leased premises fit for the expected use. Improvements and additional expenses relating to property, plant and equipment identifiable but not separable are recognised in item “130. Other assets” (item “120. Other assets” in the Company financial statements). Assets held for investment purposes are properties covered by IAS40, i.e., properties held (owned or under a lease contract) in order to derive rentals and/or a capital gain. Property, plant and equipment are initially recognised at cost including all costs directly attributable to bringing the asset into use (transaction costs, professional fees, direct transport costs incurred in bringing the asset to the desired location, installation costs and dismantling costs). Subsequent costs are added to the carrying amount or recognised as a separate asset only when it is probable that there will be future economic benefits in excess of those initially foreseen and the cost can be reliably measured. Other expenses borne at a later time (e.g., normal maintenance costs) are recognised in the year they are incurred in profit and loss items: • “190. Administrative expenses: b) other administrative expenses” (item “160. Administrative expenses: b) other administrative expenses of the Company financial statements, if they refer to assets used in the business; or • “230. Other operating expenses/income” (item “200. Other operating expenses/income” of the Company financial statements) if they refer to property held for investment. After being recognised as an asset: • buildings and lands used in the business are measured according to revaluation model; • tangible assets used in the business, different from lands and buildings, are measured according to cost model; • buildings and lands held as investments are measured according to fair value model. Revaluation model requires tangible assets to be exposed in Balance sheet at a value not significantly different from fair value. In this respect, UniCredit group requests such assets to be revalued on a half year basis through “desktop” or “on site” appraisals, based on the asset relevance, performed by external appraisers. Positive changes in fair value are booked in Other comprehensive income statement, item “50. Property, plant and equipment” and, cumulated, in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements), unless they offset previous negative changes accounted for in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements). Negative changes in fair value are booked in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements), unless they offset previous positive changes accounted for in Other comprehensive income statement, item “50. Property, plant and equipment” and, cumulated, in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). When the tangible asset is revalued at its fair value it is required to adjust both gross carrying amount and cumulated depreciation on the basis of the net carrying amount revaluation. Cost model requires the gross carrying amount to be depreciated across its useful life. Both tangible assets measured according to revaluation model and cost model are subject to straight-line depreciation over their useful life to the extent they have a finite useful life. Residual useful life is usually assessed, for the Group and UniCredit S.p.A. as follows: TYPOLOGY GROUP UniCredit S.p.A. Buildings up to 50 years up to 33 years Furniture and fixtures up to 25 years up to 7 years Electronic equipment up to 15 years up to 12 years Other up to 10 years up to 7 years Leasehold improvements up to 25 years up to 15 years Depreciations are accounted for, period by period, in item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). An item with an indefinite useful life is not depreciated. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 191 Property, plant and equipment also include leasehold improvements relating to assets which can be separately identified. They are classified according to the specific sub-items relating to the asset type (e.g., plants). Leasehold improvements are usually borne in order to make leased premises fit for the expected use. Improvements and additional expenses relating to property, plant and equipment identifiable but not separable are recognised in item “130. Other assets” (item “120. Other assets” in the Company financial statements). Assets held for investment purposes are properties covered by IAS40, i.e., properties held (owned or under a lease contract) in order to derive rentals and/or a capital gain. Property, plant and equipment are initially recognised at cost including all costs directly attributable to bringing the asset into use (transaction costs, professional fees, direct transport costs incurred in bringing the asset to the desired location, installation costs and dismantling costs). Subsequent costs are added to the carrying amount or recognised as a separate asset only when it is probable that there will be future economic benefits in excess of those initially foreseen and the cost can be reliably measured. Other expenses borne at a later time (e.g., normal maintenance costs) are recognised in the year they are incurred in profit and loss items: • “190. Administrative expenses: b) other administrative expenses” (item “160. Administrative expenses: b) other administrative expenses of the Company financial statements, if they refer to assets used in the business; or • “230. Other operating expenses/income” (item “200. Other operating expenses/income” of the Company financial statements) if they refer to property held for investment. After being recognised as an asset: • buildings and lands used in the business are measured according to revaluation model; • tangible assets used in the business, different from lands and buildings, are measured according to cost model; • buildings and lands held as investments are measured according to fair value model. Revaluation model requires tangible assets to be exposed in Balance sheet at a value not significantly different from fair value. In this respect, UniCredit group requests such assets to be revalued on a half year basis through “desktop” or “on site” appraisals, based on the asset relevance, performed by external appraisers. Positive changes in fair value are booked in Other comprehensive income statement, item “50. Property, plant and equipment” and, cumulated, in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements), unless they offset previous negative changes accounted for in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements). Negative changes in fair value are booked in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements), unless they offset previous positive changes accounted for in Other comprehensive income statement, item “50. Property, plant and equipment” and, cumulated, in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). When the tangible asset is revalued at its fair value it is required to adjust both gross carrying amount and cumulated depreciation on the basis of the net carrying amount revaluation. Cost model requires the gross carrying amount to be depreciated across its useful life. Both tangible assets measured according to revaluation model and cost model are subject to straight-line depreciation over their useful life to the extent they have a finite useful life. Residual useful life is usually assessed, for the Group and UniCredit S.p.A. as follows: TYPOLOGY GROUP UniCredit S.p.A. Buildings up to 50 years up to 33 years Furniture and fixtures up to 25 years up to 7 years Electronic equipment up to 15 years up to 12 years Other up to 10 years up to 7 years Leasehold improvements up to 25 years up to 15 years Depreciations are accounted for, period by period, in item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). An item with an indefinite useful life is not depreciated. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 191 Property, plant and equipment also include leasehold improvements relating to assets which can be separately identified. They are classified according to the specific sub-items relating to the asset type (e.g., plants). Leasehold improvements are usually borne in order to make leased premises fit for the expected use. Improvements and additional expenses relating to property, plant and equipment identifiable but not separable are recognised in item “130. Other assets” (item “120. Other assets” in the Company financial statements). Assets held for investment purposes are properties covered by IAS40, i.e., properties held (owned or under a lease contract) in order to derive rentals and/or a capital gain. Property, plant and equipment are initially recognised at cost including all costs directly attributable to bringing the asset into use (transaction costs, professional fees, direct transport costs incurred in bringing the asset to the desired location, installation costs and dismantling costs). Subsequent costs are added to the carrying amount or recognised as a separate asset only when it is probable that there will be future economic benefits in excess of those initially foreseen and the cost can be reliably measured. Other expenses borne at a later time (e.g., normal maintenance costs) are recognised in the year they are incurred in profit and loss items: • “190. Administrative expenses: b) other administrative expenses” (item “160. Administrative expenses: b) other administrative expenses of the Company financial statements, if they refer to assets used in the business; or • “230. Other operating expenses/income” (item “200. Other operating expenses/income” of the Company financial statements) if they refer to property held for investment. After being recognised as an asset: • buildings and lands used in the business are measured according to revaluation model; • tangible assets used in the business, different from lands and buildings, are measured according to cost model; • buildings and lands held as investments are measured according to fair value model. Revaluation model requires tangible assets to be exposed in Balance sheet at a value not significantly different from fair value. In this respect, UniCredit group requests such assets to be revalued on a half year basis through “desktop” or “on site” appraisals, based on the asset relevance, performed by external appraisers. Positive changes in fair value are booked in Other comprehensive income statement, item “50. Property, plant and equipment” and, cumulated, in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements), unless they offset previous negative changes accounted for in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements). Negative changes in fair value are booked in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements), unless they offset previous positive changes accounted for in Other comprehensive income statement, item “50. Property, plant and equipment” and, cumulated, in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). When the tangible asset is revalued at its fair value it is required to adjust both gross carrying amount and cumulated depreciation on the basis of the net carrying amount revaluation. Cost model requires the gross carrying amount to be depreciated across its useful life. Both tangible assets measured according to revaluation model and cost model are subject to straight-line depreciation over their useful life to the extent they have a finite useful life. Residual useful life is usually assessed, for the Group and UniCredit S.p.A. as follows: TYPOLOGY GROUP UniCredit S.p.A. Buildings up to 50 years up to 33 years Furniture and fixtures up to 25 years up to 7 years Electronic equipment up to 15 years up to 12 years Other up to 10 years up to 7 years Leasehold improvements up to 25 years up to 15 years Depreciations are accounted for, period by period, in item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). An item with an indefinite useful life is not depreciated. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 191 Property, plant and equipment also include leasehold improvements relating to assets which can be separately identified. They are classified according to the specific sub-items relating to the asset type (e.g., plants). Leasehold improvements are usually borne in order to make leased premises fit for the expected use. Improvements and additional expenses relating to property, plant and equipment identifiable but not separable are recognised in item “130. Other assets” (item “120. Other assets” in the Company financial statements). Assets held for investment purposes are properties covered by IAS40, i.e., properties held (owned or under a lease contract) in order to derive rentals and/or a capital gain. Property, plant and equipment are initially recognised at cost including all costs directly attributable to bringing the asset into use (transaction costs, professional fees, direct transport costs incurred in bringing the asset to the desired location, installation costs and dismantling costs). Subsequent costs are added to the carrying amount or recognised as a separate asset only when it is probable that there will be future economic benefits in excess of those initially foreseen and the cost can be reliably measured. Other expenses borne at a later time (e.g., normal maintenance costs) are recognised in the year they are incurred in profit and loss items: • “190. Administrative expenses: b) other administrative expenses” (item “160. Administrative expenses: b) other administrative expenses of the Company financial statements, if they refer to assets used in the business; or • “230. Other operating expenses/income” (item “200. Other operating expenses/income” of the Company financial statements) if they refer to property held for investment. After being recognised as an asset: • buildings and lands used in the business are measured according to revaluation model; • tangible assets used in the business, different from lands and buildings, are measured according to cost model; • buildings and lands held as investments are measured according to fair value model. Revaluation model requires tangible assets to be exposed in Balance sheet at a value not significantly different from fair value. In this respect, UniCredit group requests such assets to be revalued on a half year basis through “desktop” or “on site” appraisals, based on the asset relevance, performed by external appraisers. Positive changes in fair value are booked in Other comprehensive income statement, item “50. Property, plant and equipment” and, cumulated, in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements), unless they offset previous negative changes accounted for in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements). Negative changes in fair value are booked in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements), unless they offset previous positive changes accounted for in Other comprehensive income statement, item “50. Property, plant and equipment” and, cumulated, in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). When the tangible asset is revalued at its fair value it is required to adjust both gross carrying amount and cumulated depreciation on the basis of the net carrying amount revaluation. Cost model requires the gross carrying amount to be depreciated across its useful life. Both tangible assets measured according to revaluation model and cost model are subject to straight-line depreciation over their useful life to the extent they have a finite useful life. Residual useful life is usually assessed, for the Group and UniCredit S.p.A. as follows: TYPOLOGY GROUP UniCredit S.p.A. Buildings up to 50 years up to 33 years Furniture and fixtures up to 25 years up to 7 years Electronic equipment up to 15 years up to 12 years Other up to 10 years up to 7 years Leasehold improvements up to 25 years up to 15 years Depreciations are accounted for, period by period, in item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). An item with an indefinite useful life is not depreciated. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 191 Property, plant and equipment also include leasehold improvements relating to assets which can be separately identified. They are classified according to the specific sub-items relating to the asset type (e.g., plants). Leasehold improvements are usually borne in order to make leased premises fit for the expected use. Improvements and additional expenses relating to property, plant and equipment identifiable but not separable are recognised in item “130. Other assets” (item “120. Other assets” in the Company financial statements). Assets held for investment purposes are properties covered by IAS40, i.e., properties held (owned or under a lease contract) in order to derive rentals and/or a capital gain. Property, plant and equipment are initially recognised at cost including all costs directly attributable to bringing the asset into use (transaction costs, professional fees, direct transport costs incurred in bringing the asset to the desired location, installation costs and dismantling costs). Subsequent costs are added to the carrying amount or recognised as a separate asset only when it is probable that there will be future economic benefits in excess of those initially foreseen and the cost can be reliably measured. Other expenses borne at a later time (e.g., normal maintenance costs) are recognised in the year they are incurred in profit and loss items: • “190. Administrative expenses: b) other administrative expenses” (item “160. Administrative expenses: b) other administrative expenses of the Company financial statements, if they refer to assets used in the business; or • “230. Other operating expenses/income” (item “200. Other operating expenses/income” of the Company financial statements) if they refer to property held for investment. After being recognised as an asset: • buildings and lands used in the business are measured according to revaluation model; • tangible assets used in the business, different from lands and buildings, are measured according to cost model; • buildings and lands held as investments are measured according to fair value model. Revaluation model requires tangible assets to be exposed in Balance sheet at a value not significantly different from fair value. In this respect, UniCredit group requests such assets to be revalued on a half year basis through “desktop” or “on site” appraisals, based on the asset relevance, performed by external appraisers. Positive changes in fair value are booked in Other comprehensive income statement, item “50. Property, plant and equipment” and, cumulated, in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements), unless they offset previous negative changes accounted for in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements). Negative changes in fair value are booked in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements), unless they offset previous positive changes accounted for in Other comprehensive income statement, item “50. Property, plant and equipment” and, cumulated, in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). When the tangible asset is revalued at its fair value it is required to adjust both gross carrying amount and cumulated depreciation on the basis of the net carrying amount revaluation. Cost model requires the gross carrying amount to be depreciated across its useful life. Both tangible assets measured according to revaluation model and cost model are subject to straight-line depreciation over their useful life to the extent they have a finite useful life. Residual useful life is usually assessed, for the Group and UniCredit S.p.A. as follows: TYPOLOGY GROUP UniCredit S.p.A. Buildings up to 50 years up to 33 years Furniture and fixtures up to 25 years up to 7 years Electronic equipment up to 15 years up to 12 years Other up to 10 years up to 7 years Leasehold improvements up to 25 years up to 15 years Depreciations are accounted for, period by period, in item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). An item with an indefinite useful life is not depreciated. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 192 2021 Annual Report and Accounts · UniCredit Lands and buildings are recognised separately, even if acquired together. Land is not depreciated since it usually has an indefinite useful life. Buildings have instead a finite useful life and are therefore subject to depreciation. The estimate of the useful life of an asset is reviewed at least at each accounting period-end on the basis inter alia of the conditions of use of the asset, of maintenance conditions and expected obsolescence and, if expectations differ from previous estimates, the depreciation amount for the current and subsequent financial years is adjusted accordingly. If there is clear evidence that an asset measured according to cost model has been impaired the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling cost and its value in use, i.e., the present value of future cash flow expected to originate from the asset. Any value adjustment is recognised in profit and loss item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). If the value of a previously impaired asset is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there had been no losses recognised on the prior-year impairment. Buildings and land held as investments, including right of use on land and buildings classified as held for investment, are measured according to fair value model which requires to account for in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements), changes in fair value. Such assets are not subject to depreciation and impairment test. An item of property, plant and equipment is derecognised (i) on disposal or (ii) when no future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in profit and loss item “280. Gains (losses) on disposals on investments”, “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” or “210. Net value adjustments/write-backs on property, plant and equipment” (item “250. Gains (Losses) on disposals on investments”, 230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value, or 180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). For tangible assets measured according to revalued amount, any gain from disposal, including amounts cumulated in item “120. Valuation reserves”, (item “110. Valuation reserves” in the Company financial statements) is reclassified to item “150 Reserves” (item “140. Reserves in the Company financial statements) with no impact in income statement. Inventories in the scope of IAS2 standard Inventories are assets held for sale in the ordinary course of business. They are accounted for at the lower of their carrying amounts and net realizable value. Any value adjustment arising from the application of the aforementioned criterion is recognised under item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). 7 - Intangible assets An intangible asset is an identifiable non-monetary asset without physical substance which is expected to be used for more than one period, controlled by the Group and from which future economic benefits are probable. Intangible assets are principally goodwill, software, brands and patents. Intangible assets other than goodwill are recognised at purchase cost, i.e., including cost incurred to bring the asset into use, less accumulated amortisation and impairment losses. Costs sustained after purchase are: • added to initial cost, provided they increase future economic benefits arising from the underlying asset (i.e., if they increase its value or productive capacity); • in other cases (i.e., when they do not increase the asset’s original value, but are intended merely to preserve its original functionality) are taken to profit or loss in a single amount in the year in which they have been borne. In case of internally generated software the expenses incurred to develop the project are recognised under intangible assets only if the following elements are demonstrated: the technical feasibility of the project, the intention to complete the intangible asset, its future usefulness, the availability of adequate technical, financial and other resources to complete the development and the ability to measure reliably the expenditure attributable to the intangible asset during its development. An intangible asset with a finite life is subject to straight-line amortisation over its estimated useful life. Residual useful life is usually assessed as follows: • software up to 7 years; • other intangible assets up to 20 years. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 192 2021 Annual Report and Accounts · UniCredit Lands and buildings are recognised separately, even if acquired together. Land is not depreciated since it usually has an indefinite useful life. Buildings have instead a finite useful life and are therefore subject to depreciation. The estimate of the useful life of an asset is reviewed at least at each accounting period-end on the basis inter alia of the conditions of use of the asset, of maintenance conditions and expected obsolescence and, if expectations differ from previous estimates, the depreciation amount for the current and subsequent financial years is adjusted accordingly. If there is clear evidence that an asset measured according to cost model has been impaired the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling cost and its value in use, i.e., the present value of future cash flow expected to originate from the asset. Any value adjustment is recognised in profit and loss item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). If the value of a previously impaired asset is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there had been no losses recognised on the prior-year impairment. Buildings and land held as investments, including right of use on land and buildings classified as held for investment, are measured according to fair value model which requires to account for in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements), changes in fair value. Such assets are not subject to depreciation and impairment test. An item of property, plant and equipment is derecognised (i) on disposal or (ii) when no future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in profit and loss item “280. Gains (losses) on disposals on investments”, “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” or “210. Net value adjustments/write-backs on property, plant and equipment” (item “250. Gains (Losses) on disposals on investments”, 230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value, or 180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). For tangible assets measured according to revalued amount, any gain from disposal, including amounts cumulated in item “120. Valuation reserves”, (item “110. Valuation reserves” in the Company financial statements) is reclassified to item “150 Reserves” (item “140. Reserves in the Company financial statements) with no impact in income statement. Inventories in the scope of IAS2 standard Inventories are assets held for sale in the ordinary course of business. They are accounted for at the lower of their carrying amounts and net realizable value. Any value adjustment arising from the application of the aforementioned criterion is recognised under item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). 7 - Intangible assets An intangible asset is an identifiable non-monetary asset without physical substance which is expected to be used for more than one period, controlled by the Group and from which future economic benefits are probable. Intangible assets are principally goodwill, software, brands and patents. Intangible assets other than goodwill are recognised at purchase cost, i.e., including cost incurred to bring the asset into use, less accumulated amortisation and impairment losses. Costs sustained after purchase are: • added to initial cost, provided they increase future economic benefits arising from the underlying asset (i.e., if they increase its value or productive capacity); • in other cases (i.e., when they do not increase the asset’s original value, but are intended merely to preserve its original functionality) are taken to profit or loss in a single amount in the year in which they have been borne. In case of internally generated software the expenses incurred to develop the project are recognised under intangible assets only if the following elements are demonstrated: the technical feasibility of the project, the intention to complete the intangible asset, its future usefulness, the availability of adequate technical, financial and other resources to complete the development and the ability to measure reliably the expenditure attributable to the intangible asset during its development. An intangible asset with a finite life is subject to straight-line amortisation over its estimated useful life. Residual useful life is usually assessed as follows: • software up to 7 years; • other intangible assets up to 20 years. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 192 2021 Annual Report and Accounts · UniCredit Lands and buildings are recognised separately, even if acquired together. Land is not depreciated since it usually has an indefinite useful life. Buildings have instead a finite useful life and are therefore subject to depreciation. The estimate of the useful life of an asset is reviewed at least at each accounting period-end on the basis inter alia of the conditions of use of the asset, of maintenance conditions and expected obsolescence and, if expectations differ from previous estimates, the depreciation amount for the current and subsequent financial years is adjusted accordingly. If there is clear evidence that an asset measured according to cost model has been impaired the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling cost and its value in use, i.e., the present value of future cash flow expected to originate from the asset. Any value adjustment is recognised in profit and loss item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). If the value of a previously impaired asset is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there had been no losses recognised on the prior-year impairment. Buildings and land held as investments, including right of use on land and buildings classified as held for investment, are measured according to fair value model which requires to account for in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements), changes in fair value. Such assets are not subject to depreciation and impairment test. An item of property, plant and equipment is derecognised (i) on disposal or (ii) when no future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in profit and loss item “280. Gains (losses) on disposals on investments”, “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” or “210. Net value adjustments/write-backs on property, plant and equipment” (item “250. Gains (Losses) on disposals on investments”, 230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value, or 180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). For tangible assets measured according to revalued amount, any gain from disposal, including amounts cumulated in item “120. Valuation reserves”, (item “110. Valuation reserves” in the Company financial statements) is reclassified to item “150 Reserves” (item “140. Reserves in the Company financial statements) with no impact in income statement. Inventories in the scope of IAS2 standard Inventories are assets held for sale in the ordinary course of business. They are accounted for at the lower of their carrying amounts and net realizable value. Any value adjustment arising from the application of the aforementioned criterion is recognised under item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). 7 - Intangible assets An intangible asset is an identifiable non-monetary asset without physical substance which is expected to be used for more than one period, controlled by the Group and from which future economic benefits are probable. Intangible assets are principally goodwill, software, brands and patents. Intangible assets other than goodwill are recognised at purchase cost, i.e., including cost incurred to bring the asset into use, less accumulated amortisation and impairment losses. Costs sustained after purchase are: • added to initial cost, provided they increase future economic benefits arising from the underlying asset (i.e., if they increase its value or productive capacity); • in other cases (i.e., when they do not increase the asset’s original value, but are intended merely to preserve its original functionality) are taken to profit or loss in a single amount in the year in which they have been borne. In case of internally generated software the expenses incurred to develop the project are recognised under intangible assets only if the following elements are demonstrated: the technical feasibility of the project, the intention to complete the intangible asset, its future usefulness, the availability of adequate technical, financial and other resources to complete the development and the ability to measure reliably the expenditure attributable to the intangible asset during its development. An intangible asset with a finite life is subject to straight-line amortisation over its estimated useful life. Residual useful life is usually assessed as follows: • software up to 7 years; • other intangible assets up to 20 years. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 192 2021 Annual Report and Accounts · UniCredit Lands and buildings are recognised separately, even if acquired together. Land is not depreciated since it usually has an indefinite useful life. Buildings have instead a finite useful life and are therefore subject to depreciation. The estimate of the useful life of an asset is reviewed at least at each accounting period-end on the basis inter alia of the conditions of use of the asset, of maintenance conditions and expected obsolescence and, if expectations differ from previous estimates, the depreciation amount for the current and subsequent financial years is adjusted accordingly. If there is clear evidence that an asset measured according to cost model has been impaired the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling cost and its value in use, i.e., the present value of future cash flow expected to originate from the asset. Any value adjustment is recognised in profit and loss item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). If the value of a previously impaired asset is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there had been no losses recognised on the prior-year impairment. Buildings and land held as investments, including right of use on land and buildings classified as held for investment, are measured according to fair value model which requires to account for in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements), changes in fair value. Such assets are not subject to depreciation and impairment test. An item of property, plant and equipment is derecognised (i) on disposal or (ii) when no future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in profit and loss item “280. Gains (losses) on disposals on investments”, “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” or “210. Net value adjustments/write-backs on property, plant and equipment” (item “250. Gains (Losses) on disposals on investments”, 230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value, or 180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). For tangible assets measured according to revalued amount, any gain from disposal, including amounts cumulated in item “120. Valuation reserves”, (item “110. Valuation reserves” in the Company financial statements) is reclassified to item “150 Reserves” (item “140. Reserves in the Company financial statements) with no impact in income statement. Inventories in the scope of IAS2 standard Inventories are assets held for sale in the ordinary course of business. They are accounted for at the lower of their carrying amounts and net realizable value. Any value adjustment arising from the application of the aforementioned criterion is recognised under item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). 7 - Intangible assets An intangible asset is an identifiable non-monetary asset without physical substance which is expected to be used for more than one period, controlled by the Group and from which future economic benefits are probable. Intangible assets are principally goodwill, software, brands and patents. Intangible assets other than goodwill are recognised at purchase cost, i.e., including cost incurred to bring the asset into use, less accumulated amortisation and impairment losses. Costs sustained after purchase are: • added to initial cost, provided they increase future economic benefits arising from the underlying asset (i.e., if they increase its value or productive capacity); • in other cases (i.e., when they do not increase the asset’s original value, but are intended merely to preserve its original functionality) are taken to profit or loss in a single amount in the year in which they have been borne. In case of internally generated software the expenses incurred to develop the project are recognised under intangible assets only if the following elements are demonstrated: the technical feasibility of the project, the intention to complete the intangible asset, its future usefulness, the availability of adequate technical, financial and other resources to complete the development and the ability to measure reliably the expenditure attributable to the intangible asset during its development. An intangible asset with a finite life is subject to straight-line amortisation over its estimated useful life. Residual useful life is usually assessed as follows: • software up to 7 years; • other intangible assets up to 20 years. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 192 2021 Annual Report and Accounts · UniCredit Lands and buildings are recognised separately, even if acquired together. Land is not depreciated since it usually has an indefinite useful life. Buildings have instead a finite useful life and are therefore subject to depreciation. The estimate of the useful life of an asset is reviewed at least at each accounting period-end on the basis inter alia of the conditions of use of the asset, of maintenance conditions and expected obsolescence and, if expectations differ from previous estimates, the depreciation amount for the current and subsequent financial years is adjusted accordingly. If there is clear evidence that an asset measured according to cost model has been impaired the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling cost and its value in use, i.e., the present value of future cash flow expected to originate from the asset. Any value adjustment is recognised in profit and loss item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). If the value of a previously impaired asset is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there had been no losses recognised on the prior-year impairment. Buildings and land held as investments, including right of use on land and buildings classified as held for investment, are measured according to fair value model which requires to account for in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” (item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” in the Company financial statements), changes in fair value. Such assets are not subject to depreciation and impairment test. An item of property, plant and equipment is derecognised (i) on disposal or (ii) when no future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in profit and loss item “280. Gains (losses) on disposals on investments”, “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” or “210. Net value adjustments/write-backs on property, plant and equipment” (item “250. Gains (Losses) on disposals on investments”, 230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value, or 180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). For tangible assets measured according to revalued amount, any gain from disposal, including amounts cumulated in item “120. Valuation reserves”, (item “110. Valuation reserves” in the Company financial statements) is reclassified to item “150 Reserves” (item “140. Reserves in the Company financial statements) with no impact in income statement. Inventories in the scope of IAS2 standard Inventories are assets held for sale in the ordinary course of business. They are accounted for at the lower of their carrying amounts and net realizable value. Any value adjustment arising from the application of the aforementioned criterion is recognised under item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). 7 - Intangible assets An intangible asset is an identifiable non-monetary asset without physical substance which is expected to be used for more than one period, controlled by the Group and from which future economic benefits are probable. Intangible assets are principally goodwill, software, brands and patents. Intangible assets other than goodwill are recognised at purchase cost, i.e., including cost incurred to bring the asset into use, less accumulated amortisation and impairment losses. Costs sustained after purchase are: • added to initial cost, provided they increase future economic benefits arising from the underlying asset (i.e., if they increase its value or productive capacity); • in other cases (i.e., when they do not increase the asset’s original value, but are intended merely to preserve its original functionality) are taken to profit or loss in a single amount in the year in which they have been borne. In case of internally generated software the expenses incurred to develop the project are recognised under intangible assets only if the following elements are demonstrated: the technical feasibility of the project, the intention to complete the intangible asset, its future usefulness, the availability of adequate technical, financial and other resources to complete the development and the ability to measure reliably the expenditure attributable to the intangible asset during its development. An intangible asset with a finite life is subject to straight-line amortisation over its estimated useful life. Residual useful life is usually assessed as follows: • software up to 7 years; • other intangible assets up to 20 years. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 193 Intangible assets with an indefinite life are not amortised. If there is clear evidence that an asset has been impaired, the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling costs and its value in use, i.e. the present value of future cash flows expected to originate from the asset. Any impairment loss is recognised in profit and loss item “220. Net value adjustments/write-backs on intangible assets”. For an intangible asset with indefinite life even if there are no indications of impairment, the carrying amount is compared annually with its recoverable value. If the carrying amount is greater than the recoverable value, the difference is recognised in profit and loss item “220. Net value adjustments/write-backs on intangible assets”. If the value of a previously impaired intangible asset, other than goodwill is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there were no losses recognised on the prior-years impairment. An intangible asset is derecognised (i) on disposal or (ii) when no further future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in the profit and loss item “280. Gains (Losses) on disposals on investments” or “220. Net value adjustments/write-backs on intangible assets”, respectively. Goodwill In accordance with IFRS3 goodwill is the excess of the cost of a business combination over the interest acquired in the net fair value of the assets and liabilities acquired at the acquisition date. Goodwill arising from the acquisitions of subsidiaries is recognised as an intangible asset, whereas goodwill arising from the acquisition of associates is included in the carrying amount of the investments in associates. At a subsequent financial reporting date, goodwill is recognised net of any cumulative impairment losses and is not amortised. Goodwill is tested for impairment annually, as for other intangible assets with an indefinite useful life. To this end it is allocated to the Group’s business areas identified as the Cash Generating Units (CGUs). Goodwill is monitored by the CGUs at the lowest level in the Group in line with its business model. Impairment losses on goodwill are recognised in profit and loss item “270. Goodwill impairment”. In respect of goodwill, no write-backs are allowed. Note that no Goodwill is recognised in the financial statement of the Group at the date of reporting. 8 - Non-current assets and disposal groups classified as held for sale These categories include individual assets held for disposal (tangible, intangible and financial assets) or groups of assets held for sale, with the related liabilities, as required by IFRS5. Individual assets (or groups of assets held for sale) are recognised in item “120. Non-current assets and disposal groups classified as held for sale” and item “70. Liabilities associated with assets classified as held for sale” (item “110. Non-current assets and disposal groups classified as held for sale” and “70. Liabilities associated with assets classified as held for sale” in the Company financial statements) respectively, at the lower of their carrying amounts and fair values less costs to sell. The revaluation reserves relating to non-current assets classified as held for sale, which are recorded as a contra item to changes in value relevant for this purpose, are reported separately in the Statement of other comprehensive income (see “Part D - Consolidated other comprehensive income” of the of the Consolidated financial statements of UniCredit group). The net balance of profits (dividends, interest income, etc.) and losses (interest expense, etc.) attributable to discontinued operations are recognised in the income statement under item “320. Profit (Loss) after tax from discontinued operations” (item “290. Profit (Loss) after tax from discontinued operations” in the Company financial statements). Profits and losses attributable to individual assets or disposal groups, that do not constitute discontinued operations, held for disposal are recognised in the income statement under the appropriate item. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 193 Intangible assets with an indefinite life are not amortised. If there is clear evidence that an asset has been impaired, the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling costs and its value in use, i.e. the present value of future cash flows expected to originate from the asset. Any impairment loss is recognised in profit and loss item “220. Net value adjustments/write-backs on intangible assets”. For an intangible asset with indefinite life even if there are no indications of impairment, the carrying amount is compared annually with its recoverable value. If the carrying amount is greater than the recoverable value, the difference is recognised in profit and loss item “220. Net value adjustments/write-backs on intangible assets”. If the value of a previously impaired intangible asset, other than goodwill is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there were no losses recognised on the prior-years impairment. An intangible asset is derecognised (i) on disposal or (ii) when no further future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in the profit and loss item “280. Gains (Losses) on disposals on investments” or “220. Net value adjustments/write-backs on intangible assets”, respectively. Goodwill In accordance with IFRS3 goodwill is the excess of the cost of a business combination over the interest acquired in the net fair value of the assets and liabilities acquired at the acquisition date. Goodwill arising from the acquisitions of subsidiaries is recognised as an intangible asset, whereas goodwill arising from the acquisition of associates is included in the carrying amount of the investments in associates. At a subsequent financial reporting date, goodwill is recognised net of any cumulative impairment losses and is not amortised. Goodwill is tested for impairment annually, as for other intangible assets with an indefinite useful life. To this end it is allocated to the Group’s business areas identified as the Cash Generating Units (CGUs). Goodwill is monitored by the CGUs at the lowest level in the Group in line with its business model. Impairment losses on goodwill are recognised in profit and loss item “270. Goodwill impairment”. In respect of goodwill, no write-backs are allowed. Note that no Goodwill is recognised in the financial statement of the Group at the date of reporting. 8 - Non-current assets and disposal groups classified as held for sale These categories include individual assets held for disposal (tangible, intangible and financial assets) or groups of assets held for sale, with the related liabilities, as required by IFRS5. Individual assets (or groups of assets held for sale) are recognised in item “120. Non-current assets and disposal groups classified as held for sale” and item “70. Liabilities associated with assets classified as held for sale” (item “110. Non-current assets and disposal groups classified as held for sale” and “70. Liabilities associated with assets classified as held for sale” in the Company financial statements) respectively, at the lower of their carrying amounts and fair values less costs to sell. The revaluation reserves relating to non-current assets classified as held for sale, which are recorded as a contra item to changes in value relevant for this purpose, are reported separately in the Statement of other comprehensive income (see “Part D - Consolidated other comprehensive income” of the of the Consolidated financial statements of UniCredit group). The net balance of profits (dividends, interest income, etc.) and losses (interest expense, etc.) attributable to discontinued operations are recognised in the income statement under item “320. Profit (Loss) after tax from discontinued operations” (item “290. Profit (Loss) after tax from discontinued operations” in the Company financial statements). Profits and losses attributable to individual assets or disposal groups, that do not constitute discontinued operations, held for disposal are recognised in the income statement under the appropriate item. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 193 Intangible assets with an indefinite life are not amortised. If there is clear evidence that an asset has been impaired, the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling costs and its value in use, i.e. the present value of future cash flows expected to originate from the asset. Any impairment loss is recognised in profit and loss item “220. Net value adjustments/write-backs on intangible assets”. For an intangible asset with indefinite life even if there are no indications of impairment, the carrying amount is compared annually with its recoverable value. If the carrying amount is greater than the recoverable value, the difference is recognised in profit and loss item “220. Net value adjustments/write-backs on intangible assets”. If the value of a previously impaired intangible asset, other than goodwill is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there were no losses recognised on the prior-years impairment. An intangible asset is derecognised (i) on disposal or (ii) when no further future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in the profit and loss item “280. Gains (Losses) on disposals on investments” or “220. Net value adjustments/write-backs on intangible assets”, respectively. Goodwill In accordance with IFRS3 goodwill is the excess of the cost of a business combination over the interest acquired in the net fair value of the assets and liabilities acquired at the acquisition date. Goodwill arising from the acquisitions of subsidiaries is recognised as an intangible asset, whereas goodwill arising from the acquisition of associates is included in the carrying amount of the investments in associates. At a subsequent financial reporting date, goodwill is recognised net of any cumulative impairment losses and is not amortised. Goodwill is tested for impairment annually, as for other intangible assets with an indefinite useful life. To this end it is allocated to the Group’s business areas identified as the Cash Generating Units (CGUs). Goodwill is monitored by the CGUs at the lowest level in the Group in line with its business model. Impairment losses on goodwill are recognised in profit and loss item “270. Goodwill impairment”. In respect of goodwill, no write-backs are allowed. Note that no Goodwill is recognised in the financial statement of the Group at the date of reporting. 8 - Non-current assets and disposal groups classified as held for sale These categories include individual assets held for disposal (tangible, intangible and financial assets) or groups of assets held for sale, with the related liabilities, as required by IFRS5. Individual assets (or groups of assets held for sale) are recognised in item “120. Non-current assets and disposal groups classified as held for sale” and item “70. Liabilities associated with assets classified as held for sale” (item “110. Non-current assets and disposal groups classified as held for sale” and “70. Liabilities associated with assets classified as held for sale” in the Company financial statements) respectively, at the lower of their carrying amounts and fair values less costs to sell. The revaluation reserves relating to non-current assets classified as held for sale, which are recorded as a contra item to changes in value relevant for this purpose, are reported separately in the Statement of other comprehensive income (see “Part D - Consolidated other comprehensive income” of the of the Consolidated financial statements of UniCredit group). The net balance of profits (dividends, interest income, etc.) and losses (interest expense, etc.) attributable to discontinued operations are recognised in the income statement under item “320. Profit (Loss) after tax from discontinued operations” (item “290. Profit (Loss) after tax from discontinued operations” in the Company financial statements). Profits and losses attributable to individual assets or disposal groups, that do not constitute discontinued operations, held for disposal are recognised in the income statement under the appropriate item. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 193 Intangible assets with an indefinite life are not amortised. If there is clear evidence that an asset has been impaired, the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling costs and its value in use, i.e. the present value of future cash flows expected to originate from the asset. Any impairment loss is recognised in profit and loss item “220. Net value adjustments/write-backs on intangible assets”. For an intangible asset with indefinite life even if there are no indications of impairment, the carrying amount is compared annually with its recoverable value. If the carrying amount is greater than the recoverable value, the difference is recognised in profit and loss item “220. Net value adjustments/write-backs on intangible assets”. If the value of a previously impaired intangible asset, other than goodwill is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there were no losses recognised on the prior-years impairment. An intangible asset is derecognised (i) on disposal or (ii) when no further future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in the profit and loss item “280. Gains (Losses) on disposals on investments” or “220. Net value adjustments/write-backs on intangible assets”, respectively. Goodwill In accordance with IFRS3 goodwill is the excess of the cost of a business combination over the interest acquired in the net fair value of the assets and liabilities acquired at the acquisition date. Goodwill arising from the acquisitions of subsidiaries is recognised as an intangible asset, whereas goodwill arising from the acquisition of associates is included in the carrying amount of the investments in associates. At a subsequent financial reporting date, goodwill is recognised net of any cumulative impairment losses and is not amortised. Goodwill is tested for impairment annually, as for other intangible assets with an indefinite useful life. To this end it is allocated to the Group’s business areas identified as the Cash Generating Units (CGUs). Goodwill is monitored by the CGUs at the lowest level in the Group in line with its business model. Impairment losses on goodwill are recognised in profit and loss item “270. Goodwill impairment”. In respect of goodwill, no write-backs are allowed. Note that no Goodwill is recognised in the financial statement of the Group at the date of reporting. 8 - Non-current assets and disposal groups classified as held for sale These categories include individual assets held for disposal (tangible, intangible and financial assets) or groups of assets held for sale, with the related liabilities, as required by IFRS5. Individual assets (or groups of assets held for sale) are recognised in item “120. Non-current assets and disposal groups classified as held for sale” and item “70. Liabilities associated with assets classified as held for sale” (item “110. Non-current assets and disposal groups classified as held for sale” and “70. Liabilities associated with assets classified as held for sale” in the Company financial statements) respectively, at the lower of their carrying amounts and fair values less costs to sell. The revaluation reserves relating to non-current assets classified as held for sale, which are recorded as a contra item to changes in value relevant for this purpose, are reported separately in the Statement of other comprehensive income (see “Part D - Consolidated other comprehensive income” of the of the Consolidated financial statements of UniCredit group). The net balance of profits (dividends, interest income, etc.) and losses (interest expense, etc.) attributable to discontinued operations are recognised in the income statement under item “320. Profit (Loss) after tax from discontinued operations” (item “290. Profit (Loss) after tax from discontinued operations” in the Company financial statements). Profits and losses attributable to individual assets or disposal groups, that do not constitute discontinued operations, held for disposal are recognised in the income statement under the appropriate item. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 193 Intangible assets with an indefinite life are not amortised. If there is clear evidence that an asset has been impaired, the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling costs and its value in use, i.e. the present value of future cash flows expected to originate from the asset. Any impairment loss is recognised in profit and loss item “220. Net value adjustments/write-backs on intangible assets”. For an intangible asset with indefinite life even if there are no indications of impairment, the carrying amount is compared annually with its recoverable value. If the carrying amount is greater than the recoverable value, the difference is recognised in profit and loss item “220. Net value adjustments/write-backs on intangible assets”. If the value of a previously impaired intangible asset, other than goodwill is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there were no losses recognised on the prior-years impairment. An intangible asset is derecognised (i) on disposal or (ii) when no further future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in the profit and loss item “280. Gains (Losses) on disposals on investments” or “220. Net value adjustments/write-backs on intangible assets”, respectively. Goodwill In accordance with IFRS3 goodwill is the excess of the cost of a business combination over the interest acquired in the net fair value of the assets and liabilities acquired at the acquisition date. Goodwill arising from the acquisitions of subsidiaries is recognised as an intangible asset, whereas goodwill arising from the acquisition of associates is included in the carrying amount of the investments in associates. At a subsequent financial reporting date, goodwill is recognised net of any cumulative impairment losses and is not amortised. Goodwill is tested for impairment annually, as for other intangible assets with an indefinite useful life. To this end it is allocated to the Group’s business areas identified as the Cash Generating Units (CGUs). Goodwill is monitored by the CGUs at the lowest level in the Group in line with its business model. Impairment losses on goodwill are recognised in profit and loss item “270. Goodwill impairment”. In respect of goodwill, no write-backs are allowed. Note that no Goodwill is recognised in the financial statement of the Group at the date of reporting. 8 - Non-current assets and disposal groups classified as held for sale These categories include individual assets held for disposal (tangible, intangible and financial assets) or groups of assets held for sale, with the related liabilities, as required by IFRS5. Individual assets (or groups of assets held for sale) are recognised in item “120. Non-current assets and disposal groups classified as held for sale” and item “70. Liabilities associated with assets classified as held for sale” (item “110. Non-current assets and disposal groups classified as held for sale” and “70. Liabilities associated with assets classified as held for sale” in the Company financial statements) respectively, at the lower of their carrying amounts and fair values less costs to sell. The revaluation reserves relating to non-current assets classified as held for sale, which are recorded as a contra item to changes in value relevant for this purpose, are reported separately in the Statement of other comprehensive income (see “Part D - Consolidated other comprehensive income” of the of the Consolidated financial statements of UniCredit group). The net balance of profits (dividends, interest income, etc.) and losses (interest expense, etc.) attributable to discontinued operations are recognised in the income statement under item “320. Profit (Loss) after tax from discontinued operations” (item “290. Profit (Loss) after tax from discontinued operations” in the Company financial statements). Profits and losses attributable to individual assets or disposal groups, that do not constitute discontinued operations, held for disposal are recognised in the income statement under the appropriate item. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 194 2021 Annual Report and Accounts · UniCredit 9 - Current and deferred tax Tax assets and tax liabilities are recognised in the Consolidated balance sheet respectively in item “110. Tax assets” and item “60. Tax liabilities” (item “100. Tax assets” and” 60. Tax liabilities” in the Company financial statements). In compliance with the “balance sheet method”, current and deferred tax items are: • current tax assets, i.e. amount of tax paid in excess of income tax due in accordance with local tax regulations; • current tax liabilities, i.e. amount of corporate tax due in accordance with local tax regulations; • deferred tax assets, i.e. amounts of income tax recoverable in future fiscal years and attributable to: - deductible temporary differences; - the carryforward of unused tax losses; and - the carryforward of unused tax credits; • deferred tax liabilities, i.e. the amounts of income tax due in future fiscal years in respect of taxable temporary differences. Current and deferred tax assets and tax liabilities are calculated in accordance with local tax regulations and are recognised in profit or loss on an accrual basis. In general, deferred tax assets and liabilities arise when there is a difference between the accounting treatment and the tax treatment of the carrying amount of an asset or liability. Deferred tax assets and liabilities are recognised applying tax rates that at the balance sheet date are expected to apply in the period when the carrying amount of the asset will be recovered or the liability will be settled on the basis of tax regulations in force, and are periodically reviewed in order to reflect any changes in regulations. In addition, under the tax consolidation system adopted, deferred tax assets are recognised only to the extent that it is probable that sufficient taxable profit will be generated by the entity. In accordance with the provisions of IAS12, the probability that sufficient future taxable profit against which the deferred tax assets can be utilised will be available is reviewed periodically. The carrying amount of deferred tax assets should be reduced to the extent that it is not probable that sufficient taxable profit will be available. Current and deferred taxes are recognised in profit and loss item “300. Tax expense (income) for the period from continuing operations” (item “270. Tax expenses (income) for the year from continuing operations” in the Company financial statements), except for tax referred to items that in the same or in another fiscal year are credited or charged directly to equity, such as those relating to gains or losses on financial assets at fair value through other comprehensive income and those relating to changes in the fair value of cash flow hedging instruments, whose changes in value are recognised, net of tax, directly in the Statement of other comprehensive income among Revaluation reserves. Current tax assets and liabilities are presented on the Balance sheet net of the related current tax liabilities if the following requirements are met: • existence of a legally enforceable right to offset the amounts recognised; and • the intention to extinguish for the remaining net, or realise the asset and at the same time extinguish the liability. Deferred tax assets are presented on the Balance sheet net of the related deferred tax liabilities if the following requirements are met: • existence of an enforceable right to offset current tax assets with current tax liabilities; and • the deferred tax assets and liabilities must relate to income taxes applied to the same tax authority on the same taxable entity or on different taxable entities that intend to settle the current tax liabilities and assets on a net basis (normally in presence of a tax consolidation contract). 10 - Provisions for risks and charges Commitments and guarantees given Provisions for risks and charges for commitments and guarantees given are recognised against all revocable and irrevocable commitments and guarantees whether they are in scope of IFRS9 or IAS37. The item hosts the estimates of expected loss calculated on these instruments resulting from valuation process as described in Section 16 - Other Information - Impairment. The provision of the period is accounted under item “200. Net provisions for risks and charges: a) commitments and financial guarantees given” (item “170. Net provisions for risks and charges a) commitments and financial guarantees given” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 194 2021 Annual Report and Accounts · UniCredit 9 - Current and deferred tax Tax assets and tax liabilities are recognised in the Consolidated balance sheet respectively in item “110. Tax assets” and item “60. Tax liabilities” (item “100. Tax assets” and” 60. Tax liabilities” in the Company financial statements). In compliance with the “balance sheet method”, current and deferred tax items are: • current tax assets, i.e. amount of tax paid in excess of income tax due in accordance with local tax regulations; • current tax liabilities, i.e. amount of corporate tax due in accordance with local tax regulations; • deferred tax assets, i.e. amounts of income tax recoverable in future fiscal years and attributable to: - deductible temporary differences; - the carryforward of unused tax losses; and - the carryforward of unused tax credits; • deferred tax liabilities, i.e. the amounts of income tax due in future fiscal years in respect of taxable temporary differences. Current and deferred tax assets and tax liabilities are calculated in accordance with local tax regulations and are recognised in profit or loss on an accrual basis. In general, deferred tax assets and liabilities arise when there is a difference between the accounting treatment and the tax treatment of the carrying amount of an asset or liability. Deferred tax assets and liabilities are recognised applying tax rates that at the balance sheet date are expected to apply in the period when the carrying amount of the asset will be recovered or the liability will be settled on the basis of tax regulations in force, and are periodically reviewed in order to reflect any changes in regulations. In addition, under the tax consolidation system adopted, deferred tax assets are recognised only to the extent that it is probable that sufficient taxable profit will be generated by the entity. In accordance with the provisions of IAS12, the probability that sufficient future taxable profit against which the deferred tax assets can be utilised will be available is reviewed periodically. The carrying amount of deferred tax assets should be reduced to the extent that it is not probable that sufficient taxable profit will be available. Current and deferred taxes are recognised in profit and loss item “300. Tax expense (income) for the period from continuing operations” (item “270. Tax expenses (income) for the year from continuing operations” in the Company financial statements), except for tax referred to items that in the same or in another fiscal year are credited or charged directly to equity, such as those relating to gains or losses on financial assets at fair value through other comprehensive income and those relating to changes in the fair value of cash flow hedging instruments, whose changes in value are recognised, net of tax, directly in the Statement of other comprehensive income among Revaluation reserves. Current tax assets and liabilities are presented on the Balance sheet net of the related current tax liabilities if the following requirements are met: • existence of a legally enforceable right to offset the amounts recognised; and • the intention to extinguish for the remaining net, or realise the asset and at the same time extinguish the liability. Deferred tax assets are presented on the Balance sheet net of the related deferred tax liabilities if the following requirements are met: • existence of an enforceable right to offset current tax assets with current tax liabilities; and • the deferred tax assets and liabilities must relate to income taxes applied to the same tax authority on the same taxable entity or on different taxable entities that intend to settle the current tax liabilities and assets on a net basis (normally in presence of a tax consolidation contract). 10 - Provisions for risks and charges Commitments and guarantees given Provisions for risks and charges for commitments and guarantees given are recognised against all revocable and irrevocable commitments and guarantees whether they are in scope of IFRS9 or IAS37. The item hosts the estimates of expected loss calculated on these instruments resulting from valuation process as described in Section 16 - Other Information - Impairment. The provision of the period is accounted under item “200. Net provisions for risks and charges: a) commitments and financial guarantees given” (item “170. Net provisions for risks and charges a) commitments and financial guarantees given” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 194 2021 Annual Report and Accounts · UniCredit 9 - Current and deferred tax Tax assets and tax liabilities are recognised in the Consolidated balance sheet respectively in item “110. Tax assets” and item “60. Tax liabilities” (item “100. Tax assets” and” 60. Tax liabilities” in the Company financial statements). In compliance with the “balance sheet method”, current and deferred tax items are: • current tax assets, i.e. amount of tax paid in excess of income tax due in accordance with local tax regulations; • current tax liabilities, i.e. amount of corporate tax due in accordance with local tax regulations; • deferred tax assets, i.e. amounts of income tax recoverable in future fiscal years and attributable to: - deductible temporary differences; - the carryforward of unused tax losses; and - the carryforward of unused tax credits; • deferred tax liabilities, i.e. the amounts of income tax due in future fiscal years in respect of taxable temporary differences. Current and deferred tax assets and tax liabilities are calculated in accordance with local tax regulations and are recognised in profit or loss on an accrual basis. In general, deferred tax assets and liabilities arise when there is a difference between the accounting treatment and the tax treatment of the carrying amount of an asset or liability. Deferred tax assets and liabilities are recognised applying tax rates that at the balance sheet date are expected to apply in the period when the carrying amount of the asset will be recovered or the liability will be settled on the basis of tax regulations in force, and are periodically reviewed in order to reflect any changes in regulations. In addition, under the tax consolidation system adopted, deferred tax assets are recognised only to the extent that it is probable that sufficient taxable profit will be generated by the entity. In accordance with the provisions of IAS12, the probability that sufficient future taxable profit against which the deferred tax assets can be utilised will be available is reviewed periodically. The carrying amount of deferred tax assets should be reduced to the extent that it is not probable that sufficient taxable profit will be available. Current and deferred taxes are recognised in profit and loss item “300. Tax expense (income) for the period from continuing operations” (item “270. Tax expenses (income) for the year from continuing operations” in the Company financial statements), except for tax referred to items that in the same or in another fiscal year are credited or charged directly to equity, such as those relating to gains or losses on financial assets at fair value through other comprehensive income and those relating to changes in the fair value of cash flow hedging instruments, whose changes in value are recognised, net of tax, directly in the Statement of other comprehensive income among Revaluation reserves. Current tax assets and liabilities are presented on the Balance sheet net of the related current tax liabilities if the following requirements are met: • existence of a legally enforceable right to offset the amounts recognised; and • the intention to extinguish for the remaining net, or realise the asset and at the same time extinguish the liability. Deferred tax assets are presented on the Balance sheet net of the related deferred tax liabilities if the following requirements are met: • existence of an enforceable right to offset current tax assets with current tax liabilities; and • the deferred tax assets and liabilities must relate to income taxes applied to the same tax authority on the same taxable entity or on different taxable entities that intend to settle the current tax liabilities and assets on a net basis (normally in presence of a tax consolidation contract). 10 - Provisions for risks and charges Commitments and guarantees given Provisions for risks and charges for commitments and guarantees given are recognised against all revocable and irrevocable commitments and guarantees whether they are in scope of IFRS9 or IAS37. The item hosts the estimates of expected loss calculated on these instruments resulting from valuation process as described in Section 16 - Other Information - Impairment. The provision of the period is accounted under item “200. Net provisions for risks and charges: a) commitments and financial guarantees given” (item “170. Net provisions for risks and charges a) commitments and financial guarantees given” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 194 2021 Annual Report and Accounts · UniCredit 9 - Current and deferred tax Tax assets and tax liabilities are recognised in the Consolidated balance sheet respectively in item “110. Tax assets” and item “60. Tax liabilities” (item “100. Tax assets” and” 60. Tax liabilities” in the Company financial statements). In compliance with the “balance sheet method”, current and deferred tax items are: • current tax assets, i.e. amount of tax paid in excess of income tax due in accordance with local tax regulations; • current tax liabilities, i.e. amount of corporate tax due in accordance with local tax regulations; • deferred tax assets, i.e. amounts of income tax recoverable in future fiscal years and attributable to: - deductible temporary differences; - the carryforward of unused tax losses; and - the carryforward of unused tax credits; • deferred tax liabilities, i.e. the amounts of income tax due in future fiscal years in respect of taxable temporary differences. Current and deferred tax assets and tax liabilities are calculated in accordance with local tax regulations and are recognised in profit or loss on an accrual basis. In general, deferred tax assets and liabilities arise when there is a difference between the accounting treatment and the tax treatment of the carrying amount of an asset or liability. Deferred tax assets and liabilities are recognised applying tax rates that at the balance sheet date are expected to apply in the period when the carrying amount of the asset will be recovered or the liability will be settled on the basis of tax regulations in force, and are periodically reviewed in order to reflect any changes in regulations. In addition, under the tax consolidation system adopted, deferred tax assets are recognised only to the extent that it is probable that sufficient taxable profit will be generated by the entity. In accordance with the provisions of IAS12, the probability that sufficient future taxable profit against which the deferred tax assets can be utilised will be available is reviewed periodically. The carrying amount of deferred tax assets should be reduced to the extent that it is not probable that sufficient taxable profit will be available. Current and deferred taxes are recognised in profit and loss item “300. Tax expense (income) for the period from continuing operations” (item “270. Tax expenses (income) for the year from continuing operations” in the Company financial statements), except for tax referred to items that in the same or in another fiscal year are credited or charged directly to equity, such as those relating to gains or losses on financial assets at fair value through other comprehensive income and those relating to changes in the fair value of cash flow hedging instruments, whose changes in value are recognised, net of tax, directly in the Statement of other comprehensive income among Revaluation reserves. Current tax assets and liabilities are presented on the Balance sheet net of the related current tax liabilities if the following requirements are met: • existence of a legally enforceable right to offset the amounts recognised; and • the intention to extinguish for the remaining net, or realise the asset and at the same time extinguish the liability. Deferred tax assets are presented on the Balance sheet net of the related deferred tax liabilities if the following requirements are met: • existence of an enforceable right to offset current tax assets with current tax liabilities; and • the deferred tax assets and liabilities must relate to income taxes applied to the same tax authority on the same taxable entity or on different taxable entities that intend to settle the current tax liabilities and assets on a net basis (normally in presence of a tax consolidation contract). 10 - Provisions for risks and charges Commitments and guarantees given Provisions for risks and charges for commitments and guarantees given are recognised against all revocable and irrevocable commitments and guarantees whether they are in scope of IFRS9 or IAS37. The item hosts the estimates of expected loss calculated on these instruments resulting from valuation process as described in Section 16 - Other Information - Impairment. The provision of the period is accounted under item “200. Net provisions for risks and charges: a) commitments and financial guarantees given” (item “170. Net provisions for risks and charges a) commitments and financial guarantees given” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 194 2021 Annual Report and Accounts · UniCredit 9 - Current and deferred tax Tax assets and tax liabilities are recognised in the Consolidated balance sheet respectively in item “110. Tax assets” and item “60. Tax liabilities” (item “100. Tax assets” and” 60. Tax liabilities” in the Company financial statements). In compliance with the “balance sheet method”, current and deferred tax items are: • current tax assets, i.e. amount of tax paid in excess of income tax due in accordance with local tax regulations; • current tax liabilities, i.e. amount of corporate tax due in accordance with local tax regulations; • deferred tax assets, i.e. amounts of income tax recoverable in future fiscal years and attributable to: - deductible temporary differences; - the carryforward of unused tax losses; and - the carryforward of unused tax credits; • deferred tax liabilities, i.e. the amounts of income tax due in future fiscal years in respect of taxable temporary differences. Current and deferred tax assets and tax liabilities are calculated in accordance with local tax regulations and are recognised in profit or loss on an accrual basis. In general, deferred tax assets and liabilities arise when there is a difference between the accounting treatment and the tax treatment of the carrying amount of an asset or liability. Deferred tax assets and liabilities are recognised applying tax rates that at the balance sheet date are expected to apply in the period when the carrying amount of the asset will be recovered or the liability will be settled on the basis of tax regulations in force, and are periodically reviewed in order to reflect any changes in regulations. In addition, under the tax consolidation system adopted, deferred tax assets are recognised only to the extent that it is probable that sufficient taxable profit will be generated by the entity. In accordance with the provisions of IAS12, the probability that sufficient future taxable profit against which the deferred tax assets can be utilised will be available is reviewed periodically. The carrying amount of deferred tax assets should be reduced to the extent that it is not probable that sufficient taxable profit will be available. Current and deferred taxes are recognised in profit and loss item “300. Tax expense (income) for the period from continuing operations” (item “270. Tax expenses (income) for the year from continuing operations” in the Company financial statements), except for tax referred to items that in the same or in another fiscal year are credited or charged directly to equity, such as those relating to gains or losses on financial assets at fair value through other comprehensive income and those relating to changes in the fair value of cash flow hedging instruments, whose changes in value are recognised, net of tax, directly in the Statement of other comprehensive income among Revaluation reserves. Current tax assets and liabilities are presented on the Balance sheet net of the related current tax liabilities if the following requirements are met: • existence of a legally enforceable right to offset the amounts recognised; and • the intention to extinguish for the remaining net, or realise the asset and at the same time extinguish the liability. Deferred tax assets are presented on the Balance sheet net of the related deferred tax liabilities if the following requirements are met: • existence of an enforceable right to offset current tax assets with current tax liabilities; and • the deferred tax assets and liabilities must relate to income taxes applied to the same tax authority on the same taxable entity or on different taxable entities that intend to settle the current tax liabilities and assets on a net basis (normally in presence of a tax consolidation contract). 10 - Provisions for risks and charges Commitments and guarantees given Provisions for risks and charges for commitments and guarantees given are recognised against all revocable and irrevocable commitments and guarantees whether they are in scope of IFRS9 or IAS37. The item hosts the estimates of expected loss calculated on these instruments resulting from valuation process as described in Section 16 - Other Information - Impairment. The provision of the period is accounted under item “200. Net provisions for risks and charges: a) commitments and financial guarantees given” (item “170. Net provisions for risks and charges a) commitments and financial guarantees given” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 195 Note that all contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the terms of a debt instrument are considered financial guarantees. Retirement payments and similar obligations Retirement provisions, i.e. provisions for employee benefits payable after the completion of employment, are defined as contribution plans or defined-benefit plans according to the nature of the plan. In detail: • Defined-benefit plans provide a series of benefits depending on factors such as age, years of service and compensation policies. Under this type of plan actuarial and investment risks are borne by the company; • Defined-contribution plans are plans under which the company makes fixed contributions. Benefits are the result of the amount of contributions paid and return on contributions invested. The employer bears no actuarial and/or investment risks connected with this type of plans as it has no legal or implicit obligation to make further contributions, should the plan not be sufficient to provide benefits to all employees. Defined-benefit plans are present-valued by an external actuary using the “Unit Credit Projection method”. This method distributes the cost of benefits uniformly over the employee’s working life. Obligations are the present value of average future benefits pro rata to the ratio of years of service to theoretical seniority at the time of benefit payment. More specifically, the amount recognised according to IAS19 Revised as a net liability/asset in item “100. Provisions for risks and charges: b) post-retirement benefit obligations” is the present value of the obligation at the balance sheet date, less any pension charges relating to benefits already provided but not yet recognised, less the fair value at the balance sheet date of plan assets other than those due to directly settle the obligations adjusted for any effect of limiting a net defined benefit asset to the asset ceiling. Actuarial gains or losses are recorded in the Statement of other comprehensive income and disclosed in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). The discount rate used to discount obligations (whether financed or not) relating to benefits to be provided after retirement varies according to the currency of denomination and country where the liabilities are allocated and is determined on the basis of market yield at the balance sheet date of prime issuers’ bonds (High Quality Corporate Bonds - “HQCB”) with an average life in keeping with that of the relevant liability. Other provisions Provisions for risks and charges are recognised when: • the entity has a present obligation (legal or constructive) as a result of a past event; • it is probable that an outflow of resources embodying economic benefits will be required to settle the obligation; • a reliable estimate can be made of the amount of the obligation. The amounts recognised as provisions are the best estimate of the expenditure required to settle the present obligation. The risks and uncertainties that inevitably surround the relevant events and circumstances are taken into account in reaching the best estimate of a provision. In particular, where the effect of the time value of money is significant, the amount of the provision should be the present value of the best estimate of the cost required to settle the obligation. The discount rate used reflects the current market assessments. Provisions are reviewed periodically and adjusted to reflect the current best estimate. If it becomes clear that it is no longer probable that an outflow of resources embodying economic benefits will be required to settle the obligation, the provision is reversed. Provisions are used only for expenses for which they were originally recognised. Allocations made in the year are recognised in profit and loss item “200. Net provisions for risks and charges: b) other net provisions” (item “170. Net provisions for risks and charges: b) other net provisions” in the Company financial statements) and include increases due to the passage of time; they are also net of any reversals. “Other provisions” also include obligations relating to benefits due to agents, specifically supplementary customer portfolio payments, merit payments, contractual payments and payments under non-competition agreements, which are measured as per defined benefit plans; accordingly these obligations are calculated using the “Unit Credit Projection method” (see previous paragraph “Retirement payments and similar obligations”). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 195 Note that all contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the terms of a debt instrument are considered financial guarantees. Retirement payments and similar obligations Retirement provisions, i.e. provisions for employee benefits payable after the completion of employment, are defined as contribution plans or defined-benefit plans according to the nature of the plan. In detail: • Defined-benefit plans provide a series of benefits depending on factors such as age, years of service and compensation policies. Under this type of plan actuarial and investment risks are borne by the company; • Defined-contribution plans are plans under which the company makes fixed contributions. Benefits are the result of the amount of contributions paid and return on contributions invested. The employer bears no actuarial and/or investment risks connected with this type of plans as it has no legal or implicit obligation to make further contributions, should the plan not be sufficient to provide benefits to all employees. Defined-benefit plans are present-valued by an external actuary using the “Unit Credit Projection method”. This method distributes the cost of benefits uniformly over the employee’s working life. Obligations are the present value of average future benefits pro rata to the ratio of years of service to theoretical seniority at the time of benefit payment. More specifically, the amount recognised according to IAS19 Revised as a net liability/asset in item “100. Provisions for risks and charges: b) post-retirement benefit obligations” is the present value of the obligation at the balance sheet date, less any pension charges relating to benefits already provided but not yet recognised, less the fair value at the balance sheet date of plan assets other than those due to directly settle the obligations adjusted for any effect of limiting a net defined benefit asset to the asset ceiling. Actuarial gains or losses are recorded in the Statement of other comprehensive income and disclosed in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). The discount rate used to discount obligations (whether financed or not) relating to benefits to be provided after retirement varies according to the currency of denomination and country where the liabilities are allocated and is determined on the basis of market yield at the balance sheet date of prime issuers’ bonds (High Quality Corporate Bonds - “HQCB”) with an average life in keeping with that of the relevant liability. Other provisions Provisions for risks and charges are recognised when: • the entity has a present obligation (legal or constructive) as a result of a past event; • it is probable that an outflow of resources embodying economic benefits will be required to settle the obligation; • a reliable estimate can be made of the amount of the obligation. The amounts recognised as provisions are the best estimate of the expenditure required to settle the present obligation. The risks and uncertainties that inevitably surround the relevant events and circumstances are taken into account in reaching the best estimate of a provision. In particular, where the effect of the time value of money is significant, the amount of the provision should be the present value of the best estimate of the cost required to settle the obligation. The discount rate used reflects the current market assessments. Provisions are reviewed periodically and adjusted to reflect the current best estimate. If it becomes clear that it is no longer probable that an outflow of resources embodying economic benefits will be required to settle the obligation, the provision is reversed. Provisions are used only for expenses for which they were originally recognised. Allocations made in the year are recognised in profit and loss item “200. Net provisions for risks and charges: b) other net provisions” (item “170. Net provisions for risks and charges: b) other net provisions” in the Company financial statements) and include increases due to the passage of time; they are also net of any reversals. “Other provisions” also include obligations relating to benefits due to agents, specifically supplementary customer portfolio payments, merit payments, contractual payments and payments under non-competition agreements, which are measured as per defined benefit plans; accordingly these obligations are calculated using the “Unit Credit Projection method” (see previous paragraph “Retirement payments and similar obligations”). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 195 Note that all contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the terms of a debt instrument are considered financial guarantees. Retirement payments and similar obligations Retirement provisions, i.e. provisions for employee benefits payable after the completion of employment, are defined as contribution plans or defined-benefit plans according to the nature of the plan. In detail: • Defined-benefit plans provide a series of benefits depending on factors such as age, years of service and compensation policies. Under this type of plan actuarial and investment risks are borne by the company; • Defined-contribution plans are plans under which the company makes fixed contributions. Benefits are the result of the amount of contributions paid and return on contributions invested. The employer bears no actuarial and/or investment risks connected with this type of plans as it has no legal or implicit obligation to make further contributions, should the plan not be sufficient to provide benefits to all employees. Defined-benefit plans are present-valued by an external actuary using the “Unit Credit Projection method”. This method distributes the cost of benefits uniformly over the employee’s working life. Obligations are the present value of average future benefits pro rata to the ratio of years of service to theoretical seniority at the time of benefit payment. More specifically, the amount recognised according to IAS19 Revised as a net liability/asset in item “100. Provisions for risks and charges: b) post-retirement benefit obligations” is the present value of the obligation at the balance sheet date, less any pension charges relating to benefits already provided but not yet recognised, less the fair value at the balance sheet date of plan assets other than those due to directly settle the obligations adjusted for any effect of limiting a net defined benefit asset to the asset ceiling. Actuarial gains or losses are recorded in the Statement of other comprehensive income and disclosed in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). The discount rate used to discount obligations (whether financed or not) relating to benefits to be provided after retirement varies according to the currency of denomination and country where the liabilities are allocated and is determined on the basis of market yield at the balance sheet date of prime issuers’ bonds (High Quality Corporate Bonds - “HQCB”) with an average life in keeping with that of the relevant liability. Other provisions Provisions for risks and charges are recognised when: • the entity has a present obligation (legal or constructive) as a result of a past event; • it is probable that an outflow of resources embodying economic benefits will be required to settle the obligation; • a reliable estimate can be made of the amount of the obligation. The amounts recognised as provisions are the best estimate of the expenditure required to settle the present obligation. The risks and uncertainties that inevitably surround the relevant events and circumstances are taken into account in reaching the best estimate of a provision. In particular, where the effect of the time value of money is significant, the amount of the provision should be the present value of the best estimate of the cost required to settle the obligation. The discount rate used reflects the current market assessments. Provisions are reviewed periodically and adjusted to reflect the current best estimate. If it becomes clear that it is no longer probable that an outflow of resources embodying economic benefits will be required to settle the obligation, the provision is reversed. Provisions are used only for expenses for which they were originally recognised. Allocations made in the year are recognised in profit and loss item “200. Net provisions for risks and charges: b) other net provisions” (item “170. Net provisions for risks and charges: b) other net provisions” in the Company financial statements) and include increases due to the passage of time; they are also net of any reversals. “Other provisions” also include obligations relating to benefits due to agents, specifically supplementary customer portfolio payments, merit payments, contractual payments and payments under non-competition agreements, which are measured as per defined benefit plans; accordingly these obligations are calculated using the “Unit Credit Projection method” (see previous paragraph “Retirement payments and similar obligations”). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 195 Note that all contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the terms of a debt instrument are considered financial guarantees. Retirement payments and similar obligations Retirement provisions, i.e. provisions for employee benefits payable after the completion of employment, are defined as contribution plans or defined-benefit plans according to the nature of the plan. In detail: • Defined-benefit plans provide a series of benefits depending on factors such as age, years of service and compensation policies. Under this type of plan actuarial and investment risks are borne by the company; • Defined-contribution plans are plans under which the company makes fixed contributions. Benefits are the result of the amount of contributions paid and return on contributions invested. The employer bears no actuarial and/or investment risks connected with this type of plans as it has no legal or implicit obligation to make further contributions, should the plan not be sufficient to provide benefits to all employees. Defined-benefit plans are present-valued by an external actuary using the “Unit Credit Projection method”. This method distributes the cost of benefits uniformly over the employee’s working life. Obligations are the present value of average future benefits pro rata to the ratio of years of service to theoretical seniority at the time of benefit payment. More specifically, the amount recognised according to IAS19 Revised as a net liability/asset in item “100. Provisions for risks and charges: b) post-retirement benefit obligations” is the present value of the obligation at the balance sheet date, less any pension charges relating to benefits already provided but not yet recognised, less the fair value at the balance sheet date of plan assets other than those due to directly settle the obligations adjusted for any effect of limiting a net defined benefit asset to the asset ceiling. Actuarial gains or losses are recorded in the Statement of other comprehensive income and disclosed in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). The discount rate used to discount obligations (whether financed or not) relating to benefits to be provided after retirement varies according to the currency of denomination and country where the liabilities are allocated and is determined on the basis of market yield at the balance sheet date of prime issuers’ bonds (High Quality Corporate Bonds - “HQCB”) with an average life in keeping with that of the relevant liability. Other provisions Provisions for risks and charges are recognised when: • the entity has a present obligation (legal or constructive) as a result of a past event; • it is probable that an outflow of resources embodying economic benefits will be required to settle the obligation; • a reliable estimate can be made of the amount of the obligation. The amounts recognised as provisions are the best estimate of the expenditure required to settle the present obligation. The risks and uncertainties that inevitably surround the relevant events and circumstances are taken into account in reaching the best estimate of a provision. In particular, where the effect of the time value of money is significant, the amount of the provision should be the present value of the best estimate of the cost required to settle the obligation. The discount rate used reflects the current market assessments. Provisions are reviewed periodically and adjusted to reflect the current best estimate. If it becomes clear that it is no longer probable that an outflow of resources embodying economic benefits will be required to settle the obligation, the provision is reversed. Provisions are used only for expenses for which they were originally recognised. Allocations made in the year are recognised in profit and loss item “200. Net provisions for risks and charges: b) other net provisions” (item “170. Net provisions for risks and charges: b) other net provisions” in the Company financial statements) and include increases due to the passage of time; they are also net of any reversals. “Other provisions” also include obligations relating to benefits due to agents, specifically supplementary customer portfolio payments, merit payments, contractual payments and payments under non-competition agreements, which are measured as per defined benefit plans; accordingly these obligations are calculated using the “Unit Credit Projection method” (see previous paragraph “Retirement payments and similar obligations”). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 195 Note that all contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the terms of a debt instrument are considered financial guarantees. Retirement payments and similar obligations Retirement provisions, i.e. provisions for employee benefits payable after the completion of employment, are defined as contribution plans or defined-benefit plans according to the nature of the plan. In detail: • Defined-benefit plans provide a series of benefits depending on factors such as age, years of service and compensation policies. Under this type of plan actuarial and investment risks are borne by the company; • Defined-contribution plans are plans under which the company makes fixed contributions. Benefits are the result of the amount of contributions paid and return on contributions invested. The employer bears no actuarial and/or investment risks connected with this type of plans as it has no legal or implicit obligation to make further contributions, should the plan not be sufficient to provide benefits to all employees. Defined-benefit plans are present-valued by an external actuary using the “Unit Credit Projection method”. This method distributes the cost of benefits uniformly over the employee’s working life. Obligations are the present value of average future benefits pro rata to the ratio of years of service to theoretical seniority at the time of benefit payment. More specifically, the amount recognised according to IAS19 Revised as a net liability/asset in item “100. Provisions for risks and charges: b) post-retirement benefit obligations” is the present value of the obligation at the balance sheet date, less any pension charges relating to benefits already provided but not yet recognised, less the fair value at the balance sheet date of plan assets other than those due to directly settle the obligations adjusted for any effect of limiting a net defined benefit asset to the asset ceiling. Actuarial gains or losses are recorded in the Statement of other comprehensive income and disclosed in item “120. Valuation reserves” (item “110. Valuation reserves” in the Company financial statements). The discount rate used to discount obligations (whether financed or not) relating to benefits to be provided after retirement varies according to the currency of denomination and country where the liabilities are allocated and is determined on the basis of market yield at the balance sheet date of prime issuers’ bonds (High Quality Corporate Bonds - “HQCB”) with an average life in keeping with that of the relevant liability. Other provisions Provisions for risks and charges are recognised when: • the entity has a present obligation (legal or constructive) as a result of a past event; • it is probable that an outflow of resources embodying economic benefits will be required to settle the obligation; • a reliable estimate can be made of the amount of the obligation. The amounts recognised as provisions are the best estimate of the expenditure required to settle the present obligation. The risks and uncertainties that inevitably surround the relevant events and circumstances are taken into account in reaching the best estimate of a provision. In particular, where the effect of the time value of money is significant, the amount of the provision should be the present value of the best estimate of the cost required to settle the obligation. The discount rate used reflects the current market assessments. Provisions are reviewed periodically and adjusted to reflect the current best estimate. If it becomes clear that it is no longer probable that an outflow of resources embodying economic benefits will be required to settle the obligation, the provision is reversed. Provisions are used only for expenses for which they were originally recognised. Allocations made in the year are recognised in profit and loss item “200. Net provisions for risks and charges: b) other net provisions” (item “170. Net provisions for risks and charges: b) other net provisions” in the Company financial statements) and include increases due to the passage of time; they are also net of any reversals. “Other provisions” also include obligations relating to benefits due to agents, specifically supplementary customer portfolio payments, merit payments, contractual payments and payments under non-competition agreements, which are measured as per defined benefit plans; accordingly these obligations are calculated using the “Unit Credit Projection method” (see previous paragraph “Retirement payments and similar obligations”). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 196 2021 Annual Report and Accounts · UniCredit 11 - Financial liabilities measured at amortised cost Financial liabilities measured at amortised cost comprise financial instruments (other than liabilities held for trading or those designated at fair value) representing the various forms of third-party funding. These financial liabilities are recognised at settlement date initially at fair value, which is normally the consideration received less transaction costs directly attributable to the financial liability. Subsequently these instruments are measured at amortised cost using the effective interest method. Such interest is recognised in item “20. Interest expenses and similar charges” if negative or in item “10. Interest income and similar revenues” if positive. Instruments indexed to equity instruments, foreign exchange, credit instruments or indexes, are treated as structured instruments. The embedded derivative is separated from the host contract and recognised as a derivative, provided that separation requirements are met, and recognised at fair value. The embedded derivative is recognised at its fair value, classified as financial assets or liabilities held for trading and subsequently measured at fair value through profit or loss with changes in fair value recognised in income statement in item “80. Net gains (losses) on trading”. The difference between the total amount received and the initial fair value of the embedded derivative is attributed to the host contract. Instruments convertible into treasury shares imply recognition, at the issuance date, of a financial liability and of the equity part to be recognised in item “140. Equity instruments” (item “130. Equity instruments” in the Company financial statements), if a physical delivery settles the contract. The equity part is initially measured at the residual value, i.e. the overall value of the instrument less the separately determined value of a financial liability with no conversion clause and the same cash flows. The resulting financial liability is recognised at amortised cost using the effective interest method. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “100. Gains (Losses) on disposal and repurchase of: c) financial liabilities”. Subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 12 - Financial liabilities held for trading Financial liabilities held for trading include: • derivatives that are not designated as hedging instruments; • obligations to deliver financial assets borrowed by a short seller (i.e., an entity that sells financial assets it does not yet own); • financial liabilities issued with an intention to repurchase them in the short term; • financial liabilities that are part of a portfolio of financial instruments considered as a unit and for which there is evidence of a recent pattern of trading. Financial liabilities held for trading, including derivatives, are measured at fair value on initial recognition and during the life of the transaction. A gain or loss arising from change in the fair value of a HfT financial liability is recognised in profit or loss in item “80. Net gains (losses) on trading”. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “80. Net gains (losses) on trading”, the subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 13 - Financial liabilities designated at fair value Financial liabilities, like financial assets may also be designated, according to IFRS9, on initial recognition as measured at fair value, provided that: • this designation eliminates or considerably reduces an accounting or measurement inconsistency that would arise from the application of different methods of measurement to assets and liabilities and related gains or losses; or • a group of financial assets, financial liabilities or both are managed and measured at fair value under risk management or investment strategy which is internally documented with the entity’s key management personnel. This category may also include financial liabilities represented by hybrid (combined) instruments containing embedded derivatives that otherwise should have been separated from the host contract. Financial liabilities presented in this category are measured at fair value at initial recognition and for the life of the transaction. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 196 2021 Annual Report and Accounts · UniCredit 11 - Financial liabilities measured at amortised cost Financial liabilities measured at amortised cost comprise financial instruments (other than liabilities held for trading or those designated at fair value) representing the various forms of third-party funding. These financial liabilities are recognised at settlement date initially at fair value, which is normally the consideration received less transaction costs directly attributable to the financial liability. Subsequently these instruments are measured at amortised cost using the effective interest method. Such interest is recognised in item “20. Interest expenses and similar charges” if negative or in item “10. Interest income and similar revenues” if positive. Instruments indexed to equity instruments, foreign exchange, credit instruments or indexes, are treated as structured instruments. The embedded derivative is separated from the host contract and recognised as a derivative, provided that separation requirements are met, and recognised at fair value. The embedded derivative is recognised at its fair value, classified as financial assets or liabilities held for trading and subsequently measured at fair value through profit or loss with changes in fair value recognised in income statement in item “80. Net gains (losses) on trading”. The difference between the total amount received and the initial fair value of the embedded derivative is attributed to the host contract. Instruments convertible into treasury shares imply recognition, at the issuance date, of a financial liability and of the equity part to be recognised in item “140. Equity instruments” (item “130. Equity instruments” in the Company financial statements), if a physical delivery settles the contract. The equity part is initially measured at the residual value, i.e. the overall value of the instrument less the separately determined value of a financial liability with no conversion clause and the same cash flows. The resulting financial liability is recognised at amortised cost using the effective interest method. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “100. Gains (Losses) on disposal and repurchase of: c) financial liabilities”. Subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 12 - Financial liabilities held for trading Financial liabilities held for trading include: • derivatives that are not designated as hedging instruments; • obligations to deliver financial assets borrowed by a short seller (i.e., an entity that sells financial assets it does not yet own); • financial liabilities issued with an intention to repurchase them in the short term; • financial liabilities that are part of a portfolio of financial instruments considered as a unit and for which there is evidence of a recent pattern of trading. Financial liabilities held for trading, including derivatives, are measured at fair value on initial recognition and during the life of the transaction. A gain or loss arising from change in the fair value of a HfT financial liability is recognised in profit or loss in item “80. Net gains (losses) on trading”. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “80. Net gains (losses) on trading”, the subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 13 - Financial liabilities designated at fair value Financial liabilities, like financial assets may also be designated, according to IFRS9, on initial recognition as measured at fair value, provided that: • this designation eliminates or considerably reduces an accounting or measurement inconsistency that would arise from the application of different methods of measurement to assets and liabilities and related gains or losses; or • a group of financial assets, financial liabilities or both are managed and measured at fair value under risk management or investment strategy which is internally documented with the entity’s key management personnel. This category may also include financial liabilities represented by hybrid (combined) instruments containing embedded derivatives that otherwise should have been separated from the host contract. Financial liabilities presented in this category are measured at fair value at initial recognition and for the life of the transaction. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 196 2021 Annual Report and Accounts · UniCredit 11 - Financial liabilities measured at amortised cost Financial liabilities measured at amortised cost comprise financial instruments (other than liabilities held for trading or those designated at fair value) representing the various forms of third-party funding. These financial liabilities are recognised at settlement date initially at fair value, which is normally the consideration received less transaction costs directly attributable to the financial liability. Subsequently these instruments are measured at amortised cost using the effective interest method. Such interest is recognised in item “20. Interest expenses and similar charges” if negative or in item “10. Interest income and similar revenues” if positive. Instruments indexed to equity instruments, foreign exchange, credit instruments or indexes, are treated as structured instruments. The embedded derivative is separated from the host contract and recognised as a derivative, provided that separation requirements are met, and recognised at fair value. The embedded derivative is recognised at its fair value, classified as financial assets or liabilities held for trading and subsequently measured at fair value through profit or loss with changes in fair value recognised in income statement in item “80. Net gains (losses) on trading”. The difference between the total amount received and the initial fair value of the embedded derivative is attributed to the host contract. Instruments convertible into treasury shares imply recognition, at the issuance date, of a financial liability and of the equity part to be recognised in item “140. Equity instruments” (item “130. Equity instruments” in the Company financial statements), if a physical delivery settles the contract. The equity part is initially measured at the residual value, i.e. the overall value of the instrument less the separately determined value of a financial liability with no conversion clause and the same cash flows. The resulting financial liability is recognised at amortised cost using the effective interest method. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “100. Gains (Losses) on disposal and repurchase of: c) financial liabilities”. Subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 12 - Financial liabilities held for trading Financial liabilities held for trading include: • derivatives that are not designated as hedging instruments; • obligations to deliver financial assets borrowed by a short seller (i.e., an entity that sells financial assets it does not yet own); • financial liabilities issued with an intention to repurchase them in the short term; • financial liabilities that are part of a portfolio of financial instruments considered as a unit and for which there is evidence of a recent pattern of trading. Financial liabilities held for trading, including derivatives, are measured at fair value on initial recognition and during the life of the transaction. A gain or loss arising from change in the fair value of a HfT financial liability is recognised in profit or loss in item “80. Net gains (losses) on trading”. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “80. Net gains (losses) on trading”, the subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 13 - Financial liabilities designated at fair value Financial liabilities, like financial assets may also be designated, according to IFRS9, on initial recognition as measured at fair value, provided that: • this designation eliminates or considerably reduces an accounting or measurement inconsistency that would arise from the application of different methods of measurement to assets and liabilities and related gains or losses; or • a group of financial assets, financial liabilities or both are managed and measured at fair value under risk management or investment strategy which is internally documented with the entity’s key management personnel. This category may also include financial liabilities represented by hybrid (combined) instruments containing embedded derivatives that otherwise should have been separated from the host contract. Financial liabilities presented in this category are measured at fair value at initial recognition and for the life of the transaction. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 196 2021 Annual Report and Accounts · UniCredit 11 - Financial liabilities measured at amortised cost Financial liabilities measured at amortised cost comprise financial instruments (other than liabilities held for trading or those designated at fair value) representing the various forms of third-party funding. These financial liabilities are recognised at settlement date initially at fair value, which is normally the consideration received less transaction costs directly attributable to the financial liability. Subsequently these instruments are measured at amortised cost using the effective interest method. Such interest is recognised in item “20. Interest expenses and similar charges” if negative or in item “10. Interest income and similar revenues” if positive. Instruments indexed to equity instruments, foreign exchange, credit instruments or indexes, are treated as structured instruments. The embedded derivative is separated from the host contract and recognised as a derivative, provided that separation requirements are met, and recognised at fair value. The embedded derivative is recognised at its fair value, classified as financial assets or liabilities held for trading and subsequently measured at fair value through profit or loss with changes in fair value recognised in income statement in item “80. Net gains (losses) on trading”. The difference between the total amount received and the initial fair value of the embedded derivative is attributed to the host contract. Instruments convertible into treasury shares imply recognition, at the issuance date, of a financial liability and of the equity part to be recognised in item “140. Equity instruments” (item “130. Equity instruments” in the Company financial statements), if a physical delivery settles the contract. The equity part is initially measured at the residual value, i.e. the overall value of the instrument less the separately determined value of a financial liability with no conversion clause and the same cash flows. The resulting financial liability is recognised at amortised cost using the effective interest method. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “100. Gains (Losses) on disposal and repurchase of: c) financial liabilities”. Subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 12 - Financial liabilities held for trading Financial liabilities held for trading include: • derivatives that are not designated as hedging instruments; • obligations to deliver financial assets borrowed by a short seller (i.e., an entity that sells financial assets it does not yet own); • financial liabilities issued with an intention to repurchase them in the short term; • financial liabilities that are part of a portfolio of financial instruments considered as a unit and for which there is evidence of a recent pattern of trading. Financial liabilities held for trading, including derivatives, are measured at fair value on initial recognition and during the life of the transaction. A gain or loss arising from change in the fair value of a HfT financial liability is recognised in profit or loss in item “80. Net gains (losses) on trading”. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “80. Net gains (losses) on trading”, the subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 13 - Financial liabilities designated at fair value Financial liabilities, like financial assets may also be designated, according to IFRS9, on initial recognition as measured at fair value, provided that: • this designation eliminates or considerably reduces an accounting or measurement inconsistency that would arise from the application of different methods of measurement to assets and liabilities and related gains or losses; or • a group of financial assets, financial liabilities or both are managed and measured at fair value under risk management or investment strategy which is internally documented with the entity’s key management personnel. This category may also include financial liabilities represented by hybrid (combined) instruments containing embedded derivatives that otherwise should have been separated from the host contract. Financial liabilities presented in this category are measured at fair value at initial recognition and for the life of the transaction. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 196 2021 Annual Report and Accounts · UniCredit 11 - Financial liabilities measured at amortised cost Financial liabilities measured at amortised cost comprise financial instruments (other than liabilities held for trading or those designated at fair value) representing the various forms of third-party funding. These financial liabilities are recognised at settlement date initially at fair value, which is normally the consideration received less transaction costs directly attributable to the financial liability. Subsequently these instruments are measured at amortised cost using the effective interest method. Such interest is recognised in item “20. Interest expenses and similar charges” if negative or in item “10. Interest income and similar revenues” if positive. Instruments indexed to equity instruments, foreign exchange, credit instruments or indexes, are treated as structured instruments. The embedded derivative is separated from the host contract and recognised as a derivative, provided that separation requirements are met, and recognised at fair value. The embedded derivative is recognised at its fair value, classified as financial assets or liabilities held for trading and subsequently measured at fair value through profit or loss with changes in fair value recognised in income statement in item “80. Net gains (losses) on trading”. The difference between the total amount received and the initial fair value of the embedded derivative is attributed to the host contract. Instruments convertible into treasury shares imply recognition, at the issuance date, of a financial liability and of the equity part to be recognised in item “140. Equity instruments” (item “130. Equity instruments” in the Company financial statements), if a physical delivery settles the contract. The equity part is initially measured at the residual value, i.e. the overall value of the instrument less the separately determined value of a financial liability with no conversion clause and the same cash flows. The resulting financial liability is recognised at amortised cost using the effective interest method. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “100. Gains (Losses) on disposal and repurchase of: c) financial liabilities”. Subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 12 - Financial liabilities held for trading Financial liabilities held for trading include: • derivatives that are not designated as hedging instruments; • obligations to deliver financial assets borrowed by a short seller (i.e., an entity that sells financial assets it does not yet own); • financial liabilities issued with an intention to repurchase them in the short term; • financial liabilities that are part of a portfolio of financial instruments considered as a unit and for which there is evidence of a recent pattern of trading. Financial liabilities held for trading, including derivatives, are measured at fair value on initial recognition and during the life of the transaction. A gain or loss arising from change in the fair value of a HfT financial liability is recognised in profit or loss in item “80. Net gains (losses) on trading”. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “80. Net gains (losses) on trading”, the subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 13 - Financial liabilities designated at fair value Financial liabilities, like financial assets may also be designated, according to IFRS9, on initial recognition as measured at fair value, provided that: • this designation eliminates or considerably reduces an accounting or measurement inconsistency that would arise from the application of different methods of measurement to assets and liabilities and related gains or losses; or • a group of financial assets, financial liabilities or both are managed and measured at fair value under risk management or investment strategy which is internally documented with the entity’s key management personnel. This category may also include financial liabilities represented by hybrid (combined) instruments containing embedded derivatives that otherwise should have been separated from the host contract. Financial liabilities presented in this category are measured at fair value at initial recognition and for the life of the transaction. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 197 The changes in fair value are recognised in the income statement in item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss a) financial assets/liabilities designated at fair value” except for any changes in fair value arising from changes in their creditworthiness, which are shown under item “120. Valuation reserves” of shareholders’ equity (item “110. Valuation reserves” in the Company Financial Statements) unless such accounting results in an inconsistency that arises from the application of different methods of measuring assets and liabilities and related gains or losses, in which case also the changes in fair value deriving from changes in creditworthiness are recorded in the income statement. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss a) financial assets/liabilities designated at fair value” while the balance of cumulated changes in fair value due to own credit risk booked in item “120. Valuation reserves” is reclassified in item “150. Reserves” (item “110. Valuation reserves” and item “140. Reserves” in the Company financial statements), the subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 14 - Foreign currency transactions A foreign currency transaction is recognised at the spot exchange rate of the transaction date. Foreign currency monetary assets and liabilities are translated at the closing rate of the period. Exchange differences arising from settlement of monetary items at rates different from those of the transaction date and unrealised exchange rate differences on foreign currency assets and liabilities not yet settled, other than assets and liabilities designated as measured at fair value and hedging instruments, are recognised in profit and loss item “80. Net gains (losses) on trading”. Exchange rate differences arising on a monetary item that is part of an entity’s net investment in a foreign operation whose activities are based or conducted in a country or currency other than those of the reporting entity are initially recognised in the entity’s equity, and recognised in profit or loss on disposal of the net investment. Non-monetary assets and liabilities recognised at historical cost in a foreign currency are translated using the exchange rate at the date of the transaction. Non-monetary items that are measured at fair value in a foreign currency are translated at the closing rate. In this case the exchange differences are recognised: • in profit and loss if the financial asset is classified in a portfolio measured at fair value through profit or loss; or • in the Statement of other comprehensive income, and disclosed in the Revaluation reserves, if the financial asset is classified in “Financial assets at fair value through other comprehensive income”. Hedges of a net investment in a foreign operation are recognised similarly to cash flow hedges. For the purposes of the Consolidated Financial Statements only the assets and liabilities of fully consolidated foreign entities are translated at the closing exchange rate of each period. Gains and losses are translated at the average exchange rate for the period. Differences arising from the use of closing exchange rates and from the average exchange rates and from the remeasurement of the initial net amount of the assets of a foreign company at the closing rate are classified directly in item “120. Valuation reserves”. Any goodwill arising on the acquisition of a foreign operation realised after IAS First Time Adoption (i.e., 1 January 2004) whose assets are located or managed in a currency other than the euro, and any fair value adjustments of the carrying amounts of assets and liabilities are treated as assets and liabilities of the foreign operation, expressed in the functional currency of the foreign operation and translated at the closing rate. On the disposal of a foreign operation, the cumulative amount of the exchange rate differences, classified in an equity reserve, is reclassified in profit or loss. All exchange differences recorded under revaluation reserves in Shareholders’ equity are also reported in the Statement of other comprehensive income. 15 - Insurance assets and liabilities Note that the Group does not conduct such business. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 197 The changes in fair value are recognised in the income statement in item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss a) financial assets/liabilities designated at fair value” except for any changes in fair value arising from changes in their creditworthiness, which are shown under item “120. Valuation reserves” of shareholders’ equity (item “110. Valuation reserves” in the Company Financial Statements) unless such accounting results in an inconsistency that arises from the application of different methods of measuring assets and liabilities and related gains or losses, in which case also the changes in fair value deriving from changes in creditworthiness are recorded in the income statement. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss a) financial assets/liabilities designated at fair value” while the balance of cumulated changes in fair value due to own credit risk booked in item “120. Valuation reserves” is reclassified in item “150. Reserves” (item “110. Valuation reserves” and item “140. Reserves” in the Company financial statements), the subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 14 - Foreign currency transactions A foreign currency transaction is recognised at the spot exchange rate of the transaction date. Foreign currency monetary assets and liabilities are translated at the closing rate of the period. Exchange differences arising from settlement of monetary items at rates different from those of the transaction date and unrealised exchange rate differences on foreign currency assets and liabilities not yet settled, other than assets and liabilities designated as measured at fair value and hedging instruments, are recognised in profit and loss item “80. Net gains (losses) on trading”. Exchange rate differences arising on a monetary item that is part of an entity’s net investment in a foreign operation whose activities are based or conducted in a country or currency other than those of the reporting entity are initially recognised in the entity’s equity, and recognised in profit or loss on disposal of the net investment. Non-monetary assets and liabilities recognised at historical cost in a foreign currency are translated using the exchange rate at the date of the transaction. Non-monetary items that are measured at fair value in a foreign currency are translated at the closing rate. In this case the exchange differences are recognised: • in profit and loss if the financial asset is classified in a portfolio measured at fair value through profit or loss; or • in the Statement of other comprehensive income, and disclosed in the Revaluation reserves, if the financial asset is classified in “Financial assets at fair value through other comprehensive income”. Hedges of a net investment in a foreign operation are recognised similarly to cash flow hedges. For the purposes of the Consolidated Financial Statements only the assets and liabilities of fully consolidated foreign entities are translated at the closing exchange rate of each period. Gains and losses are translated at the average exchange rate for the period. Differences arising from the use of closing exchange rates and from the average exchange rates and from the remeasurement of the initial net amount of the assets of a foreign company at the closing rate are classified directly in item “120. Valuation reserves”. Any goodwill arising on the acquisition of a foreign operation realised after IAS First Time Adoption (i.e., 1 January 2004) whose assets are located or managed in a currency other than the euro, and any fair value adjustments of the carrying amounts of assets and liabilities are treated as assets and liabilities of the foreign operation, expressed in the functional currency of the foreign operation and translated at the closing rate. On the disposal of a foreign operation, the cumulative amount of the exchange rate differences, classified in an equity reserve, is reclassified in profit or loss. All exchange differences recorded under revaluation reserves in Shareholders’ equity are also reported in the Statement of other comprehensive income. 15 - Insurance assets and liabilities Note that the Group does not conduct such business. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 197 The changes in fair value are recognised in the income statement in item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss a) financial assets/liabilities designated at fair value” except for any changes in fair value arising from changes in their creditworthiness, which are shown under item “120. Valuation reserves” of shareholders’ equity (item “110. Valuation reserves” in the Company Financial Statements) unless such accounting results in an inconsistency that arises from the application of different methods of measuring assets and liabilities and related gains or losses, in which case also the changes in fair value deriving from changes in creditworthiness are recorded in the income statement. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss a) financial assets/liabilities designated at fair value” while the balance of cumulated changes in fair value due to own credit risk booked in item “120. Valuation reserves” is reclassified in item “150. Reserves” (item “110. Valuation reserves” and item “140. Reserves” in the Company financial statements), the subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 14 - Foreign currency transactions A foreign currency transaction is recognised at the spot exchange rate of the transaction date. Foreign currency monetary assets and liabilities are translated at the closing rate of the period. Exchange differences arising from settlement of monetary items at rates different from those of the transaction date and unrealised exchange rate differences on foreign currency assets and liabilities not yet settled, other than assets and liabilities designated as measured at fair value and hedging instruments, are recognised in profit and loss item “80. Net gains (losses) on trading”. Exchange rate differences arising on a monetary item that is part of an entity’s net investment in a foreign operation whose activities are based or conducted in a country or currency other than those of the reporting entity are initially recognised in the entity’s equity, and recognised in profit or loss on disposal of the net investment. Non-monetary assets and liabilities recognised at historical cost in a foreign currency are translated using the exchange rate at the date of the transaction. Non-monetary items that are measured at fair value in a foreign currency are translated at the closing rate. In this case the exchange differences are recognised: • in profit and loss if the financial asset is classified in a portfolio measured at fair value through profit or loss; or • in the Statement of other comprehensive income, and disclosed in the Revaluation reserves, if the financial asset is classified in “Financial assets at fair value through other comprehensive income”. Hedges of a net investment in a foreign operation are recognised similarly to cash flow hedges. For the purposes of the Consolidated Financial Statements only the assets and liabilities of fully consolidated foreign entities are translated at the closing exchange rate of each period. Gains and losses are translated at the average exchange rate for the period. Differences arising from the use of closing exchange rates and from the average exchange rates and from the remeasurement of the initial net amount of the assets of a foreign company at the closing rate are classified directly in item “120. Valuation reserves”. Any goodwill arising on the acquisition of a foreign operation realised after IAS First Time Adoption (i.e., 1 January 2004) whose assets are located or managed in a currency other than the euro, and any fair value adjustments of the carrying amounts of assets and liabilities are treated as assets and liabilities of the foreign operation, expressed in the functional currency of the foreign operation and translated at the closing rate. On the disposal of a foreign operation, the cumulative amount of the exchange rate differences, classified in an equity reserve, is reclassified in profit or loss. All exchange differences recorded under revaluation reserves in Shareholders’ equity are also reported in the Statement of other comprehensive income. 15 - Insurance assets and liabilities Note that the Group does not conduct such business. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 197 The changes in fair value are recognised in the income statement in item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss a) financial assets/liabilities designated at fair value” except for any changes in fair value arising from changes in their creditworthiness, which are shown under item “120. Valuation reserves” of shareholders’ equity (item “110. Valuation reserves” in the Company Financial Statements) unless such accounting results in an inconsistency that arises from the application of different methods of measuring assets and liabilities and related gains or losses, in which case also the changes in fair value deriving from changes in creditworthiness are recorded in the income statement. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss a) financial assets/liabilities designated at fair value” while the balance of cumulated changes in fair value due to own credit risk booked in item “120. Valuation reserves” is reclassified in item “150. Reserves” (item “110. Valuation reserves” and item “140. Reserves” in the Company financial statements), the subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 14 - Foreign currency transactions A foreign currency transaction is recognised at the spot exchange rate of the transaction date. Foreign currency monetary assets and liabilities are translated at the closing rate of the period. Exchange differences arising from settlement of monetary items at rates different from those of the transaction date and unrealised exchange rate differences on foreign currency assets and liabilities not yet settled, other than assets and liabilities designated as measured at fair value and hedging instruments, are recognised in profit and loss item “80. Net gains (losses) on trading”. Exchange rate differences arising on a monetary item that is part of an entity’s net investment in a foreign operation whose activities are based or conducted in a country or currency other than those of the reporting entity are initially recognised in the entity’s equity, and recognised in profit or loss on disposal of the net investment. Non-monetary assets and liabilities recognised at historical cost in a foreign currency are translated using the exchange rate at the date of the transaction. Non-monetary items that are measured at fair value in a foreign currency are translated at the closing rate. In this case the exchange differences are recognised: • in profit and loss if the financial asset is classified in a portfolio measured at fair value through profit or loss; or • in the Statement of other comprehensive income, and disclosed in the Revaluation reserves, if the financial asset is classified in “Financial assets at fair value through other comprehensive income”. Hedges of a net investment in a foreign operation are recognised similarly to cash flow hedges. For the purposes of the Consolidated Financial Statements only the assets and liabilities of fully consolidated foreign entities are translated at the closing exchange rate of each period. Gains and losses are translated at the average exchange rate for the period. Differences arising from the use of closing exchange rates and from the average exchange rates and from the remeasurement of the initial net amount of the assets of a foreign company at the closing rate are classified directly in item “120. Valuation reserves”. Any goodwill arising on the acquisition of a foreign operation realised after IAS First Time Adoption (i.e., 1 January 2004) whose assets are located or managed in a currency other than the euro, and any fair value adjustments of the carrying amounts of assets and liabilities are treated as assets and liabilities of the foreign operation, expressed in the functional currency of the foreign operation and translated at the closing rate. On the disposal of a foreign operation, the cumulative amount of the exchange rate differences, classified in an equity reserve, is reclassified in profit or loss. All exchange differences recorded under revaluation reserves in Shareholders’ equity are also reported in the Statement of other comprehensive income. 15 - Insurance assets and liabilities Note that the Group does not conduct such business. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 197 The changes in fair value are recognised in the income statement in item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss a) financial assets/liabilities designated at fair value” except for any changes in fair value arising from changes in their creditworthiness, which are shown under item “120. Valuation reserves” of shareholders’ equity (item “110. Valuation reserves” in the Company Financial Statements) unless such accounting results in an inconsistency that arises from the application of different methods of measuring assets and liabilities and related gains or losses, in which case also the changes in fair value deriving from changes in creditworthiness are recorded in the income statement. Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or paid for the repurchase is recognised in profit or loss in item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss a) financial assets/liabilities designated at fair value” while the balance of cumulated changes in fair value due to own credit risk booked in item “120. Valuation reserves” is reclassified in item “150. Reserves” (item “110. Valuation reserves” and item “140. Reserves” in the Company financial statements), the subsequent disposal by the issuer is considered as a new issue which doesn’t produce gains or losses. 14 - Foreign currency transactions A foreign currency transaction is recognised at the spot exchange rate of the transaction date. Foreign currency monetary assets and liabilities are translated at the closing rate of the period. Exchange differences arising from settlement of monetary items at rates different from those of the transaction date and unrealised exchange rate differences on foreign currency assets and liabilities not yet settled, other than assets and liabilities designated as measured at fair value and hedging instruments, are recognised in profit and loss item “80. Net gains (losses) on trading”. Exchange rate differences arising on a monetary item that is part of an entity’s net investment in a foreign operation whose activities are based or conducted in a country or currency other than those of the reporting entity are initially recognised in the entity’s equity, and recognised in profit or loss on disposal of the net investment. Non-monetary assets and liabilities recognised at historical cost in a foreign currency are translated using the exchange rate at the date of the transaction. Non-monetary items that are measured at fair value in a foreign currency are translated at the closing rate. In this case the exchange differences are recognised: • in profit and loss if the financial asset is classified in a portfolio measured at fair value through profit or loss; or • in the Statement of other comprehensive income, and disclosed in the Revaluation reserves, if the financial asset is classified in “Financial assets at fair value through other comprehensive income”. Hedges of a net investment in a foreign operation are recognised similarly to cash flow hedges. For the purposes of the Consolidated Financial Statements only the assets and liabilities of fully consolidated foreign entities are translated at the closing exchange rate of each period. Gains and losses are translated at the average exchange rate for the period. Differences arising from the use of closing exchange rates and from the average exchange rates and from the remeasurement of the initial net amount of the assets of a foreign company at the closing rate are classified directly in item “120. Valuation reserves”. Any goodwill arising on the acquisition of a foreign operation realised after IAS First Time Adoption (i.e., 1 January 2004) whose assets are located or managed in a currency other than the euro, and any fair value adjustments of the carrying amounts of assets and liabilities are treated as assets and liabilities of the foreign operation, expressed in the functional currency of the foreign operation and translated at the closing rate. On the disposal of a foreign operation, the cumulative amount of the exchange rate differences, classified in an equity reserve, is reclassified in profit or loss. All exchange differences recorded under revaluation reserves in Shareholders’ equity are also reported in the Statement of other comprehensive income. 15 - Insurance assets and liabilities Note that the Group does not conduct such business. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 198 2021 Annual Report and Accounts · UniCredit 16 - Other information Impairment Loans and debt securities classified as financial assets at amortised cost, financial assets at fair value through other comprehensive income and relevant off-balance sheet exposures are tested for impairment as required by IFRS9. In this regard, these instruments are classified in Stage 1, Stage 2 or Stage 3 according to their absolute or relative credit quality with respect to initial disbursement. Specifically: • Stage 1: includes (i) newly issued or acquired credit exposures, (ii) exposures for which credit risk has not significantly deteriorated since initial recognition, (iii) exposures having low credit risk (low credit risk exemption); • Stage 2: includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition; • Stage 3: includes impaired credit exposures. For exposures in Stage 1, impairment is equal to the expected loss calculated over a time horizon of up to one year. For exposures in Stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the exposure. The allocation of credit exposures in one of the abovementioned stages is done at initial recognition, when the exposures is classified at Stage 1 and it is periodically reviewed based on “stage allocation” rules as specified in the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Notes to the accounts Part E - Information on risks and hedging policies with reference to the Company’s financial statements In order to calculate the expected loss and the related loan loss provision, the Group uses Probability of Default (“PD”), Loss Given Default (“LGD”) and Exposure at Default (“EAD”) parameters, used for regulatory purposes and adjusted in order to ensure that impairment measurement represents values which are “point in time”, “forward looking” and inclusive of multiple scenarios. For additional information see the paragraph“2.1 Credit risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements. With reference to Stage 3, it should be noted that it includes impaired exposures corresponding to the aggregate Non-Performing Exposures as ITS EBA (EBA/ITS/2013/03/rev1 7/24/2014), in accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent updates28. In particular EBA has defined as “Non-Performing” the exposures that meet one or both of the following criteria: • material exposures with more than 90 days past due; • exposures for which the Group values that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due. In addition, the abovementioned Circular No.272 establishes that the aggregate of impaired assets is divided into the following categories: • Bad loans: cash and off-balance exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation. The assessment is generally carried out on an analytical basis (also through the comparison with coverage levels statistically defined for credit portfolios below a predefined threshold) or, in case of non-significant individually amounts, on a flat-rate basis for homogeneous types of exposures; • Unlikely to pay: cash and off-balance exposures for which conditions for evaluating the debt as bad loan are not met and for which it is unlikely that without recurring to enforcement of collaterals the debtor is able to pay in full (capital and/or interests) his credit obligations. Such assessment is made independently of any past due and unpaid amount/instalments. The classification among unlikely to pay is not necessarily linked to anomalies (non-repayment), rather it is linked to factors that indicate a situation of risk of default of the debtor. Unlikely to pay are generally accounted analytically (also through the comparison with coverage levels statistically defined for credit portfolios below a predefined threshold) or on a flat-rate basis for homogeneous types of exposures. 28 The regulatory framework for the new definition of default has been integrated with the entry into force, starting from 01 January 2021 of the "Guidelines on the application of the definition of default under article 178 of (EU) Regulation 575/2013" (EBA/GL/2016/07). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 198 2021 Annual Report and Accounts · UniCredit 16 - Other information Impairment Loans and debt securities classified as financial assets at amortised cost, financial assets at fair value through other comprehensive income and relevant off-balance sheet exposures are tested for impairment as required by IFRS9. In this regard, these instruments are classified in Stage 1, Stage 2 or Stage 3 according to their absolute or relative credit quality with respect to initial disbursement. Specifically: • Stage 1: includes (i) newly issued or acquired credit exposures, (ii) exposures for which credit risk has not significantly deteriorated since initial recognition, (iii) exposures having low credit risk (low credit risk exemption); • Stage 2: includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition; • Stage 3: includes impaired credit exposures. For exposures in Stage 1, impairment is equal to the expected loss calculated over a time horizon of up to one year. For exposures in Stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the exposure. The allocation of credit exposures in one of the abovementioned stages is done at initial recognition, when the exposures is classified at Stage 1 and it is periodically reviewed based on “stage allocation” rules as specified in the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Notes to the accounts Part E - Information on risks and hedging policies with reference to the Company’s financial statements In order to calculate the expected loss and the related loan loss provision, the Group uses Probability of Default (“PD”), Loss Given Default (“LGD”) and Exposure at Default (“EAD”) parameters, used for regulatory purposes and adjusted in order to ensure that impairment measurement represents values which are “point in time”, “forward looking” and inclusive of multiple scenarios. For additional information see the paragraph“2.1 Credit risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements. With reference to Stage 3, it should be noted that it includes impaired exposures corresponding to the aggregate Non-Performing Exposures as ITS EBA (EBA/ITS/2013/03/rev1 7/24/2014), in accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent updates28. In particular EBA has defined as “Non-Performing” the exposures that meet one or both of the following criteria: • material exposures with more than 90 days past due; • exposures for which the Group values that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due. In addition, the abovementioned Circular No.272 establishes that the aggregate of impaired assets is divided into the following categories: • Bad loans: cash and off-balance exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation. The assessment is generally carried out on an analytical basis (also through the comparison with coverage levels statistically defined for credit portfolios below a predefined threshold) or, in case of non-significant individually amounts, on a flat-rate basis for homogeneous types of exposures; • Unlikely to pay: cash and off-balance exposures for which conditions for evaluating the debt as bad loan are not met and for which it is unlikely that without recurring to enforcement of collaterals the debtor is able to pay in full (capital and/or interests) his credit obligations. Such assessment is made independently of any past due and unpaid amount/instalments. The classification among unlikely to pay is not necessarily linked to anomalies (non-repayment), rather it is linked to factors that indicate a situation of risk of default of the debtor. Unlikely to pay are generally accounted analytically (also through the comparison with coverage levels statistically defined for credit portfolios below a predefined threshold) or on a flat-rate basis for homogeneous types of exposures. 28 The regulatory framework for the new definition of default has been integrated with the entry into force, starting from 01 January 2021 of the "Guidelines on the application of the definition of default under article 178 of (EU) Regulation 575/2013" (EBA/GL/2016/07). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 198 2021 Annual Report and Accounts · UniCredit 16 - Other information Impairment Loans and debt securities classified as financial assets at amortised cost, financial assets at fair value through other comprehensive income and relevant off-balance sheet exposures are tested for impairment as required by IFRS9. In this regard, these instruments are classified in Stage 1, Stage 2 or Stage 3 according to their absolute or relative credit quality with respect to initial disbursement. Specifically: • Stage 1: includes (i) newly issued or acquired credit exposures, (ii) exposures for which credit risk has not significantly deteriorated since initial recognition, (iii) exposures having low credit risk (low credit risk exemption); • Stage 2: includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition; • Stage 3: includes impaired credit exposures. For exposures in Stage 1, impairment is equal to the expected loss calculated over a time horizon of up to one year. For exposures in Stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the exposure. The allocation of credit exposures in one of the abovementioned stages is done at initial recognition, when the exposures is classified at Stage 1 and it is periodically reviewed based on “stage allocation” rules as specified in the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Notes to the accounts Part E - Information on risks and hedging policies with reference to the Company’s financial statements In order to calculate the expected loss and the related loan loss provision, the Group uses Probability of Default (“PD”), Loss Given Default (“LGD”) and Exposure at Default (“EAD”) parameters, used for regulatory purposes and adjusted in order to ensure that impairment measurement represents values which are “point in time”, “forward looking” and inclusive of multiple scenarios. For additional information see the paragraph“2.1 Credit risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements. With reference to Stage 3, it should be noted that it includes impaired exposures corresponding to the aggregate Non-Performing Exposures as ITS EBA (EBA/ITS/2013/03/rev1 7/24/2014), in accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent updates28. In particular EBA has defined as “Non-Performing” the exposures that meet one or both of the following criteria: • material exposures with more than 90 days past due; • exposures for which the Group values that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due. In addition, the abovementioned Circular No.272 establishes that the aggregate of impaired assets is divided into the following categories: • Bad loans: cash and off-balance exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation. The assessment is generally carried out on an analytical basis (also through the comparison with coverage levels statistically defined for credit portfolios below a predefined threshold) or, in case of non-significant individually amounts, on a flat-rate basis for homogeneous types of exposures; • Unlikely to pay: cash and off-balance exposures for which conditions for evaluating the debt as bad loan are not met and for which it is unlikely that without recurring to enforcement of collaterals the debtor is able to pay in full (capital and/or interests) his credit obligations. Such assessment is made independently of any past due and unpaid amount/instalments. The classification among unlikely to pay is not necessarily linked to anomalies (non-repayment), rather it is linked to factors that indicate a situation of risk of default of the debtor. Unlikely to pay are generally accounted analytically (also through the comparison with coverage levels statistically defined for credit portfolios below a predefined threshold) or on a flat-rate basis for homogeneous types of exposures. 28 The regulatory framework for the new definition of default has been integrated with the entry into force, starting from 01 January 2021 of the "Guidelines on the application of the definition of default under article 178 of (EU) Regulation 575/2013" (EBA/GL/2016/07). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 198 2021 Annual Report and Accounts · UniCredit 16 - Other information Impairment Loans and debt securities classified as financial assets at amortised cost, financial assets at fair value through other comprehensive income and relevant off-balance sheet exposures are tested for impairment as required by IFRS9. In this regard, these instruments are classified in Stage 1, Stage 2 or Stage 3 according to their absolute or relative credit quality with respect to initial disbursement. Specifically: • Stage 1: includes (i) newly issued or acquired credit exposures, (ii) exposures for which credit risk has not significantly deteriorated since initial recognition, (iii) exposures having low credit risk (low credit risk exemption); • Stage 2: includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition; • Stage 3: includes impaired credit exposures. For exposures in Stage 1, impairment is equal to the expected loss calculated over a time horizon of up to one year. For exposures in Stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the exposure. The allocation of credit exposures in one of the abovementioned stages is done at initial recognition, when the exposures is classified at Stage 1 and it is periodically reviewed based on “stage allocation” rules as specified in the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Notes to the accounts Part E - Information on risks and hedging policies with reference to the Company’s financial statements In order to calculate the expected loss and the related loan loss provision, the Group uses Probability of Default (“PD”), Loss Given Default (“LGD”) and Exposure at Default (“EAD”) parameters, used for regulatory purposes and adjusted in order to ensure that impairment measurement represents values which are “point in time”, “forward looking” and inclusive of multiple scenarios. For additional information see the paragraph“2.1 Credit risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements. With reference to Stage 3, it should be noted that it includes impaired exposures corresponding to the aggregate Non-Performing Exposures as ITS EBA (EBA/ITS/2013/03/rev1 7/24/2014), in accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent updates28. In particular EBA has defined as “Non-Performing” the exposures that meet one or both of the following criteria: • material exposures with more than 90 days past due; • exposures for which the Group values that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due. In addition, the abovementioned Circular No.272 establishes that the aggregate of impaired assets is divided into the following categories: • Bad loans: cash and off-balance exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation. The assessment is generally carried out on an analytical basis (also through the comparison with coverage levels statistically defined for credit portfolios below a predefined threshold) or, in case of non-significant individually amounts, on a flat-rate basis for homogeneous types of exposures; • Unlikely to pay: cash and off-balance exposures for which conditions for evaluating the debt as bad loan are not met and for which it is unlikely that without recurring to enforcement of collaterals the debtor is able to pay in full (capital and/or interests) his credit obligations. Such assessment is made independently of any past due and unpaid amount/instalments. The classification among unlikely to pay is not necessarily linked to anomalies (non-repayment), rather it is linked to factors that indicate a situation of risk of default of the debtor. Unlikely to pay are generally accounted analytically (also through the comparison with coverage levels statistically defined for credit portfolios below a predefined threshold) or on a flat-rate basis for homogeneous types of exposures. 28 The regulatory framework for the new definition of default has been integrated with the entry into force, starting from 01 January 2021 of the "Guidelines on the application of the definition of default under article 178 of (EU) Regulation 575/2013" (EBA/GL/2016/07). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 198 2021 Annual Report and Accounts · UniCredit 16 - Other information Impairment Loans and debt securities classified as financial assets at amortised cost, financial assets at fair value through other comprehensive income and relevant off-balance sheet exposures are tested for impairment as required by IFRS9. In this regard, these instruments are classified in Stage 1, Stage 2 or Stage 3 according to their absolute or relative credit quality with respect to initial disbursement. Specifically: • Stage 1: includes (i) newly issued or acquired credit exposures, (ii) exposures for which credit risk has not significantly deteriorated since initial recognition, (iii) exposures having low credit risk (low credit risk exemption); • Stage 2: includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition; • Stage 3: includes impaired credit exposures. For exposures in Stage 1, impairment is equal to the expected loss calculated over a time horizon of up to one year. For exposures in Stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the exposure. The allocation of credit exposures in one of the abovementioned stages is done at initial recognition, when the exposures is classified at Stage 1 and it is periodically reviewed based on “stage allocation” rules as specified in the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Notes to the accounts Part E - Information on risks and hedging policies with reference to the Company’s financial statements In order to calculate the expected loss and the related loan loss provision, the Group uses Probability of Default (“PD”), Loss Given Default (“LGD”) and Exposure at Default (“EAD”) parameters, used for regulatory purposes and adjusted in order to ensure that impairment measurement represents values which are “point in time”, “forward looking” and inclusive of multiple scenarios. For additional information see the paragraph“2.1 Credit risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements. With reference to Stage 3, it should be noted that it includes impaired exposures corresponding to the aggregate Non-Performing Exposures as ITS EBA (EBA/ITS/2013/03/rev1 7/24/2014), in accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent updates28. In particular EBA has defined as “Non-Performing” the exposures that meet one or both of the following criteria: • material exposures with more than 90 days past due; • exposures for which the Group values that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due. In addition, the abovementioned Circular No.272 establishes that the aggregate of impaired assets is divided into the following categories: • Bad loans: cash and off-balance exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation. The assessment is generally carried out on an analytical basis (also through the comparison with coverage levels statistically defined for credit portfolios below a predefined threshold) or, in case of non-significant individually amounts, on a flat-rate basis for homogeneous types of exposures; • Unlikely to pay: cash and off-balance exposures for which conditions for evaluating the debt as bad loan are not met and for which it is unlikely that without recurring to enforcement of collaterals the debtor is able to pay in full (capital and/or interests) his credit obligations. Such assessment is made independently of any past due and unpaid amount/instalments. The classification among unlikely to pay is not necessarily linked to anomalies (non-repayment), rather it is linked to factors that indicate a situation of risk of default of the debtor. Unlikely to pay are generally accounted analytically (also through the comparison with coverage levels statistically defined for credit portfolios below a predefined threshold) or on a flat-rate basis for homogeneous types of exposures. 28 The regulatory framework for the new definition of default has been integrated with the entry into force, starting from 01 January 2021 of the "Guidelines on the application of the definition of default under article 178 of (EU) Regulation 575/2013" (EBA/GL/2016/07). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 199 The exposures classified among unlikely to pay and qualified as so-called forborne can be reclassified among non-impaired receivables only after at least one year has elapsed from the time of granting and the conditions indicated in paragraph 157 of EBA Implementing Technical Standards. With reference to their evaluation: - they are generally analytically evaluated and may include the discounted charge deriving from the possible renegotiation of the rate at conditions below the original contractual rate; - the renegotiations of loans that require their derecognition in exchange of shares through “debt-to-equity swap” transactions requires the assessment, before executing the swap, of the credit exposures in accordance with stipulated agreements at the date of preparation of the financial statements. Any differences between the value of receivables and the value at initial recognition of equity instruments is accounted in income statement in the impairment losses; • Past due exposures: cash exposures different from those classified as non-performing loans and unlikely to pay that at the reporting date are past due. Past due exposures can be determined referring alternatively to individual debtor or individual transaction. In particular they represent an entire exposure to counterparties different from those classified as unlikely to pay and bad loans that at the reporting date show past due receivables from more than 90 days as well as requirements established by local prudential regulation for the inclusion of these credits into “past due” (standardised banks) or “default exposures” (IRB banks). Past due exposures are evaluated on a on a flat-rate basis on historical/statistical basis, applying, if available, the riskiness identified by the risk factor used for the purposes of EU Regulation No.575/2013 (CRR) relating to prudential requirements for credit institutions and investment firms (LGD - Loss Given Default). Allowances for impairment of loans and receivables are based on the present value of expected cash flows of principal and interest. In determining the present value of future cash flows, the basic requirement is the identification of estimated collections, the timing of payments and the discount rate used. In particular, the amount of the loss on impaired exposures classified as bad loans and unlikely to pay, according to the categories specified above, is the difference between the carrying amount and the present value of estimated cash flows discounted at the original interest rate of the financial asset. For all fixed rate positions, the interest rate thus determined is kept constant in subsequent financial years, while for floating rate positions the interest rate is updated according to contractual terms. If the original interest rate cannot be found, or if finding it would be excessively burdensome, the rate that best approximates is applied, also recurring to “practical expedients” that do not alter the substance and ensure consistency with the international accounting standards. Recovery times are estimated on the basis of business plans or forecasts based on historical recovery experience observed for similar classes of loans, taking into account the customer segment, the type of loan, the type of security and any other factors considered relevant. Also the impairment on impaired exposures was calculated as required by the accounting standard to include (i) the adjustments necessary to reach the calculation of a point-in-time and forward-looking loss and (ii) multiple scenarios applicable to this type of exposure including any sale scenarios in case the Group’s NPL strategy foresees the recovery through sale on the market according to what is specified in the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements If there are no reasonable expectations to recover a financial asset in its entirety or a portion thereof, the gross exposure is subject to write-off. Write-off, that may involve either a full or a part of a financial asset, might be accounted for before that the legal actions, activated to recover the credit exposure, are closed and doesn’t imply the forfeiture of the legal right to recover. In this context the Group has developed a specific guideline that assess the need to recognise a write-off. For further information see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements Renegotiations Renegotiations of financial instruments which cause a change in contractual conditions are accounted for depending on the significance of the contractual change itself. In particular, when renegotiations are not considered significant the gross exposure is re-determined through the calculation of the present value of cash flows following the renegotiation at the original effective interest rate. The difference between the gross exposure before and after renegotiation, adjusted to consider changes in the related loan loss provision, is recognised in income statement as modification gain or loss. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 199 The exposures classified among unlikely to pay and qualified as so-called forborne can be reclassified among non-impaired receivables only after at least one year has elapsed from the time of granting and the conditions indicated in paragraph 157 of EBA Implementing Technical Standards. With reference to their evaluation: - they are generally analytically evaluated and may include the discounted charge deriving from the possible renegotiation of the rate at conditions below the original contractual rate; - the renegotiations of loans that require their derecognition in exchange of shares through “debt-to-equity swap” transactions requires the assessment, before executing the swap, of the credit exposures in accordance with stipulated agreements at the date of preparation of the financial statements. Any differences between the value of receivables and the value at initial recognition of equity instruments is accounted in income statement in the impairment losses; • Past due exposures: cash exposures different from those classified as non-performing loans and unlikely to pay that at the reporting date are past due. Past due exposures can be determined referring alternatively to individual debtor or individual transaction. In particular they represent an entire exposure to counterparties different from those classified as unlikely to pay and bad loans that at the reporting date show past due receivables from more than 90 days as well as requirements established by local prudential regulation for the inclusion of these credits into “past due” (standardised banks) or “default exposures” (IRB banks). Past due exposures are evaluated on a on a flat-rate basis on historical/statistical basis, applying, if available, the riskiness identified by the risk factor used for the purposes of EU Regulation No.575/2013 (CRR) relating to prudential requirements for credit institutions and investment firms (LGD - Loss Given Default). Allowances for impairment of loans and receivables are based on the present value of expected cash flows of principal and interest. In determining the present value of future cash flows, the basic requirement is the identification of estimated collections, the timing of payments and the discount rate used. In particular, the amount of the loss on impaired exposures classified as bad loans and unlikely to pay, according to the categories specified above, is the difference between the carrying amount and the present value of estimated cash flows discounted at the original interest rate of the financial asset. For all fixed rate positions, the interest rate thus determined is kept constant in subsequent financial years, while for floating rate positions the interest rate is updated according to contractual terms. If the original interest rate cannot be found, or if finding it would be excessively burdensome, the rate that best approximates is applied, also recurring to “practical expedients” that do not alter the substance and ensure consistency with the international accounting standards. Recovery times are estimated on the basis of business plans or forecasts based on historical recovery experience observed for similar classes of loans, taking into account the customer segment, the type of loan, the type of security and any other factors considered relevant. Also the impairment on impaired exposures was calculated as required by the accounting standard to include (i) the adjustments necessary to reach the calculation of a point-in-time and forward-looking loss and (ii) multiple scenarios applicable to this type of exposure including any sale scenarios in case the Group’s NPL strategy foresees the recovery through sale on the market according to what is specified in the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements If there are no reasonable expectations to recover a financial asset in its entirety or a portion thereof, the gross exposure is subject to write-off. Write-off, that may involve either a full or a part of a financial asset, might be accounted for before that the legal actions, activated to recover the credit exposure, are closed and doesn’t imply the forfeiture of the legal right to recover. In this context the Group has developed a specific guideline that assess the need to recognise a write-off. For further information see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements Renegotiations Renegotiations of financial instruments which cause a change in contractual conditions are accounted for depending on the significance of the contractual change itself. In particular, when renegotiations are not considered significant the gross exposure is re-determined through the calculation of the present value of cash flows following the renegotiation at the original effective interest rate. The difference between the gross exposure before and after renegotiation, adjusted to consider changes in the related loan loss provision, is recognised in income statement as modification gain or loss. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 199 The exposures classified among unlikely to pay and qualified as so-called forborne can be reclassified among non-impaired receivables only after at least one year has elapsed from the time of granting and the conditions indicated in paragraph 157 of EBA Implementing Technical Standards. With reference to their evaluation: - they are generally analytically evaluated and may include the discounted charge deriving from the possible renegotiation of the rate at conditions below the original contractual rate; - the renegotiations of loans that require their derecognition in exchange of shares through “debt-to-equity swap” transactions requires the assessment, before executing the swap, of the credit exposures in accordance with stipulated agreements at the date of preparation of the financial statements. Any differences between the value of receivables and the value at initial recognition of equity instruments is accounted in income statement in the impairment losses; • Past due exposures: cash exposures different from those classified as non-performing loans and unlikely to pay that at the reporting date are past due. Past due exposures can be determined referring alternatively to individual debtor or individual transaction. In particular they represent an entire exposure to counterparties different from those classified as unlikely to pay and bad loans that at the reporting date show past due receivables from more than 90 days as well as requirements established by local prudential regulation for the inclusion of these credits into “past due” (standardised banks) or “default exposures” (IRB banks). Past due exposures are evaluated on a on a flat-rate basis on historical/statistical basis, applying, if available, the riskiness identified by the risk factor used for the purposes of EU Regulation No.575/2013 (CRR) relating to prudential requirements for credit institutions and investment firms (LGD - Loss Given Default). Allowances for impairment of loans and receivables are based on the present value of expected cash flows of principal and interest. In determining the present value of future cash flows, the basic requirement is the identification of estimated collections, the timing of payments and the discount rate used. In particular, the amount of the loss on impaired exposures classified as bad loans and unlikely to pay, according to the categories specified above, is the difference between the carrying amount and the present value of estimated cash flows discounted at the original interest rate of the financial asset. For all fixed rate positions, the interest rate thus determined is kept constant in subsequent financial years, while for floating rate positions the interest rate is updated according to contractual terms. If the original interest rate cannot be found, or if finding it would be excessively burdensome, the rate that best approximates is applied, also recurring to “practical expedients” that do not alter the substance and ensure consistency with the international accounting standards. Recovery times are estimated on the basis of business plans or forecasts based on historical recovery experience observed for similar classes of loans, taking into account the customer segment, the type of loan, the type of security and any other factors considered relevant. Also the impairment on impaired exposures was calculated as required by the accounting standard to include (i) the adjustments necessary to reach the calculation of a point-in-time and forward-looking loss and (ii) multiple scenarios applicable to this type of exposure including any sale scenarios in case the Group’s NPL strategy foresees the recovery through sale on the market according to what is specified in the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements If there are no reasonable expectations to recover a financial asset in its entirety or a portion thereof, the gross exposure is subject to write-off. Write-off, that may involve either a full or a part of a financial asset, might be accounted for before that the legal actions, activated to recover the credit exposure, are closed and doesn’t imply the forfeiture of the legal right to recover. In this context the Group has developed a specific guideline that assess the need to recognise a write-off. For further information see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements Renegotiations Renegotiations of financial instruments which cause a change in contractual conditions are accounted for depending on the significance of the contractual change itself. In particular, when renegotiations are not considered significant the gross exposure is re-determined through the calculation of the present value of cash flows following the renegotiation at the original effective interest rate. The difference between the gross exposure before and after renegotiation, adjusted to consider changes in the related loan loss provision, is recognised in income statement as modification gain or loss. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 199 The exposures classified among unlikely to pay and qualified as so-called forborne can be reclassified among non-impaired receivables only after at least one year has elapsed from the time of granting and the conditions indicated in paragraph 157 of EBA Implementing Technical Standards. With reference to their evaluation: - they are generally analytically evaluated and may include the discounted charge deriving from the possible renegotiation of the rate at conditions below the original contractual rate; - the renegotiations of loans that require their derecognition in exchange of shares through “debt-to-equity swap” transactions requires the assessment, before executing the swap, of the credit exposures in accordance with stipulated agreements at the date of preparation of the financial statements. Any differences between the value of receivables and the value at initial recognition of equity instruments is accounted in income statement in the impairment losses; • Past due exposures: cash exposures different from those classified as non-performing loans and unlikely to pay that at the reporting date are past due. Past due exposures can be determined referring alternatively to individual debtor or individual transaction. In particular they represent an entire exposure to counterparties different from those classified as unlikely to pay and bad loans that at the reporting date show past due receivables from more than 90 days as well as requirements established by local prudential regulation for the inclusion of these credits into “past due” (standardised banks) or “default exposures” (IRB banks). Past due exposures are evaluated on a on a flat-rate basis on historical/statistical basis, applying, if available, the riskiness identified by the risk factor used for the purposes of EU Regulation No.575/2013 (CRR) relating to prudential requirements for credit institutions and investment firms (LGD - Loss Given Default). Allowances for impairment of loans and receivables are based on the present value of expected cash flows of principal and interest. In determining the present value of future cash flows, the basic requirement is the identification of estimated collections, the timing of payments and the discount rate used. In particular, the amount of the loss on impaired exposures classified as bad loans and unlikely to pay, according to the categories specified above, is the difference between the carrying amount and the present value of estimated cash flows discounted at the original interest rate of the financial asset. For all fixed rate positions, the interest rate thus determined is kept constant in subsequent financial years, while for floating rate positions the interest rate is updated according to contractual terms. If the original interest rate cannot be found, or if finding it would be excessively burdensome, the rate that best approximates is applied, also recurring to “practical expedients” that do not alter the substance and ensure consistency with the international accounting standards. Recovery times are estimated on the basis of business plans or forecasts based on historical recovery experience observed for similar classes of loans, taking into account the customer segment, the type of loan, the type of security and any other factors considered relevant. Also the impairment on impaired exposures was calculated as required by the accounting standard to include (i) the adjustments necessary to reach the calculation of a point-in-time and forward-looking loss and (ii) multiple scenarios applicable to this type of exposure including any sale scenarios in case the Group’s NPL strategy foresees the recovery through sale on the market according to what is specified in the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements If there are no reasonable expectations to recover a financial asset in its entirety or a portion thereof, the gross exposure is subject to write-off. Write-off, that may involve either a full or a part of a financial asset, might be accounted for before that the legal actions, activated to recover the credit exposure, are closed and doesn’t imply the forfeiture of the legal right to recover. In this context the Group has developed a specific guideline that assess the need to recognise a write-off. For further information see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements Renegotiations Renegotiations of financial instruments which cause a change in contractual conditions are accounted for depending on the significance of the contractual change itself. In particular, when renegotiations are not considered significant the gross exposure is re-determined through the calculation of the present value of cash flows following the renegotiation at the original effective interest rate. The difference between the gross exposure before and after renegotiation, adjusted to consider changes in the related loan loss provision, is recognised in income statement as modification gain or loss. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 199 The exposures classified among unlikely to pay and qualified as so-called forborne can be reclassified among non-impaired receivables only after at least one year has elapsed from the time of granting and the conditions indicated in paragraph 157 of EBA Implementing Technical Standards. With reference to their evaluation: - they are generally analytically evaluated and may include the discounted charge deriving from the possible renegotiation of the rate at conditions below the original contractual rate; - the renegotiations of loans that require their derecognition in exchange of shares through “debt-to-equity swap” transactions requires the assessment, before executing the swap, of the credit exposures in accordance with stipulated agreements at the date of preparation of the financial statements. Any differences between the value of receivables and the value at initial recognition of equity instruments is accounted in income statement in the impairment losses; • Past due exposures: cash exposures different from those classified as non-performing loans and unlikely to pay that at the reporting date are past due. Past due exposures can be determined referring alternatively to individual debtor or individual transaction. In particular they represent an entire exposure to counterparties different from those classified as unlikely to pay and bad loans that at the reporting date show past due receivables from more than 90 days as well as requirements established by local prudential regulation for the inclusion of these credits into “past due” (standardised banks) or “default exposures” (IRB banks). Past due exposures are evaluated on a on a flat-rate basis on historical/statistical basis, applying, if available, the riskiness identified by the risk factor used for the purposes of EU Regulation No.575/2013 (CRR) relating to prudential requirements for credit institutions and investment firms (LGD - Loss Given Default). Allowances for impairment of loans and receivables are based on the present value of expected cash flows of principal and interest. In determining the present value of future cash flows, the basic requirement is the identification of estimated collections, the timing of payments and the discount rate used. In particular, the amount of the loss on impaired exposures classified as bad loans and unlikely to pay, according to the categories specified above, is the difference between the carrying amount and the present value of estimated cash flows discounted at the original interest rate of the financial asset. For all fixed rate positions, the interest rate thus determined is kept constant in subsequent financial years, while for floating rate positions the interest rate is updated according to contractual terms. If the original interest rate cannot be found, or if finding it would be excessively burdensome, the rate that best approximates is applied, also recurring to “practical expedients” that do not alter the substance and ensure consistency with the international accounting standards. Recovery times are estimated on the basis of business plans or forecasts based on historical recovery experience observed for similar classes of loans, taking into account the customer segment, the type of loan, the type of security and any other factors considered relevant. Also the impairment on impaired exposures was calculated as required by the accounting standard to include (i) the adjustments necessary to reach the calculation of a point-in-time and forward-looking loss and (ii) multiple scenarios applicable to this type of exposure including any sale scenarios in case the Group’s NPL strategy foresees the recovery through sale on the market according to what is specified in the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial Statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements If there are no reasonable expectations to recover a financial asset in its entirety or a portion thereof, the gross exposure is subject to write-off. Write-off, that may involve either a full or a part of a financial asset, might be accounted for before that the legal actions, activated to recover the credit exposure, are closed and doesn’t imply the forfeiture of the legal right to recover. In this context the Group has developed a specific guideline that assess the need to recognise a write-off. For further information see the paragraph “2.1 Credit risk” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter with reference to the Consolidated financial statements and the paragraph “Section 1 - Credit risk” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies with reference to the Company’s financial statements Renegotiations Renegotiations of financial instruments which cause a change in contractual conditions are accounted for depending on the significance of the contractual change itself. In particular, when renegotiations are not considered significant the gross exposure is re-determined through the calculation of the present value of cash flows following the renegotiation at the original effective interest rate. The difference between the gross exposure before and after renegotiation, adjusted to consider changes in the related loan loss provision, is recognised in income statement as modification gain or loss. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 200 2021 Annual Report and Accounts · UniCredit In this regard, renegotiations achieved both by amending the original contract or by closing a new one, are considered significant when they determine the expiry of the right to receive cash flows accordingly to the original contract. In particular, the rights to receive cash flows are considered as expired in case of renegotiations that introduce contractual clauses which determine a change in the financial instrument classification, which determine a change in the currency or which are carried out at market conditions therefore without causing credit concession. Business combinations A business combination is a transaction through which an entity obtains control of a company or of a business segment, thus bringing together different businesses into one reporting entity. A business combination may result in a Parent-subsidiary relationship in which the acquirer is the Parent and the acquiree is a subsidiary of the acquirer. A business combination may involve the purchase of the net assets of another entity, in which case goodwill can arise, or the purchase of the equity of the other entity (mergers). IFRS3 requires that all business combinations shall be accounted for by applying the purchase method, that involves the following steps: • identifying an acquirer; • measuring the cost of the business combination, and: • allocating, at the acquisition date, the cost of the business combination to the assets acquired and liabilities and contingent liabilities assumed. The cost of a business combination is the aggregate of the fair value, at the date of exchange, of assets given, liabilities incurred or assumed and equity instruments issued by the acquirer, in exchange for control of the acquiree. The acquisition date is the date on which the acquirer effectively obtains control of the acquiree. When this is achieved through a single exchange transaction, the date of exchange coincides with the acquisition date. A business combination may involve more than one exchange transaction; nevertheless, the cost of the business combination remains equal to the fair value of the total shareholding acquired. This involves the revaluation at fair value, with the recognition of the effects in the income statement - of the equity investments previously held in the acquired entity. The cost of a business combination is allocated by recognising the assets, the liabilities and the identifiable contingent liabilities of the acquired company at their acquisition-date fair value. Exceptions to this principle are deferred income tax assets and liabilities, employee benefits, indemnification assets, reacquired rights, non-current assets held for sale, and share-based payment transactions that are subject to review in accordance with the principle applicable to them. Positive difference between the cost of the business combination and the acquirer’s interest in the net fair value of the identifiable assets, liabilities and contingent liabilities so recognised is accounted for as goodwill. After initial recognition, goodwill is tested for impairment at least annually. In the case of the Consolidated Financial Statements if the acquirer’s interest in the net fair value of the identifiable assets, liabilities and contingent liabilities exceeds the cost of the business combination, the acquirer shall reassess the fair values and recognise immediately any excess remaining after that reassessment in profit or loss. If the acquisition concerns a percentage less than 100% of the assets of the acquired company, minorities are recognised. At the acquisition date, minorities are valued: • at fair value, or • as a proportion of minority interests in the assets, liabilities and identifiable contingent liabilities of the acquired company. Derecognition of financial assets Derecognition is the removal of a previously recognised financial asset from an entity’s balance sheet. Before evaluating whether, and to what extent, derecognition is appropriate, under IFRS9 an entity should determine whether the relevant conditions apply to a financial asset in its entirety or to a part of a financial asset. The standard is applied to a part of financial assets being transferred if, and only if, the part being considered for derecognition meets one of the following conditions: • the part comprises only specifically identified cash flows from a financial asset, or a group of assets, (e.g., interest cash flows from an asset); • the part comprises a clearly identified percentage of the cash flows from a financial asset, (e.g., a 90% share of all cash flows from an asset); • the part comprises only a fully proportionate (pro rata) share of specifically identified cash flow, (e.g., 90% share of interest cash flows from an asset). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 200 2021 Annual Report and Accounts · UniCredit In this regard, renegotiations achieved both by amending the original contract or by closing a new one, are considered significant when they determine the expiry of the right to receive cash flows accordingly to the original contract. In particular, the rights to receive cash flows are considered as expired in case of renegotiations that introduce contractual clauses which determine a change in the financial instrument classification, which determine a change in the currency or which are carried out at market conditions therefore without causing credit concession. Business combinations A business combination is a transaction through which an entity obtains control of a company or of a business segment, thus bringing together different businesses into one reporting entity. A business combination may result in a Parent-subsidiary relationship in which the acquirer is the Parent and the acquiree is a subsidiary of the acquirer. A business combination may involve the purchase of the net assets of another entity, in which case goodwill can arise, or the purchase of the equity of the other entity (mergers). IFRS3 requires that all business combinations shall be accounted for by applying the purchase method, that involves the following steps: • identifying an acquirer; • measuring the cost of the business combination, and: • allocating, at the acquisition date, the cost of the business combination to the assets acquired and liabilities and contingent liabilities assumed. The cost of a business combination is the aggregate of the fair value, at the date of exchange, of assets given, liabilities incurred or assumed and equity instruments issued by the acquirer, in exchange for control of the acquiree. The acquisition date is the date on which the acquirer effectively obtains control of the acquiree. When this is achieved through a single exchange transaction, the date of exchange coincides with the acquisition date. A business combination may involve more than one exchange transaction; nevertheless, the cost of the business combination remains equal to the fair value of the total shareholding acquired. This involves the revaluation at fair value, with the recognition of the effects in the income statement - of the equity investments previously held in the acquired entity. The cost of a business combination is allocated by recognising the assets, the liabilities and the identifiable contingent liabilities of the acquired company at their acquisition-date fair value. Exceptions to this principle are deferred income tax assets and liabilities, employee benefits, indemnification assets, reacquired rights, non-current assets held for sale, and share-based payment transactions that are subject to review in accordance with the principle applicable to them. Positive difference between the cost of the business combination and the acquirer’s interest in the net fair value of the identifiable assets, liabilities and contingent liabilities so recognised is accounted for as goodwill. After initial recognition, goodwill is tested for impairment at least annually. In the case of the Consolidated Financial Statements if the acquirer’s interest in the net fair value of the identifiable assets, liabilities and contingent liabilities exceeds the cost of the business combination, the acquirer shall reassess the fair values and recognise immediately any excess remaining after that reassessment in profit or loss. If the acquisition concerns a percentage less than 100% of the assets of the acquired company, minorities are recognised. At the acquisition date, minorities are valued: • at fair value, or • as a proportion of minority interests in the assets, liabilities and identifiable contingent liabilities of the acquired company. Derecognition of financial assets Derecognition is the removal of a previously recognised financial asset from an entity’s balance sheet. Before evaluating whether, and to what extent, derecognition is appropriate, under IFRS9 an entity should determine whether the relevant conditions apply to a financial asset in its entirety or to a part of a financial asset. The standard is applied to a part of financial assets being transferred if, and only if, the part being considered for derecognition meets one of the following conditions: • the part comprises only specifically identified cash flows from a financial asset, or a group of assets, (e.g., interest cash flows from an asset); • the part comprises a clearly identified percentage of the cash flows from a financial asset, (e.g., a 90% share of all cash flows from an asset); • the part comprises only a fully proportionate (pro rata) share of specifically identified cash flow, (e.g., 90% share of interest cash flows from an asset). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 200 2021 Annual Report and Accounts · UniCredit In this regard, renegotiations achieved both by amending the original contract or by closing a new one, are considered significant when they determine the expiry of the right to receive cash flows accordingly to the original contract. In particular, the rights to receive cash flows are considered as expired in case of renegotiations that introduce contractual clauses which determine a change in the financial instrument classification, which determine a change in the currency or which are carried out at market conditions therefore without causing credit concession. Business combinations A business combination is a transaction through which an entity obtains control of a company or of a business segment, thus bringing together different businesses into one reporting entity. A business combination may result in a Parent-subsidiary relationship in which the acquirer is the Parent and the acquiree is a subsidiary of the acquirer. A business combination may involve the purchase of the net assets of another entity, in which case goodwill can arise, or the purchase of the equity of the other entity (mergers). IFRS3 requires that all business combinations shall be accounted for by applying the purchase method, that involves the following steps: • identifying an acquirer; • measuring the cost of the business combination, and: • allocating, at the acquisition date, the cost of the business combination to the assets acquired and liabilities and contingent liabilities assumed. The cost of a business combination is the aggregate of the fair value, at the date of exchange, of assets given, liabilities incurred or assumed and equity instruments issued by the acquirer, in exchange for control of the acquiree. The acquisition date is the date on which the acquirer effectively obtains control of the acquiree. When this is achieved through a single exchange transaction, the date of exchange coincides with the acquisition date. A business combination may involve more than one exchange transaction; nevertheless, the cost of the business combination remains equal to the fair value of the total shareholding acquired. This involves the revaluation at fair value, with the recognition of the effects in the income statement - of the equity investments previously held in the acquired entity. The cost of a business combination is allocated by recognising the assets, the liabilities and the identifiable contingent liabilities of the acquired company at their acquisition-date fair value. Exceptions to this principle are deferred income tax assets and liabilities, employee benefits, indemnification assets, reacquired rights, non-current assets held for sale, and share-based payment transactions that are subject to review in accordance with the principle applicable to them. Positive difference between the cost of the business combination and the acquirer’s interest in the net fair value of the identifiable assets, liabilities and contingent liabilities so recognised is accounted for as goodwill. After initial recognition, goodwill is tested for impairment at least annually. In the case of the Consolidated Financial Statements if the acquirer’s interest in the net fair value of the identifiable assets, liabilities and contingent liabilities exceeds the cost of the business combination, the acquirer shall reassess the fair values and recognise immediately any excess remaining after that reassessment in profit or loss. If the acquisition concerns a percentage less than 100% of the assets of the acquired company, minorities are recognised. At the acquisition date, minorities are valued: • at fair value, or • as a proportion of minority interests in the assets, liabilities and identifiable contingent liabilities of the acquired company. Derecognition of financial assets Derecognition is the removal of a previously recognised financial asset from an entity’s balance sheet. Before evaluating whether, and to what extent, derecognition is appropriate, under IFRS9 an entity should determine whether the relevant conditions apply to a financial asset in its entirety or to a part of a financial asset. The standard is applied to a part of financial assets being transferred if, and only if, the part being considered for derecognition meets one of the following conditions: • the part comprises only specifically identified cash flows from a financial asset, or a group of assets, (e.g., interest cash flows from an asset); • the part comprises a clearly identified percentage of the cash flows from a financial asset, (e.g., a 90% share of all cash flows from an asset); • the part comprises only a fully proportionate (pro rata) share of specifically identified cash flow, (e.g., 90% share of interest cash flows from an asset). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 200 2021 Annual Report and Accounts · UniCredit In this regard, renegotiations achieved both by amending the original contract or by closing a new one, are considered significant when they determine the expiry of the right to receive cash flows accordingly to the original contract. In particular, the rights to receive cash flows are considered as expired in case of renegotiations that introduce contractual clauses which determine a change in the financial instrument classification, which determine a change in the currency or which are carried out at market conditions therefore without causing credit concession. Business combinations A business combination is a transaction through which an entity obtains control of a company or of a business segment, thus bringing together different businesses into one reporting entity. A business combination may result in a Parent-subsidiary relationship in which the acquirer is the Parent and the acquiree is a subsidiary of the acquirer. A business combination may involve the purchase of the net assets of another entity, in which case goodwill can arise, or the purchase of the equity of the other entity (mergers). IFRS3 requires that all business combinations shall be accounted for by applying the purchase method, that involves the following steps: • identifying an acquirer; • measuring the cost of the business combination, and: • allocating, at the acquisition date, the cost of the business combination to the assets acquired and liabilities and contingent liabilities assumed. The cost of a business combination is the aggregate of the fair value, at the date of exchange, of assets given, liabilities incurred or assumed and equity instruments issued by the acquirer, in exchange for control of the acquiree. The acquisition date is the date on which the acquirer effectively obtains control of the acquiree. When this is achieved through a single exchange transaction, the date of exchange coincides with the acquisition date. A business combination may involve more than one exchange transaction; nevertheless, the cost of the business combination remains equal to the fair value of the total shareholding acquired. This involves the revaluation at fair value, with the recognition of the effects in the income statement - of the equity investments previously held in the acquired entity. The cost of a business combination is allocated by recognising the assets, the liabilities and the identifiable contingent liabilities of the acquired company at their acquisition-date fair value. Exceptions to this principle are deferred income tax assets and liabilities, employee benefits, indemnification assets, reacquired rights, non-current assets held for sale, and share-based payment transactions that are subject to review in accordance with the principle applicable to them. Positive difference between the cost of the business combination and the acquirer’s interest in the net fair value of the identifiable assets, liabilities and contingent liabilities so recognised is accounted for as goodwill. After initial recognition, goodwill is tested for impairment at least annually. In the case of the Consolidated Financial Statements if the acquirer’s interest in the net fair value of the identifiable assets, liabilities and contingent liabilities exceeds the cost of the business combination, the acquirer shall reassess the fair values and recognise immediately any excess remaining after that reassessment in profit or loss. If the acquisition concerns a percentage less than 100% of the assets of the acquired company, minorities are recognised. At the acquisition date, minorities are valued: • at fair value, or • as a proportion of minority interests in the assets, liabilities and identifiable contingent liabilities of the acquired company. Derecognition of financial assets Derecognition is the removal of a previously recognised financial asset from an entity’s balance sheet. Before evaluating whether, and to what extent, derecognition is appropriate, under IFRS9 an entity should determine whether the relevant conditions apply to a financial asset in its entirety or to a part of a financial asset. The standard is applied to a part of financial assets being transferred if, and only if, the part being considered for derecognition meets one of the following conditions: • the part comprises only specifically identified cash flows from a financial asset, or a group of assets, (e.g., interest cash flows from an asset); • the part comprises a clearly identified percentage of the cash flows from a financial asset, (e.g., a 90% share of all cash flows from an asset); • the part comprises only a fully proportionate (pro rata) share of specifically identified cash flow, (e.g., 90% share of interest cash flows from an asset). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 200 2021 Annual Report and Accounts · UniCredit In this regard, renegotiations achieved both by amending the original contract or by closing a new one, are considered significant when they determine the expiry of the right to receive cash flows accordingly to the original contract. In particular, the rights to receive cash flows are considered as expired in case of renegotiations that introduce contractual clauses which determine a change in the financial instrument classification, which determine a change in the currency or which are carried out at market conditions therefore without causing credit concession. Business combinations A business combination is a transaction through which an entity obtains control of a company or of a business segment, thus bringing together different businesses into one reporting entity. A business combination may result in a Parent-subsidiary relationship in which the acquirer is the Parent and the acquiree is a subsidiary of the acquirer. A business combination may involve the purchase of the net assets of another entity, in which case goodwill can arise, or the purchase of the equity of the other entity (mergers). IFRS3 requires that all business combinations shall be accounted for by applying the purchase method, that involves the following steps: • identifying an acquirer; • measuring the cost of the business combination, and: • allocating, at the acquisition date, the cost of the business combination to the assets acquired and liabilities and contingent liabilities assumed. The cost of a business combination is the aggregate of the fair value, at the date of exchange, of assets given, liabilities incurred or assumed and equity instruments issued by the acquirer, in exchange for control of the acquiree. The acquisition date is the date on which the acquirer effectively obtains control of the acquiree. When this is achieved through a single exchange transaction, the date of exchange coincides with the acquisition date. A business combination may involve more than one exchange transaction; nevertheless, the cost of the business combination remains equal to the fair value of the total shareholding acquired. This involves the revaluation at fair value, with the recognition of the effects in the income statement - of the equity investments previously held in the acquired entity. The cost of a business combination is allocated by recognising the assets, the liabilities and the identifiable contingent liabilities of the acquired company at their acquisition-date fair value. Exceptions to this principle are deferred income tax assets and liabilities, employee benefits, indemnification assets, reacquired rights, non-current assets held for sale, and share-based payment transactions that are subject to review in accordance with the principle applicable to them. Positive difference between the cost of the business combination and the acquirer’s interest in the net fair value of the identifiable assets, liabilities and contingent liabilities so recognised is accounted for as goodwill. After initial recognition, goodwill is tested for impairment at least annually. In the case of the Consolidated Financial Statements if the acquirer’s interest in the net fair value of the identifiable assets, liabilities and contingent liabilities exceeds the cost of the business combination, the acquirer shall reassess the fair values and recognise immediately any excess remaining after that reassessment in profit or loss. If the acquisition concerns a percentage less than 100% of the assets of the acquired company, minorities are recognised. At the acquisition date, minorities are valued: • at fair value, or • as a proportion of minority interests in the assets, liabilities and identifiable contingent liabilities of the acquired company. Derecognition of financial assets Derecognition is the removal of a previously recognised financial asset from an entity’s balance sheet. Before evaluating whether, and to what extent, derecognition is appropriate, under IFRS9 an entity should determine whether the relevant conditions apply to a financial asset in its entirety or to a part of a financial asset. The standard is applied to a part of financial assets being transferred if, and only if, the part being considered for derecognition meets one of the following conditions: • the part comprises only specifically identified cash flows from a financial asset, or a group of assets, (e.g., interest cash flows from an asset); • the part comprises a clearly identified percentage of the cash flows from a financial asset, (e.g., a 90% share of all cash flows from an asset); • the part comprises only a fully proportionate (pro rata) share of specifically identified cash flow, (e.g., 90% share of interest cash flows from an asset). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 201 In all other cases, the standard is applied to the financial asset in its entirety (or to the group of similar financial assets in their entirety). An entity shall derecognise a financial asset when the contractual rights to the cash flows from the financial asset expire or it transfers the contractual rights to receive the cash flows of the financial asset to a non-Group counterparty. Rights to cash flow are considered to be transferred even if contractual rights to receive the asset’s cash flow are retained but there is an obligation to pay this cash flow to one or more entities and all the following conditions are fulfilled (pass-through agreement): • there is no obligation on the Group to pay amounts not received from the original asset; • sale or pledge of the original asset is not allowed, unless it secures the obligation to pay cash flow; • the Group is obliged to transfer forthwith all cash flows received and may not invest them, except for liquidity invested for the short period between the date of receipt and that of payment, provided that the interest accrued in that period is paid on. Derecognition is also subject to verification of effective transfer of all the risks and rewards of ownership of the financial asset. If the entity transfers substantially all the risks and rewards of ownership of the financial asset, the entity shall derecognise the asset (or group of assets) and recognise separately as assets or liabilities any rights and obligations created or retained in the transfer. Conversely, if the entity substantially retains all the risks and rewards of ownership of the asset (or group of assets), the entity shall continue to recognise the transferred asset(s). In this case it is necessary to recognise a liability corresponding to the amount received under the transfer and subsequently recognise all income accruing on the asset and expense accruing on the liability. The main transactions that do not allow, under the above rules, total derecognition of a financial asset are securitisations, repurchase (sell and buy-backs) and securities lending transactions. In the case of securitisations the Group does not derecognise the financial asset on purchase of the equity tranche or provision of other types of support of the structure which result in the Group retaining the credit risk of the securitised portfolio. In the case of repurchase transactions and stock lending, the assets transacted are not derecognised since the terms of the transaction entail the retention of all their risks and rewards. Finally, it should be noted that securities lending transactions collateralised by other securities or not collateralised were recorded as off-balance sheet items. Repo transactions and securities lending Securities received in a transaction that entails a contractual obligation to sell them at a later date or delivered under a contractual obligation to repurchase are neither recognised nor derecognised. In respect of securities purchased under an agreement to resell, the consideration is recognised as a loan to customers or banks among financial assets at amortised cost, or as an asset held for trading. In respect of securities held in a repurchase agreement, the liability is recognised as due to banks or customers among financial liabilities at amortised cost, or as an held for trading financial liability. Revenue from these loans, being the coupons accrued on the securities and the difference between the sale/purchase and resale/repurchase prices, is recognised in profit or loss through interest income and expenses on an accrual basis. These transactions can only be offset if, and only if, they are carried out with the same counterparty and provided that such offset is provided for in the underlying contracts. The same rules apply to securities lending transactions collateralised by cash fully available to the lender. The income statement items connected with these transactions are booked respectively: • in item Interest, with respect to the positive item (borrower) and the negative item (lender) relating to the return on cash paid to the lender; • in item Fees and commissions, with respect to the negative item (borrower) and the positive item (lender) relating to the service provided by the lender by making the security available. With reference to securities lending transactions collateralised by other securities, or not collateralised, the security lent or the security put up as collateral are still recognised as assets in the balance sheet, depending on the role, lender or borrower, respectively, played in the transaction. Counterparty risk relating to the latter securities lending or borrowing transactions is shown under the off-balance sheet exposures in the tables reported in the paragraph “A. Credit quality”, of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information. Equity instruments Equity instruments are instruments that represent a residual interest in Group’s assets net of its liabilities. Classification of an issued instrument as equity is possible only if there are no contractual obligation to make payments in form of capital redemptions, interest or other kinds of returns. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 201 In all other cases, the standard is applied to the financial asset in its entirety (or to the group of similar financial assets in their entirety). An entity shall derecognise a financial asset when the contractual rights to the cash flows from the financial asset expire or it transfers the contractual rights to receive the cash flows of the financial asset to a non-Group counterparty. Rights to cash flow are considered to be transferred even if contractual rights to receive the asset’s cash flow are retained but there is an obligation to pay this cash flow to one or more entities and all the following conditions are fulfilled (pass-through agreement): • there is no obligation on the Group to pay amounts not received from the original asset; • sale or pledge of the original asset is not allowed, unless it secures the obligation to pay cash flow; • the Group is obliged to transfer forthwith all cash flows received and may not invest them, except for liquidity invested for the short period between the date of receipt and that of payment, provided that the interest accrued in that period is paid on. Derecognition is also subject to verification of effective transfer of all the risks and rewards of ownership of the financial asset. If the entity transfers substantially all the risks and rewards of ownership of the financial asset, the entity shall derecognise the asset (or group of assets) and recognise separately as assets or liabilities any rights and obligations created or retained in the transfer. Conversely, if the entity substantially retains all the risks and rewards of ownership of the asset (or group of assets), the entity shall continue to recognise the transferred asset(s). In this case it is necessary to recognise a liability corresponding to the amount received under the transfer and subsequently recognise all income accruing on the asset and expense accruing on the liability. The main transactions that do not allow, under the above rules, total derecognition of a financial asset are securitisations, repurchase (sell and buy-backs) and securities lending transactions. In the case of securitisations the Group does not derecognise the financial asset on purchase of the equity tranche or provision of other types of support of the structure which result in the Group retaining the credit risk of the securitised portfolio. In the case of repurchase transactions and stock lending, the assets transacted are not derecognised since the terms of the transaction entail the retention of all their risks and rewards. Finally, it should be noted that securities lending transactions collateralised by other securities or not collateralised were recorded as off-balance sheet items. Repo transactions and securities lending Securities received in a transaction that entails a contractual obligation to sell them at a later date or delivered under a contractual obligation to repurchase are neither recognised nor derecognised. In respect of securities purchased under an agreement to resell, the consideration is recognised as a loan to customers or banks among financial assets at amortised cost, or as an asset held for trading. In respect of securities held in a repurchase agreement, the liability is recognised as due to banks or customers among financial liabilities at amortised cost, or as an held for trading financial liability. Revenue from these loans, being the coupons accrued on the securities and the difference between the sale/purchase and resale/repurchase prices, is recognised in profit or loss through interest income and expenses on an accrual basis. These transactions can only be offset if, and only if, they are carried out with the same counterparty and provided that such offset is provided for in the underlying contracts. The same rules apply to securities lending transactions collateralised by cash fully available to the lender. The income statement items connected with these transactions are booked respectively: • in item Interest, with respect to the positive item (borrower) and the negative item (lender) relating to the return on cash paid to the lender; • in item Fees and commissions, with respect to the negative item (borrower) and the positive item (lender) relating to the service provided by the lender by making the security available. With reference to securities lending transactions collateralised by other securities, or not collateralised, the security lent or the security put up as collateral are still recognised as assets in the balance sheet, depending on the role, lender or borrower, respectively, played in the transaction. Counterparty risk relating to the latter securities lending or borrowing transactions is shown under the off-balance sheet exposures in the tables reported in the paragraph “A. Credit quality”, of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information. Equity instruments Equity instruments are instruments that represent a residual interest in Group’s assets net of its liabilities. Classification of an issued instrument as equity is possible only if there are no contractual obligation to make payments in form of capital redemptions, interest or other kinds of returns. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 201 In all other cases, the standard is applied to the financial asset in its entirety (or to the group of similar financial assets in their entirety). An entity shall derecognise a financial asset when the contractual rights to the cash flows from the financial asset expire or it transfers the contractual rights to receive the cash flows of the financial asset to a non-Group counterparty. Rights to cash flow are considered to be transferred even if contractual rights to receive the asset’s cash flow are retained but there is an obligation to pay this cash flow to one or more entities and all the following conditions are fulfilled (pass-through agreement): • there is no obligation on the Group to pay amounts not received from the original asset; • sale or pledge of the original asset is not allowed, unless it secures the obligation to pay cash flow; • the Group is obliged to transfer forthwith all cash flows received and may not invest them, except for liquidity invested for the short period between the date of receipt and that of payment, provided that the interest accrued in that period is paid on. Derecognition is also subject to verification of effective transfer of all the risks and rewards of ownership of the financial asset. If the entity transfers substantially all the risks and rewards of ownership of the financial asset, the entity shall derecognise the asset (or group of assets) and recognise separately as assets or liabilities any rights and obligations created or retained in the transfer. Conversely, if the entity substantially retains all the risks and rewards of ownership of the asset (or group of assets), the entity shall continue to recognise the transferred asset(s). In this case it is necessary to recognise a liability corresponding to the amount received under the transfer and subsequently recognise all income accruing on the asset and expense accruing on the liability. The main transactions that do not allow, under the above rules, total derecognition of a financial asset are securitisations, repurchase (sell and buy-backs) and securities lending transactions. In the case of securitisations the Group does not derecognise the financial asset on purchase of the equity tranche or provision of other types of support of the structure which result in the Group retaining the credit risk of the securitised portfolio. In the case of repurchase transactions and stock lending, the assets transacted are not derecognised since the terms of the transaction entail the retention of all their risks and rewards. Finally, it should be noted that securities lending transactions collateralised by other securities or not collateralised were recorded as off-balance sheet items. Repo transactions and securities lending Securities received in a transaction that entails a contractual obligation to sell them at a later date or delivered under a contractual obligation to repurchase are neither recognised nor derecognised. In respect of securities purchased under an agreement to resell, the consideration is recognised as a loan to customers or banks among financial assets at amortised cost, or as an asset held for trading. In respect of securities held in a repurchase agreement, the liability is recognised as due to banks or customers among financial liabilities at amortised cost, or as an held for trading financial liability. Revenue from these loans, being the coupons accrued on the securities and the difference between the sale/purchase and resale/repurchase prices, is recognised in profit or loss through interest income and expenses on an accrual basis. These transactions can only be offset if, and only if, they are carried out with the same counterparty and provided that such offset is provided for in the underlying contracts. The same rules apply to securities lending transactions collateralised by cash fully available to the lender. The income statement items connected with these transactions are booked respectively: • in item Interest, with respect to the positive item (borrower) and the negative item (lender) relating to the return on cash paid to the lender; • in item Fees and commissions, with respect to the negative item (borrower) and the positive item (lender) relating to the service provided by the lender by making the security available. With reference to securities lending transactions collateralised by other securities, or not collateralised, the security lent or the security put up as collateral are still recognised as assets in the balance sheet, depending on the role, lender or borrower, respectively, played in the transaction. Counterparty risk relating to the latter securities lending or borrowing transactions is shown under the off-balance sheet exposures in the tables reported in the paragraph “A. Credit quality”, of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information. Equity instruments Equity instruments are instruments that represent a residual interest in Group’s assets net of its liabilities. Classification of an issued instrument as equity is possible only if there are no contractual obligation to make payments in form of capital redemptions, interest or other kinds of returns. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 201 In all other cases, the standard is applied to the financial asset in its entirety (or to the group of similar financial assets in their entirety). An entity shall derecognise a financial asset when the contractual rights to the cash flows from the financial asset expire or it transfers the contractual rights to receive the cash flows of the financial asset to a non-Group counterparty. Rights to cash flow are considered to be transferred even if contractual rights to receive the asset’s cash flow are retained but there is an obligation to pay this cash flow to one or more entities and all the following conditions are fulfilled (pass-through agreement): • there is no obligation on the Group to pay amounts not received from the original asset; • sale or pledge of the original asset is not allowed, unless it secures the obligation to pay cash flow; • the Group is obliged to transfer forthwith all cash flows received and may not invest them, except for liquidity invested for the short period between the date of receipt and that of payment, provided that the interest accrued in that period is paid on. Derecognition is also subject to verification of effective transfer of all the risks and rewards of ownership of the financial asset. If the entity transfers substantially all the risks and rewards of ownership of the financial asset, the entity shall derecognise the asset (or group of assets) and recognise separately as assets or liabilities any rights and obligations created or retained in the transfer. Conversely, if the entity substantially retains all the risks and rewards of ownership of the asset (or group of assets), the entity shall continue to recognise the transferred asset(s). In this case it is necessary to recognise a liability corresponding to the amount received under the transfer and subsequently recognise all income accruing on the asset and expense accruing on the liability. The main transactions that do not allow, under the above rules, total derecognition of a financial asset are securitisations, repurchase (sell and buy-backs) and securities lending transactions. In the case of securitisations the Group does not derecognise the financial asset on purchase of the equity tranche or provision of other types of support of the structure which result in the Group retaining the credit risk of the securitised portfolio. In the case of repurchase transactions and stock lending, the assets transacted are not derecognised since the terms of the transaction entail the retention of all their risks and rewards. Finally, it should be noted that securities lending transactions collateralised by other securities or not collateralised were recorded as off-balance sheet items. Repo transactions and securities lending Securities received in a transaction that entails a contractual obligation to sell them at a later date or delivered under a contractual obligation to repurchase are neither recognised nor derecognised. In respect of securities purchased under an agreement to resell, the consideration is recognised as a loan to customers or banks among financial assets at amortised cost, or as an asset held for trading. In respect of securities held in a repurchase agreement, the liability is recognised as due to banks or customers among financial liabilities at amortised cost, or as an held for trading financial liability. Revenue from these loans, being the coupons accrued on the securities and the difference between the sale/purchase and resale/repurchase prices, is recognised in profit or loss through interest income and expenses on an accrual basis. These transactions can only be offset if, and only if, they are carried out with the same counterparty and provided that such offset is provided for in the underlying contracts. The same rules apply to securities lending transactions collateralised by cash fully available to the lender. The income statement items connected with these transactions are booked respectively: • in item Interest, with respect to the positive item (borrower) and the negative item (lender) relating to the return on cash paid to the lender; • in item Fees and commissions, with respect to the negative item (borrower) and the positive item (lender) relating to the service provided by the lender by making the security available. With reference to securities lending transactions collateralised by other securities, or not collateralised, the security lent or the security put up as collateral are still recognised as assets in the balance sheet, depending on the role, lender or borrower, respectively, played in the transaction. Counterparty risk relating to the latter securities lending or borrowing transactions is shown under the off-balance sheet exposures in the tables reported in the paragraph “A. Credit quality”, of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information. Equity instruments Equity instruments are instruments that represent a residual interest in Group’s assets net of its liabilities. Classification of an issued instrument as equity is possible only if there are no contractual obligation to make payments in form of capital redemptions, interest or other kinds of returns. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 201 In all other cases, the standard is applied to the financial asset in its entirety (or to the group of similar financial assets in their entirety). An entity shall derecognise a financial asset when the contractual rights to the cash flows from the financial asset expire or it transfers the contractual rights to receive the cash flows of the financial asset to a non-Group counterparty. Rights to cash flow are considered to be transferred even if contractual rights to receive the asset’s cash flow are retained but there is an obligation to pay this cash flow to one or more entities and all the following conditions are fulfilled (pass-through agreement): • there is no obligation on the Group to pay amounts not received from the original asset; • sale or pledge of the original asset is not allowed, unless it secures the obligation to pay cash flow; • the Group is obliged to transfer forthwith all cash flows received and may not invest them, except for liquidity invested for the short period between the date of receipt and that of payment, provided that the interest accrued in that period is paid on. Derecognition is also subject to verification of effective transfer of all the risks and rewards of ownership of the financial asset. If the entity transfers substantially all the risks and rewards of ownership of the financial asset, the entity shall derecognise the asset (or group of assets) and recognise separately as assets or liabilities any rights and obligations created or retained in the transfer. Conversely, if the entity substantially retains all the risks and rewards of ownership of the asset (or group of assets), the entity shall continue to recognise the transferred asset(s). In this case it is necessary to recognise a liability corresponding to the amount received under the transfer and subsequently recognise all income accruing on the asset and expense accruing on the liability. The main transactions that do not allow, under the above rules, total derecognition of a financial asset are securitisations, repurchase (sell and buy-backs) and securities lending transactions. In the case of securitisations the Group does not derecognise the financial asset on purchase of the equity tranche or provision of other types of support of the structure which result in the Group retaining the credit risk of the securitised portfolio. In the case of repurchase transactions and stock lending, the assets transacted are not derecognised since the terms of the transaction entail the retention of all their risks and rewards. Finally, it should be noted that securities lending transactions collateralised by other securities or not collateralised were recorded as off-balance sheet items. Repo transactions and securities lending Securities received in a transaction that entails a contractual obligation to sell them at a later date or delivered under a contractual obligation to repurchase are neither recognised nor derecognised. In respect of securities purchased under an agreement to resell, the consideration is recognised as a loan to customers or banks among financial assets at amortised cost, or as an asset held for trading. In respect of securities held in a repurchase agreement, the liability is recognised as due to banks or customers among financial liabilities at amortised cost, or as an held for trading financial liability. Revenue from these loans, being the coupons accrued on the securities and the difference between the sale/purchase and resale/repurchase prices, is recognised in profit or loss through interest income and expenses on an accrual basis. These transactions can only be offset if, and only if, they are carried out with the same counterparty and provided that such offset is provided for in the underlying contracts. The same rules apply to securities lending transactions collateralised by cash fully available to the lender. The income statement items connected with these transactions are booked respectively: • in item Interest, with respect to the positive item (borrower) and the negative item (lender) relating to the return on cash paid to the lender; • in item Fees and commissions, with respect to the negative item (borrower) and the positive item (lender) relating to the service provided by the lender by making the security available. With reference to securities lending transactions collateralised by other securities, or not collateralised, the security lent or the security put up as collateral are still recognised as assets in the balance sheet, depending on the role, lender or borrower, respectively, played in the transaction. Counterparty risk relating to the latter securities lending or borrowing transactions is shown under the off-balance sheet exposures in the tables reported in the paragraph “A. Credit quality”, of the Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information. Equity instruments Equity instruments are instruments that represent a residual interest in Group’s assets net of its liabilities. Classification of an issued instrument as equity is possible only if there are no contractual obligation to make payments in form of capital redemptions, interest or other kinds of returns. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 202 2021 Annual Report and Accounts · UniCredit In particular, instruments having the following features are classified as equity instruments: • the instrument is perpetual or has a maturity equal to duration of the entity; • full discretion of the issuer in coupon payments and redemptions, also advanced, of the principal outstanding. Additional Tier 1 instruments are included in this category, in line with the provisions of Regulation (EU) No.575/2013 (CRR) on prudential requirements for credit institutions and investment firms, if, additionally to the characteristics described above: • maintain within the full discretion of the issuer the possibility to perform a write-up of the nominal value after the occurrence of a capital event that has determined a write-down; • do not incorporate outlook that force the issuer to provide for payments (must-pay clauses) following genuine events under the direct control of the parties. Equity instruments, different from common or saving shares, are presented in item “140. Equity instruments” (item “130. Equity instruments” in the Company financial statements) for the consideration received including transaction costs directly attributable to the instruments. Any coupon paid, net of related taxes, reduces item “150. Reserves” (item “140. Reserves” in the Company financial statements). Any difference between the amounts paid for the redemption or repurchase of these instruments and their carrying value is recognised in item “150. Reserves” (item “140. Reserves” in the Company financial statements). Treasury Shares Changes in treasury shares are reported as a direct contra item to shareholders' equity, i.e. as a reduction to the latter in the amount of any purchases, and as an increase in the amount of any sales proceeds. This entails that, if treasury shares are subsequently sold, the difference between the sale price and the related post-tax repurchase cost is recognised entirely as a contra item to Shareholders' equity. Leases Lease contracts shall be classified by the lessor in finance leases or operating leases. Finance leases effectively transfer all the risks and benefits of ownership of an asset to the lessee. The lessee acquires the economic benefit of the use of the leased asset for most of its useful life, in exchange for a commitment to pay to the lessor an amount approximately equivalent to the fair value of the asset and related finance costs. Recognition in the lessor’s accounts is as follows: • in assets, the value of the loan, less the principal of lease payments due and paid by the lessee; • in profit or loss, interest received. Operating leases do not transfer all the risks and benefits of ownership of an asset to the lessee which are therefore retained by the lessor. In case of operating leases, the lessor recognises in the income statement the leases payments on an accrual basis. The lessee recognises an asset representing the right of use of the underlying asset and, at the same time, a liability for the future payments requested by the lease contract. It should be noted that as allowed by the standard, the Group has decided not to recognise any right of use nor lease liability with reference to the following lease contracts: • leases of intangible assets; • short term leases, lower than 12 months; and • low value assets leases. For this purpose, an asset is considered as “low value” when its fair value as new is equal to or lower than €5 thousand. This category mainly comprises office equipment (PC, monitors, tablets, etc.) and fixed and mobile phones. Therefore, lease payments concerning these kind of lease assets are recognised in item “190. Administrative expenses” on an accrual basis (item “160. Administrative expenses” in the Company financial statements). With reference to contracts different from those mentioned above, the lease liability, recognised in Item “10. Financial liabilities at amortised cost”, is determined by discounting the future lease payments to be due over the lease term at the proper discount rate. Future lease payments subject to discounting are determined based on contractual provisions and net of VAT, when applicable, as the obligation to pay this tax starts when the invoice is issued by the lessor and not at the starting date of the lease contract. In addition, if the lease payments foreseen by the contracts include additional services beside the mere rental of the asset, the right of use and the associated lease liability are calculated considering also these components. To perform the mentioned calculation, lease payments have to be discounted at the interest rate implicit in the contract or, if it is not available, at the incremental borrowing rate. The key assumption followed to calculate this rate is that the lessee incurs a loan, senior secured, having the same maturity of the lease contract in order to acquire the assets underlying the contract itself. The resulting rate, where necessary, is adjusted in order to consider the specific features of the lease contract. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 202 2021 Annual Report and Accounts · UniCredit In particular, instruments having the following features are classified as equity instruments: • the instrument is perpetual or has a maturity equal to duration of the entity; • full discretion of the issuer in coupon payments and redemptions, also advanced, of the principal outstanding. Additional Tier 1 instruments are included in this category, in line with the provisions of Regulation (EU) No.575/2013 (CRR) on prudential requirements for credit institutions and investment firms, if, additionally to the characteristics described above: • maintain within the full discretion of the issuer the possibility to perform a write-up of the nominal value after the occurrence of a capital event that has determined a write-down; • do not incorporate outlook that force the issuer to provide for payments (must-pay clauses) following genuine events under the direct control of the parties. Equity instruments, different from common or saving shares, are presented in item “140. Equity instruments” (item “130. Equity instruments” in the Company financial statements) for the consideration received including transaction costs directly attributable to the instruments. Any coupon paid, net of related taxes, reduces item “150. Reserves” (item “140. Reserves” in the Company financial statements). Any difference between the amounts paid for the redemption or repurchase of these instruments and their carrying value is recognised in item “150. Reserves” (item “140. Reserves” in the Company financial statements). Treasury Shares Changes in treasury shares are reported as a direct contra item to shareholders' equity, i.e. as a reduction to the latter in the amount of any purchases, and as an increase in the amount of any sales proceeds. This entails that, if treasury shares are subsequently sold, the difference between the sale price and the related post-tax repurchase cost is recognised entirely as a contra item to Shareholders' equity. Leases Lease contracts shall be classified by the lessor in finance leases or operating leases. Finance leases effectively transfer all the risks and benefits of ownership of an asset to the lessee. The lessee acquires the economic benefit of the use of the leased asset for most of its useful life, in exchange for a commitment to pay to the lessor an amount approximately equivalent to the fair value of the asset and related finance costs. Recognition in the lessor’s accounts is as follows: • in assets, the value of the loan, less the principal of lease payments due and paid by the lessee; • in profit or loss, interest received. Operating leases do not transfer all the risks and benefits of ownership of an asset to the lessee which are therefore retained by the lessor. In case of operating leases, the lessor recognises in the income statement the leases payments on an accrual basis. The lessee recognises an asset representing the right of use of the underlying asset and, at the same time, a liability for the future payments requested by the lease contract. It should be noted that as allowed by the standard, the Group has decided not to recognise any right of use nor lease liability with reference to the following lease contracts: • leases of intangible assets; • short term leases, lower than 12 months; and • low value assets leases. For this purpose, an asset is considered as “low value” when its fair value as new is equal to or lower than €5 thousand. This category mainly comprises office equipment (PC, monitors, tablets, etc.) and fixed and mobile phones. Therefore, lease payments concerning these kind of lease assets are recognised in item “190. Administrative expenses” on an accrual basis (item “160. Administrative expenses” in the Company financial statements). With reference to contracts different from those mentioned above, the lease liability, recognised in Item “10. Financial liabilities at amortised cost”, is determined by discounting the future lease payments to be due over the lease term at the proper discount rate. Future lease payments subject to discounting are determined based on contractual provisions and net of VAT, when applicable, as the obligation to pay this tax starts when the invoice is issued by the lessor and not at the starting date of the lease contract. In addition, if the lease payments foreseen by the contracts include additional services beside the mere rental of the asset, the right of use and the associated lease liability are calculated considering also these components. To perform the mentioned calculation, lease payments have to be discounted at the interest rate implicit in the contract or, if it is not available, at the incremental borrowing rate. The key assumption followed to calculate this rate is that the lessee incurs a loan, senior secured, having the same maturity of the lease contract in order to acquire the assets underlying the contract itself. The resulting rate, where necessary, is adjusted in order to consider the specific features of the lease contract. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 202 2021 Annual Report and Accounts · UniCredit In particular, instruments having the following features are classified as equity instruments: • the instrument is perpetual or has a maturity equal to duration of the entity; • full discretion of the issuer in coupon payments and redemptions, also advanced, of the principal outstanding. Additional Tier 1 instruments are included in this category, in line with the provisions of Regulation (EU) No.575/2013 (CRR) on prudential requirements for credit institutions and investment firms, if, additionally to the characteristics described above: • maintain within the full discretion of the issuer the possibility to perform a write-up of the nominal value after the occurrence of a capital event that has determined a write-down; • do not incorporate outlook that force the issuer to provide for payments (must-pay clauses) following genuine events under the direct control of the parties. Equity instruments, different from common or saving shares, are presented in item “140. Equity instruments” (item “130. Equity instruments” in the Company financial statements) for the consideration received including transaction costs directly attributable to the instruments. Any coupon paid, net of related taxes, reduces item “150. Reserves” (item “140. Reserves” in the Company financial statements). Any difference between the amounts paid for the redemption or repurchase of these instruments and their carrying value is recognised in item “150. Reserves” (item “140. Reserves” in the Company financial statements). Treasury Shares Changes in treasury shares are reported as a direct contra item to shareholders' equity, i.e. as a reduction to the latter in the amount of any purchases, and as an increase in the amount of any sales proceeds. This entails that, if treasury shares are subsequently sold, the difference between the sale price and the related post-tax repurchase cost is recognised entirely as a contra item to Shareholders' equity. Leases Lease contracts shall be classified by the lessor in finance leases or operating leases. Finance leases effectively transfer all the risks and benefits of ownership of an asset to the lessee. The lessee acquires the economic benefit of the use of the leased asset for most of its useful life, in exchange for a commitment to pay to the lessor an amount approximately equivalent to the fair value of the asset and related finance costs. Recognition in the lessor’s accounts is as follows: • in assets, the value of the loan, less the principal of lease payments due and paid by the lessee; • in profit or loss, interest received. Operating leases do not transfer all the risks and benefits of ownership of an asset to the lessee which are therefore retained by the lessor. In case of operating leases, the lessor recognises in the income statement the leases payments on an accrual basis. The lessee recognises an asset representing the right of use of the underlying asset and, at the same time, a liability for the future payments requested by the lease contract. It should be noted that as allowed by the standard, the Group has decided not to recognise any right of use nor lease liability with reference to the following lease contracts: • leases of intangible assets; • short term leases, lower than 12 months; and • low value assets leases. For this purpose, an asset is considered as “low value” when its fair value as new is equal to or lower than €5 thousand. This category mainly comprises office equipment (PC, monitors, tablets, etc.) and fixed and mobile phones. Therefore, lease payments concerning these kind of lease assets are recognised in item “190. Administrative expenses” on an accrual basis (item “160. Administrative expenses” in the Company financial statements). With reference to contracts different from those mentioned above, the lease liability, recognised in Item “10. Financial liabilities at amortised cost”, is determined by discounting the future lease payments to be due over the lease term at the proper discount rate. Future lease payments subject to discounting are determined based on contractual provisions and net of VAT, when applicable, as the obligation to pay this tax starts when the invoice is issued by the lessor and not at the starting date of the lease contract. In addition, if the lease payments foreseen by the contracts include additional services beside the mere rental of the asset, the right of use and the associated lease liability are calculated considering also these components. To perform the mentioned calculation, lease payments have to be discounted at the interest rate implicit in the contract or, if it is not available, at the incremental borrowing rate. The key assumption followed to calculate this rate is that the lessee incurs a loan, senior secured, having the same maturity of the lease contract in order to acquire the assets underlying the contract itself. The resulting rate, where necessary, is adjusted in order to consider the specific features of the lease contract. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 202 2021 Annual Report and Accounts · UniCredit In particular, instruments having the following features are classified as equity instruments: • the instrument is perpetual or has a maturity equal to duration of the entity; • full discretion of the issuer in coupon payments and redemptions, also advanced, of the principal outstanding. Additional Tier 1 instruments are included in this category, in line with the provisions of Regulation (EU) No.575/2013 (CRR) on prudential requirements for credit institutions and investment firms, if, additionally to the characteristics described above: • maintain within the full discretion of the issuer the possibility to perform a write-up of the nominal value after the occurrence of a capital event that has determined a write-down; • do not incorporate outlook that force the issuer to provide for payments (must-pay clauses) following genuine events under the direct control of the parties. Equity instruments, different from common or saving shares, are presented in item “140. Equity instruments” (item “130. Equity instruments” in the Company financial statements) for the consideration received including transaction costs directly attributable to the instruments. Any coupon paid, net of related taxes, reduces item “150. Reserves” (item “140. Reserves” in the Company financial statements). Any difference between the amounts paid for the redemption or repurchase of these instruments and their carrying value is recognised in item “150. Reserves” (item “140. Reserves” in the Company financial statements). Treasury Shares Changes in treasury shares are reported as a direct contra item to shareholders' equity, i.e. as a reduction to the latter in the amount of any purchases, and as an increase in the amount of any sales proceeds. This entails that, if treasury shares are subsequently sold, the difference between the sale price and the related post-tax repurchase cost is recognised entirely as a contra item to Shareholders' equity. Leases Lease contracts shall be classified by the lessor in finance leases or operating leases. Finance leases effectively transfer all the risks and benefits of ownership of an asset to the lessee. The lessee acquires the economic benefit of the use of the leased asset for most of its useful life, in exchange for a commitment to pay to the lessor an amount approximately equivalent to the fair value of the asset and related finance costs. Recognition in the lessor’s accounts is as follows: • in assets, the value of the loan, less the principal of lease payments due and paid by the lessee; • in profit or loss, interest received. Operating leases do not transfer all the risks and benefits of ownership of an asset to the lessee which are therefore retained by the lessor. In case of operating leases, the lessor recognises in the income statement the leases payments on an accrual basis. The lessee recognises an asset representing the right of use of the underlying asset and, at the same time, a liability for the future payments requested by the lease contract. It should be noted that as allowed by the standard, the Group has decided not to recognise any right of use nor lease liability with reference to the following lease contracts: • leases of intangible assets; • short term leases, lower than 12 months; and • low value assets leases. For this purpose, an asset is considered as “low value” when its fair value as new is equal to or lower than €5 thousand. This category mainly comprises office equipment (PC, monitors, tablets, etc.) and fixed and mobile phones. Therefore, lease payments concerning these kind of lease assets are recognised in item “190. Administrative expenses” on an accrual basis (item “160. Administrative expenses” in the Company financial statements). With reference to contracts different from those mentioned above, the lease liability, recognised in Item “10. Financial liabilities at amortised cost”, is determined by discounting the future lease payments to be due over the lease term at the proper discount rate. Future lease payments subject to discounting are determined based on contractual provisions and net of VAT, when applicable, as the obligation to pay this tax starts when the invoice is issued by the lessor and not at the starting date of the lease contract. In addition, if the lease payments foreseen by the contracts include additional services beside the mere rental of the asset, the right of use and the associated lease liability are calculated considering also these components. To perform the mentioned calculation, lease payments have to be discounted at the interest rate implicit in the contract or, if it is not available, at the incremental borrowing rate. The key assumption followed to calculate this rate is that the lessee incurs a loan, senior secured, having the same maturity of the lease contract in order to acquire the assets underlying the contract itself. The resulting rate, where necessary, is adjusted in order to consider the specific features of the lease contract. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 202 2021 Annual Report and Accounts · UniCredit In particular, instruments having the following features are classified as equity instruments: • the instrument is perpetual or has a maturity equal to duration of the entity; • full discretion of the issuer in coupon payments and redemptions, also advanced, of the principal outstanding. Additional Tier 1 instruments are included in this category, in line with the provisions of Regulation (EU) No.575/2013 (CRR) on prudential requirements for credit institutions and investment firms, if, additionally to the characteristics described above: • maintain within the full discretion of the issuer the possibility to perform a write-up of the nominal value after the occurrence of a capital event that has determined a write-down; • do not incorporate outlook that force the issuer to provide for payments (must-pay clauses) following genuine events under the direct control of the parties. Equity instruments, different from common or saving shares, are presented in item “140. Equity instruments” (item “130. Equity instruments” in the Company financial statements) for the consideration received including transaction costs directly attributable to the instruments. Any coupon paid, net of related taxes, reduces item “150. Reserves” (item “140. Reserves” in the Company financial statements). Any difference between the amounts paid for the redemption or repurchase of these instruments and their carrying value is recognised in item “150. Reserves” (item “140. Reserves” in the Company financial statements). Treasury Shares Changes in treasury shares are reported as a direct contra item to shareholders' equity, i.e. as a reduction to the latter in the amount of any purchases, and as an increase in the amount of any sales proceeds. This entails that, if treasury shares are subsequently sold, the difference between the sale price and the related post-tax repurchase cost is recognised entirely as a contra item to Shareholders' equity. Leases Lease contracts shall be classified by the lessor in finance leases or operating leases. Finance leases effectively transfer all the risks and benefits of ownership of an asset to the lessee. The lessee acquires the economic benefit of the use of the leased asset for most of its useful life, in exchange for a commitment to pay to the lessor an amount approximately equivalent to the fair value of the asset and related finance costs. Recognition in the lessor’s accounts is as follows: • in assets, the value of the loan, less the principal of lease payments due and paid by the lessee; • in profit or loss, interest received. Operating leases do not transfer all the risks and benefits of ownership of an asset to the lessee which are therefore retained by the lessor. In case of operating leases, the lessor recognises in the income statement the leases payments on an accrual basis. The lessee recognises an asset representing the right of use of the underlying asset and, at the same time, a liability for the future payments requested by the lease contract. It should be noted that as allowed by the standard, the Group has decided not to recognise any right of use nor lease liability with reference to the following lease contracts: • leases of intangible assets; • short term leases, lower than 12 months; and • low value assets leases. For this purpose, an asset is considered as “low value” when its fair value as new is equal to or lower than €5 thousand. This category mainly comprises office equipment (PC, monitors, tablets, etc.) and fixed and mobile phones. Therefore, lease payments concerning these kind of lease assets are recognised in item “190. Administrative expenses” on an accrual basis (item “160. Administrative expenses” in the Company financial statements). With reference to contracts different from those mentioned above, the lease liability, recognised in Item “10. Financial liabilities at amortised cost”, is determined by discounting the future lease payments to be due over the lease term at the proper discount rate. Future lease payments subject to discounting are determined based on contractual provisions and net of VAT, when applicable, as the obligation to pay this tax starts when the invoice is issued by the lessor and not at the starting date of the lease contract. In addition, if the lease payments foreseen by the contracts include additional services beside the mere rental of the asset, the right of use and the associated lease liability are calculated considering also these components. To perform the mentioned calculation, lease payments have to be discounted at the interest rate implicit in the contract or, if it is not available, at the incremental borrowing rate. The key assumption followed to calculate this rate is that the lessee incurs a loan, senior secured, having the same maturity of the lease contract in order to acquire the assets underlying the contract itself. The resulting rate, where necessary, is adjusted in order to consider the specific features of the lease contract. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 203 In order to determine the lease term it is necessary to consider the non-cancellable period, established in the contract, in which the lessee is entitled to use the underlying asset taking also into account potential renewal options if the lessee is reasonably certain to renew. In particular, with reference to those contracts that allow the lessee to tacitly renew the lease contract after a first set of years, the lease term is determined taking into account factors such as the length of the first period, the existence of dismissal plans for the asset leased and any other circumstance indicating the reasonably certainty of the renewal. The right of use is initially recognised in item “90. Property, plant and equipment” (item “80. Property, plant and equipment” in the Company financial statements) on the basis of the initial recognition amount of the associated lease liability, adjusted to consider, if applicable, lease payments made at or before the commencement of the lease, initial direct costs and estimates of costs required to restore the assets to the conditions requested by the terms of the lease contract. Subsequent to the initial recognition, interests accrue on the lease liability at the interest rate implicit in the contract and are recognised in item “20. Interest expenses and similar charges”. The amount of the lease liability is reassessed in case of changes in the lease term, also arising from a change in the assessment of an option to purchase the leased asset, or in the lease payments, either coming from a change in an index or rate used to determine these payments or as a result of the amount expected to be payable under a residual value guarantees. In these cases, the carrying value of the lease liability is calculated by discounting lease payments over the lease term using the original or a revised discount rate as applicable. Changes in the amount of the lease liability resulting from the reassessment are recognised as an adjustment of the right of use. In case of modification of a lease contract, the lessee recognises an additional separate lease if the modification increases the scope of the lease adding to the right of use one or more assets and the consideration to be paid for such increase is commensurate with the stand-alone price of the increase. For other types of modifications, the lease liability is recalculated by discounting the lease payments for the revised lease term using a revised discount rate. Changes in the Lease liabilities also adjust the carrying value of the corresponding right of use with the exception of gains/losses relating to the partial or full termination of the lease that are recognised in the income statement. After the initial recognition the right of use is depreciated over the lease term and subject to impairment if applicable. Depreciation and impairment, determined using the same criteria used for tangible assets and also considering the actual usage of the leased assets, are recognised in item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). The useful life used for calculating the depreciation of leasehold improvements shall not exceed the useful life attributed to the right of use. Factoring Loans acquired in factoring transactions with recourse are recognised to the extent of the advances granted to customers on their consideration. Loans acquired without recourse are recognised as such once it has been established that there are no contractual clauses that would invalidate the transfer of all risks and benefits to the factor. Share-based payments Equity-settled payments made to employees or other staff in consideration of goods received or services rendered, using equity instruments comprise: • stock options; • performance shares (i.e., awarded on attainment of certain objectives); • restricted shares (i.e., subject to a lock-up period). Considering the difficulty of reliably measuring the fair value of the services rendered against equity-settled payments, reference is made to the fair value of the instruments themselves, measured at the date of the allocation. This fair value is recognised as cost in profit and loss item “190. Administrative expenses: a) staff costs” offsetting the Shareholders’ equity item “150. Reserves” (item “160. Administrative expenses: a) staff costs” and “140. Reserves” in the Company financial statements), on an accrual basis over the period in which the services are rendered. The fair value of a cash-settled share-based payment, the services acquired and the liability incurred are measured at the fair value of the liability, recognised in item “80. Other liabilities”. The fair value of the liability, as long as it remains unsettled, is remeasured at each balance sheet date and all changes in fair value are recognised in profit and loss item “190. Administrative expenses: a) staff costs” (item “160. Administrative expenses: a) staff costs” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 203 In order to determine the lease term it is necessary to consider the non-cancellable period, established in the contract, in which the lessee is entitled to use the underlying asset taking also into account potential renewal options if the lessee is reasonably certain to renew. In particular, with reference to those contracts that allow the lessee to tacitly renew the lease contract after a first set of years, the lease term is determined taking into account factors such as the length of the first period, the existence of dismissal plans for the asset leased and any other circumstance indicating the reasonably certainty of the renewal. The right of use is initially recognised in item “90. Property, plant and equipment” (item “80. Property, plant and equipment” in the Company financial statements) on the basis of the initial recognition amount of the associated lease liability, adjusted to consider, if applicable, lease payments made at or before the commencement of the lease, initial direct costs and estimates of costs required to restore the assets to the conditions requested by the terms of the lease contract. Subsequent to the initial recognition, interests accrue on the lease liability at the interest rate implicit in the contract and are recognised in item “20. Interest expenses and similar charges”. The amount of the lease liability is reassessed in case of changes in the lease term, also arising from a change in the assessment of an option to purchase the leased asset, or in the lease payments, either coming from a change in an index or rate used to determine these payments or as a result of the amount expected to be payable under a residual value guarantees. In these cases, the carrying value of the lease liability is calculated by discounting lease payments over the lease term using the original or a revised discount rate as applicable. Changes in the amount of the lease liability resulting from the reassessment are recognised as an adjustment of the right of use. In case of modification of a lease contract, the lessee recognises an additional separate lease if the modification increases the scope of the lease adding to the right of use one or more assets and the consideration to be paid for such increase is commensurate with the stand-alone price of the increase. For other types of modifications, the lease liability is recalculated by discounting the lease payments for the revised lease term using a revised discount rate. Changes in the Lease liabilities also adjust the carrying value of the corresponding right of use with the exception of gains/losses relating to the partial or full termination of the lease that are recognised in the income statement. After the initial recognition the right of use is depreciated over the lease term and subject to impairment if applicable. Depreciation and impairment, determined using the same criteria used for tangible assets and also considering the actual usage of the leased assets, are recognised in item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). The useful life used for calculating the depreciation of leasehold improvements shall not exceed the useful life attributed to the right of use. Factoring Loans acquired in factoring transactions with recourse are recognised to the extent of the advances granted to customers on their consideration. Loans acquired without recourse are recognised as such once it has been established that there are no contractual clauses that would invalidate the transfer of all risks and benefits to the factor. Share-based payments Equity-settled payments made to employees or other staff in consideration of goods received or services rendered, using equity instruments comprise: • stock options; • performance shares (i.e., awarded on attainment of certain objectives); • restricted shares (i.e., subject to a lock-up period). Considering the difficulty of reliably measuring the fair value of the services rendered against equity-settled payments, reference is made to the fair value of the instruments themselves, measured at the date of the allocation. This fair value is recognised as cost in profit and loss item “190. Administrative expenses: a) staff costs” offsetting the Shareholders’ equity item “150. Reserves” (item “160. Administrative expenses: a) staff costs” and “140. Reserves” in the Company financial statements), on an accrual basis over the period in which the services are rendered. The fair value of a cash-settled share-based payment, the services acquired and the liability incurred are measured at the fair value of the liability, recognised in item “80. Other liabilities”. The fair value of the liability, as long as it remains unsettled, is remeasured at each balance sheet date and all changes in fair value are recognised in profit and loss item “190. Administrative expenses: a) staff costs” (item “160. Administrative expenses: a) staff costs” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 203 In order to determine the lease term it is necessary to consider the non-cancellable period, established in the contract, in which the lessee is entitled to use the underlying asset taking also into account potential renewal options if the lessee is reasonably certain to renew. In particular, with reference to those contracts that allow the lessee to tacitly renew the lease contract after a first set of years, the lease term is determined taking into account factors such as the length of the first period, the existence of dismissal plans for the asset leased and any other circumstance indicating the reasonably certainty of the renewal. The right of use is initially recognised in item “90. Property, plant and equipment” (item “80. Property, plant and equipment” in the Company financial statements) on the basis of the initial recognition amount of the associated lease liability, adjusted to consider, if applicable, lease payments made at or before the commencement of the lease, initial direct costs and estimates of costs required to restore the assets to the conditions requested by the terms of the lease contract. Subsequent to the initial recognition, interests accrue on the lease liability at the interest rate implicit in the contract and are recognised in item “20. Interest expenses and similar charges”. The amount of the lease liability is reassessed in case of changes in the lease term, also arising from a change in the assessment of an option to purchase the leased asset, or in the lease payments, either coming from a change in an index or rate used to determine these payments or as a result of the amount expected to be payable under a residual value guarantees. In these cases, the carrying value of the lease liability is calculated by discounting lease payments over the lease term using the original or a revised discount rate as applicable. Changes in the amount of the lease liability resulting from the reassessment are recognised as an adjustment of the right of use. In case of modification of a lease contract, the lessee recognises an additional separate lease if the modification increases the scope of the lease adding to the right of use one or more assets and the consideration to be paid for such increase is commensurate with the stand-alone price of the increase. For other types of modifications, the lease liability is recalculated by discounting the lease payments for the revised lease term using a revised discount rate. Changes in the Lease liabilities also adjust the carrying value of the corresponding right of use with the exception of gains/losses relating to the partial or full termination of the lease that are recognised in the income statement. After the initial recognition the right of use is depreciated over the lease term and subject to impairment if applicable. Depreciation and impairment, determined using the same criteria used for tangible assets and also considering the actual usage of the leased assets, are recognised in item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). The useful life used for calculating the depreciation of leasehold improvements shall not exceed the useful life attributed to the right of use. Factoring Loans acquired in factoring transactions with recourse are recognised to the extent of the advances granted to customers on their consideration. Loans acquired without recourse are recognised as such once it has been established that there are no contractual clauses that would invalidate the transfer of all risks and benefits to the factor. Share-based payments Equity-settled payments made to employees or other staff in consideration of goods received or services rendered, using equity instruments comprise: • stock options; • performance shares (i.e., awarded on attainment of certain objectives); • restricted shares (i.e., subject to a lock-up period). Considering the difficulty of reliably measuring the fair value of the services rendered against equity-settled payments, reference is made to the fair value of the instruments themselves, measured at the date of the allocation. This fair value is recognised as cost in profit and loss item “190. Administrative expenses: a) staff costs” offsetting the Shareholders’ equity item “150. Reserves” (item “160. Administrative expenses: a) staff costs” and “140. Reserves” in the Company financial statements), on an accrual basis over the period in which the services are rendered. The fair value of a cash-settled share-based payment, the services acquired and the liability incurred are measured at the fair value of the liability, recognised in item “80. Other liabilities”. The fair value of the liability, as long as it remains unsettled, is remeasured at each balance sheet date and all changes in fair value are recognised in profit and loss item “190. Administrative expenses: a) staff costs” (item “160. Administrative expenses: a) staff costs” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 203 In order to determine the lease term it is necessary to consider the non-cancellable period, established in the contract, in which the lessee is entitled to use the underlying asset taking also into account potential renewal options if the lessee is reasonably certain to renew. In particular, with reference to those contracts that allow the lessee to tacitly renew the lease contract after a first set of years, the lease term is determined taking into account factors such as the length of the first period, the existence of dismissal plans for the asset leased and any other circumstance indicating the reasonably certainty of the renewal. The right of use is initially recognised in item “90. Property, plant and equipment” (item “80. Property, plant and equipment” in the Company financial statements) on the basis of the initial recognition amount of the associated lease liability, adjusted to consider, if applicable, lease payments made at or before the commencement of the lease, initial direct costs and estimates of costs required to restore the assets to the conditions requested by the terms of the lease contract. Subsequent to the initial recognition, interests accrue on the lease liability at the interest rate implicit in the contract and are recognised in item “20. Interest expenses and similar charges”. The amount of the lease liability is reassessed in case of changes in the lease term, also arising from a change in the assessment of an option to purchase the leased asset, or in the lease payments, either coming from a change in an index or rate used to determine these payments or as a result of the amount expected to be payable under a residual value guarantees. In these cases, the carrying value of the lease liability is calculated by discounting lease payments over the lease term using the original or a revised discount rate as applicable. Changes in the amount of the lease liability resulting from the reassessment are recognised as an adjustment of the right of use. In case of modification of a lease contract, the lessee recognises an additional separate lease if the modification increases the scope of the lease adding to the right of use one or more assets and the consideration to be paid for such increase is commensurate with the stand-alone price of the increase. For other types of modifications, the lease liability is recalculated by discounting the lease payments for the revised lease term using a revised discount rate. Changes in the Lease liabilities also adjust the carrying value of the corresponding right of use with the exception of gains/losses relating to the partial or full termination of the lease that are recognised in the income statement. After the initial recognition the right of use is depreciated over the lease term and subject to impairment if applicable. Depreciation and impairment, determined using the same criteria used for tangible assets and also considering the actual usage of the leased assets, are recognised in item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). The useful life used for calculating the depreciation of leasehold improvements shall not exceed the useful life attributed to the right of use. Factoring Loans acquired in factoring transactions with recourse are recognised to the extent of the advances granted to customers on their consideration. Loans acquired without recourse are recognised as such once it has been established that there are no contractual clauses that would invalidate the transfer of all risks and benefits to the factor. Share-based payments Equity-settled payments made to employees or other staff in consideration of goods received or services rendered, using equity instruments comprise: • stock options; • performance shares (i.e., awarded on attainment of certain objectives); • restricted shares (i.e., subject to a lock-up period). Considering the difficulty of reliably measuring the fair value of the services rendered against equity-settled payments, reference is made to the fair value of the instruments themselves, measured at the date of the allocation. This fair value is recognised as cost in profit and loss item “190. Administrative expenses: a) staff costs” offsetting the Shareholders’ equity item “150. Reserves” (item “160. Administrative expenses: a) staff costs” and “140. Reserves” in the Company financial statements), on an accrual basis over the period in which the services are rendered. The fair value of a cash-settled share-based payment, the services acquired and the liability incurred are measured at the fair value of the liability, recognised in item “80. Other liabilities”. The fair value of the liability, as long as it remains unsettled, is remeasured at each balance sheet date and all changes in fair value are recognised in profit and loss item “190. Administrative expenses: a) staff costs” (item “160. Administrative expenses: a) staff costs” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 203 In order to determine the lease term it is necessary to consider the non-cancellable period, established in the contract, in which the lessee is entitled to use the underlying asset taking also into account potential renewal options if the lessee is reasonably certain to renew. In particular, with reference to those contracts that allow the lessee to tacitly renew the lease contract after a first set of years, the lease term is determined taking into account factors such as the length of the first period, the existence of dismissal plans for the asset leased and any other circumstance indicating the reasonably certainty of the renewal. The right of use is initially recognised in item “90. Property, plant and equipment” (item “80. Property, plant and equipment” in the Company financial statements) on the basis of the initial recognition amount of the associated lease liability, adjusted to consider, if applicable, lease payments made at or before the commencement of the lease, initial direct costs and estimates of costs required to restore the assets to the conditions requested by the terms of the lease contract. Subsequent to the initial recognition, interests accrue on the lease liability at the interest rate implicit in the contract and are recognised in item “20. Interest expenses and similar charges”. The amount of the lease liability is reassessed in case of changes in the lease term, also arising from a change in the assessment of an option to purchase the leased asset, or in the lease payments, either coming from a change in an index or rate used to determine these payments or as a result of the amount expected to be payable under a residual value guarantees. In these cases, the carrying value of the lease liability is calculated by discounting lease payments over the lease term using the original or a revised discount rate as applicable. Changes in the amount of the lease liability resulting from the reassessment are recognised as an adjustment of the right of use. In case of modification of a lease contract, the lessee recognises an additional separate lease if the modification increases the scope of the lease adding to the right of use one or more assets and the consideration to be paid for such increase is commensurate with the stand-alone price of the increase. For other types of modifications, the lease liability is recalculated by discounting the lease payments for the revised lease term using a revised discount rate. Changes in the Lease liabilities also adjust the carrying value of the corresponding right of use with the exception of gains/losses relating to the partial or full termination of the lease that are recognised in the income statement. After the initial recognition the right of use is depreciated over the lease term and subject to impairment if applicable. Depreciation and impairment, determined using the same criteria used for tangible assets and also considering the actual usage of the leased assets, are recognised in item “210. Net value adjustments/write-backs on property, plant and equipment” (item “180. Net value adjustments/write-backs on property, plant and equipment” in the Company financial statements). The useful life used for calculating the depreciation of leasehold improvements shall not exceed the useful life attributed to the right of use. Factoring Loans acquired in factoring transactions with recourse are recognised to the extent of the advances granted to customers on their consideration. Loans acquired without recourse are recognised as such once it has been established that there are no contractual clauses that would invalidate the transfer of all risks and benefits to the factor. Share-based payments Equity-settled payments made to employees or other staff in consideration of goods received or services rendered, using equity instruments comprise: • stock options; • performance shares (i.e., awarded on attainment of certain objectives); • restricted shares (i.e., subject to a lock-up period). Considering the difficulty of reliably measuring the fair value of the services rendered against equity-settled payments, reference is made to the fair value of the instruments themselves, measured at the date of the allocation. This fair value is recognised as cost in profit and loss item “190. Administrative expenses: a) staff costs” offsetting the Shareholders’ equity item “150. Reserves” (item “160. Administrative expenses: a) staff costs” and “140. Reserves” in the Company financial statements), on an accrual basis over the period in which the services are rendered. The fair value of a cash-settled share-based payment, the services acquired and the liability incurred are measured at the fair value of the liability, recognised in item “80. Other liabilities”. The fair value of the liability, as long as it remains unsettled, is remeasured at each balance sheet date and all changes in fair value are recognised in profit and loss item “190. Administrative expenses: a) staff costs” (item “160. Administrative expenses: a) staff costs” in the Company financial statements). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 204 2021 Annual Report and Accounts · UniCredit Other long-term employee benefits Long-term employee benefits (e.g., long-service bonuses, paid on reaching a predefined number of years’ service) are recognised in item “80. Other liabilities” on the basis of the measurement of the liability at the balance sheet date, also in this case determined by an external actuary using the unit credit projection method (see previous paragraph 10 - Provisions for risks and charges). Actuarial gains (losses) on this type of benefit are recognised immediately in the income statement. Guarantees and credit derivatives in the same class Guarantees and credit derivatives in the same class measured under IFRS9 (i.e., contracts under which the issuer make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument) are initially and subsequently (on remeasurement following impairment losses) recognised in item “100. Provisions for risks and charges: a) commitments and guarantees given”. On initial recognition guarantees given are recognised at fair value, which usually corresponds to the amount received when the guarantee is issued. After the initial recognition, guarantees given are recognised at the higher of the initially recognised value, net of any amortised portion, and the estimated amount required to meet the obligation. The effects of valuation, relating to any impairment of the underlying, are recognised in the same balance-sheet item contra item “200. Net provisions for risks and charges: a) commitments and financial guarantees given” in the income statement (item “170 Net provisions for risks and charges: a) commitments and financial guarantees given” in the Company financial statements). Offsetting financial assets and liabilities The accounting offsetting of assets and liabilities items has been performed according to IAS32, assessing the fulfillment of the following requirements: • current legally enforceable right to set off the recognised amounts; • intention either to settle on a net basis, or to realise the asset and settle the liability simultaneously. In accordance with IFRS7, further information has been included in the table of Notes to the consolidated accounts, in Part B - Other information. In these tables, in particular the following information have to be reported: • balance-sheet values, before and after the accounting offsetting effects, relating to the assets and liabilities which meet the criteria for applying those effects; • values of the exposures which do not meet the above-mentioned criteria, but are included in Master Netting Agreements, or similar agreements, which create the right to set-off only following specified circumstances (e.g. default events); • amounts of related collaterals. Amortised cost The amortised cost of a financial asset or financial liability is the amount at which the financial asset or financial liability is measured at the initial recognition minus principal repayments, plus or minus the cumulative amortisation using the effective interest method of any difference between that initial amount and the maturity amount, and minus any reduction (directly or through the use of an allowance account) for impairment or uncollectability. The effective interest method is a method of allocating the interest income or interest expense over the life of a financial asset or liability. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial instrument to the net carrying amount of the financial asset or financial liability. The calculation includes all fees and basis points paid or received between parties to the contract that are an integral part of the effective interest rate, transaction costs, and all other premiums or discounts. Commissions forming an integral part of the effective interest rate include loan drawdown fees or underwriting fees relating to a financial asset not designated at fair value, e.g., fees received as compensation for the assessment of the issuer’s or borrower’s financial situation, for valuation and registration of security, and generally for the completion of the transaction. Transaction costs include fees and commissions paid to agents (including employees acting as selling agents), advisers, brokers and dealers, levies by regulatory agencies and securities exchanges, and transfer taxes and duties. Transaction costs do not include financing costs or internal administrative or holding costs. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 204 2021 Annual Report and Accounts · UniCredit Other long-term employee benefits Long-term employee benefits (e.g., long-service bonuses, paid on reaching a predefined number of years’ service) are recognised in item “80. Other liabilities” on the basis of the measurement of the liability at the balance sheet date, also in this case determined by an external actuary using the unit credit projection method (see previous paragraph 10 - Provisions for risks and charges). Actuarial gains (losses) on this type of benefit are recognised immediately in the income statement. Guarantees and credit derivatives in the same class Guarantees and credit derivatives in the same class measured under IFRS9 (i.e., contracts under which the issuer make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument) are initially and subsequently (on remeasurement following impairment losses) recognised in item “100. Provisions for risks and charges: a) commitments and guarantees given”. On initial recognition guarantees given are recognised at fair value, which usually corresponds to the amount received when the guarantee is issued. After the initial recognition, guarantees given are recognised at the higher of the initially recognised value, net of any amortised portion, and the estimated amount required to meet the obligation. The effects of valuation, relating to any impairment of the underlying, are recognised in the same balance-sheet item contra item “200. Net provisions for risks and charges: a) commitments and financial guarantees given” in the income statement (item “170 Net provisions for risks and charges: a) commitments and financial guarantees given” in the Company financial statements). Offsetting financial assets and liabilities The accounting offsetting of assets and liabilities items has been performed according to IAS32, assessing the fulfillment of the following requirements: • current legally enforceable right to set off the recognised amounts; • intention either to settle on a net basis, or to realise the asset and settle the liability simultaneously. In accordance with IFRS7, further information has been included in the table of Notes to the consolidated accounts, in Part B - Other information. In these tables, in particular the following information have to be reported: • balance-sheet values, before and after the accounting offsetting effects, relating to the assets and liabilities which meet the criteria for applying those effects; • values of the exposures which do not meet the above-mentioned criteria, but are included in Master Netting Agreements, or similar agreements, which create the right to set-off only following specified circumstances (e.g. default events); • amounts of related collaterals. Amortised cost The amortised cost of a financial asset or financial liability is the amount at which the financial asset or financial liability is measured at the initial recognition minus principal repayments, plus or minus the cumulative amortisation using the effective interest method of any difference between that initial amount and the maturity amount, and minus any reduction (directly or through the use of an allowance account) for impairment or uncollectability. The effective interest method is a method of allocating the interest income or interest expense over the life of a financial asset or liability. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial instrument to the net carrying amount of the financial asset or financial liability. The calculation includes all fees and basis points paid or received between parties to the contract that are an integral part of the effective interest rate, transaction costs, and all other premiums or discounts. Commissions forming an integral part of the effective interest rate include loan drawdown fees or underwriting fees relating to a financial asset not designated at fair value, e.g., fees received as compensation for the assessment of the issuer’s or borrower’s financial situation, for valuation and registration of security, and generally for the completion of the transaction. Transaction costs include fees and commissions paid to agents (including employees acting as selling agents), advisers, brokers and dealers, levies by regulatory agencies and securities exchanges, and transfer taxes and duties. Transaction costs do not include financing costs or internal administrative or holding costs. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 204 2021 Annual Report and Accounts · UniCredit Other long-term employee benefits Long-term employee benefits (e.g., long-service bonuses, paid on reaching a predefined number of years’ service) are recognised in item “80. Other liabilities” on the basis of the measurement of the liability at the balance sheet date, also in this case determined by an external actuary using the unit credit projection method (see previous paragraph 10 - Provisions for risks and charges). Actuarial gains (losses) on this type of benefit are recognised immediately in the income statement. Guarantees and credit derivatives in the same class Guarantees and credit derivatives in the same class measured under IFRS9 (i.e., contracts under which the issuer make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument) are initially and subsequently (on remeasurement following impairment losses) recognised in item “100. Provisions for risks and charges: a) commitments and guarantees given”. On initial recognition guarantees given are recognised at fair value, which usually corresponds to the amount received when the guarantee is issued. After the initial recognition, guarantees given are recognised at the higher of the initially recognised value, net of any amortised portion, and the estimated amount required to meet the obligation. The effects of valuation, relating to any impairment of the underlying, are recognised in the same balance-sheet item contra item “200. Net provisions for risks and charges: a) commitments and financial guarantees given” in the income statement (item “170 Net provisions for risks and charges: a) commitments and financial guarantees given” in the Company financial statements). Offsetting financial assets and liabilities The accounting offsetting of assets and liabilities items has been performed according to IAS32, assessing the fulfillment of the following requirements: • current legally enforceable right to set off the recognised amounts; • intention either to settle on a net basis, or to realise the asset and settle the liability simultaneously. In accordance with IFRS7, further information has been included in the table of Notes to the consolidated accounts, in Part B - Other information. In these tables, in particular the following information have to be reported: • balance-sheet values, before and after the accounting offsetting effects, relating to the assets and liabilities which meet the criteria for applying those effects; • values of the exposures which do not meet the above-mentioned criteria, but are included in Master Netting Agreements, or similar agreements, which create the right to set-off only following specified circumstances (e.g. default events); • amounts of related collaterals. Amortised cost The amortised cost of a financial asset or financial liability is the amount at which the financial asset or financial liability is measured at the initial recognition minus principal repayments, plus or minus the cumulative amortisation using the effective interest method of any difference between that initial amount and the maturity amount, and minus any reduction (directly or through the use of an allowance account) for impairment or uncollectability. The effective interest method is a method of allocating the interest income or interest expense over the life of a financial asset or liability. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial instrument to the net carrying amount of the financial asset or financial liability. The calculation includes all fees and basis points paid or received between parties to the contract that are an integral part of the effective interest rate, transaction costs, and all other premiums or discounts. Commissions forming an integral part of the effective interest rate include loan drawdown fees or underwriting fees relating to a financial asset not designated at fair value, e.g., fees received as compensation for the assessment of the issuer’s or borrower’s financial situation, for valuation and registration of security, and generally for the completion of the transaction. Transaction costs include fees and commissions paid to agents (including employees acting as selling agents), advisers, brokers and dealers, levies by regulatory agencies and securities exchanges, and transfer taxes and duties. Transaction costs do not include financing costs or internal administrative or holding costs. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 204 2021 Annual Report and Accounts · UniCredit Other long-term employee benefits Long-term employee benefits (e.g., long-service bonuses, paid on reaching a predefined number of years’ service) are recognised in item “80. Other liabilities” on the basis of the measurement of the liability at the balance sheet date, also in this case determined by an external actuary using the unit credit projection method (see previous paragraph 10 - Provisions for risks and charges). Actuarial gains (losses) on this type of benefit are recognised immediately in the income statement. Guarantees and credit derivatives in the same class Guarantees and credit derivatives in the same class measured under IFRS9 (i.e., contracts under which the issuer make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument) are initially and subsequently (on remeasurement following impairment losses) recognised in item “100. Provisions for risks and charges: a) commitments and guarantees given”. On initial recognition guarantees given are recognised at fair value, which usually corresponds to the amount received when the guarantee is issued. After the initial recognition, guarantees given are recognised at the higher of the initially recognised value, net of any amortised portion, and the estimated amount required to meet the obligation. The effects of valuation, relating to any impairment of the underlying, are recognised in the same balance-sheet item contra item “200. Net provisions for risks and charges: a) commitments and financial guarantees given” in the income statement (item “170 Net provisions for risks and charges: a) commitments and financial guarantees given” in the Company financial statements). Offsetting financial assets and liabilities The accounting offsetting of assets and liabilities items has been performed according to IAS32, assessing the fulfillment of the following requirements: • current legally enforceable right to set off the recognised amounts; • intention either to settle on a net basis, or to realise the asset and settle the liability simultaneously. In accordance with IFRS7, further information has been included in the table of Notes to the consolidated accounts, in Part B - Other information. In these tables, in particular the following information have to be reported: • balance-sheet values, before and after the accounting offsetting effects, relating to the assets and liabilities which meet the criteria for applying those effects; • values of the exposures which do not meet the above-mentioned criteria, but are included in Master Netting Agreements, or similar agreements, which create the right to set-off only following specified circumstances (e.g. default events); • amounts of related collaterals. Amortised cost The amortised cost of a financial asset or financial liability is the amount at which the financial asset or financial liability is measured at the initial recognition minus principal repayments, plus or minus the cumulative amortisation using the effective interest method of any difference between that initial amount and the maturity amount, and minus any reduction (directly or through the use of an allowance account) for impairment or uncollectability. The effective interest method is a method of allocating the interest income or interest expense over the life of a financial asset or liability. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial instrument to the net carrying amount of the financial asset or financial liability. The calculation includes all fees and basis points paid or received between parties to the contract that are an integral part of the effective interest rate, transaction costs, and all other premiums or discounts. Commissions forming an integral part of the effective interest rate include loan drawdown fees or underwriting fees relating to a financial asset not designated at fair value, e.g., fees received as compensation for the assessment of the issuer’s or borrower’s financial situation, for valuation and registration of security, and generally for the completion of the transaction. Transaction costs include fees and commissions paid to agents (including employees acting as selling agents), advisers, brokers and dealers, levies by regulatory agencies and securities exchanges, and transfer taxes and duties. Transaction costs do not include financing costs or internal administrative or holding costs. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 204 2021 Annual Report and Accounts · UniCredit Other long-term employee benefits Long-term employee benefits (e.g., long-service bonuses, paid on reaching a predefined number of years’ service) are recognised in item “80. Other liabilities” on the basis of the measurement of the liability at the balance sheet date, also in this case determined by an external actuary using the unit credit projection method (see previous paragraph 10 - Provisions for risks and charges). Actuarial gains (losses) on this type of benefit are recognised immediately in the income statement. Guarantees and credit derivatives in the same class Guarantees and credit derivatives in the same class measured under IFRS9 (i.e., contracts under which the issuer make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument) are initially and subsequently (on remeasurement following impairment losses) recognised in item “100. Provisions for risks and charges: a) commitments and guarantees given”. On initial recognition guarantees given are recognised at fair value, which usually corresponds to the amount received when the guarantee is issued. After the initial recognition, guarantees given are recognised at the higher of the initially recognised value, net of any amortised portion, and the estimated amount required to meet the obligation. The effects of valuation, relating to any impairment of the underlying, are recognised in the same balance-sheet item contra item “200. Net provisions for risks and charges: a) commitments and financial guarantees given” in the income statement (item “170 Net provisions for risks and charges: a) commitments and financial guarantees given” in the Company financial statements). Offsetting financial assets and liabilities The accounting offsetting of assets and liabilities items has been performed according to IAS32, assessing the fulfillment of the following requirements: • current legally enforceable right to set off the recognised amounts; • intention either to settle on a net basis, or to realise the asset and settle the liability simultaneously. In accordance with IFRS7, further information has been included in the table of Notes to the consolidated accounts, in Part B - Other information. In these tables, in particular the following information have to be reported: • balance-sheet values, before and after the accounting offsetting effects, relating to the assets and liabilities which meet the criteria for applying those effects; • values of the exposures which do not meet the above-mentioned criteria, but are included in Master Netting Agreements, or similar agreements, which create the right to set-off only following specified circumstances (e.g. default events); • amounts of related collaterals. Amortised cost The amortised cost of a financial asset or financial liability is the amount at which the financial asset or financial liability is measured at the initial recognition minus principal repayments, plus or minus the cumulative amortisation using the effective interest method of any difference between that initial amount and the maturity amount, and minus any reduction (directly or through the use of an allowance account) for impairment or uncollectability. The effective interest method is a method of allocating the interest income or interest expense over the life of a financial asset or liability. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial instrument to the net carrying amount of the financial asset or financial liability. The calculation includes all fees and basis points paid or received between parties to the contract that are an integral part of the effective interest rate, transaction costs, and all other premiums or discounts. Commissions forming an integral part of the effective interest rate include loan drawdown fees or underwriting fees relating to a financial asset not designated at fair value, e.g., fees received as compensation for the assessment of the issuer’s or borrower’s financial situation, for valuation and registration of security, and generally for the completion of the transaction. Transaction costs include fees and commissions paid to agents (including employees acting as selling agents), advisers, brokers and dealers, levies by regulatory agencies and securities exchanges, and transfer taxes and duties. Transaction costs do not include financing costs or internal administrative or holding costs. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 205 Recognition of income and expenses Interest income and expenses Interest income and expenses and similar income and expense items relate to monetary items, i.e., liquidity and debt financial instruments (i) held for trading, (ii) designated at fair value (iii) mandatorily at fair value (iv) at fair value through other comprehensive income (v) at amortised cost and financial liabilities at amortised cost. Interest income and expense are recognised through profit or loss with respect to all instruments measured at amortised cost, using the effective interest method. Interest also includes the net credit or debit balance of differentials and margins on financial derivatives: • hedging interest-bearing assets and liabilities; • HfT but linked for business purposes to assets and liabilities designated as measured at fair value (fair value option); • linked for business purposes to HfT assets and liabilities paying differentials or margins on different maturities. Fees and commissions income and other operating income Fees and commissions income and other operating income are accounted for in income statement as the entity satisfies the performance obligation embedded in the contract, according to “IFRS15 Revenue from Contracts with Customers” rules. In particular: • if the performance obligation is satisfied at a specific moment (“point in time”), the related revenue is recognised in income statement when the service is provided; • if the performance obligation is satisfied over-time, the related revenue is recognised in income statement in order to reflect the progress of satisfaction of such obligation. Due to the above mentioned rules, transaction fees coming from trading in securities are typically booked in the moment when the service is provided while fees related to portfolios management, consulting or fund management are normally recognised during the term of the contract (input method). For this second type of fees, in fact, it is deemed that the input which are necessary to provide the service incorporated in the performance obligation are evenly distributed during the term of the contract. If the timing of cash-in is not aligned to the way the performance obligation is satisfied, the Group accounts for a contract asset or a contract liability for the portion of revenue accrued in the period or to defer in the following periods. The amount of revenues linked to fees and commissions income and other operating income is measured based on contractual provisions. If the amount contractually foreseen is subject, totally or partially, to variability, a revenue has to be booked based on the most probable amount that the Group expects to receive. Such amount is determined on the basis of all facts and circumstances considered relevant for the evaluation, that depend on the type of service provided and, in particular, on the presumption that it is not highly probable that the revenue recognised will not be significantly reversed. Note, nevertheless, that for the services provided by the Group such a variability is not usually foreseen. Finally, if a contract regards different goods/services whose performance obligations are not satisfied at the same time, the revenue is allocated among the different obligation proportionally to the stand-alone price of the single item delivered. These amounts will therefore be accounted for in income statement on the basis of the timing of satisfaction of each obligation. This circumstance, which is not significant, might happen in case of customer loyalty programs that require to provide goods or services for free, or by cashing-in a price not at market condition, if the client reaches a specific volume of fees, or in case of programs to acquire new customers that assign a bonus to the target (in the form of a product or a service) when it becomes a new client. Dividends Dividends are recognised as revenue in profit and loss in the financial year in which their distribution has been approved. A.3 - Information on transfers between portfolios of financial assets There were no transfers between portfolios of financial assets in 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 205 Recognition of income and expenses Interest income and expenses Interest income and expenses and similar income and expense items relate to monetary items, i.e., liquidity and debt financial instruments (i) held for trading, (ii) designated at fair value (iii) mandatorily at fair value (iv) at fair value through other comprehensive income (v) at amortised cost and financial liabilities at amortised cost. Interest income and expense are recognised through profit or loss with respect to all instruments measured at amortised cost, using the effective interest method. Interest also includes the net credit or debit balance of differentials and margins on financial derivatives: • hedging interest-bearing assets and liabilities; • HfT but linked for business purposes to assets and liabilities designated as measured at fair value (fair value option); • linked for business purposes to HfT assets and liabilities paying differentials or margins on different maturities. Fees and commissions income and other operating income Fees and commissions income and other operating income are accounted for in income statement as the entity satisfies the performance obligation embedded in the contract, according to “IFRS15 Revenue from Contracts with Customers” rules. In particular: • if the performance obligation is satisfied at a specific moment (“point in time”), the related revenue is recognised in income statement when the service is provided; • if the performance obligation is satisfied over-time, the related revenue is recognised in income statement in order to reflect the progress of satisfaction of such obligation. Due to the above mentioned rules, transaction fees coming from trading in securities are typically booked in the moment when the service is provided while fees related to portfolios management, consulting or fund management are normally recognised during the term of the contract (input method). For this second type of fees, in fact, it is deemed that the input which are necessary to provide the service incorporated in the performance obligation are evenly distributed during the term of the contract. If the timing of cash-in is not aligned to the way the performance obligation is satisfied, the Group accounts for a contract asset or a contract liability for the portion of revenue accrued in the period or to defer in the following periods. The amount of revenues linked to fees and commissions income and other operating income is measured based on contractual provisions. If the amount contractually foreseen is subject, totally or partially, to variability, a revenue has to be booked based on the most probable amount that the Group expects to receive. Such amount is determined on the basis of all facts and circumstances considered relevant for the evaluation, that depend on the type of service provided and, in particular, on the presumption that it is not highly probable that the revenue recognised will not be significantly reversed. Note, nevertheless, that for the services provided by the Group such a variability is not usually foreseen. Finally, if a contract regards different goods/services whose performance obligations are not satisfied at the same time, the revenue is allocated among the different obligation proportionally to the stand-alone price of the single item delivered. These amounts will therefore be accounted for in income statement on the basis of the timing of satisfaction of each obligation. This circumstance, which is not significant, might happen in case of customer loyalty programs that require to provide goods or services for free, or by cashing-in a price not at market condition, if the client reaches a specific volume of fees, or in case of programs to acquire new customers that assign a bonus to the target (in the form of a product or a service) when it becomes a new client. Dividends Dividends are recognised as revenue in profit and loss in the financial year in which their distribution has been approved. A.3 - Information on transfers between portfolios of financial assets There were no transfers between portfolios of financial assets in 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 205 Recognition of income and expenses Interest income and expenses Interest income and expenses and similar income and expense items relate to monetary items, i.e., liquidity and debt financial instruments (i) held for trading, (ii) designated at fair value (iii) mandatorily at fair value (iv) at fair value through other comprehensive income (v) at amortised cost and financial liabilities at amortised cost. Interest income and expense are recognised through profit or loss with respect to all instruments measured at amortised cost, using the effective interest method. Interest also includes the net credit or debit balance of differentials and margins on financial derivatives: • hedging interest-bearing assets and liabilities; • HfT but linked for business purposes to assets and liabilities designated as measured at fair value (fair value option); • linked for business purposes to HfT assets and liabilities paying differentials or margins on different maturities. Fees and commissions income and other operating income Fees and commissions income and other operating income are accounted for in income statement as the entity satisfies the performance obligation embedded in the contract, according to “IFRS15 Revenue from Contracts with Customers” rules. In particular: • if the performance obligation is satisfied at a specific moment (“point in time”), the related revenue is recognised in income statement when the service is provided; • if the performance obligation is satisfied over-time, the related revenue is recognised in income statement in order to reflect the progress of satisfaction of such obligation. Due to the above mentioned rules, transaction fees coming from trading in securities are typically booked in the moment when the service is provided while fees related to portfolios management, consulting or fund management are normally recognised during the term of the contract (input method). For this second type of fees, in fact, it is deemed that the input which are necessary to provide the service incorporated in the performance obligation are evenly distributed during the term of the contract. If the timing of cash-in is not aligned to the way the performance obligation is satisfied, the Group accounts for a contract asset or a contract liability for the portion of revenue accrued in the period or to defer in the following periods. The amount of revenues linked to fees and commissions income and other operating income is measured based on contractual provisions. If the amount contractually foreseen is subject, totally or partially, to variability, a revenue has to be booked based on the most probable amount that the Group expects to receive. Such amount is determined on the basis of all facts and circumstances considered relevant for the evaluation, that depend on the type of service provided and, in particular, on the presumption that it is not highly probable that the revenue recognised will not be significantly reversed. Note, nevertheless, that for the services provided by the Group such a variability is not usually foreseen. Finally, if a contract regards different goods/services whose performance obligations are not satisfied at the same time, the revenue is allocated among the different obligation proportionally to the stand-alone price of the single item delivered. These amounts will therefore be accounted for in income statement on the basis of the timing of satisfaction of each obligation. This circumstance, which is not significant, might happen in case of customer loyalty programs that require to provide goods or services for free, or by cashing-in a price not at market condition, if the client reaches a specific volume of fees, or in case of programs to acquire new customers that assign a bonus to the target (in the form of a product or a service) when it becomes a new client. Dividends Dividends are recognised as revenue in profit and loss in the financial year in which their distribution has been approved. A.3 - Information on transfers between portfolios of financial assets There were no transfers between portfolios of financial assets in 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 205 Recognition of income and expenses Interest income and expenses Interest income and expenses and similar income and expense items relate to monetary items, i.e., liquidity and debt financial instruments (i) held for trading, (ii) designated at fair value (iii) mandatorily at fair value (iv) at fair value through other comprehensive income (v) at amortised cost and financial liabilities at amortised cost. Interest income and expense are recognised through profit or loss with respect to all instruments measured at amortised cost, using the effective interest method. Interest also includes the net credit or debit balance of differentials and margins on financial derivatives: • hedging interest-bearing assets and liabilities; • HfT but linked for business purposes to assets and liabilities designated as measured at fair value (fair value option); • linked for business purposes to HfT assets and liabilities paying differentials or margins on different maturities. Fees and commissions income and other operating income Fees and commissions income and other operating income are accounted for in income statement as the entity satisfies the performance obligation embedded in the contract, according to “IFRS15 Revenue from Contracts with Customers” rules. In particular: • if the performance obligation is satisfied at a specific moment (“point in time”), the related revenue is recognised in income statement when the service is provided; • if the performance obligation is satisfied over-time, the related revenue is recognised in income statement in order to reflect the progress of satisfaction of such obligation. Due to the above mentioned rules, transaction fees coming from trading in securities are typically booked in the moment when the service is provided while fees related to portfolios management, consulting or fund management are normally recognised during the term of the contract (input method). For this second type of fees, in fact, it is deemed that the input which are necessary to provide the service incorporated in the performance obligation are evenly distributed during the term of the contract. If the timing of cash-in is not aligned to the way the performance obligation is satisfied, the Group accounts for a contract asset or a contract liability for the portion of revenue accrued in the period or to defer in the following periods. The amount of revenues linked to fees and commissions income and other operating income is measured based on contractual provisions. If the amount contractually foreseen is subject, totally or partially, to variability, a revenue has to be booked based on the most probable amount that the Group expects to receive. Such amount is determined on the basis of all facts and circumstances considered relevant for the evaluation, that depend on the type of service provided and, in particular, on the presumption that it is not highly probable that the revenue recognised will not be significantly reversed. Note, nevertheless, that for the services provided by the Group such a variability is not usually foreseen. Finally, if a contract regards different goods/services whose performance obligations are not satisfied at the same time, the revenue is allocated among the different obligation proportionally to the stand-alone price of the single item delivered. These amounts will therefore be accounted for in income statement on the basis of the timing of satisfaction of each obligation. This circumstance, which is not significant, might happen in case of customer loyalty programs that require to provide goods or services for free, or by cashing-in a price not at market condition, if the client reaches a specific volume of fees, or in case of programs to acquire new customers that assign a bonus to the target (in the form of a product or a service) when it becomes a new client. Dividends Dividends are recognised as revenue in profit and loss in the financial year in which their distribution has been approved. A.3 - Information on transfers between portfolios of financial assets There were no transfers between portfolios of financial assets in 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 205 Recognition of income and expenses Interest income and expenses Interest income and expenses and similar income and expense items relate to monetary items, i.e., liquidity and debt financial instruments (i) held for trading, (ii) designated at fair value (iii) mandatorily at fair value (iv) at fair value through other comprehensive income (v) at amortised cost and financial liabilities at amortised cost. Interest income and expense are recognised through profit or loss with respect to all instruments measured at amortised cost, using the effective interest method. Interest also includes the net credit or debit balance of differentials and margins on financial derivatives: • hedging interest-bearing assets and liabilities; • HfT but linked for business purposes to assets and liabilities designated as measured at fair value (fair value option); • linked for business purposes to HfT assets and liabilities paying differentials or margins on different maturities. Fees and commissions income and other operating income Fees and commissions income and other operating income are accounted for in income statement as the entity satisfies the performance obligation embedded in the contract, according to “IFRS15 Revenue from Contracts with Customers” rules. In particular: • if the performance obligation is satisfied at a specific moment (“point in time”), the related revenue is recognised in income statement when the service is provided; • if the performance obligation is satisfied over-time, the related revenue is recognised in income statement in order to reflect the progress of satisfaction of such obligation. Due to the above mentioned rules, transaction fees coming from trading in securities are typically booked in the moment when the service is provided while fees related to portfolios management, consulting or fund management are normally recognised during the term of the contract (input method). For this second type of fees, in fact, it is deemed that the input which are necessary to provide the service incorporated in the performance obligation are evenly distributed during the term of the contract. If the timing of cash-in is not aligned to the way the performance obligation is satisfied, the Group accounts for a contract asset or a contract liability for the portion of revenue accrued in the period or to defer in the following periods. The amount of revenues linked to fees and commissions income and other operating income is measured based on contractual provisions. If the amount contractually foreseen is subject, totally or partially, to variability, a revenue has to be booked based on the most probable amount that the Group expects to receive. Such amount is determined on the basis of all facts and circumstances considered relevant for the evaluation, that depend on the type of service provided and, in particular, on the presumption that it is not highly probable that the revenue recognised will not be significantly reversed. Note, nevertheless, that for the services provided by the Group such a variability is not usually foreseen. Finally, if a contract regards different goods/services whose performance obligations are not satisfied at the same time, the revenue is allocated among the different obligation proportionally to the stand-alone price of the single item delivered. These amounts will therefore be accounted for in income statement on the basis of the timing of satisfaction of each obligation. This circumstance, which is not significant, might happen in case of customer loyalty programs that require to provide goods or services for free, or by cashing-in a price not at market condition, if the client reaches a specific volume of fees, or in case of programs to acquire new customers that assign a bonus to the target (in the form of a product or a service) when it becomes a new client. Dividends Dividends are recognised as revenue in profit and loss in the financial year in which their distribution has been approved. A.3 - Information on transfers between portfolios of financial assets There were no transfers between portfolios of financial assets in 2021. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 206 2021 Annual Report and Accounts · UniCredit A.4 - Information on fair value Qualitative information This section presents a disclosure on fair value as required by IFRS13. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants in the principal market at the measurement date (i.e. an exit price). The fair value of a financial liability with a demand feature (e.g. a demand deposit) cannot be lower than the amount payable on demand, discounted from the first date that the amount could be required to be paid. For financial instruments listed in active markets, fair value is determined on the basis of official prices in the principal market to which the Group has access (Mark to Market). A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a pricing service, dealer, broker, agency that determines prices or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but active markets exist for its component parts, fair value can be determined on the basis of the relevant market prices for the component parts. The Group may use valuation techniques, such as: • a market approach (e.g. using quoted prices for similar assets, liabilities or equity instruments held by other parties as assets); • cost approach (e.g. it reflects the amount that would be required currently to replace the service capacity of an asset, that is the current replacement cost); • an income approach (e.g. a present value technique that takes into account the future cash flows that a market participant would expect to receive from holding the liability or equity instrument as an asset). The Group uses valuation models (Mark to Model) in line with the methods generally accepted and used by the market. Valuation models include techniques based on the discounting of future cash flows and on volatility estimates, and they are subject to revision both during their development and periodically in order to ensure their consistency with the objectives of the valuation. These methods use inputs based on prices set in recent transactions for the instrument being valued and/or prices/quotations for instruments having similar characteristics in terms of risk profile. Indeed, these prices/quotations are relevant for determining significant parameters in terms of credit, liquidity and price risk of the instrument being valued. Reference to these market parameters allows to limit the discretionary nature of the valuation and ensures that the resulting fair value can be verified. If, for one or more risk factors it is not possible to refer to market data, the valuation models employed use estimates based on historical data as inputs. As a further guarantee of the objectivity of valuations derived from valuation models, the Group employs: • independent price verifications (IPVs); • fair value adjustments (FVAs). Independent price verification requires that the prices are verified at least monthly by Risk Management units that are independent from the units that assume the risk exposure. This verification calls for comparing and adjusting the price in line with valuations obtained from independent market participants. For instruments not quoted in active markets, the above verification process uses prices contributed by info providers as a reference and assigns a greater weighting to those prices that are considered representative of the instrument being valued. This valuation can include the feasibility of the transaction at the price observed, the number of contributors, the degree of similarity of the financial instruments, the consistency of prices from different sources, and the process followed by the info provider to obtain the information. A.4.1 Fair value Levels 2 and 3: valuation techniques and inputs used Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis, not measured at fair value, or measured at fair value on a non-recurring basis. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 206 2021 Annual Report and Accounts · UniCredit A.4 - Information on fair value Qualitative information This section presents a disclosure on fair value as required by IFRS13. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants in the principal market at the measurement date (i.e. an exit price). The fair value of a financial liability with a demand feature (e.g. a demand deposit) cannot be lower than the amount payable on demand, discounted from the first date that the amount could be required to be paid. For financial instruments listed in active markets, fair value is determined on the basis of official prices in the principal market to which the Group has access (Mark to Market). A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a pricing service, dealer, broker, agency that determines prices or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but active markets exist for its component parts, fair value can be determined on the basis of the relevant market prices for the component parts. The Group may use valuation techniques, such as: • a market approach (e.g. using quoted prices for similar assets, liabilities or equity instruments held by other parties as assets); • cost approach (e.g. it reflects the amount that would be required currently to replace the service capacity of an asset, that is the current replacement cost); • an income approach (e.g. a present value technique that takes into account the future cash flows that a market participant would expect to receive from holding the liability or equity instrument as an asset). The Group uses valuation models (Mark to Model) in line with the methods generally accepted and used by the market. Valuation models include techniques based on the discounting of future cash flows and on volatility estimates, and they are subject to revision both during their development and periodically in order to ensure their consistency with the objectives of the valuation. These methods use inputs based on prices set in recent transactions for the instrument being valued and/or prices/quotations for instruments having similar characteristics in terms of risk profile. Indeed, these prices/quotations are relevant for determining significant parameters in terms of credit, liquidity and price risk of the instrument being valued. Reference to these market parameters allows to limit the discretionary nature of the valuation and ensures that the resulting fair value can be verified. If, for one or more risk factors it is not possible to refer to market data, the valuation models employed use estimates based on historical data as inputs. As a further guarantee of the objectivity of valuations derived from valuation models, the Group employs: • independent price verifications (IPVs); • fair value adjustments (FVAs). Independent price verification requires that the prices are verified at least monthly by Risk Management units that are independent from the units that assume the risk exposure. This verification calls for comparing and adjusting the price in line with valuations obtained from independent market participants. For instruments not quoted in active markets, the above verification process uses prices contributed by info providers as a reference and assigns a greater weighting to those prices that are considered representative of the instrument being valued. This valuation can include the feasibility of the transaction at the price observed, the number of contributors, the degree of similarity of the financial instruments, the consistency of prices from different sources, and the process followed by the info provider to obtain the information. A.4.1 Fair value Levels 2 and 3: valuation techniques and inputs used Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis, not measured at fair value, or measured at fair value on a non-recurring basis. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 206 2021 Annual Report and Accounts · UniCredit A.4 - Information on fair value Qualitative information This section presents a disclosure on fair value as required by IFRS13. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants in the principal market at the measurement date (i.e. an exit price). The fair value of a financial liability with a demand feature (e.g. a demand deposit) cannot be lower than the amount payable on demand, discounted from the first date that the amount could be required to be paid. For financial instruments listed in active markets, fair value is determined on the basis of official prices in the principal market to which the Group has access (Mark to Market). A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a pricing service, dealer, broker, agency that determines prices or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but active markets exist for its component parts, fair value can be determined on the basis of the relevant market prices for the component parts. The Group may use valuation techniques, such as: • a market approach (e.g. using quoted prices for similar assets, liabilities or equity instruments held by other parties as assets); • cost approach (e.g. it reflects the amount that would be required currently to replace the service capacity of an asset, that is the current replacement cost); • an income approach (e.g. a present value technique that takes into account the future cash flows that a market participant would expect to receive from holding the liability or equity instrument as an asset). The Group uses valuation models (Mark to Model) in line with the methods generally accepted and used by the market. Valuation models include techniques based on the discounting of future cash flows and on volatility estimates, and they are subject to revision both during their development and periodically in order to ensure their consistency with the objectives of the valuation. These methods use inputs based on prices set in recent transactions for the instrument being valued and/or prices/quotations for instruments having similar characteristics in terms of risk profile. Indeed, these prices/quotations are relevant for determining significant parameters in terms of credit, liquidity and price risk of the instrument being valued. Reference to these market parameters allows to limit the discretionary nature of the valuation and ensures that the resulting fair value can be verified. If, for one or more risk factors it is not possible to refer to market data, the valuation models employed use estimates based on historical data as inputs. As a further guarantee of the objectivity of valuations derived from valuation models, the Group employs: • independent price verifications (IPVs); • fair value adjustments (FVAs). Independent price verification requires that the prices are verified at least monthly by Risk Management units that are independent from the units that assume the risk exposure. This verification calls for comparing and adjusting the price in line with valuations obtained from independent market participants. For instruments not quoted in active markets, the above verification process uses prices contributed by info providers as a reference and assigns a greater weighting to those prices that are considered representative of the instrument being valued. This valuation can include the feasibility of the transaction at the price observed, the number of contributors, the degree of similarity of the financial instruments, the consistency of prices from different sources, and the process followed by the info provider to obtain the information. A.4.1 Fair value Levels 2 and 3: valuation techniques and inputs used Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis, not measured at fair value, or measured at fair value on a non-recurring basis. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 206 2021 Annual Report and Accounts · UniCredit A.4 - Information on fair value Qualitative information This section presents a disclosure on fair value as required by IFRS13. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants in the principal market at the measurement date (i.e. an exit price). The fair value of a financial liability with a demand feature (e.g. a demand deposit) cannot be lower than the amount payable on demand, discounted from the first date that the amount could be required to be paid. For financial instruments listed in active markets, fair value is determined on the basis of official prices in the principal market to which the Group has access (Mark to Market). A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a pricing service, dealer, broker, agency that determines prices or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but active markets exist for its component parts, fair value can be determined on the basis of the relevant market prices for the component parts. The Group may use valuation techniques, such as: • a market approach (e.g. using quoted prices for similar assets, liabilities or equity instruments held by other parties as assets); • cost approach (e.g. it reflects the amount that would be required currently to replace the service capacity of an asset, that is the current replacement cost); • an income approach (e.g. a present value technique that takes into account the future cash flows that a market participant would expect to receive from holding the liability or equity instrument as an asset). The Group uses valuation models (Mark to Model) in line with the methods generally accepted and used by the market. Valuation models include techniques based on the discounting of future cash flows and on volatility estimates, and they are subject to revision both during their development and periodically in order to ensure their consistency with the objectives of the valuation. These methods use inputs based on prices set in recent transactions for the instrument being valued and/or prices/quotations for instruments having similar characteristics in terms of risk profile. Indeed, these prices/quotations are relevant for determining significant parameters in terms of credit, liquidity and price risk of the instrument being valued. Reference to these market parameters allows to limit the discretionary nature of the valuation and ensures that the resulting fair value can be verified. If, for one or more risk factors it is not possible to refer to market data, the valuation models employed use estimates based on historical data as inputs. As a further guarantee of the objectivity of valuations derived from valuation models, the Group employs: • independent price verifications (IPVs); • fair value adjustments (FVAs). Independent price verification requires that the prices are verified at least monthly by Risk Management units that are independent from the units that assume the risk exposure. This verification calls for comparing and adjusting the price in line with valuations obtained from independent market participants. For instruments not quoted in active markets, the above verification process uses prices contributed by info providers as a reference and assigns a greater weighting to those prices that are considered representative of the instrument being valued. This valuation can include the feasibility of the transaction at the price observed, the number of contributors, the degree of similarity of the financial instruments, the consistency of prices from different sources, and the process followed by the info provider to obtain the information. A.4.1 Fair value Levels 2 and 3: valuation techniques and inputs used Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis, not measured at fair value, or measured at fair value on a non-recurring basis. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 206 2021 Annual Report and Accounts · UniCredit A.4 - Information on fair value Qualitative information This section presents a disclosure on fair value as required by IFRS13. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants in the principal market at the measurement date (i.e. an exit price). The fair value of a financial liability with a demand feature (e.g. a demand deposit) cannot be lower than the amount payable on demand, discounted from the first date that the amount could be required to be paid. For financial instruments listed in active markets, fair value is determined on the basis of official prices in the principal market to which the Group has access (Mark to Market). A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a pricing service, dealer, broker, agency that determines prices or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but active markets exist for its component parts, fair value can be determined on the basis of the relevant market prices for the component parts. The Group may use valuation techniques, such as: • a market approach (e.g. using quoted prices for similar assets, liabilities or equity instruments held by other parties as assets); • cost approach (e.g. it reflects the amount that would be required currently to replace the service capacity of an asset, that is the current replacement cost); • an income approach (e.g. a present value technique that takes into account the future cash flows that a market participant would expect to receive from holding the liability or equity instrument as an asset). The Group uses valuation models (Mark to Model) in line with the methods generally accepted and used by the market. Valuation models include techniques based on the discounting of future cash flows and on volatility estimates, and they are subject to revision both during their development and periodically in order to ensure their consistency with the objectives of the valuation. These methods use inputs based on prices set in recent transactions for the instrument being valued and/or prices/quotations for instruments having similar characteristics in terms of risk profile. Indeed, these prices/quotations are relevant for determining significant parameters in terms of credit, liquidity and price risk of the instrument being valued. Reference to these market parameters allows to limit the discretionary nature of the valuation and ensures that the resulting fair value can be verified. If, for one or more risk factors it is not possible to refer to market data, the valuation models employed use estimates based on historical data as inputs. As a further guarantee of the objectivity of valuations derived from valuation models, the Group employs: • independent price verifications (IPVs); • fair value adjustments (FVAs). Independent price verification requires that the prices are verified at least monthly by Risk Management units that are independent from the units that assume the risk exposure. This verification calls for comparing and adjusting the price in line with valuations obtained from independent market participants. For instruments not quoted in active markets, the above verification process uses prices contributed by info providers as a reference and assigns a greater weighting to those prices that are considered representative of the instrument being valued. This valuation can include the feasibility of the transaction at the price observed, the number of contributors, the degree of similarity of the financial instruments, the consistency of prices from different sources, and the process followed by the info provider to obtain the information. A.4.1 Fair value Levels 2 and 3: valuation techniques and inputs used Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis, not measured at fair value, or measured at fair value on a non-recurring basis. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 207 Assets and Liabilities measured at fair value on a recurring basis Debt securities Debt securities are priced in a two-tier process depending on the liquidity in the respective market. Liquid instruments in active markets are marked to market and consequently they are allocated in the Fair Value Hierarchy under Level 129. Instruments not traded in active markets are marked to model through discounted cash flows model whose inputs include implied credit spread curves. With this respect, depending on the proximity of the credit spread curve applied, the bonds are disclosed as Level 2 or Level 3 respectively. Under fair value accounting, fair value adjustments for liquidity and model deficiencies compensate for the lack of market observables for the Level 2 and Level 3 positions. In the global bond IPV process market prices of Level 1 bonds and pricing models for illiquid bonds are regularly verified for accuracy. Structured financial products The Group determines the fair value of structured financial products not quoted on active markets using the appropriate derivative valuation methodology given the nature of the embedded structure (when this is not to be separated). Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model. Asset Backed Securities UniCredit valuation process assigns prices considering quotes available in the market. As a second step, prices are assessed by benchmarking each security to a pool of similar securities with available market quotes. An alternative approach consists in evaluating the instrument through the use of quantitative pricing models, which are applicable every time that information regarding market participants assumptions on model parameters are reasonably made available without excessive costs or efforts. ABS are assigned to Level 2 or Level 3 depending on the observability of either prices or model inputs. Derivatives Fair value of derivatives not traded in an active market is determined using a mark-to-model valuation technique. Where active markets exist for its component parts, then fair value is determined on the basis of the relevant market prices for the component parts. Valuation techniques that are based on significant inputs that are observable are referred to as Level 2 valuations, while those based on techniques that use significant unobservable inputs are referred to as Level 3 valuations. Equity instruments Equity instruments are assigned to Level 1 when a quoted price is available on a liquid market and to Level 3 when no quotations are available or quotations have been suspended indefinitely. These instruments are classified as Level 2 only when trading volume on the market is not sufficient to qualify the market as active. Investment funds The Group holds investments in certain investment funds that publish net asset value (“NAV”) per share, including mutual funds, private equity funds, hedge funds (including funds of funds) and real estate funds. The Group’s investments include co-investments in funds that are managed by the Group and investments in funds that are managed by third parties and in particular: Real estate funds Real estate funds are mapped to Level 1 when quoted prices are available on an active market; when this condition does not hold, real estate funds are disclosed as Level 3 and they are evaluated through an adequate credit adjustment of the NAV based on the specific features of each fund. Other funds The Group holds investments also in mutual funds, hedge funds and private equity funds. Funds are usually assigned to Level 1 when a quoted price is available on an active market. Funds are disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues relating to position write-off; these funds are measured on the basis of internal analysis that consider further information, included those provided by management companies. 29 As far as Italian government bonds are concerned, it is worth stressing they are typically exchanged on the MTS market which is largely acknowledged as the main liquid platform for this kind of asset. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 207 Assets and Liabilities measured at fair value on a recurring basis Debt securities Debt securities are priced in a two-tier process depending on the liquidity in the respective market. Liquid instruments in active markets are marked to market and consequently they are allocated in the Fair Value Hierarchy under Level 129. Instruments not traded in active markets are marked to model through discounted cash flows model whose inputs include implied credit spread curves. With this respect, depending on the proximity of the credit spread curve applied, the bonds are disclosed as Level 2 or Level 3 respectively. Under fair value accounting, fair value adjustments for liquidity and model deficiencies compensate for the lack of market observables for the Level 2 and Level 3 positions. In the global bond IPV process market prices of Level 1 bonds and pricing models for illiquid bonds are regularly verified for accuracy. Structured financial products The Group determines the fair value of structured financial products not quoted on active markets using the appropriate derivative valuation methodology given the nature of the embedded structure (when this is not to be separated). Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model. Asset Backed Securities UniCredit valuation process assigns prices considering quotes available in the market. As a second step, prices are assessed by benchmarking each security to a pool of similar securities with available market quotes. An alternative approach consists in evaluating the instrument through the use of quantitative pricing models, which are applicable every time that information regarding market participants assumptions on model parameters are reasonably made available without excessive costs or efforts. ABS are assigned to Level 2 or Level 3 depending on the observability of either prices or model inputs. Derivatives Fair value of derivatives not traded in an active market is determined using a mark-to-model valuation technique. Where active markets exist for its component parts, then fair value is determined on the basis of the relevant market prices for the component parts. Valuation techniques that are based on significant inputs that are observable are referred to as Level 2 valuations, while those based on techniques that use significant unobservable inputs are referred to as Level 3 valuations. Equity instruments Equity instruments are assigned to Level 1 when a quoted price is available on a liquid market and to Level 3 when no quotations are available or quotations have been suspended indefinitely. These instruments are classified as Level 2 only when trading volume on the market is not sufficient to qualify the market as active. Investment funds The Group holds investments in certain investment funds that publish net asset value (“NAV”) per share, including mutual funds, private equity funds, hedge funds (including funds of funds) and real estate funds. The Group’s investments include co-investments in funds that are managed by the Group and investments in funds that are managed by third parties and in particular: Real estate funds Real estate funds are mapped to Level 1 when quoted prices are available on an active market; when this condition does not hold, real estate funds are disclosed as Level 3 and they are evaluated through an adequate credit adjustment of the NAV based on the specific features of each fund. Other funds The Group holds investments also in mutual funds, hedge funds and private equity funds. Funds are usually assigned to Level 1 when a quoted price is available on an active market. Funds are disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues relating to position write-off; these funds are measured on the basis of internal analysis that consider further information, included those provided by management companies. 29 As far as Italian government bonds are concerned, it is worth stressing they are typically exchanged on the MTS market which is largely acknowledged as the main liquid platform for this kind of asset. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 207 Assets and Liabilities measured at fair value on a recurring basis Debt securities Debt securities are priced in a two-tier process depending on the liquidity in the respective market. Liquid instruments in active markets are marked to market and consequently they are allocated in the Fair Value Hierarchy under Level 129. Instruments not traded in active markets are marked to model through discounted cash flows model whose inputs include implied credit spread curves. With this respect, depending on the proximity of the credit spread curve applied, the bonds are disclosed as Level 2 or Level 3 respectively. Under fair value accounting, fair value adjustments for liquidity and model deficiencies compensate for the lack of market observables for the Level 2 and Level 3 positions. In the global bond IPV process market prices of Level 1 bonds and pricing models for illiquid bonds are regularly verified for accuracy. Structured financial products The Group determines the fair value of structured financial products not quoted on active markets using the appropriate derivative valuation methodology given the nature of the embedded structure (when this is not to be separated). Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model. Asset Backed Securities UniCredit valuation process assigns prices considering quotes available in the market. As a second step, prices are assessed by benchmarking each security to a pool of similar securities with available market quotes. An alternative approach consists in evaluating the instrument through the use of quantitative pricing models, which are applicable every time that information regarding market participants assumptions on model parameters are reasonably made available without excessive costs or efforts. ABS are assigned to Level 2 or Level 3 depending on the observability of either prices or model inputs. Derivatives Fair value of derivatives not traded in an active market is determined using a mark-to-model valuation technique. Where active markets exist for its component parts, then fair value is determined on the basis of the relevant market prices for the component parts. Valuation techniques that are based on significant inputs that are observable are referred to as Level 2 valuations, while those based on techniques that use significant unobservable inputs are referred to as Level 3 valuations. Equity instruments Equity instruments are assigned to Level 1 when a quoted price is available on a liquid market and to Level 3 when no quotations are available or quotations have been suspended indefinitely. These instruments are classified as Level 2 only when trading volume on the market is not sufficient to qualify the market as active. Investment funds The Group holds investments in certain investment funds that publish net asset value (“NAV”) per share, including mutual funds, private equity funds, hedge funds (including funds of funds) and real estate funds. The Group’s investments include co-investments in funds that are managed by the Group and investments in funds that are managed by third parties and in particular: Real estate funds Real estate funds are mapped to Level 1 when quoted prices are available on an active market; when this condition does not hold, real estate funds are disclosed as Level 3 and they are evaluated through an adequate credit adjustment of the NAV based on the specific features of each fund. Other funds The Group holds investments also in mutual funds, hedge funds and private equity funds. Funds are usually assigned to Level 1 when a quoted price is available on an active market. Funds are disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues relating to position write-off; these funds are measured on the basis of internal analysis that consider further information, included those provided by management companies. 29 As far as Italian government bonds are concerned, it is worth stressing they are typically exchanged on the MTS market which is largely acknowledged as the main liquid platform for this kind of asset. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 207 Assets and Liabilities measured at fair value on a recurring basis Debt securities Debt securities are priced in a two-tier process depending on the liquidity in the respective market. Liquid instruments in active markets are marked to market and consequently they are allocated in the Fair Value Hierarchy under Level 129. Instruments not traded in active markets are marked to model through discounted cash flows model whose inputs include implied credit spread curves. With this respect, depending on the proximity of the credit spread curve applied, the bonds are disclosed as Level 2 or Level 3 respectively. Under fair value accounting, fair value adjustments for liquidity and model deficiencies compensate for the lack of market observables for the Level 2 and Level 3 positions. In the global bond IPV process market prices of Level 1 bonds and pricing models for illiquid bonds are regularly verified for accuracy. Structured financial products The Group determines the fair value of structured financial products not quoted on active markets using the appropriate derivative valuation methodology given the nature of the embedded structure (when this is not to be separated). Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model. Asset Backed Securities UniCredit valuation process assigns prices considering quotes available in the market. As a second step, prices are assessed by benchmarking each security to a pool of similar securities with available market quotes. An alternative approach consists in evaluating the instrument through the use of quantitative pricing models, which are applicable every time that information regarding market participants assumptions on model parameters are reasonably made available without excessive costs or efforts. ABS are assigned to Level 2 or Level 3 depending on the observability of either prices or model inputs. Derivatives Fair value of derivatives not traded in an active market is determined using a mark-to-model valuation technique. Where active markets exist for its component parts, then fair value is determined on the basis of the relevant market prices for the component parts. Valuation techniques that are based on significant inputs that are observable are referred to as Level 2 valuations, while those based on techniques that use significant unobservable inputs are referred to as Level 3 valuations. Equity instruments Equity instruments are assigned to Level 1 when a quoted price is available on a liquid market and to Level 3 when no quotations are available or quotations have been suspended indefinitely. These instruments are classified as Level 2 only when trading volume on the market is not sufficient to qualify the market as active. Investment funds The Group holds investments in certain investment funds that publish net asset value (“NAV”) per share, including mutual funds, private equity funds, hedge funds (including funds of funds) and real estate funds. The Group’s investments include co-investments in funds that are managed by the Group and investments in funds that are managed by third parties and in particular: Real estate funds Real estate funds are mapped to Level 1 when quoted prices are available on an active market; when this condition does not hold, real estate funds are disclosed as Level 3 and they are evaluated through an adequate credit adjustment of the NAV based on the specific features of each fund. Other funds The Group holds investments also in mutual funds, hedge funds and private equity funds. Funds are usually assigned to Level 1 when a quoted price is available on an active market. Funds are disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues relating to position write-off; these funds are measured on the basis of internal analysis that consider further information, included those provided by management companies. 29 As far as Italian government bonds are concerned, it is worth stressing they are typically exchanged on the MTS market which is largely acknowledged as the main liquid platform for this kind of asset. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 207 Assets and Liabilities measured at fair value on a recurring basis Debt securities Debt securities are priced in a two-tier process depending on the liquidity in the respective market. Liquid instruments in active markets are marked to market and consequently they are allocated in the Fair Value Hierarchy under Level 129. Instruments not traded in active markets are marked to model through discounted cash flows model whose inputs include implied credit spread curves. With this respect, depending on the proximity of the credit spread curve applied, the bonds are disclosed as Level 2 or Level 3 respectively. Under fair value accounting, fair value adjustments for liquidity and model deficiencies compensate for the lack of market observables for the Level 2 and Level 3 positions. In the global bond IPV process market prices of Level 1 bonds and pricing models for illiquid bonds are regularly verified for accuracy. Structured financial products The Group determines the fair value of structured financial products not quoted on active markets using the appropriate derivative valuation methodology given the nature of the embedded structure (when this is not to be separated). Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model. Asset Backed Securities UniCredit valuation process assigns prices considering quotes available in the market. As a second step, prices are assessed by benchmarking each security to a pool of similar securities with available market quotes. An alternative approach consists in evaluating the instrument through the use of quantitative pricing models, which are applicable every time that information regarding market participants assumptions on model parameters are reasonably made available without excessive costs or efforts. ABS are assigned to Level 2 or Level 3 depending on the observability of either prices or model inputs. Derivatives Fair value of derivatives not traded in an active market is determined using a mark-to-model valuation technique. Where active markets exist for its component parts, then fair value is determined on the basis of the relevant market prices for the component parts. Valuation techniques that are based on significant inputs that are observable are referred to as Level 2 valuations, while those based on techniques that use significant unobservable inputs are referred to as Level 3 valuations. Equity instruments Equity instruments are assigned to Level 1 when a quoted price is available on a liquid market and to Level 3 when no quotations are available or quotations have been suspended indefinitely. These instruments are classified as Level 2 only when trading volume on the market is not sufficient to qualify the market as active. Investment funds The Group holds investments in certain investment funds that publish net asset value (“NAV”) per share, including mutual funds, private equity funds, hedge funds (including funds of funds) and real estate funds. The Group’s investments include co-investments in funds that are managed by the Group and investments in funds that are managed by third parties and in particular: Real estate funds Real estate funds are mapped to Level 1 when quoted prices are available on an active market; when this condition does not hold, real estate funds are disclosed as Level 3 and they are evaluated through an adequate credit adjustment of the NAV based on the specific features of each fund. Other funds The Group holds investments also in mutual funds, hedge funds and private equity funds. Funds are usually assigned to Level 1 when a quoted price is available on an active market. Funds are disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues relating to position write-off; these funds are measured on the basis of internal analysis that consider further information, included those provided by management companies. 29 As far as Italian government bonds are concerned, it is worth stressing they are typically exchanged on the MTS market which is largely acknowledged as the main liquid platform for this kind of asset. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 208 2021 Annual Report and Accounts · UniCredit Loans Fair Value of loans measured at fair value is determined using either quoted prices or discounted cash flows analysis. They are classified under Level 2 if implied credit spread curves, as well as any other parameters used for determining fair value, are observable on the market. In the case the spreads curves are not observable they are derived using an internal spread model that is based both on observable and unobservable inputs, in the case the impact of unobservable inputs is significant they are classified as Level 3. These include loans to corporates and household for which no indication of applicable credit spread is available and for which, therefore, fair value has been determined through internal credit risk parameters. Property, plant and equipment measured at fair value The Group owns real estate assets for which changed, starting from 31 December 2019, its measurement accounting policy moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For both type of assets the fair value/revaluation model is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Fair Value Adjustments (FVA) Fair value adjustment is defined as the amount to be added either to the market observed mid-price or to the theoretical price generated by a valuation model with the aim of obtaining a fair value of the position. Therefore, FVA are aimed at insuring that the fair value reflects the actual exit price of a certain position. Below a list of adjustments: • Credit/Debit Valuation Adjustment (“CVA/DVA”); • Funding Cost and Benefit Value Adjustment (“FCA/FBA”); • model risk; • close-out costs; • other adjustments. Credit/Debit Valuation Adjustment (CVA/DVA) Credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs) are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and UniCredit own credit quality respectively. UniCredit CVA/DVA methodology is based on the following inputs: • EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong-Way Risk that arises from transactions where there is a correlation between counterparty credit risk and the underlying derivative risk factors; • PD implied by current market default rates, obtained from Credit Default Swaps; • LGD based on the estimated level of expected recovery should a counterparty default and implied by current market default rates, obtained from credit default swaps. As at 31 December 2021, net CVA/DVA cumulative adjustment, relating to performing counterparts, amounts to €185.6 million negative; in addition, the adjustment related to own credit spread evolution, which is filtered out from regulatory capital (accordingly to CRDIV), amounts to 148 million negative. Funding Cost and Benefit Adjustment (“FCA/FBA”) Funding Valuation Adjustment (“FundVA”) is the sum of a Funding Cost Adjustment (“FCA”) and of a Funding Benefit Adjustment (“FBA”) that indeed account for the expected future funding costs/benefits for derivatives that are not fully collateralised. Most material contributors are in-the-money trades with uncollateralised counterparties. UniCredit FundVA methodology is based on the following inputs: • positive and Negative exposure profiles derived leveraging on a risk-neutral spin-off of the counterparty credit risk internal model; • PD term structure implied by current market default rates obtained from credit default swaps; • a funding spread curve that is representative of the average funding spread of peer financial groups. As at 31 December 2021 the Fair Value Adjustment component (FundVA) reflected into P&L amounts to €129.5 million negative. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 208 2021 Annual Report and Accounts · UniCredit Loans Fair Value of loans measured at fair value is determined using either quoted prices or discounted cash flows analysis. They are classified under Level 2 if implied credit spread curves, as well as any other parameters used for determining fair value, are observable on the market. In the case the spreads curves are not observable they are derived using an internal spread model that is based both on observable and unobservable inputs, in the case the impact of unobservable inputs is significant they are classified as Level 3. These include loans to corporates and household for which no indication of applicable credit spread is available and for which, therefore, fair value has been determined through internal credit risk parameters. Property, plant and equipment measured at fair value The Group owns real estate assets for which changed, starting from 31 December 2019, its measurement accounting policy moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For both type of assets the fair value/revaluation model is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Fair Value Adjustments (FVA) Fair value adjustment is defined as the amount to be added either to the market observed mid-price or to the theoretical price generated by a valuation model with the aim of obtaining a fair value of the position. Therefore, FVA are aimed at insuring that the fair value reflects the actual exit price of a certain position. Below a list of adjustments: • Credit/Debit Valuation Adjustment (“CVA/DVA”); • Funding Cost and Benefit Value Adjustment (“FCA/FBA”); • model risk; • close-out costs; • other adjustments. Credit/Debit Valuation Adjustment (CVA/DVA) Credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs) are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and UniCredit own credit quality respectively. UniCredit CVA/DVA methodology is based on the following inputs: • EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong-Way Risk that arises from transactions where there is a correlation between counterparty credit risk and the underlying derivative risk factors; • PD implied by current market default rates, obtained from Credit Default Swaps; • LGD based on the estimated level of expected recovery should a counterparty default and implied by current market default rates, obtained from credit default swaps. As at 31 December 2021, net CVA/DVA cumulative adjustment, relating to performing counterparts, amounts to €185.6 million negative; in addition, the adjustment related to own credit spread evolution, which is filtered out from regulatory capital (accordingly to CRDIV), amounts to 148 million negative. Funding Cost and Benefit Adjustment (“FCA/FBA”) Funding Valuation Adjustment (“FundVA”) is the sum of a Funding Cost Adjustment (“FCA”) and of a Funding Benefit Adjustment (“FBA”) that indeed account for the expected future funding costs/benefits for derivatives that are not fully collateralised. Most material contributors are in-the-money trades with uncollateralised counterparties. UniCredit FundVA methodology is based on the following inputs: • positive and Negative exposure profiles derived leveraging on a risk-neutral spin-off of the counterparty credit risk internal model; • PD term structure implied by current market default rates obtained from credit default swaps; • a funding spread curve that is representative of the average funding spread of peer financial groups. As at 31 December 2021 the Fair Value Adjustment component (FundVA) reflected into P&L amounts to €129.5 million negative. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 208 2021 Annual Report and Accounts · UniCredit Loans Fair Value of loans measured at fair value is determined using either quoted prices or discounted cash flows analysis. They are classified under Level 2 if implied credit spread curves, as well as any other parameters used for determining fair value, are observable on the market. In the case the spreads curves are not observable they are derived using an internal spread model that is based both on observable and unobservable inputs, in the case the impact of unobservable inputs is significant they are classified as Level 3. These include loans to corporates and household for which no indication of applicable credit spread is available and for which, therefore, fair value has been determined through internal credit risk parameters. Property, plant and equipment measured at fair value The Group owns real estate assets for which changed, starting from 31 December 2019, its measurement accounting policy moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For both type of assets the fair value/revaluation model is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Fair Value Adjustments (FVA) Fair value adjustment is defined as the amount to be added either to the market observed mid-price or to the theoretical price generated by a valuation model with the aim of obtaining a fair value of the position. Therefore, FVA are aimed at insuring that the fair value reflects the actual exit price of a certain position. Below a list of adjustments: • Credit/Debit Valuation Adjustment (“CVA/DVA”); • Funding Cost and Benefit Value Adjustment (“FCA/FBA”); • model risk; • close-out costs; • other adjustments. Credit/Debit Valuation Adjustment (CVA/DVA) Credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs) are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and UniCredit own credit quality respectively. UniCredit CVA/DVA methodology is based on the following inputs: • EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong-Way Risk that arises from transactions where there is a correlation between counterparty credit risk and the underlying derivative risk factors; • PD implied by current market default rates, obtained from Credit Default Swaps; • LGD based on the estimated level of expected recovery should a counterparty default and implied by current market default rates, obtained from credit default swaps. As at 31 December 2021, net CVA/DVA cumulative adjustment, relating to performing counterparts, amounts to €185.6 million negative; in addition, the adjustment related to own credit spread evolution, which is filtered out from regulatory capital (accordingly to CRDIV), amounts to 148 million negative. Funding Cost and Benefit Adjustment (“FCA/FBA”) Funding Valuation Adjustment (“FundVA”) is the sum of a Funding Cost Adjustment (“FCA”) and of a Funding Benefit Adjustment (“FBA”) that indeed account for the expected future funding costs/benefits for derivatives that are not fully collateralised. Most material contributors are in-the-money trades with uncollateralised counterparties. UniCredit FundVA methodology is based on the following inputs: • positive and Negative exposure profiles derived leveraging on a risk-neutral spin-off of the counterparty credit risk internal model; • PD term structure implied by current market default rates obtained from credit default swaps; • a funding spread curve that is representative of the average funding spread of peer financial groups. As at 31 December 2021 the Fair Value Adjustment component (FundVA) reflected into P&L amounts to €129.5 million negative. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 208 2021 Annual Report and Accounts · UniCredit Loans Fair Value of loans measured at fair value is determined using either quoted prices or discounted cash flows analysis. They are classified under Level 2 if implied credit spread curves, as well as any other parameters used for determining fair value, are observable on the market. In the case the spreads curves are not observable they are derived using an internal spread model that is based both on observable and unobservable inputs, in the case the impact of unobservable inputs is significant they are classified as Level 3. These include loans to corporates and household for which no indication of applicable credit spread is available and for which, therefore, fair value has been determined through internal credit risk parameters. Property, plant and equipment measured at fair value The Group owns real estate assets for which changed, starting from 31 December 2019, its measurement accounting policy moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For both type of assets the fair value/revaluation model is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Fair Value Adjustments (FVA) Fair value adjustment is defined as the amount to be added either to the market observed mid-price or to the theoretical price generated by a valuation model with the aim of obtaining a fair value of the position. Therefore, FVA are aimed at insuring that the fair value reflects the actual exit price of a certain position. Below a list of adjustments: • Credit/Debit Valuation Adjustment (“CVA/DVA”); • Funding Cost and Benefit Value Adjustment (“FCA/FBA”); • model risk; • close-out costs; • other adjustments. Credit/Debit Valuation Adjustment (CVA/DVA) Credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs) are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and UniCredit own credit quality respectively. UniCredit CVA/DVA methodology is based on the following inputs: • EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong-Way Risk that arises from transactions where there is a correlation between counterparty credit risk and the underlying derivative risk factors; • PD implied by current market default rates, obtained from Credit Default Swaps; • LGD based on the estimated level of expected recovery should a counterparty default and implied by current market default rates, obtained from credit default swaps. As at 31 December 2021, net CVA/DVA cumulative adjustment, relating to performing counterparts, amounts to €185.6 million negative; in addition, the adjustment related to own credit spread evolution, which is filtered out from regulatory capital (accordingly to CRDIV), amounts to 148 million negative. Funding Cost and Benefit Adjustment (“FCA/FBA”) Funding Valuation Adjustment (“FundVA”) is the sum of a Funding Cost Adjustment (“FCA”) and of a Funding Benefit Adjustment (“FBA”) that indeed account for the expected future funding costs/benefits for derivatives that are not fully collateralised. Most material contributors are in-the-money trades with uncollateralised counterparties. UniCredit FundVA methodology is based on the following inputs: • positive and Negative exposure profiles derived leveraging on a risk-neutral spin-off of the counterparty credit risk internal model; • PD term structure implied by current market default rates obtained from credit default swaps; • a funding spread curve that is representative of the average funding spread of peer financial groups. As at 31 December 2021 the Fair Value Adjustment component (FundVA) reflected into P&L amounts to €129.5 million negative. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 208 2021 Annual Report and Accounts · UniCredit Loans Fair Value of loans measured at fair value is determined using either quoted prices or discounted cash flows analysis. They are classified under Level 2 if implied credit spread curves, as well as any other parameters used for determining fair value, are observable on the market. In the case the spreads curves are not observable they are derived using an internal spread model that is based both on observable and unobservable inputs, in the case the impact of unobservable inputs is significant they are classified as Level 3. These include loans to corporates and household for which no indication of applicable credit spread is available and for which, therefore, fair value has been determined through internal credit risk parameters. Property, plant and equipment measured at fair value The Group owns real estate assets for which changed, starting from 31 December 2019, its measurement accounting policy moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For both type of assets the fair value/revaluation model is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Fair Value Adjustments (FVA) Fair value adjustment is defined as the amount to be added either to the market observed mid-price or to the theoretical price generated by a valuation model with the aim of obtaining a fair value of the position. Therefore, FVA are aimed at insuring that the fair value reflects the actual exit price of a certain position. Below a list of adjustments: • Credit/Debit Valuation Adjustment (“CVA/DVA”); • Funding Cost and Benefit Value Adjustment (“FCA/FBA”); • model risk; • close-out costs; • other adjustments. Credit/Debit Valuation Adjustment (CVA/DVA) Credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs) are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and UniCredit own credit quality respectively. UniCredit CVA/DVA methodology is based on the following inputs: • EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong-Way Risk that arises from transactions where there is a correlation between counterparty credit risk and the underlying derivative risk factors; • PD implied by current market default rates, obtained from Credit Default Swaps; • LGD based on the estimated level of expected recovery should a counterparty default and implied by current market default rates, obtained from credit default swaps. As at 31 December 2021, net CVA/DVA cumulative adjustment, relating to performing counterparts, amounts to €185.6 million negative; in addition, the adjustment related to own credit spread evolution, which is filtered out from regulatory capital (accordingly to CRDIV), amounts to 148 million negative. Funding Cost and Benefit Adjustment (“FCA/FBA”) Funding Valuation Adjustment (“FundVA”) is the sum of a Funding Cost Adjustment (“FCA”) and of a Funding Benefit Adjustment (“FBA”) that indeed account for the expected future funding costs/benefits for derivatives that are not fully collateralised. Most material contributors are in-the-money trades with uncollateralised counterparties. UniCredit FundVA methodology is based on the following inputs: • positive and Negative exposure profiles derived leveraging on a risk-neutral spin-off of the counterparty credit risk internal model; • PD term structure implied by current market default rates obtained from credit default swaps; • a funding spread curve that is representative of the average funding spread of peer financial groups. As at 31 December 2021 the Fair Value Adjustment component (FundVA) reflected into P&L amounts to €129.5 million negative. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 209 Model risk Financial models are used for the valuation of the financial instruments if the direct market quotes are not deemed reliable. In general the model risk is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the choice of model. It is possible to value the same financial instrument by using alternative models which could provide different results in term of pricing. The model risk adjustment refers to the risk that the actual fair value of the instrument differs from the value produced by the model. Close-out cost It measures the implicit cost of closing a trading position. The position can be closed by a long position (or purchase in the case of a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open position. The close-out costs are typically derived from the bid/ask spreads observed on the market. It accounts for the fact that a position is valued at mid but can only be closed at bid or ask. This adjustment is not needed when the position is marked at bid or ask and already represents an exit price. In addition, a close-out adjustment of the NAV is applied when there are some penalties relating to position write-off in an investment fund. Other adjustments Other fair value adjustments, which are not included in the previous categories, could be taken into consideration to align the evaluation to the current exit price, also according to the level of liquidity of the market and valuation parameters, e.g. adjustment of equity prices whose quotation on the market are not representative of the effective exit price. Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis Financial instrument not carried at fair value, for example retail loans and deposit, and credit facilities extended to corporate clients are not managed on a fair value basis. For these instruments fair value is calculated for disclosure purposes only and does not impact the balance sheet or the profit or loss. Additionally, since these instruments generally do not trade, there is significant management judgment required to determine their fair values as defined by IFRS13. Cash and cash balances Cash and cash balances are not carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. Financial assets at amortised cost For securities, fair value is determined according to what reported in section “Assets and liabilities measured at fair value on a recurring basis - Debt securities”. On the other hands, fair value for performing loans to banks and customers is determined using the discounted cash flow model adjusted for credit risk. Some portfolios are valued according to simplified approaches, which however take into account the financial features of the financial instruments. Property, plant and equipment The fair value of under construction properties, obtained through the enforcement of guarantees received and the right of use of leased assets is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Financial liabilities at amortised cost Fair value for issued debt securities is determined using the discounted cash flow model adjusted for UniCredit credit risk. The Credit Spread takes seniority into account. On the other hand fair value for other financial liabilities is determined using the discounted cash flow model adjusted for UniCredit credit risk. Description of the valuation techniques Specific valuation techniques are used to value positions for which a market price is not directly observable from market sources. The Group uses well known valuation techniques for determining fair values of financial and non-financial instruments that are not actively traded and quoted. The valuation techniques used for Level 2 and 3 assets and liabilities are described below. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 209 Model risk Financial models are used for the valuation of the financial instruments if the direct market quotes are not deemed reliable. In general the model risk is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the choice of model. It is possible to value the same financial instrument by using alternative models which could provide different results in term of pricing. The model risk adjustment refers to the risk that the actual fair value of the instrument differs from the value produced by the model. Close-out cost It measures the implicit cost of closing a trading position. The position can be closed by a long position (or purchase in the case of a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open position. The close-out costs are typically derived from the bid/ask spreads observed on the market. It accounts for the fact that a position is valued at mid but can only be closed at bid or ask. This adjustment is not needed when the position is marked at bid or ask and already represents an exit price. In addition, a close-out adjustment of the NAV is applied when there are some penalties relating to position write-off in an investment fund. Other adjustments Other fair value adjustments, which are not included in the previous categories, could be taken into consideration to align the evaluation to the current exit price, also according to the level of liquidity of the market and valuation parameters, e.g. adjustment of equity prices whose quotation on the market are not representative of the effective exit price. Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis Financial instrument not carried at fair value, for example retail loans and deposit, and credit facilities extended to corporate clients are not managed on a fair value basis. For these instruments fair value is calculated for disclosure purposes only and does not impact the balance sheet or the profit or loss. Additionally, since these instruments generally do not trade, there is significant management judgment required to determine their fair values as defined by IFRS13. Cash and cash balances Cash and cash balances are not carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. Financial assets at amortised cost For securities, fair value is determined according to what reported in section “Assets and liabilities measured at fair value on a recurring basis - Debt securities”. On the other hands, fair value for performing loans to banks and customers is determined using the discounted cash flow model adjusted for credit risk. Some portfolios are valued according to simplified approaches, which however take into account the financial features of the financial instruments. Property, plant and equipment The fair value of under construction properties, obtained through the enforcement of guarantees received and the right of use of leased assets is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Financial liabilities at amortised cost Fair value for issued debt securities is determined using the discounted cash flow model adjusted for UniCredit credit risk. The Credit Spread takes seniority into account. On the other hand fair value for other financial liabilities is determined using the discounted cash flow model adjusted for UniCredit credit risk. Description of the valuation techniques Specific valuation techniques are used to value positions for which a market price is not directly observable from market sources. The Group uses well known valuation techniques for determining fair values of financial and non-financial instruments that are not actively traded and quoted. The valuation techniques used for Level 2 and 3 assets and liabilities are described below. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 209 Model risk Financial models are used for the valuation of the financial instruments if the direct market quotes are not deemed reliable. In general the model risk is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the choice of model. It is possible to value the same financial instrument by using alternative models which could provide different results in term of pricing. The model risk adjustment refers to the risk that the actual fair value of the instrument differs from the value produced by the model. Close-out cost It measures the implicit cost of closing a trading position. The position can be closed by a long position (or purchase in the case of a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open position. The close-out costs are typically derived from the bid/ask spreads observed on the market. It accounts for the fact that a position is valued at mid but can only be closed at bid or ask. This adjustment is not needed when the position is marked at bid or ask and already represents an exit price. In addition, a close-out adjustment of the NAV is applied when there are some penalties relating to position write-off in an investment fund. Other adjustments Other fair value adjustments, which are not included in the previous categories, could be taken into consideration to align the evaluation to the current exit price, also according to the level of liquidity of the market and valuation parameters, e.g. adjustment of equity prices whose quotation on the market are not representative of the effective exit price. Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis Financial instrument not carried at fair value, for example retail loans and deposit, and credit facilities extended to corporate clients are not managed on a fair value basis. For these instruments fair value is calculated for disclosure purposes only and does not impact the balance sheet or the profit or loss. Additionally, since these instruments generally do not trade, there is significant management judgment required to determine their fair values as defined by IFRS13. Cash and cash balances Cash and cash balances are not carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. Financial assets at amortised cost For securities, fair value is determined according to what reported in section “Assets and liabilities measured at fair value on a recurring basis - Debt securities”. On the other hands, fair value for performing loans to banks and customers is determined using the discounted cash flow model adjusted for credit risk. Some portfolios are valued according to simplified approaches, which however take into account the financial features of the financial instruments. Property, plant and equipment The fair value of under construction properties, obtained through the enforcement of guarantees received and the right of use of leased assets is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Financial liabilities at amortised cost Fair value for issued debt securities is determined using the discounted cash flow model adjusted for UniCredit credit risk. The Credit Spread takes seniority into account. On the other hand fair value for other financial liabilities is determined using the discounted cash flow model adjusted for UniCredit credit risk. Description of the valuation techniques Specific valuation techniques are used to value positions for which a market price is not directly observable from market sources. The Group uses well known valuation techniques for determining fair values of financial and non-financial instruments that are not actively traded and quoted. The valuation techniques used for Level 2 and 3 assets and liabilities are described below. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 209 Model risk Financial models are used for the valuation of the financial instruments if the direct market quotes are not deemed reliable. In general the model risk is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the choice of model. It is possible to value the same financial instrument by using alternative models which could provide different results in term of pricing. The model risk adjustment refers to the risk that the actual fair value of the instrument differs from the value produced by the model. Close-out cost It measures the implicit cost of closing a trading position. The position can be closed by a long position (or purchase in the case of a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open position. The close-out costs are typically derived from the bid/ask spreads observed on the market. It accounts for the fact that a position is valued at mid but can only be closed at bid or ask. This adjustment is not needed when the position is marked at bid or ask and already represents an exit price. In addition, a close-out adjustment of the NAV is applied when there are some penalties relating to position write-off in an investment fund. Other adjustments Other fair value adjustments, which are not included in the previous categories, could be taken into consideration to align the evaluation to the current exit price, also according to the level of liquidity of the market and valuation parameters, e.g. adjustment of equity prices whose quotation on the market are not representative of the effective exit price. Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis Financial instrument not carried at fair value, for example retail loans and deposit, and credit facilities extended to corporate clients are not managed on a fair value basis. For these instruments fair value is calculated for disclosure purposes only and does not impact the balance sheet or the profit or loss. Additionally, since these instruments generally do not trade, there is significant management judgment required to determine their fair values as defined by IFRS13. Cash and cash balances Cash and cash balances are not carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. Financial assets at amortised cost For securities, fair value is determined according to what reported in section “Assets and liabilities measured at fair value on a recurring basis - Debt securities”. On the other hands, fair value for performing loans to banks and customers is determined using the discounted cash flow model adjusted for credit risk. Some portfolios are valued according to simplified approaches, which however take into account the financial features of the financial instruments. Property, plant and equipment The fair value of under construction properties, obtained through the enforcement of guarantees received and the right of use of leased assets is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Financial liabilities at amortised cost Fair value for issued debt securities is determined using the discounted cash flow model adjusted for UniCredit credit risk. The Credit Spread takes seniority into account. On the other hand fair value for other financial liabilities is determined using the discounted cash flow model adjusted for UniCredit credit risk. Description of the valuation techniques Specific valuation techniques are used to value positions for which a market price is not directly observable from market sources. The Group uses well known valuation techniques for determining fair values of financial and non-financial instruments that are not actively traded and quoted. The valuation techniques used for Level 2 and 3 assets and liabilities are described below. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 209 Model risk Financial models are used for the valuation of the financial instruments if the direct market quotes are not deemed reliable. In general the model risk is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the choice of model. It is possible to value the same financial instrument by using alternative models which could provide different results in term of pricing. The model risk adjustment refers to the risk that the actual fair value of the instrument differs from the value produced by the model. Close-out cost It measures the implicit cost of closing a trading position. The position can be closed by a long position (or purchase in the case of a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open position. The close-out costs are typically derived from the bid/ask spreads observed on the market. It accounts for the fact that a position is valued at mid but can only be closed at bid or ask. This adjustment is not needed when the position is marked at bid or ask and already represents an exit price. In addition, a close-out adjustment of the NAV is applied when there are some penalties relating to position write-off in an investment fund. Other adjustments Other fair value adjustments, which are not included in the previous categories, could be taken into consideration to align the evaluation to the current exit price, also according to the level of liquidity of the market and valuation parameters, e.g. adjustment of equity prices whose quotation on the market are not representative of the effective exit price. Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis Financial instrument not carried at fair value, for example retail loans and deposit, and credit facilities extended to corporate clients are not managed on a fair value basis. For these instruments fair value is calculated for disclosure purposes only and does not impact the balance sheet or the profit or loss. Additionally, since these instruments generally do not trade, there is significant management judgment required to determine their fair values as defined by IFRS13. Cash and cash balances Cash and cash balances are not carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. Financial assets at amortised cost For securities, fair value is determined according to what reported in section “Assets and liabilities measured at fair value on a recurring basis - Debt securities”. On the other hands, fair value for performing loans to banks and customers is determined using the discounted cash flow model adjusted for credit risk. Some portfolios are valued according to simplified approaches, which however take into account the financial features of the financial instruments. Property, plant and equipment The fair value of under construction properties, obtained through the enforcement of guarantees received and the right of use of leased assets is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Financial liabilities at amortised cost Fair value for issued debt securities is determined using the discounted cash flow model adjusted for UniCredit credit risk. The Credit Spread takes seniority into account. On the other hand fair value for other financial liabilities is determined using the discounted cash flow model adjusted for UniCredit credit risk. Description of the valuation techniques Specific valuation techniques are used to value positions for which a market price is not directly observable from market sources. The Group uses well known valuation techniques for determining fair values of financial and non-financial instruments that are not actively traded and quoted. The valuation techniques used for Level 2 and 3 assets and liabilities are described below. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 210 2021 Annual Report and Accounts · UniCredit Option Pricing Model Option Pricing models are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return. Discounted cash flow Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument. The model requires the estimation of the cash flow and the adoption of market’s parameters for the discounting: discount rate or discount margin reflects the credit and/or funding spreads required by the market for instruments with similar risk and liquidity profiles to produce a “discounted value”. The fair value of the contract is given by the sum of the present values of future cash flows. Hazard Rate Model The valuation of CDS instruments (Credit Default Swap) requires the knowledge of the entity’s survival probability at future dates. The estimate of this probability curve uses the standard model for survival probabilities and requires as parameters the credit default swap market quotes on standard future dates in addition to the risk-free curve and the expected recovery rate. The hazard rate is part of the described process and it indicates the instantaneous probability of default at different future instants. Market Approach A valuation technique that uses prices generated by market transactions involving identical or comparable (i.e. similar) assets, liabilities or a group of assets and liabilities. Gordon Growth Model A model used to determine the intrinsic value of a stock, based on a strip of future cash flows growing at a constant rate. Given a single cash flow and a hypothesis on constant growth through time, the model estimates the present value of future cash flows. Dividend Discount Model A model used to determine the value of a stock based on expectations on its future dividend flow. Given a series of forecasts on dividends payable in future exercises and an hypothesis on the subsequent annual growth of dividends at a constant rate, the model estimates the fair value of a stock as the sum of the current value of all future dividends Adjusted NAV Net asset value is the total value of a fund’s assets less liabilities. An increase in net asset value would result in an increase in a fair value measure. Usually for funds classified as Level 3, NAV represents a risk free valuation, therefore in this case the NAV is adjusted so as to consider the issuer’s default risk. Description of the inputs used to measure the fair value of items categorised in Level 2 and 3 Hereby a description of the main significant inputs used to measure the fair value of items categorised in Level 2 and 3 of the fair value hierarchy. Volatility Volatility is the measure of the variation of price of a financial instrument over time. In particular, volatility measures the speed and severity of market price changes for an instrument, parameter or market index given the particular instrument, parameter or index changes in value over time, expressed as a percentage of relative change in price. The higher the volatility of the underlying, the riskier the instrument. In general, long option positions benefit from increases in volatility, whereas short option positions will suffer losses. There are different types of volatility: • volatility of interest rate; • inflation volatility; • volatility of foreign exchange; • volatility of equity stocks, equity or other indexes/prices. Correlation Correlation is a measure of the relationship between the movements of two variables. When parameters are positively correlated, an increase in correlation results in a higher fair value measure. On the contrary, given a short correlation position, an increase in correlation, in isolation, would generally result in a decrease in a fair value measure. Therefore, changes in correlation levels can have a major impact, favourable or unfavourable, on the fair value of an instrument, depending on the type of correlation. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 210 2021 Annual Report and Accounts · UniCredit Option Pricing Model Option Pricing models are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return. Discounted cash flow Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument. The model requires the estimation of the cash flow and the adoption of market’s parameters for the discounting: discount rate or discount margin reflects the credit and/or funding spreads required by the market for instruments with similar risk and liquidity profiles to produce a “discounted value”. The fair value of the contract is given by the sum of the present values of future cash flows. Hazard Rate Model The valuation of CDS instruments (Credit Default Swap) requires the knowledge of the entity’s survival probability at future dates. The estimate of this probability curve uses the standard model for survival probabilities and requires as parameters the credit default swap market quotes on standard future dates in addition to the risk-free curve and the expected recovery rate. The hazard rate is part of the described process and it indicates the instantaneous probability of default at different future instants. Market Approach A valuation technique that uses prices generated by market transactions involving identical or comparable (i.e. similar) assets, liabilities or a group of assets and liabilities. Gordon Growth Model A model used to determine the intrinsic value of a stock, based on a strip of future cash flows growing at a constant rate. Given a single cash flow and a hypothesis on constant growth through time, the model estimates the present value of future cash flows. Dividend Discount Model A model used to determine the value of a stock based on expectations on its future dividend flow. Given a series of forecasts on dividends payable in future exercises and an hypothesis on the subsequent annual growth of dividends at a constant rate, the model estimates the fair value of a stock as the sum of the current value of all future dividends Adjusted NAV Net asset value is the total value of a fund’s assets less liabilities. An increase in net asset value would result in an increase in a fair value measure. Usually for funds classified as Level 3, NAV represents a risk free valuation, therefore in this case the NAV is adjusted so as to consider the issuer’s default risk. Description of the inputs used to measure the fair value of items categorised in Level 2 and 3 Hereby a description of the main significant inputs used to measure the fair value of items categorised in Level 2 and 3 of the fair value hierarchy. Volatility Volatility is the measure of the variation of price of a financial instrument over time. In particular, volatility measures the speed and severity of market price changes for an instrument, parameter or market index given the particular instrument, parameter or index changes in value over time, expressed as a percentage of relative change in price. The higher the volatility of the underlying, the riskier the instrument. In general, long option positions benefit from increases in volatility, whereas short option positions will suffer losses. There are different types of volatility: • volatility of interest rate; • inflation volatility; • volatility of foreign exchange; • volatility of equity stocks, equity or other indexes/prices. Correlation Correlation is a measure of the relationship between the movements of two variables. When parameters are positively correlated, an increase in correlation results in a higher fair value measure. On the contrary, given a short correlation position, an increase in correlation, in isolation, would generally result in a decrease in a fair value measure. Therefore, changes in correlation levels can have a major impact, favourable or unfavourable, on the fair value of an instrument, depending on the type of correlation. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 210 2021 Annual Report and Accounts · UniCredit Option Pricing Model Option Pricing models are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return. Discounted cash flow Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument. The model requires the estimation of the cash flow and the adoption of market’s parameters for the discounting: discount rate or discount margin reflects the credit and/or funding spreads required by the market for instruments with similar risk and liquidity profiles to produce a “discounted value”. The fair value of the contract is given by the sum of the present values of future cash flows. Hazard Rate Model The valuation of CDS instruments (Credit Default Swap) requires the knowledge of the entity’s survival probability at future dates. The estimate of this probability curve uses the standard model for survival probabilities and requires as parameters the credit default swap market quotes on standard future dates in addition to the risk-free curve and the expected recovery rate. The hazard rate is part of the described process and it indicates the instantaneous probability of default at different future instants. Market Approach A valuation technique that uses prices generated by market transactions involving identical or comparable (i.e. similar) assets, liabilities or a group of assets and liabilities. Gordon Growth Model A model used to determine the intrinsic value of a stock, based on a strip of future cash flows growing at a constant rate. Given a single cash flow and a hypothesis on constant growth through time, the model estimates the present value of future cash flows. Dividend Discount Model A model used to determine the value of a stock based on expectations on its future dividend flow. Given a series of forecasts on dividends payable in future exercises and an hypothesis on the subsequent annual growth of dividends at a constant rate, the model estimates the fair value of a stock as the sum of the current value of all future dividends Adjusted NAV Net asset value is the total value of a fund’s assets less liabilities. An increase in net asset value would result in an increase in a fair value measure. Usually for funds classified as Level 3, NAV represents a risk free valuation, therefore in this case the NAV is adjusted so as to consider the issuer’s default risk. Description of the inputs used to measure the fair value of items categorised in Level 2 and 3 Hereby a description of the main significant inputs used to measure the fair value of items categorised in Level 2 and 3 of the fair value hierarchy. Volatility Volatility is the measure of the variation of price of a financial instrument over time. In particular, volatility measures the speed and severity of market price changes for an instrument, parameter or market index given the particular instrument, parameter or index changes in value over time, expressed as a percentage of relative change in price. The higher the volatility of the underlying, the riskier the instrument. In general, long option positions benefit from increases in volatility, whereas short option positions will suffer losses. There are different types of volatility: • volatility of interest rate; • inflation volatility; • volatility of foreign exchange; • volatility of equity stocks, equity or other indexes/prices. Correlation Correlation is a measure of the relationship between the movements of two variables. When parameters are positively correlated, an increase in correlation results in a higher fair value measure. On the contrary, given a short correlation position, an increase in correlation, in isolation, would generally result in a decrease in a fair value measure. Therefore, changes in correlation levels can have a major impact, favourable or unfavourable, on the fair value of an instrument, depending on the type of correlation. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 210 2021 Annual Report and Accounts · UniCredit Option Pricing Model Option Pricing models are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return. Discounted cash flow Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument. The model requires the estimation of the cash flow and the adoption of market’s parameters for the discounting: discount rate or discount margin reflects the credit and/or funding spreads required by the market for instruments with similar risk and liquidity profiles to produce a “discounted value”. The fair value of the contract is given by the sum of the present values of future cash flows. Hazard Rate Model The valuation of CDS instruments (Credit Default Swap) requires the knowledge of the entity’s survival probability at future dates. The estimate of this probability curve uses the standard model for survival probabilities and requires as parameters the credit default swap market quotes on standard future dates in addition to the risk-free curve and the expected recovery rate. The hazard rate is part of the described process and it indicates the instantaneous probability of default at different future instants. Market Approach A valuation technique that uses prices generated by market transactions involving identical or comparable (i.e. similar) assets, liabilities or a group of assets and liabilities. Gordon Growth Model A model used to determine the intrinsic value of a stock, based on a strip of future cash flows growing at a constant rate. Given a single cash flow and a hypothesis on constant growth through time, the model estimates the present value of future cash flows. Dividend Discount Model A model used to determine the value of a stock based on expectations on its future dividend flow. Given a series of forecasts on dividends payable in future exercises and an hypothesis on the subsequent annual growth of dividends at a constant rate, the model estimates the fair value of a stock as the sum of the current value of all future dividends Adjusted NAV Net asset value is the total value of a fund’s assets less liabilities. An increase in net asset value would result in an increase in a fair value measure. Usually for funds classified as Level 3, NAV represents a risk free valuation, therefore in this case the NAV is adjusted so as to consider the issuer’s default risk. Description of the inputs used to measure the fair value of items categorised in Level 2 and 3 Hereby a description of the main significant inputs used to measure the fair value of items categorised in Level 2 and 3 of the fair value hierarchy. Volatility Volatility is the measure of the variation of price of a financial instrument over time. In particular, volatility measures the speed and severity of market price changes for an instrument, parameter or market index given the particular instrument, parameter or index changes in value over time, expressed as a percentage of relative change in price. The higher the volatility of the underlying, the riskier the instrument. In general, long option positions benefit from increases in volatility, whereas short option positions will suffer losses. There are different types of volatility: • volatility of interest rate; • inflation volatility; • volatility of foreign exchange; • volatility of equity stocks, equity or other indexes/prices. Correlation Correlation is a measure of the relationship between the movements of two variables. When parameters are positively correlated, an increase in correlation results in a higher fair value measure. On the contrary, given a short correlation position, an increase in correlation, in isolation, would generally result in a decrease in a fair value measure. Therefore, changes in correlation levels can have a major impact, favourable or unfavourable, on the fair value of an instrument, depending on the type of correlation. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 210 2021 Annual Report and Accounts · UniCredit Option Pricing Model Option Pricing models are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return. Discounted cash flow Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument. The model requires the estimation of the cash flow and the adoption of market’s parameters for the discounting: discount rate or discount margin reflects the credit and/or funding spreads required by the market for instruments with similar risk and liquidity profiles to produce a “discounted value”. The fair value of the contract is given by the sum of the present values of future cash flows. Hazard Rate Model The valuation of CDS instruments (Credit Default Swap) requires the knowledge of the entity’s survival probability at future dates. The estimate of this probability curve uses the standard model for survival probabilities and requires as parameters the credit default swap market quotes on standard future dates in addition to the risk-free curve and the expected recovery rate. The hazard rate is part of the described process and it indicates the instantaneous probability of default at different future instants. Market Approach A valuation technique that uses prices generated by market transactions involving identical or comparable (i.e. similar) assets, liabilities or a group of assets and liabilities. Gordon Growth Model A model used to determine the intrinsic value of a stock, based on a strip of future cash flows growing at a constant rate. Given a single cash flow and a hypothesis on constant growth through time, the model estimates the present value of future cash flows. Dividend Discount Model A model used to determine the value of a stock based on expectations on its future dividend flow. Given a series of forecasts on dividends payable in future exercises and an hypothesis on the subsequent annual growth of dividends at a constant rate, the model estimates the fair value of a stock as the sum of the current value of all future dividends Adjusted NAV Net asset value is the total value of a fund’s assets less liabilities. An increase in net asset value would result in an increase in a fair value measure. Usually for funds classified as Level 3, NAV represents a risk free valuation, therefore in this case the NAV is adjusted so as to consider the issuer’s default risk. Description of the inputs used to measure the fair value of items categorised in Level 2 and 3 Hereby a description of the main significant inputs used to measure the fair value of items categorised in Level 2 and 3 of the fair value hierarchy. Volatility Volatility is the measure of the variation of price of a financial instrument over time. In particular, volatility measures the speed and severity of market price changes for an instrument, parameter or market index given the particular instrument, parameter or index changes in value over time, expressed as a percentage of relative change in price. The higher the volatility of the underlying, the riskier the instrument. In general, long option positions benefit from increases in volatility, whereas short option positions will suffer losses. There are different types of volatility: • volatility of interest rate; • inflation volatility; • volatility of foreign exchange; • volatility of equity stocks, equity or other indexes/prices. Correlation Correlation is a measure of the relationship between the movements of two variables. When parameters are positively correlated, an increase in correlation results in a higher fair value measure. On the contrary, given a short correlation position, an increase in correlation, in isolation, would generally result in a decrease in a fair value measure. Therefore, changes in correlation levels can have a major impact, favourable or unfavourable, on the fair value of an instrument, depending on the type of correlation. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 211 Correlation is a pricing input for a derivative product where the payoff is driven by multiple underlying risks. The level of correlation used in the valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks. Dividends The derivation of a forward price for an individual stock or index is important both for measuring fair value for forward or swap contracts and for measuring fair value using option pricing models. The relationship between the current stock price and the forward price is based on a combination of expected future dividend levels and payment timings and, to a lesser extent, the relevant funding rates applicable to the stock in question. The dividend yield and timing represent the most significant parameter in determining fair value for instruments that are sensitive to an equity forward price. Interest rate curve The calculation of the interest rate curve is based on standard bootstrapping techniques relying on the set of quotes of appropriate financial instruments, for each currency, which turns interest rates in zero-coupon. Less liquid currencies interest rate curves refer to the rates in currencies for which a market liquidity doesn’t exist in terms of tightness, depth and resiliency. Inflation swap rate The determination of forward levels for inflation indexes is based on swap quote over inflation indexes. Swap over inflation may present a low liquidity level whether there is no liquid market in terms of rigidity, deepness and resistance. Credit spreads Credit spreads reflects the credit quality of the associated credit name. The credit spread of a particular security is reported in relation to the yield on a benchmark security or reference rate and is generally expressed in terms of basis points. In the loan evaluation model, the credit spread is used to estimate the market risk premium applied to discounting the cash-flows Loss Given Default (“LGD”)/Recovery Rate LGD also known as loss severity (the inverse concept is the recovery rate) represents the percentage of contractual cash flows lost in the event of a default, expressed as the net amount of loss relating to the outstanding balance. An increase in the loss severity, in isolation, would result in a decrease in a fair value measure. Loss given default is facility-specific because such losses are generally understood to be influenced by key transaction characteristics such as the presence of collateral and the degree of subordination. Price Where market prices are not observable, comparison via proxy is used to measure a fair value of the instrument. Prepayment Rate (“PR”) The PR is the estimated rate at which forecasted prepayments of principal of the related debt instrument are expected to occur. Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. In general, as prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending on the nature of the security and the direction of the change in the weighted average life. Probability of Default (“PD”) The probability of default is an estimate of the likelihood of not collecting contractual amounts. It provides an estimate of the likelihood that a client of a financial institution will be unable to meet its debt obligations over a particular time horizon. The PD of an obligor does not only depend on the risk characteristics of that particular obligor but also the economic environment and the degree to which it affects the obligor. Early conversion The early conversion is the estimate of the probability that the liability would be converted into equity earlier than the terms stated. EBITDA EBITDA is an indicator of the current operating profitability of the business, that is the income generated by the use of the company’s assets and the commercialisation of the products manufactured. Ke The Ke (cost of capital) represents the minimum rate that the company has to offer to its shareholders as remuneration for the funds received. Growth rate It is the constant growth rate used for the future dividends estimate. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 211 Correlation is a pricing input for a derivative product where the payoff is driven by multiple underlying risks. The level of correlation used in the valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks. Dividends The derivation of a forward price for an individual stock or index is important both for measuring fair value for forward or swap contracts and for measuring fair value using option pricing models. The relationship between the current stock price and the forward price is based on a combination of expected future dividend levels and payment timings and, to a lesser extent, the relevant funding rates applicable to the stock in question. The dividend yield and timing represent the most significant parameter in determining fair value for instruments that are sensitive to an equity forward price. Interest rate curve The calculation of the interest rate curve is based on standard bootstrapping techniques relying on the set of quotes of appropriate financial instruments, for each currency, which turns interest rates in zero-coupon. Less liquid currencies interest rate curves refer to the rates in currencies for which a market liquidity doesn’t exist in terms of tightness, depth and resiliency. Inflation swap rate The determination of forward levels for inflation indexes is based on swap quote over inflation indexes. Swap over inflation may present a low liquidity level whether there is no liquid market in terms of rigidity, deepness and resistance. Credit spreads Credit spreads reflects the credit quality of the associated credit name. The credit spread of a particular security is reported in relation to the yield on a benchmark security or reference rate and is generally expressed in terms of basis points. In the loan evaluation model, the credit spread is used to estimate the market risk premium applied to discounting the cash-flows Loss Given Default (“LGD”)/Recovery Rate LGD also known as loss severity (the inverse concept is the recovery rate) represents the percentage of contractual cash flows lost in the event of a default, expressed as the net amount of loss relating to the outstanding balance. An increase in the loss severity, in isolation, would result in a decrease in a fair value measure. Loss given default is facility-specific because such losses are generally understood to be influenced by key transaction characteristics such as the presence of collateral and the degree of subordination. Price Where market prices are not observable, comparison via proxy is used to measure a fair value of the instrument. Prepayment Rate (“PR”) The PR is the estimated rate at which forecasted prepayments of principal of the related debt instrument are expected to occur. Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. In general, as prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending on the nature of the security and the direction of the change in the weighted average life. Probability of Default (“PD”) The probability of default is an estimate of the likelihood of not collecting contractual amounts. It provides an estimate of the likelihood that a client of a financial institution will be unable to meet its debt obligations over a particular time horizon. The PD of an obligor does not only depend on the risk characteristics of that particular obligor but also the economic environment and the degree to which it affects the obligor. Early conversion The early conversion is the estimate of the probability that the liability would be converted into equity earlier than the terms stated. EBITDA EBITDA is an indicator of the current operating profitability of the business, that is the income generated by the use of the company’s assets and the commercialisation of the products manufactured. Ke The Ke (cost of capital) represents the minimum rate that the company has to offer to its shareholders as remuneration for the funds received. Growth rate It is the constant growth rate used for the future dividends estimate. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 211 Correlation is a pricing input for a derivative product where the payoff is driven by multiple underlying risks. The level of correlation used in the valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks. Dividends The derivation of a forward price for an individual stock or index is important both for measuring fair value for forward or swap contracts and for measuring fair value using option pricing models. The relationship between the current stock price and the forward price is based on a combination of expected future dividend levels and payment timings and, to a lesser extent, the relevant funding rates applicable to the stock in question. The dividend yield and timing represent the most significant parameter in determining fair value for instruments that are sensitive to an equity forward price. Interest rate curve The calculation of the interest rate curve is based on standard bootstrapping techniques relying on the set of quotes of appropriate financial instruments, for each currency, which turns interest rates in zero-coupon. Less liquid currencies interest rate curves refer to the rates in currencies for which a market liquidity doesn’t exist in terms of tightness, depth and resiliency. Inflation swap rate The determination of forward levels for inflation indexes is based on swap quote over inflation indexes. Swap over inflation may present a low liquidity level whether there is no liquid market in terms of rigidity, deepness and resistance. Credit spreads Credit spreads reflects the credit quality of the associated credit name. The credit spread of a particular security is reported in relation to the yield on a benchmark security or reference rate and is generally expressed in terms of basis points. In the loan evaluation model, the credit spread is used to estimate the market risk premium applied to discounting the cash-flows Loss Given Default (“LGD”)/Recovery Rate LGD also known as loss severity (the inverse concept is the recovery rate) represents the percentage of contractual cash flows lost in the event of a default, expressed as the net amount of loss relating to the outstanding balance. An increase in the loss severity, in isolation, would result in a decrease in a fair value measure. Loss given default is facility-specific because such losses are generally understood to be influenced by key transaction characteristics such as the presence of collateral and the degree of subordination. Price Where market prices are not observable, comparison via proxy is used to measure a fair value of the instrument. Prepayment Rate (“PR”) The PR is the estimated rate at which forecasted prepayments of principal of the related debt instrument are expected to occur. Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. In general, as prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending on the nature of the security and the direction of the change in the weighted average life. Probability of Default (“PD”) The probability of default is an estimate of the likelihood of not collecting contractual amounts. It provides an estimate of the likelihood that a client of a financial institution will be unable to meet its debt obligations over a particular time horizon. The PD of an obligor does not only depend on the risk characteristics of that particular obligor but also the economic environment and the degree to which it affects the obligor. Early conversion The early conversion is the estimate of the probability that the liability would be converted into equity earlier than the terms stated. EBITDA EBITDA is an indicator of the current operating profitability of the business, that is the income generated by the use of the company’s assets and the commercialisation of the products manufactured. Ke The Ke (cost of capital) represents the minimum rate that the company has to offer to its shareholders as remuneration for the funds received. Growth rate It is the constant growth rate used for the future dividends estimate. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 211 Correlation is a pricing input for a derivative product where the payoff is driven by multiple underlying risks. The level of correlation used in the valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks. Dividends The derivation of a forward price for an individual stock or index is important both for measuring fair value for forward or swap contracts and for measuring fair value using option pricing models. The relationship between the current stock price and the forward price is based on a combination of expected future dividend levels and payment timings and, to a lesser extent, the relevant funding rates applicable to the stock in question. The dividend yield and timing represent the most significant parameter in determining fair value for instruments that are sensitive to an equity forward price. Interest rate curve The calculation of the interest rate curve is based on standard bootstrapping techniques relying on the set of quotes of appropriate financial instruments, for each currency, which turns interest rates in zero-coupon. Less liquid currencies interest rate curves refer to the rates in currencies for which a market liquidity doesn’t exist in terms of tightness, depth and resiliency. Inflation swap rate The determination of forward levels for inflation indexes is based on swap quote over inflation indexes. Swap over inflation may present a low liquidity level whether there is no liquid market in terms of rigidity, deepness and resistance. Credit spreads Credit spreads reflects the credit quality of the associated credit name. The credit spread of a particular security is reported in relation to the yield on a benchmark security or reference rate and is generally expressed in terms of basis points. In the loan evaluation model, the credit spread is used to estimate the market risk premium applied to discounting the cash-flows Loss Given Default (“LGD”)/Recovery Rate LGD also known as loss severity (the inverse concept is the recovery rate) represents the percentage of contractual cash flows lost in the event of a default, expressed as the net amount of loss relating to the outstanding balance. An increase in the loss severity, in isolation, would result in a decrease in a fair value measure. Loss given default is facility-specific because such losses are generally understood to be influenced by key transaction characteristics such as the presence of collateral and the degree of subordination. Price Where market prices are not observable, comparison via proxy is used to measure a fair value of the instrument. Prepayment Rate (“PR”) The PR is the estimated rate at which forecasted prepayments of principal of the related debt instrument are expected to occur. Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. In general, as prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending on the nature of the security and the direction of the change in the weighted average life. Probability of Default (“PD”) The probability of default is an estimate of the likelihood of not collecting contractual amounts. It provides an estimate of the likelihood that a client of a financial institution will be unable to meet its debt obligations over a particular time horizon. The PD of an obligor does not only depend on the risk characteristics of that particular obligor but also the economic environment and the degree to which it affects the obligor. Early conversion The early conversion is the estimate of the probability that the liability would be converted into equity earlier than the terms stated. EBITDA EBITDA is an indicator of the current operating profitability of the business, that is the income generated by the use of the company’s assets and the commercialisation of the products manufactured. Ke The Ke (cost of capital) represents the minimum rate that the company has to offer to its shareholders as remuneration for the funds received. Growth rate It is the constant growth rate used for the future dividends estimate. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 211 Correlation is a pricing input for a derivative product where the payoff is driven by multiple underlying risks. The level of correlation used in the valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks. Dividends The derivation of a forward price for an individual stock or index is important both for measuring fair value for forward or swap contracts and for measuring fair value using option pricing models. The relationship between the current stock price and the forward price is based on a combination of expected future dividend levels and payment timings and, to a lesser extent, the relevant funding rates applicable to the stock in question. The dividend yield and timing represent the most significant parameter in determining fair value for instruments that are sensitive to an equity forward price. Interest rate curve The calculation of the interest rate curve is based on standard bootstrapping techniques relying on the set of quotes of appropriate financial instruments, for each currency, which turns interest rates in zero-coupon. Less liquid currencies interest rate curves refer to the rates in currencies for which a market liquidity doesn’t exist in terms of tightness, depth and resiliency. Inflation swap rate The determination of forward levels for inflation indexes is based on swap quote over inflation indexes. Swap over inflation may present a low liquidity level whether there is no liquid market in terms of rigidity, deepness and resistance. Credit spreads Credit spreads reflects the credit quality of the associated credit name. The credit spread of a particular security is reported in relation to the yield on a benchmark security or reference rate and is generally expressed in terms of basis points. In the loan evaluation model, the credit spread is used to estimate the market risk premium applied to discounting the cash-flows Loss Given Default (“LGD”)/Recovery Rate LGD also known as loss severity (the inverse concept is the recovery rate) represents the percentage of contractual cash flows lost in the event of a default, expressed as the net amount of loss relating to the outstanding balance. An increase in the loss severity, in isolation, would result in a decrease in a fair value measure. Loss given default is facility-specific because such losses are generally understood to be influenced by key transaction characteristics such as the presence of collateral and the degree of subordination. Price Where market prices are not observable, comparison via proxy is used to measure a fair value of the instrument. Prepayment Rate (“PR”) The PR is the estimated rate at which forecasted prepayments of principal of the related debt instrument are expected to occur. Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. In general, as prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending on the nature of the security and the direction of the change in the weighted average life. Probability of Default (“PD”) The probability of default is an estimate of the likelihood of not collecting contractual amounts. It provides an estimate of the likelihood that a client of a financial institution will be unable to meet its debt obligations over a particular time horizon. The PD of an obligor does not only depend on the risk characteristics of that particular obligor but also the economic environment and the degree to which it affects the obligor. Early conversion The early conversion is the estimate of the probability that the liability would be converted into equity earlier than the terms stated. EBITDA EBITDA is an indicator of the current operating profitability of the business, that is the income generated by the use of the company’s assets and the commercialisation of the products manufactured. Ke The Ke (cost of capital) represents the minimum rate that the company has to offer to its shareholders as remuneration for the funds received. Growth rate It is the constant growth rate used for the future dividends estimate. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 212 2021 Annual Report and Accounts · UniCredit Quantitative information on significant unobservable inputs used in the fair value measurement: accounting portfolios measured at fair value categorised as Level 3 The following table shows the relevant unobservable parameters for the valuation of financial instruments classified at fair value level 3 according to the IFRS13 definition. (€ million) PRODUCT CATEGORIES FAIR VALUE ASSETS FAIR VALUE LIABILITIES VALUATION TECHNIQUES UNOBSERVABLE PARAMETERS UNCERTAINTY RANGES Derivatives Financial Equity & Commodities 563 333 Option Pricing Model Volatility 3% 15% Correlation 2% 29% Option Pricing Model/ Discounted Cash Flows Dividends Yield 1% 26% Foreign Exchange 64 17 Option Pricing Model Volatility 0% 66% Discounted Cash Flows Interest rate (bps) 0 141 Interest Rate 128 180 Discounted Cash Flows Swap Rate (bps) 0 141 Inflation Swap Rate (bps) 3 12 Option Pricing Model Inflation Volatility 1% 3% Interest Rate Volatility 0% 29% Correlation 0% 20% Credit 3 93 Hazard Rate Model Credit Spread (bps) 1 29 Recovery rate 0% 5% Debt Securities and Loans Corporate/ Government/Other 1,702 1,187 Market Approach Credit Spread (bps) 1 100 Mortgage & Asset Backed Securities 1,207 0 Discounted Cash Flows Credit Spread (bps) 30 1835 Recovery rate 0% 27% Default Rate 0% 1% Prepayment Rate 0% 6% Equity Securities Unlisted Equity & Holdings 1,513 0 Market Approach Price (% of used value) 0% 4% Gordon Growth Model Ke 8% 12% Growth Rate 1% 4% Units in Investment Funds Real Estate & Other Funds 1,471 0 Adjusted Nav PD 1% 30% LGD 35% 60% Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 212 2021 Annual Report and Accounts · UniCredit Quantitative information on significant unobservable inputs used in the fair value measurement: accounting portfolios measured at fair value categorised as Level 3 The following table shows the relevant unobservable parameters for the valuation of financial instruments classified at fair value level 3 according to the IFRS13 definition. (€ million) PRODUCT CATEGORIES FAIR VALUE ASSETS FAIR VALUE LIABILITIES VALUATION TECHNIQUES UNOBSERVABLE PARAMETERS UNCERTAINTY RANGES Derivatives Financial Equity & Commodities 563 333 Option Pricing Model Volatility 3% 15% Correlation 2% 29% Option Pricing Model/ Discounted Cash Flows Dividends Yield 1% 26% Foreign Exchange 64 17 Option Pricing Model Volatility 0% 66% Discounted Cash Flows Interest rate (bps) 0 141 Interest Rate 128 180 Discounted Cash Flows Swap Rate (bps) 0 141 Inflation Swap Rate (bps) 3 12 Option Pricing Model Inflation Volatility 1% 3% Interest Rate Volatility 0% 29% Correlation 0% 20% Credit 3 93 Hazard Rate Model Credit Spread (bps) 1 29 Recovery rate 0% 5% Debt Securities and Loans Corporate/ Government/Other 1,702 1,187 Market Approach Credit Spread (bps) 1 100 Mortgage & Asset Backed Securities 1,207 0 Discounted Cash Flows Credit Spread (bps) 30 1835 Recovery rate 0% 27% Default Rate 0% 1% Prepayment Rate 0% 6% Equity Securities Unlisted Equity & Holdings 1,513 0 Market Approach Price (% of used value) 0% 4% Gordon Growth Model Ke 8% 12% Growth Rate 1% 4% Units in Investment Funds Real Estate & Other Funds 1,471 0 Adjusted Nav PD 1% 30% LGD 35% 60% Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 212 2021 Annual Report and Accounts · UniCredit Quantitative information on significant unobservable inputs used in the fair value measurement: accounting portfolios measured at fair value categorised as Level 3 The following table shows the relevant unobservable parameters for the valuation of financial instruments classified at fair value level 3 according to the IFRS13 definition. (€ million) PRODUCT CATEGORIES FAIR VALUE ASSETS FAIR VALUE LIABILITIES VALUATION TECHNIQUES UNOBSERVABLE PARAMETERS UNCERTAINTY RANGES Derivatives Financial Equity & Commodities 563 333 Option Pricing Model Volatility 3% 15% Correlation 2% 29% Option Pricing Model/ Discounted Cash Flows Dividends Yield 1% 26% Foreign Exchange 64 17 Option Pricing Model Volatility 0% 66% Discounted Cash Flows Interest rate (bps) 0 141 Interest Rate 128 180 Discounted Cash Flows Swap Rate (bps) 0 141 Inflation Swap Rate (bps) 3 12 Option Pricing Model Inflation Volatility 1% 3% Interest Rate Volatility 0% 29% Correlation 0% 20% Credit 3 93 Hazard Rate Model Credit Spread (bps) 1 29 Recovery rate 0% 5% Debt Securities and Loans Corporate/ Government/Other 1,702 1,187 Market Approach Credit Spread (bps) 1 100 Mortgage & Asset Backed Securities 1,207 0 Discounted Cash Flows Credit Spread (bps) 30 1835 Recovery rate 0% 27% Default Rate 0% 1% Prepayment Rate 0% 6% Equity Securities Unlisted Equity & Holdings 1,513 0 Market Approach Price (% of used value) 0% 4% Gordon Growth Model Ke 8% 12% Growth Rate 1% 4% Units in Investment Funds Real Estate & Other Funds 1,471 0 Adjusted Nav PD 1% 30% LGD 35% 60% Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 212 2021 Annual Report and Accounts · UniCredit Quantitative information on significant unobservable inputs used in the fair value measurement: accounting portfolios measured at fair value categorised as Level 3 The following table shows the relevant unobservable parameters for the valuation of financial instruments classified at fair value level 3 according to the IFRS13 definition. (€ million) PRODUCT CATEGORIES FAIR VALUE ASSETS FAIR VALUE LIABILITIES VALUATION TECHNIQUES UNOBSERVABLE PARAMETERS UNCERTAINTY RANGES Derivatives Financial Equity & Commodities 563 333 Option Pricing Model Volatility 3% 15% Correlation 2% 29% Option Pricing Model/ Discounted Cash Flows Dividends Yield 1% 26% Foreign Exchange 64 17 Option Pricing Model Volatility 0% 66% Discounted Cash Flows Interest rate (bps) 0 141 Interest Rate 128 180 Discounted Cash Flows Swap Rate (bps) 0 141 Inflation Swap Rate (bps) 3 12 Option Pricing Model Inflation Volatility 1% 3% Interest Rate Volatility 0% 29% Correlation 0% 20% Credit 3 93 Hazard Rate Model Credit Spread (bps) 1 29 Recovery rate 0% 5% Debt Securities and Loans Corporate/ Government/Other 1,702 1,187 Market Approach Credit Spread (bps) 1 100 Mortgage & Asset Backed Securities 1,207 0 Discounted Cash Flows Credit Spread (bps) 30 1835 Recovery rate 0% 27% Default Rate 0% 1% Prepayment Rate 0% 6% Equity Securities Unlisted Equity & Holdings 1,513 0 Market Approach Price (% of used value) 0% 4% Gordon Growth Model Ke 8% 12% Growth Rate 1% 4% Units in Investment Funds Real Estate & Other Funds 1,471 0 Adjusted Nav PD 1% 30% LGD 35% 60% Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 212 2021 Annual Report and Accounts · UniCredit Quantitative information on significant unobservable inputs used in the fair value measurement: accounting portfolios measured at fair value categorised as Level 3 The following table shows the relevant unobservable parameters for the valuation of financial instruments classified at fair value level 3 according to the IFRS13 definition. (€ million) PRODUCT CATEGORIES FAIR VALUE ASSETS FAIR VALUE LIABILITIES VALUATION TECHNIQUES UNOBSERVABLE PARAMETERS UNCERTAINTY RANGES Derivatives Financial Equity & Commodities 563 333 Option Pricing Model Volatility 3% 15% Correlation 2% 29% Option Pricing Model/ Discounted Cash Flows Dividends Yield 1% 26% Foreign Exchange 64 17 Option Pricing Model Volatility 0% 66% Discounted Cash Flows Interest rate (bps) 0 141 Interest Rate 128 180 Discounted Cash Flows Swap Rate (bps) 0 141 Inflation Swap Rate (bps) 3 12 Option Pricing Model Inflation Volatility 1% 3% Interest Rate Volatility 0% 29% Correlation 0% 20% Credit 3 93 Hazard Rate Model Credit Spread (bps) 1 29 Recovery rate 0% 5% Debt Securities and Loans Corporate/ Government/Other 1,702 1,187 Market Approach Credit Spread (bps) 1 100 Mortgage & Asset Backed Securities 1,207 0 Discounted Cash Flows Credit Spread (bps) 30 1835 Recovery rate 0% 27% Default Rate 0% 1% Prepayment Rate 0% 6% Equity Securities Unlisted Equity & Holdings 1,513 0 Market Approach Price (% of used value) 0% 4% Gordon Growth Model Ke 8% 12% Growth Rate 1% 4% Units in Investment Funds Real Estate & Other Funds 1,471 0 Adjusted Nav PD 1% 30% LGD 35% 60% Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 213 A.4.2 Valuations processes and sensitivities The Group verifies that the value attributed to each position reflects the current fair value in an appropriate way. Assets and liabilities subject to fair value measurements are determined using different techniques, among which (but not only) models such as discounted cash flow and internal models. On the basis of the observability of the input used, all the measurements are classified as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a financial instrument, measured at fair value, is valued through the use of one or more significant inputs not directly observable on the market, a further procedure for the price verification is implemented. These procedures include the revision of relevant historical data, the analysis of profits and losses, the individual valuation of each component for structural products and benchmarking. This approach uses subjective opinions and judgments based on experience and, therefore, it could require valuation adjustments which take into account the bid/ask spread, liquidity and counterparty risk, in addition to the valuation model type adopted. According to Group Market Risk Governance guidelines, in order to ensure the right separateness of the functions in charge of the model development and those in charge of the validation processes, all the valuation models developed by Group companies’ front offices are independently tested centrally and validated by Risk Managements functions. The aim of this independent control structure is evaluating the model risk from a theoretical solidity, calibration techniques eventually applied and appropriateness of the model for a specific product in a defined market point of views. In addition to the daily mark-to-market or mark-to-model valuation, the Independent Price Verification (“IPV”) is applied by from Market Risk function with the aim of guaranteeing a fair value provided by an independent structure for all instruments, illiquid included. Fair value sensitivity to variations in unobservable input used in the fair value computation for instruments categorised as Level 3 The sensitivities to change in the unobservable parameter for the different financial instrument categories of level 3 valued at fair value are presented in the table below as change of corresponding relevant parameters: • for derivatives on equities and commodities: 1% absolute of volatility, 10% relative of dividend, 1% absolute of correlation and 10% relative of volatility skew; • for foreign exchanges: 1% absolute of underlying volatility; • for interest rate derivatives: 1 basis point absolute of rates curves and volatilities or 1% absolute of swaption volatilities; • for credit derivatives: 1 basis point absolute of credit spread or, if Level 3 attribution for a derivative is due to counterparty classification as not performing, the CVA impact of a 5% absolute shift of the recovery rate; • for debt securities: 1 basis point absolute of credit spread; • for equities: 1% of the underlying; • for Units in Investment Funds quotes: 5 basis points absolute shift in PD and LGD, if evaluated leveraging on models considering counterparty credit risk as main risk factor, otherwise 1% of fair value. (€ million) PRODUCT CATEGORIES FAIR VALUE MOVEMENTS Derivatives Financial Equities & Commodities +/- 44.09 Foreign Exchange +/- 0.41 Interest Rate +/- 4.24 Credit +/- 3.53 Debt Securities and Loans Corporate/Government/Other +/- 0.87 Mortgage & Asset Backed Securities +/- 0.37 Equity Securities Unlisted Equity & Holdings +/- 15.26 Units in Investment Funds Real Estate & Other Funds +/- 1.56 Within the unlisted Level 3 Units in Investment Funds, measured using a model, the shares in Atlante and Italian Recovery Fund, former Atlante II, (€327 million at 31 December 2021) are classified and, within Equity Securities, the investments in the Voluntary Scheme (as at 31 December 2021 equal to €2 million). For further information refer to Notes to the consolidated accouns, Part B - Consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 213 A.4.2 Valuations processes and sensitivities The Group verifies that the value attributed to each position reflects the current fair value in an appropriate way. Assets and liabilities subject to fair value measurements are determined using different techniques, among which (but not only) models such as discounted cash flow and internal models. On the basis of the observability of the input used, all the measurements are classified as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a financial instrument, measured at fair value, is valued through the use of one or more significant inputs not directly observable on the market, a further procedure for the price verification is implemented. These procedures include the revision of relevant historical data, the analysis of profits and losses, the individual valuation of each component for structural products and benchmarking. This approach uses subjective opinions and judgments based on experience and, therefore, it could require valuation adjustments which take into account the bid/ask spread, liquidity and counterparty risk, in addition to the valuation model type adopted. According to Group Market Risk Governance guidelines, in order to ensure the right separateness of the functions in charge of the model development and those in charge of the validation processes, all the valuation models developed by Group companies’ front offices are independently tested centrally and validated by Risk Managements functions. The aim of this independent control structure is evaluating the model risk from a theoretical solidity, calibration techniques eventually applied and appropriateness of the model for a specific product in a defined market point of views. In addition to the daily mark-to-market or mark-to-model valuation, the Independent Price Verification (“IPV”) is applied by from Market Risk function with the aim of guaranteeing a fair value provided by an independent structure for all instruments, illiquid included. Fair value sensitivity to variations in unobservable input used in the fair value computation for instruments categorised as Level 3 The sensitivities to change in the unobservable parameter for the different financial instrument categories of level 3 valued at fair value are presented in the table below as change of corresponding relevant parameters: • for derivatives on equities and commodities: 1% absolute of volatility, 10% relative of dividend, 1% absolute of correlation and 10% relative of volatility skew; • for foreign exchanges: 1% absolute of underlying volatility; • for interest rate derivatives: 1 basis point absolute of rates curves and volatilities or 1% absolute of swaption volatilities; • for credit derivatives: 1 basis point absolute of credit spread or, if Level 3 attribution for a derivative is due to counterparty classification as not performing, the CVA impact of a 5% absolute shift of the recovery rate; • for debt securities: 1 basis point absolute of credit spread; • for equities: 1% of the underlying; • for Units in Investment Funds quotes: 5 basis points absolute shift in PD and LGD, if evaluated leveraging on models considering counterparty credit risk as main risk factor, otherwise 1% of fair value. (€ million) PRODUCT CATEGORIES FAIR VALUE MOVEMENTS Derivatives Financial Equities & Commodities +/- 44.09 Foreign Exchange +/- 0.41 Interest Rate +/- 4.24 Credit +/- 3.53 Debt Securities and Loans Corporate/Government/Other +/- 0.87 Mortgage & Asset Backed Securities +/- 0.37 Equity Securities Unlisted Equity & Holdings +/- 15.26 Units in Investment Funds Real Estate & Other Funds +/- 1.56 Within the unlisted Level 3 Units in Investment Funds, measured using a model, the shares in Atlante and Italian Recovery Fund, former Atlante II, (€327 million at 31 December 2021) are classified and, within Equity Securities, the investments in the Voluntary Scheme (as at 31 December 2021 equal to €2 million). For further information refer to Notes to the consolidated accouns, Part B - Consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 213 A.4.2 Valuations processes and sensitivities The Group verifies that the value attributed to each position reflects the current fair value in an appropriate way. Assets and liabilities subject to fair value measurements are determined using different techniques, among which (but not only) models such as discounted cash flow and internal models. On the basis of the observability of the input used, all the measurements are classified as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a financial instrument, measured at fair value, is valued through the use of one or more significant inputs not directly observable on the market, a further procedure for the price verification is implemented. These procedures include the revision of relevant historical data, the analysis of profits and losses, the individual valuation of each component for structural products and benchmarking. This approach uses subjective opinions and judgments based on experience and, therefore, it could require valuation adjustments which take into account the bid/ask spread, liquidity and counterparty risk, in addition to the valuation model type adopted. According to Group Market Risk Governance guidelines, in order to ensure the right separateness of the functions in charge of the model development and those in charge of the validation processes, all the valuation models developed by Group companies’ front offices are independently tested centrally and validated by Risk Managements functions. The aim of this independent control structure is evaluating the model risk from a theoretical solidity, calibration techniques eventually applied and appropriateness of the model for a specific product in a defined market point of views. In addition to the daily mark-to-market or mark-to-model valuation, the Independent Price Verification (“IPV”) is applied by from Market Risk function with the aim of guaranteeing a fair value provided by an independent structure for all instruments, illiquid included. Fair value sensitivity to variations in unobservable input used in the fair value computation for instruments categorised as Level 3 The sensitivities to change in the unobservable parameter for the different financial instrument categories of level 3 valued at fair value are presented in the table below as change of corresponding relevant parameters: • for derivatives on equities and commodities: 1% absolute of volatility, 10% relative of dividend, 1% absolute of correlation and 10% relative of volatility skew; • for foreign exchanges: 1% absolute of underlying volatility; • for interest rate derivatives: 1 basis point absolute of rates curves and volatilities or 1% absolute of swaption volatilities; • for credit derivatives: 1 basis point absolute of credit spread or, if Level 3 attribution for a derivative is due to counterparty classification as not performing, the CVA impact of a 5% absolute shift of the recovery rate; • for debt securities: 1 basis point absolute of credit spread; • for equities: 1% of the underlying; • for Units in Investment Funds quotes: 5 basis points absolute shift in PD and LGD, if evaluated leveraging on models considering counterparty credit risk as main risk factor, otherwise 1% of fair value. (€ million) PRODUCT CATEGORIES FAIR VALUE MOVEMENTS Derivatives Financial Equities & Commodities +/- 44.09 Foreign Exchange +/- 0.41 Interest Rate +/- 4.24 Credit +/- 3.53 Debt Securities and Loans Corporate/Government/Other +/- 0.87 Mortgage & Asset Backed Securities +/- 0.37 Equity Securities Unlisted Equity & Holdings +/- 15.26 Units in Investment Funds Real Estate & Other Funds +/- 1.56 Within the unlisted Level 3 Units in Investment Funds, measured using a model, the shares in Atlante and Italian Recovery Fund, former Atlante II, (€327 million at 31 December 2021) are classified and, within Equity Securities, the investments in the Voluntary Scheme (as at 31 December 2021 equal to €2 million). For further information refer to Notes to the consolidated accouns, Part B - Consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 213 A.4.2 Valuations processes and sensitivities The Group verifies that the value attributed to each position reflects the current fair value in an appropriate way. Assets and liabilities subject to fair value measurements are determined using different techniques, among which (but not only) models such as discounted cash flow and internal models. On the basis of the observability of the input used, all the measurements are classified as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a financial instrument, measured at fair value, is valued through the use of one or more significant inputs not directly observable on the market, a further procedure for the price verification is implemented. These procedures include the revision of relevant historical data, the analysis of profits and losses, the individual valuation of each component for structural products and benchmarking. This approach uses subjective opinions and judgments based on experience and, therefore, it could require valuation adjustments which take into account the bid/ask spread, liquidity and counterparty risk, in addition to the valuation model type adopted. According to Group Market Risk Governance guidelines, in order to ensure the right separateness of the functions in charge of the model development and those in charge of the validation processes, all the valuation models developed by Group companies’ front offices are independently tested centrally and validated by Risk Managements functions. The aim of this independent control structure is evaluating the model risk from a theoretical solidity, calibration techniques eventually applied and appropriateness of the model for a specific product in a defined market point of views. In addition to the daily mark-to-market or mark-to-model valuation, the Independent Price Verification (“IPV”) is applied by from Market Risk function with the aim of guaranteeing a fair value provided by an independent structure for all instruments, illiquid included. Fair value sensitivity to variations in unobservable input used in the fair value computation for instruments categorised as Level 3 The sensitivities to change in the unobservable parameter for the different financial instrument categories of level 3 valued at fair value are presented in the table below as change of corresponding relevant parameters: • for derivatives on equities and commodities: 1% absolute of volatility, 10% relative of dividend, 1% absolute of correlation and 10% relative of volatility skew; • for foreign exchanges: 1% absolute of underlying volatility; • for interest rate derivatives: 1 basis point absolute of rates curves and volatilities or 1% absolute of swaption volatilities; • for credit derivatives: 1 basis point absolute of credit spread or, if Level 3 attribution for a derivative is due to counterparty classification as not performing, the CVA impact of a 5% absolute shift of the recovery rate; • for debt securities: 1 basis point absolute of credit spread; • for equities: 1% of the underlying; • for Units in Investment Funds quotes: 5 basis points absolute shift in PD and LGD, if evaluated leveraging on models considering counterparty credit risk as main risk factor, otherwise 1% of fair value. (€ million) PRODUCT CATEGORIES FAIR VALUE MOVEMENTS Derivatives Financial Equities & Commodities +/- 44.09 Foreign Exchange +/- 0.41 Interest Rate +/- 4.24 Credit +/- 3.53 Debt Securities and Loans Corporate/Government/Other +/- 0.87 Mortgage & Asset Backed Securities +/- 0.37 Equity Securities Unlisted Equity & Holdings +/- 15.26 Units in Investment Funds Real Estate & Other Funds +/- 1.56 Within the unlisted Level 3 Units in Investment Funds, measured using a model, the shares in Atlante and Italian Recovery Fund, former Atlante II, (€327 million at 31 December 2021) are classified and, within Equity Securities, the investments in the Voluntary Scheme (as at 31 December 2021 equal to €2 million). For further information refer to Notes to the consolidated accouns, Part B - Consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 213 A.4.2 Valuations processes and sensitivities The Group verifies that the value attributed to each position reflects the current fair value in an appropriate way. Assets and liabilities subject to fair value measurements are determined using different techniques, among which (but not only) models such as discounted cash flow and internal models. On the basis of the observability of the input used, all the measurements are classified as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a financial instrument, measured at fair value, is valued through the use of one or more significant inputs not directly observable on the market, a further procedure for the price verification is implemented. These procedures include the revision of relevant historical data, the analysis of profits and losses, the individual valuation of each component for structural products and benchmarking. This approach uses subjective opinions and judgments based on experience and, therefore, it could require valuation adjustments which take into account the bid/ask spread, liquidity and counterparty risk, in addition to the valuation model type adopted. According to Group Market Risk Governance guidelines, in order to ensure the right separateness of the functions in charge of the model development and those in charge of the validation processes, all the valuation models developed by Group companies’ front offices are independently tested centrally and validated by Risk Managements functions. The aim of this independent control structure is evaluating the model risk from a theoretical solidity, calibration techniques eventually applied and appropriateness of the model for a specific product in a defined market point of views. In addition to the daily mark-to-market or mark-to-model valuation, the Independent Price Verification (“IPV”) is applied by from Market Risk function with the aim of guaranteeing a fair value provided by an independent structure for all instruments, illiquid included. Fair value sensitivity to variations in unobservable input used in the fair value computation for instruments categorised as Level 3 The sensitivities to change in the unobservable parameter for the different financial instrument categories of level 3 valued at fair value are presented in the table below as change of corresponding relevant parameters: • for derivatives on equities and commodities: 1% absolute of volatility, 10% relative of dividend, 1% absolute of correlation and 10% relative of volatility skew; • for foreign exchanges: 1% absolute of underlying volatility; • for interest rate derivatives: 1 basis point absolute of rates curves and volatilities or 1% absolute of swaption volatilities; • for credit derivatives: 1 basis point absolute of credit spread or, if Level 3 attribution for a derivative is due to counterparty classification as not performing, the CVA impact of a 5% absolute shift of the recovery rate; • for debt securities: 1 basis point absolute of credit spread; • for equities: 1% of the underlying; • for Units in Investment Funds quotes: 5 basis points absolute shift in PD and LGD, if evaluated leveraging on models considering counterparty credit risk as main risk factor, otherwise 1% of fair value. (€ million) PRODUCT CATEGORIES FAIR VALUE MOVEMENTS Derivatives Financial Equities & Commodities +/- 44.09 Foreign Exchange +/- 0.41 Interest Rate +/- 4.24 Credit +/- 3.53 Debt Securities and Loans Corporate/Government/Other +/- 0.87 Mortgage & Asset Backed Securities +/- 0.37 Equity Securities Unlisted Equity & Holdings +/- 15.26 Units in Investment Funds Real Estate & Other Funds +/- 1.56 Within the unlisted Level 3 Units in Investment Funds, measured using a model, the shares in Atlante and Italian Recovery Fund, former Atlante II, (€327 million at 31 December 2021) are classified and, within Equity Securities, the investments in the Voluntary Scheme (as at 31 December 2021 equal to €2 million). For further information refer to Notes to the consolidated accouns, Part B - Consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 214 2021 Annual Report and Accounts · UniCredit Amongst the financial instruments subject of valuation methods and sensitivity analysis, there are also included ABS issued by securitisation vehicles as per Italian law 130/99 where the Bank is both originator and underwriter of some issues and quotes of open investment funds acquired through credit disposal. A.4.3 Fair value hierarchy IFRS13 establishes a fair value hierarchy according to the observability of the input used in the valuation techniques adopted for valuations. The fair value hierarchy level associated to assets and liabilities is set as the minimum level among all the significant valuation inputs used. A valuation input is not considered significant for the fair value of an instrument if the remaining inputs are able to explain the major part of the fair value variance itself. In particular, three levels are considered: • Level 1: the fair value for instruments classified within this level is determined according to the quoted prices on active markets; • Level 2: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are observable on active markets; • Level 3: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are unobservable on active markets. Financial instruments are classified to a certain fair value level according to the observability of the input used for the valuation. Level 1 (quoted prices in active markets): at measurement date, quoted prices in active markets are available for identical assets or liabilities. An active market is a market in which orderly transactions for the asset or liability take place with sufficient frequency and volume for pricing information to be provided on an on-going basis (e.g. MTS market about prices for most of the government bonds therein traded). Level 2 (observable inputs): inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Inputs are observable if they are developed on the basis of publicly available information about actual events or transactions and reflect the assumptions that market participants would use when pricing the asset or liability. Level 3 (unobservable inputs): inputs other than the ones included in Level 1 and Level 2, not directly observable on the market for the evaluation of asset and liability or used for the definition of significant adjustments to fair value. Unobservable inputs shall reflect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk. Deciding among various valuation techniques to be used, the Group employs the one which maximises the use of observable inputs. Transfers between hierarchy levels The main drivers to transfers in and out the fair values levels (both between Level 1 and Level 2 and in/out Level 3) include changes in market conditions (among which liquidity parameter) and enhancements to valuation techniques and weights for unobservable inputs used for the valuation itself. Quantitative and qualitative details about transfers between fair value levels occurred in the period is presented in the paragraph “A.4.5 Fair value hierarchy” of the Notes to the consolidated accounts, Part A - Accounting policies, General, A.4 - Information on fair value, Quantitative information. A.4.4 Other information The Group uses the IFRS13 exception for fair value measurements on a net basis with reference to financial assets and liabilities with offsetting positions of market risk or counterparty credit risk. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 214 2021 Annual Report and Accounts · UniCredit Amongst the financial instruments subject of valuation methods and sensitivity analysis, there are also included ABS issued by securitisation vehicles as per Italian law 130/99 where the Bank is both originator and underwriter of some issues and quotes of open investment funds acquired through credit disposal. A.4.3 Fair value hierarchy IFRS13 establishes a fair value hierarchy according to the observability of the input used in the valuation techniques adopted for valuations. The fair value hierarchy level associated to assets and liabilities is set as the minimum level among all the significant valuation inputs used. A valuation input is not considered significant for the fair value of an instrument if the remaining inputs are able to explain the major part of the fair value variance itself. In particular, three levels are considered: • Level 1: the fair value for instruments classified within this level is determined according to the quoted prices on active markets; • Level 2: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are observable on active markets; • Level 3: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are unobservable on active markets. Financial instruments are classified to a certain fair value level according to the observability of the input used for the valuation. Level 1 (quoted prices in active markets): at measurement date, quoted prices in active markets are available for identical assets or liabilities. An active market is a market in which orderly transactions for the asset or liability take place with sufficient frequency and volume for pricing information to be provided on an on-going basis (e.g. MTS market about prices for most of the government bonds therein traded). Level 2 (observable inputs): inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Inputs are observable if they are developed on the basis of publicly available information about actual events or transactions and reflect the assumptions that market participants would use when pricing the asset or liability. Level 3 (unobservable inputs): inputs other than the ones included in Level 1 and Level 2, not directly observable on the market for the evaluation of asset and liability or used for the definition of significant adjustments to fair value. Unobservable inputs shall reflect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk. Deciding among various valuation techniques to be used, the Group employs the one which maximises the use of observable inputs. Transfers between hierarchy levels The main drivers to transfers in and out the fair values levels (both between Level 1 and Level 2 and in/out Level 3) include changes in market conditions (among which liquidity parameter) and enhancements to valuation techniques and weights for unobservable inputs used for the valuation itself. Quantitative and qualitative details about transfers between fair value levels occurred in the period is presented in the paragraph “A.4.5 Fair value hierarchy” of the Notes to the consolidated accounts, Part A - Accounting policies, General, A.4 - Information on fair value, Quantitative information. A.4.4 Other information The Group uses the IFRS13 exception for fair value measurements on a net basis with reference to financial assets and liabilities with offsetting positions of market risk or counterparty credit risk. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 214 2021 Annual Report and Accounts · UniCredit Amongst the financial instruments subject of valuation methods and sensitivity analysis, there are also included ABS issued by securitisation vehicles as per Italian law 130/99 where the Bank is both originator and underwriter of some issues and quotes of open investment funds acquired through credit disposal. A.4.3 Fair value hierarchy IFRS13 establishes a fair value hierarchy according to the observability of the input used in the valuation techniques adopted for valuations. The fair value hierarchy level associated to assets and liabilities is set as the minimum level among all the significant valuation inputs used. A valuation input is not considered significant for the fair value of an instrument if the remaining inputs are able to explain the major part of the fair value variance itself. In particular, three levels are considered: • Level 1: the fair value for instruments classified within this level is determined according to the quoted prices on active markets; • Level 2: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are observable on active markets; • Level 3: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are unobservable on active markets. Financial instruments are classified to a certain fair value level according to the observability of the input used for the valuation. Level 1 (quoted prices in active markets): at measurement date, quoted prices in active markets are available for identical assets or liabilities. An active market is a market in which orderly transactions for the asset or liability take place with sufficient frequency and volume for pricing information to be provided on an on-going basis (e.g. MTS market about prices for most of the government bonds therein traded). Level 2 (observable inputs): inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Inputs are observable if they are developed on the basis of publicly available information about actual events or transactions and reflect the assumptions that market participants would use when pricing the asset or liability. Level 3 (unobservable inputs): inputs other than the ones included in Level 1 and Level 2, not directly observable on the market for the evaluation of asset and liability or used for the definition of significant adjustments to fair value. Unobservable inputs shall reflect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk. Deciding among various valuation techniques to be used, the Group employs the one which maximises the use of observable inputs. Transfers between hierarchy levels The main drivers to transfers in and out the fair values levels (both between Level 1 and Level 2 and in/out Level 3) include changes in market conditions (among which liquidity parameter) and enhancements to valuation techniques and weights for unobservable inputs used for the valuation itself. Quantitative and qualitative details about transfers between fair value levels occurred in the period is presented in the paragraph “A.4.5 Fair value hierarchy” of the Notes to the consolidated accounts, Part A - Accounting policies, General, A.4 - Information on fair value, Quantitative information. A.4.4 Other information The Group uses the IFRS13 exception for fair value measurements on a net basis with reference to financial assets and liabilities with offsetting positions of market risk or counterparty credit risk. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 214 2021 Annual Report and Accounts · UniCredit Amongst the financial instruments subject of valuation methods and sensitivity analysis, there are also included ABS issued by securitisation vehicles as per Italian law 130/99 where the Bank is both originator and underwriter of some issues and quotes of open investment funds acquired through credit disposal. A.4.3 Fair value hierarchy IFRS13 establishes a fair value hierarchy according to the observability of the input used in the valuation techniques adopted for valuations. The fair value hierarchy level associated to assets and liabilities is set as the minimum level among all the significant valuation inputs used. A valuation input is not considered significant for the fair value of an instrument if the remaining inputs are able to explain the major part of the fair value variance itself. In particular, three levels are considered: • Level 1: the fair value for instruments classified within this level is determined according to the quoted prices on active markets; • Level 2: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are observable on active markets; • Level 3: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are unobservable on active markets. Financial instruments are classified to a certain fair value level according to the observability of the input used for the valuation. Level 1 (quoted prices in active markets): at measurement date, quoted prices in active markets are available for identical assets or liabilities. An active market is a market in which orderly transactions for the asset or liability take place with sufficient frequency and volume for pricing information to be provided on an on-going basis (e.g. MTS market about prices for most of the government bonds therein traded). Level 2 (observable inputs): inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Inputs are observable if they are developed on the basis of publicly available information about actual events or transactions and reflect the assumptions that market participants would use when pricing the asset or liability. Level 3 (unobservable inputs): inputs other than the ones included in Level 1 and Level 2, not directly observable on the market for the evaluation of asset and liability or used for the definition of significant adjustments to fair value. Unobservable inputs shall reflect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk. Deciding among various valuation techniques to be used, the Group employs the one which maximises the use of observable inputs. Transfers between hierarchy levels The main drivers to transfers in and out the fair values levels (both between Level 1 and Level 2 and in/out Level 3) include changes in market conditions (among which liquidity parameter) and enhancements to valuation techniques and weights for unobservable inputs used for the valuation itself. Quantitative and qualitative details about transfers between fair value levels occurred in the period is presented in the paragraph “A.4.5 Fair value hierarchy” of the Notes to the consolidated accounts, Part A - Accounting policies, General, A.4 - Information on fair value, Quantitative information. A.4.4 Other information The Group uses the IFRS13 exception for fair value measurements on a net basis with reference to financial assets and liabilities with offsetting positions of market risk or counterparty credit risk. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 214 2021 Annual Report and Accounts · UniCredit Amongst the financial instruments subject of valuation methods and sensitivity analysis, there are also included ABS issued by securitisation vehicles as per Italian law 130/99 where the Bank is both originator and underwriter of some issues and quotes of open investment funds acquired through credit disposal. A.4.3 Fair value hierarchy IFRS13 establishes a fair value hierarchy according to the observability of the input used in the valuation techniques adopted for valuations. The fair value hierarchy level associated to assets and liabilities is set as the minimum level among all the significant valuation inputs used. A valuation input is not considered significant for the fair value of an instrument if the remaining inputs are able to explain the major part of the fair value variance itself. In particular, three levels are considered: • Level 1: the fair value for instruments classified within this level is determined according to the quoted prices on active markets; • Level 2: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are observable on active markets; • Level 3: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are unobservable on active markets. Financial instruments are classified to a certain fair value level according to the observability of the input used for the valuation. Level 1 (quoted prices in active markets): at measurement date, quoted prices in active markets are available for identical assets or liabilities. An active market is a market in which orderly transactions for the asset or liability take place with sufficient frequency and volume for pricing information to be provided on an on-going basis (e.g. MTS market about prices for most of the government bonds therein traded). Level 2 (observable inputs): inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Inputs are observable if they are developed on the basis of publicly available information about actual events or transactions and reflect the assumptions that market participants would use when pricing the asset or liability. Level 3 (unobservable inputs): inputs other than the ones included in Level 1 and Level 2, not directly observable on the market for the evaluation of asset and liability or used for the definition of significant adjustments to fair value. Unobservable inputs shall reflect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk. Deciding among various valuation techniques to be used, the Group employs the one which maximises the use of observable inputs. Transfers between hierarchy levels The main drivers to transfers in and out the fair values levels (both between Level 1 and Level 2 and in/out Level 3) include changes in market conditions (among which liquidity parameter) and enhancements to valuation techniques and weights for unobservable inputs used for the valuation itself. Quantitative and qualitative details about transfers between fair value levels occurred in the period is presented in the paragraph “A.4.5 Fair value hierarchy” of the Notes to the consolidated accounts, Part A - Accounting policies, General, A.4 - Information on fair value, Quantitative information. A.4.4 Other information The Group uses the IFRS13 exception for fair value measurements on a net basis with reference to financial assets and liabilities with offsetting positions of market risk or counterparty credit risk. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 215 Quantitative information A.4.5 Fair value hierarchy A.4.5 Fair Value Hierarchy The following tables show the portfolios breakdown in terms of (i) financial assets and liabilities valued at fair value as well as (ii) assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis, according to the above-mentioned levels. A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels (€ million) FINANCIAL ASSETS/LIABILITIES MEASURED AT FAIR VALUE AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at fair value through profit or loss 39,317 48,889 4,033 29,746 54,187 3,892 a) Financial assets held for trading 33,191 45,717 1,201 23,824 47,578 1,303 b) Financial assets designated at fair value 279 - - 226 - - c) Other financial assets mandatorily at fair value 5,847 3,172 2,832 5,696 6,609 2,589 2. Financial assets at fair value through other comprehensive income 54,113 11,834 2,617 57,483 14,311 943 3. Hedging derivatives 38 3,027 - 114 3,683 5 4. Property, plant and equipment - - 5,955 - - 5,961 5. Intangible assets - - - - - - Total 93,468 63,750 12,605 87,343 72,181 10,801 1. Financial liabilities held for trading 14,376 36,071 1,161 10,790 36,096 901 2. Financial liabilities designated at fair value - 8,907 649 - 9,820 748 3. Hedging derivatives 51 4,252 - 126 5,573 - Total 14,427 49,230 1,810 10,916 51,489 1,649 The item “1. c) Financial assets mandatorily at fair value” at Level 3 as at 31 December 2021 includes the investments in Atlante and Italian Recovery Fund (former Atlante II) carrying value €327 million and in “Schema Volontario” carrying value €1.8 million. Since no market valuations or prices of comparable securities are available for “Schema Volontario”, at 31 December 2021 the fair value of such instrument was determined using internal models (Discounted Cash Flow and Market Multiples) also having as reference the valuation of the financial assets of the “Schema Volontario” (supported by the advisor in charge) contained in the Report on operations of the “Schema Volontario” itself of December 2020, while concerning Atlante and Italian Recovery Fund (former Atlante II) the Fair Value has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. For further information refer to paragraph “2.5 Other financial assets mandatorily at fair value: breakdown by product” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Transfers between level of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities. Besides the transfers related to financial assets and liabilities carried at Level 3 detailed in the sections below during the year the following transfers occurred: • from Level 1 to Level 2 owing to a worsening of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through profit or loss (financial assets held for trading, designed at fair value and mandatorily at fair value) for approximately €328 million; - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €29 million; - of financial liabilities measured at fair value through profit or loss (financial liabilities held for trading and designed at fair value) for approximately €61 million. • from Level 2 to Level 1 owing to an improvement of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through profit or loss (financial assets held for trading, designed at fair value and mandatorily at fair value) for approximately €1.480 million; - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €1.851 million; - of financial liabilities measured at fair value through profit or loss (financial liabilities held for trading and designed at fair value) for approximately €1 million. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 215 Quantitative information A.4.5 Fair value hierarchy A.4.5 Fair Value Hierarchy The following tables show the portfolios breakdown in terms of (i) financial assets and liabilities valued at fair value as well as (ii) assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis, according to the above-mentioned levels. A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels (€ million) FINANCIAL ASSETS/LIABILITIES MEASURED AT FAIR VALUE AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at fair value through profit or loss 39,317 48,889 4,033 29,746 54,187 3,892 a) Financial assets held for trading 33,191 45,717 1,201 23,824 47,578 1,303 b) Financial assets designated at fair value 279 - - 226 - - c) Other financial assets mandatorily at fair value 5,847 3,172 2,832 5,696 6,609 2,589 2. Financial assets at fair value through other comprehensive income 54,113 11,834 2,617 57,483 14,311 943 3. Hedging derivatives 38 3,027 - 114 3,683 5 4. Property, plant and equipment - - 5,955 - - 5,961 5. Intangible assets - - - - - - Total 93,468 63,750 12,605 87,343 72,181 10,801 1. Financial liabilities held for trading 14,376 36,071 1,161 10,790 36,096 901 2. Financial liabilities designated at fair value - 8,907 649 - 9,820 748 3. Hedging derivatives 51 4,252 - 126 5,573 - Total 14,427 49,230 1,810 10,916 51,489 1,649 The item “1. c) Financial assets mandatorily at fair value” at Level 3 as at 31 December 2021 includes the investments in Atlante and Italian Recovery Fund (former Atlante II) carrying value €327 million and in “Schema Volontario” carrying value €1.8 million. Since no market valuations or prices of comparable securities are available for “Schema Volontario”, at 31 December 2021 the fair value of such instrument was determined using internal models (Discounted Cash Flow and Market Multiples) also having as reference the valuation of the financial assets of the “Schema Volontario” (supported by the advisor in charge) contained in the Report on operations of the “Schema Volontario” itself of December 2020, while concerning Atlante and Italian Recovery Fund (former Atlante II) the Fair Value has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. For further information refer to paragraph “2.5 Other financial assets mandatorily at fair value: breakdown by product” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Transfers between level of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities. Besides the transfers related to financial assets and liabilities carried at Level 3 detailed in the sections below during the year the following transfers occurred: • from Level 1 to Level 2 owing to a worsening of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through profit or loss (financial assets held for trading, designed at fair value and mandatorily at fair value) for approximately €328 million; - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €29 million; - of financial liabilities measured at fair value through profit or loss (financial liabilities held for trading and designed at fair value) for approximately €61 million. • from Level 2 to Level 1 owing to an improvement of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through profit or loss (financial assets held for trading, designed at fair value and mandatorily at fair value) for approximately €1.480 million; - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €1.851 million; - of financial liabilities measured at fair value through profit or loss (financial liabilities held for trading and designed at fair value) for approximately €1 million. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 215 Quantitative information A.4.5 Fair value hierarchy A.4.5 Fair Value Hierarchy The following tables show the portfolios breakdown in terms of (i) financial assets and liabilities valued at fair value as well as (ii) assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis, according to the above-mentioned levels. A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels (€ million) FINANCIAL ASSETS/LIABILITIES MEASURED AT FAIR VALUE AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at fair value through profit or loss 39,317 48,889 4,033 29,746 54,187 3,892 a) Financial assets held for trading 33,191 45,717 1,201 23,824 47,578 1,303 b) Financial assets designated at fair value 279 - - 226 - - c) Other financial assets mandatorily at fair value 5,847 3,172 2,832 5,696 6,609 2,589 2. Financial assets at fair value through other comprehensive income 54,113 11,834 2,617 57,483 14,311 943 3. Hedging derivatives 38 3,027 - 114 3,683 5 4. Property, plant and equipment - - 5,955 - - 5,961 5. Intangible assets - - - - - - Total 93,468 63,750 12,605 87,343 72,181 10,801 1. Financial liabilities held for trading 14,376 36,071 1,161 10,790 36,096 901 2. Financial liabilities designated at fair value - 8,907 649 - 9,820 748 3. Hedging derivatives 51 4,252 - 126 5,573 - Total 14,427 49,230 1,810 10,916 51,489 1,649 The item “1. c) Financial assets mandatorily at fair value” at Level 3 as at 31 December 2021 includes the investments in Atlante and Italian Recovery Fund (former Atlante II) carrying value €327 million and in “Schema Volontario” carrying value €1.8 million. Since no market valuations or prices of comparable securities are available for “Schema Volontario”, at 31 December 2021 the fair value of such instrument was determined using internal models (Discounted Cash Flow and Market Multiples) also having as reference the valuation of the financial assets of the “Schema Volontario” (supported by the advisor in charge) contained in the Report on operations of the “Schema Volontario” itself of December 2020, while concerning Atlante and Italian Recovery Fund (former Atlante II) the Fair Value has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. For further information refer to paragraph “2.5 Other financial assets mandatorily at fair value: breakdown by product” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Transfers between level of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities. Besides the transfers related to financial assets and liabilities carried at Level 3 detailed in the sections below during the year the following transfers occurred: • from Level 1 to Level 2 owing to a worsening of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through profit or loss (financial assets held for trading, designed at fair value and mandatorily at fair value) for approximately €328 million; - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €29 million; - of financial liabilities measured at fair value through profit or loss (financial liabilities held for trading and designed at fair value) for approximately €61 million. • from Level 2 to Level 1 owing to an improvement of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through profit or loss (financial assets held for trading, designed at fair value and mandatorily at fair value) for approximately €1.480 million; - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €1.851 million; - of financial liabilities measured at fair value through profit or loss (financial liabilities held for trading and designed at fair value) for approximately €1 million. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 215 Quantitative information A.4.5 Fair value hierarchy A.4.5 Fair Value Hierarchy The following tables show the portfolios breakdown in terms of (i) financial assets and liabilities valued at fair value as well as (ii) assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis, according to the above-mentioned levels. A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels (€ million) FINANCIAL ASSETS/LIABILITIES MEASURED AT FAIR VALUE AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at fair value through profit or loss 39,317 48,889 4,033 29,746 54,187 3,892 a) Financial assets held for trading 33,191 45,717 1,201 23,824 47,578 1,303 b) Financial assets designated at fair value 279 - - 226 - - c) Other financial assets mandatorily at fair value 5,847 3,172 2,832 5,696 6,609 2,589 2. Financial assets at fair value through other comprehensive income 54,113 11,834 2,617 57,483 14,311 943 3. Hedging derivatives 38 3,027 - 114 3,683 5 4. Property, plant and equipment - - 5,955 - - 5,961 5. Intangible assets - - - - - - Total 93,468 63,750 12,605 87,343 72,181 10,801 1. Financial liabilities held for trading 14,376 36,071 1,161 10,790 36,096 901 2. Financial liabilities designated at fair value - 8,907 649 - 9,820 748 3. Hedging derivatives 51 4,252 - 126 5,573 - Total 14,427 49,230 1,810 10,916 51,489 1,649 The item “1. c) Financial assets mandatorily at fair value” at Level 3 as at 31 December 2021 includes the investments in Atlante and Italian Recovery Fund (former Atlante II) carrying value €327 million and in “Schema Volontario” carrying value €1.8 million. Since no market valuations or prices of comparable securities are available for “Schema Volontario”, at 31 December 2021 the fair value of such instrument was determined using internal models (Discounted Cash Flow and Market Multiples) also having as reference the valuation of the financial assets of the “Schema Volontario” (supported by the advisor in charge) contained in the Report on operations of the “Schema Volontario” itself of December 2020, while concerning Atlante and Italian Recovery Fund (former Atlante II) the Fair Value has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. For further information refer to paragraph “2.5 Other financial assets mandatorily at fair value: breakdown by product” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Transfers between level of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities. Besides the transfers related to financial assets and liabilities carried at Level 3 detailed in the sections below during the year the following transfers occurred: • from Level 1 to Level 2 owing to a worsening of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through profit or loss (financial assets held for trading, designed at fair value and mandatorily at fair value) for approximately €328 million; - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €29 million; - of financial liabilities measured at fair value through profit or loss (financial liabilities held for trading and designed at fair value) for approximately €61 million. • from Level 2 to Level 1 owing to an improvement of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through profit or loss (financial assets held for trading, designed at fair value and mandatorily at fair value) for approximately €1.480 million; - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €1.851 million; - of financial liabilities measured at fair value through profit or loss (financial liabilities held for trading and designed at fair value) for approximately €1 million. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 215 Quantitative information A.4.5 Fair value hierarchy A.4.5 Fair Value Hierarchy The following tables show the portfolios breakdown in terms of (i) financial assets and liabilities valued at fair value as well as (ii) assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis, according to the above-mentioned levels. A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels (€ million) FINANCIAL ASSETS/LIABILITIES MEASURED AT FAIR VALUE AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at fair value through profit or loss 39,317 48,889 4,033 29,746 54,187 3,892 a) Financial assets held for trading 33,191 45,717 1,201 23,824 47,578 1,303 b) Financial assets designated at fair value 279 - - 226 - - c) Other financial assets mandatorily at fair value 5,847 3,172 2,832 5,696 6,609 2,589 2. Financial assets at fair value through other comprehensive income 54,113 11,834 2,617 57,483 14,311 943 3. Hedging derivatives 38 3,027 - 114 3,683 5 4. Property, plant and equipment - - 5,955 - - 5,961 5. Intangible assets - - - - - - Total 93,468 63,750 12,605 87,343 72,181 10,801 1. Financial liabilities held for trading 14,376 36,071 1,161 10,790 36,096 901 2. Financial liabilities designated at fair value - 8,907 649 - 9,820 748 3. Hedging derivatives 51 4,252 - 126 5,573 - Total 14,427 49,230 1,810 10,916 51,489 1,649 The item “1. c) Financial assets mandatorily at fair value” at Level 3 as at 31 December 2021 includes the investments in Atlante and Italian Recovery Fund (former Atlante II) carrying value €327 million and in “Schema Volontario” carrying value €1.8 million. Since no market valuations or prices of comparable securities are available for “Schema Volontario”, at 31 December 2021 the fair value of such instrument was determined using internal models (Discounted Cash Flow and Market Multiples) also having as reference the valuation of the financial assets of the “Schema Volontario” (supported by the advisor in charge) contained in the Report on operations of the “Schema Volontario” itself of December 2020, while concerning Atlante and Italian Recovery Fund (former Atlante II) the Fair Value has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. For further information refer to paragraph “2.5 Other financial assets mandatorily at fair value: breakdown by product” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Transfers between level of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities. Besides the transfers related to financial assets and liabilities carried at Level 3 detailed in the sections below during the year the following transfers occurred: • from Level 1 to Level 2 owing to a worsening of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through profit or loss (financial assets held for trading, designed at fair value and mandatorily at fair value) for approximately €328 million; - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €29 million; - of financial liabilities measured at fair value through profit or loss (financial liabilities held for trading and designed at fair value) for approximately €61 million. • from Level 2 to Level 1 owing to an improvement of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through profit or loss (financial assets held for trading, designed at fair value and mandatorily at fair value) for approximately €1.480 million; - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €1.851 million; - of financial liabilities measured at fair value through profit or loss (financial liabilities held for trading and designed at fair value) for approximately €1 million. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 216 2021 Annual Report and Accounts · UniCredit A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME HEDGING DERIVATIVES PROPERTY, PLANT AND EQUIPMENT INTANGIBLE ASSETS TOTAL OF WHICH: A) FINANCIAL ASSETS HELD FOR TRADING OF WHICH: B) FINANCIAL ASSETS DESIGNATED AT FAIR VALUE OF WHICH: C) FINANCIAL ASSETS MANDATORILY AT FAIR VALUE 1. Opening balances 3,892 1,303 - 2,589 943 5 5,961 - 2. Increases 2,373 1,336 - 1,037 1,925 - 486 - 2.1 Purchases 1,420 803 - 617 301 - 74 - 2.2 Profits recognised in 652 458 - 194 109 - 347 - 2.2.1 Income statement 652 458 - 194 4 - 84 - - of which unrealised gains 145 50 - 95 - - 83 - 2.2.2 Equity X X X X 105 - 263 - 2.3 Transfers from other levels 235 65 - 170 1,428 - - - 2.4 Other increases 66 10 - 56 87 - 65 - 3. Decreases 2,232 1,438 - 794 251 5 492 - 3.1 Sales 1,108 1,004 - 104 8 - 78 - 3.2 Redemptions 447 92 - 355 53 - - - 3.3 Losses recognised in 381 248 - 133 111 - 323 - 3.3.1 Income statement 381 248 - 133 25 - 217 - - of which unrealised losses 175 99 - 76 - - 102 - 3.3.2 Equity X X X X 86 - 106 - 3.4 Transfers to other levels 198 65 - 133 70 - 56 - 3.5 Other decreases 98 29 - 69 9 5 35 - of which: business combinations - - - - - - - - 4. Closing balances 4,033 1,201 - 2,832 2,617 - 5,955 - The sub-items “2.2.1 Profits recognised in Income statement” and “3.3.1 Losses recognised in Income statement” in financial assets are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. The sub-item “2.2.2 Profits recognised in Equity” and the sub-item “3.3.2 Losses recognised in Equity” reports the profits and the losses arising from fair value changes on financial assets at fair value through other comprehensive income and tangible assets used in business, with reference to land and buildings, according to the rules explained below. With reference to financial assets at fair value through other comprehensive income these profits and losses are accounted in item “120. Valuation reserves” of shareholder’s equity until the financial assets is not sold, instant in which cumulative gains and losses are reported: i) if referred to debt securities in income statement under item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income” and ii) if referred to equity instruments in the shareholder’s equity under item “150. Reserves”; the exception regards the case of impairment and gains and losses on exchange rates on monetary assets (debt securities) which are reported respectively under item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” and item “80. Net gains (losses) on trading”. With reference to tangible assets used in business, the profits arising from the valuation are recognised in item “120. Valuation reserves” of shareholder’s equity for the portion exceeding the cumulated losses recognised in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. Losses arising from the valuation are recognised in item “120. Valuation reserves” up to the cumulated profits recognised in the same item. Further losses are recognised in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. On disposal the cumulated profits reported in item “120. Valuation reserves” are recycled to item “150. Reserves”. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities and mostly refer to exposures held by UniCredit S.p.A. and its subsidiary UniCredit Bank Austria AG. In particular, during the financial year 2021 due to the occurred unobservability of the input used for the evaluation Senior bonds of Prisma securitisation, held by UniCredit S.p.A., classified among the financial assets measured at fair value through other comprehensive income for an amount equals to 745 million, have been reclassified from Level 2 to Level 3 of the fair value hierarchy. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 216 2021 Annual Report and Accounts · UniCredit A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME HEDGING DERIVATIVES PROPERTY, PLANT AND EQUIPMENT INTANGIBLE ASSETS TOTAL OF WHICH: A) FINANCIAL ASSETS HELD FOR TRADING OF WHICH: B) FINANCIAL ASSETS DESIGNATED AT FAIR VALUE OF WHICH: C) FINANCIAL ASSETS MANDATORILY AT FAIR VALUE 1. Opening balances 3,892 1,303 - 2,589 943 5 5,961 - 2. Increases 2,373 1,336 - 1,037 1,925 - 486 - 2.1 Purchases 1,420 803 - 617 301 - 74 - 2.2 Profits recognised in 652 458 - 194 109 - 347 - 2.2.1 Income statement 652 458 - 194 4 - 84 - - of which unrealised gains 145 50 - 95 - - 83 - 2.2.2 Equity X X X X 105 - 263 - 2.3 Transfers from other levels 235 65 - 170 1,428 - - - 2.4 Other increases 66 10 - 56 87 - 65 - 3. Decreases 2,232 1,438 - 794 251 5 492 - 3.1 Sales 1,108 1,004 - 104 8 - 78 - 3.2 Redemptions 447 92 - 355 53 - - - 3.3 Losses recognised in 381 248 - 133 111 - 323 - 3.3.1 Income statement 381 248 - 133 25 - 217 - - of which unrealised losses 175 99 - 76 - - 102 - 3.3.2 Equity X X X X 86 - 106 - 3.4 Transfers to other levels 198 65 - 133 70 - 56 - 3.5 Other decreases 98 29 - 69 9 5 35 - of which: business combinations - - - - - - - - 4. Closing balances 4,033 1,201 - 2,832 2,617 - 5,955 - The sub-items “2.2.1 Profits recognised in Income statement” and “3.3.1 Losses recognised in Income statement” in financial assets are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. The sub-item “2.2.2 Profits recognised in Equity” and the sub-item “3.3.2 Losses recognised in Equity” reports the profits and the losses arising from fair value changes on financial assets at fair value through other comprehensive income and tangible assets used in business, with reference to land and buildings, according to the rules explained below. With reference to financial assets at fair value through other comprehensive income these profits and losses are accounted in item “120. Valuation reserves” of shareholder’s equity until the financial assets is not sold, instant in which cumulative gains and losses are reported: i) if referred to debt securities in income statement under item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income” and ii) if referred to equity instruments in the shareholder’s equity under item “150. Reserves”; the exception regards the case of impairment and gains and losses on exchange rates on monetary assets (debt securities) which are reported respectively under item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” and item “80. Net gains (losses) on trading”. With reference to tangible assets used in business, the profits arising from the valuation are recognised in item “120. Valuation reserves” of shareholder’s equity for the portion exceeding the cumulated losses recognised in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. Losses arising from the valuation are recognised in item “120. Valuation reserves” up to the cumulated profits recognised in the same item. Further losses are recognised in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. On disposal the cumulated profits reported in item “120. Valuation reserves” are recycled to item “150. Reserves”. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities and mostly refer to exposures held by UniCredit S.p.A. and its subsidiary UniCredit Bank Austria AG. In particular, during the financial year 2021 due to the occurred unobservability of the input used for the evaluation Senior bonds of Prisma securitisation, held by UniCredit S.p.A., classified among the financial assets measured at fair value through other comprehensive income for an amount equals to 745 million, have been reclassified from Level 2 to Level 3 of the fair value hierarchy. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 216 2021 Annual Report and Accounts · UniCredit A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME HEDGING DERIVATIVES PROPERTY, PLANT AND EQUIPMENT INTANGIBLE ASSETS TOTAL OF WHICH: A) FINANCIAL ASSETS HELD FOR TRADING OF WHICH: B) FINANCIAL ASSETS DESIGNATED AT FAIR VALUE OF WHICH: C) FINANCIAL ASSETS MANDATORILY AT FAIR VALUE 1. Opening balances 3,892 1,303 - 2,589 943 5 5,961 - 2. Increases 2,373 1,336 - 1,037 1,925 - 486 - 2.1 Purchases 1,420 803 - 617 301 - 74 - 2.2 Profits recognised in 652 458 - 194 109 - 347 - 2.2.1 Income statement 652 458 - 194 4 - 84 - - of which unrealised gains 145 50 - 95 - - 83 - 2.2.2 Equity X X X X 105 - 263 - 2.3 Transfers from other levels 235 65 - 170 1,428 - - - 2.4 Other increases 66 10 - 56 87 - 65 - 3. Decreases 2,232 1,438 - 794 251 5 492 - 3.1 Sales 1,108 1,004 - 104 8 - 78 - 3.2 Redemptions 447 92 - 355 53 - - - 3.3 Losses recognised in 381 248 - 133 111 - 323 - 3.3.1 Income statement 381 248 - 133 25 - 217 - - of which unrealised losses 175 99 - 76 - - 102 - 3.3.2 Equity X X X X 86 - 106 - 3.4 Transfers to other levels 198 65 - 133 70 - 56 - 3.5 Other decreases 98 29 - 69 9 5 35 - of which: business combinations - - - - - - - - 4. Closing balances 4,033 1,201 - 2,832 2,617 - 5,955 - The sub-items “2.2.1 Profits recognised in Income statement” and “3.3.1 Losses recognised in Income statement” in financial assets are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. The sub-item “2.2.2 Profits recognised in Equity” and the sub-item “3.3.2 Losses recognised in Equity” reports the profits and the losses arising from fair value changes on financial assets at fair value through other comprehensive income and tangible assets used in business, with reference to land and buildings, according to the rules explained below. With reference to financial assets at fair value through other comprehensive income these profits and losses are accounted in item “120. Valuation reserves” of shareholder’s equity until the financial assets is not sold, instant in which cumulative gains and losses are reported: i) if referred to debt securities in income statement under item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income” and ii) if referred to equity instruments in the shareholder’s equity under item “150. Reserves”; the exception regards the case of impairment and gains and losses on exchange rates on monetary assets (debt securities) which are reported respectively under item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” and item “80. Net gains (losses) on trading”. With reference to tangible assets used in business, the profits arising from the valuation are recognised in item “120. Valuation reserves” of shareholder’s equity for the portion exceeding the cumulated losses recognised in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. Losses arising from the valuation are recognised in item “120. Valuation reserves” up to the cumulated profits recognised in the same item. Further losses are recognised in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. On disposal the cumulated profits reported in item “120. Valuation reserves” are recycled to item “150. Reserves”. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities and mostly refer to exposures held by UniCredit S.p.A. and its subsidiary UniCredit Bank Austria AG. In particular, during the financial year 2021 due to the occurred unobservability of the input used for the evaluation Senior bonds of Prisma securitisation, held by UniCredit S.p.A., classified among the financial assets measured at fair value through other comprehensive income for an amount equals to 745 million, have been reclassified from Level 2 to Level 3 of the fair value hierarchy. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 216 2021 Annual Report and Accounts · UniCredit A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME HEDGING DERIVATIVES PROPERTY, PLANT AND EQUIPMENT INTANGIBLE ASSETS TOTAL OF WHICH: A) FINANCIAL ASSETS HELD FOR TRADING OF WHICH: B) FINANCIAL ASSETS DESIGNATED AT FAIR VALUE OF WHICH: C) FINANCIAL ASSETS MANDATORILY AT FAIR VALUE 1. Opening balances 3,892 1,303 - 2,589 943 5 5,961 - 2. Increases 2,373 1,336 - 1,037 1,925 - 486 - 2.1 Purchases 1,420 803 - 617 301 - 74 - 2.2 Profits recognised in 652 458 - 194 109 - 347 - 2.2.1 Income statement 652 458 - 194 4 - 84 - - of which unrealised gains 145 50 - 95 - - 83 - 2.2.2 Equity X X X X 105 - 263 - 2.3 Transfers from other levels 235 65 - 170 1,428 - - - 2.4 Other increases 66 10 - 56 87 - 65 - 3. Decreases 2,232 1,438 - 794 251 5 492 - 3.1 Sales 1,108 1,004 - 104 8 - 78 - 3.2 Redemptions 447 92 - 355 53 - - - 3.3 Losses recognised in 381 248 - 133 111 - 323 - 3.3.1 Income statement 381 248 - 133 25 - 217 - - of which unrealised losses 175 99 - 76 - - 102 - 3.3.2 Equity X X X X 86 - 106 - 3.4 Transfers to other levels 198 65 - 133 70 - 56 - 3.5 Other decreases 98 29 - 69 9 5 35 - of which: business combinations - - - - - - - - 4. Closing balances 4,033 1,201 - 2,832 2,617 - 5,955 - The sub-items “2.2.1 Profits recognised in Income statement” and “3.3.1 Losses recognised in Income statement” in financial assets are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. The sub-item “2.2.2 Profits recognised in Equity” and the sub-item “3.3.2 Losses recognised in Equity” reports the profits and the losses arising from fair value changes on financial assets at fair value through other comprehensive income and tangible assets used in business, with reference to land and buildings, according to the rules explained below. With reference to financial assets at fair value through other comprehensive income these profits and losses are accounted in item “120. Valuation reserves” of shareholder’s equity until the financial assets is not sold, instant in which cumulative gains and losses are reported: i) if referred to debt securities in income statement under item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income” and ii) if referred to equity instruments in the shareholder’s equity under item “150. Reserves”; the exception regards the case of impairment and gains and losses on exchange rates on monetary assets (debt securities) which are reported respectively under item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” and item “80. Net gains (losses) on trading”. With reference to tangible assets used in business, the profits arising from the valuation are recognised in item “120. Valuation reserves” of shareholder’s equity for the portion exceeding the cumulated losses recognised in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. Losses arising from the valuation are recognised in item “120. Valuation reserves” up to the cumulated profits recognised in the same item. Further losses are recognised in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. On disposal the cumulated profits reported in item “120. Valuation reserves” are recycled to item “150. Reserves”. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities and mostly refer to exposures held by UniCredit S.p.A. and its subsidiary UniCredit Bank Austria AG. In particular, during the financial year 2021 due to the occurred unobservability of the input used for the evaluation Senior bonds of Prisma securitisation, held by UniCredit S.p.A., classified among the financial assets measured at fair value through other comprehensive income for an amount equals to 745 million, have been reclassified from Level 2 to Level 3 of the fair value hierarchy. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 216 2021 Annual Report and Accounts · UniCredit A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME HEDGING DERIVATIVES PROPERTY, PLANT AND EQUIPMENT INTANGIBLE ASSETS TOTAL OF WHICH: A) FINANCIAL ASSETS HELD FOR TRADING OF WHICH: B) FINANCIAL ASSETS DESIGNATED AT FAIR VALUE OF WHICH: C) FINANCIAL ASSETS MANDATORILY AT FAIR VALUE 1. Opening balances 3,892 1,303 - 2,589 943 5 5,961 - 2. Increases 2,373 1,336 - 1,037 1,925 - 486 - 2.1 Purchases 1,420 803 - 617 301 - 74 - 2.2 Profits recognised in 652 458 - 194 109 - 347 - 2.2.1 Income statement 652 458 - 194 4 - 84 - - of which unrealised gains 145 50 - 95 - - 83 - 2.2.2 Equity X X X X 105 - 263 - 2.3 Transfers from other levels 235 65 - 170 1,428 - - - 2.4 Other increases 66 10 - 56 87 - 65 - 3. Decreases 2,232 1,438 - 794 251 5 492 - 3.1 Sales 1,108 1,004 - 104 8 - 78 - 3.2 Redemptions 447 92 - 355 53 - - - 3.3 Losses recognised in 381 248 - 133 111 - 323 - 3.3.1 Income statement 381 248 - 133 25 - 217 - - of which unrealised losses 175 99 - 76 - - 102 - 3.3.2 Equity X X X X 86 - 106 - 3.4 Transfers to other levels 198 65 - 133 70 - 56 - 3.5 Other decreases 98 29 - 69 9 5 35 - of which: business combinations - - - - - - - - 4. Closing balances 4,033 1,201 - 2,832 2,617 - 5,955 - The sub-items “2.2.1 Profits recognised in Income statement” and “3.3.1 Losses recognised in Income statement” in financial assets are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. The sub-item “2.2.2 Profits recognised in Equity” and the sub-item “3.3.2 Losses recognised in Equity” reports the profits and the losses arising from fair value changes on financial assets at fair value through other comprehensive income and tangible assets used in business, with reference to land and buildings, according to the rules explained below. With reference to financial assets at fair value through other comprehensive income these profits and losses are accounted in item “120. Valuation reserves” of shareholder’s equity until the financial assets is not sold, instant in which cumulative gains and losses are reported: i) if referred to debt securities in income statement under item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income” and ii) if referred to equity instruments in the shareholder’s equity under item “150. Reserves”; the exception regards the case of impairment and gains and losses on exchange rates on monetary assets (debt securities) which are reported respectively under item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” and item “80. Net gains (losses) on trading”. With reference to tangible assets used in business, the profits arising from the valuation are recognised in item “120. Valuation reserves” of shareholder’s equity for the portion exceeding the cumulated losses recognised in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. Losses arising from the valuation are recognised in item “120. Valuation reserves” up to the cumulated profits recognised in the same item. Further losses are recognised in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. On disposal the cumulated profits reported in item “120. Valuation reserves” are recycled to item “150. Reserves”. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities and mostly refer to exposures held by UniCredit S.p.A. and its subsidiary UniCredit Bank Austria AG. In particular, during the financial year 2021 due to the occurred unobservability of the input used for the evaluation Senior bonds of Prisma securitisation, held by UniCredit S.p.A., classified among the financial assets measured at fair value through other comprehensive income for an amount equals to 745 million, have been reclassified from Level 2 to Level 3 of the fair value hierarchy. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 217 A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL LIABILITIES HELD FOR TRADING FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE HEDGING DERIVATIVES 1. Opening balances 901 748 - 2. Increases 1,434 547 - 2.1 Issuance 564 308 - 2.2 Losses recognised in 621 74 - 2.2.1 Income statement 621 62 - - of which unrealised losses 87 53 - 2.2.2 Equity X 12 - 2.3 Transfers from other levels 152 154 - 2.4 Other increases 97 11 - 3. Decreases 1,174 646 - 3.1 Redemptions 760 23 - 3.2 Purchases 31 255 - 3.3 Profits recognised in 214 63 - 3.3.1 Income statement 214 49 - - of which unrealised gains 112 22 - 3.3.2 Equity X 14 - 3.4 Transfers to other levels 142 268 - 3.5 Other decreases 27 37 - of which: business combinations - - - 4. Closing balances 1,161 649 - The sub-items “2.2.1 Losses recognised in Income statement” and “3.3.1 Profits recognised in Income statement” in financial liabilities are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities and mostly refer to exposures held by UniCredit S.p.A. and its subsidiary UniCredit Bank AG. A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value levels (€ million) ASSETS/LIABILITIES NOT MEASURED AT FAIR VALUE OR MEASURED AT FAIR VALUE ON A NON-RECURRING BASIS AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at amortised cost 593,618 61,136 222,706 319,823 608,205 50,883 213,457 357,058 2. Property, plant and equipment held for investment - - - - - - - - 3. Non-current assets and disposal groups classified as held for sale 14,287 - 111 12,648 2,017 - 912 872 Total 607,905 61,136 222,817 332,471 610,222 50,883 214,369 357,930 1. Financial liabilities at amortised cost 761,023 50,787 335,707 378,539 775,747 49,669 314,876 417,371 2. Liabilities associated with assets classified as held for sale 2,149 - 54 2,095 761 - 95 666 Total 763,172 50,787 335,761 380,634 776,508 49,669 314,971 418,037 The changes occurred between 31 December 2020 and 31 December 2021 in the ratio between fair value and book value for financial assets at amortised cost reflect the enhancement of the methodology and the parameters adopted for the fair value calculation for disclosure and the evolution in the benchmark interest rate, in the risk premium and in the probability of default depending on or deriving from markets trend. These events together with the evolution of the approach to identify the significance of non-observable inputs have been reflected in fair value hierarchy level distribution. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 217 A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL LIABILITIES HELD FOR TRADING FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE HEDGING DERIVATIVES 1. Opening balances 901 748 - 2. Increases 1,434 547 - 2.1 Issuance 564 308 - 2.2 Losses recognised in 621 74 - 2.2.1 Income statement 621 62 - - of which unrealised losses 87 53 - 2.2.2 Equity X 12 - 2.3 Transfers from other levels 152 154 - 2.4 Other increases 97 11 - 3. Decreases 1,174 646 - 3.1 Redemptions 760 23 - 3.2 Purchases 31 255 - 3.3 Profits recognised in 214 63 - 3.3.1 Income statement 214 49 - - of which unrealised gains 112 22 - 3.3.2 Equity X 14 - 3.4 Transfers to other levels 142 268 - 3.5 Other decreases 27 37 - of which: business combinations - - - 4. Closing balances 1,161 649 - The sub-items “2.2.1 Losses recognised in Income statement” and “3.3.1 Profits recognised in Income statement” in financial liabilities are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities and mostly refer to exposures held by UniCredit S.p.A. and its subsidiary UniCredit Bank AG. A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value levels (€ million) ASSETS/LIABILITIES NOT MEASURED AT FAIR VALUE OR MEASURED AT FAIR VALUE ON A NON-RECURRING BASIS AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at amortised cost 593,618 61,136 222,706 319,823 608,205 50,883 213,457 357,058 2. Property, plant and equipment held for investment - - - - - - - - 3. Non-current assets and disposal groups classified as held for sale 14,287 - 111 12,648 2,017 - 912 872 Total 607,905 61,136 222,817 332,471 610,222 50,883 214,369 357,930 1. Financial liabilities at amortised cost 761,023 50,787 335,707 378,539 775,747 49,669 314,876 417,371 2. Liabilities associated with assets classified as held for sale 2,149 - 54 2,095 761 - 95 666 Total 763,172 50,787 335,761 380,634 776,508 49,669 314,971 418,037 The changes occurred between 31 December 2020 and 31 December 2021 in the ratio between fair value and book value for financial assets at amortised cost reflect the enhancement of the methodology and the parameters adopted for the fair value calculation for disclosure and the evolution in the benchmark interest rate, in the risk premium and in the probability of default depending on or deriving from markets trend. These events together with the evolution of the approach to identify the significance of non-observable inputs have been reflected in fair value hierarchy level distribution. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 217 A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL LIABILITIES HELD FOR TRADING FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE HEDGING DERIVATIVES 1. Opening balances 901 748 - 2. Increases 1,434 547 - 2.1 Issuance 564 308 - 2.2 Losses recognised in 621 74 - 2.2.1 Income statement 621 62 - - of which unrealised losses 87 53 - 2.2.2 Equity X 12 - 2.3 Transfers from other levels 152 154 - 2.4 Other increases 97 11 - 3. Decreases 1,174 646 - 3.1 Redemptions 760 23 - 3.2 Purchases 31 255 - 3.3 Profits recognised in 214 63 - 3.3.1 Income statement 214 49 - - of which unrealised gains 112 22 - 3.3.2 Equity X 14 - 3.4 Transfers to other levels 142 268 - 3.5 Other decreases 27 37 - of which: business combinations - - - 4. Closing balances 1,161 649 - The sub-items “2.2.1 Losses recognised in Income statement” and “3.3.1 Profits recognised in Income statement” in financial liabilities are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities and mostly refer to exposures held by UniCredit S.p.A. and its subsidiary UniCredit Bank AG. A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value levels (€ million) ASSETS/LIABILITIES NOT MEASURED AT FAIR VALUE OR MEASURED AT FAIR VALUE ON A NON-RECURRING BASIS AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at amortised cost 593,618 61,136 222,706 319,823 608,205 50,883 213,457 357,058 2. Property, plant and equipment held for investment - - - - - - - - 3. Non-current assets and disposal groups classified as held for sale 14,287 - 111 12,648 2,017 - 912 872 Total 607,905 61,136 222,817 332,471 610,222 50,883 214,369 357,930 1. Financial liabilities at amortised cost 761,023 50,787 335,707 378,539 775,747 49,669 314,876 417,371 2. Liabilities associated with assets classified as held for sale 2,149 - 54 2,095 761 - 95 666 Total 763,172 50,787 335,761 380,634 776,508 49,669 314,971 418,037 The changes occurred between 31 December 2020 and 31 December 2021 in the ratio between fair value and book value for financial assets at amortised cost reflect the enhancement of the methodology and the parameters adopted for the fair value calculation for disclosure and the evolution in the benchmark interest rate, in the risk premium and in the probability of default depending on or deriving from markets trend. These events together with the evolution of the approach to identify the significance of non-observable inputs have been reflected in fair value hierarchy level distribution. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 217 A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL LIABILITIES HELD FOR TRADING FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE HEDGING DERIVATIVES 1. Opening balances 901 748 - 2. Increases 1,434 547 - 2.1 Issuance 564 308 - 2.2 Losses recognised in 621 74 - 2.2.1 Income statement 621 62 - - of which unrealised losses 87 53 - 2.2.2 Equity X 12 - 2.3 Transfers from other levels 152 154 - 2.4 Other increases 97 11 - 3. Decreases 1,174 646 - 3.1 Redemptions 760 23 - 3.2 Purchases 31 255 - 3.3 Profits recognised in 214 63 - 3.3.1 Income statement 214 49 - - of which unrealised gains 112 22 - 3.3.2 Equity X 14 - 3.4 Transfers to other levels 142 268 - 3.5 Other decreases 27 37 - of which: business combinations - - - 4. Closing balances 1,161 649 - The sub-items “2.2.1 Losses recognised in Income statement” and “3.3.1 Profits recognised in Income statement” in financial liabilities are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities and mostly refer to exposures held by UniCredit S.p.A. and its subsidiary UniCredit Bank AG. A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value levels (€ million) ASSETS/LIABILITIES NOT MEASURED AT FAIR VALUE OR MEASURED AT FAIR VALUE ON A NON-RECURRING BASIS AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at amortised cost 593,618 61,136 222,706 319,823 608,205 50,883 213,457 357,058 2. Property, plant and equipment held for investment - - - - - - - - 3. Non-current assets and disposal groups classified as held for sale 14,287 - 111 12,648 2,017 - 912 872 Total 607,905 61,136 222,817 332,471 610,222 50,883 214,369 357,930 1. Financial liabilities at amortised cost 761,023 50,787 335,707 378,539 775,747 49,669 314,876 417,371 2. Liabilities associated with assets classified as held for sale 2,149 - 54 2,095 761 - 95 666 Total 763,172 50,787 335,761 380,634 776,508 49,669 314,971 418,037 The changes occurred between 31 December 2020 and 31 December 2021 in the ratio between fair value and book value for financial assets at amortised cost reflect the enhancement of the methodology and the parameters adopted for the fair value calculation for disclosure and the evolution in the benchmark interest rate, in the risk premium and in the probability of default depending on or deriving from markets trend. These events together with the evolution of the approach to identify the significance of non-observable inputs have been reflected in fair value hierarchy level distribution. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 217 A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL LIABILITIES HELD FOR TRADING FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE HEDGING DERIVATIVES 1. Opening balances 901 748 - 2. Increases 1,434 547 - 2.1 Issuance 564 308 - 2.2 Losses recognised in 621 74 - 2.2.1 Income statement 621 62 - - of which unrealised losses 87 53 - 2.2.2 Equity X 12 - 2.3 Transfers from other levels 152 154 - 2.4 Other increases 97 11 - 3. Decreases 1,174 646 - 3.1 Redemptions 760 23 - 3.2 Purchases 31 255 - 3.3 Profits recognised in 214 63 - 3.3.1 Income statement 214 49 - - of which unrealised gains 112 22 - 3.3.2 Equity X 14 - 3.4 Transfers to other levels 142 268 - 3.5 Other decreases 27 37 - of which: business combinations - - - 4. Closing balances 1,161 649 - The sub-items “2.2.1 Losses recognised in Income statement” and “3.3.1 Profits recognised in Income statement” in financial liabilities are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution in some Group entities and mostly refer to exposures held by UniCredit S.p.A. and its subsidiary UniCredit Bank AG. A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value levels (€ million) ASSETS/LIABILITIES NOT MEASURED AT FAIR VALUE OR MEASURED AT FAIR VALUE ON A NON-RECURRING BASIS AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at amortised cost 593,618 61,136 222,706 319,823 608,205 50,883 213,457 357,058 2. Property, plant and equipment held for investment - - - - - - - - 3. Non-current assets and disposal groups classified as held for sale 14,287 - 111 12,648 2,017 - 912 872 Total 607,905 61,136 222,817 332,471 610,222 50,883 214,369 357,930 1. Financial liabilities at amortised cost 761,023 50,787 335,707 378,539 775,747 49,669 314,876 417,371 2. Liabilities associated with assets classified as held for sale 2,149 - 54 2,095 761 - 95 666 Total 763,172 50,787 335,761 380,634 776,508 49,669 314,971 418,037 The changes occurred between 31 December 2020 and 31 December 2021 in the ratio between fair value and book value for financial assets at amortised cost reflect the enhancement of the methodology and the parameters adopted for the fair value calculation for disclosure and the evolution in the benchmark interest rate, in the risk premium and in the probability of default depending on or deriving from markets trend. These events together with the evolution of the approach to identify the significance of non-observable inputs have been reflected in fair value hierarchy level distribution. Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 218 2021 Annual Report and Accounts · UniCredit The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model, mostly at UniCredit S.p.A. The book value of item “3. Non-current assets and disposal groups classified as held for sale” (Assets) includes amounts referred to assets measured on balance sheet on the basis of their cost for €1,528 million. For further details on this item refer to the table “12.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). A.5 - Information on “day one profit/loss" The value at which financial instruments are recognised is equal to their fair value on the same date. The fair value of financial instruments, different from those designated at fair value through profit or loss, at their recognition date is usually assumed to be equal to the amount collected or paid. For financial instruments held for trading (refer to Sections 1.a) and 12 of Part A.2 above) and instruments designated at fair value (refer to Sections 1.b) and 13 of Part A.2 above), any difference from the amount collected or paid is posted under the appropriate items of the income statement. The use of conservative valuation models, the processes described above for revising the models used and related parameters and value adjustments to reflect model risk ensure that the amount recognised in the income statement is not derived from the use of valuation parameters that cannot be observed. More specifically, the calculation of fair value adjustments to reflect model risk ensures that the fair value portion of these instruments relating to the use of subjective parameters is not recognised in the profit and loss accounts, but changes the balance sheet value of these instruments. The presence of further “day one profit” leads to the recognition of a distinct asset component that is the object of linear competition. Recognition of these portions in the profit and loss account is then made only when objective parameters are applied and therefore the adjustments are derecognised. The overall fair value adjustments to reflect these adjustments (amount not recognised in the Income statement) amounts to +€59 million as at 31 December 2021 (+€54 million as at 31 December 2020). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 218 2021 Annual Report and Accounts · UniCredit The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model, mostly at UniCredit S.p.A. The book value of item “3. Non-current assets and disposal groups classified as held for sale” (Assets) includes amounts referred to assets measured on balance sheet on the basis of their cost for €1,528 million. For further details on this item refer to the table “12.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). A.5 - Information on “day one profit/loss" The value at which financial instruments are recognised is equal to their fair value on the same date. The fair value of financial instruments, different from those designated at fair value through profit or loss, at their recognition date is usually assumed to be equal to the amount collected or paid. For financial instruments held for trading (refer to Sections 1.a) and 12 of Part A.2 above) and instruments designated at fair value (refer to Sections 1.b) and 13 of Part A.2 above), any difference from the amount collected or paid is posted under the appropriate items of the income statement. The use of conservative valuation models, the processes described above for revising the models used and related parameters and value adjustments to reflect model risk ensure that the amount recognised in the income statement is not derived from the use of valuation parameters that cannot be observed. More specifically, the calculation of fair value adjustments to reflect model risk ensures that the fair value portion of these instruments relating to the use of subjective parameters is not recognised in the profit and loss accounts, but changes the balance sheet value of these instruments. The presence of further “day one profit” leads to the recognition of a distinct asset component that is the object of linear competition. Recognition of these portions in the profit and loss account is then made only when objective parameters are applied and therefore the adjustments are derecognised. The overall fair value adjustments to reflect these adjustments (amount not recognised in the Income statement) amounts to +€59 million as at 31 December 2021 (+€54 million as at 31 December 2020). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 218 2021 Annual Report and Accounts · UniCredit The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model, mostly at UniCredit S.p.A. The book value of item “3. Non-current assets and disposal groups classified as held for sale” (Assets) includes amounts referred to assets measured on balance sheet on the basis of their cost for €1,528 million. For further details on this item refer to the table “12.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). A.5 - Information on “day one profit/loss" The value at which financial instruments are recognised is equal to their fair value on the same date. The fair value of financial instruments, different from those designated at fair value through profit or loss, at their recognition date is usually assumed to be equal to the amount collected or paid. For financial instruments held for trading (refer to Sections 1.a) and 12 of Part A.2 above) and instruments designated at fair value (refer to Sections 1.b) and 13 of Part A.2 above), any difference from the amount collected or paid is posted under the appropriate items of the income statement. The use of conservative valuation models, the processes described above for revising the models used and related parameters and value adjustments to reflect model risk ensure that the amount recognised in the income statement is not derived from the use of valuation parameters that cannot be observed. More specifically, the calculation of fair value adjustments to reflect model risk ensures that the fair value portion of these instruments relating to the use of subjective parameters is not recognised in the profit and loss accounts, but changes the balance sheet value of these instruments. The presence of further “day one profit” leads to the recognition of a distinct asset component that is the object of linear competition. Recognition of these portions in the profit and loss account is then made only when objective parameters are applied and therefore the adjustments are derecognised. The overall fair value adjustments to reflect these adjustments (amount not recognised in the Income statement) amounts to +€59 million as at 31 December 2021 (+€54 million as at 31 December 2020). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 218 2021 Annual Report and Accounts · UniCredit The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model, mostly at UniCredit S.p.A. The book value of item “3. Non-current assets and disposal groups classified as held for sale” (Assets) includes amounts referred to assets measured on balance sheet on the basis of their cost for €1,528 million. For further details on this item refer to the table “12.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). A.5 - Information on “day one profit/loss" The value at which financial instruments are recognised is equal to their fair value on the same date. The fair value of financial instruments, different from those designated at fair value through profit or loss, at their recognition date is usually assumed to be equal to the amount collected or paid. For financial instruments held for trading (refer to Sections 1.a) and 12 of Part A.2 above) and instruments designated at fair value (refer to Sections 1.b) and 13 of Part A.2 above), any difference from the amount collected or paid is posted under the appropriate items of the income statement. The use of conservative valuation models, the processes described above for revising the models used and related parameters and value adjustments to reflect model risk ensure that the amount recognised in the income statement is not derived from the use of valuation parameters that cannot be observed. More specifically, the calculation of fair value adjustments to reflect model risk ensures that the fair value portion of these instruments relating to the use of subjective parameters is not recognised in the profit and loss accounts, but changes the balance sheet value of these instruments. The presence of further “day one profit” leads to the recognition of a distinct asset component that is the object of linear competition. Recognition of these portions in the profit and loss account is then made only when objective parameters are applied and therefore the adjustments are derecognised. The overall fair value adjustments to reflect these adjustments (amount not recognised in the Income statement) amounts to +€59 million as at 31 December 2021 (+€54 million as at 31 December 2020). Consolidated financial statements | Notes to the consolidated accounts Part A - Accounting policies 218 2021 Annual Report and Accounts · UniCredit The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model, mostly at UniCredit S.p.A. The book value of item “3. Non-current assets and disposal groups classified as held for sale” (Assets) includes amounts referred to assets measured on balance sheet on the basis of their cost for €1,528 million. For further details on this item refer to the table “12.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). A.5 - Information on “day one profit/loss" The value at which financial instruments are recognised is equal to their fair value on the same date. The fair value of financial instruments, different from those designated at fair value through profit or loss, at their recognition date is usually assumed to be equal to the amount collected or paid. For financial instruments held for trading (refer to Sections 1.a) and 12 of Part A.2 above) and instruments designated at fair value (refer to Sections 1.b) and 13 of Part A.2 above), any difference from the amount collected or paid is posted under the appropriate items of the income statement. The use of conservative valuation models, the processes described above for revising the models used and related parameters and value adjustments to reflect model risk ensure that the amount recognised in the income statement is not derived from the use of valuation parameters that cannot be observed. More specifically, the calculation of fair value adjustments to reflect model risk ensures that the fair value portion of these instruments relating to the use of subjective parameters is not recognised in the profit and loss accounts, but changes the balance sheet value of these instruments. The presence of further “day one profit” leads to the recognition of a distinct asset component that is the object of linear competition. Recognition of these portions in the profit and loss account is then made only when objective parameters are applied and therefore the adjustments are derecognised. The overall fair value adjustments to reflect these adjustments (amount not recognised in the Income statement) amounts to +€59 million as at 31 December 2021 (+€54 million as at 31 December 2020). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 219 Part B - Consolidated balance sheet Assets Section 1 - Cash and cash balances - Item 10 1.1 Cash and cash balances: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 a) Cash 8,950 8,952 b) Current accounts and demand deposits with Central Banks 89,037 96,286 c) Current accounts and demand deposits with Banks 9,420 11,765 Total 107,407 117,003 The decrease in the item “b) Current accounts and demand deposits with Central Bank” is mainly due to a subsidiary UniCredit Bank AG. The item “b) Current accounts and demand deposits with Central Bank” include mainly the investment of liquidity in overnight deposits with Banca d’Italia and Bundesbank, in addition to the part that is maintained in the Compulsory Reserves, classified in the item Due from Banks as a result of the management of a net surplus of funds recognised both (i) in the context of commercial activity with customers and (ii) as part of the interbank business. Section 2 - Financial assets at fair value through profit or loss - Item 20 2.1 Financial assets held for trading: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial assets (non-derivatives) 1. Debt securities 12,220 1,112 369 8,691 1,473 693 1.1 Structured securities 2 699 - 23 978 - 1.2 Other debt securities 12,218 413 369 8,668 495 693 2. Equity instruments 7,727 1 - 6,545 4 - 3. Units in investment funds 1,509 842 74 1,462 736 29 4. Loans 6,838 8,593 - 3,066 4,844 - 4.1 Reverse Repos - 2,188 - - 1,887 - 4.2 Other 6,838 6,405 - 3,066 2,957 - Total (A) 28,294 10,548 443 19,764 7,057 722 B. Derivative instruments 1. Financial derivatives 4,881 34,983 755 4,036 40,467 577 1.1 Trading 4,881 34,839 755 4,036 40,422 577 1.2 Linked to fair value option - 20 - - 19 - 1.3 Other - 124 - - 26 - 2. Credit derivatives 16 186 3 24 54 4 2.1 Trading 16 186 3 24 54 4 2.2 Linked to fair value option - - - - - - 2.3 Other - - - - - - Total (B) 4,897 35,169 758 4,060 40,521 581 Total (A+B) 33,191 45,717 1,201 23,824 47,578 1,303 Total Level 1, Level 2 and Level 3 80,109 72,705 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see paragraph “A.4 - Information on fair value”, of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies. The financial assets and liabilities relating to OTC Derivatives and Reverse repos managed through Central Counterparty Clearing Houses (CCPs) are offset when (i) the clearing systems of CCPs guarantee the elimination or reduce to immaterial the credit and liquidity risks of these contracts and (ii) the entity intends to settle these contracts on a net basis, in accordance with IAS32 - Offsetting, in order to improve the presentation of the liquidity profile and counterparty risk connected with them. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 219 Part B - Consolidated balance sheet Assets Section 1 - Cash and cash balances - Item 10 1.1 Cash and cash balances: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 a) Cash 8,950 8,952 b) Current accounts and demand deposits with Central Banks 89,037 96,286 c) Current accounts and demand deposits with Banks 9,420 11,765 Total 107,407 117,003 The decrease in the item “b) Current accounts and demand deposits with Central Bank” is mainly due to a subsidiary UniCredit Bank AG. The item “b) Current accounts and demand deposits with Central Bank” include mainly the investment of liquidity in overnight deposits with Banca d’Italia and Bundesbank, in addition to the part that is maintained in the Compulsory Reserves, classified in the item Due from Banks as a result of the management of a net surplus of funds recognised both (i) in the context of commercial activity with customers and (ii) as part of the interbank business. Section 2 - Financial assets at fair value through profit or loss - Item 20 2.1 Financial assets held for trading: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial assets (non-derivatives) 1. Debt securities 12,220 1,112 369 8,691 1,473 693 1.1 Structured securities 2 699 - 23 978 - 1.2 Other debt securities 12,218 413 369 8,668 495 693 2. Equity instruments 7,727 1 - 6,545 4 - 3. Units in investment funds 1,509 842 74 1,462 736 29 4. Loans 6,838 8,593 - 3,066 4,844 - 4.1 Reverse Repos - 2,188 - - 1,887 - 4.2 Other 6,838 6,405 - 3,066 2,957 - Total (A) 28,294 10,548 443 19,764 7,057 722 B. Derivative instruments 1. Financial derivatives 4,881 34,983 755 4,036 40,467 577 1.1 Trading 4,881 34,839 755 4,036 40,422 577 1.2 Linked to fair value option - 20 - - 19 - 1.3 Other - 124 - - 26 - 2. Credit derivatives 16 186 3 24 54 4 2.1 Trading 16 186 3 24 54 4 2.2 Linked to fair value option - - - - - - 2.3 Other - - - - - - Total (B) 4,897 35,169 758 4,060 40,521 581 Total (A+B) 33,191 45,717 1,201 23,824 47,578 1,303 Total Level 1, Level 2 and Level 3 80,109 72,705 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see paragraph “A.4 - Information on fair value”, of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies. The financial assets and liabilities relating to OTC Derivatives and Reverse repos managed through Central Counterparty Clearing Houses (CCPs) are offset when (i) the clearing systems of CCPs guarantee the elimination or reduce to immaterial the credit and liquidity risks of these contracts and (ii) the entity intends to settle these contracts on a net basis, in accordance with IAS32 - Offsetting, in order to improve the presentation of the liquidity profile and counterparty risk connected with them. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 219 Part B - Consolidated balance sheet Assets Section 1 - Cash and cash balances - Item 10 1.1 Cash and cash balances: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 a) Cash 8,950 8,952 b) Current accounts and demand deposits with Central Banks 89,037 96,286 c) Current accounts and demand deposits with Banks 9,420 11,765 Total 107,407 117,003 The decrease in the item “b) Current accounts and demand deposits with Central Bank” is mainly due to a subsidiary UniCredit Bank AG. The item “b) Current accounts and demand deposits with Central Bank” include mainly the investment of liquidity in overnight deposits with Banca d’Italia and Bundesbank, in addition to the part that is maintained in the Compulsory Reserves, classified in the item Due from Banks as a result of the management of a net surplus of funds recognised both (i) in the context of commercial activity with customers and (ii) as part of the interbank business. Section 2 - Financial assets at fair value through profit or loss - Item 20 2.1 Financial assets held for trading: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial assets (non-derivatives) 1. Debt securities 12,220 1,112 369 8,691 1,473 693 1.1 Structured securities 2 699 - 23 978 - 1.2 Other debt securities 12,218 413 369 8,668 495 693 2. Equity instruments 7,727 1 - 6,545 4 - 3. Units in investment funds 1,509 842 74 1,462 736 29 4. Loans 6,838 8,593 - 3,066 4,844 - 4.1 Reverse Repos - 2,188 - - 1,887 - 4.2 Other 6,838 6,405 - 3,066 2,957 - Total (A) 28,294 10,548 443 19,764 7,057 722 B. Derivative instruments 1. Financial derivatives 4,881 34,983 755 4,036 40,467 577 1.1 Trading 4,881 34,839 755 4,036 40,422 577 1.2 Linked to fair value option - 20 - - 19 - 1.3 Other - 124 - - 26 - 2. Credit derivatives 16 186 3 24 54 4 2.1 Trading 16 186 3 24 54 4 2.2 Linked to fair value option - - - - - - 2.3 Other - - - - - - Total (B) 4,897 35,169 758 4,060 40,521 581 Total (A+B) 33,191 45,717 1,201 23,824 47,578 1,303 Total Level 1, Level 2 and Level 3 80,109 72,705 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see paragraph “A.4 - Information on fair value”, of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies. The financial assets and liabilities relating to OTC Derivatives and Reverse repos managed through Central Counterparty Clearing Houses (CCPs) are offset when (i) the clearing systems of CCPs guarantee the elimination or reduce to immaterial the credit and liquidity risks of these contracts and (ii) the entity intends to settle these contracts on a net basis, in accordance with IAS32 - Offsetting, in order to improve the presentation of the liquidity profile and counterparty risk connected with them. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 219 Part B - Consolidated balance sheet Assets Section 1 - Cash and cash balances - Item 10 1.1 Cash and cash balances: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 a) Cash 8,950 8,952 b) Current accounts and demand deposits with Central Banks 89,037 96,286 c) Current accounts and demand deposits with Banks 9,420 11,765 Total 107,407 117,003 The decrease in the item “b) Current accounts and demand deposits with Central Bank” is mainly due to a subsidiary UniCredit Bank AG. The item “b) Current accounts and demand deposits with Central Bank” include mainly the investment of liquidity in overnight deposits with Banca d’Italia and Bundesbank, in addition to the part that is maintained in the Compulsory Reserves, classified in the item Due from Banks as a result of the management of a net surplus of funds recognised both (i) in the context of commercial activity with customers and (ii) as part of the interbank business. Section 2 - Financial assets at fair value through profit or loss - Item 20 2.1 Financial assets held for trading: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial assets (non-derivatives) 1. Debt securities 12,220 1,112 369 8,691 1,473 693 1.1 Structured securities 2 699 - 23 978 - 1.2 Other debt securities 12,218 413 369 8,668 495 693 2. Equity instruments 7,727 1 - 6,545 4 - 3. Units in investment funds 1,509 842 74 1,462 736 29 4. Loans 6,838 8,593 - 3,066 4,844 - 4.1 Reverse Repos - 2,188 - - 1,887 - 4.2 Other 6,838 6,405 - 3,066 2,957 - Total (A) 28,294 10,548 443 19,764 7,057 722 B. Derivative instruments 1. Financial derivatives 4,881 34,983 755 4,036 40,467 577 1.1 Trading 4,881 34,839 755 4,036 40,422 577 1.2 Linked to fair value option - 20 - - 19 - 1.3 Other - 124 - - 26 - 2. Credit derivatives 16 186 3 24 54 4 2.1 Trading 16 186 3 24 54 4 2.2 Linked to fair value option - - - - - - 2.3 Other - - - - - - Total (B) 4,897 35,169 758 4,060 40,521 581 Total (A+B) 33,191 45,717 1,201 23,824 47,578 1,303 Total Level 1, Level 2 and Level 3 80,109 72,705 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see paragraph “A.4 - Information on fair value”, of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies. The financial assets and liabilities relating to OTC Derivatives and Reverse repos managed through Central Counterparty Clearing Houses (CCPs) are offset when (i) the clearing systems of CCPs guarantee the elimination or reduce to immaterial the credit and liquidity risks of these contracts and (ii) the entity intends to settle these contracts on a net basis, in accordance with IAS32 - Offsetting, in order to improve the presentation of the liquidity profile and counterparty risk connected with them. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 219 Part B - Consolidated balance sheet Assets Section 1 - Cash and cash balances - Item 10 1.1 Cash and cash balances: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 a) Cash 8,950 8,952 b) Current accounts and demand deposits with Central Banks 89,037 96,286 c) Current accounts and demand deposits with Banks 9,420 11,765 Total 107,407 117,003 The decrease in the item “b) Current accounts and demand deposits with Central Bank” is mainly due to a subsidiary UniCredit Bank AG. The item “b) Current accounts and demand deposits with Central Bank” include mainly the investment of liquidity in overnight deposits with Banca d’Italia and Bundesbank, in addition to the part that is maintained in the Compulsory Reserves, classified in the item Due from Banks as a result of the management of a net surplus of funds recognised both (i) in the context of commercial activity with customers and (ii) as part of the interbank business. Section 2 - Financial assets at fair value through profit or loss - Item 20 2.1 Financial assets held for trading: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial assets (non-derivatives) 1. Debt securities 12,220 1,112 369 8,691 1,473 693 1.1 Structured securities 2 699 - 23 978 - 1.2 Other debt securities 12,218 413 369 8,668 495 693 2. Equity instruments 7,727 1 - 6,545 4 - 3. Units in investment funds 1,509 842 74 1,462 736 29 4. Loans 6,838 8,593 - 3,066 4,844 - 4.1 Reverse Repos - 2,188 - - 1,887 - 4.2 Other 6,838 6,405 - 3,066 2,957 - Total (A) 28,294 10,548 443 19,764 7,057 722 B. Derivative instruments 1. Financial derivatives 4,881 34,983 755 4,036 40,467 577 1.1 Trading 4,881 34,839 755 4,036 40,422 577 1.2 Linked to fair value option - 20 - - 19 - 1.3 Other - 124 - - 26 - 2. Credit derivatives 16 186 3 24 54 4 2.1 Trading 16 186 3 24 54 4 2.2 Linked to fair value option - - - - - - 2.3 Other - - - - - - Total (B) 4,897 35,169 758 4,060 40,521 581 Total (A+B) 33,191 45,717 1,201 23,824 47,578 1,303 Total Level 1, Level 2 and Level 3 80,109 72,705 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see paragraph “A.4 - Information on fair value”, of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies. The financial assets and liabilities relating to OTC Derivatives and Reverse repos managed through Central Counterparty Clearing Houses (CCPs) are offset when (i) the clearing systems of CCPs guarantee the elimination or reduce to immaterial the credit and liquidity risks of these contracts and (ii) the entity intends to settle these contracts on a net basis, in accordance with IAS32 - Offsetting, in order to improve the presentation of the liquidity profile and counterparty risk connected with them. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 220 2021 Annual Report and Accounts · UniCredit The offset effect as at 31 December 2021, already included in the net presentation of these transactions, totaled €35,559 million decreased in comparison to €38,163 million as at 31 December 2020 due to the evolution of the reference market conditions. Item “1. Debt securities" include securities related to securitisation transactions shown in the following table. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 32 Mezzanine - Junior 1 Total 33 2.2 Financial assets held for trading: breakdown by borrowers/issuers/counterparties (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 A. Financial assets (non-derivatives) 1. Debt securities 13,701 10,857 a) Central Banks - - b) Governments and other Public Sector Entities 11,195 7,386 c) Banks 733 1,204 d) Other financial companies 1,007 1,488 of which: insurance companies - - e) Non-financial companies 766 779 2. Equity instruments 7,728 6,549 a) Banks 365 671 b) Other financial companies 615 592 of which: insurance companies 174 195 c) Non-financial companies 6,748 5,286 d) Other issuers - - 3. Units in investment funds 2,425 2,227 4. Loans 15,431 7,910 a) Central Banks 231 83 b) Governments and other Public Sector Entities 5,739 2,155 c) Banks 388 394 d) Other financial companies 1,535 1,071 of which: insurance companies - - e) Non-financial companies 7,538 4,207 f) Households - - Total A 39,285 27,543 B. Derivative instruments a) Central counterparties 6,209 4,463 d) Other 34,615 40,699 Total B 40,824 45,162 Total (A+B) 80,109 72,705 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 220 2021 Annual Report and Accounts · UniCredit The offset effect as at 31 December 2021, already included in the net presentation of these transactions, totaled €35,559 million decreased in comparison to €38,163 million as at 31 December 2020 due to the evolution of the reference market conditions. Item “1. Debt securities" include securities related to securitisation transactions shown in the following table. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 32 Mezzanine - Junior 1 Total 33 2.2 Financial assets held for trading: breakdown by borrowers/issuers/counterparties (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 A. Financial assets (non-derivatives) 1. Debt securities 13,701 10,857 a) Central Banks - - b) Governments and other Public Sector Entities 11,195 7,386 c) Banks 733 1,204 d) Other financial companies 1,007 1,488 of which: insurance companies - - e) Non-financial companies 766 779 2. Equity instruments 7,728 6,549 a) Banks 365 671 b) Other financial companies 615 592 of which: insurance companies 174 195 c) Non-financial companies 6,748 5,286 d) Other issuers - - 3. Units in investment funds 2,425 2,227 4. Loans 15,431 7,910 a) Central Banks 231 83 b) Governments and other Public Sector Entities 5,739 2,155 c) Banks 388 394 d) Other financial companies 1,535 1,071 of which: insurance companies - - e) Non-financial companies 7,538 4,207 f) Households - - Total A 39,285 27,543 B. Derivative instruments a) Central counterparties 6,209 4,463 d) Other 34,615 40,699 Total B 40,824 45,162 Total (A+B) 80,109 72,705 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 220 2021 Annual Report and Accounts · UniCredit The offset effect as at 31 December 2021, already included in the net presentation of these transactions, totaled €35,559 million decreased in comparison to €38,163 million as at 31 December 2020 due to the evolution of the reference market conditions. Item “1. Debt securities" include securities related to securitisation transactions shown in the following table. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 32 Mezzanine - Junior 1 Total 33 2.2 Financial assets held for trading: breakdown by borrowers/issuers/counterparties (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 A. Financial assets (non-derivatives) 1. Debt securities 13,701 10,857 a) Central Banks - - b) Governments and other Public Sector Entities 11,195 7,386 c) Banks 733 1,204 d) Other financial companies 1,007 1,488 of which: insurance companies - - e) Non-financial companies 766 779 2. Equity instruments 7,728 6,549 a) Banks 365 671 b) Other financial companies 615 592 of which: insurance companies 174 195 c) Non-financial companies 6,748 5,286 d) Other issuers - - 3. Units in investment funds 2,425 2,227 4. Loans 15,431 7,910 a) Central Banks 231 83 b) Governments and other Public Sector Entities 5,739 2,155 c) Banks 388 394 d) Other financial companies 1,535 1,071 of which: insurance companies - - e) Non-financial companies 7,538 4,207 f) Households - - Total A 39,285 27,543 B. Derivative instruments a) Central counterparties 6,209 4,463 d) Other 34,615 40,699 Total B 40,824 45,162 Total (A+B) 80,109 72,705 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 220 2021 Annual Report and Accounts · UniCredit The offset effect as at 31 December 2021, already included in the net presentation of these transactions, totaled €35,559 million decreased in comparison to €38,163 million as at 31 December 2020 due to the evolution of the reference market conditions. Item “1. Debt securities" include securities related to securitisation transactions shown in the following table. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 32 Mezzanine - Junior 1 Total 33 2.2 Financial assets held for trading: breakdown by borrowers/issuers/counterparties (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 A. Financial assets (non-derivatives) 1. Debt securities 13,701 10,857 a) Central Banks - - b) Governments and other Public Sector Entities 11,195 7,386 c) Banks 733 1,204 d) Other financial companies 1,007 1,488 of which: insurance companies - - e) Non-financial companies 766 779 2. Equity instruments 7,728 6,549 a) Banks 365 671 b) Other financial companies 615 592 of which: insurance companies 174 195 c) Non-financial companies 6,748 5,286 d) Other issuers - - 3. Units in investment funds 2,425 2,227 4. Loans 15,431 7,910 a) Central Banks 231 83 b) Governments and other Public Sector Entities 5,739 2,155 c) Banks 388 394 d) Other financial companies 1,535 1,071 of which: insurance companies - - e) Non-financial companies 7,538 4,207 f) Households - - Total A 39,285 27,543 B. Derivative instruments a) Central counterparties 6,209 4,463 d) Other 34,615 40,699 Total B 40,824 45,162 Total (A+B) 80,109 72,705 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 220 2021 Annual Report and Accounts · UniCredit The offset effect as at 31 December 2021, already included in the net presentation of these transactions, totaled €35,559 million decreased in comparison to €38,163 million as at 31 December 2020 due to the evolution of the reference market conditions. Item “1. Debt securities" include securities related to securitisation transactions shown in the following table. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 32 Mezzanine - Junior 1 Total 33 2.2 Financial assets held for trading: breakdown by borrowers/issuers/counterparties (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 A. Financial assets (non-derivatives) 1. Debt securities 13,701 10,857 a) Central Banks - - b) Governments and other Public Sector Entities 11,195 7,386 c) Banks 733 1,204 d) Other financial companies 1,007 1,488 of which: insurance companies - - e) Non-financial companies 766 779 2. Equity instruments 7,728 6,549 a) Banks 365 671 b) Other financial companies 615 592 of which: insurance companies 174 195 c) Non-financial companies 6,748 5,286 d) Other issuers - - 3. Units in investment funds 2,425 2,227 4. Loans 15,431 7,910 a) Central Banks 231 83 b) Governments and other Public Sector Entities 5,739 2,155 c) Banks 388 394 d) Other financial companies 1,535 1,071 of which: insurance companies - - e) Non-financial companies 7,538 4,207 f) Households - - Total A 39,285 27,543 B. Derivative instruments a) Central counterparties 6,209 4,463 d) Other 34,615 40,699 Total B 40,824 45,162 Total (A+B) 80,109 72,705 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 221 2.3 Financial assets designated at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 279 - - 226 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 279 - - 226 - - 2. Loans - - - - - - 2.1 Structured - - - - - - 2.2 Other - - - - - - Total 279 - - 226 - - Total Level 1, Level 2 and Level 3 279 226 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. 2.4 Financial assets designated at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 279 226 a) Central Banks - - b) Governments and other Public Sector Entities 279 226 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 279 226 2.5 Other financial assets mandatorily at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 5,490 1,664 257 5,612 5,042 187 1.1 Structured securities - - 2 - - - 1.2 Other debt securities 5,490 1,664 255 5,612 5,042 187 2. Equity instruments 334 85 646 57 80 647 3. Units in investment funds 23 38 1,396 27 39 1,267 4. Loans - 1,385 533 - 1,448 488 4.1 Structured - - - - - - 4.2 Other - 1,385 533 - 1,448 488 Total 5,847 3,172 2,832 5,696 6,609 2,589 Total Level 1, Level 2 and Level 3 11,851 14,894 A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow characteristics, for being measured at amortised cost or at fair value through other comprehensive income. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 221 2.3 Financial assets designated at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 279 - - 226 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 279 - - 226 - - 2. Loans - - - - - - 2.1 Structured - - - - - - 2.2 Other - - - - - - Total 279 - - 226 - - Total Level 1, Level 2 and Level 3 279 226 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. 2.4 Financial assets designated at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 279 226 a) Central Banks - - b) Governments and other Public Sector Entities 279 226 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 279 226 2.5 Other financial assets mandatorily at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 5,490 1,664 257 5,612 5,042 187 1.1 Structured securities - - 2 - - - 1.2 Other debt securities 5,490 1,664 255 5,612 5,042 187 2. Equity instruments 334 85 646 57 80 647 3. Units in investment funds 23 38 1,396 27 39 1,267 4. Loans - 1,385 533 - 1,448 488 4.1 Structured - - - - - - 4.2 Other - 1,385 533 - 1,448 488 Total 5,847 3,172 2,832 5,696 6,609 2,589 Total Level 1, Level 2 and Level 3 11,851 14,894 A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow characteristics, for being measured at amortised cost or at fair value through other comprehensive income. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 221 2.3 Financial assets designated at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 279 - - 226 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 279 - - 226 - - 2. Loans - - - - - - 2.1 Structured - - - - - - 2.2 Other - - - - - - Total 279 - - 226 - - Total Level 1, Level 2 and Level 3 279 226 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. 2.4 Financial assets designated at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 279 226 a) Central Banks - - b) Governments and other Public Sector Entities 279 226 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 279 226 2.5 Other financial assets mandatorily at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 5,490 1,664 257 5,612 5,042 187 1.1 Structured securities - - 2 - - - 1.2 Other debt securities 5,490 1,664 255 5,612 5,042 187 2. Equity instruments 334 85 646 57 80 647 3. Units in investment funds 23 38 1,396 27 39 1,267 4. Loans - 1,385 533 - 1,448 488 4.1 Structured - - - - - - 4.2 Other - 1,385 533 - 1,448 488 Total 5,847 3,172 2,832 5,696 6,609 2,589 Total Level 1, Level 2 and Level 3 11,851 14,894 A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow characteristics, for being measured at amortised cost or at fair value through other comprehensive income. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 221 2.3 Financial assets designated at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 279 - - 226 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 279 - - 226 - - 2. Loans - - - - - - 2.1 Structured - - - - - - 2.2 Other - - - - - - Total 279 - - 226 - - Total Level 1, Level 2 and Level 3 279 226 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. 2.4 Financial assets designated at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 279 226 a) Central Banks - - b) Governments and other Public Sector Entities 279 226 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 279 226 2.5 Other financial assets mandatorily at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 5,490 1,664 257 5,612 5,042 187 1.1 Structured securities - - 2 - - - 1.2 Other debt securities 5,490 1,664 255 5,612 5,042 187 2. Equity instruments 334 85 646 57 80 647 3. Units in investment funds 23 38 1,396 27 39 1,267 4. Loans - 1,385 533 - 1,448 488 4.1 Structured - - - - - - 4.2 Other - 1,385 533 - 1,448 488 Total 5,847 3,172 2,832 5,696 6,609 2,589 Total Level 1, Level 2 and Level 3 11,851 14,894 A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow characteristics, for being measured at amortised cost or at fair value through other comprehensive income. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 221 2.3 Financial assets designated at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 279 - - 226 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 279 - - 226 - - 2. Loans - - - - - - 2.1 Structured - - - - - - 2.2 Other - - - - - - Total 279 - - 226 - - Total Level 1, Level 2 and Level 3 279 226 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. 2.4 Financial assets designated at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 279 226 a) Central Banks - - b) Governments and other Public Sector Entities 279 226 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 279 226 2.5 Other financial assets mandatorily at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 5,490 1,664 257 5,612 5,042 187 1.1 Structured securities - - 2 - - - 1.2 Other debt securities 5,490 1,664 255 5,612 5,042 187 2. Equity instruments 334 85 646 57 80 647 3. Units in investment funds 23 38 1,396 27 39 1,267 4. Loans - 1,385 533 - 1,448 488 4.1 Structured - - - - - - 4.2 Other - 1,385 533 - 1,448 488 Total 5,847 3,172 2,832 5,696 6,609 2,589 Total Level 1, Level 2 and Level 3 11,851 14,894 A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow characteristics, for being measured at amortised cost or at fair value through other comprehensive income. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 222 2021 Annual Report and Accounts · UniCredit The item “1. Debt securities” includes investments in FINO Project’s Mezzanine and Junior Notes with a value of €43 million, Mezzanine and Junior bonds of Prisma securitisation for €3 million and Mezzanine and Junior bonds of Olympia for €1 million, presented among Level 3 instruments. The item “2. Equity instruments” includes the investment in a “Schema Volontario” (presented among Level 3 instruments) with a value of €2 million. The item “3. Units in investment funds” includes the investments in Atlante and Italian Recovery Fund, former Atlante II, presented among Level 3 instruments, with a value of €327 million as at 31 December 2021. The item “4. Loans” includes exposures which have been granted payment moratoriums related to the Covid-19 pandemic context for a total amount of €5 million, held by UniCredit S.p.A. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,875 Mezzanine 61 Junior 52 Total 1,988 Information about the units of Atlante Fund and Italian Recovery Fund Reference is made to the paragraph “Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20, which is herewith quoted entirely. Information about the investments in the “Schema Volontario” (Voluntary Scheme) Reference is made to the paragraph “Information about the investments in the Shema Volontario” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20, which is herewith quoted entirely. 2.6 Other Financial assets mandatorily at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Equity instruments 1,065 784 of which: banks 254 25 of which: other financial companies 260 257 of which: non-financial companies 551 503 2. Debt securities 7,411 10,841 a) Central banks 3 4 b) Governments and other Public Sector Entities 4,104 6,383 c) Banks 2,769 3,980 d) Other financial companies 521 463 of which: insurance companies 81 57 e) Non-financial companies 14 11 3. Units in investment funds 1,457 1,333 4. Loans and advances 1,918 1,936 a) Central banks - - b) Governments and other Public Sector Entities 768 830 c) Banks 57 60 d) Other financial companies 90 57 of which: insurance companies - - e) Non-financial companies 559 661 f) Households 444 328 Total 11,851 14,894 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 222 2021 Annual Report and Accounts · UniCredit The item “1. Debt securities” includes investments in FINO Project’s Mezzanine and Junior Notes with a value of €43 million, Mezzanine and Junior bonds of Prisma securitisation for €3 million and Mezzanine and Junior bonds of Olympia for €1 million, presented among Level 3 instruments. The item “2. Equity instruments” includes the investment in a “Schema Volontario” (presented among Level 3 instruments) with a value of €2 million. The item “3. Units in investment funds” includes the investments in Atlante and Italian Recovery Fund, former Atlante II, presented among Level 3 instruments, with a value of €327 million as at 31 December 2021. The item “4. Loans” includes exposures which have been granted payment moratoriums related to the Covid-19 pandemic context for a total amount of €5 million, held by UniCredit S.p.A. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,875 Mezzanine 61 Junior 52 Total 1,988 Information about the units of Atlante Fund and Italian Recovery Fund Reference is made to the paragraph “Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20, which is herewith quoted entirely. Information about the investments in the “Schema Volontario” (Voluntary Scheme) Reference is made to the paragraph “Information about the investments in the Shema Volontario” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20, which is herewith quoted entirely. 2.6 Other Financial assets mandatorily at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Equity instruments 1,065 784 of which: banks 254 25 of which: other financial companies 260 257 of which: non-financial companies 551 503 2. Debt securities 7,411 10,841 a) Central banks 3 4 b) Governments and other Public Sector Entities 4,104 6,383 c) Banks 2,769 3,980 d) Other financial companies 521 463 of which: insurance companies 81 57 e) Non-financial companies 14 11 3. Units in investment funds 1,457 1,333 4. Loans and advances 1,918 1,936 a) Central banks - - b) Governments and other Public Sector Entities 768 830 c) Banks 57 60 d) Other financial companies 90 57 of which: insurance companies - - e) Non-financial companies 559 661 f) Households 444 328 Total 11,851 14,894 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 222 2021 Annual Report and Accounts · UniCredit The item “1. Debt securities” includes investments in FINO Project’s Mezzanine and Junior Notes with a value of €43 million, Mezzanine and Junior bonds of Prisma securitisation for €3 million and Mezzanine and Junior bonds of Olympia for €1 million, presented among Level 3 instruments. The item “2. Equity instruments” includes the investment in a “Schema Volontario” (presented among Level 3 instruments) with a value of €2 million. The item “3. Units in investment funds” includes the investments in Atlante and Italian Recovery Fund, former Atlante II, presented among Level 3 instruments, with a value of €327 million as at 31 December 2021. The item “4. Loans” includes exposures which have been granted payment moratoriums related to the Covid-19 pandemic context for a total amount of €5 million, held by UniCredit S.p.A. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,875 Mezzanine 61 Junior 52 Total 1,988 Information about the units of Atlante Fund and Italian Recovery Fund Reference is made to the paragraph “Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20, which is herewith quoted entirely. Information about the investments in the “Schema Volontario” (Voluntary Scheme) Reference is made to the paragraph “Information about the investments in the Shema Volontario” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20, which is herewith quoted entirely. 2.6 Other Financial assets mandatorily at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Equity instruments 1,065 784 of which: banks 254 25 of which: other financial companies 260 257 of which: non-financial companies 551 503 2. Debt securities 7,411 10,841 a) Central banks 3 4 b) Governments and other Public Sector Entities 4,104 6,383 c) Banks 2,769 3,980 d) Other financial companies 521 463 of which: insurance companies 81 57 e) Non-financial companies 14 11 3. Units in investment funds 1,457 1,333 4. Loans and advances 1,918 1,936 a) Central banks - - b) Governments and other Public Sector Entities 768 830 c) Banks 57 60 d) Other financial companies 90 57 of which: insurance companies - - e) Non-financial companies 559 661 f) Households 444 328 Total 11,851 14,894 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 222 2021 Annual Report and Accounts · UniCredit The item “1. Debt securities” includes investments in FINO Project’s Mezzanine and Junior Notes with a value of €43 million, Mezzanine and Junior bonds of Prisma securitisation for €3 million and Mezzanine and Junior bonds of Olympia for €1 million, presented among Level 3 instruments. The item “2. Equity instruments” includes the investment in a “Schema Volontario” (presented among Level 3 instruments) with a value of €2 million. The item “3. Units in investment funds” includes the investments in Atlante and Italian Recovery Fund, former Atlante II, presented among Level 3 instruments, with a value of €327 million as at 31 December 2021. The item “4. Loans” includes exposures which have been granted payment moratoriums related to the Covid-19 pandemic context for a total amount of €5 million, held by UniCredit S.p.A. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,875 Mezzanine 61 Junior 52 Total 1,988 Information about the units of Atlante Fund and Italian Recovery Fund Reference is made to the paragraph “Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20, which is herewith quoted entirely. Information about the investments in the “Schema Volontario” (Voluntary Scheme) Reference is made to the paragraph “Information about the investments in the Shema Volontario” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20, which is herewith quoted entirely. 2.6 Other Financial assets mandatorily at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Equity instruments 1,065 784 of which: banks 254 25 of which: other financial companies 260 257 of which: non-financial companies 551 503 2. Debt securities 7,411 10,841 a) Central banks 3 4 b) Governments and other Public Sector Entities 4,104 6,383 c) Banks 2,769 3,980 d) Other financial companies 521 463 of which: insurance companies 81 57 e) Non-financial companies 14 11 3. Units in investment funds 1,457 1,333 4. Loans and advances 1,918 1,936 a) Central banks - - b) Governments and other Public Sector Entities 768 830 c) Banks 57 60 d) Other financial companies 90 57 of which: insurance companies - - e) Non-financial companies 559 661 f) Households 444 328 Total 11,851 14,894 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 222 2021 Annual Report and Accounts · UniCredit The item “1. Debt securities” includes investments in FINO Project’s Mezzanine and Junior Notes with a value of €43 million, Mezzanine and Junior bonds of Prisma securitisation for €3 million and Mezzanine and Junior bonds of Olympia for €1 million, presented among Level 3 instruments. The item “2. Equity instruments” includes the investment in a “Schema Volontario” (presented among Level 3 instruments) with a value of €2 million. The item “3. Units in investment funds” includes the investments in Atlante and Italian Recovery Fund, former Atlante II, presented among Level 3 instruments, with a value of €327 million as at 31 December 2021. The item “4. Loans” includes exposures which have been granted payment moratoriums related to the Covid-19 pandemic context for a total amount of €5 million, held by UniCredit S.p.A. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,875 Mezzanine 61 Junior 52 Total 1,988 Information about the units of Atlante Fund and Italian Recovery Fund Reference is made to the paragraph “Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20, which is herewith quoted entirely. Information about the investments in the “Schema Volontario” (Voluntary Scheme) Reference is made to the paragraph “Information about the investments in the Shema Volontario” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20, which is herewith quoted entirely. 2.6 Other Financial assets mandatorily at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Equity instruments 1,065 784 of which: banks 254 25 of which: other financial companies 260 257 of which: non-financial companies 551 503 2. Debt securities 7,411 10,841 a) Central banks 3 4 b) Governments and other Public Sector Entities 4,104 6,383 c) Banks 2,769 3,980 d) Other financial companies 521 463 of which: insurance companies 81 57 e) Non-financial companies 14 11 3. Units in investment funds 1,457 1,333 4. Loans and advances 1,918 1,936 a) Central banks - - b) Governments and other Public Sector Entities 768 830 c) Banks 57 60 d) Other financial companies 90 57 of which: insurance companies - - e) Non-financial companies 559 661 f) Households 444 328 Total 11,851 14,894 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 223 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 3.1 Financial assets at fair value through other comprehensive income: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 54,106 11,232 1,750 57,463 13,439 236 1.1 Structured securities - - - - - - 1.2 Other 54,106 11,232 1,750 57,463 13,439 236 2. Equity instruments 7 602 867 20 872 707 3. Loans - - - - - - Total 54,113 11,834 2,617 57,483 14,311 943 Total Level 1, Level 2 and Level 3 68,564 72,737 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. The Item “1. Debt Securities” includes investments FINO Project’s in instrument Senior and in one part of instrument Mezzanine notes with a value of €88 million entirely reported within Level 3 of the Fair Value hierarchy, in Senior bonds of Prisma securitisation for €745 million and in Senior bonds of Olympia securitisation for €261 million, both presented among Level 3 instruments, and in Senior bonds of Relais for €407 million, reported in the Level 2 instruments. It should be noted, in particular, that during 2021, as a result of the occurred unobservability of inputs used in the valuation, the senior class securities related to Prisma securitisation, held by UniCredit S.p.A., have been classified from Level 2 to Level 3 of the Fair value hierarchy. The Item “2. Equity instruments” includes (i) Banca d’Italia stake (presented among Level 2 instruments), with a value of €554 million and (ii) ABH Holding SA investments (presented among Level 3 instruments) acquired in contemplation of the sale of PJSC Ukrsotbank to Alfa Group, with a value of €287 million at 31 December 2021. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,537 Mezzanine 12 Junior - Total 1,549 Information about the shareholding in Banca d'Italia Reference is made to the paragraph “Information about the shareholding in Banca d’Italia” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30, 3.1 Financial assets at fair value through other comprehensive income: breakdown by product, which is herewith quoted entirely. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 223 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 3.1 Financial assets at fair value through other comprehensive income: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 54,106 11,232 1,750 57,463 13,439 236 1.1 Structured securities - - - - - - 1.2 Other 54,106 11,232 1,750 57,463 13,439 236 2. Equity instruments 7 602 867 20 872 707 3. Loans - - - - - - Total 54,113 11,834 2,617 57,483 14,311 943 Total Level 1, Level 2 and Level 3 68,564 72,737 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. The Item “1. Debt Securities” includes investments FINO Project’s in instrument Senior and in one part of instrument Mezzanine notes with a value of €88 million entirely reported within Level 3 of the Fair Value hierarchy, in Senior bonds of Prisma securitisation for €745 million and in Senior bonds of Olympia securitisation for €261 million, both presented among Level 3 instruments, and in Senior bonds of Relais for €407 million, reported in the Level 2 instruments. It should be noted, in particular, that during 2021, as a result of the occurred unobservability of inputs used in the valuation, the senior class securities related to Prisma securitisation, held by UniCredit S.p.A., have been classified from Level 2 to Level 3 of the Fair value hierarchy. The Item “2. Equity instruments” includes (i) Banca d’Italia stake (presented among Level 2 instruments), with a value of €554 million and (ii) ABH Holding SA investments (presented among Level 3 instruments) acquired in contemplation of the sale of PJSC Ukrsotbank to Alfa Group, with a value of €287 million at 31 December 2021. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,537 Mezzanine 12 Junior - Total 1,549 Information about the shareholding in Banca d'Italia Reference is made to the paragraph “Information about the shareholding in Banca d’Italia” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30, 3.1 Financial assets at fair value through other comprehensive income: breakdown by product, which is herewith quoted entirely. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 223 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 3.1 Financial assets at fair value through other comprehensive income: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 54,106 11,232 1,750 57,463 13,439 236 1.1 Structured securities - - - - - - 1.2 Other 54,106 11,232 1,750 57,463 13,439 236 2. Equity instruments 7 602 867 20 872 707 3. Loans - - - - - - Total 54,113 11,834 2,617 57,483 14,311 943 Total Level 1, Level 2 and Level 3 68,564 72,737 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. The Item “1. Debt Securities” includes investments FINO Project’s in instrument Senior and in one part of instrument Mezzanine notes with a value of €88 million entirely reported within Level 3 of the Fair Value hierarchy, in Senior bonds of Prisma securitisation for €745 million and in Senior bonds of Olympia securitisation for €261 million, both presented among Level 3 instruments, and in Senior bonds of Relais for €407 million, reported in the Level 2 instruments. It should be noted, in particular, that during 2021, as a result of the occurred unobservability of inputs used in the valuation, the senior class securities related to Prisma securitisation, held by UniCredit S.p.A., have been classified from Level 2 to Level 3 of the Fair value hierarchy. The Item “2. Equity instruments” includes (i) Banca d’Italia stake (presented among Level 2 instruments), with a value of €554 million and (ii) ABH Holding SA investments (presented among Level 3 instruments) acquired in contemplation of the sale of PJSC Ukrsotbank to Alfa Group, with a value of €287 million at 31 December 2021. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,537 Mezzanine 12 Junior - Total 1,549 Information about the shareholding in Banca d'Italia Reference is made to the paragraph “Information about the shareholding in Banca d’Italia” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30, 3.1 Financial assets at fair value through other comprehensive income: breakdown by product, which is herewith quoted entirely. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 223 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 3.1 Financial assets at fair value through other comprehensive income: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 54,106 11,232 1,750 57,463 13,439 236 1.1 Structured securities - - - - - - 1.2 Other 54,106 11,232 1,750 57,463 13,439 236 2. Equity instruments 7 602 867 20 872 707 3. Loans - - - - - - Total 54,113 11,834 2,617 57,483 14,311 943 Total Level 1, Level 2 and Level 3 68,564 72,737 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. The Item “1. Debt Securities” includes investments FINO Project’s in instrument Senior and in one part of instrument Mezzanine notes with a value of €88 million entirely reported within Level 3 of the Fair Value hierarchy, in Senior bonds of Prisma securitisation for €745 million and in Senior bonds of Olympia securitisation for €261 million, both presented among Level 3 instruments, and in Senior bonds of Relais for €407 million, reported in the Level 2 instruments. It should be noted, in particular, that during 2021, as a result of the occurred unobservability of inputs used in the valuation, the senior class securities related to Prisma securitisation, held by UniCredit S.p.A., have been classified from Level 2 to Level 3 of the Fair value hierarchy. The Item “2. Equity instruments” includes (i) Banca d’Italia stake (presented among Level 2 instruments), with a value of €554 million and (ii) ABH Holding SA investments (presented among Level 3 instruments) acquired in contemplation of the sale of PJSC Ukrsotbank to Alfa Group, with a value of €287 million at 31 December 2021. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,537 Mezzanine 12 Junior - Total 1,549 Information about the shareholding in Banca d'Italia Reference is made to the paragraph “Information about the shareholding in Banca d’Italia” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30, 3.1 Financial assets at fair value through other comprehensive income: breakdown by product, which is herewith quoted entirely. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 223 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 3.1 Financial assets at fair value through other comprehensive income: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 54,106 11,232 1,750 57,463 13,439 236 1.1 Structured securities - - - - - - 1.2 Other 54,106 11,232 1,750 57,463 13,439 236 2. Equity instruments 7 602 867 20 872 707 3. Loans - - - - - - Total 54,113 11,834 2,617 57,483 14,311 943 Total Level 1, Level 2 and Level 3 68,564 72,737 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. The Item “1. Debt Securities” includes investments FINO Project’s in instrument Senior and in one part of instrument Mezzanine notes with a value of €88 million entirely reported within Level 3 of the Fair Value hierarchy, in Senior bonds of Prisma securitisation for €745 million and in Senior bonds of Olympia securitisation for €261 million, both presented among Level 3 instruments, and in Senior bonds of Relais for €407 million, reported in the Level 2 instruments. It should be noted, in particular, that during 2021, as a result of the occurred unobservability of inputs used in the valuation, the senior class securities related to Prisma securitisation, held by UniCredit S.p.A., have been classified from Level 2 to Level 3 of the Fair value hierarchy. The Item “2. Equity instruments” includes (i) Banca d’Italia stake (presented among Level 2 instruments), with a value of €554 million and (ii) ABH Holding SA investments (presented among Level 3 instruments) acquired in contemplation of the sale of PJSC Ukrsotbank to Alfa Group, with a value of €287 million at 31 December 2021. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,537 Mezzanine 12 Junior - Total 1,549 Information about the shareholding in Banca d'Italia Reference is made to the paragraph “Information about the shareholding in Banca d’Italia” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheets - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30, 3.1 Financial assets at fair value through other comprehensive income: breakdown by product, which is herewith quoted entirely. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 224 2021 Annual Report and Accounts · UniCredit 3.2 Financial assets at fair value through other comprehensive income: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 67,088 71,138 a) Central Banks - - b) Governments and other Public Sector Entities 53,165 56,970 c) Banks 10,142 10,272 d) Other financial companies 2,437 2,473 of which: insurance companies - - e) Non-financial companies 1,344 1,423 2. Equity instruments 1,476 1,599 a) Banks 615 871 b) Other issuers 861 728 - Other financial companies 567 470 of which: insurance companies 29 30 - Non-financial companies 290 256 - Other 4 2 3. Loans and advances - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 68,564 72,737 The item “2. Equity instruments a) Banks” includes Banca d’Italia stake. 3.3 Financial assets at fair value through other comprehensive income: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS PARTIAL ACCUMULATED WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION Debt securities 66,505 64,765 655 2 - 56 16 2 - - Loans and advances - - - - - - - - - - Total 12.31.2021 66,505 64,765 655 2 - 56 16 2 - - Total 12.31.2020 70,725 68,279 471 1 - 50 8 1 - - Note: (*) Value shown for information purposes. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 224 2021 Annual Report and Accounts · UniCredit 3.2 Financial assets at fair value through other comprehensive income: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 67,088 71,138 a) Central Banks - - b) Governments and other Public Sector Entities 53,165 56,970 c) Banks 10,142 10,272 d) Other financial companies 2,437 2,473 of which: insurance companies - - e) Non-financial companies 1,344 1,423 2. Equity instruments 1,476 1,599 a) Banks 615 871 b) Other issuers 861 728 - Other financial companies 567 470 of which: insurance companies 29 30 - Non-financial companies 290 256 - Other 4 2 3. Loans and advances - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 68,564 72,737 The item “2. Equity instruments a) Banks” includes Banca d’Italia stake. 3.3 Financial assets at fair value through other comprehensive income: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS PARTIAL ACCUMULATED WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION Debt securities 66,505 64,765 655 2 - 56 16 2 - - Loans and advances - - - - - - - - - - Total 12.31.2021 66,505 64,765 655 2 - 56 16 2 - - Total 12.31.2020 70,725 68,279 471 1 - 50 8 1 - - Note: (*) Value shown for information purposes. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 224 2021 Annual Report and Accounts · UniCredit 3.2 Financial assets at fair value through other comprehensive income: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 67,088 71,138 a) Central Banks - - b) Governments and other Public Sector Entities 53,165 56,970 c) Banks 10,142 10,272 d) Other financial companies 2,437 2,473 of which: insurance companies - - e) Non-financial companies 1,344 1,423 2. Equity instruments 1,476 1,599 a) Banks 615 871 b) Other issuers 861 728 - Other financial companies 567 470 of which: insurance companies 29 30 - Non-financial companies 290 256 - Other 4 2 3. Loans and advances - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 68,564 72,737 The item “2. Equity instruments a) Banks” includes Banca d’Italia stake. 3.3 Financial assets at fair value through other comprehensive income: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS PARTIAL ACCUMULATED WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION Debt securities 66,505 64,765 655 2 - 56 16 2 - - Loans and advances - - - - - - - - - - Total 12.31.2021 66,505 64,765 655 2 - 56 16 2 - - Total 12.31.2020 70,725 68,279 471 1 - 50 8 1 - - Note: (*) Value shown for information purposes. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 224 2021 Annual Report and Accounts · UniCredit 3.2 Financial assets at fair value through other comprehensive income: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 67,088 71,138 a) Central Banks - - b) Governments and other Public Sector Entities 53,165 56,970 c) Banks 10,142 10,272 d) Other financial companies 2,437 2,473 of which: insurance companies - - e) Non-financial companies 1,344 1,423 2. Equity instruments 1,476 1,599 a) Banks 615 871 b) Other issuers 861 728 - Other financial companies 567 470 of which: insurance companies 29 30 - Non-financial companies 290 256 - Other 4 2 3. Loans and advances - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 68,564 72,737 The item “2. Equity instruments a) Banks” includes Banca d’Italia stake. 3.3 Financial assets at fair value through other comprehensive income: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS PARTIAL ACCUMULATED WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION Debt securities 66,505 64,765 655 2 - 56 16 2 - - Loans and advances - - - - - - - - - - Total 12.31.2021 66,505 64,765 655 2 - 56 16 2 - - Total 12.31.2020 70,725 68,279 471 1 - 50 8 1 - - Note: (*) Value shown for information purposes. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 224 2021 Annual Report and Accounts · UniCredit 3.2 Financial assets at fair value through other comprehensive income: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 67,088 71,138 a) Central Banks - - b) Governments and other Public Sector Entities 53,165 56,970 c) Banks 10,142 10,272 d) Other financial companies 2,437 2,473 of which: insurance companies - - e) Non-financial companies 1,344 1,423 2. Equity instruments 1,476 1,599 a) Banks 615 871 b) Other issuers 861 728 - Other financial companies 567 470 of which: insurance companies 29 30 - Non-financial companies 290 256 - Other 4 2 3. Loans and advances - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 68,564 72,737 The item “2. Equity instruments a) Banks” includes Banca d’Italia stake. 3.3 Financial assets at fair value through other comprehensive income: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS PARTIAL ACCUMULATED WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION Debt securities 66,505 64,765 655 2 - 56 16 2 - - Loans and advances - - - - - - - - - - Total 12.31.2021 66,505 64,765 655 2 - 56 16 2 - - Total 12.31.2020 70,725 68,279 471 1 - 50 8 1 - - Note: (*) Value shown for information purposes. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 225 Section 4 - Financial assets at amortised cost - Item 40 4.1 Financial assets at amortised cost: breakdown by product of loans and advances to banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 A. Loans and advances to Central Banks 59,465 - - - 7,589 51,865 64,270 - - - 5,946 58,235 1. Time deposits 2,839 - - X X X 1,913 - - X X X 2. Compulsory reserves 50,947 - - X X X 57,875 - - X X X 3. Reverse repos 5,077 - - X X X 4,465 - - X X X 4. Other 602 - - X X X 17 - - X X X B. Loans and advances to banks 31,938 - - 6,454 21,931 3,851 37,923 - - 3,696 27,975 7,115 1. Loans 23,417 - - - 19,850 3,833 32,190 - - 5 26,048 6,889 1.1 Current accounts - - - X X X - - - X X X 1.2 Time deposits 7,918 - - X X X 7,253 - - X X X 1.3 Other loans 15,499 - - X X X 24,937 - - X X X - Reverse repos 11,144 - - X X X 20,616 - - X X X - Lease Loans 2 - - X X X 4 - - X X X - Other 4,353 - - X X X 4,317 - - X X X 2. Debt securities 8,521 - - 6,454 2,081 18 5,733 - - 3,691 1,927 226 2.1 Structured - - - - - - 1 - - - - - 2.2 Other 8,521 - - 6,454 2,081 18 5,732 - - 3,691 1,927 226 Total 91,403 - - 6,454 29,520 55,716 102,193 - - 3,696 33,921 65,350 Total Level 1, Level 2 and Level 3 91,690 102,967 Decrease in item “A. Loans and advance to Central Banks” is mostly due to the Compulsory Reserve held toward National Central Bank, mainly observed in UniCredit Bank Austria AG. Loans and advances to banks are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the consolidated accounts Part A - Accounting Policies. This table does not include security lending transactions collateralised by securities or not collateralised. These transactions were classified under "off-balance sheet" exposures of table in the paragraph “A.1.4 Regulatory consolidation - On - and off-balance sheet credit exposure with banks: gross and net values” of the Notes to the consolidated accounts, Part E - Information on risks and hedging polices, Section 2 - Risks of the prudential consolidated perimeter, Quantitative information, A. Credit quality. Refer also the paragraph “Other information” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 225 Section 4 - Financial assets at amortised cost - Item 40 4.1 Financial assets at amortised cost: breakdown by product of loans and advances to banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 A. Loans and advances to Central Banks 59,465 - - - 7,589 51,865 64,270 - - - 5,946 58,235 1. Time deposits 2,839 - - X X X 1,913 - - X X X 2. Compulsory reserves 50,947 - - X X X 57,875 - - X X X 3. Reverse repos 5,077 - - X X X 4,465 - - X X X 4. Other 602 - - X X X 17 - - X X X B. Loans and advances to banks 31,938 - - 6,454 21,931 3,851 37,923 - - 3,696 27,975 7,115 1. Loans 23,417 - - - 19,850 3,833 32,190 - - 5 26,048 6,889 1.1 Current accounts - - - X X X - - - X X X 1.2 Time deposits 7,918 - - X X X 7,253 - - X X X 1.3 Other loans 15,499 - - X X X 24,937 - - X X X - Reverse repos 11,144 - - X X X 20,616 - - X X X - Lease Loans 2 - - X X X 4 - - X X X - Other 4,353 - - X X X 4,317 - - X X X 2. Debt securities 8,521 - - 6,454 2,081 18 5,733 - - 3,691 1,927 226 2.1 Structured - - - - - - 1 - - - - - 2.2 Other 8,521 - - 6,454 2,081 18 5,732 - - 3,691 1,927 226 Total 91,403 - - 6,454 29,520 55,716 102,193 - - 3,696 33,921 65,350 Total Level 1, Level 2 and Level 3 91,690 102,967 Decrease in item “A. Loans and advance to Central Banks” is mostly due to the Compulsory Reserve held toward National Central Bank, mainly observed in UniCredit Bank Austria AG. Loans and advances to banks are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the consolidated accounts Part A - Accounting Policies. This table does not include security lending transactions collateralised by securities or not collateralised. These transactions were classified under "off-balance sheet" exposures of table in the paragraph “A.1.4 Regulatory consolidation - On - and off-balance sheet credit exposure with banks: gross and net values” of the Notes to the consolidated accounts, Part E - Information on risks and hedging polices, Section 2 - Risks of the prudential consolidated perimeter, Quantitative information, A. Credit quality. Refer also the paragraph “Other information” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 225 Section 4 - Financial assets at amortised cost - Item 40 4.1 Financial assets at amortised cost: breakdown by product of loans and advances to banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 A. Loans and advances to Central Banks 59,465 - - - 7,589 51,865 64,270 - - - 5,946 58,235 1. Time deposits 2,839 - - X X X 1,913 - - X X X 2. Compulsory reserves 50,947 - - X X X 57,875 - - X X X 3. Reverse repos 5,077 - - X X X 4,465 - - X X X 4. Other 602 - - X X X 17 - - X X X B. Loans and advances to banks 31,938 - - 6,454 21,931 3,851 37,923 - - 3,696 27,975 7,115 1. Loans 23,417 - - - 19,850 3,833 32,190 - - 5 26,048 6,889 1.1 Current accounts - - - X X X - - - X X X 1.2 Time deposits 7,918 - - X X X 7,253 - - X X X 1.3 Other loans 15,499 - - X X X 24,937 - - X X X - Reverse repos 11,144 - - X X X 20,616 - - X X X - Lease Loans 2 - - X X X 4 - - X X X - Other 4,353 - - X X X 4,317 - - X X X 2. Debt securities 8,521 - - 6,454 2,081 18 5,733 - - 3,691 1,927 226 2.1 Structured - - - - - - 1 - - - - - 2.2 Other 8,521 - - 6,454 2,081 18 5,732 - - 3,691 1,927 226 Total 91,403 - - 6,454 29,520 55,716 102,193 - - 3,696 33,921 65,350 Total Level 1, Level 2 and Level 3 91,690 102,967 Decrease in item “A. Loans and advance to Central Banks” is mostly due to the Compulsory Reserve held toward National Central Bank, mainly observed in UniCredit Bank Austria AG. Loans and advances to banks are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the consolidated accounts Part A - Accounting Policies. This table does not include security lending transactions collateralised by securities or not collateralised. These transactions were classified under "off-balance sheet" exposures of table in the paragraph “A.1.4 Regulatory consolidation - On - and off-balance sheet credit exposure with banks: gross and net values” of the Notes to the consolidated accounts, Part E - Information on risks and hedging polices, Section 2 - Risks of the prudential consolidated perimeter, Quantitative information, A. Credit quality. Refer also the paragraph “Other information” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 225 Section 4 - Financial assets at amortised cost - Item 40 4.1 Financial assets at amortised cost: breakdown by product of loans and advances to banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 A. Loans and advances to Central Banks 59,465 - - - 7,589 51,865 64,270 - - - 5,946 58,235 1. Time deposits 2,839 - - X X X 1,913 - - X X X 2. Compulsory reserves 50,947 - - X X X 57,875 - - X X X 3. Reverse repos 5,077 - - X X X 4,465 - - X X X 4. Other 602 - - X X X 17 - - X X X B. Loans and advances to banks 31,938 - - 6,454 21,931 3,851 37,923 - - 3,696 27,975 7,115 1. Loans 23,417 - - - 19,850 3,833 32,190 - - 5 26,048 6,889 1.1 Current accounts - - - X X X - - - X X X 1.2 Time deposits 7,918 - - X X X 7,253 - - X X X 1.3 Other loans 15,499 - - X X X 24,937 - - X X X - Reverse repos 11,144 - - X X X 20,616 - - X X X - Lease Loans 2 - - X X X 4 - - X X X - Other 4,353 - - X X X 4,317 - - X X X 2. Debt securities 8,521 - - 6,454 2,081 18 5,733 - - 3,691 1,927 226 2.1 Structured - - - - - - 1 - - - - - 2.2 Other 8,521 - - 6,454 2,081 18 5,732 - - 3,691 1,927 226 Total 91,403 - - 6,454 29,520 55,716 102,193 - - 3,696 33,921 65,350 Total Level 1, Level 2 and Level 3 91,690 102,967 Decrease in item “A. Loans and advance to Central Banks” is mostly due to the Compulsory Reserve held toward National Central Bank, mainly observed in UniCredit Bank Austria AG. Loans and advances to banks are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the consolidated accounts Part A - Accounting Policies. This table does not include security lending transactions collateralised by securities or not collateralised. These transactions were classified under "off-balance sheet" exposures of table in the paragraph “A.1.4 Regulatory consolidation - On - and off-balance sheet credit exposure with banks: gross and net values” of the Notes to the consolidated accounts, Part E - Information on risks and hedging polices, Section 2 - Risks of the prudential consolidated perimeter, Quantitative information, A. Credit quality. Refer also the paragraph “Other information” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 225 Section 4 - Financial assets at amortised cost - Item 40 4.1 Financial assets at amortised cost: breakdown by product of loans and advances to banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 A. Loans and advances to Central Banks 59,465 - - - 7,589 51,865 64,270 - - - 5,946 58,235 1. Time deposits 2,839 - - X X X 1,913 - - X X X 2. Compulsory reserves 50,947 - - X X X 57,875 - - X X X 3. Reverse repos 5,077 - - X X X 4,465 - - X X X 4. Other 602 - - X X X 17 - - X X X B. Loans and advances to banks 31,938 - - 6,454 21,931 3,851 37,923 - - 3,696 27,975 7,115 1. Loans 23,417 - - - 19,850 3,833 32,190 - - 5 26,048 6,889 1.1 Current accounts - - - X X X - - - X X X 1.2 Time deposits 7,918 - - X X X 7,253 - - X X X 1.3 Other loans 15,499 - - X X X 24,937 - - X X X - Reverse repos 11,144 - - X X X 20,616 - - X X X - Lease Loans 2 - - X X X 4 - - X X X - Other 4,353 - - X X X 4,317 - - X X X 2. Debt securities 8,521 - - 6,454 2,081 18 5,733 - - 3,691 1,927 226 2.1 Structured - - - - - - 1 - - - - - 2.2 Other 8,521 - - 6,454 2,081 18 5,732 - - 3,691 1,927 226 Total 91,403 - - 6,454 29,520 55,716 102,193 - - 3,696 33,921 65,350 Total Level 1, Level 2 and Level 3 91,690 102,967 Decrease in item “A. Loans and advance to Central Banks” is mostly due to the Compulsory Reserve held toward National Central Bank, mainly observed in UniCredit Bank Austria AG. Loans and advances to banks are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the consolidated accounts Part A - Accounting Policies. This table does not include security lending transactions collateralised by securities or not collateralised. These transactions were classified under "off-balance sheet" exposures of table in the paragraph “A.1.4 Regulatory consolidation - On - and off-balance sheet credit exposure with banks: gross and net values” of the Notes to the consolidated accounts, Part E - Information on risks and hedging polices, Section 2 - Risks of the prudential consolidated perimeter, Quantitative information, A. Credit quality. Refer also the paragraph “Other information” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 226 2021 Annual Report and Accounts · UniCredit 4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 1. Loans 428,271 7,448 32 - 182,934 262,200 440,224 8,449 62 138 169,259 290,442 1.1 Current accounts 24,953 683 1 X X X 24,901 755 2 X X X 1.2 Reverse repos 18,239 - - X X X 35,757 - - X X X 1.3 Mortgages 182,348 2,923 13 X X X 175,452 2,849 18 X X X 1.4 Credit cards and personal loans, including wage assignment 16,324 311 1 X X X 16,054 334 1 X X X 1.5 Lease loans 4,283 167 - X X X 15,962 789 - X X X 1.6 Factoring 13,437 129 - X X X 12,103 133 - X X X 1.7 Other loans 168,687 3,235 17 X X X 159,995 3,589 41 X X X 2. Debt securities 66,451 13 - 54,682 10,252 1,907 57,242 35 - 47,049 10,277 1,266 2.1 Structured securities 41 - - - - 41 35 - - - - 35 2.2 Other debt securities 66,410 13 - 54,682 10,252 1,866 57,207 35 - 47,049 10,277 1,231 Total 494,722 7,461 32 54,682 193,186 264,107 497,466 8,484 62 47,187 179,536 291,708 Total Level 1, Level 2 and Level 3 511,975 518,431 The column “purchased or originated credit-impaired financial assets” includes loans, belonging to stage 2 and stage 3, that at the time of the purchase, as part of transactions other than business combinations, were already impaired. The sub-items “1.2. Reverse repos" and “1.7 Other loans” do not include security lending transactions collateralised by securities or not collateralised. These transactions were classified under "off-balance sheet" exposures of table A.1.5 of Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Quantitative information, A. Credit Quality. Refer also the section "Other Information" of Part B - Consolidated balance sheet - Liabilities. The sub-item “1.7 Other loans” includes: • €4,923 million for trade receivables; • €27,578 million other Loans not settled through current account; • €26,728 million for pooled transactions; • €17,351 million other advances to customers; • €18,704 million for loans with amortised plan. Loans to customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. For further information see paragraph “A.4 Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. The fair value of impaired loans was estimated by considering that the realizable value expressed by the net book value is the best estimate of the future expected cash flows discounted at the valuation date, further adjusted to incorporate, when available, a premium derived from significant market’s transaction for similar instruments. According to this assumption, impaired loans were classified as Level 3 in the fair value hierarchy. It should be noted that the decreases in the sub item “1.5 Lease loans” is mainly due to a reclassification of the assets and liabilities of the Group subsidiaries UniCredit Leasing S.p.A., UniCredit Leasing GMBH e UniCredit Leasing, Leasing, DOO within the Non-current assets and disposal groups classified as held for sale and Liabilities associated with classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). Furthermore, the reduction of the credit impaired (Stage 3) is mainly attributable to the disposal transactions of that loans (Relais Transaction) performed during the period. For additional information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, under the table “A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 226 2021 Annual Report and Accounts · UniCredit 4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 1. Loans 428,271 7,448 32 - 182,934 262,200 440,224 8,449 62 138 169,259 290,442 1.1 Current accounts 24,953 683 1 X X X 24,901 755 2 X X X 1.2 Reverse repos 18,239 - - X X X 35,757 - - X X X 1.3 Mortgages 182,348 2,923 13 X X X 175,452 2,849 18 X X X 1.4 Credit cards and personal loans, including wage assignment 16,324 311 1 X X X 16,054 334 1 X X X 1.5 Lease loans 4,283 167 - X X X 15,962 789 - X X X 1.6 Factoring 13,437 129 - X X X 12,103 133 - X X X 1.7 Other loans 168,687 3,235 17 X X X 159,995 3,589 41 X X X 2. Debt securities 66,451 13 - 54,682 10,252 1,907 57,242 35 - 47,049 10,277 1,266 2.1 Structured securities 41 - - - - 41 35 - - - - 35 2.2 Other debt securities 66,410 13 - 54,682 10,252 1,866 57,207 35 - 47,049 10,277 1,231 Total 494,722 7,461 32 54,682 193,186 264,107 497,466 8,484 62 47,187 179,536 291,708 Total Level 1, Level 2 and Level 3 511,975 518,431 The column “purchased or originated credit-impaired financial assets” includes loans, belonging to stage 2 and stage 3, that at the time of the purchase, as part of transactions other than business combinations, were already impaired. The sub-items “1.2. Reverse repos" and “1.7 Other loans” do not include security lending transactions collateralised by securities or not collateralised. These transactions were classified under "off-balance sheet" exposures of table A.1.5 of Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Quantitative information, A. Credit Quality. Refer also the section "Other Information" of Part B - Consolidated balance sheet - Liabilities. The sub-item “1.7 Other loans” includes: • €4,923 million for trade receivables; • €27,578 million other Loans not settled through current account; • €26,728 million for pooled transactions; • €17,351 million other advances to customers; • €18,704 million for loans with amortised plan. Loans to customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. For further information see paragraph “A.4 Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. The fair value of impaired loans was estimated by considering that the realizable value expressed by the net book value is the best estimate of the future expected cash flows discounted at the valuation date, further adjusted to incorporate, when available, a premium derived from significant market’s transaction for similar instruments. According to this assumption, impaired loans were classified as Level 3 in the fair value hierarchy. It should be noted that the decreases in the sub item “1.5 Lease loans” is mainly due to a reclassification of the assets and liabilities of the Group subsidiaries UniCredit Leasing S.p.A., UniCredit Leasing GMBH e UniCredit Leasing, Leasing, DOO within the Non-current assets and disposal groups classified as held for sale and Liabilities associated with classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). Furthermore, the reduction of the credit impaired (Stage 3) is mainly attributable to the disposal transactions of that loans (Relais Transaction) performed during the period. For additional information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, under the table “A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 226 2021 Annual Report and Accounts · UniCredit 4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 1. Loans 428,271 7,448 32 - 182,934 262,200 440,224 8,449 62 138 169,259 290,442 1.1 Current accounts 24,953 683 1 X X X 24,901 755 2 X X X 1.2 Reverse repos 18,239 - - X X X 35,757 - - X X X 1.3 Mortgages 182,348 2,923 13 X X X 175,452 2,849 18 X X X 1.4 Credit cards and personal loans, including wage assignment 16,324 311 1 X X X 16,054 334 1 X X X 1.5 Lease loans 4,283 167 - X X X 15,962 789 - X X X 1.6 Factoring 13,437 129 - X X X 12,103 133 - X X X 1.7 Other loans 168,687 3,235 17 X X X 159,995 3,589 41 X X X 2. Debt securities 66,451 13 - 54,682 10,252 1,907 57,242 35 - 47,049 10,277 1,266 2.1 Structured securities 41 - - - - 41 35 - - - - 35 2.2 Other debt securities 66,410 13 - 54,682 10,252 1,866 57,207 35 - 47,049 10,277 1,231 Total 494,722 7,461 32 54,682 193,186 264,107 497,466 8,484 62 47,187 179,536 291,708 Total Level 1, Level 2 and Level 3 511,975 518,431 The column “purchased or originated credit-impaired financial assets” includes loans, belonging to stage 2 and stage 3, that at the time of the purchase, as part of transactions other than business combinations, were already impaired. The sub-items “1.2. Reverse repos" and “1.7 Other loans” do not include security lending transactions collateralised by securities or not collateralised. These transactions were classified under "off-balance sheet" exposures of table A.1.5 of Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Quantitative information, A. Credit Quality. Refer also the section "Other Information" of Part B - Consolidated balance sheet - Liabilities. The sub-item “1.7 Other loans” includes: • €4,923 million for trade receivables; • €27,578 million other Loans not settled through current account; • €26,728 million for pooled transactions; • €17,351 million other advances to customers; • €18,704 million for loans with amortised plan. Loans to customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. For further information see paragraph “A.4 Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. The fair value of impaired loans was estimated by considering that the realizable value expressed by the net book value is the best estimate of the future expected cash flows discounted at the valuation date, further adjusted to incorporate, when available, a premium derived from significant market’s transaction for similar instruments. According to this assumption, impaired loans were classified as Level 3 in the fair value hierarchy. It should be noted that the decreases in the sub item “1.5 Lease loans” is mainly due to a reclassification of the assets and liabilities of the Group subsidiaries UniCredit Leasing S.p.A., UniCredit Leasing GMBH e UniCredit Leasing, Leasing, DOO within the Non-current assets and disposal groups classified as held for sale and Liabilities associated with classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). Furthermore, the reduction of the credit impaired (Stage 3) is mainly attributable to the disposal transactions of that loans (Relais Transaction) performed during the period. For additional information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, under the table “A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 226 2021 Annual Report and Accounts · UniCredit 4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 1. Loans 428,271 7,448 32 - 182,934 262,200 440,224 8,449 62 138 169,259 290,442 1.1 Current accounts 24,953 683 1 X X X 24,901 755 2 X X X 1.2 Reverse repos 18,239 - - X X X 35,757 - - X X X 1.3 Mortgages 182,348 2,923 13 X X X 175,452 2,849 18 X X X 1.4 Credit cards and personal loans, including wage assignment 16,324 311 1 X X X 16,054 334 1 X X X 1.5 Lease loans 4,283 167 - X X X 15,962 789 - X X X 1.6 Factoring 13,437 129 - X X X 12,103 133 - X X X 1.7 Other loans 168,687 3,235 17 X X X 159,995 3,589 41 X X X 2. Debt securities 66,451 13 - 54,682 10,252 1,907 57,242 35 - 47,049 10,277 1,266 2.1 Structured securities 41 - - - - 41 35 - - - - 35 2.2 Other debt securities 66,410 13 - 54,682 10,252 1,866 57,207 35 - 47,049 10,277 1,231 Total 494,722 7,461 32 54,682 193,186 264,107 497,466 8,484 62 47,187 179,536 291,708 Total Level 1, Level 2 and Level 3 511,975 518,431 The column “purchased or originated credit-impaired financial assets” includes loans, belonging to stage 2 and stage 3, that at the time of the purchase, as part of transactions other than business combinations, were already impaired. The sub-items “1.2. Reverse repos" and “1.7 Other loans” do not include security lending transactions collateralised by securities or not collateralised. These transactions were classified under "off-balance sheet" exposures of table A.1.5 of Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Quantitative information, A. Credit Quality. Refer also the section "Other Information" of Part B - Consolidated balance sheet - Liabilities. The sub-item “1.7 Other loans” includes: • €4,923 million for trade receivables; • €27,578 million other Loans not settled through current account; • €26,728 million for pooled transactions; • €17,351 million other advances to customers; • €18,704 million for loans with amortised plan. Loans to customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. For further information see paragraph “A.4 Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. The fair value of impaired loans was estimated by considering that the realizable value expressed by the net book value is the best estimate of the future expected cash flows discounted at the valuation date, further adjusted to incorporate, when available, a premium derived from significant market’s transaction for similar instruments. According to this assumption, impaired loans were classified as Level 3 in the fair value hierarchy. It should be noted that the decreases in the sub item “1.5 Lease loans” is mainly due to a reclassification of the assets and liabilities of the Group subsidiaries UniCredit Leasing S.p.A., UniCredit Leasing GMBH e UniCredit Leasing, Leasing, DOO within the Non-current assets and disposal groups classified as held for sale and Liabilities associated with classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). Furthermore, the reduction of the credit impaired (Stage 3) is mainly attributable to the disposal transactions of that loans (Relais Transaction) performed during the period. For additional information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, under the table “A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 226 2021 Annual Report and Accounts · UniCredit 4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 1. Loans 428,271 7,448 32 - 182,934 262,200 440,224 8,449 62 138 169,259 290,442 1.1 Current accounts 24,953 683 1 X X X 24,901 755 2 X X X 1.2 Reverse repos 18,239 - - X X X 35,757 - - X X X 1.3 Mortgages 182,348 2,923 13 X X X 175,452 2,849 18 X X X 1.4 Credit cards and personal loans, including wage assignment 16,324 311 1 X X X 16,054 334 1 X X X 1.5 Lease loans 4,283 167 - X X X 15,962 789 - X X X 1.6 Factoring 13,437 129 - X X X 12,103 133 - X X X 1.7 Other loans 168,687 3,235 17 X X X 159,995 3,589 41 X X X 2. Debt securities 66,451 13 - 54,682 10,252 1,907 57,242 35 - 47,049 10,277 1,266 2.1 Structured securities 41 - - - - 41 35 - - - - 35 2.2 Other debt securities 66,410 13 - 54,682 10,252 1,866 57,207 35 - 47,049 10,277 1,231 Total 494,722 7,461 32 54,682 193,186 264,107 497,466 8,484 62 47,187 179,536 291,708 Total Level 1, Level 2 and Level 3 511,975 518,431 The column “purchased or originated credit-impaired financial assets” includes loans, belonging to stage 2 and stage 3, that at the time of the purchase, as part of transactions other than business combinations, were already impaired. The sub-items “1.2. Reverse repos" and “1.7 Other loans” do not include security lending transactions collateralised by securities or not collateralised. These transactions were classified under "off-balance sheet" exposures of table A.1.5 of Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Quantitative information, A. Credit Quality. Refer also the section "Other Information" of Part B - Consolidated balance sheet - Liabilities. The sub-item “1.7 Other loans” includes: • €4,923 million for trade receivables; • €27,578 million other Loans not settled through current account; • €26,728 million for pooled transactions; • €17,351 million other advances to customers; • €18,704 million for loans with amortised plan. Loans to customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. For further information see paragraph “A.4 Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. The fair value of impaired loans was estimated by considering that the realizable value expressed by the net book value is the best estimate of the future expected cash flows discounted at the valuation date, further adjusted to incorporate, when available, a premium derived from significant market’s transaction for similar instruments. According to this assumption, impaired loans were classified as Level 3 in the fair value hierarchy. It should be noted that the decreases in the sub item “1.5 Lease loans” is mainly due to a reclassification of the assets and liabilities of the Group subsidiaries UniCredit Leasing S.p.A., UniCredit Leasing GMBH e UniCredit Leasing, Leasing, DOO within the Non-current assets and disposal groups classified as held for sale and Liabilities associated with classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities). Furthermore, the reduction of the credit impaired (Stage 3) is mainly attributable to the disposal transactions of that loans (Relais Transaction) performed during the period. For additional information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, under the table “A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 227 The item “2.2 Other debt securities" include securities related to securitisation transactions shown in the following table. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 6,509 Mezzanine 30 Junior - Total 6,539 4.3 Financial assets at amortised cost: breakdown by borrowers/issuers of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS 1. Debt securities 66,451 13 - 57,242 35 - a) Governments and other Public Sector Entities 53,549 - - 45,231 - - b) Other financial companies 9,256 13 - 8,965 35 - of which: insurance companies - - - - - - c) Non-financial companies 3,646 - - 3,046 - - 2. Loans 428,271 7,448 32 440,224 8,449 62 a) Governments and other Public Sector Entities 24,152 407 - 22,983 446 - b) Other financial companies 53,398 504 - 68,458 606 9 of which: insurance companies 1,318 1 - 4,206 2 - c) Non-financial companies 224,246 4,404 20 226,993 5,665 37 d) Households 126,475 2,133 12 121,790 1,732 16 Total 494,722 7,461 32 497,466 8,484 62 4.4 Financial assets at amortised cost: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS PARTIAL ACCUMULATED WRITE-OFFS(*) 1. Debt securities 73,255 48,490 1,744 22 - 9 18 9 - - 2. Loans 411,585 8,664 103,949 16,196 46 993 3,388 8,748 14 1,826 Total 12.31.2021 484,840 57,154 105,693 16,218 46 1,002 3,406 8,757 14 1,826 Total 12.31.2020 519,631 40,738 84,221 21,117 76 1,196 2,997 12,633 14 2,011 Note: (*) Value shown for information purposes. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 227 The item “2.2 Other debt securities" include securities related to securitisation transactions shown in the following table. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 6,509 Mezzanine 30 Junior - Total 6,539 4.3 Financial assets at amortised cost: breakdown by borrowers/issuers of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS 1. Debt securities 66,451 13 - 57,242 35 - a) Governments and other Public Sector Entities 53,549 - - 45,231 - - b) Other financial companies 9,256 13 - 8,965 35 - of which: insurance companies - - - - - - c) Non-financial companies 3,646 - - 3,046 - - 2. Loans 428,271 7,448 32 440,224 8,449 62 a) Governments and other Public Sector Entities 24,152 407 - 22,983 446 - b) Other financial companies 53,398 504 - 68,458 606 9 of which: insurance companies 1,318 1 - 4,206 2 - c) Non-financial companies 224,246 4,404 20 226,993 5,665 37 d) Households 126,475 2,133 12 121,790 1,732 16 Total 494,722 7,461 32 497,466 8,484 62 4.4 Financial assets at amortised cost: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS PARTIAL ACCUMULATED WRITE-OFFS(*) 1. Debt securities 73,255 48,490 1,744 22 - 9 18 9 - - 2. Loans 411,585 8,664 103,949 16,196 46 993 3,388 8,748 14 1,826 Total 12.31.2021 484,840 57,154 105,693 16,218 46 1,002 3,406 8,757 14 1,826 Total 12.31.2020 519,631 40,738 84,221 21,117 76 1,196 2,997 12,633 14 2,011 Note: (*) Value shown for information purposes. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 227 The item “2.2 Other debt securities" include securities related to securitisation transactions shown in the following table. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 6,509 Mezzanine 30 Junior - Total 6,539 4.3 Financial assets at amortised cost: breakdown by borrowers/issuers of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS 1. Debt securities 66,451 13 - 57,242 35 - a) Governments and other Public Sector Entities 53,549 - - 45,231 - - b) Other financial companies 9,256 13 - 8,965 35 - of which: insurance companies - - - - - - c) Non-financial companies 3,646 - - 3,046 - - 2. Loans 428,271 7,448 32 440,224 8,449 62 a) Governments and other Public Sector Entities 24,152 407 - 22,983 446 - b) Other financial companies 53,398 504 - 68,458 606 9 of which: insurance companies 1,318 1 - 4,206 2 - c) Non-financial companies 224,246 4,404 20 226,993 5,665 37 d) Households 126,475 2,133 12 121,790 1,732 16 Total 494,722 7,461 32 497,466 8,484 62 4.4 Financial assets at amortised cost: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS PARTIAL ACCUMULATED WRITE-OFFS(*) 1. Debt securities 73,255 48,490 1,744 22 - 9 18 9 - - 2. Loans 411,585 8,664 103,949 16,196 46 993 3,388 8,748 14 1,826 Total 12.31.2021 484,840 57,154 105,693 16,218 46 1,002 3,406 8,757 14 1,826 Total 12.31.2020 519,631 40,738 84,221 21,117 76 1,196 2,997 12,633 14 2,011 Note: (*) Value shown for information purposes. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 227 The item “2.2 Other debt securities" include securities related to securitisation transactions shown in the following table. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 6,509 Mezzanine 30 Junior - Total 6,539 4.3 Financial assets at amortised cost: breakdown by borrowers/issuers of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS 1. Debt securities 66,451 13 - 57,242 35 - a) Governments and other Public Sector Entities 53,549 - - 45,231 - - b) Other financial companies 9,256 13 - 8,965 35 - of which: insurance companies - - - - - - c) Non-financial companies 3,646 - - 3,046 - - 2. Loans 428,271 7,448 32 440,224 8,449 62 a) Governments and other Public Sector Entities 24,152 407 - 22,983 446 - b) Other financial companies 53,398 504 - 68,458 606 9 of which: insurance companies 1,318 1 - 4,206 2 - c) Non-financial companies 224,246 4,404 20 226,993 5,665 37 d) Households 126,475 2,133 12 121,790 1,732 16 Total 494,722 7,461 32 497,466 8,484 62 4.4 Financial assets at amortised cost: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS PARTIAL ACCUMULATED WRITE-OFFS(*) 1. Debt securities 73,255 48,490 1,744 22 - 9 18 9 - - 2. Loans 411,585 8,664 103,949 16,196 46 993 3,388 8,748 14 1,826 Total 12.31.2021 484,840 57,154 105,693 16,218 46 1,002 3,406 8,757 14 1,826 Total 12.31.2020 519,631 40,738 84,221 21,117 76 1,196 2,997 12,633 14 2,011 Note: (*) Value shown for information purposes. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 227 The item “2.2 Other debt securities" include securities related to securitisation transactions shown in the following table. Exposures to securities related to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 6,509 Mezzanine 30 Junior - Total 6,539 4.3 Financial assets at amortised cost: breakdown by borrowers/issuers of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS 1. Debt securities 66,451 13 - 57,242 35 - a) Governments and other Public Sector Entities 53,549 - - 45,231 - - b) Other financial companies 9,256 13 - 8,965 35 - of which: insurance companies - - - - - - c) Non-financial companies 3,646 - - 3,046 - - 2. Loans 428,271 7,448 32 440,224 8,449 62 a) Governments and other Public Sector Entities 24,152 407 - 22,983 446 - b) Other financial companies 53,398 504 - 68,458 606 9 of which: insurance companies 1,318 1 - 4,206 2 - c) Non-financial companies 224,246 4,404 20 226,993 5,665 37 d) Households 126,475 2,133 12 121,790 1,732 16 Total 494,722 7,461 32 497,466 8,484 62 4.4 Financial assets at amortised cost: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS PARTIAL ACCUMULATED WRITE-OFFS(*) 1. Debt securities 73,255 48,490 1,744 22 - 9 18 9 - - 2. Loans 411,585 8,664 103,949 16,196 46 993 3,388 8,748 14 1,826 Total 12.31.2021 484,840 57,154 105,693 16,218 46 1,002 3,406 8,757 14 1,826 Total 12.31.2020 519,631 40,738 84,221 21,117 76 1,196 2,997 12,633 14 2,011 Note: (*) Value shown for information purposes. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 228 2021 Annual Report and Accounts · UniCredit 4.4a Financial assets at amortised cost subject to Covid-19 measures: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED PARTIAL ACCUMULATED WRITE-OFFS(*) 1. EBA-compliant moratoria loans and advances 36 - 82 2 - - 5 1 - - 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 3,608 - 2,349 185 1 26 161 130 - - 3. Loans and advances with other forbearance measures 21 - 2,758 1,648 3 - 216 431 - - 4. Newly originated loans and advances 17,201 - 7,972 308 3 27 62 86 - - Total 12.31.2021 20,866 - 13,161 2,143 7 53 444 648 - - Total 12.31.2020 23,306 - 17,117 1,352 31 85 689 472 1 - Loans benefitting from Covid-19 measures are held, in term of gross exposures, mainly by UniCredit S.p.A. (€27,552 million, of which €26,645 million performing), UniCredit Bulbank (€2,962 million, of which €2,935 million performing) e UniCredit Bank AG (€2,749 million, of which €1,782 million performing). Section 5 - Hedging derivatives - Item 50 5.1 Hedging derivatives: breakdown by hedged risk and fair value hierarchy (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 FAIR VALUE NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 38 3,027 - 378,444 114 3,683 5 273,178 1) Fair value 38 2,466 - 342,993 114 3,426 5 244,498 2) Cash flows - 561 - 35,451 - 257 - 28,680 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 38 3,027 - 378,444 114 3,683 5 273,178 Total Level 1, Level 2 and Level 3 3,065 3,802 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurement. For further information refer to the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 228 2021 Annual Report and Accounts · UniCredit 4.4a Financial assets at amortised cost subject to Covid-19 measures: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED PARTIAL ACCUMULATED WRITE-OFFS(*) 1. EBA-compliant moratoria loans and advances 36 - 82 2 - - 5 1 - - 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 3,608 - 2,349 185 1 26 161 130 - - 3. Loans and advances with other forbearance measures 21 - 2,758 1,648 3 - 216 431 - - 4. Newly originated loans and advances 17,201 - 7,972 308 3 27 62 86 - - Total 12.31.2021 20,866 - 13,161 2,143 7 53 444 648 - - Total 12.31.2020 23,306 - 17,117 1,352 31 85 689 472 1 - Loans benefitting from Covid-19 measures are held, in term of gross exposures, mainly by UniCredit S.p.A. (€27,552 million, of which €26,645 million performing), UniCredit Bulbank (€2,962 million, of which €2,935 million performing) e UniCredit Bank AG (€2,749 million, of which €1,782 million performing). Section 5 - Hedging derivatives - Item 50 5.1 Hedging derivatives: breakdown by hedged risk and fair value hierarchy (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 FAIR VALUE NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 38 3,027 - 378,444 114 3,683 5 273,178 1) Fair value 38 2,466 - 342,993 114 3,426 5 244,498 2) Cash flows - 561 - 35,451 - 257 - 28,680 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 38 3,027 - 378,444 114 3,683 5 273,178 Total Level 1, Level 2 and Level 3 3,065 3,802 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurement. For further information refer to the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 228 2021 Annual Report and Accounts · UniCredit 4.4a Financial assets at amortised cost subject to Covid-19 measures: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED PARTIAL ACCUMULATED WRITE-OFFS(*) 1. EBA-compliant moratoria loans and advances 36 - 82 2 - - 5 1 - - 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 3,608 - 2,349 185 1 26 161 130 - - 3. Loans and advances with other forbearance measures 21 - 2,758 1,648 3 - 216 431 - - 4. Newly originated loans and advances 17,201 - 7,972 308 3 27 62 86 - - Total 12.31.2021 20,866 - 13,161 2,143 7 53 444 648 - - Total 12.31.2020 23,306 - 17,117 1,352 31 85 689 472 1 - Loans benefitting from Covid-19 measures are held, in term of gross exposures, mainly by UniCredit S.p.A. (€27,552 million, of which €26,645 million performing), UniCredit Bulbank (€2,962 million, of which €2,935 million performing) e UniCredit Bank AG (€2,749 million, of which €1,782 million performing). Section 5 - Hedging derivatives - Item 50 5.1 Hedging derivatives: breakdown by hedged risk and fair value hierarchy (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 FAIR VALUE NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 38 3,027 - 378,444 114 3,683 5 273,178 1) Fair value 38 2,466 - 342,993 114 3,426 5 244,498 2) Cash flows - 561 - 35,451 - 257 - 28,680 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 38 3,027 - 378,444 114 3,683 5 273,178 Total Level 1, Level 2 and Level 3 3,065 3,802 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurement. For further information refer to the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 228 2021 Annual Report and Accounts · UniCredit 4.4a Financial assets at amortised cost subject to Covid-19 measures: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED PARTIAL ACCUMULATED WRITE-OFFS(*) 1. EBA-compliant moratoria loans and advances 36 - 82 2 - - 5 1 - - 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 3,608 - 2,349 185 1 26 161 130 - - 3. Loans and advances with other forbearance measures 21 - 2,758 1,648 3 - 216 431 - - 4. Newly originated loans and advances 17,201 - 7,972 308 3 27 62 86 - - Total 12.31.2021 20,866 - 13,161 2,143 7 53 444 648 - - Total 12.31.2020 23,306 - 17,117 1,352 31 85 689 472 1 - Loans benefitting from Covid-19 measures are held, in term of gross exposures, mainly by UniCredit S.p.A. (€27,552 million, of which €26,645 million performing), UniCredit Bulbank (€2,962 million, of which €2,935 million performing) e UniCredit Bank AG (€2,749 million, of which €1,782 million performing). Section 5 - Hedging derivatives - Item 50 5.1 Hedging derivatives: breakdown by hedged risk and fair value hierarchy (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 FAIR VALUE NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 38 3,027 - 378,444 114 3,683 5 273,178 1) Fair value 38 2,466 - 342,993 114 3,426 5 244,498 2) Cash flows - 561 - 35,451 - 257 - 28,680 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 38 3,027 - 378,444 114 3,683 5 273,178 Total Level 1, Level 2 and Level 3 3,065 3,802 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurement. For further information refer to the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 228 2021 Annual Report and Accounts · UniCredit 4.4a Financial assets at amortised cost subject to Covid-19 measures: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED PARTIAL ACCUMULATED WRITE-OFFS(*) 1. EBA-compliant moratoria loans and advances 36 - 82 2 - - 5 1 - - 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 3,608 - 2,349 185 1 26 161 130 - - 3. Loans and advances with other forbearance measures 21 - 2,758 1,648 3 - 216 431 - - 4. Newly originated loans and advances 17,201 - 7,972 308 3 27 62 86 - - Total 12.31.2021 20,866 - 13,161 2,143 7 53 444 648 - - Total 12.31.2020 23,306 - 17,117 1,352 31 85 689 472 1 - Loans benefitting from Covid-19 measures are held, in term of gross exposures, mainly by UniCredit S.p.A. (€27,552 million, of which €26,645 million performing), UniCredit Bulbank (€2,962 million, of which €2,935 million performing) e UniCredit Bank AG (€2,749 million, of which €1,782 million performing). Section 5 - Hedging derivatives - Item 50 5.1 Hedging derivatives: breakdown by hedged risk and fair value hierarchy (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 FAIR VALUE NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 38 3,027 - 378,444 114 3,683 5 273,178 1) Fair value 38 2,466 - 342,993 114 3,426 5 244,498 2) Cash flows - 561 - 35,451 - 257 - 28,680 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 38 3,027 - 378,444 114 3,683 5 273,178 Total Level 1, Level 2 and Level 3 3,065 3,802 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurement. For further information refer to the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 229 5.2 Hedging derivatives: composition for covered portfolios and by type of hedging (€ million) TRANSACTIONS/TYPE OF HEDGES AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW FOREIGN INVESTMENTS MICRO-HEDGE MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHERS 1. Financial assets at fair value through other comprehensive income 9 - - - X X X - X X 2. Financial assets at amortised cost 2 X - - X X X - X X 3. Portfolio X X X X X X 222 X 395 X 4. Other transactions - - - - - - X - X - Total assets 11 - - - - - 222 - 395 - 1. Financial liabilities 1,897 X - - - - X 12 X X 2. Portfolio X X X X X X 153 X 149 X Total liabilities 1,897 - - - - - 153 12 149 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X 221 X 5 - Section 6 - Changes in fair value of portfolio hedged items - Item 60 6.1 Changes to macro-hedged financial assets: breakdown by hedged portfolio (€ million) AMOUNTS AS AT CHANGES TO HEDGED ASSETS/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes 3,228 5,628 1.1 Of specific portfolios 897 2,169 a) Financial assets at amortised cost 895 2,169 b) Financial assets at fair value through other comprehensive income 2 - 1.2 Overall 2,331 3,459 2. Negative changes 1,717 1,742 2.1 Of specific portfolios 744 719 a) Financial assets at amortised cost 744 719 b) Financial assets at fair value through other comprehensive income - - 2.2 Overall 973 1,023 Total 1,511 3,886 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 229 5.2 Hedging derivatives: composition for covered portfolios and by type of hedging (€ million) TRANSACTIONS/TYPE OF HEDGES AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW FOREIGN INVESTMENTS MICRO-HEDGE MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHERS 1. Financial assets at fair value through other comprehensive income 9 - - - X X X - X X 2. Financial assets at amortised cost 2 X - - X X X - X X 3. Portfolio X X X X X X 222 X 395 X 4. Other transactions - - - - - - X - X - Total assets 11 - - - - - 222 - 395 - 1. Financial liabilities 1,897 X - - - - X 12 X X 2. Portfolio X X X X X X 153 X 149 X Total liabilities 1,897 - - - - - 153 12 149 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X 221 X 5 - Section 6 - Changes in fair value of portfolio hedged items - Item 60 6.1 Changes to macro-hedged financial assets: breakdown by hedged portfolio (€ million) AMOUNTS AS AT CHANGES TO HEDGED ASSETS/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes 3,228 5,628 1.1 Of specific portfolios 897 2,169 a) Financial assets at amortised cost 895 2,169 b) Financial assets at fair value through other comprehensive income 2 - 1.2 Overall 2,331 3,459 2. Negative changes 1,717 1,742 2.1 Of specific portfolios 744 719 a) Financial assets at amortised cost 744 719 b) Financial assets at fair value through other comprehensive income - - 2.2 Overall 973 1,023 Total 1,511 3,886 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 229 5.2 Hedging derivatives: composition for covered portfolios and by type of hedging (€ million) TRANSACTIONS/TYPE OF HEDGES AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW FOREIGN INVESTMENTS MICRO-HEDGE MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHERS 1. Financial assets at fair value through other comprehensive income 9 - - - X X X - X X 2. Financial assets at amortised cost 2 X - - X X X - X X 3. Portfolio X X X X X X 222 X 395 X 4. Other transactions - - - - - - X - X - Total assets 11 - - - - - 222 - 395 - 1. Financial liabilities 1,897 X - - - - X 12 X X 2. Portfolio X X X X X X 153 X 149 X Total liabilities 1,897 - - - - - 153 12 149 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X 221 X 5 - Section 6 - Changes in fair value of portfolio hedged items - Item 60 6.1 Changes to macro-hedged financial assets: breakdown by hedged portfolio (€ million) AMOUNTS AS AT CHANGES TO HEDGED ASSETS/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes 3,228 5,628 1.1 Of specific portfolios 897 2,169 a) Financial assets at amortised cost 895 2,169 b) Financial assets at fair value through other comprehensive income 2 - 1.2 Overall 2,331 3,459 2. Negative changes 1,717 1,742 2.1 Of specific portfolios 744 719 a) Financial assets at amortised cost 744 719 b) Financial assets at fair value through other comprehensive income - - 2.2 Overall 973 1,023 Total 1,511 3,886 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 229 5.2 Hedging derivatives: composition for covered portfolios and by type of hedging (€ million) TRANSACTIONS/TYPE OF HEDGES AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW FOREIGN INVESTMENTS MICRO-HEDGE MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHERS 1. Financial assets at fair value through other comprehensive income 9 - - - X X X - X X 2. Financial assets at amortised cost 2 X - - X X X - X X 3. Portfolio X X X X X X 222 X 395 X 4. Other transactions - - - - - - X - X - Total assets 11 - - - - - 222 - 395 - 1. Financial liabilities 1,897 X - - - - X 12 X X 2. Portfolio X X X X X X 153 X 149 X Total liabilities 1,897 - - - - - 153 12 149 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X 221 X 5 - Section 6 - Changes in fair value of portfolio hedged items - Item 60 6.1 Changes to macro-hedged financial assets: breakdown by hedged portfolio (€ million) AMOUNTS AS AT CHANGES TO HEDGED ASSETS/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes 3,228 5,628 1.1 Of specific portfolios 897 2,169 a) Financial assets at amortised cost 895 2,169 b) Financial assets at fair value through other comprehensive income 2 - 1.2 Overall 2,331 3,459 2. Negative changes 1,717 1,742 2.1 Of specific portfolios 744 719 a) Financial assets at amortised cost 744 719 b) Financial assets at fair value through other comprehensive income - - 2.2 Overall 973 1,023 Total 1,511 3,886 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 229 5.2 Hedging derivatives: composition for covered portfolios and by type of hedging (€ million) TRANSACTIONS/TYPE OF HEDGES AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW FOREIGN INVESTMENTS MICRO-HEDGE MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHERS 1. Financial assets at fair value through other comprehensive income 9 - - - X X X - X X 2. Financial assets at amortised cost 2 X - - X X X - X X 3. Portfolio X X X X X X 222 X 395 X 4. Other transactions - - - - - - X - X - Total assets 11 - - - - - 222 - 395 - 1. Financial liabilities 1,897 X - - - - X 12 X X 2. Portfolio X X X X X X 153 X 149 X Total liabilities 1,897 - - - - - 153 12 149 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X 221 X 5 - Section 6 - Changes in fair value of portfolio hedged items - Item 60 6.1 Changes to macro-hedged financial assets: breakdown by hedged portfolio (€ million) AMOUNTS AS AT CHANGES TO HEDGED ASSETS/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes 3,228 5,628 1.1 Of specific portfolios 897 2,169 a) Financial assets at amortised cost 895 2,169 b) Financial assets at fair value through other comprehensive income 2 - 1.2 Overall 2,331 3,459 2. Negative changes 1,717 1,742 2.1 Of specific portfolios 744 719 a) Financial assets at amortised cost 744 719 b) Financial assets at fair value through other comprehensive income - - 2.2 Overall 973 1,023 Total 1,511 3,886 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 230 2021 Annual Report and Accounts · UniCredit Section 7 - Equity investments - Item 70 7.1 Equity investments: information on shareholders’ equity OWNERSHIP RELATIONSHIP VOTING RIGHTS %(2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) NATURE OF RELATIONSHIP(3) HELD BY HOLDING % VALUED AT EQUITY METHOD A.2 INVESTMENTS IN JOINT VENTURES 1 FIDES LEASING GMBH VIENNA VIENNA 7 2 CALG ANLAGEN LEASING GMBH 50.00 Issued capital EUR 36,000 2 HETA BA LEASING SUED GMBH KLAGENFURT KLAGENFURT 7 2 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 50.00 Issued capital EUR 36,500 3 PALATIN GRUNDSTUECKVERWALTUNGS GESELLSCHAFT M.B.H. STOCKERAU STOCKERAU 7 2 UNICREDIT LEASING (AUSTRIA) GMBH 50.00 Issued capital EUR 36,336 A.3 COMPANIES UNDER SIGNIFICANT INFLUENCE 4 ALLIANZ ZB D.O.O. DRUSTVO ZA UPRAVLJANJE OBVEZNIM I DOBROVOLJNIM MIROVINSKIM FONDOVIMA ZAGREB ZAGREB 8 2 ZAGREBACKA BANKA D.D. 49.00 Issued capital HRK 105,000,000 5 ASSET BANCARI II MILAN MILAN 8 2 UNICREDIT SPA 21.55 Issued capital EUR 25,050,203 6 AVIVA SPA MILAN MILAN 8 4 UNICREDIT SPA 49.00 Issued capital EUR 247,000,000 7 BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT INNSBRUCK INNSBRUCK 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 37.53 Issued capital EUR 68,062,500 INNSBRUCK INNSBRUCK 8 1 UNICREDIT BANK AUSTRIA AG 9.85 8 BARN BV AMSTERDAM AMSTERDAM 8 2 AO UNICREDIT BANK 40.00 Issued capital EUR 237,890,000 9 BKS BANK AG KLAGENFURT KLAGENFURT 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 23.15 Issued capital EUR 85,886,000 KLAGENFURT KLAGENFURT 8 1 UNICREDIT BANK AUSTRIA AG 6.63 10 CAMFIN S.P.A. MILAN MILAN 8 5 UNICREDIT SPA 8.53 15.82 Issued capital EUR 110,000,000 11 CASH SERVICE COMPANY AD SOFIA SOFIA 8 5 UNICREDIT BULBANK AD 25.00 Issued capital BGN 12,500,000 12 CBD INTERNATIONAL SP.ZO.O. WARSAW WARSAW 8 2 ISB UNIVERSALE BAU GMBH 49.75 Issued capital PLN 100,500 13 CNP UNICREDIT VITA S.P.A. MILAN MILAN 8 4 UNICREDIT SPA 38.80 Issued capital EUR 381,698,529 14 COMPAGNIA AEREA ITALIANA S.P.A. FIUMICINO (ROME) FIUMICINO (ROME) 8 5 UNICREDIT SPA 36.59 Issued capital EUR 352,940 15 COMTRADE GROUP B.V. ROTTERDAM AMSTERDAM 8 5 UNICREDIT BANK AG 21.05 Issued capital EUR 4,522,000 16 CREDITRAS ASSICURAZIONI SPA MILAN MILAN 8 4 UNICREDIT SPA 50.00 Issued capital EUR 52,000,000 17 CREDITRAS VITA SPA MILAN MILAN 8 4 UNICREDIT SPA 50.00 Issued capital EUR 112,200,000 18 DA VINCI S.R.L. ROME ROME 8 5 IDEA FIMIT SGR FONDO SIGMA IMMOBILIARE 37.50 Issued capital EUR 100,000 19 INCONTRA ASSICURAZIONI S.P.A. MILAN MILAN 8 4 UNICREDIT SPA 49.00 Issued capital EUR 5,200,000 20 MULTIPLUS CARD D.O.O. ZA PROMIDZBU I USLUGE ZAGREB ZAGREB 8 2 ZAGREBACKA BANKA D.D. 75.00 25.00 Issued capital HRK 5,000,000 21 NOTARTREUHANDBANK AG VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 25.00 Issued capital EUR 8,030,000 22 OBERBANK AG LINZ LINZ 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 23.76 Issued capital EUR 105,864,000 LINZ LINZ 0 0 UNICREDIT BANK AUSTRIA AG 3.41 23 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT VIENNA VIENNA 8 1 CABET-HOLDING GMBH 24.75 Issued capital EUR 130,000,000 SCHOELLERBANK AKTIENGESELLSCHAFT 8.26 UNICREDIT BANK AUSTRIA AG 16.14 24 OESTERREICHISCHE WERTPAPIERDATEN SERVICE GMBH VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 29.30 Issued capital EUR 100,000 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 230 2021 Annual Report and Accounts · UniCredit Section 7 - Equity investments - Item 70 7.1 Equity investments: information on shareholders’ equity OWNERSHIP RELATIONSHIP VOTING RIGHTS %(2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) NATURE OF RELATIONSHIP(3) HELD BY HOLDING % VALUED AT EQUITY METHOD A.2 INVESTMENTS IN JOINT VENTURES 1 FIDES LEASING GMBH VIENNA VIENNA 7 2 CALG ANLAGEN LEASING GMBH 50.00 Issued capital EUR 36,000 2 HETA BA LEASING SUED GMBH KLAGENFURT KLAGENFURT 7 2 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 50.00 Issued capital EUR 36,500 3 PALATIN GRUNDSTUECKVERWALTUNGS GESELLSCHAFT M.B.H. STOCKERAU STOCKERAU 7 2 UNICREDIT LEASING (AUSTRIA) GMBH 50.00 Issued capital EUR 36,336 A.3 COMPANIES UNDER SIGNIFICANT INFLUENCE 4 ALLIANZ ZB D.O.O. DRUSTVO ZA UPRAVLJANJE OBVEZNIM I DOBROVOLJNIM MIROVINSKIM FONDOVIMA ZAGREB ZAGREB 8 2 ZAGREBACKA BANKA D.D. 49.00 Issued capital HRK 105,000,000 5 ASSET BANCARI II MILAN MILAN 8 2 UNICREDIT SPA 21.55 Issued capital EUR 25,050,203 6 AVIVA SPA MILAN MILAN 8 4 UNICREDIT SPA 49.00 Issued capital EUR 247,000,000 7 BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT INNSBRUCK INNSBRUCK 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 37.53 Issued capital EUR 68,062,500 INNSBRUCK INNSBRUCK 8 1 UNICREDIT BANK AUSTRIA AG 9.85 8 BARN BV AMSTERDAM AMSTERDAM 8 2 AO UNICREDIT BANK 40.00 Issued capital EUR 237,890,000 9 BKS BANK AG KLAGENFURT KLAGENFURT 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 23.15 Issued capital EUR 85,886,000 KLAGENFURT KLAGENFURT 8 1 UNICREDIT BANK AUSTRIA AG 6.63 10 CAMFIN S.P.A. MILAN MILAN 8 5 UNICREDIT SPA 8.53 15.82 Issued capital EUR 110,000,000 11 CASH SERVICE COMPANY AD SOFIA SOFIA 8 5 UNICREDIT BULBANK AD 25.00 Issued capital BGN 12,500,000 12 CBD INTERNATIONAL SP.ZO.O. WARSAW WARSAW 8 2 ISB UNIVERSALE BAU GMBH 49.75 Issued capital PLN 100,500 13 CNP UNICREDIT VITA S.P.A. MILAN MILAN 8 4 UNICREDIT SPA 38.80 Issued capital EUR 381,698,529 14 COMPAGNIA AEREA ITALIANA S.P.A. FIUMICINO (ROME) FIUMICINO (ROME) 8 5 UNICREDIT SPA 36.59 Issued capital EUR 352,940 15 COMTRADE GROUP B.V. ROTTERDAM AMSTERDAM 8 5 UNICREDIT BANK AG 21.05 Issued capital EUR 4,522,000 16 CREDITRAS ASSICURAZIONI SPA MILAN MILAN 8 4 UNICREDIT SPA 50.00 Issued capital EUR 52,000,000 17 CREDITRAS VITA SPA MILAN MILAN 8 4 UNICREDIT SPA 50.00 Issued capital EUR 112,200,000 18 DA VINCI S.R.L. ROME ROME 8 5 IDEA FIMIT SGR FONDO SIGMA IMMOBILIARE 37.50 Issued capital EUR 100,000 19 INCONTRA ASSICURAZIONI S.P.A. MILAN MILAN 8 4 UNICREDIT SPA 49.00 Issued capital EUR 5,200,000 20 MULTIPLUS CARD D.O.O. ZA PROMIDZBU I USLUGE ZAGREB ZAGREB 8 2 ZAGREBACKA BANKA D.D. 75.00 25.00 Issued capital HRK 5,000,000 21 NOTARTREUHANDBANK AG VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 25.00 Issued capital EUR 8,030,000 22 OBERBANK AG LINZ LINZ 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 23.76 Issued capital EUR 105,864,000 LINZ LINZ 0 0 UNICREDIT BANK AUSTRIA AG 3.41 23 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT VIENNA VIENNA 8 1 CABET-HOLDING GMBH 24.75 Issued capital EUR 130,000,000 SCHOELLERBANK AKTIENGESELLSCHAFT 8.26 UNICREDIT BANK AUSTRIA AG 16.14 24 OESTERREICHISCHE WERTPAPIERDATEN SERVICE GMBH VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 29.30 Issued capital EUR 100,000 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 230 2021 Annual Report and Accounts · UniCredit Section 7 - Equity investments - Item 70 7.1 Equity investments: information on shareholders’ equity OWNERSHIP RELATIONSHIP VOTING RIGHTS %(2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) NATURE OF RELATIONSHIP(3) HELD BY HOLDING % VALUED AT EQUITY METHOD A.2 INVESTMENTS IN JOINT VENTURES 1 FIDES LEASING GMBH VIENNA VIENNA 7 2 CALG ANLAGEN LEASING GMBH 50.00 Issued capital EUR 36,000 2 HETA BA LEASING SUED GMBH KLAGENFURT KLAGENFURT 7 2 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 50.00 Issued capital EUR 36,500 3 PALATIN GRUNDSTUECKVERWALTUNGS GESELLSCHAFT M.B.H. STOCKERAU STOCKERAU 7 2 UNICREDIT LEASING (AUSTRIA) GMBH 50.00 Issued capital EUR 36,336 A.3 COMPANIES UNDER SIGNIFICANT INFLUENCE 4 ALLIANZ ZB D.O.O. DRUSTVO ZA UPRAVLJANJE OBVEZNIM I DOBROVOLJNIM MIROVINSKIM FONDOVIMA ZAGREB ZAGREB 8 2 ZAGREBACKA BANKA D.D. 49.00 Issued capital HRK 105,000,000 5 ASSET BANCARI II MILAN MILAN 8 2 UNICREDIT SPA 21.55 Issued capital EUR 25,050,203 6 AVIVA SPA MILAN MILAN 8 4 UNICREDIT SPA 49.00 Issued capital EUR 247,000,000 7 BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT INNSBRUCK INNSBRUCK 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 37.53 Issued capital EUR 68,062,500 INNSBRUCK INNSBRUCK 8 1 UNICREDIT BANK AUSTRIA AG 9.85 8 BARN BV AMSTERDAM AMSTERDAM 8 2 AO UNICREDIT BANK 40.00 Issued capital EUR 237,890,000 9 BKS BANK AG KLAGENFURT KLAGENFURT 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 23.15 Issued capital EUR 85,886,000 KLAGENFURT KLAGENFURT 8 1 UNICREDIT BANK AUSTRIA AG 6.63 10 CAMFIN S.P.A. MILAN MILAN 8 5 UNICREDIT SPA 8.53 15.82 Issued capital EUR 110,000,000 11 CASH SERVICE COMPANY AD SOFIA SOFIA 8 5 UNICREDIT BULBANK AD 25.00 Issued capital BGN 12,500,000 12 CBD INTERNATIONAL SP.ZO.O. WARSAW WARSAW 8 2 ISB UNIVERSALE BAU GMBH 49.75 Issued capital PLN 100,500 13 CNP UNICREDIT VITA S.P.A. MILAN MILAN 8 4 UNICREDIT SPA 38.80 Issued capital EUR 381,698,529 14 COMPAGNIA AEREA ITALIANA S.P.A. FIUMICINO (ROME) FIUMICINO (ROME) 8 5 UNICREDIT SPA 36.59 Issued capital EUR 352,940 15 COMTRADE GROUP B.V. ROTTERDAM AMSTERDAM 8 5 UNICREDIT BANK AG 21.05 Issued capital EUR 4,522,000 16 CREDITRAS ASSICURAZIONI SPA MILAN MILAN 8 4 UNICREDIT SPA 50.00 Issued capital EUR 52,000,000 17 CREDITRAS VITA SPA MILAN MILAN 8 4 UNICREDIT SPA 50.00 Issued capital EUR 112,200,000 18 DA VINCI S.R.L. ROME ROME 8 5 IDEA FIMIT SGR FONDO SIGMA IMMOBILIARE 37.50 Issued capital EUR 100,000 19 INCONTRA ASSICURAZIONI S.P.A. MILAN MILAN 8 4 UNICREDIT SPA 49.00 Issued capital EUR 5,200,000 20 MULTIPLUS CARD D.O.O. ZA PROMIDZBU I USLUGE ZAGREB ZAGREB 8 2 ZAGREBACKA BANKA D.D. 75.00 25.00 Issued capital HRK 5,000,000 21 NOTARTREUHANDBANK AG VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 25.00 Issued capital EUR 8,030,000 22 OBERBANK AG LINZ LINZ 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 23.76 Issued capital EUR 105,864,000 LINZ LINZ 0 0 UNICREDIT BANK AUSTRIA AG 3.41 23 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT VIENNA VIENNA 8 1 CABET-HOLDING GMBH 24.75 Issued capital EUR 130,000,000 SCHOELLERBANK AKTIENGESELLSCHAFT 8.26 UNICREDIT BANK AUSTRIA AG 16.14 24 OESTERREICHISCHE WERTPAPIERDATEN SERVICE GMBH VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 29.30 Issued capital EUR 100,000 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 230 2021 Annual Report and Accounts · UniCredit Section 7 - Equity investments - Item 70 7.1 Equity investments: information on shareholders’ equity OWNERSHIP RELATIONSHIP VOTING RIGHTS %(2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) NATURE OF RELATIONSHIP(3) HELD BY HOLDING % VALUED AT EQUITY METHOD A.2 INVESTMENTS IN JOINT VENTURES 1 FIDES LEASING GMBH VIENNA VIENNA 7 2 CALG ANLAGEN LEASING GMBH 50.00 Issued capital EUR 36,000 2 HETA BA LEASING SUED GMBH KLAGENFURT KLAGENFURT 7 2 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 50.00 Issued capital EUR 36,500 3 PALATIN GRUNDSTUECKVERWALTUNGS GESELLSCHAFT M.B.H. STOCKERAU STOCKERAU 7 2 UNICREDIT LEASING (AUSTRIA) GMBH 50.00 Issued capital EUR 36,336 A.3 COMPANIES UNDER SIGNIFICANT INFLUENCE 4 ALLIANZ ZB D.O.O. DRUSTVO ZA UPRAVLJANJE OBVEZNIM I DOBROVOLJNIM MIROVINSKIM FONDOVIMA ZAGREB ZAGREB 8 2 ZAGREBACKA BANKA D.D. 49.00 Issued capital HRK 105,000,000 5 ASSET BANCARI II MILAN MILAN 8 2 UNICREDIT SPA 21.55 Issued capital EUR 25,050,203 6 AVIVA SPA MILAN MILAN 8 4 UNICREDIT SPA 49.00 Issued capital EUR 247,000,000 7 BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT INNSBRUCK INNSBRUCK 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 37.53 Issued capital EUR 68,062,500 INNSBRUCK INNSBRUCK 8 1 UNICREDIT BANK AUSTRIA AG 9.85 8 BARN BV AMSTERDAM AMSTERDAM 8 2 AO UNICREDIT BANK 40.00 Issued capital EUR 237,890,000 9 BKS BANK AG KLAGENFURT KLAGENFURT 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 23.15 Issued capital EUR 85,886,000 KLAGENFURT KLAGENFURT 8 1 UNICREDIT BANK AUSTRIA AG 6.63 10 CAMFIN S.P.A. MILAN MILAN 8 5 UNICREDIT SPA 8.53 15.82 Issued capital EUR 110,000,000 11 CASH SERVICE COMPANY AD SOFIA SOFIA 8 5 UNICREDIT BULBANK AD 25.00 Issued capital BGN 12,500,000 12 CBD INTERNATIONAL SP.ZO.O. WARSAW WARSAW 8 2 ISB UNIVERSALE BAU GMBH 49.75 Issued capital PLN 100,500 13 CNP UNICREDIT VITA S.P.A. MILAN MILAN 8 4 UNICREDIT SPA 38.80 Issued capital EUR 381,698,529 14 COMPAGNIA AEREA ITALIANA S.P.A. FIUMICINO (ROME) FIUMICINO (ROME) 8 5 UNICREDIT SPA 36.59 Issued capital EUR 352,940 15 COMTRADE GROUP B.V. ROTTERDAM AMSTERDAM 8 5 UNICREDIT BANK AG 21.05 Issued capital EUR 4,522,000 16 CREDITRAS ASSICURAZIONI SPA MILAN MILAN 8 4 UNICREDIT SPA 50.00 Issued capital EUR 52,000,000 17 CREDITRAS VITA SPA MILAN MILAN 8 4 UNICREDIT SPA 50.00 Issued capital EUR 112,200,000 18 DA VINCI S.R.L. ROME ROME 8 5 IDEA FIMIT SGR FONDO SIGMA IMMOBILIARE 37.50 Issued capital EUR 100,000 19 INCONTRA ASSICURAZIONI S.P.A. MILAN MILAN 8 4 UNICREDIT SPA 49.00 Issued capital EUR 5,200,000 20 MULTIPLUS CARD D.O.O. ZA PROMIDZBU I USLUGE ZAGREB ZAGREB 8 2 ZAGREBACKA BANKA D.D. 75.00 25.00 Issued capital HRK 5,000,000 21 NOTARTREUHANDBANK AG VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 25.00 Issued capital EUR 8,030,000 22 OBERBANK AG LINZ LINZ 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 23.76 Issued capital EUR 105,864,000 LINZ LINZ 0 0 UNICREDIT BANK AUSTRIA AG 3.41 23 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT VIENNA VIENNA 8 1 CABET-HOLDING GMBH 24.75 Issued capital EUR 130,000,000 SCHOELLERBANK AKTIENGESELLSCHAFT 8.26 UNICREDIT BANK AUSTRIA AG 16.14 24 OESTERREICHISCHE WERTPAPIERDATEN SERVICE GMBH VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 29.30 Issued capital EUR 100,000 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 230 2021 Annual Report and Accounts · UniCredit Section 7 - Equity investments - Item 70 7.1 Equity investments: information on shareholders’ equity OWNERSHIP RELATIONSHIP VOTING RIGHTS %(2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) NATURE OF RELATIONSHIP(3) HELD BY HOLDING % VALUED AT EQUITY METHOD A.2 INVESTMENTS IN JOINT VENTURES 1 FIDES LEASING GMBH VIENNA VIENNA 7 2 CALG ANLAGEN LEASING GMBH 50.00 Issued capital EUR 36,000 2 HETA BA LEASING SUED GMBH KLAGENFURT KLAGENFURT 7 2 UNIVERSALE INTERNATIONAL REALITAETEN GMBH 50.00 Issued capital EUR 36,500 3 PALATIN GRUNDSTUECKVERWALTUNGS GESELLSCHAFT M.B.H. STOCKERAU STOCKERAU 7 2 UNICREDIT LEASING (AUSTRIA) GMBH 50.00 Issued capital EUR 36,336 A.3 COMPANIES UNDER SIGNIFICANT INFLUENCE 4 ALLIANZ ZB D.O.O. DRUSTVO ZA UPRAVLJANJE OBVEZNIM I DOBROVOLJNIM MIROVINSKIM FONDOVIMA ZAGREB ZAGREB 8 2 ZAGREBACKA BANKA D.D. 49.00 Issued capital HRK 105,000,000 5 ASSET BANCARI II MILAN MILAN 8 2 UNICREDIT SPA 21.55 Issued capital EUR 25,050,203 6 AVIVA SPA MILAN MILAN 8 4 UNICREDIT SPA 49.00 Issued capital EUR 247,000,000 7 BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT INNSBRUCK INNSBRUCK 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 37.53 Issued capital EUR 68,062,500 INNSBRUCK INNSBRUCK 8 1 UNICREDIT BANK AUSTRIA AG 9.85 8 BARN BV AMSTERDAM AMSTERDAM 8 2 AO UNICREDIT BANK 40.00 Issued capital EUR 237,890,000 9 BKS BANK AG KLAGENFURT KLAGENFURT 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 23.15 Issued capital EUR 85,886,000 KLAGENFURT KLAGENFURT 8 1 UNICREDIT BANK AUSTRIA AG 6.63 10 CAMFIN S.P.A. MILAN MILAN 8 5 UNICREDIT SPA 8.53 15.82 Issued capital EUR 110,000,000 11 CASH SERVICE COMPANY AD SOFIA SOFIA 8 5 UNICREDIT BULBANK AD 25.00 Issued capital BGN 12,500,000 12 CBD INTERNATIONAL SP.ZO.O. WARSAW WARSAW 8 2 ISB UNIVERSALE BAU GMBH 49.75 Issued capital PLN 100,500 13 CNP UNICREDIT VITA S.P.A. MILAN MILAN 8 4 UNICREDIT SPA 38.80 Issued capital EUR 381,698,529 14 COMPAGNIA AEREA ITALIANA S.P.A. FIUMICINO (ROME) FIUMICINO (ROME) 8 5 UNICREDIT SPA 36.59 Issued capital EUR 352,940 15 COMTRADE GROUP B.V. ROTTERDAM AMSTERDAM 8 5 UNICREDIT BANK AG 21.05 Issued capital EUR 4,522,000 16 CREDITRAS ASSICURAZIONI SPA MILAN MILAN 8 4 UNICREDIT SPA 50.00 Issued capital EUR 52,000,000 17 CREDITRAS VITA SPA MILAN MILAN 8 4 UNICREDIT SPA 50.00 Issued capital EUR 112,200,000 18 DA VINCI S.R.L. ROME ROME 8 5 IDEA FIMIT SGR FONDO SIGMA IMMOBILIARE 37.50 Issued capital EUR 100,000 19 INCONTRA ASSICURAZIONI S.P.A. MILAN MILAN 8 4 UNICREDIT SPA 49.00 Issued capital EUR 5,200,000 20 MULTIPLUS CARD D.O.O. ZA PROMIDZBU I USLUGE ZAGREB ZAGREB 8 2 ZAGREBACKA BANKA D.D. 75.00 25.00 Issued capital HRK 5,000,000 21 NOTARTREUHANDBANK AG VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 25.00 Issued capital EUR 8,030,000 22 OBERBANK AG LINZ LINZ 8 1 CABO BETEILIGUNGSGESELLSCHAFT M.B.H. 23.76 Issued capital EUR 105,864,000 LINZ LINZ 0 0 UNICREDIT BANK AUSTRIA AG 3.41 23 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT VIENNA VIENNA 8 1 CABET-HOLDING GMBH 24.75 Issued capital EUR 130,000,000 SCHOELLERBANK AKTIENGESELLSCHAFT 8.26 UNICREDIT BANK AUSTRIA AG 16.14 24 OESTERREICHISCHE WERTPAPIERDATEN SERVICE GMBH VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 29.30 Issued capital EUR 100,000 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 231 OWNERSHIP RELATIONSHIP VOTING RIGHTS %(2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) NATURE OF RELATIONSHIP(3) HELD BY HOLDING % 25 PSA PAYMENT SERVICES AUSTRIA GMBH VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 24.00 Issued capital EUR 285,000 26 RCI FINANCIAL SERVICES S.R.O. PRAGUE PRAGUE 8 2 UNICREDIT LEASING CZ, A.S. 50.00 49.86 Issued capital CZK 70,000,000 27 RISANAMENTO SPA* MILAN MILAN 8 5 UNICREDIT SPA 22.23 Issued capital EUR 197,951,784 28 UNI GEBAEUDEMANAGEMENT GMBH LINZ LINZ 8 2 BA GVG-HOLDING GMBH 50.00 Issued capital EUR 18,168 29 WKBG WIENER KREDITBUERGSCHAFTS- UND BETEILIGUNGSBANK AG VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 21.54 Issued capital EUR 15,550,309 Notes: * Company classified in the Financial Statements as "non-current assets and disposal groups classified as held for sale" according to IFRS5 and therefore valued at minor between fair value net of cost to sell and booking value. The latter is determined by interrupting the valuation at Equity starting from the date of IFRS5 classification. (1) Type of relationship: 7 = joint control; 8 = associates. (2) Voting rights available at the general meeting. Voting rights are disclosed only if different from the percentage of ownership; (3) Nature of relationship: 1= Banks; 2= Financial entities 3= Ancillary banking entities services; 4= Insurance enterprises; 5= Non-financial enterprises; 6= Other equity investments. Refer to Section 3 of Part A - Accounting policies for a description of the consolidation procedures and scope. Joint ventures or companies under significant influence, consolidated at equity or classified as non-current assets and assets disposal groups, decreased from 31 as at 31 December 2020 to 29 as at 31 December 2021 due to 1 decrease as disposals and 1 change of the consolidation method. The following table shows changes in equity investments in Joint Ventures and in companies under significant influence (consolidated at Net Equity). Equity investments in joint ventures and in companies under significant influence (consolidated at net equity): annual changes NUMBER OF COMPANIES A. Opening balance (from previous year) 31 B. Increased by - B.1 Newly established companies - B.2 Change of the consolidation method - B.3 Entities consolidated for the first time in the year - C. Reduced by 2 C.1 Disposal/Liquidation 1 C.2 Change of the consolidation method 1 C.3 Absorption by other entities - C.4 Other changes - D. Closing balance 29 Increases During the period there were no changes in newly established companies, change of the consolidation method and entities consolidated for the first time in the year. Reductions Disposal/Liquidation COMPANY NAME MAIN OFFICE CAPITAL DEV SPA ROME Change of the consolidation method COMPANY NAME MAIN OFFICE YAPI VE KREDI BANKASI AS ISTANBUL Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 231 OWNERSHIP RELATIONSHIP VOTING RIGHTS %(2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) NATURE OF RELATIONSHIP(3) HELD BY HOLDING % 25 PSA PAYMENT SERVICES AUSTRIA GMBH VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 24.00 Issued capital EUR 285,000 26 RCI FINANCIAL SERVICES S.R.O. PRAGUE PRAGUE 8 2 UNICREDIT LEASING CZ, A.S. 50.00 49.86 Issued capital CZK 70,000,000 27 RISANAMENTO SPA* MILAN MILAN 8 5 UNICREDIT SPA 22.23 Issued capital EUR 197,951,784 28 UNI GEBAEUDEMANAGEMENT GMBH LINZ LINZ 8 2 BA GVG-HOLDING GMBH 50.00 Issued capital EUR 18,168 29 WKBG WIENER KREDITBUERGSCHAFTS- UND BETEILIGUNGSBANK AG VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 21.54 Issued capital EUR 15,550,309 Notes: * Company classified in the Financial Statements as "non-current assets and disposal groups classified as held for sale" according to IFRS5 and therefore valued at minor between fair value net of cost to sell and booking value. The latter is determined by interrupting the valuation at Equity starting from the date of IFRS5 classification. (1) Type of relationship: 7 = joint control; 8 = associates. (2) Voting rights available at the general meeting. Voting rights are disclosed only if different from the percentage of ownership; (3) Nature of relationship: 1= Banks; 2= Financial entities 3= Ancillary banking entities services; 4= Insurance enterprises; 5= Non-financial enterprises; 6= Other equity investments. Refer to Section 3 of Part A - Accounting policies for a description of the consolidation procedures and scope. Joint ventures or companies under significant influence, consolidated at equity or classified as non-current assets and assets disposal groups, decreased from 31 as at 31 December 2020 to 29 as at 31 December 2021 due to 1 decrease as disposals and 1 change of the consolidation method. The following table shows changes in equity investments in Joint Ventures and in companies under significant influence (consolidated at Net Equity). Equity investments in joint ventures and in companies under significant influence (consolidated at net equity): annual changes NUMBER OF COMPANIES A. Opening balance (from previous year) 31 B. Increased by - B.1 Newly established companies - B.2 Change of the consolidation method - B.3 Entities consolidated for the first time in the year - C. Reduced by 2 C.1 Disposal/Liquidation 1 C.2 Change of the consolidation method 1 C.3 Absorption by other entities - C.4 Other changes - D. Closing balance 29 Increases During the period there were no changes in newly established companies, change of the consolidation method and entities consolidated for the first time in the year. Reductions Disposal/Liquidation COMPANY NAME MAIN OFFICE CAPITAL DEV SPA ROME Change of the consolidation method COMPANY NAME MAIN OFFICE YAPI VE KREDI BANKASI AS ISTANBUL Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 231 OWNERSHIP RELATIONSHIP VOTING RIGHTS %(2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) NATURE OF RELATIONSHIP(3) HELD BY HOLDING % 25 PSA PAYMENT SERVICES AUSTRIA GMBH VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 24.00 Issued capital EUR 285,000 26 RCI FINANCIAL SERVICES S.R.O. PRAGUE PRAGUE 8 2 UNICREDIT LEASING CZ, A.S. 50.00 49.86 Issued capital CZK 70,000,000 27 RISANAMENTO SPA* MILAN MILAN 8 5 UNICREDIT SPA 22.23 Issued capital EUR 197,951,784 28 UNI GEBAEUDEMANAGEMENT GMBH LINZ LINZ 8 2 BA GVG-HOLDING GMBH 50.00 Issued capital EUR 18,168 29 WKBG WIENER KREDITBUERGSCHAFTS- UND BETEILIGUNGSBANK AG VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 21.54 Issued capital EUR 15,550,309 Notes: * Company classified in the Financial Statements as "non-current assets and disposal groups classified as held for sale" according to IFRS5 and therefore valued at minor between fair value net of cost to sell and booking value. The latter is determined by interrupting the valuation at Equity starting from the date of IFRS5 classification. (1) Type of relationship: 7 = joint control; 8 = associates. (2) Voting rights available at the general meeting. Voting rights are disclosed only if different from the percentage of ownership; (3) Nature of relationship: 1= Banks; 2= Financial entities 3= Ancillary banking entities services; 4= Insurance enterprises; 5= Non-financial enterprises; 6= Other equity investments. Refer to Section 3 of Part A - Accounting policies for a description of the consolidation procedures and scope. Joint ventures or companies under significant influence, consolidated at equity or classified as non-current assets and assets disposal groups, decreased from 31 as at 31 December 2020 to 29 as at 31 December 2021 due to 1 decrease as disposals and 1 change of the consolidation method. The following table shows changes in equity investments in Joint Ventures and in companies under significant influence (consolidated at Net Equity). Equity investments in joint ventures and in companies under significant influence (consolidated at net equity): annual changes NUMBER OF COMPANIES A. Opening balance (from previous year) 31 B. Increased by - B.1 Newly established companies - B.2 Change of the consolidation method - B.3 Entities consolidated for the first time in the year - C. Reduced by 2 C.1 Disposal/Liquidation 1 C.2 Change of the consolidation method 1 C.3 Absorption by other entities - C.4 Other changes - D. Closing balance 29 Increases During the period there were no changes in newly established companies, change of the consolidation method and entities consolidated for the first time in the year. Reductions Disposal/Liquidation COMPANY NAME MAIN OFFICE CAPITAL DEV SPA ROME Change of the consolidation method COMPANY NAME MAIN OFFICE YAPI VE KREDI BANKASI AS ISTANBUL Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 231 OWNERSHIP RELATIONSHIP VOTING RIGHTS %(2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) NATURE OF RELATIONSHIP(3) HELD BY HOLDING % 25 PSA PAYMENT SERVICES AUSTRIA GMBH VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 24.00 Issued capital EUR 285,000 26 RCI FINANCIAL SERVICES S.R.O. PRAGUE PRAGUE 8 2 UNICREDIT LEASING CZ, A.S. 50.00 49.86 Issued capital CZK 70,000,000 27 RISANAMENTO SPA* MILAN MILAN 8 5 UNICREDIT SPA 22.23 Issued capital EUR 197,951,784 28 UNI GEBAEUDEMANAGEMENT GMBH LINZ LINZ 8 2 BA GVG-HOLDING GMBH 50.00 Issued capital EUR 18,168 29 WKBG WIENER KREDITBUERGSCHAFTS- UND BETEILIGUNGSBANK AG VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 21.54 Issued capital EUR 15,550,309 Notes: * Company classified in the Financial Statements as "non-current assets and disposal groups classified as held for sale" according to IFRS5 and therefore valued at minor between fair value net of cost to sell and booking value. The latter is determined by interrupting the valuation at Equity starting from the date of IFRS5 classification. (1) Type of relationship: 7 = joint control; 8 = associates. (2) Voting rights available at the general meeting. Voting rights are disclosed only if different from the percentage of ownership; (3) Nature of relationship: 1= Banks; 2= Financial entities 3= Ancillary banking entities services; 4= Insurance enterprises; 5= Non-financial enterprises; 6= Other equity investments. Refer to Section 3 of Part A - Accounting policies for a description of the consolidation procedures and scope. Joint ventures or companies under significant influence, consolidated at equity or classified as non-current assets and assets disposal groups, decreased from 31 as at 31 December 2020 to 29 as at 31 December 2021 due to 1 decrease as disposals and 1 change of the consolidation method. The following table shows changes in equity investments in Joint Ventures and in companies under significant influence (consolidated at Net Equity). Equity investments in joint ventures and in companies under significant influence (consolidated at net equity): annual changes NUMBER OF COMPANIES A. Opening balance (from previous year) 31 B. Increased by - B.1 Newly established companies - B.2 Change of the consolidation method - B.3 Entities consolidated for the first time in the year - C. Reduced by 2 C.1 Disposal/Liquidation 1 C.2 Change of the consolidation method 1 C.3 Absorption by other entities - C.4 Other changes - D. Closing balance 29 Increases During the period there were no changes in newly established companies, change of the consolidation method and entities consolidated for the first time in the year. Reductions Disposal/Liquidation COMPANY NAME MAIN OFFICE CAPITAL DEV SPA ROME Change of the consolidation method COMPANY NAME MAIN OFFICE YAPI VE KREDI BANKASI AS ISTANBUL Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 231 OWNERSHIP RELATIONSHIP VOTING RIGHTS %(2) COMPANY NAME MAIN OFFICE ADMINISTRATIVE OFFICE TYPE OF RELATIONSHIP(1) NATURE OF RELATIONSHIP(3) HELD BY HOLDING % 25 PSA PAYMENT SERVICES AUSTRIA GMBH VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 24.00 Issued capital EUR 285,000 26 RCI FINANCIAL SERVICES S.R.O. PRAGUE PRAGUE 8 2 UNICREDIT LEASING CZ, A.S. 50.00 49.86 Issued capital CZK 70,000,000 27 RISANAMENTO SPA* MILAN MILAN 8 5 UNICREDIT SPA 22.23 Issued capital EUR 197,951,784 28 UNI GEBAEUDEMANAGEMENT GMBH LINZ LINZ 8 2 BA GVG-HOLDING GMBH 50.00 Issued capital EUR 18,168 29 WKBG WIENER KREDITBUERGSCHAFTS- UND BETEILIGUNGSBANK AG VIENNA VIENNA 8 2 UNICREDIT BANK AUSTRIA AG 21.54 Issued capital EUR 15,550,309 Notes: * Company classified in the Financial Statements as "non-current assets and disposal groups classified as held for sale" according to IFRS5 and therefore valued at minor between fair value net of cost to sell and booking value. The latter is determined by interrupting the valuation at Equity starting from the date of IFRS5 classification. (1) Type of relationship: 7 = joint control; 8 = associates. (2) Voting rights available at the general meeting. Voting rights are disclosed only if different from the percentage of ownership; (3) Nature of relationship: 1= Banks; 2= Financial entities 3= Ancillary banking entities services; 4= Insurance enterprises; 5= Non-financial enterprises; 6= Other equity investments. Refer to Section 3 of Part A - Accounting policies for a description of the consolidation procedures and scope. Joint ventures or companies under significant influence, consolidated at equity or classified as non-current assets and assets disposal groups, decreased from 31 as at 31 December 2020 to 29 as at 31 December 2021 due to 1 decrease as disposals and 1 change of the consolidation method. The following table shows changes in equity investments in Joint Ventures and in companies under significant influence (consolidated at Net Equity). Equity investments in joint ventures and in companies under significant influence (consolidated at net equity): annual changes NUMBER OF COMPANIES A. Opening balance (from previous year) 31 B. Increased by - B.1 Newly established companies - B.2 Change of the consolidation method - B.3 Entities consolidated for the first time in the year - C. Reduced by 2 C.1 Disposal/Liquidation 1 C.2 Change of the consolidation method 1 C.3 Absorption by other entities - C.4 Other changes - D. Closing balance 29 Increases During the period there were no changes in newly established companies, change of the consolidation method and entities consolidated for the first time in the year. Reductions Disposal/Liquidation COMPANY NAME MAIN OFFICE CAPITAL DEV SPA ROME Change of the consolidation method COMPANY NAME MAIN OFFICE YAPI VE KREDI BANKASI AS ISTANBUL Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 232 2021 Annual Report and Accounts · UniCredit On 27 October 2021 UniCredit Board of Directors approved the sale up to the entire 20% stake in Yapi VE Kredi Bankasi A.S. through several possible options, including: (i) an Accelerated Bookbuilding offering (ABB) to institutional investors; (ii) disposal on the market. On 8 November 2021, Koç Holding confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a number of shares representing 18% of the issued share capital of Yapi VE Kredi Bankasi A.S., with closing by first quarter 2022 (conditional on approval by Regulators) at a price already defined in Turkish Lira equal to TRY 2.298 per share. Yapi VE Kredi Bankasi A.S. stake was consequently reclassified in Asset Held for Sale with a negative P&L impact for -€76 million. At the end of November, a stake in Yapi VE Kredi Bankasi A.S. equal to 2% was sold on the market, generating a negative P&L impact for -€155 million. On 28 December, Yapi VE Kredi Bankasi A.S. Board of Directors members appointed by UniCredit resigned, triggering the loss of significant influence generating a negative P&L impact for -€1,461 million, with the consequent deconsolidation of Yapi VE Kredi Bankasi A.S. residual stake of 18% and the recognition of the equity investment in item 20. Financial assets mandatorily at fair value. The following table shows the breakdown of item “70. Equity investments”, reporting the adopted accounting method, held either directly or through consolidated subsidiaries. (milion) NUMBER OF ENTITY CARRYING VALUE Joint ventures accounted for under equity method 3 1 Associates accounted for under equity method 25 3,975 Entities controlled either directly or through consolidated subsidiaries held at cost 95 93 Joint Venture held either directly or through consolidated subsidiaries at cost 1 - Associates held either directly or through consolidated subsidiaries at cost 8 4 Total 132 4.073 7.2 Significant Shareholdings: book value, fair value and dividends received (€ million) COMPANY NAME BALANCE SHEET VALUE FAIR VALUE(*) DIVIDENDS RECEIVED(**) NOTE(***) A. Companies under joint control - - - B. Companies subject to significant influence AVIVA S.P.A. 294 - - (2) BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT 699 510 2 (1) BKS BANK AG 360 196 2 (1) CNP UNICREDIT VITA S.P.A. 397 - 6 (2) CREDITRAS VITA S.P.A. 566 - 45 (2) OBERBANK AG 910 877 7 (1) OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT 407 - 16 (2) Total 3,633 1,583 78 Notes: (*) It should be noted that all investments in listed associates show a fair value at Level 1 (L1). (**) Dividends received by the investor company. (***) In the present table and in the following relating to significant shareholdings the values are referred to the last financial statement in line with IAS28 requirements. (1) It should be noted that on the basis of the International Accounting Standards, equity investments in associates listed on regulated markets with a fair value (quotation) lower than consolidated book value are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. As at 31 December 2021 for Bank Fuer Tirol un Vorarlberg Aktiengesellschaft the recoverable value was lower than the book value therefore a write-down was recognized; for Bks Bank AG and Oberbank AG the recoverable value was higher than the book value therefore a write-back of previous impairment was recognized. For more details see Part C - Information on Consolidated income statement - Section 17 - Gain (Losses) of equity investments - Item 250 of Notes to the consolidated accounts. (2) Note that on the basis of the International Accounting Standards, equity investments in associates for which there is clear evidence of occurrence of events that may reduce their value, are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. Note that none relevant write-down or write-back was recognised for these companies. Financial information of the investee companies used for the purposes of measurement with the net equity method is presented below. These figures include any adjustments made in line with paragraph B14 of IFRS12 requirements. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 232 2021 Annual Report and Accounts · UniCredit On 27 October 2021 UniCredit Board of Directors approved the sale up to the entire 20% stake in Yapi VE Kredi Bankasi A.S. through several possible options, including: (i) an Accelerated Bookbuilding offering (ABB) to institutional investors; (ii) disposal on the market. On 8 November 2021, Koç Holding confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a number of shares representing 18% of the issued share capital of Yapi VE Kredi Bankasi A.S., with closing by first quarter 2022 (conditional on approval by Regulators) at a price already defined in Turkish Lira equal to TRY 2.298 per share. Yapi VE Kredi Bankasi A.S. stake was consequently reclassified in Asset Held for Sale with a negative P&L impact for -€76 million. At the end of November, a stake in Yapi VE Kredi Bankasi A.S. equal to 2% was sold on the market, generating a negative P&L impact for -€155 million. On 28 December, Yapi VE Kredi Bankasi A.S. Board of Directors members appointed by UniCredit resigned, triggering the loss of significant influence generating a negative P&L impact for -€1,461 million, with the consequent deconsolidation of Yapi VE Kredi Bankasi A.S. residual stake of 18% and the recognition of the equity investment in item 20. Financial assets mandatorily at fair value. The following table shows the breakdown of item “70. Equity investments”, reporting the adopted accounting method, held either directly or through consolidated subsidiaries. (milion) NUMBER OF ENTITY CARRYING VALUE Joint ventures accounted for under equity method 3 1 Associates accounted for under equity method 25 3,975 Entities controlled either directly or through consolidated subsidiaries held at cost 95 93 Joint Venture held either directly or through consolidated subsidiaries at cost 1 - Associates held either directly or through consolidated subsidiaries at cost 8 4 Total 132 4.073 7.2 Significant Shareholdings: book value, fair value and dividends received (€ million) COMPANY NAME BALANCE SHEET VALUE FAIR VALUE(*) DIVIDENDS RECEIVED(**) NOTE(***) A. Companies under joint control - - - B. Companies subject to significant influence AVIVA S.P.A. 294 - - (2) BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT 699 510 2 (1) BKS BANK AG 360 196 2 (1) CNP UNICREDIT VITA S.P.A. 397 - 6 (2) CREDITRAS VITA S.P.A. 566 - 45 (2) OBERBANK AG 910 877 7 (1) OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT 407 - 16 (2) Total 3,633 1,583 78 Notes: (*) It should be noted that all investments in listed associates show a fair value at Level 1 (L1). (**) Dividends received by the investor company. (***) In the present table and in the following relating to significant shareholdings the values are referred to the last financial statement in line with IAS28 requirements. (1) It should be noted that on the basis of the International Accounting Standards, equity investments in associates listed on regulated markets with a fair value (quotation) lower than consolidated book value are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. As at 31 December 2021 for Bank Fuer Tirol un Vorarlberg Aktiengesellschaft the recoverable value was lower than the book value therefore a write-down was recognized; for Bks Bank AG and Oberbank AG the recoverable value was higher than the book value therefore a write-back of previous impairment was recognized. For more details see Part C - Information on Consolidated income statement - Section 17 - Gain (Losses) of equity investments - Item 250 of Notes to the consolidated accounts. (2) Note that on the basis of the International Accounting Standards, equity investments in associates for which there is clear evidence of occurrence of events that may reduce their value, are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. Note that none relevant write-down or write-back was recognised for these companies. Financial information of the investee companies used for the purposes of measurement with the net equity method is presented below. These figures include any adjustments made in line with paragraph B14 of IFRS12 requirements. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 232 2021 Annual Report and Accounts · UniCredit On 27 October 2021 UniCredit Board of Directors approved the sale up to the entire 20% stake in Yapi VE Kredi Bankasi A.S. through several possible options, including: (i) an Accelerated Bookbuilding offering (ABB) to institutional investors; (ii) disposal on the market. On 8 November 2021, Koç Holding confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a number of shares representing 18% of the issued share capital of Yapi VE Kredi Bankasi A.S., with closing by first quarter 2022 (conditional on approval by Regulators) at a price already defined in Turkish Lira equal to TRY 2.298 per share. Yapi VE Kredi Bankasi A.S. stake was consequently reclassified in Asset Held for Sale with a negative P&L impact for -€76 million. At the end of November, a stake in Yapi VE Kredi Bankasi A.S. equal to 2% was sold on the market, generating a negative P&L impact for -€155 million. On 28 December, Yapi VE Kredi Bankasi A.S. Board of Directors members appointed by UniCredit resigned, triggering the loss of significant influence generating a negative P&L impact for -€1,461 million, with the consequent deconsolidation of Yapi VE Kredi Bankasi A.S. residual stake of 18% and the recognition of the equity investment in item 20. Financial assets mandatorily at fair value. The following table shows the breakdown of item “70. Equity investments”, reporting the adopted accounting method, held either directly or through consolidated subsidiaries. (milion) NUMBER OF ENTITY CARRYING VALUE Joint ventures accounted for under equity method 3 1 Associates accounted for under equity method 25 3,975 Entities controlled either directly or through consolidated subsidiaries held at cost 95 93 Joint Venture held either directly or through consolidated subsidiaries at cost 1 - Associates held either directly or through consolidated subsidiaries at cost 8 4 Total 132 4.073 7.2 Significant Shareholdings: book value, fair value and dividends received (€ million) COMPANY NAME BALANCE SHEET VALUE FAIR VALUE(*) DIVIDENDS RECEIVED(**) NOTE(***) A. Companies under joint control - - - B. Companies subject to significant influence AVIVA S.P.A. 294 - - (2) BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT 699 510 2 (1) BKS BANK AG 360 196 2 (1) CNP UNICREDIT VITA S.P.A. 397 - 6 (2) CREDITRAS VITA S.P.A. 566 - 45 (2) OBERBANK AG 910 877 7 (1) OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT 407 - 16 (2) Total 3,633 1,583 78 Notes: (*) It should be noted that all investments in listed associates show a fair value at Level 1 (L1). (**) Dividends received by the investor company. (***) In the present table and in the following relating to significant shareholdings the values are referred to the last financial statement in line with IAS28 requirements. (1) It should be noted that on the basis of the International Accounting Standards, equity investments in associates listed on regulated markets with a fair value (quotation) lower than consolidated book value are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. As at 31 December 2021 for Bank Fuer Tirol un Vorarlberg Aktiengesellschaft the recoverable value was lower than the book value therefore a write-down was recognized; for Bks Bank AG and Oberbank AG the recoverable value was higher than the book value therefore a write-back of previous impairment was recognized. For more details see Part C - Information on Consolidated income statement - Section 17 - Gain (Losses) of equity investments - Item 250 of Notes to the consolidated accounts. (2) Note that on the basis of the International Accounting Standards, equity investments in associates for which there is clear evidence of occurrence of events that may reduce their value, are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. Note that none relevant write-down or write-back was recognised for these companies. Financial information of the investee companies used for the purposes of measurement with the net equity method is presented below. These figures include any adjustments made in line with paragraph B14 of IFRS12 requirements. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 232 2021 Annual Report and Accounts · UniCredit On 27 October 2021 UniCredit Board of Directors approved the sale up to the entire 20% stake in Yapi VE Kredi Bankasi A.S. through several possible options, including: (i) an Accelerated Bookbuilding offering (ABB) to institutional investors; (ii) disposal on the market. On 8 November 2021, Koç Holding confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a number of shares representing 18% of the issued share capital of Yapi VE Kredi Bankasi A.S., with closing by first quarter 2022 (conditional on approval by Regulators) at a price already defined in Turkish Lira equal to TRY 2.298 per share. Yapi VE Kredi Bankasi A.S. stake was consequently reclassified in Asset Held for Sale with a negative P&L impact for -€76 million. At the end of November, a stake in Yapi VE Kredi Bankasi A.S. equal to 2% was sold on the market, generating a negative P&L impact for -€155 million. On 28 December, Yapi VE Kredi Bankasi A.S. Board of Directors members appointed by UniCredit resigned, triggering the loss of significant influence generating a negative P&L impact for -€1,461 million, with the consequent deconsolidation of Yapi VE Kredi Bankasi A.S. residual stake of 18% and the recognition of the equity investment in item 20. Financial assets mandatorily at fair value. The following table shows the breakdown of item “70. Equity investments”, reporting the adopted accounting method, held either directly or through consolidated subsidiaries. (milion) NUMBER OF ENTITY CARRYING VALUE Joint ventures accounted for under equity method 3 1 Associates accounted for under equity method 25 3,975 Entities controlled either directly or through consolidated subsidiaries held at cost 95 93 Joint Venture held either directly or through consolidated subsidiaries at cost 1 - Associates held either directly or through consolidated subsidiaries at cost 8 4 Total 132 4.073 7.2 Significant Shareholdings: book value, fair value and dividends received (€ million) COMPANY NAME BALANCE SHEET VALUE FAIR VALUE(*) DIVIDENDS RECEIVED(**) NOTE(***) A. Companies under joint control - - - B. Companies subject to significant influence AVIVA S.P.A. 294 - - (2) BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT 699 510 2 (1) BKS BANK AG 360 196 2 (1) CNP UNICREDIT VITA S.P.A. 397 - 6 (2) CREDITRAS VITA S.P.A. 566 - 45 (2) OBERBANK AG 910 877 7 (1) OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT 407 - 16 (2) Total 3,633 1,583 78 Notes: (*) It should be noted that all investments in listed associates show a fair value at Level 1 (L1). (**) Dividends received by the investor company. (***) In the present table and in the following relating to significant shareholdings the values are referred to the last financial statement in line with IAS28 requirements. (1) It should be noted that on the basis of the International Accounting Standards, equity investments in associates listed on regulated markets with a fair value (quotation) lower than consolidated book value are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. As at 31 December 2021 for Bank Fuer Tirol un Vorarlberg Aktiengesellschaft the recoverable value was lower than the book value therefore a write-down was recognized; for Bks Bank AG and Oberbank AG the recoverable value was higher than the book value therefore a write-back of previous impairment was recognized. For more details see Part C - Information on Consolidated income statement - Section 17 - Gain (Losses) of equity investments - Item 250 of Notes to the consolidated accounts. (2) Note that on the basis of the International Accounting Standards, equity investments in associates for which there is clear evidence of occurrence of events that may reduce their value, are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. Note that none relevant write-down or write-back was recognised for these companies. Financial information of the investee companies used for the purposes of measurement with the net equity method is presented below. These figures include any adjustments made in line with paragraph B14 of IFRS12 requirements. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 232 2021 Annual Report and Accounts · UniCredit On 27 October 2021 UniCredit Board of Directors approved the sale up to the entire 20% stake in Yapi VE Kredi Bankasi A.S. through several possible options, including: (i) an Accelerated Bookbuilding offering (ABB) to institutional investors; (ii) disposal on the market. On 8 November 2021, Koç Holding confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a number of shares representing 18% of the issued share capital of Yapi VE Kredi Bankasi A.S., with closing by first quarter 2022 (conditional on approval by Regulators) at a price already defined in Turkish Lira equal to TRY 2.298 per share. Yapi VE Kredi Bankasi A.S. stake was consequently reclassified in Asset Held for Sale with a negative P&L impact for -€76 million. At the end of November, a stake in Yapi VE Kredi Bankasi A.S. equal to 2% was sold on the market, generating a negative P&L impact for -€155 million. On 28 December, Yapi VE Kredi Bankasi A.S. Board of Directors members appointed by UniCredit resigned, triggering the loss of significant influence generating a negative P&L impact for -€1,461 million, with the consequent deconsolidation of Yapi VE Kredi Bankasi A.S. residual stake of 18% and the recognition of the equity investment in item 20. Financial assets mandatorily at fair value. The following table shows the breakdown of item “70. Equity investments”, reporting the adopted accounting method, held either directly or through consolidated subsidiaries. (milion) NUMBER OF ENTITY CARRYING VALUE Joint ventures accounted for under equity method 3 1 Associates accounted for under equity method 25 3,975 Entities controlled either directly or through consolidated subsidiaries held at cost 95 93 Joint Venture held either directly or through consolidated subsidiaries at cost 1 - Associates held either directly or through consolidated subsidiaries at cost 8 4 Total 132 4.073 7.2 Significant Shareholdings: book value, fair value and dividends received (€ million) COMPANY NAME BALANCE SHEET VALUE FAIR VALUE(*) DIVIDENDS RECEIVED(**) NOTE(***) A. Companies under joint control - - - B. Companies subject to significant influence AVIVA S.P.A. 294 - - (2) BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT 699 510 2 (1) BKS BANK AG 360 196 2 (1) CNP UNICREDIT VITA S.P.A. 397 - 6 (2) CREDITRAS VITA S.P.A. 566 - 45 (2) OBERBANK AG 910 877 7 (1) OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT 407 - 16 (2) Total 3,633 1,583 78 Notes: (*) It should be noted that all investments in listed associates show a fair value at Level 1 (L1). (**) Dividends received by the investor company. (***) In the present table and in the following relating to significant shareholdings the values are referred to the last financial statement in line with IAS28 requirements. (1) It should be noted that on the basis of the International Accounting Standards, equity investments in associates listed on regulated markets with a fair value (quotation) lower than consolidated book value are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. As at 31 December 2021 for Bank Fuer Tirol un Vorarlberg Aktiengesellschaft the recoverable value was lower than the book value therefore a write-down was recognized; for Bks Bank AG and Oberbank AG the recoverable value was higher than the book value therefore a write-back of previous impairment was recognized. For more details see Part C - Information on Consolidated income statement - Section 17 - Gain (Losses) of equity investments - Item 250 of Notes to the consolidated accounts. (2) Note that on the basis of the International Accounting Standards, equity investments in associates for which there is clear evidence of occurrence of events that may reduce their value, are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. Note that none relevant write-down or write-back was recognised for these companies. Financial information of the investee companies used for the purposes of measurement with the net equity method is presented below. These figures include any adjustments made in line with paragraph B14 of IFRS12 requirements. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 233 7.3 Significant Shareholdings: accounting information (€ million) COMPANY NAME CASH AND LIQUID ASSETS FINANCIAL ASSET NON-FINANCIAL ASSET FINANCIAL LIABILIES NON-FINANCIAL LIABILITIES TOTAL REVENUES THE INTEREST MARGIN A. Companies under joint control - - - - - - - B. Companies subject to significant AVIVA S.P.A. X 17,583 550 - 17,824 4,572 X BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT X 10,631 503 11,796 333 342 X BKS BANK AG X 8,887 167 8,840 219 291 X CNP UNICREDIT VITA S.P.A. X 17,978 1,085 308 17,748 4,989 X CREDITRAS VITA S.P.A. X 34,276 1,795 26,004 9,026 758 X OBERBANK AG X 22,052 500 22,834 826 688 X OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT X 32,161 113 30,667 1,450 426 X continued: 7.3 Significant Shareholdings: accounting information COMPANY NAME ADJUSTMENTS TO THE BACKS ON TANGIBLE AND INTAGIBLE ASSETS PROFIT (LOSS) FROM CONTINUING OPERATIONS BEFORE TAXES PROFIT (LOSS) FROM CONTINUING OPERATIONS NET OF TAX PROFIT (LOSS) FROM GROUP OF ASSETS HELD FOR SALE NET OF TAX NET PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME, NET OF TAX (2) OTHER COMPREHENSIVE INCOME (3)=(1)+(2) A. Companies under joint control - - - - - - - B. Companies subject to significant influence AVIVA S.P.A. X 98 71 - 71 - 71 BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT X 81 81 - 81 6 87 BKS BANK AG X 112 99 - 99 15 114 CNP UNICREDIT VITA S.P.A. X 90 64 - 64 11 75 CREDITRAS VITA S.P.A. X 198 139 - 139 5 144 OBERBANK AG X 283 234 - 234 26 260 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT X 84 60 - 60 6 66 For each significant equity investment the reconciliation between the book value of the equity investment and financial information of the companies is reported below. (€ million) COMPANY NAME BALANCE SHEET VALUE EQUITY PROQUOTA GOODWILL ON CONSOLIDATION A. Companies under joint control - - - B. Companies subject to significant influence AVIVA S.P.A. 294 294 - BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT 699 865 - BKS BANK AG 360 410 - CNP UNICREDIT VITA S.P.A. 397 391 6 CREDITRAS VITA S.P.A. 566 566 - OBERBANK AG 910 867 43 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT 407 407 - With reference to the nature of the relationships see paragraph 7.1 of this Section. The carrying amount of the investments in Bank Fuer Tirol und Vorarlberg Aktiengesellschaft and in Bks Bank AG is affected by write-downs made in the current year and in the previous ones. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 233 7.3 Significant Shareholdings: accounting information (€ million) COMPANY NAME CASH AND LIQUID ASSETS FINANCIAL ASSET NON-FINANCIAL ASSET FINANCIAL LIABILIES NON-FINANCIAL LIABILITIES TOTAL REVENUES THE INTEREST MARGIN A. Companies under joint control - - - - - - - B. Companies subject to significant AVIVA S.P.A. X 17,583 550 - 17,824 4,572 X BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT X 10,631 503 11,796 333 342 X BKS BANK AG X 8,887 167 8,840 219 291 X CNP UNICREDIT VITA S.P.A. X 17,978 1,085 308 17,748 4,989 X CREDITRAS VITA S.P.A. X 34,276 1,795 26,004 9,026 758 X OBERBANK AG X 22,052 500 22,834 826 688 X OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT X 32,161 113 30,667 1,450 426 X continued: 7.3 Significant Shareholdings: accounting information COMPANY NAME ADJUSTMENTS TO THE BACKS ON TANGIBLE AND INTAGIBLE ASSETS PROFIT (LOSS) FROM CONTINUING OPERATIONS BEFORE TAXES PROFIT (LOSS) FROM CONTINUING OPERATIONS NET OF TAX PROFIT (LOSS) FROM GROUP OF ASSETS HELD FOR SALE NET OF TAX NET PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME, NET OF TAX (2) OTHER COMPREHENSIVE INCOME (3)=(1)+(2) A. Companies under joint control - - - - - - - B. Companies subject to significant influence AVIVA S.P.A. X 98 71 - 71 - 71 BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT X 81 81 - 81 6 87 BKS BANK AG X 112 99 - 99 15 114 CNP UNICREDIT VITA S.P.A. X 90 64 - 64 11 75 CREDITRAS VITA S.P.A. X 198 139 - 139 5 144 OBERBANK AG X 283 234 - 234 26 260 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT X 84 60 - 60 6 66 For each significant equity investment the reconciliation between the book value of the equity investment and financial information of the companies is reported below. (€ million) COMPANY NAME BALANCE SHEET VALUE EQUITY PROQUOTA GOODWILL ON CONSOLIDATION A. Companies under joint control - - - B. Companies subject to significant influence AVIVA S.P.A. 294 294 - BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT 699 865 - BKS BANK AG 360 410 - CNP UNICREDIT VITA S.P.A. 397 391 6 CREDITRAS VITA S.P.A. 566 566 - OBERBANK AG 910 867 43 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT 407 407 - With reference to the nature of the relationships see paragraph 7.1 of this Section. The carrying amount of the investments in Bank Fuer Tirol und Vorarlberg Aktiengesellschaft and in Bks Bank AG is affected by write-downs made in the current year and in the previous ones. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 233 7.3 Significant Shareholdings: accounting information (€ million) COMPANY NAME CASH AND LIQUID ASSETS FINANCIAL ASSET NON-FINANCIAL ASSET FINANCIAL LIABILIES NON-FINANCIAL LIABILITIES TOTAL REVENUES THE INTEREST MARGIN A. Companies under joint control - - - - - - - B. Companies subject to significant AVIVA S.P.A. X 17,583 550 - 17,824 4,572 X BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT X 10,631 503 11,796 333 342 X BKS BANK AG X 8,887 167 8,840 219 291 X CNP UNICREDIT VITA S.P.A. X 17,978 1,085 308 17,748 4,989 X CREDITRAS VITA S.P.A. X 34,276 1,795 26,004 9,026 758 X OBERBANK AG X 22,052 500 22,834 826 688 X OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT X 32,161 113 30,667 1,450 426 X continued: 7.3 Significant Shareholdings: accounting information COMPANY NAME ADJUSTMENTS TO THE BACKS ON TANGIBLE AND INTAGIBLE ASSETS PROFIT (LOSS) FROM CONTINUING OPERATIONS BEFORE TAXES PROFIT (LOSS) FROM CONTINUING OPERATIONS NET OF TAX PROFIT (LOSS) FROM GROUP OF ASSETS HELD FOR SALE NET OF TAX NET PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME, NET OF TAX (2) OTHER COMPREHENSIVE INCOME (3)=(1)+(2) A. Companies under joint control - - - - - - - B. Companies subject to significant influence AVIVA S.P.A. X 98 71 - 71 - 71 BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT X 81 81 - 81 6 87 BKS BANK AG X 112 99 - 99 15 114 CNP UNICREDIT VITA S.P.A. X 90 64 - 64 11 75 CREDITRAS VITA S.P.A. X 198 139 - 139 5 144 OBERBANK AG X 283 234 - 234 26 260 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT X 84 60 - 60 6 66 For each significant equity investment the reconciliation between the book value of the equity investment and financial information of the companies is reported below. (€ million) COMPANY NAME BALANCE SHEET VALUE EQUITY PROQUOTA GOODWILL ON CONSOLIDATION A. Companies under joint control - - - B. Companies subject to significant influence AVIVA S.P.A. 294 294 - BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT 699 865 - BKS BANK AG 360 410 - CNP UNICREDIT VITA S.P.A. 397 391 6 CREDITRAS VITA S.P.A. 566 566 - OBERBANK AG 910 867 43 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT 407 407 - With reference to the nature of the relationships see paragraph 7.1 of this Section. The carrying amount of the investments in Bank Fuer Tirol und Vorarlberg Aktiengesellschaft and in Bks Bank AG is affected by write-downs made in the current year and in the previous ones. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 233 7.3 Significant Shareholdings: accounting information (€ million) COMPANY NAME CASH AND LIQUID ASSETS FINANCIAL ASSET NON-FINANCIAL ASSET FINANCIAL LIABILIES NON-FINANCIAL LIABILITIES TOTAL REVENUES THE INTEREST MARGIN A. Companies under joint control - - - - - - - B. Companies subject to significant AVIVA S.P.A. X 17,583 550 - 17,824 4,572 X BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT X 10,631 503 11,796 333 342 X BKS BANK AG X 8,887 167 8,840 219 291 X CNP UNICREDIT VITA S.P.A. X 17,978 1,085 308 17,748 4,989 X CREDITRAS VITA S.P.A. X 34,276 1,795 26,004 9,026 758 X OBERBANK AG X 22,052 500 22,834 826 688 X OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT X 32,161 113 30,667 1,450 426 X continued: 7.3 Significant Shareholdings: accounting information COMPANY NAME ADJUSTMENTS TO THE BACKS ON TANGIBLE AND INTAGIBLE ASSETS PROFIT (LOSS) FROM CONTINUING OPERATIONS BEFORE TAXES PROFIT (LOSS) FROM CONTINUING OPERATIONS NET OF TAX PROFIT (LOSS) FROM GROUP OF ASSETS HELD FOR SALE NET OF TAX NET PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME, NET OF TAX (2) OTHER COMPREHENSIVE INCOME (3)=(1)+(2) A. Companies under joint control - - - - - - - B. Companies subject to significant influence AVIVA S.P.A. X 98 71 - 71 - 71 BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT X 81 81 - 81 6 87 BKS BANK AG X 112 99 - 99 15 114 CNP UNICREDIT VITA S.P.A. X 90 64 - 64 11 75 CREDITRAS VITA S.P.A. X 198 139 - 139 5 144 OBERBANK AG X 283 234 - 234 26 260 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT X 84 60 - 60 6 66 For each significant equity investment the reconciliation between the book value of the equity investment and financial information of the companies is reported below. (€ million) COMPANY NAME BALANCE SHEET VALUE EQUITY PROQUOTA GOODWILL ON CONSOLIDATION A. Companies under joint control - - - B. Companies subject to significant influence AVIVA S.P.A. 294 294 - BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT 699 865 - BKS BANK AG 360 410 - CNP UNICREDIT VITA S.P.A. 397 391 6 CREDITRAS VITA S.P.A. 566 566 - OBERBANK AG 910 867 43 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT 407 407 - With reference to the nature of the relationships see paragraph 7.1 of this Section. The carrying amount of the investments in Bank Fuer Tirol und Vorarlberg Aktiengesellschaft and in Bks Bank AG is affected by write-downs made in the current year and in the previous ones. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 233 7.3 Significant Shareholdings: accounting information (€ million) COMPANY NAME CASH AND LIQUID ASSETS FINANCIAL ASSET NON-FINANCIAL ASSET FINANCIAL LIABILIES NON-FINANCIAL LIABILITIES TOTAL REVENUES THE INTEREST MARGIN A. Companies under joint control - - - - - - - B. Companies subject to significant AVIVA S.P.A. X 17,583 550 - 17,824 4,572 X BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT X 10,631 503 11,796 333 342 X BKS BANK AG X 8,887 167 8,840 219 291 X CNP UNICREDIT VITA S.P.A. X 17,978 1,085 308 17,748 4,989 X CREDITRAS VITA S.P.A. X 34,276 1,795 26,004 9,026 758 X OBERBANK AG X 22,052 500 22,834 826 688 X OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT X 32,161 113 30,667 1,450 426 X continued: 7.3 Significant Shareholdings: accounting information COMPANY NAME ADJUSTMENTS TO THE BACKS ON TANGIBLE AND INTAGIBLE ASSETS PROFIT (LOSS) FROM CONTINUING OPERATIONS BEFORE TAXES PROFIT (LOSS) FROM CONTINUING OPERATIONS NET OF TAX PROFIT (LOSS) FROM GROUP OF ASSETS HELD FOR SALE NET OF TAX NET PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME, NET OF TAX (2) OTHER COMPREHENSIVE INCOME (3)=(1)+(2) A. Companies under joint control - - - - - - - B. Companies subject to significant influence AVIVA S.P.A. X 98 71 - 71 - 71 BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT X 81 81 - 81 6 87 BKS BANK AG X 112 99 - 99 15 114 CNP UNICREDIT VITA S.P.A. X 90 64 - 64 11 75 CREDITRAS VITA S.P.A. X 198 139 - 139 5 144 OBERBANK AG X 283 234 - 234 26 260 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT X 84 60 - 60 6 66 For each significant equity investment the reconciliation between the book value of the equity investment and financial information of the companies is reported below. (€ million) COMPANY NAME BALANCE SHEET VALUE EQUITY PROQUOTA GOODWILL ON CONSOLIDATION A. Companies under joint control - - - B. Companies subject to significant influence AVIVA S.P.A. 294 294 - BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT 699 865 - BKS BANK AG 360 410 - CNP UNICREDIT VITA S.P.A. 397 391 6 CREDITRAS VITA S.P.A. 566 566 - OBERBANK AG 910 867 43 OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT 407 407 - With reference to the nature of the relationships see paragraph 7.1 of this Section. The carrying amount of the investments in Bank Fuer Tirol und Vorarlberg Aktiengesellschaft and in Bks Bank AG is affected by write-downs made in the current year and in the previous ones. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 234 2021 Annual Report and Accounts · UniCredit Aggregated financial information are disclosed for the related stake in the equity held. 7.4 Non-significant equity investments: accounting information (€ million) BALANCE SHEET VALUE OF SHAREHOLDING TOTAL ASSET TOTAL LIABILITIES TOTAL REVENUES PROFIT (LOSS) FROM CONTINUING OPERATIONS NET OF TAX PROFIT (LOSS) FROM DISCONTINUED OPERATIONS, NET OF TAX NET PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME, NET OF TAX (2) COMPREHENSIVE INCOME (3) = (1) + (2) Companies under joint control 1 19 17 - - - - - - Companies subject to significant influence 342 2,237 1,892 187 58 - 58 9 67 Notes: Note that on the basis of the International Accounting Standards, equity investments in associates for which there is clear evidence of occurrence of events that may reduce their value, are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. 7.5 Equity investments: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 4,354 4,787 B. Increases 716 422 of which: business combinations - - B.1 Purchases 1 10 B.2 Write-backs 89 8 B.3 Revaluation - - B.4 Other changes 626 404 C. Decreases 997 855 of which: business combinations - 437 C.1 Sales 4 438 C.2 Write-downs 361 116 C.3 Impairment - - C.4 Other changes 632 301 D. Closing balance 4,073 4,354 E. Total revaluation - - F. Total write-downs 422 1,906 7.6 Valuation and significant assumptions to establish the existence of joint control or significant influence The Group has classified among associates the entities governed through voting rights with reference to which it can participate in defining the operating or financial policies through possession of at least 20% of the voting rights or the possibility of appointing members of the governing body. In particular, as shown in Table “7.1 Equity investments: information on shareholding relationships”, it should be noted that the investee CAMFIN S.p.A. is classified among associates, although the Group does not have more than 20% of the voting rights, in virtue of the possibility of appointing members of the governing body. The Group has classified its investees among jointly-controlled equity investments in the presence of agreements that state that decisions on significant activities are taken with the unanimous consent of all parties that share control. These agreements, in particular, attribute to the Group rights related only to the net assets and not rights to the assets and obligations on the liabilities of the investee. As at 31 December 2021 the following were carried at cost: • 9 equity investments (all held either directly or through consolidated subsidiaries) in associates; • 1 equity investment (held through consolidated subsidiary) in jointly-controlled companies. Based on available information, it should be considered that their consolidation at equity would not have impacted significantly the Group Shareholders’ equity. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 234 2021 Annual Report and Accounts · UniCredit Aggregated financial information are disclosed for the related stake in the equity held. 7.4 Non-significant equity investments: accounting information (€ million) BALANCE SHEET VALUE OF SHAREHOLDING TOTAL ASSET TOTAL LIABILITIES TOTAL REVENUES PROFIT (LOSS) FROM CONTINUING OPERATIONS NET OF TAX PROFIT (LOSS) FROM DISCONTINUED OPERATIONS, NET OF TAX NET PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME, NET OF TAX (2) COMPREHENSIVE INCOME (3) = (1) + (2) Companies under joint control 1 19 17 - - - - - - Companies subject to significant influence 342 2,237 1,892 187 58 - 58 9 67 Notes: Note that on the basis of the International Accounting Standards, equity investments in associates for which there is clear evidence of occurrence of events that may reduce their value, are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. 7.5 Equity investments: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 4,354 4,787 B. Increases 716 422 of which: business combinations - - B.1 Purchases 1 10 B.2 Write-backs 89 8 B.3 Revaluation - - B.4 Other changes 626 404 C. Decreases 997 855 of which: business combinations - 437 C.1 Sales 4 438 C.2 Write-downs 361 116 C.3 Impairment - - C.4 Other changes 632 301 D. Closing balance 4,073 4,354 E. Total revaluation - - F. Total write-downs 422 1,906 7.6 Valuation and significant assumptions to establish the existence of joint control or significant influence The Group has classified among associates the entities governed through voting rights with reference to which it can participate in defining the operating or financial policies through possession of at least 20% of the voting rights or the possibility of appointing members of the governing body. In particular, as shown in Table “7.1 Equity investments: information on shareholding relationships”, it should be noted that the investee CAMFIN S.p.A. is classified among associates, although the Group does not have more than 20% of the voting rights, in virtue of the possibility of appointing members of the governing body. The Group has classified its investees among jointly-controlled equity investments in the presence of agreements that state that decisions on significant activities are taken with the unanimous consent of all parties that share control. These agreements, in particular, attribute to the Group rights related only to the net assets and not rights to the assets and obligations on the liabilities of the investee. As at 31 December 2021 the following were carried at cost: • 9 equity investments (all held either directly or through consolidated subsidiaries) in associates; • 1 equity investment (held through consolidated subsidiary) in jointly-controlled companies. Based on available information, it should be considered that their consolidation at equity would not have impacted significantly the Group Shareholders’ equity. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 234 2021 Annual Report and Accounts · UniCredit Aggregated financial information are disclosed for the related stake in the equity held. 7.4 Non-significant equity investments: accounting information (€ million) BALANCE SHEET VALUE OF SHAREHOLDING TOTAL ASSET TOTAL LIABILITIES TOTAL REVENUES PROFIT (LOSS) FROM CONTINUING OPERATIONS NET OF TAX PROFIT (LOSS) FROM DISCONTINUED OPERATIONS, NET OF TAX NET PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME, NET OF TAX (2) COMPREHENSIVE INCOME (3) = (1) + (2) Companies under joint control 1 19 17 - - - - - - Companies subject to significant influence 342 2,237 1,892 187 58 - 58 9 67 Notes: Note that on the basis of the International Accounting Standards, equity investments in associates for which there is clear evidence of occurrence of events that may reduce their value, are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. 7.5 Equity investments: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 4,354 4,787 B. Increases 716 422 of which: business combinations - - B.1 Purchases 1 10 B.2 Write-backs 89 8 B.3 Revaluation - - B.4 Other changes 626 404 C. Decreases 997 855 of which: business combinations - 437 C.1 Sales 4 438 C.2 Write-downs 361 116 C.3 Impairment - - C.4 Other changes 632 301 D. Closing balance 4,073 4,354 E. Total revaluation - - F. Total write-downs 422 1,906 7.6 Valuation and significant assumptions to establish the existence of joint control or significant influence The Group has classified among associates the entities governed through voting rights with reference to which it can participate in defining the operating or financial policies through possession of at least 20% of the voting rights or the possibility of appointing members of the governing body. In particular, as shown in Table “7.1 Equity investments: information on shareholding relationships”, it should be noted that the investee CAMFIN S.p.A. is classified among associates, although the Group does not have more than 20% of the voting rights, in virtue of the possibility of appointing members of the governing body. The Group has classified its investees among jointly-controlled equity investments in the presence of agreements that state that decisions on significant activities are taken with the unanimous consent of all parties that share control. These agreements, in particular, attribute to the Group rights related only to the net assets and not rights to the assets and obligations on the liabilities of the investee. As at 31 December 2021 the following were carried at cost: • 9 equity investments (all held either directly or through consolidated subsidiaries) in associates; • 1 equity investment (held through consolidated subsidiary) in jointly-controlled companies. Based on available information, it should be considered that their consolidation at equity would not have impacted significantly the Group Shareholders’ equity. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 234 2021 Annual Report and Accounts · UniCredit Aggregated financial information are disclosed for the related stake in the equity held. 7.4 Non-significant equity investments: accounting information (€ million) BALANCE SHEET VALUE OF SHAREHOLDING TOTAL ASSET TOTAL LIABILITIES TOTAL REVENUES PROFIT (LOSS) FROM CONTINUING OPERATIONS NET OF TAX PROFIT (LOSS) FROM DISCONTINUED OPERATIONS, NET OF TAX NET PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME, NET OF TAX (2) COMPREHENSIVE INCOME (3) = (1) + (2) Companies under joint control 1 19 17 - - - - - - Companies subject to significant influence 342 2,237 1,892 187 58 - 58 9 67 Notes: Note that on the basis of the International Accounting Standards, equity investments in associates for which there is clear evidence of occurrence of events that may reduce their value, are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. 7.5 Equity investments: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 4,354 4,787 B. Increases 716 422 of which: business combinations - - B.1 Purchases 1 10 B.2 Write-backs 89 8 B.3 Revaluation - - B.4 Other changes 626 404 C. Decreases 997 855 of which: business combinations - 437 C.1 Sales 4 438 C.2 Write-downs 361 116 C.3 Impairment - - C.4 Other changes 632 301 D. Closing balance 4,073 4,354 E. Total revaluation - - F. Total write-downs 422 1,906 7.6 Valuation and significant assumptions to establish the existence of joint control or significant influence The Group has classified among associates the entities governed through voting rights with reference to which it can participate in defining the operating or financial policies through possession of at least 20% of the voting rights or the possibility of appointing members of the governing body. In particular, as shown in Table “7.1 Equity investments: information on shareholding relationships”, it should be noted that the investee CAMFIN S.p.A. is classified among associates, although the Group does not have more than 20% of the voting rights, in virtue of the possibility of appointing members of the governing body. The Group has classified its investees among jointly-controlled equity investments in the presence of agreements that state that decisions on significant activities are taken with the unanimous consent of all parties that share control. These agreements, in particular, attribute to the Group rights related only to the net assets and not rights to the assets and obligations on the liabilities of the investee. As at 31 December 2021 the following were carried at cost: • 9 equity investments (all held either directly or through consolidated subsidiaries) in associates; • 1 equity investment (held through consolidated subsidiary) in jointly-controlled companies. Based on available information, it should be considered that their consolidation at equity would not have impacted significantly the Group Shareholders’ equity. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 234 2021 Annual Report and Accounts · UniCredit Aggregated financial information are disclosed for the related stake in the equity held. 7.4 Non-significant equity investments: accounting information (€ million) BALANCE SHEET VALUE OF SHAREHOLDING TOTAL ASSET TOTAL LIABILITIES TOTAL REVENUES PROFIT (LOSS) FROM CONTINUING OPERATIONS NET OF TAX PROFIT (LOSS) FROM DISCONTINUED OPERATIONS, NET OF TAX NET PROFIT (LOSS) (1) OTHER COMPREHENSIVE INCOME, NET OF TAX (2) COMPREHENSIVE INCOME (3) = (1) + (2) Companies under joint control 1 19 17 - - - - - - Companies subject to significant influence 342 2,237 1,892 187 58 - 58 9 67 Notes: Note that on the basis of the International Accounting Standards, equity investments in associates for which there is clear evidence of occurrence of events that may reduce their value, are impairment tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value. 7.5 Equity investments: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 4,354 4,787 B. Increases 716 422 of which: business combinations - - B.1 Purchases 1 10 B.2 Write-backs 89 8 B.3 Revaluation - - B.4 Other changes 626 404 C. Decreases 997 855 of which: business combinations - 437 C.1 Sales 4 438 C.2 Write-downs 361 116 C.3 Impairment - - C.4 Other changes 632 301 D. Closing balance 4,073 4,354 E. Total revaluation - - F. Total write-downs 422 1,906 7.6 Valuation and significant assumptions to establish the existence of joint control or significant influence The Group has classified among associates the entities governed through voting rights with reference to which it can participate in defining the operating or financial policies through possession of at least 20% of the voting rights or the possibility of appointing members of the governing body. In particular, as shown in Table “7.1 Equity investments: information on shareholding relationships”, it should be noted that the investee CAMFIN S.p.A. is classified among associates, although the Group does not have more than 20% of the voting rights, in virtue of the possibility of appointing members of the governing body. The Group has classified its investees among jointly-controlled equity investments in the presence of agreements that state that decisions on significant activities are taken with the unanimous consent of all parties that share control. These agreements, in particular, attribute to the Group rights related only to the net assets and not rights to the assets and obligations on the liabilities of the investee. As at 31 December 2021 the following were carried at cost: • 9 equity investments (all held either directly or through consolidated subsidiaries) in associates; • 1 equity investment (held through consolidated subsidiary) in jointly-controlled companies. Based on available information, it should be considered that their consolidation at equity would not have impacted significantly the Group Shareholders’ equity. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 235 7.7 Commitments related to equity investments in jointly-controlled companies There are no commitments related to jointly-controlled companies. 7.8 Commitments related to equity investments in companies subject to significant influence As at 31 December 2021, the Group is committed to subscribe a capital increase up to €2.5 million into the Maccorp Italiana S.p.A. once it is approved by the Company (capital increase executed on 18 January 2022). 7.9 Significant restrictions As at 31 December 2021, we note, with reference to Value Transformation Services S.p.A., the existence of a shareholders' agreement which limits the Group's possibility to participate in the profits, in the form of dividend distribution, and in the losses to a maximum amount of €300,000. Finally, the ability to receive dividends or capital distributions from associates is subordinated to the majority, also qualified, or unanimous decision of the relevant corporate body as provided by the law or by specific shareholder agreements. 7.10 Other information With reference to significant equity investments in associates and jointly-controlled companies, the net equity method was applied starting from the 2021 draft financial statements approved by the competent corporate bodies or from the reports approved in the three previous months. With reference to non-significant equity investments in associates and jointly-controlled companies, in limited cases financial statements or reports with a date prior to 3 months from 31 December 2021 were used, if no more up-to-date reports were available. However, if financial statements or reports with a date other than 31 December 2021 were used, no subsequent transactions or events emerged such as to require an adjustment of the results contained therein. It should be noted that for the associated company Compagnia Aerea Italiana S.p.A., the book value in the consolidated financial statements reflects the valuation of this investment, carried out by UniCredit S.p.A. at individual level. Finally, it should be noted that as at 31 December 2021 UniCredit group has in place several alliance agreements, as well as several shareholders’ agreements stipulated with other parties under the scope of co-investment agreements (e.g. agreements for the establishment of joint ventures), with special reference to the insurance sector. Under the scope of these agreements, as per market practice, there are investment protective clauses which, depending on the case, allow the parties to negotiate their respective positions on the underlying investment in the case of their “exit”, through mechanisms that require purchase and/or sale. These provisions are usually applied after a certain period of time and/or when specific events occur, also connected to the underlying distribution agreements. As at 31 December 2021 UniCredit S.p.A. does not have definitive obligations to purchase the equity investments pertaining to one or more contractual counterparties. Section 8 - Insurance reserves charged to reinsurers - Item 80 No data to be disclosed. Section 9 - Property, plant and equipment - Item 90 Valuation of the Group real estate portfolio The Group adopts the fair value model for the measurement of properties held for investment and the revaluation model for the measurement of properties used in business. Such approach is deemed to result in reliable and more relevant information for financial statements’ users taking into account: • the expected disposal by 2025 of real estate assets held for investment (IAS40), as fair value model presents a higher capability to approximate the expected disposal price, accounting for the related effects timely in advance; • the possibility to better represent the equity of the Group, with regard to real estate assets used in business (IAS16), as revaluation model represents the net equity updated in light of current market conditions. As at 31 December 2021 fair value of both properties held for investment and properties used in business was re-determined through external appraisals. With reference to the Group, the update of appraisals has led to an overall positive balance sheet effect of €138 million gross of tax, as detailed below: • for real estate assets used in business the recognition of an increase in the specific valuation reserve for an amount of €157 million gross of tax effect. In addition to this increase, net losses for -€35 million were recognised in the income statement gross of the tax effect; • for real estate assets held for investment the recognition of an income statement result equal to €16 million gross of the tax effect. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 235 7.7 Commitments related to equity investments in jointly-controlled companies There are no commitments related to jointly-controlled companies. 7.8 Commitments related to equity investments in companies subject to significant influence As at 31 December 2021, the Group is committed to subscribe a capital increase up to €2.5 million into the Maccorp Italiana S.p.A. once it is approved by the Company (capital increase executed on 18 January 2022). 7.9 Significant restrictions As at 31 December 2021, we note, with reference to Value Transformation Services S.p.A., the existence of a shareholders' agreement which limits the Group's possibility to participate in the profits, in the form of dividend distribution, and in the losses to a maximum amount of €300,000. Finally, the ability to receive dividends or capital distributions from associates is subordinated to the majority, also qualified, or unanimous decision of the relevant corporate body as provided by the law or by specific shareholder agreements. 7.10 Other information With reference to significant equity investments in associates and jointly-controlled companies, the net equity method was applied starting from the 2021 draft financial statements approved by the competent corporate bodies or from the reports approved in the three previous months. With reference to non-significant equity investments in associates and jointly-controlled companies, in limited cases financial statements or reports with a date prior to 3 months from 31 December 2021 were used, if no more up-to-date reports were available. However, if financial statements or reports with a date other than 31 December 2021 were used, no subsequent transactions or events emerged such as to require an adjustment of the results contained therein. It should be noted that for the associated company Compagnia Aerea Italiana S.p.A., the book value in the consolidated financial statements reflects the valuation of this investment, carried out by UniCredit S.p.A. at individual level. Finally, it should be noted that as at 31 December 2021 UniCredit group has in place several alliance agreements, as well as several shareholders’ agreements stipulated with other parties under the scope of co-investment agreements (e.g. agreements for the establishment of joint ventures), with special reference to the insurance sector. Under the scope of these agreements, as per market practice, there are investment protective clauses which, depending on the case, allow the parties to negotiate their respective positions on the underlying investment in the case of their “exit”, through mechanisms that require purchase and/or sale. These provisions are usually applied after a certain period of time and/or when specific events occur, also connected to the underlying distribution agreements. As at 31 December 2021 UniCredit S.p.A. does not have definitive obligations to purchase the equity investments pertaining to one or more contractual counterparties. Section 8 - Insurance reserves charged to reinsurers - Item 80 No data to be disclosed. Section 9 - Property, plant and equipment - Item 90 Valuation of the Group real estate portfolio The Group adopts the fair value model for the measurement of properties held for investment and the revaluation model for the measurement of properties used in business. Such approach is deemed to result in reliable and more relevant information for financial statements’ users taking into account: • the expected disposal by 2025 of real estate assets held for investment (IAS40), as fair value model presents a higher capability to approximate the expected disposal price, accounting for the related effects timely in advance; • the possibility to better represent the equity of the Group, with regard to real estate assets used in business (IAS16), as revaluation model represents the net equity updated in light of current market conditions. As at 31 December 2021 fair value of both properties held for investment and properties used in business was re-determined through external appraisals. With reference to the Group, the update of appraisals has led to an overall positive balance sheet effect of €138 million gross of tax, as detailed below: • for real estate assets used in business the recognition of an increase in the specific valuation reserve for an amount of €157 million gross of tax effect. In addition to this increase, net losses for -€35 million were recognised in the income statement gross of the tax effect; • for real estate assets held for investment the recognition of an income statement result equal to €16 million gross of the tax effect. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 235 7.7 Commitments related to equity investments in jointly-controlled companies There are no commitments related to jointly-controlled companies. 7.8 Commitments related to equity investments in companies subject to significant influence As at 31 December 2021, the Group is committed to subscribe a capital increase up to €2.5 million into the Maccorp Italiana S.p.A. once it is approved by the Company (capital increase executed on 18 January 2022). 7.9 Significant restrictions As at 31 December 2021, we note, with reference to Value Transformation Services S.p.A., the existence of a shareholders' agreement which limits the Group's possibility to participate in the profits, in the form of dividend distribution, and in the losses to a maximum amount of €300,000. Finally, the ability to receive dividends or capital distributions from associates is subordinated to the majority, also qualified, or unanimous decision of the relevant corporate body as provided by the law or by specific shareholder agreements. 7.10 Other information With reference to significant equity investments in associates and jointly-controlled companies, the net equity method was applied starting from the 2021 draft financial statements approved by the competent corporate bodies or from the reports approved in the three previous months. With reference to non-significant equity investments in associates and jointly-controlled companies, in limited cases financial statements or reports with a date prior to 3 months from 31 December 2021 were used, if no more up-to-date reports were available. However, if financial statements or reports with a date other than 31 December 2021 were used, no subsequent transactions or events emerged such as to require an adjustment of the results contained therein. It should be noted that for the associated company Compagnia Aerea Italiana S.p.A., the book value in the consolidated financial statements reflects the valuation of this investment, carried out by UniCredit S.p.A. at individual level. Finally, it should be noted that as at 31 December 2021 UniCredit group has in place several alliance agreements, as well as several shareholders’ agreements stipulated with other parties under the scope of co-investment agreements (e.g. agreements for the establishment of joint ventures), with special reference to the insurance sector. Under the scope of these agreements, as per market practice, there are investment protective clauses which, depending on the case, allow the parties to negotiate their respective positions on the underlying investment in the case of their “exit”, through mechanisms that require purchase and/or sale. These provisions are usually applied after a certain period of time and/or when specific events occur, also connected to the underlying distribution agreements. As at 31 December 2021 UniCredit S.p.A. does not have definitive obligations to purchase the equity investments pertaining to one or more contractual counterparties. Section 8 - Insurance reserves charged to reinsurers - Item 80 No data to be disclosed. Section 9 - Property, plant and equipment - Item 90 Valuation of the Group real estate portfolio The Group adopts the fair value model for the measurement of properties held for investment and the revaluation model for the measurement of properties used in business. Such approach is deemed to result in reliable and more relevant information for financial statements’ users taking into account: • the expected disposal by 2025 of real estate assets held for investment (IAS40), as fair value model presents a higher capability to approximate the expected disposal price, accounting for the related effects timely in advance; • the possibility to better represent the equity of the Group, with regard to real estate assets used in business (IAS16), as revaluation model represents the net equity updated in light of current market conditions. As at 31 December 2021 fair value of both properties held for investment and properties used in business was re-determined through external appraisals. With reference to the Group, the update of appraisals has led to an overall positive balance sheet effect of €138 million gross of tax, as detailed below: • for real estate assets used in business the recognition of an increase in the specific valuation reserve for an amount of €157 million gross of tax effect. In addition to this increase, net losses for -€35 million were recognised in the income statement gross of the tax effect; • for real estate assets held for investment the recognition of an income statement result equal to €16 million gross of the tax effect. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 235 7.7 Commitments related to equity investments in jointly-controlled companies There are no commitments related to jointly-controlled companies. 7.8 Commitments related to equity investments in companies subject to significant influence As at 31 December 2021, the Group is committed to subscribe a capital increase up to €2.5 million into the Maccorp Italiana S.p.A. once it is approved by the Company (capital increase executed on 18 January 2022). 7.9 Significant restrictions As at 31 December 2021, we note, with reference to Value Transformation Services S.p.A., the existence of a shareholders' agreement which limits the Group's possibility to participate in the profits, in the form of dividend distribution, and in the losses to a maximum amount of €300,000. Finally, the ability to receive dividends or capital distributions from associates is subordinated to the majority, also qualified, or unanimous decision of the relevant corporate body as provided by the law or by specific shareholder agreements. 7.10 Other information With reference to significant equity investments in associates and jointly-controlled companies, the net equity method was applied starting from the 2021 draft financial statements approved by the competent corporate bodies or from the reports approved in the three previous months. With reference to non-significant equity investments in associates and jointly-controlled companies, in limited cases financial statements or reports with a date prior to 3 months from 31 December 2021 were used, if no more up-to-date reports were available. However, if financial statements or reports with a date other than 31 December 2021 were used, no subsequent transactions or events emerged such as to require an adjustment of the results contained therein. It should be noted that for the associated company Compagnia Aerea Italiana S.p.A., the book value in the consolidated financial statements reflects the valuation of this investment, carried out by UniCredit S.p.A. at individual level. Finally, it should be noted that as at 31 December 2021 UniCredit group has in place several alliance agreements, as well as several shareholders’ agreements stipulated with other parties under the scope of co-investment agreements (e.g. agreements for the establishment of joint ventures), with special reference to the insurance sector. Under the scope of these agreements, as per market practice, there are investment protective clauses which, depending on the case, allow the parties to negotiate their respective positions on the underlying investment in the case of their “exit”, through mechanisms that require purchase and/or sale. These provisions are usually applied after a certain period of time and/or when specific events occur, also connected to the underlying distribution agreements. As at 31 December 2021 UniCredit S.p.A. does not have definitive obligations to purchase the equity investments pertaining to one or more contractual counterparties. Section 8 - Insurance reserves charged to reinsurers - Item 80 No data to be disclosed. Section 9 - Property, plant and equipment - Item 90 Valuation of the Group real estate portfolio The Group adopts the fair value model for the measurement of properties held for investment and the revaluation model for the measurement of properties used in business. Such approach is deemed to result in reliable and more relevant information for financial statements’ users taking into account: • the expected disposal by 2025 of real estate assets held for investment (IAS40), as fair value model presents a higher capability to approximate the expected disposal price, accounting for the related effects timely in advance; • the possibility to better represent the equity of the Group, with regard to real estate assets used in business (IAS16), as revaluation model represents the net equity updated in light of current market conditions. As at 31 December 2021 fair value of both properties held for investment and properties used in business was re-determined through external appraisals. With reference to the Group, the update of appraisals has led to an overall positive balance sheet effect of €138 million gross of tax, as detailed below: • for real estate assets used in business the recognition of an increase in the specific valuation reserve for an amount of €157 million gross of tax effect. In addition to this increase, net losses for -€35 million were recognised in the income statement gross of the tax effect; • for real estate assets held for investment the recognition of an income statement result equal to €16 million gross of the tax effect. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 235 7.7 Commitments related to equity investments in jointly-controlled companies There are no commitments related to jointly-controlled companies. 7.8 Commitments related to equity investments in companies subject to significant influence As at 31 December 2021, the Group is committed to subscribe a capital increase up to €2.5 million into the Maccorp Italiana S.p.A. once it is approved by the Company (capital increase executed on 18 January 2022). 7.9 Significant restrictions As at 31 December 2021, we note, with reference to Value Transformation Services S.p.A., the existence of a shareholders' agreement which limits the Group's possibility to participate in the profits, in the form of dividend distribution, and in the losses to a maximum amount of €300,000. Finally, the ability to receive dividends or capital distributions from associates is subordinated to the majority, also qualified, or unanimous decision of the relevant corporate body as provided by the law or by specific shareholder agreements. 7.10 Other information With reference to significant equity investments in associates and jointly-controlled companies, the net equity method was applied starting from the 2021 draft financial statements approved by the competent corporate bodies or from the reports approved in the three previous months. With reference to non-significant equity investments in associates and jointly-controlled companies, in limited cases financial statements or reports with a date prior to 3 months from 31 December 2021 were used, if no more up-to-date reports were available. However, if financial statements or reports with a date other than 31 December 2021 were used, no subsequent transactions or events emerged such as to require an adjustment of the results contained therein. It should be noted that for the associated company Compagnia Aerea Italiana S.p.A., the book value in the consolidated financial statements reflects the valuation of this investment, carried out by UniCredit S.p.A. at individual level. Finally, it should be noted that as at 31 December 2021 UniCredit group has in place several alliance agreements, as well as several shareholders’ agreements stipulated with other parties under the scope of co-investment agreements (e.g. agreements for the establishment of joint ventures), with special reference to the insurance sector. Under the scope of these agreements, as per market practice, there are investment protective clauses which, depending on the case, allow the parties to negotiate their respective positions on the underlying investment in the case of their “exit”, through mechanisms that require purchase and/or sale. These provisions are usually applied after a certain period of time and/or when specific events occur, also connected to the underlying distribution agreements. As at 31 December 2021 UniCredit S.p.A. does not have definitive obligations to purchase the equity investments pertaining to one or more contractual counterparties. Section 8 - Insurance reserves charged to reinsurers - Item 80 No data to be disclosed. Section 9 - Property, plant and equipment - Item 90 Valuation of the Group real estate portfolio The Group adopts the fair value model for the measurement of properties held for investment and the revaluation model for the measurement of properties used in business. Such approach is deemed to result in reliable and more relevant information for financial statements’ users taking into account: • the expected disposal by 2025 of real estate assets held for investment (IAS40), as fair value model presents a higher capability to approximate the expected disposal price, accounting for the related effects timely in advance; • the possibility to better represent the equity of the Group, with regard to real estate assets used in business (IAS16), as revaluation model represents the net equity updated in light of current market conditions. As at 31 December 2021 fair value of both properties held for investment and properties used in business was re-determined through external appraisals. With reference to the Group, the update of appraisals has led to an overall positive balance sheet effect of €138 million gross of tax, as detailed below: • for real estate assets used in business the recognition of an increase in the specific valuation reserve for an amount of €157 million gross of tax effect. In addition to this increase, net losses for -€35 million were recognised in the income statement gross of the tax effect; • for real estate assets held for investment the recognition of an income statement result equal to €16 million gross of the tax effect. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 236 2021 Annual Report and Accounts · UniCredit With reference to UniCredit S.p.A. the update of appraisals has led to an overall positive balance sheet effect of €37 million gross of tax, as detailed below: • for real estate assets used in business the recognition of an increase in the specific valuation reserve for an amount of €46 million gross of tax effect. In addition to this increase, net gains for €4 million were recognised in the income statement gross of the tax effect; • for real estate assets held for investment the recognition of an income statement result equal to -€13 million gross of the tax effect. It is worth to note that the valuation of properties at current values implies a possible risk of volatility as well as an increase of the so-called real estate risk (for the description of which refer to Part E of the Notes to the consolidated accounts - Other risk included in the Economic Capital). By reference to the real estate units held as at 31 December 2021 and their corresponding market value overall equal to €5,955 million, has been estimated a sensitivity to the increase/decrease in real estate values of +/-1% equal to approximately €60 million corresponding to approximately +/-2 basis point of CET1 ratio. Note the measurement of inventories of property, plant and equipment to the lower between cost and net realizable value has determined the recognition of a net write-down for -€16 million for the most part attributable to UniCredit Leased Asset Management and UniCredit Leasing S.p.A. whose assets and liabilities have been classified as held for sale. Real estate restructuring costs In addition to the above it is worth to note that the carrying value of tangible asset has also been affected by the approval of the Multi Year Plan which foresees a series of real estate initiatives resulting in the release of assets leased over the plan horizon. The approval of such initiatives triggered the recognition of: • Impairment of the “Right of Use” assets in case the rented building is expected to be vacated before the expiry of the lease contract; • Impairment of associated leasehold improvements. 9.1 Property, plant and equipment used in the business: breakdown of assets carried at cost (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Owned assets 1,216 1,369 a) Land - - b) Buildings 1 1 c) Office furniture and fitting 145 166 d) Electronic systems 441 456 e) Other 629 746 2. Right of use of Leased Assets 1,696 1,982 a) Land 10 10 b) Buildings 1,651 1,938 c) Office furniture and fitting 1 1 d) Electronic systems - 1 e) Other 34 32 Total 2,912 3,351 of which: obtained by the enforcement of collateral - - It should be noted that the amount presented for owned buildings refers to assets under construction out of scope of the revaluation model application. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 236 2021 Annual Report and Accounts · UniCredit With reference to UniCredit S.p.A. the update of appraisals has led to an overall positive balance sheet effect of €37 million gross of tax, as detailed below: • for real estate assets used in business the recognition of an increase in the specific valuation reserve for an amount of €46 million gross of tax effect. In addition to this increase, net gains for €4 million were recognised in the income statement gross of the tax effect; • for real estate assets held for investment the recognition of an income statement result equal to -€13 million gross of the tax effect. It is worth to note that the valuation of properties at current values implies a possible risk of volatility as well as an increase of the so-called real estate risk (for the description of which refer to Part E of the Notes to the consolidated accounts - Other risk included in the Economic Capital). By reference to the real estate units held as at 31 December 2021 and their corresponding market value overall equal to €5,955 million, has been estimated a sensitivity to the increase/decrease in real estate values of +/-1% equal to approximately €60 million corresponding to approximately +/-2 basis point of CET1 ratio. Note the measurement of inventories of property, plant and equipment to the lower between cost and net realizable value has determined the recognition of a net write-down for -€16 million for the most part attributable to UniCredit Leased Asset Management and UniCredit Leasing S.p.A. whose assets and liabilities have been classified as held for sale. Real estate restructuring costs In addition to the above it is worth to note that the carrying value of tangible asset has also been affected by the approval of the Multi Year Plan which foresees a series of real estate initiatives resulting in the release of assets leased over the plan horizon. The approval of such initiatives triggered the recognition of: • Impairment of the “Right of Use” assets in case the rented building is expected to be vacated before the expiry of the lease contract; • Impairment of associated leasehold improvements. 9.1 Property, plant and equipment used in the business: breakdown of assets carried at cost (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Owned assets 1,216 1,369 a) Land - - b) Buildings 1 1 c) Office furniture and fitting 145 166 d) Electronic systems 441 456 e) Other 629 746 2. Right of use of Leased Assets 1,696 1,982 a) Land 10 10 b) Buildings 1,651 1,938 c) Office furniture and fitting 1 1 d) Electronic systems - 1 e) Other 34 32 Total 2,912 3,351 of which: obtained by the enforcement of collateral - - It should be noted that the amount presented for owned buildings refers to assets under construction out of scope of the revaluation model application. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 236 2021 Annual Report and Accounts · UniCredit With reference to UniCredit S.p.A. the update of appraisals has led to an overall positive balance sheet effect of €37 million gross of tax, as detailed below: • for real estate assets used in business the recognition of an increase in the specific valuation reserve for an amount of €46 million gross of tax effect. In addition to this increase, net gains for €4 million were recognised in the income statement gross of the tax effect; • for real estate assets held for investment the recognition of an income statement result equal to -€13 million gross of the tax effect. It is worth to note that the valuation of properties at current values implies a possible risk of volatility as well as an increase of the so-called real estate risk (for the description of which refer to Part E of the Notes to the consolidated accounts - Other risk included in the Economic Capital). By reference to the real estate units held as at 31 December 2021 and their corresponding market value overall equal to €5,955 million, has been estimated a sensitivity to the increase/decrease in real estate values of +/-1% equal to approximately €60 million corresponding to approximately +/-2 basis point of CET1 ratio. Note the measurement of inventories of property, plant and equipment to the lower between cost and net realizable value has determined the recognition of a net write-down for -€16 million for the most part attributable to UniCredit Leased Asset Management and UniCredit Leasing S.p.A. whose assets and liabilities have been classified as held for sale. Real estate restructuring costs In addition to the above it is worth to note that the carrying value of tangible asset has also been affected by the approval of the Multi Year Plan which foresees a series of real estate initiatives resulting in the release of assets leased over the plan horizon. The approval of such initiatives triggered the recognition of: • Impairment of the “Right of Use” assets in case the rented building is expected to be vacated before the expiry of the lease contract; • Impairment of associated leasehold improvements. 9.1 Property, plant and equipment used in the business: breakdown of assets carried at cost (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Owned assets 1,216 1,369 a) Land - - b) Buildings 1 1 c) Office furniture and fitting 145 166 d) Electronic systems 441 456 e) Other 629 746 2. Right of use of Leased Assets 1,696 1,982 a) Land 10 10 b) Buildings 1,651 1,938 c) Office furniture and fitting 1 1 d) Electronic systems - 1 e) Other 34 32 Total 2,912 3,351 of which: obtained by the enforcement of collateral - - It should be noted that the amount presented for owned buildings refers to assets under construction out of scope of the revaluation model application. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 236 2021 Annual Report and Accounts · UniCredit With reference to UniCredit S.p.A. the update of appraisals has led to an overall positive balance sheet effect of €37 million gross of tax, as detailed below: • for real estate assets used in business the recognition of an increase in the specific valuation reserve for an amount of €46 million gross of tax effect. In addition to this increase, net gains for €4 million were recognised in the income statement gross of the tax effect; • for real estate assets held for investment the recognition of an income statement result equal to -€13 million gross of the tax effect. It is worth to note that the valuation of properties at current values implies a possible risk of volatility as well as an increase of the so-called real estate risk (for the description of which refer to Part E of the Notes to the consolidated accounts - Other risk included in the Economic Capital). By reference to the real estate units held as at 31 December 2021 and their corresponding market value overall equal to €5,955 million, has been estimated a sensitivity to the increase/decrease in real estate values of +/-1% equal to approximately €60 million corresponding to approximately +/-2 basis point of CET1 ratio. Note the measurement of inventories of property, plant and equipment to the lower between cost and net realizable value has determined the recognition of a net write-down for -€16 million for the most part attributable to UniCredit Leased Asset Management and UniCredit Leasing S.p.A. whose assets and liabilities have been classified as held for sale. Real estate restructuring costs In addition to the above it is worth to note that the carrying value of tangible asset has also been affected by the approval of the Multi Year Plan which foresees a series of real estate initiatives resulting in the release of assets leased over the plan horizon. The approval of such initiatives triggered the recognition of: • Impairment of the “Right of Use” assets in case the rented building is expected to be vacated before the expiry of the lease contract; • Impairment of associated leasehold improvements. 9.1 Property, plant and equipment used in the business: breakdown of assets carried at cost (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Owned assets 1,216 1,369 a) Land - - b) Buildings 1 1 c) Office furniture and fitting 145 166 d) Electronic systems 441 456 e) Other 629 746 2. Right of use of Leased Assets 1,696 1,982 a) Land 10 10 b) Buildings 1,651 1,938 c) Office furniture and fitting 1 1 d) Electronic systems - 1 e) Other 34 32 Total 2,912 3,351 of which: obtained by the enforcement of collateral - - It should be noted that the amount presented for owned buildings refers to assets under construction out of scope of the revaluation model application. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 236 2021 Annual Report and Accounts · UniCredit With reference to UniCredit S.p.A. the update of appraisals has led to an overall positive balance sheet effect of €37 million gross of tax, as detailed below: • for real estate assets used in business the recognition of an increase in the specific valuation reserve for an amount of €46 million gross of tax effect. In addition to this increase, net gains for €4 million were recognised in the income statement gross of the tax effect; • for real estate assets held for investment the recognition of an income statement result equal to -€13 million gross of the tax effect. It is worth to note that the valuation of properties at current values implies a possible risk of volatility as well as an increase of the so-called real estate risk (for the description of which refer to Part E of the Notes to the consolidated accounts - Other risk included in the Economic Capital). By reference to the real estate units held as at 31 December 2021 and their corresponding market value overall equal to €5,955 million, has been estimated a sensitivity to the increase/decrease in real estate values of +/-1% equal to approximately €60 million corresponding to approximately +/-2 basis point of CET1 ratio. Note the measurement of inventories of property, plant and equipment to the lower between cost and net realizable value has determined the recognition of a net write-down for -€16 million for the most part attributable to UniCredit Leased Asset Management and UniCredit Leasing S.p.A. whose assets and liabilities have been classified as held for sale. Real estate restructuring costs In addition to the above it is worth to note that the carrying value of tangible asset has also been affected by the approval of the Multi Year Plan which foresees a series of real estate initiatives resulting in the release of assets leased over the plan horizon. The approval of such initiatives triggered the recognition of: • Impairment of the “Right of Use” assets in case the rented building is expected to be vacated before the expiry of the lease contract; • Impairment of associated leasehold improvements. 9.1 Property, plant and equipment used in the business: breakdown of assets carried at cost (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Owned assets 1,216 1,369 a) Land - - b) Buildings 1 1 c) Office furniture and fitting 145 166 d) Electronic systems 441 456 e) Other 629 746 2. Right of use of Leased Assets 1,696 1,982 a) Land 10 10 b) Buildings 1,651 1,938 c) Office furniture and fitting 1 1 d) Electronic systems - 1 e) Other 34 32 Total 2,912 3,351 of which: obtained by the enforcement of collateral - - It should be noted that the amount presented for owned buildings refers to assets under construction out of scope of the revaluation model application. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 237 9.3 Property, plant and equipment used in the business: breakdown of revalued assets (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 4,969 - - 4,869 a) Land - - 2,092 - - 1,980 b) Buildings - - 2,877 - - 2,889 c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - Total - - 4,969 - - 4,869 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 4,969 4,869 9.4 Property, plant and equipment held for investment: breakdown of assets designated at fair value (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 914 - - 1,025 a) Land - - 425 - - 456 b) Buildings - - 489 - - 569 2. Right of use of Leased Assets - - 72 - - 67 a) Land - - 58 - - 57 b) Buildings - - 14 - - 10 Total - - 986 - - 1,092 of which: obtained by the enforcement of collateral - - 61 - - 63 Total Level 1, Level 2 and Level 3 986 1,092 9.5 Inventories of property, plant and equipment regulated by IAS2: breakdown (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Inventories of property, plant and equipment obtained through the enforcement of guarantees received 41 615 a) Land 25 35 b) Buildings 10 572 c) Office furniture and fitting - - d) Electronic systems - - e) Other 6 8 2. Other inventories of property, plant and equipment 3 12 Total 44 627 of which: measured at fair value less costs to sell 1 - It should be noted that the significant decrease in item “1. Inventories of property, plant and equipment obtained through the enforcement of guarantees received” is mainly due to the classification of the companies UniCredit Leased Asset Management and UniCredit Leasing S.p.A. as held for sale. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 237 9.3 Property, plant and equipment used in the business: breakdown of revalued assets (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 4,969 - - 4,869 a) Land - - 2,092 - - 1,980 b) Buildings - - 2,877 - - 2,889 c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - Total - - 4,969 - - 4,869 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 4,969 4,869 9.4 Property, plant and equipment held for investment: breakdown of assets designated at fair value (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 914 - - 1,025 a) Land - - 425 - - 456 b) Buildings - - 489 - - 569 2. Right of use of Leased Assets - - 72 - - 67 a) Land - - 58 - - 57 b) Buildings - - 14 - - 10 Total - - 986 - - 1,092 of which: obtained by the enforcement of collateral - - 61 - - 63 Total Level 1, Level 2 and Level 3 986 1,092 9.5 Inventories of property, plant and equipment regulated by IAS2: breakdown (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Inventories of property, plant and equipment obtained through the enforcement of guarantees received 41 615 a) Land 25 35 b) Buildings 10 572 c) Office furniture and fitting - - d) Electronic systems - - e) Other 6 8 2. Other inventories of property, plant and equipment 3 12 Total 44 627 of which: measured at fair value less costs to sell 1 - It should be noted that the significant decrease in item “1. Inventories of property, plant and equipment obtained through the enforcement of guarantees received” is mainly due to the classification of the companies UniCredit Leased Asset Management and UniCredit Leasing S.p.A. as held for sale. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 237 9.3 Property, plant and equipment used in the business: breakdown of revalued assets (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 4,969 - - 4,869 a) Land - - 2,092 - - 1,980 b) Buildings - - 2,877 - - 2,889 c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - Total - - 4,969 - - 4,869 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 4,969 4,869 9.4 Property, plant and equipment held for investment: breakdown of assets designated at fair value (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 914 - - 1,025 a) Land - - 425 - - 456 b) Buildings - - 489 - - 569 2. Right of use of Leased Assets - - 72 - - 67 a) Land - - 58 - - 57 b) Buildings - - 14 - - 10 Total - - 986 - - 1,092 of which: obtained by the enforcement of collateral - - 61 - - 63 Total Level 1, Level 2 and Level 3 986 1,092 9.5 Inventories of property, plant and equipment regulated by IAS2: breakdown (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Inventories of property, plant and equipment obtained through the enforcement of guarantees received 41 615 a) Land 25 35 b) Buildings 10 572 c) Office furniture and fitting - - d) Electronic systems - - e) Other 6 8 2. Other inventories of property, plant and equipment 3 12 Total 44 627 of which: measured at fair value less costs to sell 1 - It should be noted that the significant decrease in item “1. Inventories of property, plant and equipment obtained through the enforcement of guarantees received” is mainly due to the classification of the companies UniCredit Leased Asset Management and UniCredit Leasing S.p.A. as held for sale. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 237 9.3 Property, plant and equipment used in the business: breakdown of revalued assets (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 4,969 - - 4,869 a) Land - - 2,092 - - 1,980 b) Buildings - - 2,877 - - 2,889 c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - Total - - 4,969 - - 4,869 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 4,969 4,869 9.4 Property, plant and equipment held for investment: breakdown of assets designated at fair value (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 914 - - 1,025 a) Land - - 425 - - 456 b) Buildings - - 489 - - 569 2. Right of use of Leased Assets - - 72 - - 67 a) Land - - 58 - - 57 b) Buildings - - 14 - - 10 Total - - 986 - - 1,092 of which: obtained by the enforcement of collateral - - 61 - - 63 Total Level 1, Level 2 and Level 3 986 1,092 9.5 Inventories of property, plant and equipment regulated by IAS2: breakdown (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Inventories of property, plant and equipment obtained through the enforcement of guarantees received 41 615 a) Land 25 35 b) Buildings 10 572 c) Office furniture and fitting - - d) Electronic systems - - e) Other 6 8 2. Other inventories of property, plant and equipment 3 12 Total 44 627 of which: measured at fair value less costs to sell 1 - It should be noted that the significant decrease in item “1. Inventories of property, plant and equipment obtained through the enforcement of guarantees received” is mainly due to the classification of the companies UniCredit Leased Asset Management and UniCredit Leasing S.p.A. as held for sale. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 237 9.3 Property, plant and equipment used in the business: breakdown of revalued assets (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 4,969 - - 4,869 a) Land - - 2,092 - - 1,980 b) Buildings - - 2,877 - - 2,889 c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - Total - - 4,969 - - 4,869 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 4,969 4,869 9.4 Property, plant and equipment held for investment: breakdown of assets designated at fair value (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 914 - - 1,025 a) Land - - 425 - - 456 b) Buildings - - 489 - - 569 2. Right of use of Leased Assets - - 72 - - 67 a) Land - - 58 - - 57 b) Buildings - - 14 - - 10 Total - - 986 - - 1,092 of which: obtained by the enforcement of collateral - - 61 - - 63 Total Level 1, Level 2 and Level 3 986 1,092 9.5 Inventories of property, plant and equipment regulated by IAS2: breakdown (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Inventories of property, plant and equipment obtained through the enforcement of guarantees received 41 615 a) Land 25 35 b) Buildings 10 572 c) Office furniture and fitting - - d) Electronic systems - - e) Other 6 8 2. Other inventories of property, plant and equipment 3 12 Total 44 627 of which: measured at fair value less costs to sell 1 - It should be noted that the significant decrease in item “1. Inventories of property, plant and equipment obtained through the enforcement of guarantees received” is mainly due to the classification of the companies UniCredit Leased Asset Management and UniCredit Leasing S.p.A. as held for sale. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 238 2021 Annual Report and Accounts · UniCredit 9.6 Property, plant and equipment used in the business: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER TOTAL A. Gross opening balance 1,990 7,751 1,098 2,726 1,657 15,222 A.1 Total net reduction in value - (2,923) (931) (2,269) (879) (7,002) A.2 Net opening balance 1,990 4,828 167 457 778 8,220 B. Increases 173 481 19 147 221 1,041 B.1 Purchases 2 211 13 140 211 577 of which: business combinations - - - - - - B.2 Capitalised expenditure on improvements - 33 - - - 33 B.3 Write-backs - 13 - - - 13 B.4 Increases in fair value 159 124 - - - 283 a) In equity 156 107 - - - 263 b) Through profit or loss 3 17 - - - 20 B.5 Positive exchange differences - 19 - 2 4 25 B.6 Transfer from properties held for investment 9 46 X X X 55 B.7 Other changes 3 35 6 5 6 55 C. Reductions 61 780 40 163 336 1,380 C.1 Disposals 2 60 - 1 90 153 of which: business combinations - - - - - - C.2 Depreciation 1 423 29 151 143 747 C.3 Impairment losses - 82 10 9 5 106 a) In equity - - - - - - b) Through profit or loss - 82 10 9 5 106 C.4 Reduction of fair value 47 114 - - - 161 a) In equity 44 62 - - - 106 b) Through profit or loss 3 52 - - - 55 C.5 Negative exchange differences - 2 - - 2 4 C.6 Transfer to 5 51 - 1 86 143 a) Property, plant and equipment held for investment 4 33 X X X 37 b) Non-current assets and disposal groups classified as held for sale 1 18 - 1 86 106 C.7 Other changes 6 48 1 1 10 66 D. Net final balance 2,102 4,529 146 441 663 7,881 D.1 Total net reduction in value - (3,450) (936) (2,335) (877) (7,598) D.2 Gross closing balance 2,102 7,979 1,082 2,776 1,540 15,479 E. Carried at cost 1,979 2,868 - - - 4,847 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 238 2021 Annual Report and Accounts · UniCredit 9.6 Property, plant and equipment used in the business: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER TOTAL A. Gross opening balance 1,990 7,751 1,098 2,726 1,657 15,222 A.1 Total net reduction in value - (2,923) (931) (2,269) (879) (7,002) A.2 Net opening balance 1,990 4,828 167 457 778 8,220 B. Increases 173 481 19 147 221 1,041 B.1 Purchases 2 211 13 140 211 577 of which: business combinations - - - - - - B.2 Capitalised expenditure on improvements - 33 - - - 33 B.3 Write-backs - 13 - - - 13 B.4 Increases in fair value 159 124 - - - 283 a) In equity 156 107 - - - 263 b) Through profit or loss 3 17 - - - 20 B.5 Positive exchange differences - 19 - 2 4 25 B.6 Transfer from properties held for investment 9 46 X X X 55 B.7 Other changes 3 35 6 5 6 55 C. Reductions 61 780 40 163 336 1,380 C.1 Disposals 2 60 - 1 90 153 of which: business combinations - - - - - - C.2 Depreciation 1 423 29 151 143 747 C.3 Impairment losses - 82 10 9 5 106 a) In equity - - - - - - b) Through profit or loss - 82 10 9 5 106 C.4 Reduction of fair value 47 114 - - - 161 a) In equity 44 62 - - - 106 b) Through profit or loss 3 52 - - - 55 C.5 Negative exchange differences - 2 - - 2 4 C.6 Transfer to 5 51 - 1 86 143 a) Property, plant and equipment held for investment 4 33 X X X 37 b) Non-current assets and disposal groups classified as held for sale 1 18 - 1 86 106 C.7 Other changes 6 48 1 1 10 66 D. Net final balance 2,102 4,529 146 441 663 7,881 D.1 Total net reduction in value - (3,450) (936) (2,335) (877) (7,598) D.2 Gross closing balance 2,102 7,979 1,082 2,776 1,540 15,479 E. Carried at cost 1,979 2,868 - - - 4,847 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 238 2021 Annual Report and Accounts · UniCredit 9.6 Property, plant and equipment used in the business: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER TOTAL A. Gross opening balance 1,990 7,751 1,098 2,726 1,657 15,222 A.1 Total net reduction in value - (2,923) (931) (2,269) (879) (7,002) A.2 Net opening balance 1,990 4,828 167 457 778 8,220 B. Increases 173 481 19 147 221 1,041 B.1 Purchases 2 211 13 140 211 577 of which: business combinations - - - - - - B.2 Capitalised expenditure on improvements - 33 - - - 33 B.3 Write-backs - 13 - - - 13 B.4 Increases in fair value 159 124 - - - 283 a) In equity 156 107 - - - 263 b) Through profit or loss 3 17 - - - 20 B.5 Positive exchange differences - 19 - 2 4 25 B.6 Transfer from properties held for investment 9 46 X X X 55 B.7 Other changes 3 35 6 5 6 55 C. Reductions 61 780 40 163 336 1,380 C.1 Disposals 2 60 - 1 90 153 of which: business combinations - - - - - - C.2 Depreciation 1 423 29 151 143 747 C.3 Impairment losses - 82 10 9 5 106 a) In equity - - - - - - b) Through profit or loss - 82 10 9 5 106 C.4 Reduction of fair value 47 114 - - - 161 a) In equity 44 62 - - - 106 b) Through profit or loss 3 52 - - - 55 C.5 Negative exchange differences - 2 - - 2 4 C.6 Transfer to 5 51 - 1 86 143 a) Property, plant and equipment held for investment 4 33 X X X 37 b) Non-current assets and disposal groups classified as held for sale 1 18 - 1 86 106 C.7 Other changes 6 48 1 1 10 66 D. Net final balance 2,102 4,529 146 441 663 7,881 D.1 Total net reduction in value - (3,450) (936) (2,335) (877) (7,598) D.2 Gross closing balance 2,102 7,979 1,082 2,776 1,540 15,479 E. Carried at cost 1,979 2,868 - - - 4,847 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 238 2021 Annual Report and Accounts · UniCredit 9.6 Property, plant and equipment used in the business: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER TOTAL A. Gross opening balance 1,990 7,751 1,098 2,726 1,657 15,222 A.1 Total net reduction in value - (2,923) (931) (2,269) (879) (7,002) A.2 Net opening balance 1,990 4,828 167 457 778 8,220 B. Increases 173 481 19 147 221 1,041 B.1 Purchases 2 211 13 140 211 577 of which: business combinations - - - - - - B.2 Capitalised expenditure on improvements - 33 - - - 33 B.3 Write-backs - 13 - - - 13 B.4 Increases in fair value 159 124 - - - 283 a) In equity 156 107 - - - 263 b) Through profit or loss 3 17 - - - 20 B.5 Positive exchange differences - 19 - 2 4 25 B.6 Transfer from properties held for investment 9 46 X X X 55 B.7 Other changes 3 35 6 5 6 55 C. Reductions 61 780 40 163 336 1,380 C.1 Disposals 2 60 - 1 90 153 of which: business combinations - - - - - - C.2 Depreciation 1 423 29 151 143 747 C.3 Impairment losses - 82 10 9 5 106 a) In equity - - - - - - b) Through profit or loss - 82 10 9 5 106 C.4 Reduction of fair value 47 114 - - - 161 a) In equity 44 62 - - - 106 b) Through profit or loss 3 52 - - - 55 C.5 Negative exchange differences - 2 - - 2 4 C.6 Transfer to 5 51 - 1 86 143 a) Property, plant and equipment held for investment 4 33 X X X 37 b) Non-current assets and disposal groups classified as held for sale 1 18 - 1 86 106 C.7 Other changes 6 48 1 1 10 66 D. Net final balance 2,102 4,529 146 441 663 7,881 D.1 Total net reduction in value - (3,450) (936) (2,335) (877) (7,598) D.2 Gross closing balance 2,102 7,979 1,082 2,776 1,540 15,479 E. Carried at cost 1,979 2,868 - - - 4,847 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 238 2021 Annual Report and Accounts · UniCredit 9.6 Property, plant and equipment used in the business: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER TOTAL A. Gross opening balance 1,990 7,751 1,098 2,726 1,657 15,222 A.1 Total net reduction in value - (2,923) (931) (2,269) (879) (7,002) A.2 Net opening balance 1,990 4,828 167 457 778 8,220 B. Increases 173 481 19 147 221 1,041 B.1 Purchases 2 211 13 140 211 577 of which: business combinations - - - - - - B.2 Capitalised expenditure on improvements - 33 - - - 33 B.3 Write-backs - 13 - - - 13 B.4 Increases in fair value 159 124 - - - 283 a) In equity 156 107 - - - 263 b) Through profit or loss 3 17 - - - 20 B.5 Positive exchange differences - 19 - 2 4 25 B.6 Transfer from properties held for investment 9 46 X X X 55 B.7 Other changes 3 35 6 5 6 55 C. Reductions 61 780 40 163 336 1,380 C.1 Disposals 2 60 - 1 90 153 of which: business combinations - - - - - - C.2 Depreciation 1 423 29 151 143 747 C.3 Impairment losses - 82 10 9 5 106 a) In equity - - - - - - b) Through profit or loss - 82 10 9 5 106 C.4 Reduction of fair value 47 114 - - - 161 a) In equity 44 62 - - - 106 b) Through profit or loss 3 52 - - - 55 C.5 Negative exchange differences - 2 - - 2 4 C.6 Transfer to 5 51 - 1 86 143 a) Property, plant and equipment held for investment 4 33 X X X 37 b) Non-current assets and disposal groups classified as held for sale 1 18 - 1 86 106 C.7 Other changes 6 48 1 1 10 66 D. Net final balance 2,102 4,529 146 441 663 7,881 D.1 Total net reduction in value - (3,450) (936) (2,335) (877) (7,598) D.2 Gross closing balance 2,102 7,979 1,082 2,776 1,540 15,479 E. Carried at cost 1,979 2,868 - - - 4,847 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 239 9.7 Property, plant and equipment held for investment: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS TOTAL A. Opening balances 513 579 1,092 B. Increases 48 71 119 B.1 Purchases 1 1 2 of which: business combinations - - - B.2 Capitalised expenditure on improvements - 4 4 B.3 Increases in fair value 40 24 64 B.4 Write-backs - - - B.5 Positive exchange differences - 1 1 B.6 Transfer from properties used in the business 4 33 37 B.7 Other changes 3 8 11 C. Reductions 78 147 225 C.1 Disposals 16 36 52 of which: business combinations - - - C.2 Depreciation 1 - 1 C.3 Reductions in fair value 17 31 48 C.4 Impairment losses - - - C.5 Negative exchange differences - 1 1 C.6 Transfer to 40 76 116 a) Properties used in the business 9 46 55 b) Non-current assets and disposal groups classified as held for sale 31 30 61 C.7 Other changes 4 3 7 D. Closing balances 483 503 986 E. Measured at fair value - - - 9.8 Inventories of property, plant and equipment regulated by IAS2: annual changes (€ million) CHANGES IN 2021 INVENTORIES OF PROPERTY, PLANT AND EQUIPMENT OBTAINED BY ENFORCEMENT OF COLLATERAL OTHER INVENTORIES OF PROPERTY, PLANT AND EQUIPMENT TOTAL LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER A. Opening balances 35 572 - - 8 12 627 B. Increases 1 44 - - 22 5 72 B.1 Purchases - 11 - - - 3 14 of which: business combinations - - - - - - - B.2 Write-backs - - - - - 1 1 B.3 Positive exchange differences - - - - - - - B.4 Other changes 1 33 - - 22 1 57 C. Reductions 11 606 - - 24 14 655 C.1 Disposals 3 89 - - 22 12 126 of which: business combinations - - - - - - - C.2 Impairment losses - 15 - - 1 1 17 C.3 Negative exchange differences - - - - - - - C.4 Other changes 8 502 - - 1 1 512 D. Closing balances 25 10 - - 6 3 44 9.9 Commitments to purchase property, plant and equipment (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Contractual commitments 6 1 Outstanding commitments refer to the purchase of property, plant and equipment. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 239 9.7 Property, plant and equipment held for investment: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS TOTAL A. Opening balances 513 579 1,092 B. Increases 48 71 119 B.1 Purchases 1 1 2 of which: business combinations - - - B.2 Capitalised expenditure on improvements - 4 4 B.3 Increases in fair value 40 24 64 B.4 Write-backs - - - B.5 Positive exchange differences - 1 1 B.6 Transfer from properties used in the business 4 33 37 B.7 Other changes 3 8 11 C. Reductions 78 147 225 C.1 Disposals 16 36 52 of which: business combinations - - - C.2 Depreciation 1 - 1 C.3 Reductions in fair value 17 31 48 C.4 Impairment losses - - - C.5 Negative exchange differences - 1 1 C.6 Transfer to 40 76 116 a) Properties used in the business 9 46 55 b) Non-current assets and disposal groups classified as held for sale 31 30 61 C.7 Other changes 4 3 7 D. Closing balances 483 503 986 E. Measured at fair value - - - 9.8 Inventories of property, plant and equipment regulated by IAS2: annual changes (€ million) CHANGES IN 2021 INVENTORIES OF PROPERTY, PLANT AND EQUIPMENT OBTAINED BY ENFORCEMENT OF COLLATERAL OTHER INVENTORIES OF PROPERTY, PLANT AND EQUIPMENT TOTAL LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER A. Opening balances 35 572 - - 8 12 627 B. Increases 1 44 - - 22 5 72 B.1 Purchases - 11 - - - 3 14 of which: business combinations - - - - - - - B.2 Write-backs - - - - - 1 1 B.3 Positive exchange differences - - - - - - - B.4 Other changes 1 33 - - 22 1 57 C. Reductions 11 606 - - 24 14 655 C.1 Disposals 3 89 - - 22 12 126 of which: business combinations - - - - - - - C.2 Impairment losses - 15 - - 1 1 17 C.3 Negative exchange differences - - - - - - - C.4 Other changes 8 502 - - 1 1 512 D. Closing balances 25 10 - - 6 3 44 9.9 Commitments to purchase property, plant and equipment (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Contractual commitments 6 1 Outstanding commitments refer to the purchase of property, plant and equipment. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 239 9.7 Property, plant and equipment held for investment: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS TOTAL A. Opening balances 513 579 1,092 B. Increases 48 71 119 B.1 Purchases 1 1 2 of which: business combinations - - - B.2 Capitalised expenditure on improvements - 4 4 B.3 Increases in fair value 40 24 64 B.4 Write-backs - - - B.5 Positive exchange differences - 1 1 B.6 Transfer from properties used in the business 4 33 37 B.7 Other changes 3 8 11 C. Reductions 78 147 225 C.1 Disposals 16 36 52 of which: business combinations - - - C.2 Depreciation 1 - 1 C.3 Reductions in fair value 17 31 48 C.4 Impairment losses - - - C.5 Negative exchange differences - 1 1 C.6 Transfer to 40 76 116 a) Properties used in the business 9 46 55 b) Non-current assets and disposal groups classified as held for sale 31 30 61 C.7 Other changes 4 3 7 D. Closing balances 483 503 986 E. Measured at fair value - - - 9.8 Inventories of property, plant and equipment regulated by IAS2: annual changes (€ million) CHANGES IN 2021 INVENTORIES OF PROPERTY, PLANT AND EQUIPMENT OBTAINED BY ENFORCEMENT OF COLLATERAL OTHER INVENTORIES OF PROPERTY, PLANT AND EQUIPMENT TOTAL LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER A. Opening balances 35 572 - - 8 12 627 B. Increases 1 44 - - 22 5 72 B.1 Purchases - 11 - - - 3 14 of which: business combinations - - - - - - - B.2 Write-backs - - - - - 1 1 B.3 Positive exchange differences - - - - - - - B.4 Other changes 1 33 - - 22 1 57 C. Reductions 11 606 - - 24 14 655 C.1 Disposals 3 89 - - 22 12 126 of which: business combinations - - - - - - - C.2 Impairment losses - 15 - - 1 1 17 C.3 Negative exchange differences - - - - - - - C.4 Other changes 8 502 - - 1 1 512 D. Closing balances 25 10 - - 6 3 44 9.9 Commitments to purchase property, plant and equipment (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Contractual commitments 6 1 Outstanding commitments refer to the purchase of property, plant and equipment. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 239 9.7 Property, plant and equipment held for investment: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS TOTAL A. Opening balances 513 579 1,092 B. Increases 48 71 119 B.1 Purchases 1 1 2 of which: business combinations - - - B.2 Capitalised expenditure on improvements - 4 4 B.3 Increases in fair value 40 24 64 B.4 Write-backs - - - B.5 Positive exchange differences - 1 1 B.6 Transfer from properties used in the business 4 33 37 B.7 Other changes 3 8 11 C. Reductions 78 147 225 C.1 Disposals 16 36 52 of which: business combinations - - - C.2 Depreciation 1 - 1 C.3 Reductions in fair value 17 31 48 C.4 Impairment losses - - - C.5 Negative exchange differences - 1 1 C.6 Transfer to 40 76 116 a) Properties used in the business 9 46 55 b) Non-current assets and disposal groups classified as held for sale 31 30 61 C.7 Other changes 4 3 7 D. Closing balances 483 503 986 E. Measured at fair value - - - 9.8 Inventories of property, plant and equipment regulated by IAS2: annual changes (€ million) CHANGES IN 2021 INVENTORIES OF PROPERTY, PLANT AND EQUIPMENT OBTAINED BY ENFORCEMENT OF COLLATERAL OTHER INVENTORIES OF PROPERTY, PLANT AND EQUIPMENT TOTAL LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER A. Opening balances 35 572 - - 8 12 627 B. Increases 1 44 - - 22 5 72 B.1 Purchases - 11 - - - 3 14 of which: business combinations - - - - - - - B.2 Write-backs - - - - - 1 1 B.3 Positive exchange differences - - - - - - - B.4 Other changes 1 33 - - 22 1 57 C. Reductions 11 606 - - 24 14 655 C.1 Disposals 3 89 - - 22 12 126 of which: business combinations - - - - - - - C.2 Impairment losses - 15 - - 1 1 17 C.3 Negative exchange differences - - - - - - - C.4 Other changes 8 502 - - 1 1 512 D. Closing balances 25 10 - - 6 3 44 9.9 Commitments to purchase property, plant and equipment (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Contractual commitments 6 1 Outstanding commitments refer to the purchase of property, plant and equipment. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 239 9.7 Property, plant and equipment held for investment: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS TOTAL A. Opening balances 513 579 1,092 B. Increases 48 71 119 B.1 Purchases 1 1 2 of which: business combinations - - - B.2 Capitalised expenditure on improvements - 4 4 B.3 Increases in fair value 40 24 64 B.4 Write-backs - - - B.5 Positive exchange differences - 1 1 B.6 Transfer from properties used in the business 4 33 37 B.7 Other changes 3 8 11 C. Reductions 78 147 225 C.1 Disposals 16 36 52 of which: business combinations - - - C.2 Depreciation 1 - 1 C.3 Reductions in fair value 17 31 48 C.4 Impairment losses - - - C.5 Negative exchange differences - 1 1 C.6 Transfer to 40 76 116 a) Properties used in the business 9 46 55 b) Non-current assets and disposal groups classified as held for sale 31 30 61 C.7 Other changes 4 3 7 D. Closing balances 483 503 986 E. Measured at fair value - - - 9.8 Inventories of property, plant and equipment regulated by IAS2: annual changes (€ million) CHANGES IN 2021 INVENTORIES OF PROPERTY, PLANT AND EQUIPMENT OBTAINED BY ENFORCEMENT OF COLLATERAL OTHER INVENTORIES OF PROPERTY, PLANT AND EQUIPMENT TOTAL LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER A. Opening balances 35 572 - - 8 12 627 B. Increases 1 44 - - 22 5 72 B.1 Purchases - 11 - - - 3 14 of which: business combinations - - - - - - - B.2 Write-backs - - - - - 1 1 B.3 Positive exchange differences - - - - - - - B.4 Other changes 1 33 - - 22 1 57 C. Reductions 11 606 - - 24 14 655 C.1 Disposals 3 89 - - 22 12 126 of which: business combinations - - - - - - - C.2 Impairment losses - 15 - - 1 1 17 C.3 Negative exchange differences - - - - - - - C.4 Other changes 8 502 - - 1 1 512 D. Closing balances 25 10 - - 6 3 44 9.9 Commitments to purchase property, plant and equipment (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Contractual commitments 6 1 Outstanding commitments refer to the purchase of property, plant and equipment. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 240 2021 Annual Report and Accounts · UniCredit Section 10 - Intangible assets - Item 100 An intangible asset is an identifiable non-monetary asset without physical substance, to be used for several years. Intangible assets may include goodwill and, among “other intangible assets”, brands, customer relationships and software. As at 31 December 2021 intangible assets amounted to €2,213 million and mostly referred to software, slightly increased in comparison to €2,117 million as at 31 December 2020. 10.1 Intangible assets: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE A.1 Goodwill X - X - A.1.1 Attributable to the Group X - X - A.1.2 Attributable to minorities X - X - A.2 Other intangible assets 2,213 - 2,117 - of which: software 2,211 - 2,115 - A.2.1 Assets carried at cost 2,213 - 2,117 - a) Intangible assets generated internally 1,747 - 1,644 - b) Other assets 466 - 473 - A.2.2 Assets measured at fair value - - - - a) Intangible assets generated internally - - - - b) Other assets - - - - Total 2,213 - 2,117 - Total finite and indefinite life 2,213 2,117 The Group does not use the revaluation model (fair value) to measure intangible assets. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 240 2021 Annual Report and Accounts · UniCredit Section 10 - Intangible assets - Item 100 An intangible asset is an identifiable non-monetary asset without physical substance, to be used for several years. Intangible assets may include goodwill and, among “other intangible assets”, brands, customer relationships and software. As at 31 December 2021 intangible assets amounted to €2,213 million and mostly referred to software, slightly increased in comparison to €2,117 million as at 31 December 2020. 10.1 Intangible assets: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE A.1 Goodwill X - X - A.1.1 Attributable to the Group X - X - A.1.2 Attributable to minorities X - X - A.2 Other intangible assets 2,213 - 2,117 - of which: software 2,211 - 2,115 - A.2.1 Assets carried at cost 2,213 - 2,117 - a) Intangible assets generated internally 1,747 - 1,644 - b) Other assets 466 - 473 - A.2.2 Assets measured at fair value - - - - a) Intangible assets generated internally - - - - b) Other assets - - - - Total 2,213 - 2,117 - Total finite and indefinite life 2,213 2,117 The Group does not use the revaluation model (fair value) to measure intangible assets. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 240 2021 Annual Report and Accounts · UniCredit Section 10 - Intangible assets - Item 100 An intangible asset is an identifiable non-monetary asset without physical substance, to be used for several years. Intangible assets may include goodwill and, among “other intangible assets”, brands, customer relationships and software. As at 31 December 2021 intangible assets amounted to €2,213 million and mostly referred to software, slightly increased in comparison to €2,117 million as at 31 December 2020. 10.1 Intangible assets: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE A.1 Goodwill X - X - A.1.1 Attributable to the Group X - X - A.1.2 Attributable to minorities X - X - A.2 Other intangible assets 2,213 - 2,117 - of which: software 2,211 - 2,115 - A.2.1 Assets carried at cost 2,213 - 2,117 - a) Intangible assets generated internally 1,747 - 1,644 - b) Other assets 466 - 473 - A.2.2 Assets measured at fair value - - - - a) Intangible assets generated internally - - - - b) Other assets - - - - Total 2,213 - 2,117 - Total finite and indefinite life 2,213 2,117 The Group does not use the revaluation model (fair value) to measure intangible assets. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 240 2021 Annual Report and Accounts · UniCredit Section 10 - Intangible assets - Item 100 An intangible asset is an identifiable non-monetary asset without physical substance, to be used for several years. Intangible assets may include goodwill and, among “other intangible assets”, brands, customer relationships and software. As at 31 December 2021 intangible assets amounted to €2,213 million and mostly referred to software, slightly increased in comparison to €2,117 million as at 31 December 2020. 10.1 Intangible assets: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE A.1 Goodwill X - X - A.1.1 Attributable to the Group X - X - A.1.2 Attributable to minorities X - X - A.2 Other intangible assets 2,213 - 2,117 - of which: software 2,211 - 2,115 - A.2.1 Assets carried at cost 2,213 - 2,117 - a) Intangible assets generated internally 1,747 - 1,644 - b) Other assets 466 - 473 - A.2.2 Assets measured at fair value - - - - a) Intangible assets generated internally - - - - b) Other assets - - - - Total 2,213 - 2,117 - Total finite and indefinite life 2,213 2,117 The Group does not use the revaluation model (fair value) to measure intangible assets. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 240 2021 Annual Report and Accounts · UniCredit Section 10 - Intangible assets - Item 100 An intangible asset is an identifiable non-monetary asset without physical substance, to be used for several years. Intangible assets may include goodwill and, among “other intangible assets”, brands, customer relationships and software. As at 31 December 2021 intangible assets amounted to €2,213 million and mostly referred to software, slightly increased in comparison to €2,117 million as at 31 December 2020. 10.1 Intangible assets: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE A.1 Goodwill X - X - A.1.1 Attributable to the Group X - X - A.1.2 Attributable to minorities X - X - A.2 Other intangible assets 2,213 - 2,117 - of which: software 2,211 - 2,115 - A.2.1 Assets carried at cost 2,213 - 2,117 - a) Intangible assets generated internally 1,747 - 1,644 - b) Other assets 466 - 473 - A.2.2 Assets measured at fair value - - - - a) Intangible assets generated internally - - - - b) Other assets - - - - Total 2,213 - 2,117 - Total finite and indefinite life 2,213 2,117 The Group does not use the revaluation model (fair value) to measure intangible assets. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 241 10.2 Intangible assets: annual changes (€ million) CHANGES IN 2021 OTHER INTANGIBLE ASSETS GENERATED INTERNALLY OTHER GOODWILL FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE TOTAL A. Gross opening balance 15,708 4,649 - 5,100 902 26,359 A.1 Total net reduction in value (15,708) (3,005) - (4,627) (902) (24,242) A.2 Net opening balance - 1,644 - 473 - 2,117 B. Increases - 580 - 184 - 764 B.1 Purchases - 37 - 150 - 187 B.2 Increases in intangible assets generated internally X 528 - - - 528 B.3 Write-backs X - - - - - B.4 Increases in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - B.5 Positive exchange differences - 7 - 10 - 17 B.6 Other changes - 8 - 24 - 32 of which: business combinations - - - - - - C. Reduction - 477 - 191 - 668 C.1 Disposals - - - - - - C.2 Write-downs - 457 - 164 - 621 - Amortisation X 353 - 145 - 498 - Write-downs - 104 - 19 - 123 + In equity X - - - - - + Through profit or loss - 104 - 19 - 123 C.3 Reduction in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - C.4 Transfer to non-current assets held for sale - 3 - 18 - 21 C.5 Negative exchange differences - 2 - 5 - 7 C.6 Other changes - 15 - 4 - 19 of which: business combinations - - - - - - D. Net closing balance - 1,747 - 466 - 2,213 D.1 Total net write-down (15,736) (3,411) - (4,683) (902) (24,732) E. Gross closing balance 15,736 5,158 - 5,149 902 26,945 F. Carried at cost - - - - - - It shall be noted that the annual changes in gross closing balance and total net write-down, compared to the values as at 31 December 2020, are due to goodwill of legal entities which reporting currency is different to Euro, completely impaired in the previous periods. As at 31 December 2021, UniCredit Services S.c.p.A. and its subsidiary UniCredit Services GmbH booked write-downs for an amount of €139 million on intangible assets, referred: (i) for €99 million to intangible assets generated internally; (ii) for €27 million to the review of the useful life of some assets; (iii) for €13 million due to reversal of 2021 asset under construction referred to project stopped. Specifically, with the new Strategic plan “UniCredit Unlocked” and the new ICT strategies, the afore mentioned companies assessed the existence of a significant impact on landscape of banking business applications, as well as on ICT Platforms technology. Consequently, the companies executed an extraordinary impairment test campaign on generated internally software, in order to verify the existence of benefits associated to the assets in production from some years; as a result, the afore mentioned write-downs were recognised, especially with reference to projects, ICT applications and platforms which turned into obsolescence. 10.3 Intangible assets: other information There is no significant information to be reported. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 241 10.2 Intangible assets: annual changes (€ million) CHANGES IN 2021 OTHER INTANGIBLE ASSETS GENERATED INTERNALLY OTHER GOODWILL FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE TOTAL A. Gross opening balance 15,708 4,649 - 5,100 902 26,359 A.1 Total net reduction in value (15,708) (3,005) - (4,627) (902) (24,242) A.2 Net opening balance - 1,644 - 473 - 2,117 B. Increases - 580 - 184 - 764 B.1 Purchases - 37 - 150 - 187 B.2 Increases in intangible assets generated internally X 528 - - - 528 B.3 Write-backs X - - - - - B.4 Increases in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - B.5 Positive exchange differences - 7 - 10 - 17 B.6 Other changes - 8 - 24 - 32 of which: business combinations - - - - - - C. Reduction - 477 - 191 - 668 C.1 Disposals - - - - - - C.2 Write-downs - 457 - 164 - 621 - Amortisation X 353 - 145 - 498 - Write-downs - 104 - 19 - 123 + In equity X - - - - - + Through profit or loss - 104 - 19 - 123 C.3 Reduction in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - C.4 Transfer to non-current assets held for sale - 3 - 18 - 21 C.5 Negative exchange differences - 2 - 5 - 7 C.6 Other changes - 15 - 4 - 19 of which: business combinations - - - - - - D. Net closing balance - 1,747 - 466 - 2,213 D.1 Total net write-down (15,736) (3,411) - (4,683) (902) (24,732) E. Gross closing balance 15,736 5,158 - 5,149 902 26,945 F. Carried at cost - - - - - - It shall be noted that the annual changes in gross closing balance and total net write-down, compared to the values as at 31 December 2020, are due to goodwill of legal entities which reporting currency is different to Euro, completely impaired in the previous periods. As at 31 December 2021, UniCredit Services S.c.p.A. and its subsidiary UniCredit Services GmbH booked write-downs for an amount of €139 million on intangible assets, referred: (i) for €99 million to intangible assets generated internally; (ii) for €27 million to the review of the useful life of some assets; (iii) for €13 million due to reversal of 2021 asset under construction referred to project stopped. Specifically, with the new Strategic plan “UniCredit Unlocked” and the new ICT strategies, the afore mentioned companies assessed the existence of a significant impact on landscape of banking business applications, as well as on ICT Platforms technology. Consequently, the companies executed an extraordinary impairment test campaign on generated internally software, in order to verify the existence of benefits associated to the assets in production from some years; as a result, the afore mentioned write-downs were recognised, especially with reference to projects, ICT applications and platforms which turned into obsolescence. 10.3 Intangible assets: other information There is no significant information to be reported. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 241 10.2 Intangible assets: annual changes (€ million) CHANGES IN 2021 OTHER INTANGIBLE ASSETS GENERATED INTERNALLY OTHER GOODWILL FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE TOTAL A. Gross opening balance 15,708 4,649 - 5,100 902 26,359 A.1 Total net reduction in value (15,708) (3,005) - (4,627) (902) (24,242) A.2 Net opening balance - 1,644 - 473 - 2,117 B. Increases - 580 - 184 - 764 B.1 Purchases - 37 - 150 - 187 B.2 Increases in intangible assets generated internally X 528 - - - 528 B.3 Write-backs X - - - - - B.4 Increases in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - B.5 Positive exchange differences - 7 - 10 - 17 B.6 Other changes - 8 - 24 - 32 of which: business combinations - - - - - - C. Reduction - 477 - 191 - 668 C.1 Disposals - - - - - - C.2 Write-downs - 457 - 164 - 621 - Amortisation X 353 - 145 - 498 - Write-downs - 104 - 19 - 123 + In equity X - - - - - + Through profit or loss - 104 - 19 - 123 C.3 Reduction in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - C.4 Transfer to non-current assets held for sale - 3 - 18 - 21 C.5 Negative exchange differences - 2 - 5 - 7 C.6 Other changes - 15 - 4 - 19 of which: business combinations - - - - - - D. Net closing balance - 1,747 - 466 - 2,213 D.1 Total net write-down (15,736) (3,411) - (4,683) (902) (24,732) E. Gross closing balance 15,736 5,158 - 5,149 902 26,945 F. Carried at cost - - - - - - It shall be noted that the annual changes in gross closing balance and total net write-down, compared to the values as at 31 December 2020, are due to goodwill of legal entities which reporting currency is different to Euro, completely impaired in the previous periods. As at 31 December 2021, UniCredit Services S.c.p.A. and its subsidiary UniCredit Services GmbH booked write-downs for an amount of €139 million on intangible assets, referred: (i) for €99 million to intangible assets generated internally; (ii) for €27 million to the review of the useful life of some assets; (iii) for €13 million due to reversal of 2021 asset under construction referred to project stopped. Specifically, with the new Strategic plan “UniCredit Unlocked” and the new ICT strategies, the afore mentioned companies assessed the existence of a significant impact on landscape of banking business applications, as well as on ICT Platforms technology. Consequently, the companies executed an extraordinary impairment test campaign on generated internally software, in order to verify the existence of benefits associated to the assets in production from some years; as a result, the afore mentioned write-downs were recognised, especially with reference to projects, ICT applications and platforms which turned into obsolescence. 10.3 Intangible assets: other information There is no significant information to be reported. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 241 10.2 Intangible assets: annual changes (€ million) CHANGES IN 2021 OTHER INTANGIBLE ASSETS GENERATED INTERNALLY OTHER GOODWILL FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE TOTAL A. Gross opening balance 15,708 4,649 - 5,100 902 26,359 A.1 Total net reduction in value (15,708) (3,005) - (4,627) (902) (24,242) A.2 Net opening balance - 1,644 - 473 - 2,117 B. Increases - 580 - 184 - 764 B.1 Purchases - 37 - 150 - 187 B.2 Increases in intangible assets generated internally X 528 - - - 528 B.3 Write-backs X - - - - - B.4 Increases in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - B.5 Positive exchange differences - 7 - 10 - 17 B.6 Other changes - 8 - 24 - 32 of which: business combinations - - - - - - C. Reduction - 477 - 191 - 668 C.1 Disposals - - - - - - C.2 Write-downs - 457 - 164 - 621 - Amortisation X 353 - 145 - 498 - Write-downs - 104 - 19 - 123 + In equity X - - - - - + Through profit or loss - 104 - 19 - 123 C.3 Reduction in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - C.4 Transfer to non-current assets held for sale - 3 - 18 - 21 C.5 Negative exchange differences - 2 - 5 - 7 C.6 Other changes - 15 - 4 - 19 of which: business combinations - - - - - - D. Net closing balance - 1,747 - 466 - 2,213 D.1 Total net write-down (15,736) (3,411) - (4,683) (902) (24,732) E. Gross closing balance 15,736 5,158 - 5,149 902 26,945 F. Carried at cost - - - - - - It shall be noted that the annual changes in gross closing balance and total net write-down, compared to the values as at 31 December 2020, are due to goodwill of legal entities which reporting currency is different to Euro, completely impaired in the previous periods. As at 31 December 2021, UniCredit Services S.c.p.A. and its subsidiary UniCredit Services GmbH booked write-downs for an amount of €139 million on intangible assets, referred: (i) for €99 million to intangible assets generated internally; (ii) for €27 million to the review of the useful life of some assets; (iii) for €13 million due to reversal of 2021 asset under construction referred to project stopped. Specifically, with the new Strategic plan “UniCredit Unlocked” and the new ICT strategies, the afore mentioned companies assessed the existence of a significant impact on landscape of banking business applications, as well as on ICT Platforms technology. Consequently, the companies executed an extraordinary impairment test campaign on generated internally software, in order to verify the existence of benefits associated to the assets in production from some years; as a result, the afore mentioned write-downs were recognised, especially with reference to projects, ICT applications and platforms which turned into obsolescence. 10.3 Intangible assets: other information There is no significant information to be reported. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 241 10.2 Intangible assets: annual changes (€ million) CHANGES IN 2021 OTHER INTANGIBLE ASSETS GENERATED INTERNALLY OTHER GOODWILL FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE TOTAL A. Gross opening balance 15,708 4,649 - 5,100 902 26,359 A.1 Total net reduction in value (15,708) (3,005) - (4,627) (902) (24,242) A.2 Net opening balance - 1,644 - 473 - 2,117 B. Increases - 580 - 184 - 764 B.1 Purchases - 37 - 150 - 187 B.2 Increases in intangible assets generated internally X 528 - - - 528 B.3 Write-backs X - - - - - B.4 Increases in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - B.5 Positive exchange differences - 7 - 10 - 17 B.6 Other changes - 8 - 24 - 32 of which: business combinations - - - - - - C. Reduction - 477 - 191 - 668 C.1 Disposals - - - - - - C.2 Write-downs - 457 - 164 - 621 - Amortisation X 353 - 145 - 498 - Write-downs - 104 - 19 - 123 + In equity X - - - - - + Through profit or loss - 104 - 19 - 123 C.3 Reduction in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - C.4 Transfer to non-current assets held for sale - 3 - 18 - 21 C.5 Negative exchange differences - 2 - 5 - 7 C.6 Other changes - 15 - 4 - 19 of which: business combinations - - - - - - D. Net closing balance - 1,747 - 466 - 2,213 D.1 Total net write-down (15,736) (3,411) - (4,683) (902) (24,732) E. Gross closing balance 15,736 5,158 - 5,149 902 26,945 F. Carried at cost - - - - - - It shall be noted that the annual changes in gross closing balance and total net write-down, compared to the values as at 31 December 2020, are due to goodwill of legal entities which reporting currency is different to Euro, completely impaired in the previous periods. As at 31 December 2021, UniCredit Services S.c.p.A. and its subsidiary UniCredit Services GmbH booked write-downs for an amount of €139 million on intangible assets, referred: (i) for €99 million to intangible assets generated internally; (ii) for €27 million to the review of the useful life of some assets; (iii) for €13 million due to reversal of 2021 asset under construction referred to project stopped. Specifically, with the new Strategic plan “UniCredit Unlocked” and the new ICT strategies, the afore mentioned companies assessed the existence of a significant impact on landscape of banking business applications, as well as on ICT Platforms technology. Consequently, the companies executed an extraordinary impairment test campaign on generated internally software, in order to verify the existence of benefits associated to the assets in production from some years; as a result, the afore mentioned write-downs were recognised, especially with reference to projects, ICT applications and platforms which turned into obsolescence. 10.3 Intangible assets: other information There is no significant information to be reported. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 242 2021 Annual Report and Accounts · UniCredit Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) 11.1 Deferred tax assets: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax assets arising from Italian law 214/2011 6,239 7,491 Deferred tax assets arising from tax losses(*) 2,262 1,120 Deferred tax assets arising from temporary differences 4,490 4,413 Financial assets and liabilities (different from loans and deposits) 200 173 Loans and deposits to/from banks and customers 985 967 Hedging and hedged item revaluation 710 629 Property, plant and equipment and intangible assets different from goodwill 258 258 Goodwill and equity investments 3 3 Current assets and liabilities held for sale - - Other assets and Other liabilities 344 431 Provisions, pension funds and similar 1,990 1,952 Other - - Accounting offsetting (1,393) (1,663) Total 11,598 11,361 Note: (*) The item includes tax credit IRAP deriving from the conversion of the ACE benefit for €195 million. 11.2 Deferred tax liabilities: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax liabilities arising from temporary differences 1,981 2,229 Financial assets and liabilities (different from loans and deposits) 368 634 Loans and deposits to/from banks and customers 85 72 Hedging and hedged item revaluation 570 482 Property, plant and equipment and intangible assets different from goodwill 758 899 Goodwill and equity investments - - Assets and liabilities held for sale - - Other assets and Other liabilities 172 122 Other 28 20 Accounting offsetting (1,393) (1,663) Total 588 566 Deferred Tax Assets (DTAs) totally amount to €11,598 million (compared with €11,361 million as at 31 December 2020), of which: • €6,239 million (compared with €7,491 million as of 31 December 2020) can be, under certain circumstances, converted into tax credits pursuant to Law No.214/2011 (i.e., DTA convertible into tax credits); • €3,097 million, net of the accounting offsetting, are related to temporary effects (i.e. costs and write-offs deductible in future years) which are non-convertible into tax credits, and • €2,262 million are tax losses carried forward (TLCF), of which: - €2,067 million are DTAs on TLCF, mainly related to: UniCredit S.p.A., also as Italian Tax Group Parent Company, for €2,002 million; UniCredit Bank Austria AG for €185 million, and to UniCredit Bank AG for €17 million. - €195 million are a tax credit IRAP deriving from the conversion of the ACE (so called Aiuto alla Crescita Economica) benefit. The above-mentioned amounts are the ones resulting from the sustainability test provided for IAS12, which, taking into account the economic projections foreseeable for future years and the peculiarities of the fiscal legislations of each country, checks whether there are future taxable incomes against which TLCF can be offset. For further info concerning sustainability test refer to “Section 10 Tax assets and liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Assets. At Group level, total not recognised DTAs on TLCF are equal to €2,702 million of which: €2,072 million relate to UniCredit S.p.A. for, €331 million relate to the UniCredit Bank AG Sub-Group and €270 million to the UniCredit Bank Austria AG Sub-Group. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 242 2021 Annual Report and Accounts · UniCredit Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) 11.1 Deferred tax assets: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax assets arising from Italian law 214/2011 6,239 7,491 Deferred tax assets arising from tax losses(*) 2,262 1,120 Deferred tax assets arising from temporary differences 4,490 4,413 Financial assets and liabilities (different from loans and deposits) 200 173 Loans and deposits to/from banks and customers 985 967 Hedging and hedged item revaluation 710 629 Property, plant and equipment and intangible assets different from goodwill 258 258 Goodwill and equity investments 3 3 Current assets and liabilities held for sale - - Other assets and Other liabilities 344 431 Provisions, pension funds and similar 1,990 1,952 Other - - Accounting offsetting (1,393) (1,663) Total 11,598 11,361 Note: (*) The item includes tax credit IRAP deriving from the conversion of the ACE benefit for €195 million. 11.2 Deferred tax liabilities: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax liabilities arising from temporary differences 1,981 2,229 Financial assets and liabilities (different from loans and deposits) 368 634 Loans and deposits to/from banks and customers 85 72 Hedging and hedged item revaluation 570 482 Property, plant and equipment and intangible assets different from goodwill 758 899 Goodwill and equity investments - - Assets and liabilities held for sale - - Other assets and Other liabilities 172 122 Other 28 20 Accounting offsetting (1,393) (1,663) Total 588 566 Deferred Tax Assets (DTAs) totally amount to €11,598 million (compared with €11,361 million as at 31 December 2020), of which: • €6,239 million (compared with €7,491 million as of 31 December 2020) can be, under certain circumstances, converted into tax credits pursuant to Law No.214/2011 (i.e., DTA convertible into tax credits); • €3,097 million, net of the accounting offsetting, are related to temporary effects (i.e. costs and write-offs deductible in future years) which are non-convertible into tax credits, and • €2,262 million are tax losses carried forward (TLCF), of which: - €2,067 million are DTAs on TLCF, mainly related to: UniCredit S.p.A., also as Italian Tax Group Parent Company, for €2,002 million; UniCredit Bank Austria AG for €185 million, and to UniCredit Bank AG for €17 million. - €195 million are a tax credit IRAP deriving from the conversion of the ACE (so called Aiuto alla Crescita Economica) benefit. The above-mentioned amounts are the ones resulting from the sustainability test provided for IAS12, which, taking into account the economic projections foreseeable for future years and the peculiarities of the fiscal legislations of each country, checks whether there are future taxable incomes against which TLCF can be offset. For further info concerning sustainability test refer to “Section 10 Tax assets and liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Assets. At Group level, total not recognised DTAs on TLCF are equal to €2,702 million of which: €2,072 million relate to UniCredit S.p.A. for, €331 million relate to the UniCredit Bank AG Sub-Group and €270 million to the UniCredit Bank Austria AG Sub-Group. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 242 2021 Annual Report and Accounts · UniCredit Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) 11.1 Deferred tax assets: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax assets arising from Italian law 214/2011 6,239 7,491 Deferred tax assets arising from tax losses(*) 2,262 1,120 Deferred tax assets arising from temporary differences 4,490 4,413 Financial assets and liabilities (different from loans and deposits) 200 173 Loans and deposits to/from banks and customers 985 967 Hedging and hedged item revaluation 710 629 Property, plant and equipment and intangible assets different from goodwill 258 258 Goodwill and equity investments 3 3 Current assets and liabilities held for sale - - Other assets and Other liabilities 344 431 Provisions, pension funds and similar 1,990 1,952 Other - - Accounting offsetting (1,393) (1,663) Total 11,598 11,361 Note: (*) The item includes tax credit IRAP deriving from the conversion of the ACE benefit for €195 million. 11.2 Deferred tax liabilities: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax liabilities arising from temporary differences 1,981 2,229 Financial assets and liabilities (different from loans and deposits) 368 634 Loans and deposits to/from banks and customers 85 72 Hedging and hedged item revaluation 570 482 Property, plant and equipment and intangible assets different from goodwill 758 899 Goodwill and equity investments - - Assets and liabilities held for sale - - Other assets and Other liabilities 172 122 Other 28 20 Accounting offsetting (1,393) (1,663) Total 588 566 Deferred Tax Assets (DTAs) totally amount to €11,598 million (compared with €11,361 million as at 31 December 2020), of which: • €6,239 million (compared with €7,491 million as of 31 December 2020) can be, under certain circumstances, converted into tax credits pursuant to Law No.214/2011 (i.e., DTA convertible into tax credits); • €3,097 million, net of the accounting offsetting, are related to temporary effects (i.e. costs and write-offs deductible in future years) which are non-convertible into tax credits, and • €2,262 million are tax losses carried forward (TLCF), of which: - €2,067 million are DTAs on TLCF, mainly related to: UniCredit S.p.A., also as Italian Tax Group Parent Company, for €2,002 million; UniCredit Bank Austria AG for €185 million, and to UniCredit Bank AG for €17 million. - €195 million are a tax credit IRAP deriving from the conversion of the ACE (so called Aiuto alla Crescita Economica) benefit. The above-mentioned amounts are the ones resulting from the sustainability test provided for IAS12, which, taking into account the economic projections foreseeable for future years and the peculiarities of the fiscal legislations of each country, checks whether there are future taxable incomes against which TLCF can be offset. For further info concerning sustainability test refer to “Section 10 Tax assets and liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Assets. At Group level, total not recognised DTAs on TLCF are equal to €2,702 million of which: €2,072 million relate to UniCredit S.p.A. for, €331 million relate to the UniCredit Bank AG Sub-Group and €270 million to the UniCredit Bank Austria AG Sub-Group. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 242 2021 Annual Report and Accounts · UniCredit Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) 11.1 Deferred tax assets: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax assets arising from Italian law 214/2011 6,239 7,491 Deferred tax assets arising from tax losses(*) 2,262 1,120 Deferred tax assets arising from temporary differences 4,490 4,413 Financial assets and liabilities (different from loans and deposits) 200 173 Loans and deposits to/from banks and customers 985 967 Hedging and hedged item revaluation 710 629 Property, plant and equipment and intangible assets different from goodwill 258 258 Goodwill and equity investments 3 3 Current assets and liabilities held for sale - - Other assets and Other liabilities 344 431 Provisions, pension funds and similar 1,990 1,952 Other - - Accounting offsetting (1,393) (1,663) Total 11,598 11,361 Note: (*) The item includes tax credit IRAP deriving from the conversion of the ACE benefit for €195 million. 11.2 Deferred tax liabilities: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax liabilities arising from temporary differences 1,981 2,229 Financial assets and liabilities (different from loans and deposits) 368 634 Loans and deposits to/from banks and customers 85 72 Hedging and hedged item revaluation 570 482 Property, plant and equipment and intangible assets different from goodwill 758 899 Goodwill and equity investments - - Assets and liabilities held for sale - - Other assets and Other liabilities 172 122 Other 28 20 Accounting offsetting (1,393) (1,663) Total 588 566 Deferred Tax Assets (DTAs) totally amount to €11,598 million (compared with €11,361 million as at 31 December 2020), of which: • €6,239 million (compared with €7,491 million as of 31 December 2020) can be, under certain circumstances, converted into tax credits pursuant to Law No.214/2011 (i.e., DTA convertible into tax credits); • €3,097 million, net of the accounting offsetting, are related to temporary effects (i.e. costs and write-offs deductible in future years) which are non-convertible into tax credits, and • €2,262 million are tax losses carried forward (TLCF), of which: - €2,067 million are DTAs on TLCF, mainly related to: UniCredit S.p.A., also as Italian Tax Group Parent Company, for €2,002 million; UniCredit Bank Austria AG for €185 million, and to UniCredit Bank AG for €17 million. - €195 million are a tax credit IRAP deriving from the conversion of the ACE (so called Aiuto alla Crescita Economica) benefit. The above-mentioned amounts are the ones resulting from the sustainability test provided for IAS12, which, taking into account the economic projections foreseeable for future years and the peculiarities of the fiscal legislations of each country, checks whether there are future taxable incomes against which TLCF can be offset. For further info concerning sustainability test refer to “Section 10 Tax assets and liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Assets. At Group level, total not recognised DTAs on TLCF are equal to €2,702 million of which: €2,072 million relate to UniCredit S.p.A. for, €331 million relate to the UniCredit Bank AG Sub-Group and €270 million to the UniCredit Bank Austria AG Sub-Group. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 242 2021 Annual Report and Accounts · UniCredit Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) 11.1 Deferred tax assets: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax assets arising from Italian law 214/2011 6,239 7,491 Deferred tax assets arising from tax losses(*) 2,262 1,120 Deferred tax assets arising from temporary differences 4,490 4,413 Financial assets and liabilities (different from loans and deposits) 200 173 Loans and deposits to/from banks and customers 985 967 Hedging and hedged item revaluation 710 629 Property, plant and equipment and intangible assets different from goodwill 258 258 Goodwill and equity investments 3 3 Current assets and liabilities held for sale - - Other assets and Other liabilities 344 431 Provisions, pension funds and similar 1,990 1,952 Other - - Accounting offsetting (1,393) (1,663) Total 11,598 11,361 Note: (*) The item includes tax credit IRAP deriving from the conversion of the ACE benefit for €195 million. 11.2 Deferred tax liabilities: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax liabilities arising from temporary differences 1,981 2,229 Financial assets and liabilities (different from loans and deposits) 368 634 Loans and deposits to/from banks and customers 85 72 Hedging and hedged item revaluation 570 482 Property, plant and equipment and intangible assets different from goodwill 758 899 Goodwill and equity investments - - Assets and liabilities held for sale - - Other assets and Other liabilities 172 122 Other 28 20 Accounting offsetting (1,393) (1,663) Total 588 566 Deferred Tax Assets (DTAs) totally amount to €11,598 million (compared with €11,361 million as at 31 December 2020), of which: • €6,239 million (compared with €7,491 million as of 31 December 2020) can be, under certain circumstances, converted into tax credits pursuant to Law No.214/2011 (i.e., DTA convertible into tax credits); • €3,097 million, net of the accounting offsetting, are related to temporary effects (i.e. costs and write-offs deductible in future years) which are non-convertible into tax credits, and • €2,262 million are tax losses carried forward (TLCF), of which: - €2,067 million are DTAs on TLCF, mainly related to: UniCredit S.p.A., also as Italian Tax Group Parent Company, for €2,002 million; UniCredit Bank Austria AG for €185 million, and to UniCredit Bank AG for €17 million. - €195 million are a tax credit IRAP deriving from the conversion of the ACE (so called Aiuto alla Crescita Economica) benefit. The above-mentioned amounts are the ones resulting from the sustainability test provided for IAS12, which, taking into account the economic projections foreseeable for future years and the peculiarities of the fiscal legislations of each country, checks whether there are future taxable incomes against which TLCF can be offset. For further info concerning sustainability test refer to “Section 10 Tax assets and liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Assets. At Group level, total not recognised DTAs on TLCF are equal to €2,702 million of which: €2,072 million relate to UniCredit S.p.A. for, €331 million relate to the UniCredit Bank AG Sub-Group and €270 million to the UniCredit Bank Austria AG Sub-Group. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 243 For deferred tax assets and liabilities of UniCredit S.p.A., also as the Italian Tax Group Parent Company, reference is made to “Section 10 Tax assets and liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Assets, which is herewith quoted entirely. 11.3 Deferred tax assets: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 9,356 10,178 2. Increases 3,706 3,261 2.1 Deferred tax assets arisen during the year 2,049 1,642 a) Relating to previous years 93 218 b) Due to change in accounting criteria - - c) Write-backs 1,514 411 d) Other 442 1,013 2.2 New taxes or increases in tax rates - 12 2.3 Other increases 1,657 1,607 3. Decreases 3,534 4,083 3.1 Deferred tax assets derecognised during the year 1,274 1,835 a) Reversals of temporary differences 990 742 b) Write-downs of non-recoverable items 42 772 c) Change in accounting criteria - - d) Other 242 321 3.2 Reduction in tax rates 2 - 3.3 Other decreases 2,258 2,248 a) Conversion into tax credit under Italian Law 214/2011 877 806 b) Other 1,381 1,442 4. Closing balance 9,528 9,356 For the portion of deferred tax assets arising from tax losses carried forward to subsequent years, please refer to the table 11.1 of this section of the Notes to the accounts. The sub-item “2.1 c) Write-backs” reports the effects of the recognition in the income statement of DTA TLCF arising from the results of the sustainability test; the sub-items “2.3 Other increases” and “3.3 Other decreases” b) Other” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amounts referring to the year 2020 of the sub-items “2.1 c) Write-backs” and “3.1 a) Reversals of temporary differences” have been restated, previously classified respectively under the item “2.1 d) Other” and "3.1 d) Other". 11.4 Deferred tax assets (Italian Law 214/2011): annual changes (€ million) CHANGES IN 2021 2020 1. Opening balance 7,491 8,302 2. Increases 1 3 3. Decreases 1,253 814 3.1 Reversals of temporary differences 301 5 3.2 Conversion into tax credits 877 806 a) Due to loss positions arisen from P&L 410 100 b) Due to tax losses 467 706 3.3 Other decreases 75 3 4. Closing balance 6,239 7,491 In accordance with the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), starting from 31 December 2018, the table shows the deferred tax asset annual changes of which L.214/2011 both equity balancing and income statement balancing. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 243 For deferred tax assets and liabilities of UniCredit S.p.A., also as the Italian Tax Group Parent Company, reference is made to “Section 10 Tax assets and liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Assets, which is herewith quoted entirely. 11.3 Deferred tax assets: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 9,356 10,178 2. Increases 3,706 3,261 2.1 Deferred tax assets arisen during the year 2,049 1,642 a) Relating to previous years 93 218 b) Due to change in accounting criteria - - c) Write-backs 1,514 411 d) Other 442 1,013 2.2 New taxes or increases in tax rates - 12 2.3 Other increases 1,657 1,607 3. Decreases 3,534 4,083 3.1 Deferred tax assets derecognised during the year 1,274 1,835 a) Reversals of temporary differences 990 742 b) Write-downs of non-recoverable items 42 772 c) Change in accounting criteria - - d) Other 242 321 3.2 Reduction in tax rates 2 - 3.3 Other decreases 2,258 2,248 a) Conversion into tax credit under Italian Law 214/2011 877 806 b) Other 1,381 1,442 4. Closing balance 9,528 9,356 For the portion of deferred tax assets arising from tax losses carried forward to subsequent years, please refer to the table 11.1 of this section of the Notes to the accounts. The sub-item “2.1 c) Write-backs” reports the effects of the recognition in the income statement of DTA TLCF arising from the results of the sustainability test; the sub-items “2.3 Other increases” and “3.3 Other decreases” b) Other” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amounts referring to the year 2020 of the sub-items “2.1 c) Write-backs” and “3.1 a) Reversals of temporary differences” have been restated, previously classified respectively under the item “2.1 d) Other” and "3.1 d) Other". 11.4 Deferred tax assets (Italian Law 214/2011): annual changes (€ million) CHANGES IN 2021 2020 1. Opening balance 7,491 8,302 2. Increases 1 3 3. Decreases 1,253 814 3.1 Reversals of temporary differences 301 5 3.2 Conversion into tax credits 877 806 a) Due to loss positions arisen from P&L 410 100 b) Due to tax losses 467 706 3.3 Other decreases 75 3 4. Closing balance 6,239 7,491 In accordance with the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), starting from 31 December 2018, the table shows the deferred tax asset annual changes of which L.214/2011 both equity balancing and income statement balancing. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 243 For deferred tax assets and liabilities of UniCredit S.p.A., also as the Italian Tax Group Parent Company, reference is made to “Section 10 Tax assets and liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Assets, which is herewith quoted entirely. 11.3 Deferred tax assets: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 9,356 10,178 2. Increases 3,706 3,261 2.1 Deferred tax assets arisen during the year 2,049 1,642 a) Relating to previous years 93 218 b) Due to change in accounting criteria - - c) Write-backs 1,514 411 d) Other 442 1,013 2.2 New taxes or increases in tax rates - 12 2.3 Other increases 1,657 1,607 3. Decreases 3,534 4,083 3.1 Deferred tax assets derecognised during the year 1,274 1,835 a) Reversals of temporary differences 990 742 b) Write-downs of non-recoverable items 42 772 c) Change in accounting criteria - - d) Other 242 321 3.2 Reduction in tax rates 2 - 3.3 Other decreases 2,258 2,248 a) Conversion into tax credit under Italian Law 214/2011 877 806 b) Other 1,381 1,442 4. Closing balance 9,528 9,356 For the portion of deferred tax assets arising from tax losses carried forward to subsequent years, please refer to the table 11.1 of this section of the Notes to the accounts. The sub-item “2.1 c) Write-backs” reports the effects of the recognition in the income statement of DTA TLCF arising from the results of the sustainability test; the sub-items “2.3 Other increases” and “3.3 Other decreases” b) Other” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amounts referring to the year 2020 of the sub-items “2.1 c) Write-backs” and “3.1 a) Reversals of temporary differences” have been restated, previously classified respectively under the item “2.1 d) Other” and "3.1 d) Other". 11.4 Deferred tax assets (Italian Law 214/2011): annual changes (€ million) CHANGES IN 2021 2020 1. Opening balance 7,491 8,302 2. Increases 1 3 3. Decreases 1,253 814 3.1 Reversals of temporary differences 301 5 3.2 Conversion into tax credits 877 806 a) Due to loss positions arisen from P&L 410 100 b) Due to tax losses 467 706 3.3 Other decreases 75 3 4. Closing balance 6,239 7,491 In accordance with the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), starting from 31 December 2018, the table shows the deferred tax asset annual changes of which L.214/2011 both equity balancing and income statement balancing. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 243 For deferred tax assets and liabilities of UniCredit S.p.A., also as the Italian Tax Group Parent Company, reference is made to “Section 10 Tax assets and liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Assets, which is herewith quoted entirely. 11.3 Deferred tax assets: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 9,356 10,178 2. Increases 3,706 3,261 2.1 Deferred tax assets arisen during the year 2,049 1,642 a) Relating to previous years 93 218 b) Due to change in accounting criteria - - c) Write-backs 1,514 411 d) Other 442 1,013 2.2 New taxes or increases in tax rates - 12 2.3 Other increases 1,657 1,607 3. Decreases 3,534 4,083 3.1 Deferred tax assets derecognised during the year 1,274 1,835 a) Reversals of temporary differences 990 742 b) Write-downs of non-recoverable items 42 772 c) Change in accounting criteria - - d) Other 242 321 3.2 Reduction in tax rates 2 - 3.3 Other decreases 2,258 2,248 a) Conversion into tax credit under Italian Law 214/2011 877 806 b) Other 1,381 1,442 4. Closing balance 9,528 9,356 For the portion of deferred tax assets arising from tax losses carried forward to subsequent years, please refer to the table 11.1 of this section of the Notes to the accounts. The sub-item “2.1 c) Write-backs” reports the effects of the recognition in the income statement of DTA TLCF arising from the results of the sustainability test; the sub-items “2.3 Other increases” and “3.3 Other decreases” b) Other” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amounts referring to the year 2020 of the sub-items “2.1 c) Write-backs” and “3.1 a) Reversals of temporary differences” have been restated, previously classified respectively under the item “2.1 d) Other” and "3.1 d) Other". 11.4 Deferred tax assets (Italian Law 214/2011): annual changes (€ million) CHANGES IN 2021 2020 1. Opening balance 7,491 8,302 2. Increases 1 3 3. Decreases 1,253 814 3.1 Reversals of temporary differences 301 5 3.2 Conversion into tax credits 877 806 a) Due to loss positions arisen from P&L 410 100 b) Due to tax losses 467 706 3.3 Other decreases 75 3 4. Closing balance 6,239 7,491 In accordance with the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), starting from 31 December 2018, the table shows the deferred tax asset annual changes of which L.214/2011 both equity balancing and income statement balancing. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 243 For deferred tax assets and liabilities of UniCredit S.p.A., also as the Italian Tax Group Parent Company, reference is made to “Section 10 Tax assets and liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Assets, which is herewith quoted entirely. 11.3 Deferred tax assets: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 9,356 10,178 2. Increases 3,706 3,261 2.1 Deferred tax assets arisen during the year 2,049 1,642 a) Relating to previous years 93 218 b) Due to change in accounting criteria - - c) Write-backs 1,514 411 d) Other 442 1,013 2.2 New taxes or increases in tax rates - 12 2.3 Other increases 1,657 1,607 3. Decreases 3,534 4,083 3.1 Deferred tax assets derecognised during the year 1,274 1,835 a) Reversals of temporary differences 990 742 b) Write-downs of non-recoverable items 42 772 c) Change in accounting criteria - - d) Other 242 321 3.2 Reduction in tax rates 2 - 3.3 Other decreases 2,258 2,248 a) Conversion into tax credit under Italian Law 214/2011 877 806 b) Other 1,381 1,442 4. Closing balance 9,528 9,356 For the portion of deferred tax assets arising from tax losses carried forward to subsequent years, please refer to the table 11.1 of this section of the Notes to the accounts. The sub-item “2.1 c) Write-backs” reports the effects of the recognition in the income statement of DTA TLCF arising from the results of the sustainability test; the sub-items “2.3 Other increases” and “3.3 Other decreases” b) Other” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amounts referring to the year 2020 of the sub-items “2.1 c) Write-backs” and “3.1 a) Reversals of temporary differences” have been restated, previously classified respectively under the item “2.1 d) Other” and "3.1 d) Other". 11.4 Deferred tax assets (Italian Law 214/2011): annual changes (€ million) CHANGES IN 2021 2020 1. Opening balance 7,491 8,302 2. Increases 1 3 3. Decreases 1,253 814 3.1 Reversals of temporary differences 301 5 3.2 Conversion into tax credits 877 806 a) Due to loss positions arisen from P&L 410 100 b) Due to tax losses 467 706 3.3 Other decreases 75 3 4. Closing balance 6,239 7,491 In accordance with the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), starting from 31 December 2018, the table shows the deferred tax asset annual changes of which L.214/2011 both equity balancing and income statement balancing. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 244 2021 Annual Report and Accounts · UniCredit 11.5 Deferred tax liabilities: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 187 320 2. Increases 1,053 1,052 2.1 Deferred tax liabilities arisen during the year 130 100 a) Relating to previous years 4 10 b) Due to change in accounting criteria 1 1 c) Other 125 89 2.2 New taxes or increases in tax rates - 7 2.3 Other increases 923 945 3. Decreases 1,012 1,185 3.1 Deferred tax liabilities derecognised during the year 209 221 a) Reversals of temporary differences 165 184 b) Due to change in accounting criteria - - c) Other 44 37 3.2 Reduction in tax rates 1 - 3.3 Other decreases 802 964 4. Closing balance 228 187 The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amount related to subitem “3.1 a) Deferred tax liabilities derecognised during the year - Reversals of temporary differences” at 31 December 2020, previously classified under the subitem "3.1 c) Other", has been restated. 11.6 Deferred tax assets: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 2,005 1,951 2. Increases 357 514 2.1 Deferred tax assets arisen during the year 114 148 a) Relating to previous years 2 - b) Due to change in accounting criteria - - c) Other 112 148 2.2 New taxes or increase in tax rates - 7 2.3 Other increases 243 359 3. Decreases 292 460 3.1 Deferred tax assets derecognised during the year 85 53 a) Reversals of temporary differences 83 19 b) Write-downs of non-recoverable items - 34 c) Due to change in accounting criteria - - d) Other 2 - 3.2 Reduction in tax rates - - 3.3 Other decreases 207 407 4. Closing balance 2,070 2,005 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 244 2021 Annual Report and Accounts · UniCredit 11.5 Deferred tax liabilities: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 187 320 2. Increases 1,053 1,052 2.1 Deferred tax liabilities arisen during the year 130 100 a) Relating to previous years 4 10 b) Due to change in accounting criteria 1 1 c) Other 125 89 2.2 New taxes or increases in tax rates - 7 2.3 Other increases 923 945 3. Decreases 1,012 1,185 3.1 Deferred tax liabilities derecognised during the year 209 221 a) Reversals of temporary differences 165 184 b) Due to change in accounting criteria - - c) Other 44 37 3.2 Reduction in tax rates 1 - 3.3 Other decreases 802 964 4. Closing balance 228 187 The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amount related to subitem “3.1 a) Deferred tax liabilities derecognised during the year - Reversals of temporary differences” at 31 December 2020, previously classified under the subitem "3.1 c) Other", has been restated. 11.6 Deferred tax assets: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 2,005 1,951 2. Increases 357 514 2.1 Deferred tax assets arisen during the year 114 148 a) Relating to previous years 2 - b) Due to change in accounting criteria - - c) Other 112 148 2.2 New taxes or increase in tax rates - 7 2.3 Other increases 243 359 3. Decreases 292 460 3.1 Deferred tax assets derecognised during the year 85 53 a) Reversals of temporary differences 83 19 b) Write-downs of non-recoverable items - 34 c) Due to change in accounting criteria - - d) Other 2 - 3.2 Reduction in tax rates - - 3.3 Other decreases 207 407 4. Closing balance 2,070 2,005 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 244 2021 Annual Report and Accounts · UniCredit 11.5 Deferred tax liabilities: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 187 320 2. Increases 1,053 1,052 2.1 Deferred tax liabilities arisen during the year 130 100 a) Relating to previous years 4 10 b) Due to change in accounting criteria 1 1 c) Other 125 89 2.2 New taxes or increases in tax rates - 7 2.3 Other increases 923 945 3. Decreases 1,012 1,185 3.1 Deferred tax liabilities derecognised during the year 209 221 a) Reversals of temporary differences 165 184 b) Due to change in accounting criteria - - c) Other 44 37 3.2 Reduction in tax rates 1 - 3.3 Other decreases 802 964 4. Closing balance 228 187 The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amount related to subitem “3.1 a) Deferred tax liabilities derecognised during the year - Reversals of temporary differences” at 31 December 2020, previously classified under the subitem "3.1 c) Other", has been restated. 11.6 Deferred tax assets: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 2,005 1,951 2. Increases 357 514 2.1 Deferred tax assets arisen during the year 114 148 a) Relating to previous years 2 - b) Due to change in accounting criteria - - c) Other 112 148 2.2 New taxes or increase in tax rates - 7 2.3 Other increases 243 359 3. Decreases 292 460 3.1 Deferred tax assets derecognised during the year 85 53 a) Reversals of temporary differences 83 19 b) Write-downs of non-recoverable items - 34 c) Due to change in accounting criteria - - d) Other 2 - 3.2 Reduction in tax rates - - 3.3 Other decreases 207 407 4. Closing balance 2,070 2,005 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 244 2021 Annual Report and Accounts · UniCredit 11.5 Deferred tax liabilities: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 187 320 2. Increases 1,053 1,052 2.1 Deferred tax liabilities arisen during the year 130 100 a) Relating to previous years 4 10 b) Due to change in accounting criteria 1 1 c) Other 125 89 2.2 New taxes or increases in tax rates - 7 2.3 Other increases 923 945 3. Decreases 1,012 1,185 3.1 Deferred tax liabilities derecognised during the year 209 221 a) Reversals of temporary differences 165 184 b) Due to change in accounting criteria - - c) Other 44 37 3.2 Reduction in tax rates 1 - 3.3 Other decreases 802 964 4. Closing balance 228 187 The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amount related to subitem “3.1 a) Deferred tax liabilities derecognised during the year - Reversals of temporary differences” at 31 December 2020, previously classified under the subitem "3.1 c) Other", has been restated. 11.6 Deferred tax assets: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 2,005 1,951 2. Increases 357 514 2.1 Deferred tax assets arisen during the year 114 148 a) Relating to previous years 2 - b) Due to change in accounting criteria - - c) Other 112 148 2.2 New taxes or increase in tax rates - 7 2.3 Other increases 243 359 3. Decreases 292 460 3.1 Deferred tax assets derecognised during the year 85 53 a) Reversals of temporary differences 83 19 b) Write-downs of non-recoverable items - 34 c) Due to change in accounting criteria - - d) Other 2 - 3.2 Reduction in tax rates - - 3.3 Other decreases 207 407 4. Closing balance 2,070 2,005 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 244 2021 Annual Report and Accounts · UniCredit 11.5 Deferred tax liabilities: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 187 320 2. Increases 1,053 1,052 2.1 Deferred tax liabilities arisen during the year 130 100 a) Relating to previous years 4 10 b) Due to change in accounting criteria 1 1 c) Other 125 89 2.2 New taxes or increases in tax rates - 7 2.3 Other increases 923 945 3. Decreases 1,012 1,185 3.1 Deferred tax liabilities derecognised during the year 209 221 a) Reversals of temporary differences 165 184 b) Due to change in accounting criteria - - c) Other 44 37 3.2 Reduction in tax rates 1 - 3.3 Other decreases 802 964 4. Closing balance 228 187 The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amount related to subitem “3.1 a) Deferred tax liabilities derecognised during the year - Reversals of temporary differences” at 31 December 2020, previously classified under the subitem "3.1 c) Other", has been restated. 11.6 Deferred tax assets: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 2,005 1,951 2. Increases 357 514 2.1 Deferred tax assets arisen during the year 114 148 a) Relating to previous years 2 - b) Due to change in accounting criteria - - c) Other 112 148 2.2 New taxes or increase in tax rates - 7 2.3 Other increases 243 359 3. Decreases 292 460 3.1 Deferred tax assets derecognised during the year 85 53 a) Reversals of temporary differences 83 19 b) Write-downs of non-recoverable items - 34 c) Due to change in accounting criteria - - d) Other 2 - 3.2 Reduction in tax rates - - 3.3 Other decreases 207 407 4. Closing balance 2,070 2,005 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 245 11.7 Deferred tax liabilities: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 379 373 2. Increases 852 831 2.1 Deferred tax liabilities arisen during the year 92 112 a) Relating to previous years 4 - b) Due to change in accounting criteria - - c) Other 88 112 2.2 New taxes or increase in tax rates - 12 2.3 Other increases 760 707 3. Decreases 871 825 3.1 Deferred tax liabilities derecognised during the year 291 52 a) Reversal of temporary differences 114 51 b) Due to change in accounting criteria - - c) Other 177 1 3.2 Reduction in tax rates - - 3.3 Other decreases 580 773 4. Closing balance 360 379 The sub-items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. 11.8 Other informations Referring to financial year 2020, UniCredit S.p.A. and UniCredit Leasing S.p.A. registered a loss in their separate financial statements and in 2021 they converted respectively €383.7 and €26.4 million of Deferred Tax Assets (DTA) into tax credits (pursuant to Art.2, paragraph 55, of Law Decree No.225/2010). Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities) Non-current assets or groups of assets and directly connected liabilities, which constitute a set of cash flow generating assets, the sale of which is highly likely, are recognised under these items. They are measured at the lower value between the book value and the fair value less costs to sell according to IFRS5. In the balance sheet as at 31 December 2021, compared with 31 December 2020, the main variations are referred to: (i) the inclusion of the controlled companies UniCredit Leasing S.p.A. and its subsidiary, Uctam SVK S.R.O., UniCredit Leasing GMBH and its subsidiaries and UniCredit Leasing, Leasing, D.O.O.; (ii) the sale of the companies of Sia UniCredit Leasing group; (iii) the inclusion of the loans related to sale initiatives of portfolios, mainly in UniCredit S.p.A. It should be noted that the reclassification of Leasing companies has generated a negative profit and loss impact for -€554 million, mainly attributable to item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. During the year the assets and liabilities of DC Bank AG group companies were reclassified from Held for Sale back to the proper items. Furthermore, it should be noted that during the fourth quarter the associated company Yapi VE Kredi Bankasi A.S. has been attributed to the non-current assets and asset disposal groups and deconsolidated thereafter following the loss of significant influence (for further details refer to Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70, 7.1 Equity investments: information on shareholders’ equity). As regards the data for asset relating to discontinued operations, and associated liabilities, the figure as at 31 December 2021 refers to the controlled company OT-Optima Telekom (Croatia). For further details refer to Notes to the concolidated accounts, Part A - Accounting policies, Section 4 - Subsequent events. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 245 11.7 Deferred tax liabilities: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 379 373 2. Increases 852 831 2.1 Deferred tax liabilities arisen during the year 92 112 a) Relating to previous years 4 - b) Due to change in accounting criteria - - c) Other 88 112 2.2 New taxes or increase in tax rates - 12 2.3 Other increases 760 707 3. Decreases 871 825 3.1 Deferred tax liabilities derecognised during the year 291 52 a) Reversal of temporary differences 114 51 b) Due to change in accounting criteria - - c) Other 177 1 3.2 Reduction in tax rates - - 3.3 Other decreases 580 773 4. Closing balance 360 379 The sub-items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. 11.8 Other informations Referring to financial year 2020, UniCredit S.p.A. and UniCredit Leasing S.p.A. registered a loss in their separate financial statements and in 2021 they converted respectively €383.7 and €26.4 million of Deferred Tax Assets (DTA) into tax credits (pursuant to Art.2, paragraph 55, of Law Decree No.225/2010). Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities) Non-current assets or groups of assets and directly connected liabilities, which constitute a set of cash flow generating assets, the sale of which is highly likely, are recognised under these items. They are measured at the lower value between the book value and the fair value less costs to sell according to IFRS5. In the balance sheet as at 31 December 2021, compared with 31 December 2020, the main variations are referred to: (i) the inclusion of the controlled companies UniCredit Leasing S.p.A. and its subsidiary, Uctam SVK S.R.O., UniCredit Leasing GMBH and its subsidiaries and UniCredit Leasing, Leasing, D.O.O.; (ii) the sale of the companies of Sia UniCredit Leasing group; (iii) the inclusion of the loans related to sale initiatives of portfolios, mainly in UniCredit S.p.A. It should be noted that the reclassification of Leasing companies has generated a negative profit and loss impact for -€554 million, mainly attributable to item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. During the year the assets and liabilities of DC Bank AG group companies were reclassified from Held for Sale back to the proper items. Furthermore, it should be noted that during the fourth quarter the associated company Yapi VE Kredi Bankasi A.S. has been attributed to the non-current assets and asset disposal groups and deconsolidated thereafter following the loss of significant influence (for further details refer to Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70, 7.1 Equity investments: information on shareholders’ equity). As regards the data for asset relating to discontinued operations, and associated liabilities, the figure as at 31 December 2021 refers to the controlled company OT-Optima Telekom (Croatia). For further details refer to Notes to the concolidated accounts, Part A - Accounting policies, Section 4 - Subsequent events. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 245 11.7 Deferred tax liabilities: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 379 373 2. Increases 852 831 2.1 Deferred tax liabilities arisen during the year 92 112 a) Relating to previous years 4 - b) Due to change in accounting criteria - - c) Other 88 112 2.2 New taxes or increase in tax rates - 12 2.3 Other increases 760 707 3. Decreases 871 825 3.1 Deferred tax liabilities derecognised during the year 291 52 a) Reversal of temporary differences 114 51 b) Due to change in accounting criteria - - c) Other 177 1 3.2 Reduction in tax rates - - 3.3 Other decreases 580 773 4. Closing balance 360 379 The sub-items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. 11.8 Other informations Referring to financial year 2020, UniCredit S.p.A. and UniCredit Leasing S.p.A. registered a loss in their separate financial statements and in 2021 they converted respectively €383.7 and €26.4 million of Deferred Tax Assets (DTA) into tax credits (pursuant to Art.2, paragraph 55, of Law Decree No.225/2010). Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities) Non-current assets or groups of assets and directly connected liabilities, which constitute a set of cash flow generating assets, the sale of which is highly likely, are recognised under these items. They are measured at the lower value between the book value and the fair value less costs to sell according to IFRS5. In the balance sheet as at 31 December 2021, compared with 31 December 2020, the main variations are referred to: (i) the inclusion of the controlled companies UniCredit Leasing S.p.A. and its subsidiary, Uctam SVK S.R.O., UniCredit Leasing GMBH and its subsidiaries and UniCredit Leasing, Leasing, D.O.O.; (ii) the sale of the companies of Sia UniCredit Leasing group; (iii) the inclusion of the loans related to sale initiatives of portfolios, mainly in UniCredit S.p.A. It should be noted that the reclassification of Leasing companies has generated a negative profit and loss impact for -€554 million, mainly attributable to item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. During the year the assets and liabilities of DC Bank AG group companies were reclassified from Held for Sale back to the proper items. Furthermore, it should be noted that during the fourth quarter the associated company Yapi VE Kredi Bankasi A.S. has been attributed to the non-current assets and asset disposal groups and deconsolidated thereafter following the loss of significant influence (for further details refer to Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70, 7.1 Equity investments: information on shareholders’ equity). As regards the data for asset relating to discontinued operations, and associated liabilities, the figure as at 31 December 2021 refers to the controlled company OT-Optima Telekom (Croatia). For further details refer to Notes to the concolidated accounts, Part A - Accounting policies, Section 4 - Subsequent events. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 245 11.7 Deferred tax liabilities: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 379 373 2. Increases 852 831 2.1 Deferred tax liabilities arisen during the year 92 112 a) Relating to previous years 4 - b) Due to change in accounting criteria - - c) Other 88 112 2.2 New taxes or increase in tax rates - 12 2.3 Other increases 760 707 3. Decreases 871 825 3.1 Deferred tax liabilities derecognised during the year 291 52 a) Reversal of temporary differences 114 51 b) Due to change in accounting criteria - - c) Other 177 1 3.2 Reduction in tax rates - - 3.3 Other decreases 580 773 4. Closing balance 360 379 The sub-items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. 11.8 Other informations Referring to financial year 2020, UniCredit S.p.A. and UniCredit Leasing S.p.A. registered a loss in their separate financial statements and in 2021 they converted respectively €383.7 and €26.4 million of Deferred Tax Assets (DTA) into tax credits (pursuant to Art.2, paragraph 55, of Law Decree No.225/2010). Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities) Non-current assets or groups of assets and directly connected liabilities, which constitute a set of cash flow generating assets, the sale of which is highly likely, are recognised under these items. They are measured at the lower value between the book value and the fair value less costs to sell according to IFRS5. In the balance sheet as at 31 December 2021, compared with 31 December 2020, the main variations are referred to: (i) the inclusion of the controlled companies UniCredit Leasing S.p.A. and its subsidiary, Uctam SVK S.R.O., UniCredit Leasing GMBH and its subsidiaries and UniCredit Leasing, Leasing, D.O.O.; (ii) the sale of the companies of Sia UniCredit Leasing group; (iii) the inclusion of the loans related to sale initiatives of portfolios, mainly in UniCredit S.p.A. It should be noted that the reclassification of Leasing companies has generated a negative profit and loss impact for -€554 million, mainly attributable to item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. During the year the assets and liabilities of DC Bank AG group companies were reclassified from Held for Sale back to the proper items. Furthermore, it should be noted that during the fourth quarter the associated company Yapi VE Kredi Bankasi A.S. has been attributed to the non-current assets and asset disposal groups and deconsolidated thereafter following the loss of significant influence (for further details refer to Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70, 7.1 Equity investments: information on shareholders’ equity). As regards the data for asset relating to discontinued operations, and associated liabilities, the figure as at 31 December 2021 refers to the controlled company OT-Optima Telekom (Croatia). For further details refer to Notes to the concolidated accounts, Part A - Accounting policies, Section 4 - Subsequent events. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 245 11.7 Deferred tax liabilities: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 379 373 2. Increases 852 831 2.1 Deferred tax liabilities arisen during the year 92 112 a) Relating to previous years 4 - b) Due to change in accounting criteria - - c) Other 88 112 2.2 New taxes or increase in tax rates - 12 2.3 Other increases 760 707 3. Decreases 871 825 3.1 Deferred tax liabilities derecognised during the year 291 52 a) Reversal of temporary differences 114 51 b) Due to change in accounting criteria - - c) Other 177 1 3.2 Reduction in tax rates - - 3.3 Other decreases 580 773 4. Closing balance 360 379 The sub-items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. 11.8 Other informations Referring to financial year 2020, UniCredit S.p.A. and UniCredit Leasing S.p.A. registered a loss in their separate financial statements and in 2021 they converted respectively €383.7 and €26.4 million of Deferred Tax Assets (DTA) into tax credits (pursuant to Art.2, paragraph 55, of Law Decree No.225/2010). Section 12 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities) Non-current assets or groups of assets and directly connected liabilities, which constitute a set of cash flow generating assets, the sale of which is highly likely, are recognised under these items. They are measured at the lower value between the book value and the fair value less costs to sell according to IFRS5. In the balance sheet as at 31 December 2021, compared with 31 December 2020, the main variations are referred to: (i) the inclusion of the controlled companies UniCredit Leasing S.p.A. and its subsidiary, Uctam SVK S.R.O., UniCredit Leasing GMBH and its subsidiaries and UniCredit Leasing, Leasing, D.O.O.; (ii) the sale of the companies of Sia UniCredit Leasing group; (iii) the inclusion of the loans related to sale initiatives of portfolios, mainly in UniCredit S.p.A. It should be noted that the reclassification of Leasing companies has generated a negative profit and loss impact for -€554 million, mainly attributable to item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”. During the year the assets and liabilities of DC Bank AG group companies were reclassified from Held for Sale back to the proper items. Furthermore, it should be noted that during the fourth quarter the associated company Yapi VE Kredi Bankasi A.S. has been attributed to the non-current assets and asset disposal groups and deconsolidated thereafter following the loss of significant influence (for further details refer to Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70, 7.1 Equity investments: information on shareholders’ equity). As regards the data for asset relating to discontinued operations, and associated liabilities, the figure as at 31 December 2021 refers to the controlled company OT-Optima Telekom (Croatia). For further details refer to Notes to the concolidated accounts, Part A - Accounting policies, Section 4 - Subsequent events. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 246 2021 Annual Report and Accounts · UniCredit 12.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Assets held for sale A.1 Financial assets 12,873 1,499 A.2 Equity investments 16 16 A.3 Property, plant and equipment 870 427 of which: obtained by the enforcement of collateral 527 34 A.4 Intangible assets 26 12 A.5 Other non-current assets 431 58 Total (A) 14,216 2,012 of which: carried at cost 1,528 233 of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 40 912 of which: designated at fair value - level 3 12,648 867 B. Discontinued operations B.1 Financial assets at fair value through profit or loss - - - Financial assets held for trading - - - Financial assets designated at fair value - - - Other financial assets mandatorily at fair value - - B.2 Financial assets at fair value through other comprehensive income - - B.3 Financial assets at amortised cost - - B.4 Equity investments - - B.5 Property, plant and equipment - - of which: obtained by the enforcement of collateral - - B.6 Intangible assets 13 - B.7 Other assets 58 5 Total (B) 71 5 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 71 - of which: designated at fair value - level 3 - 5 C. Liabilities associated with assets classified as held for sale C.1 Deposits 1,551 503 C.2 Securities - - C.3 Other liabilities 544 245 Total (C) 2,095 748 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - 95 of which: designated at fair value - level 3 2,095 653 D. Liabilities associated with discontinued operations D.1 Financial liabilities at amortised cost - - D.2 Financial liabilities held for trading - - D.3 Financial liabilities designated at fair value - - D.4 Provisions - - D.5 Other liabilities 54 13 Total (D) 54 13 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 54 - of which: designated at fair value - level 3 - 13 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 246 2021 Annual Report and Accounts · UniCredit 12.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Assets held for sale A.1 Financial assets 12,873 1,499 A.2 Equity investments 16 16 A.3 Property, plant and equipment 870 427 of which: obtained by the enforcement of collateral 527 34 A.4 Intangible assets 26 12 A.5 Other non-current assets 431 58 Total (A) 14,216 2,012 of which: carried at cost 1,528 233 of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 40 912 of which: designated at fair value - level 3 12,648 867 B. Discontinued operations B.1 Financial assets at fair value through profit or loss - - - Financial assets held for trading - - - Financial assets designated at fair value - - - Other financial assets mandatorily at fair value - - B.2 Financial assets at fair value through other comprehensive income - - B.3 Financial assets at amortised cost - - B.4 Equity investments - - B.5 Property, plant and equipment - - of which: obtained by the enforcement of collateral - - B.6 Intangible assets 13 - B.7 Other assets 58 5 Total (B) 71 5 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 71 - of which: designated at fair value - level 3 - 5 C. Liabilities associated with assets classified as held for sale C.1 Deposits 1,551 503 C.2 Securities - - C.3 Other liabilities 544 245 Total (C) 2,095 748 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - 95 of which: designated at fair value - level 3 2,095 653 D. Liabilities associated with discontinued operations D.1 Financial liabilities at amortised cost - - D.2 Financial liabilities held for trading - - D.3 Financial liabilities designated at fair value - - D.4 Provisions - - D.5 Other liabilities 54 13 Total (D) 54 13 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 54 - of which: designated at fair value - level 3 - 13 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 246 2021 Annual Report and Accounts · UniCredit 12.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Assets held for sale A.1 Financial assets 12,873 1,499 A.2 Equity investments 16 16 A.3 Property, plant and equipment 870 427 of which: obtained by the enforcement of collateral 527 34 A.4 Intangible assets 26 12 A.5 Other non-current assets 431 58 Total (A) 14,216 2,012 of which: carried at cost 1,528 233 of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 40 912 of which: designated at fair value - level 3 12,648 867 B. Discontinued operations B.1 Financial assets at fair value through profit or loss - - - Financial assets held for trading - - - Financial assets designated at fair value - - - Other financial assets mandatorily at fair value - - B.2 Financial assets at fair value through other comprehensive income - - B.3 Financial assets at amortised cost - - B.4 Equity investments - - B.5 Property, plant and equipment - - of which: obtained by the enforcement of collateral - - B.6 Intangible assets 13 - B.7 Other assets 58 5 Total (B) 71 5 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 71 - of which: designated at fair value - level 3 - 5 C. Liabilities associated with assets classified as held for sale C.1 Deposits 1,551 503 C.2 Securities - - C.3 Other liabilities 544 245 Total (C) 2,095 748 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - 95 of which: designated at fair value - level 3 2,095 653 D. Liabilities associated with discontinued operations D.1 Financial liabilities at amortised cost - - D.2 Financial liabilities held for trading - - D.3 Financial liabilities designated at fair value - - D.4 Provisions - - D.5 Other liabilities 54 13 Total (D) 54 13 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 54 - of which: designated at fair value - level 3 - 13 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 246 2021 Annual Report and Accounts · UniCredit 12.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Assets held for sale A.1 Financial assets 12,873 1,499 A.2 Equity investments 16 16 A.3 Property, plant and equipment 870 427 of which: obtained by the enforcement of collateral 527 34 A.4 Intangible assets 26 12 A.5 Other non-current assets 431 58 Total (A) 14,216 2,012 of which: carried at cost 1,528 233 of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 40 912 of which: designated at fair value - level 3 12,648 867 B. Discontinued operations B.1 Financial assets at fair value through profit or loss - - - Financial assets held for trading - - - Financial assets designated at fair value - - - Other financial assets mandatorily at fair value - - B.2 Financial assets at fair value through other comprehensive income - - B.3 Financial assets at amortised cost - - B.4 Equity investments - - B.5 Property, plant and equipment - - of which: obtained by the enforcement of collateral - - B.6 Intangible assets 13 - B.7 Other assets 58 5 Total (B) 71 5 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 71 - of which: designated at fair value - level 3 - 5 C. Liabilities associated with assets classified as held for sale C.1 Deposits 1,551 503 C.2 Securities - - C.3 Other liabilities 544 245 Total (C) 2,095 748 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - 95 of which: designated at fair value - level 3 2,095 653 D. Liabilities associated with discontinued operations D.1 Financial liabilities at amortised cost - - D.2 Financial liabilities held for trading - - D.3 Financial liabilities designated at fair value - - D.4 Provisions - - D.5 Other liabilities 54 13 Total (D) 54 13 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 54 - of which: designated at fair value - level 3 - 13 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 246 2021 Annual Report and Accounts · UniCredit 12.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Assets held for sale A.1 Financial assets 12,873 1,499 A.2 Equity investments 16 16 A.3 Property, plant and equipment 870 427 of which: obtained by the enforcement of collateral 527 34 A.4 Intangible assets 26 12 A.5 Other non-current assets 431 58 Total (A) 14,216 2,012 of which: carried at cost 1,528 233 of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 40 912 of which: designated at fair value - level 3 12,648 867 B. Discontinued operations B.1 Financial assets at fair value through profit or loss - - - Financial assets held for trading - - - Financial assets designated at fair value - - - Other financial assets mandatorily at fair value - - B.2 Financial assets at fair value through other comprehensive income - - B.3 Financial assets at amortised cost - - B.4 Equity investments - - B.5 Property, plant and equipment - - of which: obtained by the enforcement of collateral - - B.6 Intangible assets 13 - B.7 Other assets 58 5 Total (B) 71 5 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 71 - of which: designated at fair value - level 3 - 5 C. Liabilities associated with assets classified as held for sale C.1 Deposits 1,551 503 C.2 Securities - - C.3 Other liabilities 544 245 Total (C) 2,095 748 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - 95 of which: designated at fair value - level 3 2,095 653 D. Liabilities associated with discontinued operations D.1 Financial liabilities at amortised cost - - D.2 Financial liabilities held for trading - - D.3 Financial liabilities designated at fair value - - D.4 Provisions - - D.5 Other liabilities 54 13 Total (D) 54 13 of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 54 - of which: designated at fair value - level 3 - 13 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 247 Fair value measurements, made for disclosure purposes only, are classified into a fair value hierarchy that reflects the significance of inputs used in the valuations. For further information see Part A - Accounting policies - A.4 Information on fair value. As at 31 December 2021 the financial assets classified as non-current assets and disposal groups classified as held for sale included in stage 2 and stage 3 are equal to €5,221 million and €663 million respectively. 12.2 Other information There is no significant information to be reported. Section 13 - Other assets - Item 130 13.1 Other assets: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Margin with derivatives clearers (non-interest bearing) - - Gold, silver and precious metals 127 107 Accrued income and prepaid expenses other than capitalised income 508 518 Positive value of management agreements (so-called servicing assets) - 2 Cash and other valuables held by cashier 125 127 - Current account cheques being settled, drawn on third parties 125 127 - Current account cheques payable by group banks, cleared and in the process of being debited - - - Money orders, bank drafts and equivalent securities - - - Coupons, securities due on demand, revenue stamps and miscellaneous valuables - - Interest and changes to be debited to 214 205 - Customers 208 200 - Banks 6 5 Items in transit between branches not yet allocated to destination accounts 10 - Items in processing 337 448 Items deemed definitive but not-attributable to other items 2,862 2,520 - Securities and coupons to be settled 65 50 - Other transactions 2,797 2,470 Adjustments for unpaid bills and notes 66 36 Tax items other than those included in item 110 2,013 1,438 Commercial credits pursuant to IFRS15 50 58 Other items 919 1,014 Total 7,231 6,473 It should be noted that, as at 31 December 2021, into the item "Gold, silver and precious metals" are recognized the precious stones (diamonds), for a homogeneous comparison the corresponding figures at 31 December 2020, previously classified under the item "Other items", have been restated. Referring to item “Commercial credits pursuant to IFRS15” figure at 31 December 2020, previously classified under the item "Other items", has been restated. Item “Accrued income and prepaid expenses other than capitalised income” includes the contract assets recognised in accordance with IFRS15. In this context accrued income represents the portion of the performance obligation already satisfied through the services provided by the Group and that will be settled in the future periods in accordance with contractual provisions. The aggregate amount of revenues from services to customers related to the portion of performance obligations not yet satisfied, and therefore not represented in the table above, is equal to €5.4 million. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. It should be noted that during the period there have not been significant changes in the accrued income and prepaid expenses not included in the carrying amount of the relevant financial assets. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 247 Fair value measurements, made for disclosure purposes only, are classified into a fair value hierarchy that reflects the significance of inputs used in the valuations. For further information see Part A - Accounting policies - A.4 Information on fair value. As at 31 December 2021 the financial assets classified as non-current assets and disposal groups classified as held for sale included in stage 2 and stage 3 are equal to €5,221 million and €663 million respectively. 12.2 Other information There is no significant information to be reported. Section 13 - Other assets - Item 130 13.1 Other assets: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Margin with derivatives clearers (non-interest bearing) - - Gold, silver and precious metals 127 107 Accrued income and prepaid expenses other than capitalised income 508 518 Positive value of management agreements (so-called servicing assets) - 2 Cash and other valuables held by cashier 125 127 - Current account cheques being settled, drawn on third parties 125 127 - Current account cheques payable by group banks, cleared and in the process of being debited - - - Money orders, bank drafts and equivalent securities - - - Coupons, securities due on demand, revenue stamps and miscellaneous valuables - - Interest and changes to be debited to 214 205 - Customers 208 200 - Banks 6 5 Items in transit between branches not yet allocated to destination accounts 10 - Items in processing 337 448 Items deemed definitive but not-attributable to other items 2,862 2,520 - Securities and coupons to be settled 65 50 - Other transactions 2,797 2,470 Adjustments for unpaid bills and notes 66 36 Tax items other than those included in item 110 2,013 1,438 Commercial credits pursuant to IFRS15 50 58 Other items 919 1,014 Total 7,231 6,473 It should be noted that, as at 31 December 2021, into the item "Gold, silver and precious metals" are recognized the precious stones (diamonds), for a homogeneous comparison the corresponding figures at 31 December 2020, previously classified under the item "Other items", have been restated. Referring to item “Commercial credits pursuant to IFRS15” figure at 31 December 2020, previously classified under the item "Other items", has been restated. Item “Accrued income and prepaid expenses other than capitalised income” includes the contract assets recognised in accordance with IFRS15. In this context accrued income represents the portion of the performance obligation already satisfied through the services provided by the Group and that will be settled in the future periods in accordance with contractual provisions. The aggregate amount of revenues from services to customers related to the portion of performance obligations not yet satisfied, and therefore not represented in the table above, is equal to €5.4 million. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. It should be noted that during the period there have not been significant changes in the accrued income and prepaid expenses not included in the carrying amount of the relevant financial assets. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 247 Fair value measurements, made for disclosure purposes only, are classified into a fair value hierarchy that reflects the significance of inputs used in the valuations. For further information see Part A - Accounting policies - A.4 Information on fair value. As at 31 December 2021 the financial assets classified as non-current assets and disposal groups classified as held for sale included in stage 2 and stage 3 are equal to €5,221 million and €663 million respectively. 12.2 Other information There is no significant information to be reported. Section 13 - Other assets - Item 130 13.1 Other assets: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Margin with derivatives clearers (non-interest bearing) - - Gold, silver and precious metals 127 107 Accrued income and prepaid expenses other than capitalised income 508 518 Positive value of management agreements (so-called servicing assets) - 2 Cash and other valuables held by cashier 125 127 - Current account cheques being settled, drawn on third parties 125 127 - Current account cheques payable by group banks, cleared and in the process of being debited - - - Money orders, bank drafts and equivalent securities - - - Coupons, securities due on demand, revenue stamps and miscellaneous valuables - - Interest and changes to be debited to 214 205 - Customers 208 200 - Banks 6 5 Items in transit between branches not yet allocated to destination accounts 10 - Items in processing 337 448 Items deemed definitive but not-attributable to other items 2,862 2,520 - Securities and coupons to be settled 65 50 - Other transactions 2,797 2,470 Adjustments for unpaid bills and notes 66 36 Tax items other than those included in item 110 2,013 1,438 Commercial credits pursuant to IFRS15 50 58 Other items 919 1,014 Total 7,231 6,473 It should be noted that, as at 31 December 2021, into the item "Gold, silver and precious metals" are recognized the precious stones (diamonds), for a homogeneous comparison the corresponding figures at 31 December 2020, previously classified under the item "Other items", have been restated. Referring to item “Commercial credits pursuant to IFRS15” figure at 31 December 2020, previously classified under the item "Other items", has been restated. Item “Accrued income and prepaid expenses other than capitalised income” includes the contract assets recognised in accordance with IFRS15. In this context accrued income represents the portion of the performance obligation already satisfied through the services provided by the Group and that will be settled in the future periods in accordance with contractual provisions. The aggregate amount of revenues from services to customers related to the portion of performance obligations not yet satisfied, and therefore not represented in the table above, is equal to €5.4 million. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. It should be noted that during the period there have not been significant changes in the accrued income and prepaid expenses not included in the carrying amount of the relevant financial assets. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 247 Fair value measurements, made for disclosure purposes only, are classified into a fair value hierarchy that reflects the significance of inputs used in the valuations. For further information see Part A - Accounting policies - A.4 Information on fair value. As at 31 December 2021 the financial assets classified as non-current assets and disposal groups classified as held for sale included in stage 2 and stage 3 are equal to €5,221 million and €663 million respectively. 12.2 Other information There is no significant information to be reported. Section 13 - Other assets - Item 130 13.1 Other assets: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Margin with derivatives clearers (non-interest bearing) - - Gold, silver and precious metals 127 107 Accrued income and prepaid expenses other than capitalised income 508 518 Positive value of management agreements (so-called servicing assets) - 2 Cash and other valuables held by cashier 125 127 - Current account cheques being settled, drawn on third parties 125 127 - Current account cheques payable by group banks, cleared and in the process of being debited - - - Money orders, bank drafts and equivalent securities - - - Coupons, securities due on demand, revenue stamps and miscellaneous valuables - - Interest and changes to be debited to 214 205 - Customers 208 200 - Banks 6 5 Items in transit between branches not yet allocated to destination accounts 10 - Items in processing 337 448 Items deemed definitive but not-attributable to other items 2,862 2,520 - Securities and coupons to be settled 65 50 - Other transactions 2,797 2,470 Adjustments for unpaid bills and notes 66 36 Tax items other than those included in item 110 2,013 1,438 Commercial credits pursuant to IFRS15 50 58 Other items 919 1,014 Total 7,231 6,473 It should be noted that, as at 31 December 2021, into the item "Gold, silver and precious metals" are recognized the precious stones (diamonds), for a homogeneous comparison the corresponding figures at 31 December 2020, previously classified under the item "Other items", have been restated. Referring to item “Commercial credits pursuant to IFRS15” figure at 31 December 2020, previously classified under the item "Other items", has been restated. Item “Accrued income and prepaid expenses other than capitalised income” includes the contract assets recognised in accordance with IFRS15. In this context accrued income represents the portion of the performance obligation already satisfied through the services provided by the Group and that will be settled in the future periods in accordance with contractual provisions. The aggregate amount of revenues from services to customers related to the portion of performance obligations not yet satisfied, and therefore not represented in the table above, is equal to €5.4 million. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. It should be noted that during the period there have not been significant changes in the accrued income and prepaid expenses not included in the carrying amount of the relevant financial assets. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 247 Fair value measurements, made for disclosure purposes only, are classified into a fair value hierarchy that reflects the significance of inputs used in the valuations. For further information see Part A - Accounting policies - A.4 Information on fair value. As at 31 December 2021 the financial assets classified as non-current assets and disposal groups classified as held for sale included in stage 2 and stage 3 are equal to €5,221 million and €663 million respectively. 12.2 Other information There is no significant information to be reported. Section 13 - Other assets - Item 130 13.1 Other assets: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Margin with derivatives clearers (non-interest bearing) - - Gold, silver and precious metals 127 107 Accrued income and prepaid expenses other than capitalised income 508 518 Positive value of management agreements (so-called servicing assets) - 2 Cash and other valuables held by cashier 125 127 - Current account cheques being settled, drawn on third parties 125 127 - Current account cheques payable by group banks, cleared and in the process of being debited - - - Money orders, bank drafts and equivalent securities - - - Coupons, securities due on demand, revenue stamps and miscellaneous valuables - - Interest and changes to be debited to 214 205 - Customers 208 200 - Banks 6 5 Items in transit between branches not yet allocated to destination accounts 10 - Items in processing 337 448 Items deemed definitive but not-attributable to other items 2,862 2,520 - Securities and coupons to be settled 65 50 - Other transactions 2,797 2,470 Adjustments for unpaid bills and notes 66 36 Tax items other than those included in item 110 2,013 1,438 Commercial credits pursuant to IFRS15 50 58 Other items 919 1,014 Total 7,231 6,473 It should be noted that, as at 31 December 2021, into the item "Gold, silver and precious metals" are recognized the precious stones (diamonds), for a homogeneous comparison the corresponding figures at 31 December 2020, previously classified under the item "Other items", have been restated. Referring to item “Commercial credits pursuant to IFRS15” figure at 31 December 2020, previously classified under the item "Other items", has been restated. Item “Accrued income and prepaid expenses other than capitalised income” includes the contract assets recognised in accordance with IFRS15. In this context accrued income represents the portion of the performance obligation already satisfied through the services provided by the Group and that will be settled in the future periods in accordance with contractual provisions. The aggregate amount of revenues from services to customers related to the portion of performance obligations not yet satisfied, and therefore not represented in the table above, is equal to €5.4 million. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. It should be noted that during the period there have not been significant changes in the accrued income and prepaid expenses not included in the carrying amount of the relevant financial assets. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 248 2021 Annual Report and Accounts · UniCredit Periodic change of accrued income/expenses and prepaid expenses/income (€ million) AMOUNTS AS AT 12.31.2021 ACCRUED INCOME AND PREPAID EXPENSES ACCRUED EXPENSES AND DEFERRED INCOME Opening balance 518 561 Increases 100 104 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) 14 24 c) Reversal of impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - 1 e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 86 79 Decreases 110 163 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) 14 23 c) Impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) 3 1 e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 93 139 Closing balance 508 502 Note that the item “f) other” include (i) the deferral of income and expenses related to performance obligation that have already been paid but not yet satisfied as well as the recognition in P&L of the amount previously deferred in accordance with the progressive satisfaction of the performance obligation and (ii) the accrual in P&L of the amounts due as a result of the satisfaction of a performance obligation for which the payment is contractually postponed as well as their subsequent settlement. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 248 2021 Annual Report and Accounts · UniCredit Periodic change of accrued income/expenses and prepaid expenses/income (€ million) AMOUNTS AS AT 12.31.2021 ACCRUED INCOME AND PREPAID EXPENSES ACCRUED EXPENSES AND DEFERRED INCOME Opening balance 518 561 Increases 100 104 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) 14 24 c) Reversal of impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - 1 e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 86 79 Decreases 110 163 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) 14 23 c) Impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) 3 1 e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 93 139 Closing balance 508 502 Note that the item “f) other” include (i) the deferral of income and expenses related to performance obligation that have already been paid but not yet satisfied as well as the recognition in P&L of the amount previously deferred in accordance with the progressive satisfaction of the performance obligation and (ii) the accrual in P&L of the amounts due as a result of the satisfaction of a performance obligation for which the payment is contractually postponed as well as their subsequent settlement. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 248 2021 Annual Report and Accounts · UniCredit Periodic change of accrued income/expenses and prepaid expenses/income (€ million) AMOUNTS AS AT 12.31.2021 ACCRUED INCOME AND PREPAID EXPENSES ACCRUED EXPENSES AND DEFERRED INCOME Opening balance 518 561 Increases 100 104 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) 14 24 c) Reversal of impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - 1 e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 86 79 Decreases 110 163 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) 14 23 c) Impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) 3 1 e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 93 139 Closing balance 508 502 Note that the item “f) other” include (i) the deferral of income and expenses related to performance obligation that have already been paid but not yet satisfied as well as the recognition in P&L of the amount previously deferred in accordance with the progressive satisfaction of the performance obligation and (ii) the accrual in P&L of the amounts due as a result of the satisfaction of a performance obligation for which the payment is contractually postponed as well as their subsequent settlement. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 248 2021 Annual Report and Accounts · UniCredit Periodic change of accrued income/expenses and prepaid expenses/income (€ million) AMOUNTS AS AT 12.31.2021 ACCRUED INCOME AND PREPAID EXPENSES ACCRUED EXPENSES AND DEFERRED INCOME Opening balance 518 561 Increases 100 104 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) 14 24 c) Reversal of impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - 1 e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 86 79 Decreases 110 163 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) 14 23 c) Impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) 3 1 e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 93 139 Closing balance 508 502 Note that the item “f) other” include (i) the deferral of income and expenses related to performance obligation that have already been paid but not yet satisfied as well as the recognition in P&L of the amount previously deferred in accordance with the progressive satisfaction of the performance obligation and (ii) the accrual in P&L of the amounts due as a result of the satisfaction of a performance obligation for which the payment is contractually postponed as well as their subsequent settlement. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets 248 2021 Annual Report and Accounts · UniCredit Periodic change of accrued income/expenses and prepaid expenses/income (€ million) AMOUNTS AS AT 12.31.2021 ACCRUED INCOME AND PREPAID EXPENSES ACCRUED EXPENSES AND DEFERRED INCOME Opening balance 518 561 Increases 100 104 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) 14 24 c) Reversal of impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - 1 e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 86 79 Decreases 110 163 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) 14 23 c) Impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) 3 1 e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 93 139 Closing balance 508 502 Note that the item “f) other” include (i) the deferral of income and expenses related to performance obligation that have already been paid but not yet satisfied as well as the recognition in P&L of the amount previously deferred in accordance with the progressive satisfaction of the performance obligation and (ii) the accrual in P&L of the amounts due as a result of the satisfaction of a performance obligation for which the payment is contractually postponed as well as their subsequent settlement. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 249 Liabilities Section 1 - Financial liabilities at amortised cost - Item 10 1.1 Financial liabilities at amortised cost: breakdown by product of deposits from banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from central banks 108,868 X X X 98,388 X X X 2. Deposits from banks 53,703 X X X 74,085 X X X 2.1 Current accounts and demand deposits 10,950 X X X 11,336 X X X 2.2 Time deposits 10,993 X X X 14,701 X X X 2.3 Loans 31,156 X X X 46,787 X X X 2.3.1 Repos 14,444 X X X 30,076 X X X 2.3.2 Other 16,712 X X X 16,711 X X X 2.4 Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 2.5 Lease deposits 10 X X X 8 X X X 2.6 Other deposits 594 X X X 1,253 X X X Total 162,571 - 140,935 21,674 172,473 1 89,916 82,851 Total Level 1, Level 2 and Level 3 162,609 172,768 The sub-item “2.3 Loans” includes repos executed using proprietary securities issued by Group companies, which were eliminated from assets on consolidation. The same sub-item do not include the type of bond lending transactions collateralised by securities or not collateralised. Refer also to the paragraph “Other information”, Notes to the consolidated accounts, Part B - Consolidated balance sheet. Deposits from banks are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model, mostly at UniCredit S.p.A. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. 1.2 Financial liabilities at amortised cost: breakdown by product of deposits from customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTION/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Current accounts and demand deposits 420,060 X X X 395,632 X X X 2. Time deposits 50,104 X X X 57,347 X X X 3. Loans 26,148 X X X 41,085 X X X 3.1 Repos 23,743 X X X 38,496 X X X 3.2 Other 2,405 X X X 2,589 X X X 4. Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 5. Lease deposits 2,050 X X X 2,310 X X X 6. Other deposits 4,192 X X X 4,376 X X X Total 502,554 - 168,502 334,181 500,750 4 192,049 309,509 Total Level 1, Level 2 and Level 3 502,683 501,562 The item “3. Loans” also include liabilities relating to repos executed using proprietary securities issued by Group companies, which were eliminated from assets on consolidation; the same sub-item do not include the type of bond lending transactions collateralised by securities or not collateralised. For further information refer to the paragraph “Other information”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 249 Liabilities Section 1 - Financial liabilities at amortised cost - Item 10 1.1 Financial liabilities at amortised cost: breakdown by product of deposits from banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from central banks 108,868 X X X 98,388 X X X 2. Deposits from banks 53,703 X X X 74,085 X X X 2.1 Current accounts and demand deposits 10,950 X X X 11,336 X X X 2.2 Time deposits 10,993 X X X 14,701 X X X 2.3 Loans 31,156 X X X 46,787 X X X 2.3.1 Repos 14,444 X X X 30,076 X X X 2.3.2 Other 16,712 X X X 16,711 X X X 2.4 Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 2.5 Lease deposits 10 X X X 8 X X X 2.6 Other deposits 594 X X X 1,253 X X X Total 162,571 - 140,935 21,674 172,473 1 89,916 82,851 Total Level 1, Level 2 and Level 3 162,609 172,768 The sub-item “2.3 Loans” includes repos executed using proprietary securities issued by Group companies, which were eliminated from assets on consolidation. The same sub-item do not include the type of bond lending transactions collateralised by securities or not collateralised. Refer also to the paragraph “Other information”, Notes to the consolidated accounts, Part B - Consolidated balance sheet. Deposits from banks are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model, mostly at UniCredit S.p.A. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. 1.2 Financial liabilities at amortised cost: breakdown by product of deposits from customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTION/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Current accounts and demand deposits 420,060 X X X 395,632 X X X 2. Time deposits 50,104 X X X 57,347 X X X 3. Loans 26,148 X X X 41,085 X X X 3.1 Repos 23,743 X X X 38,496 X X X 3.2 Other 2,405 X X X 2,589 X X X 4. Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 5. Lease deposits 2,050 X X X 2,310 X X X 6. Other deposits 4,192 X X X 4,376 X X X Total 502,554 - 168,502 334,181 500,750 4 192,049 309,509 Total Level 1, Level 2 and Level 3 502,683 501,562 The item “3. Loans” also include liabilities relating to repos executed using proprietary securities issued by Group companies, which were eliminated from assets on consolidation; the same sub-item do not include the type of bond lending transactions collateralised by securities or not collateralised. For further information refer to the paragraph “Other information”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 249 Liabilities Section 1 - Financial liabilities at amortised cost - Item 10 1.1 Financial liabilities at amortised cost: breakdown by product of deposits from banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from central banks 108,868 X X X 98,388 X X X 2. Deposits from banks 53,703 X X X 74,085 X X X 2.1 Current accounts and demand deposits 10,950 X X X 11,336 X X X 2.2 Time deposits 10,993 X X X 14,701 X X X 2.3 Loans 31,156 X X X 46,787 X X X 2.3.1 Repos 14,444 X X X 30,076 X X X 2.3.2 Other 16,712 X X X 16,711 X X X 2.4 Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 2.5 Lease deposits 10 X X X 8 X X X 2.6 Other deposits 594 X X X 1,253 X X X Total 162,571 - 140,935 21,674 172,473 1 89,916 82,851 Total Level 1, Level 2 and Level 3 162,609 172,768 The sub-item “2.3 Loans” includes repos executed using proprietary securities issued by Group companies, which were eliminated from assets on consolidation. The same sub-item do not include the type of bond lending transactions collateralised by securities or not collateralised. Refer also to the paragraph “Other information”, Notes to the consolidated accounts, Part B - Consolidated balance sheet. Deposits from banks are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model, mostly at UniCredit S.p.A. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. 1.2 Financial liabilities at amortised cost: breakdown by product of deposits from customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTION/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Current accounts and demand deposits 420,060 X X X 395,632 X X X 2. Time deposits 50,104 X X X 57,347 X X X 3. Loans 26,148 X X X 41,085 X X X 3.1 Repos 23,743 X X X 38,496 X X X 3.2 Other 2,405 X X X 2,589 X X X 4. Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 5. Lease deposits 2,050 X X X 2,310 X X X 6. Other deposits 4,192 X X X 4,376 X X X Total 502,554 - 168,502 334,181 500,750 4 192,049 309,509 Total Level 1, Level 2 and Level 3 502,683 501,562 The item “3. Loans” also include liabilities relating to repos executed using proprietary securities issued by Group companies, which were eliminated from assets on consolidation; the same sub-item do not include the type of bond lending transactions collateralised by securities or not collateralised. For further information refer to the paragraph “Other information”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 249 Liabilities Section 1 - Financial liabilities at amortised cost - Item 10 1.1 Financial liabilities at amortised cost: breakdown by product of deposits from banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from central banks 108,868 X X X 98,388 X X X 2. Deposits from banks 53,703 X X X 74,085 X X X 2.1 Current accounts and demand deposits 10,950 X X X 11,336 X X X 2.2 Time deposits 10,993 X X X 14,701 X X X 2.3 Loans 31,156 X X X 46,787 X X X 2.3.1 Repos 14,444 X X X 30,076 X X X 2.3.2 Other 16,712 X X X 16,711 X X X 2.4 Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 2.5 Lease deposits 10 X X X 8 X X X 2.6 Other deposits 594 X X X 1,253 X X X Total 162,571 - 140,935 21,674 172,473 1 89,916 82,851 Total Level 1, Level 2 and Level 3 162,609 172,768 The sub-item “2.3 Loans” includes repos executed using proprietary securities issued by Group companies, which were eliminated from assets on consolidation. The same sub-item do not include the type of bond lending transactions collateralised by securities or not collateralised. Refer also to the paragraph “Other information”, Notes to the consolidated accounts, Part B - Consolidated balance sheet. Deposits from banks are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model, mostly at UniCredit S.p.A. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. 1.2 Financial liabilities at amortised cost: breakdown by product of deposits from customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTION/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Current accounts and demand deposits 420,060 X X X 395,632 X X X 2. Time deposits 50,104 X X X 57,347 X X X 3. Loans 26,148 X X X 41,085 X X X 3.1 Repos 23,743 X X X 38,496 X X X 3.2 Other 2,405 X X X 2,589 X X X 4. Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 5. Lease deposits 2,050 X X X 2,310 X X X 6. Other deposits 4,192 X X X 4,376 X X X Total 502,554 - 168,502 334,181 500,750 4 192,049 309,509 Total Level 1, Level 2 and Level 3 502,683 501,562 The item “3. Loans” also include liabilities relating to repos executed using proprietary securities issued by Group companies, which were eliminated from assets on consolidation; the same sub-item do not include the type of bond lending transactions collateralised by securities or not collateralised. For further information refer to the paragraph “Other information”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 249 Liabilities Section 1 - Financial liabilities at amortised cost - Item 10 1.1 Financial liabilities at amortised cost: breakdown by product of deposits from banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from central banks 108,868 X X X 98,388 X X X 2. Deposits from banks 53,703 X X X 74,085 X X X 2.1 Current accounts and demand deposits 10,950 X X X 11,336 X X X 2.2 Time deposits 10,993 X X X 14,701 X X X 2.3 Loans 31,156 X X X 46,787 X X X 2.3.1 Repos 14,444 X X X 30,076 X X X 2.3.2 Other 16,712 X X X 16,711 X X X 2.4 Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 2.5 Lease deposits 10 X X X 8 X X X 2.6 Other deposits 594 X X X 1,253 X X X Total 162,571 - 140,935 21,674 172,473 1 89,916 82,851 Total Level 1, Level 2 and Level 3 162,609 172,768 The sub-item “2.3 Loans” includes repos executed using proprietary securities issued by Group companies, which were eliminated from assets on consolidation. The same sub-item do not include the type of bond lending transactions collateralised by securities or not collateralised. Refer also to the paragraph “Other information”, Notes to the consolidated accounts, Part B - Consolidated balance sheet. Deposits from banks are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model, mostly at UniCredit S.p.A. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. 1.2 Financial liabilities at amortised cost: breakdown by product of deposits from customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTION/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Current accounts and demand deposits 420,060 X X X 395,632 X X X 2. Time deposits 50,104 X X X 57,347 X X X 3. Loans 26,148 X X X 41,085 X X X 3.1 Repos 23,743 X X X 38,496 X X X 3.2 Other 2,405 X X X 2,589 X X X 4. Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 5. Lease deposits 2,050 X X X 2,310 X X X 6. Other deposits 4,192 X X X 4,376 X X X Total 502,554 - 168,502 334,181 500,750 4 192,049 309,509 Total Level 1, Level 2 and Level 3 502,683 501,562 The item “3. Loans” also include liabilities relating to repos executed using proprietary securities issued by Group companies, which were eliminated from assets on consolidation; the same sub-item do not include the type of bond lending transactions collateralised by securities or not collateralised. For further information refer to the paragraph “Other information”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 250 2021 Annual Report and Accounts · UniCredit Deposits from customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. For further information see the paragraph “A.4 - Information on fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting Policies. 1.3 Financial liabilities at amortised cost: breakdown by product of debt securities in issue (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF SECURITIES/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Debt securities 1. Bonds 86,093 50,787 26,199 12,946 86,604 49,664 30,186 11,801 1.1 Structured 1,147 134 855 164 1,147 - 969 195 1.2 Other 84,946 50,653 25,344 12,782 85,457 49,664 29,217 11,606 2. Other securities 9,805 - 71 9,738 15,920 - 2,725 13,210 2.1 Structured 47 - 51 - 61 - 68 - 2.2 Other 9,758 - 20 9,738 15,859 - 2,657 13,210 Total 95,898 50,787 26,270 22,684 102,524 49,664 32,911 25,011 Total Level 1, Level 2 and Level 3 99,741 107,586 Fair value measurements, solely for the purpose of fulfilling financial disclosure requirements, are classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the consolidated accounts, Part A - Accounting policies. The sum of the sub-items “1.1 Bonds - Structured” and “2.1 Other securities -structured” was equal to €1,194 million and accounted for 1.2% of total debt securities. They mainly refer to interest-rate linked instruments with closely related embedded derivatives identified, according to the classification rules of Mifid. The fair value of derivatives embedded in structured securities, presented in item 20 of Assets and item 20 of Liabilities and included in Trading derivatives - Others, amounted to a net balance of €18 million negative. 1.4 Breakdown of subordinated debts/securities (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks - - Deposits from customers 43 90 Debt securities 10,068 10,943 Total 10,111 11,033 1.5 Breakdown of structured debts (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks 2 2 Deposits from customers 17 20 Total 19 22 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 250 2021 Annual Report and Accounts · UniCredit Deposits from customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. For further information see the paragraph “A.4 - Information on fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting Policies. 1.3 Financial liabilities at amortised cost: breakdown by product of debt securities in issue (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF SECURITIES/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Debt securities 1. Bonds 86,093 50,787 26,199 12,946 86,604 49,664 30,186 11,801 1.1 Structured 1,147 134 855 164 1,147 - 969 195 1.2 Other 84,946 50,653 25,344 12,782 85,457 49,664 29,217 11,606 2. Other securities 9,805 - 71 9,738 15,920 - 2,725 13,210 2.1 Structured 47 - 51 - 61 - 68 - 2.2 Other 9,758 - 20 9,738 15,859 - 2,657 13,210 Total 95,898 50,787 26,270 22,684 102,524 49,664 32,911 25,011 Total Level 1, Level 2 and Level 3 99,741 107,586 Fair value measurements, solely for the purpose of fulfilling financial disclosure requirements, are classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the consolidated accounts, Part A - Accounting policies. The sum of the sub-items “1.1 Bonds - Structured” and “2.1 Other securities -structured” was equal to €1,194 million and accounted for 1.2% of total debt securities. They mainly refer to interest-rate linked instruments with closely related embedded derivatives identified, according to the classification rules of Mifid. The fair value of derivatives embedded in structured securities, presented in item 20 of Assets and item 20 of Liabilities and included in Trading derivatives - Others, amounted to a net balance of €18 million negative. 1.4 Breakdown of subordinated debts/securities (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks - - Deposits from customers 43 90 Debt securities 10,068 10,943 Total 10,111 11,033 1.5 Breakdown of structured debts (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks 2 2 Deposits from customers 17 20 Total 19 22 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 250 2021 Annual Report and Accounts · UniCredit Deposits from customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. For further information see the paragraph “A.4 - Information on fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting Policies. 1.3 Financial liabilities at amortised cost: breakdown by product of debt securities in issue (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF SECURITIES/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Debt securities 1. Bonds 86,093 50,787 26,199 12,946 86,604 49,664 30,186 11,801 1.1 Structured 1,147 134 855 164 1,147 - 969 195 1.2 Other 84,946 50,653 25,344 12,782 85,457 49,664 29,217 11,606 2. Other securities 9,805 - 71 9,738 15,920 - 2,725 13,210 2.1 Structured 47 - 51 - 61 - 68 - 2.2 Other 9,758 - 20 9,738 15,859 - 2,657 13,210 Total 95,898 50,787 26,270 22,684 102,524 49,664 32,911 25,011 Total Level 1, Level 2 and Level 3 99,741 107,586 Fair value measurements, solely for the purpose of fulfilling financial disclosure requirements, are classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the consolidated accounts, Part A - Accounting policies. The sum of the sub-items “1.1 Bonds - Structured” and “2.1 Other securities -structured” was equal to €1,194 million and accounted for 1.2% of total debt securities. They mainly refer to interest-rate linked instruments with closely related embedded derivatives identified, according to the classification rules of Mifid. The fair value of derivatives embedded in structured securities, presented in item 20 of Assets and item 20 of Liabilities and included in Trading derivatives - Others, amounted to a net balance of €18 million negative. 1.4 Breakdown of subordinated debts/securities (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks - - Deposits from customers 43 90 Debt securities 10,068 10,943 Total 10,111 11,033 1.5 Breakdown of structured debts (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks 2 2 Deposits from customers 17 20 Total 19 22 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 250 2021 Annual Report and Accounts · UniCredit Deposits from customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. For further information see the paragraph “A.4 - Information on fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting Policies. 1.3 Financial liabilities at amortised cost: breakdown by product of debt securities in issue (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF SECURITIES/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Debt securities 1. Bonds 86,093 50,787 26,199 12,946 86,604 49,664 30,186 11,801 1.1 Structured 1,147 134 855 164 1,147 - 969 195 1.2 Other 84,946 50,653 25,344 12,782 85,457 49,664 29,217 11,606 2. Other securities 9,805 - 71 9,738 15,920 - 2,725 13,210 2.1 Structured 47 - 51 - 61 - 68 - 2.2 Other 9,758 - 20 9,738 15,859 - 2,657 13,210 Total 95,898 50,787 26,270 22,684 102,524 49,664 32,911 25,011 Total Level 1, Level 2 and Level 3 99,741 107,586 Fair value measurements, solely for the purpose of fulfilling financial disclosure requirements, are classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the consolidated accounts, Part A - Accounting policies. The sum of the sub-items “1.1 Bonds - Structured” and “2.1 Other securities -structured” was equal to €1,194 million and accounted for 1.2% of total debt securities. They mainly refer to interest-rate linked instruments with closely related embedded derivatives identified, according to the classification rules of Mifid. The fair value of derivatives embedded in structured securities, presented in item 20 of Assets and item 20 of Liabilities and included in Trading derivatives - Others, amounted to a net balance of €18 million negative. 1.4 Breakdown of subordinated debts/securities (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks - - Deposits from customers 43 90 Debt securities 10,068 10,943 Total 10,111 11,033 1.5 Breakdown of structured debts (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks 2 2 Deposits from customers 17 20 Total 19 22 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 250 2021 Annual Report and Accounts · UniCredit Deposits from customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements are classified according to a three levels hierarchy that reflects the observability of the inputs used in the measurements. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. For further information see the paragraph “A.4 - Information on fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting Policies. 1.3 Financial liabilities at amortised cost: breakdown by product of debt securities in issue (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF SECURITIES/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Debt securities 1. Bonds 86,093 50,787 26,199 12,946 86,604 49,664 30,186 11,801 1.1 Structured 1,147 134 855 164 1,147 - 969 195 1.2 Other 84,946 50,653 25,344 12,782 85,457 49,664 29,217 11,606 2. Other securities 9,805 - 71 9,738 15,920 - 2,725 13,210 2.1 Structured 47 - 51 - 61 - 68 - 2.2 Other 9,758 - 20 9,738 15,859 - 2,657 13,210 Total 95,898 50,787 26,270 22,684 102,524 49,664 32,911 25,011 Total Level 1, Level 2 and Level 3 99,741 107,586 Fair value measurements, solely for the purpose of fulfilling financial disclosure requirements, are classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the consolidated accounts, Part A - Accounting policies. The sum of the sub-items “1.1 Bonds - Structured” and “2.1 Other securities -structured” was equal to €1,194 million and accounted for 1.2% of total debt securities. They mainly refer to interest-rate linked instruments with closely related embedded derivatives identified, according to the classification rules of Mifid. The fair value of derivatives embedded in structured securities, presented in item 20 of Assets and item 20 of Liabilities and included in Trading derivatives - Others, amounted to a net balance of €18 million negative. 1.4 Breakdown of subordinated debts/securities (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks - - Deposits from customers 43 90 Debt securities 10,068 10,943 Total 10,111 11,033 1.5 Breakdown of structured debts (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks 2 2 Deposits from customers 17 20 Total 19 22 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 251 1.6 Amounts payable under finance leases (€ million) TIME BUCKET 12.31.2021 12.31.2020 CASH OUTFLOWS CASH OUTFLOWS FINANCE LEASES OPERATING LEASES FINANCE LEASES OPERATING LEASES Up to 1 year 59 319 62 318 1 year to 2 years 57 294 60 306 2 year to 3 years 56 259 59 279 3 year to 4 years 47 219 57 246 4 year to 5 years 144 187 48 206 Over 5 years 196 408 322 565 Total Lease Payments to be made 559 1,686 608 1,920 RECONCILIATION WITH DEPOSITS Unearned finance expenses (-) (Discounting effect) 44 141 55 155 Lease deposits 515 1,545 553 1,765 It should be noted that table 1.6 Amounts payable under finance leases reports the maturity analysis based on time bucket of the lease liability as requested by IFRS16 and the concurrent Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). Section 2 - Financial liabilities held for trading - Item 20 2.1 Financial liabilities held for trading: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Cash liabilities 1. Deposits from banks - 662 179 90 931 250 333 339 14 686 2. Deposits from customers 2,272 7,745 2,347 87 10,178 2,259 5,738 2,321 103 8,163 3. Debt securities 3,290 - 3,028 360 3,382 2,905 - 2,797 298 3,092 3.1 Bonds 1,403 - 1,270 119 1,386 1,595 - 1,314 139 1,452 3.1.1 Structured 1,403 - 1,270 119 X 1,595 - 1,314 139 X 3.1.2 Other - - - - X - - - - X 3.2 Other securities 1,887 - 1,758 241 1,996 1,310 - 1,483 159 1,640 3.2.1 Structured 1,887 - 1,758 241 X 1,310 - 1,483 159 X 3.2.2 Other - - - - X - - - - X Total (A) 5,562 8,407 5,554 537 14,491 5,414 6,071 5,457 415 11,941 B. Derivatives instruments 1. Financial derivatives X 5,912 30,332 531 X X 4,670 30,557 326 X 1.1 Trading derivatives X 5,912 29,967 512 X X 4,670 30,367 305 X 1.2 Linked to fair value option X - 130 - X X - 85 - X 1.3 Other X - 235 19 X X - 105 21 X 2. Credit derivatives X 57 185 93 X X 49 82 160 X 2.1 Trading derivatives X 57 185 93 X X 49 74 160 X 2.2 Linked to fair value option X - - - X X - - - X 2.3 Other X - - - X X - 8 - X Total (B) X 5,969 30,517 624 X X 4,719 30,639 486 X Total (A+B) X 14,376 36,071 1,161 X X 10,790 36,096 901 X Total Level 1, Level 2 and Level 3 51,608 47,787 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 251 1.6 Amounts payable under finance leases (€ million) TIME BUCKET 12.31.2021 12.31.2020 CASH OUTFLOWS CASH OUTFLOWS FINANCE LEASES OPERATING LEASES FINANCE LEASES OPERATING LEASES Up to 1 year 59 319 62 318 1 year to 2 years 57 294 60 306 2 year to 3 years 56 259 59 279 3 year to 4 years 47 219 57 246 4 year to 5 years 144 187 48 206 Over 5 years 196 408 322 565 Total Lease Payments to be made 559 1,686 608 1,920 RECONCILIATION WITH DEPOSITS Unearned finance expenses (-) (Discounting effect) 44 141 55 155 Lease deposits 515 1,545 553 1,765 It should be noted that table 1.6 Amounts payable under finance leases reports the maturity analysis based on time bucket of the lease liability as requested by IFRS16 and the concurrent Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). Section 2 - Financial liabilities held for trading - Item 20 2.1 Financial liabilities held for trading: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Cash liabilities 1. Deposits from banks - 662 179 90 931 250 333 339 14 686 2. Deposits from customers 2,272 7,745 2,347 87 10,178 2,259 5,738 2,321 103 8,163 3. Debt securities 3,290 - 3,028 360 3,382 2,905 - 2,797 298 3,092 3.1 Bonds 1,403 - 1,270 119 1,386 1,595 - 1,314 139 1,452 3.1.1 Structured 1,403 - 1,270 119 X 1,595 - 1,314 139 X 3.1.2 Other - - - - X - - - - X 3.2 Other securities 1,887 - 1,758 241 1,996 1,310 - 1,483 159 1,640 3.2.1 Structured 1,887 - 1,758 241 X 1,310 - 1,483 159 X 3.2.2 Other - - - - X - - - - X Total (A) 5,562 8,407 5,554 537 14,491 5,414 6,071 5,457 415 11,941 B. Derivatives instruments 1. Financial derivatives X 5,912 30,332 531 X X 4,670 30,557 326 X 1.1 Trading derivatives X 5,912 29,967 512 X X 4,670 30,367 305 X 1.2 Linked to fair value option X - 130 - X X - 85 - X 1.3 Other X - 235 19 X X - 105 21 X 2. Credit derivatives X 57 185 93 X X 49 82 160 X 2.1 Trading derivatives X 57 185 93 X X 49 74 160 X 2.2 Linked to fair value option X - - - X X - - - X 2.3 Other X - - - X X - 8 - X Total (B) X 5,969 30,517 624 X X 4,719 30,639 486 X Total (A+B) X 14,376 36,071 1,161 X X 10,790 36,096 901 X Total Level 1, Level 2 and Level 3 51,608 47,787 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 251 1.6 Amounts payable under finance leases (€ million) TIME BUCKET 12.31.2021 12.31.2020 CASH OUTFLOWS CASH OUTFLOWS FINANCE LEASES OPERATING LEASES FINANCE LEASES OPERATING LEASES Up to 1 year 59 319 62 318 1 year to 2 years 57 294 60 306 2 year to 3 years 56 259 59 279 3 year to 4 years 47 219 57 246 4 year to 5 years 144 187 48 206 Over 5 years 196 408 322 565 Total Lease Payments to be made 559 1,686 608 1,920 RECONCILIATION WITH DEPOSITS Unearned finance expenses (-) (Discounting effect) 44 141 55 155 Lease deposits 515 1,545 553 1,765 It should be noted that table 1.6 Amounts payable under finance leases reports the maturity analysis based on time bucket of the lease liability as requested by IFRS16 and the concurrent Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). Section 2 - Financial liabilities held for trading - Item 20 2.1 Financial liabilities held for trading: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Cash liabilities 1. Deposits from banks - 662 179 90 931 250 333 339 14 686 2. Deposits from customers 2,272 7,745 2,347 87 10,178 2,259 5,738 2,321 103 8,163 3. Debt securities 3,290 - 3,028 360 3,382 2,905 - 2,797 298 3,092 3.1 Bonds 1,403 - 1,270 119 1,386 1,595 - 1,314 139 1,452 3.1.1 Structured 1,403 - 1,270 119 X 1,595 - 1,314 139 X 3.1.2 Other - - - - X - - - - X 3.2 Other securities 1,887 - 1,758 241 1,996 1,310 - 1,483 159 1,640 3.2.1 Structured 1,887 - 1,758 241 X 1,310 - 1,483 159 X 3.2.2 Other - - - - X - - - - X Total (A) 5,562 8,407 5,554 537 14,491 5,414 6,071 5,457 415 11,941 B. Derivatives instruments 1. Financial derivatives X 5,912 30,332 531 X X 4,670 30,557 326 X 1.1 Trading derivatives X 5,912 29,967 512 X X 4,670 30,367 305 X 1.2 Linked to fair value option X - 130 - X X - 85 - X 1.3 Other X - 235 19 X X - 105 21 X 2. Credit derivatives X 57 185 93 X X 49 82 160 X 2.1 Trading derivatives X 57 185 93 X X 49 74 160 X 2.2 Linked to fair value option X - - - X X - - - X 2.3 Other X - - - X X - 8 - X Total (B) X 5,969 30,517 624 X X 4,719 30,639 486 X Total (A+B) X 14,376 36,071 1,161 X X 10,790 36,096 901 X Total Level 1, Level 2 and Level 3 51,608 47,787 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 251 1.6 Amounts payable under finance leases (€ million) TIME BUCKET 12.31.2021 12.31.2020 CASH OUTFLOWS CASH OUTFLOWS FINANCE LEASES OPERATING LEASES FINANCE LEASES OPERATING LEASES Up to 1 year 59 319 62 318 1 year to 2 years 57 294 60 306 2 year to 3 years 56 259 59 279 3 year to 4 years 47 219 57 246 4 year to 5 years 144 187 48 206 Over 5 years 196 408 322 565 Total Lease Payments to be made 559 1,686 608 1,920 RECONCILIATION WITH DEPOSITS Unearned finance expenses (-) (Discounting effect) 44 141 55 155 Lease deposits 515 1,545 553 1,765 It should be noted that table 1.6 Amounts payable under finance leases reports the maturity analysis based on time bucket of the lease liability as requested by IFRS16 and the concurrent Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). Section 2 - Financial liabilities held for trading - Item 20 2.1 Financial liabilities held for trading: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Cash liabilities 1. Deposits from banks - 662 179 90 931 250 333 339 14 686 2. Deposits from customers 2,272 7,745 2,347 87 10,178 2,259 5,738 2,321 103 8,163 3. Debt securities 3,290 - 3,028 360 3,382 2,905 - 2,797 298 3,092 3.1 Bonds 1,403 - 1,270 119 1,386 1,595 - 1,314 139 1,452 3.1.1 Structured 1,403 - 1,270 119 X 1,595 - 1,314 139 X 3.1.2 Other - - - - X - - - - X 3.2 Other securities 1,887 - 1,758 241 1,996 1,310 - 1,483 159 1,640 3.2.1 Structured 1,887 - 1,758 241 X 1,310 - 1,483 159 X 3.2.2 Other - - - - X - - - - X Total (A) 5,562 8,407 5,554 537 14,491 5,414 6,071 5,457 415 11,941 B. Derivatives instruments 1. Financial derivatives X 5,912 30,332 531 X X 4,670 30,557 326 X 1.1 Trading derivatives X 5,912 29,967 512 X X 4,670 30,367 305 X 1.2 Linked to fair value option X - 130 - X X - 85 - X 1.3 Other X - 235 19 X X - 105 21 X 2. Credit derivatives X 57 185 93 X X 49 82 160 X 2.1 Trading derivatives X 57 185 93 X X 49 74 160 X 2.2 Linked to fair value option X - - - X X - - - X 2.3 Other X - - - X X - 8 - X Total (B) X 5,969 30,517 624 X X 4,719 30,639 486 X Total (A+B) X 14,376 36,071 1,161 X X 10,790 36,096 901 X Total Level 1, Level 2 and Level 3 51,608 47,787 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 251 1.6 Amounts payable under finance leases (€ million) TIME BUCKET 12.31.2021 12.31.2020 CASH OUTFLOWS CASH OUTFLOWS FINANCE LEASES OPERATING LEASES FINANCE LEASES OPERATING LEASES Up to 1 year 59 319 62 318 1 year to 2 years 57 294 60 306 2 year to 3 years 56 259 59 279 3 year to 4 years 47 219 57 246 4 year to 5 years 144 187 48 206 Over 5 years 196 408 322 565 Total Lease Payments to be made 559 1,686 608 1,920 RECONCILIATION WITH DEPOSITS Unearned finance expenses (-) (Discounting effect) 44 141 55 155 Lease deposits 515 1,545 553 1,765 It should be noted that table 1.6 Amounts payable under finance leases reports the maturity analysis based on time bucket of the lease liability as requested by IFRS16 and the concurrent Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). Section 2 - Financial liabilities held for trading - Item 20 2.1 Financial liabilities held for trading: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Cash liabilities 1. Deposits from banks - 662 179 90 931 250 333 339 14 686 2. Deposits from customers 2,272 7,745 2,347 87 10,178 2,259 5,738 2,321 103 8,163 3. Debt securities 3,290 - 3,028 360 3,382 2,905 - 2,797 298 3,092 3.1 Bonds 1,403 - 1,270 119 1,386 1,595 - 1,314 139 1,452 3.1.1 Structured 1,403 - 1,270 119 X 1,595 - 1,314 139 X 3.1.2 Other - - - - X - - - - X 3.2 Other securities 1,887 - 1,758 241 1,996 1,310 - 1,483 159 1,640 3.2.1 Structured 1,887 - 1,758 241 X 1,310 - 1,483 159 X 3.2.2 Other - - - - X - - - - X Total (A) 5,562 8,407 5,554 537 14,491 5,414 6,071 5,457 415 11,941 B. Derivatives instruments 1. Financial derivatives X 5,912 30,332 531 X X 4,670 30,557 326 X 1.1 Trading derivatives X 5,912 29,967 512 X X 4,670 30,367 305 X 1.2 Linked to fair value option X - 130 - X X - 85 - X 1.3 Other X - 235 19 X X - 105 21 X 2. Credit derivatives X 57 185 93 X X 49 82 160 X 2.1 Trading derivatives X 57 185 93 X X 49 74 160 X 2.2 Linked to fair value option X - - - X X - - - X 2.3 Other X - - - X X - 8 - X Total (B) X 5,969 30,517 624 X X 4,719 30,639 486 X Total (A+B) X 14,376 36,071 1,161 X X 10,790 36,096 901 X Total Level 1, Level 2 and Level 3 51,608 47,787 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting Policies. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 252 2021 Annual Report and Accounts · UniCredit The financial assets and liabilities relating to OTC Derivatives and Repos managed through Central Counterparty Clearing Houses (CCPs) are offset when (i) the clearing systems of CCPs guarantee the elimination or reduce to immaterial the credit and liquidity risks of these contracts and (ii) the entity intends to settle these contracts on a net basis, in accordance with IAS32 - Offsetting, in order to better present the liquidity profile and counterparty risk connected with them. The offset effect as at 31 December 2021, already included in the net presentation of these transactions, totaled €42,509 million decreased in comparison to €44,902 million as at 31 December 2020 due to the evolution of reference market conditions. The sub-item “Deposits from banks” and “Deposits from customers” include short selling totaling €8,772 million as at 31 December 2021 (€6,281 million as at 31 December 2020), in respect of which no nominal amount was attributed. 2.2 Breakdown of “Financial liabilities held for trading”: subordinated liabilities No data to be disclosed. 2.3 Breakdown of "Financial liabilities held for trading": structured debts (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks 22 22 Deposits from customers - - Debt securities 3,290 2,904 Total 3,312 2,926 Section 3 - Financial liabilities designated at fair value - Item 30 3.1 Financial liabilities designated at fair value: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from banks 3 - 2 1 3 5 - 4 1 4 1.1 Structured - - - - X - - - - X 1.2 Other 3 - 2 1 X 5 - 4 1 X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 2. Deposits from customers 724 - 702 56 748 654 - 657 54 711 2.1 Structured - - - - X - - - - X 2.2 Other 724 - 702 56 X 654 - 657 54 X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 3. Debt securities 8,632 - 8,203 592 8,607 9,623 - 9,159 693 9,611 3.1 Structured 8,047 - 7,581 592 X 9,070 - 8,746 631 X 3.2 Other 585 - 622 - X 553 - 413 62 X Total 9,359 - 8,907 649 9,358 10,282 - 9,820 748 10,326 Total Level 1, Level 2 and Level 3 9,556 10,568 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Liabilities are recognised in this item to reduce the accounting mismatch arising from financial instruments measured with changes in fair value in the income statement in order to manage the risk profile. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. The sub-item “3.1 Debt securities - Structured” includes “Certificates”, structured debt securities, issued by UniCredit S.p.A. and by other Group’s legal entities. These instruments are designated at fair value as the embedded derivatives cannot be bifurcated. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 252 2021 Annual Report and Accounts · UniCredit The financial assets and liabilities relating to OTC Derivatives and Repos managed through Central Counterparty Clearing Houses (CCPs) are offset when (i) the clearing systems of CCPs guarantee the elimination or reduce to immaterial the credit and liquidity risks of these contracts and (ii) the entity intends to settle these contracts on a net basis, in accordance with IAS32 - Offsetting, in order to better present the liquidity profile and counterparty risk connected with them. The offset effect as at 31 December 2021, already included in the net presentation of these transactions, totaled €42,509 million decreased in comparison to €44,902 million as at 31 December 2020 due to the evolution of reference market conditions. The sub-item “Deposits from banks” and “Deposits from customers” include short selling totaling €8,772 million as at 31 December 2021 (€6,281 million as at 31 December 2020), in respect of which no nominal amount was attributed. 2.2 Breakdown of “Financial liabilities held for trading”: subordinated liabilities No data to be disclosed. 2.3 Breakdown of "Financial liabilities held for trading": structured debts (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks 22 22 Deposits from customers - - Debt securities 3,290 2,904 Total 3,312 2,926 Section 3 - Financial liabilities designated at fair value - Item 30 3.1 Financial liabilities designated at fair value: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from banks 3 - 2 1 3 5 - 4 1 4 1.1 Structured - - - - X - - - - X 1.2 Other 3 - 2 1 X 5 - 4 1 X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 2. Deposits from customers 724 - 702 56 748 654 - 657 54 711 2.1 Structured - - - - X - - - - X 2.2 Other 724 - 702 56 X 654 - 657 54 X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 3. Debt securities 8,632 - 8,203 592 8,607 9,623 - 9,159 693 9,611 3.1 Structured 8,047 - 7,581 592 X 9,070 - 8,746 631 X 3.2 Other 585 - 622 - X 553 - 413 62 X Total 9,359 - 8,907 649 9,358 10,282 - 9,820 748 10,326 Total Level 1, Level 2 and Level 3 9,556 10,568 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Liabilities are recognised in this item to reduce the accounting mismatch arising from financial instruments measured with changes in fair value in the income statement in order to manage the risk profile. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. The sub-item “3.1 Debt securities - Structured” includes “Certificates”, structured debt securities, issued by UniCredit S.p.A. and by other Group’s legal entities. These instruments are designated at fair value as the embedded derivatives cannot be bifurcated. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 252 2021 Annual Report and Accounts · UniCredit The financial assets and liabilities relating to OTC Derivatives and Repos managed through Central Counterparty Clearing Houses (CCPs) are offset when (i) the clearing systems of CCPs guarantee the elimination or reduce to immaterial the credit and liquidity risks of these contracts and (ii) the entity intends to settle these contracts on a net basis, in accordance with IAS32 - Offsetting, in order to better present the liquidity profile and counterparty risk connected with them. The offset effect as at 31 December 2021, already included in the net presentation of these transactions, totaled €42,509 million decreased in comparison to €44,902 million as at 31 December 2020 due to the evolution of reference market conditions. The sub-item “Deposits from banks” and “Deposits from customers” include short selling totaling €8,772 million as at 31 December 2021 (€6,281 million as at 31 December 2020), in respect of which no nominal amount was attributed. 2.2 Breakdown of “Financial liabilities held for trading”: subordinated liabilities No data to be disclosed. 2.3 Breakdown of "Financial liabilities held for trading": structured debts (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks 22 22 Deposits from customers - - Debt securities 3,290 2,904 Total 3,312 2,926 Section 3 - Financial liabilities designated at fair value - Item 30 3.1 Financial liabilities designated at fair value: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from banks 3 - 2 1 3 5 - 4 1 4 1.1 Structured - - - - X - - - - X 1.2 Other 3 - 2 1 X 5 - 4 1 X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 2. Deposits from customers 724 - 702 56 748 654 - 657 54 711 2.1 Structured - - - - X - - - - X 2.2 Other 724 - 702 56 X 654 - 657 54 X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 3. Debt securities 8,632 - 8,203 592 8,607 9,623 - 9,159 693 9,611 3.1 Structured 8,047 - 7,581 592 X 9,070 - 8,746 631 X 3.2 Other 585 - 622 - X 553 - 413 62 X Total 9,359 - 8,907 649 9,358 10,282 - 9,820 748 10,326 Total Level 1, Level 2 and Level 3 9,556 10,568 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Liabilities are recognised in this item to reduce the accounting mismatch arising from financial instruments measured with changes in fair value in the income statement in order to manage the risk profile. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. The sub-item “3.1 Debt securities - Structured” includes “Certificates”, structured debt securities, issued by UniCredit S.p.A. and by other Group’s legal entities. These instruments are designated at fair value as the embedded derivatives cannot be bifurcated. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 252 2021 Annual Report and Accounts · UniCredit The financial assets and liabilities relating to OTC Derivatives and Repos managed through Central Counterparty Clearing Houses (CCPs) are offset when (i) the clearing systems of CCPs guarantee the elimination or reduce to immaterial the credit and liquidity risks of these contracts and (ii) the entity intends to settle these contracts on a net basis, in accordance with IAS32 - Offsetting, in order to better present the liquidity profile and counterparty risk connected with them. The offset effect as at 31 December 2021, already included in the net presentation of these transactions, totaled €42,509 million decreased in comparison to €44,902 million as at 31 December 2020 due to the evolution of reference market conditions. The sub-item “Deposits from banks” and “Deposits from customers” include short selling totaling €8,772 million as at 31 December 2021 (€6,281 million as at 31 December 2020), in respect of which no nominal amount was attributed. 2.2 Breakdown of “Financial liabilities held for trading”: subordinated liabilities No data to be disclosed. 2.3 Breakdown of "Financial liabilities held for trading": structured debts (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks 22 22 Deposits from customers - - Debt securities 3,290 2,904 Total 3,312 2,926 Section 3 - Financial liabilities designated at fair value - Item 30 3.1 Financial liabilities designated at fair value: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from banks 3 - 2 1 3 5 - 4 1 4 1.1 Structured - - - - X - - - - X 1.2 Other 3 - 2 1 X 5 - 4 1 X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 2. Deposits from customers 724 - 702 56 748 654 - 657 54 711 2.1 Structured - - - - X - - - - X 2.2 Other 724 - 702 56 X 654 - 657 54 X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 3. Debt securities 8,632 - 8,203 592 8,607 9,623 - 9,159 693 9,611 3.1 Structured 8,047 - 7,581 592 X 9,070 - 8,746 631 X 3.2 Other 585 - 622 - X 553 - 413 62 X Total 9,359 - 8,907 649 9,358 10,282 - 9,820 748 10,326 Total Level 1, Level 2 and Level 3 9,556 10,568 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Liabilities are recognised in this item to reduce the accounting mismatch arising from financial instruments measured with changes in fair value in the income statement in order to manage the risk profile. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. The sub-item “3.1 Debt securities - Structured” includes “Certificates”, structured debt securities, issued by UniCredit S.p.A. and by other Group’s legal entities. These instruments are designated at fair value as the embedded derivatives cannot be bifurcated. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 252 2021 Annual Report and Accounts · UniCredit The financial assets and liabilities relating to OTC Derivatives and Repos managed through Central Counterparty Clearing Houses (CCPs) are offset when (i) the clearing systems of CCPs guarantee the elimination or reduce to immaterial the credit and liquidity risks of these contracts and (ii) the entity intends to settle these contracts on a net basis, in accordance with IAS32 - Offsetting, in order to better present the liquidity profile and counterparty risk connected with them. The offset effect as at 31 December 2021, already included in the net presentation of these transactions, totaled €42,509 million decreased in comparison to €44,902 million as at 31 December 2020 due to the evolution of reference market conditions. The sub-item “Deposits from banks” and “Deposits from customers” include short selling totaling €8,772 million as at 31 December 2021 (€6,281 million as at 31 December 2020), in respect of which no nominal amount was attributed. 2.2 Breakdown of “Financial liabilities held for trading”: subordinated liabilities No data to be disclosed. 2.3 Breakdown of "Financial liabilities held for trading": structured debts (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deposits from banks 22 22 Deposits from customers - - Debt securities 3,290 2,904 Total 3,312 2,926 Section 3 - Financial liabilities designated at fair value - Item 30 3.1 Financial liabilities designated at fair value: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from banks 3 - 2 1 3 5 - 4 1 4 1.1 Structured - - - - X - - - - X 1.2 Other 3 - 2 1 X 5 - 4 1 X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 2. Deposits from customers 724 - 702 56 748 654 - 657 54 711 2.1 Structured - - - - X - - - - X 2.2 Other 724 - 702 56 X 654 - 657 54 X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 3. Debt securities 8,632 - 8,203 592 8,607 9,623 - 9,159 693 9,611 3.1 Structured 8,047 - 7,581 592 X 9,070 - 8,746 631 X 3.2 Other 585 - 622 - X 553 - 413 62 X Total 9,359 - 8,907 649 9,358 10,282 - 9,820 748 10,326 Total Level 1, Level 2 and Level 3 9,556 10,568 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Liabilities are recognised in this item to reduce the accounting mismatch arising from financial instruments measured with changes in fair value in the income statement in order to manage the risk profile. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to the paragraph “A.4 - Information on fair value” of the Notes to the consolidated accounts, Part A - Accounting policies. The sub-item “3.1 Debt securities - Structured” includes “Certificates”, structured debt securities, issued by UniCredit S.p.A. and by other Group’s legal entities. These instruments are designated at fair value as the embedded derivatives cannot be bifurcated. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 253 3.2 Breakdown of "Financial liabilities designated at fair value": subordinated liabilities No data to be disclosed. Section 4 - Hedging derivatives - Item 40 4.1 Hedging derivatives: breakdown by type of hedging and by levels (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 294,454 51 4,252 - 244,454 126 5,573 - 1) Fair value 260,022 51 3,709 - 215,873 126 5,080 - 2) Cash flows 34,432 - 543 - 28,581 - 493 - 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 294,454 51 4,252 - 244,454 126 5,573 - Total Level 1, Level 2 and Level 3 4,303 5,699 Valuations at fair value were classified according to a hierarchy of levels reflecting the significance of the valuations input. For further information refer to “Part A - Accounting policies” of the Notes to the consolidated accounts. 4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging (€ million) AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW MICRO-HEDGE TRANSACTIONS/HEDGE TYPES DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHER MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE FOREIGN INVESTMENTS 1. Financial assets at fair value through other comprehensive income 279 - - - X X X - X X 2. Financial assets at amortised cost 3 X - - X X X - X X 3. Portfolio X X X X X X 399 X 456 X 4. Other transactions - - - - - - X - X - Total assets 282 - - - - - 399 - 456 - 1. Financial liabilities 2,682 X - - - - X 39 X X 2. Portfolio X X X X X X 88 X 48 X Total liabilities 2,682 - - - - - 88 39 48 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X 309 X - - Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 253 3.2 Breakdown of "Financial liabilities designated at fair value": subordinated liabilities No data to be disclosed. Section 4 - Hedging derivatives - Item 40 4.1 Hedging derivatives: breakdown by type of hedging and by levels (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 294,454 51 4,252 - 244,454 126 5,573 - 1) Fair value 260,022 51 3,709 - 215,873 126 5,080 - 2) Cash flows 34,432 - 543 - 28,581 - 493 - 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 294,454 51 4,252 - 244,454 126 5,573 - Total Level 1, Level 2 and Level 3 4,303 5,699 Valuations at fair value were classified according to a hierarchy of levels reflecting the significance of the valuations input. For further information refer to “Part A - Accounting policies” of the Notes to the consolidated accounts. 4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging (€ million) AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW MICRO-HEDGE TRANSACTIONS/HEDGE TYPES DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHER MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE FOREIGN INVESTMENTS 1. Financial assets at fair value through other comprehensive income 279 - - - X X X - X X 2. Financial assets at amortised cost 3 X - - X X X - X X 3. Portfolio X X X X X X 399 X 456 X 4. Other transactions - - - - - - X - X - Total assets 282 - - - - - 399 - 456 - 1. Financial liabilities 2,682 X - - - - X 39 X X 2. Portfolio X X X X X X 88 X 48 X Total liabilities 2,682 - - - - - 88 39 48 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X 309 X - - Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 253 3.2 Breakdown of "Financial liabilities designated at fair value": subordinated liabilities No data to be disclosed. Section 4 - Hedging derivatives - Item 40 4.1 Hedging derivatives: breakdown by type of hedging and by levels (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 294,454 51 4,252 - 244,454 126 5,573 - 1) Fair value 260,022 51 3,709 - 215,873 126 5,080 - 2) Cash flows 34,432 - 543 - 28,581 - 493 - 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 294,454 51 4,252 - 244,454 126 5,573 - Total Level 1, Level 2 and Level 3 4,303 5,699 Valuations at fair value were classified according to a hierarchy of levels reflecting the significance of the valuations input. For further information refer to “Part A - Accounting policies” of the Notes to the consolidated accounts. 4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging (€ million) AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW MICRO-HEDGE TRANSACTIONS/HEDGE TYPES DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHER MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE FOREIGN INVESTMENTS 1. Financial assets at fair value through other comprehensive income 279 - - - X X X - X X 2. Financial assets at amortised cost 3 X - - X X X - X X 3. Portfolio X X X X X X 399 X 456 X 4. Other transactions - - - - - - X - X - Total assets 282 - - - - - 399 - 456 - 1. Financial liabilities 2,682 X - - - - X 39 X X 2. Portfolio X X X X X X 88 X 48 X Total liabilities 2,682 - - - - - 88 39 48 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X 309 X - - Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 253 3.2 Breakdown of "Financial liabilities designated at fair value": subordinated liabilities No data to be disclosed. Section 4 - Hedging derivatives - Item 40 4.1 Hedging derivatives: breakdown by type of hedging and by levels (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 294,454 51 4,252 - 244,454 126 5,573 - 1) Fair value 260,022 51 3,709 - 215,873 126 5,080 - 2) Cash flows 34,432 - 543 - 28,581 - 493 - 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 294,454 51 4,252 - 244,454 126 5,573 - Total Level 1, Level 2 and Level 3 4,303 5,699 Valuations at fair value were classified according to a hierarchy of levels reflecting the significance of the valuations input. For further information refer to “Part A - Accounting policies” of the Notes to the consolidated accounts. 4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging (€ million) AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW MICRO-HEDGE TRANSACTIONS/HEDGE TYPES DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHER MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE FOREIGN INVESTMENTS 1. Financial assets at fair value through other comprehensive income 279 - - - X X X - X X 2. Financial assets at amortised cost 3 X - - X X X - X X 3. Portfolio X X X X X X 399 X 456 X 4. Other transactions - - - - - - X - X - Total assets 282 - - - - - 399 - 456 - 1. Financial liabilities 2,682 X - - - - X 39 X X 2. Portfolio X X X X X X 88 X 48 X Total liabilities 2,682 - - - - - 88 39 48 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X 309 X - - Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 253 3.2 Breakdown of "Financial liabilities designated at fair value": subordinated liabilities No data to be disclosed. Section 4 - Hedging derivatives - Item 40 4.1 Hedging derivatives: breakdown by type of hedging and by levels (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 294,454 51 4,252 - 244,454 126 5,573 - 1) Fair value 260,022 51 3,709 - 215,873 126 5,080 - 2) Cash flows 34,432 - 543 - 28,581 - 493 - 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 294,454 51 4,252 - 244,454 126 5,573 - Total Level 1, Level 2 and Level 3 4,303 5,699 Valuations at fair value were classified according to a hierarchy of levels reflecting the significance of the valuations input. For further information refer to “Part A - Accounting policies” of the Notes to the consolidated accounts. 4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging (€ million) AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW MICRO-HEDGE TRANSACTIONS/HEDGE TYPES DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHER MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE FOREIGN INVESTMENTS 1. Financial assets at fair value through other comprehensive income 279 - - - X X X - X X 2. Financial assets at amortised cost 3 X - - X X X - X X 3. Portfolio X X X X X X 399 X 456 X 4. Other transactions - - - - - - X - X - Total assets 282 - - - - - 399 - 456 - 1. Financial liabilities 2,682 X - - - - X 39 X X 2. Portfolio X X X X X X 88 X 48 X Total liabilities 2,682 - - - - - 88 39 48 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X 309 X - - Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 254 2021 Annual Report and Accounts · UniCredit Section 5 - Value adjustment of hedged financial liabilities - Item 50 5.1 Changes to hedged financial liabilities (€ million) AMOUNTS AS AT CHANGES TO HEDGED LIABILITIES/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes to financial liabilities 5,531 10,182 2. Negative changes to financial liabilities (4,568) (4,117) Total 963 6,065 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Section 6 - Tax liabilities - Item 60 See the paragraph “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Section 7 - Liabilities associated with assets classified as held for sale - Item 70 See the paragraph “Section 12 - Non-current assets and disposal group classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Section 8 - Other liabilities - Item 80 8.1 Other liabilities: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Liabilities in respect of financial guarantees issued 3 3 Accrued expenses and deferred income other than those to be capitalised for the financial liabilities concerned 502 561 Negative value of management agreements (so-called servicing assets) - - Payment agreements based on the value of own capital instruments classified as deposits pursuant to IFRS2 4 4 Other liabilities due to employees 2,587 2,904 Other liabilities due to other staff 11 33 Other liabilities due to Directors and Statutory Auditors 1 1 Interest and amounts to be credited to 73 109 - Customers 54 60 - Banks 19 49 Items in transit between branches and not yet allocated to destination accounts 6 10 Available amounts to be paid to others 313 443 Items in processing 679 787 Entries relating to securities transactions 113 117 Definitive items but not attributable to other lines 3,482 3,194 - Accounts payable - suppliers 1,054 991 - Provisions for tax withholding on accrued interest, bond coupon payments or dividends 8 4 - Other entries 2,420 2,199 Liabilities for miscellaneous entries related to tax collection service - - Adjustments for unpaid portfolio entries 1,213 1,034 Tax items different from those included in item 60 1,653 845 Other entries 2,661 2,704 Total 13,301 12,749 Item “Accrued expenses and deferred income other than those to be capitalised for the financial liabilities” includes the contract liabilities recognised in accordance with IFRS15. In this context, deferred income represents the portion of performance obligations not yet satisfied through the services provided by the Group but already settled during the period or in previous periods. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 254 2021 Annual Report and Accounts · UniCredit Section 5 - Value adjustment of hedged financial liabilities - Item 50 5.1 Changes to hedged financial liabilities (€ million) AMOUNTS AS AT CHANGES TO HEDGED LIABILITIES/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes to financial liabilities 5,531 10,182 2. Negative changes to financial liabilities (4,568) (4,117) Total 963 6,065 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Section 6 - Tax liabilities - Item 60 See the paragraph “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Section 7 - Liabilities associated with assets classified as held for sale - Item 70 See the paragraph “Section 12 - Non-current assets and disposal group classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Section 8 - Other liabilities - Item 80 8.1 Other liabilities: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Liabilities in respect of financial guarantees issued 3 3 Accrued expenses and deferred income other than those to be capitalised for the financial liabilities concerned 502 561 Negative value of management agreements (so-called servicing assets) - - Payment agreements based on the value of own capital instruments classified as deposits pursuant to IFRS2 4 4 Other liabilities due to employees 2,587 2,904 Other liabilities due to other staff 11 33 Other liabilities due to Directors and Statutory Auditors 1 1 Interest and amounts to be credited to 73 109 - Customers 54 60 - Banks 19 49 Items in transit between branches and not yet allocated to destination accounts 6 10 Available amounts to be paid to others 313 443 Items in processing 679 787 Entries relating to securities transactions 113 117 Definitive items but not attributable to other lines 3,482 3,194 - Accounts payable - suppliers 1,054 991 - Provisions for tax withholding on accrued interest, bond coupon payments or dividends 8 4 - Other entries 2,420 2,199 Liabilities for miscellaneous entries related to tax collection service - - Adjustments for unpaid portfolio entries 1,213 1,034 Tax items different from those included in item 60 1,653 845 Other entries 2,661 2,704 Total 13,301 12,749 Item “Accrued expenses and deferred income other than those to be capitalised for the financial liabilities” includes the contract liabilities recognised in accordance with IFRS15. In this context, deferred income represents the portion of performance obligations not yet satisfied through the services provided by the Group but already settled during the period or in previous periods. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 254 2021 Annual Report and Accounts · UniCredit Section 5 - Value adjustment of hedged financial liabilities - Item 50 5.1 Changes to hedged financial liabilities (€ million) AMOUNTS AS AT CHANGES TO HEDGED LIABILITIES/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes to financial liabilities 5,531 10,182 2. Negative changes to financial liabilities (4,568) (4,117) Total 963 6,065 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Section 6 - Tax liabilities - Item 60 See the paragraph “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Section 7 - Liabilities associated with assets classified as held for sale - Item 70 See the paragraph “Section 12 - Non-current assets and disposal group classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Section 8 - Other liabilities - Item 80 8.1 Other liabilities: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Liabilities in respect of financial guarantees issued 3 3 Accrued expenses and deferred income other than those to be capitalised for the financial liabilities concerned 502 561 Negative value of management agreements (so-called servicing assets) - - Payment agreements based on the value of own capital instruments classified as deposits pursuant to IFRS2 4 4 Other liabilities due to employees 2,587 2,904 Other liabilities due to other staff 11 33 Other liabilities due to Directors and Statutory Auditors 1 1 Interest and amounts to be credited to 73 109 - Customers 54 60 - Banks 19 49 Items in transit between branches and not yet allocated to destination accounts 6 10 Available amounts to be paid to others 313 443 Items in processing 679 787 Entries relating to securities transactions 113 117 Definitive items but not attributable to other lines 3,482 3,194 - Accounts payable - suppliers 1,054 991 - Provisions for tax withholding on accrued interest, bond coupon payments or dividends 8 4 - Other entries 2,420 2,199 Liabilities for miscellaneous entries related to tax collection service - - Adjustments for unpaid portfolio entries 1,213 1,034 Tax items different from those included in item 60 1,653 845 Other entries 2,661 2,704 Total 13,301 12,749 Item “Accrued expenses and deferred income other than those to be capitalised for the financial liabilities” includes the contract liabilities recognised in accordance with IFRS15. In this context, deferred income represents the portion of performance obligations not yet satisfied through the services provided by the Group but already settled during the period or in previous periods. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 254 2021 Annual Report and Accounts · UniCredit Section 5 - Value adjustment of hedged financial liabilities - Item 50 5.1 Changes to hedged financial liabilities (€ million) AMOUNTS AS AT CHANGES TO HEDGED LIABILITIES/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes to financial liabilities 5,531 10,182 2. Negative changes to financial liabilities (4,568) (4,117) Total 963 6,065 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Section 6 - Tax liabilities - Item 60 See the paragraph “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Section 7 - Liabilities associated with assets classified as held for sale - Item 70 See the paragraph “Section 12 - Non-current assets and disposal group classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Section 8 - Other liabilities - Item 80 8.1 Other liabilities: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Liabilities in respect of financial guarantees issued 3 3 Accrued expenses and deferred income other than those to be capitalised for the financial liabilities concerned 502 561 Negative value of management agreements (so-called servicing assets) - - Payment agreements based on the value of own capital instruments classified as deposits pursuant to IFRS2 4 4 Other liabilities due to employees 2,587 2,904 Other liabilities due to other staff 11 33 Other liabilities due to Directors and Statutory Auditors 1 1 Interest and amounts to be credited to 73 109 - Customers 54 60 - Banks 19 49 Items in transit between branches and not yet allocated to destination accounts 6 10 Available amounts to be paid to others 313 443 Items in processing 679 787 Entries relating to securities transactions 113 117 Definitive items but not attributable to other lines 3,482 3,194 - Accounts payable - suppliers 1,054 991 - Provisions for tax withholding on accrued interest, bond coupon payments or dividends 8 4 - Other entries 2,420 2,199 Liabilities for miscellaneous entries related to tax collection service - - Adjustments for unpaid portfolio entries 1,213 1,034 Tax items different from those included in item 60 1,653 845 Other entries 2,661 2,704 Total 13,301 12,749 Item “Accrued expenses and deferred income other than those to be capitalised for the financial liabilities” includes the contract liabilities recognised in accordance with IFRS15. In this context, deferred income represents the portion of performance obligations not yet satisfied through the services provided by the Group but already settled during the period or in previous periods. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 254 2021 Annual Report and Accounts · UniCredit Section 5 - Value adjustment of hedged financial liabilities - Item 50 5.1 Changes to hedged financial liabilities (€ million) AMOUNTS AS AT CHANGES TO HEDGED LIABILITIES/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes to financial liabilities 5,531 10,182 2. Negative changes to financial liabilities (4,568) (4,117) Total 963 6,065 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Section 6 - Tax liabilities - Item 60 See the paragraph “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Section 7 - Liabilities associated with assets classified as held for sale - Item 70 See the paragraph “Section 12 - Non-current assets and disposal group classified as held for sale and Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item 70 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Section 8 - Other liabilities - Item 80 8.1 Other liabilities: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Liabilities in respect of financial guarantees issued 3 3 Accrued expenses and deferred income other than those to be capitalised for the financial liabilities concerned 502 561 Negative value of management agreements (so-called servicing assets) - - Payment agreements based on the value of own capital instruments classified as deposits pursuant to IFRS2 4 4 Other liabilities due to employees 2,587 2,904 Other liabilities due to other staff 11 33 Other liabilities due to Directors and Statutory Auditors 1 1 Interest and amounts to be credited to 73 109 - Customers 54 60 - Banks 19 49 Items in transit between branches and not yet allocated to destination accounts 6 10 Available amounts to be paid to others 313 443 Items in processing 679 787 Entries relating to securities transactions 113 117 Definitive items but not attributable to other lines 3,482 3,194 - Accounts payable - suppliers 1,054 991 - Provisions for tax withholding on accrued interest, bond coupon payments or dividends 8 4 - Other entries 2,420 2,199 Liabilities for miscellaneous entries related to tax collection service - - Adjustments for unpaid portfolio entries 1,213 1,034 Tax items different from those included in item 60 1,653 845 Other entries 2,661 2,704 Total 13,301 12,749 Item “Accrued expenses and deferred income other than those to be capitalised for the financial liabilities” includes the contract liabilities recognised in accordance with IFRS15. In this context, deferred income represents the portion of performance obligations not yet satisfied through the services provided by the Group but already settled during the period or in previous periods. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 255 Refer to the paragraph “Section 13 - Other assets - Item 130” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets for information about the changes in deferred income and accrued expenses occurred in the period. Section 9 - Provision for employee severance pay - Item 90 The “TFR” provision for Italy-based employee benefits is to be construed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external actuary using the “projected unit credit” method (refer to the paragraph “Part A.2 - Main items of the accounts”, Notes to the consolidated accounts, Part A - Accounting policies). 9.1 Provisions for employee severance pay: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 592 661 B. Increases 20 22 B.1 Provisions for the year 3 5 B.2 Other increases 17 17 of which: business combinations - - C. Reductions 96 91 C.1 Severance payments 89 89 C.2 Other decreases 7 2 of which: business combinations - - D. Closing Balance 516 592 9.2 Other information (€ million) CHANGES IN 2021 2020 Cost Recognised in P&L: 3 5 - Current Service Cost - - - Interest Cost on the DBO 3 5 - Settlement (gains)/losses - - - Past Service Cost - - Remeasurement Effects (Gains) Losses Recognised in OCI 14 15 Annual weighted average assumptions - Discount rate 0.75% 0.45% - Price inflation 1.60% 0.80% Duration of defined benefit obligation equals to 9 years; Valuation Reserve negative balance (net of tax) move from -€163 million as at 31 December 2020 to -€172 million as at 31 December 2021. A change of -25 basis points of Discount Rate would result in an increase of the liability of €12 million (+2.30%); a correspondent increase would result in a reduction in the liability of €12 million (-2.24%). A change of -25 basis points of Price Inflation rate would result in a reduction of the liability of €7 million (-1.38%); a correspondent increase would result in an increase of the liability of €7 million (+1.40%). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 255 Refer to the paragraph “Section 13 - Other assets - Item 130” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets for information about the changes in deferred income and accrued expenses occurred in the period. Section 9 - Provision for employee severance pay - Item 90 The “TFR” provision for Italy-based employee benefits is to be construed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external actuary using the “projected unit credit” method (refer to the paragraph “Part A.2 - Main items of the accounts”, Notes to the consolidated accounts, Part A - Accounting policies). 9.1 Provisions for employee severance pay: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 592 661 B. Increases 20 22 B.1 Provisions for the year 3 5 B.2 Other increases 17 17 of which: business combinations - - C. Reductions 96 91 C.1 Severance payments 89 89 C.2 Other decreases 7 2 of which: business combinations - - D. Closing Balance 516 592 9.2 Other information (€ million) CHANGES IN 2021 2020 Cost Recognised in P&L: 3 5 - Current Service Cost - - - Interest Cost on the DBO 3 5 - Settlement (gains)/losses - - - Past Service Cost - - Remeasurement Effects (Gains) Losses Recognised in OCI 14 15 Annual weighted average assumptions - Discount rate 0.75% 0.45% - Price inflation 1.60% 0.80% Duration of defined benefit obligation equals to 9 years; Valuation Reserve negative balance (net of tax) move from -€163 million as at 31 December 2020 to -€172 million as at 31 December 2021. A change of -25 basis points of Discount Rate would result in an increase of the liability of €12 million (+2.30%); a correspondent increase would result in a reduction in the liability of €12 million (-2.24%). A change of -25 basis points of Price Inflation rate would result in a reduction of the liability of €7 million (-1.38%); a correspondent increase would result in an increase of the liability of €7 million (+1.40%). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 255 Refer to the paragraph “Section 13 - Other assets - Item 130” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets for information about the changes in deferred income and accrued expenses occurred in the period. Section 9 - Provision for employee severance pay - Item 90 The “TFR” provision for Italy-based employee benefits is to be construed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external actuary using the “projected unit credit” method (refer to the paragraph “Part A.2 - Main items of the accounts”, Notes to the consolidated accounts, Part A - Accounting policies). 9.1 Provisions for employee severance pay: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 592 661 B. Increases 20 22 B.1 Provisions for the year 3 5 B.2 Other increases 17 17 of which: business combinations - - C. Reductions 96 91 C.1 Severance payments 89 89 C.2 Other decreases 7 2 of which: business combinations - - D. Closing Balance 516 592 9.2 Other information (€ million) CHANGES IN 2021 2020 Cost Recognised in P&L: 3 5 - Current Service Cost - - - Interest Cost on the DBO 3 5 - Settlement (gains)/losses - - - Past Service Cost - - Remeasurement Effects (Gains) Losses Recognised in OCI 14 15 Annual weighted average assumptions - Discount rate 0.75% 0.45% - Price inflation 1.60% 0.80% Duration of defined benefit obligation equals to 9 years; Valuation Reserve negative balance (net of tax) move from -€163 million as at 31 December 2020 to -€172 million as at 31 December 2021. A change of -25 basis points of Discount Rate would result in an increase of the liability of €12 million (+2.30%); a correspondent increase would result in a reduction in the liability of €12 million (-2.24%). A change of -25 basis points of Price Inflation rate would result in a reduction of the liability of €7 million (-1.38%); a correspondent increase would result in an increase of the liability of €7 million (+1.40%). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 255 Refer to the paragraph “Section 13 - Other assets - Item 130” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets for information about the changes in deferred income and accrued expenses occurred in the period. Section 9 - Provision for employee severance pay - Item 90 The “TFR” provision for Italy-based employee benefits is to be construed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external actuary using the “projected unit credit” method (refer to the paragraph “Part A.2 - Main items of the accounts”, Notes to the consolidated accounts, Part A - Accounting policies). 9.1 Provisions for employee severance pay: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 592 661 B. Increases 20 22 B.1 Provisions for the year 3 5 B.2 Other increases 17 17 of which: business combinations - - C. Reductions 96 91 C.1 Severance payments 89 89 C.2 Other decreases 7 2 of which: business combinations - - D. Closing Balance 516 592 9.2 Other information (€ million) CHANGES IN 2021 2020 Cost Recognised in P&L: 3 5 - Current Service Cost - - - Interest Cost on the DBO 3 5 - Settlement (gains)/losses - - - Past Service Cost - - Remeasurement Effects (Gains) Losses Recognised in OCI 14 15 Annual weighted average assumptions - Discount rate 0.75% 0.45% - Price inflation 1.60% 0.80% Duration of defined benefit obligation equals to 9 years; Valuation Reserve negative balance (net of tax) move from -€163 million as at 31 December 2020 to -€172 million as at 31 December 2021. A change of -25 basis points of Discount Rate would result in an increase of the liability of €12 million (+2.30%); a correspondent increase would result in a reduction in the liability of €12 million (-2.24%). A change of -25 basis points of Price Inflation rate would result in a reduction of the liability of €7 million (-1.38%); a correspondent increase would result in an increase of the liability of €7 million (+1.40%). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 255 Refer to the paragraph “Section 13 - Other assets - Item 130” of the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets for information about the changes in deferred income and accrued expenses occurred in the period. Section 9 - Provision for employee severance pay - Item 90 The “TFR” provision for Italy-based employee benefits is to be construed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external actuary using the “projected unit credit” method (refer to the paragraph “Part A.2 - Main items of the accounts”, Notes to the consolidated accounts, Part A - Accounting policies). 9.1 Provisions for employee severance pay: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 592 661 B. Increases 20 22 B.1 Provisions for the year 3 5 B.2 Other increases 17 17 of which: business combinations - - C. Reductions 96 91 C.1 Severance payments 89 89 C.2 Other decreases 7 2 of which: business combinations - - D. Closing Balance 516 592 9.2 Other information (€ million) CHANGES IN 2021 2020 Cost Recognised in P&L: 3 5 - Current Service Cost - - - Interest Cost on the DBO 3 5 - Settlement (gains)/losses - - - Past Service Cost - - Remeasurement Effects (Gains) Losses Recognised in OCI 14 15 Annual weighted average assumptions - Discount rate 0.75% 0.45% - Price inflation 1.60% 0.80% Duration of defined benefit obligation equals to 9 years; Valuation Reserve negative balance (net of tax) move from -€163 million as at 31 December 2020 to -€172 million as at 31 December 2021. A change of -25 basis points of Discount Rate would result in an increase of the liability of €12 million (+2.30%); a correspondent increase would result in a reduction in the liability of €12 million (-2.24%). A change of -25 basis points of Price Inflation rate would result in a reduction of the liability of €7 million (-1.38%); a correspondent increase would result in an increase of the liability of €7 million (+1.40%). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 256 2021 Annual Report and Accounts · UniCredit Section 10 - Provisions for risks and charges - Item 100 10.1 Provisions for risks and charges: breakdown (€ million) AMOUNTS AS AT ITEMS/COMPONENTS 12.31.2021 12.31.2020 1. Provisions for credit risk on commitments and financial guarantees given 1,283 1,263 2. Provisions for other commitments and other guarantees given 142 125 3. Pensions and other post-retirement benefit obligations 4,738 5,677 4. Other provisions for risks and charges 3,781 3,123 4.1 Legal and tax disputes 865 749 4.2 Staff expenses 1,800 943 4.3 Other 1,116 1,431 Total 9,944 10,188 The item "4. Other provisions for risks and charges" consists of: • legal disputes: cases in which the Group is a defendant, and post-insolvency clawback petitions (more information on litigation is set out in the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, 2.5 Operational risks, Qualitative information); • Staff expenses include the restructuring costs associated with the implementation of the Strategic plan for the portion that has not been either settled or reclassified to "Other liabilities" as a result of the incurrence of a specific debt toward the employees; • other: provisions for risks and charges not attributable to the above items, whose details are illustrated in the table 10.6 below. 10.2 Provisions for risks and charges: annual changes (€ million) CHANGES IN 2021 PROVISIONS FOR OTHER OFF-BALANCE SHEET COMMITMENTS AND OTHER GUARANTEES GIVEN PENSION AND POST-RETIREMENT BENEFIT OBLIGATIONS OTHER PROVISIONS FOR RISKS AND CHARGES TOTAL A. Opening balance 125 5,677 3,123 8,925 B. Increases 19 141 1,834 1,994 B.1 Provisions for the year 14 79 1,692 1,785 B.2 Changes due to the passing time - 39 2 41 B.3 Differences due to discount-rate changes - - - - B.4 Other changes 5 23 140 168 of which: business combinations - - - - C. Decreases 2 1,080 1,176 2,258 C.1 Use during the year - 266 610 876 C.2 Differences due to discount-rate changes - - 1 1 C.3 Other changes 2 814 565 1,381 of which: business combinations - - - - D. Closing balance 142 4,738 3,781 8,661 It is worth to note that the subitem “B.1 Provision for the year” includes gain on settlement for €30 million (of which €16 related to UniCredit Bank Austria AG and €14 million related to UniCredit S.p.A.). For further details refer to paragraph 10.5 Pensions and other post-retirement defined-benefit obligations, Consolidated financial statements of UniCredit group, Notes to consolidated accounts, Part B Consolidated balance sheet - Liabilities. 10.3 Provisions for credit risk on commitments and financial guarantees given (€ million) AMOUNTS AS AT 12.31.2021 PROVISIONS FOR CREDIT RISK ON COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL Loan commitments given 147 133 310 - 590 Financial guarantees given 54 93 546 - 693 Total 201 226 856 - 1,283 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 256 2021 Annual Report and Accounts · UniCredit Section 10 - Provisions for risks and charges - Item 100 10.1 Provisions for risks and charges: breakdown (€ million) AMOUNTS AS AT ITEMS/COMPONENTS 12.31.2021 12.31.2020 1. Provisions for credit risk on commitments and financial guarantees given 1,283 1,263 2. Provisions for other commitments and other guarantees given 142 125 3. Pensions and other post-retirement benefit obligations 4,738 5,677 4. Other provisions for risks and charges 3,781 3,123 4.1 Legal and tax disputes 865 749 4.2 Staff expenses 1,800 943 4.3 Other 1,116 1,431 Total 9,944 10,188 The item "4. Other provisions for risks and charges" consists of: • legal disputes: cases in which the Group is a defendant, and post-insolvency clawback petitions (more information on litigation is set out in the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, 2.5 Operational risks, Qualitative information); • Staff expenses include the restructuring costs associated with the implementation of the Strategic plan for the portion that has not been either settled or reclassified to "Other liabilities" as a result of the incurrence of a specific debt toward the employees; • other: provisions for risks and charges not attributable to the above items, whose details are illustrated in the table 10.6 below. 10.2 Provisions for risks and charges: annual changes (€ million) CHANGES IN 2021 PROVISIONS FOR OTHER OFF-BALANCE SHEET COMMITMENTS AND OTHER GUARANTEES GIVEN PENSION AND POST-RETIREMENT BENEFIT OBLIGATIONS OTHER PROVISIONS FOR RISKS AND CHARGES TOTAL A. Opening balance 125 5,677 3,123 8,925 B. Increases 19 141 1,834 1,994 B.1 Provisions for the year 14 79 1,692 1,785 B.2 Changes due to the passing time - 39 2 41 B.3 Differences due to discount-rate changes - - - - B.4 Other changes 5 23 140 168 of which: business combinations - - - - C. Decreases 2 1,080 1,176 2,258 C.1 Use during the year - 266 610 876 C.2 Differences due to discount-rate changes - - 1 1 C.3 Other changes 2 814 565 1,381 of which: business combinations - - - - D. Closing balance 142 4,738 3,781 8,661 It is worth to note that the subitem “B.1 Provision for the year” includes gain on settlement for €30 million (of which €16 related to UniCredit Bank Austria AG and €14 million related to UniCredit S.p.A.). For further details refer to paragraph 10.5 Pensions and other post-retirement defined-benefit obligations, Consolidated financial statements of UniCredit group, Notes to consolidated accounts, Part B Consolidated balance sheet - Liabilities. 10.3 Provisions for credit risk on commitments and financial guarantees given (€ million) AMOUNTS AS AT 12.31.2021 PROVISIONS FOR CREDIT RISK ON COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL Loan commitments given 147 133 310 - 590 Financial guarantees given 54 93 546 - 693 Total 201 226 856 - 1,283 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 256 2021 Annual Report and Accounts · UniCredit Section 10 - Provisions for risks and charges - Item 100 10.1 Provisions for risks and charges: breakdown (€ million) AMOUNTS AS AT ITEMS/COMPONENTS 12.31.2021 12.31.2020 1. Provisions for credit risk on commitments and financial guarantees given 1,283 1,263 2. Provisions for other commitments and other guarantees given 142 125 3. Pensions and other post-retirement benefit obligations 4,738 5,677 4. Other provisions for risks and charges 3,781 3,123 4.1 Legal and tax disputes 865 749 4.2 Staff expenses 1,800 943 4.3 Other 1,116 1,431 Total 9,944 10,188 The item "4. Other provisions for risks and charges" consists of: • legal disputes: cases in which the Group is a defendant, and post-insolvency clawback petitions (more information on litigation is set out in the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, 2.5 Operational risks, Qualitative information); • Staff expenses include the restructuring costs associated with the implementation of the Strategic plan for the portion that has not been either settled or reclassified to "Other liabilities" as a result of the incurrence of a specific debt toward the employees; • other: provisions for risks and charges not attributable to the above items, whose details are illustrated in the table 10.6 below. 10.2 Provisions for risks and charges: annual changes (€ million) CHANGES IN 2021 PROVISIONS FOR OTHER OFF-BALANCE SHEET COMMITMENTS AND OTHER GUARANTEES GIVEN PENSION AND POST-RETIREMENT BENEFIT OBLIGATIONS OTHER PROVISIONS FOR RISKS AND CHARGES TOTAL A. Opening balance 125 5,677 3,123 8,925 B. Increases 19 141 1,834 1,994 B.1 Provisions for the year 14 79 1,692 1,785 B.2 Changes due to the passing time - 39 2 41 B.3 Differences due to discount-rate changes - - - - B.4 Other changes 5 23 140 168 of which: business combinations - - - - C. Decreases 2 1,080 1,176 2,258 C.1 Use during the year - 266 610 876 C.2 Differences due to discount-rate changes - - 1 1 C.3 Other changes 2 814 565 1,381 of which: business combinations - - - - D. Closing balance 142 4,738 3,781 8,661 It is worth to note that the subitem “B.1 Provision for the year” includes gain on settlement for €30 million (of which €16 related to UniCredit Bank Austria AG and €14 million related to UniCredit S.p.A.). For further details refer to paragraph 10.5 Pensions and other post-retirement defined-benefit obligations, Consolidated financial statements of UniCredit group, Notes to consolidated accounts, Part B Consolidated balance sheet - Liabilities. 10.3 Provisions for credit risk on commitments and financial guarantees given (€ million) AMOUNTS AS AT 12.31.2021 PROVISIONS FOR CREDIT RISK ON COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL Loan commitments given 147 133 310 - 590 Financial guarantees given 54 93 546 - 693 Total 201 226 856 - 1,283 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 256 2021 Annual Report and Accounts · UniCredit Section 10 - Provisions for risks and charges - Item 100 10.1 Provisions for risks and charges: breakdown (€ million) AMOUNTS AS AT ITEMS/COMPONENTS 12.31.2021 12.31.2020 1. Provisions for credit risk on commitments and financial guarantees given 1,283 1,263 2. Provisions for other commitments and other guarantees given 142 125 3. Pensions and other post-retirement benefit obligations 4,738 5,677 4. Other provisions for risks and charges 3,781 3,123 4.1 Legal and tax disputes 865 749 4.2 Staff expenses 1,800 943 4.3 Other 1,116 1,431 Total 9,944 10,188 The item "4. Other provisions for risks and charges" consists of: • legal disputes: cases in which the Group is a defendant, and post-insolvency clawback petitions (more information on litigation is set out in the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, 2.5 Operational risks, Qualitative information); • Staff expenses include the restructuring costs associated with the implementation of the Strategic plan for the portion that has not been either settled or reclassified to "Other liabilities" as a result of the incurrence of a specific debt toward the employees; • other: provisions for risks and charges not attributable to the above items, whose details are illustrated in the table 10.6 below. 10.2 Provisions for risks and charges: annual changes (€ million) CHANGES IN 2021 PROVISIONS FOR OTHER OFF-BALANCE SHEET COMMITMENTS AND OTHER GUARANTEES GIVEN PENSION AND POST-RETIREMENT BENEFIT OBLIGATIONS OTHER PROVISIONS FOR RISKS AND CHARGES TOTAL A. Opening balance 125 5,677 3,123 8,925 B. Increases 19 141 1,834 1,994 B.1 Provisions for the year 14 79 1,692 1,785 B.2 Changes due to the passing time - 39 2 41 B.3 Differences due to discount-rate changes - - - - B.4 Other changes 5 23 140 168 of which: business combinations - - - - C. Decreases 2 1,080 1,176 2,258 C.1 Use during the year - 266 610 876 C.2 Differences due to discount-rate changes - - 1 1 C.3 Other changes 2 814 565 1,381 of which: business combinations - - - - D. Closing balance 142 4,738 3,781 8,661 It is worth to note that the subitem “B.1 Provision for the year” includes gain on settlement for €30 million (of which €16 related to UniCredit Bank Austria AG and €14 million related to UniCredit S.p.A.). For further details refer to paragraph 10.5 Pensions and other post-retirement defined-benefit obligations, Consolidated financial statements of UniCredit group, Notes to consolidated accounts, Part B Consolidated balance sheet - Liabilities. 10.3 Provisions for credit risk on commitments and financial guarantees given (€ million) AMOUNTS AS AT 12.31.2021 PROVISIONS FOR CREDIT RISK ON COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL Loan commitments given 147 133 310 - 590 Financial guarantees given 54 93 546 - 693 Total 201 226 856 - 1,283 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 256 2021 Annual Report and Accounts · UniCredit Section 10 - Provisions for risks and charges - Item 100 10.1 Provisions for risks and charges: breakdown (€ million) AMOUNTS AS AT ITEMS/COMPONENTS 12.31.2021 12.31.2020 1. Provisions for credit risk on commitments and financial guarantees given 1,283 1,263 2. Provisions for other commitments and other guarantees given 142 125 3. Pensions and other post-retirement benefit obligations 4,738 5,677 4. Other provisions for risks and charges 3,781 3,123 4.1 Legal and tax disputes 865 749 4.2 Staff expenses 1,800 943 4.3 Other 1,116 1,431 Total 9,944 10,188 The item "4. Other provisions for risks and charges" consists of: • legal disputes: cases in which the Group is a defendant, and post-insolvency clawback petitions (more information on litigation is set out in the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, 2.5 Operational risks, Qualitative information); • Staff expenses include the restructuring costs associated with the implementation of the Strategic plan for the portion that has not been either settled or reclassified to "Other liabilities" as a result of the incurrence of a specific debt toward the employees; • other: provisions for risks and charges not attributable to the above items, whose details are illustrated in the table 10.6 below. 10.2 Provisions for risks and charges: annual changes (€ million) CHANGES IN 2021 PROVISIONS FOR OTHER OFF-BALANCE SHEET COMMITMENTS AND OTHER GUARANTEES GIVEN PENSION AND POST-RETIREMENT BENEFIT OBLIGATIONS OTHER PROVISIONS FOR RISKS AND CHARGES TOTAL A. Opening balance 125 5,677 3,123 8,925 B. Increases 19 141 1,834 1,994 B.1 Provisions for the year 14 79 1,692 1,785 B.2 Changes due to the passing time - 39 2 41 B.3 Differences due to discount-rate changes - - - - B.4 Other changes 5 23 140 168 of which: business combinations - - - - C. Decreases 2 1,080 1,176 2,258 C.1 Use during the year - 266 610 876 C.2 Differences due to discount-rate changes - - 1 1 C.3 Other changes 2 814 565 1,381 of which: business combinations - - - - D. Closing balance 142 4,738 3,781 8,661 It is worth to note that the subitem “B.1 Provision for the year” includes gain on settlement for €30 million (of which €16 related to UniCredit Bank Austria AG and €14 million related to UniCredit S.p.A.). For further details refer to paragraph 10.5 Pensions and other post-retirement defined-benefit obligations, Consolidated financial statements of UniCredit group, Notes to consolidated accounts, Part B Consolidated balance sheet - Liabilities. 10.3 Provisions for credit risk on commitments and financial guarantees given (€ million) AMOUNTS AS AT 12.31.2021 PROVISIONS FOR CREDIT RISK ON COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL Loan commitments given 147 133 310 - 590 Financial guarantees given 54 93 546 - 693 Total 201 226 856 - 1,283 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 257 10.4 Provisions on other commitments and other issued guarantees (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 1. Other issued guarantees 142 125 2. Other commitments - - Total 142 125 10.5 Pensions and other post-retirement defined-benefit obligations 1. Pensions and other post-retirement benefit obligations There are several defined-benefit plans within the Group, i.e. plans whose benefit is linked to salary and employee length of service both in Italy and abroad. The Austrian, German and Italian plans account for over 90% of the Group’s pension obligations. The 54% of the total obligations for defined benefit plans are financed with segregated assets. These plans are established in (i) Germany, among others "Direct Pension Plan" (i.e. an external fund managed by independent trustees), the "HVB Trust Pensionfonds AG" and the "Pensionkasse der Hypovereinsbank WaG", all created by UniCredit Bank AG (UCB AG), and (ii) in the United Kingdom, Italy and Luxembourg created by UCB AG and UniCredit S.p.A. The Group’s defined-benefit plans are mainly closed to new recruits where most new recruits join defined-contribution plans instead and the related contributions are charged to the income statement. According to IAS19, obligations arising from defined-benefit plans are determined using the “projected unit credit” method, while segregated assets are measured at fair value at Balance sheet reporting date. The balance sheet obligation is the result of the deficit/surplus (i.e., the difference between obligations and assets) net of any impacts of the asset ceiling; actuarial gains and losses are recognised in shareholders’ equity and shown in a specific item of revaluation reserves in the financial year in which they are recorded. The actuarial assumptions used to determine obligations vary from country to country and from plan to plan; the discount rate is determined, depending on the currency of denomination of the commitments and the maturity of the liability, by reference to market yields at the balance sheet date on a basket of “high quality corporate bonds”. In light of evolving common interpretation about “high quality corporate bonds” identification and persisting interest rates decreasing trend, UCG refined its Discount Rate setting methodology by referencing AA rated corporate bonds basket. In addition, instead of econometric models, a Nelson Siegel methodology has been applied in modelling the yield-curve expressed by the basket of securities (by adjusting the long-term segment of the curve above the last liquid point - defined as the average maturity of the last 5 available bonds - relying on the slope of a Treasury curve build with AA Govies). It is worth to note that, during second quarter 2021, a capitalization offer (early settlement of liability by one-off payment) has been launched, on a voluntary basis, with regard to defined benefit plans of UniCredit S.p.A. It has been concluded within second half 2021 with an overall impact in P&L of +€14 million. In addition, within 2021 UniCredit Bank Austria AG has recognized a positive impact in P&L for €16 million, as a gain on settlement of portions of its defined benefit plans. The remeasurement of commitments as at 31 December 2021 leads to a decrease in the negative balance of the valuation reserve relating to actuarial gains/losses on defined benefit plans of €223 million, net of deferred taxes (for a negative balance which move from -€3,843 million as at 31 December 2020 to -€3,620 million as at 31 December 2021 including €18 million transfer to “Other Reserves” in connection with the above mentioned capitalization offer). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 257 10.4 Provisions on other commitments and other issued guarantees (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 1. Other issued guarantees 142 125 2. Other commitments - - Total 142 125 10.5 Pensions and other post-retirement defined-benefit obligations 1. Pensions and other post-retirement benefit obligations There are several defined-benefit plans within the Group, i.e. plans whose benefit is linked to salary and employee length of service both in Italy and abroad. The Austrian, German and Italian plans account for over 90% of the Group’s pension obligations. The 54% of the total obligations for defined benefit plans are financed with segregated assets. These plans are established in (i) Germany, among others "Direct Pension Plan" (i.e. an external fund managed by independent trustees), the "HVB Trust Pensionfonds AG" and the "Pensionkasse der Hypovereinsbank WaG", all created by UniCredit Bank AG (UCB AG), and (ii) in the United Kingdom, Italy and Luxembourg created by UCB AG and UniCredit S.p.A. The Group’s defined-benefit plans are mainly closed to new recruits where most new recruits join defined-contribution plans instead and the related contributions are charged to the income statement. According to IAS19, obligations arising from defined-benefit plans are determined using the “projected unit credit” method, while segregated assets are measured at fair value at Balance sheet reporting date. The balance sheet obligation is the result of the deficit/surplus (i.e., the difference between obligations and assets) net of any impacts of the asset ceiling; actuarial gains and losses are recognised in shareholders’ equity and shown in a specific item of revaluation reserves in the financial year in which they are recorded. The actuarial assumptions used to determine obligations vary from country to country and from plan to plan; the discount rate is determined, depending on the currency of denomination of the commitments and the maturity of the liability, by reference to market yields at the balance sheet date on a basket of “high quality corporate bonds”. In light of evolving common interpretation about “high quality corporate bonds” identification and persisting interest rates decreasing trend, UCG refined its Discount Rate setting methodology by referencing AA rated corporate bonds basket. In addition, instead of econometric models, a Nelson Siegel methodology has been applied in modelling the yield-curve expressed by the basket of securities (by adjusting the long-term segment of the curve above the last liquid point - defined as the average maturity of the last 5 available bonds - relying on the slope of a Treasury curve build with AA Govies). It is worth to note that, during second quarter 2021, a capitalization offer (early settlement of liability by one-off payment) has been launched, on a voluntary basis, with regard to defined benefit plans of UniCredit S.p.A. It has been concluded within second half 2021 with an overall impact in P&L of +€14 million. In addition, within 2021 UniCredit Bank Austria AG has recognized a positive impact in P&L for €16 million, as a gain on settlement of portions of its defined benefit plans. The remeasurement of commitments as at 31 December 2021 leads to a decrease in the negative balance of the valuation reserve relating to actuarial gains/losses on defined benefit plans of €223 million, net of deferred taxes (for a negative balance which move from -€3,843 million as at 31 December 2020 to -€3,620 million as at 31 December 2021 including €18 million transfer to “Other Reserves” in connection with the above mentioned capitalization offer). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 257 10.4 Provisions on other commitments and other issued guarantees (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 1. Other issued guarantees 142 125 2. Other commitments - - Total 142 125 10.5 Pensions and other post-retirement defined-benefit obligations 1. Pensions and other post-retirement benefit obligations There are several defined-benefit plans within the Group, i.e. plans whose benefit is linked to salary and employee length of service both in Italy and abroad. The Austrian, German and Italian plans account for over 90% of the Group’s pension obligations. The 54% of the total obligations for defined benefit plans are financed with segregated assets. These plans are established in (i) Germany, among others "Direct Pension Plan" (i.e. an external fund managed by independent trustees), the "HVB Trust Pensionfonds AG" and the "Pensionkasse der Hypovereinsbank WaG", all created by UniCredit Bank AG (UCB AG), and (ii) in the United Kingdom, Italy and Luxembourg created by UCB AG and UniCredit S.p.A. The Group’s defined-benefit plans are mainly closed to new recruits where most new recruits join defined-contribution plans instead and the related contributions are charged to the income statement. According to IAS19, obligations arising from defined-benefit plans are determined using the “projected unit credit” method, while segregated assets are measured at fair value at Balance sheet reporting date. The balance sheet obligation is the result of the deficit/surplus (i.e., the difference between obligations and assets) net of any impacts of the asset ceiling; actuarial gains and losses are recognised in shareholders’ equity and shown in a specific item of revaluation reserves in the financial year in which they are recorded. The actuarial assumptions used to determine obligations vary from country to country and from plan to plan; the discount rate is determined, depending on the currency of denomination of the commitments and the maturity of the liability, by reference to market yields at the balance sheet date on a basket of “high quality corporate bonds”. In light of evolving common interpretation about “high quality corporate bonds” identification and persisting interest rates decreasing trend, UCG refined its Discount Rate setting methodology by referencing AA rated corporate bonds basket. In addition, instead of econometric models, a Nelson Siegel methodology has been applied in modelling the yield-curve expressed by the basket of securities (by adjusting the long-term segment of the curve above the last liquid point - defined as the average maturity of the last 5 available bonds - relying on the slope of a Treasury curve build with AA Govies). It is worth to note that, during second quarter 2021, a capitalization offer (early settlement of liability by one-off payment) has been launched, on a voluntary basis, with regard to defined benefit plans of UniCredit S.p.A. It has been concluded within second half 2021 with an overall impact in P&L of +€14 million. In addition, within 2021 UniCredit Bank Austria AG has recognized a positive impact in P&L for €16 million, as a gain on settlement of portions of its defined benefit plans. The remeasurement of commitments as at 31 December 2021 leads to a decrease in the negative balance of the valuation reserve relating to actuarial gains/losses on defined benefit plans of €223 million, net of deferred taxes (for a negative balance which move from -€3,843 million as at 31 December 2020 to -€3,620 million as at 31 December 2021 including €18 million transfer to “Other Reserves” in connection with the above mentioned capitalization offer). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 257 10.4 Provisions on other commitments and other issued guarantees (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 1. Other issued guarantees 142 125 2. Other commitments - - Total 142 125 10.5 Pensions and other post-retirement defined-benefit obligations 1. Pensions and other post-retirement benefit obligations There are several defined-benefit plans within the Group, i.e. plans whose benefit is linked to salary and employee length of service both in Italy and abroad. The Austrian, German and Italian plans account for over 90% of the Group’s pension obligations. The 54% of the total obligations for defined benefit plans are financed with segregated assets. These plans are established in (i) Germany, among others "Direct Pension Plan" (i.e. an external fund managed by independent trustees), the "HVB Trust Pensionfonds AG" and the "Pensionkasse der Hypovereinsbank WaG", all created by UniCredit Bank AG (UCB AG), and (ii) in the United Kingdom, Italy and Luxembourg created by UCB AG and UniCredit S.p.A. The Group’s defined-benefit plans are mainly closed to new recruits where most new recruits join defined-contribution plans instead and the related contributions are charged to the income statement. According to IAS19, obligations arising from defined-benefit plans are determined using the “projected unit credit” method, while segregated assets are measured at fair value at Balance sheet reporting date. The balance sheet obligation is the result of the deficit/surplus (i.e., the difference between obligations and assets) net of any impacts of the asset ceiling; actuarial gains and losses are recognised in shareholders’ equity and shown in a specific item of revaluation reserves in the financial year in which they are recorded. The actuarial assumptions used to determine obligations vary from country to country and from plan to plan; the discount rate is determined, depending on the currency of denomination of the commitments and the maturity of the liability, by reference to market yields at the balance sheet date on a basket of “high quality corporate bonds”. In light of evolving common interpretation about “high quality corporate bonds” identification and persisting interest rates decreasing trend, UCG refined its Discount Rate setting methodology by referencing AA rated corporate bonds basket. In addition, instead of econometric models, a Nelson Siegel methodology has been applied in modelling the yield-curve expressed by the basket of securities (by adjusting the long-term segment of the curve above the last liquid point - defined as the average maturity of the last 5 available bonds - relying on the slope of a Treasury curve build with AA Govies). It is worth to note that, during second quarter 2021, a capitalization offer (early settlement of liability by one-off payment) has been launched, on a voluntary basis, with regard to defined benefit plans of UniCredit S.p.A. It has been concluded within second half 2021 with an overall impact in P&L of +€14 million. In addition, within 2021 UniCredit Bank Austria AG has recognized a positive impact in P&L for €16 million, as a gain on settlement of portions of its defined benefit plans. The remeasurement of commitments as at 31 December 2021 leads to a decrease in the negative balance of the valuation reserve relating to actuarial gains/losses on defined benefit plans of €223 million, net of deferred taxes (for a negative balance which move from -€3,843 million as at 31 December 2020 to -€3,620 million as at 31 December 2021 including €18 million transfer to “Other Reserves” in connection with the above mentioned capitalization offer). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 257 10.4 Provisions on other commitments and other issued guarantees (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 1. Other issued guarantees 142 125 2. Other commitments - - Total 142 125 10.5 Pensions and other post-retirement defined-benefit obligations 1. Pensions and other post-retirement benefit obligations There are several defined-benefit plans within the Group, i.e. plans whose benefit is linked to salary and employee length of service both in Italy and abroad. The Austrian, German and Italian plans account for over 90% of the Group’s pension obligations. The 54% of the total obligations for defined benefit plans are financed with segregated assets. These plans are established in (i) Germany, among others "Direct Pension Plan" (i.e. an external fund managed by independent trustees), the "HVB Trust Pensionfonds AG" and the "Pensionkasse der Hypovereinsbank WaG", all created by UniCredit Bank AG (UCB AG), and (ii) in the United Kingdom, Italy and Luxembourg created by UCB AG and UniCredit S.p.A. The Group’s defined-benefit plans are mainly closed to new recruits where most new recruits join defined-contribution plans instead and the related contributions are charged to the income statement. According to IAS19, obligations arising from defined-benefit plans are determined using the “projected unit credit” method, while segregated assets are measured at fair value at Balance sheet reporting date. The balance sheet obligation is the result of the deficit/surplus (i.e., the difference between obligations and assets) net of any impacts of the asset ceiling; actuarial gains and losses are recognised in shareholders’ equity and shown in a specific item of revaluation reserves in the financial year in which they are recorded. The actuarial assumptions used to determine obligations vary from country to country and from plan to plan; the discount rate is determined, depending on the currency of denomination of the commitments and the maturity of the liability, by reference to market yields at the balance sheet date on a basket of “high quality corporate bonds”. In light of evolving common interpretation about “high quality corporate bonds” identification and persisting interest rates decreasing trend, UCG refined its Discount Rate setting methodology by referencing AA rated corporate bonds basket. In addition, instead of econometric models, a Nelson Siegel methodology has been applied in modelling the yield-curve expressed by the basket of securities (by adjusting the long-term segment of the curve above the last liquid point - defined as the average maturity of the last 5 available bonds - relying on the slope of a Treasury curve build with AA Govies). It is worth to note that, during second quarter 2021, a capitalization offer (early settlement of liability by one-off payment) has been launched, on a voluntary basis, with regard to defined benefit plans of UniCredit S.p.A. It has been concluded within second half 2021 with an overall impact in P&L of +€14 million. In addition, within 2021 UniCredit Bank Austria AG has recognized a positive impact in P&L for €16 million, as a gain on settlement of portions of its defined benefit plans. The remeasurement of commitments as at 31 December 2021 leads to a decrease in the negative balance of the valuation reserve relating to actuarial gains/losses on defined benefit plans of €223 million, net of deferred taxes (for a negative balance which move from -€3,843 million as at 31 December 2020 to -€3,620 million as at 31 December 2021 including €18 million transfer to “Other Reserves” in connection with the above mentioned capitalization offer). Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 258 2021 Annual Report and Accounts · UniCredit 2. Changes of net defined benefit liability/asset and any reimbursement rights 2.1 Breakdown of defined benefit net obligation (€ million) 12.31.2021 12.31.2020 Current value of the defined benefit obligation 10,164 10,716 Current value of the plan assets (5,452) (5,061) Deficit/(Surplus) 4,712 5,655 Irrecoverable surplus (effect of asset ceiling) - - Net defined benefit liability/(asset) as of the period end date 4,712 5,655 2.2 Changes in defined benefit obligations (€ million) 12.31.2021 12.31.2020 Initial defined benefit obligation 10,716 10,421 Current service cost 107 100 Settlement (gain)/loss (30) - Past service cost - - Interest expense on the defined benefit obligation 82 114 Write-downs for actuarial (gains)/losses on defined benefit plans (274) 477 Employees' contributions for defined benefit plans 9 8 Disbursements from plan assets (157) (165) Disbursements directly paid by the fund (228) (232) Settlements (70) (1) Other increases (decreases) 9 (6) Net defined benefit liability/(asset) as of the period end date 10,164 10,716 2.3 Changes to plan assets (€ million) 12.31.2021 12.31.2020 Initial fair value of plan assets 5,061 4,833 Interest income on plan assets 43 57 Administrative expenses paid from plan assets - - Write-downs on the fair value of plan assets for actuarial gains (losses) on the discount rate (13) 118 Employer contributions 530 226 Disbursements from plan assets (157) (165) Settlements (33) - Other increases (decreases) 21 (8) Final fair value of plan assets 5,452 5,061 3. Main plan asset classes (€ million) 12.31.2021 12.31.2020 1. Shares 240 73 2. Bonds 349 374 3. Units in investment funds 4,768 4,050 4. Real estate properties 26 236 5. Derivative instruments - - 6. Other assets 69 328 Total 5,452 5,061 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 258 2021 Annual Report and Accounts · UniCredit 2. Changes of net defined benefit liability/asset and any reimbursement rights 2.1 Breakdown of defined benefit net obligation (€ million) 12.31.2021 12.31.2020 Current value of the defined benefit obligation 10,164 10,716 Current value of the plan assets (5,452) (5,061) Deficit/(Surplus) 4,712 5,655 Irrecoverable surplus (effect of asset ceiling) - - Net defined benefit liability/(asset) as of the period end date 4,712 5,655 2.2 Changes in defined benefit obligations (€ million) 12.31.2021 12.31.2020 Initial defined benefit obligation 10,716 10,421 Current service cost 107 100 Settlement (gain)/loss (30) - Past service cost - - Interest expense on the defined benefit obligation 82 114 Write-downs for actuarial (gains)/losses on defined benefit plans (274) 477 Employees' contributions for defined benefit plans 9 8 Disbursements from plan assets (157) (165) Disbursements directly paid by the fund (228) (232) Settlements (70) (1) Other increases (decreases) 9 (6) Net defined benefit liability/(asset) as of the period end date 10,164 10,716 2.3 Changes to plan assets (€ million) 12.31.2021 12.31.2020 Initial fair value of plan assets 5,061 4,833 Interest income on plan assets 43 57 Administrative expenses paid from plan assets - - Write-downs on the fair value of plan assets for actuarial gains (losses) on the discount rate (13) 118 Employer contributions 530 226 Disbursements from plan assets (157) (165) Settlements (33) - Other increases (decreases) 21 (8) Final fair value of plan assets 5,452 5,061 3. Main plan asset classes (€ million) 12.31.2021 12.31.2020 1. Shares 240 73 2. Bonds 349 374 3. Units in investment funds 4,768 4,050 4. Real estate properties 26 236 5. Derivative instruments - - 6. Other assets 69 328 Total 5,452 5,061 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 258 2021 Annual Report and Accounts · UniCredit 2. Changes of net defined benefit liability/asset and any reimbursement rights 2.1 Breakdown of defined benefit net obligation (€ million) 12.31.2021 12.31.2020 Current value of the defined benefit obligation 10,164 10,716 Current value of the plan assets (5,452) (5,061) Deficit/(Surplus) 4,712 5,655 Irrecoverable surplus (effect of asset ceiling) - - Net defined benefit liability/(asset) as of the period end date 4,712 5,655 2.2 Changes in defined benefit obligations (€ million) 12.31.2021 12.31.2020 Initial defined benefit obligation 10,716 10,421 Current service cost 107 100 Settlement (gain)/loss (30) - Past service cost - - Interest expense on the defined benefit obligation 82 114 Write-downs for actuarial (gains)/losses on defined benefit plans (274) 477 Employees' contributions for defined benefit plans 9 8 Disbursements from plan assets (157) (165) Disbursements directly paid by the fund (228) (232) Settlements (70) (1) Other increases (decreases) 9 (6) Net defined benefit liability/(asset) as of the period end date 10,164 10,716 2.3 Changes to plan assets (€ million) 12.31.2021 12.31.2020 Initial fair value of plan assets 5,061 4,833 Interest income on plan assets 43 57 Administrative expenses paid from plan assets - - Write-downs on the fair value of plan assets for actuarial gains (losses) on the discount rate (13) 118 Employer contributions 530 226 Disbursements from plan assets (157) (165) Settlements (33) - Other increases (decreases) 21 (8) Final fair value of plan assets 5,452 5,061 3. Main plan asset classes (€ million) 12.31.2021 12.31.2020 1. Shares 240 73 2. Bonds 349 374 3. Units in investment funds 4,768 4,050 4. Real estate properties 26 236 5. Derivative instruments - - 6. Other assets 69 328 Total 5,452 5,061 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 258 2021 Annual Report and Accounts · UniCredit 2. Changes of net defined benefit liability/asset and any reimbursement rights 2.1 Breakdown of defined benefit net obligation (€ million) 12.31.2021 12.31.2020 Current value of the defined benefit obligation 10,164 10,716 Current value of the plan assets (5,452) (5,061) Deficit/(Surplus) 4,712 5,655 Irrecoverable surplus (effect of asset ceiling) - - Net defined benefit liability/(asset) as of the period end date 4,712 5,655 2.2 Changes in defined benefit obligations (€ million) 12.31.2021 12.31.2020 Initial defined benefit obligation 10,716 10,421 Current service cost 107 100 Settlement (gain)/loss (30) - Past service cost - - Interest expense on the defined benefit obligation 82 114 Write-downs for actuarial (gains)/losses on defined benefit plans (274) 477 Employees' contributions for defined benefit plans 9 8 Disbursements from plan assets (157) (165) Disbursements directly paid by the fund (228) (232) Settlements (70) (1) Other increases (decreases) 9 (6) Net defined benefit liability/(asset) as of the period end date 10,164 10,716 2.3 Changes to plan assets (€ million) 12.31.2021 12.31.2020 Initial fair value of plan assets 5,061 4,833 Interest income on plan assets 43 57 Administrative expenses paid from plan assets - - Write-downs on the fair value of plan assets for actuarial gains (losses) on the discount rate (13) 118 Employer contributions 530 226 Disbursements from plan assets (157) (165) Settlements (33) - Other increases (decreases) 21 (8) Final fair value of plan assets 5,452 5,061 3. Main plan asset classes (€ million) 12.31.2021 12.31.2020 1. Shares 240 73 2. Bonds 349 374 3. Units in investment funds 4,768 4,050 4. Real estate properties 26 236 5. Derivative instruments - - 6. Other assets 69 328 Total 5,452 5,061 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 258 2021 Annual Report and Accounts · UniCredit 2. Changes of net defined benefit liability/asset and any reimbursement rights 2.1 Breakdown of defined benefit net obligation (€ million) 12.31.2021 12.31.2020 Current value of the defined benefit obligation 10,164 10,716 Current value of the plan assets (5,452) (5,061) Deficit/(Surplus) 4,712 5,655 Irrecoverable surplus (effect of asset ceiling) - - Net defined benefit liability/(asset) as of the period end date 4,712 5,655 2.2 Changes in defined benefit obligations (€ million) 12.31.2021 12.31.2020 Initial defined benefit obligation 10,716 10,421 Current service cost 107 100 Settlement (gain)/loss (30) - Past service cost - - Interest expense on the defined benefit obligation 82 114 Write-downs for actuarial (gains)/losses on defined benefit plans (274) 477 Employees' contributions for defined benefit plans 9 8 Disbursements from plan assets (157) (165) Disbursements directly paid by the fund (228) (232) Settlements (70) (1) Other increases (decreases) 9 (6) Net defined benefit liability/(asset) as of the period end date 10,164 10,716 2.3 Changes to plan assets (€ million) 12.31.2021 12.31.2020 Initial fair value of plan assets 5,061 4,833 Interest income on plan assets 43 57 Administrative expenses paid from plan assets - - Write-downs on the fair value of plan assets for actuarial gains (losses) on the discount rate (13) 118 Employer contributions 530 226 Disbursements from plan assets (157) (165) Settlements (33) - Other increases (decreases) 21 (8) Final fair value of plan assets 5,452 5,061 3. Main plan asset classes (€ million) 12.31.2021 12.31.2020 1. Shares 240 73 2. Bonds 349 374 3. Units in investment funds 4,768 4,050 4. Real estate properties 26 236 5. Derivative instruments - - 6. Other assets 69 328 Total 5,452 5,061 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 259 4. Significant actuarial assumptions used to determine the current value of defined benefit obligation 12.31.2021 12.31.2020 % % Discount rate 1.16 0.78 Expected return on plan assets 1.16 0.78 Expected compensation increase rate 2.07 2.03 Future increases relating to pension treatments 1.94 1.60 Expected inflation rate 2.57 1.42 5. Impact of changes in financial/demographic assumptions on DBOs and financial duration (€ million) 12.31.2021 - Impact of changes in financial/demographic assumptions on DBOs A. Discount rate A1. -25 basis points 419 4.12% A2. +25 basis points (393) -3.87% B. Future increase rate relating to pension treatments B1. -25 basis points (289) -2.85% B2. +25 basis points 304 2.99% C. Mortality C.1 Life expectancy + 1 year 361 3.55% - Financial duration (years) 16.0 10.6 Provisions for risks and charges - other provisions (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 4.3 Other provisions for risks and charges - other Real estate risks/charges 106 102 Restructuring costs 67 51 Allowances payable to agents 95 87 Disputes regarding financial instruments and derivatives 15 21 Costs for liabilities arising from equity investment disposals 16 206 Other 817 964 Total 1,116 1,431 • The item “Others” includes provisions: - posted in order to cope with the probable risks of loss relating to the purchases of diamonds, that could be carried out under the “customer care” initiative promoted by UniCredit S.p.A. Further information is reported in the related paragraph “Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risks, Qualitative information, E. Other claims by customers; - referring to cover the risks related to certain standard contractual terms contained in the documentary frameworks (i.e. reps & warranties), including securitisation transactions signed with the SPVs, of which UniCredit S.p.A. is Originator, pending the analysis and assessments to be completed within the deadlines established. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 259 4. Significant actuarial assumptions used to determine the current value of defined benefit obligation 12.31.2021 12.31.2020 % % Discount rate 1.16 0.78 Expected return on plan assets 1.16 0.78 Expected compensation increase rate 2.07 2.03 Future increases relating to pension treatments 1.94 1.60 Expected inflation rate 2.57 1.42 5. Impact of changes in financial/demographic assumptions on DBOs and financial duration (€ million) 12.31.2021 - Impact of changes in financial/demographic assumptions on DBOs A. Discount rate A1. -25 basis points 419 4.12% A2. +25 basis points (393) -3.87% B. Future increase rate relating to pension treatments B1. -25 basis points (289) -2.85% B2. +25 basis points 304 2.99% C. Mortality C.1 Life expectancy + 1 year 361 3.55% - Financial duration (years) 16.0 10.6 Provisions for risks and charges - other provisions (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 4.3 Other provisions for risks and charges - other Real estate risks/charges 106 102 Restructuring costs 67 51 Allowances payable to agents 95 87 Disputes regarding financial instruments and derivatives 15 21 Costs for liabilities arising from equity investment disposals 16 206 Other 817 964 Total 1,116 1,431 • The item “Others” includes provisions: - posted in order to cope with the probable risks of loss relating to the purchases of diamonds, that could be carried out under the “customer care” initiative promoted by UniCredit S.p.A. Further information is reported in the related paragraph “Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risks, Qualitative information, E. Other claims by customers; - referring to cover the risks related to certain standard contractual terms contained in the documentary frameworks (i.e. reps & warranties), including securitisation transactions signed with the SPVs, of which UniCredit S.p.A. is Originator, pending the analysis and assessments to be completed within the deadlines established. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 259 4. Significant actuarial assumptions used to determine the current value of defined benefit obligation 12.31.2021 12.31.2020 % % Discount rate 1.16 0.78 Expected return on plan assets 1.16 0.78 Expected compensation increase rate 2.07 2.03 Future increases relating to pension treatments 1.94 1.60 Expected inflation rate 2.57 1.42 5. Impact of changes in financial/demographic assumptions on DBOs and financial duration (€ million) 12.31.2021 - Impact of changes in financial/demographic assumptions on DBOs A. Discount rate A1. -25 basis points 419 4.12% A2. +25 basis points (393) -3.87% B. Future increase rate relating to pension treatments B1. -25 basis points (289) -2.85% B2. +25 basis points 304 2.99% C. Mortality C.1 Life expectancy + 1 year 361 3.55% - Financial duration (years) 16.0 10.6 Provisions for risks and charges - other provisions (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 4.3 Other provisions for risks and charges - other Real estate risks/charges 106 102 Restructuring costs 67 51 Allowances payable to agents 95 87 Disputes regarding financial instruments and derivatives 15 21 Costs for liabilities arising from equity investment disposals 16 206 Other 817 964 Total 1,116 1,431 • The item “Others” includes provisions: - posted in order to cope with the probable risks of loss relating to the purchases of diamonds, that could be carried out under the “customer care” initiative promoted by UniCredit S.p.A. Further information is reported in the related paragraph “Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risks, Qualitative information, E. Other claims by customers; - referring to cover the risks related to certain standard contractual terms contained in the documentary frameworks (i.e. reps & warranties), including securitisation transactions signed with the SPVs, of which UniCredit S.p.A. is Originator, pending the analysis and assessments to be completed within the deadlines established. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 259 4. Significant actuarial assumptions used to determine the current value of defined benefit obligation 12.31.2021 12.31.2020 % % Discount rate 1.16 0.78 Expected return on plan assets 1.16 0.78 Expected compensation increase rate 2.07 2.03 Future increases relating to pension treatments 1.94 1.60 Expected inflation rate 2.57 1.42 5. Impact of changes in financial/demographic assumptions on DBOs and financial duration (€ million) 12.31.2021 - Impact of changes in financial/demographic assumptions on DBOs A. Discount rate A1. -25 basis points 419 4.12% A2. +25 basis points (393) -3.87% B. Future increase rate relating to pension treatments B1. -25 basis points (289) -2.85% B2. +25 basis points 304 2.99% C. Mortality C.1 Life expectancy + 1 year 361 3.55% - Financial duration (years) 16.0 10.6 Provisions for risks and charges - other provisions (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 4.3 Other provisions for risks and charges - other Real estate risks/charges 106 102 Restructuring costs 67 51 Allowances payable to agents 95 87 Disputes regarding financial instruments and derivatives 15 21 Costs for liabilities arising from equity investment disposals 16 206 Other 817 964 Total 1,116 1,431 • The item “Others” includes provisions: - posted in order to cope with the probable risks of loss relating to the purchases of diamonds, that could be carried out under the “customer care” initiative promoted by UniCredit S.p.A. Further information is reported in the related paragraph “Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risks, Qualitative information, E. Other claims by customers; - referring to cover the risks related to certain standard contractual terms contained in the documentary frameworks (i.e. reps & warranties), including securitisation transactions signed with the SPVs, of which UniCredit S.p.A. is Originator, pending the analysis and assessments to be completed within the deadlines established. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 259 4. Significant actuarial assumptions used to determine the current value of defined benefit obligation 12.31.2021 12.31.2020 % % Discount rate 1.16 0.78 Expected return on plan assets 1.16 0.78 Expected compensation increase rate 2.07 2.03 Future increases relating to pension treatments 1.94 1.60 Expected inflation rate 2.57 1.42 5. Impact of changes in financial/demographic assumptions on DBOs and financial duration (€ million) 12.31.2021 - Impact of changes in financial/demographic assumptions on DBOs A. Discount rate A1. -25 basis points 419 4.12% A2. +25 basis points (393) -3.87% B. Future increase rate relating to pension treatments B1. -25 basis points (289) -2.85% B2. +25 basis points 304 2.99% C. Mortality C.1 Life expectancy + 1 year 361 3.55% - Financial duration (years) 16.0 10.6 Provisions for risks and charges - other provisions (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 4.3 Other provisions for risks and charges - other Real estate risks/charges 106 102 Restructuring costs 67 51 Allowances payable to agents 95 87 Disputes regarding financial instruments and derivatives 15 21 Costs for liabilities arising from equity investment disposals 16 206 Other 817 964 Total 1,116 1,431 • The item “Others” includes provisions: - posted in order to cope with the probable risks of loss relating to the purchases of diamonds, that could be carried out under the “customer care” initiative promoted by UniCredit S.p.A. Further information is reported in the related paragraph “Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risks, Qualitative information, E. Other claims by customers; - referring to cover the risks related to certain standard contractual terms contained in the documentary frameworks (i.e. reps & warranties), including securitisation transactions signed with the SPVs, of which UniCredit S.p.A. is Originator, pending the analysis and assessments to be completed within the deadlines established. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 260 2021 Annual Report and Accounts · UniCredit Section 11 - Technical reserves - Item 110 No data to be disclosed. Section 12 - Redeemable Shares - Item 130 No data to be disclosed. Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 As at 31 December 2021 the Group shareholders’ equity, including the result for the year of +€1,540 million, amounted to €61,628 million, against €59,507 million at the end of 2020. The table below shows the breakdown of Group equity and the changes over the previous year. Group shareholders' equity: breakdown (€ million) AMOUNTS AS AT CHANGES 12.31.2021 12.31.2020 AMOUNT % 1. Share capital 21,133 21,060 73 0.3% 2. Share premium reserve 5,446 9,386 -3,940 -42.0% 3. Reserves 31,451 31,167 284 0.9% 4. Treasury shares (200) (3) -197 n.m. a. Parent Company (199) (2) -197 n.m. b. Subsidiaries (1) (1) - - 5. Valuation reserve (4,337) (6,159) 1,822 -29.6% 6. Equity instruments 6,595 6,841 -246 -3.6% 7. Net profit (loss) 1,540 (2,785) 4,325 n.m. Total 61,628 59,507 2,121 3.6% Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 260 2021 Annual Report and Accounts · UniCredit Section 11 - Technical reserves - Item 110 No data to be disclosed. Section 12 - Redeemable Shares - Item 130 No data to be disclosed. Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 As at 31 December 2021 the Group shareholders’ equity, including the result for the year of +€1,540 million, amounted to €61,628 million, against €59,507 million at the end of 2020. The table below shows the breakdown of Group equity and the changes over the previous year. Group shareholders' equity: breakdown (€ million) AMOUNTS AS AT CHANGES 12.31.2021 12.31.2020 AMOUNT % 1. Share capital 21,133 21,060 73 0.3% 2. Share premium reserve 5,446 9,386 -3,940 -42.0% 3. Reserves 31,451 31,167 284 0.9% 4. Treasury shares (200) (3) -197 n.m. a. Parent Company (199) (2) -197 n.m. b. Subsidiaries (1) (1) - - 5. Valuation reserve (4,337) (6,159) 1,822 -29.6% 6. Equity instruments 6,595 6,841 -246 -3.6% 7. Net profit (loss) 1,540 (2,785) 4,325 n.m. Total 61,628 59,507 2,121 3.6% Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 260 2021 Annual Report and Accounts · UniCredit Section 11 - Technical reserves - Item 110 No data to be disclosed. Section 12 - Redeemable Shares - Item 130 No data to be disclosed. Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 As at 31 December 2021 the Group shareholders’ equity, including the result for the year of +€1,540 million, amounted to €61,628 million, against €59,507 million at the end of 2020. The table below shows the breakdown of Group equity and the changes over the previous year. Group shareholders' equity: breakdown (€ million) AMOUNTS AS AT CHANGES 12.31.2021 12.31.2020 AMOUNT % 1. Share capital 21,133 21,060 73 0.3% 2. Share premium reserve 5,446 9,386 -3,940 -42.0% 3. Reserves 31,451 31,167 284 0.9% 4. Treasury shares (200) (3) -197 n.m. a. Parent Company (199) (2) -197 n.m. b. Subsidiaries (1) (1) - - 5. Valuation reserve (4,337) (6,159) 1,822 -29.6% 6. Equity instruments 6,595 6,841 -246 -3.6% 7. Net profit (loss) 1,540 (2,785) 4,325 n.m. Total 61,628 59,507 2,121 3.6% Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 260 2021 Annual Report and Accounts · UniCredit Section 11 - Technical reserves - Item 110 No data to be disclosed. Section 12 - Redeemable Shares - Item 130 No data to be disclosed. Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 As at 31 December 2021 the Group shareholders’ equity, including the result for the year of +€1,540 million, amounted to €61,628 million, against €59,507 million at the end of 2020. The table below shows the breakdown of Group equity and the changes over the previous year. Group shareholders' equity: breakdown (€ million) AMOUNTS AS AT CHANGES 12.31.2021 12.31.2020 AMOUNT % 1. Share capital 21,133 21,060 73 0.3% 2. Share premium reserve 5,446 9,386 -3,940 -42.0% 3. Reserves 31,451 31,167 284 0.9% 4. Treasury shares (200) (3) -197 n.m. a. Parent Company (199) (2) -197 n.m. b. Subsidiaries (1) (1) - - 5. Valuation reserve (4,337) (6,159) 1,822 -29.6% 6. Equity instruments 6,595 6,841 -246 -3.6% 7. Net profit (loss) 1,540 (2,785) 4,325 n.m. Total 61,628 59,507 2,121 3.6% Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 260 2021 Annual Report and Accounts · UniCredit Section 11 - Technical reserves - Item 110 No data to be disclosed. Section 12 - Redeemable Shares - Item 130 No data to be disclosed. Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 As at 31 December 2021 the Group shareholders’ equity, including the result for the year of +€1,540 million, amounted to €61,628 million, against €59,507 million at the end of 2020. The table below shows the breakdown of Group equity and the changes over the previous year. Group shareholders' equity: breakdown (€ million) AMOUNTS AS AT CHANGES 12.31.2021 12.31.2020 AMOUNT % 1. Share capital 21,133 21,060 73 0.3% 2. Share premium reserve 5,446 9,386 -3,940 -42.0% 3. Reserves 31,451 31,167 284 0.9% 4. Treasury shares (200) (3) -197 n.m. a. Parent Company (199) (2) -197 n.m. b. Subsidiaries (1) (1) - - 5. Valuation reserve (4,337) (6,159) 1,822 -29.6% 6. Equity instruments 6,595 6,841 -246 -3.6% 7. Net profit (loss) 1,540 (2,785) 4,325 n.m. Total 61,628 59,507 2,121 3.6% Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 261 The +€2,121 million change in Group equity resulted from: (€ million) Change in capital: withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel following the resolution of the Board of Directors of 10 February 2021 73 Use of share premium reserve: for (i) the coverage of the entire loss of UniCredit S.p.A. from the 2020 financial year (-€2,732 million); (ii) the increase of the Legal reserve (-€55 million); (iii) the coverage of the negative components related to the payment of AT1 coupons (-€322 million); (iv) the allocation to specific unavailable reserve in relation to the purchases of treasury shares in execution of “First Buy-Back Programme 2021” (-€179 million); (v) the allocation to specific unavailable reserve for the maximum amount of authorised purchases in execution of “Second Buy-Back Programme” (-€652 million) (3,940) Change in reserves, including those one in treasury shares arising from: 87 · attribution to the reserve of the result of the previous year excluding the loss of UniCredit S.p.A., net of other allocations (55) · coverage of the negative reserves to eliminate the components related to the payment of AT1 coupons (+€322 million), the increase of the Legal reserve (+€55 million), the allocation of a portion of the Share Premium Reserve to set up the specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” (+€179 million) and of the “Second Buy-Back Programme 2021” (+€652 million) for the maximum amount of authorized purchases; consequently the unavailable reserve (-€181 million) was used to offset the negative item Treasury shares (+€181 million) following the cancellation of the shares, including treasury shares already held in portfolio before the start of the buy-back executing the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 15 April 2021 1,208 · purchase of No.17,416,128 shares in the item “Treasury shares” in execution of the “First Buy-Back Programme 2021” (-€179 million) and with subsequent cancellation (as described above) and purchase of No.15,048,642 shares performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021” (-€199 million) (378) · change in reserves connected to Share Based Payments 67 · charge to reserves for the cash-out related to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” relating to the last payment referring to the results of the year 2019 (30) · recognition in reserves from allocation of profit of the cumulated gains (losses) arising from the disposal of equities measured at fair value through Other Comprehensive Income and from the repurchase of financial liabilities designated at fair value occurred during the period. This amount includes also the recycling to reserves from allocation of profit of the eventual amount previously reported in revaluation reserve (69) · withdrawal from the specifically constituted reserves, for the capital increase connected to the medium term incentive plan for Group personnel following the resolution of the Board of Directors of 10 February 2021 (73) · distribution of dividends from profit reserves as approved by Shareholders' Meeting of 15 April 2021 (268) · allocation to the reserves of the coupon paid to subscribers of the Additional Tier 1 notes, net of the related taxes (343) · other changes 28 Change in valuation reserves related to: 1,822 · actuarial gains (losses) on defined-benefit plans 214 · exchange rate differences 285 · tangible assets 246 · the valuation of companies carried at equity 1,604 · hedging for financial risks (314) · financial assets and liabilities valued at fair value (208) · non-current assets classified held-for-sale (5) Change in equity instruments: issue of Additional Tier1 recognised net of the related transaction costs and placement fees (+€744 million) and early redemption of the Additional Tier 1 instruments issued in 2014, net of the related placement costs (-€990 million) (246) Change of the profit for the year compared with that of 31 December 2020 4,325 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 261 The +€2,121 million change in Group equity resulted from: (€ million) Change in capital: withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel following the resolution of the Board of Directors of 10 February 2021 73 Use of share premium reserve: for (i) the coverage of the entire loss of UniCredit S.p.A. from the 2020 financial year (-€2,732 million); (ii) the increase of the Legal reserve (-€55 million); (iii) the coverage of the negative components related to the payment of AT1 coupons (-€322 million); (iv) the allocation to specific unavailable reserve in relation to the purchases of treasury shares in execution of “First Buy-Back Programme 2021” (-€179 million); (v) the allocation to specific unavailable reserve for the maximum amount of authorised purchases in execution of “Second Buy-Back Programme” (-€652 million) (3,940) Change in reserves, including those one in treasury shares arising from: 87 · attribution to the reserve of the result of the previous year excluding the loss of UniCredit S.p.A., net of other allocations (55) · coverage of the negative reserves to eliminate the components related to the payment of AT1 coupons (+€322 million), the increase of the Legal reserve (+€55 million), the allocation of a portion of the Share Premium Reserve to set up the specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” (+€179 million) and of the “Second Buy-Back Programme 2021” (+€652 million) for the maximum amount of authorized purchases; consequently the unavailable reserve (-€181 million) was used to offset the negative item Treasury shares (+€181 million) following the cancellation of the shares, including treasury shares already held in portfolio before the start of the buy-back executing the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 15 April 2021 1,208 · purchase of No.17,416,128 shares in the item “Treasury shares” in execution of the “First Buy-Back Programme 2021” (-€179 million) and with subsequent cancellation (as described above) and purchase of No.15,048,642 shares performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021” (-€199 million) (378) · change in reserves connected to Share Based Payments 67 · charge to reserves for the cash-out related to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” relating to the last payment referring to the results of the year 2019 (30) · recognition in reserves from allocation of profit of the cumulated gains (losses) arising from the disposal of equities measured at fair value through Other Comprehensive Income and from the repurchase of financial liabilities designated at fair value occurred during the period. This amount includes also the recycling to reserves from allocation of profit of the eventual amount previously reported in revaluation reserve (69) · withdrawal from the specifically constituted reserves, for the capital increase connected to the medium term incentive plan for Group personnel following the resolution of the Board of Directors of 10 February 2021 (73) · distribution of dividends from profit reserves as approved by Shareholders' Meeting of 15 April 2021 (268) · allocation to the reserves of the coupon paid to subscribers of the Additional Tier 1 notes, net of the related taxes (343) · other changes 28 Change in valuation reserves related to: 1,822 · actuarial gains (losses) on defined-benefit plans 214 · exchange rate differences 285 · tangible assets 246 · the valuation of companies carried at equity 1,604 · hedging for financial risks (314) · financial assets and liabilities valued at fair value (208) · non-current assets classified held-for-sale (5) Change in equity instruments: issue of Additional Tier1 recognised net of the related transaction costs and placement fees (+€744 million) and early redemption of the Additional Tier 1 instruments issued in 2014, net of the related placement costs (-€990 million) (246) Change of the profit for the year compared with that of 31 December 2020 4,325 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 261 The +€2,121 million change in Group equity resulted from: (€ million) Change in capital: withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel following the resolution of the Board of Directors of 10 February 2021 73 Use of share premium reserve: for (i) the coverage of the entire loss of UniCredit S.p.A. from the 2020 financial year (-€2,732 million); (ii) the increase of the Legal reserve (-€55 million); (iii) the coverage of the negative components related to the payment of AT1 coupons (-€322 million); (iv) the allocation to specific unavailable reserve in relation to the purchases of treasury shares in execution of “First Buy-Back Programme 2021” (-€179 million); (v) the allocation to specific unavailable reserve for the maximum amount of authorised purchases in execution of “Second Buy-Back Programme” (-€652 million) (3,940) Change in reserves, including those one in treasury shares arising from: 87 · attribution to the reserve of the result of the previous year excluding the loss of UniCredit S.p.A., net of other allocations (55) · coverage of the negative reserves to eliminate the components related to the payment of AT1 coupons (+€322 million), the increase of the Legal reserve (+€55 million), the allocation of a portion of the Share Premium Reserve to set up the specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” (+€179 million) and of the “Second Buy-Back Programme 2021” (+€652 million) for the maximum amount of authorized purchases; consequently the unavailable reserve (-€181 million) was used to offset the negative item Treasury shares (+€181 million) following the cancellation of the shares, including treasury shares already held in portfolio before the start of the buy-back executing the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 15 April 2021 1,208 · purchase of No.17,416,128 shares in the item “Treasury shares” in execution of the “First Buy-Back Programme 2021” (-€179 million) and with subsequent cancellation (as described above) and purchase of No.15,048,642 shares performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021” (-€199 million) (378) · change in reserves connected to Share Based Payments 67 · charge to reserves for the cash-out related to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” relating to the last payment referring to the results of the year 2019 (30) · recognition in reserves from allocation of profit of the cumulated gains (losses) arising from the disposal of equities measured at fair value through Other Comprehensive Income and from the repurchase of financial liabilities designated at fair value occurred during the period. This amount includes also the recycling to reserves from allocation of profit of the eventual amount previously reported in revaluation reserve (69) · withdrawal from the specifically constituted reserves, for the capital increase connected to the medium term incentive plan for Group personnel following the resolution of the Board of Directors of 10 February 2021 (73) · distribution of dividends from profit reserves as approved by Shareholders' Meeting of 15 April 2021 (268) · allocation to the reserves of the coupon paid to subscribers of the Additional Tier 1 notes, net of the related taxes (343) · other changes 28 Change in valuation reserves related to: 1,822 · actuarial gains (losses) on defined-benefit plans 214 · exchange rate differences 285 · tangible assets 246 · the valuation of companies carried at equity 1,604 · hedging for financial risks (314) · financial assets and liabilities valued at fair value (208) · non-current assets classified held-for-sale (5) Change in equity instruments: issue of Additional Tier1 recognised net of the related transaction costs and placement fees (+€744 million) and early redemption of the Additional Tier 1 instruments issued in 2014, net of the related placement costs (-€990 million) (246) Change of the profit for the year compared with that of 31 December 2020 4,325 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 261 The +€2,121 million change in Group equity resulted from: (€ million) Change in capital: withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel following the resolution of the Board of Directors of 10 February 2021 73 Use of share premium reserve: for (i) the coverage of the entire loss of UniCredit S.p.A. from the 2020 financial year (-€2,732 million); (ii) the increase of the Legal reserve (-€55 million); (iii) the coverage of the negative components related to the payment of AT1 coupons (-€322 million); (iv) the allocation to specific unavailable reserve in relation to the purchases of treasury shares in execution of “First Buy-Back Programme 2021” (-€179 million); (v) the allocation to specific unavailable reserve for the maximum amount of authorised purchases in execution of “Second Buy-Back Programme” (-€652 million) (3,940) Change in reserves, including those one in treasury shares arising from: 87 · attribution to the reserve of the result of the previous year excluding the loss of UniCredit S.p.A., net of other allocations (55) · coverage of the negative reserves to eliminate the components related to the payment of AT1 coupons (+€322 million), the increase of the Legal reserve (+€55 million), the allocation of a portion of the Share Premium Reserve to set up the specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” (+€179 million) and of the “Second Buy-Back Programme 2021” (+€652 million) for the maximum amount of authorized purchases; consequently the unavailable reserve (-€181 million) was used to offset the negative item Treasury shares (+€181 million) following the cancellation of the shares, including treasury shares already held in portfolio before the start of the buy-back executing the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 15 April 2021 1,208 · purchase of No.17,416,128 shares in the item “Treasury shares” in execution of the “First Buy-Back Programme 2021” (-€179 million) and with subsequent cancellation (as described above) and purchase of No.15,048,642 shares performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021” (-€199 million) (378) · change in reserves connected to Share Based Payments 67 · charge to reserves for the cash-out related to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” relating to the last payment referring to the results of the year 2019 (30) · recognition in reserves from allocation of profit of the cumulated gains (losses) arising from the disposal of equities measured at fair value through Other Comprehensive Income and from the repurchase of financial liabilities designated at fair value occurred during the period. This amount includes also the recycling to reserves from allocation of profit of the eventual amount previously reported in revaluation reserve (69) · withdrawal from the specifically constituted reserves, for the capital increase connected to the medium term incentive plan for Group personnel following the resolution of the Board of Directors of 10 February 2021 (73) · distribution of dividends from profit reserves as approved by Shareholders' Meeting of 15 April 2021 (268) · allocation to the reserves of the coupon paid to subscribers of the Additional Tier 1 notes, net of the related taxes (343) · other changes 28 Change in valuation reserves related to: 1,822 · actuarial gains (losses) on defined-benefit plans 214 · exchange rate differences 285 · tangible assets 246 · the valuation of companies carried at equity 1,604 · hedging for financial risks (314) · financial assets and liabilities valued at fair value (208) · non-current assets classified held-for-sale (5) Change in equity instruments: issue of Additional Tier1 recognised net of the related transaction costs and placement fees (+€744 million) and early redemption of the Additional Tier 1 instruments issued in 2014, net of the related placement costs (-€990 million) (246) Change of the profit for the year compared with that of 31 December 2020 4,325 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 261 The +€2,121 million change in Group equity resulted from: (€ million) Change in capital: withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel following the resolution of the Board of Directors of 10 February 2021 73 Use of share premium reserve: for (i) the coverage of the entire loss of UniCredit S.p.A. from the 2020 financial year (-€2,732 million); (ii) the increase of the Legal reserve (-€55 million); (iii) the coverage of the negative components related to the payment of AT1 coupons (-€322 million); (iv) the allocation to specific unavailable reserve in relation to the purchases of treasury shares in execution of “First Buy-Back Programme 2021” (-€179 million); (v) the allocation to specific unavailable reserve for the maximum amount of authorised purchases in execution of “Second Buy-Back Programme” (-€652 million) (3,940) Change in reserves, including those one in treasury shares arising from: 87 · attribution to the reserve of the result of the previous year excluding the loss of UniCredit S.p.A., net of other allocations (55) · coverage of the negative reserves to eliminate the components related to the payment of AT1 coupons (+€322 million), the increase of the Legal reserve (+€55 million), the allocation of a portion of the Share Premium Reserve to set up the specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” (+€179 million) and of the “Second Buy-Back Programme 2021” (+€652 million) for the maximum amount of authorized purchases; consequently the unavailable reserve (-€181 million) was used to offset the negative item Treasury shares (+€181 million) following the cancellation of the shares, including treasury shares already held in portfolio before the start of the buy-back executing the resolutions of the Shareholders' Meeting of UniCredit S.p.A. of 15 April 2021 1,208 · purchase of No.17,416,128 shares in the item “Treasury shares” in execution of the “First Buy-Back Programme 2021” (-€179 million) and with subsequent cancellation (as described above) and purchase of No.15,048,642 shares performed till 31 December 2021 in execution of the “Second Buy-Back Programme 2021” (-€199 million) (378) · change in reserves connected to Share Based Payments 67 · charge to reserves for the cash-out related to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” relating to the last payment referring to the results of the year 2019 (30) · recognition in reserves from allocation of profit of the cumulated gains (losses) arising from the disposal of equities measured at fair value through Other Comprehensive Income and from the repurchase of financial liabilities designated at fair value occurred during the period. This amount includes also the recycling to reserves from allocation of profit of the eventual amount previously reported in revaluation reserve (69) · withdrawal from the specifically constituted reserves, for the capital increase connected to the medium term incentive plan for Group personnel following the resolution of the Board of Directors of 10 February 2021 (73) · distribution of dividends from profit reserves as approved by Shareholders' Meeting of 15 April 2021 (268) · allocation to the reserves of the coupon paid to subscribers of the Additional Tier 1 notes, net of the related taxes (343) · other changes 28 Change in valuation reserves related to: 1,822 · actuarial gains (losses) on defined-benefit plans 214 · exchange rate differences 285 · tangible assets 246 · the valuation of companies carried at equity 1,604 · hedging for financial risks (314) · financial assets and liabilities valued at fair value (208) · non-current assets classified held-for-sale (5) Change in equity instruments: issue of Additional Tier1 recognised net of the related transaction costs and placement fees (+€744 million) and early redemption of the Additional Tier 1 instruments issued in 2014, net of the related placement costs (-€990 million) (246) Change of the profit for the year compared with that of 31 December 2020 4,325 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 262 2021 Annual Report and Accounts · UniCredit 13.1 "Share capital" and "treasury shares": breakdown (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 ISSUED SHARES UNDERWRITTEN AND NOT YET FULLY PAID SHARES ISSUED SHARES UNDERWRITTEN AND NOT YET FULLY PAID SHARES A. Share Capital A.1 Ordinary shares 21,133 - 21,060 - A.2 Savings shares - - - - Total A 21,133 - 21,060 - B. Treasury Shares (200) - (3) - Reference is made to the paragraph “12.1 “Share capital” and “treasury shares”: breakdown” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.2 Share capital - number of shares owned by the Parent Company: annual changes CHANGES IN 2021 ITEMS/TYPES ORDINARY SAVINGS A. Issued shares as at the beginning of the year 2,237,261,803 - - Fully paid 2,237,261,803 - - Not fully paid - - A.1 Treasury shares (-) (4,760) - A.2 Shares outstanding: opening balance 2,237,257,043 - B. Increases 6,288,605 - B.1 New issues 6,288,605 - - Against payment - - - Business combinations - - - Bonds converted - - - Warrants exercised - - - Other - - - Free 6,288,605 - - To employees 6,288,605 - - To directors - - - Other - - B.2 Sales of treasury shares - - B.3 Other changes - - C. Decreases 32,464,770 - C.1 Cancellation - - C.2 Purchase of treasury shares 32,464,770 - C.3 Business tranferred - - C.4 Other changes - - of which: business combinations - - D. Shares outstanding: closing balance 2,211,080,878 - D.1 Treasury shares (+) 15,048,642 - D.2 Shares outstanding as at the end of the year 2,226,129,520 - - Fully paid 2,226,129,520 - - Not fully paid - - Reference is made to the paragraph “12.2 Share capital - Number of shares: annual changes” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.3 Share capital: other information Reference is made to the paragraph “12.3 Capital: other information” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 262 2021 Annual Report and Accounts · UniCredit 13.1 "Share capital" and "treasury shares": breakdown (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 ISSUED SHARES UNDERWRITTEN AND NOT YET FULLY PAID SHARES ISSUED SHARES UNDERWRITTEN AND NOT YET FULLY PAID SHARES A. Share Capital A.1 Ordinary shares 21,133 - 21,060 - A.2 Savings shares - - - - Total A 21,133 - 21,060 - B. Treasury Shares (200) - (3) - Reference is made to the paragraph “12.1 “Share capital” and “treasury shares”: breakdown” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.2 Share capital - number of shares owned by the Parent Company: annual changes CHANGES IN 2021 ITEMS/TYPES ORDINARY SAVINGS A. Issued shares as at the beginning of the year 2,237,261,803 - - Fully paid 2,237,261,803 - - Not fully paid - - A.1 Treasury shares (-) (4,760) - A.2 Shares outstanding: opening balance 2,237,257,043 - B. Increases 6,288,605 - B.1 New issues 6,288,605 - - Against payment - - - Business combinations - - - Bonds converted - - - Warrants exercised - - - Other - - - Free 6,288,605 - - To employees 6,288,605 - - To directors - - - Other - - B.2 Sales of treasury shares - - B.3 Other changes - - C. Decreases 32,464,770 - C.1 Cancellation - - C.2 Purchase of treasury shares 32,464,770 - C.3 Business tranferred - - C.4 Other changes - - of which: business combinations - - D. Shares outstanding: closing balance 2,211,080,878 - D.1 Treasury shares (+) 15,048,642 - D.2 Shares outstanding as at the end of the year 2,226,129,520 - - Fully paid 2,226,129,520 - - Not fully paid - - Reference is made to the paragraph “12.2 Share capital - Number of shares: annual changes” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.3 Share capital: other information Reference is made to the paragraph “12.3 Capital: other information” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 262 2021 Annual Report and Accounts · UniCredit 13.1 "Share capital" and "treasury shares": breakdown (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 ISSUED SHARES UNDERWRITTEN AND NOT YET FULLY PAID SHARES ISSUED SHARES UNDERWRITTEN AND NOT YET FULLY PAID SHARES A. Share Capital A.1 Ordinary shares 21,133 - 21,060 - A.2 Savings shares - - - - Total A 21,133 - 21,060 - B. Treasury Shares (200) - (3) - Reference is made to the paragraph “12.1 “Share capital” and “treasury shares”: breakdown” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.2 Share capital - number of shares owned by the Parent Company: annual changes CHANGES IN 2021 ITEMS/TYPES ORDINARY SAVINGS A. Issued shares as at the beginning of the year 2,237,261,803 - - Fully paid 2,237,261,803 - - Not fully paid - - A.1 Treasury shares (-) (4,760) - A.2 Shares outstanding: opening balance 2,237,257,043 - B. Increases 6,288,605 - B.1 New issues 6,288,605 - - Against payment - - - Business combinations - - - Bonds converted - - - Warrants exercised - - - Other - - - Free 6,288,605 - - To employees 6,288,605 - - To directors - - - Other - - B.2 Sales of treasury shares - - B.3 Other changes - - C. Decreases 32,464,770 - C.1 Cancellation - - C.2 Purchase of treasury shares 32,464,770 - C.3 Business tranferred - - C.4 Other changes - - of which: business combinations - - D. Shares outstanding: closing balance 2,211,080,878 - D.1 Treasury shares (+) 15,048,642 - D.2 Shares outstanding as at the end of the year 2,226,129,520 - - Fully paid 2,226,129,520 - - Not fully paid - - Reference is made to the paragraph “12.2 Share capital - Number of shares: annual changes” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.3 Share capital: other information Reference is made to the paragraph “12.3 Capital: other information” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 262 2021 Annual Report and Accounts · UniCredit 13.1 "Share capital" and "treasury shares": breakdown (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 ISSUED SHARES UNDERWRITTEN AND NOT YET FULLY PAID SHARES ISSUED SHARES UNDERWRITTEN AND NOT YET FULLY PAID SHARES A. Share Capital A.1 Ordinary shares 21,133 - 21,060 - A.2 Savings shares - - - - Total A 21,133 - 21,060 - B. Treasury Shares (200) - (3) - Reference is made to the paragraph “12.1 “Share capital” and “treasury shares”: breakdown” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.2 Share capital - number of shares owned by the Parent Company: annual changes CHANGES IN 2021 ITEMS/TYPES ORDINARY SAVINGS A. Issued shares as at the beginning of the year 2,237,261,803 - - Fully paid 2,237,261,803 - - Not fully paid - - A.1 Treasury shares (-) (4,760) - A.2 Shares outstanding: opening balance 2,237,257,043 - B. Increases 6,288,605 - B.1 New issues 6,288,605 - - Against payment - - - Business combinations - - - Bonds converted - - - Warrants exercised - - - Other - - - Free 6,288,605 - - To employees 6,288,605 - - To directors - - - Other - - B.2 Sales of treasury shares - - B.3 Other changes - - C. Decreases 32,464,770 - C.1 Cancellation - - C.2 Purchase of treasury shares 32,464,770 - C.3 Business tranferred - - C.4 Other changes - - of which: business combinations - - D. Shares outstanding: closing balance 2,211,080,878 - D.1 Treasury shares (+) 15,048,642 - D.2 Shares outstanding as at the end of the year 2,226,129,520 - - Fully paid 2,226,129,520 - - Not fully paid - - Reference is made to the paragraph “12.2 Share capital - Number of shares: annual changes” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.3 Share capital: other information Reference is made to the paragraph “12.3 Capital: other information” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 262 2021 Annual Report and Accounts · UniCredit 13.1 "Share capital" and "treasury shares": breakdown (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 ISSUED SHARES UNDERWRITTEN AND NOT YET FULLY PAID SHARES ISSUED SHARES UNDERWRITTEN AND NOT YET FULLY PAID SHARES A. Share Capital A.1 Ordinary shares 21,133 - 21,060 - A.2 Savings shares - - - - Total A 21,133 - 21,060 - B. Treasury Shares (200) - (3) - Reference is made to the paragraph “12.1 “Share capital” and “treasury shares”: breakdown” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.2 Share capital - number of shares owned by the Parent Company: annual changes CHANGES IN 2021 ITEMS/TYPES ORDINARY SAVINGS A. Issued shares as at the beginning of the year 2,237,261,803 - - Fully paid 2,237,261,803 - - Not fully paid - - A.1 Treasury shares (-) (4,760) - A.2 Shares outstanding: opening balance 2,237,257,043 - B. Increases 6,288,605 - B.1 New issues 6,288,605 - - Against payment - - - Business combinations - - - Bonds converted - - - Warrants exercised - - - Other - - - Free 6,288,605 - - To employees 6,288,605 - - To directors - - - Other - - B.2 Sales of treasury shares - - B.3 Other changes - - C. Decreases 32,464,770 - C.1 Cancellation - - C.2 Purchase of treasury shares 32,464,770 - C.3 Business tranferred - - C.4 Other changes - - of which: business combinations - - D. Shares outstanding: closing balance 2,211,080,878 - D.1 Treasury shares (+) 15,048,642 - D.2 Shares outstanding as at the end of the year 2,226,129,520 - - Fully paid 2,226,129,520 - - Not fully paid - - Reference is made to the paragraph “12.2 Share capital - Number of shares: annual changes” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.3 Share capital: other information Reference is made to the paragraph “12.3 Capital: other information” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 263 13.4 Reserves from profits: other information (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Legal reserve 1,518 1,518 Statutory reserve 6,828 7,380 Other reserves 14,568 14,557 Total 22,914 23,455 Reference is made to the paragraph “12.4 Reserves from profit: other information” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.5 Equity instruments: breakdown and annual changes Reference is made to the paragraph “12.5 Equity instruments; composition and annual changes” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.6 Other Information Valuation reserves: breakdown (€ million) AMOUNTS AS AT ITEM/TYPES 12.31.2021 12.31.2020 1. Equity instruments designated at fair value through other comprehensive income (196) (339) 2. Financial assets (other than equity instruments) at fair value through other comprehensive income 743 1,119 3. Hedging of equity instruments at fair value through other comprehensive income - - 4. Financial liabilities at fair value through profit or loss (changes in own credit risk) (142) (167) 5. Hedging instruments (non-designated elements) - - 6. Property, plant and equipment 1,713 1,467 7. Intangible assets - - 8. Hedges of foreign investments - - 9. Cash-flow hedges (337) (23) 10. Exchange differences (2,664) (2,949) 11. Non-current assets classified as held for sale (7) (2) 12. Actuarial gains (losses) on defined-benefit plans (3,793) (4,007) 13. Part of valuation reserves of investments valued at net equity 69 (1,535) 14. Special revaluation laws 277 277 Total (4,337) (6,159) The FX currency reserves as at 31 December 2021 mainly refer to the Russian Ruble for -€2,321 million included in the item “Exchange differences” and -€42 million included in the item “Part of valuation reserves of investments valued at net equity”. The main variations in comparison to 31 December 2020 refer to the following reserves: • “Part of valuation reserves of investments valued at net equity” for +€1,604 million mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) the deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira; • “Exchange differences” for +€285 million mainly refers to change of Russian Ruble for +€154 million and Czech Crown for +€147 million; • “Property, plant and equipment” for +€246 million mainly referred to the alignment between tax values of tangible assets and higher accounting values, for further information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts Part C - Income statement, Section 19 - Tax expenses (income) for the period from continuing operations - Item 270; • “Actuarial gains (losses) on defined-benefit plans” for +€214 million mainly referred to the increase in DBO discount rate induced by the reduction in prices of High Quality Corporate Bonds partially offset by plan assets performance; • “Financial assets (other than equity instruments) at fair value through other comprehensive income” for -€376 million mainly due to Government securities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 263 13.4 Reserves from profits: other information (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Legal reserve 1,518 1,518 Statutory reserve 6,828 7,380 Other reserves 14,568 14,557 Total 22,914 23,455 Reference is made to the paragraph “12.4 Reserves from profit: other information” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.5 Equity instruments: breakdown and annual changes Reference is made to the paragraph “12.5 Equity instruments; composition and annual changes” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.6 Other Information Valuation reserves: breakdown (€ million) AMOUNTS AS AT ITEM/TYPES 12.31.2021 12.31.2020 1. Equity instruments designated at fair value through other comprehensive income (196) (339) 2. Financial assets (other than equity instruments) at fair value through other comprehensive income 743 1,119 3. Hedging of equity instruments at fair value through other comprehensive income - - 4. Financial liabilities at fair value through profit or loss (changes in own credit risk) (142) (167) 5. Hedging instruments (non-designated elements) - - 6. Property, plant and equipment 1,713 1,467 7. Intangible assets - - 8. Hedges of foreign investments - - 9. Cash-flow hedges (337) (23) 10. Exchange differences (2,664) (2,949) 11. Non-current assets classified as held for sale (7) (2) 12. Actuarial gains (losses) on defined-benefit plans (3,793) (4,007) 13. Part of valuation reserves of investments valued at net equity 69 (1,535) 14. Special revaluation laws 277 277 Total (4,337) (6,159) The FX currency reserves as at 31 December 2021 mainly refer to the Russian Ruble for -€2,321 million included in the item “Exchange differences” and -€42 million included in the item “Part of valuation reserves of investments valued at net equity”. The main variations in comparison to 31 December 2020 refer to the following reserves: • “Part of valuation reserves of investments valued at net equity” for +€1,604 million mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) the deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira; • “Exchange differences” for +€285 million mainly refers to change of Russian Ruble for +€154 million and Czech Crown for +€147 million; • “Property, plant and equipment” for +€246 million mainly referred to the alignment between tax values of tangible assets and higher accounting values, for further information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts Part C - Income statement, Section 19 - Tax expenses (income) for the period from continuing operations - Item 270; • “Actuarial gains (losses) on defined-benefit plans” for +€214 million mainly referred to the increase in DBO discount rate induced by the reduction in prices of High Quality Corporate Bonds partially offset by plan assets performance; • “Financial assets (other than equity instruments) at fair value through other comprehensive income” for -€376 million mainly due to Government securities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 263 13.4 Reserves from profits: other information (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Legal reserve 1,518 1,518 Statutory reserve 6,828 7,380 Other reserves 14,568 14,557 Total 22,914 23,455 Reference is made to the paragraph “12.4 Reserves from profit: other information” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.5 Equity instruments: breakdown and annual changes Reference is made to the paragraph “12.5 Equity instruments; composition and annual changes” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.6 Other Information Valuation reserves: breakdown (€ million) AMOUNTS AS AT ITEM/TYPES 12.31.2021 12.31.2020 1. Equity instruments designated at fair value through other comprehensive income (196) (339) 2. Financial assets (other than equity instruments) at fair value through other comprehensive income 743 1,119 3. Hedging of equity instruments at fair value through other comprehensive income - - 4. Financial liabilities at fair value through profit or loss (changes in own credit risk) (142) (167) 5. Hedging instruments (non-designated elements) - - 6. Property, plant and equipment 1,713 1,467 7. Intangible assets - - 8. Hedges of foreign investments - - 9. Cash-flow hedges (337) (23) 10. Exchange differences (2,664) (2,949) 11. Non-current assets classified as held for sale (7) (2) 12. Actuarial gains (losses) on defined-benefit plans (3,793) (4,007) 13. Part of valuation reserves of investments valued at net equity 69 (1,535) 14. Special revaluation laws 277 277 Total (4,337) (6,159) The FX currency reserves as at 31 December 2021 mainly refer to the Russian Ruble for -€2,321 million included in the item “Exchange differences” and -€42 million included in the item “Part of valuation reserves of investments valued at net equity”. The main variations in comparison to 31 December 2020 refer to the following reserves: • “Part of valuation reserves of investments valued at net equity” for +€1,604 million mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) the deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira; • “Exchange differences” for +€285 million mainly refers to change of Russian Ruble for +€154 million and Czech Crown for +€147 million; • “Property, plant and equipment” for +€246 million mainly referred to the alignment between tax values of tangible assets and higher accounting values, for further information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts Part C - Income statement, Section 19 - Tax expenses (income) for the period from continuing operations - Item 270; • “Actuarial gains (losses) on defined-benefit plans” for +€214 million mainly referred to the increase in DBO discount rate induced by the reduction in prices of High Quality Corporate Bonds partially offset by plan assets performance; • “Financial assets (other than equity instruments) at fair value through other comprehensive income” for -€376 million mainly due to Government securities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 263 13.4 Reserves from profits: other information (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Legal reserve 1,518 1,518 Statutory reserve 6,828 7,380 Other reserves 14,568 14,557 Total 22,914 23,455 Reference is made to the paragraph “12.4 Reserves from profit: other information” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.5 Equity instruments: breakdown and annual changes Reference is made to the paragraph “12.5 Equity instruments; composition and annual changes” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.6 Other Information Valuation reserves: breakdown (€ million) AMOUNTS AS AT ITEM/TYPES 12.31.2021 12.31.2020 1. Equity instruments designated at fair value through other comprehensive income (196) (339) 2. Financial assets (other than equity instruments) at fair value through other comprehensive income 743 1,119 3. Hedging of equity instruments at fair value through other comprehensive income - - 4. Financial liabilities at fair value through profit or loss (changes in own credit risk) (142) (167) 5. Hedging instruments (non-designated elements) - - 6. Property, plant and equipment 1,713 1,467 7. Intangible assets - - 8. Hedges of foreign investments - - 9. Cash-flow hedges (337) (23) 10. Exchange differences (2,664) (2,949) 11. Non-current assets classified as held for sale (7) (2) 12. Actuarial gains (losses) on defined-benefit plans (3,793) (4,007) 13. Part of valuation reserves of investments valued at net equity 69 (1,535) 14. Special revaluation laws 277 277 Total (4,337) (6,159) The FX currency reserves as at 31 December 2021 mainly refer to the Russian Ruble for -€2,321 million included in the item “Exchange differences” and -€42 million included in the item “Part of valuation reserves of investments valued at net equity”. The main variations in comparison to 31 December 2020 refer to the following reserves: • “Part of valuation reserves of investments valued at net equity” for +€1,604 million mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) the deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira; • “Exchange differences” for +€285 million mainly refers to change of Russian Ruble for +€154 million and Czech Crown for +€147 million; • “Property, plant and equipment” for +€246 million mainly referred to the alignment between tax values of tangible assets and higher accounting values, for further information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts Part C - Income statement, Section 19 - Tax expenses (income) for the period from continuing operations - Item 270; • “Actuarial gains (losses) on defined-benefit plans” for +€214 million mainly referred to the increase in DBO discount rate induced by the reduction in prices of High Quality Corporate Bonds partially offset by plan assets performance; • “Financial assets (other than equity instruments) at fair value through other comprehensive income” for -€376 million mainly due to Government securities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 263 13.4 Reserves from profits: other information (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Legal reserve 1,518 1,518 Statutory reserve 6,828 7,380 Other reserves 14,568 14,557 Total 22,914 23,455 Reference is made to the paragraph “12.4 Reserves from profit: other information” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.5 Equity instruments: breakdown and annual changes Reference is made to the paragraph “12.5 Equity instruments; composition and annual changes” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part B - Balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 which is herewith quoted entirely. 13.6 Other Information Valuation reserves: breakdown (€ million) AMOUNTS AS AT ITEM/TYPES 12.31.2021 12.31.2020 1. Equity instruments designated at fair value through other comprehensive income (196) (339) 2. Financial assets (other than equity instruments) at fair value through other comprehensive income 743 1,119 3. Hedging of equity instruments at fair value through other comprehensive income - - 4. Financial liabilities at fair value through profit or loss (changes in own credit risk) (142) (167) 5. Hedging instruments (non-designated elements) - - 6. Property, plant and equipment 1,713 1,467 7. Intangible assets - - 8. Hedges of foreign investments - - 9. Cash-flow hedges (337) (23) 10. Exchange differences (2,664) (2,949) 11. Non-current assets classified as held for sale (7) (2) 12. Actuarial gains (losses) on defined-benefit plans (3,793) (4,007) 13. Part of valuation reserves of investments valued at net equity 69 (1,535) 14. Special revaluation laws 277 277 Total (4,337) (6,159) The FX currency reserves as at 31 December 2021 mainly refer to the Russian Ruble for -€2,321 million included in the item “Exchange differences” and -€42 million included in the item “Part of valuation reserves of investments valued at net equity”. The main variations in comparison to 31 December 2020 refer to the following reserves: • “Part of valuation reserves of investments valued at net equity” for +€1,604 million mainly due to the following transactions related to the 20% stake in Yapi Ve Kredi Bankasi A.S. (YK): (i) the disposal of the 2% in the Market; (ii) the deconsolidation of the 18% following the loss of UniCredit’s significant influence over YK (and the consequent recognition of a financial instrument in financial assets measured at fair value through profit or loss); such events implied the recycle, mostly through P&L, of the related reserves, basically referred to exchange rate differences on Turkish Lira; • “Exchange differences” for +€285 million mainly refers to change of Russian Ruble for +€154 million and Czech Crown for +€147 million; • “Property, plant and equipment” for +€246 million mainly referred to the alignment between tax values of tangible assets and higher accounting values, for further information refer to the Company financial statements of UniCredit S.p.A., Notes to the accounts Part C - Income statement, Section 19 - Tax expenses (income) for the period from continuing operations - Item 270; • “Actuarial gains (losses) on defined-benefit plans” for +€214 million mainly referred to the increase in DBO discount rate induced by the reduction in prices of High Quality Corporate Bonds partially offset by plan assets performance; • “Financial assets (other than equity instruments) at fair value through other comprehensive income” for -€376 million mainly due to Government securities. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 264 2021 Annual Report and Accounts · UniCredit Section 14 - Minority shareholders‘ equity - Item 190 The table below shows the breakdown of minorities as at 31 December 2021. 14.1 Breakdown of item 190 "Shareholders' equity: minorities" (€ million) 2021 2020 Equity investments in consolidated companies with significant minority interests 470 445 Zagrebacka Banka D.D. 389 345 UniCredit Bank D.D. 49 60 UniCredit Bank Austria AG Sub-Group 32 40 Other equity investments (5) (10) Total 465 435 The shareholders' equity attributable to minority interests for 2021 amounted to +€465 million. The main contributions are attributable to the minority shareholders of Zagrebacka Banka D.D. and its subsidiary UniCredit Bank D.D. and UniCredit Bank Austria AG Sub-Group, mainly referring to Card Complete Service Bank AG. 14.2 Capital instruments: breakdown and annual changes There are no equity instruments. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 264 2021 Annual Report and Accounts · UniCredit Section 14 - Minority shareholders‘ equity - Item 190 The table below shows the breakdown of minorities as at 31 December 2021. 14.1 Breakdown of item 190 "Shareholders' equity: minorities" (€ million) 2021 2020 Equity investments in consolidated companies with significant minority interests 470 445 Zagrebacka Banka D.D. 389 345 UniCredit Bank D.D. 49 60 UniCredit Bank Austria AG Sub-Group 32 40 Other equity investments (5) (10) Total 465 435 The shareholders' equity attributable to minority interests for 2021 amounted to +€465 million. The main contributions are attributable to the minority shareholders of Zagrebacka Banka D.D. and its subsidiary UniCredit Bank D.D. and UniCredit Bank Austria AG Sub-Group, mainly referring to Card Complete Service Bank AG. 14.2 Capital instruments: breakdown and annual changes There are no equity instruments. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 264 2021 Annual Report and Accounts · UniCredit Section 14 - Minority shareholders‘ equity - Item 190 The table below shows the breakdown of minorities as at 31 December 2021. 14.1 Breakdown of item 190 "Shareholders' equity: minorities" (€ million) 2021 2020 Equity investments in consolidated companies with significant minority interests 470 445 Zagrebacka Banka D.D. 389 345 UniCredit Bank D.D. 49 60 UniCredit Bank Austria AG Sub-Group 32 40 Other equity investments (5) (10) Total 465 435 The shareholders' equity attributable to minority interests for 2021 amounted to +€465 million. The main contributions are attributable to the minority shareholders of Zagrebacka Banka D.D. and its subsidiary UniCredit Bank D.D. and UniCredit Bank Austria AG Sub-Group, mainly referring to Card Complete Service Bank AG. 14.2 Capital instruments: breakdown and annual changes There are no equity instruments. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 264 2021 Annual Report and Accounts · UniCredit Section 14 - Minority shareholders‘ equity - Item 190 The table below shows the breakdown of minorities as at 31 December 2021. 14.1 Breakdown of item 190 "Shareholders' equity: minorities" (€ million) 2021 2020 Equity investments in consolidated companies with significant minority interests 470 445 Zagrebacka Banka D.D. 389 345 UniCredit Bank D.D. 49 60 UniCredit Bank Austria AG Sub-Group 32 40 Other equity investments (5) (10) Total 465 435 The shareholders' equity attributable to minority interests for 2021 amounted to +€465 million. The main contributions are attributable to the minority shareholders of Zagrebacka Banka D.D. and its subsidiary UniCredit Bank D.D. and UniCredit Bank Austria AG Sub-Group, mainly referring to Card Complete Service Bank AG. 14.2 Capital instruments: breakdown and annual changes There are no equity instruments. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 264 2021 Annual Report and Accounts · UniCredit Section 14 - Minority shareholders‘ equity - Item 190 The table below shows the breakdown of minorities as at 31 December 2021. 14.1 Breakdown of item 190 "Shareholders' equity: minorities" (€ million) 2021 2020 Equity investments in consolidated companies with significant minority interests 470 445 Zagrebacka Banka D.D. 389 345 UniCredit Bank D.D. 49 60 UniCredit Bank Austria AG Sub-Group 32 40 Other equity investments (5) (10) Total 465 435 The shareholders' equity attributable to minority interests for 2021 amounted to +€465 million. The main contributions are attributable to the minority shareholders of Zagrebacka Banka D.D. and its subsidiary UniCredit Bank D.D. and UniCredit Bank Austria AG Sub-Group, mainly referring to Card Complete Service Bank AG. 14.2 Capital instruments: breakdown and annual changes There are no equity instruments. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 265 Other information 1. Commitments and financial guarantees given (different from those designated at fair value) (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT NOTIONAL AMOUNTS OF COMMITMENTS AND FINANCIAL GUARANTEES GIVEN 12.31.2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL TOTAL 1. Loan commitments given 143,769 30,023 830 - 174,622 173,473 a) Central Banks 19 - - - 19 18 b) Governments and other Public Sector Entities 5,507 689 46 - 6,242 7,741 c) Banks 2,352 53 - - 2,405 2,443 d) Other financial companies 25,676 3,707 73 - 29,456 30,705 e) Non-financial companies 102,572 21,564 688 - 124,824 121,353 f) Households 7,643 4,010 23 - 11,676 11,213 2. Financial guarantees given 39,907 12,850 1,186 - 53,943 49,421 a) Central Banks 34 - - - 34 55 b) Governments and other Public Sector Entities 243 9 - - 252 297 c) Banks 8,311 808 - - 9,119 7,767 d) Other financial companies 4,537 138 40 - 4,715 5,171 e) Non-financial companies 26,502 11,703 1,140 - 39,345 35,687 f) Households 280 192 6 - 478 444 2. Others commitments and others guarantees given (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 NOTIONAL AMOUNTS NOTIONAL AMOUNTS 1. Others guarantees given 22,811 20,381 of which: non-performing loans 240 204 a) Central Banks - - b) Governments and other Public Sector Entities 4 6 c) Banks 1,530 2,574 d) Other financial companies 2,418 2,204 e) Non-financial companies 18,842 15,578 f) Households 17 19 2. Others commitments 99,237 100,375 of which: non-performing loans 740 1,272 a) Central Banks 405 958 b) Governments and other Public Sector Entities 1,245 973 c) Banks 17,051 12,685 d) Other financial companies 13,468 21,553 e) Non-financial companies 61,930 58,991 f) Households 5,138 5,215 Table “1. Commitments and financial guarantees given” shows commitments and guarantees evaluated according to the IFRS9 requirements. Table “2. Others commitments and others guarantees given” shows commitments and guarantees that are not evaluated according to the IFRS9 requirements. According to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the tables also include the revocable commitments and the item “financial guarantees” also includes the commercial ones. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 265 Other information 1. Commitments and financial guarantees given (different from those designated at fair value) (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT NOTIONAL AMOUNTS OF COMMITMENTS AND FINANCIAL GUARANTEES GIVEN 12.31.2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL TOTAL 1. Loan commitments given 143,769 30,023 830 - 174,622 173,473 a) Central Banks 19 - - - 19 18 b) Governments and other Public Sector Entities 5,507 689 46 - 6,242 7,741 c) Banks 2,352 53 - - 2,405 2,443 d) Other financial companies 25,676 3,707 73 - 29,456 30,705 e) Non-financial companies 102,572 21,564 688 - 124,824 121,353 f) Households 7,643 4,010 23 - 11,676 11,213 2. Financial guarantees given 39,907 12,850 1,186 - 53,943 49,421 a) Central Banks 34 - - - 34 55 b) Governments and other Public Sector Entities 243 9 - - 252 297 c) Banks 8,311 808 - - 9,119 7,767 d) Other financial companies 4,537 138 40 - 4,715 5,171 e) Non-financial companies 26,502 11,703 1,140 - 39,345 35,687 f) Households 280 192 6 - 478 444 2. Others commitments and others guarantees given (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 NOTIONAL AMOUNTS NOTIONAL AMOUNTS 1. Others guarantees given 22,811 20,381 of which: non-performing loans 240 204 a) Central Banks - - b) Governments and other Public Sector Entities 4 6 c) Banks 1,530 2,574 d) Other financial companies 2,418 2,204 e) Non-financial companies 18,842 15,578 f) Households 17 19 2. Others commitments 99,237 100,375 of which: non-performing loans 740 1,272 a) Central Banks 405 958 b) Governments and other Public Sector Entities 1,245 973 c) Banks 17,051 12,685 d) Other financial companies 13,468 21,553 e) Non-financial companies 61,930 58,991 f) Households 5,138 5,215 Table “1. Commitments and financial guarantees given” shows commitments and guarantees evaluated according to the IFRS9 requirements. Table “2. Others commitments and others guarantees given” shows commitments and guarantees that are not evaluated according to the IFRS9 requirements. According to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the tables also include the revocable commitments and the item “financial guarantees” also includes the commercial ones. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 265 Other information 1. Commitments and financial guarantees given (different from those designated at fair value) (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT NOTIONAL AMOUNTS OF COMMITMENTS AND FINANCIAL GUARANTEES GIVEN 12.31.2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL TOTAL 1. Loan commitments given 143,769 30,023 830 - 174,622 173,473 a) Central Banks 19 - - - 19 18 b) Governments and other Public Sector Entities 5,507 689 46 - 6,242 7,741 c) Banks 2,352 53 - - 2,405 2,443 d) Other financial companies 25,676 3,707 73 - 29,456 30,705 e) Non-financial companies 102,572 21,564 688 - 124,824 121,353 f) Households 7,643 4,010 23 - 11,676 11,213 2. Financial guarantees given 39,907 12,850 1,186 - 53,943 49,421 a) Central Banks 34 - - - 34 55 b) Governments and other Public Sector Entities 243 9 - - 252 297 c) Banks 8,311 808 - - 9,119 7,767 d) Other financial companies 4,537 138 40 - 4,715 5,171 e) Non-financial companies 26,502 11,703 1,140 - 39,345 35,687 f) Households 280 192 6 - 478 444 2. Others commitments and others guarantees given (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 NOTIONAL AMOUNTS NOTIONAL AMOUNTS 1. Others guarantees given 22,811 20,381 of which: non-performing loans 240 204 a) Central Banks - - b) Governments and other Public Sector Entities 4 6 c) Banks 1,530 2,574 d) Other financial companies 2,418 2,204 e) Non-financial companies 18,842 15,578 f) Households 17 19 2. Others commitments 99,237 100,375 of which: non-performing loans 740 1,272 a) Central Banks 405 958 b) Governments and other Public Sector Entities 1,245 973 c) Banks 17,051 12,685 d) Other financial companies 13,468 21,553 e) Non-financial companies 61,930 58,991 f) Households 5,138 5,215 Table “1. Commitments and financial guarantees given” shows commitments and guarantees evaluated according to the IFRS9 requirements. Table “2. Others commitments and others guarantees given” shows commitments and guarantees that are not evaluated according to the IFRS9 requirements. According to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the tables also include the revocable commitments and the item “financial guarantees” also includes the commercial ones. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 265 Other information 1. Commitments and financial guarantees given (different from those designated at fair value) (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT NOTIONAL AMOUNTS OF COMMITMENTS AND FINANCIAL GUARANTEES GIVEN 12.31.2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL TOTAL 1. Loan commitments given 143,769 30,023 830 - 174,622 173,473 a) Central Banks 19 - - - 19 18 b) Governments and other Public Sector Entities 5,507 689 46 - 6,242 7,741 c) Banks 2,352 53 - - 2,405 2,443 d) Other financial companies 25,676 3,707 73 - 29,456 30,705 e) Non-financial companies 102,572 21,564 688 - 124,824 121,353 f) Households 7,643 4,010 23 - 11,676 11,213 2. Financial guarantees given 39,907 12,850 1,186 - 53,943 49,421 a) Central Banks 34 - - - 34 55 b) Governments and other Public Sector Entities 243 9 - - 252 297 c) Banks 8,311 808 - - 9,119 7,767 d) Other financial companies 4,537 138 40 - 4,715 5,171 e) Non-financial companies 26,502 11,703 1,140 - 39,345 35,687 f) Households 280 192 6 - 478 444 2. Others commitments and others guarantees given (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 NOTIONAL AMOUNTS NOTIONAL AMOUNTS 1. Others guarantees given 22,811 20,381 of which: non-performing loans 240 204 a) Central Banks - - b) Governments and other Public Sector Entities 4 6 c) Banks 1,530 2,574 d) Other financial companies 2,418 2,204 e) Non-financial companies 18,842 15,578 f) Households 17 19 2. Others commitments 99,237 100,375 of which: non-performing loans 740 1,272 a) Central Banks 405 958 b) Governments and other Public Sector Entities 1,245 973 c) Banks 17,051 12,685 d) Other financial companies 13,468 21,553 e) Non-financial companies 61,930 58,991 f) Households 5,138 5,215 Table “1. Commitments and financial guarantees given” shows commitments and guarantees evaluated according to the IFRS9 requirements. Table “2. Others commitments and others guarantees given” shows commitments and guarantees that are not evaluated according to the IFRS9 requirements. According to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the tables also include the revocable commitments and the item “financial guarantees” also includes the commercial ones. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 265 Other information 1. Commitments and financial guarantees given (different from those designated at fair value) (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT NOTIONAL AMOUNTS OF COMMITMENTS AND FINANCIAL GUARANTEES GIVEN 12.31.2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL TOTAL 1. Loan commitments given 143,769 30,023 830 - 174,622 173,473 a) Central Banks 19 - - - 19 18 b) Governments and other Public Sector Entities 5,507 689 46 - 6,242 7,741 c) Banks 2,352 53 - - 2,405 2,443 d) Other financial companies 25,676 3,707 73 - 29,456 30,705 e) Non-financial companies 102,572 21,564 688 - 124,824 121,353 f) Households 7,643 4,010 23 - 11,676 11,213 2. Financial guarantees given 39,907 12,850 1,186 - 53,943 49,421 a) Central Banks 34 - - - 34 55 b) Governments and other Public Sector Entities 243 9 - - 252 297 c) Banks 8,311 808 - - 9,119 7,767 d) Other financial companies 4,537 138 40 - 4,715 5,171 e) Non-financial companies 26,502 11,703 1,140 - 39,345 35,687 f) Households 280 192 6 - 478 444 2. Others commitments and others guarantees given (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 NOTIONAL AMOUNTS NOTIONAL AMOUNTS 1. Others guarantees given 22,811 20,381 of which: non-performing loans 240 204 a) Central Banks - - b) Governments and other Public Sector Entities 4 6 c) Banks 1,530 2,574 d) Other financial companies 2,418 2,204 e) Non-financial companies 18,842 15,578 f) Households 17 19 2. Others commitments 99,237 100,375 of which: non-performing loans 740 1,272 a) Central Banks 405 958 b) Governments and other Public Sector Entities 1,245 973 c) Banks 17,051 12,685 d) Other financial companies 13,468 21,553 e) Non-financial companies 61,930 58,991 f) Households 5,138 5,215 Table “1. Commitments and financial guarantees given” shows commitments and guarantees evaluated according to the IFRS9 requirements. Table “2. Others commitments and others guarantees given” shows commitments and guarantees that are not evaluated according to the IFRS9 requirements. According to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the tables also include the revocable commitments and the item “financial guarantees” also includes the commercial ones. Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 266 2021 Annual Report and Accounts · UniCredit 3. Assets used to guarantee own liabilities and commitments (€ million) AMOUNTS AS AT PORTFOLIOS 12.31.2021 12.31.2020 1. Financial assets at fair value through profit or loss 14,768 17,302 2. Financial assets at fair value through other comprehensive income 32,171 35,629 3. Financial assets at amortised cost 140,114 135,934 4. Property, plant and equipment - 2 of which: inventories of property, plant and equipment - 2 4. Breakdown of investments relating to unit-linked and index-linked policies There were no transactions concerning unit-linked and index-linked policies. 5. Asset management and trading on behalf of third parties (€ million) AMOUNTS AS AT TYPE OF SERVICES 12.31.2021 12.31.2020 1. Execution of orders on behalf of customers a) Purchases 78,878 113,905 1. Settled 78,869 113,893 2. Unsettled 9 12 b) Sales 79,110 111,349 1. Settled 79,099 111,332 2. Unsettled 11 17 2. Portfolio management a) Individual 22,854 19,025 b) Collective 15,781 17,603 3. Custody and administration of securities a) Third party securities on deposits: relating to depositary bank activities (excluding portfolio management) 3,416 3,337 1. Securities issued by companies included in consolidation - - 2. Other securities 3,416 3,337 b) Third party securities held in deposits (excluding portfolio management): other 237,186 222,974 1. Securities issued by companies included in consolidation 5,968 7,915 2. Other securities 231,218 215,059 c) Third party securities deposited with third parties 152,882 151,791 d) Property securities deposited with third parties 119,534 104,550 4. Other transactions 7,669 7,850 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 266 2021 Annual Report and Accounts · UniCredit 3. Assets used to guarantee own liabilities and commitments (€ million) AMOUNTS AS AT PORTFOLIOS 12.31.2021 12.31.2020 1. Financial assets at fair value through profit or loss 14,768 17,302 2. Financial assets at fair value through other comprehensive income 32,171 35,629 3. Financial assets at amortised cost 140,114 135,934 4. Property, plant and equipment - 2 of which: inventories of property, plant and equipment - 2 4. Breakdown of investments relating to unit-linked and index-linked policies There were no transactions concerning unit-linked and index-linked policies. 5. Asset management and trading on behalf of third parties (€ million) AMOUNTS AS AT TYPE OF SERVICES 12.31.2021 12.31.2020 1. Execution of orders on behalf of customers a) Purchases 78,878 113,905 1. Settled 78,869 113,893 2. Unsettled 9 12 b) Sales 79,110 111,349 1. Settled 79,099 111,332 2. Unsettled 11 17 2. Portfolio management a) Individual 22,854 19,025 b) Collective 15,781 17,603 3. Custody and administration of securities a) Third party securities on deposits: relating to depositary bank activities (excluding portfolio management) 3,416 3,337 1. Securities issued by companies included in consolidation - - 2. Other securities 3,416 3,337 b) Third party securities held in deposits (excluding portfolio management): other 237,186 222,974 1. Securities issued by companies included in consolidation 5,968 7,915 2. Other securities 231,218 215,059 c) Third party securities deposited with third parties 152,882 151,791 d) Property securities deposited with third parties 119,534 104,550 4. Other transactions 7,669 7,850 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 266 2021 Annual Report and Accounts · UniCredit 3. Assets used to guarantee own liabilities and commitments (€ million) AMOUNTS AS AT PORTFOLIOS 12.31.2021 12.31.2020 1. Financial assets at fair value through profit or loss 14,768 17,302 2. Financial assets at fair value through other comprehensive income 32,171 35,629 3. Financial assets at amortised cost 140,114 135,934 4. Property, plant and equipment - 2 of which: inventories of property, plant and equipment - 2 4. Breakdown of investments relating to unit-linked and index-linked policies There were no transactions concerning unit-linked and index-linked policies. 5. Asset management and trading on behalf of third parties (€ million) AMOUNTS AS AT TYPE OF SERVICES 12.31.2021 12.31.2020 1. Execution of orders on behalf of customers a) Purchases 78,878 113,905 1. Settled 78,869 113,893 2. Unsettled 9 12 b) Sales 79,110 111,349 1. Settled 79,099 111,332 2. Unsettled 11 17 2. Portfolio management a) Individual 22,854 19,025 b) Collective 15,781 17,603 3. Custody and administration of securities a) Third party securities on deposits: relating to depositary bank activities (excluding portfolio management) 3,416 3,337 1. Securities issued by companies included in consolidation - - 2. Other securities 3,416 3,337 b) Third party securities held in deposits (excluding portfolio management): other 237,186 222,974 1. Securities issued by companies included in consolidation 5,968 7,915 2. Other securities 231,218 215,059 c) Third party securities deposited with third parties 152,882 151,791 d) Property securities deposited with third parties 119,534 104,550 4. Other transactions 7,669 7,850 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 266 2021 Annual Report and Accounts · UniCredit 3. Assets used to guarantee own liabilities and commitments (€ million) AMOUNTS AS AT PORTFOLIOS 12.31.2021 12.31.2020 1. Financial assets at fair value through profit or loss 14,768 17,302 2. Financial assets at fair value through other comprehensive income 32,171 35,629 3. Financial assets at amortised cost 140,114 135,934 4. Property, plant and equipment - 2 of which: inventories of property, plant and equipment - 2 4. Breakdown of investments relating to unit-linked and index-linked policies There were no transactions concerning unit-linked and index-linked policies. 5. Asset management and trading on behalf of third parties (€ million) AMOUNTS AS AT TYPE OF SERVICES 12.31.2021 12.31.2020 1. Execution of orders on behalf of customers a) Purchases 78,878 113,905 1. Settled 78,869 113,893 2. Unsettled 9 12 b) Sales 79,110 111,349 1. Settled 79,099 111,332 2. Unsettled 11 17 2. Portfolio management a) Individual 22,854 19,025 b) Collective 15,781 17,603 3. Custody and administration of securities a) Third party securities on deposits: relating to depositary bank activities (excluding portfolio management) 3,416 3,337 1. Securities issued by companies included in consolidation - - 2. Other securities 3,416 3,337 b) Third party securities held in deposits (excluding portfolio management): other 237,186 222,974 1. Securities issued by companies included in consolidation 5,968 7,915 2. Other securities 231,218 215,059 c) Third party securities deposited with third parties 152,882 151,791 d) Property securities deposited with third parties 119,534 104,550 4. Other transactions 7,669 7,850 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities 266 2021 Annual Report and Accounts · UniCredit 3. Assets used to guarantee own liabilities and commitments (€ million) AMOUNTS AS AT PORTFOLIOS 12.31.2021 12.31.2020 1. Financial assets at fair value through profit or loss 14,768 17,302 2. Financial assets at fair value through other comprehensive income 32,171 35,629 3. Financial assets at amortised cost 140,114 135,934 4. Property, plant and equipment - 2 of which: inventories of property, plant and equipment - 2 4. Breakdown of investments relating to unit-linked and index-linked policies There were no transactions concerning unit-linked and index-linked policies. 5. Asset management and trading on behalf of third parties (€ million) AMOUNTS AS AT TYPE OF SERVICES 12.31.2021 12.31.2020 1. Execution of orders on behalf of customers a) Purchases 78,878 113,905 1. Settled 78,869 113,893 2. Unsettled 9 12 b) Sales 79,110 111,349 1. Settled 79,099 111,332 2. Unsettled 11 17 2. Portfolio management a) Individual 22,854 19,025 b) Collective 15,781 17,603 3. Custody and administration of securities a) Third party securities on deposits: relating to depositary bank activities (excluding portfolio management) 3,416 3,337 1. Securities issued by companies included in consolidation - - 2. Other securities 3,416 3,337 b) Third party securities held in deposits (excluding portfolio management): other 237,186 222,974 1. Securities issued by companies included in consolidation 5,968 7,915 2. Other securities 231,218 215,059 c) Third party securities deposited with third parties 152,882 151,791 d) Property securities deposited with third parties 119,534 104,550 4. Other transactions 7,669 7,850 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 267 6. Financial assets subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL ASSETS FINANCIAL LIABILITIES OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL ASSETS RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 75,946 38,914 37,032 21,322 9,102 6,608 7,461 2. Reverse repos 34,730 1,602 33,128 21,444 - 11,684 23,114 3. Securities lending - - - - - - - 4. Others 130,851 6,122 124,729 - - 124,729 124,163 Total 12.31.2021 241,527 46,638 194,889 42,766 9,102 143,021 X Total 12.31.2020 275,025 51,061 223,964 58,722 10,504 X 154,738 Financial derivative assets offset in balance sheet by financial liabilities (column “B” item 1. Derivatives) mainly refers to derivative contracts settled with Central Clearing Counterparts (CCPs). 7. Financial liabilities subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL LIABILITIES FINANCIAL ASSETS OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL LIABILITIES RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 78,805 43,861 34,944 22,351 8,149 4,444 1,876 2. Reverse repos 42,466 1,602 40,864 18,636 50 22,178 26,985 3. Securities lending - - - - - - - 4. Others 194,015 1,176 192,839 - - 192,839 195,879 Total 12.31.2021 315,286 46,639 268,647 40,987 8,199 219,461 X Total 12.31.2020 355,049 51,060 303,989 68,047 11,202 X 224,740 Financial derivative liabilities offset in balance sheet by financial assets (column “B” item 1. Derivatives) mainly refers to derivative contracts settled with Central Clearing Counterparts (CCPs). 8. Security borrowing transactions (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS OF THE SECURITIES BORROWED/TRANSACTION PURPOSES TYPE OF LENDER GIVEN AS COLLATERAL IN OWN FUNDING TRANSACTIONS SOLD SOLD IN REPO TRANSACTIONS OTHER PURPOSES A. Banks 2,223 635 3,918 8,176 B. Financial companies - 38 582 324 C. Insurance companies - - 92 - D. Non-financial companies - 2 400 145 E. Others 3 - 186 671 Total 2,226 675 5,178 9,316 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 267 6. Financial assets subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL ASSETS FINANCIAL LIABILITIES OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL ASSETS RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 75,946 38,914 37,032 21,322 9,102 6,608 7,461 2. Reverse repos 34,730 1,602 33,128 21,444 - 11,684 23,114 3. Securities lending - - - - - - - 4. Others 130,851 6,122 124,729 - - 124,729 124,163 Total 12.31.2021 241,527 46,638 194,889 42,766 9,102 143,021 X Total 12.31.2020 275,025 51,061 223,964 58,722 10,504 X 154,738 Financial derivative assets offset in balance sheet by financial liabilities (column “B” item 1. Derivatives) mainly refers to derivative contracts settled with Central Clearing Counterparts (CCPs). 7. Financial liabilities subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL LIABILITIES FINANCIAL ASSETS OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL LIABILITIES RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 78,805 43,861 34,944 22,351 8,149 4,444 1,876 2. Reverse repos 42,466 1,602 40,864 18,636 50 22,178 26,985 3. Securities lending - - - - - - - 4. Others 194,015 1,176 192,839 - - 192,839 195,879 Total 12.31.2021 315,286 46,639 268,647 40,987 8,199 219,461 X Total 12.31.2020 355,049 51,060 303,989 68,047 11,202 X 224,740 Financial derivative liabilities offset in balance sheet by financial assets (column “B” item 1. Derivatives) mainly refers to derivative contracts settled with Central Clearing Counterparts (CCPs). 8. Security borrowing transactions (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS OF THE SECURITIES BORROWED/TRANSACTION PURPOSES TYPE OF LENDER GIVEN AS COLLATERAL IN OWN FUNDING TRANSACTIONS SOLD SOLD IN REPO TRANSACTIONS OTHER PURPOSES A. Banks 2,223 635 3,918 8,176 B. Financial companies - 38 582 324 C. Insurance companies - - 92 - D. Non-financial companies - 2 400 145 E. Others 3 - 186 671 Total 2,226 675 5,178 9,316 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 267 6. Financial assets subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL ASSETS FINANCIAL LIABILITIES OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL ASSETS RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 75,946 38,914 37,032 21,322 9,102 6,608 7,461 2. Reverse repos 34,730 1,602 33,128 21,444 - 11,684 23,114 3. Securities lending - - - - - - - 4. Others 130,851 6,122 124,729 - - 124,729 124,163 Total 12.31.2021 241,527 46,638 194,889 42,766 9,102 143,021 X Total 12.31.2020 275,025 51,061 223,964 58,722 10,504 X 154,738 Financial derivative assets offset in balance sheet by financial liabilities (column “B” item 1. Derivatives) mainly refers to derivative contracts settled with Central Clearing Counterparts (CCPs). 7. Financial liabilities subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL LIABILITIES FINANCIAL ASSETS OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL LIABILITIES RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 78,805 43,861 34,944 22,351 8,149 4,444 1,876 2. Reverse repos 42,466 1,602 40,864 18,636 50 22,178 26,985 3. Securities lending - - - - - - - 4. Others 194,015 1,176 192,839 - - 192,839 195,879 Total 12.31.2021 315,286 46,639 268,647 40,987 8,199 219,461 X Total 12.31.2020 355,049 51,060 303,989 68,047 11,202 X 224,740 Financial derivative liabilities offset in balance sheet by financial assets (column “B” item 1. Derivatives) mainly refers to derivative contracts settled with Central Clearing Counterparts (CCPs). 8. Security borrowing transactions (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS OF THE SECURITIES BORROWED/TRANSACTION PURPOSES TYPE OF LENDER GIVEN AS COLLATERAL IN OWN FUNDING TRANSACTIONS SOLD SOLD IN REPO TRANSACTIONS OTHER PURPOSES A. Banks 2,223 635 3,918 8,176 B. Financial companies - 38 582 324 C. Insurance companies - - 92 - D. Non-financial companies - 2 400 145 E. Others 3 - 186 671 Total 2,226 675 5,178 9,316 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 267 6. Financial assets subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL ASSETS FINANCIAL LIABILITIES OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL ASSETS RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 75,946 38,914 37,032 21,322 9,102 6,608 7,461 2. Reverse repos 34,730 1,602 33,128 21,444 - 11,684 23,114 3. Securities lending - - - - - - - 4. Others 130,851 6,122 124,729 - - 124,729 124,163 Total 12.31.2021 241,527 46,638 194,889 42,766 9,102 143,021 X Total 12.31.2020 275,025 51,061 223,964 58,722 10,504 X 154,738 Financial derivative assets offset in balance sheet by financial liabilities (column “B” item 1. Derivatives) mainly refers to derivative contracts settled with Central Clearing Counterparts (CCPs). 7. Financial liabilities subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL LIABILITIES FINANCIAL ASSETS OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL LIABILITIES RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 78,805 43,861 34,944 22,351 8,149 4,444 1,876 2. Reverse repos 42,466 1,602 40,864 18,636 50 22,178 26,985 3. Securities lending - - - - - - - 4. Others 194,015 1,176 192,839 - - 192,839 195,879 Total 12.31.2021 315,286 46,639 268,647 40,987 8,199 219,461 X Total 12.31.2020 355,049 51,060 303,989 68,047 11,202 X 224,740 Financial derivative liabilities offset in balance sheet by financial assets (column “B” item 1. Derivatives) mainly refers to derivative contracts settled with Central Clearing Counterparts (CCPs). 8. Security borrowing transactions (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS OF THE SECURITIES BORROWED/TRANSACTION PURPOSES TYPE OF LENDER GIVEN AS COLLATERAL IN OWN FUNDING TRANSACTIONS SOLD SOLD IN REPO TRANSACTIONS OTHER PURPOSES A. Banks 2,223 635 3,918 8,176 B. Financial companies - 38 582 324 C. Insurance companies - - 92 - D. Non-financial companies - 2 400 145 E. Others 3 - 186 671 Total 2,226 675 5,178 9,316 Consolidated financial statements | Notes to the consolidated accounts Part B - Consolidated balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 267 6. Financial assets subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL ASSETS FINANCIAL LIABILITIES OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL ASSETS RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 75,946 38,914 37,032 21,322 9,102 6,608 7,461 2. Reverse repos 34,730 1,602 33,128 21,444 - 11,684 23,114 3. Securities lending - - - - - - - 4. Others 130,851 6,122 124,729 - - 124,729 124,163 Total 12.31.2021 241,527 46,638 194,889 42,766 9,102 143,021 X Total 12.31.2020 275,025 51,061 223,964 58,722 10,504 X 154,738 Financial derivative assets offset in balance sheet by financial liabilities (column “B” item 1. Derivatives) mainly refers to derivative contracts settled with Central Clearing Counterparts (CCPs). 7. Financial liabilities subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL LIABILITIES FINANCIAL ASSETS OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL LIABILITIES RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 78,805 43,861 34,944 22,351 8,149 4,444 1,876 2. Reverse repos 42,466 1,602 40,864 18,636 50 22,178 26,985 3. Securities lending - - - - - - - 4. Others 194,015 1,176 192,839 - - 192,839 195,879 Total 12.31.2021 315,286 46,639 268,647 40,987 8,199 219,461 X Total 12.31.2020 355,049 51,060 303,989 68,047 11,202 X 224,740 Financial derivative liabilities offset in balance sheet by financial assets (column “B” item 1. Derivatives) mainly refers to derivative contracts settled with Central Clearing Counterparts (CCPs). 8. Security borrowing transactions (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS OF THE SECURITIES BORROWED/TRANSACTION PURPOSES TYPE OF LENDER GIVEN AS COLLATERAL IN OWN FUNDING TRANSACTIONS SOLD SOLD IN REPO TRANSACTIONS OTHER PURPOSES A. Banks 2,223 635 3,918 8,176 B. Financial companies - 38 582 324 C. Insurance companies - - 92 - D. Non-financial companies - 2 400 145 E. Others 3 - 186 671 Total 2,226 675 5,178 9,316 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 268 2021 Annual Report and Accounts · UniCredit Part C - Consolidated income statement Section 1 - Interests - Items 10 and 20 1.1 Interest income and similar revenues: breakdown (€ million) YEAR 2021 YEAR DEBT SECURITIES LOANS OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial assets at fair value through profit or loss 253 88 602 943 853 1.1 Financial assets held for trading 152 - 602 754 693 1.2 Financial assets designated at fair value 3 - - 3 1 1.3 Other financial assets mandatorily at fair value 98 88 - 186 159 2. Financial assets at fair value through other comprehensive income 723 - X 723 846 3. Financial assets at amortised cost 501 8,622 X 9,123 10,249 3.1 Loans and advances to banks 42 331 X 373 424 3.2 Loans and advances to customers 459 8,291 X 8,750 9,825 4. Hedging derivatives X X (72) (72) (2) 5. Other assets X X 362 362 226 6. Financial liabilities X X X 1,624 1,010 Total 1,477 8,710 892 12,703 13,182 of which: interest income on impaired financial assets 1 382 - 383 372 of which: interest income on financial lease X 455 X 455 544 The interests on financial liabilities, contributing to net interest margin, include positive benefit for €893 million arising from TLTRO III facilities, the calculation of which is described in paragraph “TLTRO”, Notes to the consolidated accounts, Part A - Accounting policies, Section 5 - Other matters. It should be noted that Interest income on “Other assets” also include interest income of €155 million in connection with a tax refund recognised by UniCredit Bank AG. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 268 2021 Annual Report and Accounts · UniCredit Part C - Consolidated income statement Section 1 - Interests - Items 10 and 20 1.1 Interest income and similar revenues: breakdown (€ million) YEAR 2021 YEAR DEBT SECURITIES LOANS OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial assets at fair value through profit or loss 253 88 602 943 853 1.1 Financial assets held for trading 152 - 602 754 693 1.2 Financial assets designated at fair value 3 - - 3 1 1.3 Other financial assets mandatorily at fair value 98 88 - 186 159 2. Financial assets at fair value through other comprehensive income 723 - X 723 846 3. Financial assets at amortised cost 501 8,622 X 9,123 10,249 3.1 Loans and advances to banks 42 331 X 373 424 3.2 Loans and advances to customers 459 8,291 X 8,750 9,825 4. Hedging derivatives X X (72) (72) (2) 5. Other assets X X 362 362 226 6. Financial liabilities X X X 1,624 1,010 Total 1,477 8,710 892 12,703 13,182 of which: interest income on impaired financial assets 1 382 - 383 372 of which: interest income on financial lease X 455 X 455 544 The interests on financial liabilities, contributing to net interest margin, include positive benefit for €893 million arising from TLTRO III facilities, the calculation of which is described in paragraph “TLTRO”, Notes to the consolidated accounts, Part A - Accounting policies, Section 5 - Other matters. It should be noted that Interest income on “Other assets” also include interest income of €155 million in connection with a tax refund recognised by UniCredit Bank AG. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 268 2021 Annual Report and Accounts · UniCredit Part C - Consolidated income statement Section 1 - Interests - Items 10 and 20 1.1 Interest income and similar revenues: breakdown (€ million) YEAR 2021 YEAR DEBT SECURITIES LOANS OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial assets at fair value through profit or loss 253 88 602 943 853 1.1 Financial assets held for trading 152 - 602 754 693 1.2 Financial assets designated at fair value 3 - - 3 1 1.3 Other financial assets mandatorily at fair value 98 88 - 186 159 2. Financial assets at fair value through other comprehensive income 723 - X 723 846 3. Financial assets at amortised cost 501 8,622 X 9,123 10,249 3.1 Loans and advances to banks 42 331 X 373 424 3.2 Loans and advances to customers 459 8,291 X 8,750 9,825 4. Hedging derivatives X X (72) (72) (2) 5. Other assets X X 362 362 226 6. Financial liabilities X X X 1,624 1,010 Total 1,477 8,710 892 12,703 13,182 of which: interest income on impaired financial assets 1 382 - 383 372 of which: interest income on financial lease X 455 X 455 544 The interests on financial liabilities, contributing to net interest margin, include positive benefit for €893 million arising from TLTRO III facilities, the calculation of which is described in paragraph “TLTRO”, Notes to the consolidated accounts, Part A - Accounting policies, Section 5 - Other matters. It should be noted that Interest income on “Other assets” also include interest income of €155 million in connection with a tax refund recognised by UniCredit Bank AG. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 268 2021 Annual Report and Accounts · UniCredit Part C - Consolidated income statement Section 1 - Interests - Items 10 and 20 1.1 Interest income and similar revenues: breakdown (€ million) YEAR 2021 YEAR DEBT SECURITIES LOANS OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial assets at fair value through profit or loss 253 88 602 943 853 1.1 Financial assets held for trading 152 - 602 754 693 1.2 Financial assets designated at fair value 3 - - 3 1 1.3 Other financial assets mandatorily at fair value 98 88 - 186 159 2. Financial assets at fair value through other comprehensive income 723 - X 723 846 3. Financial assets at amortised cost 501 8,622 X 9,123 10,249 3.1 Loans and advances to banks 42 331 X 373 424 3.2 Loans and advances to customers 459 8,291 X 8,750 9,825 4. Hedging derivatives X X (72) (72) (2) 5. Other assets X X 362 362 226 6. Financial liabilities X X X 1,624 1,010 Total 1,477 8,710 892 12,703 13,182 of which: interest income on impaired financial assets 1 382 - 383 372 of which: interest income on financial lease X 455 X 455 544 The interests on financial liabilities, contributing to net interest margin, include positive benefit for €893 million arising from TLTRO III facilities, the calculation of which is described in paragraph “TLTRO”, Notes to the consolidated accounts, Part A - Accounting policies, Section 5 - Other matters. It should be noted that Interest income on “Other assets” also include interest income of €155 million in connection with a tax refund recognised by UniCredit Bank AG. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 268 2021 Annual Report and Accounts · UniCredit Part C - Consolidated income statement Section 1 - Interests - Items 10 and 20 1.1 Interest income and similar revenues: breakdown (€ million) YEAR 2021 YEAR DEBT SECURITIES LOANS OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial assets at fair value through profit or loss 253 88 602 943 853 1.1 Financial assets held for trading 152 - 602 754 693 1.2 Financial assets designated at fair value 3 - - 3 1 1.3 Other financial assets mandatorily at fair value 98 88 - 186 159 2. Financial assets at fair value through other comprehensive income 723 - X 723 846 3. Financial assets at amortised cost 501 8,622 X 9,123 10,249 3.1 Loans and advances to banks 42 331 X 373 424 3.2 Loans and advances to customers 459 8,291 X 8,750 9,825 4. Hedging derivatives X X (72) (72) (2) 5. Other assets X X 362 362 226 6. Financial liabilities X X X 1,624 1,010 Total 1,477 8,710 892 12,703 13,182 of which: interest income on impaired financial assets 1 382 - 383 372 of which: interest income on financial lease X 455 X 455 544 The interests on financial liabilities, contributing to net interest margin, include positive benefit for €893 million arising from TLTRO III facilities, the calculation of which is described in paragraph “TLTRO”, Notes to the consolidated accounts, Part A - Accounting policies, Section 5 - Other matters. It should be noted that Interest income on “Other assets” also include interest income of €155 million in connection with a tax refund recognised by UniCredit Bank AG. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 269 1.2 Interest income and similar revenues: other information 1.2.1 Interest income from financial assets denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Assets denominated in currency 3,351 3,561 1.3 Interest expenses and similar charges: breakdown (€ million) YEAR 2021 YEAR DEBTS SECURITIES OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial liabilities at amortised cost (799) (1,995) X (2,794) (3,233) 1.1 Deposits from central banks (11) X X (11) (40) 1.2 Deposits from banks (156) X X (156) (262) 1.3 Deposits from customers (632) X X (632) (726) 1.4 Debt securities in issue X (1,995) X (1,995) (2,205) 2. Financial liabilities held for trading (1) (84) (706) (791) (784) 3. Financial liabilities designated at fair value (7) (49) - (56) (62) 4. Other liabilities and funds X X (96) (96) (66) 5. Hedging derivatives X X 1,052 1,052 995 6. Financial assets X X X (927) (535) Total (807) (2,128) 250 (3,612) (3,685) of which: interest expenses on lease deposits (27) X X (27) (36) It should be noted that Interest expenses on “Other liabilities and funds” also include interest expenses of €44 million related to tax provisions recognised by UniCredit Bank AG. 1.4 Interest expenses and similar charges: other information 1.4.1 Interest expenses on liabilities denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Liabilities denominated in currency (1,424) (1,550) 1.5 Differentials relating to hedging operations (€ million) ITEMS YEAR 2021 YEAR 2020 A. Positive differentials relating to hedging operations 4,322 4,237 B. Negative differentials relating to hedging operations (3,342) (3,244) C. Net differential (A-B) 980 993 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 269 1.2 Interest income and similar revenues: other information 1.2.1 Interest income from financial assets denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Assets denominated in currency 3,351 3,561 1.3 Interest expenses and similar charges: breakdown (€ million) YEAR 2021 YEAR DEBTS SECURITIES OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial liabilities at amortised cost (799) (1,995) X (2,794) (3,233) 1.1 Deposits from central banks (11) X X (11) (40) 1.2 Deposits from banks (156) X X (156) (262) 1.3 Deposits from customers (632) X X (632) (726) 1.4 Debt securities in issue X (1,995) X (1,995) (2,205) 2. Financial liabilities held for trading (1) (84) (706) (791) (784) 3. Financial liabilities designated at fair value (7) (49) - (56) (62) 4. Other liabilities and funds X X (96) (96) (66) 5. Hedging derivatives X X 1,052 1,052 995 6. Financial assets X X X (927) (535) Total (807) (2,128) 250 (3,612) (3,685) of which: interest expenses on lease deposits (27) X X (27) (36) It should be noted that Interest expenses on “Other liabilities and funds” also include interest expenses of €44 million related to tax provisions recognised by UniCredit Bank AG. 1.4 Interest expenses and similar charges: other information 1.4.1 Interest expenses on liabilities denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Liabilities denominated in currency (1,424) (1,550) 1.5 Differentials relating to hedging operations (€ million) ITEMS YEAR 2021 YEAR 2020 A. Positive differentials relating to hedging operations 4,322 4,237 B. Negative differentials relating to hedging operations (3,342) (3,244) C. Net differential (A-B) 980 993 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 269 1.2 Interest income and similar revenues: other information 1.2.1 Interest income from financial assets denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Assets denominated in currency 3,351 3,561 1.3 Interest expenses and similar charges: breakdown (€ million) YEAR 2021 YEAR DEBTS SECURITIES OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial liabilities at amortised cost (799) (1,995) X (2,794) (3,233) 1.1 Deposits from central banks (11) X X (11) (40) 1.2 Deposits from banks (156) X X (156) (262) 1.3 Deposits from customers (632) X X (632) (726) 1.4 Debt securities in issue X (1,995) X (1,995) (2,205) 2. Financial liabilities held for trading (1) (84) (706) (791) (784) 3. Financial liabilities designated at fair value (7) (49) - (56) (62) 4. Other liabilities and funds X X (96) (96) (66) 5. Hedging derivatives X X 1,052 1,052 995 6. Financial assets X X X (927) (535) Total (807) (2,128) 250 (3,612) (3,685) of which: interest expenses on lease deposits (27) X X (27) (36) It should be noted that Interest expenses on “Other liabilities and funds” also include interest expenses of €44 million related to tax provisions recognised by UniCredit Bank AG. 1.4 Interest expenses and similar charges: other information 1.4.1 Interest expenses on liabilities denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Liabilities denominated in currency (1,424) (1,550) 1.5 Differentials relating to hedging operations (€ million) ITEMS YEAR 2021 YEAR 2020 A. Positive differentials relating to hedging operations 4,322 4,237 B. Negative differentials relating to hedging operations (3,342) (3,244) C. Net differential (A-B) 980 993 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 269 1.2 Interest income and similar revenues: other information 1.2.1 Interest income from financial assets denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Assets denominated in currency 3,351 3,561 1.3 Interest expenses and similar charges: breakdown (€ million) YEAR 2021 YEAR DEBTS SECURITIES OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial liabilities at amortised cost (799) (1,995) X (2,794) (3,233) 1.1 Deposits from central banks (11) X X (11) (40) 1.2 Deposits from banks (156) X X (156) (262) 1.3 Deposits from customers (632) X X (632) (726) 1.4 Debt securities in issue X (1,995) X (1,995) (2,205) 2. Financial liabilities held for trading (1) (84) (706) (791) (784) 3. Financial liabilities designated at fair value (7) (49) - (56) (62) 4. Other liabilities and funds X X (96) (96) (66) 5. Hedging derivatives X X 1,052 1,052 995 6. Financial assets X X X (927) (535) Total (807) (2,128) 250 (3,612) (3,685) of which: interest expenses on lease deposits (27) X X (27) (36) It should be noted that Interest expenses on “Other liabilities and funds” also include interest expenses of €44 million related to tax provisions recognised by UniCredit Bank AG. 1.4 Interest expenses and similar charges: other information 1.4.1 Interest expenses on liabilities denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Liabilities denominated in currency (1,424) (1,550) 1.5 Differentials relating to hedging operations (€ million) ITEMS YEAR 2021 YEAR 2020 A. Positive differentials relating to hedging operations 4,322 4,237 B. Negative differentials relating to hedging operations (3,342) (3,244) C. Net differential (A-B) 980 993 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 269 1.2 Interest income and similar revenues: other information 1.2.1 Interest income from financial assets denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Assets denominated in currency 3,351 3,561 1.3 Interest expenses and similar charges: breakdown (€ million) YEAR 2021 YEAR DEBTS SECURITIES OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial liabilities at amortised cost (799) (1,995) X (2,794) (3,233) 1.1 Deposits from central banks (11) X X (11) (40) 1.2 Deposits from banks (156) X X (156) (262) 1.3 Deposits from customers (632) X X (632) (726) 1.4 Debt securities in issue X (1,995) X (1,995) (2,205) 2. Financial liabilities held for trading (1) (84) (706) (791) (784) 3. Financial liabilities designated at fair value (7) (49) - (56) (62) 4. Other liabilities and funds X X (96) (96) (66) 5. Hedging derivatives X X 1,052 1,052 995 6. Financial assets X X X (927) (535) Total (807) (2,128) 250 (3,612) (3,685) of which: interest expenses on lease deposits (27) X X (27) (36) It should be noted that Interest expenses on “Other liabilities and funds” also include interest expenses of €44 million related to tax provisions recognised by UniCredit Bank AG. 1.4 Interest expenses and similar charges: other information 1.4.1 Interest expenses on liabilities denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Liabilities denominated in currency (1,424) (1,550) 1.5 Differentials relating to hedging operations (€ million) ITEMS YEAR 2021 YEAR 2020 A. Positive differentials relating to hedging operations 4,322 4,237 B. Negative differentials relating to hedging operations (3,342) (3,244) C. Net differential (A-B) 980 993 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 270 2021 Annual Report and Accounts · UniCredit Section 2 - Fees and commissions - Items 40 and 50 2.1 Fees and commissions income: breakdown (€ million) TYPE OF SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial Instruments 1,315 994 1. Placement of securities 1,032 724 1.1 Underwriting and/or on the basis of an irrevocable commitment 27 28 1.2 Without irrevocable commitment 1,005 696 2. Reception and transmission of orders 116 108 2.1 Reception and transmission of orders of financial instruments 116 108 2.2 Execution of orders on behalf of customers - - 3. Other fees related to activities linked to financial instruments 167 162 of which: proprietary Trading 9 1 of which: individual portfolio management 158 161 b) Corporate Finance 58 34 1. M&A advisory 9 9 2. Treasury services 2 2 3. Other fee and commission income in relation to corporate finance activities 47 23 c) Fee based advice 92 75 d) Clearing and settlement - - e) Collective portfolio management 213 143 f) Custody and administration of securities 279 269 1. Custodian Bank 121 108 2. Other fee and commission income in relation to corporate finance activities 158 161 g) Central administrative services for collective investment 1 1 h) Fiduciary transactions - - i) Payment services 1,367 1,208 1. Current accounts 46 40 2. Credit cards 106 110 3. Debits cards and other card payments 354 282 4. Transfers and other payment orders 412 344 5. Other fees in relation to payment services 449 432 j) Distribution of third party services 1,557 1,436 1.Collective portfolio management 678 623 2. Insurance products 861 795 3. Other products 18 18 of which: individual portfolio management 3 - k) Structured finance - 1 l) Loan securitisation servicing activities 8 8 m) Loan commitment given 99 105 n) Financial guarantees 345 336 of which: credit derivatives - - o) Lending transaction 512 477 of which: factoring services 71 72 p) Currency trading 197 175 q) Commodities - - r) Other fee income 1,920 1,907 of which: management of sharing multilateral trading facilities - - of which: management of organized trading systems - - Total 7,963 7,169 Item “r) other fee income” mainly comprise: • fees for ancillary services linked to current accounts (e.g., token, debt card): €794 million in 2021, €747 million in 2020 (+6.3%); • fees for immediate funds availability: €326 million in 2021, €356 million in 2020 (-8.4%); • fees for ATM and credit card services not included in collection and payment services: €261 million in 2021, €255 million in 2020 (+2.4%); • fees for current accounts keeping: €120 million in 2021, €119 million in 2020 (+0.8%). Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 270 2021 Annual Report and Accounts · UniCredit Section 2 - Fees and commissions - Items 40 and 50 2.1 Fees and commissions income: breakdown (€ million) TYPE OF SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial Instruments 1,315 994 1. Placement of securities 1,032 724 1.1 Underwriting and/or on the basis of an irrevocable commitment 27 28 1.2 Without irrevocable commitment 1,005 696 2. Reception and transmission of orders 116 108 2.1 Reception and transmission of orders of financial instruments 116 108 2.2 Execution of orders on behalf of customers - - 3. Other fees related to activities linked to financial instruments 167 162 of which: proprietary Trading 9 1 of which: individual portfolio management 158 161 b) Corporate Finance 58 34 1. M&A advisory 9 9 2. Treasury services 2 2 3. Other fee and commission income in relation to corporate finance activities 47 23 c) Fee based advice 92 75 d) Clearing and settlement - - e) Collective portfolio management 213 143 f) Custody and administration of securities 279 269 1. Custodian Bank 121 108 2. Other fee and commission income in relation to corporate finance activities 158 161 g) Central administrative services for collective investment 1 1 h) Fiduciary transactions - - i) Payment services 1,367 1,208 1. Current accounts 46 40 2. Credit cards 106 110 3. Debits cards and other card payments 354 282 4. Transfers and other payment orders 412 344 5. Other fees in relation to payment services 449 432 j) Distribution of third party services 1,557 1,436 1.Collective portfolio management 678 623 2. Insurance products 861 795 3. Other products 18 18 of which: individual portfolio management 3 - k) Structured finance - 1 l) Loan securitisation servicing activities 8 8 m) Loan commitment given 99 105 n) Financial guarantees 345 336 of which: credit derivatives - - o) Lending transaction 512 477 of which: factoring services 71 72 p) Currency trading 197 175 q) Commodities - - r) Other fee income 1,920 1,907 of which: management of sharing multilateral trading facilities - - of which: management of organized trading systems - - Total 7,963 7,169 Item “r) other fee income” mainly comprise: • fees for ancillary services linked to current accounts (e.g., token, debt card): €794 million in 2021, €747 million in 2020 (+6.3%); • fees for immediate funds availability: €326 million in 2021, €356 million in 2020 (-8.4%); • fees for ATM and credit card services not included in collection and payment services: €261 million in 2021, €255 million in 2020 (+2.4%); • fees for current accounts keeping: €120 million in 2021, €119 million in 2020 (+0.8%). Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 270 2021 Annual Report and Accounts · UniCredit Section 2 - Fees and commissions - Items 40 and 50 2.1 Fees and commissions income: breakdown (€ million) TYPE OF SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial Instruments 1,315 994 1. Placement of securities 1,032 724 1.1 Underwriting and/or on the basis of an irrevocable commitment 27 28 1.2 Without irrevocable commitment 1,005 696 2. Reception and transmission of orders 116 108 2.1 Reception and transmission of orders of financial instruments 116 108 2.2 Execution of orders on behalf of customers - - 3. Other fees related to activities linked to financial instruments 167 162 of which: proprietary Trading 9 1 of which: individual portfolio management 158 161 b) Corporate Finance 58 34 1. M&A advisory 9 9 2. Treasury services 2 2 3. Other fee and commission income in relation to corporate finance activities 47 23 c) Fee based advice 92 75 d) Clearing and settlement - - e) Collective portfolio management 213 143 f) Custody and administration of securities 279 269 1. Custodian Bank 121 108 2. Other fee and commission income in relation to corporate finance activities 158 161 g) Central administrative services for collective investment 1 1 h) Fiduciary transactions - - i) Payment services 1,367 1,208 1. Current accounts 46 40 2. Credit cards 106 110 3. Debits cards and other card payments 354 282 4. Transfers and other payment orders 412 344 5. Other fees in relation to payment services 449 432 j) Distribution of third party services 1,557 1,436 1.Collective portfolio management 678 623 2. Insurance products 861 795 3. Other products 18 18 of which: individual portfolio management 3 - k) Structured finance - 1 l) Loan securitisation servicing activities 8 8 m) Loan commitment given 99 105 n) Financial guarantees 345 336 of which: credit derivatives - - o) Lending transaction 512 477 of which: factoring services 71 72 p) Currency trading 197 175 q) Commodities - - r) Other fee income 1,920 1,907 of which: management of sharing multilateral trading facilities - - of which: management of organized trading systems - - Total 7,963 7,169 Item “r) other fee income” mainly comprise: • fees for ancillary services linked to current accounts (e.g., token, debt card): €794 million in 2021, €747 million in 2020 (+6.3%); • fees for immediate funds availability: €326 million in 2021, €356 million in 2020 (-8.4%); • fees for ATM and credit card services not included in collection and payment services: €261 million in 2021, €255 million in 2020 (+2.4%); • fees for current accounts keeping: €120 million in 2021, €119 million in 2020 (+0.8%). Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 270 2021 Annual Report and Accounts · UniCredit Section 2 - Fees and commissions - Items 40 and 50 2.1 Fees and commissions income: breakdown (€ million) TYPE OF SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial Instruments 1,315 994 1. Placement of securities 1,032 724 1.1 Underwriting and/or on the basis of an irrevocable commitment 27 28 1.2 Without irrevocable commitment 1,005 696 2. Reception and transmission of orders 116 108 2.1 Reception and transmission of orders of financial instruments 116 108 2.2 Execution of orders on behalf of customers - - 3. Other fees related to activities linked to financial instruments 167 162 of which: proprietary Trading 9 1 of which: individual portfolio management 158 161 b) Corporate Finance 58 34 1. M&A advisory 9 9 2. Treasury services 2 2 3. Other fee and commission income in relation to corporate finance activities 47 23 c) Fee based advice 92 75 d) Clearing and settlement - - e) Collective portfolio management 213 143 f) Custody and administration of securities 279 269 1. Custodian Bank 121 108 2. Other fee and commission income in relation to corporate finance activities 158 161 g) Central administrative services for collective investment 1 1 h) Fiduciary transactions - - i) Payment services 1,367 1,208 1. Current accounts 46 40 2. Credit cards 106 110 3. Debits cards and other card payments 354 282 4. Transfers and other payment orders 412 344 5. Other fees in relation to payment services 449 432 j) Distribution of third party services 1,557 1,436 1.Collective portfolio management 678 623 2. Insurance products 861 795 3. Other products 18 18 of which: individual portfolio management 3 - k) Structured finance - 1 l) Loan securitisation servicing activities 8 8 m) Loan commitment given 99 105 n) Financial guarantees 345 336 of which: credit derivatives - - o) Lending transaction 512 477 of which: factoring services 71 72 p) Currency trading 197 175 q) Commodities - - r) Other fee income 1,920 1,907 of which: management of sharing multilateral trading facilities - - of which: management of organized trading systems - - Total 7,963 7,169 Item “r) other fee income” mainly comprise: • fees for ancillary services linked to current accounts (e.g., token, debt card): €794 million in 2021, €747 million in 2020 (+6.3%); • fees for immediate funds availability: €326 million in 2021, €356 million in 2020 (-8.4%); • fees for ATM and credit card services not included in collection and payment services: €261 million in 2021, €255 million in 2020 (+2.4%); • fees for current accounts keeping: €120 million in 2021, €119 million in 2020 (+0.8%). Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 270 2021 Annual Report and Accounts · UniCredit Section 2 - Fees and commissions - Items 40 and 50 2.1 Fees and commissions income: breakdown (€ million) TYPE OF SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial Instruments 1,315 994 1. Placement of securities 1,032 724 1.1 Underwriting and/or on the basis of an irrevocable commitment 27 28 1.2 Without irrevocable commitment 1,005 696 2. Reception and transmission of orders 116 108 2.1 Reception and transmission of orders of financial instruments 116 108 2.2 Execution of orders on behalf of customers - - 3. Other fees related to activities linked to financial instruments 167 162 of which: proprietary Trading 9 1 of which: individual portfolio management 158 161 b) Corporate Finance 58 34 1. M&A advisory 9 9 2. Treasury services 2 2 3. Other fee and commission income in relation to corporate finance activities 47 23 c) Fee based advice 92 75 d) Clearing and settlement - - e) Collective portfolio management 213 143 f) Custody and administration of securities 279 269 1. Custodian Bank 121 108 2. Other fee and commission income in relation to corporate finance activities 158 161 g) Central administrative services for collective investment 1 1 h) Fiduciary transactions - - i) Payment services 1,367 1,208 1. Current accounts 46 40 2. Credit cards 106 110 3. Debits cards and other card payments 354 282 4. Transfers and other payment orders 412 344 5. Other fees in relation to payment services 449 432 j) Distribution of third party services 1,557 1,436 1.Collective portfolio management 678 623 2. Insurance products 861 795 3. Other products 18 18 of which: individual portfolio management 3 - k) Structured finance - 1 l) Loan securitisation servicing activities 8 8 m) Loan commitment given 99 105 n) Financial guarantees 345 336 of which: credit derivatives - - o) Lending transaction 512 477 of which: factoring services 71 72 p) Currency trading 197 175 q) Commodities - - r) Other fee income 1,920 1,907 of which: management of sharing multilateral trading facilities - - of which: management of organized trading systems - - Total 7,963 7,169 Item “r) other fee income” mainly comprise: • fees for ancillary services linked to current accounts (e.g., token, debt card): €794 million in 2021, €747 million in 2020 (+6.3%); • fees for immediate funds availability: €326 million in 2021, €356 million in 2020 (-8.4%); • fees for ATM and credit card services not included in collection and payment services: €261 million in 2021, €255 million in 2020 (+2.4%); • fees for current accounts keeping: €120 million in 2021, €119 million in 2020 (+0.8%). Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 271 2.2 Fees and commissions expenses: breakdown (€ million) SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial instruments (75) (80) of which: trading in financial instruments (61) (63) of which: placement of financial instruments (6) (9) of which: individual Portfolio management (8) (8) - own portfolio (1) - - third party portfolio (7) (8) b) Clearing and settlement (3) (3) c) Portfolio management: collective (35) (32) 1. Own portfolio (21) (20) 2. Third party portfolio (14) (12) d) Custody and Admnistration (173) (166) e) Collection and payments services (668) (606) of which: debit credit card service and other payment cards (562) (496) f) Loan securitisation servicing activities - (1) g) Loan commitment given (10) (12) h) Financial guarantees received (84) (88) of which: credit derivatives - - i) Off - site distribution of financial instruments, products and services (54) (45) j) Currency trading (9) (11) k) Other commission expenses (149) (168) Total (1,260) (1,212) Section 3 - Dividend income and similar revenue - Item 70 3.1 Dividend income and similar revenues: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/REVENUES DIVIDENDS SIMILAR REVENUES DIVIDENDS SIMILAR REVENUES A. Financial assets held for trading 255 - 134 - B. Other financial assets mandatorily at fair value 35 24 36 7 C. Financial assets at fair value through other comprehensive income 18 - 28 - D. Equity investments 19 - 3 - Total 327 24 201 7 Total dividends and similar revenues 351 208 Dividends are recognised in the income statement when distribution is approved. In 2021 dividend income and similar revenues totaled €351 million, as against €208 million for the previous period. The item “A. Financial assets held for trading” includes the dividends received relating to the following mainly equity securities: Eni S.p.A. (€22 million), Intesa Sanpaolo (€15 million), Allianz SE NA O.N. (€10 million), Enel S.p.A. (€8 million). In 2020 the item included the dividends received relating to the following mainly equity securities: Eni S.p.A. (€14 million), BASF SE NA O.N. (€8 million), Allianz SE NA O.N. (€8 million), Enel S.p.A. (€7 million). The item “B. Other financial assets mandatorly at fair value” includes mainly the dividends received relating to the shareholding in La Villata S.p.A. Immobiliare di Investimento e Sviluppo for €16 million (€15 million in 2020). The item “C. Financial assets at fair value through other comprehensive income” includes mainly the dividends received relating to the shareholding in Banca d’Italia for €10 million, same as in 2020. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 271 2.2 Fees and commissions expenses: breakdown (€ million) SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial instruments (75) (80) of which: trading in financial instruments (61) (63) of which: placement of financial instruments (6) (9) of which: individual Portfolio management (8) (8) - own portfolio (1) - - third party portfolio (7) (8) b) Clearing and settlement (3) (3) c) Portfolio management: collective (35) (32) 1. Own portfolio (21) (20) 2. Third party portfolio (14) (12) d) Custody and Admnistration (173) (166) e) Collection and payments services (668) (606) of which: debit credit card service and other payment cards (562) (496) f) Loan securitisation servicing activities - (1) g) Loan commitment given (10) (12) h) Financial guarantees received (84) (88) of which: credit derivatives - - i) Off - site distribution of financial instruments, products and services (54) (45) j) Currency trading (9) (11) k) Other commission expenses (149) (168) Total (1,260) (1,212) Section 3 - Dividend income and similar revenue - Item 70 3.1 Dividend income and similar revenues: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/REVENUES DIVIDENDS SIMILAR REVENUES DIVIDENDS SIMILAR REVENUES A. Financial assets held for trading 255 - 134 - B. Other financial assets mandatorily at fair value 35 24 36 7 C. Financial assets at fair value through other comprehensive income 18 - 28 - D. Equity investments 19 - 3 - Total 327 24 201 7 Total dividends and similar revenues 351 208 Dividends are recognised in the income statement when distribution is approved. In 2021 dividend income and similar revenues totaled €351 million, as against €208 million for the previous period. The item “A. Financial assets held for trading” includes the dividends received relating to the following mainly equity securities: Eni S.p.A. (€22 million), Intesa Sanpaolo (€15 million), Allianz SE NA O.N. (€10 million), Enel S.p.A. (€8 million). In 2020 the item included the dividends received relating to the following mainly equity securities: Eni S.p.A. (€14 million), BASF SE NA O.N. (€8 million), Allianz SE NA O.N. (€8 million), Enel S.p.A. (€7 million). The item “B. Other financial assets mandatorly at fair value” includes mainly the dividends received relating to the shareholding in La Villata S.p.A. Immobiliare di Investimento e Sviluppo for €16 million (€15 million in 2020). The item “C. Financial assets at fair value through other comprehensive income” includes mainly the dividends received relating to the shareholding in Banca d’Italia for €10 million, same as in 2020. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 271 2.2 Fees and commissions expenses: breakdown (€ million) SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial instruments (75) (80) of which: trading in financial instruments (61) (63) of which: placement of financial instruments (6) (9) of which: individual Portfolio management (8) (8) - own portfolio (1) - - third party portfolio (7) (8) b) Clearing and settlement (3) (3) c) Portfolio management: collective (35) (32) 1. Own portfolio (21) (20) 2. Third party portfolio (14) (12) d) Custody and Admnistration (173) (166) e) Collection and payments services (668) (606) of which: debit credit card service and other payment cards (562) (496) f) Loan securitisation servicing activities - (1) g) Loan commitment given (10) (12) h) Financial guarantees received (84) (88) of which: credit derivatives - - i) Off - site distribution of financial instruments, products and services (54) (45) j) Currency trading (9) (11) k) Other commission expenses (149) (168) Total (1,260) (1,212) Section 3 - Dividend income and similar revenue - Item 70 3.1 Dividend income and similar revenues: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/REVENUES DIVIDENDS SIMILAR REVENUES DIVIDENDS SIMILAR REVENUES A. Financial assets held for trading 255 - 134 - B. Other financial assets mandatorily at fair value 35 24 36 7 C. Financial assets at fair value through other comprehensive income 18 - 28 - D. Equity investments 19 - 3 - Total 327 24 201 7 Total dividends and similar revenues 351 208 Dividends are recognised in the income statement when distribution is approved. In 2021 dividend income and similar revenues totaled €351 million, as against €208 million for the previous period. The item “A. Financial assets held for trading” includes the dividends received relating to the following mainly equity securities: Eni S.p.A. (€22 million), Intesa Sanpaolo (€15 million), Allianz SE NA O.N. (€10 million), Enel S.p.A. (€8 million). In 2020 the item included the dividends received relating to the following mainly equity securities: Eni S.p.A. (€14 million), BASF SE NA O.N. (€8 million), Allianz SE NA O.N. (€8 million), Enel S.p.A. (€7 million). The item “B. Other financial assets mandatorly at fair value” includes mainly the dividends received relating to the shareholding in La Villata S.p.A. Immobiliare di Investimento e Sviluppo for €16 million (€15 million in 2020). The item “C. Financial assets at fair value through other comprehensive income” includes mainly the dividends received relating to the shareholding in Banca d’Italia for €10 million, same as in 2020. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 271 2.2 Fees and commissions expenses: breakdown (€ million) SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial instruments (75) (80) of which: trading in financial instruments (61) (63) of which: placement of financial instruments (6) (9) of which: individual Portfolio management (8) (8) - own portfolio (1) - - third party portfolio (7) (8) b) Clearing and settlement (3) (3) c) Portfolio management: collective (35) (32) 1. Own portfolio (21) (20) 2. Third party portfolio (14) (12) d) Custody and Admnistration (173) (166) e) Collection and payments services (668) (606) of which: debit credit card service and other payment cards (562) (496) f) Loan securitisation servicing activities - (1) g) Loan commitment given (10) (12) h) Financial guarantees received (84) (88) of which: credit derivatives - - i) Off - site distribution of financial instruments, products and services (54) (45) j) Currency trading (9) (11) k) Other commission expenses (149) (168) Total (1,260) (1,212) Section 3 - Dividend income and similar revenue - Item 70 3.1 Dividend income and similar revenues: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/REVENUES DIVIDENDS SIMILAR REVENUES DIVIDENDS SIMILAR REVENUES A. Financial assets held for trading 255 - 134 - B. Other financial assets mandatorily at fair value 35 24 36 7 C. Financial assets at fair value through other comprehensive income 18 - 28 - D. Equity investments 19 - 3 - Total 327 24 201 7 Total dividends and similar revenues 351 208 Dividends are recognised in the income statement when distribution is approved. In 2021 dividend income and similar revenues totaled €351 million, as against €208 million for the previous period. The item “A. Financial assets held for trading” includes the dividends received relating to the following mainly equity securities: Eni S.p.A. (€22 million), Intesa Sanpaolo (€15 million), Allianz SE NA O.N. (€10 million), Enel S.p.A. (€8 million). In 2020 the item included the dividends received relating to the following mainly equity securities: Eni S.p.A. (€14 million), BASF SE NA O.N. (€8 million), Allianz SE NA O.N. (€8 million), Enel S.p.A. (€7 million). The item “B. Other financial assets mandatorly at fair value” includes mainly the dividends received relating to the shareholding in La Villata S.p.A. Immobiliare di Investimento e Sviluppo for €16 million (€15 million in 2020). The item “C. Financial assets at fair value through other comprehensive income” includes mainly the dividends received relating to the shareholding in Banca d’Italia for €10 million, same as in 2020. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 271 2.2 Fees and commissions expenses: breakdown (€ million) SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial instruments (75) (80) of which: trading in financial instruments (61) (63) of which: placement of financial instruments (6) (9) of which: individual Portfolio management (8) (8) - own portfolio (1) - - third party portfolio (7) (8) b) Clearing and settlement (3) (3) c) Portfolio management: collective (35) (32) 1. Own portfolio (21) (20) 2. Third party portfolio (14) (12) d) Custody and Admnistration (173) (166) e) Collection and payments services (668) (606) of which: debit credit card service and other payment cards (562) (496) f) Loan securitisation servicing activities - (1) g) Loan commitment given (10) (12) h) Financial guarantees received (84) (88) of which: credit derivatives - - i) Off - site distribution of financial instruments, products and services (54) (45) j) Currency trading (9) (11) k) Other commission expenses (149) (168) Total (1,260) (1,212) Section 3 - Dividend income and similar revenue - Item 70 3.1 Dividend income and similar revenues: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/REVENUES DIVIDENDS SIMILAR REVENUES DIVIDENDS SIMILAR REVENUES A. Financial assets held for trading 255 - 134 - B. Other financial assets mandatorily at fair value 35 24 36 7 C. Financial assets at fair value through other comprehensive income 18 - 28 - D. Equity investments 19 - 3 - Total 327 24 201 7 Total dividends and similar revenues 351 208 Dividends are recognised in the income statement when distribution is approved. In 2021 dividend income and similar revenues totaled €351 million, as against €208 million for the previous period. The item “A. Financial assets held for trading” includes the dividends received relating to the following mainly equity securities: Eni S.p.A. (€22 million), Intesa Sanpaolo (€15 million), Allianz SE NA O.N. (€10 million), Enel S.p.A. (€8 million). In 2020 the item included the dividends received relating to the following mainly equity securities: Eni S.p.A. (€14 million), BASF SE NA O.N. (€8 million), Allianz SE NA O.N. (€8 million), Enel S.p.A. (€7 million). The item “B. Other financial assets mandatorly at fair value” includes mainly the dividends received relating to the shareholding in La Villata S.p.A. Immobiliare di Investimento e Sviluppo for €16 million (€15 million in 2020). The item “C. Financial assets at fair value through other comprehensive income” includes mainly the dividends received relating to the shareholding in Banca d’Italia for €10 million, same as in 2020. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 272 2021 Annual Report and Accounts · UniCredit Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 4.1 Net gains (losses) on trading: breakdown (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets held for trading 19,271 2,904 (9,822) (1,538) 10,815 1.1 Debt securities 287 516 (697) (313) (207) 1.2 Equity instruments 435 1,396 (444) (314) 1,073 1.3 Units in investment funds 104 262 (67) (27) 272 1.4 Loans 10,920 6 (4,358) (97) 6,471 1.5 Other 7,525 724 (4,256) (787) 3,206 2. Financial liabilities held for trading 252 295 (438) (385) (276) 2.1 Debt securities 205 198 (392) (331) (320) 2.2 Deposits - - - (1) (1) 2.3 Other 47 97 (46) (53) 45 3. Financial assets and liabilities: exchange differences X X X X (182) 4. Derivatives 157,573 92,500 (163,177) (96,635) (8,885) 4.1 Financial derivatives 157,223 92,194 (162,909) (96,228) (8,866) - On debt securities and interest rates 139,638 75,340 (138,639) (75,660) 679 - On equity securities and share indices 7,541 8,919 (7,868) (9,385) (793) - On currencies and gold X X X X 854 - Other 10,044 7,935 (16,402) (11,183) (9,606) 4.2 Credit derivatives 350 306 (268) (407) (19) of which: economic hedges linked to the fair value option X X X X - Total 177,096 95,699 (173,437) (98,558) 1,472 Section 5 - Fair value adjustments in hedge accounting - Item 90 5.1 Net gains (losses) on hedge accounting: breakdown (€ million) INCOME COMPONENT/VALUES YEAR 2021 YEAR 2020 A. Gains on A.1 Fair value hedging instruments 8,392 5,918 A.2 Hedged financial assets (in fair value hedge relationship) 208 1,072 A.3 Hedged financial liabilities (in fair value hedge relationship) 4,877 167 A.4 Cash-flow hedging derivatives 5 57 A.5 Assets and liabilities denominated in currency - - Total gains on hedging activities (A) 13,482 7,214 B. Losses on B.1 Fair value hedging instruments (10,326) (6,200) B.2 Hedged financial assets (in fair value hedge relationship) (2,979) (143) B.3 Hedged financial liabilities (in fair value hedge relationship) (121) (924) B.4 Cash-flow hedging derivatives (7) (1) B.5 Assets and liabilities denominated in currency - - Total losses on hedging activities (B) (13,433) (7,268) C. Net hedging result (A-B) 49 (54) of which: net gains (losses) of hedge accounting on net positions - - The increase in the items gain and losses on the hedging derivatives is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 272 2021 Annual Report and Accounts · UniCredit Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 4.1 Net gains (losses) on trading: breakdown (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets held for trading 19,271 2,904 (9,822) (1,538) 10,815 1.1 Debt securities 287 516 (697) (313) (207) 1.2 Equity instruments 435 1,396 (444) (314) 1,073 1.3 Units in investment funds 104 262 (67) (27) 272 1.4 Loans 10,920 6 (4,358) (97) 6,471 1.5 Other 7,525 724 (4,256) (787) 3,206 2. Financial liabilities held for trading 252 295 (438) (385) (276) 2.1 Debt securities 205 198 (392) (331) (320) 2.2 Deposits - - - (1) (1) 2.3 Other 47 97 (46) (53) 45 3. Financial assets and liabilities: exchange differences X X X X (182) 4. Derivatives 157,573 92,500 (163,177) (96,635) (8,885) 4.1 Financial derivatives 157,223 92,194 (162,909) (96,228) (8,866) - On debt securities and interest rates 139,638 75,340 (138,639) (75,660) 679 - On equity securities and share indices 7,541 8,919 (7,868) (9,385) (793) - On currencies and gold X X X X 854 - Other 10,044 7,935 (16,402) (11,183) (9,606) 4.2 Credit derivatives 350 306 (268) (407) (19) of which: economic hedges linked to the fair value option X X X X - Total 177,096 95,699 (173,437) (98,558) 1,472 Section 5 - Fair value adjustments in hedge accounting - Item 90 5.1 Net gains (losses) on hedge accounting: breakdown (€ million) INCOME COMPONENT/VALUES YEAR 2021 YEAR 2020 A. Gains on A.1 Fair value hedging instruments 8,392 5,918 A.2 Hedged financial assets (in fair value hedge relationship) 208 1,072 A.3 Hedged financial liabilities (in fair value hedge relationship) 4,877 167 A.4 Cash-flow hedging derivatives 5 57 A.5 Assets and liabilities denominated in currency - - Total gains on hedging activities (A) 13,482 7,214 B. Losses on B.1 Fair value hedging instruments (10,326) (6,200) B.2 Hedged financial assets (in fair value hedge relationship) (2,979) (143) B.3 Hedged financial liabilities (in fair value hedge relationship) (121) (924) B.4 Cash-flow hedging derivatives (7) (1) B.5 Assets and liabilities denominated in currency - - Total losses on hedging activities (B) (13,433) (7,268) C. Net hedging result (A-B) 49 (54) of which: net gains (losses) of hedge accounting on net positions - - The increase in the items gain and losses on the hedging derivatives is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 272 2021 Annual Report and Accounts · UniCredit Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 4.1 Net gains (losses) on trading: breakdown (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets held for trading 19,271 2,904 (9,822) (1,538) 10,815 1.1 Debt securities 287 516 (697) (313) (207) 1.2 Equity instruments 435 1,396 (444) (314) 1,073 1.3 Units in investment funds 104 262 (67) (27) 272 1.4 Loans 10,920 6 (4,358) (97) 6,471 1.5 Other 7,525 724 (4,256) (787) 3,206 2. Financial liabilities held for trading 252 295 (438) (385) (276) 2.1 Debt securities 205 198 (392) (331) (320) 2.2 Deposits - - - (1) (1) 2.3 Other 47 97 (46) (53) 45 3. Financial assets and liabilities: exchange differences X X X X (182) 4. Derivatives 157,573 92,500 (163,177) (96,635) (8,885) 4.1 Financial derivatives 157,223 92,194 (162,909) (96,228) (8,866) - On debt securities and interest rates 139,638 75,340 (138,639) (75,660) 679 - On equity securities and share indices 7,541 8,919 (7,868) (9,385) (793) - On currencies and gold X X X X 854 - Other 10,044 7,935 (16,402) (11,183) (9,606) 4.2 Credit derivatives 350 306 (268) (407) (19) of which: economic hedges linked to the fair value option X X X X - Total 177,096 95,699 (173,437) (98,558) 1,472 Section 5 - Fair value adjustments in hedge accounting - Item 90 5.1 Net gains (losses) on hedge accounting: breakdown (€ million) INCOME COMPONENT/VALUES YEAR 2021 YEAR 2020 A. Gains on A.1 Fair value hedging instruments 8,392 5,918 A.2 Hedged financial assets (in fair value hedge relationship) 208 1,072 A.3 Hedged financial liabilities (in fair value hedge relationship) 4,877 167 A.4 Cash-flow hedging derivatives 5 57 A.5 Assets and liabilities denominated in currency - - Total gains on hedging activities (A) 13,482 7,214 B. Losses on B.1 Fair value hedging instruments (10,326) (6,200) B.2 Hedged financial assets (in fair value hedge relationship) (2,979) (143) B.3 Hedged financial liabilities (in fair value hedge relationship) (121) (924) B.4 Cash-flow hedging derivatives (7) (1) B.5 Assets and liabilities denominated in currency - - Total losses on hedging activities (B) (13,433) (7,268) C. Net hedging result (A-B) 49 (54) of which: net gains (losses) of hedge accounting on net positions - - The increase in the items gain and losses on the hedging derivatives is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 272 2021 Annual Report and Accounts · UniCredit Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 4.1 Net gains (losses) on trading: breakdown (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets held for trading 19,271 2,904 (9,822) (1,538) 10,815 1.1 Debt securities 287 516 (697) (313) (207) 1.2 Equity instruments 435 1,396 (444) (314) 1,073 1.3 Units in investment funds 104 262 (67) (27) 272 1.4 Loans 10,920 6 (4,358) (97) 6,471 1.5 Other 7,525 724 (4,256) (787) 3,206 2. Financial liabilities held for trading 252 295 (438) (385) (276) 2.1 Debt securities 205 198 (392) (331) (320) 2.2 Deposits - - - (1) (1) 2.3 Other 47 97 (46) (53) 45 3. Financial assets and liabilities: exchange differences X X X X (182) 4. Derivatives 157,573 92,500 (163,177) (96,635) (8,885) 4.1 Financial derivatives 157,223 92,194 (162,909) (96,228) (8,866) - On debt securities and interest rates 139,638 75,340 (138,639) (75,660) 679 - On equity securities and share indices 7,541 8,919 (7,868) (9,385) (793) - On currencies and gold X X X X 854 - Other 10,044 7,935 (16,402) (11,183) (9,606) 4.2 Credit derivatives 350 306 (268) (407) (19) of which: economic hedges linked to the fair value option X X X X - Total 177,096 95,699 (173,437) (98,558) 1,472 Section 5 - Fair value adjustments in hedge accounting - Item 90 5.1 Net gains (losses) on hedge accounting: breakdown (€ million) INCOME COMPONENT/VALUES YEAR 2021 YEAR 2020 A. Gains on A.1 Fair value hedging instruments 8,392 5,918 A.2 Hedged financial assets (in fair value hedge relationship) 208 1,072 A.3 Hedged financial liabilities (in fair value hedge relationship) 4,877 167 A.4 Cash-flow hedging derivatives 5 57 A.5 Assets and liabilities denominated in currency - - Total gains on hedging activities (A) 13,482 7,214 B. Losses on B.1 Fair value hedging instruments (10,326) (6,200) B.2 Hedged financial assets (in fair value hedge relationship) (2,979) (143) B.3 Hedged financial liabilities (in fair value hedge relationship) (121) (924) B.4 Cash-flow hedging derivatives (7) (1) B.5 Assets and liabilities denominated in currency - - Total losses on hedging activities (B) (13,433) (7,268) C. Net hedging result (A-B) 49 (54) of which: net gains (losses) of hedge accounting on net positions - - The increase in the items gain and losses on the hedging derivatives is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 272 2021 Annual Report and Accounts · UniCredit Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 4.1 Net gains (losses) on trading: breakdown (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets held for trading 19,271 2,904 (9,822) (1,538) 10,815 1.1 Debt securities 287 516 (697) (313) (207) 1.2 Equity instruments 435 1,396 (444) (314) 1,073 1.3 Units in investment funds 104 262 (67) (27) 272 1.4 Loans 10,920 6 (4,358) (97) 6,471 1.5 Other 7,525 724 (4,256) (787) 3,206 2. Financial liabilities held for trading 252 295 (438) (385) (276) 2.1 Debt securities 205 198 (392) (331) (320) 2.2 Deposits - - - (1) (1) 2.3 Other 47 97 (46) (53) 45 3. Financial assets and liabilities: exchange differences X X X X (182) 4. Derivatives 157,573 92,500 (163,177) (96,635) (8,885) 4.1 Financial derivatives 157,223 92,194 (162,909) (96,228) (8,866) - On debt securities and interest rates 139,638 75,340 (138,639) (75,660) 679 - On equity securities and share indices 7,541 8,919 (7,868) (9,385) (793) - On currencies and gold X X X X 854 - Other 10,044 7,935 (16,402) (11,183) (9,606) 4.2 Credit derivatives 350 306 (268) (407) (19) of which: economic hedges linked to the fair value option X X X X - Total 177,096 95,699 (173,437) (98,558) 1,472 Section 5 - Fair value adjustments in hedge accounting - Item 90 5.1 Net gains (losses) on hedge accounting: breakdown (€ million) INCOME COMPONENT/VALUES YEAR 2021 YEAR 2020 A. Gains on A.1 Fair value hedging instruments 8,392 5,918 A.2 Hedged financial assets (in fair value hedge relationship) 208 1,072 A.3 Hedged financial liabilities (in fair value hedge relationship) 4,877 167 A.4 Cash-flow hedging derivatives 5 57 A.5 Assets and liabilities denominated in currency - - Total gains on hedging activities (A) 13,482 7,214 B. Losses on B.1 Fair value hedging instruments (10,326) (6,200) B.2 Hedged financial assets (in fair value hedge relationship) (2,979) (143) B.3 Hedged financial liabilities (in fair value hedge relationship) (121) (924) B.4 Cash-flow hedging derivatives (7) (1) B.5 Assets and liabilities denominated in currency - - Total losses on hedging activities (B) (13,433) (7,268) C. Net hedging result (A-B) 49 (54) of which: net gains (losses) of hedge accounting on net positions - - The increase in the items gain and losses on the hedging derivatives is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 273 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 Net profit from gains/losses on disposals/repurchases of financial assets/liabilities as at 31 December 2021 is equal to +€244 million (+€230 million in 2020), of which +€194 million on financial assets and +€50 million on financial liabilities. Net result recognised under sub-item “1. Financial assets at amortised cost” equal to +€53 million is mainly due to loan and advances to customers basically attributable to sale of bonds by UniCredit S.p.A. The sub-item “2. Financial assets at fair value through other comprehensive income - 2.1 Debt securities” is equal to +€141 million and includes principally gains on disposal of UniCredit S.p.A. for +€93 million, mainly due to Italian Government securities. 6.1 Gains (Losses) on disposal/repurchase: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/INCOME ITEMS GAINS LOSSES NET PROFIT GAINS LOSSES NET PROFIT A. Financial assets 1. Financial assets at amortised cost 250 (197) 53 373 (293) 80 1.1 Loans and advances to banks 11 (29) (18) 2 - 2 1.2 Loans and advances to customers 239 (168) 71 371 (293) 78 2. Financial assets at fair value through other comprehensive income 341 (200) 141 272 (128) 144 2.1 Debt securities 341 (200) 141 272 (128) 144 2.2 Loans - - - - - - Total assets (A) 591 (397) 194 645 (421) 224 B. Financial liabilities at amortised cost 1. Deposits from banks - - - 1 (3) (2) 2. Deposits from customers 66 (2) 64 - - - 3. Debt securities in issue 2 (16) (14) 21 (13) 8 Total liabilities (B) 68 (18) 50 22 (16) 6 Total financial assets/liabilities 244 230 Net profit from gains/losses on disposals/repurchases of financial assets/liabilities as at 31 December 2020 was equal to +€230 million, of which +€224 million on financial assets and +€6 million on financial liabilities. Net result recognised under sub-item “1. Financial assets at amortised cost” equal to +€80 million was mainly due to loan and advances to customers of which UniCredit S.p.A. for +€119 million principally attributable to sale of bonds and, for a lower amount, of non-performing loans to customer. The sub-item “2. Financial assets at fair value through other comprehensive income - 2.1 Debt securities” was equal to +€144 million and included gains on disposal of AO UniCredit Bank (+€29 million, mainly due to Russian Government securities), UniCredit S.p.A. (+€23 million, mainly due to Italian Government securities), UniCredit Bank AG (+€19 million, mainly due to Spanish Government securities), UniCredit Bank Cech Republic and Slovakia A.s. (+€16 million, mainly due to Czech and Slovak Government securities), Zagrebacka Banka DD (+€13 million, mainly due to Croatian Government securities), UniCredit Bank Ireland Plc (+€12 million, mainly due to Spanish and Italian Government securities), UniCredit Bank SA (+€10 million, mainly due to Romanian Government securities). Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 273 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 Net profit from gains/losses on disposals/repurchases of financial assets/liabilities as at 31 December 2021 is equal to +€244 million (+€230 million in 2020), of which +€194 million on financial assets and +€50 million on financial liabilities. Net result recognised under sub-item “1. Financial assets at amortised cost” equal to +€53 million is mainly due to loan and advances to customers basically attributable to sale of bonds by UniCredit S.p.A. The sub-item “2. Financial assets at fair value through other comprehensive income - 2.1 Debt securities” is equal to +€141 million and includes principally gains on disposal of UniCredit S.p.A. for +€93 million, mainly due to Italian Government securities. 6.1 Gains (Losses) on disposal/repurchase: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/INCOME ITEMS GAINS LOSSES NET PROFIT GAINS LOSSES NET PROFIT A. Financial assets 1. Financial assets at amortised cost 250 (197) 53 373 (293) 80 1.1 Loans and advances to banks 11 (29) (18) 2 - 2 1.2 Loans and advances to customers 239 (168) 71 371 (293) 78 2. Financial assets at fair value through other comprehensive income 341 (200) 141 272 (128) 144 2.1 Debt securities 341 (200) 141 272 (128) 144 2.2 Loans - - - - - - Total assets (A) 591 (397) 194 645 (421) 224 B. Financial liabilities at amortised cost 1. Deposits from banks - - - 1 (3) (2) 2. Deposits from customers 66 (2) 64 - - - 3. Debt securities in issue 2 (16) (14) 21 (13) 8 Total liabilities (B) 68 (18) 50 22 (16) 6 Total financial assets/liabilities 244 230 Net profit from gains/losses on disposals/repurchases of financial assets/liabilities as at 31 December 2020 was equal to +€230 million, of which +€224 million on financial assets and +€6 million on financial liabilities. Net result recognised under sub-item “1. Financial assets at amortised cost” equal to +€80 million was mainly due to loan and advances to customers of which UniCredit S.p.A. for +€119 million principally attributable to sale of bonds and, for a lower amount, of non-performing loans to customer. The sub-item “2. Financial assets at fair value through other comprehensive income - 2.1 Debt securities” was equal to +€144 million and included gains on disposal of AO UniCredit Bank (+€29 million, mainly due to Russian Government securities), UniCredit S.p.A. (+€23 million, mainly due to Italian Government securities), UniCredit Bank AG (+€19 million, mainly due to Spanish Government securities), UniCredit Bank Cech Republic and Slovakia A.s. (+€16 million, mainly due to Czech and Slovak Government securities), Zagrebacka Banka DD (+€13 million, mainly due to Croatian Government securities), UniCredit Bank Ireland Plc (+€12 million, mainly due to Spanish and Italian Government securities), UniCredit Bank SA (+€10 million, mainly due to Romanian Government securities). Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 273 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 Net profit from gains/losses on disposals/repurchases of financial assets/liabilities as at 31 December 2021 is equal to +€244 million (+€230 million in 2020), of which +€194 million on financial assets and +€50 million on financial liabilities. Net result recognised under sub-item “1. Financial assets at amortised cost” equal to +€53 million is mainly due to loan and advances to customers basically attributable to sale of bonds by UniCredit S.p.A. The sub-item “2. Financial assets at fair value through other comprehensive income - 2.1 Debt securities” is equal to +€141 million and includes principally gains on disposal of UniCredit S.p.A. for +€93 million, mainly due to Italian Government securities. 6.1 Gains (Losses) on disposal/repurchase: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/INCOME ITEMS GAINS LOSSES NET PROFIT GAINS LOSSES NET PROFIT A. Financial assets 1. Financial assets at amortised cost 250 (197) 53 373 (293) 80 1.1 Loans and advances to banks 11 (29) (18) 2 - 2 1.2 Loans and advances to customers 239 (168) 71 371 (293) 78 2. Financial assets at fair value through other comprehensive income 341 (200) 141 272 (128) 144 2.1 Debt securities 341 (200) 141 272 (128) 144 2.2 Loans - - - - - - Total assets (A) 591 (397) 194 645 (421) 224 B. Financial liabilities at amortised cost 1. Deposits from banks - - - 1 (3) (2) 2. Deposits from customers 66 (2) 64 - - - 3. Debt securities in issue 2 (16) (14) 21 (13) 8 Total liabilities (B) 68 (18) 50 22 (16) 6 Total financial assets/liabilities 244 230 Net profit from gains/losses on disposals/repurchases of financial assets/liabilities as at 31 December 2020 was equal to +€230 million, of which +€224 million on financial assets and +€6 million on financial liabilities. Net result recognised under sub-item “1. Financial assets at amortised cost” equal to +€80 million was mainly due to loan and advances to customers of which UniCredit S.p.A. for +€119 million principally attributable to sale of bonds and, for a lower amount, of non-performing loans to customer. The sub-item “2. Financial assets at fair value through other comprehensive income - 2.1 Debt securities” was equal to +€144 million and included gains on disposal of AO UniCredit Bank (+€29 million, mainly due to Russian Government securities), UniCredit S.p.A. (+€23 million, mainly due to Italian Government securities), UniCredit Bank AG (+€19 million, mainly due to Spanish Government securities), UniCredit Bank Cech Republic and Slovakia A.s. (+€16 million, mainly due to Czech and Slovak Government securities), Zagrebacka Banka DD (+€13 million, mainly due to Croatian Government securities), UniCredit Bank Ireland Plc (+€12 million, mainly due to Spanish and Italian Government securities), UniCredit Bank SA (+€10 million, mainly due to Romanian Government securities). Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 273 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 Net profit from gains/losses on disposals/repurchases of financial assets/liabilities as at 31 December 2021 is equal to +€244 million (+€230 million in 2020), of which +€194 million on financial assets and +€50 million on financial liabilities. Net result recognised under sub-item “1. Financial assets at amortised cost” equal to +€53 million is mainly due to loan and advances to customers basically attributable to sale of bonds by UniCredit S.p.A. The sub-item “2. Financial assets at fair value through other comprehensive income - 2.1 Debt securities” is equal to +€141 million and includes principally gains on disposal of UniCredit S.p.A. for +€93 million, mainly due to Italian Government securities. 6.1 Gains (Losses) on disposal/repurchase: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/INCOME ITEMS GAINS LOSSES NET PROFIT GAINS LOSSES NET PROFIT A. Financial assets 1. Financial assets at amortised cost 250 (197) 53 373 (293) 80 1.1 Loans and advances to banks 11 (29) (18) 2 - 2 1.2 Loans and advances to customers 239 (168) 71 371 (293) 78 2. Financial assets at fair value through other comprehensive income 341 (200) 141 272 (128) 144 2.1 Debt securities 341 (200) 141 272 (128) 144 2.2 Loans - - - - - - Total assets (A) 591 (397) 194 645 (421) 224 B. Financial liabilities at amortised cost 1. Deposits from banks - - - 1 (3) (2) 2. Deposits from customers 66 (2) 64 - - - 3. Debt securities in issue 2 (16) (14) 21 (13) 8 Total liabilities (B) 68 (18) 50 22 (16) 6 Total financial assets/liabilities 244 230 Net profit from gains/losses on disposals/repurchases of financial assets/liabilities as at 31 December 2020 was equal to +€230 million, of which +€224 million on financial assets and +€6 million on financial liabilities. Net result recognised under sub-item “1. Financial assets at amortised cost” equal to +€80 million was mainly due to loan and advances to customers of which UniCredit S.p.A. for +€119 million principally attributable to sale of bonds and, for a lower amount, of non-performing loans to customer. The sub-item “2. Financial assets at fair value through other comprehensive income - 2.1 Debt securities” was equal to +€144 million and included gains on disposal of AO UniCredit Bank (+€29 million, mainly due to Russian Government securities), UniCredit S.p.A. (+€23 million, mainly due to Italian Government securities), UniCredit Bank AG (+€19 million, mainly due to Spanish Government securities), UniCredit Bank Cech Republic and Slovakia A.s. (+€16 million, mainly due to Czech and Slovak Government securities), Zagrebacka Banka DD (+€13 million, mainly due to Croatian Government securities), UniCredit Bank Ireland Plc (+€12 million, mainly due to Spanish and Italian Government securities), UniCredit Bank SA (+€10 million, mainly due to Romanian Government securities). Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 273 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 Net profit from gains/losses on disposals/repurchases of financial assets/liabilities as at 31 December 2021 is equal to +€244 million (+€230 million in 2020), of which +€194 million on financial assets and +€50 million on financial liabilities. Net result recognised under sub-item “1. Financial assets at amortised cost” equal to +€53 million is mainly due to loan and advances to customers basically attributable to sale of bonds by UniCredit S.p.A. The sub-item “2. Financial assets at fair value through other comprehensive income - 2.1 Debt securities” is equal to +€141 million and includes principally gains on disposal of UniCredit S.p.A. for +€93 million, mainly due to Italian Government securities. 6.1 Gains (Losses) on disposal/repurchase: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/INCOME ITEMS GAINS LOSSES NET PROFIT GAINS LOSSES NET PROFIT A. Financial assets 1. Financial assets at amortised cost 250 (197) 53 373 (293) 80 1.1 Loans and advances to banks 11 (29) (18) 2 - 2 1.2 Loans and advances to customers 239 (168) 71 371 (293) 78 2. Financial assets at fair value through other comprehensive income 341 (200) 141 272 (128) 144 2.1 Debt securities 341 (200) 141 272 (128) 144 2.2 Loans - - - - - - Total assets (A) 591 (397) 194 645 (421) 224 B. Financial liabilities at amortised cost 1. Deposits from banks - - - 1 (3) (2) 2. Deposits from customers 66 (2) 64 - - - 3. Debt securities in issue 2 (16) (14) 21 (13) 8 Total liabilities (B) 68 (18) 50 22 (16) 6 Total financial assets/liabilities 244 230 Net profit from gains/losses on disposals/repurchases of financial assets/liabilities as at 31 December 2020 was equal to +€230 million, of which +€224 million on financial assets and +€6 million on financial liabilities. Net result recognised under sub-item “1. Financial assets at amortised cost” equal to +€80 million was mainly due to loan and advances to customers of which UniCredit S.p.A. for +€119 million principally attributable to sale of bonds and, for a lower amount, of non-performing loans to customer. The sub-item “2. Financial assets at fair value through other comprehensive income - 2.1 Debt securities” was equal to +€144 million and included gains on disposal of AO UniCredit Bank (+€29 million, mainly due to Russian Government securities), UniCredit S.p.A. (+€23 million, mainly due to Italian Government securities), UniCredit Bank AG (+€19 million, mainly due to Spanish Government securities), UniCredit Bank Cech Republic and Slovakia A.s. (+€16 million, mainly due to Czech and Slovak Government securities), Zagrebacka Banka DD (+€13 million, mainly due to Croatian Government securities), UniCredit Bank Ireland Plc (+€12 million, mainly due to Spanish and Italian Government securities), UniCredit Bank SA (+€10 million, mainly due to Romanian Government securities). Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 274 2021 Annual Report and Accounts · UniCredit Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 7.1 Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: breakdown of financial assets and liabilities designated at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets - - (16) - (16) 1.1 Debt securities - - (16) - (16) 1.2 Loans - - - - - 2. Financial liabilities 222 212 (502) (222) (290) 2.1 Debt securities 197 212 (442) (216) (249) 2.2 Deposits from banks 25 - (60) (6) (41) 2.3 Deposits from customers - - - - - 3. Financial assets and liabilities in foreign currency: exchange differences X X X X - Total 222 212 (518) (222) (306) Some financial derivatives entered into for economic hedge purposes are linked to financial liabilities represented by debt securities and their economic results are included into table “4.1 Net gains (losses) on trading: breakdown” of the Notes to the consolidated account, Part C - Consolidated income statement, Section 4 - Gain (Losses) on financial assets and liabilities held for trading - Item 80. 7.2 Net change in other financial assets/liabilities at fair value through profit or loss: breakdown of other financial assets mandatorily at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets 241 42 (380) (66) (163) 1.1 Debt securities 59 30 (168) (62) (141) 1.2 Equity securities 71 2 (48) - 25 1.3 Units in investment funds 91 7 (56) - 42 1.4 Loans 20 3 (108) (4) (89) 2. Financial assets: exchange differences X X X X - Total 241 42 (380) (66) (163) OICR quotes include economic effects from Atlante fund and Italian Recovery Fund, for which refer to specific comment in table “2.5 Financial assets mandatory at fair value: breakdown by product” reported in the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 2 - Financial asset at fair value through profit or loss - Item 20. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 274 2021 Annual Report and Accounts · UniCredit Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 7.1 Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: breakdown of financial assets and liabilities designated at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets - - (16) - (16) 1.1 Debt securities - - (16) - (16) 1.2 Loans - - - - - 2. Financial liabilities 222 212 (502) (222) (290) 2.1 Debt securities 197 212 (442) (216) (249) 2.2 Deposits from banks 25 - (60) (6) (41) 2.3 Deposits from customers - - - - - 3. Financial assets and liabilities in foreign currency: exchange differences X X X X - Total 222 212 (518) (222) (306) Some financial derivatives entered into for economic hedge purposes are linked to financial liabilities represented by debt securities and their economic results are included into table “4.1 Net gains (losses) on trading: breakdown” of the Notes to the consolidated account, Part C - Consolidated income statement, Section 4 - Gain (Losses) on financial assets and liabilities held for trading - Item 80. 7.2 Net change in other financial assets/liabilities at fair value through profit or loss: breakdown of other financial assets mandatorily at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets 241 42 (380) (66) (163) 1.1 Debt securities 59 30 (168) (62) (141) 1.2 Equity securities 71 2 (48) - 25 1.3 Units in investment funds 91 7 (56) - 42 1.4 Loans 20 3 (108) (4) (89) 2. Financial assets: exchange differences X X X X - Total 241 42 (380) (66) (163) OICR quotes include economic effects from Atlante fund and Italian Recovery Fund, for which refer to specific comment in table “2.5 Financial assets mandatory at fair value: breakdown by product” reported in the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 2 - Financial asset at fair value through profit or loss - Item 20. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 274 2021 Annual Report and Accounts · UniCredit Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 7.1 Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: breakdown of financial assets and liabilities designated at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets - - (16) - (16) 1.1 Debt securities - - (16) - (16) 1.2 Loans - - - - - 2. Financial liabilities 222 212 (502) (222) (290) 2.1 Debt securities 197 212 (442) (216) (249) 2.2 Deposits from banks 25 - (60) (6) (41) 2.3 Deposits from customers - - - - - 3. Financial assets and liabilities in foreign currency: exchange differences X X X X - Total 222 212 (518) (222) (306) Some financial derivatives entered into for economic hedge purposes are linked to financial liabilities represented by debt securities and their economic results are included into table “4.1 Net gains (losses) on trading: breakdown” of the Notes to the consolidated account, Part C - Consolidated income statement, Section 4 - Gain (Losses) on financial assets and liabilities held for trading - Item 80. 7.2 Net change in other financial assets/liabilities at fair value through profit or loss: breakdown of other financial assets mandatorily at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets 241 42 (380) (66) (163) 1.1 Debt securities 59 30 (168) (62) (141) 1.2 Equity securities 71 2 (48) - 25 1.3 Units in investment funds 91 7 (56) - 42 1.4 Loans 20 3 (108) (4) (89) 2. Financial assets: exchange differences X X X X - Total 241 42 (380) (66) (163) OICR quotes include economic effects from Atlante fund and Italian Recovery Fund, for which refer to specific comment in table “2.5 Financial assets mandatory at fair value: breakdown by product” reported in the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 2 - Financial asset at fair value through profit or loss - Item 20. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 274 2021 Annual Report and Accounts · UniCredit Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 7.1 Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: breakdown of financial assets and liabilities designated at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets - - (16) - (16) 1.1 Debt securities - - (16) - (16) 1.2 Loans - - - - - 2. Financial liabilities 222 212 (502) (222) (290) 2.1 Debt securities 197 212 (442) (216) (249) 2.2 Deposits from banks 25 - (60) (6) (41) 2.3 Deposits from customers - - - - - 3. Financial assets and liabilities in foreign currency: exchange differences X X X X - Total 222 212 (518) (222) (306) Some financial derivatives entered into for economic hedge purposes are linked to financial liabilities represented by debt securities and their economic results are included into table “4.1 Net gains (losses) on trading: breakdown” of the Notes to the consolidated account, Part C - Consolidated income statement, Section 4 - Gain (Losses) on financial assets and liabilities held for trading - Item 80. 7.2 Net change in other financial assets/liabilities at fair value through profit or loss: breakdown of other financial assets mandatorily at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets 241 42 (380) (66) (163) 1.1 Debt securities 59 30 (168) (62) (141) 1.2 Equity securities 71 2 (48) - 25 1.3 Units in investment funds 91 7 (56) - 42 1.4 Loans 20 3 (108) (4) (89) 2. Financial assets: exchange differences X X X X - Total 241 42 (380) (66) (163) OICR quotes include economic effects from Atlante fund and Italian Recovery Fund, for which refer to specific comment in table “2.5 Financial assets mandatory at fair value: breakdown by product” reported in the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 2 - Financial asset at fair value through profit or loss - Item 20. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 274 2021 Annual Report and Accounts · UniCredit Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 7.1 Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: breakdown of financial assets and liabilities designated at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets - - (16) - (16) 1.1 Debt securities - - (16) - (16) 1.2 Loans - - - - - 2. Financial liabilities 222 212 (502) (222) (290) 2.1 Debt securities 197 212 (442) (216) (249) 2.2 Deposits from banks 25 - (60) (6) (41) 2.3 Deposits from customers - - - - - 3. Financial assets and liabilities in foreign currency: exchange differences X X X X - Total 222 212 (518) (222) (306) Some financial derivatives entered into for economic hedge purposes are linked to financial liabilities represented by debt securities and their economic results are included into table “4.1 Net gains (losses) on trading: breakdown” of the Notes to the consolidated account, Part C - Consolidated income statement, Section 4 - Gain (Losses) on financial assets and liabilities held for trading - Item 80. 7.2 Net change in other financial assets/liabilities at fair value through profit or loss: breakdown of other financial assets mandatorily at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets 241 42 (380) (66) (163) 1.1 Debt securities 59 30 (168) (62) (141) 1.2 Equity securities 71 2 (48) - 25 1.3 Units in investment funds 91 7 (56) - 42 1.4 Loans 20 3 (108) (4) (89) 2. Financial assets: exchange differences X X X X - Total 241 42 (380) (66) (163) OICR quotes include economic effects from Atlante fund and Italian Recovery Fund, for which refer to specific comment in table “2.5 Financial assets mandatory at fair value: breakdown by product” reported in the Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 2 - Financial asset at fair value through profit or loss - Item 20. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 275 Section 8 - Net losses/recoveries on credit impairment - Item 130 As at 31 December 2021, Net losses on credit impairment reflect, compared to previos periods, certain new phenomena: • the update of the disposal strategy of non-performing exposures, which foresees the inclusion of certain Unlikely to Pay exposure and the exclusion of certain illiquid bad loans has led to the recognition of write-downs for -€208 million; • the update of the macro-economic scenario has led to the recognition of write-backs on loans for €133 million; additionally, further write-downs for -€140 million have been recognized during the period which arise from the adjustments of certain macroeconomic variables which benefitted from economic relief measures introduced by the government whose expiry is expected to result in their worsening; • methodological enhancements of Staging Framework have led to the recognition of write-downs on loans for -€438 million; • application of certain local specific overlay have led to the recognition of write-downs on loans for -€119million; • material changes in IRB Models for PD and LGD calculation in coherence with the EBA “Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures” have led to the recognition of write-downs on loans for -€142million. In addition to the phenomena above it should be noted that, as at 30 June 2021, given the material relevance of prorogated payment moratoria, PD estimates for clients benefiting from payment moratoria have been floored to the last value representative of a situation before Covid-19 outbreak. Such measure has determined the recognition as of 30 June of additional write-downs for -€68 million. Since this date, these exposures have been measured according to the ordinary processes. Furthermore, in light of the optional nature of moratoria extension, in order to consider the risk of future credit deterioration, credit exposures have been classified into Stage 2, if not already so classified in previous periods, or as unlikely to pay in case of the riskiest exposures. These adjustments implemented respectively as at 30 June and 30 September, have determined the recognition of additional write-downs for -€153 million in the second quarter and -€160 million in the third quarter. Subsequently these exposures have been measured according to the ordinary processes. For additional details refer to the Notes to the consolidated accounts, Part E - Information on risks and hedging policies - Section 2 - Risks of the prudential consolidated financial statements. 8.1 Net impairment losses for credit risk relating to financial assets at amortised cost: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Loans and advances to banks (8) (3) - - - - 9 2 2 - 2 14 - Loans (7) (1) - - - - 8 1 2 - 3 16 - Debt securities (1) (2) - - - - 1 1 - - (1) (2) B. Loans and advances to customers (818) (2,242) (155) (3,276) (1) (5) 672 1,241 2,407 8 (2,169) (4,654) - Loans (813) (2,154) (155) (3,276) (1) (5) 657 1,231 2,407 8 (2,101) (4,636) - Debt securities (5) (88) - - - - 15 10 - - (68) (18) Total (826) (2,245) (155) (3,276) (1) (5) 681 1,243 2,409 8 (2,167) (4,640) 8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown (€ million) YEAR 2021 YEAR NET IMPAIRMENT LOSSES TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL 1. EBA-compliant moratoria loans and advances 4 3 - (2) - - 5 (760) 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 6 (123) - (31) - - (148) (25) 3. Loans and advances with other forbearance measures - (152) - (230) - - (382) (65) 4. Newly originated loans and advances 1 (32) - (59) - - (90) (63) Total 12.31.2021 11 (304) - (322) - - (615) Total 12.31.2020 (18) (499) - (399) - 3 (913) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 275 Section 8 - Net losses/recoveries on credit impairment - Item 130 As at 31 December 2021, Net losses on credit impairment reflect, compared to previos periods, certain new phenomena: • the update of the disposal strategy of non-performing exposures, which foresees the inclusion of certain Unlikely to Pay exposure and the exclusion of certain illiquid bad loans has led to the recognition of write-downs for -€208 million; • the update of the macro-economic scenario has led to the recognition of write-backs on loans for €133 million; additionally, further write-downs for -€140 million have been recognized during the period which arise from the adjustments of certain macroeconomic variables which benefitted from economic relief measures introduced by the government whose expiry is expected to result in their worsening; • methodological enhancements of Staging Framework have led to the recognition of write-downs on loans for -€438 million; • application of certain local specific overlay have led to the recognition of write-downs on loans for -€119million; • material changes in IRB Models for PD and LGD calculation in coherence with the EBA “Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures” have led to the recognition of write-downs on loans for -€142million. In addition to the phenomena above it should be noted that, as at 30 June 2021, given the material relevance of prorogated payment moratoria, PD estimates for clients benefiting from payment moratoria have been floored to the last value representative of a situation before Covid-19 outbreak. Such measure has determined the recognition as of 30 June of additional write-downs for -€68 million. Since this date, these exposures have been measured according to the ordinary processes. Furthermore, in light of the optional nature of moratoria extension, in order to consider the risk of future credit deterioration, credit exposures have been classified into Stage 2, if not already so classified in previous periods, or as unlikely to pay in case of the riskiest exposures. These adjustments implemented respectively as at 30 June and 30 September, have determined the recognition of additional write-downs for -€153 million in the second quarter and -€160 million in the third quarter. Subsequently these exposures have been measured according to the ordinary processes. For additional details refer to the Notes to the consolidated accounts, Part E - Information on risks and hedging policies - Section 2 - Risks of the prudential consolidated financial statements. 8.1 Net impairment losses for credit risk relating to financial assets at amortised cost: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Loans and advances to banks (8) (3) - - - - 9 2 2 - 2 14 - Loans (7) (1) - - - - 8 1 2 - 3 16 - Debt securities (1) (2) - - - - 1 1 - - (1) (2) B. Loans and advances to customers (818) (2,242) (155) (3,276) (1) (5) 672 1,241 2,407 8 (2,169) (4,654) - Loans (813) (2,154) (155) (3,276) (1) (5) 657 1,231 2,407 8 (2,101) (4,636) - Debt securities (5) (88) - - - - 15 10 - - (68) (18) Total (826) (2,245) (155) (3,276) (1) (5) 681 1,243 2,409 8 (2,167) (4,640) 8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown (€ million) YEAR 2021 YEAR NET IMPAIRMENT LOSSES TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL 1. EBA-compliant moratoria loans and advances 4 3 - (2) - - 5 (760) 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 6 (123) - (31) - - (148) (25) 3. Loans and advances with other forbearance measures - (152) - (230) - - (382) (65) 4. Newly originated loans and advances 1 (32) - (59) - - (90) (63) Total 12.31.2021 11 (304) - (322) - - (615) Total 12.31.2020 (18) (499) - (399) - 3 (913) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 275 Section 8 - Net losses/recoveries on credit impairment - Item 130 As at 31 December 2021, Net losses on credit impairment reflect, compared to previos periods, certain new phenomena: • the update of the disposal strategy of non-performing exposures, which foresees the inclusion of certain Unlikely to Pay exposure and the exclusion of certain illiquid bad loans has led to the recognition of write-downs for -€208 million; • the update of the macro-economic scenario has led to the recognition of write-backs on loans for €133 million; additionally, further write-downs for -€140 million have been recognized during the period which arise from the adjustments of certain macroeconomic variables which benefitted from economic relief measures introduced by the government whose expiry is expected to result in their worsening; • methodological enhancements of Staging Framework have led to the recognition of write-downs on loans for -€438 million; • application of certain local specific overlay have led to the recognition of write-downs on loans for -€119million; • material changes in IRB Models for PD and LGD calculation in coherence with the EBA “Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures” have led to the recognition of write-downs on loans for -€142million. In addition to the phenomena above it should be noted that, as at 30 June 2021, given the material relevance of prorogated payment moratoria, PD estimates for clients benefiting from payment moratoria have been floored to the last value representative of a situation before Covid-19 outbreak. Such measure has determined the recognition as of 30 June of additional write-downs for -€68 million. Since this date, these exposures have been measured according to the ordinary processes. Furthermore, in light of the optional nature of moratoria extension, in order to consider the risk of future credit deterioration, credit exposures have been classified into Stage 2, if not already so classified in previous periods, or as unlikely to pay in case of the riskiest exposures. These adjustments implemented respectively as at 30 June and 30 September, have determined the recognition of additional write-downs for -€153 million in the second quarter and -€160 million in the third quarter. Subsequently these exposures have been measured according to the ordinary processes. For additional details refer to the Notes to the consolidated accounts, Part E - Information on risks and hedging policies - Section 2 - Risks of the prudential consolidated financial statements. 8.1 Net impairment losses for credit risk relating to financial assets at amortised cost: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Loans and advances to banks (8) (3) - - - - 9 2 2 - 2 14 - Loans (7) (1) - - - - 8 1 2 - 3 16 - Debt securities (1) (2) - - - - 1 1 - - (1) (2) B. Loans and advances to customers (818) (2,242) (155) (3,276) (1) (5) 672 1,241 2,407 8 (2,169) (4,654) - Loans (813) (2,154) (155) (3,276) (1) (5) 657 1,231 2,407 8 (2,101) (4,636) - Debt securities (5) (88) - - - - 15 10 - - (68) (18) Total (826) (2,245) (155) (3,276) (1) (5) 681 1,243 2,409 8 (2,167) (4,640) 8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown (€ million) YEAR 2021 YEAR NET IMPAIRMENT LOSSES TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL 1. EBA-compliant moratoria loans and advances 4 3 - (2) - - 5 (760) 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 6 (123) - (31) - - (148) (25) 3. Loans and advances with other forbearance measures - (152) - (230) - - (382) (65) 4. Newly originated loans and advances 1 (32) - (59) - - (90) (63) Total 12.31.2021 11 (304) - (322) - - (615) Total 12.31.2020 (18) (499) - (399) - 3 (913) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 275 Section 8 - Net losses/recoveries on credit impairment - Item 130 As at 31 December 2021, Net losses on credit impairment reflect, compared to previos periods, certain new phenomena: • the update of the disposal strategy of non-performing exposures, which foresees the inclusion of certain Unlikely to Pay exposure and the exclusion of certain illiquid bad loans has led to the recognition of write-downs for -€208 million; • the update of the macro-economic scenario has led to the recognition of write-backs on loans for €133 million; additionally, further write-downs for -€140 million have been recognized during the period which arise from the adjustments of certain macroeconomic variables which benefitted from economic relief measures introduced by the government whose expiry is expected to result in their worsening; • methodological enhancements of Staging Framework have led to the recognition of write-downs on loans for -€438 million; • application of certain local specific overlay have led to the recognition of write-downs on loans for -€119million; • material changes in IRB Models for PD and LGD calculation in coherence with the EBA “Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures” have led to the recognition of write-downs on loans for -€142million. In addition to the phenomena above it should be noted that, as at 30 June 2021, given the material relevance of prorogated payment moratoria, PD estimates for clients benefiting from payment moratoria have been floored to the last value representative of a situation before Covid-19 outbreak. Such measure has determined the recognition as of 30 June of additional write-downs for -€68 million. Since this date, these exposures have been measured according to the ordinary processes. Furthermore, in light of the optional nature of moratoria extension, in order to consider the risk of future credit deterioration, credit exposures have been classified into Stage 2, if not already so classified in previous periods, or as unlikely to pay in case of the riskiest exposures. These adjustments implemented respectively as at 30 June and 30 September, have determined the recognition of additional write-downs for -€153 million in the second quarter and -€160 million in the third quarter. Subsequently these exposures have been measured according to the ordinary processes. For additional details refer to the Notes to the consolidated accounts, Part E - Information on risks and hedging policies - Section 2 - Risks of the prudential consolidated financial statements. 8.1 Net impairment losses for credit risk relating to financial assets at amortised cost: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Loans and advances to banks (8) (3) - - - - 9 2 2 - 2 14 - Loans (7) (1) - - - - 8 1 2 - 3 16 - Debt securities (1) (2) - - - - 1 1 - - (1) (2) B. Loans and advances to customers (818) (2,242) (155) (3,276) (1) (5) 672 1,241 2,407 8 (2,169) (4,654) - Loans (813) (2,154) (155) (3,276) (1) (5) 657 1,231 2,407 8 (2,101) (4,636) - Debt securities (5) (88) - - - - 15 10 - - (68) (18) Total (826) (2,245) (155) (3,276) (1) (5) 681 1,243 2,409 8 (2,167) (4,640) 8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown (€ million) YEAR 2021 YEAR NET IMPAIRMENT LOSSES TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL 1. EBA-compliant moratoria loans and advances 4 3 - (2) - - 5 (760) 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 6 (123) - (31) - - (148) (25) 3. Loans and advances with other forbearance measures - (152) - (230) - - (382) (65) 4. Newly originated loans and advances 1 (32) - (59) - - (90) (63) Total 12.31.2021 11 (304) - (322) - - (615) Total 12.31.2020 (18) (499) - (399) - 3 (913) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 275 Section 8 - Net losses/recoveries on credit impairment - Item 130 As at 31 December 2021, Net losses on credit impairment reflect, compared to previos periods, certain new phenomena: • the update of the disposal strategy of non-performing exposures, which foresees the inclusion of certain Unlikely to Pay exposure and the exclusion of certain illiquid bad loans has led to the recognition of write-downs for -€208 million; • the update of the macro-economic scenario has led to the recognition of write-backs on loans for €133 million; additionally, further write-downs for -€140 million have been recognized during the period which arise from the adjustments of certain macroeconomic variables which benefitted from economic relief measures introduced by the government whose expiry is expected to result in their worsening; • methodological enhancements of Staging Framework have led to the recognition of write-downs on loans for -€438 million; • application of certain local specific overlay have led to the recognition of write-downs on loans for -€119million; • material changes in IRB Models for PD and LGD calculation in coherence with the EBA “Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures” have led to the recognition of write-downs on loans for -€142million. In addition to the phenomena above it should be noted that, as at 30 June 2021, given the material relevance of prorogated payment moratoria, PD estimates for clients benefiting from payment moratoria have been floored to the last value representative of a situation before Covid-19 outbreak. Such measure has determined the recognition as of 30 June of additional write-downs for -€68 million. Since this date, these exposures have been measured according to the ordinary processes. Furthermore, in light of the optional nature of moratoria extension, in order to consider the risk of future credit deterioration, credit exposures have been classified into Stage 2, if not already so classified in previous periods, or as unlikely to pay in case of the riskiest exposures. These adjustments implemented respectively as at 30 June and 30 September, have determined the recognition of additional write-downs for -€153 million in the second quarter and -€160 million in the third quarter. Subsequently these exposures have been measured according to the ordinary processes. For additional details refer to the Notes to the consolidated accounts, Part E - Information on risks and hedging policies - Section 2 - Risks of the prudential consolidated financial statements. 8.1 Net impairment losses for credit risk relating to financial assets at amortised cost: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Loans and advances to banks (8) (3) - - - - 9 2 2 - 2 14 - Loans (7) (1) - - - - 8 1 2 - 3 16 - Debt securities (1) (2) - - - - 1 1 - - (1) (2) B. Loans and advances to customers (818) (2,242) (155) (3,276) (1) (5) 672 1,241 2,407 8 (2,169) (4,654) - Loans (813) (2,154) (155) (3,276) (1) (5) 657 1,231 2,407 8 (2,101) (4,636) - Debt securities (5) (88) - - - - 15 10 - - (68) (18) Total (826) (2,245) (155) (3,276) (1) (5) 681 1,243 2,409 8 (2,167) (4,640) 8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown (€ million) YEAR 2021 YEAR NET IMPAIRMENT LOSSES TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL 1. EBA-compliant moratoria loans and advances 4 3 - (2) - - 5 (760) 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 6 (123) - (31) - - (148) (25) 3. Loans and advances with other forbearance measures - (152) - (230) - - (382) (65) 4. Newly originated loans and advances 1 (32) - (59) - - (90) (63) Total 12.31.2021 11 (304) - (322) - - (615) Total 12.31.2020 (18) (499) - (399) - 3 (913) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 276 2021 Annual Report and Accounts · UniCredit 8.2 Net change for credit risk relating to financial assets at fair value through other comprehensive income: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Debt securities (25) (15) - (1) - - 19 4 - - (18) (16) B. Loans - - - - - - - - - - - - - Loans and advances to customers - - - - - - - - - - - - - Loans and advances to banks - - - - - - - - - - - - Total (25) (15) - (1) - - 19 4 - - (18) (16) For additional information on this section refer to the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, A. Credit quality. Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 9.1 Gains (Losses) from contractual changes: breakdown (€ million) YEAR 2021 YEAR GAINS LOSSES TOTAL 2020 TOTAL A. Financial assets at amortised costs A.1 Debt securities - - - - A.2 Loans to banks - - - - A.3 Loans to customers 7 (12) (5) (20) Total (A) 7 (12) (5) (20) B. Financial assets at fair value through other comprehensive income B.1 Debt securities - - - - B.2 Loans to banks - - - - B.3 Loans to customers - - - - Total (B) - - - - Total (A+B) 7 (12) (5) (20) Section 10 - Net premiums - Item 160 There are no amounts to be shown. Section 11 - Other net insurance income/expenses - Item 170 There are no amounts to be shown. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 276 2021 Annual Report and Accounts · UniCredit 8.2 Net change for credit risk relating to financial assets at fair value through other comprehensive income: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Debt securities (25) (15) - (1) - - 19 4 - - (18) (16) B. Loans - - - - - - - - - - - - - Loans and advances to customers - - - - - - - - - - - - - Loans and advances to banks - - - - - - - - - - - - Total (25) (15) - (1) - - 19 4 - - (18) (16) For additional information on this section refer to the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, A. Credit quality. Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 9.1 Gains (Losses) from contractual changes: breakdown (€ million) YEAR 2021 YEAR GAINS LOSSES TOTAL 2020 TOTAL A. Financial assets at amortised costs A.1 Debt securities - - - - A.2 Loans to banks - - - - A.3 Loans to customers 7 (12) (5) (20) Total (A) 7 (12) (5) (20) B. Financial assets at fair value through other comprehensive income B.1 Debt securities - - - - B.2 Loans to banks - - - - B.3 Loans to customers - - - - Total (B) - - - - Total (A+B) 7 (12) (5) (20) Section 10 - Net premiums - Item 160 There are no amounts to be shown. Section 11 - Other net insurance income/expenses - Item 170 There are no amounts to be shown. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 276 2021 Annual Report and Accounts · UniCredit 8.2 Net change for credit risk relating to financial assets at fair value through other comprehensive income: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Debt securities (25) (15) - (1) - - 19 4 - - (18) (16) B. Loans - - - - - - - - - - - - - Loans and advances to customers - - - - - - - - - - - - - Loans and advances to banks - - - - - - - - - - - - Total (25) (15) - (1) - - 19 4 - - (18) (16) For additional information on this section refer to the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, A. Credit quality. Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 9.1 Gains (Losses) from contractual changes: breakdown (€ million) YEAR 2021 YEAR GAINS LOSSES TOTAL 2020 TOTAL A. Financial assets at amortised costs A.1 Debt securities - - - - A.2 Loans to banks - - - - A.3 Loans to customers 7 (12) (5) (20) Total (A) 7 (12) (5) (20) B. Financial assets at fair value through other comprehensive income B.1 Debt securities - - - - B.2 Loans to banks - - - - B.3 Loans to customers - - - - Total (B) - - - - Total (A+B) 7 (12) (5) (20) Section 10 - Net premiums - Item 160 There are no amounts to be shown. Section 11 - Other net insurance income/expenses - Item 170 There are no amounts to be shown. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 276 2021 Annual Report and Accounts · UniCredit 8.2 Net change for credit risk relating to financial assets at fair value through other comprehensive income: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Debt securities (25) (15) - (1) - - 19 4 - - (18) (16) B. Loans - - - - - - - - - - - - - Loans and advances to customers - - - - - - - - - - - - - Loans and advances to banks - - - - - - - - - - - - Total (25) (15) - (1) - - 19 4 - - (18) (16) For additional information on this section refer to the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, A. Credit quality. Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 9.1 Gains (Losses) from contractual changes: breakdown (€ million) YEAR 2021 YEAR GAINS LOSSES TOTAL 2020 TOTAL A. Financial assets at amortised costs A.1 Debt securities - - - - A.2 Loans to banks - - - - A.3 Loans to customers 7 (12) (5) (20) Total (A) 7 (12) (5) (20) B. Financial assets at fair value through other comprehensive income B.1 Debt securities - - - - B.2 Loans to banks - - - - B.3 Loans to customers - - - - Total (B) - - - - Total (A+B) 7 (12) (5) (20) Section 10 - Net premiums - Item 160 There are no amounts to be shown. Section 11 - Other net insurance income/expenses - Item 170 There are no amounts to be shown. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 276 2021 Annual Report and Accounts · UniCredit 8.2 Net change for credit risk relating to financial assets at fair value through other comprehensive income: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Debt securities (25) (15) - (1) - - 19 4 - - (18) (16) B. Loans - - - - - - - - - - - - - Loans and advances to customers - - - - - - - - - - - - - Loans and advances to banks - - - - - - - - - - - - Total (25) (15) - (1) - - 19 4 - - (18) (16) For additional information on this section refer to the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, A. Credit quality. Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 9.1 Gains (Losses) from contractual changes: breakdown (€ million) YEAR 2021 YEAR GAINS LOSSES TOTAL 2020 TOTAL A. Financial assets at amortised costs A.1 Debt securities - - - - A.2 Loans to banks - - - - A.3 Loans to customers 7 (12) (5) (20) Total (A) 7 (12) (5) (20) B. Financial assets at fair value through other comprehensive income B.1 Debt securities - - - - B.2 Loans to banks - - - - B.3 Loans to customers - - - - Total (B) - - - - Total (A+B) 7 (12) (5) (20) Section 10 - Net premiums - Item 160 There are no amounts to be shown. Section 11 - Other net insurance income/expenses - Item 170 There are no amounts to be shown. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 277 Section 12 - Administrative expenses - Item 190 12.1 Staff expenses: breakdown (€ million) TYPE OF EXPENSES/VALUES YEAR 2021 YEAR 2020 1) Employees (6,990) (7,343) a) Wages and salaries (4,325) (4,245) b) Social charges (1,014) (979) c) Severance pay (20) (31) d) Social security costs - - e) Allocation to employee severance pay provision (8) (7) f) Provision for retirements and similar provisions (118) (160) - Defined contribution (2) (3) - Defined benefit (116) (157) g) Payments to external pension funds (209) (222) - Defined contribution (208) (221) - Defined benefit (1) (1) h) Costs arising from share-based payments (69) (53) i) Other employee benefits (1,227) (1,646) 2) Other non-retired staff (29) (17) 3) Directors and Statutory Auditors (8) (8) 4) Early retirement costs - - 5) Recoveries of payments for seconded employees to other companies 17 19 6) Refund of expenses for secunded employees to the company (35) (39) Total (7,045) (7,388) 12.2 Average number of employees by category YEAR 2021 YEAR 2020 Employees 87,565 91,264 a) Senior managers 978 1,003 b) Managers 25,566 26,196 c) Remaining employees staff 61,021 64,066 Other non-retired staff 1,436 1,411 Total 89,001 92,675 Employees by category at year end AMOUNTS AS AT 12.31.2021 12.31.2020 Employees 85,675 89,455 a) Senior managers 948 1,008 b) Managers 25,230 25,902 c) Remaining employees staff 59,497 62,545 Other non-retired staff 1,490 1,381 Total 87,165 90,836 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 277 Section 12 - Administrative expenses - Item 190 12.1 Staff expenses: breakdown (€ million) TYPE OF EXPENSES/VALUES YEAR 2021 YEAR 2020 1) Employees (6,990) (7,343) a) Wages and salaries (4,325) (4,245) b) Social charges (1,014) (979) c) Severance pay (20) (31) d) Social security costs - - e) Allocation to employee severance pay provision (8) (7) f) Provision for retirements and similar provisions (118) (160) - Defined contribution (2) (3) - Defined benefit (116) (157) g) Payments to external pension funds (209) (222) - Defined contribution (208) (221) - Defined benefit (1) (1) h) Costs arising from share-based payments (69) (53) i) Other employee benefits (1,227) (1,646) 2) Other non-retired staff (29) (17) 3) Directors and Statutory Auditors (8) (8) 4) Early retirement costs - - 5) Recoveries of payments for seconded employees to other companies 17 19 6) Refund of expenses for secunded employees to the company (35) (39) Total (7,045) (7,388) 12.2 Average number of employees by category YEAR 2021 YEAR 2020 Employees 87,565 91,264 a) Senior managers 978 1,003 b) Managers 25,566 26,196 c) Remaining employees staff 61,021 64,066 Other non-retired staff 1,436 1,411 Total 89,001 92,675 Employees by category at year end AMOUNTS AS AT 12.31.2021 12.31.2020 Employees 85,675 89,455 a) Senior managers 948 1,008 b) Managers 25,230 25,902 c) Remaining employees staff 59,497 62,545 Other non-retired staff 1,490 1,381 Total 87,165 90,836 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 277 Section 12 - Administrative expenses - Item 190 12.1 Staff expenses: breakdown (€ million) TYPE OF EXPENSES/VALUES YEAR 2021 YEAR 2020 1) Employees (6,990) (7,343) a) Wages and salaries (4,325) (4,245) b) Social charges (1,014) (979) c) Severance pay (20) (31) d) Social security costs - - e) Allocation to employee severance pay provision (8) (7) f) Provision for retirements and similar provisions (118) (160) - Defined contribution (2) (3) - Defined benefit (116) (157) g) Payments to external pension funds (209) (222) - Defined contribution (208) (221) - Defined benefit (1) (1) h) Costs arising from share-based payments (69) (53) i) Other employee benefits (1,227) (1,646) 2) Other non-retired staff (29) (17) 3) Directors and Statutory Auditors (8) (8) 4) Early retirement costs - - 5) Recoveries of payments for seconded employees to other companies 17 19 6) Refund of expenses for secunded employees to the company (35) (39) Total (7,045) (7,388) 12.2 Average number of employees by category YEAR 2021 YEAR 2020 Employees 87,565 91,264 a) Senior managers 978 1,003 b) Managers 25,566 26,196 c) Remaining employees staff 61,021 64,066 Other non-retired staff 1,436 1,411 Total 89,001 92,675 Employees by category at year end AMOUNTS AS AT 12.31.2021 12.31.2020 Employees 85,675 89,455 a) Senior managers 948 1,008 b) Managers 25,230 25,902 c) Remaining employees staff 59,497 62,545 Other non-retired staff 1,490 1,381 Total 87,165 90,836 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 277 Section 12 - Administrative expenses - Item 190 12.1 Staff expenses: breakdown (€ million) TYPE OF EXPENSES/VALUES YEAR 2021 YEAR 2020 1) Employees (6,990) (7,343) a) Wages and salaries (4,325) (4,245) b) Social charges (1,014) (979) c) Severance pay (20) (31) d) Social security costs - - e) Allocation to employee severance pay provision (8) (7) f) Provision for retirements and similar provisions (118) (160) - Defined contribution (2) (3) - Defined benefit (116) (157) g) Payments to external pension funds (209) (222) - Defined contribution (208) (221) - Defined benefit (1) (1) h) Costs arising from share-based payments (69) (53) i) Other employee benefits (1,227) (1,646) 2) Other non-retired staff (29) (17) 3) Directors and Statutory Auditors (8) (8) 4) Early retirement costs - - 5) Recoveries of payments for seconded employees to other companies 17 19 6) Refund of expenses for secunded employees to the company (35) (39) Total (7,045) (7,388) 12.2 Average number of employees by category YEAR 2021 YEAR 2020 Employees 87,565 91,264 a) Senior managers 978 1,003 b) Managers 25,566 26,196 c) Remaining employees staff 61,021 64,066 Other non-retired staff 1,436 1,411 Total 89,001 92,675 Employees by category at year end AMOUNTS AS AT 12.31.2021 12.31.2020 Employees 85,675 89,455 a) Senior managers 948 1,008 b) Managers 25,230 25,902 c) Remaining employees staff 59,497 62,545 Other non-retired staff 1,490 1,381 Total 87,165 90,836 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 277 Section 12 - Administrative expenses - Item 190 12.1 Staff expenses: breakdown (€ million) TYPE OF EXPENSES/VALUES YEAR 2021 YEAR 2020 1) Employees (6,990) (7,343) a) Wages and salaries (4,325) (4,245) b) Social charges (1,014) (979) c) Severance pay (20) (31) d) Social security costs - - e) Allocation to employee severance pay provision (8) (7) f) Provision for retirements and similar provisions (118) (160) - Defined contribution (2) (3) - Defined benefit (116) (157) g) Payments to external pension funds (209) (222) - Defined contribution (208) (221) - Defined benefit (1) (1) h) Costs arising from share-based payments (69) (53) i) Other employee benefits (1,227) (1,646) 2) Other non-retired staff (29) (17) 3) Directors and Statutory Auditors (8) (8) 4) Early retirement costs - - 5) Recoveries of payments for seconded employees to other companies 17 19 6) Refund of expenses for secunded employees to the company (35) (39) Total (7,045) (7,388) 12.2 Average number of employees by category YEAR 2021 YEAR 2020 Employees 87,565 91,264 a) Senior managers 978 1,003 b) Managers 25,566 26,196 c) Remaining employees staff 61,021 64,066 Other non-retired staff 1,436 1,411 Total 89,001 92,675 Employees by category at year end AMOUNTS AS AT 12.31.2021 12.31.2020 Employees 85,675 89,455 a) Senior managers 948 1,008 b) Managers 25,230 25,902 c) Remaining employees staff 59,497 62,545 Other non-retired staff 1,490 1,381 Total 87,165 90,836 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 278 2021 Annual Report and Accounts · UniCredit 12.3 Defined benefit company retirement funds: costs and revenues (€ million) YEAR 2021 YEAR 2020 Current service cost (107) (100) Settlement gains (losses) 30 - Past service cost - - Interest cost on the DBO (82) (114) Interest income on plan assets 43 57 Other costs/revenues - - Administrative expenses paid through plan assets - - Total recognised in profit or loss (116) (157) With regard to the gain on settlement of €30 million, refer to paragraph “10.5 Pensions and other post-retirement defined-benefit obligations”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. 12.4 Other employee benefits (€ million) YEAR 2021 YEAR 2020 - Seniority premiums (3) (7) - Leaving incentives (1,023) (1,426) - Other (201) (213) Total (1,227) (1,646) The net balance in the sub-item Leaving incentives for 2021 is mainly determined by the new strategic plan, announced to the market on 9 December 2021. It envisages a reduction of the workforce over the plan horizon and the recognition of restructuring costs, for €1,023 million, as at 31 December 2021 in force of specific communications to Workers Council (“WoC” thereinafter). The main impacted countries are Germany, Austria and Italy. In detail: • in Germany the exits will be realized on individual basis; • in Austria the exits will be realized mainly on individual basis and on early retirement plan; • in Italy the exits for restructuring will be realized on a voluntary basis. In this regard, the negotiations with the Trade Unions have been finalised on 27 January 2022. It should be noted that these expenses are initially recognised as provisions for risks and charges and will be reclassified to other liabilities when a specific debt toward the employees will arise. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 278 2021 Annual Report and Accounts · UniCredit 12.3 Defined benefit company retirement funds: costs and revenues (€ million) YEAR 2021 YEAR 2020 Current service cost (107) (100) Settlement gains (losses) 30 - Past service cost - - Interest cost on the DBO (82) (114) Interest income on plan assets 43 57 Other costs/revenues - - Administrative expenses paid through plan assets - - Total recognised in profit or loss (116) (157) With regard to the gain on settlement of €30 million, refer to paragraph “10.5 Pensions and other post-retirement defined-benefit obligations”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. 12.4 Other employee benefits (€ million) YEAR 2021 YEAR 2020 - Seniority premiums (3) (7) - Leaving incentives (1,023) (1,426) - Other (201) (213) Total (1,227) (1,646) The net balance in the sub-item Leaving incentives for 2021 is mainly determined by the new strategic plan, announced to the market on 9 December 2021. It envisages a reduction of the workforce over the plan horizon and the recognition of restructuring costs, for €1,023 million, as at 31 December 2021 in force of specific communications to Workers Council (“WoC” thereinafter). The main impacted countries are Germany, Austria and Italy. In detail: • in Germany the exits will be realized on individual basis; • in Austria the exits will be realized mainly on individual basis and on early retirement plan; • in Italy the exits for restructuring will be realized on a voluntary basis. In this regard, the negotiations with the Trade Unions have been finalised on 27 January 2022. It should be noted that these expenses are initially recognised as provisions for risks and charges and will be reclassified to other liabilities when a specific debt toward the employees will arise. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 278 2021 Annual Report and Accounts · UniCredit 12.3 Defined benefit company retirement funds: costs and revenues (€ million) YEAR 2021 YEAR 2020 Current service cost (107) (100) Settlement gains (losses) 30 - Past service cost - - Interest cost on the DBO (82) (114) Interest income on plan assets 43 57 Other costs/revenues - - Administrative expenses paid through plan assets - - Total recognised in profit or loss (116) (157) With regard to the gain on settlement of €30 million, refer to paragraph “10.5 Pensions and other post-retirement defined-benefit obligations”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. 12.4 Other employee benefits (€ million) YEAR 2021 YEAR 2020 - Seniority premiums (3) (7) - Leaving incentives (1,023) (1,426) - Other (201) (213) Total (1,227) (1,646) The net balance in the sub-item Leaving incentives for 2021 is mainly determined by the new strategic plan, announced to the market on 9 December 2021. It envisages a reduction of the workforce over the plan horizon and the recognition of restructuring costs, for €1,023 million, as at 31 December 2021 in force of specific communications to Workers Council (“WoC” thereinafter). The main impacted countries are Germany, Austria and Italy. In detail: • in Germany the exits will be realized on individual basis; • in Austria the exits will be realized mainly on individual basis and on early retirement plan; • in Italy the exits for restructuring will be realized on a voluntary basis. In this regard, the negotiations with the Trade Unions have been finalised on 27 January 2022. It should be noted that these expenses are initially recognised as provisions for risks and charges and will be reclassified to other liabilities when a specific debt toward the employees will arise. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 278 2021 Annual Report and Accounts · UniCredit 12.3 Defined benefit company retirement funds: costs and revenues (€ million) YEAR 2021 YEAR 2020 Current service cost (107) (100) Settlement gains (losses) 30 - Past service cost - - Interest cost on the DBO (82) (114) Interest income on plan assets 43 57 Other costs/revenues - - Administrative expenses paid through plan assets - - Total recognised in profit or loss (116) (157) With regard to the gain on settlement of €30 million, refer to paragraph “10.5 Pensions and other post-retirement defined-benefit obligations”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. 12.4 Other employee benefits (€ million) YEAR 2021 YEAR 2020 - Seniority premiums (3) (7) - Leaving incentives (1,023) (1,426) - Other (201) (213) Total (1,227) (1,646) The net balance in the sub-item Leaving incentives for 2021 is mainly determined by the new strategic plan, announced to the market on 9 December 2021. It envisages a reduction of the workforce over the plan horizon and the recognition of restructuring costs, for €1,023 million, as at 31 December 2021 in force of specific communications to Workers Council (“WoC” thereinafter). The main impacted countries are Germany, Austria and Italy. In detail: • in Germany the exits will be realized on individual basis; • in Austria the exits will be realized mainly on individual basis and on early retirement plan; • in Italy the exits for restructuring will be realized on a voluntary basis. In this regard, the negotiations with the Trade Unions have been finalised on 27 January 2022. It should be noted that these expenses are initially recognised as provisions for risks and charges and will be reclassified to other liabilities when a specific debt toward the employees will arise. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 278 2021 Annual Report and Accounts · UniCredit 12.3 Defined benefit company retirement funds: costs and revenues (€ million) YEAR 2021 YEAR 2020 Current service cost (107) (100) Settlement gains (losses) 30 - Past service cost - - Interest cost on the DBO (82) (114) Interest income on plan assets 43 57 Other costs/revenues - - Administrative expenses paid through plan assets - - Total recognised in profit or loss (116) (157) With regard to the gain on settlement of €30 million, refer to paragraph “10.5 Pensions and other post-retirement defined-benefit obligations”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities. 12.4 Other employee benefits (€ million) YEAR 2021 YEAR 2020 - Seniority premiums (3) (7) - Leaving incentives (1,023) (1,426) - Other (201) (213) Total (1,227) (1,646) The net balance in the sub-item Leaving incentives for 2021 is mainly determined by the new strategic plan, announced to the market on 9 December 2021. It envisages a reduction of the workforce over the plan horizon and the recognition of restructuring costs, for €1,023 million, as at 31 December 2021 in force of specific communications to Workers Council (“WoC” thereinafter). The main impacted countries are Germany, Austria and Italy. In detail: • in Germany the exits will be realized on individual basis; • in Austria the exits will be realized mainly on individual basis and on early retirement plan; • in Italy the exits for restructuring will be realized on a voluntary basis. In this regard, the negotiations with the Trade Unions have been finalised on 27 January 2022. It should be noted that these expenses are initially recognised as provisions for risks and charges and will be reclassified to other liabilities when a specific debt toward the employees will arise. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 279 12.5 Other administrative expenses: breakdown (€ million) TYPE OF EXPENSES/SECTORS YEAR 2021 YEAR 2020 1) Indirect taxes and duties (568) (614) 1a. Settled (566) (612) 1b. Unsettled (2) (2) 2) Contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) (910) (719) 3) Guarantee fees for DTA conversion (104) (112) 4) Miscellaneous costs and expenses (2,630) (2,646) a) Advertising marketing and communication (153) (155) b) Expenses relating to credit risk (119) (129) c) Indirect expenses relating to personnel (55) (66) d) Information & Communication Technology expenses (1,142) (1,093) Lease of ICT equipment and software (73) (76) Software expenses: lease and maintenance (270) (258) ICT communication systems (72) (68) Services ICT in outsourcing (605) (568) Financial information providers (122) (123) e) Consulting and professionals services (182) (200) Consulting (136) (153) Legal expenses (46) (47) f) Real estate expenses (405) (427) Premises rentals (48) (45) Utilities (132) (136) Other real estate expenses (225) (246) g) Operating costs (574) (576) Surveillance and security services (59) (90) Money counting services and transport (49) (47) Printing and stationery (27) (34) Postage and transport of documents (75) (75) Administrative and logistic services (186) (144) Insurance (68) (65) Association dues and fees and contributions to the administrative expenses deposit guarantee funds (65) (64) Other administrative expenses - other (45) (57) Total (1+2+3+4) (4,212) (4,091) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 279 12.5 Other administrative expenses: breakdown (€ million) TYPE OF EXPENSES/SECTORS YEAR 2021 YEAR 2020 1) Indirect taxes and duties (568) (614) 1a. Settled (566) (612) 1b. Unsettled (2) (2) 2) Contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) (910) (719) 3) Guarantee fees for DTA conversion (104) (112) 4) Miscellaneous costs and expenses (2,630) (2,646) a) Advertising marketing and communication (153) (155) b) Expenses relating to credit risk (119) (129) c) Indirect expenses relating to personnel (55) (66) d) Information & Communication Technology expenses (1,142) (1,093) Lease of ICT equipment and software (73) (76) Software expenses: lease and maintenance (270) (258) ICT communication systems (72) (68) Services ICT in outsourcing (605) (568) Financial information providers (122) (123) e) Consulting and professionals services (182) (200) Consulting (136) (153) Legal expenses (46) (47) f) Real estate expenses (405) (427) Premises rentals (48) (45) Utilities (132) (136) Other real estate expenses (225) (246) g) Operating costs (574) (576) Surveillance and security services (59) (90) Money counting services and transport (49) (47) Printing and stationery (27) (34) Postage and transport of documents (75) (75) Administrative and logistic services (186) (144) Insurance (68) (65) Association dues and fees and contributions to the administrative expenses deposit guarantee funds (65) (64) Other administrative expenses - other (45) (57) Total (1+2+3+4) (4,212) (4,091) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 279 12.5 Other administrative expenses: breakdown (€ million) TYPE OF EXPENSES/SECTORS YEAR 2021 YEAR 2020 1) Indirect taxes and duties (568) (614) 1a. Settled (566) (612) 1b. Unsettled (2) (2) 2) Contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) (910) (719) 3) Guarantee fees for DTA conversion (104) (112) 4) Miscellaneous costs and expenses (2,630) (2,646) a) Advertising marketing and communication (153) (155) b) Expenses relating to credit risk (119) (129) c) Indirect expenses relating to personnel (55) (66) d) Information & Communication Technology expenses (1,142) (1,093) Lease of ICT equipment and software (73) (76) Software expenses: lease and maintenance (270) (258) ICT communication systems (72) (68) Services ICT in outsourcing (605) (568) Financial information providers (122) (123) e) Consulting and professionals services (182) (200) Consulting (136) (153) Legal expenses (46) (47) f) Real estate expenses (405) (427) Premises rentals (48) (45) Utilities (132) (136) Other real estate expenses (225) (246) g) Operating costs (574) (576) Surveillance and security services (59) (90) Money counting services and transport (49) (47) Printing and stationery (27) (34) Postage and transport of documents (75) (75) Administrative and logistic services (186) (144) Insurance (68) (65) Association dues and fees and contributions to the administrative expenses deposit guarantee funds (65) (64) Other administrative expenses - other (45) (57) Total (1+2+3+4) (4,212) (4,091) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 279 12.5 Other administrative expenses: breakdown (€ million) TYPE OF EXPENSES/SECTORS YEAR 2021 YEAR 2020 1) Indirect taxes and duties (568) (614) 1a. Settled (566) (612) 1b. Unsettled (2) (2) 2) Contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) (910) (719) 3) Guarantee fees for DTA conversion (104) (112) 4) Miscellaneous costs and expenses (2,630) (2,646) a) Advertising marketing and communication (153) (155) b) Expenses relating to credit risk (119) (129) c) Indirect expenses relating to personnel (55) (66) d) Information & Communication Technology expenses (1,142) (1,093) Lease of ICT equipment and software (73) (76) Software expenses: lease and maintenance (270) (258) ICT communication systems (72) (68) Services ICT in outsourcing (605) (568) Financial information providers (122) (123) e) Consulting and professionals services (182) (200) Consulting (136) (153) Legal expenses (46) (47) f) Real estate expenses (405) (427) Premises rentals (48) (45) Utilities (132) (136) Other real estate expenses (225) (246) g) Operating costs (574) (576) Surveillance and security services (59) (90) Money counting services and transport (49) (47) Printing and stationery (27) (34) Postage and transport of documents (75) (75) Administrative and logistic services (186) (144) Insurance (68) (65) Association dues and fees and contributions to the administrative expenses deposit guarantee funds (65) (64) Other administrative expenses - other (45) (57) Total (1+2+3+4) (4,212) (4,091) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 279 12.5 Other administrative expenses: breakdown (€ million) TYPE OF EXPENSES/SECTORS YEAR 2021 YEAR 2020 1) Indirect taxes and duties (568) (614) 1a. Settled (566) (612) 1b. Unsettled (2) (2) 2) Contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) (910) (719) 3) Guarantee fees for DTA conversion (104) (112) 4) Miscellaneous costs and expenses (2,630) (2,646) a) Advertising marketing and communication (153) (155) b) Expenses relating to credit risk (119) (129) c) Indirect expenses relating to personnel (55) (66) d) Information & Communication Technology expenses (1,142) (1,093) Lease of ICT equipment and software (73) (76) Software expenses: lease and maintenance (270) (258) ICT communication systems (72) (68) Services ICT in outsourcing (605) (568) Financial information providers (122) (123) e) Consulting and professionals services (182) (200) Consulting (136) (153) Legal expenses (46) (47) f) Real estate expenses (405) (427) Premises rentals (48) (45) Utilities (132) (136) Other real estate expenses (225) (246) g) Operating costs (574) (576) Surveillance and security services (59) (90) Money counting services and transport (49) (47) Printing and stationery (27) (34) Postage and transport of documents (75) (75) Administrative and logistic services (186) (144) Insurance (68) (65) Association dues and fees and contributions to the administrative expenses deposit guarantee funds (65) (64) Other administrative expenses - other (45) (57) Total (1+2+3+4) (4,212) (4,091) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 280 2021 Annual Report and Accounts · UniCredit Contributions to Resolution and Guarantee funds Item “Other administrative expenses” includes the Group contributions to resolution funds (“SRF”) and guarantee funds (“DGS”), harmonised and non-harmonised, due pursuant to the Directives No.49 and No.59 of 2014. In more details: • With the introduction of the European Directive 2014/59/EU, the Regulation on the Single Resolution Mechanism (“BRRD Directive” Regulation (EU) No.806/2014 of the European Parliament and of the Council dated 15 July 2014) established a framework for the recovery and resolution of crises in credit institutions, by setting up a single resolution committee and a single resolution fund for banks (Single Resolution Fund, “SRF”). The Directive provides for the launch of a compulsory contribution mechanism that entails the collection of the target level of resources by 31 December 2023, equal at least to 1% of the amount of the covered deposits of all the authorised institutions in the States of the European Union. The accumulation period may be extended for further four years if the funding mechanisms have made cumulative disbursements for a percentage higher than 0.5% of the covered deposits. If the available financial resources fall below the target level after the accumulation period, the collection of contributions shall resume until that level has been recovered. Additionally, after having reached the target level for the first time and, in the event that the available financial resources fall to less than two thirds of the target level, these contributions are set at that level which allows to reach the target level within a period of six years. The contribution mechanism provides for ordinary annual contributions, with the aim of distributing the costs evenly over time for the contributing banks, and extraordinary additional contributions, of up to three times the expected annual contributions, when the available financial resources are not sufficient to cover losses and costs of interventions. A transitional phase of contributions to the national compartments of the SRF and a progressive mutualisation of these are expected. • The Directive 2014/49/EU of 16 April 2014, in relation to the DGS - Deposit Guarantee Schemes, aims to enhance the protection of depositors through the harmonisation of the related national legislation. The Directive provides for the launch of a mandatory national contribution mechanism that will allow a target level of at least 0.8% of the amount of its members' covered deposits to be collected by 2024. The contribution resumes when the financing capacity is below the target level, at least until the target level is reached. If the available financial resources have been reduced to below two thirds of the target level after it has been reached for the first time, the regular contribution shall be set at that level which allows to reach the target level within six years. The national contribution mechanism provides for ordinary annual contribution instalments, with the aim of distributing the costs evenly over time for the contributing banks, and also extraordinary contributions, if the available financial resources are insufficient to repay depositors; the extraordinary contributions cannot exceed 0.5% of covered deposits per calendar year, but in exceptional cases and with the consent of the competent authority, the DGS may demand even higher contributions. The Directives No.49 and No.59 specify the possibility of introducing irrevocable payment commitments as an alternative to collection of fund contributions lost through cash, up to a maximum of 30% of the total resources target. Contributions to these schemes are accounted for in accordance with IFRIC21 “Levies”. Therefore, contributions are recognised in income statement when the obligating event identified by the legislation (i.e., having covered deposits at a certain date), that triggers the payment of the obligation, occurs. Being economically compelled to continue to have covered deposits or assumption of going concern does not represent a present obligation under IFRIC21 to pay such contributions for future periods. Future contributions will be recognised when they accrue upon occurrence of the obligating event. As at 31 December 2021, with reference to Directive No.59 (SRF contributions), Group contributions recognised through the income statement totaled €575 million, of which: i) ordinary contributions for €510 million (of which, €205 million UniCredit S.p.A.); ii) extraordinary contributions for €65 million (entirely UniCredit S.p.A.). In particular, the extraordinary contribution refers to the payment due to the National Resolution Fund (“NRF”) in 2021, in the context of the resolution programme for the “four banks” (Banca delle Marche, Banca dell’Etruria e del Lazio, Cassa di Risparmio di Ferrara, Cassa di Risparmio della Provincia di Chieti). To this regard, it is worth reminding that in 2016 the resolution programme requested additional funding, provided through pool loans (in which UniCredit participated), whose last tranche matured in July 2021. Thus, extraordinary contributions were also requested to fund interests and capital redemption related to the last tranche of the loan. With reference to Directive No.49 (DGS contribution), Group contributions recognised through the income statement totaled €335 million, of which: i) ordinary contributions for €290 million (of which, €121 million UniCredit S.p.A.); ii) additional contributions for €45 million (entirely UniCredit S.p.A.). Such contribution also includes the amounts recognised by UniCredit Bank AG and referred to the contribution to the Compensation Scheme of German Private Banks30. As at 31 December 2021, no irrevocable payment commitments payment commitments were used. Here follows a table with the recap of the above-mentioned contributions. 30 Entschädigungseinrichtung Deutscher Banken. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 280 2021 Annual Report and Accounts · UniCredit Contributions to Resolution and Guarantee funds Item “Other administrative expenses” includes the Group contributions to resolution funds (“SRF”) and guarantee funds (“DGS”), harmonised and non-harmonised, due pursuant to the Directives No.49 and No.59 of 2014. In more details: • With the introduction of the European Directive 2014/59/EU, the Regulation on the Single Resolution Mechanism (“BRRD Directive” Regulation (EU) No.806/2014 of the European Parliament and of the Council dated 15 July 2014) established a framework for the recovery and resolution of crises in credit institutions, by setting up a single resolution committee and a single resolution fund for banks (Single Resolution Fund, “SRF”). The Directive provides for the launch of a compulsory contribution mechanism that entails the collection of the target level of resources by 31 December 2023, equal at least to 1% of the amount of the covered deposits of all the authorised institutions in the States of the European Union. The accumulation period may be extended for further four years if the funding mechanisms have made cumulative disbursements for a percentage higher than 0.5% of the covered deposits. If the available financial resources fall below the target level after the accumulation period, the collection of contributions shall resume until that level has been recovered. Additionally, after having reached the target level for the first time and, in the event that the available financial resources fall to less than two thirds of the target level, these contributions are set at that level which allows to reach the target level within a period of six years. The contribution mechanism provides for ordinary annual contributions, with the aim of distributing the costs evenly over time for the contributing banks, and extraordinary additional contributions, of up to three times the expected annual contributions, when the available financial resources are not sufficient to cover losses and costs of interventions. A transitional phase of contributions to the national compartments of the SRF and a progressive mutualisation of these are expected. • The Directive 2014/49/EU of 16 April 2014, in relation to the DGS - Deposit Guarantee Schemes, aims to enhance the protection of depositors through the harmonisation of the related national legislation. The Directive provides for the launch of a mandatory national contribution mechanism that will allow a target level of at least 0.8% of the amount of its members' covered deposits to be collected by 2024. The contribution resumes when the financing capacity is below the target level, at least until the target level is reached. If the available financial resources have been reduced to below two thirds of the target level after it has been reached for the first time, the regular contribution shall be set at that level which allows to reach the target level within six years. The national contribution mechanism provides for ordinary annual contribution instalments, with the aim of distributing the costs evenly over time for the contributing banks, and also extraordinary contributions, if the available financial resources are insufficient to repay depositors; the extraordinary contributions cannot exceed 0.5% of covered deposits per calendar year, but in exceptional cases and with the consent of the competent authority, the DGS may demand even higher contributions. The Directives No.49 and No.59 specify the possibility of introducing irrevocable payment commitments as an alternative to collection of fund contributions lost through cash, up to a maximum of 30% of the total resources target. Contributions to these schemes are accounted for in accordance with IFRIC21 “Levies”. Therefore, contributions are recognised in income statement when the obligating event identified by the legislation (i.e., having covered deposits at a certain date), that triggers the payment of the obligation, occurs. Being economically compelled to continue to have covered deposits or assumption of going concern does not represent a present obligation under IFRIC21 to pay such contributions for future periods. Future contributions will be recognised when they accrue upon occurrence of the obligating event. As at 31 December 2021, with reference to Directive No.59 (SRF contributions), Group contributions recognised through the income statement totaled €575 million, of which: i) ordinary contributions for €510 million (of which, €205 million UniCredit S.p.A.); ii) extraordinary contributions for €65 million (entirely UniCredit S.p.A.). In particular, the extraordinary contribution refers to the payment due to the National Resolution Fund (“NRF”) in 2021, in the context of the resolution programme for the “four banks” (Banca delle Marche, Banca dell’Etruria e del Lazio, Cassa di Risparmio di Ferrara, Cassa di Risparmio della Provincia di Chieti). To this regard, it is worth reminding that in 2016 the resolution programme requested additional funding, provided through pool loans (in which UniCredit participated), whose last tranche matured in July 2021. Thus, extraordinary contributions were also requested to fund interests and capital redemption related to the last tranche of the loan. With reference to Directive No.49 (DGS contribution), Group contributions recognised through the income statement totaled €335 million, of which: i) ordinary contributions for €290 million (of which, €121 million UniCredit S.p.A.); ii) additional contributions for €45 million (entirely UniCredit S.p.A.). Such contribution also includes the amounts recognised by UniCredit Bank AG and referred to the contribution to the Compensation Scheme of German Private Banks30. As at 31 December 2021, no irrevocable payment commitments payment commitments were used. Here follows a table with the recap of the above-mentioned contributions. 30 Entschädigungseinrichtung Deutscher Banken. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 280 2021 Annual Report and Accounts · UniCredit Contributions to Resolution and Guarantee funds Item “Other administrative expenses” includes the Group contributions to resolution funds (“SRF”) and guarantee funds (“DGS”), harmonised and non-harmonised, due pursuant to the Directives No.49 and No.59 of 2014. In more details: • With the introduction of the European Directive 2014/59/EU, the Regulation on the Single Resolution Mechanism (“BRRD Directive” Regulation (EU) No.806/2014 of the European Parliament and of the Council dated 15 July 2014) established a framework for the recovery and resolution of crises in credit institutions, by setting up a single resolution committee and a single resolution fund for banks (Single Resolution Fund, “SRF”). The Directive provides for the launch of a compulsory contribution mechanism that entails the collection of the target level of resources by 31 December 2023, equal at least to 1% of the amount of the covered deposits of all the authorised institutions in the States of the European Union. The accumulation period may be extended for further four years if the funding mechanisms have made cumulative disbursements for a percentage higher than 0.5% of the covered deposits. If the available financial resources fall below the target level after the accumulation period, the collection of contributions shall resume until that level has been recovered. Additionally, after having reached the target level for the first time and, in the event that the available financial resources fall to less than two thirds of the target level, these contributions are set at that level which allows to reach the target level within a period of six years. The contribution mechanism provides for ordinary annual contributions, with the aim of distributing the costs evenly over time for the contributing banks, and extraordinary additional contributions, of up to three times the expected annual contributions, when the available financial resources are not sufficient to cover losses and costs of interventions. A transitional phase of contributions to the national compartments of the SRF and a progressive mutualisation of these are expected. • The Directive 2014/49/EU of 16 April 2014, in relation to the DGS - Deposit Guarantee Schemes, aims to enhance the protection of depositors through the harmonisation of the related national legislation. The Directive provides for the launch of a mandatory national contribution mechanism that will allow a target level of at least 0.8% of the amount of its members' covered deposits to be collected by 2024. The contribution resumes when the financing capacity is below the target level, at least until the target level is reached. If the available financial resources have been reduced to below two thirds of the target level after it has been reached for the first time, the regular contribution shall be set at that level which allows to reach the target level within six years. The national contribution mechanism provides for ordinary annual contribution instalments, with the aim of distributing the costs evenly over time for the contributing banks, and also extraordinary contributions, if the available financial resources are insufficient to repay depositors; the extraordinary contributions cannot exceed 0.5% of covered deposits per calendar year, but in exceptional cases and with the consent of the competent authority, the DGS may demand even higher contributions. The Directives No.49 and No.59 specify the possibility of introducing irrevocable payment commitments as an alternative to collection of fund contributions lost through cash, up to a maximum of 30% of the total resources target. Contributions to these schemes are accounted for in accordance with IFRIC21 “Levies”. Therefore, contributions are recognised in income statement when the obligating event identified by the legislation (i.e., having covered deposits at a certain date), that triggers the payment of the obligation, occurs. Being economically compelled to continue to have covered deposits or assumption of going concern does not represent a present obligation under IFRIC21 to pay such contributions for future periods. Future contributions will be recognised when they accrue upon occurrence of the obligating event. As at 31 December 2021, with reference to Directive No.59 (SRF contributions), Group contributions recognised through the income statement totaled €575 million, of which: i) ordinary contributions for €510 million (of which, €205 million UniCredit S.p.A.); ii) extraordinary contributions for €65 million (entirely UniCredit S.p.A.). In particular, the extraordinary contribution refers to the payment due to the National Resolution Fund (“NRF”) in 2021, in the context of the resolution programme for the “four banks” (Banca delle Marche, Banca dell’Etruria e del Lazio, Cassa di Risparmio di Ferrara, Cassa di Risparmio della Provincia di Chieti). To this regard, it is worth reminding that in 2016 the resolution programme requested additional funding, provided through pool loans (in which UniCredit participated), whose last tranche matured in July 2021. Thus, extraordinary contributions were also requested to fund interests and capital redemption related to the last tranche of the loan. With reference to Directive No.49 (DGS contribution), Group contributions recognised through the income statement totaled €335 million, of which: i) ordinary contributions for €290 million (of which, €121 million UniCredit S.p.A.); ii) additional contributions for €45 million (entirely UniCredit S.p.A.). Such contribution also includes the amounts recognised by UniCredit Bank AG and referred to the contribution to the Compensation Scheme of German Private Banks30. As at 31 December 2021, no irrevocable payment commitments payment commitments were used. Here follows a table with the recap of the above-mentioned contributions. 30 Entschädigungseinrichtung Deutscher Banken. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 280 2021 Annual Report and Accounts · UniCredit Contributions to Resolution and Guarantee funds Item “Other administrative expenses” includes the Group contributions to resolution funds (“SRF”) and guarantee funds (“DGS”), harmonised and non-harmonised, due pursuant to the Directives No.49 and No.59 of 2014. In more details: • With the introduction of the European Directive 2014/59/EU, the Regulation on the Single Resolution Mechanism (“BRRD Directive” Regulation (EU) No.806/2014 of the European Parliament and of the Council dated 15 July 2014) established a framework for the recovery and resolution of crises in credit institutions, by setting up a single resolution committee and a single resolution fund for banks (Single Resolution Fund, “SRF”). The Directive provides for the launch of a compulsory contribution mechanism that entails the collection of the target level of resources by 31 December 2023, equal at least to 1% of the amount of the covered deposits of all the authorised institutions in the States of the European Union. The accumulation period may be extended for further four years if the funding mechanisms have made cumulative disbursements for a percentage higher than 0.5% of the covered deposits. If the available financial resources fall below the target level after the accumulation period, the collection of contributions shall resume until that level has been recovered. Additionally, after having reached the target level for the first time and, in the event that the available financial resources fall to less than two thirds of the target level, these contributions are set at that level which allows to reach the target level within a period of six years. The contribution mechanism provides for ordinary annual contributions, with the aim of distributing the costs evenly over time for the contributing banks, and extraordinary additional contributions, of up to three times the expected annual contributions, when the available financial resources are not sufficient to cover losses and costs of interventions. A transitional phase of contributions to the national compartments of the SRF and a progressive mutualisation of these are expected. • The Directive 2014/49/EU of 16 April 2014, in relation to the DGS - Deposit Guarantee Schemes, aims to enhance the protection of depositors through the harmonisation of the related national legislation. The Directive provides for the launch of a mandatory national contribution mechanism that will allow a target level of at least 0.8% of the amount of its members' covered deposits to be collected by 2024. The contribution resumes when the financing capacity is below the target level, at least until the target level is reached. If the available financial resources have been reduced to below two thirds of the target level after it has been reached for the first time, the regular contribution shall be set at that level which allows to reach the target level within six years. The national contribution mechanism provides for ordinary annual contribution instalments, with the aim of distributing the costs evenly over time for the contributing banks, and also extraordinary contributions, if the available financial resources are insufficient to repay depositors; the extraordinary contributions cannot exceed 0.5% of covered deposits per calendar year, but in exceptional cases and with the consent of the competent authority, the DGS may demand even higher contributions. The Directives No.49 and No.59 specify the possibility of introducing irrevocable payment commitments as an alternative to collection of fund contributions lost through cash, up to a maximum of 30% of the total resources target. Contributions to these schemes are accounted for in accordance with IFRIC21 “Levies”. Therefore, contributions are recognised in income statement when the obligating event identified by the legislation (i.e., having covered deposits at a certain date), that triggers the payment of the obligation, occurs. Being economically compelled to continue to have covered deposits or assumption of going concern does not represent a present obligation under IFRIC21 to pay such contributions for future periods. Future contributions will be recognised when they accrue upon occurrence of the obligating event. As at 31 December 2021, with reference to Directive No.59 (SRF contributions), Group contributions recognised through the income statement totaled €575 million, of which: i) ordinary contributions for €510 million (of which, €205 million UniCredit S.p.A.); ii) extraordinary contributions for €65 million (entirely UniCredit S.p.A.). In particular, the extraordinary contribution refers to the payment due to the National Resolution Fund (“NRF”) in 2021, in the context of the resolution programme for the “four banks” (Banca delle Marche, Banca dell’Etruria e del Lazio, Cassa di Risparmio di Ferrara, Cassa di Risparmio della Provincia di Chieti). To this regard, it is worth reminding that in 2016 the resolution programme requested additional funding, provided through pool loans (in which UniCredit participated), whose last tranche matured in July 2021. Thus, extraordinary contributions were also requested to fund interests and capital redemption related to the last tranche of the loan. With reference to Directive No.49 (DGS contribution), Group contributions recognised through the income statement totaled €335 million, of which: i) ordinary contributions for €290 million (of which, €121 million UniCredit S.p.A.); ii) additional contributions for €45 million (entirely UniCredit S.p.A.). Such contribution also includes the amounts recognised by UniCredit Bank AG and referred to the contribution to the Compensation Scheme of German Private Banks30. As at 31 December 2021, no irrevocable payment commitments payment commitments were used. Here follows a table with the recap of the above-mentioned contributions. 30 Entschädigungseinrichtung Deutscher Banken. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 280 2021 Annual Report and Accounts · UniCredit Contributions to Resolution and Guarantee funds Item “Other administrative expenses” includes the Group contributions to resolution funds (“SRF”) and guarantee funds (“DGS”), harmonised and non-harmonised, due pursuant to the Directives No.49 and No.59 of 2014. In more details: • With the introduction of the European Directive 2014/59/EU, the Regulation on the Single Resolution Mechanism (“BRRD Directive” Regulation (EU) No.806/2014 of the European Parliament and of the Council dated 15 July 2014) established a framework for the recovery and resolution of crises in credit institutions, by setting up a single resolution committee and a single resolution fund for banks (Single Resolution Fund, “SRF”). The Directive provides for the launch of a compulsory contribution mechanism that entails the collection of the target level of resources by 31 December 2023, equal at least to 1% of the amount of the covered deposits of all the authorised institutions in the States of the European Union. The accumulation period may be extended for further four years if the funding mechanisms have made cumulative disbursements for a percentage higher than 0.5% of the covered deposits. If the available financial resources fall below the target level after the accumulation period, the collection of contributions shall resume until that level has been recovered. Additionally, after having reached the target level for the first time and, in the event that the available financial resources fall to less than two thirds of the target level, these contributions are set at that level which allows to reach the target level within a period of six years. The contribution mechanism provides for ordinary annual contributions, with the aim of distributing the costs evenly over time for the contributing banks, and extraordinary additional contributions, of up to three times the expected annual contributions, when the available financial resources are not sufficient to cover losses and costs of interventions. A transitional phase of contributions to the national compartments of the SRF and a progressive mutualisation of these are expected. • The Directive 2014/49/EU of 16 April 2014, in relation to the DGS - Deposit Guarantee Schemes, aims to enhance the protection of depositors through the harmonisation of the related national legislation. The Directive provides for the launch of a mandatory national contribution mechanism that will allow a target level of at least 0.8% of the amount of its members' covered deposits to be collected by 2024. The contribution resumes when the financing capacity is below the target level, at least until the target level is reached. If the available financial resources have been reduced to below two thirds of the target level after it has been reached for the first time, the regular contribution shall be set at that level which allows to reach the target level within six years. The national contribution mechanism provides for ordinary annual contribution instalments, with the aim of distributing the costs evenly over time for the contributing banks, and also extraordinary contributions, if the available financial resources are insufficient to repay depositors; the extraordinary contributions cannot exceed 0.5% of covered deposits per calendar year, but in exceptional cases and with the consent of the competent authority, the DGS may demand even higher contributions. The Directives No.49 and No.59 specify the possibility of introducing irrevocable payment commitments as an alternative to collection of fund contributions lost through cash, up to a maximum of 30% of the total resources target. Contributions to these schemes are accounted for in accordance with IFRIC21 “Levies”. Therefore, contributions are recognised in income statement when the obligating event identified by the legislation (i.e., having covered deposits at a certain date), that triggers the payment of the obligation, occurs. Being economically compelled to continue to have covered deposits or assumption of going concern does not represent a present obligation under IFRIC21 to pay such contributions for future periods. Future contributions will be recognised when they accrue upon occurrence of the obligating event. As at 31 December 2021, with reference to Directive No.59 (SRF contributions), Group contributions recognised through the income statement totaled €575 million, of which: i) ordinary contributions for €510 million (of which, €205 million UniCredit S.p.A.); ii) extraordinary contributions for €65 million (entirely UniCredit S.p.A.). In particular, the extraordinary contribution refers to the payment due to the National Resolution Fund (“NRF”) in 2021, in the context of the resolution programme for the “four banks” (Banca delle Marche, Banca dell’Etruria e del Lazio, Cassa di Risparmio di Ferrara, Cassa di Risparmio della Provincia di Chieti). To this regard, it is worth reminding that in 2016 the resolution programme requested additional funding, provided through pool loans (in which UniCredit participated), whose last tranche matured in July 2021. Thus, extraordinary contributions were also requested to fund interests and capital redemption related to the last tranche of the loan. With reference to Directive No.49 (DGS contribution), Group contributions recognised through the income statement totaled €335 million, of which: i) ordinary contributions for €290 million (of which, €121 million UniCredit S.p.A.); ii) additional contributions for €45 million (entirely UniCredit S.p.A.). Such contribution also includes the amounts recognised by UniCredit Bank AG and referred to the contribution to the Compensation Scheme of German Private Banks30. As at 31 December 2021, no irrevocable payment commitments payment commitments were used. Here follows a table with the recap of the above-mentioned contributions. 30 Entschädigungseinrichtung Deutscher Banken. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 281 Contributions to Resolution and Guarantee Funds (included the ones paid through irrevocable payment commitments) (€ million) GROUP o/w UniCredit S.p.A. Directive No.59 (SRF contributions), o/w: Ordinary contributions: 2021 510 205 2020 425 161 Extraordinary contributions: 2021 65 65 2020 51 51 Directive No.49 (DGS contributions), o/w: Ordinary contributions: 2021 290 121 2020 235 90 Extraordinary contributions: 2021 45 45 2020 43 44 Guarantee fees for DTA conversion In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European Commission in connection to the application of State Aid rules, Art.11 of DL 3 May 2016 No.59 (so-called "Banks Decree", converted into Law 30 June 2016 No.119), introduced the possibility, starting from 2016 since 2030, to elect for the payment of an annual fee equal to 1.5% levied on an aggregate amount deriving from the difference between: • the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTA existing as at 31 December 2007, for IRES tax, and as at 31 December 2012 for IRAP tax, taking into account the amounts already converted into tax credits; • taxes: - IRES paid by Tax Group starting from 1 January 2008; - IRAP paid starting from 1 January 2013 by legal entities included in Tax Group with convertible DTAs; - substitute taxes that generated convertible DTAs. The whole fee due for the 2021 financial year has been paid on 29 June 2021 by UniCredit S.p.A. (as required by law) for a total amount of €104,3 million, in relation to the companies belonging to the Italian tax consolidation, of which €99,8 million related to UniCredit S.p.A. itself, €4.2 million to UniCredit Leasing S.p.A. and €0.3 million to UniCredit Factoring S.p.A. Fees paid to the auditing firm Pursuant to article 2427, first paragraph of the Italian Civil Code, the fees paid to the auditing firm Deloitte & Touche S.p.A. (and firms in its network) by UniCredit S.p.A. and the Italian entities of the UniCredit group relating to financial year 2021 were as follows: • legal audit of annual accounts (including the audit of the first half financial report): €4.6 million; • other checks: €3.4 million; • other non-audit services: €5.8 million. The above amounts are net of VAT and expenses. Section 13 - Net provisions for risks and charges - Item 200 13.1 Net provisions for credit risk from loans commitments and financial guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Loan committments (370) 340 (30) Financial guarantees given (324) 342 18 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 281 Contributions to Resolution and Guarantee Funds (included the ones paid through irrevocable payment commitments) (€ million) GROUP o/w UniCredit S.p.A. Directive No.59 (SRF contributions), o/w: Ordinary contributions: 2021 510 205 2020 425 161 Extraordinary contributions: 2021 65 65 2020 51 51 Directive No.49 (DGS contributions), o/w: Ordinary contributions: 2021 290 121 2020 235 90 Extraordinary contributions: 2021 45 45 2020 43 44 Guarantee fees for DTA conversion In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European Commission in connection to the application of State Aid rules, Art.11 of DL 3 May 2016 No.59 (so-called "Banks Decree", converted into Law 30 June 2016 No.119), introduced the possibility, starting from 2016 since 2030, to elect for the payment of an annual fee equal to 1.5% levied on an aggregate amount deriving from the difference between: • the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTA existing as at 31 December 2007, for IRES tax, and as at 31 December 2012 for IRAP tax, taking into account the amounts already converted into tax credits; • taxes: - IRES paid by Tax Group starting from 1 January 2008; - IRAP paid starting from 1 January 2013 by legal entities included in Tax Group with convertible DTAs; - substitute taxes that generated convertible DTAs. The whole fee due for the 2021 financial year has been paid on 29 June 2021 by UniCredit S.p.A. (as required by law) for a total amount of €104,3 million, in relation to the companies belonging to the Italian tax consolidation, of which €99,8 million related to UniCredit S.p.A. itself, €4.2 million to UniCredit Leasing S.p.A. and €0.3 million to UniCredit Factoring S.p.A. Fees paid to the auditing firm Pursuant to article 2427, first paragraph of the Italian Civil Code, the fees paid to the auditing firm Deloitte & Touche S.p.A. (and firms in its network) by UniCredit S.p.A. and the Italian entities of the UniCredit group relating to financial year 2021 were as follows: • legal audit of annual accounts (including the audit of the first half financial report): €4.6 million; • other checks: €3.4 million; • other non-audit services: €5.8 million. The above amounts are net of VAT and expenses. Section 13 - Net provisions for risks and charges - Item 200 13.1 Net provisions for credit risk from loans commitments and financial guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Loan committments (370) 340 (30) Financial guarantees given (324) 342 18 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 281 Contributions to Resolution and Guarantee Funds (included the ones paid through irrevocable payment commitments) (€ million) GROUP o/w UniCredit S.p.A. Directive No.59 (SRF contributions), o/w: Ordinary contributions: 2021 510 205 2020 425 161 Extraordinary contributions: 2021 65 65 2020 51 51 Directive No.49 (DGS contributions), o/w: Ordinary contributions: 2021 290 121 2020 235 90 Extraordinary contributions: 2021 45 45 2020 43 44 Guarantee fees for DTA conversion In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European Commission in connection to the application of State Aid rules, Art.11 of DL 3 May 2016 No.59 (so-called "Banks Decree", converted into Law 30 June 2016 No.119), introduced the possibility, starting from 2016 since 2030, to elect for the payment of an annual fee equal to 1.5% levied on an aggregate amount deriving from the difference between: • the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTA existing as at 31 December 2007, for IRES tax, and as at 31 December 2012 for IRAP tax, taking into account the amounts already converted into tax credits; • taxes: - IRES paid by Tax Group starting from 1 January 2008; - IRAP paid starting from 1 January 2013 by legal entities included in Tax Group with convertible DTAs; - substitute taxes that generated convertible DTAs. The whole fee due for the 2021 financial year has been paid on 29 June 2021 by UniCredit S.p.A. (as required by law) for a total amount of €104,3 million, in relation to the companies belonging to the Italian tax consolidation, of which €99,8 million related to UniCredit S.p.A. itself, €4.2 million to UniCredit Leasing S.p.A. and €0.3 million to UniCredit Factoring S.p.A. Fees paid to the auditing firm Pursuant to article 2427, first paragraph of the Italian Civil Code, the fees paid to the auditing firm Deloitte & Touche S.p.A. (and firms in its network) by UniCredit S.p.A. and the Italian entities of the UniCredit group relating to financial year 2021 were as follows: • legal audit of annual accounts (including the audit of the first half financial report): €4.6 million; • other checks: €3.4 million; • other non-audit services: €5.8 million. The above amounts are net of VAT and expenses. Section 13 - Net provisions for risks and charges - Item 200 13.1 Net provisions for credit risk from loans commitments and financial guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Loan committments (370) 340 (30) Financial guarantees given (324) 342 18 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 281 Contributions to Resolution and Guarantee Funds (included the ones paid through irrevocable payment commitments) (€ million) GROUP o/w UniCredit S.p.A. Directive No.59 (SRF contributions), o/w: Ordinary contributions: 2021 510 205 2020 425 161 Extraordinary contributions: 2021 65 65 2020 51 51 Directive No.49 (DGS contributions), o/w: Ordinary contributions: 2021 290 121 2020 235 90 Extraordinary contributions: 2021 45 45 2020 43 44 Guarantee fees for DTA conversion In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European Commission in connection to the application of State Aid rules, Art.11 of DL 3 May 2016 No.59 (so-called "Banks Decree", converted into Law 30 June 2016 No.119), introduced the possibility, starting from 2016 since 2030, to elect for the payment of an annual fee equal to 1.5% levied on an aggregate amount deriving from the difference between: • the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTA existing as at 31 December 2007, for IRES tax, and as at 31 December 2012 for IRAP tax, taking into account the amounts already converted into tax credits; • taxes: - IRES paid by Tax Group starting from 1 January 2008; - IRAP paid starting from 1 January 2013 by legal entities included in Tax Group with convertible DTAs; - substitute taxes that generated convertible DTAs. The whole fee due for the 2021 financial year has been paid on 29 June 2021 by UniCredit S.p.A. (as required by law) for a total amount of €104,3 million, in relation to the companies belonging to the Italian tax consolidation, of which €99,8 million related to UniCredit S.p.A. itself, €4.2 million to UniCredit Leasing S.p.A. and €0.3 million to UniCredit Factoring S.p.A. Fees paid to the auditing firm Pursuant to article 2427, first paragraph of the Italian Civil Code, the fees paid to the auditing firm Deloitte & Touche S.p.A. (and firms in its network) by UniCredit S.p.A. and the Italian entities of the UniCredit group relating to financial year 2021 were as follows: • legal audit of annual accounts (including the audit of the first half financial report): €4.6 million; • other checks: €3.4 million; • other non-audit services: €5.8 million. The above amounts are net of VAT and expenses. Section 13 - Net provisions for risks and charges - Item 200 13.1 Net provisions for credit risk from loans commitments and financial guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Loan committments (370) 340 (30) Financial guarantees given (324) 342 18 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 281 Contributions to Resolution and Guarantee Funds (included the ones paid through irrevocable payment commitments) (€ million) GROUP o/w UniCredit S.p.A. Directive No.59 (SRF contributions), o/w: Ordinary contributions: 2021 510 205 2020 425 161 Extraordinary contributions: 2021 65 65 2020 51 51 Directive No.49 (DGS contributions), o/w: Ordinary contributions: 2021 290 121 2020 235 90 Extraordinary contributions: 2021 45 45 2020 43 44 Guarantee fees for DTA conversion In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European Commission in connection to the application of State Aid rules, Art.11 of DL 3 May 2016 No.59 (so-called "Banks Decree", converted into Law 30 June 2016 No.119), introduced the possibility, starting from 2016 since 2030, to elect for the payment of an annual fee equal to 1.5% levied on an aggregate amount deriving from the difference between: • the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTA existing as at 31 December 2007, for IRES tax, and as at 31 December 2012 for IRAP tax, taking into account the amounts already converted into tax credits; • taxes: - IRES paid by Tax Group starting from 1 January 2008; - IRAP paid starting from 1 January 2013 by legal entities included in Tax Group with convertible DTAs; - substitute taxes that generated convertible DTAs. The whole fee due for the 2021 financial year has been paid on 29 June 2021 by UniCredit S.p.A. (as required by law) for a total amount of €104,3 million, in relation to the companies belonging to the Italian tax consolidation, of which €99,8 million related to UniCredit S.p.A. itself, €4.2 million to UniCredit Leasing S.p.A. and €0.3 million to UniCredit Factoring S.p.A. Fees paid to the auditing firm Pursuant to article 2427, first paragraph of the Italian Civil Code, the fees paid to the auditing firm Deloitte & Touche S.p.A. (and firms in its network) by UniCredit S.p.A. and the Italian entities of the UniCredit group relating to financial year 2021 were as follows: • legal audit of annual accounts (including the audit of the first half financial report): €4.6 million; • other checks: €3.4 million; • other non-audit services: €5.8 million. The above amounts are net of VAT and expenses. Section 13 - Net provisions for risks and charges - Item 200 13.1 Net provisions for credit risk from loans commitments and financial guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Loan committments (370) 340 (30) Financial guarantees given (324) 342 18 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 282 2021 Annual Report and Accounts · UniCredit 13.2 Net provisions for other commitments and guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Other committments (10) 6 (4) of which: commitment related to contribution for Resolution funds and Guarantee schemes - - - Other guarantees given (88) 78 (10) 13.3 Net provisions for risks and charges: breakdown (€ million) YEAR 2021 YEAR ASSETS/INCOME ITEMS PROVISIONS SURPLUS REALLOCATIONS TOTAL 2020 TOTAL 1. Other provisions 1.1 Legal disputes (431) 150 (281) (98) 1.2 Staff costs (2) 1 (1) (5) 1.3 Other (262) 193 (69) (55) Total (695) 344 (351) (158) Net provisions for risks and charges are referred to revocatory action, claims for compensation, legal and other disputes, and are updated on the basis of the evolution of cases in progress and to the assessment of their foreseen outcomes. The item “1.1 Legal disputes” is mainly contributed by provisions made by the parent company UniCredit S.p.A. and its subsidiary UniCredit Bank AG (for further information refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, B. Legal risks). The item “1.3 Other” is mainly contributed by provisions made by the parent company UniCredit S.p.A. and its subsidiary UniCredit Bank AG for various types of risks (refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information). Section 14 - Net value adjustments/write-backs on property, plant and equipment - Item 210 14.1 Net value adjustments/write-backs on property, plant and equipment: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS DEPRECIATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Property, plant and equipment A.1 Used in the business (747) (106) 13 (840) - Owned (428) (29) 1 (456) - Right of use of Leased Assets (319) (77) 12 (384) A.2 Held for investment (1) - - (1) - Owned (1) - - (1) - Right of use of Leased Assets - - - - A.3 Inventories - (17) 1 (16) Total A (748) (123) 14 (857) B. Non-current assets and groups of assets held for sale X - - - - Used in the business X - - - - Held for investments X - - - - Inventories X - - - Total (A+B) (748) (123) 14 (857) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 282 2021 Annual Report and Accounts · UniCredit 13.2 Net provisions for other commitments and guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Other committments (10) 6 (4) of which: commitment related to contribution for Resolution funds and Guarantee schemes - - - Other guarantees given (88) 78 (10) 13.3 Net provisions for risks and charges: breakdown (€ million) YEAR 2021 YEAR ASSETS/INCOME ITEMS PROVISIONS SURPLUS REALLOCATIONS TOTAL 2020 TOTAL 1. Other provisions 1.1 Legal disputes (431) 150 (281) (98) 1.2 Staff costs (2) 1 (1) (5) 1.3 Other (262) 193 (69) (55) Total (695) 344 (351) (158) Net provisions for risks and charges are referred to revocatory action, claims for compensation, legal and other disputes, and are updated on the basis of the evolution of cases in progress and to the assessment of their foreseen outcomes. The item “1.1 Legal disputes” is mainly contributed by provisions made by the parent company UniCredit S.p.A. and its subsidiary UniCredit Bank AG (for further information refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, B. Legal risks). The item “1.3 Other” is mainly contributed by provisions made by the parent company UniCredit S.p.A. and its subsidiary UniCredit Bank AG for various types of risks (refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information). Section 14 - Net value adjustments/write-backs on property, plant and equipment - Item 210 14.1 Net value adjustments/write-backs on property, plant and equipment: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS DEPRECIATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Property, plant and equipment A.1 Used in the business (747) (106) 13 (840) - Owned (428) (29) 1 (456) - Right of use of Leased Assets (319) (77) 12 (384) A.2 Held for investment (1) - - (1) - Owned (1) - - (1) - Right of use of Leased Assets - - - - A.3 Inventories - (17) 1 (16) Total A (748) (123) 14 (857) B. Non-current assets and groups of assets held for sale X - - - - Used in the business X - - - - Held for investments X - - - - Inventories X - - - Total (A+B) (748) (123) 14 (857) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 282 2021 Annual Report and Accounts · UniCredit 13.2 Net provisions for other commitments and guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Other committments (10) 6 (4) of which: commitment related to contribution for Resolution funds and Guarantee schemes - - - Other guarantees given (88) 78 (10) 13.3 Net provisions for risks and charges: breakdown (€ million) YEAR 2021 YEAR ASSETS/INCOME ITEMS PROVISIONS SURPLUS REALLOCATIONS TOTAL 2020 TOTAL 1. Other provisions 1.1 Legal disputes (431) 150 (281) (98) 1.2 Staff costs (2) 1 (1) (5) 1.3 Other (262) 193 (69) (55) Total (695) 344 (351) (158) Net provisions for risks and charges are referred to revocatory action, claims for compensation, legal and other disputes, and are updated on the basis of the evolution of cases in progress and to the assessment of their foreseen outcomes. The item “1.1 Legal disputes” is mainly contributed by provisions made by the parent company UniCredit S.p.A. and its subsidiary UniCredit Bank AG (for further information refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, B. Legal risks). The item “1.3 Other” is mainly contributed by provisions made by the parent company UniCredit S.p.A. and its subsidiary UniCredit Bank AG for various types of risks (refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information). Section 14 - Net value adjustments/write-backs on property, plant and equipment - Item 210 14.1 Net value adjustments/write-backs on property, plant and equipment: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS DEPRECIATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Property, plant and equipment A.1 Used in the business (747) (106) 13 (840) - Owned (428) (29) 1 (456) - Right of use of Leased Assets (319) (77) 12 (384) A.2 Held for investment (1) - - (1) - Owned (1) - - (1) - Right of use of Leased Assets - - - - A.3 Inventories - (17) 1 (16) Total A (748) (123) 14 (857) B. Non-current assets and groups of assets held for sale X - - - - Used in the business X - - - - Held for investments X - - - - Inventories X - - - Total (A+B) (748) (123) 14 (857) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 282 2021 Annual Report and Accounts · UniCredit 13.2 Net provisions for other commitments and guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Other committments (10) 6 (4) of which: commitment related to contribution for Resolution funds and Guarantee schemes - - - Other guarantees given (88) 78 (10) 13.3 Net provisions for risks and charges: breakdown (€ million) YEAR 2021 YEAR ASSETS/INCOME ITEMS PROVISIONS SURPLUS REALLOCATIONS TOTAL 2020 TOTAL 1. Other provisions 1.1 Legal disputes (431) 150 (281) (98) 1.2 Staff costs (2) 1 (1) (5) 1.3 Other (262) 193 (69) (55) Total (695) 344 (351) (158) Net provisions for risks and charges are referred to revocatory action, claims for compensation, legal and other disputes, and are updated on the basis of the evolution of cases in progress and to the assessment of their foreseen outcomes. The item “1.1 Legal disputes” is mainly contributed by provisions made by the parent company UniCredit S.p.A. and its subsidiary UniCredit Bank AG (for further information refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, B. Legal risks). The item “1.3 Other” is mainly contributed by provisions made by the parent company UniCredit S.p.A. and its subsidiary UniCredit Bank AG for various types of risks (refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information). Section 14 - Net value adjustments/write-backs on property, plant and equipment - Item 210 14.1 Net value adjustments/write-backs on property, plant and equipment: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS DEPRECIATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Property, plant and equipment A.1 Used in the business (747) (106) 13 (840) - Owned (428) (29) 1 (456) - Right of use of Leased Assets (319) (77) 12 (384) A.2 Held for investment (1) - - (1) - Owned (1) - - (1) - Right of use of Leased Assets - - - - A.3 Inventories - (17) 1 (16) Total A (748) (123) 14 (857) B. Non-current assets and groups of assets held for sale X - - - - Used in the business X - - - - Held for investments X - - - - Inventories X - - - Total (A+B) (748) (123) 14 (857) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 282 2021 Annual Report and Accounts · UniCredit 13.2 Net provisions for other commitments and guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Other committments (10) 6 (4) of which: commitment related to contribution for Resolution funds and Guarantee schemes - - - Other guarantees given (88) 78 (10) 13.3 Net provisions for risks and charges: breakdown (€ million) YEAR 2021 YEAR ASSETS/INCOME ITEMS PROVISIONS SURPLUS REALLOCATIONS TOTAL 2020 TOTAL 1. Other provisions 1.1 Legal disputes (431) 150 (281) (98) 1.2 Staff costs (2) 1 (1) (5) 1.3 Other (262) 193 (69) (55) Total (695) 344 (351) (158) Net provisions for risks and charges are referred to revocatory action, claims for compensation, legal and other disputes, and are updated on the basis of the evolution of cases in progress and to the assessment of their foreseen outcomes. The item “1.1 Legal disputes” is mainly contributed by provisions made by the parent company UniCredit S.p.A. and its subsidiary UniCredit Bank AG (for further information refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, B. Legal risks). The item “1.3 Other” is mainly contributed by provisions made by the parent company UniCredit S.p.A. and its subsidiary UniCredit Bank AG for various types of risks (refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information). Section 14 - Net value adjustments/write-backs on property, plant and equipment - Item 210 14.1 Net value adjustments/write-backs on property, plant and equipment: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS DEPRECIATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Property, plant and equipment A.1 Used in the business (747) (106) 13 (840) - Owned (428) (29) 1 (456) - Right of use of Leased Assets (319) (77) 12 (384) A.2 Held for investment (1) - - (1) - Owned (1) - - (1) - Right of use of Leased Assets - - - - A.3 Inventories - (17) 1 (16) Total A (748) (123) 14 (857) B. Non-current assets and groups of assets held for sale X - - - - Used in the business X - - - - Held for investments X - - - - Inventories X - - - Total (A+B) (748) (123) 14 (857) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 283 Section 15 - Net value adjustments/write-backs on intangible assets - Item 220 In 2021 net value adjustments/write-backs on intangible assets were -€621 million. The amortization and the impairment losses are mainly referred to UniCredit Services S.C.p.A. For further details refer to Part B - Consolidated balance sheet - Assets - Section 10 - Intangible assets - Item 100. 15.1 Net value adjustments/write-backs on intangible assets: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS AMORTISATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Intangible assets of which: software (497) (123) - (620) A.1 Owned (498) (123) - (621) - Generated internally by the company (353) (104) - (457) - Other (145) (19) - (164) A.2 Right of use of Leased Assets - - - - Total (498) (123) - (621) Section 16 - Other operating expenses/income - Item 230 Other net operating income: breakdown (€ million) INCOME ITEMS/VALUE YEAR 2021 YEAR 2020 Total of other operating expenses (670) (742) Total of other operating income 1,236 1,255 Other operating expenses/income 566 513 16.1 Other operating expenses: breakdown (€ million) TYPE OF EXPENSE/VALUES YEAR 2021 YEAR 2020 Costs for operating leases (3) (2) Non-deductible tax and other fiscal charges (2) (2) Write-downs on leasehold improvements (89) (61) Costs relating to the specific service of financial leasing (45) (82) Other (531) (595) Total other operating expenses (670) (742) The item “Other” includes: • various settlements and indemnities for €185 million; • trading of gold, precious metals and diamonds for €79 million; • non-deductible VAT for €51 million; • amortization on leasehold improvements classified as "Other assets" for €32 million; • additional costs relating to customer accounts for €30 million; • additional costs for the leasing business for €14 million. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 283 Section 15 - Net value adjustments/write-backs on intangible assets - Item 220 In 2021 net value adjustments/write-backs on intangible assets were -€621 million. The amortization and the impairment losses are mainly referred to UniCredit Services S.C.p.A. For further details refer to Part B - Consolidated balance sheet - Assets - Section 10 - Intangible assets - Item 100. 15.1 Net value adjustments/write-backs on intangible assets: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS AMORTISATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Intangible assets of which: software (497) (123) - (620) A.1 Owned (498) (123) - (621) - Generated internally by the company (353) (104) - (457) - Other (145) (19) - (164) A.2 Right of use of Leased Assets - - - - Total (498) (123) - (621) Section 16 - Other operating expenses/income - Item 230 Other net operating income: breakdown (€ million) INCOME ITEMS/VALUE YEAR 2021 YEAR 2020 Total of other operating expenses (670) (742) Total of other operating income 1,236 1,255 Other operating expenses/income 566 513 16.1 Other operating expenses: breakdown (€ million) TYPE OF EXPENSE/VALUES YEAR 2021 YEAR 2020 Costs for operating leases (3) (2) Non-deductible tax and other fiscal charges (2) (2) Write-downs on leasehold improvements (89) (61) Costs relating to the specific service of financial leasing (45) (82) Other (531) (595) Total other operating expenses (670) (742) The item “Other” includes: • various settlements and indemnities for €185 million; • trading of gold, precious metals and diamonds for €79 million; • non-deductible VAT for €51 million; • amortization on leasehold improvements classified as "Other assets" for €32 million; • additional costs relating to customer accounts for €30 million; • additional costs for the leasing business for €14 million. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 283 Section 15 - Net value adjustments/write-backs on intangible assets - Item 220 In 2021 net value adjustments/write-backs on intangible assets were -€621 million. The amortization and the impairment losses are mainly referred to UniCredit Services S.C.p.A. For further details refer to Part B - Consolidated balance sheet - Assets - Section 10 - Intangible assets - Item 100. 15.1 Net value adjustments/write-backs on intangible assets: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS AMORTISATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Intangible assets of which: software (497) (123) - (620) A.1 Owned (498) (123) - (621) - Generated internally by the company (353) (104) - (457) - Other (145) (19) - (164) A.2 Right of use of Leased Assets - - - - Total (498) (123) - (621) Section 16 - Other operating expenses/income - Item 230 Other net operating income: breakdown (€ million) INCOME ITEMS/VALUE YEAR 2021 YEAR 2020 Total of other operating expenses (670) (742) Total of other operating income 1,236 1,255 Other operating expenses/income 566 513 16.1 Other operating expenses: breakdown (€ million) TYPE OF EXPENSE/VALUES YEAR 2021 YEAR 2020 Costs for operating leases (3) (2) Non-deductible tax and other fiscal charges (2) (2) Write-downs on leasehold improvements (89) (61) Costs relating to the specific service of financial leasing (45) (82) Other (531) (595) Total other operating expenses (670) (742) The item “Other” includes: • various settlements and indemnities for €185 million; • trading of gold, precious metals and diamonds for €79 million; • non-deductible VAT for €51 million; • amortization on leasehold improvements classified as "Other assets" for €32 million; • additional costs relating to customer accounts for €30 million; • additional costs for the leasing business for €14 million. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 283 Section 15 - Net value adjustments/write-backs on intangible assets - Item 220 In 2021 net value adjustments/write-backs on intangible assets were -€621 million. The amortization and the impairment losses are mainly referred to UniCredit Services S.C.p.A. For further details refer to Part B - Consolidated balance sheet - Assets - Section 10 - Intangible assets - Item 100. 15.1 Net value adjustments/write-backs on intangible assets: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS AMORTISATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Intangible assets of which: software (497) (123) - (620) A.1 Owned (498) (123) - (621) - Generated internally by the company (353) (104) - (457) - Other (145) (19) - (164) A.2 Right of use of Leased Assets - - - - Total (498) (123) - (621) Section 16 - Other operating expenses/income - Item 230 Other net operating income: breakdown (€ million) INCOME ITEMS/VALUE YEAR 2021 YEAR 2020 Total of other operating expenses (670) (742) Total of other operating income 1,236 1,255 Other operating expenses/income 566 513 16.1 Other operating expenses: breakdown (€ million) TYPE OF EXPENSE/VALUES YEAR 2021 YEAR 2020 Costs for operating leases (3) (2) Non-deductible tax and other fiscal charges (2) (2) Write-downs on leasehold improvements (89) (61) Costs relating to the specific service of financial leasing (45) (82) Other (531) (595) Total other operating expenses (670) (742) The item “Other” includes: • various settlements and indemnities for €185 million; • trading of gold, precious metals and diamonds for €79 million; • non-deductible VAT for €51 million; • amortization on leasehold improvements classified as "Other assets" for €32 million; • additional costs relating to customer accounts for €30 million; • additional costs for the leasing business for €14 million. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 283 Section 15 - Net value adjustments/write-backs on intangible assets - Item 220 In 2021 net value adjustments/write-backs on intangible assets were -€621 million. The amortization and the impairment losses are mainly referred to UniCredit Services S.C.p.A. For further details refer to Part B - Consolidated balance sheet - Assets - Section 10 - Intangible assets - Item 100. 15.1 Net value adjustments/write-backs on intangible assets: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS AMORTISATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Intangible assets of which: software (497) (123) - (620) A.1 Owned (498) (123) - (621) - Generated internally by the company (353) (104) - (457) - Other (145) (19) - (164) A.2 Right of use of Leased Assets - - - - Total (498) (123) - (621) Section 16 - Other operating expenses/income - Item 230 Other net operating income: breakdown (€ million) INCOME ITEMS/VALUE YEAR 2021 YEAR 2020 Total of other operating expenses (670) (742) Total of other operating income 1,236 1,255 Other operating expenses/income 566 513 16.1 Other operating expenses: breakdown (€ million) TYPE OF EXPENSE/VALUES YEAR 2021 YEAR 2020 Costs for operating leases (3) (2) Non-deductible tax and other fiscal charges (2) (2) Write-downs on leasehold improvements (89) (61) Costs relating to the specific service of financial leasing (45) (82) Other (531) (595) Total other operating expenses (670) (742) The item “Other” includes: • various settlements and indemnities for €185 million; • trading of gold, precious metals and diamonds for €79 million; • non-deductible VAT for €51 million; • amortization on leasehold improvements classified as "Other assets" for €32 million; • additional costs relating to customer accounts for €30 million; • additional costs for the leasing business for €14 million. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 284 2021 Annual Report and Accounts · UniCredit 16.2 Other operating income: breakdown (€ million) TYPE OF REVENUE/VALUES YEAR 2021 YEAR 2020 A) Recovery of costs 512 487 B) Other revenues 724 768 Revenues from administrative services 35 39 Revenues from operating leases 183 211 Recovery of miscellaneous costs paid in previous years 20 11 Revenues on financial leases activities 68 74 Other 418 433 Total other operating income (A+B) 1,236 1,255 The sub-item “Others” includes: • income related to the review of the terms of the existing business relationship between UniCredit and SIA for €127 million (of which €79 million related to the renewal interest and €48 million referred to the settlement agreement); • trading of gold and precious metals for €67 million; • payments of indemnities and compensation of €37 million; • recovery of expenses (e.g. from ICT infrastructure) for €36 million; • additional income received from leasing business for €14 million. Section 17 - Gains (Losses) of equity investments - Item 250 In 2021 profit (loss) of associates amounts to -€1,462 million (-€1,297 million in 2020), attributable to jointly owned companies for +€17 million and to companies subject to significant influence for -€1,479 million. For further information on Yapi Ve Kredi Bankasi A.S. transaction see Parte B - Consolidated balance sheet - Assets - Section 7 - Equity Investments - Item 70 - 7.1 Equity investments: information on shareholders’ equity. This result consists of “A. Income” of +€594 million and “B. Expense” of -€2,056 million. In more detail: • sub-item “A. Income” includes: - +€486 million of revaluations related to gain on companies valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (+€135 million, which contribution stopped starting from November following the reclassification of the stake in assets held for sale), Creditras Vita S.p.A.(+€70 million), Oberbank Ag (+€64 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€38 million), Aviva S.p.A. (+€35 million), Oesterreichische Kontrollbank Aktiengesellschaft (+€30 million), Bks Bank Ag (+€30 million), Cnp UniCredit Vita S.p.A. (+€25 million), Creditras Assicurazioni S.p.A. (+€18 million); - +€19 million of gain on disposal, mainly attributable to the disposal price adjustment of Capital Dev S.p.A. (+€17 million); - +€89 million of write-backs mainly related to Oberbank Ag (+€43 million) e Bks Bank Ag (+€37 million). • sub-item “B. Expense” includes: - -€2 million of write-downs referred to losses on companies valued at Equity method; - -€438 million of impairment losses, attributable to write-downs on investments valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (for -€265 million related to the impairment of the stake of 20% classified in item “Equity Investments” and for -€76 million related to the impairment following the classification of the stake of 18% in item “Non-current assets and disposal group classified as held for sale”), and Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (-€86 million); - -€1,616 million of loss on disposal, due to the following transactions related to 20% stake in Yapi Ve Kredi Bankasi A.S.: (i) -€155 million referred to the disposal of the stake of 2% in the Market; (ii) -€1,461 million to the deconsolidation of the stake of 18% following the loss of UniCredit’s significant influence over Yapi Ve Kredi Bankasi A.S., resulting in the consequent recognition of a financial instrument in Financial assets measured at fair value through profit or loss. The impact due to the to the deconsolidation of the stake of 18% of Yapi Ve Kredi Bankasi A.S. is entirely related to the valuation at fair value (equal to the price in Turkish Lira for TRY 2.298 per share, already defined in the contest of the negotiation with Koç Holding) of the remaining share retained at the date of loss of significant influence and implied the recycle through profit or loss of the reserves basically referred to exchange rate differences on Turkish Lira. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 284 2021 Annual Report and Accounts · UniCredit 16.2 Other operating income: breakdown (€ million) TYPE OF REVENUE/VALUES YEAR 2021 YEAR 2020 A) Recovery of costs 512 487 B) Other revenues 724 768 Revenues from administrative services 35 39 Revenues from operating leases 183 211 Recovery of miscellaneous costs paid in previous years 20 11 Revenues on financial leases activities 68 74 Other 418 433 Total other operating income (A+B) 1,236 1,255 The sub-item “Others” includes: • income related to the review of the terms of the existing business relationship between UniCredit and SIA for €127 million (of which €79 million related to the renewal interest and €48 million referred to the settlement agreement); • trading of gold and precious metals for €67 million; • payments of indemnities and compensation of €37 million; • recovery of expenses (e.g. from ICT infrastructure) for €36 million; • additional income received from leasing business for €14 million. Section 17 - Gains (Losses) of equity investments - Item 250 In 2021 profit (loss) of associates amounts to -€1,462 million (-€1,297 million in 2020), attributable to jointly owned companies for +€17 million and to companies subject to significant influence for -€1,479 million. For further information on Yapi Ve Kredi Bankasi A.S. transaction see Parte B - Consolidated balance sheet - Assets - Section 7 - Equity Investments - Item 70 - 7.1 Equity investments: information on shareholders’ equity. This result consists of “A. Income” of +€594 million and “B. Expense” of -€2,056 million. In more detail: • sub-item “A. Income” includes: - +€486 million of revaluations related to gain on companies valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (+€135 million, which contribution stopped starting from November following the reclassification of the stake in assets held for sale), Creditras Vita S.p.A.(+€70 million), Oberbank Ag (+€64 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€38 million), Aviva S.p.A. (+€35 million), Oesterreichische Kontrollbank Aktiengesellschaft (+€30 million), Bks Bank Ag (+€30 million), Cnp UniCredit Vita S.p.A. (+€25 million), Creditras Assicurazioni S.p.A. (+€18 million); - +€19 million of gain on disposal, mainly attributable to the disposal price adjustment of Capital Dev S.p.A. (+€17 million); - +€89 million of write-backs mainly related to Oberbank Ag (+€43 million) e Bks Bank Ag (+€37 million). • sub-item “B. Expense” includes: - -€2 million of write-downs referred to losses on companies valued at Equity method; - -€438 million of impairment losses, attributable to write-downs on investments valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (for -€265 million related to the impairment of the stake of 20% classified in item “Equity Investments” and for -€76 million related to the impairment following the classification of the stake of 18% in item “Non-current assets and disposal group classified as held for sale”), and Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (-€86 million); - -€1,616 million of loss on disposal, due to the following transactions related to 20% stake in Yapi Ve Kredi Bankasi A.S.: (i) -€155 million referred to the disposal of the stake of 2% in the Market; (ii) -€1,461 million to the deconsolidation of the stake of 18% following the loss of UniCredit’s significant influence over Yapi Ve Kredi Bankasi A.S., resulting in the consequent recognition of a financial instrument in Financial assets measured at fair value through profit or loss. The impact due to the to the deconsolidation of the stake of 18% of Yapi Ve Kredi Bankasi A.S. is entirely related to the valuation at fair value (equal to the price in Turkish Lira for TRY 2.298 per share, already defined in the contest of the negotiation with Koç Holding) of the remaining share retained at the date of loss of significant influence and implied the recycle through profit or loss of the reserves basically referred to exchange rate differences on Turkish Lira. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 284 2021 Annual Report and Accounts · UniCredit 16.2 Other operating income: breakdown (€ million) TYPE OF REVENUE/VALUES YEAR 2021 YEAR 2020 A) Recovery of costs 512 487 B) Other revenues 724 768 Revenues from administrative services 35 39 Revenues from operating leases 183 211 Recovery of miscellaneous costs paid in previous years 20 11 Revenues on financial leases activities 68 74 Other 418 433 Total other operating income (A+B) 1,236 1,255 The sub-item “Others” includes: • income related to the review of the terms of the existing business relationship between UniCredit and SIA for €127 million (of which €79 million related to the renewal interest and €48 million referred to the settlement agreement); • trading of gold and precious metals for €67 million; • payments of indemnities and compensation of €37 million; • recovery of expenses (e.g. from ICT infrastructure) for €36 million; • additional income received from leasing business for €14 million. Section 17 - Gains (Losses) of equity investments - Item 250 In 2021 profit (loss) of associates amounts to -€1,462 million (-€1,297 million in 2020), attributable to jointly owned companies for +€17 million and to companies subject to significant influence for -€1,479 million. For further information on Yapi Ve Kredi Bankasi A.S. transaction see Parte B - Consolidated balance sheet - Assets - Section 7 - Equity Investments - Item 70 - 7.1 Equity investments: information on shareholders’ equity. This result consists of “A. Income” of +€594 million and “B. Expense” of -€2,056 million. In more detail: • sub-item “A. Income” includes: - +€486 million of revaluations related to gain on companies valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (+€135 million, which contribution stopped starting from November following the reclassification of the stake in assets held for sale), Creditras Vita S.p.A.(+€70 million), Oberbank Ag (+€64 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€38 million), Aviva S.p.A. (+€35 million), Oesterreichische Kontrollbank Aktiengesellschaft (+€30 million), Bks Bank Ag (+€30 million), Cnp UniCredit Vita S.p.A. (+€25 million), Creditras Assicurazioni S.p.A. (+€18 million); - +€19 million of gain on disposal, mainly attributable to the disposal price adjustment of Capital Dev S.p.A. (+€17 million); - +€89 million of write-backs mainly related to Oberbank Ag (+€43 million) e Bks Bank Ag (+€37 million). • sub-item “B. Expense” includes: - -€2 million of write-downs referred to losses on companies valued at Equity method; - -€438 million of impairment losses, attributable to write-downs on investments valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (for -€265 million related to the impairment of the stake of 20% classified in item “Equity Investments” and for -€76 million related to the impairment following the classification of the stake of 18% in item “Non-current assets and disposal group classified as held for sale”), and Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (-€86 million); - -€1,616 million of loss on disposal, due to the following transactions related to 20% stake in Yapi Ve Kredi Bankasi A.S.: (i) -€155 million referred to the disposal of the stake of 2% in the Market; (ii) -€1,461 million to the deconsolidation of the stake of 18% following the loss of UniCredit’s significant influence over Yapi Ve Kredi Bankasi A.S., resulting in the consequent recognition of a financial instrument in Financial assets measured at fair value through profit or loss. The impact due to the to the deconsolidation of the stake of 18% of Yapi Ve Kredi Bankasi A.S. is entirely related to the valuation at fair value (equal to the price in Turkish Lira for TRY 2.298 per share, already defined in the contest of the negotiation with Koç Holding) of the remaining share retained at the date of loss of significant influence and implied the recycle through profit or loss of the reserves basically referred to exchange rate differences on Turkish Lira. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 284 2021 Annual Report and Accounts · UniCredit 16.2 Other operating income: breakdown (€ million) TYPE OF REVENUE/VALUES YEAR 2021 YEAR 2020 A) Recovery of costs 512 487 B) Other revenues 724 768 Revenues from administrative services 35 39 Revenues from operating leases 183 211 Recovery of miscellaneous costs paid in previous years 20 11 Revenues on financial leases activities 68 74 Other 418 433 Total other operating income (A+B) 1,236 1,255 The sub-item “Others” includes: • income related to the review of the terms of the existing business relationship between UniCredit and SIA for €127 million (of which €79 million related to the renewal interest and €48 million referred to the settlement agreement); • trading of gold and precious metals for €67 million; • payments of indemnities and compensation of €37 million; • recovery of expenses (e.g. from ICT infrastructure) for €36 million; • additional income received from leasing business for €14 million. Section 17 - Gains (Losses) of equity investments - Item 250 In 2021 profit (loss) of associates amounts to -€1,462 million (-€1,297 million in 2020), attributable to jointly owned companies for +€17 million and to companies subject to significant influence for -€1,479 million. For further information on Yapi Ve Kredi Bankasi A.S. transaction see Parte B - Consolidated balance sheet - Assets - Section 7 - Equity Investments - Item 70 - 7.1 Equity investments: information on shareholders’ equity. This result consists of “A. Income” of +€594 million and “B. Expense” of -€2,056 million. In more detail: • sub-item “A. Income” includes: - +€486 million of revaluations related to gain on companies valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (+€135 million, which contribution stopped starting from November following the reclassification of the stake in assets held for sale), Creditras Vita S.p.A.(+€70 million), Oberbank Ag (+€64 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€38 million), Aviva S.p.A. (+€35 million), Oesterreichische Kontrollbank Aktiengesellschaft (+€30 million), Bks Bank Ag (+€30 million), Cnp UniCredit Vita S.p.A. (+€25 million), Creditras Assicurazioni S.p.A. (+€18 million); - +€19 million of gain on disposal, mainly attributable to the disposal price adjustment of Capital Dev S.p.A. (+€17 million); - +€89 million of write-backs mainly related to Oberbank Ag (+€43 million) e Bks Bank Ag (+€37 million). • sub-item “B. Expense” includes: - -€2 million of write-downs referred to losses on companies valued at Equity method; - -€438 million of impairment losses, attributable to write-downs on investments valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (for -€265 million related to the impairment of the stake of 20% classified in item “Equity Investments” and for -€76 million related to the impairment following the classification of the stake of 18% in item “Non-current assets and disposal group classified as held for sale”), and Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (-€86 million); - -€1,616 million of loss on disposal, due to the following transactions related to 20% stake in Yapi Ve Kredi Bankasi A.S.: (i) -€155 million referred to the disposal of the stake of 2% in the Market; (ii) -€1,461 million to the deconsolidation of the stake of 18% following the loss of UniCredit’s significant influence over Yapi Ve Kredi Bankasi A.S., resulting in the consequent recognition of a financial instrument in Financial assets measured at fair value through profit or loss. The impact due to the to the deconsolidation of the stake of 18% of Yapi Ve Kredi Bankasi A.S. is entirely related to the valuation at fair value (equal to the price in Turkish Lira for TRY 2.298 per share, already defined in the contest of the negotiation with Koç Holding) of the remaining share retained at the date of loss of significant influence and implied the recycle through profit or loss of the reserves basically referred to exchange rate differences on Turkish Lira. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 284 2021 Annual Report and Accounts · UniCredit 16.2 Other operating income: breakdown (€ million) TYPE OF REVENUE/VALUES YEAR 2021 YEAR 2020 A) Recovery of costs 512 487 B) Other revenues 724 768 Revenues from administrative services 35 39 Revenues from operating leases 183 211 Recovery of miscellaneous costs paid in previous years 20 11 Revenues on financial leases activities 68 74 Other 418 433 Total other operating income (A+B) 1,236 1,255 The sub-item “Others” includes: • income related to the review of the terms of the existing business relationship between UniCredit and SIA for €127 million (of which €79 million related to the renewal interest and €48 million referred to the settlement agreement); • trading of gold and precious metals for €67 million; • payments of indemnities and compensation of €37 million; • recovery of expenses (e.g. from ICT infrastructure) for €36 million; • additional income received from leasing business for €14 million. Section 17 - Gains (Losses) of equity investments - Item 250 In 2021 profit (loss) of associates amounts to -€1,462 million (-€1,297 million in 2020), attributable to jointly owned companies for +€17 million and to companies subject to significant influence for -€1,479 million. For further information on Yapi Ve Kredi Bankasi A.S. transaction see Parte B - Consolidated balance sheet - Assets - Section 7 - Equity Investments - Item 70 - 7.1 Equity investments: information on shareholders’ equity. This result consists of “A. Income” of +€594 million and “B. Expense” of -€2,056 million. In more detail: • sub-item “A. Income” includes: - +€486 million of revaluations related to gain on companies valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (+€135 million, which contribution stopped starting from November following the reclassification of the stake in assets held for sale), Creditras Vita S.p.A.(+€70 million), Oberbank Ag (+€64 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€38 million), Aviva S.p.A. (+€35 million), Oesterreichische Kontrollbank Aktiengesellschaft (+€30 million), Bks Bank Ag (+€30 million), Cnp UniCredit Vita S.p.A. (+€25 million), Creditras Assicurazioni S.p.A. (+€18 million); - +€19 million of gain on disposal, mainly attributable to the disposal price adjustment of Capital Dev S.p.A. (+€17 million); - +€89 million of write-backs mainly related to Oberbank Ag (+€43 million) e Bks Bank Ag (+€37 million). • sub-item “B. Expense” includes: - -€2 million of write-downs referred to losses on companies valued at Equity method; - -€438 million of impairment losses, attributable to write-downs on investments valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (for -€265 million related to the impairment of the stake of 20% classified in item “Equity Investments” and for -€76 million related to the impairment following the classification of the stake of 18% in item “Non-current assets and disposal group classified as held for sale”), and Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (-€86 million); - -€1,616 million of loss on disposal, due to the following transactions related to 20% stake in Yapi Ve Kredi Bankasi A.S.: (i) -€155 million referred to the disposal of the stake of 2% in the Market; (ii) -€1,461 million to the deconsolidation of the stake of 18% following the loss of UniCredit’s significant influence over Yapi Ve Kredi Bankasi A.S., resulting in the consequent recognition of a financial instrument in Financial assets measured at fair value through profit or loss. The impact due to the to the deconsolidation of the stake of 18% of Yapi Ve Kredi Bankasi A.S. is entirely related to the valuation at fair value (equal to the price in Turkish Lira for TRY 2.298 per share, already defined in the contest of the negotiation with Koç Holding) of the remaining share retained at the date of loss of significant influence and implied the recycle through profit or loss of the reserves basically referred to exchange rate differences on Turkish Lira. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 285 17.1 Gains (Losses) of equity investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1) Jointly owned companies - Equity A. Income 17 - 1. Revaluations - - 2. Gains on disposal 17 - 3. Write-backs - - 4. Other gains - - B. Expenses - - 1. Write-downs - - 2. Impairment losses - - 3. Losses on disposal - - 4. Other expenses - - Net profit 17 - 2) Companies under significant influence A. Income 577 406 1. Revaluations 486 395 2. Gains on disposal 2 3 3. Write-backs 89 8 4. Other gains - - B. Expenses (2,056) (1,703) 1. Write-downs (2) (11) 2. Impairment losses (438) (119) 3. Losses on disposal (1,616) (1,573) 4. Other expenses - - Net profit (1,479) (1,297) Total (1,462) (1,297) In 2020 profit (loss) of associates amounted to -€1,297 million, exclusively attributable to companies subject to significant influence. This result was consisted of “A. Income” of +€406 million and “B. Expense” of -€1,703 million. In more detail: • sub-item “A. Income” included: - +€395 million of revaluations related to gain on companies valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (+€117 million), Creditras Vita S.p.A.(+€60 million), Aviva S.p.A. (+€39 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€35 million), Oberbank Ag (+€25 million), Comtrade Group B.V. (+€19 million), Oesterreichische Kontrollbank Aktiengesellschaft (+€18 million), Bks Bank Ag (+€18 million), Cnp UniCredit Vita S.p.A. (+€18 million), Barn Bv (+€17 million), Creditras Assicurazioni S.p.A. (+€13 million); - +€3 million of gain on disposal attributable Torre SGR S.p.A. (+€3 million); - +€8 million of write-backs mainly related to the residual stake of 20% in Yapi Ve Kredi Bankasi A.S. (+€8 million). • sub-item “B. Expense” included: - -€11 million of write-downs referred to losses on companies valued at Equity method, mainly: Camfin S.p.A. (-€6 million), Da Vinci S.r.l. (-€3 million); - -€119 million of impairment losses, attributable to write-downs on investments valued at Equity method, mainly: Bks Bank Ag (-€73 million) and Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (-€37 million); - -€1,573 million of loss on disposal, due to the impact arising from the disposal of holding percentage of Yapi Ve Kredi Bankasi A.S. (of which -€906 million referred to the stake of 11.93% and -€667 million to the stake of 9.02%). During 2020 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 285 17.1 Gains (Losses) of equity investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1) Jointly owned companies - Equity A. Income 17 - 1. Revaluations - - 2. Gains on disposal 17 - 3. Write-backs - - 4. Other gains - - B. Expenses - - 1. Write-downs - - 2. Impairment losses - - 3. Losses on disposal - - 4. Other expenses - - Net profit 17 - 2) Companies under significant influence A. Income 577 406 1. Revaluations 486 395 2. Gains on disposal 2 3 3. Write-backs 89 8 4. Other gains - - B. Expenses (2,056) (1,703) 1. Write-downs (2) (11) 2. Impairment losses (438) (119) 3. Losses on disposal (1,616) (1,573) 4. Other expenses - - Net profit (1,479) (1,297) Total (1,462) (1,297) In 2020 profit (loss) of associates amounted to -€1,297 million, exclusively attributable to companies subject to significant influence. This result was consisted of “A. Income” of +€406 million and “B. Expense” of -€1,703 million. In more detail: • sub-item “A. Income” included: - +€395 million of revaluations related to gain on companies valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (+€117 million), Creditras Vita S.p.A.(+€60 million), Aviva S.p.A. (+€39 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€35 million), Oberbank Ag (+€25 million), Comtrade Group B.V. (+€19 million), Oesterreichische Kontrollbank Aktiengesellschaft (+€18 million), Bks Bank Ag (+€18 million), Cnp UniCredit Vita S.p.A. (+€18 million), Barn Bv (+€17 million), Creditras Assicurazioni S.p.A. (+€13 million); - +€3 million of gain on disposal attributable Torre SGR S.p.A. (+€3 million); - +€8 million of write-backs mainly related to the residual stake of 20% in Yapi Ve Kredi Bankasi A.S. (+€8 million). • sub-item “B. Expense” included: - -€11 million of write-downs referred to losses on companies valued at Equity method, mainly: Camfin S.p.A. (-€6 million), Da Vinci S.r.l. (-€3 million); - -€119 million of impairment losses, attributable to write-downs on investments valued at Equity method, mainly: Bks Bank Ag (-€73 million) and Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (-€37 million); - -€1,573 million of loss on disposal, due to the impact arising from the disposal of holding percentage of Yapi Ve Kredi Bankasi A.S. (of which -€906 million referred to the stake of 11.93% and -€667 million to the stake of 9.02%). During 2020 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 285 17.1 Gains (Losses) of equity investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1) Jointly owned companies - Equity A. Income 17 - 1. Revaluations - - 2. Gains on disposal 17 - 3. Write-backs - - 4. Other gains - - B. Expenses - - 1. Write-downs - - 2. Impairment losses - - 3. Losses on disposal - - 4. Other expenses - - Net profit 17 - 2) Companies under significant influence A. Income 577 406 1. Revaluations 486 395 2. Gains on disposal 2 3 3. Write-backs 89 8 4. Other gains - - B. Expenses (2,056) (1,703) 1. Write-downs (2) (11) 2. Impairment losses (438) (119) 3. Losses on disposal (1,616) (1,573) 4. Other expenses - - Net profit (1,479) (1,297) Total (1,462) (1,297) In 2020 profit (loss) of associates amounted to -€1,297 million, exclusively attributable to companies subject to significant influence. This result was consisted of “A. Income” of +€406 million and “B. Expense” of -€1,703 million. In more detail: • sub-item “A. Income” included: - +€395 million of revaluations related to gain on companies valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (+€117 million), Creditras Vita S.p.A.(+€60 million), Aviva S.p.A. (+€39 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€35 million), Oberbank Ag (+€25 million), Comtrade Group B.V. (+€19 million), Oesterreichische Kontrollbank Aktiengesellschaft (+€18 million), Bks Bank Ag (+€18 million), Cnp UniCredit Vita S.p.A. (+€18 million), Barn Bv (+€17 million), Creditras Assicurazioni S.p.A. (+€13 million); - +€3 million of gain on disposal attributable Torre SGR S.p.A. (+€3 million); - +€8 million of write-backs mainly related to the residual stake of 20% in Yapi Ve Kredi Bankasi A.S. (+€8 million). • sub-item “B. Expense” included: - -€11 million of write-downs referred to losses on companies valued at Equity method, mainly: Camfin S.p.A. (-€6 million), Da Vinci S.r.l. (-€3 million); - -€119 million of impairment losses, attributable to write-downs on investments valued at Equity method, mainly: Bks Bank Ag (-€73 million) and Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (-€37 million); - -€1,573 million of loss on disposal, due to the impact arising from the disposal of holding percentage of Yapi Ve Kredi Bankasi A.S. (of which -€906 million referred to the stake of 11.93% and -€667 million to the stake of 9.02%). During 2020 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 285 17.1 Gains (Losses) of equity investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1) Jointly owned companies - Equity A. Income 17 - 1. Revaluations - - 2. Gains on disposal 17 - 3. Write-backs - - 4. Other gains - - B. Expenses - - 1. Write-downs - - 2. Impairment losses - - 3. Losses on disposal - - 4. Other expenses - - Net profit 17 - 2) Companies under significant influence A. Income 577 406 1. Revaluations 486 395 2. Gains on disposal 2 3 3. Write-backs 89 8 4. Other gains - - B. Expenses (2,056) (1,703) 1. Write-downs (2) (11) 2. Impairment losses (438) (119) 3. Losses on disposal (1,616) (1,573) 4. Other expenses - - Net profit (1,479) (1,297) Total (1,462) (1,297) In 2020 profit (loss) of associates amounted to -€1,297 million, exclusively attributable to companies subject to significant influence. This result was consisted of “A. Income” of +€406 million and “B. Expense” of -€1,703 million. In more detail: • sub-item “A. Income” included: - +€395 million of revaluations related to gain on companies valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (+€117 million), Creditras Vita S.p.A.(+€60 million), Aviva S.p.A. (+€39 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€35 million), Oberbank Ag (+€25 million), Comtrade Group B.V. (+€19 million), Oesterreichische Kontrollbank Aktiengesellschaft (+€18 million), Bks Bank Ag (+€18 million), Cnp UniCredit Vita S.p.A. (+€18 million), Barn Bv (+€17 million), Creditras Assicurazioni S.p.A. (+€13 million); - +€3 million of gain on disposal attributable Torre SGR S.p.A. (+€3 million); - +€8 million of write-backs mainly related to the residual stake of 20% in Yapi Ve Kredi Bankasi A.S. (+€8 million). • sub-item “B. Expense” included: - -€11 million of write-downs referred to losses on companies valued at Equity method, mainly: Camfin S.p.A. (-€6 million), Da Vinci S.r.l. (-€3 million); - -€119 million of impairment losses, attributable to write-downs on investments valued at Equity method, mainly: Bks Bank Ag (-€73 million) and Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (-€37 million); - -€1,573 million of loss on disposal, due to the impact arising from the disposal of holding percentage of Yapi Ve Kredi Bankasi A.S. (of which -€906 million referred to the stake of 11.93% and -€667 million to the stake of 9.02%). During 2020 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 285 17.1 Gains (Losses) of equity investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1) Jointly owned companies - Equity A. Income 17 - 1. Revaluations - - 2. Gains on disposal 17 - 3. Write-backs - - 4. Other gains - - B. Expenses - - 1. Write-downs - - 2. Impairment losses - - 3. Losses on disposal - - 4. Other expenses - - Net profit 17 - 2) Companies under significant influence A. Income 577 406 1. Revaluations 486 395 2. Gains on disposal 2 3 3. Write-backs 89 8 4. Other gains - - B. Expenses (2,056) (1,703) 1. Write-downs (2) (11) 2. Impairment losses (438) (119) 3. Losses on disposal (1,616) (1,573) 4. Other expenses - - Net profit (1,479) (1,297) Total (1,462) (1,297) In 2020 profit (loss) of associates amounted to -€1,297 million, exclusively attributable to companies subject to significant influence. This result was consisted of “A. Income” of +€406 million and “B. Expense” of -€1,703 million. In more detail: • sub-item “A. Income” included: - +€395 million of revaluations related to gain on companies valued at Equity method, mainly: Yapi Ve Kredi Bankasi A.S. (+€117 million), Creditras Vita S.p.A.(+€60 million), Aviva S.p.A. (+€39 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€35 million), Oberbank Ag (+€25 million), Comtrade Group B.V. (+€19 million), Oesterreichische Kontrollbank Aktiengesellschaft (+€18 million), Bks Bank Ag (+€18 million), Cnp UniCredit Vita S.p.A. (+€18 million), Barn Bv (+€17 million), Creditras Assicurazioni S.p.A. (+€13 million); - +€3 million of gain on disposal attributable Torre SGR S.p.A. (+€3 million); - +€8 million of write-backs mainly related to the residual stake of 20% in Yapi Ve Kredi Bankasi A.S. (+€8 million). • sub-item “B. Expense” included: - -€11 million of write-downs referred to losses on companies valued at Equity method, mainly: Camfin S.p.A. (-€6 million), Da Vinci S.r.l. (-€3 million); - -€119 million of impairment losses, attributable to write-downs on investments valued at Equity method, mainly: Bks Bank Ag (-€73 million) and Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (-€37 million); - -€1,573 million of loss on disposal, due to the impact arising from the disposal of holding percentage of Yapi Ve Kredi Bankasi A.S. (of which -€906 million referred to the stake of 11.93% and -€667 million to the stake of 9.02%). During 2020 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 286 2021 Annual Report and Accounts · UniCredit Section 18 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 260 18.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value: breakdown (€ million) YEAR 2021 EXCHANGE DIFFERENCES NET PROFIT (A-B+C-D) ASSETS/INCOME ITEMS REVALUATIONS (A) WRITEDOWNS (B) POSITIVE (C) NEGATIVE (D) A. Property, plant and equipment 84 (103) - - (19) A.1 Used in the business 20 (55) - - (35) - Owned 20 (55) - - (35) - Right of use of Leased Assets - - - - - A.2 Held for investment 64 (48) - - 16 - Owned 59 (48) - - 11 - Right of use of Leased Assets 5 - - - 5 A.3 Inventories - - - - - B. Intangible assets - - - - - B.1 Owned - - - - - - Generated internally by the company - - - - - - Other - - - - - B.2 Right of use of Leased Assets - - - - - Total (A+B) 84 (103) - - (19) For additional information on the evaluation of Group real estate portfolio refer to Notes to the consolidated accounts in Part B - Consolidated balance sheet - Assets, Section 9 - Property, plant and equipment - Item 90. Section 19 - Goodwill impairment - Item 270 There is no impairment of goodwill in 2021, following the total impairment booked in 2020 for -€886 million. 19.1 Impairment of goodwill: breakdown (€ million) INCOME COMPONENTS YEAR 2021 YEAR 2020 Impairment of goodwill - (886) See the Part A - Accounting policies - A.2 - Main items of the accounts - 7 - Intangible assets - Goodwill for a description of the methods used to measure impairment of goodwill. Section 20 - Gains (Losses) on disposals on investments - Item 280 20.1 Gains and losses on disposal of investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 A. Property - Gains on disposal 19 466 - Losses on disposal (5) (3) B. Other assets - Gains on disposal 43 50 - Losses on disposal (46) (25) Net profit 11 488 At 31 December 2021 gains (losses) on disposals of investments are +€11 million and refer to: Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 286 2021 Annual Report and Accounts · UniCredit Section 18 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 260 18.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value: breakdown (€ million) YEAR 2021 EXCHANGE DIFFERENCES NET PROFIT (A-B+C-D) ASSETS/INCOME ITEMS REVALUATIONS (A) WRITEDOWNS (B) POSITIVE (C) NEGATIVE (D) A. Property, plant and equipment 84 (103) - - (19) A.1 Used in the business 20 (55) - - (35) - Owned 20 (55) - - (35) - Right of use of Leased Assets - - - - - A.2 Held for investment 64 (48) - - 16 - Owned 59 (48) - - 11 - Right of use of Leased Assets 5 - - - 5 A.3 Inventories - - - - - B. Intangible assets - - - - - B.1 Owned - - - - - - Generated internally by the company - - - - - - Other - - - - - B.2 Right of use of Leased Assets - - - - - Total (A+B) 84 (103) - - (19) For additional information on the evaluation of Group real estate portfolio refer to Notes to the consolidated accounts in Part B - Consolidated balance sheet - Assets, Section 9 - Property, plant and equipment - Item 90. Section 19 - Goodwill impairment - Item 270 There is no impairment of goodwill in 2021, following the total impairment booked in 2020 for -€886 million. 19.1 Impairment of goodwill: breakdown (€ million) INCOME COMPONENTS YEAR 2021 YEAR 2020 Impairment of goodwill - (886) See the Part A - Accounting policies - A.2 - Main items of the accounts - 7 - Intangible assets - Goodwill for a description of the methods used to measure impairment of goodwill. Section 20 - Gains (Losses) on disposals on investments - Item 280 20.1 Gains and losses on disposal of investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 A. Property - Gains on disposal 19 466 - Losses on disposal (5) (3) B. Other assets - Gains on disposal 43 50 - Losses on disposal (46) (25) Net profit 11 488 At 31 December 2021 gains (losses) on disposals of investments are +€11 million and refer to: Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 286 2021 Annual Report and Accounts · UniCredit Section 18 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 260 18.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value: breakdown (€ million) YEAR 2021 EXCHANGE DIFFERENCES NET PROFIT (A-B+C-D) ASSETS/INCOME ITEMS REVALUATIONS (A) WRITEDOWNS (B) POSITIVE (C) NEGATIVE (D) A. Property, plant and equipment 84 (103) - - (19) A.1 Used in the business 20 (55) - - (35) - Owned 20 (55) - - (35) - Right of use of Leased Assets - - - - - A.2 Held for investment 64 (48) - - 16 - Owned 59 (48) - - 11 - Right of use of Leased Assets 5 - - - 5 A.3 Inventories - - - - - B. Intangible assets - - - - - B.1 Owned - - - - - - Generated internally by the company - - - - - - Other - - - - - B.2 Right of use of Leased Assets - - - - - Total (A+B) 84 (103) - - (19) For additional information on the evaluation of Group real estate portfolio refer to Notes to the consolidated accounts in Part B - Consolidated balance sheet - Assets, Section 9 - Property, plant and equipment - Item 90. Section 19 - Goodwill impairment - Item 270 There is no impairment of goodwill in 2021, following the total impairment booked in 2020 for -€886 million. 19.1 Impairment of goodwill: breakdown (€ million) INCOME COMPONENTS YEAR 2021 YEAR 2020 Impairment of goodwill - (886) See the Part A - Accounting policies - A.2 - Main items of the accounts - 7 - Intangible assets - Goodwill for a description of the methods used to measure impairment of goodwill. Section 20 - Gains (Losses) on disposals on investments - Item 280 20.1 Gains and losses on disposal of investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 A. Property - Gains on disposal 19 466 - Losses on disposal (5) (3) B. Other assets - Gains on disposal 43 50 - Losses on disposal (46) (25) Net profit 11 488 At 31 December 2021 gains (losses) on disposals of investments are +€11 million and refer to: Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 286 2021 Annual Report and Accounts · UniCredit Section 18 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 260 18.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value: breakdown (€ million) YEAR 2021 EXCHANGE DIFFERENCES NET PROFIT (A-B+C-D) ASSETS/INCOME ITEMS REVALUATIONS (A) WRITEDOWNS (B) POSITIVE (C) NEGATIVE (D) A. Property, plant and equipment 84 (103) - - (19) A.1 Used in the business 20 (55) - - (35) - Owned 20 (55) - - (35) - Right of use of Leased Assets - - - - - A.2 Held for investment 64 (48) - - 16 - Owned 59 (48) - - 11 - Right of use of Leased Assets 5 - - - 5 A.3 Inventories - - - - - B. Intangible assets - - - - - B.1 Owned - - - - - - Generated internally by the company - - - - - - Other - - - - - B.2 Right of use of Leased Assets - - - - - Total (A+B) 84 (103) - - (19) For additional information on the evaluation of Group real estate portfolio refer to Notes to the consolidated accounts in Part B - Consolidated balance sheet - Assets, Section 9 - Property, plant and equipment - Item 90. Section 19 - Goodwill impairment - Item 270 There is no impairment of goodwill in 2021, following the total impairment booked in 2020 for -€886 million. 19.1 Impairment of goodwill: breakdown (€ million) INCOME COMPONENTS YEAR 2021 YEAR 2020 Impairment of goodwill - (886) See the Part A - Accounting policies - A.2 - Main items of the accounts - 7 - Intangible assets - Goodwill for a description of the methods used to measure impairment of goodwill. Section 20 - Gains (Losses) on disposals on investments - Item 280 20.1 Gains and losses on disposal of investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 A. Property - Gains on disposal 19 466 - Losses on disposal (5) (3) B. Other assets - Gains on disposal 43 50 - Losses on disposal (46) (25) Net profit 11 488 At 31 December 2021 gains (losses) on disposals of investments are +€11 million and refer to: Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 286 2021 Annual Report and Accounts · UniCredit Section 18 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 260 18.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value: breakdown (€ million) YEAR 2021 EXCHANGE DIFFERENCES NET PROFIT (A-B+C-D) ASSETS/INCOME ITEMS REVALUATIONS (A) WRITEDOWNS (B) POSITIVE (C) NEGATIVE (D) A. Property, plant and equipment 84 (103) - - (19) A.1 Used in the business 20 (55) - - (35) - Owned 20 (55) - - (35) - Right of use of Leased Assets - - - - - A.2 Held for investment 64 (48) - - 16 - Owned 59 (48) - - 11 - Right of use of Leased Assets 5 - - - 5 A.3 Inventories - - - - - B. Intangible assets - - - - - B.1 Owned - - - - - - Generated internally by the company - - - - - - Other - - - - - B.2 Right of use of Leased Assets - - - - - Total (A+B) 84 (103) - - (19) For additional information on the evaluation of Group real estate portfolio refer to Notes to the consolidated accounts in Part B - Consolidated balance sheet - Assets, Section 9 - Property, plant and equipment - Item 90. Section 19 - Goodwill impairment - Item 270 There is no impairment of goodwill in 2021, following the total impairment booked in 2020 for -€886 million. 19.1 Impairment of goodwill: breakdown (€ million) INCOME COMPONENTS YEAR 2021 YEAR 2020 Impairment of goodwill - (886) See the Part A - Accounting policies - A.2 - Main items of the accounts - 7 - Intangible assets - Goodwill for a description of the methods used to measure impairment of goodwill. Section 20 - Gains (Losses) on disposals on investments - Item 280 20.1 Gains and losses on disposal of investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 A. Property - Gains on disposal 19 466 - Losses on disposal (5) (3) B. Other assets - Gains on disposal 43 50 - Losses on disposal (46) (25) Net profit 11 488 At 31 December 2021 gains (losses) on disposals of investments are +€11 million and refer to: Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 287 A. Property Net gains of +€14 million includes the results of property sales carried out by some Group companies. B. Other assets Net losses of -€3 million mainly includes losses from deconsolidation of some equity investments. During 2021 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. At 31 December 2020 gains (losses) on disposals of investments were +€488 million and refer to: A. Property Net gains of +€463 million included the results of the property rationalisation carried out mainly through the sale of a real estate complex in Munich, held by UniCredit Bank AG, composed by both real estate assets held for investment and real estate assets used in the business. The sale of the real estate complex, occurred in the first quarter 2020, has determined the recognition of a gain on disposal for €443 million. B. Other assets Net gains of +€25 million mainly included gains from disposal of some equity investments including General Logistic Solutions Llc (+€14 million). During 2020 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 Each country has an autonomous tax system where the determination of the tax base, the level of tax rates, nature, type, and timing of tax obligations might differ, even significantly. Such differences also exist amongst EU Member States. Italy, Germany, Austria, the main countries where the UniCredit group operates, all have domestic income tax consolidation regimes. Tax consolidation rules differ among countries, sometimes markedly. The main and common benefit of a domestic tax consolidation regime is the faculty of offsetting profits and losses of companies and entities belonging to the same tax consolidation perimeter. The requirements to be included in a domestic tax consolidation regime can be very different from those set for the purpose of accounting consolidation for a banking group according to the international IAS/IFRS or local accounting standards. The nominal corporate income tax rates in the key countries for the Group are: 31.8% in Germany (also taking into account the “solidarity surcharge” and the municipal trade tax), 25% in Austria, 10% in Bulgaria, 18% in Croatia, 19% in Slovenia, 16% in Romania, 19% in the Czech Republic, 21% in Slovak Republic, 20% in Russia, 9% in Hungary, 15% in Serbia and 10% in Bosnia and Herzegovina. Corporate income tax rate in non-key countries are: 27% in the United Kingdom (including the 8% surcharge applied to Banking institutions), 12.5% in Ireland, 24.94% in Luxembourg, 21% of federal tax in the United States and 25% in China. In Italy the standard corporate income tax rate (IRES) is equal to 24%, to be increased by a 3.5% surcharge applicable to banking and other financial entities. Therefore, for UniCredit S.p.A. and for the other banks and financial entities belonging to the Group, the applicable tax rate is equal to 27.5%. The Italian Regional Tax on Productive Activities (IRAP) is levied at a rate of 4.65% to be increased by a surcharge applied separately by each Region reaching a maximum nominal rate of 5.57%. To the resulting amount, an additional surcharge of 0.15% decided autonomously by each Region with an healthcare deficit status, can be applied. For UniCredit S.p.A. the nominal IRAP tax rate is 5.34%. IRAP has a slightly different taxable base than IRES and does not allow the offsetting of its taxable base with tax losses carried forward. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 287 A. Property Net gains of +€14 million includes the results of property sales carried out by some Group companies. B. Other assets Net losses of -€3 million mainly includes losses from deconsolidation of some equity investments. During 2021 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. At 31 December 2020 gains (losses) on disposals of investments were +€488 million and refer to: A. Property Net gains of +€463 million included the results of the property rationalisation carried out mainly through the sale of a real estate complex in Munich, held by UniCredit Bank AG, composed by both real estate assets held for investment and real estate assets used in the business. The sale of the real estate complex, occurred in the first quarter 2020, has determined the recognition of a gain on disposal for €443 million. B. Other assets Net gains of +€25 million mainly included gains from disposal of some equity investments including General Logistic Solutions Llc (+€14 million). During 2020 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 Each country has an autonomous tax system where the determination of the tax base, the level of tax rates, nature, type, and timing of tax obligations might differ, even significantly. Such differences also exist amongst EU Member States. Italy, Germany, Austria, the main countries where the UniCredit group operates, all have domestic income tax consolidation regimes. Tax consolidation rules differ among countries, sometimes markedly. The main and common benefit of a domestic tax consolidation regime is the faculty of offsetting profits and losses of companies and entities belonging to the same tax consolidation perimeter. The requirements to be included in a domestic tax consolidation regime can be very different from those set for the purpose of accounting consolidation for a banking group according to the international IAS/IFRS or local accounting standards. The nominal corporate income tax rates in the key countries for the Group are: 31.8% in Germany (also taking into account the “solidarity surcharge” and the municipal trade tax), 25% in Austria, 10% in Bulgaria, 18% in Croatia, 19% in Slovenia, 16% in Romania, 19% in the Czech Republic, 21% in Slovak Republic, 20% in Russia, 9% in Hungary, 15% in Serbia and 10% in Bosnia and Herzegovina. Corporate income tax rate in non-key countries are: 27% in the United Kingdom (including the 8% surcharge applied to Banking institutions), 12.5% in Ireland, 24.94% in Luxembourg, 21% of federal tax in the United States and 25% in China. In Italy the standard corporate income tax rate (IRES) is equal to 24%, to be increased by a 3.5% surcharge applicable to banking and other financial entities. Therefore, for UniCredit S.p.A. and for the other banks and financial entities belonging to the Group, the applicable tax rate is equal to 27.5%. The Italian Regional Tax on Productive Activities (IRAP) is levied at a rate of 4.65% to be increased by a surcharge applied separately by each Region reaching a maximum nominal rate of 5.57%. To the resulting amount, an additional surcharge of 0.15% decided autonomously by each Region with an healthcare deficit status, can be applied. For UniCredit S.p.A. the nominal IRAP tax rate is 5.34%. IRAP has a slightly different taxable base than IRES and does not allow the offsetting of its taxable base with tax losses carried forward. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 287 A. Property Net gains of +€14 million includes the results of property sales carried out by some Group companies. B. Other assets Net losses of -€3 million mainly includes losses from deconsolidation of some equity investments. During 2021 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. At 31 December 2020 gains (losses) on disposals of investments were +€488 million and refer to: A. Property Net gains of +€463 million included the results of the property rationalisation carried out mainly through the sale of a real estate complex in Munich, held by UniCredit Bank AG, composed by both real estate assets held for investment and real estate assets used in the business. The sale of the real estate complex, occurred in the first quarter 2020, has determined the recognition of a gain on disposal for €443 million. B. Other assets Net gains of +€25 million mainly included gains from disposal of some equity investments including General Logistic Solutions Llc (+€14 million). During 2020 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 Each country has an autonomous tax system where the determination of the tax base, the level of tax rates, nature, type, and timing of tax obligations might differ, even significantly. Such differences also exist amongst EU Member States. Italy, Germany, Austria, the main countries where the UniCredit group operates, all have domestic income tax consolidation regimes. Tax consolidation rules differ among countries, sometimes markedly. The main and common benefit of a domestic tax consolidation regime is the faculty of offsetting profits and losses of companies and entities belonging to the same tax consolidation perimeter. The requirements to be included in a domestic tax consolidation regime can be very different from those set for the purpose of accounting consolidation for a banking group according to the international IAS/IFRS or local accounting standards. The nominal corporate income tax rates in the key countries for the Group are: 31.8% in Germany (also taking into account the “solidarity surcharge” and the municipal trade tax), 25% in Austria, 10% in Bulgaria, 18% in Croatia, 19% in Slovenia, 16% in Romania, 19% in the Czech Republic, 21% in Slovak Republic, 20% in Russia, 9% in Hungary, 15% in Serbia and 10% in Bosnia and Herzegovina. Corporate income tax rate in non-key countries are: 27% in the United Kingdom (including the 8% surcharge applied to Banking institutions), 12.5% in Ireland, 24.94% in Luxembourg, 21% of federal tax in the United States and 25% in China. In Italy the standard corporate income tax rate (IRES) is equal to 24%, to be increased by a 3.5% surcharge applicable to banking and other financial entities. Therefore, for UniCredit S.p.A. and for the other banks and financial entities belonging to the Group, the applicable tax rate is equal to 27.5%. The Italian Regional Tax on Productive Activities (IRAP) is levied at a rate of 4.65% to be increased by a surcharge applied separately by each Region reaching a maximum nominal rate of 5.57%. To the resulting amount, an additional surcharge of 0.15% decided autonomously by each Region with an healthcare deficit status, can be applied. For UniCredit S.p.A. the nominal IRAP tax rate is 5.34%. IRAP has a slightly different taxable base than IRES and does not allow the offsetting of its taxable base with tax losses carried forward. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 287 A. Property Net gains of +€14 million includes the results of property sales carried out by some Group companies. B. Other assets Net losses of -€3 million mainly includes losses from deconsolidation of some equity investments. During 2021 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. At 31 December 2020 gains (losses) on disposals of investments were +€488 million and refer to: A. Property Net gains of +€463 million included the results of the property rationalisation carried out mainly through the sale of a real estate complex in Munich, held by UniCredit Bank AG, composed by both real estate assets held for investment and real estate assets used in the business. The sale of the real estate complex, occurred in the first quarter 2020, has determined the recognition of a gain on disposal for €443 million. B. Other assets Net gains of +€25 million mainly included gains from disposal of some equity investments including General Logistic Solutions Llc (+€14 million). During 2020 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 Each country has an autonomous tax system where the determination of the tax base, the level of tax rates, nature, type, and timing of tax obligations might differ, even significantly. Such differences also exist amongst EU Member States. Italy, Germany, Austria, the main countries where the UniCredit group operates, all have domestic income tax consolidation regimes. Tax consolidation rules differ among countries, sometimes markedly. The main and common benefit of a domestic tax consolidation regime is the faculty of offsetting profits and losses of companies and entities belonging to the same tax consolidation perimeter. The requirements to be included in a domestic tax consolidation regime can be very different from those set for the purpose of accounting consolidation for a banking group according to the international IAS/IFRS or local accounting standards. The nominal corporate income tax rates in the key countries for the Group are: 31.8% in Germany (also taking into account the “solidarity surcharge” and the municipal trade tax), 25% in Austria, 10% in Bulgaria, 18% in Croatia, 19% in Slovenia, 16% in Romania, 19% in the Czech Republic, 21% in Slovak Republic, 20% in Russia, 9% in Hungary, 15% in Serbia and 10% in Bosnia and Herzegovina. Corporate income tax rate in non-key countries are: 27% in the United Kingdom (including the 8% surcharge applied to Banking institutions), 12.5% in Ireland, 24.94% in Luxembourg, 21% of federal tax in the United States and 25% in China. In Italy the standard corporate income tax rate (IRES) is equal to 24%, to be increased by a 3.5% surcharge applicable to banking and other financial entities. Therefore, for UniCredit S.p.A. and for the other banks and financial entities belonging to the Group, the applicable tax rate is equal to 27.5%. The Italian Regional Tax on Productive Activities (IRAP) is levied at a rate of 4.65% to be increased by a surcharge applied separately by each Region reaching a maximum nominal rate of 5.57%. To the resulting amount, an additional surcharge of 0.15% decided autonomously by each Region with an healthcare deficit status, can be applied. For UniCredit S.p.A. the nominal IRAP tax rate is 5.34%. IRAP has a slightly different taxable base than IRES and does not allow the offsetting of its taxable base with tax losses carried forward. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 287 A. Property Net gains of +€14 million includes the results of property sales carried out by some Group companies. B. Other assets Net losses of -€3 million mainly includes losses from deconsolidation of some equity investments. During 2021 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. At 31 December 2020 gains (losses) on disposals of investments were +€488 million and refer to: A. Property Net gains of +€463 million included the results of the property rationalisation carried out mainly through the sale of a real estate complex in Munich, held by UniCredit Bank AG, composed by both real estate assets held for investment and real estate assets used in the business. The sale of the real estate complex, occurred in the first quarter 2020, has determined the recognition of a gain on disposal for €443 million. B. Other assets Net gains of +€25 million mainly included gains from disposal of some equity investments including General Logistic Solutions Llc (+€14 million). During 2020 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at fair value of any equity interests retained at the date of losing control. Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 Each country has an autonomous tax system where the determination of the tax base, the level of tax rates, nature, type, and timing of tax obligations might differ, even significantly. Such differences also exist amongst EU Member States. Italy, Germany, Austria, the main countries where the UniCredit group operates, all have domestic income tax consolidation regimes. Tax consolidation rules differ among countries, sometimes markedly. The main and common benefit of a domestic tax consolidation regime is the faculty of offsetting profits and losses of companies and entities belonging to the same tax consolidation perimeter. The requirements to be included in a domestic tax consolidation regime can be very different from those set for the purpose of accounting consolidation for a banking group according to the international IAS/IFRS or local accounting standards. The nominal corporate income tax rates in the key countries for the Group are: 31.8% in Germany (also taking into account the “solidarity surcharge” and the municipal trade tax), 25% in Austria, 10% in Bulgaria, 18% in Croatia, 19% in Slovenia, 16% in Romania, 19% in the Czech Republic, 21% in Slovak Republic, 20% in Russia, 9% in Hungary, 15% in Serbia and 10% in Bosnia and Herzegovina. Corporate income tax rate in non-key countries are: 27% in the United Kingdom (including the 8% surcharge applied to Banking institutions), 12.5% in Ireland, 24.94% in Luxembourg, 21% of federal tax in the United States and 25% in China. In Italy the standard corporate income tax rate (IRES) is equal to 24%, to be increased by a 3.5% surcharge applicable to banking and other financial entities. Therefore, for UniCredit S.p.A. and for the other banks and financial entities belonging to the Group, the applicable tax rate is equal to 27.5%. The Italian Regional Tax on Productive Activities (IRAP) is levied at a rate of 4.65% to be increased by a surcharge applied separately by each Region reaching a maximum nominal rate of 5.57%. To the resulting amount, an additional surcharge of 0.15% decided autonomously by each Region with an healthcare deficit status, can be applied. For UniCredit S.p.A. the nominal IRAP tax rate is 5.34%. IRAP has a slightly different taxable base than IRES and does not allow the offsetting of its taxable base with tax losses carried forward. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 288 2021 Annual Report and Accounts · UniCredit For Tax expenses (income) for the period of the Parent company reference is made to paragraph “Section 19 - Tax expenses (income) for the period from continuing operations - Item 270” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part C - Income statement, which is herewith quoted entirely. 21.1 Tax expense (income) relating to profit or loss from continuing operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Current taxes (-) (732) (608) 2. Change of current taxes of previous years (+/-) 78 200 3. Reduction of current taxes for the year (+) 132 153 3.bis Reduction of current taxes for the year due tax credit under Law 214/2011 (+) 877 806 4. Change of deferred tax assets (+/-) (104) (987) 5. Change of deferred tax liabilities (+/-) 80 114 6. Tax expenses for the year (-) (-1+/-2+3+3bis+/-4+/-5) 331 (322) Item tax expense (income) relating to profit or loss from continuing operations includes: • the impacts arising from the settlement and evolution of tax claims with German Local Tax Authorities; • the effects related to the Deferred Tax Assets sustainability test, for which refer to the paragraph “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets. 21.2 Reconciliation of theoretical tax charge to actual tax charge (€ million) YEAR 2021 YEAR 2020 Profit (Loss) before tax from continuing operations (income statement item) 1,235 (2,505) Theoretical tax rate 27.5% 27.5% Theoretical computed taxes on income (340) 689 1. Different tax rates 11 66 2. Non-taxable income - permanent differences (435) (89) 3. Non-deductible expenses - permanent differences (368) (69) 4. Different fiscal laws/IRAP (89) (27) a) IRAP (italian companies) (50) (11) b) Other taxes (foreign companies) (39) (16) 5. Previous years and changes in tax rates 171 288 a) Effects on current taxes 247 420 - Tax loss carryforward/unused Tax credit 132 153 - Other effects of previous periods 115 267 b) Effects on deferred taxes (76) (132) - Changes in tax rates - 5 - New taxes incurred (+) previous taxes revocation (-) - - - True-ups/adjustments of the calculated deferred taxes (76) (137) 6. Valuation adjustments and non-recognition of deferred taxes 1,347 (657) a) Deferred tax assets write-down (46) (697) b) Deferred tax assets recognition 1,397 153 c) Deferred tax assets non-recognition (11) (23) d) Deferred tax assets non-recognition according to IAS12.39 and 12.44 12 (82) e) Other (5) (8) 7. Amortisation of goodwill - 7 8. Non-taxable foreign income 15 (9) 9. Other differences 19 (521) Recognised taxes on income 331 (322) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 288 2021 Annual Report and Accounts · UniCredit For Tax expenses (income) for the period of the Parent company reference is made to paragraph “Section 19 - Tax expenses (income) for the period from continuing operations - Item 270” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part C - Income statement, which is herewith quoted entirely. 21.1 Tax expense (income) relating to profit or loss from continuing operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Current taxes (-) (732) (608) 2. Change of current taxes of previous years (+/-) 78 200 3. Reduction of current taxes for the year (+) 132 153 3.bis Reduction of current taxes for the year due tax credit under Law 214/2011 (+) 877 806 4. Change of deferred tax assets (+/-) (104) (987) 5. Change of deferred tax liabilities (+/-) 80 114 6. Tax expenses for the year (-) (-1+/-2+3+3bis+/-4+/-5) 331 (322) Item tax expense (income) relating to profit or loss from continuing operations includes: • the impacts arising from the settlement and evolution of tax claims with German Local Tax Authorities; • the effects related to the Deferred Tax Assets sustainability test, for which refer to the paragraph “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets. 21.2 Reconciliation of theoretical tax charge to actual tax charge (€ million) YEAR 2021 YEAR 2020 Profit (Loss) before tax from continuing operations (income statement item) 1,235 (2,505) Theoretical tax rate 27.5% 27.5% Theoretical computed taxes on income (340) 689 1. Different tax rates 11 66 2. Non-taxable income - permanent differences (435) (89) 3. Non-deductible expenses - permanent differences (368) (69) 4. Different fiscal laws/IRAP (89) (27) a) IRAP (italian companies) (50) (11) b) Other taxes (foreign companies) (39) (16) 5. Previous years and changes in tax rates 171 288 a) Effects on current taxes 247 420 - Tax loss carryforward/unused Tax credit 132 153 - Other effects of previous periods 115 267 b) Effects on deferred taxes (76) (132) - Changes in tax rates - 5 - New taxes incurred (+) previous taxes revocation (-) - - - True-ups/adjustments of the calculated deferred taxes (76) (137) 6. Valuation adjustments and non-recognition of deferred taxes 1,347 (657) a) Deferred tax assets write-down (46) (697) b) Deferred tax assets recognition 1,397 153 c) Deferred tax assets non-recognition (11) (23) d) Deferred tax assets non-recognition according to IAS12.39 and 12.44 12 (82) e) Other (5) (8) 7. Amortisation of goodwill - 7 8. Non-taxable foreign income 15 (9) 9. Other differences 19 (521) Recognised taxes on income 331 (322) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 288 2021 Annual Report and Accounts · UniCredit For Tax expenses (income) for the period of the Parent company reference is made to paragraph “Section 19 - Tax expenses (income) for the period from continuing operations - Item 270” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part C - Income statement, which is herewith quoted entirely. 21.1 Tax expense (income) relating to profit or loss from continuing operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Current taxes (-) (732) (608) 2. Change of current taxes of previous years (+/-) 78 200 3. Reduction of current taxes for the year (+) 132 153 3.bis Reduction of current taxes for the year due tax credit under Law 214/2011 (+) 877 806 4. Change of deferred tax assets (+/-) (104) (987) 5. Change of deferred tax liabilities (+/-) 80 114 6. Tax expenses for the year (-) (-1+/-2+3+3bis+/-4+/-5) 331 (322) Item tax expense (income) relating to profit or loss from continuing operations includes: • the impacts arising from the settlement and evolution of tax claims with German Local Tax Authorities; • the effects related to the Deferred Tax Assets sustainability test, for which refer to the paragraph “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets. 21.2 Reconciliation of theoretical tax charge to actual tax charge (€ million) YEAR 2021 YEAR 2020 Profit (Loss) before tax from continuing operations (income statement item) 1,235 (2,505) Theoretical tax rate 27.5% 27.5% Theoretical computed taxes on income (340) 689 1. Different tax rates 11 66 2. Non-taxable income - permanent differences (435) (89) 3. Non-deductible expenses - permanent differences (368) (69) 4. Different fiscal laws/IRAP (89) (27) a) IRAP (italian companies) (50) (11) b) Other taxes (foreign companies) (39) (16) 5. Previous years and changes in tax rates 171 288 a) Effects on current taxes 247 420 - Tax loss carryforward/unused Tax credit 132 153 - Other effects of previous periods 115 267 b) Effects on deferred taxes (76) (132) - Changes in tax rates - 5 - New taxes incurred (+) previous taxes revocation (-) - - - True-ups/adjustments of the calculated deferred taxes (76) (137) 6. Valuation adjustments and non-recognition of deferred taxes 1,347 (657) a) Deferred tax assets write-down (46) (697) b) Deferred tax assets recognition 1,397 153 c) Deferred tax assets non-recognition (11) (23) d) Deferred tax assets non-recognition according to IAS12.39 and 12.44 12 (82) e) Other (5) (8) 7. Amortisation of goodwill - 7 8. Non-taxable foreign income 15 (9) 9. Other differences 19 (521) Recognised taxes on income 331 (322) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 288 2021 Annual Report and Accounts · UniCredit For Tax expenses (income) for the period of the Parent company reference is made to paragraph “Section 19 - Tax expenses (income) for the period from continuing operations - Item 270” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part C - Income statement, which is herewith quoted entirely. 21.1 Tax expense (income) relating to profit or loss from continuing operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Current taxes (-) (732) (608) 2. Change of current taxes of previous years (+/-) 78 200 3. Reduction of current taxes for the year (+) 132 153 3.bis Reduction of current taxes for the year due tax credit under Law 214/2011 (+) 877 806 4. Change of deferred tax assets (+/-) (104) (987) 5. Change of deferred tax liabilities (+/-) 80 114 6. Tax expenses for the year (-) (-1+/-2+3+3bis+/-4+/-5) 331 (322) Item tax expense (income) relating to profit or loss from continuing operations includes: • the impacts arising from the settlement and evolution of tax claims with German Local Tax Authorities; • the effects related to the Deferred Tax Assets sustainability test, for which refer to the paragraph “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets. 21.2 Reconciliation of theoretical tax charge to actual tax charge (€ million) YEAR 2021 YEAR 2020 Profit (Loss) before tax from continuing operations (income statement item) 1,235 (2,505) Theoretical tax rate 27.5% 27.5% Theoretical computed taxes on income (340) 689 1. Different tax rates 11 66 2. Non-taxable income - permanent differences (435) (89) 3. Non-deductible expenses - permanent differences (368) (69) 4. Different fiscal laws/IRAP (89) (27) a) IRAP (italian companies) (50) (11) b) Other taxes (foreign companies) (39) (16) 5. Previous years and changes in tax rates 171 288 a) Effects on current taxes 247 420 - Tax loss carryforward/unused Tax credit 132 153 - Other effects of previous periods 115 267 b) Effects on deferred taxes (76) (132) - Changes in tax rates - 5 - New taxes incurred (+) previous taxes revocation (-) - - - True-ups/adjustments of the calculated deferred taxes (76) (137) 6. Valuation adjustments and non-recognition of deferred taxes 1,347 (657) a) Deferred tax assets write-down (46) (697) b) Deferred tax assets recognition 1,397 153 c) Deferred tax assets non-recognition (11) (23) d) Deferred tax assets non-recognition according to IAS12.39 and 12.44 12 (82) e) Other (5) (8) 7. Amortisation of goodwill - 7 8. Non-taxable foreign income 15 (9) 9. Other differences 19 (521) Recognised taxes on income 331 (322) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 288 2021 Annual Report and Accounts · UniCredit For Tax expenses (income) for the period of the Parent company reference is made to paragraph “Section 19 - Tax expenses (income) for the period from continuing operations - Item 270” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part C - Income statement, which is herewith quoted entirely. 21.1 Tax expense (income) relating to profit or loss from continuing operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Current taxes (-) (732) (608) 2. Change of current taxes of previous years (+/-) 78 200 3. Reduction of current taxes for the year (+) 132 153 3.bis Reduction of current taxes for the year due tax credit under Law 214/2011 (+) 877 806 4. Change of deferred tax assets (+/-) (104) (987) 5. Change of deferred tax liabilities (+/-) 80 114 6. Tax expenses for the year (-) (-1+/-2+3+3bis+/-4+/-5) 331 (322) Item tax expense (income) relating to profit or loss from continuing operations includes: • the impacts arising from the settlement and evolution of tax claims with German Local Tax Authorities; • the effects related to the Deferred Tax Assets sustainability test, for which refer to the paragraph “Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part B - Consolidated balance sheet - Assets. 21.2 Reconciliation of theoretical tax charge to actual tax charge (€ million) YEAR 2021 YEAR 2020 Profit (Loss) before tax from continuing operations (income statement item) 1,235 (2,505) Theoretical tax rate 27.5% 27.5% Theoretical computed taxes on income (340) 689 1. Different tax rates 11 66 2. Non-taxable income - permanent differences (435) (89) 3. Non-deductible expenses - permanent differences (368) (69) 4. Different fiscal laws/IRAP (89) (27) a) IRAP (italian companies) (50) (11) b) Other taxes (foreign companies) (39) (16) 5. Previous years and changes in tax rates 171 288 a) Effects on current taxes 247 420 - Tax loss carryforward/unused Tax credit 132 153 - Other effects of previous periods 115 267 b) Effects on deferred taxes (76) (132) - Changes in tax rates - 5 - New taxes incurred (+) previous taxes revocation (-) - - - True-ups/adjustments of the calculated deferred taxes (76) (137) 6. Valuation adjustments and non-recognition of deferred taxes 1,347 (657) a) Deferred tax assets write-down (46) (697) b) Deferred tax assets recognition 1,397 153 c) Deferred tax assets non-recognition (11) (23) d) Deferred tax assets non-recognition according to IAS12.39 and 12.44 12 (82) e) Other (5) (8) 7. Amortisation of goodwill - 7 8. Non-taxable foreign income 15 (9) 9. Other differences 19 (521) Recognised taxes on income 331 (322) Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 289 Section 22 - Profit (Loss) after tax from discontinued operations - Item 320 22.1 Profit (Loss) after tax from discontinued operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Income 24 8 2. Expenses (18) (3) 3. Valuation of discontinued operations and related liabilities (2) (1) 4. Profit (Loss) on disposal - 64 5. Tax - (19) Profit (Loss) 4 49 The item "Profit (Loss) after tax from discontinued operations" as at 31 December 2021, equal to €4 million, refers to the profit of the period of the company OT-Optima Telekom DD. As at 31 December 2020 the item included mainly the realized gain from sale of the company Arwag Holding-Aktiengesellshaft in the amount of €64 million. 22.2 Breakdown of tax on discontinued operations (€ million) YEAR 2021 YEAR 2020 1. Current taxes (-) - (21) 2. Changes in deferred tax assets (+/-) - - 3. Changes in deferred tax liabilities (+/-) - 2 4. Income tax (-1+/-2+/-3) - (19) Section 23 - Minority profit (loss) of the year - Item 340 The profit for 2021 attributable to minority interests is equal to +€30 million. The main contributions are attributable to the minority shareholders of Zagrebacka Banka D.D. and its subsidiary UniCredit Bank D.D. and UniCredit Bank Austria AG Sub-Group, mainly referring to the minority shareholders of DC Bank AG and Card Complete Service Bank AG. The profit for 2020 attributable to minority interests was equal to +€7 million. 23.1 Breakdown of item 340 "Minority gains (losses)" (€ million) 2021 2020 Consolidated equity investments with significant minority interests 20 6 Zagrebacka Banka D.D. 23 6 UniCredit Bank D.D. 7 6 UniCredit Bank Austria AG Sub-Group (10) (6) Other equity investments 10 1 Total 30 7 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 289 Section 22 - Profit (Loss) after tax from discontinued operations - Item 320 22.1 Profit (Loss) after tax from discontinued operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Income 24 8 2. Expenses (18) (3) 3. Valuation of discontinued operations and related liabilities (2) (1) 4. Profit (Loss) on disposal - 64 5. Tax - (19) Profit (Loss) 4 49 The item "Profit (Loss) after tax from discontinued operations" as at 31 December 2021, equal to €4 million, refers to the profit of the period of the company OT-Optima Telekom DD. As at 31 December 2020 the item included mainly the realized gain from sale of the company Arwag Holding-Aktiengesellshaft in the amount of €64 million. 22.2 Breakdown of tax on discontinued operations (€ million) YEAR 2021 YEAR 2020 1. Current taxes (-) - (21) 2. Changes in deferred tax assets (+/-) - - 3. Changes in deferred tax liabilities (+/-) - 2 4. Income tax (-1+/-2+/-3) - (19) Section 23 - Minority profit (loss) of the year - Item 340 The profit for 2021 attributable to minority interests is equal to +€30 million. The main contributions are attributable to the minority shareholders of Zagrebacka Banka D.D. and its subsidiary UniCredit Bank D.D. and UniCredit Bank Austria AG Sub-Group, mainly referring to the minority shareholders of DC Bank AG and Card Complete Service Bank AG. The profit for 2020 attributable to minority interests was equal to +€7 million. 23.1 Breakdown of item 340 "Minority gains (losses)" (€ million) 2021 2020 Consolidated equity investments with significant minority interests 20 6 Zagrebacka Banka D.D. 23 6 UniCredit Bank D.D. 7 6 UniCredit Bank Austria AG Sub-Group (10) (6) Other equity investments 10 1 Total 30 7 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 289 Section 22 - Profit (Loss) after tax from discontinued operations - Item 320 22.1 Profit (Loss) after tax from discontinued operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Income 24 8 2. Expenses (18) (3) 3. Valuation of discontinued operations and related liabilities (2) (1) 4. Profit (Loss) on disposal - 64 5. Tax - (19) Profit (Loss) 4 49 The item "Profit (Loss) after tax from discontinued operations" as at 31 December 2021, equal to €4 million, refers to the profit of the period of the company OT-Optima Telekom DD. As at 31 December 2020 the item included mainly the realized gain from sale of the company Arwag Holding-Aktiengesellshaft in the amount of €64 million. 22.2 Breakdown of tax on discontinued operations (€ million) YEAR 2021 YEAR 2020 1. Current taxes (-) - (21) 2. Changes in deferred tax assets (+/-) - - 3. Changes in deferred tax liabilities (+/-) - 2 4. Income tax (-1+/-2+/-3) - (19) Section 23 - Minority profit (loss) of the year - Item 340 The profit for 2021 attributable to minority interests is equal to +€30 million. The main contributions are attributable to the minority shareholders of Zagrebacka Banka D.D. and its subsidiary UniCredit Bank D.D. and UniCredit Bank Austria AG Sub-Group, mainly referring to the minority shareholders of DC Bank AG and Card Complete Service Bank AG. The profit for 2020 attributable to minority interests was equal to +€7 million. 23.1 Breakdown of item 340 "Minority gains (losses)" (€ million) 2021 2020 Consolidated equity investments with significant minority interests 20 6 Zagrebacka Banka D.D. 23 6 UniCredit Bank D.D. 7 6 UniCredit Bank Austria AG Sub-Group (10) (6) Other equity investments 10 1 Total 30 7 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 289 Section 22 - Profit (Loss) after tax from discontinued operations - Item 320 22.1 Profit (Loss) after tax from discontinued operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Income 24 8 2. Expenses (18) (3) 3. Valuation of discontinued operations and related liabilities (2) (1) 4. Profit (Loss) on disposal - 64 5. Tax - (19) Profit (Loss) 4 49 The item "Profit (Loss) after tax from discontinued operations" as at 31 December 2021, equal to €4 million, refers to the profit of the period of the company OT-Optima Telekom DD. As at 31 December 2020 the item included mainly the realized gain from sale of the company Arwag Holding-Aktiengesellshaft in the amount of €64 million. 22.2 Breakdown of tax on discontinued operations (€ million) YEAR 2021 YEAR 2020 1. Current taxes (-) - (21) 2. Changes in deferred tax assets (+/-) - - 3. Changes in deferred tax liabilities (+/-) - 2 4. Income tax (-1+/-2+/-3) - (19) Section 23 - Minority profit (loss) of the year - Item 340 The profit for 2021 attributable to minority interests is equal to +€30 million. The main contributions are attributable to the minority shareholders of Zagrebacka Banka D.D. and its subsidiary UniCredit Bank D.D. and UniCredit Bank Austria AG Sub-Group, mainly referring to the minority shareholders of DC Bank AG and Card Complete Service Bank AG. The profit for 2020 attributable to minority interests was equal to +€7 million. 23.1 Breakdown of item 340 "Minority gains (losses)" (€ million) 2021 2020 Consolidated equity investments with significant minority interests 20 6 Zagrebacka Banka D.D. 23 6 UniCredit Bank D.D. 7 6 UniCredit Bank Austria AG Sub-Group (10) (6) Other equity investments 10 1 Total 30 7 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 289 Section 22 - Profit (Loss) after tax from discontinued operations - Item 320 22.1 Profit (Loss) after tax from discontinued operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Income 24 8 2. Expenses (18) (3) 3. Valuation of discontinued operations and related liabilities (2) (1) 4. Profit (Loss) on disposal - 64 5. Tax - (19) Profit (Loss) 4 49 The item "Profit (Loss) after tax from discontinued operations" as at 31 December 2021, equal to €4 million, refers to the profit of the period of the company OT-Optima Telekom DD. As at 31 December 2020 the item included mainly the realized gain from sale of the company Arwag Holding-Aktiengesellshaft in the amount of €64 million. 22.2 Breakdown of tax on discontinued operations (€ million) YEAR 2021 YEAR 2020 1. Current taxes (-) - (21) 2. Changes in deferred tax assets (+/-) - - 3. Changes in deferred tax liabilities (+/-) - 2 4. Income tax (-1+/-2+/-3) - (19) Section 23 - Minority profit (loss) of the year - Item 340 The profit for 2021 attributable to minority interests is equal to +€30 million. The main contributions are attributable to the minority shareholders of Zagrebacka Banka D.D. and its subsidiary UniCredit Bank D.D. and UniCredit Bank Austria AG Sub-Group, mainly referring to the minority shareholders of DC Bank AG and Card Complete Service Bank AG. The profit for 2020 attributable to minority interests was equal to +€7 million. 23.1 Breakdown of item 340 "Minority gains (losses)" (€ million) 2021 2020 Consolidated equity investments with significant minority interests 20 6 Zagrebacka Banka D.D. 23 6 UniCredit Bank D.D. 7 6 UniCredit Bank Austria AG Sub-Group (10) (6) Other equity investments 10 1 Total 30 7 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 290 2021 Annual Report and Accounts · UniCredit Section 24 - Other information Disclosure regarding the transparency of public funding required by article 1, paragraph 125 of the Law 124/2017 Pursuant to Art.1, paragraph 125 of Law 124/2017, during 2021 the UniCredit group collected the following public contributions granted by Italian entities: Reduction of the extraordinary contribution pursuant to Art.1, paragraph 235 of Law 232 of 11 December 2016 charged to the management of welfare interventions and pension support (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.49 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. -0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.00 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 0.46 Contributions for the recruitment/stabilisation of personnel deriving from the application of the CCNL of the Credit in force from time to time (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 5.41 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT SERVICES S.C.P.A. 0.45 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT LEASING S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SIM S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT FACTORING S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT BANK AG (Milan Branch) 0.04 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UC LEASED ASSET MGMT SPA 0.00 Total 5.92 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 290 2021 Annual Report and Accounts · UniCredit Section 24 - Other information Disclosure regarding the transparency of public funding required by article 1, paragraph 125 of the Law 124/2017 Pursuant to Art.1, paragraph 125 of Law 124/2017, during 2021 the UniCredit group collected the following public contributions granted by Italian entities: Reduction of the extraordinary contribution pursuant to Art.1, paragraph 235 of Law 232 of 11 December 2016 charged to the management of welfare interventions and pension support (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.49 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. -0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.00 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 0.46 Contributions for the recruitment/stabilisation of personnel deriving from the application of the CCNL of the Credit in force from time to time (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 5.41 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT SERVICES S.C.P.A. 0.45 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT LEASING S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SIM S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT FACTORING S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT BANK AG (Milan Branch) 0.04 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UC LEASED ASSET MGMT SPA 0.00 Total 5.92 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 290 2021 Annual Report and Accounts · UniCredit Section 24 - Other information Disclosure regarding the transparency of public funding required by article 1, paragraph 125 of the Law 124/2017 Pursuant to Art.1, paragraph 125 of Law 124/2017, during 2021 the UniCredit group collected the following public contributions granted by Italian entities: Reduction of the extraordinary contribution pursuant to Art.1, paragraph 235 of Law 232 of 11 December 2016 charged to the management of welfare interventions and pension support (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.49 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. -0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.00 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 0.46 Contributions for the recruitment/stabilisation of personnel deriving from the application of the CCNL of the Credit in force from time to time (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 5.41 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT SERVICES S.C.P.A. 0.45 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT LEASING S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SIM S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT FACTORING S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT BANK AG (Milan Branch) 0.04 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UC LEASED ASSET MGMT SPA 0.00 Total 5.92 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 290 2021 Annual Report and Accounts · UniCredit Section 24 - Other information Disclosure regarding the transparency of public funding required by article 1, paragraph 125 of the Law 124/2017 Pursuant to Art.1, paragraph 125 of Law 124/2017, during 2021 the UniCredit group collected the following public contributions granted by Italian entities: Reduction of the extraordinary contribution pursuant to Art.1, paragraph 235 of Law 232 of 11 December 2016 charged to the management of welfare interventions and pension support (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.49 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. -0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.00 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 0.46 Contributions for the recruitment/stabilisation of personnel deriving from the application of the CCNL of the Credit in force from time to time (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 5.41 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT SERVICES S.C.P.A. 0.45 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT LEASING S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SIM S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT FACTORING S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT BANK AG (Milan Branch) 0.04 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UC LEASED ASSET MGMT SPA 0.00 Total 5.92 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 290 2021 Annual Report and Accounts · UniCredit Section 24 - Other information Disclosure regarding the transparency of public funding required by article 1, paragraph 125 of the Law 124/2017 Pursuant to Art.1, paragraph 125 of Law 124/2017, during 2021 the UniCredit group collected the following public contributions granted by Italian entities: Reduction of the extraordinary contribution pursuant to Art.1, paragraph 235 of Law 232 of 11 December 2016 charged to the management of welfare interventions and pension support (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.49 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. -0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.00 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 0.46 Contributions for the recruitment/stabilisation of personnel deriving from the application of the CCNL of the Credit in force from time to time (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 5.41 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT SERVICES S.C.P.A. 0.45 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT LEASING S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SIM S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT FACTORING S.P.A. 0.01 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT BANK AG (Milan Branch) 0.04 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UC LEASED ASSET MGMT SPA 0.00 Total 5.92 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 291 Contributions for new recruits/stabilisations, introduced by the stability law 2018 (law No.205/2017) (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.72 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.25 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.04 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 1.01 Article 8 of Legislative Decree 30/9/2005, n.203 converted, with modifications, from the law 2 December 2005, n.248. Compensatory measures for companies that assign the TFR to supplementary pension schemes and/or to the Fund for the payment of the TFR (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 8.36 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.58 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.10 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.13 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.05 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.01 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.14 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.01 Total 9.39 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 291 Contributions for new recruits/stabilisations, introduced by the stability law 2018 (law No.205/2017) (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.72 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.25 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.04 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 1.01 Article 8 of Legislative Decree 30/9/2005, n.203 converted, with modifications, from the law 2 December 2005, n.248. Compensatory measures for companies that assign the TFR to supplementary pension schemes and/or to the Fund for the payment of the TFR (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 8.36 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.58 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.10 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.13 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.05 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.01 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.14 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.01 Total 9.39 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 291 Contributions for new recruits/stabilisations, introduced by the stability law 2018 (law No.205/2017) (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.72 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.25 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.04 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 1.01 Article 8 of Legislative Decree 30/9/2005, n.203 converted, with modifications, from the law 2 December 2005, n.248. Compensatory measures for companies that assign the TFR to supplementary pension schemes and/or to the Fund for the payment of the TFR (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 8.36 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.58 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.10 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.13 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.05 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.01 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.14 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.01 Total 9.39 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 291 Contributions for new recruits/stabilisations, introduced by the stability law 2018 (law No.205/2017) (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.72 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.25 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.04 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 1.01 Article 8 of Legislative Decree 30/9/2005, n.203 converted, with modifications, from the law 2 December 2005, n.248. Compensatory measures for companies that assign the TFR to supplementary pension schemes and/or to the Fund for the payment of the TFR (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 8.36 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.58 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.10 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.13 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.05 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.01 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.14 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.01 Total 9.39 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 291 Contributions for new recruits/stabilisations, introduced by the stability law 2018 (law No.205/2017) (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.72 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.25 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.04 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 1.01 Article 8 of Legislative Decree 30/9/2005, n.203 converted, with modifications, from the law 2 December 2005, n.248. Compensatory measures for companies that assign the TFR to supplementary pension schemes and/or to the Fund for the payment of the TFR (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 8.36 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.58 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.10 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.13 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.05 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.01 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.14 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.01 Total 9.39 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 292 2021 Annual Report and Accounts · UniCredit Result awards decontribution for year 2020 - Decree 50 of 24/4/2017 - article 55; converted into law 96 of 21/6/2017 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 2.81 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.18 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.03 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.01 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.01 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 3.05 Ordinary Section of Solidarity Fund - Covid Absence - Decree Law 17 March 2020, n. 18 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 36.02 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.18 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.02 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.00 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.01 Total 36.29 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 292 2021 Annual Report and Accounts · UniCredit Result awards decontribution for year 2020 - Decree 50 of 24/4/2017 - article 55; converted into law 96 of 21/6/2017 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 2.81 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.18 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.03 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.01 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.01 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 3.05 Ordinary Section of Solidarity Fund - Covid Absence - Decree Law 17 March 2020, n. 18 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 36.02 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.18 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.02 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.00 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.01 Total 36.29 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 292 2021 Annual Report and Accounts · UniCredit Result awards decontribution for year 2020 - Decree 50 of 24/4/2017 - article 55; converted into law 96 of 21/6/2017 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 2.81 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.18 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.03 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.01 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.01 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 3.05 Ordinary Section of Solidarity Fund - Covid Absence - Decree Law 17 March 2020, n. 18 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 36.02 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.18 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.02 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.00 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.01 Total 36.29 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 292 2021 Annual Report and Accounts · UniCredit Result awards decontribution for year 2020 - Decree 50 of 24/4/2017 - article 55; converted into law 96 of 21/6/2017 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 2.81 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.18 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.03 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.01 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.01 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 3.05 Ordinary Section of Solidarity Fund - Covid Absence - Decree Law 17 March 2020, n. 18 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 36.02 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.18 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.02 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.00 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.01 Total 36.29 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement 292 2021 Annual Report and Accounts · UniCredit Result awards decontribution for year 2020 - Decree 50 of 24/4/2017 - article 55; converted into law 96 of 21/6/2017 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 2.81 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.18 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.03 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.01 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.00 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.01 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.00 Total 3.05 Ordinary Section of Solidarity Fund - Covid Absence - Decree Law 17 March 2020, n. 18 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 36.02 Istituto Nazionale della Previdenza Sociale UNICREDIT SERVICES S.C.P.A. 0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT LEASING S.P.A. 0.18 Istituto Nazionale della Previdenza Sociale CORDUSIO SIM S.P.A. 0.03 Istituto Nazionale della Previdenza Sociale UNICREDIT FACTORING S.P.A. 0.02 Istituto Nazionale della Previdenza Sociale CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Istituto Nazionale della Previdenza Sociale UNICREDIT BANK AG (Milan Branch) 0.00 Istituto Nazionale della Previdenza Sociale UC LEASED ASSET MGMT SPA 0.01 Total 36.29 Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 293 Contribitions to alternation of work-schooling (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 0.78 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT SERVICES S.C.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT LEASING S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SIM S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT FACTORING S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT BANK AG (Milan Branch) 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UC LEASED ASSET MGMT SPA 0.00 Total 0.78 For further information, refer to the National State Aid Register "Transparency”. Section 25 - Earnings per share 25.1 and 25.2 Average number of diluted shares and other information YEAR 2021 YEAR 2020 Net profit (Loss) attributable to the Group (€ million) 1,510 (2,907) Average number of outstanding shares 2,221,699,263 2,226,668,543 Average number of potential dilutive shares 14,329,935 12,861,551 Average number of diluted shares 2,236,029,199 2,239,530,094 Earnings per share (€) 0.680 (1.306) Diluted earnings per share (€) 0.675 (1.298) €30 million has been deducted from the 2021 net profit attributable to the Group of €1,540 million due to the cash-out (charged to net equity, which occurred in the first quarter of 2021 relating to the last payment referred to the results of the year 2019) connected to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for supporting the issuance of convertible securities denominated “Cashes” (€122 million was added to 2020 net loss attributable to the Group). Net of the average number of treasury shares, considering the shares buyback made during the Financial Year 2021 (part of them cancelled in October), and of further No.9,675,640 shares held under a contract of usufruct. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 293 Contribitions to alternation of work-schooling (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 0.78 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT SERVICES S.C.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT LEASING S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SIM S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT FACTORING S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT BANK AG (Milan Branch) 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UC LEASED ASSET MGMT SPA 0.00 Total 0.78 For further information, refer to the National State Aid Register "Transparency”. Section 25 - Earnings per share 25.1 and 25.2 Average number of diluted shares and other information YEAR 2021 YEAR 2020 Net profit (Loss) attributable to the Group (€ million) 1,510 (2,907) Average number of outstanding shares 2,221,699,263 2,226,668,543 Average number of potential dilutive shares 14,329,935 12,861,551 Average number of diluted shares 2,236,029,199 2,239,530,094 Earnings per share (€) 0.680 (1.306) Diluted earnings per share (€) 0.675 (1.298) €30 million has been deducted from the 2021 net profit attributable to the Group of €1,540 million due to the cash-out (charged to net equity, which occurred in the first quarter of 2021 relating to the last payment referred to the results of the year 2019) connected to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for supporting the issuance of convertible securities denominated “Cashes” (€122 million was added to 2020 net loss attributable to the Group). Net of the average number of treasury shares, considering the shares buyback made during the Financial Year 2021 (part of them cancelled in October), and of further No.9,675,640 shares held under a contract of usufruct. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 293 Contribitions to alternation of work-schooling (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 0.78 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT SERVICES S.C.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT LEASING S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SIM S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT FACTORING S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT BANK AG (Milan Branch) 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UC LEASED ASSET MGMT SPA 0.00 Total 0.78 For further information, refer to the National State Aid Register "Transparency”. Section 25 - Earnings per share 25.1 and 25.2 Average number of diluted shares and other information YEAR 2021 YEAR 2020 Net profit (Loss) attributable to the Group (€ million) 1,510 (2,907) Average number of outstanding shares 2,221,699,263 2,226,668,543 Average number of potential dilutive shares 14,329,935 12,861,551 Average number of diluted shares 2,236,029,199 2,239,530,094 Earnings per share (€) 0.680 (1.306) Diluted earnings per share (€) 0.675 (1.298) €30 million has been deducted from the 2021 net profit attributable to the Group of €1,540 million due to the cash-out (charged to net equity, which occurred in the first quarter of 2021 relating to the last payment referred to the results of the year 2019) connected to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for supporting the issuance of convertible securities denominated “Cashes” (€122 million was added to 2020 net loss attributable to the Group). Net of the average number of treasury shares, considering the shares buyback made during the Financial Year 2021 (part of them cancelled in October), and of further No.9,675,640 shares held under a contract of usufruct. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 293 Contribitions to alternation of work-schooling (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 0.78 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT SERVICES S.C.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT LEASING S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SIM S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT FACTORING S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT BANK AG (Milan Branch) 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UC LEASED ASSET MGMT SPA 0.00 Total 0.78 For further information, refer to the National State Aid Register "Transparency”. Section 25 - Earnings per share 25.1 and 25.2 Average number of diluted shares and other information YEAR 2021 YEAR 2020 Net profit (Loss) attributable to the Group (€ million) 1,510 (2,907) Average number of outstanding shares 2,221,699,263 2,226,668,543 Average number of potential dilutive shares 14,329,935 12,861,551 Average number of diluted shares 2,236,029,199 2,239,530,094 Earnings per share (€) 0.680 (1.306) Diluted earnings per share (€) 0.675 (1.298) €30 million has been deducted from the 2021 net profit attributable to the Group of €1,540 million due to the cash-out (charged to net equity, which occurred in the first quarter of 2021 relating to the last payment referred to the results of the year 2019) connected to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for supporting the issuance of convertible securities denominated “Cashes” (€122 million was added to 2020 net loss attributable to the Group). Net of the average number of treasury shares, considering the shares buyback made during the Financial Year 2021 (part of them cancelled in October), and of further No.9,675,640 shares held under a contract of usufruct. Consolidated financial statements | Notes to the consolidated accounts Part C - Consolidated income statement UniCredit · 2021 Annual Report and Accounts 293 Contribitions to alternation of work-schooling (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 0.78 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT SERVICES S.C.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT LEASING S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SIM S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT FACTORING S.P.A. 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT BANK AG (Milan Branch) 0.00 Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UC LEASED ASSET MGMT SPA 0.00 Total 0.78 For further information, refer to the National State Aid Register "Transparency”. Section 25 - Earnings per share 25.1 and 25.2 Average number of diluted shares and other information YEAR 2021 YEAR 2020 Net profit (Loss) attributable to the Group (€ million) 1,510 (2,907) Average number of outstanding shares 2,221,699,263 2,226,668,543 Average number of potential dilutive shares 14,329,935 12,861,551 Average number of diluted shares 2,236,029,199 2,239,530,094 Earnings per share (€) 0.680 (1.306) Diluted earnings per share (€) 0.675 (1.298) €30 million has been deducted from the 2021 net profit attributable to the Group of €1,540 million due to the cash-out (charged to net equity, which occurred in the first quarter of 2021 relating to the last payment referred to the results of the year 2019) connected to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for supporting the issuance of convertible securities denominated “Cashes” (€122 million was added to 2020 net loss attributable to the Group). Net of the average number of treasury shares, considering the shares buyback made during the Financial Year 2021 (part of them cancelled in October), and of further No.9,675,640 shares held under a contract of usufruct.  Consolidated financial statements | Notes to the consolidated accounts Part D - Consolidated other comprehensive income 294 2021 Annual Report and Accounts · UniCredit Part D - Consolidated comprehensive income Consolidated analytical statement of other comprehensive income (€ million) AS AT ITEMS 12.31.2021 12.31.2020 10. Profit (Loss) for the year 1,570 (2,778) Other comprehensive income not reclassified to profit or loss 20. Equity instruments designated at fair value through other comprehensive income: 145 (114) a) fair value changes 121 (93) b) tranfers to other shareholders' equity items 24 (21) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes): 39 (117) a) fair value changes (28) (173) b) tranfers to other shareholders' equity items 67 56 40. Hedge accounting of equity instruments measured at fair value through other comprehensive income: - - a) fair value change (hedged instrument) - - b) fair value change (hedging instrument) - - 50. Property, plant and equipment 123 51 60. Intangible assets - - 70. Defined benefit plans 270 (372) 80. Non-current assets and disposal groups classified as held for sale 6 (6) 90. Part of valuation reserves from investments valued at equity method 27 (6) 100. Tax expenses (income) relating to items not reclassified to profit or loss 41 102 Other comprehensive income reclassified to profit or loss 110. Foreign investments hedging: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 120. Foreign exchange differences: 287 (922) a) value changes 285 (923) b) reclassification to profit or loss 2 1 c) other changes - - 130. Cash flow hedging: (356) (67) a) fair value changes (360) (59) b) reclassification to profit or loss - 1 c) other changes 4 (9) of which: net position - - 140. Hedging instruments (non-designated items): - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 150. Financial assets (different from equity instruments) at fair value through other comprehensive income: (512) 199 a) fair value changes (341) 345 b) reclassification to profit or loss: (181) (126) - impairment losses 17 13 - gains/losses on disposals (198) (139) c) other changes 10 (20) 160. Non-current assets and disposal groups classified as held for sale: 1,585 668 a) fair value changes (34) - b) reclassification to profit or loss 1,619 668 c) other changes - - 170. Part of valuation reserves from investments valued at equity method: (1) 736 a) fair value changes (1) (144) b) reclassification to profit or loss: (8) 888 - impairment losses - - - gains/losses on disposals (8) 888 c) other changes 8 (8) 180. Tax expenses (income) relating to items reclassified to profit or loss 169 (54) 190. Total other comprehensive income 1,823 98 200. Other comprehensive income (Item 10+190) 3,393 (2,680) 210. Minority consolidated other comprehensive income (30) 2 220. Parent Company's consolidated other comprehensive income 3,363 (2,678) Consolidated financial statements | Notes to the consolidated accounts Part D - Consolidated other comprehensive income 294 2021 Annual Report and Accounts · UniCredit Part D - Consolidated comprehensive income Consolidated analytical statement of other comprehensive income (€ million) AS AT ITEMS 12.31.2021 12.31.2020 10. Profit (Loss) for the year 1,570 (2,778) Other comprehensive income not reclassified to profit or loss 20. Equity instruments designated at fair value through other comprehensive income: 145 (114) a) fair value changes 121 (93) b) tranfers to other shareholders' equity items 24 (21) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes): 39 (117) a) fair value changes (28) (173) b) tranfers to other shareholders' equity items 67 56 40. Hedge accounting of equity instruments measured at fair value through other comprehensive income: - - a) fair value change (hedged instrument) - - b) fair value change (hedging instrument) - - 50. Property, plant and equipment 123 51 60. Intangible assets - - 70. Defined benefit plans 270 (372) 80. Non-current assets and disposal groups classified as held for sale 6 (6) 90. Part of valuation reserves from investments valued at equity method 27 (6) 100. Tax expenses (income) relating to items not reclassified to profit or loss 41 102 Other comprehensive income reclassified to profit or loss 110. Foreign investments hedging: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 120. Foreign exchange differences: 287 (922) a) value changes 285 (923) b) reclassification to profit or loss 2 1 c) other changes - - 130. Cash flow hedging: (356) (67) a) fair value changes (360) (59) b) reclassification to profit or loss - 1 c) other changes 4 (9) of which: net position - - 140. Hedging instruments (non-designated items): - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 150. Financial assets (different from equity instruments) at fair value through other comprehensive income: (512) 199 a) fair value changes (341) 345 b) reclassification to profit or loss: (181) (126) - impairment losses 17 13 - gains/losses on disposals (198) (139) c) other changes 10 (20) 160. Non-current assets and disposal groups classified as held for sale: 1,585 668 a) fair value changes (34) - b) reclassification to profit or loss 1,619 668 c) other changes - - 170. Part of valuation reserves from investments valued at equity method: (1) 736 a) fair value changes (1) (144) b) reclassification to profit or loss: (8) 888 - impairment losses - - - gains/losses on disposals (8) 888 c) other changes 8 (8) 180. Tax expenses (income) relating to items reclassified to profit or loss 169 (54) 190. Total other comprehensive income 1,823 98 200. Other comprehensive income (Item 10+190) 3,393 (2,680) 210. Minority consolidated other comprehensive income (30) 2 220. Parent Company's consolidated other comprehensive income 3,363 (2,678) Consolidated financial statements | Notes to the consolidated accounts Part D - Consolidated other comprehensive income 294 2021 Annual Report and Accounts · UniCredit Part D - Consolidated comprehensive income Consolidated analytical statement of other comprehensive income (€ million) AS AT ITEMS 12.31.2021 12.31.2020 10. Profit (Loss) for the year 1,570 (2,778) Other comprehensive income not reclassified to profit or loss 20. Equity instruments designated at fair value through other comprehensive income: 145 (114) a) fair value changes 121 (93) b) tranfers to other shareholders' equity items 24 (21) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes): 39 (117) a) fair value changes (28) (173) b) tranfers to other shareholders' equity items 67 56 40. Hedge accounting of equity instruments measured at fair value through other comprehensive income: - - a) fair value change (hedged instrument) - - b) fair value change (hedging instrument) - - 50. Property, plant and equipment 123 51 60. Intangible assets - - 70. Defined benefit plans 270 (372) 80. Non-current assets and disposal groups classified as held for sale 6 (6) 90. Part of valuation reserves from investments valued at equity method 27 (6) 100. Tax expenses (income) relating to items not reclassified to profit or loss 41 102 Other comprehensive income reclassified to profit or loss 110. Foreign investments hedging: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 120. Foreign exchange differences: 287 (922) a) value changes 285 (923) b) reclassification to profit or loss 2 1 c) other changes - - 130. Cash flow hedging: (356) (67) a) fair value changes (360) (59) b) reclassification to profit or loss - 1 c) other changes 4 (9) of which: net position - - 140. Hedging instruments (non-designated items): - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 150. Financial assets (different from equity instruments) at fair value through other comprehensive income: (512) 199 a) fair value changes (341) 345 b) reclassification to profit or loss: (181) (126) - impairment losses 17 13 - gains/losses on disposals (198) (139) c) other changes 10 (20) 160. Non-current assets and disposal groups classified as held for sale: 1,585 668 a) fair value changes (34) - b) reclassification to profit or loss 1,619 668 c) other changes - - 170. Part of valuation reserves from investments valued at equity method: (1) 736 a) fair value changes (1) (144) b) reclassification to profit or loss: (8) 888 - impairment losses - - - gains/losses on disposals (8) 888 c) other changes 8 (8) 180. Tax expenses (income) relating to items reclassified to profit or loss 169 (54) 190. Total other comprehensive income 1,823 98 200. Other comprehensive income (Item 10+190) 3,393 (2,680) 210. Minority consolidated other comprehensive income (30) 2 220. Parent Company's consolidated other comprehensive income 3,363 (2,678) Consolidated financial statements | Notes to the consolidated accounts Part D - Consolidated other comprehensive income 294 2021 Annual Report and Accounts · UniCredit Part D - Consolidated comprehensive income Consolidated analytical statement of other comprehensive income (€ million) AS AT ITEMS 12.31.2021 12.31.2020 10. Profit (Loss) for the year 1,570 (2,778) Other comprehensive income not reclassified to profit or loss 20. Equity instruments designated at fair value through other comprehensive income: 145 (114) a) fair value changes 121 (93) b) tranfers to other shareholders' equity items 24 (21) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes): 39 (117) a) fair value changes (28) (173) b) tranfers to other shareholders' equity items 67 56 40. Hedge accounting of equity instruments measured at fair value through other comprehensive income: - - a) fair value change (hedged instrument) - - b) fair value change (hedging instrument) - - 50. Property, plant and equipment 123 51 60. Intangible assets - - 70. Defined benefit plans 270 (372) 80. Non-current assets and disposal groups classified as held for sale 6 (6) 90. Part of valuation reserves from investments valued at equity method 27 (6) 100. Tax expenses (income) relating to items not reclassified to profit or loss 41 102 Other comprehensive income reclassified to profit or loss 110. Foreign investments hedging: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 120. Foreign exchange differences: 287 (922) a) value changes 285 (923) b) reclassification to profit or loss 2 1 c) other changes - - 130. Cash flow hedging: (356) (67) a) fair value changes (360) (59) b) reclassification to profit or loss - 1 c) other changes 4 (9) of which: net position - - 140. Hedging instruments (non-designated items): - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 150. Financial assets (different from equity instruments) at fair value through other comprehensive income: (512) 199 a) fair value changes (341) 345 b) reclassification to profit or loss: (181) (126) - impairment losses 17 13 - gains/losses on disposals (198) (139) c) other changes 10 (20) 160. Non-current assets and disposal groups classified as held for sale: 1,585 668 a) fair value changes (34) - b) reclassification to profit or loss 1,619 668 c) other changes - - 170. Part of valuation reserves from investments valued at equity method: (1) 736 a) fair value changes (1) (144) b) reclassification to profit or loss: (8) 888 - impairment losses - - - gains/losses on disposals (8) 888 c) other changes 8 (8) 180. Tax expenses (income) relating to items reclassified to profit or loss 169 (54) 190. Total other comprehensive income 1,823 98 200. Other comprehensive income (Item 10+190) 3,393 (2,680) 210. Minority consolidated other comprehensive income (30) 2 220. Parent Company's consolidated other comprehensive income 3,363 (2,678) Consolidated financial statements | Notes to the consolidated accounts Part D - Consolidated other comprehensive income 294 2021 Annual Report and Accounts · UniCredit Part D - Consolidated comprehensive income Consolidated analytical statement of other comprehensive income (€ million) AS AT ITEMS 12.31.2021 12.31.2020 10. Profit (Loss) for the year 1,570 (2,778) Other comprehensive income not reclassified to profit or loss 20. Equity instruments designated at fair value through other comprehensive income: 145 (114) a) fair value changes 121 (93) b) tranfers to other shareholders' equity items 24 (21) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes): 39 (117) a) fair value changes (28) (173) b) tranfers to other shareholders' equity items 67 56 40. Hedge accounting of equity instruments measured at fair value through other comprehensive income: - - a) fair value change (hedged instrument) - - b) fair value change (hedging instrument) - - 50. Property, plant and equipment 123 51 60. Intangible assets - - 70. Defined benefit plans 270 (372) 80. Non-current assets and disposal groups classified as held for sale 6 (6) 90. Part of valuation reserves from investments valued at equity method 27 (6) 100. Tax expenses (income) relating to items not reclassified to profit or loss 41 102 Other comprehensive income reclassified to profit or loss 110. Foreign investments hedging: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 120. Foreign exchange differences: 287 (922) a) value changes 285 (923) b) reclassification to profit or loss 2 1 c) other changes - - 130. Cash flow hedging: (356) (67) a) fair value changes (360) (59) b) reclassification to profit or loss - 1 c) other changes 4 (9) of which: net position - - 140. Hedging instruments (non-designated items): - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 150. Financial assets (different from equity instruments) at fair value through other comprehensive income: (512) 199 a) fair value changes (341) 345 b) reclassification to profit or loss: (181) (126) - impairment losses 17 13 - gains/losses on disposals (198) (139) c) other changes 10 (20) 160. Non-current assets and disposal groups classified as held for sale: 1,585 668 a) fair value changes (34) - b) reclassification to profit or loss 1,619 668 c) other changes - - 170. Part of valuation reserves from investments valued at equity method: (1) 736 a) fair value changes (1) (144) b) reclassification to profit or loss: (8) 888 - impairment losses - - - gains/losses on disposals (8) 888 c) other changes 8 (8) 180. Tax expenses (income) relating to items reclassified to profit or loss 169 (54) 190. Total other comprehensive income 1,823 98 200. Other comprehensive income (Item 10+190) 3,393 (2,680) 210. Minority consolidated other comprehensive income (30) 2 220. Parent Company's consolidated other comprehensive income 3,363 (2,678) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 295 Part E - Information on risks and hedging policies Introduction UniCredit group monitors and manages its risks through tight methodologies and procedures proving to be effective through all phases of the economic cycle. The steering, coordination and control role of the Group’s risks is performed by the Parent Company’s Risk Management function. The structure’s “Risk Management” mission, under the responsibility of the Group Risk Officer (Group CRO) is to: • optimise the quality of the Group's assets, minimising the risk cost in accordance with the risk/profitability goals set for the business areas; • ensure the strategic steering and definition of the Group's risk management policies; • define and supply the Heads of the Business Functions and Entities with the criteria for assessing, managing, measuring, monitoring and communicating risk. It also ensures that the procedures and systems designed to control risk at Group and individual Entity level are coherent; • help to build a risk culture across the Group by training and developing highly qualified staff, in conjunction with the competent People & Culture functions; • help to find ways to rectify asset imbalances, where needed in conjunction with Group CFO; • help the Business Functions to achieve their goals, including by assisting in the development of products and businesses (e.g. innovation of credit products, competitive opportunities linked to Basel accords, etc.); • support the CEO in defining the Group Risk Appetite proposal, to be shared in the Group Risk Committee and submitted for approval to the Board of Directors, as preliminary and preparatory step for the yearly and multi-yearly budget plan pertaining to the Group CFO. The Group Risk Appetite will include a series of parameters defined by the CRO, with the contribution of Group CFO and other relevant functions; each parameter can be complemented by limits and thresholds proposed by the CRO31 and targets proposed by the Group CFO and/or by the relevant Group functions, each respecting their mission and internal regulations. The Group CRO is responsible for ensuring the overall coherence of the proposed parameters and values. Furthermore, Group CRO is responsible for ensuring the CEO and the Board of Directors the coherence of the Group Risk Appetite with the Group strategic guidelines, as well as the coherence of the budget goals with the Group Risk Appetite setting and the periodical monitoring of the RAF. Group CFO remains responsible for monitoring the performances of the Group and of the business functions, in order to identify possible underperforming areas and the related corrective measures; • supporting the Chief Executive Officer in the management and supervision of Internal Control System (“ICS”), in particular promoting and monitoring the initiatives impacting the overall Internal Control System. Such mission is accomplished by coordinating the Group's risk management as a whole. More specifically, it involves carrying out the following macro-functions32: • governing and checking credit, cross-border, market, balance sheet, liquidity, operational and reputational risk for the Group as well as any other risks relating to Basel II Pillar II (e.g. strategic, real estate, financial investment, business risks), by defining risk strategies and limits, developing risk measurement methodologies33, performing stress tests and portfolio analysis; • supervising, on a Group level and for UniCredit S.p.A., Basel accords related activities; • coordinating the internal capital measurement process within the “Internal Capital Adequacy Assessment Process” (“ICAAP”) and coordinating activities for drawing up the “ICAAP Regulatory Report”; • performing internal validation activities, at Group level34, on systems for measuring, credit, operating and market risks, or Pillar II risks35 on related processes and data quality and IT components, as well as on models for pricing financial instruments, in order to check that they conform to regulatory requirements and in-house standards, overseeing consequently the non-compliance risk regarding to such regulatory requirements; • ensuring that the competent Bodies/Functions get adequate reports; • developing the strategy and oversee the management, process, targets and disposals of Non-Performing Exposures/NPE, repossessed assets and any other distressed assets for the entire Group36. The Group CRO define the criteria/rules for identifying the exposures and assets for sale and portfolio targets; • drafting and managing risk policies, both at Group level (Group Rules) and at Parent Company level, on the performance of risk-related activities for which UniCredit S.p.A. is competent as well as ensuring the monitoring; • performing second-level checks on the risks of the treasury and credit treasury portfolios within the Group and the Parent company; • assigning ratings for banks and for the Group's major exposures, carrying out the relevant mapping, at Group level, and managing the "rating override" process with regard to Group-wide rating systems as well as those for measuring the credit risk of UniCredit S.p.A.’s counterparts; 31 Possible triggers and limits on profitability parameters must be agreed between CRO and Group CFO. 32 Where applicable, the below listed responsibilities are inclusive of the Foreign Branches of UniCredit S.p.A., as detailed in the Organizational Book - Application. 33 Directly or by issuing guidelines to Group Entities to be developed depending on type of methodology (direct supervision of Group-wide methodologies and risk measurement methodologies for the counterparties of UniCredit S.p.A., through guidelines on methodologies developed locally. 34 Directly validating with direct supervision on group-wide methodologies for which UniCredit S.p.A. is competent, indirect on local methodologies. 35 Liquidity, Business, Real Estate, Financial Investments, Reputational, Strategic. 36 “Non-Performing Exposure: exposures (loans, debt securities, off-balance-sheet items) other than held for trading that satisfy either or both of the following criteria: (a) material exposures which are more than 90 days past-due; (b) the debtor is assessed as unlikely to pay its credit obligations in full without realization of collateral, regardless of the existence of any past-due amount or the number of days past due. Non-performing exposures include the defaulted and impaired exposures. The total NPE is given by the sum of non-performing loans, non-performing loans, non-performing debt securities and nonperforming off-balance-sheet items” (source: ECB NPL Guidance). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 295 Part E - Information on risks and hedging policies Introduction UniCredit group monitors and manages its risks through tight methodologies and procedures proving to be effective through all phases of the economic cycle. The steering, coordination and control role of the Group’s risks is performed by the Parent Company’s Risk Management function. The structure’s “Risk Management” mission, under the responsibility of the Group Risk Officer (Group CRO) is to: • optimise the quality of the Group's assets, minimising the risk cost in accordance with the risk/profitability goals set for the business areas; • ensure the strategic steering and definition of the Group's risk management policies; • define and supply the Heads of the Business Functions and Entities with the criteria for assessing, managing, measuring, monitoring and communicating risk. It also ensures that the procedures and systems designed to control risk at Group and individual Entity level are coherent; • help to build a risk culture across the Group by training and developing highly qualified staff, in conjunction with the competent People & Culture functions; • help to find ways to rectify asset imbalances, where needed in conjunction with Group CFO; • help the Business Functions to achieve their goals, including by assisting in the development of products and businesses (e.g. innovation of credit products, competitive opportunities linked to Basel accords, etc.); • support the CEO in defining the Group Risk Appetite proposal, to be shared in the Group Risk Committee and submitted for approval to the Board of Directors, as preliminary and preparatory step for the yearly and multi-yearly budget plan pertaining to the Group CFO. The Group Risk Appetite will include a series of parameters defined by the CRO, with the contribution of Group CFO and other relevant functions; each parameter can be complemented by limits and thresholds proposed by the CRO31 and targets proposed by the Group CFO and/or by the relevant Group functions, each respecting their mission and internal regulations. The Group CRO is responsible for ensuring the overall coherence of the proposed parameters and values. Furthermore, Group CRO is responsible for ensuring the CEO and the Board of Directors the coherence of the Group Risk Appetite with the Group strategic guidelines, as well as the coherence of the budget goals with the Group Risk Appetite setting and the periodical monitoring of the RAF. Group CFO remains responsible for monitoring the performances of the Group and of the business functions, in order to identify possible underperforming areas and the related corrective measures; • supporting the Chief Executive Officer in the management and supervision of Internal Control System (“ICS”), in particular promoting and monitoring the initiatives impacting the overall Internal Control System. Such mission is accomplished by coordinating the Group's risk management as a whole. More specifically, it involves carrying out the following macro-functions32: • governing and checking credit, cross-border, market, balance sheet, liquidity, operational and reputational risk for the Group as well as any other risks relating to Basel II Pillar II (e.g. strategic, real estate, financial investment, business risks), by defining risk strategies and limits, developing risk measurement methodologies33, performing stress tests and portfolio analysis; • supervising, on a Group level and for UniCredit S.p.A., Basel accords related activities; • coordinating the internal capital measurement process within the “Internal Capital Adequacy Assessment Process” (“ICAAP”) and coordinating activities for drawing up the “ICAAP Regulatory Report”; • performing internal validation activities, at Group level34, on systems for measuring, credit, operating and market risks, or Pillar II risks35 on related processes and data quality and IT components, as well as on models for pricing financial instruments, in order to check that they conform to regulatory requirements and in-house standards, overseeing consequently the non-compliance risk regarding to such regulatory requirements; • ensuring that the competent Bodies/Functions get adequate reports; • developing the strategy and oversee the management, process, targets and disposals of Non-Performing Exposures/NPE, repossessed assets and any other distressed assets for the entire Group36. The Group CRO define the criteria/rules for identifying the exposures and assets for sale and portfolio targets; • drafting and managing risk policies, both at Group level (Group Rules) and at Parent Company level, on the performance of risk-related activities for which UniCredit S.p.A. is competent as well as ensuring the monitoring; • performing second-level checks on the risks of the treasury and credit treasury portfolios within the Group and the Parent company; • assigning ratings for banks and for the Group's major exposures, carrying out the relevant mapping, at Group level, and managing the "rating override" process with regard to Group-wide rating systems as well as those for measuring the credit risk of UniCredit S.p.A.’s counterparts; 31 Possible triggers and limits on profitability parameters must be agreed between CRO and Group CFO. 32 Where applicable, the below listed responsibilities are inclusive of the Foreign Branches of UniCredit S.p.A., as detailed in the Organizational Book - Application. 33 Directly or by issuing guidelines to Group Entities to be developed depending on type of methodology (direct supervision of Group-wide methodologies and risk measurement methodologies for the counterparties of UniCredit S.p.A., through guidelines on methodologies developed locally. 34 Directly validating with direct supervision on group-wide methodologies for which UniCredit S.p.A. is competent, indirect on local methodologies. 35 Liquidity, Business, Real Estate, Financial Investments, Reputational, Strategic. 36 “Non-Performing Exposure: exposures (loans, debt securities, off-balance-sheet items) other than held for trading that satisfy either or both of the following criteria: (a) material exposures which are more than 90 days past-due; (b) the debtor is assessed as unlikely to pay its credit obligations in full without realization of collateral, regardless of the existence of any past-due amount or the number of days past due. Non-performing exposures include the defaulted and impaired exposures. The total NPE is given by the sum of non-performing loans, non-performing loans, non-performing debt securities and nonperforming off-balance-sheet items” (source: ECB NPL Guidance). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 295 Part E - Information on risks and hedging policies Introduction UniCredit group monitors and manages its risks through tight methodologies and procedures proving to be effective through all phases of the economic cycle. The steering, coordination and control role of the Group’s risks is performed by the Parent Company’s Risk Management function. The structure’s “Risk Management” mission, under the responsibility of the Group Risk Officer (Group CRO) is to: • optimise the quality of the Group's assets, minimising the risk cost in accordance with the risk/profitability goals set for the business areas; • ensure the strategic steering and definition of the Group's risk management policies; • define and supply the Heads of the Business Functions and Entities with the criteria for assessing, managing, measuring, monitoring and communicating risk. It also ensures that the procedures and systems designed to control risk at Group and individual Entity level are coherent; • help to build a risk culture across the Group by training and developing highly qualified staff, in conjunction with the competent People & Culture functions; • help to find ways to rectify asset imbalances, where needed in conjunction with Group CFO; • help the Business Functions to achieve their goals, including by assisting in the development of products and businesses (e.g. innovation of credit products, competitive opportunities linked to Basel accords, etc.); • support the CEO in defining the Group Risk Appetite proposal, to be shared in the Group Risk Committee and submitted for approval to the Board of Directors, as preliminary and preparatory step for the yearly and multi-yearly budget plan pertaining to the Group CFO. The Group Risk Appetite will include a series of parameters defined by the CRO, with the contribution of Group CFO and other relevant functions; each parameter can be complemented by limits and thresholds proposed by the CRO31 and targets proposed by the Group CFO and/or by the relevant Group functions, each respecting their mission and internal regulations. The Group CRO is responsible for ensuring the overall coherence of the proposed parameters and values. Furthermore, Group CRO is responsible for ensuring the CEO and the Board of Directors the coherence of the Group Risk Appetite with the Group strategic guidelines, as well as the coherence of the budget goals with the Group Risk Appetite setting and the periodical monitoring of the RAF. Group CFO remains responsible for monitoring the performances of the Group and of the business functions, in order to identify possible underperforming areas and the related corrective measures; • supporting the Chief Executive Officer in the management and supervision of Internal Control System (“ICS”), in particular promoting and monitoring the initiatives impacting the overall Internal Control System. Such mission is accomplished by coordinating the Group's risk management as a whole. More specifically, it involves carrying out the following macro-functions32: • governing and checking credit, cross-border, market, balance sheet, liquidity, operational and reputational risk for the Group as well as any other risks relating to Basel II Pillar II (e.g. strategic, real estate, financial investment, business risks), by defining risk strategies and limits, developing risk measurement methodologies33, performing stress tests and portfolio analysis; • supervising, on a Group level and for UniCredit S.p.A., Basel accords related activities; • coordinating the internal capital measurement process within the “Internal Capital Adequacy Assessment Process” (“ICAAP”) and coordinating activities for drawing up the “ICAAP Regulatory Report”; • performing internal validation activities, at Group level34, on systems for measuring, credit, operating and market risks, or Pillar II risks35 on related processes and data quality and IT components, as well as on models for pricing financial instruments, in order to check that they conform to regulatory requirements and in-house standards, overseeing consequently the non-compliance risk regarding to such regulatory requirements; • ensuring that the competent Bodies/Functions get adequate reports; • developing the strategy and oversee the management, process, targets and disposals of Non-Performing Exposures/NPE, repossessed assets and any other distressed assets for the entire Group36. The Group CRO define the criteria/rules for identifying the exposures and assets for sale and portfolio targets; • drafting and managing risk policies, both at Group level (Group Rules) and at Parent Company level, on the performance of risk-related activities for which UniCredit S.p.A. is competent as well as ensuring the monitoring; • performing second-level checks on the risks of the treasury and credit treasury portfolios within the Group and the Parent company; • assigning ratings for banks and for the Group's major exposures, carrying out the relevant mapping, at Group level, and managing the "rating override" process with regard to Group-wide rating systems as well as those for measuring the credit risk of UniCredit S.p.A.’s counterparts; 31 Possible triggers and limits on profitability parameters must be agreed between CRO and Group CFO. 32 Where applicable, the below listed responsibilities are inclusive of the Foreign Branches of UniCredit S.p.A., as detailed in the Organizational Book - Application. 33 Directly or by issuing guidelines to Group Entities to be developed depending on type of methodology (direct supervision of Group-wide methodologies and risk measurement methodologies for the counterparties of UniCredit S.p.A., through guidelines on methodologies developed locally. 34 Directly validating with direct supervision on group-wide methodologies for which UniCredit S.p.A. is competent, indirect on local methodologies. 35 Liquidity, Business, Real Estate, Financial Investments, Reputational, Strategic. 36 “Non-Performing Exposure: exposures (loans, debt securities, off-balance-sheet items) other than held for trading that satisfy either or both of the following criteria: (a) material exposures which are more than 90 days past-due; (b) the debtor is assessed as unlikely to pay its credit obligations in full without realization of collateral, regardless of the existence of any past-due amount or the number of days past due. Non-performing exposures include the defaulted and impaired exposures. The total NPE is given by the sum of non-performing loans, non-performing loans, non-performing debt securities and nonperforming off-balance-sheet items” (source: ECB NPL Guidance). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 295 Part E - Information on risks and hedging policies Introduction UniCredit group monitors and manages its risks through tight methodologies and procedures proving to be effective through all phases of the economic cycle. The steering, coordination and control role of the Group’s risks is performed by the Parent Company’s Risk Management function. The structure’s “Risk Management” mission, under the responsibility of the Group Risk Officer (Group CRO) is to: • optimise the quality of the Group's assets, minimising the risk cost in accordance with the risk/profitability goals set for the business areas; • ensure the strategic steering and definition of the Group's risk management policies; • define and supply the Heads of the Business Functions and Entities with the criteria for assessing, managing, measuring, monitoring and communicating risk. It also ensures that the procedures and systems designed to control risk at Group and individual Entity level are coherent; • help to build a risk culture across the Group by training and developing highly qualified staff, in conjunction with the competent People & Culture functions; • help to find ways to rectify asset imbalances, where needed in conjunction with Group CFO; • help the Business Functions to achieve their goals, including by assisting in the development of products and businesses (e.g. innovation of credit products, competitive opportunities linked to Basel accords, etc.); • support the CEO in defining the Group Risk Appetite proposal, to be shared in the Group Risk Committee and submitted for approval to the Board of Directors, as preliminary and preparatory step for the yearly and multi-yearly budget plan pertaining to the Group CFO. The Group Risk Appetite will include a series of parameters defined by the CRO, with the contribution of Group CFO and other relevant functions; each parameter can be complemented by limits and thresholds proposed by the CRO31 and targets proposed by the Group CFO and/or by the relevant Group functions, each respecting their mission and internal regulations. The Group CRO is responsible for ensuring the overall coherence of the proposed parameters and values. Furthermore, Group CRO is responsible for ensuring the CEO and the Board of Directors the coherence of the Group Risk Appetite with the Group strategic guidelines, as well as the coherence of the budget goals with the Group Risk Appetite setting and the periodical monitoring of the RAF. Group CFO remains responsible for monitoring the performances of the Group and of the business functions, in order to identify possible underperforming areas and the related corrective measures; • supporting the Chief Executive Officer in the management and supervision of Internal Control System (“ICS”), in particular promoting and monitoring the initiatives impacting the overall Internal Control System. Such mission is accomplished by coordinating the Group's risk management as a whole. More specifically, it involves carrying out the following macro-functions32: • governing and checking credit, cross-border, market, balance sheet, liquidity, operational and reputational risk for the Group as well as any other risks relating to Basel II Pillar II (e.g. strategic, real estate, financial investment, business risks), by defining risk strategies and limits, developing risk measurement methodologies33, performing stress tests and portfolio analysis; • supervising, on a Group level and for UniCredit S.p.A., Basel accords related activities; • coordinating the internal capital measurement process within the “Internal Capital Adequacy Assessment Process” (“ICAAP”) and coordinating activities for drawing up the “ICAAP Regulatory Report”; • performing internal validation activities, at Group level34, on systems for measuring, credit, operating and market risks, or Pillar II risks35 on related processes and data quality and IT components, as well as on models for pricing financial instruments, in order to check that they conform to regulatory requirements and in-house standards, overseeing consequently the non-compliance risk regarding to such regulatory requirements; • ensuring that the competent Bodies/Functions get adequate reports; • developing the strategy and oversee the management, process, targets and disposals of Non-Performing Exposures/NPE, repossessed assets and any other distressed assets for the entire Group36. The Group CRO define the criteria/rules for identifying the exposures and assets for sale and portfolio targets; • drafting and managing risk policies, both at Group level (Group Rules) and at Parent Company level, on the performance of risk-related activities for which UniCredit S.p.A. is competent as well as ensuring the monitoring; • performing second-level checks on the risks of the treasury and credit treasury portfolios within the Group and the Parent company; • assigning ratings for banks and for the Group's major exposures, carrying out the relevant mapping, at Group level, and managing the "rating override" process with regard to Group-wide rating systems as well as those for measuring the credit risk of UniCredit S.p.A.’s counterparts; 31 Possible triggers and limits on profitability parameters must be agreed between CRO and Group CFO. 32 Where applicable, the below listed responsibilities are inclusive of the Foreign Branches of UniCredit S.p.A., as detailed in the Organizational Book - Application. 33 Directly or by issuing guidelines to Group Entities to be developed depending on type of methodology (direct supervision of Group-wide methodologies and risk measurement methodologies for the counterparties of UniCredit S.p.A., through guidelines on methodologies developed locally. 34 Directly validating with direct supervision on group-wide methodologies for which UniCredit S.p.A. is competent, indirect on local methodologies. 35 Liquidity, Business, Real Estate, Financial Investments, Reputational, Strategic. 36 “Non-Performing Exposure: exposures (loans, debt securities, off-balance-sheet items) other than held for trading that satisfy either or both of the following criteria: (a) material exposures which are more than 90 days past-due; (b) the debtor is assessed as unlikely to pay its credit obligations in full without realization of collateral, regardless of the existence of any past-due amount or the number of days past due. Non-performing exposures include the defaulted and impaired exposures. The total NPE is given by the sum of non-performing loans, non-performing loans, non-performing debt securities and nonperforming off-balance-sheet items” (source: ECB NPL Guidance). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 295 Part E - Information on risks and hedging policies Introduction UniCredit group monitors and manages its risks through tight methodologies and procedures proving to be effective through all phases of the economic cycle. The steering, coordination and control role of the Group’s risks is performed by the Parent Company’s Risk Management function. The structure’s “Risk Management” mission, under the responsibility of the Group Risk Officer (Group CRO) is to: • optimise the quality of the Group's assets, minimising the risk cost in accordance with the risk/profitability goals set for the business areas; • ensure the strategic steering and definition of the Group's risk management policies; • define and supply the Heads of the Business Functions and Entities with the criteria for assessing, managing, measuring, monitoring and communicating risk. It also ensures that the procedures and systems designed to control risk at Group and individual Entity level are coherent; • help to build a risk culture across the Group by training and developing highly qualified staff, in conjunction with the competent People & Culture functions; • help to find ways to rectify asset imbalances, where needed in conjunction with Group CFO; • help the Business Functions to achieve their goals, including by assisting in the development of products and businesses (e.g. innovation of credit products, competitive opportunities linked to Basel accords, etc.); • support the CEO in defining the Group Risk Appetite proposal, to be shared in the Group Risk Committee and submitted for approval to the Board of Directors, as preliminary and preparatory step for the yearly and multi-yearly budget plan pertaining to the Group CFO. The Group Risk Appetite will include a series of parameters defined by the CRO, with the contribution of Group CFO and other relevant functions; each parameter can be complemented by limits and thresholds proposed by the CRO31 and targets proposed by the Group CFO and/or by the relevant Group functions, each respecting their mission and internal regulations. The Group CRO is responsible for ensuring the overall coherence of the proposed parameters and values. Furthermore, Group CRO is responsible for ensuring the CEO and the Board of Directors the coherence of the Group Risk Appetite with the Group strategic guidelines, as well as the coherence of the budget goals with the Group Risk Appetite setting and the periodical monitoring of the RAF. Group CFO remains responsible for monitoring the performances of the Group and of the business functions, in order to identify possible underperforming areas and the related corrective measures; • supporting the Chief Executive Officer in the management and supervision of Internal Control System (“ICS”), in particular promoting and monitoring the initiatives impacting the overall Internal Control System. Such mission is accomplished by coordinating the Group's risk management as a whole. More specifically, it involves carrying out the following macro-functions32: • governing and checking credit, cross-border, market, balance sheet, liquidity, operational and reputational risk for the Group as well as any other risks relating to Basel II Pillar II (e.g. strategic, real estate, financial investment, business risks), by defining risk strategies and limits, developing risk measurement methodologies33, performing stress tests and portfolio analysis; • supervising, on a Group level and for UniCredit S.p.A., Basel accords related activities; • coordinating the internal capital measurement process within the “Internal Capital Adequacy Assessment Process” (“ICAAP”) and coordinating activities for drawing up the “ICAAP Regulatory Report”; • performing internal validation activities, at Group level34, on systems for measuring, credit, operating and market risks, or Pillar II risks35 on related processes and data quality and IT components, as well as on models for pricing financial instruments, in order to check that they conform to regulatory requirements and in-house standards, overseeing consequently the non-compliance risk regarding to such regulatory requirements; • ensuring that the competent Bodies/Functions get adequate reports; • developing the strategy and oversee the management, process, targets and disposals of Non-Performing Exposures/NPE, repossessed assets and any other distressed assets for the entire Group36. The Group CRO define the criteria/rules for identifying the exposures and assets for sale and portfolio targets; • drafting and managing risk policies, both at Group level (Group Rules) and at Parent Company level, on the performance of risk-related activities for which UniCredit S.p.A. is competent as well as ensuring the monitoring; • performing second-level checks on the risks of the treasury and credit treasury portfolios within the Group and the Parent company; • assigning ratings for banks and for the Group's major exposures, carrying out the relevant mapping, at Group level, and managing the "rating override" process with regard to Group-wide rating systems as well as those for measuring the credit risk of UniCredit S.p.A.’s counterparts; 31 Possible triggers and limits on profitability parameters must be agreed between CRO and Group CFO. 32 Where applicable, the below listed responsibilities are inclusive of the Foreign Branches of UniCredit S.p.A., as detailed in the Organizational Book - Application. 33 Directly or by issuing guidelines to Group Entities to be developed depending on type of methodology (direct supervision of Group-wide methodologies and risk measurement methodologies for the counterparties of UniCredit S.p.A., through guidelines on methodologies developed locally. 34 Directly validating with direct supervision on group-wide methodologies for which UniCredit S.p.A. is competent, indirect on local methodologies. 35 Liquidity, Business, Real Estate, Financial Investments, Reputational, Strategic. 36 “Non-Performing Exposure: exposures (loans, debt securities, off-balance-sheet items) other than held for trading that satisfy either or both of the following criteria: (a) material exposures which are more than 90 days past-due; (b) the debtor is assessed as unlikely to pay its credit obligations in full without realization of collateral, regardless of the existence of any past-due amount or the number of days past due. Non-performing exposures include the defaulted and impaired exposures. The total NPE is given by the sum of non-performing loans, non-performing loans, non-performing debt securities and nonperforming off-balance-sheet items” (source: ECB NPL Guidance). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 296 2021 Annual Report and Accounts · UniCredit • defining the minimum standards and guidelines for validating IT infrastructures and data quality, credit risks, operating risks and Pillar II risks, for feeding Group and Parent Company reports on credit risk and for feeding credit risk measurement models; • analysing and controlling, at Italian perimeter level, credit, operating and reputational risks generated by the activities of Italy Division; • carrying out the functional coordination of Legal Entities in its area of competence. Moreover, the Group Risk Officer has direct responsibilities for UniCredit S.p.A. for coordinating and managing credit granting activities as well as the post-deliberation phases, ensuring the monitoring of credit exposures, credit collection and the operational management of restructuring and workout activities. This translates into the following responsibilities37: • coordinating and managing credit-granting activities, assessing the creditworthiness of UniCredit S.p.A.’s counterparties, deciding on credit files within the powers delegated and formulating proposals to the competent decision-making Bodies (including the CE & EE Division Files); • coordinating and handling the post-decision phase and ensuring that outstanding positions and the credit portfolio of UniCredit S.p.A. are properly monitored (including the CE & EE Division Files); • coordinating and managing restructuring and workout files including the Debt to Equity and Debt to Asset transactions and the related equity participations/assets; • evaluating, monitoring and making supervision, at Group level, of the Large Credit Transactions38 and managing the Global Credit Model of Financial Institutions, Banks and Sovereigns (FIBS). Furthermore, it is responsible for the assessment, approval and daily management of Country Risks and Cross-Border credit risk-taking; • contributing to the management of risks through the definition and improvement of credit processes (e.g. underwriting, monitoring, collection e loan administration) for the perimeter of UniCredit S.p.A., in line with strategic guidelines and credit policies. In order to strengthen the capacity of independent steering, coordination and control of Group risks, to improve the efficiency and the flexibility on the risk decision process and to address the interaction among the relevant risk stakeholders, specific Committees are in place. The Group Executive Committee (GEC), the Group Financial and Credit Risk Committee (GFRC) and Group Non Financial Risks and Controls Committee (GNFRC) support the CEO in the role of steering, coordinating and monitoring the strategic and all categories of risks (included compliance risk), at Group level, as well as defining the Group Recovery Plan. The Group Executive Committee (GEC) - “Risk” session, which has approval as well as consulting and proposal functions, aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG. The Group Executive Committee (GEC) - “Group Recovery Plan” session support the CEO to deal with the Group Recovery Plan, defining the proposal to be submitted to the Board of Directors’ final decision and to solve issues emerged during the production and the maintenance of the Plan. The “Group Financial and Credit Risks Committee” (GFRC) supports the CEO in the steering, coordination and control of the risks at Group level and consists of the following sessions: (i) Credit Risk session, responsible for defining policies, operational limits and methodologies for the measurement, management and control of the credit risks, (ii) Rating approval session, responsible for approving rating overrides (iii) Market Risk session, responsible for approving strategies, policies and methodologies for Market Risks and for the monitoring of related risks, (iv) ALCO session, responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing. The Group Non-Financial Risks and Controls Committee (GNFRC) supports the CEO in the role of steering and monitoring the Non-Financial Risks (NFRs) at Group level, also overseeing the related internal control system (ICS). The GNFRC enables the coordination among the three lines of defence with the aim to identify and share Group priorities concerning Non-Financial Risks (e.g. events, regulations or emerging risks), assessing and monitoring the effectiveness of initiatives put in place in order to address them. Without prejudice to the role reserved to the Board of Directors by the provisions in being at the time, the GNFRC, in order to support the CEO in implementing the strategic guidelines and the Group general Risk Management policies is responsible for: • defining and approving policies, operational limits and methodologies for the measurement, management and control of Non-Financial Risks, as well as for the definition of the methodologies for the measurement, management, and control of Non-Financial Risks (Operational and Reputational Risk) internal capital; • promoting the annual managerial self-assessment processes and evaluating its results, in order to ensure a systematic approach to operational risk assessment and to the supervision of the Internal Control System; • overseeing Group Non-Financial Risks profile, emerging threats as well as the internal control system robustness at Group level, through the monitoring of most relevant events and incidents, weaknesses and shortcomings, also addressing and prioritizing, when needed, potential corrective actions; 37 Where applicable, the below listed responsibilities are inclusive of the Foreign Branches of UniCredit S.p.A.,as detailed in the Organizational Book - Application. 38 Defined in the Group Credit Risk Management Framework Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 296 2021 Annual Report and Accounts · UniCredit • defining the minimum standards and guidelines for validating IT infrastructures and data quality, credit risks, operating risks and Pillar II risks, for feeding Group and Parent Company reports on credit risk and for feeding credit risk measurement models; • analysing and controlling, at Italian perimeter level, credit, operating and reputational risks generated by the activities of Italy Division; • carrying out the functional coordination of Legal Entities in its area of competence. Moreover, the Group Risk Officer has direct responsibilities for UniCredit S.p.A. for coordinating and managing credit granting activities as well as the post-deliberation phases, ensuring the monitoring of credit exposures, credit collection and the operational management of restructuring and workout activities. This translates into the following responsibilities37: • coordinating and managing credit-granting activities, assessing the creditworthiness of UniCredit S.p.A.’s counterparties, deciding on credit files within the powers delegated and formulating proposals to the competent decision-making Bodies (including the CE & EE Division Files); • coordinating and handling the post-decision phase and ensuring that outstanding positions and the credit portfolio of UniCredit S.p.A. are properly monitored (including the CE & EE Division Files); • coordinating and managing restructuring and workout files including the Debt to Equity and Debt to Asset transactions and the related equity participations/assets; • evaluating, monitoring and making supervision, at Group level, of the Large Credit Transactions38 and managing the Global Credit Model of Financial Institutions, Banks and Sovereigns (FIBS). Furthermore, it is responsible for the assessment, approval and daily management of Country Risks and Cross-Border credit risk-taking; • contributing to the management of risks through the definition and improvement of credit processes (e.g. underwriting, monitoring, collection e loan administration) for the perimeter of UniCredit S.p.A., in line with strategic guidelines and credit policies. In order to strengthen the capacity of independent steering, coordination and control of Group risks, to improve the efficiency and the flexibility on the risk decision process and to address the interaction among the relevant risk stakeholders, specific Committees are in place. The Group Executive Committee (GEC), the Group Financial and Credit Risk Committee (GFRC) and Group Non Financial Risks and Controls Committee (GNFRC) support the CEO in the role of steering, coordinating and monitoring the strategic and all categories of risks (included compliance risk), at Group level, as well as defining the Group Recovery Plan. The Group Executive Committee (GEC) - “Risk” session, which has approval as well as consulting and proposal functions, aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG. The Group Executive Committee (GEC) - “Group Recovery Plan” session support the CEO to deal with the Group Recovery Plan, defining the proposal to be submitted to the Board of Directors’ final decision and to solve issues emerged during the production and the maintenance of the Plan. The “Group Financial and Credit Risks Committee” (GFRC) supports the CEO in the steering, coordination and control of the risks at Group level and consists of the following sessions: (i) Credit Risk session, responsible for defining policies, operational limits and methodologies for the measurement, management and control of the credit risks, (ii) Rating approval session, responsible for approving rating overrides (iii) Market Risk session, responsible for approving strategies, policies and methodologies for Market Risks and for the monitoring of related risks, (iv) ALCO session, responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing. The Group Non-Financial Risks and Controls Committee (GNFRC) supports the CEO in the role of steering and monitoring the Non-Financial Risks (NFRs) at Group level, also overseeing the related internal control system (ICS). The GNFRC enables the coordination among the three lines of defence with the aim to identify and share Group priorities concerning Non-Financial Risks (e.g. events, regulations or emerging risks), assessing and monitoring the effectiveness of initiatives put in place in order to address them. Without prejudice to the role reserved to the Board of Directors by the provisions in being at the time, the GNFRC, in order to support the CEO in implementing the strategic guidelines and the Group general Risk Management policies is responsible for: • defining and approving policies, operational limits and methodologies for the measurement, management and control of Non-Financial Risks, as well as for the definition of the methodologies for the measurement, management, and control of Non-Financial Risks (Operational and Reputational Risk) internal capital; • promoting the annual managerial self-assessment processes and evaluating its results, in order to ensure a systematic approach to operational risk assessment and to the supervision of the Internal Control System; • overseeing Group Non-Financial Risks profile, emerging threats as well as the internal control system robustness at Group level, through the monitoring of most relevant events and incidents, weaknesses and shortcomings, also addressing and prioritizing, when needed, potential corrective actions; 37 Where applicable, the below listed responsibilities are inclusive of the Foreign Branches of UniCredit S.p.A.,as detailed in the Organizational Book - Application. 38 Defined in the Group Credit Risk Management Framework Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 296 2021 Annual Report and Accounts · UniCredit • defining the minimum standards and guidelines for validating IT infrastructures and data quality, credit risks, operating risks and Pillar II risks, for feeding Group and Parent Company reports on credit risk and for feeding credit risk measurement models; • analysing and controlling, at Italian perimeter level, credit, operating and reputational risks generated by the activities of Italy Division; • carrying out the functional coordination of Legal Entities in its area of competence. Moreover, the Group Risk Officer has direct responsibilities for UniCredit S.p.A. for coordinating and managing credit granting activities as well as the post-deliberation phases, ensuring the monitoring of credit exposures, credit collection and the operational management of restructuring and workout activities. This translates into the following responsibilities37: • coordinating and managing credit-granting activities, assessing the creditworthiness of UniCredit S.p.A.’s counterparties, deciding on credit files within the powers delegated and formulating proposals to the competent decision-making Bodies (including the CE & EE Division Files); • coordinating and handling the post-decision phase and ensuring that outstanding positions and the credit portfolio of UniCredit S.p.A. are properly monitored (including the CE & EE Division Files); • coordinating and managing restructuring and workout files including the Debt to Equity and Debt to Asset transactions and the related equity participations/assets; • evaluating, monitoring and making supervision, at Group level, of the Large Credit Transactions38 and managing the Global Credit Model of Financial Institutions, Banks and Sovereigns (FIBS). Furthermore, it is responsible for the assessment, approval and daily management of Country Risks and Cross-Border credit risk-taking; • contributing to the management of risks through the definition and improvement of credit processes (e.g. underwriting, monitoring, collection e loan administration) for the perimeter of UniCredit S.p.A., in line with strategic guidelines and credit policies. In order to strengthen the capacity of independent steering, coordination and control of Group risks, to improve the efficiency and the flexibility on the risk decision process and to address the interaction among the relevant risk stakeholders, specific Committees are in place. The Group Executive Committee (GEC), the Group Financial and Credit Risk Committee (GFRC) and Group Non Financial Risks and Controls Committee (GNFRC) support the CEO in the role of steering, coordinating and monitoring the strategic and all categories of risks (included compliance risk), at Group level, as well as defining the Group Recovery Plan. The Group Executive Committee (GEC) - “Risk” session, which has approval as well as consulting and proposal functions, aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG. The Group Executive Committee (GEC) - “Group Recovery Plan” session support the CEO to deal with the Group Recovery Plan, defining the proposal to be submitted to the Board of Directors’ final decision and to solve issues emerged during the production and the maintenance of the Plan. The “Group Financial and Credit Risks Committee” (GFRC) supports the CEO in the steering, coordination and control of the risks at Group level and consists of the following sessions: (i) Credit Risk session, responsible for defining policies, operational limits and methodologies for the measurement, management and control of the credit risks, (ii) Rating approval session, responsible for approving rating overrides (iii) Market Risk session, responsible for approving strategies, policies and methodologies for Market Risks and for the monitoring of related risks, (iv) ALCO session, responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing. The Group Non-Financial Risks and Controls Committee (GNFRC) supports the CEO in the role of steering and monitoring the Non-Financial Risks (NFRs) at Group level, also overseeing the related internal control system (ICS). The GNFRC enables the coordination among the three lines of defence with the aim to identify and share Group priorities concerning Non-Financial Risks (e.g. events, regulations or emerging risks), assessing and monitoring the effectiveness of initiatives put in place in order to address them. Without prejudice to the role reserved to the Board of Directors by the provisions in being at the time, the GNFRC, in order to support the CEO in implementing the strategic guidelines and the Group general Risk Management policies is responsible for: • defining and approving policies, operational limits and methodologies for the measurement, management and control of Non-Financial Risks, as well as for the definition of the methodologies for the measurement, management, and control of Non-Financial Risks (Operational and Reputational Risk) internal capital; • promoting the annual managerial self-assessment processes and evaluating its results, in order to ensure a systematic approach to operational risk assessment and to the supervision of the Internal Control System; • overseeing Group Non-Financial Risks profile, emerging threats as well as the internal control system robustness at Group level, through the monitoring of most relevant events and incidents, weaknesses and shortcomings, also addressing and prioritizing, when needed, potential corrective actions; 37 Where applicable, the below listed responsibilities are inclusive of the Foreign Branches of UniCredit S.p.A.,as detailed in the Organizational Book - Application. 38 Defined in the Group Credit Risk Management Framework Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 296 2021 Annual Report and Accounts · UniCredit • defining the minimum standards and guidelines for validating IT infrastructures and data quality, credit risks, operating risks and Pillar II risks, for feeding Group and Parent Company reports on credit risk and for feeding credit risk measurement models; • analysing and controlling, at Italian perimeter level, credit, operating and reputational risks generated by the activities of Italy Division; • carrying out the functional coordination of Legal Entities in its area of competence. Moreover, the Group Risk Officer has direct responsibilities for UniCredit S.p.A. for coordinating and managing credit granting activities as well as the post-deliberation phases, ensuring the monitoring of credit exposures, credit collection and the operational management of restructuring and workout activities. This translates into the following responsibilities37: • coordinating and managing credit-granting activities, assessing the creditworthiness of UniCredit S.p.A.’s counterparties, deciding on credit files within the powers delegated and formulating proposals to the competent decision-making Bodies (including the CE & EE Division Files); • coordinating and handling the post-decision phase and ensuring that outstanding positions and the credit portfolio of UniCredit S.p.A. are properly monitored (including the CE & EE Division Files); • coordinating and managing restructuring and workout files including the Debt to Equity and Debt to Asset transactions and the related equity participations/assets; • evaluating, monitoring and making supervision, at Group level, of the Large Credit Transactions38 and managing the Global Credit Model of Financial Institutions, Banks and Sovereigns (FIBS). Furthermore, it is responsible for the assessment, approval and daily management of Country Risks and Cross-Border credit risk-taking; • contributing to the management of risks through the definition and improvement of credit processes (e.g. underwriting, monitoring, collection e loan administration) for the perimeter of UniCredit S.p.A., in line with strategic guidelines and credit policies. In order to strengthen the capacity of independent steering, coordination and control of Group risks, to improve the efficiency and the flexibility on the risk decision process and to address the interaction among the relevant risk stakeholders, specific Committees are in place. The Group Executive Committee (GEC), the Group Financial and Credit Risk Committee (GFRC) and Group Non Financial Risks and Controls Committee (GNFRC) support the CEO in the role of steering, coordinating and monitoring the strategic and all categories of risks (included compliance risk), at Group level, as well as defining the Group Recovery Plan. The Group Executive Committee (GEC) - “Risk” session, which has approval as well as consulting and proposal functions, aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG. The Group Executive Committee (GEC) - “Group Recovery Plan” session support the CEO to deal with the Group Recovery Plan, defining the proposal to be submitted to the Board of Directors’ final decision and to solve issues emerged during the production and the maintenance of the Plan. The “Group Financial and Credit Risks Committee” (GFRC) supports the CEO in the steering, coordination and control of the risks at Group level and consists of the following sessions: (i) Credit Risk session, responsible for defining policies, operational limits and methodologies for the measurement, management and control of the credit risks, (ii) Rating approval session, responsible for approving rating overrides (iii) Market Risk session, responsible for approving strategies, policies and methodologies for Market Risks and for the monitoring of related risks, (iv) ALCO session, responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing. The Group Non-Financial Risks and Controls Committee (GNFRC) supports the CEO in the role of steering and monitoring the Non-Financial Risks (NFRs) at Group level, also overseeing the related internal control system (ICS). The GNFRC enables the coordination among the three lines of defence with the aim to identify and share Group priorities concerning Non-Financial Risks (e.g. events, regulations or emerging risks), assessing and monitoring the effectiveness of initiatives put in place in order to address them. Without prejudice to the role reserved to the Board of Directors by the provisions in being at the time, the GNFRC, in order to support the CEO in implementing the strategic guidelines and the Group general Risk Management policies is responsible for: • defining and approving policies, operational limits and methodologies for the measurement, management and control of Non-Financial Risks, as well as for the definition of the methodologies for the measurement, management, and control of Non-Financial Risks (Operational and Reputational Risk) internal capital; • promoting the annual managerial self-assessment processes and evaluating its results, in order to ensure a systematic approach to operational risk assessment and to the supervision of the Internal Control System; • overseeing Group Non-Financial Risks profile, emerging threats as well as the internal control system robustness at Group level, through the monitoring of most relevant events and incidents, weaknesses and shortcomings, also addressing and prioritizing, when needed, potential corrective actions; 37 Where applicable, the below listed responsibilities are inclusive of the Foreign Branches of UniCredit S.p.A.,as detailed in the Organizational Book - Application. 38 Defined in the Group Credit Risk Management Framework Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 296 2021 Annual Report and Accounts · UniCredit • defining the minimum standards and guidelines for validating IT infrastructures and data quality, credit risks, operating risks and Pillar II risks, for feeding Group and Parent Company reports on credit risk and for feeding credit risk measurement models; • analysing and controlling, at Italian perimeter level, credit, operating and reputational risks generated by the activities of Italy Division; • carrying out the functional coordination of Legal Entities in its area of competence. Moreover, the Group Risk Officer has direct responsibilities for UniCredit S.p.A. for coordinating and managing credit granting activities as well as the post-deliberation phases, ensuring the monitoring of credit exposures, credit collection and the operational management of restructuring and workout activities. This translates into the following responsibilities37: • coordinating and managing credit-granting activities, assessing the creditworthiness of UniCredit S.p.A.’s counterparties, deciding on credit files within the powers delegated and formulating proposals to the competent decision-making Bodies (including the CE & EE Division Files); • coordinating and handling the post-decision phase and ensuring that outstanding positions and the credit portfolio of UniCredit S.p.A. are properly monitored (including the CE & EE Division Files); • coordinating and managing restructuring and workout files including the Debt to Equity and Debt to Asset transactions and the related equity participations/assets; • evaluating, monitoring and making supervision, at Group level, of the Large Credit Transactions38 and managing the Global Credit Model of Financial Institutions, Banks and Sovereigns (FIBS). Furthermore, it is responsible for the assessment, approval and daily management of Country Risks and Cross-Border credit risk-taking; • contributing to the management of risks through the definition and improvement of credit processes (e.g. underwriting, monitoring, collection e loan administration) for the perimeter of UniCredit S.p.A., in line with strategic guidelines and credit policies. In order to strengthen the capacity of independent steering, coordination and control of Group risks, to improve the efficiency and the flexibility on the risk decision process and to address the interaction among the relevant risk stakeholders, specific Committees are in place. The Group Executive Committee (GEC), the Group Financial and Credit Risk Committee (GFRC) and Group Non Financial Risks and Controls Committee (GNFRC) support the CEO in the role of steering, coordinating and monitoring the strategic and all categories of risks (included compliance risk), at Group level, as well as defining the Group Recovery Plan. The Group Executive Committee (GEC) - “Risk” session, which has approval as well as consulting and proposal functions, aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG. The Group Executive Committee (GEC) - “Group Recovery Plan” session support the CEO to deal with the Group Recovery Plan, defining the proposal to be submitted to the Board of Directors’ final decision and to solve issues emerged during the production and the maintenance of the Plan. The “Group Financial and Credit Risks Committee” (GFRC) supports the CEO in the steering, coordination and control of the risks at Group level and consists of the following sessions: (i) Credit Risk session, responsible for defining policies, operational limits and methodologies for the measurement, management and control of the credit risks, (ii) Rating approval session, responsible for approving rating overrides (iii) Market Risk session, responsible for approving strategies, policies and methodologies for Market Risks and for the monitoring of related risks, (iv) ALCO session, responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing. The Group Non-Financial Risks and Controls Committee (GNFRC) supports the CEO in the role of steering and monitoring the Non-Financial Risks (NFRs) at Group level, also overseeing the related internal control system (ICS). The GNFRC enables the coordination among the three lines of defence with the aim to identify and share Group priorities concerning Non-Financial Risks (e.g. events, regulations or emerging risks), assessing and monitoring the effectiveness of initiatives put in place in order to address them. Without prejudice to the role reserved to the Board of Directors by the provisions in being at the time, the GNFRC, in order to support the CEO in implementing the strategic guidelines and the Group general Risk Management policies is responsible for: • defining and approving policies, operational limits and methodologies for the measurement, management and control of Non-Financial Risks, as well as for the definition of the methodologies for the measurement, management, and control of Non-Financial Risks (Operational and Reputational Risk) internal capital; • promoting the annual managerial self-assessment processes and evaluating its results, in order to ensure a systematic approach to operational risk assessment and to the supervision of the Internal Control System; • overseeing Group Non-Financial Risks profile, emerging threats as well as the internal control system robustness at Group level, through the monitoring of most relevant events and incidents, weaknesses and shortcomings, also addressing and prioritizing, when needed, potential corrective actions; 37 Where applicable, the below listed responsibilities are inclusive of the Foreign Branches of UniCredit S.p.A.,as detailed in the Organizational Book - Application. 38 Defined in the Group Credit Risk Management Framework Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 297 • evaluating and providing guidelines for the management of risk relevant (e.g. reputational, security, data protection) single customer transactions or third party contracts, and for definition and implementation of business continuity plans. Group Transactional Committee (GTC) - Group Credit Committee Session (GCC) is in charge of evaluating and approving competent credit proposals referring to all files, including restructuring/workout ones, status classification of files, relevant strategies and corrective actions to be taken for watch list files, specific limits for transactions relating to Debt Capital Markets on trading book, single issuer exposures limits on trading book, temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by Group regulation Debt to Equity transactions and transactions relating to Equity participations deriving from Debt to Equity transactions; the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion, ECM Risk transactions above specific threshold levels of transaction’s value Group Transactional Committee (GTC) - “Group Transactional Credit Committee Session” (GTCC) has the responsibility, within its assigned sub delegations of powers for credit activities and the related thresholds, to assess and approve the underwriting and the review of the credit lines and to evaluate and approve the loan loss provisions, asset value adjustments and releases of capital and/or capitalized interests related to the Corporate Investment Banking and FIBS portfolio, reviewing and assessing debt and debt related placement transactions on the primary market for which UniCredit S.p.A. or a Group Legal Entity provides its commitment according to the sub delegation powers, by analysing the market risks and the credit risk linked to the transactions. Additionally the Committee is responsible (with approval function within the delegated powers: decision-making and/or issuing of non-binding opinions to the Group legal entities, and/or consulting function) for files to be approved by upper Bodies, for credit proposals referring to all the files, including restructuring, INC or workout ones, status classification of files relevant strategies and corrective actions to be taken for watching list files, single issuer exposure limits on trading book, Debt-to-Equity transactions and/or actions/rights-execution relating to equity participations resulting from Debt-to-Equity transactions, Debt-to-Assets transactions and/or actions/rights execution related to asset resulting from Debt-to-Asset transactions, proposal of distressed asset disposal, in accordance with the regulated specifications and limitations, the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion (NBCO), ECM Risk transactions above specific threshold levels of transaction’s value ; in addition, the GTCC approves or submits for approval to Group Credit Committee of temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by dedicated Group regulation. Further information on Corporate Governance, is included in the document “Corporate Governance Report”, published on the Group internet site in the section: Governance » Our Governance System (https://www.unicreditgroup.eu/en/governance/our-governance-system.html). Internal Capital Adequacy Assessment Process (“ICAAP”) and Risk Appetite UniCredit group assesses its capital adequacy on a going concern approach, ensuring that an adequate level of capital is maintained to continue business activities as usual even in case of severe loss events, like those caused by an economic downturn. The Group’s approach to ICAAP consists of the following phases: 1. Risk identification and mapping; 2. Risk measurement and stress testing; 3. Risk appetite setting and capital allocation; 4. Monitoring and reporting. 1. Risk identification and mapping The first step is the identification and mapping of all the risks embedded in the Group and in the relevant legal entities, with particular focus on the risks not explicitly covered by the Pillar I framework. The output of this activity is the Group Risk Map which includes all the risk types quantifiable by Internal Capital. 2. Risk measurement and stress testing The second phase is the identification of the internal methodologies for measurement and quantification of the different risk profiles, resulting into the calculation of Group Internal Capital. The Internal Capital measures are supported by aggregated-stress tests, which are a fundamental part of a sound risk management process. The aim of stress testing is to assess the bank's viability with respect to exceptional but plausible events. The impact of adverse economic scenarios is assessed on the capital position (solvency stress test) and/or the liquidity position (liquidity stress test) of the Group. 3. Risk Appetite setting and capital allocation Risk Appetite is a key managerial instrument used with the purpose of setting the adequate levels of risk the Bank is willing to have and consistently steering its business evolution (see the RAF section below for details). The Group capital plays a crucial role in the main corporate governance processes that drive strategic decisions, as target and risk tolerance thresholds, in terms of regulatory and internal capital. It is also a key element of the Risk Appetite Framework of the Group. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 297 • evaluating and providing guidelines for the management of risk relevant (e.g. reputational, security, data protection) single customer transactions or third party contracts, and for definition and implementation of business continuity plans. Group Transactional Committee (GTC) - Group Credit Committee Session (GCC) is in charge of evaluating and approving competent credit proposals referring to all files, including restructuring/workout ones, status classification of files, relevant strategies and corrective actions to be taken for watch list files, specific limits for transactions relating to Debt Capital Markets on trading book, single issuer exposures limits on trading book, temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by Group regulation Debt to Equity transactions and transactions relating to Equity participations deriving from Debt to Equity transactions; the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion, ECM Risk transactions above specific threshold levels of transaction’s value Group Transactional Committee (GTC) - “Group Transactional Credit Committee Session” (GTCC) has the responsibility, within its assigned sub delegations of powers for credit activities and the related thresholds, to assess and approve the underwriting and the review of the credit lines and to evaluate and approve the loan loss provisions, asset value adjustments and releases of capital and/or capitalized interests related to the Corporate Investment Banking and FIBS portfolio, reviewing and assessing debt and debt related placement transactions on the primary market for which UniCredit S.p.A. or a Group Legal Entity provides its commitment according to the sub delegation powers, by analysing the market risks and the credit risk linked to the transactions. Additionally the Committee is responsible (with approval function within the delegated powers: decision-making and/or issuing of non-binding opinions to the Group legal entities, and/or consulting function) for files to be approved by upper Bodies, for credit proposals referring to all the files, including restructuring, INC or workout ones, status classification of files relevant strategies and corrective actions to be taken for watching list files, single issuer exposure limits on trading book, Debt-to-Equity transactions and/or actions/rights-execution relating to equity participations resulting from Debt-to-Equity transactions, Debt-to-Assets transactions and/or actions/rights execution related to asset resulting from Debt-to-Asset transactions, proposal of distressed asset disposal, in accordance with the regulated specifications and limitations, the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion (NBCO), ECM Risk transactions above specific threshold levels of transaction’s value ; in addition, the GTCC approves or submits for approval to Group Credit Committee of temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by dedicated Group regulation. Further information on Corporate Governance, is included in the document “Corporate Governance Report”, published on the Group internet site in the section: Governance » Our Governance System (https://www.unicreditgroup.eu/en/governance/our-governance-system.html). Internal Capital Adequacy Assessment Process (“ICAAP”) and Risk Appetite UniCredit group assesses its capital adequacy on a going concern approach, ensuring that an adequate level of capital is maintained to continue business activities as usual even in case of severe loss events, like those caused by an economic downturn. The Group’s approach to ICAAP consists of the following phases: 1. Risk identification and mapping; 2. Risk measurement and stress testing; 3. Risk appetite setting and capital allocation; 4. Monitoring and reporting. 1. Risk identification and mapping The first step is the identification and mapping of all the risks embedded in the Group and in the relevant legal entities, with particular focus on the risks not explicitly covered by the Pillar I framework. The output of this activity is the Group Risk Map which includes all the risk types quantifiable by Internal Capital. 2. Risk measurement and stress testing The second phase is the identification of the internal methodologies for measurement and quantification of the different risk profiles, resulting into the calculation of Group Internal Capital. The Internal Capital measures are supported by aggregated-stress tests, which are a fundamental part of a sound risk management process. The aim of stress testing is to assess the bank's viability with respect to exceptional but plausible events. The impact of adverse economic scenarios is assessed on the capital position (solvency stress test) and/or the liquidity position (liquidity stress test) of the Group. 3. Risk Appetite setting and capital allocation Risk Appetite is a key managerial instrument used with the purpose of setting the adequate levels of risk the Bank is willing to have and consistently steering its business evolution (see the RAF section below for details). The Group capital plays a crucial role in the main corporate governance processes that drive strategic decisions, as target and risk tolerance thresholds, in terms of regulatory and internal capital. It is also a key element of the Risk Appetite Framework of the Group. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 297 • evaluating and providing guidelines for the management of risk relevant (e.g. reputational, security, data protection) single customer transactions or third party contracts, and for definition and implementation of business continuity plans. Group Transactional Committee (GTC) - Group Credit Committee Session (GCC) is in charge of evaluating and approving competent credit proposals referring to all files, including restructuring/workout ones, status classification of files, relevant strategies and corrective actions to be taken for watch list files, specific limits for transactions relating to Debt Capital Markets on trading book, single issuer exposures limits on trading book, temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by Group regulation Debt to Equity transactions and transactions relating to Equity participations deriving from Debt to Equity transactions; the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion, ECM Risk transactions above specific threshold levels of transaction’s value Group Transactional Committee (GTC) - “Group Transactional Credit Committee Session” (GTCC) has the responsibility, within its assigned sub delegations of powers for credit activities and the related thresholds, to assess and approve the underwriting and the review of the credit lines and to evaluate and approve the loan loss provisions, asset value adjustments and releases of capital and/or capitalized interests related to the Corporate Investment Banking and FIBS portfolio, reviewing and assessing debt and debt related placement transactions on the primary market for which UniCredit S.p.A. or a Group Legal Entity provides its commitment according to the sub delegation powers, by analysing the market risks and the credit risk linked to the transactions. Additionally the Committee is responsible (with approval function within the delegated powers: decision-making and/or issuing of non-binding opinions to the Group legal entities, and/or consulting function) for files to be approved by upper Bodies, for credit proposals referring to all the files, including restructuring, INC or workout ones, status classification of files relevant strategies and corrective actions to be taken for watching list files, single issuer exposure limits on trading book, Debt-to-Equity transactions and/or actions/rights-execution relating to equity participations resulting from Debt-to-Equity transactions, Debt-to-Assets transactions and/or actions/rights execution related to asset resulting from Debt-to-Asset transactions, proposal of distressed asset disposal, in accordance with the regulated specifications and limitations, the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion (NBCO), ECM Risk transactions above specific threshold levels of transaction’s value ; in addition, the GTCC approves or submits for approval to Group Credit Committee of temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by dedicated Group regulation. Further information on Corporate Governance, is included in the document “Corporate Governance Report”, published on the Group internet site in the section: Governance » Our Governance System (https://www.unicreditgroup.eu/en/governance/our-governance-system.html). Internal Capital Adequacy Assessment Process (“ICAAP”) and Risk Appetite UniCredit group assesses its capital adequacy on a going concern approach, ensuring that an adequate level of capital is maintained to continue business activities as usual even in case of severe loss events, like those caused by an economic downturn. The Group’s approach to ICAAP consists of the following phases: 1. Risk identification and mapping; 2. Risk measurement and stress testing; 3. Risk appetite setting and capital allocation; 4. Monitoring and reporting. 1. Risk identification and mapping The first step is the identification and mapping of all the risks embedded in the Group and in the relevant legal entities, with particular focus on the risks not explicitly covered by the Pillar I framework. The output of this activity is the Group Risk Map which includes all the risk types quantifiable by Internal Capital. 2. Risk measurement and stress testing The second phase is the identification of the internal methodologies for measurement and quantification of the different risk profiles, resulting into the calculation of Group Internal Capital. The Internal Capital measures are supported by aggregated-stress tests, which are a fundamental part of a sound risk management process. The aim of stress testing is to assess the bank's viability with respect to exceptional but plausible events. The impact of adverse economic scenarios is assessed on the capital position (solvency stress test) and/or the liquidity position (liquidity stress test) of the Group. 3. Risk Appetite setting and capital allocation Risk Appetite is a key managerial instrument used with the purpose of setting the adequate levels of risk the Bank is willing to have and consistently steering its business evolution (see the RAF section below for details). The Group capital plays a crucial role in the main corporate governance processes that drive strategic decisions, as target and risk tolerance thresholds, in terms of regulatory and internal capital. It is also a key element of the Risk Appetite Framework of the Group. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 297 • evaluating and providing guidelines for the management of risk relevant (e.g. reputational, security, data protection) single customer transactions or third party contracts, and for definition and implementation of business continuity plans. Group Transactional Committee (GTC) - Group Credit Committee Session (GCC) is in charge of evaluating and approving competent credit proposals referring to all files, including restructuring/workout ones, status classification of files, relevant strategies and corrective actions to be taken for watch list files, specific limits for transactions relating to Debt Capital Markets on trading book, single issuer exposures limits on trading book, temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by Group regulation Debt to Equity transactions and transactions relating to Equity participations deriving from Debt to Equity transactions; the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion, ECM Risk transactions above specific threshold levels of transaction’s value Group Transactional Committee (GTC) - “Group Transactional Credit Committee Session” (GTCC) has the responsibility, within its assigned sub delegations of powers for credit activities and the related thresholds, to assess and approve the underwriting and the review of the credit lines and to evaluate and approve the loan loss provisions, asset value adjustments and releases of capital and/or capitalized interests related to the Corporate Investment Banking and FIBS portfolio, reviewing and assessing debt and debt related placement transactions on the primary market for which UniCredit S.p.A. or a Group Legal Entity provides its commitment according to the sub delegation powers, by analysing the market risks and the credit risk linked to the transactions. Additionally the Committee is responsible (with approval function within the delegated powers: decision-making and/or issuing of non-binding opinions to the Group legal entities, and/or consulting function) for files to be approved by upper Bodies, for credit proposals referring to all the files, including restructuring, INC or workout ones, status classification of files relevant strategies and corrective actions to be taken for watching list files, single issuer exposure limits on trading book, Debt-to-Equity transactions and/or actions/rights-execution relating to equity participations resulting from Debt-to-Equity transactions, Debt-to-Assets transactions and/or actions/rights execution related to asset resulting from Debt-to-Asset transactions, proposal of distressed asset disposal, in accordance with the regulated specifications and limitations, the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion (NBCO), ECM Risk transactions above specific threshold levels of transaction’s value ; in addition, the GTCC approves or submits for approval to Group Credit Committee of temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by dedicated Group regulation. Further information on Corporate Governance, is included in the document “Corporate Governance Report”, published on the Group internet site in the section: Governance » Our Governance System (https://www.unicreditgroup.eu/en/governance/our-governance-system.html). Internal Capital Adequacy Assessment Process (“ICAAP”) and Risk Appetite UniCredit group assesses its capital adequacy on a going concern approach, ensuring that an adequate level of capital is maintained to continue business activities as usual even in case of severe loss events, like those caused by an economic downturn. The Group’s approach to ICAAP consists of the following phases: 1. Risk identification and mapping; 2. Risk measurement and stress testing; 3. Risk appetite setting and capital allocation; 4. Monitoring and reporting. 1. Risk identification and mapping The first step is the identification and mapping of all the risks embedded in the Group and in the relevant legal entities, with particular focus on the risks not explicitly covered by the Pillar I framework. The output of this activity is the Group Risk Map which includes all the risk types quantifiable by Internal Capital. 2. Risk measurement and stress testing The second phase is the identification of the internal methodologies for measurement and quantification of the different risk profiles, resulting into the calculation of Group Internal Capital. The Internal Capital measures are supported by aggregated-stress tests, which are a fundamental part of a sound risk management process. The aim of stress testing is to assess the bank's viability with respect to exceptional but plausible events. The impact of adverse economic scenarios is assessed on the capital position (solvency stress test) and/or the liquidity position (liquidity stress test) of the Group. 3. Risk Appetite setting and capital allocation Risk Appetite is a key managerial instrument used with the purpose of setting the adequate levels of risk the Bank is willing to have and consistently steering its business evolution (see the RAF section below for details). The Group capital plays a crucial role in the main corporate governance processes that drive strategic decisions, as target and risk tolerance thresholds, in terms of regulatory and internal capital. It is also a key element of the Risk Appetite Framework of the Group. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 297 • evaluating and providing guidelines for the management of risk relevant (e.g. reputational, security, data protection) single customer transactions or third party contracts, and for definition and implementation of business continuity plans. Group Transactional Committee (GTC) - Group Credit Committee Session (GCC) is in charge of evaluating and approving competent credit proposals referring to all files, including restructuring/workout ones, status classification of files, relevant strategies and corrective actions to be taken for watch list files, specific limits for transactions relating to Debt Capital Markets on trading book, single issuer exposures limits on trading book, temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by Group regulation Debt to Equity transactions and transactions relating to Equity participations deriving from Debt to Equity transactions; the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion, ECM Risk transactions above specific threshold levels of transaction’s value Group Transactional Committee (GTC) - “Group Transactional Credit Committee Session” (GTCC) has the responsibility, within its assigned sub delegations of powers for credit activities and the related thresholds, to assess and approve the underwriting and the review of the credit lines and to evaluate and approve the loan loss provisions, asset value adjustments and releases of capital and/or capitalized interests related to the Corporate Investment Banking and FIBS portfolio, reviewing and assessing debt and debt related placement transactions on the primary market for which UniCredit S.p.A. or a Group Legal Entity provides its commitment according to the sub delegation powers, by analysing the market risks and the credit risk linked to the transactions. Additionally the Committee is responsible (with approval function within the delegated powers: decision-making and/or issuing of non-binding opinions to the Group legal entities, and/or consulting function) for files to be approved by upper Bodies, for credit proposals referring to all the files, including restructuring, INC or workout ones, status classification of files relevant strategies and corrective actions to be taken for watching list files, single issuer exposure limits on trading book, Debt-to-Equity transactions and/or actions/rights-execution relating to equity participations resulting from Debt-to-Equity transactions, Debt-to-Assets transactions and/or actions/rights execution related to asset resulting from Debt-to-Asset transactions, proposal of distressed asset disposal, in accordance with the regulated specifications and limitations, the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion (NBCO), ECM Risk transactions above specific threshold levels of transaction’s value ; in addition, the GTCC approves or submits for approval to Group Credit Committee of temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by dedicated Group regulation. Further information on Corporate Governance, is included in the document “Corporate Governance Report”, published on the Group internet site in the section: Governance » Our Governance System (https://www.unicreditgroup.eu/en/governance/our-governance-system.html). Internal Capital Adequacy Assessment Process (“ICAAP”) and Risk Appetite UniCredit group assesses its capital adequacy on a going concern approach, ensuring that an adequate level of capital is maintained to continue business activities as usual even in case of severe loss events, like those caused by an economic downturn. The Group’s approach to ICAAP consists of the following phases: 1. Risk identification and mapping; 2. Risk measurement and stress testing; 3. Risk appetite setting and capital allocation; 4. Monitoring and reporting. 1. Risk identification and mapping The first step is the identification and mapping of all the risks embedded in the Group and in the relevant legal entities, with particular focus on the risks not explicitly covered by the Pillar I framework. The output of this activity is the Group Risk Map which includes all the risk types quantifiable by Internal Capital. 2. Risk measurement and stress testing The second phase is the identification of the internal methodologies for measurement and quantification of the different risk profiles, resulting into the calculation of Group Internal Capital. The Internal Capital measures are supported by aggregated-stress tests, which are a fundamental part of a sound risk management process. The aim of stress testing is to assess the bank's viability with respect to exceptional but plausible events. The impact of adverse economic scenarios is assessed on the capital position (solvency stress test) and/or the liquidity position (liquidity stress test) of the Group. 3. Risk Appetite setting and capital allocation Risk Appetite is a key managerial instrument used with the purpose of setting the adequate levels of risk the Bank is willing to have and consistently steering its business evolution (see the RAF section below for details). The Group capital plays a crucial role in the main corporate governance processes that drive strategic decisions, as target and risk tolerance thresholds, in terms of regulatory and internal capital. It is also a key element of the Risk Appetite Framework of the Group. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 298 2021 Annual Report and Accounts · UniCredit 4. Monitoring and Reporting Capital adequacy evaluation is a dynamic process that requires a regular monitoring to support the decision-making processes. The Bank monitors its main risk profile with a frequency consistent with the nature of each single risk. On top of this, a quarterly reporting of integrated risks and Risk Appetite evolution is performed and reported to the relevant Risk Committees and Governing Bodies, in order to set and implement and efficient and effective ICAAP framework. Capital adequacy is assessed considering the balance between the assumed risks and the available capital both in a regulatory and in an economic perspective. With respect to economic perspective and to Going Concern approach, capital adequacy is assessed by comparing the amount of financial resources available to absorb losses and to ensure the business continuity of the Group, the so-called Available Financial Resources (“AFR”), with the economic capital internally estimated (Internal Capital - “IC”). The AFR are computed according to the Group principles and consistent with prudential regulation, in fact the regulatory capital (Own Funds) is the basis for the AFR quantification. The Group capital instruments that are included in the AFR satisfy the following three criteria: • loss absorbency in Going Concern approach; • permanence; • flexibility of payments. The ratio between AFR and IC is the Risk Taking Capacity (“RTC”). This ratio must be above 100% (AFR>IC) in order to avoid that risk exposures are higher than the Available Financial Resources. RTC is one of the key indicators included in the Group RAF dashboard on which the Bank leverages to guide the selection of the desired risk-return profile in alignment with its business strategies. A milestone of the ICAAP is the Risk Appetite, which in UniCredit group is defined as the level of risk that the Group is willing to take and the risk-return profile it fixes to achieve in pursuing its strategic objectives and business plan, taking into account the interest of its stakeholders (e.g. customers, policymakers, regulators, shareholders) as well as capital and other regulatory and law requirements. The Group Risk Appetite is approved on an annual basis by the Board of Directors and is regularly monitored and reported, at least quarterly, to the relevant committees, with the aim of ensuring the consistency with the risk return profile set by the Board of Directors. At local level, the risk appetite is set for the main Legal Entities and approved by the local competent functions. The main goals of UniCredit group’s Risk Appetite are: • assessing explicitly the risks and their interconnections UniCredit group is willing to accept or should avoid in one year horizon; Risk Appetite targets should be consistent with the ones defined in the strategic multi-year plan; • specifying the types of risk UniCredit group intends to assume by setting the targets, triggers and limits, under both normal and stressed operating conditions; • ensuring an “ex ante” risk-return profile consistent with long term sustainability, in coherence with multi-year strategic plan/budget; • ensuring that the business develops within the risk tolerance set by the Parent Company Board of Directors, also in respect of national and international regulations; • supporting the evaluation of future strategic options with reference to risk profile; • addressing internal and external stakeholders’ view on risk profile consistent with the strategic positioning. The Group Risk Appetite is defined consistently with UniCredit group business model. For this purpose, Group Risk Appetite is integrated in the budget process, in order to guide the selection of the desired risk-return profile in alignment with the Strategic Plan guidelines and at inception of the budget process. UniCredit Compensation Policy is consistent with the Group Risk Appetite to allow the effective implementation of risk reward remuneration for bonus definition and payments. The structure of the Risk Appetite in UniCredit group includes the Group Risk Appetite Statement and the Group Risk Appetite KPIs Dashboard. The Risk Appetite Statement defines the positioning of the bank in terms of strategic targets and related risk profiles to address internal and external stakeholders’ expectations and includes: • a guidance on the overall key boundaries for the Group in terms of focus of activity; • a definition of the desired risk-return profile, in line with the Group’s overall strategy; • an indication on strategies to manage key risks within the perimeter of the Group; • qualitative statements for not quantifiable risks in order to ensure prevention/early intervention on emerging risks. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 298 2021 Annual Report and Accounts · UniCredit 4. Monitoring and Reporting Capital adequacy evaluation is a dynamic process that requires a regular monitoring to support the decision-making processes. The Bank monitors its main risk profile with a frequency consistent with the nature of each single risk. On top of this, a quarterly reporting of integrated risks and Risk Appetite evolution is performed and reported to the relevant Risk Committees and Governing Bodies, in order to set and implement and efficient and effective ICAAP framework. Capital adequacy is assessed considering the balance between the assumed risks and the available capital both in a regulatory and in an economic perspective. With respect to economic perspective and to Going Concern approach, capital adequacy is assessed by comparing the amount of financial resources available to absorb losses and to ensure the business continuity of the Group, the so-called Available Financial Resources (“AFR”), with the economic capital internally estimated (Internal Capital - “IC”). The AFR are computed according to the Group principles and consistent with prudential regulation, in fact the regulatory capital (Own Funds) is the basis for the AFR quantification. The Group capital instruments that are included in the AFR satisfy the following three criteria: • loss absorbency in Going Concern approach; • permanence; • flexibility of payments. The ratio between AFR and IC is the Risk Taking Capacity (“RTC”). This ratio must be above 100% (AFR>IC) in order to avoid that risk exposures are higher than the Available Financial Resources. RTC is one of the key indicators included in the Group RAF dashboard on which the Bank leverages to guide the selection of the desired risk-return profile in alignment with its business strategies. A milestone of the ICAAP is the Risk Appetite, which in UniCredit group is defined as the level of risk that the Group is willing to take and the risk-return profile it fixes to achieve in pursuing its strategic objectives and business plan, taking into account the interest of its stakeholders (e.g. customers, policymakers, regulators, shareholders) as well as capital and other regulatory and law requirements. The Group Risk Appetite is approved on an annual basis by the Board of Directors and is regularly monitored and reported, at least quarterly, to the relevant committees, with the aim of ensuring the consistency with the risk return profile set by the Board of Directors. At local level, the risk appetite is set for the main Legal Entities and approved by the local competent functions. The main goals of UniCredit group’s Risk Appetite are: • assessing explicitly the risks and their interconnections UniCredit group is willing to accept or should avoid in one year horizon; Risk Appetite targets should be consistent with the ones defined in the strategic multi-year plan; • specifying the types of risk UniCredit group intends to assume by setting the targets, triggers and limits, under both normal and stressed operating conditions; • ensuring an “ex ante” risk-return profile consistent with long term sustainability, in coherence with multi-year strategic plan/budget; • ensuring that the business develops within the risk tolerance set by the Parent Company Board of Directors, also in respect of national and international regulations; • supporting the evaluation of future strategic options with reference to risk profile; • addressing internal and external stakeholders’ view on risk profile consistent with the strategic positioning. The Group Risk Appetite is defined consistently with UniCredit group business model. For this purpose, Group Risk Appetite is integrated in the budget process, in order to guide the selection of the desired risk-return profile in alignment with the Strategic Plan guidelines and at inception of the budget process. UniCredit Compensation Policy is consistent with the Group Risk Appetite to allow the effective implementation of risk reward remuneration for bonus definition and payments. The structure of the Risk Appetite in UniCredit group includes the Group Risk Appetite Statement and the Group Risk Appetite KPIs Dashboard. The Risk Appetite Statement defines the positioning of the bank in terms of strategic targets and related risk profiles to address internal and external stakeholders’ expectations and includes: • a guidance on the overall key boundaries for the Group in terms of focus of activity; • a definition of the desired risk-return profile, in line with the Group’s overall strategy; • an indication on strategies to manage key risks within the perimeter of the Group; • qualitative statements for not quantifiable risks in order to ensure prevention/early intervention on emerging risks. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 298 2021 Annual Report and Accounts · UniCredit 4. Monitoring and Reporting Capital adequacy evaluation is a dynamic process that requires a regular monitoring to support the decision-making processes. The Bank monitors its main risk profile with a frequency consistent with the nature of each single risk. On top of this, a quarterly reporting of integrated risks and Risk Appetite evolution is performed and reported to the relevant Risk Committees and Governing Bodies, in order to set and implement and efficient and effective ICAAP framework. Capital adequacy is assessed considering the balance between the assumed risks and the available capital both in a regulatory and in an economic perspective. With respect to economic perspective and to Going Concern approach, capital adequacy is assessed by comparing the amount of financial resources available to absorb losses and to ensure the business continuity of the Group, the so-called Available Financial Resources (“AFR”), with the economic capital internally estimated (Internal Capital - “IC”). The AFR are computed according to the Group principles and consistent with prudential regulation, in fact the regulatory capital (Own Funds) is the basis for the AFR quantification. The Group capital instruments that are included in the AFR satisfy the following three criteria: • loss absorbency in Going Concern approach; • permanence; • flexibility of payments. The ratio between AFR and IC is the Risk Taking Capacity (“RTC”). This ratio must be above 100% (AFR>IC) in order to avoid that risk exposures are higher than the Available Financial Resources. RTC is one of the key indicators included in the Group RAF dashboard on which the Bank leverages to guide the selection of the desired risk-return profile in alignment with its business strategies. A milestone of the ICAAP is the Risk Appetite, which in UniCredit group is defined as the level of risk that the Group is willing to take and the risk-return profile it fixes to achieve in pursuing its strategic objectives and business plan, taking into account the interest of its stakeholders (e.g. customers, policymakers, regulators, shareholders) as well as capital and other regulatory and law requirements. The Group Risk Appetite is approved on an annual basis by the Board of Directors and is regularly monitored and reported, at least quarterly, to the relevant committees, with the aim of ensuring the consistency with the risk return profile set by the Board of Directors. At local level, the risk appetite is set for the main Legal Entities and approved by the local competent functions. The main goals of UniCredit group’s Risk Appetite are: • assessing explicitly the risks and their interconnections UniCredit group is willing to accept or should avoid in one year horizon; Risk Appetite targets should be consistent with the ones defined in the strategic multi-year plan; • specifying the types of risk UniCredit group intends to assume by setting the targets, triggers and limits, under both normal and stressed operating conditions; • ensuring an “ex ante” risk-return profile consistent with long term sustainability, in coherence with multi-year strategic plan/budget; • ensuring that the business develops within the risk tolerance set by the Parent Company Board of Directors, also in respect of national and international regulations; • supporting the evaluation of future strategic options with reference to risk profile; • addressing internal and external stakeholders’ view on risk profile consistent with the strategic positioning. The Group Risk Appetite is defined consistently with UniCredit group business model. For this purpose, Group Risk Appetite is integrated in the budget process, in order to guide the selection of the desired risk-return profile in alignment with the Strategic Plan guidelines and at inception of the budget process. UniCredit Compensation Policy is consistent with the Group Risk Appetite to allow the effective implementation of risk reward remuneration for bonus definition and payments. The structure of the Risk Appetite in UniCredit group includes the Group Risk Appetite Statement and the Group Risk Appetite KPIs Dashboard. The Risk Appetite Statement defines the positioning of the bank in terms of strategic targets and related risk profiles to address internal and external stakeholders’ expectations and includes: • a guidance on the overall key boundaries for the Group in terms of focus of activity; • a definition of the desired risk-return profile, in line with the Group’s overall strategy; • an indication on strategies to manage key risks within the perimeter of the Group; • qualitative statements for not quantifiable risks in order to ensure prevention/early intervention on emerging risks. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 298 2021 Annual Report and Accounts · UniCredit 4. Monitoring and Reporting Capital adequacy evaluation is a dynamic process that requires a regular monitoring to support the decision-making processes. The Bank monitors its main risk profile with a frequency consistent with the nature of each single risk. On top of this, a quarterly reporting of integrated risks and Risk Appetite evolution is performed and reported to the relevant Risk Committees and Governing Bodies, in order to set and implement and efficient and effective ICAAP framework. Capital adequacy is assessed considering the balance between the assumed risks and the available capital both in a regulatory and in an economic perspective. With respect to economic perspective and to Going Concern approach, capital adequacy is assessed by comparing the amount of financial resources available to absorb losses and to ensure the business continuity of the Group, the so-called Available Financial Resources (“AFR”), with the economic capital internally estimated (Internal Capital - “IC”). The AFR are computed according to the Group principles and consistent with prudential regulation, in fact the regulatory capital (Own Funds) is the basis for the AFR quantification. The Group capital instruments that are included in the AFR satisfy the following three criteria: • loss absorbency in Going Concern approach; • permanence; • flexibility of payments. The ratio between AFR and IC is the Risk Taking Capacity (“RTC”). This ratio must be above 100% (AFR>IC) in order to avoid that risk exposures are higher than the Available Financial Resources. RTC is one of the key indicators included in the Group RAF dashboard on which the Bank leverages to guide the selection of the desired risk-return profile in alignment with its business strategies. A milestone of the ICAAP is the Risk Appetite, which in UniCredit group is defined as the level of risk that the Group is willing to take and the risk-return profile it fixes to achieve in pursuing its strategic objectives and business plan, taking into account the interest of its stakeholders (e.g. customers, policymakers, regulators, shareholders) as well as capital and other regulatory and law requirements. The Group Risk Appetite is approved on an annual basis by the Board of Directors and is regularly monitored and reported, at least quarterly, to the relevant committees, with the aim of ensuring the consistency with the risk return profile set by the Board of Directors. At local level, the risk appetite is set for the main Legal Entities and approved by the local competent functions. The main goals of UniCredit group’s Risk Appetite are: • assessing explicitly the risks and their interconnections UniCredit group is willing to accept or should avoid in one year horizon; Risk Appetite targets should be consistent with the ones defined in the strategic multi-year plan; • specifying the types of risk UniCredit group intends to assume by setting the targets, triggers and limits, under both normal and stressed operating conditions; • ensuring an “ex ante” risk-return profile consistent with long term sustainability, in coherence with multi-year strategic plan/budget; • ensuring that the business develops within the risk tolerance set by the Parent Company Board of Directors, also in respect of national and international regulations; • supporting the evaluation of future strategic options with reference to risk profile; • addressing internal and external stakeholders’ view on risk profile consistent with the strategic positioning. The Group Risk Appetite is defined consistently with UniCredit group business model. For this purpose, Group Risk Appetite is integrated in the budget process, in order to guide the selection of the desired risk-return profile in alignment with the Strategic Plan guidelines and at inception of the budget process. UniCredit Compensation Policy is consistent with the Group Risk Appetite to allow the effective implementation of risk reward remuneration for bonus definition and payments. The structure of the Risk Appetite in UniCredit group includes the Group Risk Appetite Statement and the Group Risk Appetite KPIs Dashboard. The Risk Appetite Statement defines the positioning of the bank in terms of strategic targets and related risk profiles to address internal and external stakeholders’ expectations and includes: • a guidance on the overall key boundaries for the Group in terms of focus of activity; • a definition of the desired risk-return profile, in line with the Group’s overall strategy; • an indication on strategies to manage key risks within the perimeter of the Group; • qualitative statements for not quantifiable risks in order to ensure prevention/early intervention on emerging risks. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 298 2021 Annual Report and Accounts · UniCredit 4. Monitoring and Reporting Capital adequacy evaluation is a dynamic process that requires a regular monitoring to support the decision-making processes. The Bank monitors its main risk profile with a frequency consistent with the nature of each single risk. On top of this, a quarterly reporting of integrated risks and Risk Appetite evolution is performed and reported to the relevant Risk Committees and Governing Bodies, in order to set and implement and efficient and effective ICAAP framework. Capital adequacy is assessed considering the balance between the assumed risks and the available capital both in a regulatory and in an economic perspective. With respect to economic perspective and to Going Concern approach, capital adequacy is assessed by comparing the amount of financial resources available to absorb losses and to ensure the business continuity of the Group, the so-called Available Financial Resources (“AFR”), with the economic capital internally estimated (Internal Capital - “IC”). The AFR are computed according to the Group principles and consistent with prudential regulation, in fact the regulatory capital (Own Funds) is the basis for the AFR quantification. The Group capital instruments that are included in the AFR satisfy the following three criteria: • loss absorbency in Going Concern approach; • permanence; • flexibility of payments. The ratio between AFR and IC is the Risk Taking Capacity (“RTC”). This ratio must be above 100% (AFR>IC) in order to avoid that risk exposures are higher than the Available Financial Resources. RTC is one of the key indicators included in the Group RAF dashboard on which the Bank leverages to guide the selection of the desired risk-return profile in alignment with its business strategies. A milestone of the ICAAP is the Risk Appetite, which in UniCredit group is defined as the level of risk that the Group is willing to take and the risk-return profile it fixes to achieve in pursuing its strategic objectives and business plan, taking into account the interest of its stakeholders (e.g. customers, policymakers, regulators, shareholders) as well as capital and other regulatory and law requirements. The Group Risk Appetite is approved on an annual basis by the Board of Directors and is regularly monitored and reported, at least quarterly, to the relevant committees, with the aim of ensuring the consistency with the risk return profile set by the Board of Directors. At local level, the risk appetite is set for the main Legal Entities and approved by the local competent functions. The main goals of UniCredit group’s Risk Appetite are: • assessing explicitly the risks and their interconnections UniCredit group is willing to accept or should avoid in one year horizon; Risk Appetite targets should be consistent with the ones defined in the strategic multi-year plan; • specifying the types of risk UniCredit group intends to assume by setting the targets, triggers and limits, under both normal and stressed operating conditions; • ensuring an “ex ante” risk-return profile consistent with long term sustainability, in coherence with multi-year strategic plan/budget; • ensuring that the business develops within the risk tolerance set by the Parent Company Board of Directors, also in respect of national and international regulations; • supporting the evaluation of future strategic options with reference to risk profile; • addressing internal and external stakeholders’ view on risk profile consistent with the strategic positioning. The Group Risk Appetite is defined consistently with UniCredit group business model. For this purpose, Group Risk Appetite is integrated in the budget process, in order to guide the selection of the desired risk-return profile in alignment with the Strategic Plan guidelines and at inception of the budget process. UniCredit Compensation Policy is consistent with the Group Risk Appetite to allow the effective implementation of risk reward remuneration for bonus definition and payments. The structure of the Risk Appetite in UniCredit group includes the Group Risk Appetite Statement and the Group Risk Appetite KPIs Dashboard. The Risk Appetite Statement defines the positioning of the bank in terms of strategic targets and related risk profiles to address internal and external stakeholders’ expectations and includes: • a guidance on the overall key boundaries for the Group in terms of focus of activity; • a definition of the desired risk-return profile, in line with the Group’s overall strategy; • an indication on strategies to manage key risks within the perimeter of the Group; • qualitative statements for not quantifiable risks in order to ensure prevention/early intervention on emerging risks. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 299 The quantitative elements of the Risk Appetite Framework are instead represented by a Dashboard, composed by a set of KPIs, based on the analysis of the expectations of UniCredit group internal and external stakeholders, including material risks to which the Group is exposed and addressing the following categories: • Regulatory KPIs: to guarantee at any time the fulfilment of the KPIs requested by Regulators (e.g. Common Equity Tier 1 Ratio, Liquidity Coverage Ratio); • Managerial KPIs: KPIs considered to be key from strategic and Risk Appetite standpoint and defined to ensure steering of all key financial risks (e.g. Credit Risk, Liquidity and Interest Rate Risks, Market and Sovereign Risks), Profitability, non-financial risks (e.g. Operational risk, ICT and Cyber risk, Compliance risk) and Climate & Environmental risk. For each of the above dimensions, one or more KPIs are identified, in order to quantitatively measure the position of the Group in different ways: absolute values, ratios, sensitivities to defined parameters. Various levels of thresholds are defined to act as early warning indicators anticipating potential risk situations that will be promptly escalated at relevant organisational level. If specific Risk Appetite thresholds are met, the necessary management measures have to be adopted for effectively adjusting the risk profile. The thresholds are identified as follows (on certain KPIs, not all the thresholds may be meaningful): • Targets represent the amount of risk the Group is willing to take on in normal conditions in line with the Group ambition. They are the reference thresholds for the development and steering of the business; • Triggers represent, from a managerial standpoint, the maximum acceptable level of deviation from the defined target thresholds, or more generally a Warning Level, and are set consistently to assure that the Group can operate, even under stress conditions; • Limits are hard points that represent, from a statutory standpoint, the maximum acceptable level of risk for the Group. Thresholds setting is evaluated by the relevant competent functions, also through managerial decision by the Board of Directors, respecting regulatory and supervisory requirements and also taking into account stakeholders’ expectations and positioning versus peers. In addition, UniCredit group has a series of transversal operational limits and metrics that cover the main risk profiles in order to supplement the Risk Appetite Framework. According to the EBA guidelines, each year ICAAP information is collected for SREP purposes and sent to the Regulator. The Board of Directors, which authorises the sending of this information to the Authorities, also acknowledges that the risk governance of the Group is deemed adequate, guaranteeing that the risk management system in place is in line with the risk profile and strategy of the Group. In addition, the Board of Directors approved and signed the Capital Adequacy Statement during the last Board of Directors held on 14 April 2021. In the Capital Adequacy Statement, the Board of Directors states that the Group provided appropriate measure to mitigate the effects of the second stage emergency for Covid-19 epidemic. For what concern capital evolution over the MYP time horizon, the Group expects the capital ratios above the targets, despite the difficult macroeconomic environment. The Group is consistently engaged in identifying areas of improvement of the ICAAP process in compliance with Supervisory expectations. Risk Culture in UniCredit group UniCredit defines risk culture as the collective and individual ability to identify, understand, openly discuss and make decisions on current and future risks. Since the financial markets crisis, both the financial industry and regulators have been addressing the issue of risk culture, giving a definition of it, identifying its key elements, establishing principles of conduct, providing recommendations and issuing guidelines. In 2014 the Financial Stability Board (FSB) issued the document “Guidance on Supervisory Interaction with Financial Institutions on Risk Culture - A Framework for Assessing Risk Culture”, which identifies the foundational elements that contribute to the promotion of a sound risk culture within financial institutions. It aims at assisting supervisors in assessing the soundness and effectiveness of a financial institution’s culture in managing risks. There are several indicators of a sound risk culture which need to be considered collectively and as mutually reinforcing. These indicators include: • Tone from the top: the Board of Directors and senior management are the starting point for setting the financial institution’s core values and risk culture, and their behaviors must reflect the values being espoused; • Accountability: a successful risk management requires employees at all levels to understand the core values of the institution’s risk culture and its approach to risk, be capable of performing their prescribed roles, and be aware that they are held accountable for their actions in relation to the institution’s risk-taking behavior; • Effective communication and challenge: a sound risk culture promotes an environment of open communication and effective challenge in which decision-making processes encourage a range of views, allow for testing of current practices, and stimulate a positive, critical attitude among employees and an environment of open and constructive engagement; • Incentives: performance and talent management should encourage and reinforce maintenance of the financial institution’s desired risk management behavior. Financial and non-financial incentives should reward servicing the long-term interests of the financial institution and its clients, including sustained profitability, as opposed to short-term revenue generation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 299 The quantitative elements of the Risk Appetite Framework are instead represented by a Dashboard, composed by a set of KPIs, based on the analysis of the expectations of UniCredit group internal and external stakeholders, including material risks to which the Group is exposed and addressing the following categories: • Regulatory KPIs: to guarantee at any time the fulfilment of the KPIs requested by Regulators (e.g. Common Equity Tier 1 Ratio, Liquidity Coverage Ratio); • Managerial KPIs: KPIs considered to be key from strategic and Risk Appetite standpoint and defined to ensure steering of all key financial risks (e.g. Credit Risk, Liquidity and Interest Rate Risks, Market and Sovereign Risks), Profitability, non-financial risks (e.g. Operational risk, ICT and Cyber risk, Compliance risk) and Climate & Environmental risk. For each of the above dimensions, one or more KPIs are identified, in order to quantitatively measure the position of the Group in different ways: absolute values, ratios, sensitivities to defined parameters. Various levels of thresholds are defined to act as early warning indicators anticipating potential risk situations that will be promptly escalated at relevant organisational level. If specific Risk Appetite thresholds are met, the necessary management measures have to be adopted for effectively adjusting the risk profile. The thresholds are identified as follows (on certain KPIs, not all the thresholds may be meaningful): • Targets represent the amount of risk the Group is willing to take on in normal conditions in line with the Group ambition. They are the reference thresholds for the development and steering of the business; • Triggers represent, from a managerial standpoint, the maximum acceptable level of deviation from the defined target thresholds, or more generally a Warning Level, and are set consistently to assure that the Group can operate, even under stress conditions; • Limits are hard points that represent, from a statutory standpoint, the maximum acceptable level of risk for the Group. Thresholds setting is evaluated by the relevant competent functions, also through managerial decision by the Board of Directors, respecting regulatory and supervisory requirements and also taking into account stakeholders’ expectations and positioning versus peers. In addition, UniCredit group has a series of transversal operational limits and metrics that cover the main risk profiles in order to supplement the Risk Appetite Framework. According to the EBA guidelines, each year ICAAP information is collected for SREP purposes and sent to the Regulator. The Board of Directors, which authorises the sending of this information to the Authorities, also acknowledges that the risk governance of the Group is deemed adequate, guaranteeing that the risk management system in place is in line with the risk profile and strategy of the Group. In addition, the Board of Directors approved and signed the Capital Adequacy Statement during the last Board of Directors held on 14 April 2021. In the Capital Adequacy Statement, the Board of Directors states that the Group provided appropriate measure to mitigate the effects of the second stage emergency for Covid-19 epidemic. For what concern capital evolution over the MYP time horizon, the Group expects the capital ratios above the targets, despite the difficult macroeconomic environment. The Group is consistently engaged in identifying areas of improvement of the ICAAP process in compliance with Supervisory expectations. Risk Culture in UniCredit group UniCredit defines risk culture as the collective and individual ability to identify, understand, openly discuss and make decisions on current and future risks. Since the financial markets crisis, both the financial industry and regulators have been addressing the issue of risk culture, giving a definition of it, identifying its key elements, establishing principles of conduct, providing recommendations and issuing guidelines. In 2014 the Financial Stability Board (FSB) issued the document “Guidance on Supervisory Interaction with Financial Institutions on Risk Culture - A Framework for Assessing Risk Culture”, which identifies the foundational elements that contribute to the promotion of a sound risk culture within financial institutions. It aims at assisting supervisors in assessing the soundness and effectiveness of a financial institution’s culture in managing risks. There are several indicators of a sound risk culture which need to be considered collectively and as mutually reinforcing. These indicators include: • Tone from the top: the Board of Directors and senior management are the starting point for setting the financial institution’s core values and risk culture, and their behaviors must reflect the values being espoused; • Accountability: a successful risk management requires employees at all levels to understand the core values of the institution’s risk culture and its approach to risk, be capable of performing their prescribed roles, and be aware that they are held accountable for their actions in relation to the institution’s risk-taking behavior; • Effective communication and challenge: a sound risk culture promotes an environment of open communication and effective challenge in which decision-making processes encourage a range of views, allow for testing of current practices, and stimulate a positive, critical attitude among employees and an environment of open and constructive engagement; • Incentives: performance and talent management should encourage and reinforce maintenance of the financial institution’s desired risk management behavior. Financial and non-financial incentives should reward servicing the long-term interests of the financial institution and its clients, including sustained profitability, as opposed to short-term revenue generation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 299 The quantitative elements of the Risk Appetite Framework are instead represented by a Dashboard, composed by a set of KPIs, based on the analysis of the expectations of UniCredit group internal and external stakeholders, including material risks to which the Group is exposed and addressing the following categories: • Regulatory KPIs: to guarantee at any time the fulfilment of the KPIs requested by Regulators (e.g. Common Equity Tier 1 Ratio, Liquidity Coverage Ratio); • Managerial KPIs: KPIs considered to be key from strategic and Risk Appetite standpoint and defined to ensure steering of all key financial risks (e.g. Credit Risk, Liquidity and Interest Rate Risks, Market and Sovereign Risks), Profitability, non-financial risks (e.g. Operational risk, ICT and Cyber risk, Compliance risk) and Climate & Environmental risk. For each of the above dimensions, one or more KPIs are identified, in order to quantitatively measure the position of the Group in different ways: absolute values, ratios, sensitivities to defined parameters. Various levels of thresholds are defined to act as early warning indicators anticipating potential risk situations that will be promptly escalated at relevant organisational level. If specific Risk Appetite thresholds are met, the necessary management measures have to be adopted for effectively adjusting the risk profile. The thresholds are identified as follows (on certain KPIs, not all the thresholds may be meaningful): • Targets represent the amount of risk the Group is willing to take on in normal conditions in line with the Group ambition. They are the reference thresholds for the development and steering of the business; • Triggers represent, from a managerial standpoint, the maximum acceptable level of deviation from the defined target thresholds, or more generally a Warning Level, and are set consistently to assure that the Group can operate, even under stress conditions; • Limits are hard points that represent, from a statutory standpoint, the maximum acceptable level of risk for the Group. Thresholds setting is evaluated by the relevant competent functions, also through managerial decision by the Board of Directors, respecting regulatory and supervisory requirements and also taking into account stakeholders’ expectations and positioning versus peers. In addition, UniCredit group has a series of transversal operational limits and metrics that cover the main risk profiles in order to supplement the Risk Appetite Framework. According to the EBA guidelines, each year ICAAP information is collected for SREP purposes and sent to the Regulator. The Board of Directors, which authorises the sending of this information to the Authorities, also acknowledges that the risk governance of the Group is deemed adequate, guaranteeing that the risk management system in place is in line with the risk profile and strategy of the Group. In addition, the Board of Directors approved and signed the Capital Adequacy Statement during the last Board of Directors held on 14 April 2021. In the Capital Adequacy Statement, the Board of Directors states that the Group provided appropriate measure to mitigate the effects of the second stage emergency for Covid-19 epidemic. For what concern capital evolution over the MYP time horizon, the Group expects the capital ratios above the targets, despite the difficult macroeconomic environment. The Group is consistently engaged in identifying areas of improvement of the ICAAP process in compliance with Supervisory expectations. Risk Culture in UniCredit group UniCredit defines risk culture as the collective and individual ability to identify, understand, openly discuss and make decisions on current and future risks. Since the financial markets crisis, both the financial industry and regulators have been addressing the issue of risk culture, giving a definition of it, identifying its key elements, establishing principles of conduct, providing recommendations and issuing guidelines. In 2014 the Financial Stability Board (FSB) issued the document “Guidance on Supervisory Interaction with Financial Institutions on Risk Culture - A Framework for Assessing Risk Culture”, which identifies the foundational elements that contribute to the promotion of a sound risk culture within financial institutions. It aims at assisting supervisors in assessing the soundness and effectiveness of a financial institution’s culture in managing risks. There are several indicators of a sound risk culture which need to be considered collectively and as mutually reinforcing. These indicators include: • Tone from the top: the Board of Directors and senior management are the starting point for setting the financial institution’s core values and risk culture, and their behaviors must reflect the values being espoused; • Accountability: a successful risk management requires employees at all levels to understand the core values of the institution’s risk culture and its approach to risk, be capable of performing their prescribed roles, and be aware that they are held accountable for their actions in relation to the institution’s risk-taking behavior; • Effective communication and challenge: a sound risk culture promotes an environment of open communication and effective challenge in which decision-making processes encourage a range of views, allow for testing of current practices, and stimulate a positive, critical attitude among employees and an environment of open and constructive engagement; • Incentives: performance and talent management should encourage and reinforce maintenance of the financial institution’s desired risk management behavior. Financial and non-financial incentives should reward servicing the long-term interests of the financial institution and its clients, including sustained profitability, as opposed to short-term revenue generation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 299 The quantitative elements of the Risk Appetite Framework are instead represented by a Dashboard, composed by a set of KPIs, based on the analysis of the expectations of UniCredit group internal and external stakeholders, including material risks to which the Group is exposed and addressing the following categories: • Regulatory KPIs: to guarantee at any time the fulfilment of the KPIs requested by Regulators (e.g. Common Equity Tier 1 Ratio, Liquidity Coverage Ratio); • Managerial KPIs: KPIs considered to be key from strategic and Risk Appetite standpoint and defined to ensure steering of all key financial risks (e.g. Credit Risk, Liquidity and Interest Rate Risks, Market and Sovereign Risks), Profitability, non-financial risks (e.g. Operational risk, ICT and Cyber risk, Compliance risk) and Climate & Environmental risk. For each of the above dimensions, one or more KPIs are identified, in order to quantitatively measure the position of the Group in different ways: absolute values, ratios, sensitivities to defined parameters. Various levels of thresholds are defined to act as early warning indicators anticipating potential risk situations that will be promptly escalated at relevant organisational level. If specific Risk Appetite thresholds are met, the necessary management measures have to be adopted for effectively adjusting the risk profile. The thresholds are identified as follows (on certain KPIs, not all the thresholds may be meaningful): • Targets represent the amount of risk the Group is willing to take on in normal conditions in line with the Group ambition. They are the reference thresholds for the development and steering of the business; • Triggers represent, from a managerial standpoint, the maximum acceptable level of deviation from the defined target thresholds, or more generally a Warning Level, and are set consistently to assure that the Group can operate, even under stress conditions; • Limits are hard points that represent, from a statutory standpoint, the maximum acceptable level of risk for the Group. Thresholds setting is evaluated by the relevant competent functions, also through managerial decision by the Board of Directors, respecting regulatory and supervisory requirements and also taking into account stakeholders’ expectations and positioning versus peers. In addition, UniCredit group has a series of transversal operational limits and metrics that cover the main risk profiles in order to supplement the Risk Appetite Framework. According to the EBA guidelines, each year ICAAP information is collected for SREP purposes and sent to the Regulator. The Board of Directors, which authorises the sending of this information to the Authorities, also acknowledges that the risk governance of the Group is deemed adequate, guaranteeing that the risk management system in place is in line with the risk profile and strategy of the Group. In addition, the Board of Directors approved and signed the Capital Adequacy Statement during the last Board of Directors held on 14 April 2021. In the Capital Adequacy Statement, the Board of Directors states that the Group provided appropriate measure to mitigate the effects of the second stage emergency for Covid-19 epidemic. For what concern capital evolution over the MYP time horizon, the Group expects the capital ratios above the targets, despite the difficult macroeconomic environment. The Group is consistently engaged in identifying areas of improvement of the ICAAP process in compliance with Supervisory expectations. Risk Culture in UniCredit group UniCredit defines risk culture as the collective and individual ability to identify, understand, openly discuss and make decisions on current and future risks. Since the financial markets crisis, both the financial industry and regulators have been addressing the issue of risk culture, giving a definition of it, identifying its key elements, establishing principles of conduct, providing recommendations and issuing guidelines. In 2014 the Financial Stability Board (FSB) issued the document “Guidance on Supervisory Interaction with Financial Institutions on Risk Culture - A Framework for Assessing Risk Culture”, which identifies the foundational elements that contribute to the promotion of a sound risk culture within financial institutions. It aims at assisting supervisors in assessing the soundness and effectiveness of a financial institution’s culture in managing risks. There are several indicators of a sound risk culture which need to be considered collectively and as mutually reinforcing. These indicators include: • Tone from the top: the Board of Directors and senior management are the starting point for setting the financial institution’s core values and risk culture, and their behaviors must reflect the values being espoused; • Accountability: a successful risk management requires employees at all levels to understand the core values of the institution’s risk culture and its approach to risk, be capable of performing their prescribed roles, and be aware that they are held accountable for their actions in relation to the institution’s risk-taking behavior; • Effective communication and challenge: a sound risk culture promotes an environment of open communication and effective challenge in which decision-making processes encourage a range of views, allow for testing of current practices, and stimulate a positive, critical attitude among employees and an environment of open and constructive engagement; • Incentives: performance and talent management should encourage and reinforce maintenance of the financial institution’s desired risk management behavior. Financial and non-financial incentives should reward servicing the long-term interests of the financial institution and its clients, including sustained profitability, as opposed to short-term revenue generation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 299 The quantitative elements of the Risk Appetite Framework are instead represented by a Dashboard, composed by a set of KPIs, based on the analysis of the expectations of UniCredit group internal and external stakeholders, including material risks to which the Group is exposed and addressing the following categories: • Regulatory KPIs: to guarantee at any time the fulfilment of the KPIs requested by Regulators (e.g. Common Equity Tier 1 Ratio, Liquidity Coverage Ratio); • Managerial KPIs: KPIs considered to be key from strategic and Risk Appetite standpoint and defined to ensure steering of all key financial risks (e.g. Credit Risk, Liquidity and Interest Rate Risks, Market and Sovereign Risks), Profitability, non-financial risks (e.g. Operational risk, ICT and Cyber risk, Compliance risk) and Climate & Environmental risk. For each of the above dimensions, one or more KPIs are identified, in order to quantitatively measure the position of the Group in different ways: absolute values, ratios, sensitivities to defined parameters. Various levels of thresholds are defined to act as early warning indicators anticipating potential risk situations that will be promptly escalated at relevant organisational level. If specific Risk Appetite thresholds are met, the necessary management measures have to be adopted for effectively adjusting the risk profile. The thresholds are identified as follows (on certain KPIs, not all the thresholds may be meaningful): • Targets represent the amount of risk the Group is willing to take on in normal conditions in line with the Group ambition. They are the reference thresholds for the development and steering of the business; • Triggers represent, from a managerial standpoint, the maximum acceptable level of deviation from the defined target thresholds, or more generally a Warning Level, and are set consistently to assure that the Group can operate, even under stress conditions; • Limits are hard points that represent, from a statutory standpoint, the maximum acceptable level of risk for the Group. Thresholds setting is evaluated by the relevant competent functions, also through managerial decision by the Board of Directors, respecting regulatory and supervisory requirements and also taking into account stakeholders’ expectations and positioning versus peers. In addition, UniCredit group has a series of transversal operational limits and metrics that cover the main risk profiles in order to supplement the Risk Appetite Framework. According to the EBA guidelines, each year ICAAP information is collected for SREP purposes and sent to the Regulator. The Board of Directors, which authorises the sending of this information to the Authorities, also acknowledges that the risk governance of the Group is deemed adequate, guaranteeing that the risk management system in place is in line with the risk profile and strategy of the Group. In addition, the Board of Directors approved and signed the Capital Adequacy Statement during the last Board of Directors held on 14 April 2021. In the Capital Adequacy Statement, the Board of Directors states that the Group provided appropriate measure to mitigate the effects of the second stage emergency for Covid-19 epidemic. For what concern capital evolution over the MYP time horizon, the Group expects the capital ratios above the targets, despite the difficult macroeconomic environment. The Group is consistently engaged in identifying areas of improvement of the ICAAP process in compliance with Supervisory expectations. Risk Culture in UniCredit group UniCredit defines risk culture as the collective and individual ability to identify, understand, openly discuss and make decisions on current and future risks. Since the financial markets crisis, both the financial industry and regulators have been addressing the issue of risk culture, giving a definition of it, identifying its key elements, establishing principles of conduct, providing recommendations and issuing guidelines. In 2014 the Financial Stability Board (FSB) issued the document “Guidance on Supervisory Interaction with Financial Institutions on Risk Culture - A Framework for Assessing Risk Culture”, which identifies the foundational elements that contribute to the promotion of a sound risk culture within financial institutions. It aims at assisting supervisors in assessing the soundness and effectiveness of a financial institution’s culture in managing risks. There are several indicators of a sound risk culture which need to be considered collectively and as mutually reinforcing. These indicators include: • Tone from the top: the Board of Directors and senior management are the starting point for setting the financial institution’s core values and risk culture, and their behaviors must reflect the values being espoused; • Accountability: a successful risk management requires employees at all levels to understand the core values of the institution’s risk culture and its approach to risk, be capable of performing their prescribed roles, and be aware that they are held accountable for their actions in relation to the institution’s risk-taking behavior; • Effective communication and challenge: a sound risk culture promotes an environment of open communication and effective challenge in which decision-making processes encourage a range of views, allow for testing of current practices, and stimulate a positive, critical attitude among employees and an environment of open and constructive engagement; • Incentives: performance and talent management should encourage and reinforce maintenance of the financial institution’s desired risk management behavior. Financial and non-financial incentives should reward servicing the long-term interests of the financial institution and its clients, including sustained profitability, as opposed to short-term revenue generation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 300 2021 Annual Report and Accounts · UniCredit The Group Risk Management, in line with its mission as defined by the Board of Directors of UniCredit, adopted a structured, all-inclusive approach to strengthen UniCredit's risk culture, by addressing the following areas: 1. Governance; 2. Learning and development; 3. Performance management; 4. Communication. 1. Governance Risk Governance - One of the key elements in risk management is the Risk Appetite Framework. Dedicated Group Risk Committees have been established in order to strengthen the capacity of independent steering, coordination and control of Group risks, to improve the efficiency and the flexibility of the risks decision process and to address the interaction between the relevant risk stakeholders. 2. Learning & Development Training - The learning framework is characterised by digital, modular and freestanding solutions and is based on adaptive learning methods. Three main streams ensure that all the participants are fully aware of the different risks. These streams are differentiated according to the target population and the required risk knowledge. At the same time, those in specific positions and risk professionals will receive further training specifically tailored to the requirements of their jobs. Cross-functional job rotation - Learning on the job and cross-functional rotation, in which colleagues from the business lines work in risk functions, and vice versa, have been extremely valuable and helpful. These initiatives facilitate the virtuous cycle for bringing business knowledge to risk functions and introducing risk awareness to the decision-making process of the business lines. In addition, they enable the exchange of expertise and points of view that improves the colleagues’ capabilities to analyse, approach and mutually understand the different situations they both face on a daily basis. 3. Performance Management Remuneration - To reinforce the Bank's risk culture, also the link between remuneration and risk represents an important element. This link is ensured by the involvement of the Risk function in compensation design and the definition of an explicit framework to base remuneration within an overarching Group Risk Appetite framework. In particular, the Board of Directors with the support of the competent Supervisory Committees (Remuneration Committee and Internal Controls and Risks Committee) and upon the input of involved functions ensures the link among profitability, risk and reward within Group Incentive Systems. Risk-based KPIs - At Group level, the strong commitment to a consistent risk culture as well as the individual accountability of risk, compliance and controls is constantly promoted and enhanced. Group Human Capital (HC) contributes to this, spreading Group-wide risk, compliance & control culture by leveraging on the existing framework and building selected initiatives. Over the past few years, HC built up a framework to enhance internal control system awareness and accountability by setting processes that embed sensitivity to Risk and Compliance attitudes, such as Executive Development Plan (EDP - the annual performance management and review process of UniCredit, involving all the Executives of the Group), Group Incentive System, Learning & Development. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 300 2021 Annual Report and Accounts · UniCredit The Group Risk Management, in line with its mission as defined by the Board of Directors of UniCredit, adopted a structured, all-inclusive approach to strengthen UniCredit's risk culture, by addressing the following areas: 1. Governance; 2. Learning and development; 3. Performance management; 4. Communication. 1. Governance Risk Governance - One of the key elements in risk management is the Risk Appetite Framework. Dedicated Group Risk Committees have been established in order to strengthen the capacity of independent steering, coordination and control of Group risks, to improve the efficiency and the flexibility of the risks decision process and to address the interaction between the relevant risk stakeholders. 2. Learning & Development Training - The learning framework is characterised by digital, modular and freestanding solutions and is based on adaptive learning methods. Three main streams ensure that all the participants are fully aware of the different risks. These streams are differentiated according to the target population and the required risk knowledge. At the same time, those in specific positions and risk professionals will receive further training specifically tailored to the requirements of their jobs. Cross-functional job rotation - Learning on the job and cross-functional rotation, in which colleagues from the business lines work in risk functions, and vice versa, have been extremely valuable and helpful. These initiatives facilitate the virtuous cycle for bringing business knowledge to risk functions and introducing risk awareness to the decision-making process of the business lines. In addition, they enable the exchange of expertise and points of view that improves the colleagues’ capabilities to analyse, approach and mutually understand the different situations they both face on a daily basis. 3. Performance Management Remuneration - To reinforce the Bank's risk culture, also the link between remuneration and risk represents an important element. This link is ensured by the involvement of the Risk function in compensation design and the definition of an explicit framework to base remuneration within an overarching Group Risk Appetite framework. In particular, the Board of Directors with the support of the competent Supervisory Committees (Remuneration Committee and Internal Controls and Risks Committee) and upon the input of involved functions ensures the link among profitability, risk and reward within Group Incentive Systems. Risk-based KPIs - At Group level, the strong commitment to a consistent risk culture as well as the individual accountability of risk, compliance and controls is constantly promoted and enhanced. Group Human Capital (HC) contributes to this, spreading Group-wide risk, compliance & control culture by leveraging on the existing framework and building selected initiatives. Over the past few years, HC built up a framework to enhance internal control system awareness and accountability by setting processes that embed sensitivity to Risk and Compliance attitudes, such as Executive Development Plan (EDP - the annual performance management and review process of UniCredit, involving all the Executives of the Group), Group Incentive System, Learning & Development. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 300 2021 Annual Report and Accounts · UniCredit The Group Risk Management, in line with its mission as defined by the Board of Directors of UniCredit, adopted a structured, all-inclusive approach to strengthen UniCredit's risk culture, by addressing the following areas: 1. Governance; 2. Learning and development; 3. Performance management; 4. Communication. 1. Governance Risk Governance - One of the key elements in risk management is the Risk Appetite Framework. Dedicated Group Risk Committees have been established in order to strengthen the capacity of independent steering, coordination and control of Group risks, to improve the efficiency and the flexibility of the risks decision process and to address the interaction between the relevant risk stakeholders. 2. Learning & Development Training - The learning framework is characterised by digital, modular and freestanding solutions and is based on adaptive learning methods. Three main streams ensure that all the participants are fully aware of the different risks. These streams are differentiated according to the target population and the required risk knowledge. At the same time, those in specific positions and risk professionals will receive further training specifically tailored to the requirements of their jobs. Cross-functional job rotation - Learning on the job and cross-functional rotation, in which colleagues from the business lines work in risk functions, and vice versa, have been extremely valuable and helpful. These initiatives facilitate the virtuous cycle for bringing business knowledge to risk functions and introducing risk awareness to the decision-making process of the business lines. In addition, they enable the exchange of expertise and points of view that improves the colleagues’ capabilities to analyse, approach and mutually understand the different situations they both face on a daily basis. 3. Performance Management Remuneration - To reinforce the Bank's risk culture, also the link between remuneration and risk represents an important element. This link is ensured by the involvement of the Risk function in compensation design and the definition of an explicit framework to base remuneration within an overarching Group Risk Appetite framework. In particular, the Board of Directors with the support of the competent Supervisory Committees (Remuneration Committee and Internal Controls and Risks Committee) and upon the input of involved functions ensures the link among profitability, risk and reward within Group Incentive Systems. Risk-based KPIs - At Group level, the strong commitment to a consistent risk culture as well as the individual accountability of risk, compliance and controls is constantly promoted and enhanced. Group Human Capital (HC) contributes to this, spreading Group-wide risk, compliance & control culture by leveraging on the existing framework and building selected initiatives. Over the past few years, HC built up a framework to enhance internal control system awareness and accountability by setting processes that embed sensitivity to Risk and Compliance attitudes, such as Executive Development Plan (EDP - the annual performance management and review process of UniCredit, involving all the Executives of the Group), Group Incentive System, Learning & Development. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 300 2021 Annual Report and Accounts · UniCredit The Group Risk Management, in line with its mission as defined by the Board of Directors of UniCredit, adopted a structured, all-inclusive approach to strengthen UniCredit's risk culture, by addressing the following areas: 1. Governance; 2. Learning and development; 3. Performance management; 4. Communication. 1. Governance Risk Governance - One of the key elements in risk management is the Risk Appetite Framework. Dedicated Group Risk Committees have been established in order to strengthen the capacity of independent steering, coordination and control of Group risks, to improve the efficiency and the flexibility of the risks decision process and to address the interaction between the relevant risk stakeholders. 2. Learning & Development Training - The learning framework is characterised by digital, modular and freestanding solutions and is based on adaptive learning methods. Three main streams ensure that all the participants are fully aware of the different risks. These streams are differentiated according to the target population and the required risk knowledge. At the same time, those in specific positions and risk professionals will receive further training specifically tailored to the requirements of their jobs. Cross-functional job rotation - Learning on the job and cross-functional rotation, in which colleagues from the business lines work in risk functions, and vice versa, have been extremely valuable and helpful. These initiatives facilitate the virtuous cycle for bringing business knowledge to risk functions and introducing risk awareness to the decision-making process of the business lines. In addition, they enable the exchange of expertise and points of view that improves the colleagues’ capabilities to analyse, approach and mutually understand the different situations they both face on a daily basis. 3. Performance Management Remuneration - To reinforce the Bank's risk culture, also the link between remuneration and risk represents an important element. This link is ensured by the involvement of the Risk function in compensation design and the definition of an explicit framework to base remuneration within an overarching Group Risk Appetite framework. In particular, the Board of Directors with the support of the competent Supervisory Committees (Remuneration Committee and Internal Controls and Risks Committee) and upon the input of involved functions ensures the link among profitability, risk and reward within Group Incentive Systems. Risk-based KPIs - At Group level, the strong commitment to a consistent risk culture as well as the individual accountability of risk, compliance and controls is constantly promoted and enhanced. Group Human Capital (HC) contributes to this, spreading Group-wide risk, compliance & control culture by leveraging on the existing framework and building selected initiatives. Over the past few years, HC built up a framework to enhance internal control system awareness and accountability by setting processes that embed sensitivity to Risk and Compliance attitudes, such as Executive Development Plan (EDP - the annual performance management and review process of UniCredit, involving all the Executives of the Group), Group Incentive System, Learning & Development. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 300 2021 Annual Report and Accounts · UniCredit The Group Risk Management, in line with its mission as defined by the Board of Directors of UniCredit, adopted a structured, all-inclusive approach to strengthen UniCredit's risk culture, by addressing the following areas: 1. Governance; 2. Learning and development; 3. Performance management; 4. Communication. 1. Governance Risk Governance - One of the key elements in risk management is the Risk Appetite Framework. Dedicated Group Risk Committees have been established in order to strengthen the capacity of independent steering, coordination and control of Group risks, to improve the efficiency and the flexibility of the risks decision process and to address the interaction between the relevant risk stakeholders. 2. Learning & Development Training - The learning framework is characterised by digital, modular and freestanding solutions and is based on adaptive learning methods. Three main streams ensure that all the participants are fully aware of the different risks. These streams are differentiated according to the target population and the required risk knowledge. At the same time, those in specific positions and risk professionals will receive further training specifically tailored to the requirements of their jobs. Cross-functional job rotation - Learning on the job and cross-functional rotation, in which colleagues from the business lines work in risk functions, and vice versa, have been extremely valuable and helpful. These initiatives facilitate the virtuous cycle for bringing business knowledge to risk functions and introducing risk awareness to the decision-making process of the business lines. In addition, they enable the exchange of expertise and points of view that improves the colleagues’ capabilities to analyse, approach and mutually understand the different situations they both face on a daily basis. 3. Performance Management Remuneration - To reinforce the Bank's risk culture, also the link between remuneration and risk represents an important element. This link is ensured by the involvement of the Risk function in compensation design and the definition of an explicit framework to base remuneration within an overarching Group Risk Appetite framework. In particular, the Board of Directors with the support of the competent Supervisory Committees (Remuneration Committee and Internal Controls and Risks Committee) and upon the input of involved functions ensures the link among profitability, risk and reward within Group Incentive Systems. Risk-based KPIs - At Group level, the strong commitment to a consistent risk culture as well as the individual accountability of risk, compliance and controls is constantly promoted and enhanced. Group Human Capital (HC) contributes to this, spreading Group-wide risk, compliance & control culture by leveraging on the existing framework and building selected initiatives. Over the past few years, HC built up a framework to enhance internal control system awareness and accountability by setting processes that embed sensitivity to Risk and Compliance attitudes, such as Executive Development Plan (EDP - the annual performance management and review process of UniCredit, involving all the Executives of the Group), Group Incentive System, Learning & Development. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 301 Since 2012, as part of the EDP and incentive system processes, the Group put specific emphasis on risk, compliance and control features. In particular: • the KPI Bluebook (a set of guidelines for defining individual goals consistent with business direction, risk perspective, regulatory framework and sustainability) contains specific KPIs focused on risk and control culture; • the Compliance Assessment, pursuant to which Managers are required to prove the employee’s reliability with regards to risks and compliance, with specific focus on legal anti-money laundering obligations. 4. Communication Within the UniCredit risk culture, emphasis is put on aligning and re-iterating key messages on UniCredit mission and values. Top management’s focus is devoted to transforming words into tangible actions and to show how the Group is embedding risk culture into its operating practices. An editorial plan has been developed, in order to communicate common statements on how risk culture is at the core of UniCredit strategy. In 2021 risk news published on UniCredit group intranet site, reached more than 18,000 page views. Reconciliation between accounting perimeter and prudential perimeter Note that Section 1 - Risks of the accounting consolidated perimeter provides information on companies included in the accounting perimeter of consolidation. Section 2 - Risks of the prudential consolidated perimeter provides information referred to the prudential perimeter of consolidation. In this regard the accounting perimeter is composed by companies fully consolidated in accordance with IFRS10, for additional information refer to to Notes to the consolidated accounts, Part A - Accounting policies, Section 3 - Consolidation scope and methods. The prudential perimeter is composed by companies subject to full consolidation in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on “prudential requirements for credit institutions and investment firms” (CRR). Prudential perimeter differs, as a result, from the accounting perimeter due to the accounting through the equity method of those subsidiaries that are not engaged in banking activity, financial activity of instrumental activity, which are subject to full consolidation in the accounting perimeter. The interests held in these companies is included in item 70. Equity investments. (€ million) AMOUNTS AS AT 31.12.2021 ASSETS ACCOUNTING PERIMETER PRUDENTIAL PERIMETER DELTA 10. Cash and cash balances 107,407 107,404 (3) 20. Financial assets at fair value through profit or loss: 92,239 92,235 (4) a) financial assets held for trading 80,109 80,109 - b) financial assets designated at fair value 279 279 - c) other financial assets mandatorily at fair value 11,851 11,847 (4) 30. Financial assets at fair value through other comprehensive income 68,564 68,489 (75) 40. Financial assets at amortised cost: 593,618 594,083 465 a) loans and advances to banks 91,403 91,403 - b) loans and advances to customers 502,215 502,680 465 50. Hedging derivatives 3,065 3,065 - 60. Changes in fair value of portfolio hedged items (+/-) 1,511 1,511 - 70. Equity investments 4,073 4,461 388 80. Insurance reserves charged to reinsurers - - - 90. Property. plant and equipment 8,911 8,153 (758) 100. Intangible assets 2,213 2,212 (1) of which: goodwill - - - 110. Tax assets: 13,552 13,550 (2) a) current 1,954 1,953 (1) b) deferred 11,598 11,597 (1) 120. Non-current assets and disposal groups classified as held for sale 14,287 14,167 (120) 130. Other assets 7,231 7,504 273 Total assets 916,671 916,834 163 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 301 Since 2012, as part of the EDP and incentive system processes, the Group put specific emphasis on risk, compliance and control features. In particular: • the KPI Bluebook (a set of guidelines for defining individual goals consistent with business direction, risk perspective, regulatory framework and sustainability) contains specific KPIs focused on risk and control culture; • the Compliance Assessment, pursuant to which Managers are required to prove the employee’s reliability with regards to risks and compliance, with specific focus on legal anti-money laundering obligations. 4. Communication Within the UniCredit risk culture, emphasis is put on aligning and re-iterating key messages on UniCredit mission and values. Top management’s focus is devoted to transforming words into tangible actions and to show how the Group is embedding risk culture into its operating practices. An editorial plan has been developed, in order to communicate common statements on how risk culture is at the core of UniCredit strategy. In 2021 risk news published on UniCredit group intranet site, reached more than 18,000 page views. Reconciliation between accounting perimeter and prudential perimeter Note that Section 1 - Risks of the accounting consolidated perimeter provides information on companies included in the accounting perimeter of consolidation. Section 2 - Risks of the prudential consolidated perimeter provides information referred to the prudential perimeter of consolidation. In this regard the accounting perimeter is composed by companies fully consolidated in accordance with IFRS10, for additional information refer to to Notes to the consolidated accounts, Part A - Accounting policies, Section 3 - Consolidation scope and methods. The prudential perimeter is composed by companies subject to full consolidation in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on “prudential requirements for credit institutions and investment firms” (CRR). Prudential perimeter differs, as a result, from the accounting perimeter due to the accounting through the equity method of those subsidiaries that are not engaged in banking activity, financial activity of instrumental activity, which are subject to full consolidation in the accounting perimeter. The interests held in these companies is included in item 70. Equity investments. (€ million) AMOUNTS AS AT 31.12.2021 ASSETS ACCOUNTING PERIMETER PRUDENTIAL PERIMETER DELTA 10. Cash and cash balances 107,407 107,404 (3) 20. Financial assets at fair value through profit or loss: 92,239 92,235 (4) a) financial assets held for trading 80,109 80,109 - b) financial assets designated at fair value 279 279 - c) other financial assets mandatorily at fair value 11,851 11,847 (4) 30. Financial assets at fair value through other comprehensive income 68,564 68,489 (75) 40. Financial assets at amortised cost: 593,618 594,083 465 a) loans and advances to banks 91,403 91,403 - b) loans and advances to customers 502,215 502,680 465 50. Hedging derivatives 3,065 3,065 - 60. Changes in fair value of portfolio hedged items (+/-) 1,511 1,511 - 70. Equity investments 4,073 4,461 388 80. Insurance reserves charged to reinsurers - - - 90. Property. plant and equipment 8,911 8,153 (758) 100. Intangible assets 2,213 2,212 (1) of which: goodwill - - - 110. Tax assets: 13,552 13,550 (2) a) current 1,954 1,953 (1) b) deferred 11,598 11,597 (1) 120. Non-current assets and disposal groups classified as held for sale 14,287 14,167 (120) 130. Other assets 7,231 7,504 273 Total assets 916,671 916,834 163 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 301 Since 2012, as part of the EDP and incentive system processes, the Group put specific emphasis on risk, compliance and control features. In particular: • the KPI Bluebook (a set of guidelines for defining individual goals consistent with business direction, risk perspective, regulatory framework and sustainability) contains specific KPIs focused on risk and control culture; • the Compliance Assessment, pursuant to which Managers are required to prove the employee’s reliability with regards to risks and compliance, with specific focus on legal anti-money laundering obligations. 4. Communication Within the UniCredit risk culture, emphasis is put on aligning and re-iterating key messages on UniCredit mission and values. Top management’s focus is devoted to transforming words into tangible actions and to show how the Group is embedding risk culture into its operating practices. An editorial plan has been developed, in order to communicate common statements on how risk culture is at the core of UniCredit strategy. In 2021 risk news published on UniCredit group intranet site, reached more than 18,000 page views. Reconciliation between accounting perimeter and prudential perimeter Note that Section 1 - Risks of the accounting consolidated perimeter provides information on companies included in the accounting perimeter of consolidation. Section 2 - Risks of the prudential consolidated perimeter provides information referred to the prudential perimeter of consolidation. In this regard the accounting perimeter is composed by companies fully consolidated in accordance with IFRS10, for additional information refer to to Notes to the consolidated accounts, Part A - Accounting policies, Section 3 - Consolidation scope and methods. The prudential perimeter is composed by companies subject to full consolidation in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on “prudential requirements for credit institutions and investment firms” (CRR). Prudential perimeter differs, as a result, from the accounting perimeter due to the accounting through the equity method of those subsidiaries that are not engaged in banking activity, financial activity of instrumental activity, which are subject to full consolidation in the accounting perimeter. The interests held in these companies is included in item 70. Equity investments. (€ million) AMOUNTS AS AT 31.12.2021 ASSETS ACCOUNTING PERIMETER PRUDENTIAL PERIMETER DELTA 10. Cash and cash balances 107,407 107,404 (3) 20. Financial assets at fair value through profit or loss: 92,239 92,235 (4) a) financial assets held for trading 80,109 80,109 - b) financial assets designated at fair value 279 279 - c) other financial assets mandatorily at fair value 11,851 11,847 (4) 30. Financial assets at fair value through other comprehensive income 68,564 68,489 (75) 40. Financial assets at amortised cost: 593,618 594,083 465 a) loans and advances to banks 91,403 91,403 - b) loans and advances to customers 502,215 502,680 465 50. Hedging derivatives 3,065 3,065 - 60. Changes in fair value of portfolio hedged items (+/-) 1,511 1,511 - 70. Equity investments 4,073 4,461 388 80. Insurance reserves charged to reinsurers - - - 90. Property. plant and equipment 8,911 8,153 (758) 100. Intangible assets 2,213 2,212 (1) of which: goodwill - - - 110. Tax assets: 13,552 13,550 (2) a) current 1,954 1,953 (1) b) deferred 11,598 11,597 (1) 120. Non-current assets and disposal groups classified as held for sale 14,287 14,167 (120) 130. Other assets 7,231 7,504 273 Total assets 916,671 916,834 163 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 301 Since 2012, as part of the EDP and incentive system processes, the Group put specific emphasis on risk, compliance and control features. In particular: • the KPI Bluebook (a set of guidelines for defining individual goals consistent with business direction, risk perspective, regulatory framework and sustainability) contains specific KPIs focused on risk and control culture; • the Compliance Assessment, pursuant to which Managers are required to prove the employee’s reliability with regards to risks and compliance, with specific focus on legal anti-money laundering obligations. 4. Communication Within the UniCredit risk culture, emphasis is put on aligning and re-iterating key messages on UniCredit mission and values. Top management’s focus is devoted to transforming words into tangible actions and to show how the Group is embedding risk culture into its operating practices. An editorial plan has been developed, in order to communicate common statements on how risk culture is at the core of UniCredit strategy. In 2021 risk news published on UniCredit group intranet site, reached more than 18,000 page views. Reconciliation between accounting perimeter and prudential perimeter Note that Section 1 - Risks of the accounting consolidated perimeter provides information on companies included in the accounting perimeter of consolidation. Section 2 - Risks of the prudential consolidated perimeter provides information referred to the prudential perimeter of consolidation. In this regard the accounting perimeter is composed by companies fully consolidated in accordance with IFRS10, for additional information refer to to Notes to the consolidated accounts, Part A - Accounting policies, Section 3 - Consolidation scope and methods. The prudential perimeter is composed by companies subject to full consolidation in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on “prudential requirements for credit institutions and investment firms” (CRR). Prudential perimeter differs, as a result, from the accounting perimeter due to the accounting through the equity method of those subsidiaries that are not engaged in banking activity, financial activity of instrumental activity, which are subject to full consolidation in the accounting perimeter. The interests held in these companies is included in item 70. Equity investments. (€ million) AMOUNTS AS AT 31.12.2021 ASSETS ACCOUNTING PERIMETER PRUDENTIAL PERIMETER DELTA 10. Cash and cash balances 107,407 107,404 (3) 20. Financial assets at fair value through profit or loss: 92,239 92,235 (4) a) financial assets held for trading 80,109 80,109 - b) financial assets designated at fair value 279 279 - c) other financial assets mandatorily at fair value 11,851 11,847 (4) 30. Financial assets at fair value through other comprehensive income 68,564 68,489 (75) 40. Financial assets at amortised cost: 593,618 594,083 465 a) loans and advances to banks 91,403 91,403 - b) loans and advances to customers 502,215 502,680 465 50. Hedging derivatives 3,065 3,065 - 60. Changes in fair value of portfolio hedged items (+/-) 1,511 1,511 - 70. Equity investments 4,073 4,461 388 80. Insurance reserves charged to reinsurers - - - 90. Property. plant and equipment 8,911 8,153 (758) 100. Intangible assets 2,213 2,212 (1) of which: goodwill - - - 110. Tax assets: 13,552 13,550 (2) a) current 1,954 1,953 (1) b) deferred 11,598 11,597 (1) 120. Non-current assets and disposal groups classified as held for sale 14,287 14,167 (120) 130. Other assets 7,231 7,504 273 Total assets 916,671 916,834 163 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 301 Since 2012, as part of the EDP and incentive system processes, the Group put specific emphasis on risk, compliance and control features. In particular: • the KPI Bluebook (a set of guidelines for defining individual goals consistent with business direction, risk perspective, regulatory framework and sustainability) contains specific KPIs focused on risk and control culture; • the Compliance Assessment, pursuant to which Managers are required to prove the employee’s reliability with regards to risks and compliance, with specific focus on legal anti-money laundering obligations. 4. Communication Within the UniCredit risk culture, emphasis is put on aligning and re-iterating key messages on UniCredit mission and values. Top management’s focus is devoted to transforming words into tangible actions and to show how the Group is embedding risk culture into its operating practices. An editorial plan has been developed, in order to communicate common statements on how risk culture is at the core of UniCredit strategy. In 2021 risk news published on UniCredit group intranet site, reached more than 18,000 page views. Reconciliation between accounting perimeter and prudential perimeter Note that Section 1 - Risks of the accounting consolidated perimeter provides information on companies included in the accounting perimeter of consolidation. Section 2 - Risks of the prudential consolidated perimeter provides information referred to the prudential perimeter of consolidation. In this regard the accounting perimeter is composed by companies fully consolidated in accordance with IFRS10, for additional information refer to to Notes to the consolidated accounts, Part A - Accounting policies, Section 3 - Consolidation scope and methods. The prudential perimeter is composed by companies subject to full consolidation in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on “prudential requirements for credit institutions and investment firms” (CRR). Prudential perimeter differs, as a result, from the accounting perimeter due to the accounting through the equity method of those subsidiaries that are not engaged in banking activity, financial activity of instrumental activity, which are subject to full consolidation in the accounting perimeter. The interests held in these companies is included in item 70. Equity investments. (€ million) AMOUNTS AS AT 31.12.2021 ASSETS ACCOUNTING PERIMETER PRUDENTIAL PERIMETER DELTA 10. Cash and cash balances 107,407 107,404 (3) 20. Financial assets at fair value through profit or loss: 92,239 92,235 (4) a) financial assets held for trading 80,109 80,109 - b) financial assets designated at fair value 279 279 - c) other financial assets mandatorily at fair value 11,851 11,847 (4) 30. Financial assets at fair value through other comprehensive income 68,564 68,489 (75) 40. Financial assets at amortised cost: 593,618 594,083 465 a) loans and advances to banks 91,403 91,403 - b) loans and advances to customers 502,215 502,680 465 50. Hedging derivatives 3,065 3,065 - 60. Changes in fair value of portfolio hedged items (+/-) 1,511 1,511 - 70. Equity investments 4,073 4,461 388 80. Insurance reserves charged to reinsurers - - - 90. Property. plant and equipment 8,911 8,153 (758) 100. Intangible assets 2,213 2,212 (1) of which: goodwill - - - 110. Tax assets: 13,552 13,550 (2) a) current 1,954 1,953 (1) b) deferred 11,598 11,597 (1) 120. Non-current assets and disposal groups classified as held for sale 14,287 14,167 (120) 130. Other assets 7,231 7,504 273 Total assets 916,671 916,834 163 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 302 2021 Annual Report and Accounts · UniCredit continued: (€ million) AMOUNTS AS AT 31.12.2021 LIABILITIES AND SHAREHOLDERS' EQUITY ACCOUNTING PERIMETER PRUDENTIAL PERIMETER DELTA 10. Financial liabilities at amortised cost: 761,023 761,178 155 a) deposit from banks 162,571 162,513 (58) b) deposit from customers 502,554 502,767 213 c) debt securities in issue 95,898 95,898 - 20. Financial liabilities held for trading 51,608 51,608 - 30. Financial liabilities designated at fair value 9,556 9,556 - 40. Hedging derivatives 4,303 4,303 - 50. Value adjustment of hedged financial liabilities (+/-) 963 963 - 60. Tax liabilities: 1,215 1,175 (40) a) current 627 625 (2) b) deferred 588 550 (38) 70. Liabilities associated with non-current assets held for sale 2,149 2,052 (97) 80. Other liabilities 13,301 13,468 167 90. Provision for employee severance pay 516 516 - 100. Provision for risks and charges: 9,944 9,882 (62) a) commitments and guarantees given 1,425 1,425 - b) post retirement benefit obligations 4,738 4,737 (1) c) other provisions for risks and charges 3,781 3,720 (61) 110.Technical reserves - - - 120. Valuation reserves (4,337) (4,337) - 130. Redeemable shares - - - 140. Equity instruments 6,595 6,595 - 150. Reserves 31,451 31,451 - 160. Share premium 5,446 5,446 - 170. Share capital 21,133 21,133 - 180. Treasury shares (-) (200) (200) - 190. Minority shareholders' equity (+/-) 465 505 40 200. Net profit (Loss) for the year (+/-) 1,540 1,540 - Total liabilities and shareholders' equity 916,671 916,834 163 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 302 2021 Annual Report and Accounts · UniCredit continued: (€ million) AMOUNTS AS AT 31.12.2021 LIABILITIES AND SHAREHOLDERS' EQUITY ACCOUNTING PERIMETER PRUDENTIAL PERIMETER DELTA 10. Financial liabilities at amortised cost: 761,023 761,178 155 a) deposit from banks 162,571 162,513 (58) b) deposit from customers 502,554 502,767 213 c) debt securities in issue 95,898 95,898 - 20. Financial liabilities held for trading 51,608 51,608 - 30. Financial liabilities designated at fair value 9,556 9,556 - 40. Hedging derivatives 4,303 4,303 - 50. Value adjustment of hedged financial liabilities (+/-) 963 963 - 60. Tax liabilities: 1,215 1,175 (40) a) current 627 625 (2) b) deferred 588 550 (38) 70. Liabilities associated with non-current assets held for sale 2,149 2,052 (97) 80. Other liabilities 13,301 13,468 167 90. Provision for employee severance pay 516 516 - 100. Provision for risks and charges: 9,944 9,882 (62) a) commitments and guarantees given 1,425 1,425 - b) post retirement benefit obligations 4,738 4,737 (1) c) other provisions for risks and charges 3,781 3,720 (61) 110.Technical reserves - - - 120. Valuation reserves (4,337) (4,337) - 130. Redeemable shares - - - 140. Equity instruments 6,595 6,595 - 150. Reserves 31,451 31,451 - 160. Share premium 5,446 5,446 - 170. Share capital 21,133 21,133 - 180. Treasury shares (-) (200) (200) - 190. Minority shareholders' equity (+/-) 465 505 40 200. Net profit (Loss) for the year (+/-) 1,540 1,540 - Total liabilities and shareholders' equity 916,671 916,834 163 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 302 2021 Annual Report and Accounts · UniCredit continued: (€ million) AMOUNTS AS AT 31.12.2021 LIABILITIES AND SHAREHOLDERS' EQUITY ACCOUNTING PERIMETER PRUDENTIAL PERIMETER DELTA 10. Financial liabilities at amortised cost: 761,023 761,178 155 a) deposit from banks 162,571 162,513 (58) b) deposit from customers 502,554 502,767 213 c) debt securities in issue 95,898 95,898 - 20. Financial liabilities held for trading 51,608 51,608 - 30. Financial liabilities designated at fair value 9,556 9,556 - 40. Hedging derivatives 4,303 4,303 - 50. Value adjustment of hedged financial liabilities (+/-) 963 963 - 60. Tax liabilities: 1,215 1,175 (40) a) current 627 625 (2) b) deferred 588 550 (38) 70. Liabilities associated with non-current assets held for sale 2,149 2,052 (97) 80. Other liabilities 13,301 13,468 167 90. Provision for employee severance pay 516 516 - 100. Provision for risks and charges: 9,944 9,882 (62) a) commitments and guarantees given 1,425 1,425 - b) post retirement benefit obligations 4,738 4,737 (1) c) other provisions for risks and charges 3,781 3,720 (61) 110.Technical reserves - - - 120. Valuation reserves (4,337) (4,337) - 130. Redeemable shares - - - 140. Equity instruments 6,595 6,595 - 150. Reserves 31,451 31,451 - 160. Share premium 5,446 5,446 - 170. Share capital 21,133 21,133 - 180. Treasury shares (-) (200) (200) - 190. Minority shareholders' equity (+/-) 465 505 40 200. Net profit (Loss) for the year (+/-) 1,540 1,540 - Total liabilities and shareholders' equity 916,671 916,834 163 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 302 2021 Annual Report and Accounts · UniCredit continued: (€ million) AMOUNTS AS AT 31.12.2021 LIABILITIES AND SHAREHOLDERS' EQUITY ACCOUNTING PERIMETER PRUDENTIAL PERIMETER DELTA 10. Financial liabilities at amortised cost: 761,023 761,178 155 a) deposit from banks 162,571 162,513 (58) b) deposit from customers 502,554 502,767 213 c) debt securities in issue 95,898 95,898 - 20. Financial liabilities held for trading 51,608 51,608 - 30. Financial liabilities designated at fair value 9,556 9,556 - 40. Hedging derivatives 4,303 4,303 - 50. Value adjustment of hedged financial liabilities (+/-) 963 963 - 60. Tax liabilities: 1,215 1,175 (40) a) current 627 625 (2) b) deferred 588 550 (38) 70. Liabilities associated with non-current assets held for sale 2,149 2,052 (97) 80. Other liabilities 13,301 13,468 167 90. Provision for employee severance pay 516 516 - 100. Provision for risks and charges: 9,944 9,882 (62) a) commitments and guarantees given 1,425 1,425 - b) post retirement benefit obligations 4,738 4,737 (1) c) other provisions for risks and charges 3,781 3,720 (61) 110.Technical reserves - - - 120. Valuation reserves (4,337) (4,337) - 130. Redeemable shares - - - 140. Equity instruments 6,595 6,595 - 150. Reserves 31,451 31,451 - 160. Share premium 5,446 5,446 - 170. Share capital 21,133 21,133 - 180. Treasury shares (-) (200) (200) - 190. Minority shareholders' equity (+/-) 465 505 40 200. Net profit (Loss) for the year (+/-) 1,540 1,540 - Total liabilities and shareholders' equity 916,671 916,834 163 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 302 2021 Annual Report and Accounts · UniCredit continued: (€ million) AMOUNTS AS AT 31.12.2021 LIABILITIES AND SHAREHOLDERS' EQUITY ACCOUNTING PERIMETER PRUDENTIAL PERIMETER DELTA 10. Financial liabilities at amortised cost: 761,023 761,178 155 a) deposit from banks 162,571 162,513 (58) b) deposit from customers 502,554 502,767 213 c) debt securities in issue 95,898 95,898 - 20. Financial liabilities held for trading 51,608 51,608 - 30. Financial liabilities designated at fair value 9,556 9,556 - 40. Hedging derivatives 4,303 4,303 - 50. Value adjustment of hedged financial liabilities (+/-) 963 963 - 60. Tax liabilities: 1,215 1,175 (40) a) current 627 625 (2) b) deferred 588 550 (38) 70. Liabilities associated with non-current assets held for sale 2,149 2,052 (97) 80. Other liabilities 13,301 13,468 167 90. Provision for employee severance pay 516 516 - 100. Provision for risks and charges: 9,944 9,882 (62) a) commitments and guarantees given 1,425 1,425 - b) post retirement benefit obligations 4,738 4,737 (1) c) other provisions for risks and charges 3,781 3,720 (61) 110.Technical reserves - - - 120. Valuation reserves (4,337) (4,337) - 130. Redeemable shares - - - 140. Equity instruments 6,595 6,595 - 150. Reserves 31,451 31,451 - 160. Share premium 5,446 5,446 - 170. Share capital 21,133 21,133 - 180. Treasury shares (-) (200) (200) - 190. Minority shareholders' equity (+/-) 465 505 40 200. Net profit (Loss) for the year (+/-) 1,540 1,540 - Total liabilities and shareholders' equity 916,671 916,834 163 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 303 Section 1 - Risks of the accounting consolidated perimeter Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one of non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds. A.1 Impaired and non-performing credit exposures: stocks, value adjustments, dynamics and economic A.1.1 Breakdown of financial assets by portfolio and credit quality (carrying value) (€ million) PORTFOLIOS/QUALITY BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE EXPOSURES PERFORMING PAST-DUE EXPOSURES OTHER PERFORMING EXPOSURES TOTAL 1. Financial assets at amortised cost 1,131 5,825 523 8,294 577,845 593,618 2. Financial assets at fair value through other comprehensive income - - - - 67,088 67,088 3. Financial assets designated at fair value - - - - 279 279 4. Other financial assets mandatorily at fair value 3 35 - 1 9,290 9,329 5. Financial instruments classified as held for sale 142 515 5 57 11,942 12,661 Total 12.31.2021 1,276 6,375 528 8,352 666,444 682,975 Total 12.31.2020 1,701 6,668 504 9,598 675,198 693,669 A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values) (€ million) NON-PERFORMING ASSETS PERFORMING ASSETS PORTFOLIOS/QUALITY GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE TOTAL (NET EXPOSURE) 1. Financial assets at amortised cost 16,249 8,770 7,479 1,826 590,548 4,409 586,139 593,618 2. Financial assets at fair value through other comprehensive income 2 2 - - 67,161 73 67,088 67,088 3. Financial assets designated at fair value - - - - X X 279 279 4. Other financial assets mandatorily at fair value 129 91 38 43 X X 9,291 9,329 5. Financial instruments classified as held for sale 1,375 713 662 224 12,860 861 11,999 12,661 Total 12.31.2021 17,755 9,576 8,179 2,093 670,569 5,343 674,796 682,975 Total 12.31.2020 22,216 13,343 8,873 2,137 676,125 4,259 684,796 693,669 Note: (*) Value shown for information purposes. For additional information on the matter related to evaluation on credit exposures refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated financial statements. For additional information on Olympia transaction, a securitisation transaction of non-performing loan executed by UniCredit S.p.A., reference is made to the paragraph “Olympia transaction” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Quantitative information, 2. Credit risk management policies, which is herewith quoted entirely. (€ million) ASSETS OF EVIDENT LOW CREDIT QUALITY OTHER ASSETS PORTFOLIOS/QUALITY CUMULATED LOSSES NET EXPOSURE NET EXPOSURE 1. Financial assets held for trading 35 97 69,859 2. Hedging derivatives - - 3,065 Total 12.31.2021 35 97 72,924 Total 12.31.2020 64 143 67,588 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 303 Section 1 - Risks of the accounting consolidated perimeter Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one of non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds. A.1 Impaired and non-performing credit exposures: stocks, value adjustments, dynamics and economic A.1.1 Breakdown of financial assets by portfolio and credit quality (carrying value) (€ million) PORTFOLIOS/QUALITY BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE EXPOSURES PERFORMING PAST-DUE EXPOSURES OTHER PERFORMING EXPOSURES TOTAL 1. Financial assets at amortised cost 1,131 5,825 523 8,294 577,845 593,618 2. Financial assets at fair value through other comprehensive income - - - - 67,088 67,088 3. Financial assets designated at fair value - - - - 279 279 4. Other financial assets mandatorily at fair value 3 35 - 1 9,290 9,329 5. Financial instruments classified as held for sale 142 515 5 57 11,942 12,661 Total 12.31.2021 1,276 6,375 528 8,352 666,444 682,975 Total 12.31.2020 1,701 6,668 504 9,598 675,198 693,669 A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values) (€ million) NON-PERFORMING ASSETS PERFORMING ASSETS PORTFOLIOS/QUALITY GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE TOTAL (NET EXPOSURE) 1. Financial assets at amortised cost 16,249 8,770 7,479 1,826 590,548 4,409 586,139 593,618 2. Financial assets at fair value through other comprehensive income 2 2 - - 67,161 73 67,088 67,088 3. Financial assets designated at fair value - - - - X X 279 279 4. Other financial assets mandatorily at fair value 129 91 38 43 X X 9,291 9,329 5. Financial instruments classified as held for sale 1,375 713 662 224 12,860 861 11,999 12,661 Total 12.31.2021 17,755 9,576 8,179 2,093 670,569 5,343 674,796 682,975 Total 12.31.2020 22,216 13,343 8,873 2,137 676,125 4,259 684,796 693,669 Note: (*) Value shown for information purposes. For additional information on the matter related to evaluation on credit exposures refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated financial statements. For additional information on Olympia transaction, a securitisation transaction of non-performing loan executed by UniCredit S.p.A., reference is made to the paragraph “Olympia transaction” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Quantitative information, 2. Credit risk management policies, which is herewith quoted entirely. (€ million) ASSETS OF EVIDENT LOW CREDIT QUALITY OTHER ASSETS PORTFOLIOS/QUALITY CUMULATED LOSSES NET EXPOSURE NET EXPOSURE 1. Financial assets held for trading 35 97 69,859 2. Hedging derivatives - - 3,065 Total 12.31.2021 35 97 72,924 Total 12.31.2020 64 143 67,588 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 303 Section 1 - Risks of the accounting consolidated perimeter Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one of non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds. A.1 Impaired and non-performing credit exposures: stocks, value adjustments, dynamics and economic A.1.1 Breakdown of financial assets by portfolio and credit quality (carrying value) (€ million) PORTFOLIOS/QUALITY BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE EXPOSURES PERFORMING PAST-DUE EXPOSURES OTHER PERFORMING EXPOSURES TOTAL 1. Financial assets at amortised cost 1,131 5,825 523 8,294 577,845 593,618 2. Financial assets at fair value through other comprehensive income - - - - 67,088 67,088 3. Financial assets designated at fair value - - - - 279 279 4. Other financial assets mandatorily at fair value 3 35 - 1 9,290 9,329 5. Financial instruments classified as held for sale 142 515 5 57 11,942 12,661 Total 12.31.2021 1,276 6,375 528 8,352 666,444 682,975 Total 12.31.2020 1,701 6,668 504 9,598 675,198 693,669 A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values) (€ million) NON-PERFORMING ASSETS PERFORMING ASSETS PORTFOLIOS/QUALITY GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE TOTAL (NET EXPOSURE) 1. Financial assets at amortised cost 16,249 8,770 7,479 1,826 590,548 4,409 586,139 593,618 2. Financial assets at fair value through other comprehensive income 2 2 - - 67,161 73 67,088 67,088 3. Financial assets designated at fair value - - - - X X 279 279 4. Other financial assets mandatorily at fair value 129 91 38 43 X X 9,291 9,329 5. Financial instruments classified as held for sale 1,375 713 662 224 12,860 861 11,999 12,661 Total 12.31.2021 17,755 9,576 8,179 2,093 670,569 5,343 674,796 682,975 Total 12.31.2020 22,216 13,343 8,873 2,137 676,125 4,259 684,796 693,669 Note: (*) Value shown for information purposes. For additional information on the matter related to evaluation on credit exposures refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated financial statements. For additional information on Olympia transaction, a securitisation transaction of non-performing loan executed by UniCredit S.p.A., reference is made to the paragraph “Olympia transaction” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Quantitative information, 2. Credit risk management policies, which is herewith quoted entirely. (€ million) ASSETS OF EVIDENT LOW CREDIT QUALITY OTHER ASSETS PORTFOLIOS/QUALITY CUMULATED LOSSES NET EXPOSURE NET EXPOSURE 1. Financial assets held for trading 35 97 69,859 2. Hedging derivatives - - 3,065 Total 12.31.2021 35 97 72,924 Total 12.31.2020 64 143 67,588 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 303 Section 1 - Risks of the accounting consolidated perimeter Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one of non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds. A.1 Impaired and non-performing credit exposures: stocks, value adjustments, dynamics and economic A.1.1 Breakdown of financial assets by portfolio and credit quality (carrying value) (€ million) PORTFOLIOS/QUALITY BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE EXPOSURES PERFORMING PAST-DUE EXPOSURES OTHER PERFORMING EXPOSURES TOTAL 1. Financial assets at amortised cost 1,131 5,825 523 8,294 577,845 593,618 2. Financial assets at fair value through other comprehensive income - - - - 67,088 67,088 3. Financial assets designated at fair value - - - - 279 279 4. Other financial assets mandatorily at fair value 3 35 - 1 9,290 9,329 5. Financial instruments classified as held for sale 142 515 5 57 11,942 12,661 Total 12.31.2021 1,276 6,375 528 8,352 666,444 682,975 Total 12.31.2020 1,701 6,668 504 9,598 675,198 693,669 A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values) (€ million) NON-PERFORMING ASSETS PERFORMING ASSETS PORTFOLIOS/QUALITY GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE TOTAL (NET EXPOSURE) 1. Financial assets at amortised cost 16,249 8,770 7,479 1,826 590,548 4,409 586,139 593,618 2. Financial assets at fair value through other comprehensive income 2 2 - - 67,161 73 67,088 67,088 3. Financial assets designated at fair value - - - - X X 279 279 4. Other financial assets mandatorily at fair value 129 91 38 43 X X 9,291 9,329 5. Financial instruments classified as held for sale 1,375 713 662 224 12,860 861 11,999 12,661 Total 12.31.2021 17,755 9,576 8,179 2,093 670,569 5,343 674,796 682,975 Total 12.31.2020 22,216 13,343 8,873 2,137 676,125 4,259 684,796 693,669 Note: (*) Value shown for information purposes. For additional information on the matter related to evaluation on credit exposures refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated financial statements. For additional information on Olympia transaction, a securitisation transaction of non-performing loan executed by UniCredit S.p.A., reference is made to the paragraph “Olympia transaction” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Quantitative information, 2. Credit risk management policies, which is herewith quoted entirely. (€ million) ASSETS OF EVIDENT LOW CREDIT QUALITY OTHER ASSETS PORTFOLIOS/QUALITY CUMULATED LOSSES NET EXPOSURE NET EXPOSURE 1. Financial assets held for trading 35 97 69,859 2. Hedging derivatives - - 3,065 Total 12.31.2021 35 97 72,924 Total 12.31.2020 64 143 67,588 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 303 Section 1 - Risks of the accounting consolidated perimeter Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one of non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds. A.1 Impaired and non-performing credit exposures: stocks, value adjustments, dynamics and economic A.1.1 Breakdown of financial assets by portfolio and credit quality (carrying value) (€ million) PORTFOLIOS/QUALITY BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE EXPOSURES PERFORMING PAST-DUE EXPOSURES OTHER PERFORMING EXPOSURES TOTAL 1. Financial assets at amortised cost 1,131 5,825 523 8,294 577,845 593,618 2. Financial assets at fair value through other comprehensive income - - - - 67,088 67,088 3. Financial assets designated at fair value - - - - 279 279 4. Other financial assets mandatorily at fair value 3 35 - 1 9,290 9,329 5. Financial instruments classified as held for sale 142 515 5 57 11,942 12,661 Total 12.31.2021 1,276 6,375 528 8,352 666,444 682,975 Total 12.31.2020 1,701 6,668 504 9,598 675,198 693,669 A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values) (€ million) NON-PERFORMING ASSETS PERFORMING ASSETS PORTFOLIOS/QUALITY GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE TOTAL (NET EXPOSURE) 1. Financial assets at amortised cost 16,249 8,770 7,479 1,826 590,548 4,409 586,139 593,618 2. Financial assets at fair value through other comprehensive income 2 2 - - 67,161 73 67,088 67,088 3. Financial assets designated at fair value - - - - X X 279 279 4. Other financial assets mandatorily at fair value 129 91 38 43 X X 9,291 9,329 5. Financial instruments classified as held for sale 1,375 713 662 224 12,860 861 11,999 12,661 Total 12.31.2021 17,755 9,576 8,179 2,093 670,569 5,343 674,796 682,975 Total 12.31.2020 22,216 13,343 8,873 2,137 676,125 4,259 684,796 693,669 Note: (*) Value shown for information purposes. For additional information on the matter related to evaluation on credit exposures refer to Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated financial statements. For additional information on Olympia transaction, a securitisation transaction of non-performing loan executed by UniCredit S.p.A., reference is made to the paragraph “Olympia transaction” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Quantitative information, 2. Credit risk management policies, which is herewith quoted entirely. (€ million) ASSETS OF EVIDENT LOW CREDIT QUALITY OTHER ASSETS PORTFOLIOS/QUALITY CUMULATED LOSSES NET EXPOSURE NET EXPOSURE 1. Financial assets held for trading 35 97 69,859 2. Hedging derivatives - - 3,065 Total 12.31.2021 35 97 72,924 Total 12.31.2020 64 143 67,588 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 304 2021 Annual Report and Accounts · UniCredit B. Structured entities (other than entities for securitisation transaction) B.1 Consolidated structured entities The Group has involvements in structured entities that are consolidated because it has both power on the underlying assets and exposure to variability of returns arising from the structured entities activities as a result of the financial instruments subscribed. The consolidated structured entities of the Group belong to one of the following categories: • Leasing SPV: these structured entities are set-up by the Group in order to meet the needs of customers interested into entering into finance leasing. The Group provides funding to these structured entities, both in form of equity and in form of loans. Such funding is used by structured entities to buy assets (real estate, equipment, etc.) that are leased to a customer under a finance leasing contract; • Project finance SPV: these structured entities are set-up in order to finance capital intensive projects according to the need of specific customers. Typically the funds needed to develop the project are provided by the customer, in form of equity and by the Group in form of loans. The Group consolidates such structured entities as a result of deterioration of the credit worthiness of the customer and subsequent acquisition of the right to manage the project; • Real estate SPV: these structured entities are entities that have been set-up in order to fund real estate projects used in the business by the Group or that have been acquired it the course of credit recovery processes; • Funding SPV: these structured entities are set-up by the Group so to gather funding in specific markets that is guaranteed by a Group Legal entity. This funding is then transferred to the Group legal entity that guarantees it; • Investment funds: these structured entities are open ended and closed ended investment funds that the Group controls under IFRS10 having acquired enough quotas to expose it to variability of returns and the ability to manage, directly and indirectly, the underlying portfolio; • Warehousing SPV: these structured entities are set-up in order to subsequently perform securitisation transactions. In particular they purchase mortgages in specific markets and from different originators until a “critical mass” that allow to perform securitisation is reached. The purchases of mortgages are funded through loans provided by the Group. During the period the Group has not provided financial support to consolidated structured entities, other than those for securitisation transactions, in absence of contractual obligation to do so and it doesn’t have current intention to provide such support. The following table provides on balance sheet and off-balance sheet, non revocable credit line and financial guarantees, provided by Group companies to consolidated structured entities. These exposures are eliminated in the consolidation process. (€ million) BALANCE SHEET ITEM/SPV TYPE TOTAL ASSETS OFF BALANCE SHEET EXPOSURES Leasing SPV 1,476 - Project Finance SPV - - Real Estate SPV 20 10 Funding SPV - - Investment funds 316 - Warehousing SPV - - Total 1,812 10 B.2 Non-consolidated for accounting purposes structured entities B.2.1. Consolidated for regulatory purposes structured entities The Group has not exposure toward structured entities consolidated for regulatory purpose but that are not consolidated for accounting purpose. B.2.2. Other structured entities Qualitative information The Group has exposure toward unconsolidated structured entities either as a result of its lending activities or through the investments in quotas issued by funds that are structured entities under IFRS12 definition. In particular, unconsolidated structured entities in which the Group is exposed to belong to the following categories: • Acquisition and Leveraged Finance structured entities are set up for providing funding for the acquisition of a target business, where sponsors participate with equity contribution and lenders structure their facilities according to the cash flow profile of the target. The Group provides funding to these structured entities according to the applicable internal credit policies described in the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the sponsor. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 304 2021 Annual Report and Accounts · UniCredit B. Structured entities (other than entities for securitisation transaction) B.1 Consolidated structured entities The Group has involvements in structured entities that are consolidated because it has both power on the underlying assets and exposure to variability of returns arising from the structured entities activities as a result of the financial instruments subscribed. The consolidated structured entities of the Group belong to one of the following categories: • Leasing SPV: these structured entities are set-up by the Group in order to meet the needs of customers interested into entering into finance leasing. The Group provides funding to these structured entities, both in form of equity and in form of loans. Such funding is used by structured entities to buy assets (real estate, equipment, etc.) that are leased to a customer under a finance leasing contract; • Project finance SPV: these structured entities are set-up in order to finance capital intensive projects according to the need of specific customers. Typically the funds needed to develop the project are provided by the customer, in form of equity and by the Group in form of loans. The Group consolidates such structured entities as a result of deterioration of the credit worthiness of the customer and subsequent acquisition of the right to manage the project; • Real estate SPV: these structured entities are entities that have been set-up in order to fund real estate projects used in the business by the Group or that have been acquired it the course of credit recovery processes; • Funding SPV: these structured entities are set-up by the Group so to gather funding in specific markets that is guaranteed by a Group Legal entity. This funding is then transferred to the Group legal entity that guarantees it; • Investment funds: these structured entities are open ended and closed ended investment funds that the Group controls under IFRS10 having acquired enough quotas to expose it to variability of returns and the ability to manage, directly and indirectly, the underlying portfolio; • Warehousing SPV: these structured entities are set-up in order to subsequently perform securitisation transactions. In particular they purchase mortgages in specific markets and from different originators until a “critical mass” that allow to perform securitisation is reached. The purchases of mortgages are funded through loans provided by the Group. During the period the Group has not provided financial support to consolidated structured entities, other than those for securitisation transactions, in absence of contractual obligation to do so and it doesn’t have current intention to provide such support. The following table provides on balance sheet and off-balance sheet, non revocable credit line and financial guarantees, provided by Group companies to consolidated structured entities. These exposures are eliminated in the consolidation process. (€ million) BALANCE SHEET ITEM/SPV TYPE TOTAL ASSETS OFF BALANCE SHEET EXPOSURES Leasing SPV 1,476 - Project Finance SPV - - Real Estate SPV 20 10 Funding SPV - - Investment funds 316 - Warehousing SPV - - Total 1,812 10 B.2 Non-consolidated for accounting purposes structured entities B.2.1. Consolidated for regulatory purposes structured entities The Group has not exposure toward structured entities consolidated for regulatory purpose but that are not consolidated for accounting purpose. B.2.2. Other structured entities Qualitative information The Group has exposure toward unconsolidated structured entities either as a result of its lending activities or through the investments in quotas issued by funds that are structured entities under IFRS12 definition. In particular, unconsolidated structured entities in which the Group is exposed to belong to the following categories: • Acquisition and Leveraged Finance structured entities are set up for providing funding for the acquisition of a target business, where sponsors participate with equity contribution and lenders structure their facilities according to the cash flow profile of the target. The Group provides funding to these structured entities according to the applicable internal credit policies described in the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the sponsor. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 304 2021 Annual Report and Accounts · UniCredit B. Structured entities (other than entities for securitisation transaction) B.1 Consolidated structured entities The Group has involvements in structured entities that are consolidated because it has both power on the underlying assets and exposure to variability of returns arising from the structured entities activities as a result of the financial instruments subscribed. The consolidated structured entities of the Group belong to one of the following categories: • Leasing SPV: these structured entities are set-up by the Group in order to meet the needs of customers interested into entering into finance leasing. The Group provides funding to these structured entities, both in form of equity and in form of loans. Such funding is used by structured entities to buy assets (real estate, equipment, etc.) that are leased to a customer under a finance leasing contract; • Project finance SPV: these structured entities are set-up in order to finance capital intensive projects according to the need of specific customers. Typically the funds needed to develop the project are provided by the customer, in form of equity and by the Group in form of loans. The Group consolidates such structured entities as a result of deterioration of the credit worthiness of the customer and subsequent acquisition of the right to manage the project; • Real estate SPV: these structured entities are entities that have been set-up in order to fund real estate projects used in the business by the Group or that have been acquired it the course of credit recovery processes; • Funding SPV: these structured entities are set-up by the Group so to gather funding in specific markets that is guaranteed by a Group Legal entity. This funding is then transferred to the Group legal entity that guarantees it; • Investment funds: these structured entities are open ended and closed ended investment funds that the Group controls under IFRS10 having acquired enough quotas to expose it to variability of returns and the ability to manage, directly and indirectly, the underlying portfolio; • Warehousing SPV: these structured entities are set-up in order to subsequently perform securitisation transactions. In particular they purchase mortgages in specific markets and from different originators until a “critical mass” that allow to perform securitisation is reached. The purchases of mortgages are funded through loans provided by the Group. During the period the Group has not provided financial support to consolidated structured entities, other than those for securitisation transactions, in absence of contractual obligation to do so and it doesn’t have current intention to provide such support. The following table provides on balance sheet and off-balance sheet, non revocable credit line and financial guarantees, provided by Group companies to consolidated structured entities. These exposures are eliminated in the consolidation process. (€ million) BALANCE SHEET ITEM/SPV TYPE TOTAL ASSETS OFF BALANCE SHEET EXPOSURES Leasing SPV 1,476 - Project Finance SPV - - Real Estate SPV 20 10 Funding SPV - - Investment funds 316 - Warehousing SPV - - Total 1,812 10 B.2 Non-consolidated for accounting purposes structured entities B.2.1. Consolidated for regulatory purposes structured entities The Group has not exposure toward structured entities consolidated for regulatory purpose but that are not consolidated for accounting purpose. B.2.2. Other structured entities Qualitative information The Group has exposure toward unconsolidated structured entities either as a result of its lending activities or through the investments in quotas issued by funds that are structured entities under IFRS12 definition. In particular, unconsolidated structured entities in which the Group is exposed to belong to the following categories: • Acquisition and Leveraged Finance structured entities are set up for providing funding for the acquisition of a target business, where sponsors participate with equity contribution and lenders structure their facilities according to the cash flow profile of the target. The Group provides funding to these structured entities according to the applicable internal credit policies described in the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the sponsor. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 304 2021 Annual Report and Accounts · UniCredit B. Structured entities (other than entities for securitisation transaction) B.1 Consolidated structured entities The Group has involvements in structured entities that are consolidated because it has both power on the underlying assets and exposure to variability of returns arising from the structured entities activities as a result of the financial instruments subscribed. The consolidated structured entities of the Group belong to one of the following categories: • Leasing SPV: these structured entities are set-up by the Group in order to meet the needs of customers interested into entering into finance leasing. The Group provides funding to these structured entities, both in form of equity and in form of loans. Such funding is used by structured entities to buy assets (real estate, equipment, etc.) that are leased to a customer under a finance leasing contract; • Project finance SPV: these structured entities are set-up in order to finance capital intensive projects according to the need of specific customers. Typically the funds needed to develop the project are provided by the customer, in form of equity and by the Group in form of loans. The Group consolidates such structured entities as a result of deterioration of the credit worthiness of the customer and subsequent acquisition of the right to manage the project; • Real estate SPV: these structured entities are entities that have been set-up in order to fund real estate projects used in the business by the Group or that have been acquired it the course of credit recovery processes; • Funding SPV: these structured entities are set-up by the Group so to gather funding in specific markets that is guaranteed by a Group Legal entity. This funding is then transferred to the Group legal entity that guarantees it; • Investment funds: these structured entities are open ended and closed ended investment funds that the Group controls under IFRS10 having acquired enough quotas to expose it to variability of returns and the ability to manage, directly and indirectly, the underlying portfolio; • Warehousing SPV: these structured entities are set-up in order to subsequently perform securitisation transactions. In particular they purchase mortgages in specific markets and from different originators until a “critical mass” that allow to perform securitisation is reached. The purchases of mortgages are funded through loans provided by the Group. During the period the Group has not provided financial support to consolidated structured entities, other than those for securitisation transactions, in absence of contractual obligation to do so and it doesn’t have current intention to provide such support. The following table provides on balance sheet and off-balance sheet, non revocable credit line and financial guarantees, provided by Group companies to consolidated structured entities. These exposures are eliminated in the consolidation process. (€ million) BALANCE SHEET ITEM/SPV TYPE TOTAL ASSETS OFF BALANCE SHEET EXPOSURES Leasing SPV 1,476 - Project Finance SPV - - Real Estate SPV 20 10 Funding SPV - - Investment funds 316 - Warehousing SPV - - Total 1,812 10 B.2 Non-consolidated for accounting purposes structured entities B.2.1. Consolidated for regulatory purposes structured entities The Group has not exposure toward structured entities consolidated for regulatory purpose but that are not consolidated for accounting purpose. B.2.2. Other structured entities Qualitative information The Group has exposure toward unconsolidated structured entities either as a result of its lending activities or through the investments in quotas issued by funds that are structured entities under IFRS12 definition. In particular, unconsolidated structured entities in which the Group is exposed to belong to the following categories: • Acquisition and Leveraged Finance structured entities are set up for providing funding for the acquisition of a target business, where sponsors participate with equity contribution and lenders structure their facilities according to the cash flow profile of the target. The Group provides funding to these structured entities according to the applicable internal credit policies described in the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the sponsor. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 304 2021 Annual Report and Accounts · UniCredit B. Structured entities (other than entities for securitisation transaction) B.1 Consolidated structured entities The Group has involvements in structured entities that are consolidated because it has both power on the underlying assets and exposure to variability of returns arising from the structured entities activities as a result of the financial instruments subscribed. The consolidated structured entities of the Group belong to one of the following categories: • Leasing SPV: these structured entities are set-up by the Group in order to meet the needs of customers interested into entering into finance leasing. The Group provides funding to these structured entities, both in form of equity and in form of loans. Such funding is used by structured entities to buy assets (real estate, equipment, etc.) that are leased to a customer under a finance leasing contract; • Project finance SPV: these structured entities are set-up in order to finance capital intensive projects according to the need of specific customers. Typically the funds needed to develop the project are provided by the customer, in form of equity and by the Group in form of loans. The Group consolidates such structured entities as a result of deterioration of the credit worthiness of the customer and subsequent acquisition of the right to manage the project; • Real estate SPV: these structured entities are entities that have been set-up in order to fund real estate projects used in the business by the Group or that have been acquired it the course of credit recovery processes; • Funding SPV: these structured entities are set-up by the Group so to gather funding in specific markets that is guaranteed by a Group Legal entity. This funding is then transferred to the Group legal entity that guarantees it; • Investment funds: these structured entities are open ended and closed ended investment funds that the Group controls under IFRS10 having acquired enough quotas to expose it to variability of returns and the ability to manage, directly and indirectly, the underlying portfolio; • Warehousing SPV: these structured entities are set-up in order to subsequently perform securitisation transactions. In particular they purchase mortgages in specific markets and from different originators until a “critical mass” that allow to perform securitisation is reached. The purchases of mortgages are funded through loans provided by the Group. During the period the Group has not provided financial support to consolidated structured entities, other than those for securitisation transactions, in absence of contractual obligation to do so and it doesn’t have current intention to provide such support. The following table provides on balance sheet and off-balance sheet, non revocable credit line and financial guarantees, provided by Group companies to consolidated structured entities. These exposures are eliminated in the consolidation process. (€ million) BALANCE SHEET ITEM/SPV TYPE TOTAL ASSETS OFF BALANCE SHEET EXPOSURES Leasing SPV 1,476 - Project Finance SPV - - Real Estate SPV 20 10 Funding SPV - - Investment funds 316 - Warehousing SPV - - Total 1,812 10 B.2 Non-consolidated for accounting purposes structured entities B.2.1. Consolidated for regulatory purposes structured entities The Group has not exposure toward structured entities consolidated for regulatory purpose but that are not consolidated for accounting purpose. B.2.2. Other structured entities Qualitative information The Group has exposure toward unconsolidated structured entities either as a result of its lending activities or through the investments in quotas issued by funds that are structured entities under IFRS12 definition. In particular, unconsolidated structured entities in which the Group is exposed to belong to the following categories: • Acquisition and Leveraged Finance structured entities are set up for providing funding for the acquisition of a target business, where sponsors participate with equity contribution and lenders structure their facilities according to the cash flow profile of the target. The Group provides funding to these structured entities according to the applicable internal credit policies described in the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the sponsor. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 305 The Group has no control over these structured entities because it neither manages the company whose acquisition is being financed nor is significantly exposed to the associated variability of returns; • Leasing structured entities are set-up to buy an asset and rent it to customers (based on a financial leasing contract). The funding is provided through loans, and the structured entities are the owner of the asset. At the end of the contract the asset is usually sold to the customer at a price usually equal to the residual value defined by the contract. The Group provides funding to these structured entities according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects. In particular, the contracts ruling such transactions and associated guarantees ensure that the Group has no control over these structured entities because it neither manages the activities of the structured entities nor is significantly exposed to variability of returns of the leased assets; • Market Related structured entities are set-up in order to allow customers to invest into financial instruments having features, in term of currency of denomination or interest rate, different from those offered in the market. In this context the Group maintains exposures against these vehicles that, however, do not transfer to the Group the main risks of the underlying; • Notes issuing structured entities are structured entities that issue security different from ABS that are backed up by certain type of assets. These include covered bonds issued by third parties. The Group does not control these structured entities as it has neither the ability to manage the underlying assets nor retains significant exposures to its variability of returns; • Project Finance structured entities are structured entities set up for the financing capital intensive business initiatives, where customers participate with equity contribution. The Group provides funding to these structured entities according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Real Estate structured entities are set-up for the financing of specific real estate initiatives. In these structures the customers, typically commercial and residential development companies and institutional investors set up the structured entities and provides the equity. The Group provides funding according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Shipping and Aircraft structured entities are set up for the building or the acquisition of a ship or an aircraft that is then used by the customers in the context of their business activities. The Group provides funding to these structured entities according to the applicable internal credit policies described in the Notes to the consolidated accounts, Part E – Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Warehousing structured entities support subsequent securitisation transactions through the purchase of mortgages in specific markets and from different originators until a “critical mass” that allows to perform such securitisation is reached; • Investments funds comprise open ended and closed ended investment funds in which the Group has subscribed quotas or provided loans. Quantitative information The following table provides indication on assets, liabilities and off-balance sheet exposures recognised in the balance sheet of the Group held towards SPVs different from non-consolidated securitisation vehicles and broken down by role of the Group. The maximum exposure to loss has been calculated by grossing up the difference between assets and liabilities with off-balance sheet positions (irrevocable credit lines and financial guarantees) held toward these vehicles reported in column “difference between maximum exposure to loss and accounting value”. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 305 The Group has no control over these structured entities because it neither manages the company whose acquisition is being financed nor is significantly exposed to the associated variability of returns; • Leasing structured entities are set-up to buy an asset and rent it to customers (based on a financial leasing contract). The funding is provided through loans, and the structured entities are the owner of the asset. At the end of the contract the asset is usually sold to the customer at a price usually equal to the residual value defined by the contract. The Group provides funding to these structured entities according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects. In particular, the contracts ruling such transactions and associated guarantees ensure that the Group has no control over these structured entities because it neither manages the activities of the structured entities nor is significantly exposed to variability of returns of the leased assets; • Market Related structured entities are set-up in order to allow customers to invest into financial instruments having features, in term of currency of denomination or interest rate, different from those offered in the market. In this context the Group maintains exposures against these vehicles that, however, do not transfer to the Group the main risks of the underlying; • Notes issuing structured entities are structured entities that issue security different from ABS that are backed up by certain type of assets. These include covered bonds issued by third parties. The Group does not control these structured entities as it has neither the ability to manage the underlying assets nor retains significant exposures to its variability of returns; • Project Finance structured entities are structured entities set up for the financing capital intensive business initiatives, where customers participate with equity contribution. The Group provides funding to these structured entities according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Real Estate structured entities are set-up for the financing of specific real estate initiatives. In these structures the customers, typically commercial and residential development companies and institutional investors set up the structured entities and provides the equity. The Group provides funding according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Shipping and Aircraft structured entities are set up for the building or the acquisition of a ship or an aircraft that is then used by the customers in the context of their business activities. The Group provides funding to these structured entities according to the applicable internal credit policies described in the Notes to the consolidated accounts, Part E – Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Warehousing structured entities support subsequent securitisation transactions through the purchase of mortgages in specific markets and from different originators until a “critical mass” that allows to perform such securitisation is reached; • Investments funds comprise open ended and closed ended investment funds in which the Group has subscribed quotas or provided loans. Quantitative information The following table provides indication on assets, liabilities and off-balance sheet exposures recognised in the balance sheet of the Group held towards SPVs different from non-consolidated securitisation vehicles and broken down by role of the Group. The maximum exposure to loss has been calculated by grossing up the difference between assets and liabilities with off-balance sheet positions (irrevocable credit lines and financial guarantees) held toward these vehicles reported in column “difference between maximum exposure to loss and accounting value”. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 305 The Group has no control over these structured entities because it neither manages the company whose acquisition is being financed nor is significantly exposed to the associated variability of returns; • Leasing structured entities are set-up to buy an asset and rent it to customers (based on a financial leasing contract). The funding is provided through loans, and the structured entities are the owner of the asset. At the end of the contract the asset is usually sold to the customer at a price usually equal to the residual value defined by the contract. The Group provides funding to these structured entities according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects. In particular, the contracts ruling such transactions and associated guarantees ensure that the Group has no control over these structured entities because it neither manages the activities of the structured entities nor is significantly exposed to variability of returns of the leased assets; • Market Related structured entities are set-up in order to allow customers to invest into financial instruments having features, in term of currency of denomination or interest rate, different from those offered in the market. In this context the Group maintains exposures against these vehicles that, however, do not transfer to the Group the main risks of the underlying; • Notes issuing structured entities are structured entities that issue security different from ABS that are backed up by certain type of assets. These include covered bonds issued by third parties. The Group does not control these structured entities as it has neither the ability to manage the underlying assets nor retains significant exposures to its variability of returns; • Project Finance structured entities are structured entities set up for the financing capital intensive business initiatives, where customers participate with equity contribution. The Group provides funding to these structured entities according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Real Estate structured entities are set-up for the financing of specific real estate initiatives. In these structures the customers, typically commercial and residential development companies and institutional investors set up the structured entities and provides the equity. The Group provides funding according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Shipping and Aircraft structured entities are set up for the building or the acquisition of a ship or an aircraft that is then used by the customers in the context of their business activities. The Group provides funding to these structured entities according to the applicable internal credit policies described in the Notes to the consolidated accounts, Part E – Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Warehousing structured entities support subsequent securitisation transactions through the purchase of mortgages in specific markets and from different originators until a “critical mass” that allows to perform such securitisation is reached; • Investments funds comprise open ended and closed ended investment funds in which the Group has subscribed quotas or provided loans. Quantitative information The following table provides indication on assets, liabilities and off-balance sheet exposures recognised in the balance sheet of the Group held towards SPVs different from non-consolidated securitisation vehicles and broken down by role of the Group. The maximum exposure to loss has been calculated by grossing up the difference between assets and liabilities with off-balance sheet positions (irrevocable credit lines and financial guarantees) held toward these vehicles reported in column “difference between maximum exposure to loss and accounting value”. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 305 The Group has no control over these structured entities because it neither manages the company whose acquisition is being financed nor is significantly exposed to the associated variability of returns; • Leasing structured entities are set-up to buy an asset and rent it to customers (based on a financial leasing contract). The funding is provided through loans, and the structured entities are the owner of the asset. At the end of the contract the asset is usually sold to the customer at a price usually equal to the residual value defined by the contract. The Group provides funding to these structured entities according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects. In particular, the contracts ruling such transactions and associated guarantees ensure that the Group has no control over these structured entities because it neither manages the activities of the structured entities nor is significantly exposed to variability of returns of the leased assets; • Market Related structured entities are set-up in order to allow customers to invest into financial instruments having features, in term of currency of denomination or interest rate, different from those offered in the market. In this context the Group maintains exposures against these vehicles that, however, do not transfer to the Group the main risks of the underlying; • Notes issuing structured entities are structured entities that issue security different from ABS that are backed up by certain type of assets. These include covered bonds issued by third parties. The Group does not control these structured entities as it has neither the ability to manage the underlying assets nor retains significant exposures to its variability of returns; • Project Finance structured entities are structured entities set up for the financing capital intensive business initiatives, where customers participate with equity contribution. The Group provides funding to these structured entities according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Real Estate structured entities are set-up for the financing of specific real estate initiatives. In these structures the customers, typically commercial and residential development companies and institutional investors set up the structured entities and provides the equity. The Group provides funding according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Shipping and Aircraft structured entities are set up for the building or the acquisition of a ship or an aircraft that is then used by the customers in the context of their business activities. The Group provides funding to these structured entities according to the applicable internal credit policies described in the Notes to the consolidated accounts, Part E – Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Warehousing structured entities support subsequent securitisation transactions through the purchase of mortgages in specific markets and from different originators until a “critical mass” that allows to perform such securitisation is reached; • Investments funds comprise open ended and closed ended investment funds in which the Group has subscribed quotas or provided loans. Quantitative information The following table provides indication on assets, liabilities and off-balance sheet exposures recognised in the balance sheet of the Group held towards SPVs different from non-consolidated securitisation vehicles and broken down by role of the Group. The maximum exposure to loss has been calculated by grossing up the difference between assets and liabilities with off-balance sheet positions (irrevocable credit lines and financial guarantees) held toward these vehicles reported in column “difference between maximum exposure to loss and accounting value”. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 305 The Group has no control over these structured entities because it neither manages the company whose acquisition is being financed nor is significantly exposed to the associated variability of returns; • Leasing structured entities are set-up to buy an asset and rent it to customers (based on a financial leasing contract). The funding is provided through loans, and the structured entities are the owner of the asset. At the end of the contract the asset is usually sold to the customer at a price usually equal to the residual value defined by the contract. The Group provides funding to these structured entities according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects. In particular, the contracts ruling such transactions and associated guarantees ensure that the Group has no control over these structured entities because it neither manages the activities of the structured entities nor is significantly exposed to variability of returns of the leased assets; • Market Related structured entities are set-up in order to allow customers to invest into financial instruments having features, in term of currency of denomination or interest rate, different from those offered in the market. In this context the Group maintains exposures against these vehicles that, however, do not transfer to the Group the main risks of the underlying; • Notes issuing structured entities are structured entities that issue security different from ABS that are backed up by certain type of assets. These include covered bonds issued by third parties. The Group does not control these structured entities as it has neither the ability to manage the underlying assets nor retains significant exposures to its variability of returns; • Project Finance structured entities are structured entities set up for the financing capital intensive business initiatives, where customers participate with equity contribution. The Group provides funding to these structured entities according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Real Estate structured entities are set-up for the financing of specific real estate initiatives. In these structures the customers, typically commercial and residential development companies and institutional investors set up the structured entities and provides the equity. The Group provides funding according to the applicable internal credit policies described in Part E - Section 2, Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Shipping and Aircraft structured entities are set up for the building or the acquisition of a ship or an aircraft that is then used by the customers in the context of their business activities. The Group provides funding to these structured entities according to the applicable internal credit policies described in the Notes to the consolidated accounts, Part E – Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, Qualitative information, 1. General Aspects that also define the level of equity that has to be provided by the customers. The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the resulting variability of returns; • Warehousing structured entities support subsequent securitisation transactions through the purchase of mortgages in specific markets and from different originators until a “critical mass” that allows to perform such securitisation is reached; • Investments funds comprise open ended and closed ended investment funds in which the Group has subscribed quotas or provided loans. Quantitative information The following table provides indication on assets, liabilities and off-balance sheet exposures recognised in the balance sheet of the Group held towards SPVs different from non-consolidated securitisation vehicles and broken down by role of the Group. The maximum exposure to loss has been calculated by grossing up the difference between assets and liabilities with off-balance sheet positions (irrevocable credit lines and financial guarantees) held toward these vehicles reported in column “difference between maximum exposure to loss and accounting value”. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 306 2021 Annual Report and Accounts · UniCredit Exposure to structured entities different from Securitisation SPV not consolidated for accounting purposes (€ million) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) Acquisition and Leverage Finance SPV 497 39 458 701 243 HFT - Deposits 39 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 497 - Leasing SPV 35 4 31 31 - HFT - Deposits 4 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 35 - Market Related SPV 252 6 246 246 - HFT - Deposits 6 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 252 - Notes Issuing Vehicles 37 8 29 67 38 HFT 15 Deposits 8 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 22 - Project Finance SPV 2,767 661 2,106 2,320 214 HFT - Deposits 661 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 2,767 - Real Estate SPV 3,578 615 2,963 3,433 470 HFT - Deposits 615 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 3,578 - Shipping Aircraft SPV 81 - 81 106 25 HFT - Deposits - DFV - Securities - MFV - HFT - FVOCI - DFV - AC 81 - Warehousing SPV - - - - - HFT - Deposits - DFV - Securities - MFV - HFT - FVOCI - DFV - AC - - Total 7,247 1,333 5,914 6,904 990 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 306 2021 Annual Report and Accounts · UniCredit Exposure to structured entities different from Securitisation SPV not consolidated for accounting purposes (€ million) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) Acquisition and Leverage Finance SPV 497 39 458 701 243 HFT - Deposits 39 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 497 - Leasing SPV 35 4 31 31 - HFT - Deposits 4 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 35 - Market Related SPV 252 6 246 246 - HFT - Deposits 6 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 252 - Notes Issuing Vehicles 37 8 29 67 38 HFT 15 Deposits 8 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 22 - Project Finance SPV 2,767 661 2,106 2,320 214 HFT - Deposits 661 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 2,767 - Real Estate SPV 3,578 615 2,963 3,433 470 HFT - Deposits 615 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 3,578 - Shipping Aircraft SPV 81 - 81 106 25 HFT - Deposits - DFV - Securities - MFV - HFT - FVOCI - DFV - AC 81 - Warehousing SPV - - - - - HFT - Deposits - DFV - Securities - MFV - HFT - FVOCI - DFV - AC - - Total 7,247 1,333 5,914 6,904 990 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 306 2021 Annual Report and Accounts · UniCredit Exposure to structured entities different from Securitisation SPV not consolidated for accounting purposes (€ million) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) Acquisition and Leverage Finance SPV 497 39 458 701 243 HFT - Deposits 39 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 497 - Leasing SPV 35 4 31 31 - HFT - Deposits 4 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 35 - Market Related SPV 252 6 246 246 - HFT - Deposits 6 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 252 - Notes Issuing Vehicles 37 8 29 67 38 HFT 15 Deposits 8 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 22 - Project Finance SPV 2,767 661 2,106 2,320 214 HFT - Deposits 661 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 2,767 - Real Estate SPV 3,578 615 2,963 3,433 470 HFT - Deposits 615 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 3,578 - Shipping Aircraft SPV 81 - 81 106 25 HFT - Deposits - DFV - Securities - MFV - HFT - FVOCI - DFV - AC 81 - Warehousing SPV - - - - - HFT - Deposits - DFV - Securities - MFV - HFT - FVOCI - DFV - AC - - Total 7,247 1,333 5,914 6,904 990 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 306 2021 Annual Report and Accounts · UniCredit Exposure to structured entities different from Securitisation SPV not consolidated for accounting purposes (€ million) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) Acquisition and Leverage Finance SPV 497 39 458 701 243 HFT - Deposits 39 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 497 - Leasing SPV 35 4 31 31 - HFT - Deposits 4 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 35 - Market Related SPV 252 6 246 246 - HFT - Deposits 6 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 252 - Notes Issuing Vehicles 37 8 29 67 38 HFT 15 Deposits 8 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 22 - Project Finance SPV 2,767 661 2,106 2,320 214 HFT - Deposits 661 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 2,767 - Real Estate SPV 3,578 615 2,963 3,433 470 HFT - Deposits 615 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 3,578 - Shipping Aircraft SPV 81 - 81 106 25 HFT - Deposits - DFV - Securities - MFV - HFT - FVOCI - DFV - AC 81 - Warehousing SPV - - - - - HFT - Deposits - DFV - Securities - MFV - HFT - FVOCI - DFV - AC - - Total 7,247 1,333 5,914 6,904 990 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 306 2021 Annual Report and Accounts · UniCredit Exposure to structured entities different from Securitisation SPV not consolidated for accounting purposes (€ million) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) Acquisition and Leverage Finance SPV 497 39 458 701 243 HFT - Deposits 39 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 497 - Leasing SPV 35 4 31 31 - HFT - Deposits 4 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 35 - Market Related SPV 252 6 246 246 - HFT - Deposits 6 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 252 - Notes Issuing Vehicles 37 8 29 67 38 HFT 15 Deposits 8 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 22 - Project Finance SPV 2,767 661 2,106 2,320 214 HFT - Deposits 661 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 2,767 - Real Estate SPV 3,578 615 2,963 3,433 470 HFT - Deposits 615 DFV - Securities - MFV - HFT - FVOCI - DFV - AC 3,578 - Shipping Aircraft SPV 81 - 81 106 25 HFT - Deposits - DFV - Securities - MFV - HFT - FVOCI - DFV - AC 81 - Warehousing SPV - - - - - HFT - Deposits - DFV - Securities - MFV - HFT - FVOCI - DFV - AC - - Total 7,247 1,333 5,914 6,904 990 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 307 The following table provides indication on assets, liabilities and off-balance sheet exposures recognised in the balance sheet of the Group held towards not consolidated investment funds. Exposure to structured entites different from Securitisation SPV not consolidated for accounting purposes - Investment funds (€ million) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) Real Estate investment funds 5,106 1,284 3,822 5,268 1,446 HFT - Deposits 1,282 DFV - Securities 2 MFV 266 HFT - FVOCI - DFV - AC 4,840 - Mixed Asset investment funds 941 1,056 (115) (54) 61 HFT 619 Deposits 1,051 DFV - Securities - MFV 35 HFT 5 FVOCI - DFV - AC 287 - Equity investment funds 1,467 266 1,201 1,211 10 HFT 1,189 Deposits 261 DFV - Securities - MFV 2 HFT 5 FVOCI - DFV - AC 276 - Private Equity/Debt investment funds 427 24 403 403 - HFT - Deposits 24 DFV - Securities - MFV 379 HFT - FVOCI - DFV - AC 48 - Fixed Income investment funds 956 596 360 360 - HFT 503 Deposits 594 DFV - Securities - MFV 20 HFT 2 FVOCI - DFV - AC 433 - Other investment funds 1,015 1,952 (937) (908) 29 HFT 113 Deposits 1,951 DFV - Securities - MFV 773 HFT 1 FVOCI - DFV - AC 129 - Total 9,912 5,178 4,734 6,280 1,546 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost It should be noted that during the year the Group has recognised commission income for €47 million as a result of the management of investment funds not consolidated. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 307 The following table provides indication on assets, liabilities and off-balance sheet exposures recognised in the balance sheet of the Group held towards not consolidated investment funds. Exposure to structured entites different from Securitisation SPV not consolidated for accounting purposes - Investment funds (€ million) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) Real Estate investment funds 5,106 1,284 3,822 5,268 1,446 HFT - Deposits 1,282 DFV - Securities 2 MFV 266 HFT - FVOCI - DFV - AC 4,840 - Mixed Asset investment funds 941 1,056 (115) (54) 61 HFT 619 Deposits 1,051 DFV - Securities - MFV 35 HFT 5 FVOCI - DFV - AC 287 - Equity investment funds 1,467 266 1,201 1,211 10 HFT 1,189 Deposits 261 DFV - Securities - MFV 2 HFT 5 FVOCI - DFV - AC 276 - Private Equity/Debt investment funds 427 24 403 403 - HFT - Deposits 24 DFV - Securities - MFV 379 HFT - FVOCI - DFV - AC 48 - Fixed Income investment funds 956 596 360 360 - HFT 503 Deposits 594 DFV - Securities - MFV 20 HFT 2 FVOCI - DFV - AC 433 - Other investment funds 1,015 1,952 (937) (908) 29 HFT 113 Deposits 1,951 DFV - Securities - MFV 773 HFT 1 FVOCI - DFV - AC 129 - Total 9,912 5,178 4,734 6,280 1,546 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost It should be noted that during the year the Group has recognised commission income for €47 million as a result of the management of investment funds not consolidated. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 307 The following table provides indication on assets, liabilities and off-balance sheet exposures recognised in the balance sheet of the Group held towards not consolidated investment funds. Exposure to structured entites different from Securitisation SPV not consolidated for accounting purposes - Investment funds (€ million) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) Real Estate investment funds 5,106 1,284 3,822 5,268 1,446 HFT - Deposits 1,282 DFV - Securities 2 MFV 266 HFT - FVOCI - DFV - AC 4,840 - Mixed Asset investment funds 941 1,056 (115) (54) 61 HFT 619 Deposits 1,051 DFV - Securities - MFV 35 HFT 5 FVOCI - DFV - AC 287 - Equity investment funds 1,467 266 1,201 1,211 10 HFT 1,189 Deposits 261 DFV - Securities - MFV 2 HFT 5 FVOCI - DFV - AC 276 - Private Equity/Debt investment funds 427 24 403 403 - HFT - Deposits 24 DFV - Securities - MFV 379 HFT - FVOCI - DFV - AC 48 - Fixed Income investment funds 956 596 360 360 - HFT 503 Deposits 594 DFV - Securities - MFV 20 HFT 2 FVOCI - DFV - AC 433 - Other investment funds 1,015 1,952 (937) (908) 29 HFT 113 Deposits 1,951 DFV - Securities - MFV 773 HFT 1 FVOCI - DFV - AC 129 - Total 9,912 5,178 4,734 6,280 1,546 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost It should be noted that during the year the Group has recognised commission income for €47 million as a result of the management of investment funds not consolidated. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 307 The following table provides indication on assets, liabilities and off-balance sheet exposures recognised in the balance sheet of the Group held towards not consolidated investment funds. Exposure to structured entites different from Securitisation SPV not consolidated for accounting purposes - Investment funds (€ million) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) Real Estate investment funds 5,106 1,284 3,822 5,268 1,446 HFT - Deposits 1,282 DFV - Securities 2 MFV 266 HFT - FVOCI - DFV - AC 4,840 - Mixed Asset investment funds 941 1,056 (115) (54) 61 HFT 619 Deposits 1,051 DFV - Securities - MFV 35 HFT 5 FVOCI - DFV - AC 287 - Equity investment funds 1,467 266 1,201 1,211 10 HFT 1,189 Deposits 261 DFV - Securities - MFV 2 HFT 5 FVOCI - DFV - AC 276 - Private Equity/Debt investment funds 427 24 403 403 - HFT - Deposits 24 DFV - Securities - MFV 379 HFT - FVOCI - DFV - AC 48 - Fixed Income investment funds 956 596 360 360 - HFT 503 Deposits 594 DFV - Securities - MFV 20 HFT 2 FVOCI - DFV - AC 433 - Other investment funds 1,015 1,952 (937) (908) 29 HFT 113 Deposits 1,951 DFV - Securities - MFV 773 HFT 1 FVOCI - DFV - AC 129 - Total 9,912 5,178 4,734 6,280 1,546 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost It should be noted that during the year the Group has recognised commission income for €47 million as a result of the management of investment funds not consolidated. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 307 The following table provides indication on assets, liabilities and off-balance sheet exposures recognised in the balance sheet of the Group held towards not consolidated investment funds. Exposure to structured entites different from Securitisation SPV not consolidated for accounting purposes - Investment funds (€ million) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) Real Estate investment funds 5,106 1,284 3,822 5,268 1,446 HFT - Deposits 1,282 DFV - Securities 2 MFV 266 HFT - FVOCI - DFV - AC 4,840 - Mixed Asset investment funds 941 1,056 (115) (54) 61 HFT 619 Deposits 1,051 DFV - Securities - MFV 35 HFT 5 FVOCI - DFV - AC 287 - Equity investment funds 1,467 266 1,201 1,211 10 HFT 1,189 Deposits 261 DFV - Securities - MFV 2 HFT 5 FVOCI - DFV - AC 276 - Private Equity/Debt investment funds 427 24 403 403 - HFT - Deposits 24 DFV - Securities - MFV 379 HFT - FVOCI - DFV - AC 48 - Fixed Income investment funds 956 596 360 360 - HFT 503 Deposits 594 DFV - Securities - MFV 20 HFT 2 FVOCI - DFV - AC 433 - Other investment funds 1,015 1,952 (937) (908) 29 HFT 113 Deposits 1,951 DFV - Securities - MFV 773 HFT 1 FVOCI - DFV - AC 129 - Total 9,912 5,178 4,734 6,280 1,546 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost It should be noted that during the year the Group has recognised commission income for €47 million as a result of the management of investment funds not consolidated. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 308 2021 Annual Report and Accounts · UniCredit Section 2 - Risks of the prudential consolidated perimeter 2.1 Credit risk Qualitative information 1. General aspects Credit policies In UniCredit, the current governance model of credit risk, intended as risk of impairment of a credit exposure deriving from an unexpected deterioration of the counterparty’s creditworthiness, provides for two levels of control: • on the one hand, the supervision of the Parent company Risk Governance functions which steer and control the credit risk and perform a managerial coordination with respect to the relevant Group legal entities’ Risk Management functions; • on the other hand, the supervision of the relevant Group legal entities’ Risk Management functions which perform the control and the management of the risks portfolio at Country level. With reference to credit risk management topics, the mechanisms of interaction between the Parent company and the Group legal entities are defined by specific credit governance rules that, on the one hand, regulate the respective responsibilities and, on the other hand, ensure the compliance of the overall credit risk framework with the regulatory framework which the Parent company is subject to. Within its role of guidance, support and control, the Parent company acts in the following areas: credit rules (principles, policies and processes), credit strategies and credit risk limits, models development, rating systems validation, large exposures management, issuance of credit products, monitoring and reporting portfolio credit risk. In line with such credit governance rules, the Group legal entities request the Group Risk Management opinion before granting new or reviewing existing credit lines to individual borrowers or economic groups whenever these credit lines exceed defined thresholds, also with reference to the compliance with the credit risk concentration limits being measured with respect to the regulatory capital. According to the role assigned by the Group governance to the Parent company, specifically to the Group Risk Management function, general provisions are established (“Group General Principles for credit activities”, “Group Credit Risk Management Framework”, “Guidelines on Loan Categorization and Forbearance Classification”, “Credit Risk Model Development and Maintenance, “Planning, Adoption and Management of Credit Risk Systems”, “Guidelines on Loan Loss Provisioning under IFRS9 Framework”), defining Group-wide rules and principles for guiding, classifying, managing, governing and standardising the credit risk assessment and management, as well as the development of its models, in line with the regulatory requirements and the Group best practice. These general provisions are further supplemented by policies which, regulating specific topics (e.g. business areas, segment activities, type of counterpart/transaction), are divided into two categories: • policies on Group-wide topics, drafted and issued by the Parent company and sent to all the legal entities; • policies locally developed by single legal entities, fully in line with the guidelines defined at Parent company level, that regulate credit practices relating to rules and peculiarities of the local market and that are, therefore, applicable only within the respective perimeter. At both legal entity and Parent company level, the policies (if necessary) are further detailed through operating instructions that describe specific rules supporting the execution of day-by-day activities. In UniCredit S.p.A., lending is governed by a regulatory framework, called the Testo Unico del Credito, which is constantly updated. This framework includes the guidelines and operating procedures for managing the various phases of the credit life cycle, taking into account potential changes in the credit strategy and progressive process and procedural improvements. More specifically, the following process phases are regulated: • the assessment of the creditworthiness of the borrower, including the rating assignment procedures; • the decision to grant credit lines, their implementation and the rules for managing them; • the acquisition, management and monitoring of the value of collaterals and guarantees; • the performance monitoring process and the initiatives to improve the sustainability of the counterpart, the customer classification process; • the restructuring and the credit recovery process (debt collection policy/workout) to be started in the event of failure of the risk containment initiatives. The purpose of the workout activities is to recover the customer's exposure as much as possible and close the relationship with the same, proceeding, if necessary, to the enforcement of any guarantees. The recovery initiatives, carried out through a robust IT infrastructure and the result of a combined approach between subjective assessment and automated process, can be managed: i. internally, by personnel belonging to a specialized structure within the bank, ii. externally, it gives to an external company in charge of managing the position on the basis of a servicing contract. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 308 2021 Annual Report and Accounts · UniCredit Section 2 - Risks of the prudential consolidated perimeter 2.1 Credit risk Qualitative information 1. General aspects Credit policies In UniCredit, the current governance model of credit risk, intended as risk of impairment of a credit exposure deriving from an unexpected deterioration of the counterparty’s creditworthiness, provides for two levels of control: • on the one hand, the supervision of the Parent company Risk Governance functions which steer and control the credit risk and perform a managerial coordination with respect to the relevant Group legal entities’ Risk Management functions; • on the other hand, the supervision of the relevant Group legal entities’ Risk Management functions which perform the control and the management of the risks portfolio at Country level. With reference to credit risk management topics, the mechanisms of interaction between the Parent company and the Group legal entities are defined by specific credit governance rules that, on the one hand, regulate the respective responsibilities and, on the other hand, ensure the compliance of the overall credit risk framework with the regulatory framework which the Parent company is subject to. Within its role of guidance, support and control, the Parent company acts in the following areas: credit rules (principles, policies and processes), credit strategies and credit risk limits, models development, rating systems validation, large exposures management, issuance of credit products, monitoring and reporting portfolio credit risk. In line with such credit governance rules, the Group legal entities request the Group Risk Management opinion before granting new or reviewing existing credit lines to individual borrowers or economic groups whenever these credit lines exceed defined thresholds, also with reference to the compliance with the credit risk concentration limits being measured with respect to the regulatory capital. According to the role assigned by the Group governance to the Parent company, specifically to the Group Risk Management function, general provisions are established (“Group General Principles for credit activities”, “Group Credit Risk Management Framework”, “Guidelines on Loan Categorization and Forbearance Classification”, “Credit Risk Model Development and Maintenance, “Planning, Adoption and Management of Credit Risk Systems”, “Guidelines on Loan Loss Provisioning under IFRS9 Framework”), defining Group-wide rules and principles for guiding, classifying, managing, governing and standardising the credit risk assessment and management, as well as the development of its models, in line with the regulatory requirements and the Group best practice. These general provisions are further supplemented by policies which, regulating specific topics (e.g. business areas, segment activities, type of counterpart/transaction), are divided into two categories: • policies on Group-wide topics, drafted and issued by the Parent company and sent to all the legal entities; • policies locally developed by single legal entities, fully in line with the guidelines defined at Parent company level, that regulate credit practices relating to rules and peculiarities of the local market and that are, therefore, applicable only within the respective perimeter. At both legal entity and Parent company level, the policies (if necessary) are further detailed through operating instructions that describe specific rules supporting the execution of day-by-day activities. In UniCredit S.p.A., lending is governed by a regulatory framework, called the Testo Unico del Credito, which is constantly updated. This framework includes the guidelines and operating procedures for managing the various phases of the credit life cycle, taking into account potential changes in the credit strategy and progressive process and procedural improvements. More specifically, the following process phases are regulated: • the assessment of the creditworthiness of the borrower, including the rating assignment procedures; • the decision to grant credit lines, their implementation and the rules for managing them; • the acquisition, management and monitoring of the value of collaterals and guarantees; • the performance monitoring process and the initiatives to improve the sustainability of the counterpart, the customer classification process; • the restructuring and the credit recovery process (debt collection policy/workout) to be started in the event of failure of the risk containment initiatives. The purpose of the workout activities is to recover the customer's exposure as much as possible and close the relationship with the same, proceeding, if necessary, to the enforcement of any guarantees. The recovery initiatives, carried out through a robust IT infrastructure and the result of a combined approach between subjective assessment and automated process, can be managed: i. internally, by personnel belonging to a specialized structure within the bank, ii. externally, it gives to an external company in charge of managing the position on the basis of a servicing contract. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 308 2021 Annual Report and Accounts · UniCredit Section 2 - Risks of the prudential consolidated perimeter 2.1 Credit risk Qualitative information 1. General aspects Credit policies In UniCredit, the current governance model of credit risk, intended as risk of impairment of a credit exposure deriving from an unexpected deterioration of the counterparty’s creditworthiness, provides for two levels of control: • on the one hand, the supervision of the Parent company Risk Governance functions which steer and control the credit risk and perform a managerial coordination with respect to the relevant Group legal entities’ Risk Management functions; • on the other hand, the supervision of the relevant Group legal entities’ Risk Management functions which perform the control and the management of the risks portfolio at Country level. With reference to credit risk management topics, the mechanisms of interaction between the Parent company and the Group legal entities are defined by specific credit governance rules that, on the one hand, regulate the respective responsibilities and, on the other hand, ensure the compliance of the overall credit risk framework with the regulatory framework which the Parent company is subject to. Within its role of guidance, support and control, the Parent company acts in the following areas: credit rules (principles, policies and processes), credit strategies and credit risk limits, models development, rating systems validation, large exposures management, issuance of credit products, monitoring and reporting portfolio credit risk. In line with such credit governance rules, the Group legal entities request the Group Risk Management opinion before granting new or reviewing existing credit lines to individual borrowers or economic groups whenever these credit lines exceed defined thresholds, also with reference to the compliance with the credit risk concentration limits being measured with respect to the regulatory capital. According to the role assigned by the Group governance to the Parent company, specifically to the Group Risk Management function, general provisions are established (“Group General Principles for credit activities”, “Group Credit Risk Management Framework”, “Guidelines on Loan Categorization and Forbearance Classification”, “Credit Risk Model Development and Maintenance, “Planning, Adoption and Management of Credit Risk Systems”, “Guidelines on Loan Loss Provisioning under IFRS9 Framework”), defining Group-wide rules and principles for guiding, classifying, managing, governing and standardising the credit risk assessment and management, as well as the development of its models, in line with the regulatory requirements and the Group best practice. These general provisions are further supplemented by policies which, regulating specific topics (e.g. business areas, segment activities, type of counterpart/transaction), are divided into two categories: • policies on Group-wide topics, drafted and issued by the Parent company and sent to all the legal entities; • policies locally developed by single legal entities, fully in line with the guidelines defined at Parent company level, that regulate credit practices relating to rules and peculiarities of the local market and that are, therefore, applicable only within the respective perimeter. At both legal entity and Parent company level, the policies (if necessary) are further detailed through operating instructions that describe specific rules supporting the execution of day-by-day activities. In UniCredit S.p.A., lending is governed by a regulatory framework, called the Testo Unico del Credito, which is constantly updated. This framework includes the guidelines and operating procedures for managing the various phases of the credit life cycle, taking into account potential changes in the credit strategy and progressive process and procedural improvements. More specifically, the following process phases are regulated: • the assessment of the creditworthiness of the borrower, including the rating assignment procedures; • the decision to grant credit lines, their implementation and the rules for managing them; • the acquisition, management and monitoring of the value of collaterals and guarantees; • the performance monitoring process and the initiatives to improve the sustainability of the counterpart, the customer classification process; • the restructuring and the credit recovery process (debt collection policy/workout) to be started in the event of failure of the risk containment initiatives. The purpose of the workout activities is to recover the customer's exposure as much as possible and close the relationship with the same, proceeding, if necessary, to the enforcement of any guarantees. The recovery initiatives, carried out through a robust IT infrastructure and the result of a combined approach between subjective assessment and automated process, can be managed: i. internally, by personnel belonging to a specialized structure within the bank, ii. externally, it gives to an external company in charge of managing the position on the basis of a servicing contract. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 308 2021 Annual Report and Accounts · UniCredit Section 2 - Risks of the prudential consolidated perimeter 2.1 Credit risk Qualitative information 1. General aspects Credit policies In UniCredit, the current governance model of credit risk, intended as risk of impairment of a credit exposure deriving from an unexpected deterioration of the counterparty’s creditworthiness, provides for two levels of control: • on the one hand, the supervision of the Parent company Risk Governance functions which steer and control the credit risk and perform a managerial coordination with respect to the relevant Group legal entities’ Risk Management functions; • on the other hand, the supervision of the relevant Group legal entities’ Risk Management functions which perform the control and the management of the risks portfolio at Country level. With reference to credit risk management topics, the mechanisms of interaction between the Parent company and the Group legal entities are defined by specific credit governance rules that, on the one hand, regulate the respective responsibilities and, on the other hand, ensure the compliance of the overall credit risk framework with the regulatory framework which the Parent company is subject to. Within its role of guidance, support and control, the Parent company acts in the following areas: credit rules (principles, policies and processes), credit strategies and credit risk limits, models development, rating systems validation, large exposures management, issuance of credit products, monitoring and reporting portfolio credit risk. In line with such credit governance rules, the Group legal entities request the Group Risk Management opinion before granting new or reviewing existing credit lines to individual borrowers or economic groups whenever these credit lines exceed defined thresholds, also with reference to the compliance with the credit risk concentration limits being measured with respect to the regulatory capital. According to the role assigned by the Group governance to the Parent company, specifically to the Group Risk Management function, general provisions are established (“Group General Principles for credit activities”, “Group Credit Risk Management Framework”, “Guidelines on Loan Categorization and Forbearance Classification”, “Credit Risk Model Development and Maintenance, “Planning, Adoption and Management of Credit Risk Systems”, “Guidelines on Loan Loss Provisioning under IFRS9 Framework”), defining Group-wide rules and principles for guiding, classifying, managing, governing and standardising the credit risk assessment and management, as well as the development of its models, in line with the regulatory requirements and the Group best practice. These general provisions are further supplemented by policies which, regulating specific topics (e.g. business areas, segment activities, type of counterpart/transaction), are divided into two categories: • policies on Group-wide topics, drafted and issued by the Parent company and sent to all the legal entities; • policies locally developed by single legal entities, fully in line with the guidelines defined at Parent company level, that regulate credit practices relating to rules and peculiarities of the local market and that are, therefore, applicable only within the respective perimeter. At both legal entity and Parent company level, the policies (if necessary) are further detailed through operating instructions that describe specific rules supporting the execution of day-by-day activities. In UniCredit S.p.A., lending is governed by a regulatory framework, called the Testo Unico del Credito, which is constantly updated. This framework includes the guidelines and operating procedures for managing the various phases of the credit life cycle, taking into account potential changes in the credit strategy and progressive process and procedural improvements. More specifically, the following process phases are regulated: • the assessment of the creditworthiness of the borrower, including the rating assignment procedures; • the decision to grant credit lines, their implementation and the rules for managing them; • the acquisition, management and monitoring of the value of collaterals and guarantees; • the performance monitoring process and the initiatives to improve the sustainability of the counterpart, the customer classification process; • the restructuring and the credit recovery process (debt collection policy/workout) to be started in the event of failure of the risk containment initiatives. The purpose of the workout activities is to recover the customer's exposure as much as possible and close the relationship with the same, proceeding, if necessary, to the enforcement of any guarantees. The recovery initiatives, carried out through a robust IT infrastructure and the result of a combined approach between subjective assessment and automated process, can be managed: i. internally, by personnel belonging to a specialized structure within the bank, ii. externally, it gives to an external company in charge of managing the position on the basis of a servicing contract. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 308 2021 Annual Report and Accounts · UniCredit Section 2 - Risks of the prudential consolidated perimeter 2.1 Credit risk Qualitative information 1. General aspects Credit policies In UniCredit, the current governance model of credit risk, intended as risk of impairment of a credit exposure deriving from an unexpected deterioration of the counterparty’s creditworthiness, provides for two levels of control: • on the one hand, the supervision of the Parent company Risk Governance functions which steer and control the credit risk and perform a managerial coordination with respect to the relevant Group legal entities’ Risk Management functions; • on the other hand, the supervision of the relevant Group legal entities’ Risk Management functions which perform the control and the management of the risks portfolio at Country level. With reference to credit risk management topics, the mechanisms of interaction between the Parent company and the Group legal entities are defined by specific credit governance rules that, on the one hand, regulate the respective responsibilities and, on the other hand, ensure the compliance of the overall credit risk framework with the regulatory framework which the Parent company is subject to. Within its role of guidance, support and control, the Parent company acts in the following areas: credit rules (principles, policies and processes), credit strategies and credit risk limits, models development, rating systems validation, large exposures management, issuance of credit products, monitoring and reporting portfolio credit risk. In line with such credit governance rules, the Group legal entities request the Group Risk Management opinion before granting new or reviewing existing credit lines to individual borrowers or economic groups whenever these credit lines exceed defined thresholds, also with reference to the compliance with the credit risk concentration limits being measured with respect to the regulatory capital. According to the role assigned by the Group governance to the Parent company, specifically to the Group Risk Management function, general provisions are established (“Group General Principles for credit activities”, “Group Credit Risk Management Framework”, “Guidelines on Loan Categorization and Forbearance Classification”, “Credit Risk Model Development and Maintenance, “Planning, Adoption and Management of Credit Risk Systems”, “Guidelines on Loan Loss Provisioning under IFRS9 Framework”), defining Group-wide rules and principles for guiding, classifying, managing, governing and standardising the credit risk assessment and management, as well as the development of its models, in line with the regulatory requirements and the Group best practice. These general provisions are further supplemented by policies which, regulating specific topics (e.g. business areas, segment activities, type of counterpart/transaction), are divided into two categories: • policies on Group-wide topics, drafted and issued by the Parent company and sent to all the legal entities; • policies locally developed by single legal entities, fully in line with the guidelines defined at Parent company level, that regulate credit practices relating to rules and peculiarities of the local market and that are, therefore, applicable only within the respective perimeter. At both legal entity and Parent company level, the policies (if necessary) are further detailed through operating instructions that describe specific rules supporting the execution of day-by-day activities. In UniCredit S.p.A., lending is governed by a regulatory framework, called the Testo Unico del Credito, which is constantly updated. This framework includes the guidelines and operating procedures for managing the various phases of the credit life cycle, taking into account potential changes in the credit strategy and progressive process and procedural improvements. More specifically, the following process phases are regulated: • the assessment of the creditworthiness of the borrower, including the rating assignment procedures; • the decision to grant credit lines, their implementation and the rules for managing them; • the acquisition, management and monitoring of the value of collaterals and guarantees; • the performance monitoring process and the initiatives to improve the sustainability of the counterpart, the customer classification process; • the restructuring and the credit recovery process (debt collection policy/workout) to be started in the event of failure of the risk containment initiatives. The purpose of the workout activities is to recover the customer's exposure as much as possible and close the relationship with the same, proceeding, if necessary, to the enforcement of any guarantees. The recovery initiatives, carried out through a robust IT infrastructure and the result of a combined approach between subjective assessment and automated process, can be managed: i. internally, by personnel belonging to a specialized structure within the bank, ii. externally, it gives to an external company in charge of managing the position on the basis of a servicing contract. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 309 Credit policies, which usually have a static approach and are revised when necessary (e.g. in case of evolution of the external regulatory framework), are supplemented by credit risk strategies (approved by the Board of Directors in the context of the Risk Appetite Framework) which, instead, are updated at least once a year and define with which customers/products, industry segments and geographical areas the Group and the Group legal entities intend to develop their credit business. Credit strategies More in general, the Group credit strategies are an effective tool for managing credit risk, contributing to the definition of the budget objectives in line with the Group's Risk Appetite, of which they are an integral part. They also constitute a management tool as they translate the metrics defined within the Risk Appetite into concrete form. On the basis of the macroeconomic and credit scenario, the outlook at the economic sector level, as well as the business initiatives/strategies, the credit strategies provide a set of guidelines and operational targets aimed at the countries and business segments in which the Group work and are performed on the operating structures of each Group company and included in their respective commercial policies. The ultimate goal is to ensure sustainable commercial growth, consistent with the risk profile of each company, remaining within the limits defined by the Group Risk Appetite Framework. Within the framework of the strategies underlying credit activity, concentration risk is considered particularly important. This is the risk associated with losses generated by a single exposure or group of related exposures that (in relation to the capital of a bank, total assets, or the overall risk level) can generate potentially serious effects on the solidity and "core" operation of the Group. In compliance with the relevant regulatory framework, UniCredit group manages the concentration credit risk through specific limits that represent the maximum risk that the Group intends to accept regarding: • individual counterparties or groups of connected counterparties (Single Name Bulk Risk); • counterparties belonging to the same economic sector (Industry Concentration Risk). The results of stress test simulations relating to expected loss are an integrated part of the definition of credit strategies. Effects arising from Covid-19 pandemic With reference to credit risk, UniCredit positively sees all the initiatives aimed at supporting the real economy that have been put in place by the EU government and is complementing them with additional measure to support customers over this period and to reduce as much as possible the negative effects of this crisis. All concessions are defined to respond as quickly as possible to the drawback deriving from a temporary slow-down of the economic cycle and related liquidity issues. The potential impact on the bank’s risk profile is mitigated with: • acquisition of public guarantees in line with the mechanisms put in place by the various governments; • an ex-ante and ongoing evaluation of the client’s risk profile. UniCredit has defined Group guiding principles for underwriting, monitoring and management of Moratorium/emergency schemes, to cope with the new challenges and to early detect potential signals of asset quality deterioration. With specific reference to the moratorium measures, and in order to provide relief to the lockdown measures put in place for containing Covid-19 outbreak, UniCredit group arranged several initiatives available to customers, whose specific features are different in each country in terms of scope of customers and product types, typically allow the postponement of instalments and the increase in the residual maturity of credit exposures. Among these initiatives, a number of moratoriums specifically meet the definition of “General Payment” (either legislative or assimilated non-legislative ones) in line with “Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis”39 (issued by EBA in April 2020 and further updated in September and December 2020), as broadly applied by credit institution on the basis of national laws or industry- or sector-wide private initiatives. The Group has also implemented other moratorium initiatives not specifically referred to the above mentioned EBA guidelines and therefore granted by the Institutions as additional customer support tools to deal with the context of difficulties and independently from national law or industry- or sector-wide private initiatives. Based on the “EBA/GL/2020/02” the Group Guidelines defined by the Parent company address all legal entities on regulatory treatment for the above-mentioned Moratoria and Guarantee Schemes. Specifically, different regulatory treatments are allowed with respect to Forbearance measures as well as Default detection, particularly from the point of view of the Unlikely To Pay (“UTP” - Unlikely To Pay) assessment. In particular, General Payment moratoriums granting, in line with the EBA requirements, does not automatically activate a classification of forbearance, however a specific assessment is aimed at verifying the financial difficulty; in this case the UTP assessment shall be applied both during the moratorium period and shortly after its end. In this regard, the updates of the guidelines provided by EBA in December 2020, have extended to 31 March 2021, the date by which a legislative and assimilated non-legislative ones can be applied and considered as a "General Payment" and introduced a cumulative maximum limit of 9 months to the benefit from the moratoriums granted or extended after 30 September 2020. 39 Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued on 2 April 2020 (“EBA/GL/2020/02”) and subsequent amendment EBA/GL/2020/15. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 309 Credit policies, which usually have a static approach and are revised when necessary (e.g. in case of evolution of the external regulatory framework), are supplemented by credit risk strategies (approved by the Board of Directors in the context of the Risk Appetite Framework) which, instead, are updated at least once a year and define with which customers/products, industry segments and geographical areas the Group and the Group legal entities intend to develop their credit business. Credit strategies More in general, the Group credit strategies are an effective tool for managing credit risk, contributing to the definition of the budget objectives in line with the Group's Risk Appetite, of which they are an integral part. They also constitute a management tool as they translate the metrics defined within the Risk Appetite into concrete form. On the basis of the macroeconomic and credit scenario, the outlook at the economic sector level, as well as the business initiatives/strategies, the credit strategies provide a set of guidelines and operational targets aimed at the countries and business segments in which the Group work and are performed on the operating structures of each Group company and included in their respective commercial policies. The ultimate goal is to ensure sustainable commercial growth, consistent with the risk profile of each company, remaining within the limits defined by the Group Risk Appetite Framework. Within the framework of the strategies underlying credit activity, concentration risk is considered particularly important. This is the risk associated with losses generated by a single exposure or group of related exposures that (in relation to the capital of a bank, total assets, or the overall risk level) can generate potentially serious effects on the solidity and "core" operation of the Group. In compliance with the relevant regulatory framework, UniCredit group manages the concentration credit risk through specific limits that represent the maximum risk that the Group intends to accept regarding: • individual counterparties or groups of connected counterparties (Single Name Bulk Risk); • counterparties belonging to the same economic sector (Industry Concentration Risk). The results of stress test simulations relating to expected loss are an integrated part of the definition of credit strategies. Effects arising from Covid-19 pandemic With reference to credit risk, UniCredit positively sees all the initiatives aimed at supporting the real economy that have been put in place by the EU government and is complementing them with additional measure to support customers over this period and to reduce as much as possible the negative effects of this crisis. All concessions are defined to respond as quickly as possible to the drawback deriving from a temporary slow-down of the economic cycle and related liquidity issues. The potential impact on the bank’s risk profile is mitigated with: • acquisition of public guarantees in line with the mechanisms put in place by the various governments; • an ex-ante and ongoing evaluation of the client’s risk profile. UniCredit has defined Group guiding principles for underwriting, monitoring and management of Moratorium/emergency schemes, to cope with the new challenges and to early detect potential signals of asset quality deterioration. With specific reference to the moratorium measures, and in order to provide relief to the lockdown measures put in place for containing Covid-19 outbreak, UniCredit group arranged several initiatives available to customers, whose specific features are different in each country in terms of scope of customers and product types, typically allow the postponement of instalments and the increase in the residual maturity of credit exposures. Among these initiatives, a number of moratoriums specifically meet the definition of “General Payment” (either legislative or assimilated non-legislative ones) in line with “Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis”39 (issued by EBA in April 2020 and further updated in September and December 2020), as broadly applied by credit institution on the basis of national laws or industry- or sector-wide private initiatives. The Group has also implemented other moratorium initiatives not specifically referred to the above mentioned EBA guidelines and therefore granted by the Institutions as additional customer support tools to deal with the context of difficulties and independently from national law or industry- or sector-wide private initiatives. Based on the “EBA/GL/2020/02” the Group Guidelines defined by the Parent company address all legal entities on regulatory treatment for the above-mentioned Moratoria and Guarantee Schemes. Specifically, different regulatory treatments are allowed with respect to Forbearance measures as well as Default detection, particularly from the point of view of the Unlikely To Pay (“UTP” - Unlikely To Pay) assessment. In particular, General Payment moratoriums granting, in line with the EBA requirements, does not automatically activate a classification of forbearance, however a specific assessment is aimed at verifying the financial difficulty; in this case the UTP assessment shall be applied both during the moratorium period and shortly after its end. In this regard, the updates of the guidelines provided by EBA in December 2020, have extended to 31 March 2021, the date by which a legislative and assimilated non-legislative ones can be applied and considered as a "General Payment" and introduced a cumulative maximum limit of 9 months to the benefit from the moratoriums granted or extended after 30 September 2020. 39 Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued on 2 April 2020 (“EBA/GL/2020/02”) and subsequent amendment EBA/GL/2020/15. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 309 Credit policies, which usually have a static approach and are revised when necessary (e.g. in case of evolution of the external regulatory framework), are supplemented by credit risk strategies (approved by the Board of Directors in the context of the Risk Appetite Framework) which, instead, are updated at least once a year and define with which customers/products, industry segments and geographical areas the Group and the Group legal entities intend to develop their credit business. Credit strategies More in general, the Group credit strategies are an effective tool for managing credit risk, contributing to the definition of the budget objectives in line with the Group's Risk Appetite, of which they are an integral part. They also constitute a management tool as they translate the metrics defined within the Risk Appetite into concrete form. On the basis of the macroeconomic and credit scenario, the outlook at the economic sector level, as well as the business initiatives/strategies, the credit strategies provide a set of guidelines and operational targets aimed at the countries and business segments in which the Group work and are performed on the operating structures of each Group company and included in their respective commercial policies. The ultimate goal is to ensure sustainable commercial growth, consistent with the risk profile of each company, remaining within the limits defined by the Group Risk Appetite Framework. Within the framework of the strategies underlying credit activity, concentration risk is considered particularly important. This is the risk associated with losses generated by a single exposure or group of related exposures that (in relation to the capital of a bank, total assets, or the overall risk level) can generate potentially serious effects on the solidity and "core" operation of the Group. In compliance with the relevant regulatory framework, UniCredit group manages the concentration credit risk through specific limits that represent the maximum risk that the Group intends to accept regarding: • individual counterparties or groups of connected counterparties (Single Name Bulk Risk); • counterparties belonging to the same economic sector (Industry Concentration Risk). The results of stress test simulations relating to expected loss are an integrated part of the definition of credit strategies. Effects arising from Covid-19 pandemic With reference to credit risk, UniCredit positively sees all the initiatives aimed at supporting the real economy that have been put in place by the EU government and is complementing them with additional measure to support customers over this period and to reduce as much as possible the negative effects of this crisis. All concessions are defined to respond as quickly as possible to the drawback deriving from a temporary slow-down of the economic cycle and related liquidity issues. The potential impact on the bank’s risk profile is mitigated with: • acquisition of public guarantees in line with the mechanisms put in place by the various governments; • an ex-ante and ongoing evaluation of the client’s risk profile. UniCredit has defined Group guiding principles for underwriting, monitoring and management of Moratorium/emergency schemes, to cope with the new challenges and to early detect potential signals of asset quality deterioration. With specific reference to the moratorium measures, and in order to provide relief to the lockdown measures put in place for containing Covid-19 outbreak, UniCredit group arranged several initiatives available to customers, whose specific features are different in each country in terms of scope of customers and product types, typically allow the postponement of instalments and the increase in the residual maturity of credit exposures. Among these initiatives, a number of moratoriums specifically meet the definition of “General Payment” (either legislative or assimilated non-legislative ones) in line with “Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis”39 (issued by EBA in April 2020 and further updated in September and December 2020), as broadly applied by credit institution on the basis of national laws or industry- or sector-wide private initiatives. The Group has also implemented other moratorium initiatives not specifically referred to the above mentioned EBA guidelines and therefore granted by the Institutions as additional customer support tools to deal with the context of difficulties and independently from national law or industry- or sector-wide private initiatives. Based on the “EBA/GL/2020/02” the Group Guidelines defined by the Parent company address all legal entities on regulatory treatment for the above-mentioned Moratoria and Guarantee Schemes. Specifically, different regulatory treatments are allowed with respect to Forbearance measures as well as Default detection, particularly from the point of view of the Unlikely To Pay (“UTP” - Unlikely To Pay) assessment. In particular, General Payment moratoriums granting, in line with the EBA requirements, does not automatically activate a classification of forbearance, however a specific assessment is aimed at verifying the financial difficulty; in this case the UTP assessment shall be applied both during the moratorium period and shortly after its end. In this regard, the updates of the guidelines provided by EBA in December 2020, have extended to 31 March 2021, the date by which a legislative and assimilated non-legislative ones can be applied and considered as a "General Payment" and introduced a cumulative maximum limit of 9 months to the benefit from the moratoriums granted or extended after 30 September 2020. 39 Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued on 2 April 2020 (“EBA/GL/2020/02”) and subsequent amendment EBA/GL/2020/15. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 309 Credit policies, which usually have a static approach and are revised when necessary (e.g. in case of evolution of the external regulatory framework), are supplemented by credit risk strategies (approved by the Board of Directors in the context of the Risk Appetite Framework) which, instead, are updated at least once a year and define with which customers/products, industry segments and geographical areas the Group and the Group legal entities intend to develop their credit business. Credit strategies More in general, the Group credit strategies are an effective tool for managing credit risk, contributing to the definition of the budget objectives in line with the Group's Risk Appetite, of which they are an integral part. They also constitute a management tool as they translate the metrics defined within the Risk Appetite into concrete form. On the basis of the macroeconomic and credit scenario, the outlook at the economic sector level, as well as the business initiatives/strategies, the credit strategies provide a set of guidelines and operational targets aimed at the countries and business segments in which the Group work and are performed on the operating structures of each Group company and included in their respective commercial policies. The ultimate goal is to ensure sustainable commercial growth, consistent with the risk profile of each company, remaining within the limits defined by the Group Risk Appetite Framework. Within the framework of the strategies underlying credit activity, concentration risk is considered particularly important. This is the risk associated with losses generated by a single exposure or group of related exposures that (in relation to the capital of a bank, total assets, or the overall risk level) can generate potentially serious effects on the solidity and "core" operation of the Group. In compliance with the relevant regulatory framework, UniCredit group manages the concentration credit risk through specific limits that represent the maximum risk that the Group intends to accept regarding: • individual counterparties or groups of connected counterparties (Single Name Bulk Risk); • counterparties belonging to the same economic sector (Industry Concentration Risk). The results of stress test simulations relating to expected loss are an integrated part of the definition of credit strategies. Effects arising from Covid-19 pandemic With reference to credit risk, UniCredit positively sees all the initiatives aimed at supporting the real economy that have been put in place by the EU government and is complementing them with additional measure to support customers over this period and to reduce as much as possible the negative effects of this crisis. All concessions are defined to respond as quickly as possible to the drawback deriving from a temporary slow-down of the economic cycle and related liquidity issues. The potential impact on the bank’s risk profile is mitigated with: • acquisition of public guarantees in line with the mechanisms put in place by the various governments; • an ex-ante and ongoing evaluation of the client’s risk profile. UniCredit has defined Group guiding principles for underwriting, monitoring and management of Moratorium/emergency schemes, to cope with the new challenges and to early detect potential signals of asset quality deterioration. With specific reference to the moratorium measures, and in order to provide relief to the lockdown measures put in place for containing Covid-19 outbreak, UniCredit group arranged several initiatives available to customers, whose specific features are different in each country in terms of scope of customers and product types, typically allow the postponement of instalments and the increase in the residual maturity of credit exposures. Among these initiatives, a number of moratoriums specifically meet the definition of “General Payment” (either legislative or assimilated non-legislative ones) in line with “Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis”39 (issued by EBA in April 2020 and further updated in September and December 2020), as broadly applied by credit institution on the basis of national laws or industry- or sector-wide private initiatives. The Group has also implemented other moratorium initiatives not specifically referred to the above mentioned EBA guidelines and therefore granted by the Institutions as additional customer support tools to deal with the context of difficulties and independently from national law or industry- or sector-wide private initiatives. Based on the “EBA/GL/2020/02” the Group Guidelines defined by the Parent company address all legal entities on regulatory treatment for the above-mentioned Moratoria and Guarantee Schemes. Specifically, different regulatory treatments are allowed with respect to Forbearance measures as well as Default detection, particularly from the point of view of the Unlikely To Pay (“UTP” - Unlikely To Pay) assessment. In particular, General Payment moratoriums granting, in line with the EBA requirements, does not automatically activate a classification of forbearance, however a specific assessment is aimed at verifying the financial difficulty; in this case the UTP assessment shall be applied both during the moratorium period and shortly after its end. In this regard, the updates of the guidelines provided by EBA in December 2020, have extended to 31 March 2021, the date by which a legislative and assimilated non-legislative ones can be applied and considered as a "General Payment" and introduced a cumulative maximum limit of 9 months to the benefit from the moratoriums granted or extended after 30 September 2020. 39 Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued on 2 April 2020 (“EBA/GL/2020/02”) and subsequent amendment EBA/GL/2020/15. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 309 Credit policies, which usually have a static approach and are revised when necessary (e.g. in case of evolution of the external regulatory framework), are supplemented by credit risk strategies (approved by the Board of Directors in the context of the Risk Appetite Framework) which, instead, are updated at least once a year and define with which customers/products, industry segments and geographical areas the Group and the Group legal entities intend to develop their credit business. Credit strategies More in general, the Group credit strategies are an effective tool for managing credit risk, contributing to the definition of the budget objectives in line with the Group's Risk Appetite, of which they are an integral part. They also constitute a management tool as they translate the metrics defined within the Risk Appetite into concrete form. On the basis of the macroeconomic and credit scenario, the outlook at the economic sector level, as well as the business initiatives/strategies, the credit strategies provide a set of guidelines and operational targets aimed at the countries and business segments in which the Group work and are performed on the operating structures of each Group company and included in their respective commercial policies. The ultimate goal is to ensure sustainable commercial growth, consistent with the risk profile of each company, remaining within the limits defined by the Group Risk Appetite Framework. Within the framework of the strategies underlying credit activity, concentration risk is considered particularly important. This is the risk associated with losses generated by a single exposure or group of related exposures that (in relation to the capital of a bank, total assets, or the overall risk level) can generate potentially serious effects on the solidity and "core" operation of the Group. In compliance with the relevant regulatory framework, UniCredit group manages the concentration credit risk through specific limits that represent the maximum risk that the Group intends to accept regarding: • individual counterparties or groups of connected counterparties (Single Name Bulk Risk); • counterparties belonging to the same economic sector (Industry Concentration Risk). The results of stress test simulations relating to expected loss are an integrated part of the definition of credit strategies. Effects arising from Covid-19 pandemic With reference to credit risk, UniCredit positively sees all the initiatives aimed at supporting the real economy that have been put in place by the EU government and is complementing them with additional measure to support customers over this period and to reduce as much as possible the negative effects of this crisis. All concessions are defined to respond as quickly as possible to the drawback deriving from a temporary slow-down of the economic cycle and related liquidity issues. The potential impact on the bank’s risk profile is mitigated with: • acquisition of public guarantees in line with the mechanisms put in place by the various governments; • an ex-ante and ongoing evaluation of the client’s risk profile. UniCredit has defined Group guiding principles for underwriting, monitoring and management of Moratorium/emergency schemes, to cope with the new challenges and to early detect potential signals of asset quality deterioration. With specific reference to the moratorium measures, and in order to provide relief to the lockdown measures put in place for containing Covid-19 outbreak, UniCredit group arranged several initiatives available to customers, whose specific features are different in each country in terms of scope of customers and product types, typically allow the postponement of instalments and the increase in the residual maturity of credit exposures. Among these initiatives, a number of moratoriums specifically meet the definition of “General Payment” (either legislative or assimilated non-legislative ones) in line with “Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis”39 (issued by EBA in April 2020 and further updated in September and December 2020), as broadly applied by credit institution on the basis of national laws or industry- or sector-wide private initiatives. The Group has also implemented other moratorium initiatives not specifically referred to the above mentioned EBA guidelines and therefore granted by the Institutions as additional customer support tools to deal with the context of difficulties and independently from national law or industry- or sector-wide private initiatives. Based on the “EBA/GL/2020/02” the Group Guidelines defined by the Parent company address all legal entities on regulatory treatment for the above-mentioned Moratoria and Guarantee Schemes. Specifically, different regulatory treatments are allowed with respect to Forbearance measures as well as Default detection, particularly from the point of view of the Unlikely To Pay (“UTP” - Unlikely To Pay) assessment. In particular, General Payment moratoriums granting, in line with the EBA requirements, does not automatically activate a classification of forbearance, however a specific assessment is aimed at verifying the financial difficulty; in this case the UTP assessment shall be applied both during the moratorium period and shortly after its end. In this regard, the updates of the guidelines provided by EBA in December 2020, have extended to 31 March 2021, the date by which a legislative and assimilated non-legislative ones can be applied and considered as a "General Payment" and introduced a cumulative maximum limit of 9 months to the benefit from the moratoriums granted or extended after 30 September 2020. 39 Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued on 2 April 2020 (“EBA/GL/2020/02”) and subsequent amendment EBA/GL/2020/15. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 310 2021 Annual Report and Accounts · UniCredit After this period, the usual forbearance and financial difficulty assessment process is applied as other moratorium initiatives that are not in line with the specific EBA requirements (e.g., other early moratorium initiatives granted by the Bank): in this case, the financial difficulty is assessed at the time of the concession and after its end. The guidelines established regarding the treatment of Moratorium General Payment for Forbearance and Default classification purposes are to be considered valid for the entire duration of the Covid-19 moratoriums, including their extension. 2. Credit risk management policies 2.1 Organisational aspects Factors that generate credit risk During the ongoing credit and business activities, the Group is exposed to the risk that an unexpected change in a counterparty's creditworthiness may generate a corresponding unexpected change in the value of the associated credit exposure and may thus result in a partial or full write-off. This risk is always associated to the traditional lending practice, regardless of the form of the credit facility (whether cash or credit commitments, secured or unsecured, etc.). The main reasons of a default lie in the borrower’s failure to fulfil its credit obligation (due to the lack of liquidity, for insolvency reasons, etc.), as well as the occurrence of macro-economic and political events that are affecting the debtor’s operating and financial conditions. Other banking operations, in addition to traditional lending and deposit activities, can constitute other credit risk factors. In this view, “non-traditional” credit risk may arise from: • subscription of derivative contracts; • purchase and selling of securities, futures, currencies or commodities; • holding third-party securities. The counterparties in these transactions or issuers of securities held by Group legal entities could default as a result of insolvency, political and economic events, lack of liquidity, operational deficiencies or other reasons. Defaults of a large number of transactions, or of one or more large transactions, could have a material adverse impact on the Group’s activities, financial condition and operating profits. The Group therefore monitors and manages the specific risk of each counterparty as well as the overall risk of loan portfolios through procedures, functions and rules that steer, govern and standardise the assessment and management of credit risk, in line with the Group principles and best practice. Organisational structure The credit risk management in the UniCredit group under responsibility of Group Risk Management, responsible for steering, governance, control of credit risk and for the operational credit management, which internally have different organisational levels: • functions with responsibilities at Group level; • functions with responsibilities at Country level. Regarding Group Risk Management, Parent company functions with responsibilities at Group level include: • Group Credit Risk The structure has the following mission: responsible for the overall steering and governance of the credit risk at Group level, including, e.g., Group credit risk strategies setting monitoring and controlling, control risk framework and methodologies, overall asset quality planning and monitoring, NPE strategy, large credit transactions and FIBS group-wide assessment- monitoring-oversight, country risks & cross-border risks, credit risk models governance and roadmap, it is also responsible for ensuring risk control activities in the Asia & Pacific area. The structure of “Group Credit Risk” breaks down in the following structures: - Group NPE; - Credit Models & Risk Policies and Standards; - Credit Risk Strategies, Monitoring and Controls; - Group Credit Transactions. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 310 2021 Annual Report and Accounts · UniCredit After this period, the usual forbearance and financial difficulty assessment process is applied as other moratorium initiatives that are not in line with the specific EBA requirements (e.g., other early moratorium initiatives granted by the Bank): in this case, the financial difficulty is assessed at the time of the concession and after its end. The guidelines established regarding the treatment of Moratorium General Payment for Forbearance and Default classification purposes are to be considered valid for the entire duration of the Covid-19 moratoriums, including their extension. 2. Credit risk management policies 2.1 Organisational aspects Factors that generate credit risk During the ongoing credit and business activities, the Group is exposed to the risk that an unexpected change in a counterparty's creditworthiness may generate a corresponding unexpected change in the value of the associated credit exposure and may thus result in a partial or full write-off. This risk is always associated to the traditional lending practice, regardless of the form of the credit facility (whether cash or credit commitments, secured or unsecured, etc.). The main reasons of a default lie in the borrower’s failure to fulfil its credit obligation (due to the lack of liquidity, for insolvency reasons, etc.), as well as the occurrence of macro-economic and political events that are affecting the debtor’s operating and financial conditions. Other banking operations, in addition to traditional lending and deposit activities, can constitute other credit risk factors. In this view, “non-traditional” credit risk may arise from: • subscription of derivative contracts; • purchase and selling of securities, futures, currencies or commodities; • holding third-party securities. The counterparties in these transactions or issuers of securities held by Group legal entities could default as a result of insolvency, political and economic events, lack of liquidity, operational deficiencies or other reasons. Defaults of a large number of transactions, or of one or more large transactions, could have a material adverse impact on the Group’s activities, financial condition and operating profits. The Group therefore monitors and manages the specific risk of each counterparty as well as the overall risk of loan portfolios through procedures, functions and rules that steer, govern and standardise the assessment and management of credit risk, in line with the Group principles and best practice. Organisational structure The credit risk management in the UniCredit group under responsibility of Group Risk Management, responsible for steering, governance, control of credit risk and for the operational credit management, which internally have different organisational levels: • functions with responsibilities at Group level; • functions with responsibilities at Country level. Regarding Group Risk Management, Parent company functions with responsibilities at Group level include: • Group Credit Risk The structure has the following mission: responsible for the overall steering and governance of the credit risk at Group level, including, e.g., Group credit risk strategies setting monitoring and controlling, control risk framework and methodologies, overall asset quality planning and monitoring, NPE strategy, large credit transactions and FIBS group-wide assessment- monitoring-oversight, country risks & cross-border risks, credit risk models governance and roadmap, it is also responsible for ensuring risk control activities in the Asia & Pacific area. The structure of “Group Credit Risk” breaks down in the following structures: - Group NPE; - Credit Models & Risk Policies and Standards; - Credit Risk Strategies, Monitoring and Controls; - Group Credit Transactions. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 310 2021 Annual Report and Accounts · UniCredit After this period, the usual forbearance and financial difficulty assessment process is applied as other moratorium initiatives that are not in line with the specific EBA requirements (e.g., other early moratorium initiatives granted by the Bank): in this case, the financial difficulty is assessed at the time of the concession and after its end. The guidelines established regarding the treatment of Moratorium General Payment for Forbearance and Default classification purposes are to be considered valid for the entire duration of the Covid-19 moratoriums, including their extension. 2. Credit risk management policies 2.1 Organisational aspects Factors that generate credit risk During the ongoing credit and business activities, the Group is exposed to the risk that an unexpected change in a counterparty's creditworthiness may generate a corresponding unexpected change in the value of the associated credit exposure and may thus result in a partial or full write-off. This risk is always associated to the traditional lending practice, regardless of the form of the credit facility (whether cash or credit commitments, secured or unsecured, etc.). The main reasons of a default lie in the borrower’s failure to fulfil its credit obligation (due to the lack of liquidity, for insolvency reasons, etc.), as well as the occurrence of macro-economic and political events that are affecting the debtor’s operating and financial conditions. Other banking operations, in addition to traditional lending and deposit activities, can constitute other credit risk factors. In this view, “non-traditional” credit risk may arise from: • subscription of derivative contracts; • purchase and selling of securities, futures, currencies or commodities; • holding third-party securities. The counterparties in these transactions or issuers of securities held by Group legal entities could default as a result of insolvency, political and economic events, lack of liquidity, operational deficiencies or other reasons. Defaults of a large number of transactions, or of one or more large transactions, could have a material adverse impact on the Group’s activities, financial condition and operating profits. The Group therefore monitors and manages the specific risk of each counterparty as well as the overall risk of loan portfolios through procedures, functions and rules that steer, govern and standardise the assessment and management of credit risk, in line with the Group principles and best practice. Organisational structure The credit risk management in the UniCredit group under responsibility of Group Risk Management, responsible for steering, governance, control of credit risk and for the operational credit management, which internally have different organisational levels: • functions with responsibilities at Group level; • functions with responsibilities at Country level. Regarding Group Risk Management, Parent company functions with responsibilities at Group level include: • Group Credit Risk The structure has the following mission: responsible for the overall steering and governance of the credit risk at Group level, including, e.g., Group credit risk strategies setting monitoring and controlling, control risk framework and methodologies, overall asset quality planning and monitoring, NPE strategy, large credit transactions and FIBS group-wide assessment- monitoring-oversight, country risks & cross-border risks, credit risk models governance and roadmap, it is also responsible for ensuring risk control activities in the Asia & Pacific area. The structure of “Group Credit Risk” breaks down in the following structures: - Group NPE; - Credit Models & Risk Policies and Standards; - Credit Risk Strategies, Monitoring and Controls; - Group Credit Transactions. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 310 2021 Annual Report and Accounts · UniCredit After this period, the usual forbearance and financial difficulty assessment process is applied as other moratorium initiatives that are not in line with the specific EBA requirements (e.g., other early moratorium initiatives granted by the Bank): in this case, the financial difficulty is assessed at the time of the concession and after its end. The guidelines established regarding the treatment of Moratorium General Payment for Forbearance and Default classification purposes are to be considered valid for the entire duration of the Covid-19 moratoriums, including their extension. 2. Credit risk management policies 2.1 Organisational aspects Factors that generate credit risk During the ongoing credit and business activities, the Group is exposed to the risk that an unexpected change in a counterparty's creditworthiness may generate a corresponding unexpected change in the value of the associated credit exposure and may thus result in a partial or full write-off. This risk is always associated to the traditional lending practice, regardless of the form of the credit facility (whether cash or credit commitments, secured or unsecured, etc.). The main reasons of a default lie in the borrower’s failure to fulfil its credit obligation (due to the lack of liquidity, for insolvency reasons, etc.), as well as the occurrence of macro-economic and political events that are affecting the debtor’s operating and financial conditions. Other banking operations, in addition to traditional lending and deposit activities, can constitute other credit risk factors. In this view, “non-traditional” credit risk may arise from: • subscription of derivative contracts; • purchase and selling of securities, futures, currencies or commodities; • holding third-party securities. The counterparties in these transactions or issuers of securities held by Group legal entities could default as a result of insolvency, political and economic events, lack of liquidity, operational deficiencies or other reasons. Defaults of a large number of transactions, or of one or more large transactions, could have a material adverse impact on the Group’s activities, financial condition and operating profits. The Group therefore monitors and manages the specific risk of each counterparty as well as the overall risk of loan portfolios through procedures, functions and rules that steer, govern and standardise the assessment and management of credit risk, in line with the Group principles and best practice. Organisational structure The credit risk management in the UniCredit group under responsibility of Group Risk Management, responsible for steering, governance, control of credit risk and for the operational credit management, which internally have different organisational levels: • functions with responsibilities at Group level; • functions with responsibilities at Country level. Regarding Group Risk Management, Parent company functions with responsibilities at Group level include: • Group Credit Risk The structure has the following mission: responsible for the overall steering and governance of the credit risk at Group level, including, e.g., Group credit risk strategies setting monitoring and controlling, control risk framework and methodologies, overall asset quality planning and monitoring, NPE strategy, large credit transactions and FIBS group-wide assessment- monitoring-oversight, country risks & cross-border risks, credit risk models governance and roadmap, it is also responsible for ensuring risk control activities in the Asia & Pacific area. The structure of “Group Credit Risk” breaks down in the following structures: - Group NPE; - Credit Models & Risk Policies and Standards; - Credit Risk Strategies, Monitoring and Controls; - Group Credit Transactions. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 310 2021 Annual Report and Accounts · UniCredit After this period, the usual forbearance and financial difficulty assessment process is applied as other moratorium initiatives that are not in line with the specific EBA requirements (e.g., other early moratorium initiatives granted by the Bank): in this case, the financial difficulty is assessed at the time of the concession and after its end. The guidelines established regarding the treatment of Moratorium General Payment for Forbearance and Default classification purposes are to be considered valid for the entire duration of the Covid-19 moratoriums, including their extension. 2. Credit risk management policies 2.1 Organisational aspects Factors that generate credit risk During the ongoing credit and business activities, the Group is exposed to the risk that an unexpected change in a counterparty's creditworthiness may generate a corresponding unexpected change in the value of the associated credit exposure and may thus result in a partial or full write-off. This risk is always associated to the traditional lending practice, regardless of the form of the credit facility (whether cash or credit commitments, secured or unsecured, etc.). The main reasons of a default lie in the borrower’s failure to fulfil its credit obligation (due to the lack of liquidity, for insolvency reasons, etc.), as well as the occurrence of macro-economic and political events that are affecting the debtor’s operating and financial conditions. Other banking operations, in addition to traditional lending and deposit activities, can constitute other credit risk factors. In this view, “non-traditional” credit risk may arise from: • subscription of derivative contracts; • purchase and selling of securities, futures, currencies or commodities; • holding third-party securities. The counterparties in these transactions or issuers of securities held by Group legal entities could default as a result of insolvency, political and economic events, lack of liquidity, operational deficiencies or other reasons. Defaults of a large number of transactions, or of one or more large transactions, could have a material adverse impact on the Group’s activities, financial condition and operating profits. The Group therefore monitors and manages the specific risk of each counterparty as well as the overall risk of loan portfolios through procedures, functions and rules that steer, govern and standardise the assessment and management of credit risk, in line with the Group principles and best practice. Organisational structure The credit risk management in the UniCredit group under responsibility of Group Risk Management, responsible for steering, governance, control of credit risk and for the operational credit management, which internally have different organisational levels: • functions with responsibilities at Group level; • functions with responsibilities at Country level. Regarding Group Risk Management, Parent company functions with responsibilities at Group level include: • Group Credit Risk The structure has the following mission: responsible for the overall steering and governance of the credit risk at Group level, including, e.g., Group credit risk strategies setting monitoring and controlling, control risk framework and methodologies, overall asset quality planning and monitoring, NPE strategy, large credit transactions and FIBS group-wide assessment- monitoring-oversight, country risks & cross-border risks, credit risk models governance and roadmap, it is also responsible for ensuring risk control activities in the Asia & Pacific area. The structure of “Group Credit Risk” breaks down in the following structures: - Group NPE; - Credit Models & Risk Policies and Standards; - Credit Risk Strategies, Monitoring and Controls; - Group Credit Transactions. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 311 - Group NPE The structure has the following mission: develop the strategy, oversee the management, the monitoring, the process and set targets and execute disposals and platforms of Non-Performing Exposures/NPE, repossessed assets and any other distressed assets for the entire Group. NPE is also responsible for the assessment of transactions regarding counterparties classified as restructuring or workout above defined thresholds. - Credit Models & Risk Policies and Standards The structure has the following mission: responsible for guaranteeing at Group level the coordination and steering of the overall landscape of Pillar 1 Credit risk models as well as the related methodologies. Furthermore, it’s responsible for defining rules and guidelines for the lending activity and for evaluating of the proposals regarding the revision of the credit processes which are submitted by other Group competent functions as well as for cooperating with other Group competent functions on Risk Weighted Assets/RWA contents. - Credit Risk Strategies, Monitoring and Controls The structure has the following mission: responsible, at Group level, for credit risk strategies definition, monitoring and controlling, through the execution of the second level controls and the definition of the areas of higher risk within the credit processes of Group portfolio. Responsible, within the credit processes, for the definition and application of the “risk assessment” methodology” in order to identify the risk areas and the mitigation actions to be implemented. The structure is also responsible for controlling the risks underlying Persons in conflict of interest, by monitoring and verifying predefined key indicators. The structure is also in charge of the internal reporting activity towards Related Parties Committee, to which it as given evidence for each Related Party category (defined in accordance with the existing regulations of Bank of Italy, Consob and IAS) of the prudential limits absorbed, focusing on the main counterparties identified according to Reporting thresholds. - Group Credit Transactions The structure has the following mission: responsible for the Group-wide assessment, monitoring and oversight of Large Credit Transactions and Financial Institutions, Banks and Sovereigns (hereinafter also "FIBS") global credit model management. Furthermore, it is responsible for the assessment, approval and daily management of Country Risks and Cross-Border credit risk-taking. Define and manage the framework of Groupwide lending processes (e.g. FIBS Underwriting, GAM) in terms of methodology, training support and IT tools ensuring alignment with other related frameworks and GRM guidelines. • Group Internal Validation The structure has the following mission: responsible for validating, at Group level, the risk measurement methodologies, the related processes, the IT components and the data quality, for Pillar I and Pillar II risks, the main managerial models, as well as Group Risk Reporting, as defined in the Global Policy on Internal Validation, providing adequate reporting for Company Bodies and the Supervisory Authority as well as for assessing, monitoring and reporting, at Group level, the model risk for the models in scope of the Model Risk Management (MRM) framework, providing adequate reporting for competent committees and the Board of Directors. • Group Strategic & Integrated Risks The structure has the following mission: responsible, at Group level, for integrated risk strategies definition, risk appetite and stress testing, monitoring and controlling, the integrated view across Pillar I and II risks to Top Management. Furthermore, it is responsible to embed the ESG risks into the risk management framework. • GRM Office & Strategy The structure has the following mission: responsible for managing and monitoring major initiatives and projects within the Competence Line, implementing managerial decisions and handling of budget planning and costs analysis, promoting training projects and risk culture initiatives • Risk CE&EE The structure has the following mission: responsible for the management and control of credit operations activities and for credit risk steering in relation to Central Europe and Eastern Europe (CE&EE) portfolio booked in UniCredit S.p.A. and for the comprehensive view and the coordination of the management of different types of risks (e.g. credit, financial, operational, liquidity, reputational risks) in regard to CE&EE portfolio booked in UniCredit S.p.A. and CE&EE Legal Entities, together with the risk management responsible functions. With respect to credit risk, the following specific Committees are active: • the Group Executive Committee (GEC) - “Risk” session, which has approval as well as consulting and proposal functions, aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG; • the “Group Financial and Credit Risks Committee” (GFRC) supports the CEO in the steering, coordination and control of the risks at Group level and consists of the following sessions: (i) Credit Risk session, responsible for defining policies, operational limits and methodologies for the measurement, management and control of the credit risks, (ii) Rating approval session, responsible for approving rating overrides, (iii) Market Risk session, responsible for approving strategies, policies and methodologies for Market Risks and for the monitoring of related risks, (iv) ALCO session, responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 311 - Group NPE The structure has the following mission: develop the strategy, oversee the management, the monitoring, the process and set targets and execute disposals and platforms of Non-Performing Exposures/NPE, repossessed assets and any other distressed assets for the entire Group. NPE is also responsible for the assessment of transactions regarding counterparties classified as restructuring or workout above defined thresholds. - Credit Models & Risk Policies and Standards The structure has the following mission: responsible for guaranteeing at Group level the coordination and steering of the overall landscape of Pillar 1 Credit risk models as well as the related methodologies. Furthermore, it’s responsible for defining rules and guidelines for the lending activity and for evaluating of the proposals regarding the revision of the credit processes which are submitted by other Group competent functions as well as for cooperating with other Group competent functions on Risk Weighted Assets/RWA contents. - Credit Risk Strategies, Monitoring and Controls The structure has the following mission: responsible, at Group level, for credit risk strategies definition, monitoring and controlling, through the execution of the second level controls and the definition of the areas of higher risk within the credit processes of Group portfolio. Responsible, within the credit processes, for the definition and application of the “risk assessment” methodology” in order to identify the risk areas and the mitigation actions to be implemented. The structure is also responsible for controlling the risks underlying Persons in conflict of interest, by monitoring and verifying predefined key indicators. The structure is also in charge of the internal reporting activity towards Related Parties Committee, to which it as given evidence for each Related Party category (defined in accordance with the existing regulations of Bank of Italy, Consob and IAS) of the prudential limits absorbed, focusing on the main counterparties identified according to Reporting thresholds. - Group Credit Transactions The structure has the following mission: responsible for the Group-wide assessment, monitoring and oversight of Large Credit Transactions and Financial Institutions, Banks and Sovereigns (hereinafter also "FIBS") global credit model management. Furthermore, it is responsible for the assessment, approval and daily management of Country Risks and Cross-Border credit risk-taking. Define and manage the framework of Groupwide lending processes (e.g. FIBS Underwriting, GAM) in terms of methodology, training support and IT tools ensuring alignment with other related frameworks and GRM guidelines. • Group Internal Validation The structure has the following mission: responsible for validating, at Group level, the risk measurement methodologies, the related processes, the IT components and the data quality, for Pillar I and Pillar II risks, the main managerial models, as well as Group Risk Reporting, as defined in the Global Policy on Internal Validation, providing adequate reporting for Company Bodies and the Supervisory Authority as well as for assessing, monitoring and reporting, at Group level, the model risk for the models in scope of the Model Risk Management (MRM) framework, providing adequate reporting for competent committees and the Board of Directors. • Group Strategic & Integrated Risks The structure has the following mission: responsible, at Group level, for integrated risk strategies definition, risk appetite and stress testing, monitoring and controlling, the integrated view across Pillar I and II risks to Top Management. Furthermore, it is responsible to embed the ESG risks into the risk management framework. • GRM Office & Strategy The structure has the following mission: responsible for managing and monitoring major initiatives and projects within the Competence Line, implementing managerial decisions and handling of budget planning and costs analysis, promoting training projects and risk culture initiatives • Risk CE&EE The structure has the following mission: responsible for the management and control of credit operations activities and for credit risk steering in relation to Central Europe and Eastern Europe (CE&EE) portfolio booked in UniCredit S.p.A. and for the comprehensive view and the coordination of the management of different types of risks (e.g. credit, financial, operational, liquidity, reputational risks) in regard to CE&EE portfolio booked in UniCredit S.p.A. and CE&EE Legal Entities, together with the risk management responsible functions. With respect to credit risk, the following specific Committees are active: • the Group Executive Committee (GEC) - “Risk” session, which has approval as well as consulting and proposal functions, aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG; • the “Group Financial and Credit Risks Committee” (GFRC) supports the CEO in the steering, coordination and control of the risks at Group level and consists of the following sessions: (i) Credit Risk session, responsible for defining policies, operational limits and methodologies for the measurement, management and control of the credit risks, (ii) Rating approval session, responsible for approving rating overrides, (iii) Market Risk session, responsible for approving strategies, policies and methodologies for Market Risks and for the monitoring of related risks, (iv) ALCO session, responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 311 - Group NPE The structure has the following mission: develop the strategy, oversee the management, the monitoring, the process and set targets and execute disposals and platforms of Non-Performing Exposures/NPE, repossessed assets and any other distressed assets for the entire Group. NPE is also responsible for the assessment of transactions regarding counterparties classified as restructuring or workout above defined thresholds. - Credit Models & Risk Policies and Standards The structure has the following mission: responsible for guaranteeing at Group level the coordination and steering of the overall landscape of Pillar 1 Credit risk models as well as the related methodologies. Furthermore, it’s responsible for defining rules and guidelines for the lending activity and for evaluating of the proposals regarding the revision of the credit processes which are submitted by other Group competent functions as well as for cooperating with other Group competent functions on Risk Weighted Assets/RWA contents. - Credit Risk Strategies, Monitoring and Controls The structure has the following mission: responsible, at Group level, for credit risk strategies definition, monitoring and controlling, through the execution of the second level controls and the definition of the areas of higher risk within the credit processes of Group portfolio. Responsible, within the credit processes, for the definition and application of the “risk assessment” methodology” in order to identify the risk areas and the mitigation actions to be implemented. The structure is also responsible for controlling the risks underlying Persons in conflict of interest, by monitoring and verifying predefined key indicators. The structure is also in charge of the internal reporting activity towards Related Parties Committee, to which it as given evidence for each Related Party category (defined in accordance with the existing regulations of Bank of Italy, Consob and IAS) of the prudential limits absorbed, focusing on the main counterparties identified according to Reporting thresholds. - Group Credit Transactions The structure has the following mission: responsible for the Group-wide assessment, monitoring and oversight of Large Credit Transactions and Financial Institutions, Banks and Sovereigns (hereinafter also "FIBS") global credit model management. Furthermore, it is responsible for the assessment, approval and daily management of Country Risks and Cross-Border credit risk-taking. Define and manage the framework of Groupwide lending processes (e.g. FIBS Underwriting, GAM) in terms of methodology, training support and IT tools ensuring alignment with other related frameworks and GRM guidelines. • Group Internal Validation The structure has the following mission: responsible for validating, at Group level, the risk measurement methodologies, the related processes, the IT components and the data quality, for Pillar I and Pillar II risks, the main managerial models, as well as Group Risk Reporting, as defined in the Global Policy on Internal Validation, providing adequate reporting for Company Bodies and the Supervisory Authority as well as for assessing, monitoring and reporting, at Group level, the model risk for the models in scope of the Model Risk Management (MRM) framework, providing adequate reporting for competent committees and the Board of Directors. • Group Strategic & Integrated Risks The structure has the following mission: responsible, at Group level, for integrated risk strategies definition, risk appetite and stress testing, monitoring and controlling, the integrated view across Pillar I and II risks to Top Management. Furthermore, it is responsible to embed the ESG risks into the risk management framework. • GRM Office & Strategy The structure has the following mission: responsible for managing and monitoring major initiatives and projects within the Competence Line, implementing managerial decisions and handling of budget planning and costs analysis, promoting training projects and risk culture initiatives • Risk CE&EE The structure has the following mission: responsible for the management and control of credit operations activities and for credit risk steering in relation to Central Europe and Eastern Europe (CE&EE) portfolio booked in UniCredit S.p.A. and for the comprehensive view and the coordination of the management of different types of risks (e.g. credit, financial, operational, liquidity, reputational risks) in regard to CE&EE portfolio booked in UniCredit S.p.A. and CE&EE Legal Entities, together with the risk management responsible functions. With respect to credit risk, the following specific Committees are active: • the Group Executive Committee (GEC) - “Risk” session, which has approval as well as consulting and proposal functions, aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG; • the “Group Financial and Credit Risks Committee” (GFRC) supports the CEO in the steering, coordination and control of the risks at Group level and consists of the following sessions: (i) Credit Risk session, responsible for defining policies, operational limits and methodologies for the measurement, management and control of the credit risks, (ii) Rating approval session, responsible for approving rating overrides, (iii) Market Risk session, responsible for approving strategies, policies and methodologies for Market Risks and for the monitoring of related risks, (iv) ALCO session, responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 311 - Group NPE The structure has the following mission: develop the strategy, oversee the management, the monitoring, the process and set targets and execute disposals and platforms of Non-Performing Exposures/NPE, repossessed assets and any other distressed assets for the entire Group. NPE is also responsible for the assessment of transactions regarding counterparties classified as restructuring or workout above defined thresholds. - Credit Models & Risk Policies and Standards The structure has the following mission: responsible for guaranteeing at Group level the coordination and steering of the overall landscape of Pillar 1 Credit risk models as well as the related methodologies. Furthermore, it’s responsible for defining rules and guidelines for the lending activity and for evaluating of the proposals regarding the revision of the credit processes which are submitted by other Group competent functions as well as for cooperating with other Group competent functions on Risk Weighted Assets/RWA contents. - Credit Risk Strategies, Monitoring and Controls The structure has the following mission: responsible, at Group level, for credit risk strategies definition, monitoring and controlling, through the execution of the second level controls and the definition of the areas of higher risk within the credit processes of Group portfolio. Responsible, within the credit processes, for the definition and application of the “risk assessment” methodology” in order to identify the risk areas and the mitigation actions to be implemented. The structure is also responsible for controlling the risks underlying Persons in conflict of interest, by monitoring and verifying predefined key indicators. The structure is also in charge of the internal reporting activity towards Related Parties Committee, to which it as given evidence for each Related Party category (defined in accordance with the existing regulations of Bank of Italy, Consob and IAS) of the prudential limits absorbed, focusing on the main counterparties identified according to Reporting thresholds. - Group Credit Transactions The structure has the following mission: responsible for the Group-wide assessment, monitoring and oversight of Large Credit Transactions and Financial Institutions, Banks and Sovereigns (hereinafter also "FIBS") global credit model management. Furthermore, it is responsible for the assessment, approval and daily management of Country Risks and Cross-Border credit risk-taking. Define and manage the framework of Groupwide lending processes (e.g. FIBS Underwriting, GAM) in terms of methodology, training support and IT tools ensuring alignment with other related frameworks and GRM guidelines. • Group Internal Validation The structure has the following mission: responsible for validating, at Group level, the risk measurement methodologies, the related processes, the IT components and the data quality, for Pillar I and Pillar II risks, the main managerial models, as well as Group Risk Reporting, as defined in the Global Policy on Internal Validation, providing adequate reporting for Company Bodies and the Supervisory Authority as well as for assessing, monitoring and reporting, at Group level, the model risk for the models in scope of the Model Risk Management (MRM) framework, providing adequate reporting for competent committees and the Board of Directors. • Group Strategic & Integrated Risks The structure has the following mission: responsible, at Group level, for integrated risk strategies definition, risk appetite and stress testing, monitoring and controlling, the integrated view across Pillar I and II risks to Top Management. Furthermore, it is responsible to embed the ESG risks into the risk management framework. • GRM Office & Strategy The structure has the following mission: responsible for managing and monitoring major initiatives and projects within the Competence Line, implementing managerial decisions and handling of budget planning and costs analysis, promoting training projects and risk culture initiatives • Risk CE&EE The structure has the following mission: responsible for the management and control of credit operations activities and for credit risk steering in relation to Central Europe and Eastern Europe (CE&EE) portfolio booked in UniCredit S.p.A. and for the comprehensive view and the coordination of the management of different types of risks (e.g. credit, financial, operational, liquidity, reputational risks) in regard to CE&EE portfolio booked in UniCredit S.p.A. and CE&EE Legal Entities, together with the risk management responsible functions. With respect to credit risk, the following specific Committees are active: • the Group Executive Committee (GEC) - “Risk” session, which has approval as well as consulting and proposal functions, aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG; • the “Group Financial and Credit Risks Committee” (GFRC) supports the CEO in the steering, coordination and control of the risks at Group level and consists of the following sessions: (i) Credit Risk session, responsible for defining policies, operational limits and methodologies for the measurement, management and control of the credit risks, (ii) Rating approval session, responsible for approving rating overrides, (iii) Market Risk session, responsible for approving strategies, policies and methodologies for Market Risks and for the monitoring of related risks, (iv) ALCO session, responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 311 - Group NPE The structure has the following mission: develop the strategy, oversee the management, the monitoring, the process and set targets and execute disposals and platforms of Non-Performing Exposures/NPE, repossessed assets and any other distressed assets for the entire Group. NPE is also responsible for the assessment of transactions regarding counterparties classified as restructuring or workout above defined thresholds. - Credit Models & Risk Policies and Standards The structure has the following mission: responsible for guaranteeing at Group level the coordination and steering of the overall landscape of Pillar 1 Credit risk models as well as the related methodologies. Furthermore, it’s responsible for defining rules and guidelines for the lending activity and for evaluating of the proposals regarding the revision of the credit processes which are submitted by other Group competent functions as well as for cooperating with other Group competent functions on Risk Weighted Assets/RWA contents. - Credit Risk Strategies, Monitoring and Controls The structure has the following mission: responsible, at Group level, for credit risk strategies definition, monitoring and controlling, through the execution of the second level controls and the definition of the areas of higher risk within the credit processes of Group portfolio. Responsible, within the credit processes, for the definition and application of the “risk assessment” methodology” in order to identify the risk areas and the mitigation actions to be implemented. The structure is also responsible for controlling the risks underlying Persons in conflict of interest, by monitoring and verifying predefined key indicators. The structure is also in charge of the internal reporting activity towards Related Parties Committee, to which it as given evidence for each Related Party category (defined in accordance with the existing regulations of Bank of Italy, Consob and IAS) of the prudential limits absorbed, focusing on the main counterparties identified according to Reporting thresholds. - Group Credit Transactions The structure has the following mission: responsible for the Group-wide assessment, monitoring and oversight of Large Credit Transactions and Financial Institutions, Banks and Sovereigns (hereinafter also "FIBS") global credit model management. Furthermore, it is responsible for the assessment, approval and daily management of Country Risks and Cross-Border credit risk-taking. Define and manage the framework of Groupwide lending processes (e.g. FIBS Underwriting, GAM) in terms of methodology, training support and IT tools ensuring alignment with other related frameworks and GRM guidelines. • Group Internal Validation The structure has the following mission: responsible for validating, at Group level, the risk measurement methodologies, the related processes, the IT components and the data quality, for Pillar I and Pillar II risks, the main managerial models, as well as Group Risk Reporting, as defined in the Global Policy on Internal Validation, providing adequate reporting for Company Bodies and the Supervisory Authority as well as for assessing, monitoring and reporting, at Group level, the model risk for the models in scope of the Model Risk Management (MRM) framework, providing adequate reporting for competent committees and the Board of Directors. • Group Strategic & Integrated Risks The structure has the following mission: responsible, at Group level, for integrated risk strategies definition, risk appetite and stress testing, monitoring and controlling, the integrated view across Pillar I and II risks to Top Management. Furthermore, it is responsible to embed the ESG risks into the risk management framework. • GRM Office & Strategy The structure has the following mission: responsible for managing and monitoring major initiatives and projects within the Competence Line, implementing managerial decisions and handling of budget planning and costs analysis, promoting training projects and risk culture initiatives • Risk CE&EE The structure has the following mission: responsible for the management and control of credit operations activities and for credit risk steering in relation to Central Europe and Eastern Europe (CE&EE) portfolio booked in UniCredit S.p.A. and for the comprehensive view and the coordination of the management of different types of risks (e.g. credit, financial, operational, liquidity, reputational risks) in regard to CE&EE portfolio booked in UniCredit S.p.A. and CE&EE Legal Entities, together with the risk management responsible functions. With respect to credit risk, the following specific Committees are active: • the Group Executive Committee (GEC) - “Risk” session, which has approval as well as consulting and proposal functions, aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG; • the “Group Financial and Credit Risks Committee” (GFRC) supports the CEO in the steering, coordination and control of the risks at Group level and consists of the following sessions: (i) Credit Risk session, responsible for defining policies, operational limits and methodologies for the measurement, management and control of the credit risks, (ii) Rating approval session, responsible for approving rating overrides, (iii) Market Risk session, responsible for approving strategies, policies and methodologies for Market Risks and for the monitoring of related risks, (iv) ALCO session, responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 312 2021 Annual Report and Accounts · UniCredit • Group Transactional Committee (GTC) - Group Credit Committee Session (GCC) has consulting and proposal functions for the definition of the CEO’s proposals for the Board of Directors for the following topic: Debt-to-Equity transactions or transactions related to Equity participations resulting from Debt-to-Equity transactions for which the powers to approve or issue a Non-Binding Credit Opinion (NBCO) have not been delegated to the Group Transaction Credit Committee. The GTC - Group Credit Committe Session has approval/NBCO function (decision-making and/or issuing of non-binding opinions to the Group Legal Entities), within the delegated powers, for: • sub-delegation to the Personnel of the Bank, without the right to further sub-delegate, the powers to take decisions in the matters referred to in subparagraphs A, N, O, Q and R of the Delegation of Powers by the Board of Directors; • credit proposals referring to all files, including restructuring/workout ones; • status classification of files; • relevant strategies and corrective actions to be taken for watchlist files; • specific limits for transactions related to Debt Capital Markets on Trading book; • single issuer exposures limits on Trading book; • temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by Group regulation of competence; • Debt to Equity transactions and transactions related to Equity participations deriving from Debt-to-Equity transactions; • the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion (NBCO); • ECM Risk transactions above specific threshold levels of transaction’s value. Group Transactional Committee (GTC) - “Group Transactional Credit Committee Session” (GTCC) has approval/NBCO functions (decision-making and/or issuing of non-binding opinions to the Group Legal Entities) within the delegated powers for: • credit proposals referring to all files, including the Group NPE files; • classification status of files; • relevant strategies and corrective actions to be taken for watch-list counterparties; • single issuer exposure limits on Trading book; • Debt to Equity transactions and/or actions/rights-execution related to equity participations resulting from Debt to Equity transactions; • Debt to Assets transactions and/or actions/rights execution related to asset resulting from Debt to Asset transactions; • proposal of distressed asset disposal, in accordance with the regulated specifications and limitations in force; • the Debt Capital Market (DCM) transactions issuing Non Binding Credit Opinion (NBCO); • on semiannual basis, the “DCM pre-approved list”: list of a selected group of names and respective commitment amounts for which there is no need to have the NBCO on the single transaction; • temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by dedicated Group regulation; • ECM Risk transactions above specific threshold levels of transaction’s value. Specific committees related to UniCredit S.p.A. are described in the paragraph “2.1 Organisational aspects which is herewith quoted entirely” to the company accounts of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.2 Credit risk management, measurement and control 2.2.1 Credit risk management The credit risk, associated to the potential loss arising either from a default of the borrower/issuer or from a decrease in the market value of a financial obligation due to a deterioration in its credit quality, is measured at both single borrower/transaction and at whole portfolio level. Credit lending to single customers, during both the approval and monitoring phases, is supported by a credit rating process, differentiated by customer segment and product. The assessment of a counterpart’s creditworthiness, within the credit proposal evaluation, begins with an analysis of the financial statements and the qualitative data (competitive positioning, corporate and organisational structure, etc.), regional and industry factors and counterpart behaviour within the entity or the banking system (e.g. Centrale dei Rischi of Banca d’Italia), and results in a rating, i.e. the counterpart’s probability of default (“PD”) on a one-year time horizon. Each borrower’s credit rating is reviewed at least annually on the basis of the new information acquired. Each borrower is also assessed in the context of the belonging economic group by taking into account, when needed, the risk for the entire group. The internal rating assigned to each borrower and its economic group exposure both contribute to the lending decision calculation, defined in such a way that, at a constant credit amount, the approval powers granted to each decision-making corporate body are gradually reduced in proportion to the increased borrower/related risk level. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 312 2021 Annual Report and Accounts · UniCredit • Group Transactional Committee (GTC) - Group Credit Committee Session (GCC) has consulting and proposal functions for the definition of the CEO’s proposals for the Board of Directors for the following topic: Debt-to-Equity transactions or transactions related to Equity participations resulting from Debt-to-Equity transactions for which the powers to approve or issue a Non-Binding Credit Opinion (NBCO) have not been delegated to the Group Transaction Credit Committee. The GTC - Group Credit Committe Session has approval/NBCO function (decision-making and/or issuing of non-binding opinions to the Group Legal Entities), within the delegated powers, for: • sub-delegation to the Personnel of the Bank, without the right to further sub-delegate, the powers to take decisions in the matters referred to in subparagraphs A, N, O, Q and R of the Delegation of Powers by the Board of Directors; • credit proposals referring to all files, including restructuring/workout ones; • status classification of files; • relevant strategies and corrective actions to be taken for watchlist files; • specific limits for transactions related to Debt Capital Markets on Trading book; • single issuer exposures limits on Trading book; • temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by Group regulation of competence; • Debt to Equity transactions and transactions related to Equity participations deriving from Debt-to-Equity transactions; • the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion (NBCO); • ECM Risk transactions above specific threshold levels of transaction’s value. Group Transactional Committee (GTC) - “Group Transactional Credit Committee Session” (GTCC) has approval/NBCO functions (decision-making and/or issuing of non-binding opinions to the Group Legal Entities) within the delegated powers for: • credit proposals referring to all files, including the Group NPE files; • classification status of files; • relevant strategies and corrective actions to be taken for watch-list counterparties; • single issuer exposure limits on Trading book; • Debt to Equity transactions and/or actions/rights-execution related to equity participations resulting from Debt to Equity transactions; • Debt to Assets transactions and/or actions/rights execution related to asset resulting from Debt to Asset transactions; • proposal of distressed asset disposal, in accordance with the regulated specifications and limitations in force; • the Debt Capital Market (DCM) transactions issuing Non Binding Credit Opinion (NBCO); • on semiannual basis, the “DCM pre-approved list”: list of a selected group of names and respective commitment amounts for which there is no need to have the NBCO on the single transaction; • temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by dedicated Group regulation; • ECM Risk transactions above specific threshold levels of transaction’s value. Specific committees related to UniCredit S.p.A. are described in the paragraph “2.1 Organisational aspects which is herewith quoted entirely” to the company accounts of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.2 Credit risk management, measurement and control 2.2.1 Credit risk management The credit risk, associated to the potential loss arising either from a default of the borrower/issuer or from a decrease in the market value of a financial obligation due to a deterioration in its credit quality, is measured at both single borrower/transaction and at whole portfolio level. Credit lending to single customers, during both the approval and monitoring phases, is supported by a credit rating process, differentiated by customer segment and product. The assessment of a counterpart’s creditworthiness, within the credit proposal evaluation, begins with an analysis of the financial statements and the qualitative data (competitive positioning, corporate and organisational structure, etc.), regional and industry factors and counterpart behaviour within the entity or the banking system (e.g. Centrale dei Rischi of Banca d’Italia), and results in a rating, i.e. the counterpart’s probability of default (“PD”) on a one-year time horizon. Each borrower’s credit rating is reviewed at least annually on the basis of the new information acquired. Each borrower is also assessed in the context of the belonging economic group by taking into account, when needed, the risk for the entire group. The internal rating assigned to each borrower and its economic group exposure both contribute to the lending decision calculation, defined in such a way that, at a constant credit amount, the approval powers granted to each decision-making corporate body are gradually reduced in proportion to the increased borrower/related risk level. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 312 2021 Annual Report and Accounts · UniCredit • Group Transactional Committee (GTC) - Group Credit Committee Session (GCC) has consulting and proposal functions for the definition of the CEO’s proposals for the Board of Directors for the following topic: Debt-to-Equity transactions or transactions related to Equity participations resulting from Debt-to-Equity transactions for which the powers to approve or issue a Non-Binding Credit Opinion (NBCO) have not been delegated to the Group Transaction Credit Committee. The GTC - Group Credit Committe Session has approval/NBCO function (decision-making and/or issuing of non-binding opinions to the Group Legal Entities), within the delegated powers, for: • sub-delegation to the Personnel of the Bank, without the right to further sub-delegate, the powers to take decisions in the matters referred to in subparagraphs A, N, O, Q and R of the Delegation of Powers by the Board of Directors; • credit proposals referring to all files, including restructuring/workout ones; • status classification of files; • relevant strategies and corrective actions to be taken for watchlist files; • specific limits for transactions related to Debt Capital Markets on Trading book; • single issuer exposures limits on Trading book; • temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by Group regulation of competence; • Debt to Equity transactions and transactions related to Equity participations deriving from Debt-to-Equity transactions; • the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion (NBCO); • ECM Risk transactions above specific threshold levels of transaction’s value. Group Transactional Committee (GTC) - “Group Transactional Credit Committee Session” (GTCC) has approval/NBCO functions (decision-making and/or issuing of non-binding opinions to the Group Legal Entities) within the delegated powers for: • credit proposals referring to all files, including the Group NPE files; • classification status of files; • relevant strategies and corrective actions to be taken for watch-list counterparties; • single issuer exposure limits on Trading book; • Debt to Equity transactions and/or actions/rights-execution related to equity participations resulting from Debt to Equity transactions; • Debt to Assets transactions and/or actions/rights execution related to asset resulting from Debt to Asset transactions; • proposal of distressed asset disposal, in accordance with the regulated specifications and limitations in force; • the Debt Capital Market (DCM) transactions issuing Non Binding Credit Opinion (NBCO); • on semiannual basis, the “DCM pre-approved list”: list of a selected group of names and respective commitment amounts for which there is no need to have the NBCO on the single transaction; • temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by dedicated Group regulation; • ECM Risk transactions above specific threshold levels of transaction’s value. Specific committees related to UniCredit S.p.A. are described in the paragraph “2.1 Organisational aspects which is herewith quoted entirely” to the company accounts of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.2 Credit risk management, measurement and control 2.2.1 Credit risk management The credit risk, associated to the potential loss arising either from a default of the borrower/issuer or from a decrease in the market value of a financial obligation due to a deterioration in its credit quality, is measured at both single borrower/transaction and at whole portfolio level. Credit lending to single customers, during both the approval and monitoring phases, is supported by a credit rating process, differentiated by customer segment and product. The assessment of a counterpart’s creditworthiness, within the credit proposal evaluation, begins with an analysis of the financial statements and the qualitative data (competitive positioning, corporate and organisational structure, etc.), regional and industry factors and counterpart behaviour within the entity or the banking system (e.g. Centrale dei Rischi of Banca d’Italia), and results in a rating, i.e. the counterpart’s probability of default (“PD”) on a one-year time horizon. Each borrower’s credit rating is reviewed at least annually on the basis of the new information acquired. Each borrower is also assessed in the context of the belonging economic group by taking into account, when needed, the risk for the entire group. The internal rating assigned to each borrower and its economic group exposure both contribute to the lending decision calculation, defined in such a way that, at a constant credit amount, the approval powers granted to each decision-making corporate body are gradually reduced in proportion to the increased borrower/related risk level. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 312 2021 Annual Report and Accounts · UniCredit • Group Transactional Committee (GTC) - Group Credit Committee Session (GCC) has consulting and proposal functions for the definition of the CEO’s proposals for the Board of Directors for the following topic: Debt-to-Equity transactions or transactions related to Equity participations resulting from Debt-to-Equity transactions for which the powers to approve or issue a Non-Binding Credit Opinion (NBCO) have not been delegated to the Group Transaction Credit Committee. The GTC - Group Credit Committe Session has approval/NBCO function (decision-making and/or issuing of non-binding opinions to the Group Legal Entities), within the delegated powers, for: • sub-delegation to the Personnel of the Bank, without the right to further sub-delegate, the powers to take decisions in the matters referred to in subparagraphs A, N, O, Q and R of the Delegation of Powers by the Board of Directors; • credit proposals referring to all files, including restructuring/workout ones; • status classification of files; • relevant strategies and corrective actions to be taken for watchlist files; • specific limits for transactions related to Debt Capital Markets on Trading book; • single issuer exposures limits on Trading book; • temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by Group regulation of competence; • Debt to Equity transactions and transactions related to Equity participations deriving from Debt-to-Equity transactions; • the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion (NBCO); • ECM Risk transactions above specific threshold levels of transaction’s value. Group Transactional Committee (GTC) - “Group Transactional Credit Committee Session” (GTCC) has approval/NBCO functions (decision-making and/or issuing of non-binding opinions to the Group Legal Entities) within the delegated powers for: • credit proposals referring to all files, including the Group NPE files; • classification status of files; • relevant strategies and corrective actions to be taken for watch-list counterparties; • single issuer exposure limits on Trading book; • Debt to Equity transactions and/or actions/rights-execution related to equity participations resulting from Debt to Equity transactions; • Debt to Assets transactions and/or actions/rights execution related to asset resulting from Debt to Asset transactions; • proposal of distressed asset disposal, in accordance with the regulated specifications and limitations in force; • the Debt Capital Market (DCM) transactions issuing Non Binding Credit Opinion (NBCO); • on semiannual basis, the “DCM pre-approved list”: list of a selected group of names and respective commitment amounts for which there is no need to have the NBCO on the single transaction; • temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by dedicated Group regulation; • ECM Risk transactions above specific threshold levels of transaction’s value. Specific committees related to UniCredit S.p.A. are described in the paragraph “2.1 Organisational aspects which is herewith quoted entirely” to the company accounts of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.2 Credit risk management, measurement and control 2.2.1 Credit risk management The credit risk, associated to the potential loss arising either from a default of the borrower/issuer or from a decrease in the market value of a financial obligation due to a deterioration in its credit quality, is measured at both single borrower/transaction and at whole portfolio level. Credit lending to single customers, during both the approval and monitoring phases, is supported by a credit rating process, differentiated by customer segment and product. The assessment of a counterpart’s creditworthiness, within the credit proposal evaluation, begins with an analysis of the financial statements and the qualitative data (competitive positioning, corporate and organisational structure, etc.), regional and industry factors and counterpart behaviour within the entity or the banking system (e.g. Centrale dei Rischi of Banca d’Italia), and results in a rating, i.e. the counterpart’s probability of default (“PD”) on a one-year time horizon. Each borrower’s credit rating is reviewed at least annually on the basis of the new information acquired. Each borrower is also assessed in the context of the belonging economic group by taking into account, when needed, the risk for the entire group. The internal rating assigned to each borrower and its economic group exposure both contribute to the lending decision calculation, defined in such a way that, at a constant credit amount, the approval powers granted to each decision-making corporate body are gradually reduced in proportion to the increased borrower/related risk level. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 312 2021 Annual Report and Accounts · UniCredit • Group Transactional Committee (GTC) - Group Credit Committee Session (GCC) has consulting and proposal functions for the definition of the CEO’s proposals for the Board of Directors for the following topic: Debt-to-Equity transactions or transactions related to Equity participations resulting from Debt-to-Equity transactions for which the powers to approve or issue a Non-Binding Credit Opinion (NBCO) have not been delegated to the Group Transaction Credit Committee. The GTC - Group Credit Committe Session has approval/NBCO function (decision-making and/or issuing of non-binding opinions to the Group Legal Entities), within the delegated powers, for: • sub-delegation to the Personnel of the Bank, without the right to further sub-delegate, the powers to take decisions in the matters referred to in subparagraphs A, N, O, Q and R of the Delegation of Powers by the Board of Directors; • credit proposals referring to all files, including restructuring/workout ones; • status classification of files; • relevant strategies and corrective actions to be taken for watchlist files; • specific limits for transactions related to Debt Capital Markets on Trading book; • single issuer exposures limits on Trading book; • temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by Group regulation of competence; • Debt to Equity transactions and transactions related to Equity participations deriving from Debt-to-Equity transactions; • the Debt Capital Market (DCM) transactions issuing Non-Binding Credit Opinion (NBCO); • ECM Risk transactions above specific threshold levels of transaction’s value. Group Transactional Committee (GTC) - “Group Transactional Credit Committee Session” (GTCC) has approval/NBCO functions (decision-making and/or issuing of non-binding opinions to the Group Legal Entities) within the delegated powers for: • credit proposals referring to all files, including the Group NPE files; • classification status of files; • relevant strategies and corrective actions to be taken for watch-list counterparties; • single issuer exposure limits on Trading book; • Debt to Equity transactions and/or actions/rights-execution related to equity participations resulting from Debt to Equity transactions; • Debt to Assets transactions and/or actions/rights execution related to asset resulting from Debt to Asset transactions; • proposal of distressed asset disposal, in accordance with the regulated specifications and limitations in force; • the Debt Capital Market (DCM) transactions issuing Non Binding Credit Opinion (NBCO); • on semiannual basis, the “DCM pre-approved list”: list of a selected group of names and respective commitment amounts for which there is no need to have the NBCO on the single transaction; • temporary/annual breaches to Single Names Concentration Risk Limits within the thresholds defined by dedicated Group regulation; • ECM Risk transactions above specific threshold levels of transaction’s value. Specific committees related to UniCredit S.p.A. are described in the paragraph “2.1 Organisational aspects which is herewith quoted entirely” to the company accounts of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.2 Credit risk management, measurement and control 2.2.1 Credit risk management The credit risk, associated to the potential loss arising either from a default of the borrower/issuer or from a decrease in the market value of a financial obligation due to a deterioration in its credit quality, is measured at both single borrower/transaction and at whole portfolio level. Credit lending to single customers, during both the approval and monitoring phases, is supported by a credit rating process, differentiated by customer segment and product. The assessment of a counterpart’s creditworthiness, within the credit proposal evaluation, begins with an analysis of the financial statements and the qualitative data (competitive positioning, corporate and organisational structure, etc.), regional and industry factors and counterpart behaviour within the entity or the banking system (e.g. Centrale dei Rischi of Banca d’Italia), and results in a rating, i.e. the counterpart’s probability of default (“PD”) on a one-year time horizon. Each borrower’s credit rating is reviewed at least annually on the basis of the new information acquired. Each borrower is also assessed in the context of the belonging economic group by taking into account, when needed, the risk for the entire group. The internal rating assigned to each borrower and its economic group exposure both contribute to the lending decision calculation, defined in such a way that, at a constant credit amount, the approval powers granted to each decision-making corporate body are gradually reduced in proportion to the increased borrower/related risk level. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 313 The organisational model used by UniCredit group also includes a dedicated function, which is separated from loan approval and business functions and is responsible for the management of the so-called rating “overrides”, i.e. any changes to the automatic rating calculated by the rating system (where it is foreseen). Regular monitoring of the rating focuses on the borrower’s performance management, using all the internal and external available information in order to get a score representing a synthetic assessment of the risk associated. This score is obtained using a statistical function that summarises the available information using a set of significant variables that are predictors of an event of default within a 12-months horizon. In addition to the usual estimation of risk parameters over one-year time horizon, multi-period risk parameters are estimated to provide a more robust assessment of the risk-adjusted performance in compliance with the accounting standards requirements. All the above-mentioned risk parameters are subject to an initial validation and a regular monitoring process for each rating system in all its components: models, processes, IT architecture and data quality. The aim is to give evidence of the systems compliance, highlighting improvement areas as well as possible misalignments in the methodologies, which could limit the full comparability among the resulting risk measures. 2.2.2 Risk parameters Besides the methodologies summarised in the rating systems, the Group Risk Management function leverages on portfolio model enabled to measure credit risk for Pillar 2 purposes on an aggregated basis and to identify the contribution of single sub-portfolio or obligor to the overall risk. There are two fundamental portfolio credit risk measures which are calculated and evaluated on a time horizon of one year: • Expected Loss (“EL”); • Credit Value at Risk (Credit “VaR”). The estimate of Credit VaR at overall portfolio level is derived from the distribution of losses obtained by Monte Carlo simulation on the horizon of one year, considering the correlations among counterparties. The total loss in each default scenario is the sum of the individual losses, being defined as the product of LGD TTC (Loss Given Default Through the Cycle) and EAD (Exposure at Default) for transactions related to defaulted counterparts. For most liquid exposures classified at amortised cost, in each simulated scenario, the loss estimation related to their simulated creditworthiness deterioration is added to the total loss related to the counterparts simulated in default. Within the Credit VaR framework, the Expected Loss ("EL") at portfolio level is defined as the sum of the product of PD, LGD (both TTC) and EAD for each obligor in the considered portfolio plus a migration risk charge related to the expected creditworthiness deterioration for the most liquid exposures classified at amortised cost. The Value at Risk (“VaR”) represents the monetary threshold of the losses distribution which is overcome only with a given probability level (a 99.9% confidence level VaR implies that the loss threshold is exceeded in 1 case out of 1,000). Economic Capital is derived from Value at Risk subtracting the Expected Loss and is an input for determining Internal Capital set up to cover potential losses from all the sources of risk (see section “Other risks included in Economic Capital”). The measures of Economic Capital based on Credit VaR are also a fundamental input for the design and application of credit strategies, the analysis of credit limits and risk concentration. The Economic Capital calculation engine is also one of the instruments used for the analysis of stress testing of the credit portfolio. The internal Credit VaR model is also subject to assessment in the context of Pillar II validation. The calculation of the credit economic capital is available on a single technological platform (Group Credit Portfolio Model, GCPM), with a shared methodology for the structures of UniCredit S.p.A. and the main entities of the Group. In order to assess the credit risk transfer created by securitisation transactions originated by the Group, an engine (Structured Credit Analyser) has also been developed, which simulates the loss distribution of the securitised portfolio and of the tranches, both for synthetic securitisations (in which the risk is transferred through guarantees/credit derivatives) and for traditional ones (where the assets are sold to a special purpose vehicle). 2.2.3 Rating systems In order to determine capital requirements for credit risks, UniCredit group uses the IRB Advanced approach, as stated by Banca d’Italia act No.365138 dated 28 March 2008. With reference to credit risk, the Group has been authorised to use internal estimations of PD, LGD and EAD parameters for Group wide credit portfolios (Sovereign, Banks, Multinationals and Global Project Finance) and for local credit portfolios of relevant subsidiaries (corporate and retail). With reference to Italian mid-corporate and small business portfolios, regulatory EAD parameters are currently used. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 313 The organisational model used by UniCredit group also includes a dedicated function, which is separated from loan approval and business functions and is responsible for the management of the so-called rating “overrides”, i.e. any changes to the automatic rating calculated by the rating system (where it is foreseen). Regular monitoring of the rating focuses on the borrower’s performance management, using all the internal and external available information in order to get a score representing a synthetic assessment of the risk associated. This score is obtained using a statistical function that summarises the available information using a set of significant variables that are predictors of an event of default within a 12-months horizon. In addition to the usual estimation of risk parameters over one-year time horizon, multi-period risk parameters are estimated to provide a more robust assessment of the risk-adjusted performance in compliance with the accounting standards requirements. All the above-mentioned risk parameters are subject to an initial validation and a regular monitoring process for each rating system in all its components: models, processes, IT architecture and data quality. The aim is to give evidence of the systems compliance, highlighting improvement areas as well as possible misalignments in the methodologies, which could limit the full comparability among the resulting risk measures. 2.2.2 Risk parameters Besides the methodologies summarised in the rating systems, the Group Risk Management function leverages on portfolio model enabled to measure credit risk for Pillar 2 purposes on an aggregated basis and to identify the contribution of single sub-portfolio or obligor to the overall risk. There are two fundamental portfolio credit risk measures which are calculated and evaluated on a time horizon of one year: • Expected Loss (“EL”); • Credit Value at Risk (Credit “VaR”). The estimate of Credit VaR at overall portfolio level is derived from the distribution of losses obtained by Monte Carlo simulation on the horizon of one year, considering the correlations among counterparties. The total loss in each default scenario is the sum of the individual losses, being defined as the product of LGD TTC (Loss Given Default Through the Cycle) and EAD (Exposure at Default) for transactions related to defaulted counterparts. For most liquid exposures classified at amortised cost, in each simulated scenario, the loss estimation related to their simulated creditworthiness deterioration is added to the total loss related to the counterparts simulated in default. Within the Credit VaR framework, the Expected Loss ("EL") at portfolio level is defined as the sum of the product of PD, LGD (both TTC) and EAD for each obligor in the considered portfolio plus a migration risk charge related to the expected creditworthiness deterioration for the most liquid exposures classified at amortised cost. The Value at Risk (“VaR”) represents the monetary threshold of the losses distribution which is overcome only with a given probability level (a 99.9% confidence level VaR implies that the loss threshold is exceeded in 1 case out of 1,000). Economic Capital is derived from Value at Risk subtracting the Expected Loss and is an input for determining Internal Capital set up to cover potential losses from all the sources of risk (see section “Other risks included in Economic Capital”). The measures of Economic Capital based on Credit VaR are also a fundamental input for the design and application of credit strategies, the analysis of credit limits and risk concentration. The Economic Capital calculation engine is also one of the instruments used for the analysis of stress testing of the credit portfolio. The internal Credit VaR model is also subject to assessment in the context of Pillar II validation. The calculation of the credit economic capital is available on a single technological platform (Group Credit Portfolio Model, GCPM), with a shared methodology for the structures of UniCredit S.p.A. and the main entities of the Group. In order to assess the credit risk transfer created by securitisation transactions originated by the Group, an engine (Structured Credit Analyser) has also been developed, which simulates the loss distribution of the securitised portfolio and of the tranches, both for synthetic securitisations (in which the risk is transferred through guarantees/credit derivatives) and for traditional ones (where the assets are sold to a special purpose vehicle). 2.2.3 Rating systems In order to determine capital requirements for credit risks, UniCredit group uses the IRB Advanced approach, as stated by Banca d’Italia act No.365138 dated 28 March 2008. With reference to credit risk, the Group has been authorised to use internal estimations of PD, LGD and EAD parameters for Group wide credit portfolios (Sovereign, Banks, Multinationals and Global Project Finance) and for local credit portfolios of relevant subsidiaries (corporate and retail). With reference to Italian mid-corporate and small business portfolios, regulatory EAD parameters are currently used. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 313 The organisational model used by UniCredit group also includes a dedicated function, which is separated from loan approval and business functions and is responsible for the management of the so-called rating “overrides”, i.e. any changes to the automatic rating calculated by the rating system (where it is foreseen). Regular monitoring of the rating focuses on the borrower’s performance management, using all the internal and external available information in order to get a score representing a synthetic assessment of the risk associated. This score is obtained using a statistical function that summarises the available information using a set of significant variables that are predictors of an event of default within a 12-months horizon. In addition to the usual estimation of risk parameters over one-year time horizon, multi-period risk parameters are estimated to provide a more robust assessment of the risk-adjusted performance in compliance with the accounting standards requirements. All the above-mentioned risk parameters are subject to an initial validation and a regular monitoring process for each rating system in all its components: models, processes, IT architecture and data quality. The aim is to give evidence of the systems compliance, highlighting improvement areas as well as possible misalignments in the methodologies, which could limit the full comparability among the resulting risk measures. 2.2.2 Risk parameters Besides the methodologies summarised in the rating systems, the Group Risk Management function leverages on portfolio model enabled to measure credit risk for Pillar 2 purposes on an aggregated basis and to identify the contribution of single sub-portfolio or obligor to the overall risk. There are two fundamental portfolio credit risk measures which are calculated and evaluated on a time horizon of one year: • Expected Loss (“EL”); • Credit Value at Risk (Credit “VaR”). The estimate of Credit VaR at overall portfolio level is derived from the distribution of losses obtained by Monte Carlo simulation on the horizon of one year, considering the correlations among counterparties. The total loss in each default scenario is the sum of the individual losses, being defined as the product of LGD TTC (Loss Given Default Through the Cycle) and EAD (Exposure at Default) for transactions related to defaulted counterparts. For most liquid exposures classified at amortised cost, in each simulated scenario, the loss estimation related to their simulated creditworthiness deterioration is added to the total loss related to the counterparts simulated in default. Within the Credit VaR framework, the Expected Loss ("EL") at portfolio level is defined as the sum of the product of PD, LGD (both TTC) and EAD for each obligor in the considered portfolio plus a migration risk charge related to the expected creditworthiness deterioration for the most liquid exposures classified at amortised cost. The Value at Risk (“VaR”) represents the monetary threshold of the losses distribution which is overcome only with a given probability level (a 99.9% confidence level VaR implies that the loss threshold is exceeded in 1 case out of 1,000). Economic Capital is derived from Value at Risk subtracting the Expected Loss and is an input for determining Internal Capital set up to cover potential losses from all the sources of risk (see section “Other risks included in Economic Capital”). The measures of Economic Capital based on Credit VaR are also a fundamental input for the design and application of credit strategies, the analysis of credit limits and risk concentration. The Economic Capital calculation engine is also one of the instruments used for the analysis of stress testing of the credit portfolio. The internal Credit VaR model is also subject to assessment in the context of Pillar II validation. The calculation of the credit economic capital is available on a single technological platform (Group Credit Portfolio Model, GCPM), with a shared methodology for the structures of UniCredit S.p.A. and the main entities of the Group. In order to assess the credit risk transfer created by securitisation transactions originated by the Group, an engine (Structured Credit Analyser) has also been developed, which simulates the loss distribution of the securitised portfolio and of the tranches, both for synthetic securitisations (in which the risk is transferred through guarantees/credit derivatives) and for traditional ones (where the assets are sold to a special purpose vehicle). 2.2.3 Rating systems In order to determine capital requirements for credit risks, UniCredit group uses the IRB Advanced approach, as stated by Banca d’Italia act No.365138 dated 28 March 2008. With reference to credit risk, the Group has been authorised to use internal estimations of PD, LGD and EAD parameters for Group wide credit portfolios (Sovereign, Banks, Multinationals and Global Project Finance) and for local credit portfolios of relevant subsidiaries (corporate and retail). With reference to Italian mid-corporate and small business portfolios, regulatory EAD parameters are currently used. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 313 The organisational model used by UniCredit group also includes a dedicated function, which is separated from loan approval and business functions and is responsible for the management of the so-called rating “overrides”, i.e. any changes to the automatic rating calculated by the rating system (where it is foreseen). Regular monitoring of the rating focuses on the borrower’s performance management, using all the internal and external available information in order to get a score representing a synthetic assessment of the risk associated. This score is obtained using a statistical function that summarises the available information using a set of significant variables that are predictors of an event of default within a 12-months horizon. In addition to the usual estimation of risk parameters over one-year time horizon, multi-period risk parameters are estimated to provide a more robust assessment of the risk-adjusted performance in compliance with the accounting standards requirements. All the above-mentioned risk parameters are subject to an initial validation and a regular monitoring process for each rating system in all its components: models, processes, IT architecture and data quality. The aim is to give evidence of the systems compliance, highlighting improvement areas as well as possible misalignments in the methodologies, which could limit the full comparability among the resulting risk measures. 2.2.2 Risk parameters Besides the methodologies summarised in the rating systems, the Group Risk Management function leverages on portfolio model enabled to measure credit risk for Pillar 2 purposes on an aggregated basis and to identify the contribution of single sub-portfolio or obligor to the overall risk. There are two fundamental portfolio credit risk measures which are calculated and evaluated on a time horizon of one year: • Expected Loss (“EL”); • Credit Value at Risk (Credit “VaR”). The estimate of Credit VaR at overall portfolio level is derived from the distribution of losses obtained by Monte Carlo simulation on the horizon of one year, considering the correlations among counterparties. The total loss in each default scenario is the sum of the individual losses, being defined as the product of LGD TTC (Loss Given Default Through the Cycle) and EAD (Exposure at Default) for transactions related to defaulted counterparts. For most liquid exposures classified at amortised cost, in each simulated scenario, the loss estimation related to their simulated creditworthiness deterioration is added to the total loss related to the counterparts simulated in default. Within the Credit VaR framework, the Expected Loss ("EL") at portfolio level is defined as the sum of the product of PD, LGD (both TTC) and EAD for each obligor in the considered portfolio plus a migration risk charge related to the expected creditworthiness deterioration for the most liquid exposures classified at amortised cost. The Value at Risk (“VaR”) represents the monetary threshold of the losses distribution which is overcome only with a given probability level (a 99.9% confidence level VaR implies that the loss threshold is exceeded in 1 case out of 1,000). Economic Capital is derived from Value at Risk subtracting the Expected Loss and is an input for determining Internal Capital set up to cover potential losses from all the sources of risk (see section “Other risks included in Economic Capital”). The measures of Economic Capital based on Credit VaR are also a fundamental input for the design and application of credit strategies, the analysis of credit limits and risk concentration. The Economic Capital calculation engine is also one of the instruments used for the analysis of stress testing of the credit portfolio. The internal Credit VaR model is also subject to assessment in the context of Pillar II validation. The calculation of the credit economic capital is available on a single technological platform (Group Credit Portfolio Model, GCPM), with a shared methodology for the structures of UniCredit S.p.A. and the main entities of the Group. In order to assess the credit risk transfer created by securitisation transactions originated by the Group, an engine (Structured Credit Analyser) has also been developed, which simulates the loss distribution of the securitised portfolio and of the tranches, both for synthetic securitisations (in which the risk is transferred through guarantees/credit derivatives) and for traditional ones (where the assets are sold to a special purpose vehicle). 2.2.3 Rating systems In order to determine capital requirements for credit risks, UniCredit group uses the IRB Advanced approach, as stated by Banca d’Italia act No.365138 dated 28 March 2008. With reference to credit risk, the Group has been authorised to use internal estimations of PD, LGD and EAD parameters for Group wide credit portfolios (Sovereign, Banks, Multinationals and Global Project Finance) and for local credit portfolios of relevant subsidiaries (corporate and retail). With reference to Italian mid-corporate and small business portfolios, regulatory EAD parameters are currently used. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 313 The organisational model used by UniCredit group also includes a dedicated function, which is separated from loan approval and business functions and is responsible for the management of the so-called rating “overrides”, i.e. any changes to the automatic rating calculated by the rating system (where it is foreseen). Regular monitoring of the rating focuses on the borrower’s performance management, using all the internal and external available information in order to get a score representing a synthetic assessment of the risk associated. This score is obtained using a statistical function that summarises the available information using a set of significant variables that are predictors of an event of default within a 12-months horizon. In addition to the usual estimation of risk parameters over one-year time horizon, multi-period risk parameters are estimated to provide a more robust assessment of the risk-adjusted performance in compliance with the accounting standards requirements. All the above-mentioned risk parameters are subject to an initial validation and a regular monitoring process for each rating system in all its components: models, processes, IT architecture and data quality. The aim is to give evidence of the systems compliance, highlighting improvement areas as well as possible misalignments in the methodologies, which could limit the full comparability among the resulting risk measures. 2.2.2 Risk parameters Besides the methodologies summarised in the rating systems, the Group Risk Management function leverages on portfolio model enabled to measure credit risk for Pillar 2 purposes on an aggregated basis and to identify the contribution of single sub-portfolio or obligor to the overall risk. There are two fundamental portfolio credit risk measures which are calculated and evaluated on a time horizon of one year: • Expected Loss (“EL”); • Credit Value at Risk (Credit “VaR”). The estimate of Credit VaR at overall portfolio level is derived from the distribution of losses obtained by Monte Carlo simulation on the horizon of one year, considering the correlations among counterparties. The total loss in each default scenario is the sum of the individual losses, being defined as the product of LGD TTC (Loss Given Default Through the Cycle) and EAD (Exposure at Default) for transactions related to defaulted counterparts. For most liquid exposures classified at amortised cost, in each simulated scenario, the loss estimation related to their simulated creditworthiness deterioration is added to the total loss related to the counterparts simulated in default. Within the Credit VaR framework, the Expected Loss ("EL") at portfolio level is defined as the sum of the product of PD, LGD (both TTC) and EAD for each obligor in the considered portfolio plus a migration risk charge related to the expected creditworthiness deterioration for the most liquid exposures classified at amortised cost. The Value at Risk (“VaR”) represents the monetary threshold of the losses distribution which is overcome only with a given probability level (a 99.9% confidence level VaR implies that the loss threshold is exceeded in 1 case out of 1,000). Economic Capital is derived from Value at Risk subtracting the Expected Loss and is an input for determining Internal Capital set up to cover potential losses from all the sources of risk (see section “Other risks included in Economic Capital”). The measures of Economic Capital based on Credit VaR are also a fundamental input for the design and application of credit strategies, the analysis of credit limits and risk concentration. The Economic Capital calculation engine is also one of the instruments used for the analysis of stress testing of the credit portfolio. The internal Credit VaR model is also subject to assessment in the context of Pillar II validation. The calculation of the credit economic capital is available on a single technological platform (Group Credit Portfolio Model, GCPM), with a shared methodology for the structures of UniCredit S.p.A. and the main entities of the Group. In order to assess the credit risk transfer created by securitisation transactions originated by the Group, an engine (Structured Credit Analyser) has also been developed, which simulates the loss distribution of the securitised portfolio and of the tranches, both for synthetic securitisations (in which the risk is transferred through guarantees/credit derivatives) and for traditional ones (where the assets are sold to a special purpose vehicle). 2.2.3 Rating systems In order to determine capital requirements for credit risks, UniCredit group uses the IRB Advanced approach, as stated by Banca d’Italia act No.365138 dated 28 March 2008. With reference to credit risk, the Group has been authorised to use internal estimations of PD, LGD and EAD parameters for Group wide credit portfolios (Sovereign, Banks, Multinationals and Global Project Finance) and for local credit portfolios of relevant subsidiaries (corporate and retail). With reference to Italian mid-corporate and small business portfolios, regulatory EAD parameters are currently used. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 314 2021 Annual Report and Accounts · UniCredit These methodologies have been adopted by UniCredit S.p.A. (UCI), UniCredit Bank AG (UCB AG) and UniCredit Bank Austria AG (UCBA AG). According to the Roll-out plan, providing a progressive extension of the IRB rating system, approved by the Group and shared with the Supervisory Authorities, these methods have been extended starting from 2008 to other Legal entities currently, UniCredit Banka Slovenija d.d., UniCredit Bulbank AD, UniCredit Bank Czech Republic and Slovakia, a.s., UniCredit Bank Hungary, UniCredit Bank Romania a.s. and AO UniCredit Bank in Russia. In October 2021, UniCredit Leasing GMBH and Subsidiaries have been authorized to revert to the use of the Standardised Approach and to apply the Permanent Partial Use of the Standardised Approach for all AIRB portfolios. From 1 November 2021, UniCredit Bank Ireland plc. was merged in UCI and for exposures coming from UniCredit Bank Ireland the RWA calculation approaches authorised in UCI were adopted. The following table summarises the rating systems used by the Group with an indication of the related relevant asset class and the entities where they are used. Further details on rating models are present in UniCredit group Disclosure (Pillar III), Credit risk, use of the IRB approach. PREVAILING ASSET CLASS RATING SYSTEM LEGAL ENTITY Central governments and central banks Groupwide Sovereign (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB CZ, UCB SK, UCB RO(*) Institutions Financial Institutions & Banks (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB Slo(*), UCB BG(*), UCB CZ, UCB HU(*) (**), UCB SK, UCB RO(*) Corporate Multinatioal (PD, LGD, EAD) UCI(***), UCB AG, UCBA AG, UCB Slo(*), UCB BG, UCB CZ, UCB HU(*), UCB SK, UCB RO(*), AO UCB(*) Global Project Finance (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB CZ, UCB SK Local Integrated Corporate Rating RIC (PD, LGD) UCI Mid Corporate (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB HU(*), UCB Slo(*), UCB SK(*), UCB RO(*) Foreign Small and Medium Sized Enterprises (PD, LGD, EAD) UCB AG Income Producing Real Estate (IPRE) (PD, LGD, EAD) UCB AG, UCB CZ Acquisition and Leverage Finance (PD, LGD, EAD) UCB AG Wind Project Finance (PD, LGD, EAD) UCB AG Commercial Real Estate Finance (PD, LGD, EAD) UCB AG Real Estate Customers (PD, LGD, EAD) UCBA AG Income Producing Real Estate (IPRE) (Slotting criteria) UCI, UCBA AG, UCB BG, UCB SK Project Finance (Slotting Criteria) UCB BG Local Leasing (PD, LDG, EAD) UCB CZ Retail exposures Integrated Small Business Rating RISB (PD, LGD) UCI Integrated Private Rating (RIP-One) (PD, LGD, EAD)(****) UCI Integrated Private Rating Mortgages (RIP-MI) (PD)(*****) UCI Small Business (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB SK Private Individuals (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB SK Securitisation Asset Backed Commercial Paper (PD, LGD, EAD) UCB AG Notes: (*) These entities are currently authorised only to use the IRB Foundation; therefore they use only PD internal estimations for the determination of capital requirements. (**) This entity has been authorised to adopt the Group Wide model Financial Institution & Banks (GW BANKS) only for the Commercial Bank segment with the exclusion of the Securities Industry segment. (***) Starting from 2012, the Group Wide Multinational Corporate (GW MNC) rating system (for the estimation of parameters PD, LGD and EAD) is also adopted for the Italian Large Corporate (ILC) portfolio, which includes Italian companies with an operating revenues/value between €250 and €500 million. (****) New RIP-ONE model with a unique PD model for Private Individuals at counterparty level. (*****) Applied to Natural Persons characterized by entrepreneurship risk ("Private-like") which are excluded from the scope of application of the RIP-One. Keywords: UCI: UniCredit S.p.A. UCB AG: UniCredit Bank AG UCBA AG: UniCredit Bank Austria AG UCB Slo: UniCredit Banka Slovenija d.d. UCB BG: UniCredit Bulbank AD UCB CZ: Czech portfolio of UniCredit Bank Czech Republic and Slovakia, a.s. UCB HU: UniCredit Bank Hungary ZRT UCB SK: Slovak portfolio of UniCredit Bank Czech Republic and Slovakia a.s UCB RO: UniCredit Bank Romania a.s. AO UCB: AO UniCredit Bank (Russia) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 314 2021 Annual Report and Accounts · UniCredit These methodologies have been adopted by UniCredit S.p.A. (UCI), UniCredit Bank AG (UCB AG) and UniCredit Bank Austria AG (UCBA AG). According to the Roll-out plan, providing a progressive extension of the IRB rating system, approved by the Group and shared with the Supervisory Authorities, these methods have been extended starting from 2008 to other Legal entities currently, UniCredit Banka Slovenija d.d., UniCredit Bulbank AD, UniCredit Bank Czech Republic and Slovakia, a.s., UniCredit Bank Hungary, UniCredit Bank Romania a.s. and AO UniCredit Bank in Russia. In October 2021, UniCredit Leasing GMBH and Subsidiaries have been authorized to revert to the use of the Standardised Approach and to apply the Permanent Partial Use of the Standardised Approach for all AIRB portfolios. From 1 November 2021, UniCredit Bank Ireland plc. was merged in UCI and for exposures coming from UniCredit Bank Ireland the RWA calculation approaches authorised in UCI were adopted. The following table summarises the rating systems used by the Group with an indication of the related relevant asset class and the entities where they are used. Further details on rating models are present in UniCredit group Disclosure (Pillar III), Credit risk, use of the IRB approach. PREVAILING ASSET CLASS RATING SYSTEM LEGAL ENTITY Central governments and central banks Groupwide Sovereign (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB CZ, UCB SK, UCB RO(*) Institutions Financial Institutions & Banks (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB Slo(*), UCB BG(*), UCB CZ, UCB HU(*) (**), UCB SK, UCB RO(*) Corporate Multinatioal (PD, LGD, EAD) UCI(***), UCB AG, UCBA AG, UCB Slo(*), UCB BG, UCB CZ, UCB HU(*), UCB SK, UCB RO(*), AO UCB(*) Global Project Finance (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB CZ, UCB SK Local Integrated Corporate Rating RIC (PD, LGD) UCI Mid Corporate (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB HU(*), UCB Slo(*), UCB SK(*), UCB RO(*) Foreign Small and Medium Sized Enterprises (PD, LGD, EAD) UCB AG Income Producing Real Estate (IPRE) (PD, LGD, EAD) UCB AG, UCB CZ Acquisition and Leverage Finance (PD, LGD, EAD) UCB AG Wind Project Finance (PD, LGD, EAD) UCB AG Commercial Real Estate Finance (PD, LGD, EAD) UCB AG Real Estate Customers (PD, LGD, EAD) UCBA AG Income Producing Real Estate (IPRE) (Slotting criteria) UCI, UCBA AG, UCB BG, UCB SK Project Finance (Slotting Criteria) UCB BG Local Leasing (PD, LDG, EAD) UCB CZ Retail exposures Integrated Small Business Rating RISB (PD, LGD) UCI Integrated Private Rating (RIP-One) (PD, LGD, EAD)(****) UCI Integrated Private Rating Mortgages (RIP-MI) (PD)(*****) UCI Small Business (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB SK Private Individuals (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB SK Securitisation Asset Backed Commercial Paper (PD, LGD, EAD) UCB AG Notes: (*) These entities are currently authorised only to use the IRB Foundation; therefore they use only PD internal estimations for the determination of capital requirements. (**) This entity has been authorised to adopt the Group Wide model Financial Institution & Banks (GW BANKS) only for the Commercial Bank segment with the exclusion of the Securities Industry segment. (***) Starting from 2012, the Group Wide Multinational Corporate (GW MNC) rating system (for the estimation of parameters PD, LGD and EAD) is also adopted for the Italian Large Corporate (ILC) portfolio, which includes Italian companies with an operating revenues/value between €250 and €500 million. (****) New RIP-ONE model with a unique PD model for Private Individuals at counterparty level. (*****) Applied to Natural Persons characterized by entrepreneurship risk ("Private-like") which are excluded from the scope of application of the RIP-One. Keywords: UCI: UniCredit S.p.A. UCB AG: UniCredit Bank AG UCBA AG: UniCredit Bank Austria AG UCB Slo: UniCredit Banka Slovenija d.d. UCB BG: UniCredit Bulbank AD UCB CZ: Czech portfolio of UniCredit Bank Czech Republic and Slovakia, a.s. UCB HU: UniCredit Bank Hungary ZRT UCB SK: Slovak portfolio of UniCredit Bank Czech Republic and Slovakia a.s UCB RO: UniCredit Bank Romania a.s. AO UCB: AO UniCredit Bank (Russia) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 314 2021 Annual Report and Accounts · UniCredit These methodologies have been adopted by UniCredit S.p.A. (UCI), UniCredit Bank AG (UCB AG) and UniCredit Bank Austria AG (UCBA AG). According to the Roll-out plan, providing a progressive extension of the IRB rating system, approved by the Group and shared with the Supervisory Authorities, these methods have been extended starting from 2008 to other Legal entities currently, UniCredit Banka Slovenija d.d., UniCredit Bulbank AD, UniCredit Bank Czech Republic and Slovakia, a.s., UniCredit Bank Hungary, UniCredit Bank Romania a.s. and AO UniCredit Bank in Russia. In October 2021, UniCredit Leasing GMBH and Subsidiaries have been authorized to revert to the use of the Standardised Approach and to apply the Permanent Partial Use of the Standardised Approach for all AIRB portfolios. From 1 November 2021, UniCredit Bank Ireland plc. was merged in UCI and for exposures coming from UniCredit Bank Ireland the RWA calculation approaches authorised in UCI were adopted. The following table summarises the rating systems used by the Group with an indication of the related relevant asset class and the entities where they are used. Further details on rating models are present in UniCredit group Disclosure (Pillar III), Credit risk, use of the IRB approach. PREVAILING ASSET CLASS RATING SYSTEM LEGAL ENTITY Central governments and central banks Groupwide Sovereign (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB CZ, UCB SK, UCB RO(*) Institutions Financial Institutions & Banks (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB Slo(*), UCB BG(*), UCB CZ, UCB HU(*) (**), UCB SK, UCB RO(*) Corporate Multinatioal (PD, LGD, EAD) UCI(***), UCB AG, UCBA AG, UCB Slo(*), UCB BG, UCB CZ, UCB HU(*), UCB SK, UCB RO(*), AO UCB(*) Global Project Finance (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB CZ, UCB SK Local Integrated Corporate Rating RIC (PD, LGD) UCI Mid Corporate (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB HU(*), UCB Slo(*), UCB SK(*), UCB RO(*) Foreign Small and Medium Sized Enterprises (PD, LGD, EAD) UCB AG Income Producing Real Estate (IPRE) (PD, LGD, EAD) UCB AG, UCB CZ Acquisition and Leverage Finance (PD, LGD, EAD) UCB AG Wind Project Finance (PD, LGD, EAD) UCB AG Commercial Real Estate Finance (PD, LGD, EAD) UCB AG Real Estate Customers (PD, LGD, EAD) UCBA AG Income Producing Real Estate (IPRE) (Slotting criteria) UCI, UCBA AG, UCB BG, UCB SK Project Finance (Slotting Criteria) UCB BG Local Leasing (PD, LDG, EAD) UCB CZ Retail exposures Integrated Small Business Rating RISB (PD, LGD) UCI Integrated Private Rating (RIP-One) (PD, LGD, EAD)(****) UCI Integrated Private Rating Mortgages (RIP-MI) (PD)(*****) UCI Small Business (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB SK Private Individuals (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB SK Securitisation Asset Backed Commercial Paper (PD, LGD, EAD) UCB AG Notes: (*) These entities are currently authorised only to use the IRB Foundation; therefore they use only PD internal estimations for the determination of capital requirements. (**) This entity has been authorised to adopt the Group Wide model Financial Institution & Banks (GW BANKS) only for the Commercial Bank segment with the exclusion of the Securities Industry segment. (***) Starting from 2012, the Group Wide Multinational Corporate (GW MNC) rating system (for the estimation of parameters PD, LGD and EAD) is also adopted for the Italian Large Corporate (ILC) portfolio, which includes Italian companies with an operating revenues/value between €250 and €500 million. (****) New RIP-ONE model with a unique PD model for Private Individuals at counterparty level. (*****) Applied to Natural Persons characterized by entrepreneurship risk ("Private-like") which are excluded from the scope of application of the RIP-One. Keywords: UCI: UniCredit S.p.A. UCB AG: UniCredit Bank AG UCBA AG: UniCredit Bank Austria AG UCB Slo: UniCredit Banka Slovenija d.d. UCB BG: UniCredit Bulbank AD UCB CZ: Czech portfolio of UniCredit Bank Czech Republic and Slovakia, a.s. UCB HU: UniCredit Bank Hungary ZRT UCB SK: Slovak portfolio of UniCredit Bank Czech Republic and Slovakia a.s UCB RO: UniCredit Bank Romania a.s. AO UCB: AO UniCredit Bank (Russia) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 314 2021 Annual Report and Accounts · UniCredit These methodologies have been adopted by UniCredit S.p.A. (UCI), UniCredit Bank AG (UCB AG) and UniCredit Bank Austria AG (UCBA AG). According to the Roll-out plan, providing a progressive extension of the IRB rating system, approved by the Group and shared with the Supervisory Authorities, these methods have been extended starting from 2008 to other Legal entities currently, UniCredit Banka Slovenija d.d., UniCredit Bulbank AD, UniCredit Bank Czech Republic and Slovakia, a.s., UniCredit Bank Hungary, UniCredit Bank Romania a.s. and AO UniCredit Bank in Russia. In October 2021, UniCredit Leasing GMBH and Subsidiaries have been authorized to revert to the use of the Standardised Approach and to apply the Permanent Partial Use of the Standardised Approach for all AIRB portfolios. From 1 November 2021, UniCredit Bank Ireland plc. was merged in UCI and for exposures coming from UniCredit Bank Ireland the RWA calculation approaches authorised in UCI were adopted. The following table summarises the rating systems used by the Group with an indication of the related relevant asset class and the entities where they are used. Further details on rating models are present in UniCredit group Disclosure (Pillar III), Credit risk, use of the IRB approach. PREVAILING ASSET CLASS RATING SYSTEM LEGAL ENTITY Central governments and central banks Groupwide Sovereign (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB CZ, UCB SK, UCB RO(*) Institutions Financial Institutions & Banks (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB Slo(*), UCB BG(*), UCB CZ, UCB HU(*) (**), UCB SK, UCB RO(*) Corporate Multinatioal (PD, LGD, EAD) UCI(***), UCB AG, UCBA AG, UCB Slo(*), UCB BG, UCB CZ, UCB HU(*), UCB SK, UCB RO(*), AO UCB(*) Global Project Finance (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB CZ, UCB SK Local Integrated Corporate Rating RIC (PD, LGD) UCI Mid Corporate (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB HU(*), UCB Slo(*), UCB SK(*), UCB RO(*) Foreign Small and Medium Sized Enterprises (PD, LGD, EAD) UCB AG Income Producing Real Estate (IPRE) (PD, LGD, EAD) UCB AG, UCB CZ Acquisition and Leverage Finance (PD, LGD, EAD) UCB AG Wind Project Finance (PD, LGD, EAD) UCB AG Commercial Real Estate Finance (PD, LGD, EAD) UCB AG Real Estate Customers (PD, LGD, EAD) UCBA AG Income Producing Real Estate (IPRE) (Slotting criteria) UCI, UCBA AG, UCB BG, UCB SK Project Finance (Slotting Criteria) UCB BG Local Leasing (PD, LDG, EAD) UCB CZ Retail exposures Integrated Small Business Rating RISB (PD, LGD) UCI Integrated Private Rating (RIP-One) (PD, LGD, EAD)(****) UCI Integrated Private Rating Mortgages (RIP-MI) (PD)(*****) UCI Small Business (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB SK Private Individuals (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB SK Securitisation Asset Backed Commercial Paper (PD, LGD, EAD) UCB AG Notes: (*) These entities are currently authorised only to use the IRB Foundation; therefore they use only PD internal estimations for the determination of capital requirements. (**) This entity has been authorised to adopt the Group Wide model Financial Institution & Banks (GW BANKS) only for the Commercial Bank segment with the exclusion of the Securities Industry segment. (***) Starting from 2012, the Group Wide Multinational Corporate (GW MNC) rating system (for the estimation of parameters PD, LGD and EAD) is also adopted for the Italian Large Corporate (ILC) portfolio, which includes Italian companies with an operating revenues/value between €250 and €500 million. (****) New RIP-ONE model with a unique PD model for Private Individuals at counterparty level. (*****) Applied to Natural Persons characterized by entrepreneurship risk ("Private-like") which are excluded from the scope of application of the RIP-One. Keywords: UCI: UniCredit S.p.A. UCB AG: UniCredit Bank AG UCBA AG: UniCredit Bank Austria AG UCB Slo: UniCredit Banka Slovenija d.d. UCB BG: UniCredit Bulbank AD UCB CZ: Czech portfolio of UniCredit Bank Czech Republic and Slovakia, a.s. UCB HU: UniCredit Bank Hungary ZRT UCB SK: Slovak portfolio of UniCredit Bank Czech Republic and Slovakia a.s UCB RO: UniCredit Bank Romania a.s. AO UCB: AO UniCredit Bank (Russia) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 314 2021 Annual Report and Accounts · UniCredit These methodologies have been adopted by UniCredit S.p.A. (UCI), UniCredit Bank AG (UCB AG) and UniCredit Bank Austria AG (UCBA AG). According to the Roll-out plan, providing a progressive extension of the IRB rating system, approved by the Group and shared with the Supervisory Authorities, these methods have been extended starting from 2008 to other Legal entities currently, UniCredit Banka Slovenija d.d., UniCredit Bulbank AD, UniCredit Bank Czech Republic and Slovakia, a.s., UniCredit Bank Hungary, UniCredit Bank Romania a.s. and AO UniCredit Bank in Russia. In October 2021, UniCredit Leasing GMBH and Subsidiaries have been authorized to revert to the use of the Standardised Approach and to apply the Permanent Partial Use of the Standardised Approach for all AIRB portfolios. From 1 November 2021, UniCredit Bank Ireland plc. was merged in UCI and for exposures coming from UniCredit Bank Ireland the RWA calculation approaches authorised in UCI were adopted. The following table summarises the rating systems used by the Group with an indication of the related relevant asset class and the entities where they are used. Further details on rating models are present in UniCredit group Disclosure (Pillar III), Credit risk, use of the IRB approach. PREVAILING ASSET CLASS RATING SYSTEM LEGAL ENTITY Central governments and central banks Groupwide Sovereign (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB CZ, UCB SK, UCB RO(*) Institutions Financial Institutions & Banks (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB Slo(*), UCB BG(*), UCB CZ, UCB HU(*) (**), UCB SK, UCB RO(*) Corporate Multinatioal (PD, LGD, EAD) UCI(***), UCB AG, UCBA AG, UCB Slo(*), UCB BG, UCB CZ, UCB HU(*), UCB SK, UCB RO(*), AO UCB(*) Global Project Finance (PD, LGD, EAD) UCI, UCB AG, UCBA AG, UCB CZ, UCB SK Local Integrated Corporate Rating RIC (PD, LGD) UCI Mid Corporate (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB HU(*), UCB Slo(*), UCB SK(*), UCB RO(*) Foreign Small and Medium Sized Enterprises (PD, LGD, EAD) UCB AG Income Producing Real Estate (IPRE) (PD, LGD, EAD) UCB AG, UCB CZ Acquisition and Leverage Finance (PD, LGD, EAD) UCB AG Wind Project Finance (PD, LGD, EAD) UCB AG Commercial Real Estate Finance (PD, LGD, EAD) UCB AG Real Estate Customers (PD, LGD, EAD) UCBA AG Income Producing Real Estate (IPRE) (Slotting criteria) UCI, UCBA AG, UCB BG, UCB SK Project Finance (Slotting Criteria) UCB BG Local Leasing (PD, LDG, EAD) UCB CZ Retail exposures Integrated Small Business Rating RISB (PD, LGD) UCI Integrated Private Rating (RIP-One) (PD, LGD, EAD)(****) UCI Integrated Private Rating Mortgages (RIP-MI) (PD)(*****) UCI Small Business (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB SK Private Individuals (PD, LGD, EAD) UCB AG, UCBA AG, UCB CZ, UCB BG, UCB SK Securitisation Asset Backed Commercial Paper (PD, LGD, EAD) UCB AG Notes: (*) These entities are currently authorised only to use the IRB Foundation; therefore they use only PD internal estimations for the determination of capital requirements. (**) This entity has been authorised to adopt the Group Wide model Financial Institution & Banks (GW BANKS) only for the Commercial Bank segment with the exclusion of the Securities Industry segment. (***) Starting from 2012, the Group Wide Multinational Corporate (GW MNC) rating system (for the estimation of parameters PD, LGD and EAD) is also adopted for the Italian Large Corporate (ILC) portfolio, which includes Italian companies with an operating revenues/value between €250 and €500 million. (****) New RIP-ONE model with a unique PD model for Private Individuals at counterparty level. (*****) Applied to Natural Persons characterized by entrepreneurship risk ("Private-like") which are excluded from the scope of application of the RIP-One. Keywords: UCI: UniCredit S.p.A. UCB AG: UniCredit Bank AG UCBA AG: UniCredit Bank Austria AG UCB Slo: UniCredit Banka Slovenija d.d. UCB BG: UniCredit Bulbank AD UCB CZ: Czech portfolio of UniCredit Bank Czech Republic and Slovakia, a.s. UCB HU: UniCredit Bank Hungary ZRT UCB SK: Slovak portfolio of UniCredit Bank Czech Republic and Slovakia a.s UCB RO: UniCredit Bank Romania a.s. AO UCB: AO UniCredit Bank (Russia) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 315 2.2.4 Stress test With reference to the strategies of credit risk management, the use of Credit Risk Stress Test is considered of particular importance because its aim is to analyse the portfolio vulnerability in case of an economic downturn or a structural change of the macroeconomic framework. In performing the stress test exercise, different scenarios are considered, based on increasing levels of severity. In addition, scenarios may also be defined based on specific economic hypotheses. The credit stress test models (or satellite models) are set of models aimed at translating the macro-economic conditions into credit risk parameters (PD/LGD). Within the wider stress testing framework, the models serve as basis for calculating the stressed PD/LGD projections under the Adverse Scenarios. They are used in the same way for the estimation of Forward-Looking component within the IFRS9 framework. As regards the modelling methodology, the current framework envisages to estimate, at cluster level (Country/Asset Class) through time series and/or panel regressive analysis, the relationships between the macro-economic factors and the internal default/recovery rate historically observed. However, with regard to the low default portfolios (e.g. Multinational, Banks, Sovereigns), for which no enough defaults events are available, alternative approaches are considered. These imply to leverage either on external data (i.e. external rating) or stressing directly the input of Group Wide Rating System (i.e. Sovereign Rating System). Model’s output in terms of expected variations of PD/LGD conditional to the macro-economic scenarios are then used in order to obtain stressed PD/LGD of each credit exposure. Starting from the stressed PD/LGD the Pillar I Credit Risk metrics (LLP and RWA) are calculated through dedicated simulation engine and according to the EBA Stress test methodology. While Pillar II stress metrics (EC and AFR) are calculated according to the following methodology: • Credit Economic Capital: stressed PDs and LGDs are used as a basis to recalculate the Credit Economic Capital using the GCPM. The result represents the Credit Economic Capital that would be obtained in the current bank portfolio if the stressed scenario is experienced; • AFR: the amount stemming from the difference between the Stressed Expected Loss (calculated based on PD-TTC and LGD-TTC) and the actual Expected losses is deducted from AFR. 2.3 Measurement methods for expected losses Risk management practices 2.3.1 Staging Allocation and Expected Credit Losses Calculation The Credit Risk Management, Measurement and Control processes described in the previous paragraph, are also used for the calculation of impairment of Loans and debt securities classified as financial assets at amortised cost, financial assets at fair value through other comprehensive income and relevant off-balance sheet exposures as required by IFRS9. For this purpose, the calculation of impairment in accordance with expected credit losses is based on two main pillars: • the Stage allocation of the credit exposures; • the associated calculation of expected credit loss. Stage allocation - General framework At UniCredit group, the Stage allocation is based on the application of qualitative and quantitative components. With reference to the quantitative component of the stage allocation model, the Group has adopted a statistic approach based on a quantile regression, whose goal is to define a threshold in terms of maximum variation acceptable between the PD measure at the disbursement and the one at the reference date; indeed, the definition of the quantile identifies the Stage 2 quota expected on average in the long-time horizon. The medium long-term quantile is determined based on the average expectation of portfolio deterioration calculated considering the default rate as well as one of the other stages of deterioration (e.g., past-due 30 days).The exposures amount classified in Stage 2 for each reporting date will fluctuate around the long-term quantile based on the current economic conditions as well as expectations about the future economic cycle, with potentially wider fluctuations in case macroeconomic information is specialised by industry. In more detail among the others qualitative and quantitative elements to be assessed, the following are worth to be outlined: • comparison, on a transaction basis, between the PD as of origination date, and the PD as of the reporting date, both calculated according to the internal models; the thresholds consider all the key variables that can affect the bank's expectation about PD changes over time (e.g., ageing of the credit exposures, residual maturity, PD level at the time of first origination); • starting from 31 December 2021, further quantitative criteria, in order to support the timely detection of the Significant Increase in Credit Risk40; • absolute elements, such as the backstops required by law (e.g., 30 days past-due): in this case, the Group has chosen not to reject the significant deterioration presumption after 30 days past-due by allocating in Stage 2 transactions with more than 30 days past due; • additional internal assessment, also including renegotiations of financial instruments due to financial difficulties met by the counterparty (e.g., Forborne classification) and certain kinds of credit monitoring watchlist classifications41. 40 It is made also reference to sub-section “Stage Allocation - Methodological interventions introduced starting from of 31 December 2021”. 41 Starting from 31 December 2021 classification of credit exposures into Stage 2 is triggered by the classification into additional watchlist classes compared with previous periods. Refer to sub-section “IFRS9 Stage Allocation Framework - Newly introduced methodological Interventions recognised as at 31 December 2021”. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 315 2.2.4 Stress test With reference to the strategies of credit risk management, the use of Credit Risk Stress Test is considered of particular importance because its aim is to analyse the portfolio vulnerability in case of an economic downturn or a structural change of the macroeconomic framework. In performing the stress test exercise, different scenarios are considered, based on increasing levels of severity. In addition, scenarios may also be defined based on specific economic hypotheses. The credit stress test models (or satellite models) are set of models aimed at translating the macro-economic conditions into credit risk parameters (PD/LGD). Within the wider stress testing framework, the models serve as basis for calculating the stressed PD/LGD projections under the Adverse Scenarios. They are used in the same way for the estimation of Forward-Looking component within the IFRS9 framework. As regards the modelling methodology, the current framework envisages to estimate, at cluster level (Country/Asset Class) through time series and/or panel regressive analysis, the relationships between the macro-economic factors and the internal default/recovery rate historically observed. However, with regard to the low default portfolios (e.g. Multinational, Banks, Sovereigns), for which no enough defaults events are available, alternative approaches are considered. These imply to leverage either on external data (i.e. external rating) or stressing directly the input of Group Wide Rating System (i.e. Sovereign Rating System). Model’s output in terms of expected variations of PD/LGD conditional to the macro-economic scenarios are then used in order to obtain stressed PD/LGD of each credit exposure. Starting from the stressed PD/LGD the Pillar I Credit Risk metrics (LLP and RWA) are calculated through dedicated simulation engine and according to the EBA Stress test methodology. While Pillar II stress metrics (EC and AFR) are calculated according to the following methodology: • Credit Economic Capital: stressed PDs and LGDs are used as a basis to recalculate the Credit Economic Capital using the GCPM. The result represents the Credit Economic Capital that would be obtained in the current bank portfolio if the stressed scenario is experienced; • AFR: the amount stemming from the difference between the Stressed Expected Loss (calculated based on PD-TTC and LGD-TTC) and the actual Expected losses is deducted from AFR. 2.3 Measurement methods for expected losses Risk management practices 2.3.1 Staging Allocation and Expected Credit Losses Calculation The Credit Risk Management, Measurement and Control processes described in the previous paragraph, are also used for the calculation of impairment of Loans and debt securities classified as financial assets at amortised cost, financial assets at fair value through other comprehensive income and relevant off-balance sheet exposures as required by IFRS9. For this purpose, the calculation of impairment in accordance with expected credit losses is based on two main pillars: • the Stage allocation of the credit exposures; • the associated calculation of expected credit loss. Stage allocation - General framework At UniCredit group, the Stage allocation is based on the application of qualitative and quantitative components. With reference to the quantitative component of the stage allocation model, the Group has adopted a statistic approach based on a quantile regression, whose goal is to define a threshold in terms of maximum variation acceptable between the PD measure at the disbursement and the one at the reference date; indeed, the definition of the quantile identifies the Stage 2 quota expected on average in the long-time horizon. The medium long-term quantile is determined based on the average expectation of portfolio deterioration calculated considering the default rate as well as one of the other stages of deterioration (e.g., past-due 30 days).The exposures amount classified in Stage 2 for each reporting date will fluctuate around the long-term quantile based on the current economic conditions as well as expectations about the future economic cycle, with potentially wider fluctuations in case macroeconomic information is specialised by industry. In more detail among the others qualitative and quantitative elements to be assessed, the following are worth to be outlined: • comparison, on a transaction basis, between the PD as of origination date, and the PD as of the reporting date, both calculated according to the internal models; the thresholds consider all the key variables that can affect the bank's expectation about PD changes over time (e.g., ageing of the credit exposures, residual maturity, PD level at the time of first origination); • starting from 31 December 2021, further quantitative criteria, in order to support the timely detection of the Significant Increase in Credit Risk40; • absolute elements, such as the backstops required by law (e.g., 30 days past-due): in this case, the Group has chosen not to reject the significant deterioration presumption after 30 days past-due by allocating in Stage 2 transactions with more than 30 days past due; • additional internal assessment, also including renegotiations of financial instruments due to financial difficulties met by the counterparty (e.g., Forborne classification) and certain kinds of credit monitoring watchlist classifications41. 40 It is made also reference to sub-section “Stage Allocation - Methodological interventions introduced starting from of 31 December 2021”. 41 Starting from 31 December 2021 classification of credit exposures into Stage 2 is triggered by the classification into additional watchlist classes compared with previous periods. Refer to sub-section “IFRS9 Stage Allocation Framework - Newly introduced methodological Interventions recognised as at 31 December 2021”. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 315 2.2.4 Stress test With reference to the strategies of credit risk management, the use of Credit Risk Stress Test is considered of particular importance because its aim is to analyse the portfolio vulnerability in case of an economic downturn or a structural change of the macroeconomic framework. In performing the stress test exercise, different scenarios are considered, based on increasing levels of severity. In addition, scenarios may also be defined based on specific economic hypotheses. The credit stress test models (or satellite models) are set of models aimed at translating the macro-economic conditions into credit risk parameters (PD/LGD). Within the wider stress testing framework, the models serve as basis for calculating the stressed PD/LGD projections under the Adverse Scenarios. They are used in the same way for the estimation of Forward-Looking component within the IFRS9 framework. As regards the modelling methodology, the current framework envisages to estimate, at cluster level (Country/Asset Class) through time series and/or panel regressive analysis, the relationships between the macro-economic factors and the internal default/recovery rate historically observed. However, with regard to the low default portfolios (e.g. Multinational, Banks, Sovereigns), for which no enough defaults events are available, alternative approaches are considered. These imply to leverage either on external data (i.e. external rating) or stressing directly the input of Group Wide Rating System (i.e. Sovereign Rating System). Model’s output in terms of expected variations of PD/LGD conditional to the macro-economic scenarios are then used in order to obtain stressed PD/LGD of each credit exposure. Starting from the stressed PD/LGD the Pillar I Credit Risk metrics (LLP and RWA) are calculated through dedicated simulation engine and according to the EBA Stress test methodology. While Pillar II stress metrics (EC and AFR) are calculated according to the following methodology: • Credit Economic Capital: stressed PDs and LGDs are used as a basis to recalculate the Credit Economic Capital using the GCPM. The result represents the Credit Economic Capital that would be obtained in the current bank portfolio if the stressed scenario is experienced; • AFR: the amount stemming from the difference between the Stressed Expected Loss (calculated based on PD-TTC and LGD-TTC) and the actual Expected losses is deducted from AFR. 2.3 Measurement methods for expected losses Risk management practices 2.3.1 Staging Allocation and Expected Credit Losses Calculation The Credit Risk Management, Measurement and Control processes described in the previous paragraph, are also used for the calculation of impairment of Loans and debt securities classified as financial assets at amortised cost, financial assets at fair value through other comprehensive income and relevant off-balance sheet exposures as required by IFRS9. For this purpose, the calculation of impairment in accordance with expected credit losses is based on two main pillars: • the Stage allocation of the credit exposures; • the associated calculation of expected credit loss. Stage allocation - General framework At UniCredit group, the Stage allocation is based on the application of qualitative and quantitative components. With reference to the quantitative component of the stage allocation model, the Group has adopted a statistic approach based on a quantile regression, whose goal is to define a threshold in terms of maximum variation acceptable between the PD measure at the disbursement and the one at the reference date; indeed, the definition of the quantile identifies the Stage 2 quota expected on average in the long-time horizon. The medium long-term quantile is determined based on the average expectation of portfolio deterioration calculated considering the default rate as well as one of the other stages of deterioration (e.g., past-due 30 days).The exposures amount classified in Stage 2 for each reporting date will fluctuate around the long-term quantile based on the current economic conditions as well as expectations about the future economic cycle, with potentially wider fluctuations in case macroeconomic information is specialised by industry. In more detail among the others qualitative and quantitative elements to be assessed, the following are worth to be outlined: • comparison, on a transaction basis, between the PD as of origination date, and the PD as of the reporting date, both calculated according to the internal models; the thresholds consider all the key variables that can affect the bank's expectation about PD changes over time (e.g., ageing of the credit exposures, residual maturity, PD level at the time of first origination); • starting from 31 December 2021, further quantitative criteria, in order to support the timely detection of the Significant Increase in Credit Risk40; • absolute elements, such as the backstops required by law (e.g., 30 days past-due): in this case, the Group has chosen not to reject the significant deterioration presumption after 30 days past-due by allocating in Stage 2 transactions with more than 30 days past due; • additional internal assessment, also including renegotiations of financial instruments due to financial difficulties met by the counterparty (e.g., Forborne classification) and certain kinds of credit monitoring watchlist classifications41. 40 It is made also reference to sub-section “Stage Allocation - Methodological interventions introduced starting from of 31 December 2021”. 41 Starting from 31 December 2021 classification of credit exposures into Stage 2 is triggered by the classification into additional watchlist classes compared with previous periods. Refer to sub-section “IFRS9 Stage Allocation Framework - Newly introduced methodological Interventions recognised as at 31 December 2021”. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 315 2.2.4 Stress test With reference to the strategies of credit risk management, the use of Credit Risk Stress Test is considered of particular importance because its aim is to analyse the portfolio vulnerability in case of an economic downturn or a structural change of the macroeconomic framework. In performing the stress test exercise, different scenarios are considered, based on increasing levels of severity. In addition, scenarios may also be defined based on specific economic hypotheses. The credit stress test models (or satellite models) are set of models aimed at translating the macro-economic conditions into credit risk parameters (PD/LGD). Within the wider stress testing framework, the models serve as basis for calculating the stressed PD/LGD projections under the Adverse Scenarios. They are used in the same way for the estimation of Forward-Looking component within the IFRS9 framework. As regards the modelling methodology, the current framework envisages to estimate, at cluster level (Country/Asset Class) through time series and/or panel regressive analysis, the relationships between the macro-economic factors and the internal default/recovery rate historically observed. However, with regard to the low default portfolios (e.g. Multinational, Banks, Sovereigns), for which no enough defaults events are available, alternative approaches are considered. These imply to leverage either on external data (i.e. external rating) or stressing directly the input of Group Wide Rating System (i.e. Sovereign Rating System). Model’s output in terms of expected variations of PD/LGD conditional to the macro-economic scenarios are then used in order to obtain stressed PD/LGD of each credit exposure. Starting from the stressed PD/LGD the Pillar I Credit Risk metrics (LLP and RWA) are calculated through dedicated simulation engine and according to the EBA Stress test methodology. While Pillar II stress metrics (EC and AFR) are calculated according to the following methodology: • Credit Economic Capital: stressed PDs and LGDs are used as a basis to recalculate the Credit Economic Capital using the GCPM. The result represents the Credit Economic Capital that would be obtained in the current bank portfolio if the stressed scenario is experienced; • AFR: the amount stemming from the difference between the Stressed Expected Loss (calculated based on PD-TTC and LGD-TTC) and the actual Expected losses is deducted from AFR. 2.3 Measurement methods for expected losses Risk management practices 2.3.1 Staging Allocation and Expected Credit Losses Calculation The Credit Risk Management, Measurement and Control processes described in the previous paragraph, are also used for the calculation of impairment of Loans and debt securities classified as financial assets at amortised cost, financial assets at fair value through other comprehensive income and relevant off-balance sheet exposures as required by IFRS9. For this purpose, the calculation of impairment in accordance with expected credit losses is based on two main pillars: • the Stage allocation of the credit exposures; • the associated calculation of expected credit loss. Stage allocation - General framework At UniCredit group, the Stage allocation is based on the application of qualitative and quantitative components. With reference to the quantitative component of the stage allocation model, the Group has adopted a statistic approach based on a quantile regression, whose goal is to define a threshold in terms of maximum variation acceptable between the PD measure at the disbursement and the one at the reference date; indeed, the definition of the quantile identifies the Stage 2 quota expected on average in the long-time horizon. The medium long-term quantile is determined based on the average expectation of portfolio deterioration calculated considering the default rate as well as one of the other stages of deterioration (e.g., past-due 30 days).The exposures amount classified in Stage 2 for each reporting date will fluctuate around the long-term quantile based on the current economic conditions as well as expectations about the future economic cycle, with potentially wider fluctuations in case macroeconomic information is specialised by industry. In more detail among the others qualitative and quantitative elements to be assessed, the following are worth to be outlined: • comparison, on a transaction basis, between the PD as of origination date, and the PD as of the reporting date, both calculated according to the internal models; the thresholds consider all the key variables that can affect the bank's expectation about PD changes over time (e.g., ageing of the credit exposures, residual maturity, PD level at the time of first origination); • starting from 31 December 2021, further quantitative criteria, in order to support the timely detection of the Significant Increase in Credit Risk40; • absolute elements, such as the backstops required by law (e.g., 30 days past-due): in this case, the Group has chosen not to reject the significant deterioration presumption after 30 days past-due by allocating in Stage 2 transactions with more than 30 days past due; • additional internal assessment, also including renegotiations of financial instruments due to financial difficulties met by the counterparty (e.g., Forborne classification) and certain kinds of credit monitoring watchlist classifications41. 40 It is made also reference to sub-section “Stage Allocation - Methodological interventions introduced starting from of 31 December 2021”. 41 Starting from 31 December 2021 classification of credit exposures into Stage 2 is triggered by the classification into additional watchlist classes compared with previous periods. Refer to sub-section “IFRS9 Stage Allocation Framework - Newly introduced methodological Interventions recognised as at 31 December 2021”. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 315 2.2.4 Stress test With reference to the strategies of credit risk management, the use of Credit Risk Stress Test is considered of particular importance because its aim is to analyse the portfolio vulnerability in case of an economic downturn or a structural change of the macroeconomic framework. In performing the stress test exercise, different scenarios are considered, based on increasing levels of severity. In addition, scenarios may also be defined based on specific economic hypotheses. The credit stress test models (or satellite models) are set of models aimed at translating the macro-economic conditions into credit risk parameters (PD/LGD). Within the wider stress testing framework, the models serve as basis for calculating the stressed PD/LGD projections under the Adverse Scenarios. They are used in the same way for the estimation of Forward-Looking component within the IFRS9 framework. As regards the modelling methodology, the current framework envisages to estimate, at cluster level (Country/Asset Class) through time series and/or panel regressive analysis, the relationships between the macro-economic factors and the internal default/recovery rate historically observed. However, with regard to the low default portfolios (e.g. Multinational, Banks, Sovereigns), for which no enough defaults events are available, alternative approaches are considered. These imply to leverage either on external data (i.e. external rating) or stressing directly the input of Group Wide Rating System (i.e. Sovereign Rating System). Model’s output in terms of expected variations of PD/LGD conditional to the macro-economic scenarios are then used in order to obtain stressed PD/LGD of each credit exposure. Starting from the stressed PD/LGD the Pillar I Credit Risk metrics (LLP and RWA) are calculated through dedicated simulation engine and according to the EBA Stress test methodology. While Pillar II stress metrics (EC and AFR) are calculated according to the following methodology: • Credit Economic Capital: stressed PDs and LGDs are used as a basis to recalculate the Credit Economic Capital using the GCPM. The result represents the Credit Economic Capital that would be obtained in the current bank portfolio if the stressed scenario is experienced; • AFR: the amount stemming from the difference between the Stressed Expected Loss (calculated based on PD-TTC and LGD-TTC) and the actual Expected losses is deducted from AFR. 2.3 Measurement methods for expected losses Risk management practices 2.3.1 Staging Allocation and Expected Credit Losses Calculation The Credit Risk Management, Measurement and Control processes described in the previous paragraph, are also used for the calculation of impairment of Loans and debt securities classified as financial assets at amortised cost, financial assets at fair value through other comprehensive income and relevant off-balance sheet exposures as required by IFRS9. For this purpose, the calculation of impairment in accordance with expected credit losses is based on two main pillars: • the Stage allocation of the credit exposures; • the associated calculation of expected credit loss. Stage allocation - General framework At UniCredit group, the Stage allocation is based on the application of qualitative and quantitative components. With reference to the quantitative component of the stage allocation model, the Group has adopted a statistic approach based on a quantile regression, whose goal is to define a threshold in terms of maximum variation acceptable between the PD measure at the disbursement and the one at the reference date; indeed, the definition of the quantile identifies the Stage 2 quota expected on average in the long-time horizon. The medium long-term quantile is determined based on the average expectation of portfolio deterioration calculated considering the default rate as well as one of the other stages of deterioration (e.g., past-due 30 days).The exposures amount classified in Stage 2 for each reporting date will fluctuate around the long-term quantile based on the current economic conditions as well as expectations about the future economic cycle, with potentially wider fluctuations in case macroeconomic information is specialised by industry. In more detail among the others qualitative and quantitative elements to be assessed, the following are worth to be outlined: • comparison, on a transaction basis, between the PD as of origination date, and the PD as of the reporting date, both calculated according to the internal models; the thresholds consider all the key variables that can affect the bank's expectation about PD changes over time (e.g., ageing of the credit exposures, residual maturity, PD level at the time of first origination); • starting from 31 December 2021, further quantitative criteria, in order to support the timely detection of the Significant Increase in Credit Risk40; • absolute elements, such as the backstops required by law (e.g., 30 days past-due): in this case, the Group has chosen not to reject the significant deterioration presumption after 30 days past-due by allocating in Stage 2 transactions with more than 30 days past due; • additional internal assessment, also including renegotiations of financial instruments due to financial difficulties met by the counterparty (e.g., Forborne classification) and certain kinds of credit monitoring watchlist classifications41. 40 It is made also reference to sub-section “Stage Allocation - Methodological interventions introduced starting from of 31 December 2021”. 41 Starting from 31 December 2021 classification of credit exposures into Stage 2 is triggered by the classification into additional watchlist classes compared with previous periods. Refer to sub-section “IFRS9 Stage Allocation Framework - Newly introduced methodological Interventions recognised as at 31 December 2021”. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 316 2021 Annual Report and Accounts · UniCredit The Stage allocation model is tested at each reporting date, to timely capture both significant deterioration and its reverse in a symmetric way and to correctly allocate each transaction within the proper stage and related expected loss calculation model. The outcome of the Stage allocation is the classification of credit exposure in Stage 1, Stage 2, or Stage 3 according to their absolute or relative credit quality with respect to the initial disbursement. Specifically: • the Stage 1 includes: - newly issued or acquired credit exposures; - exposures for which credit risk has not significantly deteriorated since initial recognition; - exposures having low credit risk (low credit risk exemption); • the Stage 2 includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition; • the Stage 3 includes impaired credit exposures. With reference to Stage 3, it should be noted that it includes impaired exposures corresponding in accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent updates, to the aggregate Non-Performing Exposures as ITS EBA (EBA/ITS/2013/03/rev1 24 July 2014). In particular, EBA42 has defined as “Non-Performing” exposures that meet one or both of the following criteria: - material exposures more than 90 days past due; - exposures for which the bank assesses that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due. The result of the stage allocation affects the amount of expected credit losses recognised in financial statements (ref. to the next caption). Indeed: • for exposures in Stage 1, impairment is equal to the expected loss calculated over a time horizon of up to one year; • for exposures in Stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the exposure. Stage Allocation - Methodological interventions introduced starting from of 31 December 2021 Specific methodological interventions on IFRS9 Stage Allocation approach were recognised as at 31 December 2021, through actions classifiable into two macro-areas, especially driven also by expectations by European Central Bank: 1. Indicators aimed at detecting in a further timely way the significant increase in credit risk; 2. Measures aimed at achieving lower volatility in the migrations of the Stage classifications. Within the interventions related to point sub.1, the following methodological actions have been introduced: • threefold increase in lifetime PD; Stage 2 classification is triggered in case the Lifetime PD at the reporting date results higher than three times the one at the inception date of the financial instruments. Such measure is a Supervisory expectation raised through the ECB Letter “Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic”43, addressed to banks and also retrievable within the ECB Asset Quality Review Manual; • adoption of a threshold value of Basel PD equal or higher than 20% as a Stage 2 criterion; such threshold, adopted considering the benchmark value retrievable within the ECB Asset Quality Review Manual, has the aim to identify financial instruments that, with little room for interpretation, have registered a significant increase of credit risk since inception date and with high risk of migration to default; • extension of the existing Stage 2 qualitative criteria based on risk classifications (so called “watchlist classes”) resulting from Credit Monitoring process; • inclusion of the Driver «Residual Maturity» within existing Quantitative Staging Model aimed at measuring the significant increase of the Lifetime PD between reporting and inception dates of the financial instruments; such driver allows to recognize the potentially higher risk, ceteris paribus, of instruments having more pronounced residual maturity (the measure is particularly relevant on long terms exposures, e.g. Mortgage Loans)44. 42 The regulatory framework for the new definition of default has been integrated with the entry into force, starting from 1 January 2021 of the "Guidelines on the application of the definition of default under article 178 of (EU) Regulation 575/2013 "(EBA/GL/2016/07). 43 “ECB Letter - Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” [04/12/2020] “Thresholds are also consistent across portfolios and do not systematically favour riskier borrowers (e.g. by implementing higher relative stage transfer thresholds which are applied to debtors with generally higher PDs, worse ratings at origination or more volatile rating migrations). In this regard, and also in line with the AQR Manual and the EBA Stress Test Methodological guidance, significant institutions consider, the appropriateness of a threefold increase in the (annualised) lifetime PD from initial recognition as a backstop measure for a significant increase in credit risk. These levels are consistent with what the ECB has observed in recent quantitative surveys across participating significant institutions which were carried out before the onset of the pandemic. To ensure that there is a sufficient level of provisions, this well-established threshold has, therefore, not been relaxed during the Covid-19 pandemic.” 44 Noteworthy the residual maturity driver has been already incorporated within the Quantitative Staging model for Mortgage Retail perimeter in UniCredit S.p.A. since fourth quarter 2020. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 316 2021 Annual Report and Accounts · UniCredit The Stage allocation model is tested at each reporting date, to timely capture both significant deterioration and its reverse in a symmetric way and to correctly allocate each transaction within the proper stage and related expected loss calculation model. The outcome of the Stage allocation is the classification of credit exposure in Stage 1, Stage 2, or Stage 3 according to their absolute or relative credit quality with respect to the initial disbursement. Specifically: • the Stage 1 includes: - newly issued or acquired credit exposures; - exposures for which credit risk has not significantly deteriorated since initial recognition; - exposures having low credit risk (low credit risk exemption); • the Stage 2 includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition; • the Stage 3 includes impaired credit exposures. With reference to Stage 3, it should be noted that it includes impaired exposures corresponding in accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent updates, to the aggregate Non-Performing Exposures as ITS EBA (EBA/ITS/2013/03/rev1 24 July 2014). In particular, EBA42 has defined as “Non-Performing” exposures that meet one or both of the following criteria: - material exposures more than 90 days past due; - exposures for which the bank assesses that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due. The result of the stage allocation affects the amount of expected credit losses recognised in financial statements (ref. to the next caption). Indeed: • for exposures in Stage 1, impairment is equal to the expected loss calculated over a time horizon of up to one year; • for exposures in Stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the exposure. Stage Allocation - Methodological interventions introduced starting from of 31 December 2021 Specific methodological interventions on IFRS9 Stage Allocation approach were recognised as at 31 December 2021, through actions classifiable into two macro-areas, especially driven also by expectations by European Central Bank: 1. Indicators aimed at detecting in a further timely way the significant increase in credit risk; 2. Measures aimed at achieving lower volatility in the migrations of the Stage classifications. Within the interventions related to point sub.1, the following methodological actions have been introduced: • threefold increase in lifetime PD; Stage 2 classification is triggered in case the Lifetime PD at the reporting date results higher than three times the one at the inception date of the financial instruments. Such measure is a Supervisory expectation raised through the ECB Letter “Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic”43, addressed to banks and also retrievable within the ECB Asset Quality Review Manual; • adoption of a threshold value of Basel PD equal or higher than 20% as a Stage 2 criterion; such threshold, adopted considering the benchmark value retrievable within the ECB Asset Quality Review Manual, has the aim to identify financial instruments that, with little room for interpretation, have registered a significant increase of credit risk since inception date and with high risk of migration to default; • extension of the existing Stage 2 qualitative criteria based on risk classifications (so called “watchlist classes”) resulting from Credit Monitoring process; • inclusion of the Driver «Residual Maturity» within existing Quantitative Staging Model aimed at measuring the significant increase of the Lifetime PD between reporting and inception dates of the financial instruments; such driver allows to recognize the potentially higher risk, ceteris paribus, of instruments having more pronounced residual maturity (the measure is particularly relevant on long terms exposures, e.g. Mortgage Loans)44. 42 The regulatory framework for the new definition of default has been integrated with the entry into force, starting from 1 January 2021 of the "Guidelines on the application of the definition of default under article 178 of (EU) Regulation 575/2013 "(EBA/GL/2016/07). 43 “ECB Letter - Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” [04/12/2020] “Thresholds are also consistent across portfolios and do not systematically favour riskier borrowers (e.g. by implementing higher relative stage transfer thresholds which are applied to debtors with generally higher PDs, worse ratings at origination or more volatile rating migrations). In this regard, and also in line with the AQR Manual and the EBA Stress Test Methodological guidance, significant institutions consider, the appropriateness of a threefold increase in the (annualised) lifetime PD from initial recognition as a backstop measure for a significant increase in credit risk. These levels are consistent with what the ECB has observed in recent quantitative surveys across participating significant institutions which were carried out before the onset of the pandemic. To ensure that there is a sufficient level of provisions, this well-established threshold has, therefore, not been relaxed during the Covid-19 pandemic.” 44 Noteworthy the residual maturity driver has been already incorporated within the Quantitative Staging model for Mortgage Retail perimeter in UniCredit S.p.A. since fourth quarter 2020. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 316 2021 Annual Report and Accounts · UniCredit The Stage allocation model is tested at each reporting date, to timely capture both significant deterioration and its reverse in a symmetric way and to correctly allocate each transaction within the proper stage and related expected loss calculation model. The outcome of the Stage allocation is the classification of credit exposure in Stage 1, Stage 2, or Stage 3 according to their absolute or relative credit quality with respect to the initial disbursement. Specifically: • the Stage 1 includes: - newly issued or acquired credit exposures; - exposures for which credit risk has not significantly deteriorated since initial recognition; - exposures having low credit risk (low credit risk exemption); • the Stage 2 includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition; • the Stage 3 includes impaired credit exposures. With reference to Stage 3, it should be noted that it includes impaired exposures corresponding in accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent updates, to the aggregate Non-Performing Exposures as ITS EBA (EBA/ITS/2013/03/rev1 24 July 2014). In particular, EBA42 has defined as “Non-Performing” exposures that meet one or both of the following criteria: - material exposures more than 90 days past due; - exposures for which the bank assesses that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due. The result of the stage allocation affects the amount of expected credit losses recognised in financial statements (ref. to the next caption). Indeed: • for exposures in Stage 1, impairment is equal to the expected loss calculated over a time horizon of up to one year; • for exposures in Stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the exposure. Stage Allocation - Methodological interventions introduced starting from of 31 December 2021 Specific methodological interventions on IFRS9 Stage Allocation approach were recognised as at 31 December 2021, through actions classifiable into two macro-areas, especially driven also by expectations by European Central Bank: 1. Indicators aimed at detecting in a further timely way the significant increase in credit risk; 2. Measures aimed at achieving lower volatility in the migrations of the Stage classifications. Within the interventions related to point sub.1, the following methodological actions have been introduced: • threefold increase in lifetime PD; Stage 2 classification is triggered in case the Lifetime PD at the reporting date results higher than three times the one at the inception date of the financial instruments. Such measure is a Supervisory expectation raised through the ECB Letter “Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic”43, addressed to banks and also retrievable within the ECB Asset Quality Review Manual; • adoption of a threshold value of Basel PD equal or higher than 20% as a Stage 2 criterion; such threshold, adopted considering the benchmark value retrievable within the ECB Asset Quality Review Manual, has the aim to identify financial instruments that, with little room for interpretation, have registered a significant increase of credit risk since inception date and with high risk of migration to default; • extension of the existing Stage 2 qualitative criteria based on risk classifications (so called “watchlist classes”) resulting from Credit Monitoring process; • inclusion of the Driver «Residual Maturity» within existing Quantitative Staging Model aimed at measuring the significant increase of the Lifetime PD between reporting and inception dates of the financial instruments; such driver allows to recognize the potentially higher risk, ceteris paribus, of instruments having more pronounced residual maturity (the measure is particularly relevant on long terms exposures, e.g. Mortgage Loans)44. 42 The regulatory framework for the new definition of default has been integrated with the entry into force, starting from 1 January 2021 of the "Guidelines on the application of the definition of default under article 178 of (EU) Regulation 575/2013 "(EBA/GL/2016/07). 43 “ECB Letter - Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” [04/12/2020] “Thresholds are also consistent across portfolios and do not systematically favour riskier borrowers (e.g. by implementing higher relative stage transfer thresholds which are applied to debtors with generally higher PDs, worse ratings at origination or more volatile rating migrations). In this regard, and also in line with the AQR Manual and the EBA Stress Test Methodological guidance, significant institutions consider, the appropriateness of a threefold increase in the (annualised) lifetime PD from initial recognition as a backstop measure for a significant increase in credit risk. These levels are consistent with what the ECB has observed in recent quantitative surveys across participating significant institutions which were carried out before the onset of the pandemic. To ensure that there is a sufficient level of provisions, this well-established threshold has, therefore, not been relaxed during the Covid-19 pandemic.” 44 Noteworthy the residual maturity driver has been already incorporated within the Quantitative Staging model for Mortgage Retail perimeter in UniCredit S.p.A. since fourth quarter 2020. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 316 2021 Annual Report and Accounts · UniCredit The Stage allocation model is tested at each reporting date, to timely capture both significant deterioration and its reverse in a symmetric way and to correctly allocate each transaction within the proper stage and related expected loss calculation model. The outcome of the Stage allocation is the classification of credit exposure in Stage 1, Stage 2, or Stage 3 according to their absolute or relative credit quality with respect to the initial disbursement. Specifically: • the Stage 1 includes: - newly issued or acquired credit exposures; - exposures for which credit risk has not significantly deteriorated since initial recognition; - exposures having low credit risk (low credit risk exemption); • the Stage 2 includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition; • the Stage 3 includes impaired credit exposures. With reference to Stage 3, it should be noted that it includes impaired exposures corresponding in accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent updates, to the aggregate Non-Performing Exposures as ITS EBA (EBA/ITS/2013/03/rev1 24 July 2014). In particular, EBA42 has defined as “Non-Performing” exposures that meet one or both of the following criteria: - material exposures more than 90 days past due; - exposures for which the bank assesses that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due. The result of the stage allocation affects the amount of expected credit losses recognised in financial statements (ref. to the next caption). Indeed: • for exposures in Stage 1, impairment is equal to the expected loss calculated over a time horizon of up to one year; • for exposures in Stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the exposure. Stage Allocation - Methodological interventions introduced starting from of 31 December 2021 Specific methodological interventions on IFRS9 Stage Allocation approach were recognised as at 31 December 2021, through actions classifiable into two macro-areas, especially driven also by expectations by European Central Bank: 1. Indicators aimed at detecting in a further timely way the significant increase in credit risk; 2. Measures aimed at achieving lower volatility in the migrations of the Stage classifications. Within the interventions related to point sub.1, the following methodological actions have been introduced: • threefold increase in lifetime PD; Stage 2 classification is triggered in case the Lifetime PD at the reporting date results higher than three times the one at the inception date of the financial instruments. Such measure is a Supervisory expectation raised through the ECB Letter “Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic”43, addressed to banks and also retrievable within the ECB Asset Quality Review Manual; • adoption of a threshold value of Basel PD equal or higher than 20% as a Stage 2 criterion; such threshold, adopted considering the benchmark value retrievable within the ECB Asset Quality Review Manual, has the aim to identify financial instruments that, with little room for interpretation, have registered a significant increase of credit risk since inception date and with high risk of migration to default; • extension of the existing Stage 2 qualitative criteria based on risk classifications (so called “watchlist classes”) resulting from Credit Monitoring process; • inclusion of the Driver «Residual Maturity» within existing Quantitative Staging Model aimed at measuring the significant increase of the Lifetime PD between reporting and inception dates of the financial instruments; such driver allows to recognize the potentially higher risk, ceteris paribus, of instruments having more pronounced residual maturity (the measure is particularly relevant on long terms exposures, e.g. Mortgage Loans)44. 42 The regulatory framework for the new definition of default has been integrated with the entry into force, starting from 1 January 2021 of the "Guidelines on the application of the definition of default under article 178 of (EU) Regulation 575/2013 "(EBA/GL/2016/07). 43 “ECB Letter - Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” [04/12/2020] “Thresholds are also consistent across portfolios and do not systematically favour riskier borrowers (e.g. by implementing higher relative stage transfer thresholds which are applied to debtors with generally higher PDs, worse ratings at origination or more volatile rating migrations). In this regard, and also in line with the AQR Manual and the EBA Stress Test Methodological guidance, significant institutions consider, the appropriateness of a threefold increase in the (annualised) lifetime PD from initial recognition as a backstop measure for a significant increase in credit risk. These levels are consistent with what the ECB has observed in recent quantitative surveys across participating significant institutions which were carried out before the onset of the pandemic. To ensure that there is a sufficient level of provisions, this well-established threshold has, therefore, not been relaxed during the Covid-19 pandemic.” 44 Noteworthy the residual maturity driver has been already incorporated within the Quantitative Staging model for Mortgage Retail perimeter in UniCredit S.p.A. since fourth quarter 2020. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 316 2021 Annual Report and Accounts · UniCredit The Stage allocation model is tested at each reporting date, to timely capture both significant deterioration and its reverse in a symmetric way and to correctly allocate each transaction within the proper stage and related expected loss calculation model. The outcome of the Stage allocation is the classification of credit exposure in Stage 1, Stage 2, or Stage 3 according to their absolute or relative credit quality with respect to the initial disbursement. Specifically: • the Stage 1 includes: - newly issued or acquired credit exposures; - exposures for which credit risk has not significantly deteriorated since initial recognition; - exposures having low credit risk (low credit risk exemption); • the Stage 2 includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition; • the Stage 3 includes impaired credit exposures. With reference to Stage 3, it should be noted that it includes impaired exposures corresponding in accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent updates, to the aggregate Non-Performing Exposures as ITS EBA (EBA/ITS/2013/03/rev1 24 July 2014). In particular, EBA42 has defined as “Non-Performing” exposures that meet one or both of the following criteria: - material exposures more than 90 days past due; - exposures for which the bank assesses that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due. The result of the stage allocation affects the amount of expected credit losses recognised in financial statements (ref. to the next caption). Indeed: • for exposures in Stage 1, impairment is equal to the expected loss calculated over a time horizon of up to one year; • for exposures in Stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the exposure. Stage Allocation - Methodological interventions introduced starting from of 31 December 2021 Specific methodological interventions on IFRS9 Stage Allocation approach were recognised as at 31 December 2021, through actions classifiable into two macro-areas, especially driven also by expectations by European Central Bank: 1. Indicators aimed at detecting in a further timely way the significant increase in credit risk; 2. Measures aimed at achieving lower volatility in the migrations of the Stage classifications. Within the interventions related to point sub.1, the following methodological actions have been introduced: • threefold increase in lifetime PD; Stage 2 classification is triggered in case the Lifetime PD at the reporting date results higher than three times the one at the inception date of the financial instruments. Such measure is a Supervisory expectation raised through the ECB Letter “Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic”43, addressed to banks and also retrievable within the ECB Asset Quality Review Manual; • adoption of a threshold value of Basel PD equal or higher than 20% as a Stage 2 criterion; such threshold, adopted considering the benchmark value retrievable within the ECB Asset Quality Review Manual, has the aim to identify financial instruments that, with little room for interpretation, have registered a significant increase of credit risk since inception date and with high risk of migration to default; • extension of the existing Stage 2 qualitative criteria based on risk classifications (so called “watchlist classes”) resulting from Credit Monitoring process; • inclusion of the Driver «Residual Maturity» within existing Quantitative Staging Model aimed at measuring the significant increase of the Lifetime PD between reporting and inception dates of the financial instruments; such driver allows to recognize the potentially higher risk, ceteris paribus, of instruments having more pronounced residual maturity (the measure is particularly relevant on long terms exposures, e.g. Mortgage Loans)44. 42 The regulatory framework for the new definition of default has been integrated with the entry into force, starting from 1 January 2021 of the "Guidelines on the application of the definition of default under article 178 of (EU) Regulation 575/2013 "(EBA/GL/2016/07). 43 “ECB Letter - Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” [04/12/2020] “Thresholds are also consistent across portfolios and do not systematically favour riskier borrowers (e.g. by implementing higher relative stage transfer thresholds which are applied to debtors with generally higher PDs, worse ratings at origination or more volatile rating migrations). In this regard, and also in line with the AQR Manual and the EBA Stress Test Methodological guidance, significant institutions consider, the appropriateness of a threefold increase in the (annualised) lifetime PD from initial recognition as a backstop measure for a significant increase in credit risk. These levels are consistent with what the ECB has observed in recent quantitative surveys across participating significant institutions which were carried out before the onset of the pandemic. To ensure that there is a sufficient level of provisions, this well-established threshold has, therefore, not been relaxed during the Covid-19 pandemic.” 44 Noteworthy the residual maturity driver has been already incorporated within the Quantitative Staging model for Mortgage Retail perimeter in UniCredit S.p.A. since fourth quarter 2020. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 317 On top to the above, it is pointed out that, under the vein of managing Stage 2 classification within the Covid-19 pandemic context, the full removal of portfolio-based Stage 2 allocation mechanism45 was done, in line with ECB Letter “Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” recommendation46. This ensures, in combined disposition with the measures described above, the full reactivity of the overall methodological framework for Stage classification with respect to the current and foreseeable conditions47. With reference to the interventions related to point sub.2, the following measures have been introduced: • adoption of a 3-months period (so called “Probation Period”) for the reclassification to Stage 1 from Stage 2 in case of overcoming of the quantitative and/or qualitative conditions underlying the Significant Increase in Credit Risk, stabilizing Staging migrations; • full alignment of the Stage 2 classification to the Forborne Performing status, thus ensuring a minimum period of permanence for concessions to clients in financial difficulty equal to the regulatory Probation Period. Such measure makes consistent the entrance/exit criteria to/from Stage 2 due to Forborne Performing classification, avoiding potentially premature reverts to Stage 1 for obligors having yet significantly higher credit risk than the ordinary performing portfolio. In addition to these measures, the extension of the Low Credit Risk Exemption rule, on top to Investment Grade Securities, to loans on clients having a 1-year IFRS9 PD lower than 0.3% has started to be implemented. Such threshold, in addition to be a supervisory benchmark retrievable from ECB Asset Quality Review Manual, is also consistent with an Investment Grade equivalent level of risk. The measure, whose deployment at Group level will be completed during 2022, allows to stabilize staging 2 migrations, reducing volatility and avoiding classification for customers characterised by low level of credit risk. The effects of these new methodological interventions have been recognised as at 31 December 2021, determining an overall increase of credit exposures classified into Stage 2 and, therefore, the recognition of higher write-downs. Specifically: • in terms of loan loss provisions, the impact of the additional staging measures implemented led to recognize additional provisions for -€438 million (of which -€397 million booked in fourth quarter 2021), almost entirely attributable to the Loan portfolio (of which, by Division: -€233 million in Italy, -€74 million in Germany, -€81 million in Central Europe, -€50 million in Eastern Europe); • in terms of Asset Quality, the overall on-balance exposures migrated to Stage 2 resulted equal to €39 billion (of which, by Division: €21 billion in Italy, €7 billion in Germany, €10 billion in Central Europe48, €1 billion in Eastern Europe). With reference to the impacts depicted above, it is pointed out that the remarkable migration on Stage 2 exposures is driven in a material way by the adoption of the 3-months Probation Period measure. Such action has been deployed for the first-time adoption looking backward to all positions returned to Stage 1 within the last three months: these ones have been re-allocated into Stage 2 (as the probation period had always been in place). This has contributed to the realised discontinuity in Stage 2 classification. The rationale underlying such first-time adoption reflects the persistent elements of potential downside risks (i.e. revamping of Covid-19 pandemic due to Omicron variant in end 2021 and the macroeconomic uncertainty in the upcoming future). When the new Probation Period will be fully elapsed, and provided that no other Stage 2 indicator occurs, the exposures will revert to Stage 1, progressively re-balancing the Stage 2 increase originated by the first-time adoption of such measure. Expected credit loss calculation - General framework To calculate expected loss, the Group has developed specific models based on PD, LGD and EAD parameters and the effective interest rate. In particular: • PD (Probability of Default), which expresses the exposure probability of default in a given time horizon (e.g.: 1 year); • LGD (Loss Given Default), which expresses the estimated loss percentage and therefore the expected recovery rate when a default event occurs; • EAD (Exposure at Default), expresses the level of the exposure at the time of default event; • the effective interest rate is the base rate which expresses the time value of money. 45 The portfolio-based stage 2 correction mechanism is a measure set out since IFRS9 First Time Adoption in first quarter 2018 with the aim to stabilize portfolio allocation in the different staging within boundaries around the long run quantile of the portfolio underlying the estimation sample of the Quantitative Staging Allocation model. Noteworthy this measure is not applied in all Legal Entities of the Group and, specifically for UniCredit S.p.A., its incidence in terms of capping to Stage 2 classification has been already sterilised as a prudent measure in the context of the Covid-19 pandemic period. This additional intervention is aimed at fully removing any boundaries (both cap and floor) to the portfolio allocation in the stage 1 and 2 as resulting from the Stage Allocation Framework, thus eliminating any stabilization mechanism to the staging classification with respect to the current and forward-looking conditions. 46 “ECB Letter - Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” [04/12/2020]. Specifically, the recommendation triggering this methodological action is related to this extract “Smoothing stage transfers performed by setting targeted amounts or using reverse engineering to achieve those targets (e.g. by defining ex ante a desired quantile of the loan book that should be allocated in stage 2 in the long run or by adjusting stage transfer thresholds based on predefined quantiles) is avoided for prudent risk management reasons, to ensure an adequate level of provisions.” 47 It has to be noted that for Italian Private Individuals perimeter the overlay measure (already existing within the current Retail model landscape and connected to the broader prudent strategy given the downside risks and potential delayed side-effects from pandemic) aimed at ensuring a Stage 2 portfolio share equal to the upper bound of the long run quantile of the portfolio, has been maintained in order to ensure stability in the portfolio share in Stage 2. Similarly, on Hungarian perimeter floor to the minimum amount of stage 2 based on long run empirical quantile has been taken given the still important presence of portfolio under payment moratoria. These two overlay measures will be re-assessed in the course of 2022 according to the evolution of the situation. 48 Predominantly driven by Austrian perimeter. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 317 On top to the above, it is pointed out that, under the vein of managing Stage 2 classification within the Covid-19 pandemic context, the full removal of portfolio-based Stage 2 allocation mechanism45 was done, in line with ECB Letter “Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” recommendation46. This ensures, in combined disposition with the measures described above, the full reactivity of the overall methodological framework for Stage classification with respect to the current and foreseeable conditions47. With reference to the interventions related to point sub.2, the following measures have been introduced: • adoption of a 3-months period (so called “Probation Period”) for the reclassification to Stage 1 from Stage 2 in case of overcoming of the quantitative and/or qualitative conditions underlying the Significant Increase in Credit Risk, stabilizing Staging migrations; • full alignment of the Stage 2 classification to the Forborne Performing status, thus ensuring a minimum period of permanence for concessions to clients in financial difficulty equal to the regulatory Probation Period. Such measure makes consistent the entrance/exit criteria to/from Stage 2 due to Forborne Performing classification, avoiding potentially premature reverts to Stage 1 for obligors having yet significantly higher credit risk than the ordinary performing portfolio. In addition to these measures, the extension of the Low Credit Risk Exemption rule, on top to Investment Grade Securities, to loans on clients having a 1-year IFRS9 PD lower than 0.3% has started to be implemented. Such threshold, in addition to be a supervisory benchmark retrievable from ECB Asset Quality Review Manual, is also consistent with an Investment Grade equivalent level of risk. The measure, whose deployment at Group level will be completed during 2022, allows to stabilize staging 2 migrations, reducing volatility and avoiding classification for customers characterised by low level of credit risk. The effects of these new methodological interventions have been recognised as at 31 December 2021, determining an overall increase of credit exposures classified into Stage 2 and, therefore, the recognition of higher write-downs. Specifically: • in terms of loan loss provisions, the impact of the additional staging measures implemented led to recognize additional provisions for -€438 million (of which -€397 million booked in fourth quarter 2021), almost entirely attributable to the Loan portfolio (of which, by Division: -€233 million in Italy, -€74 million in Germany, -€81 million in Central Europe, -€50 million in Eastern Europe); • in terms of Asset Quality, the overall on-balance exposures migrated to Stage 2 resulted equal to €39 billion (of which, by Division: €21 billion in Italy, €7 billion in Germany, €10 billion in Central Europe48, €1 billion in Eastern Europe). With reference to the impacts depicted above, it is pointed out that the remarkable migration on Stage 2 exposures is driven in a material way by the adoption of the 3-months Probation Period measure. Such action has been deployed for the first-time adoption looking backward to all positions returned to Stage 1 within the last three months: these ones have been re-allocated into Stage 2 (as the probation period had always been in place). This has contributed to the realised discontinuity in Stage 2 classification. The rationale underlying such first-time adoption reflects the persistent elements of potential downside risks (i.e. revamping of Covid-19 pandemic due to Omicron variant in end 2021 and the macroeconomic uncertainty in the upcoming future). When the new Probation Period will be fully elapsed, and provided that no other Stage 2 indicator occurs, the exposures will revert to Stage 1, progressively re-balancing the Stage 2 increase originated by the first-time adoption of such measure. Expected credit loss calculation - General framework To calculate expected loss, the Group has developed specific models based on PD, LGD and EAD parameters and the effective interest rate. In particular: • PD (Probability of Default), which expresses the exposure probability of default in a given time horizon (e.g.: 1 year); • LGD (Loss Given Default), which expresses the estimated loss percentage and therefore the expected recovery rate when a default event occurs; • EAD (Exposure at Default), expresses the level of the exposure at the time of default event; • the effective interest rate is the base rate which expresses the time value of money. 45 The portfolio-based stage 2 correction mechanism is a measure set out since IFRS9 First Time Adoption in first quarter 2018 with the aim to stabilize portfolio allocation in the different staging within boundaries around the long run quantile of the portfolio underlying the estimation sample of the Quantitative Staging Allocation model. Noteworthy this measure is not applied in all Legal Entities of the Group and, specifically for UniCredit S.p.A., its incidence in terms of capping to Stage 2 classification has been already sterilised as a prudent measure in the context of the Covid-19 pandemic period. This additional intervention is aimed at fully removing any boundaries (both cap and floor) to the portfolio allocation in the stage 1 and 2 as resulting from the Stage Allocation Framework, thus eliminating any stabilization mechanism to the staging classification with respect to the current and forward-looking conditions. 46 “ECB Letter - Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” [04/12/2020]. Specifically, the recommendation triggering this methodological action is related to this extract “Smoothing stage transfers performed by setting targeted amounts or using reverse engineering to achieve those targets (e.g. by defining ex ante a desired quantile of the loan book that should be allocated in stage 2 in the long run or by adjusting stage transfer thresholds based on predefined quantiles) is avoided for prudent risk management reasons, to ensure an adequate level of provisions.” 47 It has to be noted that for Italian Private Individuals perimeter the overlay measure (already existing within the current Retail model landscape and connected to the broader prudent strategy given the downside risks and potential delayed side-effects from pandemic) aimed at ensuring a Stage 2 portfolio share equal to the upper bound of the long run quantile of the portfolio, has been maintained in order to ensure stability in the portfolio share in Stage 2. Similarly, on Hungarian perimeter floor to the minimum amount of stage 2 based on long run empirical quantile has been taken given the still important presence of portfolio under payment moratoria. These two overlay measures will be re-assessed in the course of 2022 according to the evolution of the situation. 48 Predominantly driven by Austrian perimeter. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 317 On top to the above, it is pointed out that, under the vein of managing Stage 2 classification within the Covid-19 pandemic context, the full removal of portfolio-based Stage 2 allocation mechanism45 was done, in line with ECB Letter “Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” recommendation46. This ensures, in combined disposition with the measures described above, the full reactivity of the overall methodological framework for Stage classification with respect to the current and foreseeable conditions47. With reference to the interventions related to point sub.2, the following measures have been introduced: • adoption of a 3-months period (so called “Probation Period”) for the reclassification to Stage 1 from Stage 2 in case of overcoming of the quantitative and/or qualitative conditions underlying the Significant Increase in Credit Risk, stabilizing Staging migrations; • full alignment of the Stage 2 classification to the Forborne Performing status, thus ensuring a minimum period of permanence for concessions to clients in financial difficulty equal to the regulatory Probation Period. Such measure makes consistent the entrance/exit criteria to/from Stage 2 due to Forborne Performing classification, avoiding potentially premature reverts to Stage 1 for obligors having yet significantly higher credit risk than the ordinary performing portfolio. In addition to these measures, the extension of the Low Credit Risk Exemption rule, on top to Investment Grade Securities, to loans on clients having a 1-year IFRS9 PD lower than 0.3% has started to be implemented. Such threshold, in addition to be a supervisory benchmark retrievable from ECB Asset Quality Review Manual, is also consistent with an Investment Grade equivalent level of risk. The measure, whose deployment at Group level will be completed during 2022, allows to stabilize staging 2 migrations, reducing volatility and avoiding classification for customers characterised by low level of credit risk. The effects of these new methodological interventions have been recognised as at 31 December 2021, determining an overall increase of credit exposures classified into Stage 2 and, therefore, the recognition of higher write-downs. Specifically: • in terms of loan loss provisions, the impact of the additional staging measures implemented led to recognize additional provisions for -€438 million (of which -€397 million booked in fourth quarter 2021), almost entirely attributable to the Loan portfolio (of which, by Division: -€233 million in Italy, -€74 million in Germany, -€81 million in Central Europe, -€50 million in Eastern Europe); • in terms of Asset Quality, the overall on-balance exposures migrated to Stage 2 resulted equal to €39 billion (of which, by Division: €21 billion in Italy, €7 billion in Germany, €10 billion in Central Europe48, €1 billion in Eastern Europe). With reference to the impacts depicted above, it is pointed out that the remarkable migration on Stage 2 exposures is driven in a material way by the adoption of the 3-months Probation Period measure. Such action has been deployed for the first-time adoption looking backward to all positions returned to Stage 1 within the last three months: these ones have been re-allocated into Stage 2 (as the probation period had always been in place). This has contributed to the realised discontinuity in Stage 2 classification. The rationale underlying such first-time adoption reflects the persistent elements of potential downside risks (i.e. revamping of Covid-19 pandemic due to Omicron variant in end 2021 and the macroeconomic uncertainty in the upcoming future). When the new Probation Period will be fully elapsed, and provided that no other Stage 2 indicator occurs, the exposures will revert to Stage 1, progressively re-balancing the Stage 2 increase originated by the first-time adoption of such measure. Expected credit loss calculation - General framework To calculate expected loss, the Group has developed specific models based on PD, LGD and EAD parameters and the effective interest rate. In particular: • PD (Probability of Default), which expresses the exposure probability of default in a given time horizon (e.g.: 1 year); • LGD (Loss Given Default), which expresses the estimated loss percentage and therefore the expected recovery rate when a default event occurs; • EAD (Exposure at Default), expresses the level of the exposure at the time of default event; • the effective interest rate is the base rate which expresses the time value of money. 45 The portfolio-based stage 2 correction mechanism is a measure set out since IFRS9 First Time Adoption in first quarter 2018 with the aim to stabilize portfolio allocation in the different staging within boundaries around the long run quantile of the portfolio underlying the estimation sample of the Quantitative Staging Allocation model. Noteworthy this measure is not applied in all Legal Entities of the Group and, specifically for UniCredit S.p.A., its incidence in terms of capping to Stage 2 classification has been already sterilised as a prudent measure in the context of the Covid-19 pandemic period. This additional intervention is aimed at fully removing any boundaries (both cap and floor) to the portfolio allocation in the stage 1 and 2 as resulting from the Stage Allocation Framework, thus eliminating any stabilization mechanism to the staging classification with respect to the current and forward-looking conditions. 46 “ECB Letter - Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” [04/12/2020]. Specifically, the recommendation triggering this methodological action is related to this extract “Smoothing stage transfers performed by setting targeted amounts or using reverse engineering to achieve those targets (e.g. by defining ex ante a desired quantile of the loan book that should be allocated in stage 2 in the long run or by adjusting stage transfer thresholds based on predefined quantiles) is avoided for prudent risk management reasons, to ensure an adequate level of provisions.” 47 It has to be noted that for Italian Private Individuals perimeter the overlay measure (already existing within the current Retail model landscape and connected to the broader prudent strategy given the downside risks and potential delayed side-effects from pandemic) aimed at ensuring a Stage 2 portfolio share equal to the upper bound of the long run quantile of the portfolio, has been maintained in order to ensure stability in the portfolio share in Stage 2. Similarly, on Hungarian perimeter floor to the minimum amount of stage 2 based on long run empirical quantile has been taken given the still important presence of portfolio under payment moratoria. These two overlay measures will be re-assessed in the course of 2022 according to the evolution of the situation. 48 Predominantly driven by Austrian perimeter. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 317 On top to the above, it is pointed out that, under the vein of managing Stage 2 classification within the Covid-19 pandemic context, the full removal of portfolio-based Stage 2 allocation mechanism45 was done, in line with ECB Letter “Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” recommendation46. This ensures, in combined disposition with the measures described above, the full reactivity of the overall methodological framework for Stage classification with respect to the current and foreseeable conditions47. With reference to the interventions related to point sub.2, the following measures have been introduced: • adoption of a 3-months period (so called “Probation Period”) for the reclassification to Stage 1 from Stage 2 in case of overcoming of the quantitative and/or qualitative conditions underlying the Significant Increase in Credit Risk, stabilizing Staging migrations; • full alignment of the Stage 2 classification to the Forborne Performing status, thus ensuring a minimum period of permanence for concessions to clients in financial difficulty equal to the regulatory Probation Period. Such measure makes consistent the entrance/exit criteria to/from Stage 2 due to Forborne Performing classification, avoiding potentially premature reverts to Stage 1 for obligors having yet significantly higher credit risk than the ordinary performing portfolio. In addition to these measures, the extension of the Low Credit Risk Exemption rule, on top to Investment Grade Securities, to loans on clients having a 1-year IFRS9 PD lower than 0.3% has started to be implemented. Such threshold, in addition to be a supervisory benchmark retrievable from ECB Asset Quality Review Manual, is also consistent with an Investment Grade equivalent level of risk. The measure, whose deployment at Group level will be completed during 2022, allows to stabilize staging 2 migrations, reducing volatility and avoiding classification for customers characterised by low level of credit risk. The effects of these new methodological interventions have been recognised as at 31 December 2021, determining an overall increase of credit exposures classified into Stage 2 and, therefore, the recognition of higher write-downs. Specifically: • in terms of loan loss provisions, the impact of the additional staging measures implemented led to recognize additional provisions for -€438 million (of which -€397 million booked in fourth quarter 2021), almost entirely attributable to the Loan portfolio (of which, by Division: -€233 million in Italy, -€74 million in Germany, -€81 million in Central Europe, -€50 million in Eastern Europe); • in terms of Asset Quality, the overall on-balance exposures migrated to Stage 2 resulted equal to €39 billion (of which, by Division: €21 billion in Italy, €7 billion in Germany, €10 billion in Central Europe48, €1 billion in Eastern Europe). With reference to the impacts depicted above, it is pointed out that the remarkable migration on Stage 2 exposures is driven in a material way by the adoption of the 3-months Probation Period measure. Such action has been deployed for the first-time adoption looking backward to all positions returned to Stage 1 within the last three months: these ones have been re-allocated into Stage 2 (as the probation period had always been in place). This has contributed to the realised discontinuity in Stage 2 classification. The rationale underlying such first-time adoption reflects the persistent elements of potential downside risks (i.e. revamping of Covid-19 pandemic due to Omicron variant in end 2021 and the macroeconomic uncertainty in the upcoming future). When the new Probation Period will be fully elapsed, and provided that no other Stage 2 indicator occurs, the exposures will revert to Stage 1, progressively re-balancing the Stage 2 increase originated by the first-time adoption of such measure. Expected credit loss calculation - General framework To calculate expected loss, the Group has developed specific models based on PD, LGD and EAD parameters and the effective interest rate. In particular: • PD (Probability of Default), which expresses the exposure probability of default in a given time horizon (e.g.: 1 year); • LGD (Loss Given Default), which expresses the estimated loss percentage and therefore the expected recovery rate when a default event occurs; • EAD (Exposure at Default), expresses the level of the exposure at the time of default event; • the effective interest rate is the base rate which expresses the time value of money. 45 The portfolio-based stage 2 correction mechanism is a measure set out since IFRS9 First Time Adoption in first quarter 2018 with the aim to stabilize portfolio allocation in the different staging within boundaries around the long run quantile of the portfolio underlying the estimation sample of the Quantitative Staging Allocation model. Noteworthy this measure is not applied in all Legal Entities of the Group and, specifically for UniCredit S.p.A., its incidence in terms of capping to Stage 2 classification has been already sterilised as a prudent measure in the context of the Covid-19 pandemic period. This additional intervention is aimed at fully removing any boundaries (both cap and floor) to the portfolio allocation in the stage 1 and 2 as resulting from the Stage Allocation Framework, thus eliminating any stabilization mechanism to the staging classification with respect to the current and forward-looking conditions. 46 “ECB Letter - Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” [04/12/2020]. Specifically, the recommendation triggering this methodological action is related to this extract “Smoothing stage transfers performed by setting targeted amounts or using reverse engineering to achieve those targets (e.g. by defining ex ante a desired quantile of the loan book that should be allocated in stage 2 in the long run or by adjusting stage transfer thresholds based on predefined quantiles) is avoided for prudent risk management reasons, to ensure an adequate level of provisions.” 47 It has to be noted that for Italian Private Individuals perimeter the overlay measure (already existing within the current Retail model landscape and connected to the broader prudent strategy given the downside risks and potential delayed side-effects from pandemic) aimed at ensuring a Stage 2 portfolio share equal to the upper bound of the long run quantile of the portfolio, has been maintained in order to ensure stability in the portfolio share in Stage 2. Similarly, on Hungarian perimeter floor to the minimum amount of stage 2 based on long run empirical quantile has been taken given the still important presence of portfolio under payment moratoria. These two overlay measures will be re-assessed in the course of 2022 according to the evolution of the situation. 48 Predominantly driven by Austrian perimeter. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 317 On top to the above, it is pointed out that, under the vein of managing Stage 2 classification within the Covid-19 pandemic context, the full removal of portfolio-based Stage 2 allocation mechanism45 was done, in line with ECB Letter “Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” recommendation46. This ensures, in combined disposition with the measures described above, the full reactivity of the overall methodological framework for Stage classification with respect to the current and foreseeable conditions47. With reference to the interventions related to point sub.2, the following measures have been introduced: • adoption of a 3-months period (so called “Probation Period”) for the reclassification to Stage 1 from Stage 2 in case of overcoming of the quantitative and/or qualitative conditions underlying the Significant Increase in Credit Risk, stabilizing Staging migrations; • full alignment of the Stage 2 classification to the Forborne Performing status, thus ensuring a minimum period of permanence for concessions to clients in financial difficulty equal to the regulatory Probation Period. Such measure makes consistent the entrance/exit criteria to/from Stage 2 due to Forborne Performing classification, avoiding potentially premature reverts to Stage 1 for obligors having yet significantly higher credit risk than the ordinary performing portfolio. In addition to these measures, the extension of the Low Credit Risk Exemption rule, on top to Investment Grade Securities, to loans on clients having a 1-year IFRS9 PD lower than 0.3% has started to be implemented. Such threshold, in addition to be a supervisory benchmark retrievable from ECB Asset Quality Review Manual, is also consistent with an Investment Grade equivalent level of risk. The measure, whose deployment at Group level will be completed during 2022, allows to stabilize staging 2 migrations, reducing volatility and avoiding classification for customers characterised by low level of credit risk. The effects of these new methodological interventions have been recognised as at 31 December 2021, determining an overall increase of credit exposures classified into Stage 2 and, therefore, the recognition of higher write-downs. Specifically: • in terms of loan loss provisions, the impact of the additional staging measures implemented led to recognize additional provisions for -€438 million (of which -€397 million booked in fourth quarter 2021), almost entirely attributable to the Loan portfolio (of which, by Division: -€233 million in Italy, -€74 million in Germany, -€81 million in Central Europe, -€50 million in Eastern Europe); • in terms of Asset Quality, the overall on-balance exposures migrated to Stage 2 resulted equal to €39 billion (of which, by Division: €21 billion in Italy, €7 billion in Germany, €10 billion in Central Europe48, €1 billion in Eastern Europe). With reference to the impacts depicted above, it is pointed out that the remarkable migration on Stage 2 exposures is driven in a material way by the adoption of the 3-months Probation Period measure. Such action has been deployed for the first-time adoption looking backward to all positions returned to Stage 1 within the last three months: these ones have been re-allocated into Stage 2 (as the probation period had always been in place). This has contributed to the realised discontinuity in Stage 2 classification. The rationale underlying such first-time adoption reflects the persistent elements of potential downside risks (i.e. revamping of Covid-19 pandemic due to Omicron variant in end 2021 and the macroeconomic uncertainty in the upcoming future). When the new Probation Period will be fully elapsed, and provided that no other Stage 2 indicator occurs, the exposures will revert to Stage 1, progressively re-balancing the Stage 2 increase originated by the first-time adoption of such measure. Expected credit loss calculation - General framework To calculate expected loss, the Group has developed specific models based on PD, LGD and EAD parameters and the effective interest rate. In particular: • PD (Probability of Default), which expresses the exposure probability of default in a given time horizon (e.g.: 1 year); • LGD (Loss Given Default), which expresses the estimated loss percentage and therefore the expected recovery rate when a default event occurs; • EAD (Exposure at Default), expresses the level of the exposure at the time of default event; • the effective interest rate is the base rate which expresses the time value of money. 45 The portfolio-based stage 2 correction mechanism is a measure set out since IFRS9 First Time Adoption in first quarter 2018 with the aim to stabilize portfolio allocation in the different staging within boundaries around the long run quantile of the portfolio underlying the estimation sample of the Quantitative Staging Allocation model. Noteworthy this measure is not applied in all Legal Entities of the Group and, specifically for UniCredit S.p.A., its incidence in terms of capping to Stage 2 classification has been already sterilised as a prudent measure in the context of the Covid-19 pandemic period. This additional intervention is aimed at fully removing any boundaries (both cap and floor) to the portfolio allocation in the stage 1 and 2 as resulting from the Stage Allocation Framework, thus eliminating any stabilization mechanism to the staging classification with respect to the current and forward-looking conditions. 46 “ECB Letter - Identification and measurement of credit risk in the context of the coronavirus (Covid-19) pandemic” [04/12/2020]. Specifically, the recommendation triggering this methodological action is related to this extract “Smoothing stage transfers performed by setting targeted amounts or using reverse engineering to achieve those targets (e.g. by defining ex ante a desired quantile of the loan book that should be allocated in stage 2 in the long run or by adjusting stage transfer thresholds based on predefined quantiles) is avoided for prudent risk management reasons, to ensure an adequate level of provisions.” 47 It has to be noted that for Italian Private Individuals perimeter the overlay measure (already existing within the current Retail model landscape and connected to the broader prudent strategy given the downside risks and potential delayed side-effects from pandemic) aimed at ensuring a Stage 2 portfolio share equal to the upper bound of the long run quantile of the portfolio, has been maintained in order to ensure stability in the portfolio share in Stage 2. Similarly, on Hungarian perimeter floor to the minimum amount of stage 2 based on long run empirical quantile has been taken given the still important presence of portfolio under payment moratoria. These two overlay measures will be re-assessed in the course of 2022 according to the evolution of the situation. 48 Predominantly driven by Austrian perimeter. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 318 2021 Annual Report and Accounts · UniCredit Such parameters are calculated starting from the same parameters applied for regulatory purposes, specifically adjusted to guarantee full consistency, however respecting the different requirements between accounting and regulatory treatment. The main adjustments are aimed at: • removing the conservativism required for regulatory purposes; • introducing “point in time” adjustments which replace the “through-the-cycle” view required by the regulation; • including “forward looking” information; • extending credit risks parameters to a multi years horizon. With reference to “lifetime” PD, PD curves calculated through-the-cycle are calibrated to reflect the point-in-time and forward-looking expectation with reference to the portfolio default rate. The recovery rate embedded in the LGD calculated along the economic cycle ("through-the-cycle") is adjusted to remove the margin of conservatism and reflect the current trends in recovery rates as well as expectations about future trends discounted to the effective interest rate or its best approximation. The EAD calculated along the instrument lifetime is determined by extending the prudential or managerial one-year model, removing the margin of conservatism and including expectations related to future average withdrawal levels of existing credit lines. The forecast in terms of default rate and recovery rate, determined through models that estimate a relationship between these variables and macroeconomic indicators, are embedded in the PD and LGD parameters during the calibration phase. The credit parameters, in fact, are normally calibrated on a horizon that considers the entire economic cycle (“Through-the-cycle - TTC"), so it is necessary to calibrate them "Point-in-time - PIT" and "Forward-looking - FL" allowing to reflect in these credit parameters the current situation as well as expectations about the future evolution of the economic cycle. The expected credit loss deriving from the parameters previously described considers macroeconomic forecasts through the application of multiple scenarios to the forward-looking components in order to compensate the partial non-linearity that is naturally embedded in the correlation between the macroeconomic changes and expected credit loss. Specifically, the non-linearity effect is incorporated by estimating a correction factor applied directly to the expected credit loss ("ECL") of the portfolio. Expected credit loss calculation - overlays applied as at 31 December 2021 As at 31 December 2021, it should be mentioned that, in addition to the management overlay related to the macro-economic scenario described in the section Scenarios and Sensitivity, further overlays with impact on loan loss provisions’ recognition were taken in selected geographies in order to consider: (i) potential downside risks stemming from the worsening of Supply Chain bottleneck crises, as also reported by ECB macro-economic projections in December 202149; (ii) persisting uncertainties, also deriving from Covid-19 prolonged effects. With reference to the first topic, additional measures for ECL quantification were assessed for Czech Republic, Germany and Austria, as identified the most impacted countries considering the relevance supply chain bottlenecks may have for the local economy. The overlay was determined considering: (i) the sensitivity of ECL to GDP through the Satellite model used for forward looking inclusion (ref. to section 2.2 Credit Risk Management, Measurement and Control); (ii) the weight of the exports on local GDP of the countries. With reference to the second topic, the local specific overlays were mainly taken in: • Russia, where: (i) specific prudent measures for IFRS9 calibration in June 2021 were fully confirmed given the macroeconomic trend50; (ii) additional LLP overlay for Retail clients employed on high-risk sectors likely to be affected by restrictive measures (impacting directly on ECL the effect of proactive staging action51); • Hungary, following up instructions on Classification and minimum provisions coverage provided, in end of November 2021, by the local Central Bank in consideration of moratoria extension occurred in the fourth quarter 202152. As at 31 December 2021, the overall impact generated by the overlays led to recognise net write-downs for ca. -€119 million, basically attributable to the Loan portfolio (of which, by Division: -€45 million in Germany, -€38 million in Central Europe, -€36 million in Eastern Europe). Eventually, it is worth noting that the measurement of Loan Loss Provisions as at 31 December 2021 is also affected by the activities for material changes in IRB Models for PD and LGD calculation, in coherence with the EBA “Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures”53. Specifically, such activities are related to LGD Models in German and Austrian perimeters, as well as PD Models in Czech Republic, Slovakia and Bulgaria geographies. Despite the material model changes will go live in 2022, the Group, as at 31 December 2021, was already aware of the effects resulting from model enhancements in term of PD and LGD increase on the credit risk of customers; thus, according to IFRS9, the related effects were coherently recognised as at 31 December 2021. As at 31 December 2021, the model changes led to recognise net write-downs for -€142 million, almost entirely attributable to the Loan portfolio (of which, by Division: -€16 million in Germany, -€96 million in Central Europe, -€30 million in Eastern Europe). 49 https://www.ecb.europa.eu/pub/projections/html/ecb.projections202112_eurosystemstaff~32e481d712.en.html. 50 Suitable also in light of the geo-political situation. 51 Refer to sub-section related to “Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)” for explanation of proactive staging measures. 52 As also mentioned in the sub-section related to “Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)”. 53 EBA/GL/2017/16. The guideline was issued by the European Banking Authority (EBA) to reduce unjustified variability of risk parameters and own funds requirements, and it is part of a broader review of Internal Ratings-Based (IRB) approach carried out by the EBA. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 318 2021 Annual Report and Accounts · UniCredit Such parameters are calculated starting from the same parameters applied for regulatory purposes, specifically adjusted to guarantee full consistency, however respecting the different requirements between accounting and regulatory treatment. The main adjustments are aimed at: • removing the conservativism required for regulatory purposes; • introducing “point in time” adjustments which replace the “through-the-cycle” view required by the regulation; • including “forward looking” information; • extending credit risks parameters to a multi years horizon. With reference to “lifetime” PD, PD curves calculated through-the-cycle are calibrated to reflect the point-in-time and forward-looking expectation with reference to the portfolio default rate. The recovery rate embedded in the LGD calculated along the economic cycle ("through-the-cycle") is adjusted to remove the margin of conservatism and reflect the current trends in recovery rates as well as expectations about future trends discounted to the effective interest rate or its best approximation. The EAD calculated along the instrument lifetime is determined by extending the prudential or managerial one-year model, removing the margin of conservatism and including expectations related to future average withdrawal levels of existing credit lines. The forecast in terms of default rate and recovery rate, determined through models that estimate a relationship between these variables and macroeconomic indicators, are embedded in the PD and LGD parameters during the calibration phase. The credit parameters, in fact, are normally calibrated on a horizon that considers the entire economic cycle (“Through-the-cycle - TTC"), so it is necessary to calibrate them "Point-in-time - PIT" and "Forward-looking - FL" allowing to reflect in these credit parameters the current situation as well as expectations about the future evolution of the economic cycle. The expected credit loss deriving from the parameters previously described considers macroeconomic forecasts through the application of multiple scenarios to the forward-looking components in order to compensate the partial non-linearity that is naturally embedded in the correlation between the macroeconomic changes and expected credit loss. Specifically, the non-linearity effect is incorporated by estimating a correction factor applied directly to the expected credit loss ("ECL") of the portfolio. Expected credit loss calculation - overlays applied as at 31 December 2021 As at 31 December 2021, it should be mentioned that, in addition to the management overlay related to the macro-economic scenario described in the section Scenarios and Sensitivity, further overlays with impact on loan loss provisions’ recognition were taken in selected geographies in order to consider: (i) potential downside risks stemming from the worsening of Supply Chain bottleneck crises, as also reported by ECB macro-economic projections in December 202149; (ii) persisting uncertainties, also deriving from Covid-19 prolonged effects. With reference to the first topic, additional measures for ECL quantification were assessed for Czech Republic, Germany and Austria, as identified the most impacted countries considering the relevance supply chain bottlenecks may have for the local economy. The overlay was determined considering: (i) the sensitivity of ECL to GDP through the Satellite model used for forward looking inclusion (ref. to section 2.2 Credit Risk Management, Measurement and Control); (ii) the weight of the exports on local GDP of the countries. With reference to the second topic, the local specific overlays were mainly taken in: • Russia, where: (i) specific prudent measures for IFRS9 calibration in June 2021 were fully confirmed given the macroeconomic trend50; (ii) additional LLP overlay for Retail clients employed on high-risk sectors likely to be affected by restrictive measures (impacting directly on ECL the effect of proactive staging action51); • Hungary, following up instructions on Classification and minimum provisions coverage provided, in end of November 2021, by the local Central Bank in consideration of moratoria extension occurred in the fourth quarter 202152. As at 31 December 2021, the overall impact generated by the overlays led to recognise net write-downs for ca. -€119 million, basically attributable to the Loan portfolio (of which, by Division: -€45 million in Germany, -€38 million in Central Europe, -€36 million in Eastern Europe). Eventually, it is worth noting that the measurement of Loan Loss Provisions as at 31 December 2021 is also affected by the activities for material changes in IRB Models for PD and LGD calculation, in coherence with the EBA “Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures”53. Specifically, such activities are related to LGD Models in German and Austrian perimeters, as well as PD Models in Czech Republic, Slovakia and Bulgaria geographies. Despite the material model changes will go live in 2022, the Group, as at 31 December 2021, was already aware of the effects resulting from model enhancements in term of PD and LGD increase on the credit risk of customers; thus, according to IFRS9, the related effects were coherently recognised as at 31 December 2021. As at 31 December 2021, the model changes led to recognise net write-downs for -€142 million, almost entirely attributable to the Loan portfolio (of which, by Division: -€16 million in Germany, -€96 million in Central Europe, -€30 million in Eastern Europe). 49 https://www.ecb.europa.eu/pub/projections/html/ecb.projections202112_eurosystemstaff~32e481d712.en.html. 50 Suitable also in light of the geo-political situation. 51 Refer to sub-section related to “Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)” for explanation of proactive staging measures. 52 As also mentioned in the sub-section related to “Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)”. 53 EBA/GL/2017/16. The guideline was issued by the European Banking Authority (EBA) to reduce unjustified variability of risk parameters and own funds requirements, and it is part of a broader review of Internal Ratings-Based (IRB) approach carried out by the EBA. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 318 2021 Annual Report and Accounts · UniCredit Such parameters are calculated starting from the same parameters applied for regulatory purposes, specifically adjusted to guarantee full consistency, however respecting the different requirements between accounting and regulatory treatment. The main adjustments are aimed at: • removing the conservativism required for regulatory purposes; • introducing “point in time” adjustments which replace the “through-the-cycle” view required by the regulation; • including “forward looking” information; • extending credit risks parameters to a multi years horizon. With reference to “lifetime” PD, PD curves calculated through-the-cycle are calibrated to reflect the point-in-time and forward-looking expectation with reference to the portfolio default rate. The recovery rate embedded in the LGD calculated along the economic cycle ("through-the-cycle") is adjusted to remove the margin of conservatism and reflect the current trends in recovery rates as well as expectations about future trends discounted to the effective interest rate or its best approximation. The EAD calculated along the instrument lifetime is determined by extending the prudential or managerial one-year model, removing the margin of conservatism and including expectations related to future average withdrawal levels of existing credit lines. The forecast in terms of default rate and recovery rate, determined through models that estimate a relationship between these variables and macroeconomic indicators, are embedded in the PD and LGD parameters during the calibration phase. The credit parameters, in fact, are normally calibrated on a horizon that considers the entire economic cycle (“Through-the-cycle - TTC"), so it is necessary to calibrate them "Point-in-time - PIT" and "Forward-looking - FL" allowing to reflect in these credit parameters the current situation as well as expectations about the future evolution of the economic cycle. The expected credit loss deriving from the parameters previously described considers macroeconomic forecasts through the application of multiple scenarios to the forward-looking components in order to compensate the partial non-linearity that is naturally embedded in the correlation between the macroeconomic changes and expected credit loss. Specifically, the non-linearity effect is incorporated by estimating a correction factor applied directly to the expected credit loss ("ECL") of the portfolio. Expected credit loss calculation - overlays applied as at 31 December 2021 As at 31 December 2021, it should be mentioned that, in addition to the management overlay related to the macro-economic scenario described in the section Scenarios and Sensitivity, further overlays with impact on loan loss provisions’ recognition were taken in selected geographies in order to consider: (i) potential downside risks stemming from the worsening of Supply Chain bottleneck crises, as also reported by ECB macro-economic projections in December 202149; (ii) persisting uncertainties, also deriving from Covid-19 prolonged effects. With reference to the first topic, additional measures for ECL quantification were assessed for Czech Republic, Germany and Austria, as identified the most impacted countries considering the relevance supply chain bottlenecks may have for the local economy. The overlay was determined considering: (i) the sensitivity of ECL to GDP through the Satellite model used for forward looking inclusion (ref. to section 2.2 Credit Risk Management, Measurement and Control); (ii) the weight of the exports on local GDP of the countries. With reference to the second topic, the local specific overlays were mainly taken in: • Russia, where: (i) specific prudent measures for IFRS9 calibration in June 2021 were fully confirmed given the macroeconomic trend50; (ii) additional LLP overlay for Retail clients employed on high-risk sectors likely to be affected by restrictive measures (impacting directly on ECL the effect of proactive staging action51); • Hungary, following up instructions on Classification and minimum provisions coverage provided, in end of November 2021, by the local Central Bank in consideration of moratoria extension occurred in the fourth quarter 202152. As at 31 December 2021, the overall impact generated by the overlays led to recognise net write-downs for ca. -€119 million, basically attributable to the Loan portfolio (of which, by Division: -€45 million in Germany, -€38 million in Central Europe, -€36 million in Eastern Europe). Eventually, it is worth noting that the measurement of Loan Loss Provisions as at 31 December 2021 is also affected by the activities for material changes in IRB Models for PD and LGD calculation, in coherence with the EBA “Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures”53. Specifically, such activities are related to LGD Models in German and Austrian perimeters, as well as PD Models in Czech Republic, Slovakia and Bulgaria geographies. Despite the material model changes will go live in 2022, the Group, as at 31 December 2021, was already aware of the effects resulting from model enhancements in term of PD and LGD increase on the credit risk of customers; thus, according to IFRS9, the related effects were coherently recognised as at 31 December 2021. As at 31 December 2021, the model changes led to recognise net write-downs for -€142 million, almost entirely attributable to the Loan portfolio (of which, by Division: -€16 million in Germany, -€96 million in Central Europe, -€30 million in Eastern Europe). 49 https://www.ecb.europa.eu/pub/projections/html/ecb.projections202112_eurosystemstaff~32e481d712.en.html. 50 Suitable also in light of the geo-political situation. 51 Refer to sub-section related to “Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)” for explanation of proactive staging measures. 52 As also mentioned in the sub-section related to “Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)”. 53 EBA/GL/2017/16. The guideline was issued by the European Banking Authority (EBA) to reduce unjustified variability of risk parameters and own funds requirements, and it is part of a broader review of Internal Ratings-Based (IRB) approach carried out by the EBA. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 318 2021 Annual Report and Accounts · UniCredit Such parameters are calculated starting from the same parameters applied for regulatory purposes, specifically adjusted to guarantee full consistency, however respecting the different requirements between accounting and regulatory treatment. The main adjustments are aimed at: • removing the conservativism required for regulatory purposes; • introducing “point in time” adjustments which replace the “through-the-cycle” view required by the regulation; • including “forward looking” information; • extending credit risks parameters to a multi years horizon. With reference to “lifetime” PD, PD curves calculated through-the-cycle are calibrated to reflect the point-in-time and forward-looking expectation with reference to the portfolio default rate. The recovery rate embedded in the LGD calculated along the economic cycle ("through-the-cycle") is adjusted to remove the margin of conservatism and reflect the current trends in recovery rates as well as expectations about future trends discounted to the effective interest rate or its best approximation. The EAD calculated along the instrument lifetime is determined by extending the prudential or managerial one-year model, removing the margin of conservatism and including expectations related to future average withdrawal levels of existing credit lines. The forecast in terms of default rate and recovery rate, determined through models that estimate a relationship between these variables and macroeconomic indicators, are embedded in the PD and LGD parameters during the calibration phase. The credit parameters, in fact, are normally calibrated on a horizon that considers the entire economic cycle (“Through-the-cycle - TTC"), so it is necessary to calibrate them "Point-in-time - PIT" and "Forward-looking - FL" allowing to reflect in these credit parameters the current situation as well as expectations about the future evolution of the economic cycle. The expected credit loss deriving from the parameters previously described considers macroeconomic forecasts through the application of multiple scenarios to the forward-looking components in order to compensate the partial non-linearity that is naturally embedded in the correlation between the macroeconomic changes and expected credit loss. Specifically, the non-linearity effect is incorporated by estimating a correction factor applied directly to the expected credit loss ("ECL") of the portfolio. Expected credit loss calculation - overlays applied as at 31 December 2021 As at 31 December 2021, it should be mentioned that, in addition to the management overlay related to the macro-economic scenario described in the section Scenarios and Sensitivity, further overlays with impact on loan loss provisions’ recognition were taken in selected geographies in order to consider: (i) potential downside risks stemming from the worsening of Supply Chain bottleneck crises, as also reported by ECB macro-economic projections in December 202149; (ii) persisting uncertainties, also deriving from Covid-19 prolonged effects. With reference to the first topic, additional measures for ECL quantification were assessed for Czech Republic, Germany and Austria, as identified the most impacted countries considering the relevance supply chain bottlenecks may have for the local economy. The overlay was determined considering: (i) the sensitivity of ECL to GDP through the Satellite model used for forward looking inclusion (ref. to section 2.2 Credit Risk Management, Measurement and Control); (ii) the weight of the exports on local GDP of the countries. With reference to the second topic, the local specific overlays were mainly taken in: • Russia, where: (i) specific prudent measures for IFRS9 calibration in June 2021 were fully confirmed given the macroeconomic trend50; (ii) additional LLP overlay for Retail clients employed on high-risk sectors likely to be affected by restrictive measures (impacting directly on ECL the effect of proactive staging action51); • Hungary, following up instructions on Classification and minimum provisions coverage provided, in end of November 2021, by the local Central Bank in consideration of moratoria extension occurred in the fourth quarter 202152. As at 31 December 2021, the overall impact generated by the overlays led to recognise net write-downs for ca. -€119 million, basically attributable to the Loan portfolio (of which, by Division: -€45 million in Germany, -€38 million in Central Europe, -€36 million in Eastern Europe). Eventually, it is worth noting that the measurement of Loan Loss Provisions as at 31 December 2021 is also affected by the activities for material changes in IRB Models for PD and LGD calculation, in coherence with the EBA “Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures”53. Specifically, such activities are related to LGD Models in German and Austrian perimeters, as well as PD Models in Czech Republic, Slovakia and Bulgaria geographies. Despite the material model changes will go live in 2022, the Group, as at 31 December 2021, was already aware of the effects resulting from model enhancements in term of PD and LGD increase on the credit risk of customers; thus, according to IFRS9, the related effects were coherently recognised as at 31 December 2021. As at 31 December 2021, the model changes led to recognise net write-downs for -€142 million, almost entirely attributable to the Loan portfolio (of which, by Division: -€16 million in Germany, -€96 million in Central Europe, -€30 million in Eastern Europe). 49 https://www.ecb.europa.eu/pub/projections/html/ecb.projections202112_eurosystemstaff~32e481d712.en.html. 50 Suitable also in light of the geo-political situation. 51 Refer to sub-section related to “Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)” for explanation of proactive staging measures. 52 As also mentioned in the sub-section related to “Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)”. 53 EBA/GL/2017/16. The guideline was issued by the European Banking Authority (EBA) to reduce unjustified variability of risk parameters and own funds requirements, and it is part of a broader review of Internal Ratings-Based (IRB) approach carried out by the EBA. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 318 2021 Annual Report and Accounts · UniCredit Such parameters are calculated starting from the same parameters applied for regulatory purposes, specifically adjusted to guarantee full consistency, however respecting the different requirements between accounting and regulatory treatment. The main adjustments are aimed at: • removing the conservativism required for regulatory purposes; • introducing “point in time” adjustments which replace the “through-the-cycle” view required by the regulation; • including “forward looking” information; • extending credit risks parameters to a multi years horizon. With reference to “lifetime” PD, PD curves calculated through-the-cycle are calibrated to reflect the point-in-time and forward-looking expectation with reference to the portfolio default rate. The recovery rate embedded in the LGD calculated along the economic cycle ("through-the-cycle") is adjusted to remove the margin of conservatism and reflect the current trends in recovery rates as well as expectations about future trends discounted to the effective interest rate or its best approximation. The EAD calculated along the instrument lifetime is determined by extending the prudential or managerial one-year model, removing the margin of conservatism and including expectations related to future average withdrawal levels of existing credit lines. The forecast in terms of default rate and recovery rate, determined through models that estimate a relationship between these variables and macroeconomic indicators, are embedded in the PD and LGD parameters during the calibration phase. The credit parameters, in fact, are normally calibrated on a horizon that considers the entire economic cycle (“Through-the-cycle - TTC"), so it is necessary to calibrate them "Point-in-time - PIT" and "Forward-looking - FL" allowing to reflect in these credit parameters the current situation as well as expectations about the future evolution of the economic cycle. The expected credit loss deriving from the parameters previously described considers macroeconomic forecasts through the application of multiple scenarios to the forward-looking components in order to compensate the partial non-linearity that is naturally embedded in the correlation between the macroeconomic changes and expected credit loss. Specifically, the non-linearity effect is incorporated by estimating a correction factor applied directly to the expected credit loss ("ECL") of the portfolio. Expected credit loss calculation - overlays applied as at 31 December 2021 As at 31 December 2021, it should be mentioned that, in addition to the management overlay related to the macro-economic scenario described in the section Scenarios and Sensitivity, further overlays with impact on loan loss provisions’ recognition were taken in selected geographies in order to consider: (i) potential downside risks stemming from the worsening of Supply Chain bottleneck crises, as also reported by ECB macro-economic projections in December 202149; (ii) persisting uncertainties, also deriving from Covid-19 prolonged effects. With reference to the first topic, additional measures for ECL quantification were assessed for Czech Republic, Germany and Austria, as identified the most impacted countries considering the relevance supply chain bottlenecks may have for the local economy. The overlay was determined considering: (i) the sensitivity of ECL to GDP through the Satellite model used for forward looking inclusion (ref. to section 2.2 Credit Risk Management, Measurement and Control); (ii) the weight of the exports on local GDP of the countries. With reference to the second topic, the local specific overlays were mainly taken in: • Russia, where: (i) specific prudent measures for IFRS9 calibration in June 2021 were fully confirmed given the macroeconomic trend50; (ii) additional LLP overlay for Retail clients employed on high-risk sectors likely to be affected by restrictive measures (impacting directly on ECL the effect of proactive staging action51); • Hungary, following up instructions on Classification and minimum provisions coverage provided, in end of November 2021, by the local Central Bank in consideration of moratoria extension occurred in the fourth quarter 202152. As at 31 December 2021, the overall impact generated by the overlays led to recognise net write-downs for ca. -€119 million, basically attributable to the Loan portfolio (of which, by Division: -€45 million in Germany, -€38 million in Central Europe, -€36 million in Eastern Europe). Eventually, it is worth noting that the measurement of Loan Loss Provisions as at 31 December 2021 is also affected by the activities for material changes in IRB Models for PD and LGD calculation, in coherence with the EBA “Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures”53. Specifically, such activities are related to LGD Models in German and Austrian perimeters, as well as PD Models in Czech Republic, Slovakia and Bulgaria geographies. Despite the material model changes will go live in 2022, the Group, as at 31 December 2021, was already aware of the effects resulting from model enhancements in term of PD and LGD increase on the credit risk of customers; thus, according to IFRS9, the related effects were coherently recognised as at 31 December 2021. As at 31 December 2021, the model changes led to recognise net write-downs for -€142 million, almost entirely attributable to the Loan portfolio (of which, by Division: -€16 million in Germany, -€96 million in Central Europe, -€30 million in Eastern Europe). 49 https://www.ecb.europa.eu/pub/projections/html/ecb.projections202112_eurosystemstaff~32e481d712.en.html. 50 Suitable also in light of the geo-political situation. 51 Refer to sub-section related to “Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)” for explanation of proactive staging measures. 52 As also mentioned in the sub-section related to “Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)”. 53 EBA/GL/2017/16. The guideline was issued by the European Banking Authority (EBA) to reduce unjustified variability of risk parameters and own funds requirements, and it is part of a broader review of Internal Ratings-Based (IRB) approach carried out by the EBA. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 319 2.3.2 Non-performing exposures With reference to impaired exposures (Stage 3) the expected recoverable amount, and therefore the expected credit loss, is the present value of future cash flows expected to be recovered, discounted at the original interest rate. Therefore, the main determinants of this value are: • the expected cash flows; • the expected timing of payments of these cash flows; • the effective interest rate used for discounting. Expected cash flows on defaulted exposures are calculated on an individual basis for “individually significant exposures”. Expected cash flows on already defaulted exposures that are not individually significant are calculated either on an individual or a collective basis. Where a Legal Entity has several individually significant exposures towards one single counterparty, each loan is individually assessed while also considering the overall position of the counterparty. Future cash flows must be estimated considering the historical trend of recovery for exposures having similar credit risk features. The historical trend in any case is adjusted so to embeds the current economic environment and the expected economic outlooks. 2.3.3 Selling scenarios In the assessment of impaired exposures (Stage 3), possible sales scenarios are also considered where the Group's NPE strategy envisages experiencing recovery through their sale to the market. For this purpose, the presumed recovery value of credit exposures classified as Bad Loans and Unlikely to Pay is determined as weighted average between two scenarios: • internal recovery scenario, whose expected recovery value is estimated assuming an internal work-out process according to what has previously been described; • sale scenario, whose expected recovery value is estimated assuming the sale of the exposures on the market. The expected sale price is determined considering market or internal information based on the following hierarchy: - prices deriving from past sales of impaired loans with homogeneous characteristics with those evaluated; - prices observable on the market for impaired loans with homogeneous characteristics with those evaluated; - internal evaluation models. On 22 December 2021, the Group Financial and Risk Committee approved the update of the disposal strategy by: • including further Core UTP positions for €583 million (~2,000 NDGs as of 31 December 2021) as part of the strategy aimed to optimize NPE value, also benefiting from the lack of impact on LGD models; • excluding Non Core illiquid Bad Loans unsecured positions (e.g., passive claims, seizures) equal to €35 million as of 31 December 2021, for which Italian Transactional Credit Committee on 10 December 2021 approved a 99% Write off in the contest of Non Core rundown. Consequently, as of 31 December 2021 the exposures evaluated by applying the selling scenario approach at UniCredit S.p.A. were equal to €1,900 million. With reference to the credit exposures evaluated with the selling scenario as of 31 December 2021, the prices were updated in respect of those applied as of 31 December 2020, leading to additional LLPs for - €208 million fully attributable to UniCredit S.p.A.; in particular: • with reference to Market Benchmark (- €196 million), the prices were updated on the basis of the UniCredit’s portfolio eligible to be sold updated as of 30 September 2021, to which the 14 December 2021 prices resulting from the external advisors’ independent analysis were applied; • with reference to Internal Benchmark (- €12 million), the impact coming from: (i) the inclusion of certain transactions in the list of internal transactions included as reference point; (ii) the internal re-assessment of the portfolio cluster, and connected price, applied to each files based on the classification and collateral as of 30 September 2021. 2.3.4 Scenarios and Sensitivity The process defined to include multiple macroeconomic scenarios is fully consistent with forecast processes used by UniCredit group for additional risk management purposes (for example processes adopted to calculate expected credit losses from macroeconomic forecasts based on EBA stress test and ICAAP Framework). Similarly, to other processes (ICAAP) the scenarios are provided by the independent function of UniCredit Research function. Specifically, the Group has selected three macroeconomic scenarios to determine the forward-looking component of expected losses: a baseline scenario (“base scenario”), an improved scenario (“positive scenario”) with respect to baseline and a worsened scenario (“negative scenario”) with respect to baseline. The baseline scenario is the reference central scenario and therefore is considered to be the most probable realization. Positive and negative scenarios represent possible alternative realizations, respectively a better and a worst one compared to the baseline in terms of evolution of the economies of the countries in which the Group operates. For a description of main assumptions behind “base”, “positive” and “downturn” scenarios and related probability realization, refer to Part A - Accounting policies, A.1 General, Section 2 - General preparation criteria. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 319 2.3.2 Non-performing exposures With reference to impaired exposures (Stage 3) the expected recoverable amount, and therefore the expected credit loss, is the present value of future cash flows expected to be recovered, discounted at the original interest rate. Therefore, the main determinants of this value are: • the expected cash flows; • the expected timing of payments of these cash flows; • the effective interest rate used for discounting. Expected cash flows on defaulted exposures are calculated on an individual basis for “individually significant exposures”. Expected cash flows on already defaulted exposures that are not individually significant are calculated either on an individual or a collective basis. Where a Legal Entity has several individually significant exposures towards one single counterparty, each loan is individually assessed while also considering the overall position of the counterparty. Future cash flows must be estimated considering the historical trend of recovery for exposures having similar credit risk features. The historical trend in any case is adjusted so to embeds the current economic environment and the expected economic outlooks. 2.3.3 Selling scenarios In the assessment of impaired exposures (Stage 3), possible sales scenarios are also considered where the Group's NPE strategy envisages experiencing recovery through their sale to the market. For this purpose, the presumed recovery value of credit exposures classified as Bad Loans and Unlikely to Pay is determined as weighted average between two scenarios: • internal recovery scenario, whose expected recovery value is estimated assuming an internal work-out process according to what has previously been described; • sale scenario, whose expected recovery value is estimated assuming the sale of the exposures on the market. The expected sale price is determined considering market or internal information based on the following hierarchy: - prices deriving from past sales of impaired loans with homogeneous characteristics with those evaluated; - prices observable on the market for impaired loans with homogeneous characteristics with those evaluated; - internal evaluation models. On 22 December 2021, the Group Financial and Risk Committee approved the update of the disposal strategy by: • including further Core UTP positions for €583 million (~2,000 NDGs as of 31 December 2021) as part of the strategy aimed to optimize NPE value, also benefiting from the lack of impact on LGD models; • excluding Non Core illiquid Bad Loans unsecured positions (e.g., passive claims, seizures) equal to €35 million as of 31 December 2021, for which Italian Transactional Credit Committee on 10 December 2021 approved a 99% Write off in the contest of Non Core rundown. Consequently, as of 31 December 2021 the exposures evaluated by applying the selling scenario approach at UniCredit S.p.A. were equal to €1,900 million. With reference to the credit exposures evaluated with the selling scenario as of 31 December 2021, the prices were updated in respect of those applied as of 31 December 2020, leading to additional LLPs for - €208 million fully attributable to UniCredit S.p.A.; in particular: • with reference to Market Benchmark (- €196 million), the prices were updated on the basis of the UniCredit’s portfolio eligible to be sold updated as of 30 September 2021, to which the 14 December 2021 prices resulting from the external advisors’ independent analysis were applied; • with reference to Internal Benchmark (- €12 million), the impact coming from: (i) the inclusion of certain transactions in the list of internal transactions included as reference point; (ii) the internal re-assessment of the portfolio cluster, and connected price, applied to each files based on the classification and collateral as of 30 September 2021. 2.3.4 Scenarios and Sensitivity The process defined to include multiple macroeconomic scenarios is fully consistent with forecast processes used by UniCredit group for additional risk management purposes (for example processes adopted to calculate expected credit losses from macroeconomic forecasts based on EBA stress test and ICAAP Framework). Similarly, to other processes (ICAAP) the scenarios are provided by the independent function of UniCredit Research function. Specifically, the Group has selected three macroeconomic scenarios to determine the forward-looking component of expected losses: a baseline scenario (“base scenario”), an improved scenario (“positive scenario”) with respect to baseline and a worsened scenario (“negative scenario”) with respect to baseline. The baseline scenario is the reference central scenario and therefore is considered to be the most probable realization. Positive and negative scenarios represent possible alternative realizations, respectively a better and a worst one compared to the baseline in terms of evolution of the economies of the countries in which the Group operates. For a description of main assumptions behind “base”, “positive” and “downturn” scenarios and related probability realization, refer to Part A - Accounting policies, A.1 General, Section 2 - General preparation criteria. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 319 2.3.2 Non-performing exposures With reference to impaired exposures (Stage 3) the expected recoverable amount, and therefore the expected credit loss, is the present value of future cash flows expected to be recovered, discounted at the original interest rate. Therefore, the main determinants of this value are: • the expected cash flows; • the expected timing of payments of these cash flows; • the effective interest rate used for discounting. Expected cash flows on defaulted exposures are calculated on an individual basis for “individually significant exposures”. Expected cash flows on already defaulted exposures that are not individually significant are calculated either on an individual or a collective basis. Where a Legal Entity has several individually significant exposures towards one single counterparty, each loan is individually assessed while also considering the overall position of the counterparty. Future cash flows must be estimated considering the historical trend of recovery for exposures having similar credit risk features. The historical trend in any case is adjusted so to embeds the current economic environment and the expected economic outlooks. 2.3.3 Selling scenarios In the assessment of impaired exposures (Stage 3), possible sales scenarios are also considered where the Group's NPE strategy envisages experiencing recovery through their sale to the market. For this purpose, the presumed recovery value of credit exposures classified as Bad Loans and Unlikely to Pay is determined as weighted average between two scenarios: • internal recovery scenario, whose expected recovery value is estimated assuming an internal work-out process according to what has previously been described; • sale scenario, whose expected recovery value is estimated assuming the sale of the exposures on the market. The expected sale price is determined considering market or internal information based on the following hierarchy: - prices deriving from past sales of impaired loans with homogeneous characteristics with those evaluated; - prices observable on the market for impaired loans with homogeneous characteristics with those evaluated; - internal evaluation models. On 22 December 2021, the Group Financial and Risk Committee approved the update of the disposal strategy by: • including further Core UTP positions for €583 million (~2,000 NDGs as of 31 December 2021) as part of the strategy aimed to optimize NPE value, also benefiting from the lack of impact on LGD models; • excluding Non Core illiquid Bad Loans unsecured positions (e.g., passive claims, seizures) equal to €35 million as of 31 December 2021, for which Italian Transactional Credit Committee on 10 December 2021 approved a 99% Write off in the contest of Non Core rundown. Consequently, as of 31 December 2021 the exposures evaluated by applying the selling scenario approach at UniCredit S.p.A. were equal to €1,900 million. With reference to the credit exposures evaluated with the selling scenario as of 31 December 2021, the prices were updated in respect of those applied as of 31 December 2020, leading to additional LLPs for - €208 million fully attributable to UniCredit S.p.A.; in particular: • with reference to Market Benchmark (- €196 million), the prices were updated on the basis of the UniCredit’s portfolio eligible to be sold updated as of 30 September 2021, to which the 14 December 2021 prices resulting from the external advisors’ independent analysis were applied; • with reference to Internal Benchmark (- €12 million), the impact coming from: (i) the inclusion of certain transactions in the list of internal transactions included as reference point; (ii) the internal re-assessment of the portfolio cluster, and connected price, applied to each files based on the classification and collateral as of 30 September 2021. 2.3.4 Scenarios and Sensitivity The process defined to include multiple macroeconomic scenarios is fully consistent with forecast processes used by UniCredit group for additional risk management purposes (for example processes adopted to calculate expected credit losses from macroeconomic forecasts based on EBA stress test and ICAAP Framework). Similarly, to other processes (ICAAP) the scenarios are provided by the independent function of UniCredit Research function. Specifically, the Group has selected three macroeconomic scenarios to determine the forward-looking component of expected losses: a baseline scenario (“base scenario”), an improved scenario (“positive scenario”) with respect to baseline and a worsened scenario (“negative scenario”) with respect to baseline. The baseline scenario is the reference central scenario and therefore is considered to be the most probable realization. Positive and negative scenarios represent possible alternative realizations, respectively a better and a worst one compared to the baseline in terms of evolution of the economies of the countries in which the Group operates. For a description of main assumptions behind “base”, “positive” and “downturn” scenarios and related probability realization, refer to Part A - Accounting policies, A.1 General, Section 2 - General preparation criteria. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 319 2.3.2 Non-performing exposures With reference to impaired exposures (Stage 3) the expected recoverable amount, and therefore the expected credit loss, is the present value of future cash flows expected to be recovered, discounted at the original interest rate. Therefore, the main determinants of this value are: • the expected cash flows; • the expected timing of payments of these cash flows; • the effective interest rate used for discounting. Expected cash flows on defaulted exposures are calculated on an individual basis for “individually significant exposures”. Expected cash flows on already defaulted exposures that are not individually significant are calculated either on an individual or a collective basis. Where a Legal Entity has several individually significant exposures towards one single counterparty, each loan is individually assessed while also considering the overall position of the counterparty. Future cash flows must be estimated considering the historical trend of recovery for exposures having similar credit risk features. The historical trend in any case is adjusted so to embeds the current economic environment and the expected economic outlooks. 2.3.3 Selling scenarios In the assessment of impaired exposures (Stage 3), possible sales scenarios are also considered where the Group's NPE strategy envisages experiencing recovery through their sale to the market. For this purpose, the presumed recovery value of credit exposures classified as Bad Loans and Unlikely to Pay is determined as weighted average between two scenarios: • internal recovery scenario, whose expected recovery value is estimated assuming an internal work-out process according to what has previously been described; • sale scenario, whose expected recovery value is estimated assuming the sale of the exposures on the market. The expected sale price is determined considering market or internal information based on the following hierarchy: - prices deriving from past sales of impaired loans with homogeneous characteristics with those evaluated; - prices observable on the market for impaired loans with homogeneous characteristics with those evaluated; - internal evaluation models. On 22 December 2021, the Group Financial and Risk Committee approved the update of the disposal strategy by: • including further Core UTP positions for €583 million (~2,000 NDGs as of 31 December 2021) as part of the strategy aimed to optimize NPE value, also benefiting from the lack of impact on LGD models; • excluding Non Core illiquid Bad Loans unsecured positions (e.g., passive claims, seizures) equal to €35 million as of 31 December 2021, for which Italian Transactional Credit Committee on 10 December 2021 approved a 99% Write off in the contest of Non Core rundown. Consequently, as of 31 December 2021 the exposures evaluated by applying the selling scenario approach at UniCredit S.p.A. were equal to €1,900 million. With reference to the credit exposures evaluated with the selling scenario as of 31 December 2021, the prices were updated in respect of those applied as of 31 December 2020, leading to additional LLPs for - €208 million fully attributable to UniCredit S.p.A.; in particular: • with reference to Market Benchmark (- €196 million), the prices were updated on the basis of the UniCredit’s portfolio eligible to be sold updated as of 30 September 2021, to which the 14 December 2021 prices resulting from the external advisors’ independent analysis were applied; • with reference to Internal Benchmark (- €12 million), the impact coming from: (i) the inclusion of certain transactions in the list of internal transactions included as reference point; (ii) the internal re-assessment of the portfolio cluster, and connected price, applied to each files based on the classification and collateral as of 30 September 2021. 2.3.4 Scenarios and Sensitivity The process defined to include multiple macroeconomic scenarios is fully consistent with forecast processes used by UniCredit group for additional risk management purposes (for example processes adopted to calculate expected credit losses from macroeconomic forecasts based on EBA stress test and ICAAP Framework). Similarly, to other processes (ICAAP) the scenarios are provided by the independent function of UniCredit Research function. Specifically, the Group has selected three macroeconomic scenarios to determine the forward-looking component of expected losses: a baseline scenario (“base scenario”), an improved scenario (“positive scenario”) with respect to baseline and a worsened scenario (“negative scenario”) with respect to baseline. The baseline scenario is the reference central scenario and therefore is considered to be the most probable realization. Positive and negative scenarios represent possible alternative realizations, respectively a better and a worst one compared to the baseline in terms of evolution of the economies of the countries in which the Group operates. For a description of main assumptions behind “base”, “positive” and “downturn” scenarios and related probability realization, refer to Part A - Accounting policies, A.1 General, Section 2 - General preparation criteria. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 319 2.3.2 Non-performing exposures With reference to impaired exposures (Stage 3) the expected recoverable amount, and therefore the expected credit loss, is the present value of future cash flows expected to be recovered, discounted at the original interest rate. Therefore, the main determinants of this value are: • the expected cash flows; • the expected timing of payments of these cash flows; • the effective interest rate used for discounting. Expected cash flows on defaulted exposures are calculated on an individual basis for “individually significant exposures”. Expected cash flows on already defaulted exposures that are not individually significant are calculated either on an individual or a collective basis. Where a Legal Entity has several individually significant exposures towards one single counterparty, each loan is individually assessed while also considering the overall position of the counterparty. Future cash flows must be estimated considering the historical trend of recovery for exposures having similar credit risk features. The historical trend in any case is adjusted so to embeds the current economic environment and the expected economic outlooks. 2.3.3 Selling scenarios In the assessment of impaired exposures (Stage 3), possible sales scenarios are also considered where the Group's NPE strategy envisages experiencing recovery through their sale to the market. For this purpose, the presumed recovery value of credit exposures classified as Bad Loans and Unlikely to Pay is determined as weighted average between two scenarios: • internal recovery scenario, whose expected recovery value is estimated assuming an internal work-out process according to what has previously been described; • sale scenario, whose expected recovery value is estimated assuming the sale of the exposures on the market. The expected sale price is determined considering market or internal information based on the following hierarchy: - prices deriving from past sales of impaired loans with homogeneous characteristics with those evaluated; - prices observable on the market for impaired loans with homogeneous characteristics with those evaluated; - internal evaluation models. On 22 December 2021, the Group Financial and Risk Committee approved the update of the disposal strategy by: • including further Core UTP positions for €583 million (~2,000 NDGs as of 31 December 2021) as part of the strategy aimed to optimize NPE value, also benefiting from the lack of impact on LGD models; • excluding Non Core illiquid Bad Loans unsecured positions (e.g., passive claims, seizures) equal to €35 million as of 31 December 2021, for which Italian Transactional Credit Committee on 10 December 2021 approved a 99% Write off in the contest of Non Core rundown. Consequently, as of 31 December 2021 the exposures evaluated by applying the selling scenario approach at UniCredit S.p.A. were equal to €1,900 million. With reference to the credit exposures evaluated with the selling scenario as of 31 December 2021, the prices were updated in respect of those applied as of 31 December 2020, leading to additional LLPs for - €208 million fully attributable to UniCredit S.p.A.; in particular: • with reference to Market Benchmark (- €196 million), the prices were updated on the basis of the UniCredit’s portfolio eligible to be sold updated as of 30 September 2021, to which the 14 December 2021 prices resulting from the external advisors’ independent analysis were applied; • with reference to Internal Benchmark (- €12 million), the impact coming from: (i) the inclusion of certain transactions in the list of internal transactions included as reference point; (ii) the internal re-assessment of the portfolio cluster, and connected price, applied to each files based on the classification and collateral as of 30 September 2021. 2.3.4 Scenarios and Sensitivity The process defined to include multiple macroeconomic scenarios is fully consistent with forecast processes used by UniCredit group for additional risk management purposes (for example processes adopted to calculate expected credit losses from macroeconomic forecasts based on EBA stress test and ICAAP Framework). Similarly, to other processes (ICAAP) the scenarios are provided by the independent function of UniCredit Research function. Specifically, the Group has selected three macroeconomic scenarios to determine the forward-looking component of expected losses: a baseline scenario (“base scenario”), an improved scenario (“positive scenario”) with respect to baseline and a worsened scenario (“negative scenario”) with respect to baseline. The baseline scenario is the reference central scenario and therefore is considered to be the most probable realization. Positive and negative scenarios represent possible alternative realizations, respectively a better and a worst one compared to the baseline in terms of evolution of the economies of the countries in which the Group operates. For a description of main assumptions behind “base”, “positive” and “downturn” scenarios and related probability realization, refer to Part A - Accounting policies, A.1 General, Section 2 - General preparation criteria. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 320 2021 Annual Report and Accounts · UniCredit Macroeconomic scenario resulted better than expected in 2021 (particularly for Italian perimeter). However, some downside risks are still present due to potential contagions resurgence and global crises on supply chain, calling to keep an approach on Loan Loss Provisions, in continuity with the second quarter 2021. In this regard, in line with the IFRS9 standard, it is worth noting that specific analyses were carried out on some variables underlying the macroeconomic scenario in order to assess their ability to reflect the current and the expected evolution of the economy. Indeed, since the second quarter 2021, with reference to the Italian retail portfolio, it was observed that certain macroeconomic variables (unemployment rate, disposable income, Wages Index, House Price Index) showed a rebound benefitting from the government relief aimed at providing economic recovery, such as layoff freezing, that - when removed - will likely determine a worsening of such economic values. Therefore, when updating the Macroeconomic Scenario with reference to the Italian retail portfolio, a prudent approach which kept frozen the related economic forecasts was confirmed in the fourth quarter 2021. The impact of the measure has been estimated at the date as of 30 September54 in ca. €140 million of write-down; furthermore, under the same reasons: • the Default Rate of Italian Small Business was adjusted to neutralize the effects arising from lowering interest rate, as done in the second quarter 2021; • industry adjustment has been kept frozen at the second quarter 2021, being considered more consistent with the potential downside risks in 2022. It is worth noting that compared with September 2021 (date in which macroeconomic scenarios were defined) uncertainties about the magnitude and the timing of economic recovery has increased. Indeed, ECB macroeconomic projections published in mid-December have reported the conditions for “downward revision to growth in the short term”. On the back of these evidence, showing additional uncertainties compared with September, the Group has decided to perform a managerial overlay leading to a substantially neutral impact of the macroeconomic scenarios update at UniCredit group level. In order to limit operational risk and given the tight timeframe, the overlay was applied to UniCredit S.p.A. enterprises perimeter (Corporate and Small Business), by recognizing approx. -€90 million of additional LLP. On top to the update of macroeconomic scenario, default rates and recovery rates underlying IFRS9 PD and LGD calibration have been updated accordingly in line with ordinary process. In this regard, it is worth reminding that since the fourth quarter 2020, and confirmed in the second quarter 2021, methodological measures were adopted to correct the default rates. Such upward measures deploy their effects not only on the ECL estimation, but also on the Staging allocation given the punctual effect on the IFRS PD at the reporting date; such methodological component limits the potential down-lift effect, the revert to Stage 1 bucket and potential asset deterioration for the portfolio currently benefiting from moratoria. Indeed, although moratoria resulted completely expired in almost all countries of the Group, the downside risks connected to Covid-19 pandemic resurgence across Europe and the prolonged effect (potentially expected also in the course of 2022) of the Supply bottleneck, made necessary for the moment to keep these upward adjustments in IFRS9 PD calibration. Furthermore, in order to consider the potential lagged effect of Covid-19 downturn in year 2020 over the Recovery Rates, the macroeconomic rebound expected in the forward-looking information has been complemented with Point-in-Time adjustment calibration55 based on 2020-2021 years. The update of the macroeconomic scenario, inclusive of methodological adjustments reported above, impacted for €93 million write-backs as of 31 December 2021 almost entirely attributable to the Loan portfolio (of which: €90 million write-backs for Italy, €6 million write-down for Germany, €14 million write-backs for Central Europe and €5 million write-down for Eastern Europe). As mentioned, on top of this amount a managerial overlay, counting for €90 million write-downs, has been recognized (all in UniCredit S.p.A.) aimed to keep an overall substantial neutrality on loan loss provisions for what pertain the macroeconomic scenario effect. On the full year, the update of the macroeconomic scenario has led to recognize an overall amount for €130 million of write-backs, almost entirely attributable to the Loan portfolio. Sensitivity of Expected Credit Losses (ECL) An estimation of how the IFRS9 ECL would have changed, by considering the alternative scenarios (positive and negative), was executed at Group level: • in the positive scenario the ECL would have decreased by about 8.1% (9.2% for UniCredit S.p.A.) equivalent to around €400 million (of which €178 million for UniCredit S.p.A.); • in the negative scenario the ECL would have increased by about 8.6% (8.8% for UniCredit S.p.A.) equivalent to around €427 million (of which €170 million for UniCredit S.p.A.). Moreover, a sensitivity to GDP variations embedded in the different scenarios was also estimated as the ratio of: • the difference between ECL estimated under the alternative scenarios and the one under the baseline; • the GDP points deviations (on 3 years cumulative basis) between alternative and baseline scenarios respectively. 54The impact has been estimated at 30 September 2021 in order to isolate the pure effect of the measure on the Private perimeter given the implementation, occurred in the fourth quarter 2021, of the new IRB rating system for the Private perimeter, redeveloped in the context of the convergence plan to the new regulatory requirements foreseen by the EBA Guidelines on PD and LGD models estimation (EBA/GL/2017/16). 55 Estimated by means of Recovery Rate models, RRM, unless already considered within Point-in-time adjustment methodology in place, thus incorporating 2020 downturn period. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 320 2021 Annual Report and Accounts · UniCredit Macroeconomic scenario resulted better than expected in 2021 (particularly for Italian perimeter). However, some downside risks are still present due to potential contagions resurgence and global crises on supply chain, calling to keep an approach on Loan Loss Provisions, in continuity with the second quarter 2021. In this regard, in line with the IFRS9 standard, it is worth noting that specific analyses were carried out on some variables underlying the macroeconomic scenario in order to assess their ability to reflect the current and the expected evolution of the economy. Indeed, since the second quarter 2021, with reference to the Italian retail portfolio, it was observed that certain macroeconomic variables (unemployment rate, disposable income, Wages Index, House Price Index) showed a rebound benefitting from the government relief aimed at providing economic recovery, such as layoff freezing, that - when removed - will likely determine a worsening of such economic values. Therefore, when updating the Macroeconomic Scenario with reference to the Italian retail portfolio, a prudent approach which kept frozen the related economic forecasts was confirmed in the fourth quarter 2021. The impact of the measure has been estimated at the date as of 30 September54 in ca. €140 million of write-down; furthermore, under the same reasons: • the Default Rate of Italian Small Business was adjusted to neutralize the effects arising from lowering interest rate, as done in the second quarter 2021; • industry adjustment has been kept frozen at the second quarter 2021, being considered more consistent with the potential downside risks in 2022. It is worth noting that compared with September 2021 (date in which macroeconomic scenarios were defined) uncertainties about the magnitude and the timing of economic recovery has increased. Indeed, ECB macroeconomic projections published in mid-December have reported the conditions for “downward revision to growth in the short term”. On the back of these evidence, showing additional uncertainties compared with September, the Group has decided to perform a managerial overlay leading to a substantially neutral impact of the macroeconomic scenarios update at UniCredit group level. In order to limit operational risk and given the tight timeframe, the overlay was applied to UniCredit S.p.A. enterprises perimeter (Corporate and Small Business), by recognizing approx. -€90 million of additional LLP. On top to the update of macroeconomic scenario, default rates and recovery rates underlying IFRS9 PD and LGD calibration have been updated accordingly in line with ordinary process. In this regard, it is worth reminding that since the fourth quarter 2020, and confirmed in the second quarter 2021, methodological measures were adopted to correct the default rates. Such upward measures deploy their effects not only on the ECL estimation, but also on the Staging allocation given the punctual effect on the IFRS PD at the reporting date; such methodological component limits the potential down-lift effect, the revert to Stage 1 bucket and potential asset deterioration for the portfolio currently benefiting from moratoria. Indeed, although moratoria resulted completely expired in almost all countries of the Group, the downside risks connected to Covid-19 pandemic resurgence across Europe and the prolonged effect (potentially expected also in the course of 2022) of the Supply bottleneck, made necessary for the moment to keep these upward adjustments in IFRS9 PD calibration. Furthermore, in order to consider the potential lagged effect of Covid-19 downturn in year 2020 over the Recovery Rates, the macroeconomic rebound expected in the forward-looking information has been complemented with Point-in-Time adjustment calibration55 based on 2020-2021 years. The update of the macroeconomic scenario, inclusive of methodological adjustments reported above, impacted for €93 million write-backs as of 31 December 2021 almost entirely attributable to the Loan portfolio (of which: €90 million write-backs for Italy, €6 million write-down for Germany, €14 million write-backs for Central Europe and €5 million write-down for Eastern Europe). As mentioned, on top of this amount a managerial overlay, counting for €90 million write-downs, has been recognized (all in UniCredit S.p.A.) aimed to keep an overall substantial neutrality on loan loss provisions for what pertain the macroeconomic scenario effect. On the full year, the update of the macroeconomic scenario has led to recognize an overall amount for €130 million of write-backs, almost entirely attributable to the Loan portfolio. Sensitivity of Expected Credit Losses (ECL) An estimation of how the IFRS9 ECL would have changed, by considering the alternative scenarios (positive and negative), was executed at Group level: • in the positive scenario the ECL would have decreased by about 8.1% (9.2% for UniCredit S.p.A.) equivalent to around €400 million (of which €178 million for UniCredit S.p.A.); • in the negative scenario the ECL would have increased by about 8.6% (8.8% for UniCredit S.p.A.) equivalent to around €427 million (of which €170 million for UniCredit S.p.A.). Moreover, a sensitivity to GDP variations embedded in the different scenarios was also estimated as the ratio of: • the difference between ECL estimated under the alternative scenarios and the one under the baseline; • the GDP points deviations (on 3 years cumulative basis) between alternative and baseline scenarios respectively. 54The impact has been estimated at 30 September 2021 in order to isolate the pure effect of the measure on the Private perimeter given the implementation, occurred in the fourth quarter 2021, of the new IRB rating system for the Private perimeter, redeveloped in the context of the convergence plan to the new regulatory requirements foreseen by the EBA Guidelines on PD and LGD models estimation (EBA/GL/2017/16). 55 Estimated by means of Recovery Rate models, RRM, unless already considered within Point-in-time adjustment methodology in place, thus incorporating 2020 downturn period. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 320 2021 Annual Report and Accounts · UniCredit Macroeconomic scenario resulted better than expected in 2021 (particularly for Italian perimeter). However, some downside risks are still present due to potential contagions resurgence and global crises on supply chain, calling to keep an approach on Loan Loss Provisions, in continuity with the second quarter 2021. In this regard, in line with the IFRS9 standard, it is worth noting that specific analyses were carried out on some variables underlying the macroeconomic scenario in order to assess their ability to reflect the current and the expected evolution of the economy. Indeed, since the second quarter 2021, with reference to the Italian retail portfolio, it was observed that certain macroeconomic variables (unemployment rate, disposable income, Wages Index, House Price Index) showed a rebound benefitting from the government relief aimed at providing economic recovery, such as layoff freezing, that - when removed - will likely determine a worsening of such economic values. Therefore, when updating the Macroeconomic Scenario with reference to the Italian retail portfolio, a prudent approach which kept frozen the related economic forecasts was confirmed in the fourth quarter 2021. The impact of the measure has been estimated at the date as of 30 September54 in ca. €140 million of write-down; furthermore, under the same reasons: • the Default Rate of Italian Small Business was adjusted to neutralize the effects arising from lowering interest rate, as done in the second quarter 2021; • industry adjustment has been kept frozen at the second quarter 2021, being considered more consistent with the potential downside risks in 2022. It is worth noting that compared with September 2021 (date in which macroeconomic scenarios were defined) uncertainties about the magnitude and the timing of economic recovery has increased. Indeed, ECB macroeconomic projections published in mid-December have reported the conditions for “downward revision to growth in the short term”. On the back of these evidence, showing additional uncertainties compared with September, the Group has decided to perform a managerial overlay leading to a substantially neutral impact of the macroeconomic scenarios update at UniCredit group level. In order to limit operational risk and given the tight timeframe, the overlay was applied to UniCredit S.p.A. enterprises perimeter (Corporate and Small Business), by recognizing approx. -€90 million of additional LLP. On top to the update of macroeconomic scenario, default rates and recovery rates underlying IFRS9 PD and LGD calibration have been updated accordingly in line with ordinary process. In this regard, it is worth reminding that since the fourth quarter 2020, and confirmed in the second quarter 2021, methodological measures were adopted to correct the default rates. Such upward measures deploy their effects not only on the ECL estimation, but also on the Staging allocation given the punctual effect on the IFRS PD at the reporting date; such methodological component limits the potential down-lift effect, the revert to Stage 1 bucket and potential asset deterioration for the portfolio currently benefiting from moratoria. Indeed, although moratoria resulted completely expired in almost all countries of the Group, the downside risks connected to Covid-19 pandemic resurgence across Europe and the prolonged effect (potentially expected also in the course of 2022) of the Supply bottleneck, made necessary for the moment to keep these upward adjustments in IFRS9 PD calibration. Furthermore, in order to consider the potential lagged effect of Covid-19 downturn in year 2020 over the Recovery Rates, the macroeconomic rebound expected in the forward-looking information has been complemented with Point-in-Time adjustment calibration55 based on 2020-2021 years. The update of the macroeconomic scenario, inclusive of methodological adjustments reported above, impacted for €93 million write-backs as of 31 December 2021 almost entirely attributable to the Loan portfolio (of which: €90 million write-backs for Italy, €6 million write-down for Germany, €14 million write-backs for Central Europe and €5 million write-down for Eastern Europe). As mentioned, on top of this amount a managerial overlay, counting for €90 million write-downs, has been recognized (all in UniCredit S.p.A.) aimed to keep an overall substantial neutrality on loan loss provisions for what pertain the macroeconomic scenario effect. On the full year, the update of the macroeconomic scenario has led to recognize an overall amount for €130 million of write-backs, almost entirely attributable to the Loan portfolio. Sensitivity of Expected Credit Losses (ECL) An estimation of how the IFRS9 ECL would have changed, by considering the alternative scenarios (positive and negative), was executed at Group level: • in the positive scenario the ECL would have decreased by about 8.1% (9.2% for UniCredit S.p.A.) equivalent to around €400 million (of which €178 million for UniCredit S.p.A.); • in the negative scenario the ECL would have increased by about 8.6% (8.8% for UniCredit S.p.A.) equivalent to around €427 million (of which €170 million for UniCredit S.p.A.). Moreover, a sensitivity to GDP variations embedded in the different scenarios was also estimated as the ratio of: • the difference between ECL estimated under the alternative scenarios and the one under the baseline; • the GDP points deviations (on 3 years cumulative basis) between alternative and baseline scenarios respectively. 54The impact has been estimated at 30 September 2021 in order to isolate the pure effect of the measure on the Private perimeter given the implementation, occurred in the fourth quarter 2021, of the new IRB rating system for the Private perimeter, redeveloped in the context of the convergence plan to the new regulatory requirements foreseen by the EBA Guidelines on PD and LGD models estimation (EBA/GL/2017/16). 55 Estimated by means of Recovery Rate models, RRM, unless already considered within Point-in-time adjustment methodology in place, thus incorporating 2020 downturn period. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 320 2021 Annual Report and Accounts · UniCredit Macroeconomic scenario resulted better than expected in 2021 (particularly for Italian perimeter). However, some downside risks are still present due to potential contagions resurgence and global crises on supply chain, calling to keep an approach on Loan Loss Provisions, in continuity with the second quarter 2021. In this regard, in line with the IFRS9 standard, it is worth noting that specific analyses were carried out on some variables underlying the macroeconomic scenario in order to assess their ability to reflect the current and the expected evolution of the economy. Indeed, since the second quarter 2021, with reference to the Italian retail portfolio, it was observed that certain macroeconomic variables (unemployment rate, disposable income, Wages Index, House Price Index) showed a rebound benefitting from the government relief aimed at providing economic recovery, such as layoff freezing, that - when removed - will likely determine a worsening of such economic values. Therefore, when updating the Macroeconomic Scenario with reference to the Italian retail portfolio, a prudent approach which kept frozen the related economic forecasts was confirmed in the fourth quarter 2021. The impact of the measure has been estimated at the date as of 30 September54 in ca. €140 million of write-down; furthermore, under the same reasons: • the Default Rate of Italian Small Business was adjusted to neutralize the effects arising from lowering interest rate, as done in the second quarter 2021; • industry adjustment has been kept frozen at the second quarter 2021, being considered more consistent with the potential downside risks in 2022. It is worth noting that compared with September 2021 (date in which macroeconomic scenarios were defined) uncertainties about the magnitude and the timing of economic recovery has increased. Indeed, ECB macroeconomic projections published in mid-December have reported the conditions for “downward revision to growth in the short term”. On the back of these evidence, showing additional uncertainties compared with September, the Group has decided to perform a managerial overlay leading to a substantially neutral impact of the macroeconomic scenarios update at UniCredit group level. In order to limit operational risk and given the tight timeframe, the overlay was applied to UniCredit S.p.A. enterprises perimeter (Corporate and Small Business), by recognizing approx. -€90 million of additional LLP. On top to the update of macroeconomic scenario, default rates and recovery rates underlying IFRS9 PD and LGD calibration have been updated accordingly in line with ordinary process. In this regard, it is worth reminding that since the fourth quarter 2020, and confirmed in the second quarter 2021, methodological measures were adopted to correct the default rates. Such upward measures deploy their effects not only on the ECL estimation, but also on the Staging allocation given the punctual effect on the IFRS PD at the reporting date; such methodological component limits the potential down-lift effect, the revert to Stage 1 bucket and potential asset deterioration for the portfolio currently benefiting from moratoria. Indeed, although moratoria resulted completely expired in almost all countries of the Group, the downside risks connected to Covid-19 pandemic resurgence across Europe and the prolonged effect (potentially expected also in the course of 2022) of the Supply bottleneck, made necessary for the moment to keep these upward adjustments in IFRS9 PD calibration. Furthermore, in order to consider the potential lagged effect of Covid-19 downturn in year 2020 over the Recovery Rates, the macroeconomic rebound expected in the forward-looking information has been complemented with Point-in-Time adjustment calibration55 based on 2020-2021 years. The update of the macroeconomic scenario, inclusive of methodological adjustments reported above, impacted for €93 million write-backs as of 31 December 2021 almost entirely attributable to the Loan portfolio (of which: €90 million write-backs for Italy, €6 million write-down for Germany, €14 million write-backs for Central Europe and €5 million write-down for Eastern Europe). As mentioned, on top of this amount a managerial overlay, counting for €90 million write-downs, has been recognized (all in UniCredit S.p.A.) aimed to keep an overall substantial neutrality on loan loss provisions for what pertain the macroeconomic scenario effect. On the full year, the update of the macroeconomic scenario has led to recognize an overall amount for €130 million of write-backs, almost entirely attributable to the Loan portfolio. Sensitivity of Expected Credit Losses (ECL) An estimation of how the IFRS9 ECL would have changed, by considering the alternative scenarios (positive and negative), was executed at Group level: • in the positive scenario the ECL would have decreased by about 8.1% (9.2% for UniCredit S.p.A.) equivalent to around €400 million (of which €178 million for UniCredit S.p.A.); • in the negative scenario the ECL would have increased by about 8.6% (8.8% for UniCredit S.p.A.) equivalent to around €427 million (of which €170 million for UniCredit S.p.A.). Moreover, a sensitivity to GDP variations embedded in the different scenarios was also estimated as the ratio of: • the difference between ECL estimated under the alternative scenarios and the one under the baseline; • the GDP points deviations (on 3 years cumulative basis) between alternative and baseline scenarios respectively. 54The impact has been estimated at 30 September 2021 in order to isolate the pure effect of the measure on the Private perimeter given the implementation, occurred in the fourth quarter 2021, of the new IRB rating system for the Private perimeter, redeveloped in the context of the convergence plan to the new regulatory requirements foreseen by the EBA Guidelines on PD and LGD models estimation (EBA/GL/2017/16). 55 Estimated by means of Recovery Rate models, RRM, unless already considered within Point-in-time adjustment methodology in place, thus incorporating 2020 downturn period. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 320 2021 Annual Report and Accounts · UniCredit Macroeconomic scenario resulted better than expected in 2021 (particularly for Italian perimeter). However, some downside risks are still present due to potential contagions resurgence and global crises on supply chain, calling to keep an approach on Loan Loss Provisions, in continuity with the second quarter 2021. In this regard, in line with the IFRS9 standard, it is worth noting that specific analyses were carried out on some variables underlying the macroeconomic scenario in order to assess their ability to reflect the current and the expected evolution of the economy. Indeed, since the second quarter 2021, with reference to the Italian retail portfolio, it was observed that certain macroeconomic variables (unemployment rate, disposable income, Wages Index, House Price Index) showed a rebound benefitting from the government relief aimed at providing economic recovery, such as layoff freezing, that - when removed - will likely determine a worsening of such economic values. Therefore, when updating the Macroeconomic Scenario with reference to the Italian retail portfolio, a prudent approach which kept frozen the related economic forecasts was confirmed in the fourth quarter 2021. The impact of the measure has been estimated at the date as of 30 September54 in ca. €140 million of write-down; furthermore, under the same reasons: • the Default Rate of Italian Small Business was adjusted to neutralize the effects arising from lowering interest rate, as done in the second quarter 2021; • industry adjustment has been kept frozen at the second quarter 2021, being considered more consistent with the potential downside risks in 2022. It is worth noting that compared with September 2021 (date in which macroeconomic scenarios were defined) uncertainties about the magnitude and the timing of economic recovery has increased. Indeed, ECB macroeconomic projections published in mid-December have reported the conditions for “downward revision to growth in the short term”. On the back of these evidence, showing additional uncertainties compared with September, the Group has decided to perform a managerial overlay leading to a substantially neutral impact of the macroeconomic scenarios update at UniCredit group level. In order to limit operational risk and given the tight timeframe, the overlay was applied to UniCredit S.p.A. enterprises perimeter (Corporate and Small Business), by recognizing approx. -€90 million of additional LLP. On top to the update of macroeconomic scenario, default rates and recovery rates underlying IFRS9 PD and LGD calibration have been updated accordingly in line with ordinary process. In this regard, it is worth reminding that since the fourth quarter 2020, and confirmed in the second quarter 2021, methodological measures were adopted to correct the default rates. Such upward measures deploy their effects not only on the ECL estimation, but also on the Staging allocation given the punctual effect on the IFRS PD at the reporting date; such methodological component limits the potential down-lift effect, the revert to Stage 1 bucket and potential asset deterioration for the portfolio currently benefiting from moratoria. Indeed, although moratoria resulted completely expired in almost all countries of the Group, the downside risks connected to Covid-19 pandemic resurgence across Europe and the prolonged effect (potentially expected also in the course of 2022) of the Supply bottleneck, made necessary for the moment to keep these upward adjustments in IFRS9 PD calibration. Furthermore, in order to consider the potential lagged effect of Covid-19 downturn in year 2020 over the Recovery Rates, the macroeconomic rebound expected in the forward-looking information has been complemented with Point-in-Time adjustment calibration55 based on 2020-2021 years. The update of the macroeconomic scenario, inclusive of methodological adjustments reported above, impacted for €93 million write-backs as of 31 December 2021 almost entirely attributable to the Loan portfolio (of which: €90 million write-backs for Italy, €6 million write-down for Germany, €14 million write-backs for Central Europe and €5 million write-down for Eastern Europe). As mentioned, on top of this amount a managerial overlay, counting for €90 million write-downs, has been recognized (all in UniCredit S.p.A.) aimed to keep an overall substantial neutrality on loan loss provisions for what pertain the macroeconomic scenario effect. On the full year, the update of the macroeconomic scenario has led to recognize an overall amount for €130 million of write-backs, almost entirely attributable to the Loan portfolio. Sensitivity of Expected Credit Losses (ECL) An estimation of how the IFRS9 ECL would have changed, by considering the alternative scenarios (positive and negative), was executed at Group level: • in the positive scenario the ECL would have decreased by about 8.1% (9.2% for UniCredit S.p.A.) equivalent to around €400 million (of which €178 million for UniCredit S.p.A.); • in the negative scenario the ECL would have increased by about 8.6% (8.8% for UniCredit S.p.A.) equivalent to around €427 million (of which €170 million for UniCredit S.p.A.). Moreover, a sensitivity to GDP variations embedded in the different scenarios was also estimated as the ratio of: • the difference between ECL estimated under the alternative scenarios and the one under the baseline; • the GDP points deviations (on 3 years cumulative basis) between alternative and baseline scenarios respectively. 54The impact has been estimated at 30 September 2021 in order to isolate the pure effect of the measure on the Private perimeter given the implementation, occurred in the fourth quarter 2021, of the new IRB rating system for the Private perimeter, redeveloped in the context of the convergence plan to the new regulatory requirements foreseen by the EBA Guidelines on PD and LGD models estimation (EBA/GL/2017/16). 55 Estimated by means of Recovery Rate models, RRM, unless already considered within Point-in-time adjustment methodology in place, thus incorporating 2020 downturn period. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 321 Implied assumptions are: • GDP forecast (over 3 years) is assumed to be the most relevant economic factor as indicator of scenario severity; • for each Legal Entity the GDP of the reference country is considered for the calculation of the respective sensitivity (e.g., for UniCredit S.p.A. the Italian GDP was considered, for UniCredit Bank AG the German GDP, etc.). The results considering the current IFRS9 scenarios and portfolio are the following: • for 1 point of GDP rise (cumulated over 3 Years) the ECL at Group level is estimated to decrease by -1.9% (-2.3% for UniCredit S.p.A.); • for 1 point of GDP drop (cumulated over 3 years) the ECL at Group level is estimated to increase by +1.7% (+1.7% for UniCredit S.p.A.). 2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR) In the context of the Covid-19 pandemic, specific initiatives have been put in place in order to ensure a proper assessment of the significant increase of the Credit Risk. Indeed, the crisis related to Covid-19 pandemic cannot be considered a normal recession driven by business cycle dynamics as the macroeconomic shock is completely exogenous (i.e. lockdown) and may trigger asymmetric medium-term effects across different industry sectors. In light of the persistence of the pandemic within the entire 2021 and the likely effect that may stem from it in the next year, specific measures, already adopted since 31 December 2020 figures, were confimed for the 31 December 2021 reporting date as well. Firstly, a methodological approach has been designed for the Italian perimeter, thus covering UniCredit S.p.A., UniCredit Factoring S.p.A. and UniCredit Leasing S.p.A., with the aim to correct the IFRS9 Probability of Default according to the expected increase in credit risk due to the specificity of the industry. More in details, starting from the forward-looking default rates resulting from the adoption of UniCredit Research baseline scenario, a breakdown by economic sector was carried out in order to identify the areas most affected by the pandemic (this activity was also conducted with the support of an external advisor). The IFRS9 Probability of Default parameter has therefore been adjusted upwards (or downwards), considering the year-on-year deviation of the sector default rate from the average value for the entire economy. This adjustment also generated a potential classification of the related exposures in Stage 2, based on comparison with the Probability of Default at the time of disbursement. In the other Group legal entities, outside Italy, dedicated analyses have been done leveraging on Industry-specific Risk Indexes provided by the same external advisor, also considering forward-looking information related to the country of reference. In particular, analyses have been conducted for UniCredit Bank AG, UniCredit Bank Austria AG, UniCredit Czech Republic and Slovakia a.s., AO UniCredit Bank (Russia), UniCredit Romania S.A., Zagrebacka Banka d.d., UniCredit Bulbank AD and UniCredit Bank Hungary Zrt. According to the outcome of such analysis, and impact materiality, loan loss provisions adjustments have been recognised as well as the potential classification into Stage 2. Secondly, UniCredit has deemed necessary to confirm also for 31 December 2021 the strengthened criteria for the Significant Increase in Credit Risk (SICR) assessment on customers. Particularly, besides, where present, specific proactive staging measures tailored according to local characteristics of the portfolio, the upward corrective factors already applied since the 31 December 2020 figures and confirmed in the updated calibration of IFRS models for the 31 December 2021 reporting date, deploy their effects not only on the ECL estimation but also on the Staging allocation. Indeed, given the punctual recognition on the IFRS9 PD at the reporting date, this limits the potential down-lift effect, as well as the revert to Stage 1 bucket, avoiding to neglect potential asset deterioration for the portfolio having benefited from support of moratoria or other protection schemes. In this regard, mainly for UniCredit S.p.A., given the relevance of prorogated payment moratoria and the improvement trend of the PD estimates likely due to the mere effect of payment suspension/rescheduling more than effective improvement of the clients fundamentals, a dedicated measure has been deployed since 30 June 2021.Particularly, the PD estimates for clients benefiting from payment moratoria still in place have been floored to the last value representative of a situation before Covid-19 outbreak. The measure, applied on Corporate and Retail portfolio in Italy and in Retail portfolio of Hungary (i.e. in the two geographies of the Group with still presence of portfolios under payment moratoria), will remain in place at each client level until moratoria expiration and for the subsequent three months. This measure has led to recognise at the time of its adoption, 30 June 2021, write-downs for -€68 million almost entirely attributable to the loan portfolio. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. Furthermore, in Italy, with reference to Corporate, Small Business and Leasing, the SICR assessment leveraged during 2020 on some initiative based on: (i) Financial distress indicators, by monitoring balance sheet and some rating indicators; (ii) Industry/Sector forward looking view, also leveraging on input from external provider based on the forward-looking effects of Covid-19 virus. By crossing the financial distress indicators with the Industry/Sector view, a matrix has been set-up which makes it possible to group counterparties on the basis of the above-mentioned dimensions. Therefore, counterparties belonging to the riskiest sections of this matrix have been classified as Stage 2 since a significant worsening of credit risk has been assessed for them. Finally, for Mortgages and Consumer loans under moratoria (excluding those granted to public sector and retired persons) classified under Stage 1 and, with specific reference to Mortgage, having higher probability of default have been migrated to Stage 2. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 321 Implied assumptions are: • GDP forecast (over 3 years) is assumed to be the most relevant economic factor as indicator of scenario severity; • for each Legal Entity the GDP of the reference country is considered for the calculation of the respective sensitivity (e.g., for UniCredit S.p.A. the Italian GDP was considered, for UniCredit Bank AG the German GDP, etc.). The results considering the current IFRS9 scenarios and portfolio are the following: • for 1 point of GDP rise (cumulated over 3 Years) the ECL at Group level is estimated to decrease by -1.9% (-2.3% for UniCredit S.p.A.); • for 1 point of GDP drop (cumulated over 3 years) the ECL at Group level is estimated to increase by +1.7% (+1.7% for UniCredit S.p.A.). 2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR) In the context of the Covid-19 pandemic, specific initiatives have been put in place in order to ensure a proper assessment of the significant increase of the Credit Risk. Indeed, the crisis related to Covid-19 pandemic cannot be considered a normal recession driven by business cycle dynamics as the macroeconomic shock is completely exogenous (i.e. lockdown) and may trigger asymmetric medium-term effects across different industry sectors. In light of the persistence of the pandemic within the entire 2021 and the likely effect that may stem from it in the next year, specific measures, already adopted since 31 December 2020 figures, were confimed for the 31 December 2021 reporting date as well. Firstly, a methodological approach has been designed for the Italian perimeter, thus covering UniCredit S.p.A., UniCredit Factoring S.p.A. and UniCredit Leasing S.p.A., with the aim to correct the IFRS9 Probability of Default according to the expected increase in credit risk due to the specificity of the industry. More in details, starting from the forward-looking default rates resulting from the adoption of UniCredit Research baseline scenario, a breakdown by economic sector was carried out in order to identify the areas most affected by the pandemic (this activity was also conducted with the support of an external advisor). The IFRS9 Probability of Default parameter has therefore been adjusted upwards (or downwards), considering the year-on-year deviation of the sector default rate from the average value for the entire economy. This adjustment also generated a potential classification of the related exposures in Stage 2, based on comparison with the Probability of Default at the time of disbursement. In the other Group legal entities, outside Italy, dedicated analyses have been done leveraging on Industry-specific Risk Indexes provided by the same external advisor, also considering forward-looking information related to the country of reference. In particular, analyses have been conducted for UniCredit Bank AG, UniCredit Bank Austria AG, UniCredit Czech Republic and Slovakia a.s., AO UniCredit Bank (Russia), UniCredit Romania S.A., Zagrebacka Banka d.d., UniCredit Bulbank AD and UniCredit Bank Hungary Zrt. According to the outcome of such analysis, and impact materiality, loan loss provisions adjustments have been recognised as well as the potential classification into Stage 2. Secondly, UniCredit has deemed necessary to confirm also for 31 December 2021 the strengthened criteria for the Significant Increase in Credit Risk (SICR) assessment on customers. Particularly, besides, where present, specific proactive staging measures tailored according to local characteristics of the portfolio, the upward corrective factors already applied since the 31 December 2020 figures and confirmed in the updated calibration of IFRS models for the 31 December 2021 reporting date, deploy their effects not only on the ECL estimation but also on the Staging allocation. Indeed, given the punctual recognition on the IFRS9 PD at the reporting date, this limits the potential down-lift effect, as well as the revert to Stage 1 bucket, avoiding to neglect potential asset deterioration for the portfolio having benefited from support of moratoria or other protection schemes. In this regard, mainly for UniCredit S.p.A., given the relevance of prorogated payment moratoria and the improvement trend of the PD estimates likely due to the mere effect of payment suspension/rescheduling more than effective improvement of the clients fundamentals, a dedicated measure has been deployed since 30 June 2021.Particularly, the PD estimates for clients benefiting from payment moratoria still in place have been floored to the last value representative of a situation before Covid-19 outbreak. The measure, applied on Corporate and Retail portfolio in Italy and in Retail portfolio of Hungary (i.e. in the two geographies of the Group with still presence of portfolios under payment moratoria), will remain in place at each client level until moratoria expiration and for the subsequent three months. This measure has led to recognise at the time of its adoption, 30 June 2021, write-downs for -€68 million almost entirely attributable to the loan portfolio. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. Furthermore, in Italy, with reference to Corporate, Small Business and Leasing, the SICR assessment leveraged during 2020 on some initiative based on: (i) Financial distress indicators, by monitoring balance sheet and some rating indicators; (ii) Industry/Sector forward looking view, also leveraging on input from external provider based on the forward-looking effects of Covid-19 virus. By crossing the financial distress indicators with the Industry/Sector view, a matrix has been set-up which makes it possible to group counterparties on the basis of the above-mentioned dimensions. Therefore, counterparties belonging to the riskiest sections of this matrix have been classified as Stage 2 since a significant worsening of credit risk has been assessed for them. Finally, for Mortgages and Consumer loans under moratoria (excluding those granted to public sector and retired persons) classified under Stage 1 and, with specific reference to Mortgage, having higher probability of default have been migrated to Stage 2. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 321 Implied assumptions are: • GDP forecast (over 3 years) is assumed to be the most relevant economic factor as indicator of scenario severity; • for each Legal Entity the GDP of the reference country is considered for the calculation of the respective sensitivity (e.g., for UniCredit S.p.A. the Italian GDP was considered, for UniCredit Bank AG the German GDP, etc.). The results considering the current IFRS9 scenarios and portfolio are the following: • for 1 point of GDP rise (cumulated over 3 Years) the ECL at Group level is estimated to decrease by -1.9% (-2.3% for UniCredit S.p.A.); • for 1 point of GDP drop (cumulated over 3 years) the ECL at Group level is estimated to increase by +1.7% (+1.7% for UniCredit S.p.A.). 2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR) In the context of the Covid-19 pandemic, specific initiatives have been put in place in order to ensure a proper assessment of the significant increase of the Credit Risk. Indeed, the crisis related to Covid-19 pandemic cannot be considered a normal recession driven by business cycle dynamics as the macroeconomic shock is completely exogenous (i.e. lockdown) and may trigger asymmetric medium-term effects across different industry sectors. In light of the persistence of the pandemic within the entire 2021 and the likely effect that may stem from it in the next year, specific measures, already adopted since 31 December 2020 figures, were confimed for the 31 December 2021 reporting date as well. Firstly, a methodological approach has been designed for the Italian perimeter, thus covering UniCredit S.p.A., UniCredit Factoring S.p.A. and UniCredit Leasing S.p.A., with the aim to correct the IFRS9 Probability of Default according to the expected increase in credit risk due to the specificity of the industry. More in details, starting from the forward-looking default rates resulting from the adoption of UniCredit Research baseline scenario, a breakdown by economic sector was carried out in order to identify the areas most affected by the pandemic (this activity was also conducted with the support of an external advisor). The IFRS9 Probability of Default parameter has therefore been adjusted upwards (or downwards), considering the year-on-year deviation of the sector default rate from the average value for the entire economy. This adjustment also generated a potential classification of the related exposures in Stage 2, based on comparison with the Probability of Default at the time of disbursement. In the other Group legal entities, outside Italy, dedicated analyses have been done leveraging on Industry-specific Risk Indexes provided by the same external advisor, also considering forward-looking information related to the country of reference. In particular, analyses have been conducted for UniCredit Bank AG, UniCredit Bank Austria AG, UniCredit Czech Republic and Slovakia a.s., AO UniCredit Bank (Russia), UniCredit Romania S.A., Zagrebacka Banka d.d., UniCredit Bulbank AD and UniCredit Bank Hungary Zrt. According to the outcome of such analysis, and impact materiality, loan loss provisions adjustments have been recognised as well as the potential classification into Stage 2. Secondly, UniCredit has deemed necessary to confirm also for 31 December 2021 the strengthened criteria for the Significant Increase in Credit Risk (SICR) assessment on customers. Particularly, besides, where present, specific proactive staging measures tailored according to local characteristics of the portfolio, the upward corrective factors already applied since the 31 December 2020 figures and confirmed in the updated calibration of IFRS models for the 31 December 2021 reporting date, deploy their effects not only on the ECL estimation but also on the Staging allocation. Indeed, given the punctual recognition on the IFRS9 PD at the reporting date, this limits the potential down-lift effect, as well as the revert to Stage 1 bucket, avoiding to neglect potential asset deterioration for the portfolio having benefited from support of moratoria or other protection schemes. In this regard, mainly for UniCredit S.p.A., given the relevance of prorogated payment moratoria and the improvement trend of the PD estimates likely due to the mere effect of payment suspension/rescheduling more than effective improvement of the clients fundamentals, a dedicated measure has been deployed since 30 June 2021.Particularly, the PD estimates for clients benefiting from payment moratoria still in place have been floored to the last value representative of a situation before Covid-19 outbreak. The measure, applied on Corporate and Retail portfolio in Italy and in Retail portfolio of Hungary (i.e. in the two geographies of the Group with still presence of portfolios under payment moratoria), will remain in place at each client level until moratoria expiration and for the subsequent three months. This measure has led to recognise at the time of its adoption, 30 June 2021, write-downs for -€68 million almost entirely attributable to the loan portfolio. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. Furthermore, in Italy, with reference to Corporate, Small Business and Leasing, the SICR assessment leveraged during 2020 on some initiative based on: (i) Financial distress indicators, by monitoring balance sheet and some rating indicators; (ii) Industry/Sector forward looking view, also leveraging on input from external provider based on the forward-looking effects of Covid-19 virus. By crossing the financial distress indicators with the Industry/Sector view, a matrix has been set-up which makes it possible to group counterparties on the basis of the above-mentioned dimensions. Therefore, counterparties belonging to the riskiest sections of this matrix have been classified as Stage 2 since a significant worsening of credit risk has been assessed for them. Finally, for Mortgages and Consumer loans under moratoria (excluding those granted to public sector and retired persons) classified under Stage 1 and, with specific reference to Mortgage, having higher probability of default have been migrated to Stage 2. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 321 Implied assumptions are: • GDP forecast (over 3 years) is assumed to be the most relevant economic factor as indicator of scenario severity; • for each Legal Entity the GDP of the reference country is considered for the calculation of the respective sensitivity (e.g., for UniCredit S.p.A. the Italian GDP was considered, for UniCredit Bank AG the German GDP, etc.). The results considering the current IFRS9 scenarios and portfolio are the following: • for 1 point of GDP rise (cumulated over 3 Years) the ECL at Group level is estimated to decrease by -1.9% (-2.3% for UniCredit S.p.A.); • for 1 point of GDP drop (cumulated over 3 years) the ECL at Group level is estimated to increase by +1.7% (+1.7% for UniCredit S.p.A.). 2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR) In the context of the Covid-19 pandemic, specific initiatives have been put in place in order to ensure a proper assessment of the significant increase of the Credit Risk. Indeed, the crisis related to Covid-19 pandemic cannot be considered a normal recession driven by business cycle dynamics as the macroeconomic shock is completely exogenous (i.e. lockdown) and may trigger asymmetric medium-term effects across different industry sectors. In light of the persistence of the pandemic within the entire 2021 and the likely effect that may stem from it in the next year, specific measures, already adopted since 31 December 2020 figures, were confimed for the 31 December 2021 reporting date as well. Firstly, a methodological approach has been designed for the Italian perimeter, thus covering UniCredit S.p.A., UniCredit Factoring S.p.A. and UniCredit Leasing S.p.A., with the aim to correct the IFRS9 Probability of Default according to the expected increase in credit risk due to the specificity of the industry. More in details, starting from the forward-looking default rates resulting from the adoption of UniCredit Research baseline scenario, a breakdown by economic sector was carried out in order to identify the areas most affected by the pandemic (this activity was also conducted with the support of an external advisor). The IFRS9 Probability of Default parameter has therefore been adjusted upwards (or downwards), considering the year-on-year deviation of the sector default rate from the average value for the entire economy. This adjustment also generated a potential classification of the related exposures in Stage 2, based on comparison with the Probability of Default at the time of disbursement. In the other Group legal entities, outside Italy, dedicated analyses have been done leveraging on Industry-specific Risk Indexes provided by the same external advisor, also considering forward-looking information related to the country of reference. In particular, analyses have been conducted for UniCredit Bank AG, UniCredit Bank Austria AG, UniCredit Czech Republic and Slovakia a.s., AO UniCredit Bank (Russia), UniCredit Romania S.A., Zagrebacka Banka d.d., UniCredit Bulbank AD and UniCredit Bank Hungary Zrt. According to the outcome of such analysis, and impact materiality, loan loss provisions adjustments have been recognised as well as the potential classification into Stage 2. Secondly, UniCredit has deemed necessary to confirm also for 31 December 2021 the strengthened criteria for the Significant Increase in Credit Risk (SICR) assessment on customers. Particularly, besides, where present, specific proactive staging measures tailored according to local characteristics of the portfolio, the upward corrective factors already applied since the 31 December 2020 figures and confirmed in the updated calibration of IFRS models for the 31 December 2021 reporting date, deploy their effects not only on the ECL estimation but also on the Staging allocation. Indeed, given the punctual recognition on the IFRS9 PD at the reporting date, this limits the potential down-lift effect, as well as the revert to Stage 1 bucket, avoiding to neglect potential asset deterioration for the portfolio having benefited from support of moratoria or other protection schemes. In this regard, mainly for UniCredit S.p.A., given the relevance of prorogated payment moratoria and the improvement trend of the PD estimates likely due to the mere effect of payment suspension/rescheduling more than effective improvement of the clients fundamentals, a dedicated measure has been deployed since 30 June 2021.Particularly, the PD estimates for clients benefiting from payment moratoria still in place have been floored to the last value representative of a situation before Covid-19 outbreak. The measure, applied on Corporate and Retail portfolio in Italy and in Retail portfolio of Hungary (i.e. in the two geographies of the Group with still presence of portfolios under payment moratoria), will remain in place at each client level until moratoria expiration and for the subsequent three months. This measure has led to recognise at the time of its adoption, 30 June 2021, write-downs for -€68 million almost entirely attributable to the loan portfolio. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. Furthermore, in Italy, with reference to Corporate, Small Business and Leasing, the SICR assessment leveraged during 2020 on some initiative based on: (i) Financial distress indicators, by monitoring balance sheet and some rating indicators; (ii) Industry/Sector forward looking view, also leveraging on input from external provider based on the forward-looking effects of Covid-19 virus. By crossing the financial distress indicators with the Industry/Sector view, a matrix has been set-up which makes it possible to group counterparties on the basis of the above-mentioned dimensions. Therefore, counterparties belonging to the riskiest sections of this matrix have been classified as Stage 2 since a significant worsening of credit risk has been assessed for them. Finally, for Mortgages and Consumer loans under moratoria (excluding those granted to public sector and retired persons) classified under Stage 1 and, with specific reference to Mortgage, having higher probability of default have been migrated to Stage 2. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 321 Implied assumptions are: • GDP forecast (over 3 years) is assumed to be the most relevant economic factor as indicator of scenario severity; • for each Legal Entity the GDP of the reference country is considered for the calculation of the respective sensitivity (e.g., for UniCredit S.p.A. the Italian GDP was considered, for UniCredit Bank AG the German GDP, etc.). The results considering the current IFRS9 scenarios and portfolio are the following: • for 1 point of GDP rise (cumulated over 3 Years) the ECL at Group level is estimated to decrease by -1.9% (-2.3% for UniCredit S.p.A.); • for 1 point of GDP drop (cumulated over 3 years) the ECL at Group level is estimated to increase by +1.7% (+1.7% for UniCredit S.p.A.). 2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR) In the context of the Covid-19 pandemic, specific initiatives have been put in place in order to ensure a proper assessment of the significant increase of the Credit Risk. Indeed, the crisis related to Covid-19 pandemic cannot be considered a normal recession driven by business cycle dynamics as the macroeconomic shock is completely exogenous (i.e. lockdown) and may trigger asymmetric medium-term effects across different industry sectors. In light of the persistence of the pandemic within the entire 2021 and the likely effect that may stem from it in the next year, specific measures, already adopted since 31 December 2020 figures, were confimed for the 31 December 2021 reporting date as well. Firstly, a methodological approach has been designed for the Italian perimeter, thus covering UniCredit S.p.A., UniCredit Factoring S.p.A. and UniCredit Leasing S.p.A., with the aim to correct the IFRS9 Probability of Default according to the expected increase in credit risk due to the specificity of the industry. More in details, starting from the forward-looking default rates resulting from the adoption of UniCredit Research baseline scenario, a breakdown by economic sector was carried out in order to identify the areas most affected by the pandemic (this activity was also conducted with the support of an external advisor). The IFRS9 Probability of Default parameter has therefore been adjusted upwards (or downwards), considering the year-on-year deviation of the sector default rate from the average value for the entire economy. This adjustment also generated a potential classification of the related exposures in Stage 2, based on comparison with the Probability of Default at the time of disbursement. In the other Group legal entities, outside Italy, dedicated analyses have been done leveraging on Industry-specific Risk Indexes provided by the same external advisor, also considering forward-looking information related to the country of reference. In particular, analyses have been conducted for UniCredit Bank AG, UniCredit Bank Austria AG, UniCredit Czech Republic and Slovakia a.s., AO UniCredit Bank (Russia), UniCredit Romania S.A., Zagrebacka Banka d.d., UniCredit Bulbank AD and UniCredit Bank Hungary Zrt. According to the outcome of such analysis, and impact materiality, loan loss provisions adjustments have been recognised as well as the potential classification into Stage 2. Secondly, UniCredit has deemed necessary to confirm also for 31 December 2021 the strengthened criteria for the Significant Increase in Credit Risk (SICR) assessment on customers. Particularly, besides, where present, specific proactive staging measures tailored according to local characteristics of the portfolio, the upward corrective factors already applied since the 31 December 2020 figures and confirmed in the updated calibration of IFRS models for the 31 December 2021 reporting date, deploy their effects not only on the ECL estimation but also on the Staging allocation. Indeed, given the punctual recognition on the IFRS9 PD at the reporting date, this limits the potential down-lift effect, as well as the revert to Stage 1 bucket, avoiding to neglect potential asset deterioration for the portfolio having benefited from support of moratoria or other protection schemes. In this regard, mainly for UniCredit S.p.A., given the relevance of prorogated payment moratoria and the improvement trend of the PD estimates likely due to the mere effect of payment suspension/rescheduling more than effective improvement of the clients fundamentals, a dedicated measure has been deployed since 30 June 2021.Particularly, the PD estimates for clients benefiting from payment moratoria still in place have been floored to the last value representative of a situation before Covid-19 outbreak. The measure, applied on Corporate and Retail portfolio in Italy and in Retail portfolio of Hungary (i.e. in the two geographies of the Group with still presence of portfolios under payment moratoria), will remain in place at each client level until moratoria expiration and for the subsequent three months. This measure has led to recognise at the time of its adoption, 30 June 2021, write-downs for -€68 million almost entirely attributable to the loan portfolio. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. Furthermore, in Italy, with reference to Corporate, Small Business and Leasing, the SICR assessment leveraged during 2020 on some initiative based on: (i) Financial distress indicators, by monitoring balance sheet and some rating indicators; (ii) Industry/Sector forward looking view, also leveraging on input from external provider based on the forward-looking effects of Covid-19 virus. By crossing the financial distress indicators with the Industry/Sector view, a matrix has been set-up which makes it possible to group counterparties on the basis of the above-mentioned dimensions. Therefore, counterparties belonging to the riskiest sections of this matrix have been classified as Stage 2 since a significant worsening of credit risk has been assessed for them. Finally, for Mortgages and Consumer loans under moratoria (excluding those granted to public sector and retired persons) classified under Stage 1 and, with specific reference to Mortgage, having higher probability of default have been migrated to Stage 2. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 322 2021 Annual Report and Accounts · UniCredit In light of the “opt-in” nature of the moratorium extension in Italy, which is related to clients still needing for additional payments rescheduling, a higher loss risk profile is expected. Therefore, to cope with the potential hidden cliff-effect and in order to recognise in a holistic basis the overall expected credit loss risk profile, an overlay for the perimeters asking for moratoria prolongation in Italy has been introduced in second quarter 2021; the aim is smoothing, in terms of loan loss provisions, the potential increase in defaults (cliff effect) that may arise when moratoria measures will expire. With reference to such scope of exposures, the overlay consisted in: • classifying exposures into Stage 2 (if not yet Stage 2), on the back of the observation that these counterparties, given the explicit request (opt-in) to prolong moratoria, inherently embed a potential higher default risk once moratoria will cease; • setting the average coverage ratio of the opt-in portfolio at least to the average Stage 2 coverage rate reported in March 2020 (before Covid-19 outbreak displayed its effects), hence recognising a coverage level more representative of Stage 2 portfolio riskiness in normal conditions. This overlay has led to recognise at the time of its adoption, 30 June 2021, write-downs for -€153 million entirely attributable to the loan portfolio. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. On the back of this initiative, in 3Q2021 a UTP assessment has been performed on riskiest Opt-in Moratoria Exposures in order to assess the degree of risk of such credit exposures. Such assessment has led to identify, at the time of its adoption, 30 June 2021, credit exposures which are potentially UTP for €0.2 billion out of €2 billion in scope of assessment (majority in highest rating classes) with a resulting 10% default rate. In addition to UTP classification of the identified credit exposures, such assessment has indicated a higher degree of risk of the overall portfolio which must be reflected in its valuation of risk. As a result: • all transactions of the clients under Opt-in moratoria have been proactively moved to Stage 2 and their coverage ratio has been aligned to pre-crisis level at client level (as mentioned, in 2Q2021 only exposure under opt-in moratoria were classified into Stage 2); • all Clients with worse rating classes assumed additional coverage consistent with the expectation that 10% of those positions will default. Such initiative has led to recognise at the time of first implementation, 30 September 2021, write-downs for -€160 million. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. Similarly, specific managerial overlay measure has been foreseen in Hungary following up instructions on classification and minimum provisions coverage provided, in end of November 2021, by Central Bank of Hungary in consideration of moratoria extension occurred in the 4Q 2021. Beside the additional Staging measures put in place to cope with the extraordinary Covid-19 contingency, the usual IFRS9 ordinary framework remains up and running without any kind of relaxation of the existing qualitative staging criteria. Particularly: (i) Forbearance classification (potentially relevant for moratoria not compliant with EBA Guidelines) and 30 days past due trigger are always considered Stage 2 qualitative classification events; (ii) additional qualitative events for Stage 2 classification (e.g., certain kinds of credit monitoring watchlist classifications) are considered in UniCredit group IFRS9 Framework and applied by Legal Entities. Similarly, to the qualitative criteria for staging, also for the quantitative ones based on internal thresholds set according to the IFRS9 methodologies in place since FTA have been kept up-and-running without any kind of relaxations. 2.4 Credit risk mitigation techniques UniCredit group uses various credit risk mitigation techniques to reduce potential credit losses in case of the obligor default, consistently with the “Revised Framework of International Convergence of Capital Measures and Rules” (Basel) on the subject of Credit Risk Mitigation techniques (hereafter “CRM”). Moreover, consistent with the “Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms (CRR)”, UniCredit group is firmly committed to satisfy the requirements for recognition of CRM techniques, according to the different approaches adopted (Standardised, Foundation IRB or Advanced IRB), both for internal use in operations and for regulatory capital purposes as necessary for the calculation of credit risk capital requirement. At the moment specific Group guidelines are in force, issued by the Parent Company, defining group-wide rules and principles with the aim to guide, govern and standardise the credit risk mitigation management, best practice, as well as in accordance with the relevant regulatory requirements. Such Guidelines pursue several objectives: • to encourage collateral and guarantees optimal management; • to maximize the mitigating effect of collateral and guarantees on defaulted loans; • to attain positive effect on Group capital requirements, ensuring that local CRM practices meet minimum requirements provided in CRR. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 322 2021 Annual Report and Accounts · UniCredit In light of the “opt-in” nature of the moratorium extension in Italy, which is related to clients still needing for additional payments rescheduling, a higher loss risk profile is expected. Therefore, to cope with the potential hidden cliff-effect and in order to recognise in a holistic basis the overall expected credit loss risk profile, an overlay for the perimeters asking for moratoria prolongation in Italy has been introduced in second quarter 2021; the aim is smoothing, in terms of loan loss provisions, the potential increase in defaults (cliff effect) that may arise when moratoria measures will expire. With reference to such scope of exposures, the overlay consisted in: • classifying exposures into Stage 2 (if not yet Stage 2), on the back of the observation that these counterparties, given the explicit request (opt-in) to prolong moratoria, inherently embed a potential higher default risk once moratoria will cease; • setting the average coverage ratio of the opt-in portfolio at least to the average Stage 2 coverage rate reported in March 2020 (before Covid-19 outbreak displayed its effects), hence recognising a coverage level more representative of Stage 2 portfolio riskiness in normal conditions. This overlay has led to recognise at the time of its adoption, 30 June 2021, write-downs for -€153 million entirely attributable to the loan portfolio. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. On the back of this initiative, in 3Q2021 a UTP assessment has been performed on riskiest Opt-in Moratoria Exposures in order to assess the degree of risk of such credit exposures. Such assessment has led to identify, at the time of its adoption, 30 June 2021, credit exposures which are potentially UTP for €0.2 billion out of €2 billion in scope of assessment (majority in highest rating classes) with a resulting 10% default rate. In addition to UTP classification of the identified credit exposures, such assessment has indicated a higher degree of risk of the overall portfolio which must be reflected in its valuation of risk. As a result: • all transactions of the clients under Opt-in moratoria have been proactively moved to Stage 2 and their coverage ratio has been aligned to pre-crisis level at client level (as mentioned, in 2Q2021 only exposure under opt-in moratoria were classified into Stage 2); • all Clients with worse rating classes assumed additional coverage consistent with the expectation that 10% of those positions will default. Such initiative has led to recognise at the time of first implementation, 30 September 2021, write-downs for -€160 million. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. Similarly, specific managerial overlay measure has been foreseen in Hungary following up instructions on classification and minimum provisions coverage provided, in end of November 2021, by Central Bank of Hungary in consideration of moratoria extension occurred in the 4Q 2021. Beside the additional Staging measures put in place to cope with the extraordinary Covid-19 contingency, the usual IFRS9 ordinary framework remains up and running without any kind of relaxation of the existing qualitative staging criteria. Particularly: (i) Forbearance classification (potentially relevant for moratoria not compliant with EBA Guidelines) and 30 days past due trigger are always considered Stage 2 qualitative classification events; (ii) additional qualitative events for Stage 2 classification (e.g., certain kinds of credit monitoring watchlist classifications) are considered in UniCredit group IFRS9 Framework and applied by Legal Entities. Similarly, to the qualitative criteria for staging, also for the quantitative ones based on internal thresholds set according to the IFRS9 methodologies in place since FTA have been kept up-and-running without any kind of relaxations. 2.4 Credit risk mitigation techniques UniCredit group uses various credit risk mitigation techniques to reduce potential credit losses in case of the obligor default, consistently with the “Revised Framework of International Convergence of Capital Measures and Rules” (Basel) on the subject of Credit Risk Mitigation techniques (hereafter “CRM”). Moreover, consistent with the “Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms (CRR)”, UniCredit group is firmly committed to satisfy the requirements for recognition of CRM techniques, according to the different approaches adopted (Standardised, Foundation IRB or Advanced IRB), both for internal use in operations and for regulatory capital purposes as necessary for the calculation of credit risk capital requirement. At the moment specific Group guidelines are in force, issued by the Parent Company, defining group-wide rules and principles with the aim to guide, govern and standardise the credit risk mitigation management, best practice, as well as in accordance with the relevant regulatory requirements. Such Guidelines pursue several objectives: • to encourage collateral and guarantees optimal management; • to maximize the mitigating effect of collateral and guarantees on defaulted loans; • to attain positive effect on Group capital requirements, ensuring that local CRM practices meet minimum requirements provided in CRR. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 322 2021 Annual Report and Accounts · UniCredit In light of the “opt-in” nature of the moratorium extension in Italy, which is related to clients still needing for additional payments rescheduling, a higher loss risk profile is expected. Therefore, to cope with the potential hidden cliff-effect and in order to recognise in a holistic basis the overall expected credit loss risk profile, an overlay for the perimeters asking for moratoria prolongation in Italy has been introduced in second quarter 2021; the aim is smoothing, in terms of loan loss provisions, the potential increase in defaults (cliff effect) that may arise when moratoria measures will expire. With reference to such scope of exposures, the overlay consisted in: • classifying exposures into Stage 2 (if not yet Stage 2), on the back of the observation that these counterparties, given the explicit request (opt-in) to prolong moratoria, inherently embed a potential higher default risk once moratoria will cease; • setting the average coverage ratio of the opt-in portfolio at least to the average Stage 2 coverage rate reported in March 2020 (before Covid-19 outbreak displayed its effects), hence recognising a coverage level more representative of Stage 2 portfolio riskiness in normal conditions. This overlay has led to recognise at the time of its adoption, 30 June 2021, write-downs for -€153 million entirely attributable to the loan portfolio. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. On the back of this initiative, in 3Q2021 a UTP assessment has been performed on riskiest Opt-in Moratoria Exposures in order to assess the degree of risk of such credit exposures. Such assessment has led to identify, at the time of its adoption, 30 June 2021, credit exposures which are potentially UTP for €0.2 billion out of €2 billion in scope of assessment (majority in highest rating classes) with a resulting 10% default rate. In addition to UTP classification of the identified credit exposures, such assessment has indicated a higher degree of risk of the overall portfolio which must be reflected in its valuation of risk. As a result: • all transactions of the clients under Opt-in moratoria have been proactively moved to Stage 2 and their coverage ratio has been aligned to pre-crisis level at client level (as mentioned, in 2Q2021 only exposure under opt-in moratoria were classified into Stage 2); • all Clients with worse rating classes assumed additional coverage consistent with the expectation that 10% of those positions will default. Such initiative has led to recognise at the time of first implementation, 30 September 2021, write-downs for -€160 million. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. Similarly, specific managerial overlay measure has been foreseen in Hungary following up instructions on classification and minimum provisions coverage provided, in end of November 2021, by Central Bank of Hungary in consideration of moratoria extension occurred in the 4Q 2021. Beside the additional Staging measures put in place to cope with the extraordinary Covid-19 contingency, the usual IFRS9 ordinary framework remains up and running without any kind of relaxation of the existing qualitative staging criteria. Particularly: (i) Forbearance classification (potentially relevant for moratoria not compliant with EBA Guidelines) and 30 days past due trigger are always considered Stage 2 qualitative classification events; (ii) additional qualitative events for Stage 2 classification (e.g., certain kinds of credit monitoring watchlist classifications) are considered in UniCredit group IFRS9 Framework and applied by Legal Entities. Similarly, to the qualitative criteria for staging, also for the quantitative ones based on internal thresholds set according to the IFRS9 methodologies in place since FTA have been kept up-and-running without any kind of relaxations. 2.4 Credit risk mitigation techniques UniCredit group uses various credit risk mitigation techniques to reduce potential credit losses in case of the obligor default, consistently with the “Revised Framework of International Convergence of Capital Measures and Rules” (Basel) on the subject of Credit Risk Mitigation techniques (hereafter “CRM”). Moreover, consistent with the “Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms (CRR)”, UniCredit group is firmly committed to satisfy the requirements for recognition of CRM techniques, according to the different approaches adopted (Standardised, Foundation IRB or Advanced IRB), both for internal use in operations and for regulatory capital purposes as necessary for the calculation of credit risk capital requirement. At the moment specific Group guidelines are in force, issued by the Parent Company, defining group-wide rules and principles with the aim to guide, govern and standardise the credit risk mitigation management, best practice, as well as in accordance with the relevant regulatory requirements. Such Guidelines pursue several objectives: • to encourage collateral and guarantees optimal management; • to maximize the mitigating effect of collateral and guarantees on defaulted loans; • to attain positive effect on Group capital requirements, ensuring that local CRM practices meet minimum requirements provided in CRR. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 322 2021 Annual Report and Accounts · UniCredit In light of the “opt-in” nature of the moratorium extension in Italy, which is related to clients still needing for additional payments rescheduling, a higher loss risk profile is expected. Therefore, to cope with the potential hidden cliff-effect and in order to recognise in a holistic basis the overall expected credit loss risk profile, an overlay for the perimeters asking for moratoria prolongation in Italy has been introduced in second quarter 2021; the aim is smoothing, in terms of loan loss provisions, the potential increase in defaults (cliff effect) that may arise when moratoria measures will expire. With reference to such scope of exposures, the overlay consisted in: • classifying exposures into Stage 2 (if not yet Stage 2), on the back of the observation that these counterparties, given the explicit request (opt-in) to prolong moratoria, inherently embed a potential higher default risk once moratoria will cease; • setting the average coverage ratio of the opt-in portfolio at least to the average Stage 2 coverage rate reported in March 2020 (before Covid-19 outbreak displayed its effects), hence recognising a coverage level more representative of Stage 2 portfolio riskiness in normal conditions. This overlay has led to recognise at the time of its adoption, 30 June 2021, write-downs for -€153 million entirely attributable to the loan portfolio. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. On the back of this initiative, in 3Q2021 a UTP assessment has been performed on riskiest Opt-in Moratoria Exposures in order to assess the degree of risk of such credit exposures. Such assessment has led to identify, at the time of its adoption, 30 June 2021, credit exposures which are potentially UTP for €0.2 billion out of €2 billion in scope of assessment (majority in highest rating classes) with a resulting 10% default rate. In addition to UTP classification of the identified credit exposures, such assessment has indicated a higher degree of risk of the overall portfolio which must be reflected in its valuation of risk. As a result: • all transactions of the clients under Opt-in moratoria have been proactively moved to Stage 2 and their coverage ratio has been aligned to pre-crisis level at client level (as mentioned, in 2Q2021 only exposure under opt-in moratoria were classified into Stage 2); • all Clients with worse rating classes assumed additional coverage consistent with the expectation that 10% of those positions will default. Such initiative has led to recognise at the time of first implementation, 30 September 2021, write-downs for -€160 million. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. Similarly, specific managerial overlay measure has been foreseen in Hungary following up instructions on classification and minimum provisions coverage provided, in end of November 2021, by Central Bank of Hungary in consideration of moratoria extension occurred in the 4Q 2021. Beside the additional Staging measures put in place to cope with the extraordinary Covid-19 contingency, the usual IFRS9 ordinary framework remains up and running without any kind of relaxation of the existing qualitative staging criteria. Particularly: (i) Forbearance classification (potentially relevant for moratoria not compliant with EBA Guidelines) and 30 days past due trigger are always considered Stage 2 qualitative classification events; (ii) additional qualitative events for Stage 2 classification (e.g., certain kinds of credit monitoring watchlist classifications) are considered in UniCredit group IFRS9 Framework and applied by Legal Entities. Similarly, to the qualitative criteria for staging, also for the quantitative ones based on internal thresholds set according to the IFRS9 methodologies in place since FTA have been kept up-and-running without any kind of relaxations. 2.4 Credit risk mitigation techniques UniCredit group uses various credit risk mitigation techniques to reduce potential credit losses in case of the obligor default, consistently with the “Revised Framework of International Convergence of Capital Measures and Rules” (Basel) on the subject of Credit Risk Mitigation techniques (hereafter “CRM”). Moreover, consistent with the “Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms (CRR)”, UniCredit group is firmly committed to satisfy the requirements for recognition of CRM techniques, according to the different approaches adopted (Standardised, Foundation IRB or Advanced IRB), both for internal use in operations and for regulatory capital purposes as necessary for the calculation of credit risk capital requirement. At the moment specific Group guidelines are in force, issued by the Parent Company, defining group-wide rules and principles with the aim to guide, govern and standardise the credit risk mitigation management, best practice, as well as in accordance with the relevant regulatory requirements. Such Guidelines pursue several objectives: • to encourage collateral and guarantees optimal management; • to maximize the mitigating effect of collateral and guarantees on defaulted loans; • to attain positive effect on Group capital requirements, ensuring that local CRM practices meet minimum requirements provided in CRR. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 322 2021 Annual Report and Accounts · UniCredit In light of the “opt-in” nature of the moratorium extension in Italy, which is related to clients still needing for additional payments rescheduling, a higher loss risk profile is expected. Therefore, to cope with the potential hidden cliff-effect and in order to recognise in a holistic basis the overall expected credit loss risk profile, an overlay for the perimeters asking for moratoria prolongation in Italy has been introduced in second quarter 2021; the aim is smoothing, in terms of loan loss provisions, the potential increase in defaults (cliff effect) that may arise when moratoria measures will expire. With reference to such scope of exposures, the overlay consisted in: • classifying exposures into Stage 2 (if not yet Stage 2), on the back of the observation that these counterparties, given the explicit request (opt-in) to prolong moratoria, inherently embed a potential higher default risk once moratoria will cease; • setting the average coverage ratio of the opt-in portfolio at least to the average Stage 2 coverage rate reported in March 2020 (before Covid-19 outbreak displayed its effects), hence recognising a coverage level more representative of Stage 2 portfolio riskiness in normal conditions. This overlay has led to recognise at the time of its adoption, 30 June 2021, write-downs for -€153 million entirely attributable to the loan portfolio. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. On the back of this initiative, in 3Q2021 a UTP assessment has been performed on riskiest Opt-in Moratoria Exposures in order to assess the degree of risk of such credit exposures. Such assessment has led to identify, at the time of its adoption, 30 June 2021, credit exposures which are potentially UTP for €0.2 billion out of €2 billion in scope of assessment (majority in highest rating classes) with a resulting 10% default rate. In addition to UTP classification of the identified credit exposures, such assessment has indicated a higher degree of risk of the overall portfolio which must be reflected in its valuation of risk. As a result: • all transactions of the clients under Opt-in moratoria have been proactively moved to Stage 2 and their coverage ratio has been aligned to pre-crisis level at client level (as mentioned, in 2Q2021 only exposure under opt-in moratoria were classified into Stage 2); • all Clients with worse rating classes assumed additional coverage consistent with the expectation that 10% of those positions will default. Such initiative has led to recognise at the time of first implementation, 30 September 2021, write-downs for -€160 million. Since this date the loan loss provision related to these exposures have been measured in accordance with the processes described in this section. Similarly, specific managerial overlay measure has been foreseen in Hungary following up instructions on classification and minimum provisions coverage provided, in end of November 2021, by Central Bank of Hungary in consideration of moratoria extension occurred in the 4Q 2021. Beside the additional Staging measures put in place to cope with the extraordinary Covid-19 contingency, the usual IFRS9 ordinary framework remains up and running without any kind of relaxation of the existing qualitative staging criteria. Particularly: (i) Forbearance classification (potentially relevant for moratoria not compliant with EBA Guidelines) and 30 days past due trigger are always considered Stage 2 qualitative classification events; (ii) additional qualitative events for Stage 2 classification (e.g., certain kinds of credit monitoring watchlist classifications) are considered in UniCredit group IFRS9 Framework and applied by Legal Entities. Similarly, to the qualitative criteria for staging, also for the quantitative ones based on internal thresholds set according to the IFRS9 methodologies in place since FTA have been kept up-and-running without any kind of relaxations. 2.4 Credit risk mitigation techniques UniCredit group uses various credit risk mitigation techniques to reduce potential credit losses in case of the obligor default, consistently with the “Revised Framework of International Convergence of Capital Measures and Rules” (Basel) on the subject of Credit Risk Mitigation techniques (hereafter “CRM”). Moreover, consistent with the “Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms (CRR)”, UniCredit group is firmly committed to satisfy the requirements for recognition of CRM techniques, according to the different approaches adopted (Standardised, Foundation IRB or Advanced IRB), both for internal use in operations and for regulatory capital purposes as necessary for the calculation of credit risk capital requirement. At the moment specific Group guidelines are in force, issued by the Parent Company, defining group-wide rules and principles with the aim to guide, govern and standardise the credit risk mitigation management, best practice, as well as in accordance with the relevant regulatory requirements. Such Guidelines pursue several objectives: • to encourage collateral and guarantees optimal management; • to maximize the mitigating effect of collateral and guarantees on defaulted loans; • to attain positive effect on Group capital requirements, ensuring that local CRM practices meet minimum requirements provided in CRR. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 323 Moreover, all legal entities have adopted internal regulations, specifying processes, strategies, and procedures for collateral management. In particular such internal regulations detail, according to each Country's local legal system, collateral eligibility, acquisition, valuation and monitoring rules and ensure, among others, the soundness, legal enforceability and timely liquidation of valuable collateral. Collateral management assessments and credit risk mitigation compliance verification have been performed by the Group’s legal entities, specifically as part of Internal Rating System applications, in order to assess the presence of adequate documentation and procedure concerning the credit risk mitigation instruments used for supervisory capital. Credit risk mitigation instruments can be accepted only to support loans and cannot serve as a substitute for the borrower’s ability to meet its obligations. For this reason, they have to be evaluated and analysed in the credit application along with the assessment of the creditworthiness, emphasizing the importance of the “legal certainty” requirement for all collaterals and guarantees, as well as their suitability, in addition to the overall analysis of the borrowers’ credit worthiness and of his repayment capacity, with the aim to verify their viability to support the repayment of the exposure. Legal Entities shall put in place all necessary actions to: • fulfill the respect of any contractual and legal requirements, and take all steps necessary to ensure the enforceability of the collateral/guarantee arrangements under the applicable law; • carry out sufficient legal reviews confirming the enforceability of the collateral/guarantee arrangements on the parties and in the relevant jurisdictions. Legal Entities conduct such review, as applicable, to ensure enforceability and suitability for the entire term of the underlying collateralized credit exposure. Any collateral/guarantee can be considered adequate if it is consistent with the underlying credit exposure and, for guarantees, when there are no relevant risks towards the protection provider. Collateral management assessments and Credit Risk Mitigation compliance verifications on the risk mitigations techniques are performed by the Legal Entities, specifically as part of the wider process of internal validation on rating systems and of IRB methods roll-out activities on Group Legal Entities. The management system of credit risk mitigation techniques is embedded in the credit approval process and in the credit risk monitoring process, to support the evaluation and data quality checks of collaterals/guarantees and their appropriate linking to the categories defined for LGD estimates purposes. Controls and related responsibilities are duly formalised and documented in internal rules. Furthermore, processes are implemented to control that all the relevant information regarding the identification and evaluation of the credit protection are correctly registered in the system. In the collateral acquisition phase, UniCredit group emphasises the importance of processes and controls of the legal certainty requirements of the protection, as well as the assessment of the suitability of the collateral or guarantee. In case of personal guarantees, the protection provider (or the protection seller in case of credit default swap) has to be assessed in order to measure his/her credit worthiness and risk profile. Monitoring processes of credit risk mitigation techniques ensure that general and specific requirements set by credit policies, internal and regulatory rules are met over the time. Policies and processes for, and an indication of the extent to which the Group makes use of, on - and off - balance sheet netting In general, netting agreements on balance sheet of reciprocal credit exposures between the Bank and its counterparty are considered eligible if they are legally effective and enforceable in all relevant jurisdictions, including in the event of default or bankruptcy of counterparty, and if they meet the following operational conditions: • provide for the netting of gains and losses on transactions cleared under the master agreement so that a single net amount is owed by one party to the other; • fulfil the minimum requirements for recognition of financial collateral (valuation requirements and monitoring). In general, Group Legal Entities can apply netting agreements only if they are able at any time to determine the position netting value (assets and liabilities with the same counterparty that are subject to the netting agreement), monitoring and controlling debts, credit and netting value. UniCredit group makes use of netting instruments mainly for OTC derivatives, repos and securities lending transactions where the counterparties are, generally, Corporate and Financial Institutions. The primary objective of the bank is to cover with netting agreements as many as possible transactions in order to reduce utilization of credit lines and to release the amount of required regulatory capital. In this regard, a special policy (“Global Policy - Counterparty Credit Risk Governance") has been issued aiming at defining an efficient and comprehensive framework for collateral management to safeguard the bank from avoidable risk-taking. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 323 Moreover, all legal entities have adopted internal regulations, specifying processes, strategies, and procedures for collateral management. In particular such internal regulations detail, according to each Country's local legal system, collateral eligibility, acquisition, valuation and monitoring rules and ensure, among others, the soundness, legal enforceability and timely liquidation of valuable collateral. Collateral management assessments and credit risk mitigation compliance verification have been performed by the Group’s legal entities, specifically as part of Internal Rating System applications, in order to assess the presence of adequate documentation and procedure concerning the credit risk mitigation instruments used for supervisory capital. Credit risk mitigation instruments can be accepted only to support loans and cannot serve as a substitute for the borrower’s ability to meet its obligations. For this reason, they have to be evaluated and analysed in the credit application along with the assessment of the creditworthiness, emphasizing the importance of the “legal certainty” requirement for all collaterals and guarantees, as well as their suitability, in addition to the overall analysis of the borrowers’ credit worthiness and of his repayment capacity, with the aim to verify their viability to support the repayment of the exposure. Legal Entities shall put in place all necessary actions to: • fulfill the respect of any contractual and legal requirements, and take all steps necessary to ensure the enforceability of the collateral/guarantee arrangements under the applicable law; • carry out sufficient legal reviews confirming the enforceability of the collateral/guarantee arrangements on the parties and in the relevant jurisdictions. Legal Entities conduct such review, as applicable, to ensure enforceability and suitability for the entire term of the underlying collateralized credit exposure. Any collateral/guarantee can be considered adequate if it is consistent with the underlying credit exposure and, for guarantees, when there are no relevant risks towards the protection provider. Collateral management assessments and Credit Risk Mitigation compliance verifications on the risk mitigations techniques are performed by the Legal Entities, specifically as part of the wider process of internal validation on rating systems and of IRB methods roll-out activities on Group Legal Entities. The management system of credit risk mitigation techniques is embedded in the credit approval process and in the credit risk monitoring process, to support the evaluation and data quality checks of collaterals/guarantees and their appropriate linking to the categories defined for LGD estimates purposes. Controls and related responsibilities are duly formalised and documented in internal rules. Furthermore, processes are implemented to control that all the relevant information regarding the identification and evaluation of the credit protection are correctly registered in the system. In the collateral acquisition phase, UniCredit group emphasises the importance of processes and controls of the legal certainty requirements of the protection, as well as the assessment of the suitability of the collateral or guarantee. In case of personal guarantees, the protection provider (or the protection seller in case of credit default swap) has to be assessed in order to measure his/her credit worthiness and risk profile. Monitoring processes of credit risk mitigation techniques ensure that general and specific requirements set by credit policies, internal and regulatory rules are met over the time. Policies and processes for, and an indication of the extent to which the Group makes use of, on - and off - balance sheet netting In general, netting agreements on balance sheet of reciprocal credit exposures between the Bank and its counterparty are considered eligible if they are legally effective and enforceable in all relevant jurisdictions, including in the event of default or bankruptcy of counterparty, and if they meet the following operational conditions: • provide for the netting of gains and losses on transactions cleared under the master agreement so that a single net amount is owed by one party to the other; • fulfil the minimum requirements for recognition of financial collateral (valuation requirements and monitoring). In general, Group Legal Entities can apply netting agreements only if they are able at any time to determine the position netting value (assets and liabilities with the same counterparty that are subject to the netting agreement), monitoring and controlling debts, credit and netting value. UniCredit group makes use of netting instruments mainly for OTC derivatives, repos and securities lending transactions where the counterparties are, generally, Corporate and Financial Institutions. The primary objective of the bank is to cover with netting agreements as many as possible transactions in order to reduce utilization of credit lines and to release the amount of required regulatory capital. In this regard, a special policy (“Global Policy - Counterparty Credit Risk Governance") has been issued aiming at defining an efficient and comprehensive framework for collateral management to safeguard the bank from avoidable risk-taking. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 323 Moreover, all legal entities have adopted internal regulations, specifying processes, strategies, and procedures for collateral management. In particular such internal regulations detail, according to each Country's local legal system, collateral eligibility, acquisition, valuation and monitoring rules and ensure, among others, the soundness, legal enforceability and timely liquidation of valuable collateral. Collateral management assessments and credit risk mitigation compliance verification have been performed by the Group’s legal entities, specifically as part of Internal Rating System applications, in order to assess the presence of adequate documentation and procedure concerning the credit risk mitigation instruments used for supervisory capital. Credit risk mitigation instruments can be accepted only to support loans and cannot serve as a substitute for the borrower’s ability to meet its obligations. For this reason, they have to be evaluated and analysed in the credit application along with the assessment of the creditworthiness, emphasizing the importance of the “legal certainty” requirement for all collaterals and guarantees, as well as their suitability, in addition to the overall analysis of the borrowers’ credit worthiness and of his repayment capacity, with the aim to verify their viability to support the repayment of the exposure. Legal Entities shall put in place all necessary actions to: • fulfill the respect of any contractual and legal requirements, and take all steps necessary to ensure the enforceability of the collateral/guarantee arrangements under the applicable law; • carry out sufficient legal reviews confirming the enforceability of the collateral/guarantee arrangements on the parties and in the relevant jurisdictions. Legal Entities conduct such review, as applicable, to ensure enforceability and suitability for the entire term of the underlying collateralized credit exposure. Any collateral/guarantee can be considered adequate if it is consistent with the underlying credit exposure and, for guarantees, when there are no relevant risks towards the protection provider. Collateral management assessments and Credit Risk Mitigation compliance verifications on the risk mitigations techniques are performed by the Legal Entities, specifically as part of the wider process of internal validation on rating systems and of IRB methods roll-out activities on Group Legal Entities. The management system of credit risk mitigation techniques is embedded in the credit approval process and in the credit risk monitoring process, to support the evaluation and data quality checks of collaterals/guarantees and their appropriate linking to the categories defined for LGD estimates purposes. Controls and related responsibilities are duly formalised and documented in internal rules. Furthermore, processes are implemented to control that all the relevant information regarding the identification and evaluation of the credit protection are correctly registered in the system. In the collateral acquisition phase, UniCredit group emphasises the importance of processes and controls of the legal certainty requirements of the protection, as well as the assessment of the suitability of the collateral or guarantee. In case of personal guarantees, the protection provider (or the protection seller in case of credit default swap) has to be assessed in order to measure his/her credit worthiness and risk profile. Monitoring processes of credit risk mitigation techniques ensure that general and specific requirements set by credit policies, internal and regulatory rules are met over the time. Policies and processes for, and an indication of the extent to which the Group makes use of, on - and off - balance sheet netting In general, netting agreements on balance sheet of reciprocal credit exposures between the Bank and its counterparty are considered eligible if they are legally effective and enforceable in all relevant jurisdictions, including in the event of default or bankruptcy of counterparty, and if they meet the following operational conditions: • provide for the netting of gains and losses on transactions cleared under the master agreement so that a single net amount is owed by one party to the other; • fulfil the minimum requirements for recognition of financial collateral (valuation requirements and monitoring). In general, Group Legal Entities can apply netting agreements only if they are able at any time to determine the position netting value (assets and liabilities with the same counterparty that are subject to the netting agreement), monitoring and controlling debts, credit and netting value. UniCredit group makes use of netting instruments mainly for OTC derivatives, repos and securities lending transactions where the counterparties are, generally, Corporate and Financial Institutions. The primary objective of the bank is to cover with netting agreements as many as possible transactions in order to reduce utilization of credit lines and to release the amount of required regulatory capital. In this regard, a special policy (“Global Policy - Counterparty Credit Risk Governance") has been issued aiming at defining an efficient and comprehensive framework for collateral management to safeguard the bank from avoidable risk-taking. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 323 Moreover, all legal entities have adopted internal regulations, specifying processes, strategies, and procedures for collateral management. In particular such internal regulations detail, according to each Country's local legal system, collateral eligibility, acquisition, valuation and monitoring rules and ensure, among others, the soundness, legal enforceability and timely liquidation of valuable collateral. Collateral management assessments and credit risk mitigation compliance verification have been performed by the Group’s legal entities, specifically as part of Internal Rating System applications, in order to assess the presence of adequate documentation and procedure concerning the credit risk mitigation instruments used for supervisory capital. Credit risk mitigation instruments can be accepted only to support loans and cannot serve as a substitute for the borrower’s ability to meet its obligations. For this reason, they have to be evaluated and analysed in the credit application along with the assessment of the creditworthiness, emphasizing the importance of the “legal certainty” requirement for all collaterals and guarantees, as well as their suitability, in addition to the overall analysis of the borrowers’ credit worthiness and of his repayment capacity, with the aim to verify their viability to support the repayment of the exposure. Legal Entities shall put in place all necessary actions to: • fulfill the respect of any contractual and legal requirements, and take all steps necessary to ensure the enforceability of the collateral/guarantee arrangements under the applicable law; • carry out sufficient legal reviews confirming the enforceability of the collateral/guarantee arrangements on the parties and in the relevant jurisdictions. Legal Entities conduct such review, as applicable, to ensure enforceability and suitability for the entire term of the underlying collateralized credit exposure. Any collateral/guarantee can be considered adequate if it is consistent with the underlying credit exposure and, for guarantees, when there are no relevant risks towards the protection provider. Collateral management assessments and Credit Risk Mitigation compliance verifications on the risk mitigations techniques are performed by the Legal Entities, specifically as part of the wider process of internal validation on rating systems and of IRB methods roll-out activities on Group Legal Entities. The management system of credit risk mitigation techniques is embedded in the credit approval process and in the credit risk monitoring process, to support the evaluation and data quality checks of collaterals/guarantees and their appropriate linking to the categories defined for LGD estimates purposes. Controls and related responsibilities are duly formalised and documented in internal rules. Furthermore, processes are implemented to control that all the relevant information regarding the identification and evaluation of the credit protection are correctly registered in the system. In the collateral acquisition phase, UniCredit group emphasises the importance of processes and controls of the legal certainty requirements of the protection, as well as the assessment of the suitability of the collateral or guarantee. In case of personal guarantees, the protection provider (or the protection seller in case of credit default swap) has to be assessed in order to measure his/her credit worthiness and risk profile. Monitoring processes of credit risk mitigation techniques ensure that general and specific requirements set by credit policies, internal and regulatory rules are met over the time. Policies and processes for, and an indication of the extent to which the Group makes use of, on - and off - balance sheet netting In general, netting agreements on balance sheet of reciprocal credit exposures between the Bank and its counterparty are considered eligible if they are legally effective and enforceable in all relevant jurisdictions, including in the event of default or bankruptcy of counterparty, and if they meet the following operational conditions: • provide for the netting of gains and losses on transactions cleared under the master agreement so that a single net amount is owed by one party to the other; • fulfil the minimum requirements for recognition of financial collateral (valuation requirements and monitoring). In general, Group Legal Entities can apply netting agreements only if they are able at any time to determine the position netting value (assets and liabilities with the same counterparty that are subject to the netting agreement), monitoring and controlling debts, credit and netting value. UniCredit group makes use of netting instruments mainly for OTC derivatives, repos and securities lending transactions where the counterparties are, generally, Corporate and Financial Institutions. The primary objective of the bank is to cover with netting agreements as many as possible transactions in order to reduce utilization of credit lines and to release the amount of required regulatory capital. In this regard, a special policy (“Global Policy - Counterparty Credit Risk Governance") has been issued aiming at defining an efficient and comprehensive framework for collateral management to safeguard the bank from avoidable risk-taking. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 323 Moreover, all legal entities have adopted internal regulations, specifying processes, strategies, and procedures for collateral management. In particular such internal regulations detail, according to each Country's local legal system, collateral eligibility, acquisition, valuation and monitoring rules and ensure, among others, the soundness, legal enforceability and timely liquidation of valuable collateral. Collateral management assessments and credit risk mitigation compliance verification have been performed by the Group’s legal entities, specifically as part of Internal Rating System applications, in order to assess the presence of adequate documentation and procedure concerning the credit risk mitigation instruments used for supervisory capital. Credit risk mitigation instruments can be accepted only to support loans and cannot serve as a substitute for the borrower’s ability to meet its obligations. For this reason, they have to be evaluated and analysed in the credit application along with the assessment of the creditworthiness, emphasizing the importance of the “legal certainty” requirement for all collaterals and guarantees, as well as their suitability, in addition to the overall analysis of the borrowers’ credit worthiness and of his repayment capacity, with the aim to verify their viability to support the repayment of the exposure. Legal Entities shall put in place all necessary actions to: • fulfill the respect of any contractual and legal requirements, and take all steps necessary to ensure the enforceability of the collateral/guarantee arrangements under the applicable law; • carry out sufficient legal reviews confirming the enforceability of the collateral/guarantee arrangements on the parties and in the relevant jurisdictions. Legal Entities conduct such review, as applicable, to ensure enforceability and suitability for the entire term of the underlying collateralized credit exposure. Any collateral/guarantee can be considered adequate if it is consistent with the underlying credit exposure and, for guarantees, when there are no relevant risks towards the protection provider. Collateral management assessments and Credit Risk Mitigation compliance verifications on the risk mitigations techniques are performed by the Legal Entities, specifically as part of the wider process of internal validation on rating systems and of IRB methods roll-out activities on Group Legal Entities. The management system of credit risk mitigation techniques is embedded in the credit approval process and in the credit risk monitoring process, to support the evaluation and data quality checks of collaterals/guarantees and their appropriate linking to the categories defined for LGD estimates purposes. Controls and related responsibilities are duly formalised and documented in internal rules. Furthermore, processes are implemented to control that all the relevant information regarding the identification and evaluation of the credit protection are correctly registered in the system. In the collateral acquisition phase, UniCredit group emphasises the importance of processes and controls of the legal certainty requirements of the protection, as well as the assessment of the suitability of the collateral or guarantee. In case of personal guarantees, the protection provider (or the protection seller in case of credit default swap) has to be assessed in order to measure his/her credit worthiness and risk profile. Monitoring processes of credit risk mitigation techniques ensure that general and specific requirements set by credit policies, internal and regulatory rules are met over the time. Policies and processes for, and an indication of the extent to which the Group makes use of, on - and off - balance sheet netting In general, netting agreements on balance sheet of reciprocal credit exposures between the Bank and its counterparty are considered eligible if they are legally effective and enforceable in all relevant jurisdictions, including in the event of default or bankruptcy of counterparty, and if they meet the following operational conditions: • provide for the netting of gains and losses on transactions cleared under the master agreement so that a single net amount is owed by one party to the other; • fulfil the minimum requirements for recognition of financial collateral (valuation requirements and monitoring). In general, Group Legal Entities can apply netting agreements only if they are able at any time to determine the position netting value (assets and liabilities with the same counterparty that are subject to the netting agreement), monitoring and controlling debts, credit and netting value. UniCredit group makes use of netting instruments mainly for OTC derivatives, repos and securities lending transactions where the counterparties are, generally, Corporate and Financial Institutions. The primary objective of the bank is to cover with netting agreements as many as possible transactions in order to reduce utilization of credit lines and to release the amount of required regulatory capital. In this regard, a special policy (“Global Policy - Counterparty Credit Risk Governance") has been issued aiming at defining an efficient and comprehensive framework for collateral management to safeguard the bank from avoidable risk-taking. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 324 2021 Annual Report and Accounts · UniCredit The effectiveness of a collateral agreement of each individual counterparty relationship depends on the selection of appropriate assets qualifying as eligible collateral. Certain collateral types may present inherent risks related to the price volatility, the liquidity, and the settlement of the asset. In addition, the collateral assets must be assessed in the context of the collateral providing counterparty (double default risk). Based on the guidelines of the above-mentioned policy, details on the eligibility criteria have been outlined for both OTC derivatives and Repo/securities Lending Transactions, and the requirements in terms of documentations have been defined, requiring, as a general base, market standard agreements such as ISDA Master Agreement, Global Master Repurchase Agreement or European Master Agreement. Description of the main types of collateral taken by the Group Entities and related policies and processes for the evaluation The collateral accepted in support of credit lines granted by the Group’s Legal Entities, primarily includes: • real estate collateral, both residential and commercial; • financial collateral (including cash deposits, debt securities, equities, and units of Undertakings for Collective Investment in Transferable Securities (UCITS). Other types of collateral (pledged goods or pledged loans and life insurance policies) are less common. However, in order to be considered eligible for risk mitigation, the general requirements according to Supervisory Regulations must be met, along with the specific requirements for the approach adopted for purposes of calculating regulatory capital for the individual counterparty/exposure (Standardized, F-IRB, A-IRB), in accordance with the legal framework of the country in scope. The Parent Company provides specific guidelines for the eligibility of all kind of collaterals and each legal entity shall define the list of eligible collateral, according to Group methods and procedures and in compliance with local legal and supervisory requirements and peculiarities. UniCredit group has implemented a clear and robust system for managing the credit risk mitigation techniques, governing the entire process for evaluation, monitoring and management of collaterals. The assessment of the collateral value is based on the current market price or the estimated amount which the underlying asset could reasonably be liquidated for (i.e., pledged financial instrument or mortgaged real estate fair value). For financial instruments, valuation methods are different depending on their typology: • securities listed on a recognized stock exchange, are evaluated according to the market price (the price of the most recent trading session); • securities not listed on a recognized stock exchange, have to be evaluated based on pricing models based on market data; • undertakings for Collective Investments and mutual funds are based on the price for the units that are publicly quoted daily. The market price of pledged securities is adjusted by applying haircuts for market price and/or foreign exchange volatility, according to regulatory requirements. In case of currency mismatch between the credit facility and the collateral, an additional haircut is applied. Possible mismatches between the maturity of the exposure and that of the collateral are also considered in the adjusted collateral value. The current models in place within the Group are based both on pre-defined prudential haircuts and internally estimated haircuts. The methodological approach provides that the hedging value has to be estimated for each financial instrument on the basis of its market value (s.c. mark-to-market) adjusted with a haircut that has to consider the intrinsic riskiness according to the different factors (price risk, time of ownership and liquidity risk). The main legal entities of the Group are also provided with tools for the automatic evaluation of the mark-to-market of the pledged securities, granting the constant monitoring of the financial collateral values. For the valuation of real estate collateral, specific processes and procedures ensure that the property is evaluated by an independent appraiser at a value not exceeding the market value. With reference to the main Group legal entities (i.e., those operating in Austria, Germany and Italy) systems are also in place for the periodic monitoring and revaluation of the real estate collateral, based on statistical methods, adopting internal databases or provided by external info-providers. Other types of collateral (such as a pledge of movable assets) are subject to specific prudential haircuts. Monitoring activities strictly depend on the collateral characteristics. In general pledges on goods are treated with caution. Main types of guarantors and credit derivative counterparties and their creditworthiness The use of guarantees is widespread within UniCredit group, though their characteristics differ among the different local markets; they can be accepted as complementary and accessory to the granting of loans, for which the risk mitigation serves as additional security for repayment. At consolidated level, personal guarantees are provided by banks, government, central banks and other public entities and others. The last category includes the personal guarantees provided by natural persons, whose eligibility for CRM depends on the approach used by the different legal entities. Less frequently, the risk of default is covered by personal guarantees provided by other legal entities (usually the Parent company or other Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 324 2021 Annual Report and Accounts · UniCredit The effectiveness of a collateral agreement of each individual counterparty relationship depends on the selection of appropriate assets qualifying as eligible collateral. Certain collateral types may present inherent risks related to the price volatility, the liquidity, and the settlement of the asset. In addition, the collateral assets must be assessed in the context of the collateral providing counterparty (double default risk). Based on the guidelines of the above-mentioned policy, details on the eligibility criteria have been outlined for both OTC derivatives and Repo/securities Lending Transactions, and the requirements in terms of documentations have been defined, requiring, as a general base, market standard agreements such as ISDA Master Agreement, Global Master Repurchase Agreement or European Master Agreement. Description of the main types of collateral taken by the Group Entities and related policies and processes for the evaluation The collateral accepted in support of credit lines granted by the Group’s Legal Entities, primarily includes: • real estate collateral, both residential and commercial; • financial collateral (including cash deposits, debt securities, equities, and units of Undertakings for Collective Investment in Transferable Securities (UCITS). Other types of collateral (pledged goods or pledged loans and life insurance policies) are less common. However, in order to be considered eligible for risk mitigation, the general requirements according to Supervisory Regulations must be met, along with the specific requirements for the approach adopted for purposes of calculating regulatory capital for the individual counterparty/exposure (Standardized, F-IRB, A-IRB), in accordance with the legal framework of the country in scope. The Parent Company provides specific guidelines for the eligibility of all kind of collaterals and each legal entity shall define the list of eligible collateral, according to Group methods and procedures and in compliance with local legal and supervisory requirements and peculiarities. UniCredit group has implemented a clear and robust system for managing the credit risk mitigation techniques, governing the entire process for evaluation, monitoring and management of collaterals. The assessment of the collateral value is based on the current market price or the estimated amount which the underlying asset could reasonably be liquidated for (i.e., pledged financial instrument or mortgaged real estate fair value). For financial instruments, valuation methods are different depending on their typology: • securities listed on a recognized stock exchange, are evaluated according to the market price (the price of the most recent trading session); • securities not listed on a recognized stock exchange, have to be evaluated based on pricing models based on market data; • undertakings for Collective Investments and mutual funds are based on the price for the units that are publicly quoted daily. The market price of pledged securities is adjusted by applying haircuts for market price and/or foreign exchange volatility, according to regulatory requirements. In case of currency mismatch between the credit facility and the collateral, an additional haircut is applied. Possible mismatches between the maturity of the exposure and that of the collateral are also considered in the adjusted collateral value. The current models in place within the Group are based both on pre-defined prudential haircuts and internally estimated haircuts. The methodological approach provides that the hedging value has to be estimated for each financial instrument on the basis of its market value (s.c. mark-to-market) adjusted with a haircut that has to consider the intrinsic riskiness according to the different factors (price risk, time of ownership and liquidity risk). The main legal entities of the Group are also provided with tools for the automatic evaluation of the mark-to-market of the pledged securities, granting the constant monitoring of the financial collateral values. For the valuation of real estate collateral, specific processes and procedures ensure that the property is evaluated by an independent appraiser at a value not exceeding the market value. With reference to the main Group legal entities (i.e., those operating in Austria, Germany and Italy) systems are also in place for the periodic monitoring and revaluation of the real estate collateral, based on statistical methods, adopting internal databases or provided by external info-providers. Other types of collateral (such as a pledge of movable assets) are subject to specific prudential haircuts. Monitoring activities strictly depend on the collateral characteristics. In general pledges on goods are treated with caution. Main types of guarantors and credit derivative counterparties and their creditworthiness The use of guarantees is widespread within UniCredit group, though their characteristics differ among the different local markets; they can be accepted as complementary and accessory to the granting of loans, for which the risk mitigation serves as additional security for repayment. At consolidated level, personal guarantees are provided by banks, government, central banks and other public entities and others. The last category includes the personal guarantees provided by natural persons, whose eligibility for CRM depends on the approach used by the different legal entities. Less frequently, the risk of default is covered by personal guarantees provided by other legal entities (usually the Parent company or other Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 324 2021 Annual Report and Accounts · UniCredit The effectiveness of a collateral agreement of each individual counterparty relationship depends on the selection of appropriate assets qualifying as eligible collateral. Certain collateral types may present inherent risks related to the price volatility, the liquidity, and the settlement of the asset. In addition, the collateral assets must be assessed in the context of the collateral providing counterparty (double default risk). Based on the guidelines of the above-mentioned policy, details on the eligibility criteria have been outlined for both OTC derivatives and Repo/securities Lending Transactions, and the requirements in terms of documentations have been defined, requiring, as a general base, market standard agreements such as ISDA Master Agreement, Global Master Repurchase Agreement or European Master Agreement. Description of the main types of collateral taken by the Group Entities and related policies and processes for the evaluation The collateral accepted in support of credit lines granted by the Group’s Legal Entities, primarily includes: • real estate collateral, both residential and commercial; • financial collateral (including cash deposits, debt securities, equities, and units of Undertakings for Collective Investment in Transferable Securities (UCITS). Other types of collateral (pledged goods or pledged loans and life insurance policies) are less common. However, in order to be considered eligible for risk mitigation, the general requirements according to Supervisory Regulations must be met, along with the specific requirements for the approach adopted for purposes of calculating regulatory capital for the individual counterparty/exposure (Standardized, F-IRB, A-IRB), in accordance with the legal framework of the country in scope. The Parent Company provides specific guidelines for the eligibility of all kind of collaterals and each legal entity shall define the list of eligible collateral, according to Group methods and procedures and in compliance with local legal and supervisory requirements and peculiarities. UniCredit group has implemented a clear and robust system for managing the credit risk mitigation techniques, governing the entire process for evaluation, monitoring and management of collaterals. The assessment of the collateral value is based on the current market price or the estimated amount which the underlying asset could reasonably be liquidated for (i.e., pledged financial instrument or mortgaged real estate fair value). For financial instruments, valuation methods are different depending on their typology: • securities listed on a recognized stock exchange, are evaluated according to the market price (the price of the most recent trading session); • securities not listed on a recognized stock exchange, have to be evaluated based on pricing models based on market data; • undertakings for Collective Investments and mutual funds are based on the price for the units that are publicly quoted daily. The market price of pledged securities is adjusted by applying haircuts for market price and/or foreign exchange volatility, according to regulatory requirements. In case of currency mismatch between the credit facility and the collateral, an additional haircut is applied. Possible mismatches between the maturity of the exposure and that of the collateral are also considered in the adjusted collateral value. The current models in place within the Group are based both on pre-defined prudential haircuts and internally estimated haircuts. The methodological approach provides that the hedging value has to be estimated for each financial instrument on the basis of its market value (s.c. mark-to-market) adjusted with a haircut that has to consider the intrinsic riskiness according to the different factors (price risk, time of ownership and liquidity risk). The main legal entities of the Group are also provided with tools for the automatic evaluation of the mark-to-market of the pledged securities, granting the constant monitoring of the financial collateral values. For the valuation of real estate collateral, specific processes and procedures ensure that the property is evaluated by an independent appraiser at a value not exceeding the market value. With reference to the main Group legal entities (i.e., those operating in Austria, Germany and Italy) systems are also in place for the periodic monitoring and revaluation of the real estate collateral, based on statistical methods, adopting internal databases or provided by external info-providers. Other types of collateral (such as a pledge of movable assets) are subject to specific prudential haircuts. Monitoring activities strictly depend on the collateral characteristics. In general pledges on goods are treated with caution. Main types of guarantors and credit derivative counterparties and their creditworthiness The use of guarantees is widespread within UniCredit group, though their characteristics differ among the different local markets; they can be accepted as complementary and accessory to the granting of loans, for which the risk mitigation serves as additional security for repayment. At consolidated level, personal guarantees are provided by banks, government, central banks and other public entities and others. The last category includes the personal guarantees provided by natural persons, whose eligibility for CRM depends on the approach used by the different legal entities. Less frequently, the risk of default is covered by personal guarantees provided by other legal entities (usually the Parent company or other Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 324 2021 Annual Report and Accounts · UniCredit The effectiveness of a collateral agreement of each individual counterparty relationship depends on the selection of appropriate assets qualifying as eligible collateral. Certain collateral types may present inherent risks related to the price volatility, the liquidity, and the settlement of the asset. In addition, the collateral assets must be assessed in the context of the collateral providing counterparty (double default risk). Based on the guidelines of the above-mentioned policy, details on the eligibility criteria have been outlined for both OTC derivatives and Repo/securities Lending Transactions, and the requirements in terms of documentations have been defined, requiring, as a general base, market standard agreements such as ISDA Master Agreement, Global Master Repurchase Agreement or European Master Agreement. Description of the main types of collateral taken by the Group Entities and related policies and processes for the evaluation The collateral accepted in support of credit lines granted by the Group’s Legal Entities, primarily includes: • real estate collateral, both residential and commercial; • financial collateral (including cash deposits, debt securities, equities, and units of Undertakings for Collective Investment in Transferable Securities (UCITS). Other types of collateral (pledged goods or pledged loans and life insurance policies) are less common. However, in order to be considered eligible for risk mitigation, the general requirements according to Supervisory Regulations must be met, along with the specific requirements for the approach adopted for purposes of calculating regulatory capital for the individual counterparty/exposure (Standardized, F-IRB, A-IRB), in accordance with the legal framework of the country in scope. The Parent Company provides specific guidelines for the eligibility of all kind of collaterals and each legal entity shall define the list of eligible collateral, according to Group methods and procedures and in compliance with local legal and supervisory requirements and peculiarities. UniCredit group has implemented a clear and robust system for managing the credit risk mitigation techniques, governing the entire process for evaluation, monitoring and management of collaterals. The assessment of the collateral value is based on the current market price or the estimated amount which the underlying asset could reasonably be liquidated for (i.e., pledged financial instrument or mortgaged real estate fair value). For financial instruments, valuation methods are different depending on their typology: • securities listed on a recognized stock exchange, are evaluated according to the market price (the price of the most recent trading session); • securities not listed on a recognized stock exchange, have to be evaluated based on pricing models based on market data; • undertakings for Collective Investments and mutual funds are based on the price for the units that are publicly quoted daily. The market price of pledged securities is adjusted by applying haircuts for market price and/or foreign exchange volatility, according to regulatory requirements. In case of currency mismatch between the credit facility and the collateral, an additional haircut is applied. Possible mismatches between the maturity of the exposure and that of the collateral are also considered in the adjusted collateral value. The current models in place within the Group are based both on pre-defined prudential haircuts and internally estimated haircuts. The methodological approach provides that the hedging value has to be estimated for each financial instrument on the basis of its market value (s.c. mark-to-market) adjusted with a haircut that has to consider the intrinsic riskiness according to the different factors (price risk, time of ownership and liquidity risk). The main legal entities of the Group are also provided with tools for the automatic evaluation of the mark-to-market of the pledged securities, granting the constant monitoring of the financial collateral values. For the valuation of real estate collateral, specific processes and procedures ensure that the property is evaluated by an independent appraiser at a value not exceeding the market value. With reference to the main Group legal entities (i.e., those operating in Austria, Germany and Italy) systems are also in place for the periodic monitoring and revaluation of the real estate collateral, based on statistical methods, adopting internal databases or provided by external info-providers. Other types of collateral (such as a pledge of movable assets) are subject to specific prudential haircuts. Monitoring activities strictly depend on the collateral characteristics. In general pledges on goods are treated with caution. Main types of guarantors and credit derivative counterparties and their creditworthiness The use of guarantees is widespread within UniCredit group, though their characteristics differ among the different local markets; they can be accepted as complementary and accessory to the granting of loans, for which the risk mitigation serves as additional security for repayment. At consolidated level, personal guarantees are provided by banks, government, central banks and other public entities and others. The last category includes the personal guarantees provided by natural persons, whose eligibility for CRM depends on the approach used by the different legal entities. Less frequently, the risk of default is covered by personal guarantees provided by other legal entities (usually the Parent company or other Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 324 2021 Annual Report and Accounts · UniCredit The effectiveness of a collateral agreement of each individual counterparty relationship depends on the selection of appropriate assets qualifying as eligible collateral. Certain collateral types may present inherent risks related to the price volatility, the liquidity, and the settlement of the asset. In addition, the collateral assets must be assessed in the context of the collateral providing counterparty (double default risk). Based on the guidelines of the above-mentioned policy, details on the eligibility criteria have been outlined for both OTC derivatives and Repo/securities Lending Transactions, and the requirements in terms of documentations have been defined, requiring, as a general base, market standard agreements such as ISDA Master Agreement, Global Master Repurchase Agreement or European Master Agreement. Description of the main types of collateral taken by the Group Entities and related policies and processes for the evaluation The collateral accepted in support of credit lines granted by the Group’s Legal Entities, primarily includes: • real estate collateral, both residential and commercial; • financial collateral (including cash deposits, debt securities, equities, and units of Undertakings for Collective Investment in Transferable Securities (UCITS). Other types of collateral (pledged goods or pledged loans and life insurance policies) are less common. However, in order to be considered eligible for risk mitigation, the general requirements according to Supervisory Regulations must be met, along with the specific requirements for the approach adopted for purposes of calculating regulatory capital for the individual counterparty/exposure (Standardized, F-IRB, A-IRB), in accordance with the legal framework of the country in scope. The Parent Company provides specific guidelines for the eligibility of all kind of collaterals and each legal entity shall define the list of eligible collateral, according to Group methods and procedures and in compliance with local legal and supervisory requirements and peculiarities. UniCredit group has implemented a clear and robust system for managing the credit risk mitigation techniques, governing the entire process for evaluation, monitoring and management of collaterals. The assessment of the collateral value is based on the current market price or the estimated amount which the underlying asset could reasonably be liquidated for (i.e., pledged financial instrument or mortgaged real estate fair value). For financial instruments, valuation methods are different depending on their typology: • securities listed on a recognized stock exchange, are evaluated according to the market price (the price of the most recent trading session); • securities not listed on a recognized stock exchange, have to be evaluated based on pricing models based on market data; • undertakings for Collective Investments and mutual funds are based on the price for the units that are publicly quoted daily. The market price of pledged securities is adjusted by applying haircuts for market price and/or foreign exchange volatility, according to regulatory requirements. In case of currency mismatch between the credit facility and the collateral, an additional haircut is applied. Possible mismatches between the maturity of the exposure and that of the collateral are also considered in the adjusted collateral value. The current models in place within the Group are based both on pre-defined prudential haircuts and internally estimated haircuts. The methodological approach provides that the hedging value has to be estimated for each financial instrument on the basis of its market value (s.c. mark-to-market) adjusted with a haircut that has to consider the intrinsic riskiness according to the different factors (price risk, time of ownership and liquidity risk). The main legal entities of the Group are also provided with tools for the automatic evaluation of the mark-to-market of the pledged securities, granting the constant monitoring of the financial collateral values. For the valuation of real estate collateral, specific processes and procedures ensure that the property is evaluated by an independent appraiser at a value not exceeding the market value. With reference to the main Group legal entities (i.e., those operating in Austria, Germany and Italy) systems are also in place for the periodic monitoring and revaluation of the real estate collateral, based on statistical methods, adopting internal databases or provided by external info-providers. Other types of collateral (such as a pledge of movable assets) are subject to specific prudential haircuts. Monitoring activities strictly depend on the collateral characteristics. In general pledges on goods are treated with caution. Main types of guarantors and credit derivative counterparties and their creditworthiness The use of guarantees is widespread within UniCredit group, though their characteristics differ among the different local markets; they can be accepted as complementary and accessory to the granting of loans, for which the risk mitigation serves as additional security for repayment. At consolidated level, personal guarantees are provided by banks, government, central banks and other public entities and others. The last category includes the personal guarantees provided by natural persons, whose eligibility for CRM depends on the approach used by the different legal entities. Less frequently, the risk of default is covered by personal guarantees provided by other legal entities (usually the Parent company or other Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 325 companies belonging to the same economic group as the borrower), or by financial institutions and insurance companies. In case the guarantee is represented by credit derivatives, the protection providers are mainly banks and institutional counterparties. As already highlighted, the list of eligible protection providers depends on the specific approach adopted by each single legal entity. Specifically: • under the standardised approach, eligible protection providers pertain to a restricted list of counterparts, such as central government and central banks, public sector entities and regional and local authorities, multilateral development banks, supervised institutions and corporate entities that have a credit assessment by an eligible ECAI; • under IRB-A approach, for the recognition of guarantees in the calculation of capital requirements, in addition to verify that the relevant minimum requirements are satisfied, the legal entity can evaluate the protection provider risk profile, through an internal rating system, at the time the guarantee is provided and over its entire duration. Before a personal guarantee is accepted, the protection provider (or the protection seller in case of credit default swap) must be assessed in order to measure his/her creditworthiness and risk profile. The hedging effect of guarantees/credit derivatives for the purpose of credit protection depends basically on the creditworthiness of the protection provider which is assessed during the credit underwriting phase. Information about market or credit risk concentrations under the credit risk mitigation instruments used Among risks valuation it is pointed out that one connected to concentration risk, which occurs when the major part of Group-wide collateral financial assets (at portfolio level) are concentrated in a small number of collateral types, protection instruments, or specific protection providers or sectors or when there is lack of proportion in the volume of collaterals taken. Such concentration is monitored and controlled by the following processes/mechanisms: • in case of personal guarantees/credit derivatives, a contingent liability (indirect risk) is charged to the protection provider. In the evaluation of the credit application, a secondary commitment is added to the guarantor and it is reflected in the guarantor’s total credit exposure as deemed competent and approved in accordance with the bank’s system of authority; • in case the protection provider, directly or indirectly, is a Central Bank or a Sovereign country, a specific credit limit has to be instructed; if the guarantor is a foreign subject, it is necessary to evaluate case by case the definition of a country limit. 3. Non-performing credit exposures 3.1 Management strategies and policies In order to ensure a homogeneous approach in the classification of credit exposures for regulatory and reporting purposes, UniCredit has defined guidelines at Group level for the classification of non-performing exposures that refer to the principles reported in the Implementing Technical Standards issued by the Authority European Banking in 2014. This definition of non-performing exposures complements the definition of “default” exposures, disciplined by EBA Guidelines on default definition in line with article 178 of Regulation (EU) No 575/2013 of the European Parliament and of the Council (EBA/GL/2016/07) in force since 1 January 2021, and “impaired” exposures defined by IFRS9 Accounting Standards. A substantial alignment within the Group has been pursued between the three definitions, providing the Supervisory Authorities with a harmonized view of these concepts and strengthening the tools available to the Authorities for assessing the asset quality. The default classification criteria in force since 1 January 2021 include, among the main aspects, harmonized thresholds at European level for past due materiality and additional Unlikely to Pay triggers further regulated by EBA/GL/2016/07 with respect to the high-level provisions of article 178 of Reg EU 575/2013. In this regard, it is highlighted the Distressed Restructuring for credit obligation object of concession, where a maximum threshold for decreasing the Net Present Value of 1% has been set, as well as specific requirements on the contagion effects of default in the case of connected customers (mainly, groups of companies, joint headings between individuals and links between individuals and companies with unlimited liability). In addition, a mandatory minimum probation period before returning to the non-defaulted status has been defined. Furthermore, in accordance with the provisions of Banca d’Italia in Circular 272/2008, non-performing credit exposures of each Group entity must be classified in one of the following risk classes: • past-due and/or overdue exposures: problematic exposures that are more than 90 days past due on any material obligation (the latter assessed in line with article 178 (2d) of EU Regulation No.575/2013 and the Technical Standards of the EBA); • unlikely to pay: the classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any (or rate) past due and unpaid amount; • bad loans: exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 325 companies belonging to the same economic group as the borrower), or by financial institutions and insurance companies. In case the guarantee is represented by credit derivatives, the protection providers are mainly banks and institutional counterparties. As already highlighted, the list of eligible protection providers depends on the specific approach adopted by each single legal entity. Specifically: • under the standardised approach, eligible protection providers pertain to a restricted list of counterparts, such as central government and central banks, public sector entities and regional and local authorities, multilateral development banks, supervised institutions and corporate entities that have a credit assessment by an eligible ECAI; • under IRB-A approach, for the recognition of guarantees in the calculation of capital requirements, in addition to verify that the relevant minimum requirements are satisfied, the legal entity can evaluate the protection provider risk profile, through an internal rating system, at the time the guarantee is provided and over its entire duration. Before a personal guarantee is accepted, the protection provider (or the protection seller in case of credit default swap) must be assessed in order to measure his/her creditworthiness and risk profile. The hedging effect of guarantees/credit derivatives for the purpose of credit protection depends basically on the creditworthiness of the protection provider which is assessed during the credit underwriting phase. Information about market or credit risk concentrations under the credit risk mitigation instruments used Among risks valuation it is pointed out that one connected to concentration risk, which occurs when the major part of Group-wide collateral financial assets (at portfolio level) are concentrated in a small number of collateral types, protection instruments, or specific protection providers or sectors or when there is lack of proportion in the volume of collaterals taken. Such concentration is monitored and controlled by the following processes/mechanisms: • in case of personal guarantees/credit derivatives, a contingent liability (indirect risk) is charged to the protection provider. In the evaluation of the credit application, a secondary commitment is added to the guarantor and it is reflected in the guarantor’s total credit exposure as deemed competent and approved in accordance with the bank’s system of authority; • in case the protection provider, directly or indirectly, is a Central Bank or a Sovereign country, a specific credit limit has to be instructed; if the guarantor is a foreign subject, it is necessary to evaluate case by case the definition of a country limit. 3. Non-performing credit exposures 3.1 Management strategies and policies In order to ensure a homogeneous approach in the classification of credit exposures for regulatory and reporting purposes, UniCredit has defined guidelines at Group level for the classification of non-performing exposures that refer to the principles reported in the Implementing Technical Standards issued by the Authority European Banking in 2014. This definition of non-performing exposures complements the definition of “default” exposures, disciplined by EBA Guidelines on default definition in line with article 178 of Regulation (EU) No 575/2013 of the European Parliament and of the Council (EBA/GL/2016/07) in force since 1 January 2021, and “impaired” exposures defined by IFRS9 Accounting Standards. A substantial alignment within the Group has been pursued between the three definitions, providing the Supervisory Authorities with a harmonized view of these concepts and strengthening the tools available to the Authorities for assessing the asset quality. The default classification criteria in force since 1 January 2021 include, among the main aspects, harmonized thresholds at European level for past due materiality and additional Unlikely to Pay triggers further regulated by EBA/GL/2016/07 with respect to the high-level provisions of article 178 of Reg EU 575/2013. In this regard, it is highlighted the Distressed Restructuring for credit obligation object of concession, where a maximum threshold for decreasing the Net Present Value of 1% has been set, as well as specific requirements on the contagion effects of default in the case of connected customers (mainly, groups of companies, joint headings between individuals and links between individuals and companies with unlimited liability). In addition, a mandatory minimum probation period before returning to the non-defaulted status has been defined. Furthermore, in accordance with the provisions of Banca d’Italia in Circular 272/2008, non-performing credit exposures of each Group entity must be classified in one of the following risk classes: • past-due and/or overdue exposures: problematic exposures that are more than 90 days past due on any material obligation (the latter assessed in line with article 178 (2d) of EU Regulation No.575/2013 and the Technical Standards of the EBA); • unlikely to pay: the classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any (or rate) past due and unpaid amount; • bad loans: exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 325 companies belonging to the same economic group as the borrower), or by financial institutions and insurance companies. In case the guarantee is represented by credit derivatives, the protection providers are mainly banks and institutional counterparties. As already highlighted, the list of eligible protection providers depends on the specific approach adopted by each single legal entity. Specifically: • under the standardised approach, eligible protection providers pertain to a restricted list of counterparts, such as central government and central banks, public sector entities and regional and local authorities, multilateral development banks, supervised institutions and corporate entities that have a credit assessment by an eligible ECAI; • under IRB-A approach, for the recognition of guarantees in the calculation of capital requirements, in addition to verify that the relevant minimum requirements are satisfied, the legal entity can evaluate the protection provider risk profile, through an internal rating system, at the time the guarantee is provided and over its entire duration. Before a personal guarantee is accepted, the protection provider (or the protection seller in case of credit default swap) must be assessed in order to measure his/her creditworthiness and risk profile. The hedging effect of guarantees/credit derivatives for the purpose of credit protection depends basically on the creditworthiness of the protection provider which is assessed during the credit underwriting phase. Information about market or credit risk concentrations under the credit risk mitigation instruments used Among risks valuation it is pointed out that one connected to concentration risk, which occurs when the major part of Group-wide collateral financial assets (at portfolio level) are concentrated in a small number of collateral types, protection instruments, or specific protection providers or sectors or when there is lack of proportion in the volume of collaterals taken. Such concentration is monitored and controlled by the following processes/mechanisms: • in case of personal guarantees/credit derivatives, a contingent liability (indirect risk) is charged to the protection provider. In the evaluation of the credit application, a secondary commitment is added to the guarantor and it is reflected in the guarantor’s total credit exposure as deemed competent and approved in accordance with the bank’s system of authority; • in case the protection provider, directly or indirectly, is a Central Bank or a Sovereign country, a specific credit limit has to be instructed; if the guarantor is a foreign subject, it is necessary to evaluate case by case the definition of a country limit. 3. Non-performing credit exposures 3.1 Management strategies and policies In order to ensure a homogeneous approach in the classification of credit exposures for regulatory and reporting purposes, UniCredit has defined guidelines at Group level for the classification of non-performing exposures that refer to the principles reported in the Implementing Technical Standards issued by the Authority European Banking in 2014. This definition of non-performing exposures complements the definition of “default” exposures, disciplined by EBA Guidelines on default definition in line with article 178 of Regulation (EU) No 575/2013 of the European Parliament and of the Council (EBA/GL/2016/07) in force since 1 January 2021, and “impaired” exposures defined by IFRS9 Accounting Standards. A substantial alignment within the Group has been pursued between the three definitions, providing the Supervisory Authorities with a harmonized view of these concepts and strengthening the tools available to the Authorities for assessing the asset quality. The default classification criteria in force since 1 January 2021 include, among the main aspects, harmonized thresholds at European level for past due materiality and additional Unlikely to Pay triggers further regulated by EBA/GL/2016/07 with respect to the high-level provisions of article 178 of Reg EU 575/2013. In this regard, it is highlighted the Distressed Restructuring for credit obligation object of concession, where a maximum threshold for decreasing the Net Present Value of 1% has been set, as well as specific requirements on the contagion effects of default in the case of connected customers (mainly, groups of companies, joint headings between individuals and links between individuals and companies with unlimited liability). In addition, a mandatory minimum probation period before returning to the non-defaulted status has been defined. Furthermore, in accordance with the provisions of Banca d’Italia in Circular 272/2008, non-performing credit exposures of each Group entity must be classified in one of the following risk classes: • past-due and/or overdue exposures: problematic exposures that are more than 90 days past due on any material obligation (the latter assessed in line with article 178 (2d) of EU Regulation No.575/2013 and the Technical Standards of the EBA); • unlikely to pay: the classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any (or rate) past due and unpaid amount; • bad loans: exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 325 companies belonging to the same economic group as the borrower), or by financial institutions and insurance companies. In case the guarantee is represented by credit derivatives, the protection providers are mainly banks and institutional counterparties. As already highlighted, the list of eligible protection providers depends on the specific approach adopted by each single legal entity. Specifically: • under the standardised approach, eligible protection providers pertain to a restricted list of counterparts, such as central government and central banks, public sector entities and regional and local authorities, multilateral development banks, supervised institutions and corporate entities that have a credit assessment by an eligible ECAI; • under IRB-A approach, for the recognition of guarantees in the calculation of capital requirements, in addition to verify that the relevant minimum requirements are satisfied, the legal entity can evaluate the protection provider risk profile, through an internal rating system, at the time the guarantee is provided and over its entire duration. Before a personal guarantee is accepted, the protection provider (or the protection seller in case of credit default swap) must be assessed in order to measure his/her creditworthiness and risk profile. The hedging effect of guarantees/credit derivatives for the purpose of credit protection depends basically on the creditworthiness of the protection provider which is assessed during the credit underwriting phase. Information about market or credit risk concentrations under the credit risk mitigation instruments used Among risks valuation it is pointed out that one connected to concentration risk, which occurs when the major part of Group-wide collateral financial assets (at portfolio level) are concentrated in a small number of collateral types, protection instruments, or specific protection providers or sectors or when there is lack of proportion in the volume of collaterals taken. Such concentration is monitored and controlled by the following processes/mechanisms: • in case of personal guarantees/credit derivatives, a contingent liability (indirect risk) is charged to the protection provider. In the evaluation of the credit application, a secondary commitment is added to the guarantor and it is reflected in the guarantor’s total credit exposure as deemed competent and approved in accordance with the bank’s system of authority; • in case the protection provider, directly or indirectly, is a Central Bank or a Sovereign country, a specific credit limit has to be instructed; if the guarantor is a foreign subject, it is necessary to evaluate case by case the definition of a country limit. 3. Non-performing credit exposures 3.1 Management strategies and policies In order to ensure a homogeneous approach in the classification of credit exposures for regulatory and reporting purposes, UniCredit has defined guidelines at Group level for the classification of non-performing exposures that refer to the principles reported in the Implementing Technical Standards issued by the Authority European Banking in 2014. This definition of non-performing exposures complements the definition of “default” exposures, disciplined by EBA Guidelines on default definition in line with article 178 of Regulation (EU) No 575/2013 of the European Parliament and of the Council (EBA/GL/2016/07) in force since 1 January 2021, and “impaired” exposures defined by IFRS9 Accounting Standards. A substantial alignment within the Group has been pursued between the three definitions, providing the Supervisory Authorities with a harmonized view of these concepts and strengthening the tools available to the Authorities for assessing the asset quality. The default classification criteria in force since 1 January 2021 include, among the main aspects, harmonized thresholds at European level for past due materiality and additional Unlikely to Pay triggers further regulated by EBA/GL/2016/07 with respect to the high-level provisions of article 178 of Reg EU 575/2013. In this regard, it is highlighted the Distressed Restructuring for credit obligation object of concession, where a maximum threshold for decreasing the Net Present Value of 1% has been set, as well as specific requirements on the contagion effects of default in the case of connected customers (mainly, groups of companies, joint headings between individuals and links between individuals and companies with unlimited liability). In addition, a mandatory minimum probation period before returning to the non-defaulted status has been defined. Furthermore, in accordance with the provisions of Banca d’Italia in Circular 272/2008, non-performing credit exposures of each Group entity must be classified in one of the following risk classes: • past-due and/or overdue exposures: problematic exposures that are more than 90 days past due on any material obligation (the latter assessed in line with article 178 (2d) of EU Regulation No.575/2013 and the Technical Standards of the EBA); • unlikely to pay: the classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any (or rate) past due and unpaid amount; • bad loans: exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 325 companies belonging to the same economic group as the borrower), or by financial institutions and insurance companies. In case the guarantee is represented by credit derivatives, the protection providers are mainly banks and institutional counterparties. As already highlighted, the list of eligible protection providers depends on the specific approach adopted by each single legal entity. Specifically: • under the standardised approach, eligible protection providers pertain to a restricted list of counterparts, such as central government and central banks, public sector entities and regional and local authorities, multilateral development banks, supervised institutions and corporate entities that have a credit assessment by an eligible ECAI; • under IRB-A approach, for the recognition of guarantees in the calculation of capital requirements, in addition to verify that the relevant minimum requirements are satisfied, the legal entity can evaluate the protection provider risk profile, through an internal rating system, at the time the guarantee is provided and over its entire duration. Before a personal guarantee is accepted, the protection provider (or the protection seller in case of credit default swap) must be assessed in order to measure his/her creditworthiness and risk profile. The hedging effect of guarantees/credit derivatives for the purpose of credit protection depends basically on the creditworthiness of the protection provider which is assessed during the credit underwriting phase. Information about market or credit risk concentrations under the credit risk mitigation instruments used Among risks valuation it is pointed out that one connected to concentration risk, which occurs when the major part of Group-wide collateral financial assets (at portfolio level) are concentrated in a small number of collateral types, protection instruments, or specific protection providers or sectors or when there is lack of proportion in the volume of collaterals taken. Such concentration is monitored and controlled by the following processes/mechanisms: • in case of personal guarantees/credit derivatives, a contingent liability (indirect risk) is charged to the protection provider. In the evaluation of the credit application, a secondary commitment is added to the guarantor and it is reflected in the guarantor’s total credit exposure as deemed competent and approved in accordance with the bank’s system of authority; • in case the protection provider, directly or indirectly, is a Central Bank or a Sovereign country, a specific credit limit has to be instructed; if the guarantor is a foreign subject, it is necessary to evaluate case by case the definition of a country limit. 3. Non-performing credit exposures 3.1 Management strategies and policies In order to ensure a homogeneous approach in the classification of credit exposures for regulatory and reporting purposes, UniCredit has defined guidelines at Group level for the classification of non-performing exposures that refer to the principles reported in the Implementing Technical Standards issued by the Authority European Banking in 2014. This definition of non-performing exposures complements the definition of “default” exposures, disciplined by EBA Guidelines on default definition in line with article 178 of Regulation (EU) No 575/2013 of the European Parliament and of the Council (EBA/GL/2016/07) in force since 1 January 2021, and “impaired” exposures defined by IFRS9 Accounting Standards. A substantial alignment within the Group has been pursued between the three definitions, providing the Supervisory Authorities with a harmonized view of these concepts and strengthening the tools available to the Authorities for assessing the asset quality. The default classification criteria in force since 1 January 2021 include, among the main aspects, harmonized thresholds at European level for past due materiality and additional Unlikely to Pay triggers further regulated by EBA/GL/2016/07 with respect to the high-level provisions of article 178 of Reg EU 575/2013. In this regard, it is highlighted the Distressed Restructuring for credit obligation object of concession, where a maximum threshold for decreasing the Net Present Value of 1% has been set, as well as specific requirements on the contagion effects of default in the case of connected customers (mainly, groups of companies, joint headings between individuals and links between individuals and companies with unlimited liability). In addition, a mandatory minimum probation period before returning to the non-defaulted status has been defined. Furthermore, in accordance with the provisions of Banca d’Italia in Circular 272/2008, non-performing credit exposures of each Group entity must be classified in one of the following risk classes: • past-due and/or overdue exposures: problematic exposures that are more than 90 days past due on any material obligation (the latter assessed in line with article 178 (2d) of EU Regulation No.575/2013 and the Technical Standards of the EBA); • unlikely to pay: the classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any (or rate) past due and unpaid amount; • bad loans: exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 326 2021 Annual Report and Accounts · UniCredit According to the Group rules, all debtors in the bank's portfolio must be mapped in the classes defined by Banca d’Italia, regardless of local reporting which has to be performed according to local accounting standards and/or local supervisory regulations or instructions. These classification rules are further integrated by accounting principles defined in IFRS9, according to which credit exposures must be allocated in three "stages" (for details see section "Expected loss measurement method” - Section 2). With regard to non-performing exposures, the allocation to "Stage 3" occurs when the customer's status changes into "non-performing". This is a classification at counterparty level and not at transaction level based on specific regulations on the classification of non-performing exposures. In accordance with Art.156 EBA ITS, an exposure must remain classified as non-performing56 as long as the following criteria (exit criteria) are not met simultaneously: • the situation of the debtor has improved to the extent that full repayment of the original due amount is likely to be made; • the debtor does not have any amount past-due by more than 90 days. Specific exit criteria must be applied in case the forbearance measures are extended to non-performing exposures, listed below: • the starting date of the observation period of one year is the latest between the adoption of Forbearance measures and the classification as non-performing; • any past due amount is verified if no past due occurs at debtor level; • concerns regarding the “full repayment" refer to a judgmental evaluation by the empowered Bodies. In the non-performing credit exposures management, UniCredit group adopts certain strategies that operationally define the activities necessary to achieve the targets defined yearly. The aforementioned strategies concerning impaired loans include: • an effective internal restructuring activity, supported by qualified resources with specific skills dedicated to the management of loans classified as unlikely to pay; within these activities, ad-hoc approaches are then envisaged for positions considered strategic or referring to the Corporate and Real Estate segment; • proactive portfolio management through judicial and extra-judicial procedures managed by internal Workout professionals or assigned to external agencies specialised in credit recovery; • the recourse of alternative recovery strategies (which UniCredit was one of the first banks to use) based on formalised partnerships aimed at managing positions in the industrial or Real Estate sector; • proactive management of the Leasing portfolio aimed at speeding up the negotiation times of agreements with counterparties in order to obtain a more effective remarketing process; • disposal of impaired loans as further strategy for internal recovery both for individual positions and for portfolios of impaired loans, already classified as bad loans and unlikely to pay. These strategies reflect the main levers for reducing the amount of impaired loans and have led to an important result during 2021, highlighting: • write-off for €2,175 million; • recoveries of €3,647 million; • total non-performing loans sold for €3,761 million. The decrease amount of the stock of impaired loans to Group customers was therefore in line with the reduction targets set within the new strategic plan “UniCredit Unlocked”, achieving an improvement in asset quality with the NPE ratio at 3.6% (-12bps and -3.2% compared to 2021 projections underlying “UniCredit Unlocked”). This result was possible thanks also to the reduction of the "Non Core" portfolio, whose rundown was completed by 2021, thanks to the activation of a coordinated set of levers aimed at reducing the stock. A successful NPE Strategy execution requires effective interaction between the Group Risk Management structure and the functions dedicated to the management of non-performing exposures directly reporting the local CROs of the Legal Entities. More specifically, within Group Risk Management, the Group NPE structure was set-up in order to ensure on the one hand an adequate control over the execution and monitoring of the NPE Strategy (which includes the sale of non-performing loans through "Group Distressed Asset Management" and the proactive management of the collateral for the properties acquired through "Npe Portfolio & Repossessed Assets Management") and, on the other hand, an effective cooperation thanks to the joint work carried out with the other Group Risk Management functions. 56The regulatory framework for the transition from performing to non-performing exposures ("criteria for a return to a non-defaulted status ") will be integrated with the entry into force of the "Guidelines on the application of the definition of default under Art.178 of EU Regulation No.575/2013 "(EBA/GL/2016/07) as of 1 January 2021. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 326 2021 Annual Report and Accounts · UniCredit According to the Group rules, all debtors in the bank's portfolio must be mapped in the classes defined by Banca d’Italia, regardless of local reporting which has to be performed according to local accounting standards and/or local supervisory regulations or instructions. These classification rules are further integrated by accounting principles defined in IFRS9, according to which credit exposures must be allocated in three "stages" (for details see section "Expected loss measurement method” - Section 2). With regard to non-performing exposures, the allocation to "Stage 3" occurs when the customer's status changes into "non-performing". This is a classification at counterparty level and not at transaction level based on specific regulations on the classification of non-performing exposures. In accordance with Art.156 EBA ITS, an exposure must remain classified as non-performing56 as long as the following criteria (exit criteria) are not met simultaneously: • the situation of the debtor has improved to the extent that full repayment of the original due amount is likely to be made; • the debtor does not have any amount past-due by more than 90 days. Specific exit criteria must be applied in case the forbearance measures are extended to non-performing exposures, listed below: • the starting date of the observation period of one year is the latest between the adoption of Forbearance measures and the classification as non-performing; • any past due amount is verified if no past due occurs at debtor level; • concerns regarding the “full repayment" refer to a judgmental evaluation by the empowered Bodies. In the non-performing credit exposures management, UniCredit group adopts certain strategies that operationally define the activities necessary to achieve the targets defined yearly. The aforementioned strategies concerning impaired loans include: • an effective internal restructuring activity, supported by qualified resources with specific skills dedicated to the management of loans classified as unlikely to pay; within these activities, ad-hoc approaches are then envisaged for positions considered strategic or referring to the Corporate and Real Estate segment; • proactive portfolio management through judicial and extra-judicial procedures managed by internal Workout professionals or assigned to external agencies specialised in credit recovery; • the recourse of alternative recovery strategies (which UniCredit was one of the first banks to use) based on formalised partnerships aimed at managing positions in the industrial or Real Estate sector; • proactive management of the Leasing portfolio aimed at speeding up the negotiation times of agreements with counterparties in order to obtain a more effective remarketing process; • disposal of impaired loans as further strategy for internal recovery both for individual positions and for portfolios of impaired loans, already classified as bad loans and unlikely to pay. These strategies reflect the main levers for reducing the amount of impaired loans and have led to an important result during 2021, highlighting: • write-off for €2,175 million; • recoveries of €3,647 million; • total non-performing loans sold for €3,761 million. The decrease amount of the stock of impaired loans to Group customers was therefore in line with the reduction targets set within the new strategic plan “UniCredit Unlocked”, achieving an improvement in asset quality with the NPE ratio at 3.6% (-12bps and -3.2% compared to 2021 projections underlying “UniCredit Unlocked”). This result was possible thanks also to the reduction of the "Non Core" portfolio, whose rundown was completed by 2021, thanks to the activation of a coordinated set of levers aimed at reducing the stock. A successful NPE Strategy execution requires effective interaction between the Group Risk Management structure and the functions dedicated to the management of non-performing exposures directly reporting the local CROs of the Legal Entities. More specifically, within Group Risk Management, the Group NPE structure was set-up in order to ensure on the one hand an adequate control over the execution and monitoring of the NPE Strategy (which includes the sale of non-performing loans through "Group Distressed Asset Management" and the proactive management of the collateral for the properties acquired through "Npe Portfolio & Repossessed Assets Management") and, on the other hand, an effective cooperation thanks to the joint work carried out with the other Group Risk Management functions. 56The regulatory framework for the transition from performing to non-performing exposures ("criteria for a return to a non-defaulted status ") will be integrated with the entry into force of the "Guidelines on the application of the definition of default under Art.178 of EU Regulation No.575/2013 "(EBA/GL/2016/07) as of 1 January 2021. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 326 2021 Annual Report and Accounts · UniCredit According to the Group rules, all debtors in the bank's portfolio must be mapped in the classes defined by Banca d’Italia, regardless of local reporting which has to be performed according to local accounting standards and/or local supervisory regulations or instructions. These classification rules are further integrated by accounting principles defined in IFRS9, according to which credit exposures must be allocated in three "stages" (for details see section "Expected loss measurement method” - Section 2). With regard to non-performing exposures, the allocation to "Stage 3" occurs when the customer's status changes into "non-performing". This is a classification at counterparty level and not at transaction level based on specific regulations on the classification of non-performing exposures. In accordance with Art.156 EBA ITS, an exposure must remain classified as non-performing56 as long as the following criteria (exit criteria) are not met simultaneously: • the situation of the debtor has improved to the extent that full repayment of the original due amount is likely to be made; • the debtor does not have any amount past-due by more than 90 days. Specific exit criteria must be applied in case the forbearance measures are extended to non-performing exposures, listed below: • the starting date of the observation period of one year is the latest between the adoption of Forbearance measures and the classification as non-performing; • any past due amount is verified if no past due occurs at debtor level; • concerns regarding the “full repayment" refer to a judgmental evaluation by the empowered Bodies. In the non-performing credit exposures management, UniCredit group adopts certain strategies that operationally define the activities necessary to achieve the targets defined yearly. The aforementioned strategies concerning impaired loans include: • an effective internal restructuring activity, supported by qualified resources with specific skills dedicated to the management of loans classified as unlikely to pay; within these activities, ad-hoc approaches are then envisaged for positions considered strategic or referring to the Corporate and Real Estate segment; • proactive portfolio management through judicial and extra-judicial procedures managed by internal Workout professionals or assigned to external agencies specialised in credit recovery; • the recourse of alternative recovery strategies (which UniCredit was one of the first banks to use) based on formalised partnerships aimed at managing positions in the industrial or Real Estate sector; • proactive management of the Leasing portfolio aimed at speeding up the negotiation times of agreements with counterparties in order to obtain a more effective remarketing process; • disposal of impaired loans as further strategy for internal recovery both for individual positions and for portfolios of impaired loans, already classified as bad loans and unlikely to pay. These strategies reflect the main levers for reducing the amount of impaired loans and have led to an important result during 2021, highlighting: • write-off for €2,175 million; • recoveries of €3,647 million; • total non-performing loans sold for €3,761 million. The decrease amount of the stock of impaired loans to Group customers was therefore in line with the reduction targets set within the new strategic plan “UniCredit Unlocked”, achieving an improvement in asset quality with the NPE ratio at 3.6% (-12bps and -3.2% compared to 2021 projections underlying “UniCredit Unlocked”). This result was possible thanks also to the reduction of the "Non Core" portfolio, whose rundown was completed by 2021, thanks to the activation of a coordinated set of levers aimed at reducing the stock. A successful NPE Strategy execution requires effective interaction between the Group Risk Management structure and the functions dedicated to the management of non-performing exposures directly reporting the local CROs of the Legal Entities. More specifically, within Group Risk Management, the Group NPE structure was set-up in order to ensure on the one hand an adequate control over the execution and monitoring of the NPE Strategy (which includes the sale of non-performing loans through "Group Distressed Asset Management" and the proactive management of the collateral for the properties acquired through "Npe Portfolio & Repossessed Assets Management") and, on the other hand, an effective cooperation thanks to the joint work carried out with the other Group Risk Management functions. 56The regulatory framework for the transition from performing to non-performing exposures ("criteria for a return to a non-defaulted status ") will be integrated with the entry into force of the "Guidelines on the application of the definition of default under Art.178 of EU Regulation No.575/2013 "(EBA/GL/2016/07) as of 1 January 2021. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 326 2021 Annual Report and Accounts · UniCredit According to the Group rules, all debtors in the bank's portfolio must be mapped in the classes defined by Banca d’Italia, regardless of local reporting which has to be performed according to local accounting standards and/or local supervisory regulations or instructions. These classification rules are further integrated by accounting principles defined in IFRS9, according to which credit exposures must be allocated in three "stages" (for details see section "Expected loss measurement method” - Section 2). With regard to non-performing exposures, the allocation to "Stage 3" occurs when the customer's status changes into "non-performing". This is a classification at counterparty level and not at transaction level based on specific regulations on the classification of non-performing exposures. In accordance with Art.156 EBA ITS, an exposure must remain classified as non-performing56 as long as the following criteria (exit criteria) are not met simultaneously: • the situation of the debtor has improved to the extent that full repayment of the original due amount is likely to be made; • the debtor does not have any amount past-due by more than 90 days. Specific exit criteria must be applied in case the forbearance measures are extended to non-performing exposures, listed below: • the starting date of the observation period of one year is the latest between the adoption of Forbearance measures and the classification as non-performing; • any past due amount is verified if no past due occurs at debtor level; • concerns regarding the “full repayment" refer to a judgmental evaluation by the empowered Bodies. In the non-performing credit exposures management, UniCredit group adopts certain strategies that operationally define the activities necessary to achieve the targets defined yearly. The aforementioned strategies concerning impaired loans include: • an effective internal restructuring activity, supported by qualified resources with specific skills dedicated to the management of loans classified as unlikely to pay; within these activities, ad-hoc approaches are then envisaged for positions considered strategic or referring to the Corporate and Real Estate segment; • proactive portfolio management through judicial and extra-judicial procedures managed by internal Workout professionals or assigned to external agencies specialised in credit recovery; • the recourse of alternative recovery strategies (which UniCredit was one of the first banks to use) based on formalised partnerships aimed at managing positions in the industrial or Real Estate sector; • proactive management of the Leasing portfolio aimed at speeding up the negotiation times of agreements with counterparties in order to obtain a more effective remarketing process; • disposal of impaired loans as further strategy for internal recovery both for individual positions and for portfolios of impaired loans, already classified as bad loans and unlikely to pay. These strategies reflect the main levers for reducing the amount of impaired loans and have led to an important result during 2021, highlighting: • write-off for €2,175 million; • recoveries of €3,647 million; • total non-performing loans sold for €3,761 million. The decrease amount of the stock of impaired loans to Group customers was therefore in line with the reduction targets set within the new strategic plan “UniCredit Unlocked”, achieving an improvement in asset quality with the NPE ratio at 3.6% (-12bps and -3.2% compared to 2021 projections underlying “UniCredit Unlocked”). This result was possible thanks also to the reduction of the "Non Core" portfolio, whose rundown was completed by 2021, thanks to the activation of a coordinated set of levers aimed at reducing the stock. A successful NPE Strategy execution requires effective interaction between the Group Risk Management structure and the functions dedicated to the management of non-performing exposures directly reporting the local CROs of the Legal Entities. More specifically, within Group Risk Management, the Group NPE structure was set-up in order to ensure on the one hand an adequate control over the execution and monitoring of the NPE Strategy (which includes the sale of non-performing loans through "Group Distressed Asset Management" and the proactive management of the collateral for the properties acquired through "Npe Portfolio & Repossessed Assets Management") and, on the other hand, an effective cooperation thanks to the joint work carried out with the other Group Risk Management functions. 56The regulatory framework for the transition from performing to non-performing exposures ("criteria for a return to a non-defaulted status ") will be integrated with the entry into force of the "Guidelines on the application of the definition of default under Art.178 of EU Regulation No.575/2013 "(EBA/GL/2016/07) as of 1 January 2021. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 326 2021 Annual Report and Accounts · UniCredit According to the Group rules, all debtors in the bank's portfolio must be mapped in the classes defined by Banca d’Italia, regardless of local reporting which has to be performed according to local accounting standards and/or local supervisory regulations or instructions. These classification rules are further integrated by accounting principles defined in IFRS9, according to which credit exposures must be allocated in three "stages" (for details see section "Expected loss measurement method” - Section 2). With regard to non-performing exposures, the allocation to "Stage 3" occurs when the customer's status changes into "non-performing". This is a classification at counterparty level and not at transaction level based on specific regulations on the classification of non-performing exposures. In accordance with Art.156 EBA ITS, an exposure must remain classified as non-performing56 as long as the following criteria (exit criteria) are not met simultaneously: • the situation of the debtor has improved to the extent that full repayment of the original due amount is likely to be made; • the debtor does not have any amount past-due by more than 90 days. Specific exit criteria must be applied in case the forbearance measures are extended to non-performing exposures, listed below: • the starting date of the observation period of one year is the latest between the adoption of Forbearance measures and the classification as non-performing; • any past due amount is verified if no past due occurs at debtor level; • concerns regarding the “full repayment" refer to a judgmental evaluation by the empowered Bodies. In the non-performing credit exposures management, UniCredit group adopts certain strategies that operationally define the activities necessary to achieve the targets defined yearly. The aforementioned strategies concerning impaired loans include: • an effective internal restructuring activity, supported by qualified resources with specific skills dedicated to the management of loans classified as unlikely to pay; within these activities, ad-hoc approaches are then envisaged for positions considered strategic or referring to the Corporate and Real Estate segment; • proactive portfolio management through judicial and extra-judicial procedures managed by internal Workout professionals or assigned to external agencies specialised in credit recovery; • the recourse of alternative recovery strategies (which UniCredit was one of the first banks to use) based on formalised partnerships aimed at managing positions in the industrial or Real Estate sector; • proactive management of the Leasing portfolio aimed at speeding up the negotiation times of agreements with counterparties in order to obtain a more effective remarketing process; • disposal of impaired loans as further strategy for internal recovery both for individual positions and for portfolios of impaired loans, already classified as bad loans and unlikely to pay. These strategies reflect the main levers for reducing the amount of impaired loans and have led to an important result during 2021, highlighting: • write-off for €2,175 million; • recoveries of €3,647 million; • total non-performing loans sold for €3,761 million. The decrease amount of the stock of impaired loans to Group customers was therefore in line with the reduction targets set within the new strategic plan “UniCredit Unlocked”, achieving an improvement in asset quality with the NPE ratio at 3.6% (-12bps and -3.2% compared to 2021 projections underlying “UniCredit Unlocked”). This result was possible thanks also to the reduction of the "Non Core" portfolio, whose rundown was completed by 2021, thanks to the activation of a coordinated set of levers aimed at reducing the stock. A successful NPE Strategy execution requires effective interaction between the Group Risk Management structure and the functions dedicated to the management of non-performing exposures directly reporting the local CROs of the Legal Entities. More specifically, within Group Risk Management, the Group NPE structure was set-up in order to ensure on the one hand an adequate control over the execution and monitoring of the NPE Strategy (which includes the sale of non-performing loans through "Group Distressed Asset Management" and the proactive management of the collateral for the properties acquired through "Npe Portfolio & Repossessed Assets Management") and, on the other hand, an effective cooperation thanks to the joint work carried out with the other Group Risk Management functions. 56The regulatory framework for the transition from performing to non-performing exposures ("criteria for a return to a non-defaulted status ") will be integrated with the entry into force of the "Guidelines on the application of the definition of default under Art.178 of EU Regulation No.575/2013 "(EBA/GL/2016/07) as of 1 January 2021. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 327 In the all legal entities dedicated functions to the management of non-performing exposures are in place; they cover all the phases of the NPEs life cycle, take into account local regulations and the specific characteristics of portfolios, monitor and manage the amount of NPEs coherently with both European Central Bank Guidelines and Group organisational model. The structures dedicated to the operational management of non-performing exposures are therefore tailored to each state of the life cycle of non-performing loans, starting from a careful monitoring of the performing portfolio, up to the recovery activity that includes the disposal of credit or the “repossession” of the collateral. In particular, the monitoring activity is aimed at preventing flows to default and reducing the amount of past due exposures by detecting signals of risk of deterioration and early warning, as well as identifying the needed corrective measures to manage the potential deterioration of exposures starting from the early signs of worsening of the counterparties’ credit quality. Soft collection, door-to-door and re-management activities which pertains both performing (though already overdue) counterparties and already defaulted clients are carried out through the use of multiple channels, also using outsourcing solutions to third-party companies (in particular for door-to-door recovery activities). These activities also aim at preventing flows to default and facilitating the back-to-performing classification (main focus), thus contributing to a reduction of the overall amount of non-performing exposures. In Group’s legal entities the aforementioned activities can be managed within either the Monitoring, or Restructuring or Workout units. As part of the overall management of deteriorated exposures, the Restructuring activity is aimed at mitigating the risk of insolvency and the quality of exposures with restructuring agreements and company reorganisation plans as well as reducing the amount of unlikely to pay with recoveries and performing re-classification, by means of forbearance measures. Specifically, among the strategies for managing unlikely to pay loans to corporate counterparties, there are also restructuring platforms (up to now limited to the Italian market), the disposal of individual exposures and extraordinary finance transactions. The coordination and implementation of recovery strategy on positions classified as bad loans fall instead within the responsibility of the "Workout" unit, whose reporting structures identify the optimal strategies for maximising recoveries, including the timely enforcement of collaterals. In some Group legal entity the activity is also implemented by leveraging on service agreements with external agencies. As pertains the disposal activities, these refer to the organisation, management and execution of sales processes (both credit portfolios and individual positions), through the application of a transparent and competitive methodology based on market criteria. At Group level, these activities are performed by a dedicated department within UniCredit S.p.A. (Group Distressed Asset Management), which evaluates various disposal options alternatives, in cooperation with the legal entity’s peer function where deemed necessary to handle specific local cases. The proactive management of real estate guarantees is coordinated at Parent Company level by a dedicated department (NPE Portfolio & Repossessed Assets Management), which oversees the strategy of repossession of the collateral and the specific activities carried out within the Group, particularly in those entities specialised in the acquisition of collateral (for example the UCTAM company). The aforementioned function also oversees the possible creation of a "Real Estate Owned Company" (“ReoCo”) in Italy. Beyond the operational responsibilities in the non-performing exposures management, from a governance and strategic coordination standpoint a framework which foresees periodic alignments with top management and sharing of the NPE strategies in official committees and also between the Holding company and the other Group companies has been set up in order to ensure the effective steering, coordination and control of the non-performing loans reduction plan, ensuring an effective alignment of the common objectives between the Parent Company and the various Group legal entities, also through the involvement of both "Group Risk Management" and "Group Lending Officer" functions according to the instructions of the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). As clarified above, UniCredit has defined group-wide guidelines in order to ensure the full alignment between the Default, Impaired and NPE definitions, in order to have a homogeneous approach on the loan categorisation practices for supervisory and reporting purposes, adopting the Default definition as the basis for the provisions calculation. To this aim the Group has defined a list of events directly qualifying the Unlikely to Pay status (Default events) and a list of triggers for the detection to be assessed for the confirmation of the Unlikely to Pay status. In line with the guidelines provided by ECB the latter are differentiated among trigger events “hard” and “soft”. The “hard” triggers imply that obligors are classified as Unlikely to Pay with little room of interpretation, as these events very often, due to their nature, fulfill the definition of Unlikely to Pay. The “Soft” triggers shall be considered for the assessment of the unlikeness to pay requirement of the obligor. In presence of one of these evidences, the capability of repayment has to be assessed. 3.2 Write-off Group guidelines for write-offs on financial assets provides that whenever a loan is deemed to be uncollectable/unrecoverable it needs to be identified at the earliest possible opportunity and properly dealt with in accordance with financial regulations. Write-offs can relate to a financial asset in its entirety, or to a portion of it. In assessing the recoverability of non-performing exposures (NPE) and in determining internal NPE write-off approaches, the following cases, in particular, are taken into account: • exposures with prolonged arrears: it is assessed the recoverability of an exposure that presents arrears for a prolonged period of time. If, following this assessment, an exposure or part of an exposure is deemed as non-recoverable, it should be written-off in a timely manner, adopting different thresholds predefined on the basis of the different portfolios; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 327 In the all legal entities dedicated functions to the management of non-performing exposures are in place; they cover all the phases of the NPEs life cycle, take into account local regulations and the specific characteristics of portfolios, monitor and manage the amount of NPEs coherently with both European Central Bank Guidelines and Group organisational model. The structures dedicated to the operational management of non-performing exposures are therefore tailored to each state of the life cycle of non-performing loans, starting from a careful monitoring of the performing portfolio, up to the recovery activity that includes the disposal of credit or the “repossession” of the collateral. In particular, the monitoring activity is aimed at preventing flows to default and reducing the amount of past due exposures by detecting signals of risk of deterioration and early warning, as well as identifying the needed corrective measures to manage the potential deterioration of exposures starting from the early signs of worsening of the counterparties’ credit quality. Soft collection, door-to-door and re-management activities which pertains both performing (though already overdue) counterparties and already defaulted clients are carried out through the use of multiple channels, also using outsourcing solutions to third-party companies (in particular for door-to-door recovery activities). These activities also aim at preventing flows to default and facilitating the back-to-performing classification (main focus), thus contributing to a reduction of the overall amount of non-performing exposures. In Group’s legal entities the aforementioned activities can be managed within either the Monitoring, or Restructuring or Workout units. As part of the overall management of deteriorated exposures, the Restructuring activity is aimed at mitigating the risk of insolvency and the quality of exposures with restructuring agreements and company reorganisation plans as well as reducing the amount of unlikely to pay with recoveries and performing re-classification, by means of forbearance measures. Specifically, among the strategies for managing unlikely to pay loans to corporate counterparties, there are also restructuring platforms (up to now limited to the Italian market), the disposal of individual exposures and extraordinary finance transactions. The coordination and implementation of recovery strategy on positions classified as bad loans fall instead within the responsibility of the "Workout" unit, whose reporting structures identify the optimal strategies for maximising recoveries, including the timely enforcement of collaterals. In some Group legal entity the activity is also implemented by leveraging on service agreements with external agencies. As pertains the disposal activities, these refer to the organisation, management and execution of sales processes (both credit portfolios and individual positions), through the application of a transparent and competitive methodology based on market criteria. At Group level, these activities are performed by a dedicated department within UniCredit S.p.A. (Group Distressed Asset Management), which evaluates various disposal options alternatives, in cooperation with the legal entity’s peer function where deemed necessary to handle specific local cases. The proactive management of real estate guarantees is coordinated at Parent Company level by a dedicated department (NPE Portfolio & Repossessed Assets Management), which oversees the strategy of repossession of the collateral and the specific activities carried out within the Group, particularly in those entities specialised in the acquisition of collateral (for example the UCTAM company). The aforementioned function also oversees the possible creation of a "Real Estate Owned Company" (“ReoCo”) in Italy. Beyond the operational responsibilities in the non-performing exposures management, from a governance and strategic coordination standpoint a framework which foresees periodic alignments with top management and sharing of the NPE strategies in official committees and also between the Holding company and the other Group companies has been set up in order to ensure the effective steering, coordination and control of the non-performing loans reduction plan, ensuring an effective alignment of the common objectives between the Parent Company and the various Group legal entities, also through the involvement of both "Group Risk Management" and "Group Lending Officer" functions according to the instructions of the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). As clarified above, UniCredit has defined group-wide guidelines in order to ensure the full alignment between the Default, Impaired and NPE definitions, in order to have a homogeneous approach on the loan categorisation practices for supervisory and reporting purposes, adopting the Default definition as the basis for the provisions calculation. To this aim the Group has defined a list of events directly qualifying the Unlikely to Pay status (Default events) and a list of triggers for the detection to be assessed for the confirmation of the Unlikely to Pay status. In line with the guidelines provided by ECB the latter are differentiated among trigger events “hard” and “soft”. The “hard” triggers imply that obligors are classified as Unlikely to Pay with little room of interpretation, as these events very often, due to their nature, fulfill the definition of Unlikely to Pay. The “Soft” triggers shall be considered for the assessment of the unlikeness to pay requirement of the obligor. In presence of one of these evidences, the capability of repayment has to be assessed. 3.2 Write-off Group guidelines for write-offs on financial assets provides that whenever a loan is deemed to be uncollectable/unrecoverable it needs to be identified at the earliest possible opportunity and properly dealt with in accordance with financial regulations. Write-offs can relate to a financial asset in its entirety, or to a portion of it. In assessing the recoverability of non-performing exposures (NPE) and in determining internal NPE write-off approaches, the following cases, in particular, are taken into account: • exposures with prolonged arrears: it is assessed the recoverability of an exposure that presents arrears for a prolonged period of time. If, following this assessment, an exposure or part of an exposure is deemed as non-recoverable, it should be written-off in a timely manner, adopting different thresholds predefined on the basis of the different portfolios; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 327 In the all legal entities dedicated functions to the management of non-performing exposures are in place; they cover all the phases of the NPEs life cycle, take into account local regulations and the specific characteristics of portfolios, monitor and manage the amount of NPEs coherently with both European Central Bank Guidelines and Group organisational model. The structures dedicated to the operational management of non-performing exposures are therefore tailored to each state of the life cycle of non-performing loans, starting from a careful monitoring of the performing portfolio, up to the recovery activity that includes the disposal of credit or the “repossession” of the collateral. In particular, the monitoring activity is aimed at preventing flows to default and reducing the amount of past due exposures by detecting signals of risk of deterioration and early warning, as well as identifying the needed corrective measures to manage the potential deterioration of exposures starting from the early signs of worsening of the counterparties’ credit quality. Soft collection, door-to-door and re-management activities which pertains both performing (though already overdue) counterparties and already defaulted clients are carried out through the use of multiple channels, also using outsourcing solutions to third-party companies (in particular for door-to-door recovery activities). These activities also aim at preventing flows to default and facilitating the back-to-performing classification (main focus), thus contributing to a reduction of the overall amount of non-performing exposures. In Group’s legal entities the aforementioned activities can be managed within either the Monitoring, or Restructuring or Workout units. As part of the overall management of deteriorated exposures, the Restructuring activity is aimed at mitigating the risk of insolvency and the quality of exposures with restructuring agreements and company reorganisation plans as well as reducing the amount of unlikely to pay with recoveries and performing re-classification, by means of forbearance measures. Specifically, among the strategies for managing unlikely to pay loans to corporate counterparties, there are also restructuring platforms (up to now limited to the Italian market), the disposal of individual exposures and extraordinary finance transactions. The coordination and implementation of recovery strategy on positions classified as bad loans fall instead within the responsibility of the "Workout" unit, whose reporting structures identify the optimal strategies for maximising recoveries, including the timely enforcement of collaterals. In some Group legal entity the activity is also implemented by leveraging on service agreements with external agencies. As pertains the disposal activities, these refer to the organisation, management and execution of sales processes (both credit portfolios and individual positions), through the application of a transparent and competitive methodology based on market criteria. At Group level, these activities are performed by a dedicated department within UniCredit S.p.A. (Group Distressed Asset Management), which evaluates various disposal options alternatives, in cooperation with the legal entity’s peer function where deemed necessary to handle specific local cases. The proactive management of real estate guarantees is coordinated at Parent Company level by a dedicated department (NPE Portfolio & Repossessed Assets Management), which oversees the strategy of repossession of the collateral and the specific activities carried out within the Group, particularly in those entities specialised in the acquisition of collateral (for example the UCTAM company). The aforementioned function also oversees the possible creation of a "Real Estate Owned Company" (“ReoCo”) in Italy. Beyond the operational responsibilities in the non-performing exposures management, from a governance and strategic coordination standpoint a framework which foresees periodic alignments with top management and sharing of the NPE strategies in official committees and also between the Holding company and the other Group companies has been set up in order to ensure the effective steering, coordination and control of the non-performing loans reduction plan, ensuring an effective alignment of the common objectives between the Parent Company and the various Group legal entities, also through the involvement of both "Group Risk Management" and "Group Lending Officer" functions according to the instructions of the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). As clarified above, UniCredit has defined group-wide guidelines in order to ensure the full alignment between the Default, Impaired and NPE definitions, in order to have a homogeneous approach on the loan categorisation practices for supervisory and reporting purposes, adopting the Default definition as the basis for the provisions calculation. To this aim the Group has defined a list of events directly qualifying the Unlikely to Pay status (Default events) and a list of triggers for the detection to be assessed for the confirmation of the Unlikely to Pay status. In line with the guidelines provided by ECB the latter are differentiated among trigger events “hard” and “soft”. The “hard” triggers imply that obligors are classified as Unlikely to Pay with little room of interpretation, as these events very often, due to their nature, fulfill the definition of Unlikely to Pay. The “Soft” triggers shall be considered for the assessment of the unlikeness to pay requirement of the obligor. In presence of one of these evidences, the capability of repayment has to be assessed. 3.2 Write-off Group guidelines for write-offs on financial assets provides that whenever a loan is deemed to be uncollectable/unrecoverable it needs to be identified at the earliest possible opportunity and properly dealt with in accordance with financial regulations. Write-offs can relate to a financial asset in its entirety, or to a portion of it. In assessing the recoverability of non-performing exposures (NPE) and in determining internal NPE write-off approaches, the following cases, in particular, are taken into account: • exposures with prolonged arrears: it is assessed the recoverability of an exposure that presents arrears for a prolonged period of time. If, following this assessment, an exposure or part of an exposure is deemed as non-recoverable, it should be written-off in a timely manner, adopting different thresholds predefined on the basis of the different portfolios; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 327 In the all legal entities dedicated functions to the management of non-performing exposures are in place; they cover all the phases of the NPEs life cycle, take into account local regulations and the specific characteristics of portfolios, monitor and manage the amount of NPEs coherently with both European Central Bank Guidelines and Group organisational model. The structures dedicated to the operational management of non-performing exposures are therefore tailored to each state of the life cycle of non-performing loans, starting from a careful monitoring of the performing portfolio, up to the recovery activity that includes the disposal of credit or the “repossession” of the collateral. In particular, the monitoring activity is aimed at preventing flows to default and reducing the amount of past due exposures by detecting signals of risk of deterioration and early warning, as well as identifying the needed corrective measures to manage the potential deterioration of exposures starting from the early signs of worsening of the counterparties’ credit quality. Soft collection, door-to-door and re-management activities which pertains both performing (though already overdue) counterparties and already defaulted clients are carried out through the use of multiple channels, also using outsourcing solutions to third-party companies (in particular for door-to-door recovery activities). These activities also aim at preventing flows to default and facilitating the back-to-performing classification (main focus), thus contributing to a reduction of the overall amount of non-performing exposures. In Group’s legal entities the aforementioned activities can be managed within either the Monitoring, or Restructuring or Workout units. As part of the overall management of deteriorated exposures, the Restructuring activity is aimed at mitigating the risk of insolvency and the quality of exposures with restructuring agreements and company reorganisation plans as well as reducing the amount of unlikely to pay with recoveries and performing re-classification, by means of forbearance measures. Specifically, among the strategies for managing unlikely to pay loans to corporate counterparties, there are also restructuring platforms (up to now limited to the Italian market), the disposal of individual exposures and extraordinary finance transactions. The coordination and implementation of recovery strategy on positions classified as bad loans fall instead within the responsibility of the "Workout" unit, whose reporting structures identify the optimal strategies for maximising recoveries, including the timely enforcement of collaterals. In some Group legal entity the activity is also implemented by leveraging on service agreements with external agencies. As pertains the disposal activities, these refer to the organisation, management and execution of sales processes (both credit portfolios and individual positions), through the application of a transparent and competitive methodology based on market criteria. At Group level, these activities are performed by a dedicated department within UniCredit S.p.A. (Group Distressed Asset Management), which evaluates various disposal options alternatives, in cooperation with the legal entity’s peer function where deemed necessary to handle specific local cases. The proactive management of real estate guarantees is coordinated at Parent Company level by a dedicated department (NPE Portfolio & Repossessed Assets Management), which oversees the strategy of repossession of the collateral and the specific activities carried out within the Group, particularly in those entities specialised in the acquisition of collateral (for example the UCTAM company). The aforementioned function also oversees the possible creation of a "Real Estate Owned Company" (“ReoCo”) in Italy. Beyond the operational responsibilities in the non-performing exposures management, from a governance and strategic coordination standpoint a framework which foresees periodic alignments with top management and sharing of the NPE strategies in official committees and also between the Holding company and the other Group companies has been set up in order to ensure the effective steering, coordination and control of the non-performing loans reduction plan, ensuring an effective alignment of the common objectives between the Parent Company and the various Group legal entities, also through the involvement of both "Group Risk Management" and "Group Lending Officer" functions according to the instructions of the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). As clarified above, UniCredit has defined group-wide guidelines in order to ensure the full alignment between the Default, Impaired and NPE definitions, in order to have a homogeneous approach on the loan categorisation practices for supervisory and reporting purposes, adopting the Default definition as the basis for the provisions calculation. To this aim the Group has defined a list of events directly qualifying the Unlikely to Pay status (Default events) and a list of triggers for the detection to be assessed for the confirmation of the Unlikely to Pay status. In line with the guidelines provided by ECB the latter are differentiated among trigger events “hard” and “soft”. The “hard” triggers imply that obligors are classified as Unlikely to Pay with little room of interpretation, as these events very often, due to their nature, fulfill the definition of Unlikely to Pay. The “Soft” triggers shall be considered for the assessment of the unlikeness to pay requirement of the obligor. In presence of one of these evidences, the capability of repayment has to be assessed. 3.2 Write-off Group guidelines for write-offs on financial assets provides that whenever a loan is deemed to be uncollectable/unrecoverable it needs to be identified at the earliest possible opportunity and properly dealt with in accordance with financial regulations. Write-offs can relate to a financial asset in its entirety, or to a portion of it. In assessing the recoverability of non-performing exposures (NPE) and in determining internal NPE write-off approaches, the following cases, in particular, are taken into account: • exposures with prolonged arrears: it is assessed the recoverability of an exposure that presents arrears for a prolonged period of time. If, following this assessment, an exposure or part of an exposure is deemed as non-recoverable, it should be written-off in a timely manner, adopting different thresholds predefined on the basis of the different portfolios; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 327 In the all legal entities dedicated functions to the management of non-performing exposures are in place; they cover all the phases of the NPEs life cycle, take into account local regulations and the specific characteristics of portfolios, monitor and manage the amount of NPEs coherently with both European Central Bank Guidelines and Group organisational model. The structures dedicated to the operational management of non-performing exposures are therefore tailored to each state of the life cycle of non-performing loans, starting from a careful monitoring of the performing portfolio, up to the recovery activity that includes the disposal of credit or the “repossession” of the collateral. In particular, the monitoring activity is aimed at preventing flows to default and reducing the amount of past due exposures by detecting signals of risk of deterioration and early warning, as well as identifying the needed corrective measures to manage the potential deterioration of exposures starting from the early signs of worsening of the counterparties’ credit quality. Soft collection, door-to-door and re-management activities which pertains both performing (though already overdue) counterparties and already defaulted clients are carried out through the use of multiple channels, also using outsourcing solutions to third-party companies (in particular for door-to-door recovery activities). These activities also aim at preventing flows to default and facilitating the back-to-performing classification (main focus), thus contributing to a reduction of the overall amount of non-performing exposures. In Group’s legal entities the aforementioned activities can be managed within either the Monitoring, or Restructuring or Workout units. As part of the overall management of deteriorated exposures, the Restructuring activity is aimed at mitigating the risk of insolvency and the quality of exposures with restructuring agreements and company reorganisation plans as well as reducing the amount of unlikely to pay with recoveries and performing re-classification, by means of forbearance measures. Specifically, among the strategies for managing unlikely to pay loans to corporate counterparties, there are also restructuring platforms (up to now limited to the Italian market), the disposal of individual exposures and extraordinary finance transactions. The coordination and implementation of recovery strategy on positions classified as bad loans fall instead within the responsibility of the "Workout" unit, whose reporting structures identify the optimal strategies for maximising recoveries, including the timely enforcement of collaterals. In some Group legal entity the activity is also implemented by leveraging on service agreements with external agencies. As pertains the disposal activities, these refer to the organisation, management and execution of sales processes (both credit portfolios and individual positions), through the application of a transparent and competitive methodology based on market criteria. At Group level, these activities are performed by a dedicated department within UniCredit S.p.A. (Group Distressed Asset Management), which evaluates various disposal options alternatives, in cooperation with the legal entity’s peer function where deemed necessary to handle specific local cases. The proactive management of real estate guarantees is coordinated at Parent Company level by a dedicated department (NPE Portfolio & Repossessed Assets Management), which oversees the strategy of repossession of the collateral and the specific activities carried out within the Group, particularly in those entities specialised in the acquisition of collateral (for example the UCTAM company). The aforementioned function also oversees the possible creation of a "Real Estate Owned Company" (“ReoCo”) in Italy. Beyond the operational responsibilities in the non-performing exposures management, from a governance and strategic coordination standpoint a framework which foresees periodic alignments with top management and sharing of the NPE strategies in official committees and also between the Holding company and the other Group companies has been set up in order to ensure the effective steering, coordination and control of the non-performing loans reduction plan, ensuring an effective alignment of the common objectives between the Parent Company and the various Group legal entities, also through the involvement of both "Group Risk Management" and "Group Lending Officer" functions according to the instructions of the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). As clarified above, UniCredit has defined group-wide guidelines in order to ensure the full alignment between the Default, Impaired and NPE definitions, in order to have a homogeneous approach on the loan categorisation practices for supervisory and reporting purposes, adopting the Default definition as the basis for the provisions calculation. To this aim the Group has defined a list of events directly qualifying the Unlikely to Pay status (Default events) and a list of triggers for the detection to be assessed for the confirmation of the Unlikely to Pay status. In line with the guidelines provided by ECB the latter are differentiated among trigger events “hard” and “soft”. The “hard” triggers imply that obligors are classified as Unlikely to Pay with little room of interpretation, as these events very often, due to their nature, fulfill the definition of Unlikely to Pay. The “Soft” triggers shall be considered for the assessment of the unlikeness to pay requirement of the obligor. In presence of one of these evidences, the capability of repayment has to be assessed. 3.2 Write-off Group guidelines for write-offs on financial assets provides that whenever a loan is deemed to be uncollectable/unrecoverable it needs to be identified at the earliest possible opportunity and properly dealt with in accordance with financial regulations. Write-offs can relate to a financial asset in its entirety, or to a portion of it. In assessing the recoverability of non-performing exposures (NPE) and in determining internal NPE write-off approaches, the following cases, in particular, are taken into account: • exposures with prolonged arrears: it is assessed the recoverability of an exposure that presents arrears for a prolonged period of time. If, following this assessment, an exposure or part of an exposure is deemed as non-recoverable, it should be written-off in a timely manner, adopting different thresholds predefined on the basis of the different portfolios; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 328 2021 Annual Report and Accounts · UniCredit • exposures under insolvency procedure: where the collateralization of the exposure is low, legal expenses often absorb a significant portion of the proceeds from the bankruptcy procedure and therefore estimated recoveries are expected to be very low; • a partial write-off may be warranted where there are reasonable elements to demonstrate the debtor's inability to repay the full amount of the debt, i.e. a significant level of debt, even following the implementation of a forbearance treatment and/or the execution of collateral. Below a non-exhaustive list of hard evidences implying, with high likelihood, the not recoverability of the exposure, to be assessed, for the potential (total or partial) write-off: • the Bank cannot call the guarantor(s), or his assets are not sufficient for the recovery of the debtor’s exposures; • negative outcome of the judicial and/or out-of-court initiatives with absence of other assets that can be called in the event of un-recoverability of the debtor’s exposures; • impossibility to initiate actions to recover credit; • current insolvency procedure, from which the procedure itself states that the unsecured exposures will not have redress; • loans not backed by mortgage security older than 3 years that have not registered repayments/collections during the first 3 years after the NPE classification. Specifically, for UniCredit group perimeter, Write-offs on financial assets still subject to an enforcement procedure amount to €10,759 million as of 31 December 2021, of which partial write-offs amount to €1,911 million and total write-offs amount to €8,848 million. The amount of write-offs (both partial and total) related to the 2021 financial year is €1,237 million. 2021 write-offs cannot be compared with write-offs amount reported in gross changes in non-performing exposures, because the latter includes “debt forgiveness”. 3.3 Acquired or originated impaired financial assets Purchased or Originated Credit Impaired (“POCI”) are credit exposures that are already impaired on initial recognition. Consequently, every purchase of credit assets of Non Performing obligors or significant new origination done on obligors already in Non-Performing status, considering the full alignment between impaired status and Non-Performing one, shall be considered as POCI Assets (though, in general, POCI classification is the result of the restructuring of impaired exposures which has led to the provision of significant new finance, either in absolute or in relative terms, compared with the among of the original exposure). These exposures are subject to management, measurement and control according to the principles described in the paragraph “2.2 Credit risk management, measurement and control”, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk policies management. In particular, the expected credit losses recorded at initial recognition within the carrying amount of the instrument are periodically reviewed on the basis of the processes described in the previous paragraphs. The expected credit loss calculated for these credit exposures is always determined considering their residual life, and such exposure are conventionally allocated into Stage 3, or in Stage 2 if, as a result of an improvement in the creditworthiness of the counterparty following the initial recognition, the assets are performing. These assets are never classified under Stage 1 because the expected credit loss must always be calculated considering a time horizon equal to the residual duration. 4. Financial assets subject to commercial renegotiations and forborne exposures Changes in existing financial instruments which determine a modification of contractual conditions might be the result of either: • commercial initiatives, which may be specific for each customer or applied to portfolio of customers also as a result of dedicated initiatives sponsored by public authorities or banking associations; • concessions granted in light of debtor’s financial difficulties (Forbearance). Such changes are accounted on the basis of whether the modification is considered significant or not. In this regard, reference is made to the Part A - Accounting policies, A.2 - Main items of the accounts. The concessions granted due to debtor’s financial difficulties, so called Forbearance initiatives, are usually considered not significant from an accounting perspective. 4.1 Loan categorisation in the risk categories and forborne exposures In July 2014, the European Banking Authorities issued the “Implementing Technical Standards” (“ITS”) on non-performing and Forborne exposures, with the aim to allow, a closer supervisory monitoring of banking forbearance practices. In line with the mentioned ITS, a transaction has to be considered as forborne when both of the following conditions are simultaneously met: • a concession in favour of the debtor exists, in the form of either (i) a contractual modification or (ii) refinancing aimed at ensuring the repayment of pre-existing obligation; • the debtor is facing or about to face financial difficulties. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 328 2021 Annual Report and Accounts · UniCredit • exposures under insolvency procedure: where the collateralization of the exposure is low, legal expenses often absorb a significant portion of the proceeds from the bankruptcy procedure and therefore estimated recoveries are expected to be very low; • a partial write-off may be warranted where there are reasonable elements to demonstrate the debtor's inability to repay the full amount of the debt, i.e. a significant level of debt, even following the implementation of a forbearance treatment and/or the execution of collateral. Below a non-exhaustive list of hard evidences implying, with high likelihood, the not recoverability of the exposure, to be assessed, for the potential (total or partial) write-off: • the Bank cannot call the guarantor(s), or his assets are not sufficient for the recovery of the debtor’s exposures; • negative outcome of the judicial and/or out-of-court initiatives with absence of other assets that can be called in the event of un-recoverability of the debtor’s exposures; • impossibility to initiate actions to recover credit; • current insolvency procedure, from which the procedure itself states that the unsecured exposures will not have redress; • loans not backed by mortgage security older than 3 years that have not registered repayments/collections during the first 3 years after the NPE classification. Specifically, for UniCredit group perimeter, Write-offs on financial assets still subject to an enforcement procedure amount to €10,759 million as of 31 December 2021, of which partial write-offs amount to €1,911 million and total write-offs amount to €8,848 million. The amount of write-offs (both partial and total) related to the 2021 financial year is €1,237 million. 2021 write-offs cannot be compared with write-offs amount reported in gross changes in non-performing exposures, because the latter includes “debt forgiveness”. 3.3 Acquired or originated impaired financial assets Purchased or Originated Credit Impaired (“POCI”) are credit exposures that are already impaired on initial recognition. Consequently, every purchase of credit assets of Non Performing obligors or significant new origination done on obligors already in Non-Performing status, considering the full alignment between impaired status and Non-Performing one, shall be considered as POCI Assets (though, in general, POCI classification is the result of the restructuring of impaired exposures which has led to the provision of significant new finance, either in absolute or in relative terms, compared with the among of the original exposure). These exposures are subject to management, measurement and control according to the principles described in the paragraph “2.2 Credit risk management, measurement and control”, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk policies management. In particular, the expected credit losses recorded at initial recognition within the carrying amount of the instrument are periodically reviewed on the basis of the processes described in the previous paragraphs. The expected credit loss calculated for these credit exposures is always determined considering their residual life, and such exposure are conventionally allocated into Stage 3, or in Stage 2 if, as a result of an improvement in the creditworthiness of the counterparty following the initial recognition, the assets are performing. These assets are never classified under Stage 1 because the expected credit loss must always be calculated considering a time horizon equal to the residual duration. 4. Financial assets subject to commercial renegotiations and forborne exposures Changes in existing financial instruments which determine a modification of contractual conditions might be the result of either: • commercial initiatives, which may be specific for each customer or applied to portfolio of customers also as a result of dedicated initiatives sponsored by public authorities or banking associations; • concessions granted in light of debtor’s financial difficulties (Forbearance). Such changes are accounted on the basis of whether the modification is considered significant or not. In this regard, reference is made to the Part A - Accounting policies, A.2 - Main items of the accounts. The concessions granted due to debtor’s financial difficulties, so called Forbearance initiatives, are usually considered not significant from an accounting perspective. 4.1 Loan categorisation in the risk categories and forborne exposures In July 2014, the European Banking Authorities issued the “Implementing Technical Standards” (“ITS”) on non-performing and Forborne exposures, with the aim to allow, a closer supervisory monitoring of banking forbearance practices. In line with the mentioned ITS, a transaction has to be considered as forborne when both of the following conditions are simultaneously met: • a concession in favour of the debtor exists, in the form of either (i) a contractual modification or (ii) refinancing aimed at ensuring the repayment of pre-existing obligation; • the debtor is facing or about to face financial difficulties. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 328 2021 Annual Report and Accounts · UniCredit • exposures under insolvency procedure: where the collateralization of the exposure is low, legal expenses often absorb a significant portion of the proceeds from the bankruptcy procedure and therefore estimated recoveries are expected to be very low; • a partial write-off may be warranted where there are reasonable elements to demonstrate the debtor's inability to repay the full amount of the debt, i.e. a significant level of debt, even following the implementation of a forbearance treatment and/or the execution of collateral. Below a non-exhaustive list of hard evidences implying, with high likelihood, the not recoverability of the exposure, to be assessed, for the potential (total or partial) write-off: • the Bank cannot call the guarantor(s), or his assets are not sufficient for the recovery of the debtor’s exposures; • negative outcome of the judicial and/or out-of-court initiatives with absence of other assets that can be called in the event of un-recoverability of the debtor’s exposures; • impossibility to initiate actions to recover credit; • current insolvency procedure, from which the procedure itself states that the unsecured exposures will not have redress; • loans not backed by mortgage security older than 3 years that have not registered repayments/collections during the first 3 years after the NPE classification. Specifically, for UniCredit group perimeter, Write-offs on financial assets still subject to an enforcement procedure amount to €10,759 million as of 31 December 2021, of which partial write-offs amount to €1,911 million and total write-offs amount to €8,848 million. The amount of write-offs (both partial and total) related to the 2021 financial year is €1,237 million. 2021 write-offs cannot be compared with write-offs amount reported in gross changes in non-performing exposures, because the latter includes “debt forgiveness”. 3.3 Acquired or originated impaired financial assets Purchased or Originated Credit Impaired (“POCI”) are credit exposures that are already impaired on initial recognition. Consequently, every purchase of credit assets of Non Performing obligors or significant new origination done on obligors already in Non-Performing status, considering the full alignment between impaired status and Non-Performing one, shall be considered as POCI Assets (though, in general, POCI classification is the result of the restructuring of impaired exposures which has led to the provision of significant new finance, either in absolute or in relative terms, compared with the among of the original exposure). These exposures are subject to management, measurement and control according to the principles described in the paragraph “2.2 Credit risk management, measurement and control”, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk policies management. In particular, the expected credit losses recorded at initial recognition within the carrying amount of the instrument are periodically reviewed on the basis of the processes described in the previous paragraphs. The expected credit loss calculated for these credit exposures is always determined considering their residual life, and such exposure are conventionally allocated into Stage 3, or in Stage 2 if, as a result of an improvement in the creditworthiness of the counterparty following the initial recognition, the assets are performing. These assets are never classified under Stage 1 because the expected credit loss must always be calculated considering a time horizon equal to the residual duration. 4. Financial assets subject to commercial renegotiations and forborne exposures Changes in existing financial instruments which determine a modification of contractual conditions might be the result of either: • commercial initiatives, which may be specific for each customer or applied to portfolio of customers also as a result of dedicated initiatives sponsored by public authorities or banking associations; • concessions granted in light of debtor’s financial difficulties (Forbearance). Such changes are accounted on the basis of whether the modification is considered significant or not. In this regard, reference is made to the Part A - Accounting policies, A.2 - Main items of the accounts. The concessions granted due to debtor’s financial difficulties, so called Forbearance initiatives, are usually considered not significant from an accounting perspective. 4.1 Loan categorisation in the risk categories and forborne exposures In July 2014, the European Banking Authorities issued the “Implementing Technical Standards” (“ITS”) on non-performing and Forborne exposures, with the aim to allow, a closer supervisory monitoring of banking forbearance practices. In line with the mentioned ITS, a transaction has to be considered as forborne when both of the following conditions are simultaneously met: • a concession in favour of the debtor exists, in the form of either (i) a contractual modification or (ii) refinancing aimed at ensuring the repayment of pre-existing obligation; • the debtor is facing or about to face financial difficulties. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 328 2021 Annual Report and Accounts · UniCredit • exposures under insolvency procedure: where the collateralization of the exposure is low, legal expenses often absorb a significant portion of the proceeds from the bankruptcy procedure and therefore estimated recoveries are expected to be very low; • a partial write-off may be warranted where there are reasonable elements to demonstrate the debtor's inability to repay the full amount of the debt, i.e. a significant level of debt, even following the implementation of a forbearance treatment and/or the execution of collateral. Below a non-exhaustive list of hard evidences implying, with high likelihood, the not recoverability of the exposure, to be assessed, for the potential (total or partial) write-off: • the Bank cannot call the guarantor(s), or his assets are not sufficient for the recovery of the debtor’s exposures; • negative outcome of the judicial and/or out-of-court initiatives with absence of other assets that can be called in the event of un-recoverability of the debtor’s exposures; • impossibility to initiate actions to recover credit; • current insolvency procedure, from which the procedure itself states that the unsecured exposures will not have redress; • loans not backed by mortgage security older than 3 years that have not registered repayments/collections during the first 3 years after the NPE classification. Specifically, for UniCredit group perimeter, Write-offs on financial assets still subject to an enforcement procedure amount to €10,759 million as of 31 December 2021, of which partial write-offs amount to €1,911 million and total write-offs amount to €8,848 million. The amount of write-offs (both partial and total) related to the 2021 financial year is €1,237 million. 2021 write-offs cannot be compared with write-offs amount reported in gross changes in non-performing exposures, because the latter includes “debt forgiveness”. 3.3 Acquired or originated impaired financial assets Purchased or Originated Credit Impaired (“POCI”) are credit exposures that are already impaired on initial recognition. Consequently, every purchase of credit assets of Non Performing obligors or significant new origination done on obligors already in Non-Performing status, considering the full alignment between impaired status and Non-Performing one, shall be considered as POCI Assets (though, in general, POCI classification is the result of the restructuring of impaired exposures which has led to the provision of significant new finance, either in absolute or in relative terms, compared with the among of the original exposure). These exposures are subject to management, measurement and control according to the principles described in the paragraph “2.2 Credit risk management, measurement and control”, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk policies management. In particular, the expected credit losses recorded at initial recognition within the carrying amount of the instrument are periodically reviewed on the basis of the processes described in the previous paragraphs. The expected credit loss calculated for these credit exposures is always determined considering their residual life, and such exposure are conventionally allocated into Stage 3, or in Stage 2 if, as a result of an improvement in the creditworthiness of the counterparty following the initial recognition, the assets are performing. These assets are never classified under Stage 1 because the expected credit loss must always be calculated considering a time horizon equal to the residual duration. 4. Financial assets subject to commercial renegotiations and forborne exposures Changes in existing financial instruments which determine a modification of contractual conditions might be the result of either: • commercial initiatives, which may be specific for each customer or applied to portfolio of customers also as a result of dedicated initiatives sponsored by public authorities or banking associations; • concessions granted in light of debtor’s financial difficulties (Forbearance). Such changes are accounted on the basis of whether the modification is considered significant or not. In this regard, reference is made to the Part A - Accounting policies, A.2 - Main items of the accounts. The concessions granted due to debtor’s financial difficulties, so called Forbearance initiatives, are usually considered not significant from an accounting perspective. 4.1 Loan categorisation in the risk categories and forborne exposures In July 2014, the European Banking Authorities issued the “Implementing Technical Standards” (“ITS”) on non-performing and Forborne exposures, with the aim to allow, a closer supervisory monitoring of banking forbearance practices. In line with the mentioned ITS, a transaction has to be considered as forborne when both of the following conditions are simultaneously met: • a concession in favour of the debtor exists, in the form of either (i) a contractual modification or (ii) refinancing aimed at ensuring the repayment of pre-existing obligation; • the debtor is facing or about to face financial difficulties. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 328 2021 Annual Report and Accounts · UniCredit • exposures under insolvency procedure: where the collateralization of the exposure is low, legal expenses often absorb a significant portion of the proceeds from the bankruptcy procedure and therefore estimated recoveries are expected to be very low; • a partial write-off may be warranted where there are reasonable elements to demonstrate the debtor's inability to repay the full amount of the debt, i.e. a significant level of debt, even following the implementation of a forbearance treatment and/or the execution of collateral. Below a non-exhaustive list of hard evidences implying, with high likelihood, the not recoverability of the exposure, to be assessed, for the potential (total or partial) write-off: • the Bank cannot call the guarantor(s), or his assets are not sufficient for the recovery of the debtor’s exposures; • negative outcome of the judicial and/or out-of-court initiatives with absence of other assets that can be called in the event of un-recoverability of the debtor’s exposures; • impossibility to initiate actions to recover credit; • current insolvency procedure, from which the procedure itself states that the unsecured exposures will not have redress; • loans not backed by mortgage security older than 3 years that have not registered repayments/collections during the first 3 years after the NPE classification. Specifically, for UniCredit group perimeter, Write-offs on financial assets still subject to an enforcement procedure amount to €10,759 million as of 31 December 2021, of which partial write-offs amount to €1,911 million and total write-offs amount to €8,848 million. The amount of write-offs (both partial and total) related to the 2021 financial year is €1,237 million. 2021 write-offs cannot be compared with write-offs amount reported in gross changes in non-performing exposures, because the latter includes “debt forgiveness”. 3.3 Acquired or originated impaired financial assets Purchased or Originated Credit Impaired (“POCI”) are credit exposures that are already impaired on initial recognition. Consequently, every purchase of credit assets of Non Performing obligors or significant new origination done on obligors already in Non-Performing status, considering the full alignment between impaired status and Non-Performing one, shall be considered as POCI Assets (though, in general, POCI classification is the result of the restructuring of impaired exposures which has led to the provision of significant new finance, either in absolute or in relative terms, compared with the among of the original exposure). These exposures are subject to management, measurement and control according to the principles described in the paragraph “2.2 Credit risk management, measurement and control”, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk policies management. In particular, the expected credit losses recorded at initial recognition within the carrying amount of the instrument are periodically reviewed on the basis of the processes described in the previous paragraphs. The expected credit loss calculated for these credit exposures is always determined considering their residual life, and such exposure are conventionally allocated into Stage 3, or in Stage 2 if, as a result of an improvement in the creditworthiness of the counterparty following the initial recognition, the assets are performing. These assets are never classified under Stage 1 because the expected credit loss must always be calculated considering a time horizon equal to the residual duration. 4. Financial assets subject to commercial renegotiations and forborne exposures Changes in existing financial instruments which determine a modification of contractual conditions might be the result of either: • commercial initiatives, which may be specific for each customer or applied to portfolio of customers also as a result of dedicated initiatives sponsored by public authorities or banking associations; • concessions granted in light of debtor’s financial difficulties (Forbearance). Such changes are accounted on the basis of whether the modification is considered significant or not. In this regard, reference is made to the Part A - Accounting policies, A.2 - Main items of the accounts. The concessions granted due to debtor’s financial difficulties, so called Forbearance initiatives, are usually considered not significant from an accounting perspective. 4.1 Loan categorisation in the risk categories and forborne exposures In July 2014, the European Banking Authorities issued the “Implementing Technical Standards” (“ITS”) on non-performing and Forborne exposures, with the aim to allow, a closer supervisory monitoring of banking forbearance practices. In line with the mentioned ITS, a transaction has to be considered as forborne when both of the following conditions are simultaneously met: • a concession in favour of the debtor exists, in the form of either (i) a contractual modification or (ii) refinancing aimed at ensuring the repayment of pre-existing obligation; • the debtor is facing or about to face financial difficulties. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 329 To comply with EBA ITS, since 2015 UniCredit S.p.A. has worked on the definition of a common methodological framework for forbearance process, issuing group’s guidelines on forbearance management and setting up a shared IT infrastructure (i.e. Forbearance engine). Specifically, the Forbearance engine automatically performs, on the basis of a set of a pre-defined criteria, an assessment of the overall financial difficulty of the client subject to a concession (Trouble Debt Test). In coherency with the overall solution, the different Group’s legal entities adopted some fine-tunings to adapt the Group’s framework to the local IT tools and credit practices. Starting from 2017, the regulatory framework relating to the management of Forborne exposures has been integrated with the following papers: • “Guidance to Banks on Non-Performing Loans”, issued by European Central Bank in March 2017, which require to Banks to define a clear NPL strategy aiming at the reduction of NPE Stock; • “Guidelines on management of non-performing and forborne exposures”, issued by European Banking Authority in October 2018, which are overall aligned with the ECB Guidance; • “Guidelines on disclosure of non-performing and forborne exposures”, issued by European Banking Authority in December 2018, which is focused on the disclosure templates to be used for Group’s supervisory reporting purposes. In order to ensure ongoing alignment with the regulatory and supervisory requirements mentioned above regarding bank’s forbearance practices, the Parent Company finalised the following activities: • review of the list of the potential Forbearance measures to acknowledge: (i) with the split between short-term measures (duration less than 24 months) and long-term measures (duration higher than or equal to 24 months), (ii) with the possibility of granting combinations of short and long-term FBE measures and (iii) with the “viability criteria” defined by Supervisory for each FBE measure; • reinforcement of the affordability assessment of the client prior to the Forbearance concession taking care to the case of multiple forbearance measures on the same exposure; • collection and monitoring of the relevant information within FinRep Reporting with disclosure on: - performing and non-performing portfolio; - guarantees; - default inflows and outflows; - list of the FBE Measures granted. In light of the Covid-19 Pandemic, the European Banking Authority issued the “Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued57” providing specific indications to the banks on the regulatory treatment of the legislative moratoria and banking initiatives in terms of Forbearance Classification; for details refer to the paragraph General Aspects - Section 2.1. Credit Risk. In this regard, Group Guidelines have been timely provided to the legal entities in order to strengthen debtor’s financial difficulty assessment in a harmonized way across the Group. This has been done by introducing further hard criteria and a judgmental component that, selectively, should help intercepting financial difficulty signs through managerial evidence in line with the abovementioned EBA Guidelines and UTP prioritization criteria. Furthermore, starting with concessions granted in April 2021, an enhanced Trouble Debt Test has been already implemented for Italian perimeter by extending the current criteria in order to: • better capture significant increase in credit risk deterioration. • be more sensitive to credit monitoring managerial classification also in light of overdue mitigation deriving from moratoria; • proactively intercept financial difficulty signs coming from new-Covid-19 moratoria requests. With reference to the monitoring and reporting activity on forborne exposures, on 31 December 2021 the number of instruments (loans and advances at amortized cost) with forbearance measures amounts to 213.972 (156.041 for UniCredit S.p.A. perimeter). Specifically, on a consolidated level: • forbearance measures granted during the period represent 49% of the total (54% considering only UniCredit S.p.A.); • forbearance measures granted on the performing portfolio represent the 57% of the total (56% considering only UniCredit S.p.A.). As regards the vintage of classification of forborne exposures, the information reported below pertain to loan and advances at amortized cost, as financial assets at fair value and off-balance sheet exposures do not represent (out of the overall forborne portfolio) a materially significant relevance. More in details, at consolidated level, 81% of forborne performing exposures has a vintage of classification <= 24 months, slightly higher with reference to UniCredit S.p.A. portfolio (87%). In terms of forborne non-performing loans, 65% of consolidated exposures fall within a classification vintage <=24 months (53% for UniCredit S.p.A. portfolio). In addition, regarding the assessment of the Significant Increase of the Credit Risk. in the context of the Covid-19 pandemic, please refer to the paragraph “2.3 Measurement methods for expected losses”, Noter to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2.1. Credit Risk, Qualitative information. 57 EBA Guidelines - on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued on 2 April 2020 (“EBA/GL/2020/02”). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 329 To comply with EBA ITS, since 2015 UniCredit S.p.A. has worked on the definition of a common methodological framework for forbearance process, issuing group’s guidelines on forbearance management and setting up a shared IT infrastructure (i.e. Forbearance engine). Specifically, the Forbearance engine automatically performs, on the basis of a set of a pre-defined criteria, an assessment of the overall financial difficulty of the client subject to a concession (Trouble Debt Test). In coherency with the overall solution, the different Group’s legal entities adopted some fine-tunings to adapt the Group’s framework to the local IT tools and credit practices. Starting from 2017, the regulatory framework relating to the management of Forborne exposures has been integrated with the following papers: • “Guidance to Banks on Non-Performing Loans”, issued by European Central Bank in March 2017, which require to Banks to define a clear NPL strategy aiming at the reduction of NPE Stock; • “Guidelines on management of non-performing and forborne exposures”, issued by European Banking Authority in October 2018, which are overall aligned with the ECB Guidance; • “Guidelines on disclosure of non-performing and forborne exposures”, issued by European Banking Authority in December 2018, which is focused on the disclosure templates to be used for Group’s supervisory reporting purposes. In order to ensure ongoing alignment with the regulatory and supervisory requirements mentioned above regarding bank’s forbearance practices, the Parent Company finalised the following activities: • review of the list of the potential Forbearance measures to acknowledge: (i) with the split between short-term measures (duration less than 24 months) and long-term measures (duration higher than or equal to 24 months), (ii) with the possibility of granting combinations of short and long-term FBE measures and (iii) with the “viability criteria” defined by Supervisory for each FBE measure; • reinforcement of the affordability assessment of the client prior to the Forbearance concession taking care to the case of multiple forbearance measures on the same exposure; • collection and monitoring of the relevant information within FinRep Reporting with disclosure on: - performing and non-performing portfolio; - guarantees; - default inflows and outflows; - list of the FBE Measures granted. In light of the Covid-19 Pandemic, the European Banking Authority issued the “Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued57” providing specific indications to the banks on the regulatory treatment of the legislative moratoria and banking initiatives in terms of Forbearance Classification; for details refer to the paragraph General Aspects - Section 2.1. Credit Risk. In this regard, Group Guidelines have been timely provided to the legal entities in order to strengthen debtor’s financial difficulty assessment in a harmonized way across the Group. This has been done by introducing further hard criteria and a judgmental component that, selectively, should help intercepting financial difficulty signs through managerial evidence in line with the abovementioned EBA Guidelines and UTP prioritization criteria. Furthermore, starting with concessions granted in April 2021, an enhanced Trouble Debt Test has been already implemented for Italian perimeter by extending the current criteria in order to: • better capture significant increase in credit risk deterioration. • be more sensitive to credit monitoring managerial classification also in light of overdue mitigation deriving from moratoria; • proactively intercept financial difficulty signs coming from new-Covid-19 moratoria requests. With reference to the monitoring and reporting activity on forborne exposures, on 31 December 2021 the number of instruments (loans and advances at amortized cost) with forbearance measures amounts to 213.972 (156.041 for UniCredit S.p.A. perimeter). Specifically, on a consolidated level: • forbearance measures granted during the period represent 49% of the total (54% considering only UniCredit S.p.A.); • forbearance measures granted on the performing portfolio represent the 57% of the total (56% considering only UniCredit S.p.A.). As regards the vintage of classification of forborne exposures, the information reported below pertain to loan and advances at amortized cost, as financial assets at fair value and off-balance sheet exposures do not represent (out of the overall forborne portfolio) a materially significant relevance. More in details, at consolidated level, 81% of forborne performing exposures has a vintage of classification <= 24 months, slightly higher with reference to UniCredit S.p.A. portfolio (87%). In terms of forborne non-performing loans, 65% of consolidated exposures fall within a classification vintage <=24 months (53% for UniCredit S.p.A. portfolio). In addition, regarding the assessment of the Significant Increase of the Credit Risk. in the context of the Covid-19 pandemic, please refer to the paragraph “2.3 Measurement methods for expected losses”, Noter to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2.1. Credit Risk, Qualitative information. 57 EBA Guidelines - on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued on 2 April 2020 (“EBA/GL/2020/02”). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 329 To comply with EBA ITS, since 2015 UniCredit S.p.A. has worked on the definition of a common methodological framework for forbearance process, issuing group’s guidelines on forbearance management and setting up a shared IT infrastructure (i.e. Forbearance engine). Specifically, the Forbearance engine automatically performs, on the basis of a set of a pre-defined criteria, an assessment of the overall financial difficulty of the client subject to a concession (Trouble Debt Test). In coherency with the overall solution, the different Group’s legal entities adopted some fine-tunings to adapt the Group’s framework to the local IT tools and credit practices. Starting from 2017, the regulatory framework relating to the management of Forborne exposures has been integrated with the following papers: • “Guidance to Banks on Non-Performing Loans”, issued by European Central Bank in March 2017, which require to Banks to define a clear NPL strategy aiming at the reduction of NPE Stock; • “Guidelines on management of non-performing and forborne exposures”, issued by European Banking Authority in October 2018, which are overall aligned with the ECB Guidance; • “Guidelines on disclosure of non-performing and forborne exposures”, issued by European Banking Authority in December 2018, which is focused on the disclosure templates to be used for Group’s supervisory reporting purposes. In order to ensure ongoing alignment with the regulatory and supervisory requirements mentioned above regarding bank’s forbearance practices, the Parent Company finalised the following activities: • review of the list of the potential Forbearance measures to acknowledge: (i) with the split between short-term measures (duration less than 24 months) and long-term measures (duration higher than or equal to 24 months), (ii) with the possibility of granting combinations of short and long-term FBE measures and (iii) with the “viability criteria” defined by Supervisory for each FBE measure; • reinforcement of the affordability assessment of the client prior to the Forbearance concession taking care to the case of multiple forbearance measures on the same exposure; • collection and monitoring of the relevant information within FinRep Reporting with disclosure on: - performing and non-performing portfolio; - guarantees; - default inflows and outflows; - list of the FBE Measures granted. In light of the Covid-19 Pandemic, the European Banking Authority issued the “Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued57” providing specific indications to the banks on the regulatory treatment of the legislative moratoria and banking initiatives in terms of Forbearance Classification; for details refer to the paragraph General Aspects - Section 2.1. Credit Risk. In this regard, Group Guidelines have been timely provided to the legal entities in order to strengthen debtor’s financial difficulty assessment in a harmonized way across the Group. This has been done by introducing further hard criteria and a judgmental component that, selectively, should help intercepting financial difficulty signs through managerial evidence in line with the abovementioned EBA Guidelines and UTP prioritization criteria. Furthermore, starting with concessions granted in April 2021, an enhanced Trouble Debt Test has been already implemented for Italian perimeter by extending the current criteria in order to: • better capture significant increase in credit risk deterioration. • be more sensitive to credit monitoring managerial classification also in light of overdue mitigation deriving from moratoria; • proactively intercept financial difficulty signs coming from new-Covid-19 moratoria requests. With reference to the monitoring and reporting activity on forborne exposures, on 31 December 2021 the number of instruments (loans and advances at amortized cost) with forbearance measures amounts to 213.972 (156.041 for UniCredit S.p.A. perimeter). Specifically, on a consolidated level: • forbearance measures granted during the period represent 49% of the total (54% considering only UniCredit S.p.A.); • forbearance measures granted on the performing portfolio represent the 57% of the total (56% considering only UniCredit S.p.A.). As regards the vintage of classification of forborne exposures, the information reported below pertain to loan and advances at amortized cost, as financial assets at fair value and off-balance sheet exposures do not represent (out of the overall forborne portfolio) a materially significant relevance. More in details, at consolidated level, 81% of forborne performing exposures has a vintage of classification <= 24 months, slightly higher with reference to UniCredit S.p.A. portfolio (87%). In terms of forborne non-performing loans, 65% of consolidated exposures fall within a classification vintage <=24 months (53% for UniCredit S.p.A. portfolio). In addition, regarding the assessment of the Significant Increase of the Credit Risk. in the context of the Covid-19 pandemic, please refer to the paragraph “2.3 Measurement methods for expected losses”, Noter to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2.1. Credit Risk, Qualitative information. 57 EBA Guidelines - on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued on 2 April 2020 (“EBA/GL/2020/02”). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 329 To comply with EBA ITS, since 2015 UniCredit S.p.A. has worked on the definition of a common methodological framework for forbearance process, issuing group’s guidelines on forbearance management and setting up a shared IT infrastructure (i.e. Forbearance engine). Specifically, the Forbearance engine automatically performs, on the basis of a set of a pre-defined criteria, an assessment of the overall financial difficulty of the client subject to a concession (Trouble Debt Test). In coherency with the overall solution, the different Group’s legal entities adopted some fine-tunings to adapt the Group’s framework to the local IT tools and credit practices. Starting from 2017, the regulatory framework relating to the management of Forborne exposures has been integrated with the following papers: • “Guidance to Banks on Non-Performing Loans”, issued by European Central Bank in March 2017, which require to Banks to define a clear NPL strategy aiming at the reduction of NPE Stock; • “Guidelines on management of non-performing and forborne exposures”, issued by European Banking Authority in October 2018, which are overall aligned with the ECB Guidance; • “Guidelines on disclosure of non-performing and forborne exposures”, issued by European Banking Authority in December 2018, which is focused on the disclosure templates to be used for Group’s supervisory reporting purposes. In order to ensure ongoing alignment with the regulatory and supervisory requirements mentioned above regarding bank’s forbearance practices, the Parent Company finalised the following activities: • review of the list of the potential Forbearance measures to acknowledge: (i) with the split between short-term measures (duration less than 24 months) and long-term measures (duration higher than or equal to 24 months), (ii) with the possibility of granting combinations of short and long-term FBE measures and (iii) with the “viability criteria” defined by Supervisory for each FBE measure; • reinforcement of the affordability assessment of the client prior to the Forbearance concession taking care to the case of multiple forbearance measures on the same exposure; • collection and monitoring of the relevant information within FinRep Reporting with disclosure on: - performing and non-performing portfolio; - guarantees; - default inflows and outflows; - list of the FBE Measures granted. In light of the Covid-19 Pandemic, the European Banking Authority issued the “Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued57” providing specific indications to the banks on the regulatory treatment of the legislative moratoria and banking initiatives in terms of Forbearance Classification; for details refer to the paragraph General Aspects - Section 2.1. Credit Risk. In this regard, Group Guidelines have been timely provided to the legal entities in order to strengthen debtor’s financial difficulty assessment in a harmonized way across the Group. This has been done by introducing further hard criteria and a judgmental component that, selectively, should help intercepting financial difficulty signs through managerial evidence in line with the abovementioned EBA Guidelines and UTP prioritization criteria. Furthermore, starting with concessions granted in April 2021, an enhanced Trouble Debt Test has been already implemented for Italian perimeter by extending the current criteria in order to: • better capture significant increase in credit risk deterioration. • be more sensitive to credit monitoring managerial classification also in light of overdue mitigation deriving from moratoria; • proactively intercept financial difficulty signs coming from new-Covid-19 moratoria requests. With reference to the monitoring and reporting activity on forborne exposures, on 31 December 2021 the number of instruments (loans and advances at amortized cost) with forbearance measures amounts to 213.972 (156.041 for UniCredit S.p.A. perimeter). Specifically, on a consolidated level: • forbearance measures granted during the period represent 49% of the total (54% considering only UniCredit S.p.A.); • forbearance measures granted on the performing portfolio represent the 57% of the total (56% considering only UniCredit S.p.A.). As regards the vintage of classification of forborne exposures, the information reported below pertain to loan and advances at amortized cost, as financial assets at fair value and off-balance sheet exposures do not represent (out of the overall forborne portfolio) a materially significant relevance. More in details, at consolidated level, 81% of forborne performing exposures has a vintage of classification <= 24 months, slightly higher with reference to UniCredit S.p.A. portfolio (87%). In terms of forborne non-performing loans, 65% of consolidated exposures fall within a classification vintage <=24 months (53% for UniCredit S.p.A. portfolio). In addition, regarding the assessment of the Significant Increase of the Credit Risk. in the context of the Covid-19 pandemic, please refer to the paragraph “2.3 Measurement methods for expected losses”, Noter to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2.1. Credit Risk, Qualitative information. 57 EBA Guidelines - on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued on 2 April 2020 (“EBA/GL/2020/02”). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 329 To comply with EBA ITS, since 2015 UniCredit S.p.A. has worked on the definition of a common methodological framework for forbearance process, issuing group’s guidelines on forbearance management and setting up a shared IT infrastructure (i.e. Forbearance engine). Specifically, the Forbearance engine automatically performs, on the basis of a set of a pre-defined criteria, an assessment of the overall financial difficulty of the client subject to a concession (Trouble Debt Test). In coherency with the overall solution, the different Group’s legal entities adopted some fine-tunings to adapt the Group’s framework to the local IT tools and credit practices. Starting from 2017, the regulatory framework relating to the management of Forborne exposures has been integrated with the following papers: • “Guidance to Banks on Non-Performing Loans”, issued by European Central Bank in March 2017, which require to Banks to define a clear NPL strategy aiming at the reduction of NPE Stock; • “Guidelines on management of non-performing and forborne exposures”, issued by European Banking Authority in October 2018, which are overall aligned with the ECB Guidance; • “Guidelines on disclosure of non-performing and forborne exposures”, issued by European Banking Authority in December 2018, which is focused on the disclosure templates to be used for Group’s supervisory reporting purposes. In order to ensure ongoing alignment with the regulatory and supervisory requirements mentioned above regarding bank’s forbearance practices, the Parent Company finalised the following activities: • review of the list of the potential Forbearance measures to acknowledge: (i) with the split between short-term measures (duration less than 24 months) and long-term measures (duration higher than or equal to 24 months), (ii) with the possibility of granting combinations of short and long-term FBE measures and (iii) with the “viability criteria” defined by Supervisory for each FBE measure; • reinforcement of the affordability assessment of the client prior to the Forbearance concession taking care to the case of multiple forbearance measures on the same exposure; • collection and monitoring of the relevant information within FinRep Reporting with disclosure on: - performing and non-performing portfolio; - guarantees; - default inflows and outflows; - list of the FBE Measures granted. In light of the Covid-19 Pandemic, the European Banking Authority issued the “Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued57” providing specific indications to the banks on the regulatory treatment of the legislative moratoria and banking initiatives in terms of Forbearance Classification; for details refer to the paragraph General Aspects - Section 2.1. Credit Risk. In this regard, Group Guidelines have been timely provided to the legal entities in order to strengthen debtor’s financial difficulty assessment in a harmonized way across the Group. This has been done by introducing further hard criteria and a judgmental component that, selectively, should help intercepting financial difficulty signs through managerial evidence in line with the abovementioned EBA Guidelines and UTP prioritization criteria. Furthermore, starting with concessions granted in April 2021, an enhanced Trouble Debt Test has been already implemented for Italian perimeter by extending the current criteria in order to: • better capture significant increase in credit risk deterioration. • be more sensitive to credit monitoring managerial classification also in light of overdue mitigation deriving from moratoria; • proactively intercept financial difficulty signs coming from new-Covid-19 moratoria requests. With reference to the monitoring and reporting activity on forborne exposures, on 31 December 2021 the number of instruments (loans and advances at amortized cost) with forbearance measures amounts to 213.972 (156.041 for UniCredit S.p.A. perimeter). Specifically, on a consolidated level: • forbearance measures granted during the period represent 49% of the total (54% considering only UniCredit S.p.A.); • forbearance measures granted on the performing portfolio represent the 57% of the total (56% considering only UniCredit S.p.A.). As regards the vintage of classification of forborne exposures, the information reported below pertain to loan and advances at amortized cost, as financial assets at fair value and off-balance sheet exposures do not represent (out of the overall forborne portfolio) a materially significant relevance. More in details, at consolidated level, 81% of forborne performing exposures has a vintage of classification <= 24 months, slightly higher with reference to UniCredit S.p.A. portfolio (87%). In terms of forborne non-performing loans, 65% of consolidated exposures fall within a classification vintage <=24 months (53% for UniCredit S.p.A. portfolio). In addition, regarding the assessment of the Significant Increase of the Credit Risk. in the context of the Covid-19 pandemic, please refer to the paragraph “2.3 Measurement methods for expected losses”, Noter to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2.1. Credit Risk, Qualitative information. 57 EBA Guidelines - on legislative and non-legislative moratoria on loan repayments applied in the light of the Covid-19 crisis issued on 2 April 2020 (“EBA/GL/2020/02”). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 330 2021 Annual Report and Accounts · UniCredit Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one for non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds except for the tables of the paragraph “A.2 Classification of credit exposure based on internal and external ratings”, in which units in investment funds are included. A.1 Non-performing and performing credit exposures: amounts, writedowns, changes, distribution by business activity A.1.1 Regulatory consolidation - Breakdown of financial assets by past-due buckets (carrying value) (€ million) PORTFOLIOS/RISK STAGES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS 1. Financial assets at amortised cost 4,754 153 67 2,270 462 232 2,596 216 1,992 1 - 2 2. Financial assets at fair value through other comprehensive income - - - - - - - - - - - - 3. Financial instruments classified as held for sale 43 - - 15 15 2 47 17 240 - - - Total 12.31.2021 4,797 153 67 2,285 477 234 2,643 233 2,232 1 - 2 Total 12.31.2020 4,294 114 95 1,557 788 616 2,220 182 2,898 11 1 4 The amounts past due over 90 days and related to Stage 1 and Stage 2 exposures refer to loans that do not meet the definition of Non-performing past due (below the materiality threshold). A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) OVERALL WRITE-DOWNS FINANCIAL ASSETS CLASSIFIED IN STAGE 1 FINANCIAL ASSETS CLASSIFIED IN STAGE 2 SOURCES/RISK STAGES CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) 1 1,199 50 4 92 1,165 - 2,998 8 3 224 2,785 Increases in acquired or originated financial assets 1 273 - - - 274 - 335 1 - - 335 Reversals different from write-offs - (228) (6) - (3) (231) - (607) (3) - (22) (589) Net losses/recoveries on credit impairment - (251) 13 - 7 (246) - 718 11 18 56 691 Contractual changes without cancellation - (5) - - - (5) - (5) - - - (5) Changes in estimation methodology - - - - - - - - - - - - Write-off - (1) - - - (1) - (2) - - - (2) Other changes - 20 (1) 281 (2) 302 - (31) (1) 481 34 418 Closing balance (gross amount) 2 1,007 56 285 94 1,258 - 3,406 16 502 292 3,633 Recoveries from financial assets subject to write-off - - - - - - - 1 - - - 1 Write-off are not recognised directly in profit or loss - (22) - - - (22) - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 330 2021 Annual Report and Accounts · UniCredit Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one for non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds except for the tables of the paragraph “A.2 Classification of credit exposure based on internal and external ratings”, in which units in investment funds are included. A.1 Non-performing and performing credit exposures: amounts, writedowns, changes, distribution by business activity A.1.1 Regulatory consolidation - Breakdown of financial assets by past-due buckets (carrying value) (€ million) PORTFOLIOS/RISK STAGES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS 1. Financial assets at amortised cost 4,754 153 67 2,270 462 232 2,596 216 1,992 1 - 2 2. Financial assets at fair value through other comprehensive income - - - - - - - - - - - - 3. Financial instruments classified as held for sale 43 - - 15 15 2 47 17 240 - - - Total 12.31.2021 4,797 153 67 2,285 477 234 2,643 233 2,232 1 - 2 Total 12.31.2020 4,294 114 95 1,557 788 616 2,220 182 2,898 11 1 4 The amounts past due over 90 days and related to Stage 1 and Stage 2 exposures refer to loans that do not meet the definition of Non-performing past due (below the materiality threshold). A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) OVERALL WRITE-DOWNS FINANCIAL ASSETS CLASSIFIED IN STAGE 1 FINANCIAL ASSETS CLASSIFIED IN STAGE 2 SOURCES/RISK STAGES CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) 1 1,199 50 4 92 1,165 - 2,998 8 3 224 2,785 Increases in acquired or originated financial assets 1 273 - - - 274 - 335 1 - - 335 Reversals different from write-offs - (228) (6) - (3) (231) - (607) (3) - (22) (589) Net losses/recoveries on credit impairment - (251) 13 - 7 (246) - 718 11 18 56 691 Contractual changes without cancellation - (5) - - - (5) - (5) - - - (5) Changes in estimation methodology - - - - - - - - - - - - Write-off - (1) - - - (1) - (2) - - - (2) Other changes - 20 (1) 281 (2) 302 - (31) (1) 481 34 418 Closing balance (gross amount) 2 1,007 56 285 94 1,258 - 3,406 16 502 292 3,633 Recoveries from financial assets subject to write-off - - - - - - - 1 - - - 1 Write-off are not recognised directly in profit or loss - (22) - - - (22) - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 330 2021 Annual Report and Accounts · UniCredit Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one for non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds except for the tables of the paragraph “A.2 Classification of credit exposure based on internal and external ratings”, in which units in investment funds are included. A.1 Non-performing and performing credit exposures: amounts, writedowns, changes, distribution by business activity A.1.1 Regulatory consolidation - Breakdown of financial assets by past-due buckets (carrying value) (€ million) PORTFOLIOS/RISK STAGES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS 1. Financial assets at amortised cost 4,754 153 67 2,270 462 232 2,596 216 1,992 1 - 2 2. Financial assets at fair value through other comprehensive income - - - - - - - - - - - - 3. Financial instruments classified as held for sale 43 - - 15 15 2 47 17 240 - - - Total 12.31.2021 4,797 153 67 2,285 477 234 2,643 233 2,232 1 - 2 Total 12.31.2020 4,294 114 95 1,557 788 616 2,220 182 2,898 11 1 4 The amounts past due over 90 days and related to Stage 1 and Stage 2 exposures refer to loans that do not meet the definition of Non-performing past due (below the materiality threshold). A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) OVERALL WRITE-DOWNS FINANCIAL ASSETS CLASSIFIED IN STAGE 1 FINANCIAL ASSETS CLASSIFIED IN STAGE 2 SOURCES/RISK STAGES CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) 1 1,199 50 4 92 1,165 - 2,998 8 3 224 2,785 Increases in acquired or originated financial assets 1 273 - - - 274 - 335 1 - - 335 Reversals different from write-offs - (228) (6) - (3) (231) - (607) (3) - (22) (589) Net losses/recoveries on credit impairment - (251) 13 - 7 (246) - 718 11 18 56 691 Contractual changes without cancellation - (5) - - - (5) - (5) - - - (5) Changes in estimation methodology - - - - - - - - - - - - Write-off - (1) - - - (1) - (2) - - - (2) Other changes - 20 (1) 281 (2) 302 - (31) (1) 481 34 418 Closing balance (gross amount) 2 1,007 56 285 94 1,258 - 3,406 16 502 292 3,633 Recoveries from financial assets subject to write-off - - - - - - - 1 - - - 1 Write-off are not recognised directly in profit or loss - (22) - - - (22) - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 330 2021 Annual Report and Accounts · UniCredit Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one for non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds except for the tables of the paragraph “A.2 Classification of credit exposure based on internal and external ratings”, in which units in investment funds are included. A.1 Non-performing and performing credit exposures: amounts, writedowns, changes, distribution by business activity A.1.1 Regulatory consolidation - Breakdown of financial assets by past-due buckets (carrying value) (€ million) PORTFOLIOS/RISK STAGES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS 1. Financial assets at amortised cost 4,754 153 67 2,270 462 232 2,596 216 1,992 1 - 2 2. Financial assets at fair value through other comprehensive income - - - - - - - - - - - - 3. Financial instruments classified as held for sale 43 - - 15 15 2 47 17 240 - - - Total 12.31.2021 4,797 153 67 2,285 477 234 2,643 233 2,232 1 - 2 Total 12.31.2020 4,294 114 95 1,557 788 616 2,220 182 2,898 11 1 4 The amounts past due over 90 days and related to Stage 1 and Stage 2 exposures refer to loans that do not meet the definition of Non-performing past due (below the materiality threshold). A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) OVERALL WRITE-DOWNS FINANCIAL ASSETS CLASSIFIED IN STAGE 1 FINANCIAL ASSETS CLASSIFIED IN STAGE 2 SOURCES/RISK STAGES CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) 1 1,199 50 4 92 1,165 - 2,998 8 3 224 2,785 Increases in acquired or originated financial assets 1 273 - - - 274 - 335 1 - - 335 Reversals different from write-offs - (228) (6) - (3) (231) - (607) (3) - (22) (589) Net losses/recoveries on credit impairment - (251) 13 - 7 (246) - 718 11 18 56 691 Contractual changes without cancellation - (5) - - - (5) - (5) - - - (5) Changes in estimation methodology - - - - - - - - - - - - Write-off - (1) - - - (1) - (2) - - - (2) Other changes - 20 (1) 281 (2) 302 - (31) (1) 481 34 418 Closing balance (gross amount) 2 1,007 56 285 94 1,258 - 3,406 16 502 292 3,633 Recoveries from financial assets subject to write-off - - - - - - - 1 - - - 1 Write-off are not recognised directly in profit or loss - (22) - - - (22) - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 330 2021 Annual Report and Accounts · UniCredit Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one for non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds except for the tables of the paragraph “A.2 Classification of credit exposure based on internal and external ratings”, in which units in investment funds are included. A.1 Non-performing and performing credit exposures: amounts, writedowns, changes, distribution by business activity A.1.1 Regulatory consolidation - Breakdown of financial assets by past-due buckets (carrying value) (€ million) PORTFOLIOS/RISK STAGES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS 1. Financial assets at amortised cost 4,754 153 67 2,270 462 232 2,596 216 1,992 1 - 2 2. Financial assets at fair value through other comprehensive income - - - - - - - - - - - - 3. Financial instruments classified as held for sale 43 - - 15 15 2 47 17 240 - - - Total 12.31.2021 4,797 153 67 2,285 477 234 2,643 233 2,232 1 - 2 Total 12.31.2020 4,294 114 95 1,557 788 616 2,220 182 2,898 11 1 4 The amounts past due over 90 days and related to Stage 1 and Stage 2 exposures refer to loans that do not meet the definition of Non-performing past due (below the materiality threshold). A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) OVERALL WRITE-DOWNS FINANCIAL ASSETS CLASSIFIED IN STAGE 1 FINANCIAL ASSETS CLASSIFIED IN STAGE 2 SOURCES/RISK STAGES CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) 1 1,199 50 4 92 1,165 - 2,998 8 3 224 2,785 Increases in acquired or originated financial assets 1 273 - - - 274 - 335 1 - - 335 Reversals different from write-offs - (228) (6) - (3) (231) - (607) (3) - (22) (589) Net losses/recoveries on credit impairment - (251) 13 - 7 (246) - 718 11 18 56 691 Contractual changes without cancellation - (5) - - - (5) - (5) - - - (5) Changes in estimation methodology - - - - - - - - - - - - Write-off - (1) - - - (1) - (2) - - - (2) Other changes - 20 (1) 281 (2) 302 - (31) (1) 481 34 418 Closing balance (gross amount) 2 1,007 56 285 94 1,258 - 3,406 16 502 292 3,633 Recoveries from financial assets subject to write-off - - - - - - - 1 - - - 1 Write-off are not recognised directly in profit or loss - (22) - - - (22) - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 331 continued: A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS ASSETS BELONGING TO THIRD STAGE PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKSFINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 12,735 1 559 9,738 3,556 14 - - 10 4 Increases in acquired or originated financial assets - 265 1 - 197 69 - - - - - Reversals different from write-offs - (3,369) - (2,292) (1,871) (3,790) (2) - (3) - (5) Net losses/recoveries on credit impairment - 1,194 - (59) 246 889 - - - - - Contractual changes without cancellation - 4 - - 4 (1) 1 - - 1 - Changes in estimation methodology - - - - - - - - - - - Write-off - (2,014) - (1) (1,485) (531) - - - - - Other changes - 49 - 2,505 (145) 2,699 1 - 3 (1) 5 Closing balance (gross amount) - 8,864 2 712 6,684 2,891 14 - - 10 4 Recoveries from financial assets subject to write-off - 99 - - 52 47 - - - - - Write-off are not recognised directly in profit or loss - (159) - (6) (93) (72) (1) - - (1) - continued: A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS TOTAL TOTAL PROVISIONS ON LOANS COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 COMMITMENTS FUNDS AND FINANCIAL GUARANTEES PURCHASED OR ORIGINATED CREDIT-IMPAIRED Opening balance (gross amount) 175 182 907 - 18,836 Increases in acquired or originated financial assets 58 53 76 - 1,063 Reversals different from write-offs (19) (25) (263) - (6,817) Net losses/recoveries on credit impairment (13) 19 137 - 1,787 Contractual changes without cancellation - - - - (5) Changes in estimation methodology - - - - - Write-off - - - - (2,018) Other changes 2 (3) (1) - 3,305 Closing balance (gross amount) 203 226 856 - 16,151 Recoveries from financial assets subject to write-off - - - - 100 Write-off are not recognised directly in profit or loss - - - - (188) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 331 continued: A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS ASSETS BELONGING TO THIRD STAGE PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKSFINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 12,735 1 559 9,738 3,556 14 - - 10 4 Increases in acquired or originated financial assets - 265 1 - 197 69 - - - - - Reversals different from write-offs - (3,369) - (2,292) (1,871) (3,790) (2) - (3) - (5) Net losses/recoveries on credit impairment - 1,194 - (59) 246 889 - - - - - Contractual changes without cancellation - 4 - - 4 (1) 1 - - 1 - Changes in estimation methodology - - - - - - - - - - - Write-off - (2,014) - (1) (1,485) (531) - - - - - Other changes - 49 - 2,505 (145) 2,699 1 - 3 (1) 5 Closing balance (gross amount) - 8,864 2 712 6,684 2,891 14 - - 10 4 Recoveries from financial assets subject to write-off - 99 - - 52 47 - - - - - Write-off are not recognised directly in profit or loss - (159) - (6) (93) (72) (1) - - (1) - continued: A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS TOTAL TOTAL PROVISIONS ON LOANS COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 COMMITMENTS FUNDS AND FINANCIAL GUARANTEES PURCHASED OR ORIGINATED CREDIT-IMPAIRED Opening balance (gross amount) 175 182 907 - 18,836 Increases in acquired or originated financial assets 58 53 76 - 1,063 Reversals different from write-offs (19) (25) (263) - (6,817) Net losses/recoveries on credit impairment (13) 19 137 - 1,787 Contractual changes without cancellation - - - - (5) Changes in estimation methodology - - - - - Write-off - - - - (2,018) Other changes 2 (3) (1) - 3,305 Closing balance (gross amount) 203 226 856 - 16,151 Recoveries from financial assets subject to write-off - - - - 100 Write-off are not recognised directly in profit or loss - - - - (188) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 331 continued: A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS ASSETS BELONGING TO THIRD STAGE PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKSFINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 12,735 1 559 9,738 3,556 14 - - 10 4 Increases in acquired or originated financial assets - 265 1 - 197 69 - - - - - Reversals different from write-offs - (3,369) - (2,292) (1,871) (3,790) (2) - (3) - (5) Net losses/recoveries on credit impairment - 1,194 - (59) 246 889 - - - - - Contractual changes without cancellation - 4 - - 4 (1) 1 - - 1 - Changes in estimation methodology - - - - - - - - - - - Write-off - (2,014) - (1) (1,485) (531) - - - - - Other changes - 49 - 2,505 (145) 2,699 1 - 3 (1) 5 Closing balance (gross amount) - 8,864 2 712 6,684 2,891 14 - - 10 4 Recoveries from financial assets subject to write-off - 99 - - 52 47 - - - - - Write-off are not recognised directly in profit or loss - (159) - (6) (93) (72) (1) - - (1) - continued: A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS TOTAL TOTAL PROVISIONS ON LOANS COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 COMMITMENTS FUNDS AND FINANCIAL GUARANTEES PURCHASED OR ORIGINATED CREDIT-IMPAIRED Opening balance (gross amount) 175 182 907 - 18,836 Increases in acquired or originated financial assets 58 53 76 - 1,063 Reversals different from write-offs (19) (25) (263) - (6,817) Net losses/recoveries on credit impairment (13) 19 137 - 1,787 Contractual changes without cancellation - - - - (5) Changes in estimation methodology - - - - - Write-off - - - - (2,018) Other changes 2 (3) (1) - 3,305 Closing balance (gross amount) 203 226 856 - 16,151 Recoveries from financial assets subject to write-off - - - - 100 Write-off are not recognised directly in profit or loss - - - - (188) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 331 continued: A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS ASSETS BELONGING TO THIRD STAGE PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKSFINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 12,735 1 559 9,738 3,556 14 - - 10 4 Increases in acquired or originated financial assets - 265 1 - 197 69 - - - - - Reversals different from write-offs - (3,369) - (2,292) (1,871) (3,790) (2) - (3) - (5) Net losses/recoveries on credit impairment - 1,194 - (59) 246 889 - - - - - Contractual changes without cancellation - 4 - - 4 (1) 1 - - 1 - Changes in estimation methodology - - - - - - - - - - - Write-off - (2,014) - (1) (1,485) (531) - - - - - Other changes - 49 - 2,505 (145) 2,699 1 - 3 (1) 5 Closing balance (gross amount) - 8,864 2 712 6,684 2,891 14 - - 10 4 Recoveries from financial assets subject to write-off - 99 - - 52 47 - - - - - Write-off are not recognised directly in profit or loss - (159) - (6) (93) (72) (1) - - (1) - continued: A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS TOTAL TOTAL PROVISIONS ON LOANS COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 COMMITMENTS FUNDS AND FINANCIAL GUARANTEES PURCHASED OR ORIGINATED CREDIT-IMPAIRED Opening balance (gross amount) 175 182 907 - 18,836 Increases in acquired or originated financial assets 58 53 76 - 1,063 Reversals different from write-offs (19) (25) (263) - (6,817) Net losses/recoveries on credit impairment (13) 19 137 - 1,787 Contractual changes without cancellation - - - - (5) Changes in estimation methodology - - - - - Write-off - - - - (2,018) Other changes 2 (3) (1) - 3,305 Closing balance (gross amount) 203 226 856 - 16,151 Recoveries from financial assets subject to write-off - - - - 100 Write-off are not recognised directly in profit or loss - - - - (188) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 331 continued: A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS ASSETS BELONGING TO THIRD STAGE PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKSFINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 12,735 1 559 9,738 3,556 14 - - 10 4 Increases in acquired or originated financial assets - 265 1 - 197 69 - - - - - Reversals different from write-offs - (3,369) - (2,292) (1,871) (3,790) (2) - (3) - (5) Net losses/recoveries on credit impairment - 1,194 - (59) 246 889 - - - - - Contractual changes without cancellation - 4 - - 4 (1) 1 - - 1 - Changes in estimation methodology - - - - - - - - - - - Write-off - (2,014) - (1) (1,485) (531) - - - - - Other changes - 49 - 2,505 (145) 2,699 1 - 3 (1) 5 Closing balance (gross amount) - 8,864 2 712 6,684 2,891 14 - - 10 4 Recoveries from financial assets subject to write-off - 99 - - 52 47 - - - - - Write-off are not recognised directly in profit or loss - (159) - (6) (93) (72) (1) - - (1) - continued: A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS TOTAL TOTAL PROVISIONS ON LOANS COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 COMMITMENTS FUNDS AND FINANCIAL GUARANTEES PURCHASED OR ORIGINATED CREDIT-IMPAIRED Opening balance (gross amount) 175 182 907 - 18,836 Increases in acquired or originated financial assets 58 53 76 - 1,063 Reversals different from write-offs (19) (25) (263) - (6,817) Net losses/recoveries on credit impairment (13) 19 137 - 1,787 Contractual changes without cancellation - - - - (5) Changes in estimation methodology - - - - - Write-off - - - - (2,018) Other changes 2 (3) (1) - 3,305 Closing balance (gross amount) 203 226 856 - 16,151 Recoveries from financial assets subject to write-off - - - - 100 Write-off are not recognised directly in profit or loss - - - - (188) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 332 2021 Annual Report and Accounts · UniCredit A.1.3 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: transfers between risk stages (gross values and nominal values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES/NOMINAL VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 1. Financial assets at amortised cost 56,322 19,995 3,068 906 1,265 90 2. Financial assets at fair value through other comprehensive income 155 - - - - - 3. Financial instruments classified as held for sale 1,109 474 144 20 26 9 4. Loan commitments and financial guarantees given 19,017 6,571 158 34 109 128 Total 12.31.2021 76,603 27,040 3,370 960 1,400 227 Total 12.31.2020 65,184 11,274 3,649 534 3,719 196 A.1.3a Other loans and advances subject to Covid-19 measures: transfers between impairment stages (gross values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 A. Financial assets at amortised cost 7,117 2,349 723 33 206 17 A.1 EBA-compliant moratoria loans and advances 19 4 3 6 15 14 A.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1,083 111 36 1 14 - A.3 Loans and advances with other forbearance measures 832 12 584 22 39 - A.4 Newly originated loans and advances 5,183 2,222 100 4 138 3 B. Financial assets at fair value through other comprehensive income - - - - - - B.1 EBA-compliant moratoria loans and advances - - - - - - B.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - B.3 Loans and advances with other forbearance measures - - - - - - B.4 Newly originated loans and advances - - - - - - Total 12.31.2021 7,117 2,349 723 33 206 17 Total 12.31.2020 14,907 634 819 28 447 16 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 332 2021 Annual Report and Accounts · UniCredit A.1.3 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: transfers between risk stages (gross values and nominal values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES/NOMINAL VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 1. Financial assets at amortised cost 56,322 19,995 3,068 906 1,265 90 2. Financial assets at fair value through other comprehensive income 155 - - - - - 3. Financial instruments classified as held for sale 1,109 474 144 20 26 9 4. Loan commitments and financial guarantees given 19,017 6,571 158 34 109 128 Total 12.31.2021 76,603 27,040 3,370 960 1,400 227 Total 12.31.2020 65,184 11,274 3,649 534 3,719 196 A.1.3a Other loans and advances subject to Covid-19 measures: transfers between impairment stages (gross values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 A. Financial assets at amortised cost 7,117 2,349 723 33 206 17 A.1 EBA-compliant moratoria loans and advances 19 4 3 6 15 14 A.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1,083 111 36 1 14 - A.3 Loans and advances with other forbearance measures 832 12 584 22 39 - A.4 Newly originated loans and advances 5,183 2,222 100 4 138 3 B. Financial assets at fair value through other comprehensive income - - - - - - B.1 EBA-compliant moratoria loans and advances - - - - - - B.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - B.3 Loans and advances with other forbearance measures - - - - - - B.4 Newly originated loans and advances - - - - - - Total 12.31.2021 7,117 2,349 723 33 206 17 Total 12.31.2020 14,907 634 819 28 447 16 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 332 2021 Annual Report and Accounts · UniCredit A.1.3 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: transfers between risk stages (gross values and nominal values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES/NOMINAL VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 1. Financial assets at amortised cost 56,322 19,995 3,068 906 1,265 90 2. Financial assets at fair value through other comprehensive income 155 - - - - - 3. Financial instruments classified as held for sale 1,109 474 144 20 26 9 4. Loan commitments and financial guarantees given 19,017 6,571 158 34 109 128 Total 12.31.2021 76,603 27,040 3,370 960 1,400 227 Total 12.31.2020 65,184 11,274 3,649 534 3,719 196 A.1.3a Other loans and advances subject to Covid-19 measures: transfers between impairment stages (gross values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 A. Financial assets at amortised cost 7,117 2,349 723 33 206 17 A.1 EBA-compliant moratoria loans and advances 19 4 3 6 15 14 A.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1,083 111 36 1 14 - A.3 Loans and advances with other forbearance measures 832 12 584 22 39 - A.4 Newly originated loans and advances 5,183 2,222 100 4 138 3 B. Financial assets at fair value through other comprehensive income - - - - - - B.1 EBA-compliant moratoria loans and advances - - - - - - B.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - B.3 Loans and advances with other forbearance measures - - - - - - B.4 Newly originated loans and advances - - - - - - Total 12.31.2021 7,117 2,349 723 33 206 17 Total 12.31.2020 14,907 634 819 28 447 16 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 332 2021 Annual Report and Accounts · UniCredit A.1.3 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: transfers between risk stages (gross values and nominal values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES/NOMINAL VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 1. Financial assets at amortised cost 56,322 19,995 3,068 906 1,265 90 2. Financial assets at fair value through other comprehensive income 155 - - - - - 3. Financial instruments classified as held for sale 1,109 474 144 20 26 9 4. Loan commitments and financial guarantees given 19,017 6,571 158 34 109 128 Total 12.31.2021 76,603 27,040 3,370 960 1,400 227 Total 12.31.2020 65,184 11,274 3,649 534 3,719 196 A.1.3a Other loans and advances subject to Covid-19 measures: transfers between impairment stages (gross values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 A. Financial assets at amortised cost 7,117 2,349 723 33 206 17 A.1 EBA-compliant moratoria loans and advances 19 4 3 6 15 14 A.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1,083 111 36 1 14 - A.3 Loans and advances with other forbearance measures 832 12 584 22 39 - A.4 Newly originated loans and advances 5,183 2,222 100 4 138 3 B. Financial assets at fair value through other comprehensive income - - - - - - B.1 EBA-compliant moratoria loans and advances - - - - - - B.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - B.3 Loans and advances with other forbearance measures - - - - - - B.4 Newly originated loans and advances - - - - - - Total 12.31.2021 7,117 2,349 723 33 206 17 Total 12.31.2020 14,907 634 819 28 447 16 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 332 2021 Annual Report and Accounts · UniCredit A.1.3 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: transfers between risk stages (gross values and nominal values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES/NOMINAL VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 1. Financial assets at amortised cost 56,322 19,995 3,068 906 1,265 90 2. Financial assets at fair value through other comprehensive income 155 - - - - - 3. Financial instruments classified as held for sale 1,109 474 144 20 26 9 4. Loan commitments and financial guarantees given 19,017 6,571 158 34 109 128 Total 12.31.2021 76,603 27,040 3,370 960 1,400 227 Total 12.31.2020 65,184 11,274 3,649 534 3,719 196 A.1.3a Other loans and advances subject to Covid-19 measures: transfers between impairment stages (gross values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 A. Financial assets at amortised cost 7,117 2,349 723 33 206 17 A.1 EBA-compliant moratoria loans and advances 19 4 3 6 15 14 A.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1,083 111 36 1 14 - A.3 Loans and advances with other forbearance measures 832 12 584 22 39 - A.4 Newly originated loans and advances 5,183 2,222 100 4 138 3 B. Financial assets at fair value through other comprehensive income - - - - - - B.1 EBA-compliant moratoria loans and advances - - - - - - B.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - B.3 Loans and advances with other forbearance measures - - - - - - B.4 Newly originated loans and advances - - - - - - Total 12.31.2021 7,117 2,349 723 33 206 17 Total 12.31.2020 14,907 634 819 28 447 16 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 333 A.1.4 Regulatory consolidation - On- and off-balance sheet credit exposures with banks: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures A.1 On Demand 98,456 98,159 297 - - 2 2 - - - 98,454 - a) Non-performing - X - - - - X - - - - - b) Performing 98,456 98,159 297 X - 2 2 - X - 98,454 - A.2 Other 105,746 99,617 1,943 5 - 19 10 3 5 - 105,727 - a) Bad exposures 5 X - 5 - 5 X - 5 - - - of which: forborne exposures - X - - - - X - - - - - b) Unlikely to pay - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - c) Non-performing past due - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - d) Performing past due 36 24 12 X - - - - X - 36 - of which: forborne exposures - - - X - - - - X - - - e) Other performing exposures 105,705 99,593 1,931 X - 14 10 3 X - 105,691 - of which: forborne exposures - - - X - - - - X - - - Total (A) 204,202 197,776 2,240 5 - 21 12 3 5 - 204,181 - B. Off-balance sheet credit exposures a) Non-performing - X - - - - X - - - - - b) Performing 26,981 10,825 861 X - 11 8 2 X - 26,970 - Total (B) 26,981 10,825 861 - - 11 8 2 - - 26,970 - Total (A+B) 231,183 208,601 3,101 5 - 32 20 5 5 - 231,151 - Note: (*) Value shown for information purposes. On-balance sheet exposures to banks include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income, current accounts and demand deposits with Banks and Central Banks and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 333 A.1.4 Regulatory consolidation - On- and off-balance sheet credit exposures with banks: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures A.1 On Demand 98,456 98,159 297 - - 2 2 - - - 98,454 - a) Non-performing - X - - - - X - - - - - b) Performing 98,456 98,159 297 X - 2 2 - X - 98,454 - A.2 Other 105,746 99,617 1,943 5 - 19 10 3 5 - 105,727 - a) Bad exposures 5 X - 5 - 5 X - 5 - - - of which: forborne exposures - X - - - - X - - - - - b) Unlikely to pay - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - c) Non-performing past due - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - d) Performing past due 36 24 12 X - - - - X - 36 - of which: forborne exposures - - - X - - - - X - - - e) Other performing exposures 105,705 99,593 1,931 X - 14 10 3 X - 105,691 - of which: forborne exposures - - - X - - - - X - - - Total (A) 204,202 197,776 2,240 5 - 21 12 3 5 - 204,181 - B. Off-balance sheet credit exposures a) Non-performing - X - - - - X - - - - - b) Performing 26,981 10,825 861 X - 11 8 2 X - 26,970 - Total (B) 26,981 10,825 861 - - 11 8 2 - - 26,970 - Total (A+B) 231,183 208,601 3,101 5 - 32 20 5 5 - 231,151 - Note: (*) Value shown for information purposes. On-balance sheet exposures to banks include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income, current accounts and demand deposits with Banks and Central Banks and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 333 A.1.4 Regulatory consolidation - On- and off-balance sheet credit exposures with banks: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures A.1 On Demand 98,456 98,159 297 - - 2 2 - - - 98,454 - a) Non-performing - X - - - - X - - - - - b) Performing 98,456 98,159 297 X - 2 2 - X - 98,454 - A.2 Other 105,746 99,617 1,943 5 - 19 10 3 5 - 105,727 - a) Bad exposures 5 X - 5 - 5 X - 5 - - - of which: forborne exposures - X - - - - X - - - - - b) Unlikely to pay - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - c) Non-performing past due - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - d) Performing past due 36 24 12 X - - - - X - 36 - of which: forborne exposures - - - X - - - - X - - - e) Other performing exposures 105,705 99,593 1,931 X - 14 10 3 X - 105,691 - of which: forborne exposures - - - X - - - - X - - - Total (A) 204,202 197,776 2,240 5 - 21 12 3 5 - 204,181 - B. Off-balance sheet credit exposures a) Non-performing - X - - - - X - - - - - b) Performing 26,981 10,825 861 X - 11 8 2 X - 26,970 - Total (B) 26,981 10,825 861 - - 11 8 2 - - 26,970 - Total (A+B) 231,183 208,601 3,101 5 - 32 20 5 5 - 231,151 - Note: (*) Value shown for information purposes. On-balance sheet exposures to banks include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income, current accounts and demand deposits with Banks and Central Banks and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 333 A.1.4 Regulatory consolidation - On- and off-balance sheet credit exposures with banks: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures A.1 On Demand 98,456 98,159 297 - - 2 2 - - - 98,454 - a) Non-performing - X - - - - X - - - - - b) Performing 98,456 98,159 297 X - 2 2 - X - 98,454 - A.2 Other 105,746 99,617 1,943 5 - 19 10 3 5 - 105,727 - a) Bad exposures 5 X - 5 - 5 X - 5 - - - of which: forborne exposures - X - - - - X - - - - - b) Unlikely to pay - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - c) Non-performing past due - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - d) Performing past due 36 24 12 X - - - - X - 36 - of which: forborne exposures - - - X - - - - X - - - e) Other performing exposures 105,705 99,593 1,931 X - 14 10 3 X - 105,691 - of which: forborne exposures - - - X - - - - X - - - Total (A) 204,202 197,776 2,240 5 - 21 12 3 5 - 204,181 - B. Off-balance sheet credit exposures a) Non-performing - X - - - - X - - - - - b) Performing 26,981 10,825 861 X - 11 8 2 X - 26,970 - Total (B) 26,981 10,825 861 - - 11 8 2 - - 26,970 - Total (A+B) 231,183 208,601 3,101 5 - 32 20 5 5 - 231,151 - Note: (*) Value shown for information purposes. On-balance sheet exposures to banks include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income, current accounts and demand deposits with Banks and Central Banks and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 333 A.1.4 Regulatory consolidation - On- and off-balance sheet credit exposures with banks: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures A.1 On Demand 98,456 98,159 297 - - 2 2 - - - 98,454 - a) Non-performing - X - - - - X - - - - - b) Performing 98,456 98,159 297 X - 2 2 - X - 98,454 - A.2 Other 105,746 99,617 1,943 5 - 19 10 3 5 - 105,727 - a) Bad exposures 5 X - 5 - 5 X - 5 - - - of which: forborne exposures - X - - - - X - - - - - b) Unlikely to pay - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - c) Non-performing past due - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - d) Performing past due 36 24 12 X - - - - X - 36 - of which: forborne exposures - - - X - - - - X - - - e) Other performing exposures 105,705 99,593 1,931 X - 14 10 3 X - 105,691 - of which: forborne exposures - - - X - - - - X - - - Total (A) 204,202 197,776 2,240 5 - 21 12 3 5 - 204,181 - B. Off-balance sheet credit exposures a) Non-performing - X - - - - X - - - - - b) Performing 26,981 10,825 861 X - 11 8 2 X - 26,970 - Total (B) 26,981 10,825 861 - - 11 8 2 - - 26,970 - Total (A+B) 231,183 208,601 3,101 5 - 32 20 5 5 - 231,151 - Note: (*) Value shown for information purposes. On-balance sheet exposures to banks include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income, current accounts and demand deposits with Banks and Central Banks and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 334 2021 Annual Report and Accounts · UniCredit A.1.5 Regulatory consolidation - On- and off-balance sheet credit exposures with customers: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures a) Bad exposures 5,027 X - 5,001 13 3,713 X - 3,693 10 1,314 1,817 of which: forborne exposures 1,359 X - 1,345 2 908 X - 898 - 451 417 b) Unlikely to pay 12,028 X - 11,892 20 5,637 X - 5,553 3 6,391 277 of which: forborne exposures 7,534 X - 7,483 18 3,562 X - 3,537 3 3,972 232 c) Non-performing past due 854 X - 854 - 325 X - 325 - 529 - of which: forborne exposures 42 X - 42 - 19 X - 19 - 23 - d) Performing past due 8,700 5,433 3,266 X - 331 31 300 X - 8,369 - of which: forborne exposures 386 7 379 X - 58 - 58 X - 328 - e) Other performing exposures 595,245 453,826 106,885 X 13 5,004 1,363 3,641 X - 590,241 - of which: forborne exposures 9,236 232 8,962 X 8 910 11 899 X - 8,326 - Total (A) 621,854 459,259 110,151 17,747 46 15,010 1,394 3,941 9,571 13 606,844 2,094 B. Off-balance sheet credit exposures a) Non-performing 2,997 X - 2,017 - 977 X - 856 - 2,020 - b) Performing 338,276 172,994 42,013 X - 439 194 224 X - 337,837 - Total (B) 341,273 172,994 42,013 2,017 - 1,416 194 224 856 - 339,857 - Total (A+B) 963,127 632,253 152,164 19,764 46 16,426 1,588 4,165 10,427 13 946,701 2,094 Note: (*) Value shown for information purposes. On-balance sheet exposures to customers include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 334 2021 Annual Report and Accounts · UniCredit A.1.5 Regulatory consolidation - On- and off-balance sheet credit exposures with customers: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures a) Bad exposures 5,027 X - 5,001 13 3,713 X - 3,693 10 1,314 1,817 of which: forborne exposures 1,359 X - 1,345 2 908 X - 898 - 451 417 b) Unlikely to pay 12,028 X - 11,892 20 5,637 X - 5,553 3 6,391 277 of which: forborne exposures 7,534 X - 7,483 18 3,562 X - 3,537 3 3,972 232 c) Non-performing past due 854 X - 854 - 325 X - 325 - 529 - of which: forborne exposures 42 X - 42 - 19 X - 19 - 23 - d) Performing past due 8,700 5,433 3,266 X - 331 31 300 X - 8,369 - of which: forborne exposures 386 7 379 X - 58 - 58 X - 328 - e) Other performing exposures 595,245 453,826 106,885 X 13 5,004 1,363 3,641 X - 590,241 - of which: forborne exposures 9,236 232 8,962 X 8 910 11 899 X - 8,326 - Total (A) 621,854 459,259 110,151 17,747 46 15,010 1,394 3,941 9,571 13 606,844 2,094 B. Off-balance sheet credit exposures a) Non-performing 2,997 X - 2,017 - 977 X - 856 - 2,020 - b) Performing 338,276 172,994 42,013 X - 439 194 224 X - 337,837 - Total (B) 341,273 172,994 42,013 2,017 - 1,416 194 224 856 - 339,857 - Total (A+B) 963,127 632,253 152,164 19,764 46 16,426 1,588 4,165 10,427 13 946,701 2,094 Note: (*) Value shown for information purposes. On-balance sheet exposures to customers include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 334 2021 Annual Report and Accounts · UniCredit A.1.5 Regulatory consolidation - On- and off-balance sheet credit exposures with customers: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures a) Bad exposures 5,027 X - 5,001 13 3,713 X - 3,693 10 1,314 1,817 of which: forborne exposures 1,359 X - 1,345 2 908 X - 898 - 451 417 b) Unlikely to pay 12,028 X - 11,892 20 5,637 X - 5,553 3 6,391 277 of which: forborne exposures 7,534 X - 7,483 18 3,562 X - 3,537 3 3,972 232 c) Non-performing past due 854 X - 854 - 325 X - 325 - 529 - of which: forborne exposures 42 X - 42 - 19 X - 19 - 23 - d) Performing past due 8,700 5,433 3,266 X - 331 31 300 X - 8,369 - of which: forborne exposures 386 7 379 X - 58 - 58 X - 328 - e) Other performing exposures 595,245 453,826 106,885 X 13 5,004 1,363 3,641 X - 590,241 - of which: forborne exposures 9,236 232 8,962 X 8 910 11 899 X - 8,326 - Total (A) 621,854 459,259 110,151 17,747 46 15,010 1,394 3,941 9,571 13 606,844 2,094 B. Off-balance sheet credit exposures a) Non-performing 2,997 X - 2,017 - 977 X - 856 - 2,020 - b) Performing 338,276 172,994 42,013 X - 439 194 224 X - 337,837 - Total (B) 341,273 172,994 42,013 2,017 - 1,416 194 224 856 - 339,857 - Total (A+B) 963,127 632,253 152,164 19,764 46 16,426 1,588 4,165 10,427 13 946,701 2,094 Note: (*) Value shown for information purposes. On-balance sheet exposures to customers include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 334 2021 Annual Report and Accounts · UniCredit A.1.5 Regulatory consolidation - On- and off-balance sheet credit exposures with customers: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures a) Bad exposures 5,027 X - 5,001 13 3,713 X - 3,693 10 1,314 1,817 of which: forborne exposures 1,359 X - 1,345 2 908 X - 898 - 451 417 b) Unlikely to pay 12,028 X - 11,892 20 5,637 X - 5,553 3 6,391 277 of which: forborne exposures 7,534 X - 7,483 18 3,562 X - 3,537 3 3,972 232 c) Non-performing past due 854 X - 854 - 325 X - 325 - 529 - of which: forborne exposures 42 X - 42 - 19 X - 19 - 23 - d) Performing past due 8,700 5,433 3,266 X - 331 31 300 X - 8,369 - of which: forborne exposures 386 7 379 X - 58 - 58 X - 328 - e) Other performing exposures 595,245 453,826 106,885 X 13 5,004 1,363 3,641 X - 590,241 - of which: forborne exposures 9,236 232 8,962 X 8 910 11 899 X - 8,326 - Total (A) 621,854 459,259 110,151 17,747 46 15,010 1,394 3,941 9,571 13 606,844 2,094 B. Off-balance sheet credit exposures a) Non-performing 2,997 X - 2,017 - 977 X - 856 - 2,020 - b) Performing 338,276 172,994 42,013 X - 439 194 224 X - 337,837 - Total (B) 341,273 172,994 42,013 2,017 - 1,416 194 224 856 - 339,857 - Total (A+B) 963,127 632,253 152,164 19,764 46 16,426 1,588 4,165 10,427 13 946,701 2,094 Note: (*) Value shown for information purposes. On-balance sheet exposures to customers include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 334 2021 Annual Report and Accounts · UniCredit A.1.5 Regulatory consolidation - On- and off-balance sheet credit exposures with customers: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures a) Bad exposures 5,027 X - 5,001 13 3,713 X - 3,693 10 1,314 1,817 of which: forborne exposures 1,359 X - 1,345 2 908 X - 898 - 451 417 b) Unlikely to pay 12,028 X - 11,892 20 5,637 X - 5,553 3 6,391 277 of which: forborne exposures 7,534 X - 7,483 18 3,562 X - 3,537 3 3,972 232 c) Non-performing past due 854 X - 854 - 325 X - 325 - 529 - of which: forborne exposures 42 X - 42 - 19 X - 19 - 23 - d) Performing past due 8,700 5,433 3,266 X - 331 31 300 X - 8,369 - of which: forborne exposures 386 7 379 X - 58 - 58 X - 328 - e) Other performing exposures 595,245 453,826 106,885 X 13 5,004 1,363 3,641 X - 590,241 - of which: forborne exposures 9,236 232 8,962 X 8 910 11 899 X - 8,326 - Total (A) 621,854 459,259 110,151 17,747 46 15,010 1,394 3,941 9,571 13 606,844 2,094 B. Off-balance sheet credit exposures a) Non-performing 2,997 X - 2,017 - 977 X - 856 - 2,020 - b) Performing 338,276 172,994 42,013 X - 439 194 224 X - 337,837 - Total (B) 341,273 172,994 42,013 2,017 - 1,416 194 224 856 - 339,857 - Total (A+B) 963,127 632,253 152,164 19,764 46 16,426 1,588 4,165 10,427 13 946,701 2,094 Note: (*) Value shown for information purposes. On-balance sheet exposures to customers include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 335 A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value (€ million) AMOUNTS AS AT 12.31.2021 GROSS EXPOSURE OVERALL WRITE-DOWNS EXPOSURE TYPES/VALUES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) A. Bad loans 60 - - 60 - 17 - - 17 - 43 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 4 - - 4 - 3 - - 3 - 1 - c) Loans and advances with other forbearance measures 47 - - 47 - 13 - - 13 - 34 - d) Newly originated loans and advances 9 - - 9 - 1 - - 1 - 8 - B. Unlikely to pay loans 2,382 - - 2,376 5 751 - - 751 - 1,631 - a) EBA-compliant moratoria loans and advances 2 - - 2 - 1 - - 1 - 1 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 196 - - 195 - 137 - - 137 - 59 - c) Loans and advances with other forbearance measures 1,903 - - 1,901 2 530 - - 530 - 1,373 - d) Newly originated loans and advances 281 - - 278 3 83 - - 83 - 198 - C. Non-performing past due loans 31 - - 31 - 5 - - 5 - 26 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 2 - - 2 - 1 - - 1 - 1 - c) Loans and advances with other forbearance measures 8 - - 8 - 3 - - 3 - 5 - d) Newly originated loans and advances 21 - - 21 - 1 - - 1 - 20 - D. Performing past due loans 289 85 203 - - 13 1 12 - - 276 - a) EBA-compliant moratoria loans and advances 14 - 13 - - 2 - 2 - - 12 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 31 6 25 - - 3 - 3 - - 28 - c) Loans and advances with other forbearance measures 50 - 50 - - 5 - 5 - - 45 - d) Newly originated loans and advances 194 79 115 - - 3 1 2 - - 191 - E. Other performing exposures loans 35,854 21,061 14,788 - 1 633 52 578 - - 35,221 - a) EBA-compliant moratoria loans and advances 104 36 69 - - 4 - 3 - - 100 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 6,430 3,602 2,828 - - 224 26 198 - - 6,206 - c) Loans and advances with other forbearance measures 3,722 21 3,695 - 1 314 - 313 - - 3,408 - d) Newly originated loans and advances 25,598 17,402 8,196 - - 91 26 64 - - 25,507 - During 2021 several actions continued to be taken regarding lending processes across the Group Legal Entities to properly deal with Covid-19. At the end of December 2021, gross exposure of loans and advance subject to Covid-19 measures amounted to €38,616 million, of which €36,143 million performing and €2,473 million non-performing (6.4% of total loans), of which €60 million bad loans, €2,382 million unlikely to pay, €31 million non-performing past due. The largest components of the loans benefitting from Covid-19 initiatives are in Italy, representing 78% of Group figures (96% classified as Performing), and in CEE countries, representing 14% of Group figures (96% classified as Performing). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 335 A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value (€ million) AMOUNTS AS AT 12.31.2021 GROSS EXPOSURE OVERALL WRITE-DOWNS EXPOSURE TYPES/VALUES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) A. Bad loans 60 - - 60 - 17 - - 17 - 43 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 4 - - 4 - 3 - - 3 - 1 - c) Loans and advances with other forbearance measures 47 - - 47 - 13 - - 13 - 34 - d) Newly originated loans and advances 9 - - 9 - 1 - - 1 - 8 - B. Unlikely to pay loans 2,382 - - 2,376 5 751 - - 751 - 1,631 - a) EBA-compliant moratoria loans and advances 2 - - 2 - 1 - - 1 - 1 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 196 - - 195 - 137 - - 137 - 59 - c) Loans and advances with other forbearance measures 1,903 - - 1,901 2 530 - - 530 - 1,373 - d) Newly originated loans and advances 281 - - 278 3 83 - - 83 - 198 - C. Non-performing past due loans 31 - - 31 - 5 - - 5 - 26 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 2 - - 2 - 1 - - 1 - 1 - c) Loans and advances with other forbearance measures 8 - - 8 - 3 - - 3 - 5 - d) Newly originated loans and advances 21 - - 21 - 1 - - 1 - 20 - D. Performing past due loans 289 85 203 - - 13 1 12 - - 276 - a) EBA-compliant moratoria loans and advances 14 - 13 - - 2 - 2 - - 12 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 31 6 25 - - 3 - 3 - - 28 - c) Loans and advances with other forbearance measures 50 - 50 - - 5 - 5 - - 45 - d) Newly originated loans and advances 194 79 115 - - 3 1 2 - - 191 - E. Other performing exposures loans 35,854 21,061 14,788 - 1 633 52 578 - - 35,221 - a) EBA-compliant moratoria loans and advances 104 36 69 - - 4 - 3 - - 100 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 6,430 3,602 2,828 - - 224 26 198 - - 6,206 - c) Loans and advances with other forbearance measures 3,722 21 3,695 - 1 314 - 313 - - 3,408 - d) Newly originated loans and advances 25,598 17,402 8,196 - - 91 26 64 - - 25,507 - During 2021 several actions continued to be taken regarding lending processes across the Group Legal Entities to properly deal with Covid-19. At the end of December 2021, gross exposure of loans and advance subject to Covid-19 measures amounted to €38,616 million, of which €36,143 million performing and €2,473 million non-performing (6.4% of total loans), of which €60 million bad loans, €2,382 million unlikely to pay, €31 million non-performing past due. The largest components of the loans benefitting from Covid-19 initiatives are in Italy, representing 78% of Group figures (96% classified as Performing), and in CEE countries, representing 14% of Group figures (96% classified as Performing). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 335 A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value (€ million) AMOUNTS AS AT 12.31.2021 GROSS EXPOSURE OVERALL WRITE-DOWNS EXPOSURE TYPES/VALUES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) A. Bad loans 60 - - 60 - 17 - - 17 - 43 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 4 - - 4 - 3 - - 3 - 1 - c) Loans and advances with other forbearance measures 47 - - 47 - 13 - - 13 - 34 - d) Newly originated loans and advances 9 - - 9 - 1 - - 1 - 8 - B. Unlikely to pay loans 2,382 - - 2,376 5 751 - - 751 - 1,631 - a) EBA-compliant moratoria loans and advances 2 - - 2 - 1 - - 1 - 1 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 196 - - 195 - 137 - - 137 - 59 - c) Loans and advances with other forbearance measures 1,903 - - 1,901 2 530 - - 530 - 1,373 - d) Newly originated loans and advances 281 - - 278 3 83 - - 83 - 198 - C. Non-performing past due loans 31 - - 31 - 5 - - 5 - 26 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 2 - - 2 - 1 - - 1 - 1 - c) Loans and advances with other forbearance measures 8 - - 8 - 3 - - 3 - 5 - d) Newly originated loans and advances 21 - - 21 - 1 - - 1 - 20 - D. Performing past due loans 289 85 203 - - 13 1 12 - - 276 - a) EBA-compliant moratoria loans and advances 14 - 13 - - 2 - 2 - - 12 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 31 6 25 - - 3 - 3 - - 28 - c) Loans and advances with other forbearance measures 50 - 50 - - 5 - 5 - - 45 - d) Newly originated loans and advances 194 79 115 - - 3 1 2 - - 191 - E. Other performing exposures loans 35,854 21,061 14,788 - 1 633 52 578 - - 35,221 - a) EBA-compliant moratoria loans and advances 104 36 69 - - 4 - 3 - - 100 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 6,430 3,602 2,828 - - 224 26 198 - - 6,206 - c) Loans and advances with other forbearance measures 3,722 21 3,695 - 1 314 - 313 - - 3,408 - d) Newly originated loans and advances 25,598 17,402 8,196 - - 91 26 64 - - 25,507 - During 2021 several actions continued to be taken regarding lending processes across the Group Legal Entities to properly deal with Covid-19. At the end of December 2021, gross exposure of loans and advance subject to Covid-19 measures amounted to €38,616 million, of which €36,143 million performing and €2,473 million non-performing (6.4% of total loans), of which €60 million bad loans, €2,382 million unlikely to pay, €31 million non-performing past due. The largest components of the loans benefitting from Covid-19 initiatives are in Italy, representing 78% of Group figures (96% classified as Performing), and in CEE countries, representing 14% of Group figures (96% classified as Performing). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 335 A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value (€ million) AMOUNTS AS AT 12.31.2021 GROSS EXPOSURE OVERALL WRITE-DOWNS EXPOSURE TYPES/VALUES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) A. Bad loans 60 - - 60 - 17 - - 17 - 43 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 4 - - 4 - 3 - - 3 - 1 - c) Loans and advances with other forbearance measures 47 - - 47 - 13 - - 13 - 34 - d) Newly originated loans and advances 9 - - 9 - 1 - - 1 - 8 - B. Unlikely to pay loans 2,382 - - 2,376 5 751 - - 751 - 1,631 - a) EBA-compliant moratoria loans and advances 2 - - 2 - 1 - - 1 - 1 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 196 - - 195 - 137 - - 137 - 59 - c) Loans and advances with other forbearance measures 1,903 - - 1,901 2 530 - - 530 - 1,373 - d) Newly originated loans and advances 281 - - 278 3 83 - - 83 - 198 - C. Non-performing past due loans 31 - - 31 - 5 - - 5 - 26 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 2 - - 2 - 1 - - 1 - 1 - c) Loans and advances with other forbearance measures 8 - - 8 - 3 - - 3 - 5 - d) Newly originated loans and advances 21 - - 21 - 1 - - 1 - 20 - D. Performing past due loans 289 85 203 - - 13 1 12 - - 276 - a) EBA-compliant moratoria loans and advances 14 - 13 - - 2 - 2 - - 12 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 31 6 25 - - 3 - 3 - - 28 - c) Loans and advances with other forbearance measures 50 - 50 - - 5 - 5 - - 45 - d) Newly originated loans and advances 194 79 115 - - 3 1 2 - - 191 - E. Other performing exposures loans 35,854 21,061 14,788 - 1 633 52 578 - - 35,221 - a) EBA-compliant moratoria loans and advances 104 36 69 - - 4 - 3 - - 100 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 6,430 3,602 2,828 - - 224 26 198 - - 6,206 - c) Loans and advances with other forbearance measures 3,722 21 3,695 - 1 314 - 313 - - 3,408 - d) Newly originated loans and advances 25,598 17,402 8,196 - - 91 26 64 - - 25,507 - During 2021 several actions continued to be taken regarding lending processes across the Group Legal Entities to properly deal with Covid-19. At the end of December 2021, gross exposure of loans and advance subject to Covid-19 measures amounted to €38,616 million, of which €36,143 million performing and €2,473 million non-performing (6.4% of total loans), of which €60 million bad loans, €2,382 million unlikely to pay, €31 million non-performing past due. The largest components of the loans benefitting from Covid-19 initiatives are in Italy, representing 78% of Group figures (96% classified as Performing), and in CEE countries, representing 14% of Group figures (96% classified as Performing). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 335 A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value (€ million) AMOUNTS AS AT 12.31.2021 GROSS EXPOSURE OVERALL WRITE-DOWNS EXPOSURE TYPES/VALUES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) A. Bad loans 60 - - 60 - 17 - - 17 - 43 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 4 - - 4 - 3 - - 3 - 1 - c) Loans and advances with other forbearance measures 47 - - 47 - 13 - - 13 - 34 - d) Newly originated loans and advances 9 - - 9 - 1 - - 1 - 8 - B. Unlikely to pay loans 2,382 - - 2,376 5 751 - - 751 - 1,631 - a) EBA-compliant moratoria loans and advances 2 - - 2 - 1 - - 1 - 1 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 196 - - 195 - 137 - - 137 - 59 - c) Loans and advances with other forbearance measures 1,903 - - 1,901 2 530 - - 530 - 1,373 - d) Newly originated loans and advances 281 - - 278 3 83 - - 83 - 198 - C. Non-performing past due loans 31 - - 31 - 5 - - 5 - 26 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 2 - - 2 - 1 - - 1 - 1 - c) Loans and advances with other forbearance measures 8 - - 8 - 3 - - 3 - 5 - d) Newly originated loans and advances 21 - - 21 - 1 - - 1 - 20 - D. Performing past due loans 289 85 203 - - 13 1 12 - - 276 - a) EBA-compliant moratoria loans and advances 14 - 13 - - 2 - 2 - - 12 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 31 6 25 - - 3 - 3 - - 28 - c) Loans and advances with other forbearance measures 50 - 50 - - 5 - 5 - - 45 - d) Newly originated loans and advances 194 79 115 - - 3 1 2 - - 191 - E. Other performing exposures loans 35,854 21,061 14,788 - 1 633 52 578 - - 35,221 - a) EBA-compliant moratoria loans and advances 104 36 69 - - 4 - 3 - - 100 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 6,430 3,602 2,828 - - 224 26 198 - - 6,206 - c) Loans and advances with other forbearance measures 3,722 21 3,695 - 1 314 - 313 - - 3,408 - d) Newly originated loans and advances 25,598 17,402 8,196 - - 91 26 64 - - 25,507 - During 2021 several actions continued to be taken regarding lending processes across the Group Legal Entities to properly deal with Covid-19. At the end of December 2021, gross exposure of loans and advance subject to Covid-19 measures amounted to €38,616 million, of which €36,143 million performing and €2,473 million non-performing (6.4% of total loans), of which €60 million bad loans, €2,382 million unlikely to pay, €31 million non-performing past due. The largest components of the loans benefitting from Covid-19 initiatives are in Italy, representing 78% of Group figures (96% classified as Performing), and in CEE countries, representing 14% of Group figures (96% classified as Performing). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 336 2021 Annual Report and Accounts · UniCredit A.1.6 Regulatory consolidation - On-balance sheet exposures with banks: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 1 6 - of which sold non-cancelled exposures - - - B. Increases 4 - - B.1 Transfers from performing loans - - - B.2 Transfers from acquired or originated impaired financial assets - - - of which: business combinations - - - B.3 Transfers from other categories of non-perforiming exposures 4 - - B.4 Contractual changes with no cancellations - - - B.5 Other increases - - - of which: business combinations - mergers - - - C. Reductions - 6 - C.1 Transfers to performing loans - - - C.2 Write-offs - - - C.3 Collections - 2 - C.4 Sale proceeds - - - C.5 Losses on disposal - - - C.6 Transfers to other non-performing exposures - 4 - C.7 Contractual changes with no cancellations - - - C.8 Other decreases - - - of which: business combinations - - - D. Closing balance (gross amount) 5 - - of which sold non-cancelled exposures - - - Sub-items “B.5 Other increases” and “C.3 Collections” include amounts recovered during the year concerning impaired exposures which were derecognised in their entirety. A.1.6bis Regulatory consolidation - On-balance sheet exposures with banks: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 2 - of which sold non-cancelled exposures - - B. Increases - - B.1 Transfers from performing non-forborne exposures - - B.2 Transfers from performing forbone exposures - X B.3 Transfers from non-performing forborne exposures X - of which: business combinations X - B.4 Other increases - - of which: business combinations - mergers - - C. Reductions 2 - C.1 Transfers to performing non-forborne exposures X - C.2 Transfers to performing forbone exposures - X C.3 Transfers to non-performing forborne exposures X - C.4 Write-offs - - C.5 Collections 2 - C.6 Sale proceeds - - C.7 Losses from disposal - - C.8 Other reductions - - of which: business combinations - - D. Closing balance (gross amount) - - of which sold non-cancelled exposures - - Off-balance sheet exposures to customers comprises guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 336 2021 Annual Report and Accounts · UniCredit A.1.6 Regulatory consolidation - On-balance sheet exposures with banks: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 1 6 - of which sold non-cancelled exposures - - - B. Increases 4 - - B.1 Transfers from performing loans - - - B.2 Transfers from acquired or originated impaired financial assets - - - of which: business combinations - - - B.3 Transfers from other categories of non-perforiming exposures 4 - - B.4 Contractual changes with no cancellations - - - B.5 Other increases - - - of which: business combinations - mergers - - - C. Reductions - 6 - C.1 Transfers to performing loans - - - C.2 Write-offs - - - C.3 Collections - 2 - C.4 Sale proceeds - - - C.5 Losses on disposal - - - C.6 Transfers to other non-performing exposures - 4 - C.7 Contractual changes with no cancellations - - - C.8 Other decreases - - - of which: business combinations - - - D. Closing balance (gross amount) 5 - - of which sold non-cancelled exposures - - - Sub-items “B.5 Other increases” and “C.3 Collections” include amounts recovered during the year concerning impaired exposures which were derecognised in their entirety. A.1.6bis Regulatory consolidation - On-balance sheet exposures with banks: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 2 - of which sold non-cancelled exposures - - B. Increases - - B.1 Transfers from performing non-forborne exposures - - B.2 Transfers from performing forbone exposures - X B.3 Transfers from non-performing forborne exposures X - of which: business combinations X - B.4 Other increases - - of which: business combinations - mergers - - C. Reductions 2 - C.1 Transfers to performing non-forborne exposures X - C.2 Transfers to performing forbone exposures - X C.3 Transfers to non-performing forborne exposures X - C.4 Write-offs - - C.5 Collections 2 - C.6 Sale proceeds - - C.7 Losses from disposal - - C.8 Other reductions - - of which: business combinations - - D. Closing balance (gross amount) - - of which sold non-cancelled exposures - - Off-balance sheet exposures to customers comprises guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 336 2021 Annual Report and Accounts · UniCredit A.1.6 Regulatory consolidation - On-balance sheet exposures with banks: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 1 6 - of which sold non-cancelled exposures - - - B. Increases 4 - - B.1 Transfers from performing loans - - - B.2 Transfers from acquired or originated impaired financial assets - - - of which: business combinations - - - B.3 Transfers from other categories of non-perforiming exposures 4 - - B.4 Contractual changes with no cancellations - - - B.5 Other increases - - - of which: business combinations - mergers - - - C. Reductions - 6 - C.1 Transfers to performing loans - - - C.2 Write-offs - - - C.3 Collections - 2 - C.4 Sale proceeds - - - C.5 Losses on disposal - - - C.6 Transfers to other non-performing exposures - 4 - C.7 Contractual changes with no cancellations - - - C.8 Other decreases - - - of which: business combinations - - - D. Closing balance (gross amount) 5 - - of which sold non-cancelled exposures - - - Sub-items “B.5 Other increases” and “C.3 Collections” include amounts recovered during the year concerning impaired exposures which were derecognised in their entirety. A.1.6bis Regulatory consolidation - On-balance sheet exposures with banks: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 2 - of which sold non-cancelled exposures - - B. Increases - - B.1 Transfers from performing non-forborne exposures - - B.2 Transfers from performing forbone exposures - X B.3 Transfers from non-performing forborne exposures X - of which: business combinations X - B.4 Other increases - - of which: business combinations - mergers - - C. Reductions 2 - C.1 Transfers to performing non-forborne exposures X - C.2 Transfers to performing forbone exposures - X C.3 Transfers to non-performing forborne exposures X - C.4 Write-offs - - C.5 Collections 2 - C.6 Sale proceeds - - C.7 Losses from disposal - - C.8 Other reductions - - of which: business combinations - - D. Closing balance (gross amount) - - of which sold non-cancelled exposures - - Off-balance sheet exposures to customers comprises guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 336 2021 Annual Report and Accounts · UniCredit A.1.6 Regulatory consolidation - On-balance sheet exposures with banks: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 1 6 - of which sold non-cancelled exposures - - - B. Increases 4 - - B.1 Transfers from performing loans - - - B.2 Transfers from acquired or originated impaired financial assets - - - of which: business combinations - - - B.3 Transfers from other categories of non-perforiming exposures 4 - - B.4 Contractual changes with no cancellations - - - B.5 Other increases - - - of which: business combinations - mergers - - - C. Reductions - 6 - C.1 Transfers to performing loans - - - C.2 Write-offs - - - C.3 Collections - 2 - C.4 Sale proceeds - - - C.5 Losses on disposal - - - C.6 Transfers to other non-performing exposures - 4 - C.7 Contractual changes with no cancellations - - - C.8 Other decreases - - - of which: business combinations - - - D. Closing balance (gross amount) 5 - - of which sold non-cancelled exposures - - - Sub-items “B.5 Other increases” and “C.3 Collections” include amounts recovered during the year concerning impaired exposures which were derecognised in their entirety. A.1.6bis Regulatory consolidation - On-balance sheet exposures with banks: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 2 - of which sold non-cancelled exposures - - B. Increases - - B.1 Transfers from performing non-forborne exposures - - B.2 Transfers from performing forbone exposures - X B.3 Transfers from non-performing forborne exposures X - of which: business combinations X - B.4 Other increases - - of which: business combinations - mergers - - C. Reductions 2 - C.1 Transfers to performing non-forborne exposures X - C.2 Transfers to performing forbone exposures - X C.3 Transfers to non-performing forborne exposures X - C.4 Write-offs - - C.5 Collections 2 - C.6 Sale proceeds - - C.7 Losses from disposal - - C.8 Other reductions - - of which: business combinations - - D. Closing balance (gross amount) - - of which sold non-cancelled exposures - - Off-balance sheet exposures to customers comprises guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 336 2021 Annual Report and Accounts · UniCredit A.1.6 Regulatory consolidation - On-balance sheet exposures with banks: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 1 6 - of which sold non-cancelled exposures - - - B. Increases 4 - - B.1 Transfers from performing loans - - - B.2 Transfers from acquired or originated impaired financial assets - - - of which: business combinations - - - B.3 Transfers from other categories of non-perforiming exposures 4 - - B.4 Contractual changes with no cancellations - - - B.5 Other increases - - - of which: business combinations - mergers - - - C. Reductions - 6 - C.1 Transfers to performing loans - - - C.2 Write-offs - - - C.3 Collections - 2 - C.4 Sale proceeds - - - C.5 Losses on disposal - - - C.6 Transfers to other non-performing exposures - 4 - C.7 Contractual changes with no cancellations - - - C.8 Other decreases - - - of which: business combinations - - - D. Closing balance (gross amount) 5 - - of which sold non-cancelled exposures - - - Sub-items “B.5 Other increases” and “C.3 Collections” include amounts recovered during the year concerning impaired exposures which were derecognised in their entirety. A.1.6bis Regulatory consolidation - On-balance sheet exposures with banks: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 2 - of which sold non-cancelled exposures - - B. Increases - - B.1 Transfers from performing non-forborne exposures - - B.2 Transfers from performing forbone exposures - X B.3 Transfers from non-performing forborne exposures X - of which: business combinations X - B.4 Other increases - - of which: business combinations - mergers - - C. Reductions 2 - C.1 Transfers to performing non-forborne exposures X - C.2 Transfers to performing forbone exposures - X C.3 Transfers to non-performing forborne exposures X - C.4 Write-offs - - C.5 Collections 2 - C.6 Sale proceeds - - C.7 Losses from disposal - - C.8 Other reductions - - of which: business combinations - - D. Closing balance (gross amount) - - of which sold non-cancelled exposures - - Off-balance sheet exposures to customers comprises guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 337 The total amount of forborne exposures (including those belonging to disposal groups/held for sale) is €19.9 billion (€9.3 billion non performing and €10.6 billion performing). These exposures refer for 58% to the Italian perimeter, while the remaining amount refers for 18% to CEE countries, to Germany for 12% and for the 11% to Austria. For a description of the rules for identification of forborne exposures refer to paragraph “4. Financial assets subject to commercial renegotiations and forborne exposures”, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit Risk, Qualitative information. On-balance sheet impaired gross exposures connected to the proposals for recourse to an arrangement with creditors made by the debtor, for the positions that have been converted into a Debt restructuring agreement pursuant to article 182-bis of the Bankruptcy Law or continuity of business, as well as the positions not yet assigned or with liquidatory purposes, amounted to a total of €747 million at 31 December 2021, against which specific impairments have been made for €584 million, with a total coverage level of 78%. A.1.7 Regulatory consolidation - On-balance sheet credit exposures with customers: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 7,915 13,676 760 of which sold non-cancelled exposures 464 1,346 7 B. Increases 2,350 5,311 930 B.1 Transfer from performing loans 391 3,757 770 B.2 Transfer from acquired or originated impaired financial assets - 1 - of which: business combinations - - - B.3 Transfer from other non-performing exposures 1,537 209 68 B.4 Contractual changes with no cancellations - 1 - B.5 Other increases 422 1,343 92 of which: business combinations - mergers - - - C. Decreases 5,238 6,959 836 C.1 Transfers to performing loans 102 953 182 C.2 Write-offs 1,477 691 3 C.3 Collections 923 2,469 259 C.4 Sale proceeds 495 418 3 C.5 Losses on disposals 18 69 - C.6 Transfers to other non-performing exposures 72 1,394 348 C.7 Contractual changes with no cancellations - 4 - C.8 Other decreases 2,151 961 41 of which: business combinations - - - D. Closing balance (gross amount) 5,027 12,028 854 of which sold non-cancelled exposures 105 520 16 Sub-items “B.5 Other increases” and “C.3 Collections” include amounts recovered during the year concerning impaired exposures which were derecognised in their entirety. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 337 The total amount of forborne exposures (including those belonging to disposal groups/held for sale) is €19.9 billion (€9.3 billion non performing and €10.6 billion performing). These exposures refer for 58% to the Italian perimeter, while the remaining amount refers for 18% to CEE countries, to Germany for 12% and for the 11% to Austria. For a description of the rules for identification of forborne exposures refer to paragraph “4. Financial assets subject to commercial renegotiations and forborne exposures”, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit Risk, Qualitative information. On-balance sheet impaired gross exposures connected to the proposals for recourse to an arrangement with creditors made by the debtor, for the positions that have been converted into a Debt restructuring agreement pursuant to article 182-bis of the Bankruptcy Law or continuity of business, as well as the positions not yet assigned or with liquidatory purposes, amounted to a total of €747 million at 31 December 2021, against which specific impairments have been made for €584 million, with a total coverage level of 78%. A.1.7 Regulatory consolidation - On-balance sheet credit exposures with customers: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 7,915 13,676 760 of which sold non-cancelled exposures 464 1,346 7 B. Increases 2,350 5,311 930 B.1 Transfer from performing loans 391 3,757 770 B.2 Transfer from acquired or originated impaired financial assets - 1 - of which: business combinations - - - B.3 Transfer from other non-performing exposures 1,537 209 68 B.4 Contractual changes with no cancellations - 1 - B.5 Other increases 422 1,343 92 of which: business combinations - mergers - - - C. Decreases 5,238 6,959 836 C.1 Transfers to performing loans 102 953 182 C.2 Write-offs 1,477 691 3 C.3 Collections 923 2,469 259 C.4 Sale proceeds 495 418 3 C.5 Losses on disposals 18 69 - C.6 Transfers to other non-performing exposures 72 1,394 348 C.7 Contractual changes with no cancellations - 4 - C.8 Other decreases 2,151 961 41 of which: business combinations - - - D. Closing balance (gross amount) 5,027 12,028 854 of which sold non-cancelled exposures 105 520 16 Sub-items “B.5 Other increases” and “C.3 Collections” include amounts recovered during the year concerning impaired exposures which were derecognised in their entirety. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 337 The total amount of forborne exposures (including those belonging to disposal groups/held for sale) is €19.9 billion (€9.3 billion non performing and €10.6 billion performing). These exposures refer for 58% to the Italian perimeter, while the remaining amount refers for 18% to CEE countries, to Germany for 12% and for the 11% to Austria. For a description of the rules for identification of forborne exposures refer to paragraph “4. Financial assets subject to commercial renegotiations and forborne exposures”, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit Risk, Qualitative information. On-balance sheet impaired gross exposures connected to the proposals for recourse to an arrangement with creditors made by the debtor, for the positions that have been converted into a Debt restructuring agreement pursuant to article 182-bis of the Bankruptcy Law or continuity of business, as well as the positions not yet assigned or with liquidatory purposes, amounted to a total of €747 million at 31 December 2021, against which specific impairments have been made for €584 million, with a total coverage level of 78%. A.1.7 Regulatory consolidation - On-balance sheet credit exposures with customers: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 7,915 13,676 760 of which sold non-cancelled exposures 464 1,346 7 B. Increases 2,350 5,311 930 B.1 Transfer from performing loans 391 3,757 770 B.2 Transfer from acquired or originated impaired financial assets - 1 - of which: business combinations - - - B.3 Transfer from other non-performing exposures 1,537 209 68 B.4 Contractual changes with no cancellations - 1 - B.5 Other increases 422 1,343 92 of which: business combinations - mergers - - - C. Decreases 5,238 6,959 836 C.1 Transfers to performing loans 102 953 182 C.2 Write-offs 1,477 691 3 C.3 Collections 923 2,469 259 C.4 Sale proceeds 495 418 3 C.5 Losses on disposals 18 69 - C.6 Transfers to other non-performing exposures 72 1,394 348 C.7 Contractual changes with no cancellations - 4 - C.8 Other decreases 2,151 961 41 of which: business combinations - - - D. Closing balance (gross amount) 5,027 12,028 854 of which sold non-cancelled exposures 105 520 16 Sub-items “B.5 Other increases” and “C.3 Collections” include amounts recovered during the year concerning impaired exposures which were derecognised in their entirety. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 337 The total amount of forborne exposures (including those belonging to disposal groups/held for sale) is €19.9 billion (€9.3 billion non performing and €10.6 billion performing). These exposures refer for 58% to the Italian perimeter, while the remaining amount refers for 18% to CEE countries, to Germany for 12% and for the 11% to Austria. For a description of the rules for identification of forborne exposures refer to paragraph “4. Financial assets subject to commercial renegotiations and forborne exposures”, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit Risk, Qualitative information. On-balance sheet impaired gross exposures connected to the proposals for recourse to an arrangement with creditors made by the debtor, for the positions that have been converted into a Debt restructuring agreement pursuant to article 182-bis of the Bankruptcy Law or continuity of business, as well as the positions not yet assigned or with liquidatory purposes, amounted to a total of €747 million at 31 December 2021, against which specific impairments have been made for €584 million, with a total coverage level of 78%. A.1.7 Regulatory consolidation - On-balance sheet credit exposures with customers: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 7,915 13,676 760 of which sold non-cancelled exposures 464 1,346 7 B. Increases 2,350 5,311 930 B.1 Transfer from performing loans 391 3,757 770 B.2 Transfer from acquired or originated impaired financial assets - 1 - of which: business combinations - - - B.3 Transfer from other non-performing exposures 1,537 209 68 B.4 Contractual changes with no cancellations - 1 - B.5 Other increases 422 1,343 92 of which: business combinations - mergers - - - C. Decreases 5,238 6,959 836 C.1 Transfers to performing loans 102 953 182 C.2 Write-offs 1,477 691 3 C.3 Collections 923 2,469 259 C.4 Sale proceeds 495 418 3 C.5 Losses on disposals 18 69 - C.6 Transfers to other non-performing exposures 72 1,394 348 C.7 Contractual changes with no cancellations - 4 - C.8 Other decreases 2,151 961 41 of which: business combinations - - - D. Closing balance (gross amount) 5,027 12,028 854 of which sold non-cancelled exposures 105 520 16 Sub-items “B.5 Other increases” and “C.3 Collections” include amounts recovered during the year concerning impaired exposures which were derecognised in their entirety. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 337 The total amount of forborne exposures (including those belonging to disposal groups/held for sale) is €19.9 billion (€9.3 billion non performing and €10.6 billion performing). These exposures refer for 58% to the Italian perimeter, while the remaining amount refers for 18% to CEE countries, to Germany for 12% and for the 11% to Austria. For a description of the rules for identification of forborne exposures refer to paragraph “4. Financial assets subject to commercial renegotiations and forborne exposures”, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit Risk, Qualitative information. On-balance sheet impaired gross exposures connected to the proposals for recourse to an arrangement with creditors made by the debtor, for the positions that have been converted into a Debt restructuring agreement pursuant to article 182-bis of the Bankruptcy Law or continuity of business, as well as the positions not yet assigned or with liquidatory purposes, amounted to a total of €747 million at 31 December 2021, against which specific impairments have been made for €584 million, with a total coverage level of 78%. A.1.7 Regulatory consolidation - On-balance sheet credit exposures with customers: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 7,915 13,676 760 of which sold non-cancelled exposures 464 1,346 7 B. Increases 2,350 5,311 930 B.1 Transfer from performing loans 391 3,757 770 B.2 Transfer from acquired or originated impaired financial assets - 1 - of which: business combinations - - - B.3 Transfer from other non-performing exposures 1,537 209 68 B.4 Contractual changes with no cancellations - 1 - B.5 Other increases 422 1,343 92 of which: business combinations - mergers - - - C. Decreases 5,238 6,959 836 C.1 Transfers to performing loans 102 953 182 C.2 Write-offs 1,477 691 3 C.3 Collections 923 2,469 259 C.4 Sale proceeds 495 418 3 C.5 Losses on disposals 18 69 - C.6 Transfers to other non-performing exposures 72 1,394 348 C.7 Contractual changes with no cancellations - 4 - C.8 Other decreases 2,151 961 41 of which: business combinations - - - D. Closing balance (gross amount) 5,027 12,028 854 of which sold non-cancelled exposures 105 520 16 Sub-items “B.5 Other increases” and “C.3 Collections” include amounts recovered during the year concerning impaired exposures which were derecognised in their entirety. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 338 2021 Annual Report and Accounts · UniCredit A.1.7bis Regulatory consolidation - On-balance sheet exposures with customers: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON-PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 9,730 5,833 of which sold non-cancelled exposures 1,461 62 B. Increases 4,814 8,511 B.1 Transfers from performing non-forborne exposures 847 6,833 B.2 Transfers from performing forbone exposures 1,045 X B.3 Transfers from non-performing forborne exposures X 681 of which: business combinations X - B.4 Other increases 2,922 997 of which: business combinations - mergers - - C. Reductions 5,609 4,722 C.1 Transfers to performing non-forborne exposures X 1,076 C.2 Transfers to performing forbone exposures 681 X C.3 Transfers to non-performing forborne exposures X 1,045 C.4 Write-offs 913 - C.5 Collections 1,932 1,736 C.6 Sale proceeds 426 - C.7 Losses from disposal 61 - C.8 Other reductions 1,596 865 of which: business combinations - - D. Closing balance (gross amount) 8,935 9,622 of which sold non-cancelled exposures 514 397 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 338 2021 Annual Report and Accounts · UniCredit A.1.7bis Regulatory consolidation - On-balance sheet exposures with customers: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON-PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 9,730 5,833 of which sold non-cancelled exposures 1,461 62 B. Increases 4,814 8,511 B.1 Transfers from performing non-forborne exposures 847 6,833 B.2 Transfers from performing forbone exposures 1,045 X B.3 Transfers from non-performing forborne exposures X 681 of which: business combinations X - B.4 Other increases 2,922 997 of which: business combinations - mergers - - C. Reductions 5,609 4,722 C.1 Transfers to performing non-forborne exposures X 1,076 C.2 Transfers to performing forbone exposures 681 X C.3 Transfers to non-performing forborne exposures X 1,045 C.4 Write-offs 913 - C.5 Collections 1,932 1,736 C.6 Sale proceeds 426 - C.7 Losses from disposal 61 - C.8 Other reductions 1,596 865 of which: business combinations - - D. Closing balance (gross amount) 8,935 9,622 of which sold non-cancelled exposures 514 397 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 338 2021 Annual Report and Accounts · UniCredit A.1.7bis Regulatory consolidation - On-balance sheet exposures with customers: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON-PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 9,730 5,833 of which sold non-cancelled exposures 1,461 62 B. Increases 4,814 8,511 B.1 Transfers from performing non-forborne exposures 847 6,833 B.2 Transfers from performing forbone exposures 1,045 X B.3 Transfers from non-performing forborne exposures X 681 of which: business combinations X - B.4 Other increases 2,922 997 of which: business combinations - mergers - - C. Reductions 5,609 4,722 C.1 Transfers to performing non-forborne exposures X 1,076 C.2 Transfers to performing forbone exposures 681 X C.3 Transfers to non-performing forborne exposures X 1,045 C.4 Write-offs 913 - C.5 Collections 1,932 1,736 C.6 Sale proceeds 426 - C.7 Losses from disposal 61 - C.8 Other reductions 1,596 865 of which: business combinations - - D. Closing balance (gross amount) 8,935 9,622 of which sold non-cancelled exposures 514 397 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 338 2021 Annual Report and Accounts · UniCredit A.1.7bis Regulatory consolidation - On-balance sheet exposures with customers: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON-PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 9,730 5,833 of which sold non-cancelled exposures 1,461 62 B. Increases 4,814 8,511 B.1 Transfers from performing non-forborne exposures 847 6,833 B.2 Transfers from performing forbone exposures 1,045 X B.3 Transfers from non-performing forborne exposures X 681 of which: business combinations X - B.4 Other increases 2,922 997 of which: business combinations - mergers - - C. Reductions 5,609 4,722 C.1 Transfers to performing non-forborne exposures X 1,076 C.2 Transfers to performing forbone exposures 681 X C.3 Transfers to non-performing forborne exposures X 1,045 C.4 Write-offs 913 - C.5 Collections 1,932 1,736 C.6 Sale proceeds 426 - C.7 Losses from disposal 61 - C.8 Other reductions 1,596 865 of which: business combinations - - D. Closing balance (gross amount) 8,935 9,622 of which sold non-cancelled exposures 514 397 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 338 2021 Annual Report and Accounts · UniCredit A.1.7bis Regulatory consolidation - On-balance sheet exposures with customers: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON-PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 9,730 5,833 of which sold non-cancelled exposures 1,461 62 B. Increases 4,814 8,511 B.1 Transfers from performing non-forborne exposures 847 6,833 B.2 Transfers from performing forbone exposures 1,045 X B.3 Transfers from non-performing forborne exposures X 681 of which: business combinations X - B.4 Other increases 2,922 997 of which: business combinations - mergers - - C. Reductions 5,609 4,722 C.1 Transfers to performing non-forborne exposures X 1,076 C.2 Transfers to performing forbone exposures 681 X C.3 Transfers to non-performing forborne exposures X 1,045 C.4 Write-offs 913 - C.5 Collections 1,932 1,736 C.6 Sale proceeds 426 - C.7 Losses from disposal 61 - C.8 Other reductions 1,596 865 of which: business combinations - - D. Closing balance (gross amount) 8,935 9,622 of which sold non-cancelled exposures 514 397 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 339 A.1.8 Regulatory consolidation - On-balance sheet non-performing credit exposures with banks: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 1 - 6 2 - - of which sold non-cancelled exposures - - - - - - B. Increases 4 - - - - - B.1 Write-downs of acquired or originated impaired financial assets - X - X - X of which: business combinations - - - - - - B.2 Other write-downs - - - - - - B.3 Losses on disposal - - - - - - B.4 Transfers from other categories of non-performing exposures 4 - - - - - B.5 Contractual changes with no cancellations - X - X - X B.6 Other increases - - - - - - of which: business combinations - mergers - - - - - - C. Reductions - - 6 2 - - C.1 Write-backs from valuation - - 2 2 - - C.2 Write-backs from collections - - - - - - C.3 Gains from disposals - - - - - - C.4 Write-offs - - - - - - C.5 Transfers to other categories of non-performing exposures - - 4 - - - C.6 Contractual changes with no cancellations - X - X - X C.7 Other decreases - - - - - - of which: business combinations - - - - - - D. Closing balance (gross amount) 5 - - - - - of which sold non-cancelled exposures - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 339 A.1.8 Regulatory consolidation - On-balance sheet non-performing credit exposures with banks: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 1 - 6 2 - - of which sold non-cancelled exposures - - - - - - B. Increases 4 - - - - - B.1 Write-downs of acquired or originated impaired financial assets - X - X - X of which: business combinations - - - - - - B.2 Other write-downs - - - - - - B.3 Losses on disposal - - - - - - B.4 Transfers from other categories of non-performing exposures 4 - - - - - B.5 Contractual changes with no cancellations - X - X - X B.6 Other increases - - - - - - of which: business combinations - mergers - - - - - - C. Reductions - - 6 2 - - C.1 Write-backs from valuation - - 2 2 - - C.2 Write-backs from collections - - - - - - C.3 Gains from disposals - - - - - - C.4 Write-offs - - - - - - C.5 Transfers to other categories of non-performing exposures - - 4 - - - C.6 Contractual changes with no cancellations - X - X - X C.7 Other decreases - - - - - - of which: business combinations - - - - - - D. Closing balance (gross amount) 5 - - - - - of which sold non-cancelled exposures - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 339 A.1.8 Regulatory consolidation - On-balance sheet non-performing credit exposures with banks: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 1 - 6 2 - - of which sold non-cancelled exposures - - - - - - B. Increases 4 - - - - - B.1 Write-downs of acquired or originated impaired financial assets - X - X - X of which: business combinations - - - - - - B.2 Other write-downs - - - - - - B.3 Losses on disposal - - - - - - B.4 Transfers from other categories of non-performing exposures 4 - - - - - B.5 Contractual changes with no cancellations - X - X - X B.6 Other increases - - - - - - of which: business combinations - mergers - - - - - - C. Reductions - - 6 2 - - C.1 Write-backs from valuation - - 2 2 - - C.2 Write-backs from collections - - - - - - C.3 Gains from disposals - - - - - - C.4 Write-offs - - - - - - C.5 Transfers to other categories of non-performing exposures - - 4 - - - C.6 Contractual changes with no cancellations - X - X - X C.7 Other decreases - - - - - - of which: business combinations - - - - - - D. Closing balance (gross amount) 5 - - - - - of which sold non-cancelled exposures - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 339 A.1.8 Regulatory consolidation - On-balance sheet non-performing credit exposures with banks: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 1 - 6 2 - - of which sold non-cancelled exposures - - - - - - B. Increases 4 - - - - - B.1 Write-downs of acquired or originated impaired financial assets - X - X - X of which: business combinations - - - - - - B.2 Other write-downs - - - - - - B.3 Losses on disposal - - - - - - B.4 Transfers from other categories of non-performing exposures 4 - - - - - B.5 Contractual changes with no cancellations - X - X - X B.6 Other increases - - - - - - of which: business combinations - mergers - - - - - - C. Reductions - - 6 2 - - C.1 Write-backs from valuation - - 2 2 - - C.2 Write-backs from collections - - - - - - C.3 Gains from disposals - - - - - - C.4 Write-offs - - - - - - C.5 Transfers to other categories of non-performing exposures - - 4 - - - C.6 Contractual changes with no cancellations - X - X - X C.7 Other decreases - - - - - - of which: business combinations - - - - - - D. Closing balance (gross amount) 5 - - - - - of which sold non-cancelled exposures - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 339 A.1.8 Regulatory consolidation - On-balance sheet non-performing credit exposures with banks: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 1 - 6 2 - - of which sold non-cancelled exposures - - - - - - B. Increases 4 - - - - - B.1 Write-downs of acquired or originated impaired financial assets - X - X - X of which: business combinations - - - - - - B.2 Other write-downs - - - - - - B.3 Losses on disposal - - - - - - B.4 Transfers from other categories of non-performing exposures 4 - - - - - B.5 Contractual changes with no cancellations - X - X - X B.6 Other increases - - - - - - of which: business combinations - mergers - - - - - - C. Reductions - - 6 2 - - C.1 Write-backs from valuation - - 2 2 - - C.2 Write-backs from collections - - - - - - C.3 Gains from disposals - - - - - - C.4 Write-offs - - - - - - C.5 Transfers to other categories of non-performing exposures - - 4 - - - C.6 Contractual changes with no cancellations - X - X - X C.7 Other decreases - - - - - - of which: business combinations - - - - - - D. Closing balance (gross amount) 5 - - - - - of which sold non-cancelled exposures - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 340 2021 Annual Report and Accounts · UniCredit A.1.9 Regulatory consolidation - On-balance sheet non-performing credit exposures with customers: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 6,173 1,559 7,009 4,053 256 16 of which sold non-cancelled exposures 368 199 724 677 2 - B. Increases 2,247 630 3,055 2,221 315 21 B.1 Write-downs of acquired or originated impaired financial assets 93 X 124 X 5 X of which: business combinations - - - - - - B.2 Other write-downs 894 309 2,160 1,369 179 8 B.3 Losses on disposal 18 1 69 60 - - B.4 Transfers from other categories of non-performing exposures 998 273 101 21 29 6 B.5 Contractual changes with no cancellations - X 4 X - X B.6 Other increases 244 47 597 771 102 7 of which: business combinations - mergers - - - - - - C. Reductions 4,707 1,281 4,427 2,712 246 18 C.1 Write-backs from valuation 475 159 850 495 22 1 C.2 Write-backs from collections 417 162 508 220 58 3 C.3 Gains from disposals 70 5 38 18 - - C.4 Write-offs 1,477 383 691 530 3 - C.5 Transfers to other categories of non-performing exposures 54 12 941 277 133 11 C.6 Contractual changes with no cancellations - X 1 X - X C.7 Other decreases 2,214 560 1,398 1,172 30 3 of which: business combinations - - - - - - D. Closing balance (gross amount) 3,713 908 5,637 3,562 325 19 of which sold non-cancelled exposures 51 21 152 146 4 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 340 2021 Annual Report and Accounts · UniCredit A.1.9 Regulatory consolidation - On-balance sheet non-performing credit exposures with customers: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 6,173 1,559 7,009 4,053 256 16 of which sold non-cancelled exposures 368 199 724 677 2 - B. Increases 2,247 630 3,055 2,221 315 21 B.1 Write-downs of acquired or originated impaired financial assets 93 X 124 X 5 X of which: business combinations - - - - - - B.2 Other write-downs 894 309 2,160 1,369 179 8 B.3 Losses on disposal 18 1 69 60 - - B.4 Transfers from other categories of non-performing exposures 998 273 101 21 29 6 B.5 Contractual changes with no cancellations - X 4 X - X B.6 Other increases 244 47 597 771 102 7 of which: business combinations - mergers - - - - - - C. Reductions 4,707 1,281 4,427 2,712 246 18 C.1 Write-backs from valuation 475 159 850 495 22 1 C.2 Write-backs from collections 417 162 508 220 58 3 C.3 Gains from disposals 70 5 38 18 - - C.4 Write-offs 1,477 383 691 530 3 - C.5 Transfers to other categories of non-performing exposures 54 12 941 277 133 11 C.6 Contractual changes with no cancellations - X 1 X - X C.7 Other decreases 2,214 560 1,398 1,172 30 3 of which: business combinations - - - - - - D. Closing balance (gross amount) 3,713 908 5,637 3,562 325 19 of which sold non-cancelled exposures 51 21 152 146 4 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 340 2021 Annual Report and Accounts · UniCredit A.1.9 Regulatory consolidation - On-balance sheet non-performing credit exposures with customers: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 6,173 1,559 7,009 4,053 256 16 of which sold non-cancelled exposures 368 199 724 677 2 - B. Increases 2,247 630 3,055 2,221 315 21 B.1 Write-downs of acquired or originated impaired financial assets 93 X 124 X 5 X of which: business combinations - - - - - - B.2 Other write-downs 894 309 2,160 1,369 179 8 B.3 Losses on disposal 18 1 69 60 - - B.4 Transfers from other categories of non-performing exposures 998 273 101 21 29 6 B.5 Contractual changes with no cancellations - X 4 X - X B.6 Other increases 244 47 597 771 102 7 of which: business combinations - mergers - - - - - - C. Reductions 4,707 1,281 4,427 2,712 246 18 C.1 Write-backs from valuation 475 159 850 495 22 1 C.2 Write-backs from collections 417 162 508 220 58 3 C.3 Gains from disposals 70 5 38 18 - - C.4 Write-offs 1,477 383 691 530 3 - C.5 Transfers to other categories of non-performing exposures 54 12 941 277 133 11 C.6 Contractual changes with no cancellations - X 1 X - X C.7 Other decreases 2,214 560 1,398 1,172 30 3 of which: business combinations - - - - - - D. Closing balance (gross amount) 3,713 908 5,637 3,562 325 19 of which sold non-cancelled exposures 51 21 152 146 4 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 340 2021 Annual Report and Accounts · UniCredit A.1.9 Regulatory consolidation - On-balance sheet non-performing credit exposures with customers: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 6,173 1,559 7,009 4,053 256 16 of which sold non-cancelled exposures 368 199 724 677 2 - B. Increases 2,247 630 3,055 2,221 315 21 B.1 Write-downs of acquired or originated impaired financial assets 93 X 124 X 5 X of which: business combinations - - - - - - B.2 Other write-downs 894 309 2,160 1,369 179 8 B.3 Losses on disposal 18 1 69 60 - - B.4 Transfers from other categories of non-performing exposures 998 273 101 21 29 6 B.5 Contractual changes with no cancellations - X 4 X - X B.6 Other increases 244 47 597 771 102 7 of which: business combinations - mergers - - - - - - C. Reductions 4,707 1,281 4,427 2,712 246 18 C.1 Write-backs from valuation 475 159 850 495 22 1 C.2 Write-backs from collections 417 162 508 220 58 3 C.3 Gains from disposals 70 5 38 18 - - C.4 Write-offs 1,477 383 691 530 3 - C.5 Transfers to other categories of non-performing exposures 54 12 941 277 133 11 C.6 Contractual changes with no cancellations - X 1 X - X C.7 Other decreases 2,214 560 1,398 1,172 30 3 of which: business combinations - - - - - - D. Closing balance (gross amount) 3,713 908 5,637 3,562 325 19 of which sold non-cancelled exposures 51 21 152 146 4 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 340 2021 Annual Report and Accounts · UniCredit A.1.9 Regulatory consolidation - On-balance sheet non-performing credit exposures with customers: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 6,173 1,559 7,009 4,053 256 16 of which sold non-cancelled exposures 368 199 724 677 2 - B. Increases 2,247 630 3,055 2,221 315 21 B.1 Write-downs of acquired or originated impaired financial assets 93 X 124 X 5 X of which: business combinations - - - - - - B.2 Other write-downs 894 309 2,160 1,369 179 8 B.3 Losses on disposal 18 1 69 60 - - B.4 Transfers from other categories of non-performing exposures 998 273 101 21 29 6 B.5 Contractual changes with no cancellations - X 4 X - X B.6 Other increases 244 47 597 771 102 7 of which: business combinations - mergers - - - - - - C. Reductions 4,707 1,281 4,427 2,712 246 18 C.1 Write-backs from valuation 475 159 850 495 22 1 C.2 Write-backs from collections 417 162 508 220 58 3 C.3 Gains from disposals 70 5 38 18 - - C.4 Write-offs 1,477 383 691 530 3 - C.5 Transfers to other categories of non-performing exposures 54 12 941 277 133 11 C.6 Contractual changes with no cancellations - X 1 X - X C.7 Other decreases 2,214 560 1,398 1,172 30 3 of which: business combinations - - - - - - D. Closing balance (gross amount) 3,713 908 5,637 3,562 325 19 of which sold non-cancelled exposures 51 21 152 146 4 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 341 A.2 Classification of credit exposure based on internal and external ratings A.2.1 Regulatory consolidation - Breakdown of financial assets, loan commitments and financial guarantees given by external rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 EXTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES CLASS 1 CLASS 2 CLASS 3 CLASS 4 CLASS 5 CLASS 6 A. Financial assets at amortised cost - Stage 1 49,416 35,760 79,034 5,836 2,328 97 312,787 485,258 - Stage 2 664 528 4,665 1,814 790 393 96,843 105,697 - Stage 3 1 - 110 1 202 14 16,047 16,375 - Purchased or Originated Credit-Impaired Financial Assets - - 12 - - - 33 45 B. Financial assets at fair value through other comprehensive income - Stage 1 24,745 10,203 25,945 - - - 5,612 66,505 - Stage 2 27 32 67 54 358 - 117 655 - Stage 3 - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - 1 123 5 29 - 6,791 6,949 - Stage 2 - - 204 217 11 2 5,309 5,743 - Stage 3 - - - - - 18 1,357 1,375 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (A+B+C) 74,853 46,524 110,160 7,927 3,718 524 444,898 688,604 D. Loan commitments and financial guarantees given - Stage 1 3,383 8,437 25,019 5,426 1,755 114 139,686 183,820 - Stage 2 97 601 4,502 3,176 422 205 33,872 42,875 - Stage 3 - 1 42 2 - - 1,973 2,018 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (D) 3,480 9,039 29,563 8,604 2,177 319 175,531 228,713 Total (A+B+C+D) 78,333 55,563 139,723 16,531 5,895 843 620,429 917,317 The table details on- and off-balance sheet credits granted to counterparties rated by external rating. The rating agencies provide brief assessments of the creditworthiness of different classes of borrowers such as Countries, Banks, Public-Sector Entities, Insurance Companies and (usually large) Enterprises. The table refers to classification of Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments); then it provides, for external ratings, 6 classes of creditworthiness. Rating Agencies utilised to fill the table are: Moody’s, S&Ps and Fitch. Where more than one agency rating is available, the most prudential rating is assigned. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 341 A.2 Classification of credit exposure based on internal and external ratings A.2.1 Regulatory consolidation - Breakdown of financial assets, loan commitments and financial guarantees given by external rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 EXTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES CLASS 1 CLASS 2 CLASS 3 CLASS 4 CLASS 5 CLASS 6 A. Financial assets at amortised cost - Stage 1 49,416 35,760 79,034 5,836 2,328 97 312,787 485,258 - Stage 2 664 528 4,665 1,814 790 393 96,843 105,697 - Stage 3 1 - 110 1 202 14 16,047 16,375 - Purchased or Originated Credit-Impaired Financial Assets - - 12 - - - 33 45 B. Financial assets at fair value through other comprehensive income - Stage 1 24,745 10,203 25,945 - - - 5,612 66,505 - Stage 2 27 32 67 54 358 - 117 655 - Stage 3 - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - 1 123 5 29 - 6,791 6,949 - Stage 2 - - 204 217 11 2 5,309 5,743 - Stage 3 - - - - - 18 1,357 1,375 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (A+B+C) 74,853 46,524 110,160 7,927 3,718 524 444,898 688,604 D. Loan commitments and financial guarantees given - Stage 1 3,383 8,437 25,019 5,426 1,755 114 139,686 183,820 - Stage 2 97 601 4,502 3,176 422 205 33,872 42,875 - Stage 3 - 1 42 2 - - 1,973 2,018 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (D) 3,480 9,039 29,563 8,604 2,177 319 175,531 228,713 Total (A+B+C+D) 78,333 55,563 139,723 16,531 5,895 843 620,429 917,317 The table details on- and off-balance sheet credits granted to counterparties rated by external rating. The rating agencies provide brief assessments of the creditworthiness of different classes of borrowers such as Countries, Banks, Public-Sector Entities, Insurance Companies and (usually large) Enterprises. The table refers to classification of Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments); then it provides, for external ratings, 6 classes of creditworthiness. Rating Agencies utilised to fill the table are: Moody’s, S&Ps and Fitch. Where more than one agency rating is available, the most prudential rating is assigned. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 341 A.2 Classification of credit exposure based on internal and external ratings A.2.1 Regulatory consolidation - Breakdown of financial assets, loan commitments and financial guarantees given by external rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 EXTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES CLASS 1 CLASS 2 CLASS 3 CLASS 4 CLASS 5 CLASS 6 A. Financial assets at amortised cost - Stage 1 49,416 35,760 79,034 5,836 2,328 97 312,787 485,258 - Stage 2 664 528 4,665 1,814 790 393 96,843 105,697 - Stage 3 1 - 110 1 202 14 16,047 16,375 - Purchased or Originated Credit-Impaired Financial Assets - - 12 - - - 33 45 B. Financial assets at fair value through other comprehensive income - Stage 1 24,745 10,203 25,945 - - - 5,612 66,505 - Stage 2 27 32 67 54 358 - 117 655 - Stage 3 - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - 1 123 5 29 - 6,791 6,949 - Stage 2 - - 204 217 11 2 5,309 5,743 - Stage 3 - - - - - 18 1,357 1,375 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (A+B+C) 74,853 46,524 110,160 7,927 3,718 524 444,898 688,604 D. Loan commitments and financial guarantees given - Stage 1 3,383 8,437 25,019 5,426 1,755 114 139,686 183,820 - Stage 2 97 601 4,502 3,176 422 205 33,872 42,875 - Stage 3 - 1 42 2 - - 1,973 2,018 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (D) 3,480 9,039 29,563 8,604 2,177 319 175,531 228,713 Total (A+B+C+D) 78,333 55,563 139,723 16,531 5,895 843 620,429 917,317 The table details on- and off-balance sheet credits granted to counterparties rated by external rating. The rating agencies provide brief assessments of the creditworthiness of different classes of borrowers such as Countries, Banks, Public-Sector Entities, Insurance Companies and (usually large) Enterprises. The table refers to classification of Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments); then it provides, for external ratings, 6 classes of creditworthiness. Rating Agencies utilised to fill the table are: Moody’s, S&Ps and Fitch. Where more than one agency rating is available, the most prudential rating is assigned. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 341 A.2 Classification of credit exposure based on internal and external ratings A.2.1 Regulatory consolidation - Breakdown of financial assets, loan commitments and financial guarantees given by external rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 EXTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES CLASS 1 CLASS 2 CLASS 3 CLASS 4 CLASS 5 CLASS 6 A. Financial assets at amortised cost - Stage 1 49,416 35,760 79,034 5,836 2,328 97 312,787 485,258 - Stage 2 664 528 4,665 1,814 790 393 96,843 105,697 - Stage 3 1 - 110 1 202 14 16,047 16,375 - Purchased or Originated Credit-Impaired Financial Assets - - 12 - - - 33 45 B. Financial assets at fair value through other comprehensive income - Stage 1 24,745 10,203 25,945 - - - 5,612 66,505 - Stage 2 27 32 67 54 358 - 117 655 - Stage 3 - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - 1 123 5 29 - 6,791 6,949 - Stage 2 - - 204 217 11 2 5,309 5,743 - Stage 3 - - - - - 18 1,357 1,375 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (A+B+C) 74,853 46,524 110,160 7,927 3,718 524 444,898 688,604 D. Loan commitments and financial guarantees given - Stage 1 3,383 8,437 25,019 5,426 1,755 114 139,686 183,820 - Stage 2 97 601 4,502 3,176 422 205 33,872 42,875 - Stage 3 - 1 42 2 - - 1,973 2,018 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (D) 3,480 9,039 29,563 8,604 2,177 319 175,531 228,713 Total (A+B+C+D) 78,333 55,563 139,723 16,531 5,895 843 620,429 917,317 The table details on- and off-balance sheet credits granted to counterparties rated by external rating. The rating agencies provide brief assessments of the creditworthiness of different classes of borrowers such as Countries, Banks, Public-Sector Entities, Insurance Companies and (usually large) Enterprises. The table refers to classification of Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments); then it provides, for external ratings, 6 classes of creditworthiness. Rating Agencies utilised to fill the table are: Moody’s, S&Ps and Fitch. Where more than one agency rating is available, the most prudential rating is assigned. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 341 A.2 Classification of credit exposure based on internal and external ratings A.2.1 Regulatory consolidation - Breakdown of financial assets, loan commitments and financial guarantees given by external rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 EXTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES CLASS 1 CLASS 2 CLASS 3 CLASS 4 CLASS 5 CLASS 6 A. Financial assets at amortised cost - Stage 1 49,416 35,760 79,034 5,836 2,328 97 312,787 485,258 - Stage 2 664 528 4,665 1,814 790 393 96,843 105,697 - Stage 3 1 - 110 1 202 14 16,047 16,375 - Purchased or Originated Credit-Impaired Financial Assets - - 12 - - - 33 45 B. Financial assets at fair value through other comprehensive income - Stage 1 24,745 10,203 25,945 - - - 5,612 66,505 - Stage 2 27 32 67 54 358 - 117 655 - Stage 3 - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - 1 123 5 29 - 6,791 6,949 - Stage 2 - - 204 217 11 2 5,309 5,743 - Stage 3 - - - - - 18 1,357 1,375 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (A+B+C) 74,853 46,524 110,160 7,927 3,718 524 444,898 688,604 D. Loan commitments and financial guarantees given - Stage 1 3,383 8,437 25,019 5,426 1,755 114 139,686 183,820 - Stage 2 97 601 4,502 3,176 422 205 33,872 42,875 - Stage 3 - 1 42 2 - - 1,973 2,018 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (D) 3,480 9,039 29,563 8,604 2,177 319 175,531 228,713 Total (A+B+C+D) 78,333 55,563 139,723 16,531 5,895 843 620,429 917,317 The table details on- and off-balance sheet credits granted to counterparties rated by external rating. The rating agencies provide brief assessments of the creditworthiness of different classes of borrowers such as Countries, Banks, Public-Sector Entities, Insurance Companies and (usually large) Enterprises. The table refers to classification of Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments); then it provides, for external ratings, 6 classes of creditworthiness. Rating Agencies utilised to fill the table are: Moody’s, S&Ps and Fitch. Where more than one agency rating is available, the most prudential rating is assigned. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 342 2021 Annual Report and Accounts · UniCredit Here below the mapping between the external rating classes and the ECAI’s rating used. EXTERNAL RATING CLASSES ECAI MOODY'S STANDARD & POOR'S FITCH LONG TERM SHORT TERM LONG TERM SHORT TERM LONG TERM SHORT TERM 1 Aaa Aa3 P-1 AAA AA- A1+ A1 AAA AA- F1+ F1 2 A1 A3 P-2 A+ A- A2 A+ A- F2 3 Baa1 P-3 BBB+ BBB- A3 BBB+ BBB- F3 4 Ba1 Ba3 NP BB+ BB- worse than A3 BB+ BB- worse than F3 5 B1 B3 NP B+ B- worse than A3 B+ B- worse than F3 6 Caa1 or less NP CCC+ or less worse than A3 CCC+ or less worse than F3 The 92,2% of rated counterparties were investment grade (from Class 1 to Class 3), referring to highly rated borrowers. Unrated exposures, i.e. those with no external rating, were 67.6% of the portfolio, due to the fact that a considerable proportion of borrowers were private individuals or SMEs, which are not externally rated. A.2.2 Regulatory consolidation - Breakdown of financial assets, loan commitments and financial guarantees given by internal rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 INTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES 1 2 3 4 5 6 7 8 9 A. Financial assets at amortised cost - Stage 1 61,325 22,198 130,869 134,692 50,611 36,285 11,804 2,884 280 34,310 485,258 - Stage 2 2,773 2,523 17,189 18,868 18,118 18,856 12,523 8,396 4,220 2,231 105,697 - Stage 3 - - - - - 1 34 459 2,480 13,401 16,375 - Purchased or Originated Credit-Impaired Financial Assets - - - 1 1 3 5 1 21 13 45 B. Financial assets at fair value through other comprehensive income - Stage 1 19,287 11,058 29,374 4,761 12 159 - 261 - 1,593 66,505 - Stage 2 - 27 36 69 140 299 2 78 - 4 655 - Stage 3 - - - - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 84 364 575 2,586 2,078 736 320 44 3 159 6,949 - Stage 2 37 41 339 1,495 1,258 997 755 548 270 3 5,743 - Stage 3 - - - - - - - 14 60 1,301 1,375 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (A+B+C) 83,506 36,211 178,382 162,472 72,218 57,336 25,443 12,685 7,334 53,017 688,604 D. Loan commitments and financial guarantees given - Stage 1 5,205 10,946 42,699 53,513 16,872 10,435 2,556 567 111 40,916 183,820 - Stage 2 1,623 2,360 8,854 12,282 6,013 5,898 2,785 1,564 797 699 42,875 - Stage 3 - - - - - - - 51 416 1,551 2,018 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (D) 6,828 13,306 51,553 65,795 22,885 16,333 5,341 2,182 1,324 43,166 228,713 Total (A+B+C+D) 90,334 49,517 229,935 228,267 95,103 73,669 30,784 14,867 8,658 96,183 917,317 The table contains exposures grouped according to the counterparties’ internal rating. Ratings are assigned to individual counterparties using Group banks’ internally-developed models included in their credit risk management processes. The internal models validated by the regulators are either “group-wide” (e.g. for Banks, Multinationals, Countries) or bank-specific, by segment (e.g. retail or corporate). The various rating scales of these models are mapped onto a single master-scale of 9 classes based on Probability of Default (PD). 72.8% of internally rated exposures were investment grade (classes 1 to 4), while exposures towards unrated counterparties were 10.5% of the total. No rating is assigned to these counterparties as either they belong to a segment not yet covered by the models, or the appropriate model is still in the roll-out phase. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 342 2021 Annual Report and Accounts · UniCredit Here below the mapping between the external rating classes and the ECAI’s rating used. EXTERNAL RATING CLASSES ECAI MOODY'S STANDARD & POOR'S FITCH LONG TERM SHORT TERM LONG TERM SHORT TERM LONG TERM SHORT TERM 1 Aaa Aa3 P-1 AAA AA- A1+ A1 AAA AA- F1+ F1 2 A1 A3 P-2 A+ A- A2 A+ A- F2 3 Baa1 P-3 BBB+ BBB- A3 BBB+ BBB- F3 4 Ba1 Ba3 NP BB+ BB- worse than A3 BB+ BB- worse than F3 5 B1 B3 NP B+ B- worse than A3 B+ B- worse than F3 6 Caa1 or less NP CCC+ or less worse than A3 CCC+ or less worse than F3 The 92,2% of rated counterparties were investment grade (from Class 1 to Class 3), referring to highly rated borrowers. Unrated exposures, i.e. those with no external rating, were 67.6% of the portfolio, due to the fact that a considerable proportion of borrowers were private individuals or SMEs, which are not externally rated. A.2.2 Regulatory consolidation - Breakdown of financial assets, loan commitments and financial guarantees given by internal rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 INTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES 1 2 3 4 5 6 7 8 9 A. Financial assets at amortised cost - Stage 1 61,325 22,198 130,869 134,692 50,611 36,285 11,804 2,884 280 34,310 485,258 - Stage 2 2,773 2,523 17,189 18,868 18,118 18,856 12,523 8,396 4,220 2,231 105,697 - Stage 3 - - - - - 1 34 459 2,480 13,401 16,375 - Purchased or Originated Credit-Impaired Financial Assets - - - 1 1 3 5 1 21 13 45 B. Financial assets at fair value through other comprehensive income - Stage 1 19,287 11,058 29,374 4,761 12 159 - 261 - 1,593 66,505 - Stage 2 - 27 36 69 140 299 2 78 - 4 655 - Stage 3 - - - - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 84 364 575 2,586 2,078 736 320 44 3 159 6,949 - Stage 2 37 41 339 1,495 1,258 997 755 548 270 3 5,743 - Stage 3 - - - - - - - 14 60 1,301 1,375 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (A+B+C) 83,506 36,211 178,382 162,472 72,218 57,336 25,443 12,685 7,334 53,017 688,604 D. Loan commitments and financial guarantees given - Stage 1 5,205 10,946 42,699 53,513 16,872 10,435 2,556 567 111 40,916 183,820 - Stage 2 1,623 2,360 8,854 12,282 6,013 5,898 2,785 1,564 797 699 42,875 - Stage 3 - - - - - - - 51 416 1,551 2,018 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (D) 6,828 13,306 51,553 65,795 22,885 16,333 5,341 2,182 1,324 43,166 228,713 Total (A+B+C+D) 90,334 49,517 229,935 228,267 95,103 73,669 30,784 14,867 8,658 96,183 917,317 The table contains exposures grouped according to the counterparties’ internal rating. Ratings are assigned to individual counterparties using Group banks’ internally-developed models included in their credit risk management processes. The internal models validated by the regulators are either “group-wide” (e.g. for Banks, Multinationals, Countries) or bank-specific, by segment (e.g. retail or corporate). The various rating scales of these models are mapped onto a single master-scale of 9 classes based on Probability of Default (PD). 72.8% of internally rated exposures were investment grade (classes 1 to 4), while exposures towards unrated counterparties were 10.5% of the total. No rating is assigned to these counterparties as either they belong to a segment not yet covered by the models, or the appropriate model is still in the roll-out phase. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 342 2021 Annual Report and Accounts · UniCredit Here below the mapping between the external rating classes and the ECAI’s rating used. EXTERNAL RATING CLASSES ECAI MOODY'S STANDARD & POOR'S FITCH LONG TERM SHORT TERM LONG TERM SHORT TERM LONG TERM SHORT TERM 1 Aaa Aa3 P-1 AAA AA- A1+ A1 AAA AA- F1+ F1 2 A1 A3 P-2 A+ A- A2 A+ A- F2 3 Baa1 P-3 BBB+ BBB- A3 BBB+ BBB- F3 4 Ba1 Ba3 NP BB+ BB- worse than A3 BB+ BB- worse than F3 5 B1 B3 NP B+ B- worse than A3 B+ B- worse than F3 6 Caa1 or less NP CCC+ or less worse than A3 CCC+ or less worse than F3 The 92,2% of rated counterparties were investment grade (from Class 1 to Class 3), referring to highly rated borrowers. Unrated exposures, i.e. those with no external rating, were 67.6% of the portfolio, due to the fact that a considerable proportion of borrowers were private individuals or SMEs, which are not externally rated. A.2.2 Regulatory consolidation - Breakdown of financial assets, loan commitments and financial guarantees given by internal rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 INTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES 1 2 3 4 5 6 7 8 9 A. Financial assets at amortised cost - Stage 1 61,325 22,198 130,869 134,692 50,611 36,285 11,804 2,884 280 34,310 485,258 - Stage 2 2,773 2,523 17,189 18,868 18,118 18,856 12,523 8,396 4,220 2,231 105,697 - Stage 3 - - - - - 1 34 459 2,480 13,401 16,375 - Purchased or Originated Credit-Impaired Financial Assets - - - 1 1 3 5 1 21 13 45 B. Financial assets at fair value through other comprehensive income - Stage 1 19,287 11,058 29,374 4,761 12 159 - 261 - 1,593 66,505 - Stage 2 - 27 36 69 140 299 2 78 - 4 655 - Stage 3 - - - - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 84 364 575 2,586 2,078 736 320 44 3 159 6,949 - Stage 2 37 41 339 1,495 1,258 997 755 548 270 3 5,743 - Stage 3 - - - - - - - 14 60 1,301 1,375 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (A+B+C) 83,506 36,211 178,382 162,472 72,218 57,336 25,443 12,685 7,334 53,017 688,604 D. Loan commitments and financial guarantees given - Stage 1 5,205 10,946 42,699 53,513 16,872 10,435 2,556 567 111 40,916 183,820 - Stage 2 1,623 2,360 8,854 12,282 6,013 5,898 2,785 1,564 797 699 42,875 - Stage 3 - - - - - - - 51 416 1,551 2,018 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (D) 6,828 13,306 51,553 65,795 22,885 16,333 5,341 2,182 1,324 43,166 228,713 Total (A+B+C+D) 90,334 49,517 229,935 228,267 95,103 73,669 30,784 14,867 8,658 96,183 917,317 The table contains exposures grouped according to the counterparties’ internal rating. Ratings are assigned to individual counterparties using Group banks’ internally-developed models included in their credit risk management processes. The internal models validated by the regulators are either “group-wide” (e.g. for Banks, Multinationals, Countries) or bank-specific, by segment (e.g. retail or corporate). The various rating scales of these models are mapped onto a single master-scale of 9 classes based on Probability of Default (PD). 72.8% of internally rated exposures were investment grade (classes 1 to 4), while exposures towards unrated counterparties were 10.5% of the total. No rating is assigned to these counterparties as either they belong to a segment not yet covered by the models, or the appropriate model is still in the roll-out phase. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 342 2021 Annual Report and Accounts · UniCredit Here below the mapping between the external rating classes and the ECAI’s rating used. EXTERNAL RATING CLASSES ECAI MOODY'S STANDARD & POOR'S FITCH LONG TERM SHORT TERM LONG TERM SHORT TERM LONG TERM SHORT TERM 1 Aaa Aa3 P-1 AAA AA- A1+ A1 AAA AA- F1+ F1 2 A1 A3 P-2 A+ A- A2 A+ A- F2 3 Baa1 P-3 BBB+ BBB- A3 BBB+ BBB- F3 4 Ba1 Ba3 NP BB+ BB- worse than A3 BB+ BB- worse than F3 5 B1 B3 NP B+ B- worse than A3 B+ B- worse than F3 6 Caa1 or less NP CCC+ or less worse than A3 CCC+ or less worse than F3 The 92,2% of rated counterparties were investment grade (from Class 1 to Class 3), referring to highly rated borrowers. Unrated exposures, i.e. those with no external rating, were 67.6% of the portfolio, due to the fact that a considerable proportion of borrowers were private individuals or SMEs, which are not externally rated. A.2.2 Regulatory consolidation - Breakdown of financial assets, loan commitments and financial guarantees given by internal rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 INTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES 1 2 3 4 5 6 7 8 9 A. Financial assets at amortised cost - Stage 1 61,325 22,198 130,869 134,692 50,611 36,285 11,804 2,884 280 34,310 485,258 - Stage 2 2,773 2,523 17,189 18,868 18,118 18,856 12,523 8,396 4,220 2,231 105,697 - Stage 3 - - - - - 1 34 459 2,480 13,401 16,375 - Purchased or Originated Credit-Impaired Financial Assets - - - 1 1 3 5 1 21 13 45 B. Financial assets at fair value through other comprehensive income - Stage 1 19,287 11,058 29,374 4,761 12 159 - 261 - 1,593 66,505 - Stage 2 - 27 36 69 140 299 2 78 - 4 655 - Stage 3 - - - - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 84 364 575 2,586 2,078 736 320 44 3 159 6,949 - Stage 2 37 41 339 1,495 1,258 997 755 548 270 3 5,743 - Stage 3 - - - - - - - 14 60 1,301 1,375 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (A+B+C) 83,506 36,211 178,382 162,472 72,218 57,336 25,443 12,685 7,334 53,017 688,604 D. Loan commitments and financial guarantees given - Stage 1 5,205 10,946 42,699 53,513 16,872 10,435 2,556 567 111 40,916 183,820 - Stage 2 1,623 2,360 8,854 12,282 6,013 5,898 2,785 1,564 797 699 42,875 - Stage 3 - - - - - - - 51 416 1,551 2,018 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (D) 6,828 13,306 51,553 65,795 22,885 16,333 5,341 2,182 1,324 43,166 228,713 Total (A+B+C+D) 90,334 49,517 229,935 228,267 95,103 73,669 30,784 14,867 8,658 96,183 917,317 The table contains exposures grouped according to the counterparties’ internal rating. Ratings are assigned to individual counterparties using Group banks’ internally-developed models included in their credit risk management processes. The internal models validated by the regulators are either “group-wide” (e.g. for Banks, Multinationals, Countries) or bank-specific, by segment (e.g. retail or corporate). The various rating scales of these models are mapped onto a single master-scale of 9 classes based on Probability of Default (PD). 72.8% of internally rated exposures were investment grade (classes 1 to 4), while exposures towards unrated counterparties were 10.5% of the total. No rating is assigned to these counterparties as either they belong to a segment not yet covered by the models, or the appropriate model is still in the roll-out phase. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 342 2021 Annual Report and Accounts · UniCredit Here below the mapping between the external rating classes and the ECAI’s rating used. EXTERNAL RATING CLASSES ECAI MOODY'S STANDARD & POOR'S FITCH LONG TERM SHORT TERM LONG TERM SHORT TERM LONG TERM SHORT TERM 1 Aaa Aa3 P-1 AAA AA- A1+ A1 AAA AA- F1+ F1 2 A1 A3 P-2 A+ A- A2 A+ A- F2 3 Baa1 P-3 BBB+ BBB- A3 BBB+ BBB- F3 4 Ba1 Ba3 NP BB+ BB- worse than A3 BB+ BB- worse than F3 5 B1 B3 NP B+ B- worse than A3 B+ B- worse than F3 6 Caa1 or less NP CCC+ or less worse than A3 CCC+ or less worse than F3 The 92,2% of rated counterparties were investment grade (from Class 1 to Class 3), referring to highly rated borrowers. Unrated exposures, i.e. those with no external rating, were 67.6% of the portfolio, due to the fact that a considerable proportion of borrowers were private individuals or SMEs, which are not externally rated. A.2.2 Regulatory consolidation - Breakdown of financial assets, loan commitments and financial guarantees given by internal rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 INTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES 1 2 3 4 5 6 7 8 9 A. Financial assets at amortised cost - Stage 1 61,325 22,198 130,869 134,692 50,611 36,285 11,804 2,884 280 34,310 485,258 - Stage 2 2,773 2,523 17,189 18,868 18,118 18,856 12,523 8,396 4,220 2,231 105,697 - Stage 3 - - - - - 1 34 459 2,480 13,401 16,375 - Purchased or Originated Credit-Impaired Financial Assets - - - 1 1 3 5 1 21 13 45 B. Financial assets at fair value through other comprehensive income - Stage 1 19,287 11,058 29,374 4,761 12 159 - 261 - 1,593 66,505 - Stage 2 - 27 36 69 140 299 2 78 - 4 655 - Stage 3 - - - - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 84 364 575 2,586 2,078 736 320 44 3 159 6,949 - Stage 2 37 41 339 1,495 1,258 997 755 548 270 3 5,743 - Stage 3 - - - - - - - 14 60 1,301 1,375 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (A+B+C) 83,506 36,211 178,382 162,472 72,218 57,336 25,443 12,685 7,334 53,017 688,604 D. Loan commitments and financial guarantees given - Stage 1 5,205 10,946 42,699 53,513 16,872 10,435 2,556 567 111 40,916 183,820 - Stage 2 1,623 2,360 8,854 12,282 6,013 5,898 2,785 1,564 797 699 42,875 - Stage 3 - - - - - - - 51 416 1,551 2,018 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (D) 6,828 13,306 51,553 65,795 22,885 16,333 5,341 2,182 1,324 43,166 228,713 Total (A+B+C+D) 90,334 49,517 229,935 228,267 95,103 73,669 30,784 14,867 8,658 96,183 917,317 The table contains exposures grouped according to the counterparties’ internal rating. Ratings are assigned to individual counterparties using Group banks’ internally-developed models included in their credit risk management processes. The internal models validated by the regulators are either “group-wide” (e.g. for Banks, Multinationals, Countries) or bank-specific, by segment (e.g. retail or corporate). The various rating scales of these models are mapped onto a single master-scale of 9 classes based on Probability of Default (PD). 72.8% of internally rated exposures were investment grade (classes 1 to 4), while exposures towards unrated counterparties were 10.5% of the total. No rating is assigned to these counterparties as either they belong to a segment not yet covered by the models, or the appropriate model is still in the roll-out phase. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 343 Internal Ratings are used for Capital Requirements calculation by the Legal Entities/portfolios that were authorised for the IRB approach from Central bank. Legal Entities currently authorised are: UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG, UniCredit Banka Slovenija dd, UniCredit Bulbank AD, UniCredit Bank Czech Republic and Slovakia, a.s., UniCredit Bank Hungary, UniCredit Bank Romania a.s. and AO UniCredit Bank in Russia. Comparing the last contribute, it is worth mentioning that: (1) in October 2021, UniCredit Leasing GMBH and Subsidiaries have been authorized to revert to the use of the Standardised Approach and to apply the Permanent Partial Use of the Standardised Approach for all AIRB portfolios; (2) from 1 November 2021, UniCredit Bank Ireland plc. was merged in UCI and for exposures coming from UniCredit Bank Ireland the RWA calculation approaches authorized in UCI were adopted. A.3 Distribution of secured credit exposures by type of security A.3.1 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 12,453 12,452 51 1 5,882 6,068 of which non-performing - - - - - - 1.2 Partially secured 3,627 3,627 - - 3,415 1 of which non-performing - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured 3,084 3,084 - - 2,367 81 of which non-performing - - - - - - 2.2 Partially secured 586 584 - - - 12 of which non-performing - - - - - - continued: A.3.1 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 338 44 5 29 12,418 of which non-performing - - - - - - - - - - 1.2 Partially secured - - - - - 77 - 9 25 3,527 of which non-performing - - - - - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - - 181 - 438 3,067 of which non-performing - - - - - - - - - - 2.2 Partially secured - - - - - 15 25 - 6 58 of which non-performing - - - - - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 343 Internal Ratings are used for Capital Requirements calculation by the Legal Entities/portfolios that were authorised for the IRB approach from Central bank. Legal Entities currently authorised are: UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG, UniCredit Banka Slovenija dd, UniCredit Bulbank AD, UniCredit Bank Czech Republic and Slovakia, a.s., UniCredit Bank Hungary, UniCredit Bank Romania a.s. and AO UniCredit Bank in Russia. Comparing the last contribute, it is worth mentioning that: (1) in October 2021, UniCredit Leasing GMBH and Subsidiaries have been authorized to revert to the use of the Standardised Approach and to apply the Permanent Partial Use of the Standardised Approach for all AIRB portfolios; (2) from 1 November 2021, UniCredit Bank Ireland plc. was merged in UCI and for exposures coming from UniCredit Bank Ireland the RWA calculation approaches authorized in UCI were adopted. A.3 Distribution of secured credit exposures by type of security A.3.1 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 12,453 12,452 51 1 5,882 6,068 of which non-performing - - - - - - 1.2 Partially secured 3,627 3,627 - - 3,415 1 of which non-performing - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured 3,084 3,084 - - 2,367 81 of which non-performing - - - - - - 2.2 Partially secured 586 584 - - - 12 of which non-performing - - - - - - continued: A.3.1 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 338 44 5 29 12,418 of which non-performing - - - - - - - - - - 1.2 Partially secured - - - - - 77 - 9 25 3,527 of which non-performing - - - - - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - - 181 - 438 3,067 of which non-performing - - - - - - - - - - 2.2 Partially secured - - - - - 15 25 - 6 58 of which non-performing - - - - - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 343 Internal Ratings are used for Capital Requirements calculation by the Legal Entities/portfolios that were authorised for the IRB approach from Central bank. Legal Entities currently authorised are: UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG, UniCredit Banka Slovenija dd, UniCredit Bulbank AD, UniCredit Bank Czech Republic and Slovakia, a.s., UniCredit Bank Hungary, UniCredit Bank Romania a.s. and AO UniCredit Bank in Russia. Comparing the last contribute, it is worth mentioning that: (1) in October 2021, UniCredit Leasing GMBH and Subsidiaries have been authorized to revert to the use of the Standardised Approach and to apply the Permanent Partial Use of the Standardised Approach for all AIRB portfolios; (2) from 1 November 2021, UniCredit Bank Ireland plc. was merged in UCI and for exposures coming from UniCredit Bank Ireland the RWA calculation approaches authorized in UCI were adopted. A.3 Distribution of secured credit exposures by type of security A.3.1 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 12,453 12,452 51 1 5,882 6,068 of which non-performing - - - - - - 1.2 Partially secured 3,627 3,627 - - 3,415 1 of which non-performing - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured 3,084 3,084 - - 2,367 81 of which non-performing - - - - - - 2.2 Partially secured 586 584 - - - 12 of which non-performing - - - - - - continued: A.3.1 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 338 44 5 29 12,418 of which non-performing - - - - - - - - - - 1.2 Partially secured - - - - - 77 - 9 25 3,527 of which non-performing - - - - - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - - 181 - 438 3,067 of which non-performing - - - - - - - - - - 2.2 Partially secured - - - - - 15 25 - 6 58 of which non-performing - - - - - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 343 Internal Ratings are used for Capital Requirements calculation by the Legal Entities/portfolios that were authorised for the IRB approach from Central bank. Legal Entities currently authorised are: UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG, UniCredit Banka Slovenija dd, UniCredit Bulbank AD, UniCredit Bank Czech Republic and Slovakia, a.s., UniCredit Bank Hungary, UniCredit Bank Romania a.s. and AO UniCredit Bank in Russia. Comparing the last contribute, it is worth mentioning that: (1) in October 2021, UniCredit Leasing GMBH and Subsidiaries have been authorized to revert to the use of the Standardised Approach and to apply the Permanent Partial Use of the Standardised Approach for all AIRB portfolios; (2) from 1 November 2021, UniCredit Bank Ireland plc. was merged in UCI and for exposures coming from UniCredit Bank Ireland the RWA calculation approaches authorized in UCI were adopted. A.3 Distribution of secured credit exposures by type of security A.3.1 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 12,453 12,452 51 1 5,882 6,068 of which non-performing - - - - - - 1.2 Partially secured 3,627 3,627 - - 3,415 1 of which non-performing - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured 3,084 3,084 - - 2,367 81 of which non-performing - - - - - - 2.2 Partially secured 586 584 - - - 12 of which non-performing - - - - - - continued: A.3.1 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 338 44 5 29 12,418 of which non-performing - - - - - - - - - - 1.2 Partially secured - - - - - 77 - 9 25 3,527 of which non-performing - - - - - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - - 181 - 438 3,067 of which non-performing - - - - - - - - - - 2.2 Partially secured - - - - - 15 25 - 6 58 of which non-performing - - - - - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 343 Internal Ratings are used for Capital Requirements calculation by the Legal Entities/portfolios that were authorised for the IRB approach from Central bank. Legal Entities currently authorised are: UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG, UniCredit Banka Slovenija dd, UniCredit Bulbank AD, UniCredit Bank Czech Republic and Slovakia, a.s., UniCredit Bank Hungary, UniCredit Bank Romania a.s. and AO UniCredit Bank in Russia. Comparing the last contribute, it is worth mentioning that: (1) in October 2021, UniCredit Leasing GMBH and Subsidiaries have been authorized to revert to the use of the Standardised Approach and to apply the Permanent Partial Use of the Standardised Approach for all AIRB portfolios; (2) from 1 November 2021, UniCredit Bank Ireland plc. was merged in UCI and for exposures coming from UniCredit Bank Ireland the RWA calculation approaches authorized in UCI were adopted. A.3 Distribution of secured credit exposures by type of security A.3.1 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 12,453 12,452 51 1 5,882 6,068 of which non-performing - - - - - - 1.2 Partially secured 3,627 3,627 - - 3,415 1 of which non-performing - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured 3,084 3,084 - - 2,367 81 of which non-performing - - - - - - 2.2 Partially secured 586 584 - - - 12 of which non-performing - - - - - - continued: A.3.1 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 338 44 5 29 12,418 of which non-performing - - - - - - - - - - 1.2 Partially secured - - - - - 77 - 9 25 3,527 of which non-performing - - - - - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - - 181 - 438 3,067 of which non-performing - - - - - - - - - - 2.2 Partially secured - - - - - 15 25 - 6 58 of which non-performing - - - - - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 344 2021 Annual Report and Accounts · UniCredit A.3.2 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 219,549 213,024 127,323 9,073 20,753 14,551 of which non-performing 9,252 4,920 2,916 551 13 204 1.2 Partially secured 77,344 75,551 17,022 431 1,486 4,840 of which non-performing 2,379 1,392 250 9 45 56 2. Secured off-balance sheet credit exposures 2.1 Totally secured 41,653 41,471 5,162 25 9,147 3,412 of which non-performing 595 471 123 - 4 48 2.2 Partially secured 55,169 54,930 1,167 - 523 2,464 of which non-performing 496 319 12 - 22 24 continued: A.3.2 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 16,455 1,571 2,060 20,067 211,853 of which non-performing - - - - - 633 44 32 333 4,726 1.2 Partially secured - - - 16 - 13,396 2,468 412 4,720 44,791 of which non-performing - - - - - 393 145 34 24 956 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - 3,135 1,381 2,921 15,858 41,041 of which non-performing - - - - - 11 36 30 210 462 2.2 Partially secured - - - - - 1,756 604 710 2,400 9,624 of which non-performing - - - - - 18 13 1 34 124 A.4 Regulatory consolidation - Financial and non-financial assets obtained by taking possession of collaterals (€ million) CANCELLED CREDIT EXPOSURE GROSS AMOUNT OVERALL WRITE-DOWNS CARRYING VALUE OF WHICH OBTAINED DURING THE YEAR A. Property, plant and equipment 31 77 40 37 5 A.1 Used in business - 1 - 1 - A.2 Held for investment 18 35 23 12 - A.3 Inventories 13 41 17 24 5 B. Equity instruments and debt securities 178 129 47 83 1 C. Other assets - - - - - D. Non-current assets and disposal groups classified as held for sale 1,186 1,039 500 538 21 D.1 Property, plant and equipment 645 559 51 508 21 D.2 Other assets 541 480 449 30 - Total 12.31.2021 1,395 1,245 587 658 27 Total 12.31.2020 1,596 1,470 151 1,319 95 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 344 2021 Annual Report and Accounts · UniCredit A.3.2 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 219,549 213,024 127,323 9,073 20,753 14,551 of which non-performing 9,252 4,920 2,916 551 13 204 1.2 Partially secured 77,344 75,551 17,022 431 1,486 4,840 of which non-performing 2,379 1,392 250 9 45 56 2. Secured off-balance sheet credit exposures 2.1 Totally secured 41,653 41,471 5,162 25 9,147 3,412 of which non-performing 595 471 123 - 4 48 2.2 Partially secured 55,169 54,930 1,167 - 523 2,464 of which non-performing 496 319 12 - 22 24 continued: A.3.2 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 16,455 1,571 2,060 20,067 211,853 of which non-performing - - - - - 633 44 32 333 4,726 1.2 Partially secured - - - 16 - 13,396 2,468 412 4,720 44,791 of which non-performing - - - - - 393 145 34 24 956 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - 3,135 1,381 2,921 15,858 41,041 of which non-performing - - - - - 11 36 30 210 462 2.2 Partially secured - - - - - 1,756 604 710 2,400 9,624 of which non-performing - - - - - 18 13 1 34 124 A.4 Regulatory consolidation - Financial and non-financial assets obtained by taking possession of collaterals (€ million) CANCELLED CREDIT EXPOSURE GROSS AMOUNT OVERALL WRITE-DOWNS CARRYING VALUE OF WHICH OBTAINED DURING THE YEAR A. Property, plant and equipment 31 77 40 37 5 A.1 Used in business - 1 - 1 - A.2 Held for investment 18 35 23 12 - A.3 Inventories 13 41 17 24 5 B. Equity instruments and debt securities 178 129 47 83 1 C. Other assets - - - - - D. Non-current assets and disposal groups classified as held for sale 1,186 1,039 500 538 21 D.1 Property, plant and equipment 645 559 51 508 21 D.2 Other assets 541 480 449 30 - Total 12.31.2021 1,395 1,245 587 658 27 Total 12.31.2020 1,596 1,470 151 1,319 95 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 344 2021 Annual Report and Accounts · UniCredit A.3.2 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 219,549 213,024 127,323 9,073 20,753 14,551 of which non-performing 9,252 4,920 2,916 551 13 204 1.2 Partially secured 77,344 75,551 17,022 431 1,486 4,840 of which non-performing 2,379 1,392 250 9 45 56 2. Secured off-balance sheet credit exposures 2.1 Totally secured 41,653 41,471 5,162 25 9,147 3,412 of which non-performing 595 471 123 - 4 48 2.2 Partially secured 55,169 54,930 1,167 - 523 2,464 of which non-performing 496 319 12 - 22 24 continued: A.3.2 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 16,455 1,571 2,060 20,067 211,853 of which non-performing - - - - - 633 44 32 333 4,726 1.2 Partially secured - - - 16 - 13,396 2,468 412 4,720 44,791 of which non-performing - - - - - 393 145 34 24 956 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - 3,135 1,381 2,921 15,858 41,041 of which non-performing - - - - - 11 36 30 210 462 2.2 Partially secured - - - - - 1,756 604 710 2,400 9,624 of which non-performing - - - - - 18 13 1 34 124 A.4 Regulatory consolidation - Financial and non-financial assets obtained by taking possession of collaterals (€ million) CANCELLED CREDIT EXPOSURE GROSS AMOUNT OVERALL WRITE-DOWNS CARRYING VALUE OF WHICH OBTAINED DURING THE YEAR A. Property, plant and equipment 31 77 40 37 5 A.1 Used in business - 1 - 1 - A.2 Held for investment 18 35 23 12 - A.3 Inventories 13 41 17 24 5 B. Equity instruments and debt securities 178 129 47 83 1 C. Other assets - - - - - D. Non-current assets and disposal groups classified as held for sale 1,186 1,039 500 538 21 D.1 Property, plant and equipment 645 559 51 508 21 D.2 Other assets 541 480 449 30 - Total 12.31.2021 1,395 1,245 587 658 27 Total 12.31.2020 1,596 1,470 151 1,319 95 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 344 2021 Annual Report and Accounts · UniCredit A.3.2 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 219,549 213,024 127,323 9,073 20,753 14,551 of which non-performing 9,252 4,920 2,916 551 13 204 1.2 Partially secured 77,344 75,551 17,022 431 1,486 4,840 of which non-performing 2,379 1,392 250 9 45 56 2. Secured off-balance sheet credit exposures 2.1 Totally secured 41,653 41,471 5,162 25 9,147 3,412 of which non-performing 595 471 123 - 4 48 2.2 Partially secured 55,169 54,930 1,167 - 523 2,464 of which non-performing 496 319 12 - 22 24 continued: A.3.2 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 16,455 1,571 2,060 20,067 211,853 of which non-performing - - - - - 633 44 32 333 4,726 1.2 Partially secured - - - 16 - 13,396 2,468 412 4,720 44,791 of which non-performing - - - - - 393 145 34 24 956 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - 3,135 1,381 2,921 15,858 41,041 of which non-performing - - - - - 11 36 30 210 462 2.2 Partially secured - - - - - 1,756 604 710 2,400 9,624 of which non-performing - - - - - 18 13 1 34 124 A.4 Regulatory consolidation - Financial and non-financial assets obtained by taking possession of collaterals (€ million) CANCELLED CREDIT EXPOSURE GROSS AMOUNT OVERALL WRITE-DOWNS CARRYING VALUE OF WHICH OBTAINED DURING THE YEAR A. Property, plant and equipment 31 77 40 37 5 A.1 Used in business - 1 - 1 - A.2 Held for investment 18 35 23 12 - A.3 Inventories 13 41 17 24 5 B. Equity instruments and debt securities 178 129 47 83 1 C. Other assets - - - - - D. Non-current assets and disposal groups classified as held for sale 1,186 1,039 500 538 21 D.1 Property, plant and equipment 645 559 51 508 21 D.2 Other assets 541 480 449 30 - Total 12.31.2021 1,395 1,245 587 658 27 Total 12.31.2020 1,596 1,470 151 1,319 95 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 344 2021 Annual Report and Accounts · UniCredit A.3.2 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 219,549 213,024 127,323 9,073 20,753 14,551 of which non-performing 9,252 4,920 2,916 551 13 204 1.2 Partially secured 77,344 75,551 17,022 431 1,486 4,840 of which non-performing 2,379 1,392 250 9 45 56 2. Secured off-balance sheet credit exposures 2.1 Totally secured 41,653 41,471 5,162 25 9,147 3,412 of which non-performing 595 471 123 - 4 48 2.2 Partially secured 55,169 54,930 1,167 - 523 2,464 of which non-performing 496 319 12 - 22 24 continued: A.3.2 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 16,455 1,571 2,060 20,067 211,853 of which non-performing - - - - - 633 44 32 333 4,726 1.2 Partially secured - - - 16 - 13,396 2,468 412 4,720 44,791 of which non-performing - - - - - 393 145 34 24 956 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - 3,135 1,381 2,921 15,858 41,041 of which non-performing - - - - - 11 36 30 210 462 2.2 Partially secured - - - - - 1,756 604 710 2,400 9,624 of which non-performing - - - - - 18 13 1 34 124 A.4 Regulatory consolidation - Financial and non-financial assets obtained by taking possession of collaterals (€ million) CANCELLED CREDIT EXPOSURE GROSS AMOUNT OVERALL WRITE-DOWNS CARRYING VALUE OF WHICH OBTAINED DURING THE YEAR A. Property, plant and equipment 31 77 40 37 5 A.1 Used in business - 1 - 1 - A.2 Held for investment 18 35 23 12 - A.3 Inventories 13 41 17 24 5 B. Equity instruments and debt securities 178 129 47 83 1 C. Other assets - - - - - D. Non-current assets and disposal groups classified as held for sale 1,186 1,039 500 538 21 D.1 Property, plant and equipment 645 559 51 508 21 D.2 Other assets 541 480 449 30 - Total 12.31.2021 1,395 1,245 587 658 27 Total 12.31.2020 1,596 1,470 151 1,319 95 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 345 B. Distribution and concentration of credit exposures B.1 Regulatory consolidation - Distribution by segment of on-balance and off-balance sheet credit exposures with customers (€ million) GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES FINANCIAL COMPANIES FINANCIAL COMPANIES (OF WHICH INSURANCE COMPANIES) NON-FINANCIAL COMPANIES HOUSEHOLDS EXPOSURES/COUNTERPARTIES NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 2 30 92 233 1 - 893 2,483 327 967 of which: forborne exposures - 1 66 75 1 - 277 680 108 152 A.2 Unlikely to pay 366 35 501 472 1 - 4,080 4,240 1,444 890 of which: forborne exposures 17 16 352 298 - - 2,675 2,682 928 566 A.3 Non-performing past-due 41 5 - - - - 109 66 379 254 of which: forborne exposures - - - - - - 12 10 11 9 A.4 Performing exposures 152,989 84 68,612 282 1,401 1 249,655 3,210 127,354 1,759 of which: forborne exposures 12 - 171 13 1 - 6,548 776 1,923 179 Total (A) 153,398 154 69,205 987 1,403 1 254,737 9,999 129,504 3,870 B. Off-balance sheet credit exposures B.1 Non-performing exposures 35 11 79 78 - - 1,845 880 60 8 B.2 Performing exsposures 19,589 3 52,282 49 2,301 1 246,370 344 17,198 42 Total (B) 19,624 14 52,361 127 2,301 1 248,215 1,224 17,258 50 Total (A+B) 12.31.2021 173,022 168 121,566 1,114 3,704 2 502,952 11,223 146,762 3,920 Total (A+B) 12.31.2020 157,661 172 145,785 1,207 6,070 2 479,989 12,954 140,965 4,735 B.2 Regulatory consolidation - Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 632 1,978 657 1,636 7 30 18 49 - 20 A.2 Unlikely to pay 2,985 3,048 2,914 2,422 115 86 12 76 365 5 A.3 Non-performing past-due 374 197 154 128 1 - - - - - A.4 Performing exposures 234,952 3,023 324,153 2,231 12,630 33 16,721 44 10,154 4 Total (A) 238,943 8,246 327,878 6,417 12,753 149 16,751 169 10,519 29 B. Off-balance sheet credit exposures B.1 Non-performing exposures 1,211 300 778 671 13 7 17 - 1 - B.2 Performing exposures 127,933 103 190,474 323 14,524 9 1,856 3 651 1 Total (B) 129,144 403 191,252 994 14,537 16 1,873 3 652 1 Total (A+B) 12.31.2021 368,087 8,649 519,130 7,411 27,290 165 18,624 172 11,171 30 Total (A+B) 12.31.2020 386,333 11,383 489,479 7,294 26,596 183 16,878 142 5,114 66 B.3 Regulatory consolidation - Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - 4 - 1 - - A.2 Unlikely to pay - - - - - - - - - - A.3 Non-performing past-due - - - - - - - - - - A.4 Performing exposures 87,771 2 100,169 10 7,054 1 7,930 3 1,257 - Total (A) 87,771 2 100,169 10 7,054 5 7,930 4 1,257 - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - - - B.2 Performing exposures 1,926 - 14,611 5 1,224 - 6,485 4 1,475 2 Total (B) 1,926 - 14,611 5 1,224 - 6,485 4 1,475 2 Total (A+B) 12.31.2021 89,697 2 114,780 15 8,278 5 14,415 8 2,732 2 Totale (A+B) 12.31.2020 81,667 4 152,207 16 7,771 4 11,718 5 2,936 1 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 345 B. Distribution and concentration of credit exposures B.1 Regulatory consolidation - Distribution by segment of on-balance and off-balance sheet credit exposures with customers (€ million) GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES FINANCIAL COMPANIES FINANCIAL COMPANIES (OF WHICH INSURANCE COMPANIES) NON-FINANCIAL COMPANIES HOUSEHOLDS EXPOSURES/COUNTERPARTIES NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 2 30 92 233 1 - 893 2,483 327 967 of which: forborne exposures - 1 66 75 1 - 277 680 108 152 A.2 Unlikely to pay 366 35 501 472 1 - 4,080 4,240 1,444 890 of which: forborne exposures 17 16 352 298 - - 2,675 2,682 928 566 A.3 Non-performing past-due 41 5 - - - - 109 66 379 254 of which: forborne exposures - - - - - - 12 10 11 9 A.4 Performing exposures 152,989 84 68,612 282 1,401 1 249,655 3,210 127,354 1,759 of which: forborne exposures 12 - 171 13 1 - 6,548 776 1,923 179 Total (A) 153,398 154 69,205 987 1,403 1 254,737 9,999 129,504 3,870 B. Off-balance sheet credit exposures B.1 Non-performing exposures 35 11 79 78 - - 1,845 880 60 8 B.2 Performing exsposures 19,589 3 52,282 49 2,301 1 246,370 344 17,198 42 Total (B) 19,624 14 52,361 127 2,301 1 248,215 1,224 17,258 50 Total (A+B) 12.31.2021 173,022 168 121,566 1,114 3,704 2 502,952 11,223 146,762 3,920 Total (A+B) 12.31.2020 157,661 172 145,785 1,207 6,070 2 479,989 12,954 140,965 4,735 B.2 Regulatory consolidation - Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 632 1,978 657 1,636 7 30 18 49 - 20 A.2 Unlikely to pay 2,985 3,048 2,914 2,422 115 86 12 76 365 5 A.3 Non-performing past-due 374 197 154 128 1 - - - - - A.4 Performing exposures 234,952 3,023 324,153 2,231 12,630 33 16,721 44 10,154 4 Total (A) 238,943 8,246 327,878 6,417 12,753 149 16,751 169 10,519 29 B. Off-balance sheet credit exposures B.1 Non-performing exposures 1,211 300 778 671 13 7 17 - 1 - B.2 Performing exposures 127,933 103 190,474 323 14,524 9 1,856 3 651 1 Total (B) 129,144 403 191,252 994 14,537 16 1,873 3 652 1 Total (A+B) 12.31.2021 368,087 8,649 519,130 7,411 27,290 165 18,624 172 11,171 30 Total (A+B) 12.31.2020 386,333 11,383 489,479 7,294 26,596 183 16,878 142 5,114 66 B.3 Regulatory consolidation - Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - 4 - 1 - - A.2 Unlikely to pay - - - - - - - - - - A.3 Non-performing past-due - - - - - - - - - - A.4 Performing exposures 87,771 2 100,169 10 7,054 1 7,930 3 1,257 - Total (A) 87,771 2 100,169 10 7,054 5 7,930 4 1,257 - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - - - B.2 Performing exposures 1,926 - 14,611 5 1,224 - 6,485 4 1,475 2 Total (B) 1,926 - 14,611 5 1,224 - 6,485 4 1,475 2 Total (A+B) 12.31.2021 89,697 2 114,780 15 8,278 5 14,415 8 2,732 2 Totale (A+B) 12.31.2020 81,667 4 152,207 16 7,771 4 11,718 5 2,936 1 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 345 B. Distribution and concentration of credit exposures B.1 Regulatory consolidation - Distribution by segment of on-balance and off-balance sheet credit exposures with customers (€ million) GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES FINANCIAL COMPANIES FINANCIAL COMPANIES (OF WHICH INSURANCE COMPANIES) NON-FINANCIAL COMPANIES HOUSEHOLDS EXPOSURES/COUNTERPARTIES NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 2 30 92 233 1 - 893 2,483 327 967 of which: forborne exposures - 1 66 75 1 - 277 680 108 152 A.2 Unlikely to pay 366 35 501 472 1 - 4,080 4,240 1,444 890 of which: forborne exposures 17 16 352 298 - - 2,675 2,682 928 566 A.3 Non-performing past-due 41 5 - - - - 109 66 379 254 of which: forborne exposures - - - - - - 12 10 11 9 A.4 Performing exposures 152,989 84 68,612 282 1,401 1 249,655 3,210 127,354 1,759 of which: forborne exposures 12 - 171 13 1 - 6,548 776 1,923 179 Total (A) 153,398 154 69,205 987 1,403 1 254,737 9,999 129,504 3,870 B. Off-balance sheet credit exposures B.1 Non-performing exposures 35 11 79 78 - - 1,845 880 60 8 B.2 Performing exsposures 19,589 3 52,282 49 2,301 1 246,370 344 17,198 42 Total (B) 19,624 14 52,361 127 2,301 1 248,215 1,224 17,258 50 Total (A+B) 12.31.2021 173,022 168 121,566 1,114 3,704 2 502,952 11,223 146,762 3,920 Total (A+B) 12.31.2020 157,661 172 145,785 1,207 6,070 2 479,989 12,954 140,965 4,735 B.2 Regulatory consolidation - Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 632 1,978 657 1,636 7 30 18 49 - 20 A.2 Unlikely to pay 2,985 3,048 2,914 2,422 115 86 12 76 365 5 A.3 Non-performing past-due 374 197 154 128 1 - - - - - A.4 Performing exposures 234,952 3,023 324,153 2,231 12,630 33 16,721 44 10,154 4 Total (A) 238,943 8,246 327,878 6,417 12,753 149 16,751 169 10,519 29 B. Off-balance sheet credit exposures B.1 Non-performing exposures 1,211 300 778 671 13 7 17 - 1 - B.2 Performing exposures 127,933 103 190,474 323 14,524 9 1,856 3 651 1 Total (B) 129,144 403 191,252 994 14,537 16 1,873 3 652 1 Total (A+B) 12.31.2021 368,087 8,649 519,130 7,411 27,290 165 18,624 172 11,171 30 Total (A+B) 12.31.2020 386,333 11,383 489,479 7,294 26,596 183 16,878 142 5,114 66 B.3 Regulatory consolidation - Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - 4 - 1 - - A.2 Unlikely to pay - - - - - - - - - - A.3 Non-performing past-due - - - - - - - - - - A.4 Performing exposures 87,771 2 100,169 10 7,054 1 7,930 3 1,257 - Total (A) 87,771 2 100,169 10 7,054 5 7,930 4 1,257 - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - - - B.2 Performing exposures 1,926 - 14,611 5 1,224 - 6,485 4 1,475 2 Total (B) 1,926 - 14,611 5 1,224 - 6,485 4 1,475 2 Total (A+B) 12.31.2021 89,697 2 114,780 15 8,278 5 14,415 8 2,732 2 Totale (A+B) 12.31.2020 81,667 4 152,207 16 7,771 4 11,718 5 2,936 1 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 345 B. Distribution and concentration of credit exposures B.1 Regulatory consolidation - Distribution by segment of on-balance and off-balance sheet credit exposures with customers (€ million) GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES FINANCIAL COMPANIES FINANCIAL COMPANIES (OF WHICH INSURANCE COMPANIES) NON-FINANCIAL COMPANIES HOUSEHOLDS EXPOSURES/COUNTERPARTIES NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 2 30 92 233 1 - 893 2,483 327 967 of which: forborne exposures - 1 66 75 1 - 277 680 108 152 A.2 Unlikely to pay 366 35 501 472 1 - 4,080 4,240 1,444 890 of which: forborne exposures 17 16 352 298 - - 2,675 2,682 928 566 A.3 Non-performing past-due 41 5 - - - - 109 66 379 254 of which: forborne exposures - - - - - - 12 10 11 9 A.4 Performing exposures 152,989 84 68,612 282 1,401 1 249,655 3,210 127,354 1,759 of which: forborne exposures 12 - 171 13 1 - 6,548 776 1,923 179 Total (A) 153,398 154 69,205 987 1,403 1 254,737 9,999 129,504 3,870 B. Off-balance sheet credit exposures B.1 Non-performing exposures 35 11 79 78 - - 1,845 880 60 8 B.2 Performing exsposures 19,589 3 52,282 49 2,301 1 246,370 344 17,198 42 Total (B) 19,624 14 52,361 127 2,301 1 248,215 1,224 17,258 50 Total (A+B) 12.31.2021 173,022 168 121,566 1,114 3,704 2 502,952 11,223 146,762 3,920 Total (A+B) 12.31.2020 157,661 172 145,785 1,207 6,070 2 479,989 12,954 140,965 4,735 B.2 Regulatory consolidation - Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 632 1,978 657 1,636 7 30 18 49 - 20 A.2 Unlikely to pay 2,985 3,048 2,914 2,422 115 86 12 76 365 5 A.3 Non-performing past-due 374 197 154 128 1 - - - - - A.4 Performing exposures 234,952 3,023 324,153 2,231 12,630 33 16,721 44 10,154 4 Total (A) 238,943 8,246 327,878 6,417 12,753 149 16,751 169 10,519 29 B. Off-balance sheet credit exposures B.1 Non-performing exposures 1,211 300 778 671 13 7 17 - 1 - B.2 Performing exposures 127,933 103 190,474 323 14,524 9 1,856 3 651 1 Total (B) 129,144 403 191,252 994 14,537 16 1,873 3 652 1 Total (A+B) 12.31.2021 368,087 8,649 519,130 7,411 27,290 165 18,624 172 11,171 30 Total (A+B) 12.31.2020 386,333 11,383 489,479 7,294 26,596 183 16,878 142 5,114 66 B.3 Regulatory consolidation - Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - 4 - 1 - - A.2 Unlikely to pay - - - - - - - - - - A.3 Non-performing past-due - - - - - - - - - - A.4 Performing exposures 87,771 2 100,169 10 7,054 1 7,930 3 1,257 - Total (A) 87,771 2 100,169 10 7,054 5 7,930 4 1,257 - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - - - B.2 Performing exposures 1,926 - 14,611 5 1,224 - 6,485 4 1,475 2 Total (B) 1,926 - 14,611 5 1,224 - 6,485 4 1,475 2 Total (A+B) 12.31.2021 89,697 2 114,780 15 8,278 5 14,415 8 2,732 2 Totale (A+B) 12.31.2020 81,667 4 152,207 16 7,771 4 11,718 5 2,936 1 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 345 B. Distribution and concentration of credit exposures B.1 Regulatory consolidation - Distribution by segment of on-balance and off-balance sheet credit exposures with customers (€ million) GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES FINANCIAL COMPANIES FINANCIAL COMPANIES (OF WHICH INSURANCE COMPANIES) NON-FINANCIAL COMPANIES HOUSEHOLDS EXPOSURES/COUNTERPARTIES NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 2 30 92 233 1 - 893 2,483 327 967 of which: forborne exposures - 1 66 75 1 - 277 680 108 152 A.2 Unlikely to pay 366 35 501 472 1 - 4,080 4,240 1,444 890 of which: forborne exposures 17 16 352 298 - - 2,675 2,682 928 566 A.3 Non-performing past-due 41 5 - - - - 109 66 379 254 of which: forborne exposures - - - - - - 12 10 11 9 A.4 Performing exposures 152,989 84 68,612 282 1,401 1 249,655 3,210 127,354 1,759 of which: forborne exposures 12 - 171 13 1 - 6,548 776 1,923 179 Total (A) 153,398 154 69,205 987 1,403 1 254,737 9,999 129,504 3,870 B. Off-balance sheet credit exposures B.1 Non-performing exposures 35 11 79 78 - - 1,845 880 60 8 B.2 Performing exsposures 19,589 3 52,282 49 2,301 1 246,370 344 17,198 42 Total (B) 19,624 14 52,361 127 2,301 1 248,215 1,224 17,258 50 Total (A+B) 12.31.2021 173,022 168 121,566 1,114 3,704 2 502,952 11,223 146,762 3,920 Total (A+B) 12.31.2020 157,661 172 145,785 1,207 6,070 2 479,989 12,954 140,965 4,735 B.2 Regulatory consolidation - Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 632 1,978 657 1,636 7 30 18 49 - 20 A.2 Unlikely to pay 2,985 3,048 2,914 2,422 115 86 12 76 365 5 A.3 Non-performing past-due 374 197 154 128 1 - - - - - A.4 Performing exposures 234,952 3,023 324,153 2,231 12,630 33 16,721 44 10,154 4 Total (A) 238,943 8,246 327,878 6,417 12,753 149 16,751 169 10,519 29 B. Off-balance sheet credit exposures B.1 Non-performing exposures 1,211 300 778 671 13 7 17 - 1 - B.2 Performing exposures 127,933 103 190,474 323 14,524 9 1,856 3 651 1 Total (B) 129,144 403 191,252 994 14,537 16 1,873 3 652 1 Total (A+B) 12.31.2021 368,087 8,649 519,130 7,411 27,290 165 18,624 172 11,171 30 Total (A+B) 12.31.2020 386,333 11,383 489,479 7,294 26,596 183 16,878 142 5,114 66 B.3 Regulatory consolidation - Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - 4 - 1 - - A.2 Unlikely to pay - - - - - - - - - - A.3 Non-performing past-due - - - - - - - - - - A.4 Performing exposures 87,771 2 100,169 10 7,054 1 7,930 3 1,257 - Total (A) 87,771 2 100,169 10 7,054 5 7,930 4 1,257 - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - - - B.2 Performing exposures 1,926 - 14,611 5 1,224 - 6,485 4 1,475 2 Total (B) 1,926 - 14,611 5 1,224 - 6,485 4 1,475 2 Total (A+B) 12.31.2021 89,697 2 114,780 15 8,278 5 14,415 8 2,732 2 Totale (A+B) 12.31.2020 81,667 4 152,207 16 7,771 4 11,718 5 2,936 1 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 346 2021 Annual Report and Accounts · UniCredit B.4 Large exposures 12.31.2021 a) Amount book value (€ million) 274,240 b) Amount weighted value (€ million) 19,202 c) Number 10 The table refers to large exposures as defined by Regulation (EU) 876/2019 (CRR2). In compliance with Art.4.1 39 of Regulation (EU) 575/2013 (CRR), in case of exposures towards a group of connected clients formed by a Central Government and other groups of connected clients, such exposure towards the Central Government is reported for each group of connected clients when remitting regulatory reporting; despite the abovementioned regulatory approach, both the amounts shown in letter a), b), and the number in letter c) in the table above disclose only once the exposure towards the Central Government originated following the method used. It should be noted that deferred tax assets towards Italian Central Government were considered as fully exempted and, as a consequence, the weighted amount reported is null. C. Securitisation transactions Qualitative information In securitisation transactions the Group plays, as the case may be, the role of originator, sponsor or investor. The Group as originator The Group’s origination of traditional transactions consists in the sale of on-balance sheet receivables portfolios to vehicles set up as securitisation companies under Law 130/99 or similar non-Italian legislation. The transferee company finances the purchase of the receivables portfolios by issuing bonds of varying seniority and transfers its issue proceeds to the Group58. The yield and maturity of the bonds issued by the buyer therefore mainly depend on the cash flow expected from the assets being sold. As a further form of security to bondholders, these transactions may include special types of credit enhancement, e.g., subordinated loans, financial guarantees, standby letters of credit, etc. The Group’s objectives when carrying out these transactions are usually the following: • to originate securities that can be used to secure refinancing transactions with Banca d’Italia and the ECB (counterbalancing capacity); • to obtain funding through the placement of securities on the market. This also allows a diversification of the funding sources and of the investors’ basis with improvements in reducing the cost of Group’s funding; • to free up economic and regulatory capital by carrying out transactions that reduce capital requirements under current rules by reducing credit risk of the underlying portfolio; • to reduce the exposures towards non-performing customers; • to optimise the recoveries of exposures portfolios towards non-performing customers, referring to specific asset classes (e.g. Pillarstone and Sandokan transactions); • other purposes related for example to corporate re-organization, M&A or divestment’s assets where the true sale securitisation is instrumental to the deleveraging and assets transfer. The Group carries out both traditional securitisations whereby the receivables portfolio is sold to the SPV, as described above, and synthetic securitisations which use financial guarantees to purchase protection over all or part of the underlying credit risk of the portfolio. The latter, on the contrary to traditional securitisations, is not sold to vehicles but remains also legally within the Group. In this case, moreover, the financial guarantees purchased as protection of such loans are also booked on the balance sheet as well as the impacts on the income statement related to them. Under traditional securitisations generally the Group, in addition to provide in some cases servicing role, retains the first loss in the form of junior bonds or similar exposure and in some cases provides further credit enhancement as described above. This enables the Group to benefit from the portion of the sold receivables’ yield in excess of the yield due to the senior and mezzanine tranches. 58 The legislation also foresees other securitisation structures in which the proceeds deriving from the issue of a single class or classes of securities (or from other alternative forms of funding, such as through the taking of deposits), are used by the vehicle for the granting of a loan to the Originator of the assets; in any case, however, the repayment of the loan is guaranteed by the proceeds of the same assets, which are returned to the vehicle. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 346 2021 Annual Report and Accounts · UniCredit B.4 Large exposures 12.31.2021 a) Amount book value (€ million) 274,240 b) Amount weighted value (€ million) 19,202 c) Number 10 The table refers to large exposures as defined by Regulation (EU) 876/2019 (CRR2). In compliance with Art.4.1 39 of Regulation (EU) 575/2013 (CRR), in case of exposures towards a group of connected clients formed by a Central Government and other groups of connected clients, such exposure towards the Central Government is reported for each group of connected clients when remitting regulatory reporting; despite the abovementioned regulatory approach, both the amounts shown in letter a), b), and the number in letter c) in the table above disclose only once the exposure towards the Central Government originated following the method used. It should be noted that deferred tax assets towards Italian Central Government were considered as fully exempted and, as a consequence, the weighted amount reported is null. C. Securitisation transactions Qualitative information In securitisation transactions the Group plays, as the case may be, the role of originator, sponsor or investor. The Group as originator The Group’s origination of traditional transactions consists in the sale of on-balance sheet receivables portfolios to vehicles set up as securitisation companies under Law 130/99 or similar non-Italian legislation. The transferee company finances the purchase of the receivables portfolios by issuing bonds of varying seniority and transfers its issue proceeds to the Group58. The yield and maturity of the bonds issued by the buyer therefore mainly depend on the cash flow expected from the assets being sold. As a further form of security to bondholders, these transactions may include special types of credit enhancement, e.g., subordinated loans, financial guarantees, standby letters of credit, etc. The Group’s objectives when carrying out these transactions are usually the following: • to originate securities that can be used to secure refinancing transactions with Banca d’Italia and the ECB (counterbalancing capacity); • to obtain funding through the placement of securities on the market. This also allows a diversification of the funding sources and of the investors’ basis with improvements in reducing the cost of Group’s funding; • to free up economic and regulatory capital by carrying out transactions that reduce capital requirements under current rules by reducing credit risk of the underlying portfolio; • to reduce the exposures towards non-performing customers; • to optimise the recoveries of exposures portfolios towards non-performing customers, referring to specific asset classes (e.g. Pillarstone and Sandokan transactions); • other purposes related for example to corporate re-organization, M&A or divestment’s assets where the true sale securitisation is instrumental to the deleveraging and assets transfer. The Group carries out both traditional securitisations whereby the receivables portfolio is sold to the SPV, as described above, and synthetic securitisations which use financial guarantees to purchase protection over all or part of the underlying credit risk of the portfolio. The latter, on the contrary to traditional securitisations, is not sold to vehicles but remains also legally within the Group. In this case, moreover, the financial guarantees purchased as protection of such loans are also booked on the balance sheet as well as the impacts on the income statement related to them. Under traditional securitisations generally the Group, in addition to provide in some cases servicing role, retains the first loss in the form of junior bonds or similar exposure and in some cases provides further credit enhancement as described above. This enables the Group to benefit from the portion of the sold receivables’ yield in excess of the yield due to the senior and mezzanine tranches. 58 The legislation also foresees other securitisation structures in which the proceeds deriving from the issue of a single class or classes of securities (or from other alternative forms of funding, such as through the taking of deposits), are used by the vehicle for the granting of a loan to the Originator of the assets; in any case, however, the repayment of the loan is guaranteed by the proceeds of the same assets, which are returned to the vehicle. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 346 2021 Annual Report and Accounts · UniCredit B.4 Large exposures 12.31.2021 a) Amount book value (€ million) 274,240 b) Amount weighted value (€ million) 19,202 c) Number 10 The table refers to large exposures as defined by Regulation (EU) 876/2019 (CRR2). In compliance with Art.4.1 39 of Regulation (EU) 575/2013 (CRR), in case of exposures towards a group of connected clients formed by a Central Government and other groups of connected clients, such exposure towards the Central Government is reported for each group of connected clients when remitting regulatory reporting; despite the abovementioned regulatory approach, both the amounts shown in letter a), b), and the number in letter c) in the table above disclose only once the exposure towards the Central Government originated following the method used. It should be noted that deferred tax assets towards Italian Central Government were considered as fully exempted and, as a consequence, the weighted amount reported is null. C. Securitisation transactions Qualitative information In securitisation transactions the Group plays, as the case may be, the role of originator, sponsor or investor. The Group as originator The Group’s origination of traditional transactions consists in the sale of on-balance sheet receivables portfolios to vehicles set up as securitisation companies under Law 130/99 or similar non-Italian legislation. The transferee company finances the purchase of the receivables portfolios by issuing bonds of varying seniority and transfers its issue proceeds to the Group58. The yield and maturity of the bonds issued by the buyer therefore mainly depend on the cash flow expected from the assets being sold. As a further form of security to bondholders, these transactions may include special types of credit enhancement, e.g., subordinated loans, financial guarantees, standby letters of credit, etc. The Group’s objectives when carrying out these transactions are usually the following: • to originate securities that can be used to secure refinancing transactions with Banca d’Italia and the ECB (counterbalancing capacity); • to obtain funding through the placement of securities on the market. This also allows a diversification of the funding sources and of the investors’ basis with improvements in reducing the cost of Group’s funding; • to free up economic and regulatory capital by carrying out transactions that reduce capital requirements under current rules by reducing credit risk of the underlying portfolio; • to reduce the exposures towards non-performing customers; • to optimise the recoveries of exposures portfolios towards non-performing customers, referring to specific asset classes (e.g. Pillarstone and Sandokan transactions); • other purposes related for example to corporate re-organization, M&A or divestment’s assets where the true sale securitisation is instrumental to the deleveraging and assets transfer. The Group carries out both traditional securitisations whereby the receivables portfolio is sold to the SPV, as described above, and synthetic securitisations which use financial guarantees to purchase protection over all or part of the underlying credit risk of the portfolio. The latter, on the contrary to traditional securitisations, is not sold to vehicles but remains also legally within the Group. In this case, moreover, the financial guarantees purchased as protection of such loans are also booked on the balance sheet as well as the impacts on the income statement related to them. Under traditional securitisations generally the Group, in addition to provide in some cases servicing role, retains the first loss in the form of junior bonds or similar exposure and in some cases provides further credit enhancement as described above. This enables the Group to benefit from the portion of the sold receivables’ yield in excess of the yield due to the senior and mezzanine tranches. 58 The legislation also foresees other securitisation structures in which the proceeds deriving from the issue of a single class or classes of securities (or from other alternative forms of funding, such as through the taking of deposits), are used by the vehicle for the granting of a loan to the Originator of the assets; in any case, however, the repayment of the loan is guaranteed by the proceeds of the same assets, which are returned to the vehicle. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 346 2021 Annual Report and Accounts · UniCredit B.4 Large exposures 12.31.2021 a) Amount book value (€ million) 274,240 b) Amount weighted value (€ million) 19,202 c) Number 10 The table refers to large exposures as defined by Regulation (EU) 876/2019 (CRR2). In compliance with Art.4.1 39 of Regulation (EU) 575/2013 (CRR), in case of exposures towards a group of connected clients formed by a Central Government and other groups of connected clients, such exposure towards the Central Government is reported for each group of connected clients when remitting regulatory reporting; despite the abovementioned regulatory approach, both the amounts shown in letter a), b), and the number in letter c) in the table above disclose only once the exposure towards the Central Government originated following the method used. It should be noted that deferred tax assets towards Italian Central Government were considered as fully exempted and, as a consequence, the weighted amount reported is null. C. Securitisation transactions Qualitative information In securitisation transactions the Group plays, as the case may be, the role of originator, sponsor or investor. The Group as originator The Group’s origination of traditional transactions consists in the sale of on-balance sheet receivables portfolios to vehicles set up as securitisation companies under Law 130/99 or similar non-Italian legislation. The transferee company finances the purchase of the receivables portfolios by issuing bonds of varying seniority and transfers its issue proceeds to the Group58. The yield and maturity of the bonds issued by the buyer therefore mainly depend on the cash flow expected from the assets being sold. As a further form of security to bondholders, these transactions may include special types of credit enhancement, e.g., subordinated loans, financial guarantees, standby letters of credit, etc. The Group’s objectives when carrying out these transactions are usually the following: • to originate securities that can be used to secure refinancing transactions with Banca d’Italia and the ECB (counterbalancing capacity); • to obtain funding through the placement of securities on the market. This also allows a diversification of the funding sources and of the investors’ basis with improvements in reducing the cost of Group’s funding; • to free up economic and regulatory capital by carrying out transactions that reduce capital requirements under current rules by reducing credit risk of the underlying portfolio; • to reduce the exposures towards non-performing customers; • to optimise the recoveries of exposures portfolios towards non-performing customers, referring to specific asset classes (e.g. Pillarstone and Sandokan transactions); • other purposes related for example to corporate re-organization, M&A or divestment’s assets where the true sale securitisation is instrumental to the deleveraging and assets transfer. The Group carries out both traditional securitisations whereby the receivables portfolio is sold to the SPV, as described above, and synthetic securitisations which use financial guarantees to purchase protection over all or part of the underlying credit risk of the portfolio. The latter, on the contrary to traditional securitisations, is not sold to vehicles but remains also legally within the Group. In this case, moreover, the financial guarantees purchased as protection of such loans are also booked on the balance sheet as well as the impacts on the income statement related to them. Under traditional securitisations generally the Group, in addition to provide in some cases servicing role, retains the first loss in the form of junior bonds or similar exposure and in some cases provides further credit enhancement as described above. This enables the Group to benefit from the portion of the sold receivables’ yield in excess of the yield due to the senior and mezzanine tranches. 58 The legislation also foresees other securitisation structures in which the proceeds deriving from the issue of a single class or classes of securities (or from other alternative forms of funding, such as through the taking of deposits), are used by the vehicle for the granting of a loan to the Originator of the assets; in any case, however, the repayment of the loan is guaranteed by the proceeds of the same assets, which are returned to the vehicle. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 346 2021 Annual Report and Accounts · UniCredit B.4 Large exposures 12.31.2021 a) Amount book value (€ million) 274,240 b) Amount weighted value (€ million) 19,202 c) Number 10 The table refers to large exposures as defined by Regulation (EU) 876/2019 (CRR2). In compliance with Art.4.1 39 of Regulation (EU) 575/2013 (CRR), in case of exposures towards a group of connected clients formed by a Central Government and other groups of connected clients, such exposure towards the Central Government is reported for each group of connected clients when remitting regulatory reporting; despite the abovementioned regulatory approach, both the amounts shown in letter a), b), and the number in letter c) in the table above disclose only once the exposure towards the Central Government originated following the method used. It should be noted that deferred tax assets towards Italian Central Government were considered as fully exempted and, as a consequence, the weighted amount reported is null. C. Securitisation transactions Qualitative information In securitisation transactions the Group plays, as the case may be, the role of originator, sponsor or investor. The Group as originator The Group’s origination of traditional transactions consists in the sale of on-balance sheet receivables portfolios to vehicles set up as securitisation companies under Law 130/99 or similar non-Italian legislation. The transferee company finances the purchase of the receivables portfolios by issuing bonds of varying seniority and transfers its issue proceeds to the Group58. The yield and maturity of the bonds issued by the buyer therefore mainly depend on the cash flow expected from the assets being sold. As a further form of security to bondholders, these transactions may include special types of credit enhancement, e.g., subordinated loans, financial guarantees, standby letters of credit, etc. The Group’s objectives when carrying out these transactions are usually the following: • to originate securities that can be used to secure refinancing transactions with Banca d’Italia and the ECB (counterbalancing capacity); • to obtain funding through the placement of securities on the market. This also allows a diversification of the funding sources and of the investors’ basis with improvements in reducing the cost of Group’s funding; • to free up economic and regulatory capital by carrying out transactions that reduce capital requirements under current rules by reducing credit risk of the underlying portfolio; • to reduce the exposures towards non-performing customers; • to optimise the recoveries of exposures portfolios towards non-performing customers, referring to specific asset classes (e.g. Pillarstone and Sandokan transactions); • other purposes related for example to corporate re-organization, M&A or divestment’s assets where the true sale securitisation is instrumental to the deleveraging and assets transfer. The Group carries out both traditional securitisations whereby the receivables portfolio is sold to the SPV, as described above, and synthetic securitisations which use financial guarantees to purchase protection over all or part of the underlying credit risk of the portfolio. The latter, on the contrary to traditional securitisations, is not sold to vehicles but remains also legally within the Group. In this case, moreover, the financial guarantees purchased as protection of such loans are also booked on the balance sheet as well as the impacts on the income statement related to them. Under traditional securitisations generally the Group, in addition to provide in some cases servicing role, retains the first loss in the form of junior bonds or similar exposure and in some cases provides further credit enhancement as described above. This enables the Group to benefit from the portion of the sold receivables’ yield in excess of the yield due to the senior and mezzanine tranches. 58 The legislation also foresees other securitisation structures in which the proceeds deriving from the issue of a single class or classes of securities (or from other alternative forms of funding, such as through the taking of deposits), are used by the vehicle for the granting of a loan to the Originator of the assets; in any case, however, the repayment of the loan is guaranteed by the proceeds of the same assets, which are returned to the vehicle. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 347 Retention by the Group of the overall first loss risk and the corresponding yield means that most of the risk and return on the portfolio is retained in these cases. Consequently these transactions are recognised in the accounts as loans and no profits arising out of the transfer of the assets are recognised as well as the sold receivables are not derecognised. [In the consolidated financial statements, exposure to the variability of the cash flows deriving from maintenance of the excess rewards of the portfolio and of the first loss risk, together with the role of servicer of the underlying assets, determines in general control by the Group over these securitisation vehicles. Therefore they are subject to full consolidation. Differently, in order to improve the quality of its assets and optimise the capital allocation, the Group also carries out transactions that involve the portfolios’ derecognition and the related significant risk transfer, by subscribing a limited portion of securities issued by vehicles of securitisation or keeping a minimum percentage of the portfolio, in compliance with the rules for maintaining a net economic interest in the securitisation transaction according to the current regulatory requirements (Retention Rule). The Group's main objectives in its securitisation transactions (whether traditional or synthetic) until 2007 were the optimisation of the loan portfolio by freeing up regulatory and economic capital and obtaining fresh liquidity together with greater diversification of its sources of funding. The crisis in the markets experienced since the second half of 2007 made it advisable to use traditional securitisation as a means of increasing counterbalancing capacity, i.e. the availability of assets that can be readily used to create liquidity, by retaining the securities issued by the vehicle within the Group. Moreover traditional securitisations have been used also for corporate re-organisation’s or divestment’s purposes, for assets deleveraging, for business projects’ purposes, for boosting recovery’s activity through the recourse to specialised management companies external to the Group and for accelerating the sale of non-performing loans as well. The assessment process on the realisation of securitisation transactions is carried out within the Parent in close cooperation with the Group originator entities involved and with UniCredit Bank AG, as preferred counterparty, as Arranger and potential Investment Banking. This process requires an economic feasibility study to assess the impact of transactions (according to their nature and aims), on regulatory and economic capital, on risk-adjusted profitability measures, on the level of liquidity and on the Group’s asset quality. If this initial phase produces a positive result, a technical and operational feasibility study is carried out to identify the assets to be securitised and define the structure of the transaction. Once technical feasibility has been established, the transaction is realised. Eventually it should be noted that "self-securitisations" and transactions in warehousing phase are not included in the quantitative tables of this paragraph (C. Securitisation transactions), as required by regulations. Developments of the period The Group makes limited use of this type of transactions. The amount of securitised loans59, net of the transactions in which the Group has acquired all the liabilities issued by the SPVs (the so-called self-securitisations), accounts for 1.55% of the Group’s credit portfolio. Self-securitisations in turn account for 4.67% of the loan portfolio. During 2021 the Group carried out 6 new transactions, of which 1 traditional and 5 synthetic ones: • Olympia - traditional (originator UniCredit S.p.A.); • Bond Italia 8 - Investimenti - synthetic (originator UniCredit S.p.A.); • Bond Italia 8 - Misto - synthetic (originator UniCredit S.p.A.); • Puglia Sviluppo 2021 - synthetic (originator UniCredit S.p.A.); • A.R.T.S. MidCap 2021 - synthetic (originator UniCredit S.p.A.); • A.R.T.S. Re.Mo. 2021 - synthetic (originator UniCredit S.p.A.). Details are given in the tables published in the “Annexes”, which also describe transactions, traditional and synthetic, carried out in previous financial years. The Group as sponsor The Group defines the role of sponsor as that performed by an entity, other than the transferor, which organises and administers a securitisation or asset-backed commercial paper structure in which financial assets are purchased from third parties. The Group acts as sponsor of asset backed commercial paper vehicles (i.e. commercial paper issuing conduits) set-up in order to allow customers the access to the securitisations’ market (multi-seller Customer conduits). Customer conduits require the formation and management of a bankruptcy-remote company (i.e., one that would be immune from any financial difficulties of the originator) which directly or indirectly buys receivables created by companies outside the Group. The receivables underlying these transactions are not bought directly by the conduit set up by the Group, but by a purchase company which in turn is wholly funded by the conduit by means of commercial paper or Medium Term Notes (MTN). 59 It refers to loans sold, also synthetically, but not derecognised from balance sheet. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 347 Retention by the Group of the overall first loss risk and the corresponding yield means that most of the risk and return on the portfolio is retained in these cases. Consequently these transactions are recognised in the accounts as loans and no profits arising out of the transfer of the assets are recognised as well as the sold receivables are not derecognised. [In the consolidated financial statements, exposure to the variability of the cash flows deriving from maintenance of the excess rewards of the portfolio and of the first loss risk, together with the role of servicer of the underlying assets, determines in general control by the Group over these securitisation vehicles. Therefore they are subject to full consolidation. Differently, in order to improve the quality of its assets and optimise the capital allocation, the Group also carries out transactions that involve the portfolios’ derecognition and the related significant risk transfer, by subscribing a limited portion of securities issued by vehicles of securitisation or keeping a minimum percentage of the portfolio, in compliance with the rules for maintaining a net economic interest in the securitisation transaction according to the current regulatory requirements (Retention Rule). The Group's main objectives in its securitisation transactions (whether traditional or synthetic) until 2007 were the optimisation of the loan portfolio by freeing up regulatory and economic capital and obtaining fresh liquidity together with greater diversification of its sources of funding. The crisis in the markets experienced since the second half of 2007 made it advisable to use traditional securitisation as a means of increasing counterbalancing capacity, i.e. the availability of assets that can be readily used to create liquidity, by retaining the securities issued by the vehicle within the Group. Moreover traditional securitisations have been used also for corporate re-organisation’s or divestment’s purposes, for assets deleveraging, for business projects’ purposes, for boosting recovery’s activity through the recourse to specialised management companies external to the Group and for accelerating the sale of non-performing loans as well. The assessment process on the realisation of securitisation transactions is carried out within the Parent in close cooperation with the Group originator entities involved and with UniCredit Bank AG, as preferred counterparty, as Arranger and potential Investment Banking. This process requires an economic feasibility study to assess the impact of transactions (according to their nature and aims), on regulatory and economic capital, on risk-adjusted profitability measures, on the level of liquidity and on the Group’s asset quality. If this initial phase produces a positive result, a technical and operational feasibility study is carried out to identify the assets to be securitised and define the structure of the transaction. Once technical feasibility has been established, the transaction is realised. Eventually it should be noted that "self-securitisations" and transactions in warehousing phase are not included in the quantitative tables of this paragraph (C. Securitisation transactions), as required by regulations. Developments of the period The Group makes limited use of this type of transactions. The amount of securitised loans59, net of the transactions in which the Group has acquired all the liabilities issued by the SPVs (the so-called self-securitisations), accounts for 1.55% of the Group’s credit portfolio. Self-securitisations in turn account for 4.67% of the loan portfolio. During 2021 the Group carried out 6 new transactions, of which 1 traditional and 5 synthetic ones: • Olympia - traditional (originator UniCredit S.p.A.); • Bond Italia 8 - Investimenti - synthetic (originator UniCredit S.p.A.); • Bond Italia 8 - Misto - synthetic (originator UniCredit S.p.A.); • Puglia Sviluppo 2021 - synthetic (originator UniCredit S.p.A.); • A.R.T.S. MidCap 2021 - synthetic (originator UniCredit S.p.A.); • A.R.T.S. Re.Mo. 2021 - synthetic (originator UniCredit S.p.A.). Details are given in the tables published in the “Annexes”, which also describe transactions, traditional and synthetic, carried out in previous financial years. The Group as sponsor The Group defines the role of sponsor as that performed by an entity, other than the transferor, which organises and administers a securitisation or asset-backed commercial paper structure in which financial assets are purchased from third parties. The Group acts as sponsor of asset backed commercial paper vehicles (i.e. commercial paper issuing conduits) set-up in order to allow customers the access to the securitisations’ market (multi-seller Customer conduits). Customer conduits require the formation and management of a bankruptcy-remote company (i.e., one that would be immune from any financial difficulties of the originator) which directly or indirectly buys receivables created by companies outside the Group. The receivables underlying these transactions are not bought directly by the conduit set up by the Group, but by a purchase company which in turn is wholly funded by the conduit by means of commercial paper or Medium Term Notes (MTN). 59 It refers to loans sold, also synthetically, but not derecognised from balance sheet. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 347 Retention by the Group of the overall first loss risk and the corresponding yield means that most of the risk and return on the portfolio is retained in these cases. Consequently these transactions are recognised in the accounts as loans and no profits arising out of the transfer of the assets are recognised as well as the sold receivables are not derecognised. [In the consolidated financial statements, exposure to the variability of the cash flows deriving from maintenance of the excess rewards of the portfolio and of the first loss risk, together with the role of servicer of the underlying assets, determines in general control by the Group over these securitisation vehicles. Therefore they are subject to full consolidation. Differently, in order to improve the quality of its assets and optimise the capital allocation, the Group also carries out transactions that involve the portfolios’ derecognition and the related significant risk transfer, by subscribing a limited portion of securities issued by vehicles of securitisation or keeping a minimum percentage of the portfolio, in compliance with the rules for maintaining a net economic interest in the securitisation transaction according to the current regulatory requirements (Retention Rule). The Group's main objectives in its securitisation transactions (whether traditional or synthetic) until 2007 were the optimisation of the loan portfolio by freeing up regulatory and economic capital and obtaining fresh liquidity together with greater diversification of its sources of funding. The crisis in the markets experienced since the second half of 2007 made it advisable to use traditional securitisation as a means of increasing counterbalancing capacity, i.e. the availability of assets that can be readily used to create liquidity, by retaining the securities issued by the vehicle within the Group. Moreover traditional securitisations have been used also for corporate re-organisation’s or divestment’s purposes, for assets deleveraging, for business projects’ purposes, for boosting recovery’s activity through the recourse to specialised management companies external to the Group and for accelerating the sale of non-performing loans as well. The assessment process on the realisation of securitisation transactions is carried out within the Parent in close cooperation with the Group originator entities involved and with UniCredit Bank AG, as preferred counterparty, as Arranger and potential Investment Banking. This process requires an economic feasibility study to assess the impact of transactions (according to their nature and aims), on regulatory and economic capital, on risk-adjusted profitability measures, on the level of liquidity and on the Group’s asset quality. If this initial phase produces a positive result, a technical and operational feasibility study is carried out to identify the assets to be securitised and define the structure of the transaction. Once technical feasibility has been established, the transaction is realised. Eventually it should be noted that "self-securitisations" and transactions in warehousing phase are not included in the quantitative tables of this paragraph (C. Securitisation transactions), as required by regulations. Developments of the period The Group makes limited use of this type of transactions. The amount of securitised loans59, net of the transactions in which the Group has acquired all the liabilities issued by the SPVs (the so-called self-securitisations), accounts for 1.55% of the Group’s credit portfolio. Self-securitisations in turn account for 4.67% of the loan portfolio. During 2021 the Group carried out 6 new transactions, of which 1 traditional and 5 synthetic ones: • Olympia - traditional (originator UniCredit S.p.A.); • Bond Italia 8 - Investimenti - synthetic (originator UniCredit S.p.A.); • Bond Italia 8 - Misto - synthetic (originator UniCredit S.p.A.); • Puglia Sviluppo 2021 - synthetic (originator UniCredit S.p.A.); • A.R.T.S. MidCap 2021 - synthetic (originator UniCredit S.p.A.); • A.R.T.S. Re.Mo. 2021 - synthetic (originator UniCredit S.p.A.). Details are given in the tables published in the “Annexes”, which also describe transactions, traditional and synthetic, carried out in previous financial years. The Group as sponsor The Group defines the role of sponsor as that performed by an entity, other than the transferor, which organises and administers a securitisation or asset-backed commercial paper structure in which financial assets are purchased from third parties. The Group acts as sponsor of asset backed commercial paper vehicles (i.e. commercial paper issuing conduits) set-up in order to allow customers the access to the securitisations’ market (multi-seller Customer conduits). Customer conduits require the formation and management of a bankruptcy-remote company (i.e., one that would be immune from any financial difficulties of the originator) which directly or indirectly buys receivables created by companies outside the Group. The receivables underlying these transactions are not bought directly by the conduit set up by the Group, but by a purchase company which in turn is wholly funded by the conduit by means of commercial paper or Medium Term Notes (MTN). 59 It refers to loans sold, also synthetically, but not derecognised from balance sheet. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 347 Retention by the Group of the overall first loss risk and the corresponding yield means that most of the risk and return on the portfolio is retained in these cases. Consequently these transactions are recognised in the accounts as loans and no profits arising out of the transfer of the assets are recognised as well as the sold receivables are not derecognised. [In the consolidated financial statements, exposure to the variability of the cash flows deriving from maintenance of the excess rewards of the portfolio and of the first loss risk, together with the role of servicer of the underlying assets, determines in general control by the Group over these securitisation vehicles. Therefore they are subject to full consolidation. Differently, in order to improve the quality of its assets and optimise the capital allocation, the Group also carries out transactions that involve the portfolios’ derecognition and the related significant risk transfer, by subscribing a limited portion of securities issued by vehicles of securitisation or keeping a minimum percentage of the portfolio, in compliance with the rules for maintaining a net economic interest in the securitisation transaction according to the current regulatory requirements (Retention Rule). The Group's main objectives in its securitisation transactions (whether traditional or synthetic) until 2007 were the optimisation of the loan portfolio by freeing up regulatory and economic capital and obtaining fresh liquidity together with greater diversification of its sources of funding. The crisis in the markets experienced since the second half of 2007 made it advisable to use traditional securitisation as a means of increasing counterbalancing capacity, i.e. the availability of assets that can be readily used to create liquidity, by retaining the securities issued by the vehicle within the Group. Moreover traditional securitisations have been used also for corporate re-organisation’s or divestment’s purposes, for assets deleveraging, for business projects’ purposes, for boosting recovery’s activity through the recourse to specialised management companies external to the Group and for accelerating the sale of non-performing loans as well. The assessment process on the realisation of securitisation transactions is carried out within the Parent in close cooperation with the Group originator entities involved and with UniCredit Bank AG, as preferred counterparty, as Arranger and potential Investment Banking. This process requires an economic feasibility study to assess the impact of transactions (according to their nature and aims), on regulatory and economic capital, on risk-adjusted profitability measures, on the level of liquidity and on the Group’s asset quality. If this initial phase produces a positive result, a technical and operational feasibility study is carried out to identify the assets to be securitised and define the structure of the transaction. Once technical feasibility has been established, the transaction is realised. Eventually it should be noted that "self-securitisations" and transactions in warehousing phase are not included in the quantitative tables of this paragraph (C. Securitisation transactions), as required by regulations. Developments of the period The Group makes limited use of this type of transactions. The amount of securitised loans59, net of the transactions in which the Group has acquired all the liabilities issued by the SPVs (the so-called self-securitisations), accounts for 1.55% of the Group’s credit portfolio. Self-securitisations in turn account for 4.67% of the loan portfolio. During 2021 the Group carried out 6 new transactions, of which 1 traditional and 5 synthetic ones: • Olympia - traditional (originator UniCredit S.p.A.); • Bond Italia 8 - Investimenti - synthetic (originator UniCredit S.p.A.); • Bond Italia 8 - Misto - synthetic (originator UniCredit S.p.A.); • Puglia Sviluppo 2021 - synthetic (originator UniCredit S.p.A.); • A.R.T.S. MidCap 2021 - synthetic (originator UniCredit S.p.A.); • A.R.T.S. Re.Mo. 2021 - synthetic (originator UniCredit S.p.A.). Details are given in the tables published in the “Annexes”, which also describe transactions, traditional and synthetic, carried out in previous financial years. The Group as sponsor The Group defines the role of sponsor as that performed by an entity, other than the transferor, which organises and administers a securitisation or asset-backed commercial paper structure in which financial assets are purchased from third parties. The Group acts as sponsor of asset backed commercial paper vehicles (i.e. commercial paper issuing conduits) set-up in order to allow customers the access to the securitisations’ market (multi-seller Customer conduits). Customer conduits require the formation and management of a bankruptcy-remote company (i.e., one that would be immune from any financial difficulties of the originator) which directly or indirectly buys receivables created by companies outside the Group. The receivables underlying these transactions are not bought directly by the conduit set up by the Group, but by a purchase company which in turn is wholly funded by the conduit by means of commercial paper or Medium Term Notes (MTN). 59 It refers to loans sold, also synthetically, but not derecognised from balance sheet. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 347 Retention by the Group of the overall first loss risk and the corresponding yield means that most of the risk and return on the portfolio is retained in these cases. Consequently these transactions are recognised in the accounts as loans and no profits arising out of the transfer of the assets are recognised as well as the sold receivables are not derecognised. [In the consolidated financial statements, exposure to the variability of the cash flows deriving from maintenance of the excess rewards of the portfolio and of the first loss risk, together with the role of servicer of the underlying assets, determines in general control by the Group over these securitisation vehicles. Therefore they are subject to full consolidation. Differently, in order to improve the quality of its assets and optimise the capital allocation, the Group also carries out transactions that involve the portfolios’ derecognition and the related significant risk transfer, by subscribing a limited portion of securities issued by vehicles of securitisation or keeping a minimum percentage of the portfolio, in compliance with the rules for maintaining a net economic interest in the securitisation transaction according to the current regulatory requirements (Retention Rule). The Group's main objectives in its securitisation transactions (whether traditional or synthetic) until 2007 were the optimisation of the loan portfolio by freeing up regulatory and economic capital and obtaining fresh liquidity together with greater diversification of its sources of funding. The crisis in the markets experienced since the second half of 2007 made it advisable to use traditional securitisation as a means of increasing counterbalancing capacity, i.e. the availability of assets that can be readily used to create liquidity, by retaining the securities issued by the vehicle within the Group. Moreover traditional securitisations have been used also for corporate re-organisation’s or divestment’s purposes, for assets deleveraging, for business projects’ purposes, for boosting recovery’s activity through the recourse to specialised management companies external to the Group and for accelerating the sale of non-performing loans as well. The assessment process on the realisation of securitisation transactions is carried out within the Parent in close cooperation with the Group originator entities involved and with UniCredit Bank AG, as preferred counterparty, as Arranger and potential Investment Banking. This process requires an economic feasibility study to assess the impact of transactions (according to their nature and aims), on regulatory and economic capital, on risk-adjusted profitability measures, on the level of liquidity and on the Group’s asset quality. If this initial phase produces a positive result, a technical and operational feasibility study is carried out to identify the assets to be securitised and define the structure of the transaction. Once technical feasibility has been established, the transaction is realised. Eventually it should be noted that "self-securitisations" and transactions in warehousing phase are not included in the quantitative tables of this paragraph (C. Securitisation transactions), as required by regulations. Developments of the period The Group makes limited use of this type of transactions. The amount of securitised loans59, net of the transactions in which the Group has acquired all the liabilities issued by the SPVs (the so-called self-securitisations), accounts for 1.55% of the Group’s credit portfolio. Self-securitisations in turn account for 4.67% of the loan portfolio. During 2021 the Group carried out 6 new transactions, of which 1 traditional and 5 synthetic ones: • Olympia - traditional (originator UniCredit S.p.A.); • Bond Italia 8 - Investimenti - synthetic (originator UniCredit S.p.A.); • Bond Italia 8 - Misto - synthetic (originator UniCredit S.p.A.); • Puglia Sviluppo 2021 - synthetic (originator UniCredit S.p.A.); • A.R.T.S. MidCap 2021 - synthetic (originator UniCredit S.p.A.); • A.R.T.S. Re.Mo. 2021 - synthetic (originator UniCredit S.p.A.). Details are given in the tables published in the “Annexes”, which also describe transactions, traditional and synthetic, carried out in previous financial years. The Group as sponsor The Group defines the role of sponsor as that performed by an entity, other than the transferor, which organises and administers a securitisation or asset-backed commercial paper structure in which financial assets are purchased from third parties. The Group acts as sponsor of asset backed commercial paper vehicles (i.e. commercial paper issuing conduits) set-up in order to allow customers the access to the securitisations’ market (multi-seller Customer conduits). Customer conduits require the formation and management of a bankruptcy-remote company (i.e., one that would be immune from any financial difficulties of the originator) which directly or indirectly buys receivables created by companies outside the Group. The receivables underlying these transactions are not bought directly by the conduit set up by the Group, but by a purchase company which in turn is wholly funded by the conduit by means of commercial paper or Medium Term Notes (MTN). 59 It refers to loans sold, also synthetically, but not derecognised from balance sheet. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 348 2021 Annual Report and Accounts · UniCredit In some circumstances purchase companies fund further SPVs which buy loan portfolio. The main purpose of these transactions is to give corporate customers access to the securitisation market and thus to lower funding costs than would be borne with direct funding. The conduits’ purchase of assets is financed by short-term commercial paper and medium-term note issues. Payment of interest and redemption of the securities issued by the conduit therefore depends on cash flow from the receivables purchased (credit risk) and the ability of the conduit to roll over or replace its market funding on maturity (liquidity risk). To guarantee prompt redemption of the securities issued by the conduit, these transactions are guaranteed by a standby letter of credit covering the risk of default both of specific assets and of the whole programme. The underwriters of issued securities also benefit from security provided by specific liquidity lines which the conduit may use if it unable to place new commercial paper to repay maturing paper, e.g. during market turmoil. These liquidity lines may not however be used to guarantee redemption of securities issued by the conduit in the event of default by the underlying assets. In its role as sponsor, the Group selects the asset portfolios purchased by conduits or purchase companies, provides administration of the assets and both standby letters of credit and liquidity lines and purchases commercial papers issued when required by market conditions. For these services the Group receives fees and also benefits from the spread between the return on the assets purchased by the SPV and the securities issued. These circumstances put the Group in the condition of having the power over the assets of the conduits and being at the same time exposed to the variability deriving from such assets. Therefore, the conduits sponsored by the Group have come within the perimeter of consolidation starting from 2007, in application of the conditions provided for in IFRS10 and previously by SIC12. In addition to the Customer Conduits, purchase companies may also be consolidated if the Group is exposed to the variability of yields deriving from funding provided directly or indirectly, through the conduit, and also has the power to manage the underlying assets. The Group as investor The Group also invests in structured credit products issued by special-purpose entities that are not consolidated pursuant to the accounting rules in force, insofar as such instruments do not bear most of the risk or receive most of the returns associated with the activity carried out by these special-purpose entities. With regard to these activities, the Group holds within the Global ABS portfolio exposures of securitisations established by third-parties such as RMBS, CMBS, CDO, CBO/CLO and other ABS. In line with the development of the financial markets and, specifically, the securitisation market, the Global ABS Portfolio was transformed from a separate portfolio in liquidation to strategic investment portfolio for the Group in 2011 and was integrated into the Markets Strategic Portfolio ("MSP"), managed with a view to generating a profit margin and creating an appreciable capital return through long-term investments in fixed-income securities. The development of client-related operations is also an integral part of MSP activities and includes actions to strengthen the customer base and support securitisations. This portfolio is subject to monitoring and reporting by the business and risk management functions. All activities relating to the MSP are carried out in conformity with established policies and procedures, specifically credit approval procedures. The analysis of investments in ABS focuses specifically on the following elements: • structural analysis of all internal and external risks inherent to a similar investment, e.g. Default Risk, Dilution Risk, Residual Value Risk, Servicer Risk, Interest Rate Risk, Liquidity Risk, Commingling Risk, Legal Risk, Adequacy of performance triggers, etc. These risks may differ according to the underlying assets class; • analysis of the underlying portfolio, including the analysis of all performance indicators significant for each underlying asset class; • cash flows/quantitative analysis/modelling; • credit rating and experience of the participants e.g. vendor/servicer - financial soundness, capacity and availability to service assets. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 348 2021 Annual Report and Accounts · UniCredit In some circumstances purchase companies fund further SPVs which buy loan portfolio. The main purpose of these transactions is to give corporate customers access to the securitisation market and thus to lower funding costs than would be borne with direct funding. The conduits’ purchase of assets is financed by short-term commercial paper and medium-term note issues. Payment of interest and redemption of the securities issued by the conduit therefore depends on cash flow from the receivables purchased (credit risk) and the ability of the conduit to roll over or replace its market funding on maturity (liquidity risk). To guarantee prompt redemption of the securities issued by the conduit, these transactions are guaranteed by a standby letter of credit covering the risk of default both of specific assets and of the whole programme. The underwriters of issued securities also benefit from security provided by specific liquidity lines which the conduit may use if it unable to place new commercial paper to repay maturing paper, e.g. during market turmoil. These liquidity lines may not however be used to guarantee redemption of securities issued by the conduit in the event of default by the underlying assets. In its role as sponsor, the Group selects the asset portfolios purchased by conduits or purchase companies, provides administration of the assets and both standby letters of credit and liquidity lines and purchases commercial papers issued when required by market conditions. For these services the Group receives fees and also benefits from the spread between the return on the assets purchased by the SPV and the securities issued. These circumstances put the Group in the condition of having the power over the assets of the conduits and being at the same time exposed to the variability deriving from such assets. Therefore, the conduits sponsored by the Group have come within the perimeter of consolidation starting from 2007, in application of the conditions provided for in IFRS10 and previously by SIC12. In addition to the Customer Conduits, purchase companies may also be consolidated if the Group is exposed to the variability of yields deriving from funding provided directly or indirectly, through the conduit, and also has the power to manage the underlying assets. The Group as investor The Group also invests in structured credit products issued by special-purpose entities that are not consolidated pursuant to the accounting rules in force, insofar as such instruments do not bear most of the risk or receive most of the returns associated with the activity carried out by these special-purpose entities. With regard to these activities, the Group holds within the Global ABS portfolio exposures of securitisations established by third-parties such as RMBS, CMBS, CDO, CBO/CLO and other ABS. In line with the development of the financial markets and, specifically, the securitisation market, the Global ABS Portfolio was transformed from a separate portfolio in liquidation to strategic investment portfolio for the Group in 2011 and was integrated into the Markets Strategic Portfolio ("MSP"), managed with a view to generating a profit margin and creating an appreciable capital return through long-term investments in fixed-income securities. The development of client-related operations is also an integral part of MSP activities and includes actions to strengthen the customer base and support securitisations. This portfolio is subject to monitoring and reporting by the business and risk management functions. All activities relating to the MSP are carried out in conformity with established policies and procedures, specifically credit approval procedures. The analysis of investments in ABS focuses specifically on the following elements: • structural analysis of all internal and external risks inherent to a similar investment, e.g. Default Risk, Dilution Risk, Residual Value Risk, Servicer Risk, Interest Rate Risk, Liquidity Risk, Commingling Risk, Legal Risk, Adequacy of performance triggers, etc. These risks may differ according to the underlying assets class; • analysis of the underlying portfolio, including the analysis of all performance indicators significant for each underlying asset class; • cash flows/quantitative analysis/modelling; • credit rating and experience of the participants e.g. vendor/servicer - financial soundness, capacity and availability to service assets. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 348 2021 Annual Report and Accounts · UniCredit In some circumstances purchase companies fund further SPVs which buy loan portfolio. The main purpose of these transactions is to give corporate customers access to the securitisation market and thus to lower funding costs than would be borne with direct funding. The conduits’ purchase of assets is financed by short-term commercial paper and medium-term note issues. Payment of interest and redemption of the securities issued by the conduit therefore depends on cash flow from the receivables purchased (credit risk) and the ability of the conduit to roll over or replace its market funding on maturity (liquidity risk). To guarantee prompt redemption of the securities issued by the conduit, these transactions are guaranteed by a standby letter of credit covering the risk of default both of specific assets and of the whole programme. The underwriters of issued securities also benefit from security provided by specific liquidity lines which the conduit may use if it unable to place new commercial paper to repay maturing paper, e.g. during market turmoil. These liquidity lines may not however be used to guarantee redemption of securities issued by the conduit in the event of default by the underlying assets. In its role as sponsor, the Group selects the asset portfolios purchased by conduits or purchase companies, provides administration of the assets and both standby letters of credit and liquidity lines and purchases commercial papers issued when required by market conditions. For these services the Group receives fees and also benefits from the spread between the return on the assets purchased by the SPV and the securities issued. These circumstances put the Group in the condition of having the power over the assets of the conduits and being at the same time exposed to the variability deriving from such assets. Therefore, the conduits sponsored by the Group have come within the perimeter of consolidation starting from 2007, in application of the conditions provided for in IFRS10 and previously by SIC12. In addition to the Customer Conduits, purchase companies may also be consolidated if the Group is exposed to the variability of yields deriving from funding provided directly or indirectly, through the conduit, and also has the power to manage the underlying assets. The Group as investor The Group also invests in structured credit products issued by special-purpose entities that are not consolidated pursuant to the accounting rules in force, insofar as such instruments do not bear most of the risk or receive most of the returns associated with the activity carried out by these special-purpose entities. With regard to these activities, the Group holds within the Global ABS portfolio exposures of securitisations established by third-parties such as RMBS, CMBS, CDO, CBO/CLO and other ABS. In line with the development of the financial markets and, specifically, the securitisation market, the Global ABS Portfolio was transformed from a separate portfolio in liquidation to strategic investment portfolio for the Group in 2011 and was integrated into the Markets Strategic Portfolio ("MSP"), managed with a view to generating a profit margin and creating an appreciable capital return through long-term investments in fixed-income securities. The development of client-related operations is also an integral part of MSP activities and includes actions to strengthen the customer base and support securitisations. This portfolio is subject to monitoring and reporting by the business and risk management functions. All activities relating to the MSP are carried out in conformity with established policies and procedures, specifically credit approval procedures. The analysis of investments in ABS focuses specifically on the following elements: • structural analysis of all internal and external risks inherent to a similar investment, e.g. Default Risk, Dilution Risk, Residual Value Risk, Servicer Risk, Interest Rate Risk, Liquidity Risk, Commingling Risk, Legal Risk, Adequacy of performance triggers, etc. These risks may differ according to the underlying assets class; • analysis of the underlying portfolio, including the analysis of all performance indicators significant for each underlying asset class; • cash flows/quantitative analysis/modelling; • credit rating and experience of the participants e.g. vendor/servicer - financial soundness, capacity and availability to service assets. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 348 2021 Annual Report and Accounts · UniCredit In some circumstances purchase companies fund further SPVs which buy loan portfolio. The main purpose of these transactions is to give corporate customers access to the securitisation market and thus to lower funding costs than would be borne with direct funding. The conduits’ purchase of assets is financed by short-term commercial paper and medium-term note issues. Payment of interest and redemption of the securities issued by the conduit therefore depends on cash flow from the receivables purchased (credit risk) and the ability of the conduit to roll over or replace its market funding on maturity (liquidity risk). To guarantee prompt redemption of the securities issued by the conduit, these transactions are guaranteed by a standby letter of credit covering the risk of default both of specific assets and of the whole programme. The underwriters of issued securities also benefit from security provided by specific liquidity lines which the conduit may use if it unable to place new commercial paper to repay maturing paper, e.g. during market turmoil. These liquidity lines may not however be used to guarantee redemption of securities issued by the conduit in the event of default by the underlying assets. In its role as sponsor, the Group selects the asset portfolios purchased by conduits or purchase companies, provides administration of the assets and both standby letters of credit and liquidity lines and purchases commercial papers issued when required by market conditions. For these services the Group receives fees and also benefits from the spread between the return on the assets purchased by the SPV and the securities issued. These circumstances put the Group in the condition of having the power over the assets of the conduits and being at the same time exposed to the variability deriving from such assets. Therefore, the conduits sponsored by the Group have come within the perimeter of consolidation starting from 2007, in application of the conditions provided for in IFRS10 and previously by SIC12. In addition to the Customer Conduits, purchase companies may also be consolidated if the Group is exposed to the variability of yields deriving from funding provided directly or indirectly, through the conduit, and also has the power to manage the underlying assets. The Group as investor The Group also invests in structured credit products issued by special-purpose entities that are not consolidated pursuant to the accounting rules in force, insofar as such instruments do not bear most of the risk or receive most of the returns associated with the activity carried out by these special-purpose entities. With regard to these activities, the Group holds within the Global ABS portfolio exposures of securitisations established by third-parties such as RMBS, CMBS, CDO, CBO/CLO and other ABS. In line with the development of the financial markets and, specifically, the securitisation market, the Global ABS Portfolio was transformed from a separate portfolio in liquidation to strategic investment portfolio for the Group in 2011 and was integrated into the Markets Strategic Portfolio ("MSP"), managed with a view to generating a profit margin and creating an appreciable capital return through long-term investments in fixed-income securities. The development of client-related operations is also an integral part of MSP activities and includes actions to strengthen the customer base and support securitisations. This portfolio is subject to monitoring and reporting by the business and risk management functions. All activities relating to the MSP are carried out in conformity with established policies and procedures, specifically credit approval procedures. The analysis of investments in ABS focuses specifically on the following elements: • structural analysis of all internal and external risks inherent to a similar investment, e.g. Default Risk, Dilution Risk, Residual Value Risk, Servicer Risk, Interest Rate Risk, Liquidity Risk, Commingling Risk, Legal Risk, Adequacy of performance triggers, etc. These risks may differ according to the underlying assets class; • analysis of the underlying portfolio, including the analysis of all performance indicators significant for each underlying asset class; • cash flows/quantitative analysis/modelling; • credit rating and experience of the participants e.g. vendor/servicer - financial soundness, capacity and availability to service assets. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 348 2021 Annual Report and Accounts · UniCredit In some circumstances purchase companies fund further SPVs which buy loan portfolio. The main purpose of these transactions is to give corporate customers access to the securitisation market and thus to lower funding costs than would be borne with direct funding. The conduits’ purchase of assets is financed by short-term commercial paper and medium-term note issues. Payment of interest and redemption of the securities issued by the conduit therefore depends on cash flow from the receivables purchased (credit risk) and the ability of the conduit to roll over or replace its market funding on maturity (liquidity risk). To guarantee prompt redemption of the securities issued by the conduit, these transactions are guaranteed by a standby letter of credit covering the risk of default both of specific assets and of the whole programme. The underwriters of issued securities also benefit from security provided by specific liquidity lines which the conduit may use if it unable to place new commercial paper to repay maturing paper, e.g. during market turmoil. These liquidity lines may not however be used to guarantee redemption of securities issued by the conduit in the event of default by the underlying assets. In its role as sponsor, the Group selects the asset portfolios purchased by conduits or purchase companies, provides administration of the assets and both standby letters of credit and liquidity lines and purchases commercial papers issued when required by market conditions. For these services the Group receives fees and also benefits from the spread between the return on the assets purchased by the SPV and the securities issued. These circumstances put the Group in the condition of having the power over the assets of the conduits and being at the same time exposed to the variability deriving from such assets. Therefore, the conduits sponsored by the Group have come within the perimeter of consolidation starting from 2007, in application of the conditions provided for in IFRS10 and previously by SIC12. In addition to the Customer Conduits, purchase companies may also be consolidated if the Group is exposed to the variability of yields deriving from funding provided directly or indirectly, through the conduit, and also has the power to manage the underlying assets. The Group as investor The Group also invests in structured credit products issued by special-purpose entities that are not consolidated pursuant to the accounting rules in force, insofar as such instruments do not bear most of the risk or receive most of the returns associated with the activity carried out by these special-purpose entities. With regard to these activities, the Group holds within the Global ABS portfolio exposures of securitisations established by third-parties such as RMBS, CMBS, CDO, CBO/CLO and other ABS. In line with the development of the financial markets and, specifically, the securitisation market, the Global ABS Portfolio was transformed from a separate portfolio in liquidation to strategic investment portfolio for the Group in 2011 and was integrated into the Markets Strategic Portfolio ("MSP"), managed with a view to generating a profit margin and creating an appreciable capital return through long-term investments in fixed-income securities. The development of client-related operations is also an integral part of MSP activities and includes actions to strengthen the customer base and support securitisations. This portfolio is subject to monitoring and reporting by the business and risk management functions. All activities relating to the MSP are carried out in conformity with established policies and procedures, specifically credit approval procedures. The analysis of investments in ABS focuses specifically on the following elements: • structural analysis of all internal and external risks inherent to a similar investment, e.g. Default Risk, Dilution Risk, Residual Value Risk, Servicer Risk, Interest Rate Risk, Liquidity Risk, Commingling Risk, Legal Risk, Adequacy of performance triggers, etc. These risks may differ according to the underlying assets class; • analysis of the underlying portfolio, including the analysis of all performance indicators significant for each underlying asset class; • cash flows/quantitative analysis/modelling; • credit rating and experience of the participants e.g. vendor/servicer - financial soundness, capacity and availability to service assets. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 349 Quantitative information The tables below do not include information on the so-called “self-securitisations”, i.e. securitisation transactions in which the Group has acquired all the liabilities issued by the SPVs, and transactions in warehousing phase. C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised 1,614 - 54 - 21 - A.1 Residential mortgages 778 - 3 - - - A.2 Loans to SME 364 - 50 - 21 - A.3 Leasing 472 - 1 - - - B. Partially derecognised - - 9 - 9 7 B.1 Loans to SME - - 9 - 9 7 C. Not-derecognised 4,125 - 243 - 861 119 C.1 Residential mortgages 742 - 151 - 565 43 C.2 Loans to SME 3,383 - 92 - 255 76 C.3 Leasing - - - - 41 - Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - A.3 Leasing - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - C.3 Leasing - - - - - - continued C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - A.3 Leasing - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - C.3 Leasing - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 349 Quantitative information The tables below do not include information on the so-called “self-securitisations”, i.e. securitisation transactions in which the Group has acquired all the liabilities issued by the SPVs, and transactions in warehousing phase. C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised 1,614 - 54 - 21 - A.1 Residential mortgages 778 - 3 - - - A.2 Loans to SME 364 - 50 - 21 - A.3 Leasing 472 - 1 - - - B. Partially derecognised - - 9 - 9 7 B.1 Loans to SME - - 9 - 9 7 C. Not-derecognised 4,125 - 243 - 861 119 C.1 Residential mortgages 742 - 151 - 565 43 C.2 Loans to SME 3,383 - 92 - 255 76 C.3 Leasing - - - - 41 - Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - A.3 Leasing - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - C.3 Leasing - - - - - - continued C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - A.3 Leasing - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - C.3 Leasing - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 349 Quantitative information The tables below do not include information on the so-called “self-securitisations”, i.e. securitisation transactions in which the Group has acquired all the liabilities issued by the SPVs, and transactions in warehousing phase. C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised 1,614 - 54 - 21 - A.1 Residential mortgages 778 - 3 - - - A.2 Loans to SME 364 - 50 - 21 - A.3 Leasing 472 - 1 - - - B. Partially derecognised - - 9 - 9 7 B.1 Loans to SME - - 9 - 9 7 C. Not-derecognised 4,125 - 243 - 861 119 C.1 Residential mortgages 742 - 151 - 565 43 C.2 Loans to SME 3,383 - 92 - 255 76 C.3 Leasing - - - - 41 - Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - A.3 Leasing - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - C.3 Leasing - - - - - - continued C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - A.3 Leasing - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - C.3 Leasing - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 349 Quantitative information The tables below do not include information on the so-called “self-securitisations”, i.e. securitisation transactions in which the Group has acquired all the liabilities issued by the SPVs, and transactions in warehousing phase. C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised 1,614 - 54 - 21 - A.1 Residential mortgages 778 - 3 - - - A.2 Loans to SME 364 - 50 - 21 - A.3 Leasing 472 - 1 - - - B. Partially derecognised - - 9 - 9 7 B.1 Loans to SME - - 9 - 9 7 C. Not-derecognised 4,125 - 243 - 861 119 C.1 Residential mortgages 742 - 151 - 565 43 C.2 Loans to SME 3,383 - 92 - 255 76 C.3 Leasing - - - - 41 - Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - A.3 Leasing - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - C.3 Leasing - - - - - - continued C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - A.3 Leasing - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - C.3 Leasing - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 349 Quantitative information The tables below do not include information on the so-called “self-securitisations”, i.e. securitisation transactions in which the Group has acquired all the liabilities issued by the SPVs, and transactions in warehousing phase. C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised 1,614 - 54 - 21 - A.1 Residential mortgages 778 - 3 - - - A.2 Loans to SME 364 - 50 - 21 - A.3 Leasing 472 - 1 - - - B. Partially derecognised - - 9 - 9 7 B.1 Loans to SME - - 9 - 9 7 C. Not-derecognised 4,125 - 243 - 861 119 C.1 Residential mortgages 742 - 151 - 565 43 C.2 Loans to SME 3,383 - 92 - 255 76 C.3 Leasing - - - - 41 - Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - A.3 Leasing - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - C.3 Leasing - - - - - - continued C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - A.3 Leasing - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - C.3 Leasing - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 350 2021 Annual Report and Accounts · UniCredit With reference to transactions with own underlying assets it should be noted that the decrease in balance-sheet net exposures relating to transactions not derecognised and partially derecognised to €1,205 million as at December 2021 from €1,480 million as at December 2020 was due to the termination of the securitisation Heliconus and to the natural development of the other transactions. Moreover, the increase in balance-sheet net exposures concerning synthetic transactions from €2,516 million in December 2020 to €4,041 million in December 2021 was due to five new transactions called Bond Italia 8 - Investimenti, Bond Italia 8 - Misto, Puglia Sviluppo 2021, A.R.T.S. MidCap 2021 and A.R.T.S. Re.Mo. 2021 and to the natural development of the other transactions. Finally, it should be noted that: • the net balance-sheet exposure totally derecognised refers to the securitisations of FINO Project, to the traditional securitisations Prisma, Relais 2020 and to the new traditional securitisation Olympia, for which see the information provided in the tables published in the “Annexes”; • the net balance-sheet exposure partially derecognised refers to the transaction Pillarstone Italy - Premuda. C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages 1,427 - 20 - - - A.2 Commercial mortgages 25 - 27 - - - A.3 Loans to SME(*) 3,393 - 4 - 29 - A.4 Leasing 12 - - - - - A.5 Consumer loans 3,740 - - - - - A.6 Other retail exposures 354 - - - 2 - A.7 Trade receivables(*) 2,414 - - - 2 - Note: (*) Included exposures of subsidiaries subject to consolidation, but not belonging to the banking group. Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages - - - - - - A.2 Commercial mortgages - - - - - - A.3 Loans to SME(*) - - - - - - A.4 Leasing - - - - - - A.5 Consumer loans - - - - - - A.6 Other retail exposures - - - - - - A.7 Trade receivables(*) - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 350 2021 Annual Report and Accounts · UniCredit With reference to transactions with own underlying assets it should be noted that the decrease in balance-sheet net exposures relating to transactions not derecognised and partially derecognised to €1,205 million as at December 2021 from €1,480 million as at December 2020 was due to the termination of the securitisation Heliconus and to the natural development of the other transactions. Moreover, the increase in balance-sheet net exposures concerning synthetic transactions from €2,516 million in December 2020 to €4,041 million in December 2021 was due to five new transactions called Bond Italia 8 - Investimenti, Bond Italia 8 - Misto, Puglia Sviluppo 2021, A.R.T.S. MidCap 2021 and A.R.T.S. Re.Mo. 2021 and to the natural development of the other transactions. Finally, it should be noted that: • the net balance-sheet exposure totally derecognised refers to the securitisations of FINO Project, to the traditional securitisations Prisma, Relais 2020 and to the new traditional securitisation Olympia, for which see the information provided in the tables published in the “Annexes”; • the net balance-sheet exposure partially derecognised refers to the transaction Pillarstone Italy - Premuda. C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages 1,427 - 20 - - - A.2 Commercial mortgages 25 - 27 - - - A.3 Loans to SME(*) 3,393 - 4 - 29 - A.4 Leasing 12 - - - - - A.5 Consumer loans 3,740 - - - - - A.6 Other retail exposures 354 - - - 2 - A.7 Trade receivables(*) 2,414 - - - 2 - Note: (*) Included exposures of subsidiaries subject to consolidation, but not belonging to the banking group. Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages - - - - - - A.2 Commercial mortgages - - - - - - A.3 Loans to SME(*) - - - - - - A.4 Leasing - - - - - - A.5 Consumer loans - - - - - - A.6 Other retail exposures - - - - - - A.7 Trade receivables(*) - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 350 2021 Annual Report and Accounts · UniCredit With reference to transactions with own underlying assets it should be noted that the decrease in balance-sheet net exposures relating to transactions not derecognised and partially derecognised to €1,205 million as at December 2021 from €1,480 million as at December 2020 was due to the termination of the securitisation Heliconus and to the natural development of the other transactions. Moreover, the increase in balance-sheet net exposures concerning synthetic transactions from €2,516 million in December 2020 to €4,041 million in December 2021 was due to five new transactions called Bond Italia 8 - Investimenti, Bond Italia 8 - Misto, Puglia Sviluppo 2021, A.R.T.S. MidCap 2021 and A.R.T.S. Re.Mo. 2021 and to the natural development of the other transactions. Finally, it should be noted that: • the net balance-sheet exposure totally derecognised refers to the securitisations of FINO Project, to the traditional securitisations Prisma, Relais 2020 and to the new traditional securitisation Olympia, for which see the information provided in the tables published in the “Annexes”; • the net balance-sheet exposure partially derecognised refers to the transaction Pillarstone Italy - Premuda. C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages 1,427 - 20 - - - A.2 Commercial mortgages 25 - 27 - - - A.3 Loans to SME(*) 3,393 - 4 - 29 - A.4 Leasing 12 - - - - - A.5 Consumer loans 3,740 - - - - - A.6 Other retail exposures 354 - - - 2 - A.7 Trade receivables(*) 2,414 - - - 2 - Note: (*) Included exposures of subsidiaries subject to consolidation, but not belonging to the banking group. Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages - - - - - - A.2 Commercial mortgages - - - - - - A.3 Loans to SME(*) - - - - - - A.4 Leasing - - - - - - A.5 Consumer loans - - - - - - A.6 Other retail exposures - - - - - - A.7 Trade receivables(*) - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 350 2021 Annual Report and Accounts · UniCredit With reference to transactions with own underlying assets it should be noted that the decrease in balance-sheet net exposures relating to transactions not derecognised and partially derecognised to €1,205 million as at December 2021 from €1,480 million as at December 2020 was due to the termination of the securitisation Heliconus and to the natural development of the other transactions. Moreover, the increase in balance-sheet net exposures concerning synthetic transactions from €2,516 million in December 2020 to €4,041 million in December 2021 was due to five new transactions called Bond Italia 8 - Investimenti, Bond Italia 8 - Misto, Puglia Sviluppo 2021, A.R.T.S. MidCap 2021 and A.R.T.S. Re.Mo. 2021 and to the natural development of the other transactions. Finally, it should be noted that: • the net balance-sheet exposure totally derecognised refers to the securitisations of FINO Project, to the traditional securitisations Prisma, Relais 2020 and to the new traditional securitisation Olympia, for which see the information provided in the tables published in the “Annexes”; • the net balance-sheet exposure partially derecognised refers to the transaction Pillarstone Italy - Premuda. C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages 1,427 - 20 - - - A.2 Commercial mortgages 25 - 27 - - - A.3 Loans to SME(*) 3,393 - 4 - 29 - A.4 Leasing 12 - - - - - A.5 Consumer loans 3,740 - - - - - A.6 Other retail exposures 354 - - - 2 - A.7 Trade receivables(*) 2,414 - - - 2 - Note: (*) Included exposures of subsidiaries subject to consolidation, but not belonging to the banking group. Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages - - - - - - A.2 Commercial mortgages - - - - - - A.3 Loans to SME(*) - - - - - - A.4 Leasing - - - - - - A.5 Consumer loans - - - - - - A.6 Other retail exposures - - - - - - A.7 Trade receivables(*) - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 350 2021 Annual Report and Accounts · UniCredit With reference to transactions with own underlying assets it should be noted that the decrease in balance-sheet net exposures relating to transactions not derecognised and partially derecognised to €1,205 million as at December 2021 from €1,480 million as at December 2020 was due to the termination of the securitisation Heliconus and to the natural development of the other transactions. Moreover, the increase in balance-sheet net exposures concerning synthetic transactions from €2,516 million in December 2020 to €4,041 million in December 2021 was due to five new transactions called Bond Italia 8 - Investimenti, Bond Italia 8 - Misto, Puglia Sviluppo 2021, A.R.T.S. MidCap 2021 and A.R.T.S. Re.Mo. 2021 and to the natural development of the other transactions. Finally, it should be noted that: • the net balance-sheet exposure totally derecognised refers to the securitisations of FINO Project, to the traditional securitisations Prisma, Relais 2020 and to the new traditional securitisation Olympia, for which see the information provided in the tables published in the “Annexes”; • the net balance-sheet exposure partially derecognised refers to the transaction Pillarstone Italy - Premuda. C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS CARRYING VALUE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages 1,427 - 20 - - - A.2 Commercial mortgages 25 - 27 - - - A.3 Loans to SME(*) 3,393 - 4 - 29 - A.4 Leasing 12 - - - - - A.5 Consumer loans 3,740 - - - - - A.6 Other retail exposures 354 - - - 2 - A.7 Trade receivables(*) 2,414 - - - 2 - Note: (*) Included exposures of subsidiaries subject to consolidation, but not belonging to the banking group. Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages - - - - - - A.2 Commercial mortgages - - - - - - A.3 Loans to SME(*) - - - - - - A.4 Leasing - - - - - - A.5 Consumer loans - - - - - - A.6 Other retail exposures - - - - - - A.7 Trade receivables(*) - - - - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 351 continued C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages - - - - - - A.2 Commercial mortgages - - - - - - A.3 Loans to SME(*) 367 - - - - - A.4 Leasing 1,181 - - - - - A.5 Consumer loans 185 - - - - - A.6 Other retail exposures - - - - - A.7 Trade receivables(*) 2,210 - 38 - - - The transactions with third-party underlying assets are those in which the Group acts as sponsor, lender or investor. With reference to transactions in which the Group acts as sponsor, the total amount of net exposure is equal to €5,505 million (€6,070 million as at 31 December 2020), broken down into asset backed commercial paper for €1,936 million and undrawn credit lines for €3,569 million. It should be noted that the lines of credit shown are the difference between total credit lines granted and the amount of commercial paper underwritten by the Group. This figure is the additional risk exposure incurred by the Group in addition to the underwritten commercial paper. With reference to transactions in which the Group acts as investor, refer to the subsequent tables ‘Exposures toward other consolidated SPVs’ and “C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation” that shows the exposure of the Group toward these SPVs. With reference to sponsor exposures the following table provides information about exposures held toward consolidated conduits in which the Group acts as sponsor. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 351 continued C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages - - - - - - A.2 Commercial mortgages - - - - - - A.3 Loans to SME(*) 367 - - - - - A.4 Leasing 1,181 - - - - - A.5 Consumer loans 185 - - - - - A.6 Other retail exposures - - - - - A.7 Trade receivables(*) 2,210 - 38 - - - The transactions with third-party underlying assets are those in which the Group acts as sponsor, lender or investor. With reference to transactions in which the Group acts as sponsor, the total amount of net exposure is equal to €5,505 million (€6,070 million as at 31 December 2020), broken down into asset backed commercial paper for €1,936 million and undrawn credit lines for €3,569 million. It should be noted that the lines of credit shown are the difference between total credit lines granted and the amount of commercial paper underwritten by the Group. This figure is the additional risk exposure incurred by the Group in addition to the underwritten commercial paper. With reference to transactions in which the Group acts as investor, refer to the subsequent tables ‘Exposures toward other consolidated SPVs’ and “C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation” that shows the exposure of the Group toward these SPVs. With reference to sponsor exposures the following table provides information about exposures held toward consolidated conduits in which the Group acts as sponsor. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 351 continued C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages - - - - - - A.2 Commercial mortgages - - - - - - A.3 Loans to SME(*) 367 - - - - - A.4 Leasing 1,181 - - - - - A.5 Consumer loans 185 - - - - - A.6 Other retail exposures - - - - - A.7 Trade receivables(*) 2,210 - 38 - - - The transactions with third-party underlying assets are those in which the Group acts as sponsor, lender or investor. With reference to transactions in which the Group acts as sponsor, the total amount of net exposure is equal to €5,505 million (€6,070 million as at 31 December 2020), broken down into asset backed commercial paper for €1,936 million and undrawn credit lines for €3,569 million. It should be noted that the lines of credit shown are the difference between total credit lines granted and the amount of commercial paper underwritten by the Group. This figure is the additional risk exposure incurred by the Group in addition to the underwritten commercial paper. With reference to transactions in which the Group acts as investor, refer to the subsequent tables ‘Exposures toward other consolidated SPVs’ and “C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation” that shows the exposure of the Group toward these SPVs. With reference to sponsor exposures the following table provides information about exposures held toward consolidated conduits in which the Group acts as sponsor. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 351 continued C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages - - - - - - A.2 Commercial mortgages - - - - - - A.3 Loans to SME(*) 367 - - - - - A.4 Leasing 1,181 - - - - - A.5 Consumer loans 185 - - - - - A.6 Other retail exposures - - - - - A.7 Trade receivables(*) 2,210 - 38 - - - The transactions with third-party underlying assets are those in which the Group acts as sponsor, lender or investor. With reference to transactions in which the Group acts as sponsor, the total amount of net exposure is equal to €5,505 million (€6,070 million as at 31 December 2020), broken down into asset backed commercial paper for €1,936 million and undrawn credit lines for €3,569 million. It should be noted that the lines of credit shown are the difference between total credit lines granted and the amount of commercial paper underwritten by the Group. This figure is the additional risk exposure incurred by the Group in addition to the underwritten commercial paper. With reference to transactions in which the Group acts as investor, refer to the subsequent tables ‘Exposures toward other consolidated SPVs’ and “C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation” that shows the exposure of the Group toward these SPVs. With reference to sponsor exposures the following table provides information about exposures held toward consolidated conduits in which the Group acts as sponsor. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 351 continued C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS NET EXPOSURE WRITE-DOWNS/ WRITE-BACKS A.1 Residential mortgages - - - - - - A.2 Commercial mortgages - - - - - - A.3 Loans to SME(*) 367 - - - - - A.4 Leasing 1,181 - - - - - A.5 Consumer loans 185 - - - - - A.6 Other retail exposures - - - - - A.7 Trade receivables(*) 2,210 - 38 - - - The transactions with third-party underlying assets are those in which the Group acts as sponsor, lender or investor. With reference to transactions in which the Group acts as sponsor, the total amount of net exposure is equal to €5,505 million (€6,070 million as at 31 December 2020), broken down into asset backed commercial paper for €1,936 million and undrawn credit lines for €3,569 million. It should be noted that the lines of credit shown are the difference between total credit lines granted and the amount of commercial paper underwritten by the Group. This figure is the additional risk exposure incurred by the Group in addition to the underwritten commercial paper. With reference to transactions in which the Group acts as investor, refer to the subsequent tables ‘Exposures toward other consolidated SPVs’ and “C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation” that shows the exposure of the Group toward these SPVs. With reference to sponsor exposures the following table provides information about exposures held toward consolidated conduits in which the Group acts as sponsor. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 352 2021 Annual Report and Accounts · UniCredit Exposures sponsored by the Group (€ million) AMOUNTS AS AT 12.31.2021 Asset Backed Commercial Paper 1,936 - Arabella Finance DAC 1,936 - Elektra Purchase No. 28 DAC - - Elektra Purchase No. 31 DAC - - Elektra Purchase No. 32 S.A. - Compartment 1 - - Elektra Purchase No. 33 DAC - - Elektra Purchase No. 36 DAC - - Elektra Purchase No. 37 DAC - - Elektra Purchase No. 38 DAC - - Elektra Purchase No. 43 DAC - - Elektra Purchase No. 46 DAC - - Elektra Purchase No. 54 DAC - - Elektra Purchase No. 56 DAC - - Elektra Purchase No. 57 DAC - - Elektra Purchase No. 64 DAC - - Elektra Purchase No. 69 DAC - - Elektra Purchase No. 71 DAC - - Elektra Purchase No. 74 DAC - - Elektra Purchase No. 911 Ltd - Credit facilities 3,569 - Arabella Finance DAC - - Elektra Purchase No. 28 DAC 183 - Elektra Purchase No. 31 DAC 90 - Elektra Purchase No. 32 S.A. - Compartment 1 306 - Elektra Purchase No. 33 DAC 270 - Elektra Purchase No. 36 DAC 510 - Elektra Purchase No. 37 DAC 116 - Elektra Purchase No. 38 DAC 181 - Elektra Purchase No. 43 DAC 255 - Elektra Purchase No. 46 DAC 92 - Elektra Purchase No. 54 DAC 46 - Elektra Purchase No. 56 DAC 540 - Elektra Purchase No. 57 DAC 148 - Elektra Purchase No. 64 DAC 102 - Elektra Purchase No. 69 DAC 46 - Elektra Purchase No. 71 DAC 117 - Elektra Purchase No. 74 DAC 286 - Elektra Purchase No. 911 Ltd 281 The lines of credit shown are the difference between total credit lines granted and the amount of commercial paper underwritten by the Group. This figure is the additional risk exposure incurred by the Group in addition to the underwritten commercial paper. Moreover, it should be noted that as at 31 December 2021 there were 4 SPVs of third parties securitisations, Ice Creek Pool No.1 DAC, Ice Creek Pool No.2 DAC, Ice Creek Pool No.3 DAC and Ice Creek Pool No.5 DAC where the Group acts as lender or investor, and subject to consolidation. Exposures to these vehicles amount to €701 million of cash exposures and €391 million of credit lines. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 352 2021 Annual Report and Accounts · UniCredit Exposures sponsored by the Group (€ million) AMOUNTS AS AT 12.31.2021 Asset Backed Commercial Paper 1,936 - Arabella Finance DAC 1,936 - Elektra Purchase No. 28 DAC - - Elektra Purchase No. 31 DAC - - Elektra Purchase No. 32 S.A. - Compartment 1 - - Elektra Purchase No. 33 DAC - - Elektra Purchase No. 36 DAC - - Elektra Purchase No. 37 DAC - - Elektra Purchase No. 38 DAC - - Elektra Purchase No. 43 DAC - - Elektra Purchase No. 46 DAC - - Elektra Purchase No. 54 DAC - - Elektra Purchase No. 56 DAC - - Elektra Purchase No. 57 DAC - - Elektra Purchase No. 64 DAC - - Elektra Purchase No. 69 DAC - - Elektra Purchase No. 71 DAC - - Elektra Purchase No. 74 DAC - - Elektra Purchase No. 911 Ltd - Credit facilities 3,569 - Arabella Finance DAC - - Elektra Purchase No. 28 DAC 183 - Elektra Purchase No. 31 DAC 90 - Elektra Purchase No. 32 S.A. - Compartment 1 306 - Elektra Purchase No. 33 DAC 270 - Elektra Purchase No. 36 DAC 510 - Elektra Purchase No. 37 DAC 116 - Elektra Purchase No. 38 DAC 181 - Elektra Purchase No. 43 DAC 255 - Elektra Purchase No. 46 DAC 92 - Elektra Purchase No. 54 DAC 46 - Elektra Purchase No. 56 DAC 540 - Elektra Purchase No. 57 DAC 148 - Elektra Purchase No. 64 DAC 102 - Elektra Purchase No. 69 DAC 46 - Elektra Purchase No. 71 DAC 117 - Elektra Purchase No. 74 DAC 286 - Elektra Purchase No. 911 Ltd 281 The lines of credit shown are the difference between total credit lines granted and the amount of commercial paper underwritten by the Group. This figure is the additional risk exposure incurred by the Group in addition to the underwritten commercial paper. Moreover, it should be noted that as at 31 December 2021 there were 4 SPVs of third parties securitisations, Ice Creek Pool No.1 DAC, Ice Creek Pool No.2 DAC, Ice Creek Pool No.3 DAC and Ice Creek Pool No.5 DAC where the Group acts as lender or investor, and subject to consolidation. Exposures to these vehicles amount to €701 million of cash exposures and €391 million of credit lines. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 352 2021 Annual Report and Accounts · UniCredit Exposures sponsored by the Group (€ million) AMOUNTS AS AT 12.31.2021 Asset Backed Commercial Paper 1,936 - Arabella Finance DAC 1,936 - Elektra Purchase No. 28 DAC - - Elektra Purchase No. 31 DAC - - Elektra Purchase No. 32 S.A. - Compartment 1 - - Elektra Purchase No. 33 DAC - - Elektra Purchase No. 36 DAC - - Elektra Purchase No. 37 DAC - - Elektra Purchase No. 38 DAC - - Elektra Purchase No. 43 DAC - - Elektra Purchase No. 46 DAC - - Elektra Purchase No. 54 DAC - - Elektra Purchase No. 56 DAC - - Elektra Purchase No. 57 DAC - - Elektra Purchase No. 64 DAC - - Elektra Purchase No. 69 DAC - - Elektra Purchase No. 71 DAC - - Elektra Purchase No. 74 DAC - - Elektra Purchase No. 911 Ltd - Credit facilities 3,569 - Arabella Finance DAC - - Elektra Purchase No. 28 DAC 183 - Elektra Purchase No. 31 DAC 90 - Elektra Purchase No. 32 S.A. - Compartment 1 306 - Elektra Purchase No. 33 DAC 270 - Elektra Purchase No. 36 DAC 510 - Elektra Purchase No. 37 DAC 116 - Elektra Purchase No. 38 DAC 181 - Elektra Purchase No. 43 DAC 255 - Elektra Purchase No. 46 DAC 92 - Elektra Purchase No. 54 DAC 46 - Elektra Purchase No. 56 DAC 540 - Elektra Purchase No. 57 DAC 148 - Elektra Purchase No. 64 DAC 102 - Elektra Purchase No. 69 DAC 46 - Elektra Purchase No. 71 DAC 117 - Elektra Purchase No. 74 DAC 286 - Elektra Purchase No. 911 Ltd 281 The lines of credit shown are the difference between total credit lines granted and the amount of commercial paper underwritten by the Group. This figure is the additional risk exposure incurred by the Group in addition to the underwritten commercial paper. Moreover, it should be noted that as at 31 December 2021 there were 4 SPVs of third parties securitisations, Ice Creek Pool No.1 DAC, Ice Creek Pool No.2 DAC, Ice Creek Pool No.3 DAC and Ice Creek Pool No.5 DAC where the Group acts as lender or investor, and subject to consolidation. Exposures to these vehicles amount to €701 million of cash exposures and €391 million of credit lines. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 352 2021 Annual Report and Accounts · UniCredit Exposures sponsored by the Group (€ million) AMOUNTS AS AT 12.31.2021 Asset Backed Commercial Paper 1,936 - Arabella Finance DAC 1,936 - Elektra Purchase No. 28 DAC - - Elektra Purchase No. 31 DAC - - Elektra Purchase No. 32 S.A. - Compartment 1 - - Elektra Purchase No. 33 DAC - - Elektra Purchase No. 36 DAC - - Elektra Purchase No. 37 DAC - - Elektra Purchase No. 38 DAC - - Elektra Purchase No. 43 DAC - - Elektra Purchase No. 46 DAC - - Elektra Purchase No. 54 DAC - - Elektra Purchase No. 56 DAC - - Elektra Purchase No. 57 DAC - - Elektra Purchase No. 64 DAC - - Elektra Purchase No. 69 DAC - - Elektra Purchase No. 71 DAC - - Elektra Purchase No. 74 DAC - - Elektra Purchase No. 911 Ltd - Credit facilities 3,569 - Arabella Finance DAC - - Elektra Purchase No. 28 DAC 183 - Elektra Purchase No. 31 DAC 90 - Elektra Purchase No. 32 S.A. - Compartment 1 306 - Elektra Purchase No. 33 DAC 270 - Elektra Purchase No. 36 DAC 510 - Elektra Purchase No. 37 DAC 116 - Elektra Purchase No. 38 DAC 181 - Elektra Purchase No. 43 DAC 255 - Elektra Purchase No. 46 DAC 92 - Elektra Purchase No. 54 DAC 46 - Elektra Purchase No. 56 DAC 540 - Elektra Purchase No. 57 DAC 148 - Elektra Purchase No. 64 DAC 102 - Elektra Purchase No. 69 DAC 46 - Elektra Purchase No. 71 DAC 117 - Elektra Purchase No. 74 DAC 286 - Elektra Purchase No. 911 Ltd 281 The lines of credit shown are the difference between total credit lines granted and the amount of commercial paper underwritten by the Group. This figure is the additional risk exposure incurred by the Group in addition to the underwritten commercial paper. Moreover, it should be noted that as at 31 December 2021 there were 4 SPVs of third parties securitisations, Ice Creek Pool No.1 DAC, Ice Creek Pool No.2 DAC, Ice Creek Pool No.3 DAC and Ice Creek Pool No.5 DAC where the Group acts as lender or investor, and subject to consolidation. Exposures to these vehicles amount to €701 million of cash exposures and €391 million of credit lines. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 352 2021 Annual Report and Accounts · UniCredit Exposures sponsored by the Group (€ million) AMOUNTS AS AT 12.31.2021 Asset Backed Commercial Paper 1,936 - Arabella Finance DAC 1,936 - Elektra Purchase No. 28 DAC - - Elektra Purchase No. 31 DAC - - Elektra Purchase No. 32 S.A. - Compartment 1 - - Elektra Purchase No. 33 DAC - - Elektra Purchase No. 36 DAC - - Elektra Purchase No. 37 DAC - - Elektra Purchase No. 38 DAC - - Elektra Purchase No. 43 DAC - - Elektra Purchase No. 46 DAC - - Elektra Purchase No. 54 DAC - - Elektra Purchase No. 56 DAC - - Elektra Purchase No. 57 DAC - - Elektra Purchase No. 64 DAC - - Elektra Purchase No. 69 DAC - - Elektra Purchase No. 71 DAC - - Elektra Purchase No. 74 DAC - - Elektra Purchase No. 911 Ltd - Credit facilities 3,569 - Arabella Finance DAC - - Elektra Purchase No. 28 DAC 183 - Elektra Purchase No. 31 DAC 90 - Elektra Purchase No. 32 S.A. - Compartment 1 306 - Elektra Purchase No. 33 DAC 270 - Elektra Purchase No. 36 DAC 510 - Elektra Purchase No. 37 DAC 116 - Elektra Purchase No. 38 DAC 181 - Elektra Purchase No. 43 DAC 255 - Elektra Purchase No. 46 DAC 92 - Elektra Purchase No. 54 DAC 46 - Elektra Purchase No. 56 DAC 540 - Elektra Purchase No. 57 DAC 148 - Elektra Purchase No. 64 DAC 102 - Elektra Purchase No. 69 DAC 46 - Elektra Purchase No. 71 DAC 117 - Elektra Purchase No. 74 DAC 286 - Elektra Purchase No. 911 Ltd 281 The lines of credit shown are the difference between total credit lines granted and the amount of commercial paper underwritten by the Group. This figure is the additional risk exposure incurred by the Group in addition to the underwritten commercial paper. Moreover, it should be noted that as at 31 December 2021 there were 4 SPVs of third parties securitisations, Ice Creek Pool No.1 DAC, Ice Creek Pool No.2 DAC, Ice Creek Pool No.3 DAC and Ice Creek Pool No.5 DAC where the Group acts as lender or investor, and subject to consolidation. Exposures to these vehicles amount to €701 million of cash exposures and €391 million of credit lines. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 353 C.3 SPVs for securitisations (€ million) NAME OF SECURITISATION/NAME OF VEHICLE COUNTRY OF INCORPORATION CONSOLIDATION ASSETS LIABILITIES LOANS AND RECEIVEBLES DEBT SECURITIES OTHERS SENIOR MEZZANINE JUNIOR Arabella Finance DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 4,838 - 14 4,848 - - Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Piazzetta Monte 1 - 37121 Verona Y 398 - 49 270 74 67 Cordusio RMBS - UCFin S.r.l Piazzetta Monte 1 - 37121 Verona Y 261 - 21 69 148 13 Cordusio RMBS Securitisation S.r.l. Piazzetta Monte 1 - 37121 Verona Y 448 - 17 177 236 2 Elektra Purchase No. 28 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 179 - - 179 - - Elektra Purchase No. 31 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y - - - - - - Elektra Purchase No. 32 S.A. - Compartment 1 52-54 avenue du X Septembre, L-2550 Luxembourg Y 229 - - 229 - - Elektra Purchase No. 33 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 165 - - 165 - - Elektra Purchase No. 36 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 550 - - 550 - - Elektra Purchase No. 37 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 112 - - 112 - - Elektra Purchase No. 38 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 167 - - 167 - - Elektra Purchase No. 43 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 231 - - 231 - - Elektra Purchase No. 46 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 78 - - 78 - - Elektra Purchase No. 54 DAC Haddington Road, 1-2 Victoria Buildings, D04 XN32 Dublin Y 45 - - 45 - - Elektra Purchase No. 56 DAC 1-2 Victoria Buildings, 4 Dublin Y 516 - - 516 - - Elektra Purchase No. 57 DAC 1-2 Victoria Buildings, 4 Dublin Y 133 - 12 145 - - Elektra Purchase No. 64 DAC Haddington Road; 1-2 Victoria Building; 4; Dublin Y 100 - - 100 - - Elektra Purchase No. 69 DAC Haddington Road; 1-2 Victoria Buildings; 4; Dublin Y 33 - - 33 - - Elektra Purchase No. 71 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Y 104 - - 104 - - Elektra Purchase No. 74 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin Y 230 - - 230 - - Elektra Purchase No. 911 Ltd OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey Y 249 - - 249 - F-E Mortgages S.r.l. - 2003 Piazzetta Monte 1 - 37121 Verona Y 65 - 14 12 29 8 F-E Mortgages S.r.l. - 2005 Piazzetta Monte 1 - 37121 Verona Y 115 - 13 30 37 32 Ice Creek Pool No. 1 DAC 1st Fl., 1-2 Victoria Building; Haddington Road; D04 XN32; Dublin Y 217 - - 217 - - Ice Creek Pool No. 2 DAC 1-2 Victoria Buildings; Haddington Road; 4; Dublin Y - - - - - Ice Creek Pool No. 3 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Y 208 - - 208 - - Ice Creek Pool No. 5 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 276 - - 276 - - SUCCESS 2015 B.V. Barbara Strozzilaan 101, 1083HN Amsterdam Y 43 - - - - 37 ARCOBALENO FINANCE SRL FORO BUONAPARTE,70 20121 MILANO N 38 - 2 - - 48 CREDIARC SPV SRL FORO BUONAPARTE,70 20121 MILANO N 13 - 2 5 - 26 Elektra Purchase No. 25 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 50 - - 50 - - Elektra Purchase No. 29 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 329 - - 329 - - Elektra Purchase No. 41 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 61 - - 61 - - Elektra Purchase No. 45 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 137 - - 137 - - Elektra Purchase No. 60 DAC 1-2 Victoria Buildings; D04; Dublin N 131 - - 131 - - Elektra Purchase No. 61 DAC Haddington Road; 1-2 Victoria Buildings; D04; Dublin N 28 - - 28 - - Elektra Purchase No. 62 DAC 1-2 Victoria Buildings; Dublin 4; Dublin N 380 - - 380 - - Elektra Purchase No. 65 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin N 22 - - 22 - - Elektra Purchase No. 66 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin N 38 - - 38 - - Elektra Purchase No. 67 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin N 9 - - 9 - - Elektra Purchase No. 68 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin 4 N 27 - - 27 - - Elektra Purchase No. 70 DAC Haddington Road; 1-2 Victoria Buildings; 4; Dublin N 45 - - 45 - - Elektra Purchase No. 72 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin N 27 - - 27 - - Elektra Purchase No. 73 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin N 129 - - 129 - - Elektra Purchase No. 75 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin N 92 - - 92 - - Elektra Purchase No. 8 Limited OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey N 130 - - 130 - - Elektra Purchase No.17 S.A. (Re Compartment 18) 52-54 avenue du X Septembre, L-2550 Luxembourg N 34 - - 34 - - Elektra Purchase No.17 S.A. RE COMPARTMENT 14 52-54 avenue du X Septembre, L-2550 Luxembourg N 24 - - 24 - - FCT GK Ref FCT GK Immeubles Les, F-93500 Pantin N 50 - - 50 - - FINO 1 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 277 - 68 141 70 50 FINO 2 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 155 - 306 212 201 40 OLYMPIA SPV S.R.L. VIA VITTORIO ALFIERI 1, 31015 Conegliano N 287 - 44 261 26 3 ONIF FINANCE SRL VIA ALESSANDRO PESTALOZZA 12/14, 20131 MILANO N 201 - 26 - 68 115 PILOT 2017-A LLC 1209 Orange Street, 19801 Wilmington N 226 - 1 226 - - PRISMA SPV S.R.L. VIA MARIO CARUCCI 131, Roma N 653 - 332 824 80 30 Pillarstone Italy SPV S.r.l. - Premuda Via Pietro Mascagni 14, 20122 MILANO N 73 - 31 2 182 89 Pillarstone Italy SPV S.r.l. - Rainbow Via Pietro Mascagni 14, 20122 MILANO N 50 - 1 51 106 RELAIS 2020 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 610 - 5 428 91 10 Sestante Finance S.r.l. Via Borromei, 5 - 20123 Milano N 165 - 107 90 9 YANEZ SPV S.R.L. - SANDOKAN VIA VITTORIO ALFIERI 1, 31015 Conegliano N 242 - 883 - 234 890 YANEZ SPV S.R.L. - SANDOKAN 2 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 270 - 646 - 118 798 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 353 C.3 SPVs for securitisations (€ million) NAME OF SECURITISATION/NAME OF VEHICLE COUNTRY OF INCORPORATION CONSOLIDATION ASSETS LIABILITIES LOANS AND RECEIVEBLES DEBT SECURITIES OTHERS SENIOR MEZZANINE JUNIOR Arabella Finance DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 4,838 - 14 4,848 - - Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Piazzetta Monte 1 - 37121 Verona Y 398 - 49 270 74 67 Cordusio RMBS - UCFin S.r.l Piazzetta Monte 1 - 37121 Verona Y 261 - 21 69 148 13 Cordusio RMBS Securitisation S.r.l. Piazzetta Monte 1 - 37121 Verona Y 448 - 17 177 236 2 Elektra Purchase No. 28 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 179 - - 179 - - Elektra Purchase No. 31 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y - - - - - - Elektra Purchase No. 32 S.A. - Compartment 1 52-54 avenue du X Septembre, L-2550 Luxembourg Y 229 - - 229 - - Elektra Purchase No. 33 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 165 - - 165 - - Elektra Purchase No. 36 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 550 - - 550 - - Elektra Purchase No. 37 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 112 - - 112 - - Elektra Purchase No. 38 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 167 - - 167 - - Elektra Purchase No. 43 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 231 - - 231 - - Elektra Purchase No. 46 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 78 - - 78 - - Elektra Purchase No. 54 DAC Haddington Road, 1-2 Victoria Buildings, D04 XN32 Dublin Y 45 - - 45 - - Elektra Purchase No. 56 DAC 1-2 Victoria Buildings, 4 Dublin Y 516 - - 516 - - Elektra Purchase No. 57 DAC 1-2 Victoria Buildings, 4 Dublin Y 133 - 12 145 - - Elektra Purchase No. 64 DAC Haddington Road; 1-2 Victoria Building; 4; Dublin Y 100 - - 100 - - Elektra Purchase No. 69 DAC Haddington Road; 1-2 Victoria Buildings; 4; Dublin Y 33 - - 33 - - Elektra Purchase No. 71 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Y 104 - - 104 - - Elektra Purchase No. 74 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin Y 230 - - 230 - - Elektra Purchase No. 911 Ltd OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey Y 249 - - 249 - F-E Mortgages S.r.l. - 2003 Piazzetta Monte 1 - 37121 Verona Y 65 - 14 12 29 8 F-E Mortgages S.r.l. - 2005 Piazzetta Monte 1 - 37121 Verona Y 115 - 13 30 37 32 Ice Creek Pool No. 1 DAC 1st Fl., 1-2 Victoria Building; Haddington Road; D04 XN32; Dublin Y 217 - - 217 - - Ice Creek Pool No. 2 DAC 1-2 Victoria Buildings; Haddington Road; 4; Dublin Y - - - - - Ice Creek Pool No. 3 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Y 208 - - 208 - - Ice Creek Pool No. 5 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 276 - - 276 - - SUCCESS 2015 B.V. Barbara Strozzilaan 101, 1083HN Amsterdam Y 43 - - - - 37 ARCOBALENO FINANCE SRL FORO BUONAPARTE,70 20121 MILANO N 38 - 2 - - 48 CREDIARC SPV SRL FORO BUONAPARTE,70 20121 MILANO N 13 - 2 5 - 26 Elektra Purchase No. 25 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 50 - - 50 - - Elektra Purchase No. 29 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 329 - - 329 - - Elektra Purchase No. 41 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 61 - - 61 - - Elektra Purchase No. 45 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 137 - - 137 - - Elektra Purchase No. 60 DAC 1-2 Victoria Buildings; D04; Dublin N 131 - - 131 - - Elektra Purchase No. 61 DAC Haddington Road; 1-2 Victoria Buildings; D04; Dublin N 28 - - 28 - - Elektra Purchase No. 62 DAC 1-2 Victoria Buildings; Dublin 4; Dublin N 380 - - 380 - - Elektra Purchase No. 65 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin N 22 - - 22 - - Elektra Purchase No. 66 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin N 38 - - 38 - - Elektra Purchase No. 67 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin N 9 - - 9 - - Elektra Purchase No. 68 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin 4 N 27 - - 27 - - Elektra Purchase No. 70 DAC Haddington Road; 1-2 Victoria Buildings; 4; Dublin N 45 - - 45 - - Elektra Purchase No. 72 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin N 27 - - 27 - - Elektra Purchase No. 73 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin N 129 - - 129 - - Elektra Purchase No. 75 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin N 92 - - 92 - - Elektra Purchase No. 8 Limited OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey N 130 - - 130 - - Elektra Purchase No.17 S.A. (Re Compartment 18) 52-54 avenue du X Septembre, L-2550 Luxembourg N 34 - - 34 - - Elektra Purchase No.17 S.A. RE COMPARTMENT 14 52-54 avenue du X Septembre, L-2550 Luxembourg N 24 - - 24 - - FCT GK Ref FCT GK Immeubles Les, F-93500 Pantin N 50 - - 50 - - FINO 1 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 277 - 68 141 70 50 FINO 2 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 155 - 306 212 201 40 OLYMPIA SPV S.R.L. VIA VITTORIO ALFIERI 1, 31015 Conegliano N 287 - 44 261 26 3 ONIF FINANCE SRL VIA ALESSANDRO PESTALOZZA 12/14, 20131 MILANO N 201 - 26 - 68 115 PILOT 2017-A LLC 1209 Orange Street, 19801 Wilmington N 226 - 1 226 - - PRISMA SPV S.R.L. VIA MARIO CARUCCI 131, Roma N 653 - 332 824 80 30 Pillarstone Italy SPV S.r.l. - Premuda Via Pietro Mascagni 14, 20122 MILANO N 73 - 31 2 182 89 Pillarstone Italy SPV S.r.l. - Rainbow Via Pietro Mascagni 14, 20122 MILANO N 50 - 1 51 106 RELAIS 2020 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 610 - 5 428 91 10 Sestante Finance S.r.l. Via Borromei, 5 - 20123 Milano N 165 - 107 90 9 YANEZ SPV S.R.L. - SANDOKAN VIA VITTORIO ALFIERI 1, 31015 Conegliano N 242 - 883 - 234 890 YANEZ SPV S.R.L. - SANDOKAN 2 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 270 - 646 - 118 798 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 353 C.3 SPVs for securitisations (€ million) NAME OF SECURITISATION/NAME OF VEHICLE COUNTRY OF INCORPORATION CONSOLIDATION ASSETS LIABILITIES LOANS AND RECEIVEBLES DEBT SECURITIES OTHERS SENIOR MEZZANINE JUNIOR Arabella Finance DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 4,838 - 14 4,848 - - Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Piazzetta Monte 1 - 37121 Verona Y 398 - 49 270 74 67 Cordusio RMBS - UCFin S.r.l Piazzetta Monte 1 - 37121 Verona Y 261 - 21 69 148 13 Cordusio RMBS Securitisation S.r.l. Piazzetta Monte 1 - 37121 Verona Y 448 - 17 177 236 2 Elektra Purchase No. 28 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 179 - - 179 - - Elektra Purchase No. 31 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y - - - - - - Elektra Purchase No. 32 S.A. - Compartment 1 52-54 avenue du X Septembre, L-2550 Luxembourg Y 229 - - 229 - - Elektra Purchase No. 33 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 165 - - 165 - - Elektra Purchase No. 36 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 550 - - 550 - - Elektra Purchase No. 37 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 112 - - 112 - - Elektra Purchase No. 38 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 167 - - 167 - - Elektra Purchase No. 43 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 231 - - 231 - - Elektra Purchase No. 46 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 78 - - 78 - - Elektra Purchase No. 54 DAC Haddington Road, 1-2 Victoria Buildings, D04 XN32 Dublin Y 45 - - 45 - - Elektra Purchase No. 56 DAC 1-2 Victoria Buildings, 4 Dublin Y 516 - - 516 - - Elektra Purchase No. 57 DAC 1-2 Victoria Buildings, 4 Dublin Y 133 - 12 145 - - Elektra Purchase No. 64 DAC Haddington Road; 1-2 Victoria Building; 4; Dublin Y 100 - - 100 - - Elektra Purchase No. 69 DAC Haddington Road; 1-2 Victoria Buildings; 4; Dublin Y 33 - - 33 - - Elektra Purchase No. 71 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Y 104 - - 104 - - Elektra Purchase No. 74 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin Y 230 - - 230 - - Elektra Purchase No. 911 Ltd OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey Y 249 - - 249 - F-E Mortgages S.r.l. - 2003 Piazzetta Monte 1 - 37121 Verona Y 65 - 14 12 29 8 F-E Mortgages S.r.l. - 2005 Piazzetta Monte 1 - 37121 Verona Y 115 - 13 30 37 32 Ice Creek Pool No. 1 DAC 1st Fl., 1-2 Victoria Building; Haddington Road; D04 XN32; Dublin Y 217 - - 217 - - Ice Creek Pool No. 2 DAC 1-2 Victoria Buildings; Haddington Road; 4; Dublin Y - - - - - Ice Creek Pool No. 3 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Y 208 - - 208 - - Ice Creek Pool No. 5 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 276 - - 276 - - SUCCESS 2015 B.V. Barbara Strozzilaan 101, 1083HN Amsterdam Y 43 - - - - 37 ARCOBALENO FINANCE SRL FORO BUONAPARTE,70 20121 MILANO N 38 - 2 - - 48 CREDIARC SPV SRL FORO BUONAPARTE,70 20121 MILANO N 13 - 2 5 - 26 Elektra Purchase No. 25 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 50 - - 50 - - Elektra Purchase No. 29 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 329 - - 329 - - Elektra Purchase No. 41 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 61 - - 61 - - Elektra Purchase No. 45 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 137 - - 137 - - Elektra Purchase No. 60 DAC 1-2 Victoria Buildings; D04; Dublin N 131 - - 131 - - Elektra Purchase No. 61 DAC Haddington Road; 1-2 Victoria Buildings; D04; Dublin N 28 - - 28 - - Elektra Purchase No. 62 DAC 1-2 Victoria Buildings; Dublin 4; Dublin N 380 - - 380 - - Elektra Purchase No. 65 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin N 22 - - 22 - - Elektra Purchase No. 66 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin N 38 - - 38 - - Elektra Purchase No. 67 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin N 9 - - 9 - - Elektra Purchase No. 68 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin 4 N 27 - - 27 - - Elektra Purchase No. 70 DAC Haddington Road; 1-2 Victoria Buildings; 4; Dublin N 45 - - 45 - - Elektra Purchase No. 72 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin N 27 - - 27 - - Elektra Purchase No. 73 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin N 129 - - 129 - - Elektra Purchase No. 75 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin N 92 - - 92 - - Elektra Purchase No. 8 Limited OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey N 130 - - 130 - - Elektra Purchase No.17 S.A. (Re Compartment 18) 52-54 avenue du X Septembre, L-2550 Luxembourg N 34 - - 34 - - Elektra Purchase No.17 S.A. RE COMPARTMENT 14 52-54 avenue du X Septembre, L-2550 Luxembourg N 24 - - 24 - - FCT GK Ref FCT GK Immeubles Les, F-93500 Pantin N 50 - - 50 - - FINO 1 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 277 - 68 141 70 50 FINO 2 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 155 - 306 212 201 40 OLYMPIA SPV S.R.L. VIA VITTORIO ALFIERI 1, 31015 Conegliano N 287 - 44 261 26 3 ONIF FINANCE SRL VIA ALESSANDRO PESTALOZZA 12/14, 20131 MILANO N 201 - 26 - 68 115 PILOT 2017-A LLC 1209 Orange Street, 19801 Wilmington N 226 - 1 226 - - PRISMA SPV S.R.L. VIA MARIO CARUCCI 131, Roma N 653 - 332 824 80 30 Pillarstone Italy SPV S.r.l. - Premuda Via Pietro Mascagni 14, 20122 MILANO N 73 - 31 2 182 89 Pillarstone Italy SPV S.r.l. - Rainbow Via Pietro Mascagni 14, 20122 MILANO N 50 - 1 51 106 RELAIS 2020 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 610 - 5 428 91 10 Sestante Finance S.r.l. Via Borromei, 5 - 20123 Milano N 165 - 107 90 9 YANEZ SPV S.R.L. - SANDOKAN VIA VITTORIO ALFIERI 1, 31015 Conegliano N 242 - 883 - 234 890 YANEZ SPV S.R.L. - SANDOKAN 2 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 270 - 646 - 118 798 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 353 C.3 SPVs for securitisations (€ million) NAME OF SECURITISATION/NAME OF VEHICLE COUNTRY OF INCORPORATION CONSOLIDATION ASSETS LIABILITIES LOANS AND RECEIVEBLES DEBT SECURITIES OTHERS SENIOR MEZZANINE JUNIOR Arabella Finance DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 4,838 - 14 4,848 - - Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Piazzetta Monte 1 - 37121 Verona Y 398 - 49 270 74 67 Cordusio RMBS - UCFin S.r.l Piazzetta Monte 1 - 37121 Verona Y 261 - 21 69 148 13 Cordusio RMBS Securitisation S.r.l. Piazzetta Monte 1 - 37121 Verona Y 448 - 17 177 236 2 Elektra Purchase No. 28 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 179 - - 179 - - Elektra Purchase No. 31 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y - - - - - - Elektra Purchase No. 32 S.A. - Compartment 1 52-54 avenue du X Septembre, L-2550 Luxembourg Y 229 - - 229 - - Elektra Purchase No. 33 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 165 - - 165 - - Elektra Purchase No. 36 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 550 - - 550 - - Elektra Purchase No. 37 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 112 - - 112 - - Elektra Purchase No. 38 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 167 - - 167 - - Elektra Purchase No. 43 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 231 - - 231 - - Elektra Purchase No. 46 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 78 - - 78 - - Elektra Purchase No. 54 DAC Haddington Road, 1-2 Victoria Buildings, D04 XN32 Dublin Y 45 - - 45 - - Elektra Purchase No. 56 DAC 1-2 Victoria Buildings, 4 Dublin Y 516 - - 516 - - Elektra Purchase No. 57 DAC 1-2 Victoria Buildings, 4 Dublin Y 133 - 12 145 - - Elektra Purchase No. 64 DAC Haddington Road; 1-2 Victoria Building; 4; Dublin Y 100 - - 100 - - Elektra Purchase No. 69 DAC Haddington Road; 1-2 Victoria Buildings; 4; Dublin Y 33 - - 33 - - Elektra Purchase No. 71 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Y 104 - - 104 - - Elektra Purchase No. 74 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin Y 230 - - 230 - - Elektra Purchase No. 911 Ltd OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey Y 249 - - 249 - F-E Mortgages S.r.l. - 2003 Piazzetta Monte 1 - 37121 Verona Y 65 - 14 12 29 8 F-E Mortgages S.r.l. - 2005 Piazzetta Monte 1 - 37121 Verona Y 115 - 13 30 37 32 Ice Creek Pool No. 1 DAC 1st Fl., 1-2 Victoria Building; Haddington Road; D04 XN32; Dublin Y 217 - - 217 - - Ice Creek Pool No. 2 DAC 1-2 Victoria Buildings; Haddington Road; 4; Dublin Y - - - - - Ice Creek Pool No. 3 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Y 208 - - 208 - - Ice Creek Pool No. 5 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 276 - - 276 - - SUCCESS 2015 B.V. Barbara Strozzilaan 101, 1083HN Amsterdam Y 43 - - - - 37 ARCOBALENO FINANCE SRL FORO BUONAPARTE,70 20121 MILANO N 38 - 2 - - 48 CREDIARC SPV SRL FORO BUONAPARTE,70 20121 MILANO N 13 - 2 5 - 26 Elektra Purchase No. 25 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 50 - - 50 - - Elektra Purchase No. 29 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 329 - - 329 - - Elektra Purchase No. 41 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 61 - - 61 - - Elektra Purchase No. 45 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 137 - - 137 - - Elektra Purchase No. 60 DAC 1-2 Victoria Buildings; D04; Dublin N 131 - - 131 - - Elektra Purchase No. 61 DAC Haddington Road; 1-2 Victoria Buildings; D04; Dublin N 28 - - 28 - - Elektra Purchase No. 62 DAC 1-2 Victoria Buildings; Dublin 4; Dublin N 380 - - 380 - - Elektra Purchase No. 65 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin N 22 - - 22 - - Elektra Purchase No. 66 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin N 38 - - 38 - - Elektra Purchase No. 67 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin N 9 - - 9 - - Elektra Purchase No. 68 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin 4 N 27 - - 27 - - Elektra Purchase No. 70 DAC Haddington Road; 1-2 Victoria Buildings; 4; Dublin N 45 - - 45 - - Elektra Purchase No. 72 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin N 27 - - 27 - - Elektra Purchase No. 73 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin N 129 - - 129 - - Elektra Purchase No. 75 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin N 92 - - 92 - - Elektra Purchase No. 8 Limited OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey N 130 - - 130 - - Elektra Purchase No.17 S.A. (Re Compartment 18) 52-54 avenue du X Septembre, L-2550 Luxembourg N 34 - - 34 - - Elektra Purchase No.17 S.A. RE COMPARTMENT 14 52-54 avenue du X Septembre, L-2550 Luxembourg N 24 - - 24 - - FCT GK Ref FCT GK Immeubles Les, F-93500 Pantin N 50 - - 50 - - FINO 1 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 277 - 68 141 70 50 FINO 2 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 155 - 306 212 201 40 OLYMPIA SPV S.R.L. VIA VITTORIO ALFIERI 1, 31015 Conegliano N 287 - 44 261 26 3 ONIF FINANCE SRL VIA ALESSANDRO PESTALOZZA 12/14, 20131 MILANO N 201 - 26 - 68 115 PILOT 2017-A LLC 1209 Orange Street, 19801 Wilmington N 226 - 1 226 - - PRISMA SPV S.R.L. VIA MARIO CARUCCI 131, Roma N 653 - 332 824 80 30 Pillarstone Italy SPV S.r.l. - Premuda Via Pietro Mascagni 14, 20122 MILANO N 73 - 31 2 182 89 Pillarstone Italy SPV S.r.l. - Rainbow Via Pietro Mascagni 14, 20122 MILANO N 50 - 1 51 106 RELAIS 2020 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 610 - 5 428 91 10 Sestante Finance S.r.l. Via Borromei, 5 - 20123 Milano N 165 - 107 90 9 YANEZ SPV S.R.L. - SANDOKAN VIA VITTORIO ALFIERI 1, 31015 Conegliano N 242 - 883 - 234 890 YANEZ SPV S.R.L. - SANDOKAN 2 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 270 - 646 - 118 798 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 353 C.3 SPVs for securitisations (€ million) NAME OF SECURITISATION/NAME OF VEHICLE COUNTRY OF INCORPORATION CONSOLIDATION ASSETS LIABILITIES LOANS AND RECEIVEBLES DEBT SECURITIES OTHERS SENIOR MEZZANINE JUNIOR Arabella Finance DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 4,838 - 14 4,848 - - Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Piazzetta Monte 1 - 37121 Verona Y 398 - 49 270 74 67 Cordusio RMBS - UCFin S.r.l Piazzetta Monte 1 - 37121 Verona Y 261 - 21 69 148 13 Cordusio RMBS Securitisation S.r.l. Piazzetta Monte 1 - 37121 Verona Y 448 - 17 177 236 2 Elektra Purchase No. 28 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 179 - - 179 - - Elektra Purchase No. 31 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y - - - - - - Elektra Purchase No. 32 S.A. - Compartment 1 52-54 avenue du X Septembre, L-2550 Luxembourg Y 229 - - 229 - - Elektra Purchase No. 33 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 165 - - 165 - - Elektra Purchase No. 36 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 550 - - 550 - - Elektra Purchase No. 37 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 112 - - 112 - - Elektra Purchase No. 38 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 167 - - 167 - - Elektra Purchase No. 43 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 231 - - 231 - - Elektra Purchase No. 46 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 78 - - 78 - - Elektra Purchase No. 54 DAC Haddington Road, 1-2 Victoria Buildings, D04 XN32 Dublin Y 45 - - 45 - - Elektra Purchase No. 56 DAC 1-2 Victoria Buildings, 4 Dublin Y 516 - - 516 - - Elektra Purchase No. 57 DAC 1-2 Victoria Buildings, 4 Dublin Y 133 - 12 145 - - Elektra Purchase No. 64 DAC Haddington Road; 1-2 Victoria Building; 4; Dublin Y 100 - - 100 - - Elektra Purchase No. 69 DAC Haddington Road; 1-2 Victoria Buildings; 4; Dublin Y 33 - - 33 - - Elektra Purchase No. 71 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Y 104 - - 104 - - Elektra Purchase No. 74 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin Y 230 - - 230 - - Elektra Purchase No. 911 Ltd OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey Y 249 - - 249 - F-E Mortgages S.r.l. - 2003 Piazzetta Monte 1 - 37121 Verona Y 65 - 14 12 29 8 F-E Mortgages S.r.l. - 2005 Piazzetta Monte 1 - 37121 Verona Y 115 - 13 30 37 32 Ice Creek Pool No. 1 DAC 1st Fl., 1-2 Victoria Building; Haddington Road; D04 XN32; Dublin Y 217 - - 217 - - Ice Creek Pool No. 2 DAC 1-2 Victoria Buildings; Haddington Road; 4; Dublin Y - - - - - Ice Creek Pool No. 3 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Y 208 - - 208 - - Ice Creek Pool No. 5 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Y 276 - - 276 - - SUCCESS 2015 B.V. Barbara Strozzilaan 101, 1083HN Amsterdam Y 43 - - - - 37 ARCOBALENO FINANCE SRL FORO BUONAPARTE,70 20121 MILANO N 38 - 2 - - 48 CREDIARC SPV SRL FORO BUONAPARTE,70 20121 MILANO N 13 - 2 5 - 26 Elektra Purchase No. 25 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 50 - - 50 - - Elektra Purchase No. 29 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 329 - - 329 - - Elektra Purchase No. 41 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 61 - - 61 - - Elektra Purchase No. 45 DAC 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland N 137 - - 137 - - Elektra Purchase No. 60 DAC 1-2 Victoria Buildings; D04; Dublin N 131 - - 131 - - Elektra Purchase No. 61 DAC Haddington Road; 1-2 Victoria Buildings; D04; Dublin N 28 - - 28 - - Elektra Purchase No. 62 DAC 1-2 Victoria Buildings; Dublin 4; Dublin N 380 - - 380 - - Elektra Purchase No. 65 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin N 22 - - 22 - - Elektra Purchase No. 66 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin N 38 - - 38 - - Elektra Purchase No. 67 DAC Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin N 9 - - 9 - - Elektra Purchase No. 68 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin 4 N 27 - - 27 - - Elektra Purchase No. 70 DAC Haddington Road; 1-2 Victoria Buildings; 4; Dublin N 45 - - 45 - - Elektra Purchase No. 72 DAC Haddington Road; 1-2 Victoria Buildings; D04 XN32; Dublin N 27 - - 27 - - Elektra Purchase No. 73 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin N 129 - - 129 - - Elektra Purchase No. 75 DAC Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin N 92 - - 92 - - Elektra Purchase No. 8 Limited OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey N 130 - - 130 - - Elektra Purchase No.17 S.A. (Re Compartment 18) 52-54 avenue du X Septembre, L-2550 Luxembourg N 34 - - 34 - - Elektra Purchase No.17 S.A. RE COMPARTMENT 14 52-54 avenue du X Septembre, L-2550 Luxembourg N 24 - - 24 - - FCT GK Ref FCT GK Immeubles Les, F-93500 Pantin N 50 - - 50 - - FINO 1 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 277 - 68 141 70 50 FINO 2 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 155 - 306 212 201 40 OLYMPIA SPV S.R.L. VIA VITTORIO ALFIERI 1, 31015 Conegliano N 287 - 44 261 26 3 ONIF FINANCE SRL VIA ALESSANDRO PESTALOZZA 12/14, 20131 MILANO N 201 - 26 - 68 115 PILOT 2017-A LLC 1209 Orange Street, 19801 Wilmington N 226 - 1 226 - - PRISMA SPV S.R.L. VIA MARIO CARUCCI 131, Roma N 653 - 332 824 80 30 Pillarstone Italy SPV S.r.l. - Premuda Via Pietro Mascagni 14, 20122 MILANO N 73 - 31 2 182 89 Pillarstone Italy SPV S.r.l. - Rainbow Via Pietro Mascagni 14, 20122 MILANO N 50 - 1 51 106 RELAIS 2020 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 610 - 5 428 91 10 Sestante Finance S.r.l. Via Borromei, 5 - 20123 Milano N 165 - 107 90 9 YANEZ SPV S.R.L. - SANDOKAN VIA VITTORIO ALFIERI 1, 31015 Conegliano N 242 - 883 - 234 890 YANEZ SPV S.R.L. - SANDOKAN 2 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 270 - 646 - 118 798 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 354 2021 Annual Report and Accounts · UniCredit C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation As mentioned before in the context of securitisation transactions the Group may operate as investor, sponsor and originator. The following table provides indication on assets and liabilities recognised in the balance sheet as well as off-balance exposures of the Group toward non-consolidated securitisation vehicles and broken down by role of the Group. The maximum exposure to loss has been calculated by grossing up the difference between assets and liabilities with off-balance sheet positions, irrevocable credit lines and financial guarantees, held toward these vehicles and reported in column “difference between maximum exposure to loss and accounting value”. Exposures to Securitisation SPVs not subject to consolidation (€ 'milion) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) ABS Issuing vehicles (Investor) 8,623 104 8,519 8,579 60 HFT 32 Deposits 104 DFV - Securities - MFV 1,926 HFT - FVOCI 46 DFV - AC 6,619 - Commercial Paper Conduits (Sponsor) 192 3 189 2,087 1,898 HFT 1 Deposits 3 DFV - Securities - MFV 1 HFT - FVOCI - DFV - AC 190 - Own securitisations (Originator) 1,666 378 1,288 1,288 - HFT - Deposits 378 DFV - Securities - MFV 62 HFT - FVOCI 1,502 DFV - AC 102 - Total 10,481 485 9,996 11,954 1,958 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost Exposures toward ABS Issuing vehicles are constituted for the most part, €8,760 million, by exposures in Asset Backed Securities. The remaining part is constituted by loans. Exposures toward Commercial Paper Conduit comprise credit line provided to the purchase companies that acquire the receivables from the originators external to the Group. These credit lines are granted by credit enhancements (deferred purchase price and credit insurance) so that the Group does not bear the variability of the underlying portfolio. Exposures toward own securitisation comprise securities and off-balance sheet exposure toward SPV that are not consolidated as the conditions required by IFRS10 are not fulfilled. Absent the conditions requested by IFRS9 the securitised loans have not been derecognised from the balance sheet of the originator.For further information on these securitisations refer to the tables published in the “Annexes”. During the period the Group has not provided financial support to any non-consolidated securitisation vehicle in absence of contractual obligation to do so. The Group has not the current intention to provide such support. The Group does not act as sponsor of securitisation vehicles in which it has not exposures at the end of the reporting period. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 354 2021 Annual Report and Accounts · UniCredit C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation As mentioned before in the context of securitisation transactions the Group may operate as investor, sponsor and originator. The following table provides indication on assets and liabilities recognised in the balance sheet as well as off-balance exposures of the Group toward non-consolidated securitisation vehicles and broken down by role of the Group. The maximum exposure to loss has been calculated by grossing up the difference between assets and liabilities with off-balance sheet positions, irrevocable credit lines and financial guarantees, held toward these vehicles and reported in column “difference between maximum exposure to loss and accounting value”. Exposures to Securitisation SPVs not subject to consolidation (€ 'milion) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) ABS Issuing vehicles (Investor) 8,623 104 8,519 8,579 60 HFT 32 Deposits 104 DFV - Securities - MFV 1,926 HFT - FVOCI 46 DFV - AC 6,619 - Commercial Paper Conduits (Sponsor) 192 3 189 2,087 1,898 HFT 1 Deposits 3 DFV - Securities - MFV 1 HFT - FVOCI - DFV - AC 190 - Own securitisations (Originator) 1,666 378 1,288 1,288 - HFT - Deposits 378 DFV - Securities - MFV 62 HFT - FVOCI 1,502 DFV - AC 102 - Total 10,481 485 9,996 11,954 1,958 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost Exposures toward ABS Issuing vehicles are constituted for the most part, €8,760 million, by exposures in Asset Backed Securities. The remaining part is constituted by loans. Exposures toward Commercial Paper Conduit comprise credit line provided to the purchase companies that acquire the receivables from the originators external to the Group. These credit lines are granted by credit enhancements (deferred purchase price and credit insurance) so that the Group does not bear the variability of the underlying portfolio. Exposures toward own securitisation comprise securities and off-balance sheet exposure toward SPV that are not consolidated as the conditions required by IFRS10 are not fulfilled. Absent the conditions requested by IFRS9 the securitised loans have not been derecognised from the balance sheet of the originator.For further information on these securitisations refer to the tables published in the “Annexes”. During the period the Group has not provided financial support to any non-consolidated securitisation vehicle in absence of contractual obligation to do so. The Group has not the current intention to provide such support. The Group does not act as sponsor of securitisation vehicles in which it has not exposures at the end of the reporting period. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 354 2021 Annual Report and Accounts · UniCredit C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation As mentioned before in the context of securitisation transactions the Group may operate as investor, sponsor and originator. The following table provides indication on assets and liabilities recognised in the balance sheet as well as off-balance exposures of the Group toward non-consolidated securitisation vehicles and broken down by role of the Group. The maximum exposure to loss has been calculated by grossing up the difference between assets and liabilities with off-balance sheet positions, irrevocable credit lines and financial guarantees, held toward these vehicles and reported in column “difference between maximum exposure to loss and accounting value”. Exposures to Securitisation SPVs not subject to consolidation (€ 'milion) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) ABS Issuing vehicles (Investor) 8,623 104 8,519 8,579 60 HFT 32 Deposits 104 DFV - Securities - MFV 1,926 HFT - FVOCI 46 DFV - AC 6,619 - Commercial Paper Conduits (Sponsor) 192 3 189 2,087 1,898 HFT 1 Deposits 3 DFV - Securities - MFV 1 HFT - FVOCI - DFV - AC 190 - Own securitisations (Originator) 1,666 378 1,288 1,288 - HFT - Deposits 378 DFV - Securities - MFV 62 HFT - FVOCI 1,502 DFV - AC 102 - Total 10,481 485 9,996 11,954 1,958 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost Exposures toward ABS Issuing vehicles are constituted for the most part, €8,760 million, by exposures in Asset Backed Securities. The remaining part is constituted by loans. Exposures toward Commercial Paper Conduit comprise credit line provided to the purchase companies that acquire the receivables from the originators external to the Group. These credit lines are granted by credit enhancements (deferred purchase price and credit insurance) so that the Group does not bear the variability of the underlying portfolio. Exposures toward own securitisation comprise securities and off-balance sheet exposure toward SPV that are not consolidated as the conditions required by IFRS10 are not fulfilled. Absent the conditions requested by IFRS9 the securitised loans have not been derecognised from the balance sheet of the originator.For further information on these securitisations refer to the tables published in the “Annexes”. During the period the Group has not provided financial support to any non-consolidated securitisation vehicle in absence of contractual obligation to do so. The Group has not the current intention to provide such support. The Group does not act as sponsor of securitisation vehicles in which it has not exposures at the end of the reporting period. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 354 2021 Annual Report and Accounts · UniCredit C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation As mentioned before in the context of securitisation transactions the Group may operate as investor, sponsor and originator. The following table provides indication on assets and liabilities recognised in the balance sheet as well as off-balance exposures of the Group toward non-consolidated securitisation vehicles and broken down by role of the Group. The maximum exposure to loss has been calculated by grossing up the difference between assets and liabilities with off-balance sheet positions, irrevocable credit lines and financial guarantees, held toward these vehicles and reported in column “difference between maximum exposure to loss and accounting value”. Exposures to Securitisation SPVs not subject to consolidation (€ 'milion) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) ABS Issuing vehicles (Investor) 8,623 104 8,519 8,579 60 HFT 32 Deposits 104 DFV - Securities - MFV 1,926 HFT - FVOCI 46 DFV - AC 6,619 - Commercial Paper Conduits (Sponsor) 192 3 189 2,087 1,898 HFT 1 Deposits 3 DFV - Securities - MFV 1 HFT - FVOCI - DFV - AC 190 - Own securitisations (Originator) 1,666 378 1,288 1,288 - HFT - Deposits 378 DFV - Securities - MFV 62 HFT - FVOCI 1,502 DFV - AC 102 - Total 10,481 485 9,996 11,954 1,958 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost Exposures toward ABS Issuing vehicles are constituted for the most part, €8,760 million, by exposures in Asset Backed Securities. The remaining part is constituted by loans. Exposures toward Commercial Paper Conduit comprise credit line provided to the purchase companies that acquire the receivables from the originators external to the Group. These credit lines are granted by credit enhancements (deferred purchase price and credit insurance) so that the Group does not bear the variability of the underlying portfolio. Exposures toward own securitisation comprise securities and off-balance sheet exposure toward SPV that are not consolidated as the conditions required by IFRS10 are not fulfilled. Absent the conditions requested by IFRS9 the securitised loans have not been derecognised from the balance sheet of the originator.For further information on these securitisations refer to the tables published in the “Annexes”. During the period the Group has not provided financial support to any non-consolidated securitisation vehicle in absence of contractual obligation to do so. The Group has not the current intention to provide such support. The Group does not act as sponsor of securitisation vehicles in which it has not exposures at the end of the reporting period. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 354 2021 Annual Report and Accounts · UniCredit C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation As mentioned before in the context of securitisation transactions the Group may operate as investor, sponsor and originator. The following table provides indication on assets and liabilities recognised in the balance sheet as well as off-balance exposures of the Group toward non-consolidated securitisation vehicles and broken down by role of the Group. The maximum exposure to loss has been calculated by grossing up the difference between assets and liabilities with off-balance sheet positions, irrevocable credit lines and financial guarantees, held toward these vehicles and reported in column “difference between maximum exposure to loss and accounting value”. Exposures to Securitisation SPVs not subject to consolidation (€ 'milion) AMOUNTS AS AT 12.31.2021 BALANCE SHEET ITEM/SPV TYPE ACCOUNTING PORTFOLIO (ASSETS) TOTAL ASSETS (A) ACCOUNTING PORTFOLIO (LIABILITIES) TOTAL LIABILITIES (B) NET ACCOUNTING VALUE (C=A-B) MAXIMUM EXPOSURE TO LOSS (D) DIFFERENCE BETWEEN MAXIMUM EXPOSURE TO LOSS AND ACCOUNTING VALUE (E=D-C) ABS Issuing vehicles (Investor) 8,623 104 8,519 8,579 60 HFT 32 Deposits 104 DFV - Securities - MFV 1,926 HFT - FVOCI 46 DFV - AC 6,619 - Commercial Paper Conduits (Sponsor) 192 3 189 2,087 1,898 HFT 1 Deposits 3 DFV - Securities - MFV 1 HFT - FVOCI - DFV - AC 190 - Own securitisations (Originator) 1,666 378 1,288 1,288 - HFT - Deposits 378 DFV - Securities - MFV 62 HFT - FVOCI 1,502 DFV - AC 102 - Total 10,481 485 9,996 11,954 1,958 Notes: HFT = Financial assets held for trading Deposits = Deposits from Customers DFV = Financial assets designated at fair value Securities = Debt securities in issue MFV = Financial assets mandatorily at fair value HFT = Financial liabilities held for trading FVOCI = Financial assets at fair value through other comprehensive income DFV = Financial liabilities designated at fair value AC = Financial assets at amortised cost Exposures toward ABS Issuing vehicles are constituted for the most part, €8,760 million, by exposures in Asset Backed Securities. The remaining part is constituted by loans. Exposures toward Commercial Paper Conduit comprise credit line provided to the purchase companies that acquire the receivables from the originators external to the Group. These credit lines are granted by credit enhancements (deferred purchase price and credit insurance) so that the Group does not bear the variability of the underlying portfolio. Exposures toward own securitisation comprise securities and off-balance sheet exposure toward SPV that are not consolidated as the conditions required by IFRS10 are not fulfilled. Absent the conditions requested by IFRS9 the securitised loans have not been derecognised from the balance sheet of the originator.For further information on these securitisations refer to the tables published in the “Annexes”. During the period the Group has not provided financial support to any non-consolidated securitisation vehicle in absence of contractual obligation to do so. The Group has not the current intention to provide such support. The Group does not act as sponsor of securitisation vehicles in which it has not exposures at the end of the reporting period. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 355 C.5 Regulatory consolidation - Servicer activities - Collections of securitised loans and redemptions of securities issued by the securitisation's vehicle (€ million) SERVICER SPECIAL PURPOSE VEHICLE SECURITISED ASSETS (YEAR END FIGURES) LOANS COLLECTED DURING THE YEAR PERCENTAGE OF SECURITIES REDEEMED (YEAR END FIGURES) IMPAIRED PERFORMING IMPAIRED PERFORMING SENIOR MEZZANINE JUNIOR IMPAIRED ASSETS PERFORMING ASSETS IMPAIRED ASSETS PERFORMING ASSETS IMPAIRED ASSETS PERFORMING ASSETS UniCredit Leasing (Austria) GmbH SUCCESS 2015 B.V. 4 39 1 55 - 100.00% - - - 60.94% UniCredit S.p.A. Capital Mortgage S.r.l. 14 384 3 79 - 88.65% - - - - Cordusio RMBS Securitisation S.r.l. - SERIE 2007 15 433 5 113 - 95.17% - - - - Cordusio RMBS UCFin S.r.l. 10 251 3 64 - 97.03% - - - - F-E Mortgage S.r.l. - SERIE 2003 4 61 2 13 - 100.00% - 51.48% - - F-E Mortgage S.r.l. - SERIE 2005 6 109 2 19 - 96.89% - 10.31% - 10.31% Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 355 C.5 Regulatory consolidation - Servicer activities - Collections of securitised loans and redemptions of securities issued by the securitisation's vehicle (€ million) SERVICER SPECIAL PURPOSE VEHICLE SECURITISED ASSETS (YEAR END FIGURES) LOANS COLLECTED DURING THE YEAR PERCENTAGE OF SECURITIES REDEEMED (YEAR END FIGURES) IMPAIRED PERFORMING IMPAIRED PERFORMING SENIOR MEZZANINE JUNIOR IMPAIRED ASSETS PERFORMING ASSETS IMPAIRED ASSETS PERFORMING ASSETS IMPAIRED ASSETS PERFORMING ASSETS UniCredit Leasing (Austria) GmbH SUCCESS 2015 B.V. 4 39 1 55 - 100.00% - - - 60.94% UniCredit S.p.A. Capital Mortgage S.r.l. 14 384 3 79 - 88.65% - - - - Cordusio RMBS Securitisation S.r.l. - SERIE 2007 15 433 5 113 - 95.17% - - - - Cordusio RMBS UCFin S.r.l. 10 251 3 64 - 97.03% - - - - F-E Mortgage S.r.l. - SERIE 2003 4 61 2 13 - 100.00% - 51.48% - - F-E Mortgage S.r.l. - SERIE 2005 6 109 2 19 - 96.89% - 10.31% - 10.31% Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 355 C.5 Regulatory consolidation - Servicer activities - Collections of securitised loans and redemptions of securities issued by the securitisation's vehicle (€ million) SERVICER SPECIAL PURPOSE VEHICLE SECURITISED ASSETS (YEAR END FIGURES) LOANS COLLECTED DURING THE YEAR PERCENTAGE OF SECURITIES REDEEMED (YEAR END FIGURES) IMPAIRED PERFORMING IMPAIRED PERFORMING SENIOR MEZZANINE JUNIOR IMPAIRED ASSETS PERFORMING ASSETS IMPAIRED ASSETS PERFORMING ASSETS IMPAIRED ASSETS PERFORMING ASSETS UniCredit Leasing (Austria) GmbH SUCCESS 2015 B.V. 4 39 1 55 - 100.00% - - - 60.94% UniCredit S.p.A. Capital Mortgage S.r.l. 14 384 3 79 - 88.65% - - - - Cordusio RMBS Securitisation S.r.l. - SERIE 2007 15 433 5 113 - 95.17% - - - - Cordusio RMBS UCFin S.r.l. 10 251 3 64 - 97.03% - - - - F-E Mortgage S.r.l. - SERIE 2003 4 61 2 13 - 100.00% - 51.48% - - F-E Mortgage S.r.l. - SERIE 2005 6 109 2 19 - 96.89% - 10.31% - 10.31% Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 355 C.5 Regulatory consolidation - Servicer activities - Collections of securitised loans and redemptions of securities issued by the securitisation's vehicle (€ million) SERVICER SPECIAL PURPOSE VEHICLE SECURITISED ASSETS (YEAR END FIGURES) LOANS COLLECTED DURING THE YEAR PERCENTAGE OF SECURITIES REDEEMED (YEAR END FIGURES) IMPAIRED PERFORMING IMPAIRED PERFORMING SENIOR MEZZANINE JUNIOR IMPAIRED ASSETS PERFORMING ASSETS IMPAIRED ASSETS PERFORMING ASSETS IMPAIRED ASSETS PERFORMING ASSETS UniCredit Leasing (Austria) GmbH SUCCESS 2015 B.V. 4 39 1 55 - 100.00% - - - 60.94% UniCredit S.p.A. Capital Mortgage S.r.l. 14 384 3 79 - 88.65% - - - - Cordusio RMBS Securitisation S.r.l. - SERIE 2007 15 433 5 113 - 95.17% - - - - Cordusio RMBS UCFin S.r.l. 10 251 3 64 - 97.03% - - - - F-E Mortgage S.r.l. - SERIE 2003 4 61 2 13 - 100.00% - 51.48% - - F-E Mortgage S.r.l. - SERIE 2005 6 109 2 19 - 96.89% - 10.31% - 10.31% Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 355 C.5 Regulatory consolidation - Servicer activities - Collections of securitised loans and redemptions of securities issued by the securitisation's vehicle (€ million) SERVICER SPECIAL PURPOSE VEHICLE SECURITISED ASSETS (YEAR END FIGURES) LOANS COLLECTED DURING THE YEAR PERCENTAGE OF SECURITIES REDEEMED (YEAR END FIGURES) IMPAIRED PERFORMING IMPAIRED PERFORMING SENIOR MEZZANINE JUNIOR IMPAIRED ASSETS PERFORMING ASSETS IMPAIRED ASSETS PERFORMING ASSETS IMPAIRED ASSETS PERFORMING ASSETS UniCredit Leasing (Austria) GmbH SUCCESS 2015 B.V. 4 39 1 55 - 100.00% - - - 60.94% UniCredit S.p.A. Capital Mortgage S.r.l. 14 384 3 79 - 88.65% - - - - Cordusio RMBS Securitisation S.r.l. - SERIE 2007 15 433 5 113 - 95.17% - - - - Cordusio RMBS UCFin S.r.l. 10 251 3 64 - 97.03% - - - - F-E Mortgage S.r.l. - SERIE 2003 4 61 2 13 - 100.00% - 51.48% - - F-E Mortgage S.r.l. - SERIE 2005 6 109 2 19 - 96.89% - 10.31% - 10.31% Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 356 2021 Annual Report and Accounts · UniCredit C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Arabella Finance DAC Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Cordusio RMBS - UCFin S.r.l COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Piazzetta Monte 1 - 37121 Verona Piazzetta Monte 1 - 37121 Verona A. Securitised assets 4,835 398 261 A.1 Loans 4,835 398 261 A.2 Bonds - - - B. Loans disbursed 3 - - C. Use of liquid assets resulting from loan operations - 36 18 C.1 Loans (including bank current account) - 36 18 C.2 Bonds - - - D. Other assets 14 13 2 D.1 Derivatives 14 - - D.2 Other assets - 13 2 TOTAL ASSETS (A+B+C+D) 4,851 447 281 E. Bond issued 4,848 370 230 E.1 Senior 4,848 270 69 E.2 Mezzanine - 74 148 E.3 Junior - 25 13 F. Loans received - 42 - F.1 Senior - - - F.2 Mezzanine - - - F.3 Junior - 42 - G. Other liabilities 3 36 51 G.1 Derivatives - - 1 G.2 Due to originator - 35 48 G.3 Other liabilities 3 - 2 G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 4,851 447 281 H. Interest expense -4 2 2 H.1 Interest expense on bond issued -4 - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - 2 1 I. Commissions and fees related to the transaction 26 1 3 I.1 for servicing 26 1 3 I.2 for other services - - - J. Other charges 3 3 1 J.1 Additional positive returns for exposure junior - 2 - J.2 Other costs 3 1 1 TOTAL COSTS (H+I+J) 25 5 6 K. Interest generated by securitised assets -11 5 4 L. Interest income on derivatives - - - M. Other revenues 37 - 1 M.1 Additional returns for exposure junior - - 1 M.2 Other revenues 37 - - TOTAL REVENUES (K+L+M) 26 5 6 PROFIT (LOSS) FOR THE PERIOD 1 - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 356 2021 Annual Report and Accounts · UniCredit C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Arabella Finance DAC Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Cordusio RMBS - UCFin S.r.l COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Piazzetta Monte 1 - 37121 Verona Piazzetta Monte 1 - 37121 Verona A. Securitised assets 4,835 398 261 A.1 Loans 4,835 398 261 A.2 Bonds - - - B. Loans disbursed 3 - - C. Use of liquid assets resulting from loan operations - 36 18 C.1 Loans (including bank current account) - 36 18 C.2 Bonds - - - D. Other assets 14 13 2 D.1 Derivatives 14 - - D.2 Other assets - 13 2 TOTAL ASSETS (A+B+C+D) 4,851 447 281 E. Bond issued 4,848 370 230 E.1 Senior 4,848 270 69 E.2 Mezzanine - 74 148 E.3 Junior - 25 13 F. Loans received - 42 - F.1 Senior - - - F.2 Mezzanine - - - F.3 Junior - 42 - G. Other liabilities 3 36 51 G.1 Derivatives - - 1 G.2 Due to originator - 35 48 G.3 Other liabilities 3 - 2 G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 4,851 447 281 H. Interest expense -4 2 2 H.1 Interest expense on bond issued -4 - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - 2 1 I. Commissions and fees related to the transaction 26 1 3 I.1 for servicing 26 1 3 I.2 for other services - - - J. Other charges 3 3 1 J.1 Additional positive returns for exposure junior - 2 - J.2 Other costs 3 1 1 TOTAL COSTS (H+I+J) 25 5 6 K. Interest generated by securitised assets -11 5 4 L. Interest income on derivatives - - - M. Other revenues 37 - 1 M.1 Additional returns for exposure junior - - 1 M.2 Other revenues 37 - - TOTAL REVENUES (K+L+M) 26 5 6 PROFIT (LOSS) FOR THE PERIOD 1 - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 356 2021 Annual Report and Accounts · UniCredit C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Arabella Finance DAC Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Cordusio RMBS - UCFin S.r.l COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Piazzetta Monte 1 - 37121 Verona Piazzetta Monte 1 - 37121 Verona A. Securitised assets 4,835 398 261 A.1 Loans 4,835 398 261 A.2 Bonds - - - B. Loans disbursed 3 - - C. Use of liquid assets resulting from loan operations - 36 18 C.1 Loans (including bank current account) - 36 18 C.2 Bonds - - - D. Other assets 14 13 2 D.1 Derivatives 14 - - D.2 Other assets - 13 2 TOTAL ASSETS (A+B+C+D) 4,851 447 281 E. Bond issued 4,848 370 230 E.1 Senior 4,848 270 69 E.2 Mezzanine - 74 148 E.3 Junior - 25 13 F. Loans received - 42 - F.1 Senior - - - F.2 Mezzanine - - - F.3 Junior - 42 - G. Other liabilities 3 36 51 G.1 Derivatives - - 1 G.2 Due to originator - 35 48 G.3 Other liabilities 3 - 2 G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 4,851 447 281 H. Interest expense -4 2 2 H.1 Interest expense on bond issued -4 - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - 2 1 I. Commissions and fees related to the transaction 26 1 3 I.1 for servicing 26 1 3 I.2 for other services - - - J. Other charges 3 3 1 J.1 Additional positive returns for exposure junior - 2 - J.2 Other costs 3 1 1 TOTAL COSTS (H+I+J) 25 5 6 K. Interest generated by securitised assets -11 5 4 L. Interest income on derivatives - - - M. Other revenues 37 - 1 M.1 Additional returns for exposure junior - - 1 M.2 Other revenues 37 - - TOTAL REVENUES (K+L+M) 26 5 6 PROFIT (LOSS) FOR THE PERIOD 1 - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 356 2021 Annual Report and Accounts · UniCredit C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Arabella Finance DAC Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Cordusio RMBS - UCFin S.r.l COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Piazzetta Monte 1 - 37121 Verona Piazzetta Monte 1 - 37121 Verona A. Securitised assets 4,835 398 261 A.1 Loans 4,835 398 261 A.2 Bonds - - - B. Loans disbursed 3 - - C. Use of liquid assets resulting from loan operations - 36 18 C.1 Loans (including bank current account) - 36 18 C.2 Bonds - - - D. Other assets 14 13 2 D.1 Derivatives 14 - - D.2 Other assets - 13 2 TOTAL ASSETS (A+B+C+D) 4,851 447 281 E. Bond issued 4,848 370 230 E.1 Senior 4,848 270 69 E.2 Mezzanine - 74 148 E.3 Junior - 25 13 F. Loans received - 42 - F.1 Senior - - - F.2 Mezzanine - - - F.3 Junior - 42 - G. Other liabilities 3 36 51 G.1 Derivatives - - 1 G.2 Due to originator - 35 48 G.3 Other liabilities 3 - 2 G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 4,851 447 281 H. Interest expense -4 2 2 H.1 Interest expense on bond issued -4 - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - 2 1 I. Commissions and fees related to the transaction 26 1 3 I.1 for servicing 26 1 3 I.2 for other services - - - J. Other charges 3 3 1 J.1 Additional positive returns for exposure junior - 2 - J.2 Other costs 3 1 1 TOTAL COSTS (H+I+J) 25 5 6 K. Interest generated by securitised assets -11 5 4 L. Interest income on derivatives - - - M. Other revenues 37 - 1 M.1 Additional returns for exposure junior - - 1 M.2 Other revenues 37 - - TOTAL REVENUES (K+L+M) 26 5 6 PROFIT (LOSS) FOR THE PERIOD 1 - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 356 2021 Annual Report and Accounts · UniCredit C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Arabella Finance DAC Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Cordusio RMBS - UCFin S.r.l COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Piazzetta Monte 1 - 37121 Verona Piazzetta Monte 1 - 37121 Verona A. Securitised assets 4,835 398 261 A.1 Loans 4,835 398 261 A.2 Bonds - - - B. Loans disbursed 3 - - C. Use of liquid assets resulting from loan operations - 36 18 C.1 Loans (including bank current account) - 36 18 C.2 Bonds - - - D. Other assets 14 13 2 D.1 Derivatives 14 - - D.2 Other assets - 13 2 TOTAL ASSETS (A+B+C+D) 4,851 447 281 E. Bond issued 4,848 370 230 E.1 Senior 4,848 270 69 E.2 Mezzanine - 74 148 E.3 Junior - 25 13 F. Loans received - 42 - F.1 Senior - - - F.2 Mezzanine - - - F.3 Junior - 42 - G. Other liabilities 3 36 51 G.1 Derivatives - - 1 G.2 Due to originator - 35 48 G.3 Other liabilities 3 - 2 G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 4,851 447 281 H. Interest expense -4 2 2 H.1 Interest expense on bond issued -4 - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - 2 1 I. Commissions and fees related to the transaction 26 1 3 I.1 for servicing 26 1 3 I.2 for other services - - - J. Other charges 3 3 1 J.1 Additional positive returns for exposure junior - 2 - J.2 Other costs 3 1 1 TOTAL COSTS (H+I+J) 25 5 6 K. Interest generated by securitised assets -11 5 4 L. Interest income on derivatives - - - M. Other revenues 37 - 1 M.1 Additional returns for exposure junior - - 1 M.2 Other revenues 37 - - TOTAL REVENUES (K+L+M) 26 5 6 PROFIT (LOSS) FOR THE PERIOD 1 - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 357 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Cordusio RMBS Securitisation S.r.l. Elektra Purchase No. 28 DAC Elektra Purchase No. 31 DAC COUNTRY OF INCORPORATION Piazzetta Monte 1 - 37121 Verona 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 448 179 - A.1 Loans 448 179 - A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations 10 - - C.1 Loans (including bank current account) 10 - - C.2 Bonds - - - D. Other assets 8 - - D.1 Derivatives - - - D.2 Other assets 8 - - TOTAL ASSETS (A+B+C+D) 466 179 - E. Bond issued 416 - - E.1 Senior 177 - - E.2 Mezzanine 236 - - E.3 Junior 2 - - F. Loans received - 179 - F.1 Senior - 179 - F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities 50 - - G.1 Derivatives 2 - - G.2 Due to originator 18 - - G.3 Other liabilities 30 - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 466 179 - H. Interest expense 2 - - H.1 Interest expense on bond issued 1 - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives 2 - - I. Commissions and fees related to the transaction 4 - 1 I.1 for servicing 3 - 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 7 - 1 K. Interest generated by securitised assets 6 - 1 L. Interest income on derivatives - - - M. Other revenues 1 - - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 - - TOTAL REVENUES (K+L+M) 7 - 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 357 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Cordusio RMBS Securitisation S.r.l. Elektra Purchase No. 28 DAC Elektra Purchase No. 31 DAC COUNTRY OF INCORPORATION Piazzetta Monte 1 - 37121 Verona 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 448 179 - A.1 Loans 448 179 - A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations 10 - - C.1 Loans (including bank current account) 10 - - C.2 Bonds - - - D. Other assets 8 - - D.1 Derivatives - - - D.2 Other assets 8 - - TOTAL ASSETS (A+B+C+D) 466 179 - E. Bond issued 416 - - E.1 Senior 177 - - E.2 Mezzanine 236 - - E.3 Junior 2 - - F. Loans received - 179 - F.1 Senior - 179 - F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities 50 - - G.1 Derivatives 2 - - G.2 Due to originator 18 - - G.3 Other liabilities 30 - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 466 179 - H. Interest expense 2 - - H.1 Interest expense on bond issued 1 - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives 2 - - I. Commissions and fees related to the transaction 4 - 1 I.1 for servicing 3 - 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 7 - 1 K. Interest generated by securitised assets 6 - 1 L. Interest income on derivatives - - - M. Other revenues 1 - - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 - - TOTAL REVENUES (K+L+M) 7 - 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 357 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Cordusio RMBS Securitisation S.r.l. Elektra Purchase No. 28 DAC Elektra Purchase No. 31 DAC COUNTRY OF INCORPORATION Piazzetta Monte 1 - 37121 Verona 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 448 179 - A.1 Loans 448 179 - A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations 10 - - C.1 Loans (including bank current account) 10 - - C.2 Bonds - - - D. Other assets 8 - - D.1 Derivatives - - - D.2 Other assets 8 - - TOTAL ASSETS (A+B+C+D) 466 179 - E. Bond issued 416 - - E.1 Senior 177 - - E.2 Mezzanine 236 - - E.3 Junior 2 - - F. Loans received - 179 - F.1 Senior - 179 - F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities 50 - - G.1 Derivatives 2 - - G.2 Due to originator 18 - - G.3 Other liabilities 30 - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 466 179 - H. Interest expense 2 - - H.1 Interest expense on bond issued 1 - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives 2 - - I. Commissions and fees related to the transaction 4 - 1 I.1 for servicing 3 - 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 7 - 1 K. Interest generated by securitised assets 6 - 1 L. Interest income on derivatives - - - M. Other revenues 1 - - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 - - TOTAL REVENUES (K+L+M) 7 - 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 357 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Cordusio RMBS Securitisation S.r.l. Elektra Purchase No. 28 DAC Elektra Purchase No. 31 DAC COUNTRY OF INCORPORATION Piazzetta Monte 1 - 37121 Verona 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 448 179 - A.1 Loans 448 179 - A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations 10 - - C.1 Loans (including bank current account) 10 - - C.2 Bonds - - - D. Other assets 8 - - D.1 Derivatives - - - D.2 Other assets 8 - - TOTAL ASSETS (A+B+C+D) 466 179 - E. Bond issued 416 - - E.1 Senior 177 - - E.2 Mezzanine 236 - - E.3 Junior 2 - - F. Loans received - 179 - F.1 Senior - 179 - F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities 50 - - G.1 Derivatives 2 - - G.2 Due to originator 18 - - G.3 Other liabilities 30 - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 466 179 - H. Interest expense 2 - - H.1 Interest expense on bond issued 1 - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives 2 - - I. Commissions and fees related to the transaction 4 - 1 I.1 for servicing 3 - 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 7 - 1 K. Interest generated by securitised assets 6 - 1 L. Interest income on derivatives - - - M. Other revenues 1 - - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 - - TOTAL REVENUES (K+L+M) 7 - 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 357 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Cordusio RMBS Securitisation S.r.l. Elektra Purchase No. 28 DAC Elektra Purchase No. 31 DAC COUNTRY OF INCORPORATION Piazzetta Monte 1 - 37121 Verona 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 448 179 - A.1 Loans 448 179 - A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations 10 - - C.1 Loans (including bank current account) 10 - - C.2 Bonds - - - D. Other assets 8 - - D.1 Derivatives - - - D.2 Other assets 8 - - TOTAL ASSETS (A+B+C+D) 466 179 - E. Bond issued 416 - - E.1 Senior 177 - - E.2 Mezzanine 236 - - E.3 Junior 2 - - F. Loans received - 179 - F.1 Senior - 179 - F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities 50 - - G.1 Derivatives 2 - - G.2 Due to originator 18 - - G.3 Other liabilities 30 - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 466 179 - H. Interest expense 2 - - H.1 Interest expense on bond issued 1 - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives 2 - - I. Commissions and fees related to the transaction 4 - 1 I.1 for servicing 3 - 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 7 - 1 K. Interest generated by securitised assets 6 - 1 L. Interest income on derivatives - - - M. Other revenues 1 - - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 - - TOTAL REVENUES (K+L+M) 7 - 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 358 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 32 S.A. - Compartment 1 Elektra Purchase No. 33 DAC Elektra Purchase No. 36 DAC COUNTRY OF INCORPORATION 52-54 avenue du X Septembre, L-2550 Luxembourg 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 229 165 550 A.1 Loans 229 165 550 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 229 165 550 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 229 165 550 F.1 Senior 229 165 550 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 229 165 550 H. Interest expense -1 1 -2 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received -1 1 -2 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 3 2 I.1 for servicing 1 3 2 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) - 4 1 K. Interest generated by securitised assets - 4 1 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) - 4 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 358 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 32 S.A. - Compartment 1 Elektra Purchase No. 33 DAC Elektra Purchase No. 36 DAC COUNTRY OF INCORPORATION 52-54 avenue du X Septembre, L-2550 Luxembourg 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 229 165 550 A.1 Loans 229 165 550 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 229 165 550 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 229 165 550 F.1 Senior 229 165 550 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 229 165 550 H. Interest expense -1 1 -2 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received -1 1 -2 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 3 2 I.1 for servicing 1 3 2 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) - 4 1 K. Interest generated by securitised assets - 4 1 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) - 4 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 358 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 32 S.A. - Compartment 1 Elektra Purchase No. 33 DAC Elektra Purchase No. 36 DAC COUNTRY OF INCORPORATION 52-54 avenue du X Septembre, L-2550 Luxembourg 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 229 165 550 A.1 Loans 229 165 550 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 229 165 550 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 229 165 550 F.1 Senior 229 165 550 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 229 165 550 H. Interest expense -1 1 -2 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received -1 1 -2 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 3 2 I.1 for servicing 1 3 2 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) - 4 1 K. Interest generated by securitised assets - 4 1 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) - 4 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 358 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 32 S.A. - Compartment 1 Elektra Purchase No. 33 DAC Elektra Purchase No. 36 DAC COUNTRY OF INCORPORATION 52-54 avenue du X Septembre, L-2550 Luxembourg 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 229 165 550 A.1 Loans 229 165 550 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 229 165 550 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 229 165 550 F.1 Senior 229 165 550 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 229 165 550 H. Interest expense -1 1 -2 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received -1 1 -2 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 3 2 I.1 for servicing 1 3 2 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) - 4 1 K. Interest generated by securitised assets - 4 1 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) - 4 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 358 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 32 S.A. - Compartment 1 Elektra Purchase No. 33 DAC Elektra Purchase No. 36 DAC COUNTRY OF INCORPORATION 52-54 avenue du X Septembre, L-2550 Luxembourg 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 229 165 550 A.1 Loans 229 165 550 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 229 165 550 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 229 165 550 F.1 Senior 229 165 550 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 229 165 550 H. Interest expense -1 1 -2 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received -1 1 -2 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 3 2 I.1 for servicing 1 3 2 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) - 4 1 K. Interest generated by securitised assets - 4 1 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) - 4 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 359 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 37 DAC Elektra Purchase No. 38 DAC Elektra Purchase No. 43 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 112 167 231 A.1 Loans 112 167 231 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 112 167 231 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 112 167 231 F.1 Senior 112 167 231 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 112 167 231 H. Interest expense - - -1 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - -1 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 1 1 I.1 for servicing 1 1 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 - K. Interest generated by securitised assets 1 1 - L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 - PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 359 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 37 DAC Elektra Purchase No. 38 DAC Elektra Purchase No. 43 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 112 167 231 A.1 Loans 112 167 231 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 112 167 231 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 112 167 231 F.1 Senior 112 167 231 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 112 167 231 H. Interest expense - - -1 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - -1 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 1 1 I.1 for servicing 1 1 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 - K. Interest generated by securitised assets 1 1 - L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 - PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 359 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 37 DAC Elektra Purchase No. 38 DAC Elektra Purchase No. 43 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 112 167 231 A.1 Loans 112 167 231 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 112 167 231 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 112 167 231 F.1 Senior 112 167 231 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 112 167 231 H. Interest expense - - -1 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - -1 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 1 1 I.1 for servicing 1 1 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 - K. Interest generated by securitised assets 1 1 - L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 - PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 359 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 37 DAC Elektra Purchase No. 38 DAC Elektra Purchase No. 43 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 112 167 231 A.1 Loans 112 167 231 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 112 167 231 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 112 167 231 F.1 Senior 112 167 231 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 112 167 231 H. Interest expense - - -1 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - -1 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 1 1 I.1 for servicing 1 1 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 - K. Interest generated by securitised assets 1 1 - L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 - PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 359 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 37 DAC Elektra Purchase No. 38 DAC Elektra Purchase No. 43 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets 112 167 231 A.1 Loans 112 167 231 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 112 167 231 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 112 167 231 F.1 Senior 112 167 231 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 112 167 231 H. Interest expense - - -1 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - -1 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 1 1 I.1 for servicing 1 1 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 - K. Interest generated by securitised assets 1 1 - L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 - PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 360 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 46 DAC Elektra Purchase No. 54 DAC Elektra Purchase No. 56 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Haddington Road, 1-2 Victoria Buildings, D04 XN32 Dublin 1-2 Victoria Buildings, 4 Dublin A. Securitised assets 77 45 516 A.1 Loans 77 45 516 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 78 45 516 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 78 45 516 F.1 Senior 78 45 516 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 78 45 516 H. Interest expense - - 3 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - 3 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - 1 2 I.1 for servicing - 1 2 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 5 K. Interest generated by securitised assets 1 1 5 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 5 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 360 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 46 DAC Elektra Purchase No. 54 DAC Elektra Purchase No. 56 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Haddington Road, 1-2 Victoria Buildings, D04 XN32 Dublin 1-2 Victoria Buildings, 4 Dublin A. Securitised assets 77 45 516 A.1 Loans 77 45 516 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 78 45 516 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 78 45 516 F.1 Senior 78 45 516 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 78 45 516 H. Interest expense - - 3 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - 3 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - 1 2 I.1 for servicing - 1 2 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 5 K. Interest generated by securitised assets 1 1 5 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 5 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 360 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 46 DAC Elektra Purchase No. 54 DAC Elektra Purchase No. 56 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Haddington Road, 1-2 Victoria Buildings, D04 XN32 Dublin 1-2 Victoria Buildings, 4 Dublin A. Securitised assets 77 45 516 A.1 Loans 77 45 516 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 78 45 516 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 78 45 516 F.1 Senior 78 45 516 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 78 45 516 H. Interest expense - - 3 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - 3 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - 1 2 I.1 for servicing - 1 2 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 5 K. Interest generated by securitised assets 1 1 5 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 5 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 360 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 46 DAC Elektra Purchase No. 54 DAC Elektra Purchase No. 56 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Haddington Road, 1-2 Victoria Buildings, D04 XN32 Dublin 1-2 Victoria Buildings, 4 Dublin A. Securitised assets 77 45 516 A.1 Loans 77 45 516 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 78 45 516 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 78 45 516 F.1 Senior 78 45 516 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 78 45 516 H. Interest expense - - 3 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - 3 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - 1 2 I.1 for servicing - 1 2 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 5 K. Interest generated by securitised assets 1 1 5 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 5 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 360 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 46 DAC Elektra Purchase No. 54 DAC Elektra Purchase No. 56 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland Haddington Road, 1-2 Victoria Buildings, D04 XN32 Dublin 1-2 Victoria Buildings, 4 Dublin A. Securitised assets 77 45 516 A.1 Loans 77 45 516 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 78 45 516 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 78 45 516 F.1 Senior 78 45 516 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 78 45 516 H. Interest expense - - 3 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - 3 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - 1 2 I.1 for servicing - 1 2 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 5 K. Interest generated by securitised assets 1 1 5 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 5 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 361 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 57 DAC Elektra Purchase No. 64 DAC Elektra Purchase No. 69 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, 4 Dublin Haddington Road; 1-2 Victoria Building; 4; Dublin Haddington Road; 1-2 Victoria Buildings; 4; Dublin A. Securitised assets 133 100 33 A.1 Loans 133 100 33 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets 12 - - D.1 Derivatives 12 - - D.2 Other assets 0 - - TOTAL ASSETS (A+B+C+D) 145 100 33 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 145 100 33 F.1 Senior 145 100 33 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 145 100 33 H. Interest expense -1 -1 - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received -1 -1 - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - 1 - I.1 for servicing - 1 - I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) -1 1 - K. Interest generated by securitised assets -1 1 - L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) -1 1 - PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 361 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 57 DAC Elektra Purchase No. 64 DAC Elektra Purchase No. 69 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, 4 Dublin Haddington Road; 1-2 Victoria Building; 4; Dublin Haddington Road; 1-2 Victoria Buildings; 4; Dublin A. Securitised assets 133 100 33 A.1 Loans 133 100 33 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets 12 - - D.1 Derivatives 12 - - D.2 Other assets 0 - - TOTAL ASSETS (A+B+C+D) 145 100 33 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 145 100 33 F.1 Senior 145 100 33 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 145 100 33 H. Interest expense -1 -1 - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received -1 -1 - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - 1 - I.1 for servicing - 1 - I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) -1 1 - K. Interest generated by securitised assets -1 1 - L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) -1 1 - PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 361 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 57 DAC Elektra Purchase No. 64 DAC Elektra Purchase No. 69 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, 4 Dublin Haddington Road; 1-2 Victoria Building; 4; Dublin Haddington Road; 1-2 Victoria Buildings; 4; Dublin A. Securitised assets 133 100 33 A.1 Loans 133 100 33 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets 12 - - D.1 Derivatives 12 - - D.2 Other assets 0 - - TOTAL ASSETS (A+B+C+D) 145 100 33 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 145 100 33 F.1 Senior 145 100 33 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 145 100 33 H. Interest expense -1 -1 - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received -1 -1 - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - 1 - I.1 for servicing - 1 - I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) -1 1 - K. Interest generated by securitised assets -1 1 - L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) -1 1 - PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 361 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 57 DAC Elektra Purchase No. 64 DAC Elektra Purchase No. 69 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, 4 Dublin Haddington Road; 1-2 Victoria Building; 4; Dublin Haddington Road; 1-2 Victoria Buildings; 4; Dublin A. Securitised assets 133 100 33 A.1 Loans 133 100 33 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets 12 - - D.1 Derivatives 12 - - D.2 Other assets 0 - - TOTAL ASSETS (A+B+C+D) 145 100 33 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 145 100 33 F.1 Senior 145 100 33 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 145 100 33 H. Interest expense -1 -1 - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received -1 -1 - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - 1 - I.1 for servicing - 1 - I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) -1 1 - K. Interest generated by securitised assets -1 1 - L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) -1 1 - PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 361 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 57 DAC Elektra Purchase No. 64 DAC Elektra Purchase No. 69 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings, 4 Dublin Haddington Road; 1-2 Victoria Building; 4; Dublin Haddington Road; 1-2 Victoria Buildings; 4; Dublin A. Securitised assets 133 100 33 A.1 Loans 133 100 33 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets 12 - - D.1 Derivatives 12 - - D.2 Other assets 0 - - TOTAL ASSETS (A+B+C+D) 145 100 33 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 145 100 33 F.1 Senior 145 100 33 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 145 100 33 H. Interest expense -1 -1 - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received -1 -1 - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - 1 - I.1 for servicing - 1 - I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) -1 1 - K. Interest generated by securitised assets -1 1 - L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) -1 1 - PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 362 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 71 DAC Elektra Purchase No. 74 DAC Elektra Purchase No. 911 Ltd COUNTRY OF INCORPORATION Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey A. Securitised assets 104 229 249 A.1 Loans 104 229 249 A.2 Bonds - - - B. Loans disbursed - 1 - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 104 230 249 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 104 230 249 F.1 Senior 104 230 249 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 104 230 249 H. Interest expense - - - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 1 1 I.1 for servicing 1 1 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 1 K. Interest generated by securitised assets 1 1 1 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 362 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 71 DAC Elektra Purchase No. 74 DAC Elektra Purchase No. 911 Ltd COUNTRY OF INCORPORATION Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey A. Securitised assets 104 229 249 A.1 Loans 104 229 249 A.2 Bonds - - - B. Loans disbursed - 1 - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 104 230 249 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 104 230 249 F.1 Senior 104 230 249 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 104 230 249 H. Interest expense - - - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 1 1 I.1 for servicing 1 1 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 1 K. Interest generated by securitised assets 1 1 1 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 362 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 71 DAC Elektra Purchase No. 74 DAC Elektra Purchase No. 911 Ltd COUNTRY OF INCORPORATION Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey A. Securitised assets 104 229 249 A.1 Loans 104 229 249 A.2 Bonds - - - B. Loans disbursed - 1 - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 104 230 249 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 104 230 249 F.1 Senior 104 230 249 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 104 230 249 H. Interest expense - - - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 1 1 I.1 for servicing 1 1 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 1 K. Interest generated by securitised assets 1 1 1 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 362 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 71 DAC Elektra Purchase No. 74 DAC Elektra Purchase No. 911 Ltd COUNTRY OF INCORPORATION Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey A. Securitised assets 104 229 249 A.1 Loans 104 229 249 A.2 Bonds - - - B. Loans disbursed - 1 - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 104 230 249 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 104 230 249 F.1 Senior 104 230 249 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 104 230 249 H. Interest expense - - - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 1 1 I.1 for servicing 1 1 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 1 K. Interest generated by securitised assets 1 1 1 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 362 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Elektra Purchase No. 71 DAC Elektra Purchase No. 74 DAC Elektra Purchase No. 911 Ltd COUNTRY OF INCORPORATION Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin Haddington Road; 1-2 Victoria Buildings; DO4 XN32; Dublin OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey A. Securitised assets 104 229 249 A.1 Loans 104 229 249 A.2 Bonds - - - B. Loans disbursed - 1 - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 104 230 249 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received 104 230 249 F.1 Senior 104 230 249 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 104 230 249 H. Interest expense - - - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 1 1 1 I.1 for servicing 1 1 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 1 1 1 K. Interest generated by securitised assets 1 1 1 L. Interest income on derivatives - - - M. Other revenues - - - M.1 Additional returns for exposure junior - - - M.2 Other revenues - - - TOTAL REVENUES (K+L+M) 1 1 1 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 363 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE F-E Mortgages S.r.l. - 2003 F-E Mortgages S.r.l. - 2005 Ice Creek Pool No. 1 DAC COUNTRY OF INCORPORATION Piazzetta Monte 1 - 37121 Verona Piazzetta Monte 1 - 37121 Verona 1st Fl., 1-2 Victoria Building; Haddington Road; D04 XN32; Dublin A. Securitised assets 64 115 217 A.1 Loans 64 115 217 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations 14 13 - C.1 Loans (including bank current account) 14 13 - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 78 128 217 E. Bond issued 37 99 - E.1 Senior - 30 - E.2 Mezzanine 29 37 - E.3 Junior 8 32 - F. Loans received 11 - 217 F.1 Senior 11 - 217 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities 30 29 - G.1 Derivatives - - - G.2 Due to originator 28 25 - G.3 Other liabilities 3 4 - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 78 128 217 H. Interest expense - 1 - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - - 2 I.1 for servicing - - 2 I.2 for other services - - - J. Other charges 2 1 - J.1 Additional positive returns for exposure junior 2 1 - J.2 Other costs - - - TOTAL COSTS (H+I+J) 2 2 2 K. Interest generated by securitised assets 1 1 2 L. Interest income on derivatives - - - M. Other revenues 1 1 - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 1 - TOTAL REVENUES (K+L+M) 2 2 2 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 363 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE F-E Mortgages S.r.l. - 2003 F-E Mortgages S.r.l. - 2005 Ice Creek Pool No. 1 DAC COUNTRY OF INCORPORATION Piazzetta Monte 1 - 37121 Verona Piazzetta Monte 1 - 37121 Verona 1st Fl., 1-2 Victoria Building; Haddington Road; D04 XN32; Dublin A. Securitised assets 64 115 217 A.1 Loans 64 115 217 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations 14 13 - C.1 Loans (including bank current account) 14 13 - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 78 128 217 E. Bond issued 37 99 - E.1 Senior - 30 - E.2 Mezzanine 29 37 - E.3 Junior 8 32 - F. Loans received 11 - 217 F.1 Senior 11 - 217 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities 30 29 - G.1 Derivatives - - - G.2 Due to originator 28 25 - G.3 Other liabilities 3 4 - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 78 128 217 H. Interest expense - 1 - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - - 2 I.1 for servicing - - 2 I.2 for other services - - - J. Other charges 2 1 - J.1 Additional positive returns for exposure junior 2 1 - J.2 Other costs - - - TOTAL COSTS (H+I+J) 2 2 2 K. Interest generated by securitised assets 1 1 2 L. Interest income on derivatives - - - M. Other revenues 1 1 - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 1 - TOTAL REVENUES (K+L+M) 2 2 2 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 363 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE F-E Mortgages S.r.l. - 2003 F-E Mortgages S.r.l. - 2005 Ice Creek Pool No. 1 DAC COUNTRY OF INCORPORATION Piazzetta Monte 1 - 37121 Verona Piazzetta Monte 1 - 37121 Verona 1st Fl., 1-2 Victoria Building; Haddington Road; D04 XN32; Dublin A. Securitised assets 64 115 217 A.1 Loans 64 115 217 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations 14 13 - C.1 Loans (including bank current account) 14 13 - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 78 128 217 E. Bond issued 37 99 - E.1 Senior - 30 - E.2 Mezzanine 29 37 - E.3 Junior 8 32 - F. Loans received 11 - 217 F.1 Senior 11 - 217 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities 30 29 - G.1 Derivatives - - - G.2 Due to originator 28 25 - G.3 Other liabilities 3 4 - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 78 128 217 H. Interest expense - 1 - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - - 2 I.1 for servicing - - 2 I.2 for other services - - - J. Other charges 2 1 - J.1 Additional positive returns for exposure junior 2 1 - J.2 Other costs - - - TOTAL COSTS (H+I+J) 2 2 2 K. Interest generated by securitised assets 1 1 2 L. Interest income on derivatives - - - M. Other revenues 1 1 - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 1 - TOTAL REVENUES (K+L+M) 2 2 2 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 363 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE F-E Mortgages S.r.l. - 2003 F-E Mortgages S.r.l. - 2005 Ice Creek Pool No. 1 DAC COUNTRY OF INCORPORATION Piazzetta Monte 1 - 37121 Verona Piazzetta Monte 1 - 37121 Verona 1st Fl., 1-2 Victoria Building; Haddington Road; D04 XN32; Dublin A. Securitised assets 64 115 217 A.1 Loans 64 115 217 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations 14 13 - C.1 Loans (including bank current account) 14 13 - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 78 128 217 E. Bond issued 37 99 - E.1 Senior - 30 - E.2 Mezzanine 29 37 - E.3 Junior 8 32 - F. Loans received 11 - 217 F.1 Senior 11 - 217 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities 30 29 - G.1 Derivatives - - - G.2 Due to originator 28 25 - G.3 Other liabilities 3 4 - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 78 128 217 H. Interest expense - 1 - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - - 2 I.1 for servicing - - 2 I.2 for other services - - - J. Other charges 2 1 - J.1 Additional positive returns for exposure junior 2 1 - J.2 Other costs - - - TOTAL COSTS (H+I+J) 2 2 2 K. Interest generated by securitised assets 1 1 2 L. Interest income on derivatives - - - M. Other revenues 1 1 - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 1 - TOTAL REVENUES (K+L+M) 2 2 2 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 363 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE F-E Mortgages S.r.l. - 2003 F-E Mortgages S.r.l. - 2005 Ice Creek Pool No. 1 DAC COUNTRY OF INCORPORATION Piazzetta Monte 1 - 37121 Verona Piazzetta Monte 1 - 37121 Verona 1st Fl., 1-2 Victoria Building; Haddington Road; D04 XN32; Dublin A. Securitised assets 64 115 217 A.1 Loans 64 115 217 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations 14 13 - C.1 Loans (including bank current account) 14 13 - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) 78 128 217 E. Bond issued 37 99 - E.1 Senior - 30 - E.2 Mezzanine 29 37 - E.3 Junior 8 32 - F. Loans received 11 - 217 F.1 Senior 11 - 217 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities 30 29 - G.1 Derivatives - - - G.2 Due to originator 28 25 - G.3 Other liabilities 3 4 - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) 78 128 217 H. Interest expense - 1 - H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received - - - H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction - - 2 I.1 for servicing - - 2 I.2 for other services - - - J. Other charges 2 1 - J.1 Additional positive returns for exposure junior 2 1 - J.2 Other costs - - - TOTAL COSTS (H+I+J) 2 2 2 K. Interest generated by securitised assets 1 1 2 L. Interest income on derivatives - - - M. Other revenues 1 1 - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 1 - TOTAL REVENUES (K+L+M) 2 2 2 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 364 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Ice Creek Pool No. 2 DAC Ice Creek Pool No. 3 DAC Ice Creek Pool No. 5 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings; Haddington Road; 4; Dublin Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets - 208 276 A.1 Loans - 208 276 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) - 208 276 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received - 208 276 F.1 Senior - 208 276 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) - 208 276 H. Interest expense 2 - 1 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received 2 - 1 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 3 - 1 I.1 for servicing 3 - 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 5 - 2 K. Interest generated by securitised assets 4 - 2 L. Interest income on derivatives - - - M. Other revenues 1 - - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 - - TOTAL REVENUES (K+L+M) 5 - 2 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 364 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Ice Creek Pool No. 2 DAC Ice Creek Pool No. 3 DAC Ice Creek Pool No. 5 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings; Haddington Road; 4; Dublin Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets - 208 276 A.1 Loans - 208 276 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) - 208 276 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received - 208 276 F.1 Senior - 208 276 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) - 208 276 H. Interest expense 2 - 1 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received 2 - 1 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 3 - 1 I.1 for servicing 3 - 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 5 - 2 K. Interest generated by securitised assets 4 - 2 L. Interest income on derivatives - - - M. Other revenues 1 - - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 - - TOTAL REVENUES (K+L+M) 5 - 2 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 364 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Ice Creek Pool No. 2 DAC Ice Creek Pool No. 3 DAC Ice Creek Pool No. 5 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings; Haddington Road; 4; Dublin Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets - 208 276 A.1 Loans - 208 276 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) - 208 276 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received - 208 276 F.1 Senior - 208 276 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) - 208 276 H. Interest expense 2 - 1 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received 2 - 1 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 3 - 1 I.1 for servicing 3 - 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 5 - 2 K. Interest generated by securitised assets 4 - 2 L. Interest income on derivatives - - - M. Other revenues 1 - - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 - - TOTAL REVENUES (K+L+M) 5 - 2 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 364 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Ice Creek Pool No. 2 DAC Ice Creek Pool No. 3 DAC Ice Creek Pool No. 5 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings; Haddington Road; 4; Dublin Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets - 208 276 A.1 Loans - 208 276 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) - 208 276 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received - 208 276 F.1 Senior - 208 276 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) - 208 276 H. Interest expense 2 - 1 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received 2 - 1 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 3 - 1 I.1 for servicing 3 - 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 5 - 2 K. Interest generated by securitised assets 4 - 2 L. Interest income on derivatives - - - M. Other revenues 1 - - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 - - TOTAL REVENUES (K+L+M) 5 - 2 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 364 2021 Annual Report and Accounts · UniCredit continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE Ice Creek Pool No. 2 DAC Ice Creek Pool No. 3 DAC Ice Creek Pool No. 5 DAC COUNTRY OF INCORPORATION 1-2 Victoria Buildings; Haddington Road; 4; Dublin Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin 1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland A. Securitised assets - 208 276 A.1 Loans - 208 276 A.2 Bonds - - - B. Loans disbursed - - - C. Use of liquid assets resulting from loan operations - - - C.1 Loans (including bank current account) - - - C.2 Bonds - - - D. Other assets - - - D.1 Derivatives - - - D.2 Other assets - - - TOTAL ASSETS (A+B+C+D) - 208 276 E. Bond issued - - - E.1 Senior - - - E.2 Mezzanine - - - E.3 Junior - - - F. Loans received - 208 276 F.1 Senior - 208 276 F.2 Mezzanine - - - F.3 Junior - - - G. Other liabilities - - - G.1 Derivatives - - - G.2 Due to originator - - - G.3 Other liabilities - - - G.4 Own funds - - - TOTAL LIABILITIES (E+F+G) - 208 276 H. Interest expense 2 - 1 H.1 Interest expense on bond issued - - - H.2 Interest expense on loans received 2 - 1 H.3 Interest expense on derivatives - - - I. Commissions and fees related to the transaction 3 - 1 I.1 for servicing 3 - 1 I.2 for other services - - - J. Other charges - - - J.1 Additional positive returns for exposure junior - - - J.2 Other costs - - - TOTAL COSTS (H+I+J) 5 - 2 K. Interest generated by securitised assets 4 - 2 L. Interest income on derivatives - - - M. Other revenues 1 - - M.1 Additional returns for exposure junior - - - M.2 Other revenues 1 - - TOTAL REVENUES (K+L+M) 5 - 2 PROFIT (LOSS) FOR THE PERIOD - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 365 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE SUCCESS 2015 B.V. COUNTRY OF INCORPORATION Barbara Strozzilaan 101, 1083HN Amsterdam A. Securitised assets 43 A.1 Loans 43 A.2 Bonds - B. Loans disbursed - C. Use of liquid assets resulting from loan operations - C.1 Loans (including bank current account) - C.2 Bonds - D. Other assets - D.1 Derivatives - D.2 Other assets - TOTAL ASSETS (A+B+C+D) 43 E. Bond issued 37 E.1 Senior - E.2 Mezzanine - E.3 Junior 37 F. Loans received - F.1 Senior - F.2 Mezzanine - F.3 Junior - G. Other liabilities 6 G.1 Derivatives - G.2 Due to originator - G.3 Other liabilities 6 G.4 Own funds - TOTAL LIABILITIES (E+F+G) 43 H. Interest expense 1 H.1 Interest expense on bond issued 1 H.2 Interest expense on loans received - H.3 Interest expense on derivatives - I. Commissions and fees related to the transaction - I.1 for servicing - I.2 for other services - J. Other charges - J.1 Additional positive returns for exposure junior - J.2 Other costs - TOTAL COSTS (H+I+J) 1 K. Interest generated by securitised assets 1 L. Interest income on derivatives - M. Other revenues - M.1 Additional returns for exposure junior - M.2 Other revenues - TOTAL REVENUES (K+L+M) 1 PROFIT (LOSS) FOR THE PERIOD - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 365 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE SUCCESS 2015 B.V. COUNTRY OF INCORPORATION Barbara Strozzilaan 101, 1083HN Amsterdam A. Securitised assets 43 A.1 Loans 43 A.2 Bonds - B. Loans disbursed - C. Use of liquid assets resulting from loan operations - C.1 Loans (including bank current account) - C.2 Bonds - D. Other assets - D.1 Derivatives - D.2 Other assets - TOTAL ASSETS (A+B+C+D) 43 E. Bond issued 37 E.1 Senior - E.2 Mezzanine - E.3 Junior 37 F. Loans received - F.1 Senior - F.2 Mezzanine - F.3 Junior - G. Other liabilities 6 G.1 Derivatives - G.2 Due to originator - G.3 Other liabilities 6 G.4 Own funds - TOTAL LIABILITIES (E+F+G) 43 H. Interest expense 1 H.1 Interest expense on bond issued 1 H.2 Interest expense on loans received - H.3 Interest expense on derivatives - I. Commissions and fees related to the transaction - I.1 for servicing - I.2 for other services - J. Other charges - J.1 Additional positive returns for exposure junior - J.2 Other costs - TOTAL COSTS (H+I+J) 1 K. Interest generated by securitised assets 1 L. Interest income on derivatives - M. Other revenues - M.1 Additional returns for exposure junior - M.2 Other revenues - TOTAL REVENUES (K+L+M) 1 PROFIT (LOSS) FOR THE PERIOD - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 365 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE SUCCESS 2015 B.V. COUNTRY OF INCORPORATION Barbara Strozzilaan 101, 1083HN Amsterdam A. Securitised assets 43 A.1 Loans 43 A.2 Bonds - B. Loans disbursed - C. Use of liquid assets resulting from loan operations - C.1 Loans (including bank current account) - C.2 Bonds - D. Other assets - D.1 Derivatives - D.2 Other assets - TOTAL ASSETS (A+B+C+D) 43 E. Bond issued 37 E.1 Senior - E.2 Mezzanine - E.3 Junior 37 F. Loans received - F.1 Senior - F.2 Mezzanine - F.3 Junior - G. Other liabilities 6 G.1 Derivatives - G.2 Due to originator - G.3 Other liabilities 6 G.4 Own funds - TOTAL LIABILITIES (E+F+G) 43 H. Interest expense 1 H.1 Interest expense on bond issued 1 H.2 Interest expense on loans received - H.3 Interest expense on derivatives - I. Commissions and fees related to the transaction - I.1 for servicing - I.2 for other services - J. Other charges - J.1 Additional positive returns for exposure junior - J.2 Other costs - TOTAL COSTS (H+I+J) 1 K. Interest generated by securitised assets 1 L. Interest income on derivatives - M. Other revenues - M.1 Additional returns for exposure junior - M.2 Other revenues - TOTAL REVENUES (K+L+M) 1 PROFIT (LOSS) FOR THE PERIOD - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 365 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE SUCCESS 2015 B.V. COUNTRY OF INCORPORATION Barbara Strozzilaan 101, 1083HN Amsterdam A. Securitised assets 43 A.1 Loans 43 A.2 Bonds - B. Loans disbursed - C. Use of liquid assets resulting from loan operations - C.1 Loans (including bank current account) - C.2 Bonds - D. Other assets - D.1 Derivatives - D.2 Other assets - TOTAL ASSETS (A+B+C+D) 43 E. Bond issued 37 E.1 Senior - E.2 Mezzanine - E.3 Junior 37 F. Loans received - F.1 Senior - F.2 Mezzanine - F.3 Junior - G. Other liabilities 6 G.1 Derivatives - G.2 Due to originator - G.3 Other liabilities 6 G.4 Own funds - TOTAL LIABILITIES (E+F+G) 43 H. Interest expense 1 H.1 Interest expense on bond issued 1 H.2 Interest expense on loans received - H.3 Interest expense on derivatives - I. Commissions and fees related to the transaction - I.1 for servicing - I.2 for other services - J. Other charges - J.1 Additional positive returns for exposure junior - J.2 Other costs - TOTAL COSTS (H+I+J) 1 K. Interest generated by securitised assets 1 L. Interest income on derivatives - M. Other revenues - M.1 Additional returns for exposure junior - M.2 Other revenues - TOTAL REVENUES (K+L+M) 1 PROFIT (LOSS) FOR THE PERIOD - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 365 continued C.6 Regulatory consolidation - Consolidated securitisation vehicles (€ million) 12.31.2021 SPECIAL PURPOSE VEHICLE SUCCESS 2015 B.V. COUNTRY OF INCORPORATION Barbara Strozzilaan 101, 1083HN Amsterdam A. Securitised assets 43 A.1 Loans 43 A.2 Bonds - B. Loans disbursed - C. Use of liquid assets resulting from loan operations - C.1 Loans (including bank current account) - C.2 Bonds - D. Other assets - D.1 Derivatives - D.2 Other assets - TOTAL ASSETS (A+B+C+D) 43 E. Bond issued 37 E.1 Senior - E.2 Mezzanine - E.3 Junior 37 F. Loans received - F.1 Senior - F.2 Mezzanine - F.3 Junior - G. Other liabilities 6 G.1 Derivatives - G.2 Due to originator - G.3 Other liabilities 6 G.4 Own funds - TOTAL LIABILITIES (E+F+G) 43 H. Interest expense 1 H.1 Interest expense on bond issued 1 H.2 Interest expense on loans received - H.3 Interest expense on derivatives - I. Commissions and fees related to the transaction - I.1 for servicing - I.2 for other services - J. Other charges - J.1 Additional positive returns for exposure junior - J.2 Other costs - TOTAL COSTS (H+I+J) 1 K. Interest generated by securitised assets 1 L. Interest income on derivatives - M. Other revenues - M.1 Additional returns for exposure junior - M.2 Other revenues - TOTAL REVENUES (K+L+M) 1 PROFIT (LOSS) FOR THE PERIOD - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 366 2021 Annual Report and Accounts · UniCredit D. Sales transactions A. Financial assets sold and not fully derecognised Quantitative information Any exposures that at the reference date are booked under item “120. Non-current assets and disposal groups classified as held for sale”, in the tables below are shown in correspondence of the original accounting portfolio. D.1 Regulatory consolidation - Financial assets sold and fully recognised and associated financial liabilities: book value (€ million) FINANCIAL ASSETS SOLD AND FULLY RECOGNISED ASSOCIATED FINANCIAL LIABILITIES BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION OF WHICH NON-PERFORMING BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION A. Financial assets held for trading 4,143 - 4,143 X 3,522 - 3,522 1. Debt securities 4,143 - 4,143 X 3,522 - 3,522 2. Equity instruments - - - X - - - 3. Loans - - - X - - - 4. Derivative instruments - - - X - - - B. Other financial assets mandatorily at fair value 480 318 162 7 161 - 161 1. Debt securities 473 311 162 - 161 - 161 2. Equity instruments - - - X - - - 3. Loans 7 7 - 7 - - - C. Financial assets designated at fair value 184 - 184 - 191 - 191 1. Debt securities 184 - 184 - 191 - 191 2. Loans - - - - - - - D. Financial assets at fair value through other comprehensive income 14,792 - 14,792 - 12,559 - 12,559 1. Debt securities 14,792 - 14,792 - 12,559 - 12,559 2. Equity instruments - - - X - - - 3. Loans - - - - - - - E. Financial assets at amortised cost 42,615 27,322 15,288 646 11,605 662 10,943 1. Debt securities 24,916 9,629 15,288 - 10,943 - 10,943 2. Loans 17,699 17,693 - 646 662 662 - Total 12.31.2021 62,214 27,640 34,569 653 28,038 662 27,376 Total 12.31.2020 69,389 27,934 41,157 783 33,039 907 32,132 D.2 Regulatory consolidation - Financial assets sold and partially recognised and associated financial liabilities: book value (€ million) ORIGINAL GROSS VALUE OF ASSETS BEFORE SALE BOOK VALUE OF ASSETS STILL PARTIALLY COGSOF WHICH NON-PERFORMING BOOK VALUE OF ASSOCIATED FINANCIAL LIABILITIES A. Financial assets held for trading - - X - 1. Debt securities - - X - 2. Equity instruments - - X - 3. Loans - - X - 4. Derivative instruments - - X - B. Other financial assets mandatory at fair value - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - E. Financial assets at amortised cost 60 14 14 3 1. Debt securities - - - - 2. Loans 60 14 14 3 Total 12.31.2021 60 14 14 3 Total 12.31.2020 60 11 11 9 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 366 2021 Annual Report and Accounts · UniCredit D. Sales transactions A. Financial assets sold and not fully derecognised Quantitative information Any exposures that at the reference date are booked under item “120. Non-current assets and disposal groups classified as held for sale”, in the tables below are shown in correspondence of the original accounting portfolio. D.1 Regulatory consolidation - Financial assets sold and fully recognised and associated financial liabilities: book value (€ million) FINANCIAL ASSETS SOLD AND FULLY RECOGNISED ASSOCIATED FINANCIAL LIABILITIES BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION OF WHICH NON-PERFORMING BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION A. Financial assets held for trading 4,143 - 4,143 X 3,522 - 3,522 1. Debt securities 4,143 - 4,143 X 3,522 - 3,522 2. Equity instruments - - - X - - - 3. Loans - - - X - - - 4. Derivative instruments - - - X - - - B. Other financial assets mandatorily at fair value 480 318 162 7 161 - 161 1. Debt securities 473 311 162 - 161 - 161 2. Equity instruments - - - X - - - 3. Loans 7 7 - 7 - - - C. Financial assets designated at fair value 184 - 184 - 191 - 191 1. Debt securities 184 - 184 - 191 - 191 2. Loans - - - - - - - D. Financial assets at fair value through other comprehensive income 14,792 - 14,792 - 12,559 - 12,559 1. Debt securities 14,792 - 14,792 - 12,559 - 12,559 2. Equity instruments - - - X - - - 3. Loans - - - - - - - E. Financial assets at amortised cost 42,615 27,322 15,288 646 11,605 662 10,943 1. Debt securities 24,916 9,629 15,288 - 10,943 - 10,943 2. Loans 17,699 17,693 - 646 662 662 - Total 12.31.2021 62,214 27,640 34,569 653 28,038 662 27,376 Total 12.31.2020 69,389 27,934 41,157 783 33,039 907 32,132 D.2 Regulatory consolidation - Financial assets sold and partially recognised and associated financial liabilities: book value (€ million) ORIGINAL GROSS VALUE OF ASSETS BEFORE SALE BOOK VALUE OF ASSETS STILL PARTIALLY COGSOF WHICH NON-PERFORMING BOOK VALUE OF ASSOCIATED FINANCIAL LIABILITIES A. Financial assets held for trading - - X - 1. Debt securities - - X - 2. Equity instruments - - X - 3. Loans - - X - 4. Derivative instruments - - X - B. Other financial assets mandatory at fair value - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - E. Financial assets at amortised cost 60 14 14 3 1. Debt securities - - - - 2. Loans 60 14 14 3 Total 12.31.2021 60 14 14 3 Total 12.31.2020 60 11 11 9 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 366 2021 Annual Report and Accounts · UniCredit D. Sales transactions A. Financial assets sold and not fully derecognised Quantitative information Any exposures that at the reference date are booked under item “120. Non-current assets and disposal groups classified as held for sale”, in the tables below are shown in correspondence of the original accounting portfolio. D.1 Regulatory consolidation - Financial assets sold and fully recognised and associated financial liabilities: book value (€ million) FINANCIAL ASSETS SOLD AND FULLY RECOGNISED ASSOCIATED FINANCIAL LIABILITIES BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION OF WHICH NON-PERFORMING BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION A. Financial assets held for trading 4,143 - 4,143 X 3,522 - 3,522 1. Debt securities 4,143 - 4,143 X 3,522 - 3,522 2. Equity instruments - - - X - - - 3. Loans - - - X - - - 4. Derivative instruments - - - X - - - B. Other financial assets mandatorily at fair value 480 318 162 7 161 - 161 1. Debt securities 473 311 162 - 161 - 161 2. Equity instruments - - - X - - - 3. Loans 7 7 - 7 - - - C. Financial assets designated at fair value 184 - 184 - 191 - 191 1. Debt securities 184 - 184 - 191 - 191 2. Loans - - - - - - - D. Financial assets at fair value through other comprehensive income 14,792 - 14,792 - 12,559 - 12,559 1. Debt securities 14,792 - 14,792 - 12,559 - 12,559 2. Equity instruments - - - X - - - 3. Loans - - - - - - - E. Financial assets at amortised cost 42,615 27,322 15,288 646 11,605 662 10,943 1. Debt securities 24,916 9,629 15,288 - 10,943 - 10,943 2. Loans 17,699 17,693 - 646 662 662 - Total 12.31.2021 62,214 27,640 34,569 653 28,038 662 27,376 Total 12.31.2020 69,389 27,934 41,157 783 33,039 907 32,132 D.2 Regulatory consolidation - Financial assets sold and partially recognised and associated financial liabilities: book value (€ million) ORIGINAL GROSS VALUE OF ASSETS BEFORE SALE BOOK VALUE OF ASSETS STILL PARTIALLY COGSOF WHICH NON-PERFORMING BOOK VALUE OF ASSOCIATED FINANCIAL LIABILITIES A. Financial assets held for trading - - X - 1. Debt securities - - X - 2. Equity instruments - - X - 3. Loans - - X - 4. Derivative instruments - - X - B. Other financial assets mandatory at fair value - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - E. Financial assets at amortised cost 60 14 14 3 1. Debt securities - - - - 2. Loans 60 14 14 3 Total 12.31.2021 60 14 14 3 Total 12.31.2020 60 11 11 9 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 366 2021 Annual Report and Accounts · UniCredit D. Sales transactions A. Financial assets sold and not fully derecognised Quantitative information Any exposures that at the reference date are booked under item “120. Non-current assets and disposal groups classified as held for sale”, in the tables below are shown in correspondence of the original accounting portfolio. D.1 Regulatory consolidation - Financial assets sold and fully recognised and associated financial liabilities: book value (€ million) FINANCIAL ASSETS SOLD AND FULLY RECOGNISED ASSOCIATED FINANCIAL LIABILITIES BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION OF WHICH NON-PERFORMING BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION A. Financial assets held for trading 4,143 - 4,143 X 3,522 - 3,522 1. Debt securities 4,143 - 4,143 X 3,522 - 3,522 2. Equity instruments - - - X - - - 3. Loans - - - X - - - 4. Derivative instruments - - - X - - - B. Other financial assets mandatorily at fair value 480 318 162 7 161 - 161 1. Debt securities 473 311 162 - 161 - 161 2. Equity instruments - - - X - - - 3. Loans 7 7 - 7 - - - C. Financial assets designated at fair value 184 - 184 - 191 - 191 1. Debt securities 184 - 184 - 191 - 191 2. Loans - - - - - - - D. Financial assets at fair value through other comprehensive income 14,792 - 14,792 - 12,559 - 12,559 1. Debt securities 14,792 - 14,792 - 12,559 - 12,559 2. Equity instruments - - - X - - - 3. Loans - - - - - - - E. Financial assets at amortised cost 42,615 27,322 15,288 646 11,605 662 10,943 1. Debt securities 24,916 9,629 15,288 - 10,943 - 10,943 2. Loans 17,699 17,693 - 646 662 662 - Total 12.31.2021 62,214 27,640 34,569 653 28,038 662 27,376 Total 12.31.2020 69,389 27,934 41,157 783 33,039 907 32,132 D.2 Regulatory consolidation - Financial assets sold and partially recognised and associated financial liabilities: book value (€ million) ORIGINAL GROSS VALUE OF ASSETS BEFORE SALE BOOK VALUE OF ASSETS STILL PARTIALLY COGSOF WHICH NON-PERFORMING BOOK VALUE OF ASSOCIATED FINANCIAL LIABILITIES A. Financial assets held for trading - - X - 1. Debt securities - - X - 2. Equity instruments - - X - 3. Loans - - X - 4. Derivative instruments - - X - B. Other financial assets mandatory at fair value - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - E. Financial assets at amortised cost 60 14 14 3 1. Debt securities - - - - 2. Loans 60 14 14 3 Total 12.31.2021 60 14 14 3 Total 12.31.2020 60 11 11 9 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 366 2021 Annual Report and Accounts · UniCredit D. Sales transactions A. Financial assets sold and not fully derecognised Quantitative information Any exposures that at the reference date are booked under item “120. Non-current assets and disposal groups classified as held for sale”, in the tables below are shown in correspondence of the original accounting portfolio. D.1 Regulatory consolidation - Financial assets sold and fully recognised and associated financial liabilities: book value (€ million) FINANCIAL ASSETS SOLD AND FULLY RECOGNISED ASSOCIATED FINANCIAL LIABILITIES BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION OF WHICH NON-PERFORMING BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION A. Financial assets held for trading 4,143 - 4,143 X 3,522 - 3,522 1. Debt securities 4,143 - 4,143 X 3,522 - 3,522 2. Equity instruments - - - X - - - 3. Loans - - - X - - - 4. Derivative instruments - - - X - - - B. Other financial assets mandatorily at fair value 480 318 162 7 161 - 161 1. Debt securities 473 311 162 - 161 - 161 2. Equity instruments - - - X - - - 3. Loans 7 7 - 7 - - - C. Financial assets designated at fair value 184 - 184 - 191 - 191 1. Debt securities 184 - 184 - 191 - 191 2. Loans - - - - - - - D. Financial assets at fair value through other comprehensive income 14,792 - 14,792 - 12,559 - 12,559 1. Debt securities 14,792 - 14,792 - 12,559 - 12,559 2. Equity instruments - - - X - - - 3. Loans - - - - - - - E. Financial assets at amortised cost 42,615 27,322 15,288 646 11,605 662 10,943 1. Debt securities 24,916 9,629 15,288 - 10,943 - 10,943 2. Loans 17,699 17,693 - 646 662 662 - Total 12.31.2021 62,214 27,640 34,569 653 28,038 662 27,376 Total 12.31.2020 69,389 27,934 41,157 783 33,039 907 32,132 D.2 Regulatory consolidation - Financial assets sold and partially recognised and associated financial liabilities: book value (€ million) ORIGINAL GROSS VALUE OF ASSETS BEFORE SALE BOOK VALUE OF ASSETS STILL PARTIALLY COGSOF WHICH NON-PERFORMING BOOK VALUE OF ASSOCIATED FINANCIAL LIABILITIES A. Financial assets held for trading - - X - 1. Debt securities - - X - 2. Equity instruments - - X - 3. Loans - - X - 4. Derivative instruments - - X - B. Other financial assets mandatory at fair value - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - E. Financial assets at amortised cost 60 14 14 3 1. Debt securities - - - - 2. Loans 60 14 14 3 Total 12.31.2021 60 14 14 3 Total 12.31.2020 60 11 11 9 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 367 D.3 Regulatory consolidation - Sale transactions relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: fair value (€ million) FULLY RECOGNISED PARTIALLY RECOGNISED TOTAL 12.31.2021 12.31.2020 A. Financial assets held for trading - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - 4. Derivative instruments - - - - B. Other financial assets mandatorily at fair value 318 - 318 327 1. Debt securities 311 - 311 311 2. Equity instruments - - - - 3. Loans 7 - 7 16 C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - E. Financial assets at amortised cost (fair value) 27,603 14 27,617 18,291 1. Debt securities 9,638 - 9,638 - 2. Loans 17,965 14 17,979 18,291 Total associated financial assets 27,921 14 27,935 18,618 Total associated financial liabilities 576 3 X X Total net amount 12.31.2021 27,345 11 27,356 X Total net amount 12.31.2020 17,683 19 X 17,702 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 367 D.3 Regulatory consolidation - Sale transactions relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: fair value (€ million) FULLY RECOGNISED PARTIALLY RECOGNISED TOTAL 12.31.2021 12.31.2020 A. Financial assets held for trading - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - 4. Derivative instruments - - - - B. Other financial assets mandatorily at fair value 318 - 318 327 1. Debt securities 311 - 311 311 2. Equity instruments - - - - 3. Loans 7 - 7 16 C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - E. Financial assets at amortised cost (fair value) 27,603 14 27,617 18,291 1. Debt securities 9,638 - 9,638 - 2. Loans 17,965 14 17,979 18,291 Total associated financial assets 27,921 14 27,935 18,618 Total associated financial liabilities 576 3 X X Total net amount 12.31.2021 27,345 11 27,356 X Total net amount 12.31.2020 17,683 19 X 17,702 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 367 D.3 Regulatory consolidation - Sale transactions relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: fair value (€ million) FULLY RECOGNISED PARTIALLY RECOGNISED TOTAL 12.31.2021 12.31.2020 A. Financial assets held for trading - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - 4. Derivative instruments - - - - B. Other financial assets mandatorily at fair value 318 - 318 327 1. Debt securities 311 - 311 311 2. Equity instruments - - - - 3. Loans 7 - 7 16 C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - E. Financial assets at amortised cost (fair value) 27,603 14 27,617 18,291 1. Debt securities 9,638 - 9,638 - 2. Loans 17,965 14 17,979 18,291 Total associated financial assets 27,921 14 27,935 18,618 Total associated financial liabilities 576 3 X X Total net amount 12.31.2021 27,345 11 27,356 X Total net amount 12.31.2020 17,683 19 X 17,702 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 367 D.3 Regulatory consolidation - Sale transactions relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: fair value (€ million) FULLY RECOGNISED PARTIALLY RECOGNISED TOTAL 12.31.2021 12.31.2020 A. Financial assets held for trading - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - 4. Derivative instruments - - - - B. Other financial assets mandatorily at fair value 318 - 318 327 1. Debt securities 311 - 311 311 2. Equity instruments - - - - 3. Loans 7 - 7 16 C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - E. Financial assets at amortised cost (fair value) 27,603 14 27,617 18,291 1. Debt securities 9,638 - 9,638 - 2. Loans 17,965 14 17,979 18,291 Total associated financial assets 27,921 14 27,935 18,618 Total associated financial liabilities 576 3 X X Total net amount 12.31.2021 27,345 11 27,356 X Total net amount 12.31.2020 17,683 19 X 17,702 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 367 D.3 Regulatory consolidation - Sale transactions relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: fair value (€ million) FULLY RECOGNISED PARTIALLY RECOGNISED TOTAL 12.31.2021 12.31.2020 A. Financial assets held for trading - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - 4. Derivative instruments - - - - B. Other financial assets mandatorily at fair value 318 - 318 327 1. Debt securities 311 - 311 311 2. Equity instruments - - - - 3. Loans 7 - 7 16 C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - E. Financial assets at amortised cost (fair value) 27,603 14 27,617 18,291 1. Debt securities 9,638 - 9,638 - 2. Loans 17,965 14 17,979 18,291 Total associated financial assets 27,921 14 27,935 18,618 Total associated financial liabilities 576 3 X X Total net amount 12.31.2021 27,345 11 27,356 X Total net amount 12.31.2020 17,683 19 X 17,702 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 368 2021 Annual Report and Accounts · UniCredit B. Financial assets sold and fully derecognised with recognition of continuous involvement Qualitative and quantitative information At the end of the year there were no disposals of financial assets that had been fully derecognised, which required the recognition of continuing involvement. C. Financial assets sold and fully derecognised Quantitative information As at 31 December 2021, UniCredit group holds asset-backed securities and units in investment funds acquired following the sale of financial assets fully derecognised, carried out in 2021 and in previous years. These transactions involved the sale of financial assets, mainly consisting of loans classified as "unlikely to pay", by the originator companies of the Group to securitisation vehicles or investment funds and their derecognition from the financial statements pursuant to IFRS9, following the assessment that the originator itself has substantially transferred the risks and benefits of the assets sold and at the same time has not maintained any control over the same assets. Instead of these derecognised assets, the asset-backed securities or the units in investment funds received in the same transactions were recognized among the Financial assets at fair value through other comprehensive income or those mandatorily valued at fair value. For further information on each transaction carried out in the 2021 and also in the previous years, refer to “Annex 3 - Securitizations - qualitative tables” and “Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables”. C. Regulatory Consolidation - Financial assets sold and fully derecognised (€ million) ORIGINAL BOOK VALUE OF ASSETS BEFORE SALE OF WHICH NON-PERFORMING BOOK VALUE OF THE BALANCE-SHEET EXPOSURE ACQUIRED A. Financial assets held for trading - X - 1. Debt securities - X - 2. Equity instruments - X - 3. Loans - X - 4. Derivative instruments - X - B. Other financial assets mandatorily at fair value - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - C. Financial assets designated at fair value - - - 1. Debt securities - - - 2. Loans - - - D. Financial assets at fair value through other comprehensive income - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - E. Financial assets at amortised cost 333 333 300 1. Debt securities - - - 2. Loans 333 333 300 Total 12.31.2021 333 333 300 The asset-backed securities acquired during the year by such transactions, amounting to €261 million, are classified in the Financial assets at fair value through other comprehensive income portfolio, while the units in investment Funds underwritten, amounting to €39 million, are classified in the Financial assets mandatorily at fair value portfolio. Moreover, with reference to sales of financial assets fully derecognised carried out in previous years, it should be noted that as of 31 December 2021, additional €1,241 million of asset-backed securities are booked in the Financial assets at fair value through other comprehensive income portfolio as well as in the Financial assets mandatorily at fair value portfolio are booked additional €62 million of asset-backed securities and €244 million of Investment Funds’ Units acquired in the previous years. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 368 2021 Annual Report and Accounts · UniCredit B. Financial assets sold and fully derecognised with recognition of continuous involvement Qualitative and quantitative information At the end of the year there were no disposals of financial assets that had been fully derecognised, which required the recognition of continuing involvement. C. Financial assets sold and fully derecognised Quantitative information As at 31 December 2021, UniCredit group holds asset-backed securities and units in investment funds acquired following the sale of financial assets fully derecognised, carried out in 2021 and in previous years. These transactions involved the sale of financial assets, mainly consisting of loans classified as "unlikely to pay", by the originator companies of the Group to securitisation vehicles or investment funds and their derecognition from the financial statements pursuant to IFRS9, following the assessment that the originator itself has substantially transferred the risks and benefits of the assets sold and at the same time has not maintained any control over the same assets. Instead of these derecognised assets, the asset-backed securities or the units in investment funds received in the same transactions were recognized among the Financial assets at fair value through other comprehensive income or those mandatorily valued at fair value. For further information on each transaction carried out in the 2021 and also in the previous years, refer to “Annex 3 - Securitizations - qualitative tables” and “Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables”. C. Regulatory Consolidation - Financial assets sold and fully derecognised (€ million) ORIGINAL BOOK VALUE OF ASSETS BEFORE SALE OF WHICH NON-PERFORMING BOOK VALUE OF THE BALANCE-SHEET EXPOSURE ACQUIRED A. Financial assets held for trading - X - 1. Debt securities - X - 2. Equity instruments - X - 3. Loans - X - 4. Derivative instruments - X - B. Other financial assets mandatorily at fair value - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - C. Financial assets designated at fair value - - - 1. Debt securities - - - 2. Loans - - - D. Financial assets at fair value through other comprehensive income - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - E. Financial assets at amortised cost 333 333 300 1. Debt securities - - - 2. Loans 333 333 300 Total 12.31.2021 333 333 300 The asset-backed securities acquired during the year by such transactions, amounting to €261 million, are classified in the Financial assets at fair value through other comprehensive income portfolio, while the units in investment Funds underwritten, amounting to €39 million, are classified in the Financial assets mandatorily at fair value portfolio. Moreover, with reference to sales of financial assets fully derecognised carried out in previous years, it should be noted that as of 31 December 2021, additional €1,241 million of asset-backed securities are booked in the Financial assets at fair value through other comprehensive income portfolio as well as in the Financial assets mandatorily at fair value portfolio are booked additional €62 million of asset-backed securities and €244 million of Investment Funds’ Units acquired in the previous years. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 368 2021 Annual Report and Accounts · UniCredit B. Financial assets sold and fully derecognised with recognition of continuous involvement Qualitative and quantitative information At the end of the year there were no disposals of financial assets that had been fully derecognised, which required the recognition of continuing involvement. C. Financial assets sold and fully derecognised Quantitative information As at 31 December 2021, UniCredit group holds asset-backed securities and units in investment funds acquired following the sale of financial assets fully derecognised, carried out in 2021 and in previous years. These transactions involved the sale of financial assets, mainly consisting of loans classified as "unlikely to pay", by the originator companies of the Group to securitisation vehicles or investment funds and their derecognition from the financial statements pursuant to IFRS9, following the assessment that the originator itself has substantially transferred the risks and benefits of the assets sold and at the same time has not maintained any control over the same assets. Instead of these derecognised assets, the asset-backed securities or the units in investment funds received in the same transactions were recognized among the Financial assets at fair value through other comprehensive income or those mandatorily valued at fair value. For further information on each transaction carried out in the 2021 and also in the previous years, refer to “Annex 3 - Securitizations - qualitative tables” and “Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables”. C. Regulatory Consolidation - Financial assets sold and fully derecognised (€ million) ORIGINAL BOOK VALUE OF ASSETS BEFORE SALE OF WHICH NON-PERFORMING BOOK VALUE OF THE BALANCE-SHEET EXPOSURE ACQUIRED A. Financial assets held for trading - X - 1. Debt securities - X - 2. Equity instruments - X - 3. Loans - X - 4. Derivative instruments - X - B. Other financial assets mandatorily at fair value - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - C. Financial assets designated at fair value - - - 1. Debt securities - - - 2. Loans - - - D. Financial assets at fair value through other comprehensive income - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - E. Financial assets at amortised cost 333 333 300 1. Debt securities - - - 2. Loans 333 333 300 Total 12.31.2021 333 333 300 The asset-backed securities acquired during the year by such transactions, amounting to €261 million, are classified in the Financial assets at fair value through other comprehensive income portfolio, while the units in investment Funds underwritten, amounting to €39 million, are classified in the Financial assets mandatorily at fair value portfolio. Moreover, with reference to sales of financial assets fully derecognised carried out in previous years, it should be noted that as of 31 December 2021, additional €1,241 million of asset-backed securities are booked in the Financial assets at fair value through other comprehensive income portfolio as well as in the Financial assets mandatorily at fair value portfolio are booked additional €62 million of asset-backed securities and €244 million of Investment Funds’ Units acquired in the previous years. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 368 2021 Annual Report and Accounts · UniCredit B. Financial assets sold and fully derecognised with recognition of continuous involvement Qualitative and quantitative information At the end of the year there were no disposals of financial assets that had been fully derecognised, which required the recognition of continuing involvement. C. Financial assets sold and fully derecognised Quantitative information As at 31 December 2021, UniCredit group holds asset-backed securities and units in investment funds acquired following the sale of financial assets fully derecognised, carried out in 2021 and in previous years. These transactions involved the sale of financial assets, mainly consisting of loans classified as "unlikely to pay", by the originator companies of the Group to securitisation vehicles or investment funds and their derecognition from the financial statements pursuant to IFRS9, following the assessment that the originator itself has substantially transferred the risks and benefits of the assets sold and at the same time has not maintained any control over the same assets. Instead of these derecognised assets, the asset-backed securities or the units in investment funds received in the same transactions were recognized among the Financial assets at fair value through other comprehensive income or those mandatorily valued at fair value. For further information on each transaction carried out in the 2021 and also in the previous years, refer to “Annex 3 - Securitizations - qualitative tables” and “Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables”. C. Regulatory Consolidation - Financial assets sold and fully derecognised (€ million) ORIGINAL BOOK VALUE OF ASSETS BEFORE SALE OF WHICH NON-PERFORMING BOOK VALUE OF THE BALANCE-SHEET EXPOSURE ACQUIRED A. Financial assets held for trading - X - 1. Debt securities - X - 2. Equity instruments - X - 3. Loans - X - 4. Derivative instruments - X - B. Other financial assets mandatorily at fair value - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - C. Financial assets designated at fair value - - - 1. Debt securities - - - 2. Loans - - - D. Financial assets at fair value through other comprehensive income - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - E. Financial assets at amortised cost 333 333 300 1. Debt securities - - - 2. Loans 333 333 300 Total 12.31.2021 333 333 300 The asset-backed securities acquired during the year by such transactions, amounting to €261 million, are classified in the Financial assets at fair value through other comprehensive income portfolio, while the units in investment Funds underwritten, amounting to €39 million, are classified in the Financial assets mandatorily at fair value portfolio. Moreover, with reference to sales of financial assets fully derecognised carried out in previous years, it should be noted that as of 31 December 2021, additional €1,241 million of asset-backed securities are booked in the Financial assets at fair value through other comprehensive income portfolio as well as in the Financial assets mandatorily at fair value portfolio are booked additional €62 million of asset-backed securities and €244 million of Investment Funds’ Units acquired in the previous years. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 368 2021 Annual Report and Accounts · UniCredit B. Financial assets sold and fully derecognised with recognition of continuous involvement Qualitative and quantitative information At the end of the year there were no disposals of financial assets that had been fully derecognised, which required the recognition of continuing involvement. C. Financial assets sold and fully derecognised Quantitative information As at 31 December 2021, UniCredit group holds asset-backed securities and units in investment funds acquired following the sale of financial assets fully derecognised, carried out in 2021 and in previous years. These transactions involved the sale of financial assets, mainly consisting of loans classified as "unlikely to pay", by the originator companies of the Group to securitisation vehicles or investment funds and their derecognition from the financial statements pursuant to IFRS9, following the assessment that the originator itself has substantially transferred the risks and benefits of the assets sold and at the same time has not maintained any control over the same assets. Instead of these derecognised assets, the asset-backed securities or the units in investment funds received in the same transactions were recognized among the Financial assets at fair value through other comprehensive income or those mandatorily valued at fair value. For further information on each transaction carried out in the 2021 and also in the previous years, refer to “Annex 3 - Securitizations - qualitative tables” and “Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables”. C. Regulatory Consolidation - Financial assets sold and fully derecognised (€ million) ORIGINAL BOOK VALUE OF ASSETS BEFORE SALE OF WHICH NON-PERFORMING BOOK VALUE OF THE BALANCE-SHEET EXPOSURE ACQUIRED A. Financial assets held for trading - X - 1. Debt securities - X - 2. Equity instruments - X - 3. Loans - X - 4. Derivative instruments - X - B. Other financial assets mandatorily at fair value - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - C. Financial assets designated at fair value - - - 1. Debt securities - - - 2. Loans - - - D. Financial assets at fair value through other comprehensive income - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - E. Financial assets at amortised cost 333 333 300 1. Debt securities - - - 2. Loans 333 333 300 Total 12.31.2021 333 333 300 The asset-backed securities acquired during the year by such transactions, amounting to €261 million, are classified in the Financial assets at fair value through other comprehensive income portfolio, while the units in investment Funds underwritten, amounting to €39 million, are classified in the Financial assets mandatorily at fair value portfolio. Moreover, with reference to sales of financial assets fully derecognised carried out in previous years, it should be noted that as of 31 December 2021, additional €1,241 million of asset-backed securities are booked in the Financial assets at fair value through other comprehensive income portfolio as well as in the Financial assets mandatorily at fair value portfolio are booked additional €62 million of asset-backed securities and €244 million of Investment Funds’ Units acquired in the previous years. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 369 D.4 Regulatory consolidation - Covered Bond Transactions In 2008 the Group initiated a first Covered Bond (OBG or Obbligazioni Bancarie Garantite) Programme with residential mortgage loans as the underlying assets and in 2012 a second Covered Bond Programme with both residential and commercial mortgage loans as underlying assets, in line with Law 130/99, the MEF decree dated 14 December 2006 and Banca d’Italia instructions dated 17 May 2007 as amended on 24 March 2010 and on 24 June 2014. Under these programmes: • UniCredit S.p.A. is issuer and also acts as transferor of suitable assets and servicer; • UniCredit BpC Mortgage S.r.l. and UniCredit OBG S.r.l. (special purpose vehicles set up within the banking group as expressly authorised by Banca d’Italia) are guarantors of the OBG holders of the first and the second programme respectively, within the limits of the cover pools; and • the auditing firm BDO Italia S.p.A. is Asset Monitor for both the programmes. The first programme, guaranteed by UniCredit BpC Mortgage S.r.l., is characterised by a Soft Bullet method60 of reimbursement and is rated by Fitch (AA), S&P (AA-), Moody’s (Aa3). The second programme, guaranteed by UniCredit OBG S.r.l., is characterised by a Conditional Pass-Through method61 of reimbursement and is rated by Moody’s (Aa3). The Group’s main aims in issuing OBGs are to diversify its funding sources and fund at competitive rates. As with the securitisations, the difficulties in the markets made it advisable to use securitisation as a means of increasing the Group’s counterbalancing capacity by retaining with the Group part of the securities issued by the vehicle. An integral feature of OBG Programme management is maintaining a balance between the characteristics of the assets sold and the issues. This is necessary to maintain the efficacy of the guarantee given by the SPV to the bondholders. Given the complexity of the transaction, a system of first- and second-level controls and procedures has been set up, as required by Banca d’Italia instructions, to identify units, functions, duties and responsibilities, and specific policies have been issued to this end. The policies were as approved by the competent committees, the Statutory Auditors and the Board of Directors of UniCredit S.p.A. As required by Banca d’Italia instructions on controls: • UniCredit’s Risk Management function is charged with the management of the issuer’s risks and checks: - the quality, suitability and integrity of the assets sold to guarantee the OBGs; - that the maximum ratio of OBGs issued to assets sold to guarantee them is adhered to; - that limits on sales and supplementary sales procedures are followed; - the effectiveness and adequacy of the hedges provided by any derivatives contracts entered into in relation to the Programme; and - the trend in the balance between the cash flow arising from the cover pool and that absorbed by the OBGs in issue; • the Asset Monitor is an outside independent entity charged with checking at least annually the regularity of the transactions and the integrity of the guarantee to the bondholders; • UniCredit’s internal audit department is responsible for a complete audit (to be conducted at least once a year) of the adequacy of the controls performed; • the results of the audits performed by the Asset Monitor and the issuer’s internal audit department are submitted to the governing bodies. 60 Soft Bullet repayment method: in case the issuer is insolvent and the OBG guarantor has insufficient funds to repay in full the OBG at the maturity date, the maturity date is automatically extended by 1 year and any unpaid and due amount shall be payable by such date. In case the OBG guarantor is not able to redeem the OBG at the extended maturity all the outstanding OBG become due and payable and the guarantor has to sale the whole underlying portfolio. 61 Conditional pass-through repayment method: in case the issuer is insolvent and the OBG guarantor has insufficient funds to repay in full the OBG at the maturity date, the OBG turns in to “pass-through” and the maturity date is extended by 38 years. During the extended period the OBG guarantor has the option to attempt a selected sale of the underlying portfolio every 6 months in order to redeem the pass-through OBG.. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 369 D.4 Regulatory consolidation - Covered Bond Transactions In 2008 the Group initiated a first Covered Bond (OBG or Obbligazioni Bancarie Garantite) Programme with residential mortgage loans as the underlying assets and in 2012 a second Covered Bond Programme with both residential and commercial mortgage loans as underlying assets, in line with Law 130/99, the MEF decree dated 14 December 2006 and Banca d’Italia instructions dated 17 May 2007 as amended on 24 March 2010 and on 24 June 2014. Under these programmes: • UniCredit S.p.A. is issuer and also acts as transferor of suitable assets and servicer; • UniCredit BpC Mortgage S.r.l. and UniCredit OBG S.r.l. (special purpose vehicles set up within the banking group as expressly authorised by Banca d’Italia) are guarantors of the OBG holders of the first and the second programme respectively, within the limits of the cover pools; and • the auditing firm BDO Italia S.p.A. is Asset Monitor for both the programmes. The first programme, guaranteed by UniCredit BpC Mortgage S.r.l., is characterised by a Soft Bullet method60 of reimbursement and is rated by Fitch (AA), S&P (AA-), Moody’s (Aa3). The second programme, guaranteed by UniCredit OBG S.r.l., is characterised by a Conditional Pass-Through method61 of reimbursement and is rated by Moody’s (Aa3). The Group’s main aims in issuing OBGs are to diversify its funding sources and fund at competitive rates. As with the securitisations, the difficulties in the markets made it advisable to use securitisation as a means of increasing the Group’s counterbalancing capacity by retaining with the Group part of the securities issued by the vehicle. An integral feature of OBG Programme management is maintaining a balance between the characteristics of the assets sold and the issues. This is necessary to maintain the efficacy of the guarantee given by the SPV to the bondholders. Given the complexity of the transaction, a system of first- and second-level controls and procedures has been set up, as required by Banca d’Italia instructions, to identify units, functions, duties and responsibilities, and specific policies have been issued to this end. The policies were as approved by the competent committees, the Statutory Auditors and the Board of Directors of UniCredit S.p.A. As required by Banca d’Italia instructions on controls: • UniCredit’s Risk Management function is charged with the management of the issuer’s risks and checks: - the quality, suitability and integrity of the assets sold to guarantee the OBGs; - that the maximum ratio of OBGs issued to assets sold to guarantee them is adhered to; - that limits on sales and supplementary sales procedures are followed; - the effectiveness and adequacy of the hedges provided by any derivatives contracts entered into in relation to the Programme; and - the trend in the balance between the cash flow arising from the cover pool and that absorbed by the OBGs in issue; • the Asset Monitor is an outside independent entity charged with checking at least annually the regularity of the transactions and the integrity of the guarantee to the bondholders; • UniCredit’s internal audit department is responsible for a complete audit (to be conducted at least once a year) of the adequacy of the controls performed; • the results of the audits performed by the Asset Monitor and the issuer’s internal audit department are submitted to the governing bodies. 60 Soft Bullet repayment method: in case the issuer is insolvent and the OBG guarantor has insufficient funds to repay in full the OBG at the maturity date, the maturity date is automatically extended by 1 year and any unpaid and due amount shall be payable by such date. In case the OBG guarantor is not able to redeem the OBG at the extended maturity all the outstanding OBG become due and payable and the guarantor has to sale the whole underlying portfolio. 61 Conditional pass-through repayment method: in case the issuer is insolvent and the OBG guarantor has insufficient funds to repay in full the OBG at the maturity date, the OBG turns in to “pass-through” and the maturity date is extended by 38 years. During the extended period the OBG guarantor has the option to attempt a selected sale of the underlying portfolio every 6 months in order to redeem the pass-through OBG.. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 369 D.4 Regulatory consolidation - Covered Bond Transactions In 2008 the Group initiated a first Covered Bond (OBG or Obbligazioni Bancarie Garantite) Programme with residential mortgage loans as the underlying assets and in 2012 a second Covered Bond Programme with both residential and commercial mortgage loans as underlying assets, in line with Law 130/99, the MEF decree dated 14 December 2006 and Banca d’Italia instructions dated 17 May 2007 as amended on 24 March 2010 and on 24 June 2014. Under these programmes: • UniCredit S.p.A. is issuer and also acts as transferor of suitable assets and servicer; • UniCredit BpC Mortgage S.r.l. and UniCredit OBG S.r.l. (special purpose vehicles set up within the banking group as expressly authorised by Banca d’Italia) are guarantors of the OBG holders of the first and the second programme respectively, within the limits of the cover pools; and • the auditing firm BDO Italia S.p.A. is Asset Monitor for both the programmes. The first programme, guaranteed by UniCredit BpC Mortgage S.r.l., is characterised by a Soft Bullet method60 of reimbursement and is rated by Fitch (AA), S&P (AA-), Moody’s (Aa3). The second programme, guaranteed by UniCredit OBG S.r.l., is characterised by a Conditional Pass-Through method61 of reimbursement and is rated by Moody’s (Aa3). The Group’s main aims in issuing OBGs are to diversify its funding sources and fund at competitive rates. As with the securitisations, the difficulties in the markets made it advisable to use securitisation as a means of increasing the Group’s counterbalancing capacity by retaining with the Group part of the securities issued by the vehicle. An integral feature of OBG Programme management is maintaining a balance between the characteristics of the assets sold and the issues. This is necessary to maintain the efficacy of the guarantee given by the SPV to the bondholders. Given the complexity of the transaction, a system of first- and second-level controls and procedures has been set up, as required by Banca d’Italia instructions, to identify units, functions, duties and responsibilities, and specific policies have been issued to this end. The policies were as approved by the competent committees, the Statutory Auditors and the Board of Directors of UniCredit S.p.A. As required by Banca d’Italia instructions on controls: • UniCredit’s Risk Management function is charged with the management of the issuer’s risks and checks: - the quality, suitability and integrity of the assets sold to guarantee the OBGs; - that the maximum ratio of OBGs issued to assets sold to guarantee them is adhered to; - that limits on sales and supplementary sales procedures are followed; - the effectiveness and adequacy of the hedges provided by any derivatives contracts entered into in relation to the Programme; and - the trend in the balance between the cash flow arising from the cover pool and that absorbed by the OBGs in issue; • the Asset Monitor is an outside independent entity charged with checking at least annually the regularity of the transactions and the integrity of the guarantee to the bondholders; • UniCredit’s internal audit department is responsible for a complete audit (to be conducted at least once a year) of the adequacy of the controls performed; • the results of the audits performed by the Asset Monitor and the issuer’s internal audit department are submitted to the governing bodies. 60 Soft Bullet repayment method: in case the issuer is insolvent and the OBG guarantor has insufficient funds to repay in full the OBG at the maturity date, the maturity date is automatically extended by 1 year and any unpaid and due amount shall be payable by such date. In case the OBG guarantor is not able to redeem the OBG at the extended maturity all the outstanding OBG become due and payable and the guarantor has to sale the whole underlying portfolio. 61 Conditional pass-through repayment method: in case the issuer is insolvent and the OBG guarantor has insufficient funds to repay in full the OBG at the maturity date, the OBG turns in to “pass-through” and the maturity date is extended by 38 years. During the extended period the OBG guarantor has the option to attempt a selected sale of the underlying portfolio every 6 months in order to redeem the pass-through OBG.. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 369 D.4 Regulatory consolidation - Covered Bond Transactions In 2008 the Group initiated a first Covered Bond (OBG or Obbligazioni Bancarie Garantite) Programme with residential mortgage loans as the underlying assets and in 2012 a second Covered Bond Programme with both residential and commercial mortgage loans as underlying assets, in line with Law 130/99, the MEF decree dated 14 December 2006 and Banca d’Italia instructions dated 17 May 2007 as amended on 24 March 2010 and on 24 June 2014. Under these programmes: • UniCredit S.p.A. is issuer and also acts as transferor of suitable assets and servicer; • UniCredit BpC Mortgage S.r.l. and UniCredit OBG S.r.l. (special purpose vehicles set up within the banking group as expressly authorised by Banca d’Italia) are guarantors of the OBG holders of the first and the second programme respectively, within the limits of the cover pools; and • the auditing firm BDO Italia S.p.A. is Asset Monitor for both the programmes. The first programme, guaranteed by UniCredit BpC Mortgage S.r.l., is characterised by a Soft Bullet method60 of reimbursement and is rated by Fitch (AA), S&P (AA-), Moody’s (Aa3). The second programme, guaranteed by UniCredit OBG S.r.l., is characterised by a Conditional Pass-Through method61 of reimbursement and is rated by Moody’s (Aa3). The Group’s main aims in issuing OBGs are to diversify its funding sources and fund at competitive rates. As with the securitisations, the difficulties in the markets made it advisable to use securitisation as a means of increasing the Group’s counterbalancing capacity by retaining with the Group part of the securities issued by the vehicle. An integral feature of OBG Programme management is maintaining a balance between the characteristics of the assets sold and the issues. This is necessary to maintain the efficacy of the guarantee given by the SPV to the bondholders. Given the complexity of the transaction, a system of first- and second-level controls and procedures has been set up, as required by Banca d’Italia instructions, to identify units, functions, duties and responsibilities, and specific policies have been issued to this end. The policies were as approved by the competent committees, the Statutory Auditors and the Board of Directors of UniCredit S.p.A. As required by Banca d’Italia instructions on controls: • UniCredit’s Risk Management function is charged with the management of the issuer’s risks and checks: - the quality, suitability and integrity of the assets sold to guarantee the OBGs; - that the maximum ratio of OBGs issued to assets sold to guarantee them is adhered to; - that limits on sales and supplementary sales procedures are followed; - the effectiveness and adequacy of the hedges provided by any derivatives contracts entered into in relation to the Programme; and - the trend in the balance between the cash flow arising from the cover pool and that absorbed by the OBGs in issue; • the Asset Monitor is an outside independent entity charged with checking at least annually the regularity of the transactions and the integrity of the guarantee to the bondholders; • UniCredit’s internal audit department is responsible for a complete audit (to be conducted at least once a year) of the adequacy of the controls performed; • the results of the audits performed by the Asset Monitor and the issuer’s internal audit department are submitted to the governing bodies. 60 Soft Bullet repayment method: in case the issuer is insolvent and the OBG guarantor has insufficient funds to repay in full the OBG at the maturity date, the maturity date is automatically extended by 1 year and any unpaid and due amount shall be payable by such date. In case the OBG guarantor is not able to redeem the OBG at the extended maturity all the outstanding OBG become due and payable and the guarantor has to sale the whole underlying portfolio. 61 Conditional pass-through repayment method: in case the issuer is insolvent and the OBG guarantor has insufficient funds to repay in full the OBG at the maturity date, the OBG turns in to “pass-through” and the maturity date is extended by 38 years. During the extended period the OBG guarantor has the option to attempt a selected sale of the underlying portfolio every 6 months in order to redeem the pass-through OBG.. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 369 D.4 Regulatory consolidation - Covered Bond Transactions In 2008 the Group initiated a first Covered Bond (OBG or Obbligazioni Bancarie Garantite) Programme with residential mortgage loans as the underlying assets and in 2012 a second Covered Bond Programme with both residential and commercial mortgage loans as underlying assets, in line with Law 130/99, the MEF decree dated 14 December 2006 and Banca d’Italia instructions dated 17 May 2007 as amended on 24 March 2010 and on 24 June 2014. Under these programmes: • UniCredit S.p.A. is issuer and also acts as transferor of suitable assets and servicer; • UniCredit BpC Mortgage S.r.l. and UniCredit OBG S.r.l. (special purpose vehicles set up within the banking group as expressly authorised by Banca d’Italia) are guarantors of the OBG holders of the first and the second programme respectively, within the limits of the cover pools; and • the auditing firm BDO Italia S.p.A. is Asset Monitor for both the programmes. The first programme, guaranteed by UniCredit BpC Mortgage S.r.l., is characterised by a Soft Bullet method60 of reimbursement and is rated by Fitch (AA), S&P (AA-), Moody’s (Aa3). The second programme, guaranteed by UniCredit OBG S.r.l., is characterised by a Conditional Pass-Through method61 of reimbursement and is rated by Moody’s (Aa3). The Group’s main aims in issuing OBGs are to diversify its funding sources and fund at competitive rates. As with the securitisations, the difficulties in the markets made it advisable to use securitisation as a means of increasing the Group’s counterbalancing capacity by retaining with the Group part of the securities issued by the vehicle. An integral feature of OBG Programme management is maintaining a balance between the characteristics of the assets sold and the issues. This is necessary to maintain the efficacy of the guarantee given by the SPV to the bondholders. Given the complexity of the transaction, a system of first- and second-level controls and procedures has been set up, as required by Banca d’Italia instructions, to identify units, functions, duties and responsibilities, and specific policies have been issued to this end. The policies were as approved by the competent committees, the Statutory Auditors and the Board of Directors of UniCredit S.p.A. As required by Banca d’Italia instructions on controls: • UniCredit’s Risk Management function is charged with the management of the issuer’s risks and checks: - the quality, suitability and integrity of the assets sold to guarantee the OBGs; - that the maximum ratio of OBGs issued to assets sold to guarantee them is adhered to; - that limits on sales and supplementary sales procedures are followed; - the effectiveness and adequacy of the hedges provided by any derivatives contracts entered into in relation to the Programme; and - the trend in the balance between the cash flow arising from the cover pool and that absorbed by the OBGs in issue; • the Asset Monitor is an outside independent entity charged with checking at least annually the regularity of the transactions and the integrity of the guarantee to the bondholders; • UniCredit’s internal audit department is responsible for a complete audit (to be conducted at least once a year) of the adequacy of the controls performed; • the results of the audits performed by the Asset Monitor and the issuer’s internal audit department are submitted to the governing bodies. 60 Soft Bullet repayment method: in case the issuer is insolvent and the OBG guarantor has insufficient funds to repay in full the OBG at the maturity date, the maturity date is automatically extended by 1 year and any unpaid and due amount shall be payable by such date. In case the OBG guarantor is not able to redeem the OBG at the extended maturity all the outstanding OBG become due and payable and the guarantor has to sale the whole underlying portfolio. 61 Conditional pass-through repayment method: in case the issuer is insolvent and the OBG guarantor has insufficient funds to repay in full the OBG at the maturity date, the OBG turns in to “pass-through” and the maturity date is extended by 38 years. During the extended period the OBG guarantor has the option to attempt a selected sale of the underlying portfolio every 6 months in order to redeem the pass-through OBG.. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 370 2021 Annual Report and Accounts · UniCredit As at 31 December 2021 the series of covered bonds issued under the two programmes totalled 27 and were worth €23,856 million, of which €18,200 million was repurchased by UniCredit S.p.A. NAME SOFT BULLET COVERED BONDS PROGRAMME Originator: UniCredit S.p.A. (formerly UniCredit Family Financing Bank S.p.A.) Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG, London Branch Target transaction: Funding Type of asset: Residential Mortgage loans Quality of Asset: performing Book value of the underlying assets at the end of accounting period (€ million): 6,343 Covered Bonds issued at the end of accounting period (€ million): 3,606 Other Credit Enhancements: UniCredit S.p.A. granted to the SPV a subordinated loan of total €6,889 million. Rating Agencies: S & P - Moody's - Fitch Rating: AA- (since 03/01/2019) - Aa3 (since 10/24/2018) - AA (since 12/22/2021) NAME CONDITIONAL PASS THROUGH COVERED BONDS PROGRAMME Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG, London Branch Target transaction: Funding - Counterbalancing Capacity Type of asset: Residential and Commercial Mortgage loans Quality of Asset: Performing Book value of the underlying assets at the end of accounting period (€ million): 25,128 Covered Bonds issued at the end of accounting period (€ million): 20,250 Other Credit Enhancements: UniCredit S.p.A. granted to the SPV a subordinated loan of total €28,339 million. Rating Agencies: Moody's Rating: Aa3 (Since 10/24/2018) Information on Sovereign Exposures With reference to the Group’s sovereign exposures62, the book value of sovereign debt securities as at 31 December 2021 amounted to €114,690 million63, of which over 84% concentrated in eight countries; Italy, with €43,121 million, represents about 38% of the total. For each of the eight countries, the following table shows the nominal value, the book value and the fair value of the exposures broken down by portfolio as at 31 December 2021. 62 Sovereign exposures are bonds issued by and loans given to central and local governments and governmental bodies. To the purpose of this risk exposure are not included: • Sovereign exposures of Group’s Legal entities classified as held for sale as at 31 December 2021; • ABSs. 63 Information on Sovereign exposures refers to the scope of the UniCredit Consolidated financial statements as at 31 December 2021, determined under IAS/IFRS. For information on Sovereign exposures with reference to the regulatory scope of consolidation refer to UniCredit Group Disclosure (Pillar III) as at 31 December 2021 - Credit Risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 370 2021 Annual Report and Accounts · UniCredit As at 31 December 2021 the series of covered bonds issued under the two programmes totalled 27 and were worth €23,856 million, of which €18,200 million was repurchased by UniCredit S.p.A. NAME SOFT BULLET COVERED BONDS PROGRAMME Originator: UniCredit S.p.A. (formerly UniCredit Family Financing Bank S.p.A.) Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG, London Branch Target transaction: Funding Type of asset: Residential Mortgage loans Quality of Asset: performing Book value of the underlying assets at the end of accounting period (€ million): 6,343 Covered Bonds issued at the end of accounting period (€ million): 3,606 Other Credit Enhancements: UniCredit S.p.A. granted to the SPV a subordinated loan of total €6,889 million. Rating Agencies: S & P - Moody's - Fitch Rating: AA- (since 03/01/2019) - Aa3 (since 10/24/2018) - AA (since 12/22/2021) NAME CONDITIONAL PASS THROUGH COVERED BONDS PROGRAMME Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG, London Branch Target transaction: Funding - Counterbalancing Capacity Type of asset: Residential and Commercial Mortgage loans Quality of Asset: Performing Book value of the underlying assets at the end of accounting period (€ million): 25,128 Covered Bonds issued at the end of accounting period (€ million): 20,250 Other Credit Enhancements: UniCredit S.p.A. granted to the SPV a subordinated loan of total €28,339 million. Rating Agencies: Moody's Rating: Aa3 (Since 10/24/2018) Information on Sovereign Exposures With reference to the Group’s sovereign exposures62, the book value of sovereign debt securities as at 31 December 2021 amounted to €114,690 million63, of which over 84% concentrated in eight countries; Italy, with €43,121 million, represents about 38% of the total. For each of the eight countries, the following table shows the nominal value, the book value and the fair value of the exposures broken down by portfolio as at 31 December 2021. 62 Sovereign exposures are bonds issued by and loans given to central and local governments and governmental bodies. To the purpose of this risk exposure are not included: • Sovereign exposures of Group’s Legal entities classified as held for sale as at 31 December 2021; • ABSs. 63 Information on Sovereign exposures refers to the scope of the UniCredit Consolidated financial statements as at 31 December 2021, determined under IAS/IFRS. For information on Sovereign exposures with reference to the regulatory scope of consolidation refer to UniCredit Group Disclosure (Pillar III) as at 31 December 2021 - Credit Risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 370 2021 Annual Report and Accounts · UniCredit As at 31 December 2021 the series of covered bonds issued under the two programmes totalled 27 and were worth €23,856 million, of which €18,200 million was repurchased by UniCredit S.p.A. NAME SOFT BULLET COVERED BONDS PROGRAMME Originator: UniCredit S.p.A. (formerly UniCredit Family Financing Bank S.p.A.) Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG, London Branch Target transaction: Funding Type of asset: Residential Mortgage loans Quality of Asset: performing Book value of the underlying assets at the end of accounting period (€ million): 6,343 Covered Bonds issued at the end of accounting period (€ million): 3,606 Other Credit Enhancements: UniCredit S.p.A. granted to the SPV a subordinated loan of total €6,889 million. Rating Agencies: S & P - Moody's - Fitch Rating: AA- (since 03/01/2019) - Aa3 (since 10/24/2018) - AA (since 12/22/2021) NAME CONDITIONAL PASS THROUGH COVERED BONDS PROGRAMME Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG, London Branch Target transaction: Funding - Counterbalancing Capacity Type of asset: Residential and Commercial Mortgage loans Quality of Asset: Performing Book value of the underlying assets at the end of accounting period (€ million): 25,128 Covered Bonds issued at the end of accounting period (€ million): 20,250 Other Credit Enhancements: UniCredit S.p.A. granted to the SPV a subordinated loan of total €28,339 million. Rating Agencies: Moody's Rating: Aa3 (Since 10/24/2018) Information on Sovereign Exposures With reference to the Group’s sovereign exposures62, the book value of sovereign debt securities as at 31 December 2021 amounted to €114,690 million63, of which over 84% concentrated in eight countries; Italy, with €43,121 million, represents about 38% of the total. For each of the eight countries, the following table shows the nominal value, the book value and the fair value of the exposures broken down by portfolio as at 31 December 2021. 62 Sovereign exposures are bonds issued by and loans given to central and local governments and governmental bodies. To the purpose of this risk exposure are not included: • Sovereign exposures of Group’s Legal entities classified as held for sale as at 31 December 2021; • ABSs. 63 Information on Sovereign exposures refers to the scope of the UniCredit Consolidated financial statements as at 31 December 2021, determined under IAS/IFRS. For information on Sovereign exposures with reference to the regulatory scope of consolidation refer to UniCredit Group Disclosure (Pillar III) as at 31 December 2021 - Credit Risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 370 2021 Annual Report and Accounts · UniCredit As at 31 December 2021 the series of covered bonds issued under the two programmes totalled 27 and were worth €23,856 million, of which €18,200 million was repurchased by UniCredit S.p.A. NAME SOFT BULLET COVERED BONDS PROGRAMME Originator: UniCredit S.p.A. (formerly UniCredit Family Financing Bank S.p.A.) Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG, London Branch Target transaction: Funding Type of asset: Residential Mortgage loans Quality of Asset: performing Book value of the underlying assets at the end of accounting period (€ million): 6,343 Covered Bonds issued at the end of accounting period (€ million): 3,606 Other Credit Enhancements: UniCredit S.p.A. granted to the SPV a subordinated loan of total €6,889 million. Rating Agencies: S & P - Moody's - Fitch Rating: AA- (since 03/01/2019) - Aa3 (since 10/24/2018) - AA (since 12/22/2021) NAME CONDITIONAL PASS THROUGH COVERED BONDS PROGRAMME Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG, London Branch Target transaction: Funding - Counterbalancing Capacity Type of asset: Residential and Commercial Mortgage loans Quality of Asset: Performing Book value of the underlying assets at the end of accounting period (€ million): 25,128 Covered Bonds issued at the end of accounting period (€ million): 20,250 Other Credit Enhancements: UniCredit S.p.A. granted to the SPV a subordinated loan of total €28,339 million. Rating Agencies: Moody's Rating: Aa3 (Since 10/24/2018) Information on Sovereign Exposures With reference to the Group’s sovereign exposures62, the book value of sovereign debt securities as at 31 December 2021 amounted to €114,690 million63, of which over 84% concentrated in eight countries; Italy, with €43,121 million, represents about 38% of the total. For each of the eight countries, the following table shows the nominal value, the book value and the fair value of the exposures broken down by portfolio as at 31 December 2021. 62 Sovereign exposures are bonds issued by and loans given to central and local governments and governmental bodies. To the purpose of this risk exposure are not included: • Sovereign exposures of Group’s Legal entities classified as held for sale as at 31 December 2021; • ABSs. 63 Information on Sovereign exposures refers to the scope of the UniCredit Consolidated financial statements as at 31 December 2021, determined under IAS/IFRS. For information on Sovereign exposures with reference to the regulatory scope of consolidation refer to UniCredit Group Disclosure (Pillar III) as at 31 December 2021 - Credit Risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 370 2021 Annual Report and Accounts · UniCredit As at 31 December 2021 the series of covered bonds issued under the two programmes totalled 27 and were worth €23,856 million, of which €18,200 million was repurchased by UniCredit S.p.A. NAME SOFT BULLET COVERED BONDS PROGRAMME Originator: UniCredit S.p.A. (formerly UniCredit Family Financing Bank S.p.A.) Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG, London Branch Target transaction: Funding Type of asset: Residential Mortgage loans Quality of Asset: performing Book value of the underlying assets at the end of accounting period (€ million): 6,343 Covered Bonds issued at the end of accounting period (€ million): 3,606 Other Credit Enhancements: UniCredit S.p.A. granted to the SPV a subordinated loan of total €6,889 million. Rating Agencies: S & P - Moody's - Fitch Rating: AA- (since 03/01/2019) - Aa3 (since 10/24/2018) - AA (since 12/22/2021) NAME CONDITIONAL PASS THROUGH COVERED BONDS PROGRAMME Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG, London Branch Target transaction: Funding - Counterbalancing Capacity Type of asset: Residential and Commercial Mortgage loans Quality of Asset: Performing Book value of the underlying assets at the end of accounting period (€ million): 25,128 Covered Bonds issued at the end of accounting period (€ million): 20,250 Other Credit Enhancements: UniCredit S.p.A. granted to the SPV a subordinated loan of total €28,339 million. Rating Agencies: Moody's Rating: Aa3 (Since 10/24/2018) Information on Sovereign Exposures With reference to the Group’s sovereign exposures62, the book value of sovereign debt securities as at 31 December 2021 amounted to €114,690 million63, of which over 84% concentrated in eight countries; Italy, with €43,121 million, represents about 38% of the total. For each of the eight countries, the following table shows the nominal value, the book value and the fair value of the exposures broken down by portfolio as at 31 December 2021. 62 Sovereign exposures are bonds issued by and loans given to central and local governments and governmental bodies. To the purpose of this risk exposure are not included: • Sovereign exposures of Group’s Legal entities classified as held for sale as at 31 December 2021; • ABSs. 63 Information on Sovereign exposures refers to the scope of the UniCredit Consolidated financial statements as at 31 December 2021, determined under IAS/IFRS. For information on Sovereign exposures with reference to the regulatory scope of consolidation refer to UniCredit Group Disclosure (Pillar III) as at 31 December 2021 - Credit Risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 371 Breakdown of sovereign debt securities by country and portfolio (€ million) COUNTRY/PORTFOLIO AMOUNTS AS AT 12.31.2021 NOMINAL VALUE BOOK VALUE FAIR VALUE - Italy 41,703 43,121 43,477 financial assets/liabilities held for trading (net exposure*) (1,050) (1,755) (1,755) financial assets designated at fair value 0 0 0 financial assets mandatorily at fair value 50 62 62 financial assets at fair value through other comprehensive income 19,071 20,293 20,293 financial assets at amortised cost 23,632 24,521 24,877 - Spain 16,504 17,222 17,323 financial assets/liabilities held for trading (net exposure*) 1,105 1,173 1,173 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 4,454 4,680 4,680 financial assets at amortised cost 10,945 11,369 11,470 - Germany 10,794 11,075 11,097 financial assets/liabilities held for trading (net exposure*) 846 948 948 financial assets designated at fair value - - - financial assets mandatorily at fair value 3,522 3,564 3,564 financial assets at fair value through other comprehensive income 2,674 2,753 2,753 financial assets at amortised cost 3,752 3,810 3,832 - Japan 10,290 10,462 10,465 financial assets/liabilities held for trading (net exposure*) - - - financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 6,682 6,730 6,730 financial assets at amortised cost 3,608 3,732 3,735 - United States of America 4,154 4,318 4,318 financial assets/liabilities held for trading (net exposure*) 1,074 1,101 1,101 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 3,058 3,195 3,195 financial assets at amortised cost 22 22 22 - Austria 3,888 4,171 4,169 financial assets/liabilities held for trading (net exposure*) 180 239 239 financial assets designated at fair value - - - financial assets mandatorily at fair value 100 134 134 financial assets at fair value through other comprehensive income 3,464 3,648 3,648 financial assets at amortised cost 144 150 148 - France 3,474 3,783 3,772 financial assets/liabilities held for trading (net exposure*) 747 978 978 financial assets designated at fair value 221 243 243 financial assets mandatorily at fair value 191 221 221 financial assets at fair value through other comprehensive income 1,867 1,887 1,887 financial assets at amortised cost 448 454 443 - Romania 2,312 2,417 2,327 financial assets/liabilities held for trading (net exposure*) 126 123 123 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 652 687 687 financial assets at amortised cost 1,534 1,607 1,517 Total on-balance sheet exposures 93,119 96,569 96,948 Notes: (*) Including exposures in Credit Derivatives. Negative amount indicates the prevalence of liabilities positions. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 371 Breakdown of sovereign debt securities by country and portfolio (€ million) COUNTRY/PORTFOLIO AMOUNTS AS AT 12.31.2021 NOMINAL VALUE BOOK VALUE FAIR VALUE - Italy 41,703 43,121 43,477 financial assets/liabilities held for trading (net exposure*) (1,050) (1,755) (1,755) financial assets designated at fair value 0 0 0 financial assets mandatorily at fair value 50 62 62 financial assets at fair value through other comprehensive income 19,071 20,293 20,293 financial assets at amortised cost 23,632 24,521 24,877 - Spain 16,504 17,222 17,323 financial assets/liabilities held for trading (net exposure*) 1,105 1,173 1,173 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 4,454 4,680 4,680 financial assets at amortised cost 10,945 11,369 11,470 - Germany 10,794 11,075 11,097 financial assets/liabilities held for trading (net exposure*) 846 948 948 financial assets designated at fair value - - - financial assets mandatorily at fair value 3,522 3,564 3,564 financial assets at fair value through other comprehensive income 2,674 2,753 2,753 financial assets at amortised cost 3,752 3,810 3,832 - Japan 10,290 10,462 10,465 financial assets/liabilities held for trading (net exposure*) - - - financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 6,682 6,730 6,730 financial assets at amortised cost 3,608 3,732 3,735 - United States of America 4,154 4,318 4,318 financial assets/liabilities held for trading (net exposure*) 1,074 1,101 1,101 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 3,058 3,195 3,195 financial assets at amortised cost 22 22 22 - Austria 3,888 4,171 4,169 financial assets/liabilities held for trading (net exposure*) 180 239 239 financial assets designated at fair value - - - financial assets mandatorily at fair value 100 134 134 financial assets at fair value through other comprehensive income 3,464 3,648 3,648 financial assets at amortised cost 144 150 148 - France 3,474 3,783 3,772 financial assets/liabilities held for trading (net exposure*) 747 978 978 financial assets designated at fair value 221 243 243 financial assets mandatorily at fair value 191 221 221 financial assets at fair value through other comprehensive income 1,867 1,887 1,887 financial assets at amortised cost 448 454 443 - Romania 2,312 2,417 2,327 financial assets/liabilities held for trading (net exposure*) 126 123 123 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 652 687 687 financial assets at amortised cost 1,534 1,607 1,517 Total on-balance sheet exposures 93,119 96,569 96,948 Notes: (*) Including exposures in Credit Derivatives. Negative amount indicates the prevalence of liabilities positions. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 371 Breakdown of sovereign debt securities by country and portfolio (€ million) COUNTRY/PORTFOLIO AMOUNTS AS AT 12.31.2021 NOMINAL VALUE BOOK VALUE FAIR VALUE - Italy 41,703 43,121 43,477 financial assets/liabilities held for trading (net exposure*) (1,050) (1,755) (1,755) financial assets designated at fair value 0 0 0 financial assets mandatorily at fair value 50 62 62 financial assets at fair value through other comprehensive income 19,071 20,293 20,293 financial assets at amortised cost 23,632 24,521 24,877 - Spain 16,504 17,222 17,323 financial assets/liabilities held for trading (net exposure*) 1,105 1,173 1,173 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 4,454 4,680 4,680 financial assets at amortised cost 10,945 11,369 11,470 - Germany 10,794 11,075 11,097 financial assets/liabilities held for trading (net exposure*) 846 948 948 financial assets designated at fair value - - - financial assets mandatorily at fair value 3,522 3,564 3,564 financial assets at fair value through other comprehensive income 2,674 2,753 2,753 financial assets at amortised cost 3,752 3,810 3,832 - Japan 10,290 10,462 10,465 financial assets/liabilities held for trading (net exposure*) - - - financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 6,682 6,730 6,730 financial assets at amortised cost 3,608 3,732 3,735 - United States of America 4,154 4,318 4,318 financial assets/liabilities held for trading (net exposure*) 1,074 1,101 1,101 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 3,058 3,195 3,195 financial assets at amortised cost 22 22 22 - Austria 3,888 4,171 4,169 financial assets/liabilities held for trading (net exposure*) 180 239 239 financial assets designated at fair value - - - financial assets mandatorily at fair value 100 134 134 financial assets at fair value through other comprehensive income 3,464 3,648 3,648 financial assets at amortised cost 144 150 148 - France 3,474 3,783 3,772 financial assets/liabilities held for trading (net exposure*) 747 978 978 financial assets designated at fair value 221 243 243 financial assets mandatorily at fair value 191 221 221 financial assets at fair value through other comprehensive income 1,867 1,887 1,887 financial assets at amortised cost 448 454 443 - Romania 2,312 2,417 2,327 financial assets/liabilities held for trading (net exposure*) 126 123 123 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 652 687 687 financial assets at amortised cost 1,534 1,607 1,517 Total on-balance sheet exposures 93,119 96,569 96,948 Notes: (*) Including exposures in Credit Derivatives. Negative amount indicates the prevalence of liabilities positions. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 371 Breakdown of sovereign debt securities by country and portfolio (€ million) COUNTRY/PORTFOLIO AMOUNTS AS AT 12.31.2021 NOMINAL VALUE BOOK VALUE FAIR VALUE - Italy 41,703 43,121 43,477 financial assets/liabilities held for trading (net exposure*) (1,050) (1,755) (1,755) financial assets designated at fair value 0 0 0 financial assets mandatorily at fair value 50 62 62 financial assets at fair value through other comprehensive income 19,071 20,293 20,293 financial assets at amortised cost 23,632 24,521 24,877 - Spain 16,504 17,222 17,323 financial assets/liabilities held for trading (net exposure*) 1,105 1,173 1,173 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 4,454 4,680 4,680 financial assets at amortised cost 10,945 11,369 11,470 - Germany 10,794 11,075 11,097 financial assets/liabilities held for trading (net exposure*) 846 948 948 financial assets designated at fair value - - - financial assets mandatorily at fair value 3,522 3,564 3,564 financial assets at fair value through other comprehensive income 2,674 2,753 2,753 financial assets at amortised cost 3,752 3,810 3,832 - Japan 10,290 10,462 10,465 financial assets/liabilities held for trading (net exposure*) - - - financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 6,682 6,730 6,730 financial assets at amortised cost 3,608 3,732 3,735 - United States of America 4,154 4,318 4,318 financial assets/liabilities held for trading (net exposure*) 1,074 1,101 1,101 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 3,058 3,195 3,195 financial assets at amortised cost 22 22 22 - Austria 3,888 4,171 4,169 financial assets/liabilities held for trading (net exposure*) 180 239 239 financial assets designated at fair value - - - financial assets mandatorily at fair value 100 134 134 financial assets at fair value through other comprehensive income 3,464 3,648 3,648 financial assets at amortised cost 144 150 148 - France 3,474 3,783 3,772 financial assets/liabilities held for trading (net exposure*) 747 978 978 financial assets designated at fair value 221 243 243 financial assets mandatorily at fair value 191 221 221 financial assets at fair value through other comprehensive income 1,867 1,887 1,887 financial assets at amortised cost 448 454 443 - Romania 2,312 2,417 2,327 financial assets/liabilities held for trading (net exposure*) 126 123 123 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 652 687 687 financial assets at amortised cost 1,534 1,607 1,517 Total on-balance sheet exposures 93,119 96,569 96,948 Notes: (*) Including exposures in Credit Derivatives. Negative amount indicates the prevalence of liabilities positions. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 371 Breakdown of sovereign debt securities by country and portfolio (€ million) COUNTRY/PORTFOLIO AMOUNTS AS AT 12.31.2021 NOMINAL VALUE BOOK VALUE FAIR VALUE - Italy 41,703 43,121 43,477 financial assets/liabilities held for trading (net exposure*) (1,050) (1,755) (1,755) financial assets designated at fair value 0 0 0 financial assets mandatorily at fair value 50 62 62 financial assets at fair value through other comprehensive income 19,071 20,293 20,293 financial assets at amortised cost 23,632 24,521 24,877 - Spain 16,504 17,222 17,323 financial assets/liabilities held for trading (net exposure*) 1,105 1,173 1,173 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 4,454 4,680 4,680 financial assets at amortised cost 10,945 11,369 11,470 - Germany 10,794 11,075 11,097 financial assets/liabilities held for trading (net exposure*) 846 948 948 financial assets designated at fair value - - - financial assets mandatorily at fair value 3,522 3,564 3,564 financial assets at fair value through other comprehensive income 2,674 2,753 2,753 financial assets at amortised cost 3,752 3,810 3,832 - Japan 10,290 10,462 10,465 financial assets/liabilities held for trading (net exposure*) - - - financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 6,682 6,730 6,730 financial assets at amortised cost 3,608 3,732 3,735 - United States of America 4,154 4,318 4,318 financial assets/liabilities held for trading (net exposure*) 1,074 1,101 1,101 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 3,058 3,195 3,195 financial assets at amortised cost 22 22 22 - Austria 3,888 4,171 4,169 financial assets/liabilities held for trading (net exposure*) 180 239 239 financial assets designated at fair value - - - financial assets mandatorily at fair value 100 134 134 financial assets at fair value through other comprehensive income 3,464 3,648 3,648 financial assets at amortised cost 144 150 148 - France 3,474 3,783 3,772 financial assets/liabilities held for trading (net exposure*) 747 978 978 financial assets designated at fair value 221 243 243 financial assets mandatorily at fair value 191 221 221 financial assets at fair value through other comprehensive income 1,867 1,887 1,887 financial assets at amortised cost 448 454 443 - Romania 2,312 2,417 2,327 financial assets/liabilities held for trading (net exposure*) 126 123 123 financial assets designated at fair value - - - financial assets mandatorily at fair value - - - financial assets at fair value through other comprehensive income 652 687 687 financial assets at amortised cost 1,534 1,607 1,517 Total on-balance sheet exposures 93,119 96,569 96,948 Notes: (*) Including exposures in Credit Derivatives. Negative amount indicates the prevalence of liabilities positions. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 372 2021 Annual Report and Accounts · UniCredit The weighted duration of the sovereign bonds shown in the table above, divided by the banking64 and trading book, is the following: Weighted duration (years) BANKING BOOK TRADING BOOK ASSETS POSITIONS LIABILITIES POSITIONS - Italy 3.82 3.22 5.17 - Spain 3.75 14.78 12.09 - Germany 3.02 19.45 5.21 - Japan 3.35 - - - United States of America 2.93 21.80 - - Austria 5.31 10.68 8.52 - France 6.52 21.92 23.89 - Romania 4.06 4.78 7.80 The remaining 16% of the total of sovereign debt securities, amounting to €18,121 million with reference to the book values as at 31 December 2021, is divided into 35 countries, including Bulgaria (€2,228 million), Croatia (€1,778 million), Hungary (€1,696 million), Portugal (€1,636 million), Czech Republic (€1,136 million), Russia (€1,087 million), Ireland (€1,087 million), Serbia (€969 million), China (€770 million), Poland (€739 million) and Israel (€535 million). The sovereign exposure to Greece is immaterial. With respect to these exposures, as at 31 December 2021 there were no indications that default may have occurred. It should also be noted that among the aforementioned remaining part of sovereign debt securities as at 31 December 2021 there are also debt securities towards Supranational Organisations such as the European Union, the European Financial Stability Facility and the European Stability Mechanism amounting to €2,680 million. The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total of the portfolio under which they are classified. Breakdown of sovereign debt securities by portfolio (banking book) (€ million) AMOUNTS AS AT 12.31.2021 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE FINANCIAL ASSETS MANDATORILY AT FAIR VALUE FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT AMORTISED COST TOTAL Book value 279 4,103 53,164 53,550 111,096 % Portfolio 99.96% 34.62% 77.54% 9.02% 16.48% 64 The banking book includes financial assets designated at fair value, those mandatorily at fair value, those at fair value through other comprehensive income and those at amortised cost. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 372 2021 Annual Report and Accounts · UniCredit The weighted duration of the sovereign bonds shown in the table above, divided by the banking64 and trading book, is the following: Weighted duration (years) BANKING BOOK TRADING BOOK ASSETS POSITIONS LIABILITIES POSITIONS - Italy 3.82 3.22 5.17 - Spain 3.75 14.78 12.09 - Germany 3.02 19.45 5.21 - Japan 3.35 - - - United States of America 2.93 21.80 - - Austria 5.31 10.68 8.52 - France 6.52 21.92 23.89 - Romania 4.06 4.78 7.80 The remaining 16% of the total of sovereign debt securities, amounting to €18,121 million with reference to the book values as at 31 December 2021, is divided into 35 countries, including Bulgaria (€2,228 million), Croatia (€1,778 million), Hungary (€1,696 million), Portugal (€1,636 million), Czech Republic (€1,136 million), Russia (€1,087 million), Ireland (€1,087 million), Serbia (€969 million), China (€770 million), Poland (€739 million) and Israel (€535 million). The sovereign exposure to Greece is immaterial. With respect to these exposures, as at 31 December 2021 there were no indications that default may have occurred. It should also be noted that among the aforementioned remaining part of sovereign debt securities as at 31 December 2021 there are also debt securities towards Supranational Organisations such as the European Union, the European Financial Stability Facility and the European Stability Mechanism amounting to €2,680 million. The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total of the portfolio under which they are classified. Breakdown of sovereign debt securities by portfolio (banking book) (€ million) AMOUNTS AS AT 12.31.2021 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE FINANCIAL ASSETS MANDATORILY AT FAIR VALUE FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT AMORTISED COST TOTAL Book value 279 4,103 53,164 53,550 111,096 % Portfolio 99.96% 34.62% 77.54% 9.02% 16.48% 64 The banking book includes financial assets designated at fair value, those mandatorily at fair value, those at fair value through other comprehensive income and those at amortised cost. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 372 2021 Annual Report and Accounts · UniCredit The weighted duration of the sovereign bonds shown in the table above, divided by the banking64 and trading book, is the following: Weighted duration (years) BANKING BOOK TRADING BOOK ASSETS POSITIONS LIABILITIES POSITIONS - Italy 3.82 3.22 5.17 - Spain 3.75 14.78 12.09 - Germany 3.02 19.45 5.21 - Japan 3.35 - - - United States of America 2.93 21.80 - - Austria 5.31 10.68 8.52 - France 6.52 21.92 23.89 - Romania 4.06 4.78 7.80 The remaining 16% of the total of sovereign debt securities, amounting to €18,121 million with reference to the book values as at 31 December 2021, is divided into 35 countries, including Bulgaria (€2,228 million), Croatia (€1,778 million), Hungary (€1,696 million), Portugal (€1,636 million), Czech Republic (€1,136 million), Russia (€1,087 million), Ireland (€1,087 million), Serbia (€969 million), China (€770 million), Poland (€739 million) and Israel (€535 million). The sovereign exposure to Greece is immaterial. With respect to these exposures, as at 31 December 2021 there were no indications that default may have occurred. It should also be noted that among the aforementioned remaining part of sovereign debt securities as at 31 December 2021 there are also debt securities towards Supranational Organisations such as the European Union, the European Financial Stability Facility and the European Stability Mechanism amounting to €2,680 million. The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total of the portfolio under which they are classified. Breakdown of sovereign debt securities by portfolio (banking book) (€ million) AMOUNTS AS AT 12.31.2021 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE FINANCIAL ASSETS MANDATORILY AT FAIR VALUE FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT AMORTISED COST TOTAL Book value 279 4,103 53,164 53,550 111,096 % Portfolio 99.96% 34.62% 77.54% 9.02% 16.48% 64 The banking book includes financial assets designated at fair value, those mandatorily at fair value, those at fair value through other comprehensive income and those at amortised cost. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 372 2021 Annual Report and Accounts · UniCredit The weighted duration of the sovereign bonds shown in the table above, divided by the banking64 and trading book, is the following: Weighted duration (years) BANKING BOOK TRADING BOOK ASSETS POSITIONS LIABILITIES POSITIONS - Italy 3.82 3.22 5.17 - Spain 3.75 14.78 12.09 - Germany 3.02 19.45 5.21 - Japan 3.35 - - - United States of America 2.93 21.80 - - Austria 5.31 10.68 8.52 - France 6.52 21.92 23.89 - Romania 4.06 4.78 7.80 The remaining 16% of the total of sovereign debt securities, amounting to €18,121 million with reference to the book values as at 31 December 2021, is divided into 35 countries, including Bulgaria (€2,228 million), Croatia (€1,778 million), Hungary (€1,696 million), Portugal (€1,636 million), Czech Republic (€1,136 million), Russia (€1,087 million), Ireland (€1,087 million), Serbia (€969 million), China (€770 million), Poland (€739 million) and Israel (€535 million). The sovereign exposure to Greece is immaterial. With respect to these exposures, as at 31 December 2021 there were no indications that default may have occurred. It should also be noted that among the aforementioned remaining part of sovereign debt securities as at 31 December 2021 there are also debt securities towards Supranational Organisations such as the European Union, the European Financial Stability Facility and the European Stability Mechanism amounting to €2,680 million. The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total of the portfolio under which they are classified. Breakdown of sovereign debt securities by portfolio (banking book) (€ million) AMOUNTS AS AT 12.31.2021 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE FINANCIAL ASSETS MANDATORILY AT FAIR VALUE FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT AMORTISED COST TOTAL Book value 279 4,103 53,164 53,550 111,096 % Portfolio 99.96% 34.62% 77.54% 9.02% 16.48% 64 The banking book includes financial assets designated at fair value, those mandatorily at fair value, those at fair value through other comprehensive income and those at amortised cost. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 372 2021 Annual Report and Accounts · UniCredit The weighted duration of the sovereign bonds shown in the table above, divided by the banking64 and trading book, is the following: Weighted duration (years) BANKING BOOK TRADING BOOK ASSETS POSITIONS LIABILITIES POSITIONS - Italy 3.82 3.22 5.17 - Spain 3.75 14.78 12.09 - Germany 3.02 19.45 5.21 - Japan 3.35 - - - United States of America 2.93 21.80 - - Austria 5.31 10.68 8.52 - France 6.52 21.92 23.89 - Romania 4.06 4.78 7.80 The remaining 16% of the total of sovereign debt securities, amounting to €18,121 million with reference to the book values as at 31 December 2021, is divided into 35 countries, including Bulgaria (€2,228 million), Croatia (€1,778 million), Hungary (€1,696 million), Portugal (€1,636 million), Czech Republic (€1,136 million), Russia (€1,087 million), Ireland (€1,087 million), Serbia (€969 million), China (€770 million), Poland (€739 million) and Israel (€535 million). The sovereign exposure to Greece is immaterial. With respect to these exposures, as at 31 December 2021 there were no indications that default may have occurred. It should also be noted that among the aforementioned remaining part of sovereign debt securities as at 31 December 2021 there are also debt securities towards Supranational Organisations such as the European Union, the European Financial Stability Facility and the European Stability Mechanism amounting to €2,680 million. The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total of the portfolio under which they are classified. Breakdown of sovereign debt securities by portfolio (banking book) (€ million) AMOUNTS AS AT 12.31.2021 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE FINANCIAL ASSETS MANDATORILY AT FAIR VALUE FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT AMORTISED COST TOTAL Book value 279 4,103 53,164 53,550 111,096 % Portfolio 99.96% 34.62% 77.54% 9.02% 16.48% 64 The banking book includes financial assets designated at fair value, those mandatorily at fair value, those at fair value through other comprehensive income and those at amortised cost. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 373 In addition to the exposures to sovereign debt securities, loans65 given to central and local governments and governmental bodies must be taken into account. The table below shows the total amount as at 31 December 2021 of loans booked in financial assets at amortised cost portfolio given to countries towards which the overall exposure exceeds €130 million, representing about 94% of the total. Breakdown of sovereign loans by country (€ million) COUNTRY AMOUNTS AS AT 12.31.2021 BOOK VALUE - Austria(*) 7,222 - Italy 6,506 - Germany(**) 4,730 - Croatia 2,607 - Qatar 621 - Slovakia 242 - Egypt 240 - Kenya 238 - Hungary(***) 221 - Turkey 216 - Slovenia 206 - Bulgaria 179 - Bosnia and Herzegovina 170 - Czech Republic 168 - Indonesia 160 - Trinidad and Tobago 133 Total on-balance sheet exposures 23,859 Notes: (*) of which €29 million in financial assets mandatorily at fair value. (**) of which €662 million in financial assets mandatorily at fair value. (***) of which €7 million in financial assets mandatorily at fair value. It should also be noted that, as at 31 December 2021, there are in addition also loans to Supranational Organisations amounting to €5,652 million booked in financial assets held for trading portfolio. Lastly, it should be noted that derivatives are traded within the ISDA master agreement and accompanied by Credit Support Annexes, which provide for the use of cash collaterals or low-risk eligible securities. As at 31 December 2021, the sensitivity of UniCredit group Common Equity Tier 1 ratio, to a +10bps parallel shift of BTP asset swap spreads, is equal to -2.6bps pre and -1.9bps post tax. The values of these sensitivities refer to the Fully Loaded Common Equity Tier 1 ratio pro-forma for the Share Buy-Back to be executed in 2022, and subject to Supervisory and Shareholders’ approval. For more details on the sensitivity analysis of credit spreads and on the results of stress tests refer to the "Pandemic Scenario" and "Pandemic & Sovereign Tensions” scenarios in chapter Stress test of the Section 2.2 - Market risk, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter and for liquidity management policies see Section 2.4 Liquidity risk, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. Other transactions With reference to the indications of Banca d’Italia/Consob/IVASS document No.6 of 8 March 2013 - Booking of "long-term structured repos" instructions, there are no transactions of this kind to report. Information on structured trading derivatives with customers The business model governing OTC derivatives trading with customers provides for the centralisation of market risk in the Group Client Solutions division - Group Client Risk Management, while credit risk is assumed by the Group company which, under the divisional or geographical segmentation model, manages the relevant customer’s account. 65 Tax items are not included. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 373 In addition to the exposures to sovereign debt securities, loans65 given to central and local governments and governmental bodies must be taken into account. The table below shows the total amount as at 31 December 2021 of loans booked in financial assets at amortised cost portfolio given to countries towards which the overall exposure exceeds €130 million, representing about 94% of the total. Breakdown of sovereign loans by country (€ million) COUNTRY AMOUNTS AS AT 12.31.2021 BOOK VALUE - Austria(*) 7,222 - Italy 6,506 - Germany(**) 4,730 - Croatia 2,607 - Qatar 621 - Slovakia 242 - Egypt 240 - Kenya 238 - Hungary(***) 221 - Turkey 216 - Slovenia 206 - Bulgaria 179 - Bosnia and Herzegovina 170 - Czech Republic 168 - Indonesia 160 - Trinidad and Tobago 133 Total on-balance sheet exposures 23,859 Notes: (*) of which €29 million in financial assets mandatorily at fair value. (**) of which €662 million in financial assets mandatorily at fair value. (***) of which €7 million in financial assets mandatorily at fair value. It should also be noted that, as at 31 December 2021, there are in addition also loans to Supranational Organisations amounting to €5,652 million booked in financial assets held for trading portfolio. Lastly, it should be noted that derivatives are traded within the ISDA master agreement and accompanied by Credit Support Annexes, which provide for the use of cash collaterals or low-risk eligible securities. As at 31 December 2021, the sensitivity of UniCredit group Common Equity Tier 1 ratio, to a +10bps parallel shift of BTP asset swap spreads, is equal to -2.6bps pre and -1.9bps post tax. The values of these sensitivities refer to the Fully Loaded Common Equity Tier 1 ratio pro-forma for the Share Buy-Back to be executed in 2022, and subject to Supervisory and Shareholders’ approval. For more details on the sensitivity analysis of credit spreads and on the results of stress tests refer to the "Pandemic Scenario" and "Pandemic & Sovereign Tensions” scenarios in chapter Stress test of the Section 2.2 - Market risk, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter and for liquidity management policies see Section 2.4 Liquidity risk, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. Other transactions With reference to the indications of Banca d’Italia/Consob/IVASS document No.6 of 8 March 2013 - Booking of "long-term structured repos" instructions, there are no transactions of this kind to report. Information on structured trading derivatives with customers The business model governing OTC derivatives trading with customers provides for the centralisation of market risk in the Group Client Solutions division - Group Client Risk Management, while credit risk is assumed by the Group company which, under the divisional or geographical segmentation model, manages the relevant customer’s account. 65 Tax items are not included. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 373 In addition to the exposures to sovereign debt securities, loans65 given to central and local governments and governmental bodies must be taken into account. The table below shows the total amount as at 31 December 2021 of loans booked in financial assets at amortised cost portfolio given to countries towards which the overall exposure exceeds €130 million, representing about 94% of the total. Breakdown of sovereign loans by country (€ million) COUNTRY AMOUNTS AS AT 12.31.2021 BOOK VALUE - Austria(*) 7,222 - Italy 6,506 - Germany(**) 4,730 - Croatia 2,607 - Qatar 621 - Slovakia 242 - Egypt 240 - Kenya 238 - Hungary(***) 221 - Turkey 216 - Slovenia 206 - Bulgaria 179 - Bosnia and Herzegovina 170 - Czech Republic 168 - Indonesia 160 - Trinidad and Tobago 133 Total on-balance sheet exposures 23,859 Notes: (*) of which €29 million in financial assets mandatorily at fair value. (**) of which €662 million in financial assets mandatorily at fair value. (***) of which €7 million in financial assets mandatorily at fair value. It should also be noted that, as at 31 December 2021, there are in addition also loans to Supranational Organisations amounting to €5,652 million booked in financial assets held for trading portfolio. Lastly, it should be noted that derivatives are traded within the ISDA master agreement and accompanied by Credit Support Annexes, which provide for the use of cash collaterals or low-risk eligible securities. As at 31 December 2021, the sensitivity of UniCredit group Common Equity Tier 1 ratio, to a +10bps parallel shift of BTP asset swap spreads, is equal to -2.6bps pre and -1.9bps post tax. The values of these sensitivities refer to the Fully Loaded Common Equity Tier 1 ratio pro-forma for the Share Buy-Back to be executed in 2022, and subject to Supervisory and Shareholders’ approval. For more details on the sensitivity analysis of credit spreads and on the results of stress tests refer to the "Pandemic Scenario" and "Pandemic & Sovereign Tensions” scenarios in chapter Stress test of the Section 2.2 - Market risk, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter and for liquidity management policies see Section 2.4 Liquidity risk, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. Other transactions With reference to the indications of Banca d’Italia/Consob/IVASS document No.6 of 8 March 2013 - Booking of "long-term structured repos" instructions, there are no transactions of this kind to report. Information on structured trading derivatives with customers The business model governing OTC derivatives trading with customers provides for the centralisation of market risk in the Group Client Solutions division - Group Client Risk Management, while credit risk is assumed by the Group company which, under the divisional or geographical segmentation model, manages the relevant customer’s account. 65 Tax items are not included. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 373 In addition to the exposures to sovereign debt securities, loans65 given to central and local governments and governmental bodies must be taken into account. The table below shows the total amount as at 31 December 2021 of loans booked in financial assets at amortised cost portfolio given to countries towards which the overall exposure exceeds €130 million, representing about 94% of the total. Breakdown of sovereign loans by country (€ million) COUNTRY AMOUNTS AS AT 12.31.2021 BOOK VALUE - Austria(*) 7,222 - Italy 6,506 - Germany(**) 4,730 - Croatia 2,607 - Qatar 621 - Slovakia 242 - Egypt 240 - Kenya 238 - Hungary(***) 221 - Turkey 216 - Slovenia 206 - Bulgaria 179 - Bosnia and Herzegovina 170 - Czech Republic 168 - Indonesia 160 - Trinidad and Tobago 133 Total on-balance sheet exposures 23,859 Notes: (*) of which €29 million in financial assets mandatorily at fair value. (**) of which €662 million in financial assets mandatorily at fair value. (***) of which €7 million in financial assets mandatorily at fair value. It should also be noted that, as at 31 December 2021, there are in addition also loans to Supranational Organisations amounting to €5,652 million booked in financial assets held for trading portfolio. Lastly, it should be noted that derivatives are traded within the ISDA master agreement and accompanied by Credit Support Annexes, which provide for the use of cash collaterals or low-risk eligible securities. As at 31 December 2021, the sensitivity of UniCredit group Common Equity Tier 1 ratio, to a +10bps parallel shift of BTP asset swap spreads, is equal to -2.6bps pre and -1.9bps post tax. The values of these sensitivities refer to the Fully Loaded Common Equity Tier 1 ratio pro-forma for the Share Buy-Back to be executed in 2022, and subject to Supervisory and Shareholders’ approval. For more details on the sensitivity analysis of credit spreads and on the results of stress tests refer to the "Pandemic Scenario" and "Pandemic & Sovereign Tensions” scenarios in chapter Stress test of the Section 2.2 - Market risk, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter and for liquidity management policies see Section 2.4 Liquidity risk, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. Other transactions With reference to the indications of Banca d’Italia/Consob/IVASS document No.6 of 8 March 2013 - Booking of "long-term structured repos" instructions, there are no transactions of this kind to report. Information on structured trading derivatives with customers The business model governing OTC derivatives trading with customers provides for the centralisation of market risk in the Group Client Solutions division - Group Client Risk Management, while credit risk is assumed by the Group company which, under the divisional or geographical segmentation model, manages the relevant customer’s account. 65 Tax items are not included. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 373 In addition to the exposures to sovereign debt securities, loans65 given to central and local governments and governmental bodies must be taken into account. The table below shows the total amount as at 31 December 2021 of loans booked in financial assets at amortised cost portfolio given to countries towards which the overall exposure exceeds €130 million, representing about 94% of the total. Breakdown of sovereign loans by country (€ million) COUNTRY AMOUNTS AS AT 12.31.2021 BOOK VALUE - Austria(*) 7,222 - Italy 6,506 - Germany(**) 4,730 - Croatia 2,607 - Qatar 621 - Slovakia 242 - Egypt 240 - Kenya 238 - Hungary(***) 221 - Turkey 216 - Slovenia 206 - Bulgaria 179 - Bosnia and Herzegovina 170 - Czech Republic 168 - Indonesia 160 - Trinidad and Tobago 133 Total on-balance sheet exposures 23,859 Notes: (*) of which €29 million in financial assets mandatorily at fair value. (**) of which €662 million in financial assets mandatorily at fair value. (***) of which €7 million in financial assets mandatorily at fair value. It should also be noted that, as at 31 December 2021, there are in addition also loans to Supranational Organisations amounting to €5,652 million booked in financial assets held for trading portfolio. Lastly, it should be noted that derivatives are traded within the ISDA master agreement and accompanied by Credit Support Annexes, which provide for the use of cash collaterals or low-risk eligible securities. As at 31 December 2021, the sensitivity of UniCredit group Common Equity Tier 1 ratio, to a +10bps parallel shift of BTP asset swap spreads, is equal to -2.6bps pre and -1.9bps post tax. The values of these sensitivities refer to the Fully Loaded Common Equity Tier 1 ratio pro-forma for the Share Buy-Back to be executed in 2022, and subject to Supervisory and Shareholders’ approval. For more details on the sensitivity analysis of credit spreads and on the results of stress tests refer to the "Pandemic Scenario" and "Pandemic & Sovereign Tensions” scenarios in chapter Stress test of the Section 2.2 - Market risk, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter and for liquidity management policies see Section 2.4 Liquidity risk, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. Other transactions With reference to the indications of Banca d’Italia/Consob/IVASS document No.6 of 8 March 2013 - Booking of "long-term structured repos" instructions, there are no transactions of this kind to report. Information on structured trading derivatives with customers The business model governing OTC derivatives trading with customers provides for the centralisation of market risk in the Group Client Solutions division - Group Client Risk Management, while credit risk is assumed by the Group company which, under the divisional or geographical segmentation model, manages the relevant customer’s account. 65 Tax items are not included. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 374 2021 Annual Report and Accounts · UniCredit The Group’s operational model provides for customer trading derivatives business to be carried on, as part of each subsidiary’s operational independence: • by the commercial banks and divisions that close transaction in OTC derivatives in order to provide non-institutional clients with products to manage currency, interest-rate and price risk. Under these transactions, the commercial banks transfer their market risks to the Group Credit Solutions division by means of equal and opposite contracts, retaining only the relevant counterparty risk. The commercial banks also place or collect orders on behalf of others for investment products with embedded derivatives (e.g. structured bonds); • by CE and EE Banks, which transact business directly with their customers. UniCredit group trades OTC derivatives on a wide range of underlying, e.g. interest rates, currency rates, share prices and indexes, commodities (precious metals, base metals, petroleum and energy materials) and credit rights. OTC derivatives offer considerable scope for personalisation: new payoff profiles can be constructed by combining several OTC derivatives (for example, a plain vanilla IRS with one or more plain vanilla or exotic options). The risk and the complexity of the structures obtained in this manner depend on the respective characteristics of the components (reference parameters and indexation mechanisms) and the way in which they are combined. Credit and market risk arising from OTC derivatives business is controlled by the Chief Risk Officer competence line (CRO) in the Parent and/or in the Division or subsidiary involved. This control is carried out by means of guidelines and policies covering risk management, measurement and controls in terms of principles, rules and processes, as well as by setting VaR limits. The business with non-institutional clients does not (usually) entail the use of margin calls, whereas with institutional counterparties (dealt with by the CIB Division) recourse may be made to ‘credit-risk mitigation’ (CRM) techniques, by using netting and/or collateral agreements. Write-downs and write-backs of derivatives to take account of counterparty risk are determined in line with the procedure used to assess other credit exposure, specifically: • performing exposure to customers are mapped by deriving EAD (Exposure at Default) that take into account the Wrong-Way Risk and measured with PD (Probability of Default) and LGD (Loss Given Default) implied by current market default rates obtained from credit & loan-credit default swaps, in order to obtain a value in terms of ‘expected loss’ (EL) to be used for items designated and measured at fair value maximising the usage of market’s inputs; • non-performing positions are valued in terms of estimated expected future cash flows according to specific indications of impairment (which are the basis for the calculation of the amount and timing of the cash flow). Here follows the breakdown of balance-sheet asset item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” and of balance-sheet liability item “20. Financial liabilities held for trading”. For the purpose of the distinction between customers and banking counterparties, the definition contained in Circular No.262 of 22 December 2005 of Banca d’Italia and subsequent amendments (which was used for the preparation of the accounts) was used as a reference. Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to several types of risk (with the exception of cross-currency swaps) and/or leverage effects. Fair values of OTC derivatives managed through Central Clearing counterparts are reported on a net basis. The related reduction of balances is €35,559 million and €42,509 million on trading asset (item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading”) and liabilities (“20. Financial liabilities held for trading”), respectively. The balance of item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” of the Consolidated accounts with regard to derivative contracts totaled €40,822 million (with a notional value of €2,748,471 million) including €28,765 million with customers. The notional value of derivatives with customers amounted to €1,334,913 million including €1,325,704 million in plain vanilla (with a fair value of €28,449 million) and €9,209 million in structured derivatives (with a fair value of €317 million). The notional value of derivatives with banking counterparties totaled €1,413,558 million (fair value of €12,057 million) including €17,342 million relating to structured derivatives (fair value of €185 million). The balance of item “20. Financial liabilities held for trading” of the consolidated accounts with regard to derivative contracts totaled €37,107 million (with a notional value of €2,702,228 million) including €22,661 million with customers. The notional value of derivatives with customers amounted to €1,290,208 million including €1,284,804 million in plain vanilla (with a fair value of €22,535 million) and €5,404 million in structured derivatives (with a fair value of €126 million). The notional value of derivatives with banking counterparties totaled €1,412,020 million (fair value of €14,446 million) including €14,431 million relating to structured derivatives (fair value of €216 million). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 374 2021 Annual Report and Accounts · UniCredit The Group’s operational model provides for customer trading derivatives business to be carried on, as part of each subsidiary’s operational independence: • by the commercial banks and divisions that close transaction in OTC derivatives in order to provide non-institutional clients with products to manage currency, interest-rate and price risk. Under these transactions, the commercial banks transfer their market risks to the Group Credit Solutions division by means of equal and opposite contracts, retaining only the relevant counterparty risk. The commercial banks also place or collect orders on behalf of others for investment products with embedded derivatives (e.g. structured bonds); • by CE and EE Banks, which transact business directly with their customers. UniCredit group trades OTC derivatives on a wide range of underlying, e.g. interest rates, currency rates, share prices and indexes, commodities (precious metals, base metals, petroleum and energy materials) and credit rights. OTC derivatives offer considerable scope for personalisation: new payoff profiles can be constructed by combining several OTC derivatives (for example, a plain vanilla IRS with one or more plain vanilla or exotic options). The risk and the complexity of the structures obtained in this manner depend on the respective characteristics of the components (reference parameters and indexation mechanisms) and the way in which they are combined. Credit and market risk arising from OTC derivatives business is controlled by the Chief Risk Officer competence line (CRO) in the Parent and/or in the Division or subsidiary involved. This control is carried out by means of guidelines and policies covering risk management, measurement and controls in terms of principles, rules and processes, as well as by setting VaR limits. The business with non-institutional clients does not (usually) entail the use of margin calls, whereas with institutional counterparties (dealt with by the CIB Division) recourse may be made to ‘credit-risk mitigation’ (CRM) techniques, by using netting and/or collateral agreements. Write-downs and write-backs of derivatives to take account of counterparty risk are determined in line with the procedure used to assess other credit exposure, specifically: • performing exposure to customers are mapped by deriving EAD (Exposure at Default) that take into account the Wrong-Way Risk and measured with PD (Probability of Default) and LGD (Loss Given Default) implied by current market default rates obtained from credit & loan-credit default swaps, in order to obtain a value in terms of ‘expected loss’ (EL) to be used for items designated and measured at fair value maximising the usage of market’s inputs; • non-performing positions are valued in terms of estimated expected future cash flows according to specific indications of impairment (which are the basis for the calculation of the amount and timing of the cash flow). Here follows the breakdown of balance-sheet asset item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” and of balance-sheet liability item “20. Financial liabilities held for trading”. For the purpose of the distinction between customers and banking counterparties, the definition contained in Circular No.262 of 22 December 2005 of Banca d’Italia and subsequent amendments (which was used for the preparation of the accounts) was used as a reference. Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to several types of risk (with the exception of cross-currency swaps) and/or leverage effects. Fair values of OTC derivatives managed through Central Clearing counterparts are reported on a net basis. The related reduction of balances is €35,559 million and €42,509 million on trading asset (item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading”) and liabilities (“20. Financial liabilities held for trading”), respectively. The balance of item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” of the Consolidated accounts with regard to derivative contracts totaled €40,822 million (with a notional value of €2,748,471 million) including €28,765 million with customers. The notional value of derivatives with customers amounted to €1,334,913 million including €1,325,704 million in plain vanilla (with a fair value of €28,449 million) and €9,209 million in structured derivatives (with a fair value of €317 million). The notional value of derivatives with banking counterparties totaled €1,413,558 million (fair value of €12,057 million) including €17,342 million relating to structured derivatives (fair value of €185 million). The balance of item “20. Financial liabilities held for trading” of the consolidated accounts with regard to derivative contracts totaled €37,107 million (with a notional value of €2,702,228 million) including €22,661 million with customers. The notional value of derivatives with customers amounted to €1,290,208 million including €1,284,804 million in plain vanilla (with a fair value of €22,535 million) and €5,404 million in structured derivatives (with a fair value of €126 million). The notional value of derivatives with banking counterparties totaled €1,412,020 million (fair value of €14,446 million) including €14,431 million relating to structured derivatives (fair value of €216 million). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 374 2021 Annual Report and Accounts · UniCredit The Group’s operational model provides for customer trading derivatives business to be carried on, as part of each subsidiary’s operational independence: • by the commercial banks and divisions that close transaction in OTC derivatives in order to provide non-institutional clients with products to manage currency, interest-rate and price risk. Under these transactions, the commercial banks transfer their market risks to the Group Credit Solutions division by means of equal and opposite contracts, retaining only the relevant counterparty risk. The commercial banks also place or collect orders on behalf of others for investment products with embedded derivatives (e.g. structured bonds); • by CE and EE Banks, which transact business directly with their customers. UniCredit group trades OTC derivatives on a wide range of underlying, e.g. interest rates, currency rates, share prices and indexes, commodities (precious metals, base metals, petroleum and energy materials) and credit rights. OTC derivatives offer considerable scope for personalisation: new payoff profiles can be constructed by combining several OTC derivatives (for example, a plain vanilla IRS with one or more plain vanilla or exotic options). The risk and the complexity of the structures obtained in this manner depend on the respective characteristics of the components (reference parameters and indexation mechanisms) and the way in which they are combined. Credit and market risk arising from OTC derivatives business is controlled by the Chief Risk Officer competence line (CRO) in the Parent and/or in the Division or subsidiary involved. This control is carried out by means of guidelines and policies covering risk management, measurement and controls in terms of principles, rules and processes, as well as by setting VaR limits. The business with non-institutional clients does not (usually) entail the use of margin calls, whereas with institutional counterparties (dealt with by the CIB Division) recourse may be made to ‘credit-risk mitigation’ (CRM) techniques, by using netting and/or collateral agreements. Write-downs and write-backs of derivatives to take account of counterparty risk are determined in line with the procedure used to assess other credit exposure, specifically: • performing exposure to customers are mapped by deriving EAD (Exposure at Default) that take into account the Wrong-Way Risk and measured with PD (Probability of Default) and LGD (Loss Given Default) implied by current market default rates obtained from credit & loan-credit default swaps, in order to obtain a value in terms of ‘expected loss’ (EL) to be used for items designated and measured at fair value maximising the usage of market’s inputs; • non-performing positions are valued in terms of estimated expected future cash flows according to specific indications of impairment (which are the basis for the calculation of the amount and timing of the cash flow). Here follows the breakdown of balance-sheet asset item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” and of balance-sheet liability item “20. Financial liabilities held for trading”. For the purpose of the distinction between customers and banking counterparties, the definition contained in Circular No.262 of 22 December 2005 of Banca d’Italia and subsequent amendments (which was used for the preparation of the accounts) was used as a reference. Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to several types of risk (with the exception of cross-currency swaps) and/or leverage effects. Fair values of OTC derivatives managed through Central Clearing counterparts are reported on a net basis. The related reduction of balances is €35,559 million and €42,509 million on trading asset (item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading”) and liabilities (“20. Financial liabilities held for trading”), respectively. The balance of item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” of the Consolidated accounts with regard to derivative contracts totaled €40,822 million (with a notional value of €2,748,471 million) including €28,765 million with customers. The notional value of derivatives with customers amounted to €1,334,913 million including €1,325,704 million in plain vanilla (with a fair value of €28,449 million) and €9,209 million in structured derivatives (with a fair value of €317 million). The notional value of derivatives with banking counterparties totaled €1,413,558 million (fair value of €12,057 million) including €17,342 million relating to structured derivatives (fair value of €185 million). The balance of item “20. Financial liabilities held for trading” of the consolidated accounts with regard to derivative contracts totaled €37,107 million (with a notional value of €2,702,228 million) including €22,661 million with customers. The notional value of derivatives with customers amounted to €1,290,208 million including €1,284,804 million in plain vanilla (with a fair value of €22,535 million) and €5,404 million in structured derivatives (with a fair value of €126 million). The notional value of derivatives with banking counterparties totaled €1,412,020 million (fair value of €14,446 million) including €14,431 million relating to structured derivatives (fair value of €216 million). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 374 2021 Annual Report and Accounts · UniCredit The Group’s operational model provides for customer trading derivatives business to be carried on, as part of each subsidiary’s operational independence: • by the commercial banks and divisions that close transaction in OTC derivatives in order to provide non-institutional clients with products to manage currency, interest-rate and price risk. Under these transactions, the commercial banks transfer their market risks to the Group Credit Solutions division by means of equal and opposite contracts, retaining only the relevant counterparty risk. The commercial banks also place or collect orders on behalf of others for investment products with embedded derivatives (e.g. structured bonds); • by CE and EE Banks, which transact business directly with their customers. UniCredit group trades OTC derivatives on a wide range of underlying, e.g. interest rates, currency rates, share prices and indexes, commodities (precious metals, base metals, petroleum and energy materials) and credit rights. OTC derivatives offer considerable scope for personalisation: new payoff profiles can be constructed by combining several OTC derivatives (for example, a plain vanilla IRS with one or more plain vanilla or exotic options). The risk and the complexity of the structures obtained in this manner depend on the respective characteristics of the components (reference parameters and indexation mechanisms) and the way in which they are combined. Credit and market risk arising from OTC derivatives business is controlled by the Chief Risk Officer competence line (CRO) in the Parent and/or in the Division or subsidiary involved. This control is carried out by means of guidelines and policies covering risk management, measurement and controls in terms of principles, rules and processes, as well as by setting VaR limits. The business with non-institutional clients does not (usually) entail the use of margin calls, whereas with institutional counterparties (dealt with by the CIB Division) recourse may be made to ‘credit-risk mitigation’ (CRM) techniques, by using netting and/or collateral agreements. Write-downs and write-backs of derivatives to take account of counterparty risk are determined in line with the procedure used to assess other credit exposure, specifically: • performing exposure to customers are mapped by deriving EAD (Exposure at Default) that take into account the Wrong-Way Risk and measured with PD (Probability of Default) and LGD (Loss Given Default) implied by current market default rates obtained from credit & loan-credit default swaps, in order to obtain a value in terms of ‘expected loss’ (EL) to be used for items designated and measured at fair value maximising the usage of market’s inputs; • non-performing positions are valued in terms of estimated expected future cash flows according to specific indications of impairment (which are the basis for the calculation of the amount and timing of the cash flow). Here follows the breakdown of balance-sheet asset item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” and of balance-sheet liability item “20. Financial liabilities held for trading”. For the purpose of the distinction between customers and banking counterparties, the definition contained in Circular No.262 of 22 December 2005 of Banca d’Italia and subsequent amendments (which was used for the preparation of the accounts) was used as a reference. Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to several types of risk (with the exception of cross-currency swaps) and/or leverage effects. Fair values of OTC derivatives managed through Central Clearing counterparts are reported on a net basis. The related reduction of balances is €35,559 million and €42,509 million on trading asset (item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading”) and liabilities (“20. Financial liabilities held for trading”), respectively. The balance of item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” of the Consolidated accounts with regard to derivative contracts totaled €40,822 million (with a notional value of €2,748,471 million) including €28,765 million with customers. The notional value of derivatives with customers amounted to €1,334,913 million including €1,325,704 million in plain vanilla (with a fair value of €28,449 million) and €9,209 million in structured derivatives (with a fair value of €317 million). The notional value of derivatives with banking counterparties totaled €1,413,558 million (fair value of €12,057 million) including €17,342 million relating to structured derivatives (fair value of €185 million). The balance of item “20. Financial liabilities held for trading” of the consolidated accounts with regard to derivative contracts totaled €37,107 million (with a notional value of €2,702,228 million) including €22,661 million with customers. The notional value of derivatives with customers amounted to €1,290,208 million including €1,284,804 million in plain vanilla (with a fair value of €22,535 million) and €5,404 million in structured derivatives (with a fair value of €126 million). The notional value of derivatives with banking counterparties totaled €1,412,020 million (fair value of €14,446 million) including €14,431 million relating to structured derivatives (fair value of €216 million). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 374 2021 Annual Report and Accounts · UniCredit The Group’s operational model provides for customer trading derivatives business to be carried on, as part of each subsidiary’s operational independence: • by the commercial banks and divisions that close transaction in OTC derivatives in order to provide non-institutional clients with products to manage currency, interest-rate and price risk. Under these transactions, the commercial banks transfer their market risks to the Group Credit Solutions division by means of equal and opposite contracts, retaining only the relevant counterparty risk. The commercial banks also place or collect orders on behalf of others for investment products with embedded derivatives (e.g. structured bonds); • by CE and EE Banks, which transact business directly with their customers. UniCredit group trades OTC derivatives on a wide range of underlying, e.g. interest rates, currency rates, share prices and indexes, commodities (precious metals, base metals, petroleum and energy materials) and credit rights. OTC derivatives offer considerable scope for personalisation: new payoff profiles can be constructed by combining several OTC derivatives (for example, a plain vanilla IRS with one or more plain vanilla or exotic options). The risk and the complexity of the structures obtained in this manner depend on the respective characteristics of the components (reference parameters and indexation mechanisms) and the way in which they are combined. Credit and market risk arising from OTC derivatives business is controlled by the Chief Risk Officer competence line (CRO) in the Parent and/or in the Division or subsidiary involved. This control is carried out by means of guidelines and policies covering risk management, measurement and controls in terms of principles, rules and processes, as well as by setting VaR limits. The business with non-institutional clients does not (usually) entail the use of margin calls, whereas with institutional counterparties (dealt with by the CIB Division) recourse may be made to ‘credit-risk mitigation’ (CRM) techniques, by using netting and/or collateral agreements. Write-downs and write-backs of derivatives to take account of counterparty risk are determined in line with the procedure used to assess other credit exposure, specifically: • performing exposure to customers are mapped by deriving EAD (Exposure at Default) that take into account the Wrong-Way Risk and measured with PD (Probability of Default) and LGD (Loss Given Default) implied by current market default rates obtained from credit & loan-credit default swaps, in order to obtain a value in terms of ‘expected loss’ (EL) to be used for items designated and measured at fair value maximising the usage of market’s inputs; • non-performing positions are valued in terms of estimated expected future cash flows according to specific indications of impairment (which are the basis for the calculation of the amount and timing of the cash flow). Here follows the breakdown of balance-sheet asset item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” and of balance-sheet liability item “20. Financial liabilities held for trading”. For the purpose of the distinction between customers and banking counterparties, the definition contained in Circular No.262 of 22 December 2005 of Banca d’Italia and subsequent amendments (which was used for the preparation of the accounts) was used as a reference. Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to several types of risk (with the exception of cross-currency swaps) and/or leverage effects. Fair values of OTC derivatives managed through Central Clearing counterparts are reported on a net basis. The related reduction of balances is €35,559 million and €42,509 million on trading asset (item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading”) and liabilities (“20. Financial liabilities held for trading”), respectively. The balance of item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” of the Consolidated accounts with regard to derivative contracts totaled €40,822 million (with a notional value of €2,748,471 million) including €28,765 million with customers. The notional value of derivatives with customers amounted to €1,334,913 million including €1,325,704 million in plain vanilla (with a fair value of €28,449 million) and €9,209 million in structured derivatives (with a fair value of €317 million). The notional value of derivatives with banking counterparties totaled €1,413,558 million (fair value of €12,057 million) including €17,342 million relating to structured derivatives (fair value of €185 million). The balance of item “20. Financial liabilities held for trading” of the consolidated accounts with regard to derivative contracts totaled €37,107 million (with a notional value of €2,702,228 million) including €22,661 million with customers. The notional value of derivatives with customers amounted to €1,290,208 million including €1,284,804 million in plain vanilla (with a fair value of €22,535 million) and €5,404 million in structured derivatives (with a fair value of €126 million). The notional value of derivatives with banking counterparties totaled €1,412,020 million (fair value of €14,446 million) including €14,431 million relating to structured derivatives (fair value of €216 million). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 375 E. Prudential perimeter - Credit risk measurement models As at 31 December 2021 the expected loss on the credit risk perimeter was 0.36% of total UniCredit group credit exposure. The result does not include the exposures which have migrated to default and therefore do not enter in the calculation of expected loss. Besides, since risk measurement systems tend to be anti-cyclical, this may result in a smaller elasticity to the swift changes of the macroeconomic scenario. As at 31 December 2021, the ratio between credit economic capital (including a component to cover migration risk) and its relative credit exposure amount is 2.36%. As far as UniCredit S.p.A. quantitative information, reference is made to the paragraph “F. Credit risk measurement models” of Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, which is herewith quoted entirely. 2.2 Market risk Market risk derives from the effect that changes in market variables (interest rates, securities prices, exchange rates, etc.) can cause to the economic value of the Group's portfolio, including the assets held both in the Trading book, as well as those posted in the Banking book, both on the operations characteristically involved in commercial banking and in the choice of strategic investments. Market risk management within UniCredit group accordingly includes all the activities relating to cash transactions and capital structure management, both for the Parent company, as well as for the individual entities of the Group. From a regulatory perspective, market risk stems from all the positions included in banks' trading book as well as from commodity and foreign exchange risk positions in the whole balance sheet. Therefore, the risks subject to market risk capital requirements include but are not limited to: • default risk, interest rate risk, credit spread risk, equity risk, foreign exchange (FX) risk and commodities risk for trading book instruments; • FX risk and commodities risk for banking book instruments. From a managerial perspective, the Group extends the definition of Market Risk to include Fair value through Profit and Loss (i.e., FVtPL) and Other Comprehensive Income (i.e. FVtOCI assets, net of Micro Fair Value Hedges) portfolios, which are therefore monitored and limited through a set of market-risk specific metrics. Amortised Cost (AC) securities are also included in the scope with the aim to check the consistency with the Investment Plan. The current organisational model guarantees the ability to steer, coordinate and control the activities of some aggregated risks (so-called Portfolio Risks), through dedicated responsibility centres (Portfolio Risk Managers), completely focused and specialised on such risks, under a Group and interdivisional perspective. According to this organisation, the structure at first level of reporting to "Group Risk Management", dedicated to market risk governance is the "Group Financial Risk" department. Risk management strategies and processes The Parent company's Board of Directors lays down strategic guidelines for taking on market risks by calculating capital allocation for the Parent company and its subsidiaries, depending on risk appetite and value creation objectives in proportion to the risks assumed. The Parent company has defined Global Rules to manage and control market risk, including strategies and processes to be followed. Market risk strategies are set by the Parent company at least on an annual basis, in line with the definition of the overall Group Risk appetite and then cascaded to the legal entities. Market risk appetite is also fundamental for the development of the Group's business strategy, ensuring the consistence between the budgeted revenues and the setting of Value-at-Risk limits. In this context, on an annual basis Market Risk Management function of the Parent company agrees with the local Market Risk functions possible changes to the Group Market Risk Framework. Changes to the Group Market Risk Framework can include changes to the perimeter for the calculation of managerial market risk metrics and methodological changes in the limit monitoring framework. For this purpose, Market Risk Management of the Parent company gathers the information needed to set up the Group Market Risk Strategy for the following year. In particular, Group Market Risk Management receives from the competent function the Group Risk Appetite Framework, which sets, among others, Market Risk KPIs and from local Market Risk functions the list of legal entities (LEs)/Business Lines allowed to assume market risk exposures, the severities of the related limits and the proposals for the review of market risk levels. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 375 E. Prudential perimeter - Credit risk measurement models As at 31 December 2021 the expected loss on the credit risk perimeter was 0.36% of total UniCredit group credit exposure. The result does not include the exposures which have migrated to default and therefore do not enter in the calculation of expected loss. Besides, since risk measurement systems tend to be anti-cyclical, this may result in a smaller elasticity to the swift changes of the macroeconomic scenario. As at 31 December 2021, the ratio between credit economic capital (including a component to cover migration risk) and its relative credit exposure amount is 2.36%. As far as UniCredit S.p.A. quantitative information, reference is made to the paragraph “F. Credit risk measurement models” of Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, which is herewith quoted entirely. 2.2 Market risk Market risk derives from the effect that changes in market variables (interest rates, securities prices, exchange rates, etc.) can cause to the economic value of the Group's portfolio, including the assets held both in the Trading book, as well as those posted in the Banking book, both on the operations characteristically involved in commercial banking and in the choice of strategic investments. Market risk management within UniCredit group accordingly includes all the activities relating to cash transactions and capital structure management, both for the Parent company, as well as for the individual entities of the Group. From a regulatory perspective, market risk stems from all the positions included in banks' trading book as well as from commodity and foreign exchange risk positions in the whole balance sheet. Therefore, the risks subject to market risk capital requirements include but are not limited to: • default risk, interest rate risk, credit spread risk, equity risk, foreign exchange (FX) risk and commodities risk for trading book instruments; • FX risk and commodities risk for banking book instruments. From a managerial perspective, the Group extends the definition of Market Risk to include Fair value through Profit and Loss (i.e., FVtPL) and Other Comprehensive Income (i.e. FVtOCI assets, net of Micro Fair Value Hedges) portfolios, which are therefore monitored and limited through a set of market-risk specific metrics. Amortised Cost (AC) securities are also included in the scope with the aim to check the consistency with the Investment Plan. The current organisational model guarantees the ability to steer, coordinate and control the activities of some aggregated risks (so-called Portfolio Risks), through dedicated responsibility centres (Portfolio Risk Managers), completely focused and specialised on such risks, under a Group and interdivisional perspective. According to this organisation, the structure at first level of reporting to "Group Risk Management", dedicated to market risk governance is the "Group Financial Risk" department. Risk management strategies and processes The Parent company's Board of Directors lays down strategic guidelines for taking on market risks by calculating capital allocation for the Parent company and its subsidiaries, depending on risk appetite and value creation objectives in proportion to the risks assumed. The Parent company has defined Global Rules to manage and control market risk, including strategies and processes to be followed. Market risk strategies are set by the Parent company at least on an annual basis, in line with the definition of the overall Group Risk appetite and then cascaded to the legal entities. Market risk appetite is also fundamental for the development of the Group's business strategy, ensuring the consistence between the budgeted revenues and the setting of Value-at-Risk limits. In this context, on an annual basis Market Risk Management function of the Parent company agrees with the local Market Risk functions possible changes to the Group Market Risk Framework. Changes to the Group Market Risk Framework can include changes to the perimeter for the calculation of managerial market risk metrics and methodological changes in the limit monitoring framework. For this purpose, Market Risk Management of the Parent company gathers the information needed to set up the Group Market Risk Strategy for the following year. In particular, Group Market Risk Management receives from the competent function the Group Risk Appetite Framework, which sets, among others, Market Risk KPIs and from local Market Risk functions the list of legal entities (LEs)/Business Lines allowed to assume market risk exposures, the severities of the related limits and the proposals for the review of market risk levels. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 375 E. Prudential perimeter - Credit risk measurement models As at 31 December 2021 the expected loss on the credit risk perimeter was 0.36% of total UniCredit group credit exposure. The result does not include the exposures which have migrated to default and therefore do not enter in the calculation of expected loss. Besides, since risk measurement systems tend to be anti-cyclical, this may result in a smaller elasticity to the swift changes of the macroeconomic scenario. As at 31 December 2021, the ratio between credit economic capital (including a component to cover migration risk) and its relative credit exposure amount is 2.36%. As far as UniCredit S.p.A. quantitative information, reference is made to the paragraph “F. Credit risk measurement models” of Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, which is herewith quoted entirely. 2.2 Market risk Market risk derives from the effect that changes in market variables (interest rates, securities prices, exchange rates, etc.) can cause to the economic value of the Group's portfolio, including the assets held both in the Trading book, as well as those posted in the Banking book, both on the operations characteristically involved in commercial banking and in the choice of strategic investments. Market risk management within UniCredit group accordingly includes all the activities relating to cash transactions and capital structure management, both for the Parent company, as well as for the individual entities of the Group. From a regulatory perspective, market risk stems from all the positions included in banks' trading book as well as from commodity and foreign exchange risk positions in the whole balance sheet. Therefore, the risks subject to market risk capital requirements include but are not limited to: • default risk, interest rate risk, credit spread risk, equity risk, foreign exchange (FX) risk and commodities risk for trading book instruments; • FX risk and commodities risk for banking book instruments. From a managerial perspective, the Group extends the definition of Market Risk to include Fair value through Profit and Loss (i.e., FVtPL) and Other Comprehensive Income (i.e. FVtOCI assets, net of Micro Fair Value Hedges) portfolios, which are therefore monitored and limited through a set of market-risk specific metrics. Amortised Cost (AC) securities are also included in the scope with the aim to check the consistency with the Investment Plan. The current organisational model guarantees the ability to steer, coordinate and control the activities of some aggregated risks (so-called Portfolio Risks), through dedicated responsibility centres (Portfolio Risk Managers), completely focused and specialised on such risks, under a Group and interdivisional perspective. According to this organisation, the structure at first level of reporting to "Group Risk Management", dedicated to market risk governance is the "Group Financial Risk" department. Risk management strategies and processes The Parent company's Board of Directors lays down strategic guidelines for taking on market risks by calculating capital allocation for the Parent company and its subsidiaries, depending on risk appetite and value creation objectives in proportion to the risks assumed. The Parent company has defined Global Rules to manage and control market risk, including strategies and processes to be followed. Market risk strategies are set by the Parent company at least on an annual basis, in line with the definition of the overall Group Risk appetite and then cascaded to the legal entities. Market risk appetite is also fundamental for the development of the Group's business strategy, ensuring the consistence between the budgeted revenues and the setting of Value-at-Risk limits. In this context, on an annual basis Market Risk Management function of the Parent company agrees with the local Market Risk functions possible changes to the Group Market Risk Framework. Changes to the Group Market Risk Framework can include changes to the perimeter for the calculation of managerial market risk metrics and methodological changes in the limit monitoring framework. For this purpose, Market Risk Management of the Parent company gathers the information needed to set up the Group Market Risk Strategy for the following year. In particular, Group Market Risk Management receives from the competent function the Group Risk Appetite Framework, which sets, among others, Market Risk KPIs and from local Market Risk functions the list of legal entities (LEs)/Business Lines allowed to assume market risk exposures, the severities of the related limits and the proposals for the review of market risk levels. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 375 E. Prudential perimeter - Credit risk measurement models As at 31 December 2021 the expected loss on the credit risk perimeter was 0.36% of total UniCredit group credit exposure. The result does not include the exposures which have migrated to default and therefore do not enter in the calculation of expected loss. Besides, since risk measurement systems tend to be anti-cyclical, this may result in a smaller elasticity to the swift changes of the macroeconomic scenario. As at 31 December 2021, the ratio between credit economic capital (including a component to cover migration risk) and its relative credit exposure amount is 2.36%. As far as UniCredit S.p.A. quantitative information, reference is made to the paragraph “F. Credit risk measurement models” of Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, which is herewith quoted entirely. 2.2 Market risk Market risk derives from the effect that changes in market variables (interest rates, securities prices, exchange rates, etc.) can cause to the economic value of the Group's portfolio, including the assets held both in the Trading book, as well as those posted in the Banking book, both on the operations characteristically involved in commercial banking and in the choice of strategic investments. Market risk management within UniCredit group accordingly includes all the activities relating to cash transactions and capital structure management, both for the Parent company, as well as for the individual entities of the Group. From a regulatory perspective, market risk stems from all the positions included in banks' trading book as well as from commodity and foreign exchange risk positions in the whole balance sheet. Therefore, the risks subject to market risk capital requirements include but are not limited to: • default risk, interest rate risk, credit spread risk, equity risk, foreign exchange (FX) risk and commodities risk for trading book instruments; • FX risk and commodities risk for banking book instruments. From a managerial perspective, the Group extends the definition of Market Risk to include Fair value through Profit and Loss (i.e., FVtPL) and Other Comprehensive Income (i.e. FVtOCI assets, net of Micro Fair Value Hedges) portfolios, which are therefore monitored and limited through a set of market-risk specific metrics. Amortised Cost (AC) securities are also included in the scope with the aim to check the consistency with the Investment Plan. The current organisational model guarantees the ability to steer, coordinate and control the activities of some aggregated risks (so-called Portfolio Risks), through dedicated responsibility centres (Portfolio Risk Managers), completely focused and specialised on such risks, under a Group and interdivisional perspective. According to this organisation, the structure at first level of reporting to "Group Risk Management", dedicated to market risk governance is the "Group Financial Risk" department. Risk management strategies and processes The Parent company's Board of Directors lays down strategic guidelines for taking on market risks by calculating capital allocation for the Parent company and its subsidiaries, depending on risk appetite and value creation objectives in proportion to the risks assumed. The Parent company has defined Global Rules to manage and control market risk, including strategies and processes to be followed. Market risk strategies are set by the Parent company at least on an annual basis, in line with the definition of the overall Group Risk appetite and then cascaded to the legal entities. Market risk appetite is also fundamental for the development of the Group's business strategy, ensuring the consistence between the budgeted revenues and the setting of Value-at-Risk limits. In this context, on an annual basis Market Risk Management function of the Parent company agrees with the local Market Risk functions possible changes to the Group Market Risk Framework. Changes to the Group Market Risk Framework can include changes to the perimeter for the calculation of managerial market risk metrics and methodological changes in the limit monitoring framework. For this purpose, Market Risk Management of the Parent company gathers the information needed to set up the Group Market Risk Strategy for the following year. In particular, Group Market Risk Management receives from the competent function the Group Risk Appetite Framework, which sets, among others, Market Risk KPIs and from local Market Risk functions the list of legal entities (LEs)/Business Lines allowed to assume market risk exposures, the severities of the related limits and the proposals for the review of market risk levels. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 375 E. Prudential perimeter - Credit risk measurement models As at 31 December 2021 the expected loss on the credit risk perimeter was 0.36% of total UniCredit group credit exposure. The result does not include the exposures which have migrated to default and therefore do not enter in the calculation of expected loss. Besides, since risk measurement systems tend to be anti-cyclical, this may result in a smaller elasticity to the swift changes of the macroeconomic scenario. As at 31 December 2021, the ratio between credit economic capital (including a component to cover migration risk) and its relative credit exposure amount is 2.36%. As far as UniCredit S.p.A. quantitative information, reference is made to the paragraph “F. Credit risk measurement models” of Company financial statements of UniCredit S.p.A., Notes to the accounts, Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, which is herewith quoted entirely. 2.2 Market risk Market risk derives from the effect that changes in market variables (interest rates, securities prices, exchange rates, etc.) can cause to the economic value of the Group's portfolio, including the assets held both in the Trading book, as well as those posted in the Banking book, both on the operations characteristically involved in commercial banking and in the choice of strategic investments. Market risk management within UniCredit group accordingly includes all the activities relating to cash transactions and capital structure management, both for the Parent company, as well as for the individual entities of the Group. From a regulatory perspective, market risk stems from all the positions included in banks' trading book as well as from commodity and foreign exchange risk positions in the whole balance sheet. Therefore, the risks subject to market risk capital requirements include but are not limited to: • default risk, interest rate risk, credit spread risk, equity risk, foreign exchange (FX) risk and commodities risk for trading book instruments; • FX risk and commodities risk for banking book instruments. From a managerial perspective, the Group extends the definition of Market Risk to include Fair value through Profit and Loss (i.e., FVtPL) and Other Comprehensive Income (i.e. FVtOCI assets, net of Micro Fair Value Hedges) portfolios, which are therefore monitored and limited through a set of market-risk specific metrics. Amortised Cost (AC) securities are also included in the scope with the aim to check the consistency with the Investment Plan. The current organisational model guarantees the ability to steer, coordinate and control the activities of some aggregated risks (so-called Portfolio Risks), through dedicated responsibility centres (Portfolio Risk Managers), completely focused and specialised on such risks, under a Group and interdivisional perspective. According to this organisation, the structure at first level of reporting to "Group Risk Management", dedicated to market risk governance is the "Group Financial Risk" department. Risk management strategies and processes The Parent company's Board of Directors lays down strategic guidelines for taking on market risks by calculating capital allocation for the Parent company and its subsidiaries, depending on risk appetite and value creation objectives in proportion to the risks assumed. The Parent company has defined Global Rules to manage and control market risk, including strategies and processes to be followed. Market risk strategies are set by the Parent company at least on an annual basis, in line with the definition of the overall Group Risk appetite and then cascaded to the legal entities. Market risk appetite is also fundamental for the development of the Group's business strategy, ensuring the consistence between the budgeted revenues and the setting of Value-at-Risk limits. In this context, on an annual basis Market Risk Management function of the Parent company agrees with the local Market Risk functions possible changes to the Group Market Risk Framework. Changes to the Group Market Risk Framework can include changes to the perimeter for the calculation of managerial market risk metrics and methodological changes in the limit monitoring framework. For this purpose, Market Risk Management of the Parent company gathers the information needed to set up the Group Market Risk Strategy for the following year. In particular, Group Market Risk Management receives from the competent function the Group Risk Appetite Framework, which sets, among others, Market Risk KPIs and from local Market Risk functions the list of legal entities (LEs)/Business Lines allowed to assume market risk exposures, the severities of the related limits and the proposals for the review of market risk levels. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 376 2021 Annual Report and Accounts · UniCredit Based on these inputs, the Group Market Risk strategy is defined including the following information: • the proposed Market Risk Takers Map; • limits and Warning Levels (WLs) proposal in accordance with the proposed Market Risk Takers Map; • any change occurred to the risk limit framework compared to the previous year; • overview on the macroeconomic scenario and related risks for the Group; • market risk RWA history and expected development; • market risk KPIs benchmarking; • the business strategy and key initiatives to support the limit proposal. After that all the Group relevant Bodies have approved the Group Market Risk Strategy and given the relevant NBOs for local market risk limits, the approval is communicated to the local functions. In terms of monitoring, the LEs carry out periodical activities (e.g., daily monitoring of VaR, weekly monitoring of Regulatory VaR, IRC and SVaR, monthly monitoring of Stress Test Warning Level) under the coordination of the Parent company Market Risk Management function and the breaches are timely escalated locally to Senior Management and to the Parent company. Ultimately, it has to be highlighted that detailed Global Rules on market risk strategy definition, limits setting, monitoring, escalation and reporting activities are in place and applied at Group level. Trading Book In accordance with the Capital Requirements Regulation, and as defined in the current policy "Eligibility Criteria for the Regulatory Trading book assignment", the Trading book is defined as all positions in financial instruments and commodities held either with trading intent, or in order to hedge positions held with trading intent. Books held with trading intent are composed of: • positions arising from client servicing and market making; • positions intended to be resold in the short term; • positions intended to benefit from actual or expected short-term price differences between buying and selling prices or from other price or interest rate variations. In addition, Trading book may include internal or intra-group hedging derivatives transferring risk from Banking book into Trading book, entitled to manage the relevant risk and having access to the derivatives market. The essential requirement for the Regulatory Trading book assignment is a clear "trading intent", as defined above, which the trader has to commit to and has to confirm on an ongoing basis. Additionally, the so called "tradability", "marketability" and "hedge-ability" requirements have to be assessed in order to evaluate the appropriateness for the Trading book assignment: • tradability refers to positions free of restrictions on their tradability and coherently reflected within the "Trader Mandate" of the risk taker; • marketability refers to the positions for which a reliable Fair Value can be evaluated based to the largest extent on independently verified observable market parameters; • hedge-ability refers to positions for which a hedge could be put in place. The hedge-ability is meant to concern the "material" risks of a position which implies not necessarily that all the various risk features are to be hedge-able. When opening a new book, the book manager makes the proposal whether the book should be managed as a Trading book or a Banking book based on the planned trading activity. This has to be in line with the bank's internal rules and criteria for the assignment to either Trading book or Banking book. The book manager is required to clearly declare the trading intent and therefore to explain the business strategy behind the request for the Regulatory Trading assignment. The book manager is then responsible for all the positions held in his book and the eligibility criteria are expected to be fulfilled on an ongoing basis. Concerning the monitoring phase, to demonstrate adequate trading intent, the following minimum criteria must be fulfilled at book level and are checked at least on a quarterly basis: • minimum of 5 trades during the past 90 trading days; • minimum of 5% of the volume of each book traded during the past 90 trading days with reference to the last day of the period. In case a breach of the trading intent criteria, the possibility to re-classify the book must be assessed. With reference to the methodology used to ensure that the policies and procedures implemented for the management of the Trading book are appropriate, first of all it has to be noted that any new/updated regulation has to be preliminary shared with the main impacted functions/Legal Entities in order to collect their feedback. The competent Group function also assesses the compliance risks with reference to the regulations falling within its direct scope of competence. In addition, before the issuance, the owner of the rule submits to the competent Body/function for the approval. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 376 2021 Annual Report and Accounts · UniCredit Based on these inputs, the Group Market Risk strategy is defined including the following information: • the proposed Market Risk Takers Map; • limits and Warning Levels (WLs) proposal in accordance with the proposed Market Risk Takers Map; • any change occurred to the risk limit framework compared to the previous year; • overview on the macroeconomic scenario and related risks for the Group; • market risk RWA history and expected development; • market risk KPIs benchmarking; • the business strategy and key initiatives to support the limit proposal. After that all the Group relevant Bodies have approved the Group Market Risk Strategy and given the relevant NBOs for local market risk limits, the approval is communicated to the local functions. In terms of monitoring, the LEs carry out periodical activities (e.g., daily monitoring of VaR, weekly monitoring of Regulatory VaR, IRC and SVaR, monthly monitoring of Stress Test Warning Level) under the coordination of the Parent company Market Risk Management function and the breaches are timely escalated locally to Senior Management and to the Parent company. Ultimately, it has to be highlighted that detailed Global Rules on market risk strategy definition, limits setting, monitoring, escalation and reporting activities are in place and applied at Group level. Trading Book In accordance with the Capital Requirements Regulation, and as defined in the current policy "Eligibility Criteria for the Regulatory Trading book assignment", the Trading book is defined as all positions in financial instruments and commodities held either with trading intent, or in order to hedge positions held with trading intent. Books held with trading intent are composed of: • positions arising from client servicing and market making; • positions intended to be resold in the short term; • positions intended to benefit from actual or expected short-term price differences between buying and selling prices or from other price or interest rate variations. In addition, Trading book may include internal or intra-group hedging derivatives transferring risk from Banking book into Trading book, entitled to manage the relevant risk and having access to the derivatives market. The essential requirement for the Regulatory Trading book assignment is a clear "trading intent", as defined above, which the trader has to commit to and has to confirm on an ongoing basis. Additionally, the so called "tradability", "marketability" and "hedge-ability" requirements have to be assessed in order to evaluate the appropriateness for the Trading book assignment: • tradability refers to positions free of restrictions on their tradability and coherently reflected within the "Trader Mandate" of the risk taker; • marketability refers to the positions for which a reliable Fair Value can be evaluated based to the largest extent on independently verified observable market parameters; • hedge-ability refers to positions for which a hedge could be put in place. The hedge-ability is meant to concern the "material" risks of a position which implies not necessarily that all the various risk features are to be hedge-able. When opening a new book, the book manager makes the proposal whether the book should be managed as a Trading book or a Banking book based on the planned trading activity. This has to be in line with the bank's internal rules and criteria for the assignment to either Trading book or Banking book. The book manager is required to clearly declare the trading intent and therefore to explain the business strategy behind the request for the Regulatory Trading assignment. The book manager is then responsible for all the positions held in his book and the eligibility criteria are expected to be fulfilled on an ongoing basis. Concerning the monitoring phase, to demonstrate adequate trading intent, the following minimum criteria must be fulfilled at book level and are checked at least on a quarterly basis: • minimum of 5 trades during the past 90 trading days; • minimum of 5% of the volume of each book traded during the past 90 trading days with reference to the last day of the period. In case a breach of the trading intent criteria, the possibility to re-classify the book must be assessed. With reference to the methodology used to ensure that the policies and procedures implemented for the management of the Trading book are appropriate, first of all it has to be noted that any new/updated regulation has to be preliminary shared with the main impacted functions/Legal Entities in order to collect their feedback. The competent Group function also assesses the compliance risks with reference to the regulations falling within its direct scope of competence. In addition, before the issuance, the owner of the rule submits to the competent Body/function for the approval. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 376 2021 Annual Report and Accounts · UniCredit Based on these inputs, the Group Market Risk strategy is defined including the following information: • the proposed Market Risk Takers Map; • limits and Warning Levels (WLs) proposal in accordance with the proposed Market Risk Takers Map; • any change occurred to the risk limit framework compared to the previous year; • overview on the macroeconomic scenario and related risks for the Group; • market risk RWA history and expected development; • market risk KPIs benchmarking; • the business strategy and key initiatives to support the limit proposal. After that all the Group relevant Bodies have approved the Group Market Risk Strategy and given the relevant NBOs for local market risk limits, the approval is communicated to the local functions. In terms of monitoring, the LEs carry out periodical activities (e.g., daily monitoring of VaR, weekly monitoring of Regulatory VaR, IRC and SVaR, monthly monitoring of Stress Test Warning Level) under the coordination of the Parent company Market Risk Management function and the breaches are timely escalated locally to Senior Management and to the Parent company. Ultimately, it has to be highlighted that detailed Global Rules on market risk strategy definition, limits setting, monitoring, escalation and reporting activities are in place and applied at Group level. Trading Book In accordance with the Capital Requirements Regulation, and as defined in the current policy "Eligibility Criteria for the Regulatory Trading book assignment", the Trading book is defined as all positions in financial instruments and commodities held either with trading intent, or in order to hedge positions held with trading intent. Books held with trading intent are composed of: • positions arising from client servicing and market making; • positions intended to be resold in the short term; • positions intended to benefit from actual or expected short-term price differences between buying and selling prices or from other price or interest rate variations. In addition, Trading book may include internal or intra-group hedging derivatives transferring risk from Banking book into Trading book, entitled to manage the relevant risk and having access to the derivatives market. The essential requirement for the Regulatory Trading book assignment is a clear "trading intent", as defined above, which the trader has to commit to and has to confirm on an ongoing basis. Additionally, the so called "tradability", "marketability" and "hedge-ability" requirements have to be assessed in order to evaluate the appropriateness for the Trading book assignment: • tradability refers to positions free of restrictions on their tradability and coherently reflected within the "Trader Mandate" of the risk taker; • marketability refers to the positions for which a reliable Fair Value can be evaluated based to the largest extent on independently verified observable market parameters; • hedge-ability refers to positions for which a hedge could be put in place. The hedge-ability is meant to concern the "material" risks of a position which implies not necessarily that all the various risk features are to be hedge-able. When opening a new book, the book manager makes the proposal whether the book should be managed as a Trading book or a Banking book based on the planned trading activity. This has to be in line with the bank's internal rules and criteria for the assignment to either Trading book or Banking book. The book manager is required to clearly declare the trading intent and therefore to explain the business strategy behind the request for the Regulatory Trading assignment. The book manager is then responsible for all the positions held in his book and the eligibility criteria are expected to be fulfilled on an ongoing basis. Concerning the monitoring phase, to demonstrate adequate trading intent, the following minimum criteria must be fulfilled at book level and are checked at least on a quarterly basis: • minimum of 5 trades during the past 90 trading days; • minimum of 5% of the volume of each book traded during the past 90 trading days with reference to the last day of the period. In case a breach of the trading intent criteria, the possibility to re-classify the book must be assessed. With reference to the methodology used to ensure that the policies and procedures implemented for the management of the Trading book are appropriate, first of all it has to be noted that any new/updated regulation has to be preliminary shared with the main impacted functions/Legal Entities in order to collect their feedback. The competent Group function also assesses the compliance risks with reference to the regulations falling within its direct scope of competence. In addition, before the issuance, the owner of the rule submits to the competent Body/function for the approval. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 376 2021 Annual Report and Accounts · UniCredit Based on these inputs, the Group Market Risk strategy is defined including the following information: • the proposed Market Risk Takers Map; • limits and Warning Levels (WLs) proposal in accordance with the proposed Market Risk Takers Map; • any change occurred to the risk limit framework compared to the previous year; • overview on the macroeconomic scenario and related risks for the Group; • market risk RWA history and expected development; • market risk KPIs benchmarking; • the business strategy and key initiatives to support the limit proposal. After that all the Group relevant Bodies have approved the Group Market Risk Strategy and given the relevant NBOs for local market risk limits, the approval is communicated to the local functions. In terms of monitoring, the LEs carry out periodical activities (e.g., daily monitoring of VaR, weekly monitoring of Regulatory VaR, IRC and SVaR, monthly monitoring of Stress Test Warning Level) under the coordination of the Parent company Market Risk Management function and the breaches are timely escalated locally to Senior Management and to the Parent company. Ultimately, it has to be highlighted that detailed Global Rules on market risk strategy definition, limits setting, monitoring, escalation and reporting activities are in place and applied at Group level. Trading Book In accordance with the Capital Requirements Regulation, and as defined in the current policy "Eligibility Criteria for the Regulatory Trading book assignment", the Trading book is defined as all positions in financial instruments and commodities held either with trading intent, or in order to hedge positions held with trading intent. Books held with trading intent are composed of: • positions arising from client servicing and market making; • positions intended to be resold in the short term; • positions intended to benefit from actual or expected short-term price differences between buying and selling prices or from other price or interest rate variations. In addition, Trading book may include internal or intra-group hedging derivatives transferring risk from Banking book into Trading book, entitled to manage the relevant risk and having access to the derivatives market. The essential requirement for the Regulatory Trading book assignment is a clear "trading intent", as defined above, which the trader has to commit to and has to confirm on an ongoing basis. Additionally, the so called "tradability", "marketability" and "hedge-ability" requirements have to be assessed in order to evaluate the appropriateness for the Trading book assignment: • tradability refers to positions free of restrictions on their tradability and coherently reflected within the "Trader Mandate" of the risk taker; • marketability refers to the positions for which a reliable Fair Value can be evaluated based to the largest extent on independently verified observable market parameters; • hedge-ability refers to positions for which a hedge could be put in place. The hedge-ability is meant to concern the "material" risks of a position which implies not necessarily that all the various risk features are to be hedge-able. When opening a new book, the book manager makes the proposal whether the book should be managed as a Trading book or a Banking book based on the planned trading activity. This has to be in line with the bank's internal rules and criteria for the assignment to either Trading book or Banking book. The book manager is required to clearly declare the trading intent and therefore to explain the business strategy behind the request for the Regulatory Trading assignment. The book manager is then responsible for all the positions held in his book and the eligibility criteria are expected to be fulfilled on an ongoing basis. Concerning the monitoring phase, to demonstrate adequate trading intent, the following minimum criteria must be fulfilled at book level and are checked at least on a quarterly basis: • minimum of 5 trades during the past 90 trading days; • minimum of 5% of the volume of each book traded during the past 90 trading days with reference to the last day of the period. In case a breach of the trading intent criteria, the possibility to re-classify the book must be assessed. With reference to the methodology used to ensure that the policies and procedures implemented for the management of the Trading book are appropriate, first of all it has to be noted that any new/updated regulation has to be preliminary shared with the main impacted functions/Legal Entities in order to collect their feedback. The competent Group function also assesses the compliance risks with reference to the regulations falling within its direct scope of competence. In addition, before the issuance, the owner of the rule submits to the competent Body/function for the approval. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 376 2021 Annual Report and Accounts · UniCredit Based on these inputs, the Group Market Risk strategy is defined including the following information: • the proposed Market Risk Takers Map; • limits and Warning Levels (WLs) proposal in accordance with the proposed Market Risk Takers Map; • any change occurred to the risk limit framework compared to the previous year; • overview on the macroeconomic scenario and related risks for the Group; • market risk RWA history and expected development; • market risk KPIs benchmarking; • the business strategy and key initiatives to support the limit proposal. After that all the Group relevant Bodies have approved the Group Market Risk Strategy and given the relevant NBOs for local market risk limits, the approval is communicated to the local functions. In terms of monitoring, the LEs carry out periodical activities (e.g., daily monitoring of VaR, weekly monitoring of Regulatory VaR, IRC and SVaR, monthly monitoring of Stress Test Warning Level) under the coordination of the Parent company Market Risk Management function and the breaches are timely escalated locally to Senior Management and to the Parent company. Ultimately, it has to be highlighted that detailed Global Rules on market risk strategy definition, limits setting, monitoring, escalation and reporting activities are in place and applied at Group level. Trading Book In accordance with the Capital Requirements Regulation, and as defined in the current policy "Eligibility Criteria for the Regulatory Trading book assignment", the Trading book is defined as all positions in financial instruments and commodities held either with trading intent, or in order to hedge positions held with trading intent. Books held with trading intent are composed of: • positions arising from client servicing and market making; • positions intended to be resold in the short term; • positions intended to benefit from actual or expected short-term price differences between buying and selling prices or from other price or interest rate variations. In addition, Trading book may include internal or intra-group hedging derivatives transferring risk from Banking book into Trading book, entitled to manage the relevant risk and having access to the derivatives market. The essential requirement for the Regulatory Trading book assignment is a clear "trading intent", as defined above, which the trader has to commit to and has to confirm on an ongoing basis. Additionally, the so called "tradability", "marketability" and "hedge-ability" requirements have to be assessed in order to evaluate the appropriateness for the Trading book assignment: • tradability refers to positions free of restrictions on their tradability and coherently reflected within the "Trader Mandate" of the risk taker; • marketability refers to the positions for which a reliable Fair Value can be evaluated based to the largest extent on independently verified observable market parameters; • hedge-ability refers to positions for which a hedge could be put in place. The hedge-ability is meant to concern the "material" risks of a position which implies not necessarily that all the various risk features are to be hedge-able. When opening a new book, the book manager makes the proposal whether the book should be managed as a Trading book or a Banking book based on the planned trading activity. This has to be in line with the bank's internal rules and criteria for the assignment to either Trading book or Banking book. The book manager is required to clearly declare the trading intent and therefore to explain the business strategy behind the request for the Regulatory Trading assignment. The book manager is then responsible for all the positions held in his book and the eligibility criteria are expected to be fulfilled on an ongoing basis. Concerning the monitoring phase, to demonstrate adequate trading intent, the following minimum criteria must be fulfilled at book level and are checked at least on a quarterly basis: • minimum of 5 trades during the past 90 trading days; • minimum of 5% of the volume of each book traded during the past 90 trading days with reference to the last day of the period. In case a breach of the trading intent criteria, the possibility to re-classify the book must be assessed. With reference to the methodology used to ensure that the policies and procedures implemented for the management of the Trading book are appropriate, first of all it has to be noted that any new/updated regulation has to be preliminary shared with the main impacted functions/Legal Entities in order to collect their feedback. The competent Group function also assesses the compliance risks with reference to the regulations falling within its direct scope of competence. In addition, before the issuance, the owner of the rule submits to the competent Body/function for the approval. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 377 The financial instruments (an asset or a liability, cash or derivative) held by the Group are exposed to changes over time driven by moves of market risk factors. The market risk factors are classified in the following five standard market risk asset classes: • Credit risk: the risk that the value of the instrument decreases due to credit spreads changes, issuer correlation and recovery rates; • Equity risk: the risk that the value of the instrument decreases due to increase/decrease of index/stock prices, equity volatilities, implied correlation; • Interest rate risk: the risk that the value of the instrument decreases due to interest rates changes, basis risk, interest rates volatility; • Currency risk: the risk that the value of the instrument decreases due to foreign exchange rates changes, foreign exchange rates volatility; • Commodity risk: the risk that the value of the instrument decreases due to changes of the commodity prices, for example gold, crude oil, commodity prices volatility. Market risk in UniCredit group is measured and limited mainly through two sets of metrics: Broad Market Risk measures and Granular Market Risk measures: • Broad Market Risk measures: these measures are meant to set a boundary to the regulatory capital absorption and to the economic loss accepted for FVOCI and/or FVTPL exposures. Limitations on Broad Market Risk measures must be reviewed at least annually in the context of the drafting of the Group and Local Market Risk Strategies and must be consistent with assigned budget of revenues, the defined risk-taking capacity (ICAAP process) and Group Risk Appetite KPIs. The set of all limitations on Broad Market Risk measures assigned to a specific market risk taker must be consistent with each other. The consistency must be checked whenever a level for a Broad Market Risk Measure is defined. The legal entity Market Risk Function needs to provide evidence of such consistency when required. Broad Market Risk measures are: - Value at Risk ("VaR"), the potential 1-day loss in value of a portfolio for a 99% single-tail confidence interval; calculated through historical simulation in full revaluation using the last 250 equally weighted daily observations; - Stressed VaR ("SVaR"), the VaR of a portfolio calculated using a 250-day period of significant financial stress; - Incremental Risk Charge ("IRC"), the amount of regulatory capital aimed at addressing the credit shortcomings (migration and default risks) that can affect a portfolio in one year at a 99.9% confidence level; - 60 days PL, set as the 60 calendar days rolling period Accumulated Economic P&L without resetting at year end; the limitation on this metrics is called Loss Warning Level ("LWL"); - Worst Stress test result, defined as the worst conditional loss on a given portfolio resulting from the application of a predefined set of scenarios; the limitation on this metrics is called Stress Test Warning Level ("STWL"); for all STWL included in the Market Risk Taker Maps, Parent company monitoring is based on the set of scenarios defined in the Group Market Risk Strategy; legal entities are allowed to add specific scenarios for local monitoring purposes. The Group has undertaken a progressive review of Market Risk measure scope and, starting from 2019, Warning Levels for 60 days PL and Worst Stress test result have been defined on FVtPL and FVtOCI perimeters. • Granular Market Risk measures: these measures allow a more detailed and stringent control of risk exposures than Broad Market Risk measures. Limitations on Granular Market Risk measures (so-called Granular Market Limits, GMLs) are specific limits to individual risk factors or group of risk factors: - sensitivity levels, which represent the change in the market value of a financial instrument due to small moves of the relevant market risk asset classes/factors. Among others, and not limited to, particularly relevant considering the asset and liability structure of the commercial bank are the Basis Point Value Sensitivity, that measures the change in the present value of the interest rate sensitive positions resulting from a 1bp parallel shift to interest rate, and the Credit Point Value Sensitivity, that measure the change in the present value of the credit risk sensitive positions resulting from a 1bp parallel shift to credit spread (per issuer, rating or industry); - stress scenario levels, which represent the change in the market value of a financial instrument due to large moves of the relevant market risk asset classes/factors; - nominal levels, which are based on the notional value of the exposure. The main objectives of Granular Market Limits are: - supporting the management of market risk; - ensuring desk's focus to exposure under their mandate; - restricting risk concentration, i.e. preventing the build-up of positions that, although consistent with allocated VaR limits, could become unmanageable in case of turmoil or in case of reduced market liquidity; - complementing VaR when it does not cover sufficiently a specific risk factor; - facilitating interaction with traders, who manage their books according to sensitivities or scenario analysis; - limiting P&L volatility due to a specific risk factor; - complementing the compliance framework (e.g., Volcker rule and the German Trennbanken act). The Granular Market Limits must be consistent with limitations on Broad Market Risk measures. To cover also Amortised Cost securities, the new Market Risk Strategy has introduced new notional and CPV granular limits on Regulatory Banking book perimeter. This ensures the monitoring of Credit spread risk in the Banking book, which originates mainly from government bond portfolios held for liquidity purposes. The main credit spread exposure relates to Italian sovereign risk in the Italian perimeter. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 377 The financial instruments (an asset or a liability, cash or derivative) held by the Group are exposed to changes over time driven by moves of market risk factors. The market risk factors are classified in the following five standard market risk asset classes: • Credit risk: the risk that the value of the instrument decreases due to credit spreads changes, issuer correlation and recovery rates; • Equity risk: the risk that the value of the instrument decreases due to increase/decrease of index/stock prices, equity volatilities, implied correlation; • Interest rate risk: the risk that the value of the instrument decreases due to interest rates changes, basis risk, interest rates volatility; • Currency risk: the risk that the value of the instrument decreases due to foreign exchange rates changes, foreign exchange rates volatility; • Commodity risk: the risk that the value of the instrument decreases due to changes of the commodity prices, for example gold, crude oil, commodity prices volatility. Market risk in UniCredit group is measured and limited mainly through two sets of metrics: Broad Market Risk measures and Granular Market Risk measures: • Broad Market Risk measures: these measures are meant to set a boundary to the regulatory capital absorption and to the economic loss accepted for FVOCI and/or FVTPL exposures. Limitations on Broad Market Risk measures must be reviewed at least annually in the context of the drafting of the Group and Local Market Risk Strategies and must be consistent with assigned budget of revenues, the defined risk-taking capacity (ICAAP process) and Group Risk Appetite KPIs. The set of all limitations on Broad Market Risk measures assigned to a specific market risk taker must be consistent with each other. The consistency must be checked whenever a level for a Broad Market Risk Measure is defined. The legal entity Market Risk Function needs to provide evidence of such consistency when required. Broad Market Risk measures are: - Value at Risk ("VaR"), the potential 1-day loss in value of a portfolio for a 99% single-tail confidence interval; calculated through historical simulation in full revaluation using the last 250 equally weighted daily observations; - Stressed VaR ("SVaR"), the VaR of a portfolio calculated using a 250-day period of significant financial stress; - Incremental Risk Charge ("IRC"), the amount of regulatory capital aimed at addressing the credit shortcomings (migration and default risks) that can affect a portfolio in one year at a 99.9% confidence level; - 60 days PL, set as the 60 calendar days rolling period Accumulated Economic P&L without resetting at year end; the limitation on this metrics is called Loss Warning Level ("LWL"); - Worst Stress test result, defined as the worst conditional loss on a given portfolio resulting from the application of a predefined set of scenarios; the limitation on this metrics is called Stress Test Warning Level ("STWL"); for all STWL included in the Market Risk Taker Maps, Parent company monitoring is based on the set of scenarios defined in the Group Market Risk Strategy; legal entities are allowed to add specific scenarios for local monitoring purposes. The Group has undertaken a progressive review of Market Risk measure scope and, starting from 2019, Warning Levels for 60 days PL and Worst Stress test result have been defined on FVtPL and FVtOCI perimeters. • Granular Market Risk measures: these measures allow a more detailed and stringent control of risk exposures than Broad Market Risk measures. Limitations on Granular Market Risk measures (so-called Granular Market Limits, GMLs) are specific limits to individual risk factors or group of risk factors: - sensitivity levels, which represent the change in the market value of a financial instrument due to small moves of the relevant market risk asset classes/factors. Among others, and not limited to, particularly relevant considering the asset and liability structure of the commercial bank are the Basis Point Value Sensitivity, that measures the change in the present value of the interest rate sensitive positions resulting from a 1bp parallel shift to interest rate, and the Credit Point Value Sensitivity, that measure the change in the present value of the credit risk sensitive positions resulting from a 1bp parallel shift to credit spread (per issuer, rating or industry); - stress scenario levels, which represent the change in the market value of a financial instrument due to large moves of the relevant market risk asset classes/factors; - nominal levels, which are based on the notional value of the exposure. The main objectives of Granular Market Limits are: - supporting the management of market risk; - ensuring desk's focus to exposure under their mandate; - restricting risk concentration, i.e. preventing the build-up of positions that, although consistent with allocated VaR limits, could become unmanageable in case of turmoil or in case of reduced market liquidity; - complementing VaR when it does not cover sufficiently a specific risk factor; - facilitating interaction with traders, who manage their books according to sensitivities or scenario analysis; - limiting P&L volatility due to a specific risk factor; - complementing the compliance framework (e.g., Volcker rule and the German Trennbanken act). The Granular Market Limits must be consistent with limitations on Broad Market Risk measures. To cover also Amortised Cost securities, the new Market Risk Strategy has introduced new notional and CPV granular limits on Regulatory Banking book perimeter. This ensures the monitoring of Credit spread risk in the Banking book, which originates mainly from government bond portfolios held for liquidity purposes. The main credit spread exposure relates to Italian sovereign risk in the Italian perimeter. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 377 The financial instruments (an asset or a liability, cash or derivative) held by the Group are exposed to changes over time driven by moves of market risk factors. The market risk factors are classified in the following five standard market risk asset classes: • Credit risk: the risk that the value of the instrument decreases due to credit spreads changes, issuer correlation and recovery rates; • Equity risk: the risk that the value of the instrument decreases due to increase/decrease of index/stock prices, equity volatilities, implied correlation; • Interest rate risk: the risk that the value of the instrument decreases due to interest rates changes, basis risk, interest rates volatility; • Currency risk: the risk that the value of the instrument decreases due to foreign exchange rates changes, foreign exchange rates volatility; • Commodity risk: the risk that the value of the instrument decreases due to changes of the commodity prices, for example gold, crude oil, commodity prices volatility. Market risk in UniCredit group is measured and limited mainly through two sets of metrics: Broad Market Risk measures and Granular Market Risk measures: • Broad Market Risk measures: these measures are meant to set a boundary to the regulatory capital absorption and to the economic loss accepted for FVOCI and/or FVTPL exposures. Limitations on Broad Market Risk measures must be reviewed at least annually in the context of the drafting of the Group and Local Market Risk Strategies and must be consistent with assigned budget of revenues, the defined risk-taking capacity (ICAAP process) and Group Risk Appetite KPIs. The set of all limitations on Broad Market Risk measures assigned to a specific market risk taker must be consistent with each other. The consistency must be checked whenever a level for a Broad Market Risk Measure is defined. The legal entity Market Risk Function needs to provide evidence of such consistency when required. Broad Market Risk measures are: - Value at Risk ("VaR"), the potential 1-day loss in value of a portfolio for a 99% single-tail confidence interval; calculated through historical simulation in full revaluation using the last 250 equally weighted daily observations; - Stressed VaR ("SVaR"), the VaR of a portfolio calculated using a 250-day period of significant financial stress; - Incremental Risk Charge ("IRC"), the amount of regulatory capital aimed at addressing the credit shortcomings (migration and default risks) that can affect a portfolio in one year at a 99.9% confidence level; - 60 days PL, set as the 60 calendar days rolling period Accumulated Economic P&L without resetting at year end; the limitation on this metrics is called Loss Warning Level ("LWL"); - Worst Stress test result, defined as the worst conditional loss on a given portfolio resulting from the application of a predefined set of scenarios; the limitation on this metrics is called Stress Test Warning Level ("STWL"); for all STWL included in the Market Risk Taker Maps, Parent company monitoring is based on the set of scenarios defined in the Group Market Risk Strategy; legal entities are allowed to add specific scenarios for local monitoring purposes. The Group has undertaken a progressive review of Market Risk measure scope and, starting from 2019, Warning Levels for 60 days PL and Worst Stress test result have been defined on FVtPL and FVtOCI perimeters. • Granular Market Risk measures: these measures allow a more detailed and stringent control of risk exposures than Broad Market Risk measures. Limitations on Granular Market Risk measures (so-called Granular Market Limits, GMLs) are specific limits to individual risk factors or group of risk factors: - sensitivity levels, which represent the change in the market value of a financial instrument due to small moves of the relevant market risk asset classes/factors. Among others, and not limited to, particularly relevant considering the asset and liability structure of the commercial bank are the Basis Point Value Sensitivity, that measures the change in the present value of the interest rate sensitive positions resulting from a 1bp parallel shift to interest rate, and the Credit Point Value Sensitivity, that measure the change in the present value of the credit risk sensitive positions resulting from a 1bp parallel shift to credit spread (per issuer, rating or industry); - stress scenario levels, which represent the change in the market value of a financial instrument due to large moves of the relevant market risk asset classes/factors; - nominal levels, which are based on the notional value of the exposure. The main objectives of Granular Market Limits are: - supporting the management of market risk; - ensuring desk's focus to exposure under their mandate; - restricting risk concentration, i.e. preventing the build-up of positions that, although consistent with allocated VaR limits, could become unmanageable in case of turmoil or in case of reduced market liquidity; - complementing VaR when it does not cover sufficiently a specific risk factor; - facilitating interaction with traders, who manage their books according to sensitivities or scenario analysis; - limiting P&L volatility due to a specific risk factor; - complementing the compliance framework (e.g., Volcker rule and the German Trennbanken act). The Granular Market Limits must be consistent with limitations on Broad Market Risk measures. To cover also Amortised Cost securities, the new Market Risk Strategy has introduced new notional and CPV granular limits on Regulatory Banking book perimeter. This ensures the monitoring of Credit spread risk in the Banking book, which originates mainly from government bond portfolios held for liquidity purposes. The main credit spread exposure relates to Italian sovereign risk in the Italian perimeter. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 377 The financial instruments (an asset or a liability, cash or derivative) held by the Group are exposed to changes over time driven by moves of market risk factors. The market risk factors are classified in the following five standard market risk asset classes: • Credit risk: the risk that the value of the instrument decreases due to credit spreads changes, issuer correlation and recovery rates; • Equity risk: the risk that the value of the instrument decreases due to increase/decrease of index/stock prices, equity volatilities, implied correlation; • Interest rate risk: the risk that the value of the instrument decreases due to interest rates changes, basis risk, interest rates volatility; • Currency risk: the risk that the value of the instrument decreases due to foreign exchange rates changes, foreign exchange rates volatility; • Commodity risk: the risk that the value of the instrument decreases due to changes of the commodity prices, for example gold, crude oil, commodity prices volatility. Market risk in UniCredit group is measured and limited mainly through two sets of metrics: Broad Market Risk measures and Granular Market Risk measures: • Broad Market Risk measures: these measures are meant to set a boundary to the regulatory capital absorption and to the economic loss accepted for FVOCI and/or FVTPL exposures. Limitations on Broad Market Risk measures must be reviewed at least annually in the context of the drafting of the Group and Local Market Risk Strategies and must be consistent with assigned budget of revenues, the defined risk-taking capacity (ICAAP process) and Group Risk Appetite KPIs. The set of all limitations on Broad Market Risk measures assigned to a specific market risk taker must be consistent with each other. The consistency must be checked whenever a level for a Broad Market Risk Measure is defined. The legal entity Market Risk Function needs to provide evidence of such consistency when required. Broad Market Risk measures are: - Value at Risk ("VaR"), the potential 1-day loss in value of a portfolio for a 99% single-tail confidence interval; calculated through historical simulation in full revaluation using the last 250 equally weighted daily observations; - Stressed VaR ("SVaR"), the VaR of a portfolio calculated using a 250-day period of significant financial stress; - Incremental Risk Charge ("IRC"), the amount of regulatory capital aimed at addressing the credit shortcomings (migration and default risks) that can affect a portfolio in one year at a 99.9% confidence level; - 60 days PL, set as the 60 calendar days rolling period Accumulated Economic P&L without resetting at year end; the limitation on this metrics is called Loss Warning Level ("LWL"); - Worst Stress test result, defined as the worst conditional loss on a given portfolio resulting from the application of a predefined set of scenarios; the limitation on this metrics is called Stress Test Warning Level ("STWL"); for all STWL included in the Market Risk Taker Maps, Parent company monitoring is based on the set of scenarios defined in the Group Market Risk Strategy; legal entities are allowed to add specific scenarios for local monitoring purposes. The Group has undertaken a progressive review of Market Risk measure scope and, starting from 2019, Warning Levels for 60 days PL and Worst Stress test result have been defined on FVtPL and FVtOCI perimeters. • Granular Market Risk measures: these measures allow a more detailed and stringent control of risk exposures than Broad Market Risk measures. Limitations on Granular Market Risk measures (so-called Granular Market Limits, GMLs) are specific limits to individual risk factors or group of risk factors: - sensitivity levels, which represent the change in the market value of a financial instrument due to small moves of the relevant market risk asset classes/factors. Among others, and not limited to, particularly relevant considering the asset and liability structure of the commercial bank are the Basis Point Value Sensitivity, that measures the change in the present value of the interest rate sensitive positions resulting from a 1bp parallel shift to interest rate, and the Credit Point Value Sensitivity, that measure the change in the present value of the credit risk sensitive positions resulting from a 1bp parallel shift to credit spread (per issuer, rating or industry); - stress scenario levels, which represent the change in the market value of a financial instrument due to large moves of the relevant market risk asset classes/factors; - nominal levels, which are based on the notional value of the exposure. The main objectives of Granular Market Limits are: - supporting the management of market risk; - ensuring desk's focus to exposure under their mandate; - restricting risk concentration, i.e. preventing the build-up of positions that, although consistent with allocated VaR limits, could become unmanageable in case of turmoil or in case of reduced market liquidity; - complementing VaR when it does not cover sufficiently a specific risk factor; - facilitating interaction with traders, who manage their books according to sensitivities or scenario analysis; - limiting P&L volatility due to a specific risk factor; - complementing the compliance framework (e.g., Volcker rule and the German Trennbanken act). The Granular Market Limits must be consistent with limitations on Broad Market Risk measures. To cover also Amortised Cost securities, the new Market Risk Strategy has introduced new notional and CPV granular limits on Regulatory Banking book perimeter. This ensures the monitoring of Credit spread risk in the Banking book, which originates mainly from government bond portfolios held for liquidity purposes. The main credit spread exposure relates to Italian sovereign risk in the Italian perimeter. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 377 The financial instruments (an asset or a liability, cash or derivative) held by the Group are exposed to changes over time driven by moves of market risk factors. The market risk factors are classified in the following five standard market risk asset classes: • Credit risk: the risk that the value of the instrument decreases due to credit spreads changes, issuer correlation and recovery rates; • Equity risk: the risk that the value of the instrument decreases due to increase/decrease of index/stock prices, equity volatilities, implied correlation; • Interest rate risk: the risk that the value of the instrument decreases due to interest rates changes, basis risk, interest rates volatility; • Currency risk: the risk that the value of the instrument decreases due to foreign exchange rates changes, foreign exchange rates volatility; • Commodity risk: the risk that the value of the instrument decreases due to changes of the commodity prices, for example gold, crude oil, commodity prices volatility. Market risk in UniCredit group is measured and limited mainly through two sets of metrics: Broad Market Risk measures and Granular Market Risk measures: • Broad Market Risk measures: these measures are meant to set a boundary to the regulatory capital absorption and to the economic loss accepted for FVOCI and/or FVTPL exposures. Limitations on Broad Market Risk measures must be reviewed at least annually in the context of the drafting of the Group and Local Market Risk Strategies and must be consistent with assigned budget of revenues, the defined risk-taking capacity (ICAAP process) and Group Risk Appetite KPIs. The set of all limitations on Broad Market Risk measures assigned to a specific market risk taker must be consistent with each other. The consistency must be checked whenever a level for a Broad Market Risk Measure is defined. The legal entity Market Risk Function needs to provide evidence of such consistency when required. Broad Market Risk measures are: - Value at Risk ("VaR"), the potential 1-day loss in value of a portfolio for a 99% single-tail confidence interval; calculated through historical simulation in full revaluation using the last 250 equally weighted daily observations; - Stressed VaR ("SVaR"), the VaR of a portfolio calculated using a 250-day period of significant financial stress; - Incremental Risk Charge ("IRC"), the amount of regulatory capital aimed at addressing the credit shortcomings (migration and default risks) that can affect a portfolio in one year at a 99.9% confidence level; - 60 days PL, set as the 60 calendar days rolling period Accumulated Economic P&L without resetting at year end; the limitation on this metrics is called Loss Warning Level ("LWL"); - Worst Stress test result, defined as the worst conditional loss on a given portfolio resulting from the application of a predefined set of scenarios; the limitation on this metrics is called Stress Test Warning Level ("STWL"); for all STWL included in the Market Risk Taker Maps, Parent company monitoring is based on the set of scenarios defined in the Group Market Risk Strategy; legal entities are allowed to add specific scenarios for local monitoring purposes. The Group has undertaken a progressive review of Market Risk measure scope and, starting from 2019, Warning Levels for 60 days PL and Worst Stress test result have been defined on FVtPL and FVtOCI perimeters. • Granular Market Risk measures: these measures allow a more detailed and stringent control of risk exposures than Broad Market Risk measures. Limitations on Granular Market Risk measures (so-called Granular Market Limits, GMLs) are specific limits to individual risk factors or group of risk factors: - sensitivity levels, which represent the change in the market value of a financial instrument due to small moves of the relevant market risk asset classes/factors. Among others, and not limited to, particularly relevant considering the asset and liability structure of the commercial bank are the Basis Point Value Sensitivity, that measures the change in the present value of the interest rate sensitive positions resulting from a 1bp parallel shift to interest rate, and the Credit Point Value Sensitivity, that measure the change in the present value of the credit risk sensitive positions resulting from a 1bp parallel shift to credit spread (per issuer, rating or industry); - stress scenario levels, which represent the change in the market value of a financial instrument due to large moves of the relevant market risk asset classes/factors; - nominal levels, which are based on the notional value of the exposure. The main objectives of Granular Market Limits are: - supporting the management of market risk; - ensuring desk's focus to exposure under their mandate; - restricting risk concentration, i.e. preventing the build-up of positions that, although consistent with allocated VaR limits, could become unmanageable in case of turmoil or in case of reduced market liquidity; - complementing VaR when it does not cover sufficiently a specific risk factor; - facilitating interaction with traders, who manage their books according to sensitivities or scenario analysis; - limiting P&L volatility due to a specific risk factor; - complementing the compliance framework (e.g., Volcker rule and the German Trennbanken act). The Granular Market Limits must be consistent with limitations on Broad Market Risk measures. To cover also Amortised Cost securities, the new Market Risk Strategy has introduced new notional and CPV granular limits on Regulatory Banking book perimeter. This ensures the monitoring of Credit spread risk in the Banking book, which originates mainly from government bond portfolios held for liquidity purposes. The main credit spread exposure relates to Italian sovereign risk in the Italian perimeter. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 378 2021 Annual Report and Accounts · UniCredit As for Banking book FX risk, the FX Management & Control Global Policy in force requires every legal entity to setup local processes and controls to transfer the transactional exchange risk exposures to one single unit, generally in the Markets department, mandated to manage the open exposure within the allotted limits and the general market risk appetite. Finally, the Group is exposed to FX risk in relation to the holding of subsidiaries, associates and joint ventures presenting their financial statements in currencies different than EUR (Structural FX Risk). To limit the impacts of the FX rates movements on the Capital ratios volatility, a RAF KPI on Structural FX risk is set at Group level to identify an appropriate level of risk the Group is willing to maintain and thresholds that in case of breaches require the activation of the proper escalation mechanisms. Group risk management strategy could envisage the steering of the FX risk exposure in the LEs or the booking in the Holding of positions deliberately taken to hedge the capital ratio from FX volatility. On a yearly basis, this strategy is presented to the relevant Group committees and approved by the BoD. The general policy is to hedge the foreign currency exposures from dividends and contributions to consolidate profit (loss) considering hedging cost and market circumstances. The FX exposure is hedged using forwards and options that are classified as Trading book. This general rule is valid for the Parent company. The hedge strategy is reviewed by the relevant risk committees on a regular basis. Banking Book The main components of market risk in the Banking book are: credit spread risk, FX risk and interest rate risk. As for the first two components (Credit Spread risk and exchange rate risk), please refer to what is reported in this paragraph in the Trading Portfolio section. With regards to the third component (interest rate risk), the exposure is measured in terms of sensitivity of the economic value and of the net interest income. The Group Financial and Credit Risk Committee (GFRC) is responsible for the definition of the interest rate risk strategy for the strategic position of the banking book, including the strategic management of the capital and structural gap between non-interest rate sensitive assets and liabilities. Within the management of Banking book interest rate the main target is the reduction of the adverse impacts on net interest income due to interest rate volatility in a multiyear horizon, in order to achieve a flow of earnings and a return on capital coherent with the strategic plan. The strategy does not imply any intended directional or discretional positioning to generate additional earnings, unless approved by relevant bodies and separately monitored. The only exception is for those functions authorised to carry interest rates positions within an approved level of limitations from the relevant risk committees. The Treasury functions manage the interest rate risk deriving from commercial transactions maintaining the exposure within the limits set by the relevant risk committees. Daily, the exposure is monitored and measured from risk management functions. The interest rate management strategy takes also into account the main impacts from clients’ behavior, which may impact on the value of interest margins or on the economic value of the banking book. Such are for instance the loans prepayment and the stability of sight deposits. The prepayment risk is managed through the adaptation of the contractual profile on the basis of behavior of clients inferred from historical data. In UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG e UniCredit Bank Czech Republic and Slovakia S.A. the interest of prepayment is modelled considering also, if relevant, the financial incentive linked to the trend of interest rates. The prepayment risk is considered also in the credit portfolios of AO UniCredit Bank and UniCredit Bank Hungary ZRT. The stability of sight deposits is assessed trough an internal model which estimates the stable volume and that non-sensitive to interest rates. Starting from those volumes is built the hedging strategy, consistently with the maturity profile approved by the GFRC and coherently with the management strategy of interest rate risk of the banking book The adoption of the internal models applied to the sight deposits is present across all the banks of the Group, with exception for UniCredit International Bank (Luxembourg) S.A. The hedging strategy is enacted through fixed rate positions at medium long term (commercial loans, government bonds or alternatively financial derivatives as interest rate swaps). The composition of the hedging portfolio in terms of products and their maturities depends on their availability and their liquidity. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 378 2021 Annual Report and Accounts · UniCredit As for Banking book FX risk, the FX Management & Control Global Policy in force requires every legal entity to setup local processes and controls to transfer the transactional exchange risk exposures to one single unit, generally in the Markets department, mandated to manage the open exposure within the allotted limits and the general market risk appetite. Finally, the Group is exposed to FX risk in relation to the holding of subsidiaries, associates and joint ventures presenting their financial statements in currencies different than EUR (Structural FX Risk). To limit the impacts of the FX rates movements on the Capital ratios volatility, a RAF KPI on Structural FX risk is set at Group level to identify an appropriate level of risk the Group is willing to maintain and thresholds that in case of breaches require the activation of the proper escalation mechanisms. Group risk management strategy could envisage the steering of the FX risk exposure in the LEs or the booking in the Holding of positions deliberately taken to hedge the capital ratio from FX volatility. On a yearly basis, this strategy is presented to the relevant Group committees and approved by the BoD. The general policy is to hedge the foreign currency exposures from dividends and contributions to consolidate profit (loss) considering hedging cost and market circumstances. The FX exposure is hedged using forwards and options that are classified as Trading book. This general rule is valid for the Parent company. The hedge strategy is reviewed by the relevant risk committees on a regular basis. Banking Book The main components of market risk in the Banking book are: credit spread risk, FX risk and interest rate risk. As for the first two components (Credit Spread risk and exchange rate risk), please refer to what is reported in this paragraph in the Trading Portfolio section. With regards to the third component (interest rate risk), the exposure is measured in terms of sensitivity of the economic value and of the net interest income. The Group Financial and Credit Risk Committee (GFRC) is responsible for the definition of the interest rate risk strategy for the strategic position of the banking book, including the strategic management of the capital and structural gap between non-interest rate sensitive assets and liabilities. Within the management of Banking book interest rate the main target is the reduction of the adverse impacts on net interest income due to interest rate volatility in a multiyear horizon, in order to achieve a flow of earnings and a return on capital coherent with the strategic plan. The strategy does not imply any intended directional or discretional positioning to generate additional earnings, unless approved by relevant bodies and separately monitored. The only exception is for those functions authorised to carry interest rates positions within an approved level of limitations from the relevant risk committees. The Treasury functions manage the interest rate risk deriving from commercial transactions maintaining the exposure within the limits set by the relevant risk committees. Daily, the exposure is monitored and measured from risk management functions. The interest rate management strategy takes also into account the main impacts from clients’ behavior, which may impact on the value of interest margins or on the economic value of the banking book. Such are for instance the loans prepayment and the stability of sight deposits. The prepayment risk is managed through the adaptation of the contractual profile on the basis of behavior of clients inferred from historical data. In UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG e UniCredit Bank Czech Republic and Slovakia S.A. the interest of prepayment is modelled considering also, if relevant, the financial incentive linked to the trend of interest rates. The prepayment risk is considered also in the credit portfolios of AO UniCredit Bank and UniCredit Bank Hungary ZRT. The stability of sight deposits is assessed trough an internal model which estimates the stable volume and that non-sensitive to interest rates. Starting from those volumes is built the hedging strategy, consistently with the maturity profile approved by the GFRC and coherently with the management strategy of interest rate risk of the banking book The adoption of the internal models applied to the sight deposits is present across all the banks of the Group, with exception for UniCredit International Bank (Luxembourg) S.A. The hedging strategy is enacted through fixed rate positions at medium long term (commercial loans, government bonds or alternatively financial derivatives as interest rate swaps). The composition of the hedging portfolio in terms of products and their maturities depends on their availability and their liquidity. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 378 2021 Annual Report and Accounts · UniCredit As for Banking book FX risk, the FX Management & Control Global Policy in force requires every legal entity to setup local processes and controls to transfer the transactional exchange risk exposures to one single unit, generally in the Markets department, mandated to manage the open exposure within the allotted limits and the general market risk appetite. Finally, the Group is exposed to FX risk in relation to the holding of subsidiaries, associates and joint ventures presenting their financial statements in currencies different than EUR (Structural FX Risk). To limit the impacts of the FX rates movements on the Capital ratios volatility, a RAF KPI on Structural FX risk is set at Group level to identify an appropriate level of risk the Group is willing to maintain and thresholds that in case of breaches require the activation of the proper escalation mechanisms. Group risk management strategy could envisage the steering of the FX risk exposure in the LEs or the booking in the Holding of positions deliberately taken to hedge the capital ratio from FX volatility. On a yearly basis, this strategy is presented to the relevant Group committees and approved by the BoD. The general policy is to hedge the foreign currency exposures from dividends and contributions to consolidate profit (loss) considering hedging cost and market circumstances. The FX exposure is hedged using forwards and options that are classified as Trading book. This general rule is valid for the Parent company. The hedge strategy is reviewed by the relevant risk committees on a regular basis. Banking Book The main components of market risk in the Banking book are: credit spread risk, FX risk and interest rate risk. As for the first two components (Credit Spread risk and exchange rate risk), please refer to what is reported in this paragraph in the Trading Portfolio section. With regards to the third component (interest rate risk), the exposure is measured in terms of sensitivity of the economic value and of the net interest income. The Group Financial and Credit Risk Committee (GFRC) is responsible for the definition of the interest rate risk strategy for the strategic position of the banking book, including the strategic management of the capital and structural gap between non-interest rate sensitive assets and liabilities. Within the management of Banking book interest rate the main target is the reduction of the adverse impacts on net interest income due to interest rate volatility in a multiyear horizon, in order to achieve a flow of earnings and a return on capital coherent with the strategic plan. The strategy does not imply any intended directional or discretional positioning to generate additional earnings, unless approved by relevant bodies and separately monitored. The only exception is for those functions authorised to carry interest rates positions within an approved level of limitations from the relevant risk committees. The Treasury functions manage the interest rate risk deriving from commercial transactions maintaining the exposure within the limits set by the relevant risk committees. Daily, the exposure is monitored and measured from risk management functions. The interest rate management strategy takes also into account the main impacts from clients’ behavior, which may impact on the value of interest margins or on the economic value of the banking book. Such are for instance the loans prepayment and the stability of sight deposits. The prepayment risk is managed through the adaptation of the contractual profile on the basis of behavior of clients inferred from historical data. In UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG e UniCredit Bank Czech Republic and Slovakia S.A. the interest of prepayment is modelled considering also, if relevant, the financial incentive linked to the trend of interest rates. The prepayment risk is considered also in the credit portfolios of AO UniCredit Bank and UniCredit Bank Hungary ZRT. The stability of sight deposits is assessed trough an internal model which estimates the stable volume and that non-sensitive to interest rates. Starting from those volumes is built the hedging strategy, consistently with the maturity profile approved by the GFRC and coherently with the management strategy of interest rate risk of the banking book The adoption of the internal models applied to the sight deposits is present across all the banks of the Group, with exception for UniCredit International Bank (Luxembourg) S.A. The hedging strategy is enacted through fixed rate positions at medium long term (commercial loans, government bonds or alternatively financial derivatives as interest rate swaps). The composition of the hedging portfolio in terms of products and their maturities depends on their availability and their liquidity. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 378 2021 Annual Report and Accounts · UniCredit As for Banking book FX risk, the FX Management & Control Global Policy in force requires every legal entity to setup local processes and controls to transfer the transactional exchange risk exposures to one single unit, generally in the Markets department, mandated to manage the open exposure within the allotted limits and the general market risk appetite. Finally, the Group is exposed to FX risk in relation to the holding of subsidiaries, associates and joint ventures presenting their financial statements in currencies different than EUR (Structural FX Risk). To limit the impacts of the FX rates movements on the Capital ratios volatility, a RAF KPI on Structural FX risk is set at Group level to identify an appropriate level of risk the Group is willing to maintain and thresholds that in case of breaches require the activation of the proper escalation mechanisms. Group risk management strategy could envisage the steering of the FX risk exposure in the LEs or the booking in the Holding of positions deliberately taken to hedge the capital ratio from FX volatility. On a yearly basis, this strategy is presented to the relevant Group committees and approved by the BoD. The general policy is to hedge the foreign currency exposures from dividends and contributions to consolidate profit (loss) considering hedging cost and market circumstances. The FX exposure is hedged using forwards and options that are classified as Trading book. This general rule is valid for the Parent company. The hedge strategy is reviewed by the relevant risk committees on a regular basis. Banking Book The main components of market risk in the Banking book are: credit spread risk, FX risk and interest rate risk. As for the first two components (Credit Spread risk and exchange rate risk), please refer to what is reported in this paragraph in the Trading Portfolio section. With regards to the third component (interest rate risk), the exposure is measured in terms of sensitivity of the economic value and of the net interest income. The Group Financial and Credit Risk Committee (GFRC) is responsible for the definition of the interest rate risk strategy for the strategic position of the banking book, including the strategic management of the capital and structural gap between non-interest rate sensitive assets and liabilities. Within the management of Banking book interest rate the main target is the reduction of the adverse impacts on net interest income due to interest rate volatility in a multiyear horizon, in order to achieve a flow of earnings and a return on capital coherent with the strategic plan. The strategy does not imply any intended directional or discretional positioning to generate additional earnings, unless approved by relevant bodies and separately monitored. The only exception is for those functions authorised to carry interest rates positions within an approved level of limitations from the relevant risk committees. The Treasury functions manage the interest rate risk deriving from commercial transactions maintaining the exposure within the limits set by the relevant risk committees. Daily, the exposure is monitored and measured from risk management functions. The interest rate management strategy takes also into account the main impacts from clients’ behavior, which may impact on the value of interest margins or on the economic value of the banking book. Such are for instance the loans prepayment and the stability of sight deposits. The prepayment risk is managed through the adaptation of the contractual profile on the basis of behavior of clients inferred from historical data. In UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG e UniCredit Bank Czech Republic and Slovakia S.A. the interest of prepayment is modelled considering also, if relevant, the financial incentive linked to the trend of interest rates. The prepayment risk is considered also in the credit portfolios of AO UniCredit Bank and UniCredit Bank Hungary ZRT. The stability of sight deposits is assessed trough an internal model which estimates the stable volume and that non-sensitive to interest rates. Starting from those volumes is built the hedging strategy, consistently with the maturity profile approved by the GFRC and coherently with the management strategy of interest rate risk of the banking book The adoption of the internal models applied to the sight deposits is present across all the banks of the Group, with exception for UniCredit International Bank (Luxembourg) S.A. The hedging strategy is enacted through fixed rate positions at medium long term (commercial loans, government bonds or alternatively financial derivatives as interest rate swaps). The composition of the hedging portfolio in terms of products and their maturities depends on their availability and their liquidity. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 378 2021 Annual Report and Accounts · UniCredit As for Banking book FX risk, the FX Management & Control Global Policy in force requires every legal entity to setup local processes and controls to transfer the transactional exchange risk exposures to one single unit, generally in the Markets department, mandated to manage the open exposure within the allotted limits and the general market risk appetite. Finally, the Group is exposed to FX risk in relation to the holding of subsidiaries, associates and joint ventures presenting their financial statements in currencies different than EUR (Structural FX Risk). To limit the impacts of the FX rates movements on the Capital ratios volatility, a RAF KPI on Structural FX risk is set at Group level to identify an appropriate level of risk the Group is willing to maintain and thresholds that in case of breaches require the activation of the proper escalation mechanisms. Group risk management strategy could envisage the steering of the FX risk exposure in the LEs or the booking in the Holding of positions deliberately taken to hedge the capital ratio from FX volatility. On a yearly basis, this strategy is presented to the relevant Group committees and approved by the BoD. The general policy is to hedge the foreign currency exposures from dividends and contributions to consolidate profit (loss) considering hedging cost and market circumstances. The FX exposure is hedged using forwards and options that are classified as Trading book. This general rule is valid for the Parent company. The hedge strategy is reviewed by the relevant risk committees on a regular basis. Banking Book The main components of market risk in the Banking book are: credit spread risk, FX risk and interest rate risk. As for the first two components (Credit Spread risk and exchange rate risk), please refer to what is reported in this paragraph in the Trading Portfolio section. With regards to the third component (interest rate risk), the exposure is measured in terms of sensitivity of the economic value and of the net interest income. The Group Financial and Credit Risk Committee (GFRC) is responsible for the definition of the interest rate risk strategy for the strategic position of the banking book, including the strategic management of the capital and structural gap between non-interest rate sensitive assets and liabilities. Within the management of Banking book interest rate the main target is the reduction of the adverse impacts on net interest income due to interest rate volatility in a multiyear horizon, in order to achieve a flow of earnings and a return on capital coherent with the strategic plan. The strategy does not imply any intended directional or discretional positioning to generate additional earnings, unless approved by relevant bodies and separately monitored. The only exception is for those functions authorised to carry interest rates positions within an approved level of limitations from the relevant risk committees. The Treasury functions manage the interest rate risk deriving from commercial transactions maintaining the exposure within the limits set by the relevant risk committees. Daily, the exposure is monitored and measured from risk management functions. The interest rate management strategy takes also into account the main impacts from clients’ behavior, which may impact on the value of interest margins or on the economic value of the banking book. Such are for instance the loans prepayment and the stability of sight deposits. The prepayment risk is managed through the adaptation of the contractual profile on the basis of behavior of clients inferred from historical data. In UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG e UniCredit Bank Czech Republic and Slovakia S.A. the interest of prepayment is modelled considering also, if relevant, the financial incentive linked to the trend of interest rates. The prepayment risk is considered also in the credit portfolios of AO UniCredit Bank and UniCredit Bank Hungary ZRT. The stability of sight deposits is assessed trough an internal model which estimates the stable volume and that non-sensitive to interest rates. Starting from those volumes is built the hedging strategy, consistently with the maturity profile approved by the GFRC and coherently with the management strategy of interest rate risk of the banking book The adoption of the internal models applied to the sight deposits is present across all the banks of the Group, with exception for UniCredit International Bank (Luxembourg) S.A. The hedging strategy is enacted through fixed rate positions at medium long term (commercial loans, government bonds or alternatively financial derivatives as interest rate swaps). The composition of the hedging portfolio in terms of products and their maturities depends on their availability and their liquidity. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 379 Structure and organisation The Group Financial Risk department is responsible, at Group level, for the definition of the strategies of financial risk management of the Group to be submitted to the competent functions/Bodies (i.e. liquidity risk, balance sheet interest rate risk, market risk and counterpart risk), ensuring that the control of the risks in charge of the UniCredit S.p.A. Foreign Branches are monitored and reported to the Group Chief Risk Officer and to the Top Management. In addition, the structure governs the Group activities aimed to ensure the independent control of the prices and of the Front Office relevant parameters, for the fair value calculation. The structure breaks down as follows: The relevant Committees of reference are: • Group Financial and Credit Risk Committee (GFRC) - Financial Risk session; • Group Executive Committee (GEC) - Risk Session. The “Group Financial and Credit Risk Committee (GFRC) - Financial Risk session” meets monthly and is responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing, across Liquidity Reference Banks, Business Functions and Legal Entities, with the aim to optimize the usage of financial resources (e.g., liquidity and capital) in coherence with Risk Appetite and Business Strategies. It is also responsible for the approval of the Financial Plan, Funding Plan, Ordinary Counterbalancing Capacity Plan and Contingency Funding Plan to be submitted to the Board by the CEO as well as for evaluating the impact of transactions significantly affecting the overall financial risk portfolio profile. The “Group Executive Committee (GEC) - Risk Session” which has approval as well as consulting and proposal functions, meets monthly and aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG. GROUP FINANCIAL RISK “Market & Trading Credit Risk Management”, responsible for governing and checking either at Group level and UniCredit S.p.A. level (with the inclusion of the Foreign Branches) and of the Regional Center Italy (when applicable), the market risks and the counterparty risks. “Price Control & Structured Entities Risk”, responsible for steering and controlling, for the whole Group, the independent price verification processes (IPV), market conformity, pricing policy and MIFID II market risk for products distributed by the commercial network. It is also responsible for the controls requested by internal and external regulations, related to Structured Entity (Special Entities/ SE/ SPE). “Financial Risk Methodologies & Models”, responsible for developing and maintaining Group methodologies, models and architectures regarding financial risks and behavioral models of the risks of the commercial banking book, as well as validating pricing models “Liquidity and Interest Rate Risk Management”, responsible for governing and controlling the liquidity risk and balance sheet interest rate risk, either at Group level and UniCredit S.p.A. level (including the Foreign Branches) and the Country Italy (when applicable). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 379 Structure and organisation The Group Financial Risk department is responsible, at Group level, for the definition of the strategies of financial risk management of the Group to be submitted to the competent functions/Bodies (i.e. liquidity risk, balance sheet interest rate risk, market risk and counterpart risk), ensuring that the control of the risks in charge of the UniCredit S.p.A. Foreign Branches are monitored and reported to the Group Chief Risk Officer and to the Top Management. In addition, the structure governs the Group activities aimed to ensure the independent control of the prices and of the Front Office relevant parameters, for the fair value calculation. The structure breaks down as follows: The relevant Committees of reference are: • Group Financial and Credit Risk Committee (GFRC) - Financial Risk session; • Group Executive Committee (GEC) - Risk Session. The “Group Financial and Credit Risk Committee (GFRC) - Financial Risk session” meets monthly and is responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing, across Liquidity Reference Banks, Business Functions and Legal Entities, with the aim to optimize the usage of financial resources (e.g., liquidity and capital) in coherence with Risk Appetite and Business Strategies. It is also responsible for the approval of the Financial Plan, Funding Plan, Ordinary Counterbalancing Capacity Plan and Contingency Funding Plan to be submitted to the Board by the CEO as well as for evaluating the impact of transactions significantly affecting the overall financial risk portfolio profile. The “Group Executive Committee (GEC) - Risk Session” which has approval as well as consulting and proposal functions, meets monthly and aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG. GROUP FINANCIAL RISK “Market & Trading Credit Risk Management”, responsible for governing and checking either at Group level and UniCredit S.p.A. level (with the inclusion of the Foreign Branches) and of the Regional Center Italy (when applicable), the market risks and the counterparty risks. “Price Control & Structured Entities Risk”, responsible for steering and controlling, for the whole Group, the independent price verification processes (IPV), market conformity, pricing policy and MIFID II market risk for products distributed by the commercial network. It is also responsible for the controls requested by internal and external regulations, related to Structured Entity (Special Entities/ SE/ SPE). “Financial Risk Methodologies & Models”, responsible for developing and maintaining Group methodologies, models and architectures regarding financial risks and behavioral models of the risks of the commercial banking book, as well as validating pricing models “Liquidity and Interest Rate Risk Management”, responsible for governing and controlling the liquidity risk and balance sheet interest rate risk, either at Group level and UniCredit S.p.A. level (including the Foreign Branches) and the Country Italy (when applicable). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 379 Structure and organisation The Group Financial Risk department is responsible, at Group level, for the definition of the strategies of financial risk management of the Group to be submitted to the competent functions/Bodies (i.e. liquidity risk, balance sheet interest rate risk, market risk and counterpart risk), ensuring that the control of the risks in charge of the UniCredit S.p.A. Foreign Branches are monitored and reported to the Group Chief Risk Officer and to the Top Management. In addition, the structure governs the Group activities aimed to ensure the independent control of the prices and of the Front Office relevant parameters, for the fair value calculation. The structure breaks down as follows: The relevant Committees of reference are: • Group Financial and Credit Risk Committee (GFRC) - Financial Risk session; • Group Executive Committee (GEC) - Risk Session. The “Group Financial and Credit Risk Committee (GFRC) - Financial Risk session” meets monthly and is responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing, across Liquidity Reference Banks, Business Functions and Legal Entities, with the aim to optimize the usage of financial resources (e.g., liquidity and capital) in coherence with Risk Appetite and Business Strategies. It is also responsible for the approval of the Financial Plan, Funding Plan, Ordinary Counterbalancing Capacity Plan and Contingency Funding Plan to be submitted to the Board by the CEO as well as for evaluating the impact of transactions significantly affecting the overall financial risk portfolio profile. The “Group Executive Committee (GEC) - Risk Session” which has approval as well as consulting and proposal functions, meets monthly and aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG. GROUP FINANCIAL RISK “Market & Trading Credit Risk Management”, responsible for governing and checking either at Group level and UniCredit S.p.A. level (with the inclusion of the Foreign Branches) and of the Regional Center Italy (when applicable), the market risks and the counterparty risks. “Price Control & Structured Entities Risk”, responsible for steering and controlling, for the whole Group, the independent price verification processes (IPV), market conformity, pricing policy and MIFID II market risk for products distributed by the commercial network. It is also responsible for the controls requested by internal and external regulations, related to Structured Entity (Special Entities/ SE/ SPE). “Financial Risk Methodologies & Models”, responsible for developing and maintaining Group methodologies, models and architectures regarding financial risks and behavioral models of the risks of the commercial banking book, as well as validating pricing models “Liquidity and Interest Rate Risk Management”, responsible for governing and controlling the liquidity risk and balance sheet interest rate risk, either at Group level and UniCredit S.p.A. level (including the Foreign Branches) and the Country Italy (when applicable). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 379 Structure and organisation The Group Financial Risk department is responsible, at Group level, for the definition of the strategies of financial risk management of the Group to be submitted to the competent functions/Bodies (i.e. liquidity risk, balance sheet interest rate risk, market risk and counterpart risk), ensuring that the control of the risks in charge of the UniCredit S.p.A. Foreign Branches are monitored and reported to the Group Chief Risk Officer and to the Top Management. In addition, the structure governs the Group activities aimed to ensure the independent control of the prices and of the Front Office relevant parameters, for the fair value calculation. The structure breaks down as follows: The relevant Committees of reference are: • Group Financial and Credit Risk Committee (GFRC) - Financial Risk session; • Group Executive Committee (GEC) - Risk Session. The “Group Financial and Credit Risk Committee (GFRC) - Financial Risk session” meets monthly and is responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing, across Liquidity Reference Banks, Business Functions and Legal Entities, with the aim to optimize the usage of financial resources (e.g., liquidity and capital) in coherence with Risk Appetite and Business Strategies. It is also responsible for the approval of the Financial Plan, Funding Plan, Ordinary Counterbalancing Capacity Plan and Contingency Funding Plan to be submitted to the Board by the CEO as well as for evaluating the impact of transactions significantly affecting the overall financial risk portfolio profile. The “Group Executive Committee (GEC) - Risk Session” which has approval as well as consulting and proposal functions, meets monthly and aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG. GROUP FINANCIAL RISK “Market & Trading Credit Risk Management”, responsible for governing and checking either at Group level and UniCredit S.p.A. level (with the inclusion of the Foreign Branches) and of the Regional Center Italy (when applicable), the market risks and the counterparty risks. “Price Control & Structured Entities Risk”, responsible for steering and controlling, for the whole Group, the independent price verification processes (IPV), market conformity, pricing policy and MIFID II market risk for products distributed by the commercial network. It is also responsible for the controls requested by internal and external regulations, related to Structured Entity (Special Entities/ SE/ SPE). “Financial Risk Methodologies & Models”, responsible for developing and maintaining Group methodologies, models and architectures regarding financial risks and behavioral models of the risks of the commercial banking book, as well as validating pricing models “Liquidity and Interest Rate Risk Management”, responsible for governing and controlling the liquidity risk and balance sheet interest rate risk, either at Group level and UniCredit S.p.A. level (including the Foreign Branches) and the Country Italy (when applicable). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 379 Structure and organisation The Group Financial Risk department is responsible, at Group level, for the definition of the strategies of financial risk management of the Group to be submitted to the competent functions/Bodies (i.e. liquidity risk, balance sheet interest rate risk, market risk and counterpart risk), ensuring that the control of the risks in charge of the UniCredit S.p.A. Foreign Branches are monitored and reported to the Group Chief Risk Officer and to the Top Management. In addition, the structure governs the Group activities aimed to ensure the independent control of the prices and of the Front Office relevant parameters, for the fair value calculation. The structure breaks down as follows: The relevant Committees of reference are: • Group Financial and Credit Risk Committee (GFRC) - Financial Risk session; • Group Executive Committee (GEC) - Risk Session. The “Group Financial and Credit Risk Committee (GFRC) - Financial Risk session” meets monthly and is responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing, across Liquidity Reference Banks, Business Functions and Legal Entities, with the aim to optimize the usage of financial resources (e.g., liquidity and capital) in coherence with Risk Appetite and Business Strategies. It is also responsible for the approval of the Financial Plan, Funding Plan, Ordinary Counterbalancing Capacity Plan and Contingency Funding Plan to be submitted to the Board by the CEO as well as for evaluating the impact of transactions significantly affecting the overall financial risk portfolio profile. The “Group Executive Committee (GEC) - Risk Session” which has approval as well as consulting and proposal functions, meets monthly and aims at supporting the CEO in its role of steering, coordinating and monitoring all categories of risks (included compliance risk), managing and overseeing the internal control system also at a Group level, as well as discussing and approving strategic risk topics such as Group Risk Appetite Framework, ICAAP, ILAAP, SREP, key highlights from Internal Control Systems, NPE, ESG. GROUP FINANCIAL RISK “Market & Trading Credit Risk Management”, responsible for governing and checking either at Group level and UniCredit S.p.A. level (with the inclusion of the Foreign Branches) and of the Regional Center Italy (when applicable), the market risks and the counterparty risks. “Price Control & Structured Entities Risk”, responsible for steering and controlling, for the whole Group, the independent price verification processes (IPV), market conformity, pricing policy and MIFID II market risk for products distributed by the commercial network. It is also responsible for the controls requested by internal and external regulations, related to Structured Entity (Special Entities/ SE/ SPE). “Financial Risk Methodologies & Models”, responsible for developing and maintaining Group methodologies, models and architectures regarding financial risks and behavioral models of the risks of the commercial banking book, as well as validating pricing models “Liquidity and Interest Rate Risk Management”, responsible for governing and controlling the liquidity risk and balance sheet interest rate risk, either at Group level and UniCredit S.p.A. level (including the Foreign Branches) and the Country Italy (when applicable). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 380 2021 Annual Report and Accounts · UniCredit The HC governing bodies delegate to the Group Financial and Credit Risk Committee (GFRC) the development of detailed internal regulations with the goal of establishing an integrated and consistent IRRBB management framework within the Group with the goal of facilitating an effective decision-making process and governance. Local relevant committee of the liquidity reference banks (LRBs) or Legal Entities (LEs) (in accordance with local rules in force), within the scope of their responsibilities and delegated powers, are responsible for implementing the IRRBB management framework established by GFRC, also considering the peculiarities of each LRB or LEs and given the guidelines and indications of their respective governing bodies (both those responsible for strategic supervision and management). The GFRC is also responsible for the Group-wide monitoring of IRR within the broader perspective of market risk. Having regard to the overall operations and risk exposures of the Group, it involves the Group Executive Committee (GEC) within its responsibilities and delegated powers. The committee’s involvement in interest rate risk management includes: • the definition of granular interest rate Banking book limits; • the initial approval and fundamental modifications for the measurement and control system of Banking book interest rate risks with the support of internal validation function (where necessary); • the optimization of the Group profile for Banking book interest rate risk; • the definition of the operational strategies of Balance sheet (e.g., replicating portfolio) and application of the internal transfer prices within the Italian perimeter. Risk measurement and reporting systems Trading Book In the second half of 2021, UniCredit group continued to improve and consolidate market risk models to properly measure, represent and control the Group risk profile, reflecting these changes in the reporting activity. As regards market risk measurements, further details can be reported in paragraph “Internal Model for Price, Interest Rate and Exchange Rate Risk of the Regulatory Trading book”, while for both monthly and daily reporting process, Global Process Regulation are periodically updated. Within the organisational context described above, the policy implemented by UniCredit group within the scope of market risk management is aimed at gradually adopting and using common principles, rules and processes in terms of appetite for risk, limit calculations, model development, pricing and risk model scrutiny. The Group Financial Risk department is specifically required to ensure that principles, rules and processes are in line with industry best practice and consistent with standards and uses in the various countries in which they are applied. The main tool used by UniCredit group to measure market risk on trading positions is Value at Risk (VaR), calculated using the historical simulation method. Further details on risk valuation models are included in the following chapter. Group Financial Risk defines market risk reporting standards, both in terms of contents and recurrence, and provides timely information to the Senior Management and regulators regarding the market risk profile at consolidated level. In addition to VaR and Basel 2 risk measures, stress tests represent an important risk management tool that provides UniCredit with an indication of how much capital might be needed to absorb losses in case of large financial shocks. Stress testing forms an integral part of the Internal Capital Adequacy Assessment Process (ICAAP), which requires UniCredit to undertake rigorous, forward-looking stress testing that identifies possible events or changes in market conditions that could adversely impact on the bank. Banking Book The primary responsibility of the monitoring and control of the risk management for market risk in the Banking book lies in the bank’s competent bodies. For instance, the Parent company is responsible for the process of monitoring the market risks on the Banking book at consolidated level. As such, it defines structure, data, and frequency of the necessary Group reporting. The Banking book interest rate risk measure cover both the economic value and net interest income risk aspects. In particular, the different and complementary perspectives involve: • Economic Value: variations in interest rates can affect the economic value of assets and liabilities. The economic value of the bank can be viewed as the present value of the bank’s expected net cash flows, defined as the expected cash flows on assets minus the expected cash flows on liabilities; a relevant risk measure from this perspective is the economic value sensitivity per time bucket for a 1bp rate shock. This measure is reported to the relevant committees to assess the economic value impact of various changes in the yield curve. In addition, the economic value sensitivity is computed also for the regulatory scenarios (“Supervisory Outlier Test” described in EBA/GL/2018/02); • Net Interest Income: the focus of the analysis is the impact of changes of interest rates on Net Interest Income. An example of a measure of risks used is Net Interest Income sensitivity for a 100bps parallel shock of rates. This measure is reported to the competent committees to the end of evaluating its impact on the interest income over the next 12 months. Additional stress test scenarios are performed and monitored including basis risk and non-parallel shocks with hypothesis of increase or decrease of interest rates levels under constant balance sheet assumption. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 380 2021 Annual Report and Accounts · UniCredit The HC governing bodies delegate to the Group Financial and Credit Risk Committee (GFRC) the development of detailed internal regulations with the goal of establishing an integrated and consistent IRRBB management framework within the Group with the goal of facilitating an effective decision-making process and governance. Local relevant committee of the liquidity reference banks (LRBs) or Legal Entities (LEs) (in accordance with local rules in force), within the scope of their responsibilities and delegated powers, are responsible for implementing the IRRBB management framework established by GFRC, also considering the peculiarities of each LRB or LEs and given the guidelines and indications of their respective governing bodies (both those responsible for strategic supervision and management). The GFRC is also responsible for the Group-wide monitoring of IRR within the broader perspective of market risk. Having regard to the overall operations and risk exposures of the Group, it involves the Group Executive Committee (GEC) within its responsibilities and delegated powers. The committee’s involvement in interest rate risk management includes: • the definition of granular interest rate Banking book limits; • the initial approval and fundamental modifications for the measurement and control system of Banking book interest rate risks with the support of internal validation function (where necessary); • the optimization of the Group profile for Banking book interest rate risk; • the definition of the operational strategies of Balance sheet (e.g., replicating portfolio) and application of the internal transfer prices within the Italian perimeter. Risk measurement and reporting systems Trading Book In the second half of 2021, UniCredit group continued to improve and consolidate market risk models to properly measure, represent and control the Group risk profile, reflecting these changes in the reporting activity. As regards market risk measurements, further details can be reported in paragraph “Internal Model for Price, Interest Rate and Exchange Rate Risk of the Regulatory Trading book”, while for both monthly and daily reporting process, Global Process Regulation are periodically updated. Within the organisational context described above, the policy implemented by UniCredit group within the scope of market risk management is aimed at gradually adopting and using common principles, rules and processes in terms of appetite for risk, limit calculations, model development, pricing and risk model scrutiny. The Group Financial Risk department is specifically required to ensure that principles, rules and processes are in line with industry best practice and consistent with standards and uses in the various countries in which they are applied. The main tool used by UniCredit group to measure market risk on trading positions is Value at Risk (VaR), calculated using the historical simulation method. Further details on risk valuation models are included in the following chapter. Group Financial Risk defines market risk reporting standards, both in terms of contents and recurrence, and provides timely information to the Senior Management and regulators regarding the market risk profile at consolidated level. In addition to VaR and Basel 2 risk measures, stress tests represent an important risk management tool that provides UniCredit with an indication of how much capital might be needed to absorb losses in case of large financial shocks. Stress testing forms an integral part of the Internal Capital Adequacy Assessment Process (ICAAP), which requires UniCredit to undertake rigorous, forward-looking stress testing that identifies possible events or changes in market conditions that could adversely impact on the bank. Banking Book The primary responsibility of the monitoring and control of the risk management for market risk in the Banking book lies in the bank’s competent bodies. For instance, the Parent company is responsible for the process of monitoring the market risks on the Banking book at consolidated level. As such, it defines structure, data, and frequency of the necessary Group reporting. The Banking book interest rate risk measure cover both the economic value and net interest income risk aspects. In particular, the different and complementary perspectives involve: • Economic Value: variations in interest rates can affect the economic value of assets and liabilities. The economic value of the bank can be viewed as the present value of the bank’s expected net cash flows, defined as the expected cash flows on assets minus the expected cash flows on liabilities; a relevant risk measure from this perspective is the economic value sensitivity per time bucket for a 1bp rate shock. This measure is reported to the relevant committees to assess the economic value impact of various changes in the yield curve. In addition, the economic value sensitivity is computed also for the regulatory scenarios (“Supervisory Outlier Test” described in EBA/GL/2018/02); • Net Interest Income: the focus of the analysis is the impact of changes of interest rates on Net Interest Income. An example of a measure of risks used is Net Interest Income sensitivity for a 100bps parallel shock of rates. This measure is reported to the competent committees to the end of evaluating its impact on the interest income over the next 12 months. Additional stress test scenarios are performed and monitored including basis risk and non-parallel shocks with hypothesis of increase or decrease of interest rates levels under constant balance sheet assumption. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 380 2021 Annual Report and Accounts · UniCredit The HC governing bodies delegate to the Group Financial and Credit Risk Committee (GFRC) the development of detailed internal regulations with the goal of establishing an integrated and consistent IRRBB management framework within the Group with the goal of facilitating an effective decision-making process and governance. Local relevant committee of the liquidity reference banks (LRBs) or Legal Entities (LEs) (in accordance with local rules in force), within the scope of their responsibilities and delegated powers, are responsible for implementing the IRRBB management framework established by GFRC, also considering the peculiarities of each LRB or LEs and given the guidelines and indications of their respective governing bodies (both those responsible for strategic supervision and management). The GFRC is also responsible for the Group-wide monitoring of IRR within the broader perspective of market risk. Having regard to the overall operations and risk exposures of the Group, it involves the Group Executive Committee (GEC) within its responsibilities and delegated powers. The committee’s involvement in interest rate risk management includes: • the definition of granular interest rate Banking book limits; • the initial approval and fundamental modifications for the measurement and control system of Banking book interest rate risks with the support of internal validation function (where necessary); • the optimization of the Group profile for Banking book interest rate risk; • the definition of the operational strategies of Balance sheet (e.g., replicating portfolio) and application of the internal transfer prices within the Italian perimeter. Risk measurement and reporting systems Trading Book In the second half of 2021, UniCredit group continued to improve and consolidate market risk models to properly measure, represent and control the Group risk profile, reflecting these changes in the reporting activity. As regards market risk measurements, further details can be reported in paragraph “Internal Model for Price, Interest Rate and Exchange Rate Risk of the Regulatory Trading book”, while for both monthly and daily reporting process, Global Process Regulation are periodically updated. Within the organisational context described above, the policy implemented by UniCredit group within the scope of market risk management is aimed at gradually adopting and using common principles, rules and processes in terms of appetite for risk, limit calculations, model development, pricing and risk model scrutiny. The Group Financial Risk department is specifically required to ensure that principles, rules and processes are in line with industry best practice and consistent with standards and uses in the various countries in which they are applied. The main tool used by UniCredit group to measure market risk on trading positions is Value at Risk (VaR), calculated using the historical simulation method. Further details on risk valuation models are included in the following chapter. Group Financial Risk defines market risk reporting standards, both in terms of contents and recurrence, and provides timely information to the Senior Management and regulators regarding the market risk profile at consolidated level. In addition to VaR and Basel 2 risk measures, stress tests represent an important risk management tool that provides UniCredit with an indication of how much capital might be needed to absorb losses in case of large financial shocks. Stress testing forms an integral part of the Internal Capital Adequacy Assessment Process (ICAAP), which requires UniCredit to undertake rigorous, forward-looking stress testing that identifies possible events or changes in market conditions that could adversely impact on the bank. Banking Book The primary responsibility of the monitoring and control of the risk management for market risk in the Banking book lies in the bank’s competent bodies. For instance, the Parent company is responsible for the process of monitoring the market risks on the Banking book at consolidated level. As such, it defines structure, data, and frequency of the necessary Group reporting. The Banking book interest rate risk measure cover both the economic value and net interest income risk aspects. In particular, the different and complementary perspectives involve: • Economic Value: variations in interest rates can affect the economic value of assets and liabilities. The economic value of the bank can be viewed as the present value of the bank’s expected net cash flows, defined as the expected cash flows on assets minus the expected cash flows on liabilities; a relevant risk measure from this perspective is the economic value sensitivity per time bucket for a 1bp rate shock. This measure is reported to the relevant committees to assess the economic value impact of various changes in the yield curve. In addition, the economic value sensitivity is computed also for the regulatory scenarios (“Supervisory Outlier Test” described in EBA/GL/2018/02); • Net Interest Income: the focus of the analysis is the impact of changes of interest rates on Net Interest Income. An example of a measure of risks used is Net Interest Income sensitivity for a 100bps parallel shock of rates. This measure is reported to the competent committees to the end of evaluating its impact on the interest income over the next 12 months. Additional stress test scenarios are performed and monitored including basis risk and non-parallel shocks with hypothesis of increase or decrease of interest rates levels under constant balance sheet assumption. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 380 2021 Annual Report and Accounts · UniCredit The HC governing bodies delegate to the Group Financial and Credit Risk Committee (GFRC) the development of detailed internal regulations with the goal of establishing an integrated and consistent IRRBB management framework within the Group with the goal of facilitating an effective decision-making process and governance. Local relevant committee of the liquidity reference banks (LRBs) or Legal Entities (LEs) (in accordance with local rules in force), within the scope of their responsibilities and delegated powers, are responsible for implementing the IRRBB management framework established by GFRC, also considering the peculiarities of each LRB or LEs and given the guidelines and indications of their respective governing bodies (both those responsible for strategic supervision and management). The GFRC is also responsible for the Group-wide monitoring of IRR within the broader perspective of market risk. Having regard to the overall operations and risk exposures of the Group, it involves the Group Executive Committee (GEC) within its responsibilities and delegated powers. The committee’s involvement in interest rate risk management includes: • the definition of granular interest rate Banking book limits; • the initial approval and fundamental modifications for the measurement and control system of Banking book interest rate risks with the support of internal validation function (where necessary); • the optimization of the Group profile for Banking book interest rate risk; • the definition of the operational strategies of Balance sheet (e.g., replicating portfolio) and application of the internal transfer prices within the Italian perimeter. Risk measurement and reporting systems Trading Book In the second half of 2021, UniCredit group continued to improve and consolidate market risk models to properly measure, represent and control the Group risk profile, reflecting these changes in the reporting activity. As regards market risk measurements, further details can be reported in paragraph “Internal Model for Price, Interest Rate and Exchange Rate Risk of the Regulatory Trading book”, while for both monthly and daily reporting process, Global Process Regulation are periodically updated. Within the organisational context described above, the policy implemented by UniCredit group within the scope of market risk management is aimed at gradually adopting and using common principles, rules and processes in terms of appetite for risk, limit calculations, model development, pricing and risk model scrutiny. The Group Financial Risk department is specifically required to ensure that principles, rules and processes are in line with industry best practice and consistent with standards and uses in the various countries in which they are applied. The main tool used by UniCredit group to measure market risk on trading positions is Value at Risk (VaR), calculated using the historical simulation method. Further details on risk valuation models are included in the following chapter. Group Financial Risk defines market risk reporting standards, both in terms of contents and recurrence, and provides timely information to the Senior Management and regulators regarding the market risk profile at consolidated level. In addition to VaR and Basel 2 risk measures, stress tests represent an important risk management tool that provides UniCredit with an indication of how much capital might be needed to absorb losses in case of large financial shocks. Stress testing forms an integral part of the Internal Capital Adequacy Assessment Process (ICAAP), which requires UniCredit to undertake rigorous, forward-looking stress testing that identifies possible events or changes in market conditions that could adversely impact on the bank. Banking Book The primary responsibility of the monitoring and control of the risk management for market risk in the Banking book lies in the bank’s competent bodies. For instance, the Parent company is responsible for the process of monitoring the market risks on the Banking book at consolidated level. As such, it defines structure, data, and frequency of the necessary Group reporting. The Banking book interest rate risk measure cover both the economic value and net interest income risk aspects. In particular, the different and complementary perspectives involve: • Economic Value: variations in interest rates can affect the economic value of assets and liabilities. The economic value of the bank can be viewed as the present value of the bank’s expected net cash flows, defined as the expected cash flows on assets minus the expected cash flows on liabilities; a relevant risk measure from this perspective is the economic value sensitivity per time bucket for a 1bp rate shock. This measure is reported to the relevant committees to assess the economic value impact of various changes in the yield curve. In addition, the economic value sensitivity is computed also for the regulatory scenarios (“Supervisory Outlier Test” described in EBA/GL/2018/02); • Net Interest Income: the focus of the analysis is the impact of changes of interest rates on Net Interest Income. An example of a measure of risks used is Net Interest Income sensitivity for a 100bps parallel shock of rates. This measure is reported to the competent committees to the end of evaluating its impact on the interest income over the next 12 months. Additional stress test scenarios are performed and monitored including basis risk and non-parallel shocks with hypothesis of increase or decrease of interest rates levels under constant balance sheet assumption. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 380 2021 Annual Report and Accounts · UniCredit The HC governing bodies delegate to the Group Financial and Credit Risk Committee (GFRC) the development of detailed internal regulations with the goal of establishing an integrated and consistent IRRBB management framework within the Group with the goal of facilitating an effective decision-making process and governance. Local relevant committee of the liquidity reference banks (LRBs) or Legal Entities (LEs) (in accordance with local rules in force), within the scope of their responsibilities and delegated powers, are responsible for implementing the IRRBB management framework established by GFRC, also considering the peculiarities of each LRB or LEs and given the guidelines and indications of their respective governing bodies (both those responsible for strategic supervision and management). The GFRC is also responsible for the Group-wide monitoring of IRR within the broader perspective of market risk. Having regard to the overall operations and risk exposures of the Group, it involves the Group Executive Committee (GEC) within its responsibilities and delegated powers. The committee’s involvement in interest rate risk management includes: • the definition of granular interest rate Banking book limits; • the initial approval and fundamental modifications for the measurement and control system of Banking book interest rate risks with the support of internal validation function (where necessary); • the optimization of the Group profile for Banking book interest rate risk; • the definition of the operational strategies of Balance sheet (e.g., replicating portfolio) and application of the internal transfer prices within the Italian perimeter. Risk measurement and reporting systems Trading Book In the second half of 2021, UniCredit group continued to improve and consolidate market risk models to properly measure, represent and control the Group risk profile, reflecting these changes in the reporting activity. As regards market risk measurements, further details can be reported in paragraph “Internal Model for Price, Interest Rate and Exchange Rate Risk of the Regulatory Trading book”, while for both monthly and daily reporting process, Global Process Regulation are periodically updated. Within the organisational context described above, the policy implemented by UniCredit group within the scope of market risk management is aimed at gradually adopting and using common principles, rules and processes in terms of appetite for risk, limit calculations, model development, pricing and risk model scrutiny. The Group Financial Risk department is specifically required to ensure that principles, rules and processes are in line with industry best practice and consistent with standards and uses in the various countries in which they are applied. The main tool used by UniCredit group to measure market risk on trading positions is Value at Risk (VaR), calculated using the historical simulation method. Further details on risk valuation models are included in the following chapter. Group Financial Risk defines market risk reporting standards, both in terms of contents and recurrence, and provides timely information to the Senior Management and regulators regarding the market risk profile at consolidated level. In addition to VaR and Basel 2 risk measures, stress tests represent an important risk management tool that provides UniCredit with an indication of how much capital might be needed to absorb losses in case of large financial shocks. Stress testing forms an integral part of the Internal Capital Adequacy Assessment Process (ICAAP), which requires UniCredit to undertake rigorous, forward-looking stress testing that identifies possible events or changes in market conditions that could adversely impact on the bank. Banking Book The primary responsibility of the monitoring and control of the risk management for market risk in the Banking book lies in the bank’s competent bodies. For instance, the Parent company is responsible for the process of monitoring the market risks on the Banking book at consolidated level. As such, it defines structure, data, and frequency of the necessary Group reporting. The Banking book interest rate risk measure cover both the economic value and net interest income risk aspects. In particular, the different and complementary perspectives involve: • Economic Value: variations in interest rates can affect the economic value of assets and liabilities. The economic value of the bank can be viewed as the present value of the bank’s expected net cash flows, defined as the expected cash flows on assets minus the expected cash flows on liabilities; a relevant risk measure from this perspective is the economic value sensitivity per time bucket for a 1bp rate shock. This measure is reported to the relevant committees to assess the economic value impact of various changes in the yield curve. In addition, the economic value sensitivity is computed also for the regulatory scenarios (“Supervisory Outlier Test” described in EBA/GL/2018/02); • Net Interest Income: the focus of the analysis is the impact of changes of interest rates on Net Interest Income. An example of a measure of risks used is Net Interest Income sensitivity for a 100bps parallel shock of rates. This measure is reported to the competent committees to the end of evaluating its impact on the interest income over the next 12 months. Additional stress test scenarios are performed and monitored including basis risk and non-parallel shocks with hypothesis of increase or decrease of interest rates levels under constant balance sheet assumption. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 381 As for other sources of market risk, such as Credit Spread risk and FX risk, please refer to the information in the paragraph Risk management strategies and processes, relating to the Trading Book section. Hedging policies and risk mitigation Trading Book The mitigation of Trading book risk is performed through the Market Risk Strategy, where Broad and Granular Limits are defined. The effective limit utilization is provided to Group Financial and Credit Risk Committee (through the Market Risk Overview report) and related breaches are escalated to the competent Body, according to the severity assigned by the Market Risk Strategy. The escalation process is ruled by the Global Policy "Market Risk Limits" which defines the nature of the various thresholds/limits applied, as well as the relevant bodies to be involve establishing the most appropriate course of action to restore exposure within the approved limits. A set of risk indicators is also provided to the Group Executive Committee (and subsequently to the Internal Control & Risk Committee and to the BoD) on a quarterly basis through the Group Risk Appetite Framework (RAF) and Integrated Risk Report (IRR), which includes Regulatory VaR, Stressed VaR and IRC trend for Group and legal entities (UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria AG), Sovereign and non-Sovereign (ABS, Financials and Corporates) Exposure. If required, focus is provided to relevant committees on the activity of a specific business line/desk to ensure the highest level of understanding and discussion of the risks in certain areas which are deemed to deserve particular attention. Banking Book On a regular basis, at least quarterly, the relevant IRR exposure, complemented by the analysis of the compliance of the limits, must be reported to Management bodies and internal committees. As a general principle, the compliance of the limits must be reported to Boards and committees depending on their role in limit setting and it is proportionate to the severity hierarchy outlined in the previous section. The Group Financial and Credit Risk (GFRC) must be subject to reporting with respect to RAF KPIs and Overall Group and LRB Granular Limits and Triggers with the same frequency of the committee’s meetings. The same reporting process must be implemented within LRBs with respect to Local relevant committees (in accordance with local rules in force). Breaches of limits and warning levels are reported, upon occurrence, to the relevant bodies. Consequently, the escalation process is activated in line with the procedures set in relative Policy, to establish the most appropriate course of action to restore exposure within the approved limits. The execution of structural hedges to mitigate the interest rate risk exposure on client business is responsibility of the treasury functions. The strategic transactions in the Banking book are managed by the Asset and Liability Management department, ALM. Internal model for price, interest rate and exchange rate risk of the regulatory trading book The current Market Risk internal model is based on Value-at-Risk (VaR) framework, integrated with other risk measures: incremental risk capital charge (IRC) and stressed Value-at-Risk (SVaR) aimed at reducing the pro-cyclicality of the minimum capital requirements for market risk, in line with the European directives in force. All the regulatory requirements in the contest of Market Risk have been addressed via internal development of the necessary model and IT infrastructure as opposed to the external acquisition of ready-made solutions. This enabled UniCredit to craft solutions that in many aspects can be considered on the sophisticated end of the spectrum of practices that can be found in the Industry. In this respect one distinctive feature of the market (and counterparty) risk frameworks implemented in UniCredit group is the full revaluation approach employing the same pricing libraries used in the Front Office. UniCredit group calculates both VaR and SVaR for market risk on trading positions using the historical simulation method. Under the historical simulation method positions are revaluated (in full revaluation approach) based on trends in market prices over an appropriate observation period. The empirical distribution of profits/losses deriving therefrom is analysed to determine the effect of extreme market movements on the portfolios. For a given portfolio, probability and time horizon, VaR is defined as a threshold value so that the probability that the mark-to-market loss on the portfolio, over the given time horizon, not exceeding this value (assuming no trading in the portfolio) has the given confidence level. Current configuration of the internal model defines VaR at a 99% confidence level on the 1-day P&L distribution obtained from equally weighted historical scenarios covering the last 250 days. Historical scenarios are built relying on proportional shocks for Equities and FX rates, and on absolute shocks for Interest Rates and Credit Spreads. UniCredit VaR Model simulates all the risk factors, both referring to general and specific risk, thus providing diversification in a straightforward approach. The model is recalibrated daily. The use of a 1-day time horizon makes the immediate comparison with realised profits/losses possible and such comparison is the core of the back-testing exercise. The VaR measure identifies a consistent measure across all the portfolios and products, since it: • allows a comparison of risk among different businesses; • provides a means of aggregating and netting position within a portfolio to reflect correlation and offset between different assets classes; • facilitates comparisons of market risk both over time and against daily results. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 381 As for other sources of market risk, such as Credit Spread risk and FX risk, please refer to the information in the paragraph Risk management strategies and processes, relating to the Trading Book section. Hedging policies and risk mitigation Trading Book The mitigation of Trading book risk is performed through the Market Risk Strategy, where Broad and Granular Limits are defined. The effective limit utilization is provided to Group Financial and Credit Risk Committee (through the Market Risk Overview report) and related breaches are escalated to the competent Body, according to the severity assigned by the Market Risk Strategy. The escalation process is ruled by the Global Policy "Market Risk Limits" which defines the nature of the various thresholds/limits applied, as well as the relevant bodies to be involve establishing the most appropriate course of action to restore exposure within the approved limits. A set of risk indicators is also provided to the Group Executive Committee (and subsequently to the Internal Control & Risk Committee and to the BoD) on a quarterly basis through the Group Risk Appetite Framework (RAF) and Integrated Risk Report (IRR), which includes Regulatory VaR, Stressed VaR and IRC trend for Group and legal entities (UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria AG), Sovereign and non-Sovereign (ABS, Financials and Corporates) Exposure. If required, focus is provided to relevant committees on the activity of a specific business line/desk to ensure the highest level of understanding and discussion of the risks in certain areas which are deemed to deserve particular attention. Banking Book On a regular basis, at least quarterly, the relevant IRR exposure, complemented by the analysis of the compliance of the limits, must be reported to Management bodies and internal committees. As a general principle, the compliance of the limits must be reported to Boards and committees depending on their role in limit setting and it is proportionate to the severity hierarchy outlined in the previous section. The Group Financial and Credit Risk (GFRC) must be subject to reporting with respect to RAF KPIs and Overall Group and LRB Granular Limits and Triggers with the same frequency of the committee’s meetings. The same reporting process must be implemented within LRBs with respect to Local relevant committees (in accordance with local rules in force). Breaches of limits and warning levels are reported, upon occurrence, to the relevant bodies. Consequently, the escalation process is activated in line with the procedures set in relative Policy, to establish the most appropriate course of action to restore exposure within the approved limits. The execution of structural hedges to mitigate the interest rate risk exposure on client business is responsibility of the treasury functions. The strategic transactions in the Banking book are managed by the Asset and Liability Management department, ALM. Internal model for price, interest rate and exchange rate risk of the regulatory trading book The current Market Risk internal model is based on Value-at-Risk (VaR) framework, integrated with other risk measures: incremental risk capital charge (IRC) and stressed Value-at-Risk (SVaR) aimed at reducing the pro-cyclicality of the minimum capital requirements for market risk, in line with the European directives in force. All the regulatory requirements in the contest of Market Risk have been addressed via internal development of the necessary model and IT infrastructure as opposed to the external acquisition of ready-made solutions. This enabled UniCredit to craft solutions that in many aspects can be considered on the sophisticated end of the spectrum of practices that can be found in the Industry. In this respect one distinctive feature of the market (and counterparty) risk frameworks implemented in UniCredit group is the full revaluation approach employing the same pricing libraries used in the Front Office. UniCredit group calculates both VaR and SVaR for market risk on trading positions using the historical simulation method. Under the historical simulation method positions are revaluated (in full revaluation approach) based on trends in market prices over an appropriate observation period. The empirical distribution of profits/losses deriving therefrom is analysed to determine the effect of extreme market movements on the portfolios. For a given portfolio, probability and time horizon, VaR is defined as a threshold value so that the probability that the mark-to-market loss on the portfolio, over the given time horizon, not exceeding this value (assuming no trading in the portfolio) has the given confidence level. Current configuration of the internal model defines VaR at a 99% confidence level on the 1-day P&L distribution obtained from equally weighted historical scenarios covering the last 250 days. Historical scenarios are built relying on proportional shocks for Equities and FX rates, and on absolute shocks for Interest Rates and Credit Spreads. UniCredit VaR Model simulates all the risk factors, both referring to general and specific risk, thus providing diversification in a straightforward approach. The model is recalibrated daily. The use of a 1-day time horizon makes the immediate comparison with realised profits/losses possible and such comparison is the core of the back-testing exercise. The VaR measure identifies a consistent measure across all the portfolios and products, since it: • allows a comparison of risk among different businesses; • provides a means of aggregating and netting position within a portfolio to reflect correlation and offset between different assets classes; • facilitates comparisons of market risk both over time and against daily results. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 381 As for other sources of market risk, such as Credit Spread risk and FX risk, please refer to the information in the paragraph Risk management strategies and processes, relating to the Trading Book section. Hedging policies and risk mitigation Trading Book The mitigation of Trading book risk is performed through the Market Risk Strategy, where Broad and Granular Limits are defined. The effective limit utilization is provided to Group Financial and Credit Risk Committee (through the Market Risk Overview report) and related breaches are escalated to the competent Body, according to the severity assigned by the Market Risk Strategy. The escalation process is ruled by the Global Policy "Market Risk Limits" which defines the nature of the various thresholds/limits applied, as well as the relevant bodies to be involve establishing the most appropriate course of action to restore exposure within the approved limits. A set of risk indicators is also provided to the Group Executive Committee (and subsequently to the Internal Control & Risk Committee and to the BoD) on a quarterly basis through the Group Risk Appetite Framework (RAF) and Integrated Risk Report (IRR), which includes Regulatory VaR, Stressed VaR and IRC trend for Group and legal entities (UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria AG), Sovereign and non-Sovereign (ABS, Financials and Corporates) Exposure. If required, focus is provided to relevant committees on the activity of a specific business line/desk to ensure the highest level of understanding and discussion of the risks in certain areas which are deemed to deserve particular attention. Banking Book On a regular basis, at least quarterly, the relevant IRR exposure, complemented by the analysis of the compliance of the limits, must be reported to Management bodies and internal committees. As a general principle, the compliance of the limits must be reported to Boards and committees depending on their role in limit setting and it is proportionate to the severity hierarchy outlined in the previous section. The Group Financial and Credit Risk (GFRC) must be subject to reporting with respect to RAF KPIs and Overall Group and LRB Granular Limits and Triggers with the same frequency of the committee’s meetings. The same reporting process must be implemented within LRBs with respect to Local relevant committees (in accordance with local rules in force). Breaches of limits and warning levels are reported, upon occurrence, to the relevant bodies. Consequently, the escalation process is activated in line with the procedures set in relative Policy, to establish the most appropriate course of action to restore exposure within the approved limits. The execution of structural hedges to mitigate the interest rate risk exposure on client business is responsibility of the treasury functions. The strategic transactions in the Banking book are managed by the Asset and Liability Management department, ALM. Internal model for price, interest rate and exchange rate risk of the regulatory trading book The current Market Risk internal model is based on Value-at-Risk (VaR) framework, integrated with other risk measures: incremental risk capital charge (IRC) and stressed Value-at-Risk (SVaR) aimed at reducing the pro-cyclicality of the minimum capital requirements for market risk, in line with the European directives in force. All the regulatory requirements in the contest of Market Risk have been addressed via internal development of the necessary model and IT infrastructure as opposed to the external acquisition of ready-made solutions. This enabled UniCredit to craft solutions that in many aspects can be considered on the sophisticated end of the spectrum of practices that can be found in the Industry. In this respect one distinctive feature of the market (and counterparty) risk frameworks implemented in UniCredit group is the full revaluation approach employing the same pricing libraries used in the Front Office. UniCredit group calculates both VaR and SVaR for market risk on trading positions using the historical simulation method. Under the historical simulation method positions are revaluated (in full revaluation approach) based on trends in market prices over an appropriate observation period. The empirical distribution of profits/losses deriving therefrom is analysed to determine the effect of extreme market movements on the portfolios. For a given portfolio, probability and time horizon, VaR is defined as a threshold value so that the probability that the mark-to-market loss on the portfolio, over the given time horizon, not exceeding this value (assuming no trading in the portfolio) has the given confidence level. Current configuration of the internal model defines VaR at a 99% confidence level on the 1-day P&L distribution obtained from equally weighted historical scenarios covering the last 250 days. Historical scenarios are built relying on proportional shocks for Equities and FX rates, and on absolute shocks for Interest Rates and Credit Spreads. UniCredit VaR Model simulates all the risk factors, both referring to general and specific risk, thus providing diversification in a straightforward approach. The model is recalibrated daily. The use of a 1-day time horizon makes the immediate comparison with realised profits/losses possible and such comparison is the core of the back-testing exercise. The VaR measure identifies a consistent measure across all the portfolios and products, since it: • allows a comparison of risk among different businesses; • provides a means of aggregating and netting position within a portfolio to reflect correlation and offset between different assets classes; • facilitates comparisons of market risk both over time and against daily results. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 381 As for other sources of market risk, such as Credit Spread risk and FX risk, please refer to the information in the paragraph Risk management strategies and processes, relating to the Trading Book section. Hedging policies and risk mitigation Trading Book The mitigation of Trading book risk is performed through the Market Risk Strategy, where Broad and Granular Limits are defined. The effective limit utilization is provided to Group Financial and Credit Risk Committee (through the Market Risk Overview report) and related breaches are escalated to the competent Body, according to the severity assigned by the Market Risk Strategy. The escalation process is ruled by the Global Policy "Market Risk Limits" which defines the nature of the various thresholds/limits applied, as well as the relevant bodies to be involve establishing the most appropriate course of action to restore exposure within the approved limits. A set of risk indicators is also provided to the Group Executive Committee (and subsequently to the Internal Control & Risk Committee and to the BoD) on a quarterly basis through the Group Risk Appetite Framework (RAF) and Integrated Risk Report (IRR), which includes Regulatory VaR, Stressed VaR and IRC trend for Group and legal entities (UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria AG), Sovereign and non-Sovereign (ABS, Financials and Corporates) Exposure. If required, focus is provided to relevant committees on the activity of a specific business line/desk to ensure the highest level of understanding and discussion of the risks in certain areas which are deemed to deserve particular attention. Banking Book On a regular basis, at least quarterly, the relevant IRR exposure, complemented by the analysis of the compliance of the limits, must be reported to Management bodies and internal committees. As a general principle, the compliance of the limits must be reported to Boards and committees depending on their role in limit setting and it is proportionate to the severity hierarchy outlined in the previous section. The Group Financial and Credit Risk (GFRC) must be subject to reporting with respect to RAF KPIs and Overall Group and LRB Granular Limits and Triggers with the same frequency of the committee’s meetings. The same reporting process must be implemented within LRBs with respect to Local relevant committees (in accordance with local rules in force). Breaches of limits and warning levels are reported, upon occurrence, to the relevant bodies. Consequently, the escalation process is activated in line with the procedures set in relative Policy, to establish the most appropriate course of action to restore exposure within the approved limits. The execution of structural hedges to mitigate the interest rate risk exposure on client business is responsibility of the treasury functions. The strategic transactions in the Banking book are managed by the Asset and Liability Management department, ALM. Internal model for price, interest rate and exchange rate risk of the regulatory trading book The current Market Risk internal model is based on Value-at-Risk (VaR) framework, integrated with other risk measures: incremental risk capital charge (IRC) and stressed Value-at-Risk (SVaR) aimed at reducing the pro-cyclicality of the minimum capital requirements for market risk, in line with the European directives in force. All the regulatory requirements in the contest of Market Risk have been addressed via internal development of the necessary model and IT infrastructure as opposed to the external acquisition of ready-made solutions. This enabled UniCredit to craft solutions that in many aspects can be considered on the sophisticated end of the spectrum of practices that can be found in the Industry. In this respect one distinctive feature of the market (and counterparty) risk frameworks implemented in UniCredit group is the full revaluation approach employing the same pricing libraries used in the Front Office. UniCredit group calculates both VaR and SVaR for market risk on trading positions using the historical simulation method. Under the historical simulation method positions are revaluated (in full revaluation approach) based on trends in market prices over an appropriate observation period. The empirical distribution of profits/losses deriving therefrom is analysed to determine the effect of extreme market movements on the portfolios. For a given portfolio, probability and time horizon, VaR is defined as a threshold value so that the probability that the mark-to-market loss on the portfolio, over the given time horizon, not exceeding this value (assuming no trading in the portfolio) has the given confidence level. Current configuration of the internal model defines VaR at a 99% confidence level on the 1-day P&L distribution obtained from equally weighted historical scenarios covering the last 250 days. Historical scenarios are built relying on proportional shocks for Equities and FX rates, and on absolute shocks for Interest Rates and Credit Spreads. UniCredit VaR Model simulates all the risk factors, both referring to general and specific risk, thus providing diversification in a straightforward approach. The model is recalibrated daily. The use of a 1-day time horizon makes the immediate comparison with realised profits/losses possible and such comparison is the core of the back-testing exercise. The VaR measure identifies a consistent measure across all the portfolios and products, since it: • allows a comparison of risk among different businesses; • provides a means of aggregating and netting position within a portfolio to reflect correlation and offset between different assets classes; • facilitates comparisons of market risk both over time and against daily results. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 381 As for other sources of market risk, such as Credit Spread risk and FX risk, please refer to the information in the paragraph Risk management strategies and processes, relating to the Trading Book section. Hedging policies and risk mitigation Trading Book The mitigation of Trading book risk is performed through the Market Risk Strategy, where Broad and Granular Limits are defined. The effective limit utilization is provided to Group Financial and Credit Risk Committee (through the Market Risk Overview report) and related breaches are escalated to the competent Body, according to the severity assigned by the Market Risk Strategy. The escalation process is ruled by the Global Policy "Market Risk Limits" which defines the nature of the various thresholds/limits applied, as well as the relevant bodies to be involve establishing the most appropriate course of action to restore exposure within the approved limits. A set of risk indicators is also provided to the Group Executive Committee (and subsequently to the Internal Control & Risk Committee and to the BoD) on a quarterly basis through the Group Risk Appetite Framework (RAF) and Integrated Risk Report (IRR), which includes Regulatory VaR, Stressed VaR and IRC trend for Group and legal entities (UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria AG), Sovereign and non-Sovereign (ABS, Financials and Corporates) Exposure. If required, focus is provided to relevant committees on the activity of a specific business line/desk to ensure the highest level of understanding and discussion of the risks in certain areas which are deemed to deserve particular attention. Banking Book On a regular basis, at least quarterly, the relevant IRR exposure, complemented by the analysis of the compliance of the limits, must be reported to Management bodies and internal committees. As a general principle, the compliance of the limits must be reported to Boards and committees depending on their role in limit setting and it is proportionate to the severity hierarchy outlined in the previous section. The Group Financial and Credit Risk (GFRC) must be subject to reporting with respect to RAF KPIs and Overall Group and LRB Granular Limits and Triggers with the same frequency of the committee’s meetings. The same reporting process must be implemented within LRBs with respect to Local relevant committees (in accordance with local rules in force). Breaches of limits and warning levels are reported, upon occurrence, to the relevant bodies. Consequently, the escalation process is activated in line with the procedures set in relative Policy, to establish the most appropriate course of action to restore exposure within the approved limits. The execution of structural hedges to mitigate the interest rate risk exposure on client business is responsibility of the treasury functions. The strategic transactions in the Banking book are managed by the Asset and Liability Management department, ALM. Internal model for price, interest rate and exchange rate risk of the regulatory trading book The current Market Risk internal model is based on Value-at-Risk (VaR) framework, integrated with other risk measures: incremental risk capital charge (IRC) and stressed Value-at-Risk (SVaR) aimed at reducing the pro-cyclicality of the minimum capital requirements for market risk, in line with the European directives in force. All the regulatory requirements in the contest of Market Risk have been addressed via internal development of the necessary model and IT infrastructure as opposed to the external acquisition of ready-made solutions. This enabled UniCredit to craft solutions that in many aspects can be considered on the sophisticated end of the spectrum of practices that can be found in the Industry. In this respect one distinctive feature of the market (and counterparty) risk frameworks implemented in UniCredit group is the full revaluation approach employing the same pricing libraries used in the Front Office. UniCredit group calculates both VaR and SVaR for market risk on trading positions using the historical simulation method. Under the historical simulation method positions are revaluated (in full revaluation approach) based on trends in market prices over an appropriate observation period. The empirical distribution of profits/losses deriving therefrom is analysed to determine the effect of extreme market movements on the portfolios. For a given portfolio, probability and time horizon, VaR is defined as a threshold value so that the probability that the mark-to-market loss on the portfolio, over the given time horizon, not exceeding this value (assuming no trading in the portfolio) has the given confidence level. Current configuration of the internal model defines VaR at a 99% confidence level on the 1-day P&L distribution obtained from equally weighted historical scenarios covering the last 250 days. Historical scenarios are built relying on proportional shocks for Equities and FX rates, and on absolute shocks for Interest Rates and Credit Spreads. UniCredit VaR Model simulates all the risk factors, both referring to general and specific risk, thus providing diversification in a straightforward approach. The model is recalibrated daily. The use of a 1-day time horizon makes the immediate comparison with realised profits/losses possible and such comparison is the core of the back-testing exercise. The VaR measure identifies a consistent measure across all the portfolios and products, since it: • allows a comparison of risk among different businesses; • provides a means of aggregating and netting position within a portfolio to reflect correlation and offset between different assets classes; • facilitates comparisons of market risk both over time and against daily results. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 382 2021 Annual Report and Accounts · UniCredit Although a valuable guide to risk, VaR should always be viewed within its limitations: • historical simulation relies on past occurrences to forecast potential losses. In case of regime shifts this might not be appropriate; • the length of the time window used to generate the forecasted distribution will necessarily embed a trade-off between the responsiveness of the metric to recent market evolutions (short window) and the spectrum of scenarios that will embed (long window); • assuming a constant one/ten-day horizon there is no discrimination between different risk-factor liquidity. Stressed VaR calculation is based on the very same methodology and architecture of the VaR, and it is analogously calculated with a 99% confidence level and 1-day time horizon on a weekly basis, but over a stressed observation period of 250 days. The chosen historical period identifies the 1-year observation window which produces the highest resulting measure for the current portfolio. Stress windows are recalibrated monthly and are tailored to the portfolio of each legal entity of the Group, plus the Group itself that is relevant for RWA calculation on a consolidated level. The SVaR window at Group level, at UniCredit Bank AG and UniCredit Bank Austria AG level corresponds to the “Lehman Crisis” (2008-2009), while for UniCredit S.p.A. solo level it is the “Sovereign Crisis” (2011-2012). The 10-day capital requirement is however obtained by extending the 1-day risk measure to the 10-day horizon taking the maximum of the square root of time scaling and a convolution approach that turns the one-day distribution into a 10-day distribution for both the VaR and the Stressed VaR. The 1-day measures are instead actively used for market risk management. In order to validate the consistency of VaR internal models used in calculating capital requirements on market risks, back-testing is performed by comparing the internal model risk estimates with the portfolio profit and loss, to check if the 99% of the trading outcomes is covered by the 99th percentile of the risk measures. The test is based on the last twelve months data (250 daily observations). In case the number of exceptions in the previous year exceeds what forecasted by the confidence level assumed, a careful revision of model parameters and assumptions is initiated. Group Internal Validation performed the periodic validation of the VaR/SVaR framework to assess the compliance with regulatory requirements including an independent back-testing analysis complemented with different parameterisations (e.g., different time horizon, percentile) and detailing the results for a set of representative portfolios of the Bank. The IRC capital charge captures default risk as well as migration risk for un-securitised credit products held in the Trading book. The internally developed model simulates via multivariate version of a Merton-type model the rating migration events of all the issuers relevant to the Group trading positions over a capital horizon of one year. The transition probabilities and the sector correlations are historically calibrated, while idiosyncratic correlations are derived from the IRB correlation formula. Simulated migration events are turned into credit spread scenarios while default events are associated to a simulated recovery rate. In doing so a constant position assumption is employed and products are conservatively all attributed a common liquidity horizon of 1 year. In each scenario all the relevant product inventory is revaluated under such spread and default events producing a simulated profit or loss (P&L) that fully reflects convexity, basis risk, portfolio effects and portfolio concentration risks. In this way a high number of paths Monte Carlo simulation generates a P&L distribution for the Group (and each leaf of its portfolio tree). IRC is defined as the 99.9 percentile of such loss distribution. Additional capital charge for securitisations and credit products not covered by IRC is evaluated through the standardised approach. The following table summarises the main characteristics of the different measures that define the capital requirement for market risk in UniCredit. MEASURE RISK TYPE HORIZON QUANTILE SIMULATION CALIBRATION VaR All Market Risk Factors 1d 99% Historical 1Y window, equally weighted SVaR All Market Risk Factors 1d 99% Historical 1Y window, equally weighted IRC Rating Migration & Default 1Y 99.9% Monte Carlo Through-the-cycle (min 8Y) The IRC Model is subject to a quarterly program of Stress tests aimed at evaluating the robustness of the model. The relevant parameters as Recovery Rates, Transition Probabilities, idiosyncratic correlation is shocked and the impact on the IRC measure is computed. “Group Internal Validation” performed its analyses to evaluate the conceptual soundness of the IRC model, to supplement the available analyses on that topic and to ensure the compliance of the resulting risk management environment with all the relevant regulatory requirements and internal standards. As already remarked by the regulation, traditional back-testing procedures, regarding the 99.9% one-year soundness standard for IRC, are not applicable due to the 1-year time horizon of the measure. Consequently, while validation of the IRC model relied heavily on indirect methods (including stress tests, sensitivity analysis and scenario analysis) in order to assess the qualitative and quantitative reasonableness of the model, special focus has indeed been given to the specific situation of UniCredit portfolios. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 382 2021 Annual Report and Accounts · UniCredit Although a valuable guide to risk, VaR should always be viewed within its limitations: • historical simulation relies on past occurrences to forecast potential losses. In case of regime shifts this might not be appropriate; • the length of the time window used to generate the forecasted distribution will necessarily embed a trade-off between the responsiveness of the metric to recent market evolutions (short window) and the spectrum of scenarios that will embed (long window); • assuming a constant one/ten-day horizon there is no discrimination between different risk-factor liquidity. Stressed VaR calculation is based on the very same methodology and architecture of the VaR, and it is analogously calculated with a 99% confidence level and 1-day time horizon on a weekly basis, but over a stressed observation period of 250 days. The chosen historical period identifies the 1-year observation window which produces the highest resulting measure for the current portfolio. Stress windows are recalibrated monthly and are tailored to the portfolio of each legal entity of the Group, plus the Group itself that is relevant for RWA calculation on a consolidated level. The SVaR window at Group level, at UniCredit Bank AG and UniCredit Bank Austria AG level corresponds to the “Lehman Crisis” (2008-2009), while for UniCredit S.p.A. solo level it is the “Sovereign Crisis” (2011-2012). The 10-day capital requirement is however obtained by extending the 1-day risk measure to the 10-day horizon taking the maximum of the square root of time scaling and a convolution approach that turns the one-day distribution into a 10-day distribution for both the VaR and the Stressed VaR. The 1-day measures are instead actively used for market risk management. In order to validate the consistency of VaR internal models used in calculating capital requirements on market risks, back-testing is performed by comparing the internal model risk estimates with the portfolio profit and loss, to check if the 99% of the trading outcomes is covered by the 99th percentile of the risk measures. The test is based on the last twelve months data (250 daily observations). In case the number of exceptions in the previous year exceeds what forecasted by the confidence level assumed, a careful revision of model parameters and assumptions is initiated. Group Internal Validation performed the periodic validation of the VaR/SVaR framework to assess the compliance with regulatory requirements including an independent back-testing analysis complemented with different parameterisations (e.g., different time horizon, percentile) and detailing the results for a set of representative portfolios of the Bank. The IRC capital charge captures default risk as well as migration risk for un-securitised credit products held in the Trading book. The internally developed model simulates via multivariate version of a Merton-type model the rating migration events of all the issuers relevant to the Group trading positions over a capital horizon of one year. The transition probabilities and the sector correlations are historically calibrated, while idiosyncratic correlations are derived from the IRB correlation formula. Simulated migration events are turned into credit spread scenarios while default events are associated to a simulated recovery rate. In doing so a constant position assumption is employed and products are conservatively all attributed a common liquidity horizon of 1 year. In each scenario all the relevant product inventory is revaluated under such spread and default events producing a simulated profit or loss (P&L) that fully reflects convexity, basis risk, portfolio effects and portfolio concentration risks. In this way a high number of paths Monte Carlo simulation generates a P&L distribution for the Group (and each leaf of its portfolio tree). IRC is defined as the 99.9 percentile of such loss distribution. Additional capital charge for securitisations and credit products not covered by IRC is evaluated through the standardised approach. The following table summarises the main characteristics of the different measures that define the capital requirement for market risk in UniCredit. MEASURE RISK TYPE HORIZON QUANTILE SIMULATION CALIBRATION VaR All Market Risk Factors 1d 99% Historical 1Y window, equally weighted SVaR All Market Risk Factors 1d 99% Historical 1Y window, equally weighted IRC Rating Migration & Default 1Y 99.9% Monte Carlo Through-the-cycle (min 8Y) The IRC Model is subject to a quarterly program of Stress tests aimed at evaluating the robustness of the model. The relevant parameters as Recovery Rates, Transition Probabilities, idiosyncratic correlation is shocked and the impact on the IRC measure is computed. “Group Internal Validation” performed its analyses to evaluate the conceptual soundness of the IRC model, to supplement the available analyses on that topic and to ensure the compliance of the resulting risk management environment with all the relevant regulatory requirements and internal standards. As already remarked by the regulation, traditional back-testing procedures, regarding the 99.9% one-year soundness standard for IRC, are not applicable due to the 1-year time horizon of the measure. Consequently, while validation of the IRC model relied heavily on indirect methods (including stress tests, sensitivity analysis and scenario analysis) in order to assess the qualitative and quantitative reasonableness of the model, special focus has indeed been given to the specific situation of UniCredit portfolios. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 382 2021 Annual Report and Accounts · UniCredit Although a valuable guide to risk, VaR should always be viewed within its limitations: • historical simulation relies on past occurrences to forecast potential losses. In case of regime shifts this might not be appropriate; • the length of the time window used to generate the forecasted distribution will necessarily embed a trade-off between the responsiveness of the metric to recent market evolutions (short window) and the spectrum of scenarios that will embed (long window); • assuming a constant one/ten-day horizon there is no discrimination between different risk-factor liquidity. Stressed VaR calculation is based on the very same methodology and architecture of the VaR, and it is analogously calculated with a 99% confidence level and 1-day time horizon on a weekly basis, but over a stressed observation period of 250 days. The chosen historical period identifies the 1-year observation window which produces the highest resulting measure for the current portfolio. Stress windows are recalibrated monthly and are tailored to the portfolio of each legal entity of the Group, plus the Group itself that is relevant for RWA calculation on a consolidated level. The SVaR window at Group level, at UniCredit Bank AG and UniCredit Bank Austria AG level corresponds to the “Lehman Crisis” (2008-2009), while for UniCredit S.p.A. solo level it is the “Sovereign Crisis” (2011-2012). The 10-day capital requirement is however obtained by extending the 1-day risk measure to the 10-day horizon taking the maximum of the square root of time scaling and a convolution approach that turns the one-day distribution into a 10-day distribution for both the VaR and the Stressed VaR. The 1-day measures are instead actively used for market risk management. In order to validate the consistency of VaR internal models used in calculating capital requirements on market risks, back-testing is performed by comparing the internal model risk estimates with the portfolio profit and loss, to check if the 99% of the trading outcomes is covered by the 99th percentile of the risk measures. The test is based on the last twelve months data (250 daily observations). In case the number of exceptions in the previous year exceeds what forecasted by the confidence level assumed, a careful revision of model parameters and assumptions is initiated. Group Internal Validation performed the periodic validation of the VaR/SVaR framework to assess the compliance with regulatory requirements including an independent back-testing analysis complemented with different parameterisations (e.g., different time horizon, percentile) and detailing the results for a set of representative portfolios of the Bank. The IRC capital charge captures default risk as well as migration risk for un-securitised credit products held in the Trading book. The internally developed model simulates via multivariate version of a Merton-type model the rating migration events of all the issuers relevant to the Group trading positions over a capital horizon of one year. The transition probabilities and the sector correlations are historically calibrated, while idiosyncratic correlations are derived from the IRB correlation formula. Simulated migration events are turned into credit spread scenarios while default events are associated to a simulated recovery rate. In doing so a constant position assumption is employed and products are conservatively all attributed a common liquidity horizon of 1 year. In each scenario all the relevant product inventory is revaluated under such spread and default events producing a simulated profit or loss (P&L) that fully reflects convexity, basis risk, portfolio effects and portfolio concentration risks. In this way a high number of paths Monte Carlo simulation generates a P&L distribution for the Group (and each leaf of its portfolio tree). IRC is defined as the 99.9 percentile of such loss distribution. Additional capital charge for securitisations and credit products not covered by IRC is evaluated through the standardised approach. The following table summarises the main characteristics of the different measures that define the capital requirement for market risk in UniCredit. MEASURE RISK TYPE HORIZON QUANTILE SIMULATION CALIBRATION VaR All Market Risk Factors 1d 99% Historical 1Y window, equally weighted SVaR All Market Risk Factors 1d 99% Historical 1Y window, equally weighted IRC Rating Migration & Default 1Y 99.9% Monte Carlo Through-the-cycle (min 8Y) The IRC Model is subject to a quarterly program of Stress tests aimed at evaluating the robustness of the model. The relevant parameters as Recovery Rates, Transition Probabilities, idiosyncratic correlation is shocked and the impact on the IRC measure is computed. “Group Internal Validation” performed its analyses to evaluate the conceptual soundness of the IRC model, to supplement the available analyses on that topic and to ensure the compliance of the resulting risk management environment with all the relevant regulatory requirements and internal standards. As already remarked by the regulation, traditional back-testing procedures, regarding the 99.9% one-year soundness standard for IRC, are not applicable due to the 1-year time horizon of the measure. Consequently, while validation of the IRC model relied heavily on indirect methods (including stress tests, sensitivity analysis and scenario analysis) in order to assess the qualitative and quantitative reasonableness of the model, special focus has indeed been given to the specific situation of UniCredit portfolios. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 382 2021 Annual Report and Accounts · UniCredit Although a valuable guide to risk, VaR should always be viewed within its limitations: • historical simulation relies on past occurrences to forecast potential losses. In case of regime shifts this might not be appropriate; • the length of the time window used to generate the forecasted distribution will necessarily embed a trade-off between the responsiveness of the metric to recent market evolutions (short window) and the spectrum of scenarios that will embed (long window); • assuming a constant one/ten-day horizon there is no discrimination between different risk-factor liquidity. Stressed VaR calculation is based on the very same methodology and architecture of the VaR, and it is analogously calculated with a 99% confidence level and 1-day time horizon on a weekly basis, but over a stressed observation period of 250 days. The chosen historical period identifies the 1-year observation window which produces the highest resulting measure for the current portfolio. Stress windows are recalibrated monthly and are tailored to the portfolio of each legal entity of the Group, plus the Group itself that is relevant for RWA calculation on a consolidated level. The SVaR window at Group level, at UniCredit Bank AG and UniCredit Bank Austria AG level corresponds to the “Lehman Crisis” (2008-2009), while for UniCredit S.p.A. solo level it is the “Sovereign Crisis” (2011-2012). The 10-day capital requirement is however obtained by extending the 1-day risk measure to the 10-day horizon taking the maximum of the square root of time scaling and a convolution approach that turns the one-day distribution into a 10-day distribution for both the VaR and the Stressed VaR. The 1-day measures are instead actively used for market risk management. In order to validate the consistency of VaR internal models used in calculating capital requirements on market risks, back-testing is performed by comparing the internal model risk estimates with the portfolio profit and loss, to check if the 99% of the trading outcomes is covered by the 99th percentile of the risk measures. The test is based on the last twelve months data (250 daily observations). In case the number of exceptions in the previous year exceeds what forecasted by the confidence level assumed, a careful revision of model parameters and assumptions is initiated. Group Internal Validation performed the periodic validation of the VaR/SVaR framework to assess the compliance with regulatory requirements including an independent back-testing analysis complemented with different parameterisations (e.g., different time horizon, percentile) and detailing the results for a set of representative portfolios of the Bank. The IRC capital charge captures default risk as well as migration risk for un-securitised credit products held in the Trading book. The internally developed model simulates via multivariate version of a Merton-type model the rating migration events of all the issuers relevant to the Group trading positions over a capital horizon of one year. The transition probabilities and the sector correlations are historically calibrated, while idiosyncratic correlations are derived from the IRB correlation formula. Simulated migration events are turned into credit spread scenarios while default events are associated to a simulated recovery rate. In doing so a constant position assumption is employed and products are conservatively all attributed a common liquidity horizon of 1 year. In each scenario all the relevant product inventory is revaluated under such spread and default events producing a simulated profit or loss (P&L) that fully reflects convexity, basis risk, portfolio effects and portfolio concentration risks. In this way a high number of paths Monte Carlo simulation generates a P&L distribution for the Group (and each leaf of its portfolio tree). IRC is defined as the 99.9 percentile of such loss distribution. Additional capital charge for securitisations and credit products not covered by IRC is evaluated through the standardised approach. The following table summarises the main characteristics of the different measures that define the capital requirement for market risk in UniCredit. MEASURE RISK TYPE HORIZON QUANTILE SIMULATION CALIBRATION VaR All Market Risk Factors 1d 99% Historical 1Y window, equally weighted SVaR All Market Risk Factors 1d 99% Historical 1Y window, equally weighted IRC Rating Migration & Default 1Y 99.9% Monte Carlo Through-the-cycle (min 8Y) The IRC Model is subject to a quarterly program of Stress tests aimed at evaluating the robustness of the model. The relevant parameters as Recovery Rates, Transition Probabilities, idiosyncratic correlation is shocked and the impact on the IRC measure is computed. “Group Internal Validation” performed its analyses to evaluate the conceptual soundness of the IRC model, to supplement the available analyses on that topic and to ensure the compliance of the resulting risk management environment with all the relevant regulatory requirements and internal standards. As already remarked by the regulation, traditional back-testing procedures, regarding the 99.9% one-year soundness standard for IRC, are not applicable due to the 1-year time horizon of the measure. Consequently, while validation of the IRC model relied heavily on indirect methods (including stress tests, sensitivity analysis and scenario analysis) in order to assess the qualitative and quantitative reasonableness of the model, special focus has indeed been given to the specific situation of UniCredit portfolios. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 382 2021 Annual Report and Accounts · UniCredit Although a valuable guide to risk, VaR should always be viewed within its limitations: • historical simulation relies on past occurrences to forecast potential losses. In case of regime shifts this might not be appropriate; • the length of the time window used to generate the forecasted distribution will necessarily embed a trade-off between the responsiveness of the metric to recent market evolutions (short window) and the spectrum of scenarios that will embed (long window); • assuming a constant one/ten-day horizon there is no discrimination between different risk-factor liquidity. Stressed VaR calculation is based on the very same methodology and architecture of the VaR, and it is analogously calculated with a 99% confidence level and 1-day time horizon on a weekly basis, but over a stressed observation period of 250 days. The chosen historical period identifies the 1-year observation window which produces the highest resulting measure for the current portfolio. Stress windows are recalibrated monthly and are tailored to the portfolio of each legal entity of the Group, plus the Group itself that is relevant for RWA calculation on a consolidated level. The SVaR window at Group level, at UniCredit Bank AG and UniCredit Bank Austria AG level corresponds to the “Lehman Crisis” (2008-2009), while for UniCredit S.p.A. solo level it is the “Sovereign Crisis” (2011-2012). The 10-day capital requirement is however obtained by extending the 1-day risk measure to the 10-day horizon taking the maximum of the square root of time scaling and a convolution approach that turns the one-day distribution into a 10-day distribution for both the VaR and the Stressed VaR. The 1-day measures are instead actively used for market risk management. In order to validate the consistency of VaR internal models used in calculating capital requirements on market risks, back-testing is performed by comparing the internal model risk estimates with the portfolio profit and loss, to check if the 99% of the trading outcomes is covered by the 99th percentile of the risk measures. The test is based on the last twelve months data (250 daily observations). In case the number of exceptions in the previous year exceeds what forecasted by the confidence level assumed, a careful revision of model parameters and assumptions is initiated. Group Internal Validation performed the periodic validation of the VaR/SVaR framework to assess the compliance with regulatory requirements including an independent back-testing analysis complemented with different parameterisations (e.g., different time horizon, percentile) and detailing the results for a set of representative portfolios of the Bank. The IRC capital charge captures default risk as well as migration risk for un-securitised credit products held in the Trading book. The internally developed model simulates via multivariate version of a Merton-type model the rating migration events of all the issuers relevant to the Group trading positions over a capital horizon of one year. The transition probabilities and the sector correlations are historically calibrated, while idiosyncratic correlations are derived from the IRB correlation formula. Simulated migration events are turned into credit spread scenarios while default events are associated to a simulated recovery rate. In doing so a constant position assumption is employed and products are conservatively all attributed a common liquidity horizon of 1 year. In each scenario all the relevant product inventory is revaluated under such spread and default events producing a simulated profit or loss (P&L) that fully reflects convexity, basis risk, portfolio effects and portfolio concentration risks. In this way a high number of paths Monte Carlo simulation generates a P&L distribution for the Group (and each leaf of its portfolio tree). IRC is defined as the 99.9 percentile of such loss distribution. Additional capital charge for securitisations and credit products not covered by IRC is evaluated through the standardised approach. The following table summarises the main characteristics of the different measures that define the capital requirement for market risk in UniCredit. MEASURE RISK TYPE HORIZON QUANTILE SIMULATION CALIBRATION VaR All Market Risk Factors 1d 99% Historical 1Y window, equally weighted SVaR All Market Risk Factors 1d 99% Historical 1Y window, equally weighted IRC Rating Migration & Default 1Y 99.9% Monte Carlo Through-the-cycle (min 8Y) The IRC Model is subject to a quarterly program of Stress tests aimed at evaluating the robustness of the model. The relevant parameters as Recovery Rates, Transition Probabilities, idiosyncratic correlation is shocked and the impact on the IRC measure is computed. “Group Internal Validation” performed its analyses to evaluate the conceptual soundness of the IRC model, to supplement the available analyses on that topic and to ensure the compliance of the resulting risk management environment with all the relevant regulatory requirements and internal standards. As already remarked by the regulation, traditional back-testing procedures, regarding the 99.9% one-year soundness standard for IRC, are not applicable due to the 1-year time horizon of the measure. Consequently, while validation of the IRC model relied heavily on indirect methods (including stress tests, sensitivity analysis and scenario analysis) in order to assess the qualitative and quantitative reasonableness of the model, special focus has indeed been given to the specific situation of UniCredit portfolios. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 383 Group Internal Validation Unit kept the scope of their analyses as wide as possible in order to comprise the many diverse issues that are acting concurrently in such a model (general model design, regulatory compliance, numerical implementation, outcomes explanation). Group Internal Validation performed a full spectrum of validation analyses on the IRC measure calculation using its internal replica libraries. The replica allows a simple verification of the results provided by the productive environment, and in addition opens the door to a more dynamical and tailored implementation of the needed tests. The spectrum of analysis encompassed Monte Carlo stability, correlation analysis and stressing, assessment on portfolio concentration, calculation of parameters sensitivity, marginal contribution analysis, alternative models’ comparisons. All major parameters were tested, i.e., correlation matrices, transition probabilities matrices, transition shocks, recovery rates, probabilities of default, number of scenarios. To understand the overall performance of the model in replicating the real-world migration and default phenomena, Group Internal Validation also performed a historical performance exercise comparing the migrations and defaults predicted by UniCredit IRC model with the ones actually observed since 1981 (due to data availability). Banca d’Italia authorised UniCredit group to use internal models for the calculation of capital requirements for market risk. As of today, the Group legal entities within CEE countries are the ones that are mainly using the standardised approach for calculating capital requirements relating to trading positions. However, the VaR measure is used for the management of market risk in the abovementioned entities. For Trading book VaR the bank differentiates between regulatory and managerial views. The managerial measure is used for Risk monitoring and Business steering purposes as prescribed by Market Risk Framework: in particular VaR limits represent the main metric translating the Risk Appetite into the Market Risk framework. The managerial VaR has a wider scope: it is used to monitor both Trading book and Banking book perimeter (specifically FVtPL and FVtOCI positions), also including legal entities for which the standardised measurement method is applied for Regulatory purposes, in order to have a complete picture of risk through PL and capital. Furthermore, the exposure coming from hedges of the XVA sensitivities is excluded from managerial VaR monitoring but included in the Regulatory VaR limits in order to allow a proper steering of MRWA; additionally, respective sensitivities are closely monitored against XVA risk. The standardised measurement method is also applied to the calculation of capital covering the risk of holding Banking book exposure in foreign currencies for UniCredit S.p.A. That do not have an approval for FX Risk simulation under Internal Model. In this respect the FX risk for both Trading and the Banking book is included in VaR and SVaR for Regulatory purposes as for the approved legal entities (UniCredit Bank AG and UniCredit Bank Austria AG); as regards the managerial view the FX Risk of Banking book is included in the Overall (Trading book and Banking book) VaR. UniCredit Internal Model Approach includes the Risk Not In Model Engine framework, that provides an estimate on the completeness of the risk factors included in VaR, SVaR and IRC. Although RNIME program shows that UniCredit IMA captures adequately the material price risks, since fourth quarter 2019 UniCredit computes via Stress Test a prudential capital add-on. To sum up, the Internal Model approach is used for Regulatory purposes for UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG, and UniCredit Bank Austria sub-group, while it is used for all legal entities (including CEE countries) for managerial purposes. Finally Trading portfolios are subject to Stress tests according to a wide range of simple and complex scenarios. Simple scenarios which envisage the shock of single asset classes, are defined in the context of Interest Rate Risk/Price Risk/Exchange Rate Risk/Credit Spread Risk Sensitivity. Complex scenarios apply simultaneous changes on several risk factors. Both simple and complex scenarios are applied to the whole Trading book. Detailed descriptions are included in the paragraph on the Stress test. Stress tests results are calculated in the Group Market Risk system, thus ensuring a common methodological approach across the Group. Results are calculated applying a full revaluation approach meaning that all positions are revalued under stressed conditions; no ad hoc models or pricing functions are applied for stress testing. According to national regulations, some relevant scenarios are also a matter of regulatory reporting on a quarterly basis. In addition, a set of scenarios is run monthly on overall Group perimeter, thus covering both Trading and Banking book positions. Results are discussed monthly in Market Risk Stress Test Open Forum involving Market Risk function’s representatives of all the legal entities and Business’ representatives. Results are analysed in depth in the monthly report “Monthly Overview on Market Stress Test”. Stress test Warning levels Usage is monitored monthly. More details on Warning Levels and Strategy are given in the previous paragraph Risk management strategies and processes. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 383 Group Internal Validation Unit kept the scope of their analyses as wide as possible in order to comprise the many diverse issues that are acting concurrently in such a model (general model design, regulatory compliance, numerical implementation, outcomes explanation). Group Internal Validation performed a full spectrum of validation analyses on the IRC measure calculation using its internal replica libraries. The replica allows a simple verification of the results provided by the productive environment, and in addition opens the door to a more dynamical and tailored implementation of the needed tests. The spectrum of analysis encompassed Monte Carlo stability, correlation analysis and stressing, assessment on portfolio concentration, calculation of parameters sensitivity, marginal contribution analysis, alternative models’ comparisons. All major parameters were tested, i.e., correlation matrices, transition probabilities matrices, transition shocks, recovery rates, probabilities of default, number of scenarios. To understand the overall performance of the model in replicating the real-world migration and default phenomena, Group Internal Validation also performed a historical performance exercise comparing the migrations and defaults predicted by UniCredit IRC model with the ones actually observed since 1981 (due to data availability). Banca d’Italia authorised UniCredit group to use internal models for the calculation of capital requirements for market risk. As of today, the Group legal entities within CEE countries are the ones that are mainly using the standardised approach for calculating capital requirements relating to trading positions. However, the VaR measure is used for the management of market risk in the abovementioned entities. For Trading book VaR the bank differentiates between regulatory and managerial views. The managerial measure is used for Risk monitoring and Business steering purposes as prescribed by Market Risk Framework: in particular VaR limits represent the main metric translating the Risk Appetite into the Market Risk framework. The managerial VaR has a wider scope: it is used to monitor both Trading book and Banking book perimeter (specifically FVtPL and FVtOCI positions), also including legal entities for which the standardised measurement method is applied for Regulatory purposes, in order to have a complete picture of risk through PL and capital. Furthermore, the exposure coming from hedges of the XVA sensitivities is excluded from managerial VaR monitoring but included in the Regulatory VaR limits in order to allow a proper steering of MRWA; additionally, respective sensitivities are closely monitored against XVA risk. The standardised measurement method is also applied to the calculation of capital covering the risk of holding Banking book exposure in foreign currencies for UniCredit S.p.A. That do not have an approval for FX Risk simulation under Internal Model. In this respect the FX risk for both Trading and the Banking book is included in VaR and SVaR for Regulatory purposes as for the approved legal entities (UniCredit Bank AG and UniCredit Bank Austria AG); as regards the managerial view the FX Risk of Banking book is included in the Overall (Trading book and Banking book) VaR. UniCredit Internal Model Approach includes the Risk Not In Model Engine framework, that provides an estimate on the completeness of the risk factors included in VaR, SVaR and IRC. Although RNIME program shows that UniCredit IMA captures adequately the material price risks, since fourth quarter 2019 UniCredit computes via Stress Test a prudential capital add-on. To sum up, the Internal Model approach is used for Regulatory purposes for UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG, and UniCredit Bank Austria sub-group, while it is used for all legal entities (including CEE countries) for managerial purposes. Finally Trading portfolios are subject to Stress tests according to a wide range of simple and complex scenarios. Simple scenarios which envisage the shock of single asset classes, are defined in the context of Interest Rate Risk/Price Risk/Exchange Rate Risk/Credit Spread Risk Sensitivity. Complex scenarios apply simultaneous changes on several risk factors. Both simple and complex scenarios are applied to the whole Trading book. Detailed descriptions are included in the paragraph on the Stress test. Stress tests results are calculated in the Group Market Risk system, thus ensuring a common methodological approach across the Group. Results are calculated applying a full revaluation approach meaning that all positions are revalued under stressed conditions; no ad hoc models or pricing functions are applied for stress testing. According to national regulations, some relevant scenarios are also a matter of regulatory reporting on a quarterly basis. In addition, a set of scenarios is run monthly on overall Group perimeter, thus covering both Trading and Banking book positions. Results are discussed monthly in Market Risk Stress Test Open Forum involving Market Risk function’s representatives of all the legal entities and Business’ representatives. Results are analysed in depth in the monthly report “Monthly Overview on Market Stress Test”. Stress test Warning levels Usage is monitored monthly. More details on Warning Levels and Strategy are given in the previous paragraph Risk management strategies and processes. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 383 Group Internal Validation Unit kept the scope of their analyses as wide as possible in order to comprise the many diverse issues that are acting concurrently in such a model (general model design, regulatory compliance, numerical implementation, outcomes explanation). Group Internal Validation performed a full spectrum of validation analyses on the IRC measure calculation using its internal replica libraries. The replica allows a simple verification of the results provided by the productive environment, and in addition opens the door to a more dynamical and tailored implementation of the needed tests. The spectrum of analysis encompassed Monte Carlo stability, correlation analysis and stressing, assessment on portfolio concentration, calculation of parameters sensitivity, marginal contribution analysis, alternative models’ comparisons. All major parameters were tested, i.e., correlation matrices, transition probabilities matrices, transition shocks, recovery rates, probabilities of default, number of scenarios. To understand the overall performance of the model in replicating the real-world migration and default phenomena, Group Internal Validation also performed a historical performance exercise comparing the migrations and defaults predicted by UniCredit IRC model with the ones actually observed since 1981 (due to data availability). Banca d’Italia authorised UniCredit group to use internal models for the calculation of capital requirements for market risk. As of today, the Group legal entities within CEE countries are the ones that are mainly using the standardised approach for calculating capital requirements relating to trading positions. However, the VaR measure is used for the management of market risk in the abovementioned entities. For Trading book VaR the bank differentiates between regulatory and managerial views. The managerial measure is used for Risk monitoring and Business steering purposes as prescribed by Market Risk Framework: in particular VaR limits represent the main metric translating the Risk Appetite into the Market Risk framework. The managerial VaR has a wider scope: it is used to monitor both Trading book and Banking book perimeter (specifically FVtPL and FVtOCI positions), also including legal entities for which the standardised measurement method is applied for Regulatory purposes, in order to have a complete picture of risk through PL and capital. Furthermore, the exposure coming from hedges of the XVA sensitivities is excluded from managerial VaR monitoring but included in the Regulatory VaR limits in order to allow a proper steering of MRWA; additionally, respective sensitivities are closely monitored against XVA risk. The standardised measurement method is also applied to the calculation of capital covering the risk of holding Banking book exposure in foreign currencies for UniCredit S.p.A. That do not have an approval for FX Risk simulation under Internal Model. In this respect the FX risk for both Trading and the Banking book is included in VaR and SVaR for Regulatory purposes as for the approved legal entities (UniCredit Bank AG and UniCredit Bank Austria AG); as regards the managerial view the FX Risk of Banking book is included in the Overall (Trading book and Banking book) VaR. UniCredit Internal Model Approach includes the Risk Not In Model Engine framework, that provides an estimate on the completeness of the risk factors included in VaR, SVaR and IRC. Although RNIME program shows that UniCredit IMA captures adequately the material price risks, since fourth quarter 2019 UniCredit computes via Stress Test a prudential capital add-on. To sum up, the Internal Model approach is used for Regulatory purposes for UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG, and UniCredit Bank Austria sub-group, while it is used for all legal entities (including CEE countries) for managerial purposes. Finally Trading portfolios are subject to Stress tests according to a wide range of simple and complex scenarios. Simple scenarios which envisage the shock of single asset classes, are defined in the context of Interest Rate Risk/Price Risk/Exchange Rate Risk/Credit Spread Risk Sensitivity. Complex scenarios apply simultaneous changes on several risk factors. Both simple and complex scenarios are applied to the whole Trading book. Detailed descriptions are included in the paragraph on the Stress test. Stress tests results are calculated in the Group Market Risk system, thus ensuring a common methodological approach across the Group. Results are calculated applying a full revaluation approach meaning that all positions are revalued under stressed conditions; no ad hoc models or pricing functions are applied for stress testing. According to national regulations, some relevant scenarios are also a matter of regulatory reporting on a quarterly basis. In addition, a set of scenarios is run monthly on overall Group perimeter, thus covering both Trading and Banking book positions. Results are discussed monthly in Market Risk Stress Test Open Forum involving Market Risk function’s representatives of all the legal entities and Business’ representatives. Results are analysed in depth in the monthly report “Monthly Overview on Market Stress Test”. Stress test Warning levels Usage is monitored monthly. More details on Warning Levels and Strategy are given in the previous paragraph Risk management strategies and processes. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 383 Group Internal Validation Unit kept the scope of their analyses as wide as possible in order to comprise the many diverse issues that are acting concurrently in such a model (general model design, regulatory compliance, numerical implementation, outcomes explanation). Group Internal Validation performed a full spectrum of validation analyses on the IRC measure calculation using its internal replica libraries. The replica allows a simple verification of the results provided by the productive environment, and in addition opens the door to a more dynamical and tailored implementation of the needed tests. The spectrum of analysis encompassed Monte Carlo stability, correlation analysis and stressing, assessment on portfolio concentration, calculation of parameters sensitivity, marginal contribution analysis, alternative models’ comparisons. All major parameters were tested, i.e., correlation matrices, transition probabilities matrices, transition shocks, recovery rates, probabilities of default, number of scenarios. To understand the overall performance of the model in replicating the real-world migration and default phenomena, Group Internal Validation also performed a historical performance exercise comparing the migrations and defaults predicted by UniCredit IRC model with the ones actually observed since 1981 (due to data availability). Banca d’Italia authorised UniCredit group to use internal models for the calculation of capital requirements for market risk. As of today, the Group legal entities within CEE countries are the ones that are mainly using the standardised approach for calculating capital requirements relating to trading positions. However, the VaR measure is used for the management of market risk in the abovementioned entities. For Trading book VaR the bank differentiates between regulatory and managerial views. The managerial measure is used for Risk monitoring and Business steering purposes as prescribed by Market Risk Framework: in particular VaR limits represent the main metric translating the Risk Appetite into the Market Risk framework. The managerial VaR has a wider scope: it is used to monitor both Trading book and Banking book perimeter (specifically FVtPL and FVtOCI positions), also including legal entities for which the standardised measurement method is applied for Regulatory purposes, in order to have a complete picture of risk through PL and capital. Furthermore, the exposure coming from hedges of the XVA sensitivities is excluded from managerial VaR monitoring but included in the Regulatory VaR limits in order to allow a proper steering of MRWA; additionally, respective sensitivities are closely monitored against XVA risk. The standardised measurement method is also applied to the calculation of capital covering the risk of holding Banking book exposure in foreign currencies for UniCredit S.p.A. That do not have an approval for FX Risk simulation under Internal Model. In this respect the FX risk for both Trading and the Banking book is included in VaR and SVaR for Regulatory purposes as for the approved legal entities (UniCredit Bank AG and UniCredit Bank Austria AG); as regards the managerial view the FX Risk of Banking book is included in the Overall (Trading book and Banking book) VaR. UniCredit Internal Model Approach includes the Risk Not In Model Engine framework, that provides an estimate on the completeness of the risk factors included in VaR, SVaR and IRC. Although RNIME program shows that UniCredit IMA captures adequately the material price risks, since fourth quarter 2019 UniCredit computes via Stress Test a prudential capital add-on. To sum up, the Internal Model approach is used for Regulatory purposes for UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG, and UniCredit Bank Austria sub-group, while it is used for all legal entities (including CEE countries) for managerial purposes. Finally Trading portfolios are subject to Stress tests according to a wide range of simple and complex scenarios. Simple scenarios which envisage the shock of single asset classes, are defined in the context of Interest Rate Risk/Price Risk/Exchange Rate Risk/Credit Spread Risk Sensitivity. Complex scenarios apply simultaneous changes on several risk factors. Both simple and complex scenarios are applied to the whole Trading book. Detailed descriptions are included in the paragraph on the Stress test. Stress tests results are calculated in the Group Market Risk system, thus ensuring a common methodological approach across the Group. Results are calculated applying a full revaluation approach meaning that all positions are revalued under stressed conditions; no ad hoc models or pricing functions are applied for stress testing. According to national regulations, some relevant scenarios are also a matter of regulatory reporting on a quarterly basis. In addition, a set of scenarios is run monthly on overall Group perimeter, thus covering both Trading and Banking book positions. Results are discussed monthly in Market Risk Stress Test Open Forum involving Market Risk function’s representatives of all the legal entities and Business’ representatives. Results are analysed in depth in the monthly report “Monthly Overview on Market Stress Test”. Stress test Warning levels Usage is monitored monthly. More details on Warning Levels and Strategy are given in the previous paragraph Risk management strategies and processes. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 383 Group Internal Validation Unit kept the scope of their analyses as wide as possible in order to comprise the many diverse issues that are acting concurrently in such a model (general model design, regulatory compliance, numerical implementation, outcomes explanation). Group Internal Validation performed a full spectrum of validation analyses on the IRC measure calculation using its internal replica libraries. The replica allows a simple verification of the results provided by the productive environment, and in addition opens the door to a more dynamical and tailored implementation of the needed tests. The spectrum of analysis encompassed Monte Carlo stability, correlation analysis and stressing, assessment on portfolio concentration, calculation of parameters sensitivity, marginal contribution analysis, alternative models’ comparisons. All major parameters were tested, i.e., correlation matrices, transition probabilities matrices, transition shocks, recovery rates, probabilities of default, number of scenarios. To understand the overall performance of the model in replicating the real-world migration and default phenomena, Group Internal Validation also performed a historical performance exercise comparing the migrations and defaults predicted by UniCredit IRC model with the ones actually observed since 1981 (due to data availability). Banca d’Italia authorised UniCredit group to use internal models for the calculation of capital requirements for market risk. As of today, the Group legal entities within CEE countries are the ones that are mainly using the standardised approach for calculating capital requirements relating to trading positions. However, the VaR measure is used for the management of market risk in the abovementioned entities. For Trading book VaR the bank differentiates between regulatory and managerial views. The managerial measure is used for Risk monitoring and Business steering purposes as prescribed by Market Risk Framework: in particular VaR limits represent the main metric translating the Risk Appetite into the Market Risk framework. The managerial VaR has a wider scope: it is used to monitor both Trading book and Banking book perimeter (specifically FVtPL and FVtOCI positions), also including legal entities for which the standardised measurement method is applied for Regulatory purposes, in order to have a complete picture of risk through PL and capital. Furthermore, the exposure coming from hedges of the XVA sensitivities is excluded from managerial VaR monitoring but included in the Regulatory VaR limits in order to allow a proper steering of MRWA; additionally, respective sensitivities are closely monitored against XVA risk. The standardised measurement method is also applied to the calculation of capital covering the risk of holding Banking book exposure in foreign currencies for UniCredit S.p.A. That do not have an approval for FX Risk simulation under Internal Model. In this respect the FX risk for both Trading and the Banking book is included in VaR and SVaR for Regulatory purposes as for the approved legal entities (UniCredit Bank AG and UniCredit Bank Austria AG); as regards the managerial view the FX Risk of Banking book is included in the Overall (Trading book and Banking book) VaR. UniCredit Internal Model Approach includes the Risk Not In Model Engine framework, that provides an estimate on the completeness of the risk factors included in VaR, SVaR and IRC. Although RNIME program shows that UniCredit IMA captures adequately the material price risks, since fourth quarter 2019 UniCredit computes via Stress Test a prudential capital add-on. To sum up, the Internal Model approach is used for Regulatory purposes for UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG, and UniCredit Bank Austria sub-group, while it is used for all legal entities (including CEE countries) for managerial purposes. Finally Trading portfolios are subject to Stress tests according to a wide range of simple and complex scenarios. Simple scenarios which envisage the shock of single asset classes, are defined in the context of Interest Rate Risk/Price Risk/Exchange Rate Risk/Credit Spread Risk Sensitivity. Complex scenarios apply simultaneous changes on several risk factors. Both simple and complex scenarios are applied to the whole Trading book. Detailed descriptions are included in the paragraph on the Stress test. Stress tests results are calculated in the Group Market Risk system, thus ensuring a common methodological approach across the Group. Results are calculated applying a full revaluation approach meaning that all positions are revalued under stressed conditions; no ad hoc models or pricing functions are applied for stress testing. According to national regulations, some relevant scenarios are also a matter of regulatory reporting on a quarterly basis. In addition, a set of scenarios is run monthly on overall Group perimeter, thus covering both Trading and Banking book positions. Results are discussed monthly in Market Risk Stress Test Open Forum involving Market Risk function’s representatives of all the legal entities and Business’ representatives. Results are analysed in depth in the monthly report “Monthly Overview on Market Stress Test”. Stress test Warning levels Usage is monitored monthly. More details on Warning Levels and Strategy are given in the previous paragraph Risk management strategies and processes. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 384 2021 Annual Report and Accounts · UniCredit Effects arising from Covid-19 pandemic After the sharp increase of both managerial and regulatory market risk metrics caused by the outbreak of Covid-19 during the first half of 2020, the evolution of the crisis and the related risk metrics development is under strict monitoring by both risk and business functions. The cautious approach adopted in positions management since the beginning of the crisis resulted in a progressive relief in limits utilization. VaR, SVaR and IRC Diversified VaR, SVaR and IRC are calculated taking into account the diversification arising from positions taken by different entities within the Imod perimeter (i.e. for which the use of the internal model for the risk calculation is approved). VaR is however in place for all the Legal Entities and its value is reported in Managerial VaR section for information purpose. The VaR and SVaR increase, observed starting from December 2021, is mainly driven by Commodity risk in the Trading book of UniCredit Bank AG, reflecting an increase of volatility in the Energy market. While the IRC increase, observed in the first half of the fourth quarter of 2021, is mainly driven by a higher exposure towards Republic of Italy in the Trading book of UniCredit S.p.A. Risk on trading book Daily VaR on Regulatory Trading book (€ million) END OF DECEMBER 2021 AVERAGE LAST 60 DAYS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 9.3 7.1 7.0 19.8 4.4 16.7 Risk on trading book SVaR on Regulatory Trading Book (€ million) END OF DECEMBER 2021 AVERAGE LAST 12 WEEKS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 34.5 25.6 21.5 34.5 17.2 31.5 Risk on trading book IRC on Regulatory Trading Book (€ million) END OF DECEMBER 2021 AVERAGE LAST 12 WEEKS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 110.5 139.1 149.6 189.1 107.8 160.0 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 384 2021 Annual Report and Accounts · UniCredit Effects arising from Covid-19 pandemic After the sharp increase of both managerial and regulatory market risk metrics caused by the outbreak of Covid-19 during the first half of 2020, the evolution of the crisis and the related risk metrics development is under strict monitoring by both risk and business functions. The cautious approach adopted in positions management since the beginning of the crisis resulted in a progressive relief in limits utilization. VaR, SVaR and IRC Diversified VaR, SVaR and IRC are calculated taking into account the diversification arising from positions taken by different entities within the Imod perimeter (i.e. for which the use of the internal model for the risk calculation is approved). VaR is however in place for all the Legal Entities and its value is reported in Managerial VaR section for information purpose. The VaR and SVaR increase, observed starting from December 2021, is mainly driven by Commodity risk in the Trading book of UniCredit Bank AG, reflecting an increase of volatility in the Energy market. While the IRC increase, observed in the first half of the fourth quarter of 2021, is mainly driven by a higher exposure towards Republic of Italy in the Trading book of UniCredit S.p.A. Risk on trading book Daily VaR on Regulatory Trading book (€ million) END OF DECEMBER 2021 AVERAGE LAST 60 DAYS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 9.3 7.1 7.0 19.8 4.4 16.7 Risk on trading book SVaR on Regulatory Trading Book (€ million) END OF DECEMBER 2021 AVERAGE LAST 12 WEEKS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 34.5 25.6 21.5 34.5 17.2 31.5 Risk on trading book IRC on Regulatory Trading Book (€ million) END OF DECEMBER 2021 AVERAGE LAST 12 WEEKS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 110.5 139.1 149.6 189.1 107.8 160.0 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 384 2021 Annual Report and Accounts · UniCredit Effects arising from Covid-19 pandemic After the sharp increase of both managerial and regulatory market risk metrics caused by the outbreak of Covid-19 during the first half of 2020, the evolution of the crisis and the related risk metrics development is under strict monitoring by both risk and business functions. The cautious approach adopted in positions management since the beginning of the crisis resulted in a progressive relief in limits utilization. VaR, SVaR and IRC Diversified VaR, SVaR and IRC are calculated taking into account the diversification arising from positions taken by different entities within the Imod perimeter (i.e. for which the use of the internal model for the risk calculation is approved). VaR is however in place for all the Legal Entities and its value is reported in Managerial VaR section for information purpose. The VaR and SVaR increase, observed starting from December 2021, is mainly driven by Commodity risk in the Trading book of UniCredit Bank AG, reflecting an increase of volatility in the Energy market. While the IRC increase, observed in the first half of the fourth quarter of 2021, is mainly driven by a higher exposure towards Republic of Italy in the Trading book of UniCredit S.p.A. Risk on trading book Daily VaR on Regulatory Trading book (€ million) END OF DECEMBER 2021 AVERAGE LAST 60 DAYS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 9.3 7.1 7.0 19.8 4.4 16.7 Risk on trading book SVaR on Regulatory Trading Book (€ million) END OF DECEMBER 2021 AVERAGE LAST 12 WEEKS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 34.5 25.6 21.5 34.5 17.2 31.5 Risk on trading book IRC on Regulatory Trading Book (€ million) END OF DECEMBER 2021 AVERAGE LAST 12 WEEKS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 110.5 139.1 149.6 189.1 107.8 160.0 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 384 2021 Annual Report and Accounts · UniCredit Effects arising from Covid-19 pandemic After the sharp increase of both managerial and regulatory market risk metrics caused by the outbreak of Covid-19 during the first half of 2020, the evolution of the crisis and the related risk metrics development is under strict monitoring by both risk and business functions. The cautious approach adopted in positions management since the beginning of the crisis resulted in a progressive relief in limits utilization. VaR, SVaR and IRC Diversified VaR, SVaR and IRC are calculated taking into account the diversification arising from positions taken by different entities within the Imod perimeter (i.e. for which the use of the internal model for the risk calculation is approved). VaR is however in place for all the Legal Entities and its value is reported in Managerial VaR section for information purpose. The VaR and SVaR increase, observed starting from December 2021, is mainly driven by Commodity risk in the Trading book of UniCredit Bank AG, reflecting an increase of volatility in the Energy market. While the IRC increase, observed in the first half of the fourth quarter of 2021, is mainly driven by a higher exposure towards Republic of Italy in the Trading book of UniCredit S.p.A. Risk on trading book Daily VaR on Regulatory Trading book (€ million) END OF DECEMBER 2021 AVERAGE LAST 60 DAYS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 9.3 7.1 7.0 19.8 4.4 16.7 Risk on trading book SVaR on Regulatory Trading Book (€ million) END OF DECEMBER 2021 AVERAGE LAST 12 WEEKS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 34.5 25.6 21.5 34.5 17.2 31.5 Risk on trading book IRC on Regulatory Trading Book (€ million) END OF DECEMBER 2021 AVERAGE LAST 12 WEEKS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 110.5 139.1 149.6 189.1 107.8 160.0 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 384 2021 Annual Report and Accounts · UniCredit Effects arising from Covid-19 pandemic After the sharp increase of both managerial and regulatory market risk metrics caused by the outbreak of Covid-19 during the first half of 2020, the evolution of the crisis and the related risk metrics development is under strict monitoring by both risk and business functions. The cautious approach adopted in positions management since the beginning of the crisis resulted in a progressive relief in limits utilization. VaR, SVaR and IRC Diversified VaR, SVaR and IRC are calculated taking into account the diversification arising from positions taken by different entities within the Imod perimeter (i.e. for which the use of the internal model for the risk calculation is approved). VaR is however in place for all the Legal Entities and its value is reported in Managerial VaR section for information purpose. The VaR and SVaR increase, observed starting from December 2021, is mainly driven by Commodity risk in the Trading book of UniCredit Bank AG, reflecting an increase of volatility in the Energy market. While the IRC increase, observed in the first half of the fourth quarter of 2021, is mainly driven by a higher exposure towards Republic of Italy in the Trading book of UniCredit S.p.A. Risk on trading book Daily VaR on Regulatory Trading book (€ million) END OF DECEMBER 2021 AVERAGE LAST 60 DAYS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 9.3 7.1 7.0 19.8 4.4 16.7 Risk on trading book SVaR on Regulatory Trading Book (€ million) END OF DECEMBER 2021 AVERAGE LAST 12 WEEKS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 34.5 25.6 21.5 34.5 17.2 31.5 Risk on trading book IRC on Regulatory Trading Book (€ million) END OF DECEMBER 2021 AVERAGE LAST 12 WEEKS 2021 2020 I-MOD PERIMETER AVERAGE MAX MIN AVERAGE Diversified UniCredit group 110.5 139.1 149.6 189.1 107.8 160.0 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 385 EU MR4 Comparison of VaR estimates with gain/losses The following graph shows back-testing results referred to the market risk on the Trading book, in which VaR results for the last twelve months are compared to the hypothetical “profit and loss” results for Group (I-Mod Perimeter). During the second semester of 2021, two hypothetical PL’s overdrafts and two actual PL’s overdraft occurred at UniCredit group level: • 12/08/2021 (Hypothetical and Actual P&L): mostly driven by an increase of volatility in the Energy market; • 12/22/2021 (Hypothetical and Actual P&L): mostly driven by the combined effect of an increase of volatility in the Energy market, and of Interest Rate and Foreign Exchange Rate movements. -25-20-15-10-5 - 5 10 15 20 25(€ million)VaR 1dHypothetical P&LConsolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 385 EU MR4 Comparison of VaR estimates with gain/losses The following graph shows back-testing results referred to the market risk on the Trading book, in which VaR results for the last twelve months are compared to the hypothetical “profit and loss” results for Group (I-Mod Perimeter). During the second semester of 2021, two hypothetical PL’s overdrafts and two actual PL’s overdraft occurred at UniCredit group level: • 12/08/2021 (Hypothetical and Actual P&L): mostly driven by an increase of volatility in the Energy market; • 12/22/2021 (Hypothetical and Actual P&L): mostly driven by the combined effect of an increase of volatility in the Energy market, and of Interest Rate and Foreign Exchange Rate movements. -25-20-15-10-5 - 5 10 15 20 25(€ million)VaR 1dHypothetical P&LConsolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 385 EU MR4 Comparison of VaR estimates with gain/losses The following graph shows back-testing results referred to the market risk on the Trading book, in which VaR results for the last twelve months are compared to the hypothetical “profit and loss” results for Group (I-Mod Perimeter). During the second semester of 2021, two hypothetical PL’s overdrafts and two actual PL’s overdraft occurred at UniCredit group level: • 12/08/2021 (Hypothetical and Actual P&L): mostly driven by an increase of volatility in the Energy market; • 12/22/2021 (Hypothetical and Actual P&L): mostly driven by the combined effect of an increase of volatility in the Energy market, and of Interest Rate and Foreign Exchange Rate movements. -25-20-15-10-5 - 5 10 15 20 25(€ million)VaR 1dHypothetical P&LConsolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 385 EU MR4 Comparison of VaR estimates with gain/losses The following graph shows back-testing results referred to the market risk on the Trading book, in which VaR results for the last twelve months are compared to the hypothetical “profit and loss” results for Group (I-Mod Perimeter). During the second semester of 2021, two hypothetical PL’s overdrafts and two actual PL’s overdraft occurred at UniCredit group level: • 12/08/2021 (Hypothetical and Actual P&L): mostly driven by an increase of volatility in the Energy market; • 12/22/2021 (Hypothetical and Actual P&L): mostly driven by the combined effect of an increase of volatility in the Energy market, and of Interest Rate and Foreign Exchange Rate movements. -25-20-15-10-5 - 5 10 15 20 25(€ million)VaR 1dHypothetical P&LConsolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 385 EU MR4 Comparison of VaR estimates with gain/losses The following graph shows back-testing results referred to the market risk on the Trading book, in which VaR results for the last twelve months are compared to the hypothetical “profit and loss” results for Group (I-Mod Perimeter). During the second semester of 2021, two hypothetical PL’s overdrafts and two actual PL’s overdraft occurred at UniCredit group level: • 12/08/2021 (Hypothetical and Actual P&L): mostly driven by an increase of volatility in the Energy market; • 12/22/2021 (Hypothetical and Actual P&L): mostly driven by the combined effect of an increase of volatility in the Energy market, and of Interest Rate and Foreign Exchange Rate movements. -25-20-15-10-5 - 5 10 15 20 25(€ million)VaR 1dHypothetical P&LConsolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 386 2021 Annual Report and Accounts · UniCredit Managerial VaR Below are reported the Managerial Diversified Trading book VaR as of end of December 2021 at Group and Regional Centre levels and the Undiversified Trading book VaR at Group level, calculated as sum of the values of all Legal Entities (without considering diversification benefit). Difference with Regulatory Trading book was described above. Daily VaR on Managerial Trading Book (€ million) TRADING BOOK END OF DECEMBER 2021 Diversified UniCredit group as per internal model 8.1 RC Germany 7.2 RC Italy 1.3 RC Austria 0.2 RC CEE 0.9 Bosnia Herzegovina 0.0 Bulgaria 0.2 Croatia 0.2 Czech Republic 0.7 Hungary 0.4 Romania 0.4 Russia 0.4 Serbia 0.0 Slovenia 0.0 Undiversified UniCredit group 11.1 Marginal Regulatory VaR The table below provides a breakdown of 10-days VaR figure (i.e. referred to a 10-days’ time horizon) according to the different market risks (debt, equity, FX, commodities) and its evolution during the year, in the form of template C24 of COREP. Risk on Trading book by instruments classes 10-days VaR on Regulatory Trading book (€ million) 2021 2020 Q1 Q2 Q3 Q4 Q4 Traded Debt Instruments 33.3 13.4 16.6 20.6 38.2 TDI - General Risk 21.4 13.8 16.0 20.5 23.2 TDI - Specific Risk 32.2 6.8 6.4 6.4 26.0 Equities 10.3 6.6 5.0 4.0 11.3 Equities - General Risk - - - - - Equities - Specific Risk 10.3 6.6 5.0 4.0 11.3 Foreign Exchange Risk 7.5 5.3 4.2 3.1 9.4 Commodities Risk 19.3 9.3 7.0 13.3 14.8 Total Amount For General Risk 30.8 16.9 17.9 23.5 26.8 Total Amount For Specific Risk 20.5 6.8 6.5 6.6 20.7 The VaR increase compared to Q3 ‘21 observed starting from December 2021, is mainly driven by Commodity risk in the Trading book of UniCredit Bank AG, reflecting an increase of volatility in the Energy market. CVA The CVA charge data values for the Trading book for the Group are reported below (as sum of the individual legal entities charges since the diversification benefit is not considered). The charge accounts for the credit-spread volatility affecting regulatory CVA. It consists of a VaR figure computed over the current window (CVA VaR) and a VaR figure computed over a stressed window (CVA SVaR). For exposures not covered by the CCR Internal model (used to calculate CVA exposure profiles) the standardised approach (SA) is used. The mitigation of the XVA exposure across UniCredit group "Western Europe" perimeter is managed by a dedicated CVA Desk, whose mandate is to provide a centralised Front Office service function in Markets with the responsibility for XVA pricing & exposure management for OTC derivatives. The CVA Desk actively hedges the exposure to risk factors within the prescribed limit framework in UCI S.p.A., UCB AG and UCBA AG. In the fourth quarter of 2021, the Own Fund Requirements due to CVA under Advance model remains relatively stable with respect of the level reached in the third quarter of 2021. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 386 2021 Annual Report and Accounts · UniCredit Managerial VaR Below are reported the Managerial Diversified Trading book VaR as of end of December 2021 at Group and Regional Centre levels and the Undiversified Trading book VaR at Group level, calculated as sum of the values of all Legal Entities (without considering diversification benefit). Difference with Regulatory Trading book was described above. Daily VaR on Managerial Trading Book (€ million) TRADING BOOK END OF DECEMBER 2021 Diversified UniCredit group as per internal model 8.1 RC Germany 7.2 RC Italy 1.3 RC Austria 0.2 RC CEE 0.9 Bosnia Herzegovina 0.0 Bulgaria 0.2 Croatia 0.2 Czech Republic 0.7 Hungary 0.4 Romania 0.4 Russia 0.4 Serbia 0.0 Slovenia 0.0 Undiversified UniCredit group 11.1 Marginal Regulatory VaR The table below provides a breakdown of 10-days VaR figure (i.e. referred to a 10-days’ time horizon) according to the different market risks (debt, equity, FX, commodities) and its evolution during the year, in the form of template C24 of COREP. Risk on Trading book by instruments classes 10-days VaR on Regulatory Trading book (€ million) 2021 2020 Q1 Q2 Q3 Q4 Q4 Traded Debt Instruments 33.3 13.4 16.6 20.6 38.2 TDI - General Risk 21.4 13.8 16.0 20.5 23.2 TDI - Specific Risk 32.2 6.8 6.4 6.4 26.0 Equities 10.3 6.6 5.0 4.0 11.3 Equities - General Risk - - - - - Equities - Specific Risk 10.3 6.6 5.0 4.0 11.3 Foreign Exchange Risk 7.5 5.3 4.2 3.1 9.4 Commodities Risk 19.3 9.3 7.0 13.3 14.8 Total Amount For General Risk 30.8 16.9 17.9 23.5 26.8 Total Amount For Specific Risk 20.5 6.8 6.5 6.6 20.7 The VaR increase compared to Q3 ‘21 observed starting from December 2021, is mainly driven by Commodity risk in the Trading book of UniCredit Bank AG, reflecting an increase of volatility in the Energy market. CVA The CVA charge data values for the Trading book for the Group are reported below (as sum of the individual legal entities charges since the diversification benefit is not considered). The charge accounts for the credit-spread volatility affecting regulatory CVA. It consists of a VaR figure computed over the current window (CVA VaR) and a VaR figure computed over a stressed window (CVA SVaR). For exposures not covered by the CCR Internal model (used to calculate CVA exposure profiles) the standardised approach (SA) is used. The mitigation of the XVA exposure across UniCredit group "Western Europe" perimeter is managed by a dedicated CVA Desk, whose mandate is to provide a centralised Front Office service function in Markets with the responsibility for XVA pricing & exposure management for OTC derivatives. The CVA Desk actively hedges the exposure to risk factors within the prescribed limit framework in UCI S.p.A., UCB AG and UCBA AG. In the fourth quarter of 2021, the Own Fund Requirements due to CVA under Advance model remains relatively stable with respect of the level reached in the third quarter of 2021. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 386 2021 Annual Report and Accounts · UniCredit Managerial VaR Below are reported the Managerial Diversified Trading book VaR as of end of December 2021 at Group and Regional Centre levels and the Undiversified Trading book VaR at Group level, calculated as sum of the values of all Legal Entities (without considering diversification benefit). Difference with Regulatory Trading book was described above. Daily VaR on Managerial Trading Book (€ million) TRADING BOOK END OF DECEMBER 2021 Diversified UniCredit group as per internal model 8.1 RC Germany 7.2 RC Italy 1.3 RC Austria 0.2 RC CEE 0.9 Bosnia Herzegovina 0.0 Bulgaria 0.2 Croatia 0.2 Czech Republic 0.7 Hungary 0.4 Romania 0.4 Russia 0.4 Serbia 0.0 Slovenia 0.0 Undiversified UniCredit group 11.1 Marginal Regulatory VaR The table below provides a breakdown of 10-days VaR figure (i.e. referred to a 10-days’ time horizon) according to the different market risks (debt, equity, FX, commodities) and its evolution during the year, in the form of template C24 of COREP. Risk on Trading book by instruments classes 10-days VaR on Regulatory Trading book (€ million) 2021 2020 Q1 Q2 Q3 Q4 Q4 Traded Debt Instruments 33.3 13.4 16.6 20.6 38.2 TDI - General Risk 21.4 13.8 16.0 20.5 23.2 TDI - Specific Risk 32.2 6.8 6.4 6.4 26.0 Equities 10.3 6.6 5.0 4.0 11.3 Equities - General Risk - - - - - Equities - Specific Risk 10.3 6.6 5.0 4.0 11.3 Foreign Exchange Risk 7.5 5.3 4.2 3.1 9.4 Commodities Risk 19.3 9.3 7.0 13.3 14.8 Total Amount For General Risk 30.8 16.9 17.9 23.5 26.8 Total Amount For Specific Risk 20.5 6.8 6.5 6.6 20.7 The VaR increase compared to Q3 ‘21 observed starting from December 2021, is mainly driven by Commodity risk in the Trading book of UniCredit Bank AG, reflecting an increase of volatility in the Energy market. CVA The CVA charge data values for the Trading book for the Group are reported below (as sum of the individual legal entities charges since the diversification benefit is not considered). The charge accounts for the credit-spread volatility affecting regulatory CVA. It consists of a VaR figure computed over the current window (CVA VaR) and a VaR figure computed over a stressed window (CVA SVaR). For exposures not covered by the CCR Internal model (used to calculate CVA exposure profiles) the standardised approach (SA) is used. The mitigation of the XVA exposure across UniCredit group "Western Europe" perimeter is managed by a dedicated CVA Desk, whose mandate is to provide a centralised Front Office service function in Markets with the responsibility for XVA pricing & exposure management for OTC derivatives. The CVA Desk actively hedges the exposure to risk factors within the prescribed limit framework in UCI S.p.A., UCB AG and UCBA AG. In the fourth quarter of 2021, the Own Fund Requirements due to CVA under Advance model remains relatively stable with respect of the level reached in the third quarter of 2021. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 386 2021 Annual Report and Accounts · UniCredit Managerial VaR Below are reported the Managerial Diversified Trading book VaR as of end of December 2021 at Group and Regional Centre levels and the Undiversified Trading book VaR at Group level, calculated as sum of the values of all Legal Entities (without considering diversification benefit). Difference with Regulatory Trading book was described above. Daily VaR on Managerial Trading Book (€ million) TRADING BOOK END OF DECEMBER 2021 Diversified UniCredit group as per internal model 8.1 RC Germany 7.2 RC Italy 1.3 RC Austria 0.2 RC CEE 0.9 Bosnia Herzegovina 0.0 Bulgaria 0.2 Croatia 0.2 Czech Republic 0.7 Hungary 0.4 Romania 0.4 Russia 0.4 Serbia 0.0 Slovenia 0.0 Undiversified UniCredit group 11.1 Marginal Regulatory VaR The table below provides a breakdown of 10-days VaR figure (i.e. referred to a 10-days’ time horizon) according to the different market risks (debt, equity, FX, commodities) and its evolution during the year, in the form of template C24 of COREP. Risk on Trading book by instruments classes 10-days VaR on Regulatory Trading book (€ million) 2021 2020 Q1 Q2 Q3 Q4 Q4 Traded Debt Instruments 33.3 13.4 16.6 20.6 38.2 TDI - General Risk 21.4 13.8 16.0 20.5 23.2 TDI - Specific Risk 32.2 6.8 6.4 6.4 26.0 Equities 10.3 6.6 5.0 4.0 11.3 Equities - General Risk - - - - - Equities - Specific Risk 10.3 6.6 5.0 4.0 11.3 Foreign Exchange Risk 7.5 5.3 4.2 3.1 9.4 Commodities Risk 19.3 9.3 7.0 13.3 14.8 Total Amount For General Risk 30.8 16.9 17.9 23.5 26.8 Total Amount For Specific Risk 20.5 6.8 6.5 6.6 20.7 The VaR increase compared to Q3 ‘21 observed starting from December 2021, is mainly driven by Commodity risk in the Trading book of UniCredit Bank AG, reflecting an increase of volatility in the Energy market. CVA The CVA charge data values for the Trading book for the Group are reported below (as sum of the individual legal entities charges since the diversification benefit is not considered). The charge accounts for the credit-spread volatility affecting regulatory CVA. It consists of a VaR figure computed over the current window (CVA VaR) and a VaR figure computed over a stressed window (CVA SVaR). For exposures not covered by the CCR Internal model (used to calculate CVA exposure profiles) the standardised approach (SA) is used. The mitigation of the XVA exposure across UniCredit group "Western Europe" perimeter is managed by a dedicated CVA Desk, whose mandate is to provide a centralised Front Office service function in Markets with the responsibility for XVA pricing & exposure management for OTC derivatives. The CVA Desk actively hedges the exposure to risk factors within the prescribed limit framework in UCI S.p.A., UCB AG and UCBA AG. In the fourth quarter of 2021, the Own Fund Requirements due to CVA under Advance model remains relatively stable with respect of the level reached in the third quarter of 2021. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 386 2021 Annual Report and Accounts · UniCredit Managerial VaR Below are reported the Managerial Diversified Trading book VaR as of end of December 2021 at Group and Regional Centre levels and the Undiversified Trading book VaR at Group level, calculated as sum of the values of all Legal Entities (without considering diversification benefit). Difference with Regulatory Trading book was described above. Daily VaR on Managerial Trading Book (€ million) TRADING BOOK END OF DECEMBER 2021 Diversified UniCredit group as per internal model 8.1 RC Germany 7.2 RC Italy 1.3 RC Austria 0.2 RC CEE 0.9 Bosnia Herzegovina 0.0 Bulgaria 0.2 Croatia 0.2 Czech Republic 0.7 Hungary 0.4 Romania 0.4 Russia 0.4 Serbia 0.0 Slovenia 0.0 Undiversified UniCredit group 11.1 Marginal Regulatory VaR The table below provides a breakdown of 10-days VaR figure (i.e. referred to a 10-days’ time horizon) according to the different market risks (debt, equity, FX, commodities) and its evolution during the year, in the form of template C24 of COREP. Risk on Trading book by instruments classes 10-days VaR on Regulatory Trading book (€ million) 2021 2020 Q1 Q2 Q3 Q4 Q4 Traded Debt Instruments 33.3 13.4 16.6 20.6 38.2 TDI - General Risk 21.4 13.8 16.0 20.5 23.2 TDI - Specific Risk 32.2 6.8 6.4 6.4 26.0 Equities 10.3 6.6 5.0 4.0 11.3 Equities - General Risk - - - - - Equities - Specific Risk 10.3 6.6 5.0 4.0 11.3 Foreign Exchange Risk 7.5 5.3 4.2 3.1 9.4 Commodities Risk 19.3 9.3 7.0 13.3 14.8 Total Amount For General Risk 30.8 16.9 17.9 23.5 26.8 Total Amount For Specific Risk 20.5 6.8 6.5 6.6 20.7 The VaR increase compared to Q3 ‘21 observed starting from December 2021, is mainly driven by Commodity risk in the Trading book of UniCredit Bank AG, reflecting an increase of volatility in the Energy market. CVA The CVA charge data values for the Trading book for the Group are reported below (as sum of the individual legal entities charges since the diversification benefit is not considered). The charge accounts for the credit-spread volatility affecting regulatory CVA. It consists of a VaR figure computed over the current window (CVA VaR) and a VaR figure computed over a stressed window (CVA SVaR). For exposures not covered by the CCR Internal model (used to calculate CVA exposure profiles) the standardised approach (SA) is used. The mitigation of the XVA exposure across UniCredit group "Western Europe" perimeter is managed by a dedicated CVA Desk, whose mandate is to provide a centralised Front Office service function in Markets with the responsibility for XVA pricing & exposure management for OTC derivatives. The CVA Desk actively hedges the exposure to risk factors within the prescribed limit framework in UCI S.p.A., UCB AG and UCBA AG. In the fourth quarter of 2021, the Own Fund Requirements due to CVA under Advance model remains relatively stable with respect of the level reached in the third quarter of 2021. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 387 Risk on Trading book CVA Trading book (€ million) 2021 2020 Q1 Q2 Q3 Q4 Q4 CVA 120.2 121.2 102.8 108.0 123.2 CVA VaR 28.0 7.2 5.3 8.4 37.6 CVA SVaR 48.6 50.2 49.3 49.5 48.0 CVA SA 43.5 63.8 48.2 50.1 37.6 2.2.1 Interest rate risk and price risk - Regulatory trading book Qualitative information Interest rate risk A. General aspects Interest rate risk arises from financial positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Regardless of use of the internal models in calculating capital requirements on market risks, risk positions in the Group are monitored and subject to limits assigned to the portfolios based on managerial responsibilities and not purely on regulatory criteria. B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes and for the complex scenarios’ description to Stress Test paragraph. In addition to the monitoring of Granular Market Limits, Group Market Risk functions conduct sensitivity analysis at least on monthly basis, in order to determine the effect on the income statement of changes in the value of individual risk factors or several risk factors of the same type. Additionally to the sensitivity of financial instruments to changes in the underlying risk factor, the sensitivity to the volatility of interest rates is also calculated assuming positive and negative shifts of 30% in volatility curves or matrices. Price risk A. General aspects Price risk relating to equities, commodities, investment funds and related derivative products included in the Trading book originates from positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Price risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTCs and recourse to security lending. Volatility trading strategies are implemented using options and complex derivatives B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to the introduction on internal models. As regards stress test refers to the introduction on “Risk management strategies and processes” and for the complex scenarios’ description to the “Stress test” paragraph. Quantitative information 1. Regulatory trading portfolio: distribution by residual duration (re-pricing date) of financial assets and liabilities for cash and financial derivatives The table is not reported since a table showing Interest Rate sensitivity is described below, in accordance with Internal Model. 2. Regulatory trading portfolio: distribution of equity exposures and equity indices for the main listing countries The table is not reported since a table showing price risk sensitivity is described below, in accordance with Internal Model. 3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 387 Risk on Trading book CVA Trading book (€ million) 2021 2020 Q1 Q2 Q3 Q4 Q4 CVA 120.2 121.2 102.8 108.0 123.2 CVA VaR 28.0 7.2 5.3 8.4 37.6 CVA SVaR 48.6 50.2 49.3 49.5 48.0 CVA SA 43.5 63.8 48.2 50.1 37.6 2.2.1 Interest rate risk and price risk - Regulatory trading book Qualitative information Interest rate risk A. General aspects Interest rate risk arises from financial positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Regardless of use of the internal models in calculating capital requirements on market risks, risk positions in the Group are monitored and subject to limits assigned to the portfolios based on managerial responsibilities and not purely on regulatory criteria. B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes and for the complex scenarios’ description to Stress Test paragraph. In addition to the monitoring of Granular Market Limits, Group Market Risk functions conduct sensitivity analysis at least on monthly basis, in order to determine the effect on the income statement of changes in the value of individual risk factors or several risk factors of the same type. Additionally to the sensitivity of financial instruments to changes in the underlying risk factor, the sensitivity to the volatility of interest rates is also calculated assuming positive and negative shifts of 30% in volatility curves or matrices. Price risk A. General aspects Price risk relating to equities, commodities, investment funds and related derivative products included in the Trading book originates from positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Price risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTCs and recourse to security lending. Volatility trading strategies are implemented using options and complex derivatives B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to the introduction on internal models. As regards stress test refers to the introduction on “Risk management strategies and processes” and for the complex scenarios’ description to the “Stress test” paragraph. Quantitative information 1. Regulatory trading portfolio: distribution by residual duration (re-pricing date) of financial assets and liabilities for cash and financial derivatives The table is not reported since a table showing Interest Rate sensitivity is described below, in accordance with Internal Model. 2. Regulatory trading portfolio: distribution of equity exposures and equity indices for the main listing countries The table is not reported since a table showing price risk sensitivity is described below, in accordance with Internal Model. 3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 387 Risk on Trading book CVA Trading book (€ million) 2021 2020 Q1 Q2 Q3 Q4 Q4 CVA 120.2 121.2 102.8 108.0 123.2 CVA VaR 28.0 7.2 5.3 8.4 37.6 CVA SVaR 48.6 50.2 49.3 49.5 48.0 CVA SA 43.5 63.8 48.2 50.1 37.6 2.2.1 Interest rate risk and price risk - Regulatory trading book Qualitative information Interest rate risk A. General aspects Interest rate risk arises from financial positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Regardless of use of the internal models in calculating capital requirements on market risks, risk positions in the Group are monitored and subject to limits assigned to the portfolios based on managerial responsibilities and not purely on regulatory criteria. B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes and for the complex scenarios’ description to Stress Test paragraph. In addition to the monitoring of Granular Market Limits, Group Market Risk functions conduct sensitivity analysis at least on monthly basis, in order to determine the effect on the income statement of changes in the value of individual risk factors or several risk factors of the same type. Additionally to the sensitivity of financial instruments to changes in the underlying risk factor, the sensitivity to the volatility of interest rates is also calculated assuming positive and negative shifts of 30% in volatility curves or matrices. Price risk A. General aspects Price risk relating to equities, commodities, investment funds and related derivative products included in the Trading book originates from positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Price risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTCs and recourse to security lending. Volatility trading strategies are implemented using options and complex derivatives B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to the introduction on internal models. As regards stress test refers to the introduction on “Risk management strategies and processes” and for the complex scenarios’ description to the “Stress test” paragraph. Quantitative information 1. Regulatory trading portfolio: distribution by residual duration (re-pricing date) of financial assets and liabilities for cash and financial derivatives The table is not reported since a table showing Interest Rate sensitivity is described below, in accordance with Internal Model. 2. Regulatory trading portfolio: distribution of equity exposures and equity indices for the main listing countries The table is not reported since a table showing price risk sensitivity is described below, in accordance with Internal Model. 3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 387 Risk on Trading book CVA Trading book (€ million) 2021 2020 Q1 Q2 Q3 Q4 Q4 CVA 120.2 121.2 102.8 108.0 123.2 CVA VaR 28.0 7.2 5.3 8.4 37.6 CVA SVaR 48.6 50.2 49.3 49.5 48.0 CVA SA 43.5 63.8 48.2 50.1 37.6 2.2.1 Interest rate risk and price risk - Regulatory trading book Qualitative information Interest rate risk A. General aspects Interest rate risk arises from financial positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Regardless of use of the internal models in calculating capital requirements on market risks, risk positions in the Group are monitored and subject to limits assigned to the portfolios based on managerial responsibilities and not purely on regulatory criteria. B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes and for the complex scenarios’ description to Stress Test paragraph. In addition to the monitoring of Granular Market Limits, Group Market Risk functions conduct sensitivity analysis at least on monthly basis, in order to determine the effect on the income statement of changes in the value of individual risk factors or several risk factors of the same type. Additionally to the sensitivity of financial instruments to changes in the underlying risk factor, the sensitivity to the volatility of interest rates is also calculated assuming positive and negative shifts of 30% in volatility curves or matrices. Price risk A. General aspects Price risk relating to equities, commodities, investment funds and related derivative products included in the Trading book originates from positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Price risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTCs and recourse to security lending. Volatility trading strategies are implemented using options and complex derivatives B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to the introduction on internal models. As regards stress test refers to the introduction on “Risk management strategies and processes” and for the complex scenarios’ description to the “Stress test” paragraph. Quantitative information 1. Regulatory trading portfolio: distribution by residual duration (re-pricing date) of financial assets and liabilities for cash and financial derivatives The table is not reported since a table showing Interest Rate sensitivity is described below, in accordance with Internal Model. 2. Regulatory trading portfolio: distribution of equity exposures and equity indices for the main listing countries The table is not reported since a table showing price risk sensitivity is described below, in accordance with Internal Model. 3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 387 Risk on Trading book CVA Trading book (€ million) 2021 2020 Q1 Q2 Q3 Q4 Q4 CVA 120.2 121.2 102.8 108.0 123.2 CVA VaR 28.0 7.2 5.3 8.4 37.6 CVA SVaR 48.6 50.2 49.3 49.5 48.0 CVA SA 43.5 63.8 48.2 50.1 37.6 2.2.1 Interest rate risk and price risk - Regulatory trading book Qualitative information Interest rate risk A. General aspects Interest rate risk arises from financial positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Regardless of use of the internal models in calculating capital requirements on market risks, risk positions in the Group are monitored and subject to limits assigned to the portfolios based on managerial responsibilities and not purely on regulatory criteria. B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes and for the complex scenarios’ description to Stress Test paragraph. In addition to the monitoring of Granular Market Limits, Group Market Risk functions conduct sensitivity analysis at least on monthly basis, in order to determine the effect on the income statement of changes in the value of individual risk factors or several risk factors of the same type. Additionally to the sensitivity of financial instruments to changes in the underlying risk factor, the sensitivity to the volatility of interest rates is also calculated assuming positive and negative shifts of 30% in volatility curves or matrices. Price risk A. General aspects Price risk relating to equities, commodities, investment funds and related derivative products included in the Trading book originates from positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Price risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTCs and recourse to security lending. Volatility trading strategies are implemented using options and complex derivatives B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to the introduction on internal models. As regards stress test refers to the introduction on “Risk management strategies and processes” and for the complex scenarios’ description to the “Stress test” paragraph. Quantitative information 1. Regulatory trading portfolio: distribution by residual duration (re-pricing date) of financial assets and liabilities for cash and financial derivatives The table is not reported since a table showing Interest Rate sensitivity is described below, in accordance with Internal Model. 2. Regulatory trading portfolio: distribution of equity exposures and equity indices for the main listing countries The table is not reported since a table showing price risk sensitivity is described below, in accordance with Internal Model. 3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 388 2021 Annual Report and Accounts · UniCredit Interest rate risk Interest rate risk sensitivity Sensitivity to changes in interest rates is determined using both parallel shifts of interest-rate curves, and changes in the curve itself. The curves are analysed using parallel shifts of ±1bp/±10bps and ±100bps. For each 1bp shift, sensitivity is calculated for a series of time-buckets. Sensitivity for changes in the steepness of the rate curve is analysed by clockwise turning (Turn CW), i.e. an increase in short-term rates and a simultaneous fall in long-term rates, and by counter-clockwise turning (Turn CCW), whereby short-term rates fall and long-term rates rise. In particular, clockwise and counter-clockwise turning use the following changes in absolute terms: • +50bps/-50bps for the one-day bucket; • 0bps for the one-year bucket; • -50bps/+50bps for the 30-year plus bucket; • for buckets between the above ones, the change to be set is found by linear interpolation. The Group also calculates sensitivity to the volatility of Interest Rate assuming a positive shift of 30% or negative change of 30% in volatility curves or matrixes. The tables below show trading book sensitivities. (€ million) INTEREST RATES +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL -10 BP +10 BP -100 PB +100 BP CW CCW Total -0.1 0.5 -0.0 0.3 -0.1 -0.3 -0.3 -0.0 3.0 -11.4 -2.3 -96.6 22.4 -7.8 of which: EUR -0.1 0.3 -0.1 0.3 -0.3 -0.4 -0.4 -0.7 5.5 -4.5 31.9 -40.3 31.4 -15.8 USD -0.1 0.2 0.1 0.0 0.1 0.2 0.0 0.6 -2.1 2.0 -29.1 17.4 -5.9 5.1 GBP 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 -1.1 1.1 -12.1 10.6 -3.5 3.4 CHF 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.5 -0.5 5.4 -5.3 -0.0 0.0 JPY 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.2 -0.1 -0.6 0.6 (€ million) -30% +30% Interest Rates 4.4 -45.0 EUR 4.4 -44.3 USD -0.0 -0.6 Price risk Share-price sensitivity Share-price sensitivity is expressed in two ways: • as a “Delta cash-equivalent”, i.e. the euro equivalent of the quantity of the underlying that would expose the bank to the same risk arising from its actual portfolio; • as the economic result of a rise or fall in spot prices of 1%, 10% and 20%. The Delta cash-equivalent and the Delta 1% (i.e. the economic impact of a 1% rise in spot prices) are calculated both for each geographical region (assuming that all stock markets in the region are perfectly correlated) and on the total (assuming therefore that all stock markets are perfectly correlated). The sensitivity arising from changes of 10% and 20% is calculated solely on the total. The Group also calculates sensitivity to the volatility of equities assuming a positive shift of 30% or negative change of 30% in volatility curves or matrixes. In addition, sensitivity to commodity price changes is calculated according to the above criteria. Given its secondary importance as compared to other risk exposures, this is calculated as a single class. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 388 2021 Annual Report and Accounts · UniCredit Interest rate risk Interest rate risk sensitivity Sensitivity to changes in interest rates is determined using both parallel shifts of interest-rate curves, and changes in the curve itself. The curves are analysed using parallel shifts of ±1bp/±10bps and ±100bps. For each 1bp shift, sensitivity is calculated for a series of time-buckets. Sensitivity for changes in the steepness of the rate curve is analysed by clockwise turning (Turn CW), i.e. an increase in short-term rates and a simultaneous fall in long-term rates, and by counter-clockwise turning (Turn CCW), whereby short-term rates fall and long-term rates rise. In particular, clockwise and counter-clockwise turning use the following changes in absolute terms: • +50bps/-50bps for the one-day bucket; • 0bps for the one-year bucket; • -50bps/+50bps for the 30-year plus bucket; • for buckets between the above ones, the change to be set is found by linear interpolation. The Group also calculates sensitivity to the volatility of Interest Rate assuming a positive shift of 30% or negative change of 30% in volatility curves or matrixes. The tables below show trading book sensitivities. (€ million) INTEREST RATES +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL -10 BP +10 BP -100 PB +100 BP CW CCW Total -0.1 0.5 -0.0 0.3 -0.1 -0.3 -0.3 -0.0 3.0 -11.4 -2.3 -96.6 22.4 -7.8 of which: EUR -0.1 0.3 -0.1 0.3 -0.3 -0.4 -0.4 -0.7 5.5 -4.5 31.9 -40.3 31.4 -15.8 USD -0.1 0.2 0.1 0.0 0.1 0.2 0.0 0.6 -2.1 2.0 -29.1 17.4 -5.9 5.1 GBP 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 -1.1 1.1 -12.1 10.6 -3.5 3.4 CHF 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.5 -0.5 5.4 -5.3 -0.0 0.0 JPY 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.2 -0.1 -0.6 0.6 (€ million) -30% +30% Interest Rates 4.4 -45.0 EUR 4.4 -44.3 USD -0.0 -0.6 Price risk Share-price sensitivity Share-price sensitivity is expressed in two ways: • as a “Delta cash-equivalent”, i.e. the euro equivalent of the quantity of the underlying that would expose the bank to the same risk arising from its actual portfolio; • as the economic result of a rise or fall in spot prices of 1%, 10% and 20%. The Delta cash-equivalent and the Delta 1% (i.e. the economic impact of a 1% rise in spot prices) are calculated both for each geographical region (assuming that all stock markets in the region are perfectly correlated) and on the total (assuming therefore that all stock markets are perfectly correlated). The sensitivity arising from changes of 10% and 20% is calculated solely on the total. The Group also calculates sensitivity to the volatility of equities assuming a positive shift of 30% or negative change of 30% in volatility curves or matrixes. In addition, sensitivity to commodity price changes is calculated according to the above criteria. Given its secondary importance as compared to other risk exposures, this is calculated as a single class. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 388 2021 Annual Report and Accounts · UniCredit Interest rate risk Interest rate risk sensitivity Sensitivity to changes in interest rates is determined using both parallel shifts of interest-rate curves, and changes in the curve itself. The curves are analysed using parallel shifts of ±1bp/±10bps and ±100bps. For each 1bp shift, sensitivity is calculated for a series of time-buckets. Sensitivity for changes in the steepness of the rate curve is analysed by clockwise turning (Turn CW), i.e. an increase in short-term rates and a simultaneous fall in long-term rates, and by counter-clockwise turning (Turn CCW), whereby short-term rates fall and long-term rates rise. In particular, clockwise and counter-clockwise turning use the following changes in absolute terms: • +50bps/-50bps for the one-day bucket; • 0bps for the one-year bucket; • -50bps/+50bps for the 30-year plus bucket; • for buckets between the above ones, the change to be set is found by linear interpolation. The Group also calculates sensitivity to the volatility of Interest Rate assuming a positive shift of 30% or negative change of 30% in volatility curves or matrixes. The tables below show trading book sensitivities. (€ million) INTEREST RATES +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL -10 BP +10 BP -100 PB +100 BP CW CCW Total -0.1 0.5 -0.0 0.3 -0.1 -0.3 -0.3 -0.0 3.0 -11.4 -2.3 -96.6 22.4 -7.8 of which: EUR -0.1 0.3 -0.1 0.3 -0.3 -0.4 -0.4 -0.7 5.5 -4.5 31.9 -40.3 31.4 -15.8 USD -0.1 0.2 0.1 0.0 0.1 0.2 0.0 0.6 -2.1 2.0 -29.1 17.4 -5.9 5.1 GBP 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 -1.1 1.1 -12.1 10.6 -3.5 3.4 CHF 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.5 -0.5 5.4 -5.3 -0.0 0.0 JPY 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.2 -0.1 -0.6 0.6 (€ million) -30% +30% Interest Rates 4.4 -45.0 EUR 4.4 -44.3 USD -0.0 -0.6 Price risk Share-price sensitivity Share-price sensitivity is expressed in two ways: • as a “Delta cash-equivalent”, i.e. the euro equivalent of the quantity of the underlying that would expose the bank to the same risk arising from its actual portfolio; • as the economic result of a rise or fall in spot prices of 1%, 10% and 20%. The Delta cash-equivalent and the Delta 1% (i.e. the economic impact of a 1% rise in spot prices) are calculated both for each geographical region (assuming that all stock markets in the region are perfectly correlated) and on the total (assuming therefore that all stock markets are perfectly correlated). The sensitivity arising from changes of 10% and 20% is calculated solely on the total. The Group also calculates sensitivity to the volatility of equities assuming a positive shift of 30% or negative change of 30% in volatility curves or matrixes. In addition, sensitivity to commodity price changes is calculated according to the above criteria. Given its secondary importance as compared to other risk exposures, this is calculated as a single class. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 388 2021 Annual Report and Accounts · UniCredit Interest rate risk Interest rate risk sensitivity Sensitivity to changes in interest rates is determined using both parallel shifts of interest-rate curves, and changes in the curve itself. The curves are analysed using parallel shifts of ±1bp/±10bps and ±100bps. For each 1bp shift, sensitivity is calculated for a series of time-buckets. Sensitivity for changes in the steepness of the rate curve is analysed by clockwise turning (Turn CW), i.e. an increase in short-term rates and a simultaneous fall in long-term rates, and by counter-clockwise turning (Turn CCW), whereby short-term rates fall and long-term rates rise. In particular, clockwise and counter-clockwise turning use the following changes in absolute terms: • +50bps/-50bps for the one-day bucket; • 0bps for the one-year bucket; • -50bps/+50bps for the 30-year plus bucket; • for buckets between the above ones, the change to be set is found by linear interpolation. The Group also calculates sensitivity to the volatility of Interest Rate assuming a positive shift of 30% or negative change of 30% in volatility curves or matrixes. The tables below show trading book sensitivities. (€ million) INTEREST RATES +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL -10 BP +10 BP -100 PB +100 BP CW CCW Total -0.1 0.5 -0.0 0.3 -0.1 -0.3 -0.3 -0.0 3.0 -11.4 -2.3 -96.6 22.4 -7.8 of which: EUR -0.1 0.3 -0.1 0.3 -0.3 -0.4 -0.4 -0.7 5.5 -4.5 31.9 -40.3 31.4 -15.8 USD -0.1 0.2 0.1 0.0 0.1 0.2 0.0 0.6 -2.1 2.0 -29.1 17.4 -5.9 5.1 GBP 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 -1.1 1.1 -12.1 10.6 -3.5 3.4 CHF 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.5 -0.5 5.4 -5.3 -0.0 0.0 JPY 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.2 -0.1 -0.6 0.6 (€ million) -30% +30% Interest Rates 4.4 -45.0 EUR 4.4 -44.3 USD -0.0 -0.6 Price risk Share-price sensitivity Share-price sensitivity is expressed in two ways: • as a “Delta cash-equivalent”, i.e. the euro equivalent of the quantity of the underlying that would expose the bank to the same risk arising from its actual portfolio; • as the economic result of a rise or fall in spot prices of 1%, 10% and 20%. The Delta cash-equivalent and the Delta 1% (i.e. the economic impact of a 1% rise in spot prices) are calculated both for each geographical region (assuming that all stock markets in the region are perfectly correlated) and on the total (assuming therefore that all stock markets are perfectly correlated). The sensitivity arising from changes of 10% and 20% is calculated solely on the total. The Group also calculates sensitivity to the volatility of equities assuming a positive shift of 30% or negative change of 30% in volatility curves or matrixes. In addition, sensitivity to commodity price changes is calculated according to the above criteria. Given its secondary importance as compared to other risk exposures, this is calculated as a single class. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 388 2021 Annual Report and Accounts · UniCredit Interest rate risk Interest rate risk sensitivity Sensitivity to changes in interest rates is determined using both parallel shifts of interest-rate curves, and changes in the curve itself. The curves are analysed using parallel shifts of ±1bp/±10bps and ±100bps. For each 1bp shift, sensitivity is calculated for a series of time-buckets. Sensitivity for changes in the steepness of the rate curve is analysed by clockwise turning (Turn CW), i.e. an increase in short-term rates and a simultaneous fall in long-term rates, and by counter-clockwise turning (Turn CCW), whereby short-term rates fall and long-term rates rise. In particular, clockwise and counter-clockwise turning use the following changes in absolute terms: • +50bps/-50bps for the one-day bucket; • 0bps for the one-year bucket; • -50bps/+50bps for the 30-year plus bucket; • for buckets between the above ones, the change to be set is found by linear interpolation. The Group also calculates sensitivity to the volatility of Interest Rate assuming a positive shift of 30% or negative change of 30% in volatility curves or matrixes. The tables below show trading book sensitivities. (€ million) INTEREST RATES +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL -10 BP +10 BP -100 PB +100 BP CW CCW Total -0.1 0.5 -0.0 0.3 -0.1 -0.3 -0.3 -0.0 3.0 -11.4 -2.3 -96.6 22.4 -7.8 of which: EUR -0.1 0.3 -0.1 0.3 -0.3 -0.4 -0.4 -0.7 5.5 -4.5 31.9 -40.3 31.4 -15.8 USD -0.1 0.2 0.1 0.0 0.1 0.2 0.0 0.6 -2.1 2.0 -29.1 17.4 -5.9 5.1 GBP 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 -1.1 1.1 -12.1 10.6 -3.5 3.4 CHF 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.5 -0.5 5.4 -5.3 -0.0 0.0 JPY 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.2 -0.1 -0.6 0.6 (€ million) -30% +30% Interest Rates 4.4 -45.0 EUR 4.4 -44.3 USD -0.0 -0.6 Price risk Share-price sensitivity Share-price sensitivity is expressed in two ways: • as a “Delta cash-equivalent”, i.e. the euro equivalent of the quantity of the underlying that would expose the bank to the same risk arising from its actual portfolio; • as the economic result of a rise or fall in spot prices of 1%, 10% and 20%. The Delta cash-equivalent and the Delta 1% (i.e. the economic impact of a 1% rise in spot prices) are calculated both for each geographical region (assuming that all stock markets in the region are perfectly correlated) and on the total (assuming therefore that all stock markets are perfectly correlated). The sensitivity arising from changes of 10% and 20% is calculated solely on the total. The Group also calculates sensitivity to the volatility of equities assuming a positive shift of 30% or negative change of 30% in volatility curves or matrixes. In addition, sensitivity to commodity price changes is calculated according to the above criteria. Given its secondary importance as compared to other risk exposures, this is calculated as a single class. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 389 The tables below show Trading book sensitivities. (€ million) EQUITIES ALL MARKETS DELTA CASH-EQUIVALENT -20% -10% -1% +1% +10% +20% Europe 111.0 - - - 1.1 - - USA 13.2 - - - 0.1 - - Japan 0.5 - - - 0.0 - - Asia ex-Japan -0.5 - - - 0.0 - - Latin America 0.1 - - - 0.0 - - Other -38.2 - - - -0.4 - - Total 86.2 -44.7 -7.7 -0.7 0.9 -2.3 -11.1 Commodity -54.7 10.0 5.3 0.7 -0.5 -7.0 -14.9 (€ million) -30% +30% Equities -18.5 14.0 2.2.2 Interest rate risk and price risk - Banking book Qualitative information Interest rate risk A. General aspects, operational processes and methods for measuring interest rate risk Interest rate risk refers to the current or future risk to the bank's capital and earnings arising from unfavorable movements in interest rates that affect the bank's positions. As interest rates change, the present value and timing of future cash flows change and this, in turn, changes the underlying value of a bank's assets, liabilities and off-balance sheet items and therefore its economic value. Changes in interest rates also affect the formation of the interest margin and, consequently, the bank's profits. Interest rate risk monitoring and management procedures are applied to all positions sensitive to changes in interest rates, excluding: • The banking book held for trading; • Defined Benefit Obligations (DBO) portfolio. The Group Financial and Credit Risk Committee is responsible for defining the operational strategy for managing the interest rate risk of the banking book, including the strategy for managing the capital and the structural gap between assets and liabilities not sensitive to the interest rate. The management of the interest rate risk of the Banking book is aimed at guaranteeing the reduction of the negative impacts on the long-term interest margins, due to the volatility of interest rates, to achieve a flow of profits and a returns on capital consistent with the strategic plan. The strategy does not envisage any directional or discretionary positioning aimed at generating additional profits, unless approved by the competent bodies and monitored separately. The only exception is for the functions authorised to take positions on interest rates within the limits approved by the Risk Committees. The treasury functions manage the interest rate risk deriving from commercial transactions while maintaining the exposure within the limits set by the Risk Committees. Limits and alert thresholds are defined for each Bank or Group Company in terms of sensitivity to the economic value or interest margin. The set of metrics is defined according to the level of complexity of the Company's business. Each of the banks or companies of the Group is responsible for managing the exposure to interest rate risk within the defined limits. At consolidated level, the Group Risk Management function is responsible for measuring interest rate risk, which reports to the Group Financial and Credit Risk Committee the interest rate risk of the banking book exposures and analysis, on a monthly basis. The interest rate risk management strategy is established considering also the main impacts deriving from the behavioral aspects of customers, which can impact on the value of interest margins and the economic value of the banking book, such as the example of early repayments of disbursed loans ("prepayment") and the stability of on demand items. The monitoring activity is coupled with constant Stress Testing aimed at verifying compliance with the limits under more servere stress scenarios from those expected and present by the market. The calibration and monitoring of stress test scenarios takes place at least annualy. The Internal Validation functions periodically carries out an independent assessment of the correct application of the measurement methodology applied by the risk functions within the monitoring perimeter of the banking book including behavioral assumptions. The Audit functions ensure the adequacy and compliance with regulatory and internal regulations, at least with an annual frequency. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 389 The tables below show Trading book sensitivities. (€ million) EQUITIES ALL MARKETS DELTA CASH-EQUIVALENT -20% -10% -1% +1% +10% +20% Europe 111.0 - - - 1.1 - - USA 13.2 - - - 0.1 - - Japan 0.5 - - - 0.0 - - Asia ex-Japan -0.5 - - - 0.0 - - Latin America 0.1 - - - 0.0 - - Other -38.2 - - - -0.4 - - Total 86.2 -44.7 -7.7 -0.7 0.9 -2.3 -11.1 Commodity -54.7 10.0 5.3 0.7 -0.5 -7.0 -14.9 (€ million) -30% +30% Equities -18.5 14.0 2.2.2 Interest rate risk and price risk - Banking book Qualitative information Interest rate risk A. General aspects, operational processes and methods for measuring interest rate risk Interest rate risk refers to the current or future risk to the bank's capital and earnings arising from unfavorable movements in interest rates that affect the bank's positions. As interest rates change, the present value and timing of future cash flows change and this, in turn, changes the underlying value of a bank's assets, liabilities and off-balance sheet items and therefore its economic value. Changes in interest rates also affect the formation of the interest margin and, consequently, the bank's profits. Interest rate risk monitoring and management procedures are applied to all positions sensitive to changes in interest rates, excluding: • The banking book held for trading; • Defined Benefit Obligations (DBO) portfolio. The Group Financial and Credit Risk Committee is responsible for defining the operational strategy for managing the interest rate risk of the banking book, including the strategy for managing the capital and the structural gap between assets and liabilities not sensitive to the interest rate. The management of the interest rate risk of the Banking book is aimed at guaranteeing the reduction of the negative impacts on the long-term interest margins, due to the volatility of interest rates, to achieve a flow of profits and a returns on capital consistent with the strategic plan. The strategy does not envisage any directional or discretionary positioning aimed at generating additional profits, unless approved by the competent bodies and monitored separately. The only exception is for the functions authorised to take positions on interest rates within the limits approved by the Risk Committees. The treasury functions manage the interest rate risk deriving from commercial transactions while maintaining the exposure within the limits set by the Risk Committees. Limits and alert thresholds are defined for each Bank or Group Company in terms of sensitivity to the economic value or interest margin. The set of metrics is defined according to the level of complexity of the Company's business. Each of the banks or companies of the Group is responsible for managing the exposure to interest rate risk within the defined limits. At consolidated level, the Group Risk Management function is responsible for measuring interest rate risk, which reports to the Group Financial and Credit Risk Committee the interest rate risk of the banking book exposures and analysis, on a monthly basis. The interest rate risk management strategy is established considering also the main impacts deriving from the behavioral aspects of customers, which can impact on the value of interest margins and the economic value of the banking book, such as the example of early repayments of disbursed loans ("prepayment") and the stability of on demand items. The monitoring activity is coupled with constant Stress Testing aimed at verifying compliance with the limits under more servere stress scenarios from those expected and present by the market. The calibration and monitoring of stress test scenarios takes place at least annualy. The Internal Validation functions periodically carries out an independent assessment of the correct application of the measurement methodology applied by the risk functions within the monitoring perimeter of the banking book including behavioral assumptions. The Audit functions ensure the adequacy and compliance with regulatory and internal regulations, at least with an annual frequency. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 389 The tables below show Trading book sensitivities. (€ million) EQUITIES ALL MARKETS DELTA CASH-EQUIVALENT -20% -10% -1% +1% +10% +20% Europe 111.0 - - - 1.1 - - USA 13.2 - - - 0.1 - - Japan 0.5 - - - 0.0 - - Asia ex-Japan -0.5 - - - 0.0 - - Latin America 0.1 - - - 0.0 - - Other -38.2 - - - -0.4 - - Total 86.2 -44.7 -7.7 -0.7 0.9 -2.3 -11.1 Commodity -54.7 10.0 5.3 0.7 -0.5 -7.0 -14.9 (€ million) -30% +30% Equities -18.5 14.0 2.2.2 Interest rate risk and price risk - Banking book Qualitative information Interest rate risk A. General aspects, operational processes and methods for measuring interest rate risk Interest rate risk refers to the current or future risk to the bank's capital and earnings arising from unfavorable movements in interest rates that affect the bank's positions. As interest rates change, the present value and timing of future cash flows change and this, in turn, changes the underlying value of a bank's assets, liabilities and off-balance sheet items and therefore its economic value. Changes in interest rates also affect the formation of the interest margin and, consequently, the bank's profits. Interest rate risk monitoring and management procedures are applied to all positions sensitive to changes in interest rates, excluding: • The banking book held for trading; • Defined Benefit Obligations (DBO) portfolio. The Group Financial and Credit Risk Committee is responsible for defining the operational strategy for managing the interest rate risk of the banking book, including the strategy for managing the capital and the structural gap between assets and liabilities not sensitive to the interest rate. The management of the interest rate risk of the Banking book is aimed at guaranteeing the reduction of the negative impacts on the long-term interest margins, due to the volatility of interest rates, to achieve a flow of profits and a returns on capital consistent with the strategic plan. The strategy does not envisage any directional or discretionary positioning aimed at generating additional profits, unless approved by the competent bodies and monitored separately. The only exception is for the functions authorised to take positions on interest rates within the limits approved by the Risk Committees. The treasury functions manage the interest rate risk deriving from commercial transactions while maintaining the exposure within the limits set by the Risk Committees. Limits and alert thresholds are defined for each Bank or Group Company in terms of sensitivity to the economic value or interest margin. The set of metrics is defined according to the level of complexity of the Company's business. Each of the banks or companies of the Group is responsible for managing the exposure to interest rate risk within the defined limits. At consolidated level, the Group Risk Management function is responsible for measuring interest rate risk, which reports to the Group Financial and Credit Risk Committee the interest rate risk of the banking book exposures and analysis, on a monthly basis. The interest rate risk management strategy is established considering also the main impacts deriving from the behavioral aspects of customers, which can impact on the value of interest margins and the economic value of the banking book, such as the example of early repayments of disbursed loans ("prepayment") and the stability of on demand items. The monitoring activity is coupled with constant Stress Testing aimed at verifying compliance with the limits under more servere stress scenarios from those expected and present by the market. The calibration and monitoring of stress test scenarios takes place at least annualy. The Internal Validation functions periodically carries out an independent assessment of the correct application of the measurement methodology applied by the risk functions within the monitoring perimeter of the banking book including behavioral assumptions. The Audit functions ensure the adequacy and compliance with regulatory and internal regulations, at least with an annual frequency. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 389 The tables below show Trading book sensitivities. (€ million) EQUITIES ALL MARKETS DELTA CASH-EQUIVALENT -20% -10% -1% +1% +10% +20% Europe 111.0 - - - 1.1 - - USA 13.2 - - - 0.1 - - Japan 0.5 - - - 0.0 - - Asia ex-Japan -0.5 - - - 0.0 - - Latin America 0.1 - - - 0.0 - - Other -38.2 - - - -0.4 - - Total 86.2 -44.7 -7.7 -0.7 0.9 -2.3 -11.1 Commodity -54.7 10.0 5.3 0.7 -0.5 -7.0 -14.9 (€ million) -30% +30% Equities -18.5 14.0 2.2.2 Interest rate risk and price risk - Banking book Qualitative information Interest rate risk A. General aspects, operational processes and methods for measuring interest rate risk Interest rate risk refers to the current or future risk to the bank's capital and earnings arising from unfavorable movements in interest rates that affect the bank's positions. As interest rates change, the present value and timing of future cash flows change and this, in turn, changes the underlying value of a bank's assets, liabilities and off-balance sheet items and therefore its economic value. Changes in interest rates also affect the formation of the interest margin and, consequently, the bank's profits. Interest rate risk monitoring and management procedures are applied to all positions sensitive to changes in interest rates, excluding: • The banking book held for trading; • Defined Benefit Obligations (DBO) portfolio. The Group Financial and Credit Risk Committee is responsible for defining the operational strategy for managing the interest rate risk of the banking book, including the strategy for managing the capital and the structural gap between assets and liabilities not sensitive to the interest rate. The management of the interest rate risk of the Banking book is aimed at guaranteeing the reduction of the negative impacts on the long-term interest margins, due to the volatility of interest rates, to achieve a flow of profits and a returns on capital consistent with the strategic plan. The strategy does not envisage any directional or discretionary positioning aimed at generating additional profits, unless approved by the competent bodies and monitored separately. The only exception is for the functions authorised to take positions on interest rates within the limits approved by the Risk Committees. The treasury functions manage the interest rate risk deriving from commercial transactions while maintaining the exposure within the limits set by the Risk Committees. Limits and alert thresholds are defined for each Bank or Group Company in terms of sensitivity to the economic value or interest margin. The set of metrics is defined according to the level of complexity of the Company's business. Each of the banks or companies of the Group is responsible for managing the exposure to interest rate risk within the defined limits. At consolidated level, the Group Risk Management function is responsible for measuring interest rate risk, which reports to the Group Financial and Credit Risk Committee the interest rate risk of the banking book exposures and analysis, on a monthly basis. The interest rate risk management strategy is established considering also the main impacts deriving from the behavioral aspects of customers, which can impact on the value of interest margins and the economic value of the banking book, such as the example of early repayments of disbursed loans ("prepayment") and the stability of on demand items. The monitoring activity is coupled with constant Stress Testing aimed at verifying compliance with the limits under more servere stress scenarios from those expected and present by the market. The calibration and monitoring of stress test scenarios takes place at least annualy. The Internal Validation functions periodically carries out an independent assessment of the correct application of the measurement methodology applied by the risk functions within the monitoring perimeter of the banking book including behavioral assumptions. The Audit functions ensure the adequacy and compliance with regulatory and internal regulations, at least with an annual frequency. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 389 The tables below show Trading book sensitivities. (€ million) EQUITIES ALL MARKETS DELTA CASH-EQUIVALENT -20% -10% -1% +1% +10% +20% Europe 111.0 - - - 1.1 - - USA 13.2 - - - 0.1 - - Japan 0.5 - - - 0.0 - - Asia ex-Japan -0.5 - - - 0.0 - - Latin America 0.1 - - - 0.0 - - Other -38.2 - - - -0.4 - - Total 86.2 -44.7 -7.7 -0.7 0.9 -2.3 -11.1 Commodity -54.7 10.0 5.3 0.7 -0.5 -7.0 -14.9 (€ million) -30% +30% Equities -18.5 14.0 2.2.2 Interest rate risk and price risk - Banking book Qualitative information Interest rate risk A. General aspects, operational processes and methods for measuring interest rate risk Interest rate risk refers to the current or future risk to the bank's capital and earnings arising from unfavorable movements in interest rates that affect the bank's positions. As interest rates change, the present value and timing of future cash flows change and this, in turn, changes the underlying value of a bank's assets, liabilities and off-balance sheet items and therefore its economic value. Changes in interest rates also affect the formation of the interest margin and, consequently, the bank's profits. Interest rate risk monitoring and management procedures are applied to all positions sensitive to changes in interest rates, excluding: • The banking book held for trading; • Defined Benefit Obligations (DBO) portfolio. The Group Financial and Credit Risk Committee is responsible for defining the operational strategy for managing the interest rate risk of the banking book, including the strategy for managing the capital and the structural gap between assets and liabilities not sensitive to the interest rate. The management of the interest rate risk of the Banking book is aimed at guaranteeing the reduction of the negative impacts on the long-term interest margins, due to the volatility of interest rates, to achieve a flow of profits and a returns on capital consistent with the strategic plan. The strategy does not envisage any directional or discretionary positioning aimed at generating additional profits, unless approved by the competent bodies and monitored separately. The only exception is for the functions authorised to take positions on interest rates within the limits approved by the Risk Committees. The treasury functions manage the interest rate risk deriving from commercial transactions while maintaining the exposure within the limits set by the Risk Committees. Limits and alert thresholds are defined for each Bank or Group Company in terms of sensitivity to the economic value or interest margin. The set of metrics is defined according to the level of complexity of the Company's business. Each of the banks or companies of the Group is responsible for managing the exposure to interest rate risk within the defined limits. At consolidated level, the Group Risk Management function is responsible for measuring interest rate risk, which reports to the Group Financial and Credit Risk Committee the interest rate risk of the banking book exposures and analysis, on a monthly basis. The interest rate risk management strategy is established considering also the main impacts deriving from the behavioral aspects of customers, which can impact on the value of interest margins and the economic value of the banking book, such as the example of early repayments of disbursed loans ("prepayment") and the stability of on demand items. The monitoring activity is coupled with constant Stress Testing aimed at verifying compliance with the limits under more servere stress scenarios from those expected and present by the market. The calibration and monitoring of stress test scenarios takes place at least annualy. The Internal Validation functions periodically carries out an independent assessment of the correct application of the measurement methodology applied by the risk functions within the monitoring perimeter of the banking book including behavioral assumptions. The Audit functions ensure the adequacy and compliance with regulatory and internal regulations, at least with an annual frequency. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 390 2021 Annual Report and Accounts · UniCredit The Group measures and monitors interest rate risk every day. The main sources of interest rate risk can be classified as follows: • “Gap” risk: arises from the term structure of the banking book; this is the risk that is generated from different timings in the rate changes of the instruments. The extent of the change in the "gap" also depends on the linearity of the change in the term structure of rates, which can occur consistently across the entire rate curve (parallel risk) or differently from period to period of the curve (non-parallel risk). The “gap” risk also includes the repricing risk, i.e. the risk of changes in the interest margin which occurs when the rate of a financial contract resets; the same also refers to the yield curve risk, which occurs when a shift in an interest rate curve impacts the economic value of the assets and liabilities sensitive to interest rate risk. • Basis risk: it can be divided into two types of risk: - “tenor” risk: derives from the mismatch between the maturity of the instrument and changes in interest rates; - currency risk: derives from the potential lack of compensation between interest rate sensitivities emerging from different currencies; • Option risk: derives from positions in derivatives or from optional elements incorporated in many assets, liabilities and off-balance sheet items of the bank, where either the bank or the customer have the right to change the amount and timing of cash flows. The measurement of interest rate risk includes: • the sensitivity analysis of interest margins to changes in interest rates: a constant balance sheet analysis (under the assumption that positions remain constant during the period), and a simulation of the impact on the interest margin for the current period, that also considering the elasticity assumptions for items on demand. Furthermore, with the simulation analysis is assessed the impact on income of different shocks of the interest rate curves, including an instantaneous and parallel rate hike scenario of +100bps and a rate fall scenario of -100bps or lower in a function of the level of rates in the individual currencies as required by the EBA regulations. Additional scenarios are simulated to consider basis risk and other non-parallel shocks; • the analysis of the sensitivity of the Economic Value to changes in interest rates: it includes the calculation of duration measures, sensitivity of the economic value of the balance sheet items for the different points of the curve, as well as the impact on the economic value deriving from large changes in market rates, according to the scenarios of the “Supervisory Outlier Test” required by the EBA regulation (EBA/GL/2018/02). The interest rate risk is monitored daily in terms of the sensitivity of the economic value, for an instantaneous and parallel shock of +1 basis point of the term structure of the interest rates. The function responsible for managing interest rate risk, checks on a daily basis the use of the limits for exposure to interest rate risk following a 1bp shock. The basis risk and the risk emerging from options are, respectively measured by the "IR Basis" and "IR Vega" metrics. On a monthly basis, the sensitivity of the Economic Value is monitored for more severe parallel and non-parallel shocks on the term structure of interest rates and that of the interest margin, as described in the previous paragraph. The assumptions and parameters of the behavioral models used for the internal measurement systems are the same used to generate the regulatory exposures published in EU IRRBB1 tables. The mitigation of the interest rate risk and the hedging activities of the banking book are carried out through the use of regulated or Over the Counter (OTC) derivatives with an underlying interest rate. The optimization of the natural hedge of the assets with the bank's liabilities is managed by the Group Treasury function and the single legal entities. The interest rate risk is mainly transferred within the trading book of UniCredit Bank AG, which optimises the UniCredit group's hedging costs and outsources them to the market. Derivative contracts hedging the interest rate risk of the banking book not held for trading are recognised in the accounts as cash flow hedges or fair value hedges. The presence and effects of behavioral options in the balance sheet are taken into consideration through the development and application of behavioral models. The maturity profile as well as the average maturity of repricing of maturity deposits take into account the identification of the "stable" portion of the balances, or the amount of the deposit that could represent a stable source of financing despite the short contractual maturity, or the identification of the "core" part of the deposits, that is the amount of the deposits which is stable and difficult to revalue even in the presence of significant changes in the context of interest rates, determined through the statistical evaluation of the stability of the volume and elasticity of the customer rate (i.e. the beta parameter). The maturity profile, as well as the average repricing maturity of mortgages and retail loans, both take into account the optionality of the advance payment, which is assessed through the statistical estimate of the CPR (conditional early repayment rate) on the loan portfolio. The estimates on the sensitivity of the interest income in the templates below assume static balance sheet size and structure, no management actions and constant foreign exchange rates. The scenarios used in the EU IRRBB1 template related to the change in economic value correspond to the scenarios of the “Supervisory Outlier Test” required by the EBA regulation (EBA/GL/2018/02). The scenarios used for the sensitivity of the interest margin reported in the EU IRRBB1 template were defined as follows: • parallel up: parallel shock of +100bps on all interest rate curves, for all currencies; • parallel down: parallel downward shock in interest rates 100bps or lower depending on the level of interest rates in the individual currencies (CHF, EUR, BAM and BGN -25bps; JPY, HRK -50bps; HUF, RON -75bps). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 390 2021 Annual Report and Accounts · UniCredit The Group measures and monitors interest rate risk every day. The main sources of interest rate risk can be classified as follows: • “Gap” risk: arises from the term structure of the banking book; this is the risk that is generated from different timings in the rate changes of the instruments. The extent of the change in the "gap" also depends on the linearity of the change in the term structure of rates, which can occur consistently across the entire rate curve (parallel risk) or differently from period to period of the curve (non-parallel risk). The “gap” risk also includes the repricing risk, i.e. the risk of changes in the interest margin which occurs when the rate of a financial contract resets; the same also refers to the yield curve risk, which occurs when a shift in an interest rate curve impacts the economic value of the assets and liabilities sensitive to interest rate risk. • Basis risk: it can be divided into two types of risk: - “tenor” risk: derives from the mismatch between the maturity of the instrument and changes in interest rates; - currency risk: derives from the potential lack of compensation between interest rate sensitivities emerging from different currencies; • Option risk: derives from positions in derivatives or from optional elements incorporated in many assets, liabilities and off-balance sheet items of the bank, where either the bank or the customer have the right to change the amount and timing of cash flows. The measurement of interest rate risk includes: • the sensitivity analysis of interest margins to changes in interest rates: a constant balance sheet analysis (under the assumption that positions remain constant during the period), and a simulation of the impact on the interest margin for the current period, that also considering the elasticity assumptions for items on demand. Furthermore, with the simulation analysis is assessed the impact on income of different shocks of the interest rate curves, including an instantaneous and parallel rate hike scenario of +100bps and a rate fall scenario of -100bps or lower in a function of the level of rates in the individual currencies as required by the EBA regulations. Additional scenarios are simulated to consider basis risk and other non-parallel shocks; • the analysis of the sensitivity of the Economic Value to changes in interest rates: it includes the calculation of duration measures, sensitivity of the economic value of the balance sheet items for the different points of the curve, as well as the impact on the economic value deriving from large changes in market rates, according to the scenarios of the “Supervisory Outlier Test” required by the EBA regulation (EBA/GL/2018/02). The interest rate risk is monitored daily in terms of the sensitivity of the economic value, for an instantaneous and parallel shock of +1 basis point of the term structure of the interest rates. The function responsible for managing interest rate risk, checks on a daily basis the use of the limits for exposure to interest rate risk following a 1bp shock. The basis risk and the risk emerging from options are, respectively measured by the "IR Basis" and "IR Vega" metrics. On a monthly basis, the sensitivity of the Economic Value is monitored for more severe parallel and non-parallel shocks on the term structure of interest rates and that of the interest margin, as described in the previous paragraph. The assumptions and parameters of the behavioral models used for the internal measurement systems are the same used to generate the regulatory exposures published in EU IRRBB1 tables. The mitigation of the interest rate risk and the hedging activities of the banking book are carried out through the use of regulated or Over the Counter (OTC) derivatives with an underlying interest rate. The optimization of the natural hedge of the assets with the bank's liabilities is managed by the Group Treasury function and the single legal entities. The interest rate risk is mainly transferred within the trading book of UniCredit Bank AG, which optimises the UniCredit group's hedging costs and outsources them to the market. Derivative contracts hedging the interest rate risk of the banking book not held for trading are recognised in the accounts as cash flow hedges or fair value hedges. The presence and effects of behavioral options in the balance sheet are taken into consideration through the development and application of behavioral models. The maturity profile as well as the average maturity of repricing of maturity deposits take into account the identification of the "stable" portion of the balances, or the amount of the deposit that could represent a stable source of financing despite the short contractual maturity, or the identification of the "core" part of the deposits, that is the amount of the deposits which is stable and difficult to revalue even in the presence of significant changes in the context of interest rates, determined through the statistical evaluation of the stability of the volume and elasticity of the customer rate (i.e. the beta parameter). The maturity profile, as well as the average repricing maturity of mortgages and retail loans, both take into account the optionality of the advance payment, which is assessed through the statistical estimate of the CPR (conditional early repayment rate) on the loan portfolio. The estimates on the sensitivity of the interest income in the templates below assume static balance sheet size and structure, no management actions and constant foreign exchange rates. The scenarios used in the EU IRRBB1 template related to the change in economic value correspond to the scenarios of the “Supervisory Outlier Test” required by the EBA regulation (EBA/GL/2018/02). The scenarios used for the sensitivity of the interest margin reported in the EU IRRBB1 template were defined as follows: • parallel up: parallel shock of +100bps on all interest rate curves, for all currencies; • parallel down: parallel downward shock in interest rates 100bps or lower depending on the level of interest rates in the individual currencies (CHF, EUR, BAM and BGN -25bps; JPY, HRK -50bps; HUF, RON -75bps). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 390 2021 Annual Report and Accounts · UniCredit The Group measures and monitors interest rate risk every day. The main sources of interest rate risk can be classified as follows: • “Gap” risk: arises from the term structure of the banking book; this is the risk that is generated from different timings in the rate changes of the instruments. The extent of the change in the "gap" also depends on the linearity of the change in the term structure of rates, which can occur consistently across the entire rate curve (parallel risk) or differently from period to period of the curve (non-parallel risk). The “gap” risk also includes the repricing risk, i.e. the risk of changes in the interest margin which occurs when the rate of a financial contract resets; the same also refers to the yield curve risk, which occurs when a shift in an interest rate curve impacts the economic value of the assets and liabilities sensitive to interest rate risk. • Basis risk: it can be divided into two types of risk: - “tenor” risk: derives from the mismatch between the maturity of the instrument and changes in interest rates; - currency risk: derives from the potential lack of compensation between interest rate sensitivities emerging from different currencies; • Option risk: derives from positions in derivatives or from optional elements incorporated in many assets, liabilities and off-balance sheet items of the bank, where either the bank or the customer have the right to change the amount and timing of cash flows. The measurement of interest rate risk includes: • the sensitivity analysis of interest margins to changes in interest rates: a constant balance sheet analysis (under the assumption that positions remain constant during the period), and a simulation of the impact on the interest margin for the current period, that also considering the elasticity assumptions for items on demand. Furthermore, with the simulation analysis is assessed the impact on income of different shocks of the interest rate curves, including an instantaneous and parallel rate hike scenario of +100bps and a rate fall scenario of -100bps or lower in a function of the level of rates in the individual currencies as required by the EBA regulations. Additional scenarios are simulated to consider basis risk and other non-parallel shocks; • the analysis of the sensitivity of the Economic Value to changes in interest rates: it includes the calculation of duration measures, sensitivity of the economic value of the balance sheet items for the different points of the curve, as well as the impact on the economic value deriving from large changes in market rates, according to the scenarios of the “Supervisory Outlier Test” required by the EBA regulation (EBA/GL/2018/02). The interest rate risk is monitored daily in terms of the sensitivity of the economic value, for an instantaneous and parallel shock of +1 basis point of the term structure of the interest rates. The function responsible for managing interest rate risk, checks on a daily basis the use of the limits for exposure to interest rate risk following a 1bp shock. The basis risk and the risk emerging from options are, respectively measured by the "IR Basis" and "IR Vega" metrics. On a monthly basis, the sensitivity of the Economic Value is monitored for more severe parallel and non-parallel shocks on the term structure of interest rates and that of the interest margin, as described in the previous paragraph. The assumptions and parameters of the behavioral models used for the internal measurement systems are the same used to generate the regulatory exposures published in EU IRRBB1 tables. The mitigation of the interest rate risk and the hedging activities of the banking book are carried out through the use of regulated or Over the Counter (OTC) derivatives with an underlying interest rate. The optimization of the natural hedge of the assets with the bank's liabilities is managed by the Group Treasury function and the single legal entities. The interest rate risk is mainly transferred within the trading book of UniCredit Bank AG, which optimises the UniCredit group's hedging costs and outsources them to the market. Derivative contracts hedging the interest rate risk of the banking book not held for trading are recognised in the accounts as cash flow hedges or fair value hedges. The presence and effects of behavioral options in the balance sheet are taken into consideration through the development and application of behavioral models. The maturity profile as well as the average maturity of repricing of maturity deposits take into account the identification of the "stable" portion of the balances, or the amount of the deposit that could represent a stable source of financing despite the short contractual maturity, or the identification of the "core" part of the deposits, that is the amount of the deposits which is stable and difficult to revalue even in the presence of significant changes in the context of interest rates, determined through the statistical evaluation of the stability of the volume and elasticity of the customer rate (i.e. the beta parameter). The maturity profile, as well as the average repricing maturity of mortgages and retail loans, both take into account the optionality of the advance payment, which is assessed through the statistical estimate of the CPR (conditional early repayment rate) on the loan portfolio. The estimates on the sensitivity of the interest income in the templates below assume static balance sheet size and structure, no management actions and constant foreign exchange rates. The scenarios used in the EU IRRBB1 template related to the change in economic value correspond to the scenarios of the “Supervisory Outlier Test” required by the EBA regulation (EBA/GL/2018/02). The scenarios used for the sensitivity of the interest margin reported in the EU IRRBB1 template were defined as follows: • parallel up: parallel shock of +100bps on all interest rate curves, for all currencies; • parallel down: parallel downward shock in interest rates 100bps or lower depending on the level of interest rates in the individual currencies (CHF, EUR, BAM and BGN -25bps; JPY, HRK -50bps; HUF, RON -75bps). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 390 2021 Annual Report and Accounts · UniCredit The Group measures and monitors interest rate risk every day. The main sources of interest rate risk can be classified as follows: • “Gap” risk: arises from the term structure of the banking book; this is the risk that is generated from different timings in the rate changes of the instruments. The extent of the change in the "gap" also depends on the linearity of the change in the term structure of rates, which can occur consistently across the entire rate curve (parallel risk) or differently from period to period of the curve (non-parallel risk). The “gap” risk also includes the repricing risk, i.e. the risk of changes in the interest margin which occurs when the rate of a financial contract resets; the same also refers to the yield curve risk, which occurs when a shift in an interest rate curve impacts the economic value of the assets and liabilities sensitive to interest rate risk. • Basis risk: it can be divided into two types of risk: - “tenor” risk: derives from the mismatch between the maturity of the instrument and changes in interest rates; - currency risk: derives from the potential lack of compensation between interest rate sensitivities emerging from different currencies; • Option risk: derives from positions in derivatives or from optional elements incorporated in many assets, liabilities and off-balance sheet items of the bank, where either the bank or the customer have the right to change the amount and timing of cash flows. The measurement of interest rate risk includes: • the sensitivity analysis of interest margins to changes in interest rates: a constant balance sheet analysis (under the assumption that positions remain constant during the period), and a simulation of the impact on the interest margin for the current period, that also considering the elasticity assumptions for items on demand. Furthermore, with the simulation analysis is assessed the impact on income of different shocks of the interest rate curves, including an instantaneous and parallel rate hike scenario of +100bps and a rate fall scenario of -100bps or lower in a function of the level of rates in the individual currencies as required by the EBA regulations. Additional scenarios are simulated to consider basis risk and other non-parallel shocks; • the analysis of the sensitivity of the Economic Value to changes in interest rates: it includes the calculation of duration measures, sensitivity of the economic value of the balance sheet items for the different points of the curve, as well as the impact on the economic value deriving from large changes in market rates, according to the scenarios of the “Supervisory Outlier Test” required by the EBA regulation (EBA/GL/2018/02). The interest rate risk is monitored daily in terms of the sensitivity of the economic value, for an instantaneous and parallel shock of +1 basis point of the term structure of the interest rates. The function responsible for managing interest rate risk, checks on a daily basis the use of the limits for exposure to interest rate risk following a 1bp shock. The basis risk and the risk emerging from options are, respectively measured by the "IR Basis" and "IR Vega" metrics. On a monthly basis, the sensitivity of the Economic Value is monitored for more severe parallel and non-parallel shocks on the term structure of interest rates and that of the interest margin, as described in the previous paragraph. The assumptions and parameters of the behavioral models used for the internal measurement systems are the same used to generate the regulatory exposures published in EU IRRBB1 tables. The mitigation of the interest rate risk and the hedging activities of the banking book are carried out through the use of regulated or Over the Counter (OTC) derivatives with an underlying interest rate. The optimization of the natural hedge of the assets with the bank's liabilities is managed by the Group Treasury function and the single legal entities. The interest rate risk is mainly transferred within the trading book of UniCredit Bank AG, which optimises the UniCredit group's hedging costs and outsources them to the market. Derivative contracts hedging the interest rate risk of the banking book not held for trading are recognised in the accounts as cash flow hedges or fair value hedges. The presence and effects of behavioral options in the balance sheet are taken into consideration through the development and application of behavioral models. The maturity profile as well as the average maturity of repricing of maturity deposits take into account the identification of the "stable" portion of the balances, or the amount of the deposit that could represent a stable source of financing despite the short contractual maturity, or the identification of the "core" part of the deposits, that is the amount of the deposits which is stable and difficult to revalue even in the presence of significant changes in the context of interest rates, determined through the statistical evaluation of the stability of the volume and elasticity of the customer rate (i.e. the beta parameter). The maturity profile, as well as the average repricing maturity of mortgages and retail loans, both take into account the optionality of the advance payment, which is assessed through the statistical estimate of the CPR (conditional early repayment rate) on the loan portfolio. The estimates on the sensitivity of the interest income in the templates below assume static balance sheet size and structure, no management actions and constant foreign exchange rates. The scenarios used in the EU IRRBB1 template related to the change in economic value correspond to the scenarios of the “Supervisory Outlier Test” required by the EBA regulation (EBA/GL/2018/02). The scenarios used for the sensitivity of the interest margin reported in the EU IRRBB1 template were defined as follows: • parallel up: parallel shock of +100bps on all interest rate curves, for all currencies; • parallel down: parallel downward shock in interest rates 100bps or lower depending on the level of interest rates in the individual currencies (CHF, EUR, BAM and BGN -25bps; JPY, HRK -50bps; HUF, RON -75bps). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 390 2021 Annual Report and Accounts · UniCredit The Group measures and monitors interest rate risk every day. The main sources of interest rate risk can be classified as follows: • “Gap” risk: arises from the term structure of the banking book; this is the risk that is generated from different timings in the rate changes of the instruments. The extent of the change in the "gap" also depends on the linearity of the change in the term structure of rates, which can occur consistently across the entire rate curve (parallel risk) or differently from period to period of the curve (non-parallel risk). The “gap” risk also includes the repricing risk, i.e. the risk of changes in the interest margin which occurs when the rate of a financial contract resets; the same also refers to the yield curve risk, which occurs when a shift in an interest rate curve impacts the economic value of the assets and liabilities sensitive to interest rate risk. • Basis risk: it can be divided into two types of risk: - “tenor” risk: derives from the mismatch between the maturity of the instrument and changes in interest rates; - currency risk: derives from the potential lack of compensation between interest rate sensitivities emerging from different currencies; • Option risk: derives from positions in derivatives or from optional elements incorporated in many assets, liabilities and off-balance sheet items of the bank, where either the bank or the customer have the right to change the amount and timing of cash flows. The measurement of interest rate risk includes: • the sensitivity analysis of interest margins to changes in interest rates: a constant balance sheet analysis (under the assumption that positions remain constant during the period), and a simulation of the impact on the interest margin for the current period, that also considering the elasticity assumptions for items on demand. Furthermore, with the simulation analysis is assessed the impact on income of different shocks of the interest rate curves, including an instantaneous and parallel rate hike scenario of +100bps and a rate fall scenario of -100bps or lower in a function of the level of rates in the individual currencies as required by the EBA regulations. Additional scenarios are simulated to consider basis risk and other non-parallel shocks; • the analysis of the sensitivity of the Economic Value to changes in interest rates: it includes the calculation of duration measures, sensitivity of the economic value of the balance sheet items for the different points of the curve, as well as the impact on the economic value deriving from large changes in market rates, according to the scenarios of the “Supervisory Outlier Test” required by the EBA regulation (EBA/GL/2018/02). The interest rate risk is monitored daily in terms of the sensitivity of the economic value, for an instantaneous and parallel shock of +1 basis point of the term structure of the interest rates. The function responsible for managing interest rate risk, checks on a daily basis the use of the limits for exposure to interest rate risk following a 1bp shock. The basis risk and the risk emerging from options are, respectively measured by the "IR Basis" and "IR Vega" metrics. On a monthly basis, the sensitivity of the Economic Value is monitored for more severe parallel and non-parallel shocks on the term structure of interest rates and that of the interest margin, as described in the previous paragraph. The assumptions and parameters of the behavioral models used for the internal measurement systems are the same used to generate the regulatory exposures published in EU IRRBB1 tables. The mitigation of the interest rate risk and the hedging activities of the banking book are carried out through the use of regulated or Over the Counter (OTC) derivatives with an underlying interest rate. The optimization of the natural hedge of the assets with the bank's liabilities is managed by the Group Treasury function and the single legal entities. The interest rate risk is mainly transferred within the trading book of UniCredit Bank AG, which optimises the UniCredit group's hedging costs and outsources them to the market. Derivative contracts hedging the interest rate risk of the banking book not held for trading are recognised in the accounts as cash flow hedges or fair value hedges. The presence and effects of behavioral options in the balance sheet are taken into consideration through the development and application of behavioral models. The maturity profile as well as the average maturity of repricing of maturity deposits take into account the identification of the "stable" portion of the balances, or the amount of the deposit that could represent a stable source of financing despite the short contractual maturity, or the identification of the "core" part of the deposits, that is the amount of the deposits which is stable and difficult to revalue even in the presence of significant changes in the context of interest rates, determined through the statistical evaluation of the stability of the volume and elasticity of the customer rate (i.e. the beta parameter). The maturity profile, as well as the average repricing maturity of mortgages and retail loans, both take into account the optionality of the advance payment, which is assessed through the statistical estimate of the CPR (conditional early repayment rate) on the loan portfolio. The estimates on the sensitivity of the interest income in the templates below assume static balance sheet size and structure, no management actions and constant foreign exchange rates. The scenarios used in the EU IRRBB1 template related to the change in economic value correspond to the scenarios of the “Supervisory Outlier Test” required by the EBA regulation (EBA/GL/2018/02). The scenarios used for the sensitivity of the interest margin reported in the EU IRRBB1 template were defined as follows: • parallel up: parallel shock of +100bps on all interest rate curves, for all currencies; • parallel down: parallel downward shock in interest rates 100bps or lower depending on the level of interest rates in the individual currencies (CHF, EUR, BAM and BGN -25bps; JPY, HRK -50bps; HUF, RON -75bps). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 391 The average repricing maturity assigned to non-maturity deposits is 2.2 years. The longest repricing maturity assigned to non-maturity deposits is 20 years. Price risk A. General aspects, operational processes and methods for measuring price risk Banking Book price risk primarily originates from equity interests held by the Parent Company and its subsidiaries as stable investments, as well as units in mutual investment funds not included in the Trading Book as they are also held as stable investments. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes paragraph and for the complex scenarios’ description to Stress Test paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. Quantitative information 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 97,132 257,681 39,201 36,859 161,106 67,781 44,453 100 1.1 Debt securities 695 20,288 8,040 13,354 74,764 29,640 11,079 - - With prepayment option - 98 39 12 662 481 108 - - Other 695 20,190 8,001 13,342 74,102 29,159 10,971 - 1.2 Loans to banks 2,287 74,699 2,033 1,416 2,961 154 93 - 1.3 Loans to customers 94,150 162,694 29,128 22,089 83,381 37,987 33,281 100 - Current accounts 23,207 1,422 235 99 262 14 449 - - Other loans 70,943 161,272 28,893 21,990 83,119 37,973 32,832 100 - With prepayment option 11,966 53,547 9,911 4,584 22,371 9,781 11,940 - - Other 58,977 107,725 18,982 17,406 60,748 28,192 20,892 100 2. On-balance sheet liabilities 445,700 96,489 29,242 22,459 139,320 25,504 15,603 7 2.1 Deposits from customers 426,178 53,819 4,892 8,188 3,455 1,838 1,272 2 - Current accounts 416,903 145 2 3 15 19 35 - - Other 9,275 53,674 4,890 8,185 3,440 1,819 1,237 2 - With prepayment option 121 - - - - - - - - Other 9,154 53,674 4,890 8,185 3,440 1,819 1,237 2 2.2 Deposits from banks 16,793 20,933 17,097 1,239 101,400 4,546 445 - - Current accounts 10,571 6 - 1 5 - - - - Other 6,222 20,927 17,097 1,238 101,395 4,546 445 - 2.3 Debt secuties in issue 1,166 20,158 7,185 12,797 33,966 18,950 13,856 4 - With prepayment option 32 840 7 531 1,867 2,192 611 4 - Other 1,134 19,318 7,178 12,266 32,099 16,758 13,245 - 2.4 Other liabilities 1,563 1,579 68 235 499 170 30 1 - With prepayment option 3 - - - - - - - - Other 1,560 1,579 68 235 499 170 30 1 3. Financial derivatives 3.1 With underlying security - Option + Long positions 1 234 94 8 10 285 46 - + Short positions 1 72 40 39 216 257 111 - - Other derivates + Long positions - 93 - - 1 - - - + Short positions - 93 - - 1 - - - 3.2 Without underlying security - Option + Long positions - 354 5 341 843 86 1,123 - + Short positions - 304 19 386 910 142 1,242 - - Other derivatives + Long positions 50,105 215,043 39,169 76,640 121,278 43,839 17,819 - + Short positions 91,980 187,454 39,353 85,209 115,893 22,312 18,954 - 4. Other off-balance sheet transactions + Long positions 93,616 33,719 3,221 4,484 6,484 1,813 4,360 188 + Short positions 107,377 25,589 3,072 3,948 3,403 764 3,545 188 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 391 The average repricing maturity assigned to non-maturity deposits is 2.2 years. The longest repricing maturity assigned to non-maturity deposits is 20 years. Price risk A. General aspects, operational processes and methods for measuring price risk Banking Book price risk primarily originates from equity interests held by the Parent Company and its subsidiaries as stable investments, as well as units in mutual investment funds not included in the Trading Book as they are also held as stable investments. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes paragraph and for the complex scenarios’ description to Stress Test paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. Quantitative information 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 97,132 257,681 39,201 36,859 161,106 67,781 44,453 100 1.1 Debt securities 695 20,288 8,040 13,354 74,764 29,640 11,079 - - With prepayment option - 98 39 12 662 481 108 - - Other 695 20,190 8,001 13,342 74,102 29,159 10,971 - 1.2 Loans to banks 2,287 74,699 2,033 1,416 2,961 154 93 - 1.3 Loans to customers 94,150 162,694 29,128 22,089 83,381 37,987 33,281 100 - Current accounts 23,207 1,422 235 99 262 14 449 - - Other loans 70,943 161,272 28,893 21,990 83,119 37,973 32,832 100 - With prepayment option 11,966 53,547 9,911 4,584 22,371 9,781 11,940 - - Other 58,977 107,725 18,982 17,406 60,748 28,192 20,892 100 2. On-balance sheet liabilities 445,700 96,489 29,242 22,459 139,320 25,504 15,603 7 2.1 Deposits from customers 426,178 53,819 4,892 8,188 3,455 1,838 1,272 2 - Current accounts 416,903 145 2 3 15 19 35 - - Other 9,275 53,674 4,890 8,185 3,440 1,819 1,237 2 - With prepayment option 121 - - - - - - - - Other 9,154 53,674 4,890 8,185 3,440 1,819 1,237 2 2.2 Deposits from banks 16,793 20,933 17,097 1,239 101,400 4,546 445 - - Current accounts 10,571 6 - 1 5 - - - - Other 6,222 20,927 17,097 1,238 101,395 4,546 445 - 2.3 Debt secuties in issue 1,166 20,158 7,185 12,797 33,966 18,950 13,856 4 - With prepayment option 32 840 7 531 1,867 2,192 611 4 - Other 1,134 19,318 7,178 12,266 32,099 16,758 13,245 - 2.4 Other liabilities 1,563 1,579 68 235 499 170 30 1 - With prepayment option 3 - - - - - - - - Other 1,560 1,579 68 235 499 170 30 1 3. Financial derivatives 3.1 With underlying security - Option + Long positions 1 234 94 8 10 285 46 - + Short positions 1 72 40 39 216 257 111 - - Other derivates + Long positions - 93 - - 1 - - - + Short positions - 93 - - 1 - - - 3.2 Without underlying security - Option + Long positions - 354 5 341 843 86 1,123 - + Short positions - 304 19 386 910 142 1,242 - - Other derivatives + Long positions 50,105 215,043 39,169 76,640 121,278 43,839 17,819 - + Short positions 91,980 187,454 39,353 85,209 115,893 22,312 18,954 - 4. Other off-balance sheet transactions + Long positions 93,616 33,719 3,221 4,484 6,484 1,813 4,360 188 + Short positions 107,377 25,589 3,072 3,948 3,403 764 3,545 188 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 391 The average repricing maturity assigned to non-maturity deposits is 2.2 years. The longest repricing maturity assigned to non-maturity deposits is 20 years. Price risk A. General aspects, operational processes and methods for measuring price risk Banking Book price risk primarily originates from equity interests held by the Parent Company and its subsidiaries as stable investments, as well as units in mutual investment funds not included in the Trading Book as they are also held as stable investments. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes paragraph and for the complex scenarios’ description to Stress Test paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. Quantitative information 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 97,132 257,681 39,201 36,859 161,106 67,781 44,453 100 1.1 Debt securities 695 20,288 8,040 13,354 74,764 29,640 11,079 - - With prepayment option - 98 39 12 662 481 108 - - Other 695 20,190 8,001 13,342 74,102 29,159 10,971 - 1.2 Loans to banks 2,287 74,699 2,033 1,416 2,961 154 93 - 1.3 Loans to customers 94,150 162,694 29,128 22,089 83,381 37,987 33,281 100 - Current accounts 23,207 1,422 235 99 262 14 449 - - Other loans 70,943 161,272 28,893 21,990 83,119 37,973 32,832 100 - With prepayment option 11,966 53,547 9,911 4,584 22,371 9,781 11,940 - - Other 58,977 107,725 18,982 17,406 60,748 28,192 20,892 100 2. On-balance sheet liabilities 445,700 96,489 29,242 22,459 139,320 25,504 15,603 7 2.1 Deposits from customers 426,178 53,819 4,892 8,188 3,455 1,838 1,272 2 - Current accounts 416,903 145 2 3 15 19 35 - - Other 9,275 53,674 4,890 8,185 3,440 1,819 1,237 2 - With prepayment option 121 - - - - - - - - Other 9,154 53,674 4,890 8,185 3,440 1,819 1,237 2 2.2 Deposits from banks 16,793 20,933 17,097 1,239 101,400 4,546 445 - - Current accounts 10,571 6 - 1 5 - - - - Other 6,222 20,927 17,097 1,238 101,395 4,546 445 - 2.3 Debt secuties in issue 1,166 20,158 7,185 12,797 33,966 18,950 13,856 4 - With prepayment option 32 840 7 531 1,867 2,192 611 4 - Other 1,134 19,318 7,178 12,266 32,099 16,758 13,245 - 2.4 Other liabilities 1,563 1,579 68 235 499 170 30 1 - With prepayment option 3 - - - - - - - - Other 1,560 1,579 68 235 499 170 30 1 3. Financial derivatives 3.1 With underlying security - Option + Long positions 1 234 94 8 10 285 46 - + Short positions 1 72 40 39 216 257 111 - - Other derivates + Long positions - 93 - - 1 - - - + Short positions - 93 - - 1 - - - 3.2 Without underlying security - Option + Long positions - 354 5 341 843 86 1,123 - + Short positions - 304 19 386 910 142 1,242 - - Other derivatives + Long positions 50,105 215,043 39,169 76,640 121,278 43,839 17,819 - + Short positions 91,980 187,454 39,353 85,209 115,893 22,312 18,954 - 4. Other off-balance sheet transactions + Long positions 93,616 33,719 3,221 4,484 6,484 1,813 4,360 188 + Short positions 107,377 25,589 3,072 3,948 3,403 764 3,545 188 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 391 The average repricing maturity assigned to non-maturity deposits is 2.2 years. The longest repricing maturity assigned to non-maturity deposits is 20 years. Price risk A. General aspects, operational processes and methods for measuring price risk Banking Book price risk primarily originates from equity interests held by the Parent Company and its subsidiaries as stable investments, as well as units in mutual investment funds not included in the Trading Book as they are also held as stable investments. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes paragraph and for the complex scenarios’ description to Stress Test paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. Quantitative information 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 97,132 257,681 39,201 36,859 161,106 67,781 44,453 100 1.1 Debt securities 695 20,288 8,040 13,354 74,764 29,640 11,079 - - With prepayment option - 98 39 12 662 481 108 - - Other 695 20,190 8,001 13,342 74,102 29,159 10,971 - 1.2 Loans to banks 2,287 74,699 2,033 1,416 2,961 154 93 - 1.3 Loans to customers 94,150 162,694 29,128 22,089 83,381 37,987 33,281 100 - Current accounts 23,207 1,422 235 99 262 14 449 - - Other loans 70,943 161,272 28,893 21,990 83,119 37,973 32,832 100 - With prepayment option 11,966 53,547 9,911 4,584 22,371 9,781 11,940 - - Other 58,977 107,725 18,982 17,406 60,748 28,192 20,892 100 2. On-balance sheet liabilities 445,700 96,489 29,242 22,459 139,320 25,504 15,603 7 2.1 Deposits from customers 426,178 53,819 4,892 8,188 3,455 1,838 1,272 2 - Current accounts 416,903 145 2 3 15 19 35 - - Other 9,275 53,674 4,890 8,185 3,440 1,819 1,237 2 - With prepayment option 121 - - - - - - - - Other 9,154 53,674 4,890 8,185 3,440 1,819 1,237 2 2.2 Deposits from banks 16,793 20,933 17,097 1,239 101,400 4,546 445 - - Current accounts 10,571 6 - 1 5 - - - - Other 6,222 20,927 17,097 1,238 101,395 4,546 445 - 2.3 Debt secuties in issue 1,166 20,158 7,185 12,797 33,966 18,950 13,856 4 - With prepayment option 32 840 7 531 1,867 2,192 611 4 - Other 1,134 19,318 7,178 12,266 32,099 16,758 13,245 - 2.4 Other liabilities 1,563 1,579 68 235 499 170 30 1 - With prepayment option 3 - - - - - - - - Other 1,560 1,579 68 235 499 170 30 1 3. Financial derivatives 3.1 With underlying security - Option + Long positions 1 234 94 8 10 285 46 - + Short positions 1 72 40 39 216 257 111 - - Other derivates + Long positions - 93 - - 1 - - - + Short positions - 93 - - 1 - - - 3.2 Without underlying security - Option + Long positions - 354 5 341 843 86 1,123 - + Short positions - 304 19 386 910 142 1,242 - - Other derivatives + Long positions 50,105 215,043 39,169 76,640 121,278 43,839 17,819 - + Short positions 91,980 187,454 39,353 85,209 115,893 22,312 18,954 - 4. Other off-balance sheet transactions + Long positions 93,616 33,719 3,221 4,484 6,484 1,813 4,360 188 + Short positions 107,377 25,589 3,072 3,948 3,403 764 3,545 188 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 391 The average repricing maturity assigned to non-maturity deposits is 2.2 years. The longest repricing maturity assigned to non-maturity deposits is 20 years. Price risk A. General aspects, operational processes and methods for measuring price risk Banking Book price risk primarily originates from equity interests held by the Parent Company and its subsidiaries as stable investments, as well as units in mutual investment funds not included in the Trading Book as they are also held as stable investments. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes paragraph and for the complex scenarios’ description to Stress Test paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. Quantitative information 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 97,132 257,681 39,201 36,859 161,106 67,781 44,453 100 1.1 Debt securities 695 20,288 8,040 13,354 74,764 29,640 11,079 - - With prepayment option - 98 39 12 662 481 108 - - Other 695 20,190 8,001 13,342 74,102 29,159 10,971 - 1.2 Loans to banks 2,287 74,699 2,033 1,416 2,961 154 93 - 1.3 Loans to customers 94,150 162,694 29,128 22,089 83,381 37,987 33,281 100 - Current accounts 23,207 1,422 235 99 262 14 449 - - Other loans 70,943 161,272 28,893 21,990 83,119 37,973 32,832 100 - With prepayment option 11,966 53,547 9,911 4,584 22,371 9,781 11,940 - - Other 58,977 107,725 18,982 17,406 60,748 28,192 20,892 100 2. On-balance sheet liabilities 445,700 96,489 29,242 22,459 139,320 25,504 15,603 7 2.1 Deposits from customers 426,178 53,819 4,892 8,188 3,455 1,838 1,272 2 - Current accounts 416,903 145 2 3 15 19 35 - - Other 9,275 53,674 4,890 8,185 3,440 1,819 1,237 2 - With prepayment option 121 - - - - - - - - Other 9,154 53,674 4,890 8,185 3,440 1,819 1,237 2 2.2 Deposits from banks 16,793 20,933 17,097 1,239 101,400 4,546 445 - - Current accounts 10,571 6 - 1 5 - - - - Other 6,222 20,927 17,097 1,238 101,395 4,546 445 - 2.3 Debt secuties in issue 1,166 20,158 7,185 12,797 33,966 18,950 13,856 4 - With prepayment option 32 840 7 531 1,867 2,192 611 4 - Other 1,134 19,318 7,178 12,266 32,099 16,758 13,245 - 2.4 Other liabilities 1,563 1,579 68 235 499 170 30 1 - With prepayment option 3 - - - - - - - - Other 1,560 1,579 68 235 499 170 30 1 3. Financial derivatives 3.1 With underlying security - Option + Long positions 1 234 94 8 10 285 46 - + Short positions 1 72 40 39 216 257 111 - - Other derivates + Long positions - 93 - - 1 - - - + Short positions - 93 - - 1 - - - 3.2 Without underlying security - Option + Long positions - 354 5 341 843 86 1,123 - + Short positions - 304 19 386 910 142 1,242 - - Other derivatives + Long positions 50,105 215,043 39,169 76,640 121,278 43,839 17,819 - + Short positions 91,980 187,454 39,353 85,209 115,893 22,312 18,954 - 4. Other off-balance sheet transactions + Long positions 93,616 33,719 3,221 4,484 6,484 1,813 4,360 188 + Short positions 107,377 25,589 3,072 3,948 3,403 764 3,545 188 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 392 2021 Annual Report and Accounts · UniCredit 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: euro (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 83,130 227,408 34,526 30,488 141,351 59,104 40,861 80 1.1 Debt securities 665 18,826 7,425 10,096 65,533 24,539 8,524 - - With prepayment option - 98 39 12 638 481 108 - - Other 665 18,728 7,386 10,084 64,895 24,058 8,416 - 1.2 Loans to banks 2,000 62,262 1,180 1,312 1,991 154 93 - 1.3 Loans to customers 80,465 146,320 25,921 19,080 73,827 34,411 32,244 80 - Current accounts 21,000 627 212 82 260 14 440 - - Other loans 59,465 145,693 25,709 18,998 73,567 34,397 31,804 80 - With prepayment option 11,802 50,304 9,008 4,511 21,996 9,464 11,891 - - Other 47,663 95,389 16,701 14,487 51,571 24,933 19,913 80 2. On-balance sheet liabilities 396,818 78,225 26,262 20,737 134,820 23,831 10,822 2 2.1 Deposits from customers 380,413 44,244 3,843 6,578 2,911 1,761 1,177 1 - Current accounts 371,689 57 - - - - 33 - - Other 8,724 44,187 3,843 6,578 2,911 1,761 1,144 1 - With prepayment option 121 - - - - - - - - Other 8,603 44,187 3,843 6,578 2,911 1,761 1,144 1 2.2 Deposits from banks 14,017 15,488 16,611 1,191 101,260 4,443 444 - - Current accounts 9,584 6 - 1 4 - - - - Other 4,433 15,482 16,611 1,190 101,256 4,443 444 - 2.3 Debt secuties in issue 1,032 16,916 5,741 12,736 30,165 17,460 9,173 - - With prepayment option 32 840 7 531 1,867 2,192 611 - - Other 1,000 16,076 5,734 12,205 28,298 15,268 8,562 - 2.4 Other liabilities 1,356 1,577 67 232 484 167 28 1 - With prepayment option 3 - - - - - - - - Other 1,353 1,577 67 232 484 167 28 1 3. Financial derivatives 3.1 With underlying security - Option + Long positions 1 234 94 8 10 285 46 - + Short positions 1 72 40 39 216 257 111 - - Other derivates + Long positions - - - - 1 - - - + Short positions - - - - 1 - - - 3.2 Without underlying security - Option + Long positions - 338 5 341 843 86 1,123 - + Short positions - 130 19 386 910 142 1,242 - - Other derivatives + Long positions 50,099 209,275 37,248 75,008 118,598 43,242 17,819 - + Short positions 91,974 182,698 38,259 82,445 110,974 21,699 18,954 - 4. Other off-balance sheet transactions + Long positions 88,836 32,973 2,401 2,686 4,774 1,041 2,168 64 + Short positions 102,228 24,807 2,251 2,166 1,729 331 1,368 64 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 392 2021 Annual Report and Accounts · UniCredit 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: euro (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 83,130 227,408 34,526 30,488 141,351 59,104 40,861 80 1.1 Debt securities 665 18,826 7,425 10,096 65,533 24,539 8,524 - - With prepayment option - 98 39 12 638 481 108 - - Other 665 18,728 7,386 10,084 64,895 24,058 8,416 - 1.2 Loans to banks 2,000 62,262 1,180 1,312 1,991 154 93 - 1.3 Loans to customers 80,465 146,320 25,921 19,080 73,827 34,411 32,244 80 - Current accounts 21,000 627 212 82 260 14 440 - - Other loans 59,465 145,693 25,709 18,998 73,567 34,397 31,804 80 - With prepayment option 11,802 50,304 9,008 4,511 21,996 9,464 11,891 - - Other 47,663 95,389 16,701 14,487 51,571 24,933 19,913 80 2. On-balance sheet liabilities 396,818 78,225 26,262 20,737 134,820 23,831 10,822 2 2.1 Deposits from customers 380,413 44,244 3,843 6,578 2,911 1,761 1,177 1 - Current accounts 371,689 57 - - - - 33 - - Other 8,724 44,187 3,843 6,578 2,911 1,761 1,144 1 - With prepayment option 121 - - - - - - - - Other 8,603 44,187 3,843 6,578 2,911 1,761 1,144 1 2.2 Deposits from banks 14,017 15,488 16,611 1,191 101,260 4,443 444 - - Current accounts 9,584 6 - 1 4 - - - - Other 4,433 15,482 16,611 1,190 101,256 4,443 444 - 2.3 Debt secuties in issue 1,032 16,916 5,741 12,736 30,165 17,460 9,173 - - With prepayment option 32 840 7 531 1,867 2,192 611 - - Other 1,000 16,076 5,734 12,205 28,298 15,268 8,562 - 2.4 Other liabilities 1,356 1,577 67 232 484 167 28 1 - With prepayment option 3 - - - - - - - - Other 1,353 1,577 67 232 484 167 28 1 3. Financial derivatives 3.1 With underlying security - Option + Long positions 1 234 94 8 10 285 46 - + Short positions 1 72 40 39 216 257 111 - - Other derivates + Long positions - - - - 1 - - - + Short positions - - - - 1 - - - 3.2 Without underlying security - Option + Long positions - 338 5 341 843 86 1,123 - + Short positions - 130 19 386 910 142 1,242 - - Other derivatives + Long positions 50,099 209,275 37,248 75,008 118,598 43,242 17,819 - + Short positions 91,974 182,698 38,259 82,445 110,974 21,699 18,954 - 4. Other off-balance sheet transactions + Long positions 88,836 32,973 2,401 2,686 4,774 1,041 2,168 64 + Short positions 102,228 24,807 2,251 2,166 1,729 331 1,368 64 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 392 2021 Annual Report and Accounts · UniCredit 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: euro (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 83,130 227,408 34,526 30,488 141,351 59,104 40,861 80 1.1 Debt securities 665 18,826 7,425 10,096 65,533 24,539 8,524 - - With prepayment option - 98 39 12 638 481 108 - - Other 665 18,728 7,386 10,084 64,895 24,058 8,416 - 1.2 Loans to banks 2,000 62,262 1,180 1,312 1,991 154 93 - 1.3 Loans to customers 80,465 146,320 25,921 19,080 73,827 34,411 32,244 80 - Current accounts 21,000 627 212 82 260 14 440 - - Other loans 59,465 145,693 25,709 18,998 73,567 34,397 31,804 80 - With prepayment option 11,802 50,304 9,008 4,511 21,996 9,464 11,891 - - Other 47,663 95,389 16,701 14,487 51,571 24,933 19,913 80 2. On-balance sheet liabilities 396,818 78,225 26,262 20,737 134,820 23,831 10,822 2 2.1 Deposits from customers 380,413 44,244 3,843 6,578 2,911 1,761 1,177 1 - Current accounts 371,689 57 - - - - 33 - - Other 8,724 44,187 3,843 6,578 2,911 1,761 1,144 1 - With prepayment option 121 - - - - - - - - Other 8,603 44,187 3,843 6,578 2,911 1,761 1,144 1 2.2 Deposits from banks 14,017 15,488 16,611 1,191 101,260 4,443 444 - - Current accounts 9,584 6 - 1 4 - - - - Other 4,433 15,482 16,611 1,190 101,256 4,443 444 - 2.3 Debt secuties in issue 1,032 16,916 5,741 12,736 30,165 17,460 9,173 - - With prepayment option 32 840 7 531 1,867 2,192 611 - - Other 1,000 16,076 5,734 12,205 28,298 15,268 8,562 - 2.4 Other liabilities 1,356 1,577 67 232 484 167 28 1 - With prepayment option 3 - - - - - - - - Other 1,353 1,577 67 232 484 167 28 1 3. Financial derivatives 3.1 With underlying security - Option + Long positions 1 234 94 8 10 285 46 - + Short positions 1 72 40 39 216 257 111 - - Other derivates + Long positions - - - - 1 - - - + Short positions - - - - 1 - - - 3.2 Without underlying security - Option + Long positions - 338 5 341 843 86 1,123 - + Short positions - 130 19 386 910 142 1,242 - - Other derivatives + Long positions 50,099 209,275 37,248 75,008 118,598 43,242 17,819 - + Short positions 91,974 182,698 38,259 82,445 110,974 21,699 18,954 - 4. Other off-balance sheet transactions + Long positions 88,836 32,973 2,401 2,686 4,774 1,041 2,168 64 + Short positions 102,228 24,807 2,251 2,166 1,729 331 1,368 64 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 392 2021 Annual Report and Accounts · UniCredit 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: euro (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 83,130 227,408 34,526 30,488 141,351 59,104 40,861 80 1.1 Debt securities 665 18,826 7,425 10,096 65,533 24,539 8,524 - - With prepayment option - 98 39 12 638 481 108 - - Other 665 18,728 7,386 10,084 64,895 24,058 8,416 - 1.2 Loans to banks 2,000 62,262 1,180 1,312 1,991 154 93 - 1.3 Loans to customers 80,465 146,320 25,921 19,080 73,827 34,411 32,244 80 - Current accounts 21,000 627 212 82 260 14 440 - - Other loans 59,465 145,693 25,709 18,998 73,567 34,397 31,804 80 - With prepayment option 11,802 50,304 9,008 4,511 21,996 9,464 11,891 - - Other 47,663 95,389 16,701 14,487 51,571 24,933 19,913 80 2. On-balance sheet liabilities 396,818 78,225 26,262 20,737 134,820 23,831 10,822 2 2.1 Deposits from customers 380,413 44,244 3,843 6,578 2,911 1,761 1,177 1 - Current accounts 371,689 57 - - - - 33 - - Other 8,724 44,187 3,843 6,578 2,911 1,761 1,144 1 - With prepayment option 121 - - - - - - - - Other 8,603 44,187 3,843 6,578 2,911 1,761 1,144 1 2.2 Deposits from banks 14,017 15,488 16,611 1,191 101,260 4,443 444 - - Current accounts 9,584 6 - 1 4 - - - - Other 4,433 15,482 16,611 1,190 101,256 4,443 444 - 2.3 Debt secuties in issue 1,032 16,916 5,741 12,736 30,165 17,460 9,173 - - With prepayment option 32 840 7 531 1,867 2,192 611 - - Other 1,000 16,076 5,734 12,205 28,298 15,268 8,562 - 2.4 Other liabilities 1,356 1,577 67 232 484 167 28 1 - With prepayment option 3 - - - - - - - - Other 1,353 1,577 67 232 484 167 28 1 3. Financial derivatives 3.1 With underlying security - Option + Long positions 1 234 94 8 10 285 46 - + Short positions 1 72 40 39 216 257 111 - - Other derivates + Long positions - - - - 1 - - - + Short positions - - - - 1 - - - 3.2 Without underlying security - Option + Long positions - 338 5 341 843 86 1,123 - + Short positions - 130 19 386 910 142 1,242 - - Other derivatives + Long positions 50,099 209,275 37,248 75,008 118,598 43,242 17,819 - + Short positions 91,974 182,698 38,259 82,445 110,974 21,699 18,954 - 4. Other off-balance sheet transactions + Long positions 88,836 32,973 2,401 2,686 4,774 1,041 2,168 64 + Short positions 102,228 24,807 2,251 2,166 1,729 331 1,368 64 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 392 2021 Annual Report and Accounts · UniCredit 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: euro (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 83,130 227,408 34,526 30,488 141,351 59,104 40,861 80 1.1 Debt securities 665 18,826 7,425 10,096 65,533 24,539 8,524 - - With prepayment option - 98 39 12 638 481 108 - - Other 665 18,728 7,386 10,084 64,895 24,058 8,416 - 1.2 Loans to banks 2,000 62,262 1,180 1,312 1,991 154 93 - 1.3 Loans to customers 80,465 146,320 25,921 19,080 73,827 34,411 32,244 80 - Current accounts 21,000 627 212 82 260 14 440 - - Other loans 59,465 145,693 25,709 18,998 73,567 34,397 31,804 80 - With prepayment option 11,802 50,304 9,008 4,511 21,996 9,464 11,891 - - Other 47,663 95,389 16,701 14,487 51,571 24,933 19,913 80 2. On-balance sheet liabilities 396,818 78,225 26,262 20,737 134,820 23,831 10,822 2 2.1 Deposits from customers 380,413 44,244 3,843 6,578 2,911 1,761 1,177 1 - Current accounts 371,689 57 - - - - 33 - - Other 8,724 44,187 3,843 6,578 2,911 1,761 1,144 1 - With prepayment option 121 - - - - - - - - Other 8,603 44,187 3,843 6,578 2,911 1,761 1,144 1 2.2 Deposits from banks 14,017 15,488 16,611 1,191 101,260 4,443 444 - - Current accounts 9,584 6 - 1 4 - - - - Other 4,433 15,482 16,611 1,190 101,256 4,443 444 - 2.3 Debt secuties in issue 1,032 16,916 5,741 12,736 30,165 17,460 9,173 - - With prepayment option 32 840 7 531 1,867 2,192 611 - - Other 1,000 16,076 5,734 12,205 28,298 15,268 8,562 - 2.4 Other liabilities 1,356 1,577 67 232 484 167 28 1 - With prepayment option 3 - - - - - - - - Other 1,353 1,577 67 232 484 167 28 1 3. Financial derivatives 3.1 With underlying security - Option + Long positions 1 234 94 8 10 285 46 - + Short positions 1 72 40 39 216 257 111 - - Other derivates + Long positions - - - - 1 - - - + Short positions - - - - 1 - - - 3.2 Without underlying security - Option + Long positions - 338 5 341 843 86 1,123 - + Short positions - 130 19 386 910 142 1,242 - - Other derivatives + Long positions 50,099 209,275 37,248 75,008 118,598 43,242 17,819 - + Short positions 91,974 182,698 38,259 82,445 110,974 21,699 18,954 - 4. Other off-balance sheet transactions + Long positions 88,836 32,973 2,401 2,686 4,774 1,041 2,168 64 + Short positions 102,228 24,807 2,251 2,166 1,729 331 1,368 64 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 393 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: other currencies (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 14,002 30,273 4,675 6,371 19,755 8,677 3,592 20 1.1 Debt securities 30 1,462 615 3,258 9,231 5,101 2,555 - - With prepayment option - - - - 24 - - - - Other 30 1,462 615 3,258 9,207 5,101 2,555 - 1.2 Loans to banks 287 12,437 853 104 970 - - - 1.3 Loans to customers 13,685 16,374 3,207 3,009 9,554 3,576 1,037 20 - Current accounts 2,207 795 23 17 2 - 9 - - Other loans 11,478 15,579 3,184 2,992 9,552 3,576 1,028 20 - With prepayment option 164 3,243 903 73 375 317 49 - - Other 11,314 12,336 2,281 2,919 9,177 3,259 979 20 2. On-balance sheet liabilities 48,882 18,264 2,980 1,722 4,500 1,673 4,781 5 2.1 Deposits from customers 45,765 9,575 1,049 1,610 544 77 95 1 - Current accounts 45,214 88 2 3 15 19 2 - - Other 551 9,487 1,047 1,607 529 58 93 1 - With prepayment option - - - - - - - - - Other 551 9,487 1,047 1,607 529 58 93 1 2.2 Deposits from banks 2,776 5,445 486 48 140 103 1 - - Current accounts 987 - - - 1 - - - - Other 1,789 5,445 486 48 139 103 1 - 2.3 Debt secuties in issue 134 3,242 1,444 61 3,801 1,490 4,683 4 - With prepayment option - - - - - - - 4 - Other 134 3,242 1,444 61 3,801 1,490 4,683 - 2.4 Other liabilities 207 2 1 3 15 3 2 - - With prepayment option - - - - - - - - - Other 207 2 1 3 15 3 2 - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - 93 - - - - - - + Short positions - 93 - - - - - - 3.2 Without underlying security - Option + Long positions - 16 - - - - - - + Short positions - 174 - - - - - - - Other derivatives + Long positions 6 5,768 1,921 1,632 2,680 597 - - + Short positions 6 4,756 1,094 2,764 4,919 613 - - 4. Other off-balance sheet transactions + Long positions 4,780 746 820 1,798 1,710 772 2,192 124 + Short positions 5,149 782 821 1,782 1,674 433 2,177 124 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 393 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: other currencies (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 14,002 30,273 4,675 6,371 19,755 8,677 3,592 20 1.1 Debt securities 30 1,462 615 3,258 9,231 5,101 2,555 - - With prepayment option - - - - 24 - - - - Other 30 1,462 615 3,258 9,207 5,101 2,555 - 1.2 Loans to banks 287 12,437 853 104 970 - - - 1.3 Loans to customers 13,685 16,374 3,207 3,009 9,554 3,576 1,037 20 - Current accounts 2,207 795 23 17 2 - 9 - - Other loans 11,478 15,579 3,184 2,992 9,552 3,576 1,028 20 - With prepayment option 164 3,243 903 73 375 317 49 - - Other 11,314 12,336 2,281 2,919 9,177 3,259 979 20 2. On-balance sheet liabilities 48,882 18,264 2,980 1,722 4,500 1,673 4,781 5 2.1 Deposits from customers 45,765 9,575 1,049 1,610 544 77 95 1 - Current accounts 45,214 88 2 3 15 19 2 - - Other 551 9,487 1,047 1,607 529 58 93 1 - With prepayment option - - - - - - - - - Other 551 9,487 1,047 1,607 529 58 93 1 2.2 Deposits from banks 2,776 5,445 486 48 140 103 1 - - Current accounts 987 - - - 1 - - - - Other 1,789 5,445 486 48 139 103 1 - 2.3 Debt secuties in issue 134 3,242 1,444 61 3,801 1,490 4,683 4 - With prepayment option - - - - - - - 4 - Other 134 3,242 1,444 61 3,801 1,490 4,683 - 2.4 Other liabilities 207 2 1 3 15 3 2 - - With prepayment option - - - - - - - - - Other 207 2 1 3 15 3 2 - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - 93 - - - - - - + Short positions - 93 - - - - - - 3.2 Without underlying security - Option + Long positions - 16 - - - - - - + Short positions - 174 - - - - - - - Other derivatives + Long positions 6 5,768 1,921 1,632 2,680 597 - - + Short positions 6 4,756 1,094 2,764 4,919 613 - - 4. Other off-balance sheet transactions + Long positions 4,780 746 820 1,798 1,710 772 2,192 124 + Short positions 5,149 782 821 1,782 1,674 433 2,177 124 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 393 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: other currencies (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 14,002 30,273 4,675 6,371 19,755 8,677 3,592 20 1.1 Debt securities 30 1,462 615 3,258 9,231 5,101 2,555 - - With prepayment option - - - - 24 - - - - Other 30 1,462 615 3,258 9,207 5,101 2,555 - 1.2 Loans to banks 287 12,437 853 104 970 - - - 1.3 Loans to customers 13,685 16,374 3,207 3,009 9,554 3,576 1,037 20 - Current accounts 2,207 795 23 17 2 - 9 - - Other loans 11,478 15,579 3,184 2,992 9,552 3,576 1,028 20 - With prepayment option 164 3,243 903 73 375 317 49 - - Other 11,314 12,336 2,281 2,919 9,177 3,259 979 20 2. On-balance sheet liabilities 48,882 18,264 2,980 1,722 4,500 1,673 4,781 5 2.1 Deposits from customers 45,765 9,575 1,049 1,610 544 77 95 1 - Current accounts 45,214 88 2 3 15 19 2 - - Other 551 9,487 1,047 1,607 529 58 93 1 - With prepayment option - - - - - - - - - Other 551 9,487 1,047 1,607 529 58 93 1 2.2 Deposits from banks 2,776 5,445 486 48 140 103 1 - - Current accounts 987 - - - 1 - - - - Other 1,789 5,445 486 48 139 103 1 - 2.3 Debt secuties in issue 134 3,242 1,444 61 3,801 1,490 4,683 4 - With prepayment option - - - - - - - 4 - Other 134 3,242 1,444 61 3,801 1,490 4,683 - 2.4 Other liabilities 207 2 1 3 15 3 2 - - With prepayment option - - - - - - - - - Other 207 2 1 3 15 3 2 - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - 93 - - - - - - + Short positions - 93 - - - - - - 3.2 Without underlying security - Option + Long positions - 16 - - - - - - + Short positions - 174 - - - - - - - Other derivatives + Long positions 6 5,768 1,921 1,632 2,680 597 - - + Short positions 6 4,756 1,094 2,764 4,919 613 - - 4. Other off-balance sheet transactions + Long positions 4,780 746 820 1,798 1,710 772 2,192 124 + Short positions 5,149 782 821 1,782 1,674 433 2,177 124 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 393 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: other currencies (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 14,002 30,273 4,675 6,371 19,755 8,677 3,592 20 1.1 Debt securities 30 1,462 615 3,258 9,231 5,101 2,555 - - With prepayment option - - - - 24 - - - - Other 30 1,462 615 3,258 9,207 5,101 2,555 - 1.2 Loans to banks 287 12,437 853 104 970 - - - 1.3 Loans to customers 13,685 16,374 3,207 3,009 9,554 3,576 1,037 20 - Current accounts 2,207 795 23 17 2 - 9 - - Other loans 11,478 15,579 3,184 2,992 9,552 3,576 1,028 20 - With prepayment option 164 3,243 903 73 375 317 49 - - Other 11,314 12,336 2,281 2,919 9,177 3,259 979 20 2. On-balance sheet liabilities 48,882 18,264 2,980 1,722 4,500 1,673 4,781 5 2.1 Deposits from customers 45,765 9,575 1,049 1,610 544 77 95 1 - Current accounts 45,214 88 2 3 15 19 2 - - Other 551 9,487 1,047 1,607 529 58 93 1 - With prepayment option - - - - - - - - - Other 551 9,487 1,047 1,607 529 58 93 1 2.2 Deposits from banks 2,776 5,445 486 48 140 103 1 - - Current accounts 987 - - - 1 - - - - Other 1,789 5,445 486 48 139 103 1 - 2.3 Debt secuties in issue 134 3,242 1,444 61 3,801 1,490 4,683 4 - With prepayment option - - - - - - - 4 - Other 134 3,242 1,444 61 3,801 1,490 4,683 - 2.4 Other liabilities 207 2 1 3 15 3 2 - - With prepayment option - - - - - - - - - Other 207 2 1 3 15 3 2 - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - 93 - - - - - - + Short positions - 93 - - - - - - 3.2 Without underlying security - Option + Long positions - 16 - - - - - - + Short positions - 174 - - - - - - - Other derivatives + Long positions 6 5,768 1,921 1,632 2,680 597 - - + Short positions 6 4,756 1,094 2,764 4,919 613 - - 4. Other off-balance sheet transactions + Long positions 4,780 746 820 1,798 1,710 772 2,192 124 + Short positions 5,149 782 821 1,782 1,674 433 2,177 124 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 393 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: other currencies (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 14,002 30,273 4,675 6,371 19,755 8,677 3,592 20 1.1 Debt securities 30 1,462 615 3,258 9,231 5,101 2,555 - - With prepayment option - - - - 24 - - - - Other 30 1,462 615 3,258 9,207 5,101 2,555 - 1.2 Loans to banks 287 12,437 853 104 970 - - - 1.3 Loans to customers 13,685 16,374 3,207 3,009 9,554 3,576 1,037 20 - Current accounts 2,207 795 23 17 2 - 9 - - Other loans 11,478 15,579 3,184 2,992 9,552 3,576 1,028 20 - With prepayment option 164 3,243 903 73 375 317 49 - - Other 11,314 12,336 2,281 2,919 9,177 3,259 979 20 2. On-balance sheet liabilities 48,882 18,264 2,980 1,722 4,500 1,673 4,781 5 2.1 Deposits from customers 45,765 9,575 1,049 1,610 544 77 95 1 - Current accounts 45,214 88 2 3 15 19 2 - - Other 551 9,487 1,047 1,607 529 58 93 1 - With prepayment option - - - - - - - - - Other 551 9,487 1,047 1,607 529 58 93 1 2.2 Deposits from banks 2,776 5,445 486 48 140 103 1 - - Current accounts 987 - - - 1 - - - - Other 1,789 5,445 486 48 139 103 1 - 2.3 Debt secuties in issue 134 3,242 1,444 61 3,801 1,490 4,683 4 - With prepayment option - - - - - - - 4 - Other 134 3,242 1,444 61 3,801 1,490 4,683 - 2.4 Other liabilities 207 2 1 3 15 3 2 - - With prepayment option - - - - - - - - - Other 207 2 1 3 15 3 2 - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - 93 - - - - - - + Short positions - 93 - - - - - - 3.2 Without underlying security - Option + Long positions - 16 - - - - - - + Short positions - 174 - - - - - - - Other derivatives + Long positions 6 5,768 1,921 1,632 2,680 597 - - + Short positions 6 4,756 1,094 2,764 4,919 613 - - 4. Other off-balance sheet transactions + Long positions 4,780 746 820 1,798 1,710 772 2,192 124 + Short positions 5,149 782 821 1,782 1,674 433 2,177 124 Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 394 2021 Annual Report and Accounts · UniCredit 2. Banking book: internal models and other methods for sensitivity analysis Interest rate risk As of 31 December 2021, the sensitivity of the economic value of shareholders’ equity to an immediate and parallel change in interest rates (“parallel shift”) of +200bps and -200bp was respectively equal to -€3,875 million and -€33 million. The sensitivity to interest rates changes for the worst-of-six “Supervisory Outlier Test”, as envisioned by EBA guideline (EBA/GL/2018/02) was equal to -€4,082 million. The interest income sensitivity to an immediate and parallel shift of +100bps was +€771 million, whilst the immediate change to a parallel downward shift of interest rate of -100bp (or less, according to the interest rates level of each currency) was equal to -€239 million. The changes in the sensitivity value of the Economic Value between end-of-December 2020 and end-of-December 2021, observable in the table EU IRRBB1 below, are driven by further execution of our hedging strategy for the replicating portfolio in the banking book across the Group. Template EU IRRBB1 - Interest rate risks of non-trading book activities (€ million) SUPERVISORY SHOCK SCENARIOS a b c d CHANGES OF THE ECONOMIC VALUE OF EQUITY CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 12.31.2021 12.31.2020 1 Parallel up (4,082) (210) 771 1,116 2 Parallel down 77 (1,137) (239) (351) 3 Steepener 26 252 - - 4 Flattener (948) (726) - - 5 Short rates up (1,898) (512) - - 6 Short rates down 342 (177) - - The decrease in the sensitivity of the net interest income for the following scenarios between end-of-December 2020 and end-of-December 2021 is mostly driven by further execution of our hedging strategy for the replicating portfolio in the banking book across the Group, mainly UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria AG. In addition to that, the changes in the Parallel Up and Parallel Down scenarios were affected by the steepening of EUR interest rate curve and increase of repo rate in Czech Republic during the fourth quarter of 2021. Template EU IRRBB2 - Sensitivity of the net interest income to the +/-10bps scenarios (€ million) INTEREST RATE RISK SCENARIOS a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 NII +10bps 79 122 2 NII -10bps (78) (125) Template EU IRRBB3 - Sensitivity of the net interest income to the Parallel Up scenario (€ million) SCENARIO PER CURRENCY a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 Total 771 1,116 2 EUR 686 1,085 3 CZK 21 46 4 HRK 40 45 5 HUF 25 6 6 Other currencies - (65) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 394 2021 Annual Report and Accounts · UniCredit 2. Banking book: internal models and other methods for sensitivity analysis Interest rate risk As of 31 December 2021, the sensitivity of the economic value of shareholders’ equity to an immediate and parallel change in interest rates (“parallel shift”) of +200bps and -200bp was respectively equal to -€3,875 million and -€33 million. The sensitivity to interest rates changes for the worst-of-six “Supervisory Outlier Test”, as envisioned by EBA guideline (EBA/GL/2018/02) was equal to -€4,082 million. The interest income sensitivity to an immediate and parallel shift of +100bps was +€771 million, whilst the immediate change to a parallel downward shift of interest rate of -100bp (or less, according to the interest rates level of each currency) was equal to -€239 million. The changes in the sensitivity value of the Economic Value between end-of-December 2020 and end-of-December 2021, observable in the table EU IRRBB1 below, are driven by further execution of our hedging strategy for the replicating portfolio in the banking book across the Group. Template EU IRRBB1 - Interest rate risks of non-trading book activities (€ million) SUPERVISORY SHOCK SCENARIOS a b c d CHANGES OF THE ECONOMIC VALUE OF EQUITY CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 12.31.2021 12.31.2020 1 Parallel up (4,082) (210) 771 1,116 2 Parallel down 77 (1,137) (239) (351) 3 Steepener 26 252 - - 4 Flattener (948) (726) - - 5 Short rates up (1,898) (512) - - 6 Short rates down 342 (177) - - The decrease in the sensitivity of the net interest income for the following scenarios between end-of-December 2020 and end-of-December 2021 is mostly driven by further execution of our hedging strategy for the replicating portfolio in the banking book across the Group, mainly UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria AG. In addition to that, the changes in the Parallel Up and Parallel Down scenarios were affected by the steepening of EUR interest rate curve and increase of repo rate in Czech Republic during the fourth quarter of 2021. Template EU IRRBB2 - Sensitivity of the net interest income to the +/-10bps scenarios (€ million) INTEREST RATE RISK SCENARIOS a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 NII +10bps 79 122 2 NII -10bps (78) (125) Template EU IRRBB3 - Sensitivity of the net interest income to the Parallel Up scenario (€ million) SCENARIO PER CURRENCY a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 Total 771 1,116 2 EUR 686 1,085 3 CZK 21 46 4 HRK 40 45 5 HUF 25 6 6 Other currencies - (65) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 394 2021 Annual Report and Accounts · UniCredit 2. Banking book: internal models and other methods for sensitivity analysis Interest rate risk As of 31 December 2021, the sensitivity of the economic value of shareholders’ equity to an immediate and parallel change in interest rates (“parallel shift”) of +200bps and -200bp was respectively equal to -€3,875 million and -€33 million. The sensitivity to interest rates changes for the worst-of-six “Supervisory Outlier Test”, as envisioned by EBA guideline (EBA/GL/2018/02) was equal to -€4,082 million. The interest income sensitivity to an immediate and parallel shift of +100bps was +€771 million, whilst the immediate change to a parallel downward shift of interest rate of -100bp (or less, according to the interest rates level of each currency) was equal to -€239 million. The changes in the sensitivity value of the Economic Value between end-of-December 2020 and end-of-December 2021, observable in the table EU IRRBB1 below, are driven by further execution of our hedging strategy for the replicating portfolio in the banking book across the Group. Template EU IRRBB1 - Interest rate risks of non-trading book activities (€ million) SUPERVISORY SHOCK SCENARIOS a b c d CHANGES OF THE ECONOMIC VALUE OF EQUITY CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 12.31.2021 12.31.2020 1 Parallel up (4,082) (210) 771 1,116 2 Parallel down 77 (1,137) (239) (351) 3 Steepener 26 252 - - 4 Flattener (948) (726) - - 5 Short rates up (1,898) (512) - - 6 Short rates down 342 (177) - - The decrease in the sensitivity of the net interest income for the following scenarios between end-of-December 2020 and end-of-December 2021 is mostly driven by further execution of our hedging strategy for the replicating portfolio in the banking book across the Group, mainly UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria AG. In addition to that, the changes in the Parallel Up and Parallel Down scenarios were affected by the steepening of EUR interest rate curve and increase of repo rate in Czech Republic during the fourth quarter of 2021. Template EU IRRBB2 - Sensitivity of the net interest income to the +/-10bps scenarios (€ million) INTEREST RATE RISK SCENARIOS a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 NII +10bps 79 122 2 NII -10bps (78) (125) Template EU IRRBB3 - Sensitivity of the net interest income to the Parallel Up scenario (€ million) SCENARIO PER CURRENCY a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 Total 771 1,116 2 EUR 686 1,085 3 CZK 21 46 4 HRK 40 45 5 HUF 25 6 6 Other currencies - (65) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 394 2021 Annual Report and Accounts · UniCredit 2. Banking book: internal models and other methods for sensitivity analysis Interest rate risk As of 31 December 2021, the sensitivity of the economic value of shareholders’ equity to an immediate and parallel change in interest rates (“parallel shift”) of +200bps and -200bp was respectively equal to -€3,875 million and -€33 million. The sensitivity to interest rates changes for the worst-of-six “Supervisory Outlier Test”, as envisioned by EBA guideline (EBA/GL/2018/02) was equal to -€4,082 million. The interest income sensitivity to an immediate and parallel shift of +100bps was +€771 million, whilst the immediate change to a parallel downward shift of interest rate of -100bp (or less, according to the interest rates level of each currency) was equal to -€239 million. The changes in the sensitivity value of the Economic Value between end-of-December 2020 and end-of-December 2021, observable in the table EU IRRBB1 below, are driven by further execution of our hedging strategy for the replicating portfolio in the banking book across the Group. Template EU IRRBB1 - Interest rate risks of non-trading book activities (€ million) SUPERVISORY SHOCK SCENARIOS a b c d CHANGES OF THE ECONOMIC VALUE OF EQUITY CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 12.31.2021 12.31.2020 1 Parallel up (4,082) (210) 771 1,116 2 Parallel down 77 (1,137) (239) (351) 3 Steepener 26 252 - - 4 Flattener (948) (726) - - 5 Short rates up (1,898) (512) - - 6 Short rates down 342 (177) - - The decrease in the sensitivity of the net interest income for the following scenarios between end-of-December 2020 and end-of-December 2021 is mostly driven by further execution of our hedging strategy for the replicating portfolio in the banking book across the Group, mainly UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria AG. In addition to that, the changes in the Parallel Up and Parallel Down scenarios were affected by the steepening of EUR interest rate curve and increase of repo rate in Czech Republic during the fourth quarter of 2021. Template EU IRRBB2 - Sensitivity of the net interest income to the +/-10bps scenarios (€ million) INTEREST RATE RISK SCENARIOS a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 NII +10bps 79 122 2 NII -10bps (78) (125) Template EU IRRBB3 - Sensitivity of the net interest income to the Parallel Up scenario (€ million) SCENARIO PER CURRENCY a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 Total 771 1,116 2 EUR 686 1,085 3 CZK 21 46 4 HRK 40 45 5 HUF 25 6 6 Other currencies - (65) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 394 2021 Annual Report and Accounts · UniCredit 2. Banking book: internal models and other methods for sensitivity analysis Interest rate risk As of 31 December 2021, the sensitivity of the economic value of shareholders’ equity to an immediate and parallel change in interest rates (“parallel shift”) of +200bps and -200bp was respectively equal to -€3,875 million and -€33 million. The sensitivity to interest rates changes for the worst-of-six “Supervisory Outlier Test”, as envisioned by EBA guideline (EBA/GL/2018/02) was equal to -€4,082 million. The interest income sensitivity to an immediate and parallel shift of +100bps was +€771 million, whilst the immediate change to a parallel downward shift of interest rate of -100bp (or less, according to the interest rates level of each currency) was equal to -€239 million. The changes in the sensitivity value of the Economic Value between end-of-December 2020 and end-of-December 2021, observable in the table EU IRRBB1 below, are driven by further execution of our hedging strategy for the replicating portfolio in the banking book across the Group. Template EU IRRBB1 - Interest rate risks of non-trading book activities (€ million) SUPERVISORY SHOCK SCENARIOS a b c d CHANGES OF THE ECONOMIC VALUE OF EQUITY CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 12.31.2021 12.31.2020 1 Parallel up (4,082) (210) 771 1,116 2 Parallel down 77 (1,137) (239) (351) 3 Steepener 26 252 - - 4 Flattener (948) (726) - - 5 Short rates up (1,898) (512) - - 6 Short rates down 342 (177) - - The decrease in the sensitivity of the net interest income for the following scenarios between end-of-December 2020 and end-of-December 2021 is mostly driven by further execution of our hedging strategy for the replicating portfolio in the banking book across the Group, mainly UniCredit S.p.A., UniCredit Bank AG and UniCredit Bank Austria AG. In addition to that, the changes in the Parallel Up and Parallel Down scenarios were affected by the steepening of EUR interest rate curve and increase of repo rate in Czech Republic during the fourth quarter of 2021. Template EU IRRBB2 - Sensitivity of the net interest income to the +/-10bps scenarios (€ million) INTEREST RATE RISK SCENARIOS a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 NII +10bps 79 122 2 NII -10bps (78) (125) Template EU IRRBB3 - Sensitivity of the net interest income to the Parallel Up scenario (€ million) SCENARIO PER CURRENCY a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 Total 771 1,116 2 EUR 686 1,085 3 CZK 21 46 4 HRK 40 45 5 HUF 25 6 6 Other currencies - (65) Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 395 Template EU IRRBB4 - Sensitivity of the net interest income to the Parallel Down scenario (€ million) SCENARIO PER CURRENCY a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 Total (239) (351) 2 EUR (166) (345) 3 CZK (21) (4) 4 HRK (20) (20) 5 HUF (19) (9) 6 Other currencies (14) 27 2.2.3 Exchange rate risk Qualitative information A. General aspects, risk management processes and measurement methods Exchange rate risk originates both from banks in the Group operating in currency areas other than the Eurozone and from positions taken by specialist centres holding the Group's market risk within the limits assigned. Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTC. Volatility trading strategies are implemented using options. Exchange rate risk is constantly monitored and measured by using internal models developed by Group companies. For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to the introduction on internal models. These models are also used to calculate capital requirements on market risks due to the exposure to such risk. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes paragraph and for the complex scenarios’ description to Stress Test paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. B. Hedging exchange rate risk The exchange risk hedging activity within the Trading book is aimed at keeping the FX risk within the defined Granular and Global limits. Regarding banking book, the Group adopts hedge strategies for profits and dividends arising from its subsidiaries not belonging to the euro zone, taking into account market circumstances for the hedging strategies. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 395 Template EU IRRBB4 - Sensitivity of the net interest income to the Parallel Down scenario (€ million) SCENARIO PER CURRENCY a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 Total (239) (351) 2 EUR (166) (345) 3 CZK (21) (4) 4 HRK (20) (20) 5 HUF (19) (9) 6 Other currencies (14) 27 2.2.3 Exchange rate risk Qualitative information A. General aspects, risk management processes and measurement methods Exchange rate risk originates both from banks in the Group operating in currency areas other than the Eurozone and from positions taken by specialist centres holding the Group's market risk within the limits assigned. Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTC. Volatility trading strategies are implemented using options. Exchange rate risk is constantly monitored and measured by using internal models developed by Group companies. For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to the introduction on internal models. These models are also used to calculate capital requirements on market risks due to the exposure to such risk. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes paragraph and for the complex scenarios’ description to Stress Test paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. B. Hedging exchange rate risk The exchange risk hedging activity within the Trading book is aimed at keeping the FX risk within the defined Granular and Global limits. Regarding banking book, the Group adopts hedge strategies for profits and dividends arising from its subsidiaries not belonging to the euro zone, taking into account market circumstances for the hedging strategies. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 395 Template EU IRRBB4 - Sensitivity of the net interest income to the Parallel Down scenario (€ million) SCENARIO PER CURRENCY a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 Total (239) (351) 2 EUR (166) (345) 3 CZK (21) (4) 4 HRK (20) (20) 5 HUF (19) (9) 6 Other currencies (14) 27 2.2.3 Exchange rate risk Qualitative information A. General aspects, risk management processes and measurement methods Exchange rate risk originates both from banks in the Group operating in currency areas other than the Eurozone and from positions taken by specialist centres holding the Group's market risk within the limits assigned. Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTC. Volatility trading strategies are implemented using options. Exchange rate risk is constantly monitored and measured by using internal models developed by Group companies. For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to the introduction on internal models. These models are also used to calculate capital requirements on market risks due to the exposure to such risk. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes paragraph and for the complex scenarios’ description to Stress Test paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. B. Hedging exchange rate risk The exchange risk hedging activity within the Trading book is aimed at keeping the FX risk within the defined Granular and Global limits. Regarding banking book, the Group adopts hedge strategies for profits and dividends arising from its subsidiaries not belonging to the euro zone, taking into account market circumstances for the hedging strategies. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 395 Template EU IRRBB4 - Sensitivity of the net interest income to the Parallel Down scenario (€ million) SCENARIO PER CURRENCY a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 Total (239) (351) 2 EUR (166) (345) 3 CZK (21) (4) 4 HRK (20) (20) 5 HUF (19) (9) 6 Other currencies (14) 27 2.2.3 Exchange rate risk Qualitative information A. General aspects, risk management processes and measurement methods Exchange rate risk originates both from banks in the Group operating in currency areas other than the Eurozone and from positions taken by specialist centres holding the Group's market risk within the limits assigned. Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTC. Volatility trading strategies are implemented using options. Exchange rate risk is constantly monitored and measured by using internal models developed by Group companies. For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to the introduction on internal models. These models are also used to calculate capital requirements on market risks due to the exposure to such risk. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes paragraph and for the complex scenarios’ description to Stress Test paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. B. Hedging exchange rate risk The exchange risk hedging activity within the Trading book is aimed at keeping the FX risk within the defined Granular and Global limits. Regarding banking book, the Group adopts hedge strategies for profits and dividends arising from its subsidiaries not belonging to the euro zone, taking into account market circumstances for the hedging strategies. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 395 Template EU IRRBB4 - Sensitivity of the net interest income to the Parallel Down scenario (€ million) SCENARIO PER CURRENCY a b CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 1 Total (239) (351) 2 EUR (166) (345) 3 CZK (21) (4) 4 HRK (20) (20) 5 HUF (19) (9) 6 Other currencies (14) 27 2.2.3 Exchange rate risk Qualitative information A. General aspects, risk management processes and measurement methods Exchange rate risk originates both from banks in the Group operating in currency areas other than the Eurozone and from positions taken by specialist centres holding the Group's market risk within the limits assigned. Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTC. Volatility trading strategies are implemented using options. Exchange rate risk is constantly monitored and measured by using internal models developed by Group companies. For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to the introduction on internal models. These models are also used to calculate capital requirements on market risks due to the exposure to such risk. As regards Stress Test refer to the introduction on Risk Management Strategies and Processes paragraph and for the complex scenarios’ description to Stress Test paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. B. Hedging exchange rate risk The exchange risk hedging activity within the Trading book is aimed at keeping the FX risk within the defined Granular and Global limits. Regarding banking book, the Group adopts hedge strategies for profits and dividends arising from its subsidiaries not belonging to the euro zone, taking into account market circumstances for the hedging strategies. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 396 2021 Annual Report and Accounts · UniCredit Quantitative information 1. Distribution by currency of assets and liabilities and derivatives (€ million) ITEMS AMOUNTS AS AT 12.31.2021 CURRENCIES U.S. DOLLAR SWITZERLAND FRANC JAPAN YEN BRITISH POUND CZECH CROWN OTHER CURRENCIES A. Financial assets 40,162 8,713 10,791 3,279 437 2,671 A.1 Debt securities 12,593 361 10,462 555 - 301 A.2 Equity securities 1,853 294 102 991 - 697 A.3 Loans to banks 4,435 2,592 65 112 102 442 A.4 Loans to customers 21,250 5,443 162 1,614 334 1,219 A.5 Other financial assets 31 23 - 7 1 12 B. Other assets 3,435 10 5 173 9 350 C. Financial liabilities 47,781 907 144 3,300 453 2,909 C.1 Deposits from banks 8,770 31 7 1,658 2 397 C.2 Deposits from customers 23,738 716 98 1,556 303 2,206 C.3 Debt securities in issue 15,197 158 38 20 145 282 C.4 Other financial liabilities 76 2 1 66 3 24 D. Other liabilities 208 1 1 4 1 13 E. Financial derivatives - Options + Long positions 6,948 121 4 1,410 45 1,370 + Short positions 7,017 71 19 1,410 70 220 - Other derivatives + Long positions 320,679 63,317 35,038 110,344 19,156 48,669 + Short positions 170,806 20,905 17,930 24,225 5,316 29,468 Total assets 371,224 72,161 45,838 115,206 19,647 53,060 Total liabilities 225,812 21,884 18,094 28,939 5,840 32,610 Difference (+/-) 145,412 50,277 27,744 86,267 13,807 20,450 2. Internal models and other methodologies for sensitivity analysis Transactional FX risk (impact of fluctuations in foreign exchange rates on the Group’s Profit & Loss in the period) measurement and reporting is part of the Group´s market risk framework. In UGM, transactional exchange risk exposures are incorporated in the relevant risk calculation, limit monitoring and reporting. Every Legal Entity is required to setup, as part of the respective Market Risk framework, a sound limit system for managing and controlling Transactional Exchange Risk. As a minimum requirement, the limit system shall envisage FX Delta limits for the main currencies which the business is exposed to or for aggregation of currencies. FX Delta limits are part of the Granular Market Risk Limits and are ruled by the Group Policy “Market Risk Limits”. Credit spread risk Qualitative information A. General aspects Risk relating to credit spreads and related credit derivative products included in Trading book originates from positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTC. B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to introduction on internal models, Part E - Information on risks and hedging policies, 2.2 Market risk. As regards stress Test refer to the introduction on “Risk management strategies and processes” and for the complex scenarios’ description to “Stress test” paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 396 2021 Annual Report and Accounts · UniCredit Quantitative information 1. Distribution by currency of assets and liabilities and derivatives (€ million) ITEMS AMOUNTS AS AT 12.31.2021 CURRENCIES U.S. DOLLAR SWITZERLAND FRANC JAPAN YEN BRITISH POUND CZECH CROWN OTHER CURRENCIES A. Financial assets 40,162 8,713 10,791 3,279 437 2,671 A.1 Debt securities 12,593 361 10,462 555 - 301 A.2 Equity securities 1,853 294 102 991 - 697 A.3 Loans to banks 4,435 2,592 65 112 102 442 A.4 Loans to customers 21,250 5,443 162 1,614 334 1,219 A.5 Other financial assets 31 23 - 7 1 12 B. Other assets 3,435 10 5 173 9 350 C. Financial liabilities 47,781 907 144 3,300 453 2,909 C.1 Deposits from banks 8,770 31 7 1,658 2 397 C.2 Deposits from customers 23,738 716 98 1,556 303 2,206 C.3 Debt securities in issue 15,197 158 38 20 145 282 C.4 Other financial liabilities 76 2 1 66 3 24 D. Other liabilities 208 1 1 4 1 13 E. Financial derivatives - Options + Long positions 6,948 121 4 1,410 45 1,370 + Short positions 7,017 71 19 1,410 70 220 - Other derivatives + Long positions 320,679 63,317 35,038 110,344 19,156 48,669 + Short positions 170,806 20,905 17,930 24,225 5,316 29,468 Total assets 371,224 72,161 45,838 115,206 19,647 53,060 Total liabilities 225,812 21,884 18,094 28,939 5,840 32,610 Difference (+/-) 145,412 50,277 27,744 86,267 13,807 20,450 2. Internal models and other methodologies for sensitivity analysis Transactional FX risk (impact of fluctuations in foreign exchange rates on the Group’s Profit & Loss in the period) measurement and reporting is part of the Group´s market risk framework. In UGM, transactional exchange risk exposures are incorporated in the relevant risk calculation, limit monitoring and reporting. Every Legal Entity is required to setup, as part of the respective Market Risk framework, a sound limit system for managing and controlling Transactional Exchange Risk. As a minimum requirement, the limit system shall envisage FX Delta limits for the main currencies which the business is exposed to or for aggregation of currencies. FX Delta limits are part of the Granular Market Risk Limits and are ruled by the Group Policy “Market Risk Limits”. Credit spread risk Qualitative information A. General aspects Risk relating to credit spreads and related credit derivative products included in Trading book originates from positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTC. B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to introduction on internal models, Part E - Information on risks and hedging policies, 2.2 Market risk. As regards stress Test refer to the introduction on “Risk management strategies and processes” and for the complex scenarios’ description to “Stress test” paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 396 2021 Annual Report and Accounts · UniCredit Quantitative information 1. Distribution by currency of assets and liabilities and derivatives (€ million) ITEMS AMOUNTS AS AT 12.31.2021 CURRENCIES U.S. DOLLAR SWITZERLAND FRANC JAPAN YEN BRITISH POUND CZECH CROWN OTHER CURRENCIES A. Financial assets 40,162 8,713 10,791 3,279 437 2,671 A.1 Debt securities 12,593 361 10,462 555 - 301 A.2 Equity securities 1,853 294 102 991 - 697 A.3 Loans to banks 4,435 2,592 65 112 102 442 A.4 Loans to customers 21,250 5,443 162 1,614 334 1,219 A.5 Other financial assets 31 23 - 7 1 12 B. Other assets 3,435 10 5 173 9 350 C. Financial liabilities 47,781 907 144 3,300 453 2,909 C.1 Deposits from banks 8,770 31 7 1,658 2 397 C.2 Deposits from customers 23,738 716 98 1,556 303 2,206 C.3 Debt securities in issue 15,197 158 38 20 145 282 C.4 Other financial liabilities 76 2 1 66 3 24 D. Other liabilities 208 1 1 4 1 13 E. Financial derivatives - Options + Long positions 6,948 121 4 1,410 45 1,370 + Short positions 7,017 71 19 1,410 70 220 - Other derivatives + Long positions 320,679 63,317 35,038 110,344 19,156 48,669 + Short positions 170,806 20,905 17,930 24,225 5,316 29,468 Total assets 371,224 72,161 45,838 115,206 19,647 53,060 Total liabilities 225,812 21,884 18,094 28,939 5,840 32,610 Difference (+/-) 145,412 50,277 27,744 86,267 13,807 20,450 2. Internal models and other methodologies for sensitivity analysis Transactional FX risk (impact of fluctuations in foreign exchange rates on the Group’s Profit & Loss in the period) measurement and reporting is part of the Group´s market risk framework. In UGM, transactional exchange risk exposures are incorporated in the relevant risk calculation, limit monitoring and reporting. Every Legal Entity is required to setup, as part of the respective Market Risk framework, a sound limit system for managing and controlling Transactional Exchange Risk. As a minimum requirement, the limit system shall envisage FX Delta limits for the main currencies which the business is exposed to or for aggregation of currencies. FX Delta limits are part of the Granular Market Risk Limits and are ruled by the Group Policy “Market Risk Limits”. Credit spread risk Qualitative information A. General aspects Risk relating to credit spreads and related credit derivative products included in Trading book originates from positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTC. B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to introduction on internal models, Part E - Information on risks and hedging policies, 2.2 Market risk. As regards stress Test refer to the introduction on “Risk management strategies and processes” and for the complex scenarios’ description to “Stress test” paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 396 2021 Annual Report and Accounts · UniCredit Quantitative information 1. Distribution by currency of assets and liabilities and derivatives (€ million) ITEMS AMOUNTS AS AT 12.31.2021 CURRENCIES U.S. DOLLAR SWITZERLAND FRANC JAPAN YEN BRITISH POUND CZECH CROWN OTHER CURRENCIES A. Financial assets 40,162 8,713 10,791 3,279 437 2,671 A.1 Debt securities 12,593 361 10,462 555 - 301 A.2 Equity securities 1,853 294 102 991 - 697 A.3 Loans to banks 4,435 2,592 65 112 102 442 A.4 Loans to customers 21,250 5,443 162 1,614 334 1,219 A.5 Other financial assets 31 23 - 7 1 12 B. Other assets 3,435 10 5 173 9 350 C. Financial liabilities 47,781 907 144 3,300 453 2,909 C.1 Deposits from banks 8,770 31 7 1,658 2 397 C.2 Deposits from customers 23,738 716 98 1,556 303 2,206 C.3 Debt securities in issue 15,197 158 38 20 145 282 C.4 Other financial liabilities 76 2 1 66 3 24 D. Other liabilities 208 1 1 4 1 13 E. Financial derivatives - Options + Long positions 6,948 121 4 1,410 45 1,370 + Short positions 7,017 71 19 1,410 70 220 - Other derivatives + Long positions 320,679 63,317 35,038 110,344 19,156 48,669 + Short positions 170,806 20,905 17,930 24,225 5,316 29,468 Total assets 371,224 72,161 45,838 115,206 19,647 53,060 Total liabilities 225,812 21,884 18,094 28,939 5,840 32,610 Difference (+/-) 145,412 50,277 27,744 86,267 13,807 20,450 2. Internal models and other methodologies for sensitivity analysis Transactional FX risk (impact of fluctuations in foreign exchange rates on the Group’s Profit & Loss in the period) measurement and reporting is part of the Group´s market risk framework. In UGM, transactional exchange risk exposures are incorporated in the relevant risk calculation, limit monitoring and reporting. Every Legal Entity is required to setup, as part of the respective Market Risk framework, a sound limit system for managing and controlling Transactional Exchange Risk. As a minimum requirement, the limit system shall envisage FX Delta limits for the main currencies which the business is exposed to or for aggregation of currencies. FX Delta limits are part of the Granular Market Risk Limits and are ruled by the Group Policy “Market Risk Limits”. Credit spread risk Qualitative information A. General aspects Risk relating to credit spreads and related credit derivative products included in Trading book originates from positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTC. B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to introduction on internal models, Part E - Information on risks and hedging policies, 2.2 Market risk. As regards stress Test refer to the introduction on “Risk management strategies and processes” and for the complex scenarios’ description to “Stress test” paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 396 2021 Annual Report and Accounts · UniCredit Quantitative information 1. Distribution by currency of assets and liabilities and derivatives (€ million) ITEMS AMOUNTS AS AT 12.31.2021 CURRENCIES U.S. DOLLAR SWITZERLAND FRANC JAPAN YEN BRITISH POUND CZECH CROWN OTHER CURRENCIES A. Financial assets 40,162 8,713 10,791 3,279 437 2,671 A.1 Debt securities 12,593 361 10,462 555 - 301 A.2 Equity securities 1,853 294 102 991 - 697 A.3 Loans to banks 4,435 2,592 65 112 102 442 A.4 Loans to customers 21,250 5,443 162 1,614 334 1,219 A.5 Other financial assets 31 23 - 7 1 12 B. Other assets 3,435 10 5 173 9 350 C. Financial liabilities 47,781 907 144 3,300 453 2,909 C.1 Deposits from banks 8,770 31 7 1,658 2 397 C.2 Deposits from customers 23,738 716 98 1,556 303 2,206 C.3 Debt securities in issue 15,197 158 38 20 145 282 C.4 Other financial liabilities 76 2 1 66 3 24 D. Other liabilities 208 1 1 4 1 13 E. Financial derivatives - Options + Long positions 6,948 121 4 1,410 45 1,370 + Short positions 7,017 71 19 1,410 70 220 - Other derivatives + Long positions 320,679 63,317 35,038 110,344 19,156 48,669 + Short positions 170,806 20,905 17,930 24,225 5,316 29,468 Total assets 371,224 72,161 45,838 115,206 19,647 53,060 Total liabilities 225,812 21,884 18,094 28,939 5,840 32,610 Difference (+/-) 145,412 50,277 27,744 86,267 13,807 20,450 2. Internal models and other methodologies for sensitivity analysis Transactional FX risk (impact of fluctuations in foreign exchange rates on the Group’s Profit & Loss in the period) measurement and reporting is part of the Group´s market risk framework. In UGM, transactional exchange risk exposures are incorporated in the relevant risk calculation, limit monitoring and reporting. Every Legal Entity is required to setup, as part of the respective Market Risk framework, a sound limit system for managing and controlling Transactional Exchange Risk. As a minimum requirement, the limit system shall envisage FX Delta limits for the main currencies which the business is exposed to or for aggregation of currencies. FX Delta limits are part of the Granular Market Risk Limits and are ruled by the Group Policy “Market Risk Limits”. Credit spread risk Qualitative information A. General aspects Risk relating to credit spreads and related credit derivative products included in Trading book originates from positions taken by Group specialist centres holding assigned market risk limits within certain levels of discretion. Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of securities, regulated derivatives and OTC. B. Risk management processes and measurement methods For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, refer to introduction on internal models, Part E - Information on risks and hedging policies, 2.2 Market risk. As regards stress Test refer to the introduction on “Risk management strategies and processes” and for the complex scenarios’ description to “Stress test” paragraph, Part E - Information on risks and hedging policies, 2.2 Market risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 397 Quantitative information Credit spread sensitivity Credit spread sensitivity is calculated by assuming a worsening of creditworthiness seen in a parallel shift of +1bp/+10bp/+100bps in the credit spread curves. These sensitivities are calculated both inclusively, assuming a parallel shift of all the credit spread curves, and in respect of specific rating classes and economic sectors. The table below shows Trading book sensitivities. (€ million) +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL +10BP +100BP Total -0.0 0.0 -0.1 0.6 -0.3 0.0 0.0 0.2 2.3 20.1 Rating AAA -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.1 0.1 0.7 4.0 AA -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -2.2 -20.5 A -0.0 -0.0 -0.0 0.2 0.0 -0.1 0.0 0.1 1.3 12.6 BBB -0.0 0.0 -0.1 0.3 -0.2 0.1 0.0 0.3 2.6 24.7 BB -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -1.6 B 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.1 CCC and NR 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.9 Sector Sovereigns & Related -0.0 0.0 -0.1 0.0 -0.2 0.1 -0.0 -0.2 -2.5 -26.0 ABS and MBS -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.5 Financial Services -0.0 0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.1 -1.4 -12.9 All Corporates -0.0 0.0 -0.0 0.6 -0.0 -0.0 -0.0 0.6 6.2 59.4 Basic Materials 0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.1 0.6 5.8 Communications -0.0 -0.0 0.0 0.1 -0.0 -0.0 0.0 0.1 1.1 10.5 Consumer Cyclical -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 1.0 9.3 Consumer Non cyclical -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.1 1.4 13.2 Energy 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.3 3.0 Technology 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 Industrial -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 0.8 8.1 Utilities -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 1.0 9.9 All other Corporates 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Stress test Stress tests complement the sensitivity analysis and VaR results in order to assess the potential risks in a different way. A stress test performs the evaluation of a portfolio under both simple scenarios (assuming change to single risk factors) and complex scenarios (assuming simultaneous changes in a number of risk factors). The description of complex scenarios, which combine changes in interest rate, price, exchange-rate and credit spread risk factors is reported below. For the description of simple scenarios, refer to the previous paragraphs. As far as complex scenarios are concerned, different scenarios have been applied to the whole Group Trading book on a monthly basis and reported to the Top Management. Pandemic Scenario In this scenario, we assume that virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, we assume that the US will adopt less stringent measures than the eurozone countries, similarly to the previous waves. We also assume that some sort of herd immunity is only reached towards the end of the forecasting horizon. Eurozone GDP would increase by 2.6% in 2022 (-1.7pp compared to baseline), followed by an expansion of only 0.4% in 2023 (-1.7pp) and 0.7% in 2024 (-1.0pp). By the end of 2024, eurozone GDP would remain well below its pre-crisis trend line. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 397 Quantitative information Credit spread sensitivity Credit spread sensitivity is calculated by assuming a worsening of creditworthiness seen in a parallel shift of +1bp/+10bp/+100bps in the credit spread curves. These sensitivities are calculated both inclusively, assuming a parallel shift of all the credit spread curves, and in respect of specific rating classes and economic sectors. The table below shows Trading book sensitivities. (€ million) +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL +10BP +100BP Total -0.0 0.0 -0.1 0.6 -0.3 0.0 0.0 0.2 2.3 20.1 Rating AAA -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.1 0.1 0.7 4.0 AA -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -2.2 -20.5 A -0.0 -0.0 -0.0 0.2 0.0 -0.1 0.0 0.1 1.3 12.6 BBB -0.0 0.0 -0.1 0.3 -0.2 0.1 0.0 0.3 2.6 24.7 BB -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -1.6 B 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.1 CCC and NR 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.9 Sector Sovereigns & Related -0.0 0.0 -0.1 0.0 -0.2 0.1 -0.0 -0.2 -2.5 -26.0 ABS and MBS -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.5 Financial Services -0.0 0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.1 -1.4 -12.9 All Corporates -0.0 0.0 -0.0 0.6 -0.0 -0.0 -0.0 0.6 6.2 59.4 Basic Materials 0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.1 0.6 5.8 Communications -0.0 -0.0 0.0 0.1 -0.0 -0.0 0.0 0.1 1.1 10.5 Consumer Cyclical -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 1.0 9.3 Consumer Non cyclical -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.1 1.4 13.2 Energy 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.3 3.0 Technology 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 Industrial -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 0.8 8.1 Utilities -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 1.0 9.9 All other Corporates 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Stress test Stress tests complement the sensitivity analysis and VaR results in order to assess the potential risks in a different way. A stress test performs the evaluation of a portfolio under both simple scenarios (assuming change to single risk factors) and complex scenarios (assuming simultaneous changes in a number of risk factors). The description of complex scenarios, which combine changes in interest rate, price, exchange-rate and credit spread risk factors is reported below. For the description of simple scenarios, refer to the previous paragraphs. As far as complex scenarios are concerned, different scenarios have been applied to the whole Group Trading book on a monthly basis and reported to the Top Management. Pandemic Scenario In this scenario, we assume that virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, we assume that the US will adopt less stringent measures than the eurozone countries, similarly to the previous waves. We also assume that some sort of herd immunity is only reached towards the end of the forecasting horizon. Eurozone GDP would increase by 2.6% in 2022 (-1.7pp compared to baseline), followed by an expansion of only 0.4% in 2023 (-1.7pp) and 0.7% in 2024 (-1.0pp). By the end of 2024, eurozone GDP would remain well below its pre-crisis trend line. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 397 Quantitative information Credit spread sensitivity Credit spread sensitivity is calculated by assuming a worsening of creditworthiness seen in a parallel shift of +1bp/+10bp/+100bps in the credit spread curves. These sensitivities are calculated both inclusively, assuming a parallel shift of all the credit spread curves, and in respect of specific rating classes and economic sectors. The table below shows Trading book sensitivities. (€ million) +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL +10BP +100BP Total -0.0 0.0 -0.1 0.6 -0.3 0.0 0.0 0.2 2.3 20.1 Rating AAA -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.1 0.1 0.7 4.0 AA -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -2.2 -20.5 A -0.0 -0.0 -0.0 0.2 0.0 -0.1 0.0 0.1 1.3 12.6 BBB -0.0 0.0 -0.1 0.3 -0.2 0.1 0.0 0.3 2.6 24.7 BB -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -1.6 B 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.1 CCC and NR 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.9 Sector Sovereigns & Related -0.0 0.0 -0.1 0.0 -0.2 0.1 -0.0 -0.2 -2.5 -26.0 ABS and MBS -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.5 Financial Services -0.0 0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.1 -1.4 -12.9 All Corporates -0.0 0.0 -0.0 0.6 -0.0 -0.0 -0.0 0.6 6.2 59.4 Basic Materials 0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.1 0.6 5.8 Communications -0.0 -0.0 0.0 0.1 -0.0 -0.0 0.0 0.1 1.1 10.5 Consumer Cyclical -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 1.0 9.3 Consumer Non cyclical -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.1 1.4 13.2 Energy 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.3 3.0 Technology 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 Industrial -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 0.8 8.1 Utilities -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 1.0 9.9 All other Corporates 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Stress test Stress tests complement the sensitivity analysis and VaR results in order to assess the potential risks in a different way. A stress test performs the evaluation of a portfolio under both simple scenarios (assuming change to single risk factors) and complex scenarios (assuming simultaneous changes in a number of risk factors). The description of complex scenarios, which combine changes in interest rate, price, exchange-rate and credit spread risk factors is reported below. For the description of simple scenarios, refer to the previous paragraphs. As far as complex scenarios are concerned, different scenarios have been applied to the whole Group Trading book on a monthly basis and reported to the Top Management. Pandemic Scenario In this scenario, we assume that virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, we assume that the US will adopt less stringent measures than the eurozone countries, similarly to the previous waves. We also assume that some sort of herd immunity is only reached towards the end of the forecasting horizon. Eurozone GDP would increase by 2.6% in 2022 (-1.7pp compared to baseline), followed by an expansion of only 0.4% in 2023 (-1.7pp) and 0.7% in 2024 (-1.0pp). By the end of 2024, eurozone GDP would remain well below its pre-crisis trend line. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 397 Quantitative information Credit spread sensitivity Credit spread sensitivity is calculated by assuming a worsening of creditworthiness seen in a parallel shift of +1bp/+10bp/+100bps in the credit spread curves. These sensitivities are calculated both inclusively, assuming a parallel shift of all the credit spread curves, and in respect of specific rating classes and economic sectors. The table below shows Trading book sensitivities. (€ million) +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL +10BP +100BP Total -0.0 0.0 -0.1 0.6 -0.3 0.0 0.0 0.2 2.3 20.1 Rating AAA -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.1 0.1 0.7 4.0 AA -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -2.2 -20.5 A -0.0 -0.0 -0.0 0.2 0.0 -0.1 0.0 0.1 1.3 12.6 BBB -0.0 0.0 -0.1 0.3 -0.2 0.1 0.0 0.3 2.6 24.7 BB -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -1.6 B 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.1 CCC and NR 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.9 Sector Sovereigns & Related -0.0 0.0 -0.1 0.0 -0.2 0.1 -0.0 -0.2 -2.5 -26.0 ABS and MBS -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.5 Financial Services -0.0 0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.1 -1.4 -12.9 All Corporates -0.0 0.0 -0.0 0.6 -0.0 -0.0 -0.0 0.6 6.2 59.4 Basic Materials 0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.1 0.6 5.8 Communications -0.0 -0.0 0.0 0.1 -0.0 -0.0 0.0 0.1 1.1 10.5 Consumer Cyclical -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 1.0 9.3 Consumer Non cyclical -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.1 1.4 13.2 Energy 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.3 3.0 Technology 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 Industrial -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 0.8 8.1 Utilities -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 1.0 9.9 All other Corporates 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Stress test Stress tests complement the sensitivity analysis and VaR results in order to assess the potential risks in a different way. A stress test performs the evaluation of a portfolio under both simple scenarios (assuming change to single risk factors) and complex scenarios (assuming simultaneous changes in a number of risk factors). The description of complex scenarios, which combine changes in interest rate, price, exchange-rate and credit spread risk factors is reported below. For the description of simple scenarios, refer to the previous paragraphs. As far as complex scenarios are concerned, different scenarios have been applied to the whole Group Trading book on a monthly basis and reported to the Top Management. Pandemic Scenario In this scenario, we assume that virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, we assume that the US will adopt less stringent measures than the eurozone countries, similarly to the previous waves. We also assume that some sort of herd immunity is only reached towards the end of the forecasting horizon. Eurozone GDP would increase by 2.6% in 2022 (-1.7pp compared to baseline), followed by an expansion of only 0.4% in 2023 (-1.7pp) and 0.7% in 2024 (-1.0pp). By the end of 2024, eurozone GDP would remain well below its pre-crisis trend line. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 397 Quantitative information Credit spread sensitivity Credit spread sensitivity is calculated by assuming a worsening of creditworthiness seen in a parallel shift of +1bp/+10bp/+100bps in the credit spread curves. These sensitivities are calculated both inclusively, assuming a parallel shift of all the credit spread curves, and in respect of specific rating classes and economic sectors. The table below shows Trading book sensitivities. (€ million) +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL +10BP +100BP Total -0.0 0.0 -0.1 0.6 -0.3 0.0 0.0 0.2 2.3 20.1 Rating AAA -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.1 0.1 0.7 4.0 AA -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -2.2 -20.5 A -0.0 -0.0 -0.0 0.2 0.0 -0.1 0.0 0.1 1.3 12.6 BBB -0.0 0.0 -0.1 0.3 -0.2 0.1 0.0 0.3 2.6 24.7 BB -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -1.6 B 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.1 CCC and NR 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.9 Sector Sovereigns & Related -0.0 0.0 -0.1 0.0 -0.2 0.1 -0.0 -0.2 -2.5 -26.0 ABS and MBS -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.5 Financial Services -0.0 0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.1 -1.4 -12.9 All Corporates -0.0 0.0 -0.0 0.6 -0.0 -0.0 -0.0 0.6 6.2 59.4 Basic Materials 0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.1 0.6 5.8 Communications -0.0 -0.0 0.0 0.1 -0.0 -0.0 0.0 0.1 1.1 10.5 Consumer Cyclical -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 1.0 9.3 Consumer Non cyclical -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.1 1.4 13.2 Energy 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.3 3.0 Technology 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 Industrial -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 0.8 8.1 Utilities -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 1.0 9.9 All other Corporates 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Stress test Stress tests complement the sensitivity analysis and VaR results in order to assess the potential risks in a different way. A stress test performs the evaluation of a portfolio under both simple scenarios (assuming change to single risk factors) and complex scenarios (assuming simultaneous changes in a number of risk factors). The description of complex scenarios, which combine changes in interest rate, price, exchange-rate and credit spread risk factors is reported below. For the description of simple scenarios, refer to the previous paragraphs. As far as complex scenarios are concerned, different scenarios have been applied to the whole Group Trading book on a monthly basis and reported to the Top Management. Pandemic Scenario In this scenario, we assume that virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, we assume that the US will adopt less stringent measures than the eurozone countries, similarly to the previous waves. We also assume that some sort of herd immunity is only reached towards the end of the forecasting horizon. Eurozone GDP would increase by 2.6% in 2022 (-1.7pp compared to baseline), followed by an expansion of only 0.4% in 2023 (-1.7pp) and 0.7% in 2024 (-1.0pp). By the end of 2024, eurozone GDP would remain well below its pre-crisis trend line. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 398 2021 Annual Report and Accounts · UniCredit Disinflationary forces materialize, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. We assume that the ECB does not cut the depo rate as the central bank judges that the negative impact on banks’ profitability in such environment would outweigh the positive effects of a rate cut on the real economy. Therefore, it is assumed that all the burden of the additional monetary expansion will be on asset purchases, most probably through an increase of the envelope of the Pandemic Emergency Purchase Programme (PEPP), and on TLTRO. Favorable conditions for TLTRO are likely to remain in place throughout 2023 to preserve low funding costs for the banking sector. The shock would lead to deteriorating market sentiment. As a result, we assume richening of core sovereign bonds relative to swaps and more in general wider credit spreads, both for weaker sovereigns and for corporates (around 150bp for Auto and Industrials while 80bp for Pharma and Telecom). Equity markets are expected to come under pressure as well, with drawdowns of 15/20%. Because of the central bank reaction, we expect that part of the initial shock would be reabsorbed during the first year. In FX, the EUR-USD would decline by 10% as soon as the shock materializes, to recover some ground over the exercise horizon. We also expect the EUR-CHF to decline, but by a more moderate 5%. In both cases, FX moves would reflect the deterioration in risk appetite. Pandemic Scenario + Sovereign Stress In this scenario, we assume that virus mutation will cause further pandemic waves. Immunity achieved through vaccines proves to be short-lived, and we assume a relatively high number of adverse reactions to booster doses. These two factors lead to “vaccination fatigue” and progressively reduce popular support for current vaccination strategies of governments. Governments will have no choice but to continue to push ahead with strongly expansionary policies to mitigate the pace of job-shedding, to slow the rise in corporate defaults and to preserve social stability. The ECB is expected to remain in the market with the PEPP and TLTRO with generous conditions throughout the three-year horizon. Despite ongoing large-scale ECB intervention, the further build-up of public sector debt and prospects of a slow recovery put downward pressure on the sovereign rating of the weakest eurozone countries. In this context, after contracting by 6.5% in 2020, eurozone GDP would expand by 1.2% in 2022 (-3.1pp compared to baseline), followed by a 1% contraction in 2023 (3.1pp) and stagnation in 2024 (-1.7pp). By the end of 2024, no eurozone country would recover its pre-crisis level of economic activity. Demand weakness clearly prevails over supply-side disruption, leading to a sizeable widening of the difference between the potential and actual GDP (output gap) which, together with lower oil prices, puts material downward pressure on inflation. After averaging 2.3% in 2021, headline inflation settles at just above 1% in 2022-23. This is well below the 2% ECB target over the medium term. Monetary policy responds forcefully to the deterioration in the outlook for growth and inflation, and to the rising risks to the transmission mechanisms of monetary policy as sovereign stress pushes spreads wider. We assume that the ECB does not cut the depo rate as the central bank judges that the negative impact on banks’ profitability in such environment would outweigh the positive effects of a rate cut on the real economy. Therefore, it is assumed that all the burden of the additional monetary expansion will be on asset purchases, most probably through a big increase of the envelope of the Pandemic Emergency Purchase Programme (PEPP), and on TLTRO. With its flexibility, the PEPP is the ideal tool to face a combination of negative macro developments coupled with intensification of sovereign stress. Given that the ECB remains fully committed to preserving a reasonably smooth functioning of the transmission mechanism, it is assumed that front-loading of purchases after a rating shock allows bringing the BTP-Bund spread down to an acceptable level that is consistent with such transmission not being derailed. Favorable conditions for TLTRO are likely to remain in place throughout 2023 to preserve low funding costs for the banking sector. The shock would lead to deteriorating market sentiment. As a result, we assume richening of core sovereign bonds relative to swaps and more in general wider credit spreads, both for weaker sovereigns and for corporates (around 300bp for Auto and Industrials while 150bp for Pharma and Telecom). Equity markets are expected to come under pressure as well, with drawdowns of 25/40%. Because of the central bank reaction, we expect that part of the initial shock would be reabsorbed during the first year. In FX, the EUR-USD would decline by 20% as soon as the shock materializes, to recover some ground over the exercise horizon. We also expect the EUR-CHF to decline, but by a more moderate 10%. In both cases, FX moves would reflect the deterioration in risk appetite. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 398 2021 Annual Report and Accounts · UniCredit Disinflationary forces materialize, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. We assume that the ECB does not cut the depo rate as the central bank judges that the negative impact on banks’ profitability in such environment would outweigh the positive effects of a rate cut on the real economy. Therefore, it is assumed that all the burden of the additional monetary expansion will be on asset purchases, most probably through an increase of the envelope of the Pandemic Emergency Purchase Programme (PEPP), and on TLTRO. Favorable conditions for TLTRO are likely to remain in place throughout 2023 to preserve low funding costs for the banking sector. The shock would lead to deteriorating market sentiment. As a result, we assume richening of core sovereign bonds relative to swaps and more in general wider credit spreads, both for weaker sovereigns and for corporates (around 150bp for Auto and Industrials while 80bp for Pharma and Telecom). Equity markets are expected to come under pressure as well, with drawdowns of 15/20%. Because of the central bank reaction, we expect that part of the initial shock would be reabsorbed during the first year. In FX, the EUR-USD would decline by 10% as soon as the shock materializes, to recover some ground over the exercise horizon. We also expect the EUR-CHF to decline, but by a more moderate 5%. In both cases, FX moves would reflect the deterioration in risk appetite. Pandemic Scenario + Sovereign Stress In this scenario, we assume that virus mutation will cause further pandemic waves. Immunity achieved through vaccines proves to be short-lived, and we assume a relatively high number of adverse reactions to booster doses. These two factors lead to “vaccination fatigue” and progressively reduce popular support for current vaccination strategies of governments. Governments will have no choice but to continue to push ahead with strongly expansionary policies to mitigate the pace of job-shedding, to slow the rise in corporate defaults and to preserve social stability. The ECB is expected to remain in the market with the PEPP and TLTRO with generous conditions throughout the three-year horizon. Despite ongoing large-scale ECB intervention, the further build-up of public sector debt and prospects of a slow recovery put downward pressure on the sovereign rating of the weakest eurozone countries. In this context, after contracting by 6.5% in 2020, eurozone GDP would expand by 1.2% in 2022 (-3.1pp compared to baseline), followed by a 1% contraction in 2023 (3.1pp) and stagnation in 2024 (-1.7pp). By the end of 2024, no eurozone country would recover its pre-crisis level of economic activity. Demand weakness clearly prevails over supply-side disruption, leading to a sizeable widening of the difference between the potential and actual GDP (output gap) which, together with lower oil prices, puts material downward pressure on inflation. After averaging 2.3% in 2021, headline inflation settles at just above 1% in 2022-23. This is well below the 2% ECB target over the medium term. Monetary policy responds forcefully to the deterioration in the outlook for growth and inflation, and to the rising risks to the transmission mechanisms of monetary policy as sovereign stress pushes spreads wider. We assume that the ECB does not cut the depo rate as the central bank judges that the negative impact on banks’ profitability in such environment would outweigh the positive effects of a rate cut on the real economy. Therefore, it is assumed that all the burden of the additional monetary expansion will be on asset purchases, most probably through a big increase of the envelope of the Pandemic Emergency Purchase Programme (PEPP), and on TLTRO. With its flexibility, the PEPP is the ideal tool to face a combination of negative macro developments coupled with intensification of sovereign stress. Given that the ECB remains fully committed to preserving a reasonably smooth functioning of the transmission mechanism, it is assumed that front-loading of purchases after a rating shock allows bringing the BTP-Bund spread down to an acceptable level that is consistent with such transmission not being derailed. Favorable conditions for TLTRO are likely to remain in place throughout 2023 to preserve low funding costs for the banking sector. The shock would lead to deteriorating market sentiment. As a result, we assume richening of core sovereign bonds relative to swaps and more in general wider credit spreads, both for weaker sovereigns and for corporates (around 300bp for Auto and Industrials while 150bp for Pharma and Telecom). Equity markets are expected to come under pressure as well, with drawdowns of 25/40%. Because of the central bank reaction, we expect that part of the initial shock would be reabsorbed during the first year. In FX, the EUR-USD would decline by 20% as soon as the shock materializes, to recover some ground over the exercise horizon. We also expect the EUR-CHF to decline, but by a more moderate 10%. In both cases, FX moves would reflect the deterioration in risk appetite. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 398 2021 Annual Report and Accounts · UniCredit Disinflationary forces materialize, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. We assume that the ECB does not cut the depo rate as the central bank judges that the negative impact on banks’ profitability in such environment would outweigh the positive effects of a rate cut on the real economy. Therefore, it is assumed that all the burden of the additional monetary expansion will be on asset purchases, most probably through an increase of the envelope of the Pandemic Emergency Purchase Programme (PEPP), and on TLTRO. Favorable conditions for TLTRO are likely to remain in place throughout 2023 to preserve low funding costs for the banking sector. The shock would lead to deteriorating market sentiment. As a result, we assume richening of core sovereign bonds relative to swaps and more in general wider credit spreads, both for weaker sovereigns and for corporates (around 150bp for Auto and Industrials while 80bp for Pharma and Telecom). Equity markets are expected to come under pressure as well, with drawdowns of 15/20%. Because of the central bank reaction, we expect that part of the initial shock would be reabsorbed during the first year. In FX, the EUR-USD would decline by 10% as soon as the shock materializes, to recover some ground over the exercise horizon. We also expect the EUR-CHF to decline, but by a more moderate 5%. In both cases, FX moves would reflect the deterioration in risk appetite. Pandemic Scenario + Sovereign Stress In this scenario, we assume that virus mutation will cause further pandemic waves. Immunity achieved through vaccines proves to be short-lived, and we assume a relatively high number of adverse reactions to booster doses. These two factors lead to “vaccination fatigue” and progressively reduce popular support for current vaccination strategies of governments. Governments will have no choice but to continue to push ahead with strongly expansionary policies to mitigate the pace of job-shedding, to slow the rise in corporate defaults and to preserve social stability. The ECB is expected to remain in the market with the PEPP and TLTRO with generous conditions throughout the three-year horizon. Despite ongoing large-scale ECB intervention, the further build-up of public sector debt and prospects of a slow recovery put downward pressure on the sovereign rating of the weakest eurozone countries. In this context, after contracting by 6.5% in 2020, eurozone GDP would expand by 1.2% in 2022 (-3.1pp compared to baseline), followed by a 1% contraction in 2023 (3.1pp) and stagnation in 2024 (-1.7pp). By the end of 2024, no eurozone country would recover its pre-crisis level of economic activity. Demand weakness clearly prevails over supply-side disruption, leading to a sizeable widening of the difference between the potential and actual GDP (output gap) which, together with lower oil prices, puts material downward pressure on inflation. After averaging 2.3% in 2021, headline inflation settles at just above 1% in 2022-23. This is well below the 2% ECB target over the medium term. Monetary policy responds forcefully to the deterioration in the outlook for growth and inflation, and to the rising risks to the transmission mechanisms of monetary policy as sovereign stress pushes spreads wider. We assume that the ECB does not cut the depo rate as the central bank judges that the negative impact on banks’ profitability in such environment would outweigh the positive effects of a rate cut on the real economy. Therefore, it is assumed that all the burden of the additional monetary expansion will be on asset purchases, most probably through a big increase of the envelope of the Pandemic Emergency Purchase Programme (PEPP), and on TLTRO. With its flexibility, the PEPP is the ideal tool to face a combination of negative macro developments coupled with intensification of sovereign stress. Given that the ECB remains fully committed to preserving a reasonably smooth functioning of the transmission mechanism, it is assumed that front-loading of purchases after a rating shock allows bringing the BTP-Bund spread down to an acceptable level that is consistent with such transmission not being derailed. Favorable conditions for TLTRO are likely to remain in place throughout 2023 to preserve low funding costs for the banking sector. The shock would lead to deteriorating market sentiment. As a result, we assume richening of core sovereign bonds relative to swaps and more in general wider credit spreads, both for weaker sovereigns and for corporates (around 300bp for Auto and Industrials while 150bp for Pharma and Telecom). Equity markets are expected to come under pressure as well, with drawdowns of 25/40%. Because of the central bank reaction, we expect that part of the initial shock would be reabsorbed during the first year. In FX, the EUR-USD would decline by 20% as soon as the shock materializes, to recover some ground over the exercise horizon. We also expect the EUR-CHF to decline, but by a more moderate 10%. In both cases, FX moves would reflect the deterioration in risk appetite. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 398 2021 Annual Report and Accounts · UniCredit Disinflationary forces materialize, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. We assume that the ECB does not cut the depo rate as the central bank judges that the negative impact on banks’ profitability in such environment would outweigh the positive effects of a rate cut on the real economy. Therefore, it is assumed that all the burden of the additional monetary expansion will be on asset purchases, most probably through an increase of the envelope of the Pandemic Emergency Purchase Programme (PEPP), and on TLTRO. Favorable conditions for TLTRO are likely to remain in place throughout 2023 to preserve low funding costs for the banking sector. The shock would lead to deteriorating market sentiment. As a result, we assume richening of core sovereign bonds relative to swaps and more in general wider credit spreads, both for weaker sovereigns and for corporates (around 150bp for Auto and Industrials while 80bp for Pharma and Telecom). Equity markets are expected to come under pressure as well, with drawdowns of 15/20%. Because of the central bank reaction, we expect that part of the initial shock would be reabsorbed during the first year. In FX, the EUR-USD would decline by 10% as soon as the shock materializes, to recover some ground over the exercise horizon. We also expect the EUR-CHF to decline, but by a more moderate 5%. In both cases, FX moves would reflect the deterioration in risk appetite. Pandemic Scenario + Sovereign Stress In this scenario, we assume that virus mutation will cause further pandemic waves. Immunity achieved through vaccines proves to be short-lived, and we assume a relatively high number of adverse reactions to booster doses. These two factors lead to “vaccination fatigue” and progressively reduce popular support for current vaccination strategies of governments. Governments will have no choice but to continue to push ahead with strongly expansionary policies to mitigate the pace of job-shedding, to slow the rise in corporate defaults and to preserve social stability. The ECB is expected to remain in the market with the PEPP and TLTRO with generous conditions throughout the three-year horizon. Despite ongoing large-scale ECB intervention, the further build-up of public sector debt and prospects of a slow recovery put downward pressure on the sovereign rating of the weakest eurozone countries. In this context, after contracting by 6.5% in 2020, eurozone GDP would expand by 1.2% in 2022 (-3.1pp compared to baseline), followed by a 1% contraction in 2023 (3.1pp) and stagnation in 2024 (-1.7pp). By the end of 2024, no eurozone country would recover its pre-crisis level of economic activity. Demand weakness clearly prevails over supply-side disruption, leading to a sizeable widening of the difference between the potential and actual GDP (output gap) which, together with lower oil prices, puts material downward pressure on inflation. After averaging 2.3% in 2021, headline inflation settles at just above 1% in 2022-23. This is well below the 2% ECB target over the medium term. Monetary policy responds forcefully to the deterioration in the outlook for growth and inflation, and to the rising risks to the transmission mechanisms of monetary policy as sovereign stress pushes spreads wider. We assume that the ECB does not cut the depo rate as the central bank judges that the negative impact on banks’ profitability in such environment would outweigh the positive effects of a rate cut on the real economy. Therefore, it is assumed that all the burden of the additional monetary expansion will be on asset purchases, most probably through a big increase of the envelope of the Pandemic Emergency Purchase Programme (PEPP), and on TLTRO. With its flexibility, the PEPP is the ideal tool to face a combination of negative macro developments coupled with intensification of sovereign stress. Given that the ECB remains fully committed to preserving a reasonably smooth functioning of the transmission mechanism, it is assumed that front-loading of purchases after a rating shock allows bringing the BTP-Bund spread down to an acceptable level that is consistent with such transmission not being derailed. Favorable conditions for TLTRO are likely to remain in place throughout 2023 to preserve low funding costs for the banking sector. The shock would lead to deteriorating market sentiment. As a result, we assume richening of core sovereign bonds relative to swaps and more in general wider credit spreads, both for weaker sovereigns and for corporates (around 300bp for Auto and Industrials while 150bp for Pharma and Telecom). Equity markets are expected to come under pressure as well, with drawdowns of 25/40%. Because of the central bank reaction, we expect that part of the initial shock would be reabsorbed during the first year. In FX, the EUR-USD would decline by 20% as soon as the shock materializes, to recover some ground over the exercise horizon. We also expect the EUR-CHF to decline, but by a more moderate 10%. In both cases, FX moves would reflect the deterioration in risk appetite. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 398 2021 Annual Report and Accounts · UniCredit Disinflationary forces materialize, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. We assume that the ECB does not cut the depo rate as the central bank judges that the negative impact on banks’ profitability in such environment would outweigh the positive effects of a rate cut on the real economy. Therefore, it is assumed that all the burden of the additional monetary expansion will be on asset purchases, most probably through an increase of the envelope of the Pandemic Emergency Purchase Programme (PEPP), and on TLTRO. Favorable conditions for TLTRO are likely to remain in place throughout 2023 to preserve low funding costs for the banking sector. The shock would lead to deteriorating market sentiment. As a result, we assume richening of core sovereign bonds relative to swaps and more in general wider credit spreads, both for weaker sovereigns and for corporates (around 150bp for Auto and Industrials while 80bp for Pharma and Telecom). Equity markets are expected to come under pressure as well, with drawdowns of 15/20%. Because of the central bank reaction, we expect that part of the initial shock would be reabsorbed during the first year. In FX, the EUR-USD would decline by 10% as soon as the shock materializes, to recover some ground over the exercise horizon. We also expect the EUR-CHF to decline, but by a more moderate 5%. In both cases, FX moves would reflect the deterioration in risk appetite. Pandemic Scenario + Sovereign Stress In this scenario, we assume that virus mutation will cause further pandemic waves. Immunity achieved through vaccines proves to be short-lived, and we assume a relatively high number of adverse reactions to booster doses. These two factors lead to “vaccination fatigue” and progressively reduce popular support for current vaccination strategies of governments. Governments will have no choice but to continue to push ahead with strongly expansionary policies to mitigate the pace of job-shedding, to slow the rise in corporate defaults and to preserve social stability. The ECB is expected to remain in the market with the PEPP and TLTRO with generous conditions throughout the three-year horizon. Despite ongoing large-scale ECB intervention, the further build-up of public sector debt and prospects of a slow recovery put downward pressure on the sovereign rating of the weakest eurozone countries. In this context, after contracting by 6.5% in 2020, eurozone GDP would expand by 1.2% in 2022 (-3.1pp compared to baseline), followed by a 1% contraction in 2023 (3.1pp) and stagnation in 2024 (-1.7pp). By the end of 2024, no eurozone country would recover its pre-crisis level of economic activity. Demand weakness clearly prevails over supply-side disruption, leading to a sizeable widening of the difference between the potential and actual GDP (output gap) which, together with lower oil prices, puts material downward pressure on inflation. After averaging 2.3% in 2021, headline inflation settles at just above 1% in 2022-23. This is well below the 2% ECB target over the medium term. Monetary policy responds forcefully to the deterioration in the outlook for growth and inflation, and to the rising risks to the transmission mechanisms of monetary policy as sovereign stress pushes spreads wider. We assume that the ECB does not cut the depo rate as the central bank judges that the negative impact on banks’ profitability in such environment would outweigh the positive effects of a rate cut on the real economy. Therefore, it is assumed that all the burden of the additional monetary expansion will be on asset purchases, most probably through a big increase of the envelope of the Pandemic Emergency Purchase Programme (PEPP), and on TLTRO. With its flexibility, the PEPP is the ideal tool to face a combination of negative macro developments coupled with intensification of sovereign stress. Given that the ECB remains fully committed to preserving a reasonably smooth functioning of the transmission mechanism, it is assumed that front-loading of purchases after a rating shock allows bringing the BTP-Bund spread down to an acceptable level that is consistent with such transmission not being derailed. Favorable conditions for TLTRO are likely to remain in place throughout 2023 to preserve low funding costs for the banking sector. The shock would lead to deteriorating market sentiment. As a result, we assume richening of core sovereign bonds relative to swaps and more in general wider credit spreads, both for weaker sovereigns and for corporates (around 300bp for Auto and Industrials while 150bp for Pharma and Telecom). Equity markets are expected to come under pressure as well, with drawdowns of 25/40%. Because of the central bank reaction, we expect that part of the initial shock would be reabsorbed during the first year. In FX, the EUR-USD would decline by 20% as soon as the shock materializes, to recover some ground over the exercise horizon. We also expect the EUR-CHF to decline, but by a more moderate 10%. In both cases, FX moves would reflect the deterioration in risk appetite. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 399 Severe inflation Scenario In this scenario, we assume that commodity-price shocks and disruption to supply chains lead to a longer-than-expected period of high inflation. Inflation expectations react to the shock and become de-anchored while wage-growth picks up materially, contributing to keeping inflation well above target levels and triggering a forceful response by central banks. Tighter financial conditions create big downward pressure on economic activity and lead to wider credit spreads. In the eurozone, GDP growth would slow to 1.7% in 2022 (-2.6pp compared to baseline), followed by a contraction of 0.8% in 2023 (-2.9pp) and meager expansion of only 0.4% in 2024 (-1.3pp). By the end of 2024, GDP would be broadly in line with its pre-pandemic level. Monetary policy responds forcefully to persistently high inflation and the de-anchoring of inflation expectations. The ECB stops net asset purchases in early-2022 and hikes the deposit rate to zero by end-2022, and the refi rate to 0.75% by end-2023. TLTRO conditions are tightened measurably after June 2022 and banks repay the bulk of the liquidity obtained through this facility. The Fed hikes rates by a cumulative 200bp more than in the baseline. Tighter financial conditions create big downward pressure on economic activity. The estimated impact on the real estate market is positive for the residential sector, negative for commercial real estate. House prices would benefit as households seek real assets to avoid erosion of the purchasing power of the substantial savings they hold in bank accounts, at a time of severe turmoil in the equity market. Moreover, households are generally less indebted than firms, therefore they are less vulnerable to higher mortgage costs. Instead, prices of commercial real estate would suffer, reflecting a hit to corporate profitability caused by the recessionary environment and a higher cost of debt refinancing. This scenario is particularly negative for BTPs, which suffer from higher ECB policy rates, no further Quantitative Easing and a recessionary environment. We expect a significant widening (210bp) as soon as the shock occurs, with a retracement afterwards. Credit will be adversely affected by higher inflation but the fact that the GDP will grow moderately, is a supportive factor for credit. As such the impact on spreads should be more moderate than in a scenario with negative growth. Equity markets are hit by the deterioration in growth with potential drawdowns of up to 40% once the shock occurs. In FX, the EUR-USD would decline by 16% as soon as the shock materializes, reflecting deteriorating risk appetite as well as a wider rate policy rate differential between the US and the EA. Similarly, in this scenario we expect a strengthening by the JPY and the CHF to reflect the risk off mood. Stress Test on Trading book (€ million) END OF DECEMBER 2021 PANDEMIC SCENARIO PANDEMIC SCENARIO + SOVEREIGN STRESS SEVERE INFLATION UniCredit group total -84 -231 -175 RC Germany -67 -212 -144 RC Italy -11 -11 -24 RC Austria -2 -3 1 RC CEE -3 -5 -8 Conditional losses of Managerial Trading book, as defined above, have been reported. Conditional losses are mainly coming from UCB AG and are driven by negative shocks on Equities, impacting CIB Equity & Brokerage Trading and CIB X-Asset Products business lines, and positive shock on Interest Rate Volatility impacting CIB Structured FI business line. In UniCredit S.p.A. conditional losses are mainly driven by CIB Fixed Income, Currencies & Commodities business line due to widening of Italian Government Credit Spread. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 399 Severe inflation Scenario In this scenario, we assume that commodity-price shocks and disruption to supply chains lead to a longer-than-expected period of high inflation. Inflation expectations react to the shock and become de-anchored while wage-growth picks up materially, contributing to keeping inflation well above target levels and triggering a forceful response by central banks. Tighter financial conditions create big downward pressure on economic activity and lead to wider credit spreads. In the eurozone, GDP growth would slow to 1.7% in 2022 (-2.6pp compared to baseline), followed by a contraction of 0.8% in 2023 (-2.9pp) and meager expansion of only 0.4% in 2024 (-1.3pp). By the end of 2024, GDP would be broadly in line with its pre-pandemic level. Monetary policy responds forcefully to persistently high inflation and the de-anchoring of inflation expectations. The ECB stops net asset purchases in early-2022 and hikes the deposit rate to zero by end-2022, and the refi rate to 0.75% by end-2023. TLTRO conditions are tightened measurably after June 2022 and banks repay the bulk of the liquidity obtained through this facility. The Fed hikes rates by a cumulative 200bp more than in the baseline. Tighter financial conditions create big downward pressure on economic activity. The estimated impact on the real estate market is positive for the residential sector, negative for commercial real estate. House prices would benefit as households seek real assets to avoid erosion of the purchasing power of the substantial savings they hold in bank accounts, at a time of severe turmoil in the equity market. Moreover, households are generally less indebted than firms, therefore they are less vulnerable to higher mortgage costs. Instead, prices of commercial real estate would suffer, reflecting a hit to corporate profitability caused by the recessionary environment and a higher cost of debt refinancing. This scenario is particularly negative for BTPs, which suffer from higher ECB policy rates, no further Quantitative Easing and a recessionary environment. We expect a significant widening (210bp) as soon as the shock occurs, with a retracement afterwards. Credit will be adversely affected by higher inflation but the fact that the GDP will grow moderately, is a supportive factor for credit. As such the impact on spreads should be more moderate than in a scenario with negative growth. Equity markets are hit by the deterioration in growth with potential drawdowns of up to 40% once the shock occurs. In FX, the EUR-USD would decline by 16% as soon as the shock materializes, reflecting deteriorating risk appetite as well as a wider rate policy rate differential between the US and the EA. Similarly, in this scenario we expect a strengthening by the JPY and the CHF to reflect the risk off mood. Stress Test on Trading book (€ million) END OF DECEMBER 2021 PANDEMIC SCENARIO PANDEMIC SCENARIO + SOVEREIGN STRESS SEVERE INFLATION UniCredit group total -84 -231 -175 RC Germany -67 -212 -144 RC Italy -11 -11 -24 RC Austria -2 -3 1 RC CEE -3 -5 -8 Conditional losses of Managerial Trading book, as defined above, have been reported. Conditional losses are mainly coming from UCB AG and are driven by negative shocks on Equities, impacting CIB Equity & Brokerage Trading and CIB X-Asset Products business lines, and positive shock on Interest Rate Volatility impacting CIB Structured FI business line. In UniCredit S.p.A. conditional losses are mainly driven by CIB Fixed Income, Currencies & Commodities business line due to widening of Italian Government Credit Spread. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 399 Severe inflation Scenario In this scenario, we assume that commodity-price shocks and disruption to supply chains lead to a longer-than-expected period of high inflation. Inflation expectations react to the shock and become de-anchored while wage-growth picks up materially, contributing to keeping inflation well above target levels and triggering a forceful response by central banks. Tighter financial conditions create big downward pressure on economic activity and lead to wider credit spreads. In the eurozone, GDP growth would slow to 1.7% in 2022 (-2.6pp compared to baseline), followed by a contraction of 0.8% in 2023 (-2.9pp) and meager expansion of only 0.4% in 2024 (-1.3pp). By the end of 2024, GDP would be broadly in line with its pre-pandemic level. Monetary policy responds forcefully to persistently high inflation and the de-anchoring of inflation expectations. The ECB stops net asset purchases in early-2022 and hikes the deposit rate to zero by end-2022, and the refi rate to 0.75% by end-2023. TLTRO conditions are tightened measurably after June 2022 and banks repay the bulk of the liquidity obtained through this facility. The Fed hikes rates by a cumulative 200bp more than in the baseline. Tighter financial conditions create big downward pressure on economic activity. The estimated impact on the real estate market is positive for the residential sector, negative for commercial real estate. House prices would benefit as households seek real assets to avoid erosion of the purchasing power of the substantial savings they hold in bank accounts, at a time of severe turmoil in the equity market. Moreover, households are generally less indebted than firms, therefore they are less vulnerable to higher mortgage costs. Instead, prices of commercial real estate would suffer, reflecting a hit to corporate profitability caused by the recessionary environment and a higher cost of debt refinancing. This scenario is particularly negative for BTPs, which suffer from higher ECB policy rates, no further Quantitative Easing and a recessionary environment. We expect a significant widening (210bp) as soon as the shock occurs, with a retracement afterwards. Credit will be adversely affected by higher inflation but the fact that the GDP will grow moderately, is a supportive factor for credit. As such the impact on spreads should be more moderate than in a scenario with negative growth. Equity markets are hit by the deterioration in growth with potential drawdowns of up to 40% once the shock occurs. In FX, the EUR-USD would decline by 16% as soon as the shock materializes, reflecting deteriorating risk appetite as well as a wider rate policy rate differential between the US and the EA. Similarly, in this scenario we expect a strengthening by the JPY and the CHF to reflect the risk off mood. Stress Test on Trading book (€ million) END OF DECEMBER 2021 PANDEMIC SCENARIO PANDEMIC SCENARIO + SOVEREIGN STRESS SEVERE INFLATION UniCredit group total -84 -231 -175 RC Germany -67 -212 -144 RC Italy -11 -11 -24 RC Austria -2 -3 1 RC CEE -3 -5 -8 Conditional losses of Managerial Trading book, as defined above, have been reported. Conditional losses are mainly coming from UCB AG and are driven by negative shocks on Equities, impacting CIB Equity & Brokerage Trading and CIB X-Asset Products business lines, and positive shock on Interest Rate Volatility impacting CIB Structured FI business line. In UniCredit S.p.A. conditional losses are mainly driven by CIB Fixed Income, Currencies & Commodities business line due to widening of Italian Government Credit Spread. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 399 Severe inflation Scenario In this scenario, we assume that commodity-price shocks and disruption to supply chains lead to a longer-than-expected period of high inflation. Inflation expectations react to the shock and become de-anchored while wage-growth picks up materially, contributing to keeping inflation well above target levels and triggering a forceful response by central banks. Tighter financial conditions create big downward pressure on economic activity and lead to wider credit spreads. In the eurozone, GDP growth would slow to 1.7% in 2022 (-2.6pp compared to baseline), followed by a contraction of 0.8% in 2023 (-2.9pp) and meager expansion of only 0.4% in 2024 (-1.3pp). By the end of 2024, GDP would be broadly in line with its pre-pandemic level. Monetary policy responds forcefully to persistently high inflation and the de-anchoring of inflation expectations. The ECB stops net asset purchases in early-2022 and hikes the deposit rate to zero by end-2022, and the refi rate to 0.75% by end-2023. TLTRO conditions are tightened measurably after June 2022 and banks repay the bulk of the liquidity obtained through this facility. The Fed hikes rates by a cumulative 200bp more than in the baseline. Tighter financial conditions create big downward pressure on economic activity. The estimated impact on the real estate market is positive for the residential sector, negative for commercial real estate. House prices would benefit as households seek real assets to avoid erosion of the purchasing power of the substantial savings they hold in bank accounts, at a time of severe turmoil in the equity market. Moreover, households are generally less indebted than firms, therefore they are less vulnerable to higher mortgage costs. Instead, prices of commercial real estate would suffer, reflecting a hit to corporate profitability caused by the recessionary environment and a higher cost of debt refinancing. This scenario is particularly negative for BTPs, which suffer from higher ECB policy rates, no further Quantitative Easing and a recessionary environment. We expect a significant widening (210bp) as soon as the shock occurs, with a retracement afterwards. Credit will be adversely affected by higher inflation but the fact that the GDP will grow moderately, is a supportive factor for credit. As such the impact on spreads should be more moderate than in a scenario with negative growth. Equity markets are hit by the deterioration in growth with potential drawdowns of up to 40% once the shock occurs. In FX, the EUR-USD would decline by 16% as soon as the shock materializes, reflecting deteriorating risk appetite as well as a wider rate policy rate differential between the US and the EA. Similarly, in this scenario we expect a strengthening by the JPY and the CHF to reflect the risk off mood. Stress Test on Trading book (€ million) END OF DECEMBER 2021 PANDEMIC SCENARIO PANDEMIC SCENARIO + SOVEREIGN STRESS SEVERE INFLATION UniCredit group total -84 -231 -175 RC Germany -67 -212 -144 RC Italy -11 -11 -24 RC Austria -2 -3 1 RC CEE -3 -5 -8 Conditional losses of Managerial Trading book, as defined above, have been reported. Conditional losses are mainly coming from UCB AG and are driven by negative shocks on Equities, impacting CIB Equity & Brokerage Trading and CIB X-Asset Products business lines, and positive shock on Interest Rate Volatility impacting CIB Structured FI business line. In UniCredit S.p.A. conditional losses are mainly driven by CIB Fixed Income, Currencies & Commodities business line due to widening of Italian Government Credit Spread. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 399 Severe inflation Scenario In this scenario, we assume that commodity-price shocks and disruption to supply chains lead to a longer-than-expected period of high inflation. Inflation expectations react to the shock and become de-anchored while wage-growth picks up materially, contributing to keeping inflation well above target levels and triggering a forceful response by central banks. Tighter financial conditions create big downward pressure on economic activity and lead to wider credit spreads. In the eurozone, GDP growth would slow to 1.7% in 2022 (-2.6pp compared to baseline), followed by a contraction of 0.8% in 2023 (-2.9pp) and meager expansion of only 0.4% in 2024 (-1.3pp). By the end of 2024, GDP would be broadly in line with its pre-pandemic level. Monetary policy responds forcefully to persistently high inflation and the de-anchoring of inflation expectations. The ECB stops net asset purchases in early-2022 and hikes the deposit rate to zero by end-2022, and the refi rate to 0.75% by end-2023. TLTRO conditions are tightened measurably after June 2022 and banks repay the bulk of the liquidity obtained through this facility. The Fed hikes rates by a cumulative 200bp more than in the baseline. Tighter financial conditions create big downward pressure on economic activity. The estimated impact on the real estate market is positive for the residential sector, negative for commercial real estate. House prices would benefit as households seek real assets to avoid erosion of the purchasing power of the substantial savings they hold in bank accounts, at a time of severe turmoil in the equity market. Moreover, households are generally less indebted than firms, therefore they are less vulnerable to higher mortgage costs. Instead, prices of commercial real estate would suffer, reflecting a hit to corporate profitability caused by the recessionary environment and a higher cost of debt refinancing. This scenario is particularly negative for BTPs, which suffer from higher ECB policy rates, no further Quantitative Easing and a recessionary environment. We expect a significant widening (210bp) as soon as the shock occurs, with a retracement afterwards. Credit will be adversely affected by higher inflation but the fact that the GDP will grow moderately, is a supportive factor for credit. As such the impact on spreads should be more moderate than in a scenario with negative growth. Equity markets are hit by the deterioration in growth with potential drawdowns of up to 40% once the shock occurs. In FX, the EUR-USD would decline by 16% as soon as the shock materializes, reflecting deteriorating risk appetite as well as a wider rate policy rate differential between the US and the EA. Similarly, in this scenario we expect a strengthening by the JPY and the CHF to reflect the risk off mood. Stress Test on Trading book (€ million) END OF DECEMBER 2021 PANDEMIC SCENARIO PANDEMIC SCENARIO + SOVEREIGN STRESS SEVERE INFLATION UniCredit group total -84 -231 -175 RC Germany -67 -212 -144 RC Italy -11 -11 -24 RC Austria -2 -3 1 RC CEE -3 -5 -8 Conditional losses of Managerial Trading book, as defined above, have been reported. Conditional losses are mainly coming from UCB AG and are driven by negative shocks on Equities, impacting CIB Equity & Brokerage Trading and CIB X-Asset Products business lines, and positive shock on Interest Rate Volatility impacting CIB Structured FI business line. In UniCredit S.p.A. conditional losses are mainly driven by CIB Fixed Income, Currencies & Commodities business line due to widening of Italian Government Credit Spread. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 400 2021 Annual Report and Accounts · UniCredit 2.3 Derivative instruments and hedging policies 2.3.1 Trading financial derivatives A Financial Derivatives A.1 Trading financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 3,880,915 757,530 117,149 74,668 2,452,434 690,987 111,502 45,170 a) Options - 208,544 17,836 29,675 - 212,299 17,088 15,828 b) Swap 2,932,709 539,224 94,300 - 2,133,962 468,432 92,416 - c) Forward 933,982 9,762 1,433 - 317,980 10,256 1,396 - d) Futures 14,224 - 2,907 44,993 492 - 333 29,342 e) Other - - 673 - - - 269 - 2. Equity instruments and stock indexes - 24,948 2,496 93,089 - 24,587 2,388 93,028 a) Options - 11,604 2,086 67,132 - 18,979 2,219 66,177 b) Swap - 13,344 87 - - 5,608 5 - c) Forward - - - - - - - - d) Futures - - - 25,941 - - - 26,842 e) Other - - 323 16 - - 164 9 3. Gold and currencies 211 354,795 92,457 298 807 348,627 87,010 363 a) Options - 40,796 8,372 - - 51,192 7,154 - b) Swap - 146,740 17,799 - - 138,708 16,584 - c) Forward 211 56,684 38,591 131 807 54,929 40,202 222 d) Futures - - - 167 - - - 141 e) Other - 110,575 27,695 - - 103,798 23,070 - 4. Commodities - 4,112 4,419 12,778 - 2,608 3,245 9,243 5. Other - 1,672 5,483 6,880 - 1,251 3,297 3,396 Total 3,881,126 1,143,057 222,004 187,713 2,453,241 1,068,060 207,442 151,200 This table refers to the notional values of financial derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 400 2021 Annual Report and Accounts · UniCredit 2.3 Derivative instruments and hedging policies 2.3.1 Trading financial derivatives A Financial Derivatives A.1 Trading financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 3,880,915 757,530 117,149 74,668 2,452,434 690,987 111,502 45,170 a) Options - 208,544 17,836 29,675 - 212,299 17,088 15,828 b) Swap 2,932,709 539,224 94,300 - 2,133,962 468,432 92,416 - c) Forward 933,982 9,762 1,433 - 317,980 10,256 1,396 - d) Futures 14,224 - 2,907 44,993 492 - 333 29,342 e) Other - - 673 - - - 269 - 2. Equity instruments and stock indexes - 24,948 2,496 93,089 - 24,587 2,388 93,028 a) Options - 11,604 2,086 67,132 - 18,979 2,219 66,177 b) Swap - 13,344 87 - - 5,608 5 - c) Forward - - - - - - - - d) Futures - - - 25,941 - - - 26,842 e) Other - - 323 16 - - 164 9 3. Gold and currencies 211 354,795 92,457 298 807 348,627 87,010 363 a) Options - 40,796 8,372 - - 51,192 7,154 - b) Swap - 146,740 17,799 - - 138,708 16,584 - c) Forward 211 56,684 38,591 131 807 54,929 40,202 222 d) Futures - - - 167 - - - 141 e) Other - 110,575 27,695 - - 103,798 23,070 - 4. Commodities - 4,112 4,419 12,778 - 2,608 3,245 9,243 5. Other - 1,672 5,483 6,880 - 1,251 3,297 3,396 Total 3,881,126 1,143,057 222,004 187,713 2,453,241 1,068,060 207,442 151,200 This table refers to the notional values of financial derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 400 2021 Annual Report and Accounts · UniCredit 2.3 Derivative instruments and hedging policies 2.3.1 Trading financial derivatives A Financial Derivatives A.1 Trading financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 3,880,915 757,530 117,149 74,668 2,452,434 690,987 111,502 45,170 a) Options - 208,544 17,836 29,675 - 212,299 17,088 15,828 b) Swap 2,932,709 539,224 94,300 - 2,133,962 468,432 92,416 - c) Forward 933,982 9,762 1,433 - 317,980 10,256 1,396 - d) Futures 14,224 - 2,907 44,993 492 - 333 29,342 e) Other - - 673 - - - 269 - 2. Equity instruments and stock indexes - 24,948 2,496 93,089 - 24,587 2,388 93,028 a) Options - 11,604 2,086 67,132 - 18,979 2,219 66,177 b) Swap - 13,344 87 - - 5,608 5 - c) Forward - - - - - - - - d) Futures - - - 25,941 - - - 26,842 e) Other - - 323 16 - - 164 9 3. Gold and currencies 211 354,795 92,457 298 807 348,627 87,010 363 a) Options - 40,796 8,372 - - 51,192 7,154 - b) Swap - 146,740 17,799 - - 138,708 16,584 - c) Forward 211 56,684 38,591 131 807 54,929 40,202 222 d) Futures - - - 167 - - - 141 e) Other - 110,575 27,695 - - 103,798 23,070 - 4. Commodities - 4,112 4,419 12,778 - 2,608 3,245 9,243 5. Other - 1,672 5,483 6,880 - 1,251 3,297 3,396 Total 3,881,126 1,143,057 222,004 187,713 2,453,241 1,068,060 207,442 151,200 This table refers to the notional values of financial derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 400 2021 Annual Report and Accounts · UniCredit 2.3 Derivative instruments and hedging policies 2.3.1 Trading financial derivatives A Financial Derivatives A.1 Trading financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 3,880,915 757,530 117,149 74,668 2,452,434 690,987 111,502 45,170 a) Options - 208,544 17,836 29,675 - 212,299 17,088 15,828 b) Swap 2,932,709 539,224 94,300 - 2,133,962 468,432 92,416 - c) Forward 933,982 9,762 1,433 - 317,980 10,256 1,396 - d) Futures 14,224 - 2,907 44,993 492 - 333 29,342 e) Other - - 673 - - - 269 - 2. Equity instruments and stock indexes - 24,948 2,496 93,089 - 24,587 2,388 93,028 a) Options - 11,604 2,086 67,132 - 18,979 2,219 66,177 b) Swap - 13,344 87 - - 5,608 5 - c) Forward - - - - - - - - d) Futures - - - 25,941 - - - 26,842 e) Other - - 323 16 - - 164 9 3. Gold and currencies 211 354,795 92,457 298 807 348,627 87,010 363 a) Options - 40,796 8,372 - - 51,192 7,154 - b) Swap - 146,740 17,799 - - 138,708 16,584 - c) Forward 211 56,684 38,591 131 807 54,929 40,202 222 d) Futures - - - 167 - - - 141 e) Other - 110,575 27,695 - - 103,798 23,070 - 4. Commodities - 4,112 4,419 12,778 - 2,608 3,245 9,243 5. Other - 1,672 5,483 6,880 - 1,251 3,297 3,396 Total 3,881,126 1,143,057 222,004 187,713 2,453,241 1,068,060 207,442 151,200 This table refers to the notional values of financial derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 400 2021 Annual Report and Accounts · UniCredit 2.3 Derivative instruments and hedging policies 2.3.1 Trading financial derivatives A Financial Derivatives A.1 Trading financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 3,880,915 757,530 117,149 74,668 2,452,434 690,987 111,502 45,170 a) Options - 208,544 17,836 29,675 - 212,299 17,088 15,828 b) Swap 2,932,709 539,224 94,300 - 2,133,962 468,432 92,416 - c) Forward 933,982 9,762 1,433 - 317,980 10,256 1,396 - d) Futures 14,224 - 2,907 44,993 492 - 333 29,342 e) Other - - 673 - - - 269 - 2. Equity instruments and stock indexes - 24,948 2,496 93,089 - 24,587 2,388 93,028 a) Options - 11,604 2,086 67,132 - 18,979 2,219 66,177 b) Swap - 13,344 87 - - 5,608 5 - c) Forward - - - - - - - - d) Futures - - - 25,941 - - - 26,842 e) Other - - 323 16 - - 164 9 3. Gold and currencies 211 354,795 92,457 298 807 348,627 87,010 363 a) Options - 40,796 8,372 - - 51,192 7,154 - b) Swap - 146,740 17,799 - - 138,708 16,584 - c) Forward 211 56,684 38,591 131 807 54,929 40,202 222 d) Futures - - - 167 - - - 141 e) Other - 110,575 27,695 - - 103,798 23,070 - 4. Commodities - 4,112 4,419 12,778 - 2,608 3,245 9,243 5. Other - 1,672 5,483 6,880 - 1,251 3,297 3,396 Total 3,881,126 1,143,057 222,004 187,713 2,453,241 1,068,060 207,442 151,200 This table refers to the notional values of financial derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 401 A.2 Trading financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 2,404 1,185 4,513 - 3,713 1,316 3,892 b) Interest rate swap 36,986 21,577 2,166 - 33,600 29,613 3,129 - c) Cross currency swap - 4,084 839 - - 4,272 899 - d) Equity swap - - - - - - - - e) Forward 59 1,410 2,612 - 39 1,249 1,596 - f) Futures - 47 - 2,561 - 47 - 1,424 g) Other - 2,726 623 3 - 1,580 242 2 Total 37,045 32,248 7,425 7,077 33,639 40,474 7,182 5,318 2. Negative fair value a) Options - 4,129 341 5,686 - 6,764 235 4,530 b) Interest rate swap 41,964 14,695 1,492 - 39,680 19,416 2,929 - c) Cross currency swap - 3,871 368 - - 4,023 428 - d) Equity swap - - - - - - - - e) Forward 52 1,762 3,257 - 29 1,549 1,354 - f) Futures - - - 4,816 - - 1 2,031 g) Other - 3,480 1,718 7 - 1,497 644 4 Total 42,016 27,937 7,176 10,509 39,709 33,249 5,591 6,565 This table presents distribution by product of the gross positive and negative financial derivatives’ fair values according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 401 A.2 Trading financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 2,404 1,185 4,513 - 3,713 1,316 3,892 b) Interest rate swap 36,986 21,577 2,166 - 33,600 29,613 3,129 - c) Cross currency swap - 4,084 839 - - 4,272 899 - d) Equity swap - - - - - - - - e) Forward 59 1,410 2,612 - 39 1,249 1,596 - f) Futures - 47 - 2,561 - 47 - 1,424 g) Other - 2,726 623 3 - 1,580 242 2 Total 37,045 32,248 7,425 7,077 33,639 40,474 7,182 5,318 2. Negative fair value a) Options - 4,129 341 5,686 - 6,764 235 4,530 b) Interest rate swap 41,964 14,695 1,492 - 39,680 19,416 2,929 - c) Cross currency swap - 3,871 368 - - 4,023 428 - d) Equity swap - - - - - - - - e) Forward 52 1,762 3,257 - 29 1,549 1,354 - f) Futures - - - 4,816 - - 1 2,031 g) Other - 3,480 1,718 7 - 1,497 644 4 Total 42,016 27,937 7,176 10,509 39,709 33,249 5,591 6,565 This table presents distribution by product of the gross positive and negative financial derivatives’ fair values according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 401 A.2 Trading financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 2,404 1,185 4,513 - 3,713 1,316 3,892 b) Interest rate swap 36,986 21,577 2,166 - 33,600 29,613 3,129 - c) Cross currency swap - 4,084 839 - - 4,272 899 - d) Equity swap - - - - - - - - e) Forward 59 1,410 2,612 - 39 1,249 1,596 - f) Futures - 47 - 2,561 - 47 - 1,424 g) Other - 2,726 623 3 - 1,580 242 2 Total 37,045 32,248 7,425 7,077 33,639 40,474 7,182 5,318 2. Negative fair value a) Options - 4,129 341 5,686 - 6,764 235 4,530 b) Interest rate swap 41,964 14,695 1,492 - 39,680 19,416 2,929 - c) Cross currency swap - 3,871 368 - - 4,023 428 - d) Equity swap - - - - - - - - e) Forward 52 1,762 3,257 - 29 1,549 1,354 - f) Futures - - - 4,816 - - 1 2,031 g) Other - 3,480 1,718 7 - 1,497 644 4 Total 42,016 27,937 7,176 10,509 39,709 33,249 5,591 6,565 This table presents distribution by product of the gross positive and negative financial derivatives’ fair values according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 401 A.2 Trading financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 2,404 1,185 4,513 - 3,713 1,316 3,892 b) Interest rate swap 36,986 21,577 2,166 - 33,600 29,613 3,129 - c) Cross currency swap - 4,084 839 - - 4,272 899 - d) Equity swap - - - - - - - - e) Forward 59 1,410 2,612 - 39 1,249 1,596 - f) Futures - 47 - 2,561 - 47 - 1,424 g) Other - 2,726 623 3 - 1,580 242 2 Total 37,045 32,248 7,425 7,077 33,639 40,474 7,182 5,318 2. Negative fair value a) Options - 4,129 341 5,686 - 6,764 235 4,530 b) Interest rate swap 41,964 14,695 1,492 - 39,680 19,416 2,929 - c) Cross currency swap - 3,871 368 - - 4,023 428 - d) Equity swap - - - - - - - - e) Forward 52 1,762 3,257 - 29 1,549 1,354 - f) Futures - - - 4,816 - - 1 2,031 g) Other - 3,480 1,718 7 - 1,497 644 4 Total 42,016 27,937 7,176 10,509 39,709 33,249 5,591 6,565 This table presents distribution by product of the gross positive and negative financial derivatives’ fair values according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 401 A.2 Trading financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 2,404 1,185 4,513 - 3,713 1,316 3,892 b) Interest rate swap 36,986 21,577 2,166 - 33,600 29,613 3,129 - c) Cross currency swap - 4,084 839 - - 4,272 899 - d) Equity swap - - - - - - - - e) Forward 59 1,410 2,612 - 39 1,249 1,596 - f) Futures - 47 - 2,561 - 47 - 1,424 g) Other - 2,726 623 3 - 1,580 242 2 Total 37,045 32,248 7,425 7,077 33,639 40,474 7,182 5,318 2. Negative fair value a) Options - 4,129 341 5,686 - 6,764 235 4,530 b) Interest rate swap 41,964 14,695 1,492 - 39,680 19,416 2,929 - c) Cross currency swap - 3,871 368 - - 4,023 428 - d) Equity swap - - - - - - - - e) Forward 52 1,762 3,257 - 29 1,549 1,354 - f) Futures - - - 4,816 - - 1 2,031 g) Other - 3,480 1,718 7 - 1,497 644 4 Total 42,016 27,937 7,176 10,509 39,709 33,249 5,591 6,565 This table presents distribution by product of the gross positive and negative financial derivatives’ fair values according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 402 2021 Annual Report and Accounts · UniCredit A.3 OTC trading financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 14,752 30,724 71,672 - Positive fair value X 373 444 2,105 - Negative fair value X 337 609 625 2) Equity instruments and stock indexes - Notional amount X 326 1,117 1,054 - Positive fair value X 2 332 14 - Negative fair value X 247 12 136 3) Gold and currencies - Notional amount X 18,548 23,050 50,859 - Positive fair value X 107 625 1,093 - Negative fair value X 126 303 717 4) Commodities - Notional amount X 8 562 3,849 - Positive fair value X 2 55 1,210 - Negative fair value X 3 96 1,403 5) Other - Notional amount X 207 95 5,181 - Positive fair value X 39 4 1,022 - Negative fair value X 9 119 2,434 Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 3,880,915 268,430 418,322 70,778 - Positive fair value 37,041 9,437 5,138 9,069 - Negative fair value 42,016 11,605 5,551 1,144 2) Equity instruments and stock indexes - Notional amount - 17,417 7,531 - - Positive fair value - 497 57 - - Negative fair value - 700 55 - 3) Gold and currencies - Notional amount 211 284,076 42,608 28,110 - Positive fair value 4 4,105 715 1,118 - Negative fair value - 4,414 654 587 4) Commodities - Notional amount - 397 571 3,145 - Positive fair value - 14 283 1,450 - Negative fair value - 56 435 1,876 5) Other - Notional amount - 231 242 1,199 - Positive fair value - - 4 361 - Negative fair value - 112 - 750 This table presents distribution by counterparty of the notional amount and gross positive and negative financial derivatives’ fair values according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 402 2021 Annual Report and Accounts · UniCredit A.3 OTC trading financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 14,752 30,724 71,672 - Positive fair value X 373 444 2,105 - Negative fair value X 337 609 625 2) Equity instruments and stock indexes - Notional amount X 326 1,117 1,054 - Positive fair value X 2 332 14 - Negative fair value X 247 12 136 3) Gold and currencies - Notional amount X 18,548 23,050 50,859 - Positive fair value X 107 625 1,093 - Negative fair value X 126 303 717 4) Commodities - Notional amount X 8 562 3,849 - Positive fair value X 2 55 1,210 - Negative fair value X 3 96 1,403 5) Other - Notional amount X 207 95 5,181 - Positive fair value X 39 4 1,022 - Negative fair value X 9 119 2,434 Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 3,880,915 268,430 418,322 70,778 - Positive fair value 37,041 9,437 5,138 9,069 - Negative fair value 42,016 11,605 5,551 1,144 2) Equity instruments and stock indexes - Notional amount - 17,417 7,531 - - Positive fair value - 497 57 - - Negative fair value - 700 55 - 3) Gold and currencies - Notional amount 211 284,076 42,608 28,110 - Positive fair value 4 4,105 715 1,118 - Negative fair value - 4,414 654 587 4) Commodities - Notional amount - 397 571 3,145 - Positive fair value - 14 283 1,450 - Negative fair value - 56 435 1,876 5) Other - Notional amount - 231 242 1,199 - Positive fair value - - 4 361 - Negative fair value - 112 - 750 This table presents distribution by counterparty of the notional amount and gross positive and negative financial derivatives’ fair values according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 402 2021 Annual Report and Accounts · UniCredit A.3 OTC trading financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 14,752 30,724 71,672 - Positive fair value X 373 444 2,105 - Negative fair value X 337 609 625 2) Equity instruments and stock indexes - Notional amount X 326 1,117 1,054 - Positive fair value X 2 332 14 - Negative fair value X 247 12 136 3) Gold and currencies - Notional amount X 18,548 23,050 50,859 - Positive fair value X 107 625 1,093 - Negative fair value X 126 303 717 4) Commodities - Notional amount X 8 562 3,849 - Positive fair value X 2 55 1,210 - Negative fair value X 3 96 1,403 5) Other - Notional amount X 207 95 5,181 - Positive fair value X 39 4 1,022 - Negative fair value X 9 119 2,434 Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 3,880,915 268,430 418,322 70,778 - Positive fair value 37,041 9,437 5,138 9,069 - Negative fair value 42,016 11,605 5,551 1,144 2) Equity instruments and stock indexes - Notional amount - 17,417 7,531 - - Positive fair value - 497 57 - - Negative fair value - 700 55 - 3) Gold and currencies - Notional amount 211 284,076 42,608 28,110 - Positive fair value 4 4,105 715 1,118 - Negative fair value - 4,414 654 587 4) Commodities - Notional amount - 397 571 3,145 - Positive fair value - 14 283 1,450 - Negative fair value - 56 435 1,876 5) Other - Notional amount - 231 242 1,199 - Positive fair value - - 4 361 - Negative fair value - 112 - 750 This table presents distribution by counterparty of the notional amount and gross positive and negative financial derivatives’ fair values according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 402 2021 Annual Report and Accounts · UniCredit A.3 OTC trading financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 14,752 30,724 71,672 - Positive fair value X 373 444 2,105 - Negative fair value X 337 609 625 2) Equity instruments and stock indexes - Notional amount X 326 1,117 1,054 - Positive fair value X 2 332 14 - Negative fair value X 247 12 136 3) Gold and currencies - Notional amount X 18,548 23,050 50,859 - Positive fair value X 107 625 1,093 - Negative fair value X 126 303 717 4) Commodities - Notional amount X 8 562 3,849 - Positive fair value X 2 55 1,210 - Negative fair value X 3 96 1,403 5) Other - Notional amount X 207 95 5,181 - Positive fair value X 39 4 1,022 - Negative fair value X 9 119 2,434 Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 3,880,915 268,430 418,322 70,778 - Positive fair value 37,041 9,437 5,138 9,069 - Negative fair value 42,016 11,605 5,551 1,144 2) Equity instruments and stock indexes - Notional amount - 17,417 7,531 - - Positive fair value - 497 57 - - Negative fair value - 700 55 - 3) Gold and currencies - Notional amount 211 284,076 42,608 28,110 - Positive fair value 4 4,105 715 1,118 - Negative fair value - 4,414 654 587 4) Commodities - Notional amount - 397 571 3,145 - Positive fair value - 14 283 1,450 - Negative fair value - 56 435 1,876 5) Other - Notional amount - 231 242 1,199 - Positive fair value - - 4 361 - Negative fair value - 112 - 750 This table presents distribution by counterparty of the notional amount and gross positive and negative financial derivatives’ fair values according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 402 2021 Annual Report and Accounts · UniCredit A.3 OTC trading financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 14,752 30,724 71,672 - Positive fair value X 373 444 2,105 - Negative fair value X 337 609 625 2) Equity instruments and stock indexes - Notional amount X 326 1,117 1,054 - Positive fair value X 2 332 14 - Negative fair value X 247 12 136 3) Gold and currencies - Notional amount X 18,548 23,050 50,859 - Positive fair value X 107 625 1,093 - Negative fair value X 126 303 717 4) Commodities - Notional amount X 8 562 3,849 - Positive fair value X 2 55 1,210 - Negative fair value X 3 96 1,403 5) Other - Notional amount X 207 95 5,181 - Positive fair value X 39 4 1,022 - Negative fair value X 9 119 2,434 Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 3,880,915 268,430 418,322 70,778 - Positive fair value 37,041 9,437 5,138 9,069 - Negative fair value 42,016 11,605 5,551 1,144 2) Equity instruments and stock indexes - Notional amount - 17,417 7,531 - - Positive fair value - 497 57 - - Negative fair value - 700 55 - 3) Gold and currencies - Notional amount 211 284,076 42,608 28,110 - Positive fair value 4 4,105 715 1,118 - Negative fair value - 4,414 654 587 4) Commodities - Notional amount - 397 571 3,145 - Positive fair value - 14 283 1,450 - Negative fair value - 56 435 1,876 5) Other - Notional amount - 231 242 1,199 - Positive fair value - - 4 361 - Negative fair value - 112 - 750 This table presents distribution by counterparty of the notional amount and gross positive and negative financial derivatives’ fair values according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 403 A.4 OTC financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 1,636,845 1,512,299 1,606,451 4,755,595 A.2 Financial derivative contracts on equity securities and stock indexes 10,253 8,865 8,327 27,445 A.3 Financial derivative contracts on exchange rates and hold 273,160 117,438 56,865 447,463 A.4 Financial derivative contracts on other values 5,858 2,586 88 8,532 A.5 Other financial derivatives 6,700 408 48 7,156 Total 12.31.2021 1,932,816 1,641,596 1,671,779 5,246,191 Total 12.31.2020 1,272,393 1,234,037 1,222,309 3,728,739 B. Credit derivatives B.1 Trading credit derivatives: end of period notional amounts (€ million) TRADING DERIVATIVES CATEGORY OF TRANSACTIONS WITH A SINGLE COUNTERPARTY WITH MORE THAN ONE COUNTERPARTY (BASKET) 1. Protection buyer's contracts a) Credit default products 894 7,641 b) Credit spread products - - c) Total rate of return swap 64 - d) Other - - Total 12.31.2021 958 7,641 Total 12.31.2020 1,325 3,374 2. Protection seller's contracts a) Credit default products 862 6,199 b) Credit spread products - - c) Total rate of return swap 377 - d) Other - - Total 12.31.2021 1,239 6,199 Total 12.31.2020 2,083 2,346 This table refers to the notional values of credit derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. B.2 Trading credit derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT TYPES OF DERIVATIVE INSTRUMENTS 12.31.2021 12.31.2020 1. Positive fair value a) Credit default products 204 80 b) Credit spread products - - c) Total rate of return swap 2 2 d) Other - - Total 206 82 2. Negative fair value a) Credit default products 251 134 b) Credit spread products - - c) Total rate of return swap 84 157 d) Other - - Total 335 291 This table presents distribution by product of the gross positive and negative credit derivatives’ fair values according to classification within the accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 403 A.4 OTC financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 1,636,845 1,512,299 1,606,451 4,755,595 A.2 Financial derivative contracts on equity securities and stock indexes 10,253 8,865 8,327 27,445 A.3 Financial derivative contracts on exchange rates and hold 273,160 117,438 56,865 447,463 A.4 Financial derivative contracts on other values 5,858 2,586 88 8,532 A.5 Other financial derivatives 6,700 408 48 7,156 Total 12.31.2021 1,932,816 1,641,596 1,671,779 5,246,191 Total 12.31.2020 1,272,393 1,234,037 1,222,309 3,728,739 B. Credit derivatives B.1 Trading credit derivatives: end of period notional amounts (€ million) TRADING DERIVATIVES CATEGORY OF TRANSACTIONS WITH A SINGLE COUNTERPARTY WITH MORE THAN ONE COUNTERPARTY (BASKET) 1. Protection buyer's contracts a) Credit default products 894 7,641 b) Credit spread products - - c) Total rate of return swap 64 - d) Other - - Total 12.31.2021 958 7,641 Total 12.31.2020 1,325 3,374 2. Protection seller's contracts a) Credit default products 862 6,199 b) Credit spread products - - c) Total rate of return swap 377 - d) Other - - Total 12.31.2021 1,239 6,199 Total 12.31.2020 2,083 2,346 This table refers to the notional values of credit derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. B.2 Trading credit derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT TYPES OF DERIVATIVE INSTRUMENTS 12.31.2021 12.31.2020 1. Positive fair value a) Credit default products 204 80 b) Credit spread products - - c) Total rate of return swap 2 2 d) Other - - Total 206 82 2. Negative fair value a) Credit default products 251 134 b) Credit spread products - - c) Total rate of return swap 84 157 d) Other - - Total 335 291 This table presents distribution by product of the gross positive and negative credit derivatives’ fair values according to classification within the accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 403 A.4 OTC financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 1,636,845 1,512,299 1,606,451 4,755,595 A.2 Financial derivative contracts on equity securities and stock indexes 10,253 8,865 8,327 27,445 A.3 Financial derivative contracts on exchange rates and hold 273,160 117,438 56,865 447,463 A.4 Financial derivative contracts on other values 5,858 2,586 88 8,532 A.5 Other financial derivatives 6,700 408 48 7,156 Total 12.31.2021 1,932,816 1,641,596 1,671,779 5,246,191 Total 12.31.2020 1,272,393 1,234,037 1,222,309 3,728,739 B. Credit derivatives B.1 Trading credit derivatives: end of period notional amounts (€ million) TRADING DERIVATIVES CATEGORY OF TRANSACTIONS WITH A SINGLE COUNTERPARTY WITH MORE THAN ONE COUNTERPARTY (BASKET) 1. Protection buyer's contracts a) Credit default products 894 7,641 b) Credit spread products - - c) Total rate of return swap 64 - d) Other - - Total 12.31.2021 958 7,641 Total 12.31.2020 1,325 3,374 2. Protection seller's contracts a) Credit default products 862 6,199 b) Credit spread products - - c) Total rate of return swap 377 - d) Other - - Total 12.31.2021 1,239 6,199 Total 12.31.2020 2,083 2,346 This table refers to the notional values of credit derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. B.2 Trading credit derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT TYPES OF DERIVATIVE INSTRUMENTS 12.31.2021 12.31.2020 1. Positive fair value a) Credit default products 204 80 b) Credit spread products - - c) Total rate of return swap 2 2 d) Other - - Total 206 82 2. Negative fair value a) Credit default products 251 134 b) Credit spread products - - c) Total rate of return swap 84 157 d) Other - - Total 335 291 This table presents distribution by product of the gross positive and negative credit derivatives’ fair values according to classification within the accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 403 A.4 OTC financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 1,636,845 1,512,299 1,606,451 4,755,595 A.2 Financial derivative contracts on equity securities and stock indexes 10,253 8,865 8,327 27,445 A.3 Financial derivative contracts on exchange rates and hold 273,160 117,438 56,865 447,463 A.4 Financial derivative contracts on other values 5,858 2,586 88 8,532 A.5 Other financial derivatives 6,700 408 48 7,156 Total 12.31.2021 1,932,816 1,641,596 1,671,779 5,246,191 Total 12.31.2020 1,272,393 1,234,037 1,222,309 3,728,739 B. Credit derivatives B.1 Trading credit derivatives: end of period notional amounts (€ million) TRADING DERIVATIVES CATEGORY OF TRANSACTIONS WITH A SINGLE COUNTERPARTY WITH MORE THAN ONE COUNTERPARTY (BASKET) 1. Protection buyer's contracts a) Credit default products 894 7,641 b) Credit spread products - - c) Total rate of return swap 64 - d) Other - - Total 12.31.2021 958 7,641 Total 12.31.2020 1,325 3,374 2. Protection seller's contracts a) Credit default products 862 6,199 b) Credit spread products - - c) Total rate of return swap 377 - d) Other - - Total 12.31.2021 1,239 6,199 Total 12.31.2020 2,083 2,346 This table refers to the notional values of credit derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. B.2 Trading credit derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT TYPES OF DERIVATIVE INSTRUMENTS 12.31.2021 12.31.2020 1. Positive fair value a) Credit default products 204 80 b) Credit spread products - - c) Total rate of return swap 2 2 d) Other - - Total 206 82 2. Negative fair value a) Credit default products 251 134 b) Credit spread products - - c) Total rate of return swap 84 157 d) Other - - Total 335 291 This table presents distribution by product of the gross positive and negative credit derivatives’ fair values according to classification within the accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 403 A.4 OTC financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 1,636,845 1,512,299 1,606,451 4,755,595 A.2 Financial derivative contracts on equity securities and stock indexes 10,253 8,865 8,327 27,445 A.3 Financial derivative contracts on exchange rates and hold 273,160 117,438 56,865 447,463 A.4 Financial derivative contracts on other values 5,858 2,586 88 8,532 A.5 Other financial derivatives 6,700 408 48 7,156 Total 12.31.2021 1,932,816 1,641,596 1,671,779 5,246,191 Total 12.31.2020 1,272,393 1,234,037 1,222,309 3,728,739 B. Credit derivatives B.1 Trading credit derivatives: end of period notional amounts (€ million) TRADING DERIVATIVES CATEGORY OF TRANSACTIONS WITH A SINGLE COUNTERPARTY WITH MORE THAN ONE COUNTERPARTY (BASKET) 1. Protection buyer's contracts a) Credit default products 894 7,641 b) Credit spread products - - c) Total rate of return swap 64 - d) Other - - Total 12.31.2021 958 7,641 Total 12.31.2020 1,325 3,374 2. Protection seller's contracts a) Credit default products 862 6,199 b) Credit spread products - - c) Total rate of return swap 377 - d) Other - - Total 12.31.2021 1,239 6,199 Total 12.31.2020 2,083 2,346 This table refers to the notional values of credit derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. B.2 Trading credit derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT TYPES OF DERIVATIVE INSTRUMENTS 12.31.2021 12.31.2020 1. Positive fair value a) Credit default products 204 80 b) Credit spread products - - c) Total rate of return swap 2 2 d) Other - - Total 206 82 2. Negative fair value a) Credit default products 251 134 b) Credit spread products - - c) Total rate of return swap 84 157 d) Other - - Total 335 291 This table presents distribution by product of the gross positive and negative credit derivatives’ fair values according to classification within the accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 404 2021 Annual Report and Accounts · UniCredit B.3 OTC trading credit derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 CENTRAL COUNTERPARTIES BANKS FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Protection buyer's contracts - Notional amount X 230 - - - Positive fair value X - - - - Negative fair value X 9 - - 2) Protection seller's contracts - Notional amount X 377 - - - Positive fair value X 2 - - - Negative fair value X 82 - - Contracts included in netting agreement 1) Protection buyer's contracts - Notional amount - 424 7,946 - - Positive fair value - 5 1 - - Negative fair value - 3 234 - 2) Protection seller's contracts - Notional amount - 515 6,546 - - Positive fair value - 8 189 - - Negative fair value - 6 2 - This table presents distribution by counterparty of the notional amount and gross positive and negative credit derivatives’ fair values according to classification within the accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. B.4 OTC trading credit derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL 1. Protection buyer's contracts 681 6,631 126 7,438 2. Protection seller's contracts 421 8,012 166 8,599 Total 12.31.2021 1,102 14,643 292 16,037 Total 12.31.2020 2,655 6,221 252 9,128 This table refers to the notional values of credit derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to Regulatory consolidation. B.5 Credit derivatives linked to fair value option: annual changes No data to be disclosed. 2.3.2 Hedging policies Qualitative information Hedging derivative transactions are used to manage the exposure to market risks and volatility of financial outcomes that arise as part of our normal business operations and are executed in accordance with internal policies. Derivatives are mainly used to manage the banking book interest rate risk with the following goals: • to reduce banking book interest rate risk profile according to Risk Appetite Framework approved by the Board of Directors and limits defined by relevant Committees or risk functions. Within Risk Appetite Framework, the banking book exposure to interest rate risk is defined either in terms of Net Interest Income Sensitivity or Economic Value Sensitivity; • to optimise the natural hedge between the risk profile of assets and liabilities using derivatives to manage the mismatch, even temporary, between the volume and the rates of assets and liabilities with different repricing schedules; • to minimise the net exposure of derivatives used as economic hedges of the most stable portion of either assets or liabilities subject to hedge accounting, thereby reducing the associated transaction cost. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 404 2021 Annual Report and Accounts · UniCredit B.3 OTC trading credit derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 CENTRAL COUNTERPARTIES BANKS FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Protection buyer's contracts - Notional amount X 230 - - - Positive fair value X - - - - Negative fair value X 9 - - 2) Protection seller's contracts - Notional amount X 377 - - - Positive fair value X 2 - - - Negative fair value X 82 - - Contracts included in netting agreement 1) Protection buyer's contracts - Notional amount - 424 7,946 - - Positive fair value - 5 1 - - Negative fair value - 3 234 - 2) Protection seller's contracts - Notional amount - 515 6,546 - - Positive fair value - 8 189 - - Negative fair value - 6 2 - This table presents distribution by counterparty of the notional amount and gross positive and negative credit derivatives’ fair values according to classification within the accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. B.4 OTC trading credit derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL 1. Protection buyer's contracts 681 6,631 126 7,438 2. Protection seller's contracts 421 8,012 166 8,599 Total 12.31.2021 1,102 14,643 292 16,037 Total 12.31.2020 2,655 6,221 252 9,128 This table refers to the notional values of credit derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to Regulatory consolidation. B.5 Credit derivatives linked to fair value option: annual changes No data to be disclosed. 2.3.2 Hedging policies Qualitative information Hedging derivative transactions are used to manage the exposure to market risks and volatility of financial outcomes that arise as part of our normal business operations and are executed in accordance with internal policies. Derivatives are mainly used to manage the banking book interest rate risk with the following goals: • to reduce banking book interest rate risk profile according to Risk Appetite Framework approved by the Board of Directors and limits defined by relevant Committees or risk functions. Within Risk Appetite Framework, the banking book exposure to interest rate risk is defined either in terms of Net Interest Income Sensitivity or Economic Value Sensitivity; • to optimise the natural hedge between the risk profile of assets and liabilities using derivatives to manage the mismatch, even temporary, between the volume and the rates of assets and liabilities with different repricing schedules; • to minimise the net exposure of derivatives used as economic hedges of the most stable portion of either assets or liabilities subject to hedge accounting, thereby reducing the associated transaction cost. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 404 2021 Annual Report and Accounts · UniCredit B.3 OTC trading credit derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 CENTRAL COUNTERPARTIES BANKS FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Protection buyer's contracts - Notional amount X 230 - - - Positive fair value X - - - - Negative fair value X 9 - - 2) Protection seller's contracts - Notional amount X 377 - - - Positive fair value X 2 - - - Negative fair value X 82 - - Contracts included in netting agreement 1) Protection buyer's contracts - Notional amount - 424 7,946 - - Positive fair value - 5 1 - - Negative fair value - 3 234 - 2) Protection seller's contracts - Notional amount - 515 6,546 - - Positive fair value - 8 189 - - Negative fair value - 6 2 - This table presents distribution by counterparty of the notional amount and gross positive and negative credit derivatives’ fair values according to classification within the accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. B.4 OTC trading credit derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL 1. Protection buyer's contracts 681 6,631 126 7,438 2. Protection seller's contracts 421 8,012 166 8,599 Total 12.31.2021 1,102 14,643 292 16,037 Total 12.31.2020 2,655 6,221 252 9,128 This table refers to the notional values of credit derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to Regulatory consolidation. B.5 Credit derivatives linked to fair value option: annual changes No data to be disclosed. 2.3.2 Hedging policies Qualitative information Hedging derivative transactions are used to manage the exposure to market risks and volatility of financial outcomes that arise as part of our normal business operations and are executed in accordance with internal policies. Derivatives are mainly used to manage the banking book interest rate risk with the following goals: • to reduce banking book interest rate risk profile according to Risk Appetite Framework approved by the Board of Directors and limits defined by relevant Committees or risk functions. Within Risk Appetite Framework, the banking book exposure to interest rate risk is defined either in terms of Net Interest Income Sensitivity or Economic Value Sensitivity; • to optimise the natural hedge between the risk profile of assets and liabilities using derivatives to manage the mismatch, even temporary, between the volume and the rates of assets and liabilities with different repricing schedules; • to minimise the net exposure of derivatives used as economic hedges of the most stable portion of either assets or liabilities subject to hedge accounting, thereby reducing the associated transaction cost. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 404 2021 Annual Report and Accounts · UniCredit B.3 OTC trading credit derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 CENTRAL COUNTERPARTIES BANKS FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Protection buyer's contracts - Notional amount X 230 - - - Positive fair value X - - - - Negative fair value X 9 - - 2) Protection seller's contracts - Notional amount X 377 - - - Positive fair value X 2 - - - Negative fair value X 82 - - Contracts included in netting agreement 1) Protection buyer's contracts - Notional amount - 424 7,946 - - Positive fair value - 5 1 - - Negative fair value - 3 234 - 2) Protection seller's contracts - Notional amount - 515 6,546 - - Positive fair value - 8 189 - - Negative fair value - 6 2 - This table presents distribution by counterparty of the notional amount and gross positive and negative credit derivatives’ fair values according to classification within the accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. B.4 OTC trading credit derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL 1. Protection buyer's contracts 681 6,631 126 7,438 2. Protection seller's contracts 421 8,012 166 8,599 Total 12.31.2021 1,102 14,643 292 16,037 Total 12.31.2020 2,655 6,221 252 9,128 This table refers to the notional values of credit derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to Regulatory consolidation. B.5 Credit derivatives linked to fair value option: annual changes No data to be disclosed. 2.3.2 Hedging policies Qualitative information Hedging derivative transactions are used to manage the exposure to market risks and volatility of financial outcomes that arise as part of our normal business operations and are executed in accordance with internal policies. Derivatives are mainly used to manage the banking book interest rate risk with the following goals: • to reduce banking book interest rate risk profile according to Risk Appetite Framework approved by the Board of Directors and limits defined by relevant Committees or risk functions. Within Risk Appetite Framework, the banking book exposure to interest rate risk is defined either in terms of Net Interest Income Sensitivity or Economic Value Sensitivity; • to optimise the natural hedge between the risk profile of assets and liabilities using derivatives to manage the mismatch, even temporary, between the volume and the rates of assets and liabilities with different repricing schedules; • to minimise the net exposure of derivatives used as economic hedges of the most stable portion of either assets or liabilities subject to hedge accounting, thereby reducing the associated transaction cost. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 404 2021 Annual Report and Accounts · UniCredit B.3 OTC trading credit derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 CENTRAL COUNTERPARTIES BANKS FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Protection buyer's contracts - Notional amount X 230 - - - Positive fair value X - - - - Negative fair value X 9 - - 2) Protection seller's contracts - Notional amount X 377 - - - Positive fair value X 2 - - - Negative fair value X 82 - - Contracts included in netting agreement 1) Protection buyer's contracts - Notional amount - 424 7,946 - - Positive fair value - 5 1 - - Negative fair value - 3 234 - 2) Protection seller's contracts - Notional amount - 515 6,546 - - Positive fair value - 8 189 - - Negative fair value - 6 2 - This table presents distribution by counterparty of the notional amount and gross positive and negative credit derivatives’ fair values according to classification within the accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. B.4 OTC trading credit derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL 1. Protection buyer's contracts 681 6,631 126 7,438 2. Protection seller's contracts 421 8,012 166 8,599 Total 12.31.2021 1,102 14,643 292 16,037 Total 12.31.2020 2,655 6,221 252 9,128 This table refers to the notional values of credit derivatives according to classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to Regulatory consolidation. B.5 Credit derivatives linked to fair value option: annual changes No data to be disclosed. 2.3.2 Hedging policies Qualitative information Hedging derivative transactions are used to manage the exposure to market risks and volatility of financial outcomes that arise as part of our normal business operations and are executed in accordance with internal policies. Derivatives are mainly used to manage the banking book interest rate risk with the following goals: • to reduce banking book interest rate risk profile according to Risk Appetite Framework approved by the Board of Directors and limits defined by relevant Committees or risk functions. Within Risk Appetite Framework, the banking book exposure to interest rate risk is defined either in terms of Net Interest Income Sensitivity or Economic Value Sensitivity; • to optimise the natural hedge between the risk profile of assets and liabilities using derivatives to manage the mismatch, even temporary, between the volume and the rates of assets and liabilities with different repricing schedules; • to minimise the net exposure of derivatives used as economic hedges of the most stable portion of either assets or liabilities subject to hedge accounting, thereby reducing the associated transaction cost. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 405 A Fair value hedging activities The objective of fair value hedge on assets/liabilities is to hedge the exposure to changes in fair value coming from the embedded risk factor subject to a hedging transaction. The fair value hedge is applied both for identified financial instruments (securities, debt issues, loans, borrowings) and for portfolios of financial instruments (in particular, fixed rate loans and non-maturity deposits or other fixed rate liabilities). The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. The hedging strategy on identified financial instruments classified as Held-to-Collect (HTC) and Held-to-Collect & Sell (HTCS) considers the contractual features of each instruments and business intent. The hedging strategy on portfolios of financial instruments refers to the amounts of money contained in the portfolio of interest rate exposures that are not already subject to "micro/specific" hedging and mirrors to the nominal amount and financial conditions of hedging derivatives. The objective of fair value hedge on assets/liabilities denominated in foreign currency could refer to hedge the exposure to changes in fair value by converting to Euro denominated assets/liabilities. The hedging instruments used mainly consist of Interest Rate Swaps, Basis Swaps, Caps, Floors, and Cross Currencies Swaps. B. Cash flow hedging activities The objective of cash flow hedge on floating rate assets/liabilities is to hedge the exposure to changes in cash flows from borrowings/lending that bear a floating interest rate. The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. Cash flow hedges are particularly used to hedge interest rate risk on floating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. The hedging instruments used mainly consist of Interest Rate Swaps, Caps, Floors, Cross Currency Swaps with a maturity up to 20-30 years for some commercial hedged assets. C. Foreign net investments hedge activities No hedging strategy is in place on an investment in entities whose functional currency differs from the Group’s functional currency. The Group put in place some economic hedges on forecasted foreign currency revenues stemming from those entities. The objective of the economic hedge is to reduce the volatility on the income statement coming from the foreign exchange risks. FX risk on forecasted foreign currency revenues is continuously monitored and hedging strategies are periodically assessed. The hedging strategy and the percentage to be hedged is defined on a case-by-case basis considering, inter alia, the diversification effect and taking into account the volatility and correlation in the FX rates. The derivatives used mainly consist of currency options. These derivatives may not or should not qualify for hedge accounting even though achieve substantially the same economic results. The impact of economic hedge is accounted in Item 80 - Trading Income line. D. Hedging instruments and E. Hedged elements Prospective hedge effectiveness is established by the fact that all derivatives must, at inception, have the effect of reducing interest rate risk in term of Economic Value Sensitivity (Fair Value Hedge) or Net Interest Income Sensitivity (Cash Flow Hedge) in the specific/portfolio of hedged underlyings. Retrospectively the hedge effectiveness is quarterly measured by referring to the most stable portion of assets/liabilities using a portfolio hedge approach or by referring to the portion of risk being hedged using a micro/specific approach. Sources of ineffectiveness comes from (i) the Euribor vs Eonia/€STER basis for hedging derivatives transactions subject to a collateral agreement, (ii) Credit/Debit Value and Funding Value adjustment impacting derivative transactions fair values, (iii) shortfall arising in the underlying’s specifically associated with that hedge in term of nominal or reverse sensitivity due to prepayment or default on commercial assets or withdrawals on liabilities included such as commercial non-maturity deposits and are presented in Item 90 - Net gains (losses) on hedge accounting. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 405 A Fair value hedging activities The objective of fair value hedge on assets/liabilities is to hedge the exposure to changes in fair value coming from the embedded risk factor subject to a hedging transaction. The fair value hedge is applied both for identified financial instruments (securities, debt issues, loans, borrowings) and for portfolios of financial instruments (in particular, fixed rate loans and non-maturity deposits or other fixed rate liabilities). The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. The hedging strategy on identified financial instruments classified as Held-to-Collect (HTC) and Held-to-Collect & Sell (HTCS) considers the contractual features of each instruments and business intent. The hedging strategy on portfolios of financial instruments refers to the amounts of money contained in the portfolio of interest rate exposures that are not already subject to "micro/specific" hedging and mirrors to the nominal amount and financial conditions of hedging derivatives. The objective of fair value hedge on assets/liabilities denominated in foreign currency could refer to hedge the exposure to changes in fair value by converting to Euro denominated assets/liabilities. The hedging instruments used mainly consist of Interest Rate Swaps, Basis Swaps, Caps, Floors, and Cross Currencies Swaps. B. Cash flow hedging activities The objective of cash flow hedge on floating rate assets/liabilities is to hedge the exposure to changes in cash flows from borrowings/lending that bear a floating interest rate. The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. Cash flow hedges are particularly used to hedge interest rate risk on floating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. The hedging instruments used mainly consist of Interest Rate Swaps, Caps, Floors, Cross Currency Swaps with a maturity up to 20-30 years for some commercial hedged assets. C. Foreign net investments hedge activities No hedging strategy is in place on an investment in entities whose functional currency differs from the Group’s functional currency. The Group put in place some economic hedges on forecasted foreign currency revenues stemming from those entities. The objective of the economic hedge is to reduce the volatility on the income statement coming from the foreign exchange risks. FX risk on forecasted foreign currency revenues is continuously monitored and hedging strategies are periodically assessed. The hedging strategy and the percentage to be hedged is defined on a case-by-case basis considering, inter alia, the diversification effect and taking into account the volatility and correlation in the FX rates. The derivatives used mainly consist of currency options. These derivatives may not or should not qualify for hedge accounting even though achieve substantially the same economic results. The impact of economic hedge is accounted in Item 80 - Trading Income line. D. Hedging instruments and E. Hedged elements Prospective hedge effectiveness is established by the fact that all derivatives must, at inception, have the effect of reducing interest rate risk in term of Economic Value Sensitivity (Fair Value Hedge) or Net Interest Income Sensitivity (Cash Flow Hedge) in the specific/portfolio of hedged underlyings. Retrospectively the hedge effectiveness is quarterly measured by referring to the most stable portion of assets/liabilities using a portfolio hedge approach or by referring to the portion of risk being hedged using a micro/specific approach. Sources of ineffectiveness comes from (i) the Euribor vs Eonia/€STER basis for hedging derivatives transactions subject to a collateral agreement, (ii) Credit/Debit Value and Funding Value adjustment impacting derivative transactions fair values, (iii) shortfall arising in the underlying’s specifically associated with that hedge in term of nominal or reverse sensitivity due to prepayment or default on commercial assets or withdrawals on liabilities included such as commercial non-maturity deposits and are presented in Item 90 - Net gains (losses) on hedge accounting. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 405 A Fair value hedging activities The objective of fair value hedge on assets/liabilities is to hedge the exposure to changes in fair value coming from the embedded risk factor subject to a hedging transaction. The fair value hedge is applied both for identified financial instruments (securities, debt issues, loans, borrowings) and for portfolios of financial instruments (in particular, fixed rate loans and non-maturity deposits or other fixed rate liabilities). The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. The hedging strategy on identified financial instruments classified as Held-to-Collect (HTC) and Held-to-Collect & Sell (HTCS) considers the contractual features of each instruments and business intent. The hedging strategy on portfolios of financial instruments refers to the amounts of money contained in the portfolio of interest rate exposures that are not already subject to "micro/specific" hedging and mirrors to the nominal amount and financial conditions of hedging derivatives. The objective of fair value hedge on assets/liabilities denominated in foreign currency could refer to hedge the exposure to changes in fair value by converting to Euro denominated assets/liabilities. The hedging instruments used mainly consist of Interest Rate Swaps, Basis Swaps, Caps, Floors, and Cross Currencies Swaps. B. Cash flow hedging activities The objective of cash flow hedge on floating rate assets/liabilities is to hedge the exposure to changes in cash flows from borrowings/lending that bear a floating interest rate. The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. Cash flow hedges are particularly used to hedge interest rate risk on floating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. The hedging instruments used mainly consist of Interest Rate Swaps, Caps, Floors, Cross Currency Swaps with a maturity up to 20-30 years for some commercial hedged assets. C. Foreign net investments hedge activities No hedging strategy is in place on an investment in entities whose functional currency differs from the Group’s functional currency. The Group put in place some economic hedges on forecasted foreign currency revenues stemming from those entities. The objective of the economic hedge is to reduce the volatility on the income statement coming from the foreign exchange risks. FX risk on forecasted foreign currency revenues is continuously monitored and hedging strategies are periodically assessed. The hedging strategy and the percentage to be hedged is defined on a case-by-case basis considering, inter alia, the diversification effect and taking into account the volatility and correlation in the FX rates. The derivatives used mainly consist of currency options. These derivatives may not or should not qualify for hedge accounting even though achieve substantially the same economic results. The impact of economic hedge is accounted in Item 80 - Trading Income line. D. Hedging instruments and E. Hedged elements Prospective hedge effectiveness is established by the fact that all derivatives must, at inception, have the effect of reducing interest rate risk in term of Economic Value Sensitivity (Fair Value Hedge) or Net Interest Income Sensitivity (Cash Flow Hedge) in the specific/portfolio of hedged underlyings. Retrospectively the hedge effectiveness is quarterly measured by referring to the most stable portion of assets/liabilities using a portfolio hedge approach or by referring to the portion of risk being hedged using a micro/specific approach. Sources of ineffectiveness comes from (i) the Euribor vs Eonia/€STER basis for hedging derivatives transactions subject to a collateral agreement, (ii) Credit/Debit Value and Funding Value adjustment impacting derivative transactions fair values, (iii) shortfall arising in the underlying’s specifically associated with that hedge in term of nominal or reverse sensitivity due to prepayment or default on commercial assets or withdrawals on liabilities included such as commercial non-maturity deposits and are presented in Item 90 - Net gains (losses) on hedge accounting. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 405 A Fair value hedging activities The objective of fair value hedge on assets/liabilities is to hedge the exposure to changes in fair value coming from the embedded risk factor subject to a hedging transaction. The fair value hedge is applied both for identified financial instruments (securities, debt issues, loans, borrowings) and for portfolios of financial instruments (in particular, fixed rate loans and non-maturity deposits or other fixed rate liabilities). The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. The hedging strategy on identified financial instruments classified as Held-to-Collect (HTC) and Held-to-Collect & Sell (HTCS) considers the contractual features of each instruments and business intent. The hedging strategy on portfolios of financial instruments refers to the amounts of money contained in the portfolio of interest rate exposures that are not already subject to "micro/specific" hedging and mirrors to the nominal amount and financial conditions of hedging derivatives. The objective of fair value hedge on assets/liabilities denominated in foreign currency could refer to hedge the exposure to changes in fair value by converting to Euro denominated assets/liabilities. The hedging instruments used mainly consist of Interest Rate Swaps, Basis Swaps, Caps, Floors, and Cross Currencies Swaps. B. Cash flow hedging activities The objective of cash flow hedge on floating rate assets/liabilities is to hedge the exposure to changes in cash flows from borrowings/lending that bear a floating interest rate. The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. Cash flow hedges are particularly used to hedge interest rate risk on floating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. The hedging instruments used mainly consist of Interest Rate Swaps, Caps, Floors, Cross Currency Swaps with a maturity up to 20-30 years for some commercial hedged assets. C. Foreign net investments hedge activities No hedging strategy is in place on an investment in entities whose functional currency differs from the Group’s functional currency. The Group put in place some economic hedges on forecasted foreign currency revenues stemming from those entities. The objective of the economic hedge is to reduce the volatility on the income statement coming from the foreign exchange risks. FX risk on forecasted foreign currency revenues is continuously monitored and hedging strategies are periodically assessed. The hedging strategy and the percentage to be hedged is defined on a case-by-case basis considering, inter alia, the diversification effect and taking into account the volatility and correlation in the FX rates. The derivatives used mainly consist of currency options. These derivatives may not or should not qualify for hedge accounting even though achieve substantially the same economic results. The impact of economic hedge is accounted in Item 80 - Trading Income line. D. Hedging instruments and E. Hedged elements Prospective hedge effectiveness is established by the fact that all derivatives must, at inception, have the effect of reducing interest rate risk in term of Economic Value Sensitivity (Fair Value Hedge) or Net Interest Income Sensitivity (Cash Flow Hedge) in the specific/portfolio of hedged underlyings. Retrospectively the hedge effectiveness is quarterly measured by referring to the most stable portion of assets/liabilities using a portfolio hedge approach or by referring to the portion of risk being hedged using a micro/specific approach. Sources of ineffectiveness comes from (i) the Euribor vs Eonia/€STER basis for hedging derivatives transactions subject to a collateral agreement, (ii) Credit/Debit Value and Funding Value adjustment impacting derivative transactions fair values, (iii) shortfall arising in the underlying’s specifically associated with that hedge in term of nominal or reverse sensitivity due to prepayment or default on commercial assets or withdrawals on liabilities included such as commercial non-maturity deposits and are presented in Item 90 - Net gains (losses) on hedge accounting. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 405 A Fair value hedging activities The objective of fair value hedge on assets/liabilities is to hedge the exposure to changes in fair value coming from the embedded risk factor subject to a hedging transaction. The fair value hedge is applied both for identified financial instruments (securities, debt issues, loans, borrowings) and for portfolios of financial instruments (in particular, fixed rate loans and non-maturity deposits or other fixed rate liabilities). The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. The hedging strategy on identified financial instruments classified as Held-to-Collect (HTC) and Held-to-Collect & Sell (HTCS) considers the contractual features of each instruments and business intent. The hedging strategy on portfolios of financial instruments refers to the amounts of money contained in the portfolio of interest rate exposures that are not already subject to "micro/specific" hedging and mirrors to the nominal amount and financial conditions of hedging derivatives. The objective of fair value hedge on assets/liabilities denominated in foreign currency could refer to hedge the exposure to changes in fair value by converting to Euro denominated assets/liabilities. The hedging instruments used mainly consist of Interest Rate Swaps, Basis Swaps, Caps, Floors, and Cross Currencies Swaps. B. Cash flow hedging activities The objective of cash flow hedge on floating rate assets/liabilities is to hedge the exposure to changes in cash flows from borrowings/lending that bear a floating interest rate. The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. Cash flow hedges are particularly used to hedge interest rate risk on floating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. The hedging instruments used mainly consist of Interest Rate Swaps, Caps, Floors, Cross Currency Swaps with a maturity up to 20-30 years for some commercial hedged assets. C. Foreign net investments hedge activities No hedging strategy is in place on an investment in entities whose functional currency differs from the Group’s functional currency. The Group put in place some economic hedges on forecasted foreign currency revenues stemming from those entities. The objective of the economic hedge is to reduce the volatility on the income statement coming from the foreign exchange risks. FX risk on forecasted foreign currency revenues is continuously monitored and hedging strategies are periodically assessed. The hedging strategy and the percentage to be hedged is defined on a case-by-case basis considering, inter alia, the diversification effect and taking into account the volatility and correlation in the FX rates. The derivatives used mainly consist of currency options. These derivatives may not or should not qualify for hedge accounting even though achieve substantially the same economic results. The impact of economic hedge is accounted in Item 80 - Trading Income line. D. Hedging instruments and E. Hedged elements Prospective hedge effectiveness is established by the fact that all derivatives must, at inception, have the effect of reducing interest rate risk in term of Economic Value Sensitivity (Fair Value Hedge) or Net Interest Income Sensitivity (Cash Flow Hedge) in the specific/portfolio of hedged underlyings. Retrospectively the hedge effectiveness is quarterly measured by referring to the most stable portion of assets/liabilities using a portfolio hedge approach or by referring to the portion of risk being hedged using a micro/specific approach. Sources of ineffectiveness comes from (i) the Euribor vs Eonia/€STER basis for hedging derivatives transactions subject to a collateral agreement, (ii) Credit/Debit Value and Funding Value adjustment impacting derivative transactions fair values, (iii) shortfall arising in the underlying’s specifically associated with that hedge in term of nominal or reverse sensitivity due to prepayment or default on commercial assets or withdrawals on liabilities included such as commercial non-maturity deposits and are presented in Item 90 - Net gains (losses) on hedge accounting. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 406 2021 Annual Report and Accounts · UniCredit Quantitative information A. Hedging financial derivatives A.1 Hedging financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 244,323 19,134 80,380 3,893 107,997 15,064 123,918 987 a) Options - 1,433 - - - 1,678 - - b) Swap 241,523 17,701 4,286 - 107,997 13,386 5,413 - c) Forward 2,800 - - - - - - - d) Futures - - 76,094 3,893 - - 118,505 987 e) Other - - - - - - - - 2. Equity instruments and stock indexes - - - - - - - - a) Options - - - - - - - - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies 489 7,819 182 - 40 6,408 263 - a) Options - - - - - - - - b) Swap - 5,519 182 - - 6,278 263 - c) Forward 489 2,300 - - 40 130 - - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - - - - - - - - 5. Other - - - - - - - - Total 244,812 26,953 80,562 3,893 108,037 21,472 124,181 987 This table refers the notional value of cash-flow hedging derivatives according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. A.2 Hedging financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 AMOUNT AS AT AMOUNT AS AT POSITIVE AND NEGATIVE FAIR VALUE POSITIVE AND NEGATIVE FAIR VALUE OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS 12.31.2021 12.31.2020 TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CHANGES IN VALUE USED TO CALCULATE HEDGE INEFFECTIVENESS WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 20 - - - 23 - - - - b) Interest rate swap 3,361 213 75 - 4,725 228 84 - - - c) Cross currency swap - 142 - - - 206 1 - - - d) Equity swap - - - - - - - - - - e) Forward - 7 - - - - - - - - f) Futures - - 38 1 - - 114 - - - g) Other - - - - - - - - - - Total 3,361 382 113 1 4,725 457 199 - - - 2. Negative fair value a) Options - 160 - - - 261 - - - - b) Interest rate swap 1,382 480 176 - 1,787 660 66 - - - c) Cross currency swap - 74 3 - - 116 2 - - - d) Equity swap - - - - - - - - - - e) Forward 1 49 - - - - - - - - f) Futures - - 51 - - - 126 - - - g) Other - - - - - - - - - - Total 1,383 763 230 - 1,787 1,037 194 - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 406 2021 Annual Report and Accounts · UniCredit Quantitative information A. Hedging financial derivatives A.1 Hedging financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 244,323 19,134 80,380 3,893 107,997 15,064 123,918 987 a) Options - 1,433 - - - 1,678 - - b) Swap 241,523 17,701 4,286 - 107,997 13,386 5,413 - c) Forward 2,800 - - - - - - - d) Futures - - 76,094 3,893 - - 118,505 987 e) Other - - - - - - - - 2. Equity instruments and stock indexes - - - - - - - - a) Options - - - - - - - - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies 489 7,819 182 - 40 6,408 263 - a) Options - - - - - - - - b) Swap - 5,519 182 - - 6,278 263 - c) Forward 489 2,300 - - 40 130 - - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - - - - - - - - 5. Other - - - - - - - - Total 244,812 26,953 80,562 3,893 108,037 21,472 124,181 987 This table refers the notional value of cash-flow hedging derivatives according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. A.2 Hedging financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 AMOUNT AS AT AMOUNT AS AT POSITIVE AND NEGATIVE FAIR VALUE POSITIVE AND NEGATIVE FAIR VALUE OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS 12.31.2021 12.31.2020 TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CHANGES IN VALUE USED TO CALCULATE HEDGE INEFFECTIVENESS WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 20 - - - 23 - - - - b) Interest rate swap 3,361 213 75 - 4,725 228 84 - - - c) Cross currency swap - 142 - - - 206 1 - - - d) Equity swap - - - - - - - - - - e) Forward - 7 - - - - - - - - f) Futures - - 38 1 - - 114 - - - g) Other - - - - - - - - - - Total 3,361 382 113 1 4,725 457 199 - - - 2. Negative fair value a) Options - 160 - - - 261 - - - - b) Interest rate swap 1,382 480 176 - 1,787 660 66 - - - c) Cross currency swap - 74 3 - - 116 2 - - - d) Equity swap - - - - - - - - - - e) Forward 1 49 - - - - - - - - f) Futures - - 51 - - - 126 - - - g) Other - - - - - - - - - - Total 1,383 763 230 - 1,787 1,037 194 - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 406 2021 Annual Report and Accounts · UniCredit Quantitative information A. Hedging financial derivatives A.1 Hedging financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 244,323 19,134 80,380 3,893 107,997 15,064 123,918 987 a) Options - 1,433 - - - 1,678 - - b) Swap 241,523 17,701 4,286 - 107,997 13,386 5,413 - c) Forward 2,800 - - - - - - - d) Futures - - 76,094 3,893 - - 118,505 987 e) Other - - - - - - - - 2. Equity instruments and stock indexes - - - - - - - - a) Options - - - - - - - - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies 489 7,819 182 - 40 6,408 263 - a) Options - - - - - - - - b) Swap - 5,519 182 - - 6,278 263 - c) Forward 489 2,300 - - 40 130 - - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - - - - - - - - 5. Other - - - - - - - - Total 244,812 26,953 80,562 3,893 108,037 21,472 124,181 987 This table refers the notional value of cash-flow hedging derivatives according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. A.2 Hedging financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 AMOUNT AS AT AMOUNT AS AT POSITIVE AND NEGATIVE FAIR VALUE POSITIVE AND NEGATIVE FAIR VALUE OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS 12.31.2021 12.31.2020 TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CHANGES IN VALUE USED TO CALCULATE HEDGE INEFFECTIVENESS WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 20 - - - 23 - - - - b) Interest rate swap 3,361 213 75 - 4,725 228 84 - - - c) Cross currency swap - 142 - - - 206 1 - - - d) Equity swap - - - - - - - - - - e) Forward - 7 - - - - - - - - f) Futures - - 38 1 - - 114 - - - g) Other - - - - - - - - - - Total 3,361 382 113 1 4,725 457 199 - - - 2. Negative fair value a) Options - 160 - - - 261 - - - - b) Interest rate swap 1,382 480 176 - 1,787 660 66 - - - c) Cross currency swap - 74 3 - - 116 2 - - - d) Equity swap - - - - - - - - - - e) Forward 1 49 - - - - - - - - f) Futures - - 51 - - - 126 - - - g) Other - - - - - - - - - - Total 1,383 763 230 - 1,787 1,037 194 - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 406 2021 Annual Report and Accounts · UniCredit Quantitative information A. Hedging financial derivatives A.1 Hedging financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 244,323 19,134 80,380 3,893 107,997 15,064 123,918 987 a) Options - 1,433 - - - 1,678 - - b) Swap 241,523 17,701 4,286 - 107,997 13,386 5,413 - c) Forward 2,800 - - - - - - - d) Futures - - 76,094 3,893 - - 118,505 987 e) Other - - - - - - - - 2. Equity instruments and stock indexes - - - - - - - - a) Options - - - - - - - - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies 489 7,819 182 - 40 6,408 263 - a) Options - - - - - - - - b) Swap - 5,519 182 - - 6,278 263 - c) Forward 489 2,300 - - 40 130 - - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - - - - - - - - 5. Other - - - - - - - - Total 244,812 26,953 80,562 3,893 108,037 21,472 124,181 987 This table refers the notional value of cash-flow hedging derivatives according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. A.2 Hedging financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 AMOUNT AS AT AMOUNT AS AT POSITIVE AND NEGATIVE FAIR VALUE POSITIVE AND NEGATIVE FAIR VALUE OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS 12.31.2021 12.31.2020 TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CHANGES IN VALUE USED TO CALCULATE HEDGE INEFFECTIVENESS WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 20 - - - 23 - - - - b) Interest rate swap 3,361 213 75 - 4,725 228 84 - - - c) Cross currency swap - 142 - - - 206 1 - - - d) Equity swap - - - - - - - - - - e) Forward - 7 - - - - - - - - f) Futures - - 38 1 - - 114 - - - g) Other - - - - - - - - - - Total 3,361 382 113 1 4,725 457 199 - - - 2. Negative fair value a) Options - 160 - - - 261 - - - - b) Interest rate swap 1,382 480 176 - 1,787 660 66 - - - c) Cross currency swap - 74 3 - - 116 2 - - - d) Equity swap - - - - - - - - - - e) Forward 1 49 - - - - - - - - f) Futures - - 51 - - - 126 - - - g) Other - - - - - - - - - - Total 1,383 763 230 - 1,787 1,037 194 - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 406 2021 Annual Report and Accounts · UniCredit Quantitative information A. Hedging financial derivatives A.1 Hedging financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 244,323 19,134 80,380 3,893 107,997 15,064 123,918 987 a) Options - 1,433 - - - 1,678 - - b) Swap 241,523 17,701 4,286 - 107,997 13,386 5,413 - c) Forward 2,800 - - - - - - - d) Futures - - 76,094 3,893 - - 118,505 987 e) Other - - - - - - - - 2. Equity instruments and stock indexes - - - - - - - - a) Options - - - - - - - - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies 489 7,819 182 - 40 6,408 263 - a) Options - - - - - - - - b) Swap - 5,519 182 - - 6,278 263 - c) Forward 489 2,300 - - 40 130 - - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - - - - - - - - 5. Other - - - - - - - - Total 244,812 26,953 80,562 3,893 108,037 21,472 124,181 987 This table refers the notional value of cash-flow hedging derivatives according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. A.2 Hedging financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 AMOUNT AS AT AMOUNT AS AT POSITIVE AND NEGATIVE FAIR VALUE POSITIVE AND NEGATIVE FAIR VALUE OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS 12.31.2021 12.31.2020 TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CHANGES IN VALUE USED TO CALCULATE HEDGE INEFFECTIVENESS WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 20 - - - 23 - - - - b) Interest rate swap 3,361 213 75 - 4,725 228 84 - - - c) Cross currency swap - 142 - - - 206 1 - - - d) Equity swap - - - - - - - - - - e) Forward - 7 - - - - - - - - f) Futures - - 38 1 - - 114 - - - g) Other - - - - - - - - - - Total 3,361 382 113 1 4,725 457 199 - - - 2. Negative fair value a) Options - 160 - - - 261 - - - - b) Interest rate swap 1,382 480 176 - 1,787 660 66 - - - c) Cross currency swap - 74 3 - - 116 2 - - - d) Equity swap - - - - - - - - - - e) Forward 1 49 - - - - - - - - f) Futures - - 51 - - - 126 - - - g) Other - - - - - - - - - - Total 1,383 763 230 - 1,787 1,037 194 - - - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 407 This table presents distribution by product of the gross positive and negative cash-flow hedging derivatives’ fair values according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. A.3 OTC hedging financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 80,329 51 - - Positive fair value X 113 - - - Negative fair value X 225 2 - 2) Equity instruments and stock indexes - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 3) Gold and currencies - Notional amount X 182 - - - Positive fair value X - - - - Negative fair value X 3 - - 4) Commodities - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 244,323 15,727 2,945 462 - Positive fair value 3,361 178 52 3 - Negative fair value 1,382 358 205 76 2) Equity instruments and stock indexes - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 3) Gold and currencies - Notional amount 489 6,982 838 - - Positive fair value - 98 51 - - Negative fair value 1 123 - - 4) Commodities - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - This table presents distribution by counterparty of the notional amount and the gross positive and negative cash-flow hedging derivatives’ fair values according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 407 This table presents distribution by product of the gross positive and negative cash-flow hedging derivatives’ fair values according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. A.3 OTC hedging financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 80,329 51 - - Positive fair value X 113 - - - Negative fair value X 225 2 - 2) Equity instruments and stock indexes - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 3) Gold and currencies - Notional amount X 182 - - - Positive fair value X - - - - Negative fair value X 3 - - 4) Commodities - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 244,323 15,727 2,945 462 - Positive fair value 3,361 178 52 3 - Negative fair value 1,382 358 205 76 2) Equity instruments and stock indexes - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 3) Gold and currencies - Notional amount 489 6,982 838 - - Positive fair value - 98 51 - - Negative fair value 1 123 - - 4) Commodities - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - This table presents distribution by counterparty of the notional amount and the gross positive and negative cash-flow hedging derivatives’ fair values according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 407 This table presents distribution by product of the gross positive and negative cash-flow hedging derivatives’ fair values according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. A.3 OTC hedging financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 80,329 51 - - Positive fair value X 113 - - - Negative fair value X 225 2 - 2) Equity instruments and stock indexes - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 3) Gold and currencies - Notional amount X 182 - - - Positive fair value X - - - - Negative fair value X 3 - - 4) Commodities - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 244,323 15,727 2,945 462 - Positive fair value 3,361 178 52 3 - Negative fair value 1,382 358 205 76 2) Equity instruments and stock indexes - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 3) Gold and currencies - Notional amount 489 6,982 838 - - Positive fair value - 98 51 - - Negative fair value 1 123 - - 4) Commodities - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - This table presents distribution by counterparty of the notional amount and the gross positive and negative cash-flow hedging derivatives’ fair values according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 407 This table presents distribution by product of the gross positive and negative cash-flow hedging derivatives’ fair values according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. A.3 OTC hedging financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 80,329 51 - - Positive fair value X 113 - - - Negative fair value X 225 2 - 2) Equity instruments and stock indexes - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 3) Gold and currencies - Notional amount X 182 - - - Positive fair value X - - - - Negative fair value X 3 - - 4) Commodities - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 244,323 15,727 2,945 462 - Positive fair value 3,361 178 52 3 - Negative fair value 1,382 358 205 76 2) Equity instruments and stock indexes - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 3) Gold and currencies - Notional amount 489 6,982 838 - - Positive fair value - 98 51 - - Negative fair value 1 123 - - 4) Commodities - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - This table presents distribution by counterparty of the notional amount and the gross positive and negative cash-flow hedging derivatives’ fair values according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 407 This table presents distribution by product of the gross positive and negative cash-flow hedging derivatives’ fair values according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. A.3 OTC hedging financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 80,329 51 - - Positive fair value X 113 - - - Negative fair value X 225 2 - 2) Equity instruments and stock indexes - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 3) Gold and currencies - Notional amount X 182 - - - Positive fair value X - - - - Negative fair value X 3 - - 4) Commodities - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 244,323 15,727 2,945 462 - Positive fair value 3,361 178 52 3 - Negative fair value 1,382 358 205 76 2) Equity instruments and stock indexes - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 3) Gold and currencies - Notional amount 489 6,982 838 - - Positive fair value - 98 51 - - Negative fair value 1 123 - - 4) Commodities - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - This table presents distribution by counterparty of the notional amount and the gross positive and negative cash-flow hedging derivatives’ fair values according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 408 2021 Annual Report and Accounts · UniCredit A.4 OTC hedging financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 127,362 161,463 55,012 343,837 A.2 Financial derivative contracts on equity securities and stock indexes - - - - A.3 Financial derivative contracts on exchange rates and gold 4,819 3,670 - 8,489 A.4 Financial derivative contracts on other values - - - - A.5 Other financial derivatives - - - - Total 12.31.2021 132,181 165,133 55,012 352,326 Total 12.31.2020 106,599 103,167 43,925 253,691 B. Hedging credit derivatives No data to be disclosed. C. Hedging instruments not derivatives Note that, as provided by the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the present table is not disclosed as the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 408 2021 Annual Report and Accounts · UniCredit A.4 OTC hedging financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 127,362 161,463 55,012 343,837 A.2 Financial derivative contracts on equity securities and stock indexes - - - - A.3 Financial derivative contracts on exchange rates and gold 4,819 3,670 - 8,489 A.4 Financial derivative contracts on other values - - - - A.5 Other financial derivatives - - - - Total 12.31.2021 132,181 165,133 55,012 352,326 Total 12.31.2020 106,599 103,167 43,925 253,691 B. Hedging credit derivatives No data to be disclosed. C. Hedging instruments not derivatives Note that, as provided by the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the present table is not disclosed as the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 408 2021 Annual Report and Accounts · UniCredit A.4 OTC hedging financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 127,362 161,463 55,012 343,837 A.2 Financial derivative contracts on equity securities and stock indexes - - - - A.3 Financial derivative contracts on exchange rates and gold 4,819 3,670 - 8,489 A.4 Financial derivative contracts on other values - - - - A.5 Other financial derivatives - - - - Total 12.31.2021 132,181 165,133 55,012 352,326 Total 12.31.2020 106,599 103,167 43,925 253,691 B. Hedging credit derivatives No data to be disclosed. C. Hedging instruments not derivatives Note that, as provided by the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the present table is not disclosed as the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 408 2021 Annual Report and Accounts · UniCredit A.4 OTC hedging financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 127,362 161,463 55,012 343,837 A.2 Financial derivative contracts on equity securities and stock indexes - - - - A.3 Financial derivative contracts on exchange rates and gold 4,819 3,670 - 8,489 A.4 Financial derivative contracts on other values - - - - A.5 Other financial derivatives - - - - Total 12.31.2021 132,181 165,133 55,012 352,326 Total 12.31.2020 106,599 103,167 43,925 253,691 B. Hedging credit derivatives No data to be disclosed. C. Hedging instruments not derivatives Note that, as provided by the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the present table is not disclosed as the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 408 2021 Annual Report and Accounts · UniCredit A.4 OTC hedging financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 127,362 161,463 55,012 343,837 A.2 Financial derivative contracts on equity securities and stock indexes - - - - A.3 Financial derivative contracts on exchange rates and gold 4,819 3,670 - 8,489 A.4 Financial derivative contracts on other values - - - - A.5 Other financial derivatives - - - - Total 12.31.2021 132,181 165,133 55,012 352,326 Total 12.31.2020 106,599 103,167 43,925 253,691 B. Hedging credit derivatives No data to be disclosed. C. Hedging instruments not derivatives Note that, as provided by the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the present table is not disclosed as the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 409 D. Hedges instruments Note that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Micro hedging and macro hedging: breakdown by hedged item and risk type (€ million) AMOUNT AS AT 12.31.2021 MICRO HEDGE: CARRYING AMOUNT MACRO HEDGE: CARRYING AMOUNT A) Fair value hedge 1. Assets 1.1 Financial assets measured at fair value through other comprehensive income 46,974 - 1.1.1 Interest rate 46,974 X 1.1.2 Equity - X 1.1.3 Foreign exchange and gold - X 1.1.4 Credit - X 1.1.5 Other - X 1.2 Financial assets measured at amortised cost 39,856 1,290 1.2.1 Interest rate 39,856 X 1.2.2 Equity - X 1.2.3 Foreign exchange and gold - X 1.2.4 Credit - X 1.2.5 Other - X 2. Liabilites 2.1 Financial liabilities measured at amortised costs 759 218 2.1.1 Interest rate 759 X 2.1.2 Equity - X 2.1.3 Foreign exchange and gold - X 2.1.4 Credit - X 2.1.5 Other - X B) Cash flow hedge 1. Assets - X 1.1 Interest rate - X 1.2 Equity - X 1.3 Foreign exchange and gold - X 1.4 Credit - X 1.5 Other - X 2. Liabilites 46 X 2.1 Interest rate 46 X 2.2 Equity - X 2.3 Foreign exchange and gold - X 2.4 Credit - X 2.5 Other - X C) Hedge of net investments in foreign operations - X D) Porftolio - Assets X 221 E) Porftolio - Liabilities X 745 E. Effects of hedging policy at equity This table has to be filled in only by entities that apply IFRS9 hedge accounting rules. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 409 D. Hedges instruments Note that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Micro hedging and macro hedging: breakdown by hedged item and risk type (€ million) AMOUNT AS AT 12.31.2021 MICRO HEDGE: CARRYING AMOUNT MACRO HEDGE: CARRYING AMOUNT A) Fair value hedge 1. Assets 1.1 Financial assets measured at fair value through other comprehensive income 46,974 - 1.1.1 Interest rate 46,974 X 1.1.2 Equity - X 1.1.3 Foreign exchange and gold - X 1.1.4 Credit - X 1.1.5 Other - X 1.2 Financial assets measured at amortised cost 39,856 1,290 1.2.1 Interest rate 39,856 X 1.2.2 Equity - X 1.2.3 Foreign exchange and gold - X 1.2.4 Credit - X 1.2.5 Other - X 2. Liabilites 2.1 Financial liabilities measured at amortised costs 759 218 2.1.1 Interest rate 759 X 2.1.2 Equity - X 2.1.3 Foreign exchange and gold - X 2.1.4 Credit - X 2.1.5 Other - X B) Cash flow hedge 1. Assets - X 1.1 Interest rate - X 1.2 Equity - X 1.3 Foreign exchange and gold - X 1.4 Credit - X 1.5 Other - X 2. Liabilites 46 X 2.1 Interest rate 46 X 2.2 Equity - X 2.3 Foreign exchange and gold - X 2.4 Credit - X 2.5 Other - X C) Hedge of net investments in foreign operations - X D) Porftolio - Assets X 221 E) Porftolio - Liabilities X 745 E. Effects of hedging policy at equity This table has to be filled in only by entities that apply IFRS9 hedge accounting rules. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 409 D. Hedges instruments Note that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Micro hedging and macro hedging: breakdown by hedged item and risk type (€ million) AMOUNT AS AT 12.31.2021 MICRO HEDGE: CARRYING AMOUNT MACRO HEDGE: CARRYING AMOUNT A) Fair value hedge 1. Assets 1.1 Financial assets measured at fair value through other comprehensive income 46,974 - 1.1.1 Interest rate 46,974 X 1.1.2 Equity - X 1.1.3 Foreign exchange and gold - X 1.1.4 Credit - X 1.1.5 Other - X 1.2 Financial assets measured at amortised cost 39,856 1,290 1.2.1 Interest rate 39,856 X 1.2.2 Equity - X 1.2.3 Foreign exchange and gold - X 1.2.4 Credit - X 1.2.5 Other - X 2. Liabilites 2.1 Financial liabilities measured at amortised costs 759 218 2.1.1 Interest rate 759 X 2.1.2 Equity - X 2.1.3 Foreign exchange and gold - X 2.1.4 Credit - X 2.1.5 Other - X B) Cash flow hedge 1. Assets - X 1.1 Interest rate - X 1.2 Equity - X 1.3 Foreign exchange and gold - X 1.4 Credit - X 1.5 Other - X 2. Liabilites 46 X 2.1 Interest rate 46 X 2.2 Equity - X 2.3 Foreign exchange and gold - X 2.4 Credit - X 2.5 Other - X C) Hedge of net investments in foreign operations - X D) Porftolio - Assets X 221 E) Porftolio - Liabilities X 745 E. Effects of hedging policy at equity This table has to be filled in only by entities that apply IFRS9 hedge accounting rules. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 409 D. Hedges instruments Note that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Micro hedging and macro hedging: breakdown by hedged item and risk type (€ million) AMOUNT AS AT 12.31.2021 MICRO HEDGE: CARRYING AMOUNT MACRO HEDGE: CARRYING AMOUNT A) Fair value hedge 1. Assets 1.1 Financial assets measured at fair value through other comprehensive income 46,974 - 1.1.1 Interest rate 46,974 X 1.1.2 Equity - X 1.1.3 Foreign exchange and gold - X 1.1.4 Credit - X 1.1.5 Other - X 1.2 Financial assets measured at amortised cost 39,856 1,290 1.2.1 Interest rate 39,856 X 1.2.2 Equity - X 1.2.3 Foreign exchange and gold - X 1.2.4 Credit - X 1.2.5 Other - X 2. Liabilites 2.1 Financial liabilities measured at amortised costs 759 218 2.1.1 Interest rate 759 X 2.1.2 Equity - X 2.1.3 Foreign exchange and gold - X 2.1.4 Credit - X 2.1.5 Other - X B) Cash flow hedge 1. Assets - X 1.1 Interest rate - X 1.2 Equity - X 1.3 Foreign exchange and gold - X 1.4 Credit - X 1.5 Other - X 2. Liabilites 46 X 2.1 Interest rate 46 X 2.2 Equity - X 2.3 Foreign exchange and gold - X 2.4 Credit - X 2.5 Other - X C) Hedge of net investments in foreign operations - X D) Porftolio - Assets X 221 E) Porftolio - Liabilities X 745 E. Effects of hedging policy at equity This table has to be filled in only by entities that apply IFRS9 hedge accounting rules. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 409 D. Hedges instruments Note that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. Micro hedging and macro hedging: breakdown by hedged item and risk type (€ million) AMOUNT AS AT 12.31.2021 MICRO HEDGE: CARRYING AMOUNT MACRO HEDGE: CARRYING AMOUNT A) Fair value hedge 1. Assets 1.1 Financial assets measured at fair value through other comprehensive income 46,974 - 1.1.1 Interest rate 46,974 X 1.1.2 Equity - X 1.1.3 Foreign exchange and gold - X 1.1.4 Credit - X 1.1.5 Other - X 1.2 Financial assets measured at amortised cost 39,856 1,290 1.2.1 Interest rate 39,856 X 1.2.2 Equity - X 1.2.3 Foreign exchange and gold - X 1.2.4 Credit - X 1.2.5 Other - X 2. Liabilites 2.1 Financial liabilities measured at amortised costs 759 218 2.1.1 Interest rate 759 X 2.1.2 Equity - X 2.1.3 Foreign exchange and gold - X 2.1.4 Credit - X 2.1.5 Other - X B) Cash flow hedge 1. Assets - X 1.1 Interest rate - X 1.2 Equity - X 1.3 Foreign exchange and gold - X 1.4 Credit - X 1.5 Other - X 2. Liabilites 46 X 2.1 Interest rate 46 X 2.2 Equity - X 2.3 Foreign exchange and gold - X 2.4 Credit - X 2.5 Other - X C) Hedge of net investments in foreign operations - X D) Porftolio - Assets X 221 E) Porftolio - Liabilities X 745 E. Effects of hedging policy at equity This table has to be filled in only by entities that apply IFRS9 hedge accounting rules. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 410 2021 Annual Report and Accounts · UniCredit 2.3.3 Other information on derivatives instruments (trading and hedging) A. Financial and credit derivatives A.1 OTC financial and credit derivatives: net fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES A. Financial derivatives 1) Debt securities and interest rates - Notional amount 4,052,984 234,414 416,897 73,398 - Positive net fair value - 7,417 1,472 5,483 - Negative net fair value 616 8,741 2,292 1,304 2) Equity instruments and stock indexes - Notional amount - 17,742 8,558 411 - Positive net fair value - 499 388 2 - Negative net fair value - 924 66 12 3) Gold and currencies - Notional amount - 270,852 54,883 55,024 - Positive net fair value - 3,717 1,228 1,120 - Negative net fair value - 4,268 819 818 4) Commodities - Notional amount - 404 568 4,052 - Positive net fair value - 16 331 2,118 - Negative net fair value - 58 416 2,095 5) Other - Notional amount - 231 337 6,300 - Positive net fair value - 39 8 1,383 - Negative net fair value - 112 119 3,180 B. Credit derivatives 1) Protection buyer's contracts - Notional amount - 488 7,946 - - Positive net fair value - 5 1 - - Negative net fair value - 5 234 - 2) Protection seller's contracts - Notional amount - 892 6,546 - - Positive net fair value - 10 189 - - Negative net fair value - 88 2 - 2.4 Liquidity risk Qualitative information A. General aspects, operational processes and methods for measuring liquidity risk Liquidity risk is defined as the risk that the Group may find itself unable to fulfil its expected or unexpected payment obligations (by cash or delivery), current and future, without jeopardising its day-to day operations or its financial condition. The key principles The liquidity reference banks The Group aims at maintaining liquidity at a level that enables to fund its operations at the best rate conditions under normal operating circumstances, and to remain always in a position to meet payment obligations. To this end, the Group complies accurately with the legal and regulatory provisions imposed by the national Central Banks and by the national authorities of each country where it operates. In addition to local legal and regulatory requirements, the Parent Company, under the responsibility of the Group Risk Management, defines policies and metrics to be applied at Group level, to ensure that liquidity position of any entity meets the requirements of the Group. For these reasons, the Group is organised on a managerial perspective, according to the concept of the liquidity reference bank. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 410 2021 Annual Report and Accounts · UniCredit 2.3.3 Other information on derivatives instruments (trading and hedging) A. Financial and credit derivatives A.1 OTC financial and credit derivatives: net fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES A. Financial derivatives 1) Debt securities and interest rates - Notional amount 4,052,984 234,414 416,897 73,398 - Positive net fair value - 7,417 1,472 5,483 - Negative net fair value 616 8,741 2,292 1,304 2) Equity instruments and stock indexes - Notional amount - 17,742 8,558 411 - Positive net fair value - 499 388 2 - Negative net fair value - 924 66 12 3) Gold and currencies - Notional amount - 270,852 54,883 55,024 - Positive net fair value - 3,717 1,228 1,120 - Negative net fair value - 4,268 819 818 4) Commodities - Notional amount - 404 568 4,052 - Positive net fair value - 16 331 2,118 - Negative net fair value - 58 416 2,095 5) Other - Notional amount - 231 337 6,300 - Positive net fair value - 39 8 1,383 - Negative net fair value - 112 119 3,180 B. Credit derivatives 1) Protection buyer's contracts - Notional amount - 488 7,946 - - Positive net fair value - 5 1 - - Negative net fair value - 5 234 - 2) Protection seller's contracts - Notional amount - 892 6,546 - - Positive net fair value - 10 189 - - Negative net fair value - 88 2 - 2.4 Liquidity risk Qualitative information A. General aspects, operational processes and methods for measuring liquidity risk Liquidity risk is defined as the risk that the Group may find itself unable to fulfil its expected or unexpected payment obligations (by cash or delivery), current and future, without jeopardising its day-to day operations or its financial condition. The key principles The liquidity reference banks The Group aims at maintaining liquidity at a level that enables to fund its operations at the best rate conditions under normal operating circumstances, and to remain always in a position to meet payment obligations. To this end, the Group complies accurately with the legal and regulatory provisions imposed by the national Central Banks and by the national authorities of each country where it operates. In addition to local legal and regulatory requirements, the Parent Company, under the responsibility of the Group Risk Management, defines policies and metrics to be applied at Group level, to ensure that liquidity position of any entity meets the requirements of the Group. For these reasons, the Group is organised on a managerial perspective, according to the concept of the liquidity reference bank. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 410 2021 Annual Report and Accounts · UniCredit 2.3.3 Other information on derivatives instruments (trading and hedging) A. Financial and credit derivatives A.1 OTC financial and credit derivatives: net fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES A. Financial derivatives 1) Debt securities and interest rates - Notional amount 4,052,984 234,414 416,897 73,398 - Positive net fair value - 7,417 1,472 5,483 - Negative net fair value 616 8,741 2,292 1,304 2) Equity instruments and stock indexes - Notional amount - 17,742 8,558 411 - Positive net fair value - 499 388 2 - Negative net fair value - 924 66 12 3) Gold and currencies - Notional amount - 270,852 54,883 55,024 - Positive net fair value - 3,717 1,228 1,120 - Negative net fair value - 4,268 819 818 4) Commodities - Notional amount - 404 568 4,052 - Positive net fair value - 16 331 2,118 - Negative net fair value - 58 416 2,095 5) Other - Notional amount - 231 337 6,300 - Positive net fair value - 39 8 1,383 - Negative net fair value - 112 119 3,180 B. Credit derivatives 1) Protection buyer's contracts - Notional amount - 488 7,946 - - Positive net fair value - 5 1 - - Negative net fair value - 5 234 - 2) Protection seller's contracts - Notional amount - 892 6,546 - - Positive net fair value - 10 189 - - Negative net fair value - 88 2 - 2.4 Liquidity risk Qualitative information A. General aspects, operational processes and methods for measuring liquidity risk Liquidity risk is defined as the risk that the Group may find itself unable to fulfil its expected or unexpected payment obligations (by cash or delivery), current and future, without jeopardising its day-to day operations or its financial condition. The key principles The liquidity reference banks The Group aims at maintaining liquidity at a level that enables to fund its operations at the best rate conditions under normal operating circumstances, and to remain always in a position to meet payment obligations. To this end, the Group complies accurately with the legal and regulatory provisions imposed by the national Central Banks and by the national authorities of each country where it operates. In addition to local legal and regulatory requirements, the Parent Company, under the responsibility of the Group Risk Management, defines policies and metrics to be applied at Group level, to ensure that liquidity position of any entity meets the requirements of the Group. For these reasons, the Group is organised on a managerial perspective, according to the concept of the liquidity reference bank. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 410 2021 Annual Report and Accounts · UniCredit 2.3.3 Other information on derivatives instruments (trading and hedging) A. Financial and credit derivatives A.1 OTC financial and credit derivatives: net fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES A. Financial derivatives 1) Debt securities and interest rates - Notional amount 4,052,984 234,414 416,897 73,398 - Positive net fair value - 7,417 1,472 5,483 - Negative net fair value 616 8,741 2,292 1,304 2) Equity instruments and stock indexes - Notional amount - 17,742 8,558 411 - Positive net fair value - 499 388 2 - Negative net fair value - 924 66 12 3) Gold and currencies - Notional amount - 270,852 54,883 55,024 - Positive net fair value - 3,717 1,228 1,120 - Negative net fair value - 4,268 819 818 4) Commodities - Notional amount - 404 568 4,052 - Positive net fair value - 16 331 2,118 - Negative net fair value - 58 416 2,095 5) Other - Notional amount - 231 337 6,300 - Positive net fair value - 39 8 1,383 - Negative net fair value - 112 119 3,180 B. Credit derivatives 1) Protection buyer's contracts - Notional amount - 488 7,946 - - Positive net fair value - 5 1 - - Negative net fair value - 5 234 - 2) Protection seller's contracts - Notional amount - 892 6,546 - - Positive net fair value - 10 189 - - Negative net fair value - 88 2 - 2.4 Liquidity risk Qualitative information A. General aspects, operational processes and methods for measuring liquidity risk Liquidity risk is defined as the risk that the Group may find itself unable to fulfil its expected or unexpected payment obligations (by cash or delivery), current and future, without jeopardising its day-to day operations or its financial condition. The key principles The liquidity reference banks The Group aims at maintaining liquidity at a level that enables to fund its operations at the best rate conditions under normal operating circumstances, and to remain always in a position to meet payment obligations. To this end, the Group complies accurately with the legal and regulatory provisions imposed by the national Central Banks and by the national authorities of each country where it operates. In addition to local legal and regulatory requirements, the Parent Company, under the responsibility of the Group Risk Management, defines policies and metrics to be applied at Group level, to ensure that liquidity position of any entity meets the requirements of the Group. For these reasons, the Group is organised on a managerial perspective, according to the concept of the liquidity reference bank. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 410 2021 Annual Report and Accounts · UniCredit 2.3.3 Other information on derivatives instruments (trading and hedging) A. Financial and credit derivatives A.1 OTC financial and credit derivatives: net fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES A. Financial derivatives 1) Debt securities and interest rates - Notional amount 4,052,984 234,414 416,897 73,398 - Positive net fair value - 7,417 1,472 5,483 - Negative net fair value 616 8,741 2,292 1,304 2) Equity instruments and stock indexes - Notional amount - 17,742 8,558 411 - Positive net fair value - 499 388 2 - Negative net fair value - 924 66 12 3) Gold and currencies - Notional amount - 270,852 54,883 55,024 - Positive net fair value - 3,717 1,228 1,120 - Negative net fair value - 4,268 819 818 4) Commodities - Notional amount - 404 568 4,052 - Positive net fair value - 16 331 2,118 - Negative net fair value - 58 416 2,095 5) Other - Notional amount - 231 337 6,300 - Positive net fair value - 39 8 1,383 - Negative net fair value - 112 119 3,180 B. Credit derivatives 1) Protection buyer's contracts - Notional amount - 488 7,946 - - Positive net fair value - 5 1 - - Negative net fair value - 5 234 - 2) Protection seller's contracts - Notional amount - 892 6,546 - - Positive net fair value - 10 189 - - Negative net fair value - 88 2 - 2.4 Liquidity risk Qualitative information A. General aspects, operational processes and methods for measuring liquidity risk Liquidity risk is defined as the risk that the Group may find itself unable to fulfil its expected or unexpected payment obligations (by cash or delivery), current and future, without jeopardising its day-to day operations or its financial condition. The key principles The liquidity reference banks The Group aims at maintaining liquidity at a level that enables to fund its operations at the best rate conditions under normal operating circumstances, and to remain always in a position to meet payment obligations. To this end, the Group complies accurately with the legal and regulatory provisions imposed by the national Central Banks and by the national authorities of each country where it operates. In addition to local legal and regulatory requirements, the Parent Company, under the responsibility of the Group Risk Management, defines policies and metrics to be applied at Group level, to ensure that liquidity position of any entity meets the requirements of the Group. For these reasons, the Group is organised on a managerial perspective, according to the concept of the liquidity reference bank. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 411 The liquidity reference banks are legal entities that act in their responsibility as liquidity hub. They are in charge: • of the liquidity management and concentration process of liquidity flows of the legal entities falling within their perimeter of responsibility; • of the funding optimisation carried out on the relevant local markets and are responsible to coordinate the access to short-term and medium long-term markets of the legal entities belonging to their perimeter; • finally, of the implementation of the Group’s liquidity rules at local level in line with Group’s Governance Guideline and Policy and with local regulations. A particularly important role is played by the Parent Company, as a “supervisory and overarching liquidity reference bank” with its role of steering, coordinating, and controlling all the aspects regarding liquidity for the whole Group. The Parent Company has the responsibility to set the overall Group risk appetite and sub-allocate the limits in agreement with the liquidity reference banks and/or Legal Entities. In particular, the Parent Company functions are responsible for the following: • outlining Group overall liquidity risk management strategies; • developing liquidity risk metrics and methodologies; • setting specific limits for liquidity risk exposures, in line with the Group risk appetite; • optimising liquidity allocation amongst Legal Entities, in compliance to the local regulations and transferability limitation; • coordinating access to financial markets for liquidity management; • outlining the yearly Group funding and contingency funding plan, coordinating and monitoring their execution; • assessing the adequacy of the liquidity reserves buffers at Legal Entity and Group level; • coordinating the refinancing transactions with the ECB; • defining, periodically reviewing the Group ILAAP and approving the Group ILAAP Report on yearly basis. The Parent Company, moreover, acts as the liquidity reference bank for the Italian perimeter. The principle of “self-sufficiency” This organisational model allows self-sufficiency of the Group by accessing the local and global markets for liquidity in a controlled and coordinated way. According to Group Policies, structural liquidity surpluses can be up streamed to the Parent Company, unless legal requirements prevent it. The liquidity available at country level could be subject to restrictions due to legal, regulatory and political constraints. The so called “Large Exposure Regime”, applied throughout Europe, along with specific national laws like the “German Stock Corporation Act”, are examples of legal constraints to the free circulation of funds within a cross-border banking Group66. As a general rule, the large exposure regime, which came into force on 31 December 2010, limits interbank exposures to a maximum of 25% of Eligible Capital: this rule is also applicable to intra-group exposures. However, there are significant differences in the way in which this EU regulation has been implemented in the various countries. In many CEE countries the limit of 25% of free funds is valid, with some countries showing even stricter rules; in Austria, according to the National law, the 25% of Eligible Capital limit is not applied to exposures towards the Parent Company, if located in the European Economic Area; finally, in Germany the national Regulator has set up a process to apply for a waiver, exempting intra-group exposures from the large exposure limitation. In the absence of official limits valid at national level, Austrian and German Regulators reserve the right to judge the exposure level on a case-by-case basis. In the current economic environment, in many of the territories in which the Group operates, Banking Regulatory Authorities are adopting measures aimed at reducing the exposure of their national banking system towards foreign jurisdictions with potential negative impacts on the ability of the Group to finance its activities. For these reasons, the “Liquidity management & control group policy” provides for a further principle in order to enhance a sound liquidity risk management; each Legal Entity with market access has to increase its liquidity self-sufficiency, fostering in this way the exploitation of its strengths. In addition, the Group rule states that each LE (including the liquidity reference bank) should be self-sufficient in terms of liquidity in its local currency, either on its own or by leveraging on the relevant liquidity reference bank. This self-sufficiency principle is reflected in a specific “limit structure”: limits are set both at Group and at individual level, with the purpose of avoiding/controlling significant imbalances among Legal Entities. This type of organisation promotes the self-sufficiency of the Legal Entities, by allowing them to access the local and global markets for liquidity in a controlled and coordinated way, whilst optimising: i) the liquidity surpluses and deficits within the Group’s Legal Entities ii) the overall costs of funding across the Group. The adoption of the Single Point of Entry by the Group implies that the Holding provides internal MREL to all the other subsidiaries within Europe, representing the only exception to the self-sufficiency principle. 66 Also Banca d’Italia Rules, Circular 285, foresees that the Group should ensure the maintenance through the time of adequate reserves in each legal entity, in order to take into account possible regulatory constraints (First Part, Title IV, Chapter 6, Section III, paragraph 7). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 411 The liquidity reference banks are legal entities that act in their responsibility as liquidity hub. They are in charge: • of the liquidity management and concentration process of liquidity flows of the legal entities falling within their perimeter of responsibility; • of the funding optimisation carried out on the relevant local markets and are responsible to coordinate the access to short-term and medium long-term markets of the legal entities belonging to their perimeter; • finally, of the implementation of the Group’s liquidity rules at local level in line with Group’s Governance Guideline and Policy and with local regulations. A particularly important role is played by the Parent Company, as a “supervisory and overarching liquidity reference bank” with its role of steering, coordinating, and controlling all the aspects regarding liquidity for the whole Group. The Parent Company has the responsibility to set the overall Group risk appetite and sub-allocate the limits in agreement with the liquidity reference banks and/or Legal Entities. In particular, the Parent Company functions are responsible for the following: • outlining Group overall liquidity risk management strategies; • developing liquidity risk metrics and methodologies; • setting specific limits for liquidity risk exposures, in line with the Group risk appetite; • optimising liquidity allocation amongst Legal Entities, in compliance to the local regulations and transferability limitation; • coordinating access to financial markets for liquidity management; • outlining the yearly Group funding and contingency funding plan, coordinating and monitoring their execution; • assessing the adequacy of the liquidity reserves buffers at Legal Entity and Group level; • coordinating the refinancing transactions with the ECB; • defining, periodically reviewing the Group ILAAP and approving the Group ILAAP Report on yearly basis. The Parent Company, moreover, acts as the liquidity reference bank for the Italian perimeter. The principle of “self-sufficiency” This organisational model allows self-sufficiency of the Group by accessing the local and global markets for liquidity in a controlled and coordinated way. According to Group Policies, structural liquidity surpluses can be up streamed to the Parent Company, unless legal requirements prevent it. The liquidity available at country level could be subject to restrictions due to legal, regulatory and political constraints. The so called “Large Exposure Regime”, applied throughout Europe, along with specific national laws like the “German Stock Corporation Act”, are examples of legal constraints to the free circulation of funds within a cross-border banking Group66. As a general rule, the large exposure regime, which came into force on 31 December 2010, limits interbank exposures to a maximum of 25% of Eligible Capital: this rule is also applicable to intra-group exposures. However, there are significant differences in the way in which this EU regulation has been implemented in the various countries. In many CEE countries the limit of 25% of free funds is valid, with some countries showing even stricter rules; in Austria, according to the National law, the 25% of Eligible Capital limit is not applied to exposures towards the Parent Company, if located in the European Economic Area; finally, in Germany the national Regulator has set up a process to apply for a waiver, exempting intra-group exposures from the large exposure limitation. In the absence of official limits valid at national level, Austrian and German Regulators reserve the right to judge the exposure level on a case-by-case basis. In the current economic environment, in many of the territories in which the Group operates, Banking Regulatory Authorities are adopting measures aimed at reducing the exposure of their national banking system towards foreign jurisdictions with potential negative impacts on the ability of the Group to finance its activities. For these reasons, the “Liquidity management & control group policy” provides for a further principle in order to enhance a sound liquidity risk management; each Legal Entity with market access has to increase its liquidity self-sufficiency, fostering in this way the exploitation of its strengths. In addition, the Group rule states that each LE (including the liquidity reference bank) should be self-sufficient in terms of liquidity in its local currency, either on its own or by leveraging on the relevant liquidity reference bank. This self-sufficiency principle is reflected in a specific “limit structure”: limits are set both at Group and at individual level, with the purpose of avoiding/controlling significant imbalances among Legal Entities. This type of organisation promotes the self-sufficiency of the Legal Entities, by allowing them to access the local and global markets for liquidity in a controlled and coordinated way, whilst optimising: i) the liquidity surpluses and deficits within the Group’s Legal Entities ii) the overall costs of funding across the Group. The adoption of the Single Point of Entry by the Group implies that the Holding provides internal MREL to all the other subsidiaries within Europe, representing the only exception to the self-sufficiency principle. 66 Also Banca d’Italia Rules, Circular 285, foresees that the Group should ensure the maintenance through the time of adequate reserves in each legal entity, in order to take into account possible regulatory constraints (First Part, Title IV, Chapter 6, Section III, paragraph 7). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 411 The liquidity reference banks are legal entities that act in their responsibility as liquidity hub. They are in charge: • of the liquidity management and concentration process of liquidity flows of the legal entities falling within their perimeter of responsibility; • of the funding optimisation carried out on the relevant local markets and are responsible to coordinate the access to short-term and medium long-term markets of the legal entities belonging to their perimeter; • finally, of the implementation of the Group’s liquidity rules at local level in line with Group’s Governance Guideline and Policy and with local regulations. A particularly important role is played by the Parent Company, as a “supervisory and overarching liquidity reference bank” with its role of steering, coordinating, and controlling all the aspects regarding liquidity for the whole Group. The Parent Company has the responsibility to set the overall Group risk appetite and sub-allocate the limits in agreement with the liquidity reference banks and/or Legal Entities. In particular, the Parent Company functions are responsible for the following: • outlining Group overall liquidity risk management strategies; • developing liquidity risk metrics and methodologies; • setting specific limits for liquidity risk exposures, in line with the Group risk appetite; • optimising liquidity allocation amongst Legal Entities, in compliance to the local regulations and transferability limitation; • coordinating access to financial markets for liquidity management; • outlining the yearly Group funding and contingency funding plan, coordinating and monitoring their execution; • assessing the adequacy of the liquidity reserves buffers at Legal Entity and Group level; • coordinating the refinancing transactions with the ECB; • defining, periodically reviewing the Group ILAAP and approving the Group ILAAP Report on yearly basis. The Parent Company, moreover, acts as the liquidity reference bank for the Italian perimeter. The principle of “self-sufficiency” This organisational model allows self-sufficiency of the Group by accessing the local and global markets for liquidity in a controlled and coordinated way. According to Group Policies, structural liquidity surpluses can be up streamed to the Parent Company, unless legal requirements prevent it. The liquidity available at country level could be subject to restrictions due to legal, regulatory and political constraints. The so called “Large Exposure Regime”, applied throughout Europe, along with specific national laws like the “German Stock Corporation Act”, are examples of legal constraints to the free circulation of funds within a cross-border banking Group66. As a general rule, the large exposure regime, which came into force on 31 December 2010, limits interbank exposures to a maximum of 25% of Eligible Capital: this rule is also applicable to intra-group exposures. However, there are significant differences in the way in which this EU regulation has been implemented in the various countries. In many CEE countries the limit of 25% of free funds is valid, with some countries showing even stricter rules; in Austria, according to the National law, the 25% of Eligible Capital limit is not applied to exposures towards the Parent Company, if located in the European Economic Area; finally, in Germany the national Regulator has set up a process to apply for a waiver, exempting intra-group exposures from the large exposure limitation. In the absence of official limits valid at national level, Austrian and German Regulators reserve the right to judge the exposure level on a case-by-case basis. In the current economic environment, in many of the territories in which the Group operates, Banking Regulatory Authorities are adopting measures aimed at reducing the exposure of their national banking system towards foreign jurisdictions with potential negative impacts on the ability of the Group to finance its activities. For these reasons, the “Liquidity management & control group policy” provides for a further principle in order to enhance a sound liquidity risk management; each Legal Entity with market access has to increase its liquidity self-sufficiency, fostering in this way the exploitation of its strengths. In addition, the Group rule states that each LE (including the liquidity reference bank) should be self-sufficient in terms of liquidity in its local currency, either on its own or by leveraging on the relevant liquidity reference bank. This self-sufficiency principle is reflected in a specific “limit structure”: limits are set both at Group and at individual level, with the purpose of avoiding/controlling significant imbalances among Legal Entities. This type of organisation promotes the self-sufficiency of the Legal Entities, by allowing them to access the local and global markets for liquidity in a controlled and coordinated way, whilst optimising: i) the liquidity surpluses and deficits within the Group’s Legal Entities ii) the overall costs of funding across the Group. The adoption of the Single Point of Entry by the Group implies that the Holding provides internal MREL to all the other subsidiaries within Europe, representing the only exception to the self-sufficiency principle. 66 Also Banca d’Italia Rules, Circular 285, foresees that the Group should ensure the maintenance through the time of adequate reserves in each legal entity, in order to take into account possible regulatory constraints (First Part, Title IV, Chapter 6, Section III, paragraph 7). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 411 The liquidity reference banks are legal entities that act in their responsibility as liquidity hub. They are in charge: • of the liquidity management and concentration process of liquidity flows of the legal entities falling within their perimeter of responsibility; • of the funding optimisation carried out on the relevant local markets and are responsible to coordinate the access to short-term and medium long-term markets of the legal entities belonging to their perimeter; • finally, of the implementation of the Group’s liquidity rules at local level in line with Group’s Governance Guideline and Policy and with local regulations. A particularly important role is played by the Parent Company, as a “supervisory and overarching liquidity reference bank” with its role of steering, coordinating, and controlling all the aspects regarding liquidity for the whole Group. The Parent Company has the responsibility to set the overall Group risk appetite and sub-allocate the limits in agreement with the liquidity reference banks and/or Legal Entities. In particular, the Parent Company functions are responsible for the following: • outlining Group overall liquidity risk management strategies; • developing liquidity risk metrics and methodologies; • setting specific limits for liquidity risk exposures, in line with the Group risk appetite; • optimising liquidity allocation amongst Legal Entities, in compliance to the local regulations and transferability limitation; • coordinating access to financial markets for liquidity management; • outlining the yearly Group funding and contingency funding plan, coordinating and monitoring their execution; • assessing the adequacy of the liquidity reserves buffers at Legal Entity and Group level; • coordinating the refinancing transactions with the ECB; • defining, periodically reviewing the Group ILAAP and approving the Group ILAAP Report on yearly basis. The Parent Company, moreover, acts as the liquidity reference bank for the Italian perimeter. The principle of “self-sufficiency” This organisational model allows self-sufficiency of the Group by accessing the local and global markets for liquidity in a controlled and coordinated way. According to Group Policies, structural liquidity surpluses can be up streamed to the Parent Company, unless legal requirements prevent it. The liquidity available at country level could be subject to restrictions due to legal, regulatory and political constraints. The so called “Large Exposure Regime”, applied throughout Europe, along with specific national laws like the “German Stock Corporation Act”, are examples of legal constraints to the free circulation of funds within a cross-border banking Group66. As a general rule, the large exposure regime, which came into force on 31 December 2010, limits interbank exposures to a maximum of 25% of Eligible Capital: this rule is also applicable to intra-group exposures. However, there are significant differences in the way in which this EU regulation has been implemented in the various countries. In many CEE countries the limit of 25% of free funds is valid, with some countries showing even stricter rules; in Austria, according to the National law, the 25% of Eligible Capital limit is not applied to exposures towards the Parent Company, if located in the European Economic Area; finally, in Germany the national Regulator has set up a process to apply for a waiver, exempting intra-group exposures from the large exposure limitation. In the absence of official limits valid at national level, Austrian and German Regulators reserve the right to judge the exposure level on a case-by-case basis. In the current economic environment, in many of the territories in which the Group operates, Banking Regulatory Authorities are adopting measures aimed at reducing the exposure of their national banking system towards foreign jurisdictions with potential negative impacts on the ability of the Group to finance its activities. For these reasons, the “Liquidity management & control group policy” provides for a further principle in order to enhance a sound liquidity risk management; each Legal Entity with market access has to increase its liquidity self-sufficiency, fostering in this way the exploitation of its strengths. In addition, the Group rule states that each LE (including the liquidity reference bank) should be self-sufficient in terms of liquidity in its local currency, either on its own or by leveraging on the relevant liquidity reference bank. This self-sufficiency principle is reflected in a specific “limit structure”: limits are set both at Group and at individual level, with the purpose of avoiding/controlling significant imbalances among Legal Entities. This type of organisation promotes the self-sufficiency of the Legal Entities, by allowing them to access the local and global markets for liquidity in a controlled and coordinated way, whilst optimising: i) the liquidity surpluses and deficits within the Group’s Legal Entities ii) the overall costs of funding across the Group. The adoption of the Single Point of Entry by the Group implies that the Holding provides internal MREL to all the other subsidiaries within Europe, representing the only exception to the self-sufficiency principle. 66 Also Banca d’Italia Rules, Circular 285, foresees that the Group should ensure the maintenance through the time of adequate reserves in each legal entity, in order to take into account possible regulatory constraints (First Part, Title IV, Chapter 6, Section III, paragraph 7). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 411 The liquidity reference banks are legal entities that act in their responsibility as liquidity hub. They are in charge: • of the liquidity management and concentration process of liquidity flows of the legal entities falling within their perimeter of responsibility; • of the funding optimisation carried out on the relevant local markets and are responsible to coordinate the access to short-term and medium long-term markets of the legal entities belonging to their perimeter; • finally, of the implementation of the Group’s liquidity rules at local level in line with Group’s Governance Guideline and Policy and with local regulations. A particularly important role is played by the Parent Company, as a “supervisory and overarching liquidity reference bank” with its role of steering, coordinating, and controlling all the aspects regarding liquidity for the whole Group. The Parent Company has the responsibility to set the overall Group risk appetite and sub-allocate the limits in agreement with the liquidity reference banks and/or Legal Entities. In particular, the Parent Company functions are responsible for the following: • outlining Group overall liquidity risk management strategies; • developing liquidity risk metrics and methodologies; • setting specific limits for liquidity risk exposures, in line with the Group risk appetite; • optimising liquidity allocation amongst Legal Entities, in compliance to the local regulations and transferability limitation; • coordinating access to financial markets for liquidity management; • outlining the yearly Group funding and contingency funding plan, coordinating and monitoring their execution; • assessing the adequacy of the liquidity reserves buffers at Legal Entity and Group level; • coordinating the refinancing transactions with the ECB; • defining, periodically reviewing the Group ILAAP and approving the Group ILAAP Report on yearly basis. The Parent Company, moreover, acts as the liquidity reference bank for the Italian perimeter. The principle of “self-sufficiency” This organisational model allows self-sufficiency of the Group by accessing the local and global markets for liquidity in a controlled and coordinated way. According to Group Policies, structural liquidity surpluses can be up streamed to the Parent Company, unless legal requirements prevent it. The liquidity available at country level could be subject to restrictions due to legal, regulatory and political constraints. The so called “Large Exposure Regime”, applied throughout Europe, along with specific national laws like the “German Stock Corporation Act”, are examples of legal constraints to the free circulation of funds within a cross-border banking Group66. As a general rule, the large exposure regime, which came into force on 31 December 2010, limits interbank exposures to a maximum of 25% of Eligible Capital: this rule is also applicable to intra-group exposures. However, there are significant differences in the way in which this EU regulation has been implemented in the various countries. In many CEE countries the limit of 25% of free funds is valid, with some countries showing even stricter rules; in Austria, according to the National law, the 25% of Eligible Capital limit is not applied to exposures towards the Parent Company, if located in the European Economic Area; finally, in Germany the national Regulator has set up a process to apply for a waiver, exempting intra-group exposures from the large exposure limitation. In the absence of official limits valid at national level, Austrian and German Regulators reserve the right to judge the exposure level on a case-by-case basis. In the current economic environment, in many of the territories in which the Group operates, Banking Regulatory Authorities are adopting measures aimed at reducing the exposure of their national banking system towards foreign jurisdictions with potential negative impacts on the ability of the Group to finance its activities. For these reasons, the “Liquidity management & control group policy” provides for a further principle in order to enhance a sound liquidity risk management; each Legal Entity with market access has to increase its liquidity self-sufficiency, fostering in this way the exploitation of its strengths. In addition, the Group rule states that each LE (including the liquidity reference bank) should be self-sufficient in terms of liquidity in its local currency, either on its own or by leveraging on the relevant liquidity reference bank. This self-sufficiency principle is reflected in a specific “limit structure”: limits are set both at Group and at individual level, with the purpose of avoiding/controlling significant imbalances among Legal Entities. This type of organisation promotes the self-sufficiency of the Legal Entities, by allowing them to access the local and global markets for liquidity in a controlled and coordinated way, whilst optimising: i) the liquidity surpluses and deficits within the Group’s Legal Entities ii) the overall costs of funding across the Group. The adoption of the Single Point of Entry by the Group implies that the Holding provides internal MREL to all the other subsidiaries within Europe, representing the only exception to the self-sufficiency principle. 66 Also Banca d’Italia Rules, Circular 285, foresees that the Group should ensure the maintenance through the time of adequate reserves in each legal entity, in order to take into account possible regulatory constraints (First Part, Title IV, Chapter 6, Section III, paragraph 7). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 412 2021 Annual Report and Accounts · UniCredit Roles and responsibilities At Group level, three main functions are identified in the management of the liquidity: the Group Risk Management competence line, the Group Financial Office competence line, and the Group Treasury function (within the “Markets” Business Unit), each with different roles and responsibilities. In particular, the operational responsibilities reside in the Finance and the Treasury functions, while the Risk Management function has responsibilities of independent controls and independent reporting compared to the operational functions (in line with the current requirements of Banca d’Italia). Specifically, the Risk Management function is responsible for the independent control of liquidity risk and of balance sheet interest rate and FX risk at Group level and for the internal and regulatory stress testing. In detail: • defining policies and methodologies for measuring and controlling the liquidity risk and developing, updating and presenting the independent internal risk reports/assessments to internal competent functions (second level controls); • putting in place a strong and comprehensive internal limit and control framework to mitigate or limit the liquidity risk in line with the risk tolerance in order to monitor the different material drivers of liquidity risk; • contributing to the setting of the risk appetite framework; • assessing and monitoring liquidity risk exposure trends at Group and Country level and confronting them with the respective limits and triggers; • verifying the correct implementation of the agreed mapping rules; • performing an independent assessment of the Funding Plan and of the Contingency Funding Plan as well as monitoring their execution; • developing and performing the liquidity stress test at Group level, analysing the outcome, delineating new scenarios to be taken into account and centralising the action plan relating to the stress test results; it is also responsible of periodically reviewing the liquidity stress test framework; • monitoring the liquidity risk and producing regular risk reporting at Group level in alignment with Basel Committee’s “Principles for effective risk data aggregation and risk reporting”, setting common standards in terms of presentations and communications; • performing internal validation activities at Group level on systems for measuring liquidity risks on related processes and data quality and IT components, as well as on models for pricing financial instruments in order to check that they are conform to regulatory requirements and in-house standards; • developing and back testing the behavioural models for the measurement of the liquidity risk; • validating, controlling the implementation and releases independent assessments on the models to map the liquidity profile of balance sheet items (i.e. deposit stickiness, prepayment, behavioral models, etc.). Group Treasury acts as main coordinator in the management of infra-group flows, stemming from liquidity deficits or surplus of the various Group’s Legal Entities, and applies the appropriate transfer prices to such funds’ movements. By doing so, Group Treasury ensures a disciplined and efficient access to the markets. Group Finance competence line is responsible for the coordination of the overall financial planning process at Group, liquidity reference banks and relevant LEs level, aiming to efficiently ensure the stability and the sustainability of the financial structure through time, addressing assets and liabilities composition and maturities, in compliance with the limits and triggers set for liquidity and balance sheet metrics. It is also responsible for the execution of the medium long term Group’s funding strategy (including securitisation operations), coordinating the access to national and international capital markets for all the liquidity reference banks and relevant LEs, exploiting local market opportunities in order to reduce the costs of funding and diversify the financing sources. In addition to this, the function performs first level controls on liquidity positions managed by Group Finance and Group Treasury aimed at ensuring the proper P&L and liquidity workflow of the operations and defines conditions and rules for transfer price application. All the relevant issues that concern the liquidity risk and management perspective of the Group are discussed in GFRC (Group Financial & Credit Risks committee - Financial Risk session). The Committee is responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing, across Liquidity Reference Banks, Business Functions and Legal Entities, with the aim to optimize the usage of financial resources (e.g. liquidity and capital) in coherence with Risk Appetite and Business Strategies. It is also responsible for the approval of the Financial Plan Funding Plan, Ordinary Counterbalancing Capacity Plan and Contingency Funding Plan to be submitted to the Board by the CEO as well as for evaluating the impact of transactions significantly affecting the overall financial risk portfolio profile. The optimisation of liquidity risks is pursued through the setting of specific limits on the standard banking activity of transforming short, medium and long-term maturities. This is implemented in accordance with legal and regulatory framework in each country and internal rules and policies of the Group companies through management models in place within the individual liquidity reference banks. Such models are subject to analyses carried out by the local Risk Management or equivalent structure with the same responsibilities in coordination with the Group’s Risk Management to ensure that they comply with the metrics and the objectives of the Group’s liquidity framework. In addition, the regional rules must comply with national laws and regulatory requirements. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 412 2021 Annual Report and Accounts · UniCredit Roles and responsibilities At Group level, three main functions are identified in the management of the liquidity: the Group Risk Management competence line, the Group Financial Office competence line, and the Group Treasury function (within the “Markets” Business Unit), each with different roles and responsibilities. In particular, the operational responsibilities reside in the Finance and the Treasury functions, while the Risk Management function has responsibilities of independent controls and independent reporting compared to the operational functions (in line with the current requirements of Banca d’Italia). Specifically, the Risk Management function is responsible for the independent control of liquidity risk and of balance sheet interest rate and FX risk at Group level and for the internal and regulatory stress testing. In detail: • defining policies and methodologies for measuring and controlling the liquidity risk and developing, updating and presenting the independent internal risk reports/assessments to internal competent functions (second level controls); • putting in place a strong and comprehensive internal limit and control framework to mitigate or limit the liquidity risk in line with the risk tolerance in order to monitor the different material drivers of liquidity risk; • contributing to the setting of the risk appetite framework; • assessing and monitoring liquidity risk exposure trends at Group and Country level and confronting them with the respective limits and triggers; • verifying the correct implementation of the agreed mapping rules; • performing an independent assessment of the Funding Plan and of the Contingency Funding Plan as well as monitoring their execution; • developing and performing the liquidity stress test at Group level, analysing the outcome, delineating new scenarios to be taken into account and centralising the action plan relating to the stress test results; it is also responsible of periodically reviewing the liquidity stress test framework; • monitoring the liquidity risk and producing regular risk reporting at Group level in alignment with Basel Committee’s “Principles for effective risk data aggregation and risk reporting”, setting common standards in terms of presentations and communications; • performing internal validation activities at Group level on systems for measuring liquidity risks on related processes and data quality and IT components, as well as on models for pricing financial instruments in order to check that they are conform to regulatory requirements and in-house standards; • developing and back testing the behavioural models for the measurement of the liquidity risk; • validating, controlling the implementation and releases independent assessments on the models to map the liquidity profile of balance sheet items (i.e. deposit stickiness, prepayment, behavioral models, etc.). Group Treasury acts as main coordinator in the management of infra-group flows, stemming from liquidity deficits or surplus of the various Group’s Legal Entities, and applies the appropriate transfer prices to such funds’ movements. By doing so, Group Treasury ensures a disciplined and efficient access to the markets. Group Finance competence line is responsible for the coordination of the overall financial planning process at Group, liquidity reference banks and relevant LEs level, aiming to efficiently ensure the stability and the sustainability of the financial structure through time, addressing assets and liabilities composition and maturities, in compliance with the limits and triggers set for liquidity and balance sheet metrics. It is also responsible for the execution of the medium long term Group’s funding strategy (including securitisation operations), coordinating the access to national and international capital markets for all the liquidity reference banks and relevant LEs, exploiting local market opportunities in order to reduce the costs of funding and diversify the financing sources. In addition to this, the function performs first level controls on liquidity positions managed by Group Finance and Group Treasury aimed at ensuring the proper P&L and liquidity workflow of the operations and defines conditions and rules for transfer price application. All the relevant issues that concern the liquidity risk and management perspective of the Group are discussed in GFRC (Group Financial & Credit Risks committee - Financial Risk session). The Committee is responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing, across Liquidity Reference Banks, Business Functions and Legal Entities, with the aim to optimize the usage of financial resources (e.g. liquidity and capital) in coherence with Risk Appetite and Business Strategies. It is also responsible for the approval of the Financial Plan Funding Plan, Ordinary Counterbalancing Capacity Plan and Contingency Funding Plan to be submitted to the Board by the CEO as well as for evaluating the impact of transactions significantly affecting the overall financial risk portfolio profile. The optimisation of liquidity risks is pursued through the setting of specific limits on the standard banking activity of transforming short, medium and long-term maturities. This is implemented in accordance with legal and regulatory framework in each country and internal rules and policies of the Group companies through management models in place within the individual liquidity reference banks. Such models are subject to analyses carried out by the local Risk Management or equivalent structure with the same responsibilities in coordination with the Group’s Risk Management to ensure that they comply with the metrics and the objectives of the Group’s liquidity framework. In addition, the regional rules must comply with national laws and regulatory requirements. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 412 2021 Annual Report and Accounts · UniCredit Roles and responsibilities At Group level, three main functions are identified in the management of the liquidity: the Group Risk Management competence line, the Group Financial Office competence line, and the Group Treasury function (within the “Markets” Business Unit), each with different roles and responsibilities. In particular, the operational responsibilities reside in the Finance and the Treasury functions, while the Risk Management function has responsibilities of independent controls and independent reporting compared to the operational functions (in line with the current requirements of Banca d’Italia). Specifically, the Risk Management function is responsible for the independent control of liquidity risk and of balance sheet interest rate and FX risk at Group level and for the internal and regulatory stress testing. In detail: • defining policies and methodologies for measuring and controlling the liquidity risk and developing, updating and presenting the independent internal risk reports/assessments to internal competent functions (second level controls); • putting in place a strong and comprehensive internal limit and control framework to mitigate or limit the liquidity risk in line with the risk tolerance in order to monitor the different material drivers of liquidity risk; • contributing to the setting of the risk appetite framework; • assessing and monitoring liquidity risk exposure trends at Group and Country level and confronting them with the respective limits and triggers; • verifying the correct implementation of the agreed mapping rules; • performing an independent assessment of the Funding Plan and of the Contingency Funding Plan as well as monitoring their execution; • developing and performing the liquidity stress test at Group level, analysing the outcome, delineating new scenarios to be taken into account and centralising the action plan relating to the stress test results; it is also responsible of periodically reviewing the liquidity stress test framework; • monitoring the liquidity risk and producing regular risk reporting at Group level in alignment with Basel Committee’s “Principles for effective risk data aggregation and risk reporting”, setting common standards in terms of presentations and communications; • performing internal validation activities at Group level on systems for measuring liquidity risks on related processes and data quality and IT components, as well as on models for pricing financial instruments in order to check that they are conform to regulatory requirements and in-house standards; • developing and back testing the behavioural models for the measurement of the liquidity risk; • validating, controlling the implementation and releases independent assessments on the models to map the liquidity profile of balance sheet items (i.e. deposit stickiness, prepayment, behavioral models, etc.). Group Treasury acts as main coordinator in the management of infra-group flows, stemming from liquidity deficits or surplus of the various Group’s Legal Entities, and applies the appropriate transfer prices to such funds’ movements. By doing so, Group Treasury ensures a disciplined and efficient access to the markets. Group Finance competence line is responsible for the coordination of the overall financial planning process at Group, liquidity reference banks and relevant LEs level, aiming to efficiently ensure the stability and the sustainability of the financial structure through time, addressing assets and liabilities composition and maturities, in compliance with the limits and triggers set for liquidity and balance sheet metrics. It is also responsible for the execution of the medium long term Group’s funding strategy (including securitisation operations), coordinating the access to national and international capital markets for all the liquidity reference banks and relevant LEs, exploiting local market opportunities in order to reduce the costs of funding and diversify the financing sources. In addition to this, the function performs first level controls on liquidity positions managed by Group Finance and Group Treasury aimed at ensuring the proper P&L and liquidity workflow of the operations and defines conditions and rules for transfer price application. All the relevant issues that concern the liquidity risk and management perspective of the Group are discussed in GFRC (Group Financial & Credit Risks committee - Financial Risk session). The Committee is responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing, across Liquidity Reference Banks, Business Functions and Legal Entities, with the aim to optimize the usage of financial resources (e.g. liquidity and capital) in coherence with Risk Appetite and Business Strategies. It is also responsible for the approval of the Financial Plan Funding Plan, Ordinary Counterbalancing Capacity Plan and Contingency Funding Plan to be submitted to the Board by the CEO as well as for evaluating the impact of transactions significantly affecting the overall financial risk portfolio profile. The optimisation of liquidity risks is pursued through the setting of specific limits on the standard banking activity of transforming short, medium and long-term maturities. This is implemented in accordance with legal and regulatory framework in each country and internal rules and policies of the Group companies through management models in place within the individual liquidity reference banks. Such models are subject to analyses carried out by the local Risk Management or equivalent structure with the same responsibilities in coordination with the Group’s Risk Management to ensure that they comply with the metrics and the objectives of the Group’s liquidity framework. In addition, the regional rules must comply with national laws and regulatory requirements. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 412 2021 Annual Report and Accounts · UniCredit Roles and responsibilities At Group level, three main functions are identified in the management of the liquidity: the Group Risk Management competence line, the Group Financial Office competence line, and the Group Treasury function (within the “Markets” Business Unit), each with different roles and responsibilities. In particular, the operational responsibilities reside in the Finance and the Treasury functions, while the Risk Management function has responsibilities of independent controls and independent reporting compared to the operational functions (in line with the current requirements of Banca d’Italia). Specifically, the Risk Management function is responsible for the independent control of liquidity risk and of balance sheet interest rate and FX risk at Group level and for the internal and regulatory stress testing. In detail: • defining policies and methodologies for measuring and controlling the liquidity risk and developing, updating and presenting the independent internal risk reports/assessments to internal competent functions (second level controls); • putting in place a strong and comprehensive internal limit and control framework to mitigate or limit the liquidity risk in line with the risk tolerance in order to monitor the different material drivers of liquidity risk; • contributing to the setting of the risk appetite framework; • assessing and monitoring liquidity risk exposure trends at Group and Country level and confronting them with the respective limits and triggers; • verifying the correct implementation of the agreed mapping rules; • performing an independent assessment of the Funding Plan and of the Contingency Funding Plan as well as monitoring their execution; • developing and performing the liquidity stress test at Group level, analysing the outcome, delineating new scenarios to be taken into account and centralising the action plan relating to the stress test results; it is also responsible of periodically reviewing the liquidity stress test framework; • monitoring the liquidity risk and producing regular risk reporting at Group level in alignment with Basel Committee’s “Principles for effective risk data aggregation and risk reporting”, setting common standards in terms of presentations and communications; • performing internal validation activities at Group level on systems for measuring liquidity risks on related processes and data quality and IT components, as well as on models for pricing financial instruments in order to check that they are conform to regulatory requirements and in-house standards; • developing and back testing the behavioural models for the measurement of the liquidity risk; • validating, controlling the implementation and releases independent assessments on the models to map the liquidity profile of balance sheet items (i.e. deposit stickiness, prepayment, behavioral models, etc.). Group Treasury acts as main coordinator in the management of infra-group flows, stemming from liquidity deficits or surplus of the various Group’s Legal Entities, and applies the appropriate transfer prices to such funds’ movements. By doing so, Group Treasury ensures a disciplined and efficient access to the markets. Group Finance competence line is responsible for the coordination of the overall financial planning process at Group, liquidity reference banks and relevant LEs level, aiming to efficiently ensure the stability and the sustainability of the financial structure through time, addressing assets and liabilities composition and maturities, in compliance with the limits and triggers set for liquidity and balance sheet metrics. It is also responsible for the execution of the medium long term Group’s funding strategy (including securitisation operations), coordinating the access to national and international capital markets for all the liquidity reference banks and relevant LEs, exploiting local market opportunities in order to reduce the costs of funding and diversify the financing sources. In addition to this, the function performs first level controls on liquidity positions managed by Group Finance and Group Treasury aimed at ensuring the proper P&L and liquidity workflow of the operations and defines conditions and rules for transfer price application. All the relevant issues that concern the liquidity risk and management perspective of the Group are discussed in GFRC (Group Financial & Credit Risks committee - Financial Risk session). The Committee is responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing, across Liquidity Reference Banks, Business Functions and Legal Entities, with the aim to optimize the usage of financial resources (e.g. liquidity and capital) in coherence with Risk Appetite and Business Strategies. It is also responsible for the approval of the Financial Plan Funding Plan, Ordinary Counterbalancing Capacity Plan and Contingency Funding Plan to be submitted to the Board by the CEO as well as for evaluating the impact of transactions significantly affecting the overall financial risk portfolio profile. The optimisation of liquidity risks is pursued through the setting of specific limits on the standard banking activity of transforming short, medium and long-term maturities. This is implemented in accordance with legal and regulatory framework in each country and internal rules and policies of the Group companies through management models in place within the individual liquidity reference banks. Such models are subject to analyses carried out by the local Risk Management or equivalent structure with the same responsibilities in coordination with the Group’s Risk Management to ensure that they comply with the metrics and the objectives of the Group’s liquidity framework. In addition, the regional rules must comply with national laws and regulatory requirements. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 412 2021 Annual Report and Accounts · UniCredit Roles and responsibilities At Group level, three main functions are identified in the management of the liquidity: the Group Risk Management competence line, the Group Financial Office competence line, and the Group Treasury function (within the “Markets” Business Unit), each with different roles and responsibilities. In particular, the operational responsibilities reside in the Finance and the Treasury functions, while the Risk Management function has responsibilities of independent controls and independent reporting compared to the operational functions (in line with the current requirements of Banca d’Italia). Specifically, the Risk Management function is responsible for the independent control of liquidity risk and of balance sheet interest rate and FX risk at Group level and for the internal and regulatory stress testing. In detail: • defining policies and methodologies for measuring and controlling the liquidity risk and developing, updating and presenting the independent internal risk reports/assessments to internal competent functions (second level controls); • putting in place a strong and comprehensive internal limit and control framework to mitigate or limit the liquidity risk in line with the risk tolerance in order to monitor the different material drivers of liquidity risk; • contributing to the setting of the risk appetite framework; • assessing and monitoring liquidity risk exposure trends at Group and Country level and confronting them with the respective limits and triggers; • verifying the correct implementation of the agreed mapping rules; • performing an independent assessment of the Funding Plan and of the Contingency Funding Plan as well as monitoring their execution; • developing and performing the liquidity stress test at Group level, analysing the outcome, delineating new scenarios to be taken into account and centralising the action plan relating to the stress test results; it is also responsible of periodically reviewing the liquidity stress test framework; • monitoring the liquidity risk and producing regular risk reporting at Group level in alignment with Basel Committee’s “Principles for effective risk data aggregation and risk reporting”, setting common standards in terms of presentations and communications; • performing internal validation activities at Group level on systems for measuring liquidity risks on related processes and data quality and IT components, as well as on models for pricing financial instruments in order to check that they are conform to regulatory requirements and in-house standards; • developing and back testing the behavioural models for the measurement of the liquidity risk; • validating, controlling the implementation and releases independent assessments on the models to map the liquidity profile of balance sheet items (i.e. deposit stickiness, prepayment, behavioral models, etc.). Group Treasury acts as main coordinator in the management of infra-group flows, stemming from liquidity deficits or surplus of the various Group’s Legal Entities, and applies the appropriate transfer prices to such funds’ movements. By doing so, Group Treasury ensures a disciplined and efficient access to the markets. Group Finance competence line is responsible for the coordination of the overall financial planning process at Group, liquidity reference banks and relevant LEs level, aiming to efficiently ensure the stability and the sustainability of the financial structure through time, addressing assets and liabilities composition and maturities, in compliance with the limits and triggers set for liquidity and balance sheet metrics. It is also responsible for the execution of the medium long term Group’s funding strategy (including securitisation operations), coordinating the access to national and international capital markets for all the liquidity reference banks and relevant LEs, exploiting local market opportunities in order to reduce the costs of funding and diversify the financing sources. In addition to this, the function performs first level controls on liquidity positions managed by Group Finance and Group Treasury aimed at ensuring the proper P&L and liquidity workflow of the operations and defines conditions and rules for transfer price application. All the relevant issues that concern the liquidity risk and management perspective of the Group are discussed in GFRC (Group Financial & Credit Risks committee - Financial Risk session). The Committee is responsible for approving strategies, policies and methodologies for Financial Risks and for the monitoring of risks related to Fund Transfer Pricing, across Liquidity Reference Banks, Business Functions and Legal Entities, with the aim to optimize the usage of financial resources (e.g. liquidity and capital) in coherence with Risk Appetite and Business Strategies. It is also responsible for the approval of the Financial Plan Funding Plan, Ordinary Counterbalancing Capacity Plan and Contingency Funding Plan to be submitted to the Board by the CEO as well as for evaluating the impact of transactions significantly affecting the overall financial risk portfolio profile. The optimisation of liquidity risks is pursued through the setting of specific limits on the standard banking activity of transforming short, medium and long-term maturities. This is implemented in accordance with legal and regulatory framework in each country and internal rules and policies of the Group companies through management models in place within the individual liquidity reference banks. Such models are subject to analyses carried out by the local Risk Management or equivalent structure with the same responsibilities in coordination with the Group’s Risk Management to ensure that they comply with the metrics and the objectives of the Group’s liquidity framework. In addition, the regional rules must comply with national laws and regulatory requirements. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 413 Risk measurement and reporting systems Techniques for risk measurement The different types of liquidity risk managed by the bank are: • short term liquidity risk refers to the risk of non-conformity between the amounts and/or the maturities of cash inflows and cash outflows in the short term (below one year); • market liquidity risk is the risk that the bank may face a considerable (and unfavourable) price change generated by exogenous or endogenous factors and incur losses because of the sale of assets deemed to be liquid. In the worst case, the bank might not be able to liquidate such positions; • intraday liquidity risk appears when a bank is not able to meet payment and settlement obligations on a timely manner basis under both normal and stressed conditions; • structural liquidity risk is defined as the inability to raise the necessary funds to maintain an adequate ratio between medium to long-term (over one year) assets and liabilities at reasonable pricing level, in a stable and sustainable way, without affecting the daily operations or the financial condition of the Bank. It could have a potential impact on the cost of funding (own credit and market funding spreads), affecting future income of the institution; • contingency risk, or stress liquidity relates to future and unexpected obligations (i. e. draw on committed facilities, deposits withdrawal, increase in collateral pledging) and could require the bank a greater amount of liquidity compared to what is considered the amount to run the ordinary business; • intragroup liquidity risk, that might generate from an excessive exposure or dependency towards/from specific Group counterparts; • funding concentration risk arises when the bank leverages on such a limited number of funding sources, that they become of such significance that the withdrawal of one or few could trigger liquidity problems; • foreign exchange liquidity risk, generated by the current and projected liquidity mismatch between cash inflows and cash outflows in foreign currencies (refinancing risk) or related with the maturity distribution of the assets and liabilities in foreign currencies (foreign currency structural mismatch risk). The exposure of the Group and its Legal Entities to any of these risks is measured by associating to any of them a metric or a set of metrics. Every Legal Entity of the Group is exposed to the above-mentioned risks at a different extent: a materiality analysis is performed in order to define the perimeter of the liquidity risk management and control. Liquidity risk, for its particular nature, is addressed by means of gap analyses, liquidity stress testing, and complementary measures (mainly through a set of indicators, among which: loans to deposits gap, liquidity coverage ratio). In particular, gap analyses are performed within two distinct time horizons: • liquidity imbalance mismatch approach on a daily basis, which controls the short-term liquidity risk arising from the overnight up to 12 months maturity; • gap ratios on a monthly basis, which control the medium to long-term risk (structural liquidity) from the 1-year maturity onwards. Strategies and processes to manage the liquidity risk The Group’s liquidity framework is based upon the Liquidity Risk Mismatch Model which is characterised by the following fundamental principles: • short-term liquidity risk management (operational liquidity), which considers the events that will impact upon the Group’s liquidity position from 1 day up to one year. The primary objective is to maintain the Group’s capacity to fulfil its ordinary and extraordinary payment obligations while minimising the relevant costs. • structural liquidity risk management (structural risk), which considers the events that will impact upon the Group’s liquidity position over one year. The primary objective is to maintain an adequate ratio between medium/long term liabilities and medium to long-term assets, with a view to avoid pressures on short-term funding sources (both current and future), while in the meantime optimising the cost of funding; • stress tests: Liquidity risk is a low probability, high impact event. Therefore, stress testing is an excellent tool to reveal potential vulnerabilities in the balance sheet. The Bank uses several scenarios ranging from general market crisis to idiosyncratic crisis, and a combination hereof. In this context, the Parent Company takes into account all assets, liabilities, off-balance sheet positions and also both present and future events which generate certain or potential cash flows for the Group, thereby protecting the Group Banks/Companies from risks relating to the transformation of maturity. In addition, the liquidity risk is included in the Group’s risk appetite framework through some specific liquidity indicators. Short-term liquidity management Short-term liquidity management aims at ensuring that the Group remains in a position to fulfil its cash payment obligations, whether expected or unexpected, focused on the exposure for the first 12 months. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 413 Risk measurement and reporting systems Techniques for risk measurement The different types of liquidity risk managed by the bank are: • short term liquidity risk refers to the risk of non-conformity between the amounts and/or the maturities of cash inflows and cash outflows in the short term (below one year); • market liquidity risk is the risk that the bank may face a considerable (and unfavourable) price change generated by exogenous or endogenous factors and incur losses because of the sale of assets deemed to be liquid. In the worst case, the bank might not be able to liquidate such positions; • intraday liquidity risk appears when a bank is not able to meet payment and settlement obligations on a timely manner basis under both normal and stressed conditions; • structural liquidity risk is defined as the inability to raise the necessary funds to maintain an adequate ratio between medium to long-term (over one year) assets and liabilities at reasonable pricing level, in a stable and sustainable way, without affecting the daily operations or the financial condition of the Bank. It could have a potential impact on the cost of funding (own credit and market funding spreads), affecting future income of the institution; • contingency risk, or stress liquidity relates to future and unexpected obligations (i. e. draw on committed facilities, deposits withdrawal, increase in collateral pledging) and could require the bank a greater amount of liquidity compared to what is considered the amount to run the ordinary business; • intragroup liquidity risk, that might generate from an excessive exposure or dependency towards/from specific Group counterparts; • funding concentration risk arises when the bank leverages on such a limited number of funding sources, that they become of such significance that the withdrawal of one or few could trigger liquidity problems; • foreign exchange liquidity risk, generated by the current and projected liquidity mismatch between cash inflows and cash outflows in foreign currencies (refinancing risk) or related with the maturity distribution of the assets and liabilities in foreign currencies (foreign currency structural mismatch risk). The exposure of the Group and its Legal Entities to any of these risks is measured by associating to any of them a metric or a set of metrics. Every Legal Entity of the Group is exposed to the above-mentioned risks at a different extent: a materiality analysis is performed in order to define the perimeter of the liquidity risk management and control. Liquidity risk, for its particular nature, is addressed by means of gap analyses, liquidity stress testing, and complementary measures (mainly through a set of indicators, among which: loans to deposits gap, liquidity coverage ratio). In particular, gap analyses are performed within two distinct time horizons: • liquidity imbalance mismatch approach on a daily basis, which controls the short-term liquidity risk arising from the overnight up to 12 months maturity; • gap ratios on a monthly basis, which control the medium to long-term risk (structural liquidity) from the 1-year maturity onwards. Strategies and processes to manage the liquidity risk The Group’s liquidity framework is based upon the Liquidity Risk Mismatch Model which is characterised by the following fundamental principles: • short-term liquidity risk management (operational liquidity), which considers the events that will impact upon the Group’s liquidity position from 1 day up to one year. The primary objective is to maintain the Group’s capacity to fulfil its ordinary and extraordinary payment obligations while minimising the relevant costs. • structural liquidity risk management (structural risk), which considers the events that will impact upon the Group’s liquidity position over one year. The primary objective is to maintain an adequate ratio between medium/long term liabilities and medium to long-term assets, with a view to avoid pressures on short-term funding sources (both current and future), while in the meantime optimising the cost of funding; • stress tests: Liquidity risk is a low probability, high impact event. Therefore, stress testing is an excellent tool to reveal potential vulnerabilities in the balance sheet. The Bank uses several scenarios ranging from general market crisis to idiosyncratic crisis, and a combination hereof. In this context, the Parent Company takes into account all assets, liabilities, off-balance sheet positions and also both present and future events which generate certain or potential cash flows for the Group, thereby protecting the Group Banks/Companies from risks relating to the transformation of maturity. In addition, the liquidity risk is included in the Group’s risk appetite framework through some specific liquidity indicators. Short-term liquidity management Short-term liquidity management aims at ensuring that the Group remains in a position to fulfil its cash payment obligations, whether expected or unexpected, focused on the exposure for the first 12 months. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 413 Risk measurement and reporting systems Techniques for risk measurement The different types of liquidity risk managed by the bank are: • short term liquidity risk refers to the risk of non-conformity between the amounts and/or the maturities of cash inflows and cash outflows in the short term (below one year); • market liquidity risk is the risk that the bank may face a considerable (and unfavourable) price change generated by exogenous or endogenous factors and incur losses because of the sale of assets deemed to be liquid. In the worst case, the bank might not be able to liquidate such positions; • intraday liquidity risk appears when a bank is not able to meet payment and settlement obligations on a timely manner basis under both normal and stressed conditions; • structural liquidity risk is defined as the inability to raise the necessary funds to maintain an adequate ratio between medium to long-term (over one year) assets and liabilities at reasonable pricing level, in a stable and sustainable way, without affecting the daily operations or the financial condition of the Bank. It could have a potential impact on the cost of funding (own credit and market funding spreads), affecting future income of the institution; • contingency risk, or stress liquidity relates to future and unexpected obligations (i. e. draw on committed facilities, deposits withdrawal, increase in collateral pledging) and could require the bank a greater amount of liquidity compared to what is considered the amount to run the ordinary business; • intragroup liquidity risk, that might generate from an excessive exposure or dependency towards/from specific Group counterparts; • funding concentration risk arises when the bank leverages on such a limited number of funding sources, that they become of such significance that the withdrawal of one or few could trigger liquidity problems; • foreign exchange liquidity risk, generated by the current and projected liquidity mismatch between cash inflows and cash outflows in foreign currencies (refinancing risk) or related with the maturity distribution of the assets and liabilities in foreign currencies (foreign currency structural mismatch risk). The exposure of the Group and its Legal Entities to any of these risks is measured by associating to any of them a metric or a set of metrics. Every Legal Entity of the Group is exposed to the above-mentioned risks at a different extent: a materiality analysis is performed in order to define the perimeter of the liquidity risk management and control. Liquidity risk, for its particular nature, is addressed by means of gap analyses, liquidity stress testing, and complementary measures (mainly through a set of indicators, among which: loans to deposits gap, liquidity coverage ratio). In particular, gap analyses are performed within two distinct time horizons: • liquidity imbalance mismatch approach on a daily basis, which controls the short-term liquidity risk arising from the overnight up to 12 months maturity; • gap ratios on a monthly basis, which control the medium to long-term risk (structural liquidity) from the 1-year maturity onwards. Strategies and processes to manage the liquidity risk The Group’s liquidity framework is based upon the Liquidity Risk Mismatch Model which is characterised by the following fundamental principles: • short-term liquidity risk management (operational liquidity), which considers the events that will impact upon the Group’s liquidity position from 1 day up to one year. The primary objective is to maintain the Group’s capacity to fulfil its ordinary and extraordinary payment obligations while minimising the relevant costs. • structural liquidity risk management (structural risk), which considers the events that will impact upon the Group’s liquidity position over one year. The primary objective is to maintain an adequate ratio between medium/long term liabilities and medium to long-term assets, with a view to avoid pressures on short-term funding sources (both current and future), while in the meantime optimising the cost of funding; • stress tests: Liquidity risk is a low probability, high impact event. Therefore, stress testing is an excellent tool to reveal potential vulnerabilities in the balance sheet. The Bank uses several scenarios ranging from general market crisis to idiosyncratic crisis, and a combination hereof. In this context, the Parent Company takes into account all assets, liabilities, off-balance sheet positions and also both present and future events which generate certain or potential cash flows for the Group, thereby protecting the Group Banks/Companies from risks relating to the transformation of maturity. In addition, the liquidity risk is included in the Group’s risk appetite framework through some specific liquidity indicators. Short-term liquidity management Short-term liquidity management aims at ensuring that the Group remains in a position to fulfil its cash payment obligations, whether expected or unexpected, focused on the exposure for the first 12 months. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 413 Risk measurement and reporting systems Techniques for risk measurement The different types of liquidity risk managed by the bank are: • short term liquidity risk refers to the risk of non-conformity between the amounts and/or the maturities of cash inflows and cash outflows in the short term (below one year); • market liquidity risk is the risk that the bank may face a considerable (and unfavourable) price change generated by exogenous or endogenous factors and incur losses because of the sale of assets deemed to be liquid. In the worst case, the bank might not be able to liquidate such positions; • intraday liquidity risk appears when a bank is not able to meet payment and settlement obligations on a timely manner basis under both normal and stressed conditions; • structural liquidity risk is defined as the inability to raise the necessary funds to maintain an adequate ratio between medium to long-term (over one year) assets and liabilities at reasonable pricing level, in a stable and sustainable way, without affecting the daily operations or the financial condition of the Bank. It could have a potential impact on the cost of funding (own credit and market funding spreads), affecting future income of the institution; • contingency risk, or stress liquidity relates to future and unexpected obligations (i. e. draw on committed facilities, deposits withdrawal, increase in collateral pledging) and could require the bank a greater amount of liquidity compared to what is considered the amount to run the ordinary business; • intragroup liquidity risk, that might generate from an excessive exposure or dependency towards/from specific Group counterparts; • funding concentration risk arises when the bank leverages on such a limited number of funding sources, that they become of such significance that the withdrawal of one or few could trigger liquidity problems; • foreign exchange liquidity risk, generated by the current and projected liquidity mismatch between cash inflows and cash outflows in foreign currencies (refinancing risk) or related with the maturity distribution of the assets and liabilities in foreign currencies (foreign currency structural mismatch risk). The exposure of the Group and its Legal Entities to any of these risks is measured by associating to any of them a metric or a set of metrics. Every Legal Entity of the Group is exposed to the above-mentioned risks at a different extent: a materiality analysis is performed in order to define the perimeter of the liquidity risk management and control. Liquidity risk, for its particular nature, is addressed by means of gap analyses, liquidity stress testing, and complementary measures (mainly through a set of indicators, among which: loans to deposits gap, liquidity coverage ratio). In particular, gap analyses are performed within two distinct time horizons: • liquidity imbalance mismatch approach on a daily basis, which controls the short-term liquidity risk arising from the overnight up to 12 months maturity; • gap ratios on a monthly basis, which control the medium to long-term risk (structural liquidity) from the 1-year maturity onwards. Strategies and processes to manage the liquidity risk The Group’s liquidity framework is based upon the Liquidity Risk Mismatch Model which is characterised by the following fundamental principles: • short-term liquidity risk management (operational liquidity), which considers the events that will impact upon the Group’s liquidity position from 1 day up to one year. The primary objective is to maintain the Group’s capacity to fulfil its ordinary and extraordinary payment obligations while minimising the relevant costs. • structural liquidity risk management (structural risk), which considers the events that will impact upon the Group’s liquidity position over one year. The primary objective is to maintain an adequate ratio between medium/long term liabilities and medium to long-term assets, with a view to avoid pressures on short-term funding sources (both current and future), while in the meantime optimising the cost of funding; • stress tests: Liquidity risk is a low probability, high impact event. Therefore, stress testing is an excellent tool to reveal potential vulnerabilities in the balance sheet. The Bank uses several scenarios ranging from general market crisis to idiosyncratic crisis, and a combination hereof. In this context, the Parent Company takes into account all assets, liabilities, off-balance sheet positions and also both present and future events which generate certain or potential cash flows for the Group, thereby protecting the Group Banks/Companies from risks relating to the transformation of maturity. In addition, the liquidity risk is included in the Group’s risk appetite framework through some specific liquidity indicators. Short-term liquidity management Short-term liquidity management aims at ensuring that the Group remains in a position to fulfil its cash payment obligations, whether expected or unexpected, focused on the exposure for the first 12 months. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 413 Risk measurement and reporting systems Techniques for risk measurement The different types of liquidity risk managed by the bank are: • short term liquidity risk refers to the risk of non-conformity between the amounts and/or the maturities of cash inflows and cash outflows in the short term (below one year); • market liquidity risk is the risk that the bank may face a considerable (and unfavourable) price change generated by exogenous or endogenous factors and incur losses because of the sale of assets deemed to be liquid. In the worst case, the bank might not be able to liquidate such positions; • intraday liquidity risk appears when a bank is not able to meet payment and settlement obligations on a timely manner basis under both normal and stressed conditions; • structural liquidity risk is defined as the inability to raise the necessary funds to maintain an adequate ratio between medium to long-term (over one year) assets and liabilities at reasonable pricing level, in a stable and sustainable way, without affecting the daily operations or the financial condition of the Bank. It could have a potential impact on the cost of funding (own credit and market funding spreads), affecting future income of the institution; • contingency risk, or stress liquidity relates to future and unexpected obligations (i. e. draw on committed facilities, deposits withdrawal, increase in collateral pledging) and could require the bank a greater amount of liquidity compared to what is considered the amount to run the ordinary business; • intragroup liquidity risk, that might generate from an excessive exposure or dependency towards/from specific Group counterparts; • funding concentration risk arises when the bank leverages on such a limited number of funding sources, that they become of such significance that the withdrawal of one or few could trigger liquidity problems; • foreign exchange liquidity risk, generated by the current and projected liquidity mismatch between cash inflows and cash outflows in foreign currencies (refinancing risk) or related with the maturity distribution of the assets and liabilities in foreign currencies (foreign currency structural mismatch risk). The exposure of the Group and its Legal Entities to any of these risks is measured by associating to any of them a metric or a set of metrics. Every Legal Entity of the Group is exposed to the above-mentioned risks at a different extent: a materiality analysis is performed in order to define the perimeter of the liquidity risk management and control. Liquidity risk, for its particular nature, is addressed by means of gap analyses, liquidity stress testing, and complementary measures (mainly through a set of indicators, among which: loans to deposits gap, liquidity coverage ratio). In particular, gap analyses are performed within two distinct time horizons: • liquidity imbalance mismatch approach on a daily basis, which controls the short-term liquidity risk arising from the overnight up to 12 months maturity; • gap ratios on a monthly basis, which control the medium to long-term risk (structural liquidity) from the 1-year maturity onwards. Strategies and processes to manage the liquidity risk The Group’s liquidity framework is based upon the Liquidity Risk Mismatch Model which is characterised by the following fundamental principles: • short-term liquidity risk management (operational liquidity), which considers the events that will impact upon the Group’s liquidity position from 1 day up to one year. The primary objective is to maintain the Group’s capacity to fulfil its ordinary and extraordinary payment obligations while minimising the relevant costs. • structural liquidity risk management (structural risk), which considers the events that will impact upon the Group’s liquidity position over one year. The primary objective is to maintain an adequate ratio between medium/long term liabilities and medium to long-term assets, with a view to avoid pressures on short-term funding sources (both current and future), while in the meantime optimising the cost of funding; • stress tests: Liquidity risk is a low probability, high impact event. Therefore, stress testing is an excellent tool to reveal potential vulnerabilities in the balance sheet. The Bank uses several scenarios ranging from general market crisis to idiosyncratic crisis, and a combination hereof. In this context, the Parent Company takes into account all assets, liabilities, off-balance sheet positions and also both present and future events which generate certain or potential cash flows for the Group, thereby protecting the Group Banks/Companies from risks relating to the transformation of maturity. In addition, the liquidity risk is included in the Group’s risk appetite framework through some specific liquidity indicators. Short-term liquidity management Short-term liquidity management aims at ensuring that the Group remains in a position to fulfil its cash payment obligations, whether expected or unexpected, focused on the exposure for the first 12 months. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 414 2021 Annual Report and Accounts · UniCredit The standard measures taken for such purposes are the following: • management of the access to payment systems (operational liquidity management); • management of cash payments to be made and monitoring of the level of liquidity reserves and the extent of their utilisation (analysis and active management of the maturity ladder). These principles are applicable at Group level and must be used across the liquidity reference banks. The operative maturity ladder is composed by the net contractual cash flows (in/outflows) affecting the cash position at Central Banks or “Nostro Account”. Therefore, these flows impact directly the “core liquidity” of the bank, over pre-defined time buckets. The operative maturity ladder is composed of the following building-blocks: • primary gap, which shows the net wholesale refinancing requirements over the various time-buckets of the horizon; • counterbalancing capacity, which shows the amount of unencumbered securities that are accepted as collateral by Central Banks and/or market counterparties. The counterbalancing capacity is considered at its “liquidity value” (i.e. the market value minus the applicable haircut); • cumulative gap, which is the sum of the previous components; • reservation for unexpected flows, which consists of liquidity adjustment to the operative maturity ladder, to consider a buffer that can be used by the Treasury to refinance unexpected outflows impacting the Central Bank position (included in the short-term buckets). The reservation for unexpected flows takes into account the volatility of the funding needs of the commercial asset portfolio, the volatility of the commercial funding sources, including potential concentration effects, the change of liquidity value of the counterbalancing capacity due to observed market price changes. The operative maturity ladder is included in the Group risk appetite framework, with a limit of 0 on the 3 months bucket. The Group also adopts the cash horizon as a synthetic indicator of the short-term liquidity risk levels. The cash horizon identifies the number of days after which the relevant entity is no longer able to meet its liquidity obligations as expressed in the operative maturity ladder, after having exhausted the available counterbalancing capacity. Structural liquidity management The Group’s structural liquidity management aims at limiting refinancing exposures above one year and thus reducing refinancing needs in the shorter term. The maintenance of an adequate ratio between medium to long-term liabilities and assets aims at avoiding pressures on short-term sources, whether present or future. The standard measures taken for such purposes are the following: • the spreading of the maturity of funding operations in order to reduce the usage of less stable funding sources, while in the meantime optimizing the cost of funding (integrated management of strategic liquidity and tactical liquidity); • the financing of growth through strategic funding activities, setting the most appropriate maturities (yearly funding plan); • the balancing of medium/to long-term wholesale funding requirements with the need to minimise costs, by diversifying sources, national markets, currencies of issuance and instruments used (realisation of the yearly funding plan). The main metric used to measure the medium/long-term position is the net stable funding ratio, as described by CRR2. In general, the net stable funding ratio is calculated as the ratio between liabilities and assets. All the balance sheet items are mapped according to their contractual maturity. In addition, they are assigned a weight that reflect, for the liabilities, their stability within the balance sheet and, for the assets, the portion that is rolled-over by the bank or that, more in general, cannot be traded on the market in exchange of liquidity that would generate relief to the institution. The internal limit set at 102.5% per 2021 means that stable liabilities have to fully cover the requirements of funding generated by the assets. A key structural metric, aimed at measuring the funding needs originated from the commercial activity of the Bank, is the funding gap. It measures the need of funding, the bank has to finance on the wholesale market. The indicator is integrated in the risk appetite framework with the aim of monitoring and managing the level of funding coverage of net loans to customers, coming from funding sources not exclusively obtained through Treasury/Finance activity. Liquidity under stress Stress testing is a risk management technique used to evaluate the potential effects on an institution’s financial condition of a specific event and/or movement in a set of financial variables. As a forward-looking tool, liquidity stress testing diagnostics the institution’s liquidity risk. In particular the results of the stress tests are used to: • determine liquidity limits both in quantitative and qualitative terms; • plan and carry out alternative funding transactions for purposes of off-setting liquidity outflows; • structure/modify the liquidity profile of the Group’s assets; • provide support to the development of the liquidity contingency plan. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 414 2021 Annual Report and Accounts · UniCredit The standard measures taken for such purposes are the following: • management of the access to payment systems (operational liquidity management); • management of cash payments to be made and monitoring of the level of liquidity reserves and the extent of their utilisation (analysis and active management of the maturity ladder). These principles are applicable at Group level and must be used across the liquidity reference banks. The operative maturity ladder is composed by the net contractual cash flows (in/outflows) affecting the cash position at Central Banks or “Nostro Account”. Therefore, these flows impact directly the “core liquidity” of the bank, over pre-defined time buckets. The operative maturity ladder is composed of the following building-blocks: • primary gap, which shows the net wholesale refinancing requirements over the various time-buckets of the horizon; • counterbalancing capacity, which shows the amount of unencumbered securities that are accepted as collateral by Central Banks and/or market counterparties. The counterbalancing capacity is considered at its “liquidity value” (i.e. the market value minus the applicable haircut); • cumulative gap, which is the sum of the previous components; • reservation for unexpected flows, which consists of liquidity adjustment to the operative maturity ladder, to consider a buffer that can be used by the Treasury to refinance unexpected outflows impacting the Central Bank position (included in the short-term buckets). The reservation for unexpected flows takes into account the volatility of the funding needs of the commercial asset portfolio, the volatility of the commercial funding sources, including potential concentration effects, the change of liquidity value of the counterbalancing capacity due to observed market price changes. The operative maturity ladder is included in the Group risk appetite framework, with a limit of 0 on the 3 months bucket. The Group also adopts the cash horizon as a synthetic indicator of the short-term liquidity risk levels. The cash horizon identifies the number of days after which the relevant entity is no longer able to meet its liquidity obligations as expressed in the operative maturity ladder, after having exhausted the available counterbalancing capacity. Structural liquidity management The Group’s structural liquidity management aims at limiting refinancing exposures above one year and thus reducing refinancing needs in the shorter term. The maintenance of an adequate ratio between medium to long-term liabilities and assets aims at avoiding pressures on short-term sources, whether present or future. The standard measures taken for such purposes are the following: • the spreading of the maturity of funding operations in order to reduce the usage of less stable funding sources, while in the meantime optimizing the cost of funding (integrated management of strategic liquidity and tactical liquidity); • the financing of growth through strategic funding activities, setting the most appropriate maturities (yearly funding plan); • the balancing of medium/to long-term wholesale funding requirements with the need to minimise costs, by diversifying sources, national markets, currencies of issuance and instruments used (realisation of the yearly funding plan). The main metric used to measure the medium/long-term position is the net stable funding ratio, as described by CRR2. In general, the net stable funding ratio is calculated as the ratio between liabilities and assets. All the balance sheet items are mapped according to their contractual maturity. In addition, they are assigned a weight that reflect, for the liabilities, their stability within the balance sheet and, for the assets, the portion that is rolled-over by the bank or that, more in general, cannot be traded on the market in exchange of liquidity that would generate relief to the institution. The internal limit set at 102.5% per 2021 means that stable liabilities have to fully cover the requirements of funding generated by the assets. A key structural metric, aimed at measuring the funding needs originated from the commercial activity of the Bank, is the funding gap. It measures the need of funding, the bank has to finance on the wholesale market. The indicator is integrated in the risk appetite framework with the aim of monitoring and managing the level of funding coverage of net loans to customers, coming from funding sources not exclusively obtained through Treasury/Finance activity. Liquidity under stress Stress testing is a risk management technique used to evaluate the potential effects on an institution’s financial condition of a specific event and/or movement in a set of financial variables. As a forward-looking tool, liquidity stress testing diagnostics the institution’s liquidity risk. In particular the results of the stress tests are used to: • determine liquidity limits both in quantitative and qualitative terms; • plan and carry out alternative funding transactions for purposes of off-setting liquidity outflows; • structure/modify the liquidity profile of the Group’s assets; • provide support to the development of the liquidity contingency plan. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 414 2021 Annual Report and Accounts · UniCredit The standard measures taken for such purposes are the following: • management of the access to payment systems (operational liquidity management); • management of cash payments to be made and monitoring of the level of liquidity reserves and the extent of their utilisation (analysis and active management of the maturity ladder). These principles are applicable at Group level and must be used across the liquidity reference banks. The operative maturity ladder is composed by the net contractual cash flows (in/outflows) affecting the cash position at Central Banks or “Nostro Account”. Therefore, these flows impact directly the “core liquidity” of the bank, over pre-defined time buckets. The operative maturity ladder is composed of the following building-blocks: • primary gap, which shows the net wholesale refinancing requirements over the various time-buckets of the horizon; • counterbalancing capacity, which shows the amount of unencumbered securities that are accepted as collateral by Central Banks and/or market counterparties. The counterbalancing capacity is considered at its “liquidity value” (i.e. the market value minus the applicable haircut); • cumulative gap, which is the sum of the previous components; • reservation for unexpected flows, which consists of liquidity adjustment to the operative maturity ladder, to consider a buffer that can be used by the Treasury to refinance unexpected outflows impacting the Central Bank position (included in the short-term buckets). The reservation for unexpected flows takes into account the volatility of the funding needs of the commercial asset portfolio, the volatility of the commercial funding sources, including potential concentration effects, the change of liquidity value of the counterbalancing capacity due to observed market price changes. The operative maturity ladder is included in the Group risk appetite framework, with a limit of 0 on the 3 months bucket. The Group also adopts the cash horizon as a synthetic indicator of the short-term liquidity risk levels. The cash horizon identifies the number of days after which the relevant entity is no longer able to meet its liquidity obligations as expressed in the operative maturity ladder, after having exhausted the available counterbalancing capacity. Structural liquidity management The Group’s structural liquidity management aims at limiting refinancing exposures above one year and thus reducing refinancing needs in the shorter term. The maintenance of an adequate ratio between medium to long-term liabilities and assets aims at avoiding pressures on short-term sources, whether present or future. The standard measures taken for such purposes are the following: • the spreading of the maturity of funding operations in order to reduce the usage of less stable funding sources, while in the meantime optimizing the cost of funding (integrated management of strategic liquidity and tactical liquidity); • the financing of growth through strategic funding activities, setting the most appropriate maturities (yearly funding plan); • the balancing of medium/to long-term wholesale funding requirements with the need to minimise costs, by diversifying sources, national markets, currencies of issuance and instruments used (realisation of the yearly funding plan). The main metric used to measure the medium/long-term position is the net stable funding ratio, as described by CRR2. In general, the net stable funding ratio is calculated as the ratio between liabilities and assets. All the balance sheet items are mapped according to their contractual maturity. In addition, they are assigned a weight that reflect, for the liabilities, their stability within the balance sheet and, for the assets, the portion that is rolled-over by the bank or that, more in general, cannot be traded on the market in exchange of liquidity that would generate relief to the institution. The internal limit set at 102.5% per 2021 means that stable liabilities have to fully cover the requirements of funding generated by the assets. A key structural metric, aimed at measuring the funding needs originated from the commercial activity of the Bank, is the funding gap. It measures the need of funding, the bank has to finance on the wholesale market. The indicator is integrated in the risk appetite framework with the aim of monitoring and managing the level of funding coverage of net loans to customers, coming from funding sources not exclusively obtained through Treasury/Finance activity. Liquidity under stress Stress testing is a risk management technique used to evaluate the potential effects on an institution’s financial condition of a specific event and/or movement in a set of financial variables. As a forward-looking tool, liquidity stress testing diagnostics the institution’s liquidity risk. In particular the results of the stress tests are used to: • determine liquidity limits both in quantitative and qualitative terms; • plan and carry out alternative funding transactions for purposes of off-setting liquidity outflows; • structure/modify the liquidity profile of the Group’s assets; • provide support to the development of the liquidity contingency plan. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 414 2021 Annual Report and Accounts · UniCredit The standard measures taken for such purposes are the following: • management of the access to payment systems (operational liquidity management); • management of cash payments to be made and monitoring of the level of liquidity reserves and the extent of their utilisation (analysis and active management of the maturity ladder). These principles are applicable at Group level and must be used across the liquidity reference banks. The operative maturity ladder is composed by the net contractual cash flows (in/outflows) affecting the cash position at Central Banks or “Nostro Account”. Therefore, these flows impact directly the “core liquidity” of the bank, over pre-defined time buckets. The operative maturity ladder is composed of the following building-blocks: • primary gap, which shows the net wholesale refinancing requirements over the various time-buckets of the horizon; • counterbalancing capacity, which shows the amount of unencumbered securities that are accepted as collateral by Central Banks and/or market counterparties. The counterbalancing capacity is considered at its “liquidity value” (i.e. the market value minus the applicable haircut); • cumulative gap, which is the sum of the previous components; • reservation for unexpected flows, which consists of liquidity adjustment to the operative maturity ladder, to consider a buffer that can be used by the Treasury to refinance unexpected outflows impacting the Central Bank position (included in the short-term buckets). The reservation for unexpected flows takes into account the volatility of the funding needs of the commercial asset portfolio, the volatility of the commercial funding sources, including potential concentration effects, the change of liquidity value of the counterbalancing capacity due to observed market price changes. The operative maturity ladder is included in the Group risk appetite framework, with a limit of 0 on the 3 months bucket. The Group also adopts the cash horizon as a synthetic indicator of the short-term liquidity risk levels. The cash horizon identifies the number of days after which the relevant entity is no longer able to meet its liquidity obligations as expressed in the operative maturity ladder, after having exhausted the available counterbalancing capacity. Structural liquidity management The Group’s structural liquidity management aims at limiting refinancing exposures above one year and thus reducing refinancing needs in the shorter term. The maintenance of an adequate ratio between medium to long-term liabilities and assets aims at avoiding pressures on short-term sources, whether present or future. The standard measures taken for such purposes are the following: • the spreading of the maturity of funding operations in order to reduce the usage of less stable funding sources, while in the meantime optimizing the cost of funding (integrated management of strategic liquidity and tactical liquidity); • the financing of growth through strategic funding activities, setting the most appropriate maturities (yearly funding plan); • the balancing of medium/to long-term wholesale funding requirements with the need to minimise costs, by diversifying sources, national markets, currencies of issuance and instruments used (realisation of the yearly funding plan). The main metric used to measure the medium/long-term position is the net stable funding ratio, as described by CRR2. In general, the net stable funding ratio is calculated as the ratio between liabilities and assets. All the balance sheet items are mapped according to their contractual maturity. In addition, they are assigned a weight that reflect, for the liabilities, their stability within the balance sheet and, for the assets, the portion that is rolled-over by the bank or that, more in general, cannot be traded on the market in exchange of liquidity that would generate relief to the institution. The internal limit set at 102.5% per 2021 means that stable liabilities have to fully cover the requirements of funding generated by the assets. A key structural metric, aimed at measuring the funding needs originated from the commercial activity of the Bank, is the funding gap. It measures the need of funding, the bank has to finance on the wholesale market. The indicator is integrated in the risk appetite framework with the aim of monitoring and managing the level of funding coverage of net loans to customers, coming from funding sources not exclusively obtained through Treasury/Finance activity. Liquidity under stress Stress testing is a risk management technique used to evaluate the potential effects on an institution’s financial condition of a specific event and/or movement in a set of financial variables. As a forward-looking tool, liquidity stress testing diagnostics the institution’s liquidity risk. In particular the results of the stress tests are used to: • determine liquidity limits both in quantitative and qualitative terms; • plan and carry out alternative funding transactions for purposes of off-setting liquidity outflows; • structure/modify the liquidity profile of the Group’s assets; • provide support to the development of the liquidity contingency plan. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 414 2021 Annual Report and Accounts · UniCredit The standard measures taken for such purposes are the following: • management of the access to payment systems (operational liquidity management); • management of cash payments to be made and monitoring of the level of liquidity reserves and the extent of their utilisation (analysis and active management of the maturity ladder). These principles are applicable at Group level and must be used across the liquidity reference banks. The operative maturity ladder is composed by the net contractual cash flows (in/outflows) affecting the cash position at Central Banks or “Nostro Account”. Therefore, these flows impact directly the “core liquidity” of the bank, over pre-defined time buckets. The operative maturity ladder is composed of the following building-blocks: • primary gap, which shows the net wholesale refinancing requirements over the various time-buckets of the horizon; • counterbalancing capacity, which shows the amount of unencumbered securities that are accepted as collateral by Central Banks and/or market counterparties. The counterbalancing capacity is considered at its “liquidity value” (i.e. the market value minus the applicable haircut); • cumulative gap, which is the sum of the previous components; • reservation for unexpected flows, which consists of liquidity adjustment to the operative maturity ladder, to consider a buffer that can be used by the Treasury to refinance unexpected outflows impacting the Central Bank position (included in the short-term buckets). The reservation for unexpected flows takes into account the volatility of the funding needs of the commercial asset portfolio, the volatility of the commercial funding sources, including potential concentration effects, the change of liquidity value of the counterbalancing capacity due to observed market price changes. The operative maturity ladder is included in the Group risk appetite framework, with a limit of 0 on the 3 months bucket. The Group also adopts the cash horizon as a synthetic indicator of the short-term liquidity risk levels. The cash horizon identifies the number of days after which the relevant entity is no longer able to meet its liquidity obligations as expressed in the operative maturity ladder, after having exhausted the available counterbalancing capacity. Structural liquidity management The Group’s structural liquidity management aims at limiting refinancing exposures above one year and thus reducing refinancing needs in the shorter term. The maintenance of an adequate ratio between medium to long-term liabilities and assets aims at avoiding pressures on short-term sources, whether present or future. The standard measures taken for such purposes are the following: • the spreading of the maturity of funding operations in order to reduce the usage of less stable funding sources, while in the meantime optimizing the cost of funding (integrated management of strategic liquidity and tactical liquidity); • the financing of growth through strategic funding activities, setting the most appropriate maturities (yearly funding plan); • the balancing of medium/to long-term wholesale funding requirements with the need to minimise costs, by diversifying sources, national markets, currencies of issuance and instruments used (realisation of the yearly funding plan). The main metric used to measure the medium/long-term position is the net stable funding ratio, as described by CRR2. In general, the net stable funding ratio is calculated as the ratio between liabilities and assets. All the balance sheet items are mapped according to their contractual maturity. In addition, they are assigned a weight that reflect, for the liabilities, their stability within the balance sheet and, for the assets, the portion that is rolled-over by the bank or that, more in general, cannot be traded on the market in exchange of liquidity that would generate relief to the institution. The internal limit set at 102.5% per 2021 means that stable liabilities have to fully cover the requirements of funding generated by the assets. A key structural metric, aimed at measuring the funding needs originated from the commercial activity of the Bank, is the funding gap. It measures the need of funding, the bank has to finance on the wholesale market. The indicator is integrated in the risk appetite framework with the aim of monitoring and managing the level of funding coverage of net loans to customers, coming from funding sources not exclusively obtained through Treasury/Finance activity. Liquidity under stress Stress testing is a risk management technique used to evaluate the potential effects on an institution’s financial condition of a specific event and/or movement in a set of financial variables. As a forward-looking tool, liquidity stress testing diagnostics the institution’s liquidity risk. In particular the results of the stress tests are used to: • determine liquidity limits both in quantitative and qualitative terms; • plan and carry out alternative funding transactions for purposes of off-setting liquidity outflows; • structure/modify the liquidity profile of the Group’s assets; • provide support to the development of the liquidity contingency plan. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 415 In order to execute stress tests that are consistent across the liquidity reference banks, the Group has a centralised approach to stress testing, requiring each local liquidity reference bank to run the same scenario set under the coordination of the Group risk management. The Group runs liquidity scenarios and sensitivity analyses on a regular basis, the latter by assessing the impact on an institution's financial condition of a move in one particular risk factor, whereas scenario tests tend to consider the impact of simultaneous moves in a number of risk factors, based on a hypothetical, well defined and consistent stress scenario. The Group identifies three different types of potential liquidity crisis: • market (systemic, global or sector): market downturn scenario. This scenario consists of a sudden turmoil in a monetary and capital market, which may be caused by closure (or limited access) to market/settlement system, critical political events, country crisis, credit crunch, etc.; • specific to the Group, or part of it (idiosyncratic): name crisis; the assumptions could be operational risk, events relating to the worsened perception of the Group reputational risk and a downgrade in UniCredit S.p.A. rating or other Group Legal Entities; • a combination of market and specific crisis: combined scenario. These scenarios are expected to cause a substantial reduction in the funding coming from rating-sensitive customers, CD/CPs’ investors and inter-bank markets. In addition, a possible usage of the undrawn portion of the committed lines is considered. The combined scenario is defined as a general negative development in the market environment and also as a factual or market-hypothesised problem specific to the Group. In 2021 the Group liquidity stress test result on the combined scenario was always positive. In addition to the internal stress test, the bank adopts and also monitors the liquidity coverage ratio (LCR), calculated in accordance with the provisions of Implementing Regulation (EU) 2016/322 in force from 1 October 2016 as amended by DR (EU) 2018/1620. It is the ratio between the high-quality liquid assets (HQLA) and the net cash outflows expected over the coming 30 days, under stress test conditions. The compliance with this regulatory requirement is constantly monitored by setting, in the risk appetite framework, internal limitations above the binding minimum level of 100%. Among the liquidity outflows that occur in a stress scenario, the bank monitors on a monthly basis the impact in terms of additionally required collaterals that the bank may be required to provide given a downgrade of its own credit rating. For this purpose, all the relevant rating agencies are considered. The testing is carried out on a legal entity level, but consolidated reporting is available to analyse the impact on group wide basis. Specific attention is dedicated to exposures towards special purpose vehicles (SPV). At Group level the amount of material outflows due to deterioration of own credit quality, included in the components of the Liquidity Coverage Ratio, amount to €9,176 million as of 31 December 2021. Risk mitigation Monitoring and reporting In the Group the governance and control of liquidity risk is mainly performed through the setting and monitoring of operating restrictions managerial and regulatory aimed at preventing potential vulnerabilities in the bank's ability to meet its cash flow obligations that are embedded in risk metrics limits or warning/trigger levels. The short-term liquidity limits are monitored and reported daily. The structural liquidity ratios and their exposure against limits are monitored and reported monthly. The survival period and the result of the liquidity stress test are reported and monitored on a monthly basis. In case of limit breach or warning level activation at Group level, the Group risk management function investigates the rationale of the events, triggering the proper escalation and reporting them to the relevant committees. Mitigation factors Liquidity risk is considered a relevant risk category for the risk appetite determination of the Group. The practices and processes are included in the “Liquidity management & control Group policy”, that defines the principles that the Parent Company and the Legal Entities have to apply for hedging and mitigating this risk and the roles to be interpreted by the different committees and functions. Additionally, to an adequate liquidity buffer to face unexpected outflows and robust and regular up-to-date stress testing performed on a regular basis, the main liquidity mitigation factors for UniCredit group are: • an accurate plan of short-term and medium to long-term liquidity needs, to be monitored on a monthly basis; • an effective contingency liquidity policy with feasible and up-to-date contingency action plan to be executed in case of crisis; • a system of early warning indicators such to anticipate any potential liquidity crisis and give enough time to the Group to restore its safe liquidity profile. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 415 In order to execute stress tests that are consistent across the liquidity reference banks, the Group has a centralised approach to stress testing, requiring each local liquidity reference bank to run the same scenario set under the coordination of the Group risk management. The Group runs liquidity scenarios and sensitivity analyses on a regular basis, the latter by assessing the impact on an institution's financial condition of a move in one particular risk factor, whereas scenario tests tend to consider the impact of simultaneous moves in a number of risk factors, based on a hypothetical, well defined and consistent stress scenario. The Group identifies three different types of potential liquidity crisis: • market (systemic, global or sector): market downturn scenario. This scenario consists of a sudden turmoil in a monetary and capital market, which may be caused by closure (or limited access) to market/settlement system, critical political events, country crisis, credit crunch, etc.; • specific to the Group, or part of it (idiosyncratic): name crisis; the assumptions could be operational risk, events relating to the worsened perception of the Group reputational risk and a downgrade in UniCredit S.p.A. rating or other Group Legal Entities; • a combination of market and specific crisis: combined scenario. These scenarios are expected to cause a substantial reduction in the funding coming from rating-sensitive customers, CD/CPs’ investors and inter-bank markets. In addition, a possible usage of the undrawn portion of the committed lines is considered. The combined scenario is defined as a general negative development in the market environment and also as a factual or market-hypothesised problem specific to the Group. In 2021 the Group liquidity stress test result on the combined scenario was always positive. In addition to the internal stress test, the bank adopts and also monitors the liquidity coverage ratio (LCR), calculated in accordance with the provisions of Implementing Regulation (EU) 2016/322 in force from 1 October 2016 as amended by DR (EU) 2018/1620. It is the ratio between the high-quality liquid assets (HQLA) and the net cash outflows expected over the coming 30 days, under stress test conditions. The compliance with this regulatory requirement is constantly monitored by setting, in the risk appetite framework, internal limitations above the binding minimum level of 100%. Among the liquidity outflows that occur in a stress scenario, the bank monitors on a monthly basis the impact in terms of additionally required collaterals that the bank may be required to provide given a downgrade of its own credit rating. For this purpose, all the relevant rating agencies are considered. The testing is carried out on a legal entity level, but consolidated reporting is available to analyse the impact on group wide basis. Specific attention is dedicated to exposures towards special purpose vehicles (SPV). At Group level the amount of material outflows due to deterioration of own credit quality, included in the components of the Liquidity Coverage Ratio, amount to €9,176 million as of 31 December 2021. Risk mitigation Monitoring and reporting In the Group the governance and control of liquidity risk is mainly performed through the setting and monitoring of operating restrictions managerial and regulatory aimed at preventing potential vulnerabilities in the bank's ability to meet its cash flow obligations that are embedded in risk metrics limits or warning/trigger levels. The short-term liquidity limits are monitored and reported daily. The structural liquidity ratios and their exposure against limits are monitored and reported monthly. The survival period and the result of the liquidity stress test are reported and monitored on a monthly basis. In case of limit breach or warning level activation at Group level, the Group risk management function investigates the rationale of the events, triggering the proper escalation and reporting them to the relevant committees. Mitigation factors Liquidity risk is considered a relevant risk category for the risk appetite determination of the Group. The practices and processes are included in the “Liquidity management & control Group policy”, that defines the principles that the Parent Company and the Legal Entities have to apply for hedging and mitigating this risk and the roles to be interpreted by the different committees and functions. Additionally, to an adequate liquidity buffer to face unexpected outflows and robust and regular up-to-date stress testing performed on a regular basis, the main liquidity mitigation factors for UniCredit group are: • an accurate plan of short-term and medium to long-term liquidity needs, to be monitored on a monthly basis; • an effective contingency liquidity policy with feasible and up-to-date contingency action plan to be executed in case of crisis; • a system of early warning indicators such to anticipate any potential liquidity crisis and give enough time to the Group to restore its safe liquidity profile. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 415 In order to execute stress tests that are consistent across the liquidity reference banks, the Group has a centralised approach to stress testing, requiring each local liquidity reference bank to run the same scenario set under the coordination of the Group risk management. The Group runs liquidity scenarios and sensitivity analyses on a regular basis, the latter by assessing the impact on an institution's financial condition of a move in one particular risk factor, whereas scenario tests tend to consider the impact of simultaneous moves in a number of risk factors, based on a hypothetical, well defined and consistent stress scenario. The Group identifies three different types of potential liquidity crisis: • market (systemic, global or sector): market downturn scenario. This scenario consists of a sudden turmoil in a monetary and capital market, which may be caused by closure (or limited access) to market/settlement system, critical political events, country crisis, credit crunch, etc.; • specific to the Group, or part of it (idiosyncratic): name crisis; the assumptions could be operational risk, events relating to the worsened perception of the Group reputational risk and a downgrade in UniCredit S.p.A. rating or other Group Legal Entities; • a combination of market and specific crisis: combined scenario. These scenarios are expected to cause a substantial reduction in the funding coming from rating-sensitive customers, CD/CPs’ investors and inter-bank markets. In addition, a possible usage of the undrawn portion of the committed lines is considered. The combined scenario is defined as a general negative development in the market environment and also as a factual or market-hypothesised problem specific to the Group. In 2021 the Group liquidity stress test result on the combined scenario was always positive. In addition to the internal stress test, the bank adopts and also monitors the liquidity coverage ratio (LCR), calculated in accordance with the provisions of Implementing Regulation (EU) 2016/322 in force from 1 October 2016 as amended by DR (EU) 2018/1620. It is the ratio between the high-quality liquid assets (HQLA) and the net cash outflows expected over the coming 30 days, under stress test conditions. The compliance with this regulatory requirement is constantly monitored by setting, in the risk appetite framework, internal limitations above the binding minimum level of 100%. Among the liquidity outflows that occur in a stress scenario, the bank monitors on a monthly basis the impact in terms of additionally required collaterals that the bank may be required to provide given a downgrade of its own credit rating. For this purpose, all the relevant rating agencies are considered. The testing is carried out on a legal entity level, but consolidated reporting is available to analyse the impact on group wide basis. Specific attention is dedicated to exposures towards special purpose vehicles (SPV). At Group level the amount of material outflows due to deterioration of own credit quality, included in the components of the Liquidity Coverage Ratio, amount to €9,176 million as of 31 December 2021. Risk mitigation Monitoring and reporting In the Group the governance and control of liquidity risk is mainly performed through the setting and monitoring of operating restrictions managerial and regulatory aimed at preventing potential vulnerabilities in the bank's ability to meet its cash flow obligations that are embedded in risk metrics limits or warning/trigger levels. The short-term liquidity limits are monitored and reported daily. The structural liquidity ratios and their exposure against limits are monitored and reported monthly. The survival period and the result of the liquidity stress test are reported and monitored on a monthly basis. In case of limit breach or warning level activation at Group level, the Group risk management function investigates the rationale of the events, triggering the proper escalation and reporting them to the relevant committees. Mitigation factors Liquidity risk is considered a relevant risk category for the risk appetite determination of the Group. The practices and processes are included in the “Liquidity management & control Group policy”, that defines the principles that the Parent Company and the Legal Entities have to apply for hedging and mitigating this risk and the roles to be interpreted by the different committees and functions. Additionally, to an adequate liquidity buffer to face unexpected outflows and robust and regular up-to-date stress testing performed on a regular basis, the main liquidity mitigation factors for UniCredit group are: • an accurate plan of short-term and medium to long-term liquidity needs, to be monitored on a monthly basis; • an effective contingency liquidity policy with feasible and up-to-date contingency action plan to be executed in case of crisis; • a system of early warning indicators such to anticipate any potential liquidity crisis and give enough time to the Group to restore its safe liquidity profile. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 415 In order to execute stress tests that are consistent across the liquidity reference banks, the Group has a centralised approach to stress testing, requiring each local liquidity reference bank to run the same scenario set under the coordination of the Group risk management. The Group runs liquidity scenarios and sensitivity analyses on a regular basis, the latter by assessing the impact on an institution's financial condition of a move in one particular risk factor, whereas scenario tests tend to consider the impact of simultaneous moves in a number of risk factors, based on a hypothetical, well defined and consistent stress scenario. The Group identifies three different types of potential liquidity crisis: • market (systemic, global or sector): market downturn scenario. This scenario consists of a sudden turmoil in a monetary and capital market, which may be caused by closure (or limited access) to market/settlement system, critical political events, country crisis, credit crunch, etc.; • specific to the Group, or part of it (idiosyncratic): name crisis; the assumptions could be operational risk, events relating to the worsened perception of the Group reputational risk and a downgrade in UniCredit S.p.A. rating or other Group Legal Entities; • a combination of market and specific crisis: combined scenario. These scenarios are expected to cause a substantial reduction in the funding coming from rating-sensitive customers, CD/CPs’ investors and inter-bank markets. In addition, a possible usage of the undrawn portion of the committed lines is considered. The combined scenario is defined as a general negative development in the market environment and also as a factual or market-hypothesised problem specific to the Group. In 2021 the Group liquidity stress test result on the combined scenario was always positive. In addition to the internal stress test, the bank adopts and also monitors the liquidity coverage ratio (LCR), calculated in accordance with the provisions of Implementing Regulation (EU) 2016/322 in force from 1 October 2016 as amended by DR (EU) 2018/1620. It is the ratio between the high-quality liquid assets (HQLA) and the net cash outflows expected over the coming 30 days, under stress test conditions. The compliance with this regulatory requirement is constantly monitored by setting, in the risk appetite framework, internal limitations above the binding minimum level of 100%. Among the liquidity outflows that occur in a stress scenario, the bank monitors on a monthly basis the impact in terms of additionally required collaterals that the bank may be required to provide given a downgrade of its own credit rating. For this purpose, all the relevant rating agencies are considered. The testing is carried out on a legal entity level, but consolidated reporting is available to analyse the impact on group wide basis. Specific attention is dedicated to exposures towards special purpose vehicles (SPV). At Group level the amount of material outflows due to deterioration of own credit quality, included in the components of the Liquidity Coverage Ratio, amount to €9,176 million as of 31 December 2021. Risk mitigation Monitoring and reporting In the Group the governance and control of liquidity risk is mainly performed through the setting and monitoring of operating restrictions managerial and regulatory aimed at preventing potential vulnerabilities in the bank's ability to meet its cash flow obligations that are embedded in risk metrics limits or warning/trigger levels. The short-term liquidity limits are monitored and reported daily. The structural liquidity ratios and their exposure against limits are monitored and reported monthly. The survival period and the result of the liquidity stress test are reported and monitored on a monthly basis. In case of limit breach or warning level activation at Group level, the Group risk management function investigates the rationale of the events, triggering the proper escalation and reporting them to the relevant committees. Mitigation factors Liquidity risk is considered a relevant risk category for the risk appetite determination of the Group. The practices and processes are included in the “Liquidity management & control Group policy”, that defines the principles that the Parent Company and the Legal Entities have to apply for hedging and mitigating this risk and the roles to be interpreted by the different committees and functions. Additionally, to an adequate liquidity buffer to face unexpected outflows and robust and regular up-to-date stress testing performed on a regular basis, the main liquidity mitigation factors for UniCredit group are: • an accurate plan of short-term and medium to long-term liquidity needs, to be monitored on a monthly basis; • an effective contingency liquidity policy with feasible and up-to-date contingency action plan to be executed in case of crisis; • a system of early warning indicators such to anticipate any potential liquidity crisis and give enough time to the Group to restore its safe liquidity profile. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 415 In order to execute stress tests that are consistent across the liquidity reference banks, the Group has a centralised approach to stress testing, requiring each local liquidity reference bank to run the same scenario set under the coordination of the Group risk management. The Group runs liquidity scenarios and sensitivity analyses on a regular basis, the latter by assessing the impact on an institution's financial condition of a move in one particular risk factor, whereas scenario tests tend to consider the impact of simultaneous moves in a number of risk factors, based on a hypothetical, well defined and consistent stress scenario. The Group identifies three different types of potential liquidity crisis: • market (systemic, global or sector): market downturn scenario. This scenario consists of a sudden turmoil in a monetary and capital market, which may be caused by closure (or limited access) to market/settlement system, critical political events, country crisis, credit crunch, etc.; • specific to the Group, or part of it (idiosyncratic): name crisis; the assumptions could be operational risk, events relating to the worsened perception of the Group reputational risk and a downgrade in UniCredit S.p.A. rating or other Group Legal Entities; • a combination of market and specific crisis: combined scenario. These scenarios are expected to cause a substantial reduction in the funding coming from rating-sensitive customers, CD/CPs’ investors and inter-bank markets. In addition, a possible usage of the undrawn portion of the committed lines is considered. The combined scenario is defined as a general negative development in the market environment and also as a factual or market-hypothesised problem specific to the Group. In 2021 the Group liquidity stress test result on the combined scenario was always positive. In addition to the internal stress test, the bank adopts and also monitors the liquidity coverage ratio (LCR), calculated in accordance with the provisions of Implementing Regulation (EU) 2016/322 in force from 1 October 2016 as amended by DR (EU) 2018/1620. It is the ratio between the high-quality liquid assets (HQLA) and the net cash outflows expected over the coming 30 days, under stress test conditions. The compliance with this regulatory requirement is constantly monitored by setting, in the risk appetite framework, internal limitations above the binding minimum level of 100%. Among the liquidity outflows that occur in a stress scenario, the bank monitors on a monthly basis the impact in terms of additionally required collaterals that the bank may be required to provide given a downgrade of its own credit rating. For this purpose, all the relevant rating agencies are considered. The testing is carried out on a legal entity level, but consolidated reporting is available to analyse the impact on group wide basis. Specific attention is dedicated to exposures towards special purpose vehicles (SPV). At Group level the amount of material outflows due to deterioration of own credit quality, included in the components of the Liquidity Coverage Ratio, amount to €9,176 million as of 31 December 2021. Risk mitigation Monitoring and reporting In the Group the governance and control of liquidity risk is mainly performed through the setting and monitoring of operating restrictions managerial and regulatory aimed at preventing potential vulnerabilities in the bank's ability to meet its cash flow obligations that are embedded in risk metrics limits or warning/trigger levels. The short-term liquidity limits are monitored and reported daily. The structural liquidity ratios and their exposure against limits are monitored and reported monthly. The survival period and the result of the liquidity stress test are reported and monitored on a monthly basis. In case of limit breach or warning level activation at Group level, the Group risk management function investigates the rationale of the events, triggering the proper escalation and reporting them to the relevant committees. Mitigation factors Liquidity risk is considered a relevant risk category for the risk appetite determination of the Group. The practices and processes are included in the “Liquidity management & control Group policy”, that defines the principles that the Parent Company and the Legal Entities have to apply for hedging and mitigating this risk and the roles to be interpreted by the different committees and functions. Additionally, to an adequate liquidity buffer to face unexpected outflows and robust and regular up-to-date stress testing performed on a regular basis, the main liquidity mitigation factors for UniCredit group are: • an accurate plan of short-term and medium to long-term liquidity needs, to be monitored on a monthly basis; • an effective contingency liquidity policy with feasible and up-to-date contingency action plan to be executed in case of crisis; • a system of early warning indicators such to anticipate any potential liquidity crisis and give enough time to the Group to restore its safe liquidity profile. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 416 2021 Annual Report and Accounts · UniCredit Funding plan The funding plan plays a fundamental role in the overall liquidity management influencing both the short-term and the structural position. The funding plan, defined at each level (i.e. Group, liquidity reference bank and Legal Entity level), is developed consistently with a sustainable analysis of uses and sources, both on short-term and structural positions. One of the objectives of accessing the medium and long-term channels is to avoid the pressure on the short-term liquidity position. The funding plan is updated at least on a yearly basis and is approved by the Board of Directors. In addition, it is aligned with the budgeting process and the risk appetite framework. The Parent Company accesses the market for Group capital instruments. The Parent Company coordinates the market access of the liquidity reference banks and Legal Entities, while the liquidity reference banks coordinate the access of the Legal Entities falling within their perimeter. Each Legal Entity or liquidity reference bank can access the markets for medium and long-term funding, in order to increase its self-sufficiency, exploit market opportunities and functional specialisation, safeguarding the optimisation of cost of funds of the Group. Group Finance competence line is responsible for the elaboration of the funding plan. Risk management is responsible for providing an independent assessment of the funding plan. Group contingency liquidity management The liquidity crises usually develop quickly and the relevant signals may be either difficult to interpret or may even be lacking; it is, therefore, important to clearly identify players, powers, responsibilities, communication and reporting criteria, in order to increase significantly the probability of overcoming the state of emergency successfully. A liquidity crisis could be classified as systemic (e.g. overall capital and money market disruption) or specific (e.g. specific to the bank), or a combination of both. The ability to act in time is essential to minimise the potentially disruptive consequences of a liquidity crisis. The analysis of the stress tests will form a valuable tool to identify the expected consequences and to define up front the most suitable actions in a certain crisis scenario. In combination with the early warning Indicators the organisation may be able to reduce the negative liquidity effects in the initial stages of a crisis. Therefore, a crisis-mode operating model, that can be activated effectively in case of crisis according to an approved procedure, has been defined. In order to be able to proceed timely, a set of mitigating actions have been pre-defined. Depending on the situation some of these actions can then be approved for execution. The Group contingency liquidity management global policy has the objective of ensuring effective interventions starting from the very outset (initial hours) of the liquidity crisis, through the definition of specific guidelines on activation, meetings, decisions, actions, and communications. This purpose is achieved through: • a set of early warning indicators that may help to identify emerging vulnerabilities in the Group liquidity risk position; • activation of extraordinary liquidity governance and operating model linked to indicators included in both the risk appetite and recovery and resolution plan framework; • a set of available standby mitigating liquidity actions; • consistent internal and external communication. A relevant part of the contingency liquidity management is the contingency funding plan. This plan consists of a set of potential but concrete management actions to be performed in time of crisis. These actions are described in terms of size, instrument, and timing of execution aimed at improving the bank’s liquidity position during time of crisis. The contingency funding plan is developed on the basis of the annual Funding Plan. A specific early warning indicators dashboard is in place, both at Group and Legal Entities level, in order to continuously monitor situations of stress, which may, among others, be originated by market, sector or name specific events. They are based either on macroeconomic or market indicators that also reflect the monetary policy stance of the Central Banks variables, or on specific internal metrics. The system of early warning indicators helps to identify emerging vulnerabilities in the Group’s liquidity risk position or potential funding needs, triggering a potential response by the Senior management. A “traffic light approach” is adopted for each metric in order to have sufficient time to inform senior management of a deteriorating situation and allow to put in place adequate actions aimed at restoring the business-as-usual state. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 416 2021 Annual Report and Accounts · UniCredit Funding plan The funding plan plays a fundamental role in the overall liquidity management influencing both the short-term and the structural position. The funding plan, defined at each level (i.e. Group, liquidity reference bank and Legal Entity level), is developed consistently with a sustainable analysis of uses and sources, both on short-term and structural positions. One of the objectives of accessing the medium and long-term channels is to avoid the pressure on the short-term liquidity position. The funding plan is updated at least on a yearly basis and is approved by the Board of Directors. In addition, it is aligned with the budgeting process and the risk appetite framework. The Parent Company accesses the market for Group capital instruments. The Parent Company coordinates the market access of the liquidity reference banks and Legal Entities, while the liquidity reference banks coordinate the access of the Legal Entities falling within their perimeter. Each Legal Entity or liquidity reference bank can access the markets for medium and long-term funding, in order to increase its self-sufficiency, exploit market opportunities and functional specialisation, safeguarding the optimisation of cost of funds of the Group. Group Finance competence line is responsible for the elaboration of the funding plan. Risk management is responsible for providing an independent assessment of the funding plan. Group contingency liquidity management The liquidity crises usually develop quickly and the relevant signals may be either difficult to interpret or may even be lacking; it is, therefore, important to clearly identify players, powers, responsibilities, communication and reporting criteria, in order to increase significantly the probability of overcoming the state of emergency successfully. A liquidity crisis could be classified as systemic (e.g. overall capital and money market disruption) or specific (e.g. specific to the bank), or a combination of both. The ability to act in time is essential to minimise the potentially disruptive consequences of a liquidity crisis. The analysis of the stress tests will form a valuable tool to identify the expected consequences and to define up front the most suitable actions in a certain crisis scenario. In combination with the early warning Indicators the organisation may be able to reduce the negative liquidity effects in the initial stages of a crisis. Therefore, a crisis-mode operating model, that can be activated effectively in case of crisis according to an approved procedure, has been defined. In order to be able to proceed timely, a set of mitigating actions have been pre-defined. Depending on the situation some of these actions can then be approved for execution. The Group contingency liquidity management global policy has the objective of ensuring effective interventions starting from the very outset (initial hours) of the liquidity crisis, through the definition of specific guidelines on activation, meetings, decisions, actions, and communications. This purpose is achieved through: • a set of early warning indicators that may help to identify emerging vulnerabilities in the Group liquidity risk position; • activation of extraordinary liquidity governance and operating model linked to indicators included in both the risk appetite and recovery and resolution plan framework; • a set of available standby mitigating liquidity actions; • consistent internal and external communication. A relevant part of the contingency liquidity management is the contingency funding plan. This plan consists of a set of potential but concrete management actions to be performed in time of crisis. These actions are described in terms of size, instrument, and timing of execution aimed at improving the bank’s liquidity position during time of crisis. The contingency funding plan is developed on the basis of the annual Funding Plan. A specific early warning indicators dashboard is in place, both at Group and Legal Entities level, in order to continuously monitor situations of stress, which may, among others, be originated by market, sector or name specific events. They are based either on macroeconomic or market indicators that also reflect the monetary policy stance of the Central Banks variables, or on specific internal metrics. The system of early warning indicators helps to identify emerging vulnerabilities in the Group’s liquidity risk position or potential funding needs, triggering a potential response by the Senior management. A “traffic light approach” is adopted for each metric in order to have sufficient time to inform senior management of a deteriorating situation and allow to put in place adequate actions aimed at restoring the business-as-usual state. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 416 2021 Annual Report and Accounts · UniCredit Funding plan The funding plan plays a fundamental role in the overall liquidity management influencing both the short-term and the structural position. The funding plan, defined at each level (i.e. Group, liquidity reference bank and Legal Entity level), is developed consistently with a sustainable analysis of uses and sources, both on short-term and structural positions. One of the objectives of accessing the medium and long-term channels is to avoid the pressure on the short-term liquidity position. The funding plan is updated at least on a yearly basis and is approved by the Board of Directors. In addition, it is aligned with the budgeting process and the risk appetite framework. The Parent Company accesses the market for Group capital instruments. The Parent Company coordinates the market access of the liquidity reference banks and Legal Entities, while the liquidity reference banks coordinate the access of the Legal Entities falling within their perimeter. Each Legal Entity or liquidity reference bank can access the markets for medium and long-term funding, in order to increase its self-sufficiency, exploit market opportunities and functional specialisation, safeguarding the optimisation of cost of funds of the Group. Group Finance competence line is responsible for the elaboration of the funding plan. Risk management is responsible for providing an independent assessment of the funding plan. Group contingency liquidity management The liquidity crises usually develop quickly and the relevant signals may be either difficult to interpret or may even be lacking; it is, therefore, important to clearly identify players, powers, responsibilities, communication and reporting criteria, in order to increase significantly the probability of overcoming the state of emergency successfully. A liquidity crisis could be classified as systemic (e.g. overall capital and money market disruption) or specific (e.g. specific to the bank), or a combination of both. The ability to act in time is essential to minimise the potentially disruptive consequences of a liquidity crisis. The analysis of the stress tests will form a valuable tool to identify the expected consequences and to define up front the most suitable actions in a certain crisis scenario. In combination with the early warning Indicators the organisation may be able to reduce the negative liquidity effects in the initial stages of a crisis. Therefore, a crisis-mode operating model, that can be activated effectively in case of crisis according to an approved procedure, has been defined. In order to be able to proceed timely, a set of mitigating actions have been pre-defined. Depending on the situation some of these actions can then be approved for execution. The Group contingency liquidity management global policy has the objective of ensuring effective interventions starting from the very outset (initial hours) of the liquidity crisis, through the definition of specific guidelines on activation, meetings, decisions, actions, and communications. This purpose is achieved through: • a set of early warning indicators that may help to identify emerging vulnerabilities in the Group liquidity risk position; • activation of extraordinary liquidity governance and operating model linked to indicators included in both the risk appetite and recovery and resolution plan framework; • a set of available standby mitigating liquidity actions; • consistent internal and external communication. A relevant part of the contingency liquidity management is the contingency funding plan. This plan consists of a set of potential but concrete management actions to be performed in time of crisis. These actions are described in terms of size, instrument, and timing of execution aimed at improving the bank’s liquidity position during time of crisis. The contingency funding plan is developed on the basis of the annual Funding Plan. A specific early warning indicators dashboard is in place, both at Group and Legal Entities level, in order to continuously monitor situations of stress, which may, among others, be originated by market, sector or name specific events. They are based either on macroeconomic or market indicators that also reflect the monetary policy stance of the Central Banks variables, or on specific internal metrics. The system of early warning indicators helps to identify emerging vulnerabilities in the Group’s liquidity risk position or potential funding needs, triggering a potential response by the Senior management. A “traffic light approach” is adopted for each metric in order to have sufficient time to inform senior management of a deteriorating situation and allow to put in place adequate actions aimed at restoring the business-as-usual state. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 416 2021 Annual Report and Accounts · UniCredit Funding plan The funding plan plays a fundamental role in the overall liquidity management influencing both the short-term and the structural position. The funding plan, defined at each level (i.e. Group, liquidity reference bank and Legal Entity level), is developed consistently with a sustainable analysis of uses and sources, both on short-term and structural positions. One of the objectives of accessing the medium and long-term channels is to avoid the pressure on the short-term liquidity position. The funding plan is updated at least on a yearly basis and is approved by the Board of Directors. In addition, it is aligned with the budgeting process and the risk appetite framework. The Parent Company accesses the market for Group capital instruments. The Parent Company coordinates the market access of the liquidity reference banks and Legal Entities, while the liquidity reference banks coordinate the access of the Legal Entities falling within their perimeter. Each Legal Entity or liquidity reference bank can access the markets for medium and long-term funding, in order to increase its self-sufficiency, exploit market opportunities and functional specialisation, safeguarding the optimisation of cost of funds of the Group. Group Finance competence line is responsible for the elaboration of the funding plan. Risk management is responsible for providing an independent assessment of the funding plan. Group contingency liquidity management The liquidity crises usually develop quickly and the relevant signals may be either difficult to interpret or may even be lacking; it is, therefore, important to clearly identify players, powers, responsibilities, communication and reporting criteria, in order to increase significantly the probability of overcoming the state of emergency successfully. A liquidity crisis could be classified as systemic (e.g. overall capital and money market disruption) or specific (e.g. specific to the bank), or a combination of both. The ability to act in time is essential to minimise the potentially disruptive consequences of a liquidity crisis. The analysis of the stress tests will form a valuable tool to identify the expected consequences and to define up front the most suitable actions in a certain crisis scenario. In combination with the early warning Indicators the organisation may be able to reduce the negative liquidity effects in the initial stages of a crisis. Therefore, a crisis-mode operating model, that can be activated effectively in case of crisis according to an approved procedure, has been defined. In order to be able to proceed timely, a set of mitigating actions have been pre-defined. Depending on the situation some of these actions can then be approved for execution. The Group contingency liquidity management global policy has the objective of ensuring effective interventions starting from the very outset (initial hours) of the liquidity crisis, through the definition of specific guidelines on activation, meetings, decisions, actions, and communications. This purpose is achieved through: • a set of early warning indicators that may help to identify emerging vulnerabilities in the Group liquidity risk position; • activation of extraordinary liquidity governance and operating model linked to indicators included in both the risk appetite and recovery and resolution plan framework; • a set of available standby mitigating liquidity actions; • consistent internal and external communication. A relevant part of the contingency liquidity management is the contingency funding plan. This plan consists of a set of potential but concrete management actions to be performed in time of crisis. These actions are described in terms of size, instrument, and timing of execution aimed at improving the bank’s liquidity position during time of crisis. The contingency funding plan is developed on the basis of the annual Funding Plan. A specific early warning indicators dashboard is in place, both at Group and Legal Entities level, in order to continuously monitor situations of stress, which may, among others, be originated by market, sector or name specific events. They are based either on macroeconomic or market indicators that also reflect the monetary policy stance of the Central Banks variables, or on specific internal metrics. The system of early warning indicators helps to identify emerging vulnerabilities in the Group’s liquidity risk position or potential funding needs, triggering a potential response by the Senior management. A “traffic light approach” is adopted for each metric in order to have sufficient time to inform senior management of a deteriorating situation and allow to put in place adequate actions aimed at restoring the business-as-usual state. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 416 2021 Annual Report and Accounts · UniCredit Funding plan The funding plan plays a fundamental role in the overall liquidity management influencing both the short-term and the structural position. The funding plan, defined at each level (i.e. Group, liquidity reference bank and Legal Entity level), is developed consistently with a sustainable analysis of uses and sources, both on short-term and structural positions. One of the objectives of accessing the medium and long-term channels is to avoid the pressure on the short-term liquidity position. The funding plan is updated at least on a yearly basis and is approved by the Board of Directors. In addition, it is aligned with the budgeting process and the risk appetite framework. The Parent Company accesses the market for Group capital instruments. The Parent Company coordinates the market access of the liquidity reference banks and Legal Entities, while the liquidity reference banks coordinate the access of the Legal Entities falling within their perimeter. Each Legal Entity or liquidity reference bank can access the markets for medium and long-term funding, in order to increase its self-sufficiency, exploit market opportunities and functional specialisation, safeguarding the optimisation of cost of funds of the Group. Group Finance competence line is responsible for the elaboration of the funding plan. Risk management is responsible for providing an independent assessment of the funding plan. Group contingency liquidity management The liquidity crises usually develop quickly and the relevant signals may be either difficult to interpret or may even be lacking; it is, therefore, important to clearly identify players, powers, responsibilities, communication and reporting criteria, in order to increase significantly the probability of overcoming the state of emergency successfully. A liquidity crisis could be classified as systemic (e.g. overall capital and money market disruption) or specific (e.g. specific to the bank), or a combination of both. The ability to act in time is essential to minimise the potentially disruptive consequences of a liquidity crisis. The analysis of the stress tests will form a valuable tool to identify the expected consequences and to define up front the most suitable actions in a certain crisis scenario. In combination with the early warning Indicators the organisation may be able to reduce the negative liquidity effects in the initial stages of a crisis. Therefore, a crisis-mode operating model, that can be activated effectively in case of crisis according to an approved procedure, has been defined. In order to be able to proceed timely, a set of mitigating actions have been pre-defined. Depending on the situation some of these actions can then be approved for execution. The Group contingency liquidity management global policy has the objective of ensuring effective interventions starting from the very outset (initial hours) of the liquidity crisis, through the definition of specific guidelines on activation, meetings, decisions, actions, and communications. This purpose is achieved through: • a set of early warning indicators that may help to identify emerging vulnerabilities in the Group liquidity risk position; • activation of extraordinary liquidity governance and operating model linked to indicators included in both the risk appetite and recovery and resolution plan framework; • a set of available standby mitigating liquidity actions; • consistent internal and external communication. A relevant part of the contingency liquidity management is the contingency funding plan. This plan consists of a set of potential but concrete management actions to be performed in time of crisis. These actions are described in terms of size, instrument, and timing of execution aimed at improving the bank’s liquidity position during time of crisis. The contingency funding plan is developed on the basis of the annual Funding Plan. A specific early warning indicators dashboard is in place, both at Group and Legal Entities level, in order to continuously monitor situations of stress, which may, among others, be originated by market, sector or name specific events. They are based either on macroeconomic or market indicators that also reflect the monetary policy stance of the Central Banks variables, or on specific internal metrics. The system of early warning indicators helps to identify emerging vulnerabilities in the Group’s liquidity risk position or potential funding needs, triggering a potential response by the Senior management. A “traffic light approach” is adopted for each metric in order to have sufficient time to inform senior management of a deteriorating situation and allow to put in place adequate actions aimed at restoring the business-as-usual state. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 417 Adequacy of the liquidity risk management In the yearly process of the ILAAP, the Senior management is requested to give a judgement on the adequacy of the liquidity position and stability of funding, called Liquidity Adequacy Statement (LAS). This assessment aims at showing the main drivers that had modified the liquidity position throughout the year and provides comment also on the evolution of the main metrics that are used to steer the different aspects of the liquidity risk. In 2021, the Group liquidity situation has been deemed adequate and the liquidity risk management arrangements of the institution ensure that the liquidity risk management systems put in place are adequate with regard to the institution’s profile and strategy. The framework of measurement systems and of limits in place aims to ensure that the Group has always an internal liquidity buffer/reserve that allows it to face expected and unexpected payments. In the daily Treasury activity, the (managerial) liquidity reserve is represented by the Counterbalancing Capacity (CBC). Group Treasury, in its role of operational liquidity management function is entitled to monetise also the bonds belonging to the trading book, if this is necessary to restore the liquidity positions, prevailing on any existing business or risk management strategies. From a regulatory perspective, the liquidity reserve is represented by the amount of high-quality liquid assets (HQLA). This is the numerator of the LCR and is made of assets, which can be easily and immediately converted into cash at little or no loss of value even in periods of severe idiosyncratic and market stress. These assets are unencumbered, which means free of legal, regulatory, contractual or other restrictions on the ability of the bank to liquidate, sell, transfer, or assign them. The adequacy of the liquidity reserve under both perspectives is monitored and controlled through the limitations set on the operative maturity ladder (managerial) and on the liquidity coverage ratio (regulatory), as described above. In 2021, the operative maturity ladder of the Group, measured considering the impediments in the transfer of liquidity among legal entities, was constantly above the Risk Appetite Trigger, defined at a level that ensures that the Group would have enough liquidity to survive to a period of stress. Similarly the Group liquidity coverage ratio (LCR) was always well above the trigger (set above the minimum regulatory requirement of 100%), confirming that its liquidity reserve was large enough to cover one month of stress designed according to the regulatory hypothesis. While the operative maturity ladder and the LCR restrictions ensure that the liquidity reserves are adequate, the respect of the funding gap and other structural liquidity metrics restrictions ensure that the bank maintains an appropriate balance between assets and liabilities in the medium-long term (beyond one year), preventing additional pressure on the short term liquidity position. In 2021, both the funding gap and the net stable funding ratio were above the limitations set in the risk appetite framework, thus confirming the relative stability of the funding source of the Group. Effects arising from Covid-19 pandemic The slowdown in economic activity caused by lockdowns across Europe and the measures the Governments have taken to face the effects of the current health and economic emergency impacted the Group operations in the different countries of its perimeter. The business continuity management plans were activated in order to ensure the regular execution of Treasury activities and the proper information flows to the senior management and the Supervisors. Despite the overall liquidity situation of the Group is safe and under constant control, some risks may materialize in the coming months, depending on the length of the current lockdown and expected economic recovery. The most relevant risks that the Group may face are: i) an exceptionally high usage of the committed and uncommitted lines granted to corporate customers; ii) the capacity to roll over the expiring wholesale funding and the potential cash or collateral outflows the Group may suffer in case of rating downgrades of both the banks or the sovereign debt in the geographies in which it operates. In addition to this, some risks may arise from the limitations applied to the cross-border lending among banks, which have been increased in some countries. An important mitigating factor to these risks are the contingency management policies of the bank as described in the Group system of rules and the measures set up by the European Central Bank, which have granted a higher flexibility in the management of the current liquidity situation by leveraging on the available liquidity buffers. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 417 Adequacy of the liquidity risk management In the yearly process of the ILAAP, the Senior management is requested to give a judgement on the adequacy of the liquidity position and stability of funding, called Liquidity Adequacy Statement (LAS). This assessment aims at showing the main drivers that had modified the liquidity position throughout the year and provides comment also on the evolution of the main metrics that are used to steer the different aspects of the liquidity risk. In 2021, the Group liquidity situation has been deemed adequate and the liquidity risk management arrangements of the institution ensure that the liquidity risk management systems put in place are adequate with regard to the institution’s profile and strategy. The framework of measurement systems and of limits in place aims to ensure that the Group has always an internal liquidity buffer/reserve that allows it to face expected and unexpected payments. In the daily Treasury activity, the (managerial) liquidity reserve is represented by the Counterbalancing Capacity (CBC). Group Treasury, in its role of operational liquidity management function is entitled to monetise also the bonds belonging to the trading book, if this is necessary to restore the liquidity positions, prevailing on any existing business or risk management strategies. From a regulatory perspective, the liquidity reserve is represented by the amount of high-quality liquid assets (HQLA). This is the numerator of the LCR and is made of assets, which can be easily and immediately converted into cash at little or no loss of value even in periods of severe idiosyncratic and market stress. These assets are unencumbered, which means free of legal, regulatory, contractual or other restrictions on the ability of the bank to liquidate, sell, transfer, or assign them. The adequacy of the liquidity reserve under both perspectives is monitored and controlled through the limitations set on the operative maturity ladder (managerial) and on the liquidity coverage ratio (regulatory), as described above. In 2021, the operative maturity ladder of the Group, measured considering the impediments in the transfer of liquidity among legal entities, was constantly above the Risk Appetite Trigger, defined at a level that ensures that the Group would have enough liquidity to survive to a period of stress. Similarly the Group liquidity coverage ratio (LCR) was always well above the trigger (set above the minimum regulatory requirement of 100%), confirming that its liquidity reserve was large enough to cover one month of stress designed according to the regulatory hypothesis. While the operative maturity ladder and the LCR restrictions ensure that the liquidity reserves are adequate, the respect of the funding gap and other structural liquidity metrics restrictions ensure that the bank maintains an appropriate balance between assets and liabilities in the medium-long term (beyond one year), preventing additional pressure on the short term liquidity position. In 2021, both the funding gap and the net stable funding ratio were above the limitations set in the risk appetite framework, thus confirming the relative stability of the funding source of the Group. Effects arising from Covid-19 pandemic The slowdown in economic activity caused by lockdowns across Europe and the measures the Governments have taken to face the effects of the current health and economic emergency impacted the Group operations in the different countries of its perimeter. The business continuity management plans were activated in order to ensure the regular execution of Treasury activities and the proper information flows to the senior management and the Supervisors. Despite the overall liquidity situation of the Group is safe and under constant control, some risks may materialize in the coming months, depending on the length of the current lockdown and expected economic recovery. The most relevant risks that the Group may face are: i) an exceptionally high usage of the committed and uncommitted lines granted to corporate customers; ii) the capacity to roll over the expiring wholesale funding and the potential cash or collateral outflows the Group may suffer in case of rating downgrades of both the banks or the sovereign debt in the geographies in which it operates. In addition to this, some risks may arise from the limitations applied to the cross-border lending among banks, which have been increased in some countries. An important mitigating factor to these risks are the contingency management policies of the bank as described in the Group system of rules and the measures set up by the European Central Bank, which have granted a higher flexibility in the management of the current liquidity situation by leveraging on the available liquidity buffers. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 417 Adequacy of the liquidity risk management In the yearly process of the ILAAP, the Senior management is requested to give a judgement on the adequacy of the liquidity position and stability of funding, called Liquidity Adequacy Statement (LAS). This assessment aims at showing the main drivers that had modified the liquidity position throughout the year and provides comment also on the evolution of the main metrics that are used to steer the different aspects of the liquidity risk. In 2021, the Group liquidity situation has been deemed adequate and the liquidity risk management arrangements of the institution ensure that the liquidity risk management systems put in place are adequate with regard to the institution’s profile and strategy. The framework of measurement systems and of limits in place aims to ensure that the Group has always an internal liquidity buffer/reserve that allows it to face expected and unexpected payments. In the daily Treasury activity, the (managerial) liquidity reserve is represented by the Counterbalancing Capacity (CBC). Group Treasury, in its role of operational liquidity management function is entitled to monetise also the bonds belonging to the trading book, if this is necessary to restore the liquidity positions, prevailing on any existing business or risk management strategies. From a regulatory perspective, the liquidity reserve is represented by the amount of high-quality liquid assets (HQLA). This is the numerator of the LCR and is made of assets, which can be easily and immediately converted into cash at little or no loss of value even in periods of severe idiosyncratic and market stress. These assets are unencumbered, which means free of legal, regulatory, contractual or other restrictions on the ability of the bank to liquidate, sell, transfer, or assign them. The adequacy of the liquidity reserve under both perspectives is monitored and controlled through the limitations set on the operative maturity ladder (managerial) and on the liquidity coverage ratio (regulatory), as described above. In 2021, the operative maturity ladder of the Group, measured considering the impediments in the transfer of liquidity among legal entities, was constantly above the Risk Appetite Trigger, defined at a level that ensures that the Group would have enough liquidity to survive to a period of stress. Similarly the Group liquidity coverage ratio (LCR) was always well above the trigger (set above the minimum regulatory requirement of 100%), confirming that its liquidity reserve was large enough to cover one month of stress designed according to the regulatory hypothesis. While the operative maturity ladder and the LCR restrictions ensure that the liquidity reserves are adequate, the respect of the funding gap and other structural liquidity metrics restrictions ensure that the bank maintains an appropriate balance between assets and liabilities in the medium-long term (beyond one year), preventing additional pressure on the short term liquidity position. In 2021, both the funding gap and the net stable funding ratio were above the limitations set in the risk appetite framework, thus confirming the relative stability of the funding source of the Group. Effects arising from Covid-19 pandemic The slowdown in economic activity caused by lockdowns across Europe and the measures the Governments have taken to face the effects of the current health and economic emergency impacted the Group operations in the different countries of its perimeter. The business continuity management plans were activated in order to ensure the regular execution of Treasury activities and the proper information flows to the senior management and the Supervisors. Despite the overall liquidity situation of the Group is safe and under constant control, some risks may materialize in the coming months, depending on the length of the current lockdown and expected economic recovery. The most relevant risks that the Group may face are: i) an exceptionally high usage of the committed and uncommitted lines granted to corporate customers; ii) the capacity to roll over the expiring wholesale funding and the potential cash or collateral outflows the Group may suffer in case of rating downgrades of both the banks or the sovereign debt in the geographies in which it operates. In addition to this, some risks may arise from the limitations applied to the cross-border lending among banks, which have been increased in some countries. An important mitigating factor to these risks are the contingency management policies of the bank as described in the Group system of rules and the measures set up by the European Central Bank, which have granted a higher flexibility in the management of the current liquidity situation by leveraging on the available liquidity buffers. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 417 Adequacy of the liquidity risk management In the yearly process of the ILAAP, the Senior management is requested to give a judgement on the adequacy of the liquidity position and stability of funding, called Liquidity Adequacy Statement (LAS). This assessment aims at showing the main drivers that had modified the liquidity position throughout the year and provides comment also on the evolution of the main metrics that are used to steer the different aspects of the liquidity risk. In 2021, the Group liquidity situation has been deemed adequate and the liquidity risk management arrangements of the institution ensure that the liquidity risk management systems put in place are adequate with regard to the institution’s profile and strategy. The framework of measurement systems and of limits in place aims to ensure that the Group has always an internal liquidity buffer/reserve that allows it to face expected and unexpected payments. In the daily Treasury activity, the (managerial) liquidity reserve is represented by the Counterbalancing Capacity (CBC). Group Treasury, in its role of operational liquidity management function is entitled to monetise also the bonds belonging to the trading book, if this is necessary to restore the liquidity positions, prevailing on any existing business or risk management strategies. From a regulatory perspective, the liquidity reserve is represented by the amount of high-quality liquid assets (HQLA). This is the numerator of the LCR and is made of assets, which can be easily and immediately converted into cash at little or no loss of value even in periods of severe idiosyncratic and market stress. These assets are unencumbered, which means free of legal, regulatory, contractual or other restrictions on the ability of the bank to liquidate, sell, transfer, or assign them. The adequacy of the liquidity reserve under both perspectives is monitored and controlled through the limitations set on the operative maturity ladder (managerial) and on the liquidity coverage ratio (regulatory), as described above. In 2021, the operative maturity ladder of the Group, measured considering the impediments in the transfer of liquidity among legal entities, was constantly above the Risk Appetite Trigger, defined at a level that ensures that the Group would have enough liquidity to survive to a period of stress. Similarly the Group liquidity coverage ratio (LCR) was always well above the trigger (set above the minimum regulatory requirement of 100%), confirming that its liquidity reserve was large enough to cover one month of stress designed according to the regulatory hypothesis. While the operative maturity ladder and the LCR restrictions ensure that the liquidity reserves are adequate, the respect of the funding gap and other structural liquidity metrics restrictions ensure that the bank maintains an appropriate balance between assets and liabilities in the medium-long term (beyond one year), preventing additional pressure on the short term liquidity position. In 2021, both the funding gap and the net stable funding ratio were above the limitations set in the risk appetite framework, thus confirming the relative stability of the funding source of the Group. Effects arising from Covid-19 pandemic The slowdown in economic activity caused by lockdowns across Europe and the measures the Governments have taken to face the effects of the current health and economic emergency impacted the Group operations in the different countries of its perimeter. The business continuity management plans were activated in order to ensure the regular execution of Treasury activities and the proper information flows to the senior management and the Supervisors. Despite the overall liquidity situation of the Group is safe and under constant control, some risks may materialize in the coming months, depending on the length of the current lockdown and expected economic recovery. The most relevant risks that the Group may face are: i) an exceptionally high usage of the committed and uncommitted lines granted to corporate customers; ii) the capacity to roll over the expiring wholesale funding and the potential cash or collateral outflows the Group may suffer in case of rating downgrades of both the banks or the sovereign debt in the geographies in which it operates. In addition to this, some risks may arise from the limitations applied to the cross-border lending among banks, which have been increased in some countries. An important mitigating factor to these risks are the contingency management policies of the bank as described in the Group system of rules and the measures set up by the European Central Bank, which have granted a higher flexibility in the management of the current liquidity situation by leveraging on the available liquidity buffers. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 417 Adequacy of the liquidity risk management In the yearly process of the ILAAP, the Senior management is requested to give a judgement on the adequacy of the liquidity position and stability of funding, called Liquidity Adequacy Statement (LAS). This assessment aims at showing the main drivers that had modified the liquidity position throughout the year and provides comment also on the evolution of the main metrics that are used to steer the different aspects of the liquidity risk. In 2021, the Group liquidity situation has been deemed adequate and the liquidity risk management arrangements of the institution ensure that the liquidity risk management systems put in place are adequate with regard to the institution’s profile and strategy. The framework of measurement systems and of limits in place aims to ensure that the Group has always an internal liquidity buffer/reserve that allows it to face expected and unexpected payments. In the daily Treasury activity, the (managerial) liquidity reserve is represented by the Counterbalancing Capacity (CBC). Group Treasury, in its role of operational liquidity management function is entitled to monetise also the bonds belonging to the trading book, if this is necessary to restore the liquidity positions, prevailing on any existing business or risk management strategies. From a regulatory perspective, the liquidity reserve is represented by the amount of high-quality liquid assets (HQLA). This is the numerator of the LCR and is made of assets, which can be easily and immediately converted into cash at little or no loss of value even in periods of severe idiosyncratic and market stress. These assets are unencumbered, which means free of legal, regulatory, contractual or other restrictions on the ability of the bank to liquidate, sell, transfer, or assign them. The adequacy of the liquidity reserve under both perspectives is monitored and controlled through the limitations set on the operative maturity ladder (managerial) and on the liquidity coverage ratio (regulatory), as described above. In 2021, the operative maturity ladder of the Group, measured considering the impediments in the transfer of liquidity among legal entities, was constantly above the Risk Appetite Trigger, defined at a level that ensures that the Group would have enough liquidity to survive to a period of stress. Similarly the Group liquidity coverage ratio (LCR) was always well above the trigger (set above the minimum regulatory requirement of 100%), confirming that its liquidity reserve was large enough to cover one month of stress designed according to the regulatory hypothesis. While the operative maturity ladder and the LCR restrictions ensure that the liquidity reserves are adequate, the respect of the funding gap and other structural liquidity metrics restrictions ensure that the bank maintains an appropriate balance between assets and liabilities in the medium-long term (beyond one year), preventing additional pressure on the short term liquidity position. In 2021, both the funding gap and the net stable funding ratio were above the limitations set in the risk appetite framework, thus confirming the relative stability of the funding source of the Group. Effects arising from Covid-19 pandemic The slowdown in economic activity caused by lockdowns across Europe and the measures the Governments have taken to face the effects of the current health and economic emergency impacted the Group operations in the different countries of its perimeter. The business continuity management plans were activated in order to ensure the regular execution of Treasury activities and the proper information flows to the senior management and the Supervisors. Despite the overall liquidity situation of the Group is safe and under constant control, some risks may materialize in the coming months, depending on the length of the current lockdown and expected economic recovery. The most relevant risks that the Group may face are: i) an exceptionally high usage of the committed and uncommitted lines granted to corporate customers; ii) the capacity to roll over the expiring wholesale funding and the potential cash or collateral outflows the Group may suffer in case of rating downgrades of both the banks or the sovereign debt in the geographies in which it operates. In addition to this, some risks may arise from the limitations applied to the cross-border lending among banks, which have been increased in some countries. An important mitigating factor to these risks are the contingency management policies of the bank as described in the Group system of rules and the measures set up by the European Central Bank, which have granted a higher flexibility in the management of the current liquidity situation by leveraging on the available liquidity buffers. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 418 2021 Annual Report and Accounts · UniCredit Quantitative information 1. Time breakdown by contractual residual maturity of financial assets and liabilities (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 69,485 20,915 12,049 18,806 35,284 31,207 53,150 249,038 195,483 34,697 A.1 Government securities 26 - 942 568 1,655 4,161 11,355 64,345 35,428 - A.2 Other debt securities 46 72 155 490 847 937 2,020 18,949 18,820 130 A.3 Units in investment funds 1,361 - - - - - - - - 2,468 A.4 Loans 68,052 20,843 10,952 17,748 32,782 26,109 39,775 165,744 141,235 32,099 - Banks 24,689 10,026 4,767 2,019 5,963 3,879 2,189 4,192 319 25,796 - Customers 43,363 10,817 6,185 15,729 26,819 22,230 37,586 161,552 140,916 6,303 B. On-balance sheet liabilities 445,526 23,922 11,327 16,063 38,731 26,954 18,980 150,048 51,793 2,851 B.1. Deposits and current accounts 433,248 5,614 5,661 9,908 27,599 13,372 7,939 57,479 9,799 1 - Banks 14,470 1,938 1,320 3,461 2,615 8,957 1,308 52,948 8,572 - - Customers 418,778 3,676 4,341 6,447 24,984 4,415 6,631 4,531 1,227 1 B.2 Debt securities 42 907 3,120 2,241 6,636 6,670 10,559 37,879 37,627 2,690 B.3 Other liabilities 12,236 17,401 2,546 3,914 4,496 6,912 482 54,690 4,367 160 C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 22,797 38,886 45,037 82,513 339,700 301,992 415,081 969,956 840,321 - - Short positions 41 41,781 44,938 91,370 281,134 269,387 287,835 830,335 862,864 - C.2 Financial derivatives without capital swap - Long positions 13,336 1,127 712 1,216 2,598 1,773 4,451 13,128 5,476 - - Short positions 12,238 862 755 1,159 2,677 1,664 4,477 12,882 5,578 - C.3 Deposits and loans to be received - Long positions 5 27,776 2 - 368 1,361 811 181 - - - Short positions - 20,366 2 4,352 1,997 1,976 1,563 246 - - C.4 Commitments to disburse funds - Long positions 78,364 5,934 67 1,790 3,598 3,034 5,290 15,281 6,505 2,640 - Short positions 92,332 20 67 1,378 3,460 2,322 3,947 11,866 4,492 2,619 C.5 Financial guarantees given 849 63 12 102 441 1,069 2,816 7,675 694 - C.6 Financial guarantees received 24,342 9 14 550 923 1,354 4,195 7,979 12,985 8,156 C.7 Credit derivatives with capital swap - Long positions - - - 10 9 398 408 7,075 290 - - Short positions - - - 18 75 192 492 8,151 33 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - 166 - - Short positions - - - - - - - - 166 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 418 2021 Annual Report and Accounts · UniCredit Quantitative information 1. Time breakdown by contractual residual maturity of financial assets and liabilities (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 69,485 20,915 12,049 18,806 35,284 31,207 53,150 249,038 195,483 34,697 A.1 Government securities 26 - 942 568 1,655 4,161 11,355 64,345 35,428 - A.2 Other debt securities 46 72 155 490 847 937 2,020 18,949 18,820 130 A.3 Units in investment funds 1,361 - - - - - - - - 2,468 A.4 Loans 68,052 20,843 10,952 17,748 32,782 26,109 39,775 165,744 141,235 32,099 - Banks 24,689 10,026 4,767 2,019 5,963 3,879 2,189 4,192 319 25,796 - Customers 43,363 10,817 6,185 15,729 26,819 22,230 37,586 161,552 140,916 6,303 B. On-balance sheet liabilities 445,526 23,922 11,327 16,063 38,731 26,954 18,980 150,048 51,793 2,851 B.1. Deposits and current accounts 433,248 5,614 5,661 9,908 27,599 13,372 7,939 57,479 9,799 1 - Banks 14,470 1,938 1,320 3,461 2,615 8,957 1,308 52,948 8,572 - - Customers 418,778 3,676 4,341 6,447 24,984 4,415 6,631 4,531 1,227 1 B.2 Debt securities 42 907 3,120 2,241 6,636 6,670 10,559 37,879 37,627 2,690 B.3 Other liabilities 12,236 17,401 2,546 3,914 4,496 6,912 482 54,690 4,367 160 C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 22,797 38,886 45,037 82,513 339,700 301,992 415,081 969,956 840,321 - - Short positions 41 41,781 44,938 91,370 281,134 269,387 287,835 830,335 862,864 - C.2 Financial derivatives without capital swap - Long positions 13,336 1,127 712 1,216 2,598 1,773 4,451 13,128 5,476 - - Short positions 12,238 862 755 1,159 2,677 1,664 4,477 12,882 5,578 - C.3 Deposits and loans to be received - Long positions 5 27,776 2 - 368 1,361 811 181 - - - Short positions - 20,366 2 4,352 1,997 1,976 1,563 246 - - C.4 Commitments to disburse funds - Long positions 78,364 5,934 67 1,790 3,598 3,034 5,290 15,281 6,505 2,640 - Short positions 92,332 20 67 1,378 3,460 2,322 3,947 11,866 4,492 2,619 C.5 Financial guarantees given 849 63 12 102 441 1,069 2,816 7,675 694 - C.6 Financial guarantees received 24,342 9 14 550 923 1,354 4,195 7,979 12,985 8,156 C.7 Credit derivatives with capital swap - Long positions - - - 10 9 398 408 7,075 290 - - Short positions - - - 18 75 192 492 8,151 33 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - 166 - - Short positions - - - - - - - - 166 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 418 2021 Annual Report and Accounts · UniCredit Quantitative information 1. Time breakdown by contractual residual maturity of financial assets and liabilities (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 69,485 20,915 12,049 18,806 35,284 31,207 53,150 249,038 195,483 34,697 A.1 Government securities 26 - 942 568 1,655 4,161 11,355 64,345 35,428 - A.2 Other debt securities 46 72 155 490 847 937 2,020 18,949 18,820 130 A.3 Units in investment funds 1,361 - - - - - - - - 2,468 A.4 Loans 68,052 20,843 10,952 17,748 32,782 26,109 39,775 165,744 141,235 32,099 - Banks 24,689 10,026 4,767 2,019 5,963 3,879 2,189 4,192 319 25,796 - Customers 43,363 10,817 6,185 15,729 26,819 22,230 37,586 161,552 140,916 6,303 B. On-balance sheet liabilities 445,526 23,922 11,327 16,063 38,731 26,954 18,980 150,048 51,793 2,851 B.1. Deposits and current accounts 433,248 5,614 5,661 9,908 27,599 13,372 7,939 57,479 9,799 1 - Banks 14,470 1,938 1,320 3,461 2,615 8,957 1,308 52,948 8,572 - - Customers 418,778 3,676 4,341 6,447 24,984 4,415 6,631 4,531 1,227 1 B.2 Debt securities 42 907 3,120 2,241 6,636 6,670 10,559 37,879 37,627 2,690 B.3 Other liabilities 12,236 17,401 2,546 3,914 4,496 6,912 482 54,690 4,367 160 C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 22,797 38,886 45,037 82,513 339,700 301,992 415,081 969,956 840,321 - - Short positions 41 41,781 44,938 91,370 281,134 269,387 287,835 830,335 862,864 - C.2 Financial derivatives without capital swap - Long positions 13,336 1,127 712 1,216 2,598 1,773 4,451 13,128 5,476 - - Short positions 12,238 862 755 1,159 2,677 1,664 4,477 12,882 5,578 - C.3 Deposits and loans to be received - Long positions 5 27,776 2 - 368 1,361 811 181 - - - Short positions - 20,366 2 4,352 1,997 1,976 1,563 246 - - C.4 Commitments to disburse funds - Long positions 78,364 5,934 67 1,790 3,598 3,034 5,290 15,281 6,505 2,640 - Short positions 92,332 20 67 1,378 3,460 2,322 3,947 11,866 4,492 2,619 C.5 Financial guarantees given 849 63 12 102 441 1,069 2,816 7,675 694 - C.6 Financial guarantees received 24,342 9 14 550 923 1,354 4,195 7,979 12,985 8,156 C.7 Credit derivatives with capital swap - Long positions - - - 10 9 398 408 7,075 290 - - Short positions - - - 18 75 192 492 8,151 33 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - 166 - - Short positions - - - - - - - - 166 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 418 2021 Annual Report and Accounts · UniCredit Quantitative information 1. Time breakdown by contractual residual maturity of financial assets and liabilities (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 69,485 20,915 12,049 18,806 35,284 31,207 53,150 249,038 195,483 34,697 A.1 Government securities 26 - 942 568 1,655 4,161 11,355 64,345 35,428 - A.2 Other debt securities 46 72 155 490 847 937 2,020 18,949 18,820 130 A.3 Units in investment funds 1,361 - - - - - - - - 2,468 A.4 Loans 68,052 20,843 10,952 17,748 32,782 26,109 39,775 165,744 141,235 32,099 - Banks 24,689 10,026 4,767 2,019 5,963 3,879 2,189 4,192 319 25,796 - Customers 43,363 10,817 6,185 15,729 26,819 22,230 37,586 161,552 140,916 6,303 B. On-balance sheet liabilities 445,526 23,922 11,327 16,063 38,731 26,954 18,980 150,048 51,793 2,851 B.1. Deposits and current accounts 433,248 5,614 5,661 9,908 27,599 13,372 7,939 57,479 9,799 1 - Banks 14,470 1,938 1,320 3,461 2,615 8,957 1,308 52,948 8,572 - - Customers 418,778 3,676 4,341 6,447 24,984 4,415 6,631 4,531 1,227 1 B.2 Debt securities 42 907 3,120 2,241 6,636 6,670 10,559 37,879 37,627 2,690 B.3 Other liabilities 12,236 17,401 2,546 3,914 4,496 6,912 482 54,690 4,367 160 C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 22,797 38,886 45,037 82,513 339,700 301,992 415,081 969,956 840,321 - - Short positions 41 41,781 44,938 91,370 281,134 269,387 287,835 830,335 862,864 - C.2 Financial derivatives without capital swap - Long positions 13,336 1,127 712 1,216 2,598 1,773 4,451 13,128 5,476 - - Short positions 12,238 862 755 1,159 2,677 1,664 4,477 12,882 5,578 - C.3 Deposits and loans to be received - Long positions 5 27,776 2 - 368 1,361 811 181 - - - Short positions - 20,366 2 4,352 1,997 1,976 1,563 246 - - C.4 Commitments to disburse funds - Long positions 78,364 5,934 67 1,790 3,598 3,034 5,290 15,281 6,505 2,640 - Short positions 92,332 20 67 1,378 3,460 2,322 3,947 11,866 4,492 2,619 C.5 Financial guarantees given 849 63 12 102 441 1,069 2,816 7,675 694 - C.6 Financial guarantees received 24,342 9 14 550 923 1,354 4,195 7,979 12,985 8,156 C.7 Credit derivatives with capital swap - Long positions - - - 10 9 398 408 7,075 290 - - Short positions - - - 18 75 192 492 8,151 33 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - 166 - - Short positions - - - - - - - - 166 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 418 2021 Annual Report and Accounts · UniCredit Quantitative information 1. Time breakdown by contractual residual maturity of financial assets and liabilities (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 69,485 20,915 12,049 18,806 35,284 31,207 53,150 249,038 195,483 34,697 A.1 Government securities 26 - 942 568 1,655 4,161 11,355 64,345 35,428 - A.2 Other debt securities 46 72 155 490 847 937 2,020 18,949 18,820 130 A.3 Units in investment funds 1,361 - - - - - - - - 2,468 A.4 Loans 68,052 20,843 10,952 17,748 32,782 26,109 39,775 165,744 141,235 32,099 - Banks 24,689 10,026 4,767 2,019 5,963 3,879 2,189 4,192 319 25,796 - Customers 43,363 10,817 6,185 15,729 26,819 22,230 37,586 161,552 140,916 6,303 B. On-balance sheet liabilities 445,526 23,922 11,327 16,063 38,731 26,954 18,980 150,048 51,793 2,851 B.1. Deposits and current accounts 433,248 5,614 5,661 9,908 27,599 13,372 7,939 57,479 9,799 1 - Banks 14,470 1,938 1,320 3,461 2,615 8,957 1,308 52,948 8,572 - - Customers 418,778 3,676 4,341 6,447 24,984 4,415 6,631 4,531 1,227 1 B.2 Debt securities 42 907 3,120 2,241 6,636 6,670 10,559 37,879 37,627 2,690 B.3 Other liabilities 12,236 17,401 2,546 3,914 4,496 6,912 482 54,690 4,367 160 C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 22,797 38,886 45,037 82,513 339,700 301,992 415,081 969,956 840,321 - - Short positions 41 41,781 44,938 91,370 281,134 269,387 287,835 830,335 862,864 - C.2 Financial derivatives without capital swap - Long positions 13,336 1,127 712 1,216 2,598 1,773 4,451 13,128 5,476 - - Short positions 12,238 862 755 1,159 2,677 1,664 4,477 12,882 5,578 - C.3 Deposits and loans to be received - Long positions 5 27,776 2 - 368 1,361 811 181 - - - Short positions - 20,366 2 4,352 1,997 1,976 1,563 246 - - C.4 Commitments to disburse funds - Long positions 78,364 5,934 67 1,790 3,598 3,034 5,290 15,281 6,505 2,640 - Short positions 92,332 20 67 1,378 3,460 2,322 3,947 11,866 4,492 2,619 C.5 Financial guarantees given 849 63 12 102 441 1,069 2,816 7,675 694 - C.6 Financial guarantees received 24,342 9 14 550 923 1,354 4,195 7,979 12,985 8,156 C.7 Credit derivatives with capital swap - Long positions - - - 10 9 398 408 7,075 290 - - Short positions - - - 18 75 192 492 8,151 33 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - 166 - - Short positions - - - - - - - - 166 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 419 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: euro (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 64,982 15,119 7,884 16,670 29,885 26,775 45,027 217,966 172,047 34,678 A.1 Government securities 22 - 939 562 1,420 3,905 9,120 55,992 28,104 - A.2 Other debt securities 46 72 148 452 793 875 1,715 17,212 16,851 124 A.3 Units in investment funds 1,195 - - - - - - - - 2,465 A.4 Loans 63,719 15,047 6,797 15,656 27,672 21,995 34,192 144,762 127,092 32,089 - Banks 24,043 4,813 992 1,434 3,854 2,971 1,851 3,060 319 25,796 - Customers 39,676 10,234 5,805 14,222 23,818 19,024 32,341 141,702 126,773 6,293 B. On-balance sheet liabilities 398,163 21,415 4,288 12,028 35,155 23,700 16,366 143,587 45,211 2,851 B.1. Deposits and current accounts 386,130 3,137 1,381 6,477 24,629 11,811 5,701 55,361 9,448 1 - Banks 11,943 553 724 2,833 1,961 8,504 1,161 51,635 8,429 - - Customers 374,187 2,584 657 3,644 22,668 3,307 4,540 3,726 1,019 1 B.2 Debt securities 42 907 361 2,209 6,608 4,979 10,218 33,546 31,403 2,690 B.3 Other liabilities 11,991 17,371 2,546 3,342 3,918 6,910 447 54,680 4,360 160 C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 7,679 22,799 29,072 57,323 278,386 260,172 373,755 844,464 770,316 - - Short positions 22 30,225 36,044 74,833 229,509 237,152 256,186 735,344 811,117 - C.2 Financial derivatives without capital swap - Long positions 11,906 225 195 501 1,159 993 1,767 5,293 2,620 - - Short positions 9,993 325 256 593 1,366 1,020 1,947 5,163 2,812 - C.3 Deposits and loans to be received - Long positions - 27,776 - - 368 1,361 811 181 - - - Short positions - 20,366 - 4,352 1,997 1,976 1,559 246 - - C.4 Commitments to disburse funds - Long positions 76,324 5,924 28 1,436 2,908 2,248 3,082 12,476 4,776 1,060 - Short positions 89,714 9 28 1,226 2,619 1,565 1,805 9,117 3,118 1,060 C.5 Financial guarantees given 788 9 8 53 173 206 645 2,741 331 - C.6 Financial guarantees received 22,714 8 6 444 813 720 4,074 6,512 12,685 6,404 C.7 Credit derivatives with capital swap - Long positions - - - - - 230 316 6,853 233 - - Short positions - - - 18 75 155 185 7,900 32 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - 166 - - Short positions - - - - - - - - 166 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 419 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: euro (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 64,982 15,119 7,884 16,670 29,885 26,775 45,027 217,966 172,047 34,678 A.1 Government securities 22 - 939 562 1,420 3,905 9,120 55,992 28,104 - A.2 Other debt securities 46 72 148 452 793 875 1,715 17,212 16,851 124 A.3 Units in investment funds 1,195 - - - - - - - - 2,465 A.4 Loans 63,719 15,047 6,797 15,656 27,672 21,995 34,192 144,762 127,092 32,089 - Banks 24,043 4,813 992 1,434 3,854 2,971 1,851 3,060 319 25,796 - Customers 39,676 10,234 5,805 14,222 23,818 19,024 32,341 141,702 126,773 6,293 B. On-balance sheet liabilities 398,163 21,415 4,288 12,028 35,155 23,700 16,366 143,587 45,211 2,851 B.1. Deposits and current accounts 386,130 3,137 1,381 6,477 24,629 11,811 5,701 55,361 9,448 1 - Banks 11,943 553 724 2,833 1,961 8,504 1,161 51,635 8,429 - - Customers 374,187 2,584 657 3,644 22,668 3,307 4,540 3,726 1,019 1 B.2 Debt securities 42 907 361 2,209 6,608 4,979 10,218 33,546 31,403 2,690 B.3 Other liabilities 11,991 17,371 2,546 3,342 3,918 6,910 447 54,680 4,360 160 C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 7,679 22,799 29,072 57,323 278,386 260,172 373,755 844,464 770,316 - - Short positions 22 30,225 36,044 74,833 229,509 237,152 256,186 735,344 811,117 - C.2 Financial derivatives without capital swap - Long positions 11,906 225 195 501 1,159 993 1,767 5,293 2,620 - - Short positions 9,993 325 256 593 1,366 1,020 1,947 5,163 2,812 - C.3 Deposits and loans to be received - Long positions - 27,776 - - 368 1,361 811 181 - - - Short positions - 20,366 - 4,352 1,997 1,976 1,559 246 - - C.4 Commitments to disburse funds - Long positions 76,324 5,924 28 1,436 2,908 2,248 3,082 12,476 4,776 1,060 - Short positions 89,714 9 28 1,226 2,619 1,565 1,805 9,117 3,118 1,060 C.5 Financial guarantees given 788 9 8 53 173 206 645 2,741 331 - C.6 Financial guarantees received 22,714 8 6 444 813 720 4,074 6,512 12,685 6,404 C.7 Credit derivatives with capital swap - Long positions - - - - - 230 316 6,853 233 - - Short positions - - - 18 75 155 185 7,900 32 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - 166 - - Short positions - - - - - - - - 166 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 419 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: euro (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 64,982 15,119 7,884 16,670 29,885 26,775 45,027 217,966 172,047 34,678 A.1 Government securities 22 - 939 562 1,420 3,905 9,120 55,992 28,104 - A.2 Other debt securities 46 72 148 452 793 875 1,715 17,212 16,851 124 A.3 Units in investment funds 1,195 - - - - - - - - 2,465 A.4 Loans 63,719 15,047 6,797 15,656 27,672 21,995 34,192 144,762 127,092 32,089 - Banks 24,043 4,813 992 1,434 3,854 2,971 1,851 3,060 319 25,796 - Customers 39,676 10,234 5,805 14,222 23,818 19,024 32,341 141,702 126,773 6,293 B. On-balance sheet liabilities 398,163 21,415 4,288 12,028 35,155 23,700 16,366 143,587 45,211 2,851 B.1. Deposits and current accounts 386,130 3,137 1,381 6,477 24,629 11,811 5,701 55,361 9,448 1 - Banks 11,943 553 724 2,833 1,961 8,504 1,161 51,635 8,429 - - Customers 374,187 2,584 657 3,644 22,668 3,307 4,540 3,726 1,019 1 B.2 Debt securities 42 907 361 2,209 6,608 4,979 10,218 33,546 31,403 2,690 B.3 Other liabilities 11,991 17,371 2,546 3,342 3,918 6,910 447 54,680 4,360 160 C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 7,679 22,799 29,072 57,323 278,386 260,172 373,755 844,464 770,316 - - Short positions 22 30,225 36,044 74,833 229,509 237,152 256,186 735,344 811,117 - C.2 Financial derivatives without capital swap - Long positions 11,906 225 195 501 1,159 993 1,767 5,293 2,620 - - Short positions 9,993 325 256 593 1,366 1,020 1,947 5,163 2,812 - C.3 Deposits and loans to be received - Long positions - 27,776 - - 368 1,361 811 181 - - - Short positions - 20,366 - 4,352 1,997 1,976 1,559 246 - - C.4 Commitments to disburse funds - Long positions 76,324 5,924 28 1,436 2,908 2,248 3,082 12,476 4,776 1,060 - Short positions 89,714 9 28 1,226 2,619 1,565 1,805 9,117 3,118 1,060 C.5 Financial guarantees given 788 9 8 53 173 206 645 2,741 331 - C.6 Financial guarantees received 22,714 8 6 444 813 720 4,074 6,512 12,685 6,404 C.7 Credit derivatives with capital swap - Long positions - - - - - 230 316 6,853 233 - - Short positions - - - 18 75 155 185 7,900 32 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - 166 - - Short positions - - - - - - - - 166 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 419 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: euro (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 64,982 15,119 7,884 16,670 29,885 26,775 45,027 217,966 172,047 34,678 A.1 Government securities 22 - 939 562 1,420 3,905 9,120 55,992 28,104 - A.2 Other debt securities 46 72 148 452 793 875 1,715 17,212 16,851 124 A.3 Units in investment funds 1,195 - - - - - - - - 2,465 A.4 Loans 63,719 15,047 6,797 15,656 27,672 21,995 34,192 144,762 127,092 32,089 - Banks 24,043 4,813 992 1,434 3,854 2,971 1,851 3,060 319 25,796 - Customers 39,676 10,234 5,805 14,222 23,818 19,024 32,341 141,702 126,773 6,293 B. On-balance sheet liabilities 398,163 21,415 4,288 12,028 35,155 23,700 16,366 143,587 45,211 2,851 B.1. Deposits and current accounts 386,130 3,137 1,381 6,477 24,629 11,811 5,701 55,361 9,448 1 - Banks 11,943 553 724 2,833 1,961 8,504 1,161 51,635 8,429 - - Customers 374,187 2,584 657 3,644 22,668 3,307 4,540 3,726 1,019 1 B.2 Debt securities 42 907 361 2,209 6,608 4,979 10,218 33,546 31,403 2,690 B.3 Other liabilities 11,991 17,371 2,546 3,342 3,918 6,910 447 54,680 4,360 160 C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 7,679 22,799 29,072 57,323 278,386 260,172 373,755 844,464 770,316 - - Short positions 22 30,225 36,044 74,833 229,509 237,152 256,186 735,344 811,117 - C.2 Financial derivatives without capital swap - Long positions 11,906 225 195 501 1,159 993 1,767 5,293 2,620 - - Short positions 9,993 325 256 593 1,366 1,020 1,947 5,163 2,812 - C.3 Deposits and loans to be received - Long positions - 27,776 - - 368 1,361 811 181 - - - Short positions - 20,366 - 4,352 1,997 1,976 1,559 246 - - C.4 Commitments to disburse funds - Long positions 76,324 5,924 28 1,436 2,908 2,248 3,082 12,476 4,776 1,060 - Short positions 89,714 9 28 1,226 2,619 1,565 1,805 9,117 3,118 1,060 C.5 Financial guarantees given 788 9 8 53 173 206 645 2,741 331 - C.6 Financial guarantees received 22,714 8 6 444 813 720 4,074 6,512 12,685 6,404 C.7 Credit derivatives with capital swap - Long positions - - - - - 230 316 6,853 233 - - Short positions - - - 18 75 155 185 7,900 32 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - 166 - - Short positions - - - - - - - - 166 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 419 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: euro (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 64,982 15,119 7,884 16,670 29,885 26,775 45,027 217,966 172,047 34,678 A.1 Government securities 22 - 939 562 1,420 3,905 9,120 55,992 28,104 - A.2 Other debt securities 46 72 148 452 793 875 1,715 17,212 16,851 124 A.3 Units in investment funds 1,195 - - - - - - - - 2,465 A.4 Loans 63,719 15,047 6,797 15,656 27,672 21,995 34,192 144,762 127,092 32,089 - Banks 24,043 4,813 992 1,434 3,854 2,971 1,851 3,060 319 25,796 - Customers 39,676 10,234 5,805 14,222 23,818 19,024 32,341 141,702 126,773 6,293 B. On-balance sheet liabilities 398,163 21,415 4,288 12,028 35,155 23,700 16,366 143,587 45,211 2,851 B.1. Deposits and current accounts 386,130 3,137 1,381 6,477 24,629 11,811 5,701 55,361 9,448 1 - Banks 11,943 553 724 2,833 1,961 8,504 1,161 51,635 8,429 - - Customers 374,187 2,584 657 3,644 22,668 3,307 4,540 3,726 1,019 1 B.2 Debt securities 42 907 361 2,209 6,608 4,979 10,218 33,546 31,403 2,690 B.3 Other liabilities 11,991 17,371 2,546 3,342 3,918 6,910 447 54,680 4,360 160 C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 7,679 22,799 29,072 57,323 278,386 260,172 373,755 844,464 770,316 - - Short positions 22 30,225 36,044 74,833 229,509 237,152 256,186 735,344 811,117 - C.2 Financial derivatives without capital swap - Long positions 11,906 225 195 501 1,159 993 1,767 5,293 2,620 - - Short positions 9,993 325 256 593 1,366 1,020 1,947 5,163 2,812 - C.3 Deposits and loans to be received - Long positions - 27,776 - - 368 1,361 811 181 - - - Short positions - 20,366 - 4,352 1,997 1,976 1,559 246 - - C.4 Commitments to disburse funds - Long positions 76,324 5,924 28 1,436 2,908 2,248 3,082 12,476 4,776 1,060 - Short positions 89,714 9 28 1,226 2,619 1,565 1,805 9,117 3,118 1,060 C.5 Financial guarantees given 788 9 8 53 173 206 645 2,741 331 - C.6 Financial guarantees received 22,714 8 6 444 813 720 4,074 6,512 12,685 6,404 C.7 Credit derivatives with capital swap - Long positions - - - - - 230 316 6,853 233 - - Short positions - - - 18 75 155 185 7,900 32 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - 166 - - Short positions - - - - - - - - 166 - Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 420 2021 Annual Report and Accounts · UniCredit 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: other currencies (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 4,503 5,796 4,165 2,136 5,399 4,432 8,123 31,072 23,436 19 A.1 Government securities 4 - 3 6 235 256 2,235 8,353 7,324 - A.2 Other debt securities - - 7 38 54 62 305 1,737 1,969 6 A.3 Units in investment funds 166 - - - - - - - - 3 A.4 Loans 4,333 5,796 4,155 2,092 5,110 4,114 5,583 20,982 14,143 10 - Banks 646 5,213 3,775 585 2,109 908 338 1,132 - - - Customers 3,687 583 380 1,507 3,001 3,206 5,245 19,850 14,143 10 B. On-balance sheet liabilities 47,363 2,507 7,039 4,035 3,576 3,254 2,614 6,461 6,582 - B.1. Deposits and current accounts 47,118 2,477 4,280 3,431 2,970 1,561 2,238 2,118 351 - - Banks 2,527 1,385 596 628 654 453 147 1,313 143 - - Customers 44,591 1,092 3,684 2,803 2,316 1,108 2,091 805 208 - B.2 Debt securities - - 2,759 32 28 1,691 341 4,333 6,224 - B.3 Other liabilities 245 30 - 572 578 2 35 10 7 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 15,118 16,087 15,965 25,190 61,314 41,820 41,326 125,492 70,005 - - Short positions 19 11,556 8,894 16,537 51,625 32,235 31,649 94,991 51,747 - C.2 Financial derivatives without capital swap - Long positions 1,430 902 517 715 1,439 780 2,684 7,835 2,856 - - Short positions 2,245 537 499 566 1,311 644 2,530 7,719 2,766 - C.3 Deposits and loans to be received - Long positions 5 - 2 - - - - - - - - Short positions - - 2 - - - 4 - - - C.4 Commitments to disburse funds - Long positions 2,040 10 39 354 690 786 2,208 2,805 1,729 1,580 - Short positions 2,618 11 39 152 841 757 2,142 2,749 1,374 1,559 C.5 Financial guarantees given 61 54 4 49 268 863 2,171 4,934 363 - C.6 Financial guarantees received 1,628 1 8 106 110 634 121 1,467 300 1,752 C.7 Credit derivatives with capital swap - Long positions - - - 10 9 168 92 222 57 - - Short positions - - - - - 37 307 251 1 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - 2.5 Operational risks Qualitative information A. General aspects, operational processes and methods for measuring operational risk Operational risk definition Operational risk is the risk of loss due to errors, infringements, interruptions, damages caused by internal processes or personnel systems or caused by external events. This definition includes legal and compliance risks but excludes strategic and reputational risk. For example, losses arising from the following can be defined as operational internal or external fraud, employment practices and workplace safety, client claims, products distribution, fines and penalties due to regulation breaches, damages to the company’s physical assets, business disruption and system failures, process management. Group operational risk framework UniCredit group sets the operational risk management framework as a combination of policies and procedures for the identification, the assessment and measurement, the addressing and mitigation, the monitoring and reporting of the operational risk of the Group and of the controlled entities. The operational risk policies, applying to all Group Legal Entities, are common principles defining the roles of the company bodies, the operational risk management function, as well as the relationship with other functions involved in operational risk monitoring and management. The Parent company coordinates the Group Legal Entities according to the internal regulation and the Group operational risk control rulebook. A specific Risks Committee Group Non-Financial Risks and Controls Committee (GNFRC) is set up to monitor risk exposure, mitigating actions, measurement and control methods within the Group. With particular reference to UniCredit S.p.A. the Italy Non-Financial Risks and Controls Committee (INFRCC) supports the Head of Italy in the role of steering and monitoring of the Non-Financial Risks (NFRs) at Italy level, also overseeing the related internal control system (ICS). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 420 2021 Annual Report and Accounts · UniCredit 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: other currencies (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 4,503 5,796 4,165 2,136 5,399 4,432 8,123 31,072 23,436 19 A.1 Government securities 4 - 3 6 235 256 2,235 8,353 7,324 - A.2 Other debt securities - - 7 38 54 62 305 1,737 1,969 6 A.3 Units in investment funds 166 - - - - - - - - 3 A.4 Loans 4,333 5,796 4,155 2,092 5,110 4,114 5,583 20,982 14,143 10 - Banks 646 5,213 3,775 585 2,109 908 338 1,132 - - - Customers 3,687 583 380 1,507 3,001 3,206 5,245 19,850 14,143 10 B. On-balance sheet liabilities 47,363 2,507 7,039 4,035 3,576 3,254 2,614 6,461 6,582 - B.1. Deposits and current accounts 47,118 2,477 4,280 3,431 2,970 1,561 2,238 2,118 351 - - Banks 2,527 1,385 596 628 654 453 147 1,313 143 - - Customers 44,591 1,092 3,684 2,803 2,316 1,108 2,091 805 208 - B.2 Debt securities - - 2,759 32 28 1,691 341 4,333 6,224 - B.3 Other liabilities 245 30 - 572 578 2 35 10 7 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 15,118 16,087 15,965 25,190 61,314 41,820 41,326 125,492 70,005 - - Short positions 19 11,556 8,894 16,537 51,625 32,235 31,649 94,991 51,747 - C.2 Financial derivatives without capital swap - Long positions 1,430 902 517 715 1,439 780 2,684 7,835 2,856 - - Short positions 2,245 537 499 566 1,311 644 2,530 7,719 2,766 - C.3 Deposits and loans to be received - Long positions 5 - 2 - - - - - - - - Short positions - - 2 - - - 4 - - - C.4 Commitments to disburse funds - Long positions 2,040 10 39 354 690 786 2,208 2,805 1,729 1,580 - Short positions 2,618 11 39 152 841 757 2,142 2,749 1,374 1,559 C.5 Financial guarantees given 61 54 4 49 268 863 2,171 4,934 363 - C.6 Financial guarantees received 1,628 1 8 106 110 634 121 1,467 300 1,752 C.7 Credit derivatives with capital swap - Long positions - - - 10 9 168 92 222 57 - - Short positions - - - - - 37 307 251 1 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - 2.5 Operational risks Qualitative information A. General aspects, operational processes and methods for measuring operational risk Operational risk definition Operational risk is the risk of loss due to errors, infringements, interruptions, damages caused by internal processes or personnel systems or caused by external events. This definition includes legal and compliance risks but excludes strategic and reputational risk. For example, losses arising from the following can be defined as operational internal or external fraud, employment practices and workplace safety, client claims, products distribution, fines and penalties due to regulation breaches, damages to the company’s physical assets, business disruption and system failures, process management. Group operational risk framework UniCredit group sets the operational risk management framework as a combination of policies and procedures for the identification, the assessment and measurement, the addressing and mitigation, the monitoring and reporting of the operational risk of the Group and of the controlled entities. The operational risk policies, applying to all Group Legal Entities, are common principles defining the roles of the company bodies, the operational risk management function, as well as the relationship with other functions involved in operational risk monitoring and management. The Parent company coordinates the Group Legal Entities according to the internal regulation and the Group operational risk control rulebook. A specific Risks Committee Group Non-Financial Risks and Controls Committee (GNFRC) is set up to monitor risk exposure, mitigating actions, measurement and control methods within the Group. With particular reference to UniCredit S.p.A. the Italy Non-Financial Risks and Controls Committee (INFRCC) supports the Head of Italy in the role of steering and monitoring of the Non-Financial Risks (NFRs) at Italy level, also overseeing the related internal control system (ICS). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 420 2021 Annual Report and Accounts · UniCredit 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: other currencies (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 4,503 5,796 4,165 2,136 5,399 4,432 8,123 31,072 23,436 19 A.1 Government securities 4 - 3 6 235 256 2,235 8,353 7,324 - A.2 Other debt securities - - 7 38 54 62 305 1,737 1,969 6 A.3 Units in investment funds 166 - - - - - - - - 3 A.4 Loans 4,333 5,796 4,155 2,092 5,110 4,114 5,583 20,982 14,143 10 - Banks 646 5,213 3,775 585 2,109 908 338 1,132 - - - Customers 3,687 583 380 1,507 3,001 3,206 5,245 19,850 14,143 10 B. On-balance sheet liabilities 47,363 2,507 7,039 4,035 3,576 3,254 2,614 6,461 6,582 - B.1. Deposits and current accounts 47,118 2,477 4,280 3,431 2,970 1,561 2,238 2,118 351 - - Banks 2,527 1,385 596 628 654 453 147 1,313 143 - - Customers 44,591 1,092 3,684 2,803 2,316 1,108 2,091 805 208 - B.2 Debt securities - - 2,759 32 28 1,691 341 4,333 6,224 - B.3 Other liabilities 245 30 - 572 578 2 35 10 7 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 15,118 16,087 15,965 25,190 61,314 41,820 41,326 125,492 70,005 - - Short positions 19 11,556 8,894 16,537 51,625 32,235 31,649 94,991 51,747 - C.2 Financial derivatives without capital swap - Long positions 1,430 902 517 715 1,439 780 2,684 7,835 2,856 - - Short positions 2,245 537 499 566 1,311 644 2,530 7,719 2,766 - C.3 Deposits and loans to be received - Long positions 5 - 2 - - - - - - - - Short positions - - 2 - - - 4 - - - C.4 Commitments to disburse funds - Long positions 2,040 10 39 354 690 786 2,208 2,805 1,729 1,580 - Short positions 2,618 11 39 152 841 757 2,142 2,749 1,374 1,559 C.5 Financial guarantees given 61 54 4 49 268 863 2,171 4,934 363 - C.6 Financial guarantees received 1,628 1 8 106 110 634 121 1,467 300 1,752 C.7 Credit derivatives with capital swap - Long positions - - - 10 9 168 92 222 57 - - Short positions - - - - - 37 307 251 1 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - 2.5 Operational risks Qualitative information A. General aspects, operational processes and methods for measuring operational risk Operational risk definition Operational risk is the risk of loss due to errors, infringements, interruptions, damages caused by internal processes or personnel systems or caused by external events. This definition includes legal and compliance risks but excludes strategic and reputational risk. For example, losses arising from the following can be defined as operational internal or external fraud, employment practices and workplace safety, client claims, products distribution, fines and penalties due to regulation breaches, damages to the company’s physical assets, business disruption and system failures, process management. Group operational risk framework UniCredit group sets the operational risk management framework as a combination of policies and procedures for the identification, the assessment and measurement, the addressing and mitigation, the monitoring and reporting of the operational risk of the Group and of the controlled entities. The operational risk policies, applying to all Group Legal Entities, are common principles defining the roles of the company bodies, the operational risk management function, as well as the relationship with other functions involved in operational risk monitoring and management. The Parent company coordinates the Group Legal Entities according to the internal regulation and the Group operational risk control rulebook. A specific Risks Committee Group Non-Financial Risks and Controls Committee (GNFRC) is set up to monitor risk exposure, mitigating actions, measurement and control methods within the Group. With particular reference to UniCredit S.p.A. the Italy Non-Financial Risks and Controls Committee (INFRCC) supports the Head of Italy in the role of steering and monitoring of the Non-Financial Risks (NFRs) at Italy level, also overseeing the related internal control system (ICS). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 420 2021 Annual Report and Accounts · UniCredit 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: other currencies (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 4,503 5,796 4,165 2,136 5,399 4,432 8,123 31,072 23,436 19 A.1 Government securities 4 - 3 6 235 256 2,235 8,353 7,324 - A.2 Other debt securities - - 7 38 54 62 305 1,737 1,969 6 A.3 Units in investment funds 166 - - - - - - - - 3 A.4 Loans 4,333 5,796 4,155 2,092 5,110 4,114 5,583 20,982 14,143 10 - Banks 646 5,213 3,775 585 2,109 908 338 1,132 - - - Customers 3,687 583 380 1,507 3,001 3,206 5,245 19,850 14,143 10 B. On-balance sheet liabilities 47,363 2,507 7,039 4,035 3,576 3,254 2,614 6,461 6,582 - B.1. Deposits and current accounts 47,118 2,477 4,280 3,431 2,970 1,561 2,238 2,118 351 - - Banks 2,527 1,385 596 628 654 453 147 1,313 143 - - Customers 44,591 1,092 3,684 2,803 2,316 1,108 2,091 805 208 - B.2 Debt securities - - 2,759 32 28 1,691 341 4,333 6,224 - B.3 Other liabilities 245 30 - 572 578 2 35 10 7 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 15,118 16,087 15,965 25,190 61,314 41,820 41,326 125,492 70,005 - - Short positions 19 11,556 8,894 16,537 51,625 32,235 31,649 94,991 51,747 - C.2 Financial derivatives without capital swap - Long positions 1,430 902 517 715 1,439 780 2,684 7,835 2,856 - - Short positions 2,245 537 499 566 1,311 644 2,530 7,719 2,766 - C.3 Deposits and loans to be received - Long positions 5 - 2 - - - - - - - - Short positions - - 2 - - - 4 - - - C.4 Commitments to disburse funds - Long positions 2,040 10 39 354 690 786 2,208 2,805 1,729 1,580 - Short positions 2,618 11 39 152 841 757 2,142 2,749 1,374 1,559 C.5 Financial guarantees given 61 54 4 49 268 863 2,171 4,934 363 - C.6 Financial guarantees received 1,628 1 8 106 110 634 121 1,467 300 1,752 C.7 Credit derivatives with capital swap - Long positions - - - 10 9 168 92 222 57 - - Short positions - - - - - 37 307 251 1 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - 2.5 Operational risks Qualitative information A. General aspects, operational processes and methods for measuring operational risk Operational risk definition Operational risk is the risk of loss due to errors, infringements, interruptions, damages caused by internal processes or personnel systems or caused by external events. This definition includes legal and compliance risks but excludes strategic and reputational risk. For example, losses arising from the following can be defined as operational internal or external fraud, employment practices and workplace safety, client claims, products distribution, fines and penalties due to regulation breaches, damages to the company’s physical assets, business disruption and system failures, process management. Group operational risk framework UniCredit group sets the operational risk management framework as a combination of policies and procedures for the identification, the assessment and measurement, the addressing and mitigation, the monitoring and reporting of the operational risk of the Group and of the controlled entities. The operational risk policies, applying to all Group Legal Entities, are common principles defining the roles of the company bodies, the operational risk management function, as well as the relationship with other functions involved in operational risk monitoring and management. The Parent company coordinates the Group Legal Entities according to the internal regulation and the Group operational risk control rulebook. A specific Risks Committee Group Non-Financial Risks and Controls Committee (GNFRC) is set up to monitor risk exposure, mitigating actions, measurement and control methods within the Group. With particular reference to UniCredit S.p.A. the Italy Non-Financial Risks and Controls Committee (INFRCC) supports the Head of Italy in the role of steering and monitoring of the Non-Financial Risks (NFRs) at Italy level, also overseeing the related internal control system (ICS). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 420 2021 Annual Report and Accounts · UniCredit 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: other currencies (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 4,503 5,796 4,165 2,136 5,399 4,432 8,123 31,072 23,436 19 A.1 Government securities 4 - 3 6 235 256 2,235 8,353 7,324 - A.2 Other debt securities - - 7 38 54 62 305 1,737 1,969 6 A.3 Units in investment funds 166 - - - - - - - - 3 A.4 Loans 4,333 5,796 4,155 2,092 5,110 4,114 5,583 20,982 14,143 10 - Banks 646 5,213 3,775 585 2,109 908 338 1,132 - - - Customers 3,687 583 380 1,507 3,001 3,206 5,245 19,850 14,143 10 B. On-balance sheet liabilities 47,363 2,507 7,039 4,035 3,576 3,254 2,614 6,461 6,582 - B.1. Deposits and current accounts 47,118 2,477 4,280 3,431 2,970 1,561 2,238 2,118 351 - - Banks 2,527 1,385 596 628 654 453 147 1,313 143 - - Customers 44,591 1,092 3,684 2,803 2,316 1,108 2,091 805 208 - B.2 Debt securities - - 2,759 32 28 1,691 341 4,333 6,224 - B.3 Other liabilities 245 30 - 572 578 2 35 10 7 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 15,118 16,087 15,965 25,190 61,314 41,820 41,326 125,492 70,005 - - Short positions 19 11,556 8,894 16,537 51,625 32,235 31,649 94,991 51,747 - C.2 Financial derivatives without capital swap - Long positions 1,430 902 517 715 1,439 780 2,684 7,835 2,856 - - Short positions 2,245 537 499 566 1,311 644 2,530 7,719 2,766 - C.3 Deposits and loans to be received - Long positions 5 - 2 - - - - - - - - Short positions - - 2 - - - 4 - - - C.4 Commitments to disburse funds - Long positions 2,040 10 39 354 690 786 2,208 2,805 1,729 1,580 - Short positions 2,618 11 39 152 841 757 2,142 2,749 1,374 1,559 C.5 Financial guarantees given 61 54 4 49 268 863 2,171 4,934 363 - C.6 Financial guarantees received 1,628 1 8 106 110 634 121 1,467 300 1,752 C.7 Credit derivatives with capital swap - Long positions - - - 10 9 168 92 222 57 - - Short positions - - - - - 37 307 251 1 - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - 2.5 Operational risks Qualitative information A. General aspects, operational processes and methods for measuring operational risk Operational risk definition Operational risk is the risk of loss due to errors, infringements, interruptions, damages caused by internal processes or personnel systems or caused by external events. This definition includes legal and compliance risks but excludes strategic and reputational risk. For example, losses arising from the following can be defined as operational internal or external fraud, employment practices and workplace safety, client claims, products distribution, fines and penalties due to regulation breaches, damages to the company’s physical assets, business disruption and system failures, process management. Group operational risk framework UniCredit group sets the operational risk management framework as a combination of policies and procedures for the identification, the assessment and measurement, the addressing and mitigation, the monitoring and reporting of the operational risk of the Group and of the controlled entities. The operational risk policies, applying to all Group Legal Entities, are common principles defining the roles of the company bodies, the operational risk management function, as well as the relationship with other functions involved in operational risk monitoring and management. The Parent company coordinates the Group Legal Entities according to the internal regulation and the Group operational risk control rulebook. A specific Risks Committee Group Non-Financial Risks and Controls Committee (GNFRC) is set up to monitor risk exposure, mitigating actions, measurement and control methods within the Group. With particular reference to UniCredit S.p.A. the Italy Non-Financial Risks and Controls Committee (INFRCC) supports the Head of Italy in the role of steering and monitoring of the Non-Financial Risks (NFRs) at Italy level, also overseeing the related internal control system (ICS). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 421 The methodologies for data classification and completeness verification, scenario analysis, risk indicators, monitoring and reporting, capital at risk measurement, Risk and Control Self Assessments and Operational Risks Mitigation Strategies are set by the Group Non-Financial Risks (GNFR) structure and applied by all Legal Entities. A pivot element of the risk control framework is the operational risk management application, allowing the collection of the data required for operational risk control and capital measurement. The compliance of the Group Operational risk control and measurement system with external regulations and Group standards is assessed through an internal validation process, which is under the responsibility of the Group Internal Validation department of the Parent company and is independent from the Group Non-Financial Risks structure. Since March 2008 the UniCredit group applies the AMA model (Advanced Measurement Approach) for calculating operational risk capital. The use of this method has been rolled out to the main Legal Entities of the Group. Effects arising from Covid-19 pandemic Referring to operational risks, analyses were carried out in order to identify risks arising from process changes adopted time by time to protect the health of employees and customers. With reference to the operational risks identified, the effectiveness of the risk mitigation measures was then assessed also through a comparative analysis between different Group Legal Entities. In addition, specific second-level controls were activated to oversee those areas that were subject to the most significant changes, the outcome of these checks did not highlight any significant criticality. A specific monitoring of operational incidents linked, even indirectly, to the entire Covid-19 epidemic has been created in order to promptly intercept potential process criticalities or inappropriate behaviours. Organisational structure Senior Management is responsible for approving all aspects related to the Group operational risk framework and verifying the adequacy of the measurement and control system; it is regularly updated on changes to the risk profile and operational risk exposure, with the support of the appropriate risk committees if required. The Group Non-Financial Risks and Controls Committee (GNFRC) supports the CEO in the role of steering and monitoring the Non-Financial Risks (NFRs) at Group level, also overseeing the related internal control system (ICS). The GNFRC enables the coordination among the “three lines of defence” with the aim to identify and share Group priorities concerning Non-Financial Risks (e.g. events, regulations or emerging risks), assessing and monitoring the effectiveness of initiatives put in place in order to address them. Without prejudice to the role reserved to the Board of Directors by the provisions in being at the time, the GNFRC, in order to support the CEO in implementing the strategic guidelines and the Group general Risk Management policies is responsible for: • defining and approving policies, operational limits and methodologies for the measurement, management and control of Non-Financial Risks, as well as for the definition of the methodologies for the measurement, management, and control of Non-Financial Risks (Operational and reputational Risk) internal capital; • promoting the annual managerial self-assessment processes and evaluating its results, in order to ensure a systematic approach to operational risk assessment and to the supervision of the Internal Control System; • overseeing Group Non-Financial Risks profile, emerging threats as well as the internal control system robustness at Group level, through the monitoring of most relevant events and incidents, weaknesses and shortcomings, also addressing and prioritizing - when needed - potential corrective actions; • evaluating and providing guidelines for the management of risk relevant (e.g. reputational, security, data protection) single customer transactions or third party contracts, and for definition and implementation of business continuity plans. With particular reference to the operational risk, GNFRC committee meets with approval, consulting and information functions for: 1) Approve: • general governance policies for the different types of NFRs; • Group policies and methodologies - for the measurement, management and control of the NFRs as well as for the measurement and control of the related internal capital; • Group insurance strategies proposed by the competent functions. 2) Consulting and information concerning: • the main NFRs, for the industry and for the Group, and overall strategies for their optimization; • the relevant Group and local Legal Entities issues (also emerging by the activities carried out by local GNFRC Committees) concerning NFR and ICS, evaluating weaknesses and shortcomings and - if needed - recommending and prioritizing corrective actions, as well as monitoring main implementation plans milestones; • external events having potential impact on Group NFRs profile, and best practices and/or lessons learned deriving from events, assessments and action plans - defined by the Group Legal Entities; • the periodical reporting provided by Risk Management on operational losses (with particular focus on events having relevant financial impacts), near misses, Risk Weighted Assets, Indicators and Scenario Analysis; • the Compliance and Risk Management evidences on second level controls carried out, as well as on current and expected impacts of regulations monitored; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 421 The methodologies for data classification and completeness verification, scenario analysis, risk indicators, monitoring and reporting, capital at risk measurement, Risk and Control Self Assessments and Operational Risks Mitigation Strategies are set by the Group Non-Financial Risks (GNFR) structure and applied by all Legal Entities. A pivot element of the risk control framework is the operational risk management application, allowing the collection of the data required for operational risk control and capital measurement. The compliance of the Group Operational risk control and measurement system with external regulations and Group standards is assessed through an internal validation process, which is under the responsibility of the Group Internal Validation department of the Parent company and is independent from the Group Non-Financial Risks structure. Since March 2008 the UniCredit group applies the AMA model (Advanced Measurement Approach) for calculating operational risk capital. The use of this method has been rolled out to the main Legal Entities of the Group. Effects arising from Covid-19 pandemic Referring to operational risks, analyses were carried out in order to identify risks arising from process changes adopted time by time to protect the health of employees and customers. With reference to the operational risks identified, the effectiveness of the risk mitigation measures was then assessed also through a comparative analysis between different Group Legal Entities. In addition, specific second-level controls were activated to oversee those areas that were subject to the most significant changes, the outcome of these checks did not highlight any significant criticality. A specific monitoring of operational incidents linked, even indirectly, to the entire Covid-19 epidemic has been created in order to promptly intercept potential process criticalities or inappropriate behaviours. Organisational structure Senior Management is responsible for approving all aspects related to the Group operational risk framework and verifying the adequacy of the measurement and control system; it is regularly updated on changes to the risk profile and operational risk exposure, with the support of the appropriate risk committees if required. The Group Non-Financial Risks and Controls Committee (GNFRC) supports the CEO in the role of steering and monitoring the Non-Financial Risks (NFRs) at Group level, also overseeing the related internal control system (ICS). The GNFRC enables the coordination among the “three lines of defence” with the aim to identify and share Group priorities concerning Non-Financial Risks (e.g. events, regulations or emerging risks), assessing and monitoring the effectiveness of initiatives put in place in order to address them. Without prejudice to the role reserved to the Board of Directors by the provisions in being at the time, the GNFRC, in order to support the CEO in implementing the strategic guidelines and the Group general Risk Management policies is responsible for: • defining and approving policies, operational limits and methodologies for the measurement, management and control of Non-Financial Risks, as well as for the definition of the methodologies for the measurement, management, and control of Non-Financial Risks (Operational and reputational Risk) internal capital; • promoting the annual managerial self-assessment processes and evaluating its results, in order to ensure a systematic approach to operational risk assessment and to the supervision of the Internal Control System; • overseeing Group Non-Financial Risks profile, emerging threats as well as the internal control system robustness at Group level, through the monitoring of most relevant events and incidents, weaknesses and shortcomings, also addressing and prioritizing - when needed - potential corrective actions; • evaluating and providing guidelines for the management of risk relevant (e.g. reputational, security, data protection) single customer transactions or third party contracts, and for definition and implementation of business continuity plans. With particular reference to the operational risk, GNFRC committee meets with approval, consulting and information functions for: 1) Approve: • general governance policies for the different types of NFRs; • Group policies and methodologies - for the measurement, management and control of the NFRs as well as for the measurement and control of the related internal capital; • Group insurance strategies proposed by the competent functions. 2) Consulting and information concerning: • the main NFRs, for the industry and for the Group, and overall strategies for their optimization; • the relevant Group and local Legal Entities issues (also emerging by the activities carried out by local GNFRC Committees) concerning NFR and ICS, evaluating weaknesses and shortcomings and - if needed - recommending and prioritizing corrective actions, as well as monitoring main implementation plans milestones; • external events having potential impact on Group NFRs profile, and best practices and/or lessons learned deriving from events, assessments and action plans - defined by the Group Legal Entities; • the periodical reporting provided by Risk Management on operational losses (with particular focus on events having relevant financial impacts), near misses, Risk Weighted Assets, Indicators and Scenario Analysis; • the Compliance and Risk Management evidences on second level controls carried out, as well as on current and expected impacts of regulations monitored; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 421 The methodologies for data classification and completeness verification, scenario analysis, risk indicators, monitoring and reporting, capital at risk measurement, Risk and Control Self Assessments and Operational Risks Mitigation Strategies are set by the Group Non-Financial Risks (GNFR) structure and applied by all Legal Entities. A pivot element of the risk control framework is the operational risk management application, allowing the collection of the data required for operational risk control and capital measurement. The compliance of the Group Operational risk control and measurement system with external regulations and Group standards is assessed through an internal validation process, which is under the responsibility of the Group Internal Validation department of the Parent company and is independent from the Group Non-Financial Risks structure. Since March 2008 the UniCredit group applies the AMA model (Advanced Measurement Approach) for calculating operational risk capital. The use of this method has been rolled out to the main Legal Entities of the Group. Effects arising from Covid-19 pandemic Referring to operational risks, analyses were carried out in order to identify risks arising from process changes adopted time by time to protect the health of employees and customers. With reference to the operational risks identified, the effectiveness of the risk mitigation measures was then assessed also through a comparative analysis between different Group Legal Entities. In addition, specific second-level controls were activated to oversee those areas that were subject to the most significant changes, the outcome of these checks did not highlight any significant criticality. A specific monitoring of operational incidents linked, even indirectly, to the entire Covid-19 epidemic has been created in order to promptly intercept potential process criticalities or inappropriate behaviours. Organisational structure Senior Management is responsible for approving all aspects related to the Group operational risk framework and verifying the adequacy of the measurement and control system; it is regularly updated on changes to the risk profile and operational risk exposure, with the support of the appropriate risk committees if required. The Group Non-Financial Risks and Controls Committee (GNFRC) supports the CEO in the role of steering and monitoring the Non-Financial Risks (NFRs) at Group level, also overseeing the related internal control system (ICS). The GNFRC enables the coordination among the “three lines of defence” with the aim to identify and share Group priorities concerning Non-Financial Risks (e.g. events, regulations or emerging risks), assessing and monitoring the effectiveness of initiatives put in place in order to address them. Without prejudice to the role reserved to the Board of Directors by the provisions in being at the time, the GNFRC, in order to support the CEO in implementing the strategic guidelines and the Group general Risk Management policies is responsible for: • defining and approving policies, operational limits and methodologies for the measurement, management and control of Non-Financial Risks, as well as for the definition of the methodologies for the measurement, management, and control of Non-Financial Risks (Operational and reputational Risk) internal capital; • promoting the annual managerial self-assessment processes and evaluating its results, in order to ensure a systematic approach to operational risk assessment and to the supervision of the Internal Control System; • overseeing Group Non-Financial Risks profile, emerging threats as well as the internal control system robustness at Group level, through the monitoring of most relevant events and incidents, weaknesses and shortcomings, also addressing and prioritizing - when needed - potential corrective actions; • evaluating and providing guidelines for the management of risk relevant (e.g. reputational, security, data protection) single customer transactions or third party contracts, and for definition and implementation of business continuity plans. With particular reference to the operational risk, GNFRC committee meets with approval, consulting and information functions for: 1) Approve: • general governance policies for the different types of NFRs; • Group policies and methodologies - for the measurement, management and control of the NFRs as well as for the measurement and control of the related internal capital; • Group insurance strategies proposed by the competent functions. 2) Consulting and information concerning: • the main NFRs, for the industry and for the Group, and overall strategies for their optimization; • the relevant Group and local Legal Entities issues (also emerging by the activities carried out by local GNFRC Committees) concerning NFR and ICS, evaluating weaknesses and shortcomings and - if needed - recommending and prioritizing corrective actions, as well as monitoring main implementation plans milestones; • external events having potential impact on Group NFRs profile, and best practices and/or lessons learned deriving from events, assessments and action plans - defined by the Group Legal Entities; • the periodical reporting provided by Risk Management on operational losses (with particular focus on events having relevant financial impacts), near misses, Risk Weighted Assets, Indicators and Scenario Analysis; • the Compliance and Risk Management evidences on second level controls carried out, as well as on current and expected impacts of regulations monitored; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 421 The methodologies for data classification and completeness verification, scenario analysis, risk indicators, monitoring and reporting, capital at risk measurement, Risk and Control Self Assessments and Operational Risks Mitigation Strategies are set by the Group Non-Financial Risks (GNFR) structure and applied by all Legal Entities. A pivot element of the risk control framework is the operational risk management application, allowing the collection of the data required for operational risk control and capital measurement. The compliance of the Group Operational risk control and measurement system with external regulations and Group standards is assessed through an internal validation process, which is under the responsibility of the Group Internal Validation department of the Parent company and is independent from the Group Non-Financial Risks structure. Since March 2008 the UniCredit group applies the AMA model (Advanced Measurement Approach) for calculating operational risk capital. The use of this method has been rolled out to the main Legal Entities of the Group. Effects arising from Covid-19 pandemic Referring to operational risks, analyses were carried out in order to identify risks arising from process changes adopted time by time to protect the health of employees and customers. With reference to the operational risks identified, the effectiveness of the risk mitigation measures was then assessed also through a comparative analysis between different Group Legal Entities. In addition, specific second-level controls were activated to oversee those areas that were subject to the most significant changes, the outcome of these checks did not highlight any significant criticality. A specific monitoring of operational incidents linked, even indirectly, to the entire Covid-19 epidemic has been created in order to promptly intercept potential process criticalities or inappropriate behaviours. Organisational structure Senior Management is responsible for approving all aspects related to the Group operational risk framework and verifying the adequacy of the measurement and control system; it is regularly updated on changes to the risk profile and operational risk exposure, with the support of the appropriate risk committees if required. The Group Non-Financial Risks and Controls Committee (GNFRC) supports the CEO in the role of steering and monitoring the Non-Financial Risks (NFRs) at Group level, also overseeing the related internal control system (ICS). The GNFRC enables the coordination among the “three lines of defence” with the aim to identify and share Group priorities concerning Non-Financial Risks (e.g. events, regulations or emerging risks), assessing and monitoring the effectiveness of initiatives put in place in order to address them. Without prejudice to the role reserved to the Board of Directors by the provisions in being at the time, the GNFRC, in order to support the CEO in implementing the strategic guidelines and the Group general Risk Management policies is responsible for: • defining and approving policies, operational limits and methodologies for the measurement, management and control of Non-Financial Risks, as well as for the definition of the methodologies for the measurement, management, and control of Non-Financial Risks (Operational and reputational Risk) internal capital; • promoting the annual managerial self-assessment processes and evaluating its results, in order to ensure a systematic approach to operational risk assessment and to the supervision of the Internal Control System; • overseeing Group Non-Financial Risks profile, emerging threats as well as the internal control system robustness at Group level, through the monitoring of most relevant events and incidents, weaknesses and shortcomings, also addressing and prioritizing - when needed - potential corrective actions; • evaluating and providing guidelines for the management of risk relevant (e.g. reputational, security, data protection) single customer transactions or third party contracts, and for definition and implementation of business continuity plans. With particular reference to the operational risk, GNFRC committee meets with approval, consulting and information functions for: 1) Approve: • general governance policies for the different types of NFRs; • Group policies and methodologies - for the measurement, management and control of the NFRs as well as for the measurement and control of the related internal capital; • Group insurance strategies proposed by the competent functions. 2) Consulting and information concerning: • the main NFRs, for the industry and for the Group, and overall strategies for their optimization; • the relevant Group and local Legal Entities issues (also emerging by the activities carried out by local GNFRC Committees) concerning NFR and ICS, evaluating weaknesses and shortcomings and - if needed - recommending and prioritizing corrective actions, as well as monitoring main implementation plans milestones; • external events having potential impact on Group NFRs profile, and best practices and/or lessons learned deriving from events, assessments and action plans - defined by the Group Legal Entities; • the periodical reporting provided by Risk Management on operational losses (with particular focus on events having relevant financial impacts), near misses, Risk Weighted Assets, Indicators and Scenario Analysis; • the Compliance and Risk Management evidences on second level controls carried out, as well as on current and expected impacts of regulations monitored; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 421 The methodologies for data classification and completeness verification, scenario analysis, risk indicators, monitoring and reporting, capital at risk measurement, Risk and Control Self Assessments and Operational Risks Mitigation Strategies are set by the Group Non-Financial Risks (GNFR) structure and applied by all Legal Entities. A pivot element of the risk control framework is the operational risk management application, allowing the collection of the data required for operational risk control and capital measurement. The compliance of the Group Operational risk control and measurement system with external regulations and Group standards is assessed through an internal validation process, which is under the responsibility of the Group Internal Validation department of the Parent company and is independent from the Group Non-Financial Risks structure. Since March 2008 the UniCredit group applies the AMA model (Advanced Measurement Approach) for calculating operational risk capital. The use of this method has been rolled out to the main Legal Entities of the Group. Effects arising from Covid-19 pandemic Referring to operational risks, analyses were carried out in order to identify risks arising from process changes adopted time by time to protect the health of employees and customers. With reference to the operational risks identified, the effectiveness of the risk mitigation measures was then assessed also through a comparative analysis between different Group Legal Entities. In addition, specific second-level controls were activated to oversee those areas that were subject to the most significant changes, the outcome of these checks did not highlight any significant criticality. A specific monitoring of operational incidents linked, even indirectly, to the entire Covid-19 epidemic has been created in order to promptly intercept potential process criticalities or inappropriate behaviours. Organisational structure Senior Management is responsible for approving all aspects related to the Group operational risk framework and verifying the adequacy of the measurement and control system; it is regularly updated on changes to the risk profile and operational risk exposure, with the support of the appropriate risk committees if required. The Group Non-Financial Risks and Controls Committee (GNFRC) supports the CEO in the role of steering and monitoring the Non-Financial Risks (NFRs) at Group level, also overseeing the related internal control system (ICS). The GNFRC enables the coordination among the “three lines of defence” with the aim to identify and share Group priorities concerning Non-Financial Risks (e.g. events, regulations or emerging risks), assessing and monitoring the effectiveness of initiatives put in place in order to address them. Without prejudice to the role reserved to the Board of Directors by the provisions in being at the time, the GNFRC, in order to support the CEO in implementing the strategic guidelines and the Group general Risk Management policies is responsible for: • defining and approving policies, operational limits and methodologies for the measurement, management and control of Non-Financial Risks, as well as for the definition of the methodologies for the measurement, management, and control of Non-Financial Risks (Operational and reputational Risk) internal capital; • promoting the annual managerial self-assessment processes and evaluating its results, in order to ensure a systematic approach to operational risk assessment and to the supervision of the Internal Control System; • overseeing Group Non-Financial Risks profile, emerging threats as well as the internal control system robustness at Group level, through the monitoring of most relevant events and incidents, weaknesses and shortcomings, also addressing and prioritizing - when needed - potential corrective actions; • evaluating and providing guidelines for the management of risk relevant (e.g. reputational, security, data protection) single customer transactions or third party contracts, and for definition and implementation of business continuity plans. With particular reference to the operational risk, GNFRC committee meets with approval, consulting and information functions for: 1) Approve: • general governance policies for the different types of NFRs; • Group policies and methodologies - for the measurement, management and control of the NFRs as well as for the measurement and control of the related internal capital; • Group insurance strategies proposed by the competent functions. 2) Consulting and information concerning: • the main NFRs, for the industry and for the Group, and overall strategies for their optimization; • the relevant Group and local Legal Entities issues (also emerging by the activities carried out by local GNFRC Committees) concerning NFR and ICS, evaluating weaknesses and shortcomings and - if needed - recommending and prioritizing corrective actions, as well as monitoring main implementation plans milestones; • external events having potential impact on Group NFRs profile, and best practices and/or lessons learned deriving from events, assessments and action plans - defined by the Group Legal Entities; • the periodical reporting provided by Risk Management on operational losses (with particular focus on events having relevant financial impacts), near misses, Risk Weighted Assets, Indicators and Scenario Analysis; • the Compliance and Risk Management evidences on second level controls carried out, as well as on current and expected impacts of regulations monitored; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 422 2021 Annual Report and Accounts · UniCredit • the Group relevant risks/criticalities highlighted by Internal Audit function, for specific cases and in relation to specific areas or geographies; • the strategic guidelines on Group Risk Appetite proposals including capitalization targets and capital allocation criteria for Group Non-Financial Risks; • the monitoring the information flows on the exercise of the powers sub-delegated by the CEO according to the current Delegation of Powers by the Board of Directors and on the new sub delegation granted; • the Internal Validation annual Regulatory Report on operational risk. In order to evaluate the strength or the potential criticalities related to the ICS, the GNFRC evaluates the significant or critical elements emerging from reports produced by External Regulators (i.e. ECB, SSM, Bank of Italy, Consob, etc.), from other Group Functions with control duties or operating within the ICS (e.g. ICT, Security, Operations, Procurement and Cost Management) and External Auditors. Group Non Financial Risks structure (GNFR) is responsible for the governance and control of operational and reputational risks (including operational risks bordering on credit risk, alias Cross Credit risks) of the Group and for evaluating its exposure to operational and reputational risks, providing frameworks, methodologies and coordination of risk assessment activities and guaranteeing their continual and independent monitoring. The structure is furthermore responsible for defining strategies to mitigate such risks and containing the related losses and risk weighted assets. The structure is responsible for ensuring integrated analysis and reporting, involving and in alignment with the other control functions (i.e. Compliance, Audit) on the main operational and reputational risks of the Group. The structure is also responsible for the governance and control of ICT/Cyber Risks, through the definition of the framework for the management of ICT/Cyber risks, the coordination and monitoring of the Group Entities in its implementation, the measurement, assessment and control of ICT/Cyber risks for UniCredit S.p.A. The structure is organized as follow: • Operational Risks Analytics and Oversight is responsible to define principles and rules at Group level for identification, assessment, control and reporting of operational risk, monitoring their correct application by Legal Entities. The structure is also responsible for defining operational and reputational risk capital measurement methodologies, conducting analysis of the Group's exposure to operational risk also based on operational risks analytics models. The structure is furthermore responsible for the definition of Risk Appetite Framework/RAF metrics of competence as well as for the related periodical monitoring. • Reputational & Operational Risks Strategies & Mitigation is responsible to define the priority operational risk strategic areas, coordinating and monitoring the definition and planning of related relevant risks mitigation actions by the Legal Entities of the Group. The structure defines and provides methodologies for the evaluation of operational risks and controls (i.e. Risk and Control Self-Assessments -RCSA) on processes, products and projects performed by the Legal Entities of the Group. The structure is also responsible to define the methodologies for assessing the reputational risk related to activities performed by the Group, providing reputational risk assessments for UC S.p.A. and Non-Binding opinions for the other Legal Entities of the Group. • Operational Risk Processes Assessment is responsible to oversee the operational risks for the Holding and Global functions perimeter, supporting the identification, management and monitoring of operational risks, also through the coordination of specific risk assessment activities on processes, products and projects. The structure is also responsible for the governance, identification and monitoring of the operational related credit risk for the Group (“cross credit risk”), coordinating and supporting dedicated risk assessments on business and governance processes and the related communication within Group and Local committees. • Ict & Cyber Risk is responsible to define and monitor the most relevant ICT and Cyber Risks areas within the Operational Risk Framework, in coherence with the Risk Appetite Framework and Group strategic objectives; the structure is also responsible to identify, evaluate and control ICT & Cyber risks, and to coordinate and monitor their correct management by the Group Legal Entities. Internal validation process In compliance with regulations, an internal validation process for the operational risk control and measurement system has been set up for the Parent company and for the relevant Legal Entities in order to verify the compliance with regulations and Group standards. This process is under the responsibility of Group Internal Validation department. Group methodologies for measuring and allocating the capital at risk and the IT system are validated at Parent company level by the above-mentioned department, as well as the implementation of the operational risk control and management system within the relevant Entities, which is firstly analyzed through a self-assessment performed by local Operational Risk Management functions, following the technical instructions and policies issued by Group Internal Validation. The results of the local self-assessments are annually verified by Group Internal Validation, which also performs additional analysis on data and documentation. Such evidence is the basis for the release of specific Validation Reports to the relevant subsidiaries. The local self-assessment, together with the opinion of Group Internal Validation and Internal Audit report are submitted to the Legal Entities’ competent governing bodies. The validation outcomes on the operational risk control and measurement system, both at the Parent company and controlled Entities level, are annually consolidated with the annual validation report which, with the annual Internal Audit report, is presented to the UniCredit S.p.A. Board of Directors. Reporting A reporting system has been developed by the Parent company to keep senior management and the Management Body regularly informed on the Group operational risk exposure and the risk mitigation actions. In particular, weekly reports are provided on operational losses trend, the main initiatives undertaken to prevent or mitigate operational risk in the various business areas and main operational risk events. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 422 2021 Annual Report and Accounts · UniCredit • the Group relevant risks/criticalities highlighted by Internal Audit function, for specific cases and in relation to specific areas or geographies; • the strategic guidelines on Group Risk Appetite proposals including capitalization targets and capital allocation criteria for Group Non-Financial Risks; • the monitoring the information flows on the exercise of the powers sub-delegated by the CEO according to the current Delegation of Powers by the Board of Directors and on the new sub delegation granted; • the Internal Validation annual Regulatory Report on operational risk. In order to evaluate the strength or the potential criticalities related to the ICS, the GNFRC evaluates the significant or critical elements emerging from reports produced by External Regulators (i.e. ECB, SSM, Bank of Italy, Consob, etc.), from other Group Functions with control duties or operating within the ICS (e.g. ICT, Security, Operations, Procurement and Cost Management) and External Auditors. Group Non Financial Risks structure (GNFR) is responsible for the governance and control of operational and reputational risks (including operational risks bordering on credit risk, alias Cross Credit risks) of the Group and for evaluating its exposure to operational and reputational risks, providing frameworks, methodologies and coordination of risk assessment activities and guaranteeing their continual and independent monitoring. The structure is furthermore responsible for defining strategies to mitigate such risks and containing the related losses and risk weighted assets. The structure is responsible for ensuring integrated analysis and reporting, involving and in alignment with the other control functions (i.e. Compliance, Audit) on the main operational and reputational risks of the Group. The structure is also responsible for the governance and control of ICT/Cyber Risks, through the definition of the framework for the management of ICT/Cyber risks, the coordination and monitoring of the Group Entities in its implementation, the measurement, assessment and control of ICT/Cyber risks for UniCredit S.p.A. The structure is organized as follow: • Operational Risks Analytics and Oversight is responsible to define principles and rules at Group level for identification, assessment, control and reporting of operational risk, monitoring their correct application by Legal Entities. The structure is also responsible for defining operational and reputational risk capital measurement methodologies, conducting analysis of the Group's exposure to operational risk also based on operational risks analytics models. The structure is furthermore responsible for the definition of Risk Appetite Framework/RAF metrics of competence as well as for the related periodical monitoring. • Reputational & Operational Risks Strategies & Mitigation is responsible to define the priority operational risk strategic areas, coordinating and monitoring the definition and planning of related relevant risks mitigation actions by the Legal Entities of the Group. The structure defines and provides methodologies for the evaluation of operational risks and controls (i.e. Risk and Control Self-Assessments -RCSA) on processes, products and projects performed by the Legal Entities of the Group. The structure is also responsible to define the methodologies for assessing the reputational risk related to activities performed by the Group, providing reputational risk assessments for UC S.p.A. and Non-Binding opinions for the other Legal Entities of the Group. • Operational Risk Processes Assessment is responsible to oversee the operational risks for the Holding and Global functions perimeter, supporting the identification, management and monitoring of operational risks, also through the coordination of specific risk assessment activities on processes, products and projects. The structure is also responsible for the governance, identification and monitoring of the operational related credit risk for the Group (“cross credit risk”), coordinating and supporting dedicated risk assessments on business and governance processes and the related communication within Group and Local committees. • Ict & Cyber Risk is responsible to define and monitor the most relevant ICT and Cyber Risks areas within the Operational Risk Framework, in coherence with the Risk Appetite Framework and Group strategic objectives; the structure is also responsible to identify, evaluate and control ICT & Cyber risks, and to coordinate and monitor their correct management by the Group Legal Entities. Internal validation process In compliance with regulations, an internal validation process for the operational risk control and measurement system has been set up for the Parent company and for the relevant Legal Entities in order to verify the compliance with regulations and Group standards. This process is under the responsibility of Group Internal Validation department. Group methodologies for measuring and allocating the capital at risk and the IT system are validated at Parent company level by the above-mentioned department, as well as the implementation of the operational risk control and management system within the relevant Entities, which is firstly analyzed through a self-assessment performed by local Operational Risk Management functions, following the technical instructions and policies issued by Group Internal Validation. The results of the local self-assessments are annually verified by Group Internal Validation, which also performs additional analysis on data and documentation. Such evidence is the basis for the release of specific Validation Reports to the relevant subsidiaries. The local self-assessment, together with the opinion of Group Internal Validation and Internal Audit report are submitted to the Legal Entities’ competent governing bodies. The validation outcomes on the operational risk control and measurement system, both at the Parent company and controlled Entities level, are annually consolidated with the annual validation report which, with the annual Internal Audit report, is presented to the UniCredit S.p.A. Board of Directors. Reporting A reporting system has been developed by the Parent company to keep senior management and the Management Body regularly informed on the Group operational risk exposure and the risk mitigation actions. In particular, weekly reports are provided on operational losses trend, the main initiatives undertaken to prevent or mitigate operational risk in the various business areas and main operational risk events. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 422 2021 Annual Report and Accounts · UniCredit • the Group relevant risks/criticalities highlighted by Internal Audit function, for specific cases and in relation to specific areas or geographies; • the strategic guidelines on Group Risk Appetite proposals including capitalization targets and capital allocation criteria for Group Non-Financial Risks; • the monitoring the information flows on the exercise of the powers sub-delegated by the CEO according to the current Delegation of Powers by the Board of Directors and on the new sub delegation granted; • the Internal Validation annual Regulatory Report on operational risk. In order to evaluate the strength or the potential criticalities related to the ICS, the GNFRC evaluates the significant or critical elements emerging from reports produced by External Regulators (i.e. ECB, SSM, Bank of Italy, Consob, etc.), from other Group Functions with control duties or operating within the ICS (e.g. ICT, Security, Operations, Procurement and Cost Management) and External Auditors. Group Non Financial Risks structure (GNFR) is responsible for the governance and control of operational and reputational risks (including operational risks bordering on credit risk, alias Cross Credit risks) of the Group and for evaluating its exposure to operational and reputational risks, providing frameworks, methodologies and coordination of risk assessment activities and guaranteeing their continual and independent monitoring. The structure is furthermore responsible for defining strategies to mitigate such risks and containing the related losses and risk weighted assets. The structure is responsible for ensuring integrated analysis and reporting, involving and in alignment with the other control functions (i.e. Compliance, Audit) on the main operational and reputational risks of the Group. The structure is also responsible for the governance and control of ICT/Cyber Risks, through the definition of the framework for the management of ICT/Cyber risks, the coordination and monitoring of the Group Entities in its implementation, the measurement, assessment and control of ICT/Cyber risks for UniCredit S.p.A. The structure is organized as follow: • Operational Risks Analytics and Oversight is responsible to define principles and rules at Group level for identification, assessment, control and reporting of operational risk, monitoring their correct application by Legal Entities. The structure is also responsible for defining operational and reputational risk capital measurement methodologies, conducting analysis of the Group's exposure to operational risk also based on operational risks analytics models. The structure is furthermore responsible for the definition of Risk Appetite Framework/RAF metrics of competence as well as for the related periodical monitoring. • Reputational & Operational Risks Strategies & Mitigation is responsible to define the priority operational risk strategic areas, coordinating and monitoring the definition and planning of related relevant risks mitigation actions by the Legal Entities of the Group. The structure defines and provides methodologies for the evaluation of operational risks and controls (i.e. Risk and Control Self-Assessments -RCSA) on processes, products and projects performed by the Legal Entities of the Group. The structure is also responsible to define the methodologies for assessing the reputational risk related to activities performed by the Group, providing reputational risk assessments for UC S.p.A. and Non-Binding opinions for the other Legal Entities of the Group. • Operational Risk Processes Assessment is responsible to oversee the operational risks for the Holding and Global functions perimeter, supporting the identification, management and monitoring of operational risks, also through the coordination of specific risk assessment activities on processes, products and projects. The structure is also responsible for the governance, identification and monitoring of the operational related credit risk for the Group (“cross credit risk”), coordinating and supporting dedicated risk assessments on business and governance processes and the related communication within Group and Local committees. • Ict & Cyber Risk is responsible to define and monitor the most relevant ICT and Cyber Risks areas within the Operational Risk Framework, in coherence with the Risk Appetite Framework and Group strategic objectives; the structure is also responsible to identify, evaluate and control ICT & Cyber risks, and to coordinate and monitor their correct management by the Group Legal Entities. Internal validation process In compliance with regulations, an internal validation process for the operational risk control and measurement system has been set up for the Parent company and for the relevant Legal Entities in order to verify the compliance with regulations and Group standards. This process is under the responsibility of Group Internal Validation department. Group methodologies for measuring and allocating the capital at risk and the IT system are validated at Parent company level by the above-mentioned department, as well as the implementation of the operational risk control and management system within the relevant Entities, which is firstly analyzed through a self-assessment performed by local Operational Risk Management functions, following the technical instructions and policies issued by Group Internal Validation. The results of the local self-assessments are annually verified by Group Internal Validation, which also performs additional analysis on data and documentation. Such evidence is the basis for the release of specific Validation Reports to the relevant subsidiaries. The local self-assessment, together with the opinion of Group Internal Validation and Internal Audit report are submitted to the Legal Entities’ competent governing bodies. The validation outcomes on the operational risk control and measurement system, both at the Parent company and controlled Entities level, are annually consolidated with the annual validation report which, with the annual Internal Audit report, is presented to the UniCredit S.p.A. Board of Directors. Reporting A reporting system has been developed by the Parent company to keep senior management and the Management Body regularly informed on the Group operational risk exposure and the risk mitigation actions. In particular, weekly reports are provided on operational losses trend, the main initiatives undertaken to prevent or mitigate operational risk in the various business areas and main operational risk events. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 422 2021 Annual Report and Accounts · UniCredit • the Group relevant risks/criticalities highlighted by Internal Audit function, for specific cases and in relation to specific areas or geographies; • the strategic guidelines on Group Risk Appetite proposals including capitalization targets and capital allocation criteria for Group Non-Financial Risks; • the monitoring the information flows on the exercise of the powers sub-delegated by the CEO according to the current Delegation of Powers by the Board of Directors and on the new sub delegation granted; • the Internal Validation annual Regulatory Report on operational risk. In order to evaluate the strength or the potential criticalities related to the ICS, the GNFRC evaluates the significant or critical elements emerging from reports produced by External Regulators (i.e. ECB, SSM, Bank of Italy, Consob, etc.), from other Group Functions with control duties or operating within the ICS (e.g. ICT, Security, Operations, Procurement and Cost Management) and External Auditors. Group Non Financial Risks structure (GNFR) is responsible for the governance and control of operational and reputational risks (including operational risks bordering on credit risk, alias Cross Credit risks) of the Group and for evaluating its exposure to operational and reputational risks, providing frameworks, methodologies and coordination of risk assessment activities and guaranteeing their continual and independent monitoring. The structure is furthermore responsible for defining strategies to mitigate such risks and containing the related losses and risk weighted assets. The structure is responsible for ensuring integrated analysis and reporting, involving and in alignment with the other control functions (i.e. Compliance, Audit) on the main operational and reputational risks of the Group. The structure is also responsible for the governance and control of ICT/Cyber Risks, through the definition of the framework for the management of ICT/Cyber risks, the coordination and monitoring of the Group Entities in its implementation, the measurement, assessment and control of ICT/Cyber risks for UniCredit S.p.A. The structure is organized as follow: • Operational Risks Analytics and Oversight is responsible to define principles and rules at Group level for identification, assessment, control and reporting of operational risk, monitoring their correct application by Legal Entities. The structure is also responsible for defining operational and reputational risk capital measurement methodologies, conducting analysis of the Group's exposure to operational risk also based on operational risks analytics models. The structure is furthermore responsible for the definition of Risk Appetite Framework/RAF metrics of competence as well as for the related periodical monitoring. • Reputational & Operational Risks Strategies & Mitigation is responsible to define the priority operational risk strategic areas, coordinating and monitoring the definition and planning of related relevant risks mitigation actions by the Legal Entities of the Group. The structure defines and provides methodologies for the evaluation of operational risks and controls (i.e. Risk and Control Self-Assessments -RCSA) on processes, products and projects performed by the Legal Entities of the Group. The structure is also responsible to define the methodologies for assessing the reputational risk related to activities performed by the Group, providing reputational risk assessments for UC S.p.A. and Non-Binding opinions for the other Legal Entities of the Group. • Operational Risk Processes Assessment is responsible to oversee the operational risks for the Holding and Global functions perimeter, supporting the identification, management and monitoring of operational risks, also through the coordination of specific risk assessment activities on processes, products and projects. The structure is also responsible for the governance, identification and monitoring of the operational related credit risk for the Group (“cross credit risk”), coordinating and supporting dedicated risk assessments on business and governance processes and the related communication within Group and Local committees. • Ict & Cyber Risk is responsible to define and monitor the most relevant ICT and Cyber Risks areas within the Operational Risk Framework, in coherence with the Risk Appetite Framework and Group strategic objectives; the structure is also responsible to identify, evaluate and control ICT & Cyber risks, and to coordinate and monitor their correct management by the Group Legal Entities. Internal validation process In compliance with regulations, an internal validation process for the operational risk control and measurement system has been set up for the Parent company and for the relevant Legal Entities in order to verify the compliance with regulations and Group standards. This process is under the responsibility of Group Internal Validation department. Group methodologies for measuring and allocating the capital at risk and the IT system are validated at Parent company level by the above-mentioned department, as well as the implementation of the operational risk control and management system within the relevant Entities, which is firstly analyzed through a self-assessment performed by local Operational Risk Management functions, following the technical instructions and policies issued by Group Internal Validation. The results of the local self-assessments are annually verified by Group Internal Validation, which also performs additional analysis on data and documentation. Such evidence is the basis for the release of specific Validation Reports to the relevant subsidiaries. The local self-assessment, together with the opinion of Group Internal Validation and Internal Audit report are submitted to the Legal Entities’ competent governing bodies. The validation outcomes on the operational risk control and measurement system, both at the Parent company and controlled Entities level, are annually consolidated with the annual validation report which, with the annual Internal Audit report, is presented to the UniCredit S.p.A. Board of Directors. Reporting A reporting system has been developed by the Parent company to keep senior management and the Management Body regularly informed on the Group operational risk exposure and the risk mitigation actions. In particular, weekly reports are provided on operational losses trend, the main initiatives undertaken to prevent or mitigate operational risk in the various business areas and main operational risk events. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 422 2021 Annual Report and Accounts · UniCredit • the Group relevant risks/criticalities highlighted by Internal Audit function, for specific cases and in relation to specific areas or geographies; • the strategic guidelines on Group Risk Appetite proposals including capitalization targets and capital allocation criteria for Group Non-Financial Risks; • the monitoring the information flows on the exercise of the powers sub-delegated by the CEO according to the current Delegation of Powers by the Board of Directors and on the new sub delegation granted; • the Internal Validation annual Regulatory Report on operational risk. In order to evaluate the strength or the potential criticalities related to the ICS, the GNFRC evaluates the significant or critical elements emerging from reports produced by External Regulators (i.e. ECB, SSM, Bank of Italy, Consob, etc.), from other Group Functions with control duties or operating within the ICS (e.g. ICT, Security, Operations, Procurement and Cost Management) and External Auditors. Group Non Financial Risks structure (GNFR) is responsible for the governance and control of operational and reputational risks (including operational risks bordering on credit risk, alias Cross Credit risks) of the Group and for evaluating its exposure to operational and reputational risks, providing frameworks, methodologies and coordination of risk assessment activities and guaranteeing their continual and independent monitoring. The structure is furthermore responsible for defining strategies to mitigate such risks and containing the related losses and risk weighted assets. The structure is responsible for ensuring integrated analysis and reporting, involving and in alignment with the other control functions (i.e. Compliance, Audit) on the main operational and reputational risks of the Group. The structure is also responsible for the governance and control of ICT/Cyber Risks, through the definition of the framework for the management of ICT/Cyber risks, the coordination and monitoring of the Group Entities in its implementation, the measurement, assessment and control of ICT/Cyber risks for UniCredit S.p.A. The structure is organized as follow: • Operational Risks Analytics and Oversight is responsible to define principles and rules at Group level for identification, assessment, control and reporting of operational risk, monitoring their correct application by Legal Entities. The structure is also responsible for defining operational and reputational risk capital measurement methodologies, conducting analysis of the Group's exposure to operational risk also based on operational risks analytics models. The structure is furthermore responsible for the definition of Risk Appetite Framework/RAF metrics of competence as well as for the related periodical monitoring. • Reputational & Operational Risks Strategies & Mitigation is responsible to define the priority operational risk strategic areas, coordinating and monitoring the definition and planning of related relevant risks mitigation actions by the Legal Entities of the Group. The structure defines and provides methodologies for the evaluation of operational risks and controls (i.e. Risk and Control Self-Assessments -RCSA) on processes, products and projects performed by the Legal Entities of the Group. The structure is also responsible to define the methodologies for assessing the reputational risk related to activities performed by the Group, providing reputational risk assessments for UC S.p.A. and Non-Binding opinions for the other Legal Entities of the Group. • Operational Risk Processes Assessment is responsible to oversee the operational risks for the Holding and Global functions perimeter, supporting the identification, management and monitoring of operational risks, also through the coordination of specific risk assessment activities on processes, products and projects. The structure is also responsible for the governance, identification and monitoring of the operational related credit risk for the Group (“cross credit risk”), coordinating and supporting dedicated risk assessments on business and governance processes and the related communication within Group and Local committees. • Ict & Cyber Risk is responsible to define and monitor the most relevant ICT and Cyber Risks areas within the Operational Risk Framework, in coherence with the Risk Appetite Framework and Group strategic objectives; the structure is also responsible to identify, evaluate and control ICT & Cyber risks, and to coordinate and monitor their correct management by the Group Legal Entities. Internal validation process In compliance with regulations, an internal validation process for the operational risk control and measurement system has been set up for the Parent company and for the relevant Legal Entities in order to verify the compliance with regulations and Group standards. This process is under the responsibility of Group Internal Validation department. Group methodologies for measuring and allocating the capital at risk and the IT system are validated at Parent company level by the above-mentioned department, as well as the implementation of the operational risk control and management system within the relevant Entities, which is firstly analyzed through a self-assessment performed by local Operational Risk Management functions, following the technical instructions and policies issued by Group Internal Validation. The results of the local self-assessments are annually verified by Group Internal Validation, which also performs additional analysis on data and documentation. Such evidence is the basis for the release of specific Validation Reports to the relevant subsidiaries. The local self-assessment, together with the opinion of Group Internal Validation and Internal Audit report are submitted to the Legal Entities’ competent governing bodies. The validation outcomes on the operational risk control and measurement system, both at the Parent company and controlled Entities level, are annually consolidated with the annual validation report which, with the annual Internal Audit report, is presented to the UniCredit S.p.A. Board of Directors. Reporting A reporting system has been developed by the Parent company to keep senior management and the Management Body regularly informed on the Group operational risk exposure and the risk mitigation actions. In particular, weekly reports are provided on operational losses trend, the main initiatives undertaken to prevent or mitigate operational risk in the various business areas and main operational risk events. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 423 Quarterly updates are provided on capital-at-risk estimations and RAF metric monitoring. Operational loss reports, submitted to Group Non-Financial Risks and Controls Committee are periodically provided to Regulators. Operational risk addressing and mitigation The identification of the Group and Legal Entity Operational Risk Mitigation Strategies (Group and Legal Entity ORMS) is performed by the Operational Risk functions through a set of recurring yearly activities at Group and Legal Entities level to assess the Group and Legal Entities relevant risks and define the most appropriate mitigation actions in their scope to reduce such risk. Group ORMS constitute a steering instrument for Group and Local Entities, aimed at assuring operational risk sustainability through a structured and proactive approach to risk mitigation and at strengthening the controls framework for specific process areas. Group ORMS are submitted for approval to GNFRC and the Holding Company Board of Directors: once approved, the Group ORMS become effective and shall be sent to the LEs to be submitted for the validation by Local Risk Committee and for approval by Local competent Bodies, together with the Local ORMS. The Group and local ORMS are defined through: • the Preliminary Self-Risk Assessment, a qualitative evaluation on selected forward-looking key risk drivers performed yearly by local ORMs leveraging on a list of key risk drivers provided by GNFR; • the definition of Group Operational Risk priorities (also named Top Operational Risks - TOR), which are based on the identification of the most relevant operational risks, chosen after the qualitative evaluation on selected forward-looking key risk drivers and the analysis of risks highlighted by Legal Entities, performed yearly - jointly with GNFR - aimed at shaping an integrated view of risk control activities; • the identification of Group ORMS, which define the mitigation actions linked to the Operational Risk Priorities and to their main weak points/points of concerns. The Local ORMS are identified through the definition of the mitigation actions linked to both the Operational Risk priorities with their main weak points/points of concerns and the specific additional Operational Risks, relevant at local level. During the year, the status of the mitigation actions plan related to Group and Local ORMS, is monitored on a regular basis, following a risk-based approach, reporting any relevant deviation to the competent Committees at Group/local level, as appropriate, for information and discussion; the local ORMs will also provide regular reporting to GNFR for information. Operational Risk Permanent WorkGroup (PWG) The “Global Operational Regulation Group Operational Risk Mitigation Strategies” rules the PWG, an inter-functional working group established in the Legal Entities, which aims at identifying the root causes of Operational Risks and reduce the Operational Risk exposure of the Legal Entity, leveraging mainly on the expertise of the Operational Risk and the other competent functions (e.g. Compliance, Security, Business functions, etc.) involved time by time. The meetings, called at least quarterly, contribute to identify the risks, propose the mitigation actions and monitor their status. Insurance as risk mitigation The Operational Risk Management function is involved in the decision process related to insurance coverage with analyses regarding the exposure to operational risks, effectiveness of deductibles and of policy limits. It regularly informs management on insurance related matters connected to operational risks. The role of the Operational Risk Management function in insurance management is defined in in the “Global Operational Regulation Group Operational Risk Mitigation Strategies”. Any relevant change to insurance hedging strategies is proposed by to the relevant Risk Committee for approval. The operational risks commonly insured in the Group are damages to physical assets, frauds and liability toward third parties. On the basis of a risk classification, the Group has insurance policies according to the following forms: • internal fraud: BBB policy, according to Employee Dishonesty insuring clause; • external fraud: BBB policy, according to the following insuring clauses: On Premises and In Transit (including loss of property resulting directly from theft & robbery), Forgery or Alteration, Computer Manipulation, included the cases of “fraudulent impersonation of counterparty” aimed at the execution of fraudulent transactions (e.g., “CEO frauds”); • ICT and cyber breach: Cyber policy, coverage for liability claims (including legal expenses and customer notification costs), business interruption costs (included also damages to UniCredit group caused by the system failure of the external IT providers) and some commercial initiatives offering a compensation to damaged customers. The coverage is extended also to group multimedia liability (i.e., infringement of the copyright, defamation and general negligence in the course of publication); • protection for the personal liabilities of the management including legal expenses: Directors and Officers Liability (D&O) policy; • employer’s liability (E.L.): protection for the Bank’s liability against claims for damages suffered by employees (compared to third-party); • third Party Liability policy (TPL): protection for the bank against claims for damages suffered by third parties; • external occurrences: Property ALL RISKS policy as well as EDP ALL RISKS policy are provided in respect of buildings and other assets extended to natural events, catastrophic losses, vandalism and terrorism, Fine Art policy to cover entrusted or owned works of art. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 423 Quarterly updates are provided on capital-at-risk estimations and RAF metric monitoring. Operational loss reports, submitted to Group Non-Financial Risks and Controls Committee are periodically provided to Regulators. Operational risk addressing and mitigation The identification of the Group and Legal Entity Operational Risk Mitigation Strategies (Group and Legal Entity ORMS) is performed by the Operational Risk functions through a set of recurring yearly activities at Group and Legal Entities level to assess the Group and Legal Entities relevant risks and define the most appropriate mitigation actions in their scope to reduce such risk. Group ORMS constitute a steering instrument for Group and Local Entities, aimed at assuring operational risk sustainability through a structured and proactive approach to risk mitigation and at strengthening the controls framework for specific process areas. Group ORMS are submitted for approval to GNFRC and the Holding Company Board of Directors: once approved, the Group ORMS become effective and shall be sent to the LEs to be submitted for the validation by Local Risk Committee and for approval by Local competent Bodies, together with the Local ORMS. The Group and local ORMS are defined through: • the Preliminary Self-Risk Assessment, a qualitative evaluation on selected forward-looking key risk drivers performed yearly by local ORMs leveraging on a list of key risk drivers provided by GNFR; • the definition of Group Operational Risk priorities (also named Top Operational Risks - TOR), which are based on the identification of the most relevant operational risks, chosen after the qualitative evaluation on selected forward-looking key risk drivers and the analysis of risks highlighted by Legal Entities, performed yearly - jointly with GNFR - aimed at shaping an integrated view of risk control activities; • the identification of Group ORMS, which define the mitigation actions linked to the Operational Risk Priorities and to their main weak points/points of concerns. The Local ORMS are identified through the definition of the mitigation actions linked to both the Operational Risk priorities with their main weak points/points of concerns and the specific additional Operational Risks, relevant at local level. During the year, the status of the mitigation actions plan related to Group and Local ORMS, is monitored on a regular basis, following a risk-based approach, reporting any relevant deviation to the competent Committees at Group/local level, as appropriate, for information and discussion; the local ORMs will also provide regular reporting to GNFR for information. Operational Risk Permanent WorkGroup (PWG) The “Global Operational Regulation Group Operational Risk Mitigation Strategies” rules the PWG, an inter-functional working group established in the Legal Entities, which aims at identifying the root causes of Operational Risks and reduce the Operational Risk exposure of the Legal Entity, leveraging mainly on the expertise of the Operational Risk and the other competent functions (e.g. Compliance, Security, Business functions, etc.) involved time by time. The meetings, called at least quarterly, contribute to identify the risks, propose the mitigation actions and monitor their status. Insurance as risk mitigation The Operational Risk Management function is involved in the decision process related to insurance coverage with analyses regarding the exposure to operational risks, effectiveness of deductibles and of policy limits. It regularly informs management on insurance related matters connected to operational risks. The role of the Operational Risk Management function in insurance management is defined in in the “Global Operational Regulation Group Operational Risk Mitigation Strategies”. Any relevant change to insurance hedging strategies is proposed by to the relevant Risk Committee for approval. The operational risks commonly insured in the Group are damages to physical assets, frauds and liability toward third parties. On the basis of a risk classification, the Group has insurance policies according to the following forms: • internal fraud: BBB policy, according to Employee Dishonesty insuring clause; • external fraud: BBB policy, according to the following insuring clauses: On Premises and In Transit (including loss of property resulting directly from theft & robbery), Forgery or Alteration, Computer Manipulation, included the cases of “fraudulent impersonation of counterparty” aimed at the execution of fraudulent transactions (e.g., “CEO frauds”); • ICT and cyber breach: Cyber policy, coverage for liability claims (including legal expenses and customer notification costs), business interruption costs (included also damages to UniCredit group caused by the system failure of the external IT providers) and some commercial initiatives offering a compensation to damaged customers. The coverage is extended also to group multimedia liability (i.e., infringement of the copyright, defamation and general negligence in the course of publication); • protection for the personal liabilities of the management including legal expenses: Directors and Officers Liability (D&O) policy; • employer’s liability (E.L.): protection for the Bank’s liability against claims for damages suffered by employees (compared to third-party); • third Party Liability policy (TPL): protection for the bank against claims for damages suffered by third parties; • external occurrences: Property ALL RISKS policy as well as EDP ALL RISKS policy are provided in respect of buildings and other assets extended to natural events, catastrophic losses, vandalism and terrorism, Fine Art policy to cover entrusted or owned works of art. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 423 Quarterly updates are provided on capital-at-risk estimations and RAF metric monitoring. Operational loss reports, submitted to Group Non-Financial Risks and Controls Committee are periodically provided to Regulators. Operational risk addressing and mitigation The identification of the Group and Legal Entity Operational Risk Mitigation Strategies (Group and Legal Entity ORMS) is performed by the Operational Risk functions through a set of recurring yearly activities at Group and Legal Entities level to assess the Group and Legal Entities relevant risks and define the most appropriate mitigation actions in their scope to reduce such risk. Group ORMS constitute a steering instrument for Group and Local Entities, aimed at assuring operational risk sustainability through a structured and proactive approach to risk mitigation and at strengthening the controls framework for specific process areas. Group ORMS are submitted for approval to GNFRC and the Holding Company Board of Directors: once approved, the Group ORMS become effective and shall be sent to the LEs to be submitted for the validation by Local Risk Committee and for approval by Local competent Bodies, together with the Local ORMS. The Group and local ORMS are defined through: • the Preliminary Self-Risk Assessment, a qualitative evaluation on selected forward-looking key risk drivers performed yearly by local ORMs leveraging on a list of key risk drivers provided by GNFR; • the definition of Group Operational Risk priorities (also named Top Operational Risks - TOR), which are based on the identification of the most relevant operational risks, chosen after the qualitative evaluation on selected forward-looking key risk drivers and the analysis of risks highlighted by Legal Entities, performed yearly - jointly with GNFR - aimed at shaping an integrated view of risk control activities; • the identification of Group ORMS, which define the mitigation actions linked to the Operational Risk Priorities and to their main weak points/points of concerns. The Local ORMS are identified through the definition of the mitigation actions linked to both the Operational Risk priorities with their main weak points/points of concerns and the specific additional Operational Risks, relevant at local level. During the year, the status of the mitigation actions plan related to Group and Local ORMS, is monitored on a regular basis, following a risk-based approach, reporting any relevant deviation to the competent Committees at Group/local level, as appropriate, for information and discussion; the local ORMs will also provide regular reporting to GNFR for information. Operational Risk Permanent WorkGroup (PWG) The “Global Operational Regulation Group Operational Risk Mitigation Strategies” rules the PWG, an inter-functional working group established in the Legal Entities, which aims at identifying the root causes of Operational Risks and reduce the Operational Risk exposure of the Legal Entity, leveraging mainly on the expertise of the Operational Risk and the other competent functions (e.g. Compliance, Security, Business functions, etc.) involved time by time. The meetings, called at least quarterly, contribute to identify the risks, propose the mitigation actions and monitor their status. Insurance as risk mitigation The Operational Risk Management function is involved in the decision process related to insurance coverage with analyses regarding the exposure to operational risks, effectiveness of deductibles and of policy limits. It regularly informs management on insurance related matters connected to operational risks. The role of the Operational Risk Management function in insurance management is defined in in the “Global Operational Regulation Group Operational Risk Mitigation Strategies”. Any relevant change to insurance hedging strategies is proposed by to the relevant Risk Committee for approval. The operational risks commonly insured in the Group are damages to physical assets, frauds and liability toward third parties. On the basis of a risk classification, the Group has insurance policies according to the following forms: • internal fraud: BBB policy, according to Employee Dishonesty insuring clause; • external fraud: BBB policy, according to the following insuring clauses: On Premises and In Transit (including loss of property resulting directly from theft & robbery), Forgery or Alteration, Computer Manipulation, included the cases of “fraudulent impersonation of counterparty” aimed at the execution of fraudulent transactions (e.g., “CEO frauds”); • ICT and cyber breach: Cyber policy, coverage for liability claims (including legal expenses and customer notification costs), business interruption costs (included also damages to UniCredit group caused by the system failure of the external IT providers) and some commercial initiatives offering a compensation to damaged customers. The coverage is extended also to group multimedia liability (i.e., infringement of the copyright, defamation and general negligence in the course of publication); • protection for the personal liabilities of the management including legal expenses: Directors and Officers Liability (D&O) policy; • employer’s liability (E.L.): protection for the Bank’s liability against claims for damages suffered by employees (compared to third-party); • third Party Liability policy (TPL): protection for the bank against claims for damages suffered by third parties; • external occurrences: Property ALL RISKS policy as well as EDP ALL RISKS policy are provided in respect of buildings and other assets extended to natural events, catastrophic losses, vandalism and terrorism, Fine Art policy to cover entrusted or owned works of art. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 423 Quarterly updates are provided on capital-at-risk estimations and RAF metric monitoring. Operational loss reports, submitted to Group Non-Financial Risks and Controls Committee are periodically provided to Regulators. Operational risk addressing and mitigation The identification of the Group and Legal Entity Operational Risk Mitigation Strategies (Group and Legal Entity ORMS) is performed by the Operational Risk functions through a set of recurring yearly activities at Group and Legal Entities level to assess the Group and Legal Entities relevant risks and define the most appropriate mitigation actions in their scope to reduce such risk. Group ORMS constitute a steering instrument for Group and Local Entities, aimed at assuring operational risk sustainability through a structured and proactive approach to risk mitigation and at strengthening the controls framework for specific process areas. Group ORMS are submitted for approval to GNFRC and the Holding Company Board of Directors: once approved, the Group ORMS become effective and shall be sent to the LEs to be submitted for the validation by Local Risk Committee and for approval by Local competent Bodies, together with the Local ORMS. The Group and local ORMS are defined through: • the Preliminary Self-Risk Assessment, a qualitative evaluation on selected forward-looking key risk drivers performed yearly by local ORMs leveraging on a list of key risk drivers provided by GNFR; • the definition of Group Operational Risk priorities (also named Top Operational Risks - TOR), which are based on the identification of the most relevant operational risks, chosen after the qualitative evaluation on selected forward-looking key risk drivers and the analysis of risks highlighted by Legal Entities, performed yearly - jointly with GNFR - aimed at shaping an integrated view of risk control activities; • the identification of Group ORMS, which define the mitigation actions linked to the Operational Risk Priorities and to their main weak points/points of concerns. The Local ORMS are identified through the definition of the mitigation actions linked to both the Operational Risk priorities with their main weak points/points of concerns and the specific additional Operational Risks, relevant at local level. During the year, the status of the mitigation actions plan related to Group and Local ORMS, is monitored on a regular basis, following a risk-based approach, reporting any relevant deviation to the competent Committees at Group/local level, as appropriate, for information and discussion; the local ORMs will also provide regular reporting to GNFR for information. Operational Risk Permanent WorkGroup (PWG) The “Global Operational Regulation Group Operational Risk Mitigation Strategies” rules the PWG, an inter-functional working group established in the Legal Entities, which aims at identifying the root causes of Operational Risks and reduce the Operational Risk exposure of the Legal Entity, leveraging mainly on the expertise of the Operational Risk and the other competent functions (e.g. Compliance, Security, Business functions, etc.) involved time by time. The meetings, called at least quarterly, contribute to identify the risks, propose the mitigation actions and monitor their status. Insurance as risk mitigation The Operational Risk Management function is involved in the decision process related to insurance coverage with analyses regarding the exposure to operational risks, effectiveness of deductibles and of policy limits. It regularly informs management on insurance related matters connected to operational risks. The role of the Operational Risk Management function in insurance management is defined in in the “Global Operational Regulation Group Operational Risk Mitigation Strategies”. Any relevant change to insurance hedging strategies is proposed by to the relevant Risk Committee for approval. The operational risks commonly insured in the Group are damages to physical assets, frauds and liability toward third parties. On the basis of a risk classification, the Group has insurance policies according to the following forms: • internal fraud: BBB policy, according to Employee Dishonesty insuring clause; • external fraud: BBB policy, according to the following insuring clauses: On Premises and In Transit (including loss of property resulting directly from theft & robbery), Forgery or Alteration, Computer Manipulation, included the cases of “fraudulent impersonation of counterparty” aimed at the execution of fraudulent transactions (e.g., “CEO frauds”); • ICT and cyber breach: Cyber policy, coverage for liability claims (including legal expenses and customer notification costs), business interruption costs (included also damages to UniCredit group caused by the system failure of the external IT providers) and some commercial initiatives offering a compensation to damaged customers. The coverage is extended also to group multimedia liability (i.e., infringement of the copyright, defamation and general negligence in the course of publication); • protection for the personal liabilities of the management including legal expenses: Directors and Officers Liability (D&O) policy; • employer’s liability (E.L.): protection for the Bank’s liability against claims for damages suffered by employees (compared to third-party); • third Party Liability policy (TPL): protection for the bank against claims for damages suffered by third parties; • external occurrences: Property ALL RISKS policy as well as EDP ALL RISKS policy are provided in respect of buildings and other assets extended to natural events, catastrophic losses, vandalism and terrorism, Fine Art policy to cover entrusted or owned works of art. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 423 Quarterly updates are provided on capital-at-risk estimations and RAF metric monitoring. Operational loss reports, submitted to Group Non-Financial Risks and Controls Committee are periodically provided to Regulators. Operational risk addressing and mitigation The identification of the Group and Legal Entity Operational Risk Mitigation Strategies (Group and Legal Entity ORMS) is performed by the Operational Risk functions through a set of recurring yearly activities at Group and Legal Entities level to assess the Group and Legal Entities relevant risks and define the most appropriate mitigation actions in their scope to reduce such risk. Group ORMS constitute a steering instrument for Group and Local Entities, aimed at assuring operational risk sustainability through a structured and proactive approach to risk mitigation and at strengthening the controls framework for specific process areas. Group ORMS are submitted for approval to GNFRC and the Holding Company Board of Directors: once approved, the Group ORMS become effective and shall be sent to the LEs to be submitted for the validation by Local Risk Committee and for approval by Local competent Bodies, together with the Local ORMS. The Group and local ORMS are defined through: • the Preliminary Self-Risk Assessment, a qualitative evaluation on selected forward-looking key risk drivers performed yearly by local ORMs leveraging on a list of key risk drivers provided by GNFR; • the definition of Group Operational Risk priorities (also named Top Operational Risks - TOR), which are based on the identification of the most relevant operational risks, chosen after the qualitative evaluation on selected forward-looking key risk drivers and the analysis of risks highlighted by Legal Entities, performed yearly - jointly with GNFR - aimed at shaping an integrated view of risk control activities; • the identification of Group ORMS, which define the mitigation actions linked to the Operational Risk Priorities and to their main weak points/points of concerns. The Local ORMS are identified through the definition of the mitigation actions linked to both the Operational Risk priorities with their main weak points/points of concerns and the specific additional Operational Risks, relevant at local level. During the year, the status of the mitigation actions plan related to Group and Local ORMS, is monitored on a regular basis, following a risk-based approach, reporting any relevant deviation to the competent Committees at Group/local level, as appropriate, for information and discussion; the local ORMs will also provide regular reporting to GNFR for information. Operational Risk Permanent WorkGroup (PWG) The “Global Operational Regulation Group Operational Risk Mitigation Strategies” rules the PWG, an inter-functional working group established in the Legal Entities, which aims at identifying the root causes of Operational Risks and reduce the Operational Risk exposure of the Legal Entity, leveraging mainly on the expertise of the Operational Risk and the other competent functions (e.g. Compliance, Security, Business functions, etc.) involved time by time. The meetings, called at least quarterly, contribute to identify the risks, propose the mitigation actions and monitor their status. Insurance as risk mitigation The Operational Risk Management function is involved in the decision process related to insurance coverage with analyses regarding the exposure to operational risks, effectiveness of deductibles and of policy limits. It regularly informs management on insurance related matters connected to operational risks. The role of the Operational Risk Management function in insurance management is defined in in the “Global Operational Regulation Group Operational Risk Mitigation Strategies”. Any relevant change to insurance hedging strategies is proposed by to the relevant Risk Committee for approval. The operational risks commonly insured in the Group are damages to physical assets, frauds and liability toward third parties. On the basis of a risk classification, the Group has insurance policies according to the following forms: • internal fraud: BBB policy, according to Employee Dishonesty insuring clause; • external fraud: BBB policy, according to the following insuring clauses: On Premises and In Transit (including loss of property resulting directly from theft & robbery), Forgery or Alteration, Computer Manipulation, included the cases of “fraudulent impersonation of counterparty” aimed at the execution of fraudulent transactions (e.g., “CEO frauds”); • ICT and cyber breach: Cyber policy, coverage for liability claims (including legal expenses and customer notification costs), business interruption costs (included also damages to UniCredit group caused by the system failure of the external IT providers) and some commercial initiatives offering a compensation to damaged customers. The coverage is extended also to group multimedia liability (i.e., infringement of the copyright, defamation and general negligence in the course of publication); • protection for the personal liabilities of the management including legal expenses: Directors and Officers Liability (D&O) policy; • employer’s liability (E.L.): protection for the Bank’s liability against claims for damages suffered by employees (compared to third-party); • third Party Liability policy (TPL): protection for the bank against claims for damages suffered by third parties; • external occurrences: Property ALL RISKS policy as well as EDP ALL RISKS policy are provided in respect of buildings and other assets extended to natural events, catastrophic losses, vandalism and terrorism, Fine Art policy to cover entrusted or owned works of art. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 424 2021 Annual Report and Accounts · UniCredit AMA includes the effect of the “Bankers Blanket Bond” coverage on ET1 (“Event Type 1”) “Internal Frauds”. In particular, its impact is recognised by applying the following haircuts (aimed at considering uncertainty and mismatching elements theoretically linked to an insurance), which are updated on annual basis: • residual Term of Policy - longer than 1 year aims to keep coverage stability; • cancellation Terms - longer than 1 year aim to keep coverage stability (as well as for residual terms); • probability of Insurance Recovery (PoIR) - its calculation addresses uncertainties and responsiveness of insurance policies related to “mismatches in coverage”; • recovery Rate - it considers the split of fines and penalties in internal losses (other deviations from full recovery already included in PoIR); • probability of Default of Insurers - it contributes to estimate the ability of insurer to pay in a timely manner, considering the potential credit risk associated with the insurance asset and the related time delay; • discount factor - applied to the recoveries, considers that the final payment is expected with a delay defined by the time delay. ELOR (Expected Losses on Revenues) Monitoring ELOR is a ratio estimated, for the Group and for the main Legal Entities, with a statistical model, based on the historical losses time series and forward-looking factors, as numerator, and the budget revenues, as denominator. ELOR is monitored on quarterly basis using the actual losses on actual revenues booked in each quarter. The comparison between the thresholds estimated at the beginning of the year and the actual calculated on each quarter allows a close monitoring by the Parent Company of changes or reactions put in place by the Legal Entities to reduce and prevent risks. These analyses are also used to evaluate the impact of mitigation actions implemented in the past and as a base for future strategies and mitigation activities, as well as the improvement of existing ones. A disciplined approach in monitoring expected losses and implementing remedial actions will ensure consistency with best practice standards, increasing accountability and alignment between business and risk control functions. Stress test Since 2017, the Group has carried out regular stress analyses for operational risks. These include the stress test exercise for the Group, aimed at verifying, through the use of a statistical-econometric model, the impact in terms of operating losses - as well as the consequent repercussions on capital at risk - of the changes in the underlying macro-economic factors, using articulated economic scenarios discussed and defined by the Group Stress Test Council on the proposal of the Research Department. This exercise is carried out twice a year, or on request, whenever an analysis of this type is required, to assess the risks deriving from possible worsening of the macro-economic context. Risk capital measurement and allocation mechanism UniCredit group developed an internal model for measuring the capital requirements. It is based on internal loss data, external loss data (collected from the international consortium ORX - Operational Riskdata eXchange Association), scenario loss data and risk indicators. Capital requirement is calculated at Group level, considering the risk classes. For each risk class, severity and frequency of loss data are separately estimated to obtain the annual loss distribution. The severity distribution is estimated on internal, external and scenario data, while the frequency distribution is determined using only the internal data. The severity distribution is selected among a portfolio of parametric distribution (truncated lognormal, truncated Weibull, truncated loglogistic, generalised Pareto, shifted lognormal) applying a decision tree on internal data to identify the set of distribution/threshold best describing the tail severity data for each risk class. Frequency of loss data is modelled by a Poisson distribution. For each risk class, the annual loss distribution is obtained from severity and frequency through Monte Carlo simulation. An adjustment for key operational risk indicators is applied to the annual loss distribution estimated for each risk class. Annual loss distributions of risk classes are aggregated considering correlation among monthly loss data of risk classes. Correlation is estimated through a Student-t copula function and the overall annual loss distribution is obtained though Monte Carlo simulation, considering also insurance coverage. Group AMA capital requirement is calculated at a confidence level of 99.9% on the overall loss distribution for regulatory purposes and for economic capital purposes. Expected loss, for each risk class, is calculated as the minimum between median of loss distribution and available specific provisions related to ordinary internal loss data. Deduction for expected loss is calculated summing up the expected losses of the risk classes without exceeding the median of overall distribution. Through an allocation mechanism, the individual Legal Entities’ capital requirements are identified, reflecting the Entities exposure to operational risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 424 2021 Annual Report and Accounts · UniCredit AMA includes the effect of the “Bankers Blanket Bond” coverage on ET1 (“Event Type 1”) “Internal Frauds”. In particular, its impact is recognised by applying the following haircuts (aimed at considering uncertainty and mismatching elements theoretically linked to an insurance), which are updated on annual basis: • residual Term of Policy - longer than 1 year aims to keep coverage stability; • cancellation Terms - longer than 1 year aim to keep coverage stability (as well as for residual terms); • probability of Insurance Recovery (PoIR) - its calculation addresses uncertainties and responsiveness of insurance policies related to “mismatches in coverage”; • recovery Rate - it considers the split of fines and penalties in internal losses (other deviations from full recovery already included in PoIR); • probability of Default of Insurers - it contributes to estimate the ability of insurer to pay in a timely manner, considering the potential credit risk associated with the insurance asset and the related time delay; • discount factor - applied to the recoveries, considers that the final payment is expected with a delay defined by the time delay. ELOR (Expected Losses on Revenues) Monitoring ELOR is a ratio estimated, for the Group and for the main Legal Entities, with a statistical model, based on the historical losses time series and forward-looking factors, as numerator, and the budget revenues, as denominator. ELOR is monitored on quarterly basis using the actual losses on actual revenues booked in each quarter. The comparison between the thresholds estimated at the beginning of the year and the actual calculated on each quarter allows a close monitoring by the Parent Company of changes or reactions put in place by the Legal Entities to reduce and prevent risks. These analyses are also used to evaluate the impact of mitigation actions implemented in the past and as a base for future strategies and mitigation activities, as well as the improvement of existing ones. A disciplined approach in monitoring expected losses and implementing remedial actions will ensure consistency with best practice standards, increasing accountability and alignment between business and risk control functions. Stress test Since 2017, the Group has carried out regular stress analyses for operational risks. These include the stress test exercise for the Group, aimed at verifying, through the use of a statistical-econometric model, the impact in terms of operating losses - as well as the consequent repercussions on capital at risk - of the changes in the underlying macro-economic factors, using articulated economic scenarios discussed and defined by the Group Stress Test Council on the proposal of the Research Department. This exercise is carried out twice a year, or on request, whenever an analysis of this type is required, to assess the risks deriving from possible worsening of the macro-economic context. Risk capital measurement and allocation mechanism UniCredit group developed an internal model for measuring the capital requirements. It is based on internal loss data, external loss data (collected from the international consortium ORX - Operational Riskdata eXchange Association), scenario loss data and risk indicators. Capital requirement is calculated at Group level, considering the risk classes. For each risk class, severity and frequency of loss data are separately estimated to obtain the annual loss distribution. The severity distribution is estimated on internal, external and scenario data, while the frequency distribution is determined using only the internal data. The severity distribution is selected among a portfolio of parametric distribution (truncated lognormal, truncated Weibull, truncated loglogistic, generalised Pareto, shifted lognormal) applying a decision tree on internal data to identify the set of distribution/threshold best describing the tail severity data for each risk class. Frequency of loss data is modelled by a Poisson distribution. For each risk class, the annual loss distribution is obtained from severity and frequency through Monte Carlo simulation. An adjustment for key operational risk indicators is applied to the annual loss distribution estimated for each risk class. Annual loss distributions of risk classes are aggregated considering correlation among monthly loss data of risk classes. Correlation is estimated through a Student-t copula function and the overall annual loss distribution is obtained though Monte Carlo simulation, considering also insurance coverage. Group AMA capital requirement is calculated at a confidence level of 99.9% on the overall loss distribution for regulatory purposes and for economic capital purposes. Expected loss, for each risk class, is calculated as the minimum between median of loss distribution and available specific provisions related to ordinary internal loss data. Deduction for expected loss is calculated summing up the expected losses of the risk classes without exceeding the median of overall distribution. Through an allocation mechanism, the individual Legal Entities’ capital requirements are identified, reflecting the Entities exposure to operational risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 424 2021 Annual Report and Accounts · UniCredit AMA includes the effect of the “Bankers Blanket Bond” coverage on ET1 (“Event Type 1”) “Internal Frauds”. In particular, its impact is recognised by applying the following haircuts (aimed at considering uncertainty and mismatching elements theoretically linked to an insurance), which are updated on annual basis: • residual Term of Policy - longer than 1 year aims to keep coverage stability; • cancellation Terms - longer than 1 year aim to keep coverage stability (as well as for residual terms); • probability of Insurance Recovery (PoIR) - its calculation addresses uncertainties and responsiveness of insurance policies related to “mismatches in coverage”; • recovery Rate - it considers the split of fines and penalties in internal losses (other deviations from full recovery already included in PoIR); • probability of Default of Insurers - it contributes to estimate the ability of insurer to pay in a timely manner, considering the potential credit risk associated with the insurance asset and the related time delay; • discount factor - applied to the recoveries, considers that the final payment is expected with a delay defined by the time delay. ELOR (Expected Losses on Revenues) Monitoring ELOR is a ratio estimated, for the Group and for the main Legal Entities, with a statistical model, based on the historical losses time series and forward-looking factors, as numerator, and the budget revenues, as denominator. ELOR is monitored on quarterly basis using the actual losses on actual revenues booked in each quarter. The comparison between the thresholds estimated at the beginning of the year and the actual calculated on each quarter allows a close monitoring by the Parent Company of changes or reactions put in place by the Legal Entities to reduce and prevent risks. These analyses are also used to evaluate the impact of mitigation actions implemented in the past and as a base for future strategies and mitigation activities, as well as the improvement of existing ones. A disciplined approach in monitoring expected losses and implementing remedial actions will ensure consistency with best practice standards, increasing accountability and alignment between business and risk control functions. Stress test Since 2017, the Group has carried out regular stress analyses for operational risks. These include the stress test exercise for the Group, aimed at verifying, through the use of a statistical-econometric model, the impact in terms of operating losses - as well as the consequent repercussions on capital at risk - of the changes in the underlying macro-economic factors, using articulated economic scenarios discussed and defined by the Group Stress Test Council on the proposal of the Research Department. This exercise is carried out twice a year, or on request, whenever an analysis of this type is required, to assess the risks deriving from possible worsening of the macro-economic context. Risk capital measurement and allocation mechanism UniCredit group developed an internal model for measuring the capital requirements. It is based on internal loss data, external loss data (collected from the international consortium ORX - Operational Riskdata eXchange Association), scenario loss data and risk indicators. Capital requirement is calculated at Group level, considering the risk classes. For each risk class, severity and frequency of loss data are separately estimated to obtain the annual loss distribution. The severity distribution is estimated on internal, external and scenario data, while the frequency distribution is determined using only the internal data. The severity distribution is selected among a portfolio of parametric distribution (truncated lognormal, truncated Weibull, truncated loglogistic, generalised Pareto, shifted lognormal) applying a decision tree on internal data to identify the set of distribution/threshold best describing the tail severity data for each risk class. Frequency of loss data is modelled by a Poisson distribution. For each risk class, the annual loss distribution is obtained from severity and frequency through Monte Carlo simulation. An adjustment for key operational risk indicators is applied to the annual loss distribution estimated for each risk class. Annual loss distributions of risk classes are aggregated considering correlation among monthly loss data of risk classes. Correlation is estimated through a Student-t copula function and the overall annual loss distribution is obtained though Monte Carlo simulation, considering also insurance coverage. Group AMA capital requirement is calculated at a confidence level of 99.9% on the overall loss distribution for regulatory purposes and for economic capital purposes. Expected loss, for each risk class, is calculated as the minimum between median of loss distribution and available specific provisions related to ordinary internal loss data. Deduction for expected loss is calculated summing up the expected losses of the risk classes without exceeding the median of overall distribution. Through an allocation mechanism, the individual Legal Entities’ capital requirements are identified, reflecting the Entities exposure to operational risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 424 2021 Annual Report and Accounts · UniCredit AMA includes the effect of the “Bankers Blanket Bond” coverage on ET1 (“Event Type 1”) “Internal Frauds”. In particular, its impact is recognised by applying the following haircuts (aimed at considering uncertainty and mismatching elements theoretically linked to an insurance), which are updated on annual basis: • residual Term of Policy - longer than 1 year aims to keep coverage stability; • cancellation Terms - longer than 1 year aim to keep coverage stability (as well as for residual terms); • probability of Insurance Recovery (PoIR) - its calculation addresses uncertainties and responsiveness of insurance policies related to “mismatches in coverage”; • recovery Rate - it considers the split of fines and penalties in internal losses (other deviations from full recovery already included in PoIR); • probability of Default of Insurers - it contributes to estimate the ability of insurer to pay in a timely manner, considering the potential credit risk associated with the insurance asset and the related time delay; • discount factor - applied to the recoveries, considers that the final payment is expected with a delay defined by the time delay. ELOR (Expected Losses on Revenues) Monitoring ELOR is a ratio estimated, for the Group and for the main Legal Entities, with a statistical model, based on the historical losses time series and forward-looking factors, as numerator, and the budget revenues, as denominator. ELOR is monitored on quarterly basis using the actual losses on actual revenues booked in each quarter. The comparison between the thresholds estimated at the beginning of the year and the actual calculated on each quarter allows a close monitoring by the Parent Company of changes or reactions put in place by the Legal Entities to reduce and prevent risks. These analyses are also used to evaluate the impact of mitigation actions implemented in the past and as a base for future strategies and mitigation activities, as well as the improvement of existing ones. A disciplined approach in monitoring expected losses and implementing remedial actions will ensure consistency with best practice standards, increasing accountability and alignment between business and risk control functions. Stress test Since 2017, the Group has carried out regular stress analyses for operational risks. These include the stress test exercise for the Group, aimed at verifying, through the use of a statistical-econometric model, the impact in terms of operating losses - as well as the consequent repercussions on capital at risk - of the changes in the underlying macro-economic factors, using articulated economic scenarios discussed and defined by the Group Stress Test Council on the proposal of the Research Department. This exercise is carried out twice a year, or on request, whenever an analysis of this type is required, to assess the risks deriving from possible worsening of the macro-economic context. Risk capital measurement and allocation mechanism UniCredit group developed an internal model for measuring the capital requirements. It is based on internal loss data, external loss data (collected from the international consortium ORX - Operational Riskdata eXchange Association), scenario loss data and risk indicators. Capital requirement is calculated at Group level, considering the risk classes. For each risk class, severity and frequency of loss data are separately estimated to obtain the annual loss distribution. The severity distribution is estimated on internal, external and scenario data, while the frequency distribution is determined using only the internal data. The severity distribution is selected among a portfolio of parametric distribution (truncated lognormal, truncated Weibull, truncated loglogistic, generalised Pareto, shifted lognormal) applying a decision tree on internal data to identify the set of distribution/threshold best describing the tail severity data for each risk class. Frequency of loss data is modelled by a Poisson distribution. For each risk class, the annual loss distribution is obtained from severity and frequency through Monte Carlo simulation. An adjustment for key operational risk indicators is applied to the annual loss distribution estimated for each risk class. Annual loss distributions of risk classes are aggregated considering correlation among monthly loss data of risk classes. Correlation is estimated through a Student-t copula function and the overall annual loss distribution is obtained though Monte Carlo simulation, considering also insurance coverage. Group AMA capital requirement is calculated at a confidence level of 99.9% on the overall loss distribution for regulatory purposes and for economic capital purposes. Expected loss, for each risk class, is calculated as the minimum between median of loss distribution and available specific provisions related to ordinary internal loss data. Deduction for expected loss is calculated summing up the expected losses of the risk classes without exceeding the median of overall distribution. Through an allocation mechanism, the individual Legal Entities’ capital requirements are identified, reflecting the Entities exposure to operational risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 424 2021 Annual Report and Accounts · UniCredit AMA includes the effect of the “Bankers Blanket Bond” coverage on ET1 (“Event Type 1”) “Internal Frauds”. In particular, its impact is recognised by applying the following haircuts (aimed at considering uncertainty and mismatching elements theoretically linked to an insurance), which are updated on annual basis: • residual Term of Policy - longer than 1 year aims to keep coverage stability; • cancellation Terms - longer than 1 year aim to keep coverage stability (as well as for residual terms); • probability of Insurance Recovery (PoIR) - its calculation addresses uncertainties and responsiveness of insurance policies related to “mismatches in coverage”; • recovery Rate - it considers the split of fines and penalties in internal losses (other deviations from full recovery already included in PoIR); • probability of Default of Insurers - it contributes to estimate the ability of insurer to pay in a timely manner, considering the potential credit risk associated with the insurance asset and the related time delay; • discount factor - applied to the recoveries, considers that the final payment is expected with a delay defined by the time delay. ELOR (Expected Losses on Revenues) Monitoring ELOR is a ratio estimated, for the Group and for the main Legal Entities, with a statistical model, based on the historical losses time series and forward-looking factors, as numerator, and the budget revenues, as denominator. ELOR is monitored on quarterly basis using the actual losses on actual revenues booked in each quarter. The comparison between the thresholds estimated at the beginning of the year and the actual calculated on each quarter allows a close monitoring by the Parent Company of changes or reactions put in place by the Legal Entities to reduce and prevent risks. These analyses are also used to evaluate the impact of mitigation actions implemented in the past and as a base for future strategies and mitigation activities, as well as the improvement of existing ones. A disciplined approach in monitoring expected losses and implementing remedial actions will ensure consistency with best practice standards, increasing accountability and alignment between business and risk control functions. Stress test Since 2017, the Group has carried out regular stress analyses for operational risks. These include the stress test exercise for the Group, aimed at verifying, through the use of a statistical-econometric model, the impact in terms of operating losses - as well as the consequent repercussions on capital at risk - of the changes in the underlying macro-economic factors, using articulated economic scenarios discussed and defined by the Group Stress Test Council on the proposal of the Research Department. This exercise is carried out twice a year, or on request, whenever an analysis of this type is required, to assess the risks deriving from possible worsening of the macro-economic context. Risk capital measurement and allocation mechanism UniCredit group developed an internal model for measuring the capital requirements. It is based on internal loss data, external loss data (collected from the international consortium ORX - Operational Riskdata eXchange Association), scenario loss data and risk indicators. Capital requirement is calculated at Group level, considering the risk classes. For each risk class, severity and frequency of loss data are separately estimated to obtain the annual loss distribution. The severity distribution is estimated on internal, external and scenario data, while the frequency distribution is determined using only the internal data. The severity distribution is selected among a portfolio of parametric distribution (truncated lognormal, truncated Weibull, truncated loglogistic, generalised Pareto, shifted lognormal) applying a decision tree on internal data to identify the set of distribution/threshold best describing the tail severity data for each risk class. Frequency of loss data is modelled by a Poisson distribution. For each risk class, the annual loss distribution is obtained from severity and frequency through Monte Carlo simulation. An adjustment for key operational risk indicators is applied to the annual loss distribution estimated for each risk class. Annual loss distributions of risk classes are aggregated considering correlation among monthly loss data of risk classes. Correlation is estimated through a Student-t copula function and the overall annual loss distribution is obtained though Monte Carlo simulation, considering also insurance coverage. Group AMA capital requirement is calculated at a confidence level of 99.9% on the overall loss distribution for regulatory purposes and for economic capital purposes. Expected loss, for each risk class, is calculated as the minimum between median of loss distribution and available specific provisions related to ordinary internal loss data. Deduction for expected loss is calculated summing up the expected losses of the risk classes without exceeding the median of overall distribution. Through an allocation mechanism, the individual Legal Entities’ capital requirements are identified, reflecting the Entities exposure to operational risk. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 425 The allocation mechanism is based on two steps: • the Group capital requirement is allocated to model Hubs (sets of similar Legal Entities, in terms of geographical area or business type) proportionally to their relative Standardised Approach (TSA), Operational losses and stand-alone capital at risk figure; • the Hub capital at risk is then allocated to individual Legal Entities on the basis of their TSA, historical loss profile and scenarios. The Advanced Measurement Approach (AMA approved by the Supervisory Authority in 2008 has been upgraded and deeply revised (starting from 30 June 2014 reporting) leading to a second-generation model newly approved by competent authorities in 2014. The findings resolution on second generation model led to the last model version, starting from 31 December 2015 reporting. Key operational risk indicators adjustment has been fine-tuned, from 31 December 2017 reporting, to incorporate some observations included in the letter by ECB “follow-up review of AMA 2 findings” submitted in July 2016. A model change has been applied from 31 December 2018 reporting date, in order to improve the accuracy and the risk sensitivity of the Operational Risk capital requirement calculation, including an add-on, while the Supervisory Authority was completing the investigation. This model change has been finalised from the 30 June 2019 reporting, in order to address the Supervisory Authority findings, remove the add-on, and make the model compliant with the EU Regulatory Technical Standards (EU Regulation 2018/959 of 14 March 2018). The Legal Entities not yet authorised to use the advanced methods contribute to the consolidated capital requirement on the basis of the Standardised Approach (TSA) or Basic Indicator Approach (BIA) model. B. Legal risks The parent company UniCredit S.p.A. and other UniCredit group companies are named as defendants in several legal proceedings. In particular, as at 31 December 2021, the parent company UniCredit S.p.A. and other UniCredit group companies were named as defendants in about 55,900 legal proceedings, of which approximately 8,500 involving the parent company UniCredit S.p.A. (excluding labour law cases, tax cases and credit recovery actions in which counterclaims were asserted or objections raised with regard to the credit claims of Group companies). In addition, from time to time, past and present directors, officers and employees may be involved in civil and/or criminal proceedings, the details of which UniCredit group may not lawfully know about or communicate. The Group is also required to fulfil appropriately various legal and regulatory requirements in relation to certain aspects of its activity, such as conflicts of interest, ethical issues, anti-money laundering laws, EU, US and international sanctions, client assets, competition law, privacy and information security rules and others. Actual or alleged failure to do so may lead to additional litigation and investigations and subject the Group to damages claims, regulatory fines, other penalties and/or reputational damages. In addition, one or more Group companies and/or their current and/or former directors are subject or may in the future be subject to investigations by the relevant supervisory or prosecutorial authority in a number of countries in which the Group operates. These include investigations and/or proceedings relating, inter alia, to aspects of systems and controls and instances of actual and potential regulatory infringement by the relevant Group companies and/or its clients. Given the nature of UniCredit group’s business and its reorganisation over time, there is a risk that claims or matters that initially involve one Group company may affect or involve other Group entities. In many cases, there is substantial uncertainty regarding the outcomes of the proceedings and the amount of possible losses. Where it is possible to estimate reliably the amount of possible losses and the loss is considered as more likely than not, provisions have been made in the financial statements to the extent the parent company UniCredit S.p.A., or any of the Group companies involved, deemed appropriate based on the circumstances of the case and in compliance with the International Accounting Standards (IAS). To provide for possible liabilities and costs that may result from pending legal proceedings (excluding labour law and tax cases), as at 31 December 2021, UniCredit group set aside a provision for risks and charges of €688.4 million, of which €428.1 million for the parent company UniCredit S.p.A. As at 31 December 2021, the total amount of claimed damages relating to judicial proceedings other than labour, tax and debt collections proceedings amounted to approximately €9.8 billion, of which approximately €6.4 billion for the proceedings involving the parent company UniCredit S.p.A. This figure is affected by both the heterogeneous nature of the pending proceedings and the number of involved jurisdictions and their corresponding characteristics in which UniCredit group companies are named as defendants. The estimate for reasonably possible liabilities and the provisions are based upon the available information, however, given the many uncertainties inherent in legal proceedings, they involve significant elements of judgment. Therefore, any provision may not be sufficient to meet entirely the legal costs and the fines and penalties that may result from pending legal actions. Set out below is a summary of information, including, if material and/or indicated, the single requests of the plaintiffs, relating to matters involving UniCredit group which are not considered groundless or in the ordinary course of the Group companies’ business. This section also describes pending proceedings against the parent company UniCredit S.p.A. and/or other UniCredit group companies and/or employees (even former employees) that the parent company UniCredit S.p.A. considers relevant and which, at present, are not characterized by a defined claim or for which the respective claim cannot be quantified. Unless expressly mentioned below, labour law and tax claims or debt collections proceedings are excluded from this section and are described elsewhere in the notes of this section. In accordance with IAS37, information that would seriously prejudice the relevant company’s position in the dispute may be omitted. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 425 The allocation mechanism is based on two steps: • the Group capital requirement is allocated to model Hubs (sets of similar Legal Entities, in terms of geographical area or business type) proportionally to their relative Standardised Approach (TSA), Operational losses and stand-alone capital at risk figure; • the Hub capital at risk is then allocated to individual Legal Entities on the basis of their TSA, historical loss profile and scenarios. The Advanced Measurement Approach (AMA approved by the Supervisory Authority in 2008 has been upgraded and deeply revised (starting from 30 June 2014 reporting) leading to a second-generation model newly approved by competent authorities in 2014. The findings resolution on second generation model led to the last model version, starting from 31 December 2015 reporting. Key operational risk indicators adjustment has been fine-tuned, from 31 December 2017 reporting, to incorporate some observations included in the letter by ECB “follow-up review of AMA 2 findings” submitted in July 2016. A model change has been applied from 31 December 2018 reporting date, in order to improve the accuracy and the risk sensitivity of the Operational Risk capital requirement calculation, including an add-on, while the Supervisory Authority was completing the investigation. This model change has been finalised from the 30 June 2019 reporting, in order to address the Supervisory Authority findings, remove the add-on, and make the model compliant with the EU Regulatory Technical Standards (EU Regulation 2018/959 of 14 March 2018). The Legal Entities not yet authorised to use the advanced methods contribute to the consolidated capital requirement on the basis of the Standardised Approach (TSA) or Basic Indicator Approach (BIA) model. B. Legal risks The parent company UniCredit S.p.A. and other UniCredit group companies are named as defendants in several legal proceedings. In particular, as at 31 December 2021, the parent company UniCredit S.p.A. and other UniCredit group companies were named as defendants in about 55,900 legal proceedings, of which approximately 8,500 involving the parent company UniCredit S.p.A. (excluding labour law cases, tax cases and credit recovery actions in which counterclaims were asserted or objections raised with regard to the credit claims of Group companies). In addition, from time to time, past and present directors, officers and employees may be involved in civil and/or criminal proceedings, the details of which UniCredit group may not lawfully know about or communicate. The Group is also required to fulfil appropriately various legal and regulatory requirements in relation to certain aspects of its activity, such as conflicts of interest, ethical issues, anti-money laundering laws, EU, US and international sanctions, client assets, competition law, privacy and information security rules and others. Actual or alleged failure to do so may lead to additional litigation and investigations and subject the Group to damages claims, regulatory fines, other penalties and/or reputational damages. In addition, one or more Group companies and/or their current and/or former directors are subject or may in the future be subject to investigations by the relevant supervisory or prosecutorial authority in a number of countries in which the Group operates. These include investigations and/or proceedings relating, inter alia, to aspects of systems and controls and instances of actual and potential regulatory infringement by the relevant Group companies and/or its clients. Given the nature of UniCredit group’s business and its reorganisation over time, there is a risk that claims or matters that initially involve one Group company may affect or involve other Group entities. In many cases, there is substantial uncertainty regarding the outcomes of the proceedings and the amount of possible losses. Where it is possible to estimate reliably the amount of possible losses and the loss is considered as more likely than not, provisions have been made in the financial statements to the extent the parent company UniCredit S.p.A., or any of the Group companies involved, deemed appropriate based on the circumstances of the case and in compliance with the International Accounting Standards (IAS). To provide for possible liabilities and costs that may result from pending legal proceedings (excluding labour law and tax cases), as at 31 December 2021, UniCredit group set aside a provision for risks and charges of €688.4 million, of which €428.1 million for the parent company UniCredit S.p.A. As at 31 December 2021, the total amount of claimed damages relating to judicial proceedings other than labour, tax and debt collections proceedings amounted to approximately €9.8 billion, of which approximately €6.4 billion for the proceedings involving the parent company UniCredit S.p.A. This figure is affected by both the heterogeneous nature of the pending proceedings and the number of involved jurisdictions and their corresponding characteristics in which UniCredit group companies are named as defendants. The estimate for reasonably possible liabilities and the provisions are based upon the available information, however, given the many uncertainties inherent in legal proceedings, they involve significant elements of judgment. Therefore, any provision may not be sufficient to meet entirely the legal costs and the fines and penalties that may result from pending legal actions. Set out below is a summary of information, including, if material and/or indicated, the single requests of the plaintiffs, relating to matters involving UniCredit group which are not considered groundless or in the ordinary course of the Group companies’ business. This section also describes pending proceedings against the parent company UniCredit S.p.A. and/or other UniCredit group companies and/or employees (even former employees) that the parent company UniCredit S.p.A. considers relevant and which, at present, are not characterized by a defined claim or for which the respective claim cannot be quantified. Unless expressly mentioned below, labour law and tax claims or debt collections proceedings are excluded from this section and are described elsewhere in the notes of this section. In accordance with IAS37, information that would seriously prejudice the relevant company’s position in the dispute may be omitted. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 425 The allocation mechanism is based on two steps: • the Group capital requirement is allocated to model Hubs (sets of similar Legal Entities, in terms of geographical area or business type) proportionally to their relative Standardised Approach (TSA), Operational losses and stand-alone capital at risk figure; • the Hub capital at risk is then allocated to individual Legal Entities on the basis of their TSA, historical loss profile and scenarios. The Advanced Measurement Approach (AMA approved by the Supervisory Authority in 2008 has been upgraded and deeply revised (starting from 30 June 2014 reporting) leading to a second-generation model newly approved by competent authorities in 2014. The findings resolution on second generation model led to the last model version, starting from 31 December 2015 reporting. Key operational risk indicators adjustment has been fine-tuned, from 31 December 2017 reporting, to incorporate some observations included in the letter by ECB “follow-up review of AMA 2 findings” submitted in July 2016. A model change has been applied from 31 December 2018 reporting date, in order to improve the accuracy and the risk sensitivity of the Operational Risk capital requirement calculation, including an add-on, while the Supervisory Authority was completing the investigation. This model change has been finalised from the 30 June 2019 reporting, in order to address the Supervisory Authority findings, remove the add-on, and make the model compliant with the EU Regulatory Technical Standards (EU Regulation 2018/959 of 14 March 2018). The Legal Entities not yet authorised to use the advanced methods contribute to the consolidated capital requirement on the basis of the Standardised Approach (TSA) or Basic Indicator Approach (BIA) model. B. Legal risks The parent company UniCredit S.p.A. and other UniCredit group companies are named as defendants in several legal proceedings. In particular, as at 31 December 2021, the parent company UniCredit S.p.A. and other UniCredit group companies were named as defendants in about 55,900 legal proceedings, of which approximately 8,500 involving the parent company UniCredit S.p.A. (excluding labour law cases, tax cases and credit recovery actions in which counterclaims were asserted or objections raised with regard to the credit claims of Group companies). In addition, from time to time, past and present directors, officers and employees may be involved in civil and/or criminal proceedings, the details of which UniCredit group may not lawfully know about or communicate. The Group is also required to fulfil appropriately various legal and regulatory requirements in relation to certain aspects of its activity, such as conflicts of interest, ethical issues, anti-money laundering laws, EU, US and international sanctions, client assets, competition law, privacy and information security rules and others. Actual or alleged failure to do so may lead to additional litigation and investigations and subject the Group to damages claims, regulatory fines, other penalties and/or reputational damages. In addition, one or more Group companies and/or their current and/or former directors are subject or may in the future be subject to investigations by the relevant supervisory or prosecutorial authority in a number of countries in which the Group operates. These include investigations and/or proceedings relating, inter alia, to aspects of systems and controls and instances of actual and potential regulatory infringement by the relevant Group companies and/or its clients. Given the nature of UniCredit group’s business and its reorganisation over time, there is a risk that claims or matters that initially involve one Group company may affect or involve other Group entities. In many cases, there is substantial uncertainty regarding the outcomes of the proceedings and the amount of possible losses. Where it is possible to estimate reliably the amount of possible losses and the loss is considered as more likely than not, provisions have been made in the financial statements to the extent the parent company UniCredit S.p.A., or any of the Group companies involved, deemed appropriate based on the circumstances of the case and in compliance with the International Accounting Standards (IAS). To provide for possible liabilities and costs that may result from pending legal proceedings (excluding labour law and tax cases), as at 31 December 2021, UniCredit group set aside a provision for risks and charges of €688.4 million, of which €428.1 million for the parent company UniCredit S.p.A. As at 31 December 2021, the total amount of claimed damages relating to judicial proceedings other than labour, tax and debt collections proceedings amounted to approximately €9.8 billion, of which approximately €6.4 billion for the proceedings involving the parent company UniCredit S.p.A. This figure is affected by both the heterogeneous nature of the pending proceedings and the number of involved jurisdictions and their corresponding characteristics in which UniCredit group companies are named as defendants. The estimate for reasonably possible liabilities and the provisions are based upon the available information, however, given the many uncertainties inherent in legal proceedings, they involve significant elements of judgment. Therefore, any provision may not be sufficient to meet entirely the legal costs and the fines and penalties that may result from pending legal actions. Set out below is a summary of information, including, if material and/or indicated, the single requests of the plaintiffs, relating to matters involving UniCredit group which are not considered groundless or in the ordinary course of the Group companies’ business. This section also describes pending proceedings against the parent company UniCredit S.p.A. and/or other UniCredit group companies and/or employees (even former employees) that the parent company UniCredit S.p.A. considers relevant and which, at present, are not characterized by a defined claim or for which the respective claim cannot be quantified. Unless expressly mentioned below, labour law and tax claims or debt collections proceedings are excluded from this section and are described elsewhere in the notes of this section. In accordance with IAS37, information that would seriously prejudice the relevant company’s position in the dispute may be omitted. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 425 The allocation mechanism is based on two steps: • the Group capital requirement is allocated to model Hubs (sets of similar Legal Entities, in terms of geographical area or business type) proportionally to their relative Standardised Approach (TSA), Operational losses and stand-alone capital at risk figure; • the Hub capital at risk is then allocated to individual Legal Entities on the basis of their TSA, historical loss profile and scenarios. The Advanced Measurement Approach (AMA approved by the Supervisory Authority in 2008 has been upgraded and deeply revised (starting from 30 June 2014 reporting) leading to a second-generation model newly approved by competent authorities in 2014. The findings resolution on second generation model led to the last model version, starting from 31 December 2015 reporting. Key operational risk indicators adjustment has been fine-tuned, from 31 December 2017 reporting, to incorporate some observations included in the letter by ECB “follow-up review of AMA 2 findings” submitted in July 2016. A model change has been applied from 31 December 2018 reporting date, in order to improve the accuracy and the risk sensitivity of the Operational Risk capital requirement calculation, including an add-on, while the Supervisory Authority was completing the investigation. This model change has been finalised from the 30 June 2019 reporting, in order to address the Supervisory Authority findings, remove the add-on, and make the model compliant with the EU Regulatory Technical Standards (EU Regulation 2018/959 of 14 March 2018). The Legal Entities not yet authorised to use the advanced methods contribute to the consolidated capital requirement on the basis of the Standardised Approach (TSA) or Basic Indicator Approach (BIA) model. B. Legal risks The parent company UniCredit S.p.A. and other UniCredit group companies are named as defendants in several legal proceedings. In particular, as at 31 December 2021, the parent company UniCredit S.p.A. and other UniCredit group companies were named as defendants in about 55,900 legal proceedings, of which approximately 8,500 involving the parent company UniCredit S.p.A. (excluding labour law cases, tax cases and credit recovery actions in which counterclaims were asserted or objections raised with regard to the credit claims of Group companies). In addition, from time to time, past and present directors, officers and employees may be involved in civil and/or criminal proceedings, the details of which UniCredit group may not lawfully know about or communicate. The Group is also required to fulfil appropriately various legal and regulatory requirements in relation to certain aspects of its activity, such as conflicts of interest, ethical issues, anti-money laundering laws, EU, US and international sanctions, client assets, competition law, privacy and information security rules and others. Actual or alleged failure to do so may lead to additional litigation and investigations and subject the Group to damages claims, regulatory fines, other penalties and/or reputational damages. In addition, one or more Group companies and/or their current and/or former directors are subject or may in the future be subject to investigations by the relevant supervisory or prosecutorial authority in a number of countries in which the Group operates. These include investigations and/or proceedings relating, inter alia, to aspects of systems and controls and instances of actual and potential regulatory infringement by the relevant Group companies and/or its clients. Given the nature of UniCredit group’s business and its reorganisation over time, there is a risk that claims or matters that initially involve one Group company may affect or involve other Group entities. In many cases, there is substantial uncertainty regarding the outcomes of the proceedings and the amount of possible losses. Where it is possible to estimate reliably the amount of possible losses and the loss is considered as more likely than not, provisions have been made in the financial statements to the extent the parent company UniCredit S.p.A., or any of the Group companies involved, deemed appropriate based on the circumstances of the case and in compliance with the International Accounting Standards (IAS). To provide for possible liabilities and costs that may result from pending legal proceedings (excluding labour law and tax cases), as at 31 December 2021, UniCredit group set aside a provision for risks and charges of €688.4 million, of which €428.1 million for the parent company UniCredit S.p.A. As at 31 December 2021, the total amount of claimed damages relating to judicial proceedings other than labour, tax and debt collections proceedings amounted to approximately €9.8 billion, of which approximately €6.4 billion for the proceedings involving the parent company UniCredit S.p.A. This figure is affected by both the heterogeneous nature of the pending proceedings and the number of involved jurisdictions and their corresponding characteristics in which UniCredit group companies are named as defendants. The estimate for reasonably possible liabilities and the provisions are based upon the available information, however, given the many uncertainties inherent in legal proceedings, they involve significant elements of judgment. Therefore, any provision may not be sufficient to meet entirely the legal costs and the fines and penalties that may result from pending legal actions. Set out below is a summary of information, including, if material and/or indicated, the single requests of the plaintiffs, relating to matters involving UniCredit group which are not considered groundless or in the ordinary course of the Group companies’ business. This section also describes pending proceedings against the parent company UniCredit S.p.A. and/or other UniCredit group companies and/or employees (even former employees) that the parent company UniCredit S.p.A. considers relevant and which, at present, are not characterized by a defined claim or for which the respective claim cannot be quantified. Unless expressly mentioned below, labour law and tax claims or debt collections proceedings are excluded from this section and are described elsewhere in the notes of this section. In accordance with IAS37, information that would seriously prejudice the relevant company’s position in the dispute may be omitted. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 425 The allocation mechanism is based on two steps: • the Group capital requirement is allocated to model Hubs (sets of similar Legal Entities, in terms of geographical area or business type) proportionally to their relative Standardised Approach (TSA), Operational losses and stand-alone capital at risk figure; • the Hub capital at risk is then allocated to individual Legal Entities on the basis of their TSA, historical loss profile and scenarios. The Advanced Measurement Approach (AMA approved by the Supervisory Authority in 2008 has been upgraded and deeply revised (starting from 30 June 2014 reporting) leading to a second-generation model newly approved by competent authorities in 2014. The findings resolution on second generation model led to the last model version, starting from 31 December 2015 reporting. Key operational risk indicators adjustment has been fine-tuned, from 31 December 2017 reporting, to incorporate some observations included in the letter by ECB “follow-up review of AMA 2 findings” submitted in July 2016. A model change has been applied from 31 December 2018 reporting date, in order to improve the accuracy and the risk sensitivity of the Operational Risk capital requirement calculation, including an add-on, while the Supervisory Authority was completing the investigation. This model change has been finalised from the 30 June 2019 reporting, in order to address the Supervisory Authority findings, remove the add-on, and make the model compliant with the EU Regulatory Technical Standards (EU Regulation 2018/959 of 14 March 2018). The Legal Entities not yet authorised to use the advanced methods contribute to the consolidated capital requirement on the basis of the Standardised Approach (TSA) or Basic Indicator Approach (BIA) model. B. Legal risks The parent company UniCredit S.p.A. and other UniCredit group companies are named as defendants in several legal proceedings. In particular, as at 31 December 2021, the parent company UniCredit S.p.A. and other UniCredit group companies were named as defendants in about 55,900 legal proceedings, of which approximately 8,500 involving the parent company UniCredit S.p.A. (excluding labour law cases, tax cases and credit recovery actions in which counterclaims were asserted or objections raised with regard to the credit claims of Group companies). In addition, from time to time, past and present directors, officers and employees may be involved in civil and/or criminal proceedings, the details of which UniCredit group may not lawfully know about or communicate. The Group is also required to fulfil appropriately various legal and regulatory requirements in relation to certain aspects of its activity, such as conflicts of interest, ethical issues, anti-money laundering laws, EU, US and international sanctions, client assets, competition law, privacy and information security rules and others. Actual or alleged failure to do so may lead to additional litigation and investigations and subject the Group to damages claims, regulatory fines, other penalties and/or reputational damages. In addition, one or more Group companies and/or their current and/or former directors are subject or may in the future be subject to investigations by the relevant supervisory or prosecutorial authority in a number of countries in which the Group operates. These include investigations and/or proceedings relating, inter alia, to aspects of systems and controls and instances of actual and potential regulatory infringement by the relevant Group companies and/or its clients. Given the nature of UniCredit group’s business and its reorganisation over time, there is a risk that claims or matters that initially involve one Group company may affect or involve other Group entities. In many cases, there is substantial uncertainty regarding the outcomes of the proceedings and the amount of possible losses. Where it is possible to estimate reliably the amount of possible losses and the loss is considered as more likely than not, provisions have been made in the financial statements to the extent the parent company UniCredit S.p.A., or any of the Group companies involved, deemed appropriate based on the circumstances of the case and in compliance with the International Accounting Standards (IAS). To provide for possible liabilities and costs that may result from pending legal proceedings (excluding labour law and tax cases), as at 31 December 2021, UniCredit group set aside a provision for risks and charges of €688.4 million, of which €428.1 million for the parent company UniCredit S.p.A. As at 31 December 2021, the total amount of claimed damages relating to judicial proceedings other than labour, tax and debt collections proceedings amounted to approximately €9.8 billion, of which approximately €6.4 billion for the proceedings involving the parent company UniCredit S.p.A. This figure is affected by both the heterogeneous nature of the pending proceedings and the number of involved jurisdictions and their corresponding characteristics in which UniCredit group companies are named as defendants. The estimate for reasonably possible liabilities and the provisions are based upon the available information, however, given the many uncertainties inherent in legal proceedings, they involve significant elements of judgment. Therefore, any provision may not be sufficient to meet entirely the legal costs and the fines and penalties that may result from pending legal actions. Set out below is a summary of information, including, if material and/or indicated, the single requests of the plaintiffs, relating to matters involving UniCredit group which are not considered groundless or in the ordinary course of the Group companies’ business. This section also describes pending proceedings against the parent company UniCredit S.p.A. and/or other UniCredit group companies and/or employees (even former employees) that the parent company UniCredit S.p.A. considers relevant and which, at present, are not characterized by a defined claim or for which the respective claim cannot be quantified. Unless expressly mentioned below, labour law and tax claims or debt collections proceedings are excluded from this section and are described elsewhere in the notes of this section. In accordance with IAS37, information that would seriously prejudice the relevant company’s position in the dispute may be omitted. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 426 2021 Annual Report and Accounts · UniCredit Proceedings which involve the parent company UniCredit S.p.A. Madoff The parent company UniCredit S.p.A. and several of its direct and indirect subsidiaries (the “Companies”) have been sued in the wake of a Ponzi scheme perpetrated by Bernard L. Madoff through his company Bernard L. Madoff Investments Securities LLC (“BLMIS”), which was exposed in December 2008. The Companies were principally connected with Madoff as investment manager and/or investment adviser for the Primeo Fund Ltd (now in liquidation) and other non-US funds of funds that had invested in other non-US funds with accounts at BLMIS. Specifically, the Companies (together with a variety of other entities) were named as defendants in a variety of proceedings (both in the US and in non-US jurisdictions), for a total damage compensation claims of over $6 billion (to be later determined over the course of the proceedings). At present, most of the claims brought before US Courts and referring to the Companies have been rejected without any possibility of appeal or dismissal. However, the bankruptcy administrator of BLMIS (the “SIPA Trustee”) responsible for the Madoff’s company liquidation continues to pursue claims related to transfers of money made by BLMIS pre-bankruptcy to an affiliated company, BA Worldwide Fund Management Ltd (“BAWFM”), and other similarly situated parties. The potential claim for damages against BAWFM is non-material and, therefore, there are no specific risk profiles for the Companies. In addition, certain current or formerly affiliated persons named as defendants in a proceeding in the United States may seek indemnification from the Companies and its affiliated entities. As at 31 December 2021, there were several pending civil proceedings against UniCredit Bank Austria AG (“UCB Austria”) for the total claimed damages amount of €5 million. While a large majority of the judgments have been favourable to UCB Austria, the impact of the remaining cases cannot be predicted with certainty, as the related future rulings may be adverse to UCB Austria. UCB Austria has made adequate provisions related to the Madoff’s matter. Proceedings arising out of the purchase of UCB AG by the parent company UniCredit S.p.A. and the related Group reorganisation Squeeze-out of UCB AG minority shareholders (Appraisal Proceeding) In 2008, approximately 300 former minority shareholders of UCB AG filed a request before the District Court of Munich to have a review of the price paid to them by the parent company UniCredit S.p.A., equal to €38.26 per share, in the context of the squeeze out of minority shareholders (Appraisal Proceeding). The dispute mainly concerns the valuation of UCB AG, which is the basis for the calculation of the price to be paid to the former minority shareholders. At present the proceeding is pending in the first instance. Squeeze-out of UCB Austria’s minority shareholders (Appraisal Proceeding) In 2008, approximately 70 former minority shareholders of UCB Austria commenced proceedings before the Commercial Court of Vienna claiming that the squeeze-out price paid to them, equal to €129.4 per share, was inadequate, and asking the court to review the adequacy of the amount paid (Appraisal Proceeding). At present the proceeding is pending in the first instance. In parallel, five contentious proceedings in which plaintiffs claim damages have been initiated, involving however only insignificant amounts in dispute. Financial sanctions matters Following the settlement in April 2019, the U.S. and New York Authorities require an annual external review regarding the evolution of the process implementation. In light of the request, in 2020 the Group appointed an external independent consultant. Following the interaction with the independent consultant and also considering the mandatory commitments towards the Authorities, the parent company UniCredit S.p.A., UCB AG and UCB Austria AG have implemented additional requirements and controls, about which the banks make periodic reports to the Authorities. Euro-denominated bonds issued by EU countries On 31 January 2019, the parent company UniCredit S.p.A. and UCB AG received a Statement of Objections from the European Commission referring to the investigation by the European Commission of a suspected violation of antitrust rules in relation to European government bonds. The subject matter of the investigation extended to certain periods from 2007 to 2011 and included activities by UCB AG between September and November 2011. The European Commission concluded its investigation by issuance of its decision on 20 May 2021. The decision provides for the imposition of a fine of €69.4 million on the parent company UniCredit S.p.A. and UCB AG. The parent company UniCredit S.p.A. and UCB AG contest the European Commission's findings and brought an action for the annulment of its decision before the General Court of the European Union on 30 July 2021. On 11 June 2019, UCB AG and UniCredit Capital Markets LLC were named, among other financial institutions, as defendants in a putative class action already pending in the United States District Court for the Southern District of New York. The third amended class action complaint, filed on 3 December 2019, alleges a conspiracy among dealers of Euro-denominated bonds issued by European central banks to fix and manipulate the prices of those bonds, among other things by widening the bid-ask spreads they quoted to customers. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 426 2021 Annual Report and Accounts · UniCredit Proceedings which involve the parent company UniCredit S.p.A. Madoff The parent company UniCredit S.p.A. and several of its direct and indirect subsidiaries (the “Companies”) have been sued in the wake of a Ponzi scheme perpetrated by Bernard L. Madoff through his company Bernard L. Madoff Investments Securities LLC (“BLMIS”), which was exposed in December 2008. The Companies were principally connected with Madoff as investment manager and/or investment adviser for the Primeo Fund Ltd (now in liquidation) and other non-US funds of funds that had invested in other non-US funds with accounts at BLMIS. Specifically, the Companies (together with a variety of other entities) were named as defendants in a variety of proceedings (both in the US and in non-US jurisdictions), for a total damage compensation claims of over $6 billion (to be later determined over the course of the proceedings). At present, most of the claims brought before US Courts and referring to the Companies have been rejected without any possibility of appeal or dismissal. However, the bankruptcy administrator of BLMIS (the “SIPA Trustee”) responsible for the Madoff’s company liquidation continues to pursue claims related to transfers of money made by BLMIS pre-bankruptcy to an affiliated company, BA Worldwide Fund Management Ltd (“BAWFM”), and other similarly situated parties. The potential claim for damages against BAWFM is non-material and, therefore, there are no specific risk profiles for the Companies. In addition, certain current or formerly affiliated persons named as defendants in a proceeding in the United States may seek indemnification from the Companies and its affiliated entities. As at 31 December 2021, there were several pending civil proceedings against UniCredit Bank Austria AG (“UCB Austria”) for the total claimed damages amount of €5 million. While a large majority of the judgments have been favourable to UCB Austria, the impact of the remaining cases cannot be predicted with certainty, as the related future rulings may be adverse to UCB Austria. UCB Austria has made adequate provisions related to the Madoff’s matter. Proceedings arising out of the purchase of UCB AG by the parent company UniCredit S.p.A. and the related Group reorganisation Squeeze-out of UCB AG minority shareholders (Appraisal Proceeding) In 2008, approximately 300 former minority shareholders of UCB AG filed a request before the District Court of Munich to have a review of the price paid to them by the parent company UniCredit S.p.A., equal to €38.26 per share, in the context of the squeeze out of minority shareholders (Appraisal Proceeding). The dispute mainly concerns the valuation of UCB AG, which is the basis for the calculation of the price to be paid to the former minority shareholders. At present the proceeding is pending in the first instance. Squeeze-out of UCB Austria’s minority shareholders (Appraisal Proceeding) In 2008, approximately 70 former minority shareholders of UCB Austria commenced proceedings before the Commercial Court of Vienna claiming that the squeeze-out price paid to them, equal to €129.4 per share, was inadequate, and asking the court to review the adequacy of the amount paid (Appraisal Proceeding). At present the proceeding is pending in the first instance. In parallel, five contentious proceedings in which plaintiffs claim damages have been initiated, involving however only insignificant amounts in dispute. Financial sanctions matters Following the settlement in April 2019, the U.S. and New York Authorities require an annual external review regarding the evolution of the process implementation. In light of the request, in 2020 the Group appointed an external independent consultant. Following the interaction with the independent consultant and also considering the mandatory commitments towards the Authorities, the parent company UniCredit S.p.A., UCB AG and UCB Austria AG have implemented additional requirements and controls, about which the banks make periodic reports to the Authorities. Euro-denominated bonds issued by EU countries On 31 January 2019, the parent company UniCredit S.p.A. and UCB AG received a Statement of Objections from the European Commission referring to the investigation by the European Commission of a suspected violation of antitrust rules in relation to European government bonds. The subject matter of the investigation extended to certain periods from 2007 to 2011 and included activities by UCB AG between September and November 2011. The European Commission concluded its investigation by issuance of its decision on 20 May 2021. The decision provides for the imposition of a fine of €69.4 million on the parent company UniCredit S.p.A. and UCB AG. The parent company UniCredit S.p.A. and UCB AG contest the European Commission's findings and brought an action for the annulment of its decision before the General Court of the European Union on 30 July 2021. On 11 June 2019, UCB AG and UniCredit Capital Markets LLC were named, among other financial institutions, as defendants in a putative class action already pending in the United States District Court for the Southern District of New York. The third amended class action complaint, filed on 3 December 2019, alleges a conspiracy among dealers of Euro-denominated bonds issued by European central banks to fix and manipulate the prices of those bonds, among other things by widening the bid-ask spreads they quoted to customers. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 426 2021 Annual Report and Accounts · UniCredit Proceedings which involve the parent company UniCredit S.p.A. Madoff The parent company UniCredit S.p.A. and several of its direct and indirect subsidiaries (the “Companies”) have been sued in the wake of a Ponzi scheme perpetrated by Bernard L. Madoff through his company Bernard L. Madoff Investments Securities LLC (“BLMIS”), which was exposed in December 2008. The Companies were principally connected with Madoff as investment manager and/or investment adviser for the Primeo Fund Ltd (now in liquidation) and other non-US funds of funds that had invested in other non-US funds with accounts at BLMIS. Specifically, the Companies (together with a variety of other entities) were named as defendants in a variety of proceedings (both in the US and in non-US jurisdictions), for a total damage compensation claims of over $6 billion (to be later determined over the course of the proceedings). At present, most of the claims brought before US Courts and referring to the Companies have been rejected without any possibility of appeal or dismissal. However, the bankruptcy administrator of BLMIS (the “SIPA Trustee”) responsible for the Madoff’s company liquidation continues to pursue claims related to transfers of money made by BLMIS pre-bankruptcy to an affiliated company, BA Worldwide Fund Management Ltd (“BAWFM”), and other similarly situated parties. The potential claim for damages against BAWFM is non-material and, therefore, there are no specific risk profiles for the Companies. In addition, certain current or formerly affiliated persons named as defendants in a proceeding in the United States may seek indemnification from the Companies and its affiliated entities. As at 31 December 2021, there were several pending civil proceedings against UniCredit Bank Austria AG (“UCB Austria”) for the total claimed damages amount of €5 million. While a large majority of the judgments have been favourable to UCB Austria, the impact of the remaining cases cannot be predicted with certainty, as the related future rulings may be adverse to UCB Austria. UCB Austria has made adequate provisions related to the Madoff’s matter. Proceedings arising out of the purchase of UCB AG by the parent company UniCredit S.p.A. and the related Group reorganisation Squeeze-out of UCB AG minority shareholders (Appraisal Proceeding) In 2008, approximately 300 former minority shareholders of UCB AG filed a request before the District Court of Munich to have a review of the price paid to them by the parent company UniCredit S.p.A., equal to €38.26 per share, in the context of the squeeze out of minority shareholders (Appraisal Proceeding). The dispute mainly concerns the valuation of UCB AG, which is the basis for the calculation of the price to be paid to the former minority shareholders. At present the proceeding is pending in the first instance. Squeeze-out of UCB Austria’s minority shareholders (Appraisal Proceeding) In 2008, approximately 70 former minority shareholders of UCB Austria commenced proceedings before the Commercial Court of Vienna claiming that the squeeze-out price paid to them, equal to €129.4 per share, was inadequate, and asking the court to review the adequacy of the amount paid (Appraisal Proceeding). At present the proceeding is pending in the first instance. In parallel, five contentious proceedings in which plaintiffs claim damages have been initiated, involving however only insignificant amounts in dispute. Financial sanctions matters Following the settlement in April 2019, the U.S. and New York Authorities require an annual external review regarding the evolution of the process implementation. In light of the request, in 2020 the Group appointed an external independent consultant. Following the interaction with the independent consultant and also considering the mandatory commitments towards the Authorities, the parent company UniCredit S.p.A., UCB AG and UCB Austria AG have implemented additional requirements and controls, about which the banks make periodic reports to the Authorities. Euro-denominated bonds issued by EU countries On 31 January 2019, the parent company UniCredit S.p.A. and UCB AG received a Statement of Objections from the European Commission referring to the investigation by the European Commission of a suspected violation of antitrust rules in relation to European government bonds. The subject matter of the investigation extended to certain periods from 2007 to 2011 and included activities by UCB AG between September and November 2011. The European Commission concluded its investigation by issuance of its decision on 20 May 2021. The decision provides for the imposition of a fine of €69.4 million on the parent company UniCredit S.p.A. and UCB AG. The parent company UniCredit S.p.A. and UCB AG contest the European Commission's findings and brought an action for the annulment of its decision before the General Court of the European Union on 30 July 2021. On 11 June 2019, UCB AG and UniCredit Capital Markets LLC were named, among other financial institutions, as defendants in a putative class action already pending in the United States District Court for the Southern District of New York. The third amended class action complaint, filed on 3 December 2019, alleges a conspiracy among dealers of Euro-denominated bonds issued by European central banks to fix and manipulate the prices of those bonds, among other things by widening the bid-ask spreads they quoted to customers. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 426 2021 Annual Report and Accounts · UniCredit Proceedings which involve the parent company UniCredit S.p.A. Madoff The parent company UniCredit S.p.A. and several of its direct and indirect subsidiaries (the “Companies”) have been sued in the wake of a Ponzi scheme perpetrated by Bernard L. Madoff through his company Bernard L. Madoff Investments Securities LLC (“BLMIS”), which was exposed in December 2008. The Companies were principally connected with Madoff as investment manager and/or investment adviser for the Primeo Fund Ltd (now in liquidation) and other non-US funds of funds that had invested in other non-US funds with accounts at BLMIS. Specifically, the Companies (together with a variety of other entities) were named as defendants in a variety of proceedings (both in the US and in non-US jurisdictions), for a total damage compensation claims of over $6 billion (to be later determined over the course of the proceedings). At present, most of the claims brought before US Courts and referring to the Companies have been rejected without any possibility of appeal or dismissal. However, the bankruptcy administrator of BLMIS (the “SIPA Trustee”) responsible for the Madoff’s company liquidation continues to pursue claims related to transfers of money made by BLMIS pre-bankruptcy to an affiliated company, BA Worldwide Fund Management Ltd (“BAWFM”), and other similarly situated parties. The potential claim for damages against BAWFM is non-material and, therefore, there are no specific risk profiles for the Companies. In addition, certain current or formerly affiliated persons named as defendants in a proceeding in the United States may seek indemnification from the Companies and its affiliated entities. As at 31 December 2021, there were several pending civil proceedings against UniCredit Bank Austria AG (“UCB Austria”) for the total claimed damages amount of €5 million. While a large majority of the judgments have been favourable to UCB Austria, the impact of the remaining cases cannot be predicted with certainty, as the related future rulings may be adverse to UCB Austria. UCB Austria has made adequate provisions related to the Madoff’s matter. Proceedings arising out of the purchase of UCB AG by the parent company UniCredit S.p.A. and the related Group reorganisation Squeeze-out of UCB AG minority shareholders (Appraisal Proceeding) In 2008, approximately 300 former minority shareholders of UCB AG filed a request before the District Court of Munich to have a review of the price paid to them by the parent company UniCredit S.p.A., equal to €38.26 per share, in the context of the squeeze out of minority shareholders (Appraisal Proceeding). The dispute mainly concerns the valuation of UCB AG, which is the basis for the calculation of the price to be paid to the former minority shareholders. At present the proceeding is pending in the first instance. Squeeze-out of UCB Austria’s minority shareholders (Appraisal Proceeding) In 2008, approximately 70 former minority shareholders of UCB Austria commenced proceedings before the Commercial Court of Vienna claiming that the squeeze-out price paid to them, equal to €129.4 per share, was inadequate, and asking the court to review the adequacy of the amount paid (Appraisal Proceeding). At present the proceeding is pending in the first instance. In parallel, five contentious proceedings in which plaintiffs claim damages have been initiated, involving however only insignificant amounts in dispute. Financial sanctions matters Following the settlement in April 2019, the U.S. and New York Authorities require an annual external review regarding the evolution of the process implementation. In light of the request, in 2020 the Group appointed an external independent consultant. Following the interaction with the independent consultant and also considering the mandatory commitments towards the Authorities, the parent company UniCredit S.p.A., UCB AG and UCB Austria AG have implemented additional requirements and controls, about which the banks make periodic reports to the Authorities. Euro-denominated bonds issued by EU countries On 31 January 2019, the parent company UniCredit S.p.A. and UCB AG received a Statement of Objections from the European Commission referring to the investigation by the European Commission of a suspected violation of antitrust rules in relation to European government bonds. The subject matter of the investigation extended to certain periods from 2007 to 2011 and included activities by UCB AG between September and November 2011. The European Commission concluded its investigation by issuance of its decision on 20 May 2021. The decision provides for the imposition of a fine of €69.4 million on the parent company UniCredit S.p.A. and UCB AG. The parent company UniCredit S.p.A. and UCB AG contest the European Commission's findings and brought an action for the annulment of its decision before the General Court of the European Union on 30 July 2021. On 11 June 2019, UCB AG and UniCredit Capital Markets LLC were named, among other financial institutions, as defendants in a putative class action already pending in the United States District Court for the Southern District of New York. The third amended class action complaint, filed on 3 December 2019, alleges a conspiracy among dealers of Euro-denominated bonds issued by European central banks to fix and manipulate the prices of those bonds, among other things by widening the bid-ask spreads they quoted to customers. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 426 2021 Annual Report and Accounts · UniCredit Proceedings which involve the parent company UniCredit S.p.A. Madoff The parent company UniCredit S.p.A. and several of its direct and indirect subsidiaries (the “Companies”) have been sued in the wake of a Ponzi scheme perpetrated by Bernard L. Madoff through his company Bernard L. Madoff Investments Securities LLC (“BLMIS”), which was exposed in December 2008. The Companies were principally connected with Madoff as investment manager and/or investment adviser for the Primeo Fund Ltd (now in liquidation) and other non-US funds of funds that had invested in other non-US funds with accounts at BLMIS. Specifically, the Companies (together with a variety of other entities) were named as defendants in a variety of proceedings (both in the US and in non-US jurisdictions), for a total damage compensation claims of over $6 billion (to be later determined over the course of the proceedings). At present, most of the claims brought before US Courts and referring to the Companies have been rejected without any possibility of appeal or dismissal. However, the bankruptcy administrator of BLMIS (the “SIPA Trustee”) responsible for the Madoff’s company liquidation continues to pursue claims related to transfers of money made by BLMIS pre-bankruptcy to an affiliated company, BA Worldwide Fund Management Ltd (“BAWFM”), and other similarly situated parties. The potential claim for damages against BAWFM is non-material and, therefore, there are no specific risk profiles for the Companies. In addition, certain current or formerly affiliated persons named as defendants in a proceeding in the United States may seek indemnification from the Companies and its affiliated entities. As at 31 December 2021, there were several pending civil proceedings against UniCredit Bank Austria AG (“UCB Austria”) for the total claimed damages amount of €5 million. While a large majority of the judgments have been favourable to UCB Austria, the impact of the remaining cases cannot be predicted with certainty, as the related future rulings may be adverse to UCB Austria. UCB Austria has made adequate provisions related to the Madoff’s matter. Proceedings arising out of the purchase of UCB AG by the parent company UniCredit S.p.A. and the related Group reorganisation Squeeze-out of UCB AG minority shareholders (Appraisal Proceeding) In 2008, approximately 300 former minority shareholders of UCB AG filed a request before the District Court of Munich to have a review of the price paid to them by the parent company UniCredit S.p.A., equal to €38.26 per share, in the context of the squeeze out of minority shareholders (Appraisal Proceeding). The dispute mainly concerns the valuation of UCB AG, which is the basis for the calculation of the price to be paid to the former minority shareholders. At present the proceeding is pending in the first instance. Squeeze-out of UCB Austria’s minority shareholders (Appraisal Proceeding) In 2008, approximately 70 former minority shareholders of UCB Austria commenced proceedings before the Commercial Court of Vienna claiming that the squeeze-out price paid to them, equal to €129.4 per share, was inadequate, and asking the court to review the adequacy of the amount paid (Appraisal Proceeding). At present the proceeding is pending in the first instance. In parallel, five contentious proceedings in which plaintiffs claim damages have been initiated, involving however only insignificant amounts in dispute. Financial sanctions matters Following the settlement in April 2019, the U.S. and New York Authorities require an annual external review regarding the evolution of the process implementation. In light of the request, in 2020 the Group appointed an external independent consultant. Following the interaction with the independent consultant and also considering the mandatory commitments towards the Authorities, the parent company UniCredit S.p.A., UCB AG and UCB Austria AG have implemented additional requirements and controls, about which the banks make periodic reports to the Authorities. Euro-denominated bonds issued by EU countries On 31 January 2019, the parent company UniCredit S.p.A. and UCB AG received a Statement of Objections from the European Commission referring to the investigation by the European Commission of a suspected violation of antitrust rules in relation to European government bonds. The subject matter of the investigation extended to certain periods from 2007 to 2011 and included activities by UCB AG between September and November 2011. The European Commission concluded its investigation by issuance of its decision on 20 May 2021. The decision provides for the imposition of a fine of €69.4 million on the parent company UniCredit S.p.A. and UCB AG. The parent company UniCredit S.p.A. and UCB AG contest the European Commission's findings and brought an action for the annulment of its decision before the General Court of the European Union on 30 July 2021. On 11 June 2019, UCB AG and UniCredit Capital Markets LLC were named, among other financial institutions, as defendants in a putative class action already pending in the United States District Court for the Southern District of New York. The third amended class action complaint, filed on 3 December 2019, alleges a conspiracy among dealers of Euro-denominated bonds issued by European central banks to fix and manipulate the prices of those bonds, among other things by widening the bid-ask spreads they quoted to customers. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 427 The putative class consists of those who purchased or sold Euro-denominated bonds issued by European central banks in the US between 2007 and 2012. On 23 July 2020, the court granted motions to dismiss the third amended complaint by certain defendants, including UCB AG and UniCredit Capital Markets LLC, without prejudice. Plaintiffs filed their fourth amended class action complaint on 9 February 2021, repleading their claim against UCB AG and UniCredit Capital Markets LLC and other financial institutions. Like earlier pleadings, the fourth amended class action complaint does not include a quantification of damages claimed. Exchange of correspondence concerning motions to dismiss the fourth amended complaint has been completed, and in June 2021 defendants have requested a pre-motion conference with the court. Proceeding relating to certain forms of banking operations The UniCredit group is named as a defendant in several proceedings in matters connected to its operations with clients, which are not specific to UniCredit group, rather affect the financial sector in general. In this regard, as at 31 December 2021 (i) proceedings against the parent company UniCredit S.p.A. pertaining to compound interest, typical of the Italian market, had a total claimed amount of €1.1 billion, mediations included; (ii) proceedings pertaining to derivative products, mainly affecting the Italian market (for which the claimed amount against the parent company UniCredit S.p.A. was €692 million, mediations included) and the German market (for which the claimed amount against UCB AG was €28 million); and (iii) proceedings relating to foreign currency loans, mainly affecting the CE&EE countries (for which the claimed amount was around €162 million). The proceedings pertaining to compound interest mainly involve damages requests from clients arising from the alleged unlawfulness of the calculation methods of the amount of interest payable in connection with certain banking contracts. At present, the parent company UniCredit S.p.A. has made provisions that it deems appropriate for the risks associated with these claims. With regard to the litigation connected to derivative products, several financial institutions, including UniCredit group companies, entered into a number of derivative contracts, both with institutional and non-institutional investors. In Germany and in Italy there are a number of pending proceedings against certain Group companies that relate to derivative contracts concluded by both institutional and non-institutional investors. The filing of such litigations affects the financial sector generally and is not specific to the parent company UniCredit S.p.A. and its Group companies. At present, the parent company UniCredit S.p.A. and the involved Group companies have made provisions deemed appropriate based on the best estimate of the impact which might derive from such proceedings. With respect to proceedings relating to foreign currency (“FX”) loans, in the last decade, a significant number of customers in the Central and Eastern Europe area took out these types of loans and mortgages denominated in a foreign currency. In a number of instances customers, or consumer associations acting on their behalf, have sought to renegotiate the terms of such FX loans and mortgages, including having the loan principal and associated interest payments redenominated in the local currency at the time that the loan was taken out, and floating rates retrospectively changed to fixed rates. In addition, in a number of countries legislation that impacts FX loans was proposed or implemented. These developments resulted in litigation against subsidiaries of the parent company UniCredit S.p.A. in a number of CE&EE countries including Croatia, Slovenia and Serbia. In 2015, the Republic of Croatia enacted amendments to the Consumer Lending Act and Credit Institutions Act mandating the conversion with retroactive effect of Swiss franc (CHF)-linked loans into Euro-linked (the “Conversion Amendments”). In September 2016, UCB Austria and Zagrebačka Banka (“Zaba”) initiated a claim against the Republic of Croatia under the Agreement between the Government of the Republic of Austria and the Government of the Republic of Croatia for the promotion and protection of investments in order to recover the losses suffered as a result of the Conversion Amendments. In the interim, Zaba complied with the provisions of the new law and adjusted accordingly all the respective contracts where the customers requested so. The Government of the Republic of Croatia reached an agreement with six local banks, including ZABA and UCB Austria, as a result of which on 30 June 2021 the parties have jointly requested the arbitral tribunal to discontinue the proceedings. In 2019, the Supreme Court of the Republic of Croatia ruled that the CHF currency clause contained in certain loan and mortgage documentation was invalid. Accordingly, in the course of 2019, court decisions, recent court practice related to FX matters along with the expiration of the statute of limitation for filing individual lawsuits in respect of the invalidity of the interest rate clause, led to a significant increase in the number of new lawsuits against Zaba. In March 2020, the Supreme Court ruled that agreements entered into following the Conversion Amendments whereby customers converted their CHF mortgages and/or loans into EUR are valid and accordingly no additional payments are due. In October 2020 the Supreme Court, as well as one additional lower court, approached the European Court of Justice with a request for preliminary ruling asking for an interpretation on the applicability of the Directive on unfair terms in consumer contracts and consequently whether a consumer who converted its loan in accordance with the terms of the of the Conversion Amendments is entitled to additional payments. The Supreme Court withdrew its request, while the other case is still pending. In March 2021 the Constitutional Court rejected Zaba’s application related to the invalidity of the Swiss franc currency clause. In light of the above, provisions have been booked which are deemed appropriate. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 427 The putative class consists of those who purchased or sold Euro-denominated bonds issued by European central banks in the US between 2007 and 2012. On 23 July 2020, the court granted motions to dismiss the third amended complaint by certain defendants, including UCB AG and UniCredit Capital Markets LLC, without prejudice. Plaintiffs filed their fourth amended class action complaint on 9 February 2021, repleading their claim against UCB AG and UniCredit Capital Markets LLC and other financial institutions. Like earlier pleadings, the fourth amended class action complaint does not include a quantification of damages claimed. Exchange of correspondence concerning motions to dismiss the fourth amended complaint has been completed, and in June 2021 defendants have requested a pre-motion conference with the court. Proceeding relating to certain forms of banking operations The UniCredit group is named as a defendant in several proceedings in matters connected to its operations with clients, which are not specific to UniCredit group, rather affect the financial sector in general. In this regard, as at 31 December 2021 (i) proceedings against the parent company UniCredit S.p.A. pertaining to compound interest, typical of the Italian market, had a total claimed amount of €1.1 billion, mediations included; (ii) proceedings pertaining to derivative products, mainly affecting the Italian market (for which the claimed amount against the parent company UniCredit S.p.A. was €692 million, mediations included) and the German market (for which the claimed amount against UCB AG was €28 million); and (iii) proceedings relating to foreign currency loans, mainly affecting the CE&EE countries (for which the claimed amount was around €162 million). The proceedings pertaining to compound interest mainly involve damages requests from clients arising from the alleged unlawfulness of the calculation methods of the amount of interest payable in connection with certain banking contracts. At present, the parent company UniCredit S.p.A. has made provisions that it deems appropriate for the risks associated with these claims. With regard to the litigation connected to derivative products, several financial institutions, including UniCredit group companies, entered into a number of derivative contracts, both with institutional and non-institutional investors. In Germany and in Italy there are a number of pending proceedings against certain Group companies that relate to derivative contracts concluded by both institutional and non-institutional investors. The filing of such litigations affects the financial sector generally and is not specific to the parent company UniCredit S.p.A. and its Group companies. At present, the parent company UniCredit S.p.A. and the involved Group companies have made provisions deemed appropriate based on the best estimate of the impact which might derive from such proceedings. With respect to proceedings relating to foreign currency (“FX”) loans, in the last decade, a significant number of customers in the Central and Eastern Europe area took out these types of loans and mortgages denominated in a foreign currency. In a number of instances customers, or consumer associations acting on their behalf, have sought to renegotiate the terms of such FX loans and mortgages, including having the loan principal and associated interest payments redenominated in the local currency at the time that the loan was taken out, and floating rates retrospectively changed to fixed rates. In addition, in a number of countries legislation that impacts FX loans was proposed or implemented. These developments resulted in litigation against subsidiaries of the parent company UniCredit S.p.A. in a number of CE&EE countries including Croatia, Slovenia and Serbia. In 2015, the Republic of Croatia enacted amendments to the Consumer Lending Act and Credit Institutions Act mandating the conversion with retroactive effect of Swiss franc (CHF)-linked loans into Euro-linked (the “Conversion Amendments”). In September 2016, UCB Austria and Zagrebačka Banka (“Zaba”) initiated a claim against the Republic of Croatia under the Agreement between the Government of the Republic of Austria and the Government of the Republic of Croatia for the promotion and protection of investments in order to recover the losses suffered as a result of the Conversion Amendments. In the interim, Zaba complied with the provisions of the new law and adjusted accordingly all the respective contracts where the customers requested so. The Government of the Republic of Croatia reached an agreement with six local banks, including ZABA and UCB Austria, as a result of which on 30 June 2021 the parties have jointly requested the arbitral tribunal to discontinue the proceedings. In 2019, the Supreme Court of the Republic of Croatia ruled that the CHF currency clause contained in certain loan and mortgage documentation was invalid. Accordingly, in the course of 2019, court decisions, recent court practice related to FX matters along with the expiration of the statute of limitation for filing individual lawsuits in respect of the invalidity of the interest rate clause, led to a significant increase in the number of new lawsuits against Zaba. In March 2020, the Supreme Court ruled that agreements entered into following the Conversion Amendments whereby customers converted their CHF mortgages and/or loans into EUR are valid and accordingly no additional payments are due. In October 2020 the Supreme Court, as well as one additional lower court, approached the European Court of Justice with a request for preliminary ruling asking for an interpretation on the applicability of the Directive on unfair terms in consumer contracts and consequently whether a consumer who converted its loan in accordance with the terms of the of the Conversion Amendments is entitled to additional payments. The Supreme Court withdrew its request, while the other case is still pending. In March 2021 the Constitutional Court rejected Zaba’s application related to the invalidity of the Swiss franc currency clause. In light of the above, provisions have been booked which are deemed appropriate. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 427 The putative class consists of those who purchased or sold Euro-denominated bonds issued by European central banks in the US between 2007 and 2012. On 23 July 2020, the court granted motions to dismiss the third amended complaint by certain defendants, including UCB AG and UniCredit Capital Markets LLC, without prejudice. Plaintiffs filed their fourth amended class action complaint on 9 February 2021, repleading their claim against UCB AG and UniCredit Capital Markets LLC and other financial institutions. Like earlier pleadings, the fourth amended class action complaint does not include a quantification of damages claimed. Exchange of correspondence concerning motions to dismiss the fourth amended complaint has been completed, and in June 2021 defendants have requested a pre-motion conference with the court. Proceeding relating to certain forms of banking operations The UniCredit group is named as a defendant in several proceedings in matters connected to its operations with clients, which are not specific to UniCredit group, rather affect the financial sector in general. In this regard, as at 31 December 2021 (i) proceedings against the parent company UniCredit S.p.A. pertaining to compound interest, typical of the Italian market, had a total claimed amount of €1.1 billion, mediations included; (ii) proceedings pertaining to derivative products, mainly affecting the Italian market (for which the claimed amount against the parent company UniCredit S.p.A. was €692 million, mediations included) and the German market (for which the claimed amount against UCB AG was €28 million); and (iii) proceedings relating to foreign currency loans, mainly affecting the CE&EE countries (for which the claimed amount was around €162 million). The proceedings pertaining to compound interest mainly involve damages requests from clients arising from the alleged unlawfulness of the calculation methods of the amount of interest payable in connection with certain banking contracts. At present, the parent company UniCredit S.p.A. has made provisions that it deems appropriate for the risks associated with these claims. With regard to the litigation connected to derivative products, several financial institutions, including UniCredit group companies, entered into a number of derivative contracts, both with institutional and non-institutional investors. In Germany and in Italy there are a number of pending proceedings against certain Group companies that relate to derivative contracts concluded by both institutional and non-institutional investors. The filing of such litigations affects the financial sector generally and is not specific to the parent company UniCredit S.p.A. and its Group companies. At present, the parent company UniCredit S.p.A. and the involved Group companies have made provisions deemed appropriate based on the best estimate of the impact which might derive from such proceedings. With respect to proceedings relating to foreign currency (“FX”) loans, in the last decade, a significant number of customers in the Central and Eastern Europe area took out these types of loans and mortgages denominated in a foreign currency. In a number of instances customers, or consumer associations acting on their behalf, have sought to renegotiate the terms of such FX loans and mortgages, including having the loan principal and associated interest payments redenominated in the local currency at the time that the loan was taken out, and floating rates retrospectively changed to fixed rates. In addition, in a number of countries legislation that impacts FX loans was proposed or implemented. These developments resulted in litigation against subsidiaries of the parent company UniCredit S.p.A. in a number of CE&EE countries including Croatia, Slovenia and Serbia. In 2015, the Republic of Croatia enacted amendments to the Consumer Lending Act and Credit Institutions Act mandating the conversion with retroactive effect of Swiss franc (CHF)-linked loans into Euro-linked (the “Conversion Amendments”). In September 2016, UCB Austria and Zagrebačka Banka (“Zaba”) initiated a claim against the Republic of Croatia under the Agreement between the Government of the Republic of Austria and the Government of the Republic of Croatia for the promotion and protection of investments in order to recover the losses suffered as a result of the Conversion Amendments. In the interim, Zaba complied with the provisions of the new law and adjusted accordingly all the respective contracts where the customers requested so. The Government of the Republic of Croatia reached an agreement with six local banks, including ZABA and UCB Austria, as a result of which on 30 June 2021 the parties have jointly requested the arbitral tribunal to discontinue the proceedings. In 2019, the Supreme Court of the Republic of Croatia ruled that the CHF currency clause contained in certain loan and mortgage documentation was invalid. Accordingly, in the course of 2019, court decisions, recent court practice related to FX matters along with the expiration of the statute of limitation for filing individual lawsuits in respect of the invalidity of the interest rate clause, led to a significant increase in the number of new lawsuits against Zaba. In March 2020, the Supreme Court ruled that agreements entered into following the Conversion Amendments whereby customers converted their CHF mortgages and/or loans into EUR are valid and accordingly no additional payments are due. In October 2020 the Supreme Court, as well as one additional lower court, approached the European Court of Justice with a request for preliminary ruling asking for an interpretation on the applicability of the Directive on unfair terms in consumer contracts and consequently whether a consumer who converted its loan in accordance with the terms of the of the Conversion Amendments is entitled to additional payments. The Supreme Court withdrew its request, while the other case is still pending. In March 2021 the Constitutional Court rejected Zaba’s application related to the invalidity of the Swiss franc currency clause. In light of the above, provisions have been booked which are deemed appropriate. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 427 The putative class consists of those who purchased or sold Euro-denominated bonds issued by European central banks in the US between 2007 and 2012. On 23 July 2020, the court granted motions to dismiss the third amended complaint by certain defendants, including UCB AG and UniCredit Capital Markets LLC, without prejudice. Plaintiffs filed their fourth amended class action complaint on 9 February 2021, repleading their claim against UCB AG and UniCredit Capital Markets LLC and other financial institutions. Like earlier pleadings, the fourth amended class action complaint does not include a quantification of damages claimed. Exchange of correspondence concerning motions to dismiss the fourth amended complaint has been completed, and in June 2021 defendants have requested a pre-motion conference with the court. Proceeding relating to certain forms of banking operations The UniCredit group is named as a defendant in several proceedings in matters connected to its operations with clients, which are not specific to UniCredit group, rather affect the financial sector in general. In this regard, as at 31 December 2021 (i) proceedings against the parent company UniCredit S.p.A. pertaining to compound interest, typical of the Italian market, had a total claimed amount of €1.1 billion, mediations included; (ii) proceedings pertaining to derivative products, mainly affecting the Italian market (for which the claimed amount against the parent company UniCredit S.p.A. was €692 million, mediations included) and the German market (for which the claimed amount against UCB AG was €28 million); and (iii) proceedings relating to foreign currency loans, mainly affecting the CE&EE countries (for which the claimed amount was around €162 million). The proceedings pertaining to compound interest mainly involve damages requests from clients arising from the alleged unlawfulness of the calculation methods of the amount of interest payable in connection with certain banking contracts. At present, the parent company UniCredit S.p.A. has made provisions that it deems appropriate for the risks associated with these claims. With regard to the litigation connected to derivative products, several financial institutions, including UniCredit group companies, entered into a number of derivative contracts, both with institutional and non-institutional investors. In Germany and in Italy there are a number of pending proceedings against certain Group companies that relate to derivative contracts concluded by both institutional and non-institutional investors. The filing of such litigations affects the financial sector generally and is not specific to the parent company UniCredit S.p.A. and its Group companies. At present, the parent company UniCredit S.p.A. and the involved Group companies have made provisions deemed appropriate based on the best estimate of the impact which might derive from such proceedings. With respect to proceedings relating to foreign currency (“FX”) loans, in the last decade, a significant number of customers in the Central and Eastern Europe area took out these types of loans and mortgages denominated in a foreign currency. In a number of instances customers, or consumer associations acting on their behalf, have sought to renegotiate the terms of such FX loans and mortgages, including having the loan principal and associated interest payments redenominated in the local currency at the time that the loan was taken out, and floating rates retrospectively changed to fixed rates. In addition, in a number of countries legislation that impacts FX loans was proposed or implemented. These developments resulted in litigation against subsidiaries of the parent company UniCredit S.p.A. in a number of CE&EE countries including Croatia, Slovenia and Serbia. In 2015, the Republic of Croatia enacted amendments to the Consumer Lending Act and Credit Institutions Act mandating the conversion with retroactive effect of Swiss franc (CHF)-linked loans into Euro-linked (the “Conversion Amendments”). In September 2016, UCB Austria and Zagrebačka Banka (“Zaba”) initiated a claim against the Republic of Croatia under the Agreement between the Government of the Republic of Austria and the Government of the Republic of Croatia for the promotion and protection of investments in order to recover the losses suffered as a result of the Conversion Amendments. In the interim, Zaba complied with the provisions of the new law and adjusted accordingly all the respective contracts where the customers requested so. The Government of the Republic of Croatia reached an agreement with six local banks, including ZABA and UCB Austria, as a result of which on 30 June 2021 the parties have jointly requested the arbitral tribunal to discontinue the proceedings. In 2019, the Supreme Court of the Republic of Croatia ruled that the CHF currency clause contained in certain loan and mortgage documentation was invalid. Accordingly, in the course of 2019, court decisions, recent court practice related to FX matters along with the expiration of the statute of limitation for filing individual lawsuits in respect of the invalidity of the interest rate clause, led to a significant increase in the number of new lawsuits against Zaba. In March 2020, the Supreme Court ruled that agreements entered into following the Conversion Amendments whereby customers converted their CHF mortgages and/or loans into EUR are valid and accordingly no additional payments are due. In October 2020 the Supreme Court, as well as one additional lower court, approached the European Court of Justice with a request for preliminary ruling asking for an interpretation on the applicability of the Directive on unfair terms in consumer contracts and consequently whether a consumer who converted its loan in accordance with the terms of the of the Conversion Amendments is entitled to additional payments. The Supreme Court withdrew its request, while the other case is still pending. In March 2021 the Constitutional Court rejected Zaba’s application related to the invalidity of the Swiss franc currency clause. In light of the above, provisions have been booked which are deemed appropriate. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 427 The putative class consists of those who purchased or sold Euro-denominated bonds issued by European central banks in the US between 2007 and 2012. On 23 July 2020, the court granted motions to dismiss the third amended complaint by certain defendants, including UCB AG and UniCredit Capital Markets LLC, without prejudice. Plaintiffs filed their fourth amended class action complaint on 9 February 2021, repleading their claim against UCB AG and UniCredit Capital Markets LLC and other financial institutions. Like earlier pleadings, the fourth amended class action complaint does not include a quantification of damages claimed. Exchange of correspondence concerning motions to dismiss the fourth amended complaint has been completed, and in June 2021 defendants have requested a pre-motion conference with the court. Proceeding relating to certain forms of banking operations The UniCredit group is named as a defendant in several proceedings in matters connected to its operations with clients, which are not specific to UniCredit group, rather affect the financial sector in general. In this regard, as at 31 December 2021 (i) proceedings against the parent company UniCredit S.p.A. pertaining to compound interest, typical of the Italian market, had a total claimed amount of €1.1 billion, mediations included; (ii) proceedings pertaining to derivative products, mainly affecting the Italian market (for which the claimed amount against the parent company UniCredit S.p.A. was €692 million, mediations included) and the German market (for which the claimed amount against UCB AG was €28 million); and (iii) proceedings relating to foreign currency loans, mainly affecting the CE&EE countries (for which the claimed amount was around €162 million). The proceedings pertaining to compound interest mainly involve damages requests from clients arising from the alleged unlawfulness of the calculation methods of the amount of interest payable in connection with certain banking contracts. At present, the parent company UniCredit S.p.A. has made provisions that it deems appropriate for the risks associated with these claims. With regard to the litigation connected to derivative products, several financial institutions, including UniCredit group companies, entered into a number of derivative contracts, both with institutional and non-institutional investors. In Germany and in Italy there are a number of pending proceedings against certain Group companies that relate to derivative contracts concluded by both institutional and non-institutional investors. The filing of such litigations affects the financial sector generally and is not specific to the parent company UniCredit S.p.A. and its Group companies. At present, the parent company UniCredit S.p.A. and the involved Group companies have made provisions deemed appropriate based on the best estimate of the impact which might derive from such proceedings. With respect to proceedings relating to foreign currency (“FX”) loans, in the last decade, a significant number of customers in the Central and Eastern Europe area took out these types of loans and mortgages denominated in a foreign currency. In a number of instances customers, or consumer associations acting on their behalf, have sought to renegotiate the terms of such FX loans and mortgages, including having the loan principal and associated interest payments redenominated in the local currency at the time that the loan was taken out, and floating rates retrospectively changed to fixed rates. In addition, in a number of countries legislation that impacts FX loans was proposed or implemented. These developments resulted in litigation against subsidiaries of the parent company UniCredit S.p.A. in a number of CE&EE countries including Croatia, Slovenia and Serbia. In 2015, the Republic of Croatia enacted amendments to the Consumer Lending Act and Credit Institutions Act mandating the conversion with retroactive effect of Swiss franc (CHF)-linked loans into Euro-linked (the “Conversion Amendments”). In September 2016, UCB Austria and Zagrebačka Banka (“Zaba”) initiated a claim against the Republic of Croatia under the Agreement between the Government of the Republic of Austria and the Government of the Republic of Croatia for the promotion and protection of investments in order to recover the losses suffered as a result of the Conversion Amendments. In the interim, Zaba complied with the provisions of the new law and adjusted accordingly all the respective contracts where the customers requested so. The Government of the Republic of Croatia reached an agreement with six local banks, including ZABA and UCB Austria, as a result of which on 30 June 2021 the parties have jointly requested the arbitral tribunal to discontinue the proceedings. In 2019, the Supreme Court of the Republic of Croatia ruled that the CHF currency clause contained in certain loan and mortgage documentation was invalid. Accordingly, in the course of 2019, court decisions, recent court practice related to FX matters along with the expiration of the statute of limitation for filing individual lawsuits in respect of the invalidity of the interest rate clause, led to a significant increase in the number of new lawsuits against Zaba. In March 2020, the Supreme Court ruled that agreements entered into following the Conversion Amendments whereby customers converted their CHF mortgages and/or loans into EUR are valid and accordingly no additional payments are due. In October 2020 the Supreme Court, as well as one additional lower court, approached the European Court of Justice with a request for preliminary ruling asking for an interpretation on the applicability of the Directive on unfair terms in consumer contracts and consequently whether a consumer who converted its loan in accordance with the terms of the of the Conversion Amendments is entitled to additional payments. The Supreme Court withdrew its request, while the other case is still pending. In March 2021 the Constitutional Court rejected Zaba’s application related to the invalidity of the Swiss franc currency clause. In light of the above, provisions have been booked which are deemed appropriate. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 428 2021 Annual Report and Accounts · UniCredit Vanderbilt related litigations Claims brought or threatened by or on behalf of the State of New Mexico or any of its agencies or funds Vanderbilt Financial LLC (“VCA”) related litigations, where Pioneer Investment Management USA Inc., Pioneer Global Asset Management S.p.A. (“PGAM”), at the time controlled by UniCredit S.p.A. and incorporated by the latter in 2017, and the parent company UniCredit S.p.A. (the “Defendants”) were named as additional defendants by virtue of their corporate affiliation with VCA, including in legal proceedings brought by a former employee of the State of New Mexico (the “Public Authority”), who claimed to act as representative of the Public Authority for the losses suffered by the State of New Mexico during the 2006-08 market downturn on investments managed by VCA (mainly CDOs). The total amount of losses claimed in those proceedings is approximately $365 million. In 2012, the Defendants reached a settlement agreement for an amount of $24.25 million and the settlement amount was deposited into escrow at the beginning of 2013. The settlement is contingent on the Court’s approval, but that process was temporarily delayed pending the determination by the New Mexico Supreme Court of a legal matter in a separate lawsuit brought against a different set of defendants in other proceedings. The New Mexico Supreme Court issued its ruling on the awaited legal matter in June 2015 and in December 2015 the Defendants and the State of New Mexico renewed their request for Court approval of the settlement. The Court held a hearing in April 2016 and in June 2017 approved the settlement and directed that the claims against VCA and the Defendants be dismissed. A judgment to that effect was entered in September 2017 and a motion by the former State employee seeking to set aside that judgment was denied by the Court in October 2017. Appeals from the judgment and the subsequent order were taken in October and November 2017 and in June 2020, the New Mexico Court of Appeals affirmed that judgment. A motion for rehearing was subsequently denied. In October 2020 the New Mexico Supreme Court declined to hear a further appeal, but the former State employee subsequently petitioned for rehearing, and that motion remains pending. The settlement cannot be effectuated while the appeal remains pending. If the judgment continues to be upheld on appeal, the escrowed amount will be paid over to the State of New Mexico and the Defendants, including UniCredit S.p.A., will all be released from all the claims that were or could have been brought by or on behalf of the State or any of its agencies or funds. Divania S.r.l. In 2007, Divania S.r.l. (now in bankruptcy) (“Divania”) filed a lawsuit in the Court of Bari against UniCredit Banca d’Impresa S.p.A. (then UniCredit Corporate Banking S.p.A. and now UniCredit S.p.A.) alleging violations of law relating, inter alia, to financial products in relation to certain rate and currency derivative transactions entered into between January 2000 and May 2005 first by Credito Italiano S.p.A. and subsequently by UniCredit Banca d’Impresa S.p.A. (now UniCredit S.p.A.), demanding damages in the amount of €276.6 million, legal fees and interest. Divania also seeks the nullification of a 2005 settlement reached by the parties in which Divania had agreed to waive any claims in respect of the transactions. In 2017, the Court of Bari ordered the parent company UniCredit S.p.A. to pay approximately €7.6 million plus interests and part of the expenses in favour of Divania’s bankruptcy trustee and found that it did not have jurisdiction to rule on certain of Divania’s claims. The parent company UniCredit S.p.A. appealed. Divania filed two additional lawsuits before the Court of Bari: (i) one for €68.9 million in 2009 (subsequently increased to €80.5 million), essentially mirroring the claims brought in its lawsuit filed in 2007; and (ii) a second one for €1.6 million in 2006. With respect to the first lawsuit, in May 2016, the Court of Bari ordered the parent company UniCredit S.p.A. to pay approximately €12.6 million plus costs. The parent company UniCredit S.p.A. appealed. With respect to the second lawsuit, in 2015, the Court of Bari rejected Divania’s original claim and the judgment has res judicata effect. The two proceedings still pending were consolidated and in September 2021 the Court of Appeal of Bari reversed the judgment in the case commenced by Divania in 2007, ordering the latter to return the sum awarded by the first-instance Court plus costs (for a total of €9.3 million) to the parent company UniCredit S.p.A., and confirmed the judgment in the case commenced in 2009 by Divania (which had ordered the parent company UniCredit S.p.A. to pay an amount of €13.3 million). The judgment of the Court of Appeal became final between the parent company UniCredit S.p.A. and Divania; however, Divania’s guarantor may still appeal to the Supreme Court. I Viaggi del Ventaglio Group (IVV) In 2011, IVV DE MEXICO S.A., TONLE S.A. and the bankruptcy trustee of IVV INTERNATIONAL S.A. filed a lawsuit against the parent company UniCredit S.p.A. in the Court of Milan demanding approximately €68 million in damages. In 2014, the bankruptcy trustees of IVV Holding S.r.l. and IVV S.p.A. filed two additional lawsuits against the parent company UniCredit S.p.A. in the Court of Milan demanding €48 million and €170 million, respectively, in damages. In October 2019, the bankruptcy trustee of I Viaggi del Ventaglio Resorts Ventaglio Real Estate S.r.l. filed an additional lawsuit in the Court of Milan against the parent company UniCredit S.p.A. demanding a total of €12.8 million in damages. The four lawsuits - two of which were settled - pertain to allegedly unlawful conduct with regard to certain loans and certain derivative transactions. At present, (i) the parent company UniCredit S.p.A. won the first case both in the first-instance and on appeal and the case has been settled; (ii) the Bankruptcy Trustee and the parent company UniCredit S.p.A. reached a settlement agreement approved by the Court for the second case; (iii) the third case is pending in the first-instance and in July 2020 the bankruptcy trustee and the parent company UniCredit S.p.A. reached a settlement agreement by which the bankruptcy trustee waived its claims against the Bank; the case will continue between the parent company UniCredit S.p.A., on one side, and the former statutory auditors and guarantors of the plaintiff, on the other, in light of the contribution claims raised by the latter Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 428 2021 Annual Report and Accounts · UniCredit Vanderbilt related litigations Claims brought or threatened by or on behalf of the State of New Mexico or any of its agencies or funds Vanderbilt Financial LLC (“VCA”) related litigations, where Pioneer Investment Management USA Inc., Pioneer Global Asset Management S.p.A. (“PGAM”), at the time controlled by UniCredit S.p.A. and incorporated by the latter in 2017, and the parent company UniCredit S.p.A. (the “Defendants”) were named as additional defendants by virtue of their corporate affiliation with VCA, including in legal proceedings brought by a former employee of the State of New Mexico (the “Public Authority”), who claimed to act as representative of the Public Authority for the losses suffered by the State of New Mexico during the 2006-08 market downturn on investments managed by VCA (mainly CDOs). The total amount of losses claimed in those proceedings is approximately $365 million. In 2012, the Defendants reached a settlement agreement for an amount of $24.25 million and the settlement amount was deposited into escrow at the beginning of 2013. The settlement is contingent on the Court’s approval, but that process was temporarily delayed pending the determination by the New Mexico Supreme Court of a legal matter in a separate lawsuit brought against a different set of defendants in other proceedings. The New Mexico Supreme Court issued its ruling on the awaited legal matter in June 2015 and in December 2015 the Defendants and the State of New Mexico renewed their request for Court approval of the settlement. The Court held a hearing in April 2016 and in June 2017 approved the settlement and directed that the claims against VCA and the Defendants be dismissed. A judgment to that effect was entered in September 2017 and a motion by the former State employee seeking to set aside that judgment was denied by the Court in October 2017. Appeals from the judgment and the subsequent order were taken in October and November 2017 and in June 2020, the New Mexico Court of Appeals affirmed that judgment. A motion for rehearing was subsequently denied. In October 2020 the New Mexico Supreme Court declined to hear a further appeal, but the former State employee subsequently petitioned for rehearing, and that motion remains pending. The settlement cannot be effectuated while the appeal remains pending. If the judgment continues to be upheld on appeal, the escrowed amount will be paid over to the State of New Mexico and the Defendants, including UniCredit S.p.A., will all be released from all the claims that were or could have been brought by or on behalf of the State or any of its agencies or funds. Divania S.r.l. In 2007, Divania S.r.l. (now in bankruptcy) (“Divania”) filed a lawsuit in the Court of Bari against UniCredit Banca d’Impresa S.p.A. (then UniCredit Corporate Banking S.p.A. and now UniCredit S.p.A.) alleging violations of law relating, inter alia, to financial products in relation to certain rate and currency derivative transactions entered into between January 2000 and May 2005 first by Credito Italiano S.p.A. and subsequently by UniCredit Banca d’Impresa S.p.A. (now UniCredit S.p.A.), demanding damages in the amount of €276.6 million, legal fees and interest. Divania also seeks the nullification of a 2005 settlement reached by the parties in which Divania had agreed to waive any claims in respect of the transactions. In 2017, the Court of Bari ordered the parent company UniCredit S.p.A. to pay approximately €7.6 million plus interests and part of the expenses in favour of Divania’s bankruptcy trustee and found that it did not have jurisdiction to rule on certain of Divania’s claims. The parent company UniCredit S.p.A. appealed. Divania filed two additional lawsuits before the Court of Bari: (i) one for €68.9 million in 2009 (subsequently increased to €80.5 million), essentially mirroring the claims brought in its lawsuit filed in 2007; and (ii) a second one for €1.6 million in 2006. With respect to the first lawsuit, in May 2016, the Court of Bari ordered the parent company UniCredit S.p.A. to pay approximately €12.6 million plus costs. The parent company UniCredit S.p.A. appealed. With respect to the second lawsuit, in 2015, the Court of Bari rejected Divania’s original claim and the judgment has res judicata effect. The two proceedings still pending were consolidated and in September 2021 the Court of Appeal of Bari reversed the judgment in the case commenced by Divania in 2007, ordering the latter to return the sum awarded by the first-instance Court plus costs (for a total of €9.3 million) to the parent company UniCredit S.p.A., and confirmed the judgment in the case commenced in 2009 by Divania (which had ordered the parent company UniCredit S.p.A. to pay an amount of €13.3 million). The judgment of the Court of Appeal became final between the parent company UniCredit S.p.A. and Divania; however, Divania’s guarantor may still appeal to the Supreme Court. I Viaggi del Ventaglio Group (IVV) In 2011, IVV DE MEXICO S.A., TONLE S.A. and the bankruptcy trustee of IVV INTERNATIONAL S.A. filed a lawsuit against the parent company UniCredit S.p.A. in the Court of Milan demanding approximately €68 million in damages. In 2014, the bankruptcy trustees of IVV Holding S.r.l. and IVV S.p.A. filed two additional lawsuits against the parent company UniCredit S.p.A. in the Court of Milan demanding €48 million and €170 million, respectively, in damages. In October 2019, the bankruptcy trustee of I Viaggi del Ventaglio Resorts Ventaglio Real Estate S.r.l. filed an additional lawsuit in the Court of Milan against the parent company UniCredit S.p.A. demanding a total of €12.8 million in damages. The four lawsuits - two of which were settled - pertain to allegedly unlawful conduct with regard to certain loans and certain derivative transactions. At present, (i) the parent company UniCredit S.p.A. won the first case both in the first-instance and on appeal and the case has been settled; (ii) the Bankruptcy Trustee and the parent company UniCredit S.p.A. reached a settlement agreement approved by the Court for the second case; (iii) the third case is pending in the first-instance and in July 2020 the bankruptcy trustee and the parent company UniCredit S.p.A. reached a settlement agreement by which the bankruptcy trustee waived its claims against the Bank; the case will continue between the parent company UniCredit S.p.A., on one side, and the former statutory auditors and guarantors of the plaintiff, on the other, in light of the contribution claims raised by the latter Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 428 2021 Annual Report and Accounts · UniCredit Vanderbilt related litigations Claims brought or threatened by or on behalf of the State of New Mexico or any of its agencies or funds Vanderbilt Financial LLC (“VCA”) related litigations, where Pioneer Investment Management USA Inc., Pioneer Global Asset Management S.p.A. (“PGAM”), at the time controlled by UniCredit S.p.A. and incorporated by the latter in 2017, and the parent company UniCredit S.p.A. (the “Defendants”) were named as additional defendants by virtue of their corporate affiliation with VCA, including in legal proceedings brought by a former employee of the State of New Mexico (the “Public Authority”), who claimed to act as representative of the Public Authority for the losses suffered by the State of New Mexico during the 2006-08 market downturn on investments managed by VCA (mainly CDOs). The total amount of losses claimed in those proceedings is approximately $365 million. In 2012, the Defendants reached a settlement agreement for an amount of $24.25 million and the settlement amount was deposited into escrow at the beginning of 2013. The settlement is contingent on the Court’s approval, but that process was temporarily delayed pending the determination by the New Mexico Supreme Court of a legal matter in a separate lawsuit brought against a different set of defendants in other proceedings. The New Mexico Supreme Court issued its ruling on the awaited legal matter in June 2015 and in December 2015 the Defendants and the State of New Mexico renewed their request for Court approval of the settlement. The Court held a hearing in April 2016 and in June 2017 approved the settlement and directed that the claims against VCA and the Defendants be dismissed. A judgment to that effect was entered in September 2017 and a motion by the former State employee seeking to set aside that judgment was denied by the Court in October 2017. Appeals from the judgment and the subsequent order were taken in October and November 2017 and in June 2020, the New Mexico Court of Appeals affirmed that judgment. A motion for rehearing was subsequently denied. In October 2020 the New Mexico Supreme Court declined to hear a further appeal, but the former State employee subsequently petitioned for rehearing, and that motion remains pending. The settlement cannot be effectuated while the appeal remains pending. If the judgment continues to be upheld on appeal, the escrowed amount will be paid over to the State of New Mexico and the Defendants, including UniCredit S.p.A., will all be released from all the claims that were or could have been brought by or on behalf of the State or any of its agencies or funds. Divania S.r.l. In 2007, Divania S.r.l. (now in bankruptcy) (“Divania”) filed a lawsuit in the Court of Bari against UniCredit Banca d’Impresa S.p.A. (then UniCredit Corporate Banking S.p.A. and now UniCredit S.p.A.) alleging violations of law relating, inter alia, to financial products in relation to certain rate and currency derivative transactions entered into between January 2000 and May 2005 first by Credito Italiano S.p.A. and subsequently by UniCredit Banca d’Impresa S.p.A. (now UniCredit S.p.A.), demanding damages in the amount of €276.6 million, legal fees and interest. Divania also seeks the nullification of a 2005 settlement reached by the parties in which Divania had agreed to waive any claims in respect of the transactions. In 2017, the Court of Bari ordered the parent company UniCredit S.p.A. to pay approximately €7.6 million plus interests and part of the expenses in favour of Divania’s bankruptcy trustee and found that it did not have jurisdiction to rule on certain of Divania’s claims. The parent company UniCredit S.p.A. appealed. Divania filed two additional lawsuits before the Court of Bari: (i) one for €68.9 million in 2009 (subsequently increased to €80.5 million), essentially mirroring the claims brought in its lawsuit filed in 2007; and (ii) a second one for €1.6 million in 2006. With respect to the first lawsuit, in May 2016, the Court of Bari ordered the parent company UniCredit S.p.A. to pay approximately €12.6 million plus costs. The parent company UniCredit S.p.A. appealed. With respect to the second lawsuit, in 2015, the Court of Bari rejected Divania’s original claim and the judgment has res judicata effect. The two proceedings still pending were consolidated and in September 2021 the Court of Appeal of Bari reversed the judgment in the case commenced by Divania in 2007, ordering the latter to return the sum awarded by the first-instance Court plus costs (for a total of €9.3 million) to the parent company UniCredit S.p.A., and confirmed the judgment in the case commenced in 2009 by Divania (which had ordered the parent company UniCredit S.p.A. to pay an amount of €13.3 million). The judgment of the Court of Appeal became final between the parent company UniCredit S.p.A. and Divania; however, Divania’s guarantor may still appeal to the Supreme Court. I Viaggi del Ventaglio Group (IVV) In 2011, IVV DE MEXICO S.A., TONLE S.A. and the bankruptcy trustee of IVV INTERNATIONAL S.A. filed a lawsuit against the parent company UniCredit S.p.A. in the Court of Milan demanding approximately €68 million in damages. In 2014, the bankruptcy trustees of IVV Holding S.r.l. and IVV S.p.A. filed two additional lawsuits against the parent company UniCredit S.p.A. in the Court of Milan demanding €48 million and €170 million, respectively, in damages. In October 2019, the bankruptcy trustee of I Viaggi del Ventaglio Resorts Ventaglio Real Estate S.r.l. filed an additional lawsuit in the Court of Milan against the parent company UniCredit S.p.A. demanding a total of €12.8 million in damages. The four lawsuits - two of which were settled - pertain to allegedly unlawful conduct with regard to certain loans and certain derivative transactions. At present, (i) the parent company UniCredit S.p.A. won the first case both in the first-instance and on appeal and the case has been settled; (ii) the Bankruptcy Trustee and the parent company UniCredit S.p.A. reached a settlement agreement approved by the Court for the second case; (iii) the third case is pending in the first-instance and in July 2020 the bankruptcy trustee and the parent company UniCredit S.p.A. reached a settlement agreement by which the bankruptcy trustee waived its claims against the Bank; the case will continue between the parent company UniCredit S.p.A., on one side, and the former statutory auditors and guarantors of the plaintiff, on the other, in light of the contribution claims raised by the latter Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 428 2021 Annual Report and Accounts · UniCredit Vanderbilt related litigations Claims brought or threatened by or on behalf of the State of New Mexico or any of its agencies or funds Vanderbilt Financial LLC (“VCA”) related litigations, where Pioneer Investment Management USA Inc., Pioneer Global Asset Management S.p.A. (“PGAM”), at the time controlled by UniCredit S.p.A. and incorporated by the latter in 2017, and the parent company UniCredit S.p.A. (the “Defendants”) were named as additional defendants by virtue of their corporate affiliation with VCA, including in legal proceedings brought by a former employee of the State of New Mexico (the “Public Authority”), who claimed to act as representative of the Public Authority for the losses suffered by the State of New Mexico during the 2006-08 market downturn on investments managed by VCA (mainly CDOs). The total amount of losses claimed in those proceedings is approximately $365 million. In 2012, the Defendants reached a settlement agreement for an amount of $24.25 million and the settlement amount was deposited into escrow at the beginning of 2013. The settlement is contingent on the Court’s approval, but that process was temporarily delayed pending the determination by the New Mexico Supreme Court of a legal matter in a separate lawsuit brought against a different set of defendants in other proceedings. The New Mexico Supreme Court issued its ruling on the awaited legal matter in June 2015 and in December 2015 the Defendants and the State of New Mexico renewed their request for Court approval of the settlement. The Court held a hearing in April 2016 and in June 2017 approved the settlement and directed that the claims against VCA and the Defendants be dismissed. A judgment to that effect was entered in September 2017 and a motion by the former State employee seeking to set aside that judgment was denied by the Court in October 2017. Appeals from the judgment and the subsequent order were taken in October and November 2017 and in June 2020, the New Mexico Court of Appeals affirmed that judgment. A motion for rehearing was subsequently denied. In October 2020 the New Mexico Supreme Court declined to hear a further appeal, but the former State employee subsequently petitioned for rehearing, and that motion remains pending. The settlement cannot be effectuated while the appeal remains pending. If the judgment continues to be upheld on appeal, the escrowed amount will be paid over to the State of New Mexico and the Defendants, including UniCredit S.p.A., will all be released from all the claims that were or could have been brought by or on behalf of the State or any of its agencies or funds. Divania S.r.l. In 2007, Divania S.r.l. (now in bankruptcy) (“Divania”) filed a lawsuit in the Court of Bari against UniCredit Banca d’Impresa S.p.A. (then UniCredit Corporate Banking S.p.A. and now UniCredit S.p.A.) alleging violations of law relating, inter alia, to financial products in relation to certain rate and currency derivative transactions entered into between January 2000 and May 2005 first by Credito Italiano S.p.A. and subsequently by UniCredit Banca d’Impresa S.p.A. (now UniCredit S.p.A.), demanding damages in the amount of €276.6 million, legal fees and interest. Divania also seeks the nullification of a 2005 settlement reached by the parties in which Divania had agreed to waive any claims in respect of the transactions. In 2017, the Court of Bari ordered the parent company UniCredit S.p.A. to pay approximately €7.6 million plus interests and part of the expenses in favour of Divania’s bankruptcy trustee and found that it did not have jurisdiction to rule on certain of Divania’s claims. The parent company UniCredit S.p.A. appealed. Divania filed two additional lawsuits before the Court of Bari: (i) one for €68.9 million in 2009 (subsequently increased to €80.5 million), essentially mirroring the claims brought in its lawsuit filed in 2007; and (ii) a second one for €1.6 million in 2006. With respect to the first lawsuit, in May 2016, the Court of Bari ordered the parent company UniCredit S.p.A. to pay approximately €12.6 million plus costs. The parent company UniCredit S.p.A. appealed. With respect to the second lawsuit, in 2015, the Court of Bari rejected Divania’s original claim and the judgment has res judicata effect. The two proceedings still pending were consolidated and in September 2021 the Court of Appeal of Bari reversed the judgment in the case commenced by Divania in 2007, ordering the latter to return the sum awarded by the first-instance Court plus costs (for a total of €9.3 million) to the parent company UniCredit S.p.A., and confirmed the judgment in the case commenced in 2009 by Divania (which had ordered the parent company UniCredit S.p.A. to pay an amount of €13.3 million). The judgment of the Court of Appeal became final between the parent company UniCredit S.p.A. and Divania; however, Divania’s guarantor may still appeal to the Supreme Court. I Viaggi del Ventaglio Group (IVV) In 2011, IVV DE MEXICO S.A., TONLE S.A. and the bankruptcy trustee of IVV INTERNATIONAL S.A. filed a lawsuit against the parent company UniCredit S.p.A. in the Court of Milan demanding approximately €68 million in damages. In 2014, the bankruptcy trustees of IVV Holding S.r.l. and IVV S.p.A. filed two additional lawsuits against the parent company UniCredit S.p.A. in the Court of Milan demanding €48 million and €170 million, respectively, in damages. In October 2019, the bankruptcy trustee of I Viaggi del Ventaglio Resorts Ventaglio Real Estate S.r.l. filed an additional lawsuit in the Court of Milan against the parent company UniCredit S.p.A. demanding a total of €12.8 million in damages. The four lawsuits - two of which were settled - pertain to allegedly unlawful conduct with regard to certain loans and certain derivative transactions. At present, (i) the parent company UniCredit S.p.A. won the first case both in the first-instance and on appeal and the case has been settled; (ii) the Bankruptcy Trustee and the parent company UniCredit S.p.A. reached a settlement agreement approved by the Court for the second case; (iii) the third case is pending in the first-instance and in July 2020 the bankruptcy trustee and the parent company UniCredit S.p.A. reached a settlement agreement by which the bankruptcy trustee waived its claims against the Bank; the case will continue between the parent company UniCredit S.p.A., on one side, and the former statutory auditors and guarantors of the plaintiff, on the other, in light of the contribution claims raised by the latter Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 428 2021 Annual Report and Accounts · UniCredit Vanderbilt related litigations Claims brought or threatened by or on behalf of the State of New Mexico or any of its agencies or funds Vanderbilt Financial LLC (“VCA”) related litigations, where Pioneer Investment Management USA Inc., Pioneer Global Asset Management S.p.A. (“PGAM”), at the time controlled by UniCredit S.p.A. and incorporated by the latter in 2017, and the parent company UniCredit S.p.A. (the “Defendants”) were named as additional defendants by virtue of their corporate affiliation with VCA, including in legal proceedings brought by a former employee of the State of New Mexico (the “Public Authority”), who claimed to act as representative of the Public Authority for the losses suffered by the State of New Mexico during the 2006-08 market downturn on investments managed by VCA (mainly CDOs). The total amount of losses claimed in those proceedings is approximately $365 million. In 2012, the Defendants reached a settlement agreement for an amount of $24.25 million and the settlement amount was deposited into escrow at the beginning of 2013. The settlement is contingent on the Court’s approval, but that process was temporarily delayed pending the determination by the New Mexico Supreme Court of a legal matter in a separate lawsuit brought against a different set of defendants in other proceedings. The New Mexico Supreme Court issued its ruling on the awaited legal matter in June 2015 and in December 2015 the Defendants and the State of New Mexico renewed their request for Court approval of the settlement. The Court held a hearing in April 2016 and in June 2017 approved the settlement and directed that the claims against VCA and the Defendants be dismissed. A judgment to that effect was entered in September 2017 and a motion by the former State employee seeking to set aside that judgment was denied by the Court in October 2017. Appeals from the judgment and the subsequent order were taken in October and November 2017 and in June 2020, the New Mexico Court of Appeals affirmed that judgment. A motion for rehearing was subsequently denied. In October 2020 the New Mexico Supreme Court declined to hear a further appeal, but the former State employee subsequently petitioned for rehearing, and that motion remains pending. The settlement cannot be effectuated while the appeal remains pending. If the judgment continues to be upheld on appeal, the escrowed amount will be paid over to the State of New Mexico and the Defendants, including UniCredit S.p.A., will all be released from all the claims that were or could have been brought by or on behalf of the State or any of its agencies or funds. Divania S.r.l. In 2007, Divania S.r.l. (now in bankruptcy) (“Divania”) filed a lawsuit in the Court of Bari against UniCredit Banca d’Impresa S.p.A. (then UniCredit Corporate Banking S.p.A. and now UniCredit S.p.A.) alleging violations of law relating, inter alia, to financial products in relation to certain rate and currency derivative transactions entered into between January 2000 and May 2005 first by Credito Italiano S.p.A. and subsequently by UniCredit Banca d’Impresa S.p.A. (now UniCredit S.p.A.), demanding damages in the amount of €276.6 million, legal fees and interest. Divania also seeks the nullification of a 2005 settlement reached by the parties in which Divania had agreed to waive any claims in respect of the transactions. In 2017, the Court of Bari ordered the parent company UniCredit S.p.A. to pay approximately €7.6 million plus interests and part of the expenses in favour of Divania’s bankruptcy trustee and found that it did not have jurisdiction to rule on certain of Divania’s claims. The parent company UniCredit S.p.A. appealed. Divania filed two additional lawsuits before the Court of Bari: (i) one for €68.9 million in 2009 (subsequently increased to €80.5 million), essentially mirroring the claims brought in its lawsuit filed in 2007; and (ii) a second one for €1.6 million in 2006. With respect to the first lawsuit, in May 2016, the Court of Bari ordered the parent company UniCredit S.p.A. to pay approximately €12.6 million plus costs. The parent company UniCredit S.p.A. appealed. With respect to the second lawsuit, in 2015, the Court of Bari rejected Divania’s original claim and the judgment has res judicata effect. The two proceedings still pending were consolidated and in September 2021 the Court of Appeal of Bari reversed the judgment in the case commenced by Divania in 2007, ordering the latter to return the sum awarded by the first-instance Court plus costs (for a total of €9.3 million) to the parent company UniCredit S.p.A., and confirmed the judgment in the case commenced in 2009 by Divania (which had ordered the parent company UniCredit S.p.A. to pay an amount of €13.3 million). The judgment of the Court of Appeal became final between the parent company UniCredit S.p.A. and Divania; however, Divania’s guarantor may still appeal to the Supreme Court. I Viaggi del Ventaglio Group (IVV) In 2011, IVV DE MEXICO S.A., TONLE S.A. and the bankruptcy trustee of IVV INTERNATIONAL S.A. filed a lawsuit against the parent company UniCredit S.p.A. in the Court of Milan demanding approximately €68 million in damages. In 2014, the bankruptcy trustees of IVV Holding S.r.l. and IVV S.p.A. filed two additional lawsuits against the parent company UniCredit S.p.A. in the Court of Milan demanding €48 million and €170 million, respectively, in damages. In October 2019, the bankruptcy trustee of I Viaggi del Ventaglio Resorts Ventaglio Real Estate S.r.l. filed an additional lawsuit in the Court of Milan against the parent company UniCredit S.p.A. demanding a total of €12.8 million in damages. The four lawsuits - two of which were settled - pertain to allegedly unlawful conduct with regard to certain loans and certain derivative transactions. At present, (i) the parent company UniCredit S.p.A. won the first case both in the first-instance and on appeal and the case has been settled; (ii) the Bankruptcy Trustee and the parent company UniCredit S.p.A. reached a settlement agreement approved by the Court for the second case; (iii) the third case is pending in the first-instance and in July 2020 the bankruptcy trustee and the parent company UniCredit S.p.A. reached a settlement agreement by which the bankruptcy trustee waived its claims against the Bank; the case will continue between the parent company UniCredit S.p.A., on one side, and the former statutory auditors and guarantors of the plaintiff, on the other, in light of the contribution claims raised by the latter Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 429 against UniCredit S.p.A. in the context of the same proceedings; and (iv) the fourth case is in its conclusive phase. The settlement of the first two cases led to a reduction of the overall claimed amount to €13.5 million. Lawsuit brought by “Paolo Bolici” In May 2014, the company wholly owned by Paolo Bolici sued the parent company UniCredit S.p.A. in the Court of Rome asking for the return of approximately €12 million for compound interest (including alleged usury component) and €400 million for damages. The company then went bankrupt. The parent company UniCredit S.p.A. won the case in the first instance and the appeal is pending. On 31 July 2020, Mr. Bolici’s business partner sued the parent company UniCredit S.p.A., seeking damages based on analogous facts to those alleged in the 2014 proceedings. The Court ruled in favour of the parent company UniCredit S.p.A. The appeal filed by the other party is pending. Mazza In 2005 the parent company UniCredit S.p.A. filed a criminal complaint against a Notary, Mr. Mazza, representatives of certain companies and disloyal employees of the parent company UniCredit S.p.A. in relation to unlawful lending transactions in favour of certain clients for approximately €84 million. The criminal court of first instance acquitted the defendants. This decision was reversed by the Court of Appeal of Rome, which found all the defendants guilty. Following a further appeal, while stating that some accusations were time-barred, the Supreme Court confirmed the court of Appeal’s findings on the civil law requests raised by the Bank. Following the acquittal in the first-instance criminal proceedings, Mr. Mazza and other persons involved in the criminal proceedings filed two lawsuits for compensation claims against the parent company UniCredit S.p.A.: (i) the first (commenced by Mr. Mazza with a claimed amount of approximately €15 million) was won by the Bank at first-instance and the judgment is now final ; (ii) in the second (commenced by Como S.r.l. and Mr. Colella with a claimed amount of approximately €379 million) case the Court of Rome ruled in favour of the parent company UniCredit S.p.A. and the plaintiffs have appealed. In the view of the parent company UniCredit S.p.A., these lawsuits currently appear to be unfounded, in particular in light of the criminal judgment by the Court of Appeal of Rome and the civil judgment by the Court of Rome. So.De.Co. - Nuova Compagnia di Partecipazioni S.p.A. As part of a restructuring, in 2014, Ludoil Energy S.r.l. (“Ludoil”) acquired the “oil” business from Nuova Compagnia di Partecipazione S.p.A. (“NCP”). In March 2016, So.DeCo., a wholly owned subsidiary of Ludoil, filed a lawsuit in the Court of Rome against its former directors, NCP, the parent company UniCredit S.p.A. (in its capacity as holding company of NCP) and the external auditors (PricewaterhouseCoopers S.p.A. and Deloitte & Touche S.p.A.) claiming damages of approximately €94 million for allegedly failing to provision properly for supposed environmental risks and thereby causing the inflation of the sale price paid by Ludoil. In November 2019, the Court rejected So.De.Co.’s claims in their entirety and ordered it to pay costs in favour of the defendants. So.De.Co. appealed the judgment and reduced its claim to approximately €17 million. The appeal is pending. In November 2017, So.De.Co. filed a separate lawsuit against NCP and its former directors. The case is ongoing. In February 2019, NCP commenced an arbitral proceeding against Ludoil (So.De.Co.’s sole shareholder). The proceedings are ongoing. Criminal proceedings Certain entities within UniCredit group and certain of its representatives (including those no longer in office), are involved in various criminal proceedings and/or, as far as the parent company UniCredit S.p.A. is aware, are under investigation by the competent authorities with regard to various cases linked to banking transactions, including, specifically, in Italy, the offence pursuant to Art.644 (usury) of the Italian Criminal Code. At present, these criminal proceedings have had no significant negative impact on the operating results and capital and financial position of the parent company UniCredit S.p.A. and/or the Group, however there is a risk that, if the parent company UniCredit S.p.A. and/or other UniCredit group entities or their representatives (including those no longer in office) were to be convicted, these events could have an impact on the reputation of the parent company UniCredit S.p.A. and/or UniCredit group. In relation to the criminal proceedings pertaining to the Diamonds offer topic see the paragraph “E.Other claims by customers - Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information. Other proceedings Proceedings related to claims for withholding tax credits On 31 July 2014, the Supervisory Board of UCB AG concluded its internal investigation into the so-called “cum-ex” transactions (the short selling of equities around dividend dates and claims for withholding tax credits on German share dividends) at UCB AG. In this context, criminal investigations have been conducted against current or former employees of UCB AG and UCB AG itself as an ancillary party by the Prosecutors in Frankfurt am Main, Cologne and Munich. With respect to UCB AG, all proceedings originally initiated by the aforesaid prosecution offices were finally closed with payment of a fine or the payment of a forfeiture. In December 2018, in connection with an ongoing investigation against other financial institutions and former bank employees, the Cologne prosecutor informed UCB AG of the initiation of a new investigation in connection with an administrative offence regarding “cum-ex” transactions involving Exchange Traded Funds (“ETF”). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 429 against UniCredit S.p.A. in the context of the same proceedings; and (iv) the fourth case is in its conclusive phase. The settlement of the first two cases led to a reduction of the overall claimed amount to €13.5 million. Lawsuit brought by “Paolo Bolici” In May 2014, the company wholly owned by Paolo Bolici sued the parent company UniCredit S.p.A. in the Court of Rome asking for the return of approximately €12 million for compound interest (including alleged usury component) and €400 million for damages. The company then went bankrupt. The parent company UniCredit S.p.A. won the case in the first instance and the appeal is pending. On 31 July 2020, Mr. Bolici’s business partner sued the parent company UniCredit S.p.A., seeking damages based on analogous facts to those alleged in the 2014 proceedings. The Court ruled in favour of the parent company UniCredit S.p.A. The appeal filed by the other party is pending. Mazza In 2005 the parent company UniCredit S.p.A. filed a criminal complaint against a Notary, Mr. Mazza, representatives of certain companies and disloyal employees of the parent company UniCredit S.p.A. in relation to unlawful lending transactions in favour of certain clients for approximately €84 million. The criminal court of first instance acquitted the defendants. This decision was reversed by the Court of Appeal of Rome, which found all the defendants guilty. Following a further appeal, while stating that some accusations were time-barred, the Supreme Court confirmed the court of Appeal’s findings on the civil law requests raised by the Bank. Following the acquittal in the first-instance criminal proceedings, Mr. Mazza and other persons involved in the criminal proceedings filed two lawsuits for compensation claims against the parent company UniCredit S.p.A.: (i) the first (commenced by Mr. Mazza with a claimed amount of approximately €15 million) was won by the Bank at first-instance and the judgment is now final ; (ii) in the second (commenced by Como S.r.l. and Mr. Colella with a claimed amount of approximately €379 million) case the Court of Rome ruled in favour of the parent company UniCredit S.p.A. and the plaintiffs have appealed. In the view of the parent company UniCredit S.p.A., these lawsuits currently appear to be unfounded, in particular in light of the criminal judgment by the Court of Appeal of Rome and the civil judgment by the Court of Rome. So.De.Co. - Nuova Compagnia di Partecipazioni S.p.A. As part of a restructuring, in 2014, Ludoil Energy S.r.l. (“Ludoil”) acquired the “oil” business from Nuova Compagnia di Partecipazione S.p.A. (“NCP”). In March 2016, So.DeCo., a wholly owned subsidiary of Ludoil, filed a lawsuit in the Court of Rome against its former directors, NCP, the parent company UniCredit S.p.A. (in its capacity as holding company of NCP) and the external auditors (PricewaterhouseCoopers S.p.A. and Deloitte & Touche S.p.A.) claiming damages of approximately €94 million for allegedly failing to provision properly for supposed environmental risks and thereby causing the inflation of the sale price paid by Ludoil. In November 2019, the Court rejected So.De.Co.’s claims in their entirety and ordered it to pay costs in favour of the defendants. So.De.Co. appealed the judgment and reduced its claim to approximately €17 million. The appeal is pending. In November 2017, So.De.Co. filed a separate lawsuit against NCP and its former directors. The case is ongoing. In February 2019, NCP commenced an arbitral proceeding against Ludoil (So.De.Co.’s sole shareholder). The proceedings are ongoing. Criminal proceedings Certain entities within UniCredit group and certain of its representatives (including those no longer in office), are involved in various criminal proceedings and/or, as far as the parent company UniCredit S.p.A. is aware, are under investigation by the competent authorities with regard to various cases linked to banking transactions, including, specifically, in Italy, the offence pursuant to Art.644 (usury) of the Italian Criminal Code. At present, these criminal proceedings have had no significant negative impact on the operating results and capital and financial position of the parent company UniCredit S.p.A. and/or the Group, however there is a risk that, if the parent company UniCredit S.p.A. and/or other UniCredit group entities or their representatives (including those no longer in office) were to be convicted, these events could have an impact on the reputation of the parent company UniCredit S.p.A. and/or UniCredit group. In relation to the criminal proceedings pertaining to the Diamonds offer topic see the paragraph “E.Other claims by customers - Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information. Other proceedings Proceedings related to claims for withholding tax credits On 31 July 2014, the Supervisory Board of UCB AG concluded its internal investigation into the so-called “cum-ex” transactions (the short selling of equities around dividend dates and claims for withholding tax credits on German share dividends) at UCB AG. In this context, criminal investigations have been conducted against current or former employees of UCB AG and UCB AG itself as an ancillary party by the Prosecutors in Frankfurt am Main, Cologne and Munich. With respect to UCB AG, all proceedings originally initiated by the aforesaid prosecution offices were finally closed with payment of a fine or the payment of a forfeiture. In December 2018, in connection with an ongoing investigation against other financial institutions and former bank employees, the Cologne prosecutor informed UCB AG of the initiation of a new investigation in connection with an administrative offence regarding “cum-ex” transactions involving Exchange Traded Funds (“ETF”). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 429 against UniCredit S.p.A. in the context of the same proceedings; and (iv) the fourth case is in its conclusive phase. The settlement of the first two cases led to a reduction of the overall claimed amount to €13.5 million. Lawsuit brought by “Paolo Bolici” In May 2014, the company wholly owned by Paolo Bolici sued the parent company UniCredit S.p.A. in the Court of Rome asking for the return of approximately €12 million for compound interest (including alleged usury component) and €400 million for damages. The company then went bankrupt. The parent company UniCredit S.p.A. won the case in the first instance and the appeal is pending. On 31 July 2020, Mr. Bolici’s business partner sued the parent company UniCredit S.p.A., seeking damages based on analogous facts to those alleged in the 2014 proceedings. The Court ruled in favour of the parent company UniCredit S.p.A. The appeal filed by the other party is pending. Mazza In 2005 the parent company UniCredit S.p.A. filed a criminal complaint against a Notary, Mr. Mazza, representatives of certain companies and disloyal employees of the parent company UniCredit S.p.A. in relation to unlawful lending transactions in favour of certain clients for approximately €84 million. The criminal court of first instance acquitted the defendants. This decision was reversed by the Court of Appeal of Rome, which found all the defendants guilty. Following a further appeal, while stating that some accusations were time-barred, the Supreme Court confirmed the court of Appeal’s findings on the civil law requests raised by the Bank. Following the acquittal in the first-instance criminal proceedings, Mr. Mazza and other persons involved in the criminal proceedings filed two lawsuits for compensation claims against the parent company UniCredit S.p.A.: (i) the first (commenced by Mr. Mazza with a claimed amount of approximately €15 million) was won by the Bank at first-instance and the judgment is now final ; (ii) in the second (commenced by Como S.r.l. and Mr. Colella with a claimed amount of approximately €379 million) case the Court of Rome ruled in favour of the parent company UniCredit S.p.A. and the plaintiffs have appealed. In the view of the parent company UniCredit S.p.A., these lawsuits currently appear to be unfounded, in particular in light of the criminal judgment by the Court of Appeal of Rome and the civil judgment by the Court of Rome. So.De.Co. - Nuova Compagnia di Partecipazioni S.p.A. As part of a restructuring, in 2014, Ludoil Energy S.r.l. (“Ludoil”) acquired the “oil” business from Nuova Compagnia di Partecipazione S.p.A. (“NCP”). In March 2016, So.DeCo., a wholly owned subsidiary of Ludoil, filed a lawsuit in the Court of Rome against its former directors, NCP, the parent company UniCredit S.p.A. (in its capacity as holding company of NCP) and the external auditors (PricewaterhouseCoopers S.p.A. and Deloitte & Touche S.p.A.) claiming damages of approximately €94 million for allegedly failing to provision properly for supposed environmental risks and thereby causing the inflation of the sale price paid by Ludoil. In November 2019, the Court rejected So.De.Co.’s claims in their entirety and ordered it to pay costs in favour of the defendants. So.De.Co. appealed the judgment and reduced its claim to approximately €17 million. The appeal is pending. In November 2017, So.De.Co. filed a separate lawsuit against NCP and its former directors. The case is ongoing. In February 2019, NCP commenced an arbitral proceeding against Ludoil (So.De.Co.’s sole shareholder). The proceedings are ongoing. Criminal proceedings Certain entities within UniCredit group and certain of its representatives (including those no longer in office), are involved in various criminal proceedings and/or, as far as the parent company UniCredit S.p.A. is aware, are under investigation by the competent authorities with regard to various cases linked to banking transactions, including, specifically, in Italy, the offence pursuant to Art.644 (usury) of the Italian Criminal Code. At present, these criminal proceedings have had no significant negative impact on the operating results and capital and financial position of the parent company UniCredit S.p.A. and/or the Group, however there is a risk that, if the parent company UniCredit S.p.A. and/or other UniCredit group entities or their representatives (including those no longer in office) were to be convicted, these events could have an impact on the reputation of the parent company UniCredit S.p.A. and/or UniCredit group. In relation to the criminal proceedings pertaining to the Diamonds offer topic see the paragraph “E.Other claims by customers - Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information. Other proceedings Proceedings related to claims for withholding tax credits On 31 July 2014, the Supervisory Board of UCB AG concluded its internal investigation into the so-called “cum-ex” transactions (the short selling of equities around dividend dates and claims for withholding tax credits on German share dividends) at UCB AG. In this context, criminal investigations have been conducted against current or former employees of UCB AG and UCB AG itself as an ancillary party by the Prosecutors in Frankfurt am Main, Cologne and Munich. With respect to UCB AG, all proceedings originally initiated by the aforesaid prosecution offices were finally closed with payment of a fine or the payment of a forfeiture. In December 2018, in connection with an ongoing investigation against other financial institutions and former bank employees, the Cologne prosecutor informed UCB AG of the initiation of a new investigation in connection with an administrative offence regarding “cum-ex” transactions involving Exchange Traded Funds (“ETF”). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 429 against UniCredit S.p.A. in the context of the same proceedings; and (iv) the fourth case is in its conclusive phase. The settlement of the first two cases led to a reduction of the overall claimed amount to €13.5 million. Lawsuit brought by “Paolo Bolici” In May 2014, the company wholly owned by Paolo Bolici sued the parent company UniCredit S.p.A. in the Court of Rome asking for the return of approximately €12 million for compound interest (including alleged usury component) and €400 million for damages. The company then went bankrupt. The parent company UniCredit S.p.A. won the case in the first instance and the appeal is pending. On 31 July 2020, Mr. Bolici’s business partner sued the parent company UniCredit S.p.A., seeking damages based on analogous facts to those alleged in the 2014 proceedings. The Court ruled in favour of the parent company UniCredit S.p.A. The appeal filed by the other party is pending. Mazza In 2005 the parent company UniCredit S.p.A. filed a criminal complaint against a Notary, Mr. Mazza, representatives of certain companies and disloyal employees of the parent company UniCredit S.p.A. in relation to unlawful lending transactions in favour of certain clients for approximately €84 million. The criminal court of first instance acquitted the defendants. This decision was reversed by the Court of Appeal of Rome, which found all the defendants guilty. Following a further appeal, while stating that some accusations were time-barred, the Supreme Court confirmed the court of Appeal’s findings on the civil law requests raised by the Bank. Following the acquittal in the first-instance criminal proceedings, Mr. Mazza and other persons involved in the criminal proceedings filed two lawsuits for compensation claims against the parent company UniCredit S.p.A.: (i) the first (commenced by Mr. Mazza with a claimed amount of approximately €15 million) was won by the Bank at first-instance and the judgment is now final ; (ii) in the second (commenced by Como S.r.l. and Mr. Colella with a claimed amount of approximately €379 million) case the Court of Rome ruled in favour of the parent company UniCredit S.p.A. and the plaintiffs have appealed. In the view of the parent company UniCredit S.p.A., these lawsuits currently appear to be unfounded, in particular in light of the criminal judgment by the Court of Appeal of Rome and the civil judgment by the Court of Rome. So.De.Co. - Nuova Compagnia di Partecipazioni S.p.A. As part of a restructuring, in 2014, Ludoil Energy S.r.l. (“Ludoil”) acquired the “oil” business from Nuova Compagnia di Partecipazione S.p.A. (“NCP”). In March 2016, So.DeCo., a wholly owned subsidiary of Ludoil, filed a lawsuit in the Court of Rome against its former directors, NCP, the parent company UniCredit S.p.A. (in its capacity as holding company of NCP) and the external auditors (PricewaterhouseCoopers S.p.A. and Deloitte & Touche S.p.A.) claiming damages of approximately €94 million for allegedly failing to provision properly for supposed environmental risks and thereby causing the inflation of the sale price paid by Ludoil. In November 2019, the Court rejected So.De.Co.’s claims in their entirety and ordered it to pay costs in favour of the defendants. So.De.Co. appealed the judgment and reduced its claim to approximately €17 million. The appeal is pending. In November 2017, So.De.Co. filed a separate lawsuit against NCP and its former directors. The case is ongoing. In February 2019, NCP commenced an arbitral proceeding against Ludoil (So.De.Co.’s sole shareholder). The proceedings are ongoing. Criminal proceedings Certain entities within UniCredit group and certain of its representatives (including those no longer in office), are involved in various criminal proceedings and/or, as far as the parent company UniCredit S.p.A. is aware, are under investigation by the competent authorities with regard to various cases linked to banking transactions, including, specifically, in Italy, the offence pursuant to Art.644 (usury) of the Italian Criminal Code. At present, these criminal proceedings have had no significant negative impact on the operating results and capital and financial position of the parent company UniCredit S.p.A. and/or the Group, however there is a risk that, if the parent company UniCredit S.p.A. and/or other UniCredit group entities or their representatives (including those no longer in office) were to be convicted, these events could have an impact on the reputation of the parent company UniCredit S.p.A. and/or UniCredit group. In relation to the criminal proceedings pertaining to the Diamonds offer topic see the paragraph “E.Other claims by customers - Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information. Other proceedings Proceedings related to claims for withholding tax credits On 31 July 2014, the Supervisory Board of UCB AG concluded its internal investigation into the so-called “cum-ex” transactions (the short selling of equities around dividend dates and claims for withholding tax credits on German share dividends) at UCB AG. In this context, criminal investigations have been conducted against current or former employees of UCB AG and UCB AG itself as an ancillary party by the Prosecutors in Frankfurt am Main, Cologne and Munich. With respect to UCB AG, all proceedings originally initiated by the aforesaid prosecution offices were finally closed with payment of a fine or the payment of a forfeiture. In December 2018, in connection with an ongoing investigation against other financial institutions and former bank employees, the Cologne prosecutor informed UCB AG of the initiation of a new investigation in connection with an administrative offence regarding “cum-ex” transactions involving Exchange Traded Funds (“ETF”). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 429 against UniCredit S.p.A. in the context of the same proceedings; and (iv) the fourth case is in its conclusive phase. The settlement of the first two cases led to a reduction of the overall claimed amount to €13.5 million. Lawsuit brought by “Paolo Bolici” In May 2014, the company wholly owned by Paolo Bolici sued the parent company UniCredit S.p.A. in the Court of Rome asking for the return of approximately €12 million for compound interest (including alleged usury component) and €400 million for damages. The company then went bankrupt. The parent company UniCredit S.p.A. won the case in the first instance and the appeal is pending. On 31 July 2020, Mr. Bolici’s business partner sued the parent company UniCredit S.p.A., seeking damages based on analogous facts to those alleged in the 2014 proceedings. The Court ruled in favour of the parent company UniCredit S.p.A. The appeal filed by the other party is pending. Mazza In 2005 the parent company UniCredit S.p.A. filed a criminal complaint against a Notary, Mr. Mazza, representatives of certain companies and disloyal employees of the parent company UniCredit S.p.A. in relation to unlawful lending transactions in favour of certain clients for approximately €84 million. The criminal court of first instance acquitted the defendants. This decision was reversed by the Court of Appeal of Rome, which found all the defendants guilty. Following a further appeal, while stating that some accusations were time-barred, the Supreme Court confirmed the court of Appeal’s findings on the civil law requests raised by the Bank. Following the acquittal in the first-instance criminal proceedings, Mr. Mazza and other persons involved in the criminal proceedings filed two lawsuits for compensation claims against the parent company UniCredit S.p.A.: (i) the first (commenced by Mr. Mazza with a claimed amount of approximately €15 million) was won by the Bank at first-instance and the judgment is now final ; (ii) in the second (commenced by Como S.r.l. and Mr. Colella with a claimed amount of approximately €379 million) case the Court of Rome ruled in favour of the parent company UniCredit S.p.A. and the plaintiffs have appealed. In the view of the parent company UniCredit S.p.A., these lawsuits currently appear to be unfounded, in particular in light of the criminal judgment by the Court of Appeal of Rome and the civil judgment by the Court of Rome. So.De.Co. - Nuova Compagnia di Partecipazioni S.p.A. As part of a restructuring, in 2014, Ludoil Energy S.r.l. (“Ludoil”) acquired the “oil” business from Nuova Compagnia di Partecipazione S.p.A. (“NCP”). In March 2016, So.DeCo., a wholly owned subsidiary of Ludoil, filed a lawsuit in the Court of Rome against its former directors, NCP, the parent company UniCredit S.p.A. (in its capacity as holding company of NCP) and the external auditors (PricewaterhouseCoopers S.p.A. and Deloitte & Touche S.p.A.) claiming damages of approximately €94 million for allegedly failing to provision properly for supposed environmental risks and thereby causing the inflation of the sale price paid by Ludoil. In November 2019, the Court rejected So.De.Co.’s claims in their entirety and ordered it to pay costs in favour of the defendants. So.De.Co. appealed the judgment and reduced its claim to approximately €17 million. The appeal is pending. In November 2017, So.De.Co. filed a separate lawsuit against NCP and its former directors. The case is ongoing. In February 2019, NCP commenced an arbitral proceeding against Ludoil (So.De.Co.’s sole shareholder). The proceedings are ongoing. Criminal proceedings Certain entities within UniCredit group and certain of its representatives (including those no longer in office), are involved in various criminal proceedings and/or, as far as the parent company UniCredit S.p.A. is aware, are under investigation by the competent authorities with regard to various cases linked to banking transactions, including, specifically, in Italy, the offence pursuant to Art.644 (usury) of the Italian Criminal Code. At present, these criminal proceedings have had no significant negative impact on the operating results and capital and financial position of the parent company UniCredit S.p.A. and/or the Group, however there is a risk that, if the parent company UniCredit S.p.A. and/or other UniCredit group entities or their representatives (including those no longer in office) were to be convicted, these events could have an impact on the reputation of the parent company UniCredit S.p.A. and/or UniCredit group. In relation to the criminal proceedings pertaining to the Diamonds offer topic see the paragraph “E.Other claims by customers - Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information. Other proceedings Proceedings related to claims for withholding tax credits On 31 July 2014, the Supervisory Board of UCB AG concluded its internal investigation into the so-called “cum-ex” transactions (the short selling of equities around dividend dates and claims for withholding tax credits on German share dividends) at UCB AG. In this context, criminal investigations have been conducted against current or former employees of UCB AG and UCB AG itself as an ancillary party by the Prosecutors in Frankfurt am Main, Cologne and Munich. With respect to UCB AG, all proceedings originally initiated by the aforesaid prosecution offices were finally closed with payment of a fine or the payment of a forfeiture. In December 2018, in connection with an ongoing investigation against other financial institutions and former bank employees, the Cologne prosecutor informed UCB AG of the initiation of a new investigation in connection with an administrative offence regarding “cum-ex” transactions involving Exchange Traded Funds (“ETF”). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 430 2021 Annual Report and Accounts · UniCredit In April 2019, these investigations were extended to so called Ex/Ex-transactions, in which an involvement of the bank in the sourcing of cum/ex transactions of other market participants on the ex-day is suspected. The facts are being examined internally. UCB AG is cooperating with the Authorities. On 28 July 2021 the Federal Criminal Court (BGH) rendered a decision through which the principle criminal liability of cum/ex structures had been determined the first time. UCB AG is monitoring the development The Munich tax authorities are currently performing a regular field audit of UCB AG for the years 2013 to 2016, which includes, among other things, a review of transactions in equities around the dividend record date (so called cum/cum transactions). During these years, UCB AG performed, among other things, securities-lending transactions with different domestic counterparties which include, but are not limited to, different types of cum/cum transactions. It remains to be clarified whether, and under what circumstances, tax credits can be obtained or taxes refunded with regard to different types of transactions carried out close to the dividend record dates, and what the further consequences for the bank will be in the event of different tax treatment. It cannot be ruled out that UCB AG might be exposed to tax-claims in this respect by relevant tax-offices or third party claims under civil law. UCB AG is in constant communication with relevant regulatory authorities and the competent tax authorities regarding these matters. In this context, UCB AG is considering the latest view of the German Tax Authorities. UCB AG has made provisions. Claims in relation to a syndicated loan UCB AG, together with several other financial institutions, has been named as a defendant in complaints filed by the judicial administrator and foreign representative of a Brazilian oil and gas conglomerate in July 2021 in the United States before the District of New York court claiming damages in connection with the repayment of a syndicated loan for two oil drilling rigs UCB AG participated in that defendants are alleged to have unlawfully obtained. VIP 4 Medienfonds Various investors in Film & Entertainment VIP Medienfonds 4 GmbH & Co. KG to whom UCB AG issued loans to finance their participation, brought legal proceedings against UCB AG. In the context of the conclusion of the loan agreements, the plaintiffs claim that the Bank provided inadequate disclosure about the fund structure and the related tax consequences. A settlement was reached with the vast majority of the plaintiffs. An outstanding final decision with respect to the question of UCB AG's liability for the prospectus in the proceeding pursuant to the Capital Markets Test Case Act (Kapitalanleger-Musterverfahrensgesetz) which is pending at Munich Higher Regional Court, will affect only a few pending cases. Alpine Holding GmbH Legal proceedings against UCB Austria arose from bondholders’ claims commenced in June/July 2013. The claims stemmed from the insolvency of Alpine Holding GmbH, as UCB Austria acted as joint lead manager, together with another bank, for the undertaking of Alpine Holding GmbH bond issues in 2010 and 2011. Bondholders’ claims are mainly referred to prospectus liability of the joint lead manager, whereas a minority of the cases is based on misselling due to allegedly unlawful investment advice. The damage claims amount to €20.21 million. These proceedings are mainly pending in the first instance and may be adverse to UCB Austria. Most recently, the expert appointed by the Court in the majority of the civil proceedings has issued a report largely in favour of UCB Austria and the other issuing banks. Investors have a different reading of the report and have requested that the expert answers supplementary questions, as did the issuing banks. The processing of the supplementary questions is still pending. Therefore, the final outcome of the expert report cannot be assessed as of yet. In addition to the ongoing proceedings against UCB Austria stemming from the Alpine insolvency, additional Alpine-related actions have been threatened and may be filed in the future. The pending or future actions may have negative consequences for UCB Austria. Despite the favourable expert opinion mentioned above, at the moment it is impossible to estimate reliably the timing and results of the various actions, nor determine the level of liability, if any. Valauret S.A. Civil claim filed in 2004 by Valauret S.A. and Hughes de Lasteyrie du Saillant for losses resulting from the drop in the share price, between 2002 and 2003, including allegations on alleged fraudulent actions by members of the company’s Board of directors and others. UCB Austria (as successor to Creditanstalt) was joined as the fourteenth defendant in 2007 based on the fact that it was banker to one of the defendants. The total claimed amount is equal to €129.86 million (plus costs €4.39 million). Furthermore, in 2006, before the action was extended to UCB Austria, the civil proceedings were suspended following the opening of criminal proceedings by the French State that are underway. In December 2008, the civil proceedings were also suspended against UCB Austria. UCB Austria has been informed by the Paris Commercial Court that the case was removed from the Court’s register on 17 June 2021, at Valauret’s request. Valauret’s claim is likely time-barred. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 430 2021 Annual Report and Accounts · UniCredit In April 2019, these investigations were extended to so called Ex/Ex-transactions, in which an involvement of the bank in the sourcing of cum/ex transactions of other market participants on the ex-day is suspected. The facts are being examined internally. UCB AG is cooperating with the Authorities. On 28 July 2021 the Federal Criminal Court (BGH) rendered a decision through which the principle criminal liability of cum/ex structures had been determined the first time. UCB AG is monitoring the development The Munich tax authorities are currently performing a regular field audit of UCB AG for the years 2013 to 2016, which includes, among other things, a review of transactions in equities around the dividend record date (so called cum/cum transactions). During these years, UCB AG performed, among other things, securities-lending transactions with different domestic counterparties which include, but are not limited to, different types of cum/cum transactions. It remains to be clarified whether, and under what circumstances, tax credits can be obtained or taxes refunded with regard to different types of transactions carried out close to the dividend record dates, and what the further consequences for the bank will be in the event of different tax treatment. It cannot be ruled out that UCB AG might be exposed to tax-claims in this respect by relevant tax-offices or third party claims under civil law. UCB AG is in constant communication with relevant regulatory authorities and the competent tax authorities regarding these matters. In this context, UCB AG is considering the latest view of the German Tax Authorities. UCB AG has made provisions. Claims in relation to a syndicated loan UCB AG, together with several other financial institutions, has been named as a defendant in complaints filed by the judicial administrator and foreign representative of a Brazilian oil and gas conglomerate in July 2021 in the United States before the District of New York court claiming damages in connection with the repayment of a syndicated loan for two oil drilling rigs UCB AG participated in that defendants are alleged to have unlawfully obtained. VIP 4 Medienfonds Various investors in Film & Entertainment VIP Medienfonds 4 GmbH & Co. KG to whom UCB AG issued loans to finance their participation, brought legal proceedings against UCB AG. In the context of the conclusion of the loan agreements, the plaintiffs claim that the Bank provided inadequate disclosure about the fund structure and the related tax consequences. A settlement was reached with the vast majority of the plaintiffs. An outstanding final decision with respect to the question of UCB AG's liability for the prospectus in the proceeding pursuant to the Capital Markets Test Case Act (Kapitalanleger-Musterverfahrensgesetz) which is pending at Munich Higher Regional Court, will affect only a few pending cases. Alpine Holding GmbH Legal proceedings against UCB Austria arose from bondholders’ claims commenced in June/July 2013. The claims stemmed from the insolvency of Alpine Holding GmbH, as UCB Austria acted as joint lead manager, together with another bank, for the undertaking of Alpine Holding GmbH bond issues in 2010 and 2011. Bondholders’ claims are mainly referred to prospectus liability of the joint lead manager, whereas a minority of the cases is based on misselling due to allegedly unlawful investment advice. The damage claims amount to €20.21 million. These proceedings are mainly pending in the first instance and may be adverse to UCB Austria. Most recently, the expert appointed by the Court in the majority of the civil proceedings has issued a report largely in favour of UCB Austria and the other issuing banks. Investors have a different reading of the report and have requested that the expert answers supplementary questions, as did the issuing banks. The processing of the supplementary questions is still pending. Therefore, the final outcome of the expert report cannot be assessed as of yet. In addition to the ongoing proceedings against UCB Austria stemming from the Alpine insolvency, additional Alpine-related actions have been threatened and may be filed in the future. The pending or future actions may have negative consequences for UCB Austria. Despite the favourable expert opinion mentioned above, at the moment it is impossible to estimate reliably the timing and results of the various actions, nor determine the level of liability, if any. Valauret S.A. Civil claim filed in 2004 by Valauret S.A. and Hughes de Lasteyrie du Saillant for losses resulting from the drop in the share price, between 2002 and 2003, including allegations on alleged fraudulent actions by members of the company’s Board of directors and others. UCB Austria (as successor to Creditanstalt) was joined as the fourteenth defendant in 2007 based on the fact that it was banker to one of the defendants. The total claimed amount is equal to €129.86 million (plus costs €4.39 million). Furthermore, in 2006, before the action was extended to UCB Austria, the civil proceedings were suspended following the opening of criminal proceedings by the French State that are underway. In December 2008, the civil proceedings were also suspended against UCB Austria. UCB Austria has been informed by the Paris Commercial Court that the case was removed from the Court’s register on 17 June 2021, at Valauret’s request. Valauret’s claim is likely time-barred. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 430 2021 Annual Report and Accounts · UniCredit In April 2019, these investigations were extended to so called Ex/Ex-transactions, in which an involvement of the bank in the sourcing of cum/ex transactions of other market participants on the ex-day is suspected. The facts are being examined internally. UCB AG is cooperating with the Authorities. On 28 July 2021 the Federal Criminal Court (BGH) rendered a decision through which the principle criminal liability of cum/ex structures had been determined the first time. UCB AG is monitoring the development The Munich tax authorities are currently performing a regular field audit of UCB AG for the years 2013 to 2016, which includes, among other things, a review of transactions in equities around the dividend record date (so called cum/cum transactions). During these years, UCB AG performed, among other things, securities-lending transactions with different domestic counterparties which include, but are not limited to, different types of cum/cum transactions. It remains to be clarified whether, and under what circumstances, tax credits can be obtained or taxes refunded with regard to different types of transactions carried out close to the dividend record dates, and what the further consequences for the bank will be in the event of different tax treatment. It cannot be ruled out that UCB AG might be exposed to tax-claims in this respect by relevant tax-offices or third party claims under civil law. UCB AG is in constant communication with relevant regulatory authorities and the competent tax authorities regarding these matters. In this context, UCB AG is considering the latest view of the German Tax Authorities. UCB AG has made provisions. Claims in relation to a syndicated loan UCB AG, together with several other financial institutions, has been named as a defendant in complaints filed by the judicial administrator and foreign representative of a Brazilian oil and gas conglomerate in July 2021 in the United States before the District of New York court claiming damages in connection with the repayment of a syndicated loan for two oil drilling rigs UCB AG participated in that defendants are alleged to have unlawfully obtained. VIP 4 Medienfonds Various investors in Film & Entertainment VIP Medienfonds 4 GmbH & Co. KG to whom UCB AG issued loans to finance their participation, brought legal proceedings against UCB AG. In the context of the conclusion of the loan agreements, the plaintiffs claim that the Bank provided inadequate disclosure about the fund structure and the related tax consequences. A settlement was reached with the vast majority of the plaintiffs. An outstanding final decision with respect to the question of UCB AG's liability for the prospectus in the proceeding pursuant to the Capital Markets Test Case Act (Kapitalanleger-Musterverfahrensgesetz) which is pending at Munich Higher Regional Court, will affect only a few pending cases. Alpine Holding GmbH Legal proceedings against UCB Austria arose from bondholders’ claims commenced in June/July 2013. The claims stemmed from the insolvency of Alpine Holding GmbH, as UCB Austria acted as joint lead manager, together with another bank, for the undertaking of Alpine Holding GmbH bond issues in 2010 and 2011. Bondholders’ claims are mainly referred to prospectus liability of the joint lead manager, whereas a minority of the cases is based on misselling due to allegedly unlawful investment advice. The damage claims amount to €20.21 million. These proceedings are mainly pending in the first instance and may be adverse to UCB Austria. Most recently, the expert appointed by the Court in the majority of the civil proceedings has issued a report largely in favour of UCB Austria and the other issuing banks. Investors have a different reading of the report and have requested that the expert answers supplementary questions, as did the issuing banks. The processing of the supplementary questions is still pending. Therefore, the final outcome of the expert report cannot be assessed as of yet. In addition to the ongoing proceedings against UCB Austria stemming from the Alpine insolvency, additional Alpine-related actions have been threatened and may be filed in the future. The pending or future actions may have negative consequences for UCB Austria. Despite the favourable expert opinion mentioned above, at the moment it is impossible to estimate reliably the timing and results of the various actions, nor determine the level of liability, if any. Valauret S.A. Civil claim filed in 2004 by Valauret S.A. and Hughes de Lasteyrie du Saillant for losses resulting from the drop in the share price, between 2002 and 2003, including allegations on alleged fraudulent actions by members of the company’s Board of directors and others. UCB Austria (as successor to Creditanstalt) was joined as the fourteenth defendant in 2007 based on the fact that it was banker to one of the defendants. The total claimed amount is equal to €129.86 million (plus costs €4.39 million). Furthermore, in 2006, before the action was extended to UCB Austria, the civil proceedings were suspended following the opening of criminal proceedings by the French State that are underway. In December 2008, the civil proceedings were also suspended against UCB Austria. UCB Austria has been informed by the Paris Commercial Court that the case was removed from the Court’s register on 17 June 2021, at Valauret’s request. Valauret’s claim is likely time-barred. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 430 2021 Annual Report and Accounts · UniCredit In April 2019, these investigations were extended to so called Ex/Ex-transactions, in which an involvement of the bank in the sourcing of cum/ex transactions of other market participants on the ex-day is suspected. The facts are being examined internally. UCB AG is cooperating with the Authorities. On 28 July 2021 the Federal Criminal Court (BGH) rendered a decision through which the principle criminal liability of cum/ex structures had been determined the first time. UCB AG is monitoring the development The Munich tax authorities are currently performing a regular field audit of UCB AG for the years 2013 to 2016, which includes, among other things, a review of transactions in equities around the dividend record date (so called cum/cum transactions). During these years, UCB AG performed, among other things, securities-lending transactions with different domestic counterparties which include, but are not limited to, different types of cum/cum transactions. It remains to be clarified whether, and under what circumstances, tax credits can be obtained or taxes refunded with regard to different types of transactions carried out close to the dividend record dates, and what the further consequences for the bank will be in the event of different tax treatment. It cannot be ruled out that UCB AG might be exposed to tax-claims in this respect by relevant tax-offices or third party claims under civil law. UCB AG is in constant communication with relevant regulatory authorities and the competent tax authorities regarding these matters. In this context, UCB AG is considering the latest view of the German Tax Authorities. UCB AG has made provisions. Claims in relation to a syndicated loan UCB AG, together with several other financial institutions, has been named as a defendant in complaints filed by the judicial administrator and foreign representative of a Brazilian oil and gas conglomerate in July 2021 in the United States before the District of New York court claiming damages in connection with the repayment of a syndicated loan for two oil drilling rigs UCB AG participated in that defendants are alleged to have unlawfully obtained. VIP 4 Medienfonds Various investors in Film & Entertainment VIP Medienfonds 4 GmbH & Co. KG to whom UCB AG issued loans to finance their participation, brought legal proceedings against UCB AG. In the context of the conclusion of the loan agreements, the plaintiffs claim that the Bank provided inadequate disclosure about the fund structure and the related tax consequences. A settlement was reached with the vast majority of the plaintiffs. An outstanding final decision with respect to the question of UCB AG's liability for the prospectus in the proceeding pursuant to the Capital Markets Test Case Act (Kapitalanleger-Musterverfahrensgesetz) which is pending at Munich Higher Regional Court, will affect only a few pending cases. Alpine Holding GmbH Legal proceedings against UCB Austria arose from bondholders’ claims commenced in June/July 2013. The claims stemmed from the insolvency of Alpine Holding GmbH, as UCB Austria acted as joint lead manager, together with another bank, for the undertaking of Alpine Holding GmbH bond issues in 2010 and 2011. Bondholders’ claims are mainly referred to prospectus liability of the joint lead manager, whereas a minority of the cases is based on misselling due to allegedly unlawful investment advice. The damage claims amount to €20.21 million. These proceedings are mainly pending in the first instance and may be adverse to UCB Austria. Most recently, the expert appointed by the Court in the majority of the civil proceedings has issued a report largely in favour of UCB Austria and the other issuing banks. Investors have a different reading of the report and have requested that the expert answers supplementary questions, as did the issuing banks. The processing of the supplementary questions is still pending. Therefore, the final outcome of the expert report cannot be assessed as of yet. In addition to the ongoing proceedings against UCB Austria stemming from the Alpine insolvency, additional Alpine-related actions have been threatened and may be filed in the future. The pending or future actions may have negative consequences for UCB Austria. Despite the favourable expert opinion mentioned above, at the moment it is impossible to estimate reliably the timing and results of the various actions, nor determine the level of liability, if any. Valauret S.A. Civil claim filed in 2004 by Valauret S.A. and Hughes de Lasteyrie du Saillant for losses resulting from the drop in the share price, between 2002 and 2003, including allegations on alleged fraudulent actions by members of the company’s Board of directors and others. UCB Austria (as successor to Creditanstalt) was joined as the fourteenth defendant in 2007 based on the fact that it was banker to one of the defendants. The total claimed amount is equal to €129.86 million (plus costs €4.39 million). Furthermore, in 2006, before the action was extended to UCB Austria, the civil proceedings were suspended following the opening of criminal proceedings by the French State that are underway. In December 2008, the civil proceedings were also suspended against UCB Austria. UCB Austria has been informed by the Paris Commercial Court that the case was removed from the Court’s register on 17 June 2021, at Valauret’s request. Valauret’s claim is likely time-barred. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 430 2021 Annual Report and Accounts · UniCredit In April 2019, these investigations were extended to so called Ex/Ex-transactions, in which an involvement of the bank in the sourcing of cum/ex transactions of other market participants on the ex-day is suspected. The facts are being examined internally. UCB AG is cooperating with the Authorities. On 28 July 2021 the Federal Criminal Court (BGH) rendered a decision through which the principle criminal liability of cum/ex structures had been determined the first time. UCB AG is monitoring the development The Munich tax authorities are currently performing a regular field audit of UCB AG for the years 2013 to 2016, which includes, among other things, a review of transactions in equities around the dividend record date (so called cum/cum transactions). During these years, UCB AG performed, among other things, securities-lending transactions with different domestic counterparties which include, but are not limited to, different types of cum/cum transactions. It remains to be clarified whether, and under what circumstances, tax credits can be obtained or taxes refunded with regard to different types of transactions carried out close to the dividend record dates, and what the further consequences for the bank will be in the event of different tax treatment. It cannot be ruled out that UCB AG might be exposed to tax-claims in this respect by relevant tax-offices or third party claims under civil law. UCB AG is in constant communication with relevant regulatory authorities and the competent tax authorities regarding these matters. In this context, UCB AG is considering the latest view of the German Tax Authorities. UCB AG has made provisions. Claims in relation to a syndicated loan UCB AG, together with several other financial institutions, has been named as a defendant in complaints filed by the judicial administrator and foreign representative of a Brazilian oil and gas conglomerate in July 2021 in the United States before the District of New York court claiming damages in connection with the repayment of a syndicated loan for two oil drilling rigs UCB AG participated in that defendants are alleged to have unlawfully obtained. VIP 4 Medienfonds Various investors in Film & Entertainment VIP Medienfonds 4 GmbH & Co. KG to whom UCB AG issued loans to finance their participation, brought legal proceedings against UCB AG. In the context of the conclusion of the loan agreements, the plaintiffs claim that the Bank provided inadequate disclosure about the fund structure and the related tax consequences. A settlement was reached with the vast majority of the plaintiffs. An outstanding final decision with respect to the question of UCB AG's liability for the prospectus in the proceeding pursuant to the Capital Markets Test Case Act (Kapitalanleger-Musterverfahrensgesetz) which is pending at Munich Higher Regional Court, will affect only a few pending cases. Alpine Holding GmbH Legal proceedings against UCB Austria arose from bondholders’ claims commenced in June/July 2013. The claims stemmed from the insolvency of Alpine Holding GmbH, as UCB Austria acted as joint lead manager, together with another bank, for the undertaking of Alpine Holding GmbH bond issues in 2010 and 2011. Bondholders’ claims are mainly referred to prospectus liability of the joint lead manager, whereas a minority of the cases is based on misselling due to allegedly unlawful investment advice. The damage claims amount to €20.21 million. These proceedings are mainly pending in the first instance and may be adverse to UCB Austria. Most recently, the expert appointed by the Court in the majority of the civil proceedings has issued a report largely in favour of UCB Austria and the other issuing banks. Investors have a different reading of the report and have requested that the expert answers supplementary questions, as did the issuing banks. The processing of the supplementary questions is still pending. Therefore, the final outcome of the expert report cannot be assessed as of yet. In addition to the ongoing proceedings against UCB Austria stemming from the Alpine insolvency, additional Alpine-related actions have been threatened and may be filed in the future. The pending or future actions may have negative consequences for UCB Austria. Despite the favourable expert opinion mentioned above, at the moment it is impossible to estimate reliably the timing and results of the various actions, nor determine the level of liability, if any. Valauret S.A. Civil claim filed in 2004 by Valauret S.A. and Hughes de Lasteyrie du Saillant for losses resulting from the drop in the share price, between 2002 and 2003, including allegations on alleged fraudulent actions by members of the company’s Board of directors and others. UCB Austria (as successor to Creditanstalt) was joined as the fourteenth defendant in 2007 based on the fact that it was banker to one of the defendants. The total claimed amount is equal to €129.86 million (plus costs €4.39 million). Furthermore, in 2006, before the action was extended to UCB Austria, the civil proceedings were suspended following the opening of criminal proceedings by the French State that are underway. In December 2008, the civil proceedings were also suspended against UCB Austria. UCB Austria has been informed by the Paris Commercial Court that the case was removed from the Court’s register on 17 June 2021, at Valauret’s request. Valauret’s claim is likely time-barred. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 431 Bitminer Litigation in the Republic of Srpska, Bosnia and Herzegovina In 2019, a local customer, Bitminer Factory d.o.o. Gradiška ("Bitminer"), filed a lawsuit before the District Commercial Court in Banja Luka claiming damages for unjustified termination of its current bank accounts by UniCredit Bank a.d. Banja Luka ("UCBL"), a subsidiary of the parent company UniCredit S.p.A. in Bosnia and Herzegovina, Republic of Srpska. Bitminer alleged that termination of the accounts obstructed its initial coin offering (ICO) relating to a start-up renewable-energy-powered cryptocurrency mining project in Bosnia and Hercegovina. On 30 December 2021, the first instance court adopted most of Bitminer's claims and ordered UCBL to pay damages in the amount of BAM 256,326,152 (approx. €131.2 million). The appeal was filed in January 2022. The first instance court decision is not final, biding and enforceable. The ultimate liability of UCBL, if any, will be determined only after all ordinary legal remedies have been exhausted, and in any case not before the final and binding decision of the appellate court”. C. Risks arising from employment law cases UniCredit is involved in employment law disputes. In general, all employment law disputes are supported by provisions made to meet any disbursements incurred and in any case UniCredit does not believe that any liabilities relating to the outcome of the pending proceedings could have a significant impact on its economic and/or financial standing. Lawsuits filed against UniCredit S.p.A. by members of the former Cassa di Risparmio di Roma Fund Lawsuits brought against UniCredit S.p.A. aimed to reconstitute the patrimony of the fund, ascertain and quantify social security individual position of each member, are pending before the Supreme Court following previous degree decisions favourable towards the Bank. Claims’ value is about €384 millions. No disbursement and no provisions have been made as these claims are considered groundless. D. Risks arising from tax disputes The following information pertains to the most relevant litigations born in 2021 and to those already pending at the beginning of the fiscal year, which have been decided or otherwise defined. For the litigations which are not mentioned, reference must be made to the financial statements of previous fiscal years. Pending cases arising during the period During the second half of 2021 no litigations claiming relevant values are noticed. Updates on pending disputes and tax audits The dispute started by UniCredit S.p.A. for the denial of a refund request for IRES fiscal years 2007, 2008 and 2009 - total value €1,9 million - ended the first-degree Tax Court with an unfavourable decision. UniCredit will appeal the decision in terms of law. With regard to the dispute started by former “Cassa di Risparmio di Torino” (now UniCredit S.p.A.) against the silent-reject of a refund request for IRPEG and ILOR fiscal year 1984 - total value €3,4 million - the Supreme Court (Corte di Cassazione) with a judgment dated 5 November 2021, accepted the appeal by Avvocatura dello Stato providing the referral of the dispute at the second-degree Tax Court in Turin; UniCredit will continue the proceeding in terms of law. The dispute concerning a notice of assessment for VAT (former UniCredit Banca S.p.A.) related to operating costs of business conventions - total value €2,3 million - was discussed in the second-degree Tax Court Emilia Romagna; UniCredit is waiting for the issue of judgement. With regard to the dispute started by former “Banco di Sicilia S.p.A.” (now UniCredit S.p.A.) against the silent-reject of a refund request for further interest - compared to what refunded by the Tax Authority - for ILOR tax credit year 1993 (capital quote was refunded) - total value €3,5 million - the second-degree Tax Court in Palermo, who reassumed the litigation after the statement of the Supreme Court (Corte di Cassazione), with a judgement dated 6 December 2021 postponed the case; With regard to a set of litigations concerning tax refund claims following the exercise by Banca Farmafactoring of the right to transfer back the receivables previously transferred to it by UniCredit S.p.A., the following is reported: • denial of refund request for IRPEG 1989 submitted by former Cassa di Risparmio Reggio Emilia, for an amount of €1,89 million for IRPEG tax and €1,82 for interests: the second-degree Tax Court with a decision issued on 3 January 2022 rejected the Tax Authority appeal confirming the right of UniCredit to obtain €1,9 million refund. The terms of law for appealing the sentence by Tax Authority at the Supreme Court (Corte di Cassazione) are ongoing; • denial of refund request for IRPEG 1997 submitted by former Banca di Roma S.p.A., for a total amount of €43,5 million: the date for discussing was set on 2 February 2022 at the second-degree Tax Court Lazio; • denial of refund IRPEG tax credit years 1994-1997 and ILOR year 1996 former Banca Mediterranea - total value €31 million : the second-degree Tax Court Basilicata during the hearing on 22 October 2021, ordered the Tax Authority to deposit the reports on the bases of which the assessment was notified and related to the disputing tax period, and postponed the case. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 431 Bitminer Litigation in the Republic of Srpska, Bosnia and Herzegovina In 2019, a local customer, Bitminer Factory d.o.o. Gradiška ("Bitminer"), filed a lawsuit before the District Commercial Court in Banja Luka claiming damages for unjustified termination of its current bank accounts by UniCredit Bank a.d. Banja Luka ("UCBL"), a subsidiary of the parent company UniCredit S.p.A. in Bosnia and Herzegovina, Republic of Srpska. Bitminer alleged that termination of the accounts obstructed its initial coin offering (ICO) relating to a start-up renewable-energy-powered cryptocurrency mining project in Bosnia and Hercegovina. On 30 December 2021, the first instance court adopted most of Bitminer's claims and ordered UCBL to pay damages in the amount of BAM 256,326,152 (approx. €131.2 million). The appeal was filed in January 2022. The first instance court decision is not final, biding and enforceable. The ultimate liability of UCBL, if any, will be determined only after all ordinary legal remedies have been exhausted, and in any case not before the final and binding decision of the appellate court”. C. Risks arising from employment law cases UniCredit is involved in employment law disputes. In general, all employment law disputes are supported by provisions made to meet any disbursements incurred and in any case UniCredit does not believe that any liabilities relating to the outcome of the pending proceedings could have a significant impact on its economic and/or financial standing. Lawsuits filed against UniCredit S.p.A. by members of the former Cassa di Risparmio di Roma Fund Lawsuits brought against UniCredit S.p.A. aimed to reconstitute the patrimony of the fund, ascertain and quantify social security individual position of each member, are pending before the Supreme Court following previous degree decisions favourable towards the Bank. Claims’ value is about €384 millions. No disbursement and no provisions have been made as these claims are considered groundless. D. Risks arising from tax disputes The following information pertains to the most relevant litigations born in 2021 and to those already pending at the beginning of the fiscal year, which have been decided or otherwise defined. For the litigations which are not mentioned, reference must be made to the financial statements of previous fiscal years. Pending cases arising during the period During the second half of 2021 no litigations claiming relevant values are noticed. Updates on pending disputes and tax audits The dispute started by UniCredit S.p.A. for the denial of a refund request for IRES fiscal years 2007, 2008 and 2009 - total value €1,9 million - ended the first-degree Tax Court with an unfavourable decision. UniCredit will appeal the decision in terms of law. With regard to the dispute started by former “Cassa di Risparmio di Torino” (now UniCredit S.p.A.) against the silent-reject of a refund request for IRPEG and ILOR fiscal year 1984 - total value €3,4 million - the Supreme Court (Corte di Cassazione) with a judgment dated 5 November 2021, accepted the appeal by Avvocatura dello Stato providing the referral of the dispute at the second-degree Tax Court in Turin; UniCredit will continue the proceeding in terms of law. The dispute concerning a notice of assessment for VAT (former UniCredit Banca S.p.A.) related to operating costs of business conventions - total value €2,3 million - was discussed in the second-degree Tax Court Emilia Romagna; UniCredit is waiting for the issue of judgement. With regard to the dispute started by former “Banco di Sicilia S.p.A.” (now UniCredit S.p.A.) against the silent-reject of a refund request for further interest - compared to what refunded by the Tax Authority - for ILOR tax credit year 1993 (capital quote was refunded) - total value €3,5 million - the second-degree Tax Court in Palermo, who reassumed the litigation after the statement of the Supreme Court (Corte di Cassazione), with a judgement dated 6 December 2021 postponed the case; With regard to a set of litigations concerning tax refund claims following the exercise by Banca Farmafactoring of the right to transfer back the receivables previously transferred to it by UniCredit S.p.A., the following is reported: • denial of refund request for IRPEG 1989 submitted by former Cassa di Risparmio Reggio Emilia, for an amount of €1,89 million for IRPEG tax and €1,82 for interests: the second-degree Tax Court with a decision issued on 3 January 2022 rejected the Tax Authority appeal confirming the right of UniCredit to obtain €1,9 million refund. The terms of law for appealing the sentence by Tax Authority at the Supreme Court (Corte di Cassazione) are ongoing; • denial of refund request for IRPEG 1997 submitted by former Banca di Roma S.p.A., for a total amount of €43,5 million: the date for discussing was set on 2 February 2022 at the second-degree Tax Court Lazio; • denial of refund IRPEG tax credit years 1994-1997 and ILOR year 1996 former Banca Mediterranea - total value €31 million : the second-degree Tax Court Basilicata during the hearing on 22 October 2021, ordered the Tax Authority to deposit the reports on the bases of which the assessment was notified and related to the disputing tax period, and postponed the case. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 431 Bitminer Litigation in the Republic of Srpska, Bosnia and Herzegovina In 2019, a local customer, Bitminer Factory d.o.o. Gradiška ("Bitminer"), filed a lawsuit before the District Commercial Court in Banja Luka claiming damages for unjustified termination of its current bank accounts by UniCredit Bank a.d. Banja Luka ("UCBL"), a subsidiary of the parent company UniCredit S.p.A. in Bosnia and Herzegovina, Republic of Srpska. Bitminer alleged that termination of the accounts obstructed its initial coin offering (ICO) relating to a start-up renewable-energy-powered cryptocurrency mining project in Bosnia and Hercegovina. On 30 December 2021, the first instance court adopted most of Bitminer's claims and ordered UCBL to pay damages in the amount of BAM 256,326,152 (approx. €131.2 million). The appeal was filed in January 2022. The first instance court decision is not final, biding and enforceable. The ultimate liability of UCBL, if any, will be determined only after all ordinary legal remedies have been exhausted, and in any case not before the final and binding decision of the appellate court”. C. Risks arising from employment law cases UniCredit is involved in employment law disputes. In general, all employment law disputes are supported by provisions made to meet any disbursements incurred and in any case UniCredit does not believe that any liabilities relating to the outcome of the pending proceedings could have a significant impact on its economic and/or financial standing. Lawsuits filed against UniCredit S.p.A. by members of the former Cassa di Risparmio di Roma Fund Lawsuits brought against UniCredit S.p.A. aimed to reconstitute the patrimony of the fund, ascertain and quantify social security individual position of each member, are pending before the Supreme Court following previous degree decisions favourable towards the Bank. Claims’ value is about €384 millions. No disbursement and no provisions have been made as these claims are considered groundless. D. Risks arising from tax disputes The following information pertains to the most relevant litigations born in 2021 and to those already pending at the beginning of the fiscal year, which have been decided or otherwise defined. For the litigations which are not mentioned, reference must be made to the financial statements of previous fiscal years. Pending cases arising during the period During the second half of 2021 no litigations claiming relevant values are noticed. Updates on pending disputes and tax audits The dispute started by UniCredit S.p.A. for the denial of a refund request for IRES fiscal years 2007, 2008 and 2009 - total value €1,9 million - ended the first-degree Tax Court with an unfavourable decision. UniCredit will appeal the decision in terms of law. With regard to the dispute started by former “Cassa di Risparmio di Torino” (now UniCredit S.p.A.) against the silent-reject of a refund request for IRPEG and ILOR fiscal year 1984 - total value €3,4 million - the Supreme Court (Corte di Cassazione) with a judgment dated 5 November 2021, accepted the appeal by Avvocatura dello Stato providing the referral of the dispute at the second-degree Tax Court in Turin; UniCredit will continue the proceeding in terms of law. The dispute concerning a notice of assessment for VAT (former UniCredit Banca S.p.A.) related to operating costs of business conventions - total value €2,3 million - was discussed in the second-degree Tax Court Emilia Romagna; UniCredit is waiting for the issue of judgement. With regard to the dispute started by former “Banco di Sicilia S.p.A.” (now UniCredit S.p.A.) against the silent-reject of a refund request for further interest - compared to what refunded by the Tax Authority - for ILOR tax credit year 1993 (capital quote was refunded) - total value €3,5 million - the second-degree Tax Court in Palermo, who reassumed the litigation after the statement of the Supreme Court (Corte di Cassazione), with a judgement dated 6 December 2021 postponed the case; With regard to a set of litigations concerning tax refund claims following the exercise by Banca Farmafactoring of the right to transfer back the receivables previously transferred to it by UniCredit S.p.A., the following is reported: • denial of refund request for IRPEG 1989 submitted by former Cassa di Risparmio Reggio Emilia, for an amount of €1,89 million for IRPEG tax and €1,82 for interests: the second-degree Tax Court with a decision issued on 3 January 2022 rejected the Tax Authority appeal confirming the right of UniCredit to obtain €1,9 million refund. The terms of law for appealing the sentence by Tax Authority at the Supreme Court (Corte di Cassazione) are ongoing; • denial of refund request for IRPEG 1997 submitted by former Banca di Roma S.p.A., for a total amount of €43,5 million: the date for discussing was set on 2 February 2022 at the second-degree Tax Court Lazio; • denial of refund IRPEG tax credit years 1994-1997 and ILOR year 1996 former Banca Mediterranea - total value €31 million : the second-degree Tax Court Basilicata during the hearing on 22 October 2021, ordered the Tax Authority to deposit the reports on the bases of which the assessment was notified and related to the disputing tax period, and postponed the case. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 431 Bitminer Litigation in the Republic of Srpska, Bosnia and Herzegovina In 2019, a local customer, Bitminer Factory d.o.o. Gradiška ("Bitminer"), filed a lawsuit before the District Commercial Court in Banja Luka claiming damages for unjustified termination of its current bank accounts by UniCredit Bank a.d. Banja Luka ("UCBL"), a subsidiary of the parent company UniCredit S.p.A. in Bosnia and Herzegovina, Republic of Srpska. Bitminer alleged that termination of the accounts obstructed its initial coin offering (ICO) relating to a start-up renewable-energy-powered cryptocurrency mining project in Bosnia and Hercegovina. On 30 December 2021, the first instance court adopted most of Bitminer's claims and ordered UCBL to pay damages in the amount of BAM 256,326,152 (approx. €131.2 million). The appeal was filed in January 2022. The first instance court decision is not final, biding and enforceable. The ultimate liability of UCBL, if any, will be determined only after all ordinary legal remedies have been exhausted, and in any case not before the final and binding decision of the appellate court”. C. Risks arising from employment law cases UniCredit is involved in employment law disputes. In general, all employment law disputes are supported by provisions made to meet any disbursements incurred and in any case UniCredit does not believe that any liabilities relating to the outcome of the pending proceedings could have a significant impact on its economic and/or financial standing. Lawsuits filed against UniCredit S.p.A. by members of the former Cassa di Risparmio di Roma Fund Lawsuits brought against UniCredit S.p.A. aimed to reconstitute the patrimony of the fund, ascertain and quantify social security individual position of each member, are pending before the Supreme Court following previous degree decisions favourable towards the Bank. Claims’ value is about €384 millions. No disbursement and no provisions have been made as these claims are considered groundless. D. Risks arising from tax disputes The following information pertains to the most relevant litigations born in 2021 and to those already pending at the beginning of the fiscal year, which have been decided or otherwise defined. For the litigations which are not mentioned, reference must be made to the financial statements of previous fiscal years. Pending cases arising during the period During the second half of 2021 no litigations claiming relevant values are noticed. Updates on pending disputes and tax audits The dispute started by UniCredit S.p.A. for the denial of a refund request for IRES fiscal years 2007, 2008 and 2009 - total value €1,9 million - ended the first-degree Tax Court with an unfavourable decision. UniCredit will appeal the decision in terms of law. With regard to the dispute started by former “Cassa di Risparmio di Torino” (now UniCredit S.p.A.) against the silent-reject of a refund request for IRPEG and ILOR fiscal year 1984 - total value €3,4 million - the Supreme Court (Corte di Cassazione) with a judgment dated 5 November 2021, accepted the appeal by Avvocatura dello Stato providing the referral of the dispute at the second-degree Tax Court in Turin; UniCredit will continue the proceeding in terms of law. The dispute concerning a notice of assessment for VAT (former UniCredit Banca S.p.A.) related to operating costs of business conventions - total value €2,3 million - was discussed in the second-degree Tax Court Emilia Romagna; UniCredit is waiting for the issue of judgement. With regard to the dispute started by former “Banco di Sicilia S.p.A.” (now UniCredit S.p.A.) against the silent-reject of a refund request for further interest - compared to what refunded by the Tax Authority - for ILOR tax credit year 1993 (capital quote was refunded) - total value €3,5 million - the second-degree Tax Court in Palermo, who reassumed the litigation after the statement of the Supreme Court (Corte di Cassazione), with a judgement dated 6 December 2021 postponed the case; With regard to a set of litigations concerning tax refund claims following the exercise by Banca Farmafactoring of the right to transfer back the receivables previously transferred to it by UniCredit S.p.A., the following is reported: • denial of refund request for IRPEG 1989 submitted by former Cassa di Risparmio Reggio Emilia, for an amount of €1,89 million for IRPEG tax and €1,82 for interests: the second-degree Tax Court with a decision issued on 3 January 2022 rejected the Tax Authority appeal confirming the right of UniCredit to obtain €1,9 million refund. The terms of law for appealing the sentence by Tax Authority at the Supreme Court (Corte di Cassazione) are ongoing; • denial of refund request for IRPEG 1997 submitted by former Banca di Roma S.p.A., for a total amount of €43,5 million: the date for discussing was set on 2 February 2022 at the second-degree Tax Court Lazio; • denial of refund IRPEG tax credit years 1994-1997 and ILOR year 1996 former Banca Mediterranea - total value €31 million : the second-degree Tax Court Basilicata during the hearing on 22 October 2021, ordered the Tax Authority to deposit the reports on the bases of which the assessment was notified and related to the disputing tax period, and postponed the case. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 431 Bitminer Litigation in the Republic of Srpska, Bosnia and Herzegovina In 2019, a local customer, Bitminer Factory d.o.o. Gradiška ("Bitminer"), filed a lawsuit before the District Commercial Court in Banja Luka claiming damages for unjustified termination of its current bank accounts by UniCredit Bank a.d. Banja Luka ("UCBL"), a subsidiary of the parent company UniCredit S.p.A. in Bosnia and Herzegovina, Republic of Srpska. Bitminer alleged that termination of the accounts obstructed its initial coin offering (ICO) relating to a start-up renewable-energy-powered cryptocurrency mining project in Bosnia and Hercegovina. On 30 December 2021, the first instance court adopted most of Bitminer's claims and ordered UCBL to pay damages in the amount of BAM 256,326,152 (approx. €131.2 million). The appeal was filed in January 2022. The first instance court decision is not final, biding and enforceable. The ultimate liability of UCBL, if any, will be determined only after all ordinary legal remedies have been exhausted, and in any case not before the final and binding decision of the appellate court”. C. Risks arising from employment law cases UniCredit is involved in employment law disputes. In general, all employment law disputes are supported by provisions made to meet any disbursements incurred and in any case UniCredit does not believe that any liabilities relating to the outcome of the pending proceedings could have a significant impact on its economic and/or financial standing. Lawsuits filed against UniCredit S.p.A. by members of the former Cassa di Risparmio di Roma Fund Lawsuits brought against UniCredit S.p.A. aimed to reconstitute the patrimony of the fund, ascertain and quantify social security individual position of each member, are pending before the Supreme Court following previous degree decisions favourable towards the Bank. Claims’ value is about €384 millions. No disbursement and no provisions have been made as these claims are considered groundless. D. Risks arising from tax disputes The following information pertains to the most relevant litigations born in 2021 and to those already pending at the beginning of the fiscal year, which have been decided or otherwise defined. For the litigations which are not mentioned, reference must be made to the financial statements of previous fiscal years. Pending cases arising during the period During the second half of 2021 no litigations claiming relevant values are noticed. Updates on pending disputes and tax audits The dispute started by UniCredit S.p.A. for the denial of a refund request for IRES fiscal years 2007, 2008 and 2009 - total value €1,9 million - ended the first-degree Tax Court with an unfavourable decision. UniCredit will appeal the decision in terms of law. With regard to the dispute started by former “Cassa di Risparmio di Torino” (now UniCredit S.p.A.) against the silent-reject of a refund request for IRPEG and ILOR fiscal year 1984 - total value €3,4 million - the Supreme Court (Corte di Cassazione) with a judgment dated 5 November 2021, accepted the appeal by Avvocatura dello Stato providing the referral of the dispute at the second-degree Tax Court in Turin; UniCredit will continue the proceeding in terms of law. The dispute concerning a notice of assessment for VAT (former UniCredit Banca S.p.A.) related to operating costs of business conventions - total value €2,3 million - was discussed in the second-degree Tax Court Emilia Romagna; UniCredit is waiting for the issue of judgement. With regard to the dispute started by former “Banco di Sicilia S.p.A.” (now UniCredit S.p.A.) against the silent-reject of a refund request for further interest - compared to what refunded by the Tax Authority - for ILOR tax credit year 1993 (capital quote was refunded) - total value €3,5 million - the second-degree Tax Court in Palermo, who reassumed the litigation after the statement of the Supreme Court (Corte di Cassazione), with a judgement dated 6 December 2021 postponed the case; With regard to a set of litigations concerning tax refund claims following the exercise by Banca Farmafactoring of the right to transfer back the receivables previously transferred to it by UniCredit S.p.A., the following is reported: • denial of refund request for IRPEG 1989 submitted by former Cassa di Risparmio Reggio Emilia, for an amount of €1,89 million for IRPEG tax and €1,82 for interests: the second-degree Tax Court with a decision issued on 3 January 2022 rejected the Tax Authority appeal confirming the right of UniCredit to obtain €1,9 million refund. The terms of law for appealing the sentence by Tax Authority at the Supreme Court (Corte di Cassazione) are ongoing; • denial of refund request for IRPEG 1997 submitted by former Banca di Roma S.p.A., for a total amount of €43,5 million: the date for discussing was set on 2 February 2022 at the second-degree Tax Court Lazio; • denial of refund IRPEG tax credit years 1994-1997 and ILOR year 1996 former Banca Mediterranea - total value €31 million : the second-degree Tax Court Basilicata during the hearing on 22 October 2021, ordered the Tax Authority to deposit the reports on the bases of which the assessment was notified and related to the disputing tax period, and postponed the case. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 432 2021 Annual Report and Accounts · UniCredit Related to defined litigations the following is reported: The dispute started by former “Gruppo Bancario Credito Romagnolo S.p.A.” (now UniCredit S.p.A.) against the silent-reject on refund request for IRPEG and ILOR tax years 1979 - total value €1,8 million - concluded with the Supreme Court final decision without referral dated 13 December 2021, upheld the appeal by Avvocatura dello Stato setting the extinction of the case and the foreclosure for UniCredit S.p.A. to obtain the refund. The dispute against the silent-reject Tax Authority Agrigento for tax credit from 770 tax form for year 1986 former Cassa Rurale di Palma di Montechiaro - total value €0,11 million - concluded with the Supreme Court definitive decision dated 9 December 2021 rejecting the appeal by Avvocatura dello Stato and confirming definitely the UniCredit’s refund right. Concerning the Tax Audit involving UniCredit Leasing S.p.A. for VAT fiscal years 2016-2017 with purpose the correct fulfil of VAT tax obbligations, in particular for nautical leasing contracts: • Year 2016: on 2 November 2021 the Tax Authority - Direzione Regionale della Lombardia - Ufficio Grandi Contribuenti notified an assessment totaling €1 million. UniCredit Leasing S.p.A. commissioned an external consultant for the follow-up. • Year 2017: Fiscal Audit is still ongoing. On 31 December 2020 the total provisions for risks connected to fiscal disputes and fiscal audit amounted to €151,2 million, including €6,3 million for legal fees. On 31 December 2021 the total provisions for risks connected to fiscal disputes and fiscal audit amount to €182,45 million, including €2,92 million for legal fees. Tax proceedings in Germany Reference is made to the paragraph “B. Legal risks” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risk - Qualitative information. E. Other claims by customers Reference is made to the paragraph “E. Other claims by customers” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information, which is herewith quoted entirely. Diamond offer Reference is made to the paragraph “E. Other claims by customers - Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information, which is herewith quoted entirely. Quantitative information UniCredit group mainly uses the advanced method (AMA) for calculating the capital against operational risks. Companies not yet authorised to use the advanced method contribute to the consolidated capital requirement on the basis of the Standardised Approach (TSA) or Basic Indicator Approach (BIA) method. The weight of the different methods, expressed in terms of contribution to the total relevant indicator of the Group, is as follows: AMA 87.90%, TSA 8.14%, BIA 3.96%. The AMA perimeter embeds Group main legal entities in Italy, Germany, Austria, as well as UniCredit Services. AMA is also applied to main legal entities of CEE countries including Slovenia, Czech Republic, Slovakia, Romania, Croatia, Bulgaria and Hungary. Main TSA and BIA legal entities are AO UniCredit Bank (Russia) and UniCredit Factoring S.p.A. Detailed below is the percentage composition at Group Level, by type of event, of operational risk sources as defined by the New Basel Capital Accord and acknowledged by the Regulations for the Prudential Supervision of Banks issued by Banca d’Italia in December 2013 (Circular No.285/2013 and following updates). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 432 2021 Annual Report and Accounts · UniCredit Related to defined litigations the following is reported: The dispute started by former “Gruppo Bancario Credito Romagnolo S.p.A.” (now UniCredit S.p.A.) against the silent-reject on refund request for IRPEG and ILOR tax years 1979 - total value €1,8 million - concluded with the Supreme Court final decision without referral dated 13 December 2021, upheld the appeal by Avvocatura dello Stato setting the extinction of the case and the foreclosure for UniCredit S.p.A. to obtain the refund. The dispute against the silent-reject Tax Authority Agrigento for tax credit from 770 tax form for year 1986 former Cassa Rurale di Palma di Montechiaro - total value €0,11 million - concluded with the Supreme Court definitive decision dated 9 December 2021 rejecting the appeal by Avvocatura dello Stato and confirming definitely the UniCredit’s refund right. Concerning the Tax Audit involving UniCredit Leasing S.p.A. for VAT fiscal years 2016-2017 with purpose the correct fulfil of VAT tax obbligations, in particular for nautical leasing contracts: • Year 2016: on 2 November 2021 the Tax Authority - Direzione Regionale della Lombardia - Ufficio Grandi Contribuenti notified an assessment totaling €1 million. UniCredit Leasing S.p.A. commissioned an external consultant for the follow-up. • Year 2017: Fiscal Audit is still ongoing. On 31 December 2020 the total provisions for risks connected to fiscal disputes and fiscal audit amounted to €151,2 million, including €6,3 million for legal fees. On 31 December 2021 the total provisions for risks connected to fiscal disputes and fiscal audit amount to €182,45 million, including €2,92 million for legal fees. Tax proceedings in Germany Reference is made to the paragraph “B. Legal risks” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risk - Qualitative information. E. Other claims by customers Reference is made to the paragraph “E. Other claims by customers” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information, which is herewith quoted entirely. Diamond offer Reference is made to the paragraph “E. Other claims by customers - Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information, which is herewith quoted entirely. Quantitative information UniCredit group mainly uses the advanced method (AMA) for calculating the capital against operational risks. Companies not yet authorised to use the advanced method contribute to the consolidated capital requirement on the basis of the Standardised Approach (TSA) or Basic Indicator Approach (BIA) method. The weight of the different methods, expressed in terms of contribution to the total relevant indicator of the Group, is as follows: AMA 87.90%, TSA 8.14%, BIA 3.96%. The AMA perimeter embeds Group main legal entities in Italy, Germany, Austria, as well as UniCredit Services. AMA is also applied to main legal entities of CEE countries including Slovenia, Czech Republic, Slovakia, Romania, Croatia, Bulgaria and Hungary. Main TSA and BIA legal entities are AO UniCredit Bank (Russia) and UniCredit Factoring S.p.A. Detailed below is the percentage composition at Group Level, by type of event, of operational risk sources as defined by the New Basel Capital Accord and acknowledged by the Regulations for the Prudential Supervision of Banks issued by Banca d’Italia in December 2013 (Circular No.285/2013 and following updates). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 432 2021 Annual Report and Accounts · UniCredit Related to defined litigations the following is reported: The dispute started by former “Gruppo Bancario Credito Romagnolo S.p.A.” (now UniCredit S.p.A.) against the silent-reject on refund request for IRPEG and ILOR tax years 1979 - total value €1,8 million - concluded with the Supreme Court final decision without referral dated 13 December 2021, upheld the appeal by Avvocatura dello Stato setting the extinction of the case and the foreclosure for UniCredit S.p.A. to obtain the refund. The dispute against the silent-reject Tax Authority Agrigento for tax credit from 770 tax form for year 1986 former Cassa Rurale di Palma di Montechiaro - total value €0,11 million - concluded with the Supreme Court definitive decision dated 9 December 2021 rejecting the appeal by Avvocatura dello Stato and confirming definitely the UniCredit’s refund right. Concerning the Tax Audit involving UniCredit Leasing S.p.A. for VAT fiscal years 2016-2017 with purpose the correct fulfil of VAT tax obbligations, in particular for nautical leasing contracts: • Year 2016: on 2 November 2021 the Tax Authority - Direzione Regionale della Lombardia - Ufficio Grandi Contribuenti notified an assessment totaling €1 million. UniCredit Leasing S.p.A. commissioned an external consultant for the follow-up. • Year 2017: Fiscal Audit is still ongoing. On 31 December 2020 the total provisions for risks connected to fiscal disputes and fiscal audit amounted to €151,2 million, including €6,3 million for legal fees. On 31 December 2021 the total provisions for risks connected to fiscal disputes and fiscal audit amount to €182,45 million, including €2,92 million for legal fees. Tax proceedings in Germany Reference is made to the paragraph “B. Legal risks” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risk - Qualitative information. E. Other claims by customers Reference is made to the paragraph “E. Other claims by customers” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information, which is herewith quoted entirely. Diamond offer Reference is made to the paragraph “E. Other claims by customers - Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information, which is herewith quoted entirely. Quantitative information UniCredit group mainly uses the advanced method (AMA) for calculating the capital against operational risks. Companies not yet authorised to use the advanced method contribute to the consolidated capital requirement on the basis of the Standardised Approach (TSA) or Basic Indicator Approach (BIA) method. The weight of the different methods, expressed in terms of contribution to the total relevant indicator of the Group, is as follows: AMA 87.90%, TSA 8.14%, BIA 3.96%. The AMA perimeter embeds Group main legal entities in Italy, Germany, Austria, as well as UniCredit Services. AMA is also applied to main legal entities of CEE countries including Slovenia, Czech Republic, Slovakia, Romania, Croatia, Bulgaria and Hungary. Main TSA and BIA legal entities are AO UniCredit Bank (Russia) and UniCredit Factoring S.p.A. Detailed below is the percentage composition at Group Level, by type of event, of operational risk sources as defined by the New Basel Capital Accord and acknowledged by the Regulations for the Prudential Supervision of Banks issued by Banca d’Italia in December 2013 (Circular No.285/2013 and following updates). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 432 2021 Annual Report and Accounts · UniCredit Related to defined litigations the following is reported: The dispute started by former “Gruppo Bancario Credito Romagnolo S.p.A.” (now UniCredit S.p.A.) against the silent-reject on refund request for IRPEG and ILOR tax years 1979 - total value €1,8 million - concluded with the Supreme Court final decision without referral dated 13 December 2021, upheld the appeal by Avvocatura dello Stato setting the extinction of the case and the foreclosure for UniCredit S.p.A. to obtain the refund. The dispute against the silent-reject Tax Authority Agrigento for tax credit from 770 tax form for year 1986 former Cassa Rurale di Palma di Montechiaro - total value €0,11 million - concluded with the Supreme Court definitive decision dated 9 December 2021 rejecting the appeal by Avvocatura dello Stato and confirming definitely the UniCredit’s refund right. Concerning the Tax Audit involving UniCredit Leasing S.p.A. for VAT fiscal years 2016-2017 with purpose the correct fulfil of VAT tax obbligations, in particular for nautical leasing contracts: • Year 2016: on 2 November 2021 the Tax Authority - Direzione Regionale della Lombardia - Ufficio Grandi Contribuenti notified an assessment totaling €1 million. UniCredit Leasing S.p.A. commissioned an external consultant for the follow-up. • Year 2017: Fiscal Audit is still ongoing. On 31 December 2020 the total provisions for risks connected to fiscal disputes and fiscal audit amounted to €151,2 million, including €6,3 million for legal fees. On 31 December 2021 the total provisions for risks connected to fiscal disputes and fiscal audit amount to €182,45 million, including €2,92 million for legal fees. Tax proceedings in Germany Reference is made to the paragraph “B. Legal risks” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risk - Qualitative information. E. Other claims by customers Reference is made to the paragraph “E. Other claims by customers” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information, which is herewith quoted entirely. Diamond offer Reference is made to the paragraph “E. Other claims by customers - Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information, which is herewith quoted entirely. Quantitative information UniCredit group mainly uses the advanced method (AMA) for calculating the capital against operational risks. Companies not yet authorised to use the advanced method contribute to the consolidated capital requirement on the basis of the Standardised Approach (TSA) or Basic Indicator Approach (BIA) method. The weight of the different methods, expressed in terms of contribution to the total relevant indicator of the Group, is as follows: AMA 87.90%, TSA 8.14%, BIA 3.96%. The AMA perimeter embeds Group main legal entities in Italy, Germany, Austria, as well as UniCredit Services. AMA is also applied to main legal entities of CEE countries including Slovenia, Czech Republic, Slovakia, Romania, Croatia, Bulgaria and Hungary. Main TSA and BIA legal entities are AO UniCredit Bank (Russia) and UniCredit Factoring S.p.A. Detailed below is the percentage composition at Group Level, by type of event, of operational risk sources as defined by the New Basel Capital Accord and acknowledged by the Regulations for the Prudential Supervision of Banks issued by Banca d’Italia in December 2013 (Circular No.285/2013 and following updates). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 432 2021 Annual Report and Accounts · UniCredit Related to defined litigations the following is reported: The dispute started by former “Gruppo Bancario Credito Romagnolo S.p.A.” (now UniCredit S.p.A.) against the silent-reject on refund request for IRPEG and ILOR tax years 1979 - total value €1,8 million - concluded with the Supreme Court final decision without referral dated 13 December 2021, upheld the appeal by Avvocatura dello Stato setting the extinction of the case and the foreclosure for UniCredit S.p.A. to obtain the refund. The dispute against the silent-reject Tax Authority Agrigento for tax credit from 770 tax form for year 1986 former Cassa Rurale di Palma di Montechiaro - total value €0,11 million - concluded with the Supreme Court definitive decision dated 9 December 2021 rejecting the appeal by Avvocatura dello Stato and confirming definitely the UniCredit’s refund right. Concerning the Tax Audit involving UniCredit Leasing S.p.A. for VAT fiscal years 2016-2017 with purpose the correct fulfil of VAT tax obbligations, in particular for nautical leasing contracts: • Year 2016: on 2 November 2021 the Tax Authority - Direzione Regionale della Lombardia - Ufficio Grandi Contribuenti notified an assessment totaling €1 million. UniCredit Leasing S.p.A. commissioned an external consultant for the follow-up. • Year 2017: Fiscal Audit is still ongoing. On 31 December 2020 the total provisions for risks connected to fiscal disputes and fiscal audit amounted to €151,2 million, including €6,3 million for legal fees. On 31 December 2021 the total provisions for risks connected to fiscal disputes and fiscal audit amount to €182,45 million, including €2,92 million for legal fees. Tax proceedings in Germany Reference is made to the paragraph “B. Legal risks” of the Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risk - Qualitative information. E. Other claims by customers Reference is made to the paragraph “E. Other claims by customers” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information, which is herewith quoted entirely. Diamond offer Reference is made to the paragraph “E. Other claims by customers - Diamond offer” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information, which is herewith quoted entirely. Quantitative information UniCredit group mainly uses the advanced method (AMA) for calculating the capital against operational risks. Companies not yet authorised to use the advanced method contribute to the consolidated capital requirement on the basis of the Standardised Approach (TSA) or Basic Indicator Approach (BIA) method. The weight of the different methods, expressed in terms of contribution to the total relevant indicator of the Group, is as follows: AMA 87.90%, TSA 8.14%, BIA 3.96%. The AMA perimeter embeds Group main legal entities in Italy, Germany, Austria, as well as UniCredit Services. AMA is also applied to main legal entities of CEE countries including Slovenia, Czech Republic, Slovakia, Romania, Croatia, Bulgaria and Hungary. Main TSA and BIA legal entities are AO UniCredit Bank (Russia) and UniCredit Factoring S.p.A. Detailed below is the percentage composition at Group Level, by type of event, of operational risk sources as defined by the New Basel Capital Accord and acknowledged by the Regulations for the Prudential Supervision of Banks issued by Banca d’Italia in December 2013 (Circular No.285/2013 and following updates). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 433 The risk categories for event type are the following: • internal fraud: losses owing to unauthorised activity, fraud, embezzlement or violation of laws, regulations or business directives that involve at least one internal member of the bank; • external fraud: losses owing to fraud, embezzlement or violation of laws by subjects external to the bank; • employment practices and workplace safety: losses arising from actions in breach of employment, health and workplace safety laws or agreements, from personal injury compensation payments or from cases of discrimination or failure to apply equal treatment; • clients, products and business practices: losses arising from non-fulfilment of professional obligations towards clients or from the nature or characteristics of the products or services provided; • damage to physical assets: losses arising from external events, including natural disasters, acts of terrorism and vandalism; • business disruption and system failures: losses owing to business disruption and system failures or interruptions; • process management, execution and delivery: losses owing to operational or process management shortfalls, as well as losses arising from transactions with commercial counterparties, sellers and suppliers. “External fraud” is not shown in the chart since it has a negligible impact in the reference period due to the effects of recoveries and releases of funds. In 2021, the main source of operational risk was “clients, products and business practices”, which includes losses arising from the non-fulfilment of professional obligations towards clients or from the nature or characteristics of the products or services provided. The second largest contribution is the category is “errors in process management execution and delivery” due to operational or process management shortfalls. There were also, in decreasing order, losses stemming from “business disruption and technology system failures”, “internal fraud”, “employment practices” and “material damage”. Information on Operational risk are reported in Notes to the consolidated accounts, Part E – Information on risks and hedging policies, Section 2 -Risks of the prudential consolidated perimeter, 2.5 Operational risks, B. Legal risks, C. Risks arising from employment law cases and D. Risks arising from tax disputes. 68.2%26.6%0.4%2.1%1.4%1.3%Operational losses 2021 divided by risk categoryBusiness practicesExternal fraudProcess executionMaterial damageBusiness disruption and technology system failuresInternal fraudEmployment practicesConsolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 433 The risk categories for event type are the following: • internal fraud: losses owing to unauthorised activity, fraud, embezzlement or violation of laws, regulations or business directives that involve at least one internal member of the bank; • external fraud: losses owing to fraud, embezzlement or violation of laws by subjects external to the bank; • employment practices and workplace safety: losses arising from actions in breach of employment, health and workplace safety laws or agreements, from personal injury compensation payments or from cases of discrimination or failure to apply equal treatment; • clients, products and business practices: losses arising from non-fulfilment of professional obligations towards clients or from the nature or characteristics of the products or services provided; • damage to physical assets: losses arising from external events, including natural disasters, acts of terrorism and vandalism; • business disruption and system failures: losses owing to business disruption and system failures or interruptions; • process management, execution and delivery: losses owing to operational or process management shortfalls, as well as losses arising from transactions with commercial counterparties, sellers and suppliers. “External fraud” is not shown in the chart since it has a negligible impact in the reference period due to the effects of recoveries and releases of funds. In 2021, the main source of operational risk was “clients, products and business practices”, which includes losses arising from the non-fulfilment of professional obligations towards clients or from the nature or characteristics of the products or services provided. The second largest contribution is the category is “errors in process management execution and delivery” due to operational or process management shortfalls. There were also, in decreasing order, losses stemming from “business disruption and technology system failures”, “internal fraud”, “employment practices” and “material damage”. Information on Operational risk are reported in Notes to the consolidated accounts, Part E – Information on risks and hedging policies, Section 2 -Risks of the prudential consolidated perimeter, 2.5 Operational risks, B. Legal risks, C. Risks arising from employment law cases and D. Risks arising from tax disputes. 68.2%26.6%0.4%2.1%1.4%1.3%Operational losses 2021 divided by risk categoryBusiness practicesExternal fraudProcess executionMaterial damageBusiness disruption and technology system failuresInternal fraudEmployment practicesConsolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 433 The risk categories for event type are the following: • internal fraud: losses owing to unauthorised activity, fraud, embezzlement or violation of laws, regulations or business directives that involve at least one internal member of the bank; • external fraud: losses owing to fraud, embezzlement or violation of laws by subjects external to the bank; • employment practices and workplace safety: losses arising from actions in breach of employment, health and workplace safety laws or agreements, from personal injury compensation payments or from cases of discrimination or failure to apply equal treatment; • clients, products and business practices: losses arising from non-fulfilment of professional obligations towards clients or from the nature or characteristics of the products or services provided; • damage to physical assets: losses arising from external events, including natural disasters, acts of terrorism and vandalism; • business disruption and system failures: losses owing to business disruption and system failures or interruptions; • process management, execution and delivery: losses owing to operational or process management shortfalls, as well as losses arising from transactions with commercial counterparties, sellers and suppliers. “External fraud” is not shown in the chart since it has a negligible impact in the reference period due to the effects of recoveries and releases of funds. In 2021, the main source of operational risk was “clients, products and business practices”, which includes losses arising from the non-fulfilment of professional obligations towards clients or from the nature or characteristics of the products or services provided. The second largest contribution is the category is “errors in process management execution and delivery” due to operational or process management shortfalls. There were also, in decreasing order, losses stemming from “business disruption and technology system failures”, “internal fraud”, “employment practices” and “material damage”. Information on Operational risk are reported in Notes to the consolidated accounts, Part E – Information on risks and hedging policies, Section 2 -Risks of the prudential consolidated perimeter, 2.5 Operational risks, B. Legal risks, C. Risks arising from employment law cases and D. Risks arising from tax disputes. 68.2%26.6%0.4%2.1%1.4%1.3%Operational losses 2021 divided by risk categoryBusiness practicesExternal fraudProcess executionMaterial damageBusiness disruption and technology system failuresInternal fraudEmployment practicesConsolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 433 The risk categories for event type are the following: • internal fraud: losses owing to unauthorised activity, fraud, embezzlement or violation of laws, regulations or business directives that involve at least one internal member of the bank; • external fraud: losses owing to fraud, embezzlement or violation of laws by subjects external to the bank; • employment practices and workplace safety: losses arising from actions in breach of employment, health and workplace safety laws or agreements, from personal injury compensation payments or from cases of discrimination or failure to apply equal treatment; • clients, products and business practices: losses arising from non-fulfilment of professional obligations towards clients or from the nature or characteristics of the products or services provided; • damage to physical assets: losses arising from external events, including natural disasters, acts of terrorism and vandalism; • business disruption and system failures: losses owing to business disruption and system failures or interruptions; • process management, execution and delivery: losses owing to operational or process management shortfalls, as well as losses arising from transactions with commercial counterparties, sellers and suppliers. “External fraud” is not shown in the chart since it has a negligible impact in the reference period due to the effects of recoveries and releases of funds. In 2021, the main source of operational risk was “clients, products and business practices”, which includes losses arising from the non-fulfilment of professional obligations towards clients or from the nature or characteristics of the products or services provided. The second largest contribution is the category is “errors in process management execution and delivery” due to operational or process management shortfalls. There were also, in decreasing order, losses stemming from “business disruption and technology system failures”, “internal fraud”, “employment practices” and “material damage”. Information on Operational risk are reported in Notes to the consolidated accounts, Part E – Information on risks and hedging policies, Section 2 -Risks of the prudential consolidated perimeter, 2.5 Operational risks, B. Legal risks, C. Risks arising from employment law cases and D. Risks arising from tax disputes. 68.2%26.6%0.4%2.1%1.4%1.3%Operational losses 2021 divided by risk categoryBusiness practicesExternal fraudProcess executionMaterial damageBusiness disruption and technology system failuresInternal fraudEmployment practicesConsolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 433 The risk categories for event type are the following: • internal fraud: losses owing to unauthorised activity, fraud, embezzlement or violation of laws, regulations or business directives that involve at least one internal member of the bank; • external fraud: losses owing to fraud, embezzlement or violation of laws by subjects external to the bank; • employment practices and workplace safety: losses arising from actions in breach of employment, health and workplace safety laws or agreements, from personal injury compensation payments or from cases of discrimination or failure to apply equal treatment; • clients, products and business practices: losses arising from non-fulfilment of professional obligations towards clients or from the nature or characteristics of the products or services provided; • damage to physical assets: losses arising from external events, including natural disasters, acts of terrorism and vandalism; • business disruption and system failures: losses owing to business disruption and system failures or interruptions; • process management, execution and delivery: losses owing to operational or process management shortfalls, as well as losses arising from transactions with commercial counterparties, sellers and suppliers. “External fraud” is not shown in the chart since it has a negligible impact in the reference period due to the effects of recoveries and releases of funds. In 2021, the main source of operational risk was “clients, products and business practices”, which includes losses arising from the non-fulfilment of professional obligations towards clients or from the nature or characteristics of the products or services provided. The second largest contribution is the category is “errors in process management execution and delivery” due to operational or process management shortfalls. There were also, in decreasing order, losses stemming from “business disruption and technology system failures”, “internal fraud”, “employment practices” and “material damage”. Information on Operational risk are reported in Notes to the consolidated accounts, Part E – Information on risks and hedging policies, Section 2 -Risks of the prudential consolidated perimeter, 2.5 Operational risks, B. Legal risks, C. Risks arising from employment law cases and D. Risks arising from tax disputes. 68.2%26.6%0.4%2.1%1.4%1.3%Operational losses 2021 divided by risk categoryBusiness practicesExternal fraudProcess executionMaterial damageBusiness disruption and technology system failuresInternal fraudEmployment practicesConsolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 434 2021 Annual Report and Accounts · UniCredit 2.6 Other risks Other risks included in Economic Capital As reported in the paragraph Introduction (Part E - Information on risks and hedging policies), among the Group’s risks there are other risks relating to Pillar II that are Business Risk, Real Estate Risk, Financial Investment Risk and Reputational Risk (the latter is described in the paragraph Reputational Risk, Part E - Information on risks and hedging policies). For each risk, the Economic Capital calculation is performed adopting a confidence level equal to the regulatory level (99.90%) and a one-year time horizon. 1. Business risk Business Risk is defined as adverse, unexpected changes in business volumes and/or margins on a one-year time horizon; in this context the margin is defined as the difference between earnings and costs not explained by risk factors already included, e.g., in credit, market, operational risk. Business risk can result, above all, from changes in the competitive situation or customer behaviour, but may also result from changes in the reference regulatory framework. The exposure data used to calculate Business risk are taken from the income statements of each Entity of the Group for which the risk is significant. Volatility and correlations are estimated from the time series of the relevant items of the Income statement reports. The Business Risk calculation is performed on a quarterly basis for monitoring and for planning purposes according to the relevant time schedule. 2. Real estate risk Real Estate Risk is defined as the potential loss resulting from market value fluctuations of the Group’s real estate portfolio, including real estate Special purpose vehicles. It does not take into consideration properties held as collateral which are evaluated inside credit risk. The relevant data for the Real Estate Risk calculation includes general information relating to properties and area or regional rental price indexes for each property to enable calculation of volatility and correlation in the model. The Real Estate Risk calculation is performed on a quarterly basis for monitoring purposes with a portfolio updated semi-annually and for planning purposes according to the relevant time schedule. 3. Financial investments risk Financial investments risk stems from the equity investments held in companies not included in the Group consolidation perimeter and not encompassed in the Market Risk managerial framework. The relevant portfolio mainly includes listed and unlisted shares, private equity, units of mutual, hedge and private equity funds. For all the Group equity positions, capital charges may be calculated using either a PD/LGD-based approach or a market-based one. Listed equity holdings and funds, which are a subset of Financial Investment risk are treated relying on the Market Risk Internal Model infrastructure. The unlisted component is evaluated into the Group Credit Portfolio Model (GCPM). The calculation of the risk is based on a Value at Risk (VaR) model calculated at 99.90% confidence level and is executed inside credit and market risk models according to the nature of the underlying portfolio. The Financial Investments Risk is calculated on a quarterly basis for monitoring and for planning purposes according to the relevant time schedule. Risk measurement methods 1. Internal Capital As described in the paragraph Introduction (Part E - Information on risks and hedging policies), within the Internal Capital Adequacy Assessment Process (ICAAP) and in line with the proportionality principle defined in Pillar II of Basel II, the risk profile of the Group and the main Group Legal Entities is assessed for all the Pillar II risk types (Credit, Market, Operational, Reputational, Business, Financial Investments and Real Estate risks). The Internal Capital represents the capital needed to face the potential losses inherent in the Group’s business activities and takes into consideration all the Pillar II risk types reported above that are quantifiable in terms of Economic Capital. The effect of the diversification among risk types (“inter-risk diversification”) and of the diversification at portfolio level (“intra-risk diversification”) is also considered. In addition, a Capital add-on is calculated as prudential cushion in order to account for Model Risk uncertainty. As for its components, the Internal Capital is calculated on a one-year time horizon and adopting a confidence level equal to the regulatory level (99.90%). For monitoring purposes, the Internal Capital is calculated quarterly and disclosed to Senior Management quarterly through RAF Monitoring & Integrated Risk reporting; it is also calculated for planning purposes according to the relevant time schedule. Consistently with the corporate governance system, the function Integrated Risks of UniCredit S.p.A. is responsible for the Group Economic and Internal Capital methodology development and their measurement, as well as for the setting and implementation of the Group related processes. The "Group Rules", after the approval, are submitted to relevant Legal Entities for local approval and implementation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 434 2021 Annual Report and Accounts · UniCredit 2.6 Other risks Other risks included in Economic Capital As reported in the paragraph Introduction (Part E - Information on risks and hedging policies), among the Group’s risks there are other risks relating to Pillar II that are Business Risk, Real Estate Risk, Financial Investment Risk and Reputational Risk (the latter is described in the paragraph Reputational Risk, Part E - Information on risks and hedging policies). For each risk, the Economic Capital calculation is performed adopting a confidence level equal to the regulatory level (99.90%) and a one-year time horizon. 1. Business risk Business Risk is defined as adverse, unexpected changes in business volumes and/or margins on a one-year time horizon; in this context the margin is defined as the difference between earnings and costs not explained by risk factors already included, e.g., in credit, market, operational risk. Business risk can result, above all, from changes in the competitive situation or customer behaviour, but may also result from changes in the reference regulatory framework. The exposure data used to calculate Business risk are taken from the income statements of each Entity of the Group for which the risk is significant. Volatility and correlations are estimated from the time series of the relevant items of the Income statement reports. The Business Risk calculation is performed on a quarterly basis for monitoring and for planning purposes according to the relevant time schedule. 2. Real estate risk Real Estate Risk is defined as the potential loss resulting from market value fluctuations of the Group’s real estate portfolio, including real estate Special purpose vehicles. It does not take into consideration properties held as collateral which are evaluated inside credit risk. The relevant data for the Real Estate Risk calculation includes general information relating to properties and area or regional rental price indexes for each property to enable calculation of volatility and correlation in the model. The Real Estate Risk calculation is performed on a quarterly basis for monitoring purposes with a portfolio updated semi-annually and for planning purposes according to the relevant time schedule. 3. Financial investments risk Financial investments risk stems from the equity investments held in companies not included in the Group consolidation perimeter and not encompassed in the Market Risk managerial framework. The relevant portfolio mainly includes listed and unlisted shares, private equity, units of mutual, hedge and private equity funds. For all the Group equity positions, capital charges may be calculated using either a PD/LGD-based approach or a market-based one. Listed equity holdings and funds, which are a subset of Financial Investment risk are treated relying on the Market Risk Internal Model infrastructure. The unlisted component is evaluated into the Group Credit Portfolio Model (GCPM). The calculation of the risk is based on a Value at Risk (VaR) model calculated at 99.90% confidence level and is executed inside credit and market risk models according to the nature of the underlying portfolio. The Financial Investments Risk is calculated on a quarterly basis for monitoring and for planning purposes according to the relevant time schedule. Risk measurement methods 1. Internal Capital As described in the paragraph Introduction (Part E - Information on risks and hedging policies), within the Internal Capital Adequacy Assessment Process (ICAAP) and in line with the proportionality principle defined in Pillar II of Basel II, the risk profile of the Group and the main Group Legal Entities is assessed for all the Pillar II risk types (Credit, Market, Operational, Reputational, Business, Financial Investments and Real Estate risks). The Internal Capital represents the capital needed to face the potential losses inherent in the Group’s business activities and takes into consideration all the Pillar II risk types reported above that are quantifiable in terms of Economic Capital. The effect of the diversification among risk types (“inter-risk diversification”) and of the diversification at portfolio level (“intra-risk diversification”) is also considered. In addition, a Capital add-on is calculated as prudential cushion in order to account for Model Risk uncertainty. As for its components, the Internal Capital is calculated on a one-year time horizon and adopting a confidence level equal to the regulatory level (99.90%). For monitoring purposes, the Internal Capital is calculated quarterly and disclosed to Senior Management quarterly through RAF Monitoring & Integrated Risk reporting; it is also calculated for planning purposes according to the relevant time schedule. Consistently with the corporate governance system, the function Integrated Risks of UniCredit S.p.A. is responsible for the Group Economic and Internal Capital methodology development and their measurement, as well as for the setting and implementation of the Group related processes. The "Group Rules", after the approval, are submitted to relevant Legal Entities for local approval and implementation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 434 2021 Annual Report and Accounts · UniCredit 2.6 Other risks Other risks included in Economic Capital As reported in the paragraph Introduction (Part E - Information on risks and hedging policies), among the Group’s risks there are other risks relating to Pillar II that are Business Risk, Real Estate Risk, Financial Investment Risk and Reputational Risk (the latter is described in the paragraph Reputational Risk, Part E - Information on risks and hedging policies). For each risk, the Economic Capital calculation is performed adopting a confidence level equal to the regulatory level (99.90%) and a one-year time horizon. 1. Business risk Business Risk is defined as adverse, unexpected changes in business volumes and/or margins on a one-year time horizon; in this context the margin is defined as the difference between earnings and costs not explained by risk factors already included, e.g., in credit, market, operational risk. Business risk can result, above all, from changes in the competitive situation or customer behaviour, but may also result from changes in the reference regulatory framework. The exposure data used to calculate Business risk are taken from the income statements of each Entity of the Group for which the risk is significant. Volatility and correlations are estimated from the time series of the relevant items of the Income statement reports. The Business Risk calculation is performed on a quarterly basis for monitoring and for planning purposes according to the relevant time schedule. 2. Real estate risk Real Estate Risk is defined as the potential loss resulting from market value fluctuations of the Group’s real estate portfolio, including real estate Special purpose vehicles. It does not take into consideration properties held as collateral which are evaluated inside credit risk. The relevant data for the Real Estate Risk calculation includes general information relating to properties and area or regional rental price indexes for each property to enable calculation of volatility and correlation in the model. The Real Estate Risk calculation is performed on a quarterly basis for monitoring purposes with a portfolio updated semi-annually and for planning purposes according to the relevant time schedule. 3. Financial investments risk Financial investments risk stems from the equity investments held in companies not included in the Group consolidation perimeter and not encompassed in the Market Risk managerial framework. The relevant portfolio mainly includes listed and unlisted shares, private equity, units of mutual, hedge and private equity funds. For all the Group equity positions, capital charges may be calculated using either a PD/LGD-based approach or a market-based one. Listed equity holdings and funds, which are a subset of Financial Investment risk are treated relying on the Market Risk Internal Model infrastructure. The unlisted component is evaluated into the Group Credit Portfolio Model (GCPM). The calculation of the risk is based on a Value at Risk (VaR) model calculated at 99.90% confidence level and is executed inside credit and market risk models according to the nature of the underlying portfolio. The Financial Investments Risk is calculated on a quarterly basis for monitoring and for planning purposes according to the relevant time schedule. Risk measurement methods 1. Internal Capital As described in the paragraph Introduction (Part E - Information on risks and hedging policies), within the Internal Capital Adequacy Assessment Process (ICAAP) and in line with the proportionality principle defined in Pillar II of Basel II, the risk profile of the Group and the main Group Legal Entities is assessed for all the Pillar II risk types (Credit, Market, Operational, Reputational, Business, Financial Investments and Real Estate risks). The Internal Capital represents the capital needed to face the potential losses inherent in the Group’s business activities and takes into consideration all the Pillar II risk types reported above that are quantifiable in terms of Economic Capital. The effect of the diversification among risk types (“inter-risk diversification”) and of the diversification at portfolio level (“intra-risk diversification”) is also considered. In addition, a Capital add-on is calculated as prudential cushion in order to account for Model Risk uncertainty. As for its components, the Internal Capital is calculated on a one-year time horizon and adopting a confidence level equal to the regulatory level (99.90%). For monitoring purposes, the Internal Capital is calculated quarterly and disclosed to Senior Management quarterly through RAF Monitoring & Integrated Risk reporting; it is also calculated for planning purposes according to the relevant time schedule. Consistently with the corporate governance system, the function Integrated Risks of UniCredit S.p.A. is responsible for the Group Economic and Internal Capital methodology development and their measurement, as well as for the setting and implementation of the Group related processes. The "Group Rules", after the approval, are submitted to relevant Legal Entities for local approval and implementation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 434 2021 Annual Report and Accounts · UniCredit 2.6 Other risks Other risks included in Economic Capital As reported in the paragraph Introduction (Part E - Information on risks and hedging policies), among the Group’s risks there are other risks relating to Pillar II that are Business Risk, Real Estate Risk, Financial Investment Risk and Reputational Risk (the latter is described in the paragraph Reputational Risk, Part E - Information on risks and hedging policies). For each risk, the Economic Capital calculation is performed adopting a confidence level equal to the regulatory level (99.90%) and a one-year time horizon. 1. Business risk Business Risk is defined as adverse, unexpected changes in business volumes and/or margins on a one-year time horizon; in this context the margin is defined as the difference between earnings and costs not explained by risk factors already included, e.g., in credit, market, operational risk. Business risk can result, above all, from changes in the competitive situation or customer behaviour, but may also result from changes in the reference regulatory framework. The exposure data used to calculate Business risk are taken from the income statements of each Entity of the Group for which the risk is significant. Volatility and correlations are estimated from the time series of the relevant items of the Income statement reports. The Business Risk calculation is performed on a quarterly basis for monitoring and for planning purposes according to the relevant time schedule. 2. Real estate risk Real Estate Risk is defined as the potential loss resulting from market value fluctuations of the Group’s real estate portfolio, including real estate Special purpose vehicles. It does not take into consideration properties held as collateral which are evaluated inside credit risk. The relevant data for the Real Estate Risk calculation includes general information relating to properties and area or regional rental price indexes for each property to enable calculation of volatility and correlation in the model. The Real Estate Risk calculation is performed on a quarterly basis for monitoring purposes with a portfolio updated semi-annually and for planning purposes according to the relevant time schedule. 3. Financial investments risk Financial investments risk stems from the equity investments held in companies not included in the Group consolidation perimeter and not encompassed in the Market Risk managerial framework. The relevant portfolio mainly includes listed and unlisted shares, private equity, units of mutual, hedge and private equity funds. For all the Group equity positions, capital charges may be calculated using either a PD/LGD-based approach or a market-based one. Listed equity holdings and funds, which are a subset of Financial Investment risk are treated relying on the Market Risk Internal Model infrastructure. The unlisted component is evaluated into the Group Credit Portfolio Model (GCPM). The calculation of the risk is based on a Value at Risk (VaR) model calculated at 99.90% confidence level and is executed inside credit and market risk models according to the nature of the underlying portfolio. The Financial Investments Risk is calculated on a quarterly basis for monitoring and for planning purposes according to the relevant time schedule. Risk measurement methods 1. Internal Capital As described in the paragraph Introduction (Part E - Information on risks and hedging policies), within the Internal Capital Adequacy Assessment Process (ICAAP) and in line with the proportionality principle defined in Pillar II of Basel II, the risk profile of the Group and the main Group Legal Entities is assessed for all the Pillar II risk types (Credit, Market, Operational, Reputational, Business, Financial Investments and Real Estate risks). The Internal Capital represents the capital needed to face the potential losses inherent in the Group’s business activities and takes into consideration all the Pillar II risk types reported above that are quantifiable in terms of Economic Capital. The effect of the diversification among risk types (“inter-risk diversification”) and of the diversification at portfolio level (“intra-risk diversification”) is also considered. In addition, a Capital add-on is calculated as prudential cushion in order to account for Model Risk uncertainty. As for its components, the Internal Capital is calculated on a one-year time horizon and adopting a confidence level equal to the regulatory level (99.90%). For monitoring purposes, the Internal Capital is calculated quarterly and disclosed to Senior Management quarterly through RAF Monitoring & Integrated Risk reporting; it is also calculated for planning purposes according to the relevant time schedule. Consistently with the corporate governance system, the function Integrated Risks of UniCredit S.p.A. is responsible for the Group Economic and Internal Capital methodology development and their measurement, as well as for the setting and implementation of the Group related processes. The "Group Rules", after the approval, are submitted to relevant Legal Entities for local approval and implementation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 434 2021 Annual Report and Accounts · UniCredit 2.6 Other risks Other risks included in Economic Capital As reported in the paragraph Introduction (Part E - Information on risks and hedging policies), among the Group’s risks there are other risks relating to Pillar II that are Business Risk, Real Estate Risk, Financial Investment Risk and Reputational Risk (the latter is described in the paragraph Reputational Risk, Part E - Information on risks and hedging policies). For each risk, the Economic Capital calculation is performed adopting a confidence level equal to the regulatory level (99.90%) and a one-year time horizon. 1. Business risk Business Risk is defined as adverse, unexpected changes in business volumes and/or margins on a one-year time horizon; in this context the margin is defined as the difference between earnings and costs not explained by risk factors already included, e.g., in credit, market, operational risk. Business risk can result, above all, from changes in the competitive situation or customer behaviour, but may also result from changes in the reference regulatory framework. The exposure data used to calculate Business risk are taken from the income statements of each Entity of the Group for which the risk is significant. Volatility and correlations are estimated from the time series of the relevant items of the Income statement reports. The Business Risk calculation is performed on a quarterly basis for monitoring and for planning purposes according to the relevant time schedule. 2. Real estate risk Real Estate Risk is defined as the potential loss resulting from market value fluctuations of the Group’s real estate portfolio, including real estate Special purpose vehicles. It does not take into consideration properties held as collateral which are evaluated inside credit risk. The relevant data for the Real Estate Risk calculation includes general information relating to properties and area or regional rental price indexes for each property to enable calculation of volatility and correlation in the model. The Real Estate Risk calculation is performed on a quarterly basis for monitoring purposes with a portfolio updated semi-annually and for planning purposes according to the relevant time schedule. 3. Financial investments risk Financial investments risk stems from the equity investments held in companies not included in the Group consolidation perimeter and not encompassed in the Market Risk managerial framework. The relevant portfolio mainly includes listed and unlisted shares, private equity, units of mutual, hedge and private equity funds. For all the Group equity positions, capital charges may be calculated using either a PD/LGD-based approach or a market-based one. Listed equity holdings and funds, which are a subset of Financial Investment risk are treated relying on the Market Risk Internal Model infrastructure. The unlisted component is evaluated into the Group Credit Portfolio Model (GCPM). The calculation of the risk is based on a Value at Risk (VaR) model calculated at 99.90% confidence level and is executed inside credit and market risk models according to the nature of the underlying portfolio. The Financial Investments Risk is calculated on a quarterly basis for monitoring and for planning purposes according to the relevant time schedule. Risk measurement methods 1. Internal Capital As described in the paragraph Introduction (Part E - Information on risks and hedging policies), within the Internal Capital Adequacy Assessment Process (ICAAP) and in line with the proportionality principle defined in Pillar II of Basel II, the risk profile of the Group and the main Group Legal Entities is assessed for all the Pillar II risk types (Credit, Market, Operational, Reputational, Business, Financial Investments and Real Estate risks). The Internal Capital represents the capital needed to face the potential losses inherent in the Group’s business activities and takes into consideration all the Pillar II risk types reported above that are quantifiable in terms of Economic Capital. The effect of the diversification among risk types (“inter-risk diversification”) and of the diversification at portfolio level (“intra-risk diversification”) is also considered. In addition, a Capital add-on is calculated as prudential cushion in order to account for Model Risk uncertainty. As for its components, the Internal Capital is calculated on a one-year time horizon and adopting a confidence level equal to the regulatory level (99.90%). For monitoring purposes, the Internal Capital is calculated quarterly and disclosed to Senior Management quarterly through RAF Monitoring & Integrated Risk reporting; it is also calculated for planning purposes according to the relevant time schedule. Consistently with the corporate governance system, the function Integrated Risks of UniCredit S.p.A. is responsible for the Group Economic and Internal Capital methodology development and their measurement, as well as for the setting and implementation of the Group related processes. The "Group Rules", after the approval, are submitted to relevant Legal Entities for local approval and implementation. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 435 2. Stress Testing The multidimensional nature of risk requires to supplement the measurement of economic capital with stress testing, not only in order to estimate losses in certain scenarios, but also to assess their impacts in terms of capital requirements. Stress testing is a key risk management tool for the management of the relevant risks in order to assess the bank's vulnerability with respect to exceptional but plausible events, providing additional information to the monitoring activities. Stress testing activities, in compliance with regulatory requirements, are performed on the basis of a set of internally defined stress scenarios, that include the Group main geographies where the Group is active and are carried out at least twice a year. In the context of the activities of risk measurement prescribed by Pillar II, the Group stress test methodology considers the impacts on the various risks generated from the materialization of the macroeconomic adverse scenarios. These scenarios are drawn analysing both current macroeconomic events and plausible future events that could take place and that are considered penalizing for the Group. The stress test exercise is performed both with reference to single risk types and as an overall considering possible interactions. The results of the exercise are represented by the additional expected losses and by the stressed Economic Capital. The overall results consider both the single risk variations as well as any possible benefit of diversification. Since 2017, two complementary approaches are considered in stress testing activities: the so called “Normative Perspective” focuses on the impacts of stressed scenarios on regulatory capital metrics while the “Economic Perspective” quantifies impacts of scenarios on the Economic Capital. The Group Senior Management is involved in the Group-wide stress test in the following phases: • macro-economic stressed scenarios approval used to estimate the impacts on regulatory and economic capital; • after the exercise is finalised, with the approval of the results and impacts and a potential discussion of actions to return into the predetermined limits of capital. The adequacy of the risk measurement methodologies supporting the ICAAP, including stress testing and risk aggregation, is checked by internal validation functions. Reputational risk Reputational risk is defined as the current or prospective risk to earnings or capital decrease arising from the adverse perception of the image of the financial institution on the part of customers, counterparties (including also debt-holders, market analysts, other relevant parties, such as civil society, NGOs, media, etc.), shareholders/investors, regulators or employees (stakeholders). Reputational risk is a secondary risk generated as a "knock-on effect" from risk categories, such as credit, market, operational and liquidity risks and all others risks types (e.g., business risk, strategy risk, ESG risk which considers the environmental, social and governance aspects of responsible investments). Reputational risk could also be generated from material events. Since 2010 UniCredit group has ruled the reputational risk and the policy currently in place is the Group Reputational Risk management policy which aims at defining a general set of principles and rules for assessing and controlling reputational risk. In addition, since 2017 the Global Process Regulation “Reputational Risk management for Material Events” has been in force with the aim of defining a straightforward escalation process to the Parent Company’s Senior Management for events not managed via existing Reputational Risk processes, in order to allow it to react promptly in managing the potential consequences. On top of the Global Policy and Process Regulation, a set of sensible sectors policies has been issued during the years, in order to mitigate specific reputational risks that arise from having relationships with counterparties operating in these sectors. The current policies are “Defense/Weapons Industry”, “Nuclear Energy”, “Mining”, “Water Infrastructure (dam)”, “Thermal Coal” and “Oil &Gas”. In 2021, it has been completed the update of the “Thermal Coal” policy, which provides the exit from the coal industry in all markets by 2028. Also, it has been reviewed the approach of the “Oil & Gas” policy, by defining the Customers classification based on the revenues from oil & gas activities and by enlarging the forbidden financial supports for specific oil & gas activities. The reputational risk management is in charge to the Group Non-Financial Risks Department of UniCredit S.p.A. and to dedicated functions within the Group legal entities. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 435 2. Stress Testing The multidimensional nature of risk requires to supplement the measurement of economic capital with stress testing, not only in order to estimate losses in certain scenarios, but also to assess their impacts in terms of capital requirements. Stress testing is a key risk management tool for the management of the relevant risks in order to assess the bank's vulnerability with respect to exceptional but plausible events, providing additional information to the monitoring activities. Stress testing activities, in compliance with regulatory requirements, are performed on the basis of a set of internally defined stress scenarios, that include the Group main geographies where the Group is active and are carried out at least twice a year. In the context of the activities of risk measurement prescribed by Pillar II, the Group stress test methodology considers the impacts on the various risks generated from the materialization of the macroeconomic adverse scenarios. These scenarios are drawn analysing both current macroeconomic events and plausible future events that could take place and that are considered penalizing for the Group. The stress test exercise is performed both with reference to single risk types and as an overall considering possible interactions. The results of the exercise are represented by the additional expected losses and by the stressed Economic Capital. The overall results consider both the single risk variations as well as any possible benefit of diversification. Since 2017, two complementary approaches are considered in stress testing activities: the so called “Normative Perspective” focuses on the impacts of stressed scenarios on regulatory capital metrics while the “Economic Perspective” quantifies impacts of scenarios on the Economic Capital. The Group Senior Management is involved in the Group-wide stress test in the following phases: • macro-economic stressed scenarios approval used to estimate the impacts on regulatory and economic capital; • after the exercise is finalised, with the approval of the results and impacts and a potential discussion of actions to return into the predetermined limits of capital. The adequacy of the risk measurement methodologies supporting the ICAAP, including stress testing and risk aggregation, is checked by internal validation functions. Reputational risk Reputational risk is defined as the current or prospective risk to earnings or capital decrease arising from the adverse perception of the image of the financial institution on the part of customers, counterparties (including also debt-holders, market analysts, other relevant parties, such as civil society, NGOs, media, etc.), shareholders/investors, regulators or employees (stakeholders). Reputational risk is a secondary risk generated as a "knock-on effect" from risk categories, such as credit, market, operational and liquidity risks and all others risks types (e.g., business risk, strategy risk, ESG risk which considers the environmental, social and governance aspects of responsible investments). Reputational risk could also be generated from material events. Since 2010 UniCredit group has ruled the reputational risk and the policy currently in place is the Group Reputational Risk management policy which aims at defining a general set of principles and rules for assessing and controlling reputational risk. In addition, since 2017 the Global Process Regulation “Reputational Risk management for Material Events” has been in force with the aim of defining a straightforward escalation process to the Parent Company’s Senior Management for events not managed via existing Reputational Risk processes, in order to allow it to react promptly in managing the potential consequences. On top of the Global Policy and Process Regulation, a set of sensible sectors policies has been issued during the years, in order to mitigate specific reputational risks that arise from having relationships with counterparties operating in these sectors. The current policies are “Defense/Weapons Industry”, “Nuclear Energy”, “Mining”, “Water Infrastructure (dam)”, “Thermal Coal” and “Oil &Gas”. In 2021, it has been completed the update of the “Thermal Coal” policy, which provides the exit from the coal industry in all markets by 2028. Also, it has been reviewed the approach of the “Oil & Gas” policy, by defining the Customers classification based on the revenues from oil & gas activities and by enlarging the forbidden financial supports for specific oil & gas activities. The reputational risk management is in charge to the Group Non-Financial Risks Department of UniCredit S.p.A. and to dedicated functions within the Group legal entities. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 435 2. Stress Testing The multidimensional nature of risk requires to supplement the measurement of economic capital with stress testing, not only in order to estimate losses in certain scenarios, but also to assess their impacts in terms of capital requirements. Stress testing is a key risk management tool for the management of the relevant risks in order to assess the bank's vulnerability with respect to exceptional but plausible events, providing additional information to the monitoring activities. Stress testing activities, in compliance with regulatory requirements, are performed on the basis of a set of internally defined stress scenarios, that include the Group main geographies where the Group is active and are carried out at least twice a year. In the context of the activities of risk measurement prescribed by Pillar II, the Group stress test methodology considers the impacts on the various risks generated from the materialization of the macroeconomic adverse scenarios. These scenarios are drawn analysing both current macroeconomic events and plausible future events that could take place and that are considered penalizing for the Group. The stress test exercise is performed both with reference to single risk types and as an overall considering possible interactions. The results of the exercise are represented by the additional expected losses and by the stressed Economic Capital. The overall results consider both the single risk variations as well as any possible benefit of diversification. Since 2017, two complementary approaches are considered in stress testing activities: the so called “Normative Perspective” focuses on the impacts of stressed scenarios on regulatory capital metrics while the “Economic Perspective” quantifies impacts of scenarios on the Economic Capital. The Group Senior Management is involved in the Group-wide stress test in the following phases: • macro-economic stressed scenarios approval used to estimate the impacts on regulatory and economic capital; • after the exercise is finalised, with the approval of the results and impacts and a potential discussion of actions to return into the predetermined limits of capital. The adequacy of the risk measurement methodologies supporting the ICAAP, including stress testing and risk aggregation, is checked by internal validation functions. Reputational risk Reputational risk is defined as the current or prospective risk to earnings or capital decrease arising from the adverse perception of the image of the financial institution on the part of customers, counterparties (including also debt-holders, market analysts, other relevant parties, such as civil society, NGOs, media, etc.), shareholders/investors, regulators or employees (stakeholders). Reputational risk is a secondary risk generated as a "knock-on effect" from risk categories, such as credit, market, operational and liquidity risks and all others risks types (e.g., business risk, strategy risk, ESG risk which considers the environmental, social and governance aspects of responsible investments). Reputational risk could also be generated from material events. Since 2010 UniCredit group has ruled the reputational risk and the policy currently in place is the Group Reputational Risk management policy which aims at defining a general set of principles and rules for assessing and controlling reputational risk. In addition, since 2017 the Global Process Regulation “Reputational Risk management for Material Events” has been in force with the aim of defining a straightforward escalation process to the Parent Company’s Senior Management for events not managed via existing Reputational Risk processes, in order to allow it to react promptly in managing the potential consequences. On top of the Global Policy and Process Regulation, a set of sensible sectors policies has been issued during the years, in order to mitigate specific reputational risks that arise from having relationships with counterparties operating in these sectors. The current policies are “Defense/Weapons Industry”, “Nuclear Energy”, “Mining”, “Water Infrastructure (dam)”, “Thermal Coal” and “Oil &Gas”. In 2021, it has been completed the update of the “Thermal Coal” policy, which provides the exit from the coal industry in all markets by 2028. Also, it has been reviewed the approach of the “Oil & Gas” policy, by defining the Customers classification based on the revenues from oil & gas activities and by enlarging the forbidden financial supports for specific oil & gas activities. The reputational risk management is in charge to the Group Non-Financial Risks Department of UniCredit S.p.A. and to dedicated functions within the Group legal entities. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 435 2. Stress Testing The multidimensional nature of risk requires to supplement the measurement of economic capital with stress testing, not only in order to estimate losses in certain scenarios, but also to assess their impacts in terms of capital requirements. Stress testing is a key risk management tool for the management of the relevant risks in order to assess the bank's vulnerability with respect to exceptional but plausible events, providing additional information to the monitoring activities. Stress testing activities, in compliance with regulatory requirements, are performed on the basis of a set of internally defined stress scenarios, that include the Group main geographies where the Group is active and are carried out at least twice a year. In the context of the activities of risk measurement prescribed by Pillar II, the Group stress test methodology considers the impacts on the various risks generated from the materialization of the macroeconomic adverse scenarios. These scenarios are drawn analysing both current macroeconomic events and plausible future events that could take place and that are considered penalizing for the Group. The stress test exercise is performed both with reference to single risk types and as an overall considering possible interactions. The results of the exercise are represented by the additional expected losses and by the stressed Economic Capital. The overall results consider both the single risk variations as well as any possible benefit of diversification. Since 2017, two complementary approaches are considered in stress testing activities: the so called “Normative Perspective” focuses on the impacts of stressed scenarios on regulatory capital metrics while the “Economic Perspective” quantifies impacts of scenarios on the Economic Capital. The Group Senior Management is involved in the Group-wide stress test in the following phases: • macro-economic stressed scenarios approval used to estimate the impacts on regulatory and economic capital; • after the exercise is finalised, with the approval of the results and impacts and a potential discussion of actions to return into the predetermined limits of capital. The adequacy of the risk measurement methodologies supporting the ICAAP, including stress testing and risk aggregation, is checked by internal validation functions. Reputational risk Reputational risk is defined as the current or prospective risk to earnings or capital decrease arising from the adverse perception of the image of the financial institution on the part of customers, counterparties (including also debt-holders, market analysts, other relevant parties, such as civil society, NGOs, media, etc.), shareholders/investors, regulators or employees (stakeholders). Reputational risk is a secondary risk generated as a "knock-on effect" from risk categories, such as credit, market, operational and liquidity risks and all others risks types (e.g., business risk, strategy risk, ESG risk which considers the environmental, social and governance aspects of responsible investments). Reputational risk could also be generated from material events. Since 2010 UniCredit group has ruled the reputational risk and the policy currently in place is the Group Reputational Risk management policy which aims at defining a general set of principles and rules for assessing and controlling reputational risk. In addition, since 2017 the Global Process Regulation “Reputational Risk management for Material Events” has been in force with the aim of defining a straightforward escalation process to the Parent Company’s Senior Management for events not managed via existing Reputational Risk processes, in order to allow it to react promptly in managing the potential consequences. On top of the Global Policy and Process Regulation, a set of sensible sectors policies has been issued during the years, in order to mitigate specific reputational risks that arise from having relationships with counterparties operating in these sectors. The current policies are “Defense/Weapons Industry”, “Nuclear Energy”, “Mining”, “Water Infrastructure (dam)”, “Thermal Coal” and “Oil &Gas”. In 2021, it has been completed the update of the “Thermal Coal” policy, which provides the exit from the coal industry in all markets by 2028. Also, it has been reviewed the approach of the “Oil & Gas” policy, by defining the Customers classification based on the revenues from oil & gas activities and by enlarging the forbidden financial supports for specific oil & gas activities. The reputational risk management is in charge to the Group Non-Financial Risks Department of UniCredit S.p.A. and to dedicated functions within the Group legal entities. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 435 2. Stress Testing The multidimensional nature of risk requires to supplement the measurement of economic capital with stress testing, not only in order to estimate losses in certain scenarios, but also to assess their impacts in terms of capital requirements. Stress testing is a key risk management tool for the management of the relevant risks in order to assess the bank's vulnerability with respect to exceptional but plausible events, providing additional information to the monitoring activities. Stress testing activities, in compliance with regulatory requirements, are performed on the basis of a set of internally defined stress scenarios, that include the Group main geographies where the Group is active and are carried out at least twice a year. In the context of the activities of risk measurement prescribed by Pillar II, the Group stress test methodology considers the impacts on the various risks generated from the materialization of the macroeconomic adverse scenarios. These scenarios are drawn analysing both current macroeconomic events and plausible future events that could take place and that are considered penalizing for the Group. The stress test exercise is performed both with reference to single risk types and as an overall considering possible interactions. The results of the exercise are represented by the additional expected losses and by the stressed Economic Capital. The overall results consider both the single risk variations as well as any possible benefit of diversification. Since 2017, two complementary approaches are considered in stress testing activities: the so called “Normative Perspective” focuses on the impacts of stressed scenarios on regulatory capital metrics while the “Economic Perspective” quantifies impacts of scenarios on the Economic Capital. The Group Senior Management is involved in the Group-wide stress test in the following phases: • macro-economic stressed scenarios approval used to estimate the impacts on regulatory and economic capital; • after the exercise is finalised, with the approval of the results and impacts and a potential discussion of actions to return into the predetermined limits of capital. The adequacy of the risk measurement methodologies supporting the ICAAP, including stress testing and risk aggregation, is checked by internal validation functions. Reputational risk Reputational risk is defined as the current or prospective risk to earnings or capital decrease arising from the adverse perception of the image of the financial institution on the part of customers, counterparties (including also debt-holders, market analysts, other relevant parties, such as civil society, NGOs, media, etc.), shareholders/investors, regulators or employees (stakeholders). Reputational risk is a secondary risk generated as a "knock-on effect" from risk categories, such as credit, market, operational and liquidity risks and all others risks types (e.g., business risk, strategy risk, ESG risk which considers the environmental, social and governance aspects of responsible investments). Reputational risk could also be generated from material events. Since 2010 UniCredit group has ruled the reputational risk and the policy currently in place is the Group Reputational Risk management policy which aims at defining a general set of principles and rules for assessing and controlling reputational risk. In addition, since 2017 the Global Process Regulation “Reputational Risk management for Material Events” has been in force with the aim of defining a straightforward escalation process to the Parent Company’s Senior Management for events not managed via existing Reputational Risk processes, in order to allow it to react promptly in managing the potential consequences. On top of the Global Policy and Process Regulation, a set of sensible sectors policies has been issued during the years, in order to mitigate specific reputational risks that arise from having relationships with counterparties operating in these sectors. The current policies are “Defense/Weapons Industry”, “Nuclear Energy”, “Mining”, “Water Infrastructure (dam)”, “Thermal Coal” and “Oil &Gas”. In 2021, it has been completed the update of the “Thermal Coal” policy, which provides the exit from the coal industry in all markets by 2028. Also, it has been reviewed the approach of the “Oil & Gas” policy, by defining the Customers classification based on the revenues from oil & gas activities and by enlarging the forbidden financial supports for specific oil & gas activities. The reputational risk management is in charge to the Group Non-Financial Risks Department of UniCredit S.p.A. and to dedicated functions within the Group legal entities. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 436 2021 Annual Report and Accounts · UniCredit In 2021, within the review of the Group Committees, the Group Non-Financial Risks and Controls Committee (GNFRC) - Reputational Risk dedicated session has been established. The Committee meets with approval functions, according to the regulations in place, for the following topics: • Governance policies and guidelines for the management of the reputational risk on sensitive sectors and customer relationships; • Binding Opinions, whenever a relevant reputational risk is present on specific single transactions/relationships - as foreseen by the Internal Regulations - to be provided to UniCredit S.p.A. functions; • Non-Binding Opinions, whenever a relevant reputational risk is present on specific single transactions/relationships - as foreseen by the Internal Regulations - on cases submitted by Local NFRC, to be provided to other Group Legal Entities. The Committee meets with consulting and information functions for the following topics, evaluating and providing guidelines with reference to: • Reputational risk relevant emerging trends or material events, for their implications on Group and Local strategies, initiatives, transactions, projects, customers or other business activities, leveraging on evidences and assessments provided by Risk Management, Compliance, Legal, Group ESG Strategy & Impact Banking, Group Institutional Affairs and Group Identity and Communication; • Group relevant risks/criticalities highlighted by Internal Audit function, for specific cases and in relation to specific areas or geographies; • Periodical reporting provided by Group competent structures on the business activities and decisions taken in relation to the defined sensitive sectors. UniCredit group developed a proprietary methodology for the quantification of reputational risk and the consequent calculation of the Value-at-Risk (VaR) for such a risk. The methodology estimates the semi-elasticity between the “media sentiment” referred to UniCredit (summarised into the Media Tonality Index, provided by an external company, PRIME Research, qualified in Reputation Intelligence and Media Monitoring) and the market expectations regarding the Group expected future profits, which are derived from equity prices via the reverse engineering of a dividend discount model, once sterilised from the effects affecting the whole European banking sector. The Reputational VaR represents the maximum (at 99.9% confidence level) potential reduction of future earnings as derived from the estimated model parameters and the distribution of the Media Tonality Index. Effects arising from Covid-19 pandemic The measures already put in place last year to protect the health of employees and clients have also effectively prevented negative impacts on the Group reputation. The monitoring of the operational events connected to Covid-19 pandemic, aimed at promptly detect process criticalities or improper behaviors, allowed also to mitigate related potential reputational risks. Top and emerging risks In UniCredit, the management and monitoring of risks is based on a dynamic approach; Top Management is promptly informed on top risks and/or emerging risks through a strict monitoring process embedded in the risk assessment process. The Risk Management identifies and estimates these risks and submits them regularly to senior/top management and Board of Directors which take the appropriate actions to manage and mitigate risks. The following top and/or emerging risks have been considered relevant during 2021: 1. Covid-19 pandemic evolution impacts; 2. Macroeconomic and (geo-)political challenges; 3. Climate and environmental risks; 4. Cyber security risks; 5. Risks stemming from the current Regulatory developments. 1. The Covid-19 pandemic evolution impacts The economic recovery started to gain momentum in light of the progress of vaccination campaigns started to come throughout 2021. Gradual lifting/lightening of the restriction measures favoured business activities as well as international mobility. Uneven access to vaccines across different parts of the world still represents an important point of attention. Another one is represented by the risk of new variants of the virus that could be more contagious and more vaccine-resistant, as observed in the very end of the year with new spikes of Covid-19 cases around the world due to the Omicron variant. The outlook of the pandemic evolution remains very much dependant on the vaccination progress and its effectiveness, especially against new variants of the virus, on a global scale. Naturally, some industries and sectors remain still more vulnerable to the eventual worsening of the pandemic evolution and new stringency measures and this vulnerability may translate into the impacts on the households via employment prospects. At the same time, businesses’ try to become as much resilient as possible in the context of prolonged pandemic. Households’ resilience still benefits from the increased precautionary savings, to be seen if they translate into higher future consumption/investment as large share of them are currently in deposit accounts. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 436 2021 Annual Report and Accounts · UniCredit In 2021, within the review of the Group Committees, the Group Non-Financial Risks and Controls Committee (GNFRC) - Reputational Risk dedicated session has been established. The Committee meets with approval functions, according to the regulations in place, for the following topics: • Governance policies and guidelines for the management of the reputational risk on sensitive sectors and customer relationships; • Binding Opinions, whenever a relevant reputational risk is present on specific single transactions/relationships - as foreseen by the Internal Regulations - to be provided to UniCredit S.p.A. functions; • Non-Binding Opinions, whenever a relevant reputational risk is present on specific single transactions/relationships - as foreseen by the Internal Regulations - on cases submitted by Local NFRC, to be provided to other Group Legal Entities. The Committee meets with consulting and information functions for the following topics, evaluating and providing guidelines with reference to: • Reputational risk relevant emerging trends or material events, for their implications on Group and Local strategies, initiatives, transactions, projects, customers or other business activities, leveraging on evidences and assessments provided by Risk Management, Compliance, Legal, Group ESG Strategy & Impact Banking, Group Institutional Affairs and Group Identity and Communication; • Group relevant risks/criticalities highlighted by Internal Audit function, for specific cases and in relation to specific areas or geographies; • Periodical reporting provided by Group competent structures on the business activities and decisions taken in relation to the defined sensitive sectors. UniCredit group developed a proprietary methodology for the quantification of reputational risk and the consequent calculation of the Value-at-Risk (VaR) for such a risk. The methodology estimates the semi-elasticity between the “media sentiment” referred to UniCredit (summarised into the Media Tonality Index, provided by an external company, PRIME Research, qualified in Reputation Intelligence and Media Monitoring) and the market expectations regarding the Group expected future profits, which are derived from equity prices via the reverse engineering of a dividend discount model, once sterilised from the effects affecting the whole European banking sector. The Reputational VaR represents the maximum (at 99.9% confidence level) potential reduction of future earnings as derived from the estimated model parameters and the distribution of the Media Tonality Index. Effects arising from Covid-19 pandemic The measures already put in place last year to protect the health of employees and clients have also effectively prevented negative impacts on the Group reputation. The monitoring of the operational events connected to Covid-19 pandemic, aimed at promptly detect process criticalities or improper behaviors, allowed also to mitigate related potential reputational risks. Top and emerging risks In UniCredit, the management and monitoring of risks is based on a dynamic approach; Top Management is promptly informed on top risks and/or emerging risks through a strict monitoring process embedded in the risk assessment process. The Risk Management identifies and estimates these risks and submits them regularly to senior/top management and Board of Directors which take the appropriate actions to manage and mitigate risks. The following top and/or emerging risks have been considered relevant during 2021: 1. Covid-19 pandemic evolution impacts; 2. Macroeconomic and (geo-)political challenges; 3. Climate and environmental risks; 4. Cyber security risks; 5. Risks stemming from the current Regulatory developments. 1. The Covid-19 pandemic evolution impacts The economic recovery started to gain momentum in light of the progress of vaccination campaigns started to come throughout 2021. Gradual lifting/lightening of the restriction measures favoured business activities as well as international mobility. Uneven access to vaccines across different parts of the world still represents an important point of attention. Another one is represented by the risk of new variants of the virus that could be more contagious and more vaccine-resistant, as observed in the very end of the year with new spikes of Covid-19 cases around the world due to the Omicron variant. The outlook of the pandemic evolution remains very much dependant on the vaccination progress and its effectiveness, especially against new variants of the virus, on a global scale. Naturally, some industries and sectors remain still more vulnerable to the eventual worsening of the pandemic evolution and new stringency measures and this vulnerability may translate into the impacts on the households via employment prospects. At the same time, businesses’ try to become as much resilient as possible in the context of prolonged pandemic. Households’ resilience still benefits from the increased precautionary savings, to be seen if they translate into higher future consumption/investment as large share of them are currently in deposit accounts. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 436 2021 Annual Report and Accounts · UniCredit In 2021, within the review of the Group Committees, the Group Non-Financial Risks and Controls Committee (GNFRC) - Reputational Risk dedicated session has been established. The Committee meets with approval functions, according to the regulations in place, for the following topics: • Governance policies and guidelines for the management of the reputational risk on sensitive sectors and customer relationships; • Binding Opinions, whenever a relevant reputational risk is present on specific single transactions/relationships - as foreseen by the Internal Regulations - to be provided to UniCredit S.p.A. functions; • Non-Binding Opinions, whenever a relevant reputational risk is present on specific single transactions/relationships - as foreseen by the Internal Regulations - on cases submitted by Local NFRC, to be provided to other Group Legal Entities. The Committee meets with consulting and information functions for the following topics, evaluating and providing guidelines with reference to: • Reputational risk relevant emerging trends or material events, for their implications on Group and Local strategies, initiatives, transactions, projects, customers or other business activities, leveraging on evidences and assessments provided by Risk Management, Compliance, Legal, Group ESG Strategy & Impact Banking, Group Institutional Affairs and Group Identity and Communication; • Group relevant risks/criticalities highlighted by Internal Audit function, for specific cases and in relation to specific areas or geographies; • Periodical reporting provided by Group competent structures on the business activities and decisions taken in relation to the defined sensitive sectors. UniCredit group developed a proprietary methodology for the quantification of reputational risk and the consequent calculation of the Value-at-Risk (VaR) for such a risk. The methodology estimates the semi-elasticity between the “media sentiment” referred to UniCredit (summarised into the Media Tonality Index, provided by an external company, PRIME Research, qualified in Reputation Intelligence and Media Monitoring) and the market expectations regarding the Group expected future profits, which are derived from equity prices via the reverse engineering of a dividend discount model, once sterilised from the effects affecting the whole European banking sector. The Reputational VaR represents the maximum (at 99.9% confidence level) potential reduction of future earnings as derived from the estimated model parameters and the distribution of the Media Tonality Index. Effects arising from Covid-19 pandemic The measures already put in place last year to protect the health of employees and clients have also effectively prevented negative impacts on the Group reputation. The monitoring of the operational events connected to Covid-19 pandemic, aimed at promptly detect process criticalities or improper behaviors, allowed also to mitigate related potential reputational risks. Top and emerging risks In UniCredit, the management and monitoring of risks is based on a dynamic approach; Top Management is promptly informed on top risks and/or emerging risks through a strict monitoring process embedded in the risk assessment process. The Risk Management identifies and estimates these risks and submits them regularly to senior/top management and Board of Directors which take the appropriate actions to manage and mitigate risks. The following top and/or emerging risks have been considered relevant during 2021: 1. Covid-19 pandemic evolution impacts; 2. Macroeconomic and (geo-)political challenges; 3. Climate and environmental risks; 4. Cyber security risks; 5. Risks stemming from the current Regulatory developments. 1. The Covid-19 pandemic evolution impacts The economic recovery started to gain momentum in light of the progress of vaccination campaigns started to come throughout 2021. Gradual lifting/lightening of the restriction measures favoured business activities as well as international mobility. Uneven access to vaccines across different parts of the world still represents an important point of attention. Another one is represented by the risk of new variants of the virus that could be more contagious and more vaccine-resistant, as observed in the very end of the year with new spikes of Covid-19 cases around the world due to the Omicron variant. The outlook of the pandemic evolution remains very much dependant on the vaccination progress and its effectiveness, especially against new variants of the virus, on a global scale. Naturally, some industries and sectors remain still more vulnerable to the eventual worsening of the pandemic evolution and new stringency measures and this vulnerability may translate into the impacts on the households via employment prospects. At the same time, businesses’ try to become as much resilient as possible in the context of prolonged pandemic. Households’ resilience still benefits from the increased precautionary savings, to be seen if they translate into higher future consumption/investment as large share of them are currently in deposit accounts. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 436 2021 Annual Report and Accounts · UniCredit In 2021, within the review of the Group Committees, the Group Non-Financial Risks and Controls Committee (GNFRC) - Reputational Risk dedicated session has been established. The Committee meets with approval functions, according to the regulations in place, for the following topics: • Governance policies and guidelines for the management of the reputational risk on sensitive sectors and customer relationships; • Binding Opinions, whenever a relevant reputational risk is present on specific single transactions/relationships - as foreseen by the Internal Regulations - to be provided to UniCredit S.p.A. functions; • Non-Binding Opinions, whenever a relevant reputational risk is present on specific single transactions/relationships - as foreseen by the Internal Regulations - on cases submitted by Local NFRC, to be provided to other Group Legal Entities. The Committee meets with consulting and information functions for the following topics, evaluating and providing guidelines with reference to: • Reputational risk relevant emerging trends or material events, for their implications on Group and Local strategies, initiatives, transactions, projects, customers or other business activities, leveraging on evidences and assessments provided by Risk Management, Compliance, Legal, Group ESG Strategy & Impact Banking, Group Institutional Affairs and Group Identity and Communication; • Group relevant risks/criticalities highlighted by Internal Audit function, for specific cases and in relation to specific areas or geographies; • Periodical reporting provided by Group competent structures on the business activities and decisions taken in relation to the defined sensitive sectors. UniCredit group developed a proprietary methodology for the quantification of reputational risk and the consequent calculation of the Value-at-Risk (VaR) for such a risk. The methodology estimates the semi-elasticity between the “media sentiment” referred to UniCredit (summarised into the Media Tonality Index, provided by an external company, PRIME Research, qualified in Reputation Intelligence and Media Monitoring) and the market expectations regarding the Group expected future profits, which are derived from equity prices via the reverse engineering of a dividend discount model, once sterilised from the effects affecting the whole European banking sector. The Reputational VaR represents the maximum (at 99.9% confidence level) potential reduction of future earnings as derived from the estimated model parameters and the distribution of the Media Tonality Index. Effects arising from Covid-19 pandemic The measures already put in place last year to protect the health of employees and clients have also effectively prevented negative impacts on the Group reputation. The monitoring of the operational events connected to Covid-19 pandemic, aimed at promptly detect process criticalities or improper behaviors, allowed also to mitigate related potential reputational risks. Top and emerging risks In UniCredit, the management and monitoring of risks is based on a dynamic approach; Top Management is promptly informed on top risks and/or emerging risks through a strict monitoring process embedded in the risk assessment process. The Risk Management identifies and estimates these risks and submits them regularly to senior/top management and Board of Directors which take the appropriate actions to manage and mitigate risks. The following top and/or emerging risks have been considered relevant during 2021: 1. Covid-19 pandemic evolution impacts; 2. Macroeconomic and (geo-)political challenges; 3. Climate and environmental risks; 4. Cyber security risks; 5. Risks stemming from the current Regulatory developments. 1. The Covid-19 pandemic evolution impacts The economic recovery started to gain momentum in light of the progress of vaccination campaigns started to come throughout 2021. Gradual lifting/lightening of the restriction measures favoured business activities as well as international mobility. Uneven access to vaccines across different parts of the world still represents an important point of attention. Another one is represented by the risk of new variants of the virus that could be more contagious and more vaccine-resistant, as observed in the very end of the year with new spikes of Covid-19 cases around the world due to the Omicron variant. The outlook of the pandemic evolution remains very much dependant on the vaccination progress and its effectiveness, especially against new variants of the virus, on a global scale. Naturally, some industries and sectors remain still more vulnerable to the eventual worsening of the pandemic evolution and new stringency measures and this vulnerability may translate into the impacts on the households via employment prospects. At the same time, businesses’ try to become as much resilient as possible in the context of prolonged pandemic. Households’ resilience still benefits from the increased precautionary savings, to be seen if they translate into higher future consumption/investment as large share of them are currently in deposit accounts. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 436 2021 Annual Report and Accounts · UniCredit In 2021, within the review of the Group Committees, the Group Non-Financial Risks and Controls Committee (GNFRC) - Reputational Risk dedicated session has been established. The Committee meets with approval functions, according to the regulations in place, for the following topics: • Governance policies and guidelines for the management of the reputational risk on sensitive sectors and customer relationships; • Binding Opinions, whenever a relevant reputational risk is present on specific single transactions/relationships - as foreseen by the Internal Regulations - to be provided to UniCredit S.p.A. functions; • Non-Binding Opinions, whenever a relevant reputational risk is present on specific single transactions/relationships - as foreseen by the Internal Regulations - on cases submitted by Local NFRC, to be provided to other Group Legal Entities. The Committee meets with consulting and information functions for the following topics, evaluating and providing guidelines with reference to: • Reputational risk relevant emerging trends or material events, for their implications on Group and Local strategies, initiatives, transactions, projects, customers or other business activities, leveraging on evidences and assessments provided by Risk Management, Compliance, Legal, Group ESG Strategy & Impact Banking, Group Institutional Affairs and Group Identity and Communication; • Group relevant risks/criticalities highlighted by Internal Audit function, for specific cases and in relation to specific areas or geographies; • Periodical reporting provided by Group competent structures on the business activities and decisions taken in relation to the defined sensitive sectors. UniCredit group developed a proprietary methodology for the quantification of reputational risk and the consequent calculation of the Value-at-Risk (VaR) for such a risk. The methodology estimates the semi-elasticity between the “media sentiment” referred to UniCredit (summarised into the Media Tonality Index, provided by an external company, PRIME Research, qualified in Reputation Intelligence and Media Monitoring) and the market expectations regarding the Group expected future profits, which are derived from equity prices via the reverse engineering of a dividend discount model, once sterilised from the effects affecting the whole European banking sector. The Reputational VaR represents the maximum (at 99.9% confidence level) potential reduction of future earnings as derived from the estimated model parameters and the distribution of the Media Tonality Index. Effects arising from Covid-19 pandemic The measures already put in place last year to protect the health of employees and clients have also effectively prevented negative impacts on the Group reputation. The monitoring of the operational events connected to Covid-19 pandemic, aimed at promptly detect process criticalities or improper behaviors, allowed also to mitigate related potential reputational risks. Top and emerging risks In UniCredit, the management and monitoring of risks is based on a dynamic approach; Top Management is promptly informed on top risks and/or emerging risks through a strict monitoring process embedded in the risk assessment process. The Risk Management identifies and estimates these risks and submits them regularly to senior/top management and Board of Directors which take the appropriate actions to manage and mitigate risks. The following top and/or emerging risks have been considered relevant during 2021: 1. Covid-19 pandemic evolution impacts; 2. Macroeconomic and (geo-)political challenges; 3. Climate and environmental risks; 4. Cyber security risks; 5. Risks stemming from the current Regulatory developments. 1. The Covid-19 pandemic evolution impacts The economic recovery started to gain momentum in light of the progress of vaccination campaigns started to come throughout 2021. Gradual lifting/lightening of the restriction measures favoured business activities as well as international mobility. Uneven access to vaccines across different parts of the world still represents an important point of attention. Another one is represented by the risk of new variants of the virus that could be more contagious and more vaccine-resistant, as observed in the very end of the year with new spikes of Covid-19 cases around the world due to the Omicron variant. The outlook of the pandemic evolution remains very much dependant on the vaccination progress and its effectiveness, especially against new variants of the virus, on a global scale. Naturally, some industries and sectors remain still more vulnerable to the eventual worsening of the pandemic evolution and new stringency measures and this vulnerability may translate into the impacts on the households via employment prospects. At the same time, businesses’ try to become as much resilient as possible in the context of prolonged pandemic. Households’ resilience still benefits from the increased precautionary savings, to be seen if they translate into higher future consumption/investment as large share of them are currently in deposit accounts. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 437 The governments supporting measures and monetary policy response of the supervisors deployed in the 2020 have had a substantial positive impact in addressing the Covid-19 crisis. As far as ECB’s jurisdiction is concerned, it is likely the monetary policy remains accommodative in the medium-term perspective, maintaining flexibility also in view of the current uncertainty regarding inflation pressure At the same time, the institutions should prepare for the phase out of central bank facilities. The accelerated digitalization and substantial shift towards remote-based operating model started back in 2020 continue to pose risks related to the cyber security environment as well as those linked with IT malfunctioning. Since the pandemic outbreak, UniCredit addressed the crisis putting in place and constantly enhancing pre-emptive measures and guidelines to face the Covid-19 emergency, proactive managing the evolving situation across all dimensions of its risk profile. The Group ensures any uncertainties, including those conditioned by the context, described above, are properly addressed via its comprehensive risk management framework (e.g., stress testing). 2. Macroeconomic and (geo-)political challenges After the substantial immediate impact of the Covid-19 crisis holding back the global economy throughout the whole 2020, during 2021 signs of faster economic growth emerged with unemployment rates going down as businesses getting back on track, stock markets welcoming positive profitability trends of many listed companies. However, these signs have to be considered together with some key potential drawbacks linked to: 1) the above mentioned issue with uneven vaccination progress around the globe is crucial for determining how stable and fast will be the economic recovery; 2) imbalances between supply and demand as observed during last year (e.g. also sharply rise in cross-continental shipping costs), higher inflation, increasing at the end of the year 3) impact of withdrawal of state and monetary policy stimulus in particular in case of swift tightening measures . In addition to those factors, the following global trends and challenges on the geopolitical arena continue to be considered relevant. The United States government was focused on supporting its economy throughout the year amid the pandemic and markets volatility, especially in the second half of the year. As far as US foreign policy concerns, it highlighted re-engaging with global institutions and working on reinforcing relations with its key allies, positioning itself as one of the central players in addressing global crises. One of the signature accomplishment of US government in 2021 was the definitive withdrawal of American troops from Afghanistan, receiving controversial reaction on international arena, especially in light of the unrecognised Taliban government taking over the country soon after, increasing instability in the region. One of the most relevant risks emerged closer to the year-end regards the intensified Russia-Ukraine tensions implying the risk of US and other Western countries imposing severe sanctions against Russia, should the situation deteriorate critically (e.g., military actions). The later could have more broad-based negative consequences on inflation, market volatility, energy cost, particularly relevant for Eurozone. Moreover, the US-China tensions remain under watch, in addition to the ones between China and his neighbours, including Taiwan, South Korea, Japan and Vietnam. The US negotiations to rejoin the Iran nuclear deal are making progress with attention needed on the tensions between Iran, Israel, and Saudi Arabia around the subject. 3. The climate-related and environmental risks In November 2019 UniCredit announced a set of sustainability targets embedding several commitments related to environment, social and governance (ESG). Moreover, in line with its aim for a continuous further integration of several sustainability topics in the business strategies of the Group, a long-term journey aimed at defining its new ESG strategy was launched in 2020 and represents a key component of a wider ongoing strategic review. The last step of the journey consisted in the completion of a the ESG strategy, a key component of the new Group Strategic plan, launched and communicated to Group stakeholders during the Strategy Day held on 9 December 2021. The underlying goal of this strategy is to integrate all ESG factors in Group’s strategy, core business and processes, taking into account both risks and market opportunities and with a clear multi-stakeholder approach. Group ESG strategy is built around four fundamentals: • leading by example, striving for the same high standards that the Group seeks from those it does business with; • setting ambitious ESG goals to support its customers’ need for change; • equipping the Group with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across the relevant building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments (Net Zero, same salary for same role, Financial Health and Inclusion) to enable a more equal and sustainable society. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 437 The governments supporting measures and monetary policy response of the supervisors deployed in the 2020 have had a substantial positive impact in addressing the Covid-19 crisis. As far as ECB’s jurisdiction is concerned, it is likely the monetary policy remains accommodative in the medium-term perspective, maintaining flexibility also in view of the current uncertainty regarding inflation pressure At the same time, the institutions should prepare for the phase out of central bank facilities. The accelerated digitalization and substantial shift towards remote-based operating model started back in 2020 continue to pose risks related to the cyber security environment as well as those linked with IT malfunctioning. Since the pandemic outbreak, UniCredit addressed the crisis putting in place and constantly enhancing pre-emptive measures and guidelines to face the Covid-19 emergency, proactive managing the evolving situation across all dimensions of its risk profile. The Group ensures any uncertainties, including those conditioned by the context, described above, are properly addressed via its comprehensive risk management framework (e.g., stress testing). 2. Macroeconomic and (geo-)political challenges After the substantial immediate impact of the Covid-19 crisis holding back the global economy throughout the whole 2020, during 2021 signs of faster economic growth emerged with unemployment rates going down as businesses getting back on track, stock markets welcoming positive profitability trends of many listed companies. However, these signs have to be considered together with some key potential drawbacks linked to: 1) the above mentioned issue with uneven vaccination progress around the globe is crucial for determining how stable and fast will be the economic recovery; 2) imbalances between supply and demand as observed during last year (e.g. also sharply rise in cross-continental shipping costs), higher inflation, increasing at the end of the year 3) impact of withdrawal of state and monetary policy stimulus in particular in case of swift tightening measures . In addition to those factors, the following global trends and challenges on the geopolitical arena continue to be considered relevant. The United States government was focused on supporting its economy throughout the year amid the pandemic and markets volatility, especially in the second half of the year. As far as US foreign policy concerns, it highlighted re-engaging with global institutions and working on reinforcing relations with its key allies, positioning itself as one of the central players in addressing global crises. One of the signature accomplishment of US government in 2021 was the definitive withdrawal of American troops from Afghanistan, receiving controversial reaction on international arena, especially in light of the unrecognised Taliban government taking over the country soon after, increasing instability in the region. One of the most relevant risks emerged closer to the year-end regards the intensified Russia-Ukraine tensions implying the risk of US and other Western countries imposing severe sanctions against Russia, should the situation deteriorate critically (e.g., military actions). The later could have more broad-based negative consequences on inflation, market volatility, energy cost, particularly relevant for Eurozone. Moreover, the US-China tensions remain under watch, in addition to the ones between China and his neighbours, including Taiwan, South Korea, Japan and Vietnam. The US negotiations to rejoin the Iran nuclear deal are making progress with attention needed on the tensions between Iran, Israel, and Saudi Arabia around the subject. 3. The climate-related and environmental risks In November 2019 UniCredit announced a set of sustainability targets embedding several commitments related to environment, social and governance (ESG). Moreover, in line with its aim for a continuous further integration of several sustainability topics in the business strategies of the Group, a long-term journey aimed at defining its new ESG strategy was launched in 2020 and represents a key component of a wider ongoing strategic review. The last step of the journey consisted in the completion of a the ESG strategy, a key component of the new Group Strategic plan, launched and communicated to Group stakeholders during the Strategy Day held on 9 December 2021. The underlying goal of this strategy is to integrate all ESG factors in Group’s strategy, core business and processes, taking into account both risks and market opportunities and with a clear multi-stakeholder approach. Group ESG strategy is built around four fundamentals: • leading by example, striving for the same high standards that the Group seeks from those it does business with; • setting ambitious ESG goals to support its customers’ need for change; • equipping the Group with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across the relevant building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments (Net Zero, same salary for same role, Financial Health and Inclusion) to enable a more equal and sustainable society. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 437 The governments supporting measures and monetary policy response of the supervisors deployed in the 2020 have had a substantial positive impact in addressing the Covid-19 crisis. As far as ECB’s jurisdiction is concerned, it is likely the monetary policy remains accommodative in the medium-term perspective, maintaining flexibility also in view of the current uncertainty regarding inflation pressure At the same time, the institutions should prepare for the phase out of central bank facilities. The accelerated digitalization and substantial shift towards remote-based operating model started back in 2020 continue to pose risks related to the cyber security environment as well as those linked with IT malfunctioning. Since the pandemic outbreak, UniCredit addressed the crisis putting in place and constantly enhancing pre-emptive measures and guidelines to face the Covid-19 emergency, proactive managing the evolving situation across all dimensions of its risk profile. The Group ensures any uncertainties, including those conditioned by the context, described above, are properly addressed via its comprehensive risk management framework (e.g., stress testing). 2. Macroeconomic and (geo-)political challenges After the substantial immediate impact of the Covid-19 crisis holding back the global economy throughout the whole 2020, during 2021 signs of faster economic growth emerged with unemployment rates going down as businesses getting back on track, stock markets welcoming positive profitability trends of many listed companies. However, these signs have to be considered together with some key potential drawbacks linked to: 1) the above mentioned issue with uneven vaccination progress around the globe is crucial for determining how stable and fast will be the economic recovery; 2) imbalances between supply and demand as observed during last year (e.g. also sharply rise in cross-continental shipping costs), higher inflation, increasing at the end of the year 3) impact of withdrawal of state and monetary policy stimulus in particular in case of swift tightening measures . In addition to those factors, the following global trends and challenges on the geopolitical arena continue to be considered relevant. The United States government was focused on supporting its economy throughout the year amid the pandemic and markets volatility, especially in the second half of the year. As far as US foreign policy concerns, it highlighted re-engaging with global institutions and working on reinforcing relations with its key allies, positioning itself as one of the central players in addressing global crises. One of the signature accomplishment of US government in 2021 was the definitive withdrawal of American troops from Afghanistan, receiving controversial reaction on international arena, especially in light of the unrecognised Taliban government taking over the country soon after, increasing instability in the region. One of the most relevant risks emerged closer to the year-end regards the intensified Russia-Ukraine tensions implying the risk of US and other Western countries imposing severe sanctions against Russia, should the situation deteriorate critically (e.g., military actions). The later could have more broad-based negative consequences on inflation, market volatility, energy cost, particularly relevant for Eurozone. Moreover, the US-China tensions remain under watch, in addition to the ones between China and his neighbours, including Taiwan, South Korea, Japan and Vietnam. The US negotiations to rejoin the Iran nuclear deal are making progress with attention needed on the tensions between Iran, Israel, and Saudi Arabia around the subject. 3. The climate-related and environmental risks In November 2019 UniCredit announced a set of sustainability targets embedding several commitments related to environment, social and governance (ESG). Moreover, in line with its aim for a continuous further integration of several sustainability topics in the business strategies of the Group, a long-term journey aimed at defining its new ESG strategy was launched in 2020 and represents a key component of a wider ongoing strategic review. The last step of the journey consisted in the completion of a the ESG strategy, a key component of the new Group Strategic plan, launched and communicated to Group stakeholders during the Strategy Day held on 9 December 2021. The underlying goal of this strategy is to integrate all ESG factors in Group’s strategy, core business and processes, taking into account both risks and market opportunities and with a clear multi-stakeholder approach. Group ESG strategy is built around four fundamentals: • leading by example, striving for the same high standards that the Group seeks from those it does business with; • setting ambitious ESG goals to support its customers’ need for change; • equipping the Group with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across the relevant building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments (Net Zero, same salary for same role, Financial Health and Inclusion) to enable a more equal and sustainable society. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 437 The governments supporting measures and monetary policy response of the supervisors deployed in the 2020 have had a substantial positive impact in addressing the Covid-19 crisis. As far as ECB’s jurisdiction is concerned, it is likely the monetary policy remains accommodative in the medium-term perspective, maintaining flexibility also in view of the current uncertainty regarding inflation pressure At the same time, the institutions should prepare for the phase out of central bank facilities. The accelerated digitalization and substantial shift towards remote-based operating model started back in 2020 continue to pose risks related to the cyber security environment as well as those linked with IT malfunctioning. Since the pandemic outbreak, UniCredit addressed the crisis putting in place and constantly enhancing pre-emptive measures and guidelines to face the Covid-19 emergency, proactive managing the evolving situation across all dimensions of its risk profile. The Group ensures any uncertainties, including those conditioned by the context, described above, are properly addressed via its comprehensive risk management framework (e.g., stress testing). 2. Macroeconomic and (geo-)political challenges After the substantial immediate impact of the Covid-19 crisis holding back the global economy throughout the whole 2020, during 2021 signs of faster economic growth emerged with unemployment rates going down as businesses getting back on track, stock markets welcoming positive profitability trends of many listed companies. However, these signs have to be considered together with some key potential drawbacks linked to: 1) the above mentioned issue with uneven vaccination progress around the globe is crucial for determining how stable and fast will be the economic recovery; 2) imbalances between supply and demand as observed during last year (e.g. also sharply rise in cross-continental shipping costs), higher inflation, increasing at the end of the year 3) impact of withdrawal of state and monetary policy stimulus in particular in case of swift tightening measures . In addition to those factors, the following global trends and challenges on the geopolitical arena continue to be considered relevant. The United States government was focused on supporting its economy throughout the year amid the pandemic and markets volatility, especially in the second half of the year. As far as US foreign policy concerns, it highlighted re-engaging with global institutions and working on reinforcing relations with its key allies, positioning itself as one of the central players in addressing global crises. One of the signature accomplishment of US government in 2021 was the definitive withdrawal of American troops from Afghanistan, receiving controversial reaction on international arena, especially in light of the unrecognised Taliban government taking over the country soon after, increasing instability in the region. One of the most relevant risks emerged closer to the year-end regards the intensified Russia-Ukraine tensions implying the risk of US and other Western countries imposing severe sanctions against Russia, should the situation deteriorate critically (e.g., military actions). The later could have more broad-based negative consequences on inflation, market volatility, energy cost, particularly relevant for Eurozone. Moreover, the US-China tensions remain under watch, in addition to the ones between China and his neighbours, including Taiwan, South Korea, Japan and Vietnam. The US negotiations to rejoin the Iran nuclear deal are making progress with attention needed on the tensions between Iran, Israel, and Saudi Arabia around the subject. 3. The climate-related and environmental risks In November 2019 UniCredit announced a set of sustainability targets embedding several commitments related to environment, social and governance (ESG). Moreover, in line with its aim for a continuous further integration of several sustainability topics in the business strategies of the Group, a long-term journey aimed at defining its new ESG strategy was launched in 2020 and represents a key component of a wider ongoing strategic review. The last step of the journey consisted in the completion of a the ESG strategy, a key component of the new Group Strategic plan, launched and communicated to Group stakeholders during the Strategy Day held on 9 December 2021. The underlying goal of this strategy is to integrate all ESG factors in Group’s strategy, core business and processes, taking into account both risks and market opportunities and with a clear multi-stakeholder approach. Group ESG strategy is built around four fundamentals: • leading by example, striving for the same high standards that the Group seeks from those it does business with; • setting ambitious ESG goals to support its customers’ need for change; • equipping the Group with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across the relevant building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments (Net Zero, same salary for same role, Financial Health and Inclusion) to enable a more equal and sustainable society. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 437 The governments supporting measures and monetary policy response of the supervisors deployed in the 2020 have had a substantial positive impact in addressing the Covid-19 crisis. As far as ECB’s jurisdiction is concerned, it is likely the monetary policy remains accommodative in the medium-term perspective, maintaining flexibility also in view of the current uncertainty regarding inflation pressure At the same time, the institutions should prepare for the phase out of central bank facilities. The accelerated digitalization and substantial shift towards remote-based operating model started back in 2020 continue to pose risks related to the cyber security environment as well as those linked with IT malfunctioning. Since the pandemic outbreak, UniCredit addressed the crisis putting in place and constantly enhancing pre-emptive measures and guidelines to face the Covid-19 emergency, proactive managing the evolving situation across all dimensions of its risk profile. The Group ensures any uncertainties, including those conditioned by the context, described above, are properly addressed via its comprehensive risk management framework (e.g., stress testing). 2. Macroeconomic and (geo-)political challenges After the substantial immediate impact of the Covid-19 crisis holding back the global economy throughout the whole 2020, during 2021 signs of faster economic growth emerged with unemployment rates going down as businesses getting back on track, stock markets welcoming positive profitability trends of many listed companies. However, these signs have to be considered together with some key potential drawbacks linked to: 1) the above mentioned issue with uneven vaccination progress around the globe is crucial for determining how stable and fast will be the economic recovery; 2) imbalances between supply and demand as observed during last year (e.g. also sharply rise in cross-continental shipping costs), higher inflation, increasing at the end of the year 3) impact of withdrawal of state and monetary policy stimulus in particular in case of swift tightening measures . In addition to those factors, the following global trends and challenges on the geopolitical arena continue to be considered relevant. The United States government was focused on supporting its economy throughout the year amid the pandemic and markets volatility, especially in the second half of the year. As far as US foreign policy concerns, it highlighted re-engaging with global institutions and working on reinforcing relations with its key allies, positioning itself as one of the central players in addressing global crises. One of the signature accomplishment of US government in 2021 was the definitive withdrawal of American troops from Afghanistan, receiving controversial reaction on international arena, especially in light of the unrecognised Taliban government taking over the country soon after, increasing instability in the region. One of the most relevant risks emerged closer to the year-end regards the intensified Russia-Ukraine tensions implying the risk of US and other Western countries imposing severe sanctions against Russia, should the situation deteriorate critically (e.g., military actions). The later could have more broad-based negative consequences on inflation, market volatility, energy cost, particularly relevant for Eurozone. Moreover, the US-China tensions remain under watch, in addition to the ones between China and his neighbours, including Taiwan, South Korea, Japan and Vietnam. The US negotiations to rejoin the Iran nuclear deal are making progress with attention needed on the tensions between Iran, Israel, and Saudi Arabia around the subject. 3. The climate-related and environmental risks In November 2019 UniCredit announced a set of sustainability targets embedding several commitments related to environment, social and governance (ESG). Moreover, in line with its aim for a continuous further integration of several sustainability topics in the business strategies of the Group, a long-term journey aimed at defining its new ESG strategy was launched in 2020 and represents a key component of a wider ongoing strategic review. The last step of the journey consisted in the completion of a the ESG strategy, a key component of the new Group Strategic plan, launched and communicated to Group stakeholders during the Strategy Day held on 9 December 2021. The underlying goal of this strategy is to integrate all ESG factors in Group’s strategy, core business and processes, taking into account both risks and market opportunities and with a clear multi-stakeholder approach. Group ESG strategy is built around four fundamentals: • leading by example, striving for the same high standards that the Group seeks from those it does business with; • setting ambitious ESG goals to support its customers’ need for change; • equipping the Group with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across the relevant building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments (Net Zero, same salary for same role, Financial Health and Inclusion) to enable a more equal and sustainable society. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 438 2021 Annual Report and Accounts · UniCredit The ESG Strategy was built around Group’s principles and beliefs across the Environmental, Social and Governance dimensions, based on clear business goals and key strategic actions across four building blocks, ensuring deliverables through transparent enablers. In line with its strategy in October 2021 UniCredit joined the NZBA67, aiming at aligning its lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement. Alliance members commit to: • set scenario-based interim targets for 2030 or sooner for priority sectors; • prioritise areas of most significant impact, i.e. the most greenhouse gas-intensive and emitting sectors; • annually publish emissions and emissions intensity; • take into account the best available scientific knowledge; • set first target(s) within 18 months of signing and report annually thereafter; • disclose progress against a board-level reviewed transition strategy. UniCredit has coherently started to investigate the key pre-requisites necessary to navigate through all phases along the process to Net Zero, firstly focusing on mapping the areas/sectors to be considered in the perimeter and highlighting the emissions baseline, in order to define which type of target best serves the scientific robustness of its commitment. The Group is setting up a dedicated task force to achieve this goal, with the aim to coordinate the task at Group Level, bringing together all the relevant skills and competencies. The Group looks forward to engaging with its clients to support them in their transition plans and accelerate action on climate. Consistently with its fundamentals the Group has set a series of ESG objective relating to both its operations and its business practices. With reference to its operation the Group: • has cut its greenhouse gas emissions by more than half since 2008 and its on track to achieve Net Zero by 2030. All electricity consumption in the bank's buildings in Italy and Germany come from renewable energy sources, with Austria close to reach the same level; • will be plastic free by 2022 through incentivizing the use of metal drinking bottles across the Group and disincentivizing the use of plastic bottles; • continues reducing the use of paper68. Almost all of the copy paper used groupwide holds an environmental label with prevalence of copy paper used groupwide is Forest Stewardship Council (FSC) or Programme for the Endorsement of Forest Certification (PEFC) certified. 67 The Net-Zero Banking Alliance (NZBA) is convened by the United Nations Environment Programme Finance Initiative and is the banking element of the Glasgow Financial Alliance for Net Zero, chaired by Mark Carney, UN Special Envoy on Climate Action and Finance ahead of COP 26. Representing more than a third of global banking assets, with over 84 members from 36 countries and $64 trillion in total assets (as of October 2021), the Alliance is a critical step in the mobilisation of the financial sector for climate. It recognises the vital role of banks in supporting the global transition of the real economy to net-zero emissions, encompassing both operational and attributable emissions, including Scope 3 emissions. 68 The Paperless program, terminated at 1H21, boosted digital signature adoption through enhancement of private customers behavior and engagement initiatives. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 438 2021 Annual Report and Accounts · UniCredit The ESG Strategy was built around Group’s principles and beliefs across the Environmental, Social and Governance dimensions, based on clear business goals and key strategic actions across four building blocks, ensuring deliverables through transparent enablers. In line with its strategy in October 2021 UniCredit joined the NZBA67, aiming at aligning its lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement. Alliance members commit to: • set scenario-based interim targets for 2030 or sooner for priority sectors; • prioritise areas of most significant impact, i.e. the most greenhouse gas-intensive and emitting sectors; • annually publish emissions and emissions intensity; • take into account the best available scientific knowledge; • set first target(s) within 18 months of signing and report annually thereafter; • disclose progress against a board-level reviewed transition strategy. UniCredit has coherently started to investigate the key pre-requisites necessary to navigate through all phases along the process to Net Zero, firstly focusing on mapping the areas/sectors to be considered in the perimeter and highlighting the emissions baseline, in order to define which type of target best serves the scientific robustness of its commitment. The Group is setting up a dedicated task force to achieve this goal, with the aim to coordinate the task at Group Level, bringing together all the relevant skills and competencies. The Group looks forward to engaging with its clients to support them in their transition plans and accelerate action on climate. Consistently with its fundamentals the Group has set a series of ESG objective relating to both its operations and its business practices. With reference to its operation the Group: • has cut its greenhouse gas emissions by more than half since 2008 and its on track to achieve Net Zero by 2030. All electricity consumption in the bank's buildings in Italy and Germany come from renewable energy sources, with Austria close to reach the same level; • will be plastic free by 2022 through incentivizing the use of metal drinking bottles across the Group and disincentivizing the use of plastic bottles; • continues reducing the use of paper68. Almost all of the copy paper used groupwide holds an environmental label with prevalence of copy paper used groupwide is Forest Stewardship Council (FSC) or Programme for the Endorsement of Forest Certification (PEFC) certified. 67 The Net-Zero Banking Alliance (NZBA) is convened by the United Nations Environment Programme Finance Initiative and is the banking element of the Glasgow Financial Alliance for Net Zero, chaired by Mark Carney, UN Special Envoy on Climate Action and Finance ahead of COP 26. Representing more than a third of global banking assets, with over 84 members from 36 countries and $64 trillion in total assets (as of October 2021), the Alliance is a critical step in the mobilisation of the financial sector for climate. It recognises the vital role of banks in supporting the global transition of the real economy to net-zero emissions, encompassing both operational and attributable emissions, including Scope 3 emissions. 68 The Paperless program, terminated at 1H21, boosted digital signature adoption through enhancement of private customers behavior and engagement initiatives. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 438 2021 Annual Report and Accounts · UniCredit The ESG Strategy was built around Group’s principles and beliefs across the Environmental, Social and Governance dimensions, based on clear business goals and key strategic actions across four building blocks, ensuring deliverables through transparent enablers. In line with its strategy in October 2021 UniCredit joined the NZBA67, aiming at aligning its lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement. Alliance members commit to: • set scenario-based interim targets for 2030 or sooner for priority sectors; • prioritise areas of most significant impact, i.e. the most greenhouse gas-intensive and emitting sectors; • annually publish emissions and emissions intensity; • take into account the best available scientific knowledge; • set first target(s) within 18 months of signing and report annually thereafter; • disclose progress against a board-level reviewed transition strategy. UniCredit has coherently started to investigate the key pre-requisites necessary to navigate through all phases along the process to Net Zero, firstly focusing on mapping the areas/sectors to be considered in the perimeter and highlighting the emissions baseline, in order to define which type of target best serves the scientific robustness of its commitment. The Group is setting up a dedicated task force to achieve this goal, with the aim to coordinate the task at Group Level, bringing together all the relevant skills and competencies. The Group looks forward to engaging with its clients to support them in their transition plans and accelerate action on climate. Consistently with its fundamentals the Group has set a series of ESG objective relating to both its operations and its business practices. With reference to its operation the Group: • has cut its greenhouse gas emissions by more than half since 2008 and its on track to achieve Net Zero by 2030. All electricity consumption in the bank's buildings in Italy and Germany come from renewable energy sources, with Austria close to reach the same level; • will be plastic free by 2022 through incentivizing the use of metal drinking bottles across the Group and disincentivizing the use of plastic bottles; • continues reducing the use of paper68. Almost all of the copy paper used groupwide holds an environmental label with prevalence of copy paper used groupwide is Forest Stewardship Council (FSC) or Programme for the Endorsement of Forest Certification (PEFC) certified. 67 The Net-Zero Banking Alliance (NZBA) is convened by the United Nations Environment Programme Finance Initiative and is the banking element of the Glasgow Financial Alliance for Net Zero, chaired by Mark Carney, UN Special Envoy on Climate Action and Finance ahead of COP 26. Representing more than a third of global banking assets, with over 84 members from 36 countries and $64 trillion in total assets (as of October 2021), the Alliance is a critical step in the mobilisation of the financial sector for climate. It recognises the vital role of banks in supporting the global transition of the real economy to net-zero emissions, encompassing both operational and attributable emissions, including Scope 3 emissions. 68 The Paperless program, terminated at 1H21, boosted digital signature adoption through enhancement of private customers behavior and engagement initiatives. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 438 2021 Annual Report and Accounts · UniCredit The ESG Strategy was built around Group’s principles and beliefs across the Environmental, Social and Governance dimensions, based on clear business goals and key strategic actions across four building blocks, ensuring deliverables through transparent enablers. In line with its strategy in October 2021 UniCredit joined the NZBA67, aiming at aligning its lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement. Alliance members commit to: • set scenario-based interim targets for 2030 or sooner for priority sectors; • prioritise areas of most significant impact, i.e. the most greenhouse gas-intensive and emitting sectors; • annually publish emissions and emissions intensity; • take into account the best available scientific knowledge; • set first target(s) within 18 months of signing and report annually thereafter; • disclose progress against a board-level reviewed transition strategy. UniCredit has coherently started to investigate the key pre-requisites necessary to navigate through all phases along the process to Net Zero, firstly focusing on mapping the areas/sectors to be considered in the perimeter and highlighting the emissions baseline, in order to define which type of target best serves the scientific robustness of its commitment. The Group is setting up a dedicated task force to achieve this goal, with the aim to coordinate the task at Group Level, bringing together all the relevant skills and competencies. The Group looks forward to engaging with its clients to support them in their transition plans and accelerate action on climate. Consistently with its fundamentals the Group has set a series of ESG objective relating to both its operations and its business practices. With reference to its operation the Group: • has cut its greenhouse gas emissions by more than half since 2008 and its on track to achieve Net Zero by 2030. All electricity consumption in the bank's buildings in Italy and Germany come from renewable energy sources, with Austria close to reach the same level; • will be plastic free by 2022 through incentivizing the use of metal drinking bottles across the Group and disincentivizing the use of plastic bottles; • continues reducing the use of paper68. Almost all of the copy paper used groupwide holds an environmental label with prevalence of copy paper used groupwide is Forest Stewardship Council (FSC) or Programme for the Endorsement of Forest Certification (PEFC) certified. 67 The Net-Zero Banking Alliance (NZBA) is convened by the United Nations Environment Programme Finance Initiative and is the banking element of the Glasgow Financial Alliance for Net Zero, chaired by Mark Carney, UN Special Envoy on Climate Action and Finance ahead of COP 26. Representing more than a third of global banking assets, with over 84 members from 36 countries and $64 trillion in total assets (as of October 2021), the Alliance is a critical step in the mobilisation of the financial sector for climate. It recognises the vital role of banks in supporting the global transition of the real economy to net-zero emissions, encompassing both operational and attributable emissions, including Scope 3 emissions. 68 The Paperless program, terminated at 1H21, boosted digital signature adoption through enhancement of private customers behavior and engagement initiatives. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 438 2021 Annual Report and Accounts · UniCredit The ESG Strategy was built around Group’s principles and beliefs across the Environmental, Social and Governance dimensions, based on clear business goals and key strategic actions across four building blocks, ensuring deliverables through transparent enablers. In line with its strategy in October 2021 UniCredit joined the NZBA67, aiming at aligning its lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement. Alliance members commit to: • set scenario-based interim targets for 2030 or sooner for priority sectors; • prioritise areas of most significant impact, i.e. the most greenhouse gas-intensive and emitting sectors; • annually publish emissions and emissions intensity; • take into account the best available scientific knowledge; • set first target(s) within 18 months of signing and report annually thereafter; • disclose progress against a board-level reviewed transition strategy. UniCredit has coherently started to investigate the key pre-requisites necessary to navigate through all phases along the process to Net Zero, firstly focusing on mapping the areas/sectors to be considered in the perimeter and highlighting the emissions baseline, in order to define which type of target best serves the scientific robustness of its commitment. The Group is setting up a dedicated task force to achieve this goal, with the aim to coordinate the task at Group Level, bringing together all the relevant skills and competencies. The Group looks forward to engaging with its clients to support them in their transition plans and accelerate action on climate. Consistently with its fundamentals the Group has set a series of ESG objective relating to both its operations and its business practices. With reference to its operation the Group: • has cut its greenhouse gas emissions by more than half since 2008 and its on track to achieve Net Zero by 2030. All electricity consumption in the bank's buildings in Italy and Germany come from renewable energy sources, with Austria close to reach the same level; • will be plastic free by 2022 through incentivizing the use of metal drinking bottles across the Group and disincentivizing the use of plastic bottles; • continues reducing the use of paper68. Almost all of the copy paper used groupwide holds an environmental label with prevalence of copy paper used groupwide is Forest Stewardship Council (FSC) or Programme for the Endorsement of Forest Certification (PEFC) certified. 67 The Net-Zero Banking Alliance (NZBA) is convened by the United Nations Environment Programme Finance Initiative and is the banking element of the Glasgow Financial Alliance for Net Zero, chaired by Mark Carney, UN Special Envoy on Climate Action and Finance ahead of COP 26. Representing more than a third of global banking assets, with over 84 members from 36 countries and $64 trillion in total assets (as of October 2021), the Alliance is a critical step in the mobilisation of the financial sector for climate. It recognises the vital role of banks in supporting the global transition of the real economy to net-zero emissions, encompassing both operational and attributable emissions, including Scope 3 emissions. 68 The Paperless program, terminated at 1H21, boosted digital signature adoption through enhancement of private customers behavior and engagement initiatives. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 439 With reference to its business practice UniCredit has committed to reach ESG volumes of €150 billion over its Multi Year Plan horizon (2022-2024) through expanding: • environmental lending: €25 billion new origination; • ESG investment products: €65 billion Asset under Management conversion to ESG investments; • Sustainable bonds: €50 billion in Debt Capital Market; • Social Lending: €10 billion new origination. In order to achieve its objectives, the Group: • is partnering with customers in the shift to a low carbon economy; • is assessing its portfolio exposure to climate risk through projects like the Paris Agreement on Capital Transition Assessment (PACTA) in partnership with 2 degrees investments initiative69; • specific policies and commitments have been put in place which contribute to human rights topics such as the Code of Conduct, the Anti-Bribery and Anti-Corruption Global Policy, the Anti-Bribery and Anti-Corruption Global Operational Regulation, the Whistleblowing Policy and the Anti-Money Laundering (AML) and Countering of Terrorist Financing (CTF) Policy, guided by the Group’s Ethics Manifesto as well as Commitment to Human Rights. Furthermore, detailed guidance and policies have been developed for those sectors relevant to UniCredit that are susceptible to special environmental and social risks70. These policies are inspired by agreements, guidelines and standards (including the International Finance Corporation Performance Standards, the World Bank Group Environmental, Health and Safety Guidelines and the principles of the UN Global Compact), as well as other practices widely employed by specific industries. UniCredit ESG Governance In order to reach the objective of further embedding ESG criteria in the Group strategy, UniCredit's sustainability governance has undergone a profound evolution over the past year which has particularly accelerated in the course of recent months. The changes concern both the Board and the managerial levels of its governance. UniCredit Board of Directors UniCredit Board of Directors defines the overall strategy of the Bank, which incorporates the Group’s ESG Strategy, and oversees its implementation over time. The Board approves the bank’s Risk Appetite Framework which establishes the desired risk profile vis-à-vis its short and long-term strategic objectives and business plan. Focusing primarily on environmental topics related to climate change, in 2020 the Board integrated the overall risk management framework with Environmental, Social and Governance (ESG) factors by: • increasing support to the renewable energy sector; • entering the Top #5 positioning for combined EMEA Green Bonds & ESG-linked loans; • increasing the existing stock of energy efficiency loans to SMEs and individuals in Western Europe; • originating new energy efficiency loans to individuals and SMEs among the total CEE loans originated. These new indicators are monitored and reported to the Board on a quarterly basis. 69 The 2° Investing Initiative (2DII) is an international, non-profit think tank working to align financial markets with the Paris Agreement goals. Refer to 2020 TCFD Report published on UniCredit official website for more information. 70 In more details the Group has issued policies and commitments on the following matters: Oil and Gas, Defense/Weapons, Coal Sector, Mining, Nuclear Energy, Water infrastructure, Human rights, Modern Slavery and Rainforest. For additional information refer to Sustainability governance on UniCredit official website. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 439 With reference to its business practice UniCredit has committed to reach ESG volumes of €150 billion over its Multi Year Plan horizon (2022-2024) through expanding: • environmental lending: €25 billion new origination; • ESG investment products: €65 billion Asset under Management conversion to ESG investments; • Sustainable bonds: €50 billion in Debt Capital Market; • Social Lending: €10 billion new origination. In order to achieve its objectives, the Group: • is partnering with customers in the shift to a low carbon economy; • is assessing its portfolio exposure to climate risk through projects like the Paris Agreement on Capital Transition Assessment (PACTA) in partnership with 2 degrees investments initiative69; • specific policies and commitments have been put in place which contribute to human rights topics such as the Code of Conduct, the Anti-Bribery and Anti-Corruption Global Policy, the Anti-Bribery and Anti-Corruption Global Operational Regulation, the Whistleblowing Policy and the Anti-Money Laundering (AML) and Countering of Terrorist Financing (CTF) Policy, guided by the Group’s Ethics Manifesto as well as Commitment to Human Rights. Furthermore, detailed guidance and policies have been developed for those sectors relevant to UniCredit that are susceptible to special environmental and social risks70. These policies are inspired by agreements, guidelines and standards (including the International Finance Corporation Performance Standards, the World Bank Group Environmental, Health and Safety Guidelines and the principles of the UN Global Compact), as well as other practices widely employed by specific industries. UniCredit ESG Governance In order to reach the objective of further embedding ESG criteria in the Group strategy, UniCredit's sustainability governance has undergone a profound evolution over the past year which has particularly accelerated in the course of recent months. The changes concern both the Board and the managerial levels of its governance. UniCredit Board of Directors UniCredit Board of Directors defines the overall strategy of the Bank, which incorporates the Group’s ESG Strategy, and oversees its implementation over time. The Board approves the bank’s Risk Appetite Framework which establishes the desired risk profile vis-à-vis its short and long-term strategic objectives and business plan. Focusing primarily on environmental topics related to climate change, in 2020 the Board integrated the overall risk management framework with Environmental, Social and Governance (ESG) factors by: • increasing support to the renewable energy sector; • entering the Top #5 positioning for combined EMEA Green Bonds & ESG-linked loans; • increasing the existing stock of energy efficiency loans to SMEs and individuals in Western Europe; • originating new energy efficiency loans to individuals and SMEs among the total CEE loans originated. These new indicators are monitored and reported to the Board on a quarterly basis. 69 The 2° Investing Initiative (2DII) is an international, non-profit think tank working to align financial markets with the Paris Agreement goals. Refer to 2020 TCFD Report published on UniCredit official website for more information. 70 In more details the Group has issued policies and commitments on the following matters: Oil and Gas, Defense/Weapons, Coal Sector, Mining, Nuclear Energy, Water infrastructure, Human rights, Modern Slavery and Rainforest. For additional information refer to Sustainability governance on UniCredit official website. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 439 With reference to its business practice UniCredit has committed to reach ESG volumes of €150 billion over its Multi Year Plan horizon (2022-2024) through expanding: • environmental lending: €25 billion new origination; • ESG investment products: €65 billion Asset under Management conversion to ESG investments; • Sustainable bonds: €50 billion in Debt Capital Market; • Social Lending: €10 billion new origination. In order to achieve its objectives, the Group: • is partnering with customers in the shift to a low carbon economy; • is assessing its portfolio exposure to climate risk through projects like the Paris Agreement on Capital Transition Assessment (PACTA) in partnership with 2 degrees investments initiative69; • specific policies and commitments have been put in place which contribute to human rights topics such as the Code of Conduct, the Anti-Bribery and Anti-Corruption Global Policy, the Anti-Bribery and Anti-Corruption Global Operational Regulation, the Whistleblowing Policy and the Anti-Money Laundering (AML) and Countering of Terrorist Financing (CTF) Policy, guided by the Group’s Ethics Manifesto as well as Commitment to Human Rights. Furthermore, detailed guidance and policies have been developed for those sectors relevant to UniCredit that are susceptible to special environmental and social risks70. These policies are inspired by agreements, guidelines and standards (including the International Finance Corporation Performance Standards, the World Bank Group Environmental, Health and Safety Guidelines and the principles of the UN Global Compact), as well as other practices widely employed by specific industries. UniCredit ESG Governance In order to reach the objective of further embedding ESG criteria in the Group strategy, UniCredit's sustainability governance has undergone a profound evolution over the past year which has particularly accelerated in the course of recent months. The changes concern both the Board and the managerial levels of its governance. UniCredit Board of Directors UniCredit Board of Directors defines the overall strategy of the Bank, which incorporates the Group’s ESG Strategy, and oversees its implementation over time. The Board approves the bank’s Risk Appetite Framework which establishes the desired risk profile vis-à-vis its short and long-term strategic objectives and business plan. Focusing primarily on environmental topics related to climate change, in 2020 the Board integrated the overall risk management framework with Environmental, Social and Governance (ESG) factors by: • increasing support to the renewable energy sector; • entering the Top #5 positioning for combined EMEA Green Bonds & ESG-linked loans; • increasing the existing stock of energy efficiency loans to SMEs and individuals in Western Europe; • originating new energy efficiency loans to individuals and SMEs among the total CEE loans originated. These new indicators are monitored and reported to the Board on a quarterly basis. 69 The 2° Investing Initiative (2DII) is an international, non-profit think tank working to align financial markets with the Paris Agreement goals. Refer to 2020 TCFD Report published on UniCredit official website for more information. 70 In more details the Group has issued policies and commitments on the following matters: Oil and Gas, Defense/Weapons, Coal Sector, Mining, Nuclear Energy, Water infrastructure, Human rights, Modern Slavery and Rainforest. For additional information refer to Sustainability governance on UniCredit official website. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 439 With reference to its business practice UniCredit has committed to reach ESG volumes of €150 billion over its Multi Year Plan horizon (2022-2024) through expanding: • environmental lending: €25 billion new origination; • ESG investment products: €65 billion Asset under Management conversion to ESG investments; • Sustainable bonds: €50 billion in Debt Capital Market; • Social Lending: €10 billion new origination. In order to achieve its objectives, the Group: • is partnering with customers in the shift to a low carbon economy; • is assessing its portfolio exposure to climate risk through projects like the Paris Agreement on Capital Transition Assessment (PACTA) in partnership with 2 degrees investments initiative69; • specific policies and commitments have been put in place which contribute to human rights topics such as the Code of Conduct, the Anti-Bribery and Anti-Corruption Global Policy, the Anti-Bribery and Anti-Corruption Global Operational Regulation, the Whistleblowing Policy and the Anti-Money Laundering (AML) and Countering of Terrorist Financing (CTF) Policy, guided by the Group’s Ethics Manifesto as well as Commitment to Human Rights. Furthermore, detailed guidance and policies have been developed for those sectors relevant to UniCredit that are susceptible to special environmental and social risks70. These policies are inspired by agreements, guidelines and standards (including the International Finance Corporation Performance Standards, the World Bank Group Environmental, Health and Safety Guidelines and the principles of the UN Global Compact), as well as other practices widely employed by specific industries. UniCredit ESG Governance In order to reach the objective of further embedding ESG criteria in the Group strategy, UniCredit's sustainability governance has undergone a profound evolution over the past year which has particularly accelerated in the course of recent months. The changes concern both the Board and the managerial levels of its governance. UniCredit Board of Directors UniCredit Board of Directors defines the overall strategy of the Bank, which incorporates the Group’s ESG Strategy, and oversees its implementation over time. The Board approves the bank’s Risk Appetite Framework which establishes the desired risk profile vis-à-vis its short and long-term strategic objectives and business plan. Focusing primarily on environmental topics related to climate change, in 2020 the Board integrated the overall risk management framework with Environmental, Social and Governance (ESG) factors by: • increasing support to the renewable energy sector; • entering the Top #5 positioning for combined EMEA Green Bonds & ESG-linked loans; • increasing the existing stock of energy efficiency loans to SMEs and individuals in Western Europe; • originating new energy efficiency loans to individuals and SMEs among the total CEE loans originated. These new indicators are monitored and reported to the Board on a quarterly basis. 69 The 2° Investing Initiative (2DII) is an international, non-profit think tank working to align financial markets with the Paris Agreement goals. Refer to 2020 TCFD Report published on UniCredit official website for more information. 70 In more details the Group has issued policies and commitments on the following matters: Oil and Gas, Defense/Weapons, Coal Sector, Mining, Nuclear Energy, Water infrastructure, Human rights, Modern Slavery and Rainforest. For additional information refer to Sustainability governance on UniCredit official website. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 439 With reference to its business practice UniCredit has committed to reach ESG volumes of €150 billion over its Multi Year Plan horizon (2022-2024) through expanding: • environmental lending: €25 billion new origination; • ESG investment products: €65 billion Asset under Management conversion to ESG investments; • Sustainable bonds: €50 billion in Debt Capital Market; • Social Lending: €10 billion new origination. In order to achieve its objectives, the Group: • is partnering with customers in the shift to a low carbon economy; • is assessing its portfolio exposure to climate risk through projects like the Paris Agreement on Capital Transition Assessment (PACTA) in partnership with 2 degrees investments initiative69; • specific policies and commitments have been put in place which contribute to human rights topics such as the Code of Conduct, the Anti-Bribery and Anti-Corruption Global Policy, the Anti-Bribery and Anti-Corruption Global Operational Regulation, the Whistleblowing Policy and the Anti-Money Laundering (AML) and Countering of Terrorist Financing (CTF) Policy, guided by the Group’s Ethics Manifesto as well as Commitment to Human Rights. Furthermore, detailed guidance and policies have been developed for those sectors relevant to UniCredit that are susceptible to special environmental and social risks70. These policies are inspired by agreements, guidelines and standards (including the International Finance Corporation Performance Standards, the World Bank Group Environmental, Health and Safety Guidelines and the principles of the UN Global Compact), as well as other practices widely employed by specific industries. UniCredit ESG Governance In order to reach the objective of further embedding ESG criteria in the Group strategy, UniCredit's sustainability governance has undergone a profound evolution over the past year which has particularly accelerated in the course of recent months. The changes concern both the Board and the managerial levels of its governance. UniCredit Board of Directors UniCredit Board of Directors defines the overall strategy of the Bank, which incorporates the Group’s ESG Strategy, and oversees its implementation over time. The Board approves the bank’s Risk Appetite Framework which establishes the desired risk profile vis-à-vis its short and long-term strategic objectives and business plan. Focusing primarily on environmental topics related to climate change, in 2020 the Board integrated the overall risk management framework with Environmental, Social and Governance (ESG) factors by: • increasing support to the renewable energy sector; • entering the Top #5 positioning for combined EMEA Green Bonds & ESG-linked loans; • increasing the existing stock of energy efficiency loans to SMEs and individuals in Western Europe; • originating new energy efficiency loans to individuals and SMEs among the total CEE loans originated. These new indicators are monitored and reported to the Board on a quarterly basis. 69 The 2° Investing Initiative (2DII) is an international, non-profit think tank working to align financial markets with the Paris Agreement goals. Refer to 2020 TCFD Report published on UniCredit official website for more information. 70 In more details the Group has issued policies and commitments on the following matters: Oil and Gas, Defense/Weapons, Coal Sector, Mining, Nuclear Energy, Water infrastructure, Human rights, Modern Slavery and Rainforest. For additional information refer to Sustainability governance on UniCredit official website. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 440 2021 Annual Report and Accounts · UniCredit In April 2021, the Shareholders Meeting appointed the new UniCredit Board of Directors. In the relevant framework for the Board of Directors' renewal process, "Sustainability" was one of the core competencies recommended within the qualitative and quantitative Board of Directors' profile. The Internal Controls & Risks Committee (ICRC) supports the Board of Directors in risk management and control-related issues: in defining and approving strategic guidelines and risk management policies with specific reference to risk appetite and risk tolerance as well as in verifying that risk strategies, management policies and the Risk Appetite Framework (RAF) are correctly implemented. A new ESG Committee was created in April 2021. The purpose of the new Committee, which takes over the sustainability responsibilities previously assigned to the Corporate Governance, Nomination and Sustainability Committee, is to support the Board of Directors in fulfilling its responsibilities with respect to the ESG integral components on the Group's business strategy and sustainability. The ESG Committee shall provide opinions and support to the other Board Committees to ensure the alignment of the Group's policies to UniCredit's ESG principles and objectives. The Committee also oversees the ESG and sustainability related developments also considering international guidelines and principles and market developments, monitoring the positioning of the Group with respect to national and international best practices in the ESG field. Management role At management level, dedicated committees and specialised functions ensure the execution of the Group strategy, correctly managing climate-related risks in the line with the agreed RAF while taking advantage of the business opportunities arising from the transition to a low-carbon economy. These functions are: • the Group Executive Committee (GEC) was created in May 2021 and replaces the former Executive Management Committee; • a subgroup of the GEC members forms a dedicated ESG Strategy Council, engages selected members of the Committee suites to provide oversight and strategic guidance across business units, regions and functions on the definition and implementation of ESG Strategy; • the Group Non-Financial Risks and Controls Committee (GNFRCC) supports the CEO in the role of steering and monitoring Non Financial Risks; • CEO Office comprises Group Strategy and Optimisation and Stakeholders Engagement functions. It deals with all critical initiatives for the CEO, such as Strategy and M&A, Group Transformation Office, Group Investor Relations, Group Identity and Communications, Group Institutional Affairs and Group Regulatory Affairs; • with reference to ESG matters CEO Office comprises the Group ESG Strategy & Impact Banking function ensuring the integration of ESG priorities, including climate change, in the strategy and business of the Bank. It is part of the CEO Office; • the Group Risk Management function supports the CEO in defining the Group Risk Appetite proposal, to be shared with the Group Executive Committee (GEC) and Internal Controls & Risks Committee and submitted for approval to the Board of Directors. It includes a dedicated Global Unit created to oversee climate-related and environmental risks and climate-related topics: the Group Climate & Environmental Risk Management structure defines assessment methodologies aimed at measuring the impacts related to climate change and environmental risks and monitors the credit risk in the portfolio. In this framework: - it supports the analysis of the impacts of climate change and environmental risks on existing risk categories (credit risk, market risk, liquidity risk and operational risk); - it defines and applies a methodology for quantifying climate change-related transition risk regarding credit counterparties; - it monitors portfolio credit risks leveraging the analysis of sector/geographic concentration, exposure limits, deleveraging strategies, scenario analysis and stress testing; - it assesses Physical Risk71 related to climatic aspects, with a specific focus on the potential impact on the valuation of mortgage collateral; - it supports regular reporting internally and to supervisory authorities on issues related to climate and environmental risk; • a Sustainable Finance Advisory Team (part of UniCredit Corporate & Investment Banking) has been operating since 2019 with the aim of more effectively advising customers on ESG related topics and facilitate their access to Europe’s sustainable finance market. The team also advises on brown-to-green transition strategies and supports all steps of an ESG finance procedure. The group of clients comprises corporates, financials, sovereigns, supranational and agencies. The Sustainable Finance Advisory Team is also responsible for ensuring that relevant transactions in the Group comply with the Equator Principles, the financial industry benchmark for determining, assessing and managing environmental and social risk in projects. Finally in order to support customers in seizing opportunities deriving from the ecological transition, in all the major countries in which the Group operate dedicated teams in charge of developing and offering new ESG related products and services for corporates and individuals in line with Group’s targets and ambitions have been set up. 71 For further details on Physical Risk refer to 2020 TCFD Report published on UniCredit official website. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 440 2021 Annual Report and Accounts · UniCredit In April 2021, the Shareholders Meeting appointed the new UniCredit Board of Directors. In the relevant framework for the Board of Directors' renewal process, "Sustainability" was one of the core competencies recommended within the qualitative and quantitative Board of Directors' profile. The Internal Controls & Risks Committee (ICRC) supports the Board of Directors in risk management and control-related issues: in defining and approving strategic guidelines and risk management policies with specific reference to risk appetite and risk tolerance as well as in verifying that risk strategies, management policies and the Risk Appetite Framework (RAF) are correctly implemented. A new ESG Committee was created in April 2021. The purpose of the new Committee, which takes over the sustainability responsibilities previously assigned to the Corporate Governance, Nomination and Sustainability Committee, is to support the Board of Directors in fulfilling its responsibilities with respect to the ESG integral components on the Group's business strategy and sustainability. The ESG Committee shall provide opinions and support to the other Board Committees to ensure the alignment of the Group's policies to UniCredit's ESG principles and objectives. The Committee also oversees the ESG and sustainability related developments also considering international guidelines and principles and market developments, monitoring the positioning of the Group with respect to national and international best practices in the ESG field. Management role At management level, dedicated committees and specialised functions ensure the execution of the Group strategy, correctly managing climate-related risks in the line with the agreed RAF while taking advantage of the business opportunities arising from the transition to a low-carbon economy. These functions are: • the Group Executive Committee (GEC) was created in May 2021 and replaces the former Executive Management Committee; • a subgroup of the GEC members forms a dedicated ESG Strategy Council, engages selected members of the Committee suites to provide oversight and strategic guidance across business units, regions and functions on the definition and implementation of ESG Strategy; • the Group Non-Financial Risks and Controls Committee (GNFRCC) supports the CEO in the role of steering and monitoring Non Financial Risks; • CEO Office comprises Group Strategy and Optimisation and Stakeholders Engagement functions. It deals with all critical initiatives for the CEO, such as Strategy and M&A, Group Transformation Office, Group Investor Relations, Group Identity and Communications, Group Institutional Affairs and Group Regulatory Affairs; • with reference to ESG matters CEO Office comprises the Group ESG Strategy & Impact Banking function ensuring the integration of ESG priorities, including climate change, in the strategy and business of the Bank. It is part of the CEO Office; • the Group Risk Management function supports the CEO in defining the Group Risk Appetite proposal, to be shared with the Group Executive Committee (GEC) and Internal Controls & Risks Committee and submitted for approval to the Board of Directors. It includes a dedicated Global Unit created to oversee climate-related and environmental risks and climate-related topics: the Group Climate & Environmental Risk Management structure defines assessment methodologies aimed at measuring the impacts related to climate change and environmental risks and monitors the credit risk in the portfolio. In this framework: - it supports the analysis of the impacts of climate change and environmental risks on existing risk categories (credit risk, market risk, liquidity risk and operational risk); - it defines and applies a methodology for quantifying climate change-related transition risk regarding credit counterparties; - it monitors portfolio credit risks leveraging the analysis of sector/geographic concentration, exposure limits, deleveraging strategies, scenario analysis and stress testing; - it assesses Physical Risk71 related to climatic aspects, with a specific focus on the potential impact on the valuation of mortgage collateral; - it supports regular reporting internally and to supervisory authorities on issues related to climate and environmental risk; • a Sustainable Finance Advisory Team (part of UniCredit Corporate & Investment Banking) has been operating since 2019 with the aim of more effectively advising customers on ESG related topics and facilitate their access to Europe’s sustainable finance market. The team also advises on brown-to-green transition strategies and supports all steps of an ESG finance procedure. The group of clients comprises corporates, financials, sovereigns, supranational and agencies. The Sustainable Finance Advisory Team is also responsible for ensuring that relevant transactions in the Group comply with the Equator Principles, the financial industry benchmark for determining, assessing and managing environmental and social risk in projects. Finally in order to support customers in seizing opportunities deriving from the ecological transition, in all the major countries in which the Group operate dedicated teams in charge of developing and offering new ESG related products and services for corporates and individuals in line with Group’s targets and ambitions have been set up. 71 For further details on Physical Risk refer to 2020 TCFD Report published on UniCredit official website. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 440 2021 Annual Report and Accounts · UniCredit In April 2021, the Shareholders Meeting appointed the new UniCredit Board of Directors. In the relevant framework for the Board of Directors' renewal process, "Sustainability" was one of the core competencies recommended within the qualitative and quantitative Board of Directors' profile. The Internal Controls & Risks Committee (ICRC) supports the Board of Directors in risk management and control-related issues: in defining and approving strategic guidelines and risk management policies with specific reference to risk appetite and risk tolerance as well as in verifying that risk strategies, management policies and the Risk Appetite Framework (RAF) are correctly implemented. A new ESG Committee was created in April 2021. The purpose of the new Committee, which takes over the sustainability responsibilities previously assigned to the Corporate Governance, Nomination and Sustainability Committee, is to support the Board of Directors in fulfilling its responsibilities with respect to the ESG integral components on the Group's business strategy and sustainability. The ESG Committee shall provide opinions and support to the other Board Committees to ensure the alignment of the Group's policies to UniCredit's ESG principles and objectives. The Committee also oversees the ESG and sustainability related developments also considering international guidelines and principles and market developments, monitoring the positioning of the Group with respect to national and international best practices in the ESG field. Management role At management level, dedicated committees and specialised functions ensure the execution of the Group strategy, correctly managing climate-related risks in the line with the agreed RAF while taking advantage of the business opportunities arising from the transition to a low-carbon economy. These functions are: • the Group Executive Committee (GEC) was created in May 2021 and replaces the former Executive Management Committee; • a subgroup of the GEC members forms a dedicated ESG Strategy Council, engages selected members of the Committee suites to provide oversight and strategic guidance across business units, regions and functions on the definition and implementation of ESG Strategy; • the Group Non-Financial Risks and Controls Committee (GNFRCC) supports the CEO in the role of steering and monitoring Non Financial Risks; • CEO Office comprises Group Strategy and Optimisation and Stakeholders Engagement functions. It deals with all critical initiatives for the CEO, such as Strategy and M&A, Group Transformation Office, Group Investor Relations, Group Identity and Communications, Group Institutional Affairs and Group Regulatory Affairs; • with reference to ESG matters CEO Office comprises the Group ESG Strategy & Impact Banking function ensuring the integration of ESG priorities, including climate change, in the strategy and business of the Bank. It is part of the CEO Office; • the Group Risk Management function supports the CEO in defining the Group Risk Appetite proposal, to be shared with the Group Executive Committee (GEC) and Internal Controls & Risks Committee and submitted for approval to the Board of Directors. It includes a dedicated Global Unit created to oversee climate-related and environmental risks and climate-related topics: the Group Climate & Environmental Risk Management structure defines assessment methodologies aimed at measuring the impacts related to climate change and environmental risks and monitors the credit risk in the portfolio. In this framework: - it supports the analysis of the impacts of climate change and environmental risks on existing risk categories (credit risk, market risk, liquidity risk and operational risk); - it defines and applies a methodology for quantifying climate change-related transition risk regarding credit counterparties; - it monitors portfolio credit risks leveraging the analysis of sector/geographic concentration, exposure limits, deleveraging strategies, scenario analysis and stress testing; - it assesses Physical Risk71 related to climatic aspects, with a specific focus on the potential impact on the valuation of mortgage collateral; - it supports regular reporting internally and to supervisory authorities on issues related to climate and environmental risk; • a Sustainable Finance Advisory Team (part of UniCredit Corporate & Investment Banking) has been operating since 2019 with the aim of more effectively advising customers on ESG related topics and facilitate their access to Europe’s sustainable finance market. The team also advises on brown-to-green transition strategies and supports all steps of an ESG finance procedure. The group of clients comprises corporates, financials, sovereigns, supranational and agencies. The Sustainable Finance Advisory Team is also responsible for ensuring that relevant transactions in the Group comply with the Equator Principles, the financial industry benchmark for determining, assessing and managing environmental and social risk in projects. Finally in order to support customers in seizing opportunities deriving from the ecological transition, in all the major countries in which the Group operate dedicated teams in charge of developing and offering new ESG related products and services for corporates and individuals in line with Group’s targets and ambitions have been set up. 71 For further details on Physical Risk refer to 2020 TCFD Report published on UniCredit official website. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 440 2021 Annual Report and Accounts · UniCredit In April 2021, the Shareholders Meeting appointed the new UniCredit Board of Directors. In the relevant framework for the Board of Directors' renewal process, "Sustainability" was one of the core competencies recommended within the qualitative and quantitative Board of Directors' profile. The Internal Controls & Risks Committee (ICRC) supports the Board of Directors in risk management and control-related issues: in defining and approving strategic guidelines and risk management policies with specific reference to risk appetite and risk tolerance as well as in verifying that risk strategies, management policies and the Risk Appetite Framework (RAF) are correctly implemented. A new ESG Committee was created in April 2021. The purpose of the new Committee, which takes over the sustainability responsibilities previously assigned to the Corporate Governance, Nomination and Sustainability Committee, is to support the Board of Directors in fulfilling its responsibilities with respect to the ESG integral components on the Group's business strategy and sustainability. The ESG Committee shall provide opinions and support to the other Board Committees to ensure the alignment of the Group's policies to UniCredit's ESG principles and objectives. The Committee also oversees the ESG and sustainability related developments also considering international guidelines and principles and market developments, monitoring the positioning of the Group with respect to national and international best practices in the ESG field. Management role At management level, dedicated committees and specialised functions ensure the execution of the Group strategy, correctly managing climate-related risks in the line with the agreed RAF while taking advantage of the business opportunities arising from the transition to a low-carbon economy. These functions are: • the Group Executive Committee (GEC) was created in May 2021 and replaces the former Executive Management Committee; • a subgroup of the GEC members forms a dedicated ESG Strategy Council, engages selected members of the Committee suites to provide oversight and strategic guidance across business units, regions and functions on the definition and implementation of ESG Strategy; • the Group Non-Financial Risks and Controls Committee (GNFRCC) supports the CEO in the role of steering and monitoring Non Financial Risks; • CEO Office comprises Group Strategy and Optimisation and Stakeholders Engagement functions. It deals with all critical initiatives for the CEO, such as Strategy and M&A, Group Transformation Office, Group Investor Relations, Group Identity and Communications, Group Institutional Affairs and Group Regulatory Affairs; • with reference to ESG matters CEO Office comprises the Group ESG Strategy & Impact Banking function ensuring the integration of ESG priorities, including climate change, in the strategy and business of the Bank. It is part of the CEO Office; • the Group Risk Management function supports the CEO in defining the Group Risk Appetite proposal, to be shared with the Group Executive Committee (GEC) and Internal Controls & Risks Committee and submitted for approval to the Board of Directors. It includes a dedicated Global Unit created to oversee climate-related and environmental risks and climate-related topics: the Group Climate & Environmental Risk Management structure defines assessment methodologies aimed at measuring the impacts related to climate change and environmental risks and monitors the credit risk in the portfolio. In this framework: - it supports the analysis of the impacts of climate change and environmental risks on existing risk categories (credit risk, market risk, liquidity risk and operational risk); - it defines and applies a methodology for quantifying climate change-related transition risk regarding credit counterparties; - it monitors portfolio credit risks leveraging the analysis of sector/geographic concentration, exposure limits, deleveraging strategies, scenario analysis and stress testing; - it assesses Physical Risk71 related to climatic aspects, with a specific focus on the potential impact on the valuation of mortgage collateral; - it supports regular reporting internally and to supervisory authorities on issues related to climate and environmental risk; • a Sustainable Finance Advisory Team (part of UniCredit Corporate & Investment Banking) has been operating since 2019 with the aim of more effectively advising customers on ESG related topics and facilitate their access to Europe’s sustainable finance market. The team also advises on brown-to-green transition strategies and supports all steps of an ESG finance procedure. The group of clients comprises corporates, financials, sovereigns, supranational and agencies. The Sustainable Finance Advisory Team is also responsible for ensuring that relevant transactions in the Group comply with the Equator Principles, the financial industry benchmark for determining, assessing and managing environmental and social risk in projects. Finally in order to support customers in seizing opportunities deriving from the ecological transition, in all the major countries in which the Group operate dedicated teams in charge of developing and offering new ESG related products and services for corporates and individuals in line with Group’s targets and ambitions have been set up. 71 For further details on Physical Risk refer to 2020 TCFD Report published on UniCredit official website. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 440 2021 Annual Report and Accounts · UniCredit In April 2021, the Shareholders Meeting appointed the new UniCredit Board of Directors. In the relevant framework for the Board of Directors' renewal process, "Sustainability" was one of the core competencies recommended within the qualitative and quantitative Board of Directors' profile. The Internal Controls & Risks Committee (ICRC) supports the Board of Directors in risk management and control-related issues: in defining and approving strategic guidelines and risk management policies with specific reference to risk appetite and risk tolerance as well as in verifying that risk strategies, management policies and the Risk Appetite Framework (RAF) are correctly implemented. A new ESG Committee was created in April 2021. The purpose of the new Committee, which takes over the sustainability responsibilities previously assigned to the Corporate Governance, Nomination and Sustainability Committee, is to support the Board of Directors in fulfilling its responsibilities with respect to the ESG integral components on the Group's business strategy and sustainability. The ESG Committee shall provide opinions and support to the other Board Committees to ensure the alignment of the Group's policies to UniCredit's ESG principles and objectives. The Committee also oversees the ESG and sustainability related developments also considering international guidelines and principles and market developments, monitoring the positioning of the Group with respect to national and international best practices in the ESG field. Management role At management level, dedicated committees and specialised functions ensure the execution of the Group strategy, correctly managing climate-related risks in the line with the agreed RAF while taking advantage of the business opportunities arising from the transition to a low-carbon economy. These functions are: • the Group Executive Committee (GEC) was created in May 2021 and replaces the former Executive Management Committee; • a subgroup of the GEC members forms a dedicated ESG Strategy Council, engages selected members of the Committee suites to provide oversight and strategic guidance across business units, regions and functions on the definition and implementation of ESG Strategy; • the Group Non-Financial Risks and Controls Committee (GNFRCC) supports the CEO in the role of steering and monitoring Non Financial Risks; • CEO Office comprises Group Strategy and Optimisation and Stakeholders Engagement functions. It deals with all critical initiatives for the CEO, such as Strategy and M&A, Group Transformation Office, Group Investor Relations, Group Identity and Communications, Group Institutional Affairs and Group Regulatory Affairs; • with reference to ESG matters CEO Office comprises the Group ESG Strategy & Impact Banking function ensuring the integration of ESG priorities, including climate change, in the strategy and business of the Bank. It is part of the CEO Office; • the Group Risk Management function supports the CEO in defining the Group Risk Appetite proposal, to be shared with the Group Executive Committee (GEC) and Internal Controls & Risks Committee and submitted for approval to the Board of Directors. It includes a dedicated Global Unit created to oversee climate-related and environmental risks and climate-related topics: the Group Climate & Environmental Risk Management structure defines assessment methodologies aimed at measuring the impacts related to climate change and environmental risks and monitors the credit risk in the portfolio. In this framework: - it supports the analysis of the impacts of climate change and environmental risks on existing risk categories (credit risk, market risk, liquidity risk and operational risk); - it defines and applies a methodology for quantifying climate change-related transition risk regarding credit counterparties; - it monitors portfolio credit risks leveraging the analysis of sector/geographic concentration, exposure limits, deleveraging strategies, scenario analysis and stress testing; - it assesses Physical Risk71 related to climatic aspects, with a specific focus on the potential impact on the valuation of mortgage collateral; - it supports regular reporting internally and to supervisory authorities on issues related to climate and environmental risk; • a Sustainable Finance Advisory Team (part of UniCredit Corporate & Investment Banking) has been operating since 2019 with the aim of more effectively advising customers on ESG related topics and facilitate their access to Europe’s sustainable finance market. The team also advises on brown-to-green transition strategies and supports all steps of an ESG finance procedure. The group of clients comprises corporates, financials, sovereigns, supranational and agencies. The Sustainable Finance Advisory Team is also responsible for ensuring that relevant transactions in the Group comply with the Equator Principles, the financial industry benchmark for determining, assessing and managing environmental and social risk in projects. Finally in order to support customers in seizing opportunities deriving from the ecological transition, in all the major countries in which the Group operate dedicated teams in charge of developing and offering new ESG related products and services for corporates and individuals in line with Group’s targets and ambitions have been set up. 71 For further details on Physical Risk refer to 2020 TCFD Report published on UniCredit official website. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 441 UniCredit ESG Risk Management UniCredit has set up a long-term sustainability strategy and embedding ESG factors in its risk framework. It remains committed to assessing and managing climate and environmental risk in order to achieve three main objectives: • meeting regulatory expectations on banks business strategy and risk management processes; • mitigating climate-related and environmental risks; • identifying potential opportunities for financing the climate and environmental transition. In 2020, the Group risk management approach was further strengthened along the lines described below with a specific focus on climate related Risks. A bank-wide climate risk management framework was set up to manage and supervise processes related to climate and environmental risks, as well as UniCredit’s approach to sensitive sectors. Transition risk model One of the initiatives put in place in order to promote the shift of its customers to a low-carbon economy was the submission of a Climate & Environmental (C&E) Risk Assessment Questionnaire to Group’s customers to determine their position on the transition pathway. Moreover, the Group is following the European Central Bank Guide on climate-related and environmental risks in order to integrate these risks in Group’s business strategy and include them in the risk appetite framework, analysing environmental risk at all stages of the credit-grant process and monitoring this risk in Group’s credit portfolio. In so doing, UniCredit considers several topics that can lead to an increased credit risk. An example is counterparties’ revenues and asset value which are subject to transitioning to a low-carbon economy, or production processes that are subject to significant changes in order to minimize non atmospheric pollution. Climate change scenarios can also impact banks’ market risk and future investments. The Group is simultaneously looking to seize opportunities to finance the transition of its counterparties, assessing those industries that require very high investments to meet both climate change goals and the emission targets set out in the EU Green Deal roadmap. In order to achieve the above-mentioned goals, UniCredit is embedding climate-related and environmental risks and opportunities in its credit assessment. This required the definition of a dedicated methodology and the design of a specific process to identify the scope, collect data, execute the assessment and validate results. This methodology comprises: • filling in of the above-mentioned questionnaire addressing both high and low emissive customers in line with regulatory expectations; • generation of a Climate & Environmental (C&E) Risk Scorecard summarising the main KPIs and identifying the counterparty’s positioning in one of the four risk areas (low, medium-low, medium-high, high) of the Transition Assessment matrix; • the inclusion of the environmental scoring in the credit valuation process. C&E assessment methodology is based on 3 key dimensions: • the climate and environmental exposure considers the actual level of Green House Gas (GHG) emissions of corporate customers as well as other environmental metrics such as water and energy consumption, waste production and recycling; • the climate and environmental vulnerability evaluates the climate change management maturity level of corporate customers, considering the company’s plan to shift to a lower emission level business model, the transition investment plan, the GHG emissions reduction target as well as products and services associated with positive climate impact. This dimension considers cross-industry emission targets and ESG ratings together with management and industry specific environmental strategy; • the economic impact on corporate customers’ financial and industrial performance takes into account the effects on stranded assets, the decrease in market shares or revenues due to market shift, the increase in investment costs, constraints in accessing financing and indirect effects related to their supply chain or partner industries. Higher risk customers are attentively assessed during credit approval discussion in Parent company Credit Committees, although no automatic decision based of questionnaire results is currently in place. For additional details refer to the Integrated Report 2021 published on UniCredit website (https://www.unicreditgroup.eu). An extension of this methodology to those counterparties subject to the Local Credit Committee is expected in 2022. In addition to C&E Questionnaire, the Group applies PACTA methodology which allows financial institutions to measure the alignment of their lending portfolio against a set of climate scenarios which imply several levels of ambition measured in relation to the increase in global temperature. The methodology covers six industries, representing approximately 80% of global emissions. UniCredit applies the methodology covering the scope of five industries (data refers to December 2020 portfolio and considers Credit Limit as a key metric). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 441 UniCredit ESG Risk Management UniCredit has set up a long-term sustainability strategy and embedding ESG factors in its risk framework. It remains committed to assessing and managing climate and environmental risk in order to achieve three main objectives: • meeting regulatory expectations on banks business strategy and risk management processes; • mitigating climate-related and environmental risks; • identifying potential opportunities for financing the climate and environmental transition. In 2020, the Group risk management approach was further strengthened along the lines described below with a specific focus on climate related Risks. A bank-wide climate risk management framework was set up to manage and supervise processes related to climate and environmental risks, as well as UniCredit’s approach to sensitive sectors. Transition risk model One of the initiatives put in place in order to promote the shift of its customers to a low-carbon economy was the submission of a Climate & Environmental (C&E) Risk Assessment Questionnaire to Group’s customers to determine their position on the transition pathway. Moreover, the Group is following the European Central Bank Guide on climate-related and environmental risks in order to integrate these risks in Group’s business strategy and include them in the risk appetite framework, analysing environmental risk at all stages of the credit-grant process and monitoring this risk in Group’s credit portfolio. In so doing, UniCredit considers several topics that can lead to an increased credit risk. An example is counterparties’ revenues and asset value which are subject to transitioning to a low-carbon economy, or production processes that are subject to significant changes in order to minimize non atmospheric pollution. Climate change scenarios can also impact banks’ market risk and future investments. The Group is simultaneously looking to seize opportunities to finance the transition of its counterparties, assessing those industries that require very high investments to meet both climate change goals and the emission targets set out in the EU Green Deal roadmap. In order to achieve the above-mentioned goals, UniCredit is embedding climate-related and environmental risks and opportunities in its credit assessment. This required the definition of a dedicated methodology and the design of a specific process to identify the scope, collect data, execute the assessment and validate results. This methodology comprises: • filling in of the above-mentioned questionnaire addressing both high and low emissive customers in line with regulatory expectations; • generation of a Climate & Environmental (C&E) Risk Scorecard summarising the main KPIs and identifying the counterparty’s positioning in one of the four risk areas (low, medium-low, medium-high, high) of the Transition Assessment matrix; • the inclusion of the environmental scoring in the credit valuation process. C&E assessment methodology is based on 3 key dimensions: • the climate and environmental exposure considers the actual level of Green House Gas (GHG) emissions of corporate customers as well as other environmental metrics such as water and energy consumption, waste production and recycling; • the climate and environmental vulnerability evaluates the climate change management maturity level of corporate customers, considering the company’s plan to shift to a lower emission level business model, the transition investment plan, the GHG emissions reduction target as well as products and services associated with positive climate impact. This dimension considers cross-industry emission targets and ESG ratings together with management and industry specific environmental strategy; • the economic impact on corporate customers’ financial and industrial performance takes into account the effects on stranded assets, the decrease in market shares or revenues due to market shift, the increase in investment costs, constraints in accessing financing and indirect effects related to their supply chain or partner industries. Higher risk customers are attentively assessed during credit approval discussion in Parent company Credit Committees, although no automatic decision based of questionnaire results is currently in place. For additional details refer to the Integrated Report 2021 published on UniCredit website (https://www.unicreditgroup.eu). An extension of this methodology to those counterparties subject to the Local Credit Committee is expected in 2022. In addition to C&E Questionnaire, the Group applies PACTA methodology which allows financial institutions to measure the alignment of their lending portfolio against a set of climate scenarios which imply several levels of ambition measured in relation to the increase in global temperature. The methodology covers six industries, representing approximately 80% of global emissions. UniCredit applies the methodology covering the scope of five industries (data refers to December 2020 portfolio and considers Credit Limit as a key metric). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 441 UniCredit ESG Risk Management UniCredit has set up a long-term sustainability strategy and embedding ESG factors in its risk framework. It remains committed to assessing and managing climate and environmental risk in order to achieve three main objectives: • meeting regulatory expectations on banks business strategy and risk management processes; • mitigating climate-related and environmental risks; • identifying potential opportunities for financing the climate and environmental transition. In 2020, the Group risk management approach was further strengthened along the lines described below with a specific focus on climate related Risks. A bank-wide climate risk management framework was set up to manage and supervise processes related to climate and environmental risks, as well as UniCredit’s approach to sensitive sectors. Transition risk model One of the initiatives put in place in order to promote the shift of its customers to a low-carbon economy was the submission of a Climate & Environmental (C&E) Risk Assessment Questionnaire to Group’s customers to determine their position on the transition pathway. Moreover, the Group is following the European Central Bank Guide on climate-related and environmental risks in order to integrate these risks in Group’s business strategy and include them in the risk appetite framework, analysing environmental risk at all stages of the credit-grant process and monitoring this risk in Group’s credit portfolio. In so doing, UniCredit considers several topics that can lead to an increased credit risk. An example is counterparties’ revenues and asset value which are subject to transitioning to a low-carbon economy, or production processes that are subject to significant changes in order to minimize non atmospheric pollution. Climate change scenarios can also impact banks’ market risk and future investments. The Group is simultaneously looking to seize opportunities to finance the transition of its counterparties, assessing those industries that require very high investments to meet both climate change goals and the emission targets set out in the EU Green Deal roadmap. In order to achieve the above-mentioned goals, UniCredit is embedding climate-related and environmental risks and opportunities in its credit assessment. This required the definition of a dedicated methodology and the design of a specific process to identify the scope, collect data, execute the assessment and validate results. This methodology comprises: • filling in of the above-mentioned questionnaire addressing both high and low emissive customers in line with regulatory expectations; • generation of a Climate & Environmental (C&E) Risk Scorecard summarising the main KPIs and identifying the counterparty’s positioning in one of the four risk areas (low, medium-low, medium-high, high) of the Transition Assessment matrix; • the inclusion of the environmental scoring in the credit valuation process. C&E assessment methodology is based on 3 key dimensions: • the climate and environmental exposure considers the actual level of Green House Gas (GHG) emissions of corporate customers as well as other environmental metrics such as water and energy consumption, waste production and recycling; • the climate and environmental vulnerability evaluates the climate change management maturity level of corporate customers, considering the company’s plan to shift to a lower emission level business model, the transition investment plan, the GHG emissions reduction target as well as products and services associated with positive climate impact. This dimension considers cross-industry emission targets and ESG ratings together with management and industry specific environmental strategy; • the economic impact on corporate customers’ financial and industrial performance takes into account the effects on stranded assets, the decrease in market shares or revenues due to market shift, the increase in investment costs, constraints in accessing financing and indirect effects related to their supply chain or partner industries. Higher risk customers are attentively assessed during credit approval discussion in Parent company Credit Committees, although no automatic decision based of questionnaire results is currently in place. For additional details refer to the Integrated Report 2021 published on UniCredit website (https://www.unicreditgroup.eu). An extension of this methodology to those counterparties subject to the Local Credit Committee is expected in 2022. In addition to C&E Questionnaire, the Group applies PACTA methodology which allows financial institutions to measure the alignment of their lending portfolio against a set of climate scenarios which imply several levels of ambition measured in relation to the increase in global temperature. The methodology covers six industries, representing approximately 80% of global emissions. UniCredit applies the methodology covering the scope of five industries (data refers to December 2020 portfolio and considers Credit Limit as a key metric). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 441 UniCredit ESG Risk Management UniCredit has set up a long-term sustainability strategy and embedding ESG factors in its risk framework. It remains committed to assessing and managing climate and environmental risk in order to achieve three main objectives: • meeting regulatory expectations on banks business strategy and risk management processes; • mitigating climate-related and environmental risks; • identifying potential opportunities for financing the climate and environmental transition. In 2020, the Group risk management approach was further strengthened along the lines described below with a specific focus on climate related Risks. A bank-wide climate risk management framework was set up to manage and supervise processes related to climate and environmental risks, as well as UniCredit’s approach to sensitive sectors. Transition risk model One of the initiatives put in place in order to promote the shift of its customers to a low-carbon economy was the submission of a Climate & Environmental (C&E) Risk Assessment Questionnaire to Group’s customers to determine their position on the transition pathway. Moreover, the Group is following the European Central Bank Guide on climate-related and environmental risks in order to integrate these risks in Group’s business strategy and include them in the risk appetite framework, analysing environmental risk at all stages of the credit-grant process and monitoring this risk in Group’s credit portfolio. In so doing, UniCredit considers several topics that can lead to an increased credit risk. An example is counterparties’ revenues and asset value which are subject to transitioning to a low-carbon economy, or production processes that are subject to significant changes in order to minimize non atmospheric pollution. Climate change scenarios can also impact banks’ market risk and future investments. The Group is simultaneously looking to seize opportunities to finance the transition of its counterparties, assessing those industries that require very high investments to meet both climate change goals and the emission targets set out in the EU Green Deal roadmap. In order to achieve the above-mentioned goals, UniCredit is embedding climate-related and environmental risks and opportunities in its credit assessment. This required the definition of a dedicated methodology and the design of a specific process to identify the scope, collect data, execute the assessment and validate results. This methodology comprises: • filling in of the above-mentioned questionnaire addressing both high and low emissive customers in line with regulatory expectations; • generation of a Climate & Environmental (C&E) Risk Scorecard summarising the main KPIs and identifying the counterparty’s positioning in one of the four risk areas (low, medium-low, medium-high, high) of the Transition Assessment matrix; • the inclusion of the environmental scoring in the credit valuation process. C&E assessment methodology is based on 3 key dimensions: • the climate and environmental exposure considers the actual level of Green House Gas (GHG) emissions of corporate customers as well as other environmental metrics such as water and energy consumption, waste production and recycling; • the climate and environmental vulnerability evaluates the climate change management maturity level of corporate customers, considering the company’s plan to shift to a lower emission level business model, the transition investment plan, the GHG emissions reduction target as well as products and services associated with positive climate impact. This dimension considers cross-industry emission targets and ESG ratings together with management and industry specific environmental strategy; • the economic impact on corporate customers’ financial and industrial performance takes into account the effects on stranded assets, the decrease in market shares or revenues due to market shift, the increase in investment costs, constraints in accessing financing and indirect effects related to their supply chain or partner industries. Higher risk customers are attentively assessed during credit approval discussion in Parent company Credit Committees, although no automatic decision based of questionnaire results is currently in place. For additional details refer to the Integrated Report 2021 published on UniCredit website (https://www.unicreditgroup.eu). An extension of this methodology to those counterparties subject to the Local Credit Committee is expected in 2022. In addition to C&E Questionnaire, the Group applies PACTA methodology which allows financial institutions to measure the alignment of their lending portfolio against a set of climate scenarios which imply several levels of ambition measured in relation to the increase in global temperature. The methodology covers six industries, representing approximately 80% of global emissions. UniCredit applies the methodology covering the scope of five industries (data refers to December 2020 portfolio and considers Credit Limit as a key metric). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 441 UniCredit ESG Risk Management UniCredit has set up a long-term sustainability strategy and embedding ESG factors in its risk framework. It remains committed to assessing and managing climate and environmental risk in order to achieve three main objectives: • meeting regulatory expectations on banks business strategy and risk management processes; • mitigating climate-related and environmental risks; • identifying potential opportunities for financing the climate and environmental transition. In 2020, the Group risk management approach was further strengthened along the lines described below with a specific focus on climate related Risks. A bank-wide climate risk management framework was set up to manage and supervise processes related to climate and environmental risks, as well as UniCredit’s approach to sensitive sectors. Transition risk model One of the initiatives put in place in order to promote the shift of its customers to a low-carbon economy was the submission of a Climate & Environmental (C&E) Risk Assessment Questionnaire to Group’s customers to determine their position on the transition pathway. Moreover, the Group is following the European Central Bank Guide on climate-related and environmental risks in order to integrate these risks in Group’s business strategy and include them in the risk appetite framework, analysing environmental risk at all stages of the credit-grant process and monitoring this risk in Group’s credit portfolio. In so doing, UniCredit considers several topics that can lead to an increased credit risk. An example is counterparties’ revenues and asset value which are subject to transitioning to a low-carbon economy, or production processes that are subject to significant changes in order to minimize non atmospheric pollution. Climate change scenarios can also impact banks’ market risk and future investments. The Group is simultaneously looking to seize opportunities to finance the transition of its counterparties, assessing those industries that require very high investments to meet both climate change goals and the emission targets set out in the EU Green Deal roadmap. In order to achieve the above-mentioned goals, UniCredit is embedding climate-related and environmental risks and opportunities in its credit assessment. This required the definition of a dedicated methodology and the design of a specific process to identify the scope, collect data, execute the assessment and validate results. This methodology comprises: • filling in of the above-mentioned questionnaire addressing both high and low emissive customers in line with regulatory expectations; • generation of a Climate & Environmental (C&E) Risk Scorecard summarising the main KPIs and identifying the counterparty’s positioning in one of the four risk areas (low, medium-low, medium-high, high) of the Transition Assessment matrix; • the inclusion of the environmental scoring in the credit valuation process. C&E assessment methodology is based on 3 key dimensions: • the climate and environmental exposure considers the actual level of Green House Gas (GHG) emissions of corporate customers as well as other environmental metrics such as water and energy consumption, waste production and recycling; • the climate and environmental vulnerability evaluates the climate change management maturity level of corporate customers, considering the company’s plan to shift to a lower emission level business model, the transition investment plan, the GHG emissions reduction target as well as products and services associated with positive climate impact. This dimension considers cross-industry emission targets and ESG ratings together with management and industry specific environmental strategy; • the economic impact on corporate customers’ financial and industrial performance takes into account the effects on stranded assets, the decrease in market shares or revenues due to market shift, the increase in investment costs, constraints in accessing financing and indirect effects related to their supply chain or partner industries. Higher risk customers are attentively assessed during credit approval discussion in Parent company Credit Committees, although no automatic decision based of questionnaire results is currently in place. For additional details refer to the Integrated Report 2021 published on UniCredit website (https://www.unicreditgroup.eu). An extension of this methodology to those counterparties subject to the Local Credit Committee is expected in 2022. In addition to C&E Questionnaire, the Group applies PACTA methodology which allows financial institutions to measure the alignment of their lending portfolio against a set of climate scenarios which imply several levels of ambition measured in relation to the increase in global temperature. The methodology covers six industries, representing approximately 80% of global emissions. UniCredit applies the methodology covering the scope of five industries (data refers to December 2020 portfolio and considers Credit Limit as a key metric). Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 442 2021 Annual Report and Accounts · UniCredit An analysis of the alignment results and of the production and technology mixture details available assists UniCredit in further enhancing engagement with customers thus improving support in their transition For additional details refer to the Integrated Report 2021 published on UniCredit website (https://www.unicreditgroup.eu). Credit risk Whether chronic or acute, physical climate-related risk might affect credit risk through a modification of collaterals and counterparties’ physical assets, e.g. production sites, thus eroding the value of related assets or the capacity of the borrower to meet its obligation. Group Risk management leverages on the already mentioned C&E Questionnaire and PACTA assessment to evaluate the effect of climate risk and credit risk at both single counterparty level (C&E Questionnaire) and portfolio level (PACTA). In parallel, also a methodology to assess the Physical risk is under finalization. The Bank is already aware of the main risks impacting its geographies and is currently collecting additional information on collateral potential damage in order to estimate the relevance of the mortgage portfolio impacted by Physical risk. Such methodologies and relevant strategies are properly embedded within existing processes and procedures i.e. Risk Appetite Framework, Credit Risk Strategies and Lending policies (e.g., Oil&Gas and Coal policies). In upcoming months, the internal Stress Test methodology and framework for C&E risk will be developed in line with Supervisory expectations (e.g., in order to execute the 2022 ECB Climate Stress Test). Moreover, during 2022, it is foreseen the introduction of Probabilities of Default override for Multi National Corporate customers in case of evidence of climate related information that could lead to a change of their risk profile. Operational risks Climate impact on operational risks is also taken into account, mainly in relation to data center operations and business continuity plans. In recent years a great effort has been made to reduce the energy consumption of data centers and to strengthen the resilience to different sources of potential adverse events, chiefly cybercrime, by preventing data leakage and ensuring business continuity. Data centers are built with reinforced redundancy and in areas not subject to extreme events, therefore representing a very low risk even if high security standard controls are required. Group’s business continuity programme groups potential acute, climate-related, physical events under natural disasters, implying an integrated approach from infrastructure design to emergency management. As facility construction is not a frequent activity, the related risk analysis does not follow the yearly assessment process. The Group is currently beginning to assess implications for its portfolio resulting from customers' physical risks. As a financial institution, the Group is not directly affected by physical change in weather patterns or other chronic, climate-related, environmental changes. 4. Cyber security risk Along with the continuous digitalization of banking services, that has been accelerated in light of the Covid-19 pandemic outbreak, both the financial industry and its clients are increasingly exposed to cyber risks. This requires reinforced governance with a continuous strong focus on data protection and cyber security. The impact of cyber risks can cause service interruptions, as well as the loss of integrity and availability of data and information. UniCredit group have in the past years been subject to cyber-attacks which led, even though only in a few limited cases, to the theft of data; taking into account the type of risks detected, UniCredit carried out a wide and in-depth assessment of the effects that may derive also for financial statements purposes. To address cyber risks, UniCredit continuously enhances its cyber security program aiming at further strengthening the security controls. 5. Developments in the regulatory framework Over the last few years, the regulatory framework in which financial institutions act has become increasingly complex and stricter. This complexity has further increased following the introduction of new financial regulations, some of them being still under discussion, and by the ECB central role in the supervision of a large portion of the European banking system. All these changes might significantly affect UniCredit and introduce additional challenges for the general banking sector profitability and capital requirements. The most relevant changes are the following: • revision to the Basel 3 framework for the calculation of risk weighted assets for credit, operational, credit valuation adjustment (CVA) risks published in December 2017 (known as Basel 4). The regulator’s ultimate goal is to restrict the usage of internal models for measuring credit risk on some specific portfolios and to return to a more stringent standardised approach as well as to eliminate internal models for operational risks. Basel 4 also introduces an aggregate output floor. These revisions are complemented by the change to the market risk framework (Fundamental Review of Trading Book - “FRTB”) finalised in January 2019, which envisages the introduction of more stringent and sophisticated internal models and standardised approaches for measuring market risk in the trading portfolios. The Basel Committee issued in July 2020 a set of targeted changes to the credit valuation adjustment (CVA) risk framework issued in December 2017 in order to ensure a better alignment with the more recent FRTB; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 442 2021 Annual Report and Accounts · UniCredit An analysis of the alignment results and of the production and technology mixture details available assists UniCredit in further enhancing engagement with customers thus improving support in their transition For additional details refer to the Integrated Report 2021 published on UniCredit website (https://www.unicreditgroup.eu). Credit risk Whether chronic or acute, physical climate-related risk might affect credit risk through a modification of collaterals and counterparties’ physical assets, e.g. production sites, thus eroding the value of related assets or the capacity of the borrower to meet its obligation. Group Risk management leverages on the already mentioned C&E Questionnaire and PACTA assessment to evaluate the effect of climate risk and credit risk at both single counterparty level (C&E Questionnaire) and portfolio level (PACTA). In parallel, also a methodology to assess the Physical risk is under finalization. The Bank is already aware of the main risks impacting its geographies and is currently collecting additional information on collateral potential damage in order to estimate the relevance of the mortgage portfolio impacted by Physical risk. Such methodologies and relevant strategies are properly embedded within existing processes and procedures i.e. Risk Appetite Framework, Credit Risk Strategies and Lending policies (e.g., Oil&Gas and Coal policies). In upcoming months, the internal Stress Test methodology and framework for C&E risk will be developed in line with Supervisory expectations (e.g., in order to execute the 2022 ECB Climate Stress Test). Moreover, during 2022, it is foreseen the introduction of Probabilities of Default override for Multi National Corporate customers in case of evidence of climate related information that could lead to a change of their risk profile. Operational risks Climate impact on operational risks is also taken into account, mainly in relation to data center operations and business continuity plans. In recent years a great effort has been made to reduce the energy consumption of data centers and to strengthen the resilience to different sources of potential adverse events, chiefly cybercrime, by preventing data leakage and ensuring business continuity. Data centers are built with reinforced redundancy and in areas not subject to extreme events, therefore representing a very low risk even if high security standard controls are required. Group’s business continuity programme groups potential acute, climate-related, physical events under natural disasters, implying an integrated approach from infrastructure design to emergency management. As facility construction is not a frequent activity, the related risk analysis does not follow the yearly assessment process. The Group is currently beginning to assess implications for its portfolio resulting from customers' physical risks. As a financial institution, the Group is not directly affected by physical change in weather patterns or other chronic, climate-related, environmental changes. 4. Cyber security risk Along with the continuous digitalization of banking services, that has been accelerated in light of the Covid-19 pandemic outbreak, both the financial industry and its clients are increasingly exposed to cyber risks. This requires reinforced governance with a continuous strong focus on data protection and cyber security. The impact of cyber risks can cause service interruptions, as well as the loss of integrity and availability of data and information. UniCredit group have in the past years been subject to cyber-attacks which led, even though only in a few limited cases, to the theft of data; taking into account the type of risks detected, UniCredit carried out a wide and in-depth assessment of the effects that may derive also for financial statements purposes. To address cyber risks, UniCredit continuously enhances its cyber security program aiming at further strengthening the security controls. 5. Developments in the regulatory framework Over the last few years, the regulatory framework in which financial institutions act has become increasingly complex and stricter. This complexity has further increased following the introduction of new financial regulations, some of them being still under discussion, and by the ECB central role in the supervision of a large portion of the European banking system. All these changes might significantly affect UniCredit and introduce additional challenges for the general banking sector profitability and capital requirements. The most relevant changes are the following: • revision to the Basel 3 framework for the calculation of risk weighted assets for credit, operational, credit valuation adjustment (CVA) risks published in December 2017 (known as Basel 4). The regulator’s ultimate goal is to restrict the usage of internal models for measuring credit risk on some specific portfolios and to return to a more stringent standardised approach as well as to eliminate internal models for operational risks. Basel 4 also introduces an aggregate output floor. These revisions are complemented by the change to the market risk framework (Fundamental Review of Trading Book - “FRTB”) finalised in January 2019, which envisages the introduction of more stringent and sophisticated internal models and standardised approaches for measuring market risk in the trading portfolios. The Basel Committee issued in July 2020 a set of targeted changes to the credit valuation adjustment (CVA) risk framework issued in December 2017 in order to ensure a better alignment with the more recent FRTB; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 442 2021 Annual Report and Accounts · UniCredit An analysis of the alignment results and of the production and technology mixture details available assists UniCredit in further enhancing engagement with customers thus improving support in their transition For additional details refer to the Integrated Report 2021 published on UniCredit website (https://www.unicreditgroup.eu). Credit risk Whether chronic or acute, physical climate-related risk might affect credit risk through a modification of collaterals and counterparties’ physical assets, e.g. production sites, thus eroding the value of related assets or the capacity of the borrower to meet its obligation. Group Risk management leverages on the already mentioned C&E Questionnaire and PACTA assessment to evaluate the effect of climate risk and credit risk at both single counterparty level (C&E Questionnaire) and portfolio level (PACTA). In parallel, also a methodology to assess the Physical risk is under finalization. The Bank is already aware of the main risks impacting its geographies and is currently collecting additional information on collateral potential damage in order to estimate the relevance of the mortgage portfolio impacted by Physical risk. Such methodologies and relevant strategies are properly embedded within existing processes and procedures i.e. Risk Appetite Framework, Credit Risk Strategies and Lending policies (e.g., Oil&Gas and Coal policies). In upcoming months, the internal Stress Test methodology and framework for C&E risk will be developed in line with Supervisory expectations (e.g., in order to execute the 2022 ECB Climate Stress Test). Moreover, during 2022, it is foreseen the introduction of Probabilities of Default override for Multi National Corporate customers in case of evidence of climate related information that could lead to a change of their risk profile. Operational risks Climate impact on operational risks is also taken into account, mainly in relation to data center operations and business continuity plans. In recent years a great effort has been made to reduce the energy consumption of data centers and to strengthen the resilience to different sources of potential adverse events, chiefly cybercrime, by preventing data leakage and ensuring business continuity. Data centers are built with reinforced redundancy and in areas not subject to extreme events, therefore representing a very low risk even if high security standard controls are required. Group’s business continuity programme groups potential acute, climate-related, physical events under natural disasters, implying an integrated approach from infrastructure design to emergency management. As facility construction is not a frequent activity, the related risk analysis does not follow the yearly assessment process. The Group is currently beginning to assess implications for its portfolio resulting from customers' physical risks. As a financial institution, the Group is not directly affected by physical change in weather patterns or other chronic, climate-related, environmental changes. 4. Cyber security risk Along with the continuous digitalization of banking services, that has been accelerated in light of the Covid-19 pandemic outbreak, both the financial industry and its clients are increasingly exposed to cyber risks. This requires reinforced governance with a continuous strong focus on data protection and cyber security. The impact of cyber risks can cause service interruptions, as well as the loss of integrity and availability of data and information. UniCredit group have in the past years been subject to cyber-attacks which led, even though only in a few limited cases, to the theft of data; taking into account the type of risks detected, UniCredit carried out a wide and in-depth assessment of the effects that may derive also for financial statements purposes. To address cyber risks, UniCredit continuously enhances its cyber security program aiming at further strengthening the security controls. 5. Developments in the regulatory framework Over the last few years, the regulatory framework in which financial institutions act has become increasingly complex and stricter. This complexity has further increased following the introduction of new financial regulations, some of them being still under discussion, and by the ECB central role in the supervision of a large portion of the European banking system. All these changes might significantly affect UniCredit and introduce additional challenges for the general banking sector profitability and capital requirements. The most relevant changes are the following: • revision to the Basel 3 framework for the calculation of risk weighted assets for credit, operational, credit valuation adjustment (CVA) risks published in December 2017 (known as Basel 4). The regulator’s ultimate goal is to restrict the usage of internal models for measuring credit risk on some specific portfolios and to return to a more stringent standardised approach as well as to eliminate internal models for operational risks. Basel 4 also introduces an aggregate output floor. These revisions are complemented by the change to the market risk framework (Fundamental Review of Trading Book - “FRTB”) finalised in January 2019, which envisages the introduction of more stringent and sophisticated internal models and standardised approaches for measuring market risk in the trading portfolios. The Basel Committee issued in July 2020 a set of targeted changes to the credit valuation adjustment (CVA) risk framework issued in December 2017 in order to ensure a better alignment with the more recent FRTB; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 442 2021 Annual Report and Accounts · UniCredit An analysis of the alignment results and of the production and technology mixture details available assists UniCredit in further enhancing engagement with customers thus improving support in their transition For additional details refer to the Integrated Report 2021 published on UniCredit website (https://www.unicreditgroup.eu). Credit risk Whether chronic or acute, physical climate-related risk might affect credit risk through a modification of collaterals and counterparties’ physical assets, e.g. production sites, thus eroding the value of related assets or the capacity of the borrower to meet its obligation. Group Risk management leverages on the already mentioned C&E Questionnaire and PACTA assessment to evaluate the effect of climate risk and credit risk at both single counterparty level (C&E Questionnaire) and portfolio level (PACTA). In parallel, also a methodology to assess the Physical risk is under finalization. The Bank is already aware of the main risks impacting its geographies and is currently collecting additional information on collateral potential damage in order to estimate the relevance of the mortgage portfolio impacted by Physical risk. Such methodologies and relevant strategies are properly embedded within existing processes and procedures i.e. Risk Appetite Framework, Credit Risk Strategies and Lending policies (e.g., Oil&Gas and Coal policies). In upcoming months, the internal Stress Test methodology and framework for C&E risk will be developed in line with Supervisory expectations (e.g., in order to execute the 2022 ECB Climate Stress Test). Moreover, during 2022, it is foreseen the introduction of Probabilities of Default override for Multi National Corporate customers in case of evidence of climate related information that could lead to a change of their risk profile. Operational risks Climate impact on operational risks is also taken into account, mainly in relation to data center operations and business continuity plans. In recent years a great effort has been made to reduce the energy consumption of data centers and to strengthen the resilience to different sources of potential adverse events, chiefly cybercrime, by preventing data leakage and ensuring business continuity. Data centers are built with reinforced redundancy and in areas not subject to extreme events, therefore representing a very low risk even if high security standard controls are required. Group’s business continuity programme groups potential acute, climate-related, physical events under natural disasters, implying an integrated approach from infrastructure design to emergency management. As facility construction is not a frequent activity, the related risk analysis does not follow the yearly assessment process. The Group is currently beginning to assess implications for its portfolio resulting from customers' physical risks. As a financial institution, the Group is not directly affected by physical change in weather patterns or other chronic, climate-related, environmental changes. 4. Cyber security risk Along with the continuous digitalization of banking services, that has been accelerated in light of the Covid-19 pandemic outbreak, both the financial industry and its clients are increasingly exposed to cyber risks. This requires reinforced governance with a continuous strong focus on data protection and cyber security. The impact of cyber risks can cause service interruptions, as well as the loss of integrity and availability of data and information. UniCredit group have in the past years been subject to cyber-attacks which led, even though only in a few limited cases, to the theft of data; taking into account the type of risks detected, UniCredit carried out a wide and in-depth assessment of the effects that may derive also for financial statements purposes. To address cyber risks, UniCredit continuously enhances its cyber security program aiming at further strengthening the security controls. 5. Developments in the regulatory framework Over the last few years, the regulatory framework in which financial institutions act has become increasingly complex and stricter. This complexity has further increased following the introduction of new financial regulations, some of them being still under discussion, and by the ECB central role in the supervision of a large portion of the European banking system. All these changes might significantly affect UniCredit and introduce additional challenges for the general banking sector profitability and capital requirements. The most relevant changes are the following: • revision to the Basel 3 framework for the calculation of risk weighted assets for credit, operational, credit valuation adjustment (CVA) risks published in December 2017 (known as Basel 4). The regulator’s ultimate goal is to restrict the usage of internal models for measuring credit risk on some specific portfolios and to return to a more stringent standardised approach as well as to eliminate internal models for operational risks. Basel 4 also introduces an aggregate output floor. These revisions are complemented by the change to the market risk framework (Fundamental Review of Trading Book - “FRTB”) finalised in January 2019, which envisages the introduction of more stringent and sophisticated internal models and standardised approaches for measuring market risk in the trading portfolios. The Basel Committee issued in July 2020 a set of targeted changes to the credit valuation adjustment (CVA) risk framework issued in December 2017 in order to ensure a better alignment with the more recent FRTB; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 442 2021 Annual Report and Accounts · UniCredit An analysis of the alignment results and of the production and technology mixture details available assists UniCredit in further enhancing engagement with customers thus improving support in their transition For additional details refer to the Integrated Report 2021 published on UniCredit website (https://www.unicreditgroup.eu). Credit risk Whether chronic or acute, physical climate-related risk might affect credit risk through a modification of collaterals and counterparties’ physical assets, e.g. production sites, thus eroding the value of related assets or the capacity of the borrower to meet its obligation. Group Risk management leverages on the already mentioned C&E Questionnaire and PACTA assessment to evaluate the effect of climate risk and credit risk at both single counterparty level (C&E Questionnaire) and portfolio level (PACTA). In parallel, also a methodology to assess the Physical risk is under finalization. The Bank is already aware of the main risks impacting its geographies and is currently collecting additional information on collateral potential damage in order to estimate the relevance of the mortgage portfolio impacted by Physical risk. Such methodologies and relevant strategies are properly embedded within existing processes and procedures i.e. Risk Appetite Framework, Credit Risk Strategies and Lending policies (e.g., Oil&Gas and Coal policies). In upcoming months, the internal Stress Test methodology and framework for C&E risk will be developed in line with Supervisory expectations (e.g., in order to execute the 2022 ECB Climate Stress Test). Moreover, during 2022, it is foreseen the introduction of Probabilities of Default override for Multi National Corporate customers in case of evidence of climate related information that could lead to a change of their risk profile. Operational risks Climate impact on operational risks is also taken into account, mainly in relation to data center operations and business continuity plans. In recent years a great effort has been made to reduce the energy consumption of data centers and to strengthen the resilience to different sources of potential adverse events, chiefly cybercrime, by preventing data leakage and ensuring business continuity. Data centers are built with reinforced redundancy and in areas not subject to extreme events, therefore representing a very low risk even if high security standard controls are required. Group’s business continuity programme groups potential acute, climate-related, physical events under natural disasters, implying an integrated approach from infrastructure design to emergency management. As facility construction is not a frequent activity, the related risk analysis does not follow the yearly assessment process. The Group is currently beginning to assess implications for its portfolio resulting from customers' physical risks. As a financial institution, the Group is not directly affected by physical change in weather patterns or other chronic, climate-related, environmental changes. 4. Cyber security risk Along with the continuous digitalization of banking services, that has been accelerated in light of the Covid-19 pandemic outbreak, both the financial industry and its clients are increasingly exposed to cyber risks. This requires reinforced governance with a continuous strong focus on data protection and cyber security. The impact of cyber risks can cause service interruptions, as well as the loss of integrity and availability of data and information. UniCredit group have in the past years been subject to cyber-attacks which led, even though only in a few limited cases, to the theft of data; taking into account the type of risks detected, UniCredit carried out a wide and in-depth assessment of the effects that may derive also for financial statements purposes. To address cyber risks, UniCredit continuously enhances its cyber security program aiming at further strengthening the security controls. 5. Developments in the regulatory framework Over the last few years, the regulatory framework in which financial institutions act has become increasingly complex and stricter. This complexity has further increased following the introduction of new financial regulations, some of them being still under discussion, and by the ECB central role in the supervision of a large portion of the European banking system. All these changes might significantly affect UniCredit and introduce additional challenges for the general banking sector profitability and capital requirements. The most relevant changes are the following: • revision to the Basel 3 framework for the calculation of risk weighted assets for credit, operational, credit valuation adjustment (CVA) risks published in December 2017 (known as Basel 4). The regulator’s ultimate goal is to restrict the usage of internal models for measuring credit risk on some specific portfolios and to return to a more stringent standardised approach as well as to eliminate internal models for operational risks. Basel 4 also introduces an aggregate output floor. These revisions are complemented by the change to the market risk framework (Fundamental Review of Trading Book - “FRTB”) finalised in January 2019, which envisages the introduction of more stringent and sophisticated internal models and standardised approaches for measuring market risk in the trading portfolios. The Basel Committee issued in July 2020 a set of targeted changes to the credit valuation adjustment (CVA) risk framework issued in December 2017 in order to ensure a better alignment with the more recent FRTB; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 443 • on 27 March 2020, the Basel Committee's oversight body, the group of central bank Governors and Heads of Supervision (GHOS) changed the implementation timeline of the outstanding Basel 3 standards. In particular the implementation date of the Basel 3 standards finalised in December 2017 and January 2019 (credit risk, operational risk, output floor and market risk) has been deferred by one year to 1 January 2023; • the EU Commission, published on 27 October 2021 the Banking Package 2021, which includes the proposals for the final implementation of Basel 3 in the European Union through a legislative package (i.e. the Banking Package) introducing amendments to Capital Requirements Regulation 2013/575/EU (CRR), to the Directive 2013/36/UE (Capital Requirements Directive), and also a proposal to amend the Capital Requirements Regulation in the area of resolution (the so-called “daisy chain” proposal). Differently from the Basel Committee, the Commission’s proposal provides for a date of entry in force of the reforms starting from 1 January 2025. The proposal shows that the Commission has taken into account some important European specificities that might mitigate the impact on the sector. In addition to the implementation of the Basel standards, part of the legislative package also aims to strengthen the resilience of the banking sector to environmental, social and governance (ESG) risks. The proposal is now being examined by the European Parliament and the Council (27 Member States), which, respectively, will work on possible changes before agreeing on a common text (so-called Trilogue phase with the mediation of the Commission). The approval of the final text and the publication in the Official Journal will conclude the legislative process; • in March 2018 the ECB published the “Addendum to the Guidance on Non-Performing Exposures” (“NPEs”) which sets out supervisory expectations for the provisioning of exposures reclassified from performing to non-performing exposures after 1 April 2018. In April 2019 however the European Commission’s amendment to Capital Requirements Regulation (CRR) introduced a minimum loss coverage ratio for new loans becoming NPEs after 26 April 2019 (the “statutory backstop”). On 22 August 2019, the ECB decided to revise its supervisory expectations for prudential provisioning of new non-performing exposures. The decision was made after considering the adoption of the new EU regulation that outlines the Pillar I treatment for NPEs. The initiatives that originate from the ECB are strictly supervisory (Pillar II) in nature. In contrast, the European Commission’s requirement is legally binding (Pillar I). The above-mentioned developments result in three “buckets” of NPEs based on the date of the exposure’s origination and the date of NPE’s classification: - NPEs classified before 1 April 2018 (Pillar II - Stock): 2/7 years vintage buckets for unsecured/secured NPEs, subject to supervisory coverage recommendations and phase-in paths as communicated in SREP letters; - NPEs originated before 26 April 2019 (Pillar II - ECB Flows): 3/7/9 years vintage buckets for unsecured/secured other than by immovable property/secured by immovable property, progressive path to 100%; - NPEs originated on or after 26 April 2019 (Pillar I - CRR Flows): 3/7/9 years vintage buckets for unsecured/secured other than by immovable property/secured by immovable property, progressive path to 100%; • in May 2020 the European Banking Authority (EBA) published its Guidelines on loan origination and monitoring that expect institutions to develop robust and prudent standards to ensure newly originated loans are assessed properly. The Guidelines also aim to ensure that the institutions’ practices are aligned with consumer protection rules and respect fair treatment of consumers. In the context of the Covid-19 pandemic, institutions need to maintain good credit risk management and monitoring standards that is essential for supporting lending to the economy. To address the current circumstances the new Guidelines, contain additional transition periods for recently renegotiated loans to help institutions better focusing on their immediate operational priorities. The Guidelines apply from 30 June 2021. But positively, institutions will benefit from a series of transitional arrangements: (1) the application to the already existing loans and advances that require renegotiation will apply from 30 June 2022, and (2) institutions will be allowed to address possible data gaps and adjust their monitoring frameworks and infrastructure until 30 June 2024; • on 1 July 2020 the European Banking Authority (EBA) published its final Guidelines on the treatment of structural FX positions, applicable from 1 January 2022. The aim of these Guidelines is to establish a harmonised framework for the application of the structural FX waiver and identify objective criteria to assist Competent Authorities in their assessment of the structural nature of a foreign-exchange position and to understand whether such position has been deliberately taken for hedging the capital ratio; • entry into force from June 2021 of a binding 3% minimum leverage ratio, an additional regulatory requirement compared to the risk-based indicators envisaged in the Basel 3 package. The leverage ratio aims to constrain the building up of financial leverage in the banking industry, as well as to reinforce the capital requirements with a supplementary measure not based on risk parameters. The final regulation for the European Union (CRR2), including the binding leverage ratio, has been published in June 2019. In March 2020, the group of central bank Governors and Heads of Supervision revised the implementation timeline of the final elements of the Basel 3 framework. The leverage ratio buffer requirement for global systemically important institutions has already been implemented through the amendments introduced by Regulation (EU) 2019/876. Therefore, and in order to ensure a level playing field internationally for institutions established in the Union and operating also outside the Union, the date of application for the leverage ratio buffer requirement set out in that Regulation has been deferred by one year to 1 January 2023. With the application of the leverage ratio buffer requirement postponed, during the postponement period there would be no consequences resulting from a failure to meet that requirement as set out in article 141c of Directive 2013/36/EU and no related restriction on distributions set out in article 141b of that Directive; • in addition to changes implemented in the CRR2, also the revision to the leverage ratio calculation (mainly on the exposure measure) introduced by the Basel 4 package will have to be implemented in Europe through the further revision of the CRR (CRR2) and enter into force not earlier than the beginning of 2024; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 443 • on 27 March 2020, the Basel Committee's oversight body, the group of central bank Governors and Heads of Supervision (GHOS) changed the implementation timeline of the outstanding Basel 3 standards. In particular the implementation date of the Basel 3 standards finalised in December 2017 and January 2019 (credit risk, operational risk, output floor and market risk) has been deferred by one year to 1 January 2023; • the EU Commission, published on 27 October 2021 the Banking Package 2021, which includes the proposals for the final implementation of Basel 3 in the European Union through a legislative package (i.e. the Banking Package) introducing amendments to Capital Requirements Regulation 2013/575/EU (CRR), to the Directive 2013/36/UE (Capital Requirements Directive), and also a proposal to amend the Capital Requirements Regulation in the area of resolution (the so-called “daisy chain” proposal). Differently from the Basel Committee, the Commission’s proposal provides for a date of entry in force of the reforms starting from 1 January 2025. The proposal shows that the Commission has taken into account some important European specificities that might mitigate the impact on the sector. In addition to the implementation of the Basel standards, part of the legislative package also aims to strengthen the resilience of the banking sector to environmental, social and governance (ESG) risks. The proposal is now being examined by the European Parliament and the Council (27 Member States), which, respectively, will work on possible changes before agreeing on a common text (so-called Trilogue phase with the mediation of the Commission). The approval of the final text and the publication in the Official Journal will conclude the legislative process; • in March 2018 the ECB published the “Addendum to the Guidance on Non-Performing Exposures” (“NPEs”) which sets out supervisory expectations for the provisioning of exposures reclassified from performing to non-performing exposures after 1 April 2018. In April 2019 however the European Commission’s amendment to Capital Requirements Regulation (CRR) introduced a minimum loss coverage ratio for new loans becoming NPEs after 26 April 2019 (the “statutory backstop”). On 22 August 2019, the ECB decided to revise its supervisory expectations for prudential provisioning of new non-performing exposures. The decision was made after considering the adoption of the new EU regulation that outlines the Pillar I treatment for NPEs. The initiatives that originate from the ECB are strictly supervisory (Pillar II) in nature. In contrast, the European Commission’s requirement is legally binding (Pillar I). The above-mentioned developments result in three “buckets” of NPEs based on the date of the exposure’s origination and the date of NPE’s classification: - NPEs classified before 1 April 2018 (Pillar II - Stock): 2/7 years vintage buckets for unsecured/secured NPEs, subject to supervisory coverage recommendations and phase-in paths as communicated in SREP letters; - NPEs originated before 26 April 2019 (Pillar II - ECB Flows): 3/7/9 years vintage buckets for unsecured/secured other than by immovable property/secured by immovable property, progressive path to 100%; - NPEs originated on or after 26 April 2019 (Pillar I - CRR Flows): 3/7/9 years vintage buckets for unsecured/secured other than by immovable property/secured by immovable property, progressive path to 100%; • in May 2020 the European Banking Authority (EBA) published its Guidelines on loan origination and monitoring that expect institutions to develop robust and prudent standards to ensure newly originated loans are assessed properly. The Guidelines also aim to ensure that the institutions’ practices are aligned with consumer protection rules and respect fair treatment of consumers. In the context of the Covid-19 pandemic, institutions need to maintain good credit risk management and monitoring standards that is essential for supporting lending to the economy. To address the current circumstances the new Guidelines, contain additional transition periods for recently renegotiated loans to help institutions better focusing on their immediate operational priorities. The Guidelines apply from 30 June 2021. But positively, institutions will benefit from a series of transitional arrangements: (1) the application to the already existing loans and advances that require renegotiation will apply from 30 June 2022, and (2) institutions will be allowed to address possible data gaps and adjust their monitoring frameworks and infrastructure until 30 June 2024; • on 1 July 2020 the European Banking Authority (EBA) published its final Guidelines on the treatment of structural FX positions, applicable from 1 January 2022. The aim of these Guidelines is to establish a harmonised framework for the application of the structural FX waiver and identify objective criteria to assist Competent Authorities in their assessment of the structural nature of a foreign-exchange position and to understand whether such position has been deliberately taken for hedging the capital ratio; • entry into force from June 2021 of a binding 3% minimum leverage ratio, an additional regulatory requirement compared to the risk-based indicators envisaged in the Basel 3 package. The leverage ratio aims to constrain the building up of financial leverage in the banking industry, as well as to reinforce the capital requirements with a supplementary measure not based on risk parameters. The final regulation for the European Union (CRR2), including the binding leverage ratio, has been published in June 2019. In March 2020, the group of central bank Governors and Heads of Supervision revised the implementation timeline of the final elements of the Basel 3 framework. The leverage ratio buffer requirement for global systemically important institutions has already been implemented through the amendments introduced by Regulation (EU) 2019/876. Therefore, and in order to ensure a level playing field internationally for institutions established in the Union and operating also outside the Union, the date of application for the leverage ratio buffer requirement set out in that Regulation has been deferred by one year to 1 January 2023. With the application of the leverage ratio buffer requirement postponed, during the postponement period there would be no consequences resulting from a failure to meet that requirement as set out in article 141c of Directive 2013/36/EU and no related restriction on distributions set out in article 141b of that Directive; • in addition to changes implemented in the CRR2, also the revision to the leverage ratio calculation (mainly on the exposure measure) introduced by the Basel 4 package will have to be implemented in Europe through the further revision of the CRR (CRR2) and enter into force not earlier than the beginning of 2024; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 443 • on 27 March 2020, the Basel Committee's oversight body, the group of central bank Governors and Heads of Supervision (GHOS) changed the implementation timeline of the outstanding Basel 3 standards. In particular the implementation date of the Basel 3 standards finalised in December 2017 and January 2019 (credit risk, operational risk, output floor and market risk) has been deferred by one year to 1 January 2023; • the EU Commission, published on 27 October 2021 the Banking Package 2021, which includes the proposals for the final implementation of Basel 3 in the European Union through a legislative package (i.e. the Banking Package) introducing amendments to Capital Requirements Regulation 2013/575/EU (CRR), to the Directive 2013/36/UE (Capital Requirements Directive), and also a proposal to amend the Capital Requirements Regulation in the area of resolution (the so-called “daisy chain” proposal). Differently from the Basel Committee, the Commission’s proposal provides for a date of entry in force of the reforms starting from 1 January 2025. The proposal shows that the Commission has taken into account some important European specificities that might mitigate the impact on the sector. In addition to the implementation of the Basel standards, part of the legislative package also aims to strengthen the resilience of the banking sector to environmental, social and governance (ESG) risks. The proposal is now being examined by the European Parliament and the Council (27 Member States), which, respectively, will work on possible changes before agreeing on a common text (so-called Trilogue phase with the mediation of the Commission). The approval of the final text and the publication in the Official Journal will conclude the legislative process; • in March 2018 the ECB published the “Addendum to the Guidance on Non-Performing Exposures” (“NPEs”) which sets out supervisory expectations for the provisioning of exposures reclassified from performing to non-performing exposures after 1 April 2018. In April 2019 however the European Commission’s amendment to Capital Requirements Regulation (CRR) introduced a minimum loss coverage ratio for new loans becoming NPEs after 26 April 2019 (the “statutory backstop”). On 22 August 2019, the ECB decided to revise its supervisory expectations for prudential provisioning of new non-performing exposures. The decision was made after considering the adoption of the new EU regulation that outlines the Pillar I treatment for NPEs. The initiatives that originate from the ECB are strictly supervisory (Pillar II) in nature. In contrast, the European Commission’s requirement is legally binding (Pillar I). The above-mentioned developments result in three “buckets” of NPEs based on the date of the exposure’s origination and the date of NPE’s classification: - NPEs classified before 1 April 2018 (Pillar II - Stock): 2/7 years vintage buckets for unsecured/secured NPEs, subject to supervisory coverage recommendations and phase-in paths as communicated in SREP letters; - NPEs originated before 26 April 2019 (Pillar II - ECB Flows): 3/7/9 years vintage buckets for unsecured/secured other than by immovable property/secured by immovable property, progressive path to 100%; - NPEs originated on or after 26 April 2019 (Pillar I - CRR Flows): 3/7/9 years vintage buckets for unsecured/secured other than by immovable property/secured by immovable property, progressive path to 100%; • in May 2020 the European Banking Authority (EBA) published its Guidelines on loan origination and monitoring that expect institutions to develop robust and prudent standards to ensure newly originated loans are assessed properly. The Guidelines also aim to ensure that the institutions’ practices are aligned with consumer protection rules and respect fair treatment of consumers. In the context of the Covid-19 pandemic, institutions need to maintain good credit risk management and monitoring standards that is essential for supporting lending to the economy. To address the current circumstances the new Guidelines, contain additional transition periods for recently renegotiated loans to help institutions better focusing on their immediate operational priorities. The Guidelines apply from 30 June 2021. But positively, institutions will benefit from a series of transitional arrangements: (1) the application to the already existing loans and advances that require renegotiation will apply from 30 June 2022, and (2) institutions will be allowed to address possible data gaps and adjust their monitoring frameworks and infrastructure until 30 June 2024; • on 1 July 2020 the European Banking Authority (EBA) published its final Guidelines on the treatment of structural FX positions, applicable from 1 January 2022. The aim of these Guidelines is to establish a harmonised framework for the application of the structural FX waiver and identify objective criteria to assist Competent Authorities in their assessment of the structural nature of a foreign-exchange position and to understand whether such position has been deliberately taken for hedging the capital ratio; • entry into force from June 2021 of a binding 3% minimum leverage ratio, an additional regulatory requirement compared to the risk-based indicators envisaged in the Basel 3 package. The leverage ratio aims to constrain the building up of financial leverage in the banking industry, as well as to reinforce the capital requirements with a supplementary measure not based on risk parameters. The final regulation for the European Union (CRR2), including the binding leverage ratio, has been published in June 2019. In March 2020, the group of central bank Governors and Heads of Supervision revised the implementation timeline of the final elements of the Basel 3 framework. The leverage ratio buffer requirement for global systemically important institutions has already been implemented through the amendments introduced by Regulation (EU) 2019/876. Therefore, and in order to ensure a level playing field internationally for institutions established in the Union and operating also outside the Union, the date of application for the leverage ratio buffer requirement set out in that Regulation has been deferred by one year to 1 January 2023. With the application of the leverage ratio buffer requirement postponed, during the postponement period there would be no consequences resulting from a failure to meet that requirement as set out in article 141c of Directive 2013/36/EU and no related restriction on distributions set out in article 141b of that Directive; • in addition to changes implemented in the CRR2, also the revision to the leverage ratio calculation (mainly on the exposure measure) introduced by the Basel 4 package will have to be implemented in Europe through the further revision of the CRR (CRR2) and enter into force not earlier than the beginning of 2024; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 443 • on 27 March 2020, the Basel Committee's oversight body, the group of central bank Governors and Heads of Supervision (GHOS) changed the implementation timeline of the outstanding Basel 3 standards. In particular the implementation date of the Basel 3 standards finalised in December 2017 and January 2019 (credit risk, operational risk, output floor and market risk) has been deferred by one year to 1 January 2023; • the EU Commission, published on 27 October 2021 the Banking Package 2021, which includes the proposals for the final implementation of Basel 3 in the European Union through a legislative package (i.e. the Banking Package) introducing amendments to Capital Requirements Regulation 2013/575/EU (CRR), to the Directive 2013/36/UE (Capital Requirements Directive), and also a proposal to amend the Capital Requirements Regulation in the area of resolution (the so-called “daisy chain” proposal). Differently from the Basel Committee, the Commission’s proposal provides for a date of entry in force of the reforms starting from 1 January 2025. The proposal shows that the Commission has taken into account some important European specificities that might mitigate the impact on the sector. In addition to the implementation of the Basel standards, part of the legislative package also aims to strengthen the resilience of the banking sector to environmental, social and governance (ESG) risks. The proposal is now being examined by the European Parliament and the Council (27 Member States), which, respectively, will work on possible changes before agreeing on a common text (so-called Trilogue phase with the mediation of the Commission). The approval of the final text and the publication in the Official Journal will conclude the legislative process; • in March 2018 the ECB published the “Addendum to the Guidance on Non-Performing Exposures” (“NPEs”) which sets out supervisory expectations for the provisioning of exposures reclassified from performing to non-performing exposures after 1 April 2018. In April 2019 however the European Commission’s amendment to Capital Requirements Regulation (CRR) introduced a minimum loss coverage ratio for new loans becoming NPEs after 26 April 2019 (the “statutory backstop”). On 22 August 2019, the ECB decided to revise its supervisory expectations for prudential provisioning of new non-performing exposures. The decision was made after considering the adoption of the new EU regulation that outlines the Pillar I treatment for NPEs. The initiatives that originate from the ECB are strictly supervisory (Pillar II) in nature. In contrast, the European Commission’s requirement is legally binding (Pillar I). The above-mentioned developments result in three “buckets” of NPEs based on the date of the exposure’s origination and the date of NPE’s classification: - NPEs classified before 1 April 2018 (Pillar II - Stock): 2/7 years vintage buckets for unsecured/secured NPEs, subject to supervisory coverage recommendations and phase-in paths as communicated in SREP letters; - NPEs originated before 26 April 2019 (Pillar II - ECB Flows): 3/7/9 years vintage buckets for unsecured/secured other than by immovable property/secured by immovable property, progressive path to 100%; - NPEs originated on or after 26 April 2019 (Pillar I - CRR Flows): 3/7/9 years vintage buckets for unsecured/secured other than by immovable property/secured by immovable property, progressive path to 100%; • in May 2020 the European Banking Authority (EBA) published its Guidelines on loan origination and monitoring that expect institutions to develop robust and prudent standards to ensure newly originated loans are assessed properly. The Guidelines also aim to ensure that the institutions’ practices are aligned with consumer protection rules and respect fair treatment of consumers. In the context of the Covid-19 pandemic, institutions need to maintain good credit risk management and monitoring standards that is essential for supporting lending to the economy. To address the current circumstances the new Guidelines, contain additional transition periods for recently renegotiated loans to help institutions better focusing on their immediate operational priorities. The Guidelines apply from 30 June 2021. But positively, institutions will benefit from a series of transitional arrangements: (1) the application to the already existing loans and advances that require renegotiation will apply from 30 June 2022, and (2) institutions will be allowed to address possible data gaps and adjust their monitoring frameworks and infrastructure until 30 June 2024; • on 1 July 2020 the European Banking Authority (EBA) published its final Guidelines on the treatment of structural FX positions, applicable from 1 January 2022. The aim of these Guidelines is to establish a harmonised framework for the application of the structural FX waiver and identify objective criteria to assist Competent Authorities in their assessment of the structural nature of a foreign-exchange position and to understand whether such position has been deliberately taken for hedging the capital ratio; • entry into force from June 2021 of a binding 3% minimum leverage ratio, an additional regulatory requirement compared to the risk-based indicators envisaged in the Basel 3 package. The leverage ratio aims to constrain the building up of financial leverage in the banking industry, as well as to reinforce the capital requirements with a supplementary measure not based on risk parameters. The final regulation for the European Union (CRR2), including the binding leverage ratio, has been published in June 2019. In March 2020, the group of central bank Governors and Heads of Supervision revised the implementation timeline of the final elements of the Basel 3 framework. The leverage ratio buffer requirement for global systemically important institutions has already been implemented through the amendments introduced by Regulation (EU) 2019/876. Therefore, and in order to ensure a level playing field internationally for institutions established in the Union and operating also outside the Union, the date of application for the leverage ratio buffer requirement set out in that Regulation has been deferred by one year to 1 January 2023. With the application of the leverage ratio buffer requirement postponed, during the postponement period there would be no consequences resulting from a failure to meet that requirement as set out in article 141c of Directive 2013/36/EU and no related restriction on distributions set out in article 141b of that Directive; • in addition to changes implemented in the CRR2, also the revision to the leverage ratio calculation (mainly on the exposure measure) introduced by the Basel 4 package will have to be implemented in Europe through the further revision of the CRR (CRR2) and enter into force not earlier than the beginning of 2024; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 443 • on 27 March 2020, the Basel Committee's oversight body, the group of central bank Governors and Heads of Supervision (GHOS) changed the implementation timeline of the outstanding Basel 3 standards. In particular the implementation date of the Basel 3 standards finalised in December 2017 and January 2019 (credit risk, operational risk, output floor and market risk) has been deferred by one year to 1 January 2023; • the EU Commission, published on 27 October 2021 the Banking Package 2021, which includes the proposals for the final implementation of Basel 3 in the European Union through a legislative package (i.e. the Banking Package) introducing amendments to Capital Requirements Regulation 2013/575/EU (CRR), to the Directive 2013/36/UE (Capital Requirements Directive), and also a proposal to amend the Capital Requirements Regulation in the area of resolution (the so-called “daisy chain” proposal). Differently from the Basel Committee, the Commission’s proposal provides for a date of entry in force of the reforms starting from 1 January 2025. The proposal shows that the Commission has taken into account some important European specificities that might mitigate the impact on the sector. In addition to the implementation of the Basel standards, part of the legislative package also aims to strengthen the resilience of the banking sector to environmental, social and governance (ESG) risks. The proposal is now being examined by the European Parliament and the Council (27 Member States), which, respectively, will work on possible changes before agreeing on a common text (so-called Trilogue phase with the mediation of the Commission). The approval of the final text and the publication in the Official Journal will conclude the legislative process; • in March 2018 the ECB published the “Addendum to the Guidance on Non-Performing Exposures” (“NPEs”) which sets out supervisory expectations for the provisioning of exposures reclassified from performing to non-performing exposures after 1 April 2018. In April 2019 however the European Commission’s amendment to Capital Requirements Regulation (CRR) introduced a minimum loss coverage ratio for new loans becoming NPEs after 26 April 2019 (the “statutory backstop”). On 22 August 2019, the ECB decided to revise its supervisory expectations for prudential provisioning of new non-performing exposures. The decision was made after considering the adoption of the new EU regulation that outlines the Pillar I treatment for NPEs. The initiatives that originate from the ECB are strictly supervisory (Pillar II) in nature. In contrast, the European Commission’s requirement is legally binding (Pillar I). The above-mentioned developments result in three “buckets” of NPEs based on the date of the exposure’s origination and the date of NPE’s classification: - NPEs classified before 1 April 2018 (Pillar II - Stock): 2/7 years vintage buckets for unsecured/secured NPEs, subject to supervisory coverage recommendations and phase-in paths as communicated in SREP letters; - NPEs originated before 26 April 2019 (Pillar II - ECB Flows): 3/7/9 years vintage buckets for unsecured/secured other than by immovable property/secured by immovable property, progressive path to 100%; - NPEs originated on or after 26 April 2019 (Pillar I - CRR Flows): 3/7/9 years vintage buckets for unsecured/secured other than by immovable property/secured by immovable property, progressive path to 100%; • in May 2020 the European Banking Authority (EBA) published its Guidelines on loan origination and monitoring that expect institutions to develop robust and prudent standards to ensure newly originated loans are assessed properly. The Guidelines also aim to ensure that the institutions’ practices are aligned with consumer protection rules and respect fair treatment of consumers. In the context of the Covid-19 pandemic, institutions need to maintain good credit risk management and monitoring standards that is essential for supporting lending to the economy. To address the current circumstances the new Guidelines, contain additional transition periods for recently renegotiated loans to help institutions better focusing on their immediate operational priorities. The Guidelines apply from 30 June 2021. But positively, institutions will benefit from a series of transitional arrangements: (1) the application to the already existing loans and advances that require renegotiation will apply from 30 June 2022, and (2) institutions will be allowed to address possible data gaps and adjust their monitoring frameworks and infrastructure until 30 June 2024; • on 1 July 2020 the European Banking Authority (EBA) published its final Guidelines on the treatment of structural FX positions, applicable from 1 January 2022. The aim of these Guidelines is to establish a harmonised framework for the application of the structural FX waiver and identify objective criteria to assist Competent Authorities in their assessment of the structural nature of a foreign-exchange position and to understand whether such position has been deliberately taken for hedging the capital ratio; • entry into force from June 2021 of a binding 3% minimum leverage ratio, an additional regulatory requirement compared to the risk-based indicators envisaged in the Basel 3 package. The leverage ratio aims to constrain the building up of financial leverage in the banking industry, as well as to reinforce the capital requirements with a supplementary measure not based on risk parameters. The final regulation for the European Union (CRR2), including the binding leverage ratio, has been published in June 2019. In March 2020, the group of central bank Governors and Heads of Supervision revised the implementation timeline of the final elements of the Basel 3 framework. The leverage ratio buffer requirement for global systemically important institutions has already been implemented through the amendments introduced by Regulation (EU) 2019/876. Therefore, and in order to ensure a level playing field internationally for institutions established in the Union and operating also outside the Union, the date of application for the leverage ratio buffer requirement set out in that Regulation has been deferred by one year to 1 January 2023. With the application of the leverage ratio buffer requirement postponed, during the postponement period there would be no consequences resulting from a failure to meet that requirement as set out in article 141c of Directive 2013/36/EU and no related restriction on distributions set out in article 141b of that Directive; • in addition to changes implemented in the CRR2, also the revision to the leverage ratio calculation (mainly on the exposure measure) introduced by the Basel 4 package will have to be implemented in Europe through the further revision of the CRR (CRR2) and enter into force not earlier than the beginning of 2024; Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 444 2021 Annual Report and Accounts · UniCredit • entry into force of the liquidity requirements envisaged in Basel 3: a short-term indicator (Liquidity Coverage Ratio - “LCR”), with the goal to have banks maintain a liquidity buffer to survive a 30-days period of stress, and a structural liquidity indicator (the Net Stable Funding Ratio - “NSFR”) referring to a time horizon over one year, introduced to ensure that assets and liabilities have a sustainable structure in terms of maturity. While the LCR has been in force for some time now, the NSFR has been introduced as a requirement in the CRR2 published in June 2019 and applied since June 2021; • TLAC/MREL introduction: the Total Loss Absorbing Capacity (“TLAC”) introduced by the Financial Stability Board as a global standard for G-SIBs and aimed at ensuring that institutions maintain a sufficient amount of financial resources to absorb losses and recapitalise in case of stress, was implemented in Europe through the CRR2/CRDV, published in June 2019. The European transposition of TLAC, i.e., the “Pillar 1” Minimum Requirement for Own Funds and Eligible Liabilities (Pillar 1 MREL) applies to all G-SIIs; “Pillar 2” MREL instead is bank-specific and was introduced by the BRRD in 2014 and later amended in June 2019 (BRRD2). TLAC (Pillar 1 MREL) has become binding in June 2019 as a transitional requirement, equal to 16% of Risk Weighted Assets (RWAs) + the Combined Buffer Requirement and will reach its fully loaded level (18% of RWAs + Combined Buffer Requirement) in January 2022. MREL, instead, is being phased-in and reaches its fully loaded level in January 2024 (with an intermediate binding target in January 2022); • discussion of preferential treatment of sovereign exposure in banks’ banking book: banks’ exposures to the home sovereign currently benefit of a zero-risk weight. There is no concrete proposal under consultation yet, but policy makers and regulators are discussing which approach to adopt, if any, to remove this preferential treatment. On the one hand, the European Commission (DG FISMA) is drafting a document which allegedly sets out EC's priorities for completing the Banking Union: these include the revision of the treatment of sovereign exposure which might foresee application of concentration charges. On the other hand, in 2018 the European Parliament issued a proposal, on which discussions have stalled, to allow preferential treatment to a new class of State Bond-Backed Securities (“SBBS”), to encourage diversification of banks’ holdings of euro zone bonds. SBBS would be a new type of asset created by the private sector based on a pre-defined pool of sovereign bonds of the Euro area Member States; • climate risk and environmental risk regulation updates: - ECB issued in November 2020 a Guide with supervisory expectations, based on current regulations, on how banks should incorporate climate-related and environmental risks into business strategy, governance, credit-granting process, Risk Appetite Frameworks, risk management framework, liquidity and capital adequacy processes, through dedicated stress testing scenarios; - EBA, EIOPA and ESMA published joint consultation paper on the proposed Environmental, Social and Governance (“ESG”) disclosure standards. EBA also published in November 2020 a discussion paper on ESG risks’ management and supervision, resulting in a final report published in June 2021. Further EBA Guidelines are expected in 2021 and 2022; - the ECB has announced that it will conduct the Stress Test exercise planned for 2022 exclusively regarding Climate Risks, with the aim of evaluating the exposure of the Euro Area financial sector to natural disasters (floods or episodes of intense drought and heat) and to a faster-than-expected ecological transition (e.g. rapid increase in the price of CO2 from 2022). The results of the Stress Test will be integrated into the 2022 Supervisory Review and Evaluation Process (SREP) letter as a qualitative evaluation and will not have quantitative impact on the P2R; - the European Commission in the proposal for amendments to the Regulation on Capital Requirements 2013/575//EU (CRR) published in the Banking Package 2021 has brought forward to 2023 the deadline by which the EBA must deliver its report on the prudential treatment of ESG exposures. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 444 2021 Annual Report and Accounts · UniCredit • entry into force of the liquidity requirements envisaged in Basel 3: a short-term indicator (Liquidity Coverage Ratio - “LCR”), with the goal to have banks maintain a liquidity buffer to survive a 30-days period of stress, and a structural liquidity indicator (the Net Stable Funding Ratio - “NSFR”) referring to a time horizon over one year, introduced to ensure that assets and liabilities have a sustainable structure in terms of maturity. While the LCR has been in force for some time now, the NSFR has been introduced as a requirement in the CRR2 published in June 2019 and applied since June 2021; • TLAC/MREL introduction: the Total Loss Absorbing Capacity (“TLAC”) introduced by the Financial Stability Board as a global standard for G-SIBs and aimed at ensuring that institutions maintain a sufficient amount of financial resources to absorb losses and recapitalise in case of stress, was implemented in Europe through the CRR2/CRDV, published in June 2019. The European transposition of TLAC, i.e., the “Pillar 1” Minimum Requirement for Own Funds and Eligible Liabilities (Pillar 1 MREL) applies to all G-SIIs; “Pillar 2” MREL instead is bank-specific and was introduced by the BRRD in 2014 and later amended in June 2019 (BRRD2). TLAC (Pillar 1 MREL) has become binding in June 2019 as a transitional requirement, equal to 16% of Risk Weighted Assets (RWAs) + the Combined Buffer Requirement and will reach its fully loaded level (18% of RWAs + Combined Buffer Requirement) in January 2022. MREL, instead, is being phased-in and reaches its fully loaded level in January 2024 (with an intermediate binding target in January 2022); • discussion of preferential treatment of sovereign exposure in banks’ banking book: banks’ exposures to the home sovereign currently benefit of a zero-risk weight. There is no concrete proposal under consultation yet, but policy makers and regulators are discussing which approach to adopt, if any, to remove this preferential treatment. On the one hand, the European Commission (DG FISMA) is drafting a document which allegedly sets out EC's priorities for completing the Banking Union: these include the revision of the treatment of sovereign exposure which might foresee application of concentration charges. On the other hand, in 2018 the European Parliament issued a proposal, on which discussions have stalled, to allow preferential treatment to a new class of State Bond-Backed Securities (“SBBS”), to encourage diversification of banks’ holdings of euro zone bonds. SBBS would be a new type of asset created by the private sector based on a pre-defined pool of sovereign bonds of the Euro area Member States; • climate risk and environmental risk regulation updates: - ECB issued in November 2020 a Guide with supervisory expectations, based on current regulations, on how banks should incorporate climate-related and environmental risks into business strategy, governance, credit-granting process, Risk Appetite Frameworks, risk management framework, liquidity and capital adequacy processes, through dedicated stress testing scenarios; - EBA, EIOPA and ESMA published joint consultation paper on the proposed Environmental, Social and Governance (“ESG”) disclosure standards. EBA also published in November 2020 a discussion paper on ESG risks’ management and supervision, resulting in a final report published in June 2021. Further EBA Guidelines are expected in 2021 and 2022; - the ECB has announced that it will conduct the Stress Test exercise planned for 2022 exclusively regarding Climate Risks, with the aim of evaluating the exposure of the Euro Area financial sector to natural disasters (floods or episodes of intense drought and heat) and to a faster-than-expected ecological transition (e.g. rapid increase in the price of CO2 from 2022). The results of the Stress Test will be integrated into the 2022 Supervisory Review and Evaluation Process (SREP) letter as a qualitative evaluation and will not have quantitative impact on the P2R; - the European Commission in the proposal for amendments to the Regulation on Capital Requirements 2013/575//EU (CRR) published in the Banking Package 2021 has brought forward to 2023 the deadline by which the EBA must deliver its report on the prudential treatment of ESG exposures. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 444 2021 Annual Report and Accounts · UniCredit • entry into force of the liquidity requirements envisaged in Basel 3: a short-term indicator (Liquidity Coverage Ratio - “LCR”), with the goal to have banks maintain a liquidity buffer to survive a 30-days period of stress, and a structural liquidity indicator (the Net Stable Funding Ratio - “NSFR”) referring to a time horizon over one year, introduced to ensure that assets and liabilities have a sustainable structure in terms of maturity. While the LCR has been in force for some time now, the NSFR has been introduced as a requirement in the CRR2 published in June 2019 and applied since June 2021; • TLAC/MREL introduction: the Total Loss Absorbing Capacity (“TLAC”) introduced by the Financial Stability Board as a global standard for G-SIBs and aimed at ensuring that institutions maintain a sufficient amount of financial resources to absorb losses and recapitalise in case of stress, was implemented in Europe through the CRR2/CRDV, published in June 2019. The European transposition of TLAC, i.e., the “Pillar 1” Minimum Requirement for Own Funds and Eligible Liabilities (Pillar 1 MREL) applies to all G-SIIs; “Pillar 2” MREL instead is bank-specific and was introduced by the BRRD in 2014 and later amended in June 2019 (BRRD2). TLAC (Pillar 1 MREL) has become binding in June 2019 as a transitional requirement, equal to 16% of Risk Weighted Assets (RWAs) + the Combined Buffer Requirement and will reach its fully loaded level (18% of RWAs + Combined Buffer Requirement) in January 2022. MREL, instead, is being phased-in and reaches its fully loaded level in January 2024 (with an intermediate binding target in January 2022); • discussion of preferential treatment of sovereign exposure in banks’ banking book: banks’ exposures to the home sovereign currently benefit of a zero-risk weight. There is no concrete proposal under consultation yet, but policy makers and regulators are discussing which approach to adopt, if any, to remove this preferential treatment. On the one hand, the European Commission (DG FISMA) is drafting a document which allegedly sets out EC's priorities for completing the Banking Union: these include the revision of the treatment of sovereign exposure which might foresee application of concentration charges. On the other hand, in 2018 the European Parliament issued a proposal, on which discussions have stalled, to allow preferential treatment to a new class of State Bond-Backed Securities (“SBBS”), to encourage diversification of banks’ holdings of euro zone bonds. SBBS would be a new type of asset created by the private sector based on a pre-defined pool of sovereign bonds of the Euro area Member States; • climate risk and environmental risk regulation updates: - ECB issued in November 2020 a Guide with supervisory expectations, based on current regulations, on how banks should incorporate climate-related and environmental risks into business strategy, governance, credit-granting process, Risk Appetite Frameworks, risk management framework, liquidity and capital adequacy processes, through dedicated stress testing scenarios; - EBA, EIOPA and ESMA published joint consultation paper on the proposed Environmental, Social and Governance (“ESG”) disclosure standards. EBA also published in November 2020 a discussion paper on ESG risks’ management and supervision, resulting in a final report published in June 2021. Further EBA Guidelines are expected in 2021 and 2022; - the ECB has announced that it will conduct the Stress Test exercise planned for 2022 exclusively regarding Climate Risks, with the aim of evaluating the exposure of the Euro Area financial sector to natural disasters (floods or episodes of intense drought and heat) and to a faster-than-expected ecological transition (e.g. rapid increase in the price of CO2 from 2022). The results of the Stress Test will be integrated into the 2022 Supervisory Review and Evaluation Process (SREP) letter as a qualitative evaluation and will not have quantitative impact on the P2R; - the European Commission in the proposal for amendments to the Regulation on Capital Requirements 2013/575//EU (CRR) published in the Banking Package 2021 has brought forward to 2023 the deadline by which the EBA must deliver its report on the prudential treatment of ESG exposures. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 444 2021 Annual Report and Accounts · UniCredit • entry into force of the liquidity requirements envisaged in Basel 3: a short-term indicator (Liquidity Coverage Ratio - “LCR”), with the goal to have banks maintain a liquidity buffer to survive a 30-days period of stress, and a structural liquidity indicator (the Net Stable Funding Ratio - “NSFR”) referring to a time horizon over one year, introduced to ensure that assets and liabilities have a sustainable structure in terms of maturity. While the LCR has been in force for some time now, the NSFR has been introduced as a requirement in the CRR2 published in June 2019 and applied since June 2021; • TLAC/MREL introduction: the Total Loss Absorbing Capacity (“TLAC”) introduced by the Financial Stability Board as a global standard for G-SIBs and aimed at ensuring that institutions maintain a sufficient amount of financial resources to absorb losses and recapitalise in case of stress, was implemented in Europe through the CRR2/CRDV, published in June 2019. The European transposition of TLAC, i.e., the “Pillar 1” Minimum Requirement for Own Funds and Eligible Liabilities (Pillar 1 MREL) applies to all G-SIIs; “Pillar 2” MREL instead is bank-specific and was introduced by the BRRD in 2014 and later amended in June 2019 (BRRD2). TLAC (Pillar 1 MREL) has become binding in June 2019 as a transitional requirement, equal to 16% of Risk Weighted Assets (RWAs) + the Combined Buffer Requirement and will reach its fully loaded level (18% of RWAs + Combined Buffer Requirement) in January 2022. MREL, instead, is being phased-in and reaches its fully loaded level in January 2024 (with an intermediate binding target in January 2022); • discussion of preferential treatment of sovereign exposure in banks’ banking book: banks’ exposures to the home sovereign currently benefit of a zero-risk weight. There is no concrete proposal under consultation yet, but policy makers and regulators are discussing which approach to adopt, if any, to remove this preferential treatment. On the one hand, the European Commission (DG FISMA) is drafting a document which allegedly sets out EC's priorities for completing the Banking Union: these include the revision of the treatment of sovereign exposure which might foresee application of concentration charges. On the other hand, in 2018 the European Parliament issued a proposal, on which discussions have stalled, to allow preferential treatment to a new class of State Bond-Backed Securities (“SBBS”), to encourage diversification of banks’ holdings of euro zone bonds. SBBS would be a new type of asset created by the private sector based on a pre-defined pool of sovereign bonds of the Euro area Member States; • climate risk and environmental risk regulation updates: - ECB issued in November 2020 a Guide with supervisory expectations, based on current regulations, on how banks should incorporate climate-related and environmental risks into business strategy, governance, credit-granting process, Risk Appetite Frameworks, risk management framework, liquidity and capital adequacy processes, through dedicated stress testing scenarios; - EBA, EIOPA and ESMA published joint consultation paper on the proposed Environmental, Social and Governance (“ESG”) disclosure standards. EBA also published in November 2020 a discussion paper on ESG risks’ management and supervision, resulting in a final report published in June 2021. Further EBA Guidelines are expected in 2021 and 2022; - the ECB has announced that it will conduct the Stress Test exercise planned for 2022 exclusively regarding Climate Risks, with the aim of evaluating the exposure of the Euro Area financial sector to natural disasters (floods or episodes of intense drought and heat) and to a faster-than-expected ecological transition (e.g. rapid increase in the price of CO2 from 2022). The results of the Stress Test will be integrated into the 2022 Supervisory Review and Evaluation Process (SREP) letter as a qualitative evaluation and will not have quantitative impact on the P2R; - the European Commission in the proposal for amendments to the Regulation on Capital Requirements 2013/575//EU (CRR) published in the Banking Package 2021 has brought forward to 2023 the deadline by which the EBA must deliver its report on the prudential treatment of ESG exposures. Consolidated financial statements | Notes to the consolidated accounts Part E - Information on risks and hedging policies 444 2021 Annual Report and Accounts · UniCredit • entry into force of the liquidity requirements envisaged in Basel 3: a short-term indicator (Liquidity Coverage Ratio - “LCR”), with the goal to have banks maintain a liquidity buffer to survive a 30-days period of stress, and a structural liquidity indicator (the Net Stable Funding Ratio - “NSFR”) referring to a time horizon over one year, introduced to ensure that assets and liabilities have a sustainable structure in terms of maturity. While the LCR has been in force for some time now, the NSFR has been introduced as a requirement in the CRR2 published in June 2019 and applied since June 2021; • TLAC/MREL introduction: the Total Loss Absorbing Capacity (“TLAC”) introduced by the Financial Stability Board as a global standard for G-SIBs and aimed at ensuring that institutions maintain a sufficient amount of financial resources to absorb losses and recapitalise in case of stress, was implemented in Europe through the CRR2/CRDV, published in June 2019. The European transposition of TLAC, i.e., the “Pillar 1” Minimum Requirement for Own Funds and Eligible Liabilities (Pillar 1 MREL) applies to all G-SIIs; “Pillar 2” MREL instead is bank-specific and was introduced by the BRRD in 2014 and later amended in June 2019 (BRRD2). TLAC (Pillar 1 MREL) has become binding in June 2019 as a transitional requirement, equal to 16% of Risk Weighted Assets (RWAs) + the Combined Buffer Requirement and will reach its fully loaded level (18% of RWAs + Combined Buffer Requirement) in January 2022. MREL, instead, is being phased-in and reaches its fully loaded level in January 2024 (with an intermediate binding target in January 2022); • discussion of preferential treatment of sovereign exposure in banks’ banking book: banks’ exposures to the home sovereign currently benefit of a zero-risk weight. There is no concrete proposal under consultation yet, but policy makers and regulators are discussing which approach to adopt, if any, to remove this preferential treatment. On the one hand, the European Commission (DG FISMA) is drafting a document which allegedly sets out EC's priorities for completing the Banking Union: these include the revision of the treatment of sovereign exposure which might foresee application of concentration charges. On the other hand, in 2018 the European Parliament issued a proposal, on which discussions have stalled, to allow preferential treatment to a new class of State Bond-Backed Securities (“SBBS”), to encourage diversification of banks’ holdings of euro zone bonds. SBBS would be a new type of asset created by the private sector based on a pre-defined pool of sovereign bonds of the Euro area Member States; • climate risk and environmental risk regulation updates: - ECB issued in November 2020 a Guide with supervisory expectations, based on current regulations, on how banks should incorporate climate-related and environmental risks into business strategy, governance, credit-granting process, Risk Appetite Frameworks, risk management framework, liquidity and capital adequacy processes, through dedicated stress testing scenarios; - EBA, EIOPA and ESMA published joint consultation paper on the proposed Environmental, Social and Governance (“ESG”) disclosure standards. EBA also published in November 2020 a discussion paper on ESG risks’ management and supervision, resulting in a final report published in June 2021. Further EBA Guidelines are expected in 2021 and 2022; - the ECB has announced that it will conduct the Stress Test exercise planned for 2022 exclusively regarding Climate Risks, with the aim of evaluating the exposure of the Euro Area financial sector to natural disasters (floods or episodes of intense drought and heat) and to a faster-than-expected ecological transition (e.g. rapid increase in the price of CO2 from 2022). The results of the Stress Test will be integrated into the 2022 Supervisory Review and Evaluation Process (SREP) letter as a qualitative evaluation and will not have quantitative impact on the P2R; - the European Commission in the proposal for amendments to the Regulation on Capital Requirements 2013/575//EU (CRR) published in the Banking Package 2021 has brought forward to 2023 the deadline by which the EBA must deliver its report on the prudential treatment of ESG exposures. Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity UniCredit · 2021 Annual Report and Accounts 445 Part F - Consolidated shareholders’ equity Section 1 - Consolidated Shareholders’ Equity A. Qualitative information UniCredit group deems as priority the activities of capital management and capital allocation based on the risks taken, with the aim of expanding the Group’s operations in a value creation perspective. These activities are structured in the different phases of the Group planning and monitoring process and, in particular, in: • planning and budgeting processes: - proposals of risks appetite and capitalisation objectives; - analysis of risks associated with value drivers and allocation of capital to business areas and units; - assignment of risk-adjusted performance objectives; - analysis of the impact on the Group’s value and the creation of value for shareholders; - preparation and proposal of the equity plan and dividend policy; • monitoring processes: - analysis of performance achieved at Group and business unit level and preparation of managerial reports for internal and external use; - analysis and monitoring of limits; - analysis and performance monitoring of the capital ratios of the Group and single entities. The Group has committed itself to generate income in excess to the one necessary to remunerate risk (cost of equity) and to create value for its shareholders by allocating capital to the various business areas and business units on the basis of specific risk profiles. In order to support the planning and monitoring processes, the Group adopts a methodology based on risk-adjusted performance measurement (RAPM) which provides a number of indicators that combine and summarise the operating, financial and risk-related variables to be considered. Therefore, the Group capital and its allocation are of paramount importance in the definition of corporate strategies, as, on the one hand, the Group Capital represents the shareholders’ investment in the Group, which needs to be adequately remunerated, and on the other hand, it is a scarce resource subject to the external constraints set by the regulators. In the allocation process, the definitions of capital adopted are the following: • risk or employed capital: this is the equity component provided by shareholders (employed capital) which must be remunerated through an income generation higher than or equal to expectations (cost of equity); • capital at risk: this is the portion of capital and reserves that is used (the budgeted amount or allocated capital) or was used to cover (at period-end - absorbed capital) the risks taken to pursue the objective of creating value. If capital at risk is measured through risk management methods, then it is defined as internal capital; if it is measured through regulatory provisions, then it is defined as regulatory capital. Internal capital and regulatory capital differ in terms of their definition and the categories of risk covered. The former is based on the actual measurement of the exposure taken, while the latter is based on schedules specified in regulatory provisions. Internal capital is set at such a level to cover adverse events with a high level of probability, while regulatory capital is quantified on the basis of a CET1 target ratio in line with the one of major international banking groups and taking into account the impacts of the supervisory regulations in force or that will be adopted. Capital Allocated to Business Segment is quantified by regulatory capital. The capital management activity aims at defining the target level of capitalisation for the Group and its companies in line with supervisory regulations and the risk appetite. UniCredit group has identified a Common Equity Tier 1 Ratio target of 12.5-13 per cent, as announced during the “UniCredit Unlocked” Strategy Day held on 9 December 2021 (https://www.unicreditgroup.eu/content/dam/unicreditgroup-eu/documents/en/Strategy-day/UniCredit_2021_Strategy-Day_PR_ENG.pdf). The capital management activities envisage the development of the capital plan and the monitoring the regulatory capital ratios. The monitoring activity is focused on the one hand, on capital, according to both accounting and regulatory definition (Common Equity Tier 1, Additional Tier 1, Tier 2 Capital, TLAC and Leverage Ratio), and, on the other hand, on the planning and performance of Risk-Weighted Assets (RWA). The capital management is intended as dynamic activity continuously aiming at identifying the most suitable investment and capital instruments (ordinary shares and other capital instruments) for achieving the defined targets and strategies. If there is a capital shortfall, the gaps to be filled and the capital generation measures that can be used are identified, and their cost and efficiency are measured through the RAPM methodology. In this context, value analysis is enhanced by the aspects regarding, among others, regulatory, accounting, financial, tax-related and risk management issues; in this way, is possible to perform the necessary assessments and to provide with the necessary instructions to the functions of the Parent Company or of the Group companies asked to implement the actions identified. Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity UniCredit · 2021 Annual Report and Accounts 445 Part F - Consolidated shareholders’ equity Section 1 - Consolidated Shareholders’ Equity A. Qualitative information UniCredit group deems as priority the activities of capital management and capital allocation based on the risks taken, with the aim of expanding the Group’s operations in a value creation perspective. These activities are structured in the different phases of the Group planning and monitoring process and, in particular, in: • planning and budgeting processes: - proposals of risks appetite and capitalisation objectives; - analysis of risks associated with value drivers and allocation of capital to business areas and units; - assignment of risk-adjusted performance objectives; - analysis of the impact on the Group’s value and the creation of value for shareholders; - preparation and proposal of the equity plan and dividend policy; • monitoring processes: - analysis of performance achieved at Group and business unit level and preparation of managerial reports for internal and external use; - analysis and monitoring of limits; - analysis and performance monitoring of the capital ratios of the Group and single entities. The Group has committed itself to generate income in excess to the one necessary to remunerate risk (cost of equity) and to create value for its shareholders by allocating capital to the various business areas and business units on the basis of specific risk profiles. In order to support the planning and monitoring processes, the Group adopts a methodology based on risk-adjusted performance measurement (RAPM) which provides a number of indicators that combine and summarise the operating, financial and risk-related variables to be considered. Therefore, the Group capital and its allocation are of paramount importance in the definition of corporate strategies, as, on the one hand, the Group Capital represents the shareholders’ investment in the Group, which needs to be adequately remunerated, and on the other hand, it is a scarce resource subject to the external constraints set by the regulators. In the allocation process, the definitions of capital adopted are the following: • risk or employed capital: this is the equity component provided by shareholders (employed capital) which must be remunerated through an income generation higher than or equal to expectations (cost of equity); • capital at risk: this is the portion of capital and reserves that is used (the budgeted amount or allocated capital) or was used to cover (at period-end - absorbed capital) the risks taken to pursue the objective of creating value. If capital at risk is measured through risk management methods, then it is defined as internal capital; if it is measured through regulatory provisions, then it is defined as regulatory capital. Internal capital and regulatory capital differ in terms of their definition and the categories of risk covered. The former is based on the actual measurement of the exposure taken, while the latter is based on schedules specified in regulatory provisions. Internal capital is set at such a level to cover adverse events with a high level of probability, while regulatory capital is quantified on the basis of a CET1 target ratio in line with the one of major international banking groups and taking into account the impacts of the supervisory regulations in force or that will be adopted. Capital Allocated to Business Segment is quantified by regulatory capital. The capital management activity aims at defining the target level of capitalisation for the Group and its companies in line with supervisory regulations and the risk appetite. UniCredit group has identified a Common Equity Tier 1 Ratio target of 12.5-13 per cent, as announced during the “UniCredit Unlocked” Strategy Day held on 9 December 2021 (https://www.unicreditgroup.eu/content/dam/unicreditgroup-eu/documents/en/Strategy-day/UniCredit_2021_Strategy-Day_PR_ENG.pdf). The capital management activities envisage the development of the capital plan and the monitoring the regulatory capital ratios. The monitoring activity is focused on the one hand, on capital, according to both accounting and regulatory definition (Common Equity Tier 1, Additional Tier 1, Tier 2 Capital, TLAC and Leverage Ratio), and, on the other hand, on the planning and performance of Risk-Weighted Assets (RWA). The capital management is intended as dynamic activity continuously aiming at identifying the most suitable investment and capital instruments (ordinary shares and other capital instruments) for achieving the defined targets and strategies. If there is a capital shortfall, the gaps to be filled and the capital generation measures that can be used are identified, and their cost and efficiency are measured through the RAPM methodology. In this context, value analysis is enhanced by the aspects regarding, among others, regulatory, accounting, financial, tax-related and risk management issues; in this way, is possible to perform the necessary assessments and to provide with the necessary instructions to the functions of the Parent Company or of the Group companies asked to implement the actions identified. Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity UniCredit · 2021 Annual Report and Accounts 445 Part F - Consolidated shareholders’ equity Section 1 - Consolidated Shareholders’ Equity A. Qualitative information UniCredit group deems as priority the activities of capital management and capital allocation based on the risks taken, with the aim of expanding the Group’s operations in a value creation perspective. These activities are structured in the different phases of the Group planning and monitoring process and, in particular, in: • planning and budgeting processes: - proposals of risks appetite and capitalisation objectives; - analysis of risks associated with value drivers and allocation of capital to business areas and units; - assignment of risk-adjusted performance objectives; - analysis of the impact on the Group’s value and the creation of value for shareholders; - preparation and proposal of the equity plan and dividend policy; • monitoring processes: - analysis of performance achieved at Group and business unit level and preparation of managerial reports for internal and external use; - analysis and monitoring of limits; - analysis and performance monitoring of the capital ratios of the Group and single entities. The Group has committed itself to generate income in excess to the one necessary to remunerate risk (cost of equity) and to create value for its shareholders by allocating capital to the various business areas and business units on the basis of specific risk profiles. In order to support the planning and monitoring processes, the Group adopts a methodology based on risk-adjusted performance measurement (RAPM) which provides a number of indicators that combine and summarise the operating, financial and risk-related variables to be considered. Therefore, the Group capital and its allocation are of paramount importance in the definition of corporate strategies, as, on the one hand, the Group Capital represents the shareholders’ investment in the Group, which needs to be adequately remunerated, and on the other hand, it is a scarce resource subject to the external constraints set by the regulators. In the allocation process, the definitions of capital adopted are the following: • risk or employed capital: this is the equity component provided by shareholders (employed capital) which must be remunerated through an income generation higher than or equal to expectations (cost of equity); • capital at risk: this is the portion of capital and reserves that is used (the budgeted amount or allocated capital) or was used to cover (at period-end - absorbed capital) the risks taken to pursue the objective of creating value. If capital at risk is measured through risk management methods, then it is defined as internal capital; if it is measured through regulatory provisions, then it is defined as regulatory capital. Internal capital and regulatory capital differ in terms of their definition and the categories of risk covered. The former is based on the actual measurement of the exposure taken, while the latter is based on schedules specified in regulatory provisions. Internal capital is set at such a level to cover adverse events with a high level of probability, while regulatory capital is quantified on the basis of a CET1 target ratio in line with the one of major international banking groups and taking into account the impacts of the supervisory regulations in force or that will be adopted. Capital Allocated to Business Segment is quantified by regulatory capital. The capital management activity aims at defining the target level of capitalisation for the Group and its companies in line with supervisory regulations and the risk appetite. UniCredit group has identified a Common Equity Tier 1 Ratio target of 12.5-13 per cent, as announced during the “UniCredit Unlocked” Strategy Day held on 9 December 2021 (https://www.unicreditgroup.eu/content/dam/unicreditgroup-eu/documents/en/Strategy-day/UniCredit_2021_Strategy-Day_PR_ENG.pdf). The capital management activities envisage the development of the capital plan and the monitoring the regulatory capital ratios. The monitoring activity is focused on the one hand, on capital, according to both accounting and regulatory definition (Common Equity Tier 1, Additional Tier 1, Tier 2 Capital, TLAC and Leverage Ratio), and, on the other hand, on the planning and performance of Risk-Weighted Assets (RWA). The capital management is intended as dynamic activity continuously aiming at identifying the most suitable investment and capital instruments (ordinary shares and other capital instruments) for achieving the defined targets and strategies. If there is a capital shortfall, the gaps to be filled and the capital generation measures that can be used are identified, and their cost and efficiency are measured through the RAPM methodology. In this context, value analysis is enhanced by the aspects regarding, among others, regulatory, accounting, financial, tax-related and risk management issues; in this way, is possible to perform the necessary assessments and to provide with the necessary instructions to the functions of the Parent Company or of the Group companies asked to implement the actions identified. Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity UniCredit · 2021 Annual Report and Accounts 445 Part F - Consolidated shareholders’ equity Section 1 - Consolidated Shareholders’ Equity A. Qualitative information UniCredit group deems as priority the activities of capital management and capital allocation based on the risks taken, with the aim of expanding the Group’s operations in a value creation perspective. These activities are structured in the different phases of the Group planning and monitoring process and, in particular, in: • planning and budgeting processes: - proposals of risks appetite and capitalisation objectives; - analysis of risks associated with value drivers and allocation of capital to business areas and units; - assignment of risk-adjusted performance objectives; - analysis of the impact on the Group’s value and the creation of value for shareholders; - preparation and proposal of the equity plan and dividend policy; • monitoring processes: - analysis of performance achieved at Group and business unit level and preparation of managerial reports for internal and external use; - analysis and monitoring of limits; - analysis and performance monitoring of the capital ratios of the Group and single entities. The Group has committed itself to generate income in excess to the one necessary to remunerate risk (cost of equity) and to create value for its shareholders by allocating capital to the various business areas and business units on the basis of specific risk profiles. In order to support the planning and monitoring processes, the Group adopts a methodology based on risk-adjusted performance measurement (RAPM) which provides a number of indicators that combine and summarise the operating, financial and risk-related variables to be considered. Therefore, the Group capital and its allocation are of paramount importance in the definition of corporate strategies, as, on the one hand, the Group Capital represents the shareholders’ investment in the Group, which needs to be adequately remunerated, and on the other hand, it is a scarce resource subject to the external constraints set by the regulators. In the allocation process, the definitions of capital adopted are the following: • risk or employed capital: this is the equity component provided by shareholders (employed capital) which must be remunerated through an income generation higher than or equal to expectations (cost of equity); • capital at risk: this is the portion of capital and reserves that is used (the budgeted amount or allocated capital) or was used to cover (at period-end - absorbed capital) the risks taken to pursue the objective of creating value. If capital at risk is measured through risk management methods, then it is defined as internal capital; if it is measured through regulatory provisions, then it is defined as regulatory capital. Internal capital and regulatory capital differ in terms of their definition and the categories of risk covered. The former is based on the actual measurement of the exposure taken, while the latter is based on schedules specified in regulatory provisions. Internal capital is set at such a level to cover adverse events with a high level of probability, while regulatory capital is quantified on the basis of a CET1 target ratio in line with the one of major international banking groups and taking into account the impacts of the supervisory regulations in force or that will be adopted. Capital Allocated to Business Segment is quantified by regulatory capital. The capital management activity aims at defining the target level of capitalisation for the Group and its companies in line with supervisory regulations and the risk appetite. UniCredit group has identified a Common Equity Tier 1 Ratio target of 12.5-13 per cent, as announced during the “UniCredit Unlocked” Strategy Day held on 9 December 2021 (https://www.unicreditgroup.eu/content/dam/unicreditgroup-eu/documents/en/Strategy-day/UniCredit_2021_Strategy-Day_PR_ENG.pdf). The capital management activities envisage the development of the capital plan and the monitoring the regulatory capital ratios. The monitoring activity is focused on the one hand, on capital, according to both accounting and regulatory definition (Common Equity Tier 1, Additional Tier 1, Tier 2 Capital, TLAC and Leverage Ratio), and, on the other hand, on the planning and performance of Risk-Weighted Assets (RWA). The capital management is intended as dynamic activity continuously aiming at identifying the most suitable investment and capital instruments (ordinary shares and other capital instruments) for achieving the defined targets and strategies. If there is a capital shortfall, the gaps to be filled and the capital generation measures that can be used are identified, and their cost and efficiency are measured through the RAPM methodology. In this context, value analysis is enhanced by the aspects regarding, among others, regulatory, accounting, financial, tax-related and risk management issues; in this way, is possible to perform the necessary assessments and to provide with the necessary instructions to the functions of the Parent Company or of the Group companies asked to implement the actions identified. Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity UniCredit · 2021 Annual Report and Accounts 445 Part F - Consolidated shareholders’ equity Section 1 - Consolidated Shareholders’ Equity A. Qualitative information UniCredit group deems as priority the activities of capital management and capital allocation based on the risks taken, with the aim of expanding the Group’s operations in a value creation perspective. These activities are structured in the different phases of the Group planning and monitoring process and, in particular, in: • planning and budgeting processes: - proposals of risks appetite and capitalisation objectives; - analysis of risks associated with value drivers and allocation of capital to business areas and units; - assignment of risk-adjusted performance objectives; - analysis of the impact on the Group’s value and the creation of value for shareholders; - preparation and proposal of the equity plan and dividend policy; • monitoring processes: - analysis of performance achieved at Group and business unit level and preparation of managerial reports for internal and external use; - analysis and monitoring of limits; - analysis and performance monitoring of the capital ratios of the Group and single entities. The Group has committed itself to generate income in excess to the one necessary to remunerate risk (cost of equity) and to create value for its shareholders by allocating capital to the various business areas and business units on the basis of specific risk profiles. In order to support the planning and monitoring processes, the Group adopts a methodology based on risk-adjusted performance measurement (RAPM) which provides a number of indicators that combine and summarise the operating, financial and risk-related variables to be considered. Therefore, the Group capital and its allocation are of paramount importance in the definition of corporate strategies, as, on the one hand, the Group Capital represents the shareholders’ investment in the Group, which needs to be adequately remunerated, and on the other hand, it is a scarce resource subject to the external constraints set by the regulators. In the allocation process, the definitions of capital adopted are the following: • risk or employed capital: this is the equity component provided by shareholders (employed capital) which must be remunerated through an income generation higher than or equal to expectations (cost of equity); • capital at risk: this is the portion of capital and reserves that is used (the budgeted amount or allocated capital) or was used to cover (at period-end - absorbed capital) the risks taken to pursue the objective of creating value. If capital at risk is measured through risk management methods, then it is defined as internal capital; if it is measured through regulatory provisions, then it is defined as regulatory capital. Internal capital and regulatory capital differ in terms of their definition and the categories of risk covered. The former is based on the actual measurement of the exposure taken, while the latter is based on schedules specified in regulatory provisions. Internal capital is set at such a level to cover adverse events with a high level of probability, while regulatory capital is quantified on the basis of a CET1 target ratio in line with the one of major international banking groups and taking into account the impacts of the supervisory regulations in force or that will be adopted. Capital Allocated to Business Segment is quantified by regulatory capital. The capital management activity aims at defining the target level of capitalisation for the Group and its companies in line with supervisory regulations and the risk appetite. UniCredit group has identified a Common Equity Tier 1 Ratio target of 12.5-13 per cent, as announced during the “UniCredit Unlocked” Strategy Day held on 9 December 2021 (https://www.unicreditgroup.eu/content/dam/unicreditgroup-eu/documents/en/Strategy-day/UniCredit_2021_Strategy-Day_PR_ENG.pdf). The capital management activities envisage the development of the capital plan and the monitoring the regulatory capital ratios. The monitoring activity is focused on the one hand, on capital, according to both accounting and regulatory definition (Common Equity Tier 1, Additional Tier 1, Tier 2 Capital, TLAC and Leverage Ratio), and, on the other hand, on the planning and performance of Risk-Weighted Assets (RWA). The capital management is intended as dynamic activity continuously aiming at identifying the most suitable investment and capital instruments (ordinary shares and other capital instruments) for achieving the defined targets and strategies. If there is a capital shortfall, the gaps to be filled and the capital generation measures that can be used are identified, and their cost and efficiency are measured through the RAPM methodology. In this context, value analysis is enhanced by the aspects regarding, among others, regulatory, accounting, financial, tax-related and risk management issues; in this way, is possible to perform the necessary assessments and to provide with the necessary instructions to the functions of the Parent Company or of the Group companies asked to implement the actions identified. Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity 446 2021 Annual Report and Accounts · UniCredit B. Quantitative information B.1 Consolidated Shareholders' Equity: breakdown by type of company (€ million) AMOUNTS AS AT 12.31.2021 NET EQUITY ITEMS BANKING GROUP INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ADJUSTMENTS AND ELIMINATIONS TOTAL 1. Share Capital 21,285 - 17 (2) 21,300 2. Share premium reserve 5,543 - (1) - 5,542 3. Reserves 31,679 285 402 (745) 31,621 4. Equity instruments 6,595 - - - 6,595 5. Treasury shares (200) - - - (200) 6. Revaluation reserves (4,335) 96 25 (121) (4,335) - Equity instruments designated at fair value through other comprehensive income (244) - 48 - (196) - Hedge accounting of equity instruments designated at fair value through other comprehnsive income - - - - - - Financial assets (different from equity instruments) at fair value through other comprehnsive income 751 - - - 751 - Property, plant and equipment 1,711 - 4 - 1,715 - Intangible assets - - - - - - Foreign investments hedging - - - - - - Cash flow hedging (337) - - - (337) - Hedging instruments (non-designated items) - - - - - - Foreign Exchange differences (2,672) - - - (2,672) - Non-current assets and disposal groups classified as held for sale (7) - - - (7) - Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) (142) - - - (142) - Actuarial gains (losses) on defined benefit plans (3,793) - - - (3,793) - Part of valuation reserves from investments valued at equity method 121 96 (27) (121) 69 - Special revaluation laws 277 - - - 277 7. Profit (Loss) of the year (+/-) Minority interests 1,565 154 350 (499) 1,570 Total 62,133 535 793 (1,368) 62,093 B.2 Revaluation reserves of financial assets at fair value through other comprehensive income: breakdown (€ million) ASSETS/VALUES AMOUNTS AS AT 12.31.2021 PRUDENTIAL CONSOLIDATED INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ADJUSTMENTS AND ELIMINATIONS TOTAL POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE 1. Debt securities 853 (102) - - - - - - 853 (102) 2. Equity securities 289 (533) - - 52 (4) - - 341 (537) 3. Loans - - - - - - - - - - Total 12.31.2021 1,143 (635) - - 52 (4) - - 1,194 (640) Total 12.31.2020 1,402 (632) - - 23 (4) - - 1,425 (636) Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity 446 2021 Annual Report and Accounts · UniCredit B. Quantitative information B.1 Consolidated Shareholders' Equity: breakdown by type of company (€ million) AMOUNTS AS AT 12.31.2021 NET EQUITY ITEMS BANKING GROUP INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ADJUSTMENTS AND ELIMINATIONS TOTAL 1. Share Capital 21,285 - 17 (2) 21,300 2. Share premium reserve 5,543 - (1) - 5,542 3. Reserves 31,679 285 402 (745) 31,621 4. Equity instruments 6,595 - - - 6,595 5. Treasury shares (200) - - - (200) 6. Revaluation reserves (4,335) 96 25 (121) (4,335) - Equity instruments designated at fair value through other comprehensive income (244) - 48 - (196) - Hedge accounting of equity instruments designated at fair value through other comprehnsive income - - - - - - Financial assets (different from equity instruments) at fair value through other comprehnsive income 751 - - - 751 - Property, plant and equipment 1,711 - 4 - 1,715 - Intangible assets - - - - - - Foreign investments hedging - - - - - - Cash flow hedging (337) - - - (337) - Hedging instruments (non-designated items) - - - - - - Foreign Exchange differences (2,672) - - - (2,672) - Non-current assets and disposal groups classified as held for sale (7) - - - (7) - Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) (142) - - - (142) - Actuarial gains (losses) on defined benefit plans (3,793) - - - (3,793) - Part of valuation reserves from investments valued at equity method 121 96 (27) (121) 69 - Special revaluation laws 277 - - - 277 7. Profit (Loss) of the year (+/-) Minority interests 1,565 154 350 (499) 1,570 Total 62,133 535 793 (1,368) 62,093 B.2 Revaluation reserves of financial assets at fair value through other comprehensive income: breakdown (€ million) ASSETS/VALUES AMOUNTS AS AT 12.31.2021 PRUDENTIAL CONSOLIDATED INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ADJUSTMENTS AND ELIMINATIONS TOTAL POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE 1. Debt securities 853 (102) - - - - - - 853 (102) 2. Equity securities 289 (533) - - 52 (4) - - 341 (537) 3. Loans - - - - - - - - - - Total 12.31.2021 1,143 (635) - - 52 (4) - - 1,194 (640) Total 12.31.2020 1,402 (632) - - 23 (4) - - 1,425 (636) Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity 446 2021 Annual Report and Accounts · UniCredit B. Quantitative information B.1 Consolidated Shareholders' Equity: breakdown by type of company (€ million) AMOUNTS AS AT 12.31.2021 NET EQUITY ITEMS BANKING GROUP INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ADJUSTMENTS AND ELIMINATIONS TOTAL 1. Share Capital 21,285 - 17 (2) 21,300 2. Share premium reserve 5,543 - (1) - 5,542 3. Reserves 31,679 285 402 (745) 31,621 4. Equity instruments 6,595 - - - 6,595 5. Treasury shares (200) - - - (200) 6. Revaluation reserves (4,335) 96 25 (121) (4,335) - Equity instruments designated at fair value through other comprehensive income (244) - 48 - (196) - Hedge accounting of equity instruments designated at fair value through other comprehnsive income - - - - - - Financial assets (different from equity instruments) at fair value through other comprehnsive income 751 - - - 751 - Property, plant and equipment 1,711 - 4 - 1,715 - Intangible assets - - - - - - Foreign investments hedging - - - - - - Cash flow hedging (337) - - - (337) - Hedging instruments (non-designated items) - - - - - - Foreign Exchange differences (2,672) - - - (2,672) - Non-current assets and disposal groups classified as held for sale (7) - - - (7) - Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) (142) - - - (142) - Actuarial gains (losses) on defined benefit plans (3,793) - - - (3,793) - Part of valuation reserves from investments valued at equity method 121 96 (27) (121) 69 - Special revaluation laws 277 - - - 277 7. Profit (Loss) of the year (+/-) Minority interests 1,565 154 350 (499) 1,570 Total 62,133 535 793 (1,368) 62,093 B.2 Revaluation reserves of financial assets at fair value through other comprehensive income: breakdown (€ million) ASSETS/VALUES AMOUNTS AS AT 12.31.2021 PRUDENTIAL CONSOLIDATED INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ADJUSTMENTS AND ELIMINATIONS TOTAL POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE 1. Debt securities 853 (102) - - - - - - 853 (102) 2. Equity securities 289 (533) - - 52 (4) - - 341 (537) 3. Loans - - - - - - - - - - Total 12.31.2021 1,143 (635) - - 52 (4) - - 1,194 (640) Total 12.31.2020 1,402 (632) - - 23 (4) - - 1,425 (636) Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity 446 2021 Annual Report and Accounts · UniCredit B. Quantitative information B.1 Consolidated Shareholders' Equity: breakdown by type of company (€ million) AMOUNTS AS AT 12.31.2021 NET EQUITY ITEMS BANKING GROUP INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ADJUSTMENTS AND ELIMINATIONS TOTAL 1. Share Capital 21,285 - 17 (2) 21,300 2. Share premium reserve 5,543 - (1) - 5,542 3. Reserves 31,679 285 402 (745) 31,621 4. Equity instruments 6,595 - - - 6,595 5. Treasury shares (200) - - - (200) 6. Revaluation reserves (4,335) 96 25 (121) (4,335) - Equity instruments designated at fair value through other comprehensive income (244) - 48 - (196) - Hedge accounting of equity instruments designated at fair value through other comprehnsive income - - - - - - Financial assets (different from equity instruments) at fair value through other comprehnsive income 751 - - - 751 - Property, plant and equipment 1,711 - 4 - 1,715 - Intangible assets - - - - - - Foreign investments hedging - - - - - - Cash flow hedging (337) - - - (337) - Hedging instruments (non-designated items) - - - - - - Foreign Exchange differences (2,672) - - - (2,672) - Non-current assets and disposal groups classified as held for sale (7) - - - (7) - Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) (142) - - - (142) - Actuarial gains (losses) on defined benefit plans (3,793) - - - (3,793) - Part of valuation reserves from investments valued at equity method 121 96 (27) (121) 69 - Special revaluation laws 277 - - - 277 7. Profit (Loss) of the year (+/-) Minority interests 1,565 154 350 (499) 1,570 Total 62,133 535 793 (1,368) 62,093 B.2 Revaluation reserves of financial assets at fair value through other comprehensive income: breakdown (€ million) ASSETS/VALUES AMOUNTS AS AT 12.31.2021 PRUDENTIAL CONSOLIDATED INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ADJUSTMENTS AND ELIMINATIONS TOTAL POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE 1. Debt securities 853 (102) - - - - - - 853 (102) 2. Equity securities 289 (533) - - 52 (4) - - 341 (537) 3. Loans - - - - - - - - - - Total 12.31.2021 1,143 (635) - - 52 (4) - - 1,194 (640) Total 12.31.2020 1,402 (632) - - 23 (4) - - 1,425 (636) Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity 446 2021 Annual Report and Accounts · UniCredit B. Quantitative information B.1 Consolidated Shareholders' Equity: breakdown by type of company (€ million) AMOUNTS AS AT 12.31.2021 NET EQUITY ITEMS BANKING GROUP INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ADJUSTMENTS AND ELIMINATIONS TOTAL 1. Share Capital 21,285 - 17 (2) 21,300 2. Share premium reserve 5,543 - (1) - 5,542 3. Reserves 31,679 285 402 (745) 31,621 4. Equity instruments 6,595 - - - 6,595 5. Treasury shares (200) - - - (200) 6. Revaluation reserves (4,335) 96 25 (121) (4,335) - Equity instruments designated at fair value through other comprehensive income (244) - 48 - (196) - Hedge accounting of equity instruments designated at fair value through other comprehnsive income - - - - - - Financial assets (different from equity instruments) at fair value through other comprehnsive income 751 - - - 751 - Property, plant and equipment 1,711 - 4 - 1,715 - Intangible assets - - - - - - Foreign investments hedging - - - - - - Cash flow hedging (337) - - - (337) - Hedging instruments (non-designated items) - - - - - - Foreign Exchange differences (2,672) - - - (2,672) - Non-current assets and disposal groups classified as held for sale (7) - - - (7) - Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) (142) - - - (142) - Actuarial gains (losses) on defined benefit plans (3,793) - - - (3,793) - Part of valuation reserves from investments valued at equity method 121 96 (27) (121) 69 - Special revaluation laws 277 - - - 277 7. Profit (Loss) of the year (+/-) Minority interests 1,565 154 350 (499) 1,570 Total 62,133 535 793 (1,368) 62,093 B.2 Revaluation reserves of financial assets at fair value through other comprehensive income: breakdown (€ million) ASSETS/VALUES AMOUNTS AS AT 12.31.2021 PRUDENTIAL CONSOLIDATED INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ADJUSTMENTS AND ELIMINATIONS TOTAL POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE 1. Debt securities 853 (102) - - - - - - 853 (102) 2. Equity securities 289 (533) - - 52 (4) - - 341 (537) 3. Loans - - - - - - - - - - Total 12.31.2021 1,143 (635) - - 52 (4) - - 1,194 (640) Total 12.31.2020 1,402 (632) - - 23 (4) - - 1,425 (636) Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity UniCredit · 2021 Annual Report and Accounts 447 B.3 Revaluation reserves of financial assets at fair value through other comprehensive income: annual change (€ million) ASSETS/VALUES CHANGES IN 2021 DEBT SECURITIES EQUITY SECURITIES LOANS 1. Opening balance 1,128 (339) - 2. Positive changes 794 160 - 2.1 Fair value increases 618 103 - 2.2 Net losses on impairment 26 - - 2.3 Reclassification through profit or loss of negative reserves: following disposal 129 - - 2.4 Transfers to other comprehensive shareholders' equity (equity instruments) - 27 - 2.5 Other changes 21 30 - 3. Negative changes (1,172) (17) - 3.1 Fair value reductions (869) (14) - 3.2 Recoveries on impairment (13) - - 3.3 Reclassification throught profit or loss of positive reserves: following disposal (284) - - 3.4 Transfers to other comprehensive shareholders' equity (equity instruments) - (3) - 3.5 Other changes (6) - - 4. Closing balance 751 (196) - B.4 Revaluation reserves related to defined benefit plans: annual changes (€ million) CHANGES IN 2021 BANKING GROUP INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ELIMINATIONS AND ADJUSTMENTS TOTAL 1. Opening balance (4,007) - - - (4,007) 2. Increases 229 - - - 229 2.1 Increases in fair value 207 - - - 207 2.2 Transfers to other net equity items 25 - - - 25 2.3 Other changes (3) - - - (3) 3. Decreases (15) - - - (15) 3.1 Decreases in fair value (15) - - - (15) 3.2 Transfers to other net equity items - - - - - 3.3 Other changes - - - - - 4. Closing balance (3,793) - - - (3,793) Section 2 - Own funds and banking regulatory ratios For this section refer to the own funds disclosure and capital adequacy reported into the UniCredit group disclosure (Pillar III). Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity UniCredit · 2021 Annual Report and Accounts 447 B.3 Revaluation reserves of financial assets at fair value through other comprehensive income: annual change (€ million) ASSETS/VALUES CHANGES IN 2021 DEBT SECURITIES EQUITY SECURITIES LOANS 1. Opening balance 1,128 (339) - 2. Positive changes 794 160 - 2.1 Fair value increases 618 103 - 2.2 Net losses on impairment 26 - - 2.3 Reclassification through profit or loss of negative reserves: following disposal 129 - - 2.4 Transfers to other comprehensive shareholders' equity (equity instruments) - 27 - 2.5 Other changes 21 30 - 3. Negative changes (1,172) (17) - 3.1 Fair value reductions (869) (14) - 3.2 Recoveries on impairment (13) - - 3.3 Reclassification throught profit or loss of positive reserves: following disposal (284) - - 3.4 Transfers to other comprehensive shareholders' equity (equity instruments) - (3) - 3.5 Other changes (6) - - 4. Closing balance 751 (196) - B.4 Revaluation reserves related to defined benefit plans: annual changes (€ million) CHANGES IN 2021 BANKING GROUP INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ELIMINATIONS AND ADJUSTMENTS TOTAL 1. Opening balance (4,007) - - - (4,007) 2. Increases 229 - - - 229 2.1 Increases in fair value 207 - - - 207 2.2 Transfers to other net equity items 25 - - - 25 2.3 Other changes (3) - - - (3) 3. Decreases (15) - - - (15) 3.1 Decreases in fair value (15) - - - (15) 3.2 Transfers to other net equity items - - - - - 3.3 Other changes - - - - - 4. Closing balance (3,793) - - - (3,793) Section 2 - Own funds and banking regulatory ratios For this section refer to the own funds disclosure and capital adequacy reported into the UniCredit group disclosure (Pillar III). Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity UniCredit · 2021 Annual Report and Accounts 447 B.3 Revaluation reserves of financial assets at fair value through other comprehensive income: annual change (€ million) ASSETS/VALUES CHANGES IN 2021 DEBT SECURITIES EQUITY SECURITIES LOANS 1. Opening balance 1,128 (339) - 2. Positive changes 794 160 - 2.1 Fair value increases 618 103 - 2.2 Net losses on impairment 26 - - 2.3 Reclassification through profit or loss of negative reserves: following disposal 129 - - 2.4 Transfers to other comprehensive shareholders' equity (equity instruments) - 27 - 2.5 Other changes 21 30 - 3. Negative changes (1,172) (17) - 3.1 Fair value reductions (869) (14) - 3.2 Recoveries on impairment (13) - - 3.3 Reclassification throught profit or loss of positive reserves: following disposal (284) - - 3.4 Transfers to other comprehensive shareholders' equity (equity instruments) - (3) - 3.5 Other changes (6) - - 4. Closing balance 751 (196) - B.4 Revaluation reserves related to defined benefit plans: annual changes (€ million) CHANGES IN 2021 BANKING GROUP INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ELIMINATIONS AND ADJUSTMENTS TOTAL 1. Opening balance (4,007) - - - (4,007) 2. Increases 229 - - - 229 2.1 Increases in fair value 207 - - - 207 2.2 Transfers to other net equity items 25 - - - 25 2.3 Other changes (3) - - - (3) 3. Decreases (15) - - - (15) 3.1 Decreases in fair value (15) - - - (15) 3.2 Transfers to other net equity items - - - - - 3.3 Other changes - - - - - 4. Closing balance (3,793) - - - (3,793) Section 2 - Own funds and banking regulatory ratios For this section refer to the own funds disclosure and capital adequacy reported into the UniCredit group disclosure (Pillar III). Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity UniCredit · 2021 Annual Report and Accounts 447 B.3 Revaluation reserves of financial assets at fair value through other comprehensive income: annual change (€ million) ASSETS/VALUES CHANGES IN 2021 DEBT SECURITIES EQUITY SECURITIES LOANS 1. Opening balance 1,128 (339) - 2. Positive changes 794 160 - 2.1 Fair value increases 618 103 - 2.2 Net losses on impairment 26 - - 2.3 Reclassification through profit or loss of negative reserves: following disposal 129 - - 2.4 Transfers to other comprehensive shareholders' equity (equity instruments) - 27 - 2.5 Other changes 21 30 - 3. Negative changes (1,172) (17) - 3.1 Fair value reductions (869) (14) - 3.2 Recoveries on impairment (13) - - 3.3 Reclassification throught profit or loss of positive reserves: following disposal (284) - - 3.4 Transfers to other comprehensive shareholders' equity (equity instruments) - (3) - 3.5 Other changes (6) - - 4. Closing balance 751 (196) - B.4 Revaluation reserves related to defined benefit plans: annual changes (€ million) CHANGES IN 2021 BANKING GROUP INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ELIMINATIONS AND ADJUSTMENTS TOTAL 1. Opening balance (4,007) - - - (4,007) 2. Increases 229 - - - 229 2.1 Increases in fair value 207 - - - 207 2.2 Transfers to other net equity items 25 - - - 25 2.3 Other changes (3) - - - (3) 3. Decreases (15) - - - (15) 3.1 Decreases in fair value (15) - - - (15) 3.2 Transfers to other net equity items - - - - - 3.3 Other changes - - - - - 4. Closing balance (3,793) - - - (3,793) Section 2 - Own funds and banking regulatory ratios For this section refer to the own funds disclosure and capital adequacy reported into the UniCredit group disclosure (Pillar III). Consolidated financial statements | Notes to the consolidated accounts Part F - Consolidated shareholders’ equity UniCredit · 2021 Annual Report and Accounts 447 B.3 Revaluation reserves of financial assets at fair value through other comprehensive income: annual change (€ million) ASSETS/VALUES CHANGES IN 2021 DEBT SECURITIES EQUITY SECURITIES LOANS 1. Opening balance 1,128 (339) - 2. Positive changes 794 160 - 2.1 Fair value increases 618 103 - 2.2 Net losses on impairment 26 - - 2.3 Reclassification through profit or loss of negative reserves: following disposal 129 - - 2.4 Transfers to other comprehensive shareholders' equity (equity instruments) - 27 - 2.5 Other changes 21 30 - 3. Negative changes (1,172) (17) - 3.1 Fair value reductions (869) (14) - 3.2 Recoveries on impairment (13) - - 3.3 Reclassification throught profit or loss of positive reserves: following disposal (284) - - 3.4 Transfers to other comprehensive shareholders' equity (equity instruments) - (3) - 3.5 Other changes (6) - - 4. Closing balance 751 (196) - B.4 Revaluation reserves related to defined benefit plans: annual changes (€ million) CHANGES IN 2021 BANKING GROUP INSURANCE COMPANIES OTHER COMPANIES CONSOLIDATION ELIMINATIONS AND ADJUSTMENTS TOTAL 1. Opening balance (4,007) - - - (4,007) 2. Increases 229 - - - 229 2.1 Increases in fair value 207 - - - 207 2.2 Transfers to other net equity items 25 - - - 25 2.3 Other changes (3) - - - (3) 3. Decreases (15) - - - (15) 3.1 Decreases in fair value (15) - - - (15) 3.2 Transfers to other net equity items - - - - - 3.3 Other changes - - - - - 4. Closing balance (3,793) - - - (3,793) Section 2 - Own funds and banking regulatory ratios For this section refer to the own funds disclosure and capital adequacy reported into the UniCredit group disclosure (Pillar III). Consolidated financial statements | Notes to the consolidated accounts Part G - Business combinations 448 2021 Annual Report and Accounts · UniCredit Part G - Business combinatios Section 1 - Business combinations completed in the year 1.1 Business combinations Business combinations with counterparties outside the Group are carried out using the “purchase method” prescribed by the accounting standard IFRS3 “Business Combinations”, cited in the disclosure of “A.2 - Main items of the accounts”, Notes to the consolidated accounts, Part A - Accounting policies. In 2021 the Group has performed no relevant business combinations outside the Group. For the sake of completeness, it should be noted that in the third quarter 2021 Zagrebačka Banka obtained the de-facto control over OT-Optima Telekom DD and therefore it was consolidated in financial statements. For further information refer to Consolidated report on operations, Other information, paragraph “Other information on Group activities”. For further details refer to the paragraph “Section 3 - Consolidation scope and methods”, Notes to the consolidated accounts, Part A - Accounting policies, A.1 - General. Under its reorganisation programme, in 2021 the Group carried out business combinations involving companies or businesses which were already directly or indirectly controlled by UniCredit S.p.A. These transactions have no economic substance and are accounted for in the acquirer’s and acquired entity’s accounts in accordance with the continuity principle. These transactions have no effect on consolidated level. Specifically, it should be noted that it has been carried out the cross-border merger by incorporation of the wholly owned subsidiary UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. on 1 November 2021, in line with the Group's strategic guidelines. Section 2 - Business combinations completed after year-end No business combinations have been completed after year end. Section 3 - Retrospective adjustments No retrospective adjustments have been applied in 2021 on business combinations competed in previous years. Consolidated financial statements | Notes to the consolidated accounts Part G - Business combinations 448 2021 Annual Report and Accounts · UniCredit Part G - Business combinatios Section 1 - Business combinations completed in the year 1.1 Business combinations Business combinations with counterparties outside the Group are carried out using the “purchase method” prescribed by the accounting standard IFRS3 “Business Combinations”, cited in the disclosure of “A.2 - Main items of the accounts”, Notes to the consolidated accounts, Part A - Accounting policies. In 2021 the Group has performed no relevant business combinations outside the Group. For the sake of completeness, it should be noted that in the third quarter 2021 Zagrebačka Banka obtained the de-facto control over OT-Optima Telekom DD and therefore it was consolidated in financial statements. For further information refer to Consolidated report on operations, Other information, paragraph “Other information on Group activities”. For further details refer to the paragraph “Section 3 - Consolidation scope and methods”, Notes to the consolidated accounts, Part A - Accounting policies, A.1 - General. Under its reorganisation programme, in 2021 the Group carried out business combinations involving companies or businesses which were already directly or indirectly controlled by UniCredit S.p.A. These transactions have no economic substance and are accounted for in the acquirer’s and acquired entity’s accounts in accordance with the continuity principle. These transactions have no effect on consolidated level. Specifically, it should be noted that it has been carried out the cross-border merger by incorporation of the wholly owned subsidiary UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. on 1 November 2021, in line with the Group's strategic guidelines. Section 2 - Business combinations completed after year-end No business combinations have been completed after year end. Section 3 - Retrospective adjustments No retrospective adjustments have been applied in 2021 on business combinations competed in previous years. Consolidated financial statements | Notes to the consolidated accounts Part G - Business combinations 448 2021 Annual Report and Accounts · UniCredit Part G - Business combinatios Section 1 - Business combinations completed in the year 1.1 Business combinations Business combinations with counterparties outside the Group are carried out using the “purchase method” prescribed by the accounting standard IFRS3 “Business Combinations”, cited in the disclosure of “A.2 - Main items of the accounts”, Notes to the consolidated accounts, Part A - Accounting policies. In 2021 the Group has performed no relevant business combinations outside the Group. For the sake of completeness, it should be noted that in the third quarter 2021 Zagrebačka Banka obtained the de-facto control over OT-Optima Telekom DD and therefore it was consolidated in financial statements. For further information refer to Consolidated report on operations, Other information, paragraph “Other information on Group activities”. For further details refer to the paragraph “Section 3 - Consolidation scope and methods”, Notes to the consolidated accounts, Part A - Accounting policies, A.1 - General. Under its reorganisation programme, in 2021 the Group carried out business combinations involving companies or businesses which were already directly or indirectly controlled by UniCredit S.p.A. These transactions have no economic substance and are accounted for in the acquirer’s and acquired entity’s accounts in accordance with the continuity principle. These transactions have no effect on consolidated level. Specifically, it should be noted that it has been carried out the cross-border merger by incorporation of the wholly owned subsidiary UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. on 1 November 2021, in line with the Group's strategic guidelines. Section 2 - Business combinations completed after year-end No business combinations have been completed after year end. Section 3 - Retrospective adjustments No retrospective adjustments have been applied in 2021 on business combinations competed in previous years. Consolidated financial statements | Notes to the consolidated accounts Part G - Business combinations 448 2021 Annual Report and Accounts · UniCredit Part G - Business combinatios Section 1 - Business combinations completed in the year 1.1 Business combinations Business combinations with counterparties outside the Group are carried out using the “purchase method” prescribed by the accounting standard IFRS3 “Business Combinations”, cited in the disclosure of “A.2 - Main items of the accounts”, Notes to the consolidated accounts, Part A - Accounting policies. In 2021 the Group has performed no relevant business combinations outside the Group. For the sake of completeness, it should be noted that in the third quarter 2021 Zagrebačka Banka obtained the de-facto control over OT-Optima Telekom DD and therefore it was consolidated in financial statements. For further information refer to Consolidated report on operations, Other information, paragraph “Other information on Group activities”. For further details refer to the paragraph “Section 3 - Consolidation scope and methods”, Notes to the consolidated accounts, Part A - Accounting policies, A.1 - General. Under its reorganisation programme, in 2021 the Group carried out business combinations involving companies or businesses which were already directly or indirectly controlled by UniCredit S.p.A. These transactions have no economic substance and are accounted for in the acquirer’s and acquired entity’s accounts in accordance with the continuity principle. These transactions have no effect on consolidated level. Specifically, it should be noted that it has been carried out the cross-border merger by incorporation of the wholly owned subsidiary UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. on 1 November 2021, in line with the Group's strategic guidelines. Section 2 - Business combinations completed after year-end No business combinations have been completed after year end. Section 3 - Retrospective adjustments No retrospective adjustments have been applied in 2021 on business combinations competed in previous years. Consolidated financial statements | Notes to the consolidated accounts Part G - Business combinations 448 2021 Annual Report and Accounts · UniCredit Part G - Business combinatios Section 1 - Business combinations completed in the year 1.1 Business combinations Business combinations with counterparties outside the Group are carried out using the “purchase method” prescribed by the accounting standard IFRS3 “Business Combinations”, cited in the disclosure of “A.2 - Main items of the accounts”, Notes to the consolidated accounts, Part A - Accounting policies. In 2021 the Group has performed no relevant business combinations outside the Group. For the sake of completeness, it should be noted that in the third quarter 2021 Zagrebačka Banka obtained the de-facto control over OT-Optima Telekom DD and therefore it was consolidated in financial statements. For further information refer to Consolidated report on operations, Other information, paragraph “Other information on Group activities”. For further details refer to the paragraph “Section 3 - Consolidation scope and methods”, Notes to the consolidated accounts, Part A - Accounting policies, A.1 - General. Under its reorganisation programme, in 2021 the Group carried out business combinations involving companies or businesses which were already directly or indirectly controlled by UniCredit S.p.A. These transactions have no economic substance and are accounted for in the acquirer’s and acquired entity’s accounts in accordance with the continuity principle. These transactions have no effect on consolidated level. Specifically, it should be noted that it has been carried out the cross-border merger by incorporation of the wholly owned subsidiary UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. on 1 November 2021, in line with the Group's strategic guidelines. Section 2 - Business combinations completed after year-end No business combinations have been completed after year end. Section 3 - Retrospective adjustments No retrospective adjustments have been applied in 2021 on business combinations competed in previous years. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 449 Part H - Related-party transactions Introduction For the purposes of financial disclosure, in accordance with the Commission Regulation (EU) No.632/2010 of 19 July 2010, the text of IAS24 applies, which defines the concept of related party and identifies the relations between that party and the entity producing the financial statements it is also clarified that the disclosure should include transactions entered into with subsidiaries of associates and subsidiaries of joint ventures. Pursuant to IAS24, UniCredit S.p.A.’s related parties include: • companies belonging to UniCredit group and companies controlled by UniCredit but not consolidated; • associates and joint ventures, as well as their subsidiaries; • UniCredit’s “Key management personnel”; • close family members of “key management personnel” and companies controlled (or jointly controlled) by key management personnel or their close family members; • UniCredit group employee post-employment benefit plans. Also for the management of related-party transactions refer to the discipline established by Consob Regulation No.17221/2010 as subsequently amended by Resolution No.21624 of 10 December 2020 (deriving from the provisions of Art.2391-bis of the Italian Civil Code) and by Banca d’Italia Circular No.285/2013 (Part III, Chapter 11, Section I) as well as the provisions pursuant to Art.136 of Legislative Decree No.385/1993, under which corporate officers may assume obligations towards the bank they manage, direct or control, only upon unanimous approval of the board of the bank and positive opinion of the Board of Statutory Auditors. In this regard, UniCredit, as a listed issuer and subject to Banca d’Italia regulations, has adopted the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA72 (Consolidated Banking Act)”, approved by UniCredit’s Board of Directors with the positive opinion of the Related Parties Committee and of the Board of Statutory Auditors, which is published on UniCredit website (www.unicreditgroup.eu), designed to define preliminary and conclusive rules with respect to transactions executed by UniCredit, including those conducted through subsidiaries, with related parties, considering the specificities of the provisions mentioned above, and the manner in which information is disclosed to corporate bodies, the supervisory authorities and the market. Specific guidelines contained in the Global Policy have been distributed to the company’s functions and Group Legal Entities in order to systematically abide to the above-mentioned reporting requirements. The Board of Directors set up the Related Parties Committee, in compliance with CONSOB regulatory provisions and the Bank of Italy’s supervisory regulations, consisting only of independent Directors pursuant to the Italian Corporate Governance Code. In addition, UniCredit applies specific procedures regarding internal controls on risk activities with subjects in conflict of interests regulated in the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA72”. During 2021, transactions carried out with related parties reported in the data streams provided by the reference standards, were executed and carried out based on assessments of the economic convenience and interests of the Group. 72 Corresponding to Italian Testo Unico Bancario. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 449 Part H - Related-party transactions Introduction For the purposes of financial disclosure, in accordance with the Commission Regulation (EU) No.632/2010 of 19 July 2010, the text of IAS24 applies, which defines the concept of related party and identifies the relations between that party and the entity producing the financial statements it is also clarified that the disclosure should include transactions entered into with subsidiaries of associates and subsidiaries of joint ventures. Pursuant to IAS24, UniCredit S.p.A.’s related parties include: • companies belonging to UniCredit group and companies controlled by UniCredit but not consolidated; • associates and joint ventures, as well as their subsidiaries; • UniCredit’s “Key management personnel”; • close family members of “key management personnel” and companies controlled (or jointly controlled) by key management personnel or their close family members; • UniCredit group employee post-employment benefit plans. Also for the management of related-party transactions refer to the discipline established by Consob Regulation No.17221/2010 as subsequently amended by Resolution No.21624 of 10 December 2020 (deriving from the provisions of Art.2391-bis of the Italian Civil Code) and by Banca d’Italia Circular No.285/2013 (Part III, Chapter 11, Section I) as well as the provisions pursuant to Art.136 of Legislative Decree No.385/1993, under which corporate officers may assume obligations towards the bank they manage, direct or control, only upon unanimous approval of the board of the bank and positive opinion of the Board of Statutory Auditors. In this regard, UniCredit, as a listed issuer and subject to Banca d’Italia regulations, has adopted the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA72 (Consolidated Banking Act)”, approved by UniCredit’s Board of Directors with the positive opinion of the Related Parties Committee and of the Board of Statutory Auditors, which is published on UniCredit website (www.unicreditgroup.eu), designed to define preliminary and conclusive rules with respect to transactions executed by UniCredit, including those conducted through subsidiaries, with related parties, considering the specificities of the provisions mentioned above, and the manner in which information is disclosed to corporate bodies, the supervisory authorities and the market. Specific guidelines contained in the Global Policy have been distributed to the company’s functions and Group Legal Entities in order to systematically abide to the above-mentioned reporting requirements. The Board of Directors set up the Related Parties Committee, in compliance with CONSOB regulatory provisions and the Bank of Italy’s supervisory regulations, consisting only of independent Directors pursuant to the Italian Corporate Governance Code. In addition, UniCredit applies specific procedures regarding internal controls on risk activities with subjects in conflict of interests regulated in the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA72”. During 2021, transactions carried out with related parties reported in the data streams provided by the reference standards, were executed and carried out based on assessments of the economic convenience and interests of the Group. 72 Corresponding to Italian Testo Unico Bancario. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 449 Part H - Related-party transactions Introduction For the purposes of financial disclosure, in accordance with the Commission Regulation (EU) No.632/2010 of 19 July 2010, the text of IAS24 applies, which defines the concept of related party and identifies the relations between that party and the entity producing the financial statements it is also clarified that the disclosure should include transactions entered into with subsidiaries of associates and subsidiaries of joint ventures. Pursuant to IAS24, UniCredit S.p.A.’s related parties include: • companies belonging to UniCredit group and companies controlled by UniCredit but not consolidated; • associates and joint ventures, as well as their subsidiaries; • UniCredit’s “Key management personnel”; • close family members of “key management personnel” and companies controlled (or jointly controlled) by key management personnel or their close family members; • UniCredit group employee post-employment benefit plans. Also for the management of related-party transactions refer to the discipline established by Consob Regulation No.17221/2010 as subsequently amended by Resolution No.21624 of 10 December 2020 (deriving from the provisions of Art.2391-bis of the Italian Civil Code) and by Banca d’Italia Circular No.285/2013 (Part III, Chapter 11, Section I) as well as the provisions pursuant to Art.136 of Legislative Decree No.385/1993, under which corporate officers may assume obligations towards the bank they manage, direct or control, only upon unanimous approval of the board of the bank and positive opinion of the Board of Statutory Auditors. In this regard, UniCredit, as a listed issuer and subject to Banca d’Italia regulations, has adopted the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA72 (Consolidated Banking Act)”, approved by UniCredit’s Board of Directors with the positive opinion of the Related Parties Committee and of the Board of Statutory Auditors, which is published on UniCredit website (www.unicreditgroup.eu), designed to define preliminary and conclusive rules with respect to transactions executed by UniCredit, including those conducted through subsidiaries, with related parties, considering the specificities of the provisions mentioned above, and the manner in which information is disclosed to corporate bodies, the supervisory authorities and the market. Specific guidelines contained in the Global Policy have been distributed to the company’s functions and Group Legal Entities in order to systematically abide to the above-mentioned reporting requirements. The Board of Directors set up the Related Parties Committee, in compliance with CONSOB regulatory provisions and the Bank of Italy’s supervisory regulations, consisting only of independent Directors pursuant to the Italian Corporate Governance Code. In addition, UniCredit applies specific procedures regarding internal controls on risk activities with subjects in conflict of interests regulated in the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA72”. During 2021, transactions carried out with related parties reported in the data streams provided by the reference standards, were executed and carried out based on assessments of the economic convenience and interests of the Group. 72 Corresponding to Italian Testo Unico Bancario. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 449 Part H - Related-party transactions Introduction For the purposes of financial disclosure, in accordance with the Commission Regulation (EU) No.632/2010 of 19 July 2010, the text of IAS24 applies, which defines the concept of related party and identifies the relations between that party and the entity producing the financial statements it is also clarified that the disclosure should include transactions entered into with subsidiaries of associates and subsidiaries of joint ventures. Pursuant to IAS24, UniCredit S.p.A.’s related parties include: • companies belonging to UniCredit group and companies controlled by UniCredit but not consolidated; • associates and joint ventures, as well as their subsidiaries; • UniCredit’s “Key management personnel”; • close family members of “key management personnel” and companies controlled (or jointly controlled) by key management personnel or their close family members; • UniCredit group employee post-employment benefit plans. Also for the management of related-party transactions refer to the discipline established by Consob Regulation No.17221/2010 as subsequently amended by Resolution No.21624 of 10 December 2020 (deriving from the provisions of Art.2391-bis of the Italian Civil Code) and by Banca d’Italia Circular No.285/2013 (Part III, Chapter 11, Section I) as well as the provisions pursuant to Art.136 of Legislative Decree No.385/1993, under which corporate officers may assume obligations towards the bank they manage, direct or control, only upon unanimous approval of the board of the bank and positive opinion of the Board of Statutory Auditors. In this regard, UniCredit, as a listed issuer and subject to Banca d’Italia regulations, has adopted the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA72 (Consolidated Banking Act)”, approved by UniCredit’s Board of Directors with the positive opinion of the Related Parties Committee and of the Board of Statutory Auditors, which is published on UniCredit website (www.unicreditgroup.eu), designed to define preliminary and conclusive rules with respect to transactions executed by UniCredit, including those conducted through subsidiaries, with related parties, considering the specificities of the provisions mentioned above, and the manner in which information is disclosed to corporate bodies, the supervisory authorities and the market. Specific guidelines contained in the Global Policy have been distributed to the company’s functions and Group Legal Entities in order to systematically abide to the above-mentioned reporting requirements. The Board of Directors set up the Related Parties Committee, in compliance with CONSOB regulatory provisions and the Bank of Italy’s supervisory regulations, consisting only of independent Directors pursuant to the Italian Corporate Governance Code. In addition, UniCredit applies specific procedures regarding internal controls on risk activities with subjects in conflict of interests regulated in the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA72”. During 2021, transactions carried out with related parties reported in the data streams provided by the reference standards, were executed and carried out based on assessments of the economic convenience and interests of the Group. 72 Corresponding to Italian Testo Unico Bancario. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 449 Part H - Related-party transactions Introduction For the purposes of financial disclosure, in accordance with the Commission Regulation (EU) No.632/2010 of 19 July 2010, the text of IAS24 applies, which defines the concept of related party and identifies the relations between that party and the entity producing the financial statements it is also clarified that the disclosure should include transactions entered into with subsidiaries of associates and subsidiaries of joint ventures. Pursuant to IAS24, UniCredit S.p.A.’s related parties include: • companies belonging to UniCredit group and companies controlled by UniCredit but not consolidated; • associates and joint ventures, as well as their subsidiaries; • UniCredit’s “Key management personnel”; • close family members of “key management personnel” and companies controlled (or jointly controlled) by key management personnel or their close family members; • UniCredit group employee post-employment benefit plans. Also for the management of related-party transactions refer to the discipline established by Consob Regulation No.17221/2010 as subsequently amended by Resolution No.21624 of 10 December 2020 (deriving from the provisions of Art.2391-bis of the Italian Civil Code) and by Banca d’Italia Circular No.285/2013 (Part III, Chapter 11, Section I) as well as the provisions pursuant to Art.136 of Legislative Decree No.385/1993, under which corporate officers may assume obligations towards the bank they manage, direct or control, only upon unanimous approval of the board of the bank and positive opinion of the Board of Statutory Auditors. In this regard, UniCredit, as a listed issuer and subject to Banca d’Italia regulations, has adopted the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA72 (Consolidated Banking Act)”, approved by UniCredit’s Board of Directors with the positive opinion of the Related Parties Committee and of the Board of Statutory Auditors, which is published on UniCredit website (www.unicreditgroup.eu), designed to define preliminary and conclusive rules with respect to transactions executed by UniCredit, including those conducted through subsidiaries, with related parties, considering the specificities of the provisions mentioned above, and the manner in which information is disclosed to corporate bodies, the supervisory authorities and the market. Specific guidelines contained in the Global Policy have been distributed to the company’s functions and Group Legal Entities in order to systematically abide to the above-mentioned reporting requirements. The Board of Directors set up the Related Parties Committee, in compliance with CONSOB regulatory provisions and the Bank of Italy’s supervisory regulations, consisting only of independent Directors pursuant to the Italian Corporate Governance Code. In addition, UniCredit applies specific procedures regarding internal controls on risk activities with subjects in conflict of interests regulated in the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA72”. During 2021, transactions carried out with related parties reported in the data streams provided by the reference standards, were executed and carried out based on assessments of the economic convenience and interests of the Group. 72 Corresponding to Italian Testo Unico Bancario. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions 450 2021 Annual Report and Accounts · UniCredit 1. Details of Key management personnels’ compensation Details of Key management personnel’s 2021 remuneration are given below pursuant to IAS24 and to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments) requiring that also the Statutory Auditors’ compensation be included. Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Statutory Auditors, and, following a change in definition of “key management personnel”, approved by the Board of Directors on 12 October 2021, with the aim to ensure the alignment to the new organization model, the Chief Audit Executive and the Group Executive Committee (GEC) members, body that reports directly to the Chief Executive Officer, excluding the Heads of Group Strategy & Optimization and Group Stakeholder Engagement. Before such date, the aggregate included the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer. Remuneration paid to key management personnel (including directors) (€ million) YEAR 2021 YEAR 2020 a) short-term employee benefits 21 18 b) post-retirement benefits 1 1 of which: under defined benefit plans - - of which: under defined contribution plans 1 1 c) other long-term benefits - - d) termination benefits 15 - e) share-based payments 13 9 Total 50 28 The information reported above include the compensation paid to Directors (€5 million), Statutory Auditors (€1 million), General Manager (€0.3 million) and other Managers with strategic responsibilities (€13 million), as shown in the document "Information Tables Pursuant Art.84 -quarter (Annual Report - Section II) of the Regulation No.11971 Issued by Consob" attached to the “2021 Group Remuneration Policy”, and about €30 million relating to other costs (the company share of social security contributions, accruals to severance pay funds and share-based payments using UniCredit and its subsidiaries’ equity instruments). The compensation paid shows an increase compared to fiscal year 2020 primarily related to: (i) the fact that 2020 pay levels had been extremely low compared to normal given the severe impacts of the Covid-19 pandemic; (ii) the payment of indemnities related to the termination of employment relationships, linked to the managerial changes that took place in the context of the strategic review carried out during the year; (iii) the need, in compliance with the international accounting standards, to fully charge to 2021 both the Share Award assigned to the new CEO and the costs related to the incentive plans based on financial instruments maintained as "good leaver" by some managers who left the Group during the year. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions 450 2021 Annual Report and Accounts · UniCredit 1. Details of Key management personnels’ compensation Details of Key management personnel’s 2021 remuneration are given below pursuant to IAS24 and to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments) requiring that also the Statutory Auditors’ compensation be included. Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Statutory Auditors, and, following a change in definition of “key management personnel”, approved by the Board of Directors on 12 October 2021, with the aim to ensure the alignment to the new organization model, the Chief Audit Executive and the Group Executive Committee (GEC) members, body that reports directly to the Chief Executive Officer, excluding the Heads of Group Strategy & Optimization and Group Stakeholder Engagement. Before such date, the aggregate included the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer. Remuneration paid to key management personnel (including directors) (€ million) YEAR 2021 YEAR 2020 a) short-term employee benefits 21 18 b) post-retirement benefits 1 1 of which: under defined benefit plans - - of which: under defined contribution plans 1 1 c) other long-term benefits - - d) termination benefits 15 - e) share-based payments 13 9 Total 50 28 The information reported above include the compensation paid to Directors (€5 million), Statutory Auditors (€1 million), General Manager (€0.3 million) and other Managers with strategic responsibilities (€13 million), as shown in the document "Information Tables Pursuant Art.84 -quarter (Annual Report - Section II) of the Regulation No.11971 Issued by Consob" attached to the “2021 Group Remuneration Policy”, and about €30 million relating to other costs (the company share of social security contributions, accruals to severance pay funds and share-based payments using UniCredit and its subsidiaries’ equity instruments). The compensation paid shows an increase compared to fiscal year 2020 primarily related to: (i) the fact that 2020 pay levels had been extremely low compared to normal given the severe impacts of the Covid-19 pandemic; (ii) the payment of indemnities related to the termination of employment relationships, linked to the managerial changes that took place in the context of the strategic review carried out during the year; (iii) the need, in compliance with the international accounting standards, to fully charge to 2021 both the Share Award assigned to the new CEO and the costs related to the incentive plans based on financial instruments maintained as "good leaver" by some managers who left the Group during the year. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions 450 2021 Annual Report and Accounts · UniCredit 1. Details of Key management personnels’ compensation Details of Key management personnel’s 2021 remuneration are given below pursuant to IAS24 and to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments) requiring that also the Statutory Auditors’ compensation be included. Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Statutory Auditors, and, following a change in definition of “key management personnel”, approved by the Board of Directors on 12 October 2021, with the aim to ensure the alignment to the new organization model, the Chief Audit Executive and the Group Executive Committee (GEC) members, body that reports directly to the Chief Executive Officer, excluding the Heads of Group Strategy & Optimization and Group Stakeholder Engagement. Before such date, the aggregate included the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer. Remuneration paid to key management personnel (including directors) (€ million) YEAR 2021 YEAR 2020 a) short-term employee benefits 21 18 b) post-retirement benefits 1 1 of which: under defined benefit plans - - of which: under defined contribution plans 1 1 c) other long-term benefits - - d) termination benefits 15 - e) share-based payments 13 9 Total 50 28 The information reported above include the compensation paid to Directors (€5 million), Statutory Auditors (€1 million), General Manager (€0.3 million) and other Managers with strategic responsibilities (€13 million), as shown in the document "Information Tables Pursuant Art.84 -quarter (Annual Report - Section II) of the Regulation No.11971 Issued by Consob" attached to the “2021 Group Remuneration Policy”, and about €30 million relating to other costs (the company share of social security contributions, accruals to severance pay funds and share-based payments using UniCredit and its subsidiaries’ equity instruments). The compensation paid shows an increase compared to fiscal year 2020 primarily related to: (i) the fact that 2020 pay levels had been extremely low compared to normal given the severe impacts of the Covid-19 pandemic; (ii) the payment of indemnities related to the termination of employment relationships, linked to the managerial changes that took place in the context of the strategic review carried out during the year; (iii) the need, in compliance with the international accounting standards, to fully charge to 2021 both the Share Award assigned to the new CEO and the costs related to the incentive plans based on financial instruments maintained as "good leaver" by some managers who left the Group during the year. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions 450 2021 Annual Report and Accounts · UniCredit 1. Details of Key management personnels’ compensation Details of Key management personnel’s 2021 remuneration are given below pursuant to IAS24 and to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments) requiring that also the Statutory Auditors’ compensation be included. Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Statutory Auditors, and, following a change in definition of “key management personnel”, approved by the Board of Directors on 12 October 2021, with the aim to ensure the alignment to the new organization model, the Chief Audit Executive and the Group Executive Committee (GEC) members, body that reports directly to the Chief Executive Officer, excluding the Heads of Group Strategy & Optimization and Group Stakeholder Engagement. Before such date, the aggregate included the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer. Remuneration paid to key management personnel (including directors) (€ million) YEAR 2021 YEAR 2020 a) short-term employee benefits 21 18 b) post-retirement benefits 1 1 of which: under defined benefit plans - - of which: under defined contribution plans 1 1 c) other long-term benefits - - d) termination benefits 15 - e) share-based payments 13 9 Total 50 28 The information reported above include the compensation paid to Directors (€5 million), Statutory Auditors (€1 million), General Manager (€0.3 million) and other Managers with strategic responsibilities (€13 million), as shown in the document "Information Tables Pursuant Art.84 -quarter (Annual Report - Section II) of the Regulation No.11971 Issued by Consob" attached to the “2021 Group Remuneration Policy”, and about €30 million relating to other costs (the company share of social security contributions, accruals to severance pay funds and share-based payments using UniCredit and its subsidiaries’ equity instruments). The compensation paid shows an increase compared to fiscal year 2020 primarily related to: (i) the fact that 2020 pay levels had been extremely low compared to normal given the severe impacts of the Covid-19 pandemic; (ii) the payment of indemnities related to the termination of employment relationships, linked to the managerial changes that took place in the context of the strategic review carried out during the year; (iii) the need, in compliance with the international accounting standards, to fully charge to 2021 both the Share Award assigned to the new CEO and the costs related to the incentive plans based on financial instruments maintained as "good leaver" by some managers who left the Group during the year. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions 450 2021 Annual Report and Accounts · UniCredit 1. Details of Key management personnels’ compensation Details of Key management personnel’s 2021 remuneration are given below pursuant to IAS24 and to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments) requiring that also the Statutory Auditors’ compensation be included. Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Statutory Auditors, and, following a change in definition of “key management personnel”, approved by the Board of Directors on 12 October 2021, with the aim to ensure the alignment to the new organization model, the Chief Audit Executive and the Group Executive Committee (GEC) members, body that reports directly to the Chief Executive Officer, excluding the Heads of Group Strategy & Optimization and Group Stakeholder Engagement. Before such date, the aggregate included the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer. Remuneration paid to key management personnel (including directors) (€ million) YEAR 2021 YEAR 2020 a) short-term employee benefits 21 18 b) post-retirement benefits 1 1 of which: under defined benefit plans - - of which: under defined contribution plans 1 1 c) other long-term benefits - - d) termination benefits 15 - e) share-based payments 13 9 Total 50 28 The information reported above include the compensation paid to Directors (€5 million), Statutory Auditors (€1 million), General Manager (€0.3 million) and other Managers with strategic responsibilities (€13 million), as shown in the document "Information Tables Pursuant Art.84 -quarter (Annual Report - Section II) of the Regulation No.11971 Issued by Consob" attached to the “2021 Group Remuneration Policy”, and about €30 million relating to other costs (the company share of social security contributions, accruals to severance pay funds and share-based payments using UniCredit and its subsidiaries’ equity instruments). The compensation paid shows an increase compared to fiscal year 2020 primarily related to: (i) the fact that 2020 pay levels had been extremely low compared to normal given the severe impacts of the Covid-19 pandemic; (ii) the payment of indemnities related to the termination of employment relationships, linked to the managerial changes that took place in the context of the strategic review carried out during the year; (iii) the need, in compliance with the international accounting standards, to fully charge to 2021 both the Share Award assigned to the new CEO and the costs related to the incentive plans based on financial instruments maintained as "good leaver" by some managers who left the Group during the year. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 451 2. Related-party transactions The following table sets out the assets, liabilities, guarantees and commitments, for each group of related parties, pursuant to IAS24. Related-party transactions: balance sheet items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED NOT CONSOLIDATED ENTITIES JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM Cash and cash balances - - 7 - - 7 0.01% - - Financial assets at fair value through profit or loss - - 120 - - 120 0.13% 194 0.21% a) Financial assets held for trading - - 41 - - 41 0.05% 194 0.24% c) Other financial assets mandatorily at fair value - - 79 - - 79 0.67% - - Financial assets at fair value through other comprehensive income - - 126 - - 126 0.18% - - Financial assets at amortised cost 13 17 709 1 - 740 0.12% 3 - a) Loans and advances to banks 5 - 29 - - 34 0.04% - - b) Loans and advances to customers 8 17 680 1 - 706 0.14% 3 - Non-current assets and disposal groups classified as held for sale - - 14 - - 14 0.10% - - Other assets 13 - 102 - - 115 1.59% - - Total assets 26 17 1,078 1 - 1,122 0.14% 197 0.03% Financial liabilities at amortised cost 30 2 8,341 3 81 8,457 1.11% 1,461 0.19% a) Deposits from banks - - 6,528 - - 6,528 4.02% 17 0.01% b) Deposits from customers 30 2 1,813 3 81 1,929 0.38% 227 0.05% c) Debt securities in issue - - - - - - - 1,217 1.27% Financial liabilities held for trading and designated at fair value - - 31 - - 31 0.05% 2 - Other liabilities 20 - 33 - - 53 0.40% - - Total liabilities 50 2 8,405 3 81 8,541 1.01% 1,463 0.17% Guarantees given and commitments(**) 6 - 1,687 - - 1,693 0.48% 25 Notes: (*) Shareholders and related companies holding more than 3% of voting shares in UniCredit. (**) It should be noted that the item “Commitments and guarantees given” includes revocable commitments. The value of the percentage on accounts Item, referred to “Commitments and guarantees given”, has been calculated on the total of the tables “1. Commitments and financial guarantees given (different from those designated at fair value)” and “2. Others commitments and others guarantees given” in Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities, Other information. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 451 2. Related-party transactions The following table sets out the assets, liabilities, guarantees and commitments, for each group of related parties, pursuant to IAS24. Related-party transactions: balance sheet items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED NOT CONSOLIDATED ENTITIES JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM Cash and cash balances - - 7 - - 7 0.01% - - Financial assets at fair value through profit or loss - - 120 - - 120 0.13% 194 0.21% a) Financial assets held for trading - - 41 - - 41 0.05% 194 0.24% c) Other financial assets mandatorily at fair value - - 79 - - 79 0.67% - - Financial assets at fair value through other comprehensive income - - 126 - - 126 0.18% - - Financial assets at amortised cost 13 17 709 1 - 740 0.12% 3 - a) Loans and advances to banks 5 - 29 - - 34 0.04% - - b) Loans and advances to customers 8 17 680 1 - 706 0.14% 3 - Non-current assets and disposal groups classified as held for sale - - 14 - - 14 0.10% - - Other assets 13 - 102 - - 115 1.59% - - Total assets 26 17 1,078 1 - 1,122 0.14% 197 0.03% Financial liabilities at amortised cost 30 2 8,341 3 81 8,457 1.11% 1,461 0.19% a) Deposits from banks - - 6,528 - - 6,528 4.02% 17 0.01% b) Deposits from customers 30 2 1,813 3 81 1,929 0.38% 227 0.05% c) Debt securities in issue - - - - - - - 1,217 1.27% Financial liabilities held for trading and designated at fair value - - 31 - - 31 0.05% 2 - Other liabilities 20 - 33 - - 53 0.40% - - Total liabilities 50 2 8,405 3 81 8,541 1.01% 1,463 0.17% Guarantees given and commitments(**) 6 - 1,687 - - 1,693 0.48% 25 Notes: (*) Shareholders and related companies holding more than 3% of voting shares in UniCredit. (**) It should be noted that the item “Commitments and guarantees given” includes revocable commitments. The value of the percentage on accounts Item, referred to “Commitments and guarantees given”, has been calculated on the total of the tables “1. Commitments and financial guarantees given (different from those designated at fair value)” and “2. Others commitments and others guarantees given” in Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities, Other information. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 451 2. Related-party transactions The following table sets out the assets, liabilities, guarantees and commitments, for each group of related parties, pursuant to IAS24. Related-party transactions: balance sheet items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED NOT CONSOLIDATED ENTITIES JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM Cash and cash balances - - 7 - - 7 0.01% - - Financial assets at fair value through profit or loss - - 120 - - 120 0.13% 194 0.21% a) Financial assets held for trading - - 41 - - 41 0.05% 194 0.24% c) Other financial assets mandatorily at fair value - - 79 - - 79 0.67% - - Financial assets at fair value through other comprehensive income - - 126 - - 126 0.18% - - Financial assets at amortised cost 13 17 709 1 - 740 0.12% 3 - a) Loans and advances to banks 5 - 29 - - 34 0.04% - - b) Loans and advances to customers 8 17 680 1 - 706 0.14% 3 - Non-current assets and disposal groups classified as held for sale - - 14 - - 14 0.10% - - Other assets 13 - 102 - - 115 1.59% - - Total assets 26 17 1,078 1 - 1,122 0.14% 197 0.03% Financial liabilities at amortised cost 30 2 8,341 3 81 8,457 1.11% 1,461 0.19% a) Deposits from banks - - 6,528 - - 6,528 4.02% 17 0.01% b) Deposits from customers 30 2 1,813 3 81 1,929 0.38% 227 0.05% c) Debt securities in issue - - - - - - - 1,217 1.27% Financial liabilities held for trading and designated at fair value - - 31 - - 31 0.05% 2 - Other liabilities 20 - 33 - - 53 0.40% - - Total liabilities 50 2 8,405 3 81 8,541 1.01% 1,463 0.17% Guarantees given and commitments(**) 6 - 1,687 - - 1,693 0.48% 25 Notes: (*) Shareholders and related companies holding more than 3% of voting shares in UniCredit. (**) It should be noted that the item “Commitments and guarantees given” includes revocable commitments. The value of the percentage on accounts Item, referred to “Commitments and guarantees given”, has been calculated on the total of the tables “1. Commitments and financial guarantees given (different from those designated at fair value)” and “2. Others commitments and others guarantees given” in Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities, Other information. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 451 2. Related-party transactions The following table sets out the assets, liabilities, guarantees and commitments, for each group of related parties, pursuant to IAS24. Related-party transactions: balance sheet items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED NOT CONSOLIDATED ENTITIES JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM Cash and cash balances - - 7 - - 7 0.01% - - Financial assets at fair value through profit or loss - - 120 - - 120 0.13% 194 0.21% a) Financial assets held for trading - - 41 - - 41 0.05% 194 0.24% c) Other financial assets mandatorily at fair value - - 79 - - 79 0.67% - - Financial assets at fair value through other comprehensive income - - 126 - - 126 0.18% - - Financial assets at amortised cost 13 17 709 1 - 740 0.12% 3 - a) Loans and advances to banks 5 - 29 - - 34 0.04% - - b) Loans and advances to customers 8 17 680 1 - 706 0.14% 3 - Non-current assets and disposal groups classified as held for sale - - 14 - - 14 0.10% - - Other assets 13 - 102 - - 115 1.59% - - Total assets 26 17 1,078 1 - 1,122 0.14% 197 0.03% Financial liabilities at amortised cost 30 2 8,341 3 81 8,457 1.11% 1,461 0.19% a) Deposits from banks - - 6,528 - - 6,528 4.02% 17 0.01% b) Deposits from customers 30 2 1,813 3 81 1,929 0.38% 227 0.05% c) Debt securities in issue - - - - - - - 1,217 1.27% Financial liabilities held for trading and designated at fair value - - 31 - - 31 0.05% 2 - Other liabilities 20 - 33 - - 53 0.40% - - Total liabilities 50 2 8,405 3 81 8,541 1.01% 1,463 0.17% Guarantees given and commitments(**) 6 - 1,687 - - 1,693 0.48% 25 Notes: (*) Shareholders and related companies holding more than 3% of voting shares in UniCredit. (**) It should be noted that the item “Commitments and guarantees given” includes revocable commitments. The value of the percentage on accounts Item, referred to “Commitments and guarantees given”, has been calculated on the total of the tables “1. Commitments and financial guarantees given (different from those designated at fair value)” and “2. Others commitments and others guarantees given” in Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities, Other information. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 451 2. Related-party transactions The following table sets out the assets, liabilities, guarantees and commitments, for each group of related parties, pursuant to IAS24. Related-party transactions: balance sheet items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED NOT CONSOLIDATED ENTITIES JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM Cash and cash balances - - 7 - - 7 0.01% - - Financial assets at fair value through profit or loss - - 120 - - 120 0.13% 194 0.21% a) Financial assets held for trading - - 41 - - 41 0.05% 194 0.24% c) Other financial assets mandatorily at fair value - - 79 - - 79 0.67% - - Financial assets at fair value through other comprehensive income - - 126 - - 126 0.18% - - Financial assets at amortised cost 13 17 709 1 - 740 0.12% 3 - a) Loans and advances to banks 5 - 29 - - 34 0.04% - - b) Loans and advances to customers 8 17 680 1 - 706 0.14% 3 - Non-current assets and disposal groups classified as held for sale - - 14 - - 14 0.10% - - Other assets 13 - 102 - - 115 1.59% - - Total assets 26 17 1,078 1 - 1,122 0.14% 197 0.03% Financial liabilities at amortised cost 30 2 8,341 3 81 8,457 1.11% 1,461 0.19% a) Deposits from banks - - 6,528 - - 6,528 4.02% 17 0.01% b) Deposits from customers 30 2 1,813 3 81 1,929 0.38% 227 0.05% c) Debt securities in issue - - - - - - - 1,217 1.27% Financial liabilities held for trading and designated at fair value - - 31 - - 31 0.05% 2 - Other liabilities 20 - 33 - - 53 0.40% - - Total liabilities 50 2 8,405 3 81 8,541 1.01% 1,463 0.17% Guarantees given and commitments(**) 6 - 1,687 - - 1,693 0.48% 25 Notes: (*) Shareholders and related companies holding more than 3% of voting shares in UniCredit. (**) It should be noted that the item “Commitments and guarantees given” includes revocable commitments. The value of the percentage on accounts Item, referred to “Commitments and guarantees given”, has been calculated on the total of the tables “1. Commitments and financial guarantees given (different from those designated at fair value)” and “2. Others commitments and others guarantees given” in Notes to the consolidated accounts, Part B - Consolidated balance sheet - Liabilities, Other information. Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions 452 2021 Annual Report and Accounts · UniCredit The following table sets out the impact of transactions, for each group of related parties, on income statements, pursuant to IAS24. Related-party transactions: profit and loss items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED NOT CONSOLIDATED ENTITIES JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM 10. Interest income and similar revenues 3 2 86 - - 91 0.72% - - 20. Interest expenses and similar charges - - (23) - - (23) 0.64% (54) 1.50% 30. Net interest margin 3 2 63 - - 68 0.75% (54) 0.59% 40. Fees and commissions income - - 749 - - 749 9.41% 69 0.87% 50. Fees and commissions expenses - - (4) - - (4) 0.32% - - 60. Net fees and commissions - - 745 - - 745 11.11% 69 1.03% 70. Dividend income and similar revenues 10 - - - - 10 2.85% 11 3.13% 190. Administrative expenses (11) - (425) - (16) (452) 4.02% (2) 0.02% a) Staff costs (3) - 4 - (13) (12) 0.17% (1) 0.01% b) Other administrative expenses (8) - (429) - (3) (440) 10.45% (1) 0.02% 230. Other operating expenses/income 2 - (43) - - (41) 7.24% (5) 0.88% Note: (*) Shareholders and related companies holding more than 3% of voting shares in UniCredit. For additional information regarding gains and losses of equity investments in associated companies, reference is made to the item “17.1 Gains (Losses) of equity investments: breakdown”, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 17 - Gains (Losses) of equity investments - Item 250. The “Other related-parties IAS” category includes: • close family members of key management personnel (i.e. those family members who, as is expected, may influence, or be influenced by, the person in question); • companies controlled (or jointly controlled) by key management personnel or their close family members; • Group employee post-employment benefit plans. The main related-party transactions are the following: • In 2012 the subsidiary UniCredit Services S.C.p.A. (UCS) formerly UniCredit Business Integrated Solutions S.C.p.A. (UBIS), assumed the role of operating sub-holding to provide the Group’s support services both in Italy and abroad. On 19 April 2013, the Board of Directors of UCS approved the executive plan of the project aimed at establishing a joint venture with another major player in the industry, IBM Italia S.p.A. (IBM), for the provision of technological infrastructure services (hardware, data center, etc.) to Commercial Banking. The transaction was completed when UCS transferred, with effect from 1 September 2013, of “Information Technology" business unit to the company "Value Transformation Services S.p.A.” (V-TServices), formed and controlled by IBM Italia S.p.A. Following the transaction, UCS holds 49% of V-TServices’s share capital; the remaining 51% is held by IBM (which is therefore the controlling shareholder). On 23 December 2016, the “Restatement and Amendment Agreement” was signed between UniCredit Services and V-TS with the aim of increasing value creation and ability to catch new opportunities from technological evolution, with the extention of the term until 2026. The “Second Restatement and Amendment Agreement” between UniCredit Services and V-TS was signed on 22 December 2019, with effect from 1 January 2020, with the extension of the term of the 3-year contract until 2029. The services provided to UniCredit group by the abovementioned companies result in an exchange of fees (administrative costs). • In 2018, through a competitive auction process, UniCredit S.p.A. has signed long-term partnership with Allianz for the exclusive distribution of Life and Non-Life bancassurance products (excluding Credit Protection products) in Bulgaria, Croatia, Hungary, Romania, Slovenia, Czech Republic and Slovakia. The partnership was implemented in these countries, through local distribution agreements, in compliance with the all the local regulations, in the second half of 2018. • It should be noted that distribution agreements concerning insurance products were signed with the following associates: - Aviva S.p.A.; - CNP UniCredit Vita S.p.A.; - Creditras Assicurazioni S.p.A.; - Creditras Vita S.p.A.; - Incontra Assicurazioni S.p.A. • The relationships with other related parties include the relationships with external pension funds (for UniCredit S.p.A. employees), since they have separate legal personality. These transactions were conducted on the same terms and conditions as those applied to transactions with independent third parties. The relationships with these pension funds are almost entirely represented by the relationships included in Deposits from customers (and related interests). Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions 452 2021 Annual Report and Accounts · UniCredit The following table sets out the impact of transactions, for each group of related parties, on income statements, pursuant to IAS24. Related-party transactions: profit and loss items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED NOT CONSOLIDATED ENTITIES JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM 10. Interest income and similar revenues 3 2 86 - - 91 0.72% - - 20. Interest expenses and similar charges - - (23) - - (23) 0.64% (54) 1.50% 30. Net interest margin 3 2 63 - - 68 0.75% (54) 0.59% 40. Fees and commissions income - - 749 - - 749 9.41% 69 0.87% 50. Fees and commissions expenses - - (4) - - (4) 0.32% - - 60. Net fees and commissions - - 745 - - 745 11.11% 69 1.03% 70. Dividend income and similar revenues 10 - - - - 10 2.85% 11 3.13% 190. Administrative expenses (11) - (425) - (16) (452) 4.02% (2) 0.02% a) Staff costs (3) - 4 - (13) (12) 0.17% (1) 0.01% b) Other administrative expenses (8) - (429) - (3) (440) 10.45% (1) 0.02% 230. Other operating expenses/income 2 - (43) - - (41) 7.24% (5) 0.88% Note: (*) Shareholders and related companies holding more than 3% of voting shares in UniCredit. For additional information regarding gains and losses of equity investments in associated companies, reference is made to the item “17.1 Gains (Losses) of equity investments: breakdown”, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 17 - Gains (Losses) of equity investments - Item 250. The “Other related-parties IAS” category includes: • close family members of key management personnel (i.e. those family members who, as is expected, may influence, or be influenced by, the person in question); • companies controlled (or jointly controlled) by key management personnel or their close family members; • Group employee post-employment benefit plans. The main related-party transactions are the following: • In 2012 the subsidiary UniCredit Services S.C.p.A. (UCS) formerly UniCredit Business Integrated Solutions S.C.p.A. (UBIS), assumed the role of operating sub-holding to provide the Group’s support services both in Italy and abroad. On 19 April 2013, the Board of Directors of UCS approved the executive plan of the project aimed at establishing a joint venture with another major player in the industry, IBM Italia S.p.A. (IBM), for the provision of technological infrastructure services (hardware, data center, etc.) to Commercial Banking. The transaction was completed when UCS transferred, with effect from 1 September 2013, of “Information Technology" business unit to the company "Value Transformation Services S.p.A.” (V-TServices), formed and controlled by IBM Italia S.p.A. Following the transaction, UCS holds 49% of V-TServices’s share capital; the remaining 51% is held by IBM (which is therefore the controlling shareholder). On 23 December 2016, the “Restatement and Amendment Agreement” was signed between UniCredit Services and V-TS with the aim of increasing value creation and ability to catch new opportunities from technological evolution, with the extention of the term until 2026. The “Second Restatement and Amendment Agreement” between UniCredit Services and V-TS was signed on 22 December 2019, with effect from 1 January 2020, with the extension of the term of the 3-year contract until 2029. The services provided to UniCredit group by the abovementioned companies result in an exchange of fees (administrative costs). • In 2018, through a competitive auction process, UniCredit S.p.A. has signed long-term partnership with Allianz for the exclusive distribution of Life and Non-Life bancassurance products (excluding Credit Protection products) in Bulgaria, Croatia, Hungary, Romania, Slovenia, Czech Republic and Slovakia. The partnership was implemented in these countries, through local distribution agreements, in compliance with the all the local regulations, in the second half of 2018. • It should be noted that distribution agreements concerning insurance products were signed with the following associates: - Aviva S.p.A.; - CNP UniCredit Vita S.p.A.; - Creditras Assicurazioni S.p.A.; - Creditras Vita S.p.A.; - Incontra Assicurazioni S.p.A. • The relationships with other related parties include the relationships with external pension funds (for UniCredit S.p.A. employees), since they have separate legal personality. These transactions were conducted on the same terms and conditions as those applied to transactions with independent third parties. The relationships with these pension funds are almost entirely represented by the relationships included in Deposits from customers (and related interests). Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions 452 2021 Annual Report and Accounts · UniCredit The following table sets out the impact of transactions, for each group of related parties, on income statements, pursuant to IAS24. Related-party transactions: profit and loss items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED NOT CONSOLIDATED ENTITIES JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM 10. Interest income and similar revenues 3 2 86 - - 91 0.72% - - 20. Interest expenses and similar charges - - (23) - - (23) 0.64% (54) 1.50% 30. Net interest margin 3 2 63 - - 68 0.75% (54) 0.59% 40. Fees and commissions income - - 749 - - 749 9.41% 69 0.87% 50. Fees and commissions expenses - - (4) - - (4) 0.32% - - 60. Net fees and commissions - - 745 - - 745 11.11% 69 1.03% 70. Dividend income and similar revenues 10 - - - - 10 2.85% 11 3.13% 190. Administrative expenses (11) - (425) - (16) (452) 4.02% (2) 0.02% a) Staff costs (3) - 4 - (13) (12) 0.17% (1) 0.01% b) Other administrative expenses (8) - (429) - (3) (440) 10.45% (1) 0.02% 230. Other operating expenses/income 2 - (43) - - (41) 7.24% (5) 0.88% Note: (*) Shareholders and related companies holding more than 3% of voting shares in UniCredit. For additional information regarding gains and losses of equity investments in associated companies, reference is made to the item “17.1 Gains (Losses) of equity investments: breakdown”, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 17 - Gains (Losses) of equity investments - Item 250. The “Other related-parties IAS” category includes: • close family members of key management personnel (i.e. those family members who, as is expected, may influence, or be influenced by, the person in question); • companies controlled (or jointly controlled) by key management personnel or their close family members; • Group employee post-employment benefit plans. The main related-party transactions are the following: • In 2012 the subsidiary UniCredit Services S.C.p.A. (UCS) formerly UniCredit Business Integrated Solutions S.C.p.A. (UBIS), assumed the role of operating sub-holding to provide the Group’s support services both in Italy and abroad. On 19 April 2013, the Board of Directors of UCS approved the executive plan of the project aimed at establishing a joint venture with another major player in the industry, IBM Italia S.p.A. (IBM), for the provision of technological infrastructure services (hardware, data center, etc.) to Commercial Banking. The transaction was completed when UCS transferred, with effect from 1 September 2013, of “Information Technology" business unit to the company "Value Transformation Services S.p.A.” (V-TServices), formed and controlled by IBM Italia S.p.A. Following the transaction, UCS holds 49% of V-TServices’s share capital; the remaining 51% is held by IBM (which is therefore the controlling shareholder). On 23 December 2016, the “Restatement and Amendment Agreement” was signed between UniCredit Services and V-TS with the aim of increasing value creation and ability to catch new opportunities from technological evolution, with the extention of the term until 2026. The “Second Restatement and Amendment Agreement” between UniCredit Services and V-TS was signed on 22 December 2019, with effect from 1 January 2020, with the extension of the term of the 3-year contract until 2029. The services provided to UniCredit group by the abovementioned companies result in an exchange of fees (administrative costs). • In 2018, through a competitive auction process, UniCredit S.p.A. has signed long-term partnership with Allianz for the exclusive distribution of Life and Non-Life bancassurance products (excluding Credit Protection products) in Bulgaria, Croatia, Hungary, Romania, Slovenia, Czech Republic and Slovakia. The partnership was implemented in these countries, through local distribution agreements, in compliance with the all the local regulations, in the second half of 2018. • It should be noted that distribution agreements concerning insurance products were signed with the following associates: - Aviva S.p.A.; - CNP UniCredit Vita S.p.A.; - Creditras Assicurazioni S.p.A.; - Creditras Vita S.p.A.; - Incontra Assicurazioni S.p.A. • The relationships with other related parties include the relationships with external pension funds (for UniCredit S.p.A. employees), since they have separate legal personality. These transactions were conducted on the same terms and conditions as those applied to transactions with independent third parties. The relationships with these pension funds are almost entirely represented by the relationships included in Deposits from customers (and related interests). Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions 452 2021 Annual Report and Accounts · UniCredit The following table sets out the impact of transactions, for each group of related parties, on income statements, pursuant to IAS24. Related-party transactions: profit and loss items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED NOT CONSOLIDATED ENTITIES JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM 10. Interest income and similar revenues 3 2 86 - - 91 0.72% - - 20. Interest expenses and similar charges - - (23) - - (23) 0.64% (54) 1.50% 30. Net interest margin 3 2 63 - - 68 0.75% (54) 0.59% 40. Fees and commissions income - - 749 - - 749 9.41% 69 0.87% 50. Fees and commissions expenses - - (4) - - (4) 0.32% - - 60. Net fees and commissions - - 745 - - 745 11.11% 69 1.03% 70. Dividend income and similar revenues 10 - - - - 10 2.85% 11 3.13% 190. Administrative expenses (11) - (425) - (16) (452) 4.02% (2) 0.02% a) Staff costs (3) - 4 - (13) (12) 0.17% (1) 0.01% b) Other administrative expenses (8) - (429) - (3) (440) 10.45% (1) 0.02% 230. Other operating expenses/income 2 - (43) - - (41) 7.24% (5) 0.88% Note: (*) Shareholders and related companies holding more than 3% of voting shares in UniCredit. For additional information regarding gains and losses of equity investments in associated companies, reference is made to the item “17.1 Gains (Losses) of equity investments: breakdown”, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 17 - Gains (Losses) of equity investments - Item 250. The “Other related-parties IAS” category includes: • close family members of key management personnel (i.e. those family members who, as is expected, may influence, or be influenced by, the person in question); • companies controlled (or jointly controlled) by key management personnel or their close family members; • Group employee post-employment benefit plans. The main related-party transactions are the following: • In 2012 the subsidiary UniCredit Services S.C.p.A. (UCS) formerly UniCredit Business Integrated Solutions S.C.p.A. (UBIS), assumed the role of operating sub-holding to provide the Group’s support services both in Italy and abroad. On 19 April 2013, the Board of Directors of UCS approved the executive plan of the project aimed at establishing a joint venture with another major player in the industry, IBM Italia S.p.A. (IBM), for the provision of technological infrastructure services (hardware, data center, etc.) to Commercial Banking. The transaction was completed when UCS transferred, with effect from 1 September 2013, of “Information Technology" business unit to the company "Value Transformation Services S.p.A.” (V-TServices), formed and controlled by IBM Italia S.p.A. Following the transaction, UCS holds 49% of V-TServices’s share capital; the remaining 51% is held by IBM (which is therefore the controlling shareholder). On 23 December 2016, the “Restatement and Amendment Agreement” was signed between UniCredit Services and V-TS with the aim of increasing value creation and ability to catch new opportunities from technological evolution, with the extention of the term until 2026. The “Second Restatement and Amendment Agreement” between UniCredit Services and V-TS was signed on 22 December 2019, with effect from 1 January 2020, with the extension of the term of the 3-year contract until 2029. The services provided to UniCredit group by the abovementioned companies result in an exchange of fees (administrative costs). • In 2018, through a competitive auction process, UniCredit S.p.A. has signed long-term partnership with Allianz for the exclusive distribution of Life and Non-Life bancassurance products (excluding Credit Protection products) in Bulgaria, Croatia, Hungary, Romania, Slovenia, Czech Republic and Slovakia. The partnership was implemented in these countries, through local distribution agreements, in compliance with the all the local regulations, in the second half of 2018. • It should be noted that distribution agreements concerning insurance products were signed with the following associates: - Aviva S.p.A.; - CNP UniCredit Vita S.p.A.; - Creditras Assicurazioni S.p.A.; - Creditras Vita S.p.A.; - Incontra Assicurazioni S.p.A. • The relationships with other related parties include the relationships with external pension funds (for UniCredit S.p.A. employees), since they have separate legal personality. These transactions were conducted on the same terms and conditions as those applied to transactions with independent third parties. The relationships with these pension funds are almost entirely represented by the relationships included in Deposits from customers (and related interests). Consolidated financial statements | Notes to the consolidated accounts Part H - Related-party transactions 452 2021 Annual Report and Accounts · UniCredit The following table sets out the impact of transactions, for each group of related parties, on income statements, pursuant to IAS24. Related-party transactions: profit and loss items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED NOT CONSOLIDATED ENTITIES JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM 10. Interest income and similar revenues 3 2 86 - - 91 0.72% - - 20. Interest expenses and similar charges - - (23) - - (23) 0.64% (54) 1.50% 30. Net interest margin 3 2 63 - - 68 0.75% (54) 0.59% 40. Fees and commissions income - - 749 - - 749 9.41% 69 0.87% 50. Fees and commissions expenses - - (4) - - (4) 0.32% - - 60. Net fees and commissions - - 745 - - 745 11.11% 69 1.03% 70. Dividend income and similar revenues 10 - - - - 10 2.85% 11 3.13% 190. Administrative expenses (11) - (425) - (16) (452) 4.02% (2) 0.02% a) Staff costs (3) - 4 - (13) (12) 0.17% (1) 0.01% b) Other administrative expenses (8) - (429) - (3) (440) 10.45% (1) 0.02% 230. Other operating expenses/income 2 - (43) - - (41) 7.24% (5) 0.88% Note: (*) Shareholders and related companies holding more than 3% of voting shares in UniCredit. For additional information regarding gains and losses of equity investments in associated companies, reference is made to the item “17.1 Gains (Losses) of equity investments: breakdown”, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 17 - Gains (Losses) of equity investments - Item 250. The “Other related-parties IAS” category includes: • close family members of key management personnel (i.e. those family members who, as is expected, may influence, or be influenced by, the person in question); • companies controlled (or jointly controlled) by key management personnel or their close family members; • Group employee post-employment benefit plans. The main related-party transactions are the following: • In 2012 the subsidiary UniCredit Services S.C.p.A. (UCS) formerly UniCredit Business Integrated Solutions S.C.p.A. (UBIS), assumed the role of operating sub-holding to provide the Group’s support services both in Italy and abroad. On 19 April 2013, the Board of Directors of UCS approved the executive plan of the project aimed at establishing a joint venture with another major player in the industry, IBM Italia S.p.A. (IBM), for the provision of technological infrastructure services (hardware, data center, etc.) to Commercial Banking. The transaction was completed when UCS transferred, with effect from 1 September 2013, of “Information Technology" business unit to the company "Value Transformation Services S.p.A.” (V-TServices), formed and controlled by IBM Italia S.p.A. Following the transaction, UCS holds 49% of V-TServices’s share capital; the remaining 51% is held by IBM (which is therefore the controlling shareholder). On 23 December 2016, the “Restatement and Amendment Agreement” was signed between UniCredit Services and V-TS with the aim of increasing value creation and ability to catch new opportunities from technological evolution, with the extention of the term until 2026. The “Second Restatement and Amendment Agreement” between UniCredit Services and V-TS was signed on 22 December 2019, with effect from 1 January 2020, with the extension of the term of the 3-year contract until 2029. The services provided to UniCredit group by the abovementioned companies result in an exchange of fees (administrative costs). • In 2018, through a competitive auction process, UniCredit S.p.A. has signed long-term partnership with Allianz for the exclusive distribution of Life and Non-Life bancassurance products (excluding Credit Protection products) in Bulgaria, Croatia, Hungary, Romania, Slovenia, Czech Republic and Slovakia. The partnership was implemented in these countries, through local distribution agreements, in compliance with the all the local regulations, in the second half of 2018. • It should be noted that distribution agreements concerning insurance products were signed with the following associates: - Aviva S.p.A.; - CNP UniCredit Vita S.p.A.; - Creditras Assicurazioni S.p.A.; - Creditras Vita S.p.A.; - Incontra Assicurazioni S.p.A. • The relationships with other related parties include the relationships with external pension funds (for UniCredit S.p.A. employees), since they have separate legal personality. These transactions were conducted on the same terms and conditions as those applied to transactions with independent third parties. The relationships with these pension funds are almost entirely represented by the relationships included in Deposits from customers (and related interests). Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments UniCredit · 2021 Annual Report and Accounts 453 Part I - Share-based payments Qualitative information 1. Description of payment agreements based on own equity instruments 1.1 Outstanding instruments Group Medium & Long Term Incentive Plans for selected employees include the following category: Equity-Settled Share Based Payments, which provide for the delivery of shares. This category includes the following grants of: • Group Executive Incentive System (Bonus Pool) that offer to eligible Group executives and relevant employees identified following regulatory rules, a bonus structure composed by upfront (following the moment of performance evaluation) and deferred payments in cash and in shares, to be paid over a period of ranging from 1 to 7 years. This payment structure will guarantee the alignment to shareholder interest and will be subjected to malus (which applies in case specific profitability, capital and liquidity thresholds are not met at both Group and country/division level) and claw back conditions (as legally enforceable) according to the plan rules (both non-market vesting conditions); • Long Term Incentive 2017-2019 that offers to eligible executives and key players of the Group an incentive 100% based on ordinary UniCredit shares, subject to 3-years deferral and to malus and claw-back conditions, as legally enforceable, according to the plan rules. The plan is structured on 3-years performance period, aligned to the UniCredit strategic plan and provides for the allocation of an award based on gateway conditions on profitability, liquidity, capital and risk position and a set of performance conditions focused on Group targets, aligned with Transform 2019; • Long Term Incentive 2020-2023 that provides for the allocation of incentives based on free ordinary shares, subject to the achievement of specific performance conditions to the Strategic Plan Team 23. The Plan is structured over a four-year performance period, consistent with UniCredit's Strategic Plan, and provides for the for the granting of the possible award in 2024. The award is subject to a 4-year deferral period, after the performance period, and to the respect during the performance period of the minimum conditions of profitability, capital requirements and liquidity as well as positive assessment of Risk Appetite Framework. According to Bank of Italy and EBA requirements and to further strengthen the governance framework, the Plan includes rules of compliance breaches management, as well as their related impact on remuneration components, through the application of malus and claw-back clauses; • Share Award 2021 that regards CEO’s remuneration. In order to foster the alignment with the shareholders from the start, and in lieu of the ability to set KPIs given his mandate to elaborate a new strategic plan, the Board of Directors approved for 2021 a one-off share-based award. The proposed remuneration structure for 2021 is strictly linked to the first year of the mandate. From 2022 onwards a mix of performance based long-term and short-term incentives will be applied to the CEO. It is also noted that, according to Banca d’Italia Circular 285 (25th update dated 23 October 2018), the equity-settled share based payments, represented by deferred payments in UniCredit ordinary shares not subject to vesting conditions, are used for the settlement of the so-called golden parachute (e.g. severance) for the relevant employees. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments UniCredit · 2021 Annual Report and Accounts 453 Part I - Share-based payments Qualitative information 1. Description of payment agreements based on own equity instruments 1.1 Outstanding instruments Group Medium & Long Term Incentive Plans for selected employees include the following category: Equity-Settled Share Based Payments, which provide for the delivery of shares. This category includes the following grants of: • Group Executive Incentive System (Bonus Pool) that offer to eligible Group executives and relevant employees identified following regulatory rules, a bonus structure composed by upfront (following the moment of performance evaluation) and deferred payments in cash and in shares, to be paid over a period of ranging from 1 to 7 years. This payment structure will guarantee the alignment to shareholder interest and will be subjected to malus (which applies in case specific profitability, capital and liquidity thresholds are not met at both Group and country/division level) and claw back conditions (as legally enforceable) according to the plan rules (both non-market vesting conditions); • Long Term Incentive 2017-2019 that offers to eligible executives and key players of the Group an incentive 100% based on ordinary UniCredit shares, subject to 3-years deferral and to malus and claw-back conditions, as legally enforceable, according to the plan rules. The plan is structured on 3-years performance period, aligned to the UniCredit strategic plan and provides for the allocation of an award based on gateway conditions on profitability, liquidity, capital and risk position and a set of performance conditions focused on Group targets, aligned with Transform 2019; • Long Term Incentive 2020-2023 that provides for the allocation of incentives based on free ordinary shares, subject to the achievement of specific performance conditions to the Strategic Plan Team 23. The Plan is structured over a four-year performance period, consistent with UniCredit's Strategic Plan, and provides for the for the granting of the possible award in 2024. The award is subject to a 4-year deferral period, after the performance period, and to the respect during the performance period of the minimum conditions of profitability, capital requirements and liquidity as well as positive assessment of Risk Appetite Framework. According to Bank of Italy and EBA requirements and to further strengthen the governance framework, the Plan includes rules of compliance breaches management, as well as their related impact on remuneration components, through the application of malus and claw-back clauses; • Share Award 2021 that regards CEO’s remuneration. In order to foster the alignment with the shareholders from the start, and in lieu of the ability to set KPIs given his mandate to elaborate a new strategic plan, the Board of Directors approved for 2021 a one-off share-based award. The proposed remuneration structure for 2021 is strictly linked to the first year of the mandate. From 2022 onwards a mix of performance based long-term and short-term incentives will be applied to the CEO. It is also noted that, according to Banca d’Italia Circular 285 (25th update dated 23 October 2018), the equity-settled share based payments, represented by deferred payments in UniCredit ordinary shares not subject to vesting conditions, are used for the settlement of the so-called golden parachute (e.g. severance) for the relevant employees. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments UniCredit · 2021 Annual Report and Accounts 453 Part I - Share-based payments Qualitative information 1. Description of payment agreements based on own equity instruments 1.1 Outstanding instruments Group Medium & Long Term Incentive Plans for selected employees include the following category: Equity-Settled Share Based Payments, which provide for the delivery of shares. This category includes the following grants of: • Group Executive Incentive System (Bonus Pool) that offer to eligible Group executives and relevant employees identified following regulatory rules, a bonus structure composed by upfront (following the moment of performance evaluation) and deferred payments in cash and in shares, to be paid over a period of ranging from 1 to 7 years. This payment structure will guarantee the alignment to shareholder interest and will be subjected to malus (which applies in case specific profitability, capital and liquidity thresholds are not met at both Group and country/division level) and claw back conditions (as legally enforceable) according to the plan rules (both non-market vesting conditions); • Long Term Incentive 2017-2019 that offers to eligible executives and key players of the Group an incentive 100% based on ordinary UniCredit shares, subject to 3-years deferral and to malus and claw-back conditions, as legally enforceable, according to the plan rules. The plan is structured on 3-years performance period, aligned to the UniCredit strategic plan and provides for the allocation of an award based on gateway conditions on profitability, liquidity, capital and risk position and a set of performance conditions focused on Group targets, aligned with Transform 2019; • Long Term Incentive 2020-2023 that provides for the allocation of incentives based on free ordinary shares, subject to the achievement of specific performance conditions to the Strategic Plan Team 23. The Plan is structured over a four-year performance period, consistent with UniCredit's Strategic Plan, and provides for the for the granting of the possible award in 2024. The award is subject to a 4-year deferral period, after the performance period, and to the respect during the performance period of the minimum conditions of profitability, capital requirements and liquidity as well as positive assessment of Risk Appetite Framework. According to Bank of Italy and EBA requirements and to further strengthen the governance framework, the Plan includes rules of compliance breaches management, as well as their related impact on remuneration components, through the application of malus and claw-back clauses; • Share Award 2021 that regards CEO’s remuneration. In order to foster the alignment with the shareholders from the start, and in lieu of the ability to set KPIs given his mandate to elaborate a new strategic plan, the Board of Directors approved for 2021 a one-off share-based award. The proposed remuneration structure for 2021 is strictly linked to the first year of the mandate. From 2022 onwards a mix of performance based long-term and short-term incentives will be applied to the CEO. It is also noted that, according to Banca d’Italia Circular 285 (25th update dated 23 October 2018), the equity-settled share based payments, represented by deferred payments in UniCredit ordinary shares not subject to vesting conditions, are used for the settlement of the so-called golden parachute (e.g. severance) for the relevant employees. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments UniCredit · 2021 Annual Report and Accounts 453 Part I - Share-based payments Qualitative information 1. Description of payment agreements based on own equity instruments 1.1 Outstanding instruments Group Medium & Long Term Incentive Plans for selected employees include the following category: Equity-Settled Share Based Payments, which provide for the delivery of shares. This category includes the following grants of: • Group Executive Incentive System (Bonus Pool) that offer to eligible Group executives and relevant employees identified following regulatory rules, a bonus structure composed by upfront (following the moment of performance evaluation) and deferred payments in cash and in shares, to be paid over a period of ranging from 1 to 7 years. This payment structure will guarantee the alignment to shareholder interest and will be subjected to malus (which applies in case specific profitability, capital and liquidity thresholds are not met at both Group and country/division level) and claw back conditions (as legally enforceable) according to the plan rules (both non-market vesting conditions); • Long Term Incentive 2017-2019 that offers to eligible executives and key players of the Group an incentive 100% based on ordinary UniCredit shares, subject to 3-years deferral and to malus and claw-back conditions, as legally enforceable, according to the plan rules. The plan is structured on 3-years performance period, aligned to the UniCredit strategic plan and provides for the allocation of an award based on gateway conditions on profitability, liquidity, capital and risk position and a set of performance conditions focused on Group targets, aligned with Transform 2019; • Long Term Incentive 2020-2023 that provides for the allocation of incentives based on free ordinary shares, subject to the achievement of specific performance conditions to the Strategic Plan Team 23. The Plan is structured over a four-year performance period, consistent with UniCredit's Strategic Plan, and provides for the for the granting of the possible award in 2024. The award is subject to a 4-year deferral period, after the performance period, and to the respect during the performance period of the minimum conditions of profitability, capital requirements and liquidity as well as positive assessment of Risk Appetite Framework. According to Bank of Italy and EBA requirements and to further strengthen the governance framework, the Plan includes rules of compliance breaches management, as well as their related impact on remuneration components, through the application of malus and claw-back clauses; • Share Award 2021 that regards CEO’s remuneration. In order to foster the alignment with the shareholders from the start, and in lieu of the ability to set KPIs given his mandate to elaborate a new strategic plan, the Board of Directors approved for 2021 a one-off share-based award. The proposed remuneration structure for 2021 is strictly linked to the first year of the mandate. From 2022 onwards a mix of performance based long-term and short-term incentives will be applied to the CEO. It is also noted that, according to Banca d’Italia Circular 285 (25th update dated 23 October 2018), the equity-settled share based payments, represented by deferred payments in UniCredit ordinary shares not subject to vesting conditions, are used for the settlement of the so-called golden parachute (e.g. severance) for the relevant employees. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments UniCredit · 2021 Annual Report and Accounts 453 Part I - Share-based payments Qualitative information 1. Description of payment agreements based on own equity instruments 1.1 Outstanding instruments Group Medium & Long Term Incentive Plans for selected employees include the following category: Equity-Settled Share Based Payments, which provide for the delivery of shares. This category includes the following grants of: • Group Executive Incentive System (Bonus Pool) that offer to eligible Group executives and relevant employees identified following regulatory rules, a bonus structure composed by upfront (following the moment of performance evaluation) and deferred payments in cash and in shares, to be paid over a period of ranging from 1 to 7 years. This payment structure will guarantee the alignment to shareholder interest and will be subjected to malus (which applies in case specific profitability, capital and liquidity thresholds are not met at both Group and country/division level) and claw back conditions (as legally enforceable) according to the plan rules (both non-market vesting conditions); • Long Term Incentive 2017-2019 that offers to eligible executives and key players of the Group an incentive 100% based on ordinary UniCredit shares, subject to 3-years deferral and to malus and claw-back conditions, as legally enforceable, according to the plan rules. The plan is structured on 3-years performance period, aligned to the UniCredit strategic plan and provides for the allocation of an award based on gateway conditions on profitability, liquidity, capital and risk position and a set of performance conditions focused on Group targets, aligned with Transform 2019; • Long Term Incentive 2020-2023 that provides for the allocation of incentives based on free ordinary shares, subject to the achievement of specific performance conditions to the Strategic Plan Team 23. The Plan is structured over a four-year performance period, consistent with UniCredit's Strategic Plan, and provides for the for the granting of the possible award in 2024. The award is subject to a 4-year deferral period, after the performance period, and to the respect during the performance period of the minimum conditions of profitability, capital requirements and liquidity as well as positive assessment of Risk Appetite Framework. According to Bank of Italy and EBA requirements and to further strengthen the governance framework, the Plan includes rules of compliance breaches management, as well as their related impact on remuneration components, through the application of malus and claw-back clauses; • Share Award 2021 that regards CEO’s remuneration. In order to foster the alignment with the shareholders from the start, and in lieu of the ability to set KPIs given his mandate to elaborate a new strategic plan, the Board of Directors approved for 2021 a one-off share-based award. The proposed remuneration structure for 2021 is strictly linked to the first year of the mandate. From 2022 onwards a mix of performance based long-term and short-term incentives will be applied to the CEO. It is also noted that, according to Banca d’Italia Circular 285 (25th update dated 23 October 2018), the equity-settled share based payments, represented by deferred payments in UniCredit ordinary shares not subject to vesting conditions, are used for the settlement of the so-called golden parachute (e.g. severance) for the relevant employees. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments 454 2021 Annual Report and Accounts · UniCredit 1.2 Measurement model 1.2.1 Group Executive Incentive System (Bonus Pool) The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. Economic and net equity effects will be accrued on a basis of instruments’ vesting period. Group Executive Incentive System “Bonus Pool 2020” - Shares The plan is divided into clusters, each of which can have three or six installments of share-based payments spread over a period defined according to plan rules. SHARES GRANTED GROUP EXECUTIVE INCENTIVE SYSTEM - BONUS POOL 2020 INSTALLMENT (2022) INSTALLMENT (2023) INSTALLMENT (2024) INSTALLMENT (2025) INSTALLMENT (2026) INSTALLMENT (2027) Date of bonus opportunity economic value granting Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Date of Board resolution (to determine number of shares) Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Vesting period start date Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Vesting period end date Dec-31-2020 Dec-31-2021 Dec-31-2022 Dec-31-2023 Dec-31-2024 Dec-31-2025 UniCredit share market price [€] 8.561 8.561 8.561 8.561 8.561 8.561 Economic value of vesting conditions [€] -0.120 -0.558 -1.121 -1.801 -2.483 -3.166 Performance shares' fair value per unit at grant date [€] 8.441 8.003 7.440 6.760 6.078 5.395 Group Executive Incentive System 2021 (Bonus Pool) The new Group Incentive System 2021 is based on a bonus pool approach, aligned with regulatory requirements and market practices, which defines: • sustainability, through direct link with entity results and alignment with relevant risk categories, using specific indicators linked to risk-appetite framework; • link between bonuses and organisation structure, defining the pool at country/division level with further review at Group level; • bonuses allocated to executives and other relevant employee, identified on a basis of European Bank Authority (EBA) rules, according to local regulations; • payment structure has been defined in accordance with regulatory provisions qualified by Directive 2013/36/EU (CRD IV) and will be distributed in a period of six years by using a mix of shares and cash. All profit and loss and net equity effects related to the plan will be booked during the vesting period. 1.2.2 Long Term Incentive Plan 2017-2019 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. The plan is divided into clusters, based on the beneficiary position, each of which can have from one to four installments of share-based payments spread over a period defined according to plan rules. 1.2.3 Long Term Incentive Plan 2020-2023 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. The plan is divided into clusters, based on the beneficiary position, each of which can have from one to five installments of share-based payments spread over a period defined according to plan rules. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments 454 2021 Annual Report and Accounts · UniCredit 1.2 Measurement model 1.2.1 Group Executive Incentive System (Bonus Pool) The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. Economic and net equity effects will be accrued on a basis of instruments’ vesting period. Group Executive Incentive System “Bonus Pool 2020” - Shares The plan is divided into clusters, each of which can have three or six installments of share-based payments spread over a period defined according to plan rules. SHARES GRANTED GROUP EXECUTIVE INCENTIVE SYSTEM - BONUS POOL 2020 INSTALLMENT (2022) INSTALLMENT (2023) INSTALLMENT (2024) INSTALLMENT (2025) INSTALLMENT (2026) INSTALLMENT (2027) Date of bonus opportunity economic value granting Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Date of Board resolution (to determine number of shares) Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Vesting period start date Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Vesting period end date Dec-31-2020 Dec-31-2021 Dec-31-2022 Dec-31-2023 Dec-31-2024 Dec-31-2025 UniCredit share market price [€] 8.561 8.561 8.561 8.561 8.561 8.561 Economic value of vesting conditions [€] -0.120 -0.558 -1.121 -1.801 -2.483 -3.166 Performance shares' fair value per unit at grant date [€] 8.441 8.003 7.440 6.760 6.078 5.395 Group Executive Incentive System 2021 (Bonus Pool) The new Group Incentive System 2021 is based on a bonus pool approach, aligned with regulatory requirements and market practices, which defines: • sustainability, through direct link with entity results and alignment with relevant risk categories, using specific indicators linked to risk-appetite framework; • link between bonuses and organisation structure, defining the pool at country/division level with further review at Group level; • bonuses allocated to executives and other relevant employee, identified on a basis of European Bank Authority (EBA) rules, according to local regulations; • payment structure has been defined in accordance with regulatory provisions qualified by Directive 2013/36/EU (CRD IV) and will be distributed in a period of six years by using a mix of shares and cash. All profit and loss and net equity effects related to the plan will be booked during the vesting period. 1.2.2 Long Term Incentive Plan 2017-2019 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. The plan is divided into clusters, based on the beneficiary position, each of which can have from one to four installments of share-based payments spread over a period defined according to plan rules. 1.2.3 Long Term Incentive Plan 2020-2023 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. The plan is divided into clusters, based on the beneficiary position, each of which can have from one to five installments of share-based payments spread over a period defined according to plan rules. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments 454 2021 Annual Report and Accounts · UniCredit 1.2 Measurement model 1.2.1 Group Executive Incentive System (Bonus Pool) The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. Economic and net equity effects will be accrued on a basis of instruments’ vesting period. Group Executive Incentive System “Bonus Pool 2020” - Shares The plan is divided into clusters, each of which can have three or six installments of share-based payments spread over a period defined according to plan rules. SHARES GRANTED GROUP EXECUTIVE INCENTIVE SYSTEM - BONUS POOL 2020 INSTALLMENT (2022) INSTALLMENT (2023) INSTALLMENT (2024) INSTALLMENT (2025) INSTALLMENT (2026) INSTALLMENT (2027) Date of bonus opportunity economic value granting Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Date of Board resolution (to determine number of shares) Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Vesting period start date Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Vesting period end date Dec-31-2020 Dec-31-2021 Dec-31-2022 Dec-31-2023 Dec-31-2024 Dec-31-2025 UniCredit share market price [€] 8.561 8.561 8.561 8.561 8.561 8.561 Economic value of vesting conditions [€] -0.120 -0.558 -1.121 -1.801 -2.483 -3.166 Performance shares' fair value per unit at grant date [€] 8.441 8.003 7.440 6.760 6.078 5.395 Group Executive Incentive System 2021 (Bonus Pool) The new Group Incentive System 2021 is based on a bonus pool approach, aligned with regulatory requirements and market practices, which defines: • sustainability, through direct link with entity results and alignment with relevant risk categories, using specific indicators linked to risk-appetite framework; • link between bonuses and organisation structure, defining the pool at country/division level with further review at Group level; • bonuses allocated to executives and other relevant employee, identified on a basis of European Bank Authority (EBA) rules, according to local regulations; • payment structure has been defined in accordance with regulatory provisions qualified by Directive 2013/36/EU (CRD IV) and will be distributed in a period of six years by using a mix of shares and cash. All profit and loss and net equity effects related to the plan will be booked during the vesting period. 1.2.2 Long Term Incentive Plan 2017-2019 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. The plan is divided into clusters, based on the beneficiary position, each of which can have from one to four installments of share-based payments spread over a period defined according to plan rules. 1.2.3 Long Term Incentive Plan 2020-2023 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. The plan is divided into clusters, based on the beneficiary position, each of which can have from one to five installments of share-based payments spread over a period defined according to plan rules. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments 454 2021 Annual Report and Accounts · UniCredit 1.2 Measurement model 1.2.1 Group Executive Incentive System (Bonus Pool) The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. Economic and net equity effects will be accrued on a basis of instruments’ vesting period. Group Executive Incentive System “Bonus Pool 2020” - Shares The plan is divided into clusters, each of which can have three or six installments of share-based payments spread over a period defined according to plan rules. SHARES GRANTED GROUP EXECUTIVE INCENTIVE SYSTEM - BONUS POOL 2020 INSTALLMENT (2022) INSTALLMENT (2023) INSTALLMENT (2024) INSTALLMENT (2025) INSTALLMENT (2026) INSTALLMENT (2027) Date of bonus opportunity economic value granting Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Date of Board resolution (to determine number of shares) Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Vesting period start date Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Vesting period end date Dec-31-2020 Dec-31-2021 Dec-31-2022 Dec-31-2023 Dec-31-2024 Dec-31-2025 UniCredit share market price [€] 8.561 8.561 8.561 8.561 8.561 8.561 Economic value of vesting conditions [€] -0.120 -0.558 -1.121 -1.801 -2.483 -3.166 Performance shares' fair value per unit at grant date [€] 8.441 8.003 7.440 6.760 6.078 5.395 Group Executive Incentive System 2021 (Bonus Pool) The new Group Incentive System 2021 is based on a bonus pool approach, aligned with regulatory requirements and market practices, which defines: • sustainability, through direct link with entity results and alignment with relevant risk categories, using specific indicators linked to risk-appetite framework; • link between bonuses and organisation structure, defining the pool at country/division level with further review at Group level; • bonuses allocated to executives and other relevant employee, identified on a basis of European Bank Authority (EBA) rules, according to local regulations; • payment structure has been defined in accordance with regulatory provisions qualified by Directive 2013/36/EU (CRD IV) and will be distributed in a period of six years by using a mix of shares and cash. All profit and loss and net equity effects related to the plan will be booked during the vesting period. 1.2.2 Long Term Incentive Plan 2017-2019 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. The plan is divided into clusters, based on the beneficiary position, each of which can have from one to four installments of share-based payments spread over a period defined according to plan rules. 1.2.3 Long Term Incentive Plan 2020-2023 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. The plan is divided into clusters, based on the beneficiary position, each of which can have from one to five installments of share-based payments spread over a period defined according to plan rules. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments 454 2021 Annual Report and Accounts · UniCredit 1.2 Measurement model 1.2.1 Group Executive Incentive System (Bonus Pool) The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. Economic and net equity effects will be accrued on a basis of instruments’ vesting period. Group Executive Incentive System “Bonus Pool 2020” - Shares The plan is divided into clusters, each of which can have three or six installments of share-based payments spread over a period defined according to plan rules. SHARES GRANTED GROUP EXECUTIVE INCENTIVE SYSTEM - BONUS POOL 2020 INSTALLMENT (2022) INSTALLMENT (2023) INSTALLMENT (2024) INSTALLMENT (2025) INSTALLMENT (2026) INSTALLMENT (2027) Date of bonus opportunity economic value granting Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Feb-06-2020 Date of Board resolution (to determine number of shares) Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Mar-05-2021 Vesting period start date Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Jan-01-2020 Vesting period end date Dec-31-2020 Dec-31-2021 Dec-31-2022 Dec-31-2023 Dec-31-2024 Dec-31-2025 UniCredit share market price [€] 8.561 8.561 8.561 8.561 8.561 8.561 Economic value of vesting conditions [€] -0.120 -0.558 -1.121 -1.801 -2.483 -3.166 Performance shares' fair value per unit at grant date [€] 8.441 8.003 7.440 6.760 6.078 5.395 Group Executive Incentive System 2021 (Bonus Pool) The new Group Incentive System 2021 is based on a bonus pool approach, aligned with regulatory requirements and market practices, which defines: • sustainability, through direct link with entity results and alignment with relevant risk categories, using specific indicators linked to risk-appetite framework; • link between bonuses and organisation structure, defining the pool at country/division level with further review at Group level; • bonuses allocated to executives and other relevant employee, identified on a basis of European Bank Authority (EBA) rules, according to local regulations; • payment structure has been defined in accordance with regulatory provisions qualified by Directive 2013/36/EU (CRD IV) and will be distributed in a period of six years by using a mix of shares and cash. All profit and loss and net equity effects related to the plan will be booked during the vesting period. 1.2.2 Long Term Incentive Plan 2017-2019 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. The plan is divided into clusters, based on the beneficiary position, each of which can have from one to four installments of share-based payments spread over a period defined according to plan rules. 1.2.3 Long Term Incentive Plan 2020-2023 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. The plan is divided into clusters, based on the beneficiary position, each of which can have from one to five installments of share-based payments spread over a period defined according to plan rules. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments UniCredit · 2021 Annual Report and Accounts 455 1.2.4 Share Award 2021 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. Economic and net equity effects will be accrued on a basis of instruments’ vesting period. SHARES GRANTED SHARE AWARD 2021 INSTALLMENT (2022) INSTALLMENT (2023) Date of bonus opportunity economic value granting Jan-27-2021 Jan-27-2021 Date of Board resolution (to determine number of shares) Jan-27-2021 Jan-27-2021 Vesting period start date Jan-01-2021 Jan-01-2021 Vesting period end date Jun-30-2021 Jun-30-2021 UniCredit share market price [€] 7.420 7.420 Economic value of vesting conditions [€] -0.120 -0.591 Performance shares' fair value per unit at grant date [€] 7.300 6.829 Quantitative information 1. Annual changes Stock Option and Performance Stock Option UniCredit YEAR 2021(*) YEAR 2020(*) ITEMS/NUMBER OF OPTIONS AND EXERCISE PRICE NUMBER OF OPTIONS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY NUMBER OF OPTIONS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY A. Outstanding at beginning of period - - - 330,426 166.399 Dec-2019 B. Increases - - - - B.1 New issues - - - - B.2 Other - - - - C. Decreases - - 330,426 - C.1 Forfeited - - - - C.2 Exercised - - - - C.3 Expired - - 330,426 - C.4 Other - - - - D. Outstanding at end of period - - - - - - E. Vested Options at end of period - - - - - - Note: (*) The information related to Number of options and Average exercise price had been modified following the grouping operations resolved by UniCredit Extraordinary Shareholders’ Meeting held on 15 December 2011 and the UniCredit Extraordinary Shareholders’ Meeting on 12 January 2017 and following the application of “adjustment factors” recommended by AIAF (Associazione Italiana Analisti Finanziari) equal to: • 0.88730816 as the free capital increase resolved by the UniCredit Annual General Meeting on 29 April 2009 (“scrip dividend”); • 0.95476659 as the capital increase resolved by the UniCredit Extraordinary Shareholder Meeting on 16 November 2009 and finalised on 24 February 2010; • 0.6586305 as the capital increase resolved by the UniCredit Extraordinary Shareholders’ Meeting on 15 December 2011 and finalised in 2012; • 0.50112555 as the capital increase resolved by the UniCredit Extraordinary Shareholders’ Meeting on 12 January 2017 and finalised on 2 March 2017. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments UniCredit · 2021 Annual Report and Accounts 455 1.2.4 Share Award 2021 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. Economic and net equity effects will be accrued on a basis of instruments’ vesting period. SHARES GRANTED SHARE AWARD 2021 INSTALLMENT (2022) INSTALLMENT (2023) Date of bonus opportunity economic value granting Jan-27-2021 Jan-27-2021 Date of Board resolution (to determine number of shares) Jan-27-2021 Jan-27-2021 Vesting period start date Jan-01-2021 Jan-01-2021 Vesting period end date Jun-30-2021 Jun-30-2021 UniCredit share market price [€] 7.420 7.420 Economic value of vesting conditions [€] -0.120 -0.591 Performance shares' fair value per unit at grant date [€] 7.300 6.829 Quantitative information 1. Annual changes Stock Option and Performance Stock Option UniCredit YEAR 2021(*) YEAR 2020(*) ITEMS/NUMBER OF OPTIONS AND EXERCISE PRICE NUMBER OF OPTIONS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY NUMBER OF OPTIONS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY A. Outstanding at beginning of period - - - 330,426 166.399 Dec-2019 B. Increases - - - - B.1 New issues - - - - B.2 Other - - - - C. Decreases - - 330,426 - C.1 Forfeited - - - - C.2 Exercised - - - - C.3 Expired - - 330,426 - C.4 Other - - - - D. Outstanding at end of period - - - - - - E. Vested Options at end of period - - - - - - Note: (*) The information related to Number of options and Average exercise price had been modified following the grouping operations resolved by UniCredit Extraordinary Shareholders’ Meeting held on 15 December 2011 and the UniCredit Extraordinary Shareholders’ Meeting on 12 January 2017 and following the application of “adjustment factors” recommended by AIAF (Associazione Italiana Analisti Finanziari) equal to: • 0.88730816 as the free capital increase resolved by the UniCredit Annual General Meeting on 29 April 2009 (“scrip dividend”); • 0.95476659 as the capital increase resolved by the UniCredit Extraordinary Shareholder Meeting on 16 November 2009 and finalised on 24 February 2010; • 0.6586305 as the capital increase resolved by the UniCredit Extraordinary Shareholders’ Meeting on 15 December 2011 and finalised in 2012; • 0.50112555 as the capital increase resolved by the UniCredit Extraordinary Shareholders’ Meeting on 12 January 2017 and finalised on 2 March 2017. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments UniCredit · 2021 Annual Report and Accounts 455 1.2.4 Share Award 2021 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. Economic and net equity effects will be accrued on a basis of instruments’ vesting period. SHARES GRANTED SHARE AWARD 2021 INSTALLMENT (2022) INSTALLMENT (2023) Date of bonus opportunity economic value granting Jan-27-2021 Jan-27-2021 Date of Board resolution (to determine number of shares) Jan-27-2021 Jan-27-2021 Vesting period start date Jan-01-2021 Jan-01-2021 Vesting period end date Jun-30-2021 Jun-30-2021 UniCredit share market price [€] 7.420 7.420 Economic value of vesting conditions [€] -0.120 -0.591 Performance shares' fair value per unit at grant date [€] 7.300 6.829 Quantitative information 1. Annual changes Stock Option and Performance Stock Option UniCredit YEAR 2021(*) YEAR 2020(*) ITEMS/NUMBER OF OPTIONS AND EXERCISE PRICE NUMBER OF OPTIONS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY NUMBER OF OPTIONS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY A. Outstanding at beginning of period - - - 330,426 166.399 Dec-2019 B. Increases - - - - B.1 New issues - - - - B.2 Other - - - - C. Decreases - - 330,426 - C.1 Forfeited - - - - C.2 Exercised - - - - C.3 Expired - - 330,426 - C.4 Other - - - - D. Outstanding at end of period - - - - - - E. Vested Options at end of period - - - - - - Note: (*) The information related to Number of options and Average exercise price had been modified following the grouping operations resolved by UniCredit Extraordinary Shareholders’ Meeting held on 15 December 2011 and the UniCredit Extraordinary Shareholders’ Meeting on 12 January 2017 and following the application of “adjustment factors” recommended by AIAF (Associazione Italiana Analisti Finanziari) equal to: • 0.88730816 as the free capital increase resolved by the UniCredit Annual General Meeting on 29 April 2009 (“scrip dividend”); • 0.95476659 as the capital increase resolved by the UniCredit Extraordinary Shareholder Meeting on 16 November 2009 and finalised on 24 February 2010; • 0.6586305 as the capital increase resolved by the UniCredit Extraordinary Shareholders’ Meeting on 15 December 2011 and finalised in 2012; • 0.50112555 as the capital increase resolved by the UniCredit Extraordinary Shareholders’ Meeting on 12 January 2017 and finalised on 2 March 2017. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments UniCredit · 2021 Annual Report and Accounts 455 1.2.4 Share Award 2021 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. Economic and net equity effects will be accrued on a basis of instruments’ vesting period. SHARES GRANTED SHARE AWARD 2021 INSTALLMENT (2022) INSTALLMENT (2023) Date of bonus opportunity economic value granting Jan-27-2021 Jan-27-2021 Date of Board resolution (to determine number of shares) Jan-27-2021 Jan-27-2021 Vesting period start date Jan-01-2021 Jan-01-2021 Vesting period end date Jun-30-2021 Jun-30-2021 UniCredit share market price [€] 7.420 7.420 Economic value of vesting conditions [€] -0.120 -0.591 Performance shares' fair value per unit at grant date [€] 7.300 6.829 Quantitative information 1. Annual changes Stock Option and Performance Stock Option UniCredit YEAR 2021(*) YEAR 2020(*) ITEMS/NUMBER OF OPTIONS AND EXERCISE PRICE NUMBER OF OPTIONS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY NUMBER OF OPTIONS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY A. Outstanding at beginning of period - - - 330,426 166.399 Dec-2019 B. Increases - - - - B.1 New issues - - - - B.2 Other - - - - C. Decreases - - 330,426 - C.1 Forfeited - - - - C.2 Exercised - - - - C.3 Expired - - 330,426 - C.4 Other - - - - D. Outstanding at end of period - - - - - - E. Vested Options at end of period - - - - - - Note: (*) The information related to Number of options and Average exercise price had been modified following the grouping operations resolved by UniCredit Extraordinary Shareholders’ Meeting held on 15 December 2011 and the UniCredit Extraordinary Shareholders’ Meeting on 12 January 2017 and following the application of “adjustment factors” recommended by AIAF (Associazione Italiana Analisti Finanziari) equal to: • 0.88730816 as the free capital increase resolved by the UniCredit Annual General Meeting on 29 April 2009 (“scrip dividend”); • 0.95476659 as the capital increase resolved by the UniCredit Extraordinary Shareholder Meeting on 16 November 2009 and finalised on 24 February 2010; • 0.6586305 as the capital increase resolved by the UniCredit Extraordinary Shareholders’ Meeting on 15 December 2011 and finalised in 2012; • 0.50112555 as the capital increase resolved by the UniCredit Extraordinary Shareholders’ Meeting on 12 January 2017 and finalised on 2 March 2017. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments UniCredit · 2021 Annual Report and Accounts 455 1.2.4 Share Award 2021 The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future dividends during the vesting period. Economic and net equity effects will be accrued on a basis of instruments’ vesting period. SHARES GRANTED SHARE AWARD 2021 INSTALLMENT (2022) INSTALLMENT (2023) Date of bonus opportunity economic value granting Jan-27-2021 Jan-27-2021 Date of Board resolution (to determine number of shares) Jan-27-2021 Jan-27-2021 Vesting period start date Jan-01-2021 Jan-01-2021 Vesting period end date Jun-30-2021 Jun-30-2021 UniCredit share market price [€] 7.420 7.420 Economic value of vesting conditions [€] -0.120 -0.591 Performance shares' fair value per unit at grant date [€] 7.300 6.829 Quantitative information 1. Annual changes Stock Option and Performance Stock Option UniCredit YEAR 2021(*) YEAR 2020(*) ITEMS/NUMBER OF OPTIONS AND EXERCISE PRICE NUMBER OF OPTIONS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY NUMBER OF OPTIONS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY A. Outstanding at beginning of period - - - 330,426 166.399 Dec-2019 B. Increases - - - - B.1 New issues - - - - B.2 Other - - - - C. Decreases - - 330,426 - C.1 Forfeited - - - - C.2 Exercised - - - - C.3 Expired - - 330,426 - C.4 Other - - - - D. Outstanding at end of period - - - - - - E. Vested Options at end of period - - - - - - Note: (*) The information related to Number of options and Average exercise price had been modified following the grouping operations resolved by UniCredit Extraordinary Shareholders’ Meeting held on 15 December 2011 and the UniCredit Extraordinary Shareholders’ Meeting on 12 January 2017 and following the application of “adjustment factors” recommended by AIAF (Associazione Italiana Analisti Finanziari) equal to: • 0.88730816 as the free capital increase resolved by the UniCredit Annual General Meeting on 29 April 2009 (“scrip dividend”); • 0.95476659 as the capital increase resolved by the UniCredit Extraordinary Shareholder Meeting on 16 November 2009 and finalised on 24 February 2010; • 0.6586305 as the capital increase resolved by the UniCredit Extraordinary Shareholders’ Meeting on 15 December 2011 and finalised in 2012; • 0.50112555 as the capital increase resolved by the UniCredit Extraordinary Shareholders’ Meeting on 12 January 2017 and finalised on 2 March 2017. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments 456 2021 Annual Report and Accounts · UniCredit Other UniCredit equity instruments: Performance Shares ITEMS/NUMBER OF OTHER EQUITY INSTRUMENTS AND EXERCISE PRICE YEAR 2021(*) YEAR 2020(*) NUMBER OF OTHER EQUITY INSTRUMENTS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY NUMBER OF OTHER EQUITY INSTRUMENTS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY A. Outstanding at beginning of period 24,559,436 - Apr-2022 17,091,000 - Jun-2020 B. Increases 4,732,784 - 12,638,364 - B.1 New issues 4,732,784 - 12,638,364 - B.2 Other - - - - C. Decreases 11,171,595 - 5,169,928 - C.1 Forfeited 4,882,990 - 1,284,967 - C.2 Exercised(**) 6,288,605 - 3,884,961 - C.3 Expired - - - - C.4 Other - - - - D. Outstanding at end of period(***) 18,120,625 - Jun-2022 24,559,436 - Apr-2022 E. Vested instruments at end of period 10,059,806 - 6,290,836 - Notes: (*) The information related to number of options and average exercise price had been modified following the grouping operation resolved by UniCredit Extraordinary Shareholders’ Meeting held on 12 January 2017 and following the application of “adjustment factor” equal to 0.50112555 recommended by AIAF (Associazione Italiana Analisti Finanziari) for the capital increase resolved by the UniCredit Extraordinary Shareholder Meeting on 12 January 2017 and finalised on 2 March 2017. (**) As far as the 2021 movement is concerned, the average market price at the exercise date is equal to €8.93 (€10.13 was the price observed at exercise date for 2020 movimentation). (***) UniCredit undertakes to grant, conditional upon achieving performance targets set in the strategic plan 18,120,625 ordinary shares at the end of 2021 (24,559,436 ordinary shares at the end of 2020). 2. Other Information Effects on Profit and Loss All Share-Based Payment granted after 7 November 2002 whose vesting period ends after 1 January 2005 are included within the scope of the IFRS2. Financial statement presentation related to share based payments (€ million) 2021 2020 TOTAL VESTED PLANS TOTAL VESTED PLANS (Costs)/Revenues (69) (53) - connected to equity-settled plans(*) (67) (51) - connected to cash-settled plans (2) (2) Debts for cash-settled plans 4 - 4 - Note: (*) Includes costs for €6.5 million related to golden parachute. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments 456 2021 Annual Report and Accounts · UniCredit Other UniCredit equity instruments: Performance Shares ITEMS/NUMBER OF OTHER EQUITY INSTRUMENTS AND EXERCISE PRICE YEAR 2021(*) YEAR 2020(*) NUMBER OF OTHER EQUITY INSTRUMENTS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY NUMBER OF OTHER EQUITY INSTRUMENTS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY A. Outstanding at beginning of period 24,559,436 - Apr-2022 17,091,000 - Jun-2020 B. Increases 4,732,784 - 12,638,364 - B.1 New issues 4,732,784 - 12,638,364 - B.2 Other - - - - C. Decreases 11,171,595 - 5,169,928 - C.1 Forfeited 4,882,990 - 1,284,967 - C.2 Exercised(**) 6,288,605 - 3,884,961 - C.3 Expired - - - - C.4 Other - - - - D. Outstanding at end of period(***) 18,120,625 - Jun-2022 24,559,436 - Apr-2022 E. Vested instruments at end of period 10,059,806 - 6,290,836 - Notes: (*) The information related to number of options and average exercise price had been modified following the grouping operation resolved by UniCredit Extraordinary Shareholders’ Meeting held on 12 January 2017 and following the application of “adjustment factor” equal to 0.50112555 recommended by AIAF (Associazione Italiana Analisti Finanziari) for the capital increase resolved by the UniCredit Extraordinary Shareholder Meeting on 12 January 2017 and finalised on 2 March 2017. (**) As far as the 2021 movement is concerned, the average market price at the exercise date is equal to €8.93 (€10.13 was the price observed at exercise date for 2020 movimentation). (***) UniCredit undertakes to grant, conditional upon achieving performance targets set in the strategic plan 18,120,625 ordinary shares at the end of 2021 (24,559,436 ordinary shares at the end of 2020). 2. Other Information Effects on Profit and Loss All Share-Based Payment granted after 7 November 2002 whose vesting period ends after 1 January 2005 are included within the scope of the IFRS2. Financial statement presentation related to share based payments (€ million) 2021 2020 TOTAL VESTED PLANS TOTAL VESTED PLANS (Costs)/Revenues (69) (53) - connected to equity-settled plans(*) (67) (51) - connected to cash-settled plans (2) (2) Debts for cash-settled plans 4 - 4 - Note: (*) Includes costs for €6.5 million related to golden parachute. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments 456 2021 Annual Report and Accounts · UniCredit Other UniCredit equity instruments: Performance Shares ITEMS/NUMBER OF OTHER EQUITY INSTRUMENTS AND EXERCISE PRICE YEAR 2021(*) YEAR 2020(*) NUMBER OF OTHER EQUITY INSTRUMENTS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY NUMBER OF OTHER EQUITY INSTRUMENTS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY A. Outstanding at beginning of period 24,559,436 - Apr-2022 17,091,000 - Jun-2020 B. Increases 4,732,784 - 12,638,364 - B.1 New issues 4,732,784 - 12,638,364 - B.2 Other - - - - C. Decreases 11,171,595 - 5,169,928 - C.1 Forfeited 4,882,990 - 1,284,967 - C.2 Exercised(**) 6,288,605 - 3,884,961 - C.3 Expired - - - - C.4 Other - - - - D. Outstanding at end of period(***) 18,120,625 - Jun-2022 24,559,436 - Apr-2022 E. Vested instruments at end of period 10,059,806 - 6,290,836 - Notes: (*) The information related to number of options and average exercise price had been modified following the grouping operation resolved by UniCredit Extraordinary Shareholders’ Meeting held on 12 January 2017 and following the application of “adjustment factor” equal to 0.50112555 recommended by AIAF (Associazione Italiana Analisti Finanziari) for the capital increase resolved by the UniCredit Extraordinary Shareholder Meeting on 12 January 2017 and finalised on 2 March 2017. (**) As far as the 2021 movement is concerned, the average market price at the exercise date is equal to €8.93 (€10.13 was the price observed at exercise date for 2020 movimentation). (***) UniCredit undertakes to grant, conditional upon achieving performance targets set in the strategic plan 18,120,625 ordinary shares at the end of 2021 (24,559,436 ordinary shares at the end of 2020). 2. Other Information Effects on Profit and Loss All Share-Based Payment granted after 7 November 2002 whose vesting period ends after 1 January 2005 are included within the scope of the IFRS2. Financial statement presentation related to share based payments (€ million) 2021 2020 TOTAL VESTED PLANS TOTAL VESTED PLANS (Costs)/Revenues (69) (53) - connected to equity-settled plans(*) (67) (51) - connected to cash-settled plans (2) (2) Debts for cash-settled plans 4 - 4 - Note: (*) Includes costs for €6.5 million related to golden parachute. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments 456 2021 Annual Report and Accounts · UniCredit Other UniCredit equity instruments: Performance Shares ITEMS/NUMBER OF OTHER EQUITY INSTRUMENTS AND EXERCISE PRICE YEAR 2021(*) YEAR 2020(*) NUMBER OF OTHER EQUITY INSTRUMENTS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY NUMBER OF OTHER EQUITY INSTRUMENTS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY A. Outstanding at beginning of period 24,559,436 - Apr-2022 17,091,000 - Jun-2020 B. Increases 4,732,784 - 12,638,364 - B.1 New issues 4,732,784 - 12,638,364 - B.2 Other - - - - C. Decreases 11,171,595 - 5,169,928 - C.1 Forfeited 4,882,990 - 1,284,967 - C.2 Exercised(**) 6,288,605 - 3,884,961 - C.3 Expired - - - - C.4 Other - - - - D. Outstanding at end of period(***) 18,120,625 - Jun-2022 24,559,436 - Apr-2022 E. Vested instruments at end of period 10,059,806 - 6,290,836 - Notes: (*) The information related to number of options and average exercise price had been modified following the grouping operation resolved by UniCredit Extraordinary Shareholders’ Meeting held on 12 January 2017 and following the application of “adjustment factor” equal to 0.50112555 recommended by AIAF (Associazione Italiana Analisti Finanziari) for the capital increase resolved by the UniCredit Extraordinary Shareholder Meeting on 12 January 2017 and finalised on 2 March 2017. (**) As far as the 2021 movement is concerned, the average market price at the exercise date is equal to €8.93 (€10.13 was the price observed at exercise date for 2020 movimentation). (***) UniCredit undertakes to grant, conditional upon achieving performance targets set in the strategic plan 18,120,625 ordinary shares at the end of 2021 (24,559,436 ordinary shares at the end of 2020). 2. Other Information Effects on Profit and Loss All Share-Based Payment granted after 7 November 2002 whose vesting period ends after 1 January 2005 are included within the scope of the IFRS2. Financial statement presentation related to share based payments (€ million) 2021 2020 TOTAL VESTED PLANS TOTAL VESTED PLANS (Costs)/Revenues (69) (53) - connected to equity-settled plans(*) (67) (51) - connected to cash-settled plans (2) (2) Debts for cash-settled plans 4 - 4 - Note: (*) Includes costs for €6.5 million related to golden parachute. Consolidated financial statements | Notes to the consolidated accounts Part I - Share-based payments 456 2021 Annual Report and Accounts · UniCredit Other UniCredit equity instruments: Performance Shares ITEMS/NUMBER OF OTHER EQUITY INSTRUMENTS AND EXERCISE PRICE YEAR 2021(*) YEAR 2020(*) NUMBER OF OTHER EQUITY INSTRUMENTS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY NUMBER OF OTHER EQUITY INSTRUMENTS AVERAGE EXERCISE PRICE [€] AVERAGE MATURITY A. Outstanding at beginning of period 24,559,436 - Apr-2022 17,091,000 - Jun-2020 B. Increases 4,732,784 - 12,638,364 - B.1 New issues 4,732,784 - 12,638,364 - B.2 Other - - - - C. Decreases 11,171,595 - 5,169,928 - C.1 Forfeited 4,882,990 - 1,284,967 - C.2 Exercised(**) 6,288,605 - 3,884,961 - C.3 Expired - - - - C.4 Other - - - - D. Outstanding at end of period(***) 18,120,625 - Jun-2022 24,559,436 - Apr-2022 E. Vested instruments at end of period 10,059,806 - 6,290,836 - Notes: (*) The information related to number of options and average exercise price had been modified following the grouping operation resolved by UniCredit Extraordinary Shareholders’ Meeting held on 12 January 2017 and following the application of “adjustment factor” equal to 0.50112555 recommended by AIAF (Associazione Italiana Analisti Finanziari) for the capital increase resolved by the UniCredit Extraordinary Shareholder Meeting on 12 January 2017 and finalised on 2 March 2017. (**) As far as the 2021 movement is concerned, the average market price at the exercise date is equal to €8.93 (€10.13 was the price observed at exercise date for 2020 movimentation). (***) UniCredit undertakes to grant, conditional upon achieving performance targets set in the strategic plan 18,120,625 ordinary shares at the end of 2021 (24,559,436 ordinary shares at the end of 2020). 2. Other Information Effects on Profit and Loss All Share-Based Payment granted after 7 November 2002 whose vesting period ends after 1 January 2005 are included within the scope of the IFRS2. Financial statement presentation related to share based payments (€ million) 2021 2020 TOTAL VESTED PLANS TOTAL VESTED PLANS (Costs)/Revenues (69) (53) - connected to equity-settled plans(*) (67) (51) - connected to cash-settled plans (2) (2) Debts for cash-settled plans 4 - 4 - Note: (*) Includes costs for €6.5 million related to golden parachute. Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 457 Part L - Segment reporting Organisational structure During May 2021 UniCredit announced its new organizational structure by geographic areas, which became fully operational in the second half of the year, as follows: • Italy; • Germany; • Central Europe (including Austria, Czech Republic and Slovakia, Hungary, Slovenia); • Eastern Europe (including Bosnia and Herzegovina, Bulgaria, Croatia, Romania, Serbia, Russia). This organization ensures Country and local Banks autonomy on specific activities granting proximity to the customers (for all client segment, Retail and Corporate) and efficient decisional processes. All standalone geographies of the Group have dedicated support functions such as: People and Culture, Finance, Digital & Information Office, and Operations. In addition, Compliance, Legal and Risk have established specific regional departments. Alongside the new 4 business division there are: • Group Corporate Centre with the objective to lead, control and support the management of the assets and related risks of the Group as a whole and of the single Group companies in their respective areas of competence; it also includes the Group’s Legal Entities that are going to be dismissed; • Non Core, including non-strategic Italian assets and those with a poor fit to the Group’s risk-adjusted return framework; it is reported till full year 2021, date of its complete runoff. The Segment Reporting has been re-shaped according to the new Group organization. A - Primary segment A.1 - Breakdown by business segment: income statement (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE CONSOLIDATED GROUP TOTAL 12.31.2021 Net interest 3,595 2,516 1,621 1,574 (221) (25) 9,060 Dividends and other income from equity investments 156 18 182 21 144 - 520 Net fees and commissions 4,225 1,074 933 512 (57) 4 6,692 Net trading income 420 736 227 234 53 (32) 1,638 Net other expenses/income 19 111 44 16 (141) (3) 45 OPERATING INCOME 8,415 4,454 3,007 2,357 (223) (56) 17,954 Payroll costs (2,371) (1,476) (860) (524) (774) (17) (6,022) Other administrative expenses (1,734) (1,121) (727) (350) 812 (69) (3,190) Recovery of expenses 423 15 47 0 50 13 548 Amortisation, depreciation and impairment losses on tangible and intangible assets (315) (110) (123) (139) (445) (1) (1,133) Operating expenses (3,997) (2,692) (1,664) (1,013) (357) (74) (9,797) OPERATING PROFIT 4,418 1,763 1,343 1,343 (580) (130) 8,158 Net writedowns of loans and provisions for guarantees and commitments (1,033) (118) (261) (281) (3) 61 (1,634) OPERATING NET PROFIT 3,385 1,645 1,081 1,063 (583) (68) 6,524 Other charges and provisions (606) (407) (171) (111) (47) (44) (1,386) Integration costs (300) (617) (363) (10) (47) (0) (1,337) Net income from investments (492) (99) 1 (3) (1,952) (19) (2,565) PROFIT BEFORE TAX 1,988 521 548 939 (2,629) (132) 1,236 The figures refer to the reclassified income statement. A.2 - Breakdown by business segment: balance sheet amounts and RWA (€ million) BALANCE SHEET AMOUNTS ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO CUSTOMERS LOANS (NET REPOS AND IC) 157,514 125,509 92,543 40,676 2,869 194 419,305 CUSTOMERS DEPOS (NET REPOS AND IC) 199,123 131,756 92,962 49,223 3,223 473 476,761 TOTAL RISK WEIGHTED ASSETS (BASEL 3) 125,751 81,973 56,787 36,787 20,334 361 321,992 A.3 - Staff ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO STAFF Employees (FTE) 28,721 11,282 10,665 17,762 10,058 85 78,571 Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 457 Part L - Segment reporting Organisational structure During May 2021 UniCredit announced its new organizational structure by geographic areas, which became fully operational in the second half of the year, as follows: • Italy; • Germany; • Central Europe (including Austria, Czech Republic and Slovakia, Hungary, Slovenia); • Eastern Europe (including Bosnia and Herzegovina, Bulgaria, Croatia, Romania, Serbia, Russia). This organization ensures Country and local Banks autonomy on specific activities granting proximity to the customers (for all client segment, Retail and Corporate) and efficient decisional processes. All standalone geographies of the Group have dedicated support functions such as: People and Culture, Finance, Digital & Information Office, and Operations. In addition, Compliance, Legal and Risk have established specific regional departments. Alongside the new 4 business division there are: • Group Corporate Centre with the objective to lead, control and support the management of the assets and related risks of the Group as a whole and of the single Group companies in their respective areas of competence; it also includes the Group’s Legal Entities that are going to be dismissed; • Non Core, including non-strategic Italian assets and those with a poor fit to the Group’s risk-adjusted return framework; it is reported till full year 2021, date of its complete runoff. The Segment Reporting has been re-shaped according to the new Group organization. A - Primary segment A.1 - Breakdown by business segment: income statement (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE CONSOLIDATED GROUP TOTAL 12.31.2021 Net interest 3,595 2,516 1,621 1,574 (221) (25) 9,060 Dividends and other income from equity investments 156 18 182 21 144 - 520 Net fees and commissions 4,225 1,074 933 512 (57) 4 6,692 Net trading income 420 736 227 234 53 (32) 1,638 Net other expenses/income 19 111 44 16 (141) (3) 45 OPERATING INCOME 8,415 4,454 3,007 2,357 (223) (56) 17,954 Payroll costs (2,371) (1,476) (860) (524) (774) (17) (6,022) Other administrative expenses (1,734) (1,121) (727) (350) 812 (69) (3,190) Recovery of expenses 423 15 47 0 50 13 548 Amortisation, depreciation and impairment losses on tangible and intangible assets (315) (110) (123) (139) (445) (1) (1,133) Operating expenses (3,997) (2,692) (1,664) (1,013) (357) (74) (9,797) OPERATING PROFIT 4,418 1,763 1,343 1,343 (580) (130) 8,158 Net writedowns of loans and provisions for guarantees and commitments (1,033) (118) (261) (281) (3) 61 (1,634) OPERATING NET PROFIT 3,385 1,645 1,081 1,063 (583) (68) 6,524 Other charges and provisions (606) (407) (171) (111) (47) (44) (1,386) Integration costs (300) (617) (363) (10) (47) (0) (1,337) Net income from investments (492) (99) 1 (3) (1,952) (19) (2,565) PROFIT BEFORE TAX 1,988 521 548 939 (2,629) (132) 1,236 The figures refer to the reclassified income statement. A.2 - Breakdown by business segment: balance sheet amounts and RWA (€ million) BALANCE SHEET AMOUNTS ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO CUSTOMERS LOANS (NET REPOS AND IC) 157,514 125,509 92,543 40,676 2,869 194 419,305 CUSTOMERS DEPOS (NET REPOS AND IC) 199,123 131,756 92,962 49,223 3,223 473 476,761 TOTAL RISK WEIGHTED ASSETS (BASEL 3) 125,751 81,973 56,787 36,787 20,334 361 321,992 A.3 - Staff ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO STAFF Employees (FTE) 28,721 11,282 10,665 17,762 10,058 85 78,571 Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 457 Part L - Segment reporting Organisational structure During May 2021 UniCredit announced its new organizational structure by geographic areas, which became fully operational in the second half of the year, as follows: • Italy; • Germany; • Central Europe (including Austria, Czech Republic and Slovakia, Hungary, Slovenia); • Eastern Europe (including Bosnia and Herzegovina, Bulgaria, Croatia, Romania, Serbia, Russia). This organization ensures Country and local Banks autonomy on specific activities granting proximity to the customers (for all client segment, Retail and Corporate) and efficient decisional processes. All standalone geographies of the Group have dedicated support functions such as: People and Culture, Finance, Digital & Information Office, and Operations. In addition, Compliance, Legal and Risk have established specific regional departments. Alongside the new 4 business division there are: • Group Corporate Centre with the objective to lead, control and support the management of the assets and related risks of the Group as a whole and of the single Group companies in their respective areas of competence; it also includes the Group’s Legal Entities that are going to be dismissed; • Non Core, including non-strategic Italian assets and those with a poor fit to the Group’s risk-adjusted return framework; it is reported till full year 2021, date of its complete runoff. The Segment Reporting has been re-shaped according to the new Group organization. A - Primary segment A.1 - Breakdown by business segment: income statement (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE CONSOLIDATED GROUP TOTAL 12.31.2021 Net interest 3,595 2,516 1,621 1,574 (221) (25) 9,060 Dividends and other income from equity investments 156 18 182 21 144 - 520 Net fees and commissions 4,225 1,074 933 512 (57) 4 6,692 Net trading income 420 736 227 234 53 (32) 1,638 Net other expenses/income 19 111 44 16 (141) (3) 45 OPERATING INCOME 8,415 4,454 3,007 2,357 (223) (56) 17,954 Payroll costs (2,371) (1,476) (860) (524) (774) (17) (6,022) Other administrative expenses (1,734) (1,121) (727) (350) 812 (69) (3,190) Recovery of expenses 423 15 47 0 50 13 548 Amortisation, depreciation and impairment losses on tangible and intangible assets (315) (110) (123) (139) (445) (1) (1,133) Operating expenses (3,997) (2,692) (1,664) (1,013) (357) (74) (9,797) OPERATING PROFIT 4,418 1,763 1,343 1,343 (580) (130) 8,158 Net writedowns of loans and provisions for guarantees and commitments (1,033) (118) (261) (281) (3) 61 (1,634) OPERATING NET PROFIT 3,385 1,645 1,081 1,063 (583) (68) 6,524 Other charges and provisions (606) (407) (171) (111) (47) (44) (1,386) Integration costs (300) (617) (363) (10) (47) (0) (1,337) Net income from investments (492) (99) 1 (3) (1,952) (19) (2,565) PROFIT BEFORE TAX 1,988 521 548 939 (2,629) (132) 1,236 The figures refer to the reclassified income statement. A.2 - Breakdown by business segment: balance sheet amounts and RWA (€ million) BALANCE SHEET AMOUNTS ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO CUSTOMERS LOANS (NET REPOS AND IC) 157,514 125,509 92,543 40,676 2,869 194 419,305 CUSTOMERS DEPOS (NET REPOS AND IC) 199,123 131,756 92,962 49,223 3,223 473 476,761 TOTAL RISK WEIGHTED ASSETS (BASEL 3) 125,751 81,973 56,787 36,787 20,334 361 321,992 A.3 - Staff ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO STAFF Employees (FTE) 28,721 11,282 10,665 17,762 10,058 85 78,571 Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 457 Part L - Segment reporting Organisational structure During May 2021 UniCredit announced its new organizational structure by geographic areas, which became fully operational in the second half of the year, as follows: • Italy; • Germany; • Central Europe (including Austria, Czech Republic and Slovakia, Hungary, Slovenia); • Eastern Europe (including Bosnia and Herzegovina, Bulgaria, Croatia, Romania, Serbia, Russia). This organization ensures Country and local Banks autonomy on specific activities granting proximity to the customers (for all client segment, Retail and Corporate) and efficient decisional processes. All standalone geographies of the Group have dedicated support functions such as: People and Culture, Finance, Digital & Information Office, and Operations. In addition, Compliance, Legal and Risk have established specific regional departments. Alongside the new 4 business division there are: • Group Corporate Centre with the objective to lead, control and support the management of the assets and related risks of the Group as a whole and of the single Group companies in their respective areas of competence; it also includes the Group’s Legal Entities that are going to be dismissed; • Non Core, including non-strategic Italian assets and those with a poor fit to the Group’s risk-adjusted return framework; it is reported till full year 2021, date of its complete runoff. The Segment Reporting has been re-shaped according to the new Group organization. A - Primary segment A.1 - Breakdown by business segment: income statement (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE CONSOLIDATED GROUP TOTAL 12.31.2021 Net interest 3,595 2,516 1,621 1,574 (221) (25) 9,060 Dividends and other income from equity investments 156 18 182 21 144 - 520 Net fees and commissions 4,225 1,074 933 512 (57) 4 6,692 Net trading income 420 736 227 234 53 (32) 1,638 Net other expenses/income 19 111 44 16 (141) (3) 45 OPERATING INCOME 8,415 4,454 3,007 2,357 (223) (56) 17,954 Payroll costs (2,371) (1,476) (860) (524) (774) (17) (6,022) Other administrative expenses (1,734) (1,121) (727) (350) 812 (69) (3,190) Recovery of expenses 423 15 47 0 50 13 548 Amortisation, depreciation and impairment losses on tangible and intangible assets (315) (110) (123) (139) (445) (1) (1,133) Operating expenses (3,997) (2,692) (1,664) (1,013) (357) (74) (9,797) OPERATING PROFIT 4,418 1,763 1,343 1,343 (580) (130) 8,158 Net writedowns of loans and provisions for guarantees and commitments (1,033) (118) (261) (281) (3) 61 (1,634) OPERATING NET PROFIT 3,385 1,645 1,081 1,063 (583) (68) 6,524 Other charges and provisions (606) (407) (171) (111) (47) (44) (1,386) Integration costs (300) (617) (363) (10) (47) (0) (1,337) Net income from investments (492) (99) 1 (3) (1,952) (19) (2,565) PROFIT BEFORE TAX 1,988 521 548 939 (2,629) (132) 1,236 The figures refer to the reclassified income statement. A.2 - Breakdown by business segment: balance sheet amounts and RWA (€ million) BALANCE SHEET AMOUNTS ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO CUSTOMERS LOANS (NET REPOS AND IC) 157,514 125,509 92,543 40,676 2,869 194 419,305 CUSTOMERS DEPOS (NET REPOS AND IC) 199,123 131,756 92,962 49,223 3,223 473 476,761 TOTAL RISK WEIGHTED ASSETS (BASEL 3) 125,751 81,973 56,787 36,787 20,334 361 321,992 A.3 - Staff ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO STAFF Employees (FTE) 28,721 11,282 10,665 17,762 10,058 85 78,571 Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 457 Part L - Segment reporting Organisational structure During May 2021 UniCredit announced its new organizational structure by geographic areas, which became fully operational in the second half of the year, as follows: • Italy; • Germany; • Central Europe (including Austria, Czech Republic and Slovakia, Hungary, Slovenia); • Eastern Europe (including Bosnia and Herzegovina, Bulgaria, Croatia, Romania, Serbia, Russia). This organization ensures Country and local Banks autonomy on specific activities granting proximity to the customers (for all client segment, Retail and Corporate) and efficient decisional processes. All standalone geographies of the Group have dedicated support functions such as: People and Culture, Finance, Digital & Information Office, and Operations. In addition, Compliance, Legal and Risk have established specific regional departments. Alongside the new 4 business division there are: • Group Corporate Centre with the objective to lead, control and support the management of the assets and related risks of the Group as a whole and of the single Group companies in their respective areas of competence; it also includes the Group’s Legal Entities that are going to be dismissed; • Non Core, including non-strategic Italian assets and those with a poor fit to the Group’s risk-adjusted return framework; it is reported till full year 2021, date of its complete runoff. The Segment Reporting has been re-shaped according to the new Group organization. A - Primary segment A.1 - Breakdown by business segment: income statement (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE CONSOLIDATED GROUP TOTAL 12.31.2021 Net interest 3,595 2,516 1,621 1,574 (221) (25) 9,060 Dividends and other income from equity investments 156 18 182 21 144 - 520 Net fees and commissions 4,225 1,074 933 512 (57) 4 6,692 Net trading income 420 736 227 234 53 (32) 1,638 Net other expenses/income 19 111 44 16 (141) (3) 45 OPERATING INCOME 8,415 4,454 3,007 2,357 (223) (56) 17,954 Payroll costs (2,371) (1,476) (860) (524) (774) (17) (6,022) Other administrative expenses (1,734) (1,121) (727) (350) 812 (69) (3,190) Recovery of expenses 423 15 47 0 50 13 548 Amortisation, depreciation and impairment losses on tangible and intangible assets (315) (110) (123) (139) (445) (1) (1,133) Operating expenses (3,997) (2,692) (1,664) (1,013) (357) (74) (9,797) OPERATING PROFIT 4,418 1,763 1,343 1,343 (580) (130) 8,158 Net writedowns of loans and provisions for guarantees and commitments (1,033) (118) (261) (281) (3) 61 (1,634) OPERATING NET PROFIT 3,385 1,645 1,081 1,063 (583) (68) 6,524 Other charges and provisions (606) (407) (171) (111) (47) (44) (1,386) Integration costs (300) (617) (363) (10) (47) (0) (1,337) Net income from investments (492) (99) 1 (3) (1,952) (19) (2,565) PROFIT BEFORE TAX 1,988 521 548 939 (2,629) (132) 1,236 The figures refer to the reclassified income statement. A.2 - Breakdown by business segment: balance sheet amounts and RWA (€ million) BALANCE SHEET AMOUNTS ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO CUSTOMERS LOANS (NET REPOS AND IC) 157,514 125,509 92,543 40,676 2,869 194 419,305 CUSTOMERS DEPOS (NET REPOS AND IC) 199,123 131,756 92,962 49,223 3,223 473 476,761 TOTAL RISK WEIGHTED ASSETS (BASEL 3) 125,751 81,973 56,787 36,787 20,334 361 321,992 A.3 - Staff ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO STAFF Employees (FTE) 28,721 11,282 10,665 17,762 10,058 85 78,571 Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting 458 2021 Annual Report and Accounts · UniCredit A.1 - Breakdown by business segment: income statement (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO Net interest 4,079 2,376 1,585 1,611 (186) (23) 9,441 Dividends and other income from equity investments 146 19 105 22 123 - 415 Net fees and commissions 3,676 965 883 484 (46) 6 5,968 Net trading income 358 600 196 235 28 (4) 1,412 Net other expenses/income (171) 133 48 9 (97) (25) (104) OPERATING INCOME 8,088 4,092 2,817 2,361 (179) (46) 17,132 Payroll costs (2,406) (1,443) (858) (511) (725) (24) (5,968) Other administrative expenses (1,656) (1,176) (702) (362) 788 (107) (3,215) Recovery of expenses 397 15 43 0 52 16 523 Amortisation, depreciation and impairment losses on tangible and intangible assets (335) (115) (116) (139) (432) (1) (1,137) Operating expenses (4,001) (2,719) (1,633) (1,012) (318) (115) (9,797) OPERATING PROFIT 4,088 1,373 1,184 1,349 (497) (162) 7,335 Net writedowns of loans and provisions for guarantees and commitments (2,891) (728) (598) (775) (3) (1) (4,996) OPERATING NET PROFIT 1,196 645 586 574 (500) (162) 2,339 Other charges and provisions (551) (158) (201) (124) (2) (19) (1,055) Integration costs (1,203) (35) (9) (57) (148) (13) (1,464) Net income from investments (55) 543 (94) 8 (1,623) (145) (1,365) PROFIT BEFORE TAX (612) 996 282 401 (2,273) (339) (1,546) The figures refer to the reclassified income statement. A.2 - Breakdown by business segment: balance sheet amounts and RWA (€ million) BALANCE SHEET AMOUNTS ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO CUSTOMERS LOANS (NET REPOS AND IC) 167,810 120,795 84,516 37,829 3,068 775 414,793 CUSTOMERS DEPOS (NET REPOS AND IC) 190,594 133,973 86,575 45,824 2,459 518 459,944 TOTAL RISK WEIGHTED ASSETS (BASEL 3) 131,198 78,606 49,969 36,489 21,763 7,642 325,665 A.3 - Staff ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO STAFF Employees (FTE) 30,429 11,937 11,072 18,110 10,347 211 82,107 Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting 458 2021 Annual Report and Accounts · UniCredit A.1 - Breakdown by business segment: income statement (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO Net interest 4,079 2,376 1,585 1,611 (186) (23) 9,441 Dividends and other income from equity investments 146 19 105 22 123 - 415 Net fees and commissions 3,676 965 883 484 (46) 6 5,968 Net trading income 358 600 196 235 28 (4) 1,412 Net other expenses/income (171) 133 48 9 (97) (25) (104) OPERATING INCOME 8,088 4,092 2,817 2,361 (179) (46) 17,132 Payroll costs (2,406) (1,443) (858) (511) (725) (24) (5,968) Other administrative expenses (1,656) (1,176) (702) (362) 788 (107) (3,215) Recovery of expenses 397 15 43 0 52 16 523 Amortisation, depreciation and impairment losses on tangible and intangible assets (335) (115) (116) (139) (432) (1) (1,137) Operating expenses (4,001) (2,719) (1,633) (1,012) (318) (115) (9,797) OPERATING PROFIT 4,088 1,373 1,184 1,349 (497) (162) 7,335 Net writedowns of loans and provisions for guarantees and commitments (2,891) (728) (598) (775) (3) (1) (4,996) OPERATING NET PROFIT 1,196 645 586 574 (500) (162) 2,339 Other charges and provisions (551) (158) (201) (124) (2) (19) (1,055) Integration costs (1,203) (35) (9) (57) (148) (13) (1,464) Net income from investments (55) 543 (94) 8 (1,623) (145) (1,365) PROFIT BEFORE TAX (612) 996 282 401 (2,273) (339) (1,546) The figures refer to the reclassified income statement. A.2 - Breakdown by business segment: balance sheet amounts and RWA (€ million) BALANCE SHEET AMOUNTS ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO CUSTOMERS LOANS (NET REPOS AND IC) 167,810 120,795 84,516 37,829 3,068 775 414,793 CUSTOMERS DEPOS (NET REPOS AND IC) 190,594 133,973 86,575 45,824 2,459 518 459,944 TOTAL RISK WEIGHTED ASSETS (BASEL 3) 131,198 78,606 49,969 36,489 21,763 7,642 325,665 A.3 - Staff ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO STAFF Employees (FTE) 30,429 11,937 11,072 18,110 10,347 211 82,107 Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting 458 2021 Annual Report and Accounts · UniCredit A.1 - Breakdown by business segment: income statement (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO Net interest 4,079 2,376 1,585 1,611 (186) (23) 9,441 Dividends and other income from equity investments 146 19 105 22 123 - 415 Net fees and commissions 3,676 965 883 484 (46) 6 5,968 Net trading income 358 600 196 235 28 (4) 1,412 Net other expenses/income (171) 133 48 9 (97) (25) (104) OPERATING INCOME 8,088 4,092 2,817 2,361 (179) (46) 17,132 Payroll costs (2,406) (1,443) (858) (511) (725) (24) (5,968) Other administrative expenses (1,656) (1,176) (702) (362) 788 (107) (3,215) Recovery of expenses 397 15 43 0 52 16 523 Amortisation, depreciation and impairment losses on tangible and intangible assets (335) (115) (116) (139) (432) (1) (1,137) Operating expenses (4,001) (2,719) (1,633) (1,012) (318) (115) (9,797) OPERATING PROFIT 4,088 1,373 1,184 1,349 (497) (162) 7,335 Net writedowns of loans and provisions for guarantees and commitments (2,891) (728) (598) (775) (3) (1) (4,996) OPERATING NET PROFIT 1,196 645 586 574 (500) (162) 2,339 Other charges and provisions (551) (158) (201) (124) (2) (19) (1,055) Integration costs (1,203) (35) (9) (57) (148) (13) (1,464) Net income from investments (55) 543 (94) 8 (1,623) (145) (1,365) PROFIT BEFORE TAX (612) 996 282 401 (2,273) (339) (1,546) The figures refer to the reclassified income statement. A.2 - Breakdown by business segment: balance sheet amounts and RWA (€ million) BALANCE SHEET AMOUNTS ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO CUSTOMERS LOANS (NET REPOS AND IC) 167,810 120,795 84,516 37,829 3,068 775 414,793 CUSTOMERS DEPOS (NET REPOS AND IC) 190,594 133,973 86,575 45,824 2,459 518 459,944 TOTAL RISK WEIGHTED ASSETS (BASEL 3) 131,198 78,606 49,969 36,489 21,763 7,642 325,665 A.3 - Staff ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO STAFF Employees (FTE) 30,429 11,937 11,072 18,110 10,347 211 82,107 Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting 458 2021 Annual Report and Accounts · UniCredit A.1 - Breakdown by business segment: income statement (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO Net interest 4,079 2,376 1,585 1,611 (186) (23) 9,441 Dividends and other income from equity investments 146 19 105 22 123 - 415 Net fees and commissions 3,676 965 883 484 (46) 6 5,968 Net trading income 358 600 196 235 28 (4) 1,412 Net other expenses/income (171) 133 48 9 (97) (25) (104) OPERATING INCOME 8,088 4,092 2,817 2,361 (179) (46) 17,132 Payroll costs (2,406) (1,443) (858) (511) (725) (24) (5,968) Other administrative expenses (1,656) (1,176) (702) (362) 788 (107) (3,215) Recovery of expenses 397 15 43 0 52 16 523 Amortisation, depreciation and impairment losses on tangible and intangible assets (335) (115) (116) (139) (432) (1) (1,137) Operating expenses (4,001) (2,719) (1,633) (1,012) (318) (115) (9,797) OPERATING PROFIT 4,088 1,373 1,184 1,349 (497) (162) 7,335 Net writedowns of loans and provisions for guarantees and commitments (2,891) (728) (598) (775) (3) (1) (4,996) OPERATING NET PROFIT 1,196 645 586 574 (500) (162) 2,339 Other charges and provisions (551) (158) (201) (124) (2) (19) (1,055) Integration costs (1,203) (35) (9) (57) (148) (13) (1,464) Net income from investments (55) 543 (94) 8 (1,623) (145) (1,365) PROFIT BEFORE TAX (612) 996 282 401 (2,273) (339) (1,546) The figures refer to the reclassified income statement. A.2 - Breakdown by business segment: balance sheet amounts and RWA (€ million) BALANCE SHEET AMOUNTS ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO CUSTOMERS LOANS (NET REPOS AND IC) 167,810 120,795 84,516 37,829 3,068 775 414,793 CUSTOMERS DEPOS (NET REPOS AND IC) 190,594 133,973 86,575 45,824 2,459 518 459,944 TOTAL RISK WEIGHTED ASSETS (BASEL 3) 131,198 78,606 49,969 36,489 21,763 7,642 325,665 A.3 - Staff ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO STAFF Employees (FTE) 30,429 11,937 11,072 18,110 10,347 211 82,107 Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting 458 2021 Annual Report and Accounts · UniCredit A.1 - Breakdown by business segment: income statement (€ million) ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO Net interest 4,079 2,376 1,585 1,611 (186) (23) 9,441 Dividends and other income from equity investments 146 19 105 22 123 - 415 Net fees and commissions 3,676 965 883 484 (46) 6 5,968 Net trading income 358 600 196 235 28 (4) 1,412 Net other expenses/income (171) 133 48 9 (97) (25) (104) OPERATING INCOME 8,088 4,092 2,817 2,361 (179) (46) 17,132 Payroll costs (2,406) (1,443) (858) (511) (725) (24) (5,968) Other administrative expenses (1,656) (1,176) (702) (362) 788 (107) (3,215) Recovery of expenses 397 15 43 0 52 16 523 Amortisation, depreciation and impairment losses on tangible and intangible assets (335) (115) (116) (139) (432) (1) (1,137) Operating expenses (4,001) (2,719) (1,633) (1,012) (318) (115) (9,797) OPERATING PROFIT 4,088 1,373 1,184 1,349 (497) (162) 7,335 Net writedowns of loans and provisions for guarantees and commitments (2,891) (728) (598) (775) (3) (1) (4,996) OPERATING NET PROFIT 1,196 645 586 574 (500) (162) 2,339 Other charges and provisions (551) (158) (201) (124) (2) (19) (1,055) Integration costs (1,203) (35) (9) (57) (148) (13) (1,464) Net income from investments (55) 543 (94) 8 (1,623) (145) (1,365) PROFIT BEFORE TAX (612) 996 282 401 (2,273) (339) (1,546) The figures refer to the reclassified income statement. A.2 - Breakdown by business segment: balance sheet amounts and RWA (€ million) BALANCE SHEET AMOUNTS ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO CUSTOMERS LOANS (NET REPOS AND IC) 167,810 120,795 84,516 37,829 3,068 775 414,793 CUSTOMERS DEPOS (NET REPOS AND IC) 190,594 133,973 86,575 45,824 2,459 518 459,944 TOTAL RISK WEIGHTED ASSETS (BASEL 3) 131,198 78,606 49,969 36,489 21,763 7,642 325,665 A.3 - Staff ITALY GERMANY CENTRAL EUROPE EASTERN EUROPE GROUP CORPORATE CENTRE NON CORE TOTALE CONSOLIDATO DI GRUPPO STAFF Employees (FTE) 30,429 11,937 11,072 18,110 10,347 211 82,107 Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 459 B - Secondary segment The Secondary segment Reporting is presented by client segment (Retail and Corporate), coherently with the latest 2022-2024 Strategic Plan, disclosed to the market in December 2021. (€ million) AMOUNTS AS AT 12.31.2021 TOTAL REVENUE CUSTOMERS LOANS(*) TOTAL RWA Eop Retail 9,061 156,725 65,979 Corporates 8,275 253,096 195,072 Central Functions 674 9,290 60,581 Non Core (56) 194 361 Total 17,954 419,305 321,992 Note: (*) Net of repos, intercompany transactions. (€ million) AMOUNT AS AT 12.31.2020 TOTAL REVENUE CUSTOMERS LOANS(*) TOTAL RWA Eop Retail 9,058 150,448 66,323 Corporates 7,682 255,040 190,906 Central Functions 438 8,530 60,795 Non Core (46) 775 7,642 Total 17,132 414,793 325,665 Note: (*) Net of repos, intercompany transactions. The figures refer to the reclassified income statement. Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 459 B - Secondary segment The Secondary segment Reporting is presented by client segment (Retail and Corporate), coherently with the latest 2022-2024 Strategic Plan, disclosed to the market in December 2021. (€ million) AMOUNTS AS AT 12.31.2021 TOTAL REVENUE CUSTOMERS LOANS(*) TOTAL RWA Eop Retail 9,061 156,725 65,979 Corporates 8,275 253,096 195,072 Central Functions 674 9,290 60,581 Non Core (56) 194 361 Total 17,954 419,305 321,992 Note: (*) Net of repos, intercompany transactions. (€ million) AMOUNT AS AT 12.31.2020 TOTAL REVENUE CUSTOMERS LOANS(*) TOTAL RWA Eop Retail 9,058 150,448 66,323 Corporates 7,682 255,040 190,906 Central Functions 438 8,530 60,795 Non Core (46) 775 7,642 Total 17,132 414,793 325,665 Note: (*) Net of repos, intercompany transactions. The figures refer to the reclassified income statement. Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 459 B - Secondary segment The Secondary segment Reporting is presented by client segment (Retail and Corporate), coherently with the latest 2022-2024 Strategic Plan, disclosed to the market in December 2021. (€ million) AMOUNTS AS AT 12.31.2021 TOTAL REVENUE CUSTOMERS LOANS(*) TOTAL RWA Eop Retail 9,061 156,725 65,979 Corporates 8,275 253,096 195,072 Central Functions 674 9,290 60,581 Non Core (56) 194 361 Total 17,954 419,305 321,992 Note: (*) Net of repos, intercompany transactions. (€ million) AMOUNT AS AT 12.31.2020 TOTAL REVENUE CUSTOMERS LOANS(*) TOTAL RWA Eop Retail 9,058 150,448 66,323 Corporates 7,682 255,040 190,906 Central Functions 438 8,530 60,795 Non Core (46) 775 7,642 Total 17,132 414,793 325,665 Note: (*) Net of repos, intercompany transactions. The figures refer to the reclassified income statement. Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 459 B - Secondary segment The Secondary segment Reporting is presented by client segment (Retail and Corporate), coherently with the latest 2022-2024 Strategic Plan, disclosed to the market in December 2021. (€ million) AMOUNTS AS AT 12.31.2021 TOTAL REVENUE CUSTOMERS LOANS(*) TOTAL RWA Eop Retail 9,061 156,725 65,979 Corporates 8,275 253,096 195,072 Central Functions 674 9,290 60,581 Non Core (56) 194 361 Total 17,954 419,305 321,992 Note: (*) Net of repos, intercompany transactions. (€ million) AMOUNT AS AT 12.31.2020 TOTAL REVENUE CUSTOMERS LOANS(*) TOTAL RWA Eop Retail 9,058 150,448 66,323 Corporates 7,682 255,040 190,906 Central Functions 438 8,530 60,795 Non Core (46) 775 7,642 Total 17,132 414,793 325,665 Note: (*) Net of repos, intercompany transactions. The figures refer to the reclassified income statement. Consolidated financial statements | Notes to the consolidated accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 459 B - Secondary segment The Secondary segment Reporting is presented by client segment (Retail and Corporate), coherently with the latest 2022-2024 Strategic Plan, disclosed to the market in December 2021. (€ million) AMOUNTS AS AT 12.31.2021 TOTAL REVENUE CUSTOMERS LOANS(*) TOTAL RWA Eop Retail 9,061 156,725 65,979 Corporates 8,275 253,096 195,072 Central Functions 674 9,290 60,581 Non Core (56) 194 361 Total 17,954 419,305 321,992 Note: (*) Net of repos, intercompany transactions. (€ million) AMOUNT AS AT 12.31.2020 TOTAL REVENUE CUSTOMERS LOANS(*) TOTAL RWA Eop Retail 9,058 150,448 66,323 Corporates 7,682 255,040 190,906 Central Functions 438 8,530 60,795 Non Core (46) 775 7,642 Total 17,132 414,793 325,665 Note: (*) Net of repos, intercompany transactions. The figures refer to the reclassified income statement. Consolidated financial statements | Notes to the accounts Part M - Information on leases 460 2021 Annual Report and Accounts · UniCredit Part M - Information on leases Section 1 - Lessee Qualitative information The Group in conducting its business, signs lease contracts for which accounts for rights of use that mainly relate to the following type of tangible assets: • land; • buildings; • office furniture and fitting; • others (e.g. cars). These contracts are accounted for in accordance with rules set in accounting standard IFRS16 further detailed in Part A - Accounting policies, A.2 - Main items of the accounts (refer to this section). The rights of use deriving from these lease contracts are mainly used to provide for services or for administrative purposes and accounted for according to the cost method. If these rights of use are sub-leased to third parties, a financial or operating lease contract is booked based on their characteristics. As allowed by the accounting standard, the Group has decided not to account for rights of use or lease liabilities in case of: • short-term leases, lower than 12 months; and • lease of low value assets. In this regard, in this respect an asset is considered as low value if its fair value when new is equal to or lower than €5 thousand. This category mainly includes office machines (PCs, monitors, tablets, etc.) as well as fixed and mobile telephony devices. The lease payments deriving from this type of activity are booked in item “190. Administrative expenses” on an accrual basis. Quantitative information The book value of the rights of use arising from lease contracts are exposed in the paragraph “Section 9 - Property, plant and equipment - Item 90”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. During the year, these rights of use resulted in the recognition of depreciations for €318.8 million of which: • €0.6 million relating to land; • €307.7 million relating to buildings; • €0.4 million relating to office furniture and fitting; • €1.1 million relating to electronic systems; • €9.0 million relating to the category other (eg. cars). In addition, impairment (net of reversal) for €65.4 million has been booked. With reference to lease liabilities, the related book value is shown in the paragraph “Section 1 - Financial liabilities at amortised cost - Item 10”, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Liabilities. During the year, these lease liabilities led to the recognition of interest expenses shown in the paragraph “Section 1 - Interests - Items 10 and 20”, Notes to the consolidated accounts, Part C - Consolidated income statement, Consolidated income statement. With reference to short-term leases and leases of low value assets, it should be noted that during the year, rentals were accounted for €92.4 million. It should be note that such amount also includes VAT on rentals which is not included in the lease liability calculation. Finally, with reference to the sublease contracts, it should be noted that these contracts determined interest income for €0.4 million during the year if classified as financial leases and other operating income for €6.3 million if classified as operating leases. For the purposes of determining the lease term, the Group considers the non-cancellable period established by the contract, during which the lessee has the right to use the underlying asset as well as any renewal options where the lessee has reasonable expectation to proceed with the renewal. In particular, with reference to contracts that provide the lessee with the option to automatically renew the lease at the end of a first period, the lease term is determined considering elements such as the duration of the first period, the existence of any plan leading to the disposal of the asset leased as well as any other circumstance indicating the reasonable certainty of renewal. Therefore, the amount of cash flows, not reflected in the calculation of the lease liability, to which the Group is potentially exposed, is essentially due to the possible renewal of lease contracts and the subsequent extension of the lease term not included in the original calculation of the lease liabilities taking into account the information available and expectations existing as at 1 January 2019 (date of initial application of IFRS16) or on the starting date of the lease. Consolidated financial statements | Notes to the accounts Part M - Information on leases 460 2021 Annual Report and Accounts · UniCredit Part M - Information on leases Section 1 - Lessee Qualitative information The Group in conducting its business, signs lease contracts for which accounts for rights of use that mainly relate to the following type of tangible assets: • land; • buildings; • office furniture and fitting; • others (e.g. cars). These contracts are accounted for in accordance with rules set in accounting standard IFRS16 further detailed in Part A - Accounting policies, A.2 - Main items of the accounts (refer to this section). The rights of use deriving from these lease contracts are mainly used to provide for services or for administrative purposes and accounted for according to the cost method. If these rights of use are sub-leased to third parties, a financial or operating lease contract is booked based on their characteristics. As allowed by the accounting standard, the Group has decided not to account for rights of use or lease liabilities in case of: • short-term leases, lower than 12 months; and • lease of low value assets. In this regard, in this respect an asset is considered as low value if its fair value when new is equal to or lower than €5 thousand. This category mainly includes office machines (PCs, monitors, tablets, etc.) as well as fixed and mobile telephony devices. The lease payments deriving from this type of activity are booked in item “190. Administrative expenses” on an accrual basis. Quantitative information The book value of the rights of use arising from lease contracts are exposed in the paragraph “Section 9 - Property, plant and equipment - Item 90”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. During the year, these rights of use resulted in the recognition of depreciations for €318.8 million of which: • €0.6 million relating to land; • €307.7 million relating to buildings; • €0.4 million relating to office furniture and fitting; • €1.1 million relating to electronic systems; • €9.0 million relating to the category other (eg. cars). In addition, impairment (net of reversal) for €65.4 million has been booked. With reference to lease liabilities, the related book value is shown in the paragraph “Section 1 - Financial liabilities at amortised cost - Item 10”, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Liabilities. During the year, these lease liabilities led to the recognition of interest expenses shown in the paragraph “Section 1 - Interests - Items 10 and 20”, Notes to the consolidated accounts, Part C - Consolidated income statement, Consolidated income statement. With reference to short-term leases and leases of low value assets, it should be noted that during the year, rentals were accounted for €92.4 million. It should be note that such amount also includes VAT on rentals which is not included in the lease liability calculation. Finally, with reference to the sublease contracts, it should be noted that these contracts determined interest income for €0.4 million during the year if classified as financial leases and other operating income for €6.3 million if classified as operating leases. For the purposes of determining the lease term, the Group considers the non-cancellable period established by the contract, during which the lessee has the right to use the underlying asset as well as any renewal options where the lessee has reasonable expectation to proceed with the renewal. In particular, with reference to contracts that provide the lessee with the option to automatically renew the lease at the end of a first period, the lease term is determined considering elements such as the duration of the first period, the existence of any plan leading to the disposal of the asset leased as well as any other circumstance indicating the reasonable certainty of renewal. Therefore, the amount of cash flows, not reflected in the calculation of the lease liability, to which the Group is potentially exposed, is essentially due to the possible renewal of lease contracts and the subsequent extension of the lease term not included in the original calculation of the lease liabilities taking into account the information available and expectations existing as at 1 January 2019 (date of initial application of IFRS16) or on the starting date of the lease. Consolidated financial statements | Notes to the accounts Part M - Information on leases 460 2021 Annual Report and Accounts · UniCredit Part M - Information on leases Section 1 - Lessee Qualitative information The Group in conducting its business, signs lease contracts for which accounts for rights of use that mainly relate to the following type of tangible assets: • land; • buildings; • office furniture and fitting; • others (e.g. cars). These contracts are accounted for in accordance with rules set in accounting standard IFRS16 further detailed in Part A - Accounting policies, A.2 - Main items of the accounts (refer to this section). The rights of use deriving from these lease contracts are mainly used to provide for services or for administrative purposes and accounted for according to the cost method. If these rights of use are sub-leased to third parties, a financial or operating lease contract is booked based on their characteristics. As allowed by the accounting standard, the Group has decided not to account for rights of use or lease liabilities in case of: • short-term leases, lower than 12 months; and • lease of low value assets. In this regard, in this respect an asset is considered as low value if its fair value when new is equal to or lower than €5 thousand. This category mainly includes office machines (PCs, monitors, tablets, etc.) as well as fixed and mobile telephony devices. The lease payments deriving from this type of activity are booked in item “190. Administrative expenses” on an accrual basis. Quantitative information The book value of the rights of use arising from lease contracts are exposed in the paragraph “Section 9 - Property, plant and equipment - Item 90”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. During the year, these rights of use resulted in the recognition of depreciations for €318.8 million of which: • €0.6 million relating to land; • €307.7 million relating to buildings; • €0.4 million relating to office furniture and fitting; • €1.1 million relating to electronic systems; • €9.0 million relating to the category other (eg. cars). In addition, impairment (net of reversal) for €65.4 million has been booked. With reference to lease liabilities, the related book value is shown in the paragraph “Section 1 - Financial liabilities at amortised cost - Item 10”, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Liabilities. During the year, these lease liabilities led to the recognition of interest expenses shown in the paragraph “Section 1 - Interests - Items 10 and 20”, Notes to the consolidated accounts, Part C - Consolidated income statement, Consolidated income statement. With reference to short-term leases and leases of low value assets, it should be noted that during the year, rentals were accounted for €92.4 million. It should be note that such amount also includes VAT on rentals which is not included in the lease liability calculation. Finally, with reference to the sublease contracts, it should be noted that these contracts determined interest income for €0.4 million during the year if classified as financial leases and other operating income for €6.3 million if classified as operating leases. For the purposes of determining the lease term, the Group considers the non-cancellable period established by the contract, during which the lessee has the right to use the underlying asset as well as any renewal options where the lessee has reasonable expectation to proceed with the renewal. In particular, with reference to contracts that provide the lessee with the option to automatically renew the lease at the end of a first period, the lease term is determined considering elements such as the duration of the first period, the existence of any plan leading to the disposal of the asset leased as well as any other circumstance indicating the reasonable certainty of renewal. Therefore, the amount of cash flows, not reflected in the calculation of the lease liability, to which the Group is potentially exposed, is essentially due to the possible renewal of lease contracts and the subsequent extension of the lease term not included in the original calculation of the lease liabilities taking into account the information available and expectations existing as at 1 January 2019 (date of initial application of IFRS16) or on the starting date of the lease. Consolidated financial statements | Notes to the accounts Part M - Information on leases 460 2021 Annual Report and Accounts · UniCredit Part M - Information on leases Section 1 - Lessee Qualitative information The Group in conducting its business, signs lease contracts for which accounts for rights of use that mainly relate to the following type of tangible assets: • land; • buildings; • office furniture and fitting; • others (e.g. cars). These contracts are accounted for in accordance with rules set in accounting standard IFRS16 further detailed in Part A - Accounting policies, A.2 - Main items of the accounts (refer to this section). The rights of use deriving from these lease contracts are mainly used to provide for services or for administrative purposes and accounted for according to the cost method. If these rights of use are sub-leased to third parties, a financial or operating lease contract is booked based on their characteristics. As allowed by the accounting standard, the Group has decided not to account for rights of use or lease liabilities in case of: • short-term leases, lower than 12 months; and • lease of low value assets. In this regard, in this respect an asset is considered as low value if its fair value when new is equal to or lower than €5 thousand. This category mainly includes office machines (PCs, monitors, tablets, etc.) as well as fixed and mobile telephony devices. The lease payments deriving from this type of activity are booked in item “190. Administrative expenses” on an accrual basis. Quantitative information The book value of the rights of use arising from lease contracts are exposed in the paragraph “Section 9 - Property, plant and equipment - Item 90”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. During the year, these rights of use resulted in the recognition of depreciations for €318.8 million of which: • €0.6 million relating to land; • €307.7 million relating to buildings; • €0.4 million relating to office furniture and fitting; • €1.1 million relating to electronic systems; • €9.0 million relating to the category other (eg. cars). In addition, impairment (net of reversal) for €65.4 million has been booked. With reference to lease liabilities, the related book value is shown in the paragraph “Section 1 - Financial liabilities at amortised cost - Item 10”, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Liabilities. During the year, these lease liabilities led to the recognition of interest expenses shown in the paragraph “Section 1 - Interests - Items 10 and 20”, Notes to the consolidated accounts, Part C - Consolidated income statement, Consolidated income statement. With reference to short-term leases and leases of low value assets, it should be noted that during the year, rentals were accounted for €92.4 million. It should be note that such amount also includes VAT on rentals which is not included in the lease liability calculation. Finally, with reference to the sublease contracts, it should be noted that these contracts determined interest income for €0.4 million during the year if classified as financial leases and other operating income for €6.3 million if classified as operating leases. For the purposes of determining the lease term, the Group considers the non-cancellable period established by the contract, during which the lessee has the right to use the underlying asset as well as any renewal options where the lessee has reasonable expectation to proceed with the renewal. In particular, with reference to contracts that provide the lessee with the option to automatically renew the lease at the end of a first period, the lease term is determined considering elements such as the duration of the first period, the existence of any plan leading to the disposal of the asset leased as well as any other circumstance indicating the reasonable certainty of renewal. Therefore, the amount of cash flows, not reflected in the calculation of the lease liability, to which the Group is potentially exposed, is essentially due to the possible renewal of lease contracts and the subsequent extension of the lease term not included in the original calculation of the lease liabilities taking into account the information available and expectations existing as at 1 January 2019 (date of initial application of IFRS16) or on the starting date of the lease. Consolidated financial statements | Notes to the accounts Part M - Information on leases 460 2021 Annual Report and Accounts · UniCredit Part M - Information on leases Section 1 - Lessee Qualitative information The Group in conducting its business, signs lease contracts for which accounts for rights of use that mainly relate to the following type of tangible assets: • land; • buildings; • office furniture and fitting; • others (e.g. cars). These contracts are accounted for in accordance with rules set in accounting standard IFRS16 further detailed in Part A - Accounting policies, A.2 - Main items of the accounts (refer to this section). The rights of use deriving from these lease contracts are mainly used to provide for services or for administrative purposes and accounted for according to the cost method. If these rights of use are sub-leased to third parties, a financial or operating lease contract is booked based on their characteristics. As allowed by the accounting standard, the Group has decided not to account for rights of use or lease liabilities in case of: • short-term leases, lower than 12 months; and • lease of low value assets. In this regard, in this respect an asset is considered as low value if its fair value when new is equal to or lower than €5 thousand. This category mainly includes office machines (PCs, monitors, tablets, etc.) as well as fixed and mobile telephony devices. The lease payments deriving from this type of activity are booked in item “190. Administrative expenses” on an accrual basis. Quantitative information The book value of the rights of use arising from lease contracts are exposed in the paragraph “Section 9 - Property, plant and equipment - Item 90”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. During the year, these rights of use resulted in the recognition of depreciations for €318.8 million of which: • €0.6 million relating to land; • €307.7 million relating to buildings; • €0.4 million relating to office furniture and fitting; • €1.1 million relating to electronic systems; • €9.0 million relating to the category other (eg. cars). In addition, impairment (net of reversal) for €65.4 million has been booked. With reference to lease liabilities, the related book value is shown in the paragraph “Section 1 - Financial liabilities at amortised cost - Item 10”, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Liabilities. During the year, these lease liabilities led to the recognition of interest expenses shown in the paragraph “Section 1 - Interests - Items 10 and 20”, Notes to the consolidated accounts, Part C - Consolidated income statement, Consolidated income statement. With reference to short-term leases and leases of low value assets, it should be noted that during the year, rentals were accounted for €92.4 million. It should be note that such amount also includes VAT on rentals which is not included in the lease liability calculation. Finally, with reference to the sublease contracts, it should be noted that these contracts determined interest income for €0.4 million during the year if classified as financial leases and other operating income for €6.3 million if classified as operating leases. For the purposes of determining the lease term, the Group considers the non-cancellable period established by the contract, during which the lessee has the right to use the underlying asset as well as any renewal options where the lessee has reasonable expectation to proceed with the renewal. In particular, with reference to contracts that provide the lessee with the option to automatically renew the lease at the end of a first period, the lease term is determined considering elements such as the duration of the first period, the existence of any plan leading to the disposal of the asset leased as well as any other circumstance indicating the reasonable certainty of renewal. Therefore, the amount of cash flows, not reflected in the calculation of the lease liability, to which the Group is potentially exposed, is essentially due to the possible renewal of lease contracts and the subsequent extension of the lease term not included in the original calculation of the lease liabilities taking into account the information available and expectations existing as at 1 January 2019 (date of initial application of IFRS16) or on the starting date of the lease. Consolidated financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 461 Section 2 - Lessor Qualitative information Financial leasing activities are exposed through the recognition of a credit for financial leases recognised in item “40. Financial assets at amortised cost”, of the related income on an accrual basis in item "10. Interest income and similar revenues" and of the impairment for the expected credit loss in item “130. Net losses/recoveries on credit impairment”. Operating leasing activities, on the other hand, are essentially attributable to the leasing of owned properties to parties external to the Group. These contracts are represented through the recognition, on an accrual basis, of the rentals received in item “230. Other operating expenses/income”. Quantitative information 1. Balance sheet and Income statement information With reference to financial lease contracts, the book value of credit for financial leases is shown in the paragraph “Section 4 - Financial assets at amortised cost - Item 40”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Such loans determined, during the year, interest income shown in the paragraph “Section 1 - Interests - Items 10 and 20”, Notes to the consolidated accounts, Part C - Consolidated income statement. With reference to operating lease contracts, it should be noted that the book value of the owned assets granted under operating lease is composed as follows: • land: €226.6 million; • buildings: €356.9 million; • other: €484.8 million. Rentals recognised on an accrual basis during the year for leasing of these activities are shown in the paragraph “Section 16 - Other operating expenses/income “, Notes to the consolidated accounts, Part C - Consolidated income statement. 2. Financial leases 2.1 Classification for time bucket of Payments to be received and Reconciliation with Lease Loans booked in the Assets (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 1,428 3,976 1 year to 2 years 962 3,487 2 year to 3 years 754 2,782 3 year to 4 years 537 2,192 4 year to 5 years 384 1,630 Over 5 years 951 5,881 Total Payments to be received for lease 5,016 19,948 RECONCILIATION WITH LOANS Unpaid Financial Profits (-) 325 2,051 Not guaranteed Residual Amount (-) - - Lease Loans 4,691 17,897 The value shown in the table represents the gross exposure; the reduction compared to the previous period is due to the reclassification of some leasing companies of the Group, including UniCredit Leasing S.p.A. among the groups of assets being disposed of. This value is decreased by impairment, equal to €239 million on a cumulated basis, leading to the amount of €4,452 million shown in the paragraph “Section 4 - Financial assets at amortised cost - Item 40”, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Assets. Consolidated financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 461 Section 2 - Lessor Qualitative information Financial leasing activities are exposed through the recognition of a credit for financial leases recognised in item “40. Financial assets at amortised cost”, of the related income on an accrual basis in item "10. Interest income and similar revenues" and of the impairment for the expected credit loss in item “130. Net losses/recoveries on credit impairment”. Operating leasing activities, on the other hand, are essentially attributable to the leasing of owned properties to parties external to the Group. These contracts are represented through the recognition, on an accrual basis, of the rentals received in item “230. Other operating expenses/income”. Quantitative information 1. Balance sheet and Income statement information With reference to financial lease contracts, the book value of credit for financial leases is shown in the paragraph “Section 4 - Financial assets at amortised cost - Item 40”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Such loans determined, during the year, interest income shown in the paragraph “Section 1 - Interests - Items 10 and 20”, Notes to the consolidated accounts, Part C - Consolidated income statement. With reference to operating lease contracts, it should be noted that the book value of the owned assets granted under operating lease is composed as follows: • land: €226.6 million; • buildings: €356.9 million; • other: €484.8 million. Rentals recognised on an accrual basis during the year for leasing of these activities are shown in the paragraph “Section 16 - Other operating expenses/income “, Notes to the consolidated accounts, Part C - Consolidated income statement. 2. Financial leases 2.1 Classification for time bucket of Payments to be received and Reconciliation with Lease Loans booked in the Assets (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 1,428 3,976 1 year to 2 years 962 3,487 2 year to 3 years 754 2,782 3 year to 4 years 537 2,192 4 year to 5 years 384 1,630 Over 5 years 951 5,881 Total Payments to be received for lease 5,016 19,948 RECONCILIATION WITH LOANS Unpaid Financial Profits (-) 325 2,051 Not guaranteed Residual Amount (-) - - Lease Loans 4,691 17,897 The value shown in the table represents the gross exposure; the reduction compared to the previous period is due to the reclassification of some leasing companies of the Group, including UniCredit Leasing S.p.A. among the groups of assets being disposed of. This value is decreased by impairment, equal to €239 million on a cumulated basis, leading to the amount of €4,452 million shown in the paragraph “Section 4 - Financial assets at amortised cost - Item 40”, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Assets. Consolidated financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 461 Section 2 - Lessor Qualitative information Financial leasing activities are exposed through the recognition of a credit for financial leases recognised in item “40. Financial assets at amortised cost”, of the related income on an accrual basis in item "10. Interest income and similar revenues" and of the impairment for the expected credit loss in item “130. Net losses/recoveries on credit impairment”. Operating leasing activities, on the other hand, are essentially attributable to the leasing of owned properties to parties external to the Group. These contracts are represented through the recognition, on an accrual basis, of the rentals received in item “230. Other operating expenses/income”. Quantitative information 1. Balance sheet and Income statement information With reference to financial lease contracts, the book value of credit for financial leases is shown in the paragraph “Section 4 - Financial assets at amortised cost - Item 40”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Such loans determined, during the year, interest income shown in the paragraph “Section 1 - Interests - Items 10 and 20”, Notes to the consolidated accounts, Part C - Consolidated income statement. With reference to operating lease contracts, it should be noted that the book value of the owned assets granted under operating lease is composed as follows: • land: €226.6 million; • buildings: €356.9 million; • other: €484.8 million. Rentals recognised on an accrual basis during the year for leasing of these activities are shown in the paragraph “Section 16 - Other operating expenses/income “, Notes to the consolidated accounts, Part C - Consolidated income statement. 2. Financial leases 2.1 Classification for time bucket of Payments to be received and Reconciliation with Lease Loans booked in the Assets (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 1,428 3,976 1 year to 2 years 962 3,487 2 year to 3 years 754 2,782 3 year to 4 years 537 2,192 4 year to 5 years 384 1,630 Over 5 years 951 5,881 Total Payments to be received for lease 5,016 19,948 RECONCILIATION WITH LOANS Unpaid Financial Profits (-) 325 2,051 Not guaranteed Residual Amount (-) - - Lease Loans 4,691 17,897 The value shown in the table represents the gross exposure; the reduction compared to the previous period is due to the reclassification of some leasing companies of the Group, including UniCredit Leasing S.p.A. among the groups of assets being disposed of. This value is decreased by impairment, equal to €239 million on a cumulated basis, leading to the amount of €4,452 million shown in the paragraph “Section 4 - Financial assets at amortised cost - Item 40”, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Assets. Consolidated financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 461 Section 2 - Lessor Qualitative information Financial leasing activities are exposed through the recognition of a credit for financial leases recognised in item “40. Financial assets at amortised cost”, of the related income on an accrual basis in item "10. Interest income and similar revenues" and of the impairment for the expected credit loss in item “130. Net losses/recoveries on credit impairment”. Operating leasing activities, on the other hand, are essentially attributable to the leasing of owned properties to parties external to the Group. These contracts are represented through the recognition, on an accrual basis, of the rentals received in item “230. Other operating expenses/income”. Quantitative information 1. Balance sheet and Income statement information With reference to financial lease contracts, the book value of credit for financial leases is shown in the paragraph “Section 4 - Financial assets at amortised cost - Item 40”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Such loans determined, during the year, interest income shown in the paragraph “Section 1 - Interests - Items 10 and 20”, Notes to the consolidated accounts, Part C - Consolidated income statement. With reference to operating lease contracts, it should be noted that the book value of the owned assets granted under operating lease is composed as follows: • land: €226.6 million; • buildings: €356.9 million; • other: €484.8 million. Rentals recognised on an accrual basis during the year for leasing of these activities are shown in the paragraph “Section 16 - Other operating expenses/income “, Notes to the consolidated accounts, Part C - Consolidated income statement. 2. Financial leases 2.1 Classification for time bucket of Payments to be received and Reconciliation with Lease Loans booked in the Assets (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 1,428 3,976 1 year to 2 years 962 3,487 2 year to 3 years 754 2,782 3 year to 4 years 537 2,192 4 year to 5 years 384 1,630 Over 5 years 951 5,881 Total Payments to be received for lease 5,016 19,948 RECONCILIATION WITH LOANS Unpaid Financial Profits (-) 325 2,051 Not guaranteed Residual Amount (-) - - Lease Loans 4,691 17,897 The value shown in the table represents the gross exposure; the reduction compared to the previous period is due to the reclassification of some leasing companies of the Group, including UniCredit Leasing S.p.A. among the groups of assets being disposed of. This value is decreased by impairment, equal to €239 million on a cumulated basis, leading to the amount of €4,452 million shown in the paragraph “Section 4 - Financial assets at amortised cost - Item 40”, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Assets. Consolidated financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 461 Section 2 - Lessor Qualitative information Financial leasing activities are exposed through the recognition of a credit for financial leases recognised in item “40. Financial assets at amortised cost”, of the related income on an accrual basis in item "10. Interest income and similar revenues" and of the impairment for the expected credit loss in item “130. Net losses/recoveries on credit impairment”. Operating leasing activities, on the other hand, are essentially attributable to the leasing of owned properties to parties external to the Group. These contracts are represented through the recognition, on an accrual basis, of the rentals received in item “230. Other operating expenses/income”. Quantitative information 1. Balance sheet and Income statement information With reference to financial lease contracts, the book value of credit for financial leases is shown in the paragraph “Section 4 - Financial assets at amortised cost - Item 40”, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets. Such loans determined, during the year, interest income shown in the paragraph “Section 1 - Interests - Items 10 and 20”, Notes to the consolidated accounts, Part C - Consolidated income statement. With reference to operating lease contracts, it should be noted that the book value of the owned assets granted under operating lease is composed as follows: • land: €226.6 million; • buildings: €356.9 million; • other: €484.8 million. Rentals recognised on an accrual basis during the year for leasing of these activities are shown in the paragraph “Section 16 - Other operating expenses/income “, Notes to the consolidated accounts, Part C - Consolidated income statement. 2. Financial leases 2.1 Classification for time bucket of Payments to be received and Reconciliation with Lease Loans booked in the Assets (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 1,428 3,976 1 year to 2 years 962 3,487 2 year to 3 years 754 2,782 3 year to 4 years 537 2,192 4 year to 5 years 384 1,630 Over 5 years 951 5,881 Total Payments to be received for lease 5,016 19,948 RECONCILIATION WITH LOANS Unpaid Financial Profits (-) 325 2,051 Not guaranteed Residual Amount (-) - - Lease Loans 4,691 17,897 The value shown in the table represents the gross exposure; the reduction compared to the previous period is due to the reclassification of some leasing companies of the Group, including UniCredit Leasing S.p.A. among the groups of assets being disposed of. This value is decreased by impairment, equal to €239 million on a cumulated basis, leading to the amount of €4,452 million shown in the paragraph “Section 4 - Financial assets at amortised cost - Item 40”, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Assets. Consolidated financial statements | Notes to the accounts Part M - Information on leases 462 2021 Annual Report and Accounts · UniCredit 2.2 Other information With regard to financial leases, the credit risk associated with the contract is managed according to what is stated in the paragraph “2.1 Credit risk”, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated, (refer to this section). The classification of the contract as a financial lease is determined by the fact that the risks and rewards of ownership of the asset are transferred to the lessee for the whole lease term and the contract contains an option to purchase the asset at conditions that determines non-economic the non-exercise of the option, or the contract has a duration substantially aligned with the useful life of the asset leased. Such condition is also satisfied in case of contracts that do not contain an option to purchase the asset or have a lease term significantly lower than useful life of the asset leased, but are complemented by agreements with third parties that guarantee the purchase of the asset at the end of the lease contract. 3. Operating leases 3.1 Classification for time bucket of Payments to be received (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 116 120 1 year to 2 years 76 89 2 year to 3 years 55 62 3 year to 4 years 36 43 4 year to 5 years 19 27 Over 5 years 35 108 Total 337 449 3.2 Other information There is no further significant information to report compared to the above. Consolidated financial statements | Notes to the accounts Part M - Information on leases 462 2021 Annual Report and Accounts · UniCredit 2.2 Other information With regard to financial leases, the credit risk associated with the contract is managed according to what is stated in the paragraph “2.1 Credit risk”, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated, (refer to this section). The classification of the contract as a financial lease is determined by the fact that the risks and rewards of ownership of the asset are transferred to the lessee for the whole lease term and the contract contains an option to purchase the asset at conditions that determines non-economic the non-exercise of the option, or the contract has a duration substantially aligned with the useful life of the asset leased. Such condition is also satisfied in case of contracts that do not contain an option to purchase the asset or have a lease term significantly lower than useful life of the asset leased, but are complemented by agreements with third parties that guarantee the purchase of the asset at the end of the lease contract. 3. Operating leases 3.1 Classification for time bucket of Payments to be received (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 116 120 1 year to 2 years 76 89 2 year to 3 years 55 62 3 year to 4 years 36 43 4 year to 5 years 19 27 Over 5 years 35 108 Total 337 449 3.2 Other information There is no further significant information to report compared to the above. Consolidated financial statements | Notes to the accounts Part M - Information on leases 462 2021 Annual Report and Accounts · UniCredit 2.2 Other information With regard to financial leases, the credit risk associated with the contract is managed according to what is stated in the paragraph “2.1 Credit risk”, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated, (refer to this section). The classification of the contract as a financial lease is determined by the fact that the risks and rewards of ownership of the asset are transferred to the lessee for the whole lease term and the contract contains an option to purchase the asset at conditions that determines non-economic the non-exercise of the option, or the contract has a duration substantially aligned with the useful life of the asset leased. Such condition is also satisfied in case of contracts that do not contain an option to purchase the asset or have a lease term significantly lower than useful life of the asset leased, but are complemented by agreements with third parties that guarantee the purchase of the asset at the end of the lease contract. 3. Operating leases 3.1 Classification for time bucket of Payments to be received (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 116 120 1 year to 2 years 76 89 2 year to 3 years 55 62 3 year to 4 years 36 43 4 year to 5 years 19 27 Over 5 years 35 108 Total 337 449 3.2 Other information There is no further significant information to report compared to the above. Consolidated financial statements | Notes to the accounts Part M - Information on leases 462 2021 Annual Report and Accounts · UniCredit 2.2 Other information With regard to financial leases, the credit risk associated with the contract is managed according to what is stated in the paragraph “2.1 Credit risk”, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated, (refer to this section). The classification of the contract as a financial lease is determined by the fact that the risks and rewards of ownership of the asset are transferred to the lessee for the whole lease term and the contract contains an option to purchase the asset at conditions that determines non-economic the non-exercise of the option, or the contract has a duration substantially aligned with the useful life of the asset leased. Such condition is also satisfied in case of contracts that do not contain an option to purchase the asset or have a lease term significantly lower than useful life of the asset leased, but are complemented by agreements with third parties that guarantee the purchase of the asset at the end of the lease contract. 3. Operating leases 3.1 Classification for time bucket of Payments to be received (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 116 120 1 year to 2 years 76 89 2 year to 3 years 55 62 3 year to 4 years 36 43 4 year to 5 years 19 27 Over 5 years 35 108 Total 337 449 3.2 Other information There is no further significant information to report compared to the above. Consolidated financial statements | Notes to the accounts Part M - Information on leases 462 2021 Annual Report and Accounts · UniCredit 2.2 Other information With regard to financial leases, the credit risk associated with the contract is managed according to what is stated in the paragraph “2.1 Credit risk”, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated, (refer to this section). The classification of the contract as a financial lease is determined by the fact that the risks and rewards of ownership of the asset are transferred to the lessee for the whole lease term and the contract contains an option to purchase the asset at conditions that determines non-economic the non-exercise of the option, or the contract has a duration substantially aligned with the useful life of the asset leased. Such condition is also satisfied in case of contracts that do not contain an option to purchase the asset or have a lease term significantly lower than useful life of the asset leased, but are complemented by agreements with third parties that guarantee the purchase of the asset at the end of the lease contract. 3. Operating leases 3.1 Classification for time bucket of Payments to be received (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 116 120 1 year to 2 years 76 89 2 year to 3 years 55 62 3 year to 4 years 36 43 4 year to 5 years 19 27 Over 5 years 35 108 Total 337 449 3.2 Other information There is no further significant information to report compared to the above. Consolidated financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 463 Consolidated financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 463 Consolidated financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 463 Consolidated financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 463 Consolidated financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 463  464 2021 Annual Report and Accounts · UniCredit 464 2021 Annual Report and Accounts · UniCredit 464 2021 Annual Report and Accounts · UniCredit 464 2021 Annual Report and Accounts · UniCredit 464 2021 Annual Report and Accounts · UniCredit Consolidated financial statements | Certification Consolidated Financial Statements Certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended UniCredit · 2021 Annual Report and Accounts 465 Certification 1. The undersigned Andrea Orcel (as Chief Executive Officer) and Stefano Porro (as the Manager charged with preparing the financial reports) of UniCredit S.p.A., also in compliance with Art.154-bis, (paragraphs 3 and 4) of Italian Legislative Decree No.58 of 24 February 1998, hereby certify: • the adequacy in relation to the Legal Entity’s features and • the actual application of the administrative and accounting procedures employed to draw up the 2021 Consolidated Financial Statements. 2. The adequacy of administrative and accounting procedures employed to draw up the 2021 Consolidated Financial Statements has been evaluated by applying a model developed by UniCredit S.p.A., in accordance with the “Internal Control - Integrated Framework (CoSO)” and the “Control Objective for IT and Related Technologies (Cobit)”, which represent generally accepted international standards for internal control system and for financial reporting in particular. 3. The undersigned also certify that: 3.1 the 2021 Consolidated Financial Statements: a) were prepared in compliance with applicable international accounting standards recognised by the European Community pursuant to European Parliament and Council Regulation No.1606/2002 of 19 July 2002; b) correspond to the results of the accounting books and records; c) are suitable to provide a fair and correct representation of the economic and financial situation of the issuer and of the group of companies included in the scope of consolidation; 3.2 the Report on Operations includes a reliable analysis of the operating trend and results, as well as of the situation of the issuer and of the Legal Entities included in the scope of consolidation, together with a description of the main risks and uncertainties they are exposed to. Milan, 15 February 2022 Andrea ORCEL Stefano PORRO Certification Consolidated financial statements | Certification Consolidated Financial Statements Certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended UniCredit · 2021 Annual Report and Accounts 465 Certification 1. The undersigned Andrea Orcel (as Chief Executive Officer) and Stefano Porro (as the Manager charged with preparing the financial reports) of UniCredit S.p.A., also in compliance with Art.154-bis, (paragraphs 3 and 4) of Italian Legislative Decree No.58 of 24 February 1998, hereby certify: • the adequacy in relation to the Legal Entity’s features and • the actual application of the administrative and accounting procedures employed to draw up the 2021 Consolidated Financial Statements. 2. The adequacy of administrative and accounting procedures employed to draw up the 2021 Consolidated Financial Statements has been evaluated by applying a model developed by UniCredit S.p.A., in accordance with the “Internal Control - Integrated Framework (CoSO)” and the “Control Objective for IT and Related Technologies (Cobit)”, which represent generally accepted international standards for internal control system and for financial reporting in particular. 3. The undersigned also certify that: 3.1 the 2021 Consolidated Financial Statements: a) were prepared in compliance with applicable international accounting standards recognised by the European Community pursuant to European Parliament and Council Regulation No.1606/2002 of 19 July 2002; b) correspond to the results of the accounting books and records; c) are suitable to provide a fair and correct representation of the economic and financial situation of the issuer and of the group of companies included in the scope of consolidation; 3.2 the Report on Operations includes a reliable analysis of the operating trend and results, as well as of the situation of the issuer and of the Legal Entities included in the scope of consolidation, together with a description of the main risks and uncertainties they are exposed to. Milan, 15 February 2022 Andrea ORCEL Stefano PORRO Certification Consolidated financial statements | Certification Consolidated Financial Statements Certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended UniCredit · 2021 Annual Report and Accounts 465 Certification 1. The undersigned Andrea Orcel (as Chief Executive Officer) and Stefano Porro (as the Manager charged with preparing the financial reports) of UniCredit S.p.A., also in compliance with Art.154-bis, (paragraphs 3 and 4) of Italian Legislative Decree No.58 of 24 February 1998, hereby certify: • the adequacy in relation to the Legal Entity’s features and • the actual application of the administrative and accounting procedures employed to draw up the 2021 Consolidated Financial Statements. 2. The adequacy of administrative and accounting procedures employed to draw up the 2021 Consolidated Financial Statements has been evaluated by applying a model developed by UniCredit S.p.A., in accordance with the “Internal Control - Integrated Framework (CoSO)” and the “Control Objective for IT and Related Technologies (Cobit)”, which represent generally accepted international standards for internal control system and for financial reporting in particular. 3. The undersigned also certify that: 3.1 the 2021 Consolidated Financial Statements: a) were prepared in compliance with applicable international accounting standards recognised by the European Community pursuant to European Parliament and Council Regulation No.1606/2002 of 19 July 2002; b) correspond to the results of the accounting books and records; c) are suitable to provide a fair and correct representation of the economic and financial situation of the issuer and of the group of companies included in the scope of consolidation; 3.2 the Report on Operations includes a reliable analysis of the operating trend and results, as well as of the situation of the issuer and of the Legal Entities included in the scope of consolidation, together with a description of the main risks and uncertainties they are exposed to. Milan, 15 February 2022 Andrea ORCEL Stefano PORRO Certification Consolidated financial statements | Certification Consolidated Financial Statements Certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended UniCredit · 2021 Annual Report and Accounts 465 Certification 1. The undersigned Andrea Orcel (as Chief Executive Officer) and Stefano Porro (as the Manager charged with preparing the financial reports) of UniCredit S.p.A., also in compliance with Art.154-bis, (paragraphs 3 and 4) of Italian Legislative Decree No.58 of 24 February 1998, hereby certify: • the adequacy in relation to the Legal Entity’s features and • the actual application of the administrative and accounting procedures employed to draw up the 2021 Consolidated Financial Statements. 2. The adequacy of administrative and accounting procedures employed to draw up the 2021 Consolidated Financial Statements has been evaluated by applying a model developed by UniCredit S.p.A., in accordance with the “Internal Control - Integrated Framework (CoSO)” and the “Control Objective for IT and Related Technologies (Cobit)”, which represent generally accepted international standards for internal control system and for financial reporting in particular. 3. The undersigned also certify that: 3.1 the 2021 Consolidated Financial Statements: a) were prepared in compliance with applicable international accounting standards recognised by the European Community pursuant to European Parliament and Council Regulation No.1606/2002 of 19 July 2002; b) correspond to the results of the accounting books and records; c) are suitable to provide a fair and correct representation of the economic and financial situation of the issuer and of the group of companies included in the scope of consolidation; 3.2 the Report on Operations includes a reliable analysis of the operating trend and results, as well as of the situation of the issuer and of the Legal Entities included in the scope of consolidation, together with a description of the main risks and uncertainties they are exposed to. Milan, 15 February 2022 Andrea ORCEL Stefano PORRO Certification Consolidated financial statements | Certification Consolidated Financial Statements Certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended UniCredit · 2021 Annual Report and Accounts 465 Certification 1. The undersigned Andrea Orcel (as Chief Executive Officer) and Stefano Porro (as the Manager charged with preparing the financial reports) of UniCredit S.p.A., also in compliance with Art.154-bis, (paragraphs 3 and 4) of Italian Legislative Decree No.58 of 24 February 1998, hereby certify: • the adequacy in relation to the Legal Entity’s features and • the actual application of the administrative and accounting procedures employed to draw up the 2021 Consolidated Financial Statements. 2. The adequacy of administrative and accounting procedures employed to draw up the 2021 Consolidated Financial Statements has been evaluated by applying a model developed by UniCredit S.p.A., in accordance with the “Internal Control - Integrated Framework (CoSO)” and the “Control Objective for IT and Related Technologies (Cobit)”, which represent generally accepted international standards for internal control system and for financial reporting in particular. 3. The undersigned also certify that: 3.1 the 2021 Consolidated Financial Statements: a) were prepared in compliance with applicable international accounting standards recognised by the European Community pursuant to European Parliament and Council Regulation No.1606/2002 of 19 July 2002; b) correspond to the results of the accounting books and records; c) are suitable to provide a fair and correct representation of the economic and financial situation of the issuer and of the group of companies included in the scope of consolidation; 3.2 the Report on Operations includes a reliable analysis of the operating trend and results, as well as of the situation of the issuer and of the Legal Entities included in the scope of consolidation, together with a description of the main risks and uncertainties they are exposed to. Milan, 15 February 2022 Andrea ORCEL Stefano PORRO Certification Consolidated financial statements | Certification Consolidated Financial Statements Certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended 466 2021 Annual Report and Accounts · UniCredit Consolidated financial statements | Certification Consolidated Financial Statements Certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended 466 2021 Annual Report and Accounts · UniCredit Consolidated financial statements | Certification Consolidated Financial Statements Certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended 466 2021 Annual Report and Accounts · UniCredit Consolidated financial statements | Certification Consolidated Financial Statements Certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended 466 2021 Annual Report and Accounts · UniCredit Consolidated financial statements | Certification Consolidated Financial Statements Certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended 466 2021 Annual Report and Accounts · UniCredit © Deloitte & Touche S.p.A. www.deloitte.com/about. clienti. Si invita a leggere l’informativa completa relativa alla descrizione della struttura legale di Deloitte Touche Tohmatsu Limited e delle sue member firm all’indirizzo le entità a esse correlate. DTTL e ciascuna delle sue member firm sono entità giuridicamente separate e indipendenti tra loro. DTTL (denominata anche “Deloitte Global”) non fornisce servizi ai Il nome Deloitte si riferisce a una o più delle seguenti entità: Deloitte Touche Tohmatsu Limited, una società inglese a responsabilità limitata (“DTTL”), le member firm aderenti al suo network e Codice Fiscale/Registro delle Imprese di Milano Monza Brianza Lodi n. 03049560166 - R.E.A. n. MI-1720239 | Partita IVA: IT 03049560166 Sede Legale: Via Tortona, 25 - 20144 Milano | Capitale Sociale: Euro 10.328.220,00 i.v. Ancona Bari Bergamo Bologna Brescia Cagliari Firenze Genova Milano Napoli Padova Parma Roma Torino Treviso Udine Verona thereon, and we do not provide a separate opinion on these matters. the context of our audit of the consolidated financial statements as a whole, and in forming our opinion audit of the consolidated financial statements of the current period. These matters were addressed in Key audit matters are those matters that, in our professional judgment, were of most significance in our financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate (the “Bank”) in accordance with the ethical requirements applicable under Italian law to the audit of the of the Consolidated Financial Statements section of our report. We are independent of UniCredit S.p.A. responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our Key Audit Matters to provide a basis for our opinion. Basis for Opinion Legislative Decree no. 136/15. regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and to art. 43 of Italian Financial Reporting Standards as adopted by the European Union and the requirements of national performance and its consolidated cash flows for the year then ended in accordance with International consolidated financial position of the Group as at December 31, 2021, and of its consolidated financial In our opinion, the accompanying consolidated financial statements give a true and fair view of the flows for the year then ended and the related notes to the accounts. statement of comprehensive income, the statement of changes in equity and the statement of cash “Group”), which comprise the balance sheet as at December 31, 2021, the income statement, the We have audited the consolidated financial statements of UniCredit S.p.A. and its subsidiaries (the REPORT ON THE AUDIT OF THE CONSOLIDATED FINANCIAL STATEMENTS Opinion UniCredit S.p.A. To the Shareholders of AND ARTICLE 10 OF THE EU REGULATION 537/2014 PURSUANT TO ARTICLE 14 OF LEGISLATIVE DECREE No. 39 OF JANUARY 27, 2010 INDEPENDENT AUDITOR’S REPORT Deloitte & Touche S.p.A. Via Tortona, 25 20144 Milano Italia Tel: +39 02 83322111 Fax: +39 02 83322112 www.deloitte.it www.deloitte.it Fax: +39 02 83322112 Tel: +39 02 83322111 Italia 20144 Milano Via Tortona, 25 Deloitte & Touche S.p.A. Deloitte & Touche S.p.A. Via Tortona, 25 20144 Milano Italia Tel: +39 02 83322111 Fax: +39 02 83322112 www.deloitte.it Deloitte & Touche S.p.A. Via Tortona, 25 20144 Milano Italia Tel: +39 02 83322111 Fax: +39 02 83322112 www.deloitte.it INDEPENDENTAUDITOR’SREPORT PURSUANTTOARTICLE14OFLEGISLATIVEDECREENo.39OFJANUARY27,2010 ANDARTICLE10OFTHEEUREGULATION537/2014 INDEPENDENT AUDITOR’S REPORT PURSUANT TO ARTICLE 14 OF LEGISLATIVE DECREE No. 39 OF JANUARY 27, 2010 AND ARTICLE 10 OF THE EU REGULATION 537/2014 INDEPENDENTAUDITOR’SREPORT PURSUANTTOARTICLE14OFLEGISLATIVEDECREENo.39OFJANUARY27,2010 ANDARTICLE10OFTHEEUREGULATION537/2014 TotheShareholdersof UniCreditS.p.A. To the Shareholders of UniCredit S.p.A. REPORTONTHEAUDITOFTHECONSOLIDATEDFINANCIALSTATEMENTS REPORT ON THE AUDIT OF THE CONSOLIDATED FINANCIAL STATEMENTS REPORTONTHEAUDITOFTHECONSOLIDATEDFINANCIALSTATEMENTS Opinion Opinion We have audited the consolidated financial statements of UniCredit S.p.A. and its subsidiaries (the “Group”), which comprise the balance sheet as at December 31, 2021, the income statement, the statement of comprehensive income, the statement of changes in equity and the statement of cash flows for the year then ended and the related notes to the accounts. We have audited the consolidated financial statements of UniCredit S.p.A. and its subsidiaries (the “Group”), which comprise the balance sheet as at December 31, 2021, the income statement, the statement of comprehensive income, the statement of changes in equity and the statement of cash flows for the year then ended and the related notes to the accounts. In our opinion, the accompanying consolidated financial statements give a true and fair view of the consolidated financial position of the Group as at December 31, 2021, and of its consolidated financial performance and its consolidated cash flows for the year then ended in accordance with International Financial Reporting Standards as adopted by the European Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15. In our opinion, the accompanying consolidated financial statements give a true and fair view of the consolidated financial position of the Group as at December 31, 2021, and of its consolidated financial performance and its consolidated cash flows for the year then ended in accordance with International Financial Reporting Standards as adopted by the European Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15. BasisforOpinion Basis for Opinion We have audited the consolidated financial statements of UniCredit S.p.A. and its subsidiaries (the “Group”), which comprise the balance sheet as at December 31, 2021, the income statement, the statement of comprehensive income, the statement of changes in equity and the statement of cash flows for the year then ended and the related notes to the accounts. In our opinion, the accompanying consolidated financial statements give a true and fair view of the consolidated financial position of the Group as at December 31, 2021, and of its consolidated financial performance and its consolidated cash flows for the year then ended in accordance with International Financial Reporting Standards as adopted by the European Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and to art. 43 of Italian We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Consolidated Financial Statementssection of our report. We are independent of UniCredit S.p.A. (the “Bank”) in accordance with the ethical requirements applicable under Italian law to the audit of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Consolidated Financial Statements section of our report. We are independent of UniCredit S.p.A. (the “Bank”) in accordance with the ethical requirements applicable under Italian law to the audit of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Consolidated Financial Statementssection of our report. We are independent of UniCredit S.p.A. (the “Bank”) in accordance with the ethical requirements applicable under Italian law to the audit of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate Key audit matters arethose matters that, in our professional judgment, were of most significance in our audit of the consolidated financial statements of the current period. These matters were addressed in the context of our audit of the consolidated financial statements as awhole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters. Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the consolidated financial statements of the current period. These matters were addressed in the context of our audit of the consolidated financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters. Key audit matters arethose matters that, in our professional judgment, were of most significance in our audit of the consolidated financial statements of the current period. These matters were addressed in the context of our audit of the consolidated financial statements as awhole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters. KeyAuditMatters Key Audit Matters Ancona Bari Bergamo Bologna Brescia Cagliari Firenze Genova Milano Napoli Padova Parma Roma Torino Treviso Udine Verona Ancona Bari Bergamo Bologna Brescia Cagliari Firenze Genova Milano Napoli Padova Parma Roma Torino Treviso Udine Verona Codice Fiscale/Registro delle Imprese di Milano Monza Brianza Lodi n. 03049560166 -R.E.A. n. MI-1720239 | Partita IVA: IT 03049560166 Sede Legale: Via Tortona, 25 -20144 Milano | Capitale Sociale: Euro 10.328.220,00 i.v. Sede Legale: Via Tortona, 25 - 20144 Milano | Capitale Sociale: Euro 10.328.220,00 i.v. Codice Fiscale/Registro delle Imprese di Milano Monza Brianza Lodi n. 03049560166 - R.E.A. n. MI-1720239 | Partita IVA: IT 03049560166 Il nome Deloitte si riferisce a una o più delle seguenti entità: Deloitte Touche Tohmatsu Limited, una società inglese a responsabilità limitata (“DTTL”), le member firm aderenti al suo network e le entità a esse correlate. DTTL e ciascuna delle sue member firm sono entità giuridicamente separate e indipendenti tra loro. DTTL (denominata anche “Deloitte Global”) non fornisce servizi ai clienti. Si invita a leggere l’informativa completa relativa alla descrizione della struttura legale di Deloitte Touche Tohmatsu Limited e delle sue member firm all’indirizzo www.deloitte.com/about. © Deloitte & Touche S.p.A. Il nome Deloitte si riferisce a una o più delle seguenti entità: Deloitte Touche Tohmatsu Limited, una società inglese a responsabilità limitata (“DTTL”), le member firm aderenti al suo network e le entità a esse correlate. DTTL e ciascuna delle sue member firm sono entità giuridicamente separate e indipendenti tra loro. DTTL (denominata anche “Deloitte Global”) non fornisce servizi ai clienti. Si invita a leggere l’informativa completa relativa alla descrizione della struttura legale di Deloitte Touche Tohmatsu Limited e delle sue member firm all’indirizzo www.deloitte.com/about. © Deloitte & Touche S.p.A. Ancona Bari Bergamo Bologna Brescia Cagliari Firenze Genova Milano Napoli Padova Parma Roma Torino Treviso Udine Verona Codice Fiscale/Registro delle Imprese di Milano Monza Brianza Lodi n. 03049560166 -R.E.A. n. MI-1720239 | Partita IVA: IT 03049560166 Sede Legale: Via Tortona, 25 -20144 Milano | Capitale Sociale: Euro 10.328.220,00 i.v. Il nome Deloitte si riferisce a una o più delle seguenti entità: Deloitte Touche Tohmatsu Limited, una società inglese a responsabilità limitata (“DTTL”), le member firm aderenti al suo network e le entità a esse correlate. DTTL e ciascuna delle sue member firm sono entità giuridicamente separate e indipendenti tra loro. DTTL (denominata anche “Deloitte Global”) non fornisce servizi ai clienti. Si invita a leggere l’informativa completa relativa alla descrizione della struttura legale di Deloitte Touche Tohmatsu Limited e delle sue member firm all’indirizzo www.deloitte.com/about. © Deloitte & Touche S.p.A. TotheShareholdersof UniCreditS.p.A. Opinion Legislative Decree no. 136/15. BasisforOpinion to provide a basis for our opinion. KeyAuditMatters © Deloitte & Touche S.p.A. www.deloitte.com/about. clienti. Si invita a leggere l’informativa completa relativa alla descrizione della struttura legale di Deloitte Touche Tohmatsu Limited e delle sue member firm all’indirizzo le entità a esse correlate. DTTL e ciascuna delle sue member firm sono entità giuridicamente separate e indipendenti tra loro. DTTL (denominata anche “Deloitte Global”) non fornisce servizi ai Il nome Deloitte si riferisce a una o più delle seguenti entità: Deloitte Touche Tohmatsu Limited, una società inglese a responsabilità limitata (“DTTL”), le member firm aderenti al suo network e Codice Fiscale/Registro delle Imprese di Milano Monza Brianza Lodi n. 03049560166 - R.E.A. n. MI-1720239 | Partita IVA: IT 03049560166 Sede Legale: Via Tortona, 25 - 20144 Milano | Capitale Sociale: Euro 10.328.220,00 i.v. Ancona Bari Bergamo Bologna Brescia Cagliari Firenze Genova Milano Napoli Padova Parma Roma Torino Treviso Udine Verona thereon, and we do not provide a separate opinion on these matters. the context of our audit of the consolidated financial statements as a whole, and in forming our opinion audit of the consolidated financial statements of the current period. These matters were addressed in Key audit matters are those matters that, in our professional judgment, were of most significance in our financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate (the “Bank”) in accordance with the ethical requirements applicable under Italian law to the audit of the of the Consolidated Financial Statements section of our report. We are independent of UniCredit S.p.A. responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our Key Audit Matters to provide a basis for our opinion. Basis for Opinion Legislative Decree no. 136/15. regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and to art. 43 of Italian Financial Reporting Standards as adopted by the European Union and the requirements of national performance and its consolidated cash flows for the year then ended in accordance with International consolidated financial position of the Group as at December 31, 2021, and of its consolidated financial In our opinion, the accompanying consolidated financial statements give a true and fair view of the flows for the year then ended and the related notes to the accounts. statement of comprehensive income, the statement of changes in equity and the statement of cash “Group”), which comprise the balance sheet as at December 31, 2021, the income statement, the We have audited the consolidated financial statements of UniCredit S.p.A. and its subsidiaries (the REPORT ON THE AUDIT OF THE CONSOLIDATED FINANCIAL STATEMENTS Opinion UniCredit S.p.A. To the Shareholders of AND ARTICLE 10 OF THE EU REGULATION 537/2014 PURSUANT TO ARTICLE 14 OF LEGISLATIVE DECREE No. 39 OF JANUARY 27, 2010 INDEPENDENT AUDITOR’S REPORT www.deloitte.it Fax: +39 02 83322112 Tel: +39 02 83322111 Italia 20144 Milano Via Tortona, 25 Deloitte & Touche S.p.A. sustainability test for Deferred Tax Assets; internal procedures and processes in relation to the preparation of the • analysis and understanding of the internal control system as well as the performed Audit procedures The audit procedures performed included, among others, the following: the Group as at December 31, 2021. perimeter as a key audit matter of the consolidated financial statements of Deferred Tax Assets on tax losses carry forward related to the Italian tax characterised by numerous variables, we have identified the recognition of adopted by management in conducting the sustainability test, which are and the complexity and subjectivity inherent in the estimation processes Tax Assets mentioned above on the consolidated net results of the Group Considering the significance of the effect of the recognition of the Deferred strategic plan. a downward revision of the profitability expected from the new conditions that are worse than the Baseline scenario and which reflects context of uncertainty, was developed considering macroeconomic a worst-case scenario ("Downturn") which, in light of the current “UniCredit Unlocked”; in September 2021 and used for the strategic plan 2022 – 2024 a base-case scenario ("Baseline"), which reflects the scenario outlined • • Tax Assets, two different scenarios were considered: More specifically, for the purposes of testing the sustainability of Deferred uncertain market context. scenarios, in order to take into account the current particularly volatile and future taxable income was conducted considering different macroeconomic IAS 12, the recoverability of deferred tax assets on the basis of expected criteria, explain that the sustainability test aimed at ascertaining, pursuant to accounts Part A – Accounting policies – Section 2 – General preparation The Directors of the Bank, as more broadly described in the Notes to the on tax losses carry forward related to the Italian tax perimeter. for a total amount equal to 1,514 million Euro, of which 1,164 million Euro 2021, recognised additional Deferred Tax Assets, previously not recognised, Unlocked" approved by the Board of Directors of the Bank on December 8, the basis of the projections of the new strategic plan 2022 – 2024 "UniCredit audit matter sheet – Assets – Section 11 – Tax assets and tax liabilities, the Group, also on Description of the key As indicated in the Notes to the accounts Part B – Consolidated balance Recognition of Deferred Tax Assets on tax losses carry forward related to the Italian tax perimeter 2 2 2 RecognitionofDeferredTaxAssetsontaxlossescarryforwardrelatedtotheItaliantaxperimeter Recognition of Deferred Tax Assets on tax losses carry forward related to the Italian tax perimeter RecognitionofDeferredTaxAssetsontaxlossescarryforwardrelatedtotheItaliantaxperimeter As indicated in the Notes to the accounts Part B–Consolidated balance Descriptionofthekey sheet –Assets –Section11 –Tax assets and tax liabilities, the Group, also on auditmatter Description of the key audit matter As indicated in the Notes to the accounts Part B – Consolidated balance sheet – Assets – Section 11 – Tax assets and tax liabilities, the Group, also on the basis of the projections of the new strategic plan 2022 – 2024 "UniCredit Unlocked" approved by the Board of Directors of the Bank on December 8, 2021, recognised additional Deferred Tax Assets, previously not recognised, for a total amount equal to 1,514 million Euro, of which 1,164 million Euro on tax losses carry forward related to the Italian tax perimeter. The Directors of the Bank, as more broadly described in the Notes to the accounts Part A – Accounting policies – Section 2 – General preparation criteria, explain that the sustainability test aimed at ascertaining, pursuant to IAS 12, the recoverability of deferred tax assets on the basis of expected future taxable income was conducted considering different macroeconomic scenarios, in order to take into account the current particularly volatile and uncertain market context. More specifically, for the purposes of testing the sustainability of Deferred Tax Assets, two different scenarios were considered: More specifically, for the purposes of testing the sustainability of Deferred Tax Assets, two different scenarios were considered: • • a base-case scenario ("Baseline"), which reflects the scenario outlined in September 2021 and used for the strategic plan 2022 – 2024 “UniCredit Unlocked”; a worst-case scenario ("Downturn") which, in light of the current context of uncertainty, was developed considering macroeconomic conditions that are worse than the Baseline scenario and which reflects a downward revision of the profitability expected from the new strategic plan. Considering the significance of the effect of the recognition of the Deferred Tax Assets mentioned above on the consolidated net results of the Group and the complexity and subjectivity inherent in the estimation processes adopted by management in conducting the sustainability test, which are characterised by numerous variables, we have identified the recognition of Deferred Tax Assets on tax losses carry forward related to the Italian tax perimeter as a key audit matter of the consolidated financial statements of the Group as at December 31, 2021. As indicated in the Notes to the accounts Part B–Consolidated balance Descriptionofthekey sheet –Assets –Section11 –Tax assets and tax liabilities, the Group, also on auditmatter the basis of the projections of the new strategic plan 2022 –2024 "UniCredit Unlocked" approved by theBoard of Directors of the Bank on December 8, 2021, recognisedadditional Deferred Tax Assets, previously not recognised, for a total amount equal to 1,514 million Euro, of which 1,164 million Euro on tax losses carry forward related to the Italian tax perimeter. TheDirectorsof the Bank, as more broadly described in the Notes to the accounts Part A –Accounting policies –Section 2 –General preparation criteria, explain that the sustainability test aimed at ascertaining, pursuant to IAS 12, the recoverability of deferred tax assets on the basis of expected future taxable income was conducted considering different macroeconomic scenarios, in order to take into account the current particularly volatile and uncertain market context. a base-case scenario ("Baseline"), which reflects the scenario outlined in September 2021 and used for the strategic plan 2022 –2024 “UniCredit Unlocked”; a worst-case scenario ("Downturn") which, in light of the current context of uncertainty, was developed considering macroeconomic conditions that are worse than the Baseline scenario and which reflects a downward revision of the profitability expected from the new strategic plan. • • Considering the significance of the effect of the recognition of the Deferred Tax Assets mentioned above on theconsolidated net results of the Group and the complexity and subjectivity inherent in the estimation processes adopted by management in conducting the sustainability test, which are characterised by numerous variables, we have identified the recognition of Deferred Tax Assets on tax losses carry forward related to the Italian tax perimeter as a key audit matter of the consolidated financial statements of the Group as at December 31, 2021. The audit procedures performed included, among others, the following: Auditprocedures performed Audit procedures performed The audit procedures performed included, among others, the following: The audit procedures performed included, among others, the following: Auditprocedures performed analysis and understanding of the internal control system as well as the • internalprocedures and processesin relation to the preparation of the sustainability test for Deferred Tax Assets; • analysis and understanding of the internal control system as well as the internal procedures and processes in relation to the preparation of the sustainability test for Deferred Tax Assets; analysis and understanding of the internal control system as well as the • internalprocedures and processesin relation to the preparation of the sustainability test for Deferred Tax Assets; 2 the basis of the projections of the new strategic plan 2022 –2024 "UniCredit Unlocked" approved by theBoard of Directors of the Bank on December 8, 2021, recognisedadditional Deferred Tax Assets, previously not recognised, for a total amount equal to 1,514 million Euro, of which 1,164 million Euro on tax losses carry forward related to the Italian tax perimeter. TheDirectorsof the Bank, as more broadly described in the Notes to the accounts Part A –Accounting policies –Section 2 –General preparation criteria, explain that the sustainability test aimed at ascertaining, pursuant to IAS 12, the recoverability of deferred tax assets on the basis of expected future taxable income was conducted considering different macroeconomic scenarios, in order to take into account the current particularly volatile and uncertain market context. More specifically, for the purposes of testing the sustainability of Deferred Tax Assets, two different scenarios were considered: a base-case scenario ("Baseline"), which reflects the scenario outlined in September 2021 and used for the strategic plan 2022 –2024 “UniCredit Unlocked”; a worst-case scenario ("Downturn") which, in light of the current context of uncertainty, was developed considering macroeconomic conditions that are worse than the Baseline scenario and which reflects a downward revision of the profitability expected from the new strategic plan. • • Considering the significance of the effect of the recognition of the Deferred Tax Assets mentioned above on theconsolidated net results of the Group and the complexity and subjectivity inherent in the estimation processes adopted by management in conducting the sustainability test, which are characterised by numerous variables, we have identified the recognition of Deferred Tax Assets on tax losses carry forward related to the Italian tax perimeter as a key audit matter of the consolidated financial statements of the Group as at December 31, 2021. sustainability test for Deferred Tax Assets; internal procedures and processes in relation to the preparation of the • analysis and understanding of the internal control system as well as the performed Audit procedures The audit procedures performed included, among others, the following: the Group as at December 31, 2021. perimeter as a key audit matter of the consolidated financial statements of Deferred Tax Assets on tax losses carry forward related to the Italian tax characterised by numerous variables, we have identified the recognition of adopted by management in conducting the sustainability test, which are and the complexity and subjectivity inherent in the estimation processes Tax Assets mentioned above on the consolidated net results of the Group Considering the significance of the effect of the recognition of the Deferred strategic plan. a downward revision of the profitability expected from the new conditions that are worse than the Baseline scenario and which reflects context of uncertainty, was developed considering macroeconomic a worst-case scenario ("Downturn") which, in light of the current “UniCredit Unlocked”; in September 2021 and used for the strategic plan 2022 – 2024 a base-case scenario ("Baseline"), which reflects the scenario outlined • • Tax Assets, two different scenarios were considered: More specifically, for the purposes of testing the sustainability of Deferred uncertain market context. scenarios, in order to take into account the current particularly volatile and future taxable income was conducted considering different macroeconomic IAS 12, the recoverability of deferred tax assets on the basis of expected criteria, explain that the sustainability test aimed at ascertaining, pursuant to accounts Part A – Accounting policies – Section 2 – General preparation The Directors of the Bank, as more broadly described in the Notes to the on tax losses carry forward related to the Italian tax perimeter. for a total amount equal to 1,514 million Euro, of which 1,164 million Euro 2021, recognised additional Deferred Tax Assets, previously not recognised, Unlocked" approved by the Board of Directors of the Bank on December 8, the basis of the projections of the new strategic plan 2022 – 2024 "UniCredit audit matter sheet – Assets – Section 11 – Tax assets and tax liabilities, the Group, also on Description of the key As indicated in the Notes to the accounts Part B – Consolidated balance Recognition of Deferred Tax Assets on tax losses carry forward related to the Italian tax perimeter 2 audit matter sheet – Assets – Section 12 – Non-current assets and disposal groups Description of the key As indicated in the Notes to the accounts Part B – Consolidated balance Slovenia Classification and valuation of the net assets related to leasing companies in Italy, Germany and Group as at December 31, 2021. Slovenia as a key audit matter of the consolidated financial statements of the classification and measurement of the leasing activities in Italy, Germany and held for sale, as well as in estimating their fair value, we identified the requirements for classifying them among the groups of assets and liabilities Slovenia and the complexity and subjectivity in assessing the meet of the Considering the relevance of the leasing activities in Italy, Germany and classification. net assets and their fair value, net of expected costs to sell, at the date of the Euro, corresponding to the difference between the carrying amount of these in a negative impact on the consolidated income statement of 554 million This classification, and the consequent valuation required by IFRS 5, resulted groups of assets and liabilities held for sale. companies of the Group in Italy, Germany and Slovenia were classified as held for sale, as at December 31, 2021, the net assets of the leasing classified as held for sale and Liabilities associated with assets classified as applicable accounting standards. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures financial statements. analysis of subsequent events occurring after the reference date of the change; Deferred Tax Assets that can be recognised when the parameters used examination of the sensitivity analyses carried out on the amount of parameters used; test and verification of the reasonableness of the estimate of the analysis and understanding of the model adopted for the sustainability 2024 strategic plan UniCredit Unlocked; verification of their consistency with the forecast data of the 2022 - underlying the estimate of expected future taxable income and analysis and understanding of the main assumptions and hypotheses the sustainability test; processes, as well as of the relevant controls on the process related to verification of the implementation of internal procedures and • • • • • • • • • • 3 3 verification of the implementation of internal procedures and processes, as well as of the relevant controls on the process related to the sustainability test; analysis and understanding of the main assumptions and hypotheses underlying the estimate of expected future taxable income and verification of their consistency with the forecast data of the 2022 - 2024 strategic plan UniCredit Unlocked; analysis and understanding of the model adopted for the sustainability test and verification of the reasonableness of the estimate of the parameters used; examination of the sensitivity analyses carried out on the amount of Deferred Tax Assets that can be recognised when the parameters used change; analysis of subsequent events occurring after the reference date of the financial statements. analysis of subsequent events occurring after the reference date of the financial statements. 3 verification of the implementation of internal procedures and processes, as well as of the relevant controls on the process related to the sustainability test; analysis and understanding of the main assumptions and hypotheses underlying the estimate of expected future taxable income and verification of their consistency with the forecast data of the 2022 - 2024 strategic plan UniCredit Unlocked; analysis and understandingof the model adopted for the sustainability test and verification of the reasonableness of the estimate of the parameters used; examination of the sensitivity analyses carried out on the amount of Deferred Tax Assets that can be recognised when the parameters used change; • • • • • ClassificationandvaluationofthenetassetsrelatedtoleasingcompaniesinItaly,Germanyand Slovenia Classification and valuation of the net assets related to leasing companies in Italy, Germany and Slovenia ClassificationandvaluationofthenetassetsrelatedtoleasingcompaniesinItaly,Germanyand Slovenia Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. As indicated in the Notes to the accounts Part B–Consolidated balance Descriptionofthekey sheet –Assets –Section 12 –Non-current assets and disposal groups auditmatter Description of the key audit matter As indicated in the Notes to the accounts Part B – Consolidated balance sheet – Assets – Section 12 – Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale, as at December 31, 2021, the net assets of the leasing companies of the Group in Italy, Germany and Slovenia were classified as groups of assets and liabilities held for sale. This classification, and the consequent valuation required by IFRS 5, resulted in a negative impact on the consolidated income statement of 554 million Euro, corresponding to the difference between the carrying amount of these net assets and their fair value, net of expected costs to sell, at the date of the classification. Considering the relevance of the leasing activities in Italy, Germany and Slovenia and the complexity and subjectivity in assessing the meet of the requirements for classifying them among the groups of assets and liabilities held for sale, as well as in estimating their fair value, we identified the classification and measurement of the leasing activities in Italy, Germany and Slovenia as a key audit matter of the consolidated financial statements of the Group as at December 31, 2021. As indicated in the Notes to the accounts Part B–Consolidated balance Descriptionofthekey sheet –Assets –Section 12 –Non-current assets and disposal groups auditmatter classified as held for sale and Liabilities associated with assets classified as held for sale, as at December 31, 2021, the net assets of the leasing companies of the Group in Italy, Germany and Slovenia were classified as groups of assets and liabilities held for sale. This classification, and the consequent valuation required by IFRS 5, resulted in a negative impact on the consolidated income statement of 554 million Euro, corresponding to the difference between the carrying amount of these net assets and their fair value, net of expected coststo sell, at the date of the classification. Considering the relevance of the leasing activities in Italy, Germany and Slovenia and the complexity and subjectivity in assessing the meet of the requirementsfor classifying them among the groups of assets and liabilities held for sale, as well as in estimating their fair value, we identified the classification and measurement of the leasing activities in Italy, Germanyand Slovenia as a key audit matter of the consolidated financial statements of the Group as at December 31, 2021. 3 verification of the implementation of internal procedures and processes, as well as of the relevant controls on the process related to the sustainability test; analysis and understanding of the main assumptions and hypotheses underlying the estimate of expected future taxable income and verification of their consistency with the forecast data of the 2022 - 2024 strategic plan UniCredit Unlocked; analysis and understandingof the model adopted for the sustainability test and verification of the reasonableness of the estimate of the parameters used; examination of the sensitivity analyses carried out on the amount of Deferred Tax Assets that can be recognised when the parameters used change; analysis of subsequent events occurring after the reference date of the financial statements. • • • • • Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. classified as held for sale and Liabilities associated with assets classified as held for sale, as at December 31, 2021, the net assets of the leasing companies of the Group in Italy, Germany and Slovenia were classified as groups of assets and liabilities held for sale. This classification, and the consequent valuation required by IFRS 5, resulted in a negative impact on the consolidated income statement of 554 million Euro, corresponding to the difference between the carrying amount of these net assets and their fair value, net of expected coststo sell, at the date of the classification. Considering the relevance of the leasing activities in Italy, Germany and Slovenia and the complexity and subjectivity in assessing the meet of the requirementsfor classifying them among the groups of assets and liabilities held for sale, as well as in estimating their fair value, we identified the classification and measurement of the leasing activities in Italy, Germanyand Slovenia as a key audit matter of the consolidated financial statements of the Group as at December 31, 2021. Group as at December 31, 2021. Slovenia as a key audit matter of the consolidated financial statements of the classification and measurement of the leasing activities in Italy, Germany and held for sale, as well as in estimating their fair value, we identified the requirements for classifying them among the groups of assets and liabilities Slovenia and the complexity and subjectivity in assessing the meet of the Considering the relevance of the leasing activities in Italy, Germany and classification. net assets and their fair value, net of expected costs to sell, at the date of the Euro, corresponding to the difference between the carrying amount of these in a negative impact on the consolidated income statement of 554 million This classification, and the consequent valuation required by IFRS 5, resulted groups of assets and liabilities held for sale. companies of the Group in Italy, Germany and Slovenia were classified as held for sale, as at December 31, 2021, the net assets of the leasing classified as held for sale and Liabilities associated with assets classified as audit matter sheet – Assets – Section 12 – Non-current assets and disposal groups Description of the key As indicated in the Notes to the accounts Part B – Consolidated balance Slovenia Classification and valuation of the net assets related to leasing companies in Italy, Germany and applicable accounting standards. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures financial statements. analysis of subsequent events occurring after the reference date of the change; Deferred Tax Assets that can be recognised when the parameters used examination of the sensitivity analyses carried out on the amount of parameters used; test and verification of the reasonableness of the estimate of the analysis and understanding of the model adopted for the sustainability 2024 strategic plan UniCredit Unlocked; verification of their consistency with the forecast data of the 2022 - underlying the estimate of expected future taxable income and analysis and understanding of the main assumptions and hypotheses the sustainability test; processes, as well as of the relevant controls on the process related to verification of the implementation of internal procedures and • • • • • 3 perimeter - 2.3 Measurement methods for expected losses, the Group on risks and hedging policies - Section 2 - Risks of the prudential consolidated As more broadly described in the Notes to the accounts Part E - Information million Euro. customers), loans to customers (stage 1 and stage 2) are equal to 428,271 Assets at amortised cost: Breakdown by product of loans and advances to audit matter Sheet – Section 4 – Financial assets at amortised cost (Table 4.2 Financial Description of the key As indicated in the Notes to the accounts Part B – Consolidated Balance Risk of uncorrected classification and valuation of performing customer loans applicable accounting standards. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures financial statements. analysis of subsequent events occurring after the reference date of the reference accounting standards; leasing companies in Italy, Germany and Slovenia with respect to the by the Group in determining the fair value of the net assets of the verification of the reasonableness of the principles and methods used assets held for sale; assets and groups of assets held for sale and liabilities associated with assets and liabilities relating to the leasing companies as non-current international accounting standard IFRS 5 for the qualification of the in order to verify the existence of the requirements provided for by the management, the relevant documentation related to the proposed sale obtaining and analysing, also through discussions with the sale of the leasing companies; analysis of the actions taken by the Group in relation to the proposed groups classified as held for sale and the associated liabilities; classification and measurement of non-current assets and disposal processes, as well as relevant controls over the process related to the verification of the implementation of internal procedures and held for sale and the associated liabilities; measurement of non-current assets and disposal groups classified as internal procedures and processes in relation to the classification and analysis and understanding of the internal control system as well as the • • • • • • performed Audit procedures The audit procedures performed included, among others, the following: 4 4 4 The audit procedures performed included, among others, the following: Auditprocedures performed Audit procedures performed The audit procedures performed included, among others, the following: The audit procedures performed included, among others, the following: Auditprocedures performed • • • • • • analysis and understanding of the internal control system as well as the internal procedures and processes in relation to the classification and measurement of non-current assets and disposal groups classified as held for sale and the associated liabilities; verification of the implementation of internal procedures and processes, as well as relevant controls over the process related to the classification and measurement of non-current assets and disposal groups classified as held for sale and the associated liabilities; analysis and understanding of the internal control system as well as the internal procedures and processes in relation to the classification and measurement of non-current assets and disposal groups classified as held for sale and the associated liabilities; verification of the implementation of internal procedures and processes, as well as relevant controls over the process related to the classification and measurement of non-current assets and disposal groups classified as held for sale and the associated liabilities; analysis of the actions taken by the Group in relation to the proposed sale of the leasing companies; analysis of the actions taken by the Group in relation to the proposed sale of the leasing companies; obtaining and analysing, also through discussions with the management, the relevant documentation related to the proposed sale in order to verify the existence of the requirements provided for by the international accounting standard IFRS 5 for the qualification of the assets and liabilities relating to the leasing companies as non-current assets and groups of assets held for sale and liabilities associated with assets held for sale; verification of the reasonableness of the principles and methods used by the Group in determining the fair value of the net assets of the leasing companies in Italy, Germany and Slovenia with respect to the reference accounting standards; obtaining and analysing, also through discussions with the management, the relevant documentation related to the proposed sale in order to verify the existence of the requirements provided for by the international accounting standard IFRS 5 for the qualification of the assets and liabilities relating to the leasing companies as non-current assets and groups of assets held for sale and liabilities associated with assets held for sale; verification of the reasonableness of the principles and methods used by the Groupin determining the fair value of the net assets of the leasing companies in Italy, Germany and Sloveniawith respect to the reference accounting standards; analysis of subsequent events occurring after the reference date of the financial statements. analysis of subsequent events occurring after the reference date of the financial statements. • • • • • • Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. Riskofuncorrectedclassificationandvaluationofperformingcustomerloans Risk of uncorrected classification and valuation of performing customer loans Riskofuncorrectedclassificationandvaluationofperformingcustomerloans As indicated in the Notes to the accounts Part B –Consolidated Balance Descriptionofthekey Sheet –Section 4 –Financial assets at amortised cost (Table 4.2 Financial auditmatter Description of the key audit matter As indicated in the Notes to the accounts Part B – Consolidated Balance Sheet – Section 4 – Financial assets at amortised cost (Table 4.2 Financial Assets at amortised cost: Breakdown by product of loans and advances to customers), loans to customers (stage 1 and stage 2) are equal to 428,271 million Euro. As indicated in the Notes to the accounts Part B –Consolidated Balance Descriptionofthekey Sheet –Section 4 –Financial assets at amortised cost (Table 4.2 Financial auditmatter Assets at amortised cost: Breakdown by product of loans and advances to customers), loans to customers (stage 1 and stage 2) are equal to 428,271 million Euro. As more broadly described in the Notes to the accounts Part E - Information on risks and hedging policies - Section 2 - Risks of the prudential consolidated perimeter - 2.3 Measurement methods for expected losses, the Group As more broadly described in the Notes to the accounts Part E -Information on risks and hedging policies-Section 2 -Risks of the prudential consolidated perimeter -2.3 Measurement methods for expected losses, the Group 4 analysis and understanding of the internal control system as well as the internal procedures and processes in relation to the classification and measurement of non-current assets and disposal groups classified as held for sale and the associated liabilities; verification of the implementation of internal procedures and processes, as well as relevant controls over the process related to the classification and measurement of non-current assets and disposal groups classified as held for sale and the associated liabilities; analysis of the actions taken by the Group in relation to the proposed sale of the leasing companies; obtaining and analysing, also through discussions with the management, the relevant documentation related to the proposed sale in order to verify the existence of the requirements provided for by the international accounting standard IFRS 5 for the qualification of the assets and liabilities relating to the leasing companies as non-current assets and groups of assets held for sale and liabilities associated with assets held for sale; verification of the reasonableness of the principles and methods used by the Groupin determining the fair value of the net assets of the leasing companies in Italy, Germany and Sloveniawith respect to the reference accounting standards; analysis of subsequent events occurring after the reference date of the financial statements. • • • • • • Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. Assets at amortised cost: Breakdown by product of loans and advances to customers), loans to customers (stage 1 and stage 2) are equal to 428,271 million Euro. As more broadly described in the Notes to the accounts Part E -Information on risks and hedging policies-Section 2 -Risks of the prudential consolidated perimeter -2.3 Measurement methods for expected losses, the Group perimeter - 2.3 Measurement methods for expected losses, the Group on risks and hedging policies - Section 2 - Risks of the prudential consolidated As more broadly described in the Notes to the accounts Part E - Information million Euro. customers), loans to customers (stage 1 and stage 2) are equal to 428,271 Assets at amortised cost: Breakdown by product of loans and advances to audit matter Sheet – Section 4 – Financial assets at amortised cost (Table 4.2 Financial Description of the key As indicated in the Notes to the accounts Part B – Consolidated Balance Risk of uncorrected classification and valuation of performing customer loans applicable accounting standards. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures financial statements. analysis of subsequent events occurring after the reference date of the reference accounting standards; leasing companies in Italy, Germany and Slovenia with respect to the by the Group in determining the fair value of the net assets of the verification of the reasonableness of the principles and methods used assets held for sale; assets and groups of assets held for sale and liabilities associated with assets and liabilities relating to the leasing companies as non-current international accounting standard IFRS 5 for the qualification of the in order to verify the existence of the requirements provided for by the management, the relevant documentation related to the proposed sale obtaining and analysing, also through discussions with the sale of the leasing companies; analysis of the actions taken by the Group in relation to the proposed groups classified as held for sale and the associated liabilities; classification and measurement of non-current assets and disposal processes, as well as relevant controls over the process related to the verification of the implementation of internal procedures and held for sale and the associated liabilities; measurement of non-current assets and disposal groups classified as internal procedures and processes in relation to the classification and analysis and understanding of the internal control system as well as the • • • • • • performed Audit procedures The audit procedures performed included, among others, the following: 4 5 applied managerial overlays to estimate the expected credit losses to include future potential risks related to: i) persisting uncertainties deriving from Covid-19 prolonged effects; ii) shrinkingsupply chains and rising energy prices; iii) expiration of the Covid government measures introduced by the different governments to support the economies. Furthermore, in addition to the specific initiatives put in place starting from financial year 2020 to assure a proper evaluation of the significant increase in credit risk deriving from the Covid-19 pandemic, starting from December 31, 2021, based also on European Central Bank expectations, specific methodological interventions have been introduced in the IFRS9 staging allocation process determining an overall increase of credit exposures classified in Stage 2 and consequently the recognition of higher write-downs in the consolidated financial statements. The context was also characterized by the moratorium extension in Italy and Hungary whose impacts on the Group's economic and financial situation are reported in the Notes to the accounts in the following sections: Part B -Balance sheet -Assets –Section 4 -Financial assets at amortised cost (4.4a Financial assets at amortisedcost subject to Covid-19 measures: gross value and total accumulated impairments); Part C –Income statements –Section 8 Net losses/recoveries on credit impairment (8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown); Part E –Information on risks and hedging policies –Section A –Credit quality (A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value and A.1.7a Other loans and advances subject to Covid-19 measures: gross and net value); • • • as required in the integration dated December 21, 2021 to the instructions “Circular No.262 requirements -Banks financial statements: schemes and compilation rules” by the Bank of Italy which requiredalso for financial year 2021 a specific information on the effects that the Covid-19 and the measures to support the economy have produced on strategies, objectives and risk management policies, as well as on the financial and equity situation of intermediaries. Considering the significance of the amount of the performing loans recorded in the financial statements, the increased complexity in the estimation processes adopted by the Group also to take into accounts persisting prolonged effectsCovid-19 pandemic, we have identified the classification of performing loans,with particular reference to performing credit exposures with higher levels of management risk ("watchlist" exposures) and to exposures subject to moratorium-as well as the related process for determining collective loan loss provisions, as a key audit matter of the consolidated financial statements of the Group as at December 31, 2021. consolidated financial statements of the Group as at December 31, 2021. determining collective loan loss provisions, as a key audit matter of the exposures subject to moratorium- as well as the related process for with higher levels of management risk ("watchlist" exposures) and to performing loans, with particular reference to performing credit exposures prolonged effects Covid-19 pandemic, we have identified the classification of processes adopted by the Group also to take into accounts persisting in the financial statements, the increased complexity in the estimation Considering the significance of the amount of the performing loans recorded of intermediaries. and risk management policies, as well as on the financial and equity situation measures to support the economy have produced on strategies, objectives 2021 a specific information on the effects that the Covid-19 and the compilation rules” by the Bank of Italy which required also for financial year “Circular No.262 requirements - Banks financial statements: schemes and as required in the integration dated December 21, 2021 to the instructions Covid-19 measures: gross and net value); gross and net value and A.1.7a Other loans and advances subject to quality (A.1.5a Other loans and advances subject to Covid-19 measures: Part E – Information on risks and hedging policies – Section A – Credit breakdown); financial assets at amortised cost subject to Covid-19 measures: impairment (8.1a Net impairment losses for credit risk relating to Part C – Income statements – Section 8 Net losses/recoveries on credit measures: gross value and total accumulated impairments); cost (4.4a Financial assets at amortised cost subject to Covid-19 Part B - Balance sheet - Assets – Section 4 - Financial assets at amortised • • • reported in the Notes to the accounts in the following sections: Hungary whose impacts on the Group's economic and financial situation are The context was also characterized by the moratorium extension in Italy and financial statements. consequently the recognition of higher write-downs in the consolidated determining an overall increase of credit exposures classified in Stage 2 and interventions have been introduced in the IFRS9 staging allocation process on European Central Bank expectations, specific methodological from the Covid-19 pandemic, starting from December 31, 2021, based also assure a proper evaluation of the significant increase in credit risk deriving to the specific initiatives put in place starting from financial year 2020 to different governments to support the economies. Furthermore, in addition prices; iii) expiration of the Covid government measures introduced by the Covid-19 prolonged effects; ii) shrinking supply chains and rising energy future potential risks related to: i) persisting uncertainties deriving from applied managerial overlays to estimate the expected credit losses to include applied managerial overlays to estimate the expected credit losses to include future potential risks related to: i) persisting uncertainties deriving from Covid-19 prolonged effects; ii) shrinking supply chains and rising energy prices; iii) expiration of the Covid government measures introduced by the different governments to support the economies. Furthermore, in addition to the specific initiatives put in place starting from financial year 2020 to assure a proper evaluation of the significant increase in credit risk deriving from the Covid-19 pandemic, starting from December 31, 2021, based also on European Central Bank expectations, specific methodological interventions have been introduced in the IFRS9 staging allocation process determining an overall increase of credit exposures classified in Stage 2 and consequently the recognition of higher write-downs in the consolidated financial statements. The context was also characterized by the moratorium extension in Italy and Hungary whose impacts on the Group's economic and financial situation are reported in the Notes to the accounts in the following sections: • • • Part B - Balance sheet - Assets – Section 4 - Financial assets at amortised cost (4.4a Financial assets at amortised cost subject to Covid-19 measures: gross value and total accumulated impairments); Part C – Income statements – Section 8 Net losses/recoveries on credit impairment (8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown); Part E – Information on risks and hedging policies – Section A – Credit quality (A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value and A.1.7a Other loans and advances subject to Covid-19 measures: gross and net value); as required in the integration dated December 21, 2021 to the instructions “Circular No.262 requirements - Banks financial statements: schemes and compilation rules” by the Bank of Italy which required also for financial year 2021 a specific information on the effects that the Covid-19 and the measures to support the economy have produced on strategies, objectives and risk management policies, as well as on the financial and equity situation of intermediaries. Considering the significance of the amount of the performing loans recorded in the financial statements, the increased complexity in the estimation processes adopted by the Group also to take into accounts persisting prolonged effects Covid-19 pandemic, we have identified the classification of performing loans, with particular reference to performing credit exposures with higher levels of management risk ("watchlist" exposures) and to exposures subject to moratorium- as well as the related process for determining collective loan loss provisions, as a key audit matter of the consolidated financial statements of the Group as at December 31, 2021. consolidated financial statements of the Group as at December 31, 2021. determining collective loan loss provisions, as a key audit matter of the exposures subject to moratorium- as well as the related process for with higher levels of management risk ("watchlist" exposures) and to performing loans, with particular reference to performing credit exposures prolonged effects Covid-19 pandemic, we have identified the classification of processes adopted by the Group also to take into accounts persisting in the financial statements, the increased complexity in the estimation Considering the significance of the amount of the performing loans recorded of intermediaries. and risk management policies, as well as on the financial and equity situation measures to support the economy have produced on strategies, objectives 2021 a specific information on the effects that the Covid-19 and the compilation rules” by the Bank of Italy which required also for financial year “Circular No.262 requirements - Banks financial statements: schemes and as required in the integration dated December 21, 2021 to the instructions Covid-19 measures: gross and net value); gross and net value and A.1.7a Other loans and advances subject to quality (A.1.5a Other loans and advances subject to Covid-19 measures: Part E – Information on risks and hedging policies – Section A – Credit breakdown); financial assets at amortised cost subject to Covid-19 measures: impairment (8.1a Net impairment losses for credit risk relating to Part C – Income statements – Section 8 Net losses/recoveries on credit measures: gross value and total accumulated impairments); cost (4.4a Financial assets at amortised cost subject to Covid-19 Part B - Balance sheet - Assets – Section 4 - Financial assets at amortised • • • reported in the Notes to the accounts in the following sections: Hungary whose impacts on the Group's economic and financial situation are The context was also characterized by the moratorium extension in Italy and financial statements. consequently the recognition of higher write-downs in the consolidated determining an overall increase of credit exposures classified in Stage 2 and interventions have been introduced in the IFRS9 staging allocation process on European Central Bank expectations, specific methodological from the Covid-19 pandemic, starting from December 31, 2021, based also assure a proper evaluation of the significant increase in credit risk deriving to the specific initiatives put in place starting from financial year 2020 to different governments to support the economies. Furthermore, in addition prices; iii) expiration of the Covid government measures introduced by the Covid-19 prolonged effects; ii) shrinking supply chains and rising energy future potential risks related to: i) persisting uncertainties deriving from applied managerial overlays to estimate the expected credit losses to include 5 5 5 5 applied managerial overlays to estimate the expected credit losses to include future potential risks related to: i) persisting uncertainties deriving from Covid-19 prolonged effects; ii) shrinkingsupply chains and rising energy prices; iii) expiration of the Covid government measures introduced by the different governments to support the economies. Furthermore, in addition to the specific initiatives put in place starting from financial year 2020 to assure a proper evaluation of the significant increase in credit risk deriving from the Covid-19 pandemic, starting from December 31, 2021, based also on European Central Bank expectations, specific methodological interventions have been introduced in the IFRS9 staging allocation process determining an overall increase of credit exposures classified in Stage 2 and consequently the recognition of higher write-downs in the consolidated financial statements. The context was also characterized by the moratorium extension in Italy and Hungary whose impacts on the Group's economic and financial situation are reported in the Notes to the accounts in the following sections: Part B -Balance sheet -Assets –Section 4 -Financial assets at amortised cost (4.4a Financial assets at amortisedcost subject to Covid-19 measures: gross value and total accumulated impairments); Part C –Income statements –Section 8 Net losses/recoveries on credit impairment (8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown); Part E –Information on risks and hedging policies –Section A –Credit quality (A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value and A.1.7a Other loans and advances subject to Covid-19 measures: gross and net value); • • • as required in the integration dated December 21, 2021 to the instructions “Circular No.262 requirements -Banks financial statements: schemes and compilation rules” by the Bank of Italy which requiredalso for financial year 2021 a specific information on the effects that the Covid-19 and the measures to support the economy have produced on strategies, objectives and risk management policies, as well as on the financial and equity situation of intermediaries. Considering the significance of the amount of the performing loans recorded in the financial statements, the increased complexity in the estimation processes adopted by the Group also to take into accounts persisting prolonged effectsCovid-19 pandemic, we have identified the classification of performing loans,with particular reference to performing credit exposures with higher levels of management risk ("watchlist" exposures) and to exposures subject to moratorium-as well as the related process for determining collective loan loss provisions, as a key audit matter of the consolidated financial statements of the Group as at December 31, 2021. • analysis of subsequent events occurring after the reference date of the financial statements. scenarios; expected losses accounted for at year end to changes in macroeconomic • examination of the sensitivity analysis carried out by the Group on the year and with sector data; on related coverage ratios and comparison with the data of the previous • comparative and trend analyses on the volumes of loans to customers and through the development of independent estimates; • analysis and check of the collective valuation of performing loans, also the applicable accounting standards; the sector legislation as well as of the related valuation in compliance with • checks on a sample basis of the classification according to the provisions of counterparties risk; classification of Stage 2 exposures and for the assessment of • analysis and verification on further assessments made by the Group for the network; support of credit model experts and IT experts belonging to the Deloitte reasonableness of the parameters subject to estimation, also with the Group and of the related update, as well as check on a sample basis of the • analysis and understanding of the main valuation models adopted by the purposes of the classification and valuation process; test of the operational effectiveness of the relevant controls for the • analysis of the implementation of the procedures and Group’s processes, support of IT experts belonging to the Deloitte network; test of the operational effectiveness of relevant controls, also with the • analysis and understanding of the IT systems and applications used and pandemic; aspects referred to by the Supervisory Authorities following the Covid-19 applicable accounting standards; such analyses were focused on the main the sector legislation and for the credit valuation in compliance with the quality, for the adequacy of the classification according to the provisions of procedural safeguards implemented by the Group for monitoring credit included, in particular, the identification of the organizational and relative internal regulations concerning to the credit process which • analysis and understanding of the Group's internal control system and the performed Audit procedures The audit procedures performed included, among others, the following: 6 6 6 The audit procedures performed included, among others, the following: Auditprocedures performed Audit procedures performed The audit procedures performed included, among others, the following: The audit procedures performed included, among others, the following: Auditprocedures performed • analysis and understanding of the Group's internal control system and the •analysis and understanding of the Group's internal control system and the relative internal regulations concerning to the credit process which included, in particular, the identification of the organizational and procedural safeguards implemented by the Group for monitoring credit quality, for the adequacy of the classification according to the provisions of the sector legislation and for the credit valuation in compliance with the applicable accounting standards; such analyses were focused on the main aspects referred to by the Supervisory Authorities following the Covid-19 pandemic; • analysis and understanding of the IT systems and applications used and test of the operational effectiveness of relevant controls, also with the support of IT experts belonging to the Deloitte network; • analysis of the implementation of the procedures and Group’s processes, test of the operational effectiveness of the relevant controls for the purposes of the classification and valuation process; • analysis and understanding of the main valuation models adopted by the Group and of the related update, as well as check on a sample basis of the reasonableness of the parameters subject to estimation, also with the support of credit model experts and IT experts belonging to the Deloitte network; • analysis and verification on further assessments made by the Group for the classification of Stage 2 exposures and for the assessment of counterparties risk; • checks on a sample basis of the classification according to the provisions of the sector legislation as well as of the related valuation in compliance with the applicable accounting standards; •analysis of subsequent events occurring after the reference date of the • analysis of subsequent events occurring after the reference date of the •analysis of subsequent events occurring after the reference date of the financial statements. • analysis and check of the collective valuation of performing loans, also through the development of independent estimates; •analysis and check of the collective valuation of performing loans, also through the development of independent estimates; • comparative and trend analyses on the volumes of loans to customers and on related coverage ratios and comparison with the data of the previous year and with sector data; • examination of the sensitivity analysis carried out by the Group on the expected losses accounted for at year end to changes in macroeconomic scenarios; relative internal regulations concerning to the credit process which included, in particular, the identification of the organizational and procedural safeguards implemented by the Group for monitoring credit quality, for the adequacy of the classification according to the provisions of the sector legislation and for the credit valuation in compliance with the applicable accounting standards; such analyses were focused on the main aspects referred to by the Supervisory Authorities following the Covid-19 pandemic; •analysis and understanding of the IT systems and applications used and test of the operational effectiveness of relevant controls, also with the support of IT experts belonging to the Deloitte network; •analysis of the implementation of the procedures and Group’s processes, test of the operational effectiveness of the relevant controls for the purposes of the classification and valuation process; •analysis and understanding of the main valuation models adopted by the Group and of the related update, as well as check on a sample basis of the reasonableness of the parameters subject to estimation, also with the support of credit model experts and IT experts belonging to the Deloitte network; •analysis and verification on further assessments made by the Group for the classification of Stage 2 exposures and for the assessment of counterparties risk; •checks on a sample basis of the classification according to the provisions of the sector legislation as well as of the related valuation in compliance with the applicable accounting standards; •comparative and trend analyses on the volumes of loans to customers and on related coverage ratios and comparison with the data of the previous year and with sector data; •examination of the sensitivity analysis carried out by the Group on the expected losses accounted for at year end to changes in macroeconomic scenarios; financial statements. 6 •analysis and understanding of the Group's internal control system and the relative internal regulations concerning to the credit process which included, in particular, the identification of the organizational and procedural safeguards implemented by the Group for monitoring credit quality, for the adequacy of the classification according to the provisions of the sector legislation and for the credit valuation in compliance with the applicable accounting standards; such analyses were focused on the main aspects referred to by the Supervisory Authorities following the Covid-19 pandemic; •analysis and understanding of the IT systems and applications used and test of the operational effectiveness of relevant controls, also with the support of IT experts belonging to the Deloitte network; •analysis of the implementation of the procedures and Group’s processes, test of the operational effectiveness of the relevant controls for the purposes of the classification and valuation process; •analysis and understanding of the main valuation models adopted by the Group and of the related update, as well as check on a sample basis of the reasonableness of the parameters subject to estimation, also with the support of credit model experts and IT experts belonging to the Deloitte network; •analysis and verification on further assessments made by the Group for the classification of Stage 2 exposures and for the assessment of counterparties risk; •checks on a sample basis of the classification according to the provisions of the sector legislation as well as of the related valuation in compliance with the applicable accounting standards; •analysis and check of the collective valuation of performing loans, also through the development of independent estimates; •comparative and trend analyses on the volumes of loans to customers and on related coverage ratios and comparison with the data of the previous year and with sector data; •examination of the sensitivity analysis carried out by the Group on the expected losses accounted for at year end to changes in macroeconomic scenarios; financial statements. • analysis of subsequent events occurring after the reference date of the financial statements. scenarios; expected losses accounted for at year end to changes in macroeconomic • examination of the sensitivity analysis carried out by the Group on the year and with sector data; on related coverage ratios and comparison with the data of the previous • comparative and trend analyses on the volumes of loans to customers and through the development of independent estimates; • analysis and check of the collective valuation of performing loans, also the applicable accounting standards; the sector legislation as well as of the related valuation in compliance with • checks on a sample basis of the classification according to the provisions of counterparties risk; classification of Stage 2 exposures and for the assessment of • analysis and verification on further assessments made by the Group for the network; support of credit model experts and IT experts belonging to the Deloitte reasonableness of the parameters subject to estimation, also with the Group and of the related update, as well as check on a sample basis of the • analysis and understanding of the main valuation models adopted by the purposes of the classification and valuation process; test of the operational effectiveness of the relevant controls for the • analysis of the implementation of the procedures and Group’s processes, support of IT experts belonging to the Deloitte network; test of the operational effectiveness of relevant controls, also with the • analysis and understanding of the IT systems and applications used and pandemic; aspects referred to by the Supervisory Authorities following the Covid-19 applicable accounting standards; such analyses were focused on the main the sector legislation and for the credit valuation in compliance with the quality, for the adequacy of the classification according to the provisions of procedural safeguards implemented by the Group for monitoring credit included, in particular, the identification of the organizational and relative internal regulations concerning to the credit process which • analysis and understanding of the Group's internal control system and the performed Audit procedures The audit procedures performed included, among others, the following: 6 observable internal or market benchmarks, depending on the availability of consequent evaluation based on expected market prices (defined by carrying amount. The inclusion of these exposures in the disposal plan and the evaluated applying Selling Scenario approach are 1,900 million Euro of gross (“Selling Scenario”). Consequently, as at December 31, 2021 the exposures evaluated on the basis of recovery through their disposal on the market pay exposures for a gross carrying amount of 583 million Euro, which were the Holding Company updated its disposal plan including further unlikely to 2.3 Measurement methods for expected losses, at the end of December 2021 hedging policies – Section 2 – Risks of the prudential consolidated perimeter – In addition, in the Notes to the accounts Part E – Information on risks and evaluated based on flat-rate basis for homogeneous types of exposures. Furthermore, starting form 2021 unlikely to pay exposures are partly on the market. performing loans asset strategy foresees the recovery through their disposal this type of exposures including any sales scenarios where the Group's non- loans was determined by including also the multiple scenarios applicable to and that, in accordance with the IFRS 9, the valuation of non-performing defined for credit portfolios below a predefined threshold; • on a statistical basis, through the acknowledgment of coverage levels flows, discounted at the original interest rate of the financial asset; • on an analytical basis, on the basis of the estimated recoverable cash described that the valuation of bad loans and unlikely to pay takes place: items of the accounts – Paragraph 16 – Other Information (Impairment) is In the Notes to the accounts Part A – Accounting Policies – Section A.2 – Main with a net carrying value of 524 million Euro. with a net carrying value of 5,836 million Euro and for past due is equal to 38% net carrying value of 1,121 million Euro, for unlikely to pay is equal to 46.6% coverage ratio as at December 31, 2021 for bad loans is equal to 75.1% with a The Consolidated report on operations shows that non-performing loans (stage 3) is equal to 7,480 million Euro. customers), the net carrying amount of non-performing loans to customers assets at amortised cost: breakdown by product of loans and advances to audit matter – Assets – Section 4 – Financial assets at amortised cost (table 4.2 Financial Description of the key As indicated in the Notes to the accounts Part B – Consolidated Balance Sheet and “unlikely to pay”) Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” applicable accounting standards and reference legislation. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures 7 7 7 Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards and reference legislation. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards and reference legislation. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards and reference legislation. Riskofuncorrectedclassificationandvaluationofnon-performingloanstocustomers(“badloans” and“unlikelytopay”) Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” and “unlikely to pay”) Riskofuncorrectedclassificationandvaluationofnon-performingloanstocustomers(“badloans” and“unlikelytopay”) As indicated in the Notes to the accounts Part B –Consolidated Balance Sheet Descriptionofthekey –Assets –Section 4 –Financial assets at amortised cost(table 4.2 Financial auditmatter Description of the key audit matter As indicated in the Notes to the accounts Part B – Consolidated Balance Sheet – Assets – Section 4 – Financial assets at amortised cost (table 4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers), the net carrying amount of non-performing loans to customers (stage 3) is equal to 7,480 million Euro. The Consolidated report on operations shows that non-performing loans coverage ratio as at December 31, 2021 for bad loans is equal to 75.1% with a net carrying value of 1,121 million Euro, for unlikely to pay is equal to 46.6% with a net carrying value of 5,836 million Euro and for past due is equal to 38% with a net carrying value of 524 million Euro. In the Notes to the accounts Part A – Accounting Policies – Section A.2 – Main items of the accounts – Paragraph 16 – Other Information (Impairment) is described that the valuation of bad loans and unlikely to pay takes place: As indicated in the Notes to the accounts Part B –Consolidated Balance Sheet Descriptionofthekey –Assets –Section 4 –Financial assets at amortised cost(table 4.2 Financial auditmatter assets at amortised cost: breakdown by product of loans and advances to customers), the net carrying amount of non-performing loans to customers (stage 3) is equal to 7,480 million Euro. The Consolidated report on operations shows that non-performing loans coverage ratio as at December 31, 2021 for bad loans is equal to 75.1% with a net carrying value of 1,121 million Euro, for unlikely to pay is equal to 46.6% with a net carrying value of 5,836 million Euro and for past due is equal to 38% with a net carrying value of 524 million Euro. In the Notes to the accounts Part A –Accounting Policies –Section A.2 –Main items of the accounts –Paragraph 16 –Other Information (Impairment) is described that the valuation of bad loans and unlikely to pay takes place: • on an analytical basis, on the basis of the estimated recoverable cash flows, discounted at the original interest rate of the financial asset; •on an analytical basis, on the basis of the estimated recoverable cash flows, discounted at the original interest rate of the financial asset; • on a statistical basis, through the acknowledgment of coverage levels defined for credit portfolios below a predefined threshold; •on a statistical basis, through the acknowledgment of coverage levels defined for credit portfolios below a predefined threshold; and that, in accordance with the IFRS 9, the valuation of non-performing loans was determined by including also the multiple scenarios applicable to this type of exposures including any sales scenarios where the Group's non- performing loans asset strategy foresees the recovery through their disposal on the market. and that, in accordance with the IFRS 9, the valuation of non-performing loans was determined by including also the multiple scenarios applicable to this type of exposures including any sales scenarios wherethe Group's non- performing loans asset strategy foresees the recovery through their disposal on the market. Furthermore, starting form 2021 unlikely to pay exposures are partly evaluated based on flat-rate basis for homogeneous types of exposures. Furthermore, starting form 2021 unlikely to pay exposures are partly evaluated based on flat-rate basis for homogeneous types of exposures. In addition, in the Notes to the accounts Part E – Information on risks and hedging policies – Section 2 – Risks of the prudential consolidated perimeter – 2.3 Measurement methods for expected losses, at the end of December 2021 the Holding Company updated its disposal plan including further unlikely to pay exposures for a gross carrying amount of 583 million Euro, which were evaluated on the basis of recovery through their disposal on the market (“Selling Scenario”). Consequently, as at December 31, 2021 the exposures evaluated applying Selling Scenario approach are 1,900 million Euro of gross carrying amount. The inclusion of these exposures in the disposal plan and the consequent evaluation based on expected market prices (defined by observable internal or market benchmarks, depending on the availability of In addition, in the Notes to the accounts Part E –Information on risks and hedging policies –Section 2 –Risks of the prudential consolidated perimeter– 2.3 Measurement methods for expected losses,at the end of December 2021 the Holding Company updated its disposal plan including further unlikely to pay exposures for a gross carrying amount of 583 million Euro, which were evaluated on the basis of recovery through their disposal on the market (“Selling Scenario”). Consequently, as atDecember 31, 2021 the exposures evaluated applying Selling Scenario approach are 1,900 million Euro of gross carrying amount. The inclusion of these exposures in the disposal plan and the consequent evaluation based on expected market prices (defined by observable internal or market benchmarks, depending on the availability of 7 assets at amortised cost: breakdown by product of loans and advances to customers), the net carrying amount of non-performing loans to customers (stage 3) is equal to 7,480 million Euro. The Consolidated report on operations shows that non-performing loans coverage ratio as at December 31, 2021 for bad loans is equal to 75.1% with a net carrying value of 1,121 million Euro, for unlikely to pay is equal to 46.6% with a net carrying value of 5,836 million Euro and for past due is equal to 38% with a net carrying value of 524 million Euro. In the Notes to the accounts Part A –Accounting Policies –Section A.2 –Main items of the accounts –Paragraph 16 –Other Information (Impairment) is described that the valuation of bad loans and unlikely to pay takes place: •on an analytical basis, on the basis of the estimated recoverable cash flows, discounted at the original interest rate of the financial asset; •on a statistical basis, through the acknowledgment of coverage levels defined for credit portfolios below a predefined threshold; and that, in accordance with the IFRS 9, the valuation of non-performing loans was determined by including also the multiple scenarios applicable to this type of exposures including any sales scenarios wherethe Group's non- performing loans asset strategy foresees the recovery through their disposal on the market. Furthermore, starting form 2021 unlikely to pay exposures are partly evaluated based on flat-rate basis for homogeneous types of exposures. In addition, in the Notes to the accounts Part E –Information on risks and hedging policies –Section 2 –Risks of the prudential consolidated perimeter– 2.3 Measurement methods for expected losses,at the end of December 2021 the Holding Company updated its disposal plan including further unlikely to pay exposures for a gross carrying amount of 583 million Euro, which were evaluated on the basis of recovery through their disposal on the market (“Selling Scenario”). Consequently, as atDecember 31, 2021 the exposures evaluated applying Selling Scenario approach are 1,900 million Euro of gross carrying amount. The inclusion of these exposures in the disposal plan and the consequent evaluation based on expected market prices (defined by observable internal or market benchmarks, depending on the availability of observable internal or market benchmarks, depending on the availability of consequent evaluation based on expected market prices (defined by carrying amount. The inclusion of these exposures in the disposal plan and the evaluated applying Selling Scenario approach are 1,900 million Euro of gross (“Selling Scenario”). Consequently, as at December 31, 2021 the exposures evaluated on the basis of recovery through their disposal on the market pay exposures for a gross carrying amount of 583 million Euro, which were the Holding Company updated its disposal plan including further unlikely to 2.3 Measurement methods for expected losses, at the end of December 2021 hedging policies – Section 2 – Risks of the prudential consolidated perimeter – In addition, in the Notes to the accounts Part E – Information on risks and evaluated based on flat-rate basis for homogeneous types of exposures. Furthermore, starting form 2021 unlikely to pay exposures are partly on the market. performing loans asset strategy foresees the recovery through their disposal this type of exposures including any sales scenarios where the Group's non- loans was determined by including also the multiple scenarios applicable to and that, in accordance with the IFRS 9, the valuation of non-performing defined for credit portfolios below a predefined threshold; • on a statistical basis, through the acknowledgment of coverage levels flows, discounted at the original interest rate of the financial asset; • on an analytical basis, on the basis of the estimated recoverable cash described that the valuation of bad loans and unlikely to pay takes place: items of the accounts – Paragraph 16 – Other Information (Impairment) is In the Notes to the accounts Part A – Accounting Policies – Section A.2 – Main with a net carrying value of 524 million Euro. with a net carrying value of 5,836 million Euro and for past due is equal to 38% net carrying value of 1,121 million Euro, for unlikely to pay is equal to 46.6% coverage ratio as at December 31, 2021 for bad loans is equal to 75.1% with a The Consolidated report on operations shows that non-performing loans (stage 3) is equal to 7,480 million Euro. customers), the net carrying amount of non-performing loans to customers assets at amortised cost: breakdown by product of loans and advances to audit matter – Assets – Section 4 – Financial assets at amortised cost (table 4.2 Financial Description of the key As indicated in the Notes to the accounts Part B – Consolidated Balance Sheet and “unlikely to pay”) Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” applicable accounting standards and reference legislation. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures 7 8 the information and in compliance with internal regulations) led to additional loan loss provisions for 208 million Euro. Considering the significance of non-performing loans amount recorded in the financial statements and the complexity of the estimation processes adopted by the Group which implied a complex classification activity into homogeneous risk categories and the use of some variables characterized by a high subjectivity (such as the estimates of expected cash flows, the relative recovery times, the recovery value of any guarantees and the recovery strategies, including the disposal on the market) for the determination of the relative recoverable amount, we have identified the classification of non- performing loans (bad loans and unlikely to pay) and their valuation as a key audit matter of the consolidated financial statements of the Group as at December 31, 2021. •analysis and understanding of the internal control system as well as the related internal regulations regarding: (i) the monitoring of credit quality (ii) the management of non-performing loans (iii) the adequacy of the classification according to the provisions of the sector legislation and (iv) the credit valuation in compliance with the applicable accounting principles; •analysis and understanding of the IT systems and applications used and test of the operational effectiveness of relevant controls, also with the support of IT experts belonging to the Deloitte network; •verification of the implementation of the procedures and Group’s processes, test of the operational effectiveness of the relevant controls for the purposes of the classification and valuation processes; •verification of the approval process by the competent bodies of the Bank of the strategy of reducing non-performing credit exposures through the disposal plan; •analysis and understanding of the valuation model adopted for the determination of the additional loan loss provisions relating to non- performing loans valued on the basis of the recovery expectations through the sale and verification ofthe reasonableness of the expected market prices, also through the development of independent estimates; •analysis and understanding of the main valuation models adopted by the Group and of the related update, as well as check on a sample basis of the reasonableness of the parameters subject to estimation, also with the support of credit model experts and IT experts belonging to the Deloitte network; network; support of credit model experts and IT experts belonging to the Deloitte reasonableness of the parameters subject to estimation, also with the Group and of the related update, as well as check on a sample basis of the • analysis and understanding of the main valuation models adopted by the prices, also through the development of independent estimates; the sale and verification of the reasonableness of the expected market performing loans valued on the basis of the recovery expectations through determination of the additional loan loss provisions relating to non- • analysis and understanding of the valuation model adopted for the disposal plan; of the strategy of reducing non-performing credit exposures through the • verification of the approval process by the competent bodies of the Bank the purposes of the classification and valuation processes; processes, test of the operational effectiveness of the relevant controls for • verification of the implementation of the procedures and Group’s support of IT experts belonging to the Deloitte network; test of the operational effectiveness of relevant controls, also with the • analysis and understanding of the IT systems and applications used and principles; the credit valuation in compliance with the applicable accounting classification according to the provisions of the sector legislation and (iv) (ii) the management of non-performing loans (iii) the adequacy of the related internal regulations regarding: (i) the monitoring of credit quality • analysis and understanding of the internal control system as well as the December 31, 2021. audit matter of the consolidated financial statements of the Group as at performing loans (bad loans and unlikely to pay) and their valuation as a key relative recoverable amount, we have identified the classification of non- strategies, including the disposal on the market) for the determination of the recovery times, the recovery value of any guarantees and the recovery subjectivity (such as the estimates of expected cash flows, the relative risk categories and the use of some variables characterized by a high by the Group which implied a complex classification activity into homogeneous financial statements and the complexity of the estimation processes adopted Considering the significance of non-performing loans amount recorded in the loan loss provisions for 208 million Euro. the information and in compliance with internal regulations) led to additional performed Audit procedures The audit procedures performed included, among others, the following: 8 8 8 the information and in compliance with internal regulations) led to additional loan loss provisions for 208 million Euro. the information and in compliance with internal regulations) led to additional loan loss provisions for 208 million Euro. Considering the significance of non-performing loans amount recorded in the financial statements and the complexity of the estimation processes adopted by the Group which implied a complex classification activity into homogeneous risk categories and the use of some variables characterized by a high subjectivity (such as the estimates of expected cash flows, the relative recovery times, the recovery value of any guarantees and the recovery strategies, including the disposal on the market) for the determination of the relative recoverable amount, we have identified the classification of non- performing loans (bad loans and unlikely to pay) and their valuation as a key audit matter of the consolidated financial statements of the Group as at December 31, 2021. The audit procedures performed included, among others, the following: Auditprocedures performed Audit procedures performed The audit procedures performed included, among others, the following: The audit procedures performed included, among others, the following: Auditprocedures performed • analysis and understanding of the internal control system as well as the related internal regulations regarding: (i) the monitoring of credit quality (ii) the management of non-performing loans (iii) the adequacy of the classification according to the provisions of the sector legislation and (iv) the credit valuation in compliance with the applicable accounting principles; • analysis and understanding of the IT systems and applications used and test of the operational effectiveness of relevant controls, also with the support of IT experts belonging to the Deloitte network; • verification of the implementation of the procedures and Group’s processes, test of the operational effectiveness of the relevant controls for the purposes of the classification and valuation processes; • verification of the approval process by the competent bodies of the Bank of the strategy of reducing non-performing credit exposures through the disposal plan; • analysis and understanding of the valuation model adopted for the determination of the additional loan loss provisions relating to non- performing loans valued on the basis of the recovery expectations through the sale and verification of the reasonableness of the expected market prices, also through the development of independent estimates; • analysis and understanding of the main valuation models adopted by the Group and of the related update, as well as check on a sample basis of the reasonableness of the parameters subject to estimation, also with the support of credit model experts and IT experts belonging to the Deloitte network; network; support of credit model experts and IT experts belonging to the Deloitte reasonableness of the parameters subject to estimation, also with the Group and of the related update, as well as check on a sample basis of the • analysis and understanding of the main valuation models adopted by the prices, also through the development of independent estimates; the sale and verification of the reasonableness of the expected market performing loans valued on the basis of the recovery expectations through determination of the additional loan loss provisions relating to non- • analysis and understanding of the valuation model adopted for the disposal plan; of the strategy of reducing non-performing credit exposures through the • verification of the approval process by the competent bodies of the Bank the purposes of the classification and valuation processes; processes, test of the operational effectiveness of the relevant controls for • verification of the implementation of the procedures and Group’s support of IT experts belonging to the Deloitte network; test of the operational effectiveness of relevant controls, also with the • analysis and understanding of the IT systems and applications used and principles; the credit valuation in compliance with the applicable accounting classification according to the provisions of the sector legislation and (iv) (ii) the management of non-performing loans (iii) the adequacy of the related internal regulations regarding: (i) the monitoring of credit quality • analysis and understanding of the internal control system as well as the December 31, 2021. audit matter of the consolidated financial statements of the Group as at performing loans (bad loans and unlikely to pay) and their valuation as a key relative recoverable amount, we have identified the classification of non- strategies, including the disposal on the market) for the determination of the recovery times, the recovery value of any guarantees and the recovery subjectivity (such as the estimates of expected cash flows, the relative risk categories and the use of some variables characterized by a high by the Group which implied a complex classification activity into homogeneous financial statements and the complexity of the estimation processes adopted Considering the significance of non-performing loans amount recorded in the loan loss provisions for 208 million Euro. the information and in compliance with internal regulations) led to additional 8 performed Audit procedures The audit procedures performed included, among others, the following: Considering the significance of non-performing loans amount recorded in the financial statements and the complexity of the estimation processes adopted by the Group which implied a complex classification activity into homogeneous risk categories and the use of some variables characterized by a high subjectivity (such as the estimates of expected cash flows, the relative recovery times, the recovery value of any guarantees and the recovery strategies, including the disposal on the market) for the determination of the relative recoverable amount, we have identified the classification of non- performing loans (bad loans and unlikely to pay) and their valuation as a key audit matter of the consolidated financial statements of the Group as at December 31, 2021. •analysis and understanding of the internal control system as well as the related internal regulations regarding: (i) the monitoring of credit quality (ii) the management of non-performing loans (iii) the adequacy of the classification according to the provisions of the sector legislation and (iv) the credit valuation in compliance with the applicable accounting principles; •analysis and understanding of the IT systems and applications used and test of the operational effectiveness of relevant controls, also with the support of IT experts belonging to the Deloitte network; •verification of the implementation of the procedures and Group’s processes, test of the operational effectiveness of the relevant controls for the purposes of the classification and valuation processes; •verification of the approval process by the competent bodies of the Bank of the strategy of reducing non-performing credit exposures through the disposal plan; •analysis and understanding of the valuation model adopted for the determination of the additional loan loss provisions relating to non- performing loans valued on the basis of the recovery expectations through the sale and verification ofthe reasonableness of the expected market prices, also through the development of independent estimates; •analysis and understanding of the main valuation models adopted by the Group and of the related update, as well as check on a sample basis of the reasonableness of the parameters subject to estimation, also with the support of credit model experts and IT experts belonging to the Deloitte network; influence the economic decisions of users taken on the basis of these consolidated financial statements. are considered material if, individually or in the aggregate, they could reasonably be expected to always detect a material misstatement when it exists. Misstatements can arise from fraud or error and guarantee that an audit conducted in accordance with International Standards on Auditing (ISA Italia) will report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s Our objectives are to obtain reasonable assurance about whether the consolidated financial statements Auditor’s Responsibilities for the Audit of the Consolidated Financial Statements Group’s financial reporting process. The Board of Statutory Auditors is responsible for overseeing, within the terms established by law, the or have no realistic alternatives to such choices. conditions for the liquidation of the parent company UniCredit S.p.A. or the termination of the business and using the going concern basis of accounting unless they have identified the existence of the Group’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern In preparing the consolidated financial statements, the Directors are responsible for assessing the consolidated financial statements that are free from material misstatement, whether due to fraud or law, for such internal control as the Directors determine is necessary to enable the preparation of no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15, and, within the terms established by Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree and fair view in accordance with International Financial Reporting Standards as adopted by the European The Directors are responsible for the preparation of consolidated financial statements that give a true error. Statements Responsibilities of the Directors and the Board of Statutory Auditors for the Consolidated Financial applicable accounting standards and reference legislation. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures financial statements. • analysis of subsequent events occurring after the reference date of the the data of the previous year and with sector data; loans, on the volumes and on related coverage ratios and comparison with • comparative and trend analyses, for each category of non-performing Group’s internal regulations; the classification and of the related valuation in compliance with the • checks on a sample basis, for each category of non-performing loans, of 9 •checks on a sample basis, for each category of non-performing loans, of the classification and of the related valuation in compliance with the Group’s internal regulations; •comparative and trend analyses, for each category of non-performing loans, on the volumes and on related coverage ratios and comparison with the data of the previous year and with sector data; •analysis of subsequent events occurring after the reference date of the financial statements. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards and reference legislation. 9 9 9 • checks on a sample basis, for each category of non-performing loans, of the classification and of the related valuation in compliance with the Group’s internal regulations; •checks on a sample basis, for each category of non-performing loans, of the classification and of the related valuation in compliance with the Group’s internal regulations; • comparative and trend analyses, for each category of non-performing loans, on the volumes and on related coverage ratios and comparison with the data of the previous year and with sector data; •comparative and trend analyses, for each category of non-performing loans, on the volumes and on related coverage ratios and comparison with the data of the previous year and with sector data; • analysis of subsequent events occurring after the reference date of the •analysis of subsequent events occurring after the reference date of the financial statements. financial statements. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards and reference legislation. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards and reference legislation. ResponsibilitiesoftheDirectorsandtheBoardofStatutoryAuditorsfortheConsolidatedFinancial Statements Responsibilities of the Directors and the Board of Statutory Auditors for the Consolidated Financial Statements ResponsibilitiesoftheDirectorsandtheBoardofStatutoryAuditorsfortheConsolidatedFinancial The Directors are responsible for the preparation of consolidated financial statements that give a true and fair view in accordance with International Financial Reporting Standards as adopted by the European Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15, and, within the terms established by law, for such internal control as the Directors determine is necessary to enable the preparation of consolidated financial statements that are free from material misstatement, whether due to fraud or error. In preparing the consolidated financial statements, the Directors are responsible for assessing the Group’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless they have identified the existence of the conditions for the liquidation of the parent company UniCredit S.p.A. or the termination of the business or have no realistic alternatives to such choices. The Directors are responsible for the preparation of consolidated financial statements that give a true and fair view in accordance with International Financial Reporting Standards as adopted by the European Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15, and, within the terms established by law, for such internal control as the Directors determine is necessary to enable the preparation of consolidated financial statements that are free from material misstatement, whether due to fraud or error. In preparing the consolidated financial statements, the Directors are responsible for assessing the Group’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless they have identified the existence of the conditions for the liquidation of the parent company UniCredit S.p.A. or the termination of the business or have no realistic alternatives to such choices. The Board of Statutory Auditors is responsible for overseeing, within the terms established by law, the Group’s financial reporting process. The Board of Statutory Auditors is responsible for overseeing, within the terms established by law, the Group’s financial reporting process. The Board of Statutory Auditors is responsible for overseeing, within the terms established by law, the Group’s financial reporting process. Auditor’sResponsibilitiesfortheAuditoftheConsolidatedFinancialStatements Auditor’s Responsibilities for the Audit of the Consolidated Financial Statements Auditor’sResponsibilitiesfortheAuditoftheConsolidatedFinancialStatements Our objectives are to obtain reasonable assurance about whether the consolidated financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with International Standards on Auditing (ISA Italia) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these consolidated financial statements. Our objectives are to obtain reasonable assurance about whether the consolidated financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with International Standards on Auditing (ISA Italia) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these consolidated financial statements. Our objectives are to obtain reasonable assurance about whether the consolidated financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with International Standards on Auditing (ISA Italia) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these consolidated financial statements. The Directors are responsible for the preparation of consolidated financial statements that give a true and fair view in accordance with International Financial Reporting Standards as adopted by the European Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15, and, within the terms established by law, for such internal control as the Directors determine is necessary to enable the preparation of consolidated financial statements that are free from material misstatement, whether due to fraud or Statements error. In preparing the consolidated financial statements, the Directors are responsible for assessing the Group’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless they have identified the existence of the conditions for the liquidation of the parent company UniCredit S.p.A. or the termination of the business or have no realistic alternatives to such choices. influence the economic decisions of users taken on the basis of these consolidated financial statements. are considered material if, individually or in the aggregate, they could reasonably be expected to always detect a material misstatement when it exists. Misstatements can arise from fraud or error and guarantee that an audit conducted in accordance with International Standards on Auditing (ISA Italia) will report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s Our objectives are to obtain reasonable assurance about whether the consolidated financial statements Auditor’s Responsibilities for the Audit of the Consolidated Financial Statements Group’s financial reporting process. The Board of Statutory Auditors is responsible for overseeing, within the terms established by law, the or have no realistic alternatives to such choices. conditions for the liquidation of the parent company UniCredit S.p.A. or the termination of the business and using the going concern basis of accounting unless they have identified the existence of the Group’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern In preparing the consolidated financial statements, the Directors are responsible for assessing the consolidated financial statements that are free from material misstatement, whether due to fraud or law, for such internal control as the Directors determine is necessary to enable the preparation of no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15, and, within the terms established by Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree and fair view in accordance with International Financial Reporting Standards as adopted by the European The Directors are responsible for the preparation of consolidated financial statements that give a true error. Statements Responsibilities of the Directors and the Board of Statutory Auditors for the Consolidated Financial applicable accounting standards and reference legislation. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures financial statements. • analysis of subsequent events occurring after the reference date of the the data of the previous year and with sector data; loans, on the volumes and on related coverage ratios and comparison with • comparative and trend analyses, for each category of non-performing Group’s internal regulations; the classification and of the related valuation in compliance with the • checks on a sample basis, for each category of non-performing loans, of 9 are therefore the key audit matters. We describe these matters in our auditors’ report. were of most significance in the audit of the consolidated financial statements of the current period and From the matters communicated with those charged with governance, we determine those matters that where applicable, related safeguards. relationships and other matters that may reasonably be thought to bear on our independence, and ethical requirements regarding independence applicable in Italy, and to communicate with them all We also provide those charged with governance with a statement that we have complied with relevant audit findings, including any significant deficiencies in internal control that we identify during our audit. ISA Italia, regarding, among other matters, the planned scope and timing of the audit and significant We communicate with those charged with governance, identified at an appropriate level as required by solely responsible for our audit opinion. We are responsible for the direction, supervision and performance of the group audit. We remain business activities within the Group to express an opinion on the consolidated financial statements. • obtain sufficient appropriate audit evidence regarding the financial information of the entities or transactions and events in a manner that achieves fair presentation; including the disclosures, and whether the consolidated financial statements represent the underlying • evaluate the overall presentation, structure and content of the consolidated financial statements, to continue as a going concern; the date of our auditor’s report. However, future events or conditions may cause the Group to cease inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to to the related disclosures in the consolidated financial statements or, if such disclosures are conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report conditions that may cast significant doubt on the Group’s ability to continue as a going concern. If we based on the audit evidence obtained, whether a material uncertainty exists related to events or • conclude on the appropriateness of management’s use of the going concern basis of accounting and, estimates and related disclosures made by the Directors; • evaluate the appropriateness of accounting policies used and the reasonableness of accounting effectiveness of the Group’s internal control; that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the • obtain an understanding of internal control relevant to the audit in order to design audit procedures override of internal control; error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the not detecting a material misstatement resulting from fraud is higher than for one resulting from obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of whether due to fraud or error, design and perform audit procedures responsive to those risks, and • identify and assess the risks of material misstatement of the consolidated financial statements, professional judgment and maintain professional skepticism throughout the audit. We also: As part of an audit in accordance with International Standards on Auditing (ISA Italia), we exercise 10 10 10 10 As part of anaudit in accordance with International Standards on Auditing (ISA Italia), we exercise professional judgment and maintain professional skepticism throughout the audit. We also: As part of an audit in accordance with International Standards on Auditing (ISA Italia), we exercise professional judgment and maintain professional skepticism throughout the audit. We also: As part of anaudit in accordance with International Standards on Auditing (ISA Italia), we exercise professional judgment and maintain professional skepticism throughout the audit. We also: •identify and assess the risks of material misstatement of the consolidated financial statements, • identify and assess the risks of material misstatement of the consolidated financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control; whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control; •identify and assess the risks of material misstatement of the consolidated financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control; •obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Group’s internal control; • obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Group’s internal control; •obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Group’s internal control; •evaluate the appropriateness of accounting policies used and the reasonableness of accounting • evaluate the appropriateness of accounting policies used and the reasonableness of accounting •evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Directors; estimates and related disclosures made by the Directors; estimates and related disclosures made by the Directors; •conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Group’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the consolidated financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the Group to cease to continue as a going concern; • conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Group’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the consolidated financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the Group to cease to continue as a going concern; •conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Group’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the consolidated financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the Group to cease to continue as a going concern; •evaluate the overall presentation, structure and content of the consolidated financial statements, including the disclosures, and whether the consolidated financial statements represent the underlying transactions and events in a manner that achieves fair presentation; • evaluate the overall presentation, structure and content of the consolidated financial statements, including the disclosures, and whether the consolidated financial statements represent the underlying transactions and events in a manner that achieves fair presentation; •evaluate the overall presentation, structure and content of the consolidated financial statements, including the disclosures, and whether the consolidated financial statements represent the underlying transactions and events in a manner that achieves fair presentation; •obtain sufficient appropriate audit evidence regarding the financial information of the entities or business activities within the Group to express an opinion on the consolidated financial statements. We are responsible for the direction, supervision and performance of the group audit. We remain solely responsible for our audit opinion. • obtain sufficient appropriate audit evidence regarding the financial information of the entities or business activities within the Group to express an opinion on the consolidated financial statements. We are responsible for the direction, supervision and performance of the group audit. We remain solely responsible for our audit opinion. •obtain sufficient appropriate audit evidence regarding the financial information of the entities or business activities within the Group to express an opinion on the consolidated financial statements. We are responsible for the direction, supervision and performance of the group audit. We remain solely responsible for our audit opinion. We communicate with those charged with governance, identified at an appropriate level as required by ISA Italia,regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit. We communicate with those charged with governance, identified at an appropriate level as required by ISA Italia, regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit. We communicate with those charged with governance, identified at an appropriate level as required by ISA Italia,regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit. We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independenceapplicable in Italy, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards. We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independence applicable in Italy, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards. We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independenceapplicable in Italy, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards. From the matters communicated with those charged with governance, we determine those matters that were of most significance in the audit of the consolidated financial statements of the current period and are thereforethe key audit matters. We describe these matters in our auditors’ report. From the matters communicated with those charged with governance, we determine those matters that were of most significance in the audit of the consolidated financial statements of the current period and are therefore the key audit matters. We describe these matters in our auditors’ report. From the matters communicated with those charged with governance, we determine those matters that were of most significance in the audit of the consolidated financial statements of the current period and are thereforethe key audit matters. We describe these matters in our auditors’ report. are therefore the key audit matters. We describe these matters in our auditors’ report. were of most significance in the audit of the consolidated financial statements of the current period and From the matters communicated with those charged with governance, we determine those matters that where applicable, related safeguards. relationships and other matters that may reasonably be thought to bear on our independence, and ethical requirements regarding independence applicable in Italy, and to communicate with them all We also provide those charged with governance with a statement that we have complied with relevant audit findings, including any significant deficiencies in internal control that we identify during our audit. ISA Italia, regarding, among other matters, the planned scope and timing of the audit and significant We communicate with those charged with governance, identified at an appropriate level as required by solely responsible for our audit opinion. We are responsible for the direction, supervision and performance of the group audit. We remain business activities within the Group to express an opinion on the consolidated financial statements. • obtain sufficient appropriate audit evidence regarding the financial information of the entities or transactions and events in a manner that achieves fair presentation; including the disclosures, and whether the consolidated financial statements represent the underlying • evaluate the overall presentation, structure and content of the consolidated financial statements, to continue as a going concern; the date of our auditor’s report. However, future events or conditions may cause the Group to cease inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to to the related disclosures in the consolidated financial statements or, if such disclosures are conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report conditions that may cast significant doubt on the Group’s ability to continue as a going concern. If we based on the audit evidence obtained, whether a material uncertainty exists related to events or • conclude on the appropriateness of management’s use of the going concern basis of accounting and, estimates and related disclosures made by the Directors; • evaluate the appropriateness of accounting policies used and the reasonableness of accounting effectiveness of the Group’s internal control; that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the • obtain an understanding of internal control relevant to the audit in order to design audit procedures override of internal control; error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the not detecting a material misstatement resulting from fraud is higher than for one resulting from obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of whether due to fraud or error, design and perform audit procedures responsive to those risks, and • identify and assess the risks of material misstatement of the consolidated financial statements, professional judgment and maintain professional skepticism throughout the audit. We also: As part of an audit in accordance with International Standards on Auditing (ISA Italia), we exercise 10 material misstatement. December 31, 2021 and on their compliance with the law, as well as to make a statement about any 4 of Legislative Decree 58/98, with the consolidated financial statements of UniCredit Group as at contained in the report on corporate governance and the ownership structure set forth in art. 123-bis, n. express an opinion on the consistency of the report on operations and some specific information We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 720B in order to with the law. 2021, including their consistency with the related consolidated financial statements and their compliance report on corporate governance and the ownership structure of UniCredit Group as at December 31, The Directors of UniCredit S.p.A. are responsible for the preparation of the report on operations and the Legislative Decree 58/98 Opinion pursuant to art. 14 paragraph 2 (e) of Legislative Decree 39/10 and art. 123-bis, paragraph 4, of been marked up, in all material respects, in accordance with the provisions of the Delegated Regulation. In our opinion, the consolidated financial statements have been prepared in XHTML format and have Delegated Regulation. express an opinion on the compliance of the consolidated financial statements with the provisions of the We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 700B in order to included in the annual financial report. (hereinafter referred to as the “Delegated Regulation”) to the consolidated financial statements, to be the specification of the single electronic reporting format (ESEF – European Single Electronic Format) Commission Delegated Regulation (EU) 2019/815 with regard to the regulatory technical standards on The Directors of UniCredit S.p.A. are responsible for the application of the provisions of the European Opinion on the compliance with the provisions of the Delegated Regulation (EU) 2019/815 REPORT ON OTHER LEGAL AND REGULATORY REQUIREMENTS of the said Regulation. additional report to the Board of Statutory Auditors, in its role of Audit Committee, referred to in art. 11 We confirm that the opinion on the financial statements expressed in this report is consistent with the Regulation 537/2014 and that we have remained independent of the Company in conducting the audit. We declare that we have not provided prohibited non-audit services referred to in art. 5 (1) of EU for the years from December 31, 2013 to December 31, 2021. The Shareholders' Meeting of UniCredit S.p.A. has appointed us on May 11, 2012 as auditors of the Bank Other information communicated pursuant to art. 10 of the EU Regulation 537/2014 11 11 11 11 Otherinformationcommunicatedpursuanttoart.10oftheEURegulation537/2014 Other information communicated pursuant to art. 10 of the EU Regulation 537/2014 Otherinformationcommunicatedpursuanttoart.10oftheEURegulation537/2014 The Shareholders' Meeting of UniCredit S.p.A. has appointed us on May 11, 2012 as auditors of theBank for the years from December 31, 2013 to December 31, 2021. The Shareholders' Meeting of UniCredit S.p.A. has appointed us on May 11, 2012 as auditors of the Bank for the years from December 31, 2013 to December 31, 2021. The Shareholders' Meeting of UniCredit S.p.A. has appointed us on May 11, 2012 as auditors of theBank for the years from December 31, 2013 to December 31, 2021. We declare that we have not provided prohibited non-audit services referred to in art. 5 (1) of EU Regulation 537/2014 and that we have remained independent of the Company in conducting the audit. We declare that we have not provided prohibited non-audit services referred to in art. 5 (1) of EU Regulation 537/2014 and that we have remained independent of the Company in conducting the audit. We declare that we have not provided prohibited non-audit services referred to in art. 5 (1) of EU Regulation 537/2014 and that we have remained independent of the Company in conducting the audit. We confirm that the opinion on the financial statements expressed in this report is consistent with the additional report to the Board of Statutory Auditors, in its role of Audit Committee, referred to in art. 11 of the said Regulation. We confirm that the opinion on the financial statements expressed in this report is consistent with the additional report to the Board of Statutory Auditors, in its role of Audit Committee, referred to in art. 11 of the said Regulation. We confirm that the opinion on the financial statements expressed in this report is consistent with the additional report to the Board of Statutory Auditors, in its role of Audit Committee, referred to in art. 11 of the said Regulation. REPORTONOTHERLEGALANDREGULATORYREQUIREMENTS REPORT ON OTHER LEGAL AND REGULATORY REQUIREMENTS REPORTONOTHERLEGALANDREGULATORYREQUIREMENTS OpiniononthecompliancewiththeprovisionsoftheDelegatedRegulation(EU)2019/815 Opinion on the compliance with the provisions of the Delegated Regulation (EU) 2019/815 OpiniononthecompliancewiththeprovisionsoftheDelegatedRegulation(EU)2019/815 The Directors of UniCredit S.p.A. are responsible for the application of the provisions of the European Commission Delegated Regulation (EU) 2019/815 with regard to the regulatory technical standards on the specification of the single electronic reporting format (ESEF –European Single Electronic Format) (hereinafter referred to as the “Delegated Regulation”) to the consolidated financial statements, to be included in the annual financial report. The Directors of UniCredit S.p.A. are responsible for the application of the provisions of the European Commission Delegated Regulation (EU) 2019/815 with regard to the regulatory technical standards on the specification of the single electronic reporting format (ESEF – European Single Electronic Format) (hereinafter referred to as the “Delegated Regulation”) to the consolidated financial statements, to be included in the annual financial report. The Directors of UniCredit S.p.A. are responsible for the application of the provisions of the European Commission Delegated Regulation (EU) 2019/815 with regard to the regulatory technical standards on the specification of the single electronic reporting format (ESEF –European Single Electronic Format) (hereinafter referred to as the “Delegated Regulation”) to the consolidated financial statements, to be included in the annual financial report. We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 700B in order to express an opinion on the compliance of the consolidated financial statements with the provisions of the Delegated Regulation. We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 700B in order to express an opinion on the compliance of the consolidated financial statements with the provisions of the Delegated Regulation. We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 700B in order to express an opinion on the compliance of the consolidated financial statements with the provisions of the Delegated Regulation. In our opinion, the consolidated financial statements have been prepared in XHTML format and have been marked up, in all material respects, in accordance with the provisions of the DelegatedRegulation. In our opinion, the consolidated financial statements have been prepared in XHTML format and have been marked up, in all material respects, in accordance with the provisions of the Delegated Regulation. In our opinion, the consolidated financial statements have been prepared in XHTML format and have been marked up, in all material respects, in accordance with the provisions of the DelegatedRegulation. Opinionpursuanttoart.14paragraph2(e)ofLegislativeDecree39/10andart.123-bis,paragraph4,of LegislativeDecree58/98 Opinion pursuant to art. 14 paragraph 2 (e) of Legislative Decree 39/10 and art. 123-bis, paragraph 4, of Legislative Decree 58/98 Opinionpursuanttoart.14paragraph2(e)ofLegislativeDecree39/10andart.123-bis,paragraph4,of LegislativeDecree58/98 The Directors of UniCredit S.p.A. are responsible for the preparation of the report on operations and the report on corporate governance and the ownership structure of UniCredit Group as at December 31, 2021, including their consistency with the related consolidated financial statements and their compliance with the law. The Directors of UniCredit S.p.A. are responsible for the preparation of the report on operations and the report on corporate governance and the ownership structure of UniCredit Group as at December 31, 2021, including their consistency with the related consolidated financial statements and their compliance with the law. The Directors of UniCredit S.p.A. are responsible for the preparation of the report on operations and the report on corporate governance and the ownership structure of UniCredit Group as at December 31, 2021, including their consistency with the related consolidated financial statements and their compliance with the law. We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 720B in order to express an opinion on the consistency of the report on operations and some specific information contained in the report on corporate governance and the ownership structure set forth in art. 123-bis, n. 4 of Legislative Decree 58/98, with the consolidated financial statements of UniCredit Group as at December 31, 2021and on their compliance with the law, as well as to make a statement about any material misstatement. We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 720B in order to express an opinion on the consistency of the report on operations and some specific information contained in the report on corporate governance and the ownership structure set forth in art. 123-bis, n. 4 of Legislative Decree 58/98, with the consolidated financial statements of UniCredit Group as at December 31, 2021 and on their compliance with the law, as well as to make a statement about any material misstatement. We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 720B in order to express an opinion on the consistency of the report on operations and some specific information contained in the report on corporate governance and the ownership structure set forth in art. 123-bis, n. 4 of Legislative Decree 58/98, with the consolidated financial statements of UniCredit Group as at December 31, 2021and on their compliance with the law, as well as to make a statement about any material misstatement. material misstatement. December 31, 2021 and on their compliance with the law, as well as to make a statement about any 4 of Legislative Decree 58/98, with the consolidated financial statements of UniCredit Group as at contained in the report on corporate governance and the ownership structure set forth in art. 123-bis, n. express an opinion on the consistency of the report on operations and some specific information We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 720B in order to with the law. 2021, including their consistency with the related consolidated financial statements and their compliance report on corporate governance and the ownership structure of UniCredit Group as at December 31, The Directors of UniCredit S.p.A. are responsible for the preparation of the report on operations and the Legislative Decree 58/98 Opinion pursuant to art. 14 paragraph 2 (e) of Legislative Decree 39/10 and art. 123-bis, paragraph 4, of been marked up, in all material respects, in accordance with the provisions of the Delegated Regulation. In our opinion, the consolidated financial statements have been prepared in XHTML format and have Delegated Regulation. express an opinion on the compliance of the consolidated financial statements with the provisions of the We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 700B in order to included in the annual financial report. (hereinafter referred to as the “Delegated Regulation”) to the consolidated financial statements, to be the specification of the single electronic reporting format (ESEF – European Single Electronic Format) Commission Delegated Regulation (EU) 2019/815 with regard to the regulatory technical standards on The Directors of UniCredit S.p.A. are responsible for the application of the provisions of the European Opinion on the compliance with the provisions of the Delegated Regulation (EU) 2019/815 REPORT ON OTHER LEGAL AND REGULATORY REQUIREMENTS of the said Regulation. additional report to the Board of Statutory Auditors, in its role of Audit Committee, referred to in art. 11 We confirm that the opinion on the financial statements expressed in this report is consistent with the Regulation 537/2014 and that we have remained independent of the Company in conducting the audit. We declare that we have not provided prohibited non-audit services referred to in art. 5 (1) of EU for the years from December 31, 2013 to December 31, 2021. The Shareholders' Meeting of UniCredit S.p.A. has appointed us on May 11, 2012 as auditors of the Bank Other information communicated pursuant to art. 10 of the EU Regulation 537/2014 11 authoritative. convenience of international readers. Accordingly, only the original text in Italian language is This independent auditor’s report has been translated into the English language solely for the March 11, 2022 Milan, Italy Partner Maurizio Ferrero Signed by DELOITTE & TOUCHE S.p.A. subject of a separate attestation issued by us. Pursuant to art. 3, paragraph 10 of Legislative Decree 30 December 2016, no. 254, this statement is We verified the approval by the Directors of the non-financial statement. pursuant to Legislative Decree 30 December 2016, no. 254. The Directors of UniCredit S.p.A. are responsible for the preparation of the non-financial statement December 2016, no. 254 Statement pursuant to art. 4 of the Consob Regulation for the implementation of Legislative Decree 30 during the audit, we have nothing to report. made on the basis of the knowledge and understanding of the Group and of the related context acquired With reference to the statement referred to in art. 14, paragraph 2 (e), of Legislative Decree 39/10, the law. financial statements of UniCredit Group as at December 31, 2021 and are prepared in accordance with the report on corporate governance and the ownership structure are consistent with the consolidated In our opinion, the above-mentioned report on operations and some specific information contained in 12 12 12 12 In our opinion, the above-mentioned report on operations and some specific information contained in the report on corporate governance and the ownership structure are consistent with the consolidated financial statements of UniCredit Group as at December 31, 2021and are prepared in accordance with the law. In our opinion, the above-mentioned report on operations and some specific information contained in the report on corporate governance and the ownership structure are consistent with the consolidated financial statements of UniCredit Group as at December 31, 2021 and are prepared in accordance with the law. In our opinion, the above-mentioned report on operations and some specific information contained in the report on corporate governance and the ownership structure are consistent with the consolidated financial statements of UniCredit Group as at December 31, 2021and are prepared in accordance with the law. With reference to the statement referred to in art. 14, paragraph 2 (e), of Legislative Decree 39/10, made on the basis of the knowledge and understanding of the Group and of the related context acquired during the audit, we have nothing to report. With reference to the statement referred to in art. 14, paragraph 2 (e), of Legislative Decree 39/10, made on the basis of the knowledge and understanding of the Group and of the related context acquired during the audit, we have nothing to report. With reference to the statement referred to in art. 14, paragraph 2 (e), of Legislative Decree 39/10, made on the basis of the knowledge and understanding of the Group and of the related context acquired during the audit, we have nothing to report. Statementpursuanttoart.4oftheConsobRegulationfortheimplementationofLegislativeDecree30 December2016,no.254 Statement pursuant to art. 4 of the Consob Regulation for the implementation of Legislative Decree 30 December 2016, no. 254 Statementpursuanttoart.4oftheConsobRegulationfortheimplementationofLegislativeDecree30 December2016,no.254 The Directors of UniCredit S.p.A. are responsible for the preparation of the non-financial statement pursuant to Legislative Decree 30 December 2016, no. 254. The Directors of UniCredit S.p.A. are responsible for the preparation of the non-financial statement pursuant to Legislative Decree 30 December 2016, no. 254. The Directors of UniCredit S.p.A. are responsible for the preparation of the non-financial statement pursuant to Legislative Decree 30 December 2016, no. 254. We verified the approval by the Directors of the non-financial statement. We verified the approval by the Directors of the non-financial statement. We verified the approval by the Directors of the non-financial statement. Pursuant to art. 3, paragraph 10 of Legislative Decree 30 December 2016, no. 254, this statement is subject of a separate attestation issued by us. Pursuant to art. 3, paragraph 10 of Legislative Decree 30 December 2016, no. 254, this statement is subject of a separate attestation issued by us. Pursuant to art. 3, paragraph 10 of Legislative Decree 30 December 2016, no. 254, this statement is subject of a separate attestation issued by us. DELOITTE & TOUCHE S.p.A. DELOITTE & TOUCHE S.p.A. Signed by MaurizioFerrero Partner Milan, Italy March 11, 2022 Signed by Maurizio Ferrero Partner Milan, Italy March 11, 2022 DELOITTE & TOUCHE S.p.A. Signed by MaurizioFerrero Partner Milan, Italy March 11, 2022 This independent auditor’s report has been translated into the English language solely for the convenience of international readers. Accordingly, only the original text in Italian language is authoritative. This independent auditor’s report has been translated into the English language solely for the convenience of international readers. Accordingly, only the original text in Italian language is authoritative. This independent auditor’s report has been translated into the English language solely for the convenience of international readers. Accordingly, only the original text in Italian language is authoritative. authoritative. convenience of international readers. Accordingly, only the original text in Italian language is This independent auditor’s report has been translated into the English language solely for the March 11, 2022 Milan, Italy Partner Maurizio Ferrero Signed by DELOITTE & TOUCHE S.p.A. subject of a separate attestation issued by us. Pursuant to art. 3, paragraph 10 of Legislative Decree 30 December 2016, no. 254, this statement is We verified the approval by the Directors of the non-financial statement. pursuant to Legislative Decree 30 December 2016, no. 254. The Directors of UniCredit S.p.A. are responsible for the preparation of the non-financial statement December 2016, no. 254 Statement pursuant to art. 4 of the Consob Regulation for the implementation of Legislative Decree 30 during the audit, we have nothing to report. made on the basis of the knowledge and understanding of the Group and of the related context acquired With reference to the statement referred to in art. 14, paragraph 2 (e), of Legislative Decree 39/10, the law. financial statements of UniCredit Group as at December 31, 2021 and are prepared in accordance with the report on corporate governance and the ownership structure are consistent with the consolidated In our opinion, the above-mentioned report on operations and some specific information contained in 12  UniCredit · 2021 Annual Report and Accounts 479 UniCredit · 2021 Annual Report and Accounts 479 UniCredit · 2021 Annual Report and Accounts 479 UniCredit · 2021 Annual Report and Accounts 479 UniCredit · 2021 Annual Report and Accounts 479  480 2021 Annual Report and Accounts · UniCredit 480 2021 Annual Report and Accounts · UniCredit 480 2021 Annual Report and Accounts · UniCredit 480 2021 Annual Report and Accounts · UniCredit 480 2021 Annual Report and Accounts · UniCredit Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 481 Annexes A reconciliation of the reclassified balance sheet and profit and loss account to the mandatory reporting schedules, is provided below. An explanation for the restatement of comparative figures is provided in the previous sections. Consolidated balance sheet (€ million) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 Cash and cash balances 107,407 117,003 Item 10. Cash and cash balances 107,407 117,003 Financial assets held for trading 80,109 72,705 Item 20. Financial assets at fair value through profit or loss: a) Financial assets held for trading 80,109 72,705 Loans to banks 82,938 96,519 Item 40. Financial assets at amortised cost: a) Loans and advances to banks 91,403 102,193 less: Reclassification of debt securities in Other financial assets (8,520) (5,732) less: Reclassification of leasing assets IFRS16 in Other financial assets (2) (2) + Reclassification of loans from Other financial assets - Item 20 c) 57 60 Loans to customers 437,544 450,550 Item 40. Financial assets at amortised cost: b) Loans and advances to customers 502,215 506,012 less: Reclassification of debt securities in Other financial assets (66,464) (57,277) less: Reclassification of leasing assets IFRS16 in Other financial assets (68) (60) + Reclassification of loans from Other financial assets - Item 20 c) 1,862 1,876 Other financial assets 157,902 153,349 Item 20. Financial assets at fair value through profit or loss: b) Financial assets designated at fair value 279 226 Item 20. Financial assets at fair value through profit or loss: c) Other financial assets mandatorily at fair value 11,851 14,894 less: Reclassification of loans in Loans to banks (57) (60) less: Reclassification of loans in Loans to customers (1,862) (1,876) Item 30. Financial assets at fair value through other comprehensive income 68,564 72,737 Item 70. Equity investments 4,073 4,354 + Reclassification of debt securities from Loans to banks - Item 40 a) 8,520 5,732 + Reclassification of debt securities from Loans to customers - Item 40 b) 66,464 57,277 + Reclassification of leasing assets IFRS16 from Loans to banks - Item 40 a) 2 2 + Reclassification of leasing assets IFRS16 from Loans to customers - Item 40 b) 68 60 Hedging instruments 4,576 7,687 Item 50. Hedging derivatives 3,065 3,802 Item 60. Changes in fair value of portfolio hedged items (+/-) 1,511 3,886 Property, plant and equipment 8,911 9,939 Item 90. Property, plant and equipment 8,911 9,939 Goodwill - - Item 100. Intangible assets of which: goodwill - - Other intangible assets 2,213 2,117 Item 100. Intangible assets net of goodwill 2,213 2,117 Tax assets 13,551 13,097 Item 110. Tax assets 13,551 13,097 Non-current assets and disposal groups classified as held for sale 14,287 2,017 Item 120. Non-current assets and disposal groups classified as held for sale 14,287 2,017 Other assets 7,234 6,473 Item 130. Other assets 7,234 6,473 Total assets 916,671 931,456 Annex 1 - Reconciliation of reclassified Accounts to Mandatory Reporting Schedule Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 481 Annexes A reconciliation of the reclassified balance sheet and profit and loss account to the mandatory reporting schedules, is provided below. An explanation for the restatement of comparative figures is provided in the previous sections. Consolidated balance sheet (€ million) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 Cash and cash balances 107,407 117,003 Item 10. Cash and cash balances 107,407 117,003 Financial assets held for trading 80,109 72,705 Item 20. Financial assets at fair value through profit or loss: a) Financial assets held for trading 80,109 72,705 Loans to banks 82,938 96,519 Item 40. Financial assets at amortised cost: a) Loans and advances to banks 91,403 102,193 less: Reclassification of debt securities in Other financial assets (8,520) (5,732) less: Reclassification of leasing assets IFRS16 in Other financial assets (2) (2) + Reclassification of loans from Other financial assets - Item 20 c) 57 60 Loans to customers 437,544 450,550 Item 40. Financial assets at amortised cost: b) Loans and advances to customers 502,215 506,012 less: Reclassification of debt securities in Other financial assets (66,464) (57,277) less: Reclassification of leasing assets IFRS16 in Other financial assets (68) (60) + Reclassification of loans from Other financial assets - Item 20 c) 1,862 1,876 Other financial assets 157,902 153,349 Item 20. Financial assets at fair value through profit or loss: b) Financial assets designated at fair value 279 226 Item 20. Financial assets at fair value through profit or loss: c) Other financial assets mandatorily at fair value 11,851 14,894 less: Reclassification of loans in Loans to banks (57) (60) less: Reclassification of loans in Loans to customers (1,862) (1,876) Item 30. Financial assets at fair value through other comprehensive income 68,564 72,737 Item 70. Equity investments 4,073 4,354 + Reclassification of debt securities from Loans to banks - Item 40 a) 8,520 5,732 + Reclassification of debt securities from Loans to customers - Item 40 b) 66,464 57,277 + Reclassification of leasing assets IFRS16 from Loans to banks - Item 40 a) 2 2 + Reclassification of leasing assets IFRS16 from Loans to customers - Item 40 b) 68 60 Hedging instruments 4,576 7,687 Item 50. Hedging derivatives 3,065 3,802 Item 60. Changes in fair value of portfolio hedged items (+/-) 1,511 3,886 Property, plant and equipment 8,911 9,939 Item 90. Property, plant and equipment 8,911 9,939 Goodwill - - Item 100. Intangible assets of which: goodwill - - Other intangible assets 2,213 2,117 Item 100. Intangible assets net of goodwill 2,213 2,117 Tax assets 13,551 13,097 Item 110. Tax assets 13,551 13,097 Non-current assets and disposal groups classified as held for sale 14,287 2,017 Item 120. Non-current assets and disposal groups classified as held for sale 14,287 2,017 Other assets 7,234 6,473 Item 130. Other assets 7,234 6,473 Total assets 916,671 931,456 Annex 1 - Reconciliation of reclassified Accounts to Mandatory Reporting Schedule Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 481 Annexes A reconciliation of the reclassified balance sheet and profit and loss account to the mandatory reporting schedules, is provided below. An explanation for the restatement of comparative figures is provided in the previous sections. Consolidated balance sheet (€ million) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 Cash and cash balances 107,407 117,003 Item 10. Cash and cash balances 107,407 117,003 Financial assets held for trading 80,109 72,705 Item 20. Financial assets at fair value through profit or loss: a) Financial assets held for trading 80,109 72,705 Loans to banks 82,938 96,519 Item 40. Financial assets at amortised cost: a) Loans and advances to banks 91,403 102,193 less: Reclassification of debt securities in Other financial assets (8,520) (5,732) less: Reclassification of leasing assets IFRS16 in Other financial assets (2) (2) + Reclassification of loans from Other financial assets - Item 20 c) 57 60 Loans to customers 437,544 450,550 Item 40. Financial assets at amortised cost: b) Loans and advances to customers 502,215 506,012 less: Reclassification of debt securities in Other financial assets (66,464) (57,277) less: Reclassification of leasing assets IFRS16 in Other financial assets (68) (60) + Reclassification of loans from Other financial assets - Item 20 c) 1,862 1,876 Other financial assets 157,902 153,349 Item 20. Financial assets at fair value through profit or loss: b) Financial assets designated at fair value 279 226 Item 20. Financial assets at fair value through profit or loss: c) Other financial assets mandatorily at fair value 11,851 14,894 less: Reclassification of loans in Loans to banks (57) (60) less: Reclassification of loans in Loans to customers (1,862) (1,876) Item 30. Financial assets at fair value through other comprehensive income 68,564 72,737 Item 70. Equity investments 4,073 4,354 + Reclassification of debt securities from Loans to banks - Item 40 a) 8,520 5,732 + Reclassification of debt securities from Loans to customers - Item 40 b) 66,464 57,277 + Reclassification of leasing assets IFRS16 from Loans to banks - Item 40 a) 2 2 + Reclassification of leasing assets IFRS16 from Loans to customers - Item 40 b) 68 60 Hedging instruments 4,576 7,687 Item 50. Hedging derivatives 3,065 3,802 Item 60. Changes in fair value of portfolio hedged items (+/-) 1,511 3,886 Property, plant and equipment 8,911 9,939 Item 90. Property, plant and equipment 8,911 9,939 Goodwill - - Item 100. Intangible assets of which: goodwill - - Other intangible assets 2,213 2,117 Item 100. Intangible assets net of goodwill 2,213 2,117 Tax assets 13,551 13,097 Item 110. Tax assets 13,551 13,097 Non-current assets and disposal groups classified as held for sale 14,287 2,017 Item 120. Non-current assets and disposal groups classified as held for sale 14,287 2,017 Other assets 7,234 6,473 Item 130. Other assets 7,234 6,473 Total assets 916,671 931,456 Annex 1 - Reconciliation of reclassified Accounts to Mandatory Reporting Schedule Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 481 Annexes A reconciliation of the reclassified balance sheet and profit and loss account to the mandatory reporting schedules, is provided below. An explanation for the restatement of comparative figures is provided in the previous sections. Consolidated balance sheet (€ million) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 Cash and cash balances 107,407 117,003 Item 10. Cash and cash balances 107,407 117,003 Financial assets held for trading 80,109 72,705 Item 20. Financial assets at fair value through profit or loss: a) Financial assets held for trading 80,109 72,705 Loans to banks 82,938 96,519 Item 40. Financial assets at amortised cost: a) Loans and advances to banks 91,403 102,193 less: Reclassification of debt securities in Other financial assets (8,520) (5,732) less: Reclassification of leasing assets IFRS16 in Other financial assets (2) (2) + Reclassification of loans from Other financial assets - Item 20 c) 57 60 Loans to customers 437,544 450,550 Item 40. Financial assets at amortised cost: b) Loans and advances to customers 502,215 506,012 less: Reclassification of debt securities in Other financial assets (66,464) (57,277) less: Reclassification of leasing assets IFRS16 in Other financial assets (68) (60) + Reclassification of loans from Other financial assets - Item 20 c) 1,862 1,876 Other financial assets 157,902 153,349 Item 20. Financial assets at fair value through profit or loss: b) Financial assets designated at fair value 279 226 Item 20. Financial assets at fair value through profit or loss: c) Other financial assets mandatorily at fair value 11,851 14,894 less: Reclassification of loans in Loans to banks (57) (60) less: Reclassification of loans in Loans to customers (1,862) (1,876) Item 30. Financial assets at fair value through other comprehensive income 68,564 72,737 Item 70. Equity investments 4,073 4,354 + Reclassification of debt securities from Loans to banks - Item 40 a) 8,520 5,732 + Reclassification of debt securities from Loans to customers - Item 40 b) 66,464 57,277 + Reclassification of leasing assets IFRS16 from Loans to banks - Item 40 a) 2 2 + Reclassification of leasing assets IFRS16 from Loans to customers - Item 40 b) 68 60 Hedging instruments 4,576 7,687 Item 50. Hedging derivatives 3,065 3,802 Item 60. Changes in fair value of portfolio hedged items (+/-) 1,511 3,886 Property, plant and equipment 8,911 9,939 Item 90. Property, plant and equipment 8,911 9,939 Goodwill - - Item 100. Intangible assets of which: goodwill - - Other intangible assets 2,213 2,117 Item 100. Intangible assets net of goodwill 2,213 2,117 Tax assets 13,551 13,097 Item 110. Tax assets 13,551 13,097 Non-current assets and disposal groups classified as held for sale 14,287 2,017 Item 120. Non-current assets and disposal groups classified as held for sale 14,287 2,017 Other assets 7,234 6,473 Item 130. Other assets 7,234 6,473 Total assets 916,671 931,456 Annex 1 - Reconciliation of reclassified Accounts to Mandatory Reporting Schedule Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 481 Annexes A reconciliation of the reclassified balance sheet and profit and loss account to the mandatory reporting schedules, is provided below. An explanation for the restatement of comparative figures is provided in the previous sections. Consolidated balance sheet (€ million) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 Cash and cash balances 107,407 117,003 Item 10. Cash and cash balances 107,407 117,003 Financial assets held for trading 80,109 72,705 Item 20. Financial assets at fair value through profit or loss: a) Financial assets held for trading 80,109 72,705 Loans to banks 82,938 96,519 Item 40. Financial assets at amortised cost: a) Loans and advances to banks 91,403 102,193 less: Reclassification of debt securities in Other financial assets (8,520) (5,732) less: Reclassification of leasing assets IFRS16 in Other financial assets (2) (2) + Reclassification of loans from Other financial assets - Item 20 c) 57 60 Loans to customers 437,544 450,550 Item 40. Financial assets at amortised cost: b) Loans and advances to customers 502,215 506,012 less: Reclassification of debt securities in Other financial assets (66,464) (57,277) less: Reclassification of leasing assets IFRS16 in Other financial assets (68) (60) + Reclassification of loans from Other financial assets - Item 20 c) 1,862 1,876 Other financial assets 157,902 153,349 Item 20. Financial assets at fair value through profit or loss: b) Financial assets designated at fair value 279 226 Item 20. Financial assets at fair value through profit or loss: c) Other financial assets mandatorily at fair value 11,851 14,894 less: Reclassification of loans in Loans to banks (57) (60) less: Reclassification of loans in Loans to customers (1,862) (1,876) Item 30. Financial assets at fair value through other comprehensive income 68,564 72,737 Item 70. Equity investments 4,073 4,354 + Reclassification of debt securities from Loans to banks - Item 40 a) 8,520 5,732 + Reclassification of debt securities from Loans to customers - Item 40 b) 66,464 57,277 + Reclassification of leasing assets IFRS16 from Loans to banks - Item 40 a) 2 2 + Reclassification of leasing assets IFRS16 from Loans to customers - Item 40 b) 68 60 Hedging instruments 4,576 7,687 Item 50. Hedging derivatives 3,065 3,802 Item 60. Changes in fair value of portfolio hedged items (+/-) 1,511 3,886 Property, plant and equipment 8,911 9,939 Item 90. Property, plant and equipment 8,911 9,939 Goodwill - - Item 100. Intangible assets of which: goodwill - - Other intangible assets 2,213 2,117 Item 100. Intangible assets net of goodwill 2,213 2,117 Tax assets 13,551 13,097 Item 110. Tax assets 13,551 13,097 Non-current assets and disposal groups classified as held for sale 14,287 2,017 Item 120. Non-current assets and disposal groups classified as held for sale 14,287 2,017 Other assets 7,234 6,473 Item 130. Other assets 7,234 6,473 Total assets 916,671 931,456 Annex 1 - Reconciliation of reclassified Accounts to Mandatory Reporting Schedule Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 482 2021 Annual Report and Accounts · UniCredit continued: Consolidated balance sheet (€ million) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 Deposits from banks 162,561 172,465 Item 10. Financial liabilities at amortised cost: a) Deposits from banks 162,571 172,473 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (10) (8) Deposits from customers 500,504 498,440 Item 10. Financial liabilities at amortised cost: b) Deposits from customers 502,554 500,750 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (2,050) (2,310) Debt securities issued 95,898 102,524 Item 10. Financial liabilities at amortised cost: c) Debt securities in issue 95,898 102,524 Financial liabilities held for trading 51,608 47,787 Item 20. Financial liabilities held for trading 51,608 47,787 Other financial liabilities 11,616 12,887 Item 30. Financial liabilities designated at fair value 9,556 10,568 + Reclassification of leasing liabilities IFRS16 from Deposits from banks 10 8 + Reclassification of leasing liabilities IFRS16 from Deposits from customers 2,050 2,310 Hedging instruments 5,265 11,764 Item 40. Hedging derivatives 4,303 5,699 Item 50. Value adjustment of hedged financial liabilities (+/-) 963 6,065 Tax liabilities 1,216 1,358 Item 60. Tax liabilities 1,216 1,358 Liabilities included in disposal groups classified as held for sale 2,149 761 Item 70. Liabilities associated with assets classified as held for sale 2,149 761 Other liabilities 23,760 23,529 Item 80. Other liabilities 13,300 12,750 item 90. Provision for employee severance pay 516 592 Item 100. Provisions for risks and charges 9,944 10,188 Minorities 465 435 Item 190. Minority shareholders' equity (+/-) 465 435 Group shareholders' equity: 61,628 59,507 - Capital and reserves 60,089 62,292 Item 120. Valuation reserves (4,337) (6,160) Item 140. Equity instruments 6,595 6,841 Item 150. Reserves 31,451 31,167 Item 160. Share premium 5,446 9,386 Item 170. Share capital 21,133 21,060 Item 180. Treasury shares (-) (200) (3) - Net profit (loss) 1,540 (2,785) Item 200. Profit (Loss) of the year (+/-) 1,540 (2,785) Total liabilities and shareholders' equity 916,671 931,456 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 482 2021 Annual Report and Accounts · UniCredit continued: Consolidated balance sheet (€ million) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 Deposits from banks 162,561 172,465 Item 10. Financial liabilities at amortised cost: a) Deposits from banks 162,571 172,473 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (10) (8) Deposits from customers 500,504 498,440 Item 10. Financial liabilities at amortised cost: b) Deposits from customers 502,554 500,750 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (2,050) (2,310) Debt securities issued 95,898 102,524 Item 10. Financial liabilities at amortised cost: c) Debt securities in issue 95,898 102,524 Financial liabilities held for trading 51,608 47,787 Item 20. Financial liabilities held for trading 51,608 47,787 Other financial liabilities 11,616 12,887 Item 30. Financial liabilities designated at fair value 9,556 10,568 + Reclassification of leasing liabilities IFRS16 from Deposits from banks 10 8 + Reclassification of leasing liabilities IFRS16 from Deposits from customers 2,050 2,310 Hedging instruments 5,265 11,764 Item 40. Hedging derivatives 4,303 5,699 Item 50. Value adjustment of hedged financial liabilities (+/-) 963 6,065 Tax liabilities 1,216 1,358 Item 60. Tax liabilities 1,216 1,358 Liabilities included in disposal groups classified as held for sale 2,149 761 Item 70. Liabilities associated with assets classified as held for sale 2,149 761 Other liabilities 23,760 23,529 Item 80. Other liabilities 13,300 12,750 item 90. Provision for employee severance pay 516 592 Item 100. Provisions for risks and charges 9,944 10,188 Minorities 465 435 Item 190. Minority shareholders' equity (+/-) 465 435 Group shareholders' equity: 61,628 59,507 - Capital and reserves 60,089 62,292 Item 120. Valuation reserves (4,337) (6,160) Item 140. Equity instruments 6,595 6,841 Item 150. Reserves 31,451 31,167 Item 160. Share premium 5,446 9,386 Item 170. Share capital 21,133 21,060 Item 180. Treasury shares (-) (200) (3) - Net profit (loss) 1,540 (2,785) Item 200. Profit (Loss) of the year (+/-) 1,540 (2,785) Total liabilities and shareholders' equity 916,671 931,456 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 482 2021 Annual Report and Accounts · UniCredit continued: Consolidated balance sheet (€ million) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 Deposits from banks 162,561 172,465 Item 10. Financial liabilities at amortised cost: a) Deposits from banks 162,571 172,473 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (10) (8) Deposits from customers 500,504 498,440 Item 10. Financial liabilities at amortised cost: b) Deposits from customers 502,554 500,750 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (2,050) (2,310) Debt securities issued 95,898 102,524 Item 10. Financial liabilities at amortised cost: c) Debt securities in issue 95,898 102,524 Financial liabilities held for trading 51,608 47,787 Item 20. Financial liabilities held for trading 51,608 47,787 Other financial liabilities 11,616 12,887 Item 30. Financial liabilities designated at fair value 9,556 10,568 + Reclassification of leasing liabilities IFRS16 from Deposits from banks 10 8 + Reclassification of leasing liabilities IFRS16 from Deposits from customers 2,050 2,310 Hedging instruments 5,265 11,764 Item 40. Hedging derivatives 4,303 5,699 Item 50. Value adjustment of hedged financial liabilities (+/-) 963 6,065 Tax liabilities 1,216 1,358 Item 60. Tax liabilities 1,216 1,358 Liabilities included in disposal groups classified as held for sale 2,149 761 Item 70. Liabilities associated with assets classified as held for sale 2,149 761 Other liabilities 23,760 23,529 Item 80. Other liabilities 13,300 12,750 item 90. Provision for employee severance pay 516 592 Item 100. Provisions for risks and charges 9,944 10,188 Minorities 465 435 Item 190. Minority shareholders' equity (+/-) 465 435 Group shareholders' equity: 61,628 59,507 - Capital and reserves 60,089 62,292 Item 120. Valuation reserves (4,337) (6,160) Item 140. Equity instruments 6,595 6,841 Item 150. Reserves 31,451 31,167 Item 160. Share premium 5,446 9,386 Item 170. Share capital 21,133 21,060 Item 180. Treasury shares (-) (200) (3) - Net profit (loss) 1,540 (2,785) Item 200. Profit (Loss) of the year (+/-) 1,540 (2,785) Total liabilities and shareholders' equity 916,671 931,456 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 482 2021 Annual Report and Accounts · UniCredit continued: Consolidated balance sheet (€ million) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 Deposits from banks 162,561 172,465 Item 10. Financial liabilities at amortised cost: a) Deposits from banks 162,571 172,473 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (10) (8) Deposits from customers 500,504 498,440 Item 10. Financial liabilities at amortised cost: b) Deposits from customers 502,554 500,750 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (2,050) (2,310) Debt securities issued 95,898 102,524 Item 10. Financial liabilities at amortised cost: c) Debt securities in issue 95,898 102,524 Financial liabilities held for trading 51,608 47,787 Item 20. Financial liabilities held for trading 51,608 47,787 Other financial liabilities 11,616 12,887 Item 30. Financial liabilities designated at fair value 9,556 10,568 + Reclassification of leasing liabilities IFRS16 from Deposits from banks 10 8 + Reclassification of leasing liabilities IFRS16 from Deposits from customers 2,050 2,310 Hedging instruments 5,265 11,764 Item 40. Hedging derivatives 4,303 5,699 Item 50. Value adjustment of hedged financial liabilities (+/-) 963 6,065 Tax liabilities 1,216 1,358 Item 60. Tax liabilities 1,216 1,358 Liabilities included in disposal groups classified as held for sale 2,149 761 Item 70. Liabilities associated with assets classified as held for sale 2,149 761 Other liabilities 23,760 23,529 Item 80. Other liabilities 13,300 12,750 item 90. Provision for employee severance pay 516 592 Item 100. Provisions for risks and charges 9,944 10,188 Minorities 465 435 Item 190. Minority shareholders' equity (+/-) 465 435 Group shareholders' equity: 61,628 59,507 - Capital and reserves 60,089 62,292 Item 120. Valuation reserves (4,337) (6,160) Item 140. Equity instruments 6,595 6,841 Item 150. Reserves 31,451 31,167 Item 160. Share premium 5,446 9,386 Item 170. Share capital 21,133 21,060 Item 180. Treasury shares (-) (200) (3) - Net profit (loss) 1,540 (2,785) Item 200. Profit (Loss) of the year (+/-) 1,540 (2,785) Total liabilities and shareholders' equity 916,671 931,456 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 482 2021 Annual Report and Accounts · UniCredit continued: Consolidated balance sheet (€ million) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 Deposits from banks 162,561 172,465 Item 10. Financial liabilities at amortised cost: a) Deposits from banks 162,571 172,473 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (10) (8) Deposits from customers 500,504 498,440 Item 10. Financial liabilities at amortised cost: b) Deposits from customers 502,554 500,750 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (2,050) (2,310) Debt securities issued 95,898 102,524 Item 10. Financial liabilities at amortised cost: c) Debt securities in issue 95,898 102,524 Financial liabilities held for trading 51,608 47,787 Item 20. Financial liabilities held for trading 51,608 47,787 Other financial liabilities 11,616 12,887 Item 30. Financial liabilities designated at fair value 9,556 10,568 + Reclassification of leasing liabilities IFRS16 from Deposits from banks 10 8 + Reclassification of leasing liabilities IFRS16 from Deposits from customers 2,050 2,310 Hedging instruments 5,265 11,764 Item 40. Hedging derivatives 4,303 5,699 Item 50. Value adjustment of hedged financial liabilities (+/-) 963 6,065 Tax liabilities 1,216 1,358 Item 60. Tax liabilities 1,216 1,358 Liabilities included in disposal groups classified as held for sale 2,149 761 Item 70. Liabilities associated with assets classified as held for sale 2,149 761 Other liabilities 23,760 23,529 Item 80. Other liabilities 13,300 12,750 item 90. Provision for employee severance pay 516 592 Item 100. Provisions for risks and charges 9,944 10,188 Minorities 465 435 Item 190. Minority shareholders' equity (+/-) 465 435 Group shareholders' equity: 61,628 59,507 - Capital and reserves 60,089 62,292 Item 120. Valuation reserves (4,337) (6,160) Item 140. Equity instruments 6,595 6,841 Item 150. Reserves 31,451 31,167 Item 160. Share premium 5,446 9,386 Item 170. Share capital 21,133 21,060 Item 180. Treasury shares (-) (200) (3) - Net profit (loss) 1,540 (2,785) Item 200. Profit (Loss) of the year (+/-) 1,540 (2,785) Total liabilities and shareholders' equity 916,671 931,456 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 483 Consolidated income statement (€ million) YEAR 2021 2020 Net interest 9,060 9,441 Item 30. Net interest margin 9,091 9,497 less: Reclassification net Interest contribution deriving from Trading Book instruments 6 3 + Derivatives instruments - Economic Hedges - Others - Interest component (38) (59) less: Purchase Price Allocation effect 1 - Dividends and other income from equity investments 520 415 Item 70. Dividend income and similar revenues 351 208 less: Dividends from held for trading equity instruments included in Item 70 (255) (133) less: Dividends on equity investments, shares and equity instruments mandatorily at fair value (59) (43) Item 250. Gains (Losses) of equity investments - of which: Profit (Loss) of equity investments valued at equity 483 383 Net fees and commissions 6,692 5,968 Item 60. Net fees and commissions 6,703 5,957 less: Settlement of specific accruals referred to previous years operations - 22 + Non-recoverable expenses incurred for customers financial transactions taxes (from Item 190 b) (12) (11) Net trading income 1,638 1,412 Item 80. Net gains (losses) on trading 1,472 678 less: Derivatives instruments - Economic Hedges - Others - Interest component 38 59 Item 90. Net gains (losses) on hedge accounting 49 (54) Item 100. Gains (Losses) on disposal and repurchase of: c) financial liabilities 50 6 Item 100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income 141 144 Item 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss (469) 225 + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (from Item 100 a) 20 110 + Dividends from held for trading equity instruments (from Item 70) 255 133 + Dividends on equity investments, shares and equity instruments mandatorily at fair value (from Item 70) 59 43 + Net results from trading of gold and precious metals (from Item 230) 29 70 + Reclassification net Interest contribution deriving from Trading Book instruments (6) (3) Net other expenses/income 45 (104) Item 230. Other operating expenses/income 566 511 less: Integration costs 54 29 less: Recovery of expenses (548) (523) less: Net value adjustments/write-backs on leasehold improvements (on non-separable assets) 57 61 less: Net results from trading of gold, precious stones and metals 12 (62) less: Losses for re-purchase from clients of closed-end-funds shares in Germany - 25 + Settlement of specific accruals referred to previous years operations - (22) + Result of industrial companies (7) (4) + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans (from Item 100 a) 2 (2) + Net value adjustments/write-backs on property, plant and equipment in operating lease assets (from Item 210) (100) (119) + Gains (Losses) on disposals of investments in operating lease assets (from Item 280) 8 2 OPERATING INCOME 17,954 17,132 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 483 Consolidated income statement (€ million) YEAR 2021 2020 Net interest 9,060 9,441 Item 30. Net interest margin 9,091 9,497 less: Reclassification net Interest contribution deriving from Trading Book instruments 6 3 + Derivatives instruments - Economic Hedges - Others - Interest component (38) (59) less: Purchase Price Allocation effect 1 - Dividends and other income from equity investments 520 415 Item 70. Dividend income and similar revenues 351 208 less: Dividends from held for trading equity instruments included in Item 70 (255) (133) less: Dividends on equity investments, shares and equity instruments mandatorily at fair value (59) (43) Item 250. Gains (Losses) of equity investments - of which: Profit (Loss) of equity investments valued at equity 483 383 Net fees and commissions 6,692 5,968 Item 60. Net fees and commissions 6,703 5,957 less: Settlement of specific accruals referred to previous years operations - 22 + Non-recoverable expenses incurred for customers financial transactions taxes (from Item 190 b) (12) (11) Net trading income 1,638 1,412 Item 80. Net gains (losses) on trading 1,472 678 less: Derivatives instruments - Economic Hedges - Others - Interest component 38 59 Item 90. Net gains (losses) on hedge accounting 49 (54) Item 100. Gains (Losses) on disposal and repurchase of: c) financial liabilities 50 6 Item 100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income 141 144 Item 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss (469) 225 + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (from Item 100 a) 20 110 + Dividends from held for trading equity instruments (from Item 70) 255 133 + Dividends on equity investments, shares and equity instruments mandatorily at fair value (from Item 70) 59 43 + Net results from trading of gold and precious metals (from Item 230) 29 70 + Reclassification net Interest contribution deriving from Trading Book instruments (6) (3) Net other expenses/income 45 (104) Item 230. Other operating expenses/income 566 511 less: Integration costs 54 29 less: Recovery of expenses (548) (523) less: Net value adjustments/write-backs on leasehold improvements (on non-separable assets) 57 61 less: Net results from trading of gold, precious stones and metals 12 (62) less: Losses for re-purchase from clients of closed-end-funds shares in Germany - 25 + Settlement of specific accruals referred to previous years operations - (22) + Result of industrial companies (7) (4) + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans (from Item 100 a) 2 (2) + Net value adjustments/write-backs on property, plant and equipment in operating lease assets (from Item 210) (100) (119) + Gains (Losses) on disposals of investments in operating lease assets (from Item 280) 8 2 OPERATING INCOME 17,954 17,132 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 483 Consolidated income statement (€ million) YEAR 2021 2020 Net interest 9,060 9,441 Item 30. Net interest margin 9,091 9,497 less: Reclassification net Interest contribution deriving from Trading Book instruments 6 3 + Derivatives instruments - Economic Hedges - Others - Interest component (38) (59) less: Purchase Price Allocation effect 1 - Dividends and other income from equity investments 520 415 Item 70. Dividend income and similar revenues 351 208 less: Dividends from held for trading equity instruments included in Item 70 (255) (133) less: Dividends on equity investments, shares and equity instruments mandatorily at fair value (59) (43) Item 250. Gains (Losses) of equity investments - of which: Profit (Loss) of equity investments valued at equity 483 383 Net fees and commissions 6,692 5,968 Item 60. Net fees and commissions 6,703 5,957 less: Settlement of specific accruals referred to previous years operations - 22 + Non-recoverable expenses incurred for customers financial transactions taxes (from Item 190 b) (12) (11) Net trading income 1,638 1,412 Item 80. Net gains (losses) on trading 1,472 678 less: Derivatives instruments - Economic Hedges - Others - Interest component 38 59 Item 90. Net gains (losses) on hedge accounting 49 (54) Item 100. Gains (Losses) on disposal and repurchase of: c) financial liabilities 50 6 Item 100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income 141 144 Item 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss (469) 225 + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (from Item 100 a) 20 110 + Dividends from held for trading equity instruments (from Item 70) 255 133 + Dividends on equity investments, shares and equity instruments mandatorily at fair value (from Item 70) 59 43 + Net results from trading of gold and precious metals (from Item 230) 29 70 + Reclassification net Interest contribution deriving from Trading Book instruments (6) (3) Net other expenses/income 45 (104) Item 230. Other operating expenses/income 566 511 less: Integration costs 54 29 less: Recovery of expenses (548) (523) less: Net value adjustments/write-backs on leasehold improvements (on non-separable assets) 57 61 less: Net results from trading of gold, precious stones and metals 12 (62) less: Losses for re-purchase from clients of closed-end-funds shares in Germany - 25 + Settlement of specific accruals referred to previous years operations - (22) + Result of industrial companies (7) (4) + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans (from Item 100 a) 2 (2) + Net value adjustments/write-backs on property, plant and equipment in operating lease assets (from Item 210) (100) (119) + Gains (Losses) on disposals of investments in operating lease assets (from Item 280) 8 2 OPERATING INCOME 17,954 17,132 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 483 Consolidated income statement (€ million) YEAR 2021 2020 Net interest 9,060 9,441 Item 30. Net interest margin 9,091 9,497 less: Reclassification net Interest contribution deriving from Trading Book instruments 6 3 + Derivatives instruments - Economic Hedges - Others - Interest component (38) (59) less: Purchase Price Allocation effect 1 - Dividends and other income from equity investments 520 415 Item 70. Dividend income and similar revenues 351 208 less: Dividends from held for trading equity instruments included in Item 70 (255) (133) less: Dividends on equity investments, shares and equity instruments mandatorily at fair value (59) (43) Item 250. Gains (Losses) of equity investments - of which: Profit (Loss) of equity investments valued at equity 483 383 Net fees and commissions 6,692 5,968 Item 60. Net fees and commissions 6,703 5,957 less: Settlement of specific accruals referred to previous years operations - 22 + Non-recoverable expenses incurred for customers financial transactions taxes (from Item 190 b) (12) (11) Net trading income 1,638 1,412 Item 80. Net gains (losses) on trading 1,472 678 less: Derivatives instruments - Economic Hedges - Others - Interest component 38 59 Item 90. Net gains (losses) on hedge accounting 49 (54) Item 100. Gains (Losses) on disposal and repurchase of: c) financial liabilities 50 6 Item 100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income 141 144 Item 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss (469) 225 + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (from Item 100 a) 20 110 + Dividends from held for trading equity instruments (from Item 70) 255 133 + Dividends on equity investments, shares and equity instruments mandatorily at fair value (from Item 70) 59 43 + Net results from trading of gold and precious metals (from Item 230) 29 70 + Reclassification net Interest contribution deriving from Trading Book instruments (6) (3) Net other expenses/income 45 (104) Item 230. Other operating expenses/income 566 511 less: Integration costs 54 29 less: Recovery of expenses (548) (523) less: Net value adjustments/write-backs on leasehold improvements (on non-separable assets) 57 61 less: Net results from trading of gold, precious stones and metals 12 (62) less: Losses for re-purchase from clients of closed-end-funds shares in Germany - 25 + Settlement of specific accruals referred to previous years operations - (22) + Result of industrial companies (7) (4) + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans (from Item 100 a) 2 (2) + Net value adjustments/write-backs on property, plant and equipment in operating lease assets (from Item 210) (100) (119) + Gains (Losses) on disposals of investments in operating lease assets (from Item 280) 8 2 OPERATING INCOME 17,954 17,132 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 483 Consolidated income statement (€ million) YEAR 2021 2020 Net interest 9,060 9,441 Item 30. Net interest margin 9,091 9,497 less: Reclassification net Interest contribution deriving from Trading Book instruments 6 3 + Derivatives instruments - Economic Hedges - Others - Interest component (38) (59) less: Purchase Price Allocation effect 1 - Dividends and other income from equity investments 520 415 Item 70. Dividend income and similar revenues 351 208 less: Dividends from held for trading equity instruments included in Item 70 (255) (133) less: Dividends on equity investments, shares and equity instruments mandatorily at fair value (59) (43) Item 250. Gains (Losses) of equity investments - of which: Profit (Loss) of equity investments valued at equity 483 383 Net fees and commissions 6,692 5,968 Item 60. Net fees and commissions 6,703 5,957 less: Settlement of specific accruals referred to previous years operations - 22 + Non-recoverable expenses incurred for customers financial transactions taxes (from Item 190 b) (12) (11) Net trading income 1,638 1,412 Item 80. Net gains (losses) on trading 1,472 678 less: Derivatives instruments - Economic Hedges - Others - Interest component 38 59 Item 90. Net gains (losses) on hedge accounting 49 (54) Item 100. Gains (Losses) on disposal and repurchase of: c) financial liabilities 50 6 Item 100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income 141 144 Item 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss (469) 225 + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (from Item 100 a) 20 110 + Dividends from held for trading equity instruments (from Item 70) 255 133 + Dividends on equity investments, shares and equity instruments mandatorily at fair value (from Item 70) 59 43 + Net results from trading of gold and precious metals (from Item 230) 29 70 + Reclassification net Interest contribution deriving from Trading Book instruments (6) (3) Net other expenses/income 45 (104) Item 230. Other operating expenses/income 566 511 less: Integration costs 54 29 less: Recovery of expenses (548) (523) less: Net value adjustments/write-backs on leasehold improvements (on non-separable assets) 57 61 less: Net results from trading of gold, precious stones and metals 12 (62) less: Losses for re-purchase from clients of closed-end-funds shares in Germany - 25 + Settlement of specific accruals referred to previous years operations - (22) + Result of industrial companies (7) (4) + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans (from Item 100 a) 2 (2) + Net value adjustments/write-backs on property, plant and equipment in operating lease assets (from Item 210) (100) (119) + Gains (Losses) on disposals of investments in operating lease assets (from Item 280) 8 2 OPERATING INCOME 17,954 17,132 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 484 2021 Annual Report and Accounts · UniCredit continued: Consolidated income statement (€ million) YEAR 2021 2020 OPERATING INCOME 17,954 17,132 Payroll costs (6,022) (5,968) Item 190. Administrative expenses: a) staff costs (7,045) (7,388) less: Integration costs 1,023 1,420 Other administrative expenses (3,190) (3,215) Item 190. Administrative expenses: b) other administrative expenses (4,212) (4,091) less: Administrative expenses: b) other administrative expenses of industrial companies 2 3 less: Contributions to the Resolution Funds, Deposit Guarantee Schemes (DGS), Bank Levy and Guarantee fees for DTA 1,036 921 less: Integration costs 30 1 less: Non-recoverable expenses incurred for customers financial transactions taxes 12 11 + Net value adjustments/write-backs on leasehold improvements on non-separable assets (from Item 230) (57) (61) Recovery of expenses 548 523 + Recovery of expenses (from Item 230) 548 523 Amortisation, depreciation and impairment losses on intangible and tangible assets (1,133) (1,137) Item 210. Net value adjustments/write-backs on property, plant and equipment (857) (960) less: Impairment/writebacks of inventories assets (IAS2) obtained from recovery procedures of NPE 17 21 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method 7 116 less: Net value adjustments/write-backs of tangible in operating lease assets 100 119 less: Impairment/write backs of right of use of land and buildings used in the business 5 27 less: Integration costs 80 (7) Item 220. Net value adjustments/write-backs on intangible assets (621) (471) less: Integration costs 136 18 Operating costs (9,797) (9,797) OPERATING PROFIT (LOSS) 8,158 7,335 Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) Item 100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost 53 80 less: Gains (Losses) on disposals/repurchases on loans and receivables - performing loans (2) 2 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (20) (110) Item 130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost (2,167) (4,640) less: Net losses/recoveries on impairment relating to: a) financial assets at amortised cost - debt securities (15) 20 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method 547 - Item 130. Net losses/recoveries on credit impairment relating to: b) Financial assets at fair value through other comprehensive income (18) (16) less: Net losses/recoveries on impairment relating to: b) Financial assets at fair value through other comprehensive income - debt securities 18 16 Item 140. Gains/Losses from contractual changes with no cancellations (5) (20) Item 200. Net provisions for risks and charge: a) commitments and financial guarantees given (26) (330) less: Net provisions for risks and charge - Ex Post Contributions to Deposit Guarantee Schemes (DGS) 1 2 NET OPERATING PROFIT (LOSS) 6,524 2,339 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 484 2021 Annual Report and Accounts · UniCredit continued: Consolidated income statement (€ million) YEAR 2021 2020 OPERATING INCOME 17,954 17,132 Payroll costs (6,022) (5,968) Item 190. Administrative expenses: a) staff costs (7,045) (7,388) less: Integration costs 1,023 1,420 Other administrative expenses (3,190) (3,215) Item 190. Administrative expenses: b) other administrative expenses (4,212) (4,091) less: Administrative expenses: b) other administrative expenses of industrial companies 2 3 less: Contributions to the Resolution Funds, Deposit Guarantee Schemes (DGS), Bank Levy and Guarantee fees for DTA 1,036 921 less: Integration costs 30 1 less: Non-recoverable expenses incurred for customers financial transactions taxes 12 11 + Net value adjustments/write-backs on leasehold improvements on non-separable assets (from Item 230) (57) (61) Recovery of expenses 548 523 + Recovery of expenses (from Item 230) 548 523 Amortisation, depreciation and impairment losses on intangible and tangible assets (1,133) (1,137) Item 210. Net value adjustments/write-backs on property, plant and equipment (857) (960) less: Impairment/writebacks of inventories assets (IAS2) obtained from recovery procedures of NPE 17 21 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method 7 116 less: Net value adjustments/write-backs of tangible in operating lease assets 100 119 less: Impairment/write backs of right of use of land and buildings used in the business 5 27 less: Integration costs 80 (7) Item 220. Net value adjustments/write-backs on intangible assets (621) (471) less: Integration costs 136 18 Operating costs (9,797) (9,797) OPERATING PROFIT (LOSS) 8,158 7,335 Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) Item 100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost 53 80 less: Gains (Losses) on disposals/repurchases on loans and receivables - performing loans (2) 2 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (20) (110) Item 130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost (2,167) (4,640) less: Net losses/recoveries on impairment relating to: a) financial assets at amortised cost - debt securities (15) 20 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method 547 - Item 130. Net losses/recoveries on credit impairment relating to: b) Financial assets at fair value through other comprehensive income (18) (16) less: Net losses/recoveries on impairment relating to: b) Financial assets at fair value through other comprehensive income - debt securities 18 16 Item 140. Gains/Losses from contractual changes with no cancellations (5) (20) Item 200. Net provisions for risks and charge: a) commitments and financial guarantees given (26) (330) less: Net provisions for risks and charge - Ex Post Contributions to Deposit Guarantee Schemes (DGS) 1 2 NET OPERATING PROFIT (LOSS) 6,524 2,339 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 484 2021 Annual Report and Accounts · UniCredit continued: Consolidated income statement (€ million) YEAR 2021 2020 OPERATING INCOME 17,954 17,132 Payroll costs (6,022) (5,968) Item 190. Administrative expenses: a) staff costs (7,045) (7,388) less: Integration costs 1,023 1,420 Other administrative expenses (3,190) (3,215) Item 190. Administrative expenses: b) other administrative expenses (4,212) (4,091) less: Administrative expenses: b) other administrative expenses of industrial companies 2 3 less: Contributions to the Resolution Funds, Deposit Guarantee Schemes (DGS), Bank Levy and Guarantee fees for DTA 1,036 921 less: Integration costs 30 1 less: Non-recoverable expenses incurred for customers financial transactions taxes 12 11 + Net value adjustments/write-backs on leasehold improvements on non-separable assets (from Item 230) (57) (61) Recovery of expenses 548 523 + Recovery of expenses (from Item 230) 548 523 Amortisation, depreciation and impairment losses on intangible and tangible assets (1,133) (1,137) Item 210. Net value adjustments/write-backs on property, plant and equipment (857) (960) less: Impairment/writebacks of inventories assets (IAS2) obtained from recovery procedures of NPE 17 21 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method 7 116 less: Net value adjustments/write-backs of tangible in operating lease assets 100 119 less: Impairment/write backs of right of use of land and buildings used in the business 5 27 less: Integration costs 80 (7) Item 220. Net value adjustments/write-backs on intangible assets (621) (471) less: Integration costs 136 18 Operating costs (9,797) (9,797) OPERATING PROFIT (LOSS) 8,158 7,335 Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) Item 100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost 53 80 less: Gains (Losses) on disposals/repurchases on loans and receivables - performing loans (2) 2 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (20) (110) Item 130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost (2,167) (4,640) less: Net losses/recoveries on impairment relating to: a) financial assets at amortised cost - debt securities (15) 20 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method 547 - Item 130. Net losses/recoveries on credit impairment relating to: b) Financial assets at fair value through other comprehensive income (18) (16) less: Net losses/recoveries on impairment relating to: b) Financial assets at fair value through other comprehensive income - debt securities 18 16 Item 140. Gains/Losses from contractual changes with no cancellations (5) (20) Item 200. Net provisions for risks and charge: a) commitments and financial guarantees given (26) (330) less: Net provisions for risks and charge - Ex Post Contributions to Deposit Guarantee Schemes (DGS) 1 2 NET OPERATING PROFIT (LOSS) 6,524 2,339 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 484 2021 Annual Report and Accounts · UniCredit continued: Consolidated income statement (€ million) YEAR 2021 2020 OPERATING INCOME 17,954 17,132 Payroll costs (6,022) (5,968) Item 190. Administrative expenses: a) staff costs (7,045) (7,388) less: Integration costs 1,023 1,420 Other administrative expenses (3,190) (3,215) Item 190. Administrative expenses: b) other administrative expenses (4,212) (4,091) less: Administrative expenses: b) other administrative expenses of industrial companies 2 3 less: Contributions to the Resolution Funds, Deposit Guarantee Schemes (DGS), Bank Levy and Guarantee fees for DTA 1,036 921 less: Integration costs 30 1 less: Non-recoverable expenses incurred for customers financial transactions taxes 12 11 + Net value adjustments/write-backs on leasehold improvements on non-separable assets (from Item 230) (57) (61) Recovery of expenses 548 523 + Recovery of expenses (from Item 230) 548 523 Amortisation, depreciation and impairment losses on intangible and tangible assets (1,133) (1,137) Item 210. Net value adjustments/write-backs on property, plant and equipment (857) (960) less: Impairment/writebacks of inventories assets (IAS2) obtained from recovery procedures of NPE 17 21 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method 7 116 less: Net value adjustments/write-backs of tangible in operating lease assets 100 119 less: Impairment/write backs of right of use of land and buildings used in the business 5 27 less: Integration costs 80 (7) Item 220. Net value adjustments/write-backs on intangible assets (621) (471) less: Integration costs 136 18 Operating costs (9,797) (9,797) OPERATING PROFIT (LOSS) 8,158 7,335 Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) Item 100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost 53 80 less: Gains (Losses) on disposals/repurchases on loans and receivables - performing loans (2) 2 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (20) (110) Item 130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost (2,167) (4,640) less: Net losses/recoveries on impairment relating to: a) financial assets at amortised cost - debt securities (15) 20 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method 547 - Item 130. Net losses/recoveries on credit impairment relating to: b) Financial assets at fair value through other comprehensive income (18) (16) less: Net losses/recoveries on impairment relating to: b) Financial assets at fair value through other comprehensive income - debt securities 18 16 Item 140. Gains/Losses from contractual changes with no cancellations (5) (20) Item 200. Net provisions for risks and charge: a) commitments and financial guarantees given (26) (330) less: Net provisions for risks and charge - Ex Post Contributions to Deposit Guarantee Schemes (DGS) 1 2 NET OPERATING PROFIT (LOSS) 6,524 2,339 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 484 2021 Annual Report and Accounts · UniCredit continued: Consolidated income statement (€ million) YEAR 2021 2020 OPERATING INCOME 17,954 17,132 Payroll costs (6,022) (5,968) Item 190. Administrative expenses: a) staff costs (7,045) (7,388) less: Integration costs 1,023 1,420 Other administrative expenses (3,190) (3,215) Item 190. Administrative expenses: b) other administrative expenses (4,212) (4,091) less: Administrative expenses: b) other administrative expenses of industrial companies 2 3 less: Contributions to the Resolution Funds, Deposit Guarantee Schemes (DGS), Bank Levy and Guarantee fees for DTA 1,036 921 less: Integration costs 30 1 less: Non-recoverable expenses incurred for customers financial transactions taxes 12 11 + Net value adjustments/write-backs on leasehold improvements on non-separable assets (from Item 230) (57) (61) Recovery of expenses 548 523 + Recovery of expenses (from Item 230) 548 523 Amortisation, depreciation and impairment losses on intangible and tangible assets (1,133) (1,137) Item 210. Net value adjustments/write-backs on property, plant and equipment (857) (960) less: Impairment/writebacks of inventories assets (IAS2) obtained from recovery procedures of NPE 17 21 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method 7 116 less: Net value adjustments/write-backs of tangible in operating lease assets 100 119 less: Impairment/write backs of right of use of land and buildings used in the business 5 27 less: Integration costs 80 (7) Item 220. Net value adjustments/write-backs on intangible assets (621) (471) less: Integration costs 136 18 Operating costs (9,797) (9,797) OPERATING PROFIT (LOSS) 8,158 7,335 Net write-downs on loans and provisions for guarantees and commitments (1,634) (4,996) Item 100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost 53 80 less: Gains (Losses) on disposals/repurchases on loans and receivables - performing loans (2) 2 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (20) (110) Item 130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost (2,167) (4,640) less: Net losses/recoveries on impairment relating to: a) financial assets at amortised cost - debt securities (15) 20 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method 547 - Item 130. Net losses/recoveries on credit impairment relating to: b) Financial assets at fair value through other comprehensive income (18) (16) less: Net losses/recoveries on impairment relating to: b) Financial assets at fair value through other comprehensive income - debt securities 18 16 Item 140. Gains/Losses from contractual changes with no cancellations (5) (20) Item 200. Net provisions for risks and charge: a) commitments and financial guarantees given (26) (330) less: Net provisions for risks and charge - Ex Post Contributions to Deposit Guarantee Schemes (DGS) 1 2 NET OPERATING PROFIT (LOSS) 6,524 2,339 Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 485 continued: Consolidated income statement (€ million) YEAR 2021 2020 NET OPERATING PROFIT (LOSS) 6,524 2,339 Other charges and provisions (1,386) (1,055) Item 200. Net provisions for risks and charges: b) other net provision (351) (158) less: Integration costs 13 4 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method (10) 22 + Contributions to Resolution Funds (SRF), Deposit Guarantee Schemes (DGS), Bank Levy and Guarantee fees for DTA (from Item 190 b) (1,036) (921) + Net provisions for risks and charge - Ex Post Contributions to Deposit Guarantee Schemes (DGS) - (from Item 200) (1) (2) Integration costs (1,337) (1,464) + Payroll costs - Administrative expenses - of which a) staff costs - integration costs (from Item 190) (1,023) (1,420) + Other administrative expenses - Administrative expenses - of which b) other administrative expenses - integration costs (from Item 190) (30) (1) + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on property, plant and equipment - integration costs (from Item 210) (80) 7 + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on intangible assets - integration costs (from Item 220) (136) (18) + Other charges and provisions - Net provisions for risks and charges - integration costs (from Item 200) (13) (4) + Net other expenses/income - Other operating expenses/income - integration costs (from Item 230) (54) (29) Net income from investments (2,565) (1,365) Item 250. Gains (Losses) of equity investments - of which: write-backs/impairment losses and gains/losses on disposal of associates valued at equity excluded IFRS5 (1,869) (1,678) Item 260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (19) 10 Item 280. Gains (Losses) on disposals on investments 11 488 less: Gains (Losses) on disposals on investments in operating lease assets (8) (2) less: Industrial companies 5 1 + Losses for re-purchase from clients of closed-end-funds shares in Germany - (25) + Net losses/recoveries on impairment relating to: of which: a) financial assets at amortised cost - debt securities (from Item 130) 15 (20) + Net losses/recoveries on impairment relating to: of which: b) financial assets at fair value through other comprehensive income - debt securities (from Item 130) (18) (16) + Impairment/writebacks of inventories assets (IAS2) obtained from recovery procedures of NPE (17) (21) + Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method (620) (140) + Net results from trading of precious stones (from Item 230) (41) (8) + Impairment/write backs of right of use of land and buildings used in the business (5) (27) less: Purchase Price Allocation effect - 72 PROFIT (LOSS) BEFORE TAX 1,236 (1,546) Income tax for the period 330 (344) Item 300. Tax expenses (income) of the year from continuing operations 331 (322) less: Purchase Price Allocation effect - (23) NET PROFIT (LOSS) 1,566 (1,890) Profit (Loss) from non-current assets held for sale after tax 4 49 Item 320. Profit (Loss) after tax from discontinued operations 4 49 PROFIT (LOSS) FOR THE PERIOD 1,570 (1,842) Minorities (30) (7) Item 340. Minority profit (loss) of the year (30) (7) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA 1,540 (1,849) Purchase Price Allocation effect (1) (50) Goodwill impairment - (886) Item 270. Goodwill Impairment - (886) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP 1,540 (2,785) Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 485 continued: Consolidated income statement (€ million) YEAR 2021 2020 NET OPERATING PROFIT (LOSS) 6,524 2,339 Other charges and provisions (1,386) (1,055) Item 200. Net provisions for risks and charges: b) other net provision (351) (158) less: Integration costs 13 4 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method (10) 22 + Contributions to Resolution Funds (SRF), Deposit Guarantee Schemes (DGS), Bank Levy and Guarantee fees for DTA (from Item 190 b) (1,036) (921) + Net provisions for risks and charge - Ex Post Contributions to Deposit Guarantee Schemes (DGS) - (from Item 200) (1) (2) Integration costs (1,337) (1,464) + Payroll costs - Administrative expenses - of which a) staff costs - integration costs (from Item 190) (1,023) (1,420) + Other administrative expenses - Administrative expenses - of which b) other administrative expenses - integration costs (from Item 190) (30) (1) + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on property, plant and equipment - integration costs (from Item 210) (80) 7 + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on intangible assets - integration costs (from Item 220) (136) (18) + Other charges and provisions - Net provisions for risks and charges - integration costs (from Item 200) (13) (4) + Net other expenses/income - Other operating expenses/income - integration costs (from Item 230) (54) (29) Net income from investments (2,565) (1,365) Item 250. Gains (Losses) of equity investments - of which: write-backs/impairment losses and gains/losses on disposal of associates valued at equity excluded IFRS5 (1,869) (1,678) Item 260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (19) 10 Item 280. Gains (Losses) on disposals on investments 11 488 less: Gains (Losses) on disposals on investments in operating lease assets (8) (2) less: Industrial companies 5 1 + Losses for re-purchase from clients of closed-end-funds shares in Germany - (25) + Net losses/recoveries on impairment relating to: of which: a) financial assets at amortised cost - debt securities (from Item 130) 15 (20) + Net losses/recoveries on impairment relating to: of which: b) financial assets at fair value through other comprehensive income - debt securities (from Item 130) (18) (16) + Impairment/writebacks of inventories assets (IAS2) obtained from recovery procedures of NPE (17) (21) + Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method (620) (140) + Net results from trading of precious stones (from Item 230) (41) (8) + Impairment/write backs of right of use of land and buildings used in the business (5) (27) less: Purchase Price Allocation effect - 72 PROFIT (LOSS) BEFORE TAX 1,236 (1,546) Income tax for the period 330 (344) Item 300. Tax expenses (income) of the year from continuing operations 331 (322) less: Purchase Price Allocation effect - (23) NET PROFIT (LOSS) 1,566 (1,890) Profit (Loss) from non-current assets held for sale after tax 4 49 Item 320. Profit (Loss) after tax from discontinued operations 4 49 PROFIT (LOSS) FOR THE PERIOD 1,570 (1,842) Minorities (30) (7) Item 340. Minority profit (loss) of the year (30) (7) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA 1,540 (1,849) Purchase Price Allocation effect (1) (50) Goodwill impairment - (886) Item 270. Goodwill Impairment - (886) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP 1,540 (2,785) Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 485 continued: Consolidated income statement (€ million) YEAR 2021 2020 NET OPERATING PROFIT (LOSS) 6,524 2,339 Other charges and provisions (1,386) (1,055) Item 200. Net provisions for risks and charges: b) other net provision (351) (158) less: Integration costs 13 4 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method (10) 22 + Contributions to Resolution Funds (SRF), Deposit Guarantee Schemes (DGS), Bank Levy and Guarantee fees for DTA (from Item 190 b) (1,036) (921) + Net provisions for risks and charge - Ex Post Contributions to Deposit Guarantee Schemes (DGS) - (from Item 200) (1) (2) Integration costs (1,337) (1,464) + Payroll costs - Administrative expenses - of which a) staff costs - integration costs (from Item 190) (1,023) (1,420) + Other administrative expenses - Administrative expenses - of which b) other administrative expenses - integration costs (from Item 190) (30) (1) + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on property, plant and equipment - integration costs (from Item 210) (80) 7 + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on intangible assets - integration costs (from Item 220) (136) (18) + Other charges and provisions - Net provisions for risks and charges - integration costs (from Item 200) (13) (4) + Net other expenses/income - Other operating expenses/income - integration costs (from Item 230) (54) (29) Net income from investments (2,565) (1,365) Item 250. Gains (Losses) of equity investments - of which: write-backs/impairment losses and gains/losses on disposal of associates valued at equity excluded IFRS5 (1,869) (1,678) Item 260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (19) 10 Item 280. Gains (Losses) on disposals on investments 11 488 less: Gains (Losses) on disposals on investments in operating lease assets (8) (2) less: Industrial companies 5 1 + Losses for re-purchase from clients of closed-end-funds shares in Germany - (25) + Net losses/recoveries on impairment relating to: of which: a) financial assets at amortised cost - debt securities (from Item 130) 15 (20) + Net losses/recoveries on impairment relating to: of which: b) financial assets at fair value through other comprehensive income - debt securities (from Item 130) (18) (16) + Impairment/writebacks of inventories assets (IAS2) obtained from recovery procedures of NPE (17) (21) + Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method (620) (140) + Net results from trading of precious stones (from Item 230) (41) (8) + Impairment/write backs of right of use of land and buildings used in the business (5) (27) less: Purchase Price Allocation effect - 72 PROFIT (LOSS) BEFORE TAX 1,236 (1,546) Income tax for the period 330 (344) Item 300. Tax expenses (income) of the year from continuing operations 331 (322) less: Purchase Price Allocation effect - (23) NET PROFIT (LOSS) 1,566 (1,890) Profit (Loss) from non-current assets held for sale after tax 4 49 Item 320. Profit (Loss) after tax from discontinued operations 4 49 PROFIT (LOSS) FOR THE PERIOD 1,570 (1,842) Minorities (30) (7) Item 340. Minority profit (loss) of the year (30) (7) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA 1,540 (1,849) Purchase Price Allocation effect (1) (50) Goodwill impairment - (886) Item 270. Goodwill Impairment - (886) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP 1,540 (2,785) Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 485 continued: Consolidated income statement (€ million) YEAR 2021 2020 NET OPERATING PROFIT (LOSS) 6,524 2,339 Other charges and provisions (1,386) (1,055) Item 200. Net provisions for risks and charges: b) other net provision (351) (158) less: Integration costs 13 4 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method (10) 22 + Contributions to Resolution Funds (SRF), Deposit Guarantee Schemes (DGS), Bank Levy and Guarantee fees for DTA (from Item 190 b) (1,036) (921) + Net provisions for risks and charge - Ex Post Contributions to Deposit Guarantee Schemes (DGS) - (from Item 200) (1) (2) Integration costs (1,337) (1,464) + Payroll costs - Administrative expenses - of which a) staff costs - integration costs (from Item 190) (1,023) (1,420) + Other administrative expenses - Administrative expenses - of which b) other administrative expenses - integration costs (from Item 190) (30) (1) + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on property, plant and equipment - integration costs (from Item 210) (80) 7 + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on intangible assets - integration costs (from Item 220) (136) (18) + Other charges and provisions - Net provisions for risks and charges - integration costs (from Item 200) (13) (4) + Net other expenses/income - Other operating expenses/income - integration costs (from Item 230) (54) (29) Net income from investments (2,565) (1,365) Item 250. Gains (Losses) of equity investments - of which: write-backs/impairment losses and gains/losses on disposal of associates valued at equity excluded IFRS5 (1,869) (1,678) Item 260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (19) 10 Item 280. Gains (Losses) on disposals on investments 11 488 less: Gains (Losses) on disposals on investments in operating lease assets (8) (2) less: Industrial companies 5 1 + Losses for re-purchase from clients of closed-end-funds shares in Germany - (25) + Net losses/recoveries on impairment relating to: of which: a) financial assets at amortised cost - debt securities (from Item 130) 15 (20) + Net losses/recoveries on impairment relating to: of which: b) financial assets at fair value through other comprehensive income - debt securities (from Item 130) (18) (16) + Impairment/writebacks of inventories assets (IAS2) obtained from recovery procedures of NPE (17) (21) + Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method (620) (140) + Net results from trading of precious stones (from Item 230) (41) (8) + Impairment/write backs of right of use of land and buildings used in the business (5) (27) less: Purchase Price Allocation effect - 72 PROFIT (LOSS) BEFORE TAX 1,236 (1,546) Income tax for the period 330 (344) Item 300. Tax expenses (income) of the year from continuing operations 331 (322) less: Purchase Price Allocation effect - (23) NET PROFIT (LOSS) 1,566 (1,890) Profit (Loss) from non-current assets held for sale after tax 4 49 Item 320. Profit (Loss) after tax from discontinued operations 4 49 PROFIT (LOSS) FOR THE PERIOD 1,570 (1,842) Minorities (30) (7) Item 340. Minority profit (loss) of the year (30) (7) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA 1,540 (1,849) Purchase Price Allocation effect (1) (50) Goodwill impairment - (886) Item 270. Goodwill Impairment - (886) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP 1,540 (2,785) Consolidated financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 485 continued: Consolidated income statement (€ million) YEAR 2021 2020 NET OPERATING PROFIT (LOSS) 6,524 2,339 Other charges and provisions (1,386) (1,055) Item 200. Net provisions for risks and charges: b) other net provision (351) (158) less: Integration costs 13 4 less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method (10) 22 + Contributions to Resolution Funds (SRF), Deposit Guarantee Schemes (DGS), Bank Levy and Guarantee fees for DTA (from Item 190 b) (1,036) (921) + Net provisions for risks and charge - Ex Post Contributions to Deposit Guarantee Schemes (DGS) - (from Item 200) (1) (2) Integration costs (1,337) (1,464) + Payroll costs - Administrative expenses - of which a) staff costs - integration costs (from Item 190) (1,023) (1,420) + Other administrative expenses - Administrative expenses - of which b) other administrative expenses - integration costs (from Item 190) (30) (1) + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on property, plant and equipment - integration costs (from Item 210) (80) 7 + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on intangible assets - integration costs (from Item 220) (136) (18) + Other charges and provisions - Net provisions for risks and charges - integration costs (from Item 200) (13) (4) + Net other expenses/income - Other operating expenses/income - integration costs (from Item 230) (54) (29) Net income from investments (2,565) (1,365) Item 250. Gains (Losses) of equity investments - of which: write-backs/impairment losses and gains/losses on disposal of associates valued at equity excluded IFRS5 (1,869) (1,678) Item 260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (19) 10 Item 280. Gains (Losses) on disposals on investments 11 488 less: Gains (Losses) on disposals on investments in operating lease assets (8) (2) less: Industrial companies 5 1 + Losses for re-purchase from clients of closed-end-funds shares in Germany - (25) + Net losses/recoveries on impairment relating to: of which: a) financial assets at amortised cost - debt securities (from Item 130) 15 (20) + Net losses/recoveries on impairment relating to: of which: b) financial assets at fair value through other comprehensive income - debt securities (from Item 130) (18) (16) + Impairment/writebacks of inventories assets (IAS2) obtained from recovery procedures of NPE (17) (21) + Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method (620) (140) + Net results from trading of precious stones (from Item 230) (41) (8) + Impairment/write backs of right of use of land and buildings used in the business (5) (27) less: Purchase Price Allocation effect - 72 PROFIT (LOSS) BEFORE TAX 1,236 (1,546) Income tax for the period 330 (344) Item 300. Tax expenses (income) of the year from continuing operations 331 (322) less: Purchase Price Allocation effect - (23) NET PROFIT (LOSS) 1,566 (1,890) Profit (Loss) from non-current assets held for sale after tax 4 49 Item 320. Profit (Loss) after tax from discontinued operations 4 49 PROFIT (LOSS) FOR THE PERIOD 1,570 (1,842) Minorities (30) (7) Item 340. Minority profit (loss) of the year (30) (7) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA 1,540 (1,849) Purchase Price Allocation effect (1) (50) Goodwill impairment - (886) Item 270. Goodwill Impairment - (886) NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP 1,540 (2,785) Consolidated financial statements | Annexes Annex 2 - Audit fees and other non-audit services 486 2021 Annual Report and Accounts · UniCredit UniCredit group 2021 - Deloitte Network As prescribed by Art.149-duodecies of the Consob Issuers Regulation, the following table gives fees paid in 2021 for services rendered by Deloitte & Touche S.p.A. and firms in its network. (€ million) SERVICE TYPE SERVICE PROVIDER USER FEES(*) Audit(**) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 3.4 Deloitte & Touche S.p.A. Subsidiaries 1.2 Deloitte Network Subsidiaries 15.3 Attestation services(***) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 3.2 Deloitte & Touche S.p.A. Subsidiaries 0.2 Deloitte Network Parent company - UniCredit S.p.A. 0.1 Deloitte Network Subsidiaries 3.6 Other services(****) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 0.6 Deloitte & Touche S.p.A. Subsidiaries 0.1 Deloitte Network Parent company - UniCredit S.p.A. 0.4 Deloitte Network Subsidiaries 5.3 Total 33.4 Notes: (*) Excl. VAT and expenses. (**) Does not include fees for audits of investment funds. (***) Mainly verification services provided to UniCredit S.p.A. (e.g Limited review on 2021 non financial information, Limited review on 1Q 2021 and 3Q 2021 Company and Consolidated Reports, Comfort Letter for the inclusion of year-end net profit in Common Equity Tier 1 Capital, ISAE 3000 Revised Mifid II, ISAE 3000 Revised TLTRO III, Issuing Comfort Letters concerning bond issues), other verification services required by regulations/local Supervisory Authorities in Germany, Austria and other Central and Eastern Europe Countries. (****) Mainly other services provided to UniCredit S.p.A. (e.g. AUP on Own Funds, Accounting due diligence, support to Projects "Cash Management initiative in Banking sector" and "Mobile Leadership Evolution prosecution"); services provided to the subsidiary UniCredit Services S.C.p.A.; support provided to the subsidiary UniCredit Bank AG and other subsidiaries of the Group. Annex 2 - Audit fees and other non-audit services Consolidated financial statements | Annexes Annex 2 - Audit fees and other non-audit services 486 2021 Annual Report and Accounts · UniCredit UniCredit group 2021 - Deloitte Network As prescribed by Art.149-duodecies of the Consob Issuers Regulation, the following table gives fees paid in 2021 for services rendered by Deloitte & Touche S.p.A. and firms in its network. (€ million) SERVICE TYPE SERVICE PROVIDER USER FEES(*) Audit(**) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 3.4 Deloitte & Touche S.p.A. Subsidiaries 1.2 Deloitte Network Subsidiaries 15.3 Attestation services(***) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 3.2 Deloitte & Touche S.p.A. Subsidiaries 0.2 Deloitte Network Parent company - UniCredit S.p.A. 0.1 Deloitte Network Subsidiaries 3.6 Other services(****) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 0.6 Deloitte & Touche S.p.A. Subsidiaries 0.1 Deloitte Network Parent company - UniCredit S.p.A. 0.4 Deloitte Network Subsidiaries 5.3 Total 33.4 Notes: (*) Excl. VAT and expenses. (**) Does not include fees for audits of investment funds. (***) Mainly verification services provided to UniCredit S.p.A. (e.g Limited review on 2021 non financial information, Limited review on 1Q 2021 and 3Q 2021 Company and Consolidated Reports, Comfort Letter for the inclusion of year-end net profit in Common Equity Tier 1 Capital, ISAE 3000 Revised Mifid II, ISAE 3000 Revised TLTRO III, Issuing Comfort Letters concerning bond issues), other verification services required by regulations/local Supervisory Authorities in Germany, Austria and other Central and Eastern Europe Countries. (****) Mainly other services provided to UniCredit S.p.A. (e.g. AUP on Own Funds, Accounting due diligence, support to Projects "Cash Management initiative in Banking sector" and "Mobile Leadership Evolution prosecution"); services provided to the subsidiary UniCredit Services S.C.p.A.; support provided to the subsidiary UniCredit Bank AG and other subsidiaries of the Group. Annex 2 - Audit fees and other non-audit services Consolidated financial statements | Annexes Annex 2 - Audit fees and other non-audit services 486 2021 Annual Report and Accounts · UniCredit UniCredit group 2021 - Deloitte Network As prescribed by Art.149-duodecies of the Consob Issuers Regulation, the following table gives fees paid in 2021 for services rendered by Deloitte & Touche S.p.A. and firms in its network. (€ million) SERVICE TYPE SERVICE PROVIDER USER FEES(*) Audit(**) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 3.4 Deloitte & Touche S.p.A. Subsidiaries 1.2 Deloitte Network Subsidiaries 15.3 Attestation services(***) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 3.2 Deloitte & Touche S.p.A. Subsidiaries 0.2 Deloitte Network Parent company - UniCredit S.p.A. 0.1 Deloitte Network Subsidiaries 3.6 Other services(****) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 0.6 Deloitte & Touche S.p.A. Subsidiaries 0.1 Deloitte Network Parent company - UniCredit S.p.A. 0.4 Deloitte Network Subsidiaries 5.3 Total 33.4 Notes: (*) Excl. VAT and expenses. (**) Does not include fees for audits of investment funds. (***) Mainly verification services provided to UniCredit S.p.A. (e.g Limited review on 2021 non financial information, Limited review on 1Q 2021 and 3Q 2021 Company and Consolidated Reports, Comfort Letter for the inclusion of year-end net profit in Common Equity Tier 1 Capital, ISAE 3000 Revised Mifid II, ISAE 3000 Revised TLTRO III, Issuing Comfort Letters concerning bond issues), other verification services required by regulations/local Supervisory Authorities in Germany, Austria and other Central and Eastern Europe Countries. (****) Mainly other services provided to UniCredit S.p.A. (e.g. AUP on Own Funds, Accounting due diligence, support to Projects "Cash Management initiative in Banking sector" and "Mobile Leadership Evolution prosecution"); services provided to the subsidiary UniCredit Services S.C.p.A.; support provided to the subsidiary UniCredit Bank AG and other subsidiaries of the Group. Annex 2 - Audit fees and other non-audit services Consolidated financial statements | Annexes Annex 2 - Audit fees and other non-audit services 486 2021 Annual Report and Accounts · UniCredit UniCredit group 2021 - Deloitte Network As prescribed by Art.149-duodecies of the Consob Issuers Regulation, the following table gives fees paid in 2021 for services rendered by Deloitte & Touche S.p.A. and firms in its network. (€ million) SERVICE TYPE SERVICE PROVIDER USER FEES(*) Audit(**) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 3.4 Deloitte & Touche S.p.A. Subsidiaries 1.2 Deloitte Network Subsidiaries 15.3 Attestation services(***) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 3.2 Deloitte & Touche S.p.A. Subsidiaries 0.2 Deloitte Network Parent company - UniCredit S.p.A. 0.1 Deloitte Network Subsidiaries 3.6 Other services(****) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 0.6 Deloitte & Touche S.p.A. Subsidiaries 0.1 Deloitte Network Parent company - UniCredit S.p.A. 0.4 Deloitte Network Subsidiaries 5.3 Total 33.4 Notes: (*) Excl. VAT and expenses. (**) Does not include fees for audits of investment funds. (***) Mainly verification services provided to UniCredit S.p.A. (e.g Limited review on 2021 non financial information, Limited review on 1Q 2021 and 3Q 2021 Company and Consolidated Reports, Comfort Letter for the inclusion of year-end net profit in Common Equity Tier 1 Capital, ISAE 3000 Revised Mifid II, ISAE 3000 Revised TLTRO III, Issuing Comfort Letters concerning bond issues), other verification services required by regulations/local Supervisory Authorities in Germany, Austria and other Central and Eastern Europe Countries. (****) Mainly other services provided to UniCredit S.p.A. (e.g. AUP on Own Funds, Accounting due diligence, support to Projects "Cash Management initiative in Banking sector" and "Mobile Leadership Evolution prosecution"); services provided to the subsidiary UniCredit Services S.C.p.A.; support provided to the subsidiary UniCredit Bank AG and other subsidiaries of the Group. Annex 2 - Audit fees and other non-audit services Consolidated financial statements | Annexes Annex 2 - Audit fees and other non-audit services 486 2021 Annual Report and Accounts · UniCredit UniCredit group 2021 - Deloitte Network As prescribed by Art.149-duodecies of the Consob Issuers Regulation, the following table gives fees paid in 2021 for services rendered by Deloitte & Touche S.p.A. and firms in its network. (€ million) SERVICE TYPE SERVICE PROVIDER USER FEES(*) Audit(**) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 3.4 Deloitte & Touche S.p.A. Subsidiaries 1.2 Deloitte Network Subsidiaries 15.3 Attestation services(***) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 3.2 Deloitte & Touche S.p.A. Subsidiaries 0.2 Deloitte Network Parent company - UniCredit S.p.A. 0.1 Deloitte Network Subsidiaries 3.6 Other services(****) Deloitte & Touche S.p.A. Parent company - UniCredit S.p.A. 0.6 Deloitte & Touche S.p.A. Subsidiaries 0.1 Deloitte Network Parent company - UniCredit S.p.A. 0.4 Deloitte Network Subsidiaries 5.3 Total 33.4 Notes: (*) Excl. VAT and expenses. (**) Does not include fees for audits of investment funds. (***) Mainly verification services provided to UniCredit S.p.A. (e.g Limited review on 2021 non financial information, Limited review on 1Q 2021 and 3Q 2021 Company and Consolidated Reports, Comfort Letter for the inclusion of year-end net profit in Common Equity Tier 1 Capital, ISAE 3000 Revised Mifid II, ISAE 3000 Revised TLTRO III, Issuing Comfort Letters concerning bond issues), other verification services required by regulations/local Supervisory Authorities in Germany, Austria and other Central and Eastern Europe Countries. (****) Mainly other services provided to UniCredit S.p.A. (e.g. AUP on Own Funds, Accounting due diligence, support to Projects "Cash Management initiative in Banking sector" and "Mobile Leadership Evolution prosecution"); services provided to the subsidiary UniCredit Services S.C.p.A.; support provided to the subsidiary UniCredit Bank AG and other subsidiaries of the Group. Annex 2 - Audit fees and other non-audit services Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 487 Annex 3 - Securitisations - qualitative tables ORIGINATOR: UniCredit S.p.A. Traditional securitisations of Performing and Non-Performing loans STRATEGIES, PROCESSES AND GOALS: The initiatives are a part of the Group's strategies, one of the objectives of which is to finance, at competitive rates (and in large amounts), the development of medium and long-term through the disposal of existing "Performing" and "Non-Performing" loan portfolios and also creating eligible securities for refinancing operations with the ECB and/or with third parties (counterbalancing capacity). The main advantages of the transactions can be summarised as follows: - improvement in the matching of asset maturities; - diversification of sources of financing; - broadening of investor base and resulting optimisation of funding cost; - creating counterbalancing capacity. Moreover, securitisation transactions can also be implemented for purposes related to business projects (for better management of assets), corporate restructuring or deleveraging projects. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: UniCredit S.p.A. acts as "Servicer" for almost all transactions concerned for which is Originator. As per the agreements entered into with issuing companies (special purpose vehicles - SPV), servicing consists of performing, on behalf of these companies, administrative, collection and securitised loan collection activities as well as the management of any recovery procedures for impaired loans. Thus, as Servicer, UniCredit S.p.A. is charged with continually tracking cash flows from securitised loans and constantly monitoring their collection, with the assistance of third party companies (especially for the recovery of impaired loans; the company involved is DoValue S.p.A., which operates as an assistant to the Servicer, governed by a special agreement). The Servicer provides the Special Purpose Vehicle (and other counterparties indicated in the servicing agreements) information on the activity performed by, periodically reports that indicate, among other things, the collection and transfer of the income stream sold, the amount of default positions and recoveries completed, overdue installments, etc., with all information broken down in relation to specific transactions. These reports (which are usually quarterly) are periodically checked (if contractually required) by an auditing firm. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: From a strategic point of view, Finance Italy is responsible for central coordination. In this context, the above structure plays: a) in the launch phase of the operation the role of proposer and provides support to the other Bank’s Divisions and to the individual Legal Entities in conducting transactions, cooperating with all the other departments (Planning & Control Italy, Group Risk Management, Strategy and M&A ecc) in identifying the characteristics and the distinctive features of "true sale" securitisations loans in order to achieve the targets set in the Group’s Funding Plan and in the Contingency Funding Plan, approved by the Board of Directors, in the ordinary plan of creating counterbalancing capacity, as well as in organisational strategy and business of Top Management. Specific transactions are subject to prior approval by the competent departments of the Holding and of the Originator Bank (during approval, among other things, the structure, costs and impacts in terms of liquidity, counterbalancing capacity, organisational, business and/or any capital relief are discussed and analysed), and to final approval by the Board of Directors of the Originator Bank; b) in the management phase of the operation, the monitoring role of the securitised portfolios performances and any rating action published by Ratings Agencies, the interactions with the Ratings Agencies in order to submit regular information on portfolios and, more generally, the role of coordination of the Originator Bank to facilitate the solution of events relating to the securitised portfolios (management of actions of payments holidays, downgrading, restructurings, etc.). The Bank has established a special coordination unit (General Ledger & Securitisation Reporting) within the Accounting Italy Department. This unit has been tasked with administrative activities connected to the Servicer and Account Bank related-duties, and to carry out these duties, it works in close cooperation with specific, qualified areas of the Bank (Group Risk Management, Finance Italy , ecc.) and the Group (UniCredit Services S.C.p.A., etc.). It also provides a technical and operational support to network units. The information regarding the monitoring of collections and the performance of the securitised portfolio is periodically submitted to the Servicer's Board of Directors. HEDGING POLICIES: By agreement, securitised portfolios can be protected from interest rate risk by means of the Special Purpose Vehicle entering into Interest Rate Swap (IRS) agreements to hedge a fixed-rate portfolio, and Basis Swaps to hedge an indexed rate portfolio. In connection with these swaps, always if required by agreements, related back-to-back swap contracts are entered into between the Swap counterparty and UniCredit S.p.A. as Originator, interfaced in some cases by UniCredit Bank AG. OPERATING RESULTS: At the end of December 2021, the operating results related to existing securitisation transactions essentially reflected the performance of underlying portfolios and the resulting cash flows, and obviously are affected by the amount of defaults and prepayments during the period, which, moreover, are in line with the performance seen in other assets of this kind that are not securitised. The exercise of the option to repurchase the securitized portfolios underlying operations "Heliconus" and "Bipca Cordusio RMBS" did not result in significant additional economic impacts. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 487 Annex 3 - Securitisations - qualitative tables ORIGINATOR: UniCredit S.p.A. Traditional securitisations of Performing and Non-Performing loans STRATEGIES, PROCESSES AND GOALS: The initiatives are a part of the Group's strategies, one of the objectives of which is to finance, at competitive rates (and in large amounts), the development of medium and long-term through the disposal of existing "Performing" and "Non-Performing" loan portfolios and also creating eligible securities for refinancing operations with the ECB and/or with third parties (counterbalancing capacity). The main advantages of the transactions can be summarised as follows: - improvement in the matching of asset maturities; - diversification of sources of financing; - broadening of investor base and resulting optimisation of funding cost; - creating counterbalancing capacity. Moreover, securitisation transactions can also be implemented for purposes related to business projects (for better management of assets), corporate restructuring or deleveraging projects. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: UniCredit S.p.A. acts as "Servicer" for almost all transactions concerned for which is Originator. As per the agreements entered into with issuing companies (special purpose vehicles - SPV), servicing consists of performing, on behalf of these companies, administrative, collection and securitised loan collection activities as well as the management of any recovery procedures for impaired loans. Thus, as Servicer, UniCredit S.p.A. is charged with continually tracking cash flows from securitised loans and constantly monitoring their collection, with the assistance of third party companies (especially for the recovery of impaired loans; the company involved is DoValue S.p.A., which operates as an assistant to the Servicer, governed by a special agreement). The Servicer provides the Special Purpose Vehicle (and other counterparties indicated in the servicing agreements) information on the activity performed by, periodically reports that indicate, among other things, the collection and transfer of the income stream sold, the amount of default positions and recoveries completed, overdue installments, etc., with all information broken down in relation to specific transactions. These reports (which are usually quarterly) are periodically checked (if contractually required) by an auditing firm. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: From a strategic point of view, Finance Italy is responsible for central coordination. In this context, the above structure plays: a) in the launch phase of the operation the role of proposer and provides support to the other Bank’s Divisions and to the individual Legal Entities in conducting transactions, cooperating with all the other departments (Planning & Control Italy, Group Risk Management, Strategy and M&A ecc) in identifying the characteristics and the distinctive features of "true sale" securitisations loans in order to achieve the targets set in the Group’s Funding Plan and in the Contingency Funding Plan, approved by the Board of Directors, in the ordinary plan of creating counterbalancing capacity, as well as in organisational strategy and business of Top Management. Specific transactions are subject to prior approval by the competent departments of the Holding and of the Originator Bank (during approval, among other things, the structure, costs and impacts in terms of liquidity, counterbalancing capacity, organisational, business and/or any capital relief are discussed and analysed), and to final approval by the Board of Directors of the Originator Bank; b) in the management phase of the operation, the monitoring role of the securitised portfolios performances and any rating action published by Ratings Agencies, the interactions with the Ratings Agencies in order to submit regular information on portfolios and, more generally, the role of coordination of the Originator Bank to facilitate the solution of events relating to the securitised portfolios (management of actions of payments holidays, downgrading, restructurings, etc.). The Bank has established a special coordination unit (General Ledger & Securitisation Reporting) within the Accounting Italy Department. This unit has been tasked with administrative activities connected to the Servicer and Account Bank related-duties, and to carry out these duties, it works in close cooperation with specific, qualified areas of the Bank (Group Risk Management, Finance Italy , ecc.) and the Group (UniCredit Services S.C.p.A., etc.). It also provides a technical and operational support to network units. The information regarding the monitoring of collections and the performance of the securitised portfolio is periodically submitted to the Servicer's Board of Directors. HEDGING POLICIES: By agreement, securitised portfolios can be protected from interest rate risk by means of the Special Purpose Vehicle entering into Interest Rate Swap (IRS) agreements to hedge a fixed-rate portfolio, and Basis Swaps to hedge an indexed rate portfolio. In connection with these swaps, always if required by agreements, related back-to-back swap contracts are entered into between the Swap counterparty and UniCredit S.p.A. as Originator, interfaced in some cases by UniCredit Bank AG. OPERATING RESULTS: At the end of December 2021, the operating results related to existing securitisation transactions essentially reflected the performance of underlying portfolios and the resulting cash flows, and obviously are affected by the amount of defaults and prepayments during the period, which, moreover, are in line with the performance seen in other assets of this kind that are not securitised. The exercise of the option to repurchase the securitized portfolios underlying operations "Heliconus" and "Bipca Cordusio RMBS" did not result in significant additional economic impacts. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 487 Annex 3 - Securitisations - qualitative tables ORIGINATOR: UniCredit S.p.A. Traditional securitisations of Performing and Non-Performing loans STRATEGIES, PROCESSES AND GOALS: The initiatives are a part of the Group's strategies, one of the objectives of which is to finance, at competitive rates (and in large amounts), the development of medium and long-term through the disposal of existing "Performing" and "Non-Performing" loan portfolios and also creating eligible securities for refinancing operations with the ECB and/or with third parties (counterbalancing capacity). The main advantages of the transactions can be summarised as follows: - improvement in the matching of asset maturities; - diversification of sources of financing; - broadening of investor base and resulting optimisation of funding cost; - creating counterbalancing capacity. Moreover, securitisation transactions can also be implemented for purposes related to business projects (for better management of assets), corporate restructuring or deleveraging projects. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: UniCredit S.p.A. acts as "Servicer" for almost all transactions concerned for which is Originator. As per the agreements entered into with issuing companies (special purpose vehicles - SPV), servicing consists of performing, on behalf of these companies, administrative, collection and securitised loan collection activities as well as the management of any recovery procedures for impaired loans. Thus, as Servicer, UniCredit S.p.A. is charged with continually tracking cash flows from securitised loans and constantly monitoring their collection, with the assistance of third party companies (especially for the recovery of impaired loans; the company involved is DoValue S.p.A., which operates as an assistant to the Servicer, governed by a special agreement). The Servicer provides the Special Purpose Vehicle (and other counterparties indicated in the servicing agreements) information on the activity performed by, periodically reports that indicate, among other things, the collection and transfer of the income stream sold, the amount of default positions and recoveries completed, overdue installments, etc., with all information broken down in relation to specific transactions. These reports (which are usually quarterly) are periodically checked (if contractually required) by an auditing firm. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: From a strategic point of view, Finance Italy is responsible for central coordination. In this context, the above structure plays: a) in the launch phase of the operation the role of proposer and provides support to the other Bank’s Divisions and to the individual Legal Entities in conducting transactions, cooperating with all the other departments (Planning & Control Italy, Group Risk Management, Strategy and M&A ecc) in identifying the characteristics and the distinctive features of "true sale" securitisations loans in order to achieve the targets set in the Group’s Funding Plan and in the Contingency Funding Plan, approved by the Board of Directors, in the ordinary plan of creating counterbalancing capacity, as well as in organisational strategy and business of Top Management. Specific transactions are subject to prior approval by the competent departments of the Holding and of the Originator Bank (during approval, among other things, the structure, costs and impacts in terms of liquidity, counterbalancing capacity, organisational, business and/or any capital relief are discussed and analysed), and to final approval by the Board of Directors of the Originator Bank; b) in the management phase of the operation, the monitoring role of the securitised portfolios performances and any rating action published by Ratings Agencies, the interactions with the Ratings Agencies in order to submit regular information on portfolios and, more generally, the role of coordination of the Originator Bank to facilitate the solution of events relating to the securitised portfolios (management of actions of payments holidays, downgrading, restructurings, etc.). The Bank has established a special coordination unit (General Ledger & Securitisation Reporting) within the Accounting Italy Department. This unit has been tasked with administrative activities connected to the Servicer and Account Bank related-duties, and to carry out these duties, it works in close cooperation with specific, qualified areas of the Bank (Group Risk Management, Finance Italy , ecc.) and the Group (UniCredit Services S.C.p.A., etc.). It also provides a technical and operational support to network units. The information regarding the monitoring of collections and the performance of the securitised portfolio is periodically submitted to the Servicer's Board of Directors. HEDGING POLICIES: By agreement, securitised portfolios can be protected from interest rate risk by means of the Special Purpose Vehicle entering into Interest Rate Swap (IRS) agreements to hedge a fixed-rate portfolio, and Basis Swaps to hedge an indexed rate portfolio. In connection with these swaps, always if required by agreements, related back-to-back swap contracts are entered into between the Swap counterparty and UniCredit S.p.A. as Originator, interfaced in some cases by UniCredit Bank AG. OPERATING RESULTS: At the end of December 2021, the operating results related to existing securitisation transactions essentially reflected the performance of underlying portfolios and the resulting cash flows, and obviously are affected by the amount of defaults and prepayments during the period, which, moreover, are in line with the performance seen in other assets of this kind that are not securitised. The exercise of the option to repurchase the securitized portfolios underlying operations "Heliconus" and "Bipca Cordusio RMBS" did not result in significant additional economic impacts. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 487 Annex 3 - Securitisations - qualitative tables ORIGINATOR: UniCredit S.p.A. Traditional securitisations of Performing and Non-Performing loans STRATEGIES, PROCESSES AND GOALS: The initiatives are a part of the Group's strategies, one of the objectives of which is to finance, at competitive rates (and in large amounts), the development of medium and long-term through the disposal of existing "Performing" and "Non-Performing" loan portfolios and also creating eligible securities for refinancing operations with the ECB and/or with third parties (counterbalancing capacity). The main advantages of the transactions can be summarised as follows: - improvement in the matching of asset maturities; - diversification of sources of financing; - broadening of investor base and resulting optimisation of funding cost; - creating counterbalancing capacity. Moreover, securitisation transactions can also be implemented for purposes related to business projects (for better management of assets), corporate restructuring or deleveraging projects. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: UniCredit S.p.A. acts as "Servicer" for almost all transactions concerned for which is Originator. As per the agreements entered into with issuing companies (special purpose vehicles - SPV), servicing consists of performing, on behalf of these companies, administrative, collection and securitised loan collection activities as well as the management of any recovery procedures for impaired loans. Thus, as Servicer, UniCredit S.p.A. is charged with continually tracking cash flows from securitised loans and constantly monitoring their collection, with the assistance of third party companies (especially for the recovery of impaired loans; the company involved is DoValue S.p.A., which operates as an assistant to the Servicer, governed by a special agreement). The Servicer provides the Special Purpose Vehicle (and other counterparties indicated in the servicing agreements) information on the activity performed by, periodically reports that indicate, among other things, the collection and transfer of the income stream sold, the amount of default positions and recoveries completed, overdue installments, etc., with all information broken down in relation to specific transactions. These reports (which are usually quarterly) are periodically checked (if contractually required) by an auditing firm. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: From a strategic point of view, Finance Italy is responsible for central coordination. In this context, the above structure plays: a) in the launch phase of the operation the role of proposer and provides support to the other Bank’s Divisions and to the individual Legal Entities in conducting transactions, cooperating with all the other departments (Planning & Control Italy, Group Risk Management, Strategy and M&A ecc) in identifying the characteristics and the distinctive features of "true sale" securitisations loans in order to achieve the targets set in the Group’s Funding Plan and in the Contingency Funding Plan, approved by the Board of Directors, in the ordinary plan of creating counterbalancing capacity, as well as in organisational strategy and business of Top Management. Specific transactions are subject to prior approval by the competent departments of the Holding and of the Originator Bank (during approval, among other things, the structure, costs and impacts in terms of liquidity, counterbalancing capacity, organisational, business and/or any capital relief are discussed and analysed), and to final approval by the Board of Directors of the Originator Bank; b) in the management phase of the operation, the monitoring role of the securitised portfolios performances and any rating action published by Ratings Agencies, the interactions with the Ratings Agencies in order to submit regular information on portfolios and, more generally, the role of coordination of the Originator Bank to facilitate the solution of events relating to the securitised portfolios (management of actions of payments holidays, downgrading, restructurings, etc.). The Bank has established a special coordination unit (General Ledger & Securitisation Reporting) within the Accounting Italy Department. This unit has been tasked with administrative activities connected to the Servicer and Account Bank related-duties, and to carry out these duties, it works in close cooperation with specific, qualified areas of the Bank (Group Risk Management, Finance Italy , ecc.) and the Group (UniCredit Services S.C.p.A., etc.). It also provides a technical and operational support to network units. The information regarding the monitoring of collections and the performance of the securitised portfolio is periodically submitted to the Servicer's Board of Directors. HEDGING POLICIES: By agreement, securitised portfolios can be protected from interest rate risk by means of the Special Purpose Vehicle entering into Interest Rate Swap (IRS) agreements to hedge a fixed-rate portfolio, and Basis Swaps to hedge an indexed rate portfolio. In connection with these swaps, always if required by agreements, related back-to-back swap contracts are entered into between the Swap counterparty and UniCredit S.p.A. as Originator, interfaced in some cases by UniCredit Bank AG. OPERATING RESULTS: At the end of December 2021, the operating results related to existing securitisation transactions essentially reflected the performance of underlying portfolios and the resulting cash flows, and obviously are affected by the amount of defaults and prepayments during the period, which, moreover, are in line with the performance seen in other assets of this kind that are not securitised. The exercise of the option to repurchase the securitized portfolios underlying operations "Heliconus" and "Bipca Cordusio RMBS" did not result in significant additional economic impacts. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 487 Annex 3 - Securitisations - qualitative tables ORIGINATOR: UniCredit S.p.A. Traditional securitisations of Performing and Non-Performing loans STRATEGIES, PROCESSES AND GOALS: The initiatives are a part of the Group's strategies, one of the objectives of which is to finance, at competitive rates (and in large amounts), the development of medium and long-term through the disposal of existing "Performing" and "Non-Performing" loan portfolios and also creating eligible securities for refinancing operations with the ECB and/or with third parties (counterbalancing capacity). The main advantages of the transactions can be summarised as follows: - improvement in the matching of asset maturities; - diversification of sources of financing; - broadening of investor base and resulting optimisation of funding cost; - creating counterbalancing capacity. Moreover, securitisation transactions can also be implemented for purposes related to business projects (for better management of assets), corporate restructuring or deleveraging projects. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: UniCredit S.p.A. acts as "Servicer" for almost all transactions concerned for which is Originator. As per the agreements entered into with issuing companies (special purpose vehicles - SPV), servicing consists of performing, on behalf of these companies, administrative, collection and securitised loan collection activities as well as the management of any recovery procedures for impaired loans. Thus, as Servicer, UniCredit S.p.A. is charged with continually tracking cash flows from securitised loans and constantly monitoring their collection, with the assistance of third party companies (especially for the recovery of impaired loans; the company involved is DoValue S.p.A., which operates as an assistant to the Servicer, governed by a special agreement). The Servicer provides the Special Purpose Vehicle (and other counterparties indicated in the servicing agreements) information on the activity performed by, periodically reports that indicate, among other things, the collection and transfer of the income stream sold, the amount of default positions and recoveries completed, overdue installments, etc., with all information broken down in relation to specific transactions. These reports (which are usually quarterly) are periodically checked (if contractually required) by an auditing firm. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: From a strategic point of view, Finance Italy is responsible for central coordination. In this context, the above structure plays: a) in the launch phase of the operation the role of proposer and provides support to the other Bank’s Divisions and to the individual Legal Entities in conducting transactions, cooperating with all the other departments (Planning & Control Italy, Group Risk Management, Strategy and M&A ecc) in identifying the characteristics and the distinctive features of "true sale" securitisations loans in order to achieve the targets set in the Group’s Funding Plan and in the Contingency Funding Plan, approved by the Board of Directors, in the ordinary plan of creating counterbalancing capacity, as well as in organisational strategy and business of Top Management. Specific transactions are subject to prior approval by the competent departments of the Holding and of the Originator Bank (during approval, among other things, the structure, costs and impacts in terms of liquidity, counterbalancing capacity, organisational, business and/or any capital relief are discussed and analysed), and to final approval by the Board of Directors of the Originator Bank; b) in the management phase of the operation, the monitoring role of the securitised portfolios performances and any rating action published by Ratings Agencies, the interactions with the Ratings Agencies in order to submit regular information on portfolios and, more generally, the role of coordination of the Originator Bank to facilitate the solution of events relating to the securitised portfolios (management of actions of payments holidays, downgrading, restructurings, etc.). The Bank has established a special coordination unit (General Ledger & Securitisation Reporting) within the Accounting Italy Department. This unit has been tasked with administrative activities connected to the Servicer and Account Bank related-duties, and to carry out these duties, it works in close cooperation with specific, qualified areas of the Bank (Group Risk Management, Finance Italy , ecc.) and the Group (UniCredit Services S.C.p.A., etc.). It also provides a technical and operational support to network units. The information regarding the monitoring of collections and the performance of the securitised portfolio is periodically submitted to the Servicer's Board of Directors. HEDGING POLICIES: By agreement, securitised portfolios can be protected from interest rate risk by means of the Special Purpose Vehicle entering into Interest Rate Swap (IRS) agreements to hedge a fixed-rate portfolio, and Basis Swaps to hedge an indexed rate portfolio. In connection with these swaps, always if required by agreements, related back-to-back swap contracts are entered into between the Swap counterparty and UniCredit S.p.A. as Originator, interfaced in some cases by UniCredit Bank AG. OPERATING RESULTS: At the end of December 2021, the operating results related to existing securitisation transactions essentially reflected the performance of underlying portfolios and the resulting cash flows, and obviously are affected by the amount of defaults and prepayments during the period, which, moreover, are in line with the performance seen in other assets of this kind that are not securitised. The exercise of the option to repurchase the securitized portfolios underlying operations "Heliconus" and "Bipca Cordusio RMBS" did not result in significant additional economic impacts. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 488 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: IMPRESA TWO Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Impresa Two S.r.l. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG Target transaction: Funding/Counterbalancing capacity Type of asset: Corporate Loans Quality of Asset: Performing Closing date: 08.11.2019 Nominal Value of reference portfolio (€ million): 11,066 Issued guarantees by the Bank (€): - Issued guarantees by third parties (€): - Bank Lines of Credit: Third Parties Lines of Credit: - Other Credit Enhancements: Cash reserve funded by portfolio collections: €116 million. Other relevant information: Self-securitisation/Renegotiation cash reserve funded by portfolio collections: €29 million. UCI has issued credit lines for a €2 billion maximum amount in order to fund, subject to some conditions, a Cash Reserve to cover Set-Off and Commingling risks. Rating Agencies: Moody's/DBRS Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005389520 IT0005389538 . Type of security Senior Junior . Class A B . Rating Aa3/AL - . Nominal Value Issued (€ million) 7,746 3,320 . Nominal value at the end of accounting period (€ million) 7,746 3,320 Note: (*) In the 2021 fourth quarter an amendment has been performed in order to further postpone the revolving period until January 2024. The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 488 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: IMPRESA TWO Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Impresa Two S.r.l. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG Target transaction: Funding/Counterbalancing capacity Type of asset: Corporate Loans Quality of Asset: Performing Closing date: 08.11.2019 Nominal Value of reference portfolio (€ million): 11,066 Issued guarantees by the Bank (€): - Issued guarantees by third parties (€): - Bank Lines of Credit: Third Parties Lines of Credit: - Other Credit Enhancements: Cash reserve funded by portfolio collections: €116 million. Other relevant information: Self-securitisation/Renegotiation cash reserve funded by portfolio collections: €29 million. UCI has issued credit lines for a €2 billion maximum amount in order to fund, subject to some conditions, a Cash Reserve to cover Set-Off and Commingling risks. Rating Agencies: Moody's/DBRS Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005389520 IT0005389538 . Type of security Senior Junior . Class A B . Rating Aa3/AL - . Nominal Value Issued (€ million) 7,746 3,320 . Nominal value at the end of accounting period (€ million) 7,746 3,320 Note: (*) In the 2021 fourth quarter an amendment has been performed in order to further postpone the revolving period until January 2024. The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 488 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: IMPRESA TWO Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Impresa Two S.r.l. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG Target transaction: Funding/Counterbalancing capacity Type of asset: Corporate Loans Quality of Asset: Performing Closing date: 08.11.2019 Nominal Value of reference portfolio (€ million): 11,066 Issued guarantees by the Bank (€): - Issued guarantees by third parties (€): - Bank Lines of Credit: Third Parties Lines of Credit: - Other Credit Enhancements: Cash reserve funded by portfolio collections: €116 million. Other relevant information: Self-securitisation/Renegotiation cash reserve funded by portfolio collections: €29 million. UCI has issued credit lines for a €2 billion maximum amount in order to fund, subject to some conditions, a Cash Reserve to cover Set-Off and Commingling risks. Rating Agencies: Moody's/DBRS Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005389520 IT0005389538 . Type of security Senior Junior . Class A B . Rating Aa3/AL - . Nominal Value Issued (€ million) 7,746 3,320 . Nominal value at the end of accounting period (€ million) 7,746 3,320 Note: (*) In the 2021 fourth quarter an amendment has been performed in order to further postpone the revolving period until January 2024. The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 488 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: IMPRESA TWO Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Impresa Two S.r.l. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG Target transaction: Funding/Counterbalancing capacity Type of asset: Corporate Loans Quality of Asset: Performing Closing date: 08.11.2019 Nominal Value of reference portfolio (€ million): 11,066 Issued guarantees by the Bank (€): - Issued guarantees by third parties (€): - Bank Lines of Credit: Third Parties Lines of Credit: - Other Credit Enhancements: Cash reserve funded by portfolio collections: €116 million. Other relevant information: Self-securitisation/Renegotiation cash reserve funded by portfolio collections: €29 million. UCI has issued credit lines for a €2 billion maximum amount in order to fund, subject to some conditions, a Cash Reserve to cover Set-Off and Commingling risks. Rating Agencies: Moody's/DBRS Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005389520 IT0005389538 . Type of security Senior Junior . Class A B . Rating Aa3/AL - . Nominal Value Issued (€ million) 7,746 3,320 . Nominal value at the end of accounting period (€ million) 7,746 3,320 Note: (*) In the 2021 fourth quarter an amendment has been performed in order to further postpone the revolving period until January 2024. The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 488 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: IMPRESA TWO Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Impresa Two S.r.l. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank AG Target transaction: Funding/Counterbalancing capacity Type of asset: Corporate Loans Quality of Asset: Performing Closing date: 08.11.2019 Nominal Value of reference portfolio (€ million): 11,066 Issued guarantees by the Bank (€): - Issued guarantees by third parties (€): - Bank Lines of Credit: Third Parties Lines of Credit: - Other Credit Enhancements: Cash reserve funded by portfolio collections: €116 million. Other relevant information: Self-securitisation/Renegotiation cash reserve funded by portfolio collections: €29 million. UCI has issued credit lines for a €2 billion maximum amount in order to fund, subject to some conditions, a Cash Reserve to cover Set-Off and Commingling risks. Rating Agencies: Moody's/DBRS Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005389520 IT0005389538 . Type of security Senior Junior . Class A B . Rating Aa3/AL - . Nominal Value Issued (€ million) 7,746 3,320 . Nominal value at the end of accounting period (€ million) 7,746 3,320 Note: (*) In the 2021 fourth quarter an amendment has been performed in order to further postpone the revolving period until January 2024. The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 489 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CONSUMER THREE Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Consumer Three S.r.l. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Counterbalancing capacity Type of asset: Personal loans Quality of Asset: Performing Closing date: 04.20.2016 Nominal Value of disposal portfolio (€ million)(*): 6,077 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: Other relevant information: Self-securitisation/UniCredit S.p.A. has granted SPV a subordinated loan of €50 million for loans renegotiation. Consumer Three has also constituted a cash reserve for ABS investors; the outstanding amount, at the end of accounting period, is €51 million, due to further amounts from waterfall payments. Both reserves are constituted into an eligible entity. Rating Agencies: Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): Amount and Condition of tranching: . ISIN IT0005176505 IT0005176513 . Type of security Senior Junior . Class A J . Rating Aa3/A - . Nominal value issued (€ million)(*) 4,679 1,398 . Nominal value at the end of accounting period (€ million)(*) 4,679 1,398 Note: (*) In the 2018 third quarter an amendment has been performed in order to postope the revolving period until June 2020. Moreover an extraordinary new transfer has been settled along the 2018 fourth quarter, increasing the nominal value of the disposal portfolio at €2,000 million, the Senior Note nominal value at €1,664 million and the Junior Note nominal value at €335 million. The Notes Final Maturity Date has been posponed to December 2056. The Cash Reserve Required Amount has decreased from €60 million to €51 million. In the 2020 second quarter an amendment has been performed in order to further postope the revolving period until June 2022. The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 489 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CONSUMER THREE Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Consumer Three S.r.l. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Counterbalancing capacity Type of asset: Personal loans Quality of Asset: Performing Closing date: 04.20.2016 Nominal Value of disposal portfolio (€ million)(*): 6,077 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: Other relevant information: Self-securitisation/UniCredit S.p.A. has granted SPV a subordinated loan of €50 million for loans renegotiation. Consumer Three has also constituted a cash reserve for ABS investors; the outstanding amount, at the end of accounting period, is €51 million, due to further amounts from waterfall payments. Both reserves are constituted into an eligible entity. Rating Agencies: Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): Amount and Condition of tranching: . ISIN IT0005176505 IT0005176513 . Type of security Senior Junior . Class A J . Rating Aa3/A - . Nominal value issued (€ million)(*) 4,679 1,398 . Nominal value at the end of accounting period (€ million)(*) 4,679 1,398 Note: (*) In the 2018 third quarter an amendment has been performed in order to postope the revolving period until June 2020. Moreover an extraordinary new transfer has been settled along the 2018 fourth quarter, increasing the nominal value of the disposal portfolio at €2,000 million, the Senior Note nominal value at €1,664 million and the Junior Note nominal value at €335 million. The Notes Final Maturity Date has been posponed to December 2056. The Cash Reserve Required Amount has decreased from €60 million to €51 million. In the 2020 second quarter an amendment has been performed in order to further postope the revolving period until June 2022. The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 489 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CONSUMER THREE Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Consumer Three S.r.l. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Counterbalancing capacity Type of asset: Personal loans Quality of Asset: Performing Closing date: 04.20.2016 Nominal Value of disposal portfolio (€ million)(*): 6,077 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: Other relevant information: Self-securitisation/UniCredit S.p.A. has granted SPV a subordinated loan of €50 million for loans renegotiation. Consumer Three has also constituted a cash reserve for ABS investors; the outstanding amount, at the end of accounting period, is €51 million, due to further amounts from waterfall payments. Both reserves are constituted into an eligible entity. Rating Agencies: Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): Amount and Condition of tranching: . ISIN IT0005176505 IT0005176513 . Type of security Senior Junior . Class A J . Rating Aa3/A - . Nominal value issued (€ million)(*) 4,679 1,398 . Nominal value at the end of accounting period (€ million)(*) 4,679 1,398 Note: (*) In the 2018 third quarter an amendment has been performed in order to postope the revolving period until June 2020. Moreover an extraordinary new transfer has been settled along the 2018 fourth quarter, increasing the nominal value of the disposal portfolio at €2,000 million, the Senior Note nominal value at €1,664 million and the Junior Note nominal value at €335 million. The Notes Final Maturity Date has been posponed to December 2056. The Cash Reserve Required Amount has decreased from €60 million to €51 million. In the 2020 second quarter an amendment has been performed in order to further postope the revolving period until June 2022. The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 489 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CONSUMER THREE Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Consumer Three S.r.l. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Counterbalancing capacity Type of asset: Personal loans Quality of Asset: Performing Closing date: 04.20.2016 Nominal Value of disposal portfolio (€ million)(*): 6,077 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: Other relevant information: Self-securitisation/UniCredit S.p.A. has granted SPV a subordinated loan of €50 million for loans renegotiation. Consumer Three has also constituted a cash reserve for ABS investors; the outstanding amount, at the end of accounting period, is €51 million, due to further amounts from waterfall payments. Both reserves are constituted into an eligible entity. Rating Agencies: Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): Amount and Condition of tranching: . ISIN IT0005176505 IT0005176513 . Type of security Senior Junior . Class A J . Rating Aa3/A - . Nominal value issued (€ million)(*) 4,679 1,398 . Nominal value at the end of accounting period (€ million)(*) 4,679 1,398 Note: (*) In the 2018 third quarter an amendment has been performed in order to postope the revolving period until June 2020. Moreover an extraordinary new transfer has been settled along the 2018 fourth quarter, increasing the nominal value of the disposal portfolio at €2,000 million, the Senior Note nominal value at €1,664 million and the Junior Note nominal value at €335 million. The Notes Final Maturity Date has been posponed to December 2056. The Cash Reserve Required Amount has decreased from €60 million to €51 million. In the 2020 second quarter an amendment has been performed in order to further postope the revolving period until June 2022. The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 489 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CONSUMER THREE Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Consumer Three S.r.l. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Counterbalancing capacity Type of asset: Personal loans Quality of Asset: Performing Closing date: 04.20.2016 Nominal Value of disposal portfolio (€ million)(*): 6,077 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: Other relevant information: Self-securitisation/UniCredit S.p.A. has granted SPV a subordinated loan of €50 million for loans renegotiation. Consumer Three has also constituted a cash reserve for ABS investors; the outstanding amount, at the end of accounting period, is €51 million, due to further amounts from waterfall payments. Both reserves are constituted into an eligible entity. Rating Agencies: Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): Amount and Condition of tranching: . ISIN IT0005176505 IT0005176513 . Type of security Senior Junior . Class A J . Rating Aa3/A - . Nominal value issued (€ million)(*) 4,679 1,398 . Nominal value at the end of accounting period (€ million)(*) 4,679 1,398 Note: (*) In the 2018 third quarter an amendment has been performed in order to postope the revolving period until June 2020. Moreover an extraordinary new transfer has been settled along the 2018 fourth quarter, increasing the nominal value of the disposal portfolio at €2,000 million, the Senior Note nominal value at €1,664 million and the Junior Note nominal value at €335 million. The Notes Final Maturity Date has been posponed to December 2056. The Cash Reserve Required Amount has decreased from €60 million to €51 million. In the 2020 second quarter an amendment has been performed in order to further postope the revolving period until June 2022. The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 490 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CORDUSIO RMBS UCFIN - SERIE 2006 (EX CORDUSIO RMBS 3 - UBCASA 1) Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex Banca per la Casa S.p.A.) Issuer: Cordusio RMBS UCFin S.r.l. (ex Cordusio RMBS 3 - UBCasa 1 S.r.l.) Servicer: UniCredit S.p.A. Arranger: UCB AG London Branch Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 11.16.2006 Nominal Value of disposal portfolio (€ million): 2,496 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €15 million, which at the end of accounting period is fully reimbursed. Other relevant information: Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid €160 million of funds into an eligible entity to maintain its role as an Account Bank; during the year 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Moreover UniCredit S.p.A., on 2013, has been replaced as swap counterparty with another Bank rated as eligible by ratings Agencies. Rating Agencies: Fitch/Moody's/Standard & Poor's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004144884 IT0004144892 . Type of security Senior Senior . Class A1 A2 . Rating - AA/Aa3/AA . Nominal value issued (€ million): 600 1,735 . Nominal value at the end of accounting period (€ million): - 69 . ISIN IT0004144900 IT0004144934 . Type of security Mezzanine Mezzanine . Class B C . Rating AA/Aa3/AA AA-/Aa3/AA . Nominal value issued (€ million): 75 25 . Nominal value at the end of accounting period (€ million): 75 25 . ISIN IT0004144959 IT0004144967 . Type of security Mezzanine Junior . Class D E . Rating BBB/A32/AA - . Nominal value issued (€ million): 48 13 . Nominal value at the end of accounting period (€ million): 48 13 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 490 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CORDUSIO RMBS UCFIN - SERIE 2006 (EX CORDUSIO RMBS 3 - UBCASA 1) Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex Banca per la Casa S.p.A.) Issuer: Cordusio RMBS UCFin S.r.l. (ex Cordusio RMBS 3 - UBCasa 1 S.r.l.) Servicer: UniCredit S.p.A. Arranger: UCB AG London Branch Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 11.16.2006 Nominal Value of disposal portfolio (€ million): 2,496 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €15 million, which at the end of accounting period is fully reimbursed. Other relevant information: Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid €160 million of funds into an eligible entity to maintain its role as an Account Bank; during the year 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Moreover UniCredit S.p.A., on 2013, has been replaced as swap counterparty with another Bank rated as eligible by ratings Agencies. Rating Agencies: Fitch/Moody's/Standard & Poor's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004144884 IT0004144892 . Type of security Senior Senior . Class A1 A2 . Rating - AA/Aa3/AA . Nominal value issued (€ million): 600 1,735 . Nominal value at the end of accounting period (€ million): - 69 . ISIN IT0004144900 IT0004144934 . Type of security Mezzanine Mezzanine . Class B C . Rating AA/Aa3/AA AA-/Aa3/AA . Nominal value issued (€ million): 75 25 . Nominal value at the end of accounting period (€ million): 75 25 . ISIN IT0004144959 IT0004144967 . Type of security Mezzanine Junior . Class D E . Rating BBB/A32/AA - . Nominal value issued (€ million): 48 13 . Nominal value at the end of accounting period (€ million): 48 13 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 490 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CORDUSIO RMBS UCFIN - SERIE 2006 (EX CORDUSIO RMBS 3 - UBCASA 1) Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex Banca per la Casa S.p.A.) Issuer: Cordusio RMBS UCFin S.r.l. (ex Cordusio RMBS 3 - UBCasa 1 S.r.l.) Servicer: UniCredit S.p.A. Arranger: UCB AG London Branch Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 11.16.2006 Nominal Value of disposal portfolio (€ million): 2,496 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €15 million, which at the end of accounting period is fully reimbursed. Other relevant information: Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid €160 million of funds into an eligible entity to maintain its role as an Account Bank; during the year 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Moreover UniCredit S.p.A., on 2013, has been replaced as swap counterparty with another Bank rated as eligible by ratings Agencies. Rating Agencies: Fitch/Moody's/Standard & Poor's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004144884 IT0004144892 . Type of security Senior Senior . Class A1 A2 . Rating - AA/Aa3/AA . Nominal value issued (€ million): 600 1,735 . Nominal value at the end of accounting period (€ million): - 69 . ISIN IT0004144900 IT0004144934 . Type of security Mezzanine Mezzanine . Class B C . Rating AA/Aa3/AA AA-/Aa3/AA . Nominal value issued (€ million): 75 25 . Nominal value at the end of accounting period (€ million): 75 25 . ISIN IT0004144959 IT0004144967 . Type of security Mezzanine Junior . Class D E . Rating BBB/A32/AA - . Nominal value issued (€ million): 48 13 . Nominal value at the end of accounting period (€ million): 48 13 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 490 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CORDUSIO RMBS UCFIN - SERIE 2006 (EX CORDUSIO RMBS 3 - UBCASA 1) Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex Banca per la Casa S.p.A.) Issuer: Cordusio RMBS UCFin S.r.l. (ex Cordusio RMBS 3 - UBCasa 1 S.r.l.) Servicer: UniCredit S.p.A. Arranger: UCB AG London Branch Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 11.16.2006 Nominal Value of disposal portfolio (€ million): 2,496 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €15 million, which at the end of accounting period is fully reimbursed. Other relevant information: Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid €160 million of funds into an eligible entity to maintain its role as an Account Bank; during the year 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Moreover UniCredit S.p.A., on 2013, has been replaced as swap counterparty with another Bank rated as eligible by ratings Agencies. Rating Agencies: Fitch/Moody's/Standard & Poor's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004144884 IT0004144892 . Type of security Senior Senior . Class A1 A2 . Rating - AA/Aa3/AA . Nominal value issued (€ million): 600 1,735 . Nominal value at the end of accounting period (€ million): - 69 . ISIN IT0004144900 IT0004144934 . Type of security Mezzanine Mezzanine . Class B C . Rating AA/Aa3/AA AA-/Aa3/AA . Nominal value issued (€ million): 75 25 . Nominal value at the end of accounting period (€ million): 75 25 . ISIN IT0004144959 IT0004144967 . Type of security Mezzanine Junior . Class D E . Rating BBB/A32/AA - . Nominal value issued (€ million): 48 13 . Nominal value at the end of accounting period (€ million): 48 13 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 490 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CORDUSIO RMBS UCFIN - SERIE 2006 (EX CORDUSIO RMBS 3 - UBCASA 1) Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex Banca per la Casa S.p.A.) Issuer: Cordusio RMBS UCFin S.r.l. (ex Cordusio RMBS 3 - UBCasa 1 S.r.l.) Servicer: UniCredit S.p.A. Arranger: UCB AG London Branch Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 11.16.2006 Nominal Value of disposal portfolio (€ million): 2,496 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €15 million, which at the end of accounting period is fully reimbursed. Other relevant information: Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid €160 million of funds into an eligible entity to maintain its role as an Account Bank; during the year 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Moreover UniCredit S.p.A., on 2013, has been replaced as swap counterparty with another Bank rated as eligible by ratings Agencies. Rating Agencies: Fitch/Moody's/Standard & Poor's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004144884 IT0004144892 . Type of security Senior Senior . Class A1 A2 . Rating - AA/Aa3/AA . Nominal value issued (€ million): 600 1,735 . Nominal value at the end of accounting period (€ million): - 69 . ISIN IT0004144900 IT0004144934 . Type of security Mezzanine Mezzanine . Class B C . Rating AA/Aa3/AA AA-/Aa3/AA . Nominal value issued (€ million): 75 25 . Nominal value at the end of accounting period (€ million): 75 25 . ISIN IT0004144959 IT0004144967 . Type of security Mezzanine Junior . Class D E . Rating BBB/A32/AA - . Nominal value issued (€ million): 48 13 . Nominal value at the end of accounting period (€ million): 48 13 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 491 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CORDUSIO RMBS SECURITISATION - SERIE 2007 Type of securitisation: Traditional Originator: UniCredit Banca S.p.A. Issuer: Cordusio RMBS Securitisation S.r.l. Servicer: UniCredit S.p.A. Arranger: UCB Ag London Branch (ex Bayerische Hypo und Vereinsbank AG, London Branch) Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 05.22.2007 Nominal Value of disposal portfolio (€ million): 3,908 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €6.253 million, at the end of accounting period that amount is fully reimbursed Other relevant information: Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid €236 million of funds into an eligible entity to maintain its role as an Account Bank; during the year 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Moreover, in 2013, UniCredit S.p.A. has been replaced as swap counterparty with another Bank rated as eligible by ratings Agencies. Rating Agencies: Fitch/Moody's/Standard & Poor's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004231210 IT0004231236 . Type of security Senior Senior . Class A1 A2 . Rating - - . Nominal value issued (€ million): 704 2,228 . Nominal value at the end of accounting period (€ million): - - . ISIN IT0004231244 IT0004231285 . Type of security Senior Mezzanine . Class A3 B . Rating A+/Aa3/AA A+/Aa3/AA . Nominal value issued (€ million): 739 71 . Nominal value at the end of accounting period (€ million): 177 71 . ISIN IT0004231293 IT0004231301 . Type of security Mezzanine Mezzanine . Class C D . Rating A+/Aa3/AA BBB+/A1/AA- . Nominal value issued (€) 44 102 . Nominal value at the end of accounting period (€) 44 102 . ISIN IT0004231319 IT0004231327 . Type of security Mezzanine Junior . Class E F . Rating BBB+/A3/BBB - . Nominal value issued (€ million): 20 2 . Nominal value at the end of accounting period (€ million): 20 2 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 491 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CORDUSIO RMBS SECURITISATION - SERIE 2007 Type of securitisation: Traditional Originator: UniCredit Banca S.p.A. Issuer: Cordusio RMBS Securitisation S.r.l. Servicer: UniCredit S.p.A. Arranger: UCB Ag London Branch (ex Bayerische Hypo und Vereinsbank AG, London Branch) Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 05.22.2007 Nominal Value of disposal portfolio (€ million): 3,908 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €6.253 million, at the end of accounting period that amount is fully reimbursed Other relevant information: Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid €236 million of funds into an eligible entity to maintain its role as an Account Bank; during the year 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Moreover, in 2013, UniCredit S.p.A. has been replaced as swap counterparty with another Bank rated as eligible by ratings Agencies. Rating Agencies: Fitch/Moody's/Standard & Poor's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004231210 IT0004231236 . Type of security Senior Senior . Class A1 A2 . Rating - - . Nominal value issued (€ million): 704 2,228 . Nominal value at the end of accounting period (€ million): - - . ISIN IT0004231244 IT0004231285 . Type of security Senior Mezzanine . Class A3 B . Rating A+/Aa3/AA A+/Aa3/AA . Nominal value issued (€ million): 739 71 . Nominal value at the end of accounting period (€ million): 177 71 . ISIN IT0004231293 IT0004231301 . Type of security Mezzanine Mezzanine . Class C D . Rating A+/Aa3/AA BBB+/A1/AA- . Nominal value issued (€) 44 102 . Nominal value at the end of accounting period (€) 44 102 . ISIN IT0004231319 IT0004231327 . Type of security Mezzanine Junior . Class E F . Rating BBB+/A3/BBB - . Nominal value issued (€ million): 20 2 . Nominal value at the end of accounting period (€ million): 20 2 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 491 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CORDUSIO RMBS SECURITISATION - SERIE 2007 Type of securitisation: Traditional Originator: UniCredit Banca S.p.A. Issuer: Cordusio RMBS Securitisation S.r.l. Servicer: UniCredit S.p.A. Arranger: UCB Ag London Branch (ex Bayerische Hypo und Vereinsbank AG, London Branch) Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 05.22.2007 Nominal Value of disposal portfolio (€ million): 3,908 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €6.253 million, at the end of accounting period that amount is fully reimbursed Other relevant information: Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid €236 million of funds into an eligible entity to maintain its role as an Account Bank; during the year 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Moreover, in 2013, UniCredit S.p.A. has been replaced as swap counterparty with another Bank rated as eligible by ratings Agencies. Rating Agencies: Fitch/Moody's/Standard & Poor's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004231210 IT0004231236 . Type of security Senior Senior . Class A1 A2 . Rating - - . Nominal value issued (€ million): 704 2,228 . Nominal value at the end of accounting period (€ million): - - . ISIN IT0004231244 IT0004231285 . Type of security Senior Mezzanine . Class A3 B . Rating A+/Aa3/AA A+/Aa3/AA . Nominal value issued (€ million): 739 71 . Nominal value at the end of accounting period (€ million): 177 71 . ISIN IT0004231293 IT0004231301 . Type of security Mezzanine Mezzanine . Class C D . Rating A+/Aa3/AA BBB+/A1/AA- . Nominal value issued (€) 44 102 . Nominal value at the end of accounting period (€) 44 102 . ISIN IT0004231319 IT0004231327 . Type of security Mezzanine Junior . Class E F . Rating BBB+/A3/BBB - . Nominal value issued (€ million): 20 2 . Nominal value at the end of accounting period (€ million): 20 2 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 491 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CORDUSIO RMBS SECURITISATION - SERIE 2007 Type of securitisation: Traditional Originator: UniCredit Banca S.p.A. Issuer: Cordusio RMBS Securitisation S.r.l. Servicer: UniCredit S.p.A. Arranger: UCB Ag London Branch (ex Bayerische Hypo und Vereinsbank AG, London Branch) Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 05.22.2007 Nominal Value of disposal portfolio (€ million): 3,908 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €6.253 million, at the end of accounting period that amount is fully reimbursed Other relevant information: Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid €236 million of funds into an eligible entity to maintain its role as an Account Bank; during the year 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Moreover, in 2013, UniCredit S.p.A. has been replaced as swap counterparty with another Bank rated as eligible by ratings Agencies. Rating Agencies: Fitch/Moody's/Standard & Poor's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004231210 IT0004231236 . Type of security Senior Senior . Class A1 A2 . Rating - - . Nominal value issued (€ million): 704 2,228 . Nominal value at the end of accounting period (€ million): - - . ISIN IT0004231244 IT0004231285 . Type of security Senior Mezzanine . Class A3 B . Rating A+/Aa3/AA A+/Aa3/AA . Nominal value issued (€ million): 739 71 . Nominal value at the end of accounting period (€ million): 177 71 . ISIN IT0004231293 IT0004231301 . Type of security Mezzanine Mezzanine . Class C D . Rating A+/Aa3/AA BBB+/A1/AA- . Nominal value issued (€) 44 102 . Nominal value at the end of accounting period (€) 44 102 . ISIN IT0004231319 IT0004231327 . Type of security Mezzanine Junior . Class E F . Rating BBB+/A3/BBB - . Nominal value issued (€ million): 20 2 . Nominal value at the end of accounting period (€ million): 20 2 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 491 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CORDUSIO RMBS SECURITISATION - SERIE 2007 Type of securitisation: Traditional Originator: UniCredit Banca S.p.A. Issuer: Cordusio RMBS Securitisation S.r.l. Servicer: UniCredit S.p.A. Arranger: UCB Ag London Branch (ex Bayerische Hypo und Vereinsbank AG, London Branch) Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 05.22.2007 Nominal Value of disposal portfolio (€ million): 3,908 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €6.253 million, at the end of accounting period that amount is fully reimbursed Other relevant information: Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid €236 million of funds into an eligible entity to maintain its role as an Account Bank; during the year 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Moreover, in 2013, UniCredit S.p.A. has been replaced as swap counterparty with another Bank rated as eligible by ratings Agencies. Rating Agencies: Fitch/Moody's/Standard & Poor's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004231210 IT0004231236 . Type of security Senior Senior . Class A1 A2 . Rating - - . Nominal value issued (€ million): 704 2,228 . Nominal value at the end of accounting period (€ million): - - . ISIN IT0004231244 IT0004231285 . Type of security Senior Mezzanine . Class A3 B . Rating A+/Aa3/AA A+/Aa3/AA . Nominal value issued (€ million): 739 71 . Nominal value at the end of accounting period (€ million): 177 71 . ISIN IT0004231293 IT0004231301 . Type of security Mezzanine Mezzanine . Class C D . Rating A+/Aa3/AA BBB+/A1/AA- . Nominal value issued (€) 44 102 . Nominal value at the end of accounting period (€) 44 102 . ISIN IT0004231319 IT0004231327 . Type of security Mezzanine Junior . Class E F . Rating BBB+/A3/BBB - . Nominal value issued (€ million): 20 2 . Nominal value at the end of accounting period (€ million): 20 2 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 492 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CAPITAL MORTGAGE 2007 - 1 Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex Banca di Roma S.p.A.) Issuer: Capital Mortgage S.r.l. Servicer: UniCredit S.p.A. Arranger: UCB AG (ex Capitalia S.p.A.) Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 05.14.2007 Nominal Value of disposal portfolio (€ million): 2,183 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €37 million (as equity). Other relevant information: Tranching based on an original assets portfolio €2,479 million, reduced to €2,183 million due to checks after closing date. Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid funds into an eligible entity (amounting to €156 million at 31 December 2016) to maintain its role as Account Bank; during the 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Rating Agencies: S & P/Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004222532 IT0004222540 . Type of security Senior Senior . Class A1 A2 . Rating AA/Aa3/A+ AA/Aa3/A+ . Nominal value issued (€ million): 1,736 644 . Nominal value at the end of accounting period (€ million): 107 163 . ISIN IT0004222557 IT0004222565 . Type of security Mezzanine Junior . Class B C . Rating BBB/Baa1/B+ CCC-/Ba3/B+ . Nominal value issued (€ million): 74 25 . Nominal value at the end of accounting period (€ million): 74 25 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 492 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CAPITAL MORTGAGE 2007 - 1 Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex Banca di Roma S.p.A.) Issuer: Capital Mortgage S.r.l. Servicer: UniCredit S.p.A. Arranger: UCB AG (ex Capitalia S.p.A.) Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 05.14.2007 Nominal Value of disposal portfolio (€ million): 2,183 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €37 million (as equity). Other relevant information: Tranching based on an original assets portfolio €2,479 million, reduced to €2,183 million due to checks after closing date. Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid funds into an eligible entity (amounting to €156 million at 31 December 2016) to maintain its role as Account Bank; during the 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Rating Agencies: S & P/Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004222532 IT0004222540 . Type of security Senior Senior . Class A1 A2 . Rating AA/Aa3/A+ AA/Aa3/A+ . Nominal value issued (€ million): 1,736 644 . Nominal value at the end of accounting period (€ million): 107 163 . ISIN IT0004222557 IT0004222565 . Type of security Mezzanine Junior . Class B C . Rating BBB/Baa1/B+ CCC-/Ba3/B+ . Nominal value issued (€ million): 74 25 . Nominal value at the end of accounting period (€ million): 74 25 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 492 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CAPITAL MORTGAGE 2007 - 1 Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex Banca di Roma S.p.A.) Issuer: Capital Mortgage S.r.l. Servicer: UniCredit S.p.A. Arranger: UCB AG (ex Capitalia S.p.A.) Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 05.14.2007 Nominal Value of disposal portfolio (€ million): 2,183 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €37 million (as equity). Other relevant information: Tranching based on an original assets portfolio €2,479 million, reduced to €2,183 million due to checks after closing date. Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid funds into an eligible entity (amounting to €156 million at 31 December 2016) to maintain its role as Account Bank; during the 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Rating Agencies: S & P/Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004222532 IT0004222540 . Type of security Senior Senior . Class A1 A2 . Rating AA/Aa3/A+ AA/Aa3/A+ . Nominal value issued (€ million): 1,736 644 . Nominal value at the end of accounting period (€ million): 107 163 . ISIN IT0004222557 IT0004222565 . Type of security Mezzanine Junior . Class B C . Rating BBB/Baa1/B+ CCC-/Ba3/B+ . Nominal value issued (€ million): 74 25 . Nominal value at the end of accounting period (€ million): 74 25 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 492 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CAPITAL MORTGAGE 2007 - 1 Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex Banca di Roma S.p.A.) Issuer: Capital Mortgage S.r.l. Servicer: UniCredit S.p.A. Arranger: UCB AG (ex Capitalia S.p.A.) Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 05.14.2007 Nominal Value of disposal portfolio (€ million): 2,183 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €37 million (as equity). Other relevant information: Tranching based on an original assets portfolio €2,479 million, reduced to €2,183 million due to checks after closing date. Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid funds into an eligible entity (amounting to €156 million at 31 December 2016) to maintain its role as Account Bank; during the 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Rating Agencies: S & P/Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004222532 IT0004222540 . Type of security Senior Senior . Class A1 A2 . Rating AA/Aa3/A+ AA/Aa3/A+ . Nominal value issued (€ million): 1,736 644 . Nominal value at the end of accounting period (€ million): 107 163 . ISIN IT0004222557 IT0004222565 . Type of security Mezzanine Junior . Class B C . Rating BBB/Baa1/B+ CCC-/Ba3/B+ . Nominal value issued (€ million): 74 25 . Nominal value at the end of accounting period (€ million): 74 25 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 492 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: CAPITAL MORTGAGE 2007 - 1 Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex Banca di Roma S.p.A.) Issuer: Capital Mortgage S.r.l. Servicer: UniCredit S.p.A. Arranger: UCB AG (ex Capitalia S.p.A.) Target transaction: Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Quality of Asset: Performing Closing date: 05.14.2007 Nominal Value of disposal portfolio (€ million): 2,183 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €37 million (as equity). Other relevant information: Tranching based on an original assets portfolio €2,479 million, reduced to €2,183 million due to checks after closing date. Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid funds into an eligible entity (amounting to €156 million at 31 December 2016) to maintain its role as Account Bank; during the 2017, as a result of the contractual amendment and the contextual outsourcing of the role of the Account Bank, the fund was fully repaid. Rating Agencies: S & P/Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): - Amount and Conditions of tranching: . ISIN IT0004222532 IT0004222540 . Type of security Senior Senior . Class A1 A2 . Rating AA/Aa3/A+ AA/Aa3/A+ . Nominal value issued (€ million): 1,736 644 . Nominal value at the end of accounting period (€ million): 107 163 . ISIN IT0004222557 IT0004222565 . Type of security Mezzanine Junior . Class B C . Rating BBB/Baa1/B+ CCC-/Ba3/B+ . Nominal value issued (€ million): 74 25 . Nominal value at the end of accounting period (€ million): 74 25 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 493 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: F-E MORTGAGES 2005 F-E MORTGAGES SERIES 1-2003 Type of securitisation: Traditional Traditional Originator: UniCredit S.p.A. (ex FinecoBank S.p.A.) UniCredit S.p.A. (ex Fin-eco Banca ICQ S.p.A.) Issuer: F-E Mortgages S.r.l. F-E Mortgages S.r.l. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. (ex MCC S.p.A. - Capitalia Gruppo Bancario) UniCredit S.p.A. (ex MCC S.p.A. - Capitalia Gruppo Bancario) Target transaction: Funding/Counterbalancing capacity Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Residential Mortgage Loans Quality of Asset: Performing Performing Closing date: 04.06.2005 11.27.2003 Nominal Value of disposal portfolio (€ million): 1,029 749 Guarantees issued by the Bank: - - Guarantees issued by Third Parties: - - Bank Lines of Credit: - UniCredit S.p.A. issued a credit line for €20 million (jointly with The Royal Bank of Scotland Milan Branch). The amount of line of credit is totally redeemed Third Parties Lines of Credit: - - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €15 million (as Equity). At the end of accounting period the amount of capital tranche is fully reimboursed - Other relevant information: - Following the downgrade of Royal Bank of Scotland Plc by Moody's, on 3 August 2012 UniCredit S.p.A. made a reserve of €20 million for the SPV, corresponding to the liquidity line Rating Agencies: S & P/Moody's/Fitch S & P/Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): - - Amount and Conditions of tranching: . ISIN IT0003830418 IT0003830426 IT0003575039 IT0003575070 . Type of security Senior Mezzanine Senior Mezzanine . Class A B A1 B . Rating AA/Aa3/AA AA/Aa3/AA - AA/Aa3/AA . Nominal value issued (€ million): 952 41 682 48 . Nominal value at the end of accounting period (€ million): 30 37 - 18 . ISIN IT0003830434 IT0003575088 IT0003575096 . Type of security Junior Mezzanine Junior . Class C C D . Rating BBB+/Aa3/A+ AA/Aa3/AA - . Nominal value issued (€ million): 36 11 8 . Nominal value at the end of accounting period (€ million): 32 11 8 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 493 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: F-E MORTGAGES 2005 F-E MORTGAGES SERIES 1-2003 Type of securitisation: Traditional Traditional Originator: UniCredit S.p.A. (ex FinecoBank S.p.A.) UniCredit S.p.A. (ex Fin-eco Banca ICQ S.p.A.) Issuer: F-E Mortgages S.r.l. F-E Mortgages S.r.l. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. (ex MCC S.p.A. - Capitalia Gruppo Bancario) UniCredit S.p.A. (ex MCC S.p.A. - Capitalia Gruppo Bancario) Target transaction: Funding/Counterbalancing capacity Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Residential Mortgage Loans Quality of Asset: Performing Performing Closing date: 04.06.2005 11.27.2003 Nominal Value of disposal portfolio (€ million): 1,029 749 Guarantees issued by the Bank: - - Guarantees issued by Third Parties: - - Bank Lines of Credit: - UniCredit S.p.A. issued a credit line for €20 million (jointly with The Royal Bank of Scotland Milan Branch). The amount of line of credit is totally redeemed Third Parties Lines of Credit: - - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €15 million (as Equity). At the end of accounting period the amount of capital tranche is fully reimboursed - Other relevant information: - Following the downgrade of Royal Bank of Scotland Plc by Moody's, on 3 August 2012 UniCredit S.p.A. made a reserve of €20 million for the SPV, corresponding to the liquidity line Rating Agencies: S & P/Moody's/Fitch S & P/Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): - - Amount and Conditions of tranching: . ISIN IT0003830418 IT0003830426 IT0003575039 IT0003575070 . Type of security Senior Mezzanine Senior Mezzanine . Class A B A1 B . Rating AA/Aa3/AA AA/Aa3/AA - AA/Aa3/AA . Nominal value issued (€ million): 952 41 682 48 . Nominal value at the end of accounting period (€ million): 30 37 - 18 . ISIN IT0003830434 IT0003575088 IT0003575096 . Type of security Junior Mezzanine Junior . Class C C D . Rating BBB+/Aa3/A+ AA/Aa3/AA - . Nominal value issued (€ million): 36 11 8 . Nominal value at the end of accounting period (€ million): 32 11 8 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 493 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: F-E MORTGAGES 2005 F-E MORTGAGES SERIES 1-2003 Type of securitisation: Traditional Traditional Originator: UniCredit S.p.A. (ex FinecoBank S.p.A.) UniCredit S.p.A. (ex Fin-eco Banca ICQ S.p.A.) Issuer: F-E Mortgages S.r.l. F-E Mortgages S.r.l. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. (ex MCC S.p.A. - Capitalia Gruppo Bancario) UniCredit S.p.A. (ex MCC S.p.A. - Capitalia Gruppo Bancario) Target transaction: Funding/Counterbalancing capacity Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Residential Mortgage Loans Quality of Asset: Performing Performing Closing date: 04.06.2005 11.27.2003 Nominal Value of disposal portfolio (€ million): 1,029 749 Guarantees issued by the Bank: - - Guarantees issued by Third Parties: - - Bank Lines of Credit: - UniCredit S.p.A. issued a credit line for €20 million (jointly with The Royal Bank of Scotland Milan Branch). The amount of line of credit is totally redeemed Third Parties Lines of Credit: - - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €15 million (as Equity). At the end of accounting period the amount of capital tranche is fully reimboursed - Other relevant information: - Following the downgrade of Royal Bank of Scotland Plc by Moody's, on 3 August 2012 UniCredit S.p.A. made a reserve of €20 million for the SPV, corresponding to the liquidity line Rating Agencies: S & P/Moody's/Fitch S & P/Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): - - Amount and Conditions of tranching: . ISIN IT0003830418 IT0003830426 IT0003575039 IT0003575070 . Type of security Senior Mezzanine Senior Mezzanine . Class A B A1 B . Rating AA/Aa3/AA AA/Aa3/AA - AA/Aa3/AA . Nominal value issued (€ million): 952 41 682 48 . Nominal value at the end of accounting period (€ million): 30 37 - 18 . ISIN IT0003830434 IT0003575088 IT0003575096 . Type of security Junior Mezzanine Junior . Class C C D . Rating BBB+/Aa3/A+ AA/Aa3/AA - . Nominal value issued (€ million): 36 11 8 . Nominal value at the end of accounting period (€ million): 32 11 8 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 493 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: F-E MORTGAGES 2005 F-E MORTGAGES SERIES 1-2003 Type of securitisation: Traditional Traditional Originator: UniCredit S.p.A. (ex FinecoBank S.p.A.) UniCredit S.p.A. (ex Fin-eco Banca ICQ S.p.A.) Issuer: F-E Mortgages S.r.l. F-E Mortgages S.r.l. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. (ex MCC S.p.A. - Capitalia Gruppo Bancario) UniCredit S.p.A. (ex MCC S.p.A. - Capitalia Gruppo Bancario) Target transaction: Funding/Counterbalancing capacity Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Residential Mortgage Loans Quality of Asset: Performing Performing Closing date: 04.06.2005 11.27.2003 Nominal Value of disposal portfolio (€ million): 1,029 749 Guarantees issued by the Bank: - - Guarantees issued by Third Parties: - - Bank Lines of Credit: - UniCredit S.p.A. issued a credit line for €20 million (jointly with The Royal Bank of Scotland Milan Branch). The amount of line of credit is totally redeemed Third Parties Lines of Credit: - - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €15 million (as Equity). At the end of accounting period the amount of capital tranche is fully reimboursed - Other relevant information: - Following the downgrade of Royal Bank of Scotland Plc by Moody's, on 3 August 2012 UniCredit S.p.A. made a reserve of €20 million for the SPV, corresponding to the liquidity line Rating Agencies: S & P/Moody's/Fitch S & P/Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): - - Amount and Conditions of tranching: . ISIN IT0003830418 IT0003830426 IT0003575039 IT0003575070 . Type of security Senior Mezzanine Senior Mezzanine . Class A B A1 B . Rating AA/Aa3/AA AA/Aa3/AA - AA/Aa3/AA . Nominal value issued (€ million): 952 41 682 48 . Nominal value at the end of accounting period (€ million): 30 37 - 18 . ISIN IT0003830434 IT0003575088 IT0003575096 . Type of security Junior Mezzanine Junior . Class C C D . Rating BBB+/Aa3/A+ AA/Aa3/AA - . Nominal value issued (€ million): 36 11 8 . Nominal value at the end of accounting period (€ million): 32 11 8 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 493 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: F-E MORTGAGES 2005 F-E MORTGAGES SERIES 1-2003 Type of securitisation: Traditional Traditional Originator: UniCredit S.p.A. (ex FinecoBank S.p.A.) UniCredit S.p.A. (ex Fin-eco Banca ICQ S.p.A.) Issuer: F-E Mortgages S.r.l. F-E Mortgages S.r.l. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. (ex MCC S.p.A. - Capitalia Gruppo Bancario) UniCredit S.p.A. (ex MCC S.p.A. - Capitalia Gruppo Bancario) Target transaction: Funding/Counterbalancing capacity Funding/Counterbalancing capacity Type of asset: Residential Mortgage Loans Residential Mortgage Loans Quality of Asset: Performing Performing Closing date: 04.06.2005 11.27.2003 Nominal Value of disposal portfolio (€ million): 1,029 749 Guarantees issued by the Bank: - - Guarantees issued by Third Parties: - - Bank Lines of Credit: - UniCredit S.p.A. issued a credit line for €20 million (jointly with The Royal Bank of Scotland Milan Branch). The amount of line of credit is totally redeemed Third Parties Lines of Credit: - - Other Credit Enhancements: UniCredit S.p.A. has granted SPV a subordinated loan of €15 million (as Equity). At the end of accounting period the amount of capital tranche is fully reimboursed - Other relevant information: - Following the downgrade of Royal Bank of Scotland Plc by Moody's, on 3 August 2012 UniCredit S.p.A. made a reserve of €20 million for the SPV, corresponding to the liquidity line Rating Agencies: S & P/Moody's/Fitch S & P/Moody's/Fitch Amount of CDS or other supersenior risk transferred (€ million): - - Amount and Conditions of tranching: . ISIN IT0003830418 IT0003830426 IT0003575039 IT0003575070 . Type of security Senior Mezzanine Senior Mezzanine . Class A B A1 B . Rating AA/Aa3/AA AA/Aa3/AA - AA/Aa3/AA . Nominal value issued (€ million): 952 41 682 48 . Nominal value at the end of accounting period (€ million): 30 37 - 18 . ISIN IT0003830434 IT0003575088 IT0003575096 . Type of security Junior Mezzanine Junior . Class C C D . Rating BBB+/Aa3/A+ AA/Aa3/AA - . Nominal value issued (€ million): 36 11 8 . Nominal value at the end of accounting period (€ million): 32 11 8 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 494 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: ARENA NPL ONE Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex UCCMB S.p.A.) Issuer: Arena NPL One S.r.L. Servicer: UniCredit S.p.A. Arranger: UBS Target transaction: Funding Type of asset: Unsecured loans - mortgage loans Quality of asset: Non-Performing Closing date: 12.04.2014 Nominal Value of disposal portfolio (€ million): 8,461 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: UniCredit S.p.A. issued a line of Liquidity Facility revolving amounts to €100 million, used for €30 million at the end of accounting period. Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Self-securitisation/UniCredit S.p.A. has granted SPV a loans facility of €30 million, used for legal expenses and refunded for an amount of €24 million at the end of accounting period. Rating Agencies: No Rating Agency Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005070120 IT0005070138 . Type of security Senior Junior . Class A B . Rating - - . Nominal value issued (€ million): 304 913 . Nominal value at the end of accounting period (€ million): - 913 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 494 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: ARENA NPL ONE Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex UCCMB S.p.A.) Issuer: Arena NPL One S.r.L. Servicer: UniCredit S.p.A. Arranger: UBS Target transaction: Funding Type of asset: Unsecured loans - mortgage loans Quality of asset: Non-Performing Closing date: 12.04.2014 Nominal Value of disposal portfolio (€ million): 8,461 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: UniCredit S.p.A. issued a line of Liquidity Facility revolving amounts to €100 million, used for €30 million at the end of accounting period. Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Self-securitisation/UniCredit S.p.A. has granted SPV a loans facility of €30 million, used for legal expenses and refunded for an amount of €24 million at the end of accounting period. Rating Agencies: No Rating Agency Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005070120 IT0005070138 . Type of security Senior Junior . Class A B . Rating - - . Nominal value issued (€ million): 304 913 . Nominal value at the end of accounting period (€ million): - 913 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 494 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: ARENA NPL ONE Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex UCCMB S.p.A.) Issuer: Arena NPL One S.r.L. Servicer: UniCredit S.p.A. Arranger: UBS Target transaction: Funding Type of asset: Unsecured loans - mortgage loans Quality of asset: Non-Performing Closing date: 12.04.2014 Nominal Value of disposal portfolio (€ million): 8,461 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: UniCredit S.p.A. issued a line of Liquidity Facility revolving amounts to €100 million, used for €30 million at the end of accounting period. Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Self-securitisation/UniCredit S.p.A. has granted SPV a loans facility of €30 million, used for legal expenses and refunded for an amount of €24 million at the end of accounting period. Rating Agencies: No Rating Agency Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005070120 IT0005070138 . Type of security Senior Junior . Class A B . Rating - - . Nominal value issued (€ million): 304 913 . Nominal value at the end of accounting period (€ million): - 913 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 494 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: ARENA NPL ONE Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex UCCMB S.p.A.) Issuer: Arena NPL One S.r.L. Servicer: UniCredit S.p.A. Arranger: UBS Target transaction: Funding Type of asset: Unsecured loans - mortgage loans Quality of asset: Non-Performing Closing date: 12.04.2014 Nominal Value of disposal portfolio (€ million): 8,461 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: UniCredit S.p.A. issued a line of Liquidity Facility revolving amounts to €100 million, used for €30 million at the end of accounting period. Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Self-securitisation/UniCredit S.p.A. has granted SPV a loans facility of €30 million, used for legal expenses and refunded for an amount of €24 million at the end of accounting period. Rating Agencies: No Rating Agency Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005070120 IT0005070138 . Type of security Senior Junior . Class A B . Rating - - . Nominal value issued (€ million): 304 913 . Nominal value at the end of accounting period (€ million): - 913 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 494 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: ARENA NPL ONE Type of securitisation: Traditional Originator: UniCredit S.p.A. (ex UCCMB S.p.A.) Issuer: Arena NPL One S.r.L. Servicer: UniCredit S.p.A. Arranger: UBS Target transaction: Funding Type of asset: Unsecured loans - mortgage loans Quality of asset: Non-Performing Closing date: 12.04.2014 Nominal Value of disposal portfolio (€ million): 8,461 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: UniCredit S.p.A. issued a line of Liquidity Facility revolving amounts to €100 million, used for €30 million at the end of accounting period. Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Self-securitisation/UniCredit S.p.A. has granted SPV a loans facility of €30 million, used for legal expenses and refunded for an amount of €24 million at the end of accounting period. Rating Agencies: No Rating Agency Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005070120 IT0005070138 . Type of security Senior Junior . Class A B . Rating - - . Nominal value issued (€ million): 304 913 . Nominal value at the end of accounting period (€ million): - 913 The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 495 ORIGINATOR: UniCredit S.p.A. Transaction from previous years STRATEGIES, PROCESSES AND GOALS: The following initiatives, called Pillarstone Italy, were undertaken to allow the Group to improve the management of loan restructuring, also through the innovative use (for this purpose) of securitisation. The goal is to facilitate and increase recoveries of the exposures under securitisation thanks to: - restructuring with long-term industrial logic, focusing on introducing new finance (by third parties) in favour of the debtors sold, with focus on concrete needs and opportunities for the companies involved; - efficient and targeted restructuring and turnaround processes. Shared acceptance of the economic principles that guide the transactions in question and a strong alignment of the interests between the parties involved, ensures the asset manager 's commitment to maximize the value of the said assets, optimising therefore the expected recovery on the junior notes bought by UniCredit S.p.A., through the transferred management of the securitised portfolio. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: UniCredit S.p.A. does not act as Servicer. The business of servicing is carried out by third parties outside the Group, as per the contracts stipulated with the Special Purpose Vehicle issuing the ABS securities, and involves the administration, encashment, restructuring and collection of securitised loans, on behalf thereof, as well as managing any recovery proceedings on Non-Performing loans. The Servicer of the assets, therefore, has the task, on an ongoing basis, of following the financial flows arising from the securitised loans, constantly monitoring the encashment, also where appropriate making use of third party companies. For each specific transaction, the Servicer provides the Special Purpose Vehicle (in addition to other counterparties as defined in the servicing contracts, including UniCredit S.p.A.) with information on the activities carried out via periodic reports which show, inter alia, the collection and realization of the assigned receivables, the number of defaulted positions and the successfully completed recoveries, the instalments in arrears, restructuring activities, etc. Where contractually provided for, these reports are periodically checked by an independent auditors' firm. ORGANIZATIONAL STRUCTURE: The Servicer provides UniCredit S.p.A. with a series of reports that enable the evaluation and monitoring of the underlying portfolios. On a quarterly basis the performances are also presented in the reference internal Credit Committees. HEDGING POLICIES: There are no risk hedging derivatives. OPERATING RESULTS: We implemented a set of monitoring initiatives, focused on one side on the single company performances and, on the other side, on the evolution of the Pillartsone project as a whole. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 495 ORIGINATOR: UniCredit S.p.A. Transaction from previous years STRATEGIES, PROCESSES AND GOALS: The following initiatives, called Pillarstone Italy, were undertaken to allow the Group to improve the management of loan restructuring, also through the innovative use (for this purpose) of securitisation. The goal is to facilitate and increase recoveries of the exposures under securitisation thanks to: - restructuring with long-term industrial logic, focusing on introducing new finance (by third parties) in favour of the debtors sold, with focus on concrete needs and opportunities for the companies involved; - efficient and targeted restructuring and turnaround processes. Shared acceptance of the economic principles that guide the transactions in question and a strong alignment of the interests between the parties involved, ensures the asset manager 's commitment to maximize the value of the said assets, optimising therefore the expected recovery on the junior notes bought by UniCredit S.p.A., through the transferred management of the securitised portfolio. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: UniCredit S.p.A. does not act as Servicer. The business of servicing is carried out by third parties outside the Group, as per the contracts stipulated with the Special Purpose Vehicle issuing the ABS securities, and involves the administration, encashment, restructuring and collection of securitised loans, on behalf thereof, as well as managing any recovery proceedings on Non-Performing loans. The Servicer of the assets, therefore, has the task, on an ongoing basis, of following the financial flows arising from the securitised loans, constantly monitoring the encashment, also where appropriate making use of third party companies. For each specific transaction, the Servicer provides the Special Purpose Vehicle (in addition to other counterparties as defined in the servicing contracts, including UniCredit S.p.A.) with information on the activities carried out via periodic reports which show, inter alia, the collection and realization of the assigned receivables, the number of defaulted positions and the successfully completed recoveries, the instalments in arrears, restructuring activities, etc. Where contractually provided for, these reports are periodically checked by an independent auditors' firm. ORGANIZATIONAL STRUCTURE: The Servicer provides UniCredit S.p.A. with a series of reports that enable the evaluation and monitoring of the underlying portfolios. On a quarterly basis the performances are also presented in the reference internal Credit Committees. HEDGING POLICIES: There are no risk hedging derivatives. OPERATING RESULTS: We implemented a set of monitoring initiatives, focused on one side on the single company performances and, on the other side, on the evolution of the Pillartsone project as a whole. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 495 ORIGINATOR: UniCredit S.p.A. Transaction from previous years STRATEGIES, PROCESSES AND GOALS: The following initiatives, called Pillarstone Italy, were undertaken to allow the Group to improve the management of loan restructuring, also through the innovative use (for this purpose) of securitisation. The goal is to facilitate and increase recoveries of the exposures under securitisation thanks to: - restructuring with long-term industrial logic, focusing on introducing new finance (by third parties) in favour of the debtors sold, with focus on concrete needs and opportunities for the companies involved; - efficient and targeted restructuring and turnaround processes. Shared acceptance of the economic principles that guide the transactions in question and a strong alignment of the interests between the parties involved, ensures the asset manager 's commitment to maximize the value of the said assets, optimising therefore the expected recovery on the junior notes bought by UniCredit S.p.A., through the transferred management of the securitised portfolio. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: UniCredit S.p.A. does not act as Servicer. The business of servicing is carried out by third parties outside the Group, as per the contracts stipulated with the Special Purpose Vehicle issuing the ABS securities, and involves the administration, encashment, restructuring and collection of securitised loans, on behalf thereof, as well as managing any recovery proceedings on Non-Performing loans. The Servicer of the assets, therefore, has the task, on an ongoing basis, of following the financial flows arising from the securitised loans, constantly monitoring the encashment, also where appropriate making use of third party companies. For each specific transaction, the Servicer provides the Special Purpose Vehicle (in addition to other counterparties as defined in the servicing contracts, including UniCredit S.p.A.) with information on the activities carried out via periodic reports which show, inter alia, the collection and realization of the assigned receivables, the number of defaulted positions and the successfully completed recoveries, the instalments in arrears, restructuring activities, etc. Where contractually provided for, these reports are periodically checked by an independent auditors' firm. ORGANIZATIONAL STRUCTURE: The Servicer provides UniCredit S.p.A. with a series of reports that enable the evaluation and monitoring of the underlying portfolios. On a quarterly basis the performances are also presented in the reference internal Credit Committees. HEDGING POLICIES: There are no risk hedging derivatives. OPERATING RESULTS: We implemented a set of monitoring initiatives, focused on one side on the single company performances and, on the other side, on the evolution of the Pillartsone project as a whole. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 495 ORIGINATOR: UniCredit S.p.A. Transaction from previous years STRATEGIES, PROCESSES AND GOALS: The following initiatives, called Pillarstone Italy, were undertaken to allow the Group to improve the management of loan restructuring, also through the innovative use (for this purpose) of securitisation. The goal is to facilitate and increase recoveries of the exposures under securitisation thanks to: - restructuring with long-term industrial logic, focusing on introducing new finance (by third parties) in favour of the debtors sold, with focus on concrete needs and opportunities for the companies involved; - efficient and targeted restructuring and turnaround processes. Shared acceptance of the economic principles that guide the transactions in question and a strong alignment of the interests between the parties involved, ensures the asset manager 's commitment to maximize the value of the said assets, optimising therefore the expected recovery on the junior notes bought by UniCredit S.p.A., through the transferred management of the securitised portfolio. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: UniCredit S.p.A. does not act as Servicer. The business of servicing is carried out by third parties outside the Group, as per the contracts stipulated with the Special Purpose Vehicle issuing the ABS securities, and involves the administration, encashment, restructuring and collection of securitised loans, on behalf thereof, as well as managing any recovery proceedings on Non-Performing loans. The Servicer of the assets, therefore, has the task, on an ongoing basis, of following the financial flows arising from the securitised loans, constantly monitoring the encashment, also where appropriate making use of third party companies. For each specific transaction, the Servicer provides the Special Purpose Vehicle (in addition to other counterparties as defined in the servicing contracts, including UniCredit S.p.A.) with information on the activities carried out via periodic reports which show, inter alia, the collection and realization of the assigned receivables, the number of defaulted positions and the successfully completed recoveries, the instalments in arrears, restructuring activities, etc. Where contractually provided for, these reports are periodically checked by an independent auditors' firm. ORGANIZATIONAL STRUCTURE: The Servicer provides UniCredit S.p.A. with a series of reports that enable the evaluation and monitoring of the underlying portfolios. On a quarterly basis the performances are also presented in the reference internal Credit Committees. HEDGING POLICIES: There are no risk hedging derivatives. OPERATING RESULTS: We implemented a set of monitoring initiatives, focused on one side on the single company performances and, on the other side, on the evolution of the Pillartsone project as a whole. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 495 ORIGINATOR: UniCredit S.p.A. Transaction from previous years STRATEGIES, PROCESSES AND GOALS: The following initiatives, called Pillarstone Italy, were undertaken to allow the Group to improve the management of loan restructuring, also through the innovative use (for this purpose) of securitisation. The goal is to facilitate and increase recoveries of the exposures under securitisation thanks to: - restructuring with long-term industrial logic, focusing on introducing new finance (by third parties) in favour of the debtors sold, with focus on concrete needs and opportunities for the companies involved; - efficient and targeted restructuring and turnaround processes. Shared acceptance of the economic principles that guide the transactions in question and a strong alignment of the interests between the parties involved, ensures the asset manager 's commitment to maximize the value of the said assets, optimising therefore the expected recovery on the junior notes bought by UniCredit S.p.A., through the transferred management of the securitised portfolio. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: UniCredit S.p.A. does not act as Servicer. The business of servicing is carried out by third parties outside the Group, as per the contracts stipulated with the Special Purpose Vehicle issuing the ABS securities, and involves the administration, encashment, restructuring and collection of securitised loans, on behalf thereof, as well as managing any recovery proceedings on Non-Performing loans. The Servicer of the assets, therefore, has the task, on an ongoing basis, of following the financial flows arising from the securitised loans, constantly monitoring the encashment, also where appropriate making use of third party companies. For each specific transaction, the Servicer provides the Special Purpose Vehicle (in addition to other counterparties as defined in the servicing contracts, including UniCredit S.p.A.) with information on the activities carried out via periodic reports which show, inter alia, the collection and realization of the assigned receivables, the number of defaulted positions and the successfully completed recoveries, the instalments in arrears, restructuring activities, etc. Where contractually provided for, these reports are periodically checked by an independent auditors' firm. ORGANIZATIONAL STRUCTURE: The Servicer provides UniCredit S.p.A. with a series of reports that enable the evaluation and monitoring of the underlying portfolios. On a quarterly basis the performances are also presented in the reference internal Credit Committees. HEDGING POLICIES: There are no risk hedging derivatives. OPERATING RESULTS: We implemented a set of monitoring initiatives, focused on one side on the single company performances and, on the other side, on the evolution of the Pillartsone project as a whole. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 496 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Operations of securitisation of Non-Performing credits SECURITISATION NAME: SANDOKAN Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Yanez S.r.l. Servicer: Banca Finanziaria Internazionale S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtors sold, in order to optimise the reimbursement of the securitised portfolio. Type of asset: Corporate loans Quality of Asset: Unlikely to pay + NPL Closing date: 12.11.2016 11.21.2017 10.17.2018 12.12.2018 Nominal Value of disposal portfolio (€ million): 861 240 18 96 Net amount of pre-existing write-down/write-backs: - - - - Disposal Profit & Loss realised (€ million): - - - - Portfolio disposal price (€ million): 861 240 18 96 Guarantees issued by the Bank: - - - - Guarantees issued by Third Parties: - - - - Bank Lines of Credit : 10 Third Parties Lines of Credit (€ million): - - - - Other Credit Enhancements (€ million): - - - - Other relevant information: - - - - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005382103 IT0005273674 . Type of security Senior(*)(**) Senior(*)(**) . Class AS1 AS2 . Rating - - . Quotation - - . Issue date 08.11.2019 07.31.2017 . Legal maturity 11.30.2025 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 4.5% 4.0% . Subordinated level pari passu AS2 pari passu AS1 . Nominal value issued (€ million) 150 100 . Nominal value at the end of accounting period (€ million) 3 - . Security subscribers D2 Europe I S.à r.l./Banca Finanziaria Internazionale Celidoria S.a.r.l./Europa Plus SCA SIF/Banca Finanziaria Internazionale Amount and Condition of tranching: . ISIN IT0005382111 IT0005273690 . Type of security Senior(*)(**) Senior(*)(**) . Class AJ1 AJ2 . Rating - - . Quotation - - . Issue date 08.11.2019 07.31.2017 . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS1, AS2, pari passu AJ2, AX Sub AS1, AS2, pari passu AJ1 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) - - . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF Celidoria S.a.r.l./Europa Plus SCA SIF . ISIN IT0005273666 IT0005273708 . Type of security Senior(*)(**) Mezzanine(*) . Class AX B1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 11.08.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 14.0% 3.0% . Subordinated level Sub AS1, AS2, pari passu AJ1, AJ2 Sub AS1, AS2, AJ . Nominal value issued (€ million) 10 181(***) . Nominal value at the end of accounting period (€ million) - - . Security subscribers Banca Finanziaria Internazionale UniCredit S.p.A. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 496 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Operations of securitisation of Non-Performing credits SECURITISATION NAME: SANDOKAN Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Yanez S.r.l. Servicer: Banca Finanziaria Internazionale S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtors sold, in order to optimise the reimbursement of the securitised portfolio. Type of asset: Corporate loans Quality of Asset: Unlikely to pay + NPL Closing date: 12.11.2016 11.21.2017 10.17.2018 12.12.2018 Nominal Value of disposal portfolio (€ million): 861 240 18 96 Net amount of pre-existing write-down/write-backs: - - - - Disposal Profit & Loss realised (€ million): - - - - Portfolio disposal price (€ million): 861 240 18 96 Guarantees issued by the Bank: - - - - Guarantees issued by Third Parties: - - - - Bank Lines of Credit : 10 Third Parties Lines of Credit (€ million): - - - - Other Credit Enhancements (€ million): - - - - Other relevant information: - - - - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005382103 IT0005273674 . Type of security Senior(*)(**) Senior(*)(**) . Class AS1 AS2 . Rating - - . Quotation - - . Issue date 08.11.2019 07.31.2017 . Legal maturity 11.30.2025 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 4.5% 4.0% . Subordinated level pari passu AS2 pari passu AS1 . Nominal value issued (€ million) 150 100 . Nominal value at the end of accounting period (€ million) 3 - . Security subscribers D2 Europe I S.à r.l./Banca Finanziaria Internazionale Celidoria S.a.r.l./Europa Plus SCA SIF/Banca Finanziaria Internazionale Amount and Condition of tranching: . ISIN IT0005382111 IT0005273690 . Type of security Senior(*)(**) Senior(*)(**) . Class AJ1 AJ2 . Rating - - . Quotation - - . Issue date 08.11.2019 07.31.2017 . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS1, AS2, pari passu AJ2, AX Sub AS1, AS2, pari passu AJ1 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) - - . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF Celidoria S.a.r.l./Europa Plus SCA SIF . ISIN IT0005273666 IT0005273708 . Type of security Senior(*)(**) Mezzanine(*) . Class AX B1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 11.08.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 14.0% 3.0% . Subordinated level Sub AS1, AS2, pari passu AJ1, AJ2 Sub AS1, AS2, AJ . Nominal value issued (€ million) 10 181(***) . Nominal value at the end of accounting period (€ million) - - . Security subscribers Banca Finanziaria Internazionale UniCredit S.p.A. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 496 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Operations of securitisation of Non-Performing credits SECURITISATION NAME: SANDOKAN Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Yanez S.r.l. Servicer: Banca Finanziaria Internazionale S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtors sold, in order to optimise the reimbursement of the securitised portfolio. Type of asset: Corporate loans Quality of Asset: Unlikely to pay + NPL Closing date: 12.11.2016 11.21.2017 10.17.2018 12.12.2018 Nominal Value of disposal portfolio (€ million): 861 240 18 96 Net amount of pre-existing write-down/write-backs: - - - - Disposal Profit & Loss realised (€ million): - - - - Portfolio disposal price (€ million): 861 240 18 96 Guarantees issued by the Bank: - - - - Guarantees issued by Third Parties: - - - - Bank Lines of Credit : 10 Third Parties Lines of Credit (€ million): - - - - Other Credit Enhancements (€ million): - - - - Other relevant information: - - - - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005382103 IT0005273674 . Type of security Senior(*)(**) Senior(*)(**) . Class AS1 AS2 . Rating - - . Quotation - - . Issue date 08.11.2019 07.31.2017 . Legal maturity 11.30.2025 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 4.5% 4.0% . Subordinated level pari passu AS2 pari passu AS1 . Nominal value issued (€ million) 150 100 . Nominal value at the end of accounting period (€ million) 3 - . Security subscribers D2 Europe I S.à r.l./Banca Finanziaria Internazionale Celidoria S.a.r.l./Europa Plus SCA SIF/Banca Finanziaria Internazionale Amount and Condition of tranching: . ISIN IT0005382111 IT0005273690 . Type of security Senior(*)(**) Senior(*)(**) . Class AJ1 AJ2 . Rating - - . Quotation - - . Issue date 08.11.2019 07.31.2017 . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS1, AS2, pari passu AJ2, AX Sub AS1, AS2, pari passu AJ1 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) - - . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF Celidoria S.a.r.l./Europa Plus SCA SIF . ISIN IT0005273666 IT0005273708 . Type of security Senior(*)(**) Mezzanine(*) . Class AX B1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 11.08.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 14.0% 3.0% . Subordinated level Sub AS1, AS2, pari passu AJ1, AJ2 Sub AS1, AS2, AJ . Nominal value issued (€ million) 10 181(***) . Nominal value at the end of accounting period (€ million) - - . Security subscribers Banca Finanziaria Internazionale UniCredit S.p.A. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 496 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Operations of securitisation of Non-Performing credits SECURITISATION NAME: SANDOKAN Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Yanez S.r.l. Servicer: Banca Finanziaria Internazionale S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtors sold, in order to optimise the reimbursement of the securitised portfolio. Type of asset: Corporate loans Quality of Asset: Unlikely to pay + NPL Closing date: 12.11.2016 11.21.2017 10.17.2018 12.12.2018 Nominal Value of disposal portfolio (€ million): 861 240 18 96 Net amount of pre-existing write-down/write-backs: - - - - Disposal Profit & Loss realised (€ million): - - - - Portfolio disposal price (€ million): 861 240 18 96 Guarantees issued by the Bank: - - - - Guarantees issued by Third Parties: - - - - Bank Lines of Credit : 10 Third Parties Lines of Credit (€ million): - - - - Other Credit Enhancements (€ million): - - - - Other relevant information: - - - - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005382103 IT0005273674 . Type of security Senior(*)(**) Senior(*)(**) . Class AS1 AS2 . Rating - - . Quotation - - . Issue date 08.11.2019 07.31.2017 . Legal maturity 11.30.2025 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 4.5% 4.0% . Subordinated level pari passu AS2 pari passu AS1 . Nominal value issued (€ million) 150 100 . Nominal value at the end of accounting period (€ million) 3 - . Security subscribers D2 Europe I S.à r.l./Banca Finanziaria Internazionale Celidoria S.a.r.l./Europa Plus SCA SIF/Banca Finanziaria Internazionale Amount and Condition of tranching: . ISIN IT0005382111 IT0005273690 . Type of security Senior(*)(**) Senior(*)(**) . Class AJ1 AJ2 . Rating - - . Quotation - - . Issue date 08.11.2019 07.31.2017 . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS1, AS2, pari passu AJ2, AX Sub AS1, AS2, pari passu AJ1 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) - - . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF Celidoria S.a.r.l./Europa Plus SCA SIF . ISIN IT0005273666 IT0005273708 . Type of security Senior(*)(**) Mezzanine(*) . Class AX B1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 11.08.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 14.0% 3.0% . Subordinated level Sub AS1, AS2, pari passu AJ1, AJ2 Sub AS1, AS2, AJ . Nominal value issued (€ million) 10 181(***) . Nominal value at the end of accounting period (€ million) - - . Security subscribers Banca Finanziaria Internazionale UniCredit S.p.A. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 496 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Operations of securitisation of Non-Performing credits SECURITISATION NAME: SANDOKAN Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Yanez S.r.l. Servicer: Banca Finanziaria Internazionale S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtors sold, in order to optimise the reimbursement of the securitised portfolio. Type of asset: Corporate loans Quality of Asset: Unlikely to pay + NPL Closing date: 12.11.2016 11.21.2017 10.17.2018 12.12.2018 Nominal Value of disposal portfolio (€ million): 861 240 18 96 Net amount of pre-existing write-down/write-backs: - - - - Disposal Profit & Loss realised (€ million): - - - - Portfolio disposal price (€ million): 861 240 18 96 Guarantees issued by the Bank: - - - - Guarantees issued by Third Parties: - - - - Bank Lines of Credit : 10 Third Parties Lines of Credit (€ million): - - - - Other Credit Enhancements (€ million): - - - - Other relevant information: - - - - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005382103 IT0005273674 . Type of security Senior(*)(**) Senior(*)(**) . Class AS1 AS2 . Rating - - . Quotation - - . Issue date 08.11.2019 07.31.2017 . Legal maturity 11.30.2025 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 4.5% 4.0% . Subordinated level pari passu AS2 pari passu AS1 . Nominal value issued (€ million) 150 100 . Nominal value at the end of accounting period (€ million) 3 - . Security subscribers D2 Europe I S.à r.l./Banca Finanziaria Internazionale Celidoria S.a.r.l./Europa Plus SCA SIF/Banca Finanziaria Internazionale Amount and Condition of tranching: . ISIN IT0005382111 IT0005273690 . Type of security Senior(*)(**) Senior(*)(**) . Class AJ1 AJ2 . Rating - - . Quotation - - . Issue date 08.11.2019 07.31.2017 . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS1, AS2, pari passu AJ2, AX Sub AS1, AS2, pari passu AJ1 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) - - . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF Celidoria S.a.r.l./Europa Plus SCA SIF . ISIN IT0005273666 IT0005273708 . Type of security Senior(*)(**) Mezzanine(*) . Class AX B1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 11.08.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) - - . Rate 14.0% 3.0% . Subordinated level Sub AS1, AS2, pari passu AJ1, AJ2 Sub AS1, AS2, AJ . Nominal value issued (€ million) 10 181(***) . Nominal value at the end of accounting period (€ million) - - . Security subscribers Banca Finanziaria Internazionale UniCredit S.p.A. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 497 continued from previous page SECURITISATION NAME: SANDOKAN . ISIN IT0005273724 IT0005273732 . Type of security Mezzanine(*) Mezzanine(*) . Class B2 C1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 1.6 3.9 . Rate 7.5% 3.5% . Subordinated level Sub AS1, AS2, AJ, AX, B1 Sub AS1, AS2, AJ, AX, B1, B2 . Nominal value issued (€ million) 45(***) 62(**) . Nominal value at the end of accounting period (€ million) 0 30 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. . ISIN IT0005273740 IT0005273757 . Type of security Mezzanine(*) Mezzanine(*) . Class C2 D1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 4.9 6.3 . Rate 15.0% 4.0% . Subordinated level Sub AS1, AS2, AJ, AX, B1, B2, C1 Sub AS1, AS2, AJ, AX, B1, B2, C1, C2 . Nominal value issued (€ million) 16(***) 153(***) . Nominal value at the end of accounting period (€ million) 8 153 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. . ISIN IT0005273773 IT0005273872 . Type of security Mezzanine(*) Junior(*) . Class D2 E . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 6.9 10.0 . Rate 19.0% 5% . Subordinated level Sub AS1, AS2, AJ, AX, B1, B2, C1, C2, D1 Sub AS1, AS2, AJ, AX, B1, B2, C1, C2, D1, D2 . Nominal value issued (€ million) 8(***) 750(***) . Nominal value at the end of accounting period (€ million) 8 750 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. Distribution of securitised assets by area (€): Italy 1,215 Other European Countries - E.U. countries - - non-E.U. countries - America - Rest of the World - Total 1,215 Distribution of securitised assets by business sector of the borrower (€): Governments - other governments agencies - Banks - Financial Companies - Insurance Companies - Non-financial companies 1,215 Other entities - Total 1,215 Notes: (*) The classification of the field "Type of security" refers to Bank of Italy Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. (**) Securities issued to fund new money finance needs. (***) Nominal Value Issued B1: €172 million at Note Issuance + €9 million due to Size Increase; Nominal Value Issued B2: €43 million + €2 million following Size Increase; Nominal Value Issued C1: €57 million + €5 million due to Size Increase; Nominal Value Issued C2: €14 million + €1 million following the Size Increase; Nominal Value Issued D1: €126 million + €27 million due to Size Increase; Nominal Value Issued D2: €7 million + €1 million due to Size Increase Nominal Value Issued: €442 million + €308 million due to Size Increase. The "Closing date "corresponds to the date of portfolio sale. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 497 continued from previous page SECURITISATION NAME: SANDOKAN . ISIN IT0005273724 IT0005273732 . Type of security Mezzanine(*) Mezzanine(*) . Class B2 C1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 1.6 3.9 . Rate 7.5% 3.5% . Subordinated level Sub AS1, AS2, AJ, AX, B1 Sub AS1, AS2, AJ, AX, B1, B2 . Nominal value issued (€ million) 45(***) 62(**) . Nominal value at the end of accounting period (€ million) 0 30 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. . ISIN IT0005273740 IT0005273757 . Type of security Mezzanine(*) Mezzanine(*) . Class C2 D1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 4.9 6.3 . Rate 15.0% 4.0% . Subordinated level Sub AS1, AS2, AJ, AX, B1, B2, C1 Sub AS1, AS2, AJ, AX, B1, B2, C1, C2 . Nominal value issued (€ million) 16(***) 153(***) . Nominal value at the end of accounting period (€ million) 8 153 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. . ISIN IT0005273773 IT0005273872 . Type of security Mezzanine(*) Junior(*) . Class D2 E . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 6.9 10.0 . Rate 19.0% 5% . Subordinated level Sub AS1, AS2, AJ, AX, B1, B2, C1, C2, D1 Sub AS1, AS2, AJ, AX, B1, B2, C1, C2, D1, D2 . Nominal value issued (€ million) 8(***) 750(***) . Nominal value at the end of accounting period (€ million) 8 750 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. Distribution of securitised assets by area (€): Italy 1,215 Other European Countries - E.U. countries - - non-E.U. countries - America - Rest of the World - Total 1,215 Distribution of securitised assets by business sector of the borrower (€): Governments - other governments agencies - Banks - Financial Companies - Insurance Companies - Non-financial companies 1,215 Other entities - Total 1,215 Notes: (*) The classification of the field "Type of security" refers to Bank of Italy Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. (**) Securities issued to fund new money finance needs. (***) Nominal Value Issued B1: €172 million at Note Issuance + €9 million due to Size Increase; Nominal Value Issued B2: €43 million + €2 million following Size Increase; Nominal Value Issued C1: €57 million + €5 million due to Size Increase; Nominal Value Issued C2: €14 million + €1 million following the Size Increase; Nominal Value Issued D1: €126 million + €27 million due to Size Increase; Nominal Value Issued D2: €7 million + €1 million due to Size Increase Nominal Value Issued: €442 million + €308 million due to Size Increase. The "Closing date "corresponds to the date of portfolio sale. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 497 continued from previous page SECURITISATION NAME: SANDOKAN . ISIN IT0005273724 IT0005273732 . Type of security Mezzanine(*) Mezzanine(*) . Class B2 C1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 1.6 3.9 . Rate 7.5% 3.5% . Subordinated level Sub AS1, AS2, AJ, AX, B1 Sub AS1, AS2, AJ, AX, B1, B2 . Nominal value issued (€ million) 45(***) 62(**) . Nominal value at the end of accounting period (€ million) 0 30 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. . ISIN IT0005273740 IT0005273757 . Type of security Mezzanine(*) Mezzanine(*) . Class C2 D1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 4.9 6.3 . Rate 15.0% 4.0% . Subordinated level Sub AS1, AS2, AJ, AX, B1, B2, C1 Sub AS1, AS2, AJ, AX, B1, B2, C1, C2 . Nominal value issued (€ million) 16(***) 153(***) . Nominal value at the end of accounting period (€ million) 8 153 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. . ISIN IT0005273773 IT0005273872 . Type of security Mezzanine(*) Junior(*) . Class D2 E . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 6.9 10.0 . Rate 19.0% 5% . Subordinated level Sub AS1, AS2, AJ, AX, B1, B2, C1, C2, D1 Sub AS1, AS2, AJ, AX, B1, B2, C1, C2, D1, D2 . Nominal value issued (€ million) 8(***) 750(***) . Nominal value at the end of accounting period (€ million) 8 750 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. Distribution of securitised assets by area (€): Italy 1,215 Other European Countries - E.U. countries - - non-E.U. countries - America - Rest of the World - Total 1,215 Distribution of securitised assets by business sector of the borrower (€): Governments - other governments agencies - Banks - Financial Companies - Insurance Companies - Non-financial companies 1,215 Other entities - Total 1,215 Notes: (*) The classification of the field "Type of security" refers to Bank of Italy Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. (**) Securities issued to fund new money finance needs. (***) Nominal Value Issued B1: €172 million at Note Issuance + €9 million due to Size Increase; Nominal Value Issued B2: €43 million + €2 million following Size Increase; Nominal Value Issued C1: €57 million + €5 million due to Size Increase; Nominal Value Issued C2: €14 million + €1 million following the Size Increase; Nominal Value Issued D1: €126 million + €27 million due to Size Increase; Nominal Value Issued D2: €7 million + €1 million due to Size Increase Nominal Value Issued: €442 million + €308 million due to Size Increase. The "Closing date "corresponds to the date of portfolio sale. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 497 continued from previous page SECURITISATION NAME: SANDOKAN . ISIN IT0005273724 IT0005273732 . Type of security Mezzanine(*) Mezzanine(*) . Class B2 C1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 1.6 3.9 . Rate 7.5% 3.5% . Subordinated level Sub AS1, AS2, AJ, AX, B1 Sub AS1, AS2, AJ, AX, B1, B2 . Nominal value issued (€ million) 45(***) 62(**) . Nominal value at the end of accounting period (€ million) 0 30 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. . ISIN IT0005273740 IT0005273757 . Type of security Mezzanine(*) Mezzanine(*) . Class C2 D1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 4.9 6.3 . Rate 15.0% 4.0% . Subordinated level Sub AS1, AS2, AJ, AX, B1, B2, C1 Sub AS1, AS2, AJ, AX, B1, B2, C1, C2 . Nominal value issued (€ million) 16(***) 153(***) . Nominal value at the end of accounting period (€ million) 8 153 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. . ISIN IT0005273773 IT0005273872 . Type of security Mezzanine(*) Junior(*) . Class D2 E . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 6.9 10.0 . Rate 19.0% 5% . Subordinated level Sub AS1, AS2, AJ, AX, B1, B2, C1, C2, D1 Sub AS1, AS2, AJ, AX, B1, B2, C1, C2, D1, D2 . Nominal value issued (€ million) 8(***) 750(***) . Nominal value at the end of accounting period (€ million) 8 750 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. Distribution of securitised assets by area (€): Italy 1,215 Other European Countries - E.U. countries - - non-E.U. countries - America - Rest of the World - Total 1,215 Distribution of securitised assets by business sector of the borrower (€): Governments - other governments agencies - Banks - Financial Companies - Insurance Companies - Non-financial companies 1,215 Other entities - Total 1,215 Notes: (*) The classification of the field "Type of security" refers to Bank of Italy Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. (**) Securities issued to fund new money finance needs. (***) Nominal Value Issued B1: €172 million at Note Issuance + €9 million due to Size Increase; Nominal Value Issued B2: €43 million + €2 million following Size Increase; Nominal Value Issued C1: €57 million + €5 million due to Size Increase; Nominal Value Issued C2: €14 million + €1 million following the Size Increase; Nominal Value Issued D1: €126 million + €27 million due to Size Increase; Nominal Value Issued D2: €7 million + €1 million due to Size Increase Nominal Value Issued: €442 million + €308 million due to Size Increase. The "Closing date "corresponds to the date of portfolio sale. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 497 continued from previous page SECURITISATION NAME: SANDOKAN . ISIN IT0005273724 IT0005273732 . Type of security Mezzanine(*) Mezzanine(*) . Class B2 C1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 1.6 3.9 . Rate 7.5% 3.5% . Subordinated level Sub AS1, AS2, AJ, AX, B1 Sub AS1, AS2, AJ, AX, B1, B2 . Nominal value issued (€ million) 45(***) 62(**) . Nominal value at the end of accounting period (€ million) 0 30 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. . ISIN IT0005273740 IT0005273757 . Type of security Mezzanine(*) Mezzanine(*) . Class C2 D1 . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 4.9 6.3 . Rate 15.0% 4.0% . Subordinated level Sub AS1, AS2, AJ, AX, B1, B2, C1 Sub AS1, AS2, AJ, AX, B1, B2, C1, C2 . Nominal value issued (€ million) 16(***) 153(***) . Nominal value at the end of accounting period (€ million) 8 153 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. . ISIN IT0005273773 IT0005273872 . Type of security Mezzanine(*) Junior(*) . Class D2 E . Rating - - . Quotation - - . Issue date 07.31.2017 - 05.10.2019 (size increase) 07.31.2017 - 05.10.2019 (size increase) . Legal maturity 11.30.2050 11.30.2050 . Call option - - . Expected duration (years) 6.9 10.0 . Rate 19.0% 5% . Subordinated level Sub AS1, AS2, AJ, AX, B1, B2, C1, C2, D1 Sub AS1, AS2, AJ, AX, B1, B2, C1, C2, D1, D2 . Nominal value issued (€ million) 8(***) 750(***) . Nominal value at the end of accounting period (€ million) 8 750 . Security subscribers Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest UniCredit S.p.A. Distribution of securitised assets by area (€): Italy 1,215 Other European Countries - E.U. countries - - non-E.U. countries - America - Rest of the World - Total 1,215 Distribution of securitised assets by business sector of the borrower (€): Governments - other governments agencies - Banks - Financial Companies - Insurance Companies - Non-financial companies 1,215 Other entities - Total 1,215 Notes: (*) The classification of the field "Type of security" refers to Bank of Italy Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. (**) Securities issued to fund new money finance needs. (***) Nominal Value Issued B1: €172 million at Note Issuance + €9 million due to Size Increase; Nominal Value Issued B2: €43 million + €2 million following Size Increase; Nominal Value Issued C1: €57 million + €5 million due to Size Increase; Nominal Value Issued C2: €14 million + €1 million following the Size Increase; Nominal Value Issued D1: €126 million + €27 million due to Size Increase; Nominal Value Issued D2: €7 million + €1 million due to Size Increase Nominal Value Issued: €442 million + €308 million due to Size Increase. The "Closing date "corresponds to the date of portfolio sale. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 498 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: SANDOKAN 2 Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Yanez S.r.l. Servicer: Banca Finanziaria Internazionale S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtors sold, in order to optimise the reimbursement of the securitised portfolio. Type of asset: Corporate loans Quality of Asset: Unlikely to pay + NPL Closing date: 06.05.2019 07.17.2019 12.04.2019 03.09.2020 05.07.2020 Nominal Value of disposal portfolio (€ million): 144 163 381 86 162 Net amount of pre-existing write-down/write-backs: - - - - - Disposal Profit & Loss realised (€ million): - - - - - Portfolio disposal price (€ million): 144 163 381 86 162 Guarantees issued by the Bank: - - - - - Guarantees issued by Third Parties: - - - - - Bank Lines of Credit: 10 Third Parties Lines of Credit (€ million): - Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005432114 IT0005432270 . Type of security Senior(*)(**) Senior(*)(**) . Class AS2 AS4 . Rating - - . Quotation - - . Issue date 12.30.2020 - 10.29.2021 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 4.0% 4.0% . Subordinated level pari passu AS4 pari passu AS2 . Nominal value issued (€ million) 100 100 . Nominal value at the end of accounting period (€ million) 14 - . Security subscribers PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund/Banca Finanziaria Internazionale PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund/Banca Finanziaria Internazionale Amount and Condition of tranching: . ISIN IT0005432288 IT0005432296 . Type of security Senior(*)(**) Senior(*)(**) . Class AJ2 AJ4 . Rating - - . Quotation - - . Issue date 12.30.2020 - 10.29.2021 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS2, AS4, pari passu AJ4, AX Sub AS2, AS4, pari passu AJ2 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) 1 - . Security subscribers PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432304 IT0005432312 . Type of security Senior(*)(**) Senior(*)(**) . Class AX AY . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS2, AS4, pari passu AJ2, AJ4 and AY Sub AS2, AS4, pari passu AJ2, AJ4 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) - - . Security subscribers Yanez/Banca Finanziaria Internazionale Yanez/Banca Finanziaria Internazionale Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 498 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: SANDOKAN 2 Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Yanez S.r.l. Servicer: Banca Finanziaria Internazionale S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtors sold, in order to optimise the reimbursement of the securitised portfolio. Type of asset: Corporate loans Quality of Asset: Unlikely to pay + NPL Closing date: 06.05.2019 07.17.2019 12.04.2019 03.09.2020 05.07.2020 Nominal Value of disposal portfolio (€ million): 144 163 381 86 162 Net amount of pre-existing write-down/write-backs: - - - - - Disposal Profit & Loss realised (€ million): - - - - - Portfolio disposal price (€ million): 144 163 381 86 162 Guarantees issued by the Bank: - - - - - Guarantees issued by Third Parties: - - - - - Bank Lines of Credit: 10 Third Parties Lines of Credit (€ million): - Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005432114 IT0005432270 . Type of security Senior(*)(**) Senior(*)(**) . Class AS2 AS4 . Rating - - . Quotation - - . Issue date 12.30.2020 - 10.29.2021 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 4.0% 4.0% . Subordinated level pari passu AS4 pari passu AS2 . Nominal value issued (€ million) 100 100 . Nominal value at the end of accounting period (€ million) 14 - . Security subscribers PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund/Banca Finanziaria Internazionale PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund/Banca Finanziaria Internazionale Amount and Condition of tranching: . ISIN IT0005432288 IT0005432296 . Type of security Senior(*)(**) Senior(*)(**) . Class AJ2 AJ4 . Rating - - . Quotation - - . Issue date 12.30.2020 - 10.29.2021 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS2, AS4, pari passu AJ4, AX Sub AS2, AS4, pari passu AJ2 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) 1 - . Security subscribers PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432304 IT0005432312 . Type of security Senior(*)(**) Senior(*)(**) . Class AX AY . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS2, AS4, pari passu AJ2, AJ4 and AY Sub AS2, AS4, pari passu AJ2, AJ4 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) - - . Security subscribers Yanez/Banca Finanziaria Internazionale Yanez/Banca Finanziaria Internazionale Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 498 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: SANDOKAN 2 Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Yanez S.r.l. Servicer: Banca Finanziaria Internazionale S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtors sold, in order to optimise the reimbursement of the securitised portfolio. Type of asset: Corporate loans Quality of Asset: Unlikely to pay + NPL Closing date: 06.05.2019 07.17.2019 12.04.2019 03.09.2020 05.07.2020 Nominal Value of disposal portfolio (€ million): 144 163 381 86 162 Net amount of pre-existing write-down/write-backs: - - - - - Disposal Profit & Loss realised (€ million): - - - - - Portfolio disposal price (€ million): 144 163 381 86 162 Guarantees issued by the Bank: - - - - - Guarantees issued by Third Parties: - - - - - Bank Lines of Credit: 10 Third Parties Lines of Credit (€ million): - Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005432114 IT0005432270 . Type of security Senior(*)(**) Senior(*)(**) . Class AS2 AS4 . Rating - - . Quotation - - . Issue date 12.30.2020 - 10.29.2021 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 4.0% 4.0% . Subordinated level pari passu AS4 pari passu AS2 . Nominal value issued (€ million) 100 100 . Nominal value at the end of accounting period (€ million) 14 - . Security subscribers PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund/Banca Finanziaria Internazionale PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund/Banca Finanziaria Internazionale Amount and Condition of tranching: . ISIN IT0005432288 IT0005432296 . Type of security Senior(*)(**) Senior(*)(**) . Class AJ2 AJ4 . Rating - - . Quotation - - . Issue date 12.30.2020 - 10.29.2021 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS2, AS4, pari passu AJ4, AX Sub AS2, AS4, pari passu AJ2 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) 1 - . Security subscribers PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432304 IT0005432312 . Type of security Senior(*)(**) Senior(*)(**) . Class AX AY . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS2, AS4, pari passu AJ2, AJ4 and AY Sub AS2, AS4, pari passu AJ2, AJ4 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) - - . Security subscribers Yanez/Banca Finanziaria Internazionale Yanez/Banca Finanziaria Internazionale Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 498 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: SANDOKAN 2 Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Yanez S.r.l. Servicer: Banca Finanziaria Internazionale S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtors sold, in order to optimise the reimbursement of the securitised portfolio. Type of asset: Corporate loans Quality of Asset: Unlikely to pay + NPL Closing date: 06.05.2019 07.17.2019 12.04.2019 03.09.2020 05.07.2020 Nominal Value of disposal portfolio (€ million): 144 163 381 86 162 Net amount of pre-existing write-down/write-backs: - - - - - Disposal Profit & Loss realised (€ million): - - - - - Portfolio disposal price (€ million): 144 163 381 86 162 Guarantees issued by the Bank: - - - - - Guarantees issued by Third Parties: - - - - - Bank Lines of Credit: 10 Third Parties Lines of Credit (€ million): - Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005432114 IT0005432270 . Type of security Senior(*)(**) Senior(*)(**) . Class AS2 AS4 . Rating - - . Quotation - - . Issue date 12.30.2020 - 10.29.2021 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 4.0% 4.0% . Subordinated level pari passu AS4 pari passu AS2 . Nominal value issued (€ million) 100 100 . Nominal value at the end of accounting period (€ million) 14 - . Security subscribers PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund/Banca Finanziaria Internazionale PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund/Banca Finanziaria Internazionale Amount and Condition of tranching: . ISIN IT0005432288 IT0005432296 . Type of security Senior(*)(**) Senior(*)(**) . Class AJ2 AJ4 . Rating - - . Quotation - - . Issue date 12.30.2020 - 10.29.2021 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS2, AS4, pari passu AJ4, AX Sub AS2, AS4, pari passu AJ2 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) 1 - . Security subscribers PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432304 IT0005432312 . Type of security Senior(*)(**) Senior(*)(**) . Class AX AY . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS2, AS4, pari passu AJ2, AJ4 and AY Sub AS2, AS4, pari passu AJ2, AJ4 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) - - . Security subscribers Yanez/Banca Finanziaria Internazionale Yanez/Banca Finanziaria Internazionale Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 498 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: SANDOKAN 2 Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Yanez S.r.l. Servicer: Banca Finanziaria Internazionale S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtors sold, in order to optimise the reimbursement of the securitised portfolio. Type of asset: Corporate loans Quality of Asset: Unlikely to pay + NPL Closing date: 06.05.2019 07.17.2019 12.04.2019 03.09.2020 05.07.2020 Nominal Value of disposal portfolio (€ million): 144 163 381 86 162 Net amount of pre-existing write-down/write-backs: - - - - - Disposal Profit & Loss realised (€ million): - - - - - Portfolio disposal price (€ million): 144 163 381 86 162 Guarantees issued by the Bank: - - - - - Guarantees issued by Third Parties: - - - - - Bank Lines of Credit: 10 Third Parties Lines of Credit (€ million): - Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005432114 IT0005432270 . Type of security Senior(*)(**) Senior(*)(**) . Class AS2 AS4 . Rating - - . Quotation - - . Issue date 12.30.2020 - 10.29.2021 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 4.0% 4.0% . Subordinated level pari passu AS4 pari passu AS2 . Nominal value issued (€ million) 100 100 . Nominal value at the end of accounting period (€ million) 14 - . Security subscribers PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund/Banca Finanziaria Internazionale PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund/Banca Finanziaria Internazionale Amount and Condition of tranching: . ISIN IT0005432288 IT0005432296 . Type of security Senior(*)(**) Senior(*)(**) . Class AJ2 AJ4 . Rating - - . Quotation - - . Issue date 12.30.2020 - 10.29.2021 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS2, AS4, pari passu AJ4, AX Sub AS2, AS4, pari passu AJ2 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) 1 - . Security subscribers PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432304 IT0005432312 . Type of security Senior(*)(**) Senior(*)(**) . Class AX AY . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2053 . Call option - - . Expected duration (years) - - . Rate 14.0% 14.0% . Subordinated level Sub AS2, AS4, pari passu AJ2, AJ4 and AY Sub AS2, AS4, pari passu AJ2, AJ4 and AX . Nominal value issued (€ million) 10 10 . Nominal value at the end of accounting period (€ million) - - . Security subscribers Yanez/Banca Finanziaria Internazionale Yanez/Banca Finanziaria Internazionale Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 499 continued from previous page SECURITISATION NAME: SANDOKAN 2 . ISIN IT0005432320 IT0005432338 . Type of security Mezzanine(*) Mezzanine(*) . Class B1 B2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 1.8 1.8 . Rate 5.0% 5.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX Sub AS2, AS4, AJ2, AJ4, AY, AX, B1 . Nominal value issued (€ million) 15 19 . Nominal value at the end of accounting period (€ million) 1 1 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432346 IT0005432353 . Type of security Mezzanine(*) Mezzanine(*) . Class C1 C2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 4.3 4.3 . Rate 5.5% 9.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2 Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C1 . Nominal value issued (€ million) 32 11 . Nominal value at the end of accounting period (€ million) 32 11 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432361 IT0005432379 . Type of security Mezzanine(*) Mezzanine(*) . Class D1 D2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 5.9 5.9 . Rate 6.0% 8.5% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2 Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2, D1 . Nominal value issued (€ million) 59 7 . Nominal value at the end of accounting period (€ million) 59 7 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432387 . Type of security Junior(*) . Class E . Rating - . Quotation - . Issue date 12.30.2020 . Legal maturity 10.31.2054 . Call option - . Expected duration (years) 8.1 . Rate 5.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2, D1, D2 . Nominal value issued (€ million) 766 . Nominal value at the end of accounting period (€ million) 766 . Security subscribers UniCredit S.p.A. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 499 continued from previous page SECURITISATION NAME: SANDOKAN 2 . ISIN IT0005432320 IT0005432338 . Type of security Mezzanine(*) Mezzanine(*) . Class B1 B2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 1.8 1.8 . Rate 5.0% 5.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX Sub AS2, AS4, AJ2, AJ4, AY, AX, B1 . Nominal value issued (€ million) 15 19 . Nominal value at the end of accounting period (€ million) 1 1 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432346 IT0005432353 . Type of security Mezzanine(*) Mezzanine(*) . Class C1 C2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 4.3 4.3 . Rate 5.5% 9.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2 Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C1 . Nominal value issued (€ million) 32 11 . Nominal value at the end of accounting period (€ million) 32 11 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432361 IT0005432379 . Type of security Mezzanine(*) Mezzanine(*) . Class D1 D2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 5.9 5.9 . Rate 6.0% 8.5% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2 Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2, D1 . Nominal value issued (€ million) 59 7 . Nominal value at the end of accounting period (€ million) 59 7 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432387 . Type of security Junior(*) . Class E . Rating - . Quotation - . Issue date 12.30.2020 . Legal maturity 10.31.2054 . Call option - . Expected duration (years) 8.1 . Rate 5.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2, D1, D2 . Nominal value issued (€ million) 766 . Nominal value at the end of accounting period (€ million) 766 . Security subscribers UniCredit S.p.A. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 499 continued from previous page SECURITISATION NAME: SANDOKAN 2 . ISIN IT0005432320 IT0005432338 . Type of security Mezzanine(*) Mezzanine(*) . Class B1 B2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 1.8 1.8 . Rate 5.0% 5.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX Sub AS2, AS4, AJ2, AJ4, AY, AX, B1 . Nominal value issued (€ million) 15 19 . Nominal value at the end of accounting period (€ million) 1 1 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432346 IT0005432353 . Type of security Mezzanine(*) Mezzanine(*) . Class C1 C2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 4.3 4.3 . Rate 5.5% 9.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2 Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C1 . Nominal value issued (€ million) 32 11 . Nominal value at the end of accounting period (€ million) 32 11 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432361 IT0005432379 . Type of security Mezzanine(*) Mezzanine(*) . Class D1 D2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 5.9 5.9 . Rate 6.0% 8.5% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2 Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2, D1 . Nominal value issued (€ million) 59 7 . Nominal value at the end of accounting period (€ million) 59 7 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432387 . Type of security Junior(*) . Class E . Rating - . Quotation - . Issue date 12.30.2020 . Legal maturity 10.31.2054 . Call option - . Expected duration (years) 8.1 . Rate 5.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2, D1, D2 . Nominal value issued (€ million) 766 . Nominal value at the end of accounting period (€ million) 766 . Security subscribers UniCredit S.p.A. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 499 continued from previous page SECURITISATION NAME: SANDOKAN 2 . ISIN IT0005432320 IT0005432338 . Type of security Mezzanine(*) Mezzanine(*) . Class B1 B2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 1.8 1.8 . Rate 5.0% 5.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX Sub AS2, AS4, AJ2, AJ4, AY, AX, B1 . Nominal value issued (€ million) 15 19 . Nominal value at the end of accounting period (€ million) 1 1 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432346 IT0005432353 . Type of security Mezzanine(*) Mezzanine(*) . Class C1 C2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 4.3 4.3 . Rate 5.5% 9.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2 Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C1 . Nominal value issued (€ million) 32 11 . Nominal value at the end of accounting period (€ million) 32 11 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432361 IT0005432379 . Type of security Mezzanine(*) Mezzanine(*) . Class D1 D2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 5.9 5.9 . Rate 6.0% 8.5% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2 Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2, D1 . Nominal value issued (€ million) 59 7 . Nominal value at the end of accounting period (€ million) 59 7 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432387 . Type of security Junior(*) . Class E . Rating - . Quotation - . Issue date 12.30.2020 . Legal maturity 10.31.2054 . Call option - . Expected duration (years) 8.1 . Rate 5.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2, D1, D2 . Nominal value issued (€ million) 766 . Nominal value at the end of accounting period (€ million) 766 . Security subscribers UniCredit S.p.A. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 499 continued from previous page SECURITISATION NAME: SANDOKAN 2 . ISIN IT0005432320 IT0005432338 . Type of security Mezzanine(*) Mezzanine(*) . Class B1 B2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 1.8 1.8 . Rate 5.0% 5.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX Sub AS2, AS4, AJ2, AJ4, AY, AX, B1 . Nominal value issued (€ million) 15 19 . Nominal value at the end of accounting period (€ million) 1 1 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432346 IT0005432353 . Type of security Mezzanine(*) Mezzanine(*) . Class C1 C2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 4.3 4.3 . Rate 5.5% 9.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2 Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C1 . Nominal value issued (€ million) 32 11 . Nominal value at the end of accounting period (€ million) 32 11 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432361 IT0005432379 . Type of security Mezzanine(*) Mezzanine(*) . Class D1 D2 . Rating - - . Quotation - - . Issue date 12.30.2020 12.30.2020 . Legal maturity 10.31.2054 10.31.2054 . Call option - - . Expected duration (years) 5.9 5.9 . Rate 6.0% 8.5% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2 Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2, D1 . Nominal value issued (€ million) 59 7 . Nominal value at the end of accounting period (€ million) 59 7 . Security subscribers UniCredit S.p.A. UniCredit S.p.A./PAF BRAVO III - Compartment/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Closed-end/Italian Real Estate Special Situations II SCS, SICAV-RAIF - Seed Fund . ISIN IT0005432387 . Type of security Junior(*) . Class E . Rating - . Quotation - . Issue date 12.30.2020 . Legal maturity 10.31.2054 . Call option - . Expected duration (years) 8.1 . Rate 5.0% . Subordinated level Sub AS2, AS4, AJ2, AJ4, AY, AX, B1, B2, C2, D1, D2 . Nominal value issued (€ million) 766 . Nominal value at the end of accounting period (€ million) 766 . Security subscribers UniCredit S.p.A. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 500 2021 Annual Report and Accounts · UniCredit continued from previous page SECURITISATION NAME: SANDOKAN 2 Distribution of securitised assets by area (€): Italy 935 Other European Countries - E.U. countries - - non-E.U. countries - America - Rest of the World - Total 935 Distribution of securitised assets by business sector of the borrower (€): Governments - other governments agencies - Banks - Financial Companies - Insurance Companies - Non-financial companies 935 Other entities - Total 935 Notes: (*) The classification of the field "Type of security" refers to Bank of Italy Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. (**) Securities issued to fund new money finance needs. The "Closing date "corresponds to the date of portfolio sale. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 500 2021 Annual Report and Accounts · UniCredit continued from previous page SECURITISATION NAME: SANDOKAN 2 Distribution of securitised assets by area (€): Italy 935 Other European Countries - E.U. countries - - non-E.U. countries - America - Rest of the World - Total 935 Distribution of securitised assets by business sector of the borrower (€): Governments - other governments agencies - Banks - Financial Companies - Insurance Companies - Non-financial companies 935 Other entities - Total 935 Notes: (*) The classification of the field "Type of security" refers to Bank of Italy Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. (**) Securities issued to fund new money finance needs. The "Closing date "corresponds to the date of portfolio sale. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 500 2021 Annual Report and Accounts · UniCredit continued from previous page SECURITISATION NAME: SANDOKAN 2 Distribution of securitised assets by area (€): Italy 935 Other European Countries - E.U. countries - - non-E.U. countries - America - Rest of the World - Total 935 Distribution of securitised assets by business sector of the borrower (€): Governments - other governments agencies - Banks - Financial Companies - Insurance Companies - Non-financial companies 935 Other entities - Total 935 Notes: (*) The classification of the field "Type of security" refers to Bank of Italy Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. (**) Securities issued to fund new money finance needs. The "Closing date "corresponds to the date of portfolio sale. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 500 2021 Annual Report and Accounts · UniCredit continued from previous page SECURITISATION NAME: SANDOKAN 2 Distribution of securitised assets by area (€): Italy 935 Other European Countries - E.U. countries - - non-E.U. countries - America - Rest of the World - Total 935 Distribution of securitised assets by business sector of the borrower (€): Governments - other governments agencies - Banks - Financial Companies - Insurance Companies - Non-financial companies 935 Other entities - Total 935 Notes: (*) The classification of the field "Type of security" refers to Bank of Italy Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. (**) Securities issued to fund new money finance needs. The "Closing date "corresponds to the date of portfolio sale. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 500 2021 Annual Report and Accounts · UniCredit continued from previous page SECURITISATION NAME: SANDOKAN 2 Distribution of securitised assets by area (€): Italy 935 Other European Countries - E.U. countries - - non-E.U. countries - America - Rest of the World - Total 935 Distribution of securitised assets by business sector of the borrower (€): Governments - other governments agencies - Banks - Financial Companies - Insurance Companies - Non-financial companies 935 Other entities - Total 935 Notes: (*) The classification of the field "Type of security" refers to Bank of Italy Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. (**) Securities issued to fund new money finance needs. The "Closing date "corresponds to the date of portfolio sale. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 501 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: PILLARSTONE ITALY - PREMUDA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Pillarstone Italy SPV S.r.l. Servicer: Securitisation Services S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtor sold, in order to optimise the reimbursement of the securitised portfolio Type of asset: Corporate loans Quality of Asset: Unlikely to pay Closing date: 07.14.2016 04.04.2017 Nominal Value of disposal portfolio (million): $78 + €31 $3 Net amount of pre-existing write-down/write-backs: - Disposal Profit & Loss realised (million): - Portfolio disposal price (million): $78 + €31 $3 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit (€ million): 2 Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005203937 IT0005203952 . Type of security Senior(*) Mezzanine(*) . Class A B . Rating - - . Quotation - - . Issue date 07.14.2016 07.14.2016 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate 8.50% 2.67% . Subordinated level - Sub A . Nominal value issued (million) €3 $58 . Nominal value at the end of accounting period (million) €1 $58 . Security subscribers . ISIN IT0005246712 IT0005246761 . Type of security Mezzanine(*) Junior(*) . Class B C . Rating - - . Quotation - - . Issue date 04.04.2017 04.04.2017 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 3.4 3.4 . Rate 3.43% EUR6M(360) +1000pb . Subordinated level Sub A Sub A,B . Nominal value issued (million) €0,3 €3 . Nominal value at the end of accounting period (million) €0,3 €3 . Security subscribers . ISIN IT0005204125 IT0005204133 . Type of security Junior(*) Junior(*) . Class C C . Rating - - . Quotation - - . Issue date 07.14.2016 07.14.2016 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate EUR6M(360) +1000pb LIBOR6M(360) +1000pb . Subordinated level Sub A,B Sub A,B . Nominal value issued (million) €25 $21 . Nominal value at the end of accounting period (million) €25 $21 . Security subscribers Note: (*) The classification of the field "Type of security" refers to Banca d’Italia Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. Pillarstone is a multioriginator securitisation, with claims transferred by UniCredit and other banks. For representation purposes, securities reported in the table are those issued in light of the portfolio transferred by UniCredit. The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 501 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: PILLARSTONE ITALY - PREMUDA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Pillarstone Italy SPV S.r.l. Servicer: Securitisation Services S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtor sold, in order to optimise the reimbursement of the securitised portfolio Type of asset: Corporate loans Quality of Asset: Unlikely to pay Closing date: 07.14.2016 04.04.2017 Nominal Value of disposal portfolio (million): $78 + €31 $3 Net amount of pre-existing write-down/write-backs: - Disposal Profit & Loss realised (million): - Portfolio disposal price (million): $78 + €31 $3 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit (€ million): 2 Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005203937 IT0005203952 . Type of security Senior(*) Mezzanine(*) . Class A B . Rating - - . Quotation - - . Issue date 07.14.2016 07.14.2016 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate 8.50% 2.67% . Subordinated level - Sub A . Nominal value issued (million) €3 $58 . Nominal value at the end of accounting period (million) €1 $58 . Security subscribers . ISIN IT0005246712 IT0005246761 . Type of security Mezzanine(*) Junior(*) . Class B C . Rating - - . Quotation - - . Issue date 04.04.2017 04.04.2017 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 3.4 3.4 . Rate 3.43% EUR6M(360) +1000pb . Subordinated level Sub A Sub A,B . Nominal value issued (million) €0,3 €3 . Nominal value at the end of accounting period (million) €0,3 €3 . Security subscribers . ISIN IT0005204125 IT0005204133 . Type of security Junior(*) Junior(*) . Class C C . Rating - - . Quotation - - . Issue date 07.14.2016 07.14.2016 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate EUR6M(360) +1000pb LIBOR6M(360) +1000pb . Subordinated level Sub A,B Sub A,B . Nominal value issued (million) €25 $21 . Nominal value at the end of accounting period (million) €25 $21 . Security subscribers Note: (*) The classification of the field "Type of security" refers to Banca d’Italia Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. Pillarstone is a multioriginator securitisation, with claims transferred by UniCredit and other banks. For representation purposes, securities reported in the table are those issued in light of the portfolio transferred by UniCredit. The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 501 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: PILLARSTONE ITALY - PREMUDA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Pillarstone Italy SPV S.r.l. Servicer: Securitisation Services S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtor sold, in order to optimise the reimbursement of the securitised portfolio Type of asset: Corporate loans Quality of Asset: Unlikely to pay Closing date: 07.14.2016 04.04.2017 Nominal Value of disposal portfolio (million): $78 + €31 $3 Net amount of pre-existing write-down/write-backs: - Disposal Profit & Loss realised (million): - Portfolio disposal price (million): $78 + €31 $3 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit (€ million): 2 Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005203937 IT0005203952 . Type of security Senior(*) Mezzanine(*) . Class A B . Rating - - . Quotation - - . Issue date 07.14.2016 07.14.2016 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate 8.50% 2.67% . Subordinated level - Sub A . Nominal value issued (million) €3 $58 . Nominal value at the end of accounting period (million) €1 $58 . Security subscribers . ISIN IT0005246712 IT0005246761 . Type of security Mezzanine(*) Junior(*) . Class B C . Rating - - . Quotation - - . Issue date 04.04.2017 04.04.2017 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 3.4 3.4 . Rate 3.43% EUR6M(360) +1000pb . Subordinated level Sub A Sub A,B . Nominal value issued (million) €0,3 €3 . Nominal value at the end of accounting period (million) €0,3 €3 . Security subscribers . ISIN IT0005204125 IT0005204133 . Type of security Junior(*) Junior(*) . Class C C . Rating - - . Quotation - - . Issue date 07.14.2016 07.14.2016 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate EUR6M(360) +1000pb LIBOR6M(360) +1000pb . Subordinated level Sub A,B Sub A,B . Nominal value issued (million) €25 $21 . Nominal value at the end of accounting period (million) €25 $21 . Security subscribers Note: (*) The classification of the field "Type of security" refers to Banca d’Italia Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. Pillarstone is a multioriginator securitisation, with claims transferred by UniCredit and other banks. For representation purposes, securities reported in the table are those issued in light of the portfolio transferred by UniCredit. The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 501 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: PILLARSTONE ITALY - PREMUDA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Pillarstone Italy SPV S.r.l. Servicer: Securitisation Services S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtor sold, in order to optimise the reimbursement of the securitised portfolio Type of asset: Corporate loans Quality of Asset: Unlikely to pay Closing date: 07.14.2016 04.04.2017 Nominal Value of disposal portfolio (million): $78 + €31 $3 Net amount of pre-existing write-down/write-backs: - Disposal Profit & Loss realised (million): - Portfolio disposal price (million): $78 + €31 $3 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit (€ million): 2 Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005203937 IT0005203952 . Type of security Senior(*) Mezzanine(*) . Class A B . Rating - - . Quotation - - . Issue date 07.14.2016 07.14.2016 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate 8.50% 2.67% . Subordinated level - Sub A . Nominal value issued (million) €3 $58 . Nominal value at the end of accounting period (million) €1 $58 . Security subscribers . ISIN IT0005246712 IT0005246761 . Type of security Mezzanine(*) Junior(*) . Class B C . Rating - - . Quotation - - . Issue date 04.04.2017 04.04.2017 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 3.4 3.4 . Rate 3.43% EUR6M(360) +1000pb . Subordinated level Sub A Sub A,B . Nominal value issued (million) €0,3 €3 . Nominal value at the end of accounting period (million) €0,3 €3 . Security subscribers . ISIN IT0005204125 IT0005204133 . Type of security Junior(*) Junior(*) . Class C C . Rating - - . Quotation - - . Issue date 07.14.2016 07.14.2016 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate EUR6M(360) +1000pb LIBOR6M(360) +1000pb . Subordinated level Sub A,B Sub A,B . Nominal value issued (million) €25 $21 . Nominal value at the end of accounting period (million) €25 $21 . Security subscribers Note: (*) The classification of the field "Type of security" refers to Banca d’Italia Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. Pillarstone is a multioriginator securitisation, with claims transferred by UniCredit and other banks. For representation purposes, securities reported in the table are those issued in light of the portfolio transferred by UniCredit. The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 501 ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: PILLARSTONE ITALY - PREMUDA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Pillarstone Italy SPV S.r.l. Servicer: Securitisation Services S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtor sold, in order to optimise the reimbursement of the securitised portfolio Type of asset: Corporate loans Quality of Asset: Unlikely to pay Closing date: 07.14.2016 04.04.2017 Nominal Value of disposal portfolio (million): $78 + €31 $3 Net amount of pre-existing write-down/write-backs: - Disposal Profit & Loss realised (million): - Portfolio disposal price (million): $78 + €31 $3 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit (€ million): 2 Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN IT0005203937 IT0005203952 . Type of security Senior(*) Mezzanine(*) . Class A B . Rating - - . Quotation - - . Issue date 07.14.2016 07.14.2016 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate 8.50% 2.67% . Subordinated level - Sub A . Nominal value issued (million) €3 $58 . Nominal value at the end of accounting period (million) €1 $58 . Security subscribers . ISIN IT0005246712 IT0005246761 . Type of security Mezzanine(*) Junior(*) . Class B C . Rating - - . Quotation - - . Issue date 04.04.2017 04.04.2017 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 3.4 3.4 . Rate 3.43% EUR6M(360) +1000pb . Subordinated level Sub A Sub A,B . Nominal value issued (million) €0,3 €3 . Nominal value at the end of accounting period (million) €0,3 €3 . Security subscribers . ISIN IT0005204125 IT0005204133 . Type of security Junior(*) Junior(*) . Class C C . Rating - - . Quotation - - . Issue date 07.14.2016 07.14.2016 . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate EUR6M(360) +1000pb LIBOR6M(360) +1000pb . Subordinated level Sub A,B Sub A,B . Nominal value issued (million) €25 $21 . Nominal value at the end of accounting period (million) €25 $21 . Security subscribers Note: (*) The classification of the field "Type of security" refers to Banca d’Italia Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. Pillarstone is a multioriginator securitisation, with claims transferred by UniCredit and other banks. For representation purposes, securities reported in the table are those issued in light of the portfolio transferred by UniCredit. The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 502 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: PILLARSTONE ITALY - RAINBOW Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Pillarstone Italy SPV S.r.l. Servicer: Securitisation Services S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtor sold, in order to optimise the reimbursement of the securitised portfolio Type of asset: Corporate loans Quality of Asset: Unlikely to pay Closing date: 12.10.2015 01.22.2019 Nominal Value of disposal portfolio (€ million): 74 17 Net amount of pre-existing write-down/write-backs (€ million): - - Disposal Profit & Loss realised (€ million): - - Portfolio disposal price (€ million): 74 17 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit (€ million): 4 2 Other Credit Enhancements: - Other relevant information: - The new issue of securities, occurred on 22 January 2019, resulted in an increase of mezzanine notes for €2 million and junior notes for €15 million Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005154833 IT0005155103 . Type of security Senior(*) Mezzanine(*) . Class A B . Rating - - . Quotation - - . Issue date 12.10.2015 12.10.2015 - 01.22.2019 (size increase) . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate 8.50% EUR6M(360) + 144pb . Subordinated level - SUB A . Nominal value issued (€ million) 1 19 . Nominal value at the end of accounting period (€ million) 1 19 . ISIN IT0005155111 . Type of security Junior(*) . Class C . Rating - . Quotation - . Issue date 12.10.2015 - 01.22.2019 (size increase) . Legal maturity 10.20.2030 . Call option - . Expected duration (years) 5.0 . Rate EUR6M(360)+1000pb . Subordinated level SUB A-B . Nominal value issued (€ million) 71 . Nominal value at the end of accounting period (€ million) 71 Note: (*) The classification of the field "Type of security" refers to Banca d’Italia Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. Pillarstone is a multioriginator securitisation, with claims transferred by UniCredit and other banks. For representation purposes, securities reported in the table are those issued in light of the portfolio transferred by UniCredit. The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 502 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: PILLARSTONE ITALY - RAINBOW Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Pillarstone Italy SPV S.r.l. Servicer: Securitisation Services S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtor sold, in order to optimise the reimbursement of the securitised portfolio Type of asset: Corporate loans Quality of Asset: Unlikely to pay Closing date: 12.10.2015 01.22.2019 Nominal Value of disposal portfolio (€ million): 74 17 Net amount of pre-existing write-down/write-backs (€ million): - - Disposal Profit & Loss realised (€ million): - - Portfolio disposal price (€ million): 74 17 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit (€ million): 4 2 Other Credit Enhancements: - Other relevant information: - The new issue of securities, occurred on 22 January 2019, resulted in an increase of mezzanine notes for €2 million and junior notes for €15 million Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005154833 IT0005155103 . Type of security Senior(*) Mezzanine(*) . Class A B . Rating - - . Quotation - - . Issue date 12.10.2015 12.10.2015 - 01.22.2019 (size increase) . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate 8.50% EUR6M(360) + 144pb . Subordinated level - SUB A . Nominal value issued (€ million) 1 19 . Nominal value at the end of accounting period (€ million) 1 19 . ISIN IT0005155111 . Type of security Junior(*) . Class C . Rating - . Quotation - . Issue date 12.10.2015 - 01.22.2019 (size increase) . Legal maturity 10.20.2030 . Call option - . Expected duration (years) 5.0 . Rate EUR6M(360)+1000pb . Subordinated level SUB A-B . Nominal value issued (€ million) 71 . Nominal value at the end of accounting period (€ million) 71 Note: (*) The classification of the field "Type of security" refers to Banca d’Italia Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. Pillarstone is a multioriginator securitisation, with claims transferred by UniCredit and other banks. For representation purposes, securities reported in the table are those issued in light of the portfolio transferred by UniCredit. The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 502 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: PILLARSTONE ITALY - RAINBOW Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Pillarstone Italy SPV S.r.l. Servicer: Securitisation Services S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtor sold, in order to optimise the reimbursement of the securitised portfolio Type of asset: Corporate loans Quality of Asset: Unlikely to pay Closing date: 12.10.2015 01.22.2019 Nominal Value of disposal portfolio (€ million): 74 17 Net amount of pre-existing write-down/write-backs (€ million): - - Disposal Profit & Loss realised (€ million): - - Portfolio disposal price (€ million): 74 17 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit (€ million): 4 2 Other Credit Enhancements: - Other relevant information: - The new issue of securities, occurred on 22 January 2019, resulted in an increase of mezzanine notes for €2 million and junior notes for €15 million Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005154833 IT0005155103 . Type of security Senior(*) Mezzanine(*) . Class A B . Rating - - . Quotation - - . Issue date 12.10.2015 12.10.2015 - 01.22.2019 (size increase) . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate 8.50% EUR6M(360) + 144pb . Subordinated level - SUB A . Nominal value issued (€ million) 1 19 . Nominal value at the end of accounting period (€ million) 1 19 . ISIN IT0005155111 . Type of security Junior(*) . Class C . Rating - . Quotation - . Issue date 12.10.2015 - 01.22.2019 (size increase) . Legal maturity 10.20.2030 . Call option - . Expected duration (years) 5.0 . Rate EUR6M(360)+1000pb . Subordinated level SUB A-B . Nominal value issued (€ million) 71 . Nominal value at the end of accounting period (€ million) 71 Note: (*) The classification of the field "Type of security" refers to Banca d’Italia Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. Pillarstone is a multioriginator securitisation, with claims transferred by UniCredit and other banks. For representation purposes, securities reported in the table are those issued in light of the portfolio transferred by UniCredit. The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 502 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: PILLARSTONE ITALY - RAINBOW Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Pillarstone Italy SPV S.r.l. Servicer: Securitisation Services S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtor sold, in order to optimise the reimbursement of the securitised portfolio Type of asset: Corporate loans Quality of Asset: Unlikely to pay Closing date: 12.10.2015 01.22.2019 Nominal Value of disposal portfolio (€ million): 74 17 Net amount of pre-existing write-down/write-backs (€ million): - - Disposal Profit & Loss realised (€ million): - - Portfolio disposal price (€ million): 74 17 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit (€ million): 4 2 Other Credit Enhancements: - Other relevant information: - The new issue of securities, occurred on 22 January 2019, resulted in an increase of mezzanine notes for €2 million and junior notes for €15 million Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005154833 IT0005155103 . Type of security Senior(*) Mezzanine(*) . Class A B . Rating - - . Quotation - - . Issue date 12.10.2015 12.10.2015 - 01.22.2019 (size increase) . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate 8.50% EUR6M(360) + 144pb . Subordinated level - SUB A . Nominal value issued (€ million) 1 19 . Nominal value at the end of accounting period (€ million) 1 19 . ISIN IT0005155111 . Type of security Junior(*) . Class C . Rating - . Quotation - . Issue date 12.10.2015 - 01.22.2019 (size increase) . Legal maturity 10.20.2030 . Call option - . Expected duration (years) 5.0 . Rate EUR6M(360)+1000pb . Subordinated level SUB A-B . Nominal value issued (€ million) 71 . Nominal value at the end of accounting period (€ million) 71 Note: (*) The classification of the field "Type of security" refers to Banca d’Italia Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. Pillarstone is a multioriginator securitisation, with claims transferred by UniCredit and other banks. For representation purposes, securities reported in the table are those issued in light of the portfolio transferred by UniCredit. The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 502 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transaction from previous years SECURITISATION NAME: PILLARSTONE ITALY - RAINBOW Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Pillarstone Italy SPV S.r.l. Servicer: Securitisation Services S.p.A. Arranger: - Target transaction: Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtor sold, in order to optimise the reimbursement of the securitised portfolio Type of asset: Corporate loans Quality of Asset: Unlikely to pay Closing date: 12.10.2015 01.22.2019 Nominal Value of disposal portfolio (€ million): 74 17 Net amount of pre-existing write-down/write-backs (€ million): - - Disposal Profit & Loss realised (€ million): - - Portfolio disposal price (€ million): 74 17 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit (€ million): 4 2 Other Credit Enhancements: - Other relevant information: - The new issue of securities, occurred on 22 January 2019, resulted in an increase of mezzanine notes for €2 million and junior notes for €15 million Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005154833 IT0005155103 . Type of security Senior(*) Mezzanine(*) . Class A B . Rating - - . Quotation - - . Issue date 12.10.2015 12.10.2015 - 01.22.2019 (size increase) . Legal maturity 10.20.2030 10.20.2030 . Call option - . Expected duration (years) 5.0 5.0 . Rate 8.50% EUR6M(360) + 144pb . Subordinated level - SUB A . Nominal value issued (€ million) 1 19 . Nominal value at the end of accounting period (€ million) 1 19 . ISIN IT0005155111 . Type of security Junior(*) . Class C . Rating - . Quotation - . Issue date 12.10.2015 - 01.22.2019 (size increase) . Legal maturity 10.20.2030 . Call option - . Expected duration (years) 5.0 . Rate EUR6M(360)+1000pb . Subordinated level SUB A-B . Nominal value issued (€ million) 71 . Nominal value at the end of accounting period (€ million) 71 Note: (*) The classification of the field "Type of security" refers to Banca d’Italia Circular No.262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and junior exposures. Pillarstone is a multioriginator securitisation, with claims transferred by UniCredit and other banks. For representation purposes, securities reported in the table are those issued in light of the portfolio transferred by UniCredit. The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 503 ORIGINATOR: UniCredit S.p.A. Traditional securitisations of non-performing loans STRATEGIES, PROCESSES AND GOALS: UniCredit S.p.A., through the transfer of its non-performing exposures to SPV pursuant to 130 Law on securitisation, has set itself the objective of reducing the stock of Non Performing Exposures of the Non Core perimeter, in line with the Group's strategy of a complete rundown of this perimeter. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: The performance of securitisations is subject to continuous monitoring by the bank, with specific focus on the recovery performance and the evolution of the Gross Book Value (GBV) of the underlying portfolio and on the progressive repayment of the principal and payment of interest of the ABS securities issued by the SPV, based on the information provided by the servicer (also through specific periodic reports foreseen in the transaction documentation). ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The execution of the securitisation transactions of non performing exposures is approved by the Board or delegated internal commitees. Credit reviews of the transactions are scheduled on an annual basis and discussed in specific committees with the participation of top management, during which updates are given on the progress of transactions as a whole. HEDGING POLICIES: None OPERATING RESULTS: Every six months, or more frequently, if necessary, information relating to the performance of securitisations (with specific focus on the evolution of the Gross Book Value of the transferred portfolio, the recovery performances and the redemption of ABS securities) is made available to the various functions of the bank for the performance of their respective roles on monitoring and representation in the financial statements. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 503 ORIGINATOR: UniCredit S.p.A. Traditional securitisations of non-performing loans STRATEGIES, PROCESSES AND GOALS: UniCredit S.p.A., through the transfer of its non-performing exposures to SPV pursuant to 130 Law on securitisation, has set itself the objective of reducing the stock of Non Performing Exposures of the Non Core perimeter, in line with the Group's strategy of a complete rundown of this perimeter. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: The performance of securitisations is subject to continuous monitoring by the bank, with specific focus on the recovery performance and the evolution of the Gross Book Value (GBV) of the underlying portfolio and on the progressive repayment of the principal and payment of interest of the ABS securities issued by the SPV, based on the information provided by the servicer (also through specific periodic reports foreseen in the transaction documentation). ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The execution of the securitisation transactions of non performing exposures is approved by the Board or delegated internal commitees. Credit reviews of the transactions are scheduled on an annual basis and discussed in specific committees with the participation of top management, during which updates are given on the progress of transactions as a whole. HEDGING POLICIES: None OPERATING RESULTS: Every six months, or more frequently, if necessary, information relating to the performance of securitisations (with specific focus on the evolution of the Gross Book Value of the transferred portfolio, the recovery performances and the redemption of ABS securities) is made available to the various functions of the bank for the performance of their respective roles on monitoring and representation in the financial statements. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 503 ORIGINATOR: UniCredit S.p.A. Traditional securitisations of non-performing loans STRATEGIES, PROCESSES AND GOALS: UniCredit S.p.A., through the transfer of its non-performing exposures to SPV pursuant to 130 Law on securitisation, has set itself the objective of reducing the stock of Non Performing Exposures of the Non Core perimeter, in line with the Group's strategy of a complete rundown of this perimeter. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: The performance of securitisations is subject to continuous monitoring by the bank, with specific focus on the recovery performance and the evolution of the Gross Book Value (GBV) of the underlying portfolio and on the progressive repayment of the principal and payment of interest of the ABS securities issued by the SPV, based on the information provided by the servicer (also through specific periodic reports foreseen in the transaction documentation). ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The execution of the securitisation transactions of non performing exposures is approved by the Board or delegated internal commitees. Credit reviews of the transactions are scheduled on an annual basis and discussed in specific committees with the participation of top management, during which updates are given on the progress of transactions as a whole. HEDGING POLICIES: None OPERATING RESULTS: Every six months, or more frequently, if necessary, information relating to the performance of securitisations (with specific focus on the evolution of the Gross Book Value of the transferred portfolio, the recovery performances and the redemption of ABS securities) is made available to the various functions of the bank for the performance of their respective roles on monitoring and representation in the financial statements. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 503 ORIGINATOR: UniCredit S.p.A. Traditional securitisations of non-performing loans STRATEGIES, PROCESSES AND GOALS: UniCredit S.p.A., through the transfer of its non-performing exposures to SPV pursuant to 130 Law on securitisation, has set itself the objective of reducing the stock of Non Performing Exposures of the Non Core perimeter, in line with the Group's strategy of a complete rundown of this perimeter. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: The performance of securitisations is subject to continuous monitoring by the bank, with specific focus on the recovery performance and the evolution of the Gross Book Value (GBV) of the underlying portfolio and on the progressive repayment of the principal and payment of interest of the ABS securities issued by the SPV, based on the information provided by the servicer (also through specific periodic reports foreseen in the transaction documentation). ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The execution of the securitisation transactions of non performing exposures is approved by the Board or delegated internal commitees. Credit reviews of the transactions are scheduled on an annual basis and discussed in specific committees with the participation of top management, during which updates are given on the progress of transactions as a whole. HEDGING POLICIES: None OPERATING RESULTS: Every six months, or more frequently, if necessary, information relating to the performance of securitisations (with specific focus on the evolution of the Gross Book Value of the transferred portfolio, the recovery performances and the redemption of ABS securities) is made available to the various functions of the bank for the performance of their respective roles on monitoring and representation in the financial statements. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 503 ORIGINATOR: UniCredit S.p.A. Traditional securitisations of non-performing loans STRATEGIES, PROCESSES AND GOALS: UniCredit S.p.A., through the transfer of its non-performing exposures to SPV pursuant to 130 Law on securitisation, has set itself the objective of reducing the stock of Non Performing Exposures of the Non Core perimeter, in line with the Group's strategy of a complete rundown of this perimeter. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: The performance of securitisations is subject to continuous monitoring by the bank, with specific focus on the recovery performance and the evolution of the Gross Book Value (GBV) of the underlying portfolio and on the progressive repayment of the principal and payment of interest of the ABS securities issued by the SPV, based on the information provided by the servicer (also through specific periodic reports foreseen in the transaction documentation). ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The execution of the securitisation transactions of non performing exposures is approved by the Board or delegated internal commitees. Credit reviews of the transactions are scheduled on an annual basis and discussed in specific committees with the participation of top management, during which updates are given on the progress of transactions as a whole. HEDGING POLICIES: None OPERATING RESULTS: Every six months, or more frequently, if necessary, information relating to the performance of securitisations (with specific focus on the evolution of the Gross Book Value of the transferred portfolio, the recovery performances and the redemption of ABS securities) is made available to the various functions of the bank for the performance of their respective roles on monitoring and representation in the financial statements. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 504 2021 Annual Report and Accounts · UniCredit New Transactions 2021 SECURITISATION NAME: OLYMPIA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Olympia SPV S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: UniCredit Bank A.G. Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 11.25.2021 Nominal Value of reference portfolio (€ million): 2,136 Net amount of preexisting write-down/write-backs (€ million): 312 Disposal Profit & Loss realised (€ million)(*): -22 Portfolio disposal price (€ million): 290 Issued guarantees by the Bank: - Issued guarantees by third parties: On 24 December 2021 a request was submitted to the MEF and Consap for the issuing of the state guarantee on the senior notes (so-called GACS). Bank Lines of Credit: - Third Parties Lines of Credit: UniCredit Bank Ag has granted a credit facility of €26 million to the SPV, super-senior in the priority of payment. Other Credit Enhancements: - Other relevant information: UniCredit S.p.A. has initially underwritten the whole set of notes issued by the SPV. On 9 December 2021, 95% of junior and mezzanine notes was sold on the market. Rating Agencies: Moody's Italia S.r.l., Scope Ratings GmbH and S&P Global Ratings Europe Limited Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005468365 IT0005468373 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) Baa2 - (Scope) BBB - (S&P) BBB- . Quotation - - . Issue date 11.25.2021 11.25.2021 . Legal maturity 07.01.2044 07.01.2044 . Call option - - . Expected duration (years) 4.7 7.7 . Rate 6M Eur +1,50% 6M Eur +9,50% . Subordination level - SUB A . Nominal Value Issued (€ million) 261 26 . Nominal value at the end of accounting period (€ million) 261 26 . Security subscribers UniCredit S.p.A. Bayview Global Opportunities Fund S.C.S. SICAV-RAIF and CRC CF Lux Sarl (95%) - UniCredit S.p.A. (5%) . ISIN IT0005468381 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 11.25.2021 . Legal maturity 07.01.2044 . Call option - . Expected duration (years) 8.2 . Rate variabile . Subordination level SUB A-B . Nominal Value Issued (€ million) 3 . Nominal value at the end of accounting period (€ million) 3 . Security subscribers Bayview Global Opportunities Fund S.C.S. SICAV-RAIF and CRC CF Lux Sarl (95%) - UniCredit S.p.A. (5%) Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 504 2021 Annual Report and Accounts · UniCredit New Transactions 2021 SECURITISATION NAME: OLYMPIA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Olympia SPV S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: UniCredit Bank A.G. Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 11.25.2021 Nominal Value of reference portfolio (€ million): 2,136 Net amount of preexisting write-down/write-backs (€ million): 312 Disposal Profit & Loss realised (€ million)(*): -22 Portfolio disposal price (€ million): 290 Issued guarantees by the Bank: - Issued guarantees by third parties: On 24 December 2021 a request was submitted to the MEF and Consap for the issuing of the state guarantee on the senior notes (so-called GACS). Bank Lines of Credit: - Third Parties Lines of Credit: UniCredit Bank Ag has granted a credit facility of €26 million to the SPV, super-senior in the priority of payment. Other Credit Enhancements: - Other relevant information: UniCredit S.p.A. has initially underwritten the whole set of notes issued by the SPV. On 9 December 2021, 95% of junior and mezzanine notes was sold on the market. Rating Agencies: Moody's Italia S.r.l., Scope Ratings GmbH and S&P Global Ratings Europe Limited Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005468365 IT0005468373 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) Baa2 - (Scope) BBB - (S&P) BBB- . Quotation - - . Issue date 11.25.2021 11.25.2021 . Legal maturity 07.01.2044 07.01.2044 . Call option - - . Expected duration (years) 4.7 7.7 . Rate 6M Eur +1,50% 6M Eur +9,50% . Subordination level - SUB A . Nominal Value Issued (€ million) 261 26 . Nominal value at the end of accounting period (€ million) 261 26 . Security subscribers UniCredit S.p.A. Bayview Global Opportunities Fund S.C.S. SICAV-RAIF and CRC CF Lux Sarl (95%) - UniCredit S.p.A. (5%) . ISIN IT0005468381 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 11.25.2021 . Legal maturity 07.01.2044 . Call option - . Expected duration (years) 8.2 . Rate variabile . Subordination level SUB A-B . Nominal Value Issued (€ million) 3 . Nominal value at the end of accounting period (€ million) 3 . Security subscribers Bayview Global Opportunities Fund S.C.S. SICAV-RAIF and CRC CF Lux Sarl (95%) - UniCredit S.p.A. (5%) Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 504 2021 Annual Report and Accounts · UniCredit New Transactions 2021 SECURITISATION NAME: OLYMPIA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Olympia SPV S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: UniCredit Bank A.G. Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 11.25.2021 Nominal Value of reference portfolio (€ million): 2,136 Net amount of preexisting write-down/write-backs (€ million): 312 Disposal Profit & Loss realised (€ million)(*): -22 Portfolio disposal price (€ million): 290 Issued guarantees by the Bank: - Issued guarantees by third parties: On 24 December 2021 a request was submitted to the MEF and Consap for the issuing of the state guarantee on the senior notes (so-called GACS). Bank Lines of Credit: - Third Parties Lines of Credit: UniCredit Bank Ag has granted a credit facility of €26 million to the SPV, super-senior in the priority of payment. Other Credit Enhancements: - Other relevant information: UniCredit S.p.A. has initially underwritten the whole set of notes issued by the SPV. On 9 December 2021, 95% of junior and mezzanine notes was sold on the market. Rating Agencies: Moody's Italia S.r.l., Scope Ratings GmbH and S&P Global Ratings Europe Limited Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005468365 IT0005468373 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) Baa2 - (Scope) BBB - (S&P) BBB- . Quotation - - . Issue date 11.25.2021 11.25.2021 . Legal maturity 07.01.2044 07.01.2044 . Call option - - . Expected duration (years) 4.7 7.7 . Rate 6M Eur +1,50% 6M Eur +9,50% . Subordination level - SUB A . Nominal Value Issued (€ million) 261 26 . Nominal value at the end of accounting period (€ million) 261 26 . Security subscribers UniCredit S.p.A. Bayview Global Opportunities Fund S.C.S. SICAV-RAIF and CRC CF Lux Sarl (95%) - UniCredit S.p.A. (5%) . ISIN IT0005468381 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 11.25.2021 . Legal maturity 07.01.2044 . Call option - . Expected duration (years) 8.2 . Rate variabile . Subordination level SUB A-B . Nominal Value Issued (€ million) 3 . Nominal value at the end of accounting period (€ million) 3 . Security subscribers Bayview Global Opportunities Fund S.C.S. SICAV-RAIF and CRC CF Lux Sarl (95%) - UniCredit S.p.A. (5%) Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 504 2021 Annual Report and Accounts · UniCredit New Transactions 2021 SECURITISATION NAME: OLYMPIA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Olympia SPV S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: UniCredit Bank A.G. Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 11.25.2021 Nominal Value of reference portfolio (€ million): 2,136 Net amount of preexisting write-down/write-backs (€ million): 312 Disposal Profit & Loss realised (€ million)(*): -22 Portfolio disposal price (€ million): 290 Issued guarantees by the Bank: - Issued guarantees by third parties: On 24 December 2021 a request was submitted to the MEF and Consap for the issuing of the state guarantee on the senior notes (so-called GACS). Bank Lines of Credit: - Third Parties Lines of Credit: UniCredit Bank Ag has granted a credit facility of €26 million to the SPV, super-senior in the priority of payment. Other Credit Enhancements: - Other relevant information: UniCredit S.p.A. has initially underwritten the whole set of notes issued by the SPV. On 9 December 2021, 95% of junior and mezzanine notes was sold on the market. Rating Agencies: Moody's Italia S.r.l., Scope Ratings GmbH and S&P Global Ratings Europe Limited Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005468365 IT0005468373 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) Baa2 - (Scope) BBB - (S&P) BBB- . Quotation - - . Issue date 11.25.2021 11.25.2021 . Legal maturity 07.01.2044 07.01.2044 . Call option - - . Expected duration (years) 4.7 7.7 . Rate 6M Eur +1,50% 6M Eur +9,50% . Subordination level - SUB A . Nominal Value Issued (€ million) 261 26 . Nominal value at the end of accounting period (€ million) 261 26 . Security subscribers UniCredit S.p.A. Bayview Global Opportunities Fund S.C.S. SICAV-RAIF and CRC CF Lux Sarl (95%) - UniCredit S.p.A. (5%) . ISIN IT0005468381 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 11.25.2021 . Legal maturity 07.01.2044 . Call option - . Expected duration (years) 8.2 . Rate variabile . Subordination level SUB A-B . Nominal Value Issued (€ million) 3 . Nominal value at the end of accounting period (€ million) 3 . Security subscribers Bayview Global Opportunities Fund S.C.S. SICAV-RAIF and CRC CF Lux Sarl (95%) - UniCredit S.p.A. (5%) Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 504 2021 Annual Report and Accounts · UniCredit New Transactions 2021 SECURITISATION NAME: OLYMPIA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Olympia SPV S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: UniCredit Bank A.G. Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 11.25.2021 Nominal Value of reference portfolio (€ million): 2,136 Net amount of preexisting write-down/write-backs (€ million): 312 Disposal Profit & Loss realised (€ million)(*): -22 Portfolio disposal price (€ million): 290 Issued guarantees by the Bank: - Issued guarantees by third parties: On 24 December 2021 a request was submitted to the MEF and Consap for the issuing of the state guarantee on the senior notes (so-called GACS). Bank Lines of Credit: - Third Parties Lines of Credit: UniCredit Bank Ag has granted a credit facility of €26 million to the SPV, super-senior in the priority of payment. Other Credit Enhancements: - Other relevant information: UniCredit S.p.A. has initially underwritten the whole set of notes issued by the SPV. On 9 December 2021, 95% of junior and mezzanine notes was sold on the market. Rating Agencies: Moody's Italia S.r.l., Scope Ratings GmbH and S&P Global Ratings Europe Limited Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005468365 IT0005468373 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) Baa2 - (Scope) BBB - (S&P) BBB- . Quotation - - . Issue date 11.25.2021 11.25.2021 . Legal maturity 07.01.2044 07.01.2044 . Call option - - . Expected duration (years) 4.7 7.7 . Rate 6M Eur +1,50% 6M Eur +9,50% . Subordination level - SUB A . Nominal Value Issued (€ million) 261 26 . Nominal value at the end of accounting period (€ million) 261 26 . Security subscribers UniCredit S.p.A. Bayview Global Opportunities Fund S.C.S. SICAV-RAIF and CRC CF Lux Sarl (95%) - UniCredit S.p.A. (5%) . ISIN IT0005468381 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 11.25.2021 . Legal maturity 07.01.2044 . Call option - . Expected duration (years) 8.2 . Rate variabile . Subordination level SUB A-B . Nominal Value Issued (€ million) 3 . Nominal value at the end of accounting period (€ million) 3 . Security subscribers Bayview Global Opportunities Fund S.C.S. SICAV-RAIF and CRC CF Lux Sarl (95%) - UniCredit S.p.A. (5%) Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 505 continued: from previous page SECURITISATION NAME: OLYMPIA Distribution of securitised assets by area (€ million): Italy - Northwest 860 Italy - Northeast 168 Italy - Central 565 Italy - South and Islands 539 Other European Countries - E.U. countries 3 Other European Countries - non-E.U. countries 1 America - Rest of the World - Total 2,136 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities 23 Banks - Financial Companies 1 Insurance Companies - Non-financial Companies 1,901 Other entities 212 Total 2,136 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 505 continued: from previous page SECURITISATION NAME: OLYMPIA Distribution of securitised assets by area (€ million): Italy - Northwest 860 Italy - Northeast 168 Italy - Central 565 Italy - South and Islands 539 Other European Countries - E.U. countries 3 Other European Countries - non-E.U. countries 1 America - Rest of the World - Total 2,136 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities 23 Banks - Financial Companies 1 Insurance Companies - Non-financial Companies 1,901 Other entities 212 Total 2,136 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 505 continued: from previous page SECURITISATION NAME: OLYMPIA Distribution of securitised assets by area (€ million): Italy - Northwest 860 Italy - Northeast 168 Italy - Central 565 Italy - South and Islands 539 Other European Countries - E.U. countries 3 Other European Countries - non-E.U. countries 1 America - Rest of the World - Total 2,136 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities 23 Banks - Financial Companies 1 Insurance Companies - Non-financial Companies 1,901 Other entities 212 Total 2,136 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 505 continued: from previous page SECURITISATION NAME: OLYMPIA Distribution of securitised assets by area (€ million): Italy - Northwest 860 Italy - Northeast 168 Italy - Central 565 Italy - South and Islands 539 Other European Countries - E.U. countries 3 Other European Countries - non-E.U. countries 1 America - Rest of the World - Total 2,136 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities 23 Banks - Financial Companies 1 Insurance Companies - Non-financial Companies 1,901 Other entities 212 Total 2,136 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 505 continued: from previous page SECURITISATION NAME: OLYMPIA Distribution of securitised assets by area (€ million): Italy - Northwest 860 Italy - Northeast 168 Italy - Central 565 Italy - South and Islands 539 Other European Countries - E.U. countries 3 Other European Countries - non-E.U. countries 1 America - Rest of the World - Total 2,136 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities 23 Banks - Financial Companies 1 Insurance Companies - Non-financial Companies 1,901 Other entities 212 Total 2,136 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 506 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: PRISMA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Prisma SPV S.r.l. Servicer: doValue S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Decrease of exposure to non-performing residential mortgages (bad-loans) Type of asset: Residential mortgages granted to retail customers Quality of Asset: Bad loans Closing date: 10.18.2019 Nominal Value of reference portfolio (€ million): 6,101 Net amount of preexisting write-down/write-backs (€ million): 1,357 Disposal Profit & Loss realised (€ million)(*): -37 Portfolio disposal price (€ million): 1,320 Issued guarantees by the Bank: - Issued guarantees by third parties: Government guarantee is effective on senior notes (i.e. GACS) Bank Lines of Credit: - Third Parties Lines of Credit: UniCredit Bank Ag has granted a credit facility of €66 million to the SPV, super-senior in the priority of payment. Other Credit Enhancements: - Other relevant information: UniCredit S.p.A. has originally underwritten the whole of notes issued by the SPV. On 12 November 2019, 95% of junior and mezzanine notes was sold on the market. Rating Agencies: Moody's and Scope Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005387904 IT0005387912 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) Baa1 - (Scope) BBB+ (Moody's) B3 - (Scope) B- . Quotation - - . Issue date 10.18.2019 10.18.2019 . Legal maturity November 2039 November 2039 . Call option - - . Expected duration (years) 3.4 8.1 . Rate 6M Eur +1,50% 6M Eur +9% . Subordination level - SUB A . Nominal Value Issued (€ million) 1,210 80 . Nominal value at the end of accounting period (€ million) 824 80 . ISIN IT0005387920 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 10.18.2019 . Legal maturity November 2039 . Call option - . Expected duration (years) 9.1 . Rate variable . Subordination level SUB A-B . Nominal Value Issued (€ million) 30 . Nominal value at the end of accounting period (€ million) 30 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 506 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: PRISMA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Prisma SPV S.r.l. Servicer: doValue S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Decrease of exposure to non-performing residential mortgages (bad-loans) Type of asset: Residential mortgages granted to retail customers Quality of Asset: Bad loans Closing date: 10.18.2019 Nominal Value of reference portfolio (€ million): 6,101 Net amount of preexisting write-down/write-backs (€ million): 1,357 Disposal Profit & Loss realised (€ million)(*): -37 Portfolio disposal price (€ million): 1,320 Issued guarantees by the Bank: - Issued guarantees by third parties: Government guarantee is effective on senior notes (i.e. GACS) Bank Lines of Credit: - Third Parties Lines of Credit: UniCredit Bank Ag has granted a credit facility of €66 million to the SPV, super-senior in the priority of payment. Other Credit Enhancements: - Other relevant information: UniCredit S.p.A. has originally underwritten the whole of notes issued by the SPV. On 12 November 2019, 95% of junior and mezzanine notes was sold on the market. Rating Agencies: Moody's and Scope Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005387904 IT0005387912 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) Baa1 - (Scope) BBB+ (Moody's) B3 - (Scope) B- . Quotation - - . Issue date 10.18.2019 10.18.2019 . Legal maturity November 2039 November 2039 . Call option - - . Expected duration (years) 3.4 8.1 . Rate 6M Eur +1,50% 6M Eur +9% . Subordination level - SUB A . Nominal Value Issued (€ million) 1,210 80 . Nominal value at the end of accounting period (€ million) 824 80 . ISIN IT0005387920 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 10.18.2019 . Legal maturity November 2039 . Call option - . Expected duration (years) 9.1 . Rate variable . Subordination level SUB A-B . Nominal Value Issued (€ million) 30 . Nominal value at the end of accounting period (€ million) 30 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 506 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: PRISMA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Prisma SPV S.r.l. Servicer: doValue S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Decrease of exposure to non-performing residential mortgages (bad-loans) Type of asset: Residential mortgages granted to retail customers Quality of Asset: Bad loans Closing date: 10.18.2019 Nominal Value of reference portfolio (€ million): 6,101 Net amount of preexisting write-down/write-backs (€ million): 1,357 Disposal Profit & Loss realised (€ million)(*): -37 Portfolio disposal price (€ million): 1,320 Issued guarantees by the Bank: - Issued guarantees by third parties: Government guarantee is effective on senior notes (i.e. GACS) Bank Lines of Credit: - Third Parties Lines of Credit: UniCredit Bank Ag has granted a credit facility of €66 million to the SPV, super-senior in the priority of payment. Other Credit Enhancements: - Other relevant information: UniCredit S.p.A. has originally underwritten the whole of notes issued by the SPV. On 12 November 2019, 95% of junior and mezzanine notes was sold on the market. Rating Agencies: Moody's and Scope Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005387904 IT0005387912 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) Baa1 - (Scope) BBB+ (Moody's) B3 - (Scope) B- . Quotation - - . Issue date 10.18.2019 10.18.2019 . Legal maturity November 2039 November 2039 . Call option - - . Expected duration (years) 3.4 8.1 . Rate 6M Eur +1,50% 6M Eur +9% . Subordination level - SUB A . Nominal Value Issued (€ million) 1,210 80 . Nominal value at the end of accounting period (€ million) 824 80 . ISIN IT0005387920 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 10.18.2019 . Legal maturity November 2039 . Call option - . Expected duration (years) 9.1 . Rate variable . Subordination level SUB A-B . Nominal Value Issued (€ million) 30 . Nominal value at the end of accounting period (€ million) 30 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 506 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: PRISMA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Prisma SPV S.r.l. Servicer: doValue S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Decrease of exposure to non-performing residential mortgages (bad-loans) Type of asset: Residential mortgages granted to retail customers Quality of Asset: Bad loans Closing date: 10.18.2019 Nominal Value of reference portfolio (€ million): 6,101 Net amount of preexisting write-down/write-backs (€ million): 1,357 Disposal Profit & Loss realised (€ million)(*): -37 Portfolio disposal price (€ million): 1,320 Issued guarantees by the Bank: - Issued guarantees by third parties: Government guarantee is effective on senior notes (i.e. GACS) Bank Lines of Credit: - Third Parties Lines of Credit: UniCredit Bank Ag has granted a credit facility of €66 million to the SPV, super-senior in the priority of payment. Other Credit Enhancements: - Other relevant information: UniCredit S.p.A. has originally underwritten the whole of notes issued by the SPV. On 12 November 2019, 95% of junior and mezzanine notes was sold on the market. Rating Agencies: Moody's and Scope Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005387904 IT0005387912 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) Baa1 - (Scope) BBB+ (Moody's) B3 - (Scope) B- . Quotation - - . Issue date 10.18.2019 10.18.2019 . Legal maturity November 2039 November 2039 . Call option - - . Expected duration (years) 3.4 8.1 . Rate 6M Eur +1,50% 6M Eur +9% . Subordination level - SUB A . Nominal Value Issued (€ million) 1,210 80 . Nominal value at the end of accounting period (€ million) 824 80 . ISIN IT0005387920 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 10.18.2019 . Legal maturity November 2039 . Call option - . Expected duration (years) 9.1 . Rate variable . Subordination level SUB A-B . Nominal Value Issued (€ million) 30 . Nominal value at the end of accounting period (€ million) 30 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 506 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: PRISMA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Prisma SPV S.r.l. Servicer: doValue S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Decrease of exposure to non-performing residential mortgages (bad-loans) Type of asset: Residential mortgages granted to retail customers Quality of Asset: Bad loans Closing date: 10.18.2019 Nominal Value of reference portfolio (€ million): 6,101 Net amount of preexisting write-down/write-backs (€ million): 1,357 Disposal Profit & Loss realised (€ million)(*): -37 Portfolio disposal price (€ million): 1,320 Issued guarantees by the Bank: - Issued guarantees by third parties: Government guarantee is effective on senior notes (i.e. GACS) Bank Lines of Credit: - Third Parties Lines of Credit: UniCredit Bank Ag has granted a credit facility of €66 million to the SPV, super-senior in the priority of payment. Other Credit Enhancements: - Other relevant information: UniCredit S.p.A. has originally underwritten the whole of notes issued by the SPV. On 12 November 2019, 95% of junior and mezzanine notes was sold on the market. Rating Agencies: Moody's and Scope Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005387904 IT0005387912 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) Baa1 - (Scope) BBB+ (Moody's) B3 - (Scope) B- . Quotation - - . Issue date 10.18.2019 10.18.2019 . Legal maturity November 2039 November 2039 . Call option - - . Expected duration (years) 3.4 8.1 . Rate 6M Eur +1,50% 6M Eur +9% . Subordination level - SUB A . Nominal Value Issued (€ million) 1,210 80 . Nominal value at the end of accounting period (€ million) 824 80 . ISIN IT0005387920 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 10.18.2019 . Legal maturity November 2039 . Call option - . Expected duration (years) 9.1 . Rate variable . Subordination level SUB A-B . Nominal Value Issued (€ million) 30 . Nominal value at the end of accounting period (€ million) 30 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 507 SECURITISATION NAME: FINO 1 Type of securitisation: Traditional Originator: UniCredit S.p.A/Arena Npl ONE S.r.l. Issuer: FINO 1 Securitisation S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 07.31.2017 Nominal Value of disposal portfolio (€ million): 5,376 Net amount of pre-existing write-down/write-backs (€ million): 890 Disposal Profit & Loss realised (€ million)(*): -96 Portfolio disposal price (€ million): 794 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Government guarantee is effective on senior notes (i.e. GACS) Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Rating Agencies: Moody's - DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277311 IT0005277337 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) A2/BBB+ - (DBRS) A2/BBB+ (Moody's) Ba3/BB+ - (DBRS) Ba3/BB+ . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - . Expected duration (years) 2.2 4.1 . Rate 3M Eur + 1.5% 3M Eur + 4% . Subordinated level - SUB A . Nominal value issued (€ million) 650 30 . Nominal value at the end of accounting period (€ million) 141 30 . ISIN IT0005277345 IT0005277352 . Type of security Mezzanine Junior . Class C D . Rating (Moody's) B1/BB - (DBRS) B1/BB - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - . Expected duration (years) 4.2 6.8 . Rate 3M Eur + 6% 12.00% . Subordinated level SUB A-B SUB A-B-C . Nominal value issued (€ million) 40 50 . Nominal value at the end of accounting period (€ million) 40 50 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 507 SECURITISATION NAME: FINO 1 Type of securitisation: Traditional Originator: UniCredit S.p.A/Arena Npl ONE S.r.l. Issuer: FINO 1 Securitisation S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 07.31.2017 Nominal Value of disposal portfolio (€ million): 5,376 Net amount of pre-existing write-down/write-backs (€ million): 890 Disposal Profit & Loss realised (€ million)(*): -96 Portfolio disposal price (€ million): 794 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Government guarantee is effective on senior notes (i.e. GACS) Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Rating Agencies: Moody's - DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277311 IT0005277337 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) A2/BBB+ - (DBRS) A2/BBB+ (Moody's) Ba3/BB+ - (DBRS) Ba3/BB+ . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - . Expected duration (years) 2.2 4.1 . Rate 3M Eur + 1.5% 3M Eur + 4% . Subordinated level - SUB A . Nominal value issued (€ million) 650 30 . Nominal value at the end of accounting period (€ million) 141 30 . ISIN IT0005277345 IT0005277352 . Type of security Mezzanine Junior . Class C D . Rating (Moody's) B1/BB - (DBRS) B1/BB - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - . Expected duration (years) 4.2 6.8 . Rate 3M Eur + 6% 12.00% . Subordinated level SUB A-B SUB A-B-C . Nominal value issued (€ million) 40 50 . Nominal value at the end of accounting period (€ million) 40 50 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 507 SECURITISATION NAME: FINO 1 Type of securitisation: Traditional Originator: UniCredit S.p.A/Arena Npl ONE S.r.l. Issuer: FINO 1 Securitisation S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 07.31.2017 Nominal Value of disposal portfolio (€ million): 5,376 Net amount of pre-existing write-down/write-backs (€ million): 890 Disposal Profit & Loss realised (€ million)(*): -96 Portfolio disposal price (€ million): 794 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Government guarantee is effective on senior notes (i.e. GACS) Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Rating Agencies: Moody's - DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277311 IT0005277337 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) A2/BBB+ - (DBRS) A2/BBB+ (Moody's) Ba3/BB+ - (DBRS) Ba3/BB+ . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - . Expected duration (years) 2.2 4.1 . Rate 3M Eur + 1.5% 3M Eur + 4% . Subordinated level - SUB A . Nominal value issued (€ million) 650 30 . Nominal value at the end of accounting period (€ million) 141 30 . ISIN IT0005277345 IT0005277352 . Type of security Mezzanine Junior . Class C D . Rating (Moody's) B1/BB - (DBRS) B1/BB - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - . Expected duration (years) 4.2 6.8 . Rate 3M Eur + 6% 12.00% . Subordinated level SUB A-B SUB A-B-C . Nominal value issued (€ million) 40 50 . Nominal value at the end of accounting period (€ million) 40 50 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 507 SECURITISATION NAME: FINO 1 Type of securitisation: Traditional Originator: UniCredit S.p.A/Arena Npl ONE S.r.l. Issuer: FINO 1 Securitisation S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 07.31.2017 Nominal Value of disposal portfolio (€ million): 5,376 Net amount of pre-existing write-down/write-backs (€ million): 890 Disposal Profit & Loss realised (€ million)(*): -96 Portfolio disposal price (€ million): 794 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Government guarantee is effective on senior notes (i.e. GACS) Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Rating Agencies: Moody's - DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277311 IT0005277337 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) A2/BBB+ - (DBRS) A2/BBB+ (Moody's) Ba3/BB+ - (DBRS) Ba3/BB+ . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - . Expected duration (years) 2.2 4.1 . Rate 3M Eur + 1.5% 3M Eur + 4% . Subordinated level - SUB A . Nominal value issued (€ million) 650 30 . Nominal value at the end of accounting period (€ million) 141 30 . ISIN IT0005277345 IT0005277352 . Type of security Mezzanine Junior . Class C D . Rating (Moody's) B1/BB - (DBRS) B1/BB - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - . Expected duration (years) 4.2 6.8 . Rate 3M Eur + 6% 12.00% . Subordinated level SUB A-B SUB A-B-C . Nominal value issued (€ million) 40 50 . Nominal value at the end of accounting period (€ million) 40 50 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 507 SECURITISATION NAME: FINO 1 Type of securitisation: Traditional Originator: UniCredit S.p.A/Arena Npl ONE S.r.l. Issuer: FINO 1 Securitisation S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 07.31.2017 Nominal Value of disposal portfolio (€ million): 5,376 Net amount of pre-existing write-down/write-backs (€ million): 890 Disposal Profit & Loss realised (€ million)(*): -96 Portfolio disposal price (€ million): 794 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Government guarantee is effective on senior notes (i.e. GACS) Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Rating Agencies: Moody's - DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277311 IT0005277337 . Type of security Senior Mezzanine . Class A B . Rating (Moody's) A2/BBB+ - (DBRS) A2/BBB+ (Moody's) Ba3/BB+ - (DBRS) Ba3/BB+ . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - . Expected duration (years) 2.2 4.1 . Rate 3M Eur + 1.5% 3M Eur + 4% . Subordinated level - SUB A . Nominal value issued (€ million) 650 30 . Nominal value at the end of accounting period (€ million) 141 30 . ISIN IT0005277345 IT0005277352 . Type of security Mezzanine Junior . Class C D . Rating (Moody's) B1/BB - (DBRS) B1/BB - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - . Expected duration (years) 4.2 6.8 . Rate 3M Eur + 6% 12.00% . Subordinated level SUB A-B SUB A-B-C . Nominal value issued (€ million) 40 50 . Nominal value at the end of accounting period (€ million) 40 50 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 508 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: FINO 2 Type of securitisation: Traditional Originator: UniCredit S.p.A/Arena Npl ONE S.r.l. Issuer: FINO 2 Securitisation S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 07.31.2017 Nominal Value of disposal portfolio (€ million): 7,841 Net amount of pre-existing write-down/write-backs (€ million): 822 Disposal Profit & Loss realised (€ million)(*): -181 Portfolio disposal price (€ million): 640 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277378 IT0005277394 . Type of security Senior Mezzanine . Class A B . Rating - - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - - . Expected duration (years) 1.6 3.6 . Rate 3M Eur + 2% 3M Eur + 6% . Subordinated level - SUB A . Nominal value issued (€ million) 400 125 . Nominal value at the end of accounting period (€ million) 212 125 . ISIN IT0005277402 IT0005277410 . Type of security Mezzanine Junior . Class C D . Rating - - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - - . Expected duration (years) 4.3 6.2 . Rate 3M Eur + 8% 12.00% . Subordinated level SUB A-B SUB A-B-C . Nominal value issued (€ million) 76 40 . Nominal value at the end of accounting period (€ million) 76 40 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 508 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: FINO 2 Type of securitisation: Traditional Originator: UniCredit S.p.A/Arena Npl ONE S.r.l. Issuer: FINO 2 Securitisation S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 07.31.2017 Nominal Value of disposal portfolio (€ million): 7,841 Net amount of pre-existing write-down/write-backs (€ million): 822 Disposal Profit & Loss realised (€ million)(*): -181 Portfolio disposal price (€ million): 640 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277378 IT0005277394 . Type of security Senior Mezzanine . Class A B . Rating - - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - - . Expected duration (years) 1.6 3.6 . Rate 3M Eur + 2% 3M Eur + 6% . Subordinated level - SUB A . Nominal value issued (€ million) 400 125 . Nominal value at the end of accounting period (€ million) 212 125 . ISIN IT0005277402 IT0005277410 . Type of security Mezzanine Junior . Class C D . Rating - - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - - . Expected duration (years) 4.3 6.2 . Rate 3M Eur + 8% 12.00% . Subordinated level SUB A-B SUB A-B-C . Nominal value issued (€ million) 76 40 . Nominal value at the end of accounting period (€ million) 76 40 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 508 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: FINO 2 Type of securitisation: Traditional Originator: UniCredit S.p.A/Arena Npl ONE S.r.l. Issuer: FINO 2 Securitisation S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 07.31.2017 Nominal Value of disposal portfolio (€ million): 7,841 Net amount of pre-existing write-down/write-backs (€ million): 822 Disposal Profit & Loss realised (€ million)(*): -181 Portfolio disposal price (€ million): 640 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277378 IT0005277394 . Type of security Senior Mezzanine . Class A B . Rating - - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - - . Expected duration (years) 1.6 3.6 . Rate 3M Eur + 2% 3M Eur + 6% . Subordinated level - SUB A . Nominal value issued (€ million) 400 125 . Nominal value at the end of accounting period (€ million) 212 125 . ISIN IT0005277402 IT0005277410 . Type of security Mezzanine Junior . Class C D . Rating - - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - - . Expected duration (years) 4.3 6.2 . Rate 3M Eur + 8% 12.00% . Subordinated level SUB A-B SUB A-B-C . Nominal value issued (€ million) 76 40 . Nominal value at the end of accounting period (€ million) 76 40 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 508 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: FINO 2 Type of securitisation: Traditional Originator: UniCredit S.p.A/Arena Npl ONE S.r.l. Issuer: FINO 2 Securitisation S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 07.31.2017 Nominal Value of disposal portfolio (€ million): 7,841 Net amount of pre-existing write-down/write-backs (€ million): 822 Disposal Profit & Loss realised (€ million)(*): -181 Portfolio disposal price (€ million): 640 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277378 IT0005277394 . Type of security Senior Mezzanine . Class A B . Rating - - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - - . Expected duration (years) 1.6 3.6 . Rate 3M Eur + 2% 3M Eur + 6% . Subordinated level - SUB A . Nominal value issued (€ million) 400 125 . Nominal value at the end of accounting period (€ million) 212 125 . ISIN IT0005277402 IT0005277410 . Type of security Mezzanine Junior . Class C D . Rating - - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - - . Expected duration (years) 4.3 6.2 . Rate 3M Eur + 8% 12.00% . Subordinated level SUB A-B SUB A-B-C . Nominal value issued (€ million) 76 40 . Nominal value at the end of accounting period (€ million) 76 40 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 508 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: FINO 2 Type of securitisation: Traditional Originator: UniCredit S.p.A/Arena Npl ONE S.r.l. Issuer: FINO 2 Securitisation S.r.l. Servicer: Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to small and medium enterprises and individuals Quality of Asset: Bad loans Closing date: 07.31.2017 Nominal Value of disposal portfolio (€ million): 7,841 Net amount of pre-existing write-down/write-backs (€ million): 822 Disposal Profit & Loss realised (€ million)(*): -181 Portfolio disposal price (€ million): 640 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277378 IT0005277394 . Type of security Senior Mezzanine . Class A B . Rating - - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - - . Expected duration (years) 1.6 3.6 . Rate 3M Eur + 2% 3M Eur + 6% . Subordinated level - SUB A . Nominal value issued (€ million) 400 125 . Nominal value at the end of accounting period (€ million) 212 125 . ISIN IT0005277402 IT0005277410 . Type of security Mezzanine Junior . Class C D . Rating - - . Quotation - - . Issue date 07.31.2017 07.31.2017 . Legal maturity October 2045 October 2045 . Call option - - . Expected duration (years) 4.3 6.2 . Rate 3M Eur + 8% 12.00% . Subordinated level SUB A-B SUB A-B-C . Nominal value issued (€ million) 76 40 . Nominal value at the end of accounting period (€ million) 76 40 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 509 SECURITISATION NAME: ONIF Type of securitisation: Traditional Originator: UniCredit S.p.A Issuer: Onif Finance S.r.l. Servicer: Zenith Service S.p.A. (Master Servicer) - Phoenix Asset Management S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to large enterprises Quality of Asset: Bad loans Closing date: 07.26.2017 Nominal Value of disposal portfolio (€ million): 2,994 Net amount of pre-existing write-down/write-backs (€ million): 402 Disposal Profit & Loss realised (€ million)(*): -84 Portfolio disposal price net of Lock Box Cash (€ million): 318 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: 2 Third Parties Lines of Credit: - Other Credit Enhancements: Cash reserve for €0,7 million Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277014 IT0005277022 . Type of security Senior Mezzanine . Class A B . Rating - - . Quotation - - . Issue date 07.26.2017 07.26.2017 . Legal maturity October 2042 October 2042 . Call option - - . Expected duration (years) 2.0 4.5 . Rate 2.00% 5.00% . Subordinated level - SUB A . Nominal value issued (€ million) 150 100 . Nominal value at the end of accounting period (€ million) - 68 . ISIN IT0005277030 . Type of security Junior . Class C . Rating - . Quotation - . Issue date 07.26.2017 . Legal maturity October 2042 . Call option - . Expected duration (years) 6.7 . Rate 10.00% . Subordinated level SUB A-B . Nominal value issued (€ million) 80 . Nominal value at the end of accounting period (€ million) 80 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 509 SECURITISATION NAME: ONIF Type of securitisation: Traditional Originator: UniCredit S.p.A Issuer: Onif Finance S.r.l. Servicer: Zenith Service S.p.A. (Master Servicer) - Phoenix Asset Management S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to large enterprises Quality of Asset: Bad loans Closing date: 07.26.2017 Nominal Value of disposal portfolio (€ million): 2,994 Net amount of pre-existing write-down/write-backs (€ million): 402 Disposal Profit & Loss realised (€ million)(*): -84 Portfolio disposal price net of Lock Box Cash (€ million): 318 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: 2 Third Parties Lines of Credit: - Other Credit Enhancements: Cash reserve for €0,7 million Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277014 IT0005277022 . Type of security Senior Mezzanine . Class A B . Rating - - . Quotation - - . Issue date 07.26.2017 07.26.2017 . Legal maturity October 2042 October 2042 . Call option - - . Expected duration (years) 2.0 4.5 . Rate 2.00% 5.00% . Subordinated level - SUB A . Nominal value issued (€ million) 150 100 . Nominal value at the end of accounting period (€ million) - 68 . ISIN IT0005277030 . Type of security Junior . Class C . Rating - . Quotation - . Issue date 07.26.2017 . Legal maturity October 2042 . Call option - . Expected duration (years) 6.7 . Rate 10.00% . Subordinated level SUB A-B . Nominal value issued (€ million) 80 . Nominal value at the end of accounting period (€ million) 80 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 509 SECURITISATION NAME: ONIF Type of securitisation: Traditional Originator: UniCredit S.p.A Issuer: Onif Finance S.r.l. Servicer: Zenith Service S.p.A. (Master Servicer) - Phoenix Asset Management S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to large enterprises Quality of Asset: Bad loans Closing date: 07.26.2017 Nominal Value of disposal portfolio (€ million): 2,994 Net amount of pre-existing write-down/write-backs (€ million): 402 Disposal Profit & Loss realised (€ million)(*): -84 Portfolio disposal price net of Lock Box Cash (€ million): 318 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: 2 Third Parties Lines of Credit: - Other Credit Enhancements: Cash reserve for €0,7 million Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277014 IT0005277022 . Type of security Senior Mezzanine . Class A B . Rating - - . Quotation - - . Issue date 07.26.2017 07.26.2017 . Legal maturity October 2042 October 2042 . Call option - - . Expected duration (years) 2.0 4.5 . Rate 2.00% 5.00% . Subordinated level - SUB A . Nominal value issued (€ million) 150 100 . Nominal value at the end of accounting period (€ million) - 68 . ISIN IT0005277030 . Type of security Junior . Class C . Rating - . Quotation - . Issue date 07.26.2017 . Legal maturity October 2042 . Call option - . Expected duration (years) 6.7 . Rate 10.00% . Subordinated level SUB A-B . Nominal value issued (€ million) 80 . Nominal value at the end of accounting period (€ million) 80 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 509 SECURITISATION NAME: ONIF Type of securitisation: Traditional Originator: UniCredit S.p.A Issuer: Onif Finance S.r.l. Servicer: Zenith Service S.p.A. (Master Servicer) - Phoenix Asset Management S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to large enterprises Quality of Asset: Bad loans Closing date: 07.26.2017 Nominal Value of disposal portfolio (€ million): 2,994 Net amount of pre-existing write-down/write-backs (€ million): 402 Disposal Profit & Loss realised (€ million)(*): -84 Portfolio disposal price net of Lock Box Cash (€ million): 318 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: 2 Third Parties Lines of Credit: - Other Credit Enhancements: Cash reserve for €0,7 million Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277014 IT0005277022 . Type of security Senior Mezzanine . Class A B . Rating - - . Quotation - - . Issue date 07.26.2017 07.26.2017 . Legal maturity October 2042 October 2042 . Call option - - . Expected duration (years) 2.0 4.5 . Rate 2.00% 5.00% . Subordinated level - SUB A . Nominal value issued (€ million) 150 100 . Nominal value at the end of accounting period (€ million) - 68 . ISIN IT0005277030 . Type of security Junior . Class C . Rating - . Quotation - . Issue date 07.26.2017 . Legal maturity October 2042 . Call option - . Expected duration (years) 6.7 . Rate 10.00% . Subordinated level SUB A-B . Nominal value issued (€ million) 80 . Nominal value at the end of accounting period (€ million) 80 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 509 SECURITISATION NAME: ONIF Type of securitisation: Traditional Originator: UniCredit S.p.A Issuer: Onif Finance S.r.l. Servicer: Zenith Service S.p.A. (Master Servicer) - Phoenix Asset Management S.p.A. (Special Servicer) Arranger: Morgan Stanley International Plc - UniCredit Bank AG Target transaction: UniCredit S.p.A. NPL stock reduction Type of asset: Secured and unsecured loans granted to large enterprises Quality of Asset: Bad loans Closing date: 07.26.2017 Nominal Value of disposal portfolio (€ million): 2,994 Net amount of pre-existing write-down/write-backs (€ million): 402 Disposal Profit & Loss realised (€ million)(*): -84 Portfolio disposal price net of Lock Box Cash (€ million): 318 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: 2 Third Parties Lines of Credit: - Other Credit Enhancements: Cash reserve for €0,7 million Other relevant information: - Rating Agencies: - Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005277014 IT0005277022 . Type of security Senior Mezzanine . Class A B . Rating - - . Quotation - - . Issue date 07.26.2017 07.26.2017 . Legal maturity October 2042 October 2042 . Call option - - . Expected duration (years) 2.0 4.5 . Rate 2.00% 5.00% . Subordinated level - SUB A . Nominal value issued (€ million) 150 100 . Nominal value at the end of accounting period (€ million) - 68 . ISIN IT0005277030 . Type of security Junior . Class C . Rating - . Quotation - . Issue date 07.26.2017 . Legal maturity October 2042 . Call option - . Expected duration (years) 6.7 . Rate 10.00% . Subordinated level SUB A-B . Nominal value issued (€ million) 80 . Nominal value at the end of accounting period (€ million) 80 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 510 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Traditional securitisations of-performing loans STRATEGIES, PROCESSES AND GOALS: The securitisations aim at facilitating the access to long term financing opportunities for the Italian small and medium enterprises (“SMEs”), through minbonds subscription by SMEs and purchase of it by SPV, in addition to the traditional bank credit lines, thus supporting the real economy and achieving a significant transfer risk on institutional qualified investors. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each portfolio is monitored on an ongoing basis by external third counterparty and is described in monthly and quarterly reports (required by the agreements) with a breakdown of loans by status and the trend of repayments. Moreover, compliant to the retention rule UniCredit S.p.A. maintained at least a 5% of minibonds issued by SMES, so is able to monitor directly performance of the portfolio. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The BoD approved a plafond for similar transactions and each new securitisation is submitted to the top management and internal of UniCredit S.p.A. deputated committes approval. The bank's annual/interim report contains details information on the specific ABS transactions achieved. HEDGING POLICIES: There is no swap on interest rates in force since the interest rates of the assets are matched with interest rates of the liabilities. OPERATING RESULTS: The results achieved up to the present are broadly in line with expectations and approved at inception. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 510 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Traditional securitisations of-performing loans STRATEGIES, PROCESSES AND GOALS: The securitisations aim at facilitating the access to long term financing opportunities for the Italian small and medium enterprises (“SMEs”), through minbonds subscription by SMEs and purchase of it by SPV, in addition to the traditional bank credit lines, thus supporting the real economy and achieving a significant transfer risk on institutional qualified investors. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each portfolio is monitored on an ongoing basis by external third counterparty and is described in monthly and quarterly reports (required by the agreements) with a breakdown of loans by status and the trend of repayments. Moreover, compliant to the retention rule UniCredit S.p.A. maintained at least a 5% of minibonds issued by SMES, so is able to monitor directly performance of the portfolio. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The BoD approved a plafond for similar transactions and each new securitisation is submitted to the top management and internal of UniCredit S.p.A. deputated committes approval. The bank's annual/interim report contains details information on the specific ABS transactions achieved. HEDGING POLICIES: There is no swap on interest rates in force since the interest rates of the assets are matched with interest rates of the liabilities. OPERATING RESULTS: The results achieved up to the present are broadly in line with expectations and approved at inception. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 510 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Traditional securitisations of-performing loans STRATEGIES, PROCESSES AND GOALS: The securitisations aim at facilitating the access to long term financing opportunities for the Italian small and medium enterprises (“SMEs”), through minbonds subscription by SMEs and purchase of it by SPV, in addition to the traditional bank credit lines, thus supporting the real economy and achieving a significant transfer risk on institutional qualified investors. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each portfolio is monitored on an ongoing basis by external third counterparty and is described in monthly and quarterly reports (required by the agreements) with a breakdown of loans by status and the trend of repayments. Moreover, compliant to the retention rule UniCredit S.p.A. maintained at least a 5% of minibonds issued by SMES, so is able to monitor directly performance of the portfolio. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The BoD approved a plafond for similar transactions and each new securitisation is submitted to the top management and internal of UniCredit S.p.A. deputated committes approval. The bank's annual/interim report contains details information on the specific ABS transactions achieved. HEDGING POLICIES: There is no swap on interest rates in force since the interest rates of the assets are matched with interest rates of the liabilities. OPERATING RESULTS: The results achieved up to the present are broadly in line with expectations and approved at inception. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 510 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Traditional securitisations of-performing loans STRATEGIES, PROCESSES AND GOALS: The securitisations aim at facilitating the access to long term financing opportunities for the Italian small and medium enterprises (“SMEs”), through minbonds subscription by SMEs and purchase of it by SPV, in addition to the traditional bank credit lines, thus supporting the real economy and achieving a significant transfer risk on institutional qualified investors. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each portfolio is monitored on an ongoing basis by external third counterparty and is described in monthly and quarterly reports (required by the agreements) with a breakdown of loans by status and the trend of repayments. Moreover, compliant to the retention rule UniCredit S.p.A. maintained at least a 5% of minibonds issued by SMES, so is able to monitor directly performance of the portfolio. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The BoD approved a plafond for similar transactions and each new securitisation is submitted to the top management and internal of UniCredit S.p.A. deputated committes approval. The bank's annual/interim report contains details information on the specific ABS transactions achieved. HEDGING POLICIES: There is no swap on interest rates in force since the interest rates of the assets are matched with interest rates of the liabilities. OPERATING RESULTS: The results achieved up to the present are broadly in line with expectations and approved at inception. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 510 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Traditional securitisations of-performing loans STRATEGIES, PROCESSES AND GOALS: The securitisations aim at facilitating the access to long term financing opportunities for the Italian small and medium enterprises (“SMEs”), through minbonds subscription by SMEs and purchase of it by SPV, in addition to the traditional bank credit lines, thus supporting the real economy and achieving a significant transfer risk on institutional qualified investors. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each portfolio is monitored on an ongoing basis by external third counterparty and is described in monthly and quarterly reports (required by the agreements) with a breakdown of loans by status and the trend of repayments. Moreover, compliant to the retention rule UniCredit S.p.A. maintained at least a 5% of minibonds issued by SMES, so is able to monitor directly performance of the portfolio. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The BoD approved a plafond for similar transactions and each new securitisation is submitted to the top management and internal of UniCredit S.p.A. deputated committes approval. The bank's annual/interim report contains details information on the specific ABS transactions achieved. HEDGING POLICIES: There is no swap on interest rates in force since the interest rates of the assets are matched with interest rates of the liabilities. OPERATING RESULTS: The results achieved up to the present are broadly in line with expectations and approved at inception. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 511 Transactions from previous years SECURITISATION NAME: BASKET BOND PUGLIA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Garibaldi Tower Basket Bond s.r.l. Servicer: Banca Finint S.p.A. Arranger: UniCredit S.p.A./UniCredit Bank AG London Branch Target transaction: Funding to SMEs Type of asset: Minibonds Quality of Asset: Performing Closing date: 06.18.2020 Nominal Value of reference portfolio (€ million): 82 Net amount of preexisting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million)(*): - Portfolio disposal price (€ million): 82 Issued guarantees by the Bank: - Issued guarantees by third parties: 21 Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: - Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005414120 . Type of security Senior . Class A . Rating - . Quotation - . Issue date 06.18.2020 . Legal maturity 06.17.2030 . Call option - . Expected duration (years) 4.3 . Rate 0.5% + Variable return . Subordination level - . Nominal Value Issued (€ million) 82 . Nominal value at the end of accounting period (€ million) 82 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 511 Transactions from previous years SECURITISATION NAME: BASKET BOND PUGLIA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Garibaldi Tower Basket Bond s.r.l. Servicer: Banca Finint S.p.A. Arranger: UniCredit S.p.A./UniCredit Bank AG London Branch Target transaction: Funding to SMEs Type of asset: Minibonds Quality of Asset: Performing Closing date: 06.18.2020 Nominal Value of reference portfolio (€ million): 82 Net amount of preexisting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million)(*): - Portfolio disposal price (€ million): 82 Issued guarantees by the Bank: - Issued guarantees by third parties: 21 Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: - Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005414120 . Type of security Senior . Class A . Rating - . Quotation - . Issue date 06.18.2020 . Legal maturity 06.17.2030 . Call option - . Expected duration (years) 4.3 . Rate 0.5% + Variable return . Subordination level - . Nominal Value Issued (€ million) 82 . Nominal value at the end of accounting period (€ million) 82 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 511 Transactions from previous years SECURITISATION NAME: BASKET BOND PUGLIA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Garibaldi Tower Basket Bond s.r.l. Servicer: Banca Finint S.p.A. Arranger: UniCredit S.p.A./UniCredit Bank AG London Branch Target transaction: Funding to SMEs Type of asset: Minibonds Quality of Asset: Performing Closing date: 06.18.2020 Nominal Value of reference portfolio (€ million): 82 Net amount of preexisting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million)(*): - Portfolio disposal price (€ million): 82 Issued guarantees by the Bank: - Issued guarantees by third parties: 21 Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: - Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005414120 . Type of security Senior . Class A . Rating - . Quotation - . Issue date 06.18.2020 . Legal maturity 06.17.2030 . Call option - . Expected duration (years) 4.3 . Rate 0.5% + Variable return . Subordination level - . Nominal Value Issued (€ million) 82 . Nominal value at the end of accounting period (€ million) 82 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 511 Transactions from previous years SECURITISATION NAME: BASKET BOND PUGLIA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Garibaldi Tower Basket Bond s.r.l. Servicer: Banca Finint S.p.A. Arranger: UniCredit S.p.A./UniCredit Bank AG London Branch Target transaction: Funding to SMEs Type of asset: Minibonds Quality of Asset: Performing Closing date: 06.18.2020 Nominal Value of reference portfolio (€ million): 82 Net amount of preexisting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million)(*): - Portfolio disposal price (€ million): 82 Issued guarantees by the Bank: - Issued guarantees by third parties: 21 Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: - Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005414120 . Type of security Senior . Class A . Rating - . Quotation - . Issue date 06.18.2020 . Legal maturity 06.17.2030 . Call option - . Expected duration (years) 4.3 . Rate 0.5% + Variable return . Subordination level - . Nominal Value Issued (€ million) 82 . Nominal value at the end of accounting period (€ million) 82 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 511 Transactions from previous years SECURITISATION NAME: BASKET BOND PUGLIA Type of securitisation: Traditional Originator: UniCredit S.p.A. Issuer: Garibaldi Tower Basket Bond s.r.l. Servicer: Banca Finint S.p.A. Arranger: UniCredit S.p.A./UniCredit Bank AG London Branch Target transaction: Funding to SMEs Type of asset: Minibonds Quality of Asset: Performing Closing date: 06.18.2020 Nominal Value of reference portfolio (€ million): 82 Net amount of preexisting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million)(*): - Portfolio disposal price (€ million): 82 Issued guarantees by the Bank: - Issued guarantees by third parties: 21 Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: - Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005414120 . Type of security Senior . Class A . Rating - . Quotation - . Issue date 06.18.2020 . Legal maturity 06.17.2030 . Call option - . Expected duration (years) 4.3 . Rate 0.5% + Variable return . Subordination level - . Nominal Value Issued (€ million) 82 . Nominal value at the end of accounting period (€ million) 82 Note: (*) Amount gross of initial transaction's costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 512 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Synthetic securitisations of performing loans STRATEGIES, PROCESSES AND GOALS: The main purpose of structuring synthetic securitisations is the relief of Regulatory Capital. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each securitised portfolio is monitored by the Servicing Department on an ongoing basis and disclosed in the form of quarterly reports (Investor Report), providing a breakdown of the status of underlying loans. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: A first-level Committee approves each new transaction and any other related decisions and is informed about expected and actual performances of already existing transactions. The bank's annual report features information about all originated synthetic securitisations. HEDGING POLICIES: None OPERATING RESULTS: The performances of synthetic securitisations are monitored on a semi-annual basis with dedicated reports addressed to the competent first-level Committee. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 512 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Synthetic securitisations of performing loans STRATEGIES, PROCESSES AND GOALS: The main purpose of structuring synthetic securitisations is the relief of Regulatory Capital. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each securitised portfolio is monitored by the Servicing Department on an ongoing basis and disclosed in the form of quarterly reports (Investor Report), providing a breakdown of the status of underlying loans. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: A first-level Committee approves each new transaction and any other related decisions and is informed about expected and actual performances of already existing transactions. The bank's annual report features information about all originated synthetic securitisations. HEDGING POLICIES: None OPERATING RESULTS: The performances of synthetic securitisations are monitored on a semi-annual basis with dedicated reports addressed to the competent first-level Committee. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 512 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Synthetic securitisations of performing loans STRATEGIES, PROCESSES AND GOALS: The main purpose of structuring synthetic securitisations is the relief of Regulatory Capital. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each securitised portfolio is monitored by the Servicing Department on an ongoing basis and disclosed in the form of quarterly reports (Investor Report), providing a breakdown of the status of underlying loans. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: A first-level Committee approves each new transaction and any other related decisions and is informed about expected and actual performances of already existing transactions. The bank's annual report features information about all originated synthetic securitisations. HEDGING POLICIES: None OPERATING RESULTS: The performances of synthetic securitisations are monitored on a semi-annual basis with dedicated reports addressed to the competent first-level Committee. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 512 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Synthetic securitisations of performing loans STRATEGIES, PROCESSES AND GOALS: The main purpose of structuring synthetic securitisations is the relief of Regulatory Capital. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each securitised portfolio is monitored by the Servicing Department on an ongoing basis and disclosed in the form of quarterly reports (Investor Report), providing a breakdown of the status of underlying loans. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: A first-level Committee approves each new transaction and any other related decisions and is informed about expected and actual performances of already existing transactions. The bank's annual report features information about all originated synthetic securitisations. HEDGING POLICIES: None OPERATING RESULTS: The performances of synthetic securitisations are monitored on a semi-annual basis with dedicated reports addressed to the competent first-level Committee. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 512 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Synthetic securitisations of performing loans STRATEGIES, PROCESSES AND GOALS: The main purpose of structuring synthetic securitisations is the relief of Regulatory Capital. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each securitised portfolio is monitored by the Servicing Department on an ongoing basis and disclosed in the form of quarterly reports (Investor Report), providing a breakdown of the status of underlying loans. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: A first-level Committee approves each new transaction and any other related decisions and is informed about expected and actual performances of already existing transactions. The bank's annual report features information about all originated synthetic securitisations. HEDGING POLICIES: None OPERATING RESULTS: The performances of synthetic securitisations are monitored on a semi-annual basis with dedicated reports addressed to the competent first-level Committee. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 513 New Transactions 2021 SECURITISATION NAME: A.R.T.S. Re.Mo. 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Residential mortgages Quality of Asset: Performing Closing date: 12.20.2021 Nominal Value of disposal portfolio (€ million): 586 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Insurance policy to hedge the junior risk Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.20.2021 12.20.2021 . Legal maturity 12.20.2029 12.20.2029 . Call option Clean-up call, Regulatory call, SRT call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 539 47 . Reference Position at the end of accounting period (€ million) 534 47 . Risk holder UniCredit S.p.A. primary Insurance Company Distribution of securitised assets by area (€ million): Italy - Northwest 295 Italy - Northeast 138 Italy - Central 93 Italy - South and Islands 60 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 586 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies - Other entities 586 Total 586 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR) on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 513 New Transactions 2021 SECURITISATION NAME: A.R.T.S. Re.Mo. 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Residential mortgages Quality of Asset: Performing Closing date: 12.20.2021 Nominal Value of disposal portfolio (€ million): 586 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Insurance policy to hedge the junior risk Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.20.2021 12.20.2021 . Legal maturity 12.20.2029 12.20.2029 . Call option Clean-up call, Regulatory call, SRT call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 539 47 . Reference Position at the end of accounting period (€ million) 534 47 . Risk holder UniCredit S.p.A. primary Insurance Company Distribution of securitised assets by area (€ million): Italy - Northwest 295 Italy - Northeast 138 Italy - Central 93 Italy - South and Islands 60 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 586 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies - Other entities 586 Total 586 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR) on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 513 New Transactions 2021 SECURITISATION NAME: A.R.T.S. Re.Mo. 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Residential mortgages Quality of Asset: Performing Closing date: 12.20.2021 Nominal Value of disposal portfolio (€ million): 586 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Insurance policy to hedge the junior risk Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.20.2021 12.20.2021 . Legal maturity 12.20.2029 12.20.2029 . Call option Clean-up call, Regulatory call, SRT call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 539 47 . Reference Position at the end of accounting period (€ million) 534 47 . Risk holder UniCredit S.p.A. primary Insurance Company Distribution of securitised assets by area (€ million): Italy - Northwest 295 Italy - Northeast 138 Italy - Central 93 Italy - South and Islands 60 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 586 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies - Other entities 586 Total 586 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR) on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 513 New Transactions 2021 SECURITISATION NAME: A.R.T.S. Re.Mo. 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Residential mortgages Quality of Asset: Performing Closing date: 12.20.2021 Nominal Value of disposal portfolio (€ million): 586 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Insurance policy to hedge the junior risk Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.20.2021 12.20.2021 . Legal maturity 12.20.2029 12.20.2029 . Call option Clean-up call, Regulatory call, SRT call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 539 47 . Reference Position at the end of accounting period (€ million) 534 47 . Risk holder UniCredit S.p.A. primary Insurance Company Distribution of securitised assets by area (€ million): Italy - Northwest 295 Italy - Northeast 138 Italy - Central 93 Italy - South and Islands 60 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 586 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies - Other entities 586 Total 586 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR) on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 513 New Transactions 2021 SECURITISATION NAME: A.R.T.S. Re.Mo. 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Residential mortgages Quality of Asset: Performing Closing date: 12.20.2021 Nominal Value of disposal portfolio (€ million): 586 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Insurance policy to hedge the junior risk Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.20.2021 12.20.2021 . Legal maturity 12.20.2029 12.20.2029 . Call option Clean-up call, Regulatory call, SRT call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 539 47 . Reference Position at the end of accounting period (€ million) 534 47 . Risk holder UniCredit S.p.A. primary Insurance Company Distribution of securitised assets by area (€ million): Italy - Northwest 295 Italy - Northeast 138 Italy - Central 93 Italy - South and Islands 60 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 586 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies - Other entities 586 Total 586 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR) on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 514 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: A.R.T.S. MidCap 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Credit risk hedging Type of asset: Loans to Small and Mid Corporates Quality of Asset: Performing Closing date: 11.26.2021 Nominal Value of disposal portfolio (€ million): 1,998 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A B . Rating - - . Issue date 11.26.2021 11.26.2021 . Legal maturity 12.31.2035 12.31.2035 . Call option Clean-up call, Regulatory call, SRT call, Time call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 1,844 120 . Reference Position at the end of accounting period (€ million) 1,648 107 . Risk holder UniCredit S.p.A. Supranational Investor . ISIN - . Type of security Junior . Class C . Rating - . Issue date 11.26.2021 . Legal maturity 12.31.2035 . Call option Clean-up call, regulatory call, SRT call, Time . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 34 . Reference Position at the end of accounting period (€ million) 34 . Risk holder UniCredit S.p.A. Distribution of securitised assets by area (€ million): Italy - Northwest 705 Italy - Northeast 780 Italy - Central 306 Italy - South and Islands 207 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 1,998 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities 17 Banks - Financial Companies - Insurance Companies - Non-financial Companies 1,869 Other entities 112 Total 1,998 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 514 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: A.R.T.S. MidCap 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Credit risk hedging Type of asset: Loans to Small and Mid Corporates Quality of Asset: Performing Closing date: 11.26.2021 Nominal Value of disposal portfolio (€ million): 1,998 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A B . Rating - - . Issue date 11.26.2021 11.26.2021 . Legal maturity 12.31.2035 12.31.2035 . Call option Clean-up call, Regulatory call, SRT call, Time call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 1,844 120 . Reference Position at the end of accounting period (€ million) 1,648 107 . Risk holder UniCredit S.p.A. Supranational Investor . ISIN - . Type of security Junior . Class C . Rating - . Issue date 11.26.2021 . Legal maturity 12.31.2035 . Call option Clean-up call, regulatory call, SRT call, Time . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 34 . Reference Position at the end of accounting period (€ million) 34 . Risk holder UniCredit S.p.A. Distribution of securitised assets by area (€ million): Italy - Northwest 705 Italy - Northeast 780 Italy - Central 306 Italy - South and Islands 207 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 1,998 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities 17 Banks - Financial Companies - Insurance Companies - Non-financial Companies 1,869 Other entities 112 Total 1,998 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 514 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: A.R.T.S. MidCap 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Credit risk hedging Type of asset: Loans to Small and Mid Corporates Quality of Asset: Performing Closing date: 11.26.2021 Nominal Value of disposal portfolio (€ million): 1,998 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A B . Rating - - . Issue date 11.26.2021 11.26.2021 . Legal maturity 12.31.2035 12.31.2035 . Call option Clean-up call, Regulatory call, SRT call, Time call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 1,844 120 . Reference Position at the end of accounting period (€ million) 1,648 107 . Risk holder UniCredit S.p.A. Supranational Investor . ISIN - . Type of security Junior . Class C . Rating - . Issue date 11.26.2021 . Legal maturity 12.31.2035 . Call option Clean-up call, regulatory call, SRT call, Time . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 34 . Reference Position at the end of accounting period (€ million) 34 . Risk holder UniCredit S.p.A. Distribution of securitised assets by area (€ million): Italy - Northwest 705 Italy - Northeast 780 Italy - Central 306 Italy - South and Islands 207 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 1,998 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities 17 Banks - Financial Companies - Insurance Companies - Non-financial Companies 1,869 Other entities 112 Total 1,998 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 514 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: A.R.T.S. MidCap 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Credit risk hedging Type of asset: Loans to Small and Mid Corporates Quality of Asset: Performing Closing date: 11.26.2021 Nominal Value of disposal portfolio (€ million): 1,998 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A B . Rating - - . Issue date 11.26.2021 11.26.2021 . Legal maturity 12.31.2035 12.31.2035 . Call option Clean-up call, Regulatory call, SRT call, Time call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 1,844 120 . Reference Position at the end of accounting period (€ million) 1,648 107 . Risk holder UniCredit S.p.A. Supranational Investor . ISIN - . Type of security Junior . Class C . Rating - . Issue date 11.26.2021 . Legal maturity 12.31.2035 . Call option Clean-up call, regulatory call, SRT call, Time . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 34 . Reference Position at the end of accounting period (€ million) 34 . Risk holder UniCredit S.p.A. Distribution of securitised assets by area (€ million): Italy - Northwest 705 Italy - Northeast 780 Italy - Central 306 Italy - South and Islands 207 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 1,998 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities 17 Banks - Financial Companies - Insurance Companies - Non-financial Companies 1,869 Other entities 112 Total 1,998 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 514 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: A.R.T.S. MidCap 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Credit risk hedging Type of asset: Loans to Small and Mid Corporates Quality of Asset: Performing Closing date: 11.26.2021 Nominal Value of disposal portfolio (€ million): 1,998 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A B . Rating - - . Issue date 11.26.2021 11.26.2021 . Legal maturity 12.31.2035 12.31.2035 . Call option Clean-up call, Regulatory call, SRT call, Time call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 1,844 120 . Reference Position at the end of accounting period (€ million) 1,648 107 . Risk holder UniCredit S.p.A. Supranational Investor . ISIN - . Type of security Junior . Class C . Rating - . Issue date 11.26.2021 . Legal maturity 12.31.2035 . Call option Clean-up call, regulatory call, SRT call, Time . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 34 . Reference Position at the end of accounting period (€ million) 34 . Risk holder UniCredit S.p.A. Distribution of securitised assets by area (€ million): Italy - Northwest 705 Italy - Northeast 780 Italy - Central 306 Italy - South and Islands 207 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 1,998 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities 17 Banks - Financial Companies - Insurance Companies - Non-financial Companies 1,869 Other entities 112 Total 1,998 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 515 SECURITISATION NAME: Puglia Sviluppo 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 72 months - to small and medium enterprises located in Apulia Quality of Asset: Performing Closing date: 05.26.2021 Nominal Value of disposal portfolio (€ million): 7 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 05.26.2021 05.26.2021 . Legal maturity 12.31.2031 12.31.2031 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 5 2 . Reference Position at the end of accounting period (€ million) 2 2 . Risk holder UniCredit S.p.A. Puglia Sviluppo S.p.A. Distribution of securitised assets by area (€ million): Italy - Northwest - Italy - Northeast - Italy - Central - Italy - South and Islands 7 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 7 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 6 Other entities 1 Total 7 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 515 SECURITISATION NAME: Puglia Sviluppo 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 72 months - to small and medium enterprises located in Apulia Quality of Asset: Performing Closing date: 05.26.2021 Nominal Value of disposal portfolio (€ million): 7 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 05.26.2021 05.26.2021 . Legal maturity 12.31.2031 12.31.2031 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 5 2 . Reference Position at the end of accounting period (€ million) 2 2 . Risk holder UniCredit S.p.A. Puglia Sviluppo S.p.A. Distribution of securitised assets by area (€ million): Italy - Northwest - Italy - Northeast - Italy - Central - Italy - South and Islands 7 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 7 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 6 Other entities 1 Total 7 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 515 SECURITISATION NAME: Puglia Sviluppo 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 72 months - to small and medium enterprises located in Apulia Quality of Asset: Performing Closing date: 05.26.2021 Nominal Value of disposal portfolio (€ million): 7 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 05.26.2021 05.26.2021 . Legal maturity 12.31.2031 12.31.2031 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 5 2 . Reference Position at the end of accounting period (€ million) 2 2 . Risk holder UniCredit S.p.A. Puglia Sviluppo S.p.A. Distribution of securitised assets by area (€ million): Italy - Northwest - Italy - Northeast - Italy - Central - Italy - South and Islands 7 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 7 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 6 Other entities 1 Total 7 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 515 SECURITISATION NAME: Puglia Sviluppo 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 72 months - to small and medium enterprises located in Apulia Quality of Asset: Performing Closing date: 05.26.2021 Nominal Value of disposal portfolio (€ million): 7 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 05.26.2021 05.26.2021 . Legal maturity 12.31.2031 12.31.2031 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 5 2 . Reference Position at the end of accounting period (€ million) 2 2 . Risk holder UniCredit S.p.A. Puglia Sviluppo S.p.A. Distribution of securitised assets by area (€ million): Italy - Northwest - Italy - Northeast - Italy - Central - Italy - South and Islands 7 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 7 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 6 Other entities 1 Total 7 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 515 SECURITISATION NAME: Puglia Sviluppo 2021 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 72 months - to small and medium enterprises located in Apulia Quality of Asset: Performing Closing date: 05.26.2021 Nominal Value of disposal portfolio (€ million): 7 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 05.26.2021 05.26.2021 . Legal maturity 12.31.2031 12.31.2031 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 5 2 . Reference Position at the end of accounting period (€ million) 2 2 . Risk holder UniCredit S.p.A. Puglia Sviluppo S.p.A. Distribution of securitised assets by area (€ million): Italy - Northwest - Italy - Northeast - Italy - Central - Italy - South and Islands 7 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 7 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 6 Other entities 1 Total 7 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 516 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 8 Investimenti Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.16.2020 Nominal Value of disposal portfolio (€ million): 76 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.16.2020 12.16.2020 . Legal maturity 07.31.2026 07.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 68 8 . Reference Position at the end of accounting period (€ million) 40 8 . Risk holder UniCredit S.p.A. Fondo di Garanzia per le Piccole e Medie Imprese Distribution of securitised assets by area (€ million): Italy - Northwest 24 Italy - Northeast 32 Italy - Central 15 Italy - South and Islands 5 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 76 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 64 Other entities 12 Total 76 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 516 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 8 Investimenti Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.16.2020 Nominal Value of disposal portfolio (€ million): 76 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.16.2020 12.16.2020 . Legal maturity 07.31.2026 07.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 68 8 . Reference Position at the end of accounting period (€ million) 40 8 . Risk holder UniCredit S.p.A. Fondo di Garanzia per le Piccole e Medie Imprese Distribution of securitised assets by area (€ million): Italy - Northwest 24 Italy - Northeast 32 Italy - Central 15 Italy - South and Islands 5 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 76 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 64 Other entities 12 Total 76 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 516 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 8 Investimenti Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.16.2020 Nominal Value of disposal portfolio (€ million): 76 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.16.2020 12.16.2020 . Legal maturity 07.31.2026 07.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 68 8 . Reference Position at the end of accounting period (€ million) 40 8 . Risk holder UniCredit S.p.A. Fondo di Garanzia per le Piccole e Medie Imprese Distribution of securitised assets by area (€ million): Italy - Northwest 24 Italy - Northeast 32 Italy - Central 15 Italy - South and Islands 5 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 76 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 64 Other entities 12 Total 76 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 516 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 8 Investimenti Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.16.2020 Nominal Value of disposal portfolio (€ million): 76 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.16.2020 12.16.2020 . Legal maturity 07.31.2026 07.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 68 8 . Reference Position at the end of accounting period (€ million) 40 8 . Risk holder UniCredit S.p.A. Fondo di Garanzia per le Piccole e Medie Imprese Distribution of securitised assets by area (€ million): Italy - Northwest 24 Italy - Northeast 32 Italy - Central 15 Italy - South and Islands 5 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 76 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 64 Other entities 12 Total 76 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 516 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 8 Investimenti Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.16.2020 Nominal Value of disposal portfolio (€ million): 76 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.16.2020 12.16.2020 . Legal maturity 07.31.2026 07.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 68 8 . Reference Position at the end of accounting period (€ million) 40 8 . Risk holder UniCredit S.p.A. Fondo di Garanzia per le Piccole e Medie Imprese Distribution of securitised assets by area (€ million): Italy - Northwest 24 Italy - Northeast 32 Italy - Central 15 Italy - South and Islands 5 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 76 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 64 Other entities 12 Total 76 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 517 SECURITISATION NAME: Bond Italia 8 Misto Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.16.2020 Nominal Value of disposal portfolio (€ million): 238 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.16.2020 12.16.2020 . Legal maturity 07.31.2026 07.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 216 22 . Reference Position at the end of accounting period (€ million) 75 22 . Risk holder UniCredit S.p.A. Fondo di Garanzia per le Piccole e Medie Imprese Distribution of securitised assets by area (€ million): Italy - Northwest 90 Italy - Northeast 84 Italy - Central 49 Italy - South and Islands 15 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 238 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 219 Other entities 19 Total 238 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 517 SECURITISATION NAME: Bond Italia 8 Misto Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.16.2020 Nominal Value of disposal portfolio (€ million): 238 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.16.2020 12.16.2020 . Legal maturity 07.31.2026 07.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 216 22 . Reference Position at the end of accounting period (€ million) 75 22 . Risk holder UniCredit S.p.A. Fondo di Garanzia per le Piccole e Medie Imprese Distribution of securitised assets by area (€ million): Italy - Northwest 90 Italy - Northeast 84 Italy - Central 49 Italy - South and Islands 15 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 238 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 219 Other entities 19 Total 238 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 517 SECURITISATION NAME: Bond Italia 8 Misto Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.16.2020 Nominal Value of disposal portfolio (€ million): 238 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.16.2020 12.16.2020 . Legal maturity 07.31.2026 07.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 216 22 . Reference Position at the end of accounting period (€ million) 75 22 . Risk holder UniCredit S.p.A. Fondo di Garanzia per le Piccole e Medie Imprese Distribution of securitised assets by area (€ million): Italy - Northwest 90 Italy - Northeast 84 Italy - Central 49 Italy - South and Islands 15 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 238 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 219 Other entities 19 Total 238 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 517 SECURITISATION NAME: Bond Italia 8 Misto Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.16.2020 Nominal Value of disposal portfolio (€ million): 238 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.16.2020 12.16.2020 . Legal maturity 07.31.2026 07.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 216 22 . Reference Position at the end of accounting period (€ million) 75 22 . Risk holder UniCredit S.p.A. Fondo di Garanzia per le Piccole e Medie Imprese Distribution of securitised assets by area (€ million): Italy - Northwest 90 Italy - Northeast 84 Italy - Central 49 Italy - South and Islands 15 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 238 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 219 Other entities 19 Total 238 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 517 SECURITISATION NAME: Bond Italia 8 Misto Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.16.2020 Nominal Value of disposal portfolio (€ million): 238 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.16.2020 12.16.2020 . Legal maturity 07.31.2026 07.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 216 22 . Reference Position at the end of accounting period (€ million) 75 22 . Risk holder UniCredit S.p.A. Fondo di Garanzia per le Piccole e Medie Imprese Distribution of securitised assets by area (€ million): Italy - Northwest 90 Italy - Northeast 84 Italy - Central 49 Italy - South and Islands 15 Other European Countries - E.U. countries - Other European Countries - non-E.U. countries - America - Rest of the World - Total 238 Distribution of securitised assets by business sector of the borrower (€ million): Governments - Other public-sector entities - Banks - Financial Companies - Insurance Companies - Non-financial Companies 219 Other entities 19 Total 238 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 518 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: ArtgianCredito Toscano Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 54 months - to small and medium enterprises mainly located in Tuscany Quality of Asset: Performing Closing date: 07.14.2020 Nominal Value of disposal portfolio (€ million): 21 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 07.14.2020 07.14.2020 . Legal maturity 12.31.2028 12.31.2028 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 19 2 . Reference Position at the end of accounting period (€ million) 9 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 518 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: ArtgianCredito Toscano Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 54 months - to small and medium enterprises mainly located in Tuscany Quality of Asset: Performing Closing date: 07.14.2020 Nominal Value of disposal portfolio (€ million): 21 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 07.14.2020 07.14.2020 . Legal maturity 12.31.2028 12.31.2028 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 19 2 . Reference Position at the end of accounting period (€ million) 9 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 518 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: ArtgianCredito Toscano Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 54 months - to small and medium enterprises mainly located in Tuscany Quality of Asset: Performing Closing date: 07.14.2020 Nominal Value of disposal portfolio (€ million): 21 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 07.14.2020 07.14.2020 . Legal maturity 12.31.2028 12.31.2028 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 19 2 . Reference Position at the end of accounting period (€ million) 9 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 518 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: ArtgianCredito Toscano Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 54 months - to small and medium enterprises mainly located in Tuscany Quality of Asset: Performing Closing date: 07.14.2020 Nominal Value of disposal portfolio (€ million): 21 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 07.14.2020 07.14.2020 . Legal maturity 12.31.2028 12.31.2028 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 19 2 . Reference Position at the end of accounting period (€ million) 9 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 518 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: ArtgianCredito Toscano Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 54 months - to small and medium enterprises mainly located in Tuscany Quality of Asset: Performing Closing date: 07.14.2020 Nominal Value of disposal portfolio (€ million): 21 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 07.14.2020 07.14.2020 . Legal maturity 12.31.2028 12.31.2028 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 19 2 . Reference Position at the end of accounting period (€ million) 9 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 519 SECURITISATION NAME: Bond del Mezzogiorno 2 - SME Initiative Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 07.20.2020 Nominal Value of disposal portfolio (€ million): 202 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 07.20.2020 07.20.2020 . Legal maturity 03.31.2026 03.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 177 25 . Reference Position at the end of accounting period (€ million) 51 25 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 519 SECURITISATION NAME: Bond del Mezzogiorno 2 - SME Initiative Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 07.20.2020 Nominal Value of disposal portfolio (€ million): 202 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 07.20.2020 07.20.2020 . Legal maturity 03.31.2026 03.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 177 25 . Reference Position at the end of accounting period (€ million) 51 25 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 519 SECURITISATION NAME: Bond del Mezzogiorno 2 - SME Initiative Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 07.20.2020 Nominal Value of disposal portfolio (€ million): 202 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 07.20.2020 07.20.2020 . Legal maturity 03.31.2026 03.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 177 25 . Reference Position at the end of accounting period (€ million) 51 25 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 519 SECURITISATION NAME: Bond del Mezzogiorno 2 - SME Initiative Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 07.20.2020 Nominal Value of disposal portfolio (€ million): 202 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 07.20.2020 07.20.2020 . Legal maturity 03.31.2026 03.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 177 25 . Reference Position at the end of accounting period (€ million) 51 25 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 519 SECURITISATION NAME: Bond del Mezzogiorno 2 - SME Initiative Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 07.20.2020 Nominal Value of disposal portfolio (€ million): 202 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 07.20.2020 07.20.2020 . Legal maturity 03.31.2026 03.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 177 25 . Reference Position at the end of accounting period (€ million) 51 25 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 520 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: EaSi MicroCredito 2 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 60 months - to micro enterprises Quality of Asset: Performing Closing date: 03.31.2020 Nominal Value of disposal portfolio (€ million): 27 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 03.31.2020 03.31.2020 . Legal maturity 12.31.2027 12.31.2027 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 23 4 . Reference Position at the end of accounting period (€ million) 24 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 520 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: EaSi MicroCredito 2 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 60 months - to micro enterprises Quality of Asset: Performing Closing date: 03.31.2020 Nominal Value of disposal portfolio (€ million): 27 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 03.31.2020 03.31.2020 . Legal maturity 12.31.2027 12.31.2027 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 23 4 . Reference Position at the end of accounting period (€ million) 24 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 520 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: EaSi MicroCredito 2 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 60 months - to micro enterprises Quality of Asset: Performing Closing date: 03.31.2020 Nominal Value of disposal portfolio (€ million): 27 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 03.31.2020 03.31.2020 . Legal maturity 12.31.2027 12.31.2027 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 23 4 . Reference Position at the end of accounting period (€ million) 24 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 520 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: EaSi MicroCredito 2 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 60 months - to micro enterprises Quality of Asset: Performing Closing date: 03.31.2020 Nominal Value of disposal portfolio (€ million): 27 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 03.31.2020 03.31.2020 . Legal maturity 12.31.2027 12.31.2027 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 23 4 . Reference Position at the end of accounting period (€ million) 24 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 520 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: EaSi MicroCredito 2 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity up to 60 months - to micro enterprises Quality of Asset: Performing Closing date: 03.31.2020 Nominal Value of disposal portfolio (€ million): 27 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 03.31.2020 03.31.2020 . Legal maturity 12.31.2027 12.31.2027 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 23 4 . Reference Position at the end of accounting period (€ million) 24 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 521 SECURITISATION NAME: Federascomfidi Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans to small and medium enterprises Quality of Asset: Performing Closing date: 03.13.2013 Nominal Value of disposal portfolio (€ million): 69 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised; financial guarantee to partially hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A - . Rating - - . Issue date 03.13.2013 03.13.2013 . Legal maturity 05.31.2030 03.25.2023 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 67 1 . Reference Position at the end of accounting period (€ million) 6 1 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 03.13.2013 . Legal maturity 05.31.2030 . Call option - . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 1 . Reference Position at the end of accounting period (€ million) - Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 521 SECURITISATION NAME: Federascomfidi Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans to small and medium enterprises Quality of Asset: Performing Closing date: 03.13.2013 Nominal Value of disposal portfolio (€ million): 69 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised; financial guarantee to partially hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A - . Rating - - . Issue date 03.13.2013 03.13.2013 . Legal maturity 05.31.2030 03.25.2023 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 67 1 . Reference Position at the end of accounting period (€ million) 6 1 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 03.13.2013 . Legal maturity 05.31.2030 . Call option - . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 1 . Reference Position at the end of accounting period (€ million) - Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 521 SECURITISATION NAME: Federascomfidi Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans to small and medium enterprises Quality of Asset: Performing Closing date: 03.13.2013 Nominal Value of disposal portfolio (€ million): 69 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised; financial guarantee to partially hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A - . Rating - - . Issue date 03.13.2013 03.13.2013 . Legal maturity 05.31.2030 03.25.2023 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 67 1 . Reference Position at the end of accounting period (€ million) 6 1 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 03.13.2013 . Legal maturity 05.31.2030 . Call option - . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 1 . Reference Position at the end of accounting period (€ million) - Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 521 SECURITISATION NAME: Federascomfidi Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans to small and medium enterprises Quality of Asset: Performing Closing date: 03.13.2013 Nominal Value of disposal portfolio (€ million): 69 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised; financial guarantee to partially hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A - . Rating - - . Issue date 03.13.2013 03.13.2013 . Legal maturity 05.31.2030 03.25.2023 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 67 1 . Reference Position at the end of accounting period (€ million) 6 1 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 03.13.2013 . Legal maturity 05.31.2030 . Call option - . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 1 . Reference Position at the end of accounting period (€ million) - Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 521 SECURITISATION NAME: Federascomfidi Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans to small and medium enterprises Quality of Asset: Performing Closing date: 03.13.2013 Nominal Value of disposal portfolio (€ million): 69 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised; financial guarantee to partially hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A - . Rating - - . Issue date 03.13.2013 03.13.2013 . Legal maturity 05.31.2030 03.25.2023 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 67 1 . Reference Position at the end of accounting period (€ million) 6 1 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 03.13.2013 . Legal maturity 05.31.2030 . Call option - . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 1 . Reference Position at the end of accounting period (€ million) - Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 522 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Federconfidi Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans to small and medium enterprises Quality of Asset: Performing Closing date: 02.25.2013 Nominal Value of disposal portfolio (€ million): 67 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised; financial guarantee to partially hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A - . Rating - - . Issue date 02.25.2013 02.25.2013 . Legal maturity 01.31.2030 03.25.2023 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 64 1 . Reference Position at the end of accounting period (€ million) 8 1 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 02.25.2013 . Legal maturity 01.31.2030 . Call option - . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 2 . Reference Position at the end of accounting period (€ million) 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 522 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Federconfidi Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans to small and medium enterprises Quality of Asset: Performing Closing date: 02.25.2013 Nominal Value of disposal portfolio (€ million): 67 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised; financial guarantee to partially hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A - . Rating - - . Issue date 02.25.2013 02.25.2013 . Legal maturity 01.31.2030 03.25.2023 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 64 1 . Reference Position at the end of accounting period (€ million) 8 1 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 02.25.2013 . Legal maturity 01.31.2030 . Call option - . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 2 . Reference Position at the end of accounting period (€ million) 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 522 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Federconfidi Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans to small and medium enterprises Quality of Asset: Performing Closing date: 02.25.2013 Nominal Value of disposal portfolio (€ million): 67 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised; financial guarantee to partially hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A - . Rating - - . Issue date 02.25.2013 02.25.2013 . Legal maturity 01.31.2030 03.25.2023 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 64 1 . Reference Position at the end of accounting period (€ million) 8 1 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 02.25.2013 . Legal maturity 01.31.2030 . Call option - . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 2 . Reference Position at the end of accounting period (€ million) 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 522 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Federconfidi Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans to small and medium enterprises Quality of Asset: Performing Closing date: 02.25.2013 Nominal Value of disposal portfolio (€ million): 67 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised; financial guarantee to partially hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A - . Rating - - . Issue date 02.25.2013 02.25.2013 . Legal maturity 01.31.2030 03.25.2023 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 64 1 . Reference Position at the end of accounting period (€ million) 8 1 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 02.25.2013 . Legal maturity 01.31.2030 . Call option - . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 2 . Reference Position at the end of accounting period (€ million) 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 522 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Federconfidi Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans to small and medium enterprises Quality of Asset: Performing Closing date: 02.25.2013 Nominal Value of disposal portfolio (€ million): 67 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised; financial guarantee to partially hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A - . Rating - - . Issue date 02.25.2013 02.25.2013 . Legal maturity 01.31.2030 03.25.2023 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 64 1 . Reference Position at the end of accounting period (€ million) 8 1 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 02.25.2013 . Legal maturity 01.31.2030 . Call option - . Expected duration (years) - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 2 . Reference Position at the end of accounting period (€ million) 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 523 SECURITISATION NAME: TC EaSI Micro Credito Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 6 and 55 months - to micro enterprises Quality of Asset: Performing Closing date: 11.25.2019 Nominal Value of disposal portfolio (€ million): 27 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.25.2019 11.25.2019 . Legal maturity 12.10.2025 12.10.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 24 3 . Reference Position at the end of accounting period (€ million) 10 3 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 523 SECURITISATION NAME: TC EaSI Micro Credito Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 6 and 55 months - to micro enterprises Quality of Asset: Performing Closing date: 11.25.2019 Nominal Value of disposal portfolio (€ million): 27 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.25.2019 11.25.2019 . Legal maturity 12.10.2025 12.10.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 24 3 . Reference Position at the end of accounting period (€ million) 10 3 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 523 SECURITISATION NAME: TC EaSI Micro Credito Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 6 and 55 months - to micro enterprises Quality of Asset: Performing Closing date: 11.25.2019 Nominal Value of disposal portfolio (€ million): 27 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.25.2019 11.25.2019 . Legal maturity 12.10.2025 12.10.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 24 3 . Reference Position at the end of accounting period (€ million) 10 3 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 523 SECURITISATION NAME: TC EaSI Micro Credito Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 6 and 55 months - to micro enterprises Quality of Asset: Performing Closing date: 11.25.2019 Nominal Value of disposal portfolio (€ million): 27 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.25.2019 11.25.2019 . Legal maturity 12.10.2025 12.10.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 24 3 . Reference Position at the end of accounting period (€ million) 10 3 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 523 SECURITISATION NAME: TC EaSI Micro Credito Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 6 and 55 months - to micro enterprises Quality of Asset: Performing Closing date: 11.25.2019 Nominal Value of disposal portfolio (€ million): 27 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.25.2019 11.25.2019 . Legal maturity 12.10.2025 12.10.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 24 3 . Reference Position at the end of accounting period (€ million) 10 3 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 524 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 7 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 11.21.2019 Nominal Value of disposal portfolio (€ million): 273 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.21.2019 11.21.2019 . Legal maturity 11.30.2024 11.30.2024 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 252 21 . Reference Position at the end of accounting period (€ million) 84 20 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 524 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 7 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 11.21.2019 Nominal Value of disposal portfolio (€ million): 273 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.21.2019 11.21.2019 . Legal maturity 11.30.2024 11.30.2024 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 252 21 . Reference Position at the end of accounting period (€ million) 84 20 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 524 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 7 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 11.21.2019 Nominal Value of disposal portfolio (€ million): 273 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.21.2019 11.21.2019 . Legal maturity 11.30.2024 11.30.2024 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 252 21 . Reference Position at the end of accounting period (€ million) 84 20 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 524 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 7 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 11.21.2019 Nominal Value of disposal portfolio (€ million): 273 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.21.2019 11.21.2019 . Legal maturity 11.30.2024 11.30.2024 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 252 21 . Reference Position at the end of accounting period (€ million) 84 20 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 524 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 7 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 11.21.2019 Nominal Value of disposal portfolio (€ million): 273 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.21.2019 11.21.2019 . Legal maturity 11.30.2024 11.30.2024 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 252 21 . Reference Position at the end of accounting period (€ million) 84 20 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 525 SECURITISATION NAME: Bond Italia 6 Investimenti Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 11.21.2019 Nominal Value of disposal portfolio (€ million): 88 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.21.2019 11.21.2019 . Legal maturity 05.31.2026 05.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 79 9 . Reference Position at the end of accounting period (€ million) 39 8 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 525 SECURITISATION NAME: Bond Italia 6 Investimenti Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 11.21.2019 Nominal Value of disposal portfolio (€ million): 88 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.21.2019 11.21.2019 . Legal maturity 05.31.2026 05.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 79 9 . Reference Position at the end of accounting period (€ million) 39 8 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 525 SECURITISATION NAME: Bond Italia 6 Investimenti Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 11.21.2019 Nominal Value of disposal portfolio (€ million): 88 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.21.2019 11.21.2019 . Legal maturity 05.31.2026 05.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 79 9 . Reference Position at the end of accounting period (€ million) 39 8 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 525 SECURITISATION NAME: Bond Italia 6 Investimenti Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 11.21.2019 Nominal Value of disposal portfolio (€ million): 88 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.21.2019 11.21.2019 . Legal maturity 05.31.2026 05.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 79 9 . Reference Position at the end of accounting period (€ million) 39 8 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 525 SECURITISATION NAME: Bond Italia 6 Investimenti Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 11.21.2019 Nominal Value of disposal portfolio (€ million): 88 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 11.21.2019 11.21.2019 . Legal maturity 05.31.2026 05.31.2026 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 79 9 . Reference Position at the end of accounting period (€ million) 39 8 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 526 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 6 Misto Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 30 and 72 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.18.2018 Nominal Value of disposal portfolio (€ million): 210 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit (€ million): - Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.18.2018 12.18.2018 . Legal maturity 12.31.2024 12.31.2024 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 192 18 . Reference Position at the end of accounting period (€ million) 42 18 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 526 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 6 Misto Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 30 and 72 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.18.2018 Nominal Value of disposal portfolio (€ million): 210 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit (€ million): - Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.18.2018 12.18.2018 . Legal maturity 12.31.2024 12.31.2024 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 192 18 . Reference Position at the end of accounting period (€ million) 42 18 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 526 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 6 Misto Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 30 and 72 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.18.2018 Nominal Value of disposal portfolio (€ million): 210 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit (€ million): - Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.18.2018 12.18.2018 . Legal maturity 12.31.2024 12.31.2024 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 192 18 . Reference Position at the end of accounting period (€ million) 42 18 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 526 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 6 Misto Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 30 and 72 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.18.2018 Nominal Value of disposal portfolio (€ million): 210 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit (€ million): - Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.18.2018 12.18.2018 . Legal maturity 12.31.2024 12.31.2024 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 192 18 . Reference Position at the end of accounting period (€ million) 42 18 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 526 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond Italia 6 Misto Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 30 and 72 months - to small and medium enterprises Quality of Asset: Performing Closing date: 12.18.2018 Nominal Value of disposal portfolio (€ million): 210 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit (€ million): - Other Credit Enhancements (€ million): - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred: - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 12.18.2018 12.18.2018 . Legal maturity 12.31.2024 12.31.2024 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 192 18 . Reference Position at the end of accounting period (€ million) 42 18 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) No.2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 527 SECURITISATION NAME: Bond Italia 5-bis Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 10.19.2018 Nominal Value of disposal portfolio (€ million): 34 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 10.19.2018 10.19.2018 . Legal maturity 08.31.2025 31.08.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 32 2 . Reference Position at the end of accounting period (€ million) 10 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 527 SECURITISATION NAME: Bond Italia 5-bis Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 10.19.2018 Nominal Value of disposal portfolio (€ million): 34 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 10.19.2018 10.19.2018 . Legal maturity 08.31.2025 31.08.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 32 2 . Reference Position at the end of accounting period (€ million) 10 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 527 SECURITISATION NAME: Bond Italia 5-bis Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 10.19.2018 Nominal Value of disposal portfolio (€ million): 34 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 10.19.2018 10.19.2018 . Legal maturity 08.31.2025 31.08.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 32 2 . Reference Position at the end of accounting period (€ million) 10 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 527 SECURITISATION NAME: Bond Italia 5-bis Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 10.19.2018 Nominal Value of disposal portfolio (€ million): 34 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 10.19.2018 10.19.2018 . Legal maturity 08.31.2025 31.08.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 32 2 . Reference Position at the end of accounting period (€ million) 10 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 527 SECURITISATION NAME: Bond Italia 5-bis Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 10.19.2018 Nominal Value of disposal portfolio (€ million): 34 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 10.19.2018 10.19.2018 . Legal maturity 08.31.2025 31.08.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 32 2 . Reference Position at the end of accounting period (€ million) 10 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 528 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond del Mezzogiorno 1 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 09.19.2018 Nominal Value of disposal portfolio (€ million): 92 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 09.19.2018 09.19.2018 . Legal maturity 02.28.2025 02.28.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 81 11 . Reference Position at the end of accounting period (€ million) 10 11 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 528 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond del Mezzogiorno 1 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 09.19.2018 Nominal Value of disposal portfolio (€ million): 92 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 09.19.2018 09.19.2018 . Legal maturity 02.28.2025 02.28.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 81 11 . Reference Position at the end of accounting period (€ million) 10 11 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 528 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond del Mezzogiorno 1 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 09.19.2018 Nominal Value of disposal portfolio (€ million): 92 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 09.19.2018 09.19.2018 . Legal maturity 02.28.2025 02.28.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 81 11 . Reference Position at the end of accounting period (€ million) 10 11 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 528 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond del Mezzogiorno 1 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 09.19.2018 Nominal Value of disposal portfolio (€ million): 92 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 09.19.2018 09.19.2018 . Legal maturity 02.28.2025 02.28.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 81 11 . Reference Position at the end of accounting period (€ million) 10 11 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 528 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Bond del Mezzogiorno 1 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Southern Italy Quality of Asset: Performing Closing date: 09.19.2018 Nominal Value of disposal portfolio (€ million): 92 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 09.19.2018 09.19.2018 . Legal maturity 02.28.2025 02.28.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 81 11 . Reference Position at the end of accounting period (€ million) 10 11 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 529 SECURITISATION NAME: Agribond 2 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity 72 months - to small and medium enterprises pertaining to the agricolture sector Quality of Asset: Performing Closing date: 09.05.2018 Nominal Value of disposal portfolio (€ million): 166 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 09.05.2018 09.05.2018 . Legal maturity 12.31.2026 12.31.2026 . Call option Clean-up call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 154 12 . Reference Position at the end of accounting period (€ million) 65 12 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 529 SECURITISATION NAME: Agribond 2 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity 72 months - to small and medium enterprises pertaining to the agricolture sector Quality of Asset: Performing Closing date: 09.05.2018 Nominal Value of disposal portfolio (€ million): 166 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 09.05.2018 09.05.2018 . Legal maturity 12.31.2026 12.31.2026 . Call option Clean-up call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 154 12 . Reference Position at the end of accounting period (€ million) 65 12 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 529 SECURITISATION NAME: Agribond 2 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity 72 months - to small and medium enterprises pertaining to the agricolture sector Quality of Asset: Performing Closing date: 09.05.2018 Nominal Value of disposal portfolio (€ million): 166 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 09.05.2018 09.05.2018 . Legal maturity 12.31.2026 12.31.2026 . Call option Clean-up call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 154 12 . Reference Position at the end of accounting period (€ million) 65 12 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 529 SECURITISATION NAME: Agribond 2 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity 72 months - to small and medium enterprises pertaining to the agricolture sector Quality of Asset: Performing Closing date: 09.05.2018 Nominal Value of disposal portfolio (€ million): 166 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 09.05.2018 09.05.2018 . Legal maturity 12.31.2026 12.31.2026 . Call option Clean-up call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 154 12 . Reference Position at the end of accounting period (€ million) 65 12 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 529 SECURITISATION NAME: Agribond 2 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity 72 months - to small and medium enterprises pertaining to the agricolture sector Quality of Asset: Performing Closing date: 09.05.2018 Nominal Value of disposal portfolio (€ million): 166 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 09.05.2018 09.05.2018 . Legal maturity 12.31.2026 12.31.2026 . Call option Clean-up call . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 154 12 . Reference Position at the end of accounting period (€ million) 65 12 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 530 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Puglia Sviluppo 1 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Apulia Quality of Asset: Performing Closing date: 03.31.2017 Nominal Value of disposal portfolio (€ million): 21 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 03.31.2017 03.31.2017 . Legal maturity 12.31.2025 12.31.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 19 2 . Reference Position at the end of accounting period (€ million) - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 530 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Puglia Sviluppo 1 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Apulia Quality of Asset: Performing Closing date: 03.31.2017 Nominal Value of disposal portfolio (€ million): 21 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 03.31.2017 03.31.2017 . Legal maturity 12.31.2025 12.31.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 19 2 . Reference Position at the end of accounting period (€ million) - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 530 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Puglia Sviluppo 1 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Apulia Quality of Asset: Performing Closing date: 03.31.2017 Nominal Value of disposal portfolio (€ million): 21 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 03.31.2017 03.31.2017 . Legal maturity 12.31.2025 12.31.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 19 2 . Reference Position at the end of accounting period (€ million) - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 530 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Puglia Sviluppo 1 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Apulia Quality of Asset: Performing Closing date: 03.31.2017 Nominal Value of disposal portfolio (€ million): 21 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 03.31.2017 03.31.2017 . Legal maturity 12.31.2025 12.31.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 19 2 . Reference Position at the end of accounting period (€ million) - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 530 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Puglia Sviluppo 1 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Apulia Quality of Asset: Performing Closing date: 03.31.2017 Nominal Value of disposal portfolio (€ million): 21 Guarantees issued by the Bank: - Guarantees issued by Third Parties: Junior risk partially cash collateralised Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 03.31.2017 03.31.2017 . Legal maturity 12.31.2025 12.31.2025 . Call option - - . Expected duration (years) - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 19 2 . Reference Position at the end of accounting period (€ million) - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 531 SECURITISATION NAME: SME Initiative 2017 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Pool of UniCredit's SME loans, concentrated in South of Italy for at least 50% Quality of Asset: Performing Closing date: 12.22.2017 Nominal Value of reference portfolio (€ million): 460 Issued guarantees by the Bank: - Issued guarantees by third parties: Financial guarantee to hedge the mezzanine and junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-SA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Upper Mezzanine . Class A B1 . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, regulatory call, Time call . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 395 2 . Reference Position at the end of accounting period (€ million) 22 2 . ISIN - - . Type of security Middle Mezzanine Lower Mezzanine . Class B2 B3 . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, Regulatory call,Time call . Expected duration - - . Rate - - . Subordinated level SUB A-B1 SUB A-B1-B2 . Reference Position (€ million) 1 12 . Reference Position at the end of accounting period (€ million) 1 12 . ISIN - - . Type of security Second Loss Junior . Class C D . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, regulatory call, Time call . Expected duration - - . Rate - - . Subordinated level SUB A-B1-B2-B3 SUB A-B1-B2-B3-C . Reference Position (€ million) 14 36 . Reference Position at the end of accounting period (€ million) 14 36 Note: (*) Synthetic securitisations carried out using the SEC-SA approach as required by Art.261 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 531 SECURITISATION NAME: SME Initiative 2017 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Pool of UniCredit's SME loans, concentrated in South of Italy for at least 50% Quality of Asset: Performing Closing date: 12.22.2017 Nominal Value of reference portfolio (€ million): 460 Issued guarantees by the Bank: - Issued guarantees by third parties: Financial guarantee to hedge the mezzanine and junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-SA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Upper Mezzanine . Class A B1 . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, regulatory call, Time call . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 395 2 . Reference Position at the end of accounting period (€ million) 22 2 . ISIN - - . Type of security Middle Mezzanine Lower Mezzanine . Class B2 B3 . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, Regulatory call,Time call . Expected duration - - . Rate - - . Subordinated level SUB A-B1 SUB A-B1-B2 . Reference Position (€ million) 1 12 . Reference Position at the end of accounting period (€ million) 1 12 . ISIN - - . Type of security Second Loss Junior . Class C D . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, regulatory call, Time call . Expected duration - - . Rate - - . Subordinated level SUB A-B1-B2-B3 SUB A-B1-B2-B3-C . Reference Position (€ million) 14 36 . Reference Position at the end of accounting period (€ million) 14 36 Note: (*) Synthetic securitisations carried out using the SEC-SA approach as required by Art.261 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 531 SECURITISATION NAME: SME Initiative 2017 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Pool of UniCredit's SME loans, concentrated in South of Italy for at least 50% Quality of Asset: Performing Closing date: 12.22.2017 Nominal Value of reference portfolio (€ million): 460 Issued guarantees by the Bank: - Issued guarantees by third parties: Financial guarantee to hedge the mezzanine and junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-SA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Upper Mezzanine . Class A B1 . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, regulatory call, Time call . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 395 2 . Reference Position at the end of accounting period (€ million) 22 2 . ISIN - - . Type of security Middle Mezzanine Lower Mezzanine . Class B2 B3 . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, Regulatory call,Time call . Expected duration - - . Rate - - . Subordinated level SUB A-B1 SUB A-B1-B2 . Reference Position (€ million) 1 12 . Reference Position at the end of accounting period (€ million) 1 12 . ISIN - - . Type of security Second Loss Junior . Class C D . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, regulatory call, Time call . Expected duration - - . Rate - - . Subordinated level SUB A-B1-B2-B3 SUB A-B1-B2-B3-C . Reference Position (€ million) 14 36 . Reference Position at the end of accounting period (€ million) 14 36 Note: (*) Synthetic securitisations carried out using the SEC-SA approach as required by Art.261 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 531 SECURITISATION NAME: SME Initiative 2017 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Pool of UniCredit's SME loans, concentrated in South of Italy for at least 50% Quality of Asset: Performing Closing date: 12.22.2017 Nominal Value of reference portfolio (€ million): 460 Issued guarantees by the Bank: - Issued guarantees by third parties: Financial guarantee to hedge the mezzanine and junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-SA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Upper Mezzanine . Class A B1 . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, regulatory call, Time call . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 395 2 . Reference Position at the end of accounting period (€ million) 22 2 . ISIN - - . Type of security Middle Mezzanine Lower Mezzanine . Class B2 B3 . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, Regulatory call,Time call . Expected duration - - . Rate - - . Subordinated level SUB A-B1 SUB A-B1-B2 . Reference Position (€ million) 1 12 . Reference Position at the end of accounting period (€ million) 1 12 . ISIN - - . Type of security Second Loss Junior . Class C D . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, regulatory call, Time call . Expected duration - - . Rate - - . Subordinated level SUB A-B1-B2-B3 SUB A-B1-B2-B3-C . Reference Position (€ million) 14 36 . Reference Position at the end of accounting period (€ million) 14 36 Note: (*) Synthetic securitisations carried out using the SEC-SA approach as required by Art.261 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 531 SECURITISATION NAME: SME Initiative 2017 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Pool of UniCredit's SME loans, concentrated in South of Italy for at least 50% Quality of Asset: Performing Closing date: 12.22.2017 Nominal Value of reference portfolio (€ million): 460 Issued guarantees by the Bank: - Issued guarantees by third parties: Financial guarantee to hedge the mezzanine and junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-SA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Upper Mezzanine . Class A B1 . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, regulatory call, Time call . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 395 2 . Reference Position at the end of accounting period (€ million) 22 2 . ISIN - - . Type of security Middle Mezzanine Lower Mezzanine . Class B2 B3 . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, Regulatory call,Time call . Expected duration - - . Rate - - . Subordinated level SUB A-B1 SUB A-B1-B2 . Reference Position (€ million) 1 12 . Reference Position at the end of accounting period (€ million) 1 12 . ISIN - - . Type of security Second Loss Junior . Class C D . Rating - - . Issue date 12.22.2017 12.22.2017 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, regulatory call, Time call . Expected duration - - . Rate - - . Subordinated level SUB A-B1-B2-B3 SUB A-B1-B2-B3-C . Reference Position (€ million) 14 36 . Reference Position at the end of accounting period (€ million) 14 36 Note: (*) Synthetic securitisations carried out using the SEC-SA approach as required by Art.261 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 532 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Finpiemonte 2016 FILSEC 2016 Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Piemonte Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Liguria Quality of Asset: Performing Performing Closing date: 10.31.2017 10.31.2017 Nominal Value of reference portfolio (€ million): 58 28 Issued guarantees by the Bank: - - Issued guarantees by third parties: Junior risk partially cash collateralised Junior risk partially cash collateralised Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Mezzanine . Class A B A B . Rating - - - - . Issue date 10.31.2017 10.31.2017 06.16.2017 06.16.2017 . Legal maturity 12.31.2023 12.31.2023 07.31.2023 07.31.2023 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 51 7 24 4 . Reference Position at the end of accounting period (€ million) - 5 - 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 532 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Finpiemonte 2016 FILSEC 2016 Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Piemonte Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Liguria Quality of Asset: Performing Performing Closing date: 10.31.2017 10.31.2017 Nominal Value of reference portfolio (€ million): 58 28 Issued guarantees by the Bank: - - Issued guarantees by third parties: Junior risk partially cash collateralised Junior risk partially cash collateralised Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Mezzanine . Class A B A B . Rating - - - - . Issue date 10.31.2017 10.31.2017 06.16.2017 06.16.2017 . Legal maturity 12.31.2023 12.31.2023 07.31.2023 07.31.2023 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 51 7 24 4 . Reference Position at the end of accounting period (€ million) - 5 - 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 532 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Finpiemonte 2016 FILSEC 2016 Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Piemonte Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Liguria Quality of Asset: Performing Performing Closing date: 10.31.2017 10.31.2017 Nominal Value of reference portfolio (€ million): 58 28 Issued guarantees by the Bank: - - Issued guarantees by third parties: Junior risk partially cash collateralised Junior risk partially cash collateralised Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Mezzanine . Class A B A B . Rating - - - - . Issue date 10.31.2017 10.31.2017 06.16.2017 06.16.2017 . Legal maturity 12.31.2023 12.31.2023 07.31.2023 07.31.2023 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 51 7 24 4 . Reference Position at the end of accounting period (€ million) - 5 - 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 532 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Finpiemonte 2016 FILSEC 2016 Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Piemonte Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Liguria Quality of Asset: Performing Performing Closing date: 10.31.2017 10.31.2017 Nominal Value of reference portfolio (€ million): 58 28 Issued guarantees by the Bank: - - Issued guarantees by third parties: Junior risk partially cash collateralised Junior risk partially cash collateralised Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Mezzanine . Class A B A B . Rating - - - - . Issue date 10.31.2017 10.31.2017 06.16.2017 06.16.2017 . Legal maturity 12.31.2023 12.31.2023 07.31.2023 07.31.2023 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 51 7 24 4 . Reference Position at the end of accounting period (€ million) - 5 - 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 532 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: Finpiemonte 2016 FILSEC 2016 Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Piemonte Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises located in Liguria Quality of Asset: Performing Performing Closing date: 10.31.2017 10.31.2017 Nominal Value of reference portfolio (€ million): 58 28 Issued guarantees by the Bank: - - Issued guarantees by third parties: Junior risk partially cash collateralised Junior risk partially cash collateralised Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Mezzanine . Class A B A B . Rating - - - - . Issue date 10.31.2017 10.31.2017 06.16.2017 06.16.2017 . Legal maturity 12.31.2023 12.31.2023 07.31.2023 07.31.2023 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 51 7 24 4 . Reference Position at the end of accounting period (€ million) - 5 - 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 533 SECURITISATION NAME: BOND ITALIA 5 INV BOND ITALIA 5 MIX Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 06.16.2017 06.16.2017 Nominal Value of reference portfolio (€ million): 72 297 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Mezzanine . Class A B A B . Rating - - - - . Issue date 06.16.2017 06.16.2017 06.16.2017 06.16.2017 . Legal maturity 06.30.2023 06.30.2023 12.31.2025 12.31.2025 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 67 5 278 19 . Reference Position at the end of accounting period (€ million) 10 4 6 15 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 533 SECURITISATION NAME: BOND ITALIA 5 INV BOND ITALIA 5 MIX Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 06.16.2017 06.16.2017 Nominal Value of reference portfolio (€ million): 72 297 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Mezzanine . Class A B A B . Rating - - - - . Issue date 06.16.2017 06.16.2017 06.16.2017 06.16.2017 . Legal maturity 06.30.2023 06.30.2023 12.31.2025 12.31.2025 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 67 5 278 19 . Reference Position at the end of accounting period (€ million) 10 4 6 15 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 533 SECURITISATION NAME: BOND ITALIA 5 INV BOND ITALIA 5 MIX Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 06.16.2017 06.16.2017 Nominal Value of reference portfolio (€ million): 72 297 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Mezzanine . Class A B A B . Rating - - - - . Issue date 06.16.2017 06.16.2017 06.16.2017 06.16.2017 . Legal maturity 06.30.2023 06.30.2023 12.31.2025 12.31.2025 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 67 5 278 19 . Reference Position at the end of accounting period (€ million) 10 4 6 15 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 533 SECURITISATION NAME: BOND ITALIA 5 INV BOND ITALIA 5 MIX Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 06.16.2017 06.16.2017 Nominal Value of reference portfolio (€ million): 72 297 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Mezzanine . Class A B A B . Rating - - - - . Issue date 06.16.2017 06.16.2017 06.16.2017 06.16.2017 . Legal maturity 06.30.2023 06.30.2023 12.31.2025 12.31.2025 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 67 5 278 19 . Reference Position at the end of accounting period (€ million) 10 4 6 15 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 533 SECURITISATION NAME: BOND ITALIA 5 INV BOND ITALIA 5 MIX Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 06.16.2017 06.16.2017 Nominal Value of reference portfolio (€ million): 72 297 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Mezzanine . Class A B A B . Rating - - - - . Issue date 06.16.2017 06.16.2017 06.16.2017 06.16.2017 . Legal maturity 06.30.2023 06.30.2023 12.31.2025 12.31.2025 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 67 5 278 19 . Reference Position at the end of accounting period (€ million) 10 4 6 15 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 534 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA4 MISTO ARTS MIDCAP5 Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit Bank A.G. UniCredit Bank A.G. Target transaction: Credit risk hedging Credit risk hedging Type of asset: unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Loans to Mid - Corporates Quality of Asset: Performing Performing Closing date: 12.07.2016 12.02.2016 Nominal Value of reference portfolio (€ million): 300 2,463 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Junior risk cash collateralised Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 12.07.2016 12.07.2016 12.02.2016 12.02.2016 . Legal maturity 06.30.2023 06.30.2023 12.31.2046 12.31.2046 . Call option - Clean-up call, Regulatory Call, Time call . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 281 19 2,340 123 . Reference Position at the end of accounting period (€ million) - 12 493 108 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 534 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA4 MISTO ARTS MIDCAP5 Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit Bank A.G. UniCredit Bank A.G. Target transaction: Credit risk hedging Credit risk hedging Type of asset: unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Loans to Mid - Corporates Quality of Asset: Performing Performing Closing date: 12.07.2016 12.02.2016 Nominal Value of reference portfolio (€ million): 300 2,463 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Junior risk cash collateralised Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 12.07.2016 12.07.2016 12.02.2016 12.02.2016 . Legal maturity 06.30.2023 06.30.2023 12.31.2046 12.31.2046 . Call option - Clean-up call, Regulatory Call, Time call . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 281 19 2,340 123 . Reference Position at the end of accounting period (€ million) - 12 493 108 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 534 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA4 MISTO ARTS MIDCAP5 Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit Bank A.G. UniCredit Bank A.G. Target transaction: Credit risk hedging Credit risk hedging Type of asset: unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Loans to Mid - Corporates Quality of Asset: Performing Performing Closing date: 12.07.2016 12.02.2016 Nominal Value of reference portfolio (€ million): 300 2,463 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Junior risk cash collateralised Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 12.07.2016 12.07.2016 12.02.2016 12.02.2016 . Legal maturity 06.30.2023 06.30.2023 12.31.2046 12.31.2046 . Call option - Clean-up call, Regulatory Call, Time call . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 281 19 2,340 123 . Reference Position at the end of accounting period (€ million) - 12 493 108 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 534 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA4 MISTO ARTS MIDCAP5 Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit Bank A.G. UniCredit Bank A.G. Target transaction: Credit risk hedging Credit risk hedging Type of asset: unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Loans to Mid - Corporates Quality of Asset: Performing Performing Closing date: 12.07.2016 12.02.2016 Nominal Value of reference portfolio (€ million): 300 2,463 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Junior risk cash collateralised Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 12.07.2016 12.07.2016 12.02.2016 12.02.2016 . Legal maturity 06.30.2023 06.30.2023 12.31.2046 12.31.2046 . Call option - Clean-up call, Regulatory Call, Time call . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 281 19 2,340 123 . Reference Position at the end of accounting period (€ million) - 12 493 108 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 534 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA4 MISTO ARTS MIDCAP5 Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit Bank A.G. UniCredit Bank A.G. Target transaction: Credit risk hedging Credit risk hedging Type of asset: unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Loans to Mid - Corporates Quality of Asset: Performing Performing Closing date: 12.07.2016 12.02.2016 Nominal Value of reference portfolio (€ million): 300 2,463 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Junior risk cash collateralised Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 12.07.2016 12.07.2016 12.02.2016 12.02.2016 . Legal maturity 06.30.2023 06.30.2023 12.31.2046 12.31.2046 . Call option - Clean-up call, Regulatory Call, Time call . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 281 19 2,340 123 . Reference Position at the end of accounting period (€ million) - 12 493 108 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 535 SECURITISATION NAME: ARTS MIDCAP4 AGRIBOND Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit Bank A.G. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Loans to Small and Mid Corporates Unsecured loans - maturity 72 months - to small and medium enterprises pertaining to the agricolture sector Quality of Asset: Performing Performing Closing date: 06.21.2016 06.30.2015 Nominal Value of reference portfolio (€ million): 2,259 172 Issued guarantees by the Bank: - - Issued guarantees by third parties: Junior risk cash collateralised Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 06.21.2016 06.21.2016 06.30.2015 06.30.2015 . Legal maturity 01.31.2036 01.31.2036 12.31.2022 12.31.2022 . Call option Clean-up call, Regulatory Call, Time call Clean-up call . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 2,146 113 161 11 . Reference Position at the end of accounting period (€ million) 443 92 1 10 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 535 SECURITISATION NAME: ARTS MIDCAP4 AGRIBOND Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit Bank A.G. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Loans to Small and Mid Corporates Unsecured loans - maturity 72 months - to small and medium enterprises pertaining to the agricolture sector Quality of Asset: Performing Performing Closing date: 06.21.2016 06.30.2015 Nominal Value of reference portfolio (€ million): 2,259 172 Issued guarantees by the Bank: - - Issued guarantees by third parties: Junior risk cash collateralised Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 06.21.2016 06.21.2016 06.30.2015 06.30.2015 . Legal maturity 01.31.2036 01.31.2036 12.31.2022 12.31.2022 . Call option Clean-up call, Regulatory Call, Time call Clean-up call . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 2,146 113 161 11 . Reference Position at the end of accounting period (€ million) 443 92 1 10 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 535 SECURITISATION NAME: ARTS MIDCAP4 AGRIBOND Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit Bank A.G. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Loans to Small and Mid Corporates Unsecured loans - maturity 72 months - to small and medium enterprises pertaining to the agricolture sector Quality of Asset: Performing Performing Closing date: 06.21.2016 06.30.2015 Nominal Value of reference portfolio (€ million): 2,259 172 Issued guarantees by the Bank: - - Issued guarantees by third parties: Junior risk cash collateralised Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 06.21.2016 06.21.2016 06.30.2015 06.30.2015 . Legal maturity 01.31.2036 01.31.2036 12.31.2022 12.31.2022 . Call option Clean-up call, Regulatory Call, Time call Clean-up call . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 2,146 113 161 11 . Reference Position at the end of accounting period (€ million) 443 92 1 10 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 535 SECURITISATION NAME: ARTS MIDCAP4 AGRIBOND Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit Bank A.G. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Loans to Small and Mid Corporates Unsecured loans - maturity 72 months - to small and medium enterprises pertaining to the agricolture sector Quality of Asset: Performing Performing Closing date: 06.21.2016 06.30.2015 Nominal Value of reference portfolio (€ million): 2,259 172 Issued guarantees by the Bank: - - Issued guarantees by third parties: Junior risk cash collateralised Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 06.21.2016 06.21.2016 06.30.2015 06.30.2015 . Legal maturity 01.31.2036 01.31.2036 12.31.2022 12.31.2022 . Call option Clean-up call, Regulatory Call, Time call Clean-up call . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 2,146 113 161 11 . Reference Position at the end of accounting period (€ million) 443 92 1 10 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 535 SECURITISATION NAME: ARTS MIDCAP4 AGRIBOND Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit Bank A.G. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Loans to Small and Mid Corporates Unsecured loans - maturity 72 months - to small and medium enterprises pertaining to the agricolture sector Quality of Asset: Performing Performing Closing date: 06.21.2016 06.30.2015 Nominal Value of reference portfolio (€ million): 2,259 172 Issued guarantees by the Bank: - - Issued guarantees by third parties: Junior risk cash collateralised Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 06.21.2016 06.21.2016 06.30.2015 06.30.2015 . Legal maturity 01.31.2036 01.31.2036 12.31.2022 12.31.2022 . Call option Clean-up call, Regulatory Call, Time call Clean-up call . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 2,146 113 161 11 . Reference Position at the end of accounting period (€ million) 443 92 1 10 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 536 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA 3 INVESTIMENTI BOND ITALIA3 MISTO Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit Bank A.G. Target transaction: Credit risk hedging Credit risk hedging Type of asset: unsecured loans - maturity between 24 and 60 months - to small and medium enterprises unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 05.14.2016 05.14.2016 Nominal Value of reference portfolio (€ million): 99 166 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 05.14.2016 05.14.2016 05.14.2016 05.14.2016 . Legal maturity 02.28.2026 02.28.2026 11.30.2022 11.30.2022 . Call option - - . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 92 7 156 10 . Reference Position at the end of accounting period (€ million) - 5 - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 536 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA 3 INVESTIMENTI BOND ITALIA3 MISTO Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit Bank A.G. Target transaction: Credit risk hedging Credit risk hedging Type of asset: unsecured loans - maturity between 24 and 60 months - to small and medium enterprises unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 05.14.2016 05.14.2016 Nominal Value of reference portfolio (€ million): 99 166 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 05.14.2016 05.14.2016 05.14.2016 05.14.2016 . Legal maturity 02.28.2026 02.28.2026 11.30.2022 11.30.2022 . Call option - - . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 92 7 156 10 . Reference Position at the end of accounting period (€ million) - 5 - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 536 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA 3 INVESTIMENTI BOND ITALIA3 MISTO Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit Bank A.G. Target transaction: Credit risk hedging Credit risk hedging Type of asset: unsecured loans - maturity between 24 and 60 months - to small and medium enterprises unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 05.14.2016 05.14.2016 Nominal Value of reference portfolio (€ million): 99 166 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 05.14.2016 05.14.2016 05.14.2016 05.14.2016 . Legal maturity 02.28.2026 02.28.2026 11.30.2022 11.30.2022 . Call option - - . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 92 7 156 10 . Reference Position at the end of accounting period (€ million) - 5 - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 536 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA 3 INVESTIMENTI BOND ITALIA3 MISTO Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit Bank A.G. Target transaction: Credit risk hedging Credit risk hedging Type of asset: unsecured loans - maturity between 24 and 60 months - to small and medium enterprises unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 05.14.2016 05.14.2016 Nominal Value of reference portfolio (€ million): 99 166 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 05.14.2016 05.14.2016 05.14.2016 05.14.2016 . Legal maturity 02.28.2026 02.28.2026 11.30.2022 11.30.2022 . Call option - - . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 92 7 156 10 . Reference Position at the end of accounting period (€ million) - 5 - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 536 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA 3 INVESTIMENTI BOND ITALIA3 MISTO Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit Bank A.G. Target transaction: Credit risk hedging Credit risk hedging Type of asset: unsecured loans - maturity between 24 and 60 months - to small and medium enterprises unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 05.14.2016 05.14.2016 Nominal Value of reference portfolio (€ million): 99 166 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 05.14.2016 05.14.2016 05.14.2016 05.14.2016 . Legal maturity 02.28.2026 02.28.2026 11.30.2022 11.30.2022 . Call option - - . Expected duration (years) - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 92 7 156 10 . Reference Position at the end of accounting period (€ million) - 5 - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables SECURITISATION NAME: Type of securitisation: Originator: Issuer: Servicer: Arranger: Target transaction: Type of asset: Quality of Asset: Closing date: Nominal Value of reference portfolio (€ million): Issued guarantees by the Bank: Issued guarantees by third parties: Bank Lines of Credit: Third Parties Lines of Credit: Other Credit Enhancements: Other relevant information: Rating Agencies: Amount and Conditions of tranching: . ISIN . Type of security . Class . Rating . Issue date . Legal maturity . Call option . Expected duration (years) . Rate . Subordinated level . Reference Position (€ million) . Reference Position at the end of accounting period (€ million) BOND ITALIA4 INVESTIMENTI Tranched Cover UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. Credit risk hedging unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Performing 12.07.2016 100 - Financial guarantee to partially hedge the junior risk in the form of personal guarantee - - - - No rating agency, use of Supervisory SEC-IRBA Approach(*) BOND ITALIA1 MISTO Tranched Cover UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. Credit risk hedging Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Performing 06.30.2015 296 - Financial guarantee to partially hedge the junior risk in the form of personal guarantee - - - - No rating agency, use of Supervisory SEC-IRBA Approach(*) - Senior A - 12.07.2016 06.30.2024 - - - 92 16 - - Junior B - 12.07.2016 06.30.2024 - - SUB A 8 6 - Senior A - 06.30.2015 02.28.2023 - - - 277 - - - Junior B - 06.30.2015 02.28.2023 - - SUB A 19 2 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. UniCredit · 2021 Annual Report and Accounts 537 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 538 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA2 MISTO BOND ITALIA2 INVESTIMENTI Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 12.31.2015 12.31.2015 Nominal Value of reference portfolio (€ million): 300 100 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 12.31.2015 12.31.2015 12.31.2015 12.31.2015 . Legal maturity 02.28.2022 02.28.2022 02.28.2023 02.28.2023 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 281 19 92 8 . Reference Position at the end of accounting period (€ million) - 1 - 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 538 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA2 MISTO BOND ITALIA2 INVESTIMENTI Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 12.31.2015 12.31.2015 Nominal Value of reference portfolio (€ million): 300 100 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 12.31.2015 12.31.2015 12.31.2015 12.31.2015 . Legal maturity 02.28.2022 02.28.2022 02.28.2023 02.28.2023 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 281 19 92 8 . Reference Position at the end of accounting period (€ million) - 1 - 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 538 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA2 MISTO BOND ITALIA2 INVESTIMENTI Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 12.31.2015 12.31.2015 Nominal Value of reference portfolio (€ million): 300 100 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 12.31.2015 12.31.2015 12.31.2015 12.31.2015 . Legal maturity 02.28.2022 02.28.2022 02.28.2023 02.28.2023 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 281 19 92 8 . Reference Position at the end of accounting period (€ million) - 1 - 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 538 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA2 MISTO BOND ITALIA2 INVESTIMENTI Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 12.31.2015 12.31.2015 Nominal Value of reference portfolio (€ million): 300 100 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 12.31.2015 12.31.2015 12.31.2015 12.31.2015 . Legal maturity 02.28.2022 02.28.2022 02.28.2023 02.28.2023 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 281 19 92 8 . Reference Position at the end of accounting period (€ million) - 1 - 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 538 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA2 MISTO BOND ITALIA2 INVESTIMENTI Type of securitisation: Tranched Cover Tranched Cover Originator: UniCredit S.p.A. UniCredit S.p.A. Issuer: UniCredit S.p.A. UniCredit S.p.A. Servicer: UniCredit S.p.A. UniCredit S.p.A. Arranger: UniCredit S.p.A. UniCredit S.p.A. Target transaction: Credit risk hedging Credit risk hedging Type of asset: Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Performing Closing date: 12.31.2015 12.31.2015 Nominal Value of reference portfolio (€ million): 300 100 Issued guarantees by the Bank: - - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: - - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - - - . Type of security Senior Junior Senior Junior . Class A B A B . Rating - - - - . Issue date 12.31.2015 12.31.2015 12.31.2015 12.31.2015 . Legal maturity 02.28.2022 02.28.2022 02.28.2023 02.28.2023 . Call option - - . Expected duration - - - - . Rate - - - - . Subordinated level - SUB A - SUB A . Reference Position (€ million) 281 19 92 8 . Reference Position at the end of accounting period (€ million) - 1 - 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 539 SECURITISATION NAME: ARTS MIDCAP3 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Credit risk hedging Type of asset: Loans to Mid - Corporates Quality of Asset: Performing Closing date: 11.21.2015 Nominal Value of reference portfolio (€ million): 4,367 Issued guarantees by the Bank: - Issued guarantees by third parties: Junior risk cash collateralised; financial guarantee to hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A B . Rating - - . Issue date 11.21.2015 11.21.2015 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, Regulatory call . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 4,105 44 . Reference Position at the end of accounting period (€ million) 297 44 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 11.21.2015 . Legal maturity 12.31.2030 . Call option Clean-up call, regulatory call . Expected duration - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 218 . Reference Position at the end of accounting period (€ million) 185 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 539 SECURITISATION NAME: ARTS MIDCAP3 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Credit risk hedging Type of asset: Loans to Mid - Corporates Quality of Asset: Performing Closing date: 11.21.2015 Nominal Value of reference portfolio (€ million): 4,367 Issued guarantees by the Bank: - Issued guarantees by third parties: Junior risk cash collateralised; financial guarantee to hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A B . Rating - - . Issue date 11.21.2015 11.21.2015 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, Regulatory call . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 4,105 44 . Reference Position at the end of accounting period (€ million) 297 44 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 11.21.2015 . Legal maturity 12.31.2030 . Call option Clean-up call, regulatory call . Expected duration - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 218 . Reference Position at the end of accounting period (€ million) 185 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 539 SECURITISATION NAME: ARTS MIDCAP3 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Credit risk hedging Type of asset: Loans to Mid - Corporates Quality of Asset: Performing Closing date: 11.21.2015 Nominal Value of reference portfolio (€ million): 4,367 Issued guarantees by the Bank: - Issued guarantees by third parties: Junior risk cash collateralised; financial guarantee to hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A B . Rating - - . Issue date 11.21.2015 11.21.2015 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, Regulatory call . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 4,105 44 . Reference Position at the end of accounting period (€ million) 297 44 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 11.21.2015 . Legal maturity 12.31.2030 . Call option Clean-up call, regulatory call . Expected duration - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 218 . Reference Position at the end of accounting period (€ million) 185 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 539 SECURITISATION NAME: ARTS MIDCAP3 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Credit risk hedging Type of asset: Loans to Mid - Corporates Quality of Asset: Performing Closing date: 11.21.2015 Nominal Value of reference portfolio (€ million): 4,367 Issued guarantees by the Bank: - Issued guarantees by third parties: Junior risk cash collateralised; financial guarantee to hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A B . Rating - - . Issue date 11.21.2015 11.21.2015 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, Regulatory call . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 4,105 44 . Reference Position at the end of accounting period (€ million) 297 44 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 11.21.2015 . Legal maturity 12.31.2030 . Call option Clean-up call, regulatory call . Expected duration - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 218 . Reference Position at the end of accounting period (€ million) 185 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 539 SECURITISATION NAME: ARTS MIDCAP3 Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit Bank A.G. Target transaction: Credit risk hedging Type of asset: Loans to Mid - Corporates Quality of Asset: Performing Closing date: 11.21.2015 Nominal Value of reference portfolio (€ million): 4,367 Issued guarantees by the Bank: - Issued guarantees by third parties: Junior risk cash collateralised; financial guarantee to hedge the mezzanine risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Mezzanine . Class A B . Rating - - . Issue date 11.21.2015 11.21.2015 . Legal maturity 12.31.2030 12.31.2030 . Call option Clean-up call, Regulatory call . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 4,105 44 . Reference Position at the end of accounting period (€ million) 297 44 . ISIN - . Type of security Junior . Class C . Rating - . Issue date 11.21.2015 . Legal maturity 12.31.2030 . Call option Clean-up call, regulatory call . Expected duration - . Rate - . Subordinated level SUB A-B . Reference Position (€ million) 218 . Reference Position at the end of accounting period (€ million) 185 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 540 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA1 INVESTIMENTI Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 06.30.2015 Nominal Value of reference portfolio (€ million): 94 Issued guarantees by the Bank: - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 06.30.2015 06.30.2015 . Legal maturity 02.28.2025 02.28.2025 . Call option - . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 87 7 . Reference Position at the end of accounting period (€ million) - 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 540 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA1 INVESTIMENTI Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 06.30.2015 Nominal Value of reference portfolio (€ million): 94 Issued guarantees by the Bank: - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 06.30.2015 06.30.2015 . Legal maturity 02.28.2025 02.28.2025 . Call option - . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 87 7 . Reference Position at the end of accounting period (€ million) - 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 540 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA1 INVESTIMENTI Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 06.30.2015 Nominal Value of reference portfolio (€ million): 94 Issued guarantees by the Bank: - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 06.30.2015 06.30.2015 . Legal maturity 02.28.2025 02.28.2025 . Call option - . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 87 7 . Reference Position at the end of accounting period (€ million) - 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 540 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA1 INVESTIMENTI Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 06.30.2015 Nominal Value of reference portfolio (€ million): 94 Issued guarantees by the Bank: - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 06.30.2015 06.30.2015 . Legal maturity 02.28.2025 02.28.2025 . Call option - . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 87 7 . Reference Position at the end of accounting period (€ million) - 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 540 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: BOND ITALIA1 INVESTIMENTI Type of securitisation: Tranched Cover Originator: UniCredit S.p.A. Issuer: UniCredit S.p.A. Servicer: UniCredit S.p.A. Arranger: UniCredit S.p.A. Target transaction: Credit risk hedging Type of asset: Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises Quality of Asset: Performing Closing date: 06.30.2015 Nominal Value of reference portfolio (€ million): 94 Issued guarantees by the Bank: - Issued guarantees by third parties: Financial guarantee to partially hedge the junior risk in the form of personal guarantee Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount and Conditions of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Rating - - . Issue date 06.30.2015 06.30.2015 . Legal maturity 02.28.2025 02.28.2025 . Call option - . Expected duration - - . Rate - - . Subordinated level - SUB A . Reference Position (€ million) 87 7 . Reference Position at the end of accounting period (€ million) - 4 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 541 ORIGINATOR: UniCredit Leasing S.p.A. STRATEGIES, PROCESSES AND GOALS: UniCredit Leasing S.p.A., through the transfer of its credit exposures to an SPV pursuant to 130 Law on securitisation, has set itself the objective of reducing the stock of Non Performing Exposures of the Non Core perimeter, in line with the Group's strategy of a complete rundown of this perimeter. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: The performance of securitisations is subject to continuous monitoring by the company, with specific focus on the recovery performance and the evolution of the Gross Book Value (GBV) of the underlying portfolio and on the progressive repayment of the principal and payment of interest of the ABS securities issued by the SPV, based on the information provided by the servicer (also through specific periodic reports foreseen in the transaction documentation). ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The execution of the securitisation transactions of non performing exposures is approved by the Board, based on the prior positive opinion of the proper committees within the company. Credit reviews of the transactions are scheduled on an annual basis and discussed in specific committees with the participation of top management, during which updates are given on the progress of transactions as a whole. HEDGING POLICIES: None OPERATING RESULTS: Every six months, or more frequently, if necessary, information relating to the performance of securitisations (with specific focus on the evolution of the Gross Book Value of the transferred portfolio, the recovery performances and the redemption of ABS securities) is made available to the various company functions for the performance of their respective roles on monitoring and representation in the financial statements. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 541 ORIGINATOR: UniCredit Leasing S.p.A. STRATEGIES, PROCESSES AND GOALS: UniCredit Leasing S.p.A., through the transfer of its credit exposures to an SPV pursuant to 130 Law on securitisation, has set itself the objective of reducing the stock of Non Performing Exposures of the Non Core perimeter, in line with the Group's strategy of a complete rundown of this perimeter. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: The performance of securitisations is subject to continuous monitoring by the company, with specific focus on the recovery performance and the evolution of the Gross Book Value (GBV) of the underlying portfolio and on the progressive repayment of the principal and payment of interest of the ABS securities issued by the SPV, based on the information provided by the servicer (also through specific periodic reports foreseen in the transaction documentation). ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The execution of the securitisation transactions of non performing exposures is approved by the Board, based on the prior positive opinion of the proper committees within the company. Credit reviews of the transactions are scheduled on an annual basis and discussed in specific committees with the participation of top management, during which updates are given on the progress of transactions as a whole. HEDGING POLICIES: None OPERATING RESULTS: Every six months, or more frequently, if necessary, information relating to the performance of securitisations (with specific focus on the evolution of the Gross Book Value of the transferred portfolio, the recovery performances and the redemption of ABS securities) is made available to the various company functions for the performance of their respective roles on monitoring and representation in the financial statements. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 541 ORIGINATOR: UniCredit Leasing S.p.A. STRATEGIES, PROCESSES AND GOALS: UniCredit Leasing S.p.A., through the transfer of its credit exposures to an SPV pursuant to 130 Law on securitisation, has set itself the objective of reducing the stock of Non Performing Exposures of the Non Core perimeter, in line with the Group's strategy of a complete rundown of this perimeter. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: The performance of securitisations is subject to continuous monitoring by the company, with specific focus on the recovery performance and the evolution of the Gross Book Value (GBV) of the underlying portfolio and on the progressive repayment of the principal and payment of interest of the ABS securities issued by the SPV, based on the information provided by the servicer (also through specific periodic reports foreseen in the transaction documentation). ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The execution of the securitisation transactions of non performing exposures is approved by the Board, based on the prior positive opinion of the proper committees within the company. Credit reviews of the transactions are scheduled on an annual basis and discussed in specific committees with the participation of top management, during which updates are given on the progress of transactions as a whole. HEDGING POLICIES: None OPERATING RESULTS: Every six months, or more frequently, if necessary, information relating to the performance of securitisations (with specific focus on the evolution of the Gross Book Value of the transferred portfolio, the recovery performances and the redemption of ABS securities) is made available to the various company functions for the performance of their respective roles on monitoring and representation in the financial statements. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 541 ORIGINATOR: UniCredit Leasing S.p.A. STRATEGIES, PROCESSES AND GOALS: UniCredit Leasing S.p.A., through the transfer of its credit exposures to an SPV pursuant to 130 Law on securitisation, has set itself the objective of reducing the stock of Non Performing Exposures of the Non Core perimeter, in line with the Group's strategy of a complete rundown of this perimeter. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: The performance of securitisations is subject to continuous monitoring by the company, with specific focus on the recovery performance and the evolution of the Gross Book Value (GBV) of the underlying portfolio and on the progressive repayment of the principal and payment of interest of the ABS securities issued by the SPV, based on the information provided by the servicer (also through specific periodic reports foreseen in the transaction documentation). ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The execution of the securitisation transactions of non performing exposures is approved by the Board, based on the prior positive opinion of the proper committees within the company. Credit reviews of the transactions are scheduled on an annual basis and discussed in specific committees with the participation of top management, during which updates are given on the progress of transactions as a whole. HEDGING POLICIES: None OPERATING RESULTS: Every six months, or more frequently, if necessary, information relating to the performance of securitisations (with specific focus on the evolution of the Gross Book Value of the transferred portfolio, the recovery performances and the redemption of ABS securities) is made available to the various company functions for the performance of their respective roles on monitoring and representation in the financial statements. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 541 ORIGINATOR: UniCredit Leasing S.p.A. STRATEGIES, PROCESSES AND GOALS: UniCredit Leasing S.p.A., through the transfer of its credit exposures to an SPV pursuant to 130 Law on securitisation, has set itself the objective of reducing the stock of Non Performing Exposures of the Non Core perimeter, in line with the Group's strategy of a complete rundown of this perimeter. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: The performance of securitisations is subject to continuous monitoring by the company, with specific focus on the recovery performance and the evolution of the Gross Book Value (GBV) of the underlying portfolio and on the progressive repayment of the principal and payment of interest of the ABS securities issued by the SPV, based on the information provided by the servicer (also through specific periodic reports foreseen in the transaction documentation). ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The execution of the securitisation transactions of non performing exposures is approved by the Board, based on the prior positive opinion of the proper committees within the company. Credit reviews of the transactions are scheduled on an annual basis and discussed in specific committees with the participation of top management, during which updates are given on the progress of transactions as a whole. HEDGING POLICIES: None OPERATING RESULTS: Every six months, or more frequently, if necessary, information relating to the performance of securitisations (with specific focus on the evolution of the Gross Book Value of the transferred portfolio, the recovery performances and the redemption of ABS securities) is made available to the various company functions for the performance of their respective roles on monitoring and representation in the financial statements. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 542 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: RELAIS 2020 Type of securitisation: Traditional Originator: UniCredit Leasing S.p.A. Issuer: Relais Spv S.r.l. Servicer: Do Value S.p.A. Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Run down of non core portfolio Type of asset: Mainly real estate contracts Quality of Asset: Bad exposures Closing date: 12.01.2020 Nominal Value of reference portfolio (€ million): 1,533 Net amount of preexisting write-down/write-backs (€ million): 574 Disposal Profit & Loss realised (€ million)(*): -7 Portfolio disposal price (€ million): 567 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: €51.85 millions - grant by UniCredit Bank AG Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: UniCredit Leasing S.p.A. has originally underwritten the whole of notes issued by Relais Spv. Subsequently 95% of junior and mezzanine notes was sold to Do Value S.p.A. Rating Agencies: Moody's/Scope Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005429128 IT0005429144 . Type of security Senior Mezzanine . Class A B . Rating Baa2|Baa2 - . Quotation - - . Issue date 12.11.2020 12.11.2020 . Legal maturity 07.31.2040 07.31.2040 . Call option - . Expected duration (years) 3.0 6.4 . Rate Euribor 6M + Spread 1.50% Euribor 6M + Spread 9.50% . Subordination level - sub A . Nominal Value Issued (€ million) 466 91 . Nominal value at the end of accounting period (€ million) 428 91 . ISIN IT0005429151 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 12.11.2020 . Legal maturity 07.31.2040 . Call option - . Expected duration (years) 7.4 . Rate variable . Subordination level sub B . Nominal Value Issued (€ million) 10 . Nominal value at the end of accounting period (€ million) 10 Note: (*) Amount gross of initial transaction’s costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 542 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: RELAIS 2020 Type of securitisation: Traditional Originator: UniCredit Leasing S.p.A. Issuer: Relais Spv S.r.l. Servicer: Do Value S.p.A. Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Run down of non core portfolio Type of asset: Mainly real estate contracts Quality of Asset: Bad exposures Closing date: 12.01.2020 Nominal Value of reference portfolio (€ million): 1,533 Net amount of preexisting write-down/write-backs (€ million): 574 Disposal Profit & Loss realised (€ million)(*): -7 Portfolio disposal price (€ million): 567 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: €51.85 millions - grant by UniCredit Bank AG Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: UniCredit Leasing S.p.A. has originally underwritten the whole of notes issued by Relais Spv. Subsequently 95% of junior and mezzanine notes was sold to Do Value S.p.A. Rating Agencies: Moody's/Scope Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005429128 IT0005429144 . Type of security Senior Mezzanine . Class A B . Rating Baa2|Baa2 - . Quotation - - . Issue date 12.11.2020 12.11.2020 . Legal maturity 07.31.2040 07.31.2040 . Call option - . Expected duration (years) 3.0 6.4 . Rate Euribor 6M + Spread 1.50% Euribor 6M + Spread 9.50% . Subordination level - sub A . Nominal Value Issued (€ million) 466 91 . Nominal value at the end of accounting period (€ million) 428 91 . ISIN IT0005429151 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 12.11.2020 . Legal maturity 07.31.2040 . Call option - . Expected duration (years) 7.4 . Rate variable . Subordination level sub B . Nominal Value Issued (€ million) 10 . Nominal value at the end of accounting period (€ million) 10 Note: (*) Amount gross of initial transaction’s costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 542 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: RELAIS 2020 Type of securitisation: Traditional Originator: UniCredit Leasing S.p.A. Issuer: Relais Spv S.r.l. Servicer: Do Value S.p.A. Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Run down of non core portfolio Type of asset: Mainly real estate contracts Quality of Asset: Bad exposures Closing date: 12.01.2020 Nominal Value of reference portfolio (€ million): 1,533 Net amount of preexisting write-down/write-backs (€ million): 574 Disposal Profit & Loss realised (€ million)(*): -7 Portfolio disposal price (€ million): 567 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: €51.85 millions - grant by UniCredit Bank AG Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: UniCredit Leasing S.p.A. has originally underwritten the whole of notes issued by Relais Spv. Subsequently 95% of junior and mezzanine notes was sold to Do Value S.p.A. Rating Agencies: Moody's/Scope Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005429128 IT0005429144 . Type of security Senior Mezzanine . Class A B . Rating Baa2|Baa2 - . Quotation - - . Issue date 12.11.2020 12.11.2020 . Legal maturity 07.31.2040 07.31.2040 . Call option - . Expected duration (years) 3.0 6.4 . Rate Euribor 6M + Spread 1.50% Euribor 6M + Spread 9.50% . Subordination level - sub A . Nominal Value Issued (€ million) 466 91 . Nominal value at the end of accounting period (€ million) 428 91 . ISIN IT0005429151 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 12.11.2020 . Legal maturity 07.31.2040 . Call option - . Expected duration (years) 7.4 . Rate variable . Subordination level sub B . Nominal Value Issued (€ million) 10 . Nominal value at the end of accounting period (€ million) 10 Note: (*) Amount gross of initial transaction’s costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 542 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: RELAIS 2020 Type of securitisation: Traditional Originator: UniCredit Leasing S.p.A. Issuer: Relais Spv S.r.l. Servicer: Do Value S.p.A. Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Run down of non core portfolio Type of asset: Mainly real estate contracts Quality of Asset: Bad exposures Closing date: 12.01.2020 Nominal Value of reference portfolio (€ million): 1,533 Net amount of preexisting write-down/write-backs (€ million): 574 Disposal Profit & Loss realised (€ million)(*): -7 Portfolio disposal price (€ million): 567 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: €51.85 millions - grant by UniCredit Bank AG Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: UniCredit Leasing S.p.A. has originally underwritten the whole of notes issued by Relais Spv. Subsequently 95% of junior and mezzanine notes was sold to Do Value S.p.A. Rating Agencies: Moody's/Scope Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005429128 IT0005429144 . Type of security Senior Mezzanine . Class A B . Rating Baa2|Baa2 - . Quotation - - . Issue date 12.11.2020 12.11.2020 . Legal maturity 07.31.2040 07.31.2040 . Call option - . Expected duration (years) 3.0 6.4 . Rate Euribor 6M + Spread 1.50% Euribor 6M + Spread 9.50% . Subordination level - sub A . Nominal Value Issued (€ million) 466 91 . Nominal value at the end of accounting period (€ million) 428 91 . ISIN IT0005429151 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 12.11.2020 . Legal maturity 07.31.2040 . Call option - . Expected duration (years) 7.4 . Rate variable . Subordination level sub B . Nominal Value Issued (€ million) 10 . Nominal value at the end of accounting period (€ million) 10 Note: (*) Amount gross of initial transaction’s costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 542 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: RELAIS 2020 Type of securitisation: Traditional Originator: UniCredit Leasing S.p.A. Issuer: Relais Spv S.r.l. Servicer: Do Value S.p.A. Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Run down of non core portfolio Type of asset: Mainly real estate contracts Quality of Asset: Bad exposures Closing date: 12.01.2020 Nominal Value of reference portfolio (€ million): 1,533 Net amount of preexisting write-down/write-backs (€ million): 574 Disposal Profit & Loss realised (€ million)(*): -7 Portfolio disposal price (€ million): 567 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: €51.85 millions - grant by UniCredit Bank AG Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: UniCredit Leasing S.p.A. has originally underwritten the whole of notes issued by Relais Spv. Subsequently 95% of junior and mezzanine notes was sold to Do Value S.p.A. Rating Agencies: Moody's/Scope Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN IT0005429128 IT0005429144 . Type of security Senior Mezzanine . Class A B . Rating Baa2|Baa2 - . Quotation - - . Issue date 12.11.2020 12.11.2020 . Legal maturity 07.31.2040 07.31.2040 . Call option - . Expected duration (years) 3.0 6.4 . Rate Euribor 6M + Spread 1.50% Euribor 6M + Spread 9.50% . Subordination level - sub A . Nominal Value Issued (€ million) 466 91 . Nominal value at the end of accounting period (€ million) 428 91 . ISIN IT0005429151 . Type of security Junior . Class J . Rating - . Quotation - . Issue date 12.11.2020 . Legal maturity 07.31.2040 . Call option - . Expected duration (years) 7.4 . Rate variable . Subordination level sub B . Nominal Value Issued (€ million) 10 . Nominal value at the end of accounting period (€ million) 10 Note: (*) Amount gross of initial transaction’s costs. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 543 ORIGINATOR: UniCredit Bank AG STRATEGIES, PROCESSES AND GOALS: The main reason for the Bank's securitisation programs is the Capital relief and Funding for True Sale Transactions. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each portfolio is monitored by the servicing department on an ongoing basis and it is illustrated in the form of quarterly report (investor report), which provides a breakdown of the status of loans. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The BoD approves each new transaction and any other related decision and they are informed on the expected performances and on those in the final balance. The bank's annual report contains information on the bank's own ABS transactions. HEDGING POLICIES: For true sale transactions the issuer hedged portfolio's interest rate risks through Interest Rate Swaps. OPERATING RESULTS: The results achieved up to the present are broadly in line with expectations; payments received from the portfolio ensured punctual and full payment to security holders and other parties to the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 543 ORIGINATOR: UniCredit Bank AG STRATEGIES, PROCESSES AND GOALS: The main reason for the Bank's securitisation programs is the Capital relief and Funding for True Sale Transactions. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each portfolio is monitored by the servicing department on an ongoing basis and it is illustrated in the form of quarterly report (investor report), which provides a breakdown of the status of loans. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The BoD approves each new transaction and any other related decision and they are informed on the expected performances and on those in the final balance. The bank's annual report contains information on the bank's own ABS transactions. HEDGING POLICIES: For true sale transactions the issuer hedged portfolio's interest rate risks through Interest Rate Swaps. OPERATING RESULTS: The results achieved up to the present are broadly in line with expectations; payments received from the portfolio ensured punctual and full payment to security holders and other parties to the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 543 ORIGINATOR: UniCredit Bank AG STRATEGIES, PROCESSES AND GOALS: The main reason for the Bank's securitisation programs is the Capital relief and Funding for True Sale Transactions. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each portfolio is monitored by the servicing department on an ongoing basis and it is illustrated in the form of quarterly report (investor report), which provides a breakdown of the status of loans. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The BoD approves each new transaction and any other related decision and they are informed on the expected performances and on those in the final balance. The bank's annual report contains information on the bank's own ABS transactions. HEDGING POLICIES: For true sale transactions the issuer hedged portfolio's interest rate risks through Interest Rate Swaps. OPERATING RESULTS: The results achieved up to the present are broadly in line with expectations; payments received from the portfolio ensured punctual and full payment to security holders and other parties to the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 543 ORIGINATOR: UniCredit Bank AG STRATEGIES, PROCESSES AND GOALS: The main reason for the Bank's securitisation programs is the Capital relief and Funding for True Sale Transactions. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each portfolio is monitored by the servicing department on an ongoing basis and it is illustrated in the form of quarterly report (investor report), which provides a breakdown of the status of loans. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The BoD approves each new transaction and any other related decision and they are informed on the expected performances and on those in the final balance. The bank's annual report contains information on the bank's own ABS transactions. HEDGING POLICIES: For true sale transactions the issuer hedged portfolio's interest rate risks through Interest Rate Swaps. OPERATING RESULTS: The results achieved up to the present are broadly in line with expectations; payments received from the portfolio ensured punctual and full payment to security holders and other parties to the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 543 ORIGINATOR: UniCredit Bank AG STRATEGIES, PROCESSES AND GOALS: The main reason for the Bank's securitisation programs is the Capital relief and Funding for True Sale Transactions. INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: Each portfolio is monitored by the servicing department on an ongoing basis and it is illustrated in the form of quarterly report (investor report), which provides a breakdown of the status of loans. ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT: The BoD approves each new transaction and any other related decision and they are informed on the expected performances and on those in the final balance. The bank's annual report contains information on the bank's own ABS transactions. HEDGING POLICIES: For true sale transactions the issuer hedged portfolio's interest rate risks through Interest Rate Swaps. OPERATING RESULTS: The results achieved up to the present are broadly in line with expectations; payments received from the portfolio ensured punctual and full payment to security holders and other parties to the transaction. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 544 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: ROSENKAVALIER 2020 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2020 UG Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Consumer Loans Quality of Asset: Performing Closing date: 09.30.2020 Nominal Value of reference portfolio (€ million): 800 Net amount of preexisting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million)(*): - Portfolio disposal price (€ million): 800 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: Moodys/DBRS Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A289ES3 DE000A289ET1 . Type of security Senior Junior . Class A B . Rating Aa1/A - . Quotation Munich Munich . Issue date 09.30.2020 09.30.2020 . Legal maturity 09.30.2035 09.30.2035 . Call option Any Payment Date . Expected duration (years) 09.30.2035 09.30.2035 . Rate Fixed Coupon 0.2% Fixed Coupon 1.25% . Subordination level - sub A . Nominal Value Issued (€ million) 632 168 . Nominal value at the end of accounting period (€ million) 632 168 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 544 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: ROSENKAVALIER 2020 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2020 UG Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Consumer Loans Quality of Asset: Performing Closing date: 09.30.2020 Nominal Value of reference portfolio (€ million): 800 Net amount of preexisting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million)(*): - Portfolio disposal price (€ million): 800 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: Moodys/DBRS Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A289ES3 DE000A289ET1 . Type of security Senior Junior . Class A B . Rating Aa1/A - . Quotation Munich Munich . Issue date 09.30.2020 09.30.2020 . Legal maturity 09.30.2035 09.30.2035 . Call option Any Payment Date . Expected duration (years) 09.30.2035 09.30.2035 . Rate Fixed Coupon 0.2% Fixed Coupon 1.25% . Subordination level - sub A . Nominal Value Issued (€ million) 632 168 . Nominal value at the end of accounting period (€ million) 632 168 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 544 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: ROSENKAVALIER 2020 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2020 UG Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Consumer Loans Quality of Asset: Performing Closing date: 09.30.2020 Nominal Value of reference portfolio (€ million): 800 Net amount of preexisting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million)(*): - Portfolio disposal price (€ million): 800 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: Moodys/DBRS Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A289ES3 DE000A289ET1 . Type of security Senior Junior . Class A B . Rating Aa1/A - . Quotation Munich Munich . Issue date 09.30.2020 09.30.2020 . Legal maturity 09.30.2035 09.30.2035 . Call option Any Payment Date . Expected duration (years) 09.30.2035 09.30.2035 . Rate Fixed Coupon 0.2% Fixed Coupon 1.25% . Subordination level - sub A . Nominal Value Issued (€ million) 632 168 . Nominal value at the end of accounting period (€ million) 632 168 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 544 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: ROSENKAVALIER 2020 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2020 UG Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Consumer Loans Quality of Asset: Performing Closing date: 09.30.2020 Nominal Value of reference portfolio (€ million): 800 Net amount of preexisting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million)(*): - Portfolio disposal price (€ million): 800 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: Moodys/DBRS Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A289ES3 DE000A289ET1 . Type of security Senior Junior . Class A B . Rating Aa1/A - . Quotation Munich Munich . Issue date 09.30.2020 09.30.2020 . Legal maturity 09.30.2035 09.30.2035 . Call option Any Payment Date . Expected duration (years) 09.30.2035 09.30.2035 . Rate Fixed Coupon 0.2% Fixed Coupon 1.25% . Subordination level - sub A . Nominal Value Issued (€ million) 632 168 . Nominal value at the end of accounting period (€ million) 632 168 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 544 2021 Annual Report and Accounts · UniCredit Transactions from previous years SECURITISATION NAME: ROSENKAVALIER 2020 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2020 UG Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Consumer Loans Quality of Asset: Performing Closing date: 09.30.2020 Nominal Value of reference portfolio (€ million): 800 Net amount of preexisting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million)(*): - Portfolio disposal price (€ million): 800 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: Moodys/DBRS Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A289ES3 DE000A289ET1 . Type of security Senior Junior . Class A B . Rating Aa1/A - . Quotation Munich Munich . Issue date 09.30.2020 09.30.2020 . Legal maturity 09.30.2035 09.30.2035 . Call option Any Payment Date . Expected duration (years) 09.30.2035 09.30.2035 . Rate Fixed Coupon 0.2% Fixed Coupon 1.25% . Subordination level - sub A . Nominal Value Issued (€ million) 632 168 . Nominal value at the end of accounting period (€ million) 632 168 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 545 SECURITISATION NAME: ROSENKAVALIER 2015 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2015 UG Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Large Corporate and SME corporate loans Quality of Asset: Performing Closing date: 12.18.2015 (restructured on 11.30.2021) Nominal Value of disposal portfolio (€ million): 3,800 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 3,800 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: Moody's/DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A1687E2 DE000A1687F9 . Type of security Senior Junior . Class A B . Rating Aa2/A - . Quotation Munich Munich . Issue date 12.18.2015 12.18.2015 . Legal maturity 08.31.2045 08.31.2045 . Call option Any payment date . Rate Fixed Coupon 0.35% Fixed Coupon 3.25% . Subordinated level - sub A . Nominal value issued (€ million) 2,375 1,425 . Nominal value at the end of accounting period (€ million) 2,375 1,425 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 545 SECURITISATION NAME: ROSENKAVALIER 2015 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2015 UG Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Large Corporate and SME corporate loans Quality of Asset: Performing Closing date: 12.18.2015 (restructured on 11.30.2021) Nominal Value of disposal portfolio (€ million): 3,800 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 3,800 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: Moody's/DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A1687E2 DE000A1687F9 . Type of security Senior Junior . Class A B . Rating Aa2/A - . Quotation Munich Munich . Issue date 12.18.2015 12.18.2015 . Legal maturity 08.31.2045 08.31.2045 . Call option Any payment date . Rate Fixed Coupon 0.35% Fixed Coupon 3.25% . Subordinated level - sub A . Nominal value issued (€ million) 2,375 1,425 . Nominal value at the end of accounting period (€ million) 2,375 1,425 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 545 SECURITISATION NAME: ROSENKAVALIER 2015 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2015 UG Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Large Corporate and SME corporate loans Quality of Asset: Performing Closing date: 12.18.2015 (restructured on 11.30.2021) Nominal Value of disposal portfolio (€ million): 3,800 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 3,800 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: Moody's/DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A1687E2 DE000A1687F9 . Type of security Senior Junior . Class A B . Rating Aa2/A - . Quotation Munich Munich . Issue date 12.18.2015 12.18.2015 . Legal maturity 08.31.2045 08.31.2045 . Call option Any payment date . Rate Fixed Coupon 0.35% Fixed Coupon 3.25% . Subordinated level - sub A . Nominal value issued (€ million) 2,375 1,425 . Nominal value at the end of accounting period (€ million) 2,375 1,425 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 545 SECURITISATION NAME: ROSENKAVALIER 2015 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2015 UG Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Large Corporate and SME corporate loans Quality of Asset: Performing Closing date: 12.18.2015 (restructured on 11.30.2021) Nominal Value of disposal portfolio (€ million): 3,800 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 3,800 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: Moody's/DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A1687E2 DE000A1687F9 . Type of security Senior Junior . Class A B . Rating Aa2/A - . Quotation Munich Munich . Issue date 12.18.2015 12.18.2015 . Legal maturity 08.31.2045 08.31.2045 . Call option Any payment date . Rate Fixed Coupon 0.35% Fixed Coupon 3.25% . Subordinated level - sub A . Nominal value issued (€ million) 2,375 1,425 . Nominal value at the end of accounting period (€ million) 2,375 1,425 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 545 SECURITISATION NAME: ROSENKAVALIER 2015 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2015 UG Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Large Corporate and SME corporate loans Quality of Asset: Performing Closing date: 12.18.2015 (restructured on 11.30.2021) Nominal Value of disposal portfolio (€ million): 3,800 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 3,800 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: Moody's/DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A1687E2 DE000A1687F9 . Type of security Senior Junior . Class A B . Rating Aa2/A - . Quotation Munich Munich . Issue date 12.18.2015 12.18.2015 . Legal maturity 08.31.2045 08.31.2045 . Call option Any payment date . Rate Fixed Coupon 0.35% Fixed Coupon 3.25% . Subordinated level - sub A . Nominal value issued (€ million) 2,375 1,425 . Nominal value at the end of accounting period (€ million) 2,375 1,425 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 546 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: GELDILUX-TS-2015 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Geldilux-TS-2015 S.A. (Luxembourg) Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: SME corporate loans Quality of Asset: Performing Closing date: 07.29.2015 Nominal Value of disposal portfolio at the end of the accounting period (€ million): 2,140 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 2,140 Garantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral, True Sale - Revolving Rating Agencies: Moody's/DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN XS1261539610 XS1261577628 . Type of security Senior Junior . Class A D . Rating Aaa/A - . Quotation Luxembourg Luxembourg . Issue date 07.29.2015 07.29.2015 . Legal maturity 07.08.2022 07.08.2022 . Call option Clean-up call . Rate EUR1M (floored to zero) + 50bps EUR1M (floored to zero) + 300bps . Subordinated level Waterfall Position 1 SUB A . Nominal value issued (€ million) 1,830 310 . Nominal value at the end of accounting period (€ million) 1,830 310 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 546 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: GELDILUX-TS-2015 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Geldilux-TS-2015 S.A. (Luxembourg) Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: SME corporate loans Quality of Asset: Performing Closing date: 07.29.2015 Nominal Value of disposal portfolio at the end of the accounting period (€ million): 2,140 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 2,140 Garantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral, True Sale - Revolving Rating Agencies: Moody's/DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN XS1261539610 XS1261577628 . Type of security Senior Junior . Class A D . Rating Aaa/A - . Quotation Luxembourg Luxembourg . Issue date 07.29.2015 07.29.2015 . Legal maturity 07.08.2022 07.08.2022 . Call option Clean-up call . Rate EUR1M (floored to zero) + 50bps EUR1M (floored to zero) + 300bps . Subordinated level Waterfall Position 1 SUB A . Nominal value issued (€ million) 1,830 310 . Nominal value at the end of accounting period (€ million) 1,830 310 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 546 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: GELDILUX-TS-2015 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Geldilux-TS-2015 S.A. (Luxembourg) Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: SME corporate loans Quality of Asset: Performing Closing date: 07.29.2015 Nominal Value of disposal portfolio at the end of the accounting period (€ million): 2,140 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 2,140 Garantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral, True Sale - Revolving Rating Agencies: Moody's/DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN XS1261539610 XS1261577628 . Type of security Senior Junior . Class A D . Rating Aaa/A - . Quotation Luxembourg Luxembourg . Issue date 07.29.2015 07.29.2015 . Legal maturity 07.08.2022 07.08.2022 . Call option Clean-up call . Rate EUR1M (floored to zero) + 50bps EUR1M (floored to zero) + 300bps . Subordinated level Waterfall Position 1 SUB A . Nominal value issued (€ million) 1,830 310 . Nominal value at the end of accounting period (€ million) 1,830 310 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 546 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: GELDILUX-TS-2015 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Geldilux-TS-2015 S.A. (Luxembourg) Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: SME corporate loans Quality of Asset: Performing Closing date: 07.29.2015 Nominal Value of disposal portfolio at the end of the accounting period (€ million): 2,140 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 2,140 Garantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral, True Sale - Revolving Rating Agencies: Moody's/DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN XS1261539610 XS1261577628 . Type of security Senior Junior . Class A D . Rating Aaa/A - . Quotation Luxembourg Luxembourg . Issue date 07.29.2015 07.29.2015 . Legal maturity 07.08.2022 07.08.2022 . Call option Clean-up call . Rate EUR1M (floored to zero) + 50bps EUR1M (floored to zero) + 300bps . Subordinated level Waterfall Position 1 SUB A . Nominal value issued (€ million) 1,830 310 . Nominal value at the end of accounting period (€ million) 1,830 310 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 546 2021 Annual Report and Accounts · UniCredit SECURITISATION NAME: GELDILUX-TS-2015 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Geldilux-TS-2015 S.A. (Luxembourg) Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: SME corporate loans Quality of Asset: Performing Closing date: 07.29.2015 Nominal Value of disposal portfolio at the end of the accounting period (€ million): 2,140 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 2,140 Garantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral, True Sale - Revolving Rating Agencies: Moody's/DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN XS1261539610 XS1261577628 . Type of security Senior Junior . Class A D . Rating Aaa/A - . Quotation Luxembourg Luxembourg . Issue date 07.29.2015 07.29.2015 . Legal maturity 07.08.2022 07.08.2022 . Call option Clean-up call . Rate EUR1M (floored to zero) + 50bps EUR1M (floored to zero) + 300bps . Subordinated level Waterfall Position 1 SUB A . Nominal value issued (€ million) 1,830 310 . Nominal value at the end of accounting period (€ million) 1,830 310 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 547 SECURITISATION NAME: ROSENKAVALIER 2008 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2008 GmbH Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Mortgage loans Quality of Asset: Performing Closing date: 12.12.2008 Nominal Value of disposal portfolio at the end of the accounting period (€ million): 3,140 Net amount of preexinting write-down/write-backs: 11,946 Disposal Profit & Loss realized : - Portfolio disposal price: 11,946 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: FITCH/Moody's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A0AEDB2 DE000A0AEDC0 . Type of security Senior Junior . Class A B . Rating A+/A2 - . Quotation Munich Munich . Issue date 12.12.2008 12.12.2008 . Legal maturity 10.31.2058 10.31.2058 . Call option Any Payment Date . Expected duration 10.31.2058 10.31.2058 . Rate Fixed Coupon 0.55% Fixed Coupon 3.5% . Subordinated level - SUB A . Nominal value issued (€ million) 9,653 2,294 . Nominal value at the end of accounting period (€ million) 2,624 576 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 547 SECURITISATION NAME: ROSENKAVALIER 2008 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2008 GmbH Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Mortgage loans Quality of Asset: Performing Closing date: 12.12.2008 Nominal Value of disposal portfolio at the end of the accounting period (€ million): 3,140 Net amount of preexinting write-down/write-backs: 11,946 Disposal Profit & Loss realized : - Portfolio disposal price: 11,946 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: FITCH/Moody's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A0AEDB2 DE000A0AEDC0 . Type of security Senior Junior . Class A B . Rating A+/A2 - . Quotation Munich Munich . Issue date 12.12.2008 12.12.2008 . Legal maturity 10.31.2058 10.31.2058 . Call option Any Payment Date . Expected duration 10.31.2058 10.31.2058 . Rate Fixed Coupon 0.55% Fixed Coupon 3.5% . Subordinated level - SUB A . Nominal value issued (€ million) 9,653 2,294 . Nominal value at the end of accounting period (€ million) 2,624 576 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 547 SECURITISATION NAME: ROSENKAVALIER 2008 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2008 GmbH Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Mortgage loans Quality of Asset: Performing Closing date: 12.12.2008 Nominal Value of disposal portfolio at the end of the accounting period (€ million): 3,140 Net amount of preexinting write-down/write-backs: 11,946 Disposal Profit & Loss realized : - Portfolio disposal price: 11,946 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: FITCH/Moody's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A0AEDB2 DE000A0AEDC0 . Type of security Senior Junior . Class A B . Rating A+/A2 - . Quotation Munich Munich . Issue date 12.12.2008 12.12.2008 . Legal maturity 10.31.2058 10.31.2058 . Call option Any Payment Date . Expected duration 10.31.2058 10.31.2058 . Rate Fixed Coupon 0.55% Fixed Coupon 3.5% . Subordinated level - SUB A . Nominal value issued (€ million) 9,653 2,294 . Nominal value at the end of accounting period (€ million) 2,624 576 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 547 SECURITISATION NAME: ROSENKAVALIER 2008 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2008 GmbH Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Mortgage loans Quality of Asset: Performing Closing date: 12.12.2008 Nominal Value of disposal portfolio at the end of the accounting period (€ million): 3,140 Net amount of preexinting write-down/write-backs: 11,946 Disposal Profit & Loss realized : - Portfolio disposal price: 11,946 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: FITCH/Moody's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A0AEDB2 DE000A0AEDC0 . Type of security Senior Junior . Class A B . Rating A+/A2 - . Quotation Munich Munich . Issue date 12.12.2008 12.12.2008 . Legal maturity 10.31.2058 10.31.2058 . Call option Any Payment Date . Expected duration 10.31.2058 10.31.2058 . Rate Fixed Coupon 0.55% Fixed Coupon 3.5% . Subordinated level - SUB A . Nominal value issued (€ million) 9,653 2,294 . Nominal value at the end of accounting period (€ million) 2,624 576 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 547 SECURITISATION NAME: ROSENKAVALIER 2008 Type of securitisation: Traditional Originator: UniCredit Bank AG Issuer: Rosenkavalier 2008 GmbH Servicer: UniCredit Bank AG Arranger: UniCredit Bank AG (UniCredit Markets & Investment Banking) Target transaction: Liquidity Type of asset: Mortgage loans Quality of Asset: Performing Closing date: 12.12.2008 Nominal Value of disposal portfolio at the end of the accounting period (€ million): 3,140 Net amount of preexinting write-down/write-backs: 11,946 Disposal Profit & Loss realized : - Portfolio disposal price: 11,946 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: Transaction executed to create ECB collateral Rating Agencies: FITCH/Moody's Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN DE000A0AEDB2 DE000A0AEDC0 . Type of security Senior Junior . Class A B . Rating A+/A2 - . Quotation Munich Munich . Issue date 12.12.2008 12.12.2008 . Legal maturity 10.31.2058 10.31.2058 . Call option Any Payment Date . Expected duration 10.31.2058 10.31.2058 . Rate Fixed Coupon 0.55% Fixed Coupon 3.5% . Subordinated level - SUB A . Nominal value issued (€ million) 9,653 2,294 . Nominal value at the end of accounting period (€ million) 2,624 576 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 548 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit Leasing (Austria) GmbH Transactions from previous periods SECURITISATION NAME: SUCCESS 2015 Type of securitisation: Traditional Originator: UniCredit Leasing (Austria) GMBH Issuer: Success 2015 B.V. Servicer: UniCredit Leasing (Austria) GMBH Arranger: UniCredit Bank AG Target transaction: Funding Type of asset: Leasing Assets (Vehicles and Equipments) Quality of Asset: Performing Closing date: 11.09.2015 Nominal Value of disposal portfolio (€ million): 325 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 325 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: Subordinated Loan €4.6 million Other relevant information: - Rating Agencies: Fitch & DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN XS1317727698 XS1317727938 . Type of security Senior Junior . Class A B . Rating AAA - . Quotation Listed Luxembourg Stock Exchange - . Issue date 11.09.2015 11.09.2015 . Legal maturity 10.31.2029 10.31.2029 . Call option 10% clean up call . Expected duration (years) 6 6 . Rate EUR3M + 0.47% EUR3M + 2% . Subordinated level - SUB A . Nominal value issued (€ million) 231 94 . Nominal value at the end of accounting period (€ million) - 37 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 548 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit Leasing (Austria) GmbH Transactions from previous periods SECURITISATION NAME: SUCCESS 2015 Type of securitisation: Traditional Originator: UniCredit Leasing (Austria) GMBH Issuer: Success 2015 B.V. Servicer: UniCredit Leasing (Austria) GMBH Arranger: UniCredit Bank AG Target transaction: Funding Type of asset: Leasing Assets (Vehicles and Equipments) Quality of Asset: Performing Closing date: 11.09.2015 Nominal Value of disposal portfolio (€ million): 325 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 325 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: Subordinated Loan €4.6 million Other relevant information: - Rating Agencies: Fitch & DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN XS1317727698 XS1317727938 . Type of security Senior Junior . Class A B . Rating AAA - . Quotation Listed Luxembourg Stock Exchange - . Issue date 11.09.2015 11.09.2015 . Legal maturity 10.31.2029 10.31.2029 . Call option 10% clean up call . Expected duration (years) 6 6 . Rate EUR3M + 0.47% EUR3M + 2% . Subordinated level - SUB A . Nominal value issued (€ million) 231 94 . Nominal value at the end of accounting period (€ million) - 37 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 548 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit Leasing (Austria) GmbH Transactions from previous periods SECURITISATION NAME: SUCCESS 2015 Type of securitisation: Traditional Originator: UniCredit Leasing (Austria) GMBH Issuer: Success 2015 B.V. Servicer: UniCredit Leasing (Austria) GMBH Arranger: UniCredit Bank AG Target transaction: Funding Type of asset: Leasing Assets (Vehicles and Equipments) Quality of Asset: Performing Closing date: 11.09.2015 Nominal Value of disposal portfolio (€ million): 325 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 325 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: Subordinated Loan €4.6 million Other relevant information: - Rating Agencies: Fitch & DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN XS1317727698 XS1317727938 . Type of security Senior Junior . Class A B . Rating AAA - . Quotation Listed Luxembourg Stock Exchange - . Issue date 11.09.2015 11.09.2015 . Legal maturity 10.31.2029 10.31.2029 . Call option 10% clean up call . Expected duration (years) 6 6 . Rate EUR3M + 0.47% EUR3M + 2% . Subordinated level - SUB A . Nominal value issued (€ million) 231 94 . Nominal value at the end of accounting period (€ million) - 37 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 548 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit Leasing (Austria) GmbH Transactions from previous periods SECURITISATION NAME: SUCCESS 2015 Type of securitisation: Traditional Originator: UniCredit Leasing (Austria) GMBH Issuer: Success 2015 B.V. Servicer: UniCredit Leasing (Austria) GMBH Arranger: UniCredit Bank AG Target transaction: Funding Type of asset: Leasing Assets (Vehicles and Equipments) Quality of Asset: Performing Closing date: 11.09.2015 Nominal Value of disposal portfolio (€ million): 325 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 325 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: Subordinated Loan €4.6 million Other relevant information: - Rating Agencies: Fitch & DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN XS1317727698 XS1317727938 . Type of security Senior Junior . Class A B . Rating AAA - . Quotation Listed Luxembourg Stock Exchange - . Issue date 11.09.2015 11.09.2015 . Legal maturity 10.31.2029 10.31.2029 . Call option 10% clean up call . Expected duration (years) 6 6 . Rate EUR3M + 0.47% EUR3M + 2% . Subordinated level - SUB A . Nominal value issued (€ million) 231 94 . Nominal value at the end of accounting period (€ million) - 37 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables 548 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit Leasing (Austria) GmbH Transactions from previous periods SECURITISATION NAME: SUCCESS 2015 Type of securitisation: Traditional Originator: UniCredit Leasing (Austria) GMBH Issuer: Success 2015 B.V. Servicer: UniCredit Leasing (Austria) GMBH Arranger: UniCredit Bank AG Target transaction: Funding Type of asset: Leasing Assets (Vehicles and Equipments) Quality of Asset: Performing Closing date: 11.09.2015 Nominal Value of disposal portfolio (€ million): 325 Net amount of preexinting write-down/write-backs (€ million): - Disposal Profit & Loss realised (€ million): - Portfolio disposal price (€ million): 325 Guarantees issued by the Bank: - Guarantees issued by Third Parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: Subordinated Loan €4.6 million Other relevant information: - Rating Agencies: Fitch & DBRS Amount of CDS or other supersenior risk transferred (€ million): - Amount and Condition of tranching: . ISIN XS1317727698 XS1317727938 . Type of security Senior Junior . Class A B . Rating AAA - . Quotation Listed Luxembourg Stock Exchange - . Issue date 11.09.2015 11.09.2015 . Legal maturity 10.31.2029 10.31.2029 . Call option 10% clean up call . Expected duration (years) 6 6 . Rate EUR3M + 0.47% EUR3M + 2% . Subordinated level - SUB A . Nominal value issued (€ million) 231 94 . Nominal value at the end of accounting period (€ million) - 37 Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 549 ORIGINATOR: UniCredit Bulbank AD Transactions from previous periods SECURITISATION NAME: EIF JEREMIE Type of securitisation: Synthetic - First loss Portfolio Guarantees Originator: UniCredit Bulbank AD Issuer: European Investment Fund (EIF) Servicer: UniCredit Bulbank AD Arranger: UniCredit Bulbank AD Target transaction: Risk transfer and capital relief Type of asset: Highly diversified and granular pool of UniCredit Bulbank's SME loans Quality of Asset: Performing Closing date: 08.15.2011 Nominal Value of reference portfolio (€ million): 1 Guarantees issued by the Bank: - Guarantees issued by Third Parties: First loss cash collateral EIF Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - The agreed portfolio maximum volume is equal to €85 million. - The guarantee covers 80% of each outstanding loan up to a total amount equal to 25% of the portfolio volume Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Reference Position at the end of accounting period (€ million) - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 549 ORIGINATOR: UniCredit Bulbank AD Transactions from previous periods SECURITISATION NAME: EIF JEREMIE Type of securitisation: Synthetic - First loss Portfolio Guarantees Originator: UniCredit Bulbank AD Issuer: European Investment Fund (EIF) Servicer: UniCredit Bulbank AD Arranger: UniCredit Bulbank AD Target transaction: Risk transfer and capital relief Type of asset: Highly diversified and granular pool of UniCredit Bulbank's SME loans Quality of Asset: Performing Closing date: 08.15.2011 Nominal Value of reference portfolio (€ million): 1 Guarantees issued by the Bank: - Guarantees issued by Third Parties: First loss cash collateral EIF Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - The agreed portfolio maximum volume is equal to €85 million. - The guarantee covers 80% of each outstanding loan up to a total amount equal to 25% of the portfolio volume Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Reference Position at the end of accounting period (€ million) - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 549 ORIGINATOR: UniCredit Bulbank AD Transactions from previous periods SECURITISATION NAME: EIF JEREMIE Type of securitisation: Synthetic - First loss Portfolio Guarantees Originator: UniCredit Bulbank AD Issuer: European Investment Fund (EIF) Servicer: UniCredit Bulbank AD Arranger: UniCredit Bulbank AD Target transaction: Risk transfer and capital relief Type of asset: Highly diversified and granular pool of UniCredit Bulbank's SME loans Quality of Asset: Performing Closing date: 08.15.2011 Nominal Value of reference portfolio (€ million): 1 Guarantees issued by the Bank: - Guarantees issued by Third Parties: First loss cash collateral EIF Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - The agreed portfolio maximum volume is equal to €85 million. - The guarantee covers 80% of each outstanding loan up to a total amount equal to 25% of the portfolio volume Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Reference Position at the end of accounting period (€ million) - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 549 ORIGINATOR: UniCredit Bulbank AD Transactions from previous periods SECURITISATION NAME: EIF JEREMIE Type of securitisation: Synthetic - First loss Portfolio Guarantees Originator: UniCredit Bulbank AD Issuer: European Investment Fund (EIF) Servicer: UniCredit Bulbank AD Arranger: UniCredit Bulbank AD Target transaction: Risk transfer and capital relief Type of asset: Highly diversified and granular pool of UniCredit Bulbank's SME loans Quality of Asset: Performing Closing date: 08.15.2011 Nominal Value of reference portfolio (€ million): 1 Guarantees issued by the Bank: - Guarantees issued by Third Parties: First loss cash collateral EIF Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - The agreed portfolio maximum volume is equal to €85 million. - The guarantee covers 80% of each outstanding loan up to a total amount equal to 25% of the portfolio volume Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Reference Position at the end of accounting period (€ million) - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 3 - Securitisations - qualitative tables UniCredit · 2021 Annual Report and Accounts 549 ORIGINATOR: UniCredit Bulbank AD Transactions from previous periods SECURITISATION NAME: EIF JEREMIE Type of securitisation: Synthetic - First loss Portfolio Guarantees Originator: UniCredit Bulbank AD Issuer: European Investment Fund (EIF) Servicer: UniCredit Bulbank AD Arranger: UniCredit Bulbank AD Target transaction: Risk transfer and capital relief Type of asset: Highly diversified and granular pool of UniCredit Bulbank's SME loans Quality of Asset: Performing Closing date: 08.15.2011 Nominal Value of reference portfolio (€ million): 1 Guarantees issued by the Bank: - Guarantees issued by Third Parties: First loss cash collateral EIF Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - The agreed portfolio maximum volume is equal to €85 million. - The guarantee covers 80% of each outstanding loan up to a total amount equal to 25% of the portfolio volume Rating Agencies: No rating agency, use of Supervisory SEC-IRBA Approach(*) Amount of CDS or other risk transferred (€ million): - Amount and Condition of tranching: . ISIN - - . Type of security Senior Junior . Class A B . Reference Position at the end of accounting period (€ million) - 1 Note: (*) Synthetic securitisations carried out using the SEC-IRBA approach as required by Artt.258-259 of Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No.575/2013 on prudential requirements for credit institutions and investment firms. Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables550 2021 Annual Report and Accounts · UniCredit Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative ORIGINATOR: UniCredit S.p.A. Transactions from previous years and year 2021 GOALS - STRATEGIES - PROCESSES: UniCredit S.p.A., by selling its loans to the fund, aims to facilitate companies classified as "unlikely to pay" to improve their strategic positioning in their relevant industrial sector. ROLE: Once the loans have been sold to the fund and UniCredit S.p.A. become a holder of Fund's units, the bank no longer has a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit S.p.A. has all the risks arising from the performance of the fund's units and therefore from the management of the assets performed by the asset manager FININT and by the Advisor Italfondiario. MONITORING SYSTEMS: UniCredit S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION EFESTO Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: EFESTO Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sised companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Italfondiario. Type of asset: Corporate loans Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Closing date: 10.27.202003.27.202112.09.2021Nominal Value of reference portfolio (million): 188 25 6 Net amount of preexisting write-down/write-backs (€ million): 92 6 4 Disposal Profit & Loss realised (€ million): (1) 3 - Portfolio disposal price (million): 91 9 4 Issued guarantees by the Bank: - - - Issued guarantees by third parties: - - - Bank Lines of Credit: - - -Third Parties Lines of Credit: - - - Other Credit Enhancements: - - - Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005419509IT0005419509IT0005419509 . No. of units at the subscription 90,561,794 9,305,715 4,962,649 . Book Value at the subscription (million) 91 9 4 . No. of units at the end of accounting period 90,561,794 9,305,715 4,962,649 . Book value at the end of accounting period (million) 82 8 5 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables550 2021 Annual Report and Accounts · UniCredit Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative ORIGINATOR: UniCredit S.p.A. Transactions from previous years and year 2021 GOALS - STRATEGIES - PROCESSES: UniCredit S.p.A., by selling its loans to the fund, aims to facilitate companies classified as "unlikely to pay" to improve their strategic positioning in their relevant industrial sector. ROLE: Once the loans have been sold to the fund and UniCredit S.p.A. become a holder of Fund's units, the bank no longer has a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit S.p.A. has all the risks arising from the performance of the fund's units and therefore from the management of the assets performed by the asset manager FININT and by the Advisor Italfondiario. MONITORING SYSTEMS: UniCredit S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION EFESTO Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: EFESTO Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sised companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Italfondiario. Type of asset: Corporate loans Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Closing date: 10.27.202003.27.202112.09.2021Nominal Value of reference portfolio (million): 188 25 6 Net amount of preexisting write-down/write-backs (€ million): 92 6 4 Disposal Profit & Loss realised (€ million): (1) 3 - Portfolio disposal price (million): 91 9 4 Issued guarantees by the Bank: - - - Issued guarantees by third parties: - - - Bank Lines of Credit: - - -Third Parties Lines of Credit: - - - Other Credit Enhancements: - - - Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005419509IT0005419509IT0005419509 . No. of units at the subscription 90,561,794 9,305,715 4,962,649 . Book Value at the subscription (million) 91 9 4 . No. of units at the end of accounting period 90,561,794 9,305,715 4,962,649 . Book value at the end of accounting period (million) 82 8 5 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables550 2021 Annual Report and Accounts · UniCredit Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative ORIGINATOR: UniCredit S.p.A. Transactions from previous years and year 2021 GOALS - STRATEGIES - PROCESSES: UniCredit S.p.A., by selling its loans to the fund, aims to facilitate companies classified as "unlikely to pay" to improve their strategic positioning in their relevant industrial sector. ROLE: Once the loans have been sold to the fund and UniCredit S.p.A. become a holder of Fund's units, the bank no longer has a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit S.p.A. has all the risks arising from the performance of the fund's units and therefore from the management of the assets performed by the asset manager FININT and by the Advisor Italfondiario. MONITORING SYSTEMS: UniCredit S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION EFESTO Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: EFESTO Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sised companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Italfondiario. Type of asset: Corporate loans Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Closing date: 10.27.202003.27.202112.09.2021Nominal Value of reference portfolio (million): 188 25 6 Net amount of preexisting write-down/write-backs (€ million): 92 6 4 Disposal Profit & Loss realised (€ million): (1) 3 - Portfolio disposal price (million): 91 9 4 Issued guarantees by the Bank: - - - Issued guarantees by third parties: - - - Bank Lines of Credit: - - -Third Parties Lines of Credit: - - - Other Credit Enhancements: - - - Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005419509IT0005419509IT0005419509 . No. of units at the subscription 90,561,794 9,305,715 4,962,649 . Book Value at the subscription (million) 91 9 4 . No. of units at the end of accounting period 90,561,794 9,305,715 4,962,649 . Book value at the end of accounting period (million) 82 8 5 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables550 2021 Annual Report and Accounts · UniCredit Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative ORIGINATOR: UniCredit S.p.A. Transactions from previous years and year 2021 GOALS - STRATEGIES - PROCESSES: UniCredit S.p.A., by selling its loans to the fund, aims to facilitate companies classified as "unlikely to pay" to improve their strategic positioning in their relevant industrial sector. ROLE: Once the loans have been sold to the fund and UniCredit S.p.A. become a holder of Fund's units, the bank no longer has a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit S.p.A. has all the risks arising from the performance of the fund's units and therefore from the management of the assets performed by the asset manager FININT and by the Advisor Italfondiario. MONITORING SYSTEMS: UniCredit S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION EFESTO Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: EFESTO Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sised companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Italfondiario. Type of asset: Corporate loans Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Closing date: 10.27.202003.27.202112.09.2021Nominal Value of reference portfolio (million): 188 25 6 Net amount of preexisting write-down/write-backs (€ million): 92 6 4 Disposal Profit & Loss realised (€ million): (1) 3 - Portfolio disposal price (million): 91 9 4 Issued guarantees by the Bank: - - - Issued guarantees by third parties: - - - Bank Lines of Credit: - - -Third Parties Lines of Credit: - - - Other Credit Enhancements: - - - Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005419509IT0005419509IT0005419509 . No. of units at the subscription 90,561,794 9,305,715 4,962,649 . Book Value at the subscription (million) 91 9 4 . No. of units at the end of accounting period 90,561,794 9,305,715 4,962,649 . Book value at the end of accounting period (million) 82 8 5 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables550 2021 Annual Report and Accounts · UniCredit Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative ORIGINATOR: UniCredit S.p.A. Transactions from previous years and year 2021 GOALS - STRATEGIES - PROCESSES: UniCredit S.p.A., by selling its loans to the fund, aims to facilitate companies classified as "unlikely to pay" to improve their strategic positioning in their relevant industrial sector. ROLE: Once the loans have been sold to the fund and UniCredit S.p.A. become a holder of Fund's units, the bank no longer has a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit S.p.A. has all the risks arising from the performance of the fund's units and therefore from the management of the assets performed by the asset manager FININT and by the Advisor Italfondiario. MONITORING SYSTEMS: UniCredit S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION EFESTO Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: EFESTO Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sised companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Italfondiario. Type of asset: Corporate loans Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Closing date: 10.27.202003.27.202112.09.2021Nominal Value of reference portfolio (million): 188 25 6 Net amount of preexisting write-down/write-backs (€ million): 92 6 4 Disposal Profit & Loss realised (€ million): (1) 3 - Portfolio disposal price (million): 91 9 4 Issued guarantees by the Bank: - - - Issued guarantees by third parties: - - - Bank Lines of Credit: - - -Third Parties Lines of Credit: - - - Other Credit Enhancements: - - - Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005419509IT0005419509IT0005419509 . No. of units at the subscription 90,561,794 9,305,715 4,962,649 . Book Value at the subscription (million) 91 9 4 . No. of units at the end of accounting period 90,561,794 9,305,715 4,962,649 . Book value at the end of accounting period (million) 82 8 5 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables NAME OF THE TRANSACTION Type of transaction: Originator: Investment Fund underwritten: Target transaction: Type of asset: Quality of Asset: Closing date: Nominal Value of reference portfolio (million): Net amount of preexisting write-down/write-backs (€ million): Disposal Profit & Loss realised (€ million): Portfolio disposal price (million): Issued guarantees by the Bank: Issued guarantees by third parties: Bank Lines of Credit: Third Parties Lines of Credit: Other Credit Enhancements: Other relevant information: Units of Investment Fund underwritten . Units subscriber . ISIN . No. of units at the subscription . Book Value at the subscription (million) . No. of units at the end of accounting period . Book value at the end of accounting period (million) RSCT Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund UniCredit S.p.A. RSCT The objective of the transaction is to optimize access to the capital market for borrowers (medium-sised companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Pillarstone. Corporate loans Unlikely to pay 05.13.2020 Corporate loans Unlikely to pay 06.09.2020 Corporate loans Unlikely to pay 01.21.2021 Corporate loans Unlikely to pay 06.29.2021 110 49 -3 47 - - - - - 105 2 13 15 - - - - - 12 5 - 5 - - - - - 1 - - - - - - - - The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. UniCredit S.p.A. IT0005407975 46,870,925 47 46,870,925 46 UniCredit S.p.A. IT0005407975 14,500,000 15 14,500,000 14 UniCredit S.p.A. IT0005407975 UniCredit S.p.A. IT0005407975 4,992,704 5 4,992,704 5 181,268 - 181,268 - UniCredit · 2021 Annual Report and Accounts 551 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables552 2021 Annual Report and Accounts · UniCredit NAME OF THE TRANSACTION DEA CAPITAL CORPORATE CREDIT RECOVERY II Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: Dea Capital Corporate Credit Recovery II Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sized companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Dea Capital. Type of asset: Corporate loans Corporate loans Corporate loans Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Closing date:01.31.201812.19.201908.07.202003.23.202104.12.2021Nominal Value of reference portfolio (€ million): 88 66 66 30 7 Net amount of preexisting writedown/writebacks (€ million): 49 22 22 20 2 Disposal Profit & Loss realised (€ million): 6 11 11 - 3 Portfolio disposal price (€ million): 55 33 27 20 5 Issued guarantees by theBank:- -- --Issued guarantees by third parties:- -- --Bank Lines of Credit:- -- --Third Parties Lines of Credit: - - - - - Other Credit Enhancements:- -- --Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005276057 IT0005276057 IT0005276057 IT0005276057 IT0005276057 . N° of units at the subscription 1,122.221 815.752 815.752 574.669 155.021 . Book Value at the subscription (€ million) 55 33 27 20 5 . N° of units at the end of accounting period 1,122.221 815.752 698.786 574.669 155.021 . Book value at the end of accounting period (€ million) 32 23 20 17 4 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables552 2021 Annual Report and Accounts · UniCredit NAME OF THE TRANSACTION DEA CAPITAL CORPORATE CREDIT RECOVERY II Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: Dea Capital Corporate Credit Recovery II Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sized companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Dea Capital. Type of asset: Corporate loans Corporate loans Corporate loans Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Closing date:01.31.201812.19.201908.07.202003.23.202104.12.2021Nominal Value of reference portfolio (€ million): 88 66 66 30 7 Net amount of preexisting writedown/writebacks (€ million): 49 22 22 20 2 Disposal Profit & Loss realised (€ million): 6 11 11 - 3 Portfolio disposal price (€ million): 55 33 27 20 5 Issued guarantees by theBank:- -- --Issued guarantees by third parties:- -- --Bank Lines of Credit:- -- --Third Parties Lines of Credit: - - - - - Other Credit Enhancements:- -- --Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005276057 IT0005276057 IT0005276057 IT0005276057 IT0005276057 . N° of units at the subscription 1,122.221 815.752 815.752 574.669 155.021 . Book Value at the subscription (€ million) 55 33 27 20 5 . N° of units at the end of accounting period 1,122.221 815.752 698.786 574.669 155.021 . Book value at the end of accounting period (€ million) 32 23 20 17 4 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables552 2021 Annual Report and Accounts · UniCredit NAME OF THE TRANSACTION DEA CAPITAL CORPORATE CREDIT RECOVERY II Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: Dea Capital Corporate Credit Recovery II Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sized companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Dea Capital. Type of asset: Corporate loans Corporate loans Corporate loans Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Closing date:01.31.201812.19.201908.07.202003.23.202104.12.2021Nominal Value of reference portfolio (€ million): 88 66 66 30 7 Net amount of preexisting writedown/writebacks (€ million): 49 22 22 20 2 Disposal Profit & Loss realised (€ million): 6 11 11 - 3 Portfolio disposal price (€ million): 55 33 27 20 5 Issued guarantees by theBank:- -- --Issued guarantees by third parties:- -- --Bank Lines of Credit:- -- --Third Parties Lines of Credit: - - - - - Other Credit Enhancements:- -- --Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005276057 IT0005276057 IT0005276057 IT0005276057 IT0005276057 . N° of units at the subscription 1,122.221 815.752 815.752 574.669 155.021 . Book Value at the subscription (€ million) 55 33 27 20 5 . N° of units at the end of accounting period 1,122.221 815.752 698.786 574.669 155.021 . Book value at the end of accounting period (€ million) 32 23 20 17 4 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables552 2021 Annual Report and Accounts · UniCredit NAME OF THE TRANSACTION DEA CAPITAL CORPORATE CREDIT RECOVERY II Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: Dea Capital Corporate Credit Recovery II Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sized companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Dea Capital. Type of asset: Corporate loans Corporate loans Corporate loans Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Closing date:01.31.201812.19.201908.07.202003.23.202104.12.2021Nominal Value of reference portfolio (€ million): 88 66 66 30 7 Net amount of preexisting writedown/writebacks (€ million): 49 22 22 20 2 Disposal Profit & Loss realised (€ million): 6 11 11 - 3 Portfolio disposal price (€ million): 55 33 27 20 5 Issued guarantees by theBank:- -- --Issued guarantees by third parties:- -- --Bank Lines of Credit:- -- --Third Parties Lines of Credit: - - - - - Other Credit Enhancements:- -- --Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005276057 IT0005276057 IT0005276057 IT0005276057 IT0005276057 . N° of units at the subscription 1,122.221 815.752 815.752 574.669 155.021 . Book Value at the subscription (€ million) 55 33 27 20 5 . N° of units at the end of accounting period 1,122.221 815.752 698.786 574.669 155.021 . Book value at the end of accounting period (€ million) 32 23 20 17 4 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables552 2021 Annual Report and Accounts · UniCredit NAME OF THE TRANSACTION DEA CAPITAL CORPORATE CREDIT RECOVERY II Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: Dea Capital Corporate Credit Recovery II Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sized companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Dea Capital. Type of asset: Corporate loans Corporate loans Corporate loans Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Closing date:01.31.201812.19.201908.07.202003.23.202104.12.2021Nominal Value of reference portfolio (€ million): 88 66 66 30 7 Net amount of preexisting writedown/writebacks (€ million): 49 22 22 20 2 Disposal Profit & Loss realised (€ million): 6 11 11 - 3 Portfolio disposal price (€ million): 55 33 27 20 5 Issued guarantees by theBank:- -- --Issued guarantees by third parties:- -- --Bank Lines of Credit:- -- --Third Parties Lines of Credit: - - - - - Other Credit Enhancements:- -- --Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005276057 IT0005276057 IT0005276057 IT0005276057 IT0005276057 . N° of units at the subscription 1,122.221 815.752 815.752 574.669 155.021 . Book Value at the subscription (€ million) 55 33 27 20 5 . N° of units at the end of accounting period 1,122.221 815.752 698.786 574.669 155.021 . Book value at the end of accounting period (€ million) 32 23 20 17 4 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tablesUniCredit · 2021 Annual Report and Accounts 553 Transactions from previous years NAME OF THE TRANSACTION DEA CAPITAL CORPORATE CREDIT RECOVERY I Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: Dea Capital Corporate Credit Recovery I Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sized companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Dea Capital. Type of asset: Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Closing date: 05.31.201607.04.2019Nominal Value of reference portfolio (€ million): 90 4 Net amount of preexisting writedown/writebacks (€ million): 52 2 Disposal Profit & Loss realised (€ million): 23 2 Portfolio disposal price (€ million): 764Issued guarantees by the Bank: - - Issued guarantees by third parties: - - Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: The assets sold have been derecognised from the balance sheet. The disposal price also includes the portion of equity instruments transferred (18%). The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005126062IT0005126062 . N° of units at the subscription 1,593.698144.672 . Book Value at the subscription (€ million) 76 4 . N° of units at the end of accounting period 1,593.698 144.672 . Book value at the end of accounting period (€ million) 29 3 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tablesUniCredit · 2021 Annual Report and Accounts 553 Transactions from previous years NAME OF THE TRANSACTION DEA CAPITAL CORPORATE CREDIT RECOVERY I Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: Dea Capital Corporate Credit Recovery I Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sized companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Dea Capital. Type of asset: Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Closing date: 05.31.201607.04.2019Nominal Value of reference portfolio (€ million): 90 4 Net amount of preexisting writedown/writebacks (€ million): 52 2 Disposal Profit & Loss realised (€ million): 23 2 Portfolio disposal price (€ million): 764Issued guarantees by the Bank: - - Issued guarantees by third parties: - - Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: The assets sold have been derecognised from the balance sheet. The disposal price also includes the portion of equity instruments transferred (18%). The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005126062IT0005126062 . N° of units at the subscription 1,593.698144.672 . Book Value at the subscription (€ million) 76 4 . N° of units at the end of accounting period 1,593.698 144.672 . Book value at the end of accounting period (€ million) 29 3 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tablesUniCredit · 2021 Annual Report and Accounts 553 Transactions from previous years NAME OF THE TRANSACTION DEA CAPITAL CORPORATE CREDIT RECOVERY I Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: Dea Capital Corporate Credit Recovery I Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sized companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Dea Capital. Type of asset: Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Closing date: 05.31.201607.04.2019Nominal Value of reference portfolio (€ million): 90 4 Net amount of preexisting writedown/writebacks (€ million): 52 2 Disposal Profit & Loss realised (€ million): 23 2 Portfolio disposal price (€ million): 764Issued guarantees by the Bank: - - Issued guarantees by third parties: - - Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: The assets sold have been derecognised from the balance sheet. The disposal price also includes the portion of equity instruments transferred (18%). The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005126062IT0005126062 . N° of units at the subscription 1,593.698144.672 . Book Value at the subscription (€ million) 76 4 . N° of units at the end of accounting period 1,593.698 144.672 . Book value at the end of accounting period (€ million) 29 3 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tablesUniCredit · 2021 Annual Report and Accounts 553 Transactions from previous years NAME OF THE TRANSACTION DEA CAPITAL CORPORATE CREDIT RECOVERY I Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: Dea Capital Corporate Credit Recovery I Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sized companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Dea Capital. Type of asset: Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Closing date: 05.31.201607.04.2019Nominal Value of reference portfolio (€ million): 90 4 Net amount of preexisting writedown/writebacks (€ million): 52 2 Disposal Profit & Loss realised (€ million): 23 2 Portfolio disposal price (€ million): 764Issued guarantees by the Bank: - - Issued guarantees by third parties: - - Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: The assets sold have been derecognised from the balance sheet. The disposal price also includes the portion of equity instruments transferred (18%). The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005126062IT0005126062 . N° of units at the subscription 1,593.698144.672 . Book Value at the subscription (€ million) 76 4 . N° of units at the end of accounting period 1,593.698 144.672 . Book value at the end of accounting period (€ million) 29 3 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tablesUniCredit · 2021 Annual Report and Accounts 553 Transactions from previous years NAME OF THE TRANSACTION DEA CAPITAL CORPORATE CREDIT RECOVERY I Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: Dea Capital Corporate Credit Recovery I Target transaction: The objective of the transaction is to optimize access to the capital market for borrowers (medium-sized companies, in financial difficulties, but with solid industrial fundamentals) sold from UniCredit to the fund, leveraging on an industrial and strategic partner as Dea Capital. Type of asset: Corporate loans Corporate loans Quality of Asset: Unlikely to pay Unlikely to pay Closing date: 05.31.201607.04.2019Nominal Value of reference portfolio (€ million): 90 4 Net amount of preexisting writedown/writebacks (€ million): 52 2 Disposal Profit & Loss realised (€ million): 23 2 Portfolio disposal price (€ million): 764Issued guarantees by the Bank: - - Issued guarantees by third parties: - - Bank Lines of Credit: - - Third Parties Lines of Credit: - - Other Credit Enhancements: - - Other relevant information: The assets sold have been derecognised from the balance sheet. The disposal price also includes the portion of equity instruments transferred (18%). The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005126062IT0005126062 . N° of units at the subscription 1,593.698144.672 . Book Value at the subscription (€ million) 76 4 . N° of units at the end of accounting period 1,593.698 144.672 . Book value at the end of accounting period (€ million) 29 3 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables554 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transactions from previous years GOALS - STRATEGIES - PROCESSES: UniCredit S.p.A., through the sale of debtors related to the shipping sector, aims to facilitate companies classified as "unlikely to pay" to improve their strategic positioning in their industrial sector. ROLE: Once the loans have been sold to the fund and UniCredit S.p.A. become a holder of Fund's units, the bank no longer has a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit S.p.A. has all the risks arising from the performance of the fund's units and therefore from the management of the assets performed by DAVY and by the Advisor Pillarstone. MONITORING SYSTEMS: UniCredit S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION F.I.NAV Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: F.I.NAV Target transaction: The objective of the transaction is to optimize access to the capital market for debtors sold by UniCredit to the fund, leveraging on an industrial and strategic partner such as FINAV and on the sector expertise of Pillarstone and the Private Equity Fund KKR. Type of asset: Shipping loans Shipping loans Shipping loans Shipping loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Closing date: 02.19.201907.11.201908.02.201902.18.2020Nominal Value of reference portfolio (million): 183$ ; 3€ 15$; 6€ 36€ 42$ Net amount of preexisting writedown/writebacks (€ million): 114 8 12 31 Disposal Profit & Loss realised (€ million): (1) 7 1 3 Portfolio disposal price (million): 131$ 17$ 14$ 38$ Issued guarantees by the Bank: - - - - Issued guarantees by third parties: - - - - Bank Lines of Credit: - - - - Third Parties Lines of Credit: - - - - Other Credit Enhancements: - - - - Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005359754IT0005359754IT0005359754IT0005359754 . N° of units at the subscription 130,932,648 17,367,908 14,150,677 38,277,000 . Book Value at the subscription (million) 131$ 17$ 14$ 38$ . N° of units at the end of accounting period 130,932,648 17,367,908 14,150,677 38,277,623 . Book value at the end of accounting period (million) 102 14 11 30 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables554 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transactions from previous years GOALS - STRATEGIES - PROCESSES: UniCredit S.p.A., through the sale of debtors related to the shipping sector, aims to facilitate companies classified as "unlikely to pay" to improve their strategic positioning in their industrial sector. ROLE: Once the loans have been sold to the fund and UniCredit S.p.A. become a holder of Fund's units, the bank no longer has a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit S.p.A. has all the risks arising from the performance of the fund's units and therefore from the management of the assets performed by DAVY and by the Advisor Pillarstone. MONITORING SYSTEMS: UniCredit S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION F.I.NAV Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: F.I.NAV Target transaction: The objective of the transaction is to optimize access to the capital market for debtors sold by UniCredit to the fund, leveraging on an industrial and strategic partner such as FINAV and on the sector expertise of Pillarstone and the Private Equity Fund KKR. Type of asset: Shipping loans Shipping loans Shipping loans Shipping loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Closing date: 02.19.201907.11.201908.02.201902.18.2020Nominal Value of reference portfolio (million): 183$ ; 3€ 15$; 6€ 36€ 42$ Net amount of preexisting writedown/writebacks (€ million): 114 8 12 31 Disposal Profit & Loss realised (€ million): (1) 7 1 3 Portfolio disposal price (million): 131$ 17$ 14$ 38$ Issued guarantees by the Bank: - - - - Issued guarantees by third parties: - - - - Bank Lines of Credit: - - - - Third Parties Lines of Credit: - - - - Other Credit Enhancements: - - - - Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005359754IT0005359754IT0005359754IT0005359754 . N° of units at the subscription 130,932,648 17,367,908 14,150,677 38,277,000 . Book Value at the subscription (million) 131$ 17$ 14$ 38$ . N° of units at the end of accounting period 130,932,648 17,367,908 14,150,677 38,277,623 . Book value at the end of accounting period (million) 102 14 11 30 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables554 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transactions from previous years GOALS - STRATEGIES - PROCESSES: UniCredit S.p.A., through the sale of debtors related to the shipping sector, aims to facilitate companies classified as "unlikely to pay" to improve their strategic positioning in their industrial sector. ROLE: Once the loans have been sold to the fund and UniCredit S.p.A. become a holder of Fund's units, the bank no longer has a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit S.p.A. has all the risks arising from the performance of the fund's units and therefore from the management of the assets performed by DAVY and by the Advisor Pillarstone. MONITORING SYSTEMS: UniCredit S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION F.I.NAV Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: F.I.NAV Target transaction: The objective of the transaction is to optimize access to the capital market for debtors sold by UniCredit to the fund, leveraging on an industrial and strategic partner such as FINAV and on the sector expertise of Pillarstone and the Private Equity Fund KKR. Type of asset: Shipping loans Shipping loans Shipping loans Shipping loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Closing date: 02.19.201907.11.201908.02.201902.18.2020Nominal Value of reference portfolio (million): 183$ ; 3€ 15$; 6€ 36€ 42$ Net amount of preexisting writedown/writebacks (€ million): 114 8 12 31 Disposal Profit & Loss realised (€ million): (1) 7 1 3 Portfolio disposal price (million): 131$ 17$ 14$ 38$ Issued guarantees by the Bank: - - - - Issued guarantees by third parties: - - - - Bank Lines of Credit: - - - - Third Parties Lines of Credit: - - - - Other Credit Enhancements: - - - - Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005359754IT0005359754IT0005359754IT0005359754 . N° of units at the subscription 130,932,648 17,367,908 14,150,677 38,277,000 . Book Value at the subscription (million) 131$ 17$ 14$ 38$ . N° of units at the end of accounting period 130,932,648 17,367,908 14,150,677 38,277,623 . Book value at the end of accounting period (million) 102 14 11 30 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables554 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transactions from previous years GOALS - STRATEGIES - PROCESSES: UniCredit S.p.A., through the sale of debtors related to the shipping sector, aims to facilitate companies classified as "unlikely to pay" to improve their strategic positioning in their industrial sector. ROLE: Once the loans have been sold to the fund and UniCredit S.p.A. become a holder of Fund's units, the bank no longer has a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit S.p.A. has all the risks arising from the performance of the fund's units and therefore from the management of the assets performed by DAVY and by the Advisor Pillarstone. MONITORING SYSTEMS: UniCredit S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION F.I.NAV Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: F.I.NAV Target transaction: The objective of the transaction is to optimize access to the capital market for debtors sold by UniCredit to the fund, leveraging on an industrial and strategic partner such as FINAV and on the sector expertise of Pillarstone and the Private Equity Fund KKR. Type of asset: Shipping loans Shipping loans Shipping loans Shipping loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Closing date: 02.19.201907.11.201908.02.201902.18.2020Nominal Value of reference portfolio (million): 183$ ; 3€ 15$; 6€ 36€ 42$ Net amount of preexisting writedown/writebacks (€ million): 114 8 12 31 Disposal Profit & Loss realised (€ million): (1) 7 1 3 Portfolio disposal price (million): 131$ 17$ 14$ 38$ Issued guarantees by the Bank: - - - - Issued guarantees by third parties: - - - - Bank Lines of Credit: - - - - Third Parties Lines of Credit: - - - - Other Credit Enhancements: - - - - Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005359754IT0005359754IT0005359754IT0005359754 . N° of units at the subscription 130,932,648 17,367,908 14,150,677 38,277,000 . Book Value at the subscription (million) 131$ 17$ 14$ 38$ . N° of units at the end of accounting period 130,932,648 17,367,908 14,150,677 38,277,623 . Book value at the end of accounting period (million) 102 14 11 30 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tables554 2021 Annual Report and Accounts · UniCredit ORIGINATOR: UniCredit S.p.A. Transactions from previous years GOALS - STRATEGIES - PROCESSES: UniCredit S.p.A., through the sale of debtors related to the shipping sector, aims to facilitate companies classified as "unlikely to pay" to improve their strategic positioning in their industrial sector. ROLE: Once the loans have been sold to the fund and UniCredit S.p.A. become a holder of Fund's units, the bank no longer has a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit S.p.A. has all the risks arising from the performance of the fund's units and therefore from the management of the assets performed by DAVY and by the Advisor Pillarstone. MONITORING SYSTEMS: UniCredit S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION F.I.NAV Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit S.p.A. Investment Fund underwritten: F.I.NAV Target transaction: The objective of the transaction is to optimize access to the capital market for debtors sold by UniCredit to the fund, leveraging on an industrial and strategic partner such as FINAV and on the sector expertise of Pillarstone and the Private Equity Fund KKR. Type of asset: Shipping loans Shipping loans Shipping loans Shipping loans Quality of Asset: Unlikely to pay Unlikely to pay Unlikely to pay Unlikely to pay Closing date: 02.19.201907.11.201908.02.201902.18.2020Nominal Value of reference portfolio (million): 183$ ; 3€ 15$; 6€ 36€ 42$ Net amount of preexisting writedown/writebacks (€ million): 114 8 12 31 Disposal Profit & Loss realised (€ million): (1) 7 1 3 Portfolio disposal price (million): 131$ 17$ 14$ 38$ Issued guarantees by the Bank: - - - - Issued guarantees by third parties: - - - - Bank Lines of Credit: - - - - Third Parties Lines of Credit: - - - - Other Credit Enhancements: - - - - Other relevant information: The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. The assets sold have been derecognised from the balance sheet. Units of Investment Fund underwritten . Units subscriber UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. UniCredit S.p.A. . ISIN IT0005359754IT0005359754IT0005359754IT0005359754 . N° of units at the subscription 130,932,648 17,367,908 14,150,677 38,277,000 . Book Value at the subscription (million) 131$ 17$ 14$ 38$ . N° of units at the end of accounting period 130,932,648 17,367,908 14,150,677 38,277,623 . Book value at the end of accounting period (million) 102 14 11 30 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tablesUniCredit · 2021 Annual Report and Accounts 555 ORIGINATOR: UniCredit Leasing S.p.A. Transactions from previous years GOALS - STRATEGIES - PROCESSES: UniCredit Leasing S.p.A., through the sale of debtors to the fund, aims to reduce the stock of non-performing exposures of the Non Core perimeter, consistently with the Group's strategy of full rundown of this perimeter. ROLE: UniCredit Leasing S.p.A., once the loans have been sold to the fund and UniCredit Leasing S.p.A. become a holder of Fund's units, has no longer a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit Leasing S.p.A. has all the risks arising from the units of the fund managed by Prelios SGR and therefore from the performances of the Asset Manager and the advisor AMCO and Prelios S.p.A. MONITORING SYSTEMS: UniCredit Leasing S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION BACK2BONIS - PRELIOS Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit Leasing S.p.A. Investment Fund underwritten: BACK2BONIS - PRELIOS SGR S.p.A. Target transaction: Reduction NPL Type of asset: No. 1 real estate leasing transaction Quality of Asset: Unlikely to pay Closing date: 12.04.2020 Nominal Value of reference portfolio (million): 20 Net amount of preexisting write-down/write-backs (€ million): 5 Disposal Profit & Loss realised (€ million): - Portfolio disposal price (million): 8 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Units of Investment Fund underwritten . Units subscriber UniCredit Leasing S.p.A. . ISIN IT0005396327 . No. of units at the subscription 16.764 . Book Value at the subscription (million) 5 . No. of units at the end of accounting period 16.764 . Book value at the end of accounting period (million) 5 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tablesUniCredit · 2021 Annual Report and Accounts 555 ORIGINATOR: UniCredit Leasing S.p.A. Transactions from previous years GOALS - STRATEGIES - PROCESSES: UniCredit Leasing S.p.A., through the sale of debtors to the fund, aims to reduce the stock of non-performing exposures of the Non Core perimeter, consistently with the Group's strategy of full rundown of this perimeter. ROLE: UniCredit Leasing S.p.A., once the loans have been sold to the fund and UniCredit Leasing S.p.A. become a holder of Fund's units, has no longer a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit Leasing S.p.A. has all the risks arising from the units of the fund managed by Prelios SGR and therefore from the performances of the Asset Manager and the advisor AMCO and Prelios S.p.A. MONITORING SYSTEMS: UniCredit Leasing S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION BACK2BONIS - PRELIOS Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit Leasing S.p.A. Investment Fund underwritten: BACK2BONIS - PRELIOS SGR S.p.A. Target transaction: Reduction NPL Type of asset: No. 1 real estate leasing transaction Quality of Asset: Unlikely to pay Closing date: 12.04.2020 Nominal Value of reference portfolio (million): 20 Net amount of preexisting write-down/write-backs (€ million): 5 Disposal Profit & Loss realised (€ million): - Portfolio disposal price (million): 8 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Units of Investment Fund underwritten . Units subscriber UniCredit Leasing S.p.A. . ISIN IT0005396327 . No. of units at the subscription 16.764 . Book Value at the subscription (million) 5 . No. of units at the end of accounting period 16.764 . Book value at the end of accounting period (million) 5 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tablesUniCredit · 2021 Annual Report and Accounts 555 ORIGINATOR: UniCredit Leasing S.p.A. Transactions from previous years GOALS - STRATEGIES - PROCESSES: UniCredit Leasing S.p.A., through the sale of debtors to the fund, aims to reduce the stock of non-performing exposures of the Non Core perimeter, consistently with the Group's strategy of full rundown of this perimeter. ROLE: UniCredit Leasing S.p.A., once the loans have been sold to the fund and UniCredit Leasing S.p.A. become a holder of Fund's units, has no longer a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit Leasing S.p.A. has all the risks arising from the units of the fund managed by Prelios SGR and therefore from the performances of the Asset Manager and the advisor AMCO and Prelios S.p.A. MONITORING SYSTEMS: UniCredit Leasing S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION BACK2BONIS - PRELIOS Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit Leasing S.p.A. Investment Fund underwritten: BACK2BONIS - PRELIOS SGR S.p.A. Target transaction: Reduction NPL Type of asset: No. 1 real estate leasing transaction Quality of Asset: Unlikely to pay Closing date: 12.04.2020 Nominal Value of reference portfolio (million): 20 Net amount of preexisting write-down/write-backs (€ million): 5 Disposal Profit & Loss realised (€ million): - Portfolio disposal price (million): 8 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Units of Investment Fund underwritten . Units subscriber UniCredit Leasing S.p.A. . ISIN IT0005396327 . No. of units at the subscription 16.764 . Book Value at the subscription (million) 5 . No. of units at the end of accounting period 16.764 . Book value at the end of accounting period (million) 5 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tablesUniCredit · 2021 Annual Report and Accounts 555 ORIGINATOR: UniCredit Leasing S.p.A. Transactions from previous years GOALS - STRATEGIES - PROCESSES: UniCredit Leasing S.p.A., through the sale of debtors to the fund, aims to reduce the stock of non-performing exposures of the Non Core perimeter, consistently with the Group's strategy of full rundown of this perimeter. ROLE: UniCredit Leasing S.p.A., once the loans have been sold to the fund and UniCredit Leasing S.p.A. become a holder of Fund's units, has no longer a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit Leasing S.p.A. has all the risks arising from the units of the fund managed by Prelios SGR and therefore from the performances of the Asset Manager and the advisor AMCO and Prelios S.p.A. MONITORING SYSTEMS: UniCredit Leasing S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION BACK2BONIS - PRELIOS Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit Leasing S.p.A. Investment Fund underwritten: BACK2BONIS - PRELIOS SGR S.p.A. Target transaction: Reduction NPL Type of asset: No. 1 real estate leasing transaction Quality of Asset: Unlikely to pay Closing date: 12.04.2020 Nominal Value of reference portfolio (million): 20 Net amount of preexisting write-down/write-backs (€ million): 5 Disposal Profit & Loss realised (€ million): - Portfolio disposal price (million): 8 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Units of Investment Fund underwritten . Units subscriber UniCredit Leasing S.p.A. . ISIN IT0005396327 . No. of units at the subscription 16.764 . Book Value at the subscription (million) 5 . No. of units at the end of accounting period 16.764 . Book value at the end of accounting period (million) 5 Consolidated financial statements | Annexes Annex 4 - Sales of financial assets to investment funds, receivingas consideration units issued by the same funds - qualitative tablesUniCredit · 2021 Annual Report and Accounts 555 ORIGINATOR: UniCredit Leasing S.p.A. Transactions from previous years GOALS - STRATEGIES - PROCESSES: UniCredit Leasing S.p.A., through the sale of debtors to the fund, aims to reduce the stock of non-performing exposures of the Non Core perimeter, consistently with the Group's strategy of full rundown of this perimeter. ROLE: UniCredit Leasing S.p.A., once the loans have been sold to the fund and UniCredit Leasing S.p.A. become a holder of Fund's units, has no longer a role in managing the debtor, remaining a financial investor with no possibility of governance and management interference. RISKS RELATED TO THE TRANSACTION: UniCredit Leasing S.p.A. has all the risks arising from the units of the fund managed by Prelios SGR and therefore from the performances of the Asset Manager and the advisor AMCO and Prelios S.p.A. MONITORING SYSTEMS: UniCredit Leasing S.p.A. monitors the manager's performance through quarterly management reports and participation in supervisory committees (Advisory Board) without voting mechanisms and therefore without the possibility of management or administrative interference in the fund. NAME OF THE TRANSACTION BACK2BONIS - PRELIOS Type of transaction: Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund Originator: UniCredit Leasing S.p.A. Investment Fund underwritten: BACK2BONIS - PRELIOS SGR S.p.A. Target transaction: Reduction NPL Type of asset: No. 1 real estate leasing transaction Quality of Asset: Unlikely to pay Closing date: 12.04.2020 Nominal Value of reference portfolio (million): 20 Net amount of preexisting write-down/write-backs (€ million): 5 Disposal Profit & Loss realised (€ million): - Portfolio disposal price (million): 8 Issued guarantees by the Bank: - Issued guarantees by third parties: - Bank Lines of Credit: - Third Parties Lines of Credit: - Other Credit Enhancements: - Other relevant information: - Units of Investment Fund underwritten . Units subscriber UniCredit Leasing S.p.A. . ISIN IT0005396327 . No. of units at the subscription 16.764 . Book Value at the subscription (million) 5 . No. of units at the end of accounting period 16.764 . Book value at the end of accounting period (million) 5  556 2021 Annual Report and Accounts · UniCredit 556 2021 Annual Report and Accounts · UniCredit 556 2021 Annual Report and Accounts · UniCredit 556 2021 Annual Report and Accounts · UniCredit 556 2021 Annual Report and Accounts · UniCredit Unlock your potential 2021 Company Report and Accounts of UniCredit S.p.A.  558 2021 Annual Report and Accounts · UniCredit 558 2021 Annual Report and Accounts · UniCredit 558 2021 Annual Report and Accounts · UniCredit 558 2021 Annual Report and Accounts · UniCredit 558 2021 Annual Report and Accounts · UniCredit  Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 559 COMPANY REPORT AND ACCOUNTS 2021 OF UNICREDIT S.P.A. Report on operations 565 Introduction and highlights 565 Introduction to Report on operations of UniCredit S.p.A. 565 Highlights, alternative performance indicators and other measures 565 Reclassified company account 569 Results of the year 573 Main results and performance for the period 573 The income statement 573 The balance sheet 577 Capital and Value Management 581 Principles of value creation and disciplined capital allocation 581 Capital ratios 581 Capital strengthening 581 Shareholders’ equity 582 Shareholders 583 Treasury shares 584 Company activities 585 Other information 587 Group activities development operations and other corporate transactions 587 Conversion of Deferred tax assets (DTAs) into tax credits 587 Certifications and other communications 587 Information on risks 587 Subsequent events and outlook 588 Subsequent events 588 Outlook 589 Proposals to the Shareholders’ Meeting 591 Company financial statements 593 Company accounts 593 Balance sheet 593 Income statement 594 Statement of comprehensive income 595 Statement of changes in shareholders’e equity 596 Cash flow statement 598 Notes to the accounts 601 Part A - Accounting policies 601 A.1 - General 601 Section 1 - Statement of compliance with IFRS 601 Section 2 - General Preparation Criteria 601 Section 3 - Subsequent events 606 Section 4 - Other matters 607 A.2 - Main items of the accounts 613 A.3 - Information on transfers between portfolios of financial assets 618 A.4 - Information on fair value 618 A.5 - Information on “day one profit/loss” 629 Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 559 COMPANY REPORT AND ACCOUNTS 2021 OF UNICREDIT S.P.A. Report on operations 565 Introduction and highlights 565 Introduction to Report on operations of UniCredit S.p.A. 565 Highlights, alternative performance indicators and other measures 565 Reclassified company account 569 Results of the year 573 Main results and performance for the period 573 The income statement 573 The balance sheet 577 Capital and Value Management 581 Principles of value creation and disciplined capital allocation 581 Capital ratios 581 Capital strengthening 581 Shareholders’ equity 582 Shareholders 583 Treasury shares 584 Company activities 585 Other information 587 Group activities development operations and other corporate transactions 587 Conversion of Deferred tax assets (DTAs) into tax credits 587 Certifications and other communications 587 Information on risks 587 Subsequent events and outlook 588 Subsequent events 588 Outlook 589 Proposals to the Shareholders’ Meeting 591 Company financial statements 593 Company accounts 593 Balance sheet 593 Income statement 594 Statement of comprehensive income 595 Statement of changes in shareholders’e equity 596 Cash flow statement 598 Notes to the accounts 601 Part A - Accounting policies 601 A.1 - General 601 Section 1 - Statement of compliance with IFRS 601 Section 2 - General Preparation Criteria 601 Section 3 - Subsequent events 606 Section 4 - Other matters 607 A.2 - Main items of the accounts 613 A.3 - Information on transfers between portfolios of financial assets 618 A.4 - Information on fair value 618 A.5 - Information on “day one profit/loss” 629 Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 559 COMPANY REPORT AND ACCOUNTS 2021 OF UNICREDIT S.P.A. Report on operations 565 Introduction and highlights 565 Introduction to Report on operations of UniCredit S.p.A. 565 Highlights, alternative performance indicators and other measures 565 Reclassified company account 569 Results of the year 573 Main results and performance for the period 573 The income statement 573 The balance sheet 577 Capital and Value Management 581 Principles of value creation and disciplined capital allocation 581 Capital ratios 581 Capital strengthening 581 Shareholders’ equity 582 Shareholders 583 Treasury shares 584 Company activities 585 Other information 587 Group activities development operations and other corporate transactions 587 Conversion of Deferred tax assets (DTAs) into tax credits 587 Certifications and other communications 587 Information on risks 587 Subsequent events and outlook 588 Subsequent events 588 Outlook 589 Proposals to the Shareholders’ Meeting 591 Company financial statements 593 Company accounts 593 Balance sheet 593 Income statement 594 Statement of comprehensive income 595 Statement of changes in shareholders’e equity 596 Cash flow statement 598 Notes to the accounts 601 Part A - Accounting policies 601 A.1 - General 601 Section 1 - Statement of compliance with IFRS 601 Section 2 - General Preparation Criteria 601 Section 3 - Subsequent events 606 Section 4 - Other matters 607 A.2 - Main items of the accounts 613 A.3 - Information on transfers between portfolios of financial assets 618 A.4 - Information on fair value 618 A.5 - Information on “day one profit/loss” 629 Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 559 COMPANY REPORT AND ACCOUNTS 2021 OF UNICREDIT S.P.A. Report on operations 565 Introduction and highlights 565 Introduction to Report on operations of UniCredit S.p.A. 565 Highlights, alternative performance indicators and other measures 565 Reclassified company account 569 Results of the year 573 Main results and performance for the period 573 The income statement 573 The balance sheet 577 Capital and Value Management 581 Principles of value creation and disciplined capital allocation 581 Capital ratios 581 Capital strengthening 581 Shareholders’ equity 582 Shareholders 583 Treasury shares 584 Company activities 585 Other information 587 Group activities development operations and other corporate transactions 587 Conversion of Deferred tax assets (DTAs) into tax credits 587 Certifications and other communications 587 Information on risks 587 Subsequent events and outlook 588 Subsequent events 588 Outlook 589 Proposals to the Shareholders’ Meeting 591 Company financial statements 593 Company accounts 593 Balance sheet 593 Income statement 594 Statement of comprehensive income 595 Statement of changes in shareholders’e equity 596 Cash flow statement 598 Notes to the accounts 601 Part A - Accounting policies 601 A.1 - General 601 Section 1 - Statement of compliance with IFRS 601 Section 2 - General Preparation Criteria 601 Section 3 - Subsequent events 606 Section 4 - Other matters 607 A.2 - Main items of the accounts 613 A.3 - Information on transfers between portfolios of financial assets 618 A.4 - Information on fair value 618 A.5 - Information on “day one profit/loss” 629 Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 559 COMPANY REPORT AND ACCOUNTS 2021 OF UNICREDIT S.P.A. Report on operations 565 Introduction and highlights 565 Introduction to Report on operations of UniCredit S.p.A. 565 Highlights, alternative performance indicators and other measures 565 Reclassified company account 569 Results of the year 573 Main results and performance for the period 573 The income statement 573 The balance sheet 577 Capital and Value Management 581 Principles of value creation and disciplined capital allocation 581 Capital ratios 581 Capital strengthening 581 Shareholders’ equity 582 Shareholders 583 Treasury shares 584 Company activities 585 Other information 587 Group activities development operations and other corporate transactions 587 Conversion of Deferred tax assets (DTAs) into tax credits 587 Certifications and other communications 587 Information on risks 587 Subsequent events and outlook 588 Subsequent events 588 Outlook 589 Proposals to the Shareholders’ Meeting 591 Company financial statements 593 Company accounts 593 Balance sheet 593 Income statement 594 Statement of comprehensive income 595 Statement of changes in shareholders’e equity 596 Cash flow statement 598 Notes to the accounts 601 Part A - Accounting policies 601 A.1 - General 601 Section 1 - Statement of compliance with IFRS 601 Section 2 - General Preparation Criteria 601 Section 3 - Subsequent events 606 Section 4 - Other matters 607 A.2 - Main items of the accounts 613 A.3 - Information on transfers between portfolios of financial assets 618 A.4 - Information on fair value 618 A.5 - Information on “day one profit/loss” 629  Company report and Accounts 2021 of UniCredit S.p.A. 560 2021 Annual Report and Accounts · UniCredit Part B - Balance sheet 630 Assets 630 Section 1 - Cash and cash balances - Item 10 630 Section 2 - Financial assets at fair value through profit or loss - Item 20 630 Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II) 633 Information about the investment in the Schema Volontario 633 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 635 Information about the shareholding in Banca d'Italia 636 Section 4 - Financial assets at amortised cost - Item 40 637 Section 5 - Hedging derivatives - Item 50 640 Section 6 - Changes in fair value of portfolio hedged items - Item 60 641 Section 7 - Equity investments - Item 70 641 Section 8 - Property, plant and equipment - Item 80 645 Section 9 - Intangible assets - Item 90 648 Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) 650 Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 110 (Assets) and Item 70 (Liabilities) 656 Section 12 - Other assets - Item 120 657 Liabilities 659 Section 1 - Financial liabilities at amortised cost - Item 10 659 Section 2 - Financial liabilities held for trading - Item 20 661 Section 3 - Financial liabilities designated at fair value - Item 30 662 Section 4 - Hedging derivatives - Item 40 663 Section 5 - Value adjustment of hedged financial liabilities - Item 50 663 Section 6 - Tax liabilities - Item 60 664 Section 7 - Liabilities associated with assets classified as held for sale - Item 70 664 Section 8 - Other liabilities - Item 80 664 Section 9 - Provision for employee severance pay - Item 90 665 Section 10 - Provisions for risks and charges - Item 100 666 Section 11 - Redeemable shares - Item 120 669 Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 670 Other information 674 Part C - Income statement 677 Section 1 - Interests - Items 10 and 20 677 Section 2 - Fees and commissions - Items 40 and 50 679 Section 3 - Dividend income and similar revenue - Item 70 681 Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 682 Section 5 - Fair value adjustments in hedge accounting - Item 90 682 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 683 Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 683 Section 8 - Net losses/recoveries on credit impairment - Item 130 684 Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 686 Section 10 - Administrative expenses - Item 160 686 Contributions to Resolution and Guarantee funds 688 Guarantee fees for DTA conversion 688 Company report and Accounts 2021 of UniCredit S.p.A. 560 2021 Annual Report and Accounts · UniCredit Part B - Balance sheet 630 Assets 630 Section 1 - Cash and cash balances - Item 10 630 Section 2 - Financial assets at fair value through profit or loss - Item 20 630 Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II) 633 Information about the investment in the Schema Volontario 633 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 635 Information about the shareholding in Banca d'Italia 636 Section 4 - Financial assets at amortised cost - Item 40 637 Section 5 - Hedging derivatives - Item 50 640 Section 6 - Changes in fair value of portfolio hedged items - Item 60 641 Section 7 - Equity investments - Item 70 641 Section 8 - Property, plant and equipment - Item 80 645 Section 9 - Intangible assets - Item 90 648 Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) 650 Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 110 (Assets) and Item 70 (Liabilities) 656 Section 12 - Other assets - Item 120 657 Liabilities 659 Section 1 - Financial liabilities at amortised cost - Item 10 659 Section 2 - Financial liabilities held for trading - Item 20 661 Section 3 - Financial liabilities designated at fair value - Item 30 662 Section 4 - Hedging derivatives - Item 40 663 Section 5 - Value adjustment of hedged financial liabilities - Item 50 663 Section 6 - Tax liabilities - Item 60 664 Section 7 - Liabilities associated with assets classified as held for sale - Item 70 664 Section 8 - Other liabilities - Item 80 664 Section 9 - Provision for employee severance pay - Item 90 665 Section 10 - Provisions for risks and charges - Item 100 666 Section 11 - Redeemable shares - Item 120 669 Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 670 Other information 674 Part C - Income statement 677 Section 1 - Interests - Items 10 and 20 677 Section 2 - Fees and commissions - Items 40 and 50 679 Section 3 - Dividend income and similar revenue - Item 70 681 Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 682 Section 5 - Fair value adjustments in hedge accounting - Item 90 682 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 683 Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 683 Section 8 - Net losses/recoveries on credit impairment - Item 130 684 Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 686 Section 10 - Administrative expenses - Item 160 686 Contributions to Resolution and Guarantee funds 688 Guarantee fees for DTA conversion 688 Company report and Accounts 2021 of UniCredit S.p.A. 560 2021 Annual Report and Accounts · UniCredit Part B - Balance sheet 630 Assets 630 Section 1 - Cash and cash balances - Item 10 630 Section 2 - Financial assets at fair value through profit or loss - Item 20 630 Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II) 633 Information about the investment in the Schema Volontario 633 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 635 Information about the shareholding in Banca d'Italia 636 Section 4 - Financial assets at amortised cost - Item 40 637 Section 5 - Hedging derivatives - Item 50 640 Section 6 - Changes in fair value of portfolio hedged items - Item 60 641 Section 7 - Equity investments - Item 70 641 Section 8 - Property, plant and equipment - Item 80 645 Section 9 - Intangible assets - Item 90 648 Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) 650 Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 110 (Assets) and Item 70 (Liabilities) 656 Section 12 - Other assets - Item 120 657 Liabilities 659 Section 1 - Financial liabilities at amortised cost - Item 10 659 Section 2 - Financial liabilities held for trading - Item 20 661 Section 3 - Financial liabilities designated at fair value - Item 30 662 Section 4 - Hedging derivatives - Item 40 663 Section 5 - Value adjustment of hedged financial liabilities - Item 50 663 Section 6 - Tax liabilities - Item 60 664 Section 7 - Liabilities associated with assets classified as held for sale - Item 70 664 Section 8 - Other liabilities - Item 80 664 Section 9 - Provision for employee severance pay - Item 90 665 Section 10 - Provisions for risks and charges - Item 100 666 Section 11 - Redeemable shares - Item 120 669 Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 670 Other information 674 Part C - Income statement 677 Section 1 - Interests - Items 10 and 20 677 Section 2 - Fees and commissions - Items 40 and 50 679 Section 3 - Dividend income and similar revenue - Item 70 681 Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 682 Section 5 - Fair value adjustments in hedge accounting - Item 90 682 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 683 Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 683 Section 8 - Net losses/recoveries on credit impairment - Item 130 684 Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 686 Section 10 - Administrative expenses - Item 160 686 Contributions to Resolution and Guarantee funds 688 Guarantee fees for DTA conversion 688 Company report and Accounts 2021 of UniCredit S.p.A. 560 2021 Annual Report and Accounts · UniCredit Part B - Balance sheet 630 Assets 630 Section 1 - Cash and cash balances - Item 10 630 Section 2 - Financial assets at fair value through profit or loss - Item 20 630 Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II) 633 Information about the investment in the Schema Volontario 633 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 635 Information about the shareholding in Banca d'Italia 636 Section 4 - Financial assets at amortised cost - Item 40 637 Section 5 - Hedging derivatives - Item 50 640 Section 6 - Changes in fair value of portfolio hedged items - Item 60 641 Section 7 - Equity investments - Item 70 641 Section 8 - Property, plant and equipment - Item 80 645 Section 9 - Intangible assets - Item 90 648 Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) 650 Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 110 (Assets) and Item 70 (Liabilities) 656 Section 12 - Other assets - Item 120 657 Liabilities 659 Section 1 - Financial liabilities at amortised cost - Item 10 659 Section 2 - Financial liabilities held for trading - Item 20 661 Section 3 - Financial liabilities designated at fair value - Item 30 662 Section 4 - Hedging derivatives - Item 40 663 Section 5 - Value adjustment of hedged financial liabilities - Item 50 663 Section 6 - Tax liabilities - Item 60 664 Section 7 - Liabilities associated with assets classified as held for sale - Item 70 664 Section 8 - Other liabilities - Item 80 664 Section 9 - Provision for employee severance pay - Item 90 665 Section 10 - Provisions for risks and charges - Item 100 666 Section 11 - Redeemable shares - Item 120 669 Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 670 Other information 674 Part C - Income statement 677 Section 1 - Interests - Items 10 and 20 677 Section 2 - Fees and commissions - Items 40 and 50 679 Section 3 - Dividend income and similar revenue - Item 70 681 Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 682 Section 5 - Fair value adjustments in hedge accounting - Item 90 682 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 683 Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 683 Section 8 - Net losses/recoveries on credit impairment - Item 130 684 Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 686 Section 10 - Administrative expenses - Item 160 686 Contributions to Resolution and Guarantee funds 688 Guarantee fees for DTA conversion 688 Company report and Accounts 2021 of UniCredit S.p.A. 560 2021 Annual Report and Accounts · UniCredit Part B - Balance sheet 630 Assets 630 Section 1 - Cash and cash balances - Item 10 630 Section 2 - Financial assets at fair value through profit or loss - Item 20 630 Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II) 633 Information about the investment in the Schema Volontario 633 Section 3 - Financial assets at fair value through other comprehensive income - Item 30 635 Information about the shareholding in Banca d'Italia 636 Section 4 - Financial assets at amortised cost - Item 40 637 Section 5 - Hedging derivatives - Item 50 640 Section 6 - Changes in fair value of portfolio hedged items - Item 60 641 Section 7 - Equity investments - Item 70 641 Section 8 - Property, plant and equipment - Item 80 645 Section 9 - Intangible assets - Item 90 648 Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) 650 Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 110 (Assets) and Item 70 (Liabilities) 656 Section 12 - Other assets - Item 120 657 Liabilities 659 Section 1 - Financial liabilities at amortised cost - Item 10 659 Section 2 - Financial liabilities held for trading - Item 20 661 Section 3 - Financial liabilities designated at fair value - Item 30 662 Section 4 - Hedging derivatives - Item 40 663 Section 5 - Value adjustment of hedged financial liabilities - Item 50 663 Section 6 - Tax liabilities - Item 60 664 Section 7 - Liabilities associated with assets classified as held for sale - Item 70 664 Section 8 - Other liabilities - Item 80 664 Section 9 - Provision for employee severance pay - Item 90 665 Section 10 - Provisions for risks and charges - Item 100 666 Section 11 - Redeemable shares - Item 120 669 Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 670 Other information 674 Part C - Income statement 677 Section 1 - Interests - Items 10 and 20 677 Section 2 - Fees and commissions - Items 40 and 50 679 Section 3 - Dividend income and similar revenue - Item 70 681 Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 682 Section 5 - Fair value adjustments in hedge accounting - Item 90 682 Section 6 - Gains (Losses) on disposals/repurchases - Item 100 683 Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 683 Section 8 - Net losses/recoveries on credit impairment - Item 130 684 Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 686 Section 10 - Administrative expenses - Item 160 686 Contributions to Resolution and Guarantee funds 688 Guarantee fees for DTA conversion 688  Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 561 Section 11 - Net provisions for risks and charges - Item 170 689 Section 12 - Net value adjustments/write-backs on property, plant and equipment - Item 180 689 Section 13 - Net value adjustments/write-backs on intangible assets - Item 190 690 Section 14 - Other operating expenses/income - Item 200 690 Section 15 - Gains (Losses) of equity investments - Item 220 691 Section 16 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 230 691 Section 17 - Goodwill impairment - Item 240 691 Section 18 - Gains (Losses) on disposals on investments - Item 250 692 Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 692 Section 20 - Profit (Loss) after tax from discontinued operations - Item 290 694 Section 21 - Other information 695 Section 22 - Earnings per share 696 Part D - Comprehensive income 697 Part E - Information on risks and hedging policies 698 Introduction 698 Section 1 - Credit risk 698 Qualitative information 698 1. General aspects 698 2. Credit risk management policies 698 3. Non-performing credit exposures 700 4. Financial assets subject to commercial renegotiations and forborne exposures 702 Quantitative information 703 A. Credit quality 703 B. Distribution and concentration of credit exposures 719 C. Securitisation transactions 721 D. Information on structured entities not consolidated for accounting purposes (other than vehicles for securitisation transactions) 724 E. Sales transaction 725 F. Credit risk measurement models 729 Section 2 - Market risk 730 2.1 Interest rate risk and price risk - Regulatory trading book 730 Qualitative information 730 Quantitative information 731 2.2 Interest rate and price risk - Banking book 732 Qualitative information 732 Quantitative information 732 2.3 Exchange rate risk 735 Qualitative information 735 Quantitative information 735 Credit spread risk and Stress test 736 Section 3 - Derivative instruments and hedging policies 736 3.1 Trading financial derivatives 736 A. Financial derivatives 736 B. Credit derivatives 739 3.2 Hedging policies 739 Qualitative information 739 Quantitative information 741 Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 561 Section 11 - Net provisions for risks and charges - Item 170 689 Section 12 - Net value adjustments/write-backs on property, plant and equipment - Item 180 689 Section 13 - Net value adjustments/write-backs on intangible assets - Item 190 690 Section 14 - Other operating expenses/income - Item 200 690 Section 15 - Gains (Losses) of equity investments - Item 220 691 Section 16 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 230 691 Section 17 - Goodwill impairment - Item 240 691 Section 18 - Gains (Losses) on disposals on investments - Item 250 692 Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 692 Section 20 - Profit (Loss) after tax from discontinued operations - Item 290 694 Section 21 - Other information 695 Section 22 - Earnings per share 696 Part D - Comprehensive income 697 Part E - Information on risks and hedging policies 698 Introduction 698 Section 1 - Credit risk 698 Qualitative information 698 1. General aspects 698 2. Credit risk management policies 698 3. Non-performing credit exposures 700 4. Financial assets subject to commercial renegotiations and forborne exposures 702 Quantitative information 703 A. Credit quality 703 B. Distribution and concentration of credit exposures 719 C. Securitisation transactions 721 D. Information on structured entities not consolidated for accounting purposes (other than vehicles for securitisation transactions) 724 E. Sales transaction 725 F. Credit risk measurement models 729 Section 2 - Market risk 730 2.1 Interest rate risk and price risk - Regulatory trading book 730 Qualitative information 730 Quantitative information 731 2.2 Interest rate and price risk - Banking book 732 Qualitative information 732 Quantitative information 732 2.3 Exchange rate risk 735 Qualitative information 735 Quantitative information 735 Credit spread risk and Stress test 736 Section 3 - Derivative instruments and hedging policies 736 3.1 Trading financial derivatives 736 A. Financial derivatives 736 B. Credit derivatives 739 3.2 Hedging policies 739 Qualitative information 739 Quantitative information 741 Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 561 Section 11 - Net provisions for risks and charges - Item 170 689 Section 12 - Net value adjustments/write-backs on property, plant and equipment - Item 180 689 Section 13 - Net value adjustments/write-backs on intangible assets - Item 190 690 Section 14 - Other operating expenses/income - Item 200 690 Section 15 - Gains (Losses) of equity investments - Item 220 691 Section 16 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 230 691 Section 17 - Goodwill impairment - Item 240 691 Section 18 - Gains (Losses) on disposals on investments - Item 250 692 Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 692 Section 20 - Profit (Loss) after tax from discontinued operations - Item 290 694 Section 21 - Other information 695 Section 22 - Earnings per share 696 Part D - Comprehensive income 697 Part E - Information on risks and hedging policies 698 Introduction 698 Section 1 - Credit risk 698 Qualitative information 698 1. General aspects 698 2. Credit risk management policies 698 3. Non-performing credit exposures 700 4. Financial assets subject to commercial renegotiations and forborne exposures 702 Quantitative information 703 A. Credit quality 703 B. Distribution and concentration of credit exposures 719 C. Securitisation transactions 721 D. Information on structured entities not consolidated for accounting purposes (other than vehicles for securitisation transactions) 724 E. Sales transaction 725 F. Credit risk measurement models 729 Section 2 - Market risk 730 2.1 Interest rate risk and price risk - Regulatory trading book 730 Qualitative information 730 Quantitative information 731 2.2 Interest rate and price risk - Banking book 732 Qualitative information 732 Quantitative information 732 2.3 Exchange rate risk 735 Qualitative information 735 Quantitative information 735 Credit spread risk and Stress test 736 Section 3 - Derivative instruments and hedging policies 736 3.1 Trading financial derivatives 736 A. Financial derivatives 736 B. Credit derivatives 739 3.2 Hedging policies 739 Qualitative information 739 Quantitative information 741 Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 561 Section 11 - Net provisions for risks and charges - Item 170 689 Section 12 - Net value adjustments/write-backs on property, plant and equipment - Item 180 689 Section 13 - Net value adjustments/write-backs on intangible assets - Item 190 690 Section 14 - Other operating expenses/income - Item 200 690 Section 15 - Gains (Losses) of equity investments - Item 220 691 Section 16 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 230 691 Section 17 - Goodwill impairment - Item 240 691 Section 18 - Gains (Losses) on disposals on investments - Item 250 692 Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 692 Section 20 - Profit (Loss) after tax from discontinued operations - Item 290 694 Section 21 - Other information 695 Section 22 - Earnings per share 696 Part D - Comprehensive income 697 Part E - Information on risks and hedging policies 698 Introduction 698 Section 1 - Credit risk 698 Qualitative information 698 1. General aspects 698 2. Credit risk management policies 698 3. Non-performing credit exposures 700 4. Financial assets subject to commercial renegotiations and forborne exposures 702 Quantitative information 703 A. Credit quality 703 B. Distribution and concentration of credit exposures 719 C. Securitisation transactions 721 D. Information on structured entities not consolidated for accounting purposes (other than vehicles for securitisation transactions) 724 E. Sales transaction 725 F. Credit risk measurement models 729 Section 2 - Market risk 730 2.1 Interest rate risk and price risk - Regulatory trading book 730 Qualitative information 730 Quantitative information 731 2.2 Interest rate and price risk - Banking book 732 Qualitative information 732 Quantitative information 732 2.3 Exchange rate risk 735 Qualitative information 735 Quantitative information 735 Credit spread risk and Stress test 736 Section 3 - Derivative instruments and hedging policies 736 3.1 Trading financial derivatives 736 A. Financial derivatives 736 B. Credit derivatives 739 3.2 Hedging policies 739 Qualitative information 739 Quantitative information 741 Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 561 Section 11 - Net provisions for risks and charges - Item 170 689 Section 12 - Net value adjustments/write-backs on property, plant and equipment - Item 180 689 Section 13 - Net value adjustments/write-backs on intangible assets - Item 190 690 Section 14 - Other operating expenses/income - Item 200 690 Section 15 - Gains (Losses) of equity investments - Item 220 691 Section 16 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 230 691 Section 17 - Goodwill impairment - Item 240 691 Section 18 - Gains (Losses) on disposals on investments - Item 250 692 Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 692 Section 20 - Profit (Loss) after tax from discontinued operations - Item 290 694 Section 21 - Other information 695 Section 22 - Earnings per share 696 Part D - Comprehensive income 697 Part E - Information on risks and hedging policies 698 Introduction 698 Section 1 - Credit risk 698 Qualitative information 698 1. General aspects 698 2. Credit risk management policies 698 3. Non-performing credit exposures 700 4. Financial assets subject to commercial renegotiations and forborne exposures 702 Quantitative information 703 A. Credit quality 703 B. Distribution and concentration of credit exposures 719 C. Securitisation transactions 721 D. Information on structured entities not consolidated for accounting purposes (other than vehicles for securitisation transactions) 724 E. Sales transaction 725 F. Credit risk measurement models 729 Section 2 - Market risk 730 2.1 Interest rate risk and price risk - Regulatory trading book 730 Qualitative information 730 Quantitative information 731 2.2 Interest rate and price risk - Banking book 732 Qualitative information 732 Quantitative information 732 2.3 Exchange rate risk 735 Qualitative information 735 Quantitative information 735 Credit spread risk and Stress test 736 Section 3 - Derivative instruments and hedging policies 736 3.1 Trading financial derivatives 736 A. Financial derivatives 736 B. Credit derivatives 739 3.2 Hedging policies 739 Qualitative information 739 Quantitative information 741  Company report and Accounts 2021 of UniCredit S.p.A. 562 2021 Annual Report and Accounts · UniCredit 3.3 Other information on derivatives instruments (trading and hedging) 744 A. Financial and credit derivatives 744 Section 4 - Liquidity risk 744 Qualitative information 744 Quantitative information 744 Section 5 - Operational risk 747 Qualitative information 747 A. General aspects, operational processes and methods for measuring operational risk 747 B. Risks arising from legal disputes 747 C. Risks arising from employment law cases 747 D. Risks arising from tax disputes 747 E. Other claims by customers 747 Quantitative information 749 Section 6 - Other risks 749 Other risks included in Economic capital 749 Reputational risk 749 Top and emerging risks 749 Part F - Shareholders’ equity 750 Section 1 - Shareholders’ equity 750 A. Qualitative information 750 B. Quantitative information 750 Section 2 - Own funds and regulatory ratios 751 Part G - Business combinations 752 Section 1 - Business combinations completed in the year 752 Section 2 - Business Combinations completed after year-end 752 Section 3 - Retrospective adjustments 752 Part H - Related-party transactions 753 Introduction 753 1. Details of Key management personnels’ compensation 753 2. Related-party transactions 754 Part I - Share-based payments 756 A. Qualitative information 756 1. Description of payment agreements based on own equity instruments 756 B. Quantitative information 756 1. Annual changes 756 2. Other information 756 Part L - Segment reporting 757 Part M - Information on leases 758 Section 1 - Lessee 758 Qualitative information 758 Quantitative information 758 Section 2 - Lessor 759 Qualitative information 759 Quantitative information 759 Company report and Accounts 2021 of UniCredit S.p.A. 562 2021 Annual Report and Accounts · UniCredit 3.3 Other information on derivatives instruments (trading and hedging) 744 A. Financial and credit derivatives 744 Section 4 - Liquidity risk 744 Qualitative information 744 Quantitative information 744 Section 5 - Operational risk 747 Qualitative information 747 A. General aspects, operational processes and methods for measuring operational risk 747 B. Risks arising from legal disputes 747 C. Risks arising from employment law cases 747 D. Risks arising from tax disputes 747 E. Other claims by customers 747 Quantitative information 749 Section 6 - Other risks 749 Other risks included in Economic capital 749 Reputational risk 749 Top and emerging risks 749 Part F - Shareholders’ equity 750 Section 1 - Shareholders’ equity 750 A. Qualitative information 750 B. Quantitative information 750 Section 2 - Own funds and regulatory ratios 751 Part G - Business combinations 752 Section 1 - Business combinations completed in the year 752 Section 2 - Business Combinations completed after year-end 752 Section 3 - Retrospective adjustments 752 Part H - Related-party transactions 753 Introduction 753 1. Details of Key management personnels’ compensation 753 2. Related-party transactions 754 Part I - Share-based payments 756 A. Qualitative information 756 1. Description of payment agreements based on own equity instruments 756 B. Quantitative information 756 1. Annual changes 756 2. Other information 756 Part L - Segment reporting 757 Part M - Information on leases 758 Section 1 - Lessee 758 Qualitative information 758 Quantitative information 758 Section 2 - Lessor 759 Qualitative information 759 Quantitative information 759 Company report and Accounts 2021 of UniCredit S.p.A. 562 2021 Annual Report and Accounts · UniCredit 3.3 Other information on derivatives instruments (trading and hedging) 744 A. Financial and credit derivatives 744 Section 4 - Liquidity risk 744 Qualitative information 744 Quantitative information 744 Section 5 - Operational risk 747 Qualitative information 747 A. General aspects, operational processes and methods for measuring operational risk 747 B. Risks arising from legal disputes 747 C. Risks arising from employment law cases 747 D. Risks arising from tax disputes 747 E. Other claims by customers 747 Quantitative information 749 Section 6 - Other risks 749 Other risks included in Economic capital 749 Reputational risk 749 Top and emerging risks 749 Part F - Shareholders’ equity 750 Section 1 - Shareholders’ equity 750 A. Qualitative information 750 B. Quantitative information 750 Section 2 - Own funds and regulatory ratios 751 Part G - Business combinations 752 Section 1 - Business combinations completed in the year 752 Section 2 - Business Combinations completed after year-end 752 Section 3 - Retrospective adjustments 752 Part H - Related-party transactions 753 Introduction 753 1. Details of Key management personnels’ compensation 753 2. Related-party transactions 754 Part I - Share-based payments 756 A. Qualitative information 756 1. Description of payment agreements based on own equity instruments 756 B. Quantitative information 756 1. Annual changes 756 2. Other information 756 Part L - Segment reporting 757 Part M - Information on leases 758 Section 1 - Lessee 758 Qualitative information 758 Quantitative information 758 Section 2 - Lessor 759 Qualitative information 759 Quantitative information 759 Company report and Accounts 2021 of UniCredit S.p.A. 562 2021 Annual Report and Accounts · UniCredit 3.3 Other information on derivatives instruments (trading and hedging) 744 A. Financial and credit derivatives 744 Section 4 - Liquidity risk 744 Qualitative information 744 Quantitative information 744 Section 5 - Operational risk 747 Qualitative information 747 A. General aspects, operational processes and methods for measuring operational risk 747 B. Risks arising from legal disputes 747 C. Risks arising from employment law cases 747 D. Risks arising from tax disputes 747 E. Other claims by customers 747 Quantitative information 749 Section 6 - Other risks 749 Other risks included in Economic capital 749 Reputational risk 749 Top and emerging risks 749 Part F - Shareholders’ equity 750 Section 1 - Shareholders’ equity 750 A. Qualitative information 750 B. Quantitative information 750 Section 2 - Own funds and regulatory ratios 751 Part G - Business combinations 752 Section 1 - Business combinations completed in the year 752 Section 2 - Business Combinations completed after year-end 752 Section 3 - Retrospective adjustments 752 Part H - Related-party transactions 753 Introduction 753 1. Details of Key management personnels’ compensation 753 2. Related-party transactions 754 Part I - Share-based payments 756 A. Qualitative information 756 1. Description of payment agreements based on own equity instruments 756 B. Quantitative information 756 1. Annual changes 756 2. Other information 756 Part L - Segment reporting 757 Part M - Information on leases 758 Section 1 - Lessee 758 Qualitative information 758 Quantitative information 758 Section 2 - Lessor 759 Qualitative information 759 Quantitative information 759 Company report and Accounts 2021 of UniCredit S.p.A. 562 2021 Annual Report and Accounts · UniCredit 3.3 Other information on derivatives instruments (trading and hedging) 744 A. Financial and credit derivatives 744 Section 4 - Liquidity risk 744 Qualitative information 744 Quantitative information 744 Section 5 - Operational risk 747 Qualitative information 747 A. General aspects, operational processes and methods for measuring operational risk 747 B. Risks arising from legal disputes 747 C. Risks arising from employment law cases 747 D. Risks arising from tax disputes 747 E. Other claims by customers 747 Quantitative information 749 Section 6 - Other risks 749 Other risks included in Economic capital 749 Reputational risk 749 Top and emerging risks 749 Part F - Shareholders’ equity 750 Section 1 - Shareholders’ equity 750 A. Qualitative information 750 B. Quantitative information 750 Section 2 - Own funds and regulatory ratios 751 Part G - Business combinations 752 Section 1 - Business combinations completed in the year 752 Section 2 - Business Combinations completed after year-end 752 Section 3 - Retrospective adjustments 752 Part H - Related-party transactions 753 Introduction 753 1. Details of Key management personnels’ compensation 753 2. Related-party transactions 754 Part I - Share-based payments 756 A. Qualitative information 756 1. Description of payment agreements based on own equity instruments 756 B. Quantitative information 756 1. Annual changes 756 2. Other information 756 Part L - Segment reporting 757 Part M - Information on leases 758 Section 1 - Lessee 758 Qualitative information 758 Quantitative information 758 Section 2 - Lessor 759 Qualitative information 759 Quantitative information 759  Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 563 Certification 763 Reports and resolutions 765 Report of the Board of Statutory Auditors 765 Report of the external auditors 797 Ordinary Shareholders’ Meeting resolution of 8 April 2022 811 Annexes 815 Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 815 Annex 2 - Audit fees and other non-audit services 819 Annex 3 - Internal pension funds: statement of changes in the year and final accounts 820 Annex 4 - Securitisations - qualitative tables 822 Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables 823 Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 563 Certification 763 Reports and resolutions 765 Report of the Board of Statutory Auditors 765 Report of the external auditors 797 Ordinary Shareholders’ Meeting resolution of 8 April 2022 811 Annexes 815 Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 815 Annex 2 - Audit fees and other non-audit services 819 Annex 3 - Internal pension funds: statement of changes in the year and final accounts 820 Annex 4 - Securitisations - qualitative tables 822 Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables 823 Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 563 Certification 763 Reports and resolutions 765 Report of the Board of Statutory Auditors 765 Report of the external auditors 797 Ordinary Shareholders’ Meeting resolution of 8 April 2022 811 Annexes 815 Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 815 Annex 2 - Audit fees and other non-audit services 819 Annex 3 - Internal pension funds: statement of changes in the year and final accounts 820 Annex 4 - Securitisations - qualitative tables 822 Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables 823 Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 563 Certification 763 Reports and resolutions 765 Report of the Board of Statutory Auditors 765 Report of the external auditors 797 Ordinary Shareholders’ Meeting resolution of 8 April 2022 811 Annexes 815 Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 815 Annex 2 - Audit fees and other non-audit services 819 Annex 3 - Internal pension funds: statement of changes in the year and final accounts 820 Annex 4 - Securitisations - qualitative tables 822 Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables 823 Company report and accounts 2021 of UniCredit S.p.A. UniCredit · 2021 Annual Report and Accounts 563 Certification 763 Reports and resolutions 765 Report of the Board of Statutory Auditors 765 Report of the external auditors 797 Ordinary Shareholders’ Meeting resolution of 8 April 2022 811 Annexes 815 Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 815 Annex 2 - Audit fees and other non-audit services 819 Annex 3 - Internal pension funds: statement of changes in the year and final accounts 820 Annex 4 - Securitisations - qualitative tables 822 Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables 823 Ecological sustainability: Identifying a problem is the first step in solving it. Bank Austria has provided a home to more than a million bees over the past two years. Our People Bee Centre Austria Curious to know more? Check out the entire story (and others) on annualreport.unicredit.eu/en Report on operations Introduction and highlights UniCredit · 2021 Annual Report and Accounts 565 Report on operations Introduction and highlights Introduction to Report on operations of UniCredit S.p.A. This Report on operations illustrates the performance of UniCredit S.p.A. (“Company”) and the related amounts and results. It includes financial information such as Highlights, Reclassified accounts and their quarterly figures as well as a comment on the Results of the year. The information in this report is supported, in order to provide further information about the performance achieved by the Company, by some alternative performance indicators (“API”) such as: Cost/Income ratio, Net bad loans to customers/Loans to customers, Net Non-Performing loans to customers/Loans to customers. Although some of this information, including certain APIs, is neither extracted nor directly referred to with Company Financial Statements, the Report on operations, the Annexes and the Glossary provide explanatory descriptions of the contents and, in case, the calculation methods used, in accordance with European Securities and Markets Authority Guidelines (ESMA/2015/1415) of 5 October 2015. In particular in Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule, as required by Consob Notice No.6064293 of 28 July 2006. For other information required by Law and regulations, refer to the Consolidated report on operations or to the Notes to the accounts of financial statements of UniCredit S.p.A. as better specified below. Refer to Consolidated report on operations for information relating to: • Share information - UniCredit share; • Macroeconomic situation, banking and financial markets; • qualitative disclosure of Principles of value creation and disciplined capital allocation, Capital ratios for information relating to transitional capital requirements and buffers for UniCredit group and Capital strengthening; • references of UniCredit official website where can be found Report on corporate governance and ownership structure, Report on remuneration and Non-financial information; • Research and development projects; • Group activities development operations and other corporate transactions; • Significant organisational changes and organisational structure; • Certifications and other communications; • Subsequent events; • Outlook. The amounts related to year 2020 Income statement and Balance sheet differ from the ones published at that time. For further details about the reasons of these restatement, refer to following paragraphs relating to the “Reconciliation principles followed for the reclassified balance sheet and income statement”. For information relating to related-party relations and transactions refer to the Notes to the accounts, Part H - Related-party transactions. For a complete description of risks and uncertainties that the bank has to face in the current market situation refer the Notes to the accounts, Part E - Information on risks and hedging policies. Highlights, alternative performance indicators and other measures Income statement (€ million) YEAR 2021 2020 % CHANGE Operating income 8,668 11,023 - 21.4% of which: - net interest 3,172 3,511 - 9.7% - dividends and other income from equity investments 848 3,670 - 76.9% - net fees and commissions 4,093 3,556 + 15.1% Operating costs (4,528) (4,553) - 0.5% Operating profit (loss) 4,140 6,470 - 36.0% Net write-downs on loans and provisions for guarantees and commitments (978) (2,736) - 64.3% Net operating profit (loss) 3,162 3,734 - 15.3% Profit (Loss) before tax 9,432 (2,992) n.m. Net profit (loss) 10,366 (2,690) n.m. Report on operations Introduction and highlights UniCredit · 2021 Annual Report and Accounts 565 Report on operations Introduction and highlights Introduction to Report on operations of UniCredit S.p.A. This Report on operations illustrates the performance of UniCredit S.p.A. (“Company”) and the related amounts and results. It includes financial information such as Highlights, Reclassified accounts and their quarterly figures as well as a comment on the Results of the year. The information in this report is supported, in order to provide further information about the performance achieved by the Company, by some alternative performance indicators (“API”) such as: Cost/Income ratio, Net bad loans to customers/Loans to customers, Net Non-Performing loans to customers/Loans to customers. Although some of this information, including certain APIs, is neither extracted nor directly referred to with Company Financial Statements, the Report on operations, the Annexes and the Glossary provide explanatory descriptions of the contents and, in case, the calculation methods used, in accordance with European Securities and Markets Authority Guidelines (ESMA/2015/1415) of 5 October 2015. In particular in Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule, as required by Consob Notice No.6064293 of 28 July 2006. For other information required by Law and regulations, refer to the Consolidated report on operations or to the Notes to the accounts of financial statements of UniCredit S.p.A. as better specified below. Refer to Consolidated report on operations for information relating to: • Share information - UniCredit share; • Macroeconomic situation, banking and financial markets; • qualitative disclosure of Principles of value creation and disciplined capital allocation, Capital ratios for information relating to transitional capital requirements and buffers for UniCredit group and Capital strengthening; • references of UniCredit official website where can be found Report on corporate governance and ownership structure, Report on remuneration and Non-financial information; • Research and development projects; • Group activities development operations and other corporate transactions; • Significant organisational changes and organisational structure; • Certifications and other communications; • Subsequent events; • Outlook. The amounts related to year 2020 Income statement and Balance sheet differ from the ones published at that time. For further details about the reasons of these restatement, refer to following paragraphs relating to the “Reconciliation principles followed for the reclassified balance sheet and income statement”. For information relating to related-party relations and transactions refer to the Notes to the accounts, Part H - Related-party transactions. For a complete description of risks and uncertainties that the bank has to face in the current market situation refer the Notes to the accounts, Part E - Information on risks and hedging policies. Highlights, alternative performance indicators and other measures Income statement (€ million) YEAR 2021 2020 % CHANGE Operating income 8,668 11,023 - 21.4% of which: - net interest 3,172 3,511 - 9.7% - dividends and other income from equity investments 848 3,670 - 76.9% - net fees and commissions 4,093 3,556 + 15.1% Operating costs (4,528) (4,553) - 0.5% Operating profit (loss) 4,140 6,470 - 36.0% Net write-downs on loans and provisions for guarantees and commitments (978) (2,736) - 64.3% Net operating profit (loss) 3,162 3,734 - 15.3% Profit (Loss) before tax 9,432 (2,992) n.m. Net profit (loss) 10,366 (2,690) n.m. Report on operations Introduction and highlights UniCredit · 2021 Annual Report and Accounts 565 Report on operations Introduction and highlights Introduction to Report on operations of UniCredit S.p.A. This Report on operations illustrates the performance of UniCredit S.p.A. (“Company”) and the related amounts and results. It includes financial information such as Highlights, Reclassified accounts and their quarterly figures as well as a comment on the Results of the year. The information in this report is supported, in order to provide further information about the performance achieved by the Company, by some alternative performance indicators (“API”) such as: Cost/Income ratio, Net bad loans to customers/Loans to customers, Net Non-Performing loans to customers/Loans to customers. Although some of this information, including certain APIs, is neither extracted nor directly referred to with Company Financial Statements, the Report on operations, the Annexes and the Glossary provide explanatory descriptions of the contents and, in case, the calculation methods used, in accordance with European Securities and Markets Authority Guidelines (ESMA/2015/1415) of 5 October 2015. In particular in Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule, as required by Consob Notice No.6064293 of 28 July 2006. For other information required by Law and regulations, refer to the Consolidated report on operations or to the Notes to the accounts of financial statements of UniCredit S.p.A. as better specified below. Refer to Consolidated report on operations for information relating to: • Share information - UniCredit share; • Macroeconomic situation, banking and financial markets; • qualitative disclosure of Principles of value creation and disciplined capital allocation, Capital ratios for information relating to transitional capital requirements and buffers for UniCredit group and Capital strengthening; • references of UniCredit official website where can be found Report on corporate governance and ownership structure, Report on remuneration and Non-financial information; • Research and development projects; • Group activities development operations and other corporate transactions; • Significant organisational changes and organisational structure; • Certifications and other communications; • Subsequent events; • Outlook. The amounts related to year 2020 Income statement and Balance sheet differ from the ones published at that time. For further details about the reasons of these restatement, refer to following paragraphs relating to the “Reconciliation principles followed for the reclassified balance sheet and income statement”. For information relating to related-party relations and transactions refer to the Notes to the accounts, Part H - Related-party transactions. For a complete description of risks and uncertainties that the bank has to face in the current market situation refer the Notes to the accounts, Part E - Information on risks and hedging policies. Highlights, alternative performance indicators and other measures Income statement (€ million) YEAR 2021 2020 % CHANGE Operating income 8,668 11,023 - 21.4% of which: - net interest 3,172 3,511 - 9.7% - dividends and other income from equity investments 848 3,670 - 76.9% - net fees and commissions 4,093 3,556 + 15.1% Operating costs (4,528) (4,553) - 0.5% Operating profit (loss) 4,140 6,470 - 36.0% Net write-downs on loans and provisions for guarantees and commitments (978) (2,736) - 64.3% Net operating profit (loss) 3,162 3,734 - 15.3% Profit (Loss) before tax 9,432 (2,992) n.m. Net profit (loss) 10,366 (2,690) n.m. Report on operations Introduction and highlights UniCredit · 2021 Annual Report and Accounts 565 Report on operations Introduction and highlights Introduction to Report on operations of UniCredit S.p.A. This Report on operations illustrates the performance of UniCredit S.p.A. (“Company”) and the related amounts and results. It includes financial information such as Highlights, Reclassified accounts and their quarterly figures as well as a comment on the Results of the year. The information in this report is supported, in order to provide further information about the performance achieved by the Company, by some alternative performance indicators (“API”) such as: Cost/Income ratio, Net bad loans to customers/Loans to customers, Net Non-Performing loans to customers/Loans to customers. Although some of this information, including certain APIs, is neither extracted nor directly referred to with Company Financial Statements, the Report on operations, the Annexes and the Glossary provide explanatory descriptions of the contents and, in case, the calculation methods used, in accordance with European Securities and Markets Authority Guidelines (ESMA/2015/1415) of 5 October 2015. In particular in Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule, as required by Consob Notice No.6064293 of 28 July 2006. For other information required by Law and regulations, refer to the Consolidated report on operations or to the Notes to the accounts of financial statements of UniCredit S.p.A. as better specified below. Refer to Consolidated report on operations for information relating to: • Share information - UniCredit share; • Macroeconomic situation, banking and financial markets; • qualitative disclosure of Principles of value creation and disciplined capital allocation, Capital ratios for information relating to transitional capital requirements and buffers for UniCredit group and Capital strengthening; • references of UniCredit official website where can be found Report on corporate governance and ownership structure, Report on remuneration and Non-financial information; • Research and development projects; • Group activities development operations and other corporate transactions; • Significant organisational changes and organisational structure; • Certifications and other communications; • Subsequent events; • Outlook. The amounts related to year 2020 Income statement and Balance sheet differ from the ones published at that time. For further details about the reasons of these restatement, refer to following paragraphs relating to the “Reconciliation principles followed for the reclassified balance sheet and income statement”. For information relating to related-party relations and transactions refer to the Notes to the accounts, Part H - Related-party transactions. For a complete description of risks and uncertainties that the bank has to face in the current market situation refer the Notes to the accounts, Part E - Information on risks and hedging policies. Highlights, alternative performance indicators and other measures Income statement (€ million) YEAR 2021 2020 % CHANGE Operating income 8,668 11,023 - 21.4% of which: - net interest 3,172 3,511 - 9.7% - dividends and other income from equity investments 848 3,670 - 76.9% - net fees and commissions 4,093 3,556 + 15.1% Operating costs (4,528) (4,553) - 0.5% Operating profit (loss) 4,140 6,470 - 36.0% Net write-downs on loans and provisions for guarantees and commitments (978) (2,736) - 64.3% Net operating profit (loss) 3,162 3,734 - 15.3% Profit (Loss) before tax 9,432 (2,992) n.m. Net profit (loss) 10,366 (2,690) n.m. Report on operations Introduction and highlights UniCredit · 2021 Annual Report and Accounts 565 Report on operations Introduction and highlights Introduction to Report on operations of UniCredit S.p.A. This Report on operations illustrates the performance of UniCredit S.p.A. (“Company”) and the related amounts and results. It includes financial information such as Highlights, Reclassified accounts and their quarterly figures as well as a comment on the Results of the year. The information in this report is supported, in order to provide further information about the performance achieved by the Company, by some alternative performance indicators (“API”) such as: Cost/Income ratio, Net bad loans to customers/Loans to customers, Net Non-Performing loans to customers/Loans to customers. Although some of this information, including certain APIs, is neither extracted nor directly referred to with Company Financial Statements, the Report on operations, the Annexes and the Glossary provide explanatory descriptions of the contents and, in case, the calculation methods used, in accordance with European Securities and Markets Authority Guidelines (ESMA/2015/1415) of 5 October 2015. In particular in Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule, as required by Consob Notice No.6064293 of 28 July 2006. For other information required by Law and regulations, refer to the Consolidated report on operations or to the Notes to the accounts of financial statements of UniCredit S.p.A. as better specified below. Refer to Consolidated report on operations for information relating to: • Share information - UniCredit share; • Macroeconomic situation, banking and financial markets; • qualitative disclosure of Principles of value creation and disciplined capital allocation, Capital ratios for information relating to transitional capital requirements and buffers for UniCredit group and Capital strengthening; • references of UniCredit official website where can be found Report on corporate governance and ownership structure, Report on remuneration and Non-financial information; • Research and development projects; • Group activities development operations and other corporate transactions; • Significant organisational changes and organisational structure; • Certifications and other communications; • Subsequent events; • Outlook. The amounts related to year 2020 Income statement and Balance sheet differ from the ones published at that time. For further details about the reasons of these restatement, refer to following paragraphs relating to the “Reconciliation principles followed for the reclassified balance sheet and income statement”. For information relating to related-party relations and transactions refer to the Notes to the accounts, Part H - Related-party transactions. For a complete description of risks and uncertainties that the bank has to face in the current market situation refer the Notes to the accounts, Part E - Information on risks and hedging policies. Highlights, alternative performance indicators and other measures Income statement (€ million) YEAR 2021 2020 % CHANGE Operating income 8,668 11,023 - 21.4% of which: - net interest 3,172 3,511 - 9.7% - dividends and other income from equity investments 848 3,670 - 76.9% - net fees and commissions 4,093 3,556 + 15.1% Operating costs (4,528) (4,553) - 0.5% Operating profit (loss) 4,140 6,470 - 36.0% Net write-downs on loans and provisions for guarantees and commitments (978) (2,736) - 64.3% Net operating profit (loss) 3,162 3,734 - 15.3% Profit (Loss) before tax 9,432 (2,992) n.m. Net profit (loss) 10,366 (2,690) n.m. Report on operations Introduction and highlights 566 2021 Annual Report and Accounts · UniCredit The figures in this table refer to the reclassified income statement. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified income statement”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 % CHANGE Total assets 461,953 457,612 + 0.9% Financial assets held for trading 13,939 11,231 + 24.1% Loans and receivables with customers 192,497 208,835 - 7.8% Financial liabilities held for trading 13,636 9,672 + 41.0% Deposits from customers and debt securities issued 282,685 283,465 - 0.3% of which: - deposits from customers 224,961 223,467 + 0.7% - debt securities issued 57,724 59,998 - 3.8% Shareholders' equity 59,265 49,880 + 18.8% The figures in this table refer to the reclassified balance sheet. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified balance sheet”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Profitability ratios YEAR 2021 2020 CHANGE EPS(*) (€) 4.652 (1.282) 5.934 Cost/Income ratio(**) 52.2% 41.3% + 10.9% ROA(***) 2.2% - 0.6% + 2.8% Notes: (*) Earnings per share. For further details refer to Part C - Section 22. (**) Ratio between operating expenses and operating income. (***) Return on assets calculated as the ratio between Net profit (loss) and Total assets pursuant to Art.90 of CRD IV. Year 2020 cost/income ratio amounts differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified balance sheet and income statement”. In Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule. Risk ratios AS AT 12.31.2021 12.31.2020 % CHANGE ON Net bad loans to customers/Loans to customers 0.3% 0.3% - Net non-performing loans to customers/Loans to customers 2.0% 1.8% + 0.2% For further details refer to table “Loans to customers - Credit quality” in paragraph “Credit quality” in this Report on operations. Report on operations Introduction and highlights 566 2021 Annual Report and Accounts · UniCredit The figures in this table refer to the reclassified income statement. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified income statement”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 % CHANGE Total assets 461,953 457,612 + 0.9% Financial assets held for trading 13,939 11,231 + 24.1% Loans and receivables with customers 192,497 208,835 - 7.8% Financial liabilities held for trading 13,636 9,672 + 41.0% Deposits from customers and debt securities issued 282,685 283,465 - 0.3% of which: - deposits from customers 224,961 223,467 + 0.7% - debt securities issued 57,724 59,998 - 3.8% Shareholders' equity 59,265 49,880 + 18.8% The figures in this table refer to the reclassified balance sheet. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified balance sheet”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Profitability ratios YEAR 2021 2020 CHANGE EPS(*) (€) 4.652 (1.282) 5.934 Cost/Income ratio(**) 52.2% 41.3% + 10.9% ROA(***) 2.2% - 0.6% + 2.8% Notes: (*) Earnings per share. For further details refer to Part C - Section 22. (**) Ratio between operating expenses and operating income. (***) Return on assets calculated as the ratio between Net profit (loss) and Total assets pursuant to Art.90 of CRD IV. Year 2020 cost/income ratio amounts differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified balance sheet and income statement”. In Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule. Risk ratios AS AT 12.31.2021 12.31.2020 % CHANGE ON Net bad loans to customers/Loans to customers 0.3% 0.3% - Net non-performing loans to customers/Loans to customers 2.0% 1.8% + 0.2% For further details refer to table “Loans to customers - Credit quality” in paragraph “Credit quality” in this Report on operations. Report on operations Introduction and highlights 566 2021 Annual Report and Accounts · UniCredit The figures in this table refer to the reclassified income statement. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified income statement”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 % CHANGE Total assets 461,953 457,612 + 0.9% Financial assets held for trading 13,939 11,231 + 24.1% Loans and receivables with customers 192,497 208,835 - 7.8% Financial liabilities held for trading 13,636 9,672 + 41.0% Deposits from customers and debt securities issued 282,685 283,465 - 0.3% of which: - deposits from customers 224,961 223,467 + 0.7% - debt securities issued 57,724 59,998 - 3.8% Shareholders' equity 59,265 49,880 + 18.8% The figures in this table refer to the reclassified balance sheet. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified balance sheet”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Profitability ratios YEAR 2021 2020 CHANGE EPS(*) (€) 4.652 (1.282) 5.934 Cost/Income ratio(**) 52.2% 41.3% + 10.9% ROA(***) 2.2% - 0.6% + 2.8% Notes: (*) Earnings per share. For further details refer to Part C - Section 22. (**) Ratio between operating expenses and operating income. (***) Return on assets calculated as the ratio between Net profit (loss) and Total assets pursuant to Art.90 of CRD IV. Year 2020 cost/income ratio amounts differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified balance sheet and income statement”. In Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule. Risk ratios AS AT 12.31.2021 12.31.2020 % CHANGE ON Net bad loans to customers/Loans to customers 0.3% 0.3% - Net non-performing loans to customers/Loans to customers 2.0% 1.8% + 0.2% For further details refer to table “Loans to customers - Credit quality” in paragraph “Credit quality” in this Report on operations. Report on operations Introduction and highlights 566 2021 Annual Report and Accounts · UniCredit The figures in this table refer to the reclassified income statement. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified income statement”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 % CHANGE Total assets 461,953 457,612 + 0.9% Financial assets held for trading 13,939 11,231 + 24.1% Loans and receivables with customers 192,497 208,835 - 7.8% Financial liabilities held for trading 13,636 9,672 + 41.0% Deposits from customers and debt securities issued 282,685 283,465 - 0.3% of which: - deposits from customers 224,961 223,467 + 0.7% - debt securities issued 57,724 59,998 - 3.8% Shareholders' equity 59,265 49,880 + 18.8% The figures in this table refer to the reclassified balance sheet. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified balance sheet”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Profitability ratios YEAR 2021 2020 CHANGE EPS(*) (€) 4.652 (1.282) 5.934 Cost/Income ratio(**) 52.2% 41.3% + 10.9% ROA(***) 2.2% - 0.6% + 2.8% Notes: (*) Earnings per share. For further details refer to Part C - Section 22. (**) Ratio between operating expenses and operating income. (***) Return on assets calculated as the ratio between Net profit (loss) and Total assets pursuant to Art.90 of CRD IV. Year 2020 cost/income ratio amounts differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified balance sheet and income statement”. In Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule. Risk ratios AS AT 12.31.2021 12.31.2020 % CHANGE ON Net bad loans to customers/Loans to customers 0.3% 0.3% - Net non-performing loans to customers/Loans to customers 2.0% 1.8% + 0.2% For further details refer to table “Loans to customers - Credit quality” in paragraph “Credit quality” in this Report on operations. Report on operations Introduction and highlights 566 2021 Annual Report and Accounts · UniCredit The figures in this table refer to the reclassified income statement. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified income statement”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 % CHANGE Total assets 461,953 457,612 + 0.9% Financial assets held for trading 13,939 11,231 + 24.1% Loans and receivables with customers 192,497 208,835 - 7.8% Financial liabilities held for trading 13,636 9,672 + 41.0% Deposits from customers and debt securities issued 282,685 283,465 - 0.3% of which: - deposits from customers 224,961 223,467 + 0.7% - debt securities issued 57,724 59,998 - 3.8% Shareholders' equity 59,265 49,880 + 18.8% The figures in this table refer to the reclassified balance sheet. The amounts related to year 2020 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified balance sheet”. The Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule. Profitability ratios YEAR 2021 2020 CHANGE EPS(*) (€) 4.652 (1.282) 5.934 Cost/Income ratio(**) 52.2% 41.3% + 10.9% ROA(***) 2.2% - 0.6% + 2.8% Notes: (*) Earnings per share. For further details refer to Part C - Section 22. (**) Ratio between operating expenses and operating income. (***) Return on assets calculated as the ratio between Net profit (loss) and Total assets pursuant to Art.90 of CRD IV. Year 2020 cost/income ratio amounts differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the reclassified balance sheet and income statement”. In Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule. Risk ratios AS AT 12.31.2021 12.31.2020 % CHANGE ON Net bad loans to customers/Loans to customers 0.3% 0.3% - Net non-performing loans to customers/Loans to customers 2.0% 1.8% + 0.2% For further details refer to table “Loans to customers - Credit quality” in paragraph “Credit quality” in this Report on operations. Report on operations Introduction and highlights UniCredit · 2021 Annual Report and Accounts 567 Staff and branches AS AT 12.31.2021 12.31.2020 CHANGE Number of employees 32,262 33,842 -1,580 Number of branches 2,385 2,569 -184 of which: - Italy 2,378 2,561 -183 - Other countries 7 8 -1 Transitional capital ratios AS AT 12.31.2021(*) 12.31.2020(*) CHANGE Total own funds (€ million) 62,158 56,161 + 5,997 Total risk-weighted assets (€ million) 187,327 183,065 + 4,262 Common Equity Tier 1 Capital Ratio 25.76% 22.50% + 3.3% Total Capital Ratio 33.18% 30.68% + 2.5% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. It should be noted that UniCredit S.p.A. decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). For more details refer to paragraph "Capital and value management - Capital ratios" of this Report on operations. Report on operations Introduction and highlights UniCredit · 2021 Annual Report and Accounts 567 Staff and branches AS AT 12.31.2021 12.31.2020 CHANGE Number of employees 32,262 33,842 -1,580 Number of branches 2,385 2,569 -184 of which: - Italy 2,378 2,561 -183 - Other countries 7 8 -1 Transitional capital ratios AS AT 12.31.2021(*) 12.31.2020(*) CHANGE Total own funds (€ million) 62,158 56,161 + 5,997 Total risk-weighted assets (€ million) 187,327 183,065 + 4,262 Common Equity Tier 1 Capital Ratio 25.76% 22.50% + 3.3% Total Capital Ratio 33.18% 30.68% + 2.5% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. It should be noted that UniCredit S.p.A. decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). For more details refer to paragraph "Capital and value management - Capital ratios" of this Report on operations. Report on operations Introduction and highlights UniCredit · 2021 Annual Report and Accounts 567 Staff and branches AS AT 12.31.2021 12.31.2020 CHANGE Number of employees 32,262 33,842 -1,580 Number of branches 2,385 2,569 -184 of which: - Italy 2,378 2,561 -183 - Other countries 7 8 -1 Transitional capital ratios AS AT 12.31.2021(*) 12.31.2020(*) CHANGE Total own funds (€ million) 62,158 56,161 + 5,997 Total risk-weighted assets (€ million) 187,327 183,065 + 4,262 Common Equity Tier 1 Capital Ratio 25.76% 22.50% + 3.3% Total Capital Ratio 33.18% 30.68% + 2.5% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. It should be noted that UniCredit S.p.A. decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). For more details refer to paragraph "Capital and value management - Capital ratios" of this Report on operations. Report on operations Introduction and highlights UniCredit · 2021 Annual Report and Accounts 567 Staff and branches AS AT 12.31.2021 12.31.2020 CHANGE Number of employees 32,262 33,842 -1,580 Number of branches 2,385 2,569 -184 of which: - Italy 2,378 2,561 -183 - Other countries 7 8 -1 Transitional capital ratios AS AT 12.31.2021(*) 12.31.2020(*) CHANGE Total own funds (€ million) 62,158 56,161 + 5,997 Total risk-weighted assets (€ million) 187,327 183,065 + 4,262 Common Equity Tier 1 Capital Ratio 25.76% 22.50% + 3.3% Total Capital Ratio 33.18% 30.68% + 2.5% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. It should be noted that UniCredit S.p.A. decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). For more details refer to paragraph "Capital and value management - Capital ratios" of this Report on operations. Report on operations Introduction and highlights UniCredit · 2021 Annual Report and Accounts 567 Staff and branches AS AT 12.31.2021 12.31.2020 CHANGE Number of employees 32,262 33,842 -1,580 Number of branches 2,385 2,569 -184 of which: - Italy 2,378 2,561 -183 - Other countries 7 8 -1 Transitional capital ratios AS AT 12.31.2021(*) 12.31.2020(*) CHANGE Total own funds (€ million) 62,158 56,161 + 5,997 Total risk-weighted assets (€ million) 187,327 183,065 + 4,262 Common Equity Tier 1 Capital Ratio 25.76% 22.50% + 3.3% Total Capital Ratio 33.18% 30.68% + 2.5% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. It should be noted that UniCredit S.p.A. decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). For more details refer to paragraph "Capital and value management - Capital ratios" of this Report on operations. Report on operations Reclassified company accounts 568 2021 Annual Report and Accounts · UniCredit Reconciliation principles followed for the reclassified balance sheet The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Loans to banks” of item “Financial assets at amortised cost: a) loans and advances to banks”, net of debt securities reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the inclusion in “Loans to customers” of item “Financial assets at amortised cost: b) Loans and advances to customers”, net of debt securities and of IFRS16 leasing assets reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the aggregation as “Other financial assets” of items (i) “Financial assets at fair value through profit or loss: b) financial assets designated at fair value and c) other financial assets mandatorily at fair value”, net of loans reclassified in “Loans to banks and to customers”, of (ii) “Financial assets at fair value through other comprehensive income”, of (iii) “Equity investments”, besides reclassifications of (iv) debt securities from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers” and of (v) IFRS16 leasing assets from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers”; • the inclusion in “Other financial liabilities” pursuant to accounting standard of IFRS16 leasing liabilities related to item “Financial liabilities at amortised cost: a) deposits from banks and b) deposits from customers”; • grouping under “Hedging instruments”, both assets and liabilities, of items “Hedging derivatives” and “Changes in fair value of portfolio hedged items” in the assets and “Value adjustment of hedged financial liabilities” in the liabilities; • the inclusion of items “Provision for employee severance pay” and “Provisions for risks and charges” under “Other liabilities”. Figures of Reclassified balance sheet relating to 2020 and the first three quarters of 2021 have been restated following the effects of the merger of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. carried out on 1 November 2021 and with retroactive accounting effect to 1 January 2021. Moreover, the data have been restated in order to reflect the amendments contained in the 7th update of Banca d’Italia Circular 262 dated 22 December 2005 (dated 29 October 2021) through the reclassification of current accounts and demand deposits with banks and Central Banks (with the exclusion of the mandatory reserve) from item “Loans to banks” to item “Cash and cash balances”. Report on operations Reclassified company accounts 568 2021 Annual Report and Accounts · UniCredit Reconciliation principles followed for the reclassified balance sheet The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Loans to banks” of item “Financial assets at amortised cost: a) loans and advances to banks”, net of debt securities reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the inclusion in “Loans to customers” of item “Financial assets at amortised cost: b) Loans and advances to customers”, net of debt securities and of IFRS16 leasing assets reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the aggregation as “Other financial assets” of items (i) “Financial assets at fair value through profit or loss: b) financial assets designated at fair value and c) other financial assets mandatorily at fair value”, net of loans reclassified in “Loans to banks and to customers”, of (ii) “Financial assets at fair value through other comprehensive income”, of (iii) “Equity investments”, besides reclassifications of (iv) debt securities from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers” and of (v) IFRS16 leasing assets from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers”; • the inclusion in “Other financial liabilities” pursuant to accounting standard of IFRS16 leasing liabilities related to item “Financial liabilities at amortised cost: a) deposits from banks and b) deposits from customers”; • grouping under “Hedging instruments”, both assets and liabilities, of items “Hedging derivatives” and “Changes in fair value of portfolio hedged items” in the assets and “Value adjustment of hedged financial liabilities” in the liabilities; • the inclusion of items “Provision for employee severance pay” and “Provisions for risks and charges” under “Other liabilities”. Figures of Reclassified balance sheet relating to 2020 and the first three quarters of 2021 have been restated following the effects of the merger of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. carried out on 1 November 2021 and with retroactive accounting effect to 1 January 2021. Moreover, the data have been restated in order to reflect the amendments contained in the 7th update of Banca d’Italia Circular 262 dated 22 December 2005 (dated 29 October 2021) through the reclassification of current accounts and demand deposits with banks and Central Banks (with the exclusion of the mandatory reserve) from item “Loans to banks” to item “Cash and cash balances”. Report on operations Reclassified company accounts 568 2021 Annual Report and Accounts · UniCredit Reconciliation principles followed for the reclassified balance sheet The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Loans to banks” of item “Financial assets at amortised cost: a) loans and advances to banks”, net of debt securities reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the inclusion in “Loans to customers” of item “Financial assets at amortised cost: b) Loans and advances to customers”, net of debt securities and of IFRS16 leasing assets reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the aggregation as “Other financial assets” of items (i) “Financial assets at fair value through profit or loss: b) financial assets designated at fair value and c) other financial assets mandatorily at fair value”, net of loans reclassified in “Loans to banks and to customers”, of (ii) “Financial assets at fair value through other comprehensive income”, of (iii) “Equity investments”, besides reclassifications of (iv) debt securities from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers” and of (v) IFRS16 leasing assets from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers”; • the inclusion in “Other financial liabilities” pursuant to accounting standard of IFRS16 leasing liabilities related to item “Financial liabilities at amortised cost: a) deposits from banks and b) deposits from customers”; • grouping under “Hedging instruments”, both assets and liabilities, of items “Hedging derivatives” and “Changes in fair value of portfolio hedged items” in the assets and “Value adjustment of hedged financial liabilities” in the liabilities; • the inclusion of items “Provision for employee severance pay” and “Provisions for risks and charges” under “Other liabilities”. Figures of Reclassified balance sheet relating to 2020 and the first three quarters of 2021 have been restated following the effects of the merger of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. carried out on 1 November 2021 and with retroactive accounting effect to 1 January 2021. Moreover, the data have been restated in order to reflect the amendments contained in the 7th update of Banca d’Italia Circular 262 dated 22 December 2005 (dated 29 October 2021) through the reclassification of current accounts and demand deposits with banks and Central Banks (with the exclusion of the mandatory reserve) from item “Loans to banks” to item “Cash and cash balances”. Report on operations Reclassified company accounts 568 2021 Annual Report and Accounts · UniCredit Reconciliation principles followed for the reclassified balance sheet The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Loans to banks” of item “Financial assets at amortised cost: a) loans and advances to banks”, net of debt securities reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the inclusion in “Loans to customers” of item “Financial assets at amortised cost: b) Loans and advances to customers”, net of debt securities and of IFRS16 leasing assets reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the aggregation as “Other financial assets” of items (i) “Financial assets at fair value through profit or loss: b) financial assets designated at fair value and c) other financial assets mandatorily at fair value”, net of loans reclassified in “Loans to banks and to customers”, of (ii) “Financial assets at fair value through other comprehensive income”, of (iii) “Equity investments”, besides reclassifications of (iv) debt securities from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers” and of (v) IFRS16 leasing assets from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers”; • the inclusion in “Other financial liabilities” pursuant to accounting standard of IFRS16 leasing liabilities related to item “Financial liabilities at amortised cost: a) deposits from banks and b) deposits from customers”; • grouping under “Hedging instruments”, both assets and liabilities, of items “Hedging derivatives” and “Changes in fair value of portfolio hedged items” in the assets and “Value adjustment of hedged financial liabilities” in the liabilities; • the inclusion of items “Provision for employee severance pay” and “Provisions for risks and charges” under “Other liabilities”. Figures of Reclassified balance sheet relating to 2020 and the first three quarters of 2021 have been restated following the effects of the merger of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. carried out on 1 November 2021 and with retroactive accounting effect to 1 January 2021. Moreover, the data have been restated in order to reflect the amendments contained in the 7th update of Banca d’Italia Circular 262 dated 22 December 2005 (dated 29 October 2021) through the reclassification of current accounts and demand deposits with banks and Central Banks (with the exclusion of the mandatory reserve) from item “Loans to banks” to item “Cash and cash balances”. Report on operations Reclassified company accounts 568 2021 Annual Report and Accounts · UniCredit Reconciliation principles followed for the reclassified balance sheet The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Loans to banks” of item “Financial assets at amortised cost: a) loans and advances to banks”, net of debt securities reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the inclusion in “Loans to customers” of item “Financial assets at amortised cost: b) Loans and advances to customers”, net of debt securities and of IFRS16 leasing assets reclassified in “Other financial assets”, and of loans related to item “Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value”; • the aggregation as “Other financial assets” of items (i) “Financial assets at fair value through profit or loss: b) financial assets designated at fair value and c) other financial assets mandatorily at fair value”, net of loans reclassified in “Loans to banks and to customers”, of (ii) “Financial assets at fair value through other comprehensive income”, of (iii) “Equity investments”, besides reclassifications of (iv) debt securities from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers” and of (v) IFRS16 leasing assets from item “Financial assets at amortised cost: a) loans and advances to banks and b) loans and advances to customers”; • the inclusion in “Other financial liabilities” pursuant to accounting standard of IFRS16 leasing liabilities related to item “Financial liabilities at amortised cost: a) deposits from banks and b) deposits from customers”; • grouping under “Hedging instruments”, both assets and liabilities, of items “Hedging derivatives” and “Changes in fair value of portfolio hedged items” in the assets and “Value adjustment of hedged financial liabilities” in the liabilities; • the inclusion of items “Provision for employee severance pay” and “Provisions for risks and charges” under “Other liabilities”. Figures of Reclassified balance sheet relating to 2020 and the first three quarters of 2021 have been restated following the effects of the merger of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. carried out on 1 November 2021 and with retroactive accounting effect to 1 January 2021. Moreover, the data have been restated in order to reflect the amendments contained in the 7th update of Banca d’Italia Circular 262 dated 22 December 2005 (dated 29 October 2021) through the reclassification of current accounts and demand deposits with banks and Central Banks (with the exclusion of the mandatory reserve) from item “Loans to banks” to item “Cash and cash balances”. Report on operations Reclassified company accounts UniCredit · 2021 Annual Report and Accounts 569 Reclassified balance sheet (€ million) AMOUNTS AS AT CHANGE ASSETS 12.31.2021 12.31.2020 AMOUNT % Cash and cash balances 72,830 63,334 + 9,496 + 15.0% Financial assets held for trading 13,939 11,231 + 2,708 + 24.1% Loans to banks 26,711 32,917 - 6,206 - 18.9% Loans to customers 192,497 208,835 - 16,338 - 7.8% Other financial assets 129,555 113,826 + 15,729 + 13.8% Hedging instruments 5,720 8,864 - 3,144 - 35.5% Property, plant and equipment 3,806 4,002 - 196 - 4.9% Goodwill - - - - Other intangible assets 7 6 + 1 + 16.7% Tax assets 11,142 10,664 + 478 + 4.5% Non-current assets and disposal groups classified as held for sale 1,909 255 + 1,654 n.m. Other assets 3,837 3,678 + 159 + 4.3% Total assets 461,953 457,612 + 4,341 + 0.9% (€ million) AMOUNTS AS AT CHANGE LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 AMOUNT % Deposits from banks 86,258 89,152 - 2,894 - 3.2% Deposits from customers 224,961 223,467 + 1,494 + 0.7% Debt securities issued 57,724 59,998 - 2,274 - 3.8% Financial liabilities held for trading 13,636 9,672 + 3,964 + 41.0% Other financial liabilities 5,185 6,076 - 891 - 14.7% Hedging instruments 5,503 10,002 - 4,499 - 45.0% Tax liabilities 13 10 + 3 + 30.0% Liabilities included in disposal groups classified as held for sale - - - - Other liabilities 9,408 9,355 + 53 + 0.6% Shareholders' equity: 59,265 49,880 + 9,385 + 18.8% - capital and reserves 48,899 52,570 - 3,671 - 7.0% - net profit (loss) 10,366 (2,690) + 13,056 n.m. Total liabilities and Shareholders' equity 461,953 457,612 + 4,341 + 0.9% Reclassified company account Report on operations Reclassified company accounts UniCredit · 2021 Annual Report and Accounts 569 Reclassified balance sheet (€ million) AMOUNTS AS AT CHANGE ASSETS 12.31.2021 12.31.2020 AMOUNT % Cash and cash balances 72,830 63,334 + 9,496 + 15.0% Financial assets held for trading 13,939 11,231 + 2,708 + 24.1% Loans to banks 26,711 32,917 - 6,206 - 18.9% Loans to customers 192,497 208,835 - 16,338 - 7.8% Other financial assets 129,555 113,826 + 15,729 + 13.8% Hedging instruments 5,720 8,864 - 3,144 - 35.5% Property, plant and equipment 3,806 4,002 - 196 - 4.9% Goodwill - - - - Other intangible assets 7 6 + 1 + 16.7% Tax assets 11,142 10,664 + 478 + 4.5% Non-current assets and disposal groups classified as held for sale 1,909 255 + 1,654 n.m. Other assets 3,837 3,678 + 159 + 4.3% Total assets 461,953 457,612 + 4,341 + 0.9% (€ million) AMOUNTS AS AT CHANGE LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 AMOUNT % Deposits from banks 86,258 89,152 - 2,894 - 3.2% Deposits from customers 224,961 223,467 + 1,494 + 0.7% Debt securities issued 57,724 59,998 - 2,274 - 3.8% Financial liabilities held for trading 13,636 9,672 + 3,964 + 41.0% Other financial liabilities 5,185 6,076 - 891 - 14.7% Hedging instruments 5,503 10,002 - 4,499 - 45.0% Tax liabilities 13 10 + 3 + 30.0% Liabilities included in disposal groups classified as held for sale - - - - Other liabilities 9,408 9,355 + 53 + 0.6% Shareholders' equity: 59,265 49,880 + 9,385 + 18.8% - capital and reserves 48,899 52,570 - 3,671 - 7.0% - net profit (loss) 10,366 (2,690) + 13,056 n.m. Total liabilities and Shareholders' equity 461,953 457,612 + 4,341 + 0.9% Reclassified company account Report on operations Reclassified company accounts UniCredit · 2021 Annual Report and Accounts 569 Reclassified balance sheet (€ million) AMOUNTS AS AT CHANGE ASSETS 12.31.2021 12.31.2020 AMOUNT % Cash and cash balances 72,830 63,334 + 9,496 + 15.0% Financial assets held for trading 13,939 11,231 + 2,708 + 24.1% Loans to banks 26,711 32,917 - 6,206 - 18.9% Loans to customers 192,497 208,835 - 16,338 - 7.8% Other financial assets 129,555 113,826 + 15,729 + 13.8% Hedging instruments 5,720 8,864 - 3,144 - 35.5% Property, plant and equipment 3,806 4,002 - 196 - 4.9% Goodwill - - - - Other intangible assets 7 6 + 1 + 16.7% Tax assets 11,142 10,664 + 478 + 4.5% Non-current assets and disposal groups classified as held for sale 1,909 255 + 1,654 n.m. Other assets 3,837 3,678 + 159 + 4.3% Total assets 461,953 457,612 + 4,341 + 0.9% (€ million) AMOUNTS AS AT CHANGE LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 AMOUNT % Deposits from banks 86,258 89,152 - 2,894 - 3.2% Deposits from customers 224,961 223,467 + 1,494 + 0.7% Debt securities issued 57,724 59,998 - 2,274 - 3.8% Financial liabilities held for trading 13,636 9,672 + 3,964 + 41.0% Other financial liabilities 5,185 6,076 - 891 - 14.7% Hedging instruments 5,503 10,002 - 4,499 - 45.0% Tax liabilities 13 10 + 3 + 30.0% Liabilities included in disposal groups classified as held for sale - - - - Other liabilities 9,408 9,355 + 53 + 0.6% Shareholders' equity: 59,265 49,880 + 9,385 + 18.8% - capital and reserves 48,899 52,570 - 3,671 - 7.0% - net profit (loss) 10,366 (2,690) + 13,056 n.m. Total liabilities and Shareholders' equity 461,953 457,612 + 4,341 + 0.9% Reclassified company account Report on operations Reclassified company accounts UniCredit · 2021 Annual Report and Accounts 569 Reclassified balance sheet (€ million) AMOUNTS AS AT CHANGE ASSETS 12.31.2021 12.31.2020 AMOUNT % Cash and cash balances 72,830 63,334 + 9,496 + 15.0% Financial assets held for trading 13,939 11,231 + 2,708 + 24.1% Loans to banks 26,711 32,917 - 6,206 - 18.9% Loans to customers 192,497 208,835 - 16,338 - 7.8% Other financial assets 129,555 113,826 + 15,729 + 13.8% Hedging instruments 5,720 8,864 - 3,144 - 35.5% Property, plant and equipment 3,806 4,002 - 196 - 4.9% Goodwill - - - - Other intangible assets 7 6 + 1 + 16.7% Tax assets 11,142 10,664 + 478 + 4.5% Non-current assets and disposal groups classified as held for sale 1,909 255 + 1,654 n.m. Other assets 3,837 3,678 + 159 + 4.3% Total assets 461,953 457,612 + 4,341 + 0.9% (€ million) AMOUNTS AS AT CHANGE LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 AMOUNT % Deposits from banks 86,258 89,152 - 2,894 - 3.2% Deposits from customers 224,961 223,467 + 1,494 + 0.7% Debt securities issued 57,724 59,998 - 2,274 - 3.8% Financial liabilities held for trading 13,636 9,672 + 3,964 + 41.0% Other financial liabilities 5,185 6,076 - 891 - 14.7% Hedging instruments 5,503 10,002 - 4,499 - 45.0% Tax liabilities 13 10 + 3 + 30.0% Liabilities included in disposal groups classified as held for sale - - - - Other liabilities 9,408 9,355 + 53 + 0.6% Shareholders' equity: 59,265 49,880 + 9,385 + 18.8% - capital and reserves 48,899 52,570 - 3,671 - 7.0% - net profit (loss) 10,366 (2,690) + 13,056 n.m. Total liabilities and Shareholders' equity 461,953 457,612 + 4,341 + 0.9% Reclassified company account Report on operations Reclassified company accounts UniCredit · 2021 Annual Report and Accounts 569 Reclassified balance sheet (€ million) AMOUNTS AS AT CHANGE ASSETS 12.31.2021 12.31.2020 AMOUNT % Cash and cash balances 72,830 63,334 + 9,496 + 15.0% Financial assets held for trading 13,939 11,231 + 2,708 + 24.1% Loans to banks 26,711 32,917 - 6,206 - 18.9% Loans to customers 192,497 208,835 - 16,338 - 7.8% Other financial assets 129,555 113,826 + 15,729 + 13.8% Hedging instruments 5,720 8,864 - 3,144 - 35.5% Property, plant and equipment 3,806 4,002 - 196 - 4.9% Goodwill - - - - Other intangible assets 7 6 + 1 + 16.7% Tax assets 11,142 10,664 + 478 + 4.5% Non-current assets and disposal groups classified as held for sale 1,909 255 + 1,654 n.m. Other assets 3,837 3,678 + 159 + 4.3% Total assets 461,953 457,612 + 4,341 + 0.9% (€ million) AMOUNTS AS AT CHANGE LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 AMOUNT % Deposits from banks 86,258 89,152 - 2,894 - 3.2% Deposits from customers 224,961 223,467 + 1,494 + 0.7% Debt securities issued 57,724 59,998 - 2,274 - 3.8% Financial liabilities held for trading 13,636 9,672 + 3,964 + 41.0% Other financial liabilities 5,185 6,076 - 891 - 14.7% Hedging instruments 5,503 10,002 - 4,499 - 45.0% Tax liabilities 13 10 + 3 + 30.0% Liabilities included in disposal groups classified as held for sale - - - - Other liabilities 9,408 9,355 + 53 + 0.6% Shareholders' equity: 59,265 49,880 + 9,385 + 18.8% - capital and reserves 48,899 52,570 - 3,671 - 7.0% - net profit (loss) 10,366 (2,690) + 13,056 n.m. Total liabilities and Shareholders' equity 461,953 457,612 + 4,341 + 0.9% Reclassified company account Report on operations Reclassified company accounts 570 2021 Annual Report and Accounts · UniCredit Reclassified balance sheet - Quarterly figures (€ million) AMOUNTS AS AT AMOUNTS AS AT ASSETS 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Cash and cash balances 72,830 79,701 79,209 66,232 63,334 3,453 3,881 4,077 Financial assets held for trading 13,939 11,535 12,416 12,535 11,231 13,229 11,737 14,284 Loans to banks 26,711 29,025 30,669 32,855 32,917 48,785 45,678 29,603 Loans to customers 192,497 195,427 194,306 198,158 208,835 218,894 222,284 230,261 Other financial assets 129,555 119,242 118,495 117,304 113,826 114,461 114,820 113,645 Hedging instruments 5,720 6,544 6,990 7,349 8,864 8,991 9,000 8,811 Property, plant and equipment 3,806 3,820 3,871 3,941 4,002 4,014 4,055 4,121 Goodwill - - - - - - - - Other intangible assets 7 6 7 7 6 5 4 5 Tax assets 11,142 10,137 10,273 10,468 10,664 10,476 10,458 10,541 Non-current assets and disposal groups classified as held for sale 1,909 126 115 196 255 543 354 464 Other assets 3,837 3,511 3,949 3,238 3,678 7,201 7,631 3,708 Total assets 461,953 459,074 460,300 452,283 457,612 430,052 429,902 419,520 (€ million) AMOUNTS AS AT AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Deposits from banks 86,258 90,274 91,837 96,026 89,152 78,028 82,381 75,130 Deposits from customers 224,961 225,052 225,136 214,686 223,467 203,062 201,369 200,380 Debt securities issued 57,724 58,522 56,370 56,738 59,998 57,428 53,681 52,942 Financial liabilities held for trading 13,636 10,193 9,138 9,807 9,672 10,801 11,064 13,035 Other financial liabilities 5,185 5,373 5,445 5,621 6,076 6,308 5,977 4,338 Hedging instruments 5,503 6,411 7,249 7,641 10,002 9,923 9,890 9,445 Tax liabilities 13 31 19 9 10 12 8 5 Liabilities included in disposal groups classified as held for sale - - 0 - - - 23 - Other liabilities 9,408 12,249 14,309 11,468 9,355 12,269 13,284 12,344 Shareholders' equity: 59,265 50,969 50,797 50,287 49,880 52,221 52,225 51,901 - capital and reserves 48,899 49,228 49,437 49,937 52,570 52,674 52,744 53,077 - net profit (loss) 10,366 1,741 1,360 350 (2,690) (453) (519) (1,176) Total liabilities and Shareholders' equity 461,953 459,074 460,300 452,283 457,612 430,052 429,902 419,520 Reconciliation principles followed for the reclassified income statement The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Dividends and other income from equity investments” of “Profit (Loss) of equity investments valued at equity” and the exclusion of (i) “Dividends from held for trading equity instruments” and (ii) “Dividends on equity investments, shares and equity instruments mandatorily at fair value” which are included in “Net trading income”; • the inclusion in the “Net other expenses/income” of “Other operating expenses/income”, excluding “Recovery of expenses” which is classified under its own item, the exclusion of the costs for “Net value adjustments/write-backs on leasehold improvements” classified among “Other administrative expenses” and inclusion of result of industrial companies; • presentation of “Net other expenses/income”, “Payroll costs”, “Other administrative expenses”, “Amortisation, depreciation and impairment losses on intangible and tangible assets” and “Other charges and provisions” net of any “Integration costs” relating to the reorganisation operations, classified as a separate item; • the exclusion from the “Other administrative expenses” of the Contributions to the Resolution Funds (SRF), the Deposit Guarantee Schemes (DGS), the Bank Levy and the Guarantee fees for DTA reclassified in item “Other charges and provisions”; Report on operations Reclassified company accounts 570 2021 Annual Report and Accounts · UniCredit Reclassified balance sheet - Quarterly figures (€ million) AMOUNTS AS AT AMOUNTS AS AT ASSETS 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Cash and cash balances 72,830 79,701 79,209 66,232 63,334 3,453 3,881 4,077 Financial assets held for trading 13,939 11,535 12,416 12,535 11,231 13,229 11,737 14,284 Loans to banks 26,711 29,025 30,669 32,855 32,917 48,785 45,678 29,603 Loans to customers 192,497 195,427 194,306 198,158 208,835 218,894 222,284 230,261 Other financial assets 129,555 119,242 118,495 117,304 113,826 114,461 114,820 113,645 Hedging instruments 5,720 6,544 6,990 7,349 8,864 8,991 9,000 8,811 Property, plant and equipment 3,806 3,820 3,871 3,941 4,002 4,014 4,055 4,121 Goodwill - - - - - - - - Other intangible assets 7 6 7 7 6 5 4 5 Tax assets 11,142 10,137 10,273 10,468 10,664 10,476 10,458 10,541 Non-current assets and disposal groups classified as held for sale 1,909 126 115 196 255 543 354 464 Other assets 3,837 3,511 3,949 3,238 3,678 7,201 7,631 3,708 Total assets 461,953 459,074 460,300 452,283 457,612 430,052 429,902 419,520 (€ million) AMOUNTS AS AT AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Deposits from banks 86,258 90,274 91,837 96,026 89,152 78,028 82,381 75,130 Deposits from customers 224,961 225,052 225,136 214,686 223,467 203,062 201,369 200,380 Debt securities issued 57,724 58,522 56,370 56,738 59,998 57,428 53,681 52,942 Financial liabilities held for trading 13,636 10,193 9,138 9,807 9,672 10,801 11,064 13,035 Other financial liabilities 5,185 5,373 5,445 5,621 6,076 6,308 5,977 4,338 Hedging instruments 5,503 6,411 7,249 7,641 10,002 9,923 9,890 9,445 Tax liabilities 13 31 19 9 10 12 8 5 Liabilities included in disposal groups classified as held for sale - - 0 - - - 23 - Other liabilities 9,408 12,249 14,309 11,468 9,355 12,269 13,284 12,344 Shareholders' equity: 59,265 50,969 50,797 50,287 49,880 52,221 52,225 51,901 - capital and reserves 48,899 49,228 49,437 49,937 52,570 52,674 52,744 53,077 - net profit (loss) 10,366 1,741 1,360 350 (2,690) (453) (519) (1,176) Total liabilities and Shareholders' equity 461,953 459,074 460,300 452,283 457,612 430,052 429,902 419,520 Reconciliation principles followed for the reclassified income statement The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Dividends and other income from equity investments” of “Profit (Loss) of equity investments valued at equity” and the exclusion of (i) “Dividends from held for trading equity instruments” and (ii) “Dividends on equity investments, shares and equity instruments mandatorily at fair value” which are included in “Net trading income”; • the inclusion in the “Net other expenses/income” of “Other operating expenses/income”, excluding “Recovery of expenses” which is classified under its own item, the exclusion of the costs for “Net value adjustments/write-backs on leasehold improvements” classified among “Other administrative expenses” and inclusion of result of industrial companies; • presentation of “Net other expenses/income”, “Payroll costs”, “Other administrative expenses”, “Amortisation, depreciation and impairment losses on intangible and tangible assets” and “Other charges and provisions” net of any “Integration costs” relating to the reorganisation operations, classified as a separate item; • the exclusion from the “Other administrative expenses” of the Contributions to the Resolution Funds (SRF), the Deposit Guarantee Schemes (DGS), the Bank Levy and the Guarantee fees for DTA reclassified in item “Other charges and provisions”; Report on operations Reclassified company accounts 570 2021 Annual Report and Accounts · UniCredit Reclassified balance sheet - Quarterly figures (€ million) AMOUNTS AS AT AMOUNTS AS AT ASSETS 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Cash and cash balances 72,830 79,701 79,209 66,232 63,334 3,453 3,881 4,077 Financial assets held for trading 13,939 11,535 12,416 12,535 11,231 13,229 11,737 14,284 Loans to banks 26,711 29,025 30,669 32,855 32,917 48,785 45,678 29,603 Loans to customers 192,497 195,427 194,306 198,158 208,835 218,894 222,284 230,261 Other financial assets 129,555 119,242 118,495 117,304 113,826 114,461 114,820 113,645 Hedging instruments 5,720 6,544 6,990 7,349 8,864 8,991 9,000 8,811 Property, plant and equipment 3,806 3,820 3,871 3,941 4,002 4,014 4,055 4,121 Goodwill - - - - - - - - Other intangible assets 7 6 7 7 6 5 4 5 Tax assets 11,142 10,137 10,273 10,468 10,664 10,476 10,458 10,541 Non-current assets and disposal groups classified as held for sale 1,909 126 115 196 255 543 354 464 Other assets 3,837 3,511 3,949 3,238 3,678 7,201 7,631 3,708 Total assets 461,953 459,074 460,300 452,283 457,612 430,052 429,902 419,520 (€ million) AMOUNTS AS AT AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Deposits from banks 86,258 90,274 91,837 96,026 89,152 78,028 82,381 75,130 Deposits from customers 224,961 225,052 225,136 214,686 223,467 203,062 201,369 200,380 Debt securities issued 57,724 58,522 56,370 56,738 59,998 57,428 53,681 52,942 Financial liabilities held for trading 13,636 10,193 9,138 9,807 9,672 10,801 11,064 13,035 Other financial liabilities 5,185 5,373 5,445 5,621 6,076 6,308 5,977 4,338 Hedging instruments 5,503 6,411 7,249 7,641 10,002 9,923 9,890 9,445 Tax liabilities 13 31 19 9 10 12 8 5 Liabilities included in disposal groups classified as held for sale - - 0 - - - 23 - Other liabilities 9,408 12,249 14,309 11,468 9,355 12,269 13,284 12,344 Shareholders' equity: 59,265 50,969 50,797 50,287 49,880 52,221 52,225 51,901 - capital and reserves 48,899 49,228 49,437 49,937 52,570 52,674 52,744 53,077 - net profit (loss) 10,366 1,741 1,360 350 (2,690) (453) (519) (1,176) Total liabilities and Shareholders' equity 461,953 459,074 460,300 452,283 457,612 430,052 429,902 419,520 Reconciliation principles followed for the reclassified income statement The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Dividends and other income from equity investments” of “Profit (Loss) of equity investments valued at equity” and the exclusion of (i) “Dividends from held for trading equity instruments” and (ii) “Dividends on equity investments, shares and equity instruments mandatorily at fair value” which are included in “Net trading income”; • the inclusion in the “Net other expenses/income” of “Other operating expenses/income”, excluding “Recovery of expenses” which is classified under its own item, the exclusion of the costs for “Net value adjustments/write-backs on leasehold improvements” classified among “Other administrative expenses” and inclusion of result of industrial companies; • presentation of “Net other expenses/income”, “Payroll costs”, “Other administrative expenses”, “Amortisation, depreciation and impairment losses on intangible and tangible assets” and “Other charges and provisions” net of any “Integration costs” relating to the reorganisation operations, classified as a separate item; • the exclusion from the “Other administrative expenses” of the Contributions to the Resolution Funds (SRF), the Deposit Guarantee Schemes (DGS), the Bank Levy and the Guarantee fees for DTA reclassified in item “Other charges and provisions”; Report on operations Reclassified company accounts 570 2021 Annual Report and Accounts · UniCredit Reclassified balance sheet - Quarterly figures (€ million) AMOUNTS AS AT AMOUNTS AS AT ASSETS 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Cash and cash balances 72,830 79,701 79,209 66,232 63,334 3,453 3,881 4,077 Financial assets held for trading 13,939 11,535 12,416 12,535 11,231 13,229 11,737 14,284 Loans to banks 26,711 29,025 30,669 32,855 32,917 48,785 45,678 29,603 Loans to customers 192,497 195,427 194,306 198,158 208,835 218,894 222,284 230,261 Other financial assets 129,555 119,242 118,495 117,304 113,826 114,461 114,820 113,645 Hedging instruments 5,720 6,544 6,990 7,349 8,864 8,991 9,000 8,811 Property, plant and equipment 3,806 3,820 3,871 3,941 4,002 4,014 4,055 4,121 Goodwill - - - - - - - - Other intangible assets 7 6 7 7 6 5 4 5 Tax assets 11,142 10,137 10,273 10,468 10,664 10,476 10,458 10,541 Non-current assets and disposal groups classified as held for sale 1,909 126 115 196 255 543 354 464 Other assets 3,837 3,511 3,949 3,238 3,678 7,201 7,631 3,708 Total assets 461,953 459,074 460,300 452,283 457,612 430,052 429,902 419,520 (€ million) AMOUNTS AS AT AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Deposits from banks 86,258 90,274 91,837 96,026 89,152 78,028 82,381 75,130 Deposits from customers 224,961 225,052 225,136 214,686 223,467 203,062 201,369 200,380 Debt securities issued 57,724 58,522 56,370 56,738 59,998 57,428 53,681 52,942 Financial liabilities held for trading 13,636 10,193 9,138 9,807 9,672 10,801 11,064 13,035 Other financial liabilities 5,185 5,373 5,445 5,621 6,076 6,308 5,977 4,338 Hedging instruments 5,503 6,411 7,249 7,641 10,002 9,923 9,890 9,445 Tax liabilities 13 31 19 9 10 12 8 5 Liabilities included in disposal groups classified as held for sale - - 0 - - - 23 - Other liabilities 9,408 12,249 14,309 11,468 9,355 12,269 13,284 12,344 Shareholders' equity: 59,265 50,969 50,797 50,287 49,880 52,221 52,225 51,901 - capital and reserves 48,899 49,228 49,437 49,937 52,570 52,674 52,744 53,077 - net profit (loss) 10,366 1,741 1,360 350 (2,690) (453) (519) (1,176) Total liabilities and Shareholders' equity 461,953 459,074 460,300 452,283 457,612 430,052 429,902 419,520 Reconciliation principles followed for the reclassified income statement The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Dividends and other income from equity investments” of “Profit (Loss) of equity investments valued at equity” and the exclusion of (i) “Dividends from held for trading equity instruments” and (ii) “Dividends on equity investments, shares and equity instruments mandatorily at fair value” which are included in “Net trading income”; • the inclusion in the “Net other expenses/income” of “Other operating expenses/income”, excluding “Recovery of expenses” which is classified under its own item, the exclusion of the costs for “Net value adjustments/write-backs on leasehold improvements” classified among “Other administrative expenses” and inclusion of result of industrial companies; • presentation of “Net other expenses/income”, “Payroll costs”, “Other administrative expenses”, “Amortisation, depreciation and impairment losses on intangible and tangible assets” and “Other charges and provisions” net of any “Integration costs” relating to the reorganisation operations, classified as a separate item; • the exclusion from the “Other administrative expenses” of the Contributions to the Resolution Funds (SRF), the Deposit Guarantee Schemes (DGS), the Bank Levy and the Guarantee fees for DTA reclassified in item “Other charges and provisions”; Report on operations Reclassified company accounts 570 2021 Annual Report and Accounts · UniCredit Reclassified balance sheet - Quarterly figures (€ million) AMOUNTS AS AT AMOUNTS AS AT ASSETS 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Cash and cash balances 72,830 79,701 79,209 66,232 63,334 3,453 3,881 4,077 Financial assets held for trading 13,939 11,535 12,416 12,535 11,231 13,229 11,737 14,284 Loans to banks 26,711 29,025 30,669 32,855 32,917 48,785 45,678 29,603 Loans to customers 192,497 195,427 194,306 198,158 208,835 218,894 222,284 230,261 Other financial assets 129,555 119,242 118,495 117,304 113,826 114,461 114,820 113,645 Hedging instruments 5,720 6,544 6,990 7,349 8,864 8,991 9,000 8,811 Property, plant and equipment 3,806 3,820 3,871 3,941 4,002 4,014 4,055 4,121 Goodwill - - - - - - - - Other intangible assets 7 6 7 7 6 5 4 5 Tax assets 11,142 10,137 10,273 10,468 10,664 10,476 10,458 10,541 Non-current assets and disposal groups classified as held for sale 1,909 126 115 196 255 543 354 464 Other assets 3,837 3,511 3,949 3,238 3,678 7,201 7,631 3,708 Total assets 461,953 459,074 460,300 452,283 457,612 430,052 429,902 419,520 (€ million) AMOUNTS AS AT AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 09.30.2021 06.30.2021 03.31.2021 12.31.2020 09.30.2020 06.30.2020 03.31.2020 Deposits from banks 86,258 90,274 91,837 96,026 89,152 78,028 82,381 75,130 Deposits from customers 224,961 225,052 225,136 214,686 223,467 203,062 201,369 200,380 Debt securities issued 57,724 58,522 56,370 56,738 59,998 57,428 53,681 52,942 Financial liabilities held for trading 13,636 10,193 9,138 9,807 9,672 10,801 11,064 13,035 Other financial liabilities 5,185 5,373 5,445 5,621 6,076 6,308 5,977 4,338 Hedging instruments 5,503 6,411 7,249 7,641 10,002 9,923 9,890 9,445 Tax liabilities 13 31 19 9 10 12 8 5 Liabilities included in disposal groups classified as held for sale - - 0 - - - 23 - Other liabilities 9,408 12,249 14,309 11,468 9,355 12,269 13,284 12,344 Shareholders' equity: 59,265 50,969 50,797 50,287 49,880 52,221 52,225 51,901 - capital and reserves 48,899 49,228 49,437 49,937 52,570 52,674 52,744 53,077 - net profit (loss) 10,366 1,741 1,360 350 (2,690) (453) (519) (1,176) Total liabilities and Shareholders' equity 461,953 459,074 460,300 452,283 457,612 430,052 429,902 419,520 Reconciliation principles followed for the reclassified income statement The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve: • the inclusion in “Dividends and other income from equity investments” of “Profit (Loss) of equity investments valued at equity” and the exclusion of (i) “Dividends from held for trading equity instruments” and (ii) “Dividends on equity investments, shares and equity instruments mandatorily at fair value” which are included in “Net trading income”; • the inclusion in the “Net other expenses/income” of “Other operating expenses/income”, excluding “Recovery of expenses” which is classified under its own item, the exclusion of the costs for “Net value adjustments/write-backs on leasehold improvements” classified among “Other administrative expenses” and inclusion of result of industrial companies; • presentation of “Net other expenses/income”, “Payroll costs”, “Other administrative expenses”, “Amortisation, depreciation and impairment losses on intangible and tangible assets” and “Other charges and provisions” net of any “Integration costs” relating to the reorganisation operations, classified as a separate item; • the exclusion from the “Other administrative expenses” of the Contributions to the Resolution Funds (SRF), the Deposit Guarantee Schemes (DGS), the Bank Levy and the Guarantee fees for DTA reclassified in item “Other charges and provisions”; Report on operations Reclassified company accounts UniCredit · 2021 Annual Report and Accounts 571 • the exclusion from “Amortisation, depreciation and impairment losses on intangible and tangible assets” of impairment/writebacks related to (i) inventories assets (IAS2) obtained from recovery procedures of NPE (ii) rights of use of land and buildings used in the business (classified in item “Net income from investments”) and (iii) tangible in operating lease assets (classified in item “Net other expenses/income”); • in “Net write-downs on loans and provisions for guarantees and commitments”, the inclusion of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income net of debt securities, the gains (losses) on disposal and repurchase of nonperforming financial assets at amortised cost net of debt securities and of the “Net provisions for risks and charges” related to commitments and financial guarantees given; • the inclusion in “Net income from investments” of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income - debt securities, gains (losses) on tangible and intangible assets measured at fair value as well as gains (losses) of equity investments and on disposal on investments, including impacts from revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method not presented to item “Profit (Loss) from non-current assets held for sale after tax”; • the inclusion among “Net trading income” (i) of the net gains (losses) on trading, (ii) of the net gains (losses) on hedge accounting, (iii) of the net gains/losses on other financial assets/liabilities at fair value through profit or loss, (iv) of the gains/losses on disposal or repurchase of financial assets at fair value through other comprehensive income and (v) of the interest income and expenses deriving from Trading Book instruments, excluded the economical hedging or funding banking book positions. Figures of Reclassified income statement relating to 2020 and the first three quarters of 2021 have been restated following the effects of the merger of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. Reclassified income statement (€ million) YEAR CHANGE 2021 2020 P&L % Net interest 3,172 3,511 - 339 - 9.7% Dividends and other income from equity investments 848 3,670 - 2,822 - 76.9% Net fees and commissions 4,093 3,556 + 537 + 15.1% Net trading income 539 457 + 82 + 17.9% Net other expenses/income 16 (171) + 187 n.m. OPERATING INCOME 8,668 11,023 - 2,355 - 21.4% Payroll costs (2,688) (2,697) + 9 - 0.3% Other administrative expenses (1,982) (1,922) - 60 + 3.1% Recovery of expenses 459 402 + 57 + 14.2% Amortisation, depreciation and impairment losses on intangible and tangible assets (317) (336) + 19 - 5.7% Operating costs (4,528) (4,553) + 25 - 0.5% OPERATING PROFIT (LOSS) 4,140 6,470 - 2,330 - 36.0% Net write-downs on loans and provisions for guarantees and commitments (978) (2,736) + 1,758 - 64.3% NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Other charges and provisions (676) (588) - 88 + 15.0% of which: systemic charges (538) (458) - 80 + 17.5% Integration costs (358) (1,345) + 987 - 73.4% Net income from investments 7,304 (4,793) + 12,097 n.m. PROFIT (LOSS) BEFORE TAX 9,432 (2,992) + 12,424 n.m. Income tax for the period 934 302 + 632 n.m. PROFIT (LOSS) AFTER TAX 10,366 (2,690) + 13,056 n.m. Profit (Loss) from non-current assets held for sale after tax - - - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) + 13,056 n.m. Goodwill impairment - - - - NET PROFIT (LOSS) 10,366 (2,690) + 13,056 n.m. Report on operations Reclassified company accounts UniCredit · 2021 Annual Report and Accounts 571 • the exclusion from “Amortisation, depreciation and impairment losses on intangible and tangible assets” of impairment/writebacks related to (i) inventories assets (IAS2) obtained from recovery procedures of NPE (ii) rights of use of land and buildings used in the business (classified in item “Net income from investments”) and (iii) tangible in operating lease assets (classified in item “Net other expenses/income”); • in “Net write-downs on loans and provisions for guarantees and commitments”, the inclusion of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income net of debt securities, the gains (losses) on disposal and repurchase of nonperforming financial assets at amortised cost net of debt securities and of the “Net provisions for risks and charges” related to commitments and financial guarantees given; • the inclusion in “Net income from investments” of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income - debt securities, gains (losses) on tangible and intangible assets measured at fair value as well as gains (losses) of equity investments and on disposal on investments, including impacts from revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method not presented to item “Profit (Loss) from non-current assets held for sale after tax”; • the inclusion among “Net trading income” (i) of the net gains (losses) on trading, (ii) of the net gains (losses) on hedge accounting, (iii) of the net gains/losses on other financial assets/liabilities at fair value through profit or loss, (iv) of the gains/losses on disposal or repurchase of financial assets at fair value through other comprehensive income and (v) of the interest income and expenses deriving from Trading Book instruments, excluded the economical hedging or funding banking book positions. Figures of Reclassified income statement relating to 2020 and the first three quarters of 2021 have been restated following the effects of the merger of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. Reclassified income statement (€ million) YEAR CHANGE 2021 2020 P&L % Net interest 3,172 3,511 - 339 - 9.7% Dividends and other income from equity investments 848 3,670 - 2,822 - 76.9% Net fees and commissions 4,093 3,556 + 537 + 15.1% Net trading income 539 457 + 82 + 17.9% Net other expenses/income 16 (171) + 187 n.m. OPERATING INCOME 8,668 11,023 - 2,355 - 21.4% Payroll costs (2,688) (2,697) + 9 - 0.3% Other administrative expenses (1,982) (1,922) - 60 + 3.1% Recovery of expenses 459 402 + 57 + 14.2% Amortisation, depreciation and impairment losses on intangible and tangible assets (317) (336) + 19 - 5.7% Operating costs (4,528) (4,553) + 25 - 0.5% OPERATING PROFIT (LOSS) 4,140 6,470 - 2,330 - 36.0% Net write-downs on loans and provisions for guarantees and commitments (978) (2,736) + 1,758 - 64.3% NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Other charges and provisions (676) (588) - 88 + 15.0% of which: systemic charges (538) (458) - 80 + 17.5% Integration costs (358) (1,345) + 987 - 73.4% Net income from investments 7,304 (4,793) + 12,097 n.m. PROFIT (LOSS) BEFORE TAX 9,432 (2,992) + 12,424 n.m. Income tax for the period 934 302 + 632 n.m. PROFIT (LOSS) AFTER TAX 10,366 (2,690) + 13,056 n.m. Profit (Loss) from non-current assets held for sale after tax - - - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) + 13,056 n.m. Goodwill impairment - - - - NET PROFIT (LOSS) 10,366 (2,690) + 13,056 n.m. Report on operations Reclassified company accounts UniCredit · 2021 Annual Report and Accounts 571 • the exclusion from “Amortisation, depreciation and impairment losses on intangible and tangible assets” of impairment/writebacks related to (i) inventories assets (IAS2) obtained from recovery procedures of NPE (ii) rights of use of land and buildings used in the business (classified in item “Net income from investments”) and (iii) tangible in operating lease assets (classified in item “Net other expenses/income”); • in “Net write-downs on loans and provisions for guarantees and commitments”, the inclusion of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income net of debt securities, the gains (losses) on disposal and repurchase of nonperforming financial assets at amortised cost net of debt securities and of the “Net provisions for risks and charges” related to commitments and financial guarantees given; • the inclusion in “Net income from investments” of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income - debt securities, gains (losses) on tangible and intangible assets measured at fair value as well as gains (losses) of equity investments and on disposal on investments, including impacts from revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method not presented to item “Profit (Loss) from non-current assets held for sale after tax”; • the inclusion among “Net trading income” (i) of the net gains (losses) on trading, (ii) of the net gains (losses) on hedge accounting, (iii) of the net gains/losses on other financial assets/liabilities at fair value through profit or loss, (iv) of the gains/losses on disposal or repurchase of financial assets at fair value through other comprehensive income and (v) of the interest income and expenses deriving from Trading Book instruments, excluded the economical hedging or funding banking book positions. Figures of Reclassified income statement relating to 2020 and the first three quarters of 2021 have been restated following the effects of the merger of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. Reclassified income statement (€ million) YEAR CHANGE 2021 2020 P&L % Net interest 3,172 3,511 - 339 - 9.7% Dividends and other income from equity investments 848 3,670 - 2,822 - 76.9% Net fees and commissions 4,093 3,556 + 537 + 15.1% Net trading income 539 457 + 82 + 17.9% Net other expenses/income 16 (171) + 187 n.m. OPERATING INCOME 8,668 11,023 - 2,355 - 21.4% Payroll costs (2,688) (2,697) + 9 - 0.3% Other administrative expenses (1,982) (1,922) - 60 + 3.1% Recovery of expenses 459 402 + 57 + 14.2% Amortisation, depreciation and impairment losses on intangible and tangible assets (317) (336) + 19 - 5.7% Operating costs (4,528) (4,553) + 25 - 0.5% OPERATING PROFIT (LOSS) 4,140 6,470 - 2,330 - 36.0% Net write-downs on loans and provisions for guarantees and commitments (978) (2,736) + 1,758 - 64.3% NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Other charges and provisions (676) (588) - 88 + 15.0% of which: systemic charges (538) (458) - 80 + 17.5% Integration costs (358) (1,345) + 987 - 73.4% Net income from investments 7,304 (4,793) + 12,097 n.m. PROFIT (LOSS) BEFORE TAX 9,432 (2,992) + 12,424 n.m. Income tax for the period 934 302 + 632 n.m. PROFIT (LOSS) AFTER TAX 10,366 (2,690) + 13,056 n.m. Profit (Loss) from non-current assets held for sale after tax - - - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) + 13,056 n.m. Goodwill impairment - - - - NET PROFIT (LOSS) 10,366 (2,690) + 13,056 n.m. Report on operations Reclassified company accounts UniCredit · 2021 Annual Report and Accounts 571 • the exclusion from “Amortisation, depreciation and impairment losses on intangible and tangible assets” of impairment/writebacks related to (i) inventories assets (IAS2) obtained from recovery procedures of NPE (ii) rights of use of land and buildings used in the business (classified in item “Net income from investments”) and (iii) tangible in operating lease assets (classified in item “Net other expenses/income”); • in “Net write-downs on loans and provisions for guarantees and commitments”, the inclusion of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income net of debt securities, the gains (losses) on disposal and repurchase of nonperforming financial assets at amortised cost net of debt securities and of the “Net provisions for risks and charges” related to commitments and financial guarantees given; • the inclusion in “Net income from investments” of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income - debt securities, gains (losses) on tangible and intangible assets measured at fair value as well as gains (losses) of equity investments and on disposal on investments, including impacts from revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method not presented to item “Profit (Loss) from non-current assets held for sale after tax”; • the inclusion among “Net trading income” (i) of the net gains (losses) on trading, (ii) of the net gains (losses) on hedge accounting, (iii) of the net gains/losses on other financial assets/liabilities at fair value through profit or loss, (iv) of the gains/losses on disposal or repurchase of financial assets at fair value through other comprehensive income and (v) of the interest income and expenses deriving from Trading Book instruments, excluded the economical hedging or funding banking book positions. Figures of Reclassified income statement relating to 2020 and the first three quarters of 2021 have been restated following the effects of the merger of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. Reclassified income statement (€ million) YEAR CHANGE 2021 2020 P&L % Net interest 3,172 3,511 - 339 - 9.7% Dividends and other income from equity investments 848 3,670 - 2,822 - 76.9% Net fees and commissions 4,093 3,556 + 537 + 15.1% Net trading income 539 457 + 82 + 17.9% Net other expenses/income 16 (171) + 187 n.m. OPERATING INCOME 8,668 11,023 - 2,355 - 21.4% Payroll costs (2,688) (2,697) + 9 - 0.3% Other administrative expenses (1,982) (1,922) - 60 + 3.1% Recovery of expenses 459 402 + 57 + 14.2% Amortisation, depreciation and impairment losses on intangible and tangible assets (317) (336) + 19 - 5.7% Operating costs (4,528) (4,553) + 25 - 0.5% OPERATING PROFIT (LOSS) 4,140 6,470 - 2,330 - 36.0% Net write-downs on loans and provisions for guarantees and commitments (978) (2,736) + 1,758 - 64.3% NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Other charges and provisions (676) (588) - 88 + 15.0% of which: systemic charges (538) (458) - 80 + 17.5% Integration costs (358) (1,345) + 987 - 73.4% Net income from investments 7,304 (4,793) + 12,097 n.m. PROFIT (LOSS) BEFORE TAX 9,432 (2,992) + 12,424 n.m. Income tax for the period 934 302 + 632 n.m. PROFIT (LOSS) AFTER TAX 10,366 (2,690) + 13,056 n.m. Profit (Loss) from non-current assets held for sale after tax - - - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) + 13,056 n.m. Goodwill impairment - - - - NET PROFIT (LOSS) 10,366 (2,690) + 13,056 n.m. Report on operations Reclassified company accounts UniCredit · 2021 Annual Report and Accounts 571 • the exclusion from “Amortisation, depreciation and impairment losses on intangible and tangible assets” of impairment/writebacks related to (i) inventories assets (IAS2) obtained from recovery procedures of NPE (ii) rights of use of land and buildings used in the business (classified in item “Net income from investments”) and (iii) tangible in operating lease assets (classified in item “Net other expenses/income”); • in “Net write-downs on loans and provisions for guarantees and commitments”, the inclusion of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income net of debt securities, the gains (losses) on disposal and repurchase of nonperforming financial assets at amortised cost net of debt securities and of the “Net provisions for risks and charges” related to commitments and financial guarantees given; • the inclusion in “Net income from investments” of net losses/recoveries on financial assets at amortised cost and at fair value through other comprehensive income - debt securities, gains (losses) on tangible and intangible assets measured at fair value as well as gains (losses) of equity investments and on disposal on investments, including impacts from revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method not presented to item “Profit (Loss) from non-current assets held for sale after tax”; • the inclusion among “Net trading income” (i) of the net gains (losses) on trading, (ii) of the net gains (losses) on hedge accounting, (iii) of the net gains/losses on other financial assets/liabilities at fair value through profit or loss, (iv) of the gains/losses on disposal or repurchase of financial assets at fair value through other comprehensive income and (v) of the interest income and expenses deriving from Trading Book instruments, excluded the economical hedging or funding banking book positions. Figures of Reclassified income statement relating to 2020 and the first three quarters of 2021 have been restated following the effects of the merger of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. Reclassified income statement (€ million) YEAR CHANGE 2021 2020 P&L % Net interest 3,172 3,511 - 339 - 9.7% Dividends and other income from equity investments 848 3,670 - 2,822 - 76.9% Net fees and commissions 4,093 3,556 + 537 + 15.1% Net trading income 539 457 + 82 + 17.9% Net other expenses/income 16 (171) + 187 n.m. OPERATING INCOME 8,668 11,023 - 2,355 - 21.4% Payroll costs (2,688) (2,697) + 9 - 0.3% Other administrative expenses (1,982) (1,922) - 60 + 3.1% Recovery of expenses 459 402 + 57 + 14.2% Amortisation, depreciation and impairment losses on intangible and tangible assets (317) (336) + 19 - 5.7% Operating costs (4,528) (4,553) + 25 - 0.5% OPERATING PROFIT (LOSS) 4,140 6,470 - 2,330 - 36.0% Net write-downs on loans and provisions for guarantees and commitments (978) (2,736) + 1,758 - 64.3% NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Other charges and provisions (676) (588) - 88 + 15.0% of which: systemic charges (538) (458) - 80 + 17.5% Integration costs (358) (1,345) + 987 - 73.4% Net income from investments 7,304 (4,793) + 12,097 n.m. PROFIT (LOSS) BEFORE TAX 9,432 (2,992) + 12,424 n.m. Income tax for the period 934 302 + 632 n.m. PROFIT (LOSS) AFTER TAX 10,366 (2,690) + 13,056 n.m. Profit (Loss) from non-current assets held for sale after tax - - - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) + 13,056 n.m. Goodwill impairment - - - - NET PROFIT (LOSS) 10,366 (2,690) + 13,056 n.m. Report on operations Reclassified company accounts 572 2021 Annual Report and Accounts · UniCredit Reclassified income statement - Quarterly figures (€ million) 2021 2020 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Net interest 859 769 764 780 831 865 905 910 Dividends and other income from equity investments 151 (1) 658 40 (178) 89 3,594 165 Net fees and commissions 1,026 995 1,030 1,042 903 881 794 978 Net trading income 4 180 177 178 156 107 143 51 Net other expenses/income 7 (14) (27) 50 (73) (11) (79) (8) OPERATING INCOME 2,047 1,929 2,602 2,090 1,639 1,931 5,357 2,096 Payroll costs (683) (668) (672) (665) (643) (664) (690) (700) Other administrative expenses (517) (481) (505) (479) (489) (484) (474) (475) Recovery of expenses 150 104 105 100 110 98 99 95 Amortisation, depreciation and impairment losses on intangible and tangible assets (78) (79) (81) (79) (84) (76) (94) (82) Operating costs (1,128) (1,124) (1,153) (1,123) (1,106) (1,126) (1,159) (1,162) OPERATING PROFIT (LOSS) 919 805 1,449 967 533 805 4,198 934 Net write-downs on loans and provisions for guarantees and commitments (420) (181) (261) (116) (1,132) (425) (537) (642) NET OPERATING PROFIT (LOSS) 499 624 1,188 851 (599) 380 3,661 292 Other charges and provisions (139) (153) (136) (248) (106) (149) (141) (192) o/w systemic charges (47) (169) (92) (230) (26) (161) (102) (169) Integration costs (351) (1) (7) 1 (26) (38) (3) (1,278) Net income from investments 7,409 26 (7) (124) (1,660) (184) (2,901) (48) PROFIT (LOSS) BEFORE TAX 7,418 496 1,038 480 (2,391) 9 616 (1,226) Income tax for the period 1,207 (115) (28) (130) 154 57 41 50 PROFIT (LOSS) AFTER TAX 8,625 381 1,010 350 (2,237) 66 657 (1,176) Profit (Loss) from non-current assets held for sale, after tax - - - - - - - - PROFIT (LOSS) FOR THE PERIOD 8,625 381 1,010 350 (2,237) 66 657 (1,176) Goodwill impairment - - - - - - - - NET PROFIT (LOSS) 8,625 381 1,010 350 (2,237) 66 657 (1,176) Reclassified income statement – Quarterly figures Report on operations Reclassified company accounts 572 2021 Annual Report and Accounts · UniCredit Reclassified income statement - Quarterly figures (€ million) 2021 2020 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Net interest 859 769 764 780 831 865 905 910 Dividends and other income from equity investments 151 (1) 658 40 (178) 89 3,594 165 Net fees and commissions 1,026 995 1,030 1,042 903 881 794 978 Net trading income 4 180 177 178 156 107 143 51 Net other expenses/income 7 (14) (27) 50 (73) (11) (79) (8) OPERATING INCOME 2,047 1,929 2,602 2,090 1,639 1,931 5,357 2,096 Payroll costs (683) (668) (672) (665) (643) (664) (690) (700) Other administrative expenses (517) (481) (505) (479) (489) (484) (474) (475) Recovery of expenses 150 104 105 100 110 98 99 95 Amortisation, depreciation and impairment losses on intangible and tangible assets (78) (79) (81) (79) (84) (76) (94) (82) Operating costs (1,128) (1,124) (1,153) (1,123) (1,106) (1,126) (1,159) (1,162) OPERATING PROFIT (LOSS) 919 805 1,449 967 533 805 4,198 934 Net write-downs on loans and provisions for guarantees and commitments (420) (181) (261) (116) (1,132) (425) (537) (642) NET OPERATING PROFIT (LOSS) 499 624 1,188 851 (599) 380 3,661 292 Other charges and provisions (139) (153) (136) (248) (106) (149) (141) (192) o/w systemic charges (47) (169) (92) (230) (26) (161) (102) (169) Integration costs (351) (1) (7) 1 (26) (38) (3) (1,278) Net income from investments 7,409 26 (7) (124) (1,660) (184) (2,901) (48) PROFIT (LOSS) BEFORE TAX 7,418 496 1,038 480 (2,391) 9 616 (1,226) Income tax for the period 1,207 (115) (28) (130) 154 57 41 50 PROFIT (LOSS) AFTER TAX 8,625 381 1,010 350 (2,237) 66 657 (1,176) Profit (Loss) from non-current assets held for sale, after tax - - - - - - - - PROFIT (LOSS) FOR THE PERIOD 8,625 381 1,010 350 (2,237) 66 657 (1,176) Goodwill impairment - - - - - - - - NET PROFIT (LOSS) 8,625 381 1,010 350 (2,237) 66 657 (1,176) Reclassified income statement – Quarterly figures Report on operations Reclassified company accounts 572 2021 Annual Report and Accounts · UniCredit Reclassified income statement - Quarterly figures (€ million) 2021 2020 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Net interest 859 769 764 780 831 865 905 910 Dividends and other income from equity investments 151 (1) 658 40 (178) 89 3,594 165 Net fees and commissions 1,026 995 1,030 1,042 903 881 794 978 Net trading income 4 180 177 178 156 107 143 51 Net other expenses/income 7 (14) (27) 50 (73) (11) (79) (8) OPERATING INCOME 2,047 1,929 2,602 2,090 1,639 1,931 5,357 2,096 Payroll costs (683) (668) (672) (665) (643) (664) (690) (700) Other administrative expenses (517) (481) (505) (479) (489) (484) (474) (475) Recovery of expenses 150 104 105 100 110 98 99 95 Amortisation, depreciation and impairment losses on intangible and tangible assets (78) (79) (81) (79) (84) (76) (94) (82) Operating costs (1,128) (1,124) (1,153) (1,123) (1,106) (1,126) (1,159) (1,162) OPERATING PROFIT (LOSS) 919 805 1,449 967 533 805 4,198 934 Net write-downs on loans and provisions for guarantees and commitments (420) (181) (261) (116) (1,132) (425) (537) (642) NET OPERATING PROFIT (LOSS) 499 624 1,188 851 (599) 380 3,661 292 Other charges and provisions (139) (153) (136) (248) (106) (149) (141) (192) o/w systemic charges (47) (169) (92) (230) (26) (161) (102) (169) Integration costs (351) (1) (7) 1 (26) (38) (3) (1,278) Net income from investments 7,409 26 (7) (124) (1,660) (184) (2,901) (48) PROFIT (LOSS) BEFORE TAX 7,418 496 1,038 480 (2,391) 9 616 (1,226) Income tax for the period 1,207 (115) (28) (130) 154 57 41 50 PROFIT (LOSS) AFTER TAX 8,625 381 1,010 350 (2,237) 66 657 (1,176) Profit (Loss) from non-current assets held for sale, after tax - - - - - - - - PROFIT (LOSS) FOR THE PERIOD 8,625 381 1,010 350 (2,237) 66 657 (1,176) Goodwill impairment - - - - - - - - NET PROFIT (LOSS) 8,625 381 1,010 350 (2,237) 66 657 (1,176) Reclassified income statement – Quarterly figures Report on operations Reclassified company accounts 572 2021 Annual Report and Accounts · UniCredit Reclassified income statement - Quarterly figures (€ million) 2021 2020 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Net interest 859 769 764 780 831 865 905 910 Dividends and other income from equity investments 151 (1) 658 40 (178) 89 3,594 165 Net fees and commissions 1,026 995 1,030 1,042 903 881 794 978 Net trading income 4 180 177 178 156 107 143 51 Net other expenses/income 7 (14) (27) 50 (73) (11) (79) (8) OPERATING INCOME 2,047 1,929 2,602 2,090 1,639 1,931 5,357 2,096 Payroll costs (683) (668) (672) (665) (643) (664) (690) (700) Other administrative expenses (517) (481) (505) (479) (489) (484) (474) (475) Recovery of expenses 150 104 105 100 110 98 99 95 Amortisation, depreciation and impairment losses on intangible and tangible assets (78) (79) (81) (79) (84) (76) (94) (82) Operating costs (1,128) (1,124) (1,153) (1,123) (1,106) (1,126) (1,159) (1,162) OPERATING PROFIT (LOSS) 919 805 1,449 967 533 805 4,198 934 Net write-downs on loans and provisions for guarantees and commitments (420) (181) (261) (116) (1,132) (425) (537) (642) NET OPERATING PROFIT (LOSS) 499 624 1,188 851 (599) 380 3,661 292 Other charges and provisions (139) (153) (136) (248) (106) (149) (141) (192) o/w systemic charges (47) (169) (92) (230) (26) (161) (102) (169) Integration costs (351) (1) (7) 1 (26) (38) (3) (1,278) Net income from investments 7,409 26 (7) (124) (1,660) (184) (2,901) (48) PROFIT (LOSS) BEFORE TAX 7,418 496 1,038 480 (2,391) 9 616 (1,226) Income tax for the period 1,207 (115) (28) (130) 154 57 41 50 PROFIT (LOSS) AFTER TAX 8,625 381 1,010 350 (2,237) 66 657 (1,176) Profit (Loss) from non-current assets held for sale, after tax - - - - - - - - PROFIT (LOSS) FOR THE PERIOD 8,625 381 1,010 350 (2,237) 66 657 (1,176) Goodwill impairment - - - - - - - - NET PROFIT (LOSS) 8,625 381 1,010 350 (2,237) 66 657 (1,176) Reclassified income statement – Quarterly figures Report on operations Reclassified company accounts 572 2021 Annual Report and Accounts · UniCredit Reclassified income statement - Quarterly figures (€ million) 2021 2020 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Net interest 859 769 764 780 831 865 905 910 Dividends and other income from equity investments 151 (1) 658 40 (178) 89 3,594 165 Net fees and commissions 1,026 995 1,030 1,042 903 881 794 978 Net trading income 4 180 177 178 156 107 143 51 Net other expenses/income 7 (14) (27) 50 (73) (11) (79) (8) OPERATING INCOME 2,047 1,929 2,602 2,090 1,639 1,931 5,357 2,096 Payroll costs (683) (668) (672) (665) (643) (664) (690) (700) Other administrative expenses (517) (481) (505) (479) (489) (484) (474) (475) Recovery of expenses 150 104 105 100 110 98 99 95 Amortisation, depreciation and impairment losses on intangible and tangible assets (78) (79) (81) (79) (84) (76) (94) (82) Operating costs (1,128) (1,124) (1,153) (1,123) (1,106) (1,126) (1,159) (1,162) OPERATING PROFIT (LOSS) 919 805 1,449 967 533 805 4,198 934 Net write-downs on loans and provisions for guarantees and commitments (420) (181) (261) (116) (1,132) (425) (537) (642) NET OPERATING PROFIT (LOSS) 499 624 1,188 851 (599) 380 3,661 292 Other charges and provisions (139) (153) (136) (248) (106) (149) (141) (192) o/w systemic charges (47) (169) (92) (230) (26) (161) (102) (169) Integration costs (351) (1) (7) 1 (26) (38) (3) (1,278) Net income from investments 7,409 26 (7) (124) (1,660) (184) (2,901) (48) PROFIT (LOSS) BEFORE TAX 7,418 496 1,038 480 (2,391) 9 616 (1,226) Income tax for the period 1,207 (115) (28) (130) 154 57 41 50 PROFIT (LOSS) AFTER TAX 8,625 381 1,010 350 (2,237) 66 657 (1,176) Profit (Loss) from non-current assets held for sale, after tax - - - - - - - - PROFIT (LOSS) FOR THE PERIOD 8,625 381 1,010 350 (2,237) 66 657 (1,176) Goodwill impairment - - - - - - - - NET PROFIT (LOSS) 8,625 381 1,010 350 (2,237) 66 657 (1,176) Reclassified income statement – Quarterly figures Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 573 Results of the year Main results and performance for the period The income statement Breakdown of operating profit Net operating profit (loss) on 31 December 2021 totaled €3,162 million, down €572 million on the previous year. The Operating profit totaled €4,140 million (-€2,330 million year on year, -36.0%) and Net write-downs of loans amounted to -€978 million (up +€1,758 million versus December 2020). The annual decrease in the Operating profit (loss) compared to December 2020 is mainly attributable to the reduction in Operating income (-€2,355 million). Net operating profit (loss) (€ million) YEAR CHANGE 2021 2020 P&L % OPERATING INCOME 8,668 11,023 - 2,355 - 21.4% Operating costs (4,528) (4,553) + 25 - 0.5% OPERATING PROFIT (LOSS) 4,140 6,470 - 2,330 - 36.0% Net write-downs of loans and provisions for guarantees and commitments (978) (2,736) + 1,758 - 64.3% NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Operating income At 31 December 2021 Operating income totaled €8,668 million, down -€2,355 million (-21.4%) on the previous year. The decrease was mainly attributable to the reduction of Dividends and other income from equity investments (-€2,822 million) and Net Interest (-€339 million), partially offset by the increase in Net fees and commissions (+€537 million) and Balance of other operating income and charges (+€187 million). Net interest at December 2021 amounted to €3,172 million, down compared to the previous year (-9.7%). In 2021, the persistence of Covid-19 pandemic disease and a persistent negative interest rates scenario contributed to the contraction of customer loans rates, due to the effects related to government-guaranteed credit recourse and to the rebalancing in credit portfolio composition leading to the reduction of short term loans, usually characterized by an higher profitability. Even in 2021, the growth of deposits volumes reflects the strong increase in savings, especially household savings, as a consequence of the pandemic, restraining measures and supply bottlenecks which led to a decrease in sales of goods and services During the year, the Bank executed its medium/long term Financial Plan adopting the usual approach of using a variety structures/currencies/instruments to avoid maturities concentration risk and to benefit a large degree of name recognition with Investors. As far as senior funding is concerned, in January the Bank issued with success a Dual Tranche Senior Preferred transaction for a total combined amount of €2.000 million (5-year and 10-year maturities); in May the Bank placed a Dual Tranche Senior Preferred transaction for a total combined amount of $2.000 million (6-year maturity and callable after 5 years one tranche and 11-year maturity and callable after 10 years second tranche); in June the Bank issued its Inaugural Senior Preferred Green Bond for a total amount of €1.000 million (8-year maturity and callable after 7 years); finally, in October the Bank issued a Senior Preferred Retail Social Bond for a total amount of €155 million (10-year maturity, floater with cap & floor). The Bank has also served the demand of structured products mainly coming from its network by issued certificates for circa €500 million (7 years average maturity). Regarding subordinated debt, in June the Bank launched an Additional Tier 1 Perpetual Non-Call (so-called Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes), not callable before June 2028 for a total amount of €750 million. The result from the mentioned issuances allowed to comply with various applicable regulatory requirements, maintaining at the same time an appropriate level of liquidity. Dividends recorded in 2021 totaled €848 million, down compared to previous year (-76.9%). The decrease was mainly due to less dividends distributed by UniCredit Bank AG, amounted to +€400 million respect €3,288 million (including +€2,500 million of extraordinary dividends) distributed in 2020. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 573 Results of the year Main results and performance for the period The income statement Breakdown of operating profit Net operating profit (loss) on 31 December 2021 totaled €3,162 million, down €572 million on the previous year. The Operating profit totaled €4,140 million (-€2,330 million year on year, -36.0%) and Net write-downs of loans amounted to -€978 million (up +€1,758 million versus December 2020). The annual decrease in the Operating profit (loss) compared to December 2020 is mainly attributable to the reduction in Operating income (-€2,355 million). Net operating profit (loss) (€ million) YEAR CHANGE 2021 2020 P&L % OPERATING INCOME 8,668 11,023 - 2,355 - 21.4% Operating costs (4,528) (4,553) + 25 - 0.5% OPERATING PROFIT (LOSS) 4,140 6,470 - 2,330 - 36.0% Net write-downs of loans and provisions for guarantees and commitments (978) (2,736) + 1,758 - 64.3% NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Operating income At 31 December 2021 Operating income totaled €8,668 million, down -€2,355 million (-21.4%) on the previous year. The decrease was mainly attributable to the reduction of Dividends and other income from equity investments (-€2,822 million) and Net Interest (-€339 million), partially offset by the increase in Net fees and commissions (+€537 million) and Balance of other operating income and charges (+€187 million). Net interest at December 2021 amounted to €3,172 million, down compared to the previous year (-9.7%). In 2021, the persistence of Covid-19 pandemic disease and a persistent negative interest rates scenario contributed to the contraction of customer loans rates, due to the effects related to government-guaranteed credit recourse and to the rebalancing in credit portfolio composition leading to the reduction of short term loans, usually characterized by an higher profitability. Even in 2021, the growth of deposits volumes reflects the strong increase in savings, especially household savings, as a consequence of the pandemic, restraining measures and supply bottlenecks which led to a decrease in sales of goods and services During the year, the Bank executed its medium/long term Financial Plan adopting the usual approach of using a variety structures/currencies/instruments to avoid maturities concentration risk and to benefit a large degree of name recognition with Investors. As far as senior funding is concerned, in January the Bank issued with success a Dual Tranche Senior Preferred transaction for a total combined amount of €2.000 million (5-year and 10-year maturities); in May the Bank placed a Dual Tranche Senior Preferred transaction for a total combined amount of $2.000 million (6-year maturity and callable after 5 years one tranche and 11-year maturity and callable after 10 years second tranche); in June the Bank issued its Inaugural Senior Preferred Green Bond for a total amount of €1.000 million (8-year maturity and callable after 7 years); finally, in October the Bank issued a Senior Preferred Retail Social Bond for a total amount of €155 million (10-year maturity, floater with cap & floor). The Bank has also served the demand of structured products mainly coming from its network by issued certificates for circa €500 million (7 years average maturity). Regarding subordinated debt, in June the Bank launched an Additional Tier 1 Perpetual Non-Call (so-called Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes), not callable before June 2028 for a total amount of €750 million. The result from the mentioned issuances allowed to comply with various applicable regulatory requirements, maintaining at the same time an appropriate level of liquidity. Dividends recorded in 2021 totaled €848 million, down compared to previous year (-76.9%). The decrease was mainly due to less dividends distributed by UniCredit Bank AG, amounted to +€400 million respect €3,288 million (including +€2,500 million of extraordinary dividends) distributed in 2020. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 573 Results of the year Main results and performance for the period The income statement Breakdown of operating profit Net operating profit (loss) on 31 December 2021 totaled €3,162 million, down €572 million on the previous year. The Operating profit totaled €4,140 million (-€2,330 million year on year, -36.0%) and Net write-downs of loans amounted to -€978 million (up +€1,758 million versus December 2020). The annual decrease in the Operating profit (loss) compared to December 2020 is mainly attributable to the reduction in Operating income (-€2,355 million). Net operating profit (loss) (€ million) YEAR CHANGE 2021 2020 P&L % OPERATING INCOME 8,668 11,023 - 2,355 - 21.4% Operating costs (4,528) (4,553) + 25 - 0.5% OPERATING PROFIT (LOSS) 4,140 6,470 - 2,330 - 36.0% Net write-downs of loans and provisions for guarantees and commitments (978) (2,736) + 1,758 - 64.3% NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Operating income At 31 December 2021 Operating income totaled €8,668 million, down -€2,355 million (-21.4%) on the previous year. The decrease was mainly attributable to the reduction of Dividends and other income from equity investments (-€2,822 million) and Net Interest (-€339 million), partially offset by the increase in Net fees and commissions (+€537 million) and Balance of other operating income and charges (+€187 million). Net interest at December 2021 amounted to €3,172 million, down compared to the previous year (-9.7%). In 2021, the persistence of Covid-19 pandemic disease and a persistent negative interest rates scenario contributed to the contraction of customer loans rates, due to the effects related to government-guaranteed credit recourse and to the rebalancing in credit portfolio composition leading to the reduction of short term loans, usually characterized by an higher profitability. Even in 2021, the growth of deposits volumes reflects the strong increase in savings, especially household savings, as a consequence of the pandemic, restraining measures and supply bottlenecks which led to a decrease in sales of goods and services During the year, the Bank executed its medium/long term Financial Plan adopting the usual approach of using a variety structures/currencies/instruments to avoid maturities concentration risk and to benefit a large degree of name recognition with Investors. As far as senior funding is concerned, in January the Bank issued with success a Dual Tranche Senior Preferred transaction for a total combined amount of €2.000 million (5-year and 10-year maturities); in May the Bank placed a Dual Tranche Senior Preferred transaction for a total combined amount of $2.000 million (6-year maturity and callable after 5 years one tranche and 11-year maturity and callable after 10 years second tranche); in June the Bank issued its Inaugural Senior Preferred Green Bond for a total amount of €1.000 million (8-year maturity and callable after 7 years); finally, in October the Bank issued a Senior Preferred Retail Social Bond for a total amount of €155 million (10-year maturity, floater with cap & floor). The Bank has also served the demand of structured products mainly coming from its network by issued certificates for circa €500 million (7 years average maturity). Regarding subordinated debt, in June the Bank launched an Additional Tier 1 Perpetual Non-Call (so-called Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes), not callable before June 2028 for a total amount of €750 million. The result from the mentioned issuances allowed to comply with various applicable regulatory requirements, maintaining at the same time an appropriate level of liquidity. Dividends recorded in 2021 totaled €848 million, down compared to previous year (-76.9%). The decrease was mainly due to less dividends distributed by UniCredit Bank AG, amounted to +€400 million respect €3,288 million (including +€2,500 million of extraordinary dividends) distributed in 2020. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 573 Results of the year Main results and performance for the period The income statement Breakdown of operating profit Net operating profit (loss) on 31 December 2021 totaled €3,162 million, down €572 million on the previous year. The Operating profit totaled €4,140 million (-€2,330 million year on year, -36.0%) and Net write-downs of loans amounted to -€978 million (up +€1,758 million versus December 2020). The annual decrease in the Operating profit (loss) compared to December 2020 is mainly attributable to the reduction in Operating income (-€2,355 million). Net operating profit (loss) (€ million) YEAR CHANGE 2021 2020 P&L % OPERATING INCOME 8,668 11,023 - 2,355 - 21.4% Operating costs (4,528) (4,553) + 25 - 0.5% OPERATING PROFIT (LOSS) 4,140 6,470 - 2,330 - 36.0% Net write-downs of loans and provisions for guarantees and commitments (978) (2,736) + 1,758 - 64.3% NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Operating income At 31 December 2021 Operating income totaled €8,668 million, down -€2,355 million (-21.4%) on the previous year. The decrease was mainly attributable to the reduction of Dividends and other income from equity investments (-€2,822 million) and Net Interest (-€339 million), partially offset by the increase in Net fees and commissions (+€537 million) and Balance of other operating income and charges (+€187 million). Net interest at December 2021 amounted to €3,172 million, down compared to the previous year (-9.7%). In 2021, the persistence of Covid-19 pandemic disease and a persistent negative interest rates scenario contributed to the contraction of customer loans rates, due to the effects related to government-guaranteed credit recourse and to the rebalancing in credit portfolio composition leading to the reduction of short term loans, usually characterized by an higher profitability. Even in 2021, the growth of deposits volumes reflects the strong increase in savings, especially household savings, as a consequence of the pandemic, restraining measures and supply bottlenecks which led to a decrease in sales of goods and services During the year, the Bank executed its medium/long term Financial Plan adopting the usual approach of using a variety structures/currencies/instruments to avoid maturities concentration risk and to benefit a large degree of name recognition with Investors. As far as senior funding is concerned, in January the Bank issued with success a Dual Tranche Senior Preferred transaction for a total combined amount of €2.000 million (5-year and 10-year maturities); in May the Bank placed a Dual Tranche Senior Preferred transaction for a total combined amount of $2.000 million (6-year maturity and callable after 5 years one tranche and 11-year maturity and callable after 10 years second tranche); in June the Bank issued its Inaugural Senior Preferred Green Bond for a total amount of €1.000 million (8-year maturity and callable after 7 years); finally, in October the Bank issued a Senior Preferred Retail Social Bond for a total amount of €155 million (10-year maturity, floater with cap & floor). The Bank has also served the demand of structured products mainly coming from its network by issued certificates for circa €500 million (7 years average maturity). Regarding subordinated debt, in June the Bank launched an Additional Tier 1 Perpetual Non-Call (so-called Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes), not callable before June 2028 for a total amount of €750 million. The result from the mentioned issuances allowed to comply with various applicable regulatory requirements, maintaining at the same time an appropriate level of liquidity. Dividends recorded in 2021 totaled €848 million, down compared to previous year (-76.9%). The decrease was mainly due to less dividends distributed by UniCredit Bank AG, amounted to +€400 million respect €3,288 million (including +€2,500 million of extraordinary dividends) distributed in 2020. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 573 Results of the year Main results and performance for the period The income statement Breakdown of operating profit Net operating profit (loss) on 31 December 2021 totaled €3,162 million, down €572 million on the previous year. The Operating profit totaled €4,140 million (-€2,330 million year on year, -36.0%) and Net write-downs of loans amounted to -€978 million (up +€1,758 million versus December 2020). The annual decrease in the Operating profit (loss) compared to December 2020 is mainly attributable to the reduction in Operating income (-€2,355 million). Net operating profit (loss) (€ million) YEAR CHANGE 2021 2020 P&L % OPERATING INCOME 8,668 11,023 - 2,355 - 21.4% Operating costs (4,528) (4,553) + 25 - 0.5% OPERATING PROFIT (LOSS) 4,140 6,470 - 2,330 - 36.0% Net write-downs of loans and provisions for guarantees and commitments (978) (2,736) + 1,758 - 64.3% NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Operating income At 31 December 2021 Operating income totaled €8,668 million, down -€2,355 million (-21.4%) on the previous year. The decrease was mainly attributable to the reduction of Dividends and other income from equity investments (-€2,822 million) and Net Interest (-€339 million), partially offset by the increase in Net fees and commissions (+€537 million) and Balance of other operating income and charges (+€187 million). Net interest at December 2021 amounted to €3,172 million, down compared to the previous year (-9.7%). In 2021, the persistence of Covid-19 pandemic disease and a persistent negative interest rates scenario contributed to the contraction of customer loans rates, due to the effects related to government-guaranteed credit recourse and to the rebalancing in credit portfolio composition leading to the reduction of short term loans, usually characterized by an higher profitability. Even in 2021, the growth of deposits volumes reflects the strong increase in savings, especially household savings, as a consequence of the pandemic, restraining measures and supply bottlenecks which led to a decrease in sales of goods and services During the year, the Bank executed its medium/long term Financial Plan adopting the usual approach of using a variety structures/currencies/instruments to avoid maturities concentration risk and to benefit a large degree of name recognition with Investors. As far as senior funding is concerned, in January the Bank issued with success a Dual Tranche Senior Preferred transaction for a total combined amount of €2.000 million (5-year and 10-year maturities); in May the Bank placed a Dual Tranche Senior Preferred transaction for a total combined amount of $2.000 million (6-year maturity and callable after 5 years one tranche and 11-year maturity and callable after 10 years second tranche); in June the Bank issued its Inaugural Senior Preferred Green Bond for a total amount of €1.000 million (8-year maturity and callable after 7 years); finally, in October the Bank issued a Senior Preferred Retail Social Bond for a total amount of €155 million (10-year maturity, floater with cap & floor). The Bank has also served the demand of structured products mainly coming from its network by issued certificates for circa €500 million (7 years average maturity). Regarding subordinated debt, in June the Bank launched an Additional Tier 1 Perpetual Non-Call (so-called Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes), not callable before June 2028 for a total amount of €750 million. The result from the mentioned issuances allowed to comply with various applicable regulatory requirements, maintaining at the same time an appropriate level of liquidity. Dividends recorded in 2021 totaled €848 million, down compared to previous year (-76.9%). The decrease was mainly due to less dividends distributed by UniCredit Bank AG, amounted to +€400 million respect €3,288 million (including +€2,500 million of extraordinary dividends) distributed in 2020. Report on operations Results of the year 574 2021 Annual Report and Accounts · UniCredit Net fees and commissions income and expenses at 31 December 2021 amounted to €4,093 million, up to €537 million (+15.1%) year on year. The increase was mainly due to Asset management, custody and administration services (+€408 million), driven by mutual funds. Increase also in current accounts, loans and credit commitments sector (+€58 million) and in Collection and payment services (+€53 million). Net trading income at December 2021 (+€539 million) was essentially attributable to the gains from investment portfolio (+€177 million), hedging activity in derivatives with customers (+€101 million), hedging activity of Turkish lira exposure (+€74 million) due to equity investment on Yapi Ve Kredi Bankasi A.S., the effects of the revaluation of the issuance of Additional Tier1 of UniCredit Bank AG (+€63 million) and Certificates and their derivatives (+€22 million). In 2021, the effects of the revaluation of the hedging derivative related to the issuance in USD of Additional Tier1 instruments amounted to €22 million. In addition, the effects of the evaluation of Visa Inc (+€6 million), Webuild S.p.A. (+€39 million) and Yapi VE Kredi Bankasi A.S. (-€32 million) were recorded, the latter classified in December 2021 as a financial asset measured at fair value through profit or loss following the loss of UniCredit’s significant influence. In 2021 gains related to XVA - Credit, Funding and Debt Value Adjustment, amounting to +€31 million, were partially offset by losses from relative hedging activity (-€28 million). Overall, Net trading income increased by +€82 million compared to the previous year (+17,9%). The mainly changes in comparison with 2020 are attributable to the following: • +€74 million related to the hedging of Turkish lira exposure due to equity investment on Yapi Ve Kredi Bankasi A.S.; • +€58 million related to the effects of Webuild S.p.A. revaluation; • +€29 million due to higher gains from investment portfolio; • +€20 million due to gains related to XVA - Credit, Funding and Debt Value Adjustment and its relative hedging activity; • -€51 million related to Certificates and their derivatives; • -€33 million related to Additional Tier 1 of UniCredit Bank AG. The balance of other operating income and charges at December 2021 amounted to €16 million, increasing by +€187 million year-on-year. The main impacts in 2021 derived from updating the overall terms of the outsourcing agreement with SIA company for +€113 million and to net charges and income related to company activities (mainly compensation, rebates, services provided, activities related to customer, recoveries and rents) totaling -€99 million. Operating costs The total of Operating costs at December 2021 amounted to -€4,528 million, decreasing of -€25 million (-0.5%) compared to the previous year. Staff expenses, amounted to -€2,688 million, decreased compared to 2020 of about €9 million (-0.3%), mainly due to the effect of staff structure reduction. Full Time Equivalent (FTE) evolution stands at 30,823 at 31 December 2021 and showed a decrease of about 1,750 FTE year-on-year thanks to multiyear personnel exit plan linked with Team23. Other administrative expenses in 2021 recorded -€1,982 million, up €60 million (3.1%) compared to 2020. The increase was concentrated on costs related to digitalization projects (+€58 million). Recovery of expenses, amounting to €459 million, increased (+€57 million and +14.2% compared to the previous year), primarily for higher recovery on credit recovery expenses and on stamp duties. Amortization, depreciation and impairment losses on intangible and tangible assets amounted to -€317 million, decreasing (-5.7%) compared to the previous year connected with rationalization of real estate assets. Report on operations Results of the year 574 2021 Annual Report and Accounts · UniCredit Net fees and commissions income and expenses at 31 December 2021 amounted to €4,093 million, up to €537 million (+15.1%) year on year. The increase was mainly due to Asset management, custody and administration services (+€408 million), driven by mutual funds. Increase also in current accounts, loans and credit commitments sector (+€58 million) and in Collection and payment services (+€53 million). Net trading income at December 2021 (+€539 million) was essentially attributable to the gains from investment portfolio (+€177 million), hedging activity in derivatives with customers (+€101 million), hedging activity of Turkish lira exposure (+€74 million) due to equity investment on Yapi Ve Kredi Bankasi A.S., the effects of the revaluation of the issuance of Additional Tier1 of UniCredit Bank AG (+€63 million) and Certificates and their derivatives (+€22 million). In 2021, the effects of the revaluation of the hedging derivative related to the issuance in USD of Additional Tier1 instruments amounted to €22 million. In addition, the effects of the evaluation of Visa Inc (+€6 million), Webuild S.p.A. (+€39 million) and Yapi VE Kredi Bankasi A.S. (-€32 million) were recorded, the latter classified in December 2021 as a financial asset measured at fair value through profit or loss following the loss of UniCredit’s significant influence. In 2021 gains related to XVA - Credit, Funding and Debt Value Adjustment, amounting to +€31 million, were partially offset by losses from relative hedging activity (-€28 million). Overall, Net trading income increased by +€82 million compared to the previous year (+17,9%). The mainly changes in comparison with 2020 are attributable to the following: • +€74 million related to the hedging of Turkish lira exposure due to equity investment on Yapi Ve Kredi Bankasi A.S.; • +€58 million related to the effects of Webuild S.p.A. revaluation; • +€29 million due to higher gains from investment portfolio; • +€20 million due to gains related to XVA - Credit, Funding and Debt Value Adjustment and its relative hedging activity; • -€51 million related to Certificates and their derivatives; • -€33 million related to Additional Tier 1 of UniCredit Bank AG. The balance of other operating income and charges at December 2021 amounted to €16 million, increasing by +€187 million year-on-year. The main impacts in 2021 derived from updating the overall terms of the outsourcing agreement with SIA company for +€113 million and to net charges and income related to company activities (mainly compensation, rebates, services provided, activities related to customer, recoveries and rents) totaling -€99 million. Operating costs The total of Operating costs at December 2021 amounted to -€4,528 million, decreasing of -€25 million (-0.5%) compared to the previous year. Staff expenses, amounted to -€2,688 million, decreased compared to 2020 of about €9 million (-0.3%), mainly due to the effect of staff structure reduction. Full Time Equivalent (FTE) evolution stands at 30,823 at 31 December 2021 and showed a decrease of about 1,750 FTE year-on-year thanks to multiyear personnel exit plan linked with Team23. Other administrative expenses in 2021 recorded -€1,982 million, up €60 million (3.1%) compared to 2020. The increase was concentrated on costs related to digitalization projects (+€58 million). Recovery of expenses, amounting to €459 million, increased (+€57 million and +14.2% compared to the previous year), primarily for higher recovery on credit recovery expenses and on stamp duties. Amortization, depreciation and impairment losses on intangible and tangible assets amounted to -€317 million, decreasing (-5.7%) compared to the previous year connected with rationalization of real estate assets. Report on operations Results of the year 574 2021 Annual Report and Accounts · UniCredit Net fees and commissions income and expenses at 31 December 2021 amounted to €4,093 million, up to €537 million (+15.1%) year on year. The increase was mainly due to Asset management, custody and administration services (+€408 million), driven by mutual funds. Increase also in current accounts, loans and credit commitments sector (+€58 million) and in Collection and payment services (+€53 million). Net trading income at December 2021 (+€539 million) was essentially attributable to the gains from investment portfolio (+€177 million), hedging activity in derivatives with customers (+€101 million), hedging activity of Turkish lira exposure (+€74 million) due to equity investment on Yapi Ve Kredi Bankasi A.S., the effects of the revaluation of the issuance of Additional Tier1 of UniCredit Bank AG (+€63 million) and Certificates and their derivatives (+€22 million). In 2021, the effects of the revaluation of the hedging derivative related to the issuance in USD of Additional Tier1 instruments amounted to €22 million. In addition, the effects of the evaluation of Visa Inc (+€6 million), Webuild S.p.A. (+€39 million) and Yapi VE Kredi Bankasi A.S. (-€32 million) were recorded, the latter classified in December 2021 as a financial asset measured at fair value through profit or loss following the loss of UniCredit’s significant influence. In 2021 gains related to XVA - Credit, Funding and Debt Value Adjustment, amounting to +€31 million, were partially offset by losses from relative hedging activity (-€28 million). Overall, Net trading income increased by +€82 million compared to the previous year (+17,9%). The mainly changes in comparison with 2020 are attributable to the following: • +€74 million related to the hedging of Turkish lira exposure due to equity investment on Yapi Ve Kredi Bankasi A.S.; • +€58 million related to the effects of Webuild S.p.A. revaluation; • +€29 million due to higher gains from investment portfolio; • +€20 million due to gains related to XVA - Credit, Funding and Debt Value Adjustment and its relative hedging activity; • -€51 million related to Certificates and their derivatives; • -€33 million related to Additional Tier 1 of UniCredit Bank AG. The balance of other operating income and charges at December 2021 amounted to €16 million, increasing by +€187 million year-on-year. The main impacts in 2021 derived from updating the overall terms of the outsourcing agreement with SIA company for +€113 million and to net charges and income related to company activities (mainly compensation, rebates, services provided, activities related to customer, recoveries and rents) totaling -€99 million. Operating costs The total of Operating costs at December 2021 amounted to -€4,528 million, decreasing of -€25 million (-0.5%) compared to the previous year. Staff expenses, amounted to -€2,688 million, decreased compared to 2020 of about €9 million (-0.3%), mainly due to the effect of staff structure reduction. Full Time Equivalent (FTE) evolution stands at 30,823 at 31 December 2021 and showed a decrease of about 1,750 FTE year-on-year thanks to multiyear personnel exit plan linked with Team23. Other administrative expenses in 2021 recorded -€1,982 million, up €60 million (3.1%) compared to 2020. The increase was concentrated on costs related to digitalization projects (+€58 million). Recovery of expenses, amounting to €459 million, increased (+€57 million and +14.2% compared to the previous year), primarily for higher recovery on credit recovery expenses and on stamp duties. Amortization, depreciation and impairment losses on intangible and tangible assets amounted to -€317 million, decreasing (-5.7%) compared to the previous year connected with rationalization of real estate assets. Report on operations Results of the year 574 2021 Annual Report and Accounts · UniCredit Net fees and commissions income and expenses at 31 December 2021 amounted to €4,093 million, up to €537 million (+15.1%) year on year. The increase was mainly due to Asset management, custody and administration services (+€408 million), driven by mutual funds. Increase also in current accounts, loans and credit commitments sector (+€58 million) and in Collection and payment services (+€53 million). Net trading income at December 2021 (+€539 million) was essentially attributable to the gains from investment portfolio (+€177 million), hedging activity in derivatives with customers (+€101 million), hedging activity of Turkish lira exposure (+€74 million) due to equity investment on Yapi Ve Kredi Bankasi A.S., the effects of the revaluation of the issuance of Additional Tier1 of UniCredit Bank AG (+€63 million) and Certificates and their derivatives (+€22 million). In 2021, the effects of the revaluation of the hedging derivative related to the issuance in USD of Additional Tier1 instruments amounted to €22 million. In addition, the effects of the evaluation of Visa Inc (+€6 million), Webuild S.p.A. (+€39 million) and Yapi VE Kredi Bankasi A.S. (-€32 million) were recorded, the latter classified in December 2021 as a financial asset measured at fair value through profit or loss following the loss of UniCredit’s significant influence. In 2021 gains related to XVA - Credit, Funding and Debt Value Adjustment, amounting to +€31 million, were partially offset by losses from relative hedging activity (-€28 million). Overall, Net trading income increased by +€82 million compared to the previous year (+17,9%). The mainly changes in comparison with 2020 are attributable to the following: • +€74 million related to the hedging of Turkish lira exposure due to equity investment on Yapi Ve Kredi Bankasi A.S.; • +€58 million related to the effects of Webuild S.p.A. revaluation; • +€29 million due to higher gains from investment portfolio; • +€20 million due to gains related to XVA - Credit, Funding and Debt Value Adjustment and its relative hedging activity; • -€51 million related to Certificates and their derivatives; • -€33 million related to Additional Tier 1 of UniCredit Bank AG. The balance of other operating income and charges at December 2021 amounted to €16 million, increasing by +€187 million year-on-year. The main impacts in 2021 derived from updating the overall terms of the outsourcing agreement with SIA company for +€113 million and to net charges and income related to company activities (mainly compensation, rebates, services provided, activities related to customer, recoveries and rents) totaling -€99 million. Operating costs The total of Operating costs at December 2021 amounted to -€4,528 million, decreasing of -€25 million (-0.5%) compared to the previous year. Staff expenses, amounted to -€2,688 million, decreased compared to 2020 of about €9 million (-0.3%), mainly due to the effect of staff structure reduction. Full Time Equivalent (FTE) evolution stands at 30,823 at 31 December 2021 and showed a decrease of about 1,750 FTE year-on-year thanks to multiyear personnel exit plan linked with Team23. Other administrative expenses in 2021 recorded -€1,982 million, up €60 million (3.1%) compared to 2020. The increase was concentrated on costs related to digitalization projects (+€58 million). Recovery of expenses, amounting to €459 million, increased (+€57 million and +14.2% compared to the previous year), primarily for higher recovery on credit recovery expenses and on stamp duties. Amortization, depreciation and impairment losses on intangible and tangible assets amounted to -€317 million, decreasing (-5.7%) compared to the previous year connected with rationalization of real estate assets. Report on operations Results of the year 574 2021 Annual Report and Accounts · UniCredit Net fees and commissions income and expenses at 31 December 2021 amounted to €4,093 million, up to €537 million (+15.1%) year on year. The increase was mainly due to Asset management, custody and administration services (+€408 million), driven by mutual funds. Increase also in current accounts, loans and credit commitments sector (+€58 million) and in Collection and payment services (+€53 million). Net trading income at December 2021 (+€539 million) was essentially attributable to the gains from investment portfolio (+€177 million), hedging activity in derivatives with customers (+€101 million), hedging activity of Turkish lira exposure (+€74 million) due to equity investment on Yapi Ve Kredi Bankasi A.S., the effects of the revaluation of the issuance of Additional Tier1 of UniCredit Bank AG (+€63 million) and Certificates and their derivatives (+€22 million). In 2021, the effects of the revaluation of the hedging derivative related to the issuance in USD of Additional Tier1 instruments amounted to €22 million. In addition, the effects of the evaluation of Visa Inc (+€6 million), Webuild S.p.A. (+€39 million) and Yapi VE Kredi Bankasi A.S. (-€32 million) were recorded, the latter classified in December 2021 as a financial asset measured at fair value through profit or loss following the loss of UniCredit’s significant influence. In 2021 gains related to XVA - Credit, Funding and Debt Value Adjustment, amounting to +€31 million, were partially offset by losses from relative hedging activity (-€28 million). Overall, Net trading income increased by +€82 million compared to the previous year (+17,9%). The mainly changes in comparison with 2020 are attributable to the following: • +€74 million related to the hedging of Turkish lira exposure due to equity investment on Yapi Ve Kredi Bankasi A.S.; • +€58 million related to the effects of Webuild S.p.A. revaluation; • +€29 million due to higher gains from investment portfolio; • +€20 million due to gains related to XVA - Credit, Funding and Debt Value Adjustment and its relative hedging activity; • -€51 million related to Certificates and their derivatives; • -€33 million related to Additional Tier 1 of UniCredit Bank AG. The balance of other operating income and charges at December 2021 amounted to €16 million, increasing by +€187 million year-on-year. The main impacts in 2021 derived from updating the overall terms of the outsourcing agreement with SIA company for +€113 million and to net charges and income related to company activities (mainly compensation, rebates, services provided, activities related to customer, recoveries and rents) totaling -€99 million. Operating costs The total of Operating costs at December 2021 amounted to -€4,528 million, decreasing of -€25 million (-0.5%) compared to the previous year. Staff expenses, amounted to -€2,688 million, decreased compared to 2020 of about €9 million (-0.3%), mainly due to the effect of staff structure reduction. Full Time Equivalent (FTE) evolution stands at 30,823 at 31 December 2021 and showed a decrease of about 1,750 FTE year-on-year thanks to multiyear personnel exit plan linked with Team23. Other administrative expenses in 2021 recorded -€1,982 million, up €60 million (3.1%) compared to 2020. The increase was concentrated on costs related to digitalization projects (+€58 million). Recovery of expenses, amounting to €459 million, increased (+€57 million and +14.2% compared to the previous year), primarily for higher recovery on credit recovery expenses and on stamp duties. Amortization, depreciation and impairment losses on intangible and tangible assets amounted to -€317 million, decreasing (-5.7%) compared to the previous year connected with rationalization of real estate assets. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 575 Net impairment losses on loans At the end of December 2021 net write-downs on loans and provisions for guarantees and commitments sum up to -€978 million, up €1,758 million (-64.3%) in respect of previous year. Such trend was positively impacted by the dynamic of the non-performing loans portfolios positively impacted by lower flows to default. At the same time, in the second quarter of 2021 €15 million of write-downs were recognized following the update of the IFRS9 macro-economic scenario, while in the fourth quarter the bank adopted a managerial overlay to grant a substantial neutrality from the impact of the macro-economic scenario update, in light of the uncertainty linked to the pandemic evolution. On top to the update of the macroeconomic scenario, the amount of net loan loss provisions at 31 December 2021 has been affected by the following elements: • Extension of the portfolios evaluated under IFRS9 selling scenarios, by means of the inclusion of the “Core” unlikely-to-pay and exclusion of the “non Core” illiquid bad loans (lead back within the ordinary management), that - jointly to the update of the prises used for evaluation purposes - has determined the booking of net write-down equal to 208 million; • Adoption of methodological interventions with impact on the classification of the credit exposures among credit risk stages foreseen by IFRS9, aimed at further increasing the timeliness of Stage 2 classification for positions characterized by significant increase in credit risk and, at the same time, reducing the volatility of migration of the classification among difference Stages of risk; such actions have generated the booking of write-down for 223 million. With reference to the credit portfolios under moratoria, part of the Corporate counterparties (ex Art.56 of the Decreto Legge 18/2020) with moratoria under expiration on 30 June 2021 has requested the extension up to year end (opt-in). At 31 December 2021, moratoria amount at 5,227 million; of which, circa 4,153 million have been object of extension (opt-in) and will expire starting from 1 January 2022, cumulating to the amount of already expired moratoria at 31 December 2021 equal to 10,403 million. With reference to the connected evaluation themes, it is highlighted the following: • with reference to the exposures (opt-in), an adjustment has been introduced - with impact in terms of write-downs on credit for 109 million - in order to consider the risk of potential credit losses that might arise after the expiration of the moratoria; the adjustment is based on: (i) classification of the exposure in Stage 2, assuming that such counterparties incorporate an intrinsically higher potential risk of default given the explicit request of prorogation; (ii) setting of the average coverage ratio of the portfolio at least to the average coverage ratio of the Stage 2 reported at March 2020 (before the deployment of the Covid-19 pandemic effects), thus recognizing a level of coverage more representative of the riskiness of Stage 2 portfolio in ordinary conditions; • furthermore, a PD flooring measure has been introduced in order to limit spurious improvements of the risk profile likely expected to be linked to the mere effect of payment suspension/re-scheduling more than to the effective improvements of the clients’ fundamentals. The measure, applied on Corporate and Retail portfolios, has determined an impact in terms of credit write-downs for 46 million; • finally, an Unlikely-To-Pay assessment has been done on the riskiest opt-in moratoria exposures, with an impact in terms of credit write-downs for 143 million; particularly, on top to the direct classification to unlikely-to-pay: (i) all transactions of clients under opt-in moratoria have been migrated to Stage 2 and their coverage ratio aligned to the pre-crises level; (ii) for all Clients with worst rating classes, an additional coverage consistent with expectation of potential migration to default has been recognized. For more details reference is made to the Consolidated financial statements of UniCredit group, Notes to the consolidated account, Part E - Information on risks and hedging policies, Section 2 - Risks on the prudential consolidate perimeter, 2.1 Credit Risk - Qualitative infornation, 2.3 Measurement methods for expected losses. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 575 Net impairment losses on loans At the end of December 2021 net write-downs on loans and provisions for guarantees and commitments sum up to -€978 million, up €1,758 million (-64.3%) in respect of previous year. Such trend was positively impacted by the dynamic of the non-performing loans portfolios positively impacted by lower flows to default. At the same time, in the second quarter of 2021 €15 million of write-downs were recognized following the update of the IFRS9 macro-economic scenario, while in the fourth quarter the bank adopted a managerial overlay to grant a substantial neutrality from the impact of the macro-economic scenario update, in light of the uncertainty linked to the pandemic evolution. On top to the update of the macroeconomic scenario, the amount of net loan loss provisions at 31 December 2021 has been affected by the following elements: • Extension of the portfolios evaluated under IFRS9 selling scenarios, by means of the inclusion of the “Core” unlikely-to-pay and exclusion of the “non Core” illiquid bad loans (lead back within the ordinary management), that - jointly to the update of the prises used for evaluation purposes - has determined the booking of net write-down equal to 208 million; • Adoption of methodological interventions with impact on the classification of the credit exposures among credit risk stages foreseen by IFRS9, aimed at further increasing the timeliness of Stage 2 classification for positions characterized by significant increase in credit risk and, at the same time, reducing the volatility of migration of the classification among difference Stages of risk; such actions have generated the booking of write-down for 223 million. With reference to the credit portfolios under moratoria, part of the Corporate counterparties (ex Art.56 of the Decreto Legge 18/2020) with moratoria under expiration on 30 June 2021 has requested the extension up to year end (opt-in). At 31 December 2021, moratoria amount at 5,227 million; of which, circa 4,153 million have been object of extension (opt-in) and will expire starting from 1 January 2022, cumulating to the amount of already expired moratoria at 31 December 2021 equal to 10,403 million. With reference to the connected evaluation themes, it is highlighted the following: • with reference to the exposures (opt-in), an adjustment has been introduced - with impact in terms of write-downs on credit for 109 million - in order to consider the risk of potential credit losses that might arise after the expiration of the moratoria; the adjustment is based on: (i) classification of the exposure in Stage 2, assuming that such counterparties incorporate an intrinsically higher potential risk of default given the explicit request of prorogation; (ii) setting of the average coverage ratio of the portfolio at least to the average coverage ratio of the Stage 2 reported at March 2020 (before the deployment of the Covid-19 pandemic effects), thus recognizing a level of coverage more representative of the riskiness of Stage 2 portfolio in ordinary conditions; • furthermore, a PD flooring measure has been introduced in order to limit spurious improvements of the risk profile likely expected to be linked to the mere effect of payment suspension/re-scheduling more than to the effective improvements of the clients’ fundamentals. The measure, applied on Corporate and Retail portfolios, has determined an impact in terms of credit write-downs for 46 million; • finally, an Unlikely-To-Pay assessment has been done on the riskiest opt-in moratoria exposures, with an impact in terms of credit write-downs for 143 million; particularly, on top to the direct classification to unlikely-to-pay: (i) all transactions of clients under opt-in moratoria have been migrated to Stage 2 and their coverage ratio aligned to the pre-crises level; (ii) for all Clients with worst rating classes, an additional coverage consistent with expectation of potential migration to default has been recognized. For more details reference is made to the Consolidated financial statements of UniCredit group, Notes to the consolidated account, Part E - Information on risks and hedging policies, Section 2 - Risks on the prudential consolidate perimeter, 2.1 Credit Risk - Qualitative infornation, 2.3 Measurement methods for expected losses. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 575 Net impairment losses on loans At the end of December 2021 net write-downs on loans and provisions for guarantees and commitments sum up to -€978 million, up €1,758 million (-64.3%) in respect of previous year. Such trend was positively impacted by the dynamic of the non-performing loans portfolios positively impacted by lower flows to default. At the same time, in the second quarter of 2021 €15 million of write-downs were recognized following the update of the IFRS9 macro-economic scenario, while in the fourth quarter the bank adopted a managerial overlay to grant a substantial neutrality from the impact of the macro-economic scenario update, in light of the uncertainty linked to the pandemic evolution. On top to the update of the macroeconomic scenario, the amount of net loan loss provisions at 31 December 2021 has been affected by the following elements: • Extension of the portfolios evaluated under IFRS9 selling scenarios, by means of the inclusion of the “Core” unlikely-to-pay and exclusion of the “non Core” illiquid bad loans (lead back within the ordinary management), that - jointly to the update of the prises used for evaluation purposes - has determined the booking of net write-down equal to 208 million; • Adoption of methodological interventions with impact on the classification of the credit exposures among credit risk stages foreseen by IFRS9, aimed at further increasing the timeliness of Stage 2 classification for positions characterized by significant increase in credit risk and, at the same time, reducing the volatility of migration of the classification among difference Stages of risk; such actions have generated the booking of write-down for 223 million. With reference to the credit portfolios under moratoria, part of the Corporate counterparties (ex Art.56 of the Decreto Legge 18/2020) with moratoria under expiration on 30 June 2021 has requested the extension up to year end (opt-in). At 31 December 2021, moratoria amount at 5,227 million; of which, circa 4,153 million have been object of extension (opt-in) and will expire starting from 1 January 2022, cumulating to the amount of already expired moratoria at 31 December 2021 equal to 10,403 million. With reference to the connected evaluation themes, it is highlighted the following: • with reference to the exposures (opt-in), an adjustment has been introduced - with impact in terms of write-downs on credit for 109 million - in order to consider the risk of potential credit losses that might arise after the expiration of the moratoria; the adjustment is based on: (i) classification of the exposure in Stage 2, assuming that such counterparties incorporate an intrinsically higher potential risk of default given the explicit request of prorogation; (ii) setting of the average coverage ratio of the portfolio at least to the average coverage ratio of the Stage 2 reported at March 2020 (before the deployment of the Covid-19 pandemic effects), thus recognizing a level of coverage more representative of the riskiness of Stage 2 portfolio in ordinary conditions; • furthermore, a PD flooring measure has been introduced in order to limit spurious improvements of the risk profile likely expected to be linked to the mere effect of payment suspension/re-scheduling more than to the effective improvements of the clients’ fundamentals. The measure, applied on Corporate and Retail portfolios, has determined an impact in terms of credit write-downs for 46 million; • finally, an Unlikely-To-Pay assessment has been done on the riskiest opt-in moratoria exposures, with an impact in terms of credit write-downs for 143 million; particularly, on top to the direct classification to unlikely-to-pay: (i) all transactions of clients under opt-in moratoria have been migrated to Stage 2 and their coverage ratio aligned to the pre-crises level; (ii) for all Clients with worst rating classes, an additional coverage consistent with expectation of potential migration to default has been recognized. For more details reference is made to the Consolidated financial statements of UniCredit group, Notes to the consolidated account, Part E - Information on risks and hedging policies, Section 2 - Risks on the prudential consolidate perimeter, 2.1 Credit Risk - Qualitative infornation, 2.3 Measurement methods for expected losses. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 575 Net impairment losses on loans At the end of December 2021 net write-downs on loans and provisions for guarantees and commitments sum up to -€978 million, up €1,758 million (-64.3%) in respect of previous year. Such trend was positively impacted by the dynamic of the non-performing loans portfolios positively impacted by lower flows to default. At the same time, in the second quarter of 2021 €15 million of write-downs were recognized following the update of the IFRS9 macro-economic scenario, while in the fourth quarter the bank adopted a managerial overlay to grant a substantial neutrality from the impact of the macro-economic scenario update, in light of the uncertainty linked to the pandemic evolution. On top to the update of the macroeconomic scenario, the amount of net loan loss provisions at 31 December 2021 has been affected by the following elements: • Extension of the portfolios evaluated under IFRS9 selling scenarios, by means of the inclusion of the “Core” unlikely-to-pay and exclusion of the “non Core” illiquid bad loans (lead back within the ordinary management), that - jointly to the update of the prises used for evaluation purposes - has determined the booking of net write-down equal to 208 million; • Adoption of methodological interventions with impact on the classification of the credit exposures among credit risk stages foreseen by IFRS9, aimed at further increasing the timeliness of Stage 2 classification for positions characterized by significant increase in credit risk and, at the same time, reducing the volatility of migration of the classification among difference Stages of risk; such actions have generated the booking of write-down for 223 million. With reference to the credit portfolios under moratoria, part of the Corporate counterparties (ex Art.56 of the Decreto Legge 18/2020) with moratoria under expiration on 30 June 2021 has requested the extension up to year end (opt-in). At 31 December 2021, moratoria amount at 5,227 million; of which, circa 4,153 million have been object of extension (opt-in) and will expire starting from 1 January 2022, cumulating to the amount of already expired moratoria at 31 December 2021 equal to 10,403 million. With reference to the connected evaluation themes, it is highlighted the following: • with reference to the exposures (opt-in), an adjustment has been introduced - with impact in terms of write-downs on credit for 109 million - in order to consider the risk of potential credit losses that might arise after the expiration of the moratoria; the adjustment is based on: (i) classification of the exposure in Stage 2, assuming that such counterparties incorporate an intrinsically higher potential risk of default given the explicit request of prorogation; (ii) setting of the average coverage ratio of the portfolio at least to the average coverage ratio of the Stage 2 reported at March 2020 (before the deployment of the Covid-19 pandemic effects), thus recognizing a level of coverage more representative of the riskiness of Stage 2 portfolio in ordinary conditions; • furthermore, a PD flooring measure has been introduced in order to limit spurious improvements of the risk profile likely expected to be linked to the mere effect of payment suspension/re-scheduling more than to the effective improvements of the clients’ fundamentals. The measure, applied on Corporate and Retail portfolios, has determined an impact in terms of credit write-downs for 46 million; • finally, an Unlikely-To-Pay assessment has been done on the riskiest opt-in moratoria exposures, with an impact in terms of credit write-downs for 143 million; particularly, on top to the direct classification to unlikely-to-pay: (i) all transactions of clients under opt-in moratoria have been migrated to Stage 2 and their coverage ratio aligned to the pre-crises level; (ii) for all Clients with worst rating classes, an additional coverage consistent with expectation of potential migration to default has been recognized. For more details reference is made to the Consolidated financial statements of UniCredit group, Notes to the consolidated account, Part E - Information on risks and hedging policies, Section 2 - Risks on the prudential consolidate perimeter, 2.1 Credit Risk - Qualitative infornation, 2.3 Measurement methods for expected losses. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 575 Net impairment losses on loans At the end of December 2021 net write-downs on loans and provisions for guarantees and commitments sum up to -€978 million, up €1,758 million (-64.3%) in respect of previous year. Such trend was positively impacted by the dynamic of the non-performing loans portfolios positively impacted by lower flows to default. At the same time, in the second quarter of 2021 €15 million of write-downs were recognized following the update of the IFRS9 macro-economic scenario, while in the fourth quarter the bank adopted a managerial overlay to grant a substantial neutrality from the impact of the macro-economic scenario update, in light of the uncertainty linked to the pandemic evolution. On top to the update of the macroeconomic scenario, the amount of net loan loss provisions at 31 December 2021 has been affected by the following elements: • Extension of the portfolios evaluated under IFRS9 selling scenarios, by means of the inclusion of the “Core” unlikely-to-pay and exclusion of the “non Core” illiquid bad loans (lead back within the ordinary management), that - jointly to the update of the prises used for evaluation purposes - has determined the booking of net write-down equal to 208 million; • Adoption of methodological interventions with impact on the classification of the credit exposures among credit risk stages foreseen by IFRS9, aimed at further increasing the timeliness of Stage 2 classification for positions characterized by significant increase in credit risk and, at the same time, reducing the volatility of migration of the classification among difference Stages of risk; such actions have generated the booking of write-down for 223 million. With reference to the credit portfolios under moratoria, part of the Corporate counterparties (ex Art.56 of the Decreto Legge 18/2020) with moratoria under expiration on 30 June 2021 has requested the extension up to year end (opt-in). At 31 December 2021, moratoria amount at 5,227 million; of which, circa 4,153 million have been object of extension (opt-in) and will expire starting from 1 January 2022, cumulating to the amount of already expired moratoria at 31 December 2021 equal to 10,403 million. With reference to the connected evaluation themes, it is highlighted the following: • with reference to the exposures (opt-in), an adjustment has been introduced - with impact in terms of write-downs on credit for 109 million - in order to consider the risk of potential credit losses that might arise after the expiration of the moratoria; the adjustment is based on: (i) classification of the exposure in Stage 2, assuming that such counterparties incorporate an intrinsically higher potential risk of default given the explicit request of prorogation; (ii) setting of the average coverage ratio of the portfolio at least to the average coverage ratio of the Stage 2 reported at March 2020 (before the deployment of the Covid-19 pandemic effects), thus recognizing a level of coverage more representative of the riskiness of Stage 2 portfolio in ordinary conditions; • furthermore, a PD flooring measure has been introduced in order to limit spurious improvements of the risk profile likely expected to be linked to the mere effect of payment suspension/re-scheduling more than to the effective improvements of the clients’ fundamentals. The measure, applied on Corporate and Retail portfolios, has determined an impact in terms of credit write-downs for 46 million; • finally, an Unlikely-To-Pay assessment has been done on the riskiest opt-in moratoria exposures, with an impact in terms of credit write-downs for 143 million; particularly, on top to the direct classification to unlikely-to-pay: (i) all transactions of clients under opt-in moratoria have been migrated to Stage 2 and their coverage ratio aligned to the pre-crises level; (ii) for all Clients with worst rating classes, an additional coverage consistent with expectation of potential migration to default has been recognized. For more details reference is made to the Consolidated financial statements of UniCredit group, Notes to the consolidated account, Part E - Information on risks and hedging policies, Section 2 - Risks on the prudential consolidate perimeter, 2.1 Credit Risk - Qualitative infornation, 2.3 Measurement methods for expected losses. Report on operations Results of the year 576 2021 Annual Report and Accounts · UniCredit Net profit (loss) In the table below, the data showing the transition from operating profit (loss) to net profit (loss) have been reclassified for illustrative purposes. Net profit (loss) (€ million) YEAR CHANGE 2021 2020 P&L % NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Other charges and provisions (676) (588) - 88 + 15.0% Integration costs (358) (1,345) + 987 - 73.4% Net income from investments 7,304 (4,793) + 12,097 n.m. PROFIT (LOSS) BEFORE TAX 9,432 (2,992) + 12,424 n.m. Income tax for the period 934 302 + 632 n.m. PROFIT (LOSS) AFTER TAX 10,366 (2,690) + 13,056 n.m. Profit (Loss) from non-current assets held for sale after tax - - - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) + 13,056 n.m. Goodwill impairment - - - - NET PROFIT (LOSS) 10,366 (2,690) + 13,056 n.m. Other charges and provisions Other charges and provisions, amounting to -€676 million, up compared to -€588 million in 2020, considered the Deposit Guarantee Scheme (DGS) contribution to Fondo Interbancario di Tutela dei Depositi - “FITD” (-€166 million), the ordinary and extraordinary contribution to the Single Resolution Fund (-€270 million) and other provisions for litigations, lawsuits, disputes, incidents and claims in which the Bank is passive subject. Integration costs Integration costs, mainly related to severance costs connected to the new Strategic Plan “UniCredit unlocked”, amounted to -€358 million, down +987 million (-73,4%) compared to 2020, during which charges were recognised as severance costs referred to multiyear plan Team 23. Net income (losses) from investments Net income from investments was €7,304 million, up compared to -€4,793 million in 2020. In particular, in 2021, also following the implementation in the valuation models of the financial projections underlying the new strategic plan "UniCredit Unlocked, write-backs on equity regarding UniCredit Bank AG (+€4,958 million) and UniCredit Bank Austria (+€2.972 million) were recorded, partially offset by write-down on equity related to UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million) and Cordusio SIM S.p.A. (-€104 million). For further information on the methodology, results and base assumptions used in the impairment test of investments in subsidiaries refer to sections “Section 7 - Equity investments - Item 70”, Notes to the accounts, Part B - Balance sheet - Assets. Taxes on income Taxes on income for 2021 reports a positive amount of €934 million, with respect to the positive amount of €302 million in 2020, this amount is mainly composed by: • IRES (current and deferred taxes) value of €940million. The amount of the current IRES is zero since the fiscal year 2021 generate a tax loss for a total of €466 million in terms of taxes, of which €335 million concerning Income statement and €131 million concerning Net equity. This tax loss, mainly determined by the yearly reversal of convertible DTA linked to credit impairment, equity investments and goodwill, has been converted in a tax credit as per Art. 2 par. 56-bis of Law Decree 29 December 2010, No.225 and subsequent amendments. The handling of deferred tax assets and liabilities of the period amounts totally at €605 million, mainly determined by the recognition of DTA for Tax Loss Carry Forward and for provisions for risks and charges following the updating of the sustainability test; • Negative IRAP (current and deferred taxes) of €103 million, with current IRAP equal to €36 million (€34 million produced by tax cases from Income statement and €2 million produced by tax cases from Net equity); • a provision of -€2 million related to the taxation on a transparent basis of controlled foreign companies (CFC); • non-deductible withholding tax of -€5 million suffered in Italy and abroad; • net extraordinary deduction of -€61 million, mainly resulting from the effect of the adjustment of deferred tax assets and the reconsideration in the tax return of IRAP tax rate; Report on operations Results of the year 576 2021 Annual Report and Accounts · UniCredit Net profit (loss) In the table below, the data showing the transition from operating profit (loss) to net profit (loss) have been reclassified for illustrative purposes. Net profit (loss) (€ million) YEAR CHANGE 2021 2020 P&L % NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Other charges and provisions (676) (588) - 88 + 15.0% Integration costs (358) (1,345) + 987 - 73.4% Net income from investments 7,304 (4,793) + 12,097 n.m. PROFIT (LOSS) BEFORE TAX 9,432 (2,992) + 12,424 n.m. Income tax for the period 934 302 + 632 n.m. PROFIT (LOSS) AFTER TAX 10,366 (2,690) + 13,056 n.m. Profit (Loss) from non-current assets held for sale after tax - - - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) + 13,056 n.m. Goodwill impairment - - - - NET PROFIT (LOSS) 10,366 (2,690) + 13,056 n.m. Other charges and provisions Other charges and provisions, amounting to -€676 million, up compared to -€588 million in 2020, considered the Deposit Guarantee Scheme (DGS) contribution to Fondo Interbancario di Tutela dei Depositi - “FITD” (-€166 million), the ordinary and extraordinary contribution to the Single Resolution Fund (-€270 million) and other provisions for litigations, lawsuits, disputes, incidents and claims in which the Bank is passive subject. Integration costs Integration costs, mainly related to severance costs connected to the new Strategic Plan “UniCredit unlocked”, amounted to -€358 million, down +987 million (-73,4%) compared to 2020, during which charges were recognised as severance costs referred to multiyear plan Team 23. Net income (losses) from investments Net income from investments was €7,304 million, up compared to -€4,793 million in 2020. In particular, in 2021, also following the implementation in the valuation models of the financial projections underlying the new strategic plan "UniCredit Unlocked, write-backs on equity regarding UniCredit Bank AG (+€4,958 million) and UniCredit Bank Austria (+€2.972 million) were recorded, partially offset by write-down on equity related to UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million) and Cordusio SIM S.p.A. (-€104 million). For further information on the methodology, results and base assumptions used in the impairment test of investments in subsidiaries refer to sections “Section 7 - Equity investments - Item 70”, Notes to the accounts, Part B - Balance sheet - Assets. Taxes on income Taxes on income for 2021 reports a positive amount of €934 million, with respect to the positive amount of €302 million in 2020, this amount is mainly composed by: • IRES (current and deferred taxes) value of €940million. The amount of the current IRES is zero since the fiscal year 2021 generate a tax loss for a total of €466 million in terms of taxes, of which €335 million concerning Income statement and €131 million concerning Net equity. This tax loss, mainly determined by the yearly reversal of convertible DTA linked to credit impairment, equity investments and goodwill, has been converted in a tax credit as per Art. 2 par. 56-bis of Law Decree 29 December 2010, No.225 and subsequent amendments. The handling of deferred tax assets and liabilities of the period amounts totally at €605 million, mainly determined by the recognition of DTA for Tax Loss Carry Forward and for provisions for risks and charges following the updating of the sustainability test; • Negative IRAP (current and deferred taxes) of €103 million, with current IRAP equal to €36 million (€34 million produced by tax cases from Income statement and €2 million produced by tax cases from Net equity); • a provision of -€2 million related to the taxation on a transparent basis of controlled foreign companies (CFC); • non-deductible withholding tax of -€5 million suffered in Italy and abroad; • net extraordinary deduction of -€61 million, mainly resulting from the effect of the adjustment of deferred tax assets and the reconsideration in the tax return of IRAP tax rate; Report on operations Results of the year 576 2021 Annual Report and Accounts · UniCredit Net profit (loss) In the table below, the data showing the transition from operating profit (loss) to net profit (loss) have been reclassified for illustrative purposes. Net profit (loss) (€ million) YEAR CHANGE 2021 2020 P&L % NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Other charges and provisions (676) (588) - 88 + 15.0% Integration costs (358) (1,345) + 987 - 73.4% Net income from investments 7,304 (4,793) + 12,097 n.m. PROFIT (LOSS) BEFORE TAX 9,432 (2,992) + 12,424 n.m. Income tax for the period 934 302 + 632 n.m. PROFIT (LOSS) AFTER TAX 10,366 (2,690) + 13,056 n.m. Profit (Loss) from non-current assets held for sale after tax - - - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) + 13,056 n.m. Goodwill impairment - - - - NET PROFIT (LOSS) 10,366 (2,690) + 13,056 n.m. Other charges and provisions Other charges and provisions, amounting to -€676 million, up compared to -€588 million in 2020, considered the Deposit Guarantee Scheme (DGS) contribution to Fondo Interbancario di Tutela dei Depositi - “FITD” (-€166 million), the ordinary and extraordinary contribution to the Single Resolution Fund (-€270 million) and other provisions for litigations, lawsuits, disputes, incidents and claims in which the Bank is passive subject. Integration costs Integration costs, mainly related to severance costs connected to the new Strategic Plan “UniCredit unlocked”, amounted to -€358 million, down +987 million (-73,4%) compared to 2020, during which charges were recognised as severance costs referred to multiyear plan Team 23. Net income (losses) from investments Net income from investments was €7,304 million, up compared to -€4,793 million in 2020. In particular, in 2021, also following the implementation in the valuation models of the financial projections underlying the new strategic plan "UniCredit Unlocked, write-backs on equity regarding UniCredit Bank AG (+€4,958 million) and UniCredit Bank Austria (+€2.972 million) were recorded, partially offset by write-down on equity related to UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million) and Cordusio SIM S.p.A. (-€104 million). For further information on the methodology, results and base assumptions used in the impairment test of investments in subsidiaries refer to sections “Section 7 - Equity investments - Item 70”, Notes to the accounts, Part B - Balance sheet - Assets. Taxes on income Taxes on income for 2021 reports a positive amount of €934 million, with respect to the positive amount of €302 million in 2020, this amount is mainly composed by: • IRES (current and deferred taxes) value of €940million. The amount of the current IRES is zero since the fiscal year 2021 generate a tax loss for a total of €466 million in terms of taxes, of which €335 million concerning Income statement and €131 million concerning Net equity. This tax loss, mainly determined by the yearly reversal of convertible DTA linked to credit impairment, equity investments and goodwill, has been converted in a tax credit as per Art. 2 par. 56-bis of Law Decree 29 December 2010, No.225 and subsequent amendments. The handling of deferred tax assets and liabilities of the period amounts totally at €605 million, mainly determined by the recognition of DTA for Tax Loss Carry Forward and for provisions for risks and charges following the updating of the sustainability test; • Negative IRAP (current and deferred taxes) of €103 million, with current IRAP equal to €36 million (€34 million produced by tax cases from Income statement and €2 million produced by tax cases from Net equity); • a provision of -€2 million related to the taxation on a transparent basis of controlled foreign companies (CFC); • non-deductible withholding tax of -€5 million suffered in Italy and abroad; • net extraordinary deduction of -€61 million, mainly resulting from the effect of the adjustment of deferred tax assets and the reconsideration in the tax return of IRAP tax rate; Report on operations Results of the year 576 2021 Annual Report and Accounts · UniCredit Net profit (loss) In the table below, the data showing the transition from operating profit (loss) to net profit (loss) have been reclassified for illustrative purposes. Net profit (loss) (€ million) YEAR CHANGE 2021 2020 P&L % NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Other charges and provisions (676) (588) - 88 + 15.0% Integration costs (358) (1,345) + 987 - 73.4% Net income from investments 7,304 (4,793) + 12,097 n.m. PROFIT (LOSS) BEFORE TAX 9,432 (2,992) + 12,424 n.m. Income tax for the period 934 302 + 632 n.m. PROFIT (LOSS) AFTER TAX 10,366 (2,690) + 13,056 n.m. Profit (Loss) from non-current assets held for sale after tax - - - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) + 13,056 n.m. Goodwill impairment - - - - NET PROFIT (LOSS) 10,366 (2,690) + 13,056 n.m. Other charges and provisions Other charges and provisions, amounting to -€676 million, up compared to -€588 million in 2020, considered the Deposit Guarantee Scheme (DGS) contribution to Fondo Interbancario di Tutela dei Depositi - “FITD” (-€166 million), the ordinary and extraordinary contribution to the Single Resolution Fund (-€270 million) and other provisions for litigations, lawsuits, disputes, incidents and claims in which the Bank is passive subject. Integration costs Integration costs, mainly related to severance costs connected to the new Strategic Plan “UniCredit unlocked”, amounted to -€358 million, down +987 million (-73,4%) compared to 2020, during which charges were recognised as severance costs referred to multiyear plan Team 23. Net income (losses) from investments Net income from investments was €7,304 million, up compared to -€4,793 million in 2020. In particular, in 2021, also following the implementation in the valuation models of the financial projections underlying the new strategic plan "UniCredit Unlocked, write-backs on equity regarding UniCredit Bank AG (+€4,958 million) and UniCredit Bank Austria (+€2.972 million) were recorded, partially offset by write-down on equity related to UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million) and Cordusio SIM S.p.A. (-€104 million). For further information on the methodology, results and base assumptions used in the impairment test of investments in subsidiaries refer to sections “Section 7 - Equity investments - Item 70”, Notes to the accounts, Part B - Balance sheet - Assets. Taxes on income Taxes on income for 2021 reports a positive amount of €934 million, with respect to the positive amount of €302 million in 2020, this amount is mainly composed by: • IRES (current and deferred taxes) value of €940million. The amount of the current IRES is zero since the fiscal year 2021 generate a tax loss for a total of €466 million in terms of taxes, of which €335 million concerning Income statement and €131 million concerning Net equity. This tax loss, mainly determined by the yearly reversal of convertible DTA linked to credit impairment, equity investments and goodwill, has been converted in a tax credit as per Art. 2 par. 56-bis of Law Decree 29 December 2010, No.225 and subsequent amendments. The handling of deferred tax assets and liabilities of the period amounts totally at €605 million, mainly determined by the recognition of DTA for Tax Loss Carry Forward and for provisions for risks and charges following the updating of the sustainability test; • Negative IRAP (current and deferred taxes) of €103 million, with current IRAP equal to €36 million (€34 million produced by tax cases from Income statement and €2 million produced by tax cases from Net equity); • a provision of -€2 million related to the taxation on a transparent basis of controlled foreign companies (CFC); • non-deductible withholding tax of -€5 million suffered in Italy and abroad; • net extraordinary deduction of -€61 million, mainly resulting from the effect of the adjustment of deferred tax assets and the reconsideration in the tax return of IRAP tax rate; Report on operations Results of the year 576 2021 Annual Report and Accounts · UniCredit Net profit (loss) In the table below, the data showing the transition from operating profit (loss) to net profit (loss) have been reclassified for illustrative purposes. Net profit (loss) (€ million) YEAR CHANGE 2021 2020 P&L % NET OPERATING PROFIT (LOSS) 3,162 3,734 - 572 - 15.3% Other charges and provisions (676) (588) - 88 + 15.0% Integration costs (358) (1,345) + 987 - 73.4% Net income from investments 7,304 (4,793) + 12,097 n.m. PROFIT (LOSS) BEFORE TAX 9,432 (2,992) + 12,424 n.m. Income tax for the period 934 302 + 632 n.m. PROFIT (LOSS) AFTER TAX 10,366 (2,690) + 13,056 n.m. Profit (Loss) from non-current assets held for sale after tax - - - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) + 13,056 n.m. Goodwill impairment - - - - NET PROFIT (LOSS) 10,366 (2,690) + 13,056 n.m. Other charges and provisions Other charges and provisions, amounting to -€676 million, up compared to -€588 million in 2020, considered the Deposit Guarantee Scheme (DGS) contribution to Fondo Interbancario di Tutela dei Depositi - “FITD” (-€166 million), the ordinary and extraordinary contribution to the Single Resolution Fund (-€270 million) and other provisions for litigations, lawsuits, disputes, incidents and claims in which the Bank is passive subject. Integration costs Integration costs, mainly related to severance costs connected to the new Strategic Plan “UniCredit unlocked”, amounted to -€358 million, down +987 million (-73,4%) compared to 2020, during which charges were recognised as severance costs referred to multiyear plan Team 23. Net income (losses) from investments Net income from investments was €7,304 million, up compared to -€4,793 million in 2020. In particular, in 2021, also following the implementation in the valuation models of the financial projections underlying the new strategic plan "UniCredit Unlocked, write-backs on equity regarding UniCredit Bank AG (+€4,958 million) and UniCredit Bank Austria (+€2.972 million) were recorded, partially offset by write-down on equity related to UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million) and Cordusio SIM S.p.A. (-€104 million). For further information on the methodology, results and base assumptions used in the impairment test of investments in subsidiaries refer to sections “Section 7 - Equity investments - Item 70”, Notes to the accounts, Part B - Balance sheet - Assets. Taxes on income Taxes on income for 2021 reports a positive amount of €934 million, with respect to the positive amount of €302 million in 2020, this amount is mainly composed by: • IRES (current and deferred taxes) value of €940million. The amount of the current IRES is zero since the fiscal year 2021 generate a tax loss for a total of €466 million in terms of taxes, of which €335 million concerning Income statement and €131 million concerning Net equity. This tax loss, mainly determined by the yearly reversal of convertible DTA linked to credit impairment, equity investments and goodwill, has been converted in a tax credit as per Art. 2 par. 56-bis of Law Decree 29 December 2010, No.225 and subsequent amendments. The handling of deferred tax assets and liabilities of the period amounts totally at €605 million, mainly determined by the recognition of DTA for Tax Loss Carry Forward and for provisions for risks and charges following the updating of the sustainability test; • Negative IRAP (current and deferred taxes) of €103 million, with current IRAP equal to €36 million (€34 million produced by tax cases from Income statement and €2 million produced by tax cases from Net equity); • a provision of -€2 million related to the taxation on a transparent basis of controlled foreign companies (CFC); • non-deductible withholding tax of -€5 million suffered in Italy and abroad; • net extraordinary deduction of -€61 million, mainly resulting from the effect of the adjustment of deferred tax assets and the reconsideration in the tax return of IRAP tax rate; Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 577 • net extraordinary income of 7 million, determined by the realignment of the book values to the fiscal values of the Bank assets, as per Art.110 of Law Decree14 August 2020, No.104; • tax accrual referred to foreign branches for an amount equal to -€8 million; • tax credit deriving from the conversion of the “ACE” benefit into IRAP tax credit for €38 million for ACE 2020 that it could not have been accounted as not sustainable if not transformed for IRAP purposes, with the addition of €18 million deriving from the positive ACE tax ruling obtained by Agenzia delle Entrate; • a benefit of €110 million resulting from the transformation into tax credits of the tax losses as per Law Decree 17 March 2020 No.18, confirmed by Law Decree 25 May 2021 No.73. For further details about taxes refer to the Notes to the accounts, Part B - Balance sheet - Assets, Section 10 - Tax assets and Tax liabilities and Part C - Income statement, Section 19 - Tax expense (income) related to profit or loss from continuing operations. The balance sheet Loans to Customers As at 31 December 2021, loans to customers totalled €192,497 million, in decrease of -€16,338 million (-7.8%) compared to 31 December 2020. Loans and advances to customers (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Performing loans 172,136 174,699 - 2,563 - 1.5% Repos 16,580 30,469 - 13,889 - 45.6% Non-performing exposures 3,781 3,667 + 114 + 3.1% Total loans and receivables with customers 192,497 208,835 - 16,338 - 7.8% More specifically: • performing loans recorded a decrease of -€2,563 million (-1.5%); • reverse repos recorded a decrease of -€13,889 million (-45.6%); • impaired assets recorded an increase of €114 million (+3.1%). Performing loans (€172,136 million at 31 December 2021) included €907 million due from Special Purpose Vehicles (SPVs), attributable mainly to liquidity which UniCredit S.p.A., following the downgrading from 2012 by the rating agencies involved in the transactions, had to transfer (based on the contractual documentation signed) to other banks, still considered “eligible”, in favor of the SPVs granting loans as part of the transactions originated by UniCredit S.p.A. in relation to securitisations and covered bond issue programmes. During 2021 the aforementioned receivables from Special Purpose Vehicle (S.P.V.) decreased by €895 million compared to 31 December 2020. The decrease is due not only to the normal management of securitisation transactions, but also, following the upgrade in the Bank's rating recognized by Fitch on 17 December 2021, no need to maintain a deposit with third banks to guarantee the role of swap counterparty carried out by the Bank as part of the first Covered bonds program. Reverse repos, whose performance is strictly linked to liquidity management, amounted to €16,580 million at 31 December 2021 (€30,469 million at the end of 2020), and consisted almost entirely of transactions with Cassa di Compensazione e Garanzia, with Cassa Depositi e Prestiti and Poste Italiane S.p.A. Impaired loans at the end of December 2021 amounted to €3,781 million and came to 2.0% of the total amount of loans to customers. They mainly referred to the business segment. The increase of €114 million (3.1% in comparison to €3,667 million at the end of December 2020) is mainly due to the adoption of the New Definition of Default, effective from 1 January 2021, the effect of which was partially offset by the intense activity of the Bank aimed at reducing impaired credit exposures operated through disposal operations, which allowed, among other things, the completion of the "rundown" of the "Non Core" portfolio, as defined in the 2016-2019 Strategic Plan (Transform 2019), confirmed and strengthened with the 2020-2023 Strategic Plan (Team 23). Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 577 • net extraordinary income of 7 million, determined by the realignment of the book values to the fiscal values of the Bank assets, as per Art.110 of Law Decree14 August 2020, No.104; • tax accrual referred to foreign branches for an amount equal to -€8 million; • tax credit deriving from the conversion of the “ACE” benefit into IRAP tax credit for €38 million for ACE 2020 that it could not have been accounted as not sustainable if not transformed for IRAP purposes, with the addition of €18 million deriving from the positive ACE tax ruling obtained by Agenzia delle Entrate; • a benefit of €110 million resulting from the transformation into tax credits of the tax losses as per Law Decree 17 March 2020 No.18, confirmed by Law Decree 25 May 2021 No.73. For further details about taxes refer to the Notes to the accounts, Part B - Balance sheet - Assets, Section 10 - Tax assets and Tax liabilities and Part C - Income statement, Section 19 - Tax expense (income) related to profit or loss from continuing operations. The balance sheet Loans to Customers As at 31 December 2021, loans to customers totalled €192,497 million, in decrease of -€16,338 million (-7.8%) compared to 31 December 2020. Loans and advances to customers (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Performing loans 172,136 174,699 - 2,563 - 1.5% Repos 16,580 30,469 - 13,889 - 45.6% Non-performing exposures 3,781 3,667 + 114 + 3.1% Total loans and receivables with customers 192,497 208,835 - 16,338 - 7.8% More specifically: • performing loans recorded a decrease of -€2,563 million (-1.5%); • reverse repos recorded a decrease of -€13,889 million (-45.6%); • impaired assets recorded an increase of €114 million (+3.1%). Performing loans (€172,136 million at 31 December 2021) included €907 million due from Special Purpose Vehicles (SPVs), attributable mainly to liquidity which UniCredit S.p.A., following the downgrading from 2012 by the rating agencies involved in the transactions, had to transfer (based on the contractual documentation signed) to other banks, still considered “eligible”, in favor of the SPVs granting loans as part of the transactions originated by UniCredit S.p.A. in relation to securitisations and covered bond issue programmes. During 2021 the aforementioned receivables from Special Purpose Vehicle (S.P.V.) decreased by €895 million compared to 31 December 2020. The decrease is due not only to the normal management of securitisation transactions, but also, following the upgrade in the Bank's rating recognized by Fitch on 17 December 2021, no need to maintain a deposit with third banks to guarantee the role of swap counterparty carried out by the Bank as part of the first Covered bonds program. Reverse repos, whose performance is strictly linked to liquidity management, amounted to €16,580 million at 31 December 2021 (€30,469 million at the end of 2020), and consisted almost entirely of transactions with Cassa di Compensazione e Garanzia, with Cassa Depositi e Prestiti and Poste Italiane S.p.A. Impaired loans at the end of December 2021 amounted to €3,781 million and came to 2.0% of the total amount of loans to customers. They mainly referred to the business segment. The increase of €114 million (3.1% in comparison to €3,667 million at the end of December 2020) is mainly due to the adoption of the New Definition of Default, effective from 1 January 2021, the effect of which was partially offset by the intense activity of the Bank aimed at reducing impaired credit exposures operated through disposal operations, which allowed, among other things, the completion of the "rundown" of the "Non Core" portfolio, as defined in the 2016-2019 Strategic Plan (Transform 2019), confirmed and strengthened with the 2020-2023 Strategic Plan (Team 23). Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 577 • net extraordinary income of 7 million, determined by the realignment of the book values to the fiscal values of the Bank assets, as per Art.110 of Law Decree14 August 2020, No.104; • tax accrual referred to foreign branches for an amount equal to -€8 million; • tax credit deriving from the conversion of the “ACE” benefit into IRAP tax credit for €38 million for ACE 2020 that it could not have been accounted as not sustainable if not transformed for IRAP purposes, with the addition of €18 million deriving from the positive ACE tax ruling obtained by Agenzia delle Entrate; • a benefit of €110 million resulting from the transformation into tax credits of the tax losses as per Law Decree 17 March 2020 No.18, confirmed by Law Decree 25 May 2021 No.73. For further details about taxes refer to the Notes to the accounts, Part B - Balance sheet - Assets, Section 10 - Tax assets and Tax liabilities and Part C - Income statement, Section 19 - Tax expense (income) related to profit or loss from continuing operations. The balance sheet Loans to Customers As at 31 December 2021, loans to customers totalled €192,497 million, in decrease of -€16,338 million (-7.8%) compared to 31 December 2020. Loans and advances to customers (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Performing loans 172,136 174,699 - 2,563 - 1.5% Repos 16,580 30,469 - 13,889 - 45.6% Non-performing exposures 3,781 3,667 + 114 + 3.1% Total loans and receivables with customers 192,497 208,835 - 16,338 - 7.8% More specifically: • performing loans recorded a decrease of -€2,563 million (-1.5%); • reverse repos recorded a decrease of -€13,889 million (-45.6%); • impaired assets recorded an increase of €114 million (+3.1%). Performing loans (€172,136 million at 31 December 2021) included €907 million due from Special Purpose Vehicles (SPVs), attributable mainly to liquidity which UniCredit S.p.A., following the downgrading from 2012 by the rating agencies involved in the transactions, had to transfer (based on the contractual documentation signed) to other banks, still considered “eligible”, in favor of the SPVs granting loans as part of the transactions originated by UniCredit S.p.A. in relation to securitisations and covered bond issue programmes. During 2021 the aforementioned receivables from Special Purpose Vehicle (S.P.V.) decreased by €895 million compared to 31 December 2020. The decrease is due not only to the normal management of securitisation transactions, but also, following the upgrade in the Bank's rating recognized by Fitch on 17 December 2021, no need to maintain a deposit with third banks to guarantee the role of swap counterparty carried out by the Bank as part of the first Covered bonds program. Reverse repos, whose performance is strictly linked to liquidity management, amounted to €16,580 million at 31 December 2021 (€30,469 million at the end of 2020), and consisted almost entirely of transactions with Cassa di Compensazione e Garanzia, with Cassa Depositi e Prestiti and Poste Italiane S.p.A. Impaired loans at the end of December 2021 amounted to €3,781 million and came to 2.0% of the total amount of loans to customers. They mainly referred to the business segment. The increase of €114 million (3.1% in comparison to €3,667 million at the end of December 2020) is mainly due to the adoption of the New Definition of Default, effective from 1 January 2021, the effect of which was partially offset by the intense activity of the Bank aimed at reducing impaired credit exposures operated through disposal operations, which allowed, among other things, the completion of the "rundown" of the "Non Core" portfolio, as defined in the 2016-2019 Strategic Plan (Transform 2019), confirmed and strengthened with the 2020-2023 Strategic Plan (Team 23). Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 577 • net extraordinary income of 7 million, determined by the realignment of the book values to the fiscal values of the Bank assets, as per Art.110 of Law Decree14 August 2020, No.104; • tax accrual referred to foreign branches for an amount equal to -€8 million; • tax credit deriving from the conversion of the “ACE” benefit into IRAP tax credit for €38 million for ACE 2020 that it could not have been accounted as not sustainable if not transformed for IRAP purposes, with the addition of €18 million deriving from the positive ACE tax ruling obtained by Agenzia delle Entrate; • a benefit of €110 million resulting from the transformation into tax credits of the tax losses as per Law Decree 17 March 2020 No.18, confirmed by Law Decree 25 May 2021 No.73. For further details about taxes refer to the Notes to the accounts, Part B - Balance sheet - Assets, Section 10 - Tax assets and Tax liabilities and Part C - Income statement, Section 19 - Tax expense (income) related to profit or loss from continuing operations. The balance sheet Loans to Customers As at 31 December 2021, loans to customers totalled €192,497 million, in decrease of -€16,338 million (-7.8%) compared to 31 December 2020. Loans and advances to customers (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Performing loans 172,136 174,699 - 2,563 - 1.5% Repos 16,580 30,469 - 13,889 - 45.6% Non-performing exposures 3,781 3,667 + 114 + 3.1% Total loans and receivables with customers 192,497 208,835 - 16,338 - 7.8% More specifically: • performing loans recorded a decrease of -€2,563 million (-1.5%); • reverse repos recorded a decrease of -€13,889 million (-45.6%); • impaired assets recorded an increase of €114 million (+3.1%). Performing loans (€172,136 million at 31 December 2021) included €907 million due from Special Purpose Vehicles (SPVs), attributable mainly to liquidity which UniCredit S.p.A., following the downgrading from 2012 by the rating agencies involved in the transactions, had to transfer (based on the contractual documentation signed) to other banks, still considered “eligible”, in favor of the SPVs granting loans as part of the transactions originated by UniCredit S.p.A. in relation to securitisations and covered bond issue programmes. During 2021 the aforementioned receivables from Special Purpose Vehicle (S.P.V.) decreased by €895 million compared to 31 December 2020. The decrease is due not only to the normal management of securitisation transactions, but also, following the upgrade in the Bank's rating recognized by Fitch on 17 December 2021, no need to maintain a deposit with third banks to guarantee the role of swap counterparty carried out by the Bank as part of the first Covered bonds program. Reverse repos, whose performance is strictly linked to liquidity management, amounted to €16,580 million at 31 December 2021 (€30,469 million at the end of 2020), and consisted almost entirely of transactions with Cassa di Compensazione e Garanzia, with Cassa Depositi e Prestiti and Poste Italiane S.p.A. Impaired loans at the end of December 2021 amounted to €3,781 million and came to 2.0% of the total amount of loans to customers. They mainly referred to the business segment. The increase of €114 million (3.1% in comparison to €3,667 million at the end of December 2020) is mainly due to the adoption of the New Definition of Default, effective from 1 January 2021, the effect of which was partially offset by the intense activity of the Bank aimed at reducing impaired credit exposures operated through disposal operations, which allowed, among other things, the completion of the "rundown" of the "Non Core" portfolio, as defined in the 2016-2019 Strategic Plan (Transform 2019), confirmed and strengthened with the 2020-2023 Strategic Plan (Team 23). Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 577 • net extraordinary income of 7 million, determined by the realignment of the book values to the fiscal values of the Bank assets, as per Art.110 of Law Decree14 August 2020, No.104; • tax accrual referred to foreign branches for an amount equal to -€8 million; • tax credit deriving from the conversion of the “ACE” benefit into IRAP tax credit for €38 million for ACE 2020 that it could not have been accounted as not sustainable if not transformed for IRAP purposes, with the addition of €18 million deriving from the positive ACE tax ruling obtained by Agenzia delle Entrate; • a benefit of €110 million resulting from the transformation into tax credits of the tax losses as per Law Decree 17 March 2020 No.18, confirmed by Law Decree 25 May 2021 No.73. For further details about taxes refer to the Notes to the accounts, Part B - Balance sheet - Assets, Section 10 - Tax assets and Tax liabilities and Part C - Income statement, Section 19 - Tax expense (income) related to profit or loss from continuing operations. The balance sheet Loans to Customers As at 31 December 2021, loans to customers totalled €192,497 million, in decrease of -€16,338 million (-7.8%) compared to 31 December 2020. Loans and advances to customers (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Performing loans 172,136 174,699 - 2,563 - 1.5% Repos 16,580 30,469 - 13,889 - 45.6% Non-performing exposures 3,781 3,667 + 114 + 3.1% Total loans and receivables with customers 192,497 208,835 - 16,338 - 7.8% More specifically: • performing loans recorded a decrease of -€2,563 million (-1.5%); • reverse repos recorded a decrease of -€13,889 million (-45.6%); • impaired assets recorded an increase of €114 million (+3.1%). Performing loans (€172,136 million at 31 December 2021) included €907 million due from Special Purpose Vehicles (SPVs), attributable mainly to liquidity which UniCredit S.p.A., following the downgrading from 2012 by the rating agencies involved in the transactions, had to transfer (based on the contractual documentation signed) to other banks, still considered “eligible”, in favor of the SPVs granting loans as part of the transactions originated by UniCredit S.p.A. in relation to securitisations and covered bond issue programmes. During 2021 the aforementioned receivables from Special Purpose Vehicle (S.P.V.) decreased by €895 million compared to 31 December 2020. The decrease is due not only to the normal management of securitisation transactions, but also, following the upgrade in the Bank's rating recognized by Fitch on 17 December 2021, no need to maintain a deposit with third banks to guarantee the role of swap counterparty carried out by the Bank as part of the first Covered bonds program. Reverse repos, whose performance is strictly linked to liquidity management, amounted to €16,580 million at 31 December 2021 (€30,469 million at the end of 2020), and consisted almost entirely of transactions with Cassa di Compensazione e Garanzia, with Cassa Depositi e Prestiti and Poste Italiane S.p.A. Impaired loans at the end of December 2021 amounted to €3,781 million and came to 2.0% of the total amount of loans to customers. They mainly referred to the business segment. The increase of €114 million (3.1% in comparison to €3,667 million at the end of December 2020) is mainly due to the adoption of the New Definition of Default, effective from 1 January 2021, the effect of which was partially offset by the intense activity of the Bank aimed at reducing impaired credit exposures operated through disposal operations, which allowed, among other things, the completion of the "rundown" of the "Non Core" portfolio, as defined in the 2016-2019 Strategic Plan (Transform 2019), confirmed and strengthened with the 2020-2023 Strategic Plan (Team 23). Report on operations Results of the year 578 2021 Annual Report and Accounts · UniCredit Credit quality As at 31 December 2021, the gross book value (GBV) of the Non-Performing Exposures (NPE) amounts to €8,677 million, representing 4.3% of total GBV loans to customers (down from 5.3% at year-end 2020). The non-performing exposures incorporate the new definition of default classification applicable from 1 January 2021. The ratio of non-performing loans (GBV) amounted to 1.1% of total loans to customers (2.0% at 31 December 2020) loans classified as unlikely to pay amounted to 3.0% of total loans (3.1% at 31 December 2020), while impaired past due exposures amounted to 0.26% of total loans (0.18% at 31 December 2020). The coverage ratio of impaired loans (specific write-downs to face value) came to around 56.4%, down on the 68.2% figure recorded at 31 December 2020, in detail the coverage ratio is equal to 78.3% for non-performing loans, 49.9% for loans classified as unlikely to pay and 37.2% for impaired past due exposures. Performing loans, which amounted to €191,056 million at GBV (€207,307 million at 31 December 2020 the amount includes the effects of the merger into UniCredit S.p.A. of UniCredit Ireland occurred in November 2021 and effective for accounting purposes from 1 January 2021), were written down, at 31 December 2021, by a total of €2,340 million, with a coverage ratio of 1.22% (1.03% at 31 December 2020). For additional information on this section refer to the paragraph the Consolidated Financial Statements - Notes to the consolidated account, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk - Qualitative information - 2.3 Methods for measuring expected losses. Overall, therefore, total Loans to customers at 31 December 2021 stood at €199,733 million, with value adjustments of €7,236 million taking the general level of coverage for Loans to Customers to 3.6% (4.6% at 31 December 2020). The overall reduction in the coverage ratio is substantially due to the contraction of the impact of impaired loans on the aggregate of Loans to customers. For the management and recovery of problematic loans (non-performing and unlikely to pay), the Bank uses also the services offered by doValue S.p.A., a bank specialised in loan recovery. The summary table below provides additional details: Loans to customers - Asset quality (€ million) BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE TOTAL NON-PERFORMING PERFORMING TOTAL LOANS As at 12.31.2021(*) Gross exposure 2,221 5,943 513 8,677 191,056 199,733 as a percentage of total loans 1.11% 2.97% 0.26% 4.34% 95.66% Writedowns 1,739 2,966 191 4,896 2,340 7,236 as a percentage of face value 78.28% 49.91% 37.19% 56.42% 1.22% Carrying value 482 2,977 322 3,781 188,716 192,497 as a percentage of total loans 0.25% 1.55% 0.17% 1.96% 98.04% As at 12.31.2020(*)(**) Gross exposure 4,357 6,773 402 11,532 207,307 218,839 as a percentage of total loans 2.00% 3.10% 0.18% 5.27% 94.73% Writedowns 3,733 3,982 150 7,865 2,139 10,004 as a percentage of face value 85.68% 58.80% 37.30% 68.20% 1.03% Carrying value 624 2,790 252 3,667 205,168 208,835 as a percentage of total loans 0.30% 1.34% 0.12% 1.76% 98.24% Note: (*) Total loans to customers exclude the receivables arising from subleases recognised due to the application of IFRS16. (**) The amounts differ from those reported in UniCredit S.p.A. Results as at 31 December 2020 due to the merge in UniCredit S.p.A. of UniCredit Ireland occurred in November 2021 and effective for accounting purpose from 1 January 2021. Report on operations Results of the year 578 2021 Annual Report and Accounts · UniCredit Credit quality As at 31 December 2021, the gross book value (GBV) of the Non-Performing Exposures (NPE) amounts to €8,677 million, representing 4.3% of total GBV loans to customers (down from 5.3% at year-end 2020). The non-performing exposures incorporate the new definition of default classification applicable from 1 January 2021. The ratio of non-performing loans (GBV) amounted to 1.1% of total loans to customers (2.0% at 31 December 2020) loans classified as unlikely to pay amounted to 3.0% of total loans (3.1% at 31 December 2020), while impaired past due exposures amounted to 0.26% of total loans (0.18% at 31 December 2020). The coverage ratio of impaired loans (specific write-downs to face value) came to around 56.4%, down on the 68.2% figure recorded at 31 December 2020, in detail the coverage ratio is equal to 78.3% for non-performing loans, 49.9% for loans classified as unlikely to pay and 37.2% for impaired past due exposures. Performing loans, which amounted to €191,056 million at GBV (€207,307 million at 31 December 2020 the amount includes the effects of the merger into UniCredit S.p.A. of UniCredit Ireland occurred in November 2021 and effective for accounting purposes from 1 January 2021), were written down, at 31 December 2021, by a total of €2,340 million, with a coverage ratio of 1.22% (1.03% at 31 December 2020). For additional information on this section refer to the paragraph the Consolidated Financial Statements - Notes to the consolidated account, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk - Qualitative information - 2.3 Methods for measuring expected losses. Overall, therefore, total Loans to customers at 31 December 2021 stood at €199,733 million, with value adjustments of €7,236 million taking the general level of coverage for Loans to Customers to 3.6% (4.6% at 31 December 2020). The overall reduction in the coverage ratio is substantially due to the contraction of the impact of impaired loans on the aggregate of Loans to customers. For the management and recovery of problematic loans (non-performing and unlikely to pay), the Bank uses also the services offered by doValue S.p.A., a bank specialised in loan recovery. The summary table below provides additional details: Loans to customers - Asset quality (€ million) BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE TOTAL NON-PERFORMING PERFORMING TOTAL LOANS As at 12.31.2021(*) Gross exposure 2,221 5,943 513 8,677 191,056 199,733 as a percentage of total loans 1.11% 2.97% 0.26% 4.34% 95.66% Writedowns 1,739 2,966 191 4,896 2,340 7,236 as a percentage of face value 78.28% 49.91% 37.19% 56.42% 1.22% Carrying value 482 2,977 322 3,781 188,716 192,497 as a percentage of total loans 0.25% 1.55% 0.17% 1.96% 98.04% As at 12.31.2020(*)(**) Gross exposure 4,357 6,773 402 11,532 207,307 218,839 as a percentage of total loans 2.00% 3.10% 0.18% 5.27% 94.73% Writedowns 3,733 3,982 150 7,865 2,139 10,004 as a percentage of face value 85.68% 58.80% 37.30% 68.20% 1.03% Carrying value 624 2,790 252 3,667 205,168 208,835 as a percentage of total loans 0.30% 1.34% 0.12% 1.76% 98.24% Note: (*) Total loans to customers exclude the receivables arising from subleases recognised due to the application of IFRS16. (**) The amounts differ from those reported in UniCredit S.p.A. Results as at 31 December 2020 due to the merge in UniCredit S.p.A. of UniCredit Ireland occurred in November 2021 and effective for accounting purpose from 1 January 2021. Report on operations Results of the year 578 2021 Annual Report and Accounts · UniCredit Credit quality As at 31 December 2021, the gross book value (GBV) of the Non-Performing Exposures (NPE) amounts to €8,677 million, representing 4.3% of total GBV loans to customers (down from 5.3% at year-end 2020). The non-performing exposures incorporate the new definition of default classification applicable from 1 January 2021. The ratio of non-performing loans (GBV) amounted to 1.1% of total loans to customers (2.0% at 31 December 2020) loans classified as unlikely to pay amounted to 3.0% of total loans (3.1% at 31 December 2020), while impaired past due exposures amounted to 0.26% of total loans (0.18% at 31 December 2020). The coverage ratio of impaired loans (specific write-downs to face value) came to around 56.4%, down on the 68.2% figure recorded at 31 December 2020, in detail the coverage ratio is equal to 78.3% for non-performing loans, 49.9% for loans classified as unlikely to pay and 37.2% for impaired past due exposures. Performing loans, which amounted to €191,056 million at GBV (€207,307 million at 31 December 2020 the amount includes the effects of the merger into UniCredit S.p.A. of UniCredit Ireland occurred in November 2021 and effective for accounting purposes from 1 January 2021), were written down, at 31 December 2021, by a total of €2,340 million, with a coverage ratio of 1.22% (1.03% at 31 December 2020). For additional information on this section refer to the paragraph the Consolidated Financial Statements - Notes to the consolidated account, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk - Qualitative information - 2.3 Methods for measuring expected losses. Overall, therefore, total Loans to customers at 31 December 2021 stood at €199,733 million, with value adjustments of €7,236 million taking the general level of coverage for Loans to Customers to 3.6% (4.6% at 31 December 2020). The overall reduction in the coverage ratio is substantially due to the contraction of the impact of impaired loans on the aggregate of Loans to customers. For the management and recovery of problematic loans (non-performing and unlikely to pay), the Bank uses also the services offered by doValue S.p.A., a bank specialised in loan recovery. The summary table below provides additional details: Loans to customers - Asset quality (€ million) BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE TOTAL NON-PERFORMING PERFORMING TOTAL LOANS As at 12.31.2021(*) Gross exposure 2,221 5,943 513 8,677 191,056 199,733 as a percentage of total loans 1.11% 2.97% 0.26% 4.34% 95.66% Writedowns 1,739 2,966 191 4,896 2,340 7,236 as a percentage of face value 78.28% 49.91% 37.19% 56.42% 1.22% Carrying value 482 2,977 322 3,781 188,716 192,497 as a percentage of total loans 0.25% 1.55% 0.17% 1.96% 98.04% As at 12.31.2020(*)(**) Gross exposure 4,357 6,773 402 11,532 207,307 218,839 as a percentage of total loans 2.00% 3.10% 0.18% 5.27% 94.73% Writedowns 3,733 3,982 150 7,865 2,139 10,004 as a percentage of face value 85.68% 58.80% 37.30% 68.20% 1.03% Carrying value 624 2,790 252 3,667 205,168 208,835 as a percentage of total loans 0.30% 1.34% 0.12% 1.76% 98.24% Note: (*) Total loans to customers exclude the receivables arising from subleases recognised due to the application of IFRS16. (**) The amounts differ from those reported in UniCredit S.p.A. Results as at 31 December 2020 due to the merge in UniCredit S.p.A. of UniCredit Ireland occurred in November 2021 and effective for accounting purpose from 1 January 2021. Report on operations Results of the year 578 2021 Annual Report and Accounts · UniCredit Credit quality As at 31 December 2021, the gross book value (GBV) of the Non-Performing Exposures (NPE) amounts to €8,677 million, representing 4.3% of total GBV loans to customers (down from 5.3% at year-end 2020). The non-performing exposures incorporate the new definition of default classification applicable from 1 January 2021. The ratio of non-performing loans (GBV) amounted to 1.1% of total loans to customers (2.0% at 31 December 2020) loans classified as unlikely to pay amounted to 3.0% of total loans (3.1% at 31 December 2020), while impaired past due exposures amounted to 0.26% of total loans (0.18% at 31 December 2020). The coverage ratio of impaired loans (specific write-downs to face value) came to around 56.4%, down on the 68.2% figure recorded at 31 December 2020, in detail the coverage ratio is equal to 78.3% for non-performing loans, 49.9% for loans classified as unlikely to pay and 37.2% for impaired past due exposures. Performing loans, which amounted to €191,056 million at GBV (€207,307 million at 31 December 2020 the amount includes the effects of the merger into UniCredit S.p.A. of UniCredit Ireland occurred in November 2021 and effective for accounting purposes from 1 January 2021), were written down, at 31 December 2021, by a total of €2,340 million, with a coverage ratio of 1.22% (1.03% at 31 December 2020). For additional information on this section refer to the paragraph the Consolidated Financial Statements - Notes to the consolidated account, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk - Qualitative information - 2.3 Methods for measuring expected losses. Overall, therefore, total Loans to customers at 31 December 2021 stood at €199,733 million, with value adjustments of €7,236 million taking the general level of coverage for Loans to Customers to 3.6% (4.6% at 31 December 2020). The overall reduction in the coverage ratio is substantially due to the contraction of the impact of impaired loans on the aggregate of Loans to customers. For the management and recovery of problematic loans (non-performing and unlikely to pay), the Bank uses also the services offered by doValue S.p.A., a bank specialised in loan recovery. The summary table below provides additional details: Loans to customers - Asset quality (€ million) BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE TOTAL NON-PERFORMING PERFORMING TOTAL LOANS As at 12.31.2021(*) Gross exposure 2,221 5,943 513 8,677 191,056 199,733 as a percentage of total loans 1.11% 2.97% 0.26% 4.34% 95.66% Writedowns 1,739 2,966 191 4,896 2,340 7,236 as a percentage of face value 78.28% 49.91% 37.19% 56.42% 1.22% Carrying value 482 2,977 322 3,781 188,716 192,497 as a percentage of total loans 0.25% 1.55% 0.17% 1.96% 98.04% As at 12.31.2020(*)(**) Gross exposure 4,357 6,773 402 11,532 207,307 218,839 as a percentage of total loans 2.00% 3.10% 0.18% 5.27% 94.73% Writedowns 3,733 3,982 150 7,865 2,139 10,004 as a percentage of face value 85.68% 58.80% 37.30% 68.20% 1.03% Carrying value 624 2,790 252 3,667 205,168 208,835 as a percentage of total loans 0.30% 1.34% 0.12% 1.76% 98.24% Note: (*) Total loans to customers exclude the receivables arising from subleases recognised due to the application of IFRS16. (**) The amounts differ from those reported in UniCredit S.p.A. Results as at 31 December 2020 due to the merge in UniCredit S.p.A. of UniCredit Ireland occurred in November 2021 and effective for accounting purpose from 1 January 2021. Report on operations Results of the year 578 2021 Annual Report and Accounts · UniCredit Credit quality As at 31 December 2021, the gross book value (GBV) of the Non-Performing Exposures (NPE) amounts to €8,677 million, representing 4.3% of total GBV loans to customers (down from 5.3% at year-end 2020). The non-performing exposures incorporate the new definition of default classification applicable from 1 January 2021. The ratio of non-performing loans (GBV) amounted to 1.1% of total loans to customers (2.0% at 31 December 2020) loans classified as unlikely to pay amounted to 3.0% of total loans (3.1% at 31 December 2020), while impaired past due exposures amounted to 0.26% of total loans (0.18% at 31 December 2020). The coverage ratio of impaired loans (specific write-downs to face value) came to around 56.4%, down on the 68.2% figure recorded at 31 December 2020, in detail the coverage ratio is equal to 78.3% for non-performing loans, 49.9% for loans classified as unlikely to pay and 37.2% for impaired past due exposures. Performing loans, which amounted to €191,056 million at GBV (€207,307 million at 31 December 2020 the amount includes the effects of the merger into UniCredit S.p.A. of UniCredit Ireland occurred in November 2021 and effective for accounting purposes from 1 January 2021), were written down, at 31 December 2021, by a total of €2,340 million, with a coverage ratio of 1.22% (1.03% at 31 December 2020). For additional information on this section refer to the paragraph the Consolidated Financial Statements - Notes to the consolidated account, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk - Qualitative information - 2.3 Methods for measuring expected losses. Overall, therefore, total Loans to customers at 31 December 2021 stood at €199,733 million, with value adjustments of €7,236 million taking the general level of coverage for Loans to Customers to 3.6% (4.6% at 31 December 2020). The overall reduction in the coverage ratio is substantially due to the contraction of the impact of impaired loans on the aggregate of Loans to customers. For the management and recovery of problematic loans (non-performing and unlikely to pay), the Bank uses also the services offered by doValue S.p.A., a bank specialised in loan recovery. The summary table below provides additional details: Loans to customers - Asset quality (€ million) BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE TOTAL NON-PERFORMING PERFORMING TOTAL LOANS As at 12.31.2021(*) Gross exposure 2,221 5,943 513 8,677 191,056 199,733 as a percentage of total loans 1.11% 2.97% 0.26% 4.34% 95.66% Writedowns 1,739 2,966 191 4,896 2,340 7,236 as a percentage of face value 78.28% 49.91% 37.19% 56.42% 1.22% Carrying value 482 2,977 322 3,781 188,716 192,497 as a percentage of total loans 0.25% 1.55% 0.17% 1.96% 98.04% As at 12.31.2020(*)(**) Gross exposure 4,357 6,773 402 11,532 207,307 218,839 as a percentage of total loans 2.00% 3.10% 0.18% 5.27% 94.73% Writedowns 3,733 3,982 150 7,865 2,139 10,004 as a percentage of face value 85.68% 58.80% 37.30% 68.20% 1.03% Carrying value 624 2,790 252 3,667 205,168 208,835 as a percentage of total loans 0.30% 1.34% 0.12% 1.76% 98.24% Note: (*) Total loans to customers exclude the receivables arising from subleases recognised due to the application of IFRS16. (**) The amounts differ from those reported in UniCredit S.p.A. Results as at 31 December 2020 due to the merge in UniCredit S.p.A. of UniCredit Ireland occurred in November 2021 and effective for accounting purpose from 1 January 2021. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 579 Deposits from customers and debt securities in issue Deposits from customers and debt securities in issue decrease in respect of 2020 for the combined effect of increase attributable to operating units in Italy (€157 million) and decrease due to operating units abroad (-€937 million). Deposits from customers and debt securities in issue (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Deposits from customers 224,961 223,467 + 1,494 + 0.7% Debt securities in issue 57,724 59,998 - 2,274 - 3.8% Total deposits from customers and debt securities in issue 282,685 283,465 - 780 - 0.3% Deposits from customers change due to: • current accounts and demand deposits, increased by €9,649 million; • time deposits, reduced by €751 million; • repurchase agreements with customers, decreased by €7,657 million; • other types of deposits, increased by €253 million. Debt securities in issue change mainly due to increase attributable to operating units in Italy (-€1.605 million), driven by bond issues (-€1,597), certificates of deposit (-€3 million) and to “buoni fruttiferi” (-€5 million); certificates of deposit with operating units abroad decreased by €669 million. Other financial assets In 2021 financial investments showed an increase mainly attributable to increase in bonds and equity investments. Other financial assets (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Financial assets at fair value through profit or loss - Other financial assets designated at fair value 119 109 + 10 n.m. Financial assets at fair value through profit or loss - Other financial assets mandatorily at fair value 5,856 4,339 + 1,517 + 35.0% Financial assets at fair value through other comprehensive income 36,464 38,283 - 1,819 - 4.8% Debt securities and loans at amortised cost 48,703 39,345 + 9,358 + 23.8% Equity investments 38,414 31,750 + 6,664 + 21.0% Total other financial assets 129,555 113,826 + 15,729 + 13.8% More specifically: • financial assets designated at fair value are composed by few government bonds; • financial assets mandatory at fair value are mainly composed by units in investment funds (€1,565 million) and bonds (€3,420 million, to whom is mainly attributable the change in the year, mainly driven by the subscription of an Additional Tier 1 issuance of the subsidiary UniCredit Bank Austria AG. Starting from the end of 2021, following the loose of significative influence, the item includes the stake in Yapi Ve Kredi Bakasi A.S. for €229 million; • financial assets at fair value through other comprehensive income included €35,256 million in debt (decreased by €1,643 million primarily due to government and bank bonds) and €1,208 million in equity interests that have undergone an annual decrease of €176 million, mainly attributable to: - reduction of Banca d’Italia quotes (-€251 million); - fair value changes, of which ABH Holding (€22 million); • debt securities and loans at amortised cost mainly include (i) government and bank securities, increased due to purchases in the year and (ii) receivables for subleases deriving from the application of the IFRS16 standard; Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 579 Deposits from customers and debt securities in issue Deposits from customers and debt securities in issue decrease in respect of 2020 for the combined effect of increase attributable to operating units in Italy (€157 million) and decrease due to operating units abroad (-€937 million). Deposits from customers and debt securities in issue (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Deposits from customers 224,961 223,467 + 1,494 + 0.7% Debt securities in issue 57,724 59,998 - 2,274 - 3.8% Total deposits from customers and debt securities in issue 282,685 283,465 - 780 - 0.3% Deposits from customers change due to: • current accounts and demand deposits, increased by €9,649 million; • time deposits, reduced by €751 million; • repurchase agreements with customers, decreased by €7,657 million; • other types of deposits, increased by €253 million. Debt securities in issue change mainly due to increase attributable to operating units in Italy (-€1.605 million), driven by bond issues (-€1,597), certificates of deposit (-€3 million) and to “buoni fruttiferi” (-€5 million); certificates of deposit with operating units abroad decreased by €669 million. Other financial assets In 2021 financial investments showed an increase mainly attributable to increase in bonds and equity investments. Other financial assets (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Financial assets at fair value through profit or loss - Other financial assets designated at fair value 119 109 + 10 n.m. Financial assets at fair value through profit or loss - Other financial assets mandatorily at fair value 5,856 4,339 + 1,517 + 35.0% Financial assets at fair value through other comprehensive income 36,464 38,283 - 1,819 - 4.8% Debt securities and loans at amortised cost 48,703 39,345 + 9,358 + 23.8% Equity investments 38,414 31,750 + 6,664 + 21.0% Total other financial assets 129,555 113,826 + 15,729 + 13.8% More specifically: • financial assets designated at fair value are composed by few government bonds; • financial assets mandatory at fair value are mainly composed by units in investment funds (€1,565 million) and bonds (€3,420 million, to whom is mainly attributable the change in the year, mainly driven by the subscription of an Additional Tier 1 issuance of the subsidiary UniCredit Bank Austria AG. Starting from the end of 2021, following the loose of significative influence, the item includes the stake in Yapi Ve Kredi Bakasi A.S. for €229 million; • financial assets at fair value through other comprehensive income included €35,256 million in debt (decreased by €1,643 million primarily due to government and bank bonds) and €1,208 million in equity interests that have undergone an annual decrease of €176 million, mainly attributable to: - reduction of Banca d’Italia quotes (-€251 million); - fair value changes, of which ABH Holding (€22 million); • debt securities and loans at amortised cost mainly include (i) government and bank securities, increased due to purchases in the year and (ii) receivables for subleases deriving from the application of the IFRS16 standard; Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 579 Deposits from customers and debt securities in issue Deposits from customers and debt securities in issue decrease in respect of 2020 for the combined effect of increase attributable to operating units in Italy (€157 million) and decrease due to operating units abroad (-€937 million). Deposits from customers and debt securities in issue (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Deposits from customers 224,961 223,467 + 1,494 + 0.7% Debt securities in issue 57,724 59,998 - 2,274 - 3.8% Total deposits from customers and debt securities in issue 282,685 283,465 - 780 - 0.3% Deposits from customers change due to: • current accounts and demand deposits, increased by €9,649 million; • time deposits, reduced by €751 million; • repurchase agreements with customers, decreased by €7,657 million; • other types of deposits, increased by €253 million. Debt securities in issue change mainly due to increase attributable to operating units in Italy (-€1.605 million), driven by bond issues (-€1,597), certificates of deposit (-€3 million) and to “buoni fruttiferi” (-€5 million); certificates of deposit with operating units abroad decreased by €669 million. Other financial assets In 2021 financial investments showed an increase mainly attributable to increase in bonds and equity investments. Other financial assets (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Financial assets at fair value through profit or loss - Other financial assets designated at fair value 119 109 + 10 n.m. Financial assets at fair value through profit or loss - Other financial assets mandatorily at fair value 5,856 4,339 + 1,517 + 35.0% Financial assets at fair value through other comprehensive income 36,464 38,283 - 1,819 - 4.8% Debt securities and loans at amortised cost 48,703 39,345 + 9,358 + 23.8% Equity investments 38,414 31,750 + 6,664 + 21.0% Total other financial assets 129,555 113,826 + 15,729 + 13.8% More specifically: • financial assets designated at fair value are composed by few government bonds; • financial assets mandatory at fair value are mainly composed by units in investment funds (€1,565 million) and bonds (€3,420 million, to whom is mainly attributable the change in the year, mainly driven by the subscription of an Additional Tier 1 issuance of the subsidiary UniCredit Bank Austria AG. Starting from the end of 2021, following the loose of significative influence, the item includes the stake in Yapi Ve Kredi Bakasi A.S. for €229 million; • financial assets at fair value through other comprehensive income included €35,256 million in debt (decreased by €1,643 million primarily due to government and bank bonds) and €1,208 million in equity interests that have undergone an annual decrease of €176 million, mainly attributable to: - reduction of Banca d’Italia quotes (-€251 million); - fair value changes, of which ABH Holding (€22 million); • debt securities and loans at amortised cost mainly include (i) government and bank securities, increased due to purchases in the year and (ii) receivables for subleases deriving from the application of the IFRS16 standard; Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 579 Deposits from customers and debt securities in issue Deposits from customers and debt securities in issue decrease in respect of 2020 for the combined effect of increase attributable to operating units in Italy (€157 million) and decrease due to operating units abroad (-€937 million). Deposits from customers and debt securities in issue (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Deposits from customers 224,961 223,467 + 1,494 + 0.7% Debt securities in issue 57,724 59,998 - 2,274 - 3.8% Total deposits from customers and debt securities in issue 282,685 283,465 - 780 - 0.3% Deposits from customers change due to: • current accounts and demand deposits, increased by €9,649 million; • time deposits, reduced by €751 million; • repurchase agreements with customers, decreased by €7,657 million; • other types of deposits, increased by €253 million. Debt securities in issue change mainly due to increase attributable to operating units in Italy (-€1.605 million), driven by bond issues (-€1,597), certificates of deposit (-€3 million) and to “buoni fruttiferi” (-€5 million); certificates of deposit with operating units abroad decreased by €669 million. Other financial assets In 2021 financial investments showed an increase mainly attributable to increase in bonds and equity investments. Other financial assets (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Financial assets at fair value through profit or loss - Other financial assets designated at fair value 119 109 + 10 n.m. Financial assets at fair value through profit or loss - Other financial assets mandatorily at fair value 5,856 4,339 + 1,517 + 35.0% Financial assets at fair value through other comprehensive income 36,464 38,283 - 1,819 - 4.8% Debt securities and loans at amortised cost 48,703 39,345 + 9,358 + 23.8% Equity investments 38,414 31,750 + 6,664 + 21.0% Total other financial assets 129,555 113,826 + 15,729 + 13.8% More specifically: • financial assets designated at fair value are composed by few government bonds; • financial assets mandatory at fair value are mainly composed by units in investment funds (€1,565 million) and bonds (€3,420 million, to whom is mainly attributable the change in the year, mainly driven by the subscription of an Additional Tier 1 issuance of the subsidiary UniCredit Bank Austria AG. Starting from the end of 2021, following the loose of significative influence, the item includes the stake in Yapi Ve Kredi Bakasi A.S. for €229 million; • financial assets at fair value through other comprehensive income included €35,256 million in debt (decreased by €1,643 million primarily due to government and bank bonds) and €1,208 million in equity interests that have undergone an annual decrease of €176 million, mainly attributable to: - reduction of Banca d’Italia quotes (-€251 million); - fair value changes, of which ABH Holding (€22 million); • debt securities and loans at amortised cost mainly include (i) government and bank securities, increased due to purchases in the year and (ii) receivables for subleases deriving from the application of the IFRS16 standard; Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 579 Deposits from customers and debt securities in issue Deposits from customers and debt securities in issue decrease in respect of 2020 for the combined effect of increase attributable to operating units in Italy (€157 million) and decrease due to operating units abroad (-€937 million). Deposits from customers and debt securities in issue (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Deposits from customers 224,961 223,467 + 1,494 + 0.7% Debt securities in issue 57,724 59,998 - 2,274 - 3.8% Total deposits from customers and debt securities in issue 282,685 283,465 - 780 - 0.3% Deposits from customers change due to: • current accounts and demand deposits, increased by €9,649 million; • time deposits, reduced by €751 million; • repurchase agreements with customers, decreased by €7,657 million; • other types of deposits, increased by €253 million. Debt securities in issue change mainly due to increase attributable to operating units in Italy (-€1.605 million), driven by bond issues (-€1,597), certificates of deposit (-€3 million) and to “buoni fruttiferi” (-€5 million); certificates of deposit with operating units abroad decreased by €669 million. Other financial assets In 2021 financial investments showed an increase mainly attributable to increase in bonds and equity investments. Other financial assets (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Financial assets at fair value through profit or loss - Other financial assets designated at fair value 119 109 + 10 n.m. Financial assets at fair value through profit or loss - Other financial assets mandatorily at fair value 5,856 4,339 + 1,517 + 35.0% Financial assets at fair value through other comprehensive income 36,464 38,283 - 1,819 - 4.8% Debt securities and loans at amortised cost 48,703 39,345 + 9,358 + 23.8% Equity investments 38,414 31,750 + 6,664 + 21.0% Total other financial assets 129,555 113,826 + 15,729 + 13.8% More specifically: • financial assets designated at fair value are composed by few government bonds; • financial assets mandatory at fair value are mainly composed by units in investment funds (€1,565 million) and bonds (€3,420 million, to whom is mainly attributable the change in the year, mainly driven by the subscription of an Additional Tier 1 issuance of the subsidiary UniCredit Bank Austria AG. Starting from the end of 2021, following the loose of significative influence, the item includes the stake in Yapi Ve Kredi Bakasi A.S. for €229 million; • financial assets at fair value through other comprehensive income included €35,256 million in debt (decreased by €1,643 million primarily due to government and bank bonds) and €1,208 million in equity interests that have undergone an annual decrease of €176 million, mainly attributable to: - reduction of Banca d’Italia quotes (-€251 million); - fair value changes, of which ABH Holding (€22 million); • debt securities and loans at amortised cost mainly include (i) government and bank securities, increased due to purchases in the year and (ii) receivables for subleases deriving from the application of the IFRS16 standard; Report on operations Results of the year 580 2021 Annual Report and Accounts · UniCredit • the value of equity investments (no more including UniCredit Bank Ireland PLC, merged into UniCredit S.p.A., Yapi Ve Kredi Bankasi A.S. reclassified into assets mandatory at fair value following the loose of significative influence and UniCredit Leasing S.p.A. reclassified into assets held for sale) increased mainly driven by the combined effects arising from: - the write-downs of the investment, of which: UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million), Cordusio SIM S.p.A. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million); - the write-up of the investment, of which: UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli SRL (€3 million), UniCredit Subito Casa S.p.A. (€1 million). Interbank position The Bank recorded, under its financial activities, a net interbank position at the end of 2021 of assets (€26,711 million) and liabilities (€86,258 million) equal to -€59,547 million. Compared with the corresponding figures at the end of 2020 (net equal to -€56,235 million), the balance showed a slight increase in the net liabilities of -€3,312 million due to the combined effect of the higher reduction of Loans and receivables with banks (-€6,206 million) than the one of Deposits from banks (-2,894 million). In this regard, the latter dynamics includes the increase in the participation to TLTRO, from a nominal of €51,291 million at the end of 2020 to a nominal of €56,420 million at the end of 2021, following the additional participation in TLTRO III operations in March 2021, more than offset by the reduction towards other interbank counterparties. Interbank position (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Loans and receivables with banks 26,711 32,917 - 6,206 - 18.9% Deposits from banks 86,258 89,152 - 2,894 - 3.2% NET INTERBANK POSITION (59,547) (56,235) - 3,312 + 5.9% Report on operations Results of the year 580 2021 Annual Report and Accounts · UniCredit • the value of equity investments (no more including UniCredit Bank Ireland PLC, merged into UniCredit S.p.A., Yapi Ve Kredi Bankasi A.S. reclassified into assets mandatory at fair value following the loose of significative influence and UniCredit Leasing S.p.A. reclassified into assets held for sale) increased mainly driven by the combined effects arising from: - the write-downs of the investment, of which: UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million), Cordusio SIM S.p.A. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million); - the write-up of the investment, of which: UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli SRL (€3 million), UniCredit Subito Casa S.p.A. (€1 million). Interbank position The Bank recorded, under its financial activities, a net interbank position at the end of 2021 of assets (€26,711 million) and liabilities (€86,258 million) equal to -€59,547 million. Compared with the corresponding figures at the end of 2020 (net equal to -€56,235 million), the balance showed a slight increase in the net liabilities of -€3,312 million due to the combined effect of the higher reduction of Loans and receivables with banks (-€6,206 million) than the one of Deposits from banks (-2,894 million). In this regard, the latter dynamics includes the increase in the participation to TLTRO, from a nominal of €51,291 million at the end of 2020 to a nominal of €56,420 million at the end of 2021, following the additional participation in TLTRO III operations in March 2021, more than offset by the reduction towards other interbank counterparties. Interbank position (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Loans and receivables with banks 26,711 32,917 - 6,206 - 18.9% Deposits from banks 86,258 89,152 - 2,894 - 3.2% NET INTERBANK POSITION (59,547) (56,235) - 3,312 + 5.9% Report on operations Results of the year 580 2021 Annual Report and Accounts · UniCredit • the value of equity investments (no more including UniCredit Bank Ireland PLC, merged into UniCredit S.p.A., Yapi Ve Kredi Bankasi A.S. reclassified into assets mandatory at fair value following the loose of significative influence and UniCredit Leasing S.p.A. reclassified into assets held for sale) increased mainly driven by the combined effects arising from: - the write-downs of the investment, of which: UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million), Cordusio SIM S.p.A. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million); - the write-up of the investment, of which: UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli SRL (€3 million), UniCredit Subito Casa S.p.A. (€1 million). Interbank position The Bank recorded, under its financial activities, a net interbank position at the end of 2021 of assets (€26,711 million) and liabilities (€86,258 million) equal to -€59,547 million. Compared with the corresponding figures at the end of 2020 (net equal to -€56,235 million), the balance showed a slight increase in the net liabilities of -€3,312 million due to the combined effect of the higher reduction of Loans and receivables with banks (-€6,206 million) than the one of Deposits from banks (-2,894 million). In this regard, the latter dynamics includes the increase in the participation to TLTRO, from a nominal of €51,291 million at the end of 2020 to a nominal of €56,420 million at the end of 2021, following the additional participation in TLTRO III operations in March 2021, more than offset by the reduction towards other interbank counterparties. Interbank position (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Loans and receivables with banks 26,711 32,917 - 6,206 - 18.9% Deposits from banks 86,258 89,152 - 2,894 - 3.2% NET INTERBANK POSITION (59,547) (56,235) - 3,312 + 5.9% Report on operations Results of the year 580 2021 Annual Report and Accounts · UniCredit • the value of equity investments (no more including UniCredit Bank Ireland PLC, merged into UniCredit S.p.A., Yapi Ve Kredi Bankasi A.S. reclassified into assets mandatory at fair value following the loose of significative influence and UniCredit Leasing S.p.A. reclassified into assets held for sale) increased mainly driven by the combined effects arising from: - the write-downs of the investment, of which: UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million), Cordusio SIM S.p.A. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million); - the write-up of the investment, of which: UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli SRL (€3 million), UniCredit Subito Casa S.p.A. (€1 million). Interbank position The Bank recorded, under its financial activities, a net interbank position at the end of 2021 of assets (€26,711 million) and liabilities (€86,258 million) equal to -€59,547 million. Compared with the corresponding figures at the end of 2020 (net equal to -€56,235 million), the balance showed a slight increase in the net liabilities of -€3,312 million due to the combined effect of the higher reduction of Loans and receivables with banks (-€6,206 million) than the one of Deposits from banks (-2,894 million). In this regard, the latter dynamics includes the increase in the participation to TLTRO, from a nominal of €51,291 million at the end of 2020 to a nominal of €56,420 million at the end of 2021, following the additional participation in TLTRO III operations in March 2021, more than offset by the reduction towards other interbank counterparties. Interbank position (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Loans and receivables with banks 26,711 32,917 - 6,206 - 18.9% Deposits from banks 86,258 89,152 - 2,894 - 3.2% NET INTERBANK POSITION (59,547) (56,235) - 3,312 + 5.9% Report on operations Results of the year 580 2021 Annual Report and Accounts · UniCredit • the value of equity investments (no more including UniCredit Bank Ireland PLC, merged into UniCredit S.p.A., Yapi Ve Kredi Bankasi A.S. reclassified into assets mandatory at fair value following the loose of significative influence and UniCredit Leasing S.p.A. reclassified into assets held for sale) increased mainly driven by the combined effects arising from: - the write-downs of the investment, of which: UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million), Cordusio SIM S.p.A. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million); - the write-up of the investment, of which: UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli SRL (€3 million), UniCredit Subito Casa S.p.A. (€1 million). Interbank position The Bank recorded, under its financial activities, a net interbank position at the end of 2021 of assets (€26,711 million) and liabilities (€86,258 million) equal to -€59,547 million. Compared with the corresponding figures at the end of 2020 (net equal to -€56,235 million), the balance showed a slight increase in the net liabilities of -€3,312 million due to the combined effect of the higher reduction of Loans and receivables with banks (-€6,206 million) than the one of Deposits from banks (-2,894 million). In this regard, the latter dynamics includes the increase in the participation to TLTRO, from a nominal of €51,291 million at the end of 2020 to a nominal of €56,420 million at the end of 2021, following the additional participation in TLTRO III operations in March 2021, more than offset by the reduction towards other interbank counterparties. Interbank position (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Loans and receivables with banks 26,711 32,917 - 6,206 - 18.9% Deposits from banks 86,258 89,152 - 2,894 - 3.2% NET INTERBANK POSITION (59,547) (56,235) - 3,312 + 5.9% Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 581 Capital and Value Management Principles of value creation and disciplined capital allocation Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. Capital ratios Transitional own funds and capital ratios (€ million) AS AT 12.31.2021(*) 12.31.2020(*) Common Equity Tier 1 Capital 48,249 41,186 Tier 1 Capital 54,954 48,276 Total own funds 62,158 56,161 Total RWA 187,327 183,065 Common Equity Tier 1 Capital Ratio 25.76% 22.50% Tier 1 Capital Ratio 29.34% 26.37% Total Capital Ratio 33.18% 30.68% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. UniCredit S.p.A. has decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). The positive change with respect to 31 December 2020 equal to €7.1 billion on Common Equity Tier 1 Capital mainly reflects: (i) the profit of 2021 (equal to €10,366 million), net of dividends for €1,170 and of €4 million of social and charity initiatives, computed for €9,192 million; partially offset by (ii) the higher deduction for € 1,2 billion on deferred tax assets that rely on future profitability and do not arise from temporary differences, resulting from the Deferred Tax Assets sustainability test related to tax losses carry forward (TLCF) of the Italian tax perimeter carried out in the fourth quarter 2021; (iii) negative effect of the deduction for €831 million connected to the “First Buy-Back Programme” (€179 million) and “Second Buy-Back Programme” (€652 million). With reference to the Total Own Funds, the positive change with respect to 31 December 2020, equal to €6.0 billion, reflects in addition to the effects on Common Equity Tier 1 Capital positive for €7.1 billion, the additional negative effects for €1.1 billion mainly deriving from: (i) negative effect on Additional Tier 1 Capital deriving from the authorization received by the competent authority to early redeem the Capital instrument XS1107890847 (computable amount equal to €991 million) (ii) negative effect on Tier 2 Capital deriving from the authorization received by the competent authority to early redeem instrument XS1426039696 (computable amount €748 million); (iii) the positive effect deriving from the new issuance of one subordinated instrument classified in Additional Tier 1 Capital for €744 million. The net profit as at 31 December 2021, equal to €10,366 million, is recognised in the Own Funds for €9,192 million, resulting after the cash distributions approved by the Board of Directors €1,170 million to cash dividends and for €4 million to social and charity initiatives. Shareholders’ remuneration consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) for €2,580 million, for a total amount of €3,750 million. Considering that the SBB component is subject to authorizations, the Own Funds deduction in the fourth quarter 2021 does not include such amount, but only the cash component (€1,170 million), further to €4 million for social and charity initiatives. Capital strengthening Reference is made to the paragraph Capital strengthening of the Consolidated report on operations, which is herewith quoted entirely. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 581 Capital and Value Management Principles of value creation and disciplined capital allocation Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. Capital ratios Transitional own funds and capital ratios (€ million) AS AT 12.31.2021(*) 12.31.2020(*) Common Equity Tier 1 Capital 48,249 41,186 Tier 1 Capital 54,954 48,276 Total own funds 62,158 56,161 Total RWA 187,327 183,065 Common Equity Tier 1 Capital Ratio 25.76% 22.50% Tier 1 Capital Ratio 29.34% 26.37% Total Capital Ratio 33.18% 30.68% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. UniCredit S.p.A. has decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). The positive change with respect to 31 December 2020 equal to €7.1 billion on Common Equity Tier 1 Capital mainly reflects: (i) the profit of 2021 (equal to €10,366 million), net of dividends for €1,170 and of €4 million of social and charity initiatives, computed for €9,192 million; partially offset by (ii) the higher deduction for € 1,2 billion on deferred tax assets that rely on future profitability and do not arise from temporary differences, resulting from the Deferred Tax Assets sustainability test related to tax losses carry forward (TLCF) of the Italian tax perimeter carried out in the fourth quarter 2021; (iii) negative effect of the deduction for €831 million connected to the “First Buy-Back Programme” (€179 million) and “Second Buy-Back Programme” (€652 million). With reference to the Total Own Funds, the positive change with respect to 31 December 2020, equal to €6.0 billion, reflects in addition to the effects on Common Equity Tier 1 Capital positive for €7.1 billion, the additional negative effects for €1.1 billion mainly deriving from: (i) negative effect on Additional Tier 1 Capital deriving from the authorization received by the competent authority to early redeem the Capital instrument XS1107890847 (computable amount equal to €991 million) (ii) negative effect on Tier 2 Capital deriving from the authorization received by the competent authority to early redeem instrument XS1426039696 (computable amount €748 million); (iii) the positive effect deriving from the new issuance of one subordinated instrument classified in Additional Tier 1 Capital for €744 million. The net profit as at 31 December 2021, equal to €10,366 million, is recognised in the Own Funds for €9,192 million, resulting after the cash distributions approved by the Board of Directors €1,170 million to cash dividends and for €4 million to social and charity initiatives. Shareholders’ remuneration consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) for €2,580 million, for a total amount of €3,750 million. Considering that the SBB component is subject to authorizations, the Own Funds deduction in the fourth quarter 2021 does not include such amount, but only the cash component (€1,170 million), further to €4 million for social and charity initiatives. Capital strengthening Reference is made to the paragraph Capital strengthening of the Consolidated report on operations, which is herewith quoted entirely. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 581 Capital and Value Management Principles of value creation and disciplined capital allocation Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. Capital ratios Transitional own funds and capital ratios (€ million) AS AT 12.31.2021(*) 12.31.2020(*) Common Equity Tier 1 Capital 48,249 41,186 Tier 1 Capital 54,954 48,276 Total own funds 62,158 56,161 Total RWA 187,327 183,065 Common Equity Tier 1 Capital Ratio 25.76% 22.50% Tier 1 Capital Ratio 29.34% 26.37% Total Capital Ratio 33.18% 30.68% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. UniCredit S.p.A. has decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). The positive change with respect to 31 December 2020 equal to €7.1 billion on Common Equity Tier 1 Capital mainly reflects: (i) the profit of 2021 (equal to €10,366 million), net of dividends for €1,170 and of €4 million of social and charity initiatives, computed for €9,192 million; partially offset by (ii) the higher deduction for € 1,2 billion on deferred tax assets that rely on future profitability and do not arise from temporary differences, resulting from the Deferred Tax Assets sustainability test related to tax losses carry forward (TLCF) of the Italian tax perimeter carried out in the fourth quarter 2021; (iii) negative effect of the deduction for €831 million connected to the “First Buy-Back Programme” (€179 million) and “Second Buy-Back Programme” (€652 million). With reference to the Total Own Funds, the positive change with respect to 31 December 2020, equal to €6.0 billion, reflects in addition to the effects on Common Equity Tier 1 Capital positive for €7.1 billion, the additional negative effects for €1.1 billion mainly deriving from: (i) negative effect on Additional Tier 1 Capital deriving from the authorization received by the competent authority to early redeem the Capital instrument XS1107890847 (computable amount equal to €991 million) (ii) negative effect on Tier 2 Capital deriving from the authorization received by the competent authority to early redeem instrument XS1426039696 (computable amount €748 million); (iii) the positive effect deriving from the new issuance of one subordinated instrument classified in Additional Tier 1 Capital for €744 million. The net profit as at 31 December 2021, equal to €10,366 million, is recognised in the Own Funds for €9,192 million, resulting after the cash distributions approved by the Board of Directors €1,170 million to cash dividends and for €4 million to social and charity initiatives. Shareholders’ remuneration consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) for €2,580 million, for a total amount of €3,750 million. Considering that the SBB component is subject to authorizations, the Own Funds deduction in the fourth quarter 2021 does not include such amount, but only the cash component (€1,170 million), further to €4 million for social and charity initiatives. Capital strengthening Reference is made to the paragraph Capital strengthening of the Consolidated report on operations, which is herewith quoted entirely. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 581 Capital and Value Management Principles of value creation and disciplined capital allocation Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. Capital ratios Transitional own funds and capital ratios (€ million) AS AT 12.31.2021(*) 12.31.2020(*) Common Equity Tier 1 Capital 48,249 41,186 Tier 1 Capital 54,954 48,276 Total own funds 62,158 56,161 Total RWA 187,327 183,065 Common Equity Tier 1 Capital Ratio 25.76% 22.50% Tier 1 Capital Ratio 29.34% 26.37% Total Capital Ratio 33.18% 30.68% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. UniCredit S.p.A. has decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). The positive change with respect to 31 December 2020 equal to €7.1 billion on Common Equity Tier 1 Capital mainly reflects: (i) the profit of 2021 (equal to €10,366 million), net of dividends for €1,170 and of €4 million of social and charity initiatives, computed for €9,192 million; partially offset by (ii) the higher deduction for € 1,2 billion on deferred tax assets that rely on future profitability and do not arise from temporary differences, resulting from the Deferred Tax Assets sustainability test related to tax losses carry forward (TLCF) of the Italian tax perimeter carried out in the fourth quarter 2021; (iii) negative effect of the deduction for €831 million connected to the “First Buy-Back Programme” (€179 million) and “Second Buy-Back Programme” (€652 million). With reference to the Total Own Funds, the positive change with respect to 31 December 2020, equal to €6.0 billion, reflects in addition to the effects on Common Equity Tier 1 Capital positive for €7.1 billion, the additional negative effects for €1.1 billion mainly deriving from: (i) negative effect on Additional Tier 1 Capital deriving from the authorization received by the competent authority to early redeem the Capital instrument XS1107890847 (computable amount equal to €991 million) (ii) negative effect on Tier 2 Capital deriving from the authorization received by the competent authority to early redeem instrument XS1426039696 (computable amount €748 million); (iii) the positive effect deriving from the new issuance of one subordinated instrument classified in Additional Tier 1 Capital for €744 million. The net profit as at 31 December 2021, equal to €10,366 million, is recognised in the Own Funds for €9,192 million, resulting after the cash distributions approved by the Board of Directors €1,170 million to cash dividends and for €4 million to social and charity initiatives. Shareholders’ remuneration consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) for €2,580 million, for a total amount of €3,750 million. Considering that the SBB component is subject to authorizations, the Own Funds deduction in the fourth quarter 2021 does not include such amount, but only the cash component (€1,170 million), further to €4 million for social and charity initiatives. Capital strengthening Reference is made to the paragraph Capital strengthening of the Consolidated report on operations, which is herewith quoted entirely. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 581 Capital and Value Management Principles of value creation and disciplined capital allocation Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. Capital ratios Transitional own funds and capital ratios (€ million) AS AT 12.31.2021(*) 12.31.2020(*) Common Equity Tier 1 Capital 48,249 41,186 Tier 1 Capital 54,954 48,276 Total own funds 62,158 56,161 Total RWA 187,327 183,065 Common Equity Tier 1 Capital Ratio 25.76% 22.50% Tier 1 Capital Ratio 29.34% 26.37% Total Capital Ratio 33.18% 30.68% Notes: (*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages. UniCredit S.p.A. has decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). The positive change with respect to 31 December 2020 equal to €7.1 billion on Common Equity Tier 1 Capital mainly reflects: (i) the profit of 2021 (equal to €10,366 million), net of dividends for €1,170 and of €4 million of social and charity initiatives, computed for €9,192 million; partially offset by (ii) the higher deduction for € 1,2 billion on deferred tax assets that rely on future profitability and do not arise from temporary differences, resulting from the Deferred Tax Assets sustainability test related to tax losses carry forward (TLCF) of the Italian tax perimeter carried out in the fourth quarter 2021; (iii) negative effect of the deduction for €831 million connected to the “First Buy-Back Programme” (€179 million) and “Second Buy-Back Programme” (€652 million). With reference to the Total Own Funds, the positive change with respect to 31 December 2020, equal to €6.0 billion, reflects in addition to the effects on Common Equity Tier 1 Capital positive for €7.1 billion, the additional negative effects for €1.1 billion mainly deriving from: (i) negative effect on Additional Tier 1 Capital deriving from the authorization received by the competent authority to early redeem the Capital instrument XS1107890847 (computable amount equal to €991 million) (ii) negative effect on Tier 2 Capital deriving from the authorization received by the competent authority to early redeem instrument XS1426039696 (computable amount €748 million); (iii) the positive effect deriving from the new issuance of one subordinated instrument classified in Additional Tier 1 Capital for €744 million. The net profit as at 31 December 2021, equal to €10,366 million, is recognised in the Own Funds for €9,192 million, resulting after the cash distributions approved by the Board of Directors €1,170 million to cash dividends and for €4 million to social and charity initiatives. Shareholders’ remuneration consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) for €2,580 million, for a total amount of €3,750 million. Considering that the SBB component is subject to authorizations, the Own Funds deduction in the fourth quarter 2021 does not include such amount, but only the cash component (€1,170 million), further to €4 million for social and charity initiatives. Capital strengthening Reference is made to the paragraph Capital strengthening of the Consolidated report on operations, which is herewith quoted entirely. Report on operations Results of the year 582 2021 Annual Report and Accounts · UniCredit Shareholders’ equity Shareholders' equity (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Share capital 21,133 21,060 + 73 + 0.3% Share premium 5,446 9,386 - 3,940 - 42.0% Equity instruments 6,595 6,841 - 247 - 3.6% Reserves 15,131 14,840 + 291 + 2.0% Revaluation reserves 793 445 + 348 + 78.2% Treasury shares (199) (2) - 197 n.m. Total capital and reserves 48,899 52,570 - 3,671 - 7.0% Net profit (loss) 10,366 (2,690) + 13,056 n.m. Total shareholders' equity 59,265 49,880 + 9,385 + 18.8% Shareholders' equity as of 31 December 2021 amounted to €59,265 million, an increase of €9,385 million compared to 31 December 2020, attributable to: • -€268 million for distribution of dividends from profit reserves as approved by Shareholders' Meeting of 15 April 2021; • -€990 million from the early redemption of the Additional Tier 1 (AT1) instruments issued in 2014, net of the related placement costs, exercising the redemption option in accordance with the relevant terms and conditions of the securities; • +€744 million from the new issuance of Additional Tier 1 Notes recorded net of transaction cost and placement fees in item “Equity Instruments”; • -€350 million from the allocation to the reserves of the coupon paid to subscribers of Additional Tier 1 notes, net of related tax effects and transaction costs on redeemed issues; • -€30 million from the allocation to the reserves of the cash-out connected to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes”; • +€67 million from the adjustment to the reserve dedicated to Equity Settled Share Based Payments; • -€50 million for allocation to equity of realised net gains and losses from disposal of financial assets and liabilities at fair value through other comprehensive income; • -€23 million for the reversal to equity of the actuarial gains and losses realised related to the capitalization offer relating to the Group Pension Plan; • -€16 million for the substitute tax from the application of the tax realignment of the properties used in business under IAS16 with impact on equity. • +€7 million for variation of the negative reserve that recognise the effects deriving from the non-sustainability of the tax benefits connected to the shareholders' equity items; • -€179 million for the purchase of No.17,416,128 shares recognised in the item “Treasury shares” in execution of the “First Buy-Back Programme 2021” authorised by the Shareholders’ meeting of 15 April 2021 and completed on 23 June 2021 and then cancelled on 4 October 2021; • -€199 million for the purchase, till 31 December 2021, of No.15,048,642 shares recognised in the item “Treasury shares” in execution of the “Second Buy-Back Programme 2021” authorised by the Shareholders’ meeting held on 15 April 2021 and initiated on 13 December 2021; • +€10,366 million from the net result from the year, adjusted of dividend distributed by the merged company UniCredit Bank Ireland PLC (-€42 million) included in the adjusted 2020 net result; • +€348 million to the net effect deriving from revaluation reserves, of which: +€14 million from financial assets at fair value through other comprehensive income; +€57 million from financial liabilities designated at fair value through profit or loss, due to changes in their creditworthiness; +€89 million from cash flow hedges; +€180 million from revaluation of real estate properties following the tax realignment of the properties used in business under IAS16 with impact on equity and +€8 million from defined benefit plans. Note the following significant changes occurred in 2021 which, though reflected among the various components of shareholders' equity, did not change the overall amount thereof: • following the resolutions of the Shareholders' Meeting of 15 April 2021 occurred: (i) coverage the entire loss from the 2020 financial year through the use of the Share Premium Reserve (€2,732 million); ii) increase of the Legal reserve (€55 million) withdrawn from Share Premium Reserve; iii) coverage of the negative reserves totaling €449 million, partly buy use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out related to the usufruct contract connected to the “Cashes” financial instruments (€127 million); Report on operations Results of the year 582 2021 Annual Report and Accounts · UniCredit Shareholders’ equity Shareholders' equity (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Share capital 21,133 21,060 + 73 + 0.3% Share premium 5,446 9,386 - 3,940 - 42.0% Equity instruments 6,595 6,841 - 247 - 3.6% Reserves 15,131 14,840 + 291 + 2.0% Revaluation reserves 793 445 + 348 + 78.2% Treasury shares (199) (2) - 197 n.m. Total capital and reserves 48,899 52,570 - 3,671 - 7.0% Net profit (loss) 10,366 (2,690) + 13,056 n.m. Total shareholders' equity 59,265 49,880 + 9,385 + 18.8% Shareholders' equity as of 31 December 2021 amounted to €59,265 million, an increase of €9,385 million compared to 31 December 2020, attributable to: • -€268 million for distribution of dividends from profit reserves as approved by Shareholders' Meeting of 15 April 2021; • -€990 million from the early redemption of the Additional Tier 1 (AT1) instruments issued in 2014, net of the related placement costs, exercising the redemption option in accordance with the relevant terms and conditions of the securities; • +€744 million from the new issuance of Additional Tier 1 Notes recorded net of transaction cost and placement fees in item “Equity Instruments”; • -€350 million from the allocation to the reserves of the coupon paid to subscribers of Additional Tier 1 notes, net of related tax effects and transaction costs on redeemed issues; • -€30 million from the allocation to the reserves of the cash-out connected to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes”; • +€67 million from the adjustment to the reserve dedicated to Equity Settled Share Based Payments; • -€50 million for allocation to equity of realised net gains and losses from disposal of financial assets and liabilities at fair value through other comprehensive income; • -€23 million for the reversal to equity of the actuarial gains and losses realised related to the capitalization offer relating to the Group Pension Plan; • -€16 million for the substitute tax from the application of the tax realignment of the properties used in business under IAS16 with impact on equity. • +€7 million for variation of the negative reserve that recognise the effects deriving from the non-sustainability of the tax benefits connected to the shareholders' equity items; • -€179 million for the purchase of No.17,416,128 shares recognised in the item “Treasury shares” in execution of the “First Buy-Back Programme 2021” authorised by the Shareholders’ meeting of 15 April 2021 and completed on 23 June 2021 and then cancelled on 4 October 2021; • -€199 million for the purchase, till 31 December 2021, of No.15,048,642 shares recognised in the item “Treasury shares” in execution of the “Second Buy-Back Programme 2021” authorised by the Shareholders’ meeting held on 15 April 2021 and initiated on 13 December 2021; • +€10,366 million from the net result from the year, adjusted of dividend distributed by the merged company UniCredit Bank Ireland PLC (-€42 million) included in the adjusted 2020 net result; • +€348 million to the net effect deriving from revaluation reserves, of which: +€14 million from financial assets at fair value through other comprehensive income; +€57 million from financial liabilities designated at fair value through profit or loss, due to changes in their creditworthiness; +€89 million from cash flow hedges; +€180 million from revaluation of real estate properties following the tax realignment of the properties used in business under IAS16 with impact on equity and +€8 million from defined benefit plans. Note the following significant changes occurred in 2021 which, though reflected among the various components of shareholders' equity, did not change the overall amount thereof: • following the resolutions of the Shareholders' Meeting of 15 April 2021 occurred: (i) coverage the entire loss from the 2020 financial year through the use of the Share Premium Reserve (€2,732 million); ii) increase of the Legal reserve (€55 million) withdrawn from Share Premium Reserve; iii) coverage of the negative reserves totaling €449 million, partly buy use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out related to the usufruct contract connected to the “Cashes” financial instruments (€127 million); Report on operations Results of the year 582 2021 Annual Report and Accounts · UniCredit Shareholders’ equity Shareholders' equity (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Share capital 21,133 21,060 + 73 + 0.3% Share premium 5,446 9,386 - 3,940 - 42.0% Equity instruments 6,595 6,841 - 247 - 3.6% Reserves 15,131 14,840 + 291 + 2.0% Revaluation reserves 793 445 + 348 + 78.2% Treasury shares (199) (2) - 197 n.m. Total capital and reserves 48,899 52,570 - 3,671 - 7.0% Net profit (loss) 10,366 (2,690) + 13,056 n.m. Total shareholders' equity 59,265 49,880 + 9,385 + 18.8% Shareholders' equity as of 31 December 2021 amounted to €59,265 million, an increase of €9,385 million compared to 31 December 2020, attributable to: • -€268 million for distribution of dividends from profit reserves as approved by Shareholders' Meeting of 15 April 2021; • -€990 million from the early redemption of the Additional Tier 1 (AT1) instruments issued in 2014, net of the related placement costs, exercising the redemption option in accordance with the relevant terms and conditions of the securities; • +€744 million from the new issuance of Additional Tier 1 Notes recorded net of transaction cost and placement fees in item “Equity Instruments”; • -€350 million from the allocation to the reserves of the coupon paid to subscribers of Additional Tier 1 notes, net of related tax effects and transaction costs on redeemed issues; • -€30 million from the allocation to the reserves of the cash-out connected to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes”; • +€67 million from the adjustment to the reserve dedicated to Equity Settled Share Based Payments; • -€50 million for allocation to equity of realised net gains and losses from disposal of financial assets and liabilities at fair value through other comprehensive income; • -€23 million for the reversal to equity of the actuarial gains and losses realised related to the capitalization offer relating to the Group Pension Plan; • -€16 million for the substitute tax from the application of the tax realignment of the properties used in business under IAS16 with impact on equity. • +€7 million for variation of the negative reserve that recognise the effects deriving from the non-sustainability of the tax benefits connected to the shareholders' equity items; • -€179 million for the purchase of No.17,416,128 shares recognised in the item “Treasury shares” in execution of the “First Buy-Back Programme 2021” authorised by the Shareholders’ meeting of 15 April 2021 and completed on 23 June 2021 and then cancelled on 4 October 2021; • -€199 million for the purchase, till 31 December 2021, of No.15,048,642 shares recognised in the item “Treasury shares” in execution of the “Second Buy-Back Programme 2021” authorised by the Shareholders’ meeting held on 15 April 2021 and initiated on 13 December 2021; • +€10,366 million from the net result from the year, adjusted of dividend distributed by the merged company UniCredit Bank Ireland PLC (-€42 million) included in the adjusted 2020 net result; • +€348 million to the net effect deriving from revaluation reserves, of which: +€14 million from financial assets at fair value through other comprehensive income; +€57 million from financial liabilities designated at fair value through profit or loss, due to changes in their creditworthiness; +€89 million from cash flow hedges; +€180 million from revaluation of real estate properties following the tax realignment of the properties used in business under IAS16 with impact on equity and +€8 million from defined benefit plans. Note the following significant changes occurred in 2021 which, though reflected among the various components of shareholders' equity, did not change the overall amount thereof: • following the resolutions of the Shareholders' Meeting of 15 April 2021 occurred: (i) coverage the entire loss from the 2020 financial year through the use of the Share Premium Reserve (€2,732 million); ii) increase of the Legal reserve (€55 million) withdrawn from Share Premium Reserve; iii) coverage of the negative reserves totaling €449 million, partly buy use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out related to the usufruct contract connected to the “Cashes” financial instruments (€127 million); Report on operations Results of the year 582 2021 Annual Report and Accounts · UniCredit Shareholders’ equity Shareholders' equity (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Share capital 21,133 21,060 + 73 + 0.3% Share premium 5,446 9,386 - 3,940 - 42.0% Equity instruments 6,595 6,841 - 247 - 3.6% Reserves 15,131 14,840 + 291 + 2.0% Revaluation reserves 793 445 + 348 + 78.2% Treasury shares (199) (2) - 197 n.m. Total capital and reserves 48,899 52,570 - 3,671 - 7.0% Net profit (loss) 10,366 (2,690) + 13,056 n.m. Total shareholders' equity 59,265 49,880 + 9,385 + 18.8% Shareholders' equity as of 31 December 2021 amounted to €59,265 million, an increase of €9,385 million compared to 31 December 2020, attributable to: • -€268 million for distribution of dividends from profit reserves as approved by Shareholders' Meeting of 15 April 2021; • -€990 million from the early redemption of the Additional Tier 1 (AT1) instruments issued in 2014, net of the related placement costs, exercising the redemption option in accordance with the relevant terms and conditions of the securities; • +€744 million from the new issuance of Additional Tier 1 Notes recorded net of transaction cost and placement fees in item “Equity Instruments”; • -€350 million from the allocation to the reserves of the coupon paid to subscribers of Additional Tier 1 notes, net of related tax effects and transaction costs on redeemed issues; • -€30 million from the allocation to the reserves of the cash-out connected to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes”; • +€67 million from the adjustment to the reserve dedicated to Equity Settled Share Based Payments; • -€50 million for allocation to equity of realised net gains and losses from disposal of financial assets and liabilities at fair value through other comprehensive income; • -€23 million for the reversal to equity of the actuarial gains and losses realised related to the capitalization offer relating to the Group Pension Plan; • -€16 million for the substitute tax from the application of the tax realignment of the properties used in business under IAS16 with impact on equity. • +€7 million for variation of the negative reserve that recognise the effects deriving from the non-sustainability of the tax benefits connected to the shareholders' equity items; • -€179 million for the purchase of No.17,416,128 shares recognised in the item “Treasury shares” in execution of the “First Buy-Back Programme 2021” authorised by the Shareholders’ meeting of 15 April 2021 and completed on 23 June 2021 and then cancelled on 4 October 2021; • -€199 million for the purchase, till 31 December 2021, of No.15,048,642 shares recognised in the item “Treasury shares” in execution of the “Second Buy-Back Programme 2021” authorised by the Shareholders’ meeting held on 15 April 2021 and initiated on 13 December 2021; • +€10,366 million from the net result from the year, adjusted of dividend distributed by the merged company UniCredit Bank Ireland PLC (-€42 million) included in the adjusted 2020 net result; • +€348 million to the net effect deriving from revaluation reserves, of which: +€14 million from financial assets at fair value through other comprehensive income; +€57 million from financial liabilities designated at fair value through profit or loss, due to changes in their creditworthiness; +€89 million from cash flow hedges; +€180 million from revaluation of real estate properties following the tax realignment of the properties used in business under IAS16 with impact on equity and +€8 million from defined benefit plans. Note the following significant changes occurred in 2021 which, though reflected among the various components of shareholders' equity, did not change the overall amount thereof: • following the resolutions of the Shareholders' Meeting of 15 April 2021 occurred: (i) coverage the entire loss from the 2020 financial year through the use of the Share Premium Reserve (€2,732 million); ii) increase of the Legal reserve (€55 million) withdrawn from Share Premium Reserve; iii) coverage of the negative reserves totaling €449 million, partly buy use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out related to the usufruct contract connected to the “Cashes” financial instruments (€127 million); Report on operations Results of the year 582 2021 Annual Report and Accounts · UniCredit Shareholders’ equity Shareholders' equity (€ million) AMOUNTS AS AT CHANGE 12.31.2021 12.31.2020 AMOUNT % Share capital 21,133 21,060 + 73 + 0.3% Share premium 5,446 9,386 - 3,940 - 42.0% Equity instruments 6,595 6,841 - 247 - 3.6% Reserves 15,131 14,840 + 291 + 2.0% Revaluation reserves 793 445 + 348 + 78.2% Treasury shares (199) (2) - 197 n.m. Total capital and reserves 48,899 52,570 - 3,671 - 7.0% Net profit (loss) 10,366 (2,690) + 13,056 n.m. Total shareholders' equity 59,265 49,880 + 9,385 + 18.8% Shareholders' equity as of 31 December 2021 amounted to €59,265 million, an increase of €9,385 million compared to 31 December 2020, attributable to: • -€268 million for distribution of dividends from profit reserves as approved by Shareholders' Meeting of 15 April 2021; • -€990 million from the early redemption of the Additional Tier 1 (AT1) instruments issued in 2014, net of the related placement costs, exercising the redemption option in accordance with the relevant terms and conditions of the securities; • +€744 million from the new issuance of Additional Tier 1 Notes recorded net of transaction cost and placement fees in item “Equity Instruments”; • -€350 million from the allocation to the reserves of the coupon paid to subscribers of Additional Tier 1 notes, net of related tax effects and transaction costs on redeemed issues; • -€30 million from the allocation to the reserves of the cash-out connected to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes”; • +€67 million from the adjustment to the reserve dedicated to Equity Settled Share Based Payments; • -€50 million for allocation to equity of realised net gains and losses from disposal of financial assets and liabilities at fair value through other comprehensive income; • -€23 million for the reversal to equity of the actuarial gains and losses realised related to the capitalization offer relating to the Group Pension Plan; • -€16 million for the substitute tax from the application of the tax realignment of the properties used in business under IAS16 with impact on equity. • +€7 million for variation of the negative reserve that recognise the effects deriving from the non-sustainability of the tax benefits connected to the shareholders' equity items; • -€179 million for the purchase of No.17,416,128 shares recognised in the item “Treasury shares” in execution of the “First Buy-Back Programme 2021” authorised by the Shareholders’ meeting of 15 April 2021 and completed on 23 June 2021 and then cancelled on 4 October 2021; • -€199 million for the purchase, till 31 December 2021, of No.15,048,642 shares recognised in the item “Treasury shares” in execution of the “Second Buy-Back Programme 2021” authorised by the Shareholders’ meeting held on 15 April 2021 and initiated on 13 December 2021; • +€10,366 million from the net result from the year, adjusted of dividend distributed by the merged company UniCredit Bank Ireland PLC (-€42 million) included in the adjusted 2020 net result; • +€348 million to the net effect deriving from revaluation reserves, of which: +€14 million from financial assets at fair value through other comprehensive income; +€57 million from financial liabilities designated at fair value through profit or loss, due to changes in their creditworthiness; +€89 million from cash flow hedges; +€180 million from revaluation of real estate properties following the tax realignment of the properties used in business under IAS16 with impact on equity and +€8 million from defined benefit plans. Note the following significant changes occurred in 2021 which, though reflected among the various components of shareholders' equity, did not change the overall amount thereof: • following the resolutions of the Shareholders' Meeting of 15 April 2021 occurred: (i) coverage the entire loss from the 2020 financial year through the use of the Share Premium Reserve (€2,732 million); ii) increase of the Legal reserve (€55 million) withdrawn from Share Premium Reserve; iii) coverage of the negative reserves totaling €449 million, partly buy use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out related to the usufruct contract connected to the “Cashes” financial instruments (€127 million); Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 583 • in execution of the resolution of the Shareholders' Meeting of 15 April 2021 authorizing the purchase of treasury shares aimed at the remuneration of the shareholders: occurred: (i) the allocation of a portion of the Share Premium Reserve (€179 million) to set up the specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” concluded on 23 June 2021 with the purchase of No.17,416,128 shares for a total consideration of €179 million recorded under the item Treasury shares; (ii) the unavailable reserve was consequently used to offset the negative item Treasury shares (€181 million) following the cancellation of the shares registered on 4 October 2021, including treasury shares already held in portfolio before the start of the buy-back; (iii) for the execution of the “Second Buy-Back Programme” launched on 13 December 2021, an additional portion of the Share Premium Reserve (€652 million) was allocated to the specific unavailable reserve for the maximum amount of authorised purchases; • the increase of €73 million in share capital following the resolution of the Board of Directors of 10 February 2021 executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Shareholders The share capital, subscribed and paid up, amounts to €21,133,469,082.48 divided into No.2,226,129,520 ordinary shares with no face value. As at 31 December 2021, according to the analyses performed using data from the content of the Register of Shareholders: • shareholders were approximately 270,000; • resident shareholders held around 23.59% of the capital and foreign shareholders 76.41%; • 86.06% of the share capital is held by legal entities, the remaining 13.94% by natural persons. At the same date, on the basis of the communications received pursuant to Art.120 of the Consolidated Law on Finance (TUF), the relevant direct or indirect investments in the share capital are listed below. The shareholders listed below hold more than 3% and they are not exempted from the reporting provided for by Art.119-bis of the CONSOB Regulation 11971/99. Principal UniCredit shareholders SHAREHOLDER ORDINARY SHARES % OWNED Capital Research and Management Company 139,949,297 6.287%(*) BlackRock Group 114,907,383 5.162%(**) Allianz SE Group 69,622,203 3.128% Notes: (*) Discretional asset management. (**) Non-discretional asset management. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 583 • in execution of the resolution of the Shareholders' Meeting of 15 April 2021 authorizing the purchase of treasury shares aimed at the remuneration of the shareholders: occurred: (i) the allocation of a portion of the Share Premium Reserve (€179 million) to set up the specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” concluded on 23 June 2021 with the purchase of No.17,416,128 shares for a total consideration of €179 million recorded under the item Treasury shares; (ii) the unavailable reserve was consequently used to offset the negative item Treasury shares (€181 million) following the cancellation of the shares registered on 4 October 2021, including treasury shares already held in portfolio before the start of the buy-back; (iii) for the execution of the “Second Buy-Back Programme” launched on 13 December 2021, an additional portion of the Share Premium Reserve (€652 million) was allocated to the specific unavailable reserve for the maximum amount of authorised purchases; • the increase of €73 million in share capital following the resolution of the Board of Directors of 10 February 2021 executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Shareholders The share capital, subscribed and paid up, amounts to €21,133,469,082.48 divided into No.2,226,129,520 ordinary shares with no face value. As at 31 December 2021, according to the analyses performed using data from the content of the Register of Shareholders: • shareholders were approximately 270,000; • resident shareholders held around 23.59% of the capital and foreign shareholders 76.41%; • 86.06% of the share capital is held by legal entities, the remaining 13.94% by natural persons. At the same date, on the basis of the communications received pursuant to Art.120 of the Consolidated Law on Finance (TUF), the relevant direct or indirect investments in the share capital are listed below. The shareholders listed below hold more than 3% and they are not exempted from the reporting provided for by Art.119-bis of the CONSOB Regulation 11971/99. Principal UniCredit shareholders SHAREHOLDER ORDINARY SHARES % OWNED Capital Research and Management Company 139,949,297 6.287%(*) BlackRock Group 114,907,383 5.162%(**) Allianz SE Group 69,622,203 3.128% Notes: (*) Discretional asset management. (**) Non-discretional asset management. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 583 • in execution of the resolution of the Shareholders' Meeting of 15 April 2021 authorizing the purchase of treasury shares aimed at the remuneration of the shareholders: occurred: (i) the allocation of a portion of the Share Premium Reserve (€179 million) to set up the specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” concluded on 23 June 2021 with the purchase of No.17,416,128 shares for a total consideration of €179 million recorded under the item Treasury shares; (ii) the unavailable reserve was consequently used to offset the negative item Treasury shares (€181 million) following the cancellation of the shares registered on 4 October 2021, including treasury shares already held in portfolio before the start of the buy-back; (iii) for the execution of the “Second Buy-Back Programme” launched on 13 December 2021, an additional portion of the Share Premium Reserve (€652 million) was allocated to the specific unavailable reserve for the maximum amount of authorised purchases; • the increase of €73 million in share capital following the resolution of the Board of Directors of 10 February 2021 executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Shareholders The share capital, subscribed and paid up, amounts to €21,133,469,082.48 divided into No.2,226,129,520 ordinary shares with no face value. As at 31 December 2021, according to the analyses performed using data from the content of the Register of Shareholders: • shareholders were approximately 270,000; • resident shareholders held around 23.59% of the capital and foreign shareholders 76.41%; • 86.06% of the share capital is held by legal entities, the remaining 13.94% by natural persons. At the same date, on the basis of the communications received pursuant to Art.120 of the Consolidated Law on Finance (TUF), the relevant direct or indirect investments in the share capital are listed below. The shareholders listed below hold more than 3% and they are not exempted from the reporting provided for by Art.119-bis of the CONSOB Regulation 11971/99. Principal UniCredit shareholders SHAREHOLDER ORDINARY SHARES % OWNED Capital Research and Management Company 139,949,297 6.287%(*) BlackRock Group 114,907,383 5.162%(**) Allianz SE Group 69,622,203 3.128% Notes: (*) Discretional asset management. (**) Non-discretional asset management. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 583 • in execution of the resolution of the Shareholders' Meeting of 15 April 2021 authorizing the purchase of treasury shares aimed at the remuneration of the shareholders: occurred: (i) the allocation of a portion of the Share Premium Reserve (€179 million) to set up the specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” concluded on 23 June 2021 with the purchase of No.17,416,128 shares for a total consideration of €179 million recorded under the item Treasury shares; (ii) the unavailable reserve was consequently used to offset the negative item Treasury shares (€181 million) following the cancellation of the shares registered on 4 October 2021, including treasury shares already held in portfolio before the start of the buy-back; (iii) for the execution of the “Second Buy-Back Programme” launched on 13 December 2021, an additional portion of the Share Premium Reserve (€652 million) was allocated to the specific unavailable reserve for the maximum amount of authorised purchases; • the increase of €73 million in share capital following the resolution of the Board of Directors of 10 February 2021 executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Shareholders The share capital, subscribed and paid up, amounts to €21,133,469,082.48 divided into No.2,226,129,520 ordinary shares with no face value. As at 31 December 2021, according to the analyses performed using data from the content of the Register of Shareholders: • shareholders were approximately 270,000; • resident shareholders held around 23.59% of the capital and foreign shareholders 76.41%; • 86.06% of the share capital is held by legal entities, the remaining 13.94% by natural persons. At the same date, on the basis of the communications received pursuant to Art.120 of the Consolidated Law on Finance (TUF), the relevant direct or indirect investments in the share capital are listed below. The shareholders listed below hold more than 3% and they are not exempted from the reporting provided for by Art.119-bis of the CONSOB Regulation 11971/99. Principal UniCredit shareholders SHAREHOLDER ORDINARY SHARES % OWNED Capital Research and Management Company 139,949,297 6.287%(*) BlackRock Group 114,907,383 5.162%(**) Allianz SE Group 69,622,203 3.128% Notes: (*) Discretional asset management. (**) Non-discretional asset management. Report on operations Results of the year UniCredit · 2021 Annual Report and Accounts 583 • in execution of the resolution of the Shareholders' Meeting of 15 April 2021 authorizing the purchase of treasury shares aimed at the remuneration of the shareholders: occurred: (i) the allocation of a portion of the Share Premium Reserve (€179 million) to set up the specific unavailable reserve for the execution of the “First Buy-Back Programme 2021” concluded on 23 June 2021 with the purchase of No.17,416,128 shares for a total consideration of €179 million recorded under the item Treasury shares; (ii) the unavailable reserve was consequently used to offset the negative item Treasury shares (€181 million) following the cancellation of the shares registered on 4 October 2021, including treasury shares already held in portfolio before the start of the buy-back; (iii) for the execution of the “Second Buy-Back Programme” launched on 13 December 2021, an additional portion of the Share Premium Reserve (€652 million) was allocated to the specific unavailable reserve for the maximum amount of authorised purchases; • the increase of €73 million in share capital following the resolution of the Board of Directors of 10 February 2021 executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium-term incentive plan for Group personnel. Shareholders The share capital, subscribed and paid up, amounts to €21,133,469,082.48 divided into No.2,226,129,520 ordinary shares with no face value. As at 31 December 2021, according to the analyses performed using data from the content of the Register of Shareholders: • shareholders were approximately 270,000; • resident shareholders held around 23.59% of the capital and foreign shareholders 76.41%; • 86.06% of the share capital is held by legal entities, the remaining 13.94% by natural persons. At the same date, on the basis of the communications received pursuant to Art.120 of the Consolidated Law on Finance (TUF), the relevant direct or indirect investments in the share capital are listed below. The shareholders listed below hold more than 3% and they are not exempted from the reporting provided for by Art.119-bis of the CONSOB Regulation 11971/99. Principal UniCredit shareholders SHAREHOLDER ORDINARY SHARES % OWNED Capital Research and Management Company 139,949,297 6.287%(*) BlackRock Group 114,907,383 5.162%(**) Allianz SE Group 69,622,203 3.128% Notes: (*) Discretional asset management. (**) Non-discretional asset management. Report on operations Results of the year 584 2021 Annual Report and Accounts · UniCredit Treasury shares The Shareholders’ Meeting of the Company held on 15 April 2021 authorized and defined the measures for the execution of a share buy-back programme of UniCredit ordinary shares to be carried out in two distinct tranches, aimed at increasing the remuneration in favor of shareholders. The Shareholders' Meeting at the same time resolved in an extraordinary session the subsequent cancellation of treasury shares with no reduction of share capital but exclusively through a reduction in the number of existing shares and with a consequent increase in their accounting par value of the shares issued by the Company. The first tranche of buy-back (the “First Buy-Back Programme 2021”) authorized by the ECB on 12 April 2021, was launched on 11 May 2021 and completed on 23 June 2021 with the purchase of No.17,416,128 shares for a total consideration of €179 million within the limits of the authorized amount. The shares purchased together with the treasury shares already held in the portfolio before the start of the Buy-Back program (No.4,760) were cancelled without reducing the share capital on 4 October 2021, date of filing at the Company Register of the resolution of cancellation. On 9 December 2021 the "Second Buy-Back Program 2021" was launched as per the authorisation granted by the abovementioned Shareholders' Meeting on 15 April 2021 for a maximum amount of €652 million and for a number of ordinary shares not exceeding 110 million. The transaction was authorized by ECB on 15 October 2021 and pursuant to the mandate granted to the Broker the purchases started on 13 December 2021 and, it is envisaged that the purchases will be completed indicatively in the first quarter of 2022. Also, the ordinary UniCredit shares that will be acquired as part of the Second Buy-Back Programme 2021 will be subject to cancellation in execution of the resolution of the abovementioned Shareholders’ Meeting. As at 31 December 2021 following the purchase transactions carried out during the period the treasury shares in the portfolio amounted to No.15,048,642 for a total book value of € 199 million. Report on operations Results of the year 584 2021 Annual Report and Accounts · UniCredit Treasury shares The Shareholders’ Meeting of the Company held on 15 April 2021 authorized and defined the measures for the execution of a share buy-back programme of UniCredit ordinary shares to be carried out in two distinct tranches, aimed at increasing the remuneration in favor of shareholders. The Shareholders' Meeting at the same time resolved in an extraordinary session the subsequent cancellation of treasury shares with no reduction of share capital but exclusively through a reduction in the number of existing shares and with a consequent increase in their accounting par value of the shares issued by the Company. The first tranche of buy-back (the “First Buy-Back Programme 2021”) authorized by the ECB on 12 April 2021, was launched on 11 May 2021 and completed on 23 June 2021 with the purchase of No.17,416,128 shares for a total consideration of €179 million within the limits of the authorized amount. The shares purchased together with the treasury shares already held in the portfolio before the start of the Buy-Back program (No.4,760) were cancelled without reducing the share capital on 4 October 2021, date of filing at the Company Register of the resolution of cancellation. On 9 December 2021 the "Second Buy-Back Program 2021" was launched as per the authorisation granted by the abovementioned Shareholders' Meeting on 15 April 2021 for a maximum amount of €652 million and for a number of ordinary shares not exceeding 110 million. The transaction was authorized by ECB on 15 October 2021 and pursuant to the mandate granted to the Broker the purchases started on 13 December 2021 and, it is envisaged that the purchases will be completed indicatively in the first quarter of 2022. Also, the ordinary UniCredit shares that will be acquired as part of the Second Buy-Back Programme 2021 will be subject to cancellation in execution of the resolution of the abovementioned Shareholders’ Meeting. As at 31 December 2021 following the purchase transactions carried out during the period the treasury shares in the portfolio amounted to No.15,048,642 for a total book value of € 199 million. Report on operations Results of the year 584 2021 Annual Report and Accounts · UniCredit Treasury shares The Shareholders’ Meeting of the Company held on 15 April 2021 authorized and defined the measures for the execution of a share buy-back programme of UniCredit ordinary shares to be carried out in two distinct tranches, aimed at increasing the remuneration in favor of shareholders. The Shareholders' Meeting at the same time resolved in an extraordinary session the subsequent cancellation of treasury shares with no reduction of share capital but exclusively through a reduction in the number of existing shares and with a consequent increase in their accounting par value of the shares issued by the Company. The first tranche of buy-back (the “First Buy-Back Programme 2021”) authorized by the ECB on 12 April 2021, was launched on 11 May 2021 and completed on 23 June 2021 with the purchase of No.17,416,128 shares for a total consideration of €179 million within the limits of the authorized amount. The shares purchased together with the treasury shares already held in the portfolio before the start of the Buy-Back program (No.4,760) were cancelled without reducing the share capital on 4 October 2021, date of filing at the Company Register of the resolution of cancellation. On 9 December 2021 the "Second Buy-Back Program 2021" was launched as per the authorisation granted by the abovementioned Shareholders' Meeting on 15 April 2021 for a maximum amount of €652 million and for a number of ordinary shares not exceeding 110 million. The transaction was authorized by ECB on 15 October 2021 and pursuant to the mandate granted to the Broker the purchases started on 13 December 2021 and, it is envisaged that the purchases will be completed indicatively in the first quarter of 2022. Also, the ordinary UniCredit shares that will be acquired as part of the Second Buy-Back Programme 2021 will be subject to cancellation in execution of the resolution of the abovementioned Shareholders’ Meeting. As at 31 December 2021 following the purchase transactions carried out during the period the treasury shares in the portfolio amounted to No.15,048,642 for a total book value of € 199 million. Report on operations Results of the year 584 2021 Annual Report and Accounts · UniCredit Treasury shares The Shareholders’ Meeting of the Company held on 15 April 2021 authorized and defined the measures for the execution of a share buy-back programme of UniCredit ordinary shares to be carried out in two distinct tranches, aimed at increasing the remuneration in favor of shareholders. The Shareholders' Meeting at the same time resolved in an extraordinary session the subsequent cancellation of treasury shares with no reduction of share capital but exclusively through a reduction in the number of existing shares and with a consequent increase in their accounting par value of the shares issued by the Company. The first tranche of buy-back (the “First Buy-Back Programme 2021”) authorized by the ECB on 12 April 2021, was launched on 11 May 2021 and completed on 23 June 2021 with the purchase of No.17,416,128 shares for a total consideration of €179 million within the limits of the authorized amount. The shares purchased together with the treasury shares already held in the portfolio before the start of the Buy-Back program (No.4,760) were cancelled without reducing the share capital on 4 October 2021, date of filing at the Company Register of the resolution of cancellation. On 9 December 2021 the "Second Buy-Back Program 2021" was launched as per the authorisation granted by the abovementioned Shareholders' Meeting on 15 April 2021 for a maximum amount of €652 million and for a number of ordinary shares not exceeding 110 million. The transaction was authorized by ECB on 15 October 2021 and pursuant to the mandate granted to the Broker the purchases started on 13 December 2021 and, it is envisaged that the purchases will be completed indicatively in the first quarter of 2022. Also, the ordinary UniCredit shares that will be acquired as part of the Second Buy-Back Programme 2021 will be subject to cancellation in execution of the resolution of the abovementioned Shareholders’ Meeting. As at 31 December 2021 following the purchase transactions carried out during the period the treasury shares in the portfolio amounted to No.15,048,642 for a total book value of € 199 million. Report on operations Results of the year 584 2021 Annual Report and Accounts · UniCredit Treasury shares The Shareholders’ Meeting of the Company held on 15 April 2021 authorized and defined the measures for the execution of a share buy-back programme of UniCredit ordinary shares to be carried out in two distinct tranches, aimed at increasing the remuneration in favor of shareholders. The Shareholders' Meeting at the same time resolved in an extraordinary session the subsequent cancellation of treasury shares with no reduction of share capital but exclusively through a reduction in the number of existing shares and with a consequent increase in their accounting par value of the shares issued by the Company. The first tranche of buy-back (the “First Buy-Back Programme 2021”) authorized by the ECB on 12 April 2021, was launched on 11 May 2021 and completed on 23 June 2021 with the purchase of No.17,416,128 shares for a total consideration of €179 million within the limits of the authorized amount. The shares purchased together with the treasury shares already held in the portfolio before the start of the Buy-Back program (No.4,760) were cancelled without reducing the share capital on 4 October 2021, date of filing at the Company Register of the resolution of cancellation. On 9 December 2021 the "Second Buy-Back Program 2021" was launched as per the authorisation granted by the abovementioned Shareholders' Meeting on 15 April 2021 for a maximum amount of €652 million and for a number of ordinary shares not exceeding 110 million. The transaction was authorized by ECB on 15 October 2021 and pursuant to the mandate granted to the Broker the purchases started on 13 December 2021 and, it is envisaged that the purchases will be completed indicatively in the first quarter of 2022. Also, the ordinary UniCredit shares that will be acquired as part of the Second Buy-Back Programme 2021 will be subject to cancellation in execution of the resolution of the abovementioned Shareholders’ Meeting. As at 31 December 2021 following the purchase transactions carried out during the period the treasury shares in the portfolio amounted to No.15,048,642 for a total book value of € 199 million. Report on operations Company activities UniCredit · 2021 Annual Report and Accounts 585 Company activities The commercial network Operating structure in Italy During 2021, UniCredit domestic Retail Commercial Banking Network was subject to the closure of 170 branches. The structure of the domestic network at 31 December 2021 consisted of a total of 2,378 branches, of which 2,059 belonging to Retail Commercial Banking Network. On that date, following the initiatives described above and a small-scale branch re-organization and optimization resulting from the ongoing streamlining process of organizational units, the Italian distribution network was structured as follows. Italian branch network REGION NUMBER OF BRANCHES AT 12.31.2021 % BREAKDOWN - Piedmont 242 10.2% - Valle d'Aosta 12 0.5% - Lombardy 283 11.9% - Liguria 45 1.9% - Trentino Alto Adige 37 1.6% - Veneto 288 12.1% - Friuli Venezia Giulia 75 3.2% - Emilia Romagna 316 13.3% - Tuscany 103 4.3% - Umbria 55 2.3% - Marche 47 2.0% - Lazio 319 13.4% - Abruzzo 24 1.0% - Molise 19 0.8% - Campania 118 4.9% - Puglia 91 3.8% - Basilicata 7 0.3% - Calabria 21 0.9% - Sicily 241 10.1% - Sardinia 35 1.5% Total branches 2,378 100.0% Branches and rappresentatives abroad At 31 December 2021 UniCredit S.p.A. had seven branches abroad, plus a Permanent Establishment in Vienna and three Representative offices. UniCredit S.p.A. international network as at 12.31.2021 BRANCHES PERMANENT ESTABLISHMENT REPRESENTATIVE OFFICES PRC - Shanghai AUSTRIA - Wien BELGIUM - Brussels GERMANY - Munich PRC - Beijing UNITED KINGDOM - London INDIA - Mumbai UNITED STATES - New York FRANCE - Paris SPAIN - Madrid UNITED ARAB EMIRATES - Abu Dhabi Report on operations Company activities UniCredit · 2021 Annual Report and Accounts 585 Company activities The commercial network Operating structure in Italy During 2021, UniCredit domestic Retail Commercial Banking Network was subject to the closure of 170 branches. The structure of the domestic network at 31 December 2021 consisted of a total of 2,378 branches, of which 2,059 belonging to Retail Commercial Banking Network. On that date, following the initiatives described above and a small-scale branch re-organization and optimization resulting from the ongoing streamlining process of organizational units, the Italian distribution network was structured as follows. Italian branch network REGION NUMBER OF BRANCHES AT 12.31.2021 % BREAKDOWN - Piedmont 242 10.2% - Valle d'Aosta 12 0.5% - Lombardy 283 11.9% - Liguria 45 1.9% - Trentino Alto Adige 37 1.6% - Veneto 288 12.1% - Friuli Venezia Giulia 75 3.2% - Emilia Romagna 316 13.3% - Tuscany 103 4.3% - Umbria 55 2.3% - Marche 47 2.0% - Lazio 319 13.4% - Abruzzo 24 1.0% - Molise 19 0.8% - Campania 118 4.9% - Puglia 91 3.8% - Basilicata 7 0.3% - Calabria 21 0.9% - Sicily 241 10.1% - Sardinia 35 1.5% Total branches 2,378 100.0% Branches and rappresentatives abroad At 31 December 2021 UniCredit S.p.A. had seven branches abroad, plus a Permanent Establishment in Vienna and three Representative offices. UniCredit S.p.A. international network as at 12.31.2021 BRANCHES PERMANENT ESTABLISHMENT REPRESENTATIVE OFFICES PRC - Shanghai AUSTRIA - Wien BELGIUM - Brussels GERMANY - Munich PRC - Beijing UNITED KINGDOM - London INDIA - Mumbai UNITED STATES - New York FRANCE - Paris SPAIN - Madrid UNITED ARAB EMIRATES - Abu Dhabi Report on operations Company activities UniCredit · 2021 Annual Report and Accounts 585 Company activities The commercial network Operating structure in Italy During 2021, UniCredit domestic Retail Commercial Banking Network was subject to the closure of 170 branches. The structure of the domestic network at 31 December 2021 consisted of a total of 2,378 branches, of which 2,059 belonging to Retail Commercial Banking Network. On that date, following the initiatives described above and a small-scale branch re-organization and optimization resulting from the ongoing streamlining process of organizational units, the Italian distribution network was structured as follows. Italian branch network REGION NUMBER OF BRANCHES AT 12.31.2021 % BREAKDOWN - Piedmont 242 10.2% - Valle d'Aosta 12 0.5% - Lombardy 283 11.9% - Liguria 45 1.9% - Trentino Alto Adige 37 1.6% - Veneto 288 12.1% - Friuli Venezia Giulia 75 3.2% - Emilia Romagna 316 13.3% - Tuscany 103 4.3% - Umbria 55 2.3% - Marche 47 2.0% - Lazio 319 13.4% - Abruzzo 24 1.0% - Molise 19 0.8% - Campania 118 4.9% - Puglia 91 3.8% - Basilicata 7 0.3% - Calabria 21 0.9% - Sicily 241 10.1% - Sardinia 35 1.5% Total branches 2,378 100.0% Branches and rappresentatives abroad At 31 December 2021 UniCredit S.p.A. had seven branches abroad, plus a Permanent Establishment in Vienna and three Representative offices. UniCredit S.p.A. international network as at 12.31.2021 BRANCHES PERMANENT ESTABLISHMENT REPRESENTATIVE OFFICES PRC - Shanghai AUSTRIA - Wien BELGIUM - Brussels GERMANY - Munich PRC - Beijing UNITED KINGDOM - London INDIA - Mumbai UNITED STATES - New York FRANCE - Paris SPAIN - Madrid UNITED ARAB EMIRATES - Abu Dhabi Report on operations Company activities UniCredit · 2021 Annual Report and Accounts 585 Company activities The commercial network Operating structure in Italy During 2021, UniCredit domestic Retail Commercial Banking Network was subject to the closure of 170 branches. The structure of the domestic network at 31 December 2021 consisted of a total of 2,378 branches, of which 2,059 belonging to Retail Commercial Banking Network. On that date, following the initiatives described above and a small-scale branch re-organization and optimization resulting from the ongoing streamlining process of organizational units, the Italian distribution network was structured as follows. Italian branch network REGION NUMBER OF BRANCHES AT 12.31.2021 % BREAKDOWN - Piedmont 242 10.2% - Valle d'Aosta 12 0.5% - Lombardy 283 11.9% - Liguria 45 1.9% - Trentino Alto Adige 37 1.6% - Veneto 288 12.1% - Friuli Venezia Giulia 75 3.2% - Emilia Romagna 316 13.3% - Tuscany 103 4.3% - Umbria 55 2.3% - Marche 47 2.0% - Lazio 319 13.4% - Abruzzo 24 1.0% - Molise 19 0.8% - Campania 118 4.9% - Puglia 91 3.8% - Basilicata 7 0.3% - Calabria 21 0.9% - Sicily 241 10.1% - Sardinia 35 1.5% Total branches 2,378 100.0% Branches and rappresentatives abroad At 31 December 2021 UniCredit S.p.A. had seven branches abroad, plus a Permanent Establishment in Vienna and three Representative offices. UniCredit S.p.A. international network as at 12.31.2021 BRANCHES PERMANENT ESTABLISHMENT REPRESENTATIVE OFFICES PRC - Shanghai AUSTRIA - Wien BELGIUM - Brussels GERMANY - Munich PRC - Beijing UNITED KINGDOM - London INDIA - Mumbai UNITED STATES - New York FRANCE - Paris SPAIN - Madrid UNITED ARAB EMIRATES - Abu Dhabi Report on operations Company activities UniCredit · 2021 Annual Report and Accounts 585 Company activities The commercial network Operating structure in Italy During 2021, UniCredit domestic Retail Commercial Banking Network was subject to the closure of 170 branches. The structure of the domestic network at 31 December 2021 consisted of a total of 2,378 branches, of which 2,059 belonging to Retail Commercial Banking Network. On that date, following the initiatives described above and a small-scale branch re-organization and optimization resulting from the ongoing streamlining process of organizational units, the Italian distribution network was structured as follows. Italian branch network REGION NUMBER OF BRANCHES AT 12.31.2021 % BREAKDOWN - Piedmont 242 10.2% - Valle d'Aosta 12 0.5% - Lombardy 283 11.9% - Liguria 45 1.9% - Trentino Alto Adige 37 1.6% - Veneto 288 12.1% - Friuli Venezia Giulia 75 3.2% - Emilia Romagna 316 13.3% - Tuscany 103 4.3% - Umbria 55 2.3% - Marche 47 2.0% - Lazio 319 13.4% - Abruzzo 24 1.0% - Molise 19 0.8% - Campania 118 4.9% - Puglia 91 3.8% - Basilicata 7 0.3% - Calabria 21 0.9% - Sicily 241 10.1% - Sardinia 35 1.5% Total branches 2,378 100.0% Branches and rappresentatives abroad At 31 December 2021 UniCredit S.p.A. had seven branches abroad, plus a Permanent Establishment in Vienna and three Representative offices. UniCredit S.p.A. international network as at 12.31.2021 BRANCHES PERMANENT ESTABLISHMENT REPRESENTATIVE OFFICES PRC - Shanghai AUSTRIA - Wien BELGIUM - Brussels GERMANY - Munich PRC - Beijing UNITED KINGDOM - London INDIA - Mumbai UNITED STATES - New York FRANCE - Paris SPAIN - Madrid UNITED ARAB EMIRATES - Abu Dhabi Report on operations Company activities 586 2021 Annual Report and Accounts · UniCredit Resources Personnel developments At 31 December 2021, UniCredit S.p.A.’s headcount is No.32,262 compared to No.33,842 at 31 December 2020. The decrease in resources is mainly due to Restructuring Plan. Category 12.31.2021 12.31.2020 CHANGE TOTAL OF WHICH: OUTSIDE ITALY TOTAL OF WHICH: OUTSIDE ITALY IN TOTAL PERCENT Senior Management 655 4 709 6 -54 - 7.6% Management - 3rd and 4th grade 6,584 31 6,866 41 -282 - 4.1% Management - 1st and 2nd grade 10,038 2 10,655 6 -617 - 5.8% Other Staff 14,985 - 15,612 4 -627 - 4.0% Total 32,262 37 33,842 57 -1,580 - 4.7% of which, Part-time staff 4,755 - 5,030 - -275 - 5.5% The composition of the workforce by seniority and by age bracket is shown in the following tables. With respect to educational level, 39% of UniCredit S.p.A. employees have university degrees (mostly in the areas of economics and banking, or law). Women make up 50% of personnel. Breakdown by seniority 12.31.2021 12.31.2020 CHANGE NUMBER PERCENT NUMBER PERCENT AMOUNT PERCENT Up to 10 4,377 13.6% 4,209 12.4% +168 + 4.0% From 11 to 20 years 11,481 35.6% 12,746 37.7% -1,265 - 9.9% From 21 to 30 years 9,071 28.1% 9,276 27.4% -205 - 2.2% Over 30 7,333 22.7% 7,611 22.5% -278 - 3.7% Total 32,262 100.0% 33,842 100.0% -1,580 - 4.7% Breakdown by age 12.31.2021 12.31.2020 CHANGE NUMBER PERCENT NUMBER PERCENT AMOUNT PERCENT Up to 30 1,644 5.1% 1,458 4.3% +186 + 12.8% From 31 to 40 years 3,971 12.3% 4,693 13.9% -722 - 15.4% From 41 to 50 years 11,899 36.9% 12,398 36.6% -499 - 4.0% Over 50 14,748 45.7% 15,293 45.2% -545 - 3.6% Total 32,262 100.0% 33,842 100.0% -1,580 - 4.7% With regard to training, managerial growth, union relations, environment and occupational safety, refer to the Integrated Report. This document, published on the institutional website, describes how UniCredit creates sustainable value that has a positive impact on society by supporting the advancement of local communities, the competitiveness of enterprises and the well-being of individuals. The Integrated Report of UniCredit constitutes a Non-Financial Statement pursuant to articles 3 and 4 of Legislative Decree 254/2016. Report on operations Company activities 586 2021 Annual Report and Accounts · UniCredit Resources Personnel developments At 31 December 2021, UniCredit S.p.A.’s headcount is No.32,262 compared to No.33,842 at 31 December 2020. The decrease in resources is mainly due to Restructuring Plan. Category 12.31.2021 12.31.2020 CHANGE TOTAL OF WHICH: OUTSIDE ITALY TOTAL OF WHICH: OUTSIDE ITALY IN TOTAL PERCENT Senior Management 655 4 709 6 -54 - 7.6% Management - 3rd and 4th grade 6,584 31 6,866 41 -282 - 4.1% Management - 1st and 2nd grade 10,038 2 10,655 6 -617 - 5.8% Other Staff 14,985 - 15,612 4 -627 - 4.0% Total 32,262 37 33,842 57 -1,580 - 4.7% of which, Part-time staff 4,755 - 5,030 - -275 - 5.5% The composition of the workforce by seniority and by age bracket is shown in the following tables. With respect to educational level, 39% of UniCredit S.p.A. employees have university degrees (mostly in the areas of economics and banking, or law). Women make up 50% of personnel. Breakdown by seniority 12.31.2021 12.31.2020 CHANGE NUMBER PERCENT NUMBER PERCENT AMOUNT PERCENT Up to 10 4,377 13.6% 4,209 12.4% +168 + 4.0% From 11 to 20 years 11,481 35.6% 12,746 37.7% -1,265 - 9.9% From 21 to 30 years 9,071 28.1% 9,276 27.4% -205 - 2.2% Over 30 7,333 22.7% 7,611 22.5% -278 - 3.7% Total 32,262 100.0% 33,842 100.0% -1,580 - 4.7% Breakdown by age 12.31.2021 12.31.2020 CHANGE NUMBER PERCENT NUMBER PERCENT AMOUNT PERCENT Up to 30 1,644 5.1% 1,458 4.3% +186 + 12.8% From 31 to 40 years 3,971 12.3% 4,693 13.9% -722 - 15.4% From 41 to 50 years 11,899 36.9% 12,398 36.6% -499 - 4.0% Over 50 14,748 45.7% 15,293 45.2% -545 - 3.6% Total 32,262 100.0% 33,842 100.0% -1,580 - 4.7% With regard to training, managerial growth, union relations, environment and occupational safety, refer to the Integrated Report. This document, published on the institutional website, describes how UniCredit creates sustainable value that has a positive impact on society by supporting the advancement of local communities, the competitiveness of enterprises and the well-being of individuals. The Integrated Report of UniCredit constitutes a Non-Financial Statement pursuant to articles 3 and 4 of Legislative Decree 254/2016. Report on operations Company activities 586 2021 Annual Report and Accounts · UniCredit Resources Personnel developments At 31 December 2021, UniCredit S.p.A.’s headcount is No.32,262 compared to No.33,842 at 31 December 2020. The decrease in resources is mainly due to Restructuring Plan. Category 12.31.2021 12.31.2020 CHANGE TOTAL OF WHICH: OUTSIDE ITALY TOTAL OF WHICH: OUTSIDE ITALY IN TOTAL PERCENT Senior Management 655 4 709 6 -54 - 7.6% Management - 3rd and 4th grade 6,584 31 6,866 41 -282 - 4.1% Management - 1st and 2nd grade 10,038 2 10,655 6 -617 - 5.8% Other Staff 14,985 - 15,612 4 -627 - 4.0% Total 32,262 37 33,842 57 -1,580 - 4.7% of which, Part-time staff 4,755 - 5,030 - -275 - 5.5% The composition of the workforce by seniority and by age bracket is shown in the following tables. With respect to educational level, 39% of UniCredit S.p.A. employees have university degrees (mostly in the areas of economics and banking, or law). Women make up 50% of personnel. Breakdown by seniority 12.31.2021 12.31.2020 CHANGE NUMBER PERCENT NUMBER PERCENT AMOUNT PERCENT Up to 10 4,377 13.6% 4,209 12.4% +168 + 4.0% From 11 to 20 years 11,481 35.6% 12,746 37.7% -1,265 - 9.9% From 21 to 30 years 9,071 28.1% 9,276 27.4% -205 - 2.2% Over 30 7,333 22.7% 7,611 22.5% -278 - 3.7% Total 32,262 100.0% 33,842 100.0% -1,580 - 4.7% Breakdown by age 12.31.2021 12.31.2020 CHANGE NUMBER PERCENT NUMBER PERCENT AMOUNT PERCENT Up to 30 1,644 5.1% 1,458 4.3% +186 + 12.8% From 31 to 40 years 3,971 12.3% 4,693 13.9% -722 - 15.4% From 41 to 50 years 11,899 36.9% 12,398 36.6% -499 - 4.0% Over 50 14,748 45.7% 15,293 45.2% -545 - 3.6% Total 32,262 100.0% 33,842 100.0% -1,580 - 4.7% With regard to training, managerial growth, union relations, environment and occupational safety, refer to the Integrated Report. This document, published on the institutional website, describes how UniCredit creates sustainable value that has a positive impact on society by supporting the advancement of local communities, the competitiveness of enterprises and the well-being of individuals. The Integrated Report of UniCredit constitutes a Non-Financial Statement pursuant to articles 3 and 4 of Legislative Decree 254/2016. Report on operations Company activities 586 2021 Annual Report and Accounts · UniCredit Resources Personnel developments At 31 December 2021, UniCredit S.p.A.’s headcount is No.32,262 compared to No.33,842 at 31 December 2020. The decrease in resources is mainly due to Restructuring Plan. Category 12.31.2021 12.31.2020 CHANGE TOTAL OF WHICH: OUTSIDE ITALY TOTAL OF WHICH: OUTSIDE ITALY IN TOTAL PERCENT Senior Management 655 4 709 6 -54 - 7.6% Management - 3rd and 4th grade 6,584 31 6,866 41 -282 - 4.1% Management - 1st and 2nd grade 10,038 2 10,655 6 -617 - 5.8% Other Staff 14,985 - 15,612 4 -627 - 4.0% Total 32,262 37 33,842 57 -1,580 - 4.7% of which, Part-time staff 4,755 - 5,030 - -275 - 5.5% The composition of the workforce by seniority and by age bracket is shown in the following tables. With respect to educational level, 39% of UniCredit S.p.A. employees have university degrees (mostly in the areas of economics and banking, or law). Women make up 50% of personnel. Breakdown by seniority 12.31.2021 12.31.2020 CHANGE NUMBER PERCENT NUMBER PERCENT AMOUNT PERCENT Up to 10 4,377 13.6% 4,209 12.4% +168 + 4.0% From 11 to 20 years 11,481 35.6% 12,746 37.7% -1,265 - 9.9% From 21 to 30 years 9,071 28.1% 9,276 27.4% -205 - 2.2% Over 30 7,333 22.7% 7,611 22.5% -278 - 3.7% Total 32,262 100.0% 33,842 100.0% -1,580 - 4.7% Breakdown by age 12.31.2021 12.31.2020 CHANGE NUMBER PERCENT NUMBER PERCENT AMOUNT PERCENT Up to 30 1,644 5.1% 1,458 4.3% +186 + 12.8% From 31 to 40 years 3,971 12.3% 4,693 13.9% -722 - 15.4% From 41 to 50 years 11,899 36.9% 12,398 36.6% -499 - 4.0% Over 50 14,748 45.7% 15,293 45.2% -545 - 3.6% Total 32,262 100.0% 33,842 100.0% -1,580 - 4.7% With regard to training, managerial growth, union relations, environment and occupational safety, refer to the Integrated Report. This document, published on the institutional website, describes how UniCredit creates sustainable value that has a positive impact on society by supporting the advancement of local communities, the competitiveness of enterprises and the well-being of individuals. The Integrated Report of UniCredit constitutes a Non-Financial Statement pursuant to articles 3 and 4 of Legislative Decree 254/2016. Report on operations Company activities 586 2021 Annual Report and Accounts · UniCredit Resources Personnel developments At 31 December 2021, UniCredit S.p.A.’s headcount is No.32,262 compared to No.33,842 at 31 December 2020. The decrease in resources is mainly due to Restructuring Plan. Category 12.31.2021 12.31.2020 CHANGE TOTAL OF WHICH: OUTSIDE ITALY TOTAL OF WHICH: OUTSIDE ITALY IN TOTAL PERCENT Senior Management 655 4 709 6 -54 - 7.6% Management - 3rd and 4th grade 6,584 31 6,866 41 -282 - 4.1% Management - 1st and 2nd grade 10,038 2 10,655 6 -617 - 5.8% Other Staff 14,985 - 15,612 4 -627 - 4.0% Total 32,262 37 33,842 57 -1,580 - 4.7% of which, Part-time staff 4,755 - 5,030 - -275 - 5.5% The composition of the workforce by seniority and by age bracket is shown in the following tables. With respect to educational level, 39% of UniCredit S.p.A. employees have university degrees (mostly in the areas of economics and banking, or law). Women make up 50% of personnel. Breakdown by seniority 12.31.2021 12.31.2020 CHANGE NUMBER PERCENT NUMBER PERCENT AMOUNT PERCENT Up to 10 4,377 13.6% 4,209 12.4% +168 + 4.0% From 11 to 20 years 11,481 35.6% 12,746 37.7% -1,265 - 9.9% From 21 to 30 years 9,071 28.1% 9,276 27.4% -205 - 2.2% Over 30 7,333 22.7% 7,611 22.5% -278 - 3.7% Total 32,262 100.0% 33,842 100.0% -1,580 - 4.7% Breakdown by age 12.31.2021 12.31.2020 CHANGE NUMBER PERCENT NUMBER PERCENT AMOUNT PERCENT Up to 30 1,644 5.1% 1,458 4.3% +186 + 12.8% From 31 to 40 years 3,971 12.3% 4,693 13.9% -722 - 15.4% From 41 to 50 years 11,899 36.9% 12,398 36.6% -499 - 4.0% Over 50 14,748 45.7% 15,293 45.2% -545 - 3.6% Total 32,262 100.0% 33,842 100.0% -1,580 - 4.7% With regard to training, managerial growth, union relations, environment and occupational safety, refer to the Integrated Report. This document, published on the institutional website, describes how UniCredit creates sustainable value that has a positive impact on society by supporting the advancement of local communities, the competitiveness of enterprises and the well-being of individuals. The Integrated Report of UniCredit constitutes a Non-Financial Statement pursuant to articles 3 and 4 of Legislative Decree 254/2016. Report on operations Other information UniCredit · 2021 Annual Report and Accounts 587 Other information Group activities development operations and other corporate transactions Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group with specific reference to events relating to the parent company UniCredit S.p.A. which is herewith quoted entirely. Conversion of Deferred tax assets (DTAs) into tax credits The 2020 financial year closed with a loss in the Income statement of €2,732 million; therefore, there were the conditions for carrying out a new transformation of deferred tax assets (DTAs) into tax credits pursuant to Art.2, par.55 of the Law Decree of 29 December 2010 No.225, converted into Law No.10/2011. The amount of the conversion carried out is equal to €384 million. The 2021 financial year closed with a profit in the Income statement of €10,366 million; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits are not verified again. Certifications and other communications Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. For more information on related-party transactions refer to Notes to the accounts - Part H. Information on risks For a complete description of the risks and uncertainties that the Bank must face under the current market conditions, refer to the appropriate section in the Company financial statements - Notes to the accounts - Part E - Information on risks and hedging policies. Report on operations Other information UniCredit · 2021 Annual Report and Accounts 587 Other information Group activities development operations and other corporate transactions Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group with specific reference to events relating to the parent company UniCredit S.p.A. which is herewith quoted entirely. Conversion of Deferred tax assets (DTAs) into tax credits The 2020 financial year closed with a loss in the Income statement of €2,732 million; therefore, there were the conditions for carrying out a new transformation of deferred tax assets (DTAs) into tax credits pursuant to Art.2, par.55 of the Law Decree of 29 December 2010 No.225, converted into Law No.10/2011. The amount of the conversion carried out is equal to €384 million. The 2021 financial year closed with a profit in the Income statement of €10,366 million; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits are not verified again. Certifications and other communications Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. For more information on related-party transactions refer to Notes to the accounts - Part H. Information on risks For a complete description of the risks and uncertainties that the Bank must face under the current market conditions, refer to the appropriate section in the Company financial statements - Notes to the accounts - Part E - Information on risks and hedging policies. Report on operations Other information UniCredit · 2021 Annual Report and Accounts 587 Other information Group activities development operations and other corporate transactions Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group with specific reference to events relating to the parent company UniCredit S.p.A. which is herewith quoted entirely. Conversion of Deferred tax assets (DTAs) into tax credits The 2020 financial year closed with a loss in the Income statement of €2,732 million; therefore, there were the conditions for carrying out a new transformation of deferred tax assets (DTAs) into tax credits pursuant to Art.2, par.55 of the Law Decree of 29 December 2010 No.225, converted into Law No.10/2011. The amount of the conversion carried out is equal to €384 million. The 2021 financial year closed with a profit in the Income statement of €10,366 million; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits are not verified again. Certifications and other communications Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. For more information on related-party transactions refer to Notes to the accounts - Part H. Information on risks For a complete description of the risks and uncertainties that the Bank must face under the current market conditions, refer to the appropriate section in the Company financial statements - Notes to the accounts - Part E - Information on risks and hedging policies. Report on operations Other information UniCredit · 2021 Annual Report and Accounts 587 Other information Group activities development operations and other corporate transactions Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group with specific reference to events relating to the parent company UniCredit S.p.A. which is herewith quoted entirely. Conversion of Deferred tax assets (DTAs) into tax credits The 2020 financial year closed with a loss in the Income statement of €2,732 million; therefore, there were the conditions for carrying out a new transformation of deferred tax assets (DTAs) into tax credits pursuant to Art.2, par.55 of the Law Decree of 29 December 2010 No.225, converted into Law No.10/2011. The amount of the conversion carried out is equal to €384 million. The 2021 financial year closed with a profit in the Income statement of €10,366 million; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits are not verified again. Certifications and other communications Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. For more information on related-party transactions refer to Notes to the accounts - Part H. Information on risks For a complete description of the risks and uncertainties that the Bank must face under the current market conditions, refer to the appropriate section in the Company financial statements - Notes to the accounts - Part E - Information on risks and hedging policies. Report on operations Other information UniCredit · 2021 Annual Report and Accounts 587 Other information Group activities development operations and other corporate transactions Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group with specific reference to events relating to the parent company UniCredit S.p.A. which is herewith quoted entirely. Conversion of Deferred tax assets (DTAs) into tax credits The 2020 financial year closed with a loss in the Income statement of €2,732 million; therefore, there were the conditions for carrying out a new transformation of deferred tax assets (DTAs) into tax credits pursuant to Art.2, par.55 of the Law Decree of 29 December 2010 No.225, converted into Law No.10/2011. The amount of the conversion carried out is equal to €384 million. The 2021 financial year closed with a profit in the Income statement of €10,366 million; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits are not verified again. Certifications and other communications Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. For more information on related-party transactions refer to Notes to the accounts - Part H. Information on risks For a complete description of the risks and uncertainties that the Bank must face under the current market conditions, refer to the appropriate section in the Company financial statements - Notes to the accounts - Part E - Information on risks and hedging policies. Report on operations Subsequent events and outlook 588 2021 Annual Report and Accounts · UniCredit Subsequent events and outlook Subsequent events73 Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group with specific reference to events relating to the parent company UniCredit S.p.A. which is herewith quoted entirely. 73 Up to the date of approval by the Board of Directors’ Meeting of 15 February 2022 which, on the same date, authorised the publication also in accordance with IAS10. Report on operations Subsequent events and outlook 588 2021 Annual Report and Accounts · UniCredit Subsequent events and outlook Subsequent events73 Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group with specific reference to events relating to the parent company UniCredit S.p.A. which is herewith quoted entirely. 73 Up to the date of approval by the Board of Directors’ Meeting of 15 February 2022 which, on the same date, authorised the publication also in accordance with IAS10. Report on operations Subsequent events and outlook 588 2021 Annual Report and Accounts · UniCredit Subsequent events and outlook Subsequent events73 Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group with specific reference to events relating to the parent company UniCredit S.p.A. which is herewith quoted entirely. 73 Up to the date of approval by the Board of Directors’ Meeting of 15 February 2022 which, on the same date, authorised the publication also in accordance with IAS10. Report on operations Subsequent events and outlook 588 2021 Annual Report and Accounts · UniCredit Subsequent events and outlook Subsequent events73 Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group with specific reference to events relating to the parent company UniCredit S.p.A. which is herewith quoted entirely. 73 Up to the date of approval by the Board of Directors’ Meeting of 15 February 2022 which, on the same date, authorised the publication also in accordance with IAS10. Report on operations Subsequent events and outlook 588 2021 Annual Report and Accounts · UniCredit Subsequent events and outlook Subsequent events73 Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group with specific reference to events relating to the parent company UniCredit S.p.A. which is herewith quoted entirely. 73 Up to the date of approval by the Board of Directors’ Meeting of 15 February 2022 which, on the same date, authorised the publication also in accordance with IAS10. Report on operations Subsequent events and outlook UniCredit · 2021 Annual Report and Accounts 589 Outlook Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. Milan, 15 February 2022 THE BOARD OF DIRECTORS CHAIRMAN CEO PIETRO CARLO PADOAN ANDREA ORCEL Report on operations Subsequent events and outlook UniCredit · 2021 Annual Report and Accounts 589 Outlook Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. Milan, 15 February 2022 THE BOARD OF DIRECTORS CHAIRMAN CEO PIETRO CARLO PADOAN ANDREA ORCEL Report on operations Subsequent events and outlook UniCredit · 2021 Annual Report and Accounts 589 Outlook Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. Milan, 15 February 2022 THE BOARD OF DIRECTORS CHAIRMAN CEO PIETRO CARLO PADOAN ANDREA ORCEL Report on operations Subsequent events and outlook UniCredit · 2021 Annual Report and Accounts 589 Outlook Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. Milan, 15 February 2022 THE BOARD OF DIRECTORS CHAIRMAN CEO PIETRO CARLO PADOAN ANDREA ORCEL Report on operations Subsequent events and outlook UniCredit · 2021 Annual Report and Accounts 589 Outlook Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely. Milan, 15 February 2022 THE BOARD OF DIRECTORS CHAIRMAN CEO PIETRO CARLO PADOAN ANDREA ORCEL Protecting our most vulnerable: Doubravčice’s Centrum péče Doubrava is a pillar of its local community, providing dignity in old age and peace of mind for families; we helped the facility expand. Our Clients Centrum Péče Doubrava Czech Republic Curious to know more? Check out the entire story (and others!) on annualreport.unicredit.eu/en  Proposal to Shareholders’ Meeting UniCredit · 2021 Annual Report and Accounts 591 Proposals to the Shareholders’ Meeting For the proposals to Shareholders’ Meeting refer to the specific Board of Directors’ reports in relation to the allocation of the 2021 result. Proposal to Shareholders’ Meeting UniCredit · 2021 Annual Report and Accounts 591 Proposals to the Shareholders’ Meeting For the proposals to Shareholders’ Meeting refer to the specific Board of Directors’ reports in relation to the allocation of the 2021 result. Proposal to Shareholders’ Meeting UniCredit · 2021 Annual Report and Accounts 591 Proposals to the Shareholders’ Meeting For the proposals to Shareholders’ Meeting refer to the specific Board of Directors’ reports in relation to the allocation of the 2021 result. Proposal to Shareholders’ Meeting UniCredit · 2021 Annual Report and Accounts 591 Proposals to the Shareholders’ Meeting For the proposals to Shareholders’ Meeting refer to the specific Board of Directors’ reports in relation to the allocation of the 2021 result. Proposal to Shareholders’ Meeting UniCredit · 2021 Annual Report and Accounts 591 Proposals to the Shareholders’ Meeting For the proposals to Shareholders’ Meeting refer to the specific Board of Directors’ reports in relation to the allocation of the 2021 result.  592 2021 Annual Report and Accounts · UniCredit 592 2021 Annual Report and Accounts · UniCredit 592 2021 Annual Report and Accounts · UniCredit 592 2021 Annual Report and Accounts · UniCredit 592 2021 Annual Report and Accounts · UniCredit Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 593 Company financial statements Company accounts Balance sheet Balance sheet (€) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 10. Cash and cash balances 72,829,812,085 63,334,055,786 20. Financial assets at fair value through profit or loss: 20,003,480,033 15,699,098,083 a) financial assets held for trading 13,939,387,043 11,237,904,889 b) financial assets designated at fair value 118,761,840 109,114,509 c) other financial assets mandatorily at fair value 5,945,331,150 4,352,078,685 30. Financial assets at fair value through other comprehensive income 36,463,996,896 33,836,949,616 40. Financial assets at amortised cost: 267,821,515,912 278,308,461,843 a) loans and advances to banks 37,374,176,488 39,897,983,825 b) loans and advances to customers 230,447,339,424 238,410,478,018 50. Hedging derivatives 4,362,041,125 6,132,397,195 60. Changes in fair value of portfolio hedged items (+/-) 1,357,769,084 2,435,082,120 70. Equity investments 38,413,600,378 33,724,891,672 80. Property, plant and equipment 3,806,448,590 3,998,577,233 90. Intangible assets 6,528,260 6,372,002 of which: goodwill - - 100. Tax assets: 11,142,285,296 10,663,920,555 a) current 1,678,879,343 1,483,987,924 b) deferred 9,463,405,953 9,179,932,631 110. Non-current assets and disposal groups classified as held for sale 1,908,830,762 254,774,468 120. Other assets 3,837,093,506 3,674,627,493 Total assets 461,953,401,927 452,069,208,066 (€) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 10. Financial liabilities at amortised cost: 370,017,093,491 369,225,204,102 a) deposits from banks 86,265,278,414 89,285,766,223 b) deposits from customers 226,028,294,617 220,920,624,932 c) debt securities in issue 57,723,520,460 59,018,812,947 20. Financial liabilities held for trading 13,635,976,184 9,670,505,609 30. Financial liabilities designated at fair value 4,111,399,264 4,862,736,730 40. Hedging derivatives 4,843,498,108 6,030,861,691 50. Value adjustment of hedged financial liabilities (+/-) 659,811,966 3,431,509,272 60. Tax liabilities: 12,677,251 2,809,477 a) current 12,677,251 2,809,477 b) deferred - - 70. Liabilities associated with assets classified as held for sale - - 80. Other liabilities 6,942,693,418 6,730,685,023 90. Provision for employee severance pay 491,354,326 557,100,156 100. Provisions for risks and charges: 1,973,796,553 2,064,975,425 a) commitments and guarantees given 419,149,560 441,728,315 b) post-retirement benefit obligations 60,879,383 97,888,217 c) other provisions for risks and charges 1,493,767,610 1,525,358,893 110. Valuation reserves 793,718,204 395,151,135 120. Redeemable shares - - 130. Equity instruments 6,594,697,039 6,841,367,977 140. Reserves 15,130,046,727 14,544,629,034 150. Share premium 5,446,439,577 9,386,387,772 160. Share capital 21,133,469,082 21,059,536,950 170. Treasury shares (-) (199,465,013) (2,440,001) 180. Profit (Loss) of the year (+/-) 10,366,195,750 (2,731,812,286) Total Liabilities and Shareholders' Equity 461,953,401,927 452,069,208,066 Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 593 Company financial statements Company accounts Balance sheet Balance sheet (€) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 10. Cash and cash balances 72,829,812,085 63,334,055,786 20. Financial assets at fair value through profit or loss: 20,003,480,033 15,699,098,083 a) financial assets held for trading 13,939,387,043 11,237,904,889 b) financial assets designated at fair value 118,761,840 109,114,509 c) other financial assets mandatorily at fair value 5,945,331,150 4,352,078,685 30. Financial assets at fair value through other comprehensive income 36,463,996,896 33,836,949,616 40. Financial assets at amortised cost: 267,821,515,912 278,308,461,843 a) loans and advances to banks 37,374,176,488 39,897,983,825 b) loans and advances to customers 230,447,339,424 238,410,478,018 50. Hedging derivatives 4,362,041,125 6,132,397,195 60. Changes in fair value of portfolio hedged items (+/-) 1,357,769,084 2,435,082,120 70. Equity investments 38,413,600,378 33,724,891,672 80. Property, plant and equipment 3,806,448,590 3,998,577,233 90. Intangible assets 6,528,260 6,372,002 of which: goodwill - - 100. Tax assets: 11,142,285,296 10,663,920,555 a) current 1,678,879,343 1,483,987,924 b) deferred 9,463,405,953 9,179,932,631 110. Non-current assets and disposal groups classified as held for sale 1,908,830,762 254,774,468 120. Other assets 3,837,093,506 3,674,627,493 Total assets 461,953,401,927 452,069,208,066 (€) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 10. Financial liabilities at amortised cost: 370,017,093,491 369,225,204,102 a) deposits from banks 86,265,278,414 89,285,766,223 b) deposits from customers 226,028,294,617 220,920,624,932 c) debt securities in issue 57,723,520,460 59,018,812,947 20. Financial liabilities held for trading 13,635,976,184 9,670,505,609 30. Financial liabilities designated at fair value 4,111,399,264 4,862,736,730 40. Hedging derivatives 4,843,498,108 6,030,861,691 50. Value adjustment of hedged financial liabilities (+/-) 659,811,966 3,431,509,272 60. Tax liabilities: 12,677,251 2,809,477 a) current 12,677,251 2,809,477 b) deferred - - 70. Liabilities associated with assets classified as held for sale - - 80. Other liabilities 6,942,693,418 6,730,685,023 90. Provision for employee severance pay 491,354,326 557,100,156 100. Provisions for risks and charges: 1,973,796,553 2,064,975,425 a) commitments and guarantees given 419,149,560 441,728,315 b) post-retirement benefit obligations 60,879,383 97,888,217 c) other provisions for risks and charges 1,493,767,610 1,525,358,893 110. Valuation reserves 793,718,204 395,151,135 120. Redeemable shares - - 130. Equity instruments 6,594,697,039 6,841,367,977 140. Reserves 15,130,046,727 14,544,629,034 150. Share premium 5,446,439,577 9,386,387,772 160. Share capital 21,133,469,082 21,059,536,950 170. Treasury shares (-) (199,465,013) (2,440,001) 180. Profit (Loss) of the year (+/-) 10,366,195,750 (2,731,812,286) Total Liabilities and Shareholders' Equity 461,953,401,927 452,069,208,066 Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 593 Company financial statements Company accounts Balance sheet Balance sheet (€) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 10. Cash and cash balances 72,829,812,085 63,334,055,786 20. Financial assets at fair value through profit or loss: 20,003,480,033 15,699,098,083 a) financial assets held for trading 13,939,387,043 11,237,904,889 b) financial assets designated at fair value 118,761,840 109,114,509 c) other financial assets mandatorily at fair value 5,945,331,150 4,352,078,685 30. Financial assets at fair value through other comprehensive income 36,463,996,896 33,836,949,616 40. Financial assets at amortised cost: 267,821,515,912 278,308,461,843 a) loans and advances to banks 37,374,176,488 39,897,983,825 b) loans and advances to customers 230,447,339,424 238,410,478,018 50. Hedging derivatives 4,362,041,125 6,132,397,195 60. Changes in fair value of portfolio hedged items (+/-) 1,357,769,084 2,435,082,120 70. Equity investments 38,413,600,378 33,724,891,672 80. Property, plant and equipment 3,806,448,590 3,998,577,233 90. Intangible assets 6,528,260 6,372,002 of which: goodwill - - 100. Tax assets: 11,142,285,296 10,663,920,555 a) current 1,678,879,343 1,483,987,924 b) deferred 9,463,405,953 9,179,932,631 110. Non-current assets and disposal groups classified as held for sale 1,908,830,762 254,774,468 120. Other assets 3,837,093,506 3,674,627,493 Total assets 461,953,401,927 452,069,208,066 (€) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 10. Financial liabilities at amortised cost: 370,017,093,491 369,225,204,102 a) deposits from banks 86,265,278,414 89,285,766,223 b) deposits from customers 226,028,294,617 220,920,624,932 c) debt securities in issue 57,723,520,460 59,018,812,947 20. Financial liabilities held for trading 13,635,976,184 9,670,505,609 30. Financial liabilities designated at fair value 4,111,399,264 4,862,736,730 40. Hedging derivatives 4,843,498,108 6,030,861,691 50. Value adjustment of hedged financial liabilities (+/-) 659,811,966 3,431,509,272 60. Tax liabilities: 12,677,251 2,809,477 a) current 12,677,251 2,809,477 b) deferred - - 70. Liabilities associated with assets classified as held for sale - - 80. Other liabilities 6,942,693,418 6,730,685,023 90. Provision for employee severance pay 491,354,326 557,100,156 100. Provisions for risks and charges: 1,973,796,553 2,064,975,425 a) commitments and guarantees given 419,149,560 441,728,315 b) post-retirement benefit obligations 60,879,383 97,888,217 c) other provisions for risks and charges 1,493,767,610 1,525,358,893 110. Valuation reserves 793,718,204 395,151,135 120. Redeemable shares - - 130. Equity instruments 6,594,697,039 6,841,367,977 140. Reserves 15,130,046,727 14,544,629,034 150. Share premium 5,446,439,577 9,386,387,772 160. Share capital 21,133,469,082 21,059,536,950 170. Treasury shares (-) (199,465,013) (2,440,001) 180. Profit (Loss) of the year (+/-) 10,366,195,750 (2,731,812,286) Total Liabilities and Shareholders' Equity 461,953,401,927 452,069,208,066 Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 593 Company financial statements Company accounts Balance sheet Balance sheet (€) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 10. Cash and cash balances 72,829,812,085 63,334,055,786 20. Financial assets at fair value through profit or loss: 20,003,480,033 15,699,098,083 a) financial assets held for trading 13,939,387,043 11,237,904,889 b) financial assets designated at fair value 118,761,840 109,114,509 c) other financial assets mandatorily at fair value 5,945,331,150 4,352,078,685 30. Financial assets at fair value through other comprehensive income 36,463,996,896 33,836,949,616 40. Financial assets at amortised cost: 267,821,515,912 278,308,461,843 a) loans and advances to banks 37,374,176,488 39,897,983,825 b) loans and advances to customers 230,447,339,424 238,410,478,018 50. Hedging derivatives 4,362,041,125 6,132,397,195 60. Changes in fair value of portfolio hedged items (+/-) 1,357,769,084 2,435,082,120 70. Equity investments 38,413,600,378 33,724,891,672 80. Property, plant and equipment 3,806,448,590 3,998,577,233 90. Intangible assets 6,528,260 6,372,002 of which: goodwill - - 100. Tax assets: 11,142,285,296 10,663,920,555 a) current 1,678,879,343 1,483,987,924 b) deferred 9,463,405,953 9,179,932,631 110. Non-current assets and disposal groups classified as held for sale 1,908,830,762 254,774,468 120. Other assets 3,837,093,506 3,674,627,493 Total assets 461,953,401,927 452,069,208,066 (€) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 10. Financial liabilities at amortised cost: 370,017,093,491 369,225,204,102 a) deposits from banks 86,265,278,414 89,285,766,223 b) deposits from customers 226,028,294,617 220,920,624,932 c) debt securities in issue 57,723,520,460 59,018,812,947 20. Financial liabilities held for trading 13,635,976,184 9,670,505,609 30. Financial liabilities designated at fair value 4,111,399,264 4,862,736,730 40. Hedging derivatives 4,843,498,108 6,030,861,691 50. Value adjustment of hedged financial liabilities (+/-) 659,811,966 3,431,509,272 60. Tax liabilities: 12,677,251 2,809,477 a) current 12,677,251 2,809,477 b) deferred - - 70. Liabilities associated with assets classified as held for sale - - 80. Other liabilities 6,942,693,418 6,730,685,023 90. Provision for employee severance pay 491,354,326 557,100,156 100. Provisions for risks and charges: 1,973,796,553 2,064,975,425 a) commitments and guarantees given 419,149,560 441,728,315 b) post-retirement benefit obligations 60,879,383 97,888,217 c) other provisions for risks and charges 1,493,767,610 1,525,358,893 110. Valuation reserves 793,718,204 395,151,135 120. Redeemable shares - - 130. Equity instruments 6,594,697,039 6,841,367,977 140. Reserves 15,130,046,727 14,544,629,034 150. Share premium 5,446,439,577 9,386,387,772 160. Share capital 21,133,469,082 21,059,536,950 170. Treasury shares (-) (199,465,013) (2,440,001) 180. Profit (Loss) of the year (+/-) 10,366,195,750 (2,731,812,286) Total Liabilities and Shareholders' Equity 461,953,401,927 452,069,208,066 Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 593 Company financial statements Company accounts Balance sheet Balance sheet (€) AMOUNTS AS AT ASSETS 12.31.2021 12.31.2020 10. Cash and cash balances 72,829,812,085 63,334,055,786 20. Financial assets at fair value through profit or loss: 20,003,480,033 15,699,098,083 a) financial assets held for trading 13,939,387,043 11,237,904,889 b) financial assets designated at fair value 118,761,840 109,114,509 c) other financial assets mandatorily at fair value 5,945,331,150 4,352,078,685 30. Financial assets at fair value through other comprehensive income 36,463,996,896 33,836,949,616 40. Financial assets at amortised cost: 267,821,515,912 278,308,461,843 a) loans and advances to banks 37,374,176,488 39,897,983,825 b) loans and advances to customers 230,447,339,424 238,410,478,018 50. Hedging derivatives 4,362,041,125 6,132,397,195 60. Changes in fair value of portfolio hedged items (+/-) 1,357,769,084 2,435,082,120 70. Equity investments 38,413,600,378 33,724,891,672 80. Property, plant and equipment 3,806,448,590 3,998,577,233 90. Intangible assets 6,528,260 6,372,002 of which: goodwill - - 100. Tax assets: 11,142,285,296 10,663,920,555 a) current 1,678,879,343 1,483,987,924 b) deferred 9,463,405,953 9,179,932,631 110. Non-current assets and disposal groups classified as held for sale 1,908,830,762 254,774,468 120. Other assets 3,837,093,506 3,674,627,493 Total assets 461,953,401,927 452,069,208,066 (€) AMOUNTS AS AT LIABILITIES AND SHAREHOLDERS' EQUITY 12.31.2021 12.31.2020 10. Financial liabilities at amortised cost: 370,017,093,491 369,225,204,102 a) deposits from banks 86,265,278,414 89,285,766,223 b) deposits from customers 226,028,294,617 220,920,624,932 c) debt securities in issue 57,723,520,460 59,018,812,947 20. Financial liabilities held for trading 13,635,976,184 9,670,505,609 30. Financial liabilities designated at fair value 4,111,399,264 4,862,736,730 40. Hedging derivatives 4,843,498,108 6,030,861,691 50. Value adjustment of hedged financial liabilities (+/-) 659,811,966 3,431,509,272 60. Tax liabilities: 12,677,251 2,809,477 a) current 12,677,251 2,809,477 b) deferred - - 70. Liabilities associated with assets classified as held for sale - - 80. Other liabilities 6,942,693,418 6,730,685,023 90. Provision for employee severance pay 491,354,326 557,100,156 100. Provisions for risks and charges: 1,973,796,553 2,064,975,425 a) commitments and guarantees given 419,149,560 441,728,315 b) post-retirement benefit obligations 60,879,383 97,888,217 c) other provisions for risks and charges 1,493,767,610 1,525,358,893 110. Valuation reserves 793,718,204 395,151,135 120. Redeemable shares - - 130. Equity instruments 6,594,697,039 6,841,367,977 140. Reserves 15,130,046,727 14,544,629,034 150. Share premium 5,446,439,577 9,386,387,772 160. Share capital 21,133,469,082 21,059,536,950 170. Treasury shares (-) (199,465,013) (2,440,001) 180. Profit (Loss) of the year (+/-) 10,366,195,750 (2,731,812,286) Total Liabilities and Shareholders' Equity 461,953,401,927 452,069,208,066 Company financial statements | Company accounts Company accounts 594 2021 Annual Report and Accounts · UniCredit Income statement Income statement (€) YEAR ITEMS 2021 2020 10. Interest income and similar revenues 4,406,800,247 4,584,552,286 of which: interest income calculated with the effective interest method 3,951,327,325 4,452,942,384 20. Interest expenses and similar charges (1,244,296,294) (1,153,325,215) 30. Net interest margin 3,162,503,953 3,431,227,071 40. Fees and commissions income 4,636,607,064 4,074,338,813 50. Fees and commissions expenses (543,975,156) (537,094,618) 60. Net fees and commissions 4,092,631,908 3,537,244,195 70. Dividend income and similar revenues 891,546,809 3,693,404,203 80. Net gains (losses) on trading 385,136,776 167,212,579 90. Net gains (losses) on hedge accounting (7,234,979) 4,280,686 100. Gains (Losses) on disposal and repurchase of: 155,021,630 155,937,195 a) financial assets at amortised cost 72,577,153 123,617,570 b) financial assets at fair value through other comprehensive income 93,132,487 22,610,031 c) financial liabilities (10,688,010) 9,709,594 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: (38,787,790) 136,961,936 a) financial assets/liabilities designated at fair value (107,842,189) 86,790,079 b) other financial assets mandatorily at fair value 69,054,399 50,171,857 120. Operating income 8,640,818,307 11,126,267,865 130. Net losses/recoveries on credit impairment relating to: (989,728,559) (2,743,897,700) a) financial assets at amortised cost (975,307,250) (2,732,716,148) b) financial assets at fair value through other comprehensive income (14,421,309) (11,181,552) 140. Gains/Losses from contractual changes with no cancellations (3,253,698) (6,743,988) 150. Net profit from financial activities 7,647,836,050 8,375,626,177 160. Administrative expenses: (5,437,078,545) (6,368,532,718) a) staff costs (2,936,555,633) (3,937,212,879) b) other administrative expenses (2,500,522,912) (2,431,319,839) 170. Net provisions for risks and charges: (118,169,212) (156,990,487) a) commitments and financial guarantees given 22,471,848 (27,020,910) b) other net provisions (140,641,060) (129,969,577) 180. Net value adjustments/write-backs on property, plant and equipment (337,537,874) (354,403,329) 190. Net value adjustments/write-backs on intangible assets (3,102,213) (2,372,244) 200. Other operating expenses/income 325,523,690 209,740,829 210. Operating costs (5,570,364,154) (6,672,557,949) 220. Gains (Losses) of equity investments 7,363,880,297 (4,741,766,941) 230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (8,593,112) (6,604,998) 240. Goodwill impairment - - 250. Gains (Losses) on disposals on investments (667,793) 4,761,237 260. Profit (Loss) before tax from continuing operations 9,432,091,288 (3,040,542,474) 270. Tax expenses (income) for the year from continuing operations 934,104,462 308,730,188 280. Profit (Loss) after tax from continuing operations 10,366,195,750 (2,731,812,286) 290. Profit (Loss) after tax from discontinued operations - - 300. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Company financial statements | Company accounts Company accounts 594 2021 Annual Report and Accounts · UniCredit Income statement Income statement (€) YEAR ITEMS 2021 2020 10. Interest income and similar revenues 4,406,800,247 4,584,552,286 of which: interest income calculated with the effective interest method 3,951,327,325 4,452,942,384 20. Interest expenses and similar charges (1,244,296,294) (1,153,325,215) 30. Net interest margin 3,162,503,953 3,431,227,071 40. Fees and commissions income 4,636,607,064 4,074,338,813 50. Fees and commissions expenses (543,975,156) (537,094,618) 60. Net fees and commissions 4,092,631,908 3,537,244,195 70. Dividend income and similar revenues 891,546,809 3,693,404,203 80. Net gains (losses) on trading 385,136,776 167,212,579 90. Net gains (losses) on hedge accounting (7,234,979) 4,280,686 100. Gains (Losses) on disposal and repurchase of: 155,021,630 155,937,195 a) financial assets at amortised cost 72,577,153 123,617,570 b) financial assets at fair value through other comprehensive income 93,132,487 22,610,031 c) financial liabilities (10,688,010) 9,709,594 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: (38,787,790) 136,961,936 a) financial assets/liabilities designated at fair value (107,842,189) 86,790,079 b) other financial assets mandatorily at fair value 69,054,399 50,171,857 120. Operating income 8,640,818,307 11,126,267,865 130. Net losses/recoveries on credit impairment relating to: (989,728,559) (2,743,897,700) a) financial assets at amortised cost (975,307,250) (2,732,716,148) b) financial assets at fair value through other comprehensive income (14,421,309) (11,181,552) 140. Gains/Losses from contractual changes with no cancellations (3,253,698) (6,743,988) 150. Net profit from financial activities 7,647,836,050 8,375,626,177 160. Administrative expenses: (5,437,078,545) (6,368,532,718) a) staff costs (2,936,555,633) (3,937,212,879) b) other administrative expenses (2,500,522,912) (2,431,319,839) 170. Net provisions for risks and charges: (118,169,212) (156,990,487) a) commitments and financial guarantees given 22,471,848 (27,020,910) b) other net provisions (140,641,060) (129,969,577) 180. Net value adjustments/write-backs on property, plant and equipment (337,537,874) (354,403,329) 190. Net value adjustments/write-backs on intangible assets (3,102,213) (2,372,244) 200. Other operating expenses/income 325,523,690 209,740,829 210. Operating costs (5,570,364,154) (6,672,557,949) 220. Gains (Losses) of equity investments 7,363,880,297 (4,741,766,941) 230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (8,593,112) (6,604,998) 240. Goodwill impairment - - 250. Gains (Losses) on disposals on investments (667,793) 4,761,237 260. Profit (Loss) before tax from continuing operations 9,432,091,288 (3,040,542,474) 270. Tax expenses (income) for the year from continuing operations 934,104,462 308,730,188 280. Profit (Loss) after tax from continuing operations 10,366,195,750 (2,731,812,286) 290. Profit (Loss) after tax from discontinued operations - - 300. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Company financial statements | Company accounts Company accounts 594 2021 Annual Report and Accounts · UniCredit Income statement Income statement (€) YEAR ITEMS 2021 2020 10. Interest income and similar revenues 4,406,800,247 4,584,552,286 of which: interest income calculated with the effective interest method 3,951,327,325 4,452,942,384 20. Interest expenses and similar charges (1,244,296,294) (1,153,325,215) 30. Net interest margin 3,162,503,953 3,431,227,071 40. Fees and commissions income 4,636,607,064 4,074,338,813 50. Fees and commissions expenses (543,975,156) (537,094,618) 60. Net fees and commissions 4,092,631,908 3,537,244,195 70. Dividend income and similar revenues 891,546,809 3,693,404,203 80. Net gains (losses) on trading 385,136,776 167,212,579 90. Net gains (losses) on hedge accounting (7,234,979) 4,280,686 100. Gains (Losses) on disposal and repurchase of: 155,021,630 155,937,195 a) financial assets at amortised cost 72,577,153 123,617,570 b) financial assets at fair value through other comprehensive income 93,132,487 22,610,031 c) financial liabilities (10,688,010) 9,709,594 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: (38,787,790) 136,961,936 a) financial assets/liabilities designated at fair value (107,842,189) 86,790,079 b) other financial assets mandatorily at fair value 69,054,399 50,171,857 120. Operating income 8,640,818,307 11,126,267,865 130. Net losses/recoveries on credit impairment relating to: (989,728,559) (2,743,897,700) a) financial assets at amortised cost (975,307,250) (2,732,716,148) b) financial assets at fair value through other comprehensive income (14,421,309) (11,181,552) 140. Gains/Losses from contractual changes with no cancellations (3,253,698) (6,743,988) 150. Net profit from financial activities 7,647,836,050 8,375,626,177 160. Administrative expenses: (5,437,078,545) (6,368,532,718) a) staff costs (2,936,555,633) (3,937,212,879) b) other administrative expenses (2,500,522,912) (2,431,319,839) 170. Net provisions for risks and charges: (118,169,212) (156,990,487) a) commitments and financial guarantees given 22,471,848 (27,020,910) b) other net provisions (140,641,060) (129,969,577) 180. Net value adjustments/write-backs on property, plant and equipment (337,537,874) (354,403,329) 190. Net value adjustments/write-backs on intangible assets (3,102,213) (2,372,244) 200. Other operating expenses/income 325,523,690 209,740,829 210. Operating costs (5,570,364,154) (6,672,557,949) 220. Gains (Losses) of equity investments 7,363,880,297 (4,741,766,941) 230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (8,593,112) (6,604,998) 240. Goodwill impairment - - 250. Gains (Losses) on disposals on investments (667,793) 4,761,237 260. Profit (Loss) before tax from continuing operations 9,432,091,288 (3,040,542,474) 270. Tax expenses (income) for the year from continuing operations 934,104,462 308,730,188 280. Profit (Loss) after tax from continuing operations 10,366,195,750 (2,731,812,286) 290. Profit (Loss) after tax from discontinued operations - - 300. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Company financial statements | Company accounts Company accounts 594 2021 Annual Report and Accounts · UniCredit Income statement Income statement (€) YEAR ITEMS 2021 2020 10. Interest income and similar revenues 4,406,800,247 4,584,552,286 of which: interest income calculated with the effective interest method 3,951,327,325 4,452,942,384 20. Interest expenses and similar charges (1,244,296,294) (1,153,325,215) 30. Net interest margin 3,162,503,953 3,431,227,071 40. Fees and commissions income 4,636,607,064 4,074,338,813 50. Fees and commissions expenses (543,975,156) (537,094,618) 60. Net fees and commissions 4,092,631,908 3,537,244,195 70. Dividend income and similar revenues 891,546,809 3,693,404,203 80. Net gains (losses) on trading 385,136,776 167,212,579 90. Net gains (losses) on hedge accounting (7,234,979) 4,280,686 100. Gains (Losses) on disposal and repurchase of: 155,021,630 155,937,195 a) financial assets at amortised cost 72,577,153 123,617,570 b) financial assets at fair value through other comprehensive income 93,132,487 22,610,031 c) financial liabilities (10,688,010) 9,709,594 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: (38,787,790) 136,961,936 a) financial assets/liabilities designated at fair value (107,842,189) 86,790,079 b) other financial assets mandatorily at fair value 69,054,399 50,171,857 120. Operating income 8,640,818,307 11,126,267,865 130. Net losses/recoveries on credit impairment relating to: (989,728,559) (2,743,897,700) a) financial assets at amortised cost (975,307,250) (2,732,716,148) b) financial assets at fair value through other comprehensive income (14,421,309) (11,181,552) 140. Gains/Losses from contractual changes with no cancellations (3,253,698) (6,743,988) 150. Net profit from financial activities 7,647,836,050 8,375,626,177 160. Administrative expenses: (5,437,078,545) (6,368,532,718) a) staff costs (2,936,555,633) (3,937,212,879) b) other administrative expenses (2,500,522,912) (2,431,319,839) 170. Net provisions for risks and charges: (118,169,212) (156,990,487) a) commitments and financial guarantees given 22,471,848 (27,020,910) b) other net provisions (140,641,060) (129,969,577) 180. Net value adjustments/write-backs on property, plant and equipment (337,537,874) (354,403,329) 190. Net value adjustments/write-backs on intangible assets (3,102,213) (2,372,244) 200. Other operating expenses/income 325,523,690 209,740,829 210. Operating costs (5,570,364,154) (6,672,557,949) 220. Gains (Losses) of equity investments 7,363,880,297 (4,741,766,941) 230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (8,593,112) (6,604,998) 240. Goodwill impairment - - 250. Gains (Losses) on disposals on investments (667,793) 4,761,237 260. Profit (Loss) before tax from continuing operations 9,432,091,288 (3,040,542,474) 270. Tax expenses (income) for the year from continuing operations 934,104,462 308,730,188 280. Profit (Loss) after tax from continuing operations 10,366,195,750 (2,731,812,286) 290. Profit (Loss) after tax from discontinued operations - - 300. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Company financial statements | Company accounts Company accounts 594 2021 Annual Report and Accounts · UniCredit Income statement Income statement (€) YEAR ITEMS 2021 2020 10. Interest income and similar revenues 4,406,800,247 4,584,552,286 of which: interest income calculated with the effective interest method 3,951,327,325 4,452,942,384 20. Interest expenses and similar charges (1,244,296,294) (1,153,325,215) 30. Net interest margin 3,162,503,953 3,431,227,071 40. Fees and commissions income 4,636,607,064 4,074,338,813 50. Fees and commissions expenses (543,975,156) (537,094,618) 60. Net fees and commissions 4,092,631,908 3,537,244,195 70. Dividend income and similar revenues 891,546,809 3,693,404,203 80. Net gains (losses) on trading 385,136,776 167,212,579 90. Net gains (losses) on hedge accounting (7,234,979) 4,280,686 100. Gains (Losses) on disposal and repurchase of: 155,021,630 155,937,195 a) financial assets at amortised cost 72,577,153 123,617,570 b) financial assets at fair value through other comprehensive income 93,132,487 22,610,031 c) financial liabilities (10,688,010) 9,709,594 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: (38,787,790) 136,961,936 a) financial assets/liabilities designated at fair value (107,842,189) 86,790,079 b) other financial assets mandatorily at fair value 69,054,399 50,171,857 120. Operating income 8,640,818,307 11,126,267,865 130. Net losses/recoveries on credit impairment relating to: (989,728,559) (2,743,897,700) a) financial assets at amortised cost (975,307,250) (2,732,716,148) b) financial assets at fair value through other comprehensive income (14,421,309) (11,181,552) 140. Gains/Losses from contractual changes with no cancellations (3,253,698) (6,743,988) 150. Net profit from financial activities 7,647,836,050 8,375,626,177 160. Administrative expenses: (5,437,078,545) (6,368,532,718) a) staff costs (2,936,555,633) (3,937,212,879) b) other administrative expenses (2,500,522,912) (2,431,319,839) 170. Net provisions for risks and charges: (118,169,212) (156,990,487) a) commitments and financial guarantees given 22,471,848 (27,020,910) b) other net provisions (140,641,060) (129,969,577) 180. Net value adjustments/write-backs on property, plant and equipment (337,537,874) (354,403,329) 190. Net value adjustments/write-backs on intangible assets (3,102,213) (2,372,244) 200. Other operating expenses/income 325,523,690 209,740,829 210. Operating costs (5,570,364,154) (6,672,557,949) 220. Gains (Losses) of equity investments 7,363,880,297 (4,741,766,941) 230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (8,593,112) (6,604,998) 240. Goodwill impairment - - 250. Gains (Losses) on disposals on investments (667,793) 4,761,237 260. Profit (Loss) before tax from continuing operations 9,432,091,288 (3,040,542,474) 270. Tax expenses (income) for the year from continuing operations 934,104,462 308,730,188 280. Profit (Loss) after tax from continuing operations 10,366,195,750 (2,731,812,286) 290. Profit (Loss) after tax from discontinued operations - - 300. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 595 Statement of other comprehensive income (€) YEAR ITEMS 2021 2020 10. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Other comprehensive income after tax not reclassified to profit or loss 335,541,537 (187,368,628) 20. Equity instruments designated at fair value through other comprehensive income 90,993,107 (108,121,829) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) 56,905,785 (72,870,935) 40. Hedge accounting of equity instruments designated at fair value through other comprehensive income - - 50. Property, plant and equipment 181,775,660 7,618,184 60. Intangible assets - - 70. Defined-benefit plans 7,425,121 (13,613,922) 80. Non-current assets and disposal groups classified as held for sale (1,558,136) (380,126) 90. Portion of valuation reserves from investments valued at equity method - - Other comprehensive income after tax reclassified to profit or loss 12,989,640 110,467,836 100. Foreign investments hedging - - 110. Foreign exchange differences - - 120. Cash flow hedging 88,931,233 (72,066,041) 130. Hedging instruments (non-designated items) - - 140. Financial assets (different from equity instruments) at fair value through other comprehensive income (75,941,593) 182,533,877 150. Non-current assets and disposal groups classified as held for sale - - 160. Part of valuation reserves from investments valued at equity method - - 170. Total other comprehensive income after tax 348,531,177 (76,900,792) 180. Other comprehensive income (Item 10+170) 10,714,726,927 (2,808,713,078) Statement of comprehensive income Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 595 Statement of other comprehensive income (€) YEAR ITEMS 2021 2020 10. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Other comprehensive income after tax not reclassified to profit or loss 335,541,537 (187,368,628) 20. Equity instruments designated at fair value through other comprehensive income 90,993,107 (108,121,829) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) 56,905,785 (72,870,935) 40. Hedge accounting of equity instruments designated at fair value through other comprehensive income - - 50. Property, plant and equipment 181,775,660 7,618,184 60. Intangible assets - - 70. Defined-benefit plans 7,425,121 (13,613,922) 80. Non-current assets and disposal groups classified as held for sale (1,558,136) (380,126) 90. Portion of valuation reserves from investments valued at equity method - - Other comprehensive income after tax reclassified to profit or loss 12,989,640 110,467,836 100. Foreign investments hedging - - 110. Foreign exchange differences - - 120. Cash flow hedging 88,931,233 (72,066,041) 130. Hedging instruments (non-designated items) - - 140. Financial assets (different from equity instruments) at fair value through other comprehensive income (75,941,593) 182,533,877 150. Non-current assets and disposal groups classified as held for sale - - 160. Part of valuation reserves from investments valued at equity method - - 170. Total other comprehensive income after tax 348,531,177 (76,900,792) 180. Other comprehensive income (Item 10+170) 10,714,726,927 (2,808,713,078) Statement of comprehensive income Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 595 Statement of other comprehensive income (€) YEAR ITEMS 2021 2020 10. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Other comprehensive income after tax not reclassified to profit or loss 335,541,537 (187,368,628) 20. Equity instruments designated at fair value through other comprehensive income 90,993,107 (108,121,829) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) 56,905,785 (72,870,935) 40. Hedge accounting of equity instruments designated at fair value through other comprehensive income - - 50. Property, plant and equipment 181,775,660 7,618,184 60. Intangible assets - - 70. Defined-benefit plans 7,425,121 (13,613,922) 80. Non-current assets and disposal groups classified as held for sale (1,558,136) (380,126) 90. Portion of valuation reserves from investments valued at equity method - - Other comprehensive income after tax reclassified to profit or loss 12,989,640 110,467,836 100. Foreign investments hedging - - 110. Foreign exchange differences - - 120. Cash flow hedging 88,931,233 (72,066,041) 130. Hedging instruments (non-designated items) - - 140. Financial assets (different from equity instruments) at fair value through other comprehensive income (75,941,593) 182,533,877 150. Non-current assets and disposal groups classified as held for sale - - 160. Part of valuation reserves from investments valued at equity method - - 170. Total other comprehensive income after tax 348,531,177 (76,900,792) 180. Other comprehensive income (Item 10+170) 10,714,726,927 (2,808,713,078) Statement of comprehensive income Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 595 Statement of other comprehensive income (€) YEAR ITEMS 2021 2020 10. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Other comprehensive income after tax not reclassified to profit or loss 335,541,537 (187,368,628) 20. Equity instruments designated at fair value through other comprehensive income 90,993,107 (108,121,829) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) 56,905,785 (72,870,935) 40. Hedge accounting of equity instruments designated at fair value through other comprehensive income - - 50. Property, plant and equipment 181,775,660 7,618,184 60. Intangible assets - - 70. Defined-benefit plans 7,425,121 (13,613,922) 80. Non-current assets and disposal groups classified as held for sale (1,558,136) (380,126) 90. Portion of valuation reserves from investments valued at equity method - - Other comprehensive income after tax reclassified to profit or loss 12,989,640 110,467,836 100. Foreign investments hedging - - 110. Foreign exchange differences - - 120. Cash flow hedging 88,931,233 (72,066,041) 130. Hedging instruments (non-designated items) - - 140. Financial assets (different from equity instruments) at fair value through other comprehensive income (75,941,593) 182,533,877 150. Non-current assets and disposal groups classified as held for sale - - 160. Part of valuation reserves from investments valued at equity method - - 170. Total other comprehensive income after tax 348,531,177 (76,900,792) 180. Other comprehensive income (Item 10+170) 10,714,726,927 (2,808,713,078) Statement of comprehensive income Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 595 Statement of other comprehensive income (€) YEAR ITEMS 2021 2020 10. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Other comprehensive income after tax not reclassified to profit or loss 335,541,537 (187,368,628) 20. Equity instruments designated at fair value through other comprehensive income 90,993,107 (108,121,829) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) 56,905,785 (72,870,935) 40. Hedge accounting of equity instruments designated at fair value through other comprehensive income - - 50. Property, plant and equipment 181,775,660 7,618,184 60. Intangible assets - - 70. Defined-benefit plans 7,425,121 (13,613,922) 80. Non-current assets and disposal groups classified as held for sale (1,558,136) (380,126) 90. Portion of valuation reserves from investments valued at equity method - - Other comprehensive income after tax reclassified to profit or loss 12,989,640 110,467,836 100. Foreign investments hedging - - 110. Foreign exchange differences - - 120. Cash flow hedging 88,931,233 (72,066,041) 130. Hedging instruments (non-designated items) - - 140. Financial assets (different from equity instruments) at fair value through other comprehensive income (75,941,593) 182,533,877 150. Non-current assets and disposal groups classified as held for sale - - 160. Part of valuation reserves from investments valued at equity method - - 170. Total other comprehensive income after tax 348,531,177 (76,900,792) 180. Other comprehensive income (Item 10+170) 10,714,726,927 (2,808,713,078) Statement of comprehensive income Company financial statements | Company accounts Company accounts 596 2021 Annual Report and Accounts · UniCredit Statement of changes in the shareholders' equity as at 31 December 2021 (€) CHANGE IN OPENING BALANCE PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR CHANGES IN RESERVES SHAREHOLDERS' EQUITY TRANSACTIONS 2021 RESERVES DIVIDENDS AND OTHER ALLOCATIONS ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS 12.31.2021 12.31.2020 01.01.2021 OTHER COMPREHENSIVE INCOME SHAREHOLDERS' EQUITY AS AT BALANCE AS AT BALANCE AS AT Share capital: 21,059,536,950 - 21,059,536,950 - - - 73,932,132 - - - - - - 21,133,469,082 - ordinary shares 21,059,536,950 - 21,059,536,950 - - - 73,932,132 - - - - - - 21,133,469,082 - other shares - - - - - - - - - - - - - - Share premium 9,386,387,772 - 9,386,387,772 (2,731,812,286) - (1,208,135,909) - - - - - - - 5,446,439,577 Reserves: 14,544,629,035 - 14,544,629,035 - - 860,069,879 (73,932,132) - (268,064,401) - - 67,344,346 - 15,130,046,727 - from profits 9,663,322,672 - 9,663,322,672 - - 102,793,080 (73,932,132) - (268,064,401) - - - - 9,424,119,219 - other 4,881,306,363 - 4,881,306,363 - - 757,276,799 - - - - - 67,344,346 - 5,705,927,508 Valuation reserves 395,151,135 - 395,151,135 - - 50,035,892 - - - - - - 348,531,177 793,718,204 Equity instruments 6,841,367,977 - 6,841,367,977 - - - - - - (246,670,938) - - - 6,594,697,039 Treasury shares (2,440,001) - (2,440,001) - - - 181,128,527 (378,153,539) - - - - - (199,465,013) Profit (Loss) for the year (2,731,812,286) - (2,731,812,286) 2,731,812,286 - - - - - - - - 10,366,195,750 10,366,195,750 Shareholders’ equity 49,492,820,582 - 49,492,820,582 - - (298,030,138) 181,128,527 (378,153,539) (268,064,401) (246,670,938) - 67,344,346 10,714,726,927 59,265,101,366 Statement of changes in shareholders’e equity The changes in the year of the item "Treasury shares" refer to the purchases of UniCredit ordinary shares executed under the share buy-back programs and the subsequent cancellation of the shares purchased with no reduction in the nominal share capital, as per the authorisation granted by the Shareholders' Meeting on 15 April 2021; the positive change due to the cancellation of the treasury shares is conventionally reported in the column “issue of new shares”. The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares connected with the ESOP Plans and other Group Executive Incentive Plans. Company financial statements | Company accounts Company accounts 596 2021 Annual Report and Accounts · UniCredit Statement of changes in the shareholders' equity as at 31 December 2021 (€) CHANGE IN OPENING BALANCE PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR CHANGES IN RESERVES SHAREHOLDERS' EQUITY TRANSACTIONS 2021 RESERVES DIVIDENDS AND OTHER ALLOCATIONS ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS 12.31.2021 12.31.2020 01.01.2021 OTHER COMPREHENSIVE INCOME SHAREHOLDERS' EQUITY AS AT BALANCE AS AT BALANCE AS AT Share capital: 21,059,536,950 - 21,059,536,950 - - - 73,932,132 - - - - - - 21,133,469,082 - ordinary shares 21,059,536,950 - 21,059,536,950 - - - 73,932,132 - - - - - - 21,133,469,082 - other shares - - - - - - - - - - - - - - Share premium 9,386,387,772 - 9,386,387,772 (2,731,812,286) - (1,208,135,909) - - - - - - - 5,446,439,577 Reserves: 14,544,629,035 - 14,544,629,035 - - 860,069,879 (73,932,132) - (268,064,401) - - 67,344,346 - 15,130,046,727 - from profits 9,663,322,672 - 9,663,322,672 - - 102,793,080 (73,932,132) - (268,064,401) - - - - 9,424,119,219 - other 4,881,306,363 - 4,881,306,363 - - 757,276,799 - - - - - 67,344,346 - 5,705,927,508 Valuation reserves 395,151,135 - 395,151,135 - - 50,035,892 - - - - - - 348,531,177 793,718,204 Equity instruments 6,841,367,977 - 6,841,367,977 - - - - - - (246,670,938) - - - 6,594,697,039 Treasury shares (2,440,001) - (2,440,001) - - - 181,128,527 (378,153,539) - - - - - (199,465,013) Profit (Loss) for the year (2,731,812,286) - (2,731,812,286) 2,731,812,286 - - - - - - - - 10,366,195,750 10,366,195,750 Shareholders’ equity 49,492,820,582 - 49,492,820,582 - - (298,030,138) 181,128,527 (378,153,539) (268,064,401) (246,670,938) - 67,344,346 10,714,726,927 59,265,101,366 Statement of changes in shareholders’e equity The changes in the year of the item "Treasury shares" refer to the purchases of UniCredit ordinary shares executed under the share buy-back programs and the subsequent cancellation of the shares purchased with no reduction in the nominal share capital, as per the authorisation granted by the Shareholders' Meeting on 15 April 2021; the positive change due to the cancellation of the treasury shares is conventionally reported in the column “issue of new shares”. The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares connected with the ESOP Plans and other Group Executive Incentive Plans. Company financial statements | Company accounts Company accounts 596 2021 Annual Report and Accounts · UniCredit Statement of changes in the shareholders' equity as at 31 December 2021 (€) CHANGE IN OPENING BALANCE PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR CHANGES IN RESERVES SHAREHOLDERS' EQUITY TRANSACTIONS 2021 RESERVES DIVIDENDS AND OTHER ALLOCATIONS ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS 12.31.2021 12.31.2020 01.01.2021 OTHER COMPREHENSIVE INCOME SHAREHOLDERS' EQUITY AS AT BALANCE AS AT BALANCE AS AT Share capital: 21,059,536,950 - 21,059,536,950 - - - 73,932,132 - - - - - - 21,133,469,082 - ordinary shares 21,059,536,950 - 21,059,536,950 - - - 73,932,132 - - - - - - 21,133,469,082 - other shares - - - - - - - - - - - - - - Share premium 9,386,387,772 - 9,386,387,772 (2,731,812,286) - (1,208,135,909) - - - - - - - 5,446,439,577 Reserves: 14,544,629,035 - 14,544,629,035 - - 860,069,879 (73,932,132) - (268,064,401) - - 67,344,346 - 15,130,046,727 - from profits 9,663,322,672 - 9,663,322,672 - - 102,793,080 (73,932,132) - (268,064,401) - - - - 9,424,119,219 - other 4,881,306,363 - 4,881,306,363 - - 757,276,799 - - - - - 67,344,346 - 5,705,927,508 Valuation reserves 395,151,135 - 395,151,135 - - 50,035,892 - - - - - - 348,531,177 793,718,204 Equity instruments 6,841,367,977 - 6,841,367,977 - - - - - - (246,670,938) - - - 6,594,697,039 Treasury shares (2,440,001) - (2,440,001) - - - 181,128,527 (378,153,539) - - - - - (199,465,013) Profit (Loss) for the year (2,731,812,286) - (2,731,812,286) 2,731,812,286 - - - - - - - - 10,366,195,750 10,366,195,750 Shareholders’ equity 49,492,820,582 - 49,492,820,582 - - (298,030,138) 181,128,527 (378,153,539) (268,064,401) (246,670,938) - 67,344,346 10,714,726,927 59,265,101,366 Statement of changes in shareholders’e equity The changes in the year of the item "Treasury shares" refer to the purchases of UniCredit ordinary shares executed under the share buy-back programs and the subsequent cancellation of the shares purchased with no reduction in the nominal share capital, as per the authorisation granted by the Shareholders' Meeting on 15 April 2021; the positive change due to the cancellation of the treasury shares is conventionally reported in the column “issue of new shares”. The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares connected with the ESOP Plans and other Group Executive Incentive Plans. Company financial statements | Company accounts Company accounts 596 2021 Annual Report and Accounts · UniCredit Statement of changes in the shareholders' equity as at 31 December 2021 (€) CHANGE IN OPENING BALANCE PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR CHANGES IN RESERVES SHAREHOLDERS' EQUITY TRANSACTIONS 2021 RESERVES DIVIDENDS AND OTHER ALLOCATIONS ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS 12.31.2021 12.31.2020 01.01.2021 OTHER COMPREHENSIVE INCOME SHAREHOLDERS' EQUITY AS AT BALANCE AS AT BALANCE AS AT Share capital: 21,059,536,950 - 21,059,536,950 - - - 73,932,132 - - - - - - 21,133,469,082 - ordinary shares 21,059,536,950 - 21,059,536,950 - - - 73,932,132 - - - - - - 21,133,469,082 - other shares - - - - - - - - - - - - - - Share premium 9,386,387,772 - 9,386,387,772 (2,731,812,286) - (1,208,135,909) - - - - - - - 5,446,439,577 Reserves: 14,544,629,035 - 14,544,629,035 - - 860,069,879 (73,932,132) - (268,064,401) - - 67,344,346 - 15,130,046,727 - from profits 9,663,322,672 - 9,663,322,672 - - 102,793,080 (73,932,132) - (268,064,401) - - - - 9,424,119,219 - other 4,881,306,363 - 4,881,306,363 - - 757,276,799 - - - - - 67,344,346 - 5,705,927,508 Valuation reserves 395,151,135 - 395,151,135 - - 50,035,892 - - - - - - 348,531,177 793,718,204 Equity instruments 6,841,367,977 - 6,841,367,977 - - - - - - (246,670,938) - - - 6,594,697,039 Treasury shares (2,440,001) - (2,440,001) - - - 181,128,527 (378,153,539) - - - - - (199,465,013) Profit (Loss) for the year (2,731,812,286) - (2,731,812,286) 2,731,812,286 - - - - - - - - 10,366,195,750 10,366,195,750 Shareholders’ equity 49,492,820,582 - 49,492,820,582 - - (298,030,138) 181,128,527 (378,153,539) (268,064,401) (246,670,938) - 67,344,346 10,714,726,927 59,265,101,366 Statement of changes in shareholders’e equity The changes in the year of the item "Treasury shares" refer to the purchases of UniCredit ordinary shares executed under the share buy-back programs and the subsequent cancellation of the shares purchased with no reduction in the nominal share capital, as per the authorisation granted by the Shareholders' Meeting on 15 April 2021; the positive change due to the cancellation of the treasury shares is conventionally reported in the column “issue of new shares”. The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares connected with the ESOP Plans and other Group Executive Incentive Plans. Company financial statements | Company accounts Company accounts 596 2021 Annual Report and Accounts · UniCredit Statement of changes in the shareholders' equity as at 31 December 2021 (€) CHANGE IN OPENING BALANCE PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR CHANGES IN RESERVES SHAREHOLDERS' EQUITY TRANSACTIONS 2021 RESERVES DIVIDENDS AND OTHER ALLOCATIONS ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS 12.31.2021 12.31.2020 01.01.2021 OTHER COMPREHENSIVE INCOME SHAREHOLDERS' EQUITY AS AT BALANCE AS AT BALANCE AS AT Share capital: 21,059,536,950 - 21,059,536,950 - - - 73,932,132 - - - - - - 21,133,469,082 - ordinary shares 21,059,536,950 - 21,059,536,950 - - - 73,932,132 - - - - - - 21,133,469,082 - other shares - - - - - - - - - - - - - - Share premium 9,386,387,772 - 9,386,387,772 (2,731,812,286) - (1,208,135,909) - - - - - - - 5,446,439,577 Reserves: 14,544,629,035 - 14,544,629,035 - - 860,069,879 (73,932,132) - (268,064,401) - - 67,344,346 - 15,130,046,727 - from profits 9,663,322,672 - 9,663,322,672 - - 102,793,080 (73,932,132) - (268,064,401) - - - - 9,424,119,219 - other 4,881,306,363 - 4,881,306,363 - - 757,276,799 - - - - - 67,344,346 - 5,705,927,508 Valuation reserves 395,151,135 - 395,151,135 - - 50,035,892 - - - - - - 348,531,177 793,718,204 Equity instruments 6,841,367,977 - 6,841,367,977 - - - - - - (246,670,938) - - - 6,594,697,039 Treasury shares (2,440,001) - (2,440,001) - - - 181,128,527 (378,153,539) - - - - - (199,465,013) Profit (Loss) for the year (2,731,812,286) - (2,731,812,286) 2,731,812,286 - - - - - - - - 10,366,195,750 10,366,195,750 Shareholders’ equity 49,492,820,582 - 49,492,820,582 - - (298,030,138) 181,128,527 (378,153,539) (268,064,401) (246,670,938) - 67,344,346 10,714,726,927 59,265,101,366 Statement of changes in shareholders’e equity The changes in the year of the item "Treasury shares" refer to the purchases of UniCredit ordinary shares executed under the share buy-back programs and the subsequent cancellation of the shares purchased with no reduction in the nominal share capital, as per the authorisation granted by the Shareholders' Meeting on 15 April 2021; the positive change due to the cancellation of the treasury shares is conventionally reported in the column “issue of new shares”. The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares connected with the ESOP Plans and other Group Executive Incentive Plans. Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 597 Statement of changes in the shareholders' equity as at 31 December 2020 (€) CHANGE IN OPENING BALANCE PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR CHANGES IN RESERVES SHAREHOLDERS' EQUITY TRANSACTIONS 2020 RESERVES DIVIDENDS AND OTHER ALLOCATIONS ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS 12.31.2020 12.31.2019 01.01.2020 OTHER COMPREHENSIVE INCOME SHAREHOLDERS' EQUITY AS AT BALANCE AS AT BALANCE AS AT Share capital: 20,994,799,962 - 20,994,799,962 - - - 64,736,988 - - - - - - 21,059,536,950 - ordinary shares 20,994,799,962 - 20,994,799,962 - - - 64,736,988 - - - - - - 21,059,536,950 - other shares - - - - - - - - - - - - - - Share premium 13,224,956,198 - 13,224,956,198 (555,260,165) - (3,283,308,261) - - - - - - - 9,386,387,772 Reserves: 11,783,312,155 - 11,783,312,155 - - 2,775,704,673 (64,736,988) - - - - 50,349,195 - 14,544,629,035 - from profits 7,108,142,661 - 7,108,142,661 - - 2,619,916,999 (64,736,988) - - - - - - 9,663,322,672 - other 4,675,169,494 - 4,675,169,494 - - 155,787,674 - - - - - 50,349,195 - 4,881,306,363 Valuation reserves 472,051,927 - 472,051,927 - - - - - - - - - (76,900,792) 395,151,135 Equity instruments 5,601,632,491 - 5,601,632,491 - - - - - - 1,239,735,486 - - - 6,841,367,977 Treasury shares (2,440,001) - (2,440,001) - - - - - - - - - - (2,440,001) Profit (Loss) for the year (555,260,165) - (555,260,165) 555,260,165 - - - - - - - - (2,731,812,286) (2,731,812,286) Shareholders’ equity 51,519,052,567 - 51,519,052,567 - - (507,603,588) - - - 1,239,735,486 - 50,349,195 (2,808,713,078) 49,492,820,582 Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 597 Statement of changes in the shareholders' equity as at 31 December 2020 (€) CHANGE IN OPENING BALANCE PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR CHANGES IN RESERVES SHAREHOLDERS' EQUITY TRANSACTIONS 2020 RESERVES DIVIDENDS AND OTHER ALLOCATIONS ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS 12.31.2020 12.31.2019 01.01.2020 OTHER COMPREHENSIVE INCOME SHAREHOLDERS' EQUITY AS AT BALANCE AS AT BALANCE AS AT Share capital: 20,994,799,962 - 20,994,799,962 - - - 64,736,988 - - - - - - 21,059,536,950 - ordinary shares 20,994,799,962 - 20,994,799,962 - - - 64,736,988 - - - - - - 21,059,536,950 - other shares - - - - - - - - - - - - - - Share premium 13,224,956,198 - 13,224,956,198 (555,260,165) - (3,283,308,261) - - - - - - - 9,386,387,772 Reserves: 11,783,312,155 - 11,783,312,155 - - 2,775,704,673 (64,736,988) - - - - 50,349,195 - 14,544,629,035 - from profits 7,108,142,661 - 7,108,142,661 - - 2,619,916,999 (64,736,988) - - - - - - 9,663,322,672 - other 4,675,169,494 - 4,675,169,494 - - 155,787,674 - - - - - 50,349,195 - 4,881,306,363 Valuation reserves 472,051,927 - 472,051,927 - - - - - - - - - (76,900,792) 395,151,135 Equity instruments 5,601,632,491 - 5,601,632,491 - - - - - - 1,239,735,486 - - - 6,841,367,977 Treasury shares (2,440,001) - (2,440,001) - - - - - - - - - - (2,440,001) Profit (Loss) for the year (555,260,165) - (555,260,165) 555,260,165 - - - - - - - - (2,731,812,286) (2,731,812,286) Shareholders’ equity 51,519,052,567 - 51,519,052,567 - - (507,603,588) - - - 1,239,735,486 - 50,349,195 (2,808,713,078) 49,492,820,582 Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 597 Statement of changes in the shareholders' equity as at 31 December 2020 (€) CHANGE IN OPENING BALANCE PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR CHANGES IN RESERVES SHAREHOLDERS' EQUITY TRANSACTIONS 2020 RESERVES DIVIDENDS AND OTHER ALLOCATIONS ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS 12.31.2020 12.31.2019 01.01.2020 OTHER COMPREHENSIVE INCOME SHAREHOLDERS' EQUITY AS AT BALANCE AS AT BALANCE AS AT Share capital: 20,994,799,962 - 20,994,799,962 - - - 64,736,988 - - - - - - 21,059,536,950 - ordinary shares 20,994,799,962 - 20,994,799,962 - - - 64,736,988 - - - - - - 21,059,536,950 - other shares - - - - - - - - - - - - - - Share premium 13,224,956,198 - 13,224,956,198 (555,260,165) - (3,283,308,261) - - - - - - - 9,386,387,772 Reserves: 11,783,312,155 - 11,783,312,155 - - 2,775,704,673 (64,736,988) - - - - 50,349,195 - 14,544,629,035 - from profits 7,108,142,661 - 7,108,142,661 - - 2,619,916,999 (64,736,988) - - - - - - 9,663,322,672 - other 4,675,169,494 - 4,675,169,494 - - 155,787,674 - - - - - 50,349,195 - 4,881,306,363 Valuation reserves 472,051,927 - 472,051,927 - - - - - - - - - (76,900,792) 395,151,135 Equity instruments 5,601,632,491 - 5,601,632,491 - - - - - - 1,239,735,486 - - - 6,841,367,977 Treasury shares (2,440,001) - (2,440,001) - - - - - - - - - - (2,440,001) Profit (Loss) for the year (555,260,165) - (555,260,165) 555,260,165 - - - - - - - - (2,731,812,286) (2,731,812,286) Shareholders’ equity 51,519,052,567 - 51,519,052,567 - - (507,603,588) - - - 1,239,735,486 - 50,349,195 (2,808,713,078) 49,492,820,582 Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 597 Statement of changes in the shareholders' equity as at 31 December 2020 (€) CHANGE IN OPENING BALANCE PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR CHANGES IN RESERVES SHAREHOLDERS' EQUITY TRANSACTIONS 2020 RESERVES DIVIDENDS AND OTHER ALLOCATIONS ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS 12.31.2020 12.31.2019 01.01.2020 OTHER COMPREHENSIVE INCOME SHAREHOLDERS' EQUITY AS AT BALANCE AS AT BALANCE AS AT Share capital: 20,994,799,962 - 20,994,799,962 - - - 64,736,988 - - - - - - 21,059,536,950 - ordinary shares 20,994,799,962 - 20,994,799,962 - - - 64,736,988 - - - - - - 21,059,536,950 - other shares - - - - - - - - - - - - - - Share premium 13,224,956,198 - 13,224,956,198 (555,260,165) - (3,283,308,261) - - - - - - - 9,386,387,772 Reserves: 11,783,312,155 - 11,783,312,155 - - 2,775,704,673 (64,736,988) - - - - 50,349,195 - 14,544,629,035 - from profits 7,108,142,661 - 7,108,142,661 - - 2,619,916,999 (64,736,988) - - - - - - 9,663,322,672 - other 4,675,169,494 - 4,675,169,494 - - 155,787,674 - - - - - 50,349,195 - 4,881,306,363 Valuation reserves 472,051,927 - 472,051,927 - - - - - - - - - (76,900,792) 395,151,135 Equity instruments 5,601,632,491 - 5,601,632,491 - - - - - - 1,239,735,486 - - - 6,841,367,977 Treasury shares (2,440,001) - (2,440,001) - - - - - - - - - - (2,440,001) Profit (Loss) for the year (555,260,165) - (555,260,165) 555,260,165 - - - - - - - - (2,731,812,286) (2,731,812,286) Shareholders’ equity 51,519,052,567 - 51,519,052,567 - - (507,603,588) - - - 1,239,735,486 - 50,349,195 (2,808,713,078) 49,492,820,582 Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 597 Statement of changes in the shareholders' equity as at 31 December 2020 (€) CHANGE IN OPENING BALANCE PREVIOUS YEAR PROFIT (LOSS) ALLOCATION CHANGES IN THE YEAR CHANGES IN RESERVES SHAREHOLDERS' EQUITY TRANSACTIONS 2020 RESERVES DIVIDENDS AND OTHER ALLOCATIONS ISSUE OF NEW SHARES PURCHASE OF TREASURY SHARES DIVIDENDS EXTRAORDINARY DISTRIBUTION CHANGE IN EQUITY INSTRUMENTS TREASURY SHARES DERIVATIVES STOCK OPTIONS 12.31.2020 12.31.2019 01.01.2020 OTHER COMPREHENSIVE INCOME SHAREHOLDERS' EQUITY AS AT BALANCE AS AT BALANCE AS AT Share capital: 20,994,799,962 - 20,994,799,962 - - - 64,736,988 - - - - - - 21,059,536,950 - ordinary shares 20,994,799,962 - 20,994,799,962 - - - 64,736,988 - - - - - - 21,059,536,950 - other shares - - - - - - - - - - - - - - Share premium 13,224,956,198 - 13,224,956,198 (555,260,165) - (3,283,308,261) - - - - - - - 9,386,387,772 Reserves: 11,783,312,155 - 11,783,312,155 - - 2,775,704,673 (64,736,988) - - - - 50,349,195 - 14,544,629,035 - from profits 7,108,142,661 - 7,108,142,661 - - 2,619,916,999 (64,736,988) - - - - - - 9,663,322,672 - other 4,675,169,494 - 4,675,169,494 - - 155,787,674 - - - - - 50,349,195 - 4,881,306,363 Valuation reserves 472,051,927 - 472,051,927 - - - - - - - - - (76,900,792) 395,151,135 Equity instruments 5,601,632,491 - 5,601,632,491 - - - - - - 1,239,735,486 - - - 6,841,367,977 Treasury shares (2,440,001) - (2,440,001) - - - - - - - - - - (2,440,001) Profit (Loss) for the year (555,260,165) - (555,260,165) 555,260,165 - - - - - - - - (2,731,812,286) (2,731,812,286) Shareholders’ equity 51,519,052,567 - 51,519,052,567 - - (507,603,588) - - - 1,239,735,486 - 50,349,195 (2,808,713,078) 49,492,820,582 Company financial statements | Company accounts Company accounts 598 2021 Annual Report and Accounts · UniCredit Cash flow statement Cash flow statement (indirect method) (€) YEAR 2021 2020 A. OPERATING ACTIVITIES 1. Operations: 3,630,051,609 3,575,357,423 - profit (loss) for the year (+/-) 10,366,195,750 (2,731,812,286) - gains/losses on financial assets held for trading and on other financial assets/liabilities at fair value through profit or loss (-/+) (559,589,459) 179,192,162 - gains (losses) on hedge accounting (-/+) 7,234,979 (4,280,686) - net impairment losses/writebacks on impairment for credit risk (+/-) 2,064,315,920 3,418,668,977 - net value adjustments/write-backs on property, plant and equipment and intangible assets (+/-) 349,233,199 363,380,571 - net provisions for risks and charges and other expenses/income (+/-) 84,355,926 33,374,735 - unpaid duties, taxes and tax credits (+/-) (943,037,396) (315,377,521) - impairment/write-backs after tax on discontinued operations (+/-) - - - other adjustments (+/-) (7,738,657,310) 2,632,211,471 2. Liquidity generated/absorbed by financial assets: 1,327,652,073 15,782,715,193 - financial assets held for trading (270,646,876) 2,183,826,420 - financial assets designated at fair value (16,213,945) (108,302,108) - other financial assets mandatorily at fair value (1,559,424,256) (2,329,906,659) - financial assets at fair value through other comprehensive income (6,372,999,587) (2,303,229,798) - financial assets at amortised cost 10,127,043,719 17,967,980,852 - other assets (580,106,982) 372,346,486 3. Liquidity generated/absorbed by financial liabilities: 4,951,625,636 35,677,430,537 - financial liabilities at amortised cost (949,514,933) 40,099,523,084 - financial liabilities held for trading 2,140,187,643 (4,712,853,576) - financial liabilities designated at fair value (770,771,919) 1,076,083,489 - other liabilities 4,531,724,845 (785,322,460) Net liquidity generated/absorbed by operating activities 9,909,329,318 55,035,503,153 B. INVESTMENT ACTIVITIES 1. Liquidity generated by: 976,712,387 4,117,963,523 - sales of equity investments 92,834,592 448,174,454 - collected dividends on equity investments 837,400,618 3,645,469,760 - sales of property, plant and equipment 46,477,177 24,319,309 - sales of intangible assets - - - sales of business units - - 2. Liquidity absorbed by: (126,176,041) (346,751,100) - purchases of equity investments (18,402,127) (215,556,850) - purchases of property, plant and equipment (104,856,654) (126,598,885) - purchases of intangible assets (2,917,260) (4,595,365) - purchases of business units - - Net liquidity generated/absorbed by investment activities 850,536,346 3,771,212,423 C. FUNDING ACTIVITIES - issue/purchase of treasury shares (378,153,540) - - issue/purchase of equity instruments (256,110,946) 1,239,735,486 - dividend distribution and other (770,581,260) (577,141,311) Net liquidity generated/absorbed by funding activities (1,404,845,746) 662,594,175 NET LIQUIDITY GENERATED/ABSORBED IN THE YEAR 9,355,019,918 59,469,309,751 Key: (+) generated; (-) absorbed. Company financial statements | Company accounts Company accounts 598 2021 Annual Report and Accounts · UniCredit Cash flow statement Cash flow statement (indirect method) (€) YEAR 2021 2020 A. OPERATING ACTIVITIES 1. Operations: 3,630,051,609 3,575,357,423 - profit (loss) for the year (+/-) 10,366,195,750 (2,731,812,286) - gains/losses on financial assets held for trading and on other financial assets/liabilities at fair value through profit or loss (-/+) (559,589,459) 179,192,162 - gains (losses) on hedge accounting (-/+) 7,234,979 (4,280,686) - net impairment losses/writebacks on impairment for credit risk (+/-) 2,064,315,920 3,418,668,977 - net value adjustments/write-backs on property, plant and equipment and intangible assets (+/-) 349,233,199 363,380,571 - net provisions for risks and charges and other expenses/income (+/-) 84,355,926 33,374,735 - unpaid duties, taxes and tax credits (+/-) (943,037,396) (315,377,521) - impairment/write-backs after tax on discontinued operations (+/-) - - - other adjustments (+/-) (7,738,657,310) 2,632,211,471 2. Liquidity generated/absorbed by financial assets: 1,327,652,073 15,782,715,193 - financial assets held for trading (270,646,876) 2,183,826,420 - financial assets designated at fair value (16,213,945) (108,302,108) - other financial assets mandatorily at fair value (1,559,424,256) (2,329,906,659) - financial assets at fair value through other comprehensive income (6,372,999,587) (2,303,229,798) - financial assets at amortised cost 10,127,043,719 17,967,980,852 - other assets (580,106,982) 372,346,486 3. Liquidity generated/absorbed by financial liabilities: 4,951,625,636 35,677,430,537 - financial liabilities at amortised cost (949,514,933) 40,099,523,084 - financial liabilities held for trading 2,140,187,643 (4,712,853,576) - financial liabilities designated at fair value (770,771,919) 1,076,083,489 - other liabilities 4,531,724,845 (785,322,460) Net liquidity generated/absorbed by operating activities 9,909,329,318 55,035,503,153 B. INVESTMENT ACTIVITIES 1. Liquidity generated by: 976,712,387 4,117,963,523 - sales of equity investments 92,834,592 448,174,454 - collected dividends on equity investments 837,400,618 3,645,469,760 - sales of property, plant and equipment 46,477,177 24,319,309 - sales of intangible assets - - - sales of business units - - 2. Liquidity absorbed by: (126,176,041) (346,751,100) - purchases of equity investments (18,402,127) (215,556,850) - purchases of property, plant and equipment (104,856,654) (126,598,885) - purchases of intangible assets (2,917,260) (4,595,365) - purchases of business units - - Net liquidity generated/absorbed by investment activities 850,536,346 3,771,212,423 C. FUNDING ACTIVITIES - issue/purchase of treasury shares (378,153,540) - - issue/purchase of equity instruments (256,110,946) 1,239,735,486 - dividend distribution and other (770,581,260) (577,141,311) Net liquidity generated/absorbed by funding activities (1,404,845,746) 662,594,175 NET LIQUIDITY GENERATED/ABSORBED IN THE YEAR 9,355,019,918 59,469,309,751 Key: (+) generated; (-) absorbed. Company financial statements | Company accounts Company accounts 598 2021 Annual Report and Accounts · UniCredit Cash flow statement Cash flow statement (indirect method) (€) YEAR 2021 2020 A. OPERATING ACTIVITIES 1. Operations: 3,630,051,609 3,575,357,423 - profit (loss) for the year (+/-) 10,366,195,750 (2,731,812,286) - gains/losses on financial assets held for trading and on other financial assets/liabilities at fair value through profit or loss (-/+) (559,589,459) 179,192,162 - gains (losses) on hedge accounting (-/+) 7,234,979 (4,280,686) - net impairment losses/writebacks on impairment for credit risk (+/-) 2,064,315,920 3,418,668,977 - net value adjustments/write-backs on property, plant and equipment and intangible assets (+/-) 349,233,199 363,380,571 - net provisions for risks and charges and other expenses/income (+/-) 84,355,926 33,374,735 - unpaid duties, taxes and tax credits (+/-) (943,037,396) (315,377,521) - impairment/write-backs after tax on discontinued operations (+/-) - - - other adjustments (+/-) (7,738,657,310) 2,632,211,471 2. Liquidity generated/absorbed by financial assets: 1,327,652,073 15,782,715,193 - financial assets held for trading (270,646,876) 2,183,826,420 - financial assets designated at fair value (16,213,945) (108,302,108) - other financial assets mandatorily at fair value (1,559,424,256) (2,329,906,659) - financial assets at fair value through other comprehensive income (6,372,999,587) (2,303,229,798) - financial assets at amortised cost 10,127,043,719 17,967,980,852 - other assets (580,106,982) 372,346,486 3. Liquidity generated/absorbed by financial liabilities: 4,951,625,636 35,677,430,537 - financial liabilities at amortised cost (949,514,933) 40,099,523,084 - financial liabilities held for trading 2,140,187,643 (4,712,853,576) - financial liabilities designated at fair value (770,771,919) 1,076,083,489 - other liabilities 4,531,724,845 (785,322,460) Net liquidity generated/absorbed by operating activities 9,909,329,318 55,035,503,153 B. INVESTMENT ACTIVITIES 1. Liquidity generated by: 976,712,387 4,117,963,523 - sales of equity investments 92,834,592 448,174,454 - collected dividends on equity investments 837,400,618 3,645,469,760 - sales of property, plant and equipment 46,477,177 24,319,309 - sales of intangible assets - - - sales of business units - - 2. Liquidity absorbed by: (126,176,041) (346,751,100) - purchases of equity investments (18,402,127) (215,556,850) - purchases of property, plant and equipment (104,856,654) (126,598,885) - purchases of intangible assets (2,917,260) (4,595,365) - purchases of business units - - Net liquidity generated/absorbed by investment activities 850,536,346 3,771,212,423 C. FUNDING ACTIVITIES - issue/purchase of treasury shares (378,153,540) - - issue/purchase of equity instruments (256,110,946) 1,239,735,486 - dividend distribution and other (770,581,260) (577,141,311) Net liquidity generated/absorbed by funding activities (1,404,845,746) 662,594,175 NET LIQUIDITY GENERATED/ABSORBED IN THE YEAR 9,355,019,918 59,469,309,751 Key: (+) generated; (-) absorbed. Company financial statements | Company accounts Company accounts 598 2021 Annual Report and Accounts · UniCredit Cash flow statement Cash flow statement (indirect method) (€) YEAR 2021 2020 A. OPERATING ACTIVITIES 1. Operations: 3,630,051,609 3,575,357,423 - profit (loss) for the year (+/-) 10,366,195,750 (2,731,812,286) - gains/losses on financial assets held for trading and on other financial assets/liabilities at fair value through profit or loss (-/+) (559,589,459) 179,192,162 - gains (losses) on hedge accounting (-/+) 7,234,979 (4,280,686) - net impairment losses/writebacks on impairment for credit risk (+/-) 2,064,315,920 3,418,668,977 - net value adjustments/write-backs on property, plant and equipment and intangible assets (+/-) 349,233,199 363,380,571 - net provisions for risks and charges and other expenses/income (+/-) 84,355,926 33,374,735 - unpaid duties, taxes and tax credits (+/-) (943,037,396) (315,377,521) - impairment/write-backs after tax on discontinued operations (+/-) - - - other adjustments (+/-) (7,738,657,310) 2,632,211,471 2. Liquidity generated/absorbed by financial assets: 1,327,652,073 15,782,715,193 - financial assets held for trading (270,646,876) 2,183,826,420 - financial assets designated at fair value (16,213,945) (108,302,108) - other financial assets mandatorily at fair value (1,559,424,256) (2,329,906,659) - financial assets at fair value through other comprehensive income (6,372,999,587) (2,303,229,798) - financial assets at amortised cost 10,127,043,719 17,967,980,852 - other assets (580,106,982) 372,346,486 3. Liquidity generated/absorbed by financial liabilities: 4,951,625,636 35,677,430,537 - financial liabilities at amortised cost (949,514,933) 40,099,523,084 - financial liabilities held for trading 2,140,187,643 (4,712,853,576) - financial liabilities designated at fair value (770,771,919) 1,076,083,489 - other liabilities 4,531,724,845 (785,322,460) Net liquidity generated/absorbed by operating activities 9,909,329,318 55,035,503,153 B. INVESTMENT ACTIVITIES 1. Liquidity generated by: 976,712,387 4,117,963,523 - sales of equity investments 92,834,592 448,174,454 - collected dividends on equity investments 837,400,618 3,645,469,760 - sales of property, plant and equipment 46,477,177 24,319,309 - sales of intangible assets - - - sales of business units - - 2. Liquidity absorbed by: (126,176,041) (346,751,100) - purchases of equity investments (18,402,127) (215,556,850) - purchases of property, plant and equipment (104,856,654) (126,598,885) - purchases of intangible assets (2,917,260) (4,595,365) - purchases of business units - - Net liquidity generated/absorbed by investment activities 850,536,346 3,771,212,423 C. FUNDING ACTIVITIES - issue/purchase of treasury shares (378,153,540) - - issue/purchase of equity instruments (256,110,946) 1,239,735,486 - dividend distribution and other (770,581,260) (577,141,311) Net liquidity generated/absorbed by funding activities (1,404,845,746) 662,594,175 NET LIQUIDITY GENERATED/ABSORBED IN THE YEAR 9,355,019,918 59,469,309,751 Key: (+) generated; (-) absorbed. Company financial statements | Company accounts Company accounts 598 2021 Annual Report and Accounts · UniCredit Cash flow statement Cash flow statement (indirect method) (€) YEAR 2021 2020 A. OPERATING ACTIVITIES 1. Operations: 3,630,051,609 3,575,357,423 - profit (loss) for the year (+/-) 10,366,195,750 (2,731,812,286) - gains/losses on financial assets held for trading and on other financial assets/liabilities at fair value through profit or loss (-/+) (559,589,459) 179,192,162 - gains (losses) on hedge accounting (-/+) 7,234,979 (4,280,686) - net impairment losses/writebacks on impairment for credit risk (+/-) 2,064,315,920 3,418,668,977 - net value adjustments/write-backs on property, plant and equipment and intangible assets (+/-) 349,233,199 363,380,571 - net provisions for risks and charges and other expenses/income (+/-) 84,355,926 33,374,735 - unpaid duties, taxes and tax credits (+/-) (943,037,396) (315,377,521) - impairment/write-backs after tax on discontinued operations (+/-) - - - other adjustments (+/-) (7,738,657,310) 2,632,211,471 2. Liquidity generated/absorbed by financial assets: 1,327,652,073 15,782,715,193 - financial assets held for trading (270,646,876) 2,183,826,420 - financial assets designated at fair value (16,213,945) (108,302,108) - other financial assets mandatorily at fair value (1,559,424,256) (2,329,906,659) - financial assets at fair value through other comprehensive income (6,372,999,587) (2,303,229,798) - financial assets at amortised cost 10,127,043,719 17,967,980,852 - other assets (580,106,982) 372,346,486 3. Liquidity generated/absorbed by financial liabilities: 4,951,625,636 35,677,430,537 - financial liabilities at amortised cost (949,514,933) 40,099,523,084 - financial liabilities held for trading 2,140,187,643 (4,712,853,576) - financial liabilities designated at fair value (770,771,919) 1,076,083,489 - other liabilities 4,531,724,845 (785,322,460) Net liquidity generated/absorbed by operating activities 9,909,329,318 55,035,503,153 B. INVESTMENT ACTIVITIES 1. Liquidity generated by: 976,712,387 4,117,963,523 - sales of equity investments 92,834,592 448,174,454 - collected dividends on equity investments 837,400,618 3,645,469,760 - sales of property, plant and equipment 46,477,177 24,319,309 - sales of intangible assets - - - sales of business units - - 2. Liquidity absorbed by: (126,176,041) (346,751,100) - purchases of equity investments (18,402,127) (215,556,850) - purchases of property, plant and equipment (104,856,654) (126,598,885) - purchases of intangible assets (2,917,260) (4,595,365) - purchases of business units - - Net liquidity generated/absorbed by investment activities 850,536,346 3,771,212,423 C. FUNDING ACTIVITIES - issue/purchase of treasury shares (378,153,540) - - issue/purchase of equity instruments (256,110,946) 1,239,735,486 - dividend distribution and other (770,581,260) (577,141,311) Net liquidity generated/absorbed by funding activities (1,404,845,746) 662,594,175 NET LIQUIDITY GENERATED/ABSORBED IN THE YEAR 9,355,019,918 59,469,309,751 Key: (+) generated; (-) absorbed. Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 599 Reconciliation (€) YEAR ITEMS 2021 2020 Cash and cash balances at the beginning of the year 63,334,055,786 3,934,040,177 Net liquidity generated/absorbed in the year 9,355,019,918 59,469,309,751 Cash and cash balances: foreign exchange effect 140,736,381 (69,294,142) Cash and cash balances at the end of the year 72,829,812,085 63,334,055,786 The item "Cash and cash balances" refers to the definition according to Banca d’Italia (Circular No.262 of 22 December 2005 and subsequent amendments) and is mainly related to “Current accounts and Demand deposits with Central Banks” for €70 billion. Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 599 Reconciliation (€) YEAR ITEMS 2021 2020 Cash and cash balances at the beginning of the year 63,334,055,786 3,934,040,177 Net liquidity generated/absorbed in the year 9,355,019,918 59,469,309,751 Cash and cash balances: foreign exchange effect 140,736,381 (69,294,142) Cash and cash balances at the end of the year 72,829,812,085 63,334,055,786 The item "Cash and cash balances" refers to the definition according to Banca d’Italia (Circular No.262 of 22 December 2005 and subsequent amendments) and is mainly related to “Current accounts and Demand deposits with Central Banks” for €70 billion. Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 599 Reconciliation (€) YEAR ITEMS 2021 2020 Cash and cash balances at the beginning of the year 63,334,055,786 3,934,040,177 Net liquidity generated/absorbed in the year 9,355,019,918 59,469,309,751 Cash and cash balances: foreign exchange effect 140,736,381 (69,294,142) Cash and cash balances at the end of the year 72,829,812,085 63,334,055,786 The item "Cash and cash balances" refers to the definition according to Banca d’Italia (Circular No.262 of 22 December 2005 and subsequent amendments) and is mainly related to “Current accounts and Demand deposits with Central Banks” for €70 billion. Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 599 Reconciliation (€) YEAR ITEMS 2021 2020 Cash and cash balances at the beginning of the year 63,334,055,786 3,934,040,177 Net liquidity generated/absorbed in the year 9,355,019,918 59,469,309,751 Cash and cash balances: foreign exchange effect 140,736,381 (69,294,142) Cash and cash balances at the end of the year 72,829,812,085 63,334,055,786 The item "Cash and cash balances" refers to the definition according to Banca d’Italia (Circular No.262 of 22 December 2005 and subsequent amendments) and is mainly related to “Current accounts and Demand deposits with Central Banks” for €70 billion. Company financial statements | Company accounts Company accounts UniCredit · 2021 Annual Report and Accounts 599 Reconciliation (€) YEAR ITEMS 2021 2020 Cash and cash balances at the beginning of the year 63,334,055,786 3,934,040,177 Net liquidity generated/absorbed in the year 9,355,019,918 59,469,309,751 Cash and cash balances: foreign exchange effect 140,736,381 (69,294,142) Cash and cash balances at the end of the year 72,829,812,085 63,334,055,786 The item "Cash and cash balances" refers to the definition according to Banca d’Italia (Circular No.262 of 22 December 2005 and subsequent amendments) and is mainly related to “Current accounts and Demand deposits with Central Banks” for €70 billion.  600 2021 Annual Report and Accounts · UniCredit 600 2021 Annual Report and Accounts · UniCredit 600 2021 Annual Report and Accounts · UniCredit 600 2021 Annual Report and Accounts · UniCredit 600 2021 Annual Report and Accounts · UniCredit Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 601 Notes to the accounts Part A - Accounting policies A.1 - General Section 1 - Statement of compliance with IFRS These Company financial statements have been prepared in accordance with the IFRS issued by the International Accounting Standards Board (IASB), including the interpretation documents issued by the SIC and the IFRIC, and endorsed by the European Commission up to 31 December 2021, pursuant to EU Regulation No.1606/2002 which was incorporated into Italian legislation through Legislative Decree No.38 of 28 February 2005 (see Section 4 - Other matters). These financial statements are an integral part of the Annual financial statements as required by Art.154-ter, par.1 of the Single Finance Act (Consolidated Law on Finance - TUF, Legislative Decree No.58 of 24 February 1998). In Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), with regard to the banks and financial institutions subject to supervision, Banca d’Italia has established the formats for the financial statements and Notes to the accounts used to prepare these Company financial statements. Banca d’Italia issued on 29 October 2021 the 7th update of its Circular No.262 that amends the formats of certain tables of the Notes to the accounts and preparation rules with the main objective to align financial statements information with Regulatory reporting (FINREP). Such update has been integrated by the 21 December 2021 Banca d’Italia Communication “Update of integration to Circular No.262 requirements - Banks financial statements: schemes and compilation rules” which has updated the information to be reported with regard to impacts coming from Covid-19 and related relief and support measures. Section 2 - General Preparation Criteria As mentioned above, these “Company financial statements as at 31 December 2021” have been prepared in accordance with the international accounting standards endorsed by the European Commission. The following documents have been used to interpret and support the application of such accounting standards, even though they have not all been endorsed by the European Commission: • The Conceptual Framework for Financial Reporting; • Implementation Guidance, Basis for Conclusions, IFRICs and the documents prepared by either the IASB (including the IFRS Foundation communication of 27 March 2020 concerning "IFRS9 and Covid-19") or the International Financial Reporting Interpretations Committee (IFRIC) supplementing the IFRS; • Interpretative documents on the application of the IAS/IFRS in Italy prepared by the Organismo Italiano di Contabilità (the Italian Standard Setter; OIC) and Associazione Bancaria Italiana (Italian Banking Association, that is the trade association of Italian banks; ABI); • Coordination Table between Banca d'Italia, Consob ed Ivass with regard to the application of IAS/IFRS, in particular the Document n.9, dated 5 January 2021, Accounting Treatment of tax credits connected with the “Cura Italia” and “Rilancio” Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers (“Trattamento contabile dei crediti d’imposta connessi con i Decreti Legge “Cura Italia” e “Rilancio” acquistati a seguito di cessione da parte dei beneficiari diretti o di precedenti acquirenti”); • ESMA (European Securities and Markets Authority), European Banking Authority, European Central Bank and Consob documents on the application of specific IAS/IFRS provisions also with specific reference to the presentation of the effects arising from Covid-19 pandemic and their effects on the evaluation processes. In particular, it shall be made reference to the ESMA statements dated 25 March 2020, 20 May 2020, 28 October 2020 and 29 October 2021, to the European Central Bank statements dated 1 April 2020 and 4 December 2020, to the European Banking Authority statements dated 25 March 2020, 2 April 2020, 2 June 2020 and 2 December 2020, and to Consob “Call for attention" dated 16 February 2021. The content of these statements, when relevant, has been reported in “Section 4 - Other matters” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part A - Accounting policies, A.1 General, in the context of the description of the evaluation choices made by the Bank as at 31 December 2021. The Company financial statements include the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in shareholders’ equity, the Cash flow statement (compiled using the “indirect method”) and the Notes to the accounts, together with the Report on operations and Annexes. The schemes and Notes of the “Company financial statements as at 31 December 2021” are in line with Banca d’Italia templates as prescribed by Circular 262 dated 22 December 2005 (7th update of 29 October 2021) as well as 21 December 2021 communication on impacts of Covid-19 and measures to support the economy, and they present comparative figures, as at 31 December 2020. More specifically, 2020 comparative figures have been recasted, when required, in order to reflect the mentioned Banca d’Italia Circular 262 updates. Main changes relate to (i) the reclassification of sight deposits and Current accounts toward Banks and Central Banks into item Cash and cash balances, (ii) the specific and separate disclosure of Financial assets purchased or originated credit impaired, (iii) the disclosure in the tables reporting Covid-19 measures of the loans under moratorium no longer compliant to the Guidelines requirements and not valued as forborne exposure and (iv) the update of the tables related to commissions. Unless otherwise specified, figures in the Company accounts are given in units of euro and the Notes to the accounts in millions of euros. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 601 Notes to the accounts Part A - Accounting policies A.1 - General Section 1 - Statement of compliance with IFRS These Company financial statements have been prepared in accordance with the IFRS issued by the International Accounting Standards Board (IASB), including the interpretation documents issued by the SIC and the IFRIC, and endorsed by the European Commission up to 31 December 2021, pursuant to EU Regulation No.1606/2002 which was incorporated into Italian legislation through Legislative Decree No.38 of 28 February 2005 (see Section 4 - Other matters). These financial statements are an integral part of the Annual financial statements as required by Art.154-ter, par.1 of the Single Finance Act (Consolidated Law on Finance - TUF, Legislative Decree No.58 of 24 February 1998). In Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), with regard to the banks and financial institutions subject to supervision, Banca d’Italia has established the formats for the financial statements and Notes to the accounts used to prepare these Company financial statements. Banca d’Italia issued on 29 October 2021 the 7th update of its Circular No.262 that amends the formats of certain tables of the Notes to the accounts and preparation rules with the main objective to align financial statements information with Regulatory reporting (FINREP). Such update has been integrated by the 21 December 2021 Banca d’Italia Communication “Update of integration to Circular No.262 requirements - Banks financial statements: schemes and compilation rules” which has updated the information to be reported with regard to impacts coming from Covid-19 and related relief and support measures. Section 2 - General Preparation Criteria As mentioned above, these “Company financial statements as at 31 December 2021” have been prepared in accordance with the international accounting standards endorsed by the European Commission. The following documents have been used to interpret and support the application of such accounting standards, even though they have not all been endorsed by the European Commission: • The Conceptual Framework for Financial Reporting; • Implementation Guidance, Basis for Conclusions, IFRICs and the documents prepared by either the IASB (including the IFRS Foundation communication of 27 March 2020 concerning "IFRS9 and Covid-19") or the International Financial Reporting Interpretations Committee (IFRIC) supplementing the IFRS; • Interpretative documents on the application of the IAS/IFRS in Italy prepared by the Organismo Italiano di Contabilità (the Italian Standard Setter; OIC) and Associazione Bancaria Italiana (Italian Banking Association, that is the trade association of Italian banks; ABI); • Coordination Table between Banca d'Italia, Consob ed Ivass with regard to the application of IAS/IFRS, in particular the Document n.9, dated 5 January 2021, Accounting Treatment of tax credits connected with the “Cura Italia” and “Rilancio” Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers (“Trattamento contabile dei crediti d’imposta connessi con i Decreti Legge “Cura Italia” e “Rilancio” acquistati a seguito di cessione da parte dei beneficiari diretti o di precedenti acquirenti”); • ESMA (European Securities and Markets Authority), European Banking Authority, European Central Bank and Consob documents on the application of specific IAS/IFRS provisions also with specific reference to the presentation of the effects arising from Covid-19 pandemic and their effects on the evaluation processes. In particular, it shall be made reference to the ESMA statements dated 25 March 2020, 20 May 2020, 28 October 2020 and 29 October 2021, to the European Central Bank statements dated 1 April 2020 and 4 December 2020, to the European Banking Authority statements dated 25 March 2020, 2 April 2020, 2 June 2020 and 2 December 2020, and to Consob “Call for attention" dated 16 February 2021. The content of these statements, when relevant, has been reported in “Section 4 - Other matters” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part A - Accounting policies, A.1 General, in the context of the description of the evaluation choices made by the Bank as at 31 December 2021. The Company financial statements include the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in shareholders’ equity, the Cash flow statement (compiled using the “indirect method”) and the Notes to the accounts, together with the Report on operations and Annexes. The schemes and Notes of the “Company financial statements as at 31 December 2021” are in line with Banca d’Italia templates as prescribed by Circular 262 dated 22 December 2005 (7th update of 29 October 2021) as well as 21 December 2021 communication on impacts of Covid-19 and measures to support the economy, and they present comparative figures, as at 31 December 2020. More specifically, 2020 comparative figures have been recasted, when required, in order to reflect the mentioned Banca d’Italia Circular 262 updates. Main changes relate to (i) the reclassification of sight deposits and Current accounts toward Banks and Central Banks into item Cash and cash balances, (ii) the specific and separate disclosure of Financial assets purchased or originated credit impaired, (iii) the disclosure in the tables reporting Covid-19 measures of the loans under moratorium no longer compliant to the Guidelines requirements and not valued as forborne exposure and (iv) the update of the tables related to commissions. Unless otherwise specified, figures in the Company accounts are given in units of euro and the Notes to the accounts in millions of euros. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 601 Notes to the accounts Part A - Accounting policies A.1 - General Section 1 - Statement of compliance with IFRS These Company financial statements have been prepared in accordance with the IFRS issued by the International Accounting Standards Board (IASB), including the interpretation documents issued by the SIC and the IFRIC, and endorsed by the European Commission up to 31 December 2021, pursuant to EU Regulation No.1606/2002 which was incorporated into Italian legislation through Legislative Decree No.38 of 28 February 2005 (see Section 4 - Other matters). These financial statements are an integral part of the Annual financial statements as required by Art.154-ter, par.1 of the Single Finance Act (Consolidated Law on Finance - TUF, Legislative Decree No.58 of 24 February 1998). In Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), with regard to the banks and financial institutions subject to supervision, Banca d’Italia has established the formats for the financial statements and Notes to the accounts used to prepare these Company financial statements. Banca d’Italia issued on 29 October 2021 the 7th update of its Circular No.262 that amends the formats of certain tables of the Notes to the accounts and preparation rules with the main objective to align financial statements information with Regulatory reporting (FINREP). Such update has been integrated by the 21 December 2021 Banca d’Italia Communication “Update of integration to Circular No.262 requirements - Banks financial statements: schemes and compilation rules” which has updated the information to be reported with regard to impacts coming from Covid-19 and related relief and support measures. Section 2 - General Preparation Criteria As mentioned above, these “Company financial statements as at 31 December 2021” have been prepared in accordance with the international accounting standards endorsed by the European Commission. The following documents have been used to interpret and support the application of such accounting standards, even though they have not all been endorsed by the European Commission: • The Conceptual Framework for Financial Reporting; • Implementation Guidance, Basis for Conclusions, IFRICs and the documents prepared by either the IASB (including the IFRS Foundation communication of 27 March 2020 concerning "IFRS9 and Covid-19") or the International Financial Reporting Interpretations Committee (IFRIC) supplementing the IFRS; • Interpretative documents on the application of the IAS/IFRS in Italy prepared by the Organismo Italiano di Contabilità (the Italian Standard Setter; OIC) and Associazione Bancaria Italiana (Italian Banking Association, that is the trade association of Italian banks; ABI); • Coordination Table between Banca d'Italia, Consob ed Ivass with regard to the application of IAS/IFRS, in particular the Document n.9, dated 5 January 2021, Accounting Treatment of tax credits connected with the “Cura Italia” and “Rilancio” Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers (“Trattamento contabile dei crediti d’imposta connessi con i Decreti Legge “Cura Italia” e “Rilancio” acquistati a seguito di cessione da parte dei beneficiari diretti o di precedenti acquirenti”); • ESMA (European Securities and Markets Authority), European Banking Authority, European Central Bank and Consob documents on the application of specific IAS/IFRS provisions also with specific reference to the presentation of the effects arising from Covid-19 pandemic and their effects on the evaluation processes. In particular, it shall be made reference to the ESMA statements dated 25 March 2020, 20 May 2020, 28 October 2020 and 29 October 2021, to the European Central Bank statements dated 1 April 2020 and 4 December 2020, to the European Banking Authority statements dated 25 March 2020, 2 April 2020, 2 June 2020 and 2 December 2020, and to Consob “Call for attention" dated 16 February 2021. The content of these statements, when relevant, has been reported in “Section 4 - Other matters” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part A - Accounting policies, A.1 General, in the context of the description of the evaluation choices made by the Bank as at 31 December 2021. The Company financial statements include the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in shareholders’ equity, the Cash flow statement (compiled using the “indirect method”) and the Notes to the accounts, together with the Report on operations and Annexes. The schemes and Notes of the “Company financial statements as at 31 December 2021” are in line with Banca d’Italia templates as prescribed by Circular 262 dated 22 December 2005 (7th update of 29 October 2021) as well as 21 December 2021 communication on impacts of Covid-19 and measures to support the economy, and they present comparative figures, as at 31 December 2020. More specifically, 2020 comparative figures have been recasted, when required, in order to reflect the mentioned Banca d’Italia Circular 262 updates. Main changes relate to (i) the reclassification of sight deposits and Current accounts toward Banks and Central Banks into item Cash and cash balances, (ii) the specific and separate disclosure of Financial assets purchased or originated credit impaired, (iii) the disclosure in the tables reporting Covid-19 measures of the loans under moratorium no longer compliant to the Guidelines requirements and not valued as forborne exposure and (iv) the update of the tables related to commissions. Unless otherwise specified, figures in the Company accounts are given in units of euro and the Notes to the accounts in millions of euros. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 601 Notes to the accounts Part A - Accounting policies A.1 - General Section 1 - Statement of compliance with IFRS These Company financial statements have been prepared in accordance with the IFRS issued by the International Accounting Standards Board (IASB), including the interpretation documents issued by the SIC and the IFRIC, and endorsed by the European Commission up to 31 December 2021, pursuant to EU Regulation No.1606/2002 which was incorporated into Italian legislation through Legislative Decree No.38 of 28 February 2005 (see Section 4 - Other matters). These financial statements are an integral part of the Annual financial statements as required by Art.154-ter, par.1 of the Single Finance Act (Consolidated Law on Finance - TUF, Legislative Decree No.58 of 24 February 1998). In Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), with regard to the banks and financial institutions subject to supervision, Banca d’Italia has established the formats for the financial statements and Notes to the accounts used to prepare these Company financial statements. Banca d’Italia issued on 29 October 2021 the 7th update of its Circular No.262 that amends the formats of certain tables of the Notes to the accounts and preparation rules with the main objective to align financial statements information with Regulatory reporting (FINREP). Such update has been integrated by the 21 December 2021 Banca d’Italia Communication “Update of integration to Circular No.262 requirements - Banks financial statements: schemes and compilation rules” which has updated the information to be reported with regard to impacts coming from Covid-19 and related relief and support measures. Section 2 - General Preparation Criteria As mentioned above, these “Company financial statements as at 31 December 2021” have been prepared in accordance with the international accounting standards endorsed by the European Commission. The following documents have been used to interpret and support the application of such accounting standards, even though they have not all been endorsed by the European Commission: • The Conceptual Framework for Financial Reporting; • Implementation Guidance, Basis for Conclusions, IFRICs and the documents prepared by either the IASB (including the IFRS Foundation communication of 27 March 2020 concerning "IFRS9 and Covid-19") or the International Financial Reporting Interpretations Committee (IFRIC) supplementing the IFRS; • Interpretative documents on the application of the IAS/IFRS in Italy prepared by the Organismo Italiano di Contabilità (the Italian Standard Setter; OIC) and Associazione Bancaria Italiana (Italian Banking Association, that is the trade association of Italian banks; ABI); • Coordination Table between Banca d'Italia, Consob ed Ivass with regard to the application of IAS/IFRS, in particular the Document n.9, dated 5 January 2021, Accounting Treatment of tax credits connected with the “Cura Italia” and “Rilancio” Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers (“Trattamento contabile dei crediti d’imposta connessi con i Decreti Legge “Cura Italia” e “Rilancio” acquistati a seguito di cessione da parte dei beneficiari diretti o di precedenti acquirenti”); • ESMA (European Securities and Markets Authority), European Banking Authority, European Central Bank and Consob documents on the application of specific IAS/IFRS provisions also with specific reference to the presentation of the effects arising from Covid-19 pandemic and their effects on the evaluation processes. In particular, it shall be made reference to the ESMA statements dated 25 March 2020, 20 May 2020, 28 October 2020 and 29 October 2021, to the European Central Bank statements dated 1 April 2020 and 4 December 2020, to the European Banking Authority statements dated 25 March 2020, 2 April 2020, 2 June 2020 and 2 December 2020, and to Consob “Call for attention" dated 16 February 2021. The content of these statements, when relevant, has been reported in “Section 4 - Other matters” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part A - Accounting policies, A.1 General, in the context of the description of the evaluation choices made by the Bank as at 31 December 2021. The Company financial statements include the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in shareholders’ equity, the Cash flow statement (compiled using the “indirect method”) and the Notes to the accounts, together with the Report on operations and Annexes. The schemes and Notes of the “Company financial statements as at 31 December 2021” are in line with Banca d’Italia templates as prescribed by Circular 262 dated 22 December 2005 (7th update of 29 October 2021) as well as 21 December 2021 communication on impacts of Covid-19 and measures to support the economy, and they present comparative figures, as at 31 December 2020. More specifically, 2020 comparative figures have been recasted, when required, in order to reflect the mentioned Banca d’Italia Circular 262 updates. Main changes relate to (i) the reclassification of sight deposits and Current accounts toward Banks and Central Banks into item Cash and cash balances, (ii) the specific and separate disclosure of Financial assets purchased or originated credit impaired, (iii) the disclosure in the tables reporting Covid-19 measures of the loans under moratorium no longer compliant to the Guidelines requirements and not valued as forborne exposure and (iv) the update of the tables related to commissions. Unless otherwise specified, figures in the Company accounts are given in units of euro and the Notes to the accounts in millions of euros. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 601 Notes to the accounts Part A - Accounting policies A.1 - General Section 1 - Statement of compliance with IFRS These Company financial statements have been prepared in accordance with the IFRS issued by the International Accounting Standards Board (IASB), including the interpretation documents issued by the SIC and the IFRIC, and endorsed by the European Commission up to 31 December 2021, pursuant to EU Regulation No.1606/2002 which was incorporated into Italian legislation through Legislative Decree No.38 of 28 February 2005 (see Section 4 - Other matters). These financial statements are an integral part of the Annual financial statements as required by Art.154-ter, par.1 of the Single Finance Act (Consolidated Law on Finance - TUF, Legislative Decree No.58 of 24 February 1998). In Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), with regard to the banks and financial institutions subject to supervision, Banca d’Italia has established the formats for the financial statements and Notes to the accounts used to prepare these Company financial statements. Banca d’Italia issued on 29 October 2021 the 7th update of its Circular No.262 that amends the formats of certain tables of the Notes to the accounts and preparation rules with the main objective to align financial statements information with Regulatory reporting (FINREP). Such update has been integrated by the 21 December 2021 Banca d’Italia Communication “Update of integration to Circular No.262 requirements - Banks financial statements: schemes and compilation rules” which has updated the information to be reported with regard to impacts coming from Covid-19 and related relief and support measures. Section 2 - General Preparation Criteria As mentioned above, these “Company financial statements as at 31 December 2021” have been prepared in accordance with the international accounting standards endorsed by the European Commission. The following documents have been used to interpret and support the application of such accounting standards, even though they have not all been endorsed by the European Commission: • The Conceptual Framework for Financial Reporting; • Implementation Guidance, Basis for Conclusions, IFRICs and the documents prepared by either the IASB (including the IFRS Foundation communication of 27 March 2020 concerning "IFRS9 and Covid-19") or the International Financial Reporting Interpretations Committee (IFRIC) supplementing the IFRS; • Interpretative documents on the application of the IAS/IFRS in Italy prepared by the Organismo Italiano di Contabilità (the Italian Standard Setter; OIC) and Associazione Bancaria Italiana (Italian Banking Association, that is the trade association of Italian banks; ABI); • Coordination Table between Banca d'Italia, Consob ed Ivass with regard to the application of IAS/IFRS, in particular the Document n.9, dated 5 January 2021, Accounting Treatment of tax credits connected with the “Cura Italia” and “Rilancio” Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers (“Trattamento contabile dei crediti d’imposta connessi con i Decreti Legge “Cura Italia” e “Rilancio” acquistati a seguito di cessione da parte dei beneficiari diretti o di precedenti acquirenti”); • ESMA (European Securities and Markets Authority), European Banking Authority, European Central Bank and Consob documents on the application of specific IAS/IFRS provisions also with specific reference to the presentation of the effects arising from Covid-19 pandemic and their effects on the evaluation processes. In particular, it shall be made reference to the ESMA statements dated 25 March 2020, 20 May 2020, 28 October 2020 and 29 October 2021, to the European Central Bank statements dated 1 April 2020 and 4 December 2020, to the European Banking Authority statements dated 25 March 2020, 2 April 2020, 2 June 2020 and 2 December 2020, and to Consob “Call for attention" dated 16 February 2021. The content of these statements, when relevant, has been reported in “Section 4 - Other matters” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part A - Accounting policies, A.1 General, in the context of the description of the evaluation choices made by the Bank as at 31 December 2021. The Company financial statements include the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement of changes in shareholders’ equity, the Cash flow statement (compiled using the “indirect method”) and the Notes to the accounts, together with the Report on operations and Annexes. The schemes and Notes of the “Company financial statements as at 31 December 2021” are in line with Banca d’Italia templates as prescribed by Circular 262 dated 22 December 2005 (7th update of 29 October 2021) as well as 21 December 2021 communication on impacts of Covid-19 and measures to support the economy, and they present comparative figures, as at 31 December 2020. More specifically, 2020 comparative figures have been recasted, when required, in order to reflect the mentioned Banca d’Italia Circular 262 updates. Main changes relate to (i) the reclassification of sight deposits and Current accounts toward Banks and Central Banks into item Cash and cash balances, (ii) the specific and separate disclosure of Financial assets purchased or originated credit impaired, (iii) the disclosure in the tables reporting Covid-19 measures of the loans under moratorium no longer compliant to the Guidelines requirements and not valued as forborne exposure and (iv) the update of the tables related to commissions. Unless otherwise specified, figures in the Company accounts are given in units of euro and the Notes to the accounts in millions of euros. Company financial statements | Notes to the accounts Part A - Accounting policies 602 2021 Annual Report and Accounts · UniCredit Risks and uncertainty relating to the use of estimates Under the IFRS, management must make judgments, estimates and assumptions that affect the application of accounting principles and the amounts of assets/liabilities and income and expenses reported in the accounts, as well as the disclosure concerning contingent assets and liabilities. Estimates and related assumptions are based on previous experience and on the available information framework with reference to the current and expected context and have been used to estimate the carrying values of assets and liabilities not readily available from other sources. Estimates and assumptions are regularly reviewed. Any change resulting from these reviews is recognised in the period in which the review was carried out, provided the change only concerns that period. If the review concerns both current and future periods, it is recognised accordingly in both current and future periods. In particular, estimated figures have been used for the recognition and measurement of some of the main items in the Company financial statements as at 31 December 2021, as required by the accounting policies, statements and regulations described above. The current market environment continues to be affected by an increased risk of a lower predictivity of the macro-economic projections arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery which may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macro-economic projections of September 202174 that report that GDP is showing positive growth rate for next years. However, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. ECB updated its macroeconomic projections in December 202175 highlighting an increase in the uncertainty about the magnitude and the timing of economic recovery. Indeed, the ECB macroeconomic projections published by mid-December have noted that sharply rising rates of coronavirus (Covid-19) infections in several euro area countries led to a renewal of restrictions and heightened uncertainty about the duration of the pandemic. The emergence of the Omicron variant has added to this uncertainty. Moreover, supply bottlenecks have intensified and are expected to last longer, only gradually dissipating from the second quarter of 2022 and fully unwinding by 2023. Compared with the September 2021 projections, the intensified global supply bottlenecks and tighter pandemic-related restrictions have led to a downward revision to growth in the short term. Additionally, ESMA issued a public statement ("European common enforcement priorities for 2021 Annual Financial Reports") in which it reiterated the messages already included in its 2020 Public Statement also with reference to impairment of assets. In the context of persisting uncertainty explained above and considering the aforementioned ESMA communication, UniCredit has defined different macro-economic scenarios, to be used for the purposes of the evaluation processes of Company financial statements as at 31 December 2021. In particular, in addition to the "Baseline" scenario, which reflects the expectations considered most likely concerning macro-economic trends, alternative scenarios have been outlined that assume different trends in the main macro-economic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of equity investments in subsidiaries and deferred tax assets, a worst-case scenario ("Downturn") was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios ("Positive" and "Negative" vis-à-vis the “Baseline” scenario) were defined; such alternative scenarios provide for different assessments regarding the expected trend of the parameters that can influence the assessment of the prospective credit risk. The paragraphs below provide a detailed description of the characteristics associated with the above scenarios. Investments in subsidiaries and deferred tax assets As shown above and in light of the aforementioned considerations, UniCredit has defined certain macro-economic scenarios, used for the measurement of equity investments in subsidiaries and deferred tax assets: • Baseline scenario: it is the scenario, prepared in September 2021 and used for UniCredit Unlocked 2022 - 2024 strategic plan approved by the Board of Directors in the meeting held on 8 December 2021. Such scenario assumes that in terms of macro-economic conditions the recovery in the economic activity continues, showing resilience to any renewed intensification of the pandemic. This is consistent with the view that the economic damage of new waves of Covid-19 tends to become progressively smaller. Fiscal policy gradually normalizes while remaining supportive and households can count on high savings accumulated during the pandemic. In Western Europe (WE), overall, Countries would be on track for solid expansion in 2022, followed by a slowdown in growth rates towards potential in 2023-24. Central Europe (CE) and Eastern Europe (EE) economies would be on track for solid expansion in 2022, followed by a slowdown in growth rates in 2023-24 similarly to Western Europe Countries. In EU-CEE and the Western Balkans the growth rates will be supported also by EU funding. With reference to FX rates, the Baseline scenario envisages a gradual appreciation of the CZK and a mild depreciation for the RON, the HUF and the RSD. 74 European Central Banks Macroeconomic projections September 2021. 75 European Central Banks Macroeconomic projections December 2021. Company financial statements | Notes to the accounts Part A - Accounting policies 602 2021 Annual Report and Accounts · UniCredit Risks and uncertainty relating to the use of estimates Under the IFRS, management must make judgments, estimates and assumptions that affect the application of accounting principles and the amounts of assets/liabilities and income and expenses reported in the accounts, as well as the disclosure concerning contingent assets and liabilities. Estimates and related assumptions are based on previous experience and on the available information framework with reference to the current and expected context and have been used to estimate the carrying values of assets and liabilities not readily available from other sources. Estimates and assumptions are regularly reviewed. Any change resulting from these reviews is recognised in the period in which the review was carried out, provided the change only concerns that period. If the review concerns both current and future periods, it is recognised accordingly in both current and future periods. In particular, estimated figures have been used for the recognition and measurement of some of the main items in the Company financial statements as at 31 December 2021, as required by the accounting policies, statements and regulations described above. The current market environment continues to be affected by an increased risk of a lower predictivity of the macro-economic projections arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery which may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macro-economic projections of September 202174 that report that GDP is showing positive growth rate for next years. However, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. ECB updated its macroeconomic projections in December 202175 highlighting an increase in the uncertainty about the magnitude and the timing of economic recovery. Indeed, the ECB macroeconomic projections published by mid-December have noted that sharply rising rates of coronavirus (Covid-19) infections in several euro area countries led to a renewal of restrictions and heightened uncertainty about the duration of the pandemic. The emergence of the Omicron variant has added to this uncertainty. Moreover, supply bottlenecks have intensified and are expected to last longer, only gradually dissipating from the second quarter of 2022 and fully unwinding by 2023. Compared with the September 2021 projections, the intensified global supply bottlenecks and tighter pandemic-related restrictions have led to a downward revision to growth in the short term. Additionally, ESMA issued a public statement ("European common enforcement priorities for 2021 Annual Financial Reports") in which it reiterated the messages already included in its 2020 Public Statement also with reference to impairment of assets. In the context of persisting uncertainty explained above and considering the aforementioned ESMA communication, UniCredit has defined different macro-economic scenarios, to be used for the purposes of the evaluation processes of Company financial statements as at 31 December 2021. In particular, in addition to the "Baseline" scenario, which reflects the expectations considered most likely concerning macro-economic trends, alternative scenarios have been outlined that assume different trends in the main macro-economic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of equity investments in subsidiaries and deferred tax assets, a worst-case scenario ("Downturn") was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios ("Positive" and "Negative" vis-à-vis the “Baseline” scenario) were defined; such alternative scenarios provide for different assessments regarding the expected trend of the parameters that can influence the assessment of the prospective credit risk. The paragraphs below provide a detailed description of the characteristics associated with the above scenarios. Investments in subsidiaries and deferred tax assets As shown above and in light of the aforementioned considerations, UniCredit has defined certain macro-economic scenarios, used for the measurement of equity investments in subsidiaries and deferred tax assets: • Baseline scenario: it is the scenario, prepared in September 2021 and used for UniCredit Unlocked 2022 - 2024 strategic plan approved by the Board of Directors in the meeting held on 8 December 2021. Such scenario assumes that in terms of macro-economic conditions the recovery in the economic activity continues, showing resilience to any renewed intensification of the pandemic. This is consistent with the view that the economic damage of new waves of Covid-19 tends to become progressively smaller. Fiscal policy gradually normalizes while remaining supportive and households can count on high savings accumulated during the pandemic. In Western Europe (WE), overall, Countries would be on track for solid expansion in 2022, followed by a slowdown in growth rates towards potential in 2023-24. Central Europe (CE) and Eastern Europe (EE) economies would be on track for solid expansion in 2022, followed by a slowdown in growth rates in 2023-24 similarly to Western Europe Countries. In EU-CEE and the Western Balkans the growth rates will be supported also by EU funding. With reference to FX rates, the Baseline scenario envisages a gradual appreciation of the CZK and a mild depreciation for the RON, the HUF and the RSD. 74 European Central Banks Macroeconomic projections September 2021. 75 European Central Banks Macroeconomic projections December 2021. Company financial statements | Notes to the accounts Part A - Accounting policies 602 2021 Annual Report and Accounts · UniCredit Risks and uncertainty relating to the use of estimates Under the IFRS, management must make judgments, estimates and assumptions that affect the application of accounting principles and the amounts of assets/liabilities and income and expenses reported in the accounts, as well as the disclosure concerning contingent assets and liabilities. Estimates and related assumptions are based on previous experience and on the available information framework with reference to the current and expected context and have been used to estimate the carrying values of assets and liabilities not readily available from other sources. Estimates and assumptions are regularly reviewed. Any change resulting from these reviews is recognised in the period in which the review was carried out, provided the change only concerns that period. If the review concerns both current and future periods, it is recognised accordingly in both current and future periods. In particular, estimated figures have been used for the recognition and measurement of some of the main items in the Company financial statements as at 31 December 2021, as required by the accounting policies, statements and regulations described above. The current market environment continues to be affected by an increased risk of a lower predictivity of the macro-economic projections arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery which may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macro-economic projections of September 202174 that report that GDP is showing positive growth rate for next years. However, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. ECB updated its macroeconomic projections in December 202175 highlighting an increase in the uncertainty about the magnitude and the timing of economic recovery. Indeed, the ECB macroeconomic projections published by mid-December have noted that sharply rising rates of coronavirus (Covid-19) infections in several euro area countries led to a renewal of restrictions and heightened uncertainty about the duration of the pandemic. The emergence of the Omicron variant has added to this uncertainty. Moreover, supply bottlenecks have intensified and are expected to last longer, only gradually dissipating from the second quarter of 2022 and fully unwinding by 2023. Compared with the September 2021 projections, the intensified global supply bottlenecks and tighter pandemic-related restrictions have led to a downward revision to growth in the short term. Additionally, ESMA issued a public statement ("European common enforcement priorities for 2021 Annual Financial Reports") in which it reiterated the messages already included in its 2020 Public Statement also with reference to impairment of assets. In the context of persisting uncertainty explained above and considering the aforementioned ESMA communication, UniCredit has defined different macro-economic scenarios, to be used for the purposes of the evaluation processes of Company financial statements as at 31 December 2021. In particular, in addition to the "Baseline" scenario, which reflects the expectations considered most likely concerning macro-economic trends, alternative scenarios have been outlined that assume different trends in the main macro-economic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of equity investments in subsidiaries and deferred tax assets, a worst-case scenario ("Downturn") was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios ("Positive" and "Negative" vis-à-vis the “Baseline” scenario) were defined; such alternative scenarios provide for different assessments regarding the expected trend of the parameters that can influence the assessment of the prospective credit risk. The paragraphs below provide a detailed description of the characteristics associated with the above scenarios. Investments in subsidiaries and deferred tax assets As shown above and in light of the aforementioned considerations, UniCredit has defined certain macro-economic scenarios, used for the measurement of equity investments in subsidiaries and deferred tax assets: • Baseline scenario: it is the scenario, prepared in September 2021 and used for UniCredit Unlocked 2022 - 2024 strategic plan approved by the Board of Directors in the meeting held on 8 December 2021. Such scenario assumes that in terms of macro-economic conditions the recovery in the economic activity continues, showing resilience to any renewed intensification of the pandemic. This is consistent with the view that the economic damage of new waves of Covid-19 tends to become progressively smaller. Fiscal policy gradually normalizes while remaining supportive and households can count on high savings accumulated during the pandemic. In Western Europe (WE), overall, Countries would be on track for solid expansion in 2022, followed by a slowdown in growth rates towards potential in 2023-24. Central Europe (CE) and Eastern Europe (EE) economies would be on track for solid expansion in 2022, followed by a slowdown in growth rates in 2023-24 similarly to Western Europe Countries. In EU-CEE and the Western Balkans the growth rates will be supported also by EU funding. With reference to FX rates, the Baseline scenario envisages a gradual appreciation of the CZK and a mild depreciation for the RON, the HUF and the RSD. 74 European Central Banks Macroeconomic projections September 2021. 75 European Central Banks Macroeconomic projections December 2021. Company financial statements | Notes to the accounts Part A - Accounting policies 602 2021 Annual Report and Accounts · UniCredit Risks and uncertainty relating to the use of estimates Under the IFRS, management must make judgments, estimates and assumptions that affect the application of accounting principles and the amounts of assets/liabilities and income and expenses reported in the accounts, as well as the disclosure concerning contingent assets and liabilities. Estimates and related assumptions are based on previous experience and on the available information framework with reference to the current and expected context and have been used to estimate the carrying values of assets and liabilities not readily available from other sources. Estimates and assumptions are regularly reviewed. Any change resulting from these reviews is recognised in the period in which the review was carried out, provided the change only concerns that period. If the review concerns both current and future periods, it is recognised accordingly in both current and future periods. In particular, estimated figures have been used for the recognition and measurement of some of the main items in the Company financial statements as at 31 December 2021, as required by the accounting policies, statements and regulations described above. The current market environment continues to be affected by an increased risk of a lower predictivity of the macro-economic projections arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery which may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macro-economic projections of September 202174 that report that GDP is showing positive growth rate for next years. However, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. ECB updated its macroeconomic projections in December 202175 highlighting an increase in the uncertainty about the magnitude and the timing of economic recovery. Indeed, the ECB macroeconomic projections published by mid-December have noted that sharply rising rates of coronavirus (Covid-19) infections in several euro area countries led to a renewal of restrictions and heightened uncertainty about the duration of the pandemic. The emergence of the Omicron variant has added to this uncertainty. Moreover, supply bottlenecks have intensified and are expected to last longer, only gradually dissipating from the second quarter of 2022 and fully unwinding by 2023. Compared with the September 2021 projections, the intensified global supply bottlenecks and tighter pandemic-related restrictions have led to a downward revision to growth in the short term. Additionally, ESMA issued a public statement ("European common enforcement priorities for 2021 Annual Financial Reports") in which it reiterated the messages already included in its 2020 Public Statement also with reference to impairment of assets. In the context of persisting uncertainty explained above and considering the aforementioned ESMA communication, UniCredit has defined different macro-economic scenarios, to be used for the purposes of the evaluation processes of Company financial statements as at 31 December 2021. In particular, in addition to the "Baseline" scenario, which reflects the expectations considered most likely concerning macro-economic trends, alternative scenarios have been outlined that assume different trends in the main macro-economic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of equity investments in subsidiaries and deferred tax assets, a worst-case scenario ("Downturn") was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios ("Positive" and "Negative" vis-à-vis the “Baseline” scenario) were defined; such alternative scenarios provide for different assessments regarding the expected trend of the parameters that can influence the assessment of the prospective credit risk. The paragraphs below provide a detailed description of the characteristics associated with the above scenarios. Investments in subsidiaries and deferred tax assets As shown above and in light of the aforementioned considerations, UniCredit has defined certain macro-economic scenarios, used for the measurement of equity investments in subsidiaries and deferred tax assets: • Baseline scenario: it is the scenario, prepared in September 2021 and used for UniCredit Unlocked 2022 - 2024 strategic plan approved by the Board of Directors in the meeting held on 8 December 2021. Such scenario assumes that in terms of macro-economic conditions the recovery in the economic activity continues, showing resilience to any renewed intensification of the pandemic. This is consistent with the view that the economic damage of new waves of Covid-19 tends to become progressively smaller. Fiscal policy gradually normalizes while remaining supportive and households can count on high savings accumulated during the pandemic. In Western Europe (WE), overall, Countries would be on track for solid expansion in 2022, followed by a slowdown in growth rates towards potential in 2023-24. Central Europe (CE) and Eastern Europe (EE) economies would be on track for solid expansion in 2022, followed by a slowdown in growth rates in 2023-24 similarly to Western Europe Countries. In EU-CEE and the Western Balkans the growth rates will be supported also by EU funding. With reference to FX rates, the Baseline scenario envisages a gradual appreciation of the CZK and a mild depreciation for the RON, the HUF and the RSD. 74 European Central Banks Macroeconomic projections September 2021. 75 European Central Banks Macroeconomic projections December 2021. Company financial statements | Notes to the accounts Part A - Accounting policies 602 2021 Annual Report and Accounts · UniCredit Risks and uncertainty relating to the use of estimates Under the IFRS, management must make judgments, estimates and assumptions that affect the application of accounting principles and the amounts of assets/liabilities and income and expenses reported in the accounts, as well as the disclosure concerning contingent assets and liabilities. Estimates and related assumptions are based on previous experience and on the available information framework with reference to the current and expected context and have been used to estimate the carrying values of assets and liabilities not readily available from other sources. Estimates and assumptions are regularly reviewed. Any change resulting from these reviews is recognised in the period in which the review was carried out, provided the change only concerns that period. If the review concerns both current and future periods, it is recognised accordingly in both current and future periods. In particular, estimated figures have been used for the recognition and measurement of some of the main items in the Company financial statements as at 31 December 2021, as required by the accounting policies, statements and regulations described above. The current market environment continues to be affected by an increased risk of a lower predictivity of the macro-economic projections arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery which may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macro-economic projections of September 202174 that report that GDP is showing positive growth rate for next years. However, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. ECB updated its macroeconomic projections in December 202175 highlighting an increase in the uncertainty about the magnitude and the timing of economic recovery. Indeed, the ECB macroeconomic projections published by mid-December have noted that sharply rising rates of coronavirus (Covid-19) infections in several euro area countries led to a renewal of restrictions and heightened uncertainty about the duration of the pandemic. The emergence of the Omicron variant has added to this uncertainty. Moreover, supply bottlenecks have intensified and are expected to last longer, only gradually dissipating from the second quarter of 2022 and fully unwinding by 2023. Compared with the September 2021 projections, the intensified global supply bottlenecks and tighter pandemic-related restrictions have led to a downward revision to growth in the short term. Additionally, ESMA issued a public statement ("European common enforcement priorities for 2021 Annual Financial Reports") in which it reiterated the messages already included in its 2020 Public Statement also with reference to impairment of assets. In the context of persisting uncertainty explained above and considering the aforementioned ESMA communication, UniCredit has defined different macro-economic scenarios, to be used for the purposes of the evaluation processes of Company financial statements as at 31 December 2021. In particular, in addition to the "Baseline" scenario, which reflects the expectations considered most likely concerning macro-economic trends, alternative scenarios have been outlined that assume different trends in the main macro-economic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of equity investments in subsidiaries and deferred tax assets, a worst-case scenario ("Downturn") was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios ("Positive" and "Negative" vis-à-vis the “Baseline” scenario) were defined; such alternative scenarios provide for different assessments regarding the expected trend of the parameters that can influence the assessment of the prospective credit risk. The paragraphs below provide a detailed description of the characteristics associated with the above scenarios. Investments in subsidiaries and deferred tax assets As shown above and in light of the aforementioned considerations, UniCredit has defined certain macro-economic scenarios, used for the measurement of equity investments in subsidiaries and deferred tax assets: • Baseline scenario: it is the scenario, prepared in September 2021 and used for UniCredit Unlocked 2022 - 2024 strategic plan approved by the Board of Directors in the meeting held on 8 December 2021. Such scenario assumes that in terms of macro-economic conditions the recovery in the economic activity continues, showing resilience to any renewed intensification of the pandemic. This is consistent with the view that the economic damage of new waves of Covid-19 tends to become progressively smaller. Fiscal policy gradually normalizes while remaining supportive and households can count on high savings accumulated during the pandemic. In Western Europe (WE), overall, Countries would be on track for solid expansion in 2022, followed by a slowdown in growth rates towards potential in 2023-24. Central Europe (CE) and Eastern Europe (EE) economies would be on track for solid expansion in 2022, followed by a slowdown in growth rates in 2023-24 similarly to Western Europe Countries. In EU-CEE and the Western Balkans the growth rates will be supported also by EU funding. With reference to FX rates, the Baseline scenario envisages a gradual appreciation of the CZK and a mild depreciation for the RON, the HUF and the RSD. 74 European Central Banks Macroeconomic projections September 2021. 75 European Central Banks Macroeconomic projections December 2021. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 603 For the RUB, the exchange rate vs. the EUR is expected to increase somewhat in 2022, fall slightly in 2023 and remain broadly stable in 2024. Inflation would decelerate as supply-demand imbalances triggered by the pandemic fade and base effects lower energy inflation. Central banks are willing to look through temporary inflation spikes and remain accommodative as fiscal stimulus works its way through the economy. In terms of monetary policy, in the Eurozone, PEPP purchases are phased out in 2022 but traditional Quantitative Easing (QE) remains supportive. The phasing-out of stimulus is likely to happen gradually, consistently with the muted inflation outlook over the medium term. In CE & EE, in 2022, the scenario assumes further hikes in almost all countries while in Russia a first reduction in interest rates is expected as inflation declines. With reference to Interest rate, as central banks remain firmly accommodative, short term and Money Market rates are expected to remain close to present levels. Along with the pick-up in economic activity and the more general improvement in risk sentiment, long maturity yields are expected to rise, more pronouncedly in the US while more gradually in the Eurozone. This will lead to somewhat steeper curves. The 10Y BTP-Bund spread is expected to stabilise as less supportive stance from the ECB is offset by improving macro fundamentals, amid still abundant liquidity. • “Downturn” scenario: this scenario embeds stressed macro-economic conditions when compared to the “Baseline” considering the possible implications of having to live with Covid-19 well into the medium term. The motivation is twofold: (i) first, vaccinations, although critical in the fight, will not, on their own, put an end to the virus’s circulation; (ii) second, constraints on vaccine availability and vaccine hesitancy mean that there is likely to be a significant number of unvaccinated people for an extended period. In addition to the direct demand impact of reduced mobility, structural changes will be needed to minimise the impact of the virus over the medium term. For WE the narrative above translates into a Lower GDP growth due to the vaccine hesitancy assumed to persist in the medium term. After GDP rebound in 2021, WE Countries GDP would grow 1%, 1.2% and 0.4% less than Baseline in 2022-2024 respectively. For CE & EE the growth shock is assumed to be ca -1% for the region in 2022 while the vaccination campaign is expected to speed up, and approx. respectively -0.8% for CE and -0.6% for EE in 2023 with the majority of the population covered by the vaccine. In 2024 the real GDP is expected to stay -0.4% below the Baseline. For Russian Ruble it is assumed a depreciation over time, considering the typical volatility in the downturn economic cycles. With reference to inflation, faster growth in demand relative to the output expansion in second half 2021 could create a risk of a moderate inflation pressure (including higher oil prices) and allow businesses to pass higher costs onto consumers. That risk is partially mitigated by economic slowdown, so that inflation level in most of the Countries assumed ca. +0.3% compared to Baseline. With reference to Interest rate, no tensions are assumed in Money Market rates with a flattish 3M Euribor till 2024, considering a lower banking loan dynamic and still accommodative ECB measures. The weak recovery in economic activity together with the QE provided by central banks slow down significantly the repricing in long-maturity yields and contribute to keeping the curve relatively flat. BTP credit spread continues to benefit from the supportive ECB stance in the short term, but it is expected to widen over time considering the increase of public debt and the tapering of ECB measures in 2023 and 2024. The table below shows the most significant macro-economic data characterising the "Baseline" and "Downturn" scenarios, also in order to highlight the different assumptions underlying these scenarios. INTEREST RATES AND YIELD ENVIRONMENT, EoP% 2021(*) 2022 2023 2024 Baseline Scenario 2021 Euribor 3M (bps) (54) (52) (50) (47) Mid Swap 10Y (bps) 15 30 45 60 Spread BTP - Bund (bps) 90 125 125 125 Real GDP growth y/y, % Italy 6.1 4.2 1.9 1.2 Germany 3.0 5.0 2.2 1.7 Central Europe(**) 4.4 4.8 3.1 2.6 Eastern Europe(***) 4.7 3.0 2.7 2.6 Downturn Scenario 2021 Euribor 3M (bps) - (54) (54) (54) Mid Swap 10Y (bps) - 20 25 30 Spread BTP - Bund (bps) - 150 180 200 Real GDP growth y/y, % Italy - 3.2 0.7 0.8 Germany - 4.0 1.0 1.3 Central Europe(**) - 3.8 2.3 2.2 Eastern Europe(***) - 2.0 2.1 2.2 Notes: (*) Data 2021 are shown only for the Baseline scenario for information purposes, data referred to the real GDP for Western Europe and the CEE are forecasts prepared during the fourth quarter of 2021. (** Includes Austria. (***) Include Russia. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 603 For the RUB, the exchange rate vs. the EUR is expected to increase somewhat in 2022, fall slightly in 2023 and remain broadly stable in 2024. Inflation would decelerate as supply-demand imbalances triggered by the pandemic fade and base effects lower energy inflation. Central banks are willing to look through temporary inflation spikes and remain accommodative as fiscal stimulus works its way through the economy. In terms of monetary policy, in the Eurozone, PEPP purchases are phased out in 2022 but traditional Quantitative Easing (QE) remains supportive. The phasing-out of stimulus is likely to happen gradually, consistently with the muted inflation outlook over the medium term. In CE & EE, in 2022, the scenario assumes further hikes in almost all countries while in Russia a first reduction in interest rates is expected as inflation declines. With reference to Interest rate, as central banks remain firmly accommodative, short term and Money Market rates are expected to remain close to present levels. Along with the pick-up in economic activity and the more general improvement in risk sentiment, long maturity yields are expected to rise, more pronouncedly in the US while more gradually in the Eurozone. This will lead to somewhat steeper curves. The 10Y BTP-Bund spread is expected to stabilise as less supportive stance from the ECB is offset by improving macro fundamentals, amid still abundant liquidity. • “Downturn” scenario: this scenario embeds stressed macro-economic conditions when compared to the “Baseline” considering the possible implications of having to live with Covid-19 well into the medium term. The motivation is twofold: (i) first, vaccinations, although critical in the fight, will not, on their own, put an end to the virus’s circulation; (ii) second, constraints on vaccine availability and vaccine hesitancy mean that there is likely to be a significant number of unvaccinated people for an extended period. In addition to the direct demand impact of reduced mobility, structural changes will be needed to minimise the impact of the virus over the medium term. For WE the narrative above translates into a Lower GDP growth due to the vaccine hesitancy assumed to persist in the medium term. After GDP rebound in 2021, WE Countries GDP would grow 1%, 1.2% and 0.4% less than Baseline in 2022-2024 respectively. For CE & EE the growth shock is assumed to be ca -1% for the region in 2022 while the vaccination campaign is expected to speed up, and approx. respectively -0.8% for CE and -0.6% for EE in 2023 with the majority of the population covered by the vaccine. In 2024 the real GDP is expected to stay -0.4% below the Baseline. For Russian Ruble it is assumed a depreciation over time, considering the typical volatility in the downturn economic cycles. With reference to inflation, faster growth in demand relative to the output expansion in second half 2021 could create a risk of a moderate inflation pressure (including higher oil prices) and allow businesses to pass higher costs onto consumers. That risk is partially mitigated by economic slowdown, so that inflation level in most of the Countries assumed ca. +0.3% compared to Baseline. With reference to Interest rate, no tensions are assumed in Money Market rates with a flattish 3M Euribor till 2024, considering a lower banking loan dynamic and still accommodative ECB measures. The weak recovery in economic activity together with the QE provided by central banks slow down significantly the repricing in long-maturity yields and contribute to keeping the curve relatively flat. BTP credit spread continues to benefit from the supportive ECB stance in the short term, but it is expected to widen over time considering the increase of public debt and the tapering of ECB measures in 2023 and 2024. The table below shows the most significant macro-economic data characterising the "Baseline" and "Downturn" scenarios, also in order to highlight the different assumptions underlying these scenarios. INTEREST RATES AND YIELD ENVIRONMENT, EoP% 2021(*) 2022 2023 2024 Baseline Scenario 2021 Euribor 3M (bps) (54) (52) (50) (47) Mid Swap 10Y (bps) 15 30 45 60 Spread BTP - Bund (bps) 90 125 125 125 Real GDP growth y/y, % Italy 6.1 4.2 1.9 1.2 Germany 3.0 5.0 2.2 1.7 Central Europe(**) 4.4 4.8 3.1 2.6 Eastern Europe(***) 4.7 3.0 2.7 2.6 Downturn Scenario 2021 Euribor 3M (bps) - (54) (54) (54) Mid Swap 10Y (bps) - 20 25 30 Spread BTP - Bund (bps) - 150 180 200 Real GDP growth y/y, % Italy - 3.2 0.7 0.8 Germany - 4.0 1.0 1.3 Central Europe(**) - 3.8 2.3 2.2 Eastern Europe(***) - 2.0 2.1 2.2 Notes: (*) Data 2021 are shown only for the Baseline scenario for information purposes, data referred to the real GDP for Western Europe and the CEE are forecasts prepared during the fourth quarter of 2021. (** Includes Austria. (***) Include Russia. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 603 For the RUB, the exchange rate vs. the EUR is expected to increase somewhat in 2022, fall slightly in 2023 and remain broadly stable in 2024. Inflation would decelerate as supply-demand imbalances triggered by the pandemic fade and base effects lower energy inflation. Central banks are willing to look through temporary inflation spikes and remain accommodative as fiscal stimulus works its way through the economy. In terms of monetary policy, in the Eurozone, PEPP purchases are phased out in 2022 but traditional Quantitative Easing (QE) remains supportive. The phasing-out of stimulus is likely to happen gradually, consistently with the muted inflation outlook over the medium term. In CE & EE, in 2022, the scenario assumes further hikes in almost all countries while in Russia a first reduction in interest rates is expected as inflation declines. With reference to Interest rate, as central banks remain firmly accommodative, short term and Money Market rates are expected to remain close to present levels. Along with the pick-up in economic activity and the more general improvement in risk sentiment, long maturity yields are expected to rise, more pronouncedly in the US while more gradually in the Eurozone. This will lead to somewhat steeper curves. The 10Y BTP-Bund spread is expected to stabilise as less supportive stance from the ECB is offset by improving macro fundamentals, amid still abundant liquidity. • “Downturn” scenario: this scenario embeds stressed macro-economic conditions when compared to the “Baseline” considering the possible implications of having to live with Covid-19 well into the medium term. The motivation is twofold: (i) first, vaccinations, although critical in the fight, will not, on their own, put an end to the virus’s circulation; (ii) second, constraints on vaccine availability and vaccine hesitancy mean that there is likely to be a significant number of unvaccinated people for an extended period. In addition to the direct demand impact of reduced mobility, structural changes will be needed to minimise the impact of the virus over the medium term. For WE the narrative above translates into a Lower GDP growth due to the vaccine hesitancy assumed to persist in the medium term. After GDP rebound in 2021, WE Countries GDP would grow 1%, 1.2% and 0.4% less than Baseline in 2022-2024 respectively. For CE & EE the growth shock is assumed to be ca -1% for the region in 2022 while the vaccination campaign is expected to speed up, and approx. respectively -0.8% for CE and -0.6% for EE in 2023 with the majority of the population covered by the vaccine. In 2024 the real GDP is expected to stay -0.4% below the Baseline. For Russian Ruble it is assumed a depreciation over time, considering the typical volatility in the downturn economic cycles. With reference to inflation, faster growth in demand relative to the output expansion in second half 2021 could create a risk of a moderate inflation pressure (including higher oil prices) and allow businesses to pass higher costs onto consumers. That risk is partially mitigated by economic slowdown, so that inflation level in most of the Countries assumed ca. +0.3% compared to Baseline. With reference to Interest rate, no tensions are assumed in Money Market rates with a flattish 3M Euribor till 2024, considering a lower banking loan dynamic and still accommodative ECB measures. The weak recovery in economic activity together with the QE provided by central banks slow down significantly the repricing in long-maturity yields and contribute to keeping the curve relatively flat. BTP credit spread continues to benefit from the supportive ECB stance in the short term, but it is expected to widen over time considering the increase of public debt and the tapering of ECB measures in 2023 and 2024. The table below shows the most significant macro-economic data characterising the "Baseline" and "Downturn" scenarios, also in order to highlight the different assumptions underlying these scenarios. INTEREST RATES AND YIELD ENVIRONMENT, EoP% 2021(*) 2022 2023 2024 Baseline Scenario 2021 Euribor 3M (bps) (54) (52) (50) (47) Mid Swap 10Y (bps) 15 30 45 60 Spread BTP - Bund (bps) 90 125 125 125 Real GDP growth y/y, % Italy 6.1 4.2 1.9 1.2 Germany 3.0 5.0 2.2 1.7 Central Europe(**) 4.4 4.8 3.1 2.6 Eastern Europe(***) 4.7 3.0 2.7 2.6 Downturn Scenario 2021 Euribor 3M (bps) - (54) (54) (54) Mid Swap 10Y (bps) - 20 25 30 Spread BTP - Bund (bps) - 150 180 200 Real GDP growth y/y, % Italy - 3.2 0.7 0.8 Germany - 4.0 1.0 1.3 Central Europe(**) - 3.8 2.3 2.2 Eastern Europe(***) - 2.0 2.1 2.2 Notes: (*) Data 2021 are shown only for the Baseline scenario for information purposes, data referred to the real GDP for Western Europe and the CEE are forecasts prepared during the fourth quarter of 2021. (** Includes Austria. (***) Include Russia. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 603 For the RUB, the exchange rate vs. the EUR is expected to increase somewhat in 2022, fall slightly in 2023 and remain broadly stable in 2024. Inflation would decelerate as supply-demand imbalances triggered by the pandemic fade and base effects lower energy inflation. Central banks are willing to look through temporary inflation spikes and remain accommodative as fiscal stimulus works its way through the economy. In terms of monetary policy, in the Eurozone, PEPP purchases are phased out in 2022 but traditional Quantitative Easing (QE) remains supportive. The phasing-out of stimulus is likely to happen gradually, consistently with the muted inflation outlook over the medium term. In CE & EE, in 2022, the scenario assumes further hikes in almost all countries while in Russia a first reduction in interest rates is expected as inflation declines. With reference to Interest rate, as central banks remain firmly accommodative, short term and Money Market rates are expected to remain close to present levels. Along with the pick-up in economic activity and the more general improvement in risk sentiment, long maturity yields are expected to rise, more pronouncedly in the US while more gradually in the Eurozone. This will lead to somewhat steeper curves. The 10Y BTP-Bund spread is expected to stabilise as less supportive stance from the ECB is offset by improving macro fundamentals, amid still abundant liquidity. • “Downturn” scenario: this scenario embeds stressed macro-economic conditions when compared to the “Baseline” considering the possible implications of having to live with Covid-19 well into the medium term. The motivation is twofold: (i) first, vaccinations, although critical in the fight, will not, on their own, put an end to the virus’s circulation; (ii) second, constraints on vaccine availability and vaccine hesitancy mean that there is likely to be a significant number of unvaccinated people for an extended period. In addition to the direct demand impact of reduced mobility, structural changes will be needed to minimise the impact of the virus over the medium term. For WE the narrative above translates into a Lower GDP growth due to the vaccine hesitancy assumed to persist in the medium term. After GDP rebound in 2021, WE Countries GDP would grow 1%, 1.2% and 0.4% less than Baseline in 2022-2024 respectively. For CE & EE the growth shock is assumed to be ca -1% for the region in 2022 while the vaccination campaign is expected to speed up, and approx. respectively -0.8% for CE and -0.6% for EE in 2023 with the majority of the population covered by the vaccine. In 2024 the real GDP is expected to stay -0.4% below the Baseline. For Russian Ruble it is assumed a depreciation over time, considering the typical volatility in the downturn economic cycles. With reference to inflation, faster growth in demand relative to the output expansion in second half 2021 could create a risk of a moderate inflation pressure (including higher oil prices) and allow businesses to pass higher costs onto consumers. That risk is partially mitigated by economic slowdown, so that inflation level in most of the Countries assumed ca. +0.3% compared to Baseline. With reference to Interest rate, no tensions are assumed in Money Market rates with a flattish 3M Euribor till 2024, considering a lower banking loan dynamic and still accommodative ECB measures. The weak recovery in economic activity together with the QE provided by central banks slow down significantly the repricing in long-maturity yields and contribute to keeping the curve relatively flat. BTP credit spread continues to benefit from the supportive ECB stance in the short term, but it is expected to widen over time considering the increase of public debt and the tapering of ECB measures in 2023 and 2024. The table below shows the most significant macro-economic data characterising the "Baseline" and "Downturn" scenarios, also in order to highlight the different assumptions underlying these scenarios. INTEREST RATES AND YIELD ENVIRONMENT, EoP% 2021(*) 2022 2023 2024 Baseline Scenario 2021 Euribor 3M (bps) (54) (52) (50) (47) Mid Swap 10Y (bps) 15 30 45 60 Spread BTP - Bund (bps) 90 125 125 125 Real GDP growth y/y, % Italy 6.1 4.2 1.9 1.2 Germany 3.0 5.0 2.2 1.7 Central Europe(**) 4.4 4.8 3.1 2.6 Eastern Europe(***) 4.7 3.0 2.7 2.6 Downturn Scenario 2021 Euribor 3M (bps) - (54) (54) (54) Mid Swap 10Y (bps) - 20 25 30 Spread BTP - Bund (bps) - 150 180 200 Real GDP growth y/y, % Italy - 3.2 0.7 0.8 Germany - 4.0 1.0 1.3 Central Europe(**) - 3.8 2.3 2.2 Eastern Europe(***) - 2.0 2.1 2.2 Notes: (*) Data 2021 are shown only for the Baseline scenario for information purposes, data referred to the real GDP for Western Europe and the CEE are forecasts prepared during the fourth quarter of 2021. (** Includes Austria. (***) Include Russia. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 603 For the RUB, the exchange rate vs. the EUR is expected to increase somewhat in 2022, fall slightly in 2023 and remain broadly stable in 2024. Inflation would decelerate as supply-demand imbalances triggered by the pandemic fade and base effects lower energy inflation. Central banks are willing to look through temporary inflation spikes and remain accommodative as fiscal stimulus works its way through the economy. In terms of monetary policy, in the Eurozone, PEPP purchases are phased out in 2022 but traditional Quantitative Easing (QE) remains supportive. The phasing-out of stimulus is likely to happen gradually, consistently with the muted inflation outlook over the medium term. In CE & EE, in 2022, the scenario assumes further hikes in almost all countries while in Russia a first reduction in interest rates is expected as inflation declines. With reference to Interest rate, as central banks remain firmly accommodative, short term and Money Market rates are expected to remain close to present levels. Along with the pick-up in economic activity and the more general improvement in risk sentiment, long maturity yields are expected to rise, more pronouncedly in the US while more gradually in the Eurozone. This will lead to somewhat steeper curves. The 10Y BTP-Bund spread is expected to stabilise as less supportive stance from the ECB is offset by improving macro fundamentals, amid still abundant liquidity. • “Downturn” scenario: this scenario embeds stressed macro-economic conditions when compared to the “Baseline” considering the possible implications of having to live with Covid-19 well into the medium term. The motivation is twofold: (i) first, vaccinations, although critical in the fight, will not, on their own, put an end to the virus’s circulation; (ii) second, constraints on vaccine availability and vaccine hesitancy mean that there is likely to be a significant number of unvaccinated people for an extended period. In addition to the direct demand impact of reduced mobility, structural changes will be needed to minimise the impact of the virus over the medium term. For WE the narrative above translates into a Lower GDP growth due to the vaccine hesitancy assumed to persist in the medium term. After GDP rebound in 2021, WE Countries GDP would grow 1%, 1.2% and 0.4% less than Baseline in 2022-2024 respectively. For CE & EE the growth shock is assumed to be ca -1% for the region in 2022 while the vaccination campaign is expected to speed up, and approx. respectively -0.8% for CE and -0.6% for EE in 2023 with the majority of the population covered by the vaccine. In 2024 the real GDP is expected to stay -0.4% below the Baseline. For Russian Ruble it is assumed a depreciation over time, considering the typical volatility in the downturn economic cycles. With reference to inflation, faster growth in demand relative to the output expansion in second half 2021 could create a risk of a moderate inflation pressure (including higher oil prices) and allow businesses to pass higher costs onto consumers. That risk is partially mitigated by economic slowdown, so that inflation level in most of the Countries assumed ca. +0.3% compared to Baseline. With reference to Interest rate, no tensions are assumed in Money Market rates with a flattish 3M Euribor till 2024, considering a lower banking loan dynamic and still accommodative ECB measures. The weak recovery in economic activity together with the QE provided by central banks slow down significantly the repricing in long-maturity yields and contribute to keeping the curve relatively flat. BTP credit spread continues to benefit from the supportive ECB stance in the short term, but it is expected to widen over time considering the increase of public debt and the tapering of ECB measures in 2023 and 2024. The table below shows the most significant macro-economic data characterising the "Baseline" and "Downturn" scenarios, also in order to highlight the different assumptions underlying these scenarios. INTEREST RATES AND YIELD ENVIRONMENT, EoP% 2021(*) 2022 2023 2024 Baseline Scenario 2021 Euribor 3M (bps) (54) (52) (50) (47) Mid Swap 10Y (bps) 15 30 45 60 Spread BTP - Bund (bps) 90 125 125 125 Real GDP growth y/y, % Italy 6.1 4.2 1.9 1.2 Germany 3.0 5.0 2.2 1.7 Central Europe(**) 4.4 4.8 3.1 2.6 Eastern Europe(***) 4.7 3.0 2.7 2.6 Downturn Scenario 2021 Euribor 3M (bps) - (54) (54) (54) Mid Swap 10Y (bps) - 20 25 30 Spread BTP - Bund (bps) - 150 180 200 Real GDP growth y/y, % Italy - 3.2 0.7 0.8 Germany - 4.0 1.0 1.3 Central Europe(**) - 3.8 2.3 2.2 Eastern Europe(***) - 2.0 2.1 2.2 Notes: (*) Data 2021 are shown only for the Baseline scenario for information purposes, data referred to the real GDP for Western Europe and the CEE are forecasts prepared during the fourth quarter of 2021. (** Includes Austria. (***) Include Russia. Company financial statements | Notes to the accounts Part A - Accounting policies 604 2021 Annual Report and Accounts · UniCredit With reference to equity investments in subsidiaries and deferred tax assets, the measurement is significantly influenced by assumptions on future cash flows, which in turn incorporate assumptions on the evolution of the macro-economic scenario. As a result, for the measurement and with the aim to reflect the aforementioned degree of uncertainty, pursuant to requirements of ESMA public statement of 29 October 2021, both the scenarios outlined above have been considered. In particular, the future cash flows have been estimated by weighting the “Baseline” scenario and the “Downturn” scenario with a higher probability attributed to the “Baseline” scenario (respectively 60% vs. 40%). Moreover, additional parameters bring impacts on the measurement of DTA such as the volatility of expected results and the confidence level used. In the context of measurement as at 31 December 2021, the evaluation of these items has been updated through the redetermination, if needed, of the underlying parameters. For further information on the methodology, results and base assumptions used in the impairment test of investments in subsidiaries and deferred tax assets, refer respectively to sections “Section 7 - Equity investments - Item 70” and “Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part B - Balance sheet - Assets. The results of these evaluation might be subject to changes not foreseeable at the moment depending on the evolution of the pandemic, the effect of the relief measures adopted and, ultimately, on the degree of the economic recovery. Possible deviations of the actual economic recovery compared with the assumptions which form the basis of the evaluations might require a re-determination of the parameters used for valuation purposes, in particular with regard to the future cash flows, and the consequent change in the valuation. Measurement of Real estate portfolio Always with reference to the valuation of the non-financial assets, it is worth to mention the valuation of the real estate portfolio which has become relevant following the adoption, starting from 31 December 2019, of the fair value model (assets held for investment) and the revaluation model (assets used in the business). For these assets, on 31 December 2021, the fair value has been determined through external appraisals. Further information has been reported in the paragraph “Section 8 - Tangible assets - Item 80” of the Notes to the accounts, Part B - Balance sheet - Assets. In this context it is worth to note that - in the upcoming financial years - the fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures will be lifted. Measurement of Credit Exposures With reference to credit exposures, the slow-down of the economic activity resulting from the pandemic Covid-19 and the associated lock-down measures have also affected the estimates on their recoverability and the calculation of the associated loan loss provisions. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, among other factors, forward looking information and the expected evolution of the macro-economic scenario. In this context, the Bank has updated macro-economic scenarios as at 31 December 2021 considering, as already underlined, in addition to a Baseline scenario (as already mentioned), a negative scenario and a positive scenario by applying proper weighting factors. • Negative Scenario, it reflects the assumption that Virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, the US is assumed to adopt less stringent measures than the eurozone countries, similarly to the previous waves. It is also assumed that some sort of herd immunity is only reached towards the end of the forecasting horizon. Given these assumptions, the Covid-19 crisis dampens private demand by more than assumed in the baseline scenario, and scarring effects are larger. Governments will keep expansionary policies in place to mitigate the effects of the pandemic and to preserve social stability. After expanding by 5% in 2021, Eurozone GDP would: (i) increase by 2.6% in 2022 (-1.7% compared to baseline), (ii) followed by an expansion of only 0.4% in 2023 (-1.7%) and 0.7% in 2024 (-1.0%), then (iii) then, by the end of 2024, remain well below its pre-crisis trend line. Disinflationary forces materialize, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, Eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. Policy rates remain unchanged in the US through 2023 and in the Euro area throughout the whole forecast horizon. BTP credit spreads continue to benefit from the supportive ECB stance. In this scenario, the spread BTP-Bund is assumed to remain 35bp above the baseline until 2023, and around 15bp in the following year. Company financial statements | Notes to the accounts Part A - Accounting policies 604 2021 Annual Report and Accounts · UniCredit With reference to equity investments in subsidiaries and deferred tax assets, the measurement is significantly influenced by assumptions on future cash flows, which in turn incorporate assumptions on the evolution of the macro-economic scenario. As a result, for the measurement and with the aim to reflect the aforementioned degree of uncertainty, pursuant to requirements of ESMA public statement of 29 October 2021, both the scenarios outlined above have been considered. In particular, the future cash flows have been estimated by weighting the “Baseline” scenario and the “Downturn” scenario with a higher probability attributed to the “Baseline” scenario (respectively 60% vs. 40%). Moreover, additional parameters bring impacts on the measurement of DTA such as the volatility of expected results and the confidence level used. In the context of measurement as at 31 December 2021, the evaluation of these items has been updated through the redetermination, if needed, of the underlying parameters. For further information on the methodology, results and base assumptions used in the impairment test of investments in subsidiaries and deferred tax assets, refer respectively to sections “Section 7 - Equity investments - Item 70” and “Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part B - Balance sheet - Assets. The results of these evaluation might be subject to changes not foreseeable at the moment depending on the evolution of the pandemic, the effect of the relief measures adopted and, ultimately, on the degree of the economic recovery. Possible deviations of the actual economic recovery compared with the assumptions which form the basis of the evaluations might require a re-determination of the parameters used for valuation purposes, in particular with regard to the future cash flows, and the consequent change in the valuation. Measurement of Real estate portfolio Always with reference to the valuation of the non-financial assets, it is worth to mention the valuation of the real estate portfolio which has become relevant following the adoption, starting from 31 December 2019, of the fair value model (assets held for investment) and the revaluation model (assets used in the business). For these assets, on 31 December 2021, the fair value has been determined through external appraisals. Further information has been reported in the paragraph “Section 8 - Tangible assets - Item 80” of the Notes to the accounts, Part B - Balance sheet - Assets. In this context it is worth to note that - in the upcoming financial years - the fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures will be lifted. Measurement of Credit Exposures With reference to credit exposures, the slow-down of the economic activity resulting from the pandemic Covid-19 and the associated lock-down measures have also affected the estimates on their recoverability and the calculation of the associated loan loss provisions. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, among other factors, forward looking information and the expected evolution of the macro-economic scenario. In this context, the Bank has updated macro-economic scenarios as at 31 December 2021 considering, as already underlined, in addition to a Baseline scenario (as already mentioned), a negative scenario and a positive scenario by applying proper weighting factors. • Negative Scenario, it reflects the assumption that Virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, the US is assumed to adopt less stringent measures than the eurozone countries, similarly to the previous waves. It is also assumed that some sort of herd immunity is only reached towards the end of the forecasting horizon. Given these assumptions, the Covid-19 crisis dampens private demand by more than assumed in the baseline scenario, and scarring effects are larger. Governments will keep expansionary policies in place to mitigate the effects of the pandemic and to preserve social stability. After expanding by 5% in 2021, Eurozone GDP would: (i) increase by 2.6% in 2022 (-1.7% compared to baseline), (ii) followed by an expansion of only 0.4% in 2023 (-1.7%) and 0.7% in 2024 (-1.0%), then (iii) then, by the end of 2024, remain well below its pre-crisis trend line. Disinflationary forces materialize, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, Eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. Policy rates remain unchanged in the US through 2023 and in the Euro area throughout the whole forecast horizon. BTP credit spreads continue to benefit from the supportive ECB stance. In this scenario, the spread BTP-Bund is assumed to remain 35bp above the baseline until 2023, and around 15bp in the following year. Company financial statements | Notes to the accounts Part A - Accounting policies 604 2021 Annual Report and Accounts · UniCredit With reference to equity investments in subsidiaries and deferred tax assets, the measurement is significantly influenced by assumptions on future cash flows, which in turn incorporate assumptions on the evolution of the macro-economic scenario. As a result, for the measurement and with the aim to reflect the aforementioned degree of uncertainty, pursuant to requirements of ESMA public statement of 29 October 2021, both the scenarios outlined above have been considered. In particular, the future cash flows have been estimated by weighting the “Baseline” scenario and the “Downturn” scenario with a higher probability attributed to the “Baseline” scenario (respectively 60% vs. 40%). Moreover, additional parameters bring impacts on the measurement of DTA such as the volatility of expected results and the confidence level used. In the context of measurement as at 31 December 2021, the evaluation of these items has been updated through the redetermination, if needed, of the underlying parameters. For further information on the methodology, results and base assumptions used in the impairment test of investments in subsidiaries and deferred tax assets, refer respectively to sections “Section 7 - Equity investments - Item 70” and “Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part B - Balance sheet - Assets. The results of these evaluation might be subject to changes not foreseeable at the moment depending on the evolution of the pandemic, the effect of the relief measures adopted and, ultimately, on the degree of the economic recovery. Possible deviations of the actual economic recovery compared with the assumptions which form the basis of the evaluations might require a re-determination of the parameters used for valuation purposes, in particular with regard to the future cash flows, and the consequent change in the valuation. Measurement of Real estate portfolio Always with reference to the valuation of the non-financial assets, it is worth to mention the valuation of the real estate portfolio which has become relevant following the adoption, starting from 31 December 2019, of the fair value model (assets held for investment) and the revaluation model (assets used in the business). For these assets, on 31 December 2021, the fair value has been determined through external appraisals. Further information has been reported in the paragraph “Section 8 - Tangible assets - Item 80” of the Notes to the accounts, Part B - Balance sheet - Assets. In this context it is worth to note that - in the upcoming financial years - the fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures will be lifted. Measurement of Credit Exposures With reference to credit exposures, the slow-down of the economic activity resulting from the pandemic Covid-19 and the associated lock-down measures have also affected the estimates on their recoverability and the calculation of the associated loan loss provisions. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, among other factors, forward looking information and the expected evolution of the macro-economic scenario. In this context, the Bank has updated macro-economic scenarios as at 31 December 2021 considering, as already underlined, in addition to a Baseline scenario (as already mentioned), a negative scenario and a positive scenario by applying proper weighting factors. • Negative Scenario, it reflects the assumption that Virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, the US is assumed to adopt less stringent measures than the eurozone countries, similarly to the previous waves. It is also assumed that some sort of herd immunity is only reached towards the end of the forecasting horizon. Given these assumptions, the Covid-19 crisis dampens private demand by more than assumed in the baseline scenario, and scarring effects are larger. Governments will keep expansionary policies in place to mitigate the effects of the pandemic and to preserve social stability. After expanding by 5% in 2021, Eurozone GDP would: (i) increase by 2.6% in 2022 (-1.7% compared to baseline), (ii) followed by an expansion of only 0.4% in 2023 (-1.7%) and 0.7% in 2024 (-1.0%), then (iii) then, by the end of 2024, remain well below its pre-crisis trend line. Disinflationary forces materialize, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, Eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. Policy rates remain unchanged in the US through 2023 and in the Euro area throughout the whole forecast horizon. BTP credit spreads continue to benefit from the supportive ECB stance. In this scenario, the spread BTP-Bund is assumed to remain 35bp above the baseline until 2023, and around 15bp in the following year. Company financial statements | Notes to the accounts Part A - Accounting policies 604 2021 Annual Report and Accounts · UniCredit With reference to equity investments in subsidiaries and deferred tax assets, the measurement is significantly influenced by assumptions on future cash flows, which in turn incorporate assumptions on the evolution of the macro-economic scenario. As a result, for the measurement and with the aim to reflect the aforementioned degree of uncertainty, pursuant to requirements of ESMA public statement of 29 October 2021, both the scenarios outlined above have been considered. In particular, the future cash flows have been estimated by weighting the “Baseline” scenario and the “Downturn” scenario with a higher probability attributed to the “Baseline” scenario (respectively 60% vs. 40%). Moreover, additional parameters bring impacts on the measurement of DTA such as the volatility of expected results and the confidence level used. In the context of measurement as at 31 December 2021, the evaluation of these items has been updated through the redetermination, if needed, of the underlying parameters. For further information on the methodology, results and base assumptions used in the impairment test of investments in subsidiaries and deferred tax assets, refer respectively to sections “Section 7 - Equity investments - Item 70” and “Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part B - Balance sheet - Assets. The results of these evaluation might be subject to changes not foreseeable at the moment depending on the evolution of the pandemic, the effect of the relief measures adopted and, ultimately, on the degree of the economic recovery. Possible deviations of the actual economic recovery compared with the assumptions which form the basis of the evaluations might require a re-determination of the parameters used for valuation purposes, in particular with regard to the future cash flows, and the consequent change in the valuation. Measurement of Real estate portfolio Always with reference to the valuation of the non-financial assets, it is worth to mention the valuation of the real estate portfolio which has become relevant following the adoption, starting from 31 December 2019, of the fair value model (assets held for investment) and the revaluation model (assets used in the business). For these assets, on 31 December 2021, the fair value has been determined through external appraisals. Further information has been reported in the paragraph “Section 8 - Tangible assets - Item 80” of the Notes to the accounts, Part B - Balance sheet - Assets. In this context it is worth to note that - in the upcoming financial years - the fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures will be lifted. Measurement of Credit Exposures With reference to credit exposures, the slow-down of the economic activity resulting from the pandemic Covid-19 and the associated lock-down measures have also affected the estimates on their recoverability and the calculation of the associated loan loss provisions. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, among other factors, forward looking information and the expected evolution of the macro-economic scenario. In this context, the Bank has updated macro-economic scenarios as at 31 December 2021 considering, as already underlined, in addition to a Baseline scenario (as already mentioned), a negative scenario and a positive scenario by applying proper weighting factors. • Negative Scenario, it reflects the assumption that Virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, the US is assumed to adopt less stringent measures than the eurozone countries, similarly to the previous waves. It is also assumed that some sort of herd immunity is only reached towards the end of the forecasting horizon. Given these assumptions, the Covid-19 crisis dampens private demand by more than assumed in the baseline scenario, and scarring effects are larger. Governments will keep expansionary policies in place to mitigate the effects of the pandemic and to preserve social stability. After expanding by 5% in 2021, Eurozone GDP would: (i) increase by 2.6% in 2022 (-1.7% compared to baseline), (ii) followed by an expansion of only 0.4% in 2023 (-1.7%) and 0.7% in 2024 (-1.0%), then (iii) then, by the end of 2024, remain well below its pre-crisis trend line. Disinflationary forces materialize, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, Eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. Policy rates remain unchanged in the US through 2023 and in the Euro area throughout the whole forecast horizon. BTP credit spreads continue to benefit from the supportive ECB stance. In this scenario, the spread BTP-Bund is assumed to remain 35bp above the baseline until 2023, and around 15bp in the following year. Company financial statements | Notes to the accounts Part A - Accounting policies 604 2021 Annual Report and Accounts · UniCredit With reference to equity investments in subsidiaries and deferred tax assets, the measurement is significantly influenced by assumptions on future cash flows, which in turn incorporate assumptions on the evolution of the macro-economic scenario. As a result, for the measurement and with the aim to reflect the aforementioned degree of uncertainty, pursuant to requirements of ESMA public statement of 29 October 2021, both the scenarios outlined above have been considered. In particular, the future cash flows have been estimated by weighting the “Baseline” scenario and the “Downturn” scenario with a higher probability attributed to the “Baseline” scenario (respectively 60% vs. 40%). Moreover, additional parameters bring impacts on the measurement of DTA such as the volatility of expected results and the confidence level used. In the context of measurement as at 31 December 2021, the evaluation of these items has been updated through the redetermination, if needed, of the underlying parameters. For further information on the methodology, results and base assumptions used in the impairment test of investments in subsidiaries and deferred tax assets, refer respectively to sections “Section 7 - Equity investments - Item 70” and “Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities)” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part B - Balance sheet - Assets. The results of these evaluation might be subject to changes not foreseeable at the moment depending on the evolution of the pandemic, the effect of the relief measures adopted and, ultimately, on the degree of the economic recovery. Possible deviations of the actual economic recovery compared with the assumptions which form the basis of the evaluations might require a re-determination of the parameters used for valuation purposes, in particular with regard to the future cash flows, and the consequent change in the valuation. Measurement of Real estate portfolio Always with reference to the valuation of the non-financial assets, it is worth to mention the valuation of the real estate portfolio which has become relevant following the adoption, starting from 31 December 2019, of the fair value model (assets held for investment) and the revaluation model (assets used in the business). For these assets, on 31 December 2021, the fair value has been determined through external appraisals. Further information has been reported in the paragraph “Section 8 - Tangible assets - Item 80” of the Notes to the accounts, Part B - Balance sheet - Assets. In this context it is worth to note that - in the upcoming financial years - the fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures will be lifted. Measurement of Credit Exposures With reference to credit exposures, the slow-down of the economic activity resulting from the pandemic Covid-19 and the associated lock-down measures have also affected the estimates on their recoverability and the calculation of the associated loan loss provisions. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, among other factors, forward looking information and the expected evolution of the macro-economic scenario. In this context, the Bank has updated macro-economic scenarios as at 31 December 2021 considering, as already underlined, in addition to a Baseline scenario (as already mentioned), a negative scenario and a positive scenario by applying proper weighting factors. • Negative Scenario, it reflects the assumption that Virus mutation will cause Europe and the US to face a new severe wave of the pandemic. This will force governments to reintroduce restrictions to mobility and business activity. Despite a lower vaccination rate, the US is assumed to adopt less stringent measures than the eurozone countries, similarly to the previous waves. It is also assumed that some sort of herd immunity is only reached towards the end of the forecasting horizon. Given these assumptions, the Covid-19 crisis dampens private demand by more than assumed in the baseline scenario, and scarring effects are larger. Governments will keep expansionary policies in place to mitigate the effects of the pandemic and to preserve social stability. After expanding by 5% in 2021, Eurozone GDP would: (i) increase by 2.6% in 2022 (-1.7% compared to baseline), (ii) followed by an expansion of only 0.4% in 2023 (-1.7%) and 0.7% in 2024 (-1.0%), then (iii) then, by the end of 2024, remain well below its pre-crisis trend line. Disinflationary forces materialize, as demand weakness and a widening of the difference between the potential and actual GDP (output gap) prevails over supply-side disruption. Together with lower oil prices, this puts downward pressure on inflation. Throughout the forecasting horizon, Eurozone headline inflation fluctuates around 1.5%, below the 2% ECB target over the medium term. Monetary policy responds to the deterioration in the outlook for growth and inflation and to any potential threat to the transmission mechanisms of monetary policy. Policy rates remain unchanged in the US through 2023 and in the Euro area throughout the whole forecast horizon. BTP credit spreads continue to benefit from the supportive ECB stance. In this scenario, the spread BTP-Bund is assumed to remain 35bp above the baseline until 2023, and around 15bp in the following year. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 605 • Positive Scenario: it reflects the assumption that roll-out of vaccines boosts confidence and GDP by more than in baseline scenario. A materially stronger pace of recovery is driven by households, which significantly reduce precautionary savings, and firms which forcefully resume investment plans put on hold. Driven by pent-up demand, Eurozone GDP is back to its pre-pandemic trend line by the end of 2022. Governments progressively scale back their support measures. In this scenario, Eurozone GDP grows by 5.8% in 2022 (+1.5% compared to baseline); by 3.6% in 2023 (+1.5%); by 2.5% in 2024 (+0.8%). The difference between the potential and actual GDP (output gap) closes by the end of 2022. Core inflation moves higher, mainly boosted by price increases in sectors most hit by the pandemic while supply bottlenecks last for longer. Over the forecasting horizon, Eurozone headline inflation settles at around 2%, a level in line with the ECB’s definition of price stability. Central banks retain an accommodative stance but less than in baseline projections. The improved economic outlook benefits BTPs, whose spread remains tighter compared to the baseline. Particularly, the 10Y BTP-Bund spread is expected to be 25bp lower than the baseline in 2022 and 45 bps lower in the following two years. For details refer to table below. INTEREST RATES AND YIELD ENVIRONMENT, EoP%(*) 2022 2023 2024 Negative Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 15 20 40 Spread BTP - Bund (bps) 160 160 140 Real GDP growth y/y, % Italy 2.3 - - Germany 3.0 0.2 0.4 Central Europe(**) 2.9 1.2 1.5 Eastern Europe(***) 1.6 1.3 1.8 Positive Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 45 60 65 Spread BTP - Bund (bps) 100 80 80 Real GDP growth y/y, % Italy 5.6 3.3 2.1 Germany 6.7 3.9 3.1 Central Europe(**) 6.2 4.8 3.4 Eastern Europe(***) 4.2 3.9 3.2 Notes: (*) For Baseline Scenario data refer to the table above. (**) Includes Austria. (***) Include Russia. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 Company financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the base scenario and the positive scenario have been kept at 55% and 5% respectively. For additional information on the measurement of credit exposure refer to the paragraph “2.1 Credit risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. As well as for other assets, the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, among other factors, the ability of the customers to service their debt once moratoria measures will expire. In addition, adjustments to the loan loss provisions, might derive from the occurrence of a macro-economic scenario different from the one estimated for the calculation of the credit risk parameters or by the prevalence on the market of non-performing exposures of prices different from those used in the measurement. Finally, the evolution of the real estate market could impact on the value of properties received as collateral and may require an adjustment to the loan loss provisions. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 605 • Positive Scenario: it reflects the assumption that roll-out of vaccines boosts confidence and GDP by more than in baseline scenario. A materially stronger pace of recovery is driven by households, which significantly reduce precautionary savings, and firms which forcefully resume investment plans put on hold. Driven by pent-up demand, Eurozone GDP is back to its pre-pandemic trend line by the end of 2022. Governments progressively scale back their support measures. In this scenario, Eurozone GDP grows by 5.8% in 2022 (+1.5% compared to baseline); by 3.6% in 2023 (+1.5%); by 2.5% in 2024 (+0.8%). The difference between the potential and actual GDP (output gap) closes by the end of 2022. Core inflation moves higher, mainly boosted by price increases in sectors most hit by the pandemic while supply bottlenecks last for longer. Over the forecasting horizon, Eurozone headline inflation settles at around 2%, a level in line with the ECB’s definition of price stability. Central banks retain an accommodative stance but less than in baseline projections. The improved economic outlook benefits BTPs, whose spread remains tighter compared to the baseline. Particularly, the 10Y BTP-Bund spread is expected to be 25bp lower than the baseline in 2022 and 45 bps lower in the following two years. For details refer to table below. INTEREST RATES AND YIELD ENVIRONMENT, EoP%(*) 2022 2023 2024 Negative Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 15 20 40 Spread BTP - Bund (bps) 160 160 140 Real GDP growth y/y, % Italy 2.3 - - Germany 3.0 0.2 0.4 Central Europe(**) 2.9 1.2 1.5 Eastern Europe(***) 1.6 1.3 1.8 Positive Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 45 60 65 Spread BTP - Bund (bps) 100 80 80 Real GDP growth y/y, % Italy 5.6 3.3 2.1 Germany 6.7 3.9 3.1 Central Europe(**) 6.2 4.8 3.4 Eastern Europe(***) 4.2 3.9 3.2 Notes: (*) For Baseline Scenario data refer to the table above. (**) Includes Austria. (***) Include Russia. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 Company financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the base scenario and the positive scenario have been kept at 55% and 5% respectively. For additional information on the measurement of credit exposure refer to the paragraph “2.1 Credit risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. As well as for other assets, the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, among other factors, the ability of the customers to service their debt once moratoria measures will expire. In addition, adjustments to the loan loss provisions, might derive from the occurrence of a macro-economic scenario different from the one estimated for the calculation of the credit risk parameters or by the prevalence on the market of non-performing exposures of prices different from those used in the measurement. Finally, the evolution of the real estate market could impact on the value of properties received as collateral and may require an adjustment to the loan loss provisions. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 605 • Positive Scenario: it reflects the assumption that roll-out of vaccines boosts confidence and GDP by more than in baseline scenario. A materially stronger pace of recovery is driven by households, which significantly reduce precautionary savings, and firms which forcefully resume investment plans put on hold. Driven by pent-up demand, Eurozone GDP is back to its pre-pandemic trend line by the end of 2022. Governments progressively scale back their support measures. In this scenario, Eurozone GDP grows by 5.8% in 2022 (+1.5% compared to baseline); by 3.6% in 2023 (+1.5%); by 2.5% in 2024 (+0.8%). The difference between the potential and actual GDP (output gap) closes by the end of 2022. Core inflation moves higher, mainly boosted by price increases in sectors most hit by the pandemic while supply bottlenecks last for longer. Over the forecasting horizon, Eurozone headline inflation settles at around 2%, a level in line with the ECB’s definition of price stability. Central banks retain an accommodative stance but less than in baseline projections. The improved economic outlook benefits BTPs, whose spread remains tighter compared to the baseline. Particularly, the 10Y BTP-Bund spread is expected to be 25bp lower than the baseline in 2022 and 45 bps lower in the following two years. For details refer to table below. INTEREST RATES AND YIELD ENVIRONMENT, EoP%(*) 2022 2023 2024 Negative Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 15 20 40 Spread BTP - Bund (bps) 160 160 140 Real GDP growth y/y, % Italy 2.3 - - Germany 3.0 0.2 0.4 Central Europe(**) 2.9 1.2 1.5 Eastern Europe(***) 1.6 1.3 1.8 Positive Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 45 60 65 Spread BTP - Bund (bps) 100 80 80 Real GDP growth y/y, % Italy 5.6 3.3 2.1 Germany 6.7 3.9 3.1 Central Europe(**) 6.2 4.8 3.4 Eastern Europe(***) 4.2 3.9 3.2 Notes: (*) For Baseline Scenario data refer to the table above. (**) Includes Austria. (***) Include Russia. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 Company financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the base scenario and the positive scenario have been kept at 55% and 5% respectively. For additional information on the measurement of credit exposure refer to the paragraph “2.1 Credit risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. As well as for other assets, the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, among other factors, the ability of the customers to service their debt once moratoria measures will expire. In addition, adjustments to the loan loss provisions, might derive from the occurrence of a macro-economic scenario different from the one estimated for the calculation of the credit risk parameters or by the prevalence on the market of non-performing exposures of prices different from those used in the measurement. Finally, the evolution of the real estate market could impact on the value of properties received as collateral and may require an adjustment to the loan loss provisions. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 605 • Positive Scenario: it reflects the assumption that roll-out of vaccines boosts confidence and GDP by more than in baseline scenario. A materially stronger pace of recovery is driven by households, which significantly reduce precautionary savings, and firms which forcefully resume investment plans put on hold. Driven by pent-up demand, Eurozone GDP is back to its pre-pandemic trend line by the end of 2022. Governments progressively scale back their support measures. In this scenario, Eurozone GDP grows by 5.8% in 2022 (+1.5% compared to baseline); by 3.6% in 2023 (+1.5%); by 2.5% in 2024 (+0.8%). The difference between the potential and actual GDP (output gap) closes by the end of 2022. Core inflation moves higher, mainly boosted by price increases in sectors most hit by the pandemic while supply bottlenecks last for longer. Over the forecasting horizon, Eurozone headline inflation settles at around 2%, a level in line with the ECB’s definition of price stability. Central banks retain an accommodative stance but less than in baseline projections. The improved economic outlook benefits BTPs, whose spread remains tighter compared to the baseline. Particularly, the 10Y BTP-Bund spread is expected to be 25bp lower than the baseline in 2022 and 45 bps lower in the following two years. For details refer to table below. INTEREST RATES AND YIELD ENVIRONMENT, EoP%(*) 2022 2023 2024 Negative Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 15 20 40 Spread BTP - Bund (bps) 160 160 140 Real GDP growth y/y, % Italy 2.3 - - Germany 3.0 0.2 0.4 Central Europe(**) 2.9 1.2 1.5 Eastern Europe(***) 1.6 1.3 1.8 Positive Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 45 60 65 Spread BTP - Bund (bps) 100 80 80 Real GDP growth y/y, % Italy 5.6 3.3 2.1 Germany 6.7 3.9 3.1 Central Europe(**) 6.2 4.8 3.4 Eastern Europe(***) 4.2 3.9 3.2 Notes: (*) For Baseline Scenario data refer to the table above. (**) Includes Austria. (***) Include Russia. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 Company financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the base scenario and the positive scenario have been kept at 55% and 5% respectively. For additional information on the measurement of credit exposure refer to the paragraph “2.1 Credit risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. As well as for other assets, the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, among other factors, the ability of the customers to service their debt once moratoria measures will expire. In addition, adjustments to the loan loss provisions, might derive from the occurrence of a macro-economic scenario different from the one estimated for the calculation of the credit risk parameters or by the prevalence on the market of non-performing exposures of prices different from those used in the measurement. Finally, the evolution of the real estate market could impact on the value of properties received as collateral and may require an adjustment to the loan loss provisions. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 605 • Positive Scenario: it reflects the assumption that roll-out of vaccines boosts confidence and GDP by more than in baseline scenario. A materially stronger pace of recovery is driven by households, which significantly reduce precautionary savings, and firms which forcefully resume investment plans put on hold. Driven by pent-up demand, Eurozone GDP is back to its pre-pandemic trend line by the end of 2022. Governments progressively scale back their support measures. In this scenario, Eurozone GDP grows by 5.8% in 2022 (+1.5% compared to baseline); by 3.6% in 2023 (+1.5%); by 2.5% in 2024 (+0.8%). The difference between the potential and actual GDP (output gap) closes by the end of 2022. Core inflation moves higher, mainly boosted by price increases in sectors most hit by the pandemic while supply bottlenecks last for longer. Over the forecasting horizon, Eurozone headline inflation settles at around 2%, a level in line with the ECB’s definition of price stability. Central banks retain an accommodative stance but less than in baseline projections. The improved economic outlook benefits BTPs, whose spread remains tighter compared to the baseline. Particularly, the 10Y BTP-Bund spread is expected to be 25bp lower than the baseline in 2022 and 45 bps lower in the following two years. For details refer to table below. INTEREST RATES AND YIELD ENVIRONMENT, EoP%(*) 2022 2023 2024 Negative Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 15 20 40 Spread BTP - Bund (bps) 160 160 140 Real GDP growth y/y, % Italy 2.3 - - Germany 3.0 0.2 0.4 Central Europe(**) 2.9 1.2 1.5 Eastern Europe(***) 1.6 1.3 1.8 Positive Scenario 2021 Euribor 3M (bps) (55) (55) (50) Mid Swap 10Y (bps) 45 60 65 Spread BTP - Bund (bps) 100 80 80 Real GDP growth y/y, % Italy 5.6 3.3 2.1 Germany 6.7 3.9 3.1 Central Europe(**) 6.2 4.8 3.4 Eastern Europe(***) 4.2 3.9 3.2 Notes: (*) For Baseline Scenario data refer to the table above. (**) Includes Austria. (***) Include Russia. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 Company financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the base scenario and the positive scenario have been kept at 55% and 5% respectively. For additional information on the measurement of credit exposure refer to the paragraph “2.1 Credit risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter. As well as for other assets, the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, among other factors, the ability of the customers to service their debt once moratoria measures will expire. In addition, adjustments to the loan loss provisions, might derive from the occurrence of a macro-economic scenario different from the one estimated for the calculation of the credit risk parameters or by the prevalence on the market of non-performing exposures of prices different from those used in the measurement. Finally, the evolution of the real estate market could impact on the value of properties received as collateral and may require an adjustment to the loan loss provisions. Company financial statements | Notes to the accounts Part A - Accounting policies 606 2021 Annual Report and Accounts · UniCredit Other measurements The following additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Bank and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Bank operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Bank operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Directors observed the emergence of Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Government. The Directors have considered these circumstances in the assessments of significant items recognised in the Company financial statements as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Bank will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the document “Company financial statements as at 31 December 2021” was prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the periods 2022-2024. Based upon the aforementioned evaluations, the main Group regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the actual figures at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistently with such evidence the Directors intend to propose in 2022 to the Shareholders’ Meeting to authorise the distribution of a remuneration, in part in cash and in part through shares buyback. Furthermore, on the basis of the Strategic plan, such distributions, consistently with the organic capital generation of each relevant year, are expected to progressively increase in 2023-2024. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. Section 3 - Subsequent events No material events have occurred after the balance sheet date that would make it necessary to change any of the information given in the Company financial statements as of 31 December 2021. For a description of the significant events after year-end refer to the information below. On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access markets in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non performing corporate credit portfolio both secured and unsecured, in Italy. Company financial statements | Notes to the accounts Part A - Accounting policies 606 2021 Annual Report and Accounts · UniCredit Other measurements The following additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Bank and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Bank operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Bank operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Directors observed the emergence of Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Government. The Directors have considered these circumstances in the assessments of significant items recognised in the Company financial statements as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Bank will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the document “Company financial statements as at 31 December 2021” was prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the periods 2022-2024. Based upon the aforementioned evaluations, the main Group regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the actual figures at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistently with such evidence the Directors intend to propose in 2022 to the Shareholders’ Meeting to authorise the distribution of a remuneration, in part in cash and in part through shares buyback. Furthermore, on the basis of the Strategic plan, such distributions, consistently with the organic capital generation of each relevant year, are expected to progressively increase in 2023-2024. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. Section 3 - Subsequent events No material events have occurred after the balance sheet date that would make it necessary to change any of the information given in the Company financial statements as of 31 December 2021. For a description of the significant events after year-end refer to the information below. On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access markets in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non performing corporate credit portfolio both secured and unsecured, in Italy. Company financial statements | Notes to the accounts Part A - Accounting policies 606 2021 Annual Report and Accounts · UniCredit Other measurements The following additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Bank and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Bank operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Bank operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Directors observed the emergence of Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Government. The Directors have considered these circumstances in the assessments of significant items recognised in the Company financial statements as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Bank will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the document “Company financial statements as at 31 December 2021” was prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the periods 2022-2024. Based upon the aforementioned evaluations, the main Group regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the actual figures at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistently with such evidence the Directors intend to propose in 2022 to the Shareholders’ Meeting to authorise the distribution of a remuneration, in part in cash and in part through shares buyback. Furthermore, on the basis of the Strategic plan, such distributions, consistently with the organic capital generation of each relevant year, are expected to progressively increase in 2023-2024. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. Section 3 - Subsequent events No material events have occurred after the balance sheet date that would make it necessary to change any of the information given in the Company financial statements as of 31 December 2021. For a description of the significant events after year-end refer to the information below. On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access markets in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non performing corporate credit portfolio both secured and unsecured, in Italy. Company financial statements | Notes to the accounts Part A - Accounting policies 606 2021 Annual Report and Accounts · UniCredit Other measurements The following additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Bank and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Bank operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Bank operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Directors observed the emergence of Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Government. The Directors have considered these circumstances in the assessments of significant items recognised in the Company financial statements as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Bank will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the document “Company financial statements as at 31 December 2021” was prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the periods 2022-2024. Based upon the aforementioned evaluations, the main Group regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the actual figures at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistently with such evidence the Directors intend to propose in 2022 to the Shareholders’ Meeting to authorise the distribution of a remuneration, in part in cash and in part through shares buyback. Furthermore, on the basis of the Strategic plan, such distributions, consistently with the organic capital generation of each relevant year, are expected to progressively increase in 2023-2024. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. Section 3 - Subsequent events No material events have occurred after the balance sheet date that would make it necessary to change any of the information given in the Company financial statements as of 31 December 2021. For a description of the significant events after year-end refer to the information below. On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access markets in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non performing corporate credit portfolio both secured and unsecured, in Italy. Company financial statements | Notes to the accounts Part A - Accounting policies 606 2021 Annual Report and Accounts · UniCredit Other measurements The following additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Bank and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Bank operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Bank operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Directors observed the emergence of Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Government. The Directors have considered these circumstances in the assessments of significant items recognised in the Company financial statements as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Bank will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the document “Company financial statements as at 31 December 2021” was prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the periods 2022-2024. Based upon the aforementioned evaluations, the main Group regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the actual figures at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistently with such evidence the Directors intend to propose in 2022 to the Shareholders’ Meeting to authorise the distribution of a remuneration, in part in cash and in part through shares buyback. Furthermore, on the basis of the Strategic plan, such distributions, consistently with the organic capital generation of each relevant year, are expected to progressively increase in 2023-2024. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. Section 3 - Subsequent events No material events have occurred after the balance sheet date that would make it necessary to change any of the information given in the Company financial statements as of 31 December 2021. For a description of the significant events after year-end refer to the information below. On 11 January 2022 UniCredit S.p.A. launched a dual tranche Senior Preferred €1.25 billion with 6 years maturity, callable after 5 years, and €500 million with 10 years maturity. The amount issued is part of the 2022 Funding Plan and confirms once again UniCredit's ability to access markets in different formats. On 18 January 2022 UniCredit S.p.A. reached an agreement with a securitisation vehicle managed by KRUK Group in relation to the disposal on a non-recourse basis (pro-soluto) of a non performing corporate credit portfolio both secured and unsecured, in Italy. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 607 The portfolio consists entirely of Italian Non Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 28 January 2022 UniCredit S.p.A. and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. Section 4 - Other matters In 2021 the following standards, amendments or interpretations came into force: • Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2 (EU Regulation 2021/25); • Amendments to IFRS4 Insurance Contracts - deferral of IFRS9 (EU Regulation 2020/2097); • Amendments to IFRS16 Leases: Covid-19-Related Rent Concessions beyond 30 June 2021 (EU Regulation 2021/1421). whose adoption has not determined substantial effects on the amounts recognised in balance sheet or income statement. With reference to the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions beyond 30 June 2021” and “Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2” additional explanations are provided below in this section. As at 31 December 2021, the following documents have been endorsed by the European Commission: • Amendments to IFRS3 Business Combinations; IAS16 Property, Plant and Equipment; IAS37 Provisions, Contingent Liabilities and Contingent Assets; and Annual Improvements 2018-2020” (EU Regulation 2021/1080) applicable to reporting starting from 1 January 2022; and • IFRS17 Insurance Contracts; including Amendments to IFRS17 (EU Regulation 2021/2036) applicable to reporting starting from 1 January 2023. As at 31 December 2021 the IASB issued the following accounting standards whose application is subject to completion of the endorsement process by the competent bodies of the European Commission, which is still ongoing: • Amendments to IAS1 Presentation of Financial Statements: Classification of Liabilities as Current or Non-current and Classification of Liabilities as Current or Non-current - Deferral of Effective Date (January 2020 and July 2020 respectively); • Amendments to IAS1 Presentation of Financial Statements and IFRS Practice Statement 2: Disclosure of Accounting policies (February 2021); • Amendments to IAS8 Accounting policies, Changes in Accounting Estimates and Errors: Definition of Accounting Estimates (February 2021); • Amendments to IAS12 Income Taxes: Deferred Tax related to Assets and Liabilities arising from a Single Transaction (May 2021); • Amendments to IFRS17 Insurance contracts: Initial Application of IFRS17 and IFRS9 - Comparative Information (December 2021) Risks, uncertainties and impacts of Covid-19 pandemic Reference is made to “Section 2 - General preparation criteria” for a description of risks and uncertainty relating to Covid-19 pandemic. Contractual modifications arising from Covid-19 1) Contractual modifications and accounting derecognition (IFRS9) In order to limit the effects of the restriction measures put in place to contain the Covid-19 pandemic, starting from the first half 2020, the Bank has granted to its customers debt moratoria measures. These measures have been granted both following the approval of specific laws by the government and as a result of specific initiatives by the Bank so to complement government initiatives. In particular the following measures have been offered: • Moratorium on mortgages for private Individuals (UniCredit initiative); main features: (i) suspension of the installment (principal) for clients which, before the crisis, were not suffering financial difficulties and whose transaction is not forborne; (ii) maximum duration: 12 months. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 607 The portfolio consists entirely of Italian Non Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 28 January 2022 UniCredit S.p.A. and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. Section 4 - Other matters In 2021 the following standards, amendments or interpretations came into force: • Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2 (EU Regulation 2021/25); • Amendments to IFRS4 Insurance Contracts - deferral of IFRS9 (EU Regulation 2020/2097); • Amendments to IFRS16 Leases: Covid-19-Related Rent Concessions beyond 30 June 2021 (EU Regulation 2021/1421). whose adoption has not determined substantial effects on the amounts recognised in balance sheet or income statement. With reference to the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions beyond 30 June 2021” and “Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2” additional explanations are provided below in this section. As at 31 December 2021, the following documents have been endorsed by the European Commission: • Amendments to IFRS3 Business Combinations; IAS16 Property, Plant and Equipment; IAS37 Provisions, Contingent Liabilities and Contingent Assets; and Annual Improvements 2018-2020” (EU Regulation 2021/1080) applicable to reporting starting from 1 January 2022; and • IFRS17 Insurance Contracts; including Amendments to IFRS17 (EU Regulation 2021/2036) applicable to reporting starting from 1 January 2023. As at 31 December 2021 the IASB issued the following accounting standards whose application is subject to completion of the endorsement process by the competent bodies of the European Commission, which is still ongoing: • Amendments to IAS1 Presentation of Financial Statements: Classification of Liabilities as Current or Non-current and Classification of Liabilities as Current or Non-current - Deferral of Effective Date (January 2020 and July 2020 respectively); • Amendments to IAS1 Presentation of Financial Statements and IFRS Practice Statement 2: Disclosure of Accounting policies (February 2021); • Amendments to IAS8 Accounting policies, Changes in Accounting Estimates and Errors: Definition of Accounting Estimates (February 2021); • Amendments to IAS12 Income Taxes: Deferred Tax related to Assets and Liabilities arising from a Single Transaction (May 2021); • Amendments to IFRS17 Insurance contracts: Initial Application of IFRS17 and IFRS9 - Comparative Information (December 2021) Risks, uncertainties and impacts of Covid-19 pandemic Reference is made to “Section 2 - General preparation criteria” for a description of risks and uncertainty relating to Covid-19 pandemic. Contractual modifications arising from Covid-19 1) Contractual modifications and accounting derecognition (IFRS9) In order to limit the effects of the restriction measures put in place to contain the Covid-19 pandemic, starting from the first half 2020, the Bank has granted to its customers debt moratoria measures. These measures have been granted both following the approval of specific laws by the government and as a result of specific initiatives by the Bank so to complement government initiatives. In particular the following measures have been offered: • Moratorium on mortgages for private Individuals (UniCredit initiative); main features: (i) suspension of the installment (principal) for clients which, before the crisis, were not suffering financial difficulties and whose transaction is not forborne; (ii) maximum duration: 12 months. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 607 The portfolio consists entirely of Italian Non Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 28 January 2022 UniCredit S.p.A. and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. Section 4 - Other matters In 2021 the following standards, amendments or interpretations came into force: • Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2 (EU Regulation 2021/25); • Amendments to IFRS4 Insurance Contracts - deferral of IFRS9 (EU Regulation 2020/2097); • Amendments to IFRS16 Leases: Covid-19-Related Rent Concessions beyond 30 June 2021 (EU Regulation 2021/1421). whose adoption has not determined substantial effects on the amounts recognised in balance sheet or income statement. With reference to the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions beyond 30 June 2021” and “Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2” additional explanations are provided below in this section. As at 31 December 2021, the following documents have been endorsed by the European Commission: • Amendments to IFRS3 Business Combinations; IAS16 Property, Plant and Equipment; IAS37 Provisions, Contingent Liabilities and Contingent Assets; and Annual Improvements 2018-2020” (EU Regulation 2021/1080) applicable to reporting starting from 1 January 2022; and • IFRS17 Insurance Contracts; including Amendments to IFRS17 (EU Regulation 2021/2036) applicable to reporting starting from 1 January 2023. As at 31 December 2021 the IASB issued the following accounting standards whose application is subject to completion of the endorsement process by the competent bodies of the European Commission, which is still ongoing: • Amendments to IAS1 Presentation of Financial Statements: Classification of Liabilities as Current or Non-current and Classification of Liabilities as Current or Non-current - Deferral of Effective Date (January 2020 and July 2020 respectively); • Amendments to IAS1 Presentation of Financial Statements and IFRS Practice Statement 2: Disclosure of Accounting policies (February 2021); • Amendments to IAS8 Accounting policies, Changes in Accounting Estimates and Errors: Definition of Accounting Estimates (February 2021); • Amendments to IAS12 Income Taxes: Deferred Tax related to Assets and Liabilities arising from a Single Transaction (May 2021); • Amendments to IFRS17 Insurance contracts: Initial Application of IFRS17 and IFRS9 - Comparative Information (December 2021) Risks, uncertainties and impacts of Covid-19 pandemic Reference is made to “Section 2 - General preparation criteria” for a description of risks and uncertainty relating to Covid-19 pandemic. Contractual modifications arising from Covid-19 1) Contractual modifications and accounting derecognition (IFRS9) In order to limit the effects of the restriction measures put in place to contain the Covid-19 pandemic, starting from the first half 2020, the Bank has granted to its customers debt moratoria measures. These measures have been granted both following the approval of specific laws by the government and as a result of specific initiatives by the Bank so to complement government initiatives. In particular the following measures have been offered: • Moratorium on mortgages for private Individuals (UniCredit initiative); main features: (i) suspension of the installment (principal) for clients which, before the crisis, were not suffering financial difficulties and whose transaction is not forborne; (ii) maximum duration: 12 months. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 607 The portfolio consists entirely of Italian Non Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 28 January 2022 UniCredit S.p.A. and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. Section 4 - Other matters In 2021 the following standards, amendments or interpretations came into force: • Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2 (EU Regulation 2021/25); • Amendments to IFRS4 Insurance Contracts - deferral of IFRS9 (EU Regulation 2020/2097); • Amendments to IFRS16 Leases: Covid-19-Related Rent Concessions beyond 30 June 2021 (EU Regulation 2021/1421). whose adoption has not determined substantial effects on the amounts recognised in balance sheet or income statement. With reference to the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions beyond 30 June 2021” and “Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2” additional explanations are provided below in this section. As at 31 December 2021, the following documents have been endorsed by the European Commission: • Amendments to IFRS3 Business Combinations; IAS16 Property, Plant and Equipment; IAS37 Provisions, Contingent Liabilities and Contingent Assets; and Annual Improvements 2018-2020” (EU Regulation 2021/1080) applicable to reporting starting from 1 January 2022; and • IFRS17 Insurance Contracts; including Amendments to IFRS17 (EU Regulation 2021/2036) applicable to reporting starting from 1 January 2023. As at 31 December 2021 the IASB issued the following accounting standards whose application is subject to completion of the endorsement process by the competent bodies of the European Commission, which is still ongoing: • Amendments to IAS1 Presentation of Financial Statements: Classification of Liabilities as Current or Non-current and Classification of Liabilities as Current or Non-current - Deferral of Effective Date (January 2020 and July 2020 respectively); • Amendments to IAS1 Presentation of Financial Statements and IFRS Practice Statement 2: Disclosure of Accounting policies (February 2021); • Amendments to IAS8 Accounting policies, Changes in Accounting Estimates and Errors: Definition of Accounting Estimates (February 2021); • Amendments to IAS12 Income Taxes: Deferred Tax related to Assets and Liabilities arising from a Single Transaction (May 2021); • Amendments to IFRS17 Insurance contracts: Initial Application of IFRS17 and IFRS9 - Comparative Information (December 2021) Risks, uncertainties and impacts of Covid-19 pandemic Reference is made to “Section 2 - General preparation criteria” for a description of risks and uncertainty relating to Covid-19 pandemic. Contractual modifications arising from Covid-19 1) Contractual modifications and accounting derecognition (IFRS9) In order to limit the effects of the restriction measures put in place to contain the Covid-19 pandemic, starting from the first half 2020, the Bank has granted to its customers debt moratoria measures. These measures have been granted both following the approval of specific laws by the government and as a result of specific initiatives by the Bank so to complement government initiatives. In particular the following measures have been offered: • Moratorium on mortgages for private Individuals (UniCredit initiative); main features: (i) suspension of the installment (principal) for clients which, before the crisis, were not suffering financial difficulties and whose transaction is not forborne; (ii) maximum duration: 12 months. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 607 The portfolio consists entirely of Italian Non Performing Exposures with a claim value of approximately €222 million. The economic impact was recognised in the 2021 Financial Statements, where the portfolio will be classified as held-for-sale, in accordance with IFRS5. On 28 January 2022 UniCredit S.p.A. and Allianz announced having signed a multi-country framework agreement, setting the basis for enhanced collaboration benefiting clients of both companies. The agreement covers UniCredit's footprint in Italy, Germany, Central and Eastern Europe and appropriately recognises both partners' contribution to the value that is being created. The agreement encompasses joint investments aimed at integrating and accelerating the digitalization of our processes. It will also pave the way for a cooperation between the two groups in the insure-banking business, allowing UniCredit to offer its best-in-class banking products to customers on Allianz's open platform in Germany, Italy and other jurisdictions. On 3 February 2022 it was announced that, following the communication received from the ECB in relation to the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit's Pillar 2 Capital Requirement (P2R) is confirmed at 175 basis points. Since 1 March 2022 UniCredit shall respect the following capital requirements on a consolidated basis, unchanged with respect to those previously applied, and equal to: • 9.03 per cent CET1 ratio; • 10.86 per cent Tier 1 ratio; • 13.30 per cent Total Capital ratio. Section 4 - Other matters In 2021 the following standards, amendments or interpretations came into force: • Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2 (EU Regulation 2021/25); • Amendments to IFRS4 Insurance Contracts - deferral of IFRS9 (EU Regulation 2020/2097); • Amendments to IFRS16 Leases: Covid-19-Related Rent Concessions beyond 30 June 2021 (EU Regulation 2021/1421). whose adoption has not determined substantial effects on the amounts recognised in balance sheet or income statement. With reference to the “Amendment to IFRS16 Leases Covid-19 Related Rent Concessions beyond 30 June 2021” and “Amendments to IFRS9, IAS39, IFRS7, IFRS4 and IFRS16 Interest Rate Benchmark Reform - Phase 2” additional explanations are provided below in this section. As at 31 December 2021, the following documents have been endorsed by the European Commission: • Amendments to IFRS3 Business Combinations; IAS16 Property, Plant and Equipment; IAS37 Provisions, Contingent Liabilities and Contingent Assets; and Annual Improvements 2018-2020” (EU Regulation 2021/1080) applicable to reporting starting from 1 January 2022; and • IFRS17 Insurance Contracts; including Amendments to IFRS17 (EU Regulation 2021/2036) applicable to reporting starting from 1 January 2023. As at 31 December 2021 the IASB issued the following accounting standards whose application is subject to completion of the endorsement process by the competent bodies of the European Commission, which is still ongoing: • Amendments to IAS1 Presentation of Financial Statements: Classification of Liabilities as Current or Non-current and Classification of Liabilities as Current or Non-current - Deferral of Effective Date (January 2020 and July 2020 respectively); • Amendments to IAS1 Presentation of Financial Statements and IFRS Practice Statement 2: Disclosure of Accounting policies (February 2021); • Amendments to IAS8 Accounting policies, Changes in Accounting Estimates and Errors: Definition of Accounting Estimates (February 2021); • Amendments to IAS12 Income Taxes: Deferred Tax related to Assets and Liabilities arising from a Single Transaction (May 2021); • Amendments to IFRS17 Insurance contracts: Initial Application of IFRS17 and IFRS9 - Comparative Information (December 2021) Risks, uncertainties and impacts of Covid-19 pandemic Reference is made to “Section 2 - General preparation criteria” for a description of risks and uncertainty relating to Covid-19 pandemic. Contractual modifications arising from Covid-19 1) Contractual modifications and accounting derecognition (IFRS9) In order to limit the effects of the restriction measures put in place to contain the Covid-19 pandemic, starting from the first half 2020, the Bank has granted to its customers debt moratoria measures. These measures have been granted both following the approval of specific laws by the government and as a result of specific initiatives by the Bank so to complement government initiatives. In particular the following measures have been offered: • Moratorium on mortgages for private Individuals (UniCredit initiative); main features: (i) suspension of the installment (principal) for clients which, before the crisis, were not suffering financial difficulties and whose transaction is not forborne; (ii) maximum duration: 12 months. Company financial statements | Notes to the accounts Part A - Accounting policies 608 2021 Annual Report and Accounts · UniCredit • Moratorium on mortgages for private Individuals (Government initiative); main features: (i) the scope is extended also to clients suffering financial difficulties before crisis, as long as the delay in payments does not exceed 90 days, as well as self-employed works and professionals; (ii) maximum duration: 18 months; (iii) fund will pay interest accrued on the residual debt during the suspension period up to 50%; (iv) moratorium already in force for employees is extended to self-employed workers and professionals who have incurred as a result of emergency a decrease in turnover of more than 33%; (v) suppressed the ISEE requirement (income limit); (vi) suspension of the whole installment (principal and interests). The “Ristori” Decree (in force since 25 December 2020) prorogated: (i) until 31 December 2021 the possibility for banks to suspend the loan installments without waiting for Consap outcome; (ii) until 9 April 2022: the access to Fund benefits for loans in amortization for less than 1 year (no prorogation Fund interventions for professionals and entrepreneurs); • Moratorium for SME (Italian Banking Association and UniCredit initiative); main features: (i) suspension of the installment (principal); (ii) maximum duration 12 months; (iii) performing counterparties, excluding lending positions for which the suspension or extension has already been granted within the 24 months prior to the application date; • Moratorium for Micro Enterprises and SME (Government initiative with Law decree “Cura Italia”); main features: (i) irrevocability (until 30 September 2020) of the credit lines granted "until revoked" and of loans granted on advance on credits (the guarantee covers 33% of the increased credit line used between the date of entry into force of the decree and 30 September 2020); (ii) postponement (until 30 September 2020 under the same conditions) of the repayment of non-installment loans due to mature before 30 September 2020 (guarantee covers 33%); (iii) suspension (till 30 September 2020) of the payment of the instalments of loans (principal and interests) due to mature before 30 September 2020 (guarantee covers 33%).Subsequently: - the “August” Decree Law of 14 August 2020, No.104, converted into Law No.126 of 13 October 2020, containing several urgent measures in support of health, work and economy, linked to the Covid-19 emergency: • extended the moratorium for SME set by the Decree Cura Italia until 31 January 2021 (previous 30 September 2020). The extension operates automatically, unless expressly waived by the beneficiary company; • extended to 31 March 2021 the moratorium for the tourist sector, for mortgage payments only, specifying that tourism-sector companies are: tourism-accommodation companies, travel and tourism agencies and tour operators, spas and physical wellness centers, subjects that manage amusement parks or theme parks, subjects that carry out tourist guide and assistance activities. - The Budget law 2021 (law 178/2020, Art. 1, paragraphs 248-254) extended the moratorium for the SME until 30 June 2021 - the “Sostegni-bis” Law Decree of 25 May 2021, n.73 containing urgent measures related to the emergency from Covid-19, for companies, work, young people, health and local services extended to 31 December 2021 of the SMEs’ moratorium (Art.56 DL Cura Italia), only to capital amount. The extension concerns not only mortgages and other installment repayment loans but also credit lines and non-installment loans. The extension no longer operates automatically but the beneficiary must send a communication to the lender by June 15, 2021. In accordance with ESMA's declaration76 which clarified that it is unlikely that the contractual changes resulting from these moratoria can be considered as substantial, the Bank has not derecognised the related credit exposures77. A modification loss is consequently recognised in item “140. Gains/Losses from contractual changes with no cancellations" if the increase in future payments is not sufficient to remunerate the Bank for the postponement period also in light of local laws and regulations. 2) Amendment to IFRS16 accounting standard The IASB published 28 May 2020 the "Amendment to IFRS16 Leases Covid-19 Related Rent Concessions" which has been endorsed 15 December 2020. Such amendments provide lessees with an exemption (permitted and not required) from assessing whether a Covid-19-related rent concession is a lease modification. Entities applying the exemption, available from 1 June 2020, would account for the changes as if they were not lease modifications. If the exemption is applied by the lessee then: • forgiveness or waiver of lease payments are accounted for as a variable lease payment against the derecognition of the part of lease liability forgiven or waived; • change in lease payments that reduces payments in one period but proportionally increases payments in another, requires interest to be accrued on the lease liability and lease liability to be reduced in order to reflect lease payments made to the lessor. This exemption could be used only if the following conditions are met: • rent concessions occur as a direct consequence of the Covid-19 pandemic; • the revised consideration for the lease is the same as, or less than, the consideration for the lease immediately preceding the change; • the reduction in lease payments affects only payments originally due on or before 30 June 2021; • there is no substantive change to other terms and conditions of the lease. 76 ESMA public statement: "Accounting implications of the Covid-19 outbreak on the calculation of expected credit losses in accordance with IFRS9" of 25 March 2020. 77 According to IFRS9, the contractual modifications must be accounted for (i) if significant, through the derecognition, (ii) if not significant, through the recalculation of the gross exposure by discounting the contractual cash flows after the modification at the original effective interest rate. The standard does not provide any indication as to whether a change is significant or not. For further information on accounting principles used by the Bank and the Group on this matter, refer Consolidated financial statements of UniCredit group, Notes to consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts. Company financial statements | Notes to the accounts Part A - Accounting policies 608 2021 Annual Report and Accounts · UniCredit • Moratorium on mortgages for private Individuals (Government initiative); main features: (i) the scope is extended also to clients suffering financial difficulties before crisis, as long as the delay in payments does not exceed 90 days, as well as self-employed works and professionals; (ii) maximum duration: 18 months; (iii) fund will pay interest accrued on the residual debt during the suspension period up to 50%; (iv) moratorium already in force for employees is extended to self-employed workers and professionals who have incurred as a result of emergency a decrease in turnover of more than 33%; (v) suppressed the ISEE requirement (income limit); (vi) suspension of the whole installment (principal and interests). The “Ristori” Decree (in force since 25 December 2020) prorogated: (i) until 31 December 2021 the possibility for banks to suspend the loan installments without waiting for Consap outcome; (ii) until 9 April 2022: the access to Fund benefits for loans in amortization for less than 1 year (no prorogation Fund interventions for professionals and entrepreneurs); • Moratorium for SME (Italian Banking Association and UniCredit initiative); main features: (i) suspension of the installment (principal); (ii) maximum duration 12 months; (iii) performing counterparties, excluding lending positions for which the suspension or extension has already been granted within the 24 months prior to the application date; • Moratorium for Micro Enterprises and SME (Government initiative with Law decree “Cura Italia”); main features: (i) irrevocability (until 30 September 2020) of the credit lines granted "until revoked" and of loans granted on advance on credits (the guarantee covers 33% of the increased credit line used between the date of entry into force of the decree and 30 September 2020); (ii) postponement (until 30 September 2020 under the same conditions) of the repayment of non-installment loans due to mature before 30 September 2020 (guarantee covers 33%); (iii) suspension (till 30 September 2020) of the payment of the instalments of loans (principal and interests) due to mature before 30 September 2020 (guarantee covers 33%).Subsequently: - the “August” Decree Law of 14 August 2020, No.104, converted into Law No.126 of 13 October 2020, containing several urgent measures in support of health, work and economy, linked to the Covid-19 emergency: • extended the moratorium for SME set by the Decree Cura Italia until 31 January 2021 (previous 30 September 2020). The extension operates automatically, unless expressly waived by the beneficiary company; • extended to 31 March 2021 the moratorium for the tourist sector, for mortgage payments only, specifying that tourism-sector companies are: tourism-accommodation companies, travel and tourism agencies and tour operators, spas and physical wellness centers, subjects that manage amusement parks or theme parks, subjects that carry out tourist guide and assistance activities. - The Budget law 2021 (law 178/2020, Art. 1, paragraphs 248-254) extended the moratorium for the SME until 30 June 2021 - the “Sostegni-bis” Law Decree of 25 May 2021, n.73 containing urgent measures related to the emergency from Covid-19, for companies, work, young people, health and local services extended to 31 December 2021 of the SMEs’ moratorium (Art.56 DL Cura Italia), only to capital amount. The extension concerns not only mortgages and other installment repayment loans but also credit lines and non-installment loans. The extension no longer operates automatically but the beneficiary must send a communication to the lender by June 15, 2021. In accordance with ESMA's declaration76 which clarified that it is unlikely that the contractual changes resulting from these moratoria can be considered as substantial, the Bank has not derecognised the related credit exposures77. A modification loss is consequently recognised in item “140. Gains/Losses from contractual changes with no cancellations" if the increase in future payments is not sufficient to remunerate the Bank for the postponement period also in light of local laws and regulations. 2) Amendment to IFRS16 accounting standard The IASB published 28 May 2020 the "Amendment to IFRS16 Leases Covid-19 Related Rent Concessions" which has been endorsed 15 December 2020. Such amendments provide lessees with an exemption (permitted and not required) from assessing whether a Covid-19-related rent concession is a lease modification. Entities applying the exemption, available from 1 June 2020, would account for the changes as if they were not lease modifications. If the exemption is applied by the lessee then: • forgiveness or waiver of lease payments are accounted for as a variable lease payment against the derecognition of the part of lease liability forgiven or waived; • change in lease payments that reduces payments in one period but proportionally increases payments in another, requires interest to be accrued on the lease liability and lease liability to be reduced in order to reflect lease payments made to the lessor. This exemption could be used only if the following conditions are met: • rent concessions occur as a direct consequence of the Covid-19 pandemic; • the revised consideration for the lease is the same as, or less than, the consideration for the lease immediately preceding the change; • the reduction in lease payments affects only payments originally due on or before 30 June 2021; • there is no substantive change to other terms and conditions of the lease. 76 ESMA public statement: "Accounting implications of the Covid-19 outbreak on the calculation of expected credit losses in accordance with IFRS9" of 25 March 2020. 77 According to IFRS9, the contractual modifications must be accounted for (i) if significant, through the derecognition, (ii) if not significant, through the recalculation of the gross exposure by discounting the contractual cash flows after the modification at the original effective interest rate. The standard does not provide any indication as to whether a change is significant or not. For further information on accounting principles used by the Bank and the Group on this matter, refer Consolidated financial statements of UniCredit group, Notes to consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts. Company financial statements | Notes to the accounts Part A - Accounting policies 608 2021 Annual Report and Accounts · UniCredit • Moratorium on mortgages for private Individuals (Government initiative); main features: (i) the scope is extended also to clients suffering financial difficulties before crisis, as long as the delay in payments does not exceed 90 days, as well as self-employed works and professionals; (ii) maximum duration: 18 months; (iii) fund will pay interest accrued on the residual debt during the suspension period up to 50%; (iv) moratorium already in force for employees is extended to self-employed workers and professionals who have incurred as a result of emergency a decrease in turnover of more than 33%; (v) suppressed the ISEE requirement (income limit); (vi) suspension of the whole installment (principal and interests). The “Ristori” Decree (in force since 25 December 2020) prorogated: (i) until 31 December 2021 the possibility for banks to suspend the loan installments without waiting for Consap outcome; (ii) until 9 April 2022: the access to Fund benefits for loans in amortization for less than 1 year (no prorogation Fund interventions for professionals and entrepreneurs); • Moratorium for SME (Italian Banking Association and UniCredit initiative); main features: (i) suspension of the installment (principal); (ii) maximum duration 12 months; (iii) performing counterparties, excluding lending positions for which the suspension or extension has already been granted within the 24 months prior to the application date; • Moratorium for Micro Enterprises and SME (Government initiative with Law decree “Cura Italia”); main features: (i) irrevocability (until 30 September 2020) of the credit lines granted "until revoked" and of loans granted on advance on credits (the guarantee covers 33% of the increased credit line used between the date of entry into force of the decree and 30 September 2020); (ii) postponement (until 30 September 2020 under the same conditions) of the repayment of non-installment loans due to mature before 30 September 2020 (guarantee covers 33%); (iii) suspension (till 30 September 2020) of the payment of the instalments of loans (principal and interests) due to mature before 30 September 2020 (guarantee covers 33%).Subsequently: - the “August” Decree Law of 14 August 2020, No.104, converted into Law No.126 of 13 October 2020, containing several urgent measures in support of health, work and economy, linked to the Covid-19 emergency: • extended the moratorium for SME set by the Decree Cura Italia until 31 January 2021 (previous 30 September 2020). The extension operates automatically, unless expressly waived by the beneficiary company; • extended to 31 March 2021 the moratorium for the tourist sector, for mortgage payments only, specifying that tourism-sector companies are: tourism-accommodation companies, travel and tourism agencies and tour operators, spas and physical wellness centers, subjects that manage amusement parks or theme parks, subjects that carry out tourist guide and assistance activities. - The Budget law 2021 (law 178/2020, Art. 1, paragraphs 248-254) extended the moratorium for the SME until 30 June 2021 - the “Sostegni-bis” Law Decree of 25 May 2021, n.73 containing urgent measures related to the emergency from Covid-19, for companies, work, young people, health and local services extended to 31 December 2021 of the SMEs’ moratorium (Art.56 DL Cura Italia), only to capital amount. The extension concerns not only mortgages and other installment repayment loans but also credit lines and non-installment loans. The extension no longer operates automatically but the beneficiary must send a communication to the lender by June 15, 2021. In accordance with ESMA's declaration76 which clarified that it is unlikely that the contractual changes resulting from these moratoria can be considered as substantial, the Bank has not derecognised the related credit exposures77. A modification loss is consequently recognised in item “140. Gains/Losses from contractual changes with no cancellations" if the increase in future payments is not sufficient to remunerate the Bank for the postponement period also in light of local laws and regulations. 2) Amendment to IFRS16 accounting standard The IASB published 28 May 2020 the "Amendment to IFRS16 Leases Covid-19 Related Rent Concessions" which has been endorsed 15 December 2020. Such amendments provide lessees with an exemption (permitted and not required) from assessing whether a Covid-19-related rent concession is a lease modification. Entities applying the exemption, available from 1 June 2020, would account for the changes as if they were not lease modifications. If the exemption is applied by the lessee then: • forgiveness or waiver of lease payments are accounted for as a variable lease payment against the derecognition of the part of lease liability forgiven or waived; • change in lease payments that reduces payments in one period but proportionally increases payments in another, requires interest to be accrued on the lease liability and lease liability to be reduced in order to reflect lease payments made to the lessor. This exemption could be used only if the following conditions are met: • rent concessions occur as a direct consequence of the Covid-19 pandemic; • the revised consideration for the lease is the same as, or less than, the consideration for the lease immediately preceding the change; • the reduction in lease payments affects only payments originally due on or before 30 June 2021; • there is no substantive change to other terms and conditions of the lease. 76 ESMA public statement: "Accounting implications of the Covid-19 outbreak on the calculation of expected credit losses in accordance with IFRS9" of 25 March 2020. 77 According to IFRS9, the contractual modifications must be accounted for (i) if significant, through the derecognition, (ii) if not significant, through the recalculation of the gross exposure by discounting the contractual cash flows after the modification at the original effective interest rate. The standard does not provide any indication as to whether a change is significant or not. For further information on accounting principles used by the Bank and the Group on this matter, refer Consolidated financial statements of UniCredit group, Notes to consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts. Company financial statements | Notes to the accounts Part A - Accounting policies 608 2021 Annual Report and Accounts · UniCredit • Moratorium on mortgages for private Individuals (Government initiative); main features: (i) the scope is extended also to clients suffering financial difficulties before crisis, as long as the delay in payments does not exceed 90 days, as well as self-employed works and professionals; (ii) maximum duration: 18 months; (iii) fund will pay interest accrued on the residual debt during the suspension period up to 50%; (iv) moratorium already in force for employees is extended to self-employed workers and professionals who have incurred as a result of emergency a decrease in turnover of more than 33%; (v) suppressed the ISEE requirement (income limit); (vi) suspension of the whole installment (principal and interests). The “Ristori” Decree (in force since 25 December 2020) prorogated: (i) until 31 December 2021 the possibility for banks to suspend the loan installments without waiting for Consap outcome; (ii) until 9 April 2022: the access to Fund benefits for loans in amortization for less than 1 year (no prorogation Fund interventions for professionals and entrepreneurs); • Moratorium for SME (Italian Banking Association and UniCredit initiative); main features: (i) suspension of the installment (principal); (ii) maximum duration 12 months; (iii) performing counterparties, excluding lending positions for which the suspension or extension has already been granted within the 24 months prior to the application date; • Moratorium for Micro Enterprises and SME (Government initiative with Law decree “Cura Italia”); main features: (i) irrevocability (until 30 September 2020) of the credit lines granted "until revoked" and of loans granted on advance on credits (the guarantee covers 33% of the increased credit line used between the date of entry into force of the decree and 30 September 2020); (ii) postponement (until 30 September 2020 under the same conditions) of the repayment of non-installment loans due to mature before 30 September 2020 (guarantee covers 33%); (iii) suspension (till 30 September 2020) of the payment of the instalments of loans (principal and interests) due to mature before 30 September 2020 (guarantee covers 33%).Subsequently: - the “August” Decree Law of 14 August 2020, No.104, converted into Law No.126 of 13 October 2020, containing several urgent measures in support of health, work and economy, linked to the Covid-19 emergency: • extended the moratorium for SME set by the Decree Cura Italia until 31 January 2021 (previous 30 September 2020). The extension operates automatically, unless expressly waived by the beneficiary company; • extended to 31 March 2021 the moratorium for the tourist sector, for mortgage payments only, specifying that tourism-sector companies are: tourism-accommodation companies, travel and tourism agencies and tour operators, spas and physical wellness centers, subjects that manage amusement parks or theme parks, subjects that carry out tourist guide and assistance activities. - The Budget law 2021 (law 178/2020, Art. 1, paragraphs 248-254) extended the moratorium for the SME until 30 June 2021 - the “Sostegni-bis” Law Decree of 25 May 2021, n.73 containing urgent measures related to the emergency from Covid-19, for companies, work, young people, health and local services extended to 31 December 2021 of the SMEs’ moratorium (Art.56 DL Cura Italia), only to capital amount. The extension concerns not only mortgages and other installment repayment loans but also credit lines and non-installment loans. The extension no longer operates automatically but the beneficiary must send a communication to the lender by June 15, 2021. In accordance with ESMA's declaration76 which clarified that it is unlikely that the contractual changes resulting from these moratoria can be considered as substantial, the Bank has not derecognised the related credit exposures77. A modification loss is consequently recognised in item “140. Gains/Losses from contractual changes with no cancellations" if the increase in future payments is not sufficient to remunerate the Bank for the postponement period also in light of local laws and regulations. 2) Amendment to IFRS16 accounting standard The IASB published 28 May 2020 the "Amendment to IFRS16 Leases Covid-19 Related Rent Concessions" which has been endorsed 15 December 2020. Such amendments provide lessees with an exemption (permitted and not required) from assessing whether a Covid-19-related rent concession is a lease modification. Entities applying the exemption, available from 1 June 2020, would account for the changes as if they were not lease modifications. If the exemption is applied by the lessee then: • forgiveness or waiver of lease payments are accounted for as a variable lease payment against the derecognition of the part of lease liability forgiven or waived; • change in lease payments that reduces payments in one period but proportionally increases payments in another, requires interest to be accrued on the lease liability and lease liability to be reduced in order to reflect lease payments made to the lessor. This exemption could be used only if the following conditions are met: • rent concessions occur as a direct consequence of the Covid-19 pandemic; • the revised consideration for the lease is the same as, or less than, the consideration for the lease immediately preceding the change; • the reduction in lease payments affects only payments originally due on or before 30 June 2021; • there is no substantive change to other terms and conditions of the lease. 76 ESMA public statement: "Accounting implications of the Covid-19 outbreak on the calculation of expected credit losses in accordance with IFRS9" of 25 March 2020. 77 According to IFRS9, the contractual modifications must be accounted for (i) if significant, through the derecognition, (ii) if not significant, through the recalculation of the gross exposure by discounting the contractual cash flows after the modification at the original effective interest rate. The standard does not provide any indication as to whether a change is significant or not. For further information on accounting principles used by the Bank and the Group on this matter, refer Consolidated financial statements of UniCredit group, Notes to consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts. Company financial statements | Notes to the accounts Part A - Accounting policies 608 2021 Annual Report and Accounts · UniCredit • Moratorium on mortgages for private Individuals (Government initiative); main features: (i) the scope is extended also to clients suffering financial difficulties before crisis, as long as the delay in payments does not exceed 90 days, as well as self-employed works and professionals; (ii) maximum duration: 18 months; (iii) fund will pay interest accrued on the residual debt during the suspension period up to 50%; (iv) moratorium already in force for employees is extended to self-employed workers and professionals who have incurred as a result of emergency a decrease in turnover of more than 33%; (v) suppressed the ISEE requirement (income limit); (vi) suspension of the whole installment (principal and interests). The “Ristori” Decree (in force since 25 December 2020) prorogated: (i) until 31 December 2021 the possibility for banks to suspend the loan installments without waiting for Consap outcome; (ii) until 9 April 2022: the access to Fund benefits for loans in amortization for less than 1 year (no prorogation Fund interventions for professionals and entrepreneurs); • Moratorium for SME (Italian Banking Association and UniCredit initiative); main features: (i) suspension of the installment (principal); (ii) maximum duration 12 months; (iii) performing counterparties, excluding lending positions for which the suspension or extension has already been granted within the 24 months prior to the application date; • Moratorium for Micro Enterprises and SME (Government initiative with Law decree “Cura Italia”); main features: (i) irrevocability (until 30 September 2020) of the credit lines granted "until revoked" and of loans granted on advance on credits (the guarantee covers 33% of the increased credit line used between the date of entry into force of the decree and 30 September 2020); (ii) postponement (until 30 September 2020 under the same conditions) of the repayment of non-installment loans due to mature before 30 September 2020 (guarantee covers 33%); (iii) suspension (till 30 September 2020) of the payment of the instalments of loans (principal and interests) due to mature before 30 September 2020 (guarantee covers 33%).Subsequently: - the “August” Decree Law of 14 August 2020, No.104, converted into Law No.126 of 13 October 2020, containing several urgent measures in support of health, work and economy, linked to the Covid-19 emergency: • extended the moratorium for SME set by the Decree Cura Italia until 31 January 2021 (previous 30 September 2020). The extension operates automatically, unless expressly waived by the beneficiary company; • extended to 31 March 2021 the moratorium for the tourist sector, for mortgage payments only, specifying that tourism-sector companies are: tourism-accommodation companies, travel and tourism agencies and tour operators, spas and physical wellness centers, subjects that manage amusement parks or theme parks, subjects that carry out tourist guide and assistance activities. - The Budget law 2021 (law 178/2020, Art. 1, paragraphs 248-254) extended the moratorium for the SME until 30 June 2021 - the “Sostegni-bis” Law Decree of 25 May 2021, n.73 containing urgent measures related to the emergency from Covid-19, for companies, work, young people, health and local services extended to 31 December 2021 of the SMEs’ moratorium (Art.56 DL Cura Italia), only to capital amount. The extension concerns not only mortgages and other installment repayment loans but also credit lines and non-installment loans. The extension no longer operates automatically but the beneficiary must send a communication to the lender by June 15, 2021. In accordance with ESMA's declaration76 which clarified that it is unlikely that the contractual changes resulting from these moratoria can be considered as substantial, the Bank has not derecognised the related credit exposures77. A modification loss is consequently recognised in item “140. Gains/Losses from contractual changes with no cancellations" if the increase in future payments is not sufficient to remunerate the Bank for the postponement period also in light of local laws and regulations. 2) Amendment to IFRS16 accounting standard The IASB published 28 May 2020 the "Amendment to IFRS16 Leases Covid-19 Related Rent Concessions" which has been endorsed 15 December 2020. Such amendments provide lessees with an exemption (permitted and not required) from assessing whether a Covid-19-related rent concession is a lease modification. Entities applying the exemption, available from 1 June 2020, would account for the changes as if they were not lease modifications. If the exemption is applied by the lessee then: • forgiveness or waiver of lease payments are accounted for as a variable lease payment against the derecognition of the part of lease liability forgiven or waived; • change in lease payments that reduces payments in one period but proportionally increases payments in another, requires interest to be accrued on the lease liability and lease liability to be reduced in order to reflect lease payments made to the lessor. This exemption could be used only if the following conditions are met: • rent concessions occur as a direct consequence of the Covid-19 pandemic; • the revised consideration for the lease is the same as, or less than, the consideration for the lease immediately preceding the change; • the reduction in lease payments affects only payments originally due on or before 30 June 2021; • there is no substantive change to other terms and conditions of the lease. 76 ESMA public statement: "Accounting implications of the Covid-19 outbreak on the calculation of expected credit losses in accordance with IFRS9" of 25 March 2020. 77 According to IFRS9, the contractual modifications must be accounted for (i) if significant, through the derecognition, (ii) if not significant, through the recalculation of the gross exposure by discounting the contractual cash flows after the modification at the original effective interest rate. The standard does not provide any indication as to whether a change is significant or not. For further information on accounting principles used by the Bank and the Group on this matter, refer Consolidated financial statements of UniCredit group, Notes to consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 609 On 31 March 2021, the IASB published “Covid-19-Related Rent Concessions beyond 30 June 2021 (Amendment to IFRS16)” which extended the aforementioned exemption also to lease contracts with payment relief and payments originally due before, or on 30 June 2022. Such amendment, which has been endorsed on 30 August 2021, is applicable for annual reporting periods beginning on or after 1 April 2021. The Bank has not applied the exemption foreseen by the IFRS16 amendments. TLTRO On 6 January 2021, ESMA published a document which, referring to the changes introduced by the ECB during 2020 due to the Covid-19 emergency with particular reference to the interest rates applicable to the third series of targeted longer term refinancing operations (TLTRO III), recommends an adequate level of transparency regarding the accounting treatment applied for the purposes of preparing the financial statements. Then, on 16 February 2021, ESMA informed the Market that a letter78 requiring an official position by IFRS Interpretation Committee (IFRIC) about the TLTRO III accounting treatment was issued on 9 February 2021; specifically, ESMA invited the IFRIC to clarify the applicable requirements considering questions related to: (i) accounting for the transactions according to requirements of IFRS9 or IAS20; (ii) the method to calculate the effective interest rate at initial recognition and, in particular, the circumstance that this rate has to incorporate the expectations of obtaining future benefits in terms of lower cost of funding following the expected achievement of the "eligibility" criteria required by the regulations; and (iii) accounting treatment of changes in estimates of payments due to revised assessment of meeting the eligibility criteria upon application of IFRS9. In June 2021, IFRIC reported the following remarks regarding the questions raised by ESMA; specifically: (i) the topics about the application of IFRS9 vs IAS20 accounting standards embedded topics different from being accounting matters (e.g. determining whether the ECB meets the definition of government); (ii) regarding the effective interest rate and the consequence of the modification in interest rate, IFRIC reported that the topics will be discussed during the ”Post-Implementation Review of the classification and measurement requirements in IFRS9” by IASB, starting from fourth quarter 2021. Therefore, the accounting treatment adopted by the Bank, as described below, may be still subject in the future to different interpretations by the competent bodies. According to UniCredit bank approach, the TLTRO liabilities are recognised as banking book funding instruments to be subsequently measured at amortised cost according to IFRS9.4.2.1. The prospect for the borrowing bank to be charged of a variable negative interest on “long term refinancing operations”, additional to the average Deposit Facility Rate (“DFR”) or Main Refinancing Operation (“MRO”) rate, is linked to the achievement of specific threshold on cumulative net lending toward eligible counterparties79. In particular, financial conditions incorporated into TLTROs are reflecting ECB monetary policy initiatives to prospectively reduce market “cost of funding” for banking institutions by using “non-conventional” tools and reflected in money market operations. As a result, accounting analysis rejected such an interest would have been assimilated to either (i) a government grants (being ECB TLTRO a “limited access & banking specific” market by its own), or (ii) an embedded derivative. Therefore, such contractual term must be seen as contractual clause included into a one-coupon floating-rate80 financial liability (the refinancing operation), and to be considered part of the calculation of the liability’s interests according to IFRS9. Under the said accounting principle, the interests shall be calculated by using the “effective interest method”, that allocates interests over the application period of the “effective interest rate”. The latter is defined as the rate that discounts estimated future cash flows through the expected life of the financial instruments to the net carrying amount. Accordingly, having introduced a new/prospective “performance-related” remuneration within the ECB, TLTRO “market” specific financial features are handled similarly to changes in market-index for floating-rate liabilities. Therefore, referencing EIR rules for “markets-driven” variable remunerations, changes in “market index” (e.g., base rate and spread) are reflected by adjusting instruments’ carrying amount calculated by reference to the evolution of the “TLTRO index” and limited to the accrued (to-date) portion81. As a result, TLTRO III effective interest rate ranges: (i) between -0.33% and -0.83% for the €51.3 billion allotment cashed-in during June 2020 (3years funding82); (ii) between -0.50% and -1.00% for the €5.1 billion allotment cashed-in during March 2021 (expected to be entirely repaid by June 2022); such effects are coherent with the benchmark achievements for cumulative net lending as at March 2021 and December 2021, as well as current MRO and DFR levels. 78 Link: https://www.esma.europa.eu/press-news/esma-news/esma-submits-ifrs-9-and-ias-20-related-questions-ifrs-interpretations-committee. 79 Loans to non-financial corporations & Loans to households, excluding loans for house purchase. 80 Either for the base rate (Avg DFR or Avg MRO) and the spread (up to -50bps with a minimum of -1% for a portion of the liability’s expected duration). 81 Similarly, to other “market indexed” variable rate notes. 82 Early termination will result in lower (i.e., more negative) EIR with additional NII effect. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 609 On 31 March 2021, the IASB published “Covid-19-Related Rent Concessions beyond 30 June 2021 (Amendment to IFRS16)” which extended the aforementioned exemption also to lease contracts with payment relief and payments originally due before, or on 30 June 2022. Such amendment, which has been endorsed on 30 August 2021, is applicable for annual reporting periods beginning on or after 1 April 2021. The Bank has not applied the exemption foreseen by the IFRS16 amendments. TLTRO On 6 January 2021, ESMA published a document which, referring to the changes introduced by the ECB during 2020 due to the Covid-19 emergency with particular reference to the interest rates applicable to the third series of targeted longer term refinancing operations (TLTRO III), recommends an adequate level of transparency regarding the accounting treatment applied for the purposes of preparing the financial statements. Then, on 16 February 2021, ESMA informed the Market that a letter78 requiring an official position by IFRS Interpretation Committee (IFRIC) about the TLTRO III accounting treatment was issued on 9 February 2021; specifically, ESMA invited the IFRIC to clarify the applicable requirements considering questions related to: (i) accounting for the transactions according to requirements of IFRS9 or IAS20; (ii) the method to calculate the effective interest rate at initial recognition and, in particular, the circumstance that this rate has to incorporate the expectations of obtaining future benefits in terms of lower cost of funding following the expected achievement of the "eligibility" criteria required by the regulations; and (iii) accounting treatment of changes in estimates of payments due to revised assessment of meeting the eligibility criteria upon application of IFRS9. In June 2021, IFRIC reported the following remarks regarding the questions raised by ESMA; specifically: (i) the topics about the application of IFRS9 vs IAS20 accounting standards embedded topics different from being accounting matters (e.g. determining whether the ECB meets the definition of government); (ii) regarding the effective interest rate and the consequence of the modification in interest rate, IFRIC reported that the topics will be discussed during the ”Post-Implementation Review of the classification and measurement requirements in IFRS9” by IASB, starting from fourth quarter 2021. Therefore, the accounting treatment adopted by the Bank, as described below, may be still subject in the future to different interpretations by the competent bodies. According to UniCredit bank approach, the TLTRO liabilities are recognised as banking book funding instruments to be subsequently measured at amortised cost according to IFRS9.4.2.1. The prospect for the borrowing bank to be charged of a variable negative interest on “long term refinancing operations”, additional to the average Deposit Facility Rate (“DFR”) or Main Refinancing Operation (“MRO”) rate, is linked to the achievement of specific threshold on cumulative net lending toward eligible counterparties79. In particular, financial conditions incorporated into TLTROs are reflecting ECB monetary policy initiatives to prospectively reduce market “cost of funding” for banking institutions by using “non-conventional” tools and reflected in money market operations. As a result, accounting analysis rejected such an interest would have been assimilated to either (i) a government grants (being ECB TLTRO a “limited access & banking specific” market by its own), or (ii) an embedded derivative. Therefore, such contractual term must be seen as contractual clause included into a one-coupon floating-rate80 financial liability (the refinancing operation), and to be considered part of the calculation of the liability’s interests according to IFRS9. Under the said accounting principle, the interests shall be calculated by using the “effective interest method”, that allocates interests over the application period of the “effective interest rate”. The latter is defined as the rate that discounts estimated future cash flows through the expected life of the financial instruments to the net carrying amount. Accordingly, having introduced a new/prospective “performance-related” remuneration within the ECB, TLTRO “market” specific financial features are handled similarly to changes in market-index for floating-rate liabilities. Therefore, referencing EIR rules for “markets-driven” variable remunerations, changes in “market index” (e.g., base rate and spread) are reflected by adjusting instruments’ carrying amount calculated by reference to the evolution of the “TLTRO index” and limited to the accrued (to-date) portion81. As a result, TLTRO III effective interest rate ranges: (i) between -0.33% and -0.83% for the €51.3 billion allotment cashed-in during June 2020 (3years funding82); (ii) between -0.50% and -1.00% for the €5.1 billion allotment cashed-in during March 2021 (expected to be entirely repaid by June 2022); such effects are coherent with the benchmark achievements for cumulative net lending as at March 2021 and December 2021, as well as current MRO and DFR levels. 78 Link: https://www.esma.europa.eu/press-news/esma-news/esma-submits-ifrs-9-and-ias-20-related-questions-ifrs-interpretations-committee. 79 Loans to non-financial corporations & Loans to households, excluding loans for house purchase. 80 Either for the base rate (Avg DFR or Avg MRO) and the spread (up to -50bps with a minimum of -1% for a portion of the liability’s expected duration). 81 Similarly, to other “market indexed” variable rate notes. 82 Early termination will result in lower (i.e., more negative) EIR with additional NII effect. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 609 On 31 March 2021, the IASB published “Covid-19-Related Rent Concessions beyond 30 June 2021 (Amendment to IFRS16)” which extended the aforementioned exemption also to lease contracts with payment relief and payments originally due before, or on 30 June 2022. Such amendment, which has been endorsed on 30 August 2021, is applicable for annual reporting periods beginning on or after 1 April 2021. The Bank has not applied the exemption foreseen by the IFRS16 amendments. TLTRO On 6 January 2021, ESMA published a document which, referring to the changes introduced by the ECB during 2020 due to the Covid-19 emergency with particular reference to the interest rates applicable to the third series of targeted longer term refinancing operations (TLTRO III), recommends an adequate level of transparency regarding the accounting treatment applied for the purposes of preparing the financial statements. Then, on 16 February 2021, ESMA informed the Market that a letter78 requiring an official position by IFRS Interpretation Committee (IFRIC) about the TLTRO III accounting treatment was issued on 9 February 2021; specifically, ESMA invited the IFRIC to clarify the applicable requirements considering questions related to: (i) accounting for the transactions according to requirements of IFRS9 or IAS20; (ii) the method to calculate the effective interest rate at initial recognition and, in particular, the circumstance that this rate has to incorporate the expectations of obtaining future benefits in terms of lower cost of funding following the expected achievement of the "eligibility" criteria required by the regulations; and (iii) accounting treatment of changes in estimates of payments due to revised assessment of meeting the eligibility criteria upon application of IFRS9. In June 2021, IFRIC reported the following remarks regarding the questions raised by ESMA; specifically: (i) the topics about the application of IFRS9 vs IAS20 accounting standards embedded topics different from being accounting matters (e.g. determining whether the ECB meets the definition of government); (ii) regarding the effective interest rate and the consequence of the modification in interest rate, IFRIC reported that the topics will be discussed during the ”Post-Implementation Review of the classification and measurement requirements in IFRS9” by IASB, starting from fourth quarter 2021. Therefore, the accounting treatment adopted by the Bank, as described below, may be still subject in the future to different interpretations by the competent bodies. According to UniCredit bank approach, the TLTRO liabilities are recognised as banking book funding instruments to be subsequently measured at amortised cost according to IFRS9.4.2.1. The prospect for the borrowing bank to be charged of a variable negative interest on “long term refinancing operations”, additional to the average Deposit Facility Rate (“DFR”) or Main Refinancing Operation (“MRO”) rate, is linked to the achievement of specific threshold on cumulative net lending toward eligible counterparties79. In particular, financial conditions incorporated into TLTROs are reflecting ECB monetary policy initiatives to prospectively reduce market “cost of funding” for banking institutions by using “non-conventional” tools and reflected in money market operations. As a result, accounting analysis rejected such an interest would have been assimilated to either (i) a government grants (being ECB TLTRO a “limited access & banking specific” market by its own), or (ii) an embedded derivative. Therefore, such contractual term must be seen as contractual clause included into a one-coupon floating-rate80 financial liability (the refinancing operation), and to be considered part of the calculation of the liability’s interests according to IFRS9. Under the said accounting principle, the interests shall be calculated by using the “effective interest method”, that allocates interests over the application period of the “effective interest rate”. The latter is defined as the rate that discounts estimated future cash flows through the expected life of the financial instruments to the net carrying amount. Accordingly, having introduced a new/prospective “performance-related” remuneration within the ECB, TLTRO “market” specific financial features are handled similarly to changes in market-index for floating-rate liabilities. Therefore, referencing EIR rules for “markets-driven” variable remunerations, changes in “market index” (e.g., base rate and spread) are reflected by adjusting instruments’ carrying amount calculated by reference to the evolution of the “TLTRO index” and limited to the accrued (to-date) portion81. As a result, TLTRO III effective interest rate ranges: (i) between -0.33% and -0.83% for the €51.3 billion allotment cashed-in during June 2020 (3years funding82); (ii) between -0.50% and -1.00% for the €5.1 billion allotment cashed-in during March 2021 (expected to be entirely repaid by June 2022); such effects are coherent with the benchmark achievements for cumulative net lending as at March 2021 and December 2021, as well as current MRO and DFR levels. 78 Link: https://www.esma.europa.eu/press-news/esma-news/esma-submits-ifrs-9-and-ias-20-related-questions-ifrs-interpretations-committee. 79 Loans to non-financial corporations & Loans to households, excluding loans for house purchase. 80 Either for the base rate (Avg DFR or Avg MRO) and the spread (up to -50bps with a minimum of -1% for a portion of the liability’s expected duration). 81 Similarly, to other “market indexed” variable rate notes. 82 Early termination will result in lower (i.e., more negative) EIR with additional NII effect. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 609 On 31 March 2021, the IASB published “Covid-19-Related Rent Concessions beyond 30 June 2021 (Amendment to IFRS16)” which extended the aforementioned exemption also to lease contracts with payment relief and payments originally due before, or on 30 June 2022. Such amendment, which has been endorsed on 30 August 2021, is applicable for annual reporting periods beginning on or after 1 April 2021. The Bank has not applied the exemption foreseen by the IFRS16 amendments. TLTRO On 6 January 2021, ESMA published a document which, referring to the changes introduced by the ECB during 2020 due to the Covid-19 emergency with particular reference to the interest rates applicable to the third series of targeted longer term refinancing operations (TLTRO III), recommends an adequate level of transparency regarding the accounting treatment applied for the purposes of preparing the financial statements. Then, on 16 February 2021, ESMA informed the Market that a letter78 requiring an official position by IFRS Interpretation Committee (IFRIC) about the TLTRO III accounting treatment was issued on 9 February 2021; specifically, ESMA invited the IFRIC to clarify the applicable requirements considering questions related to: (i) accounting for the transactions according to requirements of IFRS9 or IAS20; (ii) the method to calculate the effective interest rate at initial recognition and, in particular, the circumstance that this rate has to incorporate the expectations of obtaining future benefits in terms of lower cost of funding following the expected achievement of the "eligibility" criteria required by the regulations; and (iii) accounting treatment of changes in estimates of payments due to revised assessment of meeting the eligibility criteria upon application of IFRS9. In June 2021, IFRIC reported the following remarks regarding the questions raised by ESMA; specifically: (i) the topics about the application of IFRS9 vs IAS20 accounting standards embedded topics different from being accounting matters (e.g. determining whether the ECB meets the definition of government); (ii) regarding the effective interest rate and the consequence of the modification in interest rate, IFRIC reported that the topics will be discussed during the ”Post-Implementation Review of the classification and measurement requirements in IFRS9” by IASB, starting from fourth quarter 2021. Therefore, the accounting treatment adopted by the Bank, as described below, may be still subject in the future to different interpretations by the competent bodies. According to UniCredit bank approach, the TLTRO liabilities are recognised as banking book funding instruments to be subsequently measured at amortised cost according to IFRS9.4.2.1. The prospect for the borrowing bank to be charged of a variable negative interest on “long term refinancing operations”, additional to the average Deposit Facility Rate (“DFR”) or Main Refinancing Operation (“MRO”) rate, is linked to the achievement of specific threshold on cumulative net lending toward eligible counterparties79. In particular, financial conditions incorporated into TLTROs are reflecting ECB monetary policy initiatives to prospectively reduce market “cost of funding” for banking institutions by using “non-conventional” tools and reflected in money market operations. As a result, accounting analysis rejected such an interest would have been assimilated to either (i) a government grants (being ECB TLTRO a “limited access & banking specific” market by its own), or (ii) an embedded derivative. Therefore, such contractual term must be seen as contractual clause included into a one-coupon floating-rate80 financial liability (the refinancing operation), and to be considered part of the calculation of the liability’s interests according to IFRS9. Under the said accounting principle, the interests shall be calculated by using the “effective interest method”, that allocates interests over the application period of the “effective interest rate”. The latter is defined as the rate that discounts estimated future cash flows through the expected life of the financial instruments to the net carrying amount. Accordingly, having introduced a new/prospective “performance-related” remuneration within the ECB, TLTRO “market” specific financial features are handled similarly to changes in market-index for floating-rate liabilities. Therefore, referencing EIR rules for “markets-driven” variable remunerations, changes in “market index” (e.g., base rate and spread) are reflected by adjusting instruments’ carrying amount calculated by reference to the evolution of the “TLTRO index” and limited to the accrued (to-date) portion81. As a result, TLTRO III effective interest rate ranges: (i) between -0.33% and -0.83% for the €51.3 billion allotment cashed-in during June 2020 (3years funding82); (ii) between -0.50% and -1.00% for the €5.1 billion allotment cashed-in during March 2021 (expected to be entirely repaid by June 2022); such effects are coherent with the benchmark achievements for cumulative net lending as at March 2021 and December 2021, as well as current MRO and DFR levels. 78 Link: https://www.esma.europa.eu/press-news/esma-news/esma-submits-ifrs-9-and-ias-20-related-questions-ifrs-interpretations-committee. 79 Loans to non-financial corporations & Loans to households, excluding loans for house purchase. 80 Either for the base rate (Avg DFR or Avg MRO) and the spread (up to -50bps with a minimum of -1% for a portion of the liability’s expected duration). 81 Similarly, to other “market indexed” variable rate notes. 82 Early termination will result in lower (i.e., more negative) EIR with additional NII effect. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 609 On 31 March 2021, the IASB published “Covid-19-Related Rent Concessions beyond 30 June 2021 (Amendment to IFRS16)” which extended the aforementioned exemption also to lease contracts with payment relief and payments originally due before, or on 30 June 2022. Such amendment, which has been endorsed on 30 August 2021, is applicable for annual reporting periods beginning on or after 1 April 2021. The Bank has not applied the exemption foreseen by the IFRS16 amendments. TLTRO On 6 January 2021, ESMA published a document which, referring to the changes introduced by the ECB during 2020 due to the Covid-19 emergency with particular reference to the interest rates applicable to the third series of targeted longer term refinancing operations (TLTRO III), recommends an adequate level of transparency regarding the accounting treatment applied for the purposes of preparing the financial statements. Then, on 16 February 2021, ESMA informed the Market that a letter78 requiring an official position by IFRS Interpretation Committee (IFRIC) about the TLTRO III accounting treatment was issued on 9 February 2021; specifically, ESMA invited the IFRIC to clarify the applicable requirements considering questions related to: (i) accounting for the transactions according to requirements of IFRS9 or IAS20; (ii) the method to calculate the effective interest rate at initial recognition and, in particular, the circumstance that this rate has to incorporate the expectations of obtaining future benefits in terms of lower cost of funding following the expected achievement of the "eligibility" criteria required by the regulations; and (iii) accounting treatment of changes in estimates of payments due to revised assessment of meeting the eligibility criteria upon application of IFRS9. In June 2021, IFRIC reported the following remarks regarding the questions raised by ESMA; specifically: (i) the topics about the application of IFRS9 vs IAS20 accounting standards embedded topics different from being accounting matters (e.g. determining whether the ECB meets the definition of government); (ii) regarding the effective interest rate and the consequence of the modification in interest rate, IFRIC reported that the topics will be discussed during the ”Post-Implementation Review of the classification and measurement requirements in IFRS9” by IASB, starting from fourth quarter 2021. Therefore, the accounting treatment adopted by the Bank, as described below, may be still subject in the future to different interpretations by the competent bodies. According to UniCredit bank approach, the TLTRO liabilities are recognised as banking book funding instruments to be subsequently measured at amortised cost according to IFRS9.4.2.1. The prospect for the borrowing bank to be charged of a variable negative interest on “long term refinancing operations”, additional to the average Deposit Facility Rate (“DFR”) or Main Refinancing Operation (“MRO”) rate, is linked to the achievement of specific threshold on cumulative net lending toward eligible counterparties79. In particular, financial conditions incorporated into TLTROs are reflecting ECB monetary policy initiatives to prospectively reduce market “cost of funding” for banking institutions by using “non-conventional” tools and reflected in money market operations. As a result, accounting analysis rejected such an interest would have been assimilated to either (i) a government grants (being ECB TLTRO a “limited access & banking specific” market by its own), or (ii) an embedded derivative. Therefore, such contractual term must be seen as contractual clause included into a one-coupon floating-rate80 financial liability (the refinancing operation), and to be considered part of the calculation of the liability’s interests according to IFRS9. Under the said accounting principle, the interests shall be calculated by using the “effective interest method”, that allocates interests over the application period of the “effective interest rate”. The latter is defined as the rate that discounts estimated future cash flows through the expected life of the financial instruments to the net carrying amount. Accordingly, having introduced a new/prospective “performance-related” remuneration within the ECB, TLTRO “market” specific financial features are handled similarly to changes in market-index for floating-rate liabilities. Therefore, referencing EIR rules for “markets-driven” variable remunerations, changes in “market index” (e.g., base rate and spread) are reflected by adjusting instruments’ carrying amount calculated by reference to the evolution of the “TLTRO index” and limited to the accrued (to-date) portion81. As a result, TLTRO III effective interest rate ranges: (i) between -0.33% and -0.83% for the €51.3 billion allotment cashed-in during June 2020 (3years funding82); (ii) between -0.50% and -1.00% for the €5.1 billion allotment cashed-in during March 2021 (expected to be entirely repaid by June 2022); such effects are coherent with the benchmark achievements for cumulative net lending as at March 2021 and December 2021, as well as current MRO and DFR levels. 78 Link: https://www.esma.europa.eu/press-news/esma-news/esma-submits-ifrs-9-and-ias-20-related-questions-ifrs-interpretations-committee. 79 Loans to non-financial corporations & Loans to households, excluding loans for house purchase. 80 Either for the base rate (Avg DFR or Avg MRO) and the spread (up to -50bps with a minimum of -1% for a portion of the liability’s expected duration). 81 Similarly, to other “market indexed” variable rate notes. 82 Early termination will result in lower (i.e., more negative) EIR with additional NII effect. Company financial statements | Notes to the accounts Part A - Accounting policies 610 2021 Annual Report and Accounts · UniCredit With reference to 2021, an interest income contribution equal to +€472 million (o/w +€192 million from CNL spread additional to “DFR”), has been recognised for the total outstanding €56.4 billion TLTRO funding reflecting cumulative net lending threshold achievements, as supported by evidences of outstanding cumulative net lending production (i) has been submitted to ECB by August 2021 for the special reference period ending on 31 March 2021 and (ii) will be finally provided to ECB with the third report for the additional reference period ending on 31 December 2021 not later than 17 May 2022, together with the result of the auditor's evaluation. Tax credits connected with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers The Law Decrees 18/2020 (so-called "Cura Italia") and 34/2020 (so-called "Rilancio"), converted into law No.27 and No.77 of 2020, introduced into the Italian legal system some tax incentive measures related to both investment expenses (e.g., Eco and Sismabonus) and current expenses (e.g., rents for non-residential premises). These incentives that apply to households or businesses, are commensurate with a percentage of the expenditure incurred (which in some cases even reaches 110%) and are disbursed in the form of tax credits or tax deductions (convertible, on option, into tax credits). The holders of these credits, not refundable by the State, can use them to offset taxes and contributions or they can further transfer them (in whole or in part) to third parties. Since the third quarter of 2020 UniCredit S.p.A. launched commercial initiatives aimed at: • providing "bridge" credit facilities subject to the presentation of appropriate documentation proving the intervention and the future generation of tax credit, to support the financial needs related to the cost of the interventions; • simultaneously underwriting commitments related to the purchase of the future tax credit with the associated obligation of the assigning customer to use the amount collected from the transfer of the tax credit to reimburse the granted "bridge" loan; • directly purchasing tax credits from assignors who do not require any "bridge" loan. Starting from the second quarter of 2021 indirect purchases of Tax Credit has been exploited through fully consolidated Italian Securitization SPVs, incorporated under Law 130/99, to manage CIB clients network financing needs. The specific features of these tax credits are such that these assets are not in the scope of international accounting standards IAS/IFRS. Therefore, the paragraph of IAS883 is applied, requiring the management to define an accounting policy suitable for providing relevant and reliable information. In accordance with the paper published by the OIC on 17 May 202084 and the Document No.9 jointly published by Banca d’Italia, CONSOB, IVASS on 5 January 202185, it is believed that an accounting model based on IFRS9 is the accounting model more suitable for providing relevant and reliable information. As a result of the above, on initial recognition tax credits are booked among assets in item “120. Other assets" for a value equal to the purchase price, assumed equal to a Level 3 fair value of the fair value hierarchy according to IFRS13. For subsequent measurement, the provisions of IFRS9 relating to the “Held to collect portfolio” are applied for both direct and indirect (through Italian Securitization SPVs) purchases. As a result, these tax credits are measured at amortised costs recognising in the Income statement in item “10. Interest income and similar revenues" the portion -accrued in the period- related to the difference between the value at initial recognition and the value that is expected to be utilised through the offsetting with tax liabilities. The latter value is subject to periodical re-assessment with recognition into income statement, item “10. Interest income and similar revenues” of any write-downs. As of 31 December 2021, no write-downs have been recognised and the tax credit presented in “Other assets” amounts to €252 million. The commitments connected with the purchase of the future tax credit are recognised, for a value equal to the price that will be paid when the commitment will be used by the customer, among "Other commitments" (€939 million as of 31 December 2021), and were evaluated in relation to their effectively offset value resulting in no need for write-downs, that, if existing, are recognised in Income statement under item “170. Net provisions for risks and charges”. For the sake of completeness, it should be noted that against credit facilities for €325 million, as of 31 December 2021 bridge loans equal to €183 million has been recognised among financial instruments measured at amortised cost, according to the ordinary provisions of IFRS9. Interbank Offered Rates (IBORs) transition Following the concerns raised about the integrity and reliability of major financial market benchmarks the Financial Stability Board (FSB) started a comprehensive reference rates reform. In order to assess the relevant risks associated with the benchmark reforms and taking appropriate actions to ensure an adequate transition to alternative or reformed benchmark rates ahead of the deadline of the end of 2021 specified in the revised EU Benchmark Regulation (BMR), UniCredit group launched in October 2018 a Group wide project in order to manage the IBORs discontinuation with a multiyear roadmap defined based on both Group exposure (mainly focused on Euro) and transition timeline. 83 IAS8 paragraph 10. 84 “Cessione del credito d’imposta” - Law 17 July 2020 No.77. 85 Accounting treatment of tax credits associated with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale by direct beneficiaries or previous buyers. Company financial statements | Notes to the accounts Part A - Accounting policies 610 2021 Annual Report and Accounts · UniCredit With reference to 2021, an interest income contribution equal to +€472 million (o/w +€192 million from CNL spread additional to “DFR”), has been recognised for the total outstanding €56.4 billion TLTRO funding reflecting cumulative net lending threshold achievements, as supported by evidences of outstanding cumulative net lending production (i) has been submitted to ECB by August 2021 for the special reference period ending on 31 March 2021 and (ii) will be finally provided to ECB with the third report for the additional reference period ending on 31 December 2021 not later than 17 May 2022, together with the result of the auditor's evaluation. Tax credits connected with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers The Law Decrees 18/2020 (so-called "Cura Italia") and 34/2020 (so-called "Rilancio"), converted into law No.27 and No.77 of 2020, introduced into the Italian legal system some tax incentive measures related to both investment expenses (e.g., Eco and Sismabonus) and current expenses (e.g., rents for non-residential premises). These incentives that apply to households or businesses, are commensurate with a percentage of the expenditure incurred (which in some cases even reaches 110%) and are disbursed in the form of tax credits or tax deductions (convertible, on option, into tax credits). The holders of these credits, not refundable by the State, can use them to offset taxes and contributions or they can further transfer them (in whole or in part) to third parties. Since the third quarter of 2020 UniCredit S.p.A. launched commercial initiatives aimed at: • providing "bridge" credit facilities subject to the presentation of appropriate documentation proving the intervention and the future generation of tax credit, to support the financial needs related to the cost of the interventions; • simultaneously underwriting commitments related to the purchase of the future tax credit with the associated obligation of the assigning customer to use the amount collected from the transfer of the tax credit to reimburse the granted "bridge" loan; • directly purchasing tax credits from assignors who do not require any "bridge" loan. Starting from the second quarter of 2021 indirect purchases of Tax Credit has been exploited through fully consolidated Italian Securitization SPVs, incorporated under Law 130/99, to manage CIB clients network financing needs. The specific features of these tax credits are such that these assets are not in the scope of international accounting standards IAS/IFRS. Therefore, the paragraph of IAS883 is applied, requiring the management to define an accounting policy suitable for providing relevant and reliable information. In accordance with the paper published by the OIC on 17 May 202084 and the Document No.9 jointly published by Banca d’Italia, CONSOB, IVASS on 5 January 202185, it is believed that an accounting model based on IFRS9 is the accounting model more suitable for providing relevant and reliable information. As a result of the above, on initial recognition tax credits are booked among assets in item “120. Other assets" for a value equal to the purchase price, assumed equal to a Level 3 fair value of the fair value hierarchy according to IFRS13. For subsequent measurement, the provisions of IFRS9 relating to the “Held to collect portfolio” are applied for both direct and indirect (through Italian Securitization SPVs) purchases. As a result, these tax credits are measured at amortised costs recognising in the Income statement in item “10. Interest income and similar revenues" the portion -accrued in the period- related to the difference between the value at initial recognition and the value that is expected to be utilised through the offsetting with tax liabilities. The latter value is subject to periodical re-assessment with recognition into income statement, item “10. Interest income and similar revenues” of any write-downs. As of 31 December 2021, no write-downs have been recognised and the tax credit presented in “Other assets” amounts to €252 million. The commitments connected with the purchase of the future tax credit are recognised, for a value equal to the price that will be paid when the commitment will be used by the customer, among "Other commitments" (€939 million as of 31 December 2021), and were evaluated in relation to their effectively offset value resulting in no need for write-downs, that, if existing, are recognised in Income statement under item “170. Net provisions for risks and charges”. For the sake of completeness, it should be noted that against credit facilities for €325 million, as of 31 December 2021 bridge loans equal to €183 million has been recognised among financial instruments measured at amortised cost, according to the ordinary provisions of IFRS9. Interbank Offered Rates (IBORs) transition Following the concerns raised about the integrity and reliability of major financial market benchmarks the Financial Stability Board (FSB) started a comprehensive reference rates reform. In order to assess the relevant risks associated with the benchmark reforms and taking appropriate actions to ensure an adequate transition to alternative or reformed benchmark rates ahead of the deadline of the end of 2021 specified in the revised EU Benchmark Regulation (BMR), UniCredit group launched in October 2018 a Group wide project in order to manage the IBORs discontinuation with a multiyear roadmap defined based on both Group exposure (mainly focused on Euro) and transition timeline. 83 IAS8 paragraph 10. 84 “Cessione del credito d’imposta” - Law 17 July 2020 No.77. 85 Accounting treatment of tax credits associated with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale by direct beneficiaries or previous buyers. Company financial statements | Notes to the accounts Part A - Accounting policies 610 2021 Annual Report and Accounts · UniCredit With reference to 2021, an interest income contribution equal to +€472 million (o/w +€192 million from CNL spread additional to “DFR”), has been recognised for the total outstanding €56.4 billion TLTRO funding reflecting cumulative net lending threshold achievements, as supported by evidences of outstanding cumulative net lending production (i) has been submitted to ECB by August 2021 for the special reference period ending on 31 March 2021 and (ii) will be finally provided to ECB with the third report for the additional reference period ending on 31 December 2021 not later than 17 May 2022, together with the result of the auditor's evaluation. Tax credits connected with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers The Law Decrees 18/2020 (so-called "Cura Italia") and 34/2020 (so-called "Rilancio"), converted into law No.27 and No.77 of 2020, introduced into the Italian legal system some tax incentive measures related to both investment expenses (e.g., Eco and Sismabonus) and current expenses (e.g., rents for non-residential premises). These incentives that apply to households or businesses, are commensurate with a percentage of the expenditure incurred (which in some cases even reaches 110%) and are disbursed in the form of tax credits or tax deductions (convertible, on option, into tax credits). The holders of these credits, not refundable by the State, can use them to offset taxes and contributions or they can further transfer them (in whole or in part) to third parties. Since the third quarter of 2020 UniCredit S.p.A. launched commercial initiatives aimed at: • providing "bridge" credit facilities subject to the presentation of appropriate documentation proving the intervention and the future generation of tax credit, to support the financial needs related to the cost of the interventions; • simultaneously underwriting commitments related to the purchase of the future tax credit with the associated obligation of the assigning customer to use the amount collected from the transfer of the tax credit to reimburse the granted "bridge" loan; • directly purchasing tax credits from assignors who do not require any "bridge" loan. Starting from the second quarter of 2021 indirect purchases of Tax Credit has been exploited through fully consolidated Italian Securitization SPVs, incorporated under Law 130/99, to manage CIB clients network financing needs. The specific features of these tax credits are such that these assets are not in the scope of international accounting standards IAS/IFRS. Therefore, the paragraph of IAS883 is applied, requiring the management to define an accounting policy suitable for providing relevant and reliable information. In accordance with the paper published by the OIC on 17 May 202084 and the Document No.9 jointly published by Banca d’Italia, CONSOB, IVASS on 5 January 202185, it is believed that an accounting model based on IFRS9 is the accounting model more suitable for providing relevant and reliable information. As a result of the above, on initial recognition tax credits are booked among assets in item “120. Other assets" for a value equal to the purchase price, assumed equal to a Level 3 fair value of the fair value hierarchy according to IFRS13. For subsequent measurement, the provisions of IFRS9 relating to the “Held to collect portfolio” are applied for both direct and indirect (through Italian Securitization SPVs) purchases. As a result, these tax credits are measured at amortised costs recognising in the Income statement in item “10. Interest income and similar revenues" the portion -accrued in the period- related to the difference between the value at initial recognition and the value that is expected to be utilised through the offsetting with tax liabilities. The latter value is subject to periodical re-assessment with recognition into income statement, item “10. Interest income and similar revenues” of any write-downs. As of 31 December 2021, no write-downs have been recognised and the tax credit presented in “Other assets” amounts to €252 million. The commitments connected with the purchase of the future tax credit are recognised, for a value equal to the price that will be paid when the commitment will be used by the customer, among "Other commitments" (€939 million as of 31 December 2021), and were evaluated in relation to their effectively offset value resulting in no need for write-downs, that, if existing, are recognised in Income statement under item “170. Net provisions for risks and charges”. For the sake of completeness, it should be noted that against credit facilities for €325 million, as of 31 December 2021 bridge loans equal to €183 million has been recognised among financial instruments measured at amortised cost, according to the ordinary provisions of IFRS9. Interbank Offered Rates (IBORs) transition Following the concerns raised about the integrity and reliability of major financial market benchmarks the Financial Stability Board (FSB) started a comprehensive reference rates reform. In order to assess the relevant risks associated with the benchmark reforms and taking appropriate actions to ensure an adequate transition to alternative or reformed benchmark rates ahead of the deadline of the end of 2021 specified in the revised EU Benchmark Regulation (BMR), UniCredit group launched in October 2018 a Group wide project in order to manage the IBORs discontinuation with a multiyear roadmap defined based on both Group exposure (mainly focused on Euro) and transition timeline. 83 IAS8 paragraph 10. 84 “Cessione del credito d’imposta” - Law 17 July 2020 No.77. 85 Accounting treatment of tax credits associated with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale by direct beneficiaries or previous buyers. Company financial statements | Notes to the accounts Part A - Accounting policies 610 2021 Annual Report and Accounts · UniCredit With reference to 2021, an interest income contribution equal to +€472 million (o/w +€192 million from CNL spread additional to “DFR”), has been recognised for the total outstanding €56.4 billion TLTRO funding reflecting cumulative net lending threshold achievements, as supported by evidences of outstanding cumulative net lending production (i) has been submitted to ECB by August 2021 for the special reference period ending on 31 March 2021 and (ii) will be finally provided to ECB with the third report for the additional reference period ending on 31 December 2021 not later than 17 May 2022, together with the result of the auditor's evaluation. Tax credits connected with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers The Law Decrees 18/2020 (so-called "Cura Italia") and 34/2020 (so-called "Rilancio"), converted into law No.27 and No.77 of 2020, introduced into the Italian legal system some tax incentive measures related to both investment expenses (e.g., Eco and Sismabonus) and current expenses (e.g., rents for non-residential premises). These incentives that apply to households or businesses, are commensurate with a percentage of the expenditure incurred (which in some cases even reaches 110%) and are disbursed in the form of tax credits or tax deductions (convertible, on option, into tax credits). The holders of these credits, not refundable by the State, can use them to offset taxes and contributions or they can further transfer them (in whole or in part) to third parties. Since the third quarter of 2020 UniCredit S.p.A. launched commercial initiatives aimed at: • providing "bridge" credit facilities subject to the presentation of appropriate documentation proving the intervention and the future generation of tax credit, to support the financial needs related to the cost of the interventions; • simultaneously underwriting commitments related to the purchase of the future tax credit with the associated obligation of the assigning customer to use the amount collected from the transfer of the tax credit to reimburse the granted "bridge" loan; • directly purchasing tax credits from assignors who do not require any "bridge" loan. Starting from the second quarter of 2021 indirect purchases of Tax Credit has been exploited through fully consolidated Italian Securitization SPVs, incorporated under Law 130/99, to manage CIB clients network financing needs. The specific features of these tax credits are such that these assets are not in the scope of international accounting standards IAS/IFRS. Therefore, the paragraph of IAS883 is applied, requiring the management to define an accounting policy suitable for providing relevant and reliable information. In accordance with the paper published by the OIC on 17 May 202084 and the Document No.9 jointly published by Banca d’Italia, CONSOB, IVASS on 5 January 202185, it is believed that an accounting model based on IFRS9 is the accounting model more suitable for providing relevant and reliable information. As a result of the above, on initial recognition tax credits are booked among assets in item “120. Other assets" for a value equal to the purchase price, assumed equal to a Level 3 fair value of the fair value hierarchy according to IFRS13. For subsequent measurement, the provisions of IFRS9 relating to the “Held to collect portfolio” are applied for both direct and indirect (through Italian Securitization SPVs) purchases. As a result, these tax credits are measured at amortised costs recognising in the Income statement in item “10. Interest income and similar revenues" the portion -accrued in the period- related to the difference between the value at initial recognition and the value that is expected to be utilised through the offsetting with tax liabilities. The latter value is subject to periodical re-assessment with recognition into income statement, item “10. Interest income and similar revenues” of any write-downs. As of 31 December 2021, no write-downs have been recognised and the tax credit presented in “Other assets” amounts to €252 million. The commitments connected with the purchase of the future tax credit are recognised, for a value equal to the price that will be paid when the commitment will be used by the customer, among "Other commitments" (€939 million as of 31 December 2021), and were evaluated in relation to their effectively offset value resulting in no need for write-downs, that, if existing, are recognised in Income statement under item “170. Net provisions for risks and charges”. For the sake of completeness, it should be noted that against credit facilities for €325 million, as of 31 December 2021 bridge loans equal to €183 million has been recognised among financial instruments measured at amortised cost, according to the ordinary provisions of IFRS9. Interbank Offered Rates (IBORs) transition Following the concerns raised about the integrity and reliability of major financial market benchmarks the Financial Stability Board (FSB) started a comprehensive reference rates reform. In order to assess the relevant risks associated with the benchmark reforms and taking appropriate actions to ensure an adequate transition to alternative or reformed benchmark rates ahead of the deadline of the end of 2021 specified in the revised EU Benchmark Regulation (BMR), UniCredit group launched in October 2018 a Group wide project in order to manage the IBORs discontinuation with a multiyear roadmap defined based on both Group exposure (mainly focused on Euro) and transition timeline. 83 IAS8 paragraph 10. 84 “Cessione del credito d’imposta” - Law 17 July 2020 No.77. 85 Accounting treatment of tax credits associated with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale by direct beneficiaries or previous buyers. Company financial statements | Notes to the accounts Part A - Accounting policies 610 2021 Annual Report and Accounts · UniCredit With reference to 2021, an interest income contribution equal to +€472 million (o/w +€192 million from CNL spread additional to “DFR”), has been recognised for the total outstanding €56.4 billion TLTRO funding reflecting cumulative net lending threshold achievements, as supported by evidences of outstanding cumulative net lending production (i) has been submitted to ECB by August 2021 for the special reference period ending on 31 March 2021 and (ii) will be finally provided to ECB with the third report for the additional reference period ending on 31 December 2021 not later than 17 May 2022, together with the result of the auditor's evaluation. Tax credits connected with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale without recourse by the direct beneficiaries or previous buyers The Law Decrees 18/2020 (so-called "Cura Italia") and 34/2020 (so-called "Rilancio"), converted into law No.27 and No.77 of 2020, introduced into the Italian legal system some tax incentive measures related to both investment expenses (e.g., Eco and Sismabonus) and current expenses (e.g., rents for non-residential premises). These incentives that apply to households or businesses, are commensurate with a percentage of the expenditure incurred (which in some cases even reaches 110%) and are disbursed in the form of tax credits or tax deductions (convertible, on option, into tax credits). The holders of these credits, not refundable by the State, can use them to offset taxes and contributions or they can further transfer them (in whole or in part) to third parties. Since the third quarter of 2020 UniCredit S.p.A. launched commercial initiatives aimed at: • providing "bridge" credit facilities subject to the presentation of appropriate documentation proving the intervention and the future generation of tax credit, to support the financial needs related to the cost of the interventions; • simultaneously underwriting commitments related to the purchase of the future tax credit with the associated obligation of the assigning customer to use the amount collected from the transfer of the tax credit to reimburse the granted "bridge" loan; • directly purchasing tax credits from assignors who do not require any "bridge" loan. Starting from the second quarter of 2021 indirect purchases of Tax Credit has been exploited through fully consolidated Italian Securitization SPVs, incorporated under Law 130/99, to manage CIB clients network financing needs. The specific features of these tax credits are such that these assets are not in the scope of international accounting standards IAS/IFRS. Therefore, the paragraph of IAS883 is applied, requiring the management to define an accounting policy suitable for providing relevant and reliable information. In accordance with the paper published by the OIC on 17 May 202084 and the Document No.9 jointly published by Banca d’Italia, CONSOB, IVASS on 5 January 202185, it is believed that an accounting model based on IFRS9 is the accounting model more suitable for providing relevant and reliable information. As a result of the above, on initial recognition tax credits are booked among assets in item “120. Other assets" for a value equal to the purchase price, assumed equal to a Level 3 fair value of the fair value hierarchy according to IFRS13. For subsequent measurement, the provisions of IFRS9 relating to the “Held to collect portfolio” are applied for both direct and indirect (through Italian Securitization SPVs) purchases. As a result, these tax credits are measured at amortised costs recognising in the Income statement in item “10. Interest income and similar revenues" the portion -accrued in the period- related to the difference between the value at initial recognition and the value that is expected to be utilised through the offsetting with tax liabilities. The latter value is subject to periodical re-assessment with recognition into income statement, item “10. Interest income and similar revenues” of any write-downs. As of 31 December 2021, no write-downs have been recognised and the tax credit presented in “Other assets” amounts to €252 million. The commitments connected with the purchase of the future tax credit are recognised, for a value equal to the price that will be paid when the commitment will be used by the customer, among "Other commitments" (€939 million as of 31 December 2021), and were evaluated in relation to their effectively offset value resulting in no need for write-downs, that, if existing, are recognised in Income statement under item “170. Net provisions for risks and charges”. For the sake of completeness, it should be noted that against credit facilities for €325 million, as of 31 December 2021 bridge loans equal to €183 million has been recognised among financial instruments measured at amortised cost, according to the ordinary provisions of IFRS9. Interbank Offered Rates (IBORs) transition Following the concerns raised about the integrity and reliability of major financial market benchmarks the Financial Stability Board (FSB) started a comprehensive reference rates reform. In order to assess the relevant risks associated with the benchmark reforms and taking appropriate actions to ensure an adequate transition to alternative or reformed benchmark rates ahead of the deadline of the end of 2021 specified in the revised EU Benchmark Regulation (BMR), UniCredit group launched in October 2018 a Group wide project in order to manage the IBORs discontinuation with a multiyear roadmap defined based on both Group exposure (mainly focused on Euro) and transition timeline. 83 IAS8 paragraph 10. 84 “Cessione del credito d’imposta” - Law 17 July 2020 No.77. 85 Accounting treatment of tax credits associated with the "Cura Italia" and "Rilancio" Law Decrees purchased following the sale by direct beneficiaries or previous buyers. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 611 It is worth to mention that the European Working Groups on Euro Risk-Free Rates issued its recommendations on Euribor fallbacks and cessation triggers while other international working groups and bodies (e.g., International Swaps and Derivatives Association - ISDA; ICE Benchmark Administration - IBA; London Clearing House - LCH) issued recommendations, focused on LIBOR discontinuation, that will be taken into account while envisaging market practices to consider on transition. At the same time Benchmark Regulation has been amended in order to allow the EU Commission to provide for statutory replacement rates (to be defined after a public consultation and applicable to contracts lacking a suitable fallback provision in case of the cessation of the benchmark rate agreed by the parties), while the other mainly involved international market authorities (e.g., Financial Conduct Authority and Bank of England in the UK, New York State Department of Financial Services in the US) are defining possible amendments to the applicable laws in order to support a smooth transition. Such discussions and consultation outcomes, while aimed to bring further stability in the market and reduce conduct risk, still represent source of possible uncertainty, with reference to the timing and/or fallback rules applied to outstanding stock of assets, liability and derivatives linked to other IBOR agreements (yet to be transformed or transitioned). On 5 March 2021, the Financial Conduct Authority (FCA) in its capacity as LIBOR regulator announced that LIBOR settings process will not be available (ceased to be provided or no longer representative) according with the below discontinuation path: • immediately after 31 December 2021, in the case of all Sterling, Euro, Swiss Franc and Japanese Yen settings, and the 1-week and 2-month US Dollar settings; and • immediately after 30 June 2023, in the case of the remaining US Dollar settings. ISDA echoed on the same day, stating that the FCA announcement constituted a trigger event under the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment on relevant derivatives (also applicable on cash instrument considering the recommendations of major national working group), is fixed starting from the same day for all Euro, Sterling, Swiss Franc, US Dollar and Japanese Yen LIBOR settings. In order to avoid disruption to legacy contracts that reference the 1-, 3- and 6-month GBP and JPY Libor, the FCA deliberate for the publication under a changed methodology basis (also known as 'synthetic'), until end of 2022, of the mentioned 6 Libor settings made available by IBA for use in legacy contracts other than cleared derivatives. Synthetic settings availability provides some relief on LIBOR contracts repapering effort (in particular for contracts subject to UK law). The European Commission adopted an Implementing Act of the BMR that has been published in the Official Journal of the European Union on Friday, 22 October 2021; the Implementing Act provides legal ground for a Statutory Replacement Rate for legacy contracts indexed to CHF LIBOR and EONIA that have not yet been repapered or do not contain adequate fallback rates. Such a replacement rate operating by law brought further stability in the market and reduced the conduct risk associated with the outstanding stock of assets, liabilities and derivatives transformed or transitioned or yet to be transformed or transitioned. In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform on existing accounting hedge relationships the “Amendments to IFRS9, IAS39 and IFRS7 Interest Rate Benchmark Reform” (the Amendment) clarifies that the reform does not require to terminate such hedge relationships, whose volume as of 31 December 2021 is presented below: Hedging contracts: notional amount(*) (€ million) INDEX HEDGING RELATIONSHIP HEDGED ITEMS LIBOR USD LIBOR JPY LIBOR OTHER CURRENCIES OTHERS Fair value Assets 5,370 5,163 - - Liabilities 14,078 - - - Cash flows Assets 7,461 4,979 - - Liabilities 20,042 - - - Total 46,951 10,142 - - Note: (*) Double-entry method when relevant. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 611 It is worth to mention that the European Working Groups on Euro Risk-Free Rates issued its recommendations on Euribor fallbacks and cessation triggers while other international working groups and bodies (e.g., International Swaps and Derivatives Association - ISDA; ICE Benchmark Administration - IBA; London Clearing House - LCH) issued recommendations, focused on LIBOR discontinuation, that will be taken into account while envisaging market practices to consider on transition. At the same time Benchmark Regulation has been amended in order to allow the EU Commission to provide for statutory replacement rates (to be defined after a public consultation and applicable to contracts lacking a suitable fallback provision in case of the cessation of the benchmark rate agreed by the parties), while the other mainly involved international market authorities (e.g., Financial Conduct Authority and Bank of England in the UK, New York State Department of Financial Services in the US) are defining possible amendments to the applicable laws in order to support a smooth transition. Such discussions and consultation outcomes, while aimed to bring further stability in the market and reduce conduct risk, still represent source of possible uncertainty, with reference to the timing and/or fallback rules applied to outstanding stock of assets, liability and derivatives linked to other IBOR agreements (yet to be transformed or transitioned). On 5 March 2021, the Financial Conduct Authority (FCA) in its capacity as LIBOR regulator announced that LIBOR settings process will not be available (ceased to be provided or no longer representative) according with the below discontinuation path: • immediately after 31 December 2021, in the case of all Sterling, Euro, Swiss Franc and Japanese Yen settings, and the 1-week and 2-month US Dollar settings; and • immediately after 30 June 2023, in the case of the remaining US Dollar settings. ISDA echoed on the same day, stating that the FCA announcement constituted a trigger event under the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment on relevant derivatives (also applicable on cash instrument considering the recommendations of major national working group), is fixed starting from the same day for all Euro, Sterling, Swiss Franc, US Dollar and Japanese Yen LIBOR settings. In order to avoid disruption to legacy contracts that reference the 1-, 3- and 6-month GBP and JPY Libor, the FCA deliberate for the publication under a changed methodology basis (also known as 'synthetic'), until end of 2022, of the mentioned 6 Libor settings made available by IBA for use in legacy contracts other than cleared derivatives. Synthetic settings availability provides some relief on LIBOR contracts repapering effort (in particular for contracts subject to UK law). The European Commission adopted an Implementing Act of the BMR that has been published in the Official Journal of the European Union on Friday, 22 October 2021; the Implementing Act provides legal ground for a Statutory Replacement Rate for legacy contracts indexed to CHF LIBOR and EONIA that have not yet been repapered or do not contain adequate fallback rates. Such a replacement rate operating by law brought further stability in the market and reduced the conduct risk associated with the outstanding stock of assets, liabilities and derivatives transformed or transitioned or yet to be transformed or transitioned. In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform on existing accounting hedge relationships the “Amendments to IFRS9, IAS39 and IFRS7 Interest Rate Benchmark Reform” (the Amendment) clarifies that the reform does not require to terminate such hedge relationships, whose volume as of 31 December 2021 is presented below: Hedging contracts: notional amount(*) (€ million) INDEX HEDGING RELATIONSHIP HEDGED ITEMS LIBOR USD LIBOR JPY LIBOR OTHER CURRENCIES OTHERS Fair value Assets 5,370 5,163 - - Liabilities 14,078 - - - Cash flows Assets 7,461 4,979 - - Liabilities 20,042 - - - Total 46,951 10,142 - - Note: (*) Double-entry method when relevant. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 611 It is worth to mention that the European Working Groups on Euro Risk-Free Rates issued its recommendations on Euribor fallbacks and cessation triggers while other international working groups and bodies (e.g., International Swaps and Derivatives Association - ISDA; ICE Benchmark Administration - IBA; London Clearing House - LCH) issued recommendations, focused on LIBOR discontinuation, that will be taken into account while envisaging market practices to consider on transition. At the same time Benchmark Regulation has been amended in order to allow the EU Commission to provide for statutory replacement rates (to be defined after a public consultation and applicable to contracts lacking a suitable fallback provision in case of the cessation of the benchmark rate agreed by the parties), while the other mainly involved international market authorities (e.g., Financial Conduct Authority and Bank of England in the UK, New York State Department of Financial Services in the US) are defining possible amendments to the applicable laws in order to support a smooth transition. Such discussions and consultation outcomes, while aimed to bring further stability in the market and reduce conduct risk, still represent source of possible uncertainty, with reference to the timing and/or fallback rules applied to outstanding stock of assets, liability and derivatives linked to other IBOR agreements (yet to be transformed or transitioned). On 5 March 2021, the Financial Conduct Authority (FCA) in its capacity as LIBOR regulator announced that LIBOR settings process will not be available (ceased to be provided or no longer representative) according with the below discontinuation path: • immediately after 31 December 2021, in the case of all Sterling, Euro, Swiss Franc and Japanese Yen settings, and the 1-week and 2-month US Dollar settings; and • immediately after 30 June 2023, in the case of the remaining US Dollar settings. ISDA echoed on the same day, stating that the FCA announcement constituted a trigger event under the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment on relevant derivatives (also applicable on cash instrument considering the recommendations of major national working group), is fixed starting from the same day for all Euro, Sterling, Swiss Franc, US Dollar and Japanese Yen LIBOR settings. In order to avoid disruption to legacy contracts that reference the 1-, 3- and 6-month GBP and JPY Libor, the FCA deliberate for the publication under a changed methodology basis (also known as 'synthetic'), until end of 2022, of the mentioned 6 Libor settings made available by IBA for use in legacy contracts other than cleared derivatives. Synthetic settings availability provides some relief on LIBOR contracts repapering effort (in particular for contracts subject to UK law). The European Commission adopted an Implementing Act of the BMR that has been published in the Official Journal of the European Union on Friday, 22 October 2021; the Implementing Act provides legal ground for a Statutory Replacement Rate for legacy contracts indexed to CHF LIBOR and EONIA that have not yet been repapered or do not contain adequate fallback rates. Such a replacement rate operating by law brought further stability in the market and reduced the conduct risk associated with the outstanding stock of assets, liabilities and derivatives transformed or transitioned or yet to be transformed or transitioned. In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform on existing accounting hedge relationships the “Amendments to IFRS9, IAS39 and IFRS7 Interest Rate Benchmark Reform” (the Amendment) clarifies that the reform does not require to terminate such hedge relationships, whose volume as of 31 December 2021 is presented below: Hedging contracts: notional amount(*) (€ million) INDEX HEDGING RELATIONSHIP HEDGED ITEMS LIBOR USD LIBOR JPY LIBOR OTHER CURRENCIES OTHERS Fair value Assets 5,370 5,163 - - Liabilities 14,078 - - - Cash flows Assets 7,461 4,979 - - Liabilities 20,042 - - - Total 46,951 10,142 - - Note: (*) Double-entry method when relevant. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 611 It is worth to mention that the European Working Groups on Euro Risk-Free Rates issued its recommendations on Euribor fallbacks and cessation triggers while other international working groups and bodies (e.g., International Swaps and Derivatives Association - ISDA; ICE Benchmark Administration - IBA; London Clearing House - LCH) issued recommendations, focused on LIBOR discontinuation, that will be taken into account while envisaging market practices to consider on transition. At the same time Benchmark Regulation has been amended in order to allow the EU Commission to provide for statutory replacement rates (to be defined after a public consultation and applicable to contracts lacking a suitable fallback provision in case of the cessation of the benchmark rate agreed by the parties), while the other mainly involved international market authorities (e.g., Financial Conduct Authority and Bank of England in the UK, New York State Department of Financial Services in the US) are defining possible amendments to the applicable laws in order to support a smooth transition. Such discussions and consultation outcomes, while aimed to bring further stability in the market and reduce conduct risk, still represent source of possible uncertainty, with reference to the timing and/or fallback rules applied to outstanding stock of assets, liability and derivatives linked to other IBOR agreements (yet to be transformed or transitioned). On 5 March 2021, the Financial Conduct Authority (FCA) in its capacity as LIBOR regulator announced that LIBOR settings process will not be available (ceased to be provided or no longer representative) according with the below discontinuation path: • immediately after 31 December 2021, in the case of all Sterling, Euro, Swiss Franc and Japanese Yen settings, and the 1-week and 2-month US Dollar settings; and • immediately after 30 June 2023, in the case of the remaining US Dollar settings. ISDA echoed on the same day, stating that the FCA announcement constituted a trigger event under the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment on relevant derivatives (also applicable on cash instrument considering the recommendations of major national working group), is fixed starting from the same day for all Euro, Sterling, Swiss Franc, US Dollar and Japanese Yen LIBOR settings. In order to avoid disruption to legacy contracts that reference the 1-, 3- and 6-month GBP and JPY Libor, the FCA deliberate for the publication under a changed methodology basis (also known as 'synthetic'), until end of 2022, of the mentioned 6 Libor settings made available by IBA for use in legacy contracts other than cleared derivatives. Synthetic settings availability provides some relief on LIBOR contracts repapering effort (in particular for contracts subject to UK law). The European Commission adopted an Implementing Act of the BMR that has been published in the Official Journal of the European Union on Friday, 22 October 2021; the Implementing Act provides legal ground for a Statutory Replacement Rate for legacy contracts indexed to CHF LIBOR and EONIA that have not yet been repapered or do not contain adequate fallback rates. Such a replacement rate operating by law brought further stability in the market and reduced the conduct risk associated with the outstanding stock of assets, liabilities and derivatives transformed or transitioned or yet to be transformed or transitioned. In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform on existing accounting hedge relationships the “Amendments to IFRS9, IAS39 and IFRS7 Interest Rate Benchmark Reform” (the Amendment) clarifies that the reform does not require to terminate such hedge relationships, whose volume as of 31 December 2021 is presented below: Hedging contracts: notional amount(*) (€ million) INDEX HEDGING RELATIONSHIP HEDGED ITEMS LIBOR USD LIBOR JPY LIBOR OTHER CURRENCIES OTHERS Fair value Assets 5,370 5,163 - - Liabilities 14,078 - - - Cash flows Assets 7,461 4,979 - - Liabilities 20,042 - - - Total 46,951 10,142 - - Note: (*) Double-entry method when relevant. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 611 It is worth to mention that the European Working Groups on Euro Risk-Free Rates issued its recommendations on Euribor fallbacks and cessation triggers while other international working groups and bodies (e.g., International Swaps and Derivatives Association - ISDA; ICE Benchmark Administration - IBA; London Clearing House - LCH) issued recommendations, focused on LIBOR discontinuation, that will be taken into account while envisaging market practices to consider on transition. At the same time Benchmark Regulation has been amended in order to allow the EU Commission to provide for statutory replacement rates (to be defined after a public consultation and applicable to contracts lacking a suitable fallback provision in case of the cessation of the benchmark rate agreed by the parties), while the other mainly involved international market authorities (e.g., Financial Conduct Authority and Bank of England in the UK, New York State Department of Financial Services in the US) are defining possible amendments to the applicable laws in order to support a smooth transition. Such discussions and consultation outcomes, while aimed to bring further stability in the market and reduce conduct risk, still represent source of possible uncertainty, with reference to the timing and/or fallback rules applied to outstanding stock of assets, liability and derivatives linked to other IBOR agreements (yet to be transformed or transitioned). On 5 March 2021, the Financial Conduct Authority (FCA) in its capacity as LIBOR regulator announced that LIBOR settings process will not be available (ceased to be provided or no longer representative) according with the below discontinuation path: • immediately after 31 December 2021, in the case of all Sterling, Euro, Swiss Franc and Japanese Yen settings, and the 1-week and 2-month US Dollar settings; and • immediately after 30 June 2023, in the case of the remaining US Dollar settings. ISDA echoed on the same day, stating that the FCA announcement constituted a trigger event under the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment on relevant derivatives (also applicable on cash instrument considering the recommendations of major national working group), is fixed starting from the same day for all Euro, Sterling, Swiss Franc, US Dollar and Japanese Yen LIBOR settings. In order to avoid disruption to legacy contracts that reference the 1-, 3- and 6-month GBP and JPY Libor, the FCA deliberate for the publication under a changed methodology basis (also known as 'synthetic'), until end of 2022, of the mentioned 6 Libor settings made available by IBA for use in legacy contracts other than cleared derivatives. Synthetic settings availability provides some relief on LIBOR contracts repapering effort (in particular for contracts subject to UK law). The European Commission adopted an Implementing Act of the BMR that has been published in the Official Journal of the European Union on Friday, 22 October 2021; the Implementing Act provides legal ground for a Statutory Replacement Rate for legacy contracts indexed to CHF LIBOR and EONIA that have not yet been repapered or do not contain adequate fallback rates. Such a replacement rate operating by law brought further stability in the market and reduced the conduct risk associated with the outstanding stock of assets, liabilities and derivatives transformed or transitioned or yet to be transformed or transitioned. In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform on existing accounting hedge relationships the “Amendments to IFRS9, IAS39 and IFRS7 Interest Rate Benchmark Reform” (the Amendment) clarifies that the reform does not require to terminate such hedge relationships, whose volume as of 31 December 2021 is presented below: Hedging contracts: notional amount(*) (€ million) INDEX HEDGING RELATIONSHIP HEDGED ITEMS LIBOR USD LIBOR JPY LIBOR OTHER CURRENCIES OTHERS Fair value Assets 5,370 5,163 - - Liabilities 14,078 - - - Cash flows Assets 7,461 4,979 - - Liabilities 20,042 - - - Total 46,951 10,142 - - Note: (*) Double-entry method when relevant. Company financial statements | Notes to the accounts Part A - Accounting policies 612 2021 Annual Report and Accounts · UniCredit In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform IASB issued “Interest Rates benchmark Reform - Phase 2; Amendments to IFRS9, IAS39 and IFRS7” including indications to manage changes in financial instruments that are directly required by the Reform and providing for (i) exceptions to standard rules dealing with accounting for changes of the contractual cash flows of assets and liabilities and (ii) reliefs from discontinuing hedge relationships. As long as contractual terms (i) are amended as a direct consequence of interest rate benchmark reform and (ii) the new basis (to determine the contractual cash flows) is economically equivalent to the previous basis86, they will be treated as changes to a floating interest rate arising from movement in the market rate of interest (meaning the EIR will be updated prospectively without adjusting the carrying amount)87. Similarly, the Amendments requires an assessment whether a modification of a financial instruments might lead to its derecognition (i.e., when the modification results in a “substantial change” in the expected cash flows) to be applied only to changes beyond those resulting from the market-wide reforms of an interest rate benchmark88. As a result, changes that do qualify for the practical expedient will not be regarded as sufficiently substantial that the instrument would be derecognized and, consequently, IFRS9 classification requirements (to be run at initial recognition of a financial assets, including SPPI test) doesn’t have to be conducted. The major relief Amendments introduces in respect of hedge relationships is that changes to the documentation do not result in the discontinuation of hedge accounting nor (in) the designation of a new hedge relationship as long as it only refer to designating an alternative benchmark rate as the hedged risk, or amending the description (i) of the hedged item/portion of the cashflows or fair value being hedged, (ii) of the hedging instruments or (iii) how the entity will assess hedge effectiveness89 as a consequences of changes to hedged and hedging instruments induced by the Reform (including the addition of a fixed spread to compensate for the basis difference). Volume of financial instruments that have yet to transition to an alternative RFR as at the end of the reporting period are the follow: Financial instruments subject to IBOR reform: contractual/notional amount(*) (€ million) INDEX LIBOR USD LIBOR CHF LIBOR OTHER CURRENCIES OTHERS Total Non-derivative financial assets 4,697 881 31 - 5,609 Loans&Advances 3,994 881 31 - 4,906 Securities 703 - - - 703 Non-derivative financial liabilities 888 - - - 888 Deposits 482 - - - 482 Issued securities 406 - - - 406 Derivatives 58,645 31 9,236 - 67,912 Note: (*) Figures submitted to KMPs. In order to closely follow the developments on IBORs and to proper manage the transition and the discontinuation impacts, UniCredit is continuously monitoring the market, also attending the European working groups, the industry working groups (e.g., International Swaps and Derivatives Association - ISDA) and participating to the relevant public consultations. *** The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 are audited by Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010 and to the resolution passed by the Shareholder’s Meeting on 11 May 2012. UniCredit group prepared and published within the time limits set by law and in manner required by Consob, the Consolidated first half financial report as at 30 June 2021, subject to limited scope audit, as well as the Consolidated interim reports as at 31 March and 30 September 2021, both as press releases. The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 have been approved by the Board of Directors’ meeting of 15 February 2022, which authorised its disclosure to the public also pursuant to IAS10. 86 Including replacement of the benchmark, addition of a fixed spread to compensate for the “basis difference” among former and new benchmark duration, and changes to the reset period, reset dates or the number of days between coupon payment dates, addition of a fallback provision. 87 Ref. IFRS9.5.4.7-8. 88 Ref. IFRS9.5.4.9. 89 Cfr IFRS9.6.9.1, IAS39.102P Company financial statements | Notes to the accounts Part A - Accounting policies 612 2021 Annual Report and Accounts · UniCredit In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform IASB issued “Interest Rates benchmark Reform - Phase 2; Amendments to IFRS9, IAS39 and IFRS7” including indications to manage changes in financial instruments that are directly required by the Reform and providing for (i) exceptions to standard rules dealing with accounting for changes of the contractual cash flows of assets and liabilities and (ii) reliefs from discontinuing hedge relationships. As long as contractual terms (i) are amended as a direct consequence of interest rate benchmark reform and (ii) the new basis (to determine the contractual cash flows) is economically equivalent to the previous basis86, they will be treated as changes to a floating interest rate arising from movement in the market rate of interest (meaning the EIR will be updated prospectively without adjusting the carrying amount)87. Similarly, the Amendments requires an assessment whether a modification of a financial instruments might lead to its derecognition (i.e., when the modification results in a “substantial change” in the expected cash flows) to be applied only to changes beyond those resulting from the market-wide reforms of an interest rate benchmark88. As a result, changes that do qualify for the practical expedient will not be regarded as sufficiently substantial that the instrument would be derecognized and, consequently, IFRS9 classification requirements (to be run at initial recognition of a financial assets, including SPPI test) doesn’t have to be conducted. The major relief Amendments introduces in respect of hedge relationships is that changes to the documentation do not result in the discontinuation of hedge accounting nor (in) the designation of a new hedge relationship as long as it only refer to designating an alternative benchmark rate as the hedged risk, or amending the description (i) of the hedged item/portion of the cashflows or fair value being hedged, (ii) of the hedging instruments or (iii) how the entity will assess hedge effectiveness89 as a consequences of changes to hedged and hedging instruments induced by the Reform (including the addition of a fixed spread to compensate for the basis difference). Volume of financial instruments that have yet to transition to an alternative RFR as at the end of the reporting period are the follow: Financial instruments subject to IBOR reform: contractual/notional amount(*) (€ million) INDEX LIBOR USD LIBOR CHF LIBOR OTHER CURRENCIES OTHERS Total Non-derivative financial assets 4,697 881 31 - 5,609 Loans&Advances 3,994 881 31 - 4,906 Securities 703 - - - 703 Non-derivative financial liabilities 888 - - - 888 Deposits 482 - - - 482 Issued securities 406 - - - 406 Derivatives 58,645 31 9,236 - 67,912 Note: (*) Figures submitted to KMPs. In order to closely follow the developments on IBORs and to proper manage the transition and the discontinuation impacts, UniCredit is continuously monitoring the market, also attending the European working groups, the industry working groups (e.g., International Swaps and Derivatives Association - ISDA) and participating to the relevant public consultations. *** The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 are audited by Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010 and to the resolution passed by the Shareholder’s Meeting on 11 May 2012. UniCredit group prepared and published within the time limits set by law and in manner required by Consob, the Consolidated first half financial report as at 30 June 2021, subject to limited scope audit, as well as the Consolidated interim reports as at 31 March and 30 September 2021, both as press releases. The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 have been approved by the Board of Directors’ meeting of 15 February 2022, which authorised its disclosure to the public also pursuant to IAS10. 86 Including replacement of the benchmark, addition of a fixed spread to compensate for the “basis difference” among former and new benchmark duration, and changes to the reset period, reset dates or the number of days between coupon payment dates, addition of a fallback provision. 87 Ref. IFRS9.5.4.7-8. 88 Ref. IFRS9.5.4.9. 89 Cfr IFRS9.6.9.1, IAS39.102P Company financial statements | Notes to the accounts Part A - Accounting policies 612 2021 Annual Report and Accounts · UniCredit In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform IASB issued “Interest Rates benchmark Reform - Phase 2; Amendments to IFRS9, IAS39 and IFRS7” including indications to manage changes in financial instruments that are directly required by the Reform and providing for (i) exceptions to standard rules dealing with accounting for changes of the contractual cash flows of assets and liabilities and (ii) reliefs from discontinuing hedge relationships. As long as contractual terms (i) are amended as a direct consequence of interest rate benchmark reform and (ii) the new basis (to determine the contractual cash flows) is economically equivalent to the previous basis86, they will be treated as changes to a floating interest rate arising from movement in the market rate of interest (meaning the EIR will be updated prospectively without adjusting the carrying amount)87. Similarly, the Amendments requires an assessment whether a modification of a financial instruments might lead to its derecognition (i.e., when the modification results in a “substantial change” in the expected cash flows) to be applied only to changes beyond those resulting from the market-wide reforms of an interest rate benchmark88. As a result, changes that do qualify for the practical expedient will not be regarded as sufficiently substantial that the instrument would be derecognized and, consequently, IFRS9 classification requirements (to be run at initial recognition of a financial assets, including SPPI test) doesn’t have to be conducted. The major relief Amendments introduces in respect of hedge relationships is that changes to the documentation do not result in the discontinuation of hedge accounting nor (in) the designation of a new hedge relationship as long as it only refer to designating an alternative benchmark rate as the hedged risk, or amending the description (i) of the hedged item/portion of the cashflows or fair value being hedged, (ii) of the hedging instruments or (iii) how the entity will assess hedge effectiveness89 as a consequences of changes to hedged and hedging instruments induced by the Reform (including the addition of a fixed spread to compensate for the basis difference). Volume of financial instruments that have yet to transition to an alternative RFR as at the end of the reporting period are the follow: Financial instruments subject to IBOR reform: contractual/notional amount(*) (€ million) INDEX LIBOR USD LIBOR CHF LIBOR OTHER CURRENCIES OTHERS Total Non-derivative financial assets 4,697 881 31 - 5,609 Loans&Advances 3,994 881 31 - 4,906 Securities 703 - - - 703 Non-derivative financial liabilities 888 - - - 888 Deposits 482 - - - 482 Issued securities 406 - - - 406 Derivatives 58,645 31 9,236 - 67,912 Note: (*) Figures submitted to KMPs. In order to closely follow the developments on IBORs and to proper manage the transition and the discontinuation impacts, UniCredit is continuously monitoring the market, also attending the European working groups, the industry working groups (e.g., International Swaps and Derivatives Association - ISDA) and participating to the relevant public consultations. *** The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 are audited by Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010 and to the resolution passed by the Shareholder’s Meeting on 11 May 2012. UniCredit group prepared and published within the time limits set by law and in manner required by Consob, the Consolidated first half financial report as at 30 June 2021, subject to limited scope audit, as well as the Consolidated interim reports as at 31 March and 30 September 2021, both as press releases. The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 have been approved by the Board of Directors’ meeting of 15 February 2022, which authorised its disclosure to the public also pursuant to IAS10. 86 Including replacement of the benchmark, addition of a fixed spread to compensate for the “basis difference” among former and new benchmark duration, and changes to the reset period, reset dates or the number of days between coupon payment dates, addition of a fallback provision. 87 Ref. IFRS9.5.4.7-8. 88 Ref. IFRS9.5.4.9. 89 Cfr IFRS9.6.9.1, IAS39.102P Company financial statements | Notes to the accounts Part A - Accounting policies 612 2021 Annual Report and Accounts · UniCredit In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform IASB issued “Interest Rates benchmark Reform - Phase 2; Amendments to IFRS9, IAS39 and IFRS7” including indications to manage changes in financial instruments that are directly required by the Reform and providing for (i) exceptions to standard rules dealing with accounting for changes of the contractual cash flows of assets and liabilities and (ii) reliefs from discontinuing hedge relationships. As long as contractual terms (i) are amended as a direct consequence of interest rate benchmark reform and (ii) the new basis (to determine the contractual cash flows) is economically equivalent to the previous basis86, they will be treated as changes to a floating interest rate arising from movement in the market rate of interest (meaning the EIR will be updated prospectively without adjusting the carrying amount)87. Similarly, the Amendments requires an assessment whether a modification of a financial instruments might lead to its derecognition (i.e., when the modification results in a “substantial change” in the expected cash flows) to be applied only to changes beyond those resulting from the market-wide reforms of an interest rate benchmark88. As a result, changes that do qualify for the practical expedient will not be regarded as sufficiently substantial that the instrument would be derecognized and, consequently, IFRS9 classification requirements (to be run at initial recognition of a financial assets, including SPPI test) doesn’t have to be conducted. The major relief Amendments introduces in respect of hedge relationships is that changes to the documentation do not result in the discontinuation of hedge accounting nor (in) the designation of a new hedge relationship as long as it only refer to designating an alternative benchmark rate as the hedged risk, or amending the description (i) of the hedged item/portion of the cashflows or fair value being hedged, (ii) of the hedging instruments or (iii) how the entity will assess hedge effectiveness89 as a consequences of changes to hedged and hedging instruments induced by the Reform (including the addition of a fixed spread to compensate for the basis difference). Volume of financial instruments that have yet to transition to an alternative RFR as at the end of the reporting period are the follow: Financial instruments subject to IBOR reform: contractual/notional amount(*) (€ million) INDEX LIBOR USD LIBOR CHF LIBOR OTHER CURRENCIES OTHERS Total Non-derivative financial assets 4,697 881 31 - 5,609 Loans&Advances 3,994 881 31 - 4,906 Securities 703 - - - 703 Non-derivative financial liabilities 888 - - - 888 Deposits 482 - - - 482 Issued securities 406 - - - 406 Derivatives 58,645 31 9,236 - 67,912 Note: (*) Figures submitted to KMPs. In order to closely follow the developments on IBORs and to proper manage the transition and the discontinuation impacts, UniCredit is continuously monitoring the market, also attending the European working groups, the industry working groups (e.g., International Swaps and Derivatives Association - ISDA) and participating to the relevant public consultations. *** The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 are audited by Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010 and to the resolution passed by the Shareholder’s Meeting on 11 May 2012. UniCredit group prepared and published within the time limits set by law and in manner required by Consob, the Consolidated first half financial report as at 30 June 2021, subject to limited scope audit, as well as the Consolidated interim reports as at 31 March and 30 September 2021, both as press releases. The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 have been approved by the Board of Directors’ meeting of 15 February 2022, which authorised its disclosure to the public also pursuant to IAS10. 86 Including replacement of the benchmark, addition of a fixed spread to compensate for the “basis difference” among former and new benchmark duration, and changes to the reset period, reset dates or the number of days between coupon payment dates, addition of a fallback provision. 87 Ref. IFRS9.5.4.7-8. 88 Ref. IFRS9.5.4.9. 89 Cfr IFRS9.6.9.1, IAS39.102P Company financial statements | Notes to the accounts Part A - Accounting policies 612 2021 Annual Report and Accounts · UniCredit In order to address potential source of uncertainty on the effect of the Interbank offered rates (IBOR) reform IASB issued “Interest Rates benchmark Reform - Phase 2; Amendments to IFRS9, IAS39 and IFRS7” including indications to manage changes in financial instruments that are directly required by the Reform and providing for (i) exceptions to standard rules dealing with accounting for changes of the contractual cash flows of assets and liabilities and (ii) reliefs from discontinuing hedge relationships. As long as contractual terms (i) are amended as a direct consequence of interest rate benchmark reform and (ii) the new basis (to determine the contractual cash flows) is economically equivalent to the previous basis86, they will be treated as changes to a floating interest rate arising from movement in the market rate of interest (meaning the EIR will be updated prospectively without adjusting the carrying amount)87. Similarly, the Amendments requires an assessment whether a modification of a financial instruments might lead to its derecognition (i.e., when the modification results in a “substantial change” in the expected cash flows) to be applied only to changes beyond those resulting from the market-wide reforms of an interest rate benchmark88. As a result, changes that do qualify for the practical expedient will not be regarded as sufficiently substantial that the instrument would be derecognized and, consequently, IFRS9 classification requirements (to be run at initial recognition of a financial assets, including SPPI test) doesn’t have to be conducted. The major relief Amendments introduces in respect of hedge relationships is that changes to the documentation do not result in the discontinuation of hedge accounting nor (in) the designation of a new hedge relationship as long as it only refer to designating an alternative benchmark rate as the hedged risk, or amending the description (i) of the hedged item/portion of the cashflows or fair value being hedged, (ii) of the hedging instruments or (iii) how the entity will assess hedge effectiveness89 as a consequences of changes to hedged and hedging instruments induced by the Reform (including the addition of a fixed spread to compensate for the basis difference). Volume of financial instruments that have yet to transition to an alternative RFR as at the end of the reporting period are the follow: Financial instruments subject to IBOR reform: contractual/notional amount(*) (€ million) INDEX LIBOR USD LIBOR CHF LIBOR OTHER CURRENCIES OTHERS Total Non-derivative financial assets 4,697 881 31 - 5,609 Loans&Advances 3,994 881 31 - 4,906 Securities 703 - - - 703 Non-derivative financial liabilities 888 - - - 888 Deposits 482 - - - 482 Issued securities 406 - - - 406 Derivatives 58,645 31 9,236 - 67,912 Note: (*) Figures submitted to KMPs. In order to closely follow the developments on IBORs and to proper manage the transition and the discontinuation impacts, UniCredit is continuously monitoring the market, also attending the European working groups, the industry working groups (e.g., International Swaps and Derivatives Association - ISDA) and participating to the relevant public consultations. *** The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 are audited by Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010 and to the resolution passed by the Shareholder’s Meeting on 11 May 2012. UniCredit group prepared and published within the time limits set by law and in manner required by Consob, the Consolidated first half financial report as at 30 June 2021, subject to limited scope audit, as well as the Consolidated interim reports as at 31 March and 30 September 2021, both as press releases. The Company financial statements of UniCredit S.p.A. and the Consolidated financial statements of UniCredit group as at 31 December 2021 have been approved by the Board of Directors’ meeting of 15 February 2022, which authorised its disclosure to the public also pursuant to IAS10. 86 Including replacement of the benchmark, addition of a fixed spread to compensate for the “basis difference” among former and new benchmark duration, and changes to the reset period, reset dates or the number of days between coupon payment dates, addition of a fallback provision. 87 Ref. IFRS9.5.4.7-8. 88 Ref. IFRS9.5.4.9. 89 Cfr IFRS9.6.9.1, IAS39.102P Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 613 Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets of the European Union to draw up the annual financial report in the language XHTML, based on the European Single Electronic Format (ESEF), approved by ESMA. The whole document is filed in the competent offices and entities as required by law. A.2 - Main items of the accounts 1 - Financial assets at fair value through profit or loss a) Financial assets held for trading Reference is made to the paragraph “a) Financial assets held for trading” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. b) Financial assets designated at fair value through profit or loss Reference is made to the paragraph “b) Financial assets designated at fair value through profit or loss” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. c) Other financial assets mandatorily at fair value Reference is made to the paragraph “c) Other financial assets mandatorily at fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. 2 - Financial assets at fair value through other comprehensive income Reference is made to the paragraph “2 - Financial assets at fair value through other comprehensive income” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 3 - Financial assets at amortised cost Reference is made to the paragraph “3 - Financial assets at amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 4 - Hedge accounting Reference is made to the paragraph “4 - Hedge accounting” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 5 - Equity investments Equity investments are equity instruments and consequently defined as financial instruments under IAS32. Investments in equity instruments made with the intention of establishing or maintaining a long-term operational relationship with the investee are strategic investments. The following are the types of equity investment: Subsidiaries Entities, including structured entities, over which the Bank has direct or indirect control, are considered subsidiaries. Control over an entity entails the Bank's ability to exercise power in order to influence the variable returns to which the Bank is exposed through its relationship with them. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 613 Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets of the European Union to draw up the annual financial report in the language XHTML, based on the European Single Electronic Format (ESEF), approved by ESMA. The whole document is filed in the competent offices and entities as required by law. A.2 - Main items of the accounts 1 - Financial assets at fair value through profit or loss a) Financial assets held for trading Reference is made to the paragraph “a) Financial assets held for trading” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. b) Financial assets designated at fair value through profit or loss Reference is made to the paragraph “b) Financial assets designated at fair value through profit or loss” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. c) Other financial assets mandatorily at fair value Reference is made to the paragraph “c) Other financial assets mandatorily at fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. 2 - Financial assets at fair value through other comprehensive income Reference is made to the paragraph “2 - Financial assets at fair value through other comprehensive income” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 3 - Financial assets at amortised cost Reference is made to the paragraph “3 - Financial assets at amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 4 - Hedge accounting Reference is made to the paragraph “4 - Hedge accounting” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 5 - Equity investments Equity investments are equity instruments and consequently defined as financial instruments under IAS32. Investments in equity instruments made with the intention of establishing or maintaining a long-term operational relationship with the investee are strategic investments. The following are the types of equity investment: Subsidiaries Entities, including structured entities, over which the Bank has direct or indirect control, are considered subsidiaries. Control over an entity entails the Bank's ability to exercise power in order to influence the variable returns to which the Bank is exposed through its relationship with them. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 613 Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets of the European Union to draw up the annual financial report in the language XHTML, based on the European Single Electronic Format (ESEF), approved by ESMA. The whole document is filed in the competent offices and entities as required by law. A.2 - Main items of the accounts 1 - Financial assets at fair value through profit or loss a) Financial assets held for trading Reference is made to the paragraph “a) Financial assets held for trading” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. b) Financial assets designated at fair value through profit or loss Reference is made to the paragraph “b) Financial assets designated at fair value through profit or loss” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. c) Other financial assets mandatorily at fair value Reference is made to the paragraph “c) Other financial assets mandatorily at fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. 2 - Financial assets at fair value through other comprehensive income Reference is made to the paragraph “2 - Financial assets at fair value through other comprehensive income” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 3 - Financial assets at amortised cost Reference is made to the paragraph “3 - Financial assets at amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 4 - Hedge accounting Reference is made to the paragraph “4 - Hedge accounting” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 5 - Equity investments Equity investments are equity instruments and consequently defined as financial instruments under IAS32. Investments in equity instruments made with the intention of establishing or maintaining a long-term operational relationship with the investee are strategic investments. The following are the types of equity investment: Subsidiaries Entities, including structured entities, over which the Bank has direct or indirect control, are considered subsidiaries. Control over an entity entails the Bank's ability to exercise power in order to influence the variable returns to which the Bank is exposed through its relationship with them. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 613 Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets of the European Union to draw up the annual financial report in the language XHTML, based on the European Single Electronic Format (ESEF), approved by ESMA. The whole document is filed in the competent offices and entities as required by law. A.2 - Main items of the accounts 1 - Financial assets at fair value through profit or loss a) Financial assets held for trading Reference is made to the paragraph “a) Financial assets held for trading” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. b) Financial assets designated at fair value through profit or loss Reference is made to the paragraph “b) Financial assets designated at fair value through profit or loss” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. c) Other financial assets mandatorily at fair value Reference is made to the paragraph “c) Other financial assets mandatorily at fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. 2 - Financial assets at fair value through other comprehensive income Reference is made to the paragraph “2 - Financial assets at fair value through other comprehensive income” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 3 - Financial assets at amortised cost Reference is made to the paragraph “3 - Financial assets at amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 4 - Hedge accounting Reference is made to the paragraph “4 - Hedge accounting” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 5 - Equity investments Equity investments are equity instruments and consequently defined as financial instruments under IAS32. Investments in equity instruments made with the intention of establishing or maintaining a long-term operational relationship with the investee are strategic investments. The following are the types of equity investment: Subsidiaries Entities, including structured entities, over which the Bank has direct or indirect control, are considered subsidiaries. Control over an entity entails the Bank's ability to exercise power in order to influence the variable returns to which the Bank is exposed through its relationship with them. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 613 Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets of the European Union to draw up the annual financial report in the language XHTML, based on the European Single Electronic Format (ESEF), approved by ESMA. The whole document is filed in the competent offices and entities as required by law. A.2 - Main items of the accounts 1 - Financial assets at fair value through profit or loss a) Financial assets held for trading Reference is made to the paragraph “a) Financial assets held for trading” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. b) Financial assets designated at fair value through profit or loss Reference is made to the paragraph “b) Financial assets designated at fair value through profit or loss” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. c) Other financial assets mandatorily at fair value Reference is made to the paragraph “c) Other financial assets mandatorily at fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 1 - Financial assets at fair value through profit or loss, which is herewith quoted entirely. 2 - Financial assets at fair value through other comprehensive income Reference is made to the paragraph “2 - Financial assets at fair value through other comprehensive income” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 3 - Financial assets at amortised cost Reference is made to the paragraph “3 - Financial assets at amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 4 - Hedge accounting Reference is made to the paragraph “4 - Hedge accounting” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 5 - Equity investments Equity investments are equity instruments and consequently defined as financial instruments under IAS32. Investments in equity instruments made with the intention of establishing or maintaining a long-term operational relationship with the investee are strategic investments. The following are the types of equity investment: Subsidiaries Entities, including structured entities, over which the Bank has direct or indirect control, are considered subsidiaries. Control over an entity entails the Bank's ability to exercise power in order to influence the variable returns to which the Bank is exposed through its relationship with them. Company financial statements | Notes to the accounts Part A - Accounting policies 614 2021 Annual Report and Accounts · UniCredit In order to verify the existence of control, the following factors are considered: • the purpose and establishment of the investee, in order to identify which are the entity's objectives, the activities that determine its returns and how these activities are ruled; • the power, in order to understand whether the Bank has contractual rights that attribute the ability to govern the relevant activities; to this end only substantial rights that provide practical ability to govern are considered; • the exposure held in relation to the investee, in order to assess whether the Bank has relationships with the investee, the returns of which are subject to changes deriving from variations in the investee's performance; • the existence of potential principal - agent relationships. If the relevant activities are ruled through voting rights, the existence of control is verified considering the voting rights held, including the potential ones, and the existence of any shareholders' or other agreements which attribute the right to control the majority of the voting rights, to appoint the majority of the governing body or in any case the power to determine the entity's financial and operating policies. Subsidiaries may also include any “structured entity” in which the voting rights are not significant for establishing control, including special purpose entities and investment funds. In the case of structured entities, the existence of control is ascertained considering both the contractual rights that enable governance of the relevant activities (or those that contribute most to the results) and the Bank’s exposure to the variability of returns deriving from these activities. Joint venture A joint venture is an entity in which the Bank has: • a joint control agreement; • rights on the net assets of the entity. In detail a joint control exists when the decisions over the relevant activities require the unanimous consent of all the parties that share control. Associates An associate is an entity over which the investor has significant influence and which are not subsidiaries or joint ventures. Significant influence is presumed when the investor: • holds, directly or indirectly, at least 20% of the share capital of another entity, or • is able, also through shareholders' agreements, to exercise significant influence through: - representation on the governing body of the company; - participation in the policy-making process, including participation in decisions about dividends or other distributions; - the existence of significant transactions; - interchange of managerial personnel; - provision of key technical information. It should be noted that only companies which are governed through voting rights can be classified as associates. Investments in subsidiaries, associates and joint ventures are measured at cost. The purchase price of an equity investment is the sum of: • the fair value, at the date of acquisition, of the assets sold, liabilities assumed and equity instruments issued by the purchaser in exchange for control of the investee; and • any cost directly attributable to the acquisition. If there is evidence that an equity investment may have become impaired, its carrying value is compared with its recoverable value, which is determined on the basis of its value in use, in turn calculated by means of valuation models in general use in financial business, which discount expected future cash flow from the equity investment (methodology Discounted Cash Flow). If it is not possible to obtain sufficient information the value in use is considered to be the net worth of the company. Company financial statements | Notes to the accounts Part A - Accounting policies 614 2021 Annual Report and Accounts · UniCredit In order to verify the existence of control, the following factors are considered: • the purpose and establishment of the investee, in order to identify which are the entity's objectives, the activities that determine its returns and how these activities are ruled; • the power, in order to understand whether the Bank has contractual rights that attribute the ability to govern the relevant activities; to this end only substantial rights that provide practical ability to govern are considered; • the exposure held in relation to the investee, in order to assess whether the Bank has relationships with the investee, the returns of which are subject to changes deriving from variations in the investee's performance; • the existence of potential principal - agent relationships. If the relevant activities are ruled through voting rights, the existence of control is verified considering the voting rights held, including the potential ones, and the existence of any shareholders' or other agreements which attribute the right to control the majority of the voting rights, to appoint the majority of the governing body or in any case the power to determine the entity's financial and operating policies. Subsidiaries may also include any “structured entity” in which the voting rights are not significant for establishing control, including special purpose entities and investment funds. In the case of structured entities, the existence of control is ascertained considering both the contractual rights that enable governance of the relevant activities (or those that contribute most to the results) and the Bank’s exposure to the variability of returns deriving from these activities. Joint venture A joint venture is an entity in which the Bank has: • a joint control agreement; • rights on the net assets of the entity. In detail a joint control exists when the decisions over the relevant activities require the unanimous consent of all the parties that share control. Associates An associate is an entity over which the investor has significant influence and which are not subsidiaries or joint ventures. Significant influence is presumed when the investor: • holds, directly or indirectly, at least 20% of the share capital of another entity, or • is able, also through shareholders' agreements, to exercise significant influence through: - representation on the governing body of the company; - participation in the policy-making process, including participation in decisions about dividends or other distributions; - the existence of significant transactions; - interchange of managerial personnel; - provision of key technical information. It should be noted that only companies which are governed through voting rights can be classified as associates. Investments in subsidiaries, associates and joint ventures are measured at cost. The purchase price of an equity investment is the sum of: • the fair value, at the date of acquisition, of the assets sold, liabilities assumed and equity instruments issued by the purchaser in exchange for control of the investee; and • any cost directly attributable to the acquisition. If there is evidence that an equity investment may have become impaired, its carrying value is compared with its recoverable value, which is determined on the basis of its value in use, in turn calculated by means of valuation models in general use in financial business, which discount expected future cash flow from the equity investment (methodology Discounted Cash Flow). If it is not possible to obtain sufficient information the value in use is considered to be the net worth of the company. Company financial statements | Notes to the accounts Part A - Accounting policies 614 2021 Annual Report and Accounts · UniCredit In order to verify the existence of control, the following factors are considered: • the purpose and establishment of the investee, in order to identify which are the entity's objectives, the activities that determine its returns and how these activities are ruled; • the power, in order to understand whether the Bank has contractual rights that attribute the ability to govern the relevant activities; to this end only substantial rights that provide practical ability to govern are considered; • the exposure held in relation to the investee, in order to assess whether the Bank has relationships with the investee, the returns of which are subject to changes deriving from variations in the investee's performance; • the existence of potential principal - agent relationships. If the relevant activities are ruled through voting rights, the existence of control is verified considering the voting rights held, including the potential ones, and the existence of any shareholders' or other agreements which attribute the right to control the majority of the voting rights, to appoint the majority of the governing body or in any case the power to determine the entity's financial and operating policies. Subsidiaries may also include any “structured entity” in which the voting rights are not significant for establishing control, including special purpose entities and investment funds. In the case of structured entities, the existence of control is ascertained considering both the contractual rights that enable governance of the relevant activities (or those that contribute most to the results) and the Bank’s exposure to the variability of returns deriving from these activities. Joint venture A joint venture is an entity in which the Bank has: • a joint control agreement; • rights on the net assets of the entity. In detail a joint control exists when the decisions over the relevant activities require the unanimous consent of all the parties that share control. Associates An associate is an entity over which the investor has significant influence and which are not subsidiaries or joint ventures. Significant influence is presumed when the investor: • holds, directly or indirectly, at least 20% of the share capital of another entity, or • is able, also through shareholders' agreements, to exercise significant influence through: - representation on the governing body of the company; - participation in the policy-making process, including participation in decisions about dividends or other distributions; - the existence of significant transactions; - interchange of managerial personnel; - provision of key technical information. It should be noted that only companies which are governed through voting rights can be classified as associates. Investments in subsidiaries, associates and joint ventures are measured at cost. The purchase price of an equity investment is the sum of: • the fair value, at the date of acquisition, of the assets sold, liabilities assumed and equity instruments issued by the purchaser in exchange for control of the investee; and • any cost directly attributable to the acquisition. If there is evidence that an equity investment may have become impaired, its carrying value is compared with its recoverable value, which is determined on the basis of its value in use, in turn calculated by means of valuation models in general use in financial business, which discount expected future cash flow from the equity investment (methodology Discounted Cash Flow). If it is not possible to obtain sufficient information the value in use is considered to be the net worth of the company. Company financial statements | Notes to the accounts Part A - Accounting policies 614 2021 Annual Report and Accounts · UniCredit In order to verify the existence of control, the following factors are considered: • the purpose and establishment of the investee, in order to identify which are the entity's objectives, the activities that determine its returns and how these activities are ruled; • the power, in order to understand whether the Bank has contractual rights that attribute the ability to govern the relevant activities; to this end only substantial rights that provide practical ability to govern are considered; • the exposure held in relation to the investee, in order to assess whether the Bank has relationships with the investee, the returns of which are subject to changes deriving from variations in the investee's performance; • the existence of potential principal - agent relationships. If the relevant activities are ruled through voting rights, the existence of control is verified considering the voting rights held, including the potential ones, and the existence of any shareholders' or other agreements which attribute the right to control the majority of the voting rights, to appoint the majority of the governing body or in any case the power to determine the entity's financial and operating policies. Subsidiaries may also include any “structured entity” in which the voting rights are not significant for establishing control, including special purpose entities and investment funds. In the case of structured entities, the existence of control is ascertained considering both the contractual rights that enable governance of the relevant activities (or those that contribute most to the results) and the Bank’s exposure to the variability of returns deriving from these activities. Joint venture A joint venture is an entity in which the Bank has: • a joint control agreement; • rights on the net assets of the entity. In detail a joint control exists when the decisions over the relevant activities require the unanimous consent of all the parties that share control. Associates An associate is an entity over which the investor has significant influence and which are not subsidiaries or joint ventures. Significant influence is presumed when the investor: • holds, directly or indirectly, at least 20% of the share capital of another entity, or • is able, also through shareholders' agreements, to exercise significant influence through: - representation on the governing body of the company; - participation in the policy-making process, including participation in decisions about dividends or other distributions; - the existence of significant transactions; - interchange of managerial personnel; - provision of key technical information. It should be noted that only companies which are governed through voting rights can be classified as associates. Investments in subsidiaries, associates and joint ventures are measured at cost. The purchase price of an equity investment is the sum of: • the fair value, at the date of acquisition, of the assets sold, liabilities assumed and equity instruments issued by the purchaser in exchange for control of the investee; and • any cost directly attributable to the acquisition. If there is evidence that an equity investment may have become impaired, its carrying value is compared with its recoverable value, which is determined on the basis of its value in use, in turn calculated by means of valuation models in general use in financial business, which discount expected future cash flow from the equity investment (methodology Discounted Cash Flow). If it is not possible to obtain sufficient information the value in use is considered to be the net worth of the company. Company financial statements | Notes to the accounts Part A - Accounting policies 614 2021 Annual Report and Accounts · UniCredit In order to verify the existence of control, the following factors are considered: • the purpose and establishment of the investee, in order to identify which are the entity's objectives, the activities that determine its returns and how these activities are ruled; • the power, in order to understand whether the Bank has contractual rights that attribute the ability to govern the relevant activities; to this end only substantial rights that provide practical ability to govern are considered; • the exposure held in relation to the investee, in order to assess whether the Bank has relationships with the investee, the returns of which are subject to changes deriving from variations in the investee's performance; • the existence of potential principal - agent relationships. If the relevant activities are ruled through voting rights, the existence of control is verified considering the voting rights held, including the potential ones, and the existence of any shareholders' or other agreements which attribute the right to control the majority of the voting rights, to appoint the majority of the governing body or in any case the power to determine the entity's financial and operating policies. Subsidiaries may also include any “structured entity” in which the voting rights are not significant for establishing control, including special purpose entities and investment funds. In the case of structured entities, the existence of control is ascertained considering both the contractual rights that enable governance of the relevant activities (or those that contribute most to the results) and the Bank’s exposure to the variability of returns deriving from these activities. Joint venture A joint venture is an entity in which the Bank has: • a joint control agreement; • rights on the net assets of the entity. In detail a joint control exists when the decisions over the relevant activities require the unanimous consent of all the parties that share control. Associates An associate is an entity over which the investor has significant influence and which are not subsidiaries or joint ventures. Significant influence is presumed when the investor: • holds, directly or indirectly, at least 20% of the share capital of another entity, or • is able, also through shareholders' agreements, to exercise significant influence through: - representation on the governing body of the company; - participation in the policy-making process, including participation in decisions about dividends or other distributions; - the existence of significant transactions; - interchange of managerial personnel; - provision of key technical information. It should be noted that only companies which are governed through voting rights can be classified as associates. Investments in subsidiaries, associates and joint ventures are measured at cost. The purchase price of an equity investment is the sum of: • the fair value, at the date of acquisition, of the assets sold, liabilities assumed and equity instruments issued by the purchaser in exchange for control of the investee; and • any cost directly attributable to the acquisition. If there is evidence that an equity investment may have become impaired, its carrying value is compared with its recoverable value, which is determined on the basis of its value in use, in turn calculated by means of valuation models in general use in financial business, which discount expected future cash flow from the equity investment (methodology Discounted Cash Flow). If it is not possible to obtain sufficient information the value in use is considered to be the net worth of the company. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 615 If the recoverable value is less than the carrying value, the difference is recognised through profit or loss in item “220. Gains (Losses) of equity investments”. If the reasons for impairment are removed following a subsequent event occurring after the recognition of impairment, write-backs are made through same profit or loss item. Equity investments considered strategic investments not covered by the above definitions and not recognised in item “110. Non-current assets and disposal groups classified as held for sale” are classified as financial assets at fair value through other comprehensive income or other financial assets mandatorily at fair value and accordingly treated. 6 - Property, plant and equipment (Tangible assets) Reference is made to the paragraph “6 - Property, plant and equipment (Tangible assets)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 7 - Intangible assets An intangible asset is an identifiable non-monetary without physical substance which is expected to be used for more than one period and from which future economic benefits are probable.Intangible assets are principally represented by software. Intangible assets other than goodwill are recognised at purchase cost, i.e. including any cost incurred to bring the asset into use, less accumulated amortisation and impairment losses. Costs sustained after purchase are: • added to initial cost, provided they increase future economic benefits arising from the underlying asset (i.e. if they increase its value or productive capacity); • in other cases (i.e., when they do not increase the asset’s original value, but are intended merely to preserve its original functionality) are taken to profit or loss in a single amount in the year in which they have been borne. An intangible asset with a definite life is subject to straight-line amortisation over its estimated useful life. Residual useful life is usually assessed up to 7 years with regard to software. If there is clear evidence that an asset has been impaired, the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling cost and its value in use, i.e. the present value of future cash flows expected to be originated from the asset. Any impairment loss is recognised in profit and loss item “190. Net value adjustments/write-backs on intangible assets”. If the value of a previously impaired intangible asset is restored, other than goodwill is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there were no losses recognised on the prior-year impairment. An intangible asset is derecognised (i) on disposal or (ii) when no further future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in the profit and loss item “250. Gains (Losses) on disposal of investments” or “190. Net value adjustments/write-backs on intangible assets”, respectively. 8 - Non-current assets and disposals groups classified as held for sale Reference is made to the paragraph “8 - Non-current assets and disposal group classified as held for sale” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 9 - Current and deferred tax Reference is made to the paragraph “9 - Current and deferred tax” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 10 - Provisions for risks and charges Committments and guarantees given Reference is made to the paragraph “Commitments and guarantees given” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 615 If the recoverable value is less than the carrying value, the difference is recognised through profit or loss in item “220. Gains (Losses) of equity investments”. If the reasons for impairment are removed following a subsequent event occurring after the recognition of impairment, write-backs are made through same profit or loss item. Equity investments considered strategic investments not covered by the above definitions and not recognised in item “110. Non-current assets and disposal groups classified as held for sale” are classified as financial assets at fair value through other comprehensive income or other financial assets mandatorily at fair value and accordingly treated. 6 - Property, plant and equipment (Tangible assets) Reference is made to the paragraph “6 - Property, plant and equipment (Tangible assets)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 7 - Intangible assets An intangible asset is an identifiable non-monetary without physical substance which is expected to be used for more than one period and from which future economic benefits are probable.Intangible assets are principally represented by software. Intangible assets other than goodwill are recognised at purchase cost, i.e. including any cost incurred to bring the asset into use, less accumulated amortisation and impairment losses. Costs sustained after purchase are: • added to initial cost, provided they increase future economic benefits arising from the underlying asset (i.e. if they increase its value or productive capacity); • in other cases (i.e., when they do not increase the asset’s original value, but are intended merely to preserve its original functionality) are taken to profit or loss in a single amount in the year in which they have been borne. An intangible asset with a definite life is subject to straight-line amortisation over its estimated useful life. Residual useful life is usually assessed up to 7 years with regard to software. If there is clear evidence that an asset has been impaired, the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling cost and its value in use, i.e. the present value of future cash flows expected to be originated from the asset. Any impairment loss is recognised in profit and loss item “190. Net value adjustments/write-backs on intangible assets”. If the value of a previously impaired intangible asset is restored, other than goodwill is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there were no losses recognised on the prior-year impairment. An intangible asset is derecognised (i) on disposal or (ii) when no further future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in the profit and loss item “250. Gains (Losses) on disposal of investments” or “190. Net value adjustments/write-backs on intangible assets”, respectively. 8 - Non-current assets and disposals groups classified as held for sale Reference is made to the paragraph “8 - Non-current assets and disposal group classified as held for sale” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 9 - Current and deferred tax Reference is made to the paragraph “9 - Current and deferred tax” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 10 - Provisions for risks and charges Committments and guarantees given Reference is made to the paragraph “Commitments and guarantees given” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 615 If the recoverable value is less than the carrying value, the difference is recognised through profit or loss in item “220. Gains (Losses) of equity investments”. If the reasons for impairment are removed following a subsequent event occurring after the recognition of impairment, write-backs are made through same profit or loss item. Equity investments considered strategic investments not covered by the above definitions and not recognised in item “110. Non-current assets and disposal groups classified as held for sale” are classified as financial assets at fair value through other comprehensive income or other financial assets mandatorily at fair value and accordingly treated. 6 - Property, plant and equipment (Tangible assets) Reference is made to the paragraph “6 - Property, plant and equipment (Tangible assets)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 7 - Intangible assets An intangible asset is an identifiable non-monetary without physical substance which is expected to be used for more than one period and from which future economic benefits are probable.Intangible assets are principally represented by software. Intangible assets other than goodwill are recognised at purchase cost, i.e. including any cost incurred to bring the asset into use, less accumulated amortisation and impairment losses. Costs sustained after purchase are: • added to initial cost, provided they increase future economic benefits arising from the underlying asset (i.e. if they increase its value or productive capacity); • in other cases (i.e., when they do not increase the asset’s original value, but are intended merely to preserve its original functionality) are taken to profit or loss in a single amount in the year in which they have been borne. An intangible asset with a definite life is subject to straight-line amortisation over its estimated useful life. Residual useful life is usually assessed up to 7 years with regard to software. If there is clear evidence that an asset has been impaired, the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling cost and its value in use, i.e. the present value of future cash flows expected to be originated from the asset. Any impairment loss is recognised in profit and loss item “190. Net value adjustments/write-backs on intangible assets”. If the value of a previously impaired intangible asset is restored, other than goodwill is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there were no losses recognised on the prior-year impairment. An intangible asset is derecognised (i) on disposal or (ii) when no further future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in the profit and loss item “250. Gains (Losses) on disposal of investments” or “190. Net value adjustments/write-backs on intangible assets”, respectively. 8 - Non-current assets and disposals groups classified as held for sale Reference is made to the paragraph “8 - Non-current assets and disposal group classified as held for sale” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 9 - Current and deferred tax Reference is made to the paragraph “9 - Current and deferred tax” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 10 - Provisions for risks and charges Committments and guarantees given Reference is made to the paragraph “Commitments and guarantees given” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 615 If the recoverable value is less than the carrying value, the difference is recognised through profit or loss in item “220. Gains (Losses) of equity investments”. If the reasons for impairment are removed following a subsequent event occurring after the recognition of impairment, write-backs are made through same profit or loss item. Equity investments considered strategic investments not covered by the above definitions and not recognised in item “110. Non-current assets and disposal groups classified as held for sale” are classified as financial assets at fair value through other comprehensive income or other financial assets mandatorily at fair value and accordingly treated. 6 - Property, plant and equipment (Tangible assets) Reference is made to the paragraph “6 - Property, plant and equipment (Tangible assets)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 7 - Intangible assets An intangible asset is an identifiable non-monetary without physical substance which is expected to be used for more than one period and from which future economic benefits are probable.Intangible assets are principally represented by software. Intangible assets other than goodwill are recognised at purchase cost, i.e. including any cost incurred to bring the asset into use, less accumulated amortisation and impairment losses. Costs sustained after purchase are: • added to initial cost, provided they increase future economic benefits arising from the underlying asset (i.e. if they increase its value or productive capacity); • in other cases (i.e., when they do not increase the asset’s original value, but are intended merely to preserve its original functionality) are taken to profit or loss in a single amount in the year in which they have been borne. An intangible asset with a definite life is subject to straight-line amortisation over its estimated useful life. Residual useful life is usually assessed up to 7 years with regard to software. If there is clear evidence that an asset has been impaired, the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling cost and its value in use, i.e. the present value of future cash flows expected to be originated from the asset. Any impairment loss is recognised in profit and loss item “190. Net value adjustments/write-backs on intangible assets”. If the value of a previously impaired intangible asset is restored, other than goodwill is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there were no losses recognised on the prior-year impairment. An intangible asset is derecognised (i) on disposal or (ii) when no further future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in the profit and loss item “250. Gains (Losses) on disposal of investments” or “190. Net value adjustments/write-backs on intangible assets”, respectively. 8 - Non-current assets and disposals groups classified as held for sale Reference is made to the paragraph “8 - Non-current assets and disposal group classified as held for sale” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 9 - Current and deferred tax Reference is made to the paragraph “9 - Current and deferred tax” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 10 - Provisions for risks and charges Committments and guarantees given Reference is made to the paragraph “Commitments and guarantees given” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 615 If the recoverable value is less than the carrying value, the difference is recognised through profit or loss in item “220. Gains (Losses) of equity investments”. If the reasons for impairment are removed following a subsequent event occurring after the recognition of impairment, write-backs are made through same profit or loss item. Equity investments considered strategic investments not covered by the above definitions and not recognised in item “110. Non-current assets and disposal groups classified as held for sale” are classified as financial assets at fair value through other comprehensive income or other financial assets mandatorily at fair value and accordingly treated. 6 - Property, plant and equipment (Tangible assets) Reference is made to the paragraph “6 - Property, plant and equipment (Tangible assets)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 7 - Intangible assets An intangible asset is an identifiable non-monetary without physical substance which is expected to be used for more than one period and from which future economic benefits are probable.Intangible assets are principally represented by software. Intangible assets other than goodwill are recognised at purchase cost, i.e. including any cost incurred to bring the asset into use, less accumulated amortisation and impairment losses. Costs sustained after purchase are: • added to initial cost, provided they increase future economic benefits arising from the underlying asset (i.e. if they increase its value or productive capacity); • in other cases (i.e., when they do not increase the asset’s original value, but are intended merely to preserve its original functionality) are taken to profit or loss in a single amount in the year in which they have been borne. An intangible asset with a definite life is subject to straight-line amortisation over its estimated useful life. Residual useful life is usually assessed up to 7 years with regard to software. If there is clear evidence that an asset has been impaired, the carrying amount of the asset is compared with its recoverable value, equal to the greater of its fair value less selling cost and its value in use, i.e. the present value of future cash flows expected to be originated from the asset. Any impairment loss is recognised in profit and loss item “190. Net value adjustments/write-backs on intangible assets”. If the value of a previously impaired intangible asset is restored, other than goodwill is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if there were no losses recognised on the prior-year impairment. An intangible asset is derecognised (i) on disposal or (ii) when no further future economic benefits are expected from its use or sale in the future and any difference between sale proceeds or recoverable value and carrying value is recognised in the profit and loss item “250. Gains (Losses) on disposal of investments” or “190. Net value adjustments/write-backs on intangible assets”, respectively. 8 - Non-current assets and disposals groups classified as held for sale Reference is made to the paragraph “8 - Non-current assets and disposal group classified as held for sale” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 9 - Current and deferred tax Reference is made to the paragraph “9 - Current and deferred tax” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 10 - Provisions for risks and charges Committments and guarantees given Reference is made to the paragraph “Commitments and guarantees given” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies 616 2021 Annual Report and Accounts · UniCredit Retirement payments and similar obligations Reference is made to the paragraph “Retirement payments and similar obligations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. Other provisions Reference is made to the paragraph “Other provisions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. 11 - Financial liabilities measured at amortised cost Reference is made to the paragraph “11 - Financial liabilities measured at amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 12 - Financial liabilities held for trading Reference is made to the paragraph “12 - Financial liabilities held for trading” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 13 - Financial liabilities designated at fair value Reference is made to the paragraph “13 - Financial liabilities designated at fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 14 - Foreign currency transactions Reference is made to the paragraph “14 - Foreign currency transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 15 - Other information Impairment Reference is made to the paragraph “Impairment” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Renegotiations Reference is made to the paragraph “Renegotiations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Business combinations Reference is made to the paragraph “Business combinations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Derecognition of financial assets Reference is made to the paragraph “Derecognition of financial assets” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Repo transactions and securities lending Reference is made to the paragraph “Repo transactions and securities lending” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Equity instruments Reference is made to the paragraph “Equity instruments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Treasury shares Reference is made to the paragraph “Treasury shares” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies 616 2021 Annual Report and Accounts · UniCredit Retirement payments and similar obligations Reference is made to the paragraph “Retirement payments and similar obligations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. Other provisions Reference is made to the paragraph “Other provisions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. 11 - Financial liabilities measured at amortised cost Reference is made to the paragraph “11 - Financial liabilities measured at amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 12 - Financial liabilities held for trading Reference is made to the paragraph “12 - Financial liabilities held for trading” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 13 - Financial liabilities designated at fair value Reference is made to the paragraph “13 - Financial liabilities designated at fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 14 - Foreign currency transactions Reference is made to the paragraph “14 - Foreign currency transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 15 - Other information Impairment Reference is made to the paragraph “Impairment” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Renegotiations Reference is made to the paragraph “Renegotiations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Business combinations Reference is made to the paragraph “Business combinations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Derecognition of financial assets Reference is made to the paragraph “Derecognition of financial assets” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Repo transactions and securities lending Reference is made to the paragraph “Repo transactions and securities lending” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Equity instruments Reference is made to the paragraph “Equity instruments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Treasury shares Reference is made to the paragraph “Treasury shares” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies 616 2021 Annual Report and Accounts · UniCredit Retirement payments and similar obligations Reference is made to the paragraph “Retirement payments and similar obligations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. Other provisions Reference is made to the paragraph “Other provisions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. 11 - Financial liabilities measured at amortised cost Reference is made to the paragraph “11 - Financial liabilities measured at amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 12 - Financial liabilities held for trading Reference is made to the paragraph “12 - Financial liabilities held for trading” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 13 - Financial liabilities designated at fair value Reference is made to the paragraph “13 - Financial liabilities designated at fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 14 - Foreign currency transactions Reference is made to the paragraph “14 - Foreign currency transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 15 - Other information Impairment Reference is made to the paragraph “Impairment” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Renegotiations Reference is made to the paragraph “Renegotiations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Business combinations Reference is made to the paragraph “Business combinations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Derecognition of financial assets Reference is made to the paragraph “Derecognition of financial assets” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Repo transactions and securities lending Reference is made to the paragraph “Repo transactions and securities lending” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Equity instruments Reference is made to the paragraph “Equity instruments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Treasury shares Reference is made to the paragraph “Treasury shares” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies 616 2021 Annual Report and Accounts · UniCredit Retirement payments and similar obligations Reference is made to the paragraph “Retirement payments and similar obligations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. Other provisions Reference is made to the paragraph “Other provisions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. 11 - Financial liabilities measured at amortised cost Reference is made to the paragraph “11 - Financial liabilities measured at amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 12 - Financial liabilities held for trading Reference is made to the paragraph “12 - Financial liabilities held for trading” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 13 - Financial liabilities designated at fair value Reference is made to the paragraph “13 - Financial liabilities designated at fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 14 - Foreign currency transactions Reference is made to the paragraph “14 - Foreign currency transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 15 - Other information Impairment Reference is made to the paragraph “Impairment” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Renegotiations Reference is made to the paragraph “Renegotiations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Business combinations Reference is made to the paragraph “Business combinations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Derecognition of financial assets Reference is made to the paragraph “Derecognition of financial assets” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Repo transactions and securities lending Reference is made to the paragraph “Repo transactions and securities lending” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Equity instruments Reference is made to the paragraph “Equity instruments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Treasury shares Reference is made to the paragraph “Treasury shares” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies 616 2021 Annual Report and Accounts · UniCredit Retirement payments and similar obligations Reference is made to the paragraph “Retirement payments and similar obligations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. Other provisions Reference is made to the paragraph “Other provisions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges, which is herewith quoted entirely. 11 - Financial liabilities measured at amortised cost Reference is made to the paragraph “11 - Financial liabilities measured at amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 12 - Financial liabilities held for trading Reference is made to the paragraph “12 - Financial liabilities held for trading” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 13 - Financial liabilities designated at fair value Reference is made to the paragraph “13 - Financial liabilities designated at fair value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 14 - Foreign currency transactions Reference is made to the paragraph “14 - Foreign currency transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, which is herewith quoted entirely. 15 - Other information Impairment Reference is made to the paragraph “Impairment” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Renegotiations Reference is made to the paragraph “Renegotiations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Business combinations Reference is made to the paragraph “Business combinations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Derecognition of financial assets Reference is made to the paragraph “Derecognition of financial assets” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Repo transactions and securities lending Reference is made to the paragraph “Repo transactions and securities lending” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Equity instruments Reference is made to the paragraph “Equity instruments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Treasury shares Reference is made to the paragraph “Treasury shares” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 617 Leases Reference is made to the paragraph “Leases” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Factoring Reference is made to the paragraph “Factoring” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Italian staff severance pay (Trattamento di fine rapporto - “TFR”) The “TFR” provision for Italy-based employee benefits is to be construed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an actuary outside the Group using the “Unit Credit Projection Method” (see paragraph “Retirement payments and similar obligations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges). This method distributes the cost of the benefit evenly over the employee’s working life. The liability is determined as the present value of average future payments adjusted according to the ratio of years of service to total years of service at the time of payment of the benefit. Following pension reform by Law Decree No.252/2005, TFR installments accrued to 31 December 2006, to the date between 1 January 2007 and 30 June 2007 on which the employee opted to devolve their TFR to a supplementary pension fund) stay in the employer and are considered a post-employment defined benefit plan therefore incurring actuarial valuation, though with simplified actuarial assumptions, i.e. forecast future pay rises are not considered. TFR installments accrued since 1 January 2007, date of Law Decree No.252’s coming into effect (or since the date between 1 January 2007 and 30 June 2007) that have been, at the employee’s discretion, either (i) paid into a pension fund or (ii) left in the company and (where the company has in excess of 50 employees) are paid into an INPS Treasury fund by the employer, are assimilated to a defined-contribution plan. Costs relating to TFR are recognised in the income statement in item “160. Administrative expenses: a) staff costs” and include, for the part of obligations already exiting at the date of the reform (assimilated to a defined benefit plan), interest cost accrued in the year; for the part of plan considered defined contribution plan, the accrued installments for the year paid into the complementary pension scheme or to the Treasury fund of INPS. Actuarial gains (losses), i.e., the difference between the liabilities’ carrying value and the present value of the obligation at the end of the period are recorded in the Shareholders' equity and disclosed in the item “110. Valuation reserves” according to IAS19 Revised. Share-based payment Reference is made to the paragraph “Share-based payments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Guarantees and credit derivatives in the same class Reference is made to the paragraph “Guarantees and credit derivatives in the same class” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Offsetting financial assets and financial liabilities Reference is made to the paragraph “Offsetting financial assets and liabilities” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Amortised cost Reference is made to the paragraph “Amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Recognition of income and expenses Interest income and expenses Reference is made to the paragraph “Interest income and expenses” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 617 Leases Reference is made to the paragraph “Leases” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Factoring Reference is made to the paragraph “Factoring” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Italian staff severance pay (Trattamento di fine rapporto - “TFR”) The “TFR” provision for Italy-based employee benefits is to be construed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an actuary outside the Group using the “Unit Credit Projection Method” (see paragraph “Retirement payments and similar obligations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges). This method distributes the cost of the benefit evenly over the employee’s working life. The liability is determined as the present value of average future payments adjusted according to the ratio of years of service to total years of service at the time of payment of the benefit. Following pension reform by Law Decree No.252/2005, TFR installments accrued to 31 December 2006, to the date between 1 January 2007 and 30 June 2007 on which the employee opted to devolve their TFR to a supplementary pension fund) stay in the employer and are considered a post-employment defined benefit plan therefore incurring actuarial valuation, though with simplified actuarial assumptions, i.e. forecast future pay rises are not considered. TFR installments accrued since 1 January 2007, date of Law Decree No.252’s coming into effect (or since the date between 1 January 2007 and 30 June 2007) that have been, at the employee’s discretion, either (i) paid into a pension fund or (ii) left in the company and (where the company has in excess of 50 employees) are paid into an INPS Treasury fund by the employer, are assimilated to a defined-contribution plan. Costs relating to TFR are recognised in the income statement in item “160. Administrative expenses: a) staff costs” and include, for the part of obligations already exiting at the date of the reform (assimilated to a defined benefit plan), interest cost accrued in the year; for the part of plan considered defined contribution plan, the accrued installments for the year paid into the complementary pension scheme or to the Treasury fund of INPS. Actuarial gains (losses), i.e., the difference between the liabilities’ carrying value and the present value of the obligation at the end of the period are recorded in the Shareholders' equity and disclosed in the item “110. Valuation reserves” according to IAS19 Revised. Share-based payment Reference is made to the paragraph “Share-based payments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Guarantees and credit derivatives in the same class Reference is made to the paragraph “Guarantees and credit derivatives in the same class” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Offsetting financial assets and financial liabilities Reference is made to the paragraph “Offsetting financial assets and liabilities” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Amortised cost Reference is made to the paragraph “Amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Recognition of income and expenses Interest income and expenses Reference is made to the paragraph “Interest income and expenses” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 617 Leases Reference is made to the paragraph “Leases” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Factoring Reference is made to the paragraph “Factoring” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Italian staff severance pay (Trattamento di fine rapporto - “TFR”) The “TFR” provision for Italy-based employee benefits is to be construed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an actuary outside the Group using the “Unit Credit Projection Method” (see paragraph “Retirement payments and similar obligations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges). This method distributes the cost of the benefit evenly over the employee’s working life. The liability is determined as the present value of average future payments adjusted according to the ratio of years of service to total years of service at the time of payment of the benefit. Following pension reform by Law Decree No.252/2005, TFR installments accrued to 31 December 2006, to the date between 1 January 2007 and 30 June 2007 on which the employee opted to devolve their TFR to a supplementary pension fund) stay in the employer and are considered a post-employment defined benefit plan therefore incurring actuarial valuation, though with simplified actuarial assumptions, i.e. forecast future pay rises are not considered. TFR installments accrued since 1 January 2007, date of Law Decree No.252’s coming into effect (or since the date between 1 January 2007 and 30 June 2007) that have been, at the employee’s discretion, either (i) paid into a pension fund or (ii) left in the company and (where the company has in excess of 50 employees) are paid into an INPS Treasury fund by the employer, are assimilated to a defined-contribution plan. Costs relating to TFR are recognised in the income statement in item “160. Administrative expenses: a) staff costs” and include, for the part of obligations already exiting at the date of the reform (assimilated to a defined benefit plan), interest cost accrued in the year; for the part of plan considered defined contribution plan, the accrued installments for the year paid into the complementary pension scheme or to the Treasury fund of INPS. Actuarial gains (losses), i.e., the difference between the liabilities’ carrying value and the present value of the obligation at the end of the period are recorded in the Shareholders' equity and disclosed in the item “110. Valuation reserves” according to IAS19 Revised. Share-based payment Reference is made to the paragraph “Share-based payments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Guarantees and credit derivatives in the same class Reference is made to the paragraph “Guarantees and credit derivatives in the same class” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Offsetting financial assets and financial liabilities Reference is made to the paragraph “Offsetting financial assets and liabilities” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Amortised cost Reference is made to the paragraph “Amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Recognition of income and expenses Interest income and expenses Reference is made to the paragraph “Interest income and expenses” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 617 Leases Reference is made to the paragraph “Leases” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Factoring Reference is made to the paragraph “Factoring” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Italian staff severance pay (Trattamento di fine rapporto - “TFR”) The “TFR” provision for Italy-based employee benefits is to be construed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an actuary outside the Group using the “Unit Credit Projection Method” (see paragraph “Retirement payments and similar obligations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges). This method distributes the cost of the benefit evenly over the employee’s working life. The liability is determined as the present value of average future payments adjusted according to the ratio of years of service to total years of service at the time of payment of the benefit. Following pension reform by Law Decree No.252/2005, TFR installments accrued to 31 December 2006, to the date between 1 January 2007 and 30 June 2007 on which the employee opted to devolve their TFR to a supplementary pension fund) stay in the employer and are considered a post-employment defined benefit plan therefore incurring actuarial valuation, though with simplified actuarial assumptions, i.e. forecast future pay rises are not considered. TFR installments accrued since 1 January 2007, date of Law Decree No.252’s coming into effect (or since the date between 1 January 2007 and 30 June 2007) that have been, at the employee’s discretion, either (i) paid into a pension fund or (ii) left in the company and (where the company has in excess of 50 employees) are paid into an INPS Treasury fund by the employer, are assimilated to a defined-contribution plan. Costs relating to TFR are recognised in the income statement in item “160. Administrative expenses: a) staff costs” and include, for the part of obligations already exiting at the date of the reform (assimilated to a defined benefit plan), interest cost accrued in the year; for the part of plan considered defined contribution plan, the accrued installments for the year paid into the complementary pension scheme or to the Treasury fund of INPS. Actuarial gains (losses), i.e., the difference between the liabilities’ carrying value and the present value of the obligation at the end of the period are recorded in the Shareholders' equity and disclosed in the item “110. Valuation reserves” according to IAS19 Revised. Share-based payment Reference is made to the paragraph “Share-based payments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Guarantees and credit derivatives in the same class Reference is made to the paragraph “Guarantees and credit derivatives in the same class” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Offsetting financial assets and financial liabilities Reference is made to the paragraph “Offsetting financial assets and liabilities” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Amortised cost Reference is made to the paragraph “Amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Recognition of income and expenses Interest income and expenses Reference is made to the paragraph “Interest income and expenses” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 617 Leases Reference is made to the paragraph “Leases” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Factoring Reference is made to the paragraph “Factoring” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Italian staff severance pay (Trattamento di fine rapporto - “TFR”) The “TFR” provision for Italy-based employee benefits is to be construed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an actuary outside the Group using the “Unit Credit Projection Method” (see paragraph “Retirement payments and similar obligations” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 10 - Provision for risks and charges). This method distributes the cost of the benefit evenly over the employee’s working life. The liability is determined as the present value of average future payments adjusted according to the ratio of years of service to total years of service at the time of payment of the benefit. Following pension reform by Law Decree No.252/2005, TFR installments accrued to 31 December 2006, to the date between 1 January 2007 and 30 June 2007 on which the employee opted to devolve their TFR to a supplementary pension fund) stay in the employer and are considered a post-employment defined benefit plan therefore incurring actuarial valuation, though with simplified actuarial assumptions, i.e. forecast future pay rises are not considered. TFR installments accrued since 1 January 2007, date of Law Decree No.252’s coming into effect (or since the date between 1 January 2007 and 30 June 2007) that have been, at the employee’s discretion, either (i) paid into a pension fund or (ii) left in the company and (where the company has in excess of 50 employees) are paid into an INPS Treasury fund by the employer, are assimilated to a defined-contribution plan. Costs relating to TFR are recognised in the income statement in item “160. Administrative expenses: a) staff costs” and include, for the part of obligations already exiting at the date of the reform (assimilated to a defined benefit plan), interest cost accrued in the year; for the part of plan considered defined contribution plan, the accrued installments for the year paid into the complementary pension scheme or to the Treasury fund of INPS. Actuarial gains (losses), i.e., the difference between the liabilities’ carrying value and the present value of the obligation at the end of the period are recorded in the Shareholders' equity and disclosed in the item “110. Valuation reserves” according to IAS19 Revised. Share-based payment Reference is made to the paragraph “Share-based payments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Guarantees and credit derivatives in the same class Reference is made to the paragraph “Guarantees and credit derivatives in the same class” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Offsetting financial assets and financial liabilities Reference is made to the paragraph “Offsetting financial assets and liabilities” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Amortised cost Reference is made to the paragraph “Amortised cost” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, which is herewith quoted entirely. Recognition of income and expenses Interest income and expenses Reference is made to the paragraph “Interest income and expenses” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts, 16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part A - Accounting policies 618 2021 Annual Report and Accounts · UniCredit Fees and commissions income and other operating income Reference is made to the paragraph “Fees and commissions income and other operating income” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts,16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. Dividends Reference is made to the paragraph “Dividends” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts,16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. A.3 - Information on transfers between portfolios of financial assets There were no transfers between portfolios of financial assets in 2021. A.4 - Information on fair value Qualitative information This section presents a disclosure on fair value as required by IFRS13. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants in the principal market at the measurement date (i.e. an exit price). The fair value of a financial liability with a demand feature (e.g. a demand deposit) cannot be lower than the amount payable on demand, discounted from the first date that the amount could be required to be paid. For financial instruments listed in active markets, fair value is determined on the basis of official prices in the principal market to which the Group has access (Mark to Market). A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a pricing service, dealer, broker, agency that determines prices or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but active markets exist for its component parts, fair value can be determined on the basis of the relevant market prices for the component parts. The Group may use valuation techniques, such as: • a market approach (e.g. using quoted prices for similar assets, liabilities or equity instruments held by other parties as assets); • cost approach (e.g. it reflects the amount that would be required currently to replace the service capacity of an asset, that is the current replacement cost); • an income approach (e.g. a present value technique that takes into account the future cash flows that a market participant would expect to receive from holding the liability or equity instrument as an asset). The Group uses valuation models (Mark to Model) in line with the methods generally accepted and used by the market. Valuation models include techniques based on the discounting of future cash flows and on volatility estimates, and they are subject to revision both during their development and periodically in order to ensure their consistency with the objectives of the valuation. These methods use inputs based on prices set in recent transactions for the instrument being valued and/or prices/quotations for instruments having similar characteristics in terms of risk profile. Indeed, these prices/quotations are relevant for determining significant parameters in terms of credit, liquidity and price risk of the instrument being valued. Reference to these market parameters allows to limit the discretionary nature of the valuation and ensures that the resulting fair value can be verified. If, for one or more risk factors it is not possible to refer to market data, the valuation models employed use estimates based on historical data as inputs. As a further guarantee of the objectivity of valuations derived from valuation models, the Group employs: • independent price verifications (IPVs); • fair value adjustments (FVAs). Company financial statements | Notes to the accounts Part A - Accounting policies 618 2021 Annual Report and Accounts · UniCredit Fees and commissions income and other operating income Reference is made to the paragraph “Fees and commissions income and other operating income” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts,16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. Dividends Reference is made to the paragraph “Dividends” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts,16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. A.3 - Information on transfers between portfolios of financial assets There were no transfers between portfolios of financial assets in 2021. A.4 - Information on fair value Qualitative information This section presents a disclosure on fair value as required by IFRS13. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants in the principal market at the measurement date (i.e. an exit price). The fair value of a financial liability with a demand feature (e.g. a demand deposit) cannot be lower than the amount payable on demand, discounted from the first date that the amount could be required to be paid. For financial instruments listed in active markets, fair value is determined on the basis of official prices in the principal market to which the Group has access (Mark to Market). A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a pricing service, dealer, broker, agency that determines prices or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but active markets exist for its component parts, fair value can be determined on the basis of the relevant market prices for the component parts. The Group may use valuation techniques, such as: • a market approach (e.g. using quoted prices for similar assets, liabilities or equity instruments held by other parties as assets); • cost approach (e.g. it reflects the amount that would be required currently to replace the service capacity of an asset, that is the current replacement cost); • an income approach (e.g. a present value technique that takes into account the future cash flows that a market participant would expect to receive from holding the liability or equity instrument as an asset). The Group uses valuation models (Mark to Model) in line with the methods generally accepted and used by the market. Valuation models include techniques based on the discounting of future cash flows and on volatility estimates, and they are subject to revision both during their development and periodically in order to ensure their consistency with the objectives of the valuation. These methods use inputs based on prices set in recent transactions for the instrument being valued and/or prices/quotations for instruments having similar characteristics in terms of risk profile. Indeed, these prices/quotations are relevant for determining significant parameters in terms of credit, liquidity and price risk of the instrument being valued. Reference to these market parameters allows to limit the discretionary nature of the valuation and ensures that the resulting fair value can be verified. If, for one or more risk factors it is not possible to refer to market data, the valuation models employed use estimates based on historical data as inputs. As a further guarantee of the objectivity of valuations derived from valuation models, the Group employs: • independent price verifications (IPVs); • fair value adjustments (FVAs). Company financial statements | Notes to the accounts Part A - Accounting policies 618 2021 Annual Report and Accounts · UniCredit Fees and commissions income and other operating income Reference is made to the paragraph “Fees and commissions income and other operating income” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts,16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. Dividends Reference is made to the paragraph “Dividends” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts,16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. A.3 - Information on transfers between portfolios of financial assets There were no transfers between portfolios of financial assets in 2021. A.4 - Information on fair value Qualitative information This section presents a disclosure on fair value as required by IFRS13. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants in the principal market at the measurement date (i.e. an exit price). The fair value of a financial liability with a demand feature (e.g. a demand deposit) cannot be lower than the amount payable on demand, discounted from the first date that the amount could be required to be paid. For financial instruments listed in active markets, fair value is determined on the basis of official prices in the principal market to which the Group has access (Mark to Market). A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a pricing service, dealer, broker, agency that determines prices or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but active markets exist for its component parts, fair value can be determined on the basis of the relevant market prices for the component parts. The Group may use valuation techniques, such as: • a market approach (e.g. using quoted prices for similar assets, liabilities or equity instruments held by other parties as assets); • cost approach (e.g. it reflects the amount that would be required currently to replace the service capacity of an asset, that is the current replacement cost); • an income approach (e.g. a present value technique that takes into account the future cash flows that a market participant would expect to receive from holding the liability or equity instrument as an asset). The Group uses valuation models (Mark to Model) in line with the methods generally accepted and used by the market. Valuation models include techniques based on the discounting of future cash flows and on volatility estimates, and they are subject to revision both during their development and periodically in order to ensure their consistency with the objectives of the valuation. These methods use inputs based on prices set in recent transactions for the instrument being valued and/or prices/quotations for instruments having similar characteristics in terms of risk profile. Indeed, these prices/quotations are relevant for determining significant parameters in terms of credit, liquidity and price risk of the instrument being valued. Reference to these market parameters allows to limit the discretionary nature of the valuation and ensures that the resulting fair value can be verified. If, for one or more risk factors it is not possible to refer to market data, the valuation models employed use estimates based on historical data as inputs. As a further guarantee of the objectivity of valuations derived from valuation models, the Group employs: • independent price verifications (IPVs); • fair value adjustments (FVAs). Company financial statements | Notes to the accounts Part A - Accounting policies 618 2021 Annual Report and Accounts · UniCredit Fees and commissions income and other operating income Reference is made to the paragraph “Fees and commissions income and other operating income” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts,16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. Dividends Reference is made to the paragraph “Dividends” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts,16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. A.3 - Information on transfers between portfolios of financial assets There were no transfers between portfolios of financial assets in 2021. A.4 - Information on fair value Qualitative information This section presents a disclosure on fair value as required by IFRS13. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants in the principal market at the measurement date (i.e. an exit price). The fair value of a financial liability with a demand feature (e.g. a demand deposit) cannot be lower than the amount payable on demand, discounted from the first date that the amount could be required to be paid. For financial instruments listed in active markets, fair value is determined on the basis of official prices in the principal market to which the Group has access (Mark to Market). A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a pricing service, dealer, broker, agency that determines prices or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but active markets exist for its component parts, fair value can be determined on the basis of the relevant market prices for the component parts. The Group may use valuation techniques, such as: • a market approach (e.g. using quoted prices for similar assets, liabilities or equity instruments held by other parties as assets); • cost approach (e.g. it reflects the amount that would be required currently to replace the service capacity of an asset, that is the current replacement cost); • an income approach (e.g. a present value technique that takes into account the future cash flows that a market participant would expect to receive from holding the liability or equity instrument as an asset). The Group uses valuation models (Mark to Model) in line with the methods generally accepted and used by the market. Valuation models include techniques based on the discounting of future cash flows and on volatility estimates, and they are subject to revision both during their development and periodically in order to ensure their consistency with the objectives of the valuation. These methods use inputs based on prices set in recent transactions for the instrument being valued and/or prices/quotations for instruments having similar characteristics in terms of risk profile. Indeed, these prices/quotations are relevant for determining significant parameters in terms of credit, liquidity and price risk of the instrument being valued. Reference to these market parameters allows to limit the discretionary nature of the valuation and ensures that the resulting fair value can be verified. If, for one or more risk factors it is not possible to refer to market data, the valuation models employed use estimates based on historical data as inputs. As a further guarantee of the objectivity of valuations derived from valuation models, the Group employs: • independent price verifications (IPVs); • fair value adjustments (FVAs). Company financial statements | Notes to the accounts Part A - Accounting policies 618 2021 Annual Report and Accounts · UniCredit Fees and commissions income and other operating income Reference is made to the paragraph “Fees and commissions income and other operating income” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts,16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. Dividends Reference is made to the paragraph “Dividends” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - Accounting policies, A.2 - Main items of the accounts,16 - Other information, Recognition of income and expenses, which is herewith quoted entirely. A.3 - Information on transfers between portfolios of financial assets There were no transfers between portfolios of financial assets in 2021. A.4 - Information on fair value Qualitative information This section presents a disclosure on fair value as required by IFRS13. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants in the principal market at the measurement date (i.e. an exit price). The fair value of a financial liability with a demand feature (e.g. a demand deposit) cannot be lower than the amount payable on demand, discounted from the first date that the amount could be required to be paid. For financial instruments listed in active markets, fair value is determined on the basis of official prices in the principal market to which the Group has access (Mark to Market). A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a pricing service, dealer, broker, agency that determines prices or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but active markets exist for its component parts, fair value can be determined on the basis of the relevant market prices for the component parts. The Group may use valuation techniques, such as: • a market approach (e.g. using quoted prices for similar assets, liabilities or equity instruments held by other parties as assets); • cost approach (e.g. it reflects the amount that would be required currently to replace the service capacity of an asset, that is the current replacement cost); • an income approach (e.g. a present value technique that takes into account the future cash flows that a market participant would expect to receive from holding the liability or equity instrument as an asset). The Group uses valuation models (Mark to Model) in line with the methods generally accepted and used by the market. Valuation models include techniques based on the discounting of future cash flows and on volatility estimates, and they are subject to revision both during their development and periodically in order to ensure their consistency with the objectives of the valuation. These methods use inputs based on prices set in recent transactions for the instrument being valued and/or prices/quotations for instruments having similar characteristics in terms of risk profile. Indeed, these prices/quotations are relevant for determining significant parameters in terms of credit, liquidity and price risk of the instrument being valued. Reference to these market parameters allows to limit the discretionary nature of the valuation and ensures that the resulting fair value can be verified. If, for one or more risk factors it is not possible to refer to market data, the valuation models employed use estimates based on historical data as inputs. As a further guarantee of the objectivity of valuations derived from valuation models, the Group employs: • independent price verifications (IPVs); • fair value adjustments (FVAs). Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 619 Independent price verification requires that the prices are verified at least monthly by Risk Management units that are independent from the units that assume the risk exposure. This verification calls for comparing and adjusting the price in line with valuations obtained from independent market participants. For instruments not quoted in active markets, the above verification process uses prices contributed by info providers as a reference and assigns a greater weighting to those prices that are considered representative of the instrument being valued. This valuation can include the feasibility of the transaction at the price observed, the number of contributors, the degree of similarity of the financial instruments, the consistency of prices from different sources, and the process followed by the info provider to obtain the information. A.4.1 Fair value Levels 2 and 3: valuation techniques and inputs used Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis, not measured at fair value, or measured at fair value on a non-recurring basis. Assets and liabilities measured at fair value on a recurring basis Debt securities Debt securities are priced in a two-tier process depending on the liquidity in the respective market. Liquid instruments in active markets are marked to market and consequently they are allocated in the Fair Value Hierarchy under Level 190. Instruments not traded in active markets are marked to model through discounted cash flows model whose inputs include implied credit spread curves. With this respect, depending on the proximity of the credit spread curve applied, the bonds are disclosed as Level 2 or Level 3 respectively. Under fair value accounting, fair value adjustments for liquidity and model deficiencies compensate for the lack of market observables for the Level 2 and Level 3 positions. In the global bond IPV process market prices of Level 1 bonds and pricing models for illiquid bonds are regularly verified for accuracy. Structured financial products The Bank determines the fair value of structured financial products not quoted on active markets using the appropriate derivative valuation methodology given the nature of the embedded structure (when this is not to be separated). Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model. Asset Backed Securities UniCredit valuation process assigns prices considering quotes available in the market. As a second step, prices are assessed by benchmarking each security to a pool of similar securities with available market quotes. An alternative approach consists in evaluating the instrument through the use of quantitative pricing models, which are applicable every time that information regarding market participants assumptions on model parameters are reasonably made available without excessive costs or efforts. ABS are assigned to Level 2 or Level 3 depending on the observability of either prices or model inputs. Derivatives Fair value of derivatives not traded in an active market is determined using a mark-to-model valuation technique. Where active markets exist for its component parts, then fair value is determined on the basis of the relevant market prices for the component parts. Valuation techniques that are based on significant inputs that are observable are referred to as Level 2 valuations, while those based on techniques that use significant unobservable inputs are referred to as Level 3 valuations. Equity instruments Equity instruments are assigned to Level 1 when a quoted price is available on a liquid market and to Level 3 when no quotations are available or quotations have been suspended indefinitely. These instruments are classified as Level 2 only when trading volume on the market is not sufficient to qualify the market as active. Investment funds The Group holds investments in certain investment funds that publish net asset value (“NAV”) per share, including mutual funds, private equity funds, hedge funds (including funds of funds) and real estate funds. The Group’s investments include co-investments in funds that are managed by the Group and investments in funds that are managed by third parties and in particular: 90 As far as Italian government bonds are concerned, it is worth stressing they are typically exchanged on the MTS market which is largely acknowledged as the main liquid platform for this kind of asset. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 619 Independent price verification requires that the prices are verified at least monthly by Risk Management units that are independent from the units that assume the risk exposure. This verification calls for comparing and adjusting the price in line with valuations obtained from independent market participants. For instruments not quoted in active markets, the above verification process uses prices contributed by info providers as a reference and assigns a greater weighting to those prices that are considered representative of the instrument being valued. This valuation can include the feasibility of the transaction at the price observed, the number of contributors, the degree of similarity of the financial instruments, the consistency of prices from different sources, and the process followed by the info provider to obtain the information. A.4.1 Fair value Levels 2 and 3: valuation techniques and inputs used Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis, not measured at fair value, or measured at fair value on a non-recurring basis. Assets and liabilities measured at fair value on a recurring basis Debt securities Debt securities are priced in a two-tier process depending on the liquidity in the respective market. Liquid instruments in active markets are marked to market and consequently they are allocated in the Fair Value Hierarchy under Level 190. Instruments not traded in active markets are marked to model through discounted cash flows model whose inputs include implied credit spread curves. With this respect, depending on the proximity of the credit spread curve applied, the bonds are disclosed as Level 2 or Level 3 respectively. Under fair value accounting, fair value adjustments for liquidity and model deficiencies compensate for the lack of market observables for the Level 2 and Level 3 positions. In the global bond IPV process market prices of Level 1 bonds and pricing models for illiquid bonds are regularly verified for accuracy. Structured financial products The Bank determines the fair value of structured financial products not quoted on active markets using the appropriate derivative valuation methodology given the nature of the embedded structure (when this is not to be separated). Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model. Asset Backed Securities UniCredit valuation process assigns prices considering quotes available in the market. As a second step, prices are assessed by benchmarking each security to a pool of similar securities with available market quotes. An alternative approach consists in evaluating the instrument through the use of quantitative pricing models, which are applicable every time that information regarding market participants assumptions on model parameters are reasonably made available without excessive costs or efforts. ABS are assigned to Level 2 or Level 3 depending on the observability of either prices or model inputs. Derivatives Fair value of derivatives not traded in an active market is determined using a mark-to-model valuation technique. Where active markets exist for its component parts, then fair value is determined on the basis of the relevant market prices for the component parts. Valuation techniques that are based on significant inputs that are observable are referred to as Level 2 valuations, while those based on techniques that use significant unobservable inputs are referred to as Level 3 valuations. Equity instruments Equity instruments are assigned to Level 1 when a quoted price is available on a liquid market and to Level 3 when no quotations are available or quotations have been suspended indefinitely. These instruments are classified as Level 2 only when trading volume on the market is not sufficient to qualify the market as active. Investment funds The Group holds investments in certain investment funds that publish net asset value (“NAV”) per share, including mutual funds, private equity funds, hedge funds (including funds of funds) and real estate funds. The Group’s investments include co-investments in funds that are managed by the Group and investments in funds that are managed by third parties and in particular: 90 As far as Italian government bonds are concerned, it is worth stressing they are typically exchanged on the MTS market which is largely acknowledged as the main liquid platform for this kind of asset. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 619 Independent price verification requires that the prices are verified at least monthly by Risk Management units that are independent from the units that assume the risk exposure. This verification calls for comparing and adjusting the price in line with valuations obtained from independent market participants. For instruments not quoted in active markets, the above verification process uses prices contributed by info providers as a reference and assigns a greater weighting to those prices that are considered representative of the instrument being valued. This valuation can include the feasibility of the transaction at the price observed, the number of contributors, the degree of similarity of the financial instruments, the consistency of prices from different sources, and the process followed by the info provider to obtain the information. A.4.1 Fair value Levels 2 and 3: valuation techniques and inputs used Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis, not measured at fair value, or measured at fair value on a non-recurring basis. Assets and liabilities measured at fair value on a recurring basis Debt securities Debt securities are priced in a two-tier process depending on the liquidity in the respective market. Liquid instruments in active markets are marked to market and consequently they are allocated in the Fair Value Hierarchy under Level 190. Instruments not traded in active markets are marked to model through discounted cash flows model whose inputs include implied credit spread curves. With this respect, depending on the proximity of the credit spread curve applied, the bonds are disclosed as Level 2 or Level 3 respectively. Under fair value accounting, fair value adjustments for liquidity and model deficiencies compensate for the lack of market observables for the Level 2 and Level 3 positions. In the global bond IPV process market prices of Level 1 bonds and pricing models for illiquid bonds are regularly verified for accuracy. Structured financial products The Bank determines the fair value of structured financial products not quoted on active markets using the appropriate derivative valuation methodology given the nature of the embedded structure (when this is not to be separated). Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model. Asset Backed Securities UniCredit valuation process assigns prices considering quotes available in the market. As a second step, prices are assessed by benchmarking each security to a pool of similar securities with available market quotes. An alternative approach consists in evaluating the instrument through the use of quantitative pricing models, which are applicable every time that information regarding market participants assumptions on model parameters are reasonably made available without excessive costs or efforts. ABS are assigned to Level 2 or Level 3 depending on the observability of either prices or model inputs. Derivatives Fair value of derivatives not traded in an active market is determined using a mark-to-model valuation technique. Where active markets exist for its component parts, then fair value is determined on the basis of the relevant market prices for the component parts. Valuation techniques that are based on significant inputs that are observable are referred to as Level 2 valuations, while those based on techniques that use significant unobservable inputs are referred to as Level 3 valuations. Equity instruments Equity instruments are assigned to Level 1 when a quoted price is available on a liquid market and to Level 3 when no quotations are available or quotations have been suspended indefinitely. These instruments are classified as Level 2 only when trading volume on the market is not sufficient to qualify the market as active. Investment funds The Group holds investments in certain investment funds that publish net asset value (“NAV”) per share, including mutual funds, private equity funds, hedge funds (including funds of funds) and real estate funds. The Group’s investments include co-investments in funds that are managed by the Group and investments in funds that are managed by third parties and in particular: 90 As far as Italian government bonds are concerned, it is worth stressing they are typically exchanged on the MTS market which is largely acknowledged as the main liquid platform for this kind of asset. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 619 Independent price verification requires that the prices are verified at least monthly by Risk Management units that are independent from the units that assume the risk exposure. This verification calls for comparing and adjusting the price in line with valuations obtained from independent market participants. For instruments not quoted in active markets, the above verification process uses prices contributed by info providers as a reference and assigns a greater weighting to those prices that are considered representative of the instrument being valued. This valuation can include the feasibility of the transaction at the price observed, the number of contributors, the degree of similarity of the financial instruments, the consistency of prices from different sources, and the process followed by the info provider to obtain the information. A.4.1 Fair value Levels 2 and 3: valuation techniques and inputs used Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis, not measured at fair value, or measured at fair value on a non-recurring basis. Assets and liabilities measured at fair value on a recurring basis Debt securities Debt securities are priced in a two-tier process depending on the liquidity in the respective market. Liquid instruments in active markets are marked to market and consequently they are allocated in the Fair Value Hierarchy under Level 190. Instruments not traded in active markets are marked to model through discounted cash flows model whose inputs include implied credit spread curves. With this respect, depending on the proximity of the credit spread curve applied, the bonds are disclosed as Level 2 or Level 3 respectively. Under fair value accounting, fair value adjustments for liquidity and model deficiencies compensate for the lack of market observables for the Level 2 and Level 3 positions. In the global bond IPV process market prices of Level 1 bonds and pricing models for illiquid bonds are regularly verified for accuracy. Structured financial products The Bank determines the fair value of structured financial products not quoted on active markets using the appropriate derivative valuation methodology given the nature of the embedded structure (when this is not to be separated). Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model. Asset Backed Securities UniCredit valuation process assigns prices considering quotes available in the market. As a second step, prices are assessed by benchmarking each security to a pool of similar securities with available market quotes. An alternative approach consists in evaluating the instrument through the use of quantitative pricing models, which are applicable every time that information regarding market participants assumptions on model parameters are reasonably made available without excessive costs or efforts. ABS are assigned to Level 2 or Level 3 depending on the observability of either prices or model inputs. Derivatives Fair value of derivatives not traded in an active market is determined using a mark-to-model valuation technique. Where active markets exist for its component parts, then fair value is determined on the basis of the relevant market prices for the component parts. Valuation techniques that are based on significant inputs that are observable are referred to as Level 2 valuations, while those based on techniques that use significant unobservable inputs are referred to as Level 3 valuations. Equity instruments Equity instruments are assigned to Level 1 when a quoted price is available on a liquid market and to Level 3 when no quotations are available or quotations have been suspended indefinitely. These instruments are classified as Level 2 only when trading volume on the market is not sufficient to qualify the market as active. Investment funds The Group holds investments in certain investment funds that publish net asset value (“NAV”) per share, including mutual funds, private equity funds, hedge funds (including funds of funds) and real estate funds. The Group’s investments include co-investments in funds that are managed by the Group and investments in funds that are managed by third parties and in particular: 90 As far as Italian government bonds are concerned, it is worth stressing they are typically exchanged on the MTS market which is largely acknowledged as the main liquid platform for this kind of asset. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 619 Independent price verification requires that the prices are verified at least monthly by Risk Management units that are independent from the units that assume the risk exposure. This verification calls for comparing and adjusting the price in line with valuations obtained from independent market participants. For instruments not quoted in active markets, the above verification process uses prices contributed by info providers as a reference and assigns a greater weighting to those prices that are considered representative of the instrument being valued. This valuation can include the feasibility of the transaction at the price observed, the number of contributors, the degree of similarity of the financial instruments, the consistency of prices from different sources, and the process followed by the info provider to obtain the information. A.4.1 Fair value Levels 2 and 3: valuation techniques and inputs used Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis, not measured at fair value, or measured at fair value on a non-recurring basis. Assets and liabilities measured at fair value on a recurring basis Debt securities Debt securities are priced in a two-tier process depending on the liquidity in the respective market. Liquid instruments in active markets are marked to market and consequently they are allocated in the Fair Value Hierarchy under Level 190. Instruments not traded in active markets are marked to model through discounted cash flows model whose inputs include implied credit spread curves. With this respect, depending on the proximity of the credit spread curve applied, the bonds are disclosed as Level 2 or Level 3 respectively. Under fair value accounting, fair value adjustments for liquidity and model deficiencies compensate for the lack of market observables for the Level 2 and Level 3 positions. In the global bond IPV process market prices of Level 1 bonds and pricing models for illiquid bonds are regularly verified for accuracy. Structured financial products The Bank determines the fair value of structured financial products not quoted on active markets using the appropriate derivative valuation methodology given the nature of the embedded structure (when this is not to be separated). Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model. Asset Backed Securities UniCredit valuation process assigns prices considering quotes available in the market. As a second step, prices are assessed by benchmarking each security to a pool of similar securities with available market quotes. An alternative approach consists in evaluating the instrument through the use of quantitative pricing models, which are applicable every time that information regarding market participants assumptions on model parameters are reasonably made available without excessive costs or efforts. ABS are assigned to Level 2 or Level 3 depending on the observability of either prices or model inputs. Derivatives Fair value of derivatives not traded in an active market is determined using a mark-to-model valuation technique. Where active markets exist for its component parts, then fair value is determined on the basis of the relevant market prices for the component parts. Valuation techniques that are based on significant inputs that are observable are referred to as Level 2 valuations, while those based on techniques that use significant unobservable inputs are referred to as Level 3 valuations. Equity instruments Equity instruments are assigned to Level 1 when a quoted price is available on a liquid market and to Level 3 when no quotations are available or quotations have been suspended indefinitely. These instruments are classified as Level 2 only when trading volume on the market is not sufficient to qualify the market as active. Investment funds The Group holds investments in certain investment funds that publish net asset value (“NAV”) per share, including mutual funds, private equity funds, hedge funds (including funds of funds) and real estate funds. The Group’s investments include co-investments in funds that are managed by the Group and investments in funds that are managed by third parties and in particular: 90 As far as Italian government bonds are concerned, it is worth stressing they are typically exchanged on the MTS market which is largely acknowledged as the main liquid platform for this kind of asset. Company financial statements | Notes to the accounts Part A - Accounting policies 620 2021 Annual Report and Accounts · UniCredit Real estate funds Real estate funds are mapped to Level 1 when quoted prices are available on an active market; when this condition does not hold, real estate funds are disclosed as Level 3 and they are evaluated through an adequate credit adjustment of the NAV based on the specific features of each fund. Other funds The Group holds investments also in mutual funds, hedge funds and private equity funds. Funds are usually assigned to Level 1 when a quoted price is available on an active market. Funds are disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues relating to position write-off; these funds are measured on the basis of internal analysis that consider further information, included those provided by management companies. Loans Fair Value of loans measured at fair value is determined using either quoted prices or discounted cash flows analysis. They are classified under Level 2 if implied credit spread curves, as well as any other parameters used for determining fair value, are observable on the market. In the case the spreads curves are not observable they are derived using an internal spread model that is based both on observable and unobservable inputs, in the case the impact of unobservable inputs is significant they are classified as Level 3. These include loans to corporates and household for which no indication of applicable credit spread is available and for which, therefore, fair value has been determined through internal credit risk parameters. Property, plant and equipment measured at fair value The Group owns real estate assets for which changed, starting from 31 December 2019, its measurement accounting policy moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For both type of assets the fair value/revaluation model is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Fair Value Adjustments (FVA) Fair value adjustment is defined as the amount to be added either to the market observed mid-price or to the theoretical price generated by a valuation model with the aim of obtaining a fair value of the position. Therefore, FVA are aimed at insuring that the fair value reflects the actual exit price of a certain position. Below a list of adjustments: • Credit/Debit Valuation Adjustment (“CVA/DVA”); • Funding Cost and Benefit Value Adjustment (“FCA/FBA”); • model risk; • close-out costs; • other adjustments. Credit/Debit Valuation Adjustment (CVA/DVA) Credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs) are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and UniCredit own credit quality respectively. UniCredit CVA/DVA methodology is based on the following inputs: • EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong-Way Risk that arises from transactions where there is a correlation between counterparty credit risk and the underlying derivative risk factors; • PD implied by current market default rates, obtained from Credit Default Swaps; • LGD based on the estimated level of expected recovery should a counterparty default and implied by current market default rates, obtained from credit default swaps. As at 31 December 2021, net CVA/DVA cumulative adjustment, relating to performing counterparts, amounts to €39.4 million negative; in addition, the adjustment related to own credit spread evolution, which is filtered out from regulatory capital (accordingly to CRDIV), amounts to €87 million negative. Funding Cost and Benefit Adjustment (“FCA/FBA”) Funding Valuation Adjustment (“FundVA”) is the sum of a Funding Cost Adjustment (“FCA”) and of a Funding Benefit Adjustment (“FBA”) that indeed account for the expected future funding costs/benefits for derivatives that are not fully collateralised. Most material contributors are in-the-money trades with uncollateralised counterparties. Company financial statements | Notes to the accounts Part A - Accounting policies 620 2021 Annual Report and Accounts · UniCredit Real estate funds Real estate funds are mapped to Level 1 when quoted prices are available on an active market; when this condition does not hold, real estate funds are disclosed as Level 3 and they are evaluated through an adequate credit adjustment of the NAV based on the specific features of each fund. Other funds The Group holds investments also in mutual funds, hedge funds and private equity funds. Funds are usually assigned to Level 1 when a quoted price is available on an active market. Funds are disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues relating to position write-off; these funds are measured on the basis of internal analysis that consider further information, included those provided by management companies. Loans Fair Value of loans measured at fair value is determined using either quoted prices or discounted cash flows analysis. They are classified under Level 2 if implied credit spread curves, as well as any other parameters used for determining fair value, are observable on the market. In the case the spreads curves are not observable they are derived using an internal spread model that is based both on observable and unobservable inputs, in the case the impact of unobservable inputs is significant they are classified as Level 3. These include loans to corporates and household for which no indication of applicable credit spread is available and for which, therefore, fair value has been determined through internal credit risk parameters. Property, plant and equipment measured at fair value The Group owns real estate assets for which changed, starting from 31 December 2019, its measurement accounting policy moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For both type of assets the fair value/revaluation model is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Fair Value Adjustments (FVA) Fair value adjustment is defined as the amount to be added either to the market observed mid-price or to the theoretical price generated by a valuation model with the aim of obtaining a fair value of the position. Therefore, FVA are aimed at insuring that the fair value reflects the actual exit price of a certain position. Below a list of adjustments: • Credit/Debit Valuation Adjustment (“CVA/DVA”); • Funding Cost and Benefit Value Adjustment (“FCA/FBA”); • model risk; • close-out costs; • other adjustments. Credit/Debit Valuation Adjustment (CVA/DVA) Credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs) are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and UniCredit own credit quality respectively. UniCredit CVA/DVA methodology is based on the following inputs: • EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong-Way Risk that arises from transactions where there is a correlation between counterparty credit risk and the underlying derivative risk factors; • PD implied by current market default rates, obtained from Credit Default Swaps; • LGD based on the estimated level of expected recovery should a counterparty default and implied by current market default rates, obtained from credit default swaps. As at 31 December 2021, net CVA/DVA cumulative adjustment, relating to performing counterparts, amounts to €39.4 million negative; in addition, the adjustment related to own credit spread evolution, which is filtered out from regulatory capital (accordingly to CRDIV), amounts to €87 million negative. Funding Cost and Benefit Adjustment (“FCA/FBA”) Funding Valuation Adjustment (“FundVA”) is the sum of a Funding Cost Adjustment (“FCA”) and of a Funding Benefit Adjustment (“FBA”) that indeed account for the expected future funding costs/benefits for derivatives that are not fully collateralised. Most material contributors are in-the-money trades with uncollateralised counterparties. Company financial statements | Notes to the accounts Part A - Accounting policies 620 2021 Annual Report and Accounts · UniCredit Real estate funds Real estate funds are mapped to Level 1 when quoted prices are available on an active market; when this condition does not hold, real estate funds are disclosed as Level 3 and they are evaluated through an adequate credit adjustment of the NAV based on the specific features of each fund. Other funds The Group holds investments also in mutual funds, hedge funds and private equity funds. Funds are usually assigned to Level 1 when a quoted price is available on an active market. Funds are disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues relating to position write-off; these funds are measured on the basis of internal analysis that consider further information, included those provided by management companies. Loans Fair Value of loans measured at fair value is determined using either quoted prices or discounted cash flows analysis. They are classified under Level 2 if implied credit spread curves, as well as any other parameters used for determining fair value, are observable on the market. In the case the spreads curves are not observable they are derived using an internal spread model that is based both on observable and unobservable inputs, in the case the impact of unobservable inputs is significant they are classified as Level 3. These include loans to corporates and household for which no indication of applicable credit spread is available and for which, therefore, fair value has been determined through internal credit risk parameters. Property, plant and equipment measured at fair value The Group owns real estate assets for which changed, starting from 31 December 2019, its measurement accounting policy moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For both type of assets the fair value/revaluation model is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Fair Value Adjustments (FVA) Fair value adjustment is defined as the amount to be added either to the market observed mid-price or to the theoretical price generated by a valuation model with the aim of obtaining a fair value of the position. Therefore, FVA are aimed at insuring that the fair value reflects the actual exit price of a certain position. Below a list of adjustments: • Credit/Debit Valuation Adjustment (“CVA/DVA”); • Funding Cost and Benefit Value Adjustment (“FCA/FBA”); • model risk; • close-out costs; • other adjustments. Credit/Debit Valuation Adjustment (CVA/DVA) Credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs) are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and UniCredit own credit quality respectively. UniCredit CVA/DVA methodology is based on the following inputs: • EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong-Way Risk that arises from transactions where there is a correlation between counterparty credit risk and the underlying derivative risk factors; • PD implied by current market default rates, obtained from Credit Default Swaps; • LGD based on the estimated level of expected recovery should a counterparty default and implied by current market default rates, obtained from credit default swaps. As at 31 December 2021, net CVA/DVA cumulative adjustment, relating to performing counterparts, amounts to €39.4 million negative; in addition, the adjustment related to own credit spread evolution, which is filtered out from regulatory capital (accordingly to CRDIV), amounts to €87 million negative. Funding Cost and Benefit Adjustment (“FCA/FBA”) Funding Valuation Adjustment (“FundVA”) is the sum of a Funding Cost Adjustment (“FCA”) and of a Funding Benefit Adjustment (“FBA”) that indeed account for the expected future funding costs/benefits for derivatives that are not fully collateralised. Most material contributors are in-the-money trades with uncollateralised counterparties. Company financial statements | Notes to the accounts Part A - Accounting policies 620 2021 Annual Report and Accounts · UniCredit Real estate funds Real estate funds are mapped to Level 1 when quoted prices are available on an active market; when this condition does not hold, real estate funds are disclosed as Level 3 and they are evaluated through an adequate credit adjustment of the NAV based on the specific features of each fund. Other funds The Group holds investments also in mutual funds, hedge funds and private equity funds. Funds are usually assigned to Level 1 when a quoted price is available on an active market. Funds are disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues relating to position write-off; these funds are measured on the basis of internal analysis that consider further information, included those provided by management companies. Loans Fair Value of loans measured at fair value is determined using either quoted prices or discounted cash flows analysis. They are classified under Level 2 if implied credit spread curves, as well as any other parameters used for determining fair value, are observable on the market. In the case the spreads curves are not observable they are derived using an internal spread model that is based both on observable and unobservable inputs, in the case the impact of unobservable inputs is significant they are classified as Level 3. These include loans to corporates and household for which no indication of applicable credit spread is available and for which, therefore, fair value has been determined through internal credit risk parameters. Property, plant and equipment measured at fair value The Group owns real estate assets for which changed, starting from 31 December 2019, its measurement accounting policy moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For both type of assets the fair value/revaluation model is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Fair Value Adjustments (FVA) Fair value adjustment is defined as the amount to be added either to the market observed mid-price or to the theoretical price generated by a valuation model with the aim of obtaining a fair value of the position. Therefore, FVA are aimed at insuring that the fair value reflects the actual exit price of a certain position. Below a list of adjustments: • Credit/Debit Valuation Adjustment (“CVA/DVA”); • Funding Cost and Benefit Value Adjustment (“FCA/FBA”); • model risk; • close-out costs; • other adjustments. Credit/Debit Valuation Adjustment (CVA/DVA) Credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs) are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and UniCredit own credit quality respectively. UniCredit CVA/DVA methodology is based on the following inputs: • EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong-Way Risk that arises from transactions where there is a correlation between counterparty credit risk and the underlying derivative risk factors; • PD implied by current market default rates, obtained from Credit Default Swaps; • LGD based on the estimated level of expected recovery should a counterparty default and implied by current market default rates, obtained from credit default swaps. As at 31 December 2021, net CVA/DVA cumulative adjustment, relating to performing counterparts, amounts to €39.4 million negative; in addition, the adjustment related to own credit spread evolution, which is filtered out from regulatory capital (accordingly to CRDIV), amounts to €87 million negative. Funding Cost and Benefit Adjustment (“FCA/FBA”) Funding Valuation Adjustment (“FundVA”) is the sum of a Funding Cost Adjustment (“FCA”) and of a Funding Benefit Adjustment (“FBA”) that indeed account for the expected future funding costs/benefits for derivatives that are not fully collateralised. Most material contributors are in-the-money trades with uncollateralised counterparties. Company financial statements | Notes to the accounts Part A - Accounting policies 620 2021 Annual Report and Accounts · UniCredit Real estate funds Real estate funds are mapped to Level 1 when quoted prices are available on an active market; when this condition does not hold, real estate funds are disclosed as Level 3 and they are evaluated through an adequate credit adjustment of the NAV based on the specific features of each fund. Other funds The Group holds investments also in mutual funds, hedge funds and private equity funds. Funds are usually assigned to Level 1 when a quoted price is available on an active market. Funds are disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues relating to position write-off; these funds are measured on the basis of internal analysis that consider further information, included those provided by management companies. Loans Fair Value of loans measured at fair value is determined using either quoted prices or discounted cash flows analysis. They are classified under Level 2 if implied credit spread curves, as well as any other parameters used for determining fair value, are observable on the market. In the case the spreads curves are not observable they are derived using an internal spread model that is based both on observable and unobservable inputs, in the case the impact of unobservable inputs is significant they are classified as Level 3. These include loans to corporates and household for which no indication of applicable credit spread is available and for which, therefore, fair value has been determined through internal credit risk parameters. Property, plant and equipment measured at fair value The Group owns real estate assets for which changed, starting from 31 December 2019, its measurement accounting policy moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For both type of assets the fair value/revaluation model is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Fair Value Adjustments (FVA) Fair value adjustment is defined as the amount to be added either to the market observed mid-price or to the theoretical price generated by a valuation model with the aim of obtaining a fair value of the position. Therefore, FVA are aimed at insuring that the fair value reflects the actual exit price of a certain position. Below a list of adjustments: • Credit/Debit Valuation Adjustment (“CVA/DVA”); • Funding Cost and Benefit Value Adjustment (“FCA/FBA”); • model risk; • close-out costs; • other adjustments. Credit/Debit Valuation Adjustment (CVA/DVA) Credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs) are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and UniCredit own credit quality respectively. UniCredit CVA/DVA methodology is based on the following inputs: • EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong-Way Risk that arises from transactions where there is a correlation between counterparty credit risk and the underlying derivative risk factors; • PD implied by current market default rates, obtained from Credit Default Swaps; • LGD based on the estimated level of expected recovery should a counterparty default and implied by current market default rates, obtained from credit default swaps. As at 31 December 2021, net CVA/DVA cumulative adjustment, relating to performing counterparts, amounts to €39.4 million negative; in addition, the adjustment related to own credit spread evolution, which is filtered out from regulatory capital (accordingly to CRDIV), amounts to €87 million negative. Funding Cost and Benefit Adjustment (“FCA/FBA”) Funding Valuation Adjustment (“FundVA”) is the sum of a Funding Cost Adjustment (“FCA”) and of a Funding Benefit Adjustment (“FBA”) that indeed account for the expected future funding costs/benefits for derivatives that are not fully collateralised. Most material contributors are in-the-money trades with uncollateralised counterparties. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 621 UniCredit FundVA methodology is based on the following inputs: • positive and Negative exposure profiles derived leveraging on a risk-neutral spin-off of the counterparty credit risk internal model; • PD term structure implied by current market default rates obtained from credit default swaps; • a funding spread curve that is representative of the average funding spread of peer financial groups. As at 31 December 2021 the Fair Value Adjustment component (FundVA) reflected into P&L amounts to €5 million negative. Model risk Financial models are used for the valuation of the financial instruments if the direct market quotes are not deemed reliable. In general, the model risk is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the choice of model. It is possible to value the same financial instrument by using alternative models which could provide different results in term of pricing. The model risk adjustment refers to the risk that the actual fair value of the instrument differs from the value produced by the model. Close-out cost It measures the implicit cost of closing a trading position. The position can be closed by a long position (or purchase in the case of a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open position. The close-out costs are typically derived from the bid/ask spreads observed on the market. It accounts for the fact that a position is valued at mid but can only be closed at bid or ask. This adjustment is not needed when the position is marked at bid or ask and already represents an exit price. In addition, a close-out adjustment of the NAV is applied when there are some penalties relating to position write-off in an investment fund. Other adjustments Other fair value adjustments, which are not included in the previous categories, could be taken into consideration to align the evaluation to the current exit price, also according to the level of liquidity of the market and valuation parameters, e.g. adjustment of equity prices whose quotation on the market are not representative of the effective exit price. Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis Financial instrument not carried at fair value, for example retail loans and deposit, and credit facilities extended to corporate clients are not managed on a fair value basis. For these instruments fair value is calculated for disclosure purposes only and does not impact the balance sheet or the profit or loss. Additionally, since these instruments generally do not trade, there is significant management judgment required to determine their fair values as defined by IFRS13. Cash and cash balances Cash and cash balances are not carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. Financial assets at amortised cost For securities, fair value is determined according to what reported in section “Assets and liabilities measured at fair value on a recurring basis - Debt securities”. On the other hands, fair value for performing loans to banks and customers is determined using the discounted cash flow model adjusted for credit risk. Some portfolios are valued according to simplified approaches, which however take into account the financial features of the financial instruments. Property, plant and equipment The fair value of under construction properties, obtained through the enforcement of guarantees received and the right of use of leased assets is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Financial liabilities at amortised cost Fair value for issued debt securities is determined using the discounted cash flow model adjusted for UniCredit credit risk. The Credit Spread takes seniority into account. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 621 UniCredit FundVA methodology is based on the following inputs: • positive and Negative exposure profiles derived leveraging on a risk-neutral spin-off of the counterparty credit risk internal model; • PD term structure implied by current market default rates obtained from credit default swaps; • a funding spread curve that is representative of the average funding spread of peer financial groups. As at 31 December 2021 the Fair Value Adjustment component (FundVA) reflected into P&L amounts to €5 million negative. Model risk Financial models are used for the valuation of the financial instruments if the direct market quotes are not deemed reliable. In general, the model risk is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the choice of model. It is possible to value the same financial instrument by using alternative models which could provide different results in term of pricing. The model risk adjustment refers to the risk that the actual fair value of the instrument differs from the value produced by the model. Close-out cost It measures the implicit cost of closing a trading position. The position can be closed by a long position (or purchase in the case of a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open position. The close-out costs are typically derived from the bid/ask spreads observed on the market. It accounts for the fact that a position is valued at mid but can only be closed at bid or ask. This adjustment is not needed when the position is marked at bid or ask and already represents an exit price. In addition, a close-out adjustment of the NAV is applied when there are some penalties relating to position write-off in an investment fund. Other adjustments Other fair value adjustments, which are not included in the previous categories, could be taken into consideration to align the evaluation to the current exit price, also according to the level of liquidity of the market and valuation parameters, e.g. adjustment of equity prices whose quotation on the market are not representative of the effective exit price. Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis Financial instrument not carried at fair value, for example retail loans and deposit, and credit facilities extended to corporate clients are not managed on a fair value basis. For these instruments fair value is calculated for disclosure purposes only and does not impact the balance sheet or the profit or loss. Additionally, since these instruments generally do not trade, there is significant management judgment required to determine their fair values as defined by IFRS13. Cash and cash balances Cash and cash balances are not carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. Financial assets at amortised cost For securities, fair value is determined according to what reported in section “Assets and liabilities measured at fair value on a recurring basis - Debt securities”. On the other hands, fair value for performing loans to banks and customers is determined using the discounted cash flow model adjusted for credit risk. Some portfolios are valued according to simplified approaches, which however take into account the financial features of the financial instruments. Property, plant and equipment The fair value of under construction properties, obtained through the enforcement of guarantees received and the right of use of leased assets is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Financial liabilities at amortised cost Fair value for issued debt securities is determined using the discounted cash flow model adjusted for UniCredit credit risk. The Credit Spread takes seniority into account. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 621 UniCredit FundVA methodology is based on the following inputs: • positive and Negative exposure profiles derived leveraging on a risk-neutral spin-off of the counterparty credit risk internal model; • PD term structure implied by current market default rates obtained from credit default swaps; • a funding spread curve that is representative of the average funding spread of peer financial groups. As at 31 December 2021 the Fair Value Adjustment component (FundVA) reflected into P&L amounts to €5 million negative. Model risk Financial models are used for the valuation of the financial instruments if the direct market quotes are not deemed reliable. In general, the model risk is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the choice of model. It is possible to value the same financial instrument by using alternative models which could provide different results in term of pricing. The model risk adjustment refers to the risk that the actual fair value of the instrument differs from the value produced by the model. Close-out cost It measures the implicit cost of closing a trading position. The position can be closed by a long position (or purchase in the case of a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open position. The close-out costs are typically derived from the bid/ask spreads observed on the market. It accounts for the fact that a position is valued at mid but can only be closed at bid or ask. This adjustment is not needed when the position is marked at bid or ask and already represents an exit price. In addition, a close-out adjustment of the NAV is applied when there are some penalties relating to position write-off in an investment fund. Other adjustments Other fair value adjustments, which are not included in the previous categories, could be taken into consideration to align the evaluation to the current exit price, also according to the level of liquidity of the market and valuation parameters, e.g. adjustment of equity prices whose quotation on the market are not representative of the effective exit price. Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis Financial instrument not carried at fair value, for example retail loans and deposit, and credit facilities extended to corporate clients are not managed on a fair value basis. For these instruments fair value is calculated for disclosure purposes only and does not impact the balance sheet or the profit or loss. Additionally, since these instruments generally do not trade, there is significant management judgment required to determine their fair values as defined by IFRS13. Cash and cash balances Cash and cash balances are not carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. Financial assets at amortised cost For securities, fair value is determined according to what reported in section “Assets and liabilities measured at fair value on a recurring basis - Debt securities”. On the other hands, fair value for performing loans to banks and customers is determined using the discounted cash flow model adjusted for credit risk. Some portfolios are valued according to simplified approaches, which however take into account the financial features of the financial instruments. Property, plant and equipment The fair value of under construction properties, obtained through the enforcement of guarantees received and the right of use of leased assets is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Financial liabilities at amortised cost Fair value for issued debt securities is determined using the discounted cash flow model adjusted for UniCredit credit risk. The Credit Spread takes seniority into account. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 621 UniCredit FundVA methodology is based on the following inputs: • positive and Negative exposure profiles derived leveraging on a risk-neutral spin-off of the counterparty credit risk internal model; • PD term structure implied by current market default rates obtained from credit default swaps; • a funding spread curve that is representative of the average funding spread of peer financial groups. As at 31 December 2021 the Fair Value Adjustment component (FundVA) reflected into P&L amounts to €5 million negative. Model risk Financial models are used for the valuation of the financial instruments if the direct market quotes are not deemed reliable. In general, the model risk is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the choice of model. It is possible to value the same financial instrument by using alternative models which could provide different results in term of pricing. The model risk adjustment refers to the risk that the actual fair value of the instrument differs from the value produced by the model. Close-out cost It measures the implicit cost of closing a trading position. The position can be closed by a long position (or purchase in the case of a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open position. The close-out costs are typically derived from the bid/ask spreads observed on the market. It accounts for the fact that a position is valued at mid but can only be closed at bid or ask. This adjustment is not needed when the position is marked at bid or ask and already represents an exit price. In addition, a close-out adjustment of the NAV is applied when there are some penalties relating to position write-off in an investment fund. Other adjustments Other fair value adjustments, which are not included in the previous categories, could be taken into consideration to align the evaluation to the current exit price, also according to the level of liquidity of the market and valuation parameters, e.g. adjustment of equity prices whose quotation on the market are not representative of the effective exit price. Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis Financial instrument not carried at fair value, for example retail loans and deposit, and credit facilities extended to corporate clients are not managed on a fair value basis. For these instruments fair value is calculated for disclosure purposes only and does not impact the balance sheet or the profit or loss. Additionally, since these instruments generally do not trade, there is significant management judgment required to determine their fair values as defined by IFRS13. Cash and cash balances Cash and cash balances are not carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. Financial assets at amortised cost For securities, fair value is determined according to what reported in section “Assets and liabilities measured at fair value on a recurring basis - Debt securities”. On the other hands, fair value for performing loans to banks and customers is determined using the discounted cash flow model adjusted for credit risk. Some portfolios are valued according to simplified approaches, which however take into account the financial features of the financial instruments. Property, plant and equipment The fair value of under construction properties, obtained through the enforcement of guarantees received and the right of use of leased assets is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Financial liabilities at amortised cost Fair value for issued debt securities is determined using the discounted cash flow model adjusted for UniCredit credit risk. The Credit Spread takes seniority into account. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 621 UniCredit FundVA methodology is based on the following inputs: • positive and Negative exposure profiles derived leveraging on a risk-neutral spin-off of the counterparty credit risk internal model; • PD term structure implied by current market default rates obtained from credit default swaps; • a funding spread curve that is representative of the average funding spread of peer financial groups. As at 31 December 2021 the Fair Value Adjustment component (FundVA) reflected into P&L amounts to €5 million negative. Model risk Financial models are used for the valuation of the financial instruments if the direct market quotes are not deemed reliable. In general, the model risk is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the choice of model. It is possible to value the same financial instrument by using alternative models which could provide different results in term of pricing. The model risk adjustment refers to the risk that the actual fair value of the instrument differs from the value produced by the model. Close-out cost It measures the implicit cost of closing a trading position. The position can be closed by a long position (or purchase in the case of a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open position. The close-out costs are typically derived from the bid/ask spreads observed on the market. It accounts for the fact that a position is valued at mid but can only be closed at bid or ask. This adjustment is not needed when the position is marked at bid or ask and already represents an exit price. In addition, a close-out adjustment of the NAV is applied when there are some penalties relating to position write-off in an investment fund. Other adjustments Other fair value adjustments, which are not included in the previous categories, could be taken into consideration to align the evaluation to the current exit price, also according to the level of liquidity of the market and valuation parameters, e.g. adjustment of equity prices whose quotation on the market are not representative of the effective exit price. Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis Financial instrument not carried at fair value, for example retail loans and deposit, and credit facilities extended to corporate clients are not managed on a fair value basis. For these instruments fair value is calculated for disclosure purposes only and does not impact the balance sheet or the profit or loss. Additionally, since these instruments generally do not trade, there is significant management judgment required to determine their fair values as defined by IFRS13. Cash and cash balances Cash and cash balances are not carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. Financial assets at amortised cost For securities, fair value is determined according to what reported in section “Assets and liabilities measured at fair value on a recurring basis - Debt securities”. On the other hands, fair value for performing loans to banks and customers is determined using the discounted cash flow model adjusted for credit risk. Some portfolios are valued according to simplified approaches, which however take into account the financial features of the financial instruments. Property, plant and equipment The fair value of under construction properties, obtained through the enforcement of guarantees received and the right of use of leased assets is determined on the basis of a valuation by an independent appraiser who holds a recognised and relevant professional qualification which perform its valuation by directly visiting the property and in consideration of market analysis (i.e. full appraisal) or, always considering the market analysis, on the basis of an indirect knowledge of the assets through the information made available by the owner and relating to the localisation, consistency, destination (i.e. desktop appraisal). The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. In particular, given the current portfolio composition, most of the positions are at Level 3. Financial liabilities at amortised cost Fair value for issued debt securities is determined using the discounted cash flow model adjusted for UniCredit credit risk. The Credit Spread takes seniority into account. Company financial statements | Notes to the accounts Part A - Accounting policies 622 2021 Annual Report and Accounts · UniCredit Description of the valuation techniques Specific valuation techniques are used to value positions for which a market price is not directly observable from market sources. The Bank uses well known valuation techniques for determining fair values of financial and non-financial instruments that are not actively traded and quoted. The valuation techniques used for Level 2 and 3 assets and liabilities are described below. Option Pricing Model Option Pricing models are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return. Discounted cash flow Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument. The model requires the estimation of the cash flow and the adoption of market’s parameters for the discounting: discount rate or discount margin reflects the credit and/or funding spreads required by the market for instruments with similar risk and liquidity profiles to produce a “discounted value”. The fair value of the contract is given by the sum of the present values of future cash flows. Hazard Rate Model The valuation of CDS instruments (Credit Default Swap) requires the knowledge of the entity’s survival probability at future dates. The estimate of this probability curve uses the standard model for survival probabilities and requires as parameters the credit default swap market quotes on standard future dates in addition to the risk-free curve and the expected recovery rate. The hazard rate is part of the described process and it indicates the instantaneous probability of default at different future instants. Market Approach A valuation technique that uses prices generated by market transactions involving identical or comparable (i.e. similar) assets, liabilities or a group of assets and liabilities. Gordon Growth Model A model used to determine the intrinsic value of a stock, based on a strip of future cash flows growing at a constant rate. Given a single cash flow and a hypothesis on constant growth through time, the model estimates the present value of future cash flows. Dividend Discount Model A model used to determine the value of a stock based on expectations on its future dividend flow. Given a series of forecasts on dividends payable in future exercises and an hypothesis on the subsequent annual growth of dividends at a constant rate, the model estimates the fair value of a stock as the sum of the current value of all future dividends Adjusted NAV Net asset value is the total value of a fund’s assets less liabilities. An increase in net asset value would result in an increase in a fair value measure. Usually for funds classified as Level 3, NAV represents a risk free valuation, therefore in this case the NAV is adjusted so as to consider the issuer’s default risk. Description of the inputs used to measure the fair value of items categorised in Level 2 and 3 Hereby a description of the main significant inputs used to measure the fair value of items categorised in Level 2 and 3 of the fair value hierarchy. Volatility Volatility is the measure of the variation of price of a financial instrument over time. In particular, volatility measures the speed and severity of market price changes for an instrument, parameter or market index given the particular instrument, parameter or index changes in value over time, expressed as a percentage of relative change in price. The higher the volatility of the underlying, the riskier the instrument. In general, long option positions benefit from increases in volatility, whereas short option positions will suffer losses. There are different types of volatility: • volatility of interest rate; • inflation volatility; • volatility of foreign exchange; • volatility of equity stocks, equity or other indexes/prices. Company financial statements | Notes to the accounts Part A - Accounting policies 622 2021 Annual Report and Accounts · UniCredit Description of the valuation techniques Specific valuation techniques are used to value positions for which a market price is not directly observable from market sources. The Bank uses well known valuation techniques for determining fair values of financial and non-financial instruments that are not actively traded and quoted. The valuation techniques used for Level 2 and 3 assets and liabilities are described below. Option Pricing Model Option Pricing models are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return. Discounted cash flow Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument. The model requires the estimation of the cash flow and the adoption of market’s parameters for the discounting: discount rate or discount margin reflects the credit and/or funding spreads required by the market for instruments with similar risk and liquidity profiles to produce a “discounted value”. The fair value of the contract is given by the sum of the present values of future cash flows. Hazard Rate Model The valuation of CDS instruments (Credit Default Swap) requires the knowledge of the entity’s survival probability at future dates. The estimate of this probability curve uses the standard model for survival probabilities and requires as parameters the credit default swap market quotes on standard future dates in addition to the risk-free curve and the expected recovery rate. The hazard rate is part of the described process and it indicates the instantaneous probability of default at different future instants. Market Approach A valuation technique that uses prices generated by market transactions involving identical or comparable (i.e. similar) assets, liabilities or a group of assets and liabilities. Gordon Growth Model A model used to determine the intrinsic value of a stock, based on a strip of future cash flows growing at a constant rate. Given a single cash flow and a hypothesis on constant growth through time, the model estimates the present value of future cash flows. Dividend Discount Model A model used to determine the value of a stock based on expectations on its future dividend flow. Given a series of forecasts on dividends payable in future exercises and an hypothesis on the subsequent annual growth of dividends at a constant rate, the model estimates the fair value of a stock as the sum of the current value of all future dividends Adjusted NAV Net asset value is the total value of a fund’s assets less liabilities. An increase in net asset value would result in an increase in a fair value measure. Usually for funds classified as Level 3, NAV represents a risk free valuation, therefore in this case the NAV is adjusted so as to consider the issuer’s default risk. Description of the inputs used to measure the fair value of items categorised in Level 2 and 3 Hereby a description of the main significant inputs used to measure the fair value of items categorised in Level 2 and 3 of the fair value hierarchy. Volatility Volatility is the measure of the variation of price of a financial instrument over time. In particular, volatility measures the speed and severity of market price changes for an instrument, parameter or market index given the particular instrument, parameter or index changes in value over time, expressed as a percentage of relative change in price. The higher the volatility of the underlying, the riskier the instrument. In general, long option positions benefit from increases in volatility, whereas short option positions will suffer losses. There are different types of volatility: • volatility of interest rate; • inflation volatility; • volatility of foreign exchange; • volatility of equity stocks, equity or other indexes/prices. Company financial statements | Notes to the accounts Part A - Accounting policies 622 2021 Annual Report and Accounts · UniCredit Description of the valuation techniques Specific valuation techniques are used to value positions for which a market price is not directly observable from market sources. The Bank uses well known valuation techniques for determining fair values of financial and non-financial instruments that are not actively traded and quoted. The valuation techniques used for Level 2 and 3 assets and liabilities are described below. Option Pricing Model Option Pricing models are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return. Discounted cash flow Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument. The model requires the estimation of the cash flow and the adoption of market’s parameters for the discounting: discount rate or discount margin reflects the credit and/or funding spreads required by the market for instruments with similar risk and liquidity profiles to produce a “discounted value”. The fair value of the contract is given by the sum of the present values of future cash flows. Hazard Rate Model The valuation of CDS instruments (Credit Default Swap) requires the knowledge of the entity’s survival probability at future dates. The estimate of this probability curve uses the standard model for survival probabilities and requires as parameters the credit default swap market quotes on standard future dates in addition to the risk-free curve and the expected recovery rate. The hazard rate is part of the described process and it indicates the instantaneous probability of default at different future instants. Market Approach A valuation technique that uses prices generated by market transactions involving identical or comparable (i.e. similar) assets, liabilities or a group of assets and liabilities. Gordon Growth Model A model used to determine the intrinsic value of a stock, based on a strip of future cash flows growing at a constant rate. Given a single cash flow and a hypothesis on constant growth through time, the model estimates the present value of future cash flows. Dividend Discount Model A model used to determine the value of a stock based on expectations on its future dividend flow. Given a series of forecasts on dividends payable in future exercises and an hypothesis on the subsequent annual growth of dividends at a constant rate, the model estimates the fair value of a stock as the sum of the current value of all future dividends Adjusted NAV Net asset value is the total value of a fund’s assets less liabilities. An increase in net asset value would result in an increase in a fair value measure. Usually for funds classified as Level 3, NAV represents a risk free valuation, therefore in this case the NAV is adjusted so as to consider the issuer’s default risk. Description of the inputs used to measure the fair value of items categorised in Level 2 and 3 Hereby a description of the main significant inputs used to measure the fair value of items categorised in Level 2 and 3 of the fair value hierarchy. Volatility Volatility is the measure of the variation of price of a financial instrument over time. In particular, volatility measures the speed and severity of market price changes for an instrument, parameter or market index given the particular instrument, parameter or index changes in value over time, expressed as a percentage of relative change in price. The higher the volatility of the underlying, the riskier the instrument. In general, long option positions benefit from increases in volatility, whereas short option positions will suffer losses. There are different types of volatility: • volatility of interest rate; • inflation volatility; • volatility of foreign exchange; • volatility of equity stocks, equity or other indexes/prices. Company financial statements | Notes to the accounts Part A - Accounting policies 622 2021 Annual Report and Accounts · UniCredit Description of the valuation techniques Specific valuation techniques are used to value positions for which a market price is not directly observable from market sources. The Bank uses well known valuation techniques for determining fair values of financial and non-financial instruments that are not actively traded and quoted. The valuation techniques used for Level 2 and 3 assets and liabilities are described below. Option Pricing Model Option Pricing models are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return. Discounted cash flow Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument. The model requires the estimation of the cash flow and the adoption of market’s parameters for the discounting: discount rate or discount margin reflects the credit and/or funding spreads required by the market for instruments with similar risk and liquidity profiles to produce a “discounted value”. The fair value of the contract is given by the sum of the present values of future cash flows. Hazard Rate Model The valuation of CDS instruments (Credit Default Swap) requires the knowledge of the entity’s survival probability at future dates. The estimate of this probability curve uses the standard model for survival probabilities and requires as parameters the credit default swap market quotes on standard future dates in addition to the risk-free curve and the expected recovery rate. The hazard rate is part of the described process and it indicates the instantaneous probability of default at different future instants. Market Approach A valuation technique that uses prices generated by market transactions involving identical or comparable (i.e. similar) assets, liabilities or a group of assets and liabilities. Gordon Growth Model A model used to determine the intrinsic value of a stock, based on a strip of future cash flows growing at a constant rate. Given a single cash flow and a hypothesis on constant growth through time, the model estimates the present value of future cash flows. Dividend Discount Model A model used to determine the value of a stock based on expectations on its future dividend flow. Given a series of forecasts on dividends payable in future exercises and an hypothesis on the subsequent annual growth of dividends at a constant rate, the model estimates the fair value of a stock as the sum of the current value of all future dividends Adjusted NAV Net asset value is the total value of a fund’s assets less liabilities. An increase in net asset value would result in an increase in a fair value measure. Usually for funds classified as Level 3, NAV represents a risk free valuation, therefore in this case the NAV is adjusted so as to consider the issuer’s default risk. Description of the inputs used to measure the fair value of items categorised in Level 2 and 3 Hereby a description of the main significant inputs used to measure the fair value of items categorised in Level 2 and 3 of the fair value hierarchy. Volatility Volatility is the measure of the variation of price of a financial instrument over time. In particular, volatility measures the speed and severity of market price changes for an instrument, parameter or market index given the particular instrument, parameter or index changes in value over time, expressed as a percentage of relative change in price. The higher the volatility of the underlying, the riskier the instrument. In general, long option positions benefit from increases in volatility, whereas short option positions will suffer losses. There are different types of volatility: • volatility of interest rate; • inflation volatility; • volatility of foreign exchange; • volatility of equity stocks, equity or other indexes/prices. Company financial statements | Notes to the accounts Part A - Accounting policies 622 2021 Annual Report and Accounts · UniCredit Description of the valuation techniques Specific valuation techniques are used to value positions for which a market price is not directly observable from market sources. The Bank uses well known valuation techniques for determining fair values of financial and non-financial instruments that are not actively traded and quoted. The valuation techniques used for Level 2 and 3 assets and liabilities are described below. Option Pricing Model Option Pricing models are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return. Discounted cash flow Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument. The model requires the estimation of the cash flow and the adoption of market’s parameters for the discounting: discount rate or discount margin reflects the credit and/or funding spreads required by the market for instruments with similar risk and liquidity profiles to produce a “discounted value”. The fair value of the contract is given by the sum of the present values of future cash flows. Hazard Rate Model The valuation of CDS instruments (Credit Default Swap) requires the knowledge of the entity’s survival probability at future dates. The estimate of this probability curve uses the standard model for survival probabilities and requires as parameters the credit default swap market quotes on standard future dates in addition to the risk-free curve and the expected recovery rate. The hazard rate is part of the described process and it indicates the instantaneous probability of default at different future instants. Market Approach A valuation technique that uses prices generated by market transactions involving identical or comparable (i.e. similar) assets, liabilities or a group of assets and liabilities. Gordon Growth Model A model used to determine the intrinsic value of a stock, based on a strip of future cash flows growing at a constant rate. Given a single cash flow and a hypothesis on constant growth through time, the model estimates the present value of future cash flows. Dividend Discount Model A model used to determine the value of a stock based on expectations on its future dividend flow. Given a series of forecasts on dividends payable in future exercises and an hypothesis on the subsequent annual growth of dividends at a constant rate, the model estimates the fair value of a stock as the sum of the current value of all future dividends Adjusted NAV Net asset value is the total value of a fund’s assets less liabilities. An increase in net asset value would result in an increase in a fair value measure. Usually for funds classified as Level 3, NAV represents a risk free valuation, therefore in this case the NAV is adjusted so as to consider the issuer’s default risk. Description of the inputs used to measure the fair value of items categorised in Level 2 and 3 Hereby a description of the main significant inputs used to measure the fair value of items categorised in Level 2 and 3 of the fair value hierarchy. Volatility Volatility is the measure of the variation of price of a financial instrument over time. In particular, volatility measures the speed and severity of market price changes for an instrument, parameter or market index given the particular instrument, parameter or index changes in value over time, expressed as a percentage of relative change in price. The higher the volatility of the underlying, the riskier the instrument. In general, long option positions benefit from increases in volatility, whereas short option positions will suffer losses. There are different types of volatility: • volatility of interest rate; • inflation volatility; • volatility of foreign exchange; • volatility of equity stocks, equity or other indexes/prices. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 623 Correlation Correlation is a measure of the relationship between the movements of two variables. When parameters are positively correlated, an increase in correlation results in a higher fair value measure. On the contrary, given a short correlation position, an increase in correlation, in isolation, would generally result in a decrease in a fair value measure. Therefore, changes in correlation levels can have a major impact, favourable or unfavourable, on the fair value of an instrument, depending on the type of correlation. Correlation is a pricing input for a derivative product where the payoff is driven by multiple underlying risks. The level of correlation used in the valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks. Dividends The derivation of a forward price for an individual stock or index is important both for measuring fair value for forward or swap contracts and for measuring fair value using option pricing models. The relationship between the current stock price and the forward price is based on a combination of expected future dividend levels and payment timings and, to a lesser extent, the relevant funding rates applicable to the stock in question. The dividend yield and timing represent the most significant parameter in determining fair value for instruments that are sensitive to an equity forward price. Interest rate curve The calculation of the interest rate curve is based on standard bootstrapping techniques relying on the set of quotes of appropriate financial instruments, for each currency, which turns interest rates in zero-coupon. Less liquid currencies interest rate curves refer to the rates in currencies for which a market liquidity doesn’t exist in terms of tightness, depth and resiliency. Inflation swap rate The determination of forward levels for inflation indexes is based on swap quote over inflation indexes. Swap over inflation may present a low liquidity level whether there is no liquid market in terms of rigidity, deepness and resistance. Credit spreads Credit spreads reflects the credit quality of the associated credit name. The credit spread of a particular security is reported in relation to the yield on a benchmark security or reference rate and is generally expressed in terms of basis points. In the loan evaluation model, the credit spread is used to estimate the market risk premium applied to discounting the cash-flows Loss Given Default (“LGD”)/Recovery Rate LGD also known as loss severity (the inverse concept is the recovery rate) represents the percentage of contractual cash flows lost in the event of a default, expressed as the net amount of loss relating to the outstanding balance. An increase in the loss severity, in isolation, would result in a decrease in a fair value measure. Loss given default is facility-specific because such losses are generally understood to be influenced by key transaction characteristics such as the presence of collateral and the degree of subordination. Price Where market prices are not observable, comparison via proxy is used to measure a fair value of the instrument. Prepayment Rate (“PR”) The PR is the estimated rate at which forecasted prepayments of principal of the related debt instrument are expected to occur. Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. In general, as prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending on the nature of the security and the direction of the change in the weighted average life. Probability of Default (“PD”) The probability of default is an estimate of the likelihood of not collecting contractual amounts. It provides an estimate of the likelihood that a client of a financial institution will be unable to meet its debt obligations over a particular time horizon. The PD of an obligor does not only depend on the risk characteristics of that particular obligor but also the economic environment and the degree to which it affects the obligor. Early conversion The early conversion is the estimate of the probability that the liability would be converted into equity earlier than the terms stated. EBITDA EBITDA is an indicator of the current operating profitability of the business, that is the income generated by the use of the company’s assets and the commercialisation of the products manufactured. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 623 Correlation Correlation is a measure of the relationship between the movements of two variables. When parameters are positively correlated, an increase in correlation results in a higher fair value measure. On the contrary, given a short correlation position, an increase in correlation, in isolation, would generally result in a decrease in a fair value measure. Therefore, changes in correlation levels can have a major impact, favourable or unfavourable, on the fair value of an instrument, depending on the type of correlation. Correlation is a pricing input for a derivative product where the payoff is driven by multiple underlying risks. The level of correlation used in the valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks. Dividends The derivation of a forward price for an individual stock or index is important both for measuring fair value for forward or swap contracts and for measuring fair value using option pricing models. The relationship between the current stock price and the forward price is based on a combination of expected future dividend levels and payment timings and, to a lesser extent, the relevant funding rates applicable to the stock in question. The dividend yield and timing represent the most significant parameter in determining fair value for instruments that are sensitive to an equity forward price. Interest rate curve The calculation of the interest rate curve is based on standard bootstrapping techniques relying on the set of quotes of appropriate financial instruments, for each currency, which turns interest rates in zero-coupon. Less liquid currencies interest rate curves refer to the rates in currencies for which a market liquidity doesn’t exist in terms of tightness, depth and resiliency. Inflation swap rate The determination of forward levels for inflation indexes is based on swap quote over inflation indexes. Swap over inflation may present a low liquidity level whether there is no liquid market in terms of rigidity, deepness and resistance. Credit spreads Credit spreads reflects the credit quality of the associated credit name. The credit spread of a particular security is reported in relation to the yield on a benchmark security or reference rate and is generally expressed in terms of basis points. In the loan evaluation model, the credit spread is used to estimate the market risk premium applied to discounting the cash-flows Loss Given Default (“LGD”)/Recovery Rate LGD also known as loss severity (the inverse concept is the recovery rate) represents the percentage of contractual cash flows lost in the event of a default, expressed as the net amount of loss relating to the outstanding balance. An increase in the loss severity, in isolation, would result in a decrease in a fair value measure. Loss given default is facility-specific because such losses are generally understood to be influenced by key transaction characteristics such as the presence of collateral and the degree of subordination. Price Where market prices are not observable, comparison via proxy is used to measure a fair value of the instrument. Prepayment Rate (“PR”) The PR is the estimated rate at which forecasted prepayments of principal of the related debt instrument are expected to occur. Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. In general, as prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending on the nature of the security and the direction of the change in the weighted average life. Probability of Default (“PD”) The probability of default is an estimate of the likelihood of not collecting contractual amounts. It provides an estimate of the likelihood that a client of a financial institution will be unable to meet its debt obligations over a particular time horizon. The PD of an obligor does not only depend on the risk characteristics of that particular obligor but also the economic environment and the degree to which it affects the obligor. Early conversion The early conversion is the estimate of the probability that the liability would be converted into equity earlier than the terms stated. EBITDA EBITDA is an indicator of the current operating profitability of the business, that is the income generated by the use of the company’s assets and the commercialisation of the products manufactured. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 623 Correlation Correlation is a measure of the relationship between the movements of two variables. When parameters are positively correlated, an increase in correlation results in a higher fair value measure. On the contrary, given a short correlation position, an increase in correlation, in isolation, would generally result in a decrease in a fair value measure. Therefore, changes in correlation levels can have a major impact, favourable or unfavourable, on the fair value of an instrument, depending on the type of correlation. Correlation is a pricing input for a derivative product where the payoff is driven by multiple underlying risks. The level of correlation used in the valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks. Dividends The derivation of a forward price for an individual stock or index is important both for measuring fair value for forward or swap contracts and for measuring fair value using option pricing models. The relationship between the current stock price and the forward price is based on a combination of expected future dividend levels and payment timings and, to a lesser extent, the relevant funding rates applicable to the stock in question. The dividend yield and timing represent the most significant parameter in determining fair value for instruments that are sensitive to an equity forward price. Interest rate curve The calculation of the interest rate curve is based on standard bootstrapping techniques relying on the set of quotes of appropriate financial instruments, for each currency, which turns interest rates in zero-coupon. Less liquid currencies interest rate curves refer to the rates in currencies for which a market liquidity doesn’t exist in terms of tightness, depth and resiliency. Inflation swap rate The determination of forward levels for inflation indexes is based on swap quote over inflation indexes. Swap over inflation may present a low liquidity level whether there is no liquid market in terms of rigidity, deepness and resistance. Credit spreads Credit spreads reflects the credit quality of the associated credit name. The credit spread of a particular security is reported in relation to the yield on a benchmark security or reference rate and is generally expressed in terms of basis points. In the loan evaluation model, the credit spread is used to estimate the market risk premium applied to discounting the cash-flows Loss Given Default (“LGD”)/Recovery Rate LGD also known as loss severity (the inverse concept is the recovery rate) represents the percentage of contractual cash flows lost in the event of a default, expressed as the net amount of loss relating to the outstanding balance. An increase in the loss severity, in isolation, would result in a decrease in a fair value measure. Loss given default is facility-specific because such losses are generally understood to be influenced by key transaction characteristics such as the presence of collateral and the degree of subordination. Price Where market prices are not observable, comparison via proxy is used to measure a fair value of the instrument. Prepayment Rate (“PR”) The PR is the estimated rate at which forecasted prepayments of principal of the related debt instrument are expected to occur. Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. In general, as prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending on the nature of the security and the direction of the change in the weighted average life. Probability of Default (“PD”) The probability of default is an estimate of the likelihood of not collecting contractual amounts. It provides an estimate of the likelihood that a client of a financial institution will be unable to meet its debt obligations over a particular time horizon. The PD of an obligor does not only depend on the risk characteristics of that particular obligor but also the economic environment and the degree to which it affects the obligor. Early conversion The early conversion is the estimate of the probability that the liability would be converted into equity earlier than the terms stated. EBITDA EBITDA is an indicator of the current operating profitability of the business, that is the income generated by the use of the company’s assets and the commercialisation of the products manufactured. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 623 Correlation Correlation is a measure of the relationship between the movements of two variables. When parameters are positively correlated, an increase in correlation results in a higher fair value measure. On the contrary, given a short correlation position, an increase in correlation, in isolation, would generally result in a decrease in a fair value measure. Therefore, changes in correlation levels can have a major impact, favourable or unfavourable, on the fair value of an instrument, depending on the type of correlation. Correlation is a pricing input for a derivative product where the payoff is driven by multiple underlying risks. The level of correlation used in the valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks. Dividends The derivation of a forward price for an individual stock or index is important both for measuring fair value for forward or swap contracts and for measuring fair value using option pricing models. The relationship between the current stock price and the forward price is based on a combination of expected future dividend levels and payment timings and, to a lesser extent, the relevant funding rates applicable to the stock in question. The dividend yield and timing represent the most significant parameter in determining fair value for instruments that are sensitive to an equity forward price. Interest rate curve The calculation of the interest rate curve is based on standard bootstrapping techniques relying on the set of quotes of appropriate financial instruments, for each currency, which turns interest rates in zero-coupon. Less liquid currencies interest rate curves refer to the rates in currencies for which a market liquidity doesn’t exist in terms of tightness, depth and resiliency. Inflation swap rate The determination of forward levels for inflation indexes is based on swap quote over inflation indexes. Swap over inflation may present a low liquidity level whether there is no liquid market in terms of rigidity, deepness and resistance. Credit spreads Credit spreads reflects the credit quality of the associated credit name. The credit spread of a particular security is reported in relation to the yield on a benchmark security or reference rate and is generally expressed in terms of basis points. In the loan evaluation model, the credit spread is used to estimate the market risk premium applied to discounting the cash-flows Loss Given Default (“LGD”)/Recovery Rate LGD also known as loss severity (the inverse concept is the recovery rate) represents the percentage of contractual cash flows lost in the event of a default, expressed as the net amount of loss relating to the outstanding balance. An increase in the loss severity, in isolation, would result in a decrease in a fair value measure. Loss given default is facility-specific because such losses are generally understood to be influenced by key transaction characteristics such as the presence of collateral and the degree of subordination. Price Where market prices are not observable, comparison via proxy is used to measure a fair value of the instrument. Prepayment Rate (“PR”) The PR is the estimated rate at which forecasted prepayments of principal of the related debt instrument are expected to occur. Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. In general, as prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending on the nature of the security and the direction of the change in the weighted average life. Probability of Default (“PD”) The probability of default is an estimate of the likelihood of not collecting contractual amounts. It provides an estimate of the likelihood that a client of a financial institution will be unable to meet its debt obligations over a particular time horizon. The PD of an obligor does not only depend on the risk characteristics of that particular obligor but also the economic environment and the degree to which it affects the obligor. Early conversion The early conversion is the estimate of the probability that the liability would be converted into equity earlier than the terms stated. EBITDA EBITDA is an indicator of the current operating profitability of the business, that is the income generated by the use of the company’s assets and the commercialisation of the products manufactured. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 623 Correlation Correlation is a measure of the relationship between the movements of two variables. When parameters are positively correlated, an increase in correlation results in a higher fair value measure. On the contrary, given a short correlation position, an increase in correlation, in isolation, would generally result in a decrease in a fair value measure. Therefore, changes in correlation levels can have a major impact, favourable or unfavourable, on the fair value of an instrument, depending on the type of correlation. Correlation is a pricing input for a derivative product where the payoff is driven by multiple underlying risks. The level of correlation used in the valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks. Dividends The derivation of a forward price for an individual stock or index is important both for measuring fair value for forward or swap contracts and for measuring fair value using option pricing models. The relationship between the current stock price and the forward price is based on a combination of expected future dividend levels and payment timings and, to a lesser extent, the relevant funding rates applicable to the stock in question. The dividend yield and timing represent the most significant parameter in determining fair value for instruments that are sensitive to an equity forward price. Interest rate curve The calculation of the interest rate curve is based on standard bootstrapping techniques relying on the set of quotes of appropriate financial instruments, for each currency, which turns interest rates in zero-coupon. Less liquid currencies interest rate curves refer to the rates in currencies for which a market liquidity doesn’t exist in terms of tightness, depth and resiliency. Inflation swap rate The determination of forward levels for inflation indexes is based on swap quote over inflation indexes. Swap over inflation may present a low liquidity level whether there is no liquid market in terms of rigidity, deepness and resistance. Credit spreads Credit spreads reflects the credit quality of the associated credit name. The credit spread of a particular security is reported in relation to the yield on a benchmark security or reference rate and is generally expressed in terms of basis points. In the loan evaluation model, the credit spread is used to estimate the market risk premium applied to discounting the cash-flows Loss Given Default (“LGD”)/Recovery Rate LGD also known as loss severity (the inverse concept is the recovery rate) represents the percentage of contractual cash flows lost in the event of a default, expressed as the net amount of loss relating to the outstanding balance. An increase in the loss severity, in isolation, would result in a decrease in a fair value measure. Loss given default is facility-specific because such losses are generally understood to be influenced by key transaction characteristics such as the presence of collateral and the degree of subordination. Price Where market prices are not observable, comparison via proxy is used to measure a fair value of the instrument. Prepayment Rate (“PR”) The PR is the estimated rate at which forecasted prepayments of principal of the related debt instrument are expected to occur. Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. In general, as prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending on the nature of the security and the direction of the change in the weighted average life. Probability of Default (“PD”) The probability of default is an estimate of the likelihood of not collecting contractual amounts. It provides an estimate of the likelihood that a client of a financial institution will be unable to meet its debt obligations over a particular time horizon. The PD of an obligor does not only depend on the risk characteristics of that particular obligor but also the economic environment and the degree to which it affects the obligor. Early conversion The early conversion is the estimate of the probability that the liability would be converted into equity earlier than the terms stated. EBITDA EBITDA is an indicator of the current operating profitability of the business, that is the income generated by the use of the company’s assets and the commercialisation of the products manufactured. Company financial statements | Notes to the accounts Part A - Accounting policies 624 2021 Annual Report and Accounts · UniCredit Ke The Ke (cost of capital) represents the minimum rate that the company has to offer to its shareholders as remuneration for the funds received. Growth rate It is the constant growth rate used for the future dividends estimate. Quantitative information on significant unobservable inputs used in the fair value measurement: accounting portfolios measured at fair value categorised as Level 3 The following table shows the relevant unobservable parameters for the valuation of financial instruments classified at fair value level 3 according to the IFRS13 definition. (€ million) PRODUCT CATEGORIES FAIR VALUE ASSETS FAIR VALUE LIABILITIES VALUATION TECHNIQUES UNOBSERVABLE PARAMETERS UNCERTAINTY RANGES Derivatives Financial Foreign Exchange 17 3 Option Pricing Model Volatility 0% 66% Discounted Cash Flows Interest rate (bps) 0 141 Interest Rate 40 170 Discounted Cash Flows Swap Rate (bps) 0 141 Inflation Swap Rate (bps) 3 12 Equity & commodities 138 52 Option Pricing Model Volatility 3% 15% Correlation 2% 29% Credit 0 0 Hazard Rate Model Credit Spread (bps) 1 29 Recovery rate 0% 5% Debt Securities and Loans Corporate/Government/Other 140 257 Market Approach Credit Spread (bps) 1 100 Mortgage & Asset Backed Securities 1,192 0 Discounted Cash Flows Credit Spread (bps) 30 1835 Recovery rate 0% 27% Default Rate 0% 1% Prepayment Rate 0% 6% Equity Securities Unlisted Equity & Holdings 1,138 0 Market Approach Price (% of used value) 0% 4% Gordon Growth ModelKe 8% 12% Growth Rate 1% 4% Units in Investment Funds Real Estate & Other Funds 1,541 0 Adjusted Nav PD 1% 30% LGD 35% 60% A.4.2 Valuations processes and sensitivities The Bank verifies that the value attributed to each position reflects the current fair value in an appropriate way. Assets and liabilities subject to fair value measurements are determined using different techniques, among which (but not only) models such as discounted cash flow and internal models. On the basis of the observability of the input used, all the measurements are classified as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a financial instrument, measured at fair value, is valued through the use of one or more significant inputs not directly observable on the market, a further procedure for the price verification is implemented. These procedures include the revision of relevant historical data, the analysis of profits and losses, the individual valuation of each component for structural products and benchmarking. This approach uses subjective opinions and judgments based on experience and, therefore, it could require valuation adjustments which take into account the bid/ask spread, liquidity and counterparty risk, in addition to the valuation model type adopted. According to Group Market Risk Governance guidelines, in order to ensure the right separateness of the functions in charge of the model development and those in charge of the validation processes, all the valuation models developed by Bank companies’ front offices are independently tested centrally and validated by Risk Management functions. Company financial statements | Notes to the accounts Part A - Accounting policies 624 2021 Annual Report and Accounts · UniCredit Ke The Ke (cost of capital) represents the minimum rate that the company has to offer to its shareholders as remuneration for the funds received. Growth rate It is the constant growth rate used for the future dividends estimate. Quantitative information on significant unobservable inputs used in the fair value measurement: accounting portfolios measured at fair value categorised as Level 3 The following table shows the relevant unobservable parameters for the valuation of financial instruments classified at fair value level 3 according to the IFRS13 definition. (€ million) PRODUCT CATEGORIES FAIR VALUE ASSETS FAIR VALUE LIABILITIES VALUATION TECHNIQUES UNOBSERVABLE PARAMETERS UNCERTAINTY RANGES Derivatives Financial Foreign Exchange 17 3 Option Pricing Model Volatility 0% 66% Discounted Cash Flows Interest rate (bps) 0 141 Interest Rate 40 170 Discounted Cash Flows Swap Rate (bps) 0 141 Inflation Swap Rate (bps) 3 12 Equity & commodities 138 52 Option Pricing Model Volatility 3% 15% Correlation 2% 29% Credit 0 0 Hazard Rate Model Credit Spread (bps) 1 29 Recovery rate 0% 5% Debt Securities and Loans Corporate/Government/Other 140 257 Market Approach Credit Spread (bps) 1 100 Mortgage & Asset Backed Securities 1,192 0 Discounted Cash Flows Credit Spread (bps) 30 1835 Recovery rate 0% 27% Default Rate 0% 1% Prepayment Rate 0% 6% Equity Securities Unlisted Equity & Holdings 1,138 0 Market Approach Price (% of used value) 0% 4% Gordon Growth ModelKe 8% 12% Growth Rate 1% 4% Units in Investment Funds Real Estate & Other Funds 1,541 0 Adjusted Nav PD 1% 30% LGD 35% 60% A.4.2 Valuations processes and sensitivities The Bank verifies that the value attributed to each position reflects the current fair value in an appropriate way. Assets and liabilities subject to fair value measurements are determined using different techniques, among which (but not only) models such as discounted cash flow and internal models. On the basis of the observability of the input used, all the measurements are classified as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a financial instrument, measured at fair value, is valued through the use of one or more significant inputs not directly observable on the market, a further procedure for the price verification is implemented. These procedures include the revision of relevant historical data, the analysis of profits and losses, the individual valuation of each component for structural products and benchmarking. This approach uses subjective opinions and judgments based on experience and, therefore, it could require valuation adjustments which take into account the bid/ask spread, liquidity and counterparty risk, in addition to the valuation model type adopted. According to Group Market Risk Governance guidelines, in order to ensure the right separateness of the functions in charge of the model development and those in charge of the validation processes, all the valuation models developed by Bank companies’ front offices are independently tested centrally and validated by Risk Management functions. Company financial statements | Notes to the accounts Part A - Accounting policies 624 2021 Annual Report and Accounts · UniCredit Ke The Ke (cost of capital) represents the minimum rate that the company has to offer to its shareholders as remuneration for the funds received. Growth rate It is the constant growth rate used for the future dividends estimate. Quantitative information on significant unobservable inputs used in the fair value measurement: accounting portfolios measured at fair value categorised as Level 3 The following table shows the relevant unobservable parameters for the valuation of financial instruments classified at fair value level 3 according to the IFRS13 definition. (€ million) PRODUCT CATEGORIES FAIR VALUE ASSETS FAIR VALUE LIABILITIES VALUATION TECHNIQUES UNOBSERVABLE PARAMETERS UNCERTAINTY RANGES Derivatives Financial Foreign Exchange 17 3 Option Pricing Model Volatility 0% 66% Discounted Cash Flows Interest rate (bps) 0 141 Interest Rate 40 170 Discounted Cash Flows Swap Rate (bps) 0 141 Inflation Swap Rate (bps) 3 12 Equity & commodities 138 52 Option Pricing Model Volatility 3% 15% Correlation 2% 29% Credit 0 0 Hazard Rate Model Credit Spread (bps) 1 29 Recovery rate 0% 5% Debt Securities and Loans Corporate/Government/Other 140 257 Market Approach Credit Spread (bps) 1 100 Mortgage & Asset Backed Securities 1,192 0 Discounted Cash Flows Credit Spread (bps) 30 1835 Recovery rate 0% 27% Default Rate 0% 1% Prepayment Rate 0% 6% Equity Securities Unlisted Equity & Holdings 1,138 0 Market Approach Price (% of used value) 0% 4% Gordon Growth ModelKe 8% 12% Growth Rate 1% 4% Units in Investment Funds Real Estate & Other Funds 1,541 0 Adjusted Nav PD 1% 30% LGD 35% 60% A.4.2 Valuations processes and sensitivities The Bank verifies that the value attributed to each position reflects the current fair value in an appropriate way. Assets and liabilities subject to fair value measurements are determined using different techniques, among which (but not only) models such as discounted cash flow and internal models. On the basis of the observability of the input used, all the measurements are classified as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a financial instrument, measured at fair value, is valued through the use of one or more significant inputs not directly observable on the market, a further procedure for the price verification is implemented. These procedures include the revision of relevant historical data, the analysis of profits and losses, the individual valuation of each component for structural products and benchmarking. This approach uses subjective opinions and judgments based on experience and, therefore, it could require valuation adjustments which take into account the bid/ask spread, liquidity and counterparty risk, in addition to the valuation model type adopted. According to Group Market Risk Governance guidelines, in order to ensure the right separateness of the functions in charge of the model development and those in charge of the validation processes, all the valuation models developed by Bank companies’ front offices are independently tested centrally and validated by Risk Management functions. Company financial statements | Notes to the accounts Part A - Accounting policies 624 2021 Annual Report and Accounts · UniCredit Ke The Ke (cost of capital) represents the minimum rate that the company has to offer to its shareholders as remuneration for the funds received. Growth rate It is the constant growth rate used for the future dividends estimate. Quantitative information on significant unobservable inputs used in the fair value measurement: accounting portfolios measured at fair value categorised as Level 3 The following table shows the relevant unobservable parameters for the valuation of financial instruments classified at fair value level 3 according to the IFRS13 definition. (€ million) PRODUCT CATEGORIES FAIR VALUE ASSETS FAIR VALUE LIABILITIES VALUATION TECHNIQUES UNOBSERVABLE PARAMETERS UNCERTAINTY RANGES Derivatives Financial Foreign Exchange 17 3 Option Pricing Model Volatility 0% 66% Discounted Cash Flows Interest rate (bps) 0 141 Interest Rate 40 170 Discounted Cash Flows Swap Rate (bps) 0 141 Inflation Swap Rate (bps) 3 12 Equity & commodities 138 52 Option Pricing Model Volatility 3% 15% Correlation 2% 29% Credit 0 0 Hazard Rate Model Credit Spread (bps) 1 29 Recovery rate 0% 5% Debt Securities and Loans Corporate/Government/Other 140 257 Market Approach Credit Spread (bps) 1 100 Mortgage & Asset Backed Securities 1,192 0 Discounted Cash Flows Credit Spread (bps) 30 1835 Recovery rate 0% 27% Default Rate 0% 1% Prepayment Rate 0% 6% Equity Securities Unlisted Equity & Holdings 1,138 0 Market Approach Price (% of used value) 0% 4% Gordon Growth ModelKe 8% 12% Growth Rate 1% 4% Units in Investment Funds Real Estate & Other Funds 1,541 0 Adjusted Nav PD 1% 30% LGD 35% 60% A.4.2 Valuations processes and sensitivities The Bank verifies that the value attributed to each position reflects the current fair value in an appropriate way. Assets and liabilities subject to fair value measurements are determined using different techniques, among which (but not only) models such as discounted cash flow and internal models. On the basis of the observability of the input used, all the measurements are classified as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a financial instrument, measured at fair value, is valued through the use of one or more significant inputs not directly observable on the market, a further procedure for the price verification is implemented. These procedures include the revision of relevant historical data, the analysis of profits and losses, the individual valuation of each component for structural products and benchmarking. This approach uses subjective opinions and judgments based on experience and, therefore, it could require valuation adjustments which take into account the bid/ask spread, liquidity and counterparty risk, in addition to the valuation model type adopted. According to Group Market Risk Governance guidelines, in order to ensure the right separateness of the functions in charge of the model development and those in charge of the validation processes, all the valuation models developed by Bank companies’ front offices are independently tested centrally and validated by Risk Management functions. Company financial statements | Notes to the accounts Part A - Accounting policies 624 2021 Annual Report and Accounts · UniCredit Ke The Ke (cost of capital) represents the minimum rate that the company has to offer to its shareholders as remuneration for the funds received. Growth rate It is the constant growth rate used for the future dividends estimate. Quantitative information on significant unobservable inputs used in the fair value measurement: accounting portfolios measured at fair value categorised as Level 3 The following table shows the relevant unobservable parameters for the valuation of financial instruments classified at fair value level 3 according to the IFRS13 definition. (€ million) PRODUCT CATEGORIES FAIR VALUE ASSETS FAIR VALUE LIABILITIES VALUATION TECHNIQUES UNOBSERVABLE PARAMETERS UNCERTAINTY RANGES Derivatives Financial Foreign Exchange 17 3 Option Pricing Model Volatility 0% 66% Discounted Cash Flows Interest rate (bps) 0 141 Interest Rate 40 170 Discounted Cash Flows Swap Rate (bps) 0 141 Inflation Swap Rate (bps) 3 12 Equity & commodities 138 52 Option Pricing Model Volatility 3% 15% Correlation 2% 29% Credit 0 0 Hazard Rate Model Credit Spread (bps) 1 29 Recovery rate 0% 5% Debt Securities and Loans Corporate/Government/Other 140 257 Market Approach Credit Spread (bps) 1 100 Mortgage & Asset Backed Securities 1,192 0 Discounted Cash Flows Credit Spread (bps) 30 1835 Recovery rate 0% 27% Default Rate 0% 1% Prepayment Rate 0% 6% Equity Securities Unlisted Equity & Holdings 1,138 0 Market Approach Price (% of used value) 0% 4% Gordon Growth ModelKe 8% 12% Growth Rate 1% 4% Units in Investment Funds Real Estate & Other Funds 1,541 0 Adjusted Nav PD 1% 30% LGD 35% 60% A.4.2 Valuations processes and sensitivities The Bank verifies that the value attributed to each position reflects the current fair value in an appropriate way. Assets and liabilities subject to fair value measurements are determined using different techniques, among which (but not only) models such as discounted cash flow and internal models. On the basis of the observability of the input used, all the measurements are classified as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a financial instrument, measured at fair value, is valued through the use of one or more significant inputs not directly observable on the market, a further procedure for the price verification is implemented. These procedures include the revision of relevant historical data, the analysis of profits and losses, the individual valuation of each component for structural products and benchmarking. This approach uses subjective opinions and judgments based on experience and, therefore, it could require valuation adjustments which take into account the bid/ask spread, liquidity and counterparty risk, in addition to the valuation model type adopted. According to Group Market Risk Governance guidelines, in order to ensure the right separateness of the functions in charge of the model development and those in charge of the validation processes, all the valuation models developed by Bank companies’ front offices are independently tested centrally and validated by Risk Management functions. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 625 The aim of this independent control structure is evaluating the model risk from a theoretical solidity, calibration techniques eventually applied and appropriateness of the model for a specific product in a defined market point of views. In addition to the daily mark-to-market or mark-to-model valuation, the Independent Price Verification (“IPV”) is applied by from Market Risk function with the aim of guaranteeing a fair value provided by an independent structure for all instruments, illiquid included. Fair value sensitivity to variations in unobservable inputs used in the fair value computation for instruments categorised as Level 3 The sensitivities to change in the unobservable parameter for the different financial instrument categories of level 3 valued at fair value are presented in the table below as change of corresponding relevant parameters: • for derivatives on equities and commodities: 1% absolute of volatility, 10% relative of dividend, 1% absolute of correlation and 10% relative of volatility skew; • for foreign exchanges: 1% absolute of underlying volatility; • for interest rate derivatives: 1 basis point absolute of rates curves and volatilities or 1% absolute of swaption volatilities; • for credit derivatives: 1 basis point absolute of credit spread or, if Level 3 attribution for a derivative is due to counterparty classification as not performing, the CVA impact of a 5% absolute shift of the recovery rate; • for debt securities: 1 basis point absolute of credit spread; • for equities: 1% of the underlying; • for Units in Investment Funds quotes: 5 basis points absolute shift in PD and LGD, if evaluated leveraging on models considering counterparty credit risk as main risk factor, otherwise 1% of fair value. (€ million) PRODUCT CATEGORIES FAIR VALUE MOVEMENTS Derivatives Financial Equities & Commodities +/- 6.37 Foreign Exchange +/- - Interest Rate +/- - Credit +/- 3.17 Debt Securities and Loans Corporate/Government/Other +/- 0.03 Mortgage & Asset Backed Securities +/- 0.34 Equity Securities Unlisted Equity & Holdings +/- 11.38 Units in investment funds Real Estate & Other Funds +/- 0.17 Within the unlisted Level 3 Units in Investment Funds, measured using a model, the shares in Atlante and Italian Recovery Fund, former Atlante II, (€327 million at 31 December 2021) are classified and, within Equity Securities, the investments in the Voluntary Scheme (as at 31 December 2021 equal to €2 million). For further information, please refer to Part B - Section 2 - Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value. Amongst the financial instruments subject of valuation methods and sensitivity analysis, there are also included ABS issued by securitisation vehicles as per Italian law 130/99 where the Bank is both originator and underwriter of some issues and quotes of open investment funds acquired through credit disposal. A.4.3 Fair value hierarchy IFRS13 establishes a fair value hierarchy according to the observability of the input used in the valuation techniques adopted for valuations. The fair value hierarchy level associated to assets and liabilities is set as the minimum level among all the significant valuation inputs used. A valuation input is not considered significant for the fair value of an instrument if the remaining inputs are able to explain the major part of the fair value variance itself. In particular, three levels are considered: • Level 1: the fair value for instruments classified within this level is determined according to the quoted prices on active markets; • Level 2: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are observable on active markets; • Level 3: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are unobservable on active markets. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 625 The aim of this independent control structure is evaluating the model risk from a theoretical solidity, calibration techniques eventually applied and appropriateness of the model for a specific product in a defined market point of views. In addition to the daily mark-to-market or mark-to-model valuation, the Independent Price Verification (“IPV”) is applied by from Market Risk function with the aim of guaranteeing a fair value provided by an independent structure for all instruments, illiquid included. Fair value sensitivity to variations in unobservable inputs used in the fair value computation for instruments categorised as Level 3 The sensitivities to change in the unobservable parameter for the different financial instrument categories of level 3 valued at fair value are presented in the table below as change of corresponding relevant parameters: • for derivatives on equities and commodities: 1% absolute of volatility, 10% relative of dividend, 1% absolute of correlation and 10% relative of volatility skew; • for foreign exchanges: 1% absolute of underlying volatility; • for interest rate derivatives: 1 basis point absolute of rates curves and volatilities or 1% absolute of swaption volatilities; • for credit derivatives: 1 basis point absolute of credit spread or, if Level 3 attribution for a derivative is due to counterparty classification as not performing, the CVA impact of a 5% absolute shift of the recovery rate; • for debt securities: 1 basis point absolute of credit spread; • for equities: 1% of the underlying; • for Units in Investment Funds quotes: 5 basis points absolute shift in PD and LGD, if evaluated leveraging on models considering counterparty credit risk as main risk factor, otherwise 1% of fair value. (€ million) PRODUCT CATEGORIES FAIR VALUE MOVEMENTS Derivatives Financial Equities & Commodities +/- 6.37 Foreign Exchange +/- - Interest Rate +/- - Credit +/- 3.17 Debt Securities and Loans Corporate/Government/Other +/- 0.03 Mortgage & Asset Backed Securities +/- 0.34 Equity Securities Unlisted Equity & Holdings +/- 11.38 Units in investment funds Real Estate & Other Funds +/- 0.17 Within the unlisted Level 3 Units in Investment Funds, measured using a model, the shares in Atlante and Italian Recovery Fund, former Atlante II, (€327 million at 31 December 2021) are classified and, within Equity Securities, the investments in the Voluntary Scheme (as at 31 December 2021 equal to €2 million). For further information, please refer to Part B - Section 2 - Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value. Amongst the financial instruments subject of valuation methods and sensitivity analysis, there are also included ABS issued by securitisation vehicles as per Italian law 130/99 where the Bank is both originator and underwriter of some issues and quotes of open investment funds acquired through credit disposal. A.4.3 Fair value hierarchy IFRS13 establishes a fair value hierarchy according to the observability of the input used in the valuation techniques adopted for valuations. The fair value hierarchy level associated to assets and liabilities is set as the minimum level among all the significant valuation inputs used. A valuation input is not considered significant for the fair value of an instrument if the remaining inputs are able to explain the major part of the fair value variance itself. In particular, three levels are considered: • Level 1: the fair value for instruments classified within this level is determined according to the quoted prices on active markets; • Level 2: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are observable on active markets; • Level 3: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are unobservable on active markets. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 625 The aim of this independent control structure is evaluating the model risk from a theoretical solidity, calibration techniques eventually applied and appropriateness of the model for a specific product in a defined market point of views. In addition to the daily mark-to-market or mark-to-model valuation, the Independent Price Verification (“IPV”) is applied by from Market Risk function with the aim of guaranteeing a fair value provided by an independent structure for all instruments, illiquid included. Fair value sensitivity to variations in unobservable inputs used in the fair value computation for instruments categorised as Level 3 The sensitivities to change in the unobservable parameter for the different financial instrument categories of level 3 valued at fair value are presented in the table below as change of corresponding relevant parameters: • for derivatives on equities and commodities: 1% absolute of volatility, 10% relative of dividend, 1% absolute of correlation and 10% relative of volatility skew; • for foreign exchanges: 1% absolute of underlying volatility; • for interest rate derivatives: 1 basis point absolute of rates curves and volatilities or 1% absolute of swaption volatilities; • for credit derivatives: 1 basis point absolute of credit spread or, if Level 3 attribution for a derivative is due to counterparty classification as not performing, the CVA impact of a 5% absolute shift of the recovery rate; • for debt securities: 1 basis point absolute of credit spread; • for equities: 1% of the underlying; • for Units in Investment Funds quotes: 5 basis points absolute shift in PD and LGD, if evaluated leveraging on models considering counterparty credit risk as main risk factor, otherwise 1% of fair value. (€ million) PRODUCT CATEGORIES FAIR VALUE MOVEMENTS Derivatives Financial Equities & Commodities +/- 6.37 Foreign Exchange +/- - Interest Rate +/- - Credit +/- 3.17 Debt Securities and Loans Corporate/Government/Other +/- 0.03 Mortgage & Asset Backed Securities +/- 0.34 Equity Securities Unlisted Equity & Holdings +/- 11.38 Units in investment funds Real Estate & Other Funds +/- 0.17 Within the unlisted Level 3 Units in Investment Funds, measured using a model, the shares in Atlante and Italian Recovery Fund, former Atlante II, (€327 million at 31 December 2021) are classified and, within Equity Securities, the investments in the Voluntary Scheme (as at 31 December 2021 equal to €2 million). For further information, please refer to Part B - Section 2 - Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value. Amongst the financial instruments subject of valuation methods and sensitivity analysis, there are also included ABS issued by securitisation vehicles as per Italian law 130/99 where the Bank is both originator and underwriter of some issues and quotes of open investment funds acquired through credit disposal. A.4.3 Fair value hierarchy IFRS13 establishes a fair value hierarchy according to the observability of the input used in the valuation techniques adopted for valuations. The fair value hierarchy level associated to assets and liabilities is set as the minimum level among all the significant valuation inputs used. A valuation input is not considered significant for the fair value of an instrument if the remaining inputs are able to explain the major part of the fair value variance itself. In particular, three levels are considered: • Level 1: the fair value for instruments classified within this level is determined according to the quoted prices on active markets; • Level 2: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are observable on active markets; • Level 3: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are unobservable on active markets. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 625 The aim of this independent control structure is evaluating the model risk from a theoretical solidity, calibration techniques eventually applied and appropriateness of the model for a specific product in a defined market point of views. In addition to the daily mark-to-market or mark-to-model valuation, the Independent Price Verification (“IPV”) is applied by from Market Risk function with the aim of guaranteeing a fair value provided by an independent structure for all instruments, illiquid included. Fair value sensitivity to variations in unobservable inputs used in the fair value computation for instruments categorised as Level 3 The sensitivities to change in the unobservable parameter for the different financial instrument categories of level 3 valued at fair value are presented in the table below as change of corresponding relevant parameters: • for derivatives on equities and commodities: 1% absolute of volatility, 10% relative of dividend, 1% absolute of correlation and 10% relative of volatility skew; • for foreign exchanges: 1% absolute of underlying volatility; • for interest rate derivatives: 1 basis point absolute of rates curves and volatilities or 1% absolute of swaption volatilities; • for credit derivatives: 1 basis point absolute of credit spread or, if Level 3 attribution for a derivative is due to counterparty classification as not performing, the CVA impact of a 5% absolute shift of the recovery rate; • for debt securities: 1 basis point absolute of credit spread; • for equities: 1% of the underlying; • for Units in Investment Funds quotes: 5 basis points absolute shift in PD and LGD, if evaluated leveraging on models considering counterparty credit risk as main risk factor, otherwise 1% of fair value. (€ million) PRODUCT CATEGORIES FAIR VALUE MOVEMENTS Derivatives Financial Equities & Commodities +/- 6.37 Foreign Exchange +/- - Interest Rate +/- - Credit +/- 3.17 Debt Securities and Loans Corporate/Government/Other +/- 0.03 Mortgage & Asset Backed Securities +/- 0.34 Equity Securities Unlisted Equity & Holdings +/- 11.38 Units in investment funds Real Estate & Other Funds +/- 0.17 Within the unlisted Level 3 Units in Investment Funds, measured using a model, the shares in Atlante and Italian Recovery Fund, former Atlante II, (€327 million at 31 December 2021) are classified and, within Equity Securities, the investments in the Voluntary Scheme (as at 31 December 2021 equal to €2 million). For further information, please refer to Part B - Section 2 - Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value. Amongst the financial instruments subject of valuation methods and sensitivity analysis, there are also included ABS issued by securitisation vehicles as per Italian law 130/99 where the Bank is both originator and underwriter of some issues and quotes of open investment funds acquired through credit disposal. A.4.3 Fair value hierarchy IFRS13 establishes a fair value hierarchy according to the observability of the input used in the valuation techniques adopted for valuations. The fair value hierarchy level associated to assets and liabilities is set as the minimum level among all the significant valuation inputs used. A valuation input is not considered significant for the fair value of an instrument if the remaining inputs are able to explain the major part of the fair value variance itself. In particular, three levels are considered: • Level 1: the fair value for instruments classified within this level is determined according to the quoted prices on active markets; • Level 2: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are observable on active markets; • Level 3: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are unobservable on active markets. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 625 The aim of this independent control structure is evaluating the model risk from a theoretical solidity, calibration techniques eventually applied and appropriateness of the model for a specific product in a defined market point of views. In addition to the daily mark-to-market or mark-to-model valuation, the Independent Price Verification (“IPV”) is applied by from Market Risk function with the aim of guaranteeing a fair value provided by an independent structure for all instruments, illiquid included. Fair value sensitivity to variations in unobservable inputs used in the fair value computation for instruments categorised as Level 3 The sensitivities to change in the unobservable parameter for the different financial instrument categories of level 3 valued at fair value are presented in the table below as change of corresponding relevant parameters: • for derivatives on equities and commodities: 1% absolute of volatility, 10% relative of dividend, 1% absolute of correlation and 10% relative of volatility skew; • for foreign exchanges: 1% absolute of underlying volatility; • for interest rate derivatives: 1 basis point absolute of rates curves and volatilities or 1% absolute of swaption volatilities; • for credit derivatives: 1 basis point absolute of credit spread or, if Level 3 attribution for a derivative is due to counterparty classification as not performing, the CVA impact of a 5% absolute shift of the recovery rate; • for debt securities: 1 basis point absolute of credit spread; • for equities: 1% of the underlying; • for Units in Investment Funds quotes: 5 basis points absolute shift in PD and LGD, if evaluated leveraging on models considering counterparty credit risk as main risk factor, otherwise 1% of fair value. (€ million) PRODUCT CATEGORIES FAIR VALUE MOVEMENTS Derivatives Financial Equities & Commodities +/- 6.37 Foreign Exchange +/- - Interest Rate +/- - Credit +/- 3.17 Debt Securities and Loans Corporate/Government/Other +/- 0.03 Mortgage & Asset Backed Securities +/- 0.34 Equity Securities Unlisted Equity & Holdings +/- 11.38 Units in investment funds Real Estate & Other Funds +/- 0.17 Within the unlisted Level 3 Units in Investment Funds, measured using a model, the shares in Atlante and Italian Recovery Fund, former Atlante II, (€327 million at 31 December 2021) are classified and, within Equity Securities, the investments in the Voluntary Scheme (as at 31 December 2021 equal to €2 million). For further information, please refer to Part B - Section 2 - Financial assets at fair value through profit or loss: c) other financial assets mandatorily at fair value. Amongst the financial instruments subject of valuation methods and sensitivity analysis, there are also included ABS issued by securitisation vehicles as per Italian law 130/99 where the Bank is both originator and underwriter of some issues and quotes of open investment funds acquired through credit disposal. A.4.3 Fair value hierarchy IFRS13 establishes a fair value hierarchy according to the observability of the input used in the valuation techniques adopted for valuations. The fair value hierarchy level associated to assets and liabilities is set as the minimum level among all the significant valuation inputs used. A valuation input is not considered significant for the fair value of an instrument if the remaining inputs are able to explain the major part of the fair value variance itself. In particular, three levels are considered: • Level 1: the fair value for instruments classified within this level is determined according to the quoted prices on active markets; • Level 2: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are observable on active markets; • Level 3: the fair value for instruments classified within this level is determined according to the valuation models for which significant inputs are unobservable on active markets. Company financial statements | Notes to the accounts Part A - Accounting policies 626 2021 Annual Report and Accounts · UniCredit Financial instruments are classified to a certain fair value level according to the observability of the input used for the valuation. Level 1 (quoted prices in active markets): at measurement date, quoted prices in active markets are available for identical assets or liabilities. An active market is a market in which orderly transactions for the asset or liability take place with sufficient frequency and volume for pricing information to be provided on an on-going basis (e.g. MTS market about prices for most of the government bonds therein traded). Level 2 (observable inputs): inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Inputs are observable if they are developed on the basis of publicly available information about actual events or transactions and reflect the assumptions that market participants would use when pricing the asset or liability. Level 3 (unobservable inputs): inputs other than the ones included in Level 1 and Level 2, not directly observable on the market for the evaluation of asset and liability or used for the definition of significant adjustments to fair value. Unobservable inputs shall reflect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk. Deciding among various valuation techniques to be used, the Group employs the one which maximises the use of observable inputs. Transfers between hierarchy levels The main drivers to transfers in and out the fair values levels (both between Level 1 and Level 2 and in/out Level 3) include changes in market conditions (among which liquidity parameter) and enhancements to valuation techniques and weights for unobservable inputs used for the valuation itself. Quantitative and qualitative details about transfers between fair value levels occurred in the period is presented in the paragraph “A.4.5 Fair value hierarchy” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - General, A.4 - Information on fair value, Quantitative information. A.4.4 Other information The Bank uses the IFRS13 exception for fair value measurements on a net basis with reference to financial assets and liabilities with offsetting positions of market risk or counterparty credit risk. Quantitative information A.4.5 Hierarchy of fair value The following tables show the portfolios breakdown in terms of (i) financial assets and liabilities valued at fair value as well as (ii) assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis, according to the above-mentioned levels. A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels (€ million) FINANCIAL ASSETS/LIABILITIES MEASURED AT FAIR VALUE AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at fair value through profit or loss 6,214 11,326 2,463 4,668 8,586 2,445 a) Financial assets held for trading 5,178 8,566 195 4,423 6,507 308 b) Financial assets designated at fair value 119 - - 109 - - c) Other financial assets mandatorily at fair value 917 2,760 2,268 136 2,079 2,137 2. Financial assets at fair value through other comprehensive income 28,609 6,112 1,743 27,193 5,954 690 3. Hedging derivatives 38 4,324 - 114 6,018 - 4. Property, plant and equipment - - 2,568 - - 2,608 5. Intangible assets - - - - - - Total 34,861 21,762 6,774 31,975 20,558 5,743 1. Financial liabilities held for trading 4,856 8,570 210 2,704 6,905 62 2. Financial liabilities designated at fair value - 3,854 257 - 4,490 373 3. Hedging derivatives 51 4,777 15 126 5,905 - Total 4,907 17,201 482 2,830 17,300 435 The item “1. c) Financial assets mandatorily at fair value” at Level 3 as at 31 December 2021 includes the investments in Atlante and Italian Recovery Fund (former Atlante II) carrying value €327 million and in “Schema Volontario” carrying value €2 million. Company financial statements | Notes to the accounts Part A - Accounting policies 626 2021 Annual Report and Accounts · UniCredit Financial instruments are classified to a certain fair value level according to the observability of the input used for the valuation. Level 1 (quoted prices in active markets): at measurement date, quoted prices in active markets are available for identical assets or liabilities. An active market is a market in which orderly transactions for the asset or liability take place with sufficient frequency and volume for pricing information to be provided on an on-going basis (e.g. MTS market about prices for most of the government bonds therein traded). Level 2 (observable inputs): inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Inputs are observable if they are developed on the basis of publicly available information about actual events or transactions and reflect the assumptions that market participants would use when pricing the asset or liability. Level 3 (unobservable inputs): inputs other than the ones included in Level 1 and Level 2, not directly observable on the market for the evaluation of asset and liability or used for the definition of significant adjustments to fair value. Unobservable inputs shall reflect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk. Deciding among various valuation techniques to be used, the Group employs the one which maximises the use of observable inputs. Transfers between hierarchy levels The main drivers to transfers in and out the fair values levels (both between Level 1 and Level 2 and in/out Level 3) include changes in market conditions (among which liquidity parameter) and enhancements to valuation techniques and weights for unobservable inputs used for the valuation itself. Quantitative and qualitative details about transfers between fair value levels occurred in the period is presented in the paragraph “A.4.5 Fair value hierarchy” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - General, A.4 - Information on fair value, Quantitative information. A.4.4 Other information The Bank uses the IFRS13 exception for fair value measurements on a net basis with reference to financial assets and liabilities with offsetting positions of market risk or counterparty credit risk. Quantitative information A.4.5 Hierarchy of fair value The following tables show the portfolios breakdown in terms of (i) financial assets and liabilities valued at fair value as well as (ii) assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis, according to the above-mentioned levels. A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels (€ million) FINANCIAL ASSETS/LIABILITIES MEASURED AT FAIR VALUE AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at fair value through profit or loss 6,214 11,326 2,463 4,668 8,586 2,445 a) Financial assets held for trading 5,178 8,566 195 4,423 6,507 308 b) Financial assets designated at fair value 119 - - 109 - - c) Other financial assets mandatorily at fair value 917 2,760 2,268 136 2,079 2,137 2. Financial assets at fair value through other comprehensive income 28,609 6,112 1,743 27,193 5,954 690 3. Hedging derivatives 38 4,324 - 114 6,018 - 4. Property, plant and equipment - - 2,568 - - 2,608 5. Intangible assets - - - - - - Total 34,861 21,762 6,774 31,975 20,558 5,743 1. Financial liabilities held for trading 4,856 8,570 210 2,704 6,905 62 2. Financial liabilities designated at fair value - 3,854 257 - 4,490 373 3. Hedging derivatives 51 4,777 15 126 5,905 - Total 4,907 17,201 482 2,830 17,300 435 The item “1. c) Financial assets mandatorily at fair value” at Level 3 as at 31 December 2021 includes the investments in Atlante and Italian Recovery Fund (former Atlante II) carrying value €327 million and in “Schema Volontario” carrying value €2 million. Company financial statements | Notes to the accounts Part A - Accounting policies 626 2021 Annual Report and Accounts · UniCredit Financial instruments are classified to a certain fair value level according to the observability of the input used for the valuation. Level 1 (quoted prices in active markets): at measurement date, quoted prices in active markets are available for identical assets or liabilities. An active market is a market in which orderly transactions for the asset or liability take place with sufficient frequency and volume for pricing information to be provided on an on-going basis (e.g. MTS market about prices for most of the government bonds therein traded). Level 2 (observable inputs): inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Inputs are observable if they are developed on the basis of publicly available information about actual events or transactions and reflect the assumptions that market participants would use when pricing the asset or liability. Level 3 (unobservable inputs): inputs other than the ones included in Level 1 and Level 2, not directly observable on the market for the evaluation of asset and liability or used for the definition of significant adjustments to fair value. Unobservable inputs shall reflect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk. Deciding among various valuation techniques to be used, the Group employs the one which maximises the use of observable inputs. Transfers between hierarchy levels The main drivers to transfers in and out the fair values levels (both between Level 1 and Level 2 and in/out Level 3) include changes in market conditions (among which liquidity parameter) and enhancements to valuation techniques and weights for unobservable inputs used for the valuation itself. Quantitative and qualitative details about transfers between fair value levels occurred in the period is presented in the paragraph “A.4.5 Fair value hierarchy” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - General, A.4 - Information on fair value, Quantitative information. A.4.4 Other information The Bank uses the IFRS13 exception for fair value measurements on a net basis with reference to financial assets and liabilities with offsetting positions of market risk or counterparty credit risk. Quantitative information A.4.5 Hierarchy of fair value The following tables show the portfolios breakdown in terms of (i) financial assets and liabilities valued at fair value as well as (ii) assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis, according to the above-mentioned levels. A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels (€ million) FINANCIAL ASSETS/LIABILITIES MEASURED AT FAIR VALUE AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at fair value through profit or loss 6,214 11,326 2,463 4,668 8,586 2,445 a) Financial assets held for trading 5,178 8,566 195 4,423 6,507 308 b) Financial assets designated at fair value 119 - - 109 - - c) Other financial assets mandatorily at fair value 917 2,760 2,268 136 2,079 2,137 2. Financial assets at fair value through other comprehensive income 28,609 6,112 1,743 27,193 5,954 690 3. Hedging derivatives 38 4,324 - 114 6,018 - 4. Property, plant and equipment - - 2,568 - - 2,608 5. Intangible assets - - - - - - Total 34,861 21,762 6,774 31,975 20,558 5,743 1. Financial liabilities held for trading 4,856 8,570 210 2,704 6,905 62 2. Financial liabilities designated at fair value - 3,854 257 - 4,490 373 3. Hedging derivatives 51 4,777 15 126 5,905 - Total 4,907 17,201 482 2,830 17,300 435 The item “1. c) Financial assets mandatorily at fair value” at Level 3 as at 31 December 2021 includes the investments in Atlante and Italian Recovery Fund (former Atlante II) carrying value €327 million and in “Schema Volontario” carrying value €2 million. Company financial statements | Notes to the accounts Part A - Accounting policies 626 2021 Annual Report and Accounts · UniCredit Financial instruments are classified to a certain fair value level according to the observability of the input used for the valuation. Level 1 (quoted prices in active markets): at measurement date, quoted prices in active markets are available for identical assets or liabilities. An active market is a market in which orderly transactions for the asset or liability take place with sufficient frequency and volume for pricing information to be provided on an on-going basis (e.g. MTS market about prices for most of the government bonds therein traded). Level 2 (observable inputs): inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Inputs are observable if they are developed on the basis of publicly available information about actual events or transactions and reflect the assumptions that market participants would use when pricing the asset or liability. Level 3 (unobservable inputs): inputs other than the ones included in Level 1 and Level 2, not directly observable on the market for the evaluation of asset and liability or used for the definition of significant adjustments to fair value. Unobservable inputs shall reflect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk. Deciding among various valuation techniques to be used, the Group employs the one which maximises the use of observable inputs. Transfers between hierarchy levels The main drivers to transfers in and out the fair values levels (both between Level 1 and Level 2 and in/out Level 3) include changes in market conditions (among which liquidity parameter) and enhancements to valuation techniques and weights for unobservable inputs used for the valuation itself. Quantitative and qualitative details about transfers between fair value levels occurred in the period is presented in the paragraph “A.4.5 Fair value hierarchy” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - General, A.4 - Information on fair value, Quantitative information. A.4.4 Other information The Bank uses the IFRS13 exception for fair value measurements on a net basis with reference to financial assets and liabilities with offsetting positions of market risk or counterparty credit risk. Quantitative information A.4.5 Hierarchy of fair value The following tables show the portfolios breakdown in terms of (i) financial assets and liabilities valued at fair value as well as (ii) assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis, according to the above-mentioned levels. A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels (€ million) FINANCIAL ASSETS/LIABILITIES MEASURED AT FAIR VALUE AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at fair value through profit or loss 6,214 11,326 2,463 4,668 8,586 2,445 a) Financial assets held for trading 5,178 8,566 195 4,423 6,507 308 b) Financial assets designated at fair value 119 - - 109 - - c) Other financial assets mandatorily at fair value 917 2,760 2,268 136 2,079 2,137 2. Financial assets at fair value through other comprehensive income 28,609 6,112 1,743 27,193 5,954 690 3. Hedging derivatives 38 4,324 - 114 6,018 - 4. Property, plant and equipment - - 2,568 - - 2,608 5. Intangible assets - - - - - - Total 34,861 21,762 6,774 31,975 20,558 5,743 1. Financial liabilities held for trading 4,856 8,570 210 2,704 6,905 62 2. Financial liabilities designated at fair value - 3,854 257 - 4,490 373 3. Hedging derivatives 51 4,777 15 126 5,905 - Total 4,907 17,201 482 2,830 17,300 435 The item “1. c) Financial assets mandatorily at fair value” at Level 3 as at 31 December 2021 includes the investments in Atlante and Italian Recovery Fund (former Atlante II) carrying value €327 million and in “Schema Volontario” carrying value €2 million. Company financial statements | Notes to the accounts Part A - Accounting policies 626 2021 Annual Report and Accounts · UniCredit Financial instruments are classified to a certain fair value level according to the observability of the input used for the valuation. Level 1 (quoted prices in active markets): at measurement date, quoted prices in active markets are available for identical assets or liabilities. An active market is a market in which orderly transactions for the asset or liability take place with sufficient frequency and volume for pricing information to be provided on an on-going basis (e.g. MTS market about prices for most of the government bonds therein traded). Level 2 (observable inputs): inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Inputs are observable if they are developed on the basis of publicly available information about actual events or transactions and reflect the assumptions that market participants would use when pricing the asset or liability. Level 3 (unobservable inputs): inputs other than the ones included in Level 1 and Level 2, not directly observable on the market for the evaluation of asset and liability or used for the definition of significant adjustments to fair value. Unobservable inputs shall reflect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk. Deciding among various valuation techniques to be used, the Group employs the one which maximises the use of observable inputs. Transfers between hierarchy levels The main drivers to transfers in and out the fair values levels (both between Level 1 and Level 2 and in/out Level 3) include changes in market conditions (among which liquidity parameter) and enhancements to valuation techniques and weights for unobservable inputs used for the valuation itself. Quantitative and qualitative details about transfers between fair value levels occurred in the period is presented in the paragraph “A.4.5 Fair value hierarchy” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part A - General, A.4 - Information on fair value, Quantitative information. A.4.4 Other information The Bank uses the IFRS13 exception for fair value measurements on a net basis with reference to financial assets and liabilities with offsetting positions of market risk or counterparty credit risk. Quantitative information A.4.5 Hierarchy of fair value The following tables show the portfolios breakdown in terms of (i) financial assets and liabilities valued at fair value as well as (ii) assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis, according to the above-mentioned levels. A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels (€ million) FINANCIAL ASSETS/LIABILITIES MEASURED AT FAIR VALUE AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at fair value through profit or loss 6,214 11,326 2,463 4,668 8,586 2,445 a) Financial assets held for trading 5,178 8,566 195 4,423 6,507 308 b) Financial assets designated at fair value 119 - - 109 - - c) Other financial assets mandatorily at fair value 917 2,760 2,268 136 2,079 2,137 2. Financial assets at fair value through other comprehensive income 28,609 6,112 1,743 27,193 5,954 690 3. Hedging derivatives 38 4,324 - 114 6,018 - 4. Property, plant and equipment - - 2,568 - - 2,608 5. Intangible assets - - - - - - Total 34,861 21,762 6,774 31,975 20,558 5,743 1. Financial liabilities held for trading 4,856 8,570 210 2,704 6,905 62 2. Financial liabilities designated at fair value - 3,854 257 - 4,490 373 3. Hedging derivatives 51 4,777 15 126 5,905 - Total 4,907 17,201 482 2,830 17,300 435 The item “1. c) Financial assets mandatorily at fair value” at Level 3 as at 31 December 2021 includes the investments in Atlante and Italian Recovery Fund (former Atlante II) carrying value €327 million and in “Schema Volontario” carrying value €2 million. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 627 Since no market valuations or prices of comparable securities are available for “Schema Volontario”, at 31 December 2021 the fair value of such instrument was determined using internal models (Discounted Cash Flow and Market Multiples) also having as reference the valuation of the financial assets of the “Schema Volontario” (supported by the advisor in charge) contained in the Report on operations of the “Schema Volontario” itself of December 2020, while concerning Atlante and Italian Recovery Fund, former Atlante II, the Fair Value has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. For further information refer to the paragraph “2.5 Other financial assets mandatorily at fair value: breakdown by product” of the Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Transfers between level of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution. Besides the transfers related to financial assets and liabilities carried at Level 3 detailed in the sections below during the year the following transfers occurred: • Level 2 to Level 1 owing to an improvement of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €80 million. A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME HEDGING DERIVATIVES PROPERTY, PLANT AND EQUIPMENT INTANGIBLE ASSETS TOTAL OF WHICH: A) FINANCIAL ASSETS HELD FOR TRADING OF WHICH: B) FINANCIAL ASSETS DESIGNATED AT FAIR VALUE OF WHICH: C) FINANCIAL ASSETS MANDATORILY AT FAIR VALUE 1. Opening balances 2,446 309 - 2,137 690 - 2,608 - 2. Increases 2,276 1,644 - 632 1,170 - 106 - 2.1 Purchases 968 449 - 519 289 - 5 - 2.2 Profits recognised in 1,259 1,195 - 64 54 - 64 - 2.2.1 Income statement 1,259 1,195 - 64 2 - 12 - - of which unrealised gains 90 32 - 58 - - 12 - 2.2.2 Equity X X X X 52 - 52 - 2.3 Transfers from other levels - - - - 745 - - - 2.4 Other increases 49 - - 49 82 - 37 - 3. Decreases 2,259 1,758 - 501 117 - 146 - 3.1 Sales 1,345 1,290 - 55 7 - 5 - 3.2 Redemptions 347 - - 347 18 - - - 3.3 Losses recognised in 547 468 - 79 87 - 96 - 3.3.1 Income statement 547 468 - 79 25 - 88 - - of which unrealised losses 221 147 - 74 - - 21 - 3.3.2 Equity X X X X 62 - 8 - 3.4 Transfers to other levels 1 - - 1 - - 43 - 3.5 Other decreases 19 - - 19 5 - 2 - of which: business combinations - - - - - - - - 4. Closing balances 2,463 195 - 2,268 1,743 - 2,568 - The sub-items “2.2.1 Profits recognised in Income statement” and “3.3.1 Losses recognised in Income statement” in financial assets are included in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. The sub-item “2.2.2 Profits recognised in Equity” and the sub-item “3.3.2 Losses recognised in Equity” reports the profits and the losses arising from fair value changes on financial assets at fair value through other comprehensive income and tangible assets used in business, with reference to land and buildings, according to the rules explained below. With reference to financial assets at fair value through other comprehensive income these profits and losses are accounted in item “110. Valuation reserves” of shareholder’s equity until the financial assets is not sold, instant in which cumulative gains and losses are reported: i) if referred to debt securities in income statement under item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income” and ii) if referred to equity instruments in the shareholder’s equity under item “140. Reserves”; the exception regards the case of impairment and gains and losses on exchange rates on monetary assets (debt securities) which are reported respectively under Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 627 Since no market valuations or prices of comparable securities are available for “Schema Volontario”, at 31 December 2021 the fair value of such instrument was determined using internal models (Discounted Cash Flow and Market Multiples) also having as reference the valuation of the financial assets of the “Schema Volontario” (supported by the advisor in charge) contained in the Report on operations of the “Schema Volontario” itself of December 2020, while concerning Atlante and Italian Recovery Fund, former Atlante II, the Fair Value has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. For further information refer to the paragraph “2.5 Other financial assets mandatorily at fair value: breakdown by product” of the Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Transfers between level of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution. Besides the transfers related to financial assets and liabilities carried at Level 3 detailed in the sections below during the year the following transfers occurred: • Level 2 to Level 1 owing to an improvement of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €80 million. A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME HEDGING DERIVATIVES PROPERTY, PLANT AND EQUIPMENT INTANGIBLE ASSETS TOTAL OF WHICH: A) FINANCIAL ASSETS HELD FOR TRADING OF WHICH: B) FINANCIAL ASSETS DESIGNATED AT FAIR VALUE OF WHICH: C) FINANCIAL ASSETS MANDATORILY AT FAIR VALUE 1. Opening balances 2,446 309 - 2,137 690 - 2,608 - 2. Increases 2,276 1,644 - 632 1,170 - 106 - 2.1 Purchases 968 449 - 519 289 - 5 - 2.2 Profits recognised in 1,259 1,195 - 64 54 - 64 - 2.2.1 Income statement 1,259 1,195 - 64 2 - 12 - - of which unrealised gains 90 32 - 58 - - 12 - 2.2.2 Equity X X X X 52 - 52 - 2.3 Transfers from other levels - - - - 745 - - - 2.4 Other increases 49 - - 49 82 - 37 - 3. Decreases 2,259 1,758 - 501 117 - 146 - 3.1 Sales 1,345 1,290 - 55 7 - 5 - 3.2 Redemptions 347 - - 347 18 - - - 3.3 Losses recognised in 547 468 - 79 87 - 96 - 3.3.1 Income statement 547 468 - 79 25 - 88 - - of which unrealised losses 221 147 - 74 - - 21 - 3.3.2 Equity X X X X 62 - 8 - 3.4 Transfers to other levels 1 - - 1 - - 43 - 3.5 Other decreases 19 - - 19 5 - 2 - of which: business combinations - - - - - - - - 4. Closing balances 2,463 195 - 2,268 1,743 - 2,568 - The sub-items “2.2.1 Profits recognised in Income statement” and “3.3.1 Losses recognised in Income statement” in financial assets are included in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. The sub-item “2.2.2 Profits recognised in Equity” and the sub-item “3.3.2 Losses recognised in Equity” reports the profits and the losses arising from fair value changes on financial assets at fair value through other comprehensive income and tangible assets used in business, with reference to land and buildings, according to the rules explained below. With reference to financial assets at fair value through other comprehensive income these profits and losses are accounted in item “110. Valuation reserves” of shareholder’s equity until the financial assets is not sold, instant in which cumulative gains and losses are reported: i) if referred to debt securities in income statement under item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income” and ii) if referred to equity instruments in the shareholder’s equity under item “140. Reserves”; the exception regards the case of impairment and gains and losses on exchange rates on monetary assets (debt securities) which are reported respectively under Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 627 Since no market valuations or prices of comparable securities are available for “Schema Volontario”, at 31 December 2021 the fair value of such instrument was determined using internal models (Discounted Cash Flow and Market Multiples) also having as reference the valuation of the financial assets of the “Schema Volontario” (supported by the advisor in charge) contained in the Report on operations of the “Schema Volontario” itself of December 2020, while concerning Atlante and Italian Recovery Fund, former Atlante II, the Fair Value has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. For further information refer to the paragraph “2.5 Other financial assets mandatorily at fair value: breakdown by product” of the Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Transfers between level of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution. Besides the transfers related to financial assets and liabilities carried at Level 3 detailed in the sections below during the year the following transfers occurred: • Level 2 to Level 1 owing to an improvement of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €80 million. A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME HEDGING DERIVATIVES PROPERTY, PLANT AND EQUIPMENT INTANGIBLE ASSETS TOTAL OF WHICH: A) FINANCIAL ASSETS HELD FOR TRADING OF WHICH: B) FINANCIAL ASSETS DESIGNATED AT FAIR VALUE OF WHICH: C) FINANCIAL ASSETS MANDATORILY AT FAIR VALUE 1. Opening balances 2,446 309 - 2,137 690 - 2,608 - 2. Increases 2,276 1,644 - 632 1,170 - 106 - 2.1 Purchases 968 449 - 519 289 - 5 - 2.2 Profits recognised in 1,259 1,195 - 64 54 - 64 - 2.2.1 Income statement 1,259 1,195 - 64 2 - 12 - - of which unrealised gains 90 32 - 58 - - 12 - 2.2.2 Equity X X X X 52 - 52 - 2.3 Transfers from other levels - - - - 745 - - - 2.4 Other increases 49 - - 49 82 - 37 - 3. Decreases 2,259 1,758 - 501 117 - 146 - 3.1 Sales 1,345 1,290 - 55 7 - 5 - 3.2 Redemptions 347 - - 347 18 - - - 3.3 Losses recognised in 547 468 - 79 87 - 96 - 3.3.1 Income statement 547 468 - 79 25 - 88 - - of which unrealised losses 221 147 - 74 - - 21 - 3.3.2 Equity X X X X 62 - 8 - 3.4 Transfers to other levels 1 - - 1 - - 43 - 3.5 Other decreases 19 - - 19 5 - 2 - of which: business combinations - - - - - - - - 4. Closing balances 2,463 195 - 2,268 1,743 - 2,568 - The sub-items “2.2.1 Profits recognised in Income statement” and “3.3.1 Losses recognised in Income statement” in financial assets are included in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. The sub-item “2.2.2 Profits recognised in Equity” and the sub-item “3.3.2 Losses recognised in Equity” reports the profits and the losses arising from fair value changes on financial assets at fair value through other comprehensive income and tangible assets used in business, with reference to land and buildings, according to the rules explained below. With reference to financial assets at fair value through other comprehensive income these profits and losses are accounted in item “110. Valuation reserves” of shareholder’s equity until the financial assets is not sold, instant in which cumulative gains and losses are reported: i) if referred to debt securities in income statement under item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income” and ii) if referred to equity instruments in the shareholder’s equity under item “140. Reserves”; the exception regards the case of impairment and gains and losses on exchange rates on monetary assets (debt securities) which are reported respectively under Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 627 Since no market valuations or prices of comparable securities are available for “Schema Volontario”, at 31 December 2021 the fair value of such instrument was determined using internal models (Discounted Cash Flow and Market Multiples) also having as reference the valuation of the financial assets of the “Schema Volontario” (supported by the advisor in charge) contained in the Report on operations of the “Schema Volontario” itself of December 2020, while concerning Atlante and Italian Recovery Fund, former Atlante II, the Fair Value has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. For further information refer to the paragraph “2.5 Other financial assets mandatorily at fair value: breakdown by product” of the Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Transfers between level of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution. Besides the transfers related to financial assets and liabilities carried at Level 3 detailed in the sections below during the year the following transfers occurred: • Level 2 to Level 1 owing to an improvement of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €80 million. A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME HEDGING DERIVATIVES PROPERTY, PLANT AND EQUIPMENT INTANGIBLE ASSETS TOTAL OF WHICH: A) FINANCIAL ASSETS HELD FOR TRADING OF WHICH: B) FINANCIAL ASSETS DESIGNATED AT FAIR VALUE OF WHICH: C) FINANCIAL ASSETS MANDATORILY AT FAIR VALUE 1. Opening balances 2,446 309 - 2,137 690 - 2,608 - 2. Increases 2,276 1,644 - 632 1,170 - 106 - 2.1 Purchases 968 449 - 519 289 - 5 - 2.2 Profits recognised in 1,259 1,195 - 64 54 - 64 - 2.2.1 Income statement 1,259 1,195 - 64 2 - 12 - - of which unrealised gains 90 32 - 58 - - 12 - 2.2.2 Equity X X X X 52 - 52 - 2.3 Transfers from other levels - - - - 745 - - - 2.4 Other increases 49 - - 49 82 - 37 - 3. Decreases 2,259 1,758 - 501 117 - 146 - 3.1 Sales 1,345 1,290 - 55 7 - 5 - 3.2 Redemptions 347 - - 347 18 - - - 3.3 Losses recognised in 547 468 - 79 87 - 96 - 3.3.1 Income statement 547 468 - 79 25 - 88 - - of which unrealised losses 221 147 - 74 - - 21 - 3.3.2 Equity X X X X 62 - 8 - 3.4 Transfers to other levels 1 - - 1 - - 43 - 3.5 Other decreases 19 - - 19 5 - 2 - of which: business combinations - - - - - - - - 4. Closing balances 2,463 195 - 2,268 1,743 - 2,568 - The sub-items “2.2.1 Profits recognised in Income statement” and “3.3.1 Losses recognised in Income statement” in financial assets are included in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. The sub-item “2.2.2 Profits recognised in Equity” and the sub-item “3.3.2 Losses recognised in Equity” reports the profits and the losses arising from fair value changes on financial assets at fair value through other comprehensive income and tangible assets used in business, with reference to land and buildings, according to the rules explained below. With reference to financial assets at fair value through other comprehensive income these profits and losses are accounted in item “110. Valuation reserves” of shareholder’s equity until the financial assets is not sold, instant in which cumulative gains and losses are reported: i) if referred to debt securities in income statement under item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income” and ii) if referred to equity instruments in the shareholder’s equity under item “140. Reserves”; the exception regards the case of impairment and gains and losses on exchange rates on monetary assets (debt securities) which are reported respectively under Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 627 Since no market valuations or prices of comparable securities are available for “Schema Volontario”, at 31 December 2021 the fair value of such instrument was determined using internal models (Discounted Cash Flow and Market Multiples) also having as reference the valuation of the financial assets of the “Schema Volontario” (supported by the advisor in charge) contained in the Report on operations of the “Schema Volontario” itself of December 2020, while concerning Atlante and Italian Recovery Fund, former Atlante II, the Fair Value has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. For further information refer to the paragraph “2.5 Other financial assets mandatorily at fair value: breakdown by product” of the Notes to the accounts, Part B - Balance sheets - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Transfers between level of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution. Besides the transfers related to financial assets and liabilities carried at Level 3 detailed in the sections below during the year the following transfers occurred: • Level 2 to Level 1 owing to an improvement of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process: - of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately €80 million. A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME HEDGING DERIVATIVES PROPERTY, PLANT AND EQUIPMENT INTANGIBLE ASSETS TOTAL OF WHICH: A) FINANCIAL ASSETS HELD FOR TRADING OF WHICH: B) FINANCIAL ASSETS DESIGNATED AT FAIR VALUE OF WHICH: C) FINANCIAL ASSETS MANDATORILY AT FAIR VALUE 1. Opening balances 2,446 309 - 2,137 690 - 2,608 - 2. Increases 2,276 1,644 - 632 1,170 - 106 - 2.1 Purchases 968 449 - 519 289 - 5 - 2.2 Profits recognised in 1,259 1,195 - 64 54 - 64 - 2.2.1 Income statement 1,259 1,195 - 64 2 - 12 - - of which unrealised gains 90 32 - 58 - - 12 - 2.2.2 Equity X X X X 52 - 52 - 2.3 Transfers from other levels - - - - 745 - - - 2.4 Other increases 49 - - 49 82 - 37 - 3. Decreases 2,259 1,758 - 501 117 - 146 - 3.1 Sales 1,345 1,290 - 55 7 - 5 - 3.2 Redemptions 347 - - 347 18 - - - 3.3 Losses recognised in 547 468 - 79 87 - 96 - 3.3.1 Income statement 547 468 - 79 25 - 88 - - of which unrealised losses 221 147 - 74 - - 21 - 3.3.2 Equity X X X X 62 - 8 - 3.4 Transfers to other levels 1 - - 1 - - 43 - 3.5 Other decreases 19 - - 19 5 - 2 - of which: business combinations - - - - - - - - 4. Closing balances 2,463 195 - 2,268 1,743 - 2,568 - The sub-items “2.2.1 Profits recognised in Income statement” and “3.3.1 Losses recognised in Income statement” in financial assets are included in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. The sub-item “2.2.2 Profits recognised in Equity” and the sub-item “3.3.2 Losses recognised in Equity” reports the profits and the losses arising from fair value changes on financial assets at fair value through other comprehensive income and tangible assets used in business, with reference to land and buildings, according to the rules explained below. With reference to financial assets at fair value through other comprehensive income these profits and losses are accounted in item “110. Valuation reserves” of shareholder’s equity until the financial assets is not sold, instant in which cumulative gains and losses are reported: i) if referred to debt securities in income statement under item “100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income” and ii) if referred to equity instruments in the shareholder’s equity under item “140. Reserves”; the exception regards the case of impairment and gains and losses on exchange rates on monetary assets (debt securities) which are reported respectively under Company financial statements | Notes to the accounts Part A - Accounting policies 628 2021 Annual Report and Accounts · UniCredit item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” and item “80. Net gains (losses) on trading”. With reference to tangible assets used in business, the profits arising from the valuation are recognised in item “110. Valuation reserves” of shareholder’s equity for the portion exceeding the cumulated losses recognised in item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. Losses arising from the valuation are recognised in item “110. Valuation reserves” up to the cumulated profits recognised in the same item. Further losses are recognised in item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. On disposal the cumulated profits reported in item “110. Valuation reserves” are recycled to item “140. Reserves”. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution. In particular, during the financial year 2021 due to the occurred unobservability of the input used for the evaluation Senior bonds of Prisma securitisation, classified among the financial assets measured at fair value through other comprehensive income for an amount equal to 745 million, have been transferred from Level 2 to Level 3 of the fair value hierarchy. A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL LIABILITIES HELD FOR TRADING FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE HEDGING DERIVATIVES 1. Opening balances 62 373 - 2. Increases 1,952 269 17 2.1 Issuance 501 129 - 2.2 Losses recognised in 1,451 40 18 2.2.1 Income statement 1,451 29 18 - of which unrealised losses 193 24 15 2.2.2 Equity X 11 - 2.3 Transfers from other levels - 97 - 2.4 Other increases - 3 (1) 3. Decreases 1,804 385 2 3.1 Redemptions 1,275 - 2 3.2 Purchases - 207 - 3.3 Profits recognised in 529 23 - 3.3.1 Income statement 529 9 - - of which unrealised gains 28 9 - 3.3.2 Equity X 14 - 3.4 Transfers to other levels - 140 - 3.5 Other decreases - 15 - of which: business combinations - - - 4. Closing balances 210 257 15 The sub-items “2.2.1 Losses recognised in Income statement” and “3.3.1 Profits recognised in Income statement” in financial liabilities are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. Company financial statements | Notes to the accounts Part A - Accounting policies 628 2021 Annual Report and Accounts · UniCredit item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” and item “80. Net gains (losses) on trading”. With reference to tangible assets used in business, the profits arising from the valuation are recognised in item “110. Valuation reserves” of shareholder’s equity for the portion exceeding the cumulated losses recognised in item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. Losses arising from the valuation are recognised in item “110. Valuation reserves” up to the cumulated profits recognised in the same item. Further losses are recognised in item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. On disposal the cumulated profits reported in item “110. Valuation reserves” are recycled to item “140. Reserves”. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution. In particular, during the financial year 2021 due to the occurred unobservability of the input used for the evaluation Senior bonds of Prisma securitisation, classified among the financial assets measured at fair value through other comprehensive income for an amount equal to 745 million, have been transferred from Level 2 to Level 3 of the fair value hierarchy. A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL LIABILITIES HELD FOR TRADING FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE HEDGING DERIVATIVES 1. Opening balances 62 373 - 2. Increases 1,952 269 17 2.1 Issuance 501 129 - 2.2 Losses recognised in 1,451 40 18 2.2.1 Income statement 1,451 29 18 - of which unrealised losses 193 24 15 2.2.2 Equity X 11 - 2.3 Transfers from other levels - 97 - 2.4 Other increases - 3 (1) 3. Decreases 1,804 385 2 3.1 Redemptions 1,275 - 2 3.2 Purchases - 207 - 3.3 Profits recognised in 529 23 - 3.3.1 Income statement 529 9 - - of which unrealised gains 28 9 - 3.3.2 Equity X 14 - 3.4 Transfers to other levels - 140 - 3.5 Other decreases - 15 - of which: business combinations - - - 4. Closing balances 210 257 15 The sub-items “2.2.1 Losses recognised in Income statement” and “3.3.1 Profits recognised in Income statement” in financial liabilities are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. Company financial statements | Notes to the accounts Part A - Accounting policies 628 2021 Annual Report and Accounts · UniCredit item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” and item “80. Net gains (losses) on trading”. With reference to tangible assets used in business, the profits arising from the valuation are recognised in item “110. Valuation reserves” of shareholder’s equity for the portion exceeding the cumulated losses recognised in item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. Losses arising from the valuation are recognised in item “110. Valuation reserves” up to the cumulated profits recognised in the same item. Further losses are recognised in item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. On disposal the cumulated profits reported in item “110. Valuation reserves” are recycled to item “140. Reserves”. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution. In particular, during the financial year 2021 due to the occurred unobservability of the input used for the evaluation Senior bonds of Prisma securitisation, classified among the financial assets measured at fair value through other comprehensive income for an amount equal to 745 million, have been transferred from Level 2 to Level 3 of the fair value hierarchy. A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL LIABILITIES HELD FOR TRADING FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE HEDGING DERIVATIVES 1. Opening balances 62 373 - 2. Increases 1,952 269 17 2.1 Issuance 501 129 - 2.2 Losses recognised in 1,451 40 18 2.2.1 Income statement 1,451 29 18 - of which unrealised losses 193 24 15 2.2.2 Equity X 11 - 2.3 Transfers from other levels - 97 - 2.4 Other increases - 3 (1) 3. Decreases 1,804 385 2 3.1 Redemptions 1,275 - 2 3.2 Purchases - 207 - 3.3 Profits recognised in 529 23 - 3.3.1 Income statement 529 9 - - of which unrealised gains 28 9 - 3.3.2 Equity X 14 - 3.4 Transfers to other levels - 140 - 3.5 Other decreases - 15 - of which: business combinations - - - 4. Closing balances 210 257 15 The sub-items “2.2.1 Losses recognised in Income statement” and “3.3.1 Profits recognised in Income statement” in financial liabilities are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. Company financial statements | Notes to the accounts Part A - Accounting policies 628 2021 Annual Report and Accounts · UniCredit item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” and item “80. Net gains (losses) on trading”. With reference to tangible assets used in business, the profits arising from the valuation are recognised in item “110. Valuation reserves” of shareholder’s equity for the portion exceeding the cumulated losses recognised in item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. Losses arising from the valuation are recognised in item “110. Valuation reserves” up to the cumulated profits recognised in the same item. Further losses are recognised in item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. On disposal the cumulated profits reported in item “110. Valuation reserves” are recycled to item “140. Reserves”. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution. In particular, during the financial year 2021 due to the occurred unobservability of the input used for the evaluation Senior bonds of Prisma securitisation, classified among the financial assets measured at fair value through other comprehensive income for an amount equal to 745 million, have been transferred from Level 2 to Level 3 of the fair value hierarchy. A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL LIABILITIES HELD FOR TRADING FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE HEDGING DERIVATIVES 1. Opening balances 62 373 - 2. Increases 1,952 269 17 2.1 Issuance 501 129 - 2.2 Losses recognised in 1,451 40 18 2.2.1 Income statement 1,451 29 18 - of which unrealised losses 193 24 15 2.2.2 Equity X 11 - 2.3 Transfers from other levels - 97 - 2.4 Other increases - 3 (1) 3. Decreases 1,804 385 2 3.1 Redemptions 1,275 - 2 3.2 Purchases - 207 - 3.3 Profits recognised in 529 23 - 3.3.1 Income statement 529 9 - - of which unrealised gains 28 9 - 3.3.2 Equity X 14 - 3.4 Transfers to other levels - 140 - 3.5 Other decreases - 15 - of which: business combinations - - - 4. Closing balances 210 257 15 The sub-items “2.2.1 Losses recognised in Income statement” and “3.3.1 Profits recognised in Income statement” in financial liabilities are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. Company financial statements | Notes to the accounts Part A - Accounting policies 628 2021 Annual Report and Accounts · UniCredit item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income” and item “80. Net gains (losses) on trading”. With reference to tangible assets used in business, the profits arising from the valuation are recognised in item “110. Valuation reserves” of shareholder’s equity for the portion exceeding the cumulated losses recognised in item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. Losses arising from the valuation are recognised in item “110. Valuation reserves” up to the cumulated profits recognised in the same item. Further losses are recognised in item “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value”. On disposal the cumulated profits reported in item “110. Valuation reserves” are recycled to item “140. Reserves”. Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes for fair value level attribution. In particular, during the financial year 2021 due to the occurred unobservability of the input used for the evaluation Senior bonds of Prisma securitisation, classified among the financial assets measured at fair value through other comprehensive income for an amount equal to 745 million, have been transferred from Level 2 to Level 3 of the fair value hierarchy. A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3) (€ million) CHANGES IN 2021 FINANCIAL LIABILITIES HELD FOR TRADING FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE HEDGING DERIVATIVES 1. Opening balances 62 373 - 2. Increases 1,952 269 17 2.1 Issuance 501 129 - 2.2 Losses recognised in 1,451 40 18 2.2.1 Income statement 1,451 29 18 - of which unrealised losses 193 24 15 2.2.2 Equity X 11 - 2.3 Transfers from other levels - 97 - 2.4 Other increases - 3 (1) 3. Decreases 1,804 385 2 3.1 Redemptions 1,275 - 2 3.2 Purchases - 207 - 3.3 Profits recognised in 529 23 - 3.3.1 Income statement 529 9 - - of which unrealised gains 28 9 - 3.3.2 Equity X 14 - 3.4 Transfers to other levels - 140 - 3.5 Other decreases - 15 - of which: business combinations - - - 4. Closing balances 210 257 15 The sub-items “2.2.1 Losses recognised in Income statement” and “3.3.1 Profits recognised in Income statement” in financial liabilities are included in the profit and loss in the following items: • Item 80: Net gains (losses) on trading; • Item 90: Net gains (losses) on hedge accounting; • Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss. Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 629 A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value levels (€ million) ASSETS/LIABILITIES NOT MEASURED AT FAIR VALUE OR MEASURED AT FAIR VALUE ON A NON-RECURRING BASIS AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at amortised cost 267,821 41,684 96,502 131,657 278,308 32,156 110,900 135,209 2. Property, plant and equipment held for investment - - - - - - - - 3. Non-current assets and disposal groups classified as held for sale 1,909 - 12 - 255 - 17 - Total 269,730 41,684 96,514 131,657 278,563 32,156 110,917 135,209 1. Financial liabilities at amortised cost 370,017 32,064 118,430 221,096 369,226 31,162 72,769 267,703 2. Liabilities associated with assets classified as held for sale - - - - - - - - Total 370,017 32,064 118,430 221,096 369,226 31,162 72,769 267,703 The changes occurred between 31 December 2020 and 31 December 2021 in the ratio between fair value and book value for financial assets at amortised cost reflect the enhancement of the methodology and the parameters adopted for the fair value calculation for disclosure and the evolution in the benchmark interest rate, in the risk premium and in the probability of default depending on or deriving from markets trend. These events together with the evolution of the approach to identify the significance of non-observable inputs have been reflected in fair value hierarchy level distribution. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model. The book value of item “3. Non-current assets and disposal groups classified as held for sale” (Assets) includes amounts referred to assets measured on balance sheet on the basis of their cost for €1,897 million. For further details on this item see the table reported in the paragraph “11.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part B - Balance sheet - Assets, Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with classified as held for sale - Item 100 (Assets) and Item 70 (Liabilities). A.5 - Information on “day one profit/loss” The value at which financial instruments are recognised is equal to their fair value on the same date. The fair value of financial instruments, other than those designated at fair value through profit or loss, at their recognition date is usually assumed to be equal to the amount collected or paid. For financial instruments held for trading (refer to Sections 1.a) and 12 of part A.2 above) and instruments designated at fair value (refer to Sections 1.b) and 13 of part A.2 above), any difference from the amount collected or paid is posted under the appropriate items of the income statement. The use of conservative valuation models, the processes described above for revising the models used and related parameters and value adjustments to reflect model risk ensure that the amount recognised in the income statement is not derived from the use of valuation parameters that cannot be observed. More specifically, the calculation of fair value adjustments to reflect model risk ensures that the fair value portion of these instruments relating to the use of subjective parameters is not recognised in the profit and loss account, but changes the balance sheet value of these instruments. The presence of further “day one profit” leads to the recognition of a distinct asset component that is the object of linear competition. Recognition of this portion in the profit and loss account is then made only when objective parameters are applied and therefore the adjustments are derecognised. The overall fair value adjustments to reflect these adjustments (amount not recognised in the Income statement) amounts to +€1.6 million as at 31 December 2021 (+€1.1 million as at 31 December 2020). Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 629 A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value levels (€ million) ASSETS/LIABILITIES NOT MEASURED AT FAIR VALUE OR MEASURED AT FAIR VALUE ON A NON-RECURRING BASIS AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at amortised cost 267,821 41,684 96,502 131,657 278,308 32,156 110,900 135,209 2. Property, plant and equipment held for investment - - - - - - - - 3. Non-current assets and disposal groups classified as held for sale 1,909 - 12 - 255 - 17 - Total 269,730 41,684 96,514 131,657 278,563 32,156 110,917 135,209 1. Financial liabilities at amortised cost 370,017 32,064 118,430 221,096 369,226 31,162 72,769 267,703 2. Liabilities associated with assets classified as held for sale - - - - - - - - Total 370,017 32,064 118,430 221,096 369,226 31,162 72,769 267,703 The changes occurred between 31 December 2020 and 31 December 2021 in the ratio between fair value and book value for financial assets at amortised cost reflect the enhancement of the methodology and the parameters adopted for the fair value calculation for disclosure and the evolution in the benchmark interest rate, in the risk premium and in the probability of default depending on or deriving from markets trend. These events together with the evolution of the approach to identify the significance of non-observable inputs have been reflected in fair value hierarchy level distribution. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model. The book value of item “3. Non-current assets and disposal groups classified as held for sale” (Assets) includes amounts referred to assets measured on balance sheet on the basis of their cost for €1,897 million. For further details on this item see the table reported in the paragraph “11.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part B - Balance sheet - Assets, Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with classified as held for sale - Item 100 (Assets) and Item 70 (Liabilities). A.5 - Information on “day one profit/loss” The value at which financial instruments are recognised is equal to their fair value on the same date. The fair value of financial instruments, other than those designated at fair value through profit or loss, at their recognition date is usually assumed to be equal to the amount collected or paid. For financial instruments held for trading (refer to Sections 1.a) and 12 of part A.2 above) and instruments designated at fair value (refer to Sections 1.b) and 13 of part A.2 above), any difference from the amount collected or paid is posted under the appropriate items of the income statement. The use of conservative valuation models, the processes described above for revising the models used and related parameters and value adjustments to reflect model risk ensure that the amount recognised in the income statement is not derived from the use of valuation parameters that cannot be observed. More specifically, the calculation of fair value adjustments to reflect model risk ensures that the fair value portion of these instruments relating to the use of subjective parameters is not recognised in the profit and loss account, but changes the balance sheet value of these instruments. The presence of further “day one profit” leads to the recognition of a distinct asset component that is the object of linear competition. Recognition of this portion in the profit and loss account is then made only when objective parameters are applied and therefore the adjustments are derecognised. The overall fair value adjustments to reflect these adjustments (amount not recognised in the Income statement) amounts to +€1.6 million as at 31 December 2021 (+€1.1 million as at 31 December 2020). Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 629 A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value levels (€ million) ASSETS/LIABILITIES NOT MEASURED AT FAIR VALUE OR MEASURED AT FAIR VALUE ON A NON-RECURRING BASIS AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at amortised cost 267,821 41,684 96,502 131,657 278,308 32,156 110,900 135,209 2. Property, plant and equipment held for investment - - - - - - - - 3. Non-current assets and disposal groups classified as held for sale 1,909 - 12 - 255 - 17 - Total 269,730 41,684 96,514 131,657 278,563 32,156 110,917 135,209 1. Financial liabilities at amortised cost 370,017 32,064 118,430 221,096 369,226 31,162 72,769 267,703 2. Liabilities associated with assets classified as held for sale - - - - - - - - Total 370,017 32,064 118,430 221,096 369,226 31,162 72,769 267,703 The changes occurred between 31 December 2020 and 31 December 2021 in the ratio between fair value and book value for financial assets at amortised cost reflect the enhancement of the methodology and the parameters adopted for the fair value calculation for disclosure and the evolution in the benchmark interest rate, in the risk premium and in the probability of default depending on or deriving from markets trend. These events together with the evolution of the approach to identify the significance of non-observable inputs have been reflected in fair value hierarchy level distribution. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model. The book value of item “3. Non-current assets and disposal groups classified as held for sale” (Assets) includes amounts referred to assets measured on balance sheet on the basis of their cost for €1,897 million. For further details on this item see the table reported in the paragraph “11.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part B - Balance sheet - Assets, Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with classified as held for sale - Item 100 (Assets) and Item 70 (Liabilities). A.5 - Information on “day one profit/loss” The value at which financial instruments are recognised is equal to their fair value on the same date. The fair value of financial instruments, other than those designated at fair value through profit or loss, at their recognition date is usually assumed to be equal to the amount collected or paid. For financial instruments held for trading (refer to Sections 1.a) and 12 of part A.2 above) and instruments designated at fair value (refer to Sections 1.b) and 13 of part A.2 above), any difference from the amount collected or paid is posted under the appropriate items of the income statement. The use of conservative valuation models, the processes described above for revising the models used and related parameters and value adjustments to reflect model risk ensure that the amount recognised in the income statement is not derived from the use of valuation parameters that cannot be observed. More specifically, the calculation of fair value adjustments to reflect model risk ensures that the fair value portion of these instruments relating to the use of subjective parameters is not recognised in the profit and loss account, but changes the balance sheet value of these instruments. The presence of further “day one profit” leads to the recognition of a distinct asset component that is the object of linear competition. Recognition of this portion in the profit and loss account is then made only when objective parameters are applied and therefore the adjustments are derecognised. The overall fair value adjustments to reflect these adjustments (amount not recognised in the Income statement) amounts to +€1.6 million as at 31 December 2021 (+€1.1 million as at 31 December 2020). Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 629 A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value levels (€ million) ASSETS/LIABILITIES NOT MEASURED AT FAIR VALUE OR MEASURED AT FAIR VALUE ON A NON-RECURRING BASIS AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at amortised cost 267,821 41,684 96,502 131,657 278,308 32,156 110,900 135,209 2. Property, plant and equipment held for investment - - - - - - - - 3. Non-current assets and disposal groups classified as held for sale 1,909 - 12 - 255 - 17 - Total 269,730 41,684 96,514 131,657 278,563 32,156 110,917 135,209 1. Financial liabilities at amortised cost 370,017 32,064 118,430 221,096 369,226 31,162 72,769 267,703 2. Liabilities associated with assets classified as held for sale - - - - - - - - Total 370,017 32,064 118,430 221,096 369,226 31,162 72,769 267,703 The changes occurred between 31 December 2020 and 31 December 2021 in the ratio between fair value and book value for financial assets at amortised cost reflect the enhancement of the methodology and the parameters adopted for the fair value calculation for disclosure and the evolution in the benchmark interest rate, in the risk premium and in the probability of default depending on or deriving from markets trend. These events together with the evolution of the approach to identify the significance of non-observable inputs have been reflected in fair value hierarchy level distribution. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model. The book value of item “3. Non-current assets and disposal groups classified as held for sale” (Assets) includes amounts referred to assets measured on balance sheet on the basis of their cost for €1,897 million. For further details on this item see the table reported in the paragraph “11.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part B - Balance sheet - Assets, Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with classified as held for sale - Item 100 (Assets) and Item 70 (Liabilities). A.5 - Information on “day one profit/loss” The value at which financial instruments are recognised is equal to their fair value on the same date. The fair value of financial instruments, other than those designated at fair value through profit or loss, at their recognition date is usually assumed to be equal to the amount collected or paid. For financial instruments held for trading (refer to Sections 1.a) and 12 of part A.2 above) and instruments designated at fair value (refer to Sections 1.b) and 13 of part A.2 above), any difference from the amount collected or paid is posted under the appropriate items of the income statement. The use of conservative valuation models, the processes described above for revising the models used and related parameters and value adjustments to reflect model risk ensure that the amount recognised in the income statement is not derived from the use of valuation parameters that cannot be observed. More specifically, the calculation of fair value adjustments to reflect model risk ensures that the fair value portion of these instruments relating to the use of subjective parameters is not recognised in the profit and loss account, but changes the balance sheet value of these instruments. The presence of further “day one profit” leads to the recognition of a distinct asset component that is the object of linear competition. Recognition of this portion in the profit and loss account is then made only when objective parameters are applied and therefore the adjustments are derecognised. The overall fair value adjustments to reflect these adjustments (amount not recognised in the Income statement) amounts to +€1.6 million as at 31 December 2021 (+€1.1 million as at 31 December 2020). Company financial statements | Notes to the accounts Part A - Accounting policies UniCredit · 2021 Annual Report and Accounts 629 A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value levels (€ million) ASSETS/LIABILITIES NOT MEASURED AT FAIR VALUE OR MEASURED AT FAIR VALUE ON A NON-RECURRING BASIS AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Financial assets at amortised cost 267,821 41,684 96,502 131,657 278,308 32,156 110,900 135,209 2. Property, plant and equipment held for investment - - - - - - - - 3. Non-current assets and disposal groups classified as held for sale 1,909 - 12 - 255 - 17 - Total 269,730 41,684 96,514 131,657 278,563 32,156 110,917 135,209 1. Financial liabilities at amortised cost 370,017 32,064 118,430 221,096 369,226 31,162 72,769 267,703 2. Liabilities associated with assets classified as held for sale - - - - - - - - Total 370,017 32,064 118,430 221,096 369,226 31,162 72,769 267,703 The changes occurred between 31 December 2020 and 31 December 2021 in the ratio between fair value and book value for financial assets at amortised cost reflect the enhancement of the methodology and the parameters adopted for the fair value calculation for disclosure and the evolution in the benchmark interest rate, in the risk premium and in the probability of default depending on or deriving from markets trend. These events together with the evolution of the approach to identify the significance of non-observable inputs have been reflected in fair value hierarchy level distribution. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model. The book value of item “3. Non-current assets and disposal groups classified as held for sale” (Assets) includes amounts referred to assets measured on balance sheet on the basis of their cost for €1,897 million. For further details on this item see the table reported in the paragraph “11.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type” of the Company financial statements of UniCredit S.p.A., Notes to the accounts Part B - Balance sheet - Assets, Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with classified as held for sale - Item 100 (Assets) and Item 70 (Liabilities). A.5 - Information on “day one profit/loss” The value at which financial instruments are recognised is equal to their fair value on the same date. The fair value of financial instruments, other than those designated at fair value through profit or loss, at their recognition date is usually assumed to be equal to the amount collected or paid. For financial instruments held for trading (refer to Sections 1.a) and 12 of part A.2 above) and instruments designated at fair value (refer to Sections 1.b) and 13 of part A.2 above), any difference from the amount collected or paid is posted under the appropriate items of the income statement. The use of conservative valuation models, the processes described above for revising the models used and related parameters and value adjustments to reflect model risk ensure that the amount recognised in the income statement is not derived from the use of valuation parameters that cannot be observed. More specifically, the calculation of fair value adjustments to reflect model risk ensures that the fair value portion of these instruments relating to the use of subjective parameters is not recognised in the profit and loss account, but changes the balance sheet value of these instruments. The presence of further “day one profit” leads to the recognition of a distinct asset component that is the object of linear competition. Recognition of this portion in the profit and loss account is then made only when objective parameters are applied and therefore the adjustments are derecognised. The overall fair value adjustments to reflect these adjustments (amount not recognised in the Income statement) amounts to +€1.6 million as at 31 December 2021 (+€1.1 million as at 31 December 2020). Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 630 2021 Annual Report and Accounts · UniCredit Part B - Balance sheet Assets Section 1 - Cash and cash balances - Item 10 1.1 Cash and cash balances: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 a) Cash 1,313 1,338 b) Current accounts and demand deposits with Central Banks 69,931 60,078 c) Current accounts and demand deposits with Banks 1,586 1,918 Total 72,830 63,334 The change in the item "Demand deposits with Central Banks" (equal to about €10 billion) is mainly attributable to investment of liquidity into overnight deposits with Banca d’Italia, in addition to the part that is maintained in the Compulsory Reserves, classified in the item Due from Banks. The aforementioned increase in liquidity position is substantially due to a net surplus of funds recognised both (i) in the context of commercial activity with customers (about €13 billion the annual change in the net imbalance between deposits and receivables from/to customers, mainly allocated into short-term positions) and (ii) as part of the interbank business (about €1 billion the annual change in the net imbalance between Deposits and Receivables from/to banks, mainly as a result of the decreased Reverse repos for approximately €1 billion). Section 2 - Financial assets at fair value through profit or loss - Item 20 2.1 Financial assets held for trading: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial assets (non-derivatives) 1. Debt securities 5,176 - - 4,421 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 5,176 - - 4,421 - - 2. Equity instruments - - - - - - 3. Units in investment funds - - - - - - 4. Loans - - - - - - 4.1 Reverse Repos - - - - - - 4.2 Other - - - - - - Total (A) 5,176 - - 4,421 - - B. Derivative instruments 1. Financial derivatives 2 8,566 195 2 6,507 308 1.1 Trading 2 8,262 63 2 6,333 90 1.2 Linked to fair value option - 154 114 - 79 197 1.3 Other - 150 18 - 95 21 2. Credit derivatives - - - - - - 2.1 Trading - - - - - - 2.2 Linked to fair value option - - - - - - 2.3 Other - - - - - - Total (B) 2 8,566 195 2 6,507 308 Total (A+B) 5,178 8,566 195 4,423 6,507 308 Total Level 1, Level 2 and Level 3 13,939 11,238 The sub-item "Financial assets (non-derivatives)" consists mainly of Italian Government bonds from Market Making activity. The sub-item "Derivative instruments - Financial derivatives - Other" comprises derivatives that, for economic purposes, relate to banking book entries. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 630 2021 Annual Report and Accounts · UniCredit Part B - Balance sheet Assets Section 1 - Cash and cash balances - Item 10 1.1 Cash and cash balances: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 a) Cash 1,313 1,338 b) Current accounts and demand deposits with Central Banks 69,931 60,078 c) Current accounts and demand deposits with Banks 1,586 1,918 Total 72,830 63,334 The change in the item "Demand deposits with Central Banks" (equal to about €10 billion) is mainly attributable to investment of liquidity into overnight deposits with Banca d’Italia, in addition to the part that is maintained in the Compulsory Reserves, classified in the item Due from Banks. The aforementioned increase in liquidity position is substantially due to a net surplus of funds recognised both (i) in the context of commercial activity with customers (about €13 billion the annual change in the net imbalance between deposits and receivables from/to customers, mainly allocated into short-term positions) and (ii) as part of the interbank business (about €1 billion the annual change in the net imbalance between Deposits and Receivables from/to banks, mainly as a result of the decreased Reverse repos for approximately €1 billion). Section 2 - Financial assets at fair value through profit or loss - Item 20 2.1 Financial assets held for trading: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial assets (non-derivatives) 1. Debt securities 5,176 - - 4,421 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 5,176 - - 4,421 - - 2. Equity instruments - - - - - - 3. Units in investment funds - - - - - - 4. Loans - - - - - - 4.1 Reverse Repos - - - - - - 4.2 Other - - - - - - Total (A) 5,176 - - 4,421 - - B. Derivative instruments 1. Financial derivatives 2 8,566 195 2 6,507 308 1.1 Trading 2 8,262 63 2 6,333 90 1.2 Linked to fair value option - 154 114 - 79 197 1.3 Other - 150 18 - 95 21 2. Credit derivatives - - - - - - 2.1 Trading - - - - - - 2.2 Linked to fair value option - - - - - - 2.3 Other - - - - - - Total (B) 2 8,566 195 2 6,507 308 Total (A+B) 5,178 8,566 195 4,423 6,507 308 Total Level 1, Level 2 and Level 3 13,939 11,238 The sub-item "Financial assets (non-derivatives)" consists mainly of Italian Government bonds from Market Making activity. The sub-item "Derivative instruments - Financial derivatives - Other" comprises derivatives that, for economic purposes, relate to banking book entries. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 630 2021 Annual Report and Accounts · UniCredit Part B - Balance sheet Assets Section 1 - Cash and cash balances - Item 10 1.1 Cash and cash balances: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 a) Cash 1,313 1,338 b) Current accounts and demand deposits with Central Banks 69,931 60,078 c) Current accounts and demand deposits with Banks 1,586 1,918 Total 72,830 63,334 The change in the item "Demand deposits with Central Banks" (equal to about €10 billion) is mainly attributable to investment of liquidity into overnight deposits with Banca d’Italia, in addition to the part that is maintained in the Compulsory Reserves, classified in the item Due from Banks. The aforementioned increase in liquidity position is substantially due to a net surplus of funds recognised both (i) in the context of commercial activity with customers (about €13 billion the annual change in the net imbalance between deposits and receivables from/to customers, mainly allocated into short-term positions) and (ii) as part of the interbank business (about €1 billion the annual change in the net imbalance between Deposits and Receivables from/to banks, mainly as a result of the decreased Reverse repos for approximately €1 billion). Section 2 - Financial assets at fair value through profit or loss - Item 20 2.1 Financial assets held for trading: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial assets (non-derivatives) 1. Debt securities 5,176 - - 4,421 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 5,176 - - 4,421 - - 2. Equity instruments - - - - - - 3. Units in investment funds - - - - - - 4. Loans - - - - - - 4.1 Reverse Repos - - - - - - 4.2 Other - - - - - - Total (A) 5,176 - - 4,421 - - B. Derivative instruments 1. Financial derivatives 2 8,566 195 2 6,507 308 1.1 Trading 2 8,262 63 2 6,333 90 1.2 Linked to fair value option - 154 114 - 79 197 1.3 Other - 150 18 - 95 21 2. Credit derivatives - - - - - - 2.1 Trading - - - - - - 2.2 Linked to fair value option - - - - - - 2.3 Other - - - - - - Total (B) 2 8,566 195 2 6,507 308 Total (A+B) 5,178 8,566 195 4,423 6,507 308 Total Level 1, Level 2 and Level 3 13,939 11,238 The sub-item "Financial assets (non-derivatives)" consists mainly of Italian Government bonds from Market Making activity. The sub-item "Derivative instruments - Financial derivatives - Other" comprises derivatives that, for economic purposes, relate to banking book entries. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 630 2021 Annual Report and Accounts · UniCredit Part B - Balance sheet Assets Section 1 - Cash and cash balances - Item 10 1.1 Cash and cash balances: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 a) Cash 1,313 1,338 b) Current accounts and demand deposits with Central Banks 69,931 60,078 c) Current accounts and demand deposits with Banks 1,586 1,918 Total 72,830 63,334 The change in the item "Demand deposits with Central Banks" (equal to about €10 billion) is mainly attributable to investment of liquidity into overnight deposits with Banca d’Italia, in addition to the part that is maintained in the Compulsory Reserves, classified in the item Due from Banks. The aforementioned increase in liquidity position is substantially due to a net surplus of funds recognised both (i) in the context of commercial activity with customers (about €13 billion the annual change in the net imbalance between deposits and receivables from/to customers, mainly allocated into short-term positions) and (ii) as part of the interbank business (about €1 billion the annual change in the net imbalance between Deposits and Receivables from/to banks, mainly as a result of the decreased Reverse repos for approximately €1 billion). Section 2 - Financial assets at fair value through profit or loss - Item 20 2.1 Financial assets held for trading: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial assets (non-derivatives) 1. Debt securities 5,176 - - 4,421 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 5,176 - - 4,421 - - 2. Equity instruments - - - - - - 3. Units in investment funds - - - - - - 4. Loans - - - - - - 4.1 Reverse Repos - - - - - - 4.2 Other - - - - - - Total (A) 5,176 - - 4,421 - - B. Derivative instruments 1. Financial derivatives 2 8,566 195 2 6,507 308 1.1 Trading 2 8,262 63 2 6,333 90 1.2 Linked to fair value option - 154 114 - 79 197 1.3 Other - 150 18 - 95 21 2. Credit derivatives - - - - - - 2.1 Trading - - - - - - 2.2 Linked to fair value option - - - - - - 2.3 Other - - - - - - Total (B) 2 8,566 195 2 6,507 308 Total (A+B) 5,178 8,566 195 4,423 6,507 308 Total Level 1, Level 2 and Level 3 13,939 11,238 The sub-item "Financial assets (non-derivatives)" consists mainly of Italian Government bonds from Market Making activity. The sub-item "Derivative instruments - Financial derivatives - Other" comprises derivatives that, for economic purposes, relate to banking book entries. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 630 2021 Annual Report and Accounts · UniCredit Part B - Balance sheet Assets Section 1 - Cash and cash balances - Item 10 1.1 Cash and cash balances: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 a) Cash 1,313 1,338 b) Current accounts and demand deposits with Central Banks 69,931 60,078 c) Current accounts and demand deposits with Banks 1,586 1,918 Total 72,830 63,334 The change in the item "Demand deposits with Central Banks" (equal to about €10 billion) is mainly attributable to investment of liquidity into overnight deposits with Banca d’Italia, in addition to the part that is maintained in the Compulsory Reserves, classified in the item Due from Banks. The aforementioned increase in liquidity position is substantially due to a net surplus of funds recognised both (i) in the context of commercial activity with customers (about €13 billion the annual change in the net imbalance between deposits and receivables from/to customers, mainly allocated into short-term positions) and (ii) as part of the interbank business (about €1 billion the annual change in the net imbalance between Deposits and Receivables from/to banks, mainly as a result of the decreased Reverse repos for approximately €1 billion). Section 2 - Financial assets at fair value through profit or loss - Item 20 2.1 Financial assets held for trading: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial assets (non-derivatives) 1. Debt securities 5,176 - - 4,421 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 5,176 - - 4,421 - - 2. Equity instruments - - - - - - 3. Units in investment funds - - - - - - 4. Loans - - - - - - 4.1 Reverse Repos - - - - - - 4.2 Other - - - - - - Total (A) 5,176 - - 4,421 - - B. Derivative instruments 1. Financial derivatives 2 8,566 195 2 6,507 308 1.1 Trading 2 8,262 63 2 6,333 90 1.2 Linked to fair value option - 154 114 - 79 197 1.3 Other - 150 18 - 95 21 2. Credit derivatives - - - - - - 2.1 Trading - - - - - - 2.2 Linked to fair value option - - - - - - 2.3 Other - - - - - - Total (B) 2 8,566 195 2 6,507 308 Total (A+B) 5,178 8,566 195 4,423 6,507 308 Total Level 1, Level 2 and Level 3 13,939 11,238 The sub-item "Financial assets (non-derivatives)" consists mainly of Italian Government bonds from Market Making activity. The sub-item "Derivative instruments - Financial derivatives - Other" comprises derivatives that, for economic purposes, relate to banking book entries. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information refer to the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 631 2.2 Financial assets held for trading: breakdown by borrowers/issuers/counterparties (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 A. Financial assets (non-derivatives) 1. Debt securities 5,176 4,421 a) Central Banks - - b) Governments and other Public Sector Entities 5,176 4,421 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Equity instruments - - a) Banks - - b) Other financial companies - - of which: insurance companies - - c) Non-financial companies - - d) Other issuers - - 3. Units in investment funds - - 4. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total A 5,176 4,421 B. Derivative instruments a) Central counterparties 1,303 416 d) Other 7,460 6,401 Total B 8,763 6,817 Total (A+B) 13,939 11,238 2.3 Financial assets designated at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 119 - - 109 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 119 - - 109 - - 2. Loans - - - - - - 2.1 Structured - - - - - - 2.2 Other - - - - - - Total 119 - - 109 - - Total Level 1, Level 2 and Level 3 119 109 The items are composed of government debt securities. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 631 2.2 Financial assets held for trading: breakdown by borrowers/issuers/counterparties (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 A. Financial assets (non-derivatives) 1. Debt securities 5,176 4,421 a) Central Banks - - b) Governments and other Public Sector Entities 5,176 4,421 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Equity instruments - - a) Banks - - b) Other financial companies - - of which: insurance companies - - c) Non-financial companies - - d) Other issuers - - 3. Units in investment funds - - 4. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total A 5,176 4,421 B. Derivative instruments a) Central counterparties 1,303 416 d) Other 7,460 6,401 Total B 8,763 6,817 Total (A+B) 13,939 11,238 2.3 Financial assets designated at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 119 - - 109 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 119 - - 109 - - 2. Loans - - - - - - 2.1 Structured - - - - - - 2.2 Other - - - - - - Total 119 - - 109 - - Total Level 1, Level 2 and Level 3 119 109 The items are composed of government debt securities. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 631 2.2 Financial assets held for trading: breakdown by borrowers/issuers/counterparties (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 A. Financial assets (non-derivatives) 1. Debt securities 5,176 4,421 a) Central Banks - - b) Governments and other Public Sector Entities 5,176 4,421 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Equity instruments - - a) Banks - - b) Other financial companies - - of which: insurance companies - - c) Non-financial companies - - d) Other issuers - - 3. Units in investment funds - - 4. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total A 5,176 4,421 B. Derivative instruments a) Central counterparties 1,303 416 d) Other 7,460 6,401 Total B 8,763 6,817 Total (A+B) 13,939 11,238 2.3 Financial assets designated at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 119 - - 109 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 119 - - 109 - - 2. Loans - - - - - - 2.1 Structured - - - - - - 2.2 Other - - - - - - Total 119 - - 109 - - Total Level 1, Level 2 and Level 3 119 109 The items are composed of government debt securities. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 631 2.2 Financial assets held for trading: breakdown by borrowers/issuers/counterparties (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 A. Financial assets (non-derivatives) 1. Debt securities 5,176 4,421 a) Central Banks - - b) Governments and other Public Sector Entities 5,176 4,421 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Equity instruments - - a) Banks - - b) Other financial companies - - of which: insurance companies - - c) Non-financial companies - - d) Other issuers - - 3. Units in investment funds - - 4. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total A 5,176 4,421 B. Derivative instruments a) Central counterparties 1,303 416 d) Other 7,460 6,401 Total B 8,763 6,817 Total (A+B) 13,939 11,238 2.3 Financial assets designated at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 119 - - 109 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 119 - - 109 - - 2. Loans - - - - - - 2.1 Structured - - - - - - 2.2 Other - - - - - - Total 119 - - 109 - - Total Level 1, Level 2 and Level 3 119 109 The items are composed of government debt securities. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 631 2.2 Financial assets held for trading: breakdown by borrowers/issuers/counterparties (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 A. Financial assets (non-derivatives) 1. Debt securities 5,176 4,421 a) Central Banks - - b) Governments and other Public Sector Entities 5,176 4,421 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Equity instruments - - a) Banks - - b) Other financial companies - - of which: insurance companies - - c) Non-financial companies - - d) Other issuers - - 3. Units in investment funds - - 4. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total A 5,176 4,421 B. Derivative instruments a) Central counterparties 1,303 416 d) Other 7,460 6,401 Total B 8,763 6,817 Total (A+B) 13,939 11,238 2.3 Financial assets designated at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 119 - - 109 - - 1.1 Structured securities - - - - - - 1.2 Other debt securities 119 - - 109 - - 2. Loans - - - - - - 2.1 Structured - - - - - - 2.2 Other - - - - - - Total 119 - - 109 - - Total Level 1, Level 2 and Level 3 119 109 The items are composed of government debt securities. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 632 2021 Annual Report and Accounts · UniCredit 2.4 Financial assets designated at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 119 109 a) Central Banks - - b) Governments and other Public Sector Entities 119 109 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 119 109 2.5 Other financial assets mandatorily at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 588 2,684 148 80 2,001 167 1.1 Structured securities - - - - - - 1.2 Other debt securities 588 2,684 148 80 2,001 167 2. Equity instruments 329 52 489 56 49 491 3. Units in investment funds - 24 1,542 - 28 1,437 4. Loans - - 89 - 1 42 4.1 Structured - - - - - - 4.2 Other - - 89 - 1 42 Total 917 2,760 2,268 136 2,079 2,137 Total Level 1, Level 2 and Level 3 5,945 4,352 The sub-item “Debt securities” includes investments in FINO Project’s Mezzanine and Junior Notes with a value of €43 million, Mezzanine and Junior bonds of Prisma securitisation for €3 million and Mezzanine and Junior bonds of Olympia for €1 million. Increase in respect of last year is mainly due to subscription of Additional Tier 1 instruments issued by the subsidiary UniCredit Bank Austria AG for a nominal amount of €600 million. The item “Equity instruments” includes the investment in a “Schema Volontario” (presented among Level 3 instruments) with a value of €2 million. Further, stake in Yapi Ve Kredi Bankasi A.S., reclassified into mandatory at fair value instruments after the loss of significative influence occurred at the end of 2021, is included for €229 million. The item “3 Unit in investment funds” includes the investments in Atlante and Italian Recovery Fund, former Atlante II (presented among Level 3) instruments, with a value of €327 million. The item “4. Loans” includes exposures which have been granted payment moratoriums related to the Covid-19 pandemic context for a total amount of €5 million. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 632 2021 Annual Report and Accounts · UniCredit 2.4 Financial assets designated at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 119 109 a) Central Banks - - b) Governments and other Public Sector Entities 119 109 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 119 109 2.5 Other financial assets mandatorily at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 588 2,684 148 80 2,001 167 1.1 Structured securities - - - - - - 1.2 Other debt securities 588 2,684 148 80 2,001 167 2. Equity instruments 329 52 489 56 49 491 3. Units in investment funds - 24 1,542 - 28 1,437 4. Loans - - 89 - 1 42 4.1 Structured - - - - - - 4.2 Other - - 89 - 1 42 Total 917 2,760 2,268 136 2,079 2,137 Total Level 1, Level 2 and Level 3 5,945 4,352 The sub-item “Debt securities” includes investments in FINO Project’s Mezzanine and Junior Notes with a value of €43 million, Mezzanine and Junior bonds of Prisma securitisation for €3 million and Mezzanine and Junior bonds of Olympia for €1 million. Increase in respect of last year is mainly due to subscription of Additional Tier 1 instruments issued by the subsidiary UniCredit Bank Austria AG for a nominal amount of €600 million. The item “Equity instruments” includes the investment in a “Schema Volontario” (presented among Level 3 instruments) with a value of €2 million. Further, stake in Yapi Ve Kredi Bankasi A.S., reclassified into mandatory at fair value instruments after the loss of significative influence occurred at the end of 2021, is included for €229 million. The item “3 Unit in investment funds” includes the investments in Atlante and Italian Recovery Fund, former Atlante II (presented among Level 3) instruments, with a value of €327 million. The item “4. Loans” includes exposures which have been granted payment moratoriums related to the Covid-19 pandemic context for a total amount of €5 million. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 632 2021 Annual Report and Accounts · UniCredit 2.4 Financial assets designated at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 119 109 a) Central Banks - - b) Governments and other Public Sector Entities 119 109 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 119 109 2.5 Other financial assets mandatorily at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 588 2,684 148 80 2,001 167 1.1 Structured securities - - - - - - 1.2 Other debt securities 588 2,684 148 80 2,001 167 2. Equity instruments 329 52 489 56 49 491 3. Units in investment funds - 24 1,542 - 28 1,437 4. Loans - - 89 - 1 42 4.1 Structured - - - - - - 4.2 Other - - 89 - 1 42 Total 917 2,760 2,268 136 2,079 2,137 Total Level 1, Level 2 and Level 3 5,945 4,352 The sub-item “Debt securities” includes investments in FINO Project’s Mezzanine and Junior Notes with a value of €43 million, Mezzanine and Junior bonds of Prisma securitisation for €3 million and Mezzanine and Junior bonds of Olympia for €1 million. Increase in respect of last year is mainly due to subscription of Additional Tier 1 instruments issued by the subsidiary UniCredit Bank Austria AG for a nominal amount of €600 million. The item “Equity instruments” includes the investment in a “Schema Volontario” (presented among Level 3 instruments) with a value of €2 million. Further, stake in Yapi Ve Kredi Bankasi A.S., reclassified into mandatory at fair value instruments after the loss of significative influence occurred at the end of 2021, is included for €229 million. The item “3 Unit in investment funds” includes the investments in Atlante and Italian Recovery Fund, former Atlante II (presented among Level 3) instruments, with a value of €327 million. The item “4. Loans” includes exposures which have been granted payment moratoriums related to the Covid-19 pandemic context for a total amount of €5 million. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 632 2021 Annual Report and Accounts · UniCredit 2.4 Financial assets designated at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 119 109 a) Central Banks - - b) Governments and other Public Sector Entities 119 109 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 119 109 2.5 Other financial assets mandatorily at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 588 2,684 148 80 2,001 167 1.1 Structured securities - - - - - - 1.2 Other debt securities 588 2,684 148 80 2,001 167 2. Equity instruments 329 52 489 56 49 491 3. Units in investment funds - 24 1,542 - 28 1,437 4. Loans - - 89 - 1 42 4.1 Structured - - - - - - 4.2 Other - - 89 - 1 42 Total 917 2,760 2,268 136 2,079 2,137 Total Level 1, Level 2 and Level 3 5,945 4,352 The sub-item “Debt securities” includes investments in FINO Project’s Mezzanine and Junior Notes with a value of €43 million, Mezzanine and Junior bonds of Prisma securitisation for €3 million and Mezzanine and Junior bonds of Olympia for €1 million. Increase in respect of last year is mainly due to subscription of Additional Tier 1 instruments issued by the subsidiary UniCredit Bank Austria AG for a nominal amount of €600 million. The item “Equity instruments” includes the investment in a “Schema Volontario” (presented among Level 3 instruments) with a value of €2 million. Further, stake in Yapi Ve Kredi Bankasi A.S., reclassified into mandatory at fair value instruments after the loss of significative influence occurred at the end of 2021, is included for €229 million. The item “3 Unit in investment funds” includes the investments in Atlante and Italian Recovery Fund, former Atlante II (presented among Level 3) instruments, with a value of €327 million. The item “4. Loans” includes exposures which have been granted payment moratoriums related to the Covid-19 pandemic context for a total amount of €5 million. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 632 2021 Annual Report and Accounts · UniCredit 2.4 Financial assets designated at fair value: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 119 109 a) Central Banks - - b) Governments and other Public Sector Entities 119 109 c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - 2. Loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 119 109 2.5 Other financial assets mandatorily at fair value: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 588 2,684 148 80 2,001 167 1.1 Structured securities - - - - - - 1.2 Other debt securities 588 2,684 148 80 2,001 167 2. Equity instruments 329 52 489 56 49 491 3. Units in investment funds - 24 1,542 - 28 1,437 4. Loans - - 89 - 1 42 4.1 Structured - - - - - - 4.2 Other - - 89 - 1 42 Total 917 2,760 2,268 136 2,079 2,137 Total Level 1, Level 2 and Level 3 5,945 4,352 The sub-item “Debt securities” includes investments in FINO Project’s Mezzanine and Junior Notes with a value of €43 million, Mezzanine and Junior bonds of Prisma securitisation for €3 million and Mezzanine and Junior bonds of Olympia for €1 million. Increase in respect of last year is mainly due to subscription of Additional Tier 1 instruments issued by the subsidiary UniCredit Bank Austria AG for a nominal amount of €600 million. The item “Equity instruments” includes the investment in a “Schema Volontario” (presented among Level 3 instruments) with a value of €2 million. Further, stake in Yapi Ve Kredi Bankasi A.S., reclassified into mandatory at fair value instruments after the loss of significative influence occurred at the end of 2021, is included for €229 million. The item “3 Unit in investment funds” includes the investments in Atlante and Italian Recovery Fund, former Atlante II (presented among Level 3) instruments, with a value of €327 million. The item “4. Loans” includes exposures which have been granted payment moratoriums related to the Covid-19 pandemic context for a total amount of €5 million. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 633 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior - Mezzanine 41 Junior 50 Total 91 Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II) Atlante is a closed-end alternative investment fund (FIA) ruled by Italian law reserved to professional investors and managed by DeA Capital Alternative Funds SGR S.p.A. (“DeA”). The size of the fund was equal to €4,249 million, of which UniCredit S.p.A. invested for about 19.9%. The investment policy of Atlante foresees that the fund may be invested (i) in banks with regulatory capital ratios lower than the minimum level set down in the SREP process and, thus, realise, upon request of the supervisory authority, actions of capital strengthening through capital increases and (ii) in Non-Performing Loans (NPLs) of a plurality of Italian banks. With reference to Atlante fund, as at 31 December 2021 UniCredit S.p.A. holds shares classified as financial assets mandatory at fair value with a carrying value of €157 million. The year-to-date overall cash investments are equal to €844 against which impairments for €684 million and positive fair value changes for €20 million were carried out. Received reimbursement amount to €23 million. In addition, UniCredit S.p.A. has a residual commitment to invest in the fund for an amount less than €2 million. On August 2016, it was launched the Atlante II fund, redenominated Italian Recovery Fund since 27 October 2017, a closed-end investment alternative fund reserved to professional investors, also managed by DeA, which, unlike the Atlante fund, may invest only in NPL and instruments linked to NPL transactions (such as warrants) in order to reduce the risk in line with the parameters used by the largest world institutional investors. With reference to Italian Recovery Fund, as at 31 December 2021 UniCredit S.p.A. holds shares with a carrying value of €170 million, classified as financial assets mandatory at fair value. The year-to-date overall cash investments are equal to €187 against which positive fair value changes for €14 million were carried out. Received reimbursement amount to €31 million. In addition, UniCredit S.p.A. has a residual commitment to invest in Italian Recovery Fund for about €8 million. As at 31 December 2021 the book value (fair value) of these funds has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. This fair value valuation resulted in a lower value of €8 million in the year, accounted in the profit and loss. Under a regulatory perspective, the treatment of the quotes held by UniCredit S.p.A. in the Atlante Fund and Italian Recovery Fund foresees the application of article 128 of the CRR (Items associated with particular high risk). With reference to the residual commitments, the regulatory treatment foresees the application of a Credit Conversion Factor equal to 100% (“full risk” according to the Annex I of CRR), for the calculation of the related Risk Weighted Assets. Information about the investment in the Schema Volontario In November 2015 UniCredit S.p.A. has joined the "Schema Volontario" (hereafter “SV”), a private entity introduced by Fondo Interbancario di Tutela dei Depositi (“FITD”), with appropriate modification of its statute. SV is an instrument for the resolution of bank crises through supporting measures in favour of its member banks, if specific conditions laid down by the legislation occur. SV has an independent funding and the participating banks are committed to supply the relevant resources upon demand, when resources are needed to fund interventions. The initial participating size of the SV has been set up to €700 million (of which €110 million referred to UniCredit S.p.A.). Here follow the main transactions carried out by SV. Cassa di Risparmio di Cesena (CariCesena) In June 2016 the SV approved an action supporting CariCesena, in relation to a capital increase approved by the bank itself on 8 June 2016 for €280 million of which €44 million referred to UniCredit S.p.A. On 30 September 2016 this commitment was converted into a monetary payment which has led to the recognition of capital instruments classified, on the basis of the pre-existing accounting standard IAS39, as “available for sale" for €44 million for UniCredit S.p.A. (in line with the monetary payment). The update of the evaluation of the instruments as at 31 December 2016, according to an internal evaluation model based on multiples of a banking basket integrated with estimates on Cassa di Risparmio di Cesena’s credit portfolio and the related equity/capital needs, brought to the full impairment of the position. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 633 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior - Mezzanine 41 Junior 50 Total 91 Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II) Atlante is a closed-end alternative investment fund (FIA) ruled by Italian law reserved to professional investors and managed by DeA Capital Alternative Funds SGR S.p.A. (“DeA”). The size of the fund was equal to €4,249 million, of which UniCredit S.p.A. invested for about 19.9%. The investment policy of Atlante foresees that the fund may be invested (i) in banks with regulatory capital ratios lower than the minimum level set down in the SREP process and, thus, realise, upon request of the supervisory authority, actions of capital strengthening through capital increases and (ii) in Non-Performing Loans (NPLs) of a plurality of Italian banks. With reference to Atlante fund, as at 31 December 2021 UniCredit S.p.A. holds shares classified as financial assets mandatory at fair value with a carrying value of €157 million. The year-to-date overall cash investments are equal to €844 against which impairments for €684 million and positive fair value changes for €20 million were carried out. Received reimbursement amount to €23 million. In addition, UniCredit S.p.A. has a residual commitment to invest in the fund for an amount less than €2 million. On August 2016, it was launched the Atlante II fund, redenominated Italian Recovery Fund since 27 October 2017, a closed-end investment alternative fund reserved to professional investors, also managed by DeA, which, unlike the Atlante fund, may invest only in NPL and instruments linked to NPL transactions (such as warrants) in order to reduce the risk in line with the parameters used by the largest world institutional investors. With reference to Italian Recovery Fund, as at 31 December 2021 UniCredit S.p.A. holds shares with a carrying value of €170 million, classified as financial assets mandatory at fair value. The year-to-date overall cash investments are equal to €187 against which positive fair value changes for €14 million were carried out. Received reimbursement amount to €31 million. In addition, UniCredit S.p.A. has a residual commitment to invest in Italian Recovery Fund for about €8 million. As at 31 December 2021 the book value (fair value) of these funds has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. This fair value valuation resulted in a lower value of €8 million in the year, accounted in the profit and loss. Under a regulatory perspective, the treatment of the quotes held by UniCredit S.p.A. in the Atlante Fund and Italian Recovery Fund foresees the application of article 128 of the CRR (Items associated with particular high risk). With reference to the residual commitments, the regulatory treatment foresees the application of a Credit Conversion Factor equal to 100% (“full risk” according to the Annex I of CRR), for the calculation of the related Risk Weighted Assets. Information about the investment in the Schema Volontario In November 2015 UniCredit S.p.A. has joined the "Schema Volontario" (hereafter “SV”), a private entity introduced by Fondo Interbancario di Tutela dei Depositi (“FITD”), with appropriate modification of its statute. SV is an instrument for the resolution of bank crises through supporting measures in favour of its member banks, if specific conditions laid down by the legislation occur. SV has an independent funding and the participating banks are committed to supply the relevant resources upon demand, when resources are needed to fund interventions. The initial participating size of the SV has been set up to €700 million (of which €110 million referred to UniCredit S.p.A.). Here follow the main transactions carried out by SV. Cassa di Risparmio di Cesena (CariCesena) In June 2016 the SV approved an action supporting CariCesena, in relation to a capital increase approved by the bank itself on 8 June 2016 for €280 million of which €44 million referred to UniCredit S.p.A. On 30 September 2016 this commitment was converted into a monetary payment which has led to the recognition of capital instruments classified, on the basis of the pre-existing accounting standard IAS39, as “available for sale" for €44 million for UniCredit S.p.A. (in line with the monetary payment). The update of the evaluation of the instruments as at 31 December 2016, according to an internal evaluation model based on multiples of a banking basket integrated with estimates on Cassa di Risparmio di Cesena’s credit portfolio and the related equity/capital needs, brought to the full impairment of the position. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 633 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior - Mezzanine 41 Junior 50 Total 91 Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II) Atlante is a closed-end alternative investment fund (FIA) ruled by Italian law reserved to professional investors and managed by DeA Capital Alternative Funds SGR S.p.A. (“DeA”). The size of the fund was equal to €4,249 million, of which UniCredit S.p.A. invested for about 19.9%. The investment policy of Atlante foresees that the fund may be invested (i) in banks with regulatory capital ratios lower than the minimum level set down in the SREP process and, thus, realise, upon request of the supervisory authority, actions of capital strengthening through capital increases and (ii) in Non-Performing Loans (NPLs) of a plurality of Italian banks. With reference to Atlante fund, as at 31 December 2021 UniCredit S.p.A. holds shares classified as financial assets mandatory at fair value with a carrying value of €157 million. The year-to-date overall cash investments are equal to €844 against which impairments for €684 million and positive fair value changes for €20 million were carried out. Received reimbursement amount to €23 million. In addition, UniCredit S.p.A. has a residual commitment to invest in the fund for an amount less than €2 million. On August 2016, it was launched the Atlante II fund, redenominated Italian Recovery Fund since 27 October 2017, a closed-end investment alternative fund reserved to professional investors, also managed by DeA, which, unlike the Atlante fund, may invest only in NPL and instruments linked to NPL transactions (such as warrants) in order to reduce the risk in line with the parameters used by the largest world institutional investors. With reference to Italian Recovery Fund, as at 31 December 2021 UniCredit S.p.A. holds shares with a carrying value of €170 million, classified as financial assets mandatory at fair value. The year-to-date overall cash investments are equal to €187 against which positive fair value changes for €14 million were carried out. Received reimbursement amount to €31 million. In addition, UniCredit S.p.A. has a residual commitment to invest in Italian Recovery Fund for about €8 million. As at 31 December 2021 the book value (fair value) of these funds has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. This fair value valuation resulted in a lower value of €8 million in the year, accounted in the profit and loss. Under a regulatory perspective, the treatment of the quotes held by UniCredit S.p.A. in the Atlante Fund and Italian Recovery Fund foresees the application of article 128 of the CRR (Items associated with particular high risk). With reference to the residual commitments, the regulatory treatment foresees the application of a Credit Conversion Factor equal to 100% (“full risk” according to the Annex I of CRR), for the calculation of the related Risk Weighted Assets. Information about the investment in the Schema Volontario In November 2015 UniCredit S.p.A. has joined the "Schema Volontario" (hereafter “SV”), a private entity introduced by Fondo Interbancario di Tutela dei Depositi (“FITD”), with appropriate modification of its statute. SV is an instrument for the resolution of bank crises through supporting measures in favour of its member banks, if specific conditions laid down by the legislation occur. SV has an independent funding and the participating banks are committed to supply the relevant resources upon demand, when resources are needed to fund interventions. The initial participating size of the SV has been set up to €700 million (of which €110 million referred to UniCredit S.p.A.). Here follow the main transactions carried out by SV. Cassa di Risparmio di Cesena (CariCesena) In June 2016 the SV approved an action supporting CariCesena, in relation to a capital increase approved by the bank itself on 8 June 2016 for €280 million of which €44 million referred to UniCredit S.p.A. On 30 September 2016 this commitment was converted into a monetary payment which has led to the recognition of capital instruments classified, on the basis of the pre-existing accounting standard IAS39, as “available for sale" for €44 million for UniCredit S.p.A. (in line with the monetary payment). The update of the evaluation of the instruments as at 31 December 2016, according to an internal evaluation model based on multiples of a banking basket integrated with estimates on Cassa di Risparmio di Cesena’s credit portfolio and the related equity/capital needs, brought to the full impairment of the position. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 633 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior - Mezzanine 41 Junior 50 Total 91 Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II) Atlante is a closed-end alternative investment fund (FIA) ruled by Italian law reserved to professional investors and managed by DeA Capital Alternative Funds SGR S.p.A. (“DeA”). The size of the fund was equal to €4,249 million, of which UniCredit S.p.A. invested for about 19.9%. The investment policy of Atlante foresees that the fund may be invested (i) in banks with regulatory capital ratios lower than the minimum level set down in the SREP process and, thus, realise, upon request of the supervisory authority, actions of capital strengthening through capital increases and (ii) in Non-Performing Loans (NPLs) of a plurality of Italian banks. With reference to Atlante fund, as at 31 December 2021 UniCredit S.p.A. holds shares classified as financial assets mandatory at fair value with a carrying value of €157 million. The year-to-date overall cash investments are equal to €844 against which impairments for €684 million and positive fair value changes for €20 million were carried out. Received reimbursement amount to €23 million. In addition, UniCredit S.p.A. has a residual commitment to invest in the fund for an amount less than €2 million. On August 2016, it was launched the Atlante II fund, redenominated Italian Recovery Fund since 27 October 2017, a closed-end investment alternative fund reserved to professional investors, also managed by DeA, which, unlike the Atlante fund, may invest only in NPL and instruments linked to NPL transactions (such as warrants) in order to reduce the risk in line with the parameters used by the largest world institutional investors. With reference to Italian Recovery Fund, as at 31 December 2021 UniCredit S.p.A. holds shares with a carrying value of €170 million, classified as financial assets mandatory at fair value. The year-to-date overall cash investments are equal to €187 against which positive fair value changes for €14 million were carried out. Received reimbursement amount to €31 million. In addition, UniCredit S.p.A. has a residual commitment to invest in Italian Recovery Fund for about €8 million. As at 31 December 2021 the book value (fair value) of these funds has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. This fair value valuation resulted in a lower value of €8 million in the year, accounted in the profit and loss. Under a regulatory perspective, the treatment of the quotes held by UniCredit S.p.A. in the Atlante Fund and Italian Recovery Fund foresees the application of article 128 of the CRR (Items associated with particular high risk). With reference to the residual commitments, the regulatory treatment foresees the application of a Credit Conversion Factor equal to 100% (“full risk” according to the Annex I of CRR), for the calculation of the related Risk Weighted Assets. Information about the investment in the Schema Volontario In November 2015 UniCredit S.p.A. has joined the "Schema Volontario" (hereafter “SV”), a private entity introduced by Fondo Interbancario di Tutela dei Depositi (“FITD”), with appropriate modification of its statute. SV is an instrument for the resolution of bank crises through supporting measures in favour of its member banks, if specific conditions laid down by the legislation occur. SV has an independent funding and the participating banks are committed to supply the relevant resources upon demand, when resources are needed to fund interventions. The initial participating size of the SV has been set up to €700 million (of which €110 million referred to UniCredit S.p.A.). Here follow the main transactions carried out by SV. Cassa di Risparmio di Cesena (CariCesena) In June 2016 the SV approved an action supporting CariCesena, in relation to a capital increase approved by the bank itself on 8 June 2016 for €280 million of which €44 million referred to UniCredit S.p.A. On 30 September 2016 this commitment was converted into a monetary payment which has led to the recognition of capital instruments classified, on the basis of the pre-existing accounting standard IAS39, as “available for sale" for €44 million for UniCredit S.p.A. (in line with the monetary payment). The update of the evaluation of the instruments as at 31 December 2016, according to an internal evaluation model based on multiples of a banking basket integrated with estimates on Cassa di Risparmio di Cesena’s credit portfolio and the related equity/capital needs, brought to the full impairment of the position. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 633 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior - Mezzanine 41 Junior 50 Total 91 Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II) Atlante is a closed-end alternative investment fund (FIA) ruled by Italian law reserved to professional investors and managed by DeA Capital Alternative Funds SGR S.p.A. (“DeA”). The size of the fund was equal to €4,249 million, of which UniCredit S.p.A. invested for about 19.9%. The investment policy of Atlante foresees that the fund may be invested (i) in banks with regulatory capital ratios lower than the minimum level set down in the SREP process and, thus, realise, upon request of the supervisory authority, actions of capital strengthening through capital increases and (ii) in Non-Performing Loans (NPLs) of a plurality of Italian banks. With reference to Atlante fund, as at 31 December 2021 UniCredit S.p.A. holds shares classified as financial assets mandatory at fair value with a carrying value of €157 million. The year-to-date overall cash investments are equal to €844 against which impairments for €684 million and positive fair value changes for €20 million were carried out. Received reimbursement amount to €23 million. In addition, UniCredit S.p.A. has a residual commitment to invest in the fund for an amount less than €2 million. On August 2016, it was launched the Atlante II fund, redenominated Italian Recovery Fund since 27 October 2017, a closed-end investment alternative fund reserved to professional investors, also managed by DeA, which, unlike the Atlante fund, may invest only in NPL and instruments linked to NPL transactions (such as warrants) in order to reduce the risk in line with the parameters used by the largest world institutional investors. With reference to Italian Recovery Fund, as at 31 December 2021 UniCredit S.p.A. holds shares with a carrying value of €170 million, classified as financial assets mandatory at fair value. The year-to-date overall cash investments are equal to €187 against which positive fair value changes for €14 million were carried out. Received reimbursement amount to €31 million. In addition, UniCredit S.p.A. has a residual commitment to invest in Italian Recovery Fund for about €8 million. As at 31 December 2021 the book value (fair value) of these funds has been determined adopting an internal model in which credit risk changes of single ABS in which Atlante fund is invested are considered. This fair value valuation resulted in a lower value of €8 million in the year, accounted in the profit and loss. Under a regulatory perspective, the treatment of the quotes held by UniCredit S.p.A. in the Atlante Fund and Italian Recovery Fund foresees the application of article 128 of the CRR (Items associated with particular high risk). With reference to the residual commitments, the regulatory treatment foresees the application of a Credit Conversion Factor equal to 100% (“full risk” according to the Annex I of CRR), for the calculation of the related Risk Weighted Assets. Information about the investment in the Schema Volontario In November 2015 UniCredit S.p.A. has joined the "Schema Volontario" (hereafter “SV”), a private entity introduced by Fondo Interbancario di Tutela dei Depositi (“FITD”), with appropriate modification of its statute. SV is an instrument for the resolution of bank crises through supporting measures in favour of its member banks, if specific conditions laid down by the legislation occur. SV has an independent funding and the participating banks are committed to supply the relevant resources upon demand, when resources are needed to fund interventions. The initial participating size of the SV has been set up to €700 million (of which €110 million referred to UniCredit S.p.A.). Here follow the main transactions carried out by SV. Cassa di Risparmio di Cesena (CariCesena) In June 2016 the SV approved an action supporting CariCesena, in relation to a capital increase approved by the bank itself on 8 June 2016 for €280 million of which €44 million referred to UniCredit S.p.A. On 30 September 2016 this commitment was converted into a monetary payment which has led to the recognition of capital instruments classified, on the basis of the pre-existing accounting standard IAS39, as “available for sale" for €44 million for UniCredit S.p.A. (in line with the monetary payment). The update of the evaluation of the instruments as at 31 December 2016, according to an internal evaluation model based on multiples of a banking basket integrated with estimates on Cassa di Risparmio di Cesena’s credit portfolio and the related equity/capital needs, brought to the full impairment of the position. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 634 2021 Annual Report and Accounts · UniCredit CariCesena, Cassa di Risparmio di Rimini (Carim) e Cassa di Risparmio di San Miniato (Carismi) In September 2017, in order to face Crédit Agricole CariParma intervention in favour of CariCesena, Carim and Carismi, based on a capital increase of €464 million and on the subscription of bonds from NPL securitisation of these banks for €170 million, the Fund increased its capital endowment for €95 million (to an overall amount of €795 million), increasing the residual commitment referred to UniCredit S.p.A. to €81 million. Hence, in the same month UniCredit S.p.A. paid €9 million in respect of the part of the intervention relating to the capital increase of Carim and Carismi, and in December 2017, UniCredit S.p.A. paid the remaining €72 million (of which €45 million referred to the capital increase of the banks and €27 million referred to the subscription of securitisations). Following these events, UniCredit group’s residual commitment towards SV was substantially nil. All the payments referred to the capital increase of the banks brought to the recognition of capital instruments classified, on the basis of the pre-existing accounting standard IAS39, as “available for sale” and amounting to €54 million for UniCredit S.p.A., entirely cancelled in 2017 financial statements due to the sale of the banks to Crédit Agricole CariParma at a symbolic price. Regarding the portion of investment referred to the subscription of SV of Junior and Mezzanine quotes of the securitisation, the initial value (€27 million for UniCredit S.p.A.) was rectified in 2017 to reflect fair value valuation declared by the SV (€4 million for UniCredit S.p.A.) resulting from the analysis conducted by the advisors in charge of the underlying credits evaluation, conducted according to a Discounted Cash Flow model based on recovery plans elaborated by SPV’s special servicer. Following the update of the assessment received from the SV (supported by the analysis of the appointed advisor), as at 31 December 2021 UniCredit S.p.A. recognised an accumulated impairment of €2.6 million (€0.1 million during 2021). Thus, 31 December 2021, UniCredit S.p.A. carrying value of investments related to securitisation is equal to nearly €1.8 million. Banca Carige On 30 November 2018, the Shareholders' Meeting of the SV decided to intervene in favour of Banca Carige S.p.A. by subscribing a Tier 2 subordinated loan (for a maximum amount of €320 million) issued by Banca Carige S.p.A. and addressed to the conversion into capital to the extent necessary to allow an expected capital increase of €400 million. On the same date, within the framework of the agreement stipulated with SV, Banca Carige S.p.A. placed bonds for €320 million, of which €318.2 million subscribed directly through the SV itself. The bonds were issued at par (100% of the nominal value), with a fixed rate coupon of 13% and a maturity of 10 years (maturity 30 November 2028). Considering the failure to provide by 22 December 2018 the delegation to the Board of Directors by the Extraordinary Shareholders' Meeting of Banca Carige S.p.A. to increase by payment the share capital for a maximum total amount of €400 million, with retroactive effect interests on the principal amount of outstanding bonds from time to time mature at a nominal fixed rate of 16% starting from the date of issue. With reference to the intervention in favour of Banca Carige S.p.A., UniCredit S.p.A. contribution to the SV at the recognition date amounts to €53 million, and it has been identified as a financial instrument classified, on the basis of the existing accounting standard IFRS9, under item "20.c) Financial assets mandatorily at fair value through profit or loss”. As at 31 December 2018, following the evaluation process of the investment, UniCredit S.p.A. recognised impairments for €16 million, thus bringing the carrying value of the instrument to €37 million. As at 31 December 2019 UniCredit S.p.A. has evaluated instrument’s fair value according to internal models (Market Multiples and Multi-Scenario Analysis) for €13 million, also considering the occurred reimbursement of interests for €9 million. Update of evaluation at 31 December 2020 has determined a fair value of €5.1 million. As at 31 December 2021 fair value is substantially zeroed, resulting in an impairment of €5.1 million recognised into profit and loss. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 634 2021 Annual Report and Accounts · UniCredit CariCesena, Cassa di Risparmio di Rimini (Carim) e Cassa di Risparmio di San Miniato (Carismi) In September 2017, in order to face Crédit Agricole CariParma intervention in favour of CariCesena, Carim and Carismi, based on a capital increase of €464 million and on the subscription of bonds from NPL securitisation of these banks for €170 million, the Fund increased its capital endowment for €95 million (to an overall amount of €795 million), increasing the residual commitment referred to UniCredit S.p.A. to €81 million. Hence, in the same month UniCredit S.p.A. paid €9 million in respect of the part of the intervention relating to the capital increase of Carim and Carismi, and in December 2017, UniCredit S.p.A. paid the remaining €72 million (of which €45 million referred to the capital increase of the banks and €27 million referred to the subscription of securitisations). Following these events, UniCredit group’s residual commitment towards SV was substantially nil. All the payments referred to the capital increase of the banks brought to the recognition of capital instruments classified, on the basis of the pre-existing accounting standard IAS39, as “available for sale” and amounting to €54 million for UniCredit S.p.A., entirely cancelled in 2017 financial statements due to the sale of the banks to Crédit Agricole CariParma at a symbolic price. Regarding the portion of investment referred to the subscription of SV of Junior and Mezzanine quotes of the securitisation, the initial value (€27 million for UniCredit S.p.A.) was rectified in 2017 to reflect fair value valuation declared by the SV (€4 million for UniCredit S.p.A.) resulting from the analysis conducted by the advisors in charge of the underlying credits evaluation, conducted according to a Discounted Cash Flow model based on recovery plans elaborated by SPV’s special servicer. Following the update of the assessment received from the SV (supported by the analysis of the appointed advisor), as at 31 December 2021 UniCredit S.p.A. recognised an accumulated impairment of €2.6 million (€0.1 million during 2021). Thus, 31 December 2021, UniCredit S.p.A. carrying value of investments related to securitisation is equal to nearly €1.8 million. Banca Carige On 30 November 2018, the Shareholders' Meeting of the SV decided to intervene in favour of Banca Carige S.p.A. by subscribing a Tier 2 subordinated loan (for a maximum amount of €320 million) issued by Banca Carige S.p.A. and addressed to the conversion into capital to the extent necessary to allow an expected capital increase of €400 million. On the same date, within the framework of the agreement stipulated with SV, Banca Carige S.p.A. placed bonds for €320 million, of which €318.2 million subscribed directly through the SV itself. The bonds were issued at par (100% of the nominal value), with a fixed rate coupon of 13% and a maturity of 10 years (maturity 30 November 2028). Considering the failure to provide by 22 December 2018 the delegation to the Board of Directors by the Extraordinary Shareholders' Meeting of Banca Carige S.p.A. to increase by payment the share capital for a maximum total amount of €400 million, with retroactive effect interests on the principal amount of outstanding bonds from time to time mature at a nominal fixed rate of 16% starting from the date of issue. With reference to the intervention in favour of Banca Carige S.p.A., UniCredit S.p.A. contribution to the SV at the recognition date amounts to €53 million, and it has been identified as a financial instrument classified, on the basis of the existing accounting standard IFRS9, under item "20.c) Financial assets mandatorily at fair value through profit or loss”. As at 31 December 2018, following the evaluation process of the investment, UniCredit S.p.A. recognised impairments for €16 million, thus bringing the carrying value of the instrument to €37 million. As at 31 December 2019 UniCredit S.p.A. has evaluated instrument’s fair value according to internal models (Market Multiples and Multi-Scenario Analysis) for €13 million, also considering the occurred reimbursement of interests for €9 million. Update of evaluation at 31 December 2020 has determined a fair value of €5.1 million. As at 31 December 2021 fair value is substantially zeroed, resulting in an impairment of €5.1 million recognised into profit and loss. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 634 2021 Annual Report and Accounts · UniCredit CariCesena, Cassa di Risparmio di Rimini (Carim) e Cassa di Risparmio di San Miniato (Carismi) In September 2017, in order to face Crédit Agricole CariParma intervention in favour of CariCesena, Carim and Carismi, based on a capital increase of €464 million and on the subscription of bonds from NPL securitisation of these banks for €170 million, the Fund increased its capital endowment for €95 million (to an overall amount of €795 million), increasing the residual commitment referred to UniCredit S.p.A. to €81 million. Hence, in the same month UniCredit S.p.A. paid €9 million in respect of the part of the intervention relating to the capital increase of Carim and Carismi, and in December 2017, UniCredit S.p.A. paid the remaining €72 million (of which €45 million referred to the capital increase of the banks and €27 million referred to the subscription of securitisations). Following these events, UniCredit group’s residual commitment towards SV was substantially nil. All the payments referred to the capital increase of the banks brought to the recognition of capital instruments classified, on the basis of the pre-existing accounting standard IAS39, as “available for sale” and amounting to €54 million for UniCredit S.p.A., entirely cancelled in 2017 financial statements due to the sale of the banks to Crédit Agricole CariParma at a symbolic price. Regarding the portion of investment referred to the subscription of SV of Junior and Mezzanine quotes of the securitisation, the initial value (€27 million for UniCredit S.p.A.) was rectified in 2017 to reflect fair value valuation declared by the SV (€4 million for UniCredit S.p.A.) resulting from the analysis conducted by the advisors in charge of the underlying credits evaluation, conducted according to a Discounted Cash Flow model based on recovery plans elaborated by SPV’s special servicer. Following the update of the assessment received from the SV (supported by the analysis of the appointed advisor), as at 31 December 2021 UniCredit S.p.A. recognised an accumulated impairment of €2.6 million (€0.1 million during 2021). Thus, 31 December 2021, UniCredit S.p.A. carrying value of investments related to securitisation is equal to nearly €1.8 million. Banca Carige On 30 November 2018, the Shareholders' Meeting of the SV decided to intervene in favour of Banca Carige S.p.A. by subscribing a Tier 2 subordinated loan (for a maximum amount of €320 million) issued by Banca Carige S.p.A. and addressed to the conversion into capital to the extent necessary to allow an expected capital increase of €400 million. On the same date, within the framework of the agreement stipulated with SV, Banca Carige S.p.A. placed bonds for €320 million, of which €318.2 million subscribed directly through the SV itself. The bonds were issued at par (100% of the nominal value), with a fixed rate coupon of 13% and a maturity of 10 years (maturity 30 November 2028). Considering the failure to provide by 22 December 2018 the delegation to the Board of Directors by the Extraordinary Shareholders' Meeting of Banca Carige S.p.A. to increase by payment the share capital for a maximum total amount of €400 million, with retroactive effect interests on the principal amount of outstanding bonds from time to time mature at a nominal fixed rate of 16% starting from the date of issue. With reference to the intervention in favour of Banca Carige S.p.A., UniCredit S.p.A. contribution to the SV at the recognition date amounts to €53 million, and it has been identified as a financial instrument classified, on the basis of the existing accounting standard IFRS9, under item "20.c) Financial assets mandatorily at fair value through profit or loss”. As at 31 December 2018, following the evaluation process of the investment, UniCredit S.p.A. recognised impairments for €16 million, thus bringing the carrying value of the instrument to €37 million. As at 31 December 2019 UniCredit S.p.A. has evaluated instrument’s fair value according to internal models (Market Multiples and Multi-Scenario Analysis) for €13 million, also considering the occurred reimbursement of interests for €9 million. Update of evaluation at 31 December 2020 has determined a fair value of €5.1 million. As at 31 December 2021 fair value is substantially zeroed, resulting in an impairment of €5.1 million recognised into profit and loss. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 634 2021 Annual Report and Accounts · UniCredit CariCesena, Cassa di Risparmio di Rimini (Carim) e Cassa di Risparmio di San Miniato (Carismi) In September 2017, in order to face Crédit Agricole CariParma intervention in favour of CariCesena, Carim and Carismi, based on a capital increase of €464 million and on the subscription of bonds from NPL securitisation of these banks for €170 million, the Fund increased its capital endowment for €95 million (to an overall amount of €795 million), increasing the residual commitment referred to UniCredit S.p.A. to €81 million. Hence, in the same month UniCredit S.p.A. paid €9 million in respect of the part of the intervention relating to the capital increase of Carim and Carismi, and in December 2017, UniCredit S.p.A. paid the remaining €72 million (of which €45 million referred to the capital increase of the banks and €27 million referred to the subscription of securitisations). Following these events, UniCredit group’s residual commitment towards SV was substantially nil. All the payments referred to the capital increase of the banks brought to the recognition of capital instruments classified, on the basis of the pre-existing accounting standard IAS39, as “available for sale” and amounting to €54 million for UniCredit S.p.A., entirely cancelled in 2017 financial statements due to the sale of the banks to Crédit Agricole CariParma at a symbolic price. Regarding the portion of investment referred to the subscription of SV of Junior and Mezzanine quotes of the securitisation, the initial value (€27 million for UniCredit S.p.A.) was rectified in 2017 to reflect fair value valuation declared by the SV (€4 million for UniCredit S.p.A.) resulting from the analysis conducted by the advisors in charge of the underlying credits evaluation, conducted according to a Discounted Cash Flow model based on recovery plans elaborated by SPV’s special servicer. Following the update of the assessment received from the SV (supported by the analysis of the appointed advisor), as at 31 December 2021 UniCredit S.p.A. recognised an accumulated impairment of €2.6 million (€0.1 million during 2021). Thus, 31 December 2021, UniCredit S.p.A. carrying value of investments related to securitisation is equal to nearly €1.8 million. Banca Carige On 30 November 2018, the Shareholders' Meeting of the SV decided to intervene in favour of Banca Carige S.p.A. by subscribing a Tier 2 subordinated loan (for a maximum amount of €320 million) issued by Banca Carige S.p.A. and addressed to the conversion into capital to the extent necessary to allow an expected capital increase of €400 million. On the same date, within the framework of the agreement stipulated with SV, Banca Carige S.p.A. placed bonds for €320 million, of which €318.2 million subscribed directly through the SV itself. The bonds were issued at par (100% of the nominal value), with a fixed rate coupon of 13% and a maturity of 10 years (maturity 30 November 2028). Considering the failure to provide by 22 December 2018 the delegation to the Board of Directors by the Extraordinary Shareholders' Meeting of Banca Carige S.p.A. to increase by payment the share capital for a maximum total amount of €400 million, with retroactive effect interests on the principal amount of outstanding bonds from time to time mature at a nominal fixed rate of 16% starting from the date of issue. With reference to the intervention in favour of Banca Carige S.p.A., UniCredit S.p.A. contribution to the SV at the recognition date amounts to €53 million, and it has been identified as a financial instrument classified, on the basis of the existing accounting standard IFRS9, under item "20.c) Financial assets mandatorily at fair value through profit or loss”. As at 31 December 2018, following the evaluation process of the investment, UniCredit S.p.A. recognised impairments for €16 million, thus bringing the carrying value of the instrument to €37 million. As at 31 December 2019 UniCredit S.p.A. has evaluated instrument’s fair value according to internal models (Market Multiples and Multi-Scenario Analysis) for €13 million, also considering the occurred reimbursement of interests for €9 million. Update of evaluation at 31 December 2020 has determined a fair value of €5.1 million. As at 31 December 2021 fair value is substantially zeroed, resulting in an impairment of €5.1 million recognised into profit and loss. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 634 2021 Annual Report and Accounts · UniCredit CariCesena, Cassa di Risparmio di Rimini (Carim) e Cassa di Risparmio di San Miniato (Carismi) In September 2017, in order to face Crédit Agricole CariParma intervention in favour of CariCesena, Carim and Carismi, based on a capital increase of €464 million and on the subscription of bonds from NPL securitisation of these banks for €170 million, the Fund increased its capital endowment for €95 million (to an overall amount of €795 million), increasing the residual commitment referred to UniCredit S.p.A. to €81 million. Hence, in the same month UniCredit S.p.A. paid €9 million in respect of the part of the intervention relating to the capital increase of Carim and Carismi, and in December 2017, UniCredit S.p.A. paid the remaining €72 million (of which €45 million referred to the capital increase of the banks and €27 million referred to the subscription of securitisations). Following these events, UniCredit group’s residual commitment towards SV was substantially nil. All the payments referred to the capital increase of the banks brought to the recognition of capital instruments classified, on the basis of the pre-existing accounting standard IAS39, as “available for sale” and amounting to €54 million for UniCredit S.p.A., entirely cancelled in 2017 financial statements due to the sale of the banks to Crédit Agricole CariParma at a symbolic price. Regarding the portion of investment referred to the subscription of SV of Junior and Mezzanine quotes of the securitisation, the initial value (€27 million for UniCredit S.p.A.) was rectified in 2017 to reflect fair value valuation declared by the SV (€4 million for UniCredit S.p.A.) resulting from the analysis conducted by the advisors in charge of the underlying credits evaluation, conducted according to a Discounted Cash Flow model based on recovery plans elaborated by SPV’s special servicer. Following the update of the assessment received from the SV (supported by the analysis of the appointed advisor), as at 31 December 2021 UniCredit S.p.A. recognised an accumulated impairment of €2.6 million (€0.1 million during 2021). Thus, 31 December 2021, UniCredit S.p.A. carrying value of investments related to securitisation is equal to nearly €1.8 million. Banca Carige On 30 November 2018, the Shareholders' Meeting of the SV decided to intervene in favour of Banca Carige S.p.A. by subscribing a Tier 2 subordinated loan (for a maximum amount of €320 million) issued by Banca Carige S.p.A. and addressed to the conversion into capital to the extent necessary to allow an expected capital increase of €400 million. On the same date, within the framework of the agreement stipulated with SV, Banca Carige S.p.A. placed bonds for €320 million, of which €318.2 million subscribed directly through the SV itself. The bonds were issued at par (100% of the nominal value), with a fixed rate coupon of 13% and a maturity of 10 years (maturity 30 November 2028). Considering the failure to provide by 22 December 2018 the delegation to the Board of Directors by the Extraordinary Shareholders' Meeting of Banca Carige S.p.A. to increase by payment the share capital for a maximum total amount of €400 million, with retroactive effect interests on the principal amount of outstanding bonds from time to time mature at a nominal fixed rate of 16% starting from the date of issue. With reference to the intervention in favour of Banca Carige S.p.A., UniCredit S.p.A. contribution to the SV at the recognition date amounts to €53 million, and it has been identified as a financial instrument classified, on the basis of the existing accounting standard IFRS9, under item "20.c) Financial assets mandatorily at fair value through profit or loss”. As at 31 December 2018, following the evaluation process of the investment, UniCredit S.p.A. recognised impairments for €16 million, thus bringing the carrying value of the instrument to €37 million. As at 31 December 2019 UniCredit S.p.A. has evaluated instrument’s fair value according to internal models (Market Multiples and Multi-Scenario Analysis) for €13 million, also considering the occurred reimbursement of interests for €9 million. Update of evaluation at 31 December 2020 has determined a fair value of €5.1 million. As at 31 December 2021 fair value is substantially zeroed, resulting in an impairment of €5.1 million recognised into profit and loss. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 635 2.6 Other Financial assets mandatorily at fair value:breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Equity instruments 870 596 of which: banks 229 - of which: other financial companies 104 103 of which: non-financial companies 537 494 2. Debt securities 3,420 2,248 a) Central banks - - b) Governments and other Public Sector Entities 65 68 c) Banks 3,053 2,010 d) Other financial companies 295 165 of which: insurance companies 69 45 e) Non-financial companies 7 5 3. Units in investment funds 1,566 1,465 4. Loans and advances 89 43 a) Central banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies 37 - of which: insurance companies - - e) Non-financial companies 52 43 f) Households - - Total 5,945 4,352 The item “1. Equity instruments of which: Banks” includes Yapi Ve Kredi Bankasi A.S. stake. For further details on the Yapi Ve kredi Bankasi A.S.’s transaction refer to the paragraph “7.1 Equity investments: information on shareholders’ equity” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Section 3 - Financial assets at fair value through other comprehensive income - Item 30 3.1 Financial assets at fair value through other comprehensive income: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 28,603 5,558 1,095 27,176 5,150 128 1.1 Structured securities - - - - - - 1.2 Other 28,603 5,558 1,095 27,176 5,150 128 2. Equity instruments 6 554 648 17 804 562 3. Loans - - - - - - Total 28,609 6,112 1,743 27,193 5,954 690 Total Level 1, Level 2 and Level 3 36,464 33,837 Changes in debt securities is mainly determined by new purchases of government bonds net of sales and maturities. Item “Debt Securities” includes FINO Project’s investments in Senior and in part in Mezzanine notes, qualified as Level 3 instruments, with a value of €88 million, in Senior bonds of Prisma securitisation for €745 million, qualified as Level 3 instruments, in Senior bonds of Relais for €407 million, qualified as Level 2 instruments, and in Senior bonds of Olympia securitisation, qualified as Level 3 instruments, for €261 million. It should be noted, in particular, that during 2021, as a result of the occurred unobservability of inputs used in the valuation, the senior class securities related to Prisma securitisation have been reclassified from Level 2 to Level 3 of the Fair value hierarchy. Item “Equity instruments” includes Banca d’Italia stake (presented among Level 2 instruments), with a value of €554 million and ABH Holding SA investments (presented among Level 3 instruments) acquired in contemplation of the sale of PJSC Ukrsotbank to Alfa Group, with a value of €287 million, equal to the consideration of the put option of the shares exercised by UniCredit S.p.A. on 9 November 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 635 2.6 Other Financial assets mandatorily at fair value:breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Equity instruments 870 596 of which: banks 229 - of which: other financial companies 104 103 of which: non-financial companies 537 494 2. Debt securities 3,420 2,248 a) Central banks - - b) Governments and other Public Sector Entities 65 68 c) Banks 3,053 2,010 d) Other financial companies 295 165 of which: insurance companies 69 45 e) Non-financial companies 7 5 3. Units in investment funds 1,566 1,465 4. Loans and advances 89 43 a) Central banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies 37 - of which: insurance companies - - e) Non-financial companies 52 43 f) Households - - Total 5,945 4,352 The item “1. Equity instruments of which: Banks” includes Yapi Ve Kredi Bankasi A.S. stake. For further details on the Yapi Ve kredi Bankasi A.S.’s transaction refer to the paragraph “7.1 Equity investments: information on shareholders’ equity” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Section 3 - Financial assets at fair value through other comprehensive income - Item 30 3.1 Financial assets at fair value through other comprehensive income: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 28,603 5,558 1,095 27,176 5,150 128 1.1 Structured securities - - - - - - 1.2 Other 28,603 5,558 1,095 27,176 5,150 128 2. Equity instruments 6 554 648 17 804 562 3. Loans - - - - - - Total 28,609 6,112 1,743 27,193 5,954 690 Total Level 1, Level 2 and Level 3 36,464 33,837 Changes in debt securities is mainly determined by new purchases of government bonds net of sales and maturities. Item “Debt Securities” includes FINO Project’s investments in Senior and in part in Mezzanine notes, qualified as Level 3 instruments, with a value of €88 million, in Senior bonds of Prisma securitisation for €745 million, qualified as Level 3 instruments, in Senior bonds of Relais for €407 million, qualified as Level 2 instruments, and in Senior bonds of Olympia securitisation, qualified as Level 3 instruments, for €261 million. It should be noted, in particular, that during 2021, as a result of the occurred unobservability of inputs used in the valuation, the senior class securities related to Prisma securitisation have been reclassified from Level 2 to Level 3 of the Fair value hierarchy. Item “Equity instruments” includes Banca d’Italia stake (presented among Level 2 instruments), with a value of €554 million and ABH Holding SA investments (presented among Level 3 instruments) acquired in contemplation of the sale of PJSC Ukrsotbank to Alfa Group, with a value of €287 million, equal to the consideration of the put option of the shares exercised by UniCredit S.p.A. on 9 November 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 635 2.6 Other Financial assets mandatorily at fair value:breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Equity instruments 870 596 of which: banks 229 - of which: other financial companies 104 103 of which: non-financial companies 537 494 2. Debt securities 3,420 2,248 a) Central banks - - b) Governments and other Public Sector Entities 65 68 c) Banks 3,053 2,010 d) Other financial companies 295 165 of which: insurance companies 69 45 e) Non-financial companies 7 5 3. Units in investment funds 1,566 1,465 4. Loans and advances 89 43 a) Central banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies 37 - of which: insurance companies - - e) Non-financial companies 52 43 f) Households - - Total 5,945 4,352 The item “1. Equity instruments of which: Banks” includes Yapi Ve Kredi Bankasi A.S. stake. For further details on the Yapi Ve kredi Bankasi A.S.’s transaction refer to the paragraph “7.1 Equity investments: information on shareholders’ equity” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Section 3 - Financial assets at fair value through other comprehensive income - Item 30 3.1 Financial assets at fair value through other comprehensive income: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 28,603 5,558 1,095 27,176 5,150 128 1.1 Structured securities - - - - - - 1.2 Other 28,603 5,558 1,095 27,176 5,150 128 2. Equity instruments 6 554 648 17 804 562 3. Loans - - - - - - Total 28,609 6,112 1,743 27,193 5,954 690 Total Level 1, Level 2 and Level 3 36,464 33,837 Changes in debt securities is mainly determined by new purchases of government bonds net of sales and maturities. Item “Debt Securities” includes FINO Project’s investments in Senior and in part in Mezzanine notes, qualified as Level 3 instruments, with a value of €88 million, in Senior bonds of Prisma securitisation for €745 million, qualified as Level 3 instruments, in Senior bonds of Relais for €407 million, qualified as Level 2 instruments, and in Senior bonds of Olympia securitisation, qualified as Level 3 instruments, for €261 million. It should be noted, in particular, that during 2021, as a result of the occurred unobservability of inputs used in the valuation, the senior class securities related to Prisma securitisation have been reclassified from Level 2 to Level 3 of the Fair value hierarchy. Item “Equity instruments” includes Banca d’Italia stake (presented among Level 2 instruments), with a value of €554 million and ABH Holding SA investments (presented among Level 3 instruments) acquired in contemplation of the sale of PJSC Ukrsotbank to Alfa Group, with a value of €287 million, equal to the consideration of the put option of the shares exercised by UniCredit S.p.A. on 9 November 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 635 2.6 Other Financial assets mandatorily at fair value:breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Equity instruments 870 596 of which: banks 229 - of which: other financial companies 104 103 of which: non-financial companies 537 494 2. Debt securities 3,420 2,248 a) Central banks - - b) Governments and other Public Sector Entities 65 68 c) Banks 3,053 2,010 d) Other financial companies 295 165 of which: insurance companies 69 45 e) Non-financial companies 7 5 3. Units in investment funds 1,566 1,465 4. Loans and advances 89 43 a) Central banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies 37 - of which: insurance companies - - e) Non-financial companies 52 43 f) Households - - Total 5,945 4,352 The item “1. Equity instruments of which: Banks” includes Yapi Ve Kredi Bankasi A.S. stake. For further details on the Yapi Ve kredi Bankasi A.S.’s transaction refer to the paragraph “7.1 Equity investments: information on shareholders’ equity” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Section 3 - Financial assets at fair value through other comprehensive income - Item 30 3.1 Financial assets at fair value through other comprehensive income: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 28,603 5,558 1,095 27,176 5,150 128 1.1 Structured securities - - - - - - 1.2 Other 28,603 5,558 1,095 27,176 5,150 128 2. Equity instruments 6 554 648 17 804 562 3. Loans - - - - - - Total 28,609 6,112 1,743 27,193 5,954 690 Total Level 1, Level 2 and Level 3 36,464 33,837 Changes in debt securities is mainly determined by new purchases of government bonds net of sales and maturities. Item “Debt Securities” includes FINO Project’s investments in Senior and in part in Mezzanine notes, qualified as Level 3 instruments, with a value of €88 million, in Senior bonds of Prisma securitisation for €745 million, qualified as Level 3 instruments, in Senior bonds of Relais for €407 million, qualified as Level 2 instruments, and in Senior bonds of Olympia securitisation, qualified as Level 3 instruments, for €261 million. It should be noted, in particular, that during 2021, as a result of the occurred unobservability of inputs used in the valuation, the senior class securities related to Prisma securitisation have been reclassified from Level 2 to Level 3 of the Fair value hierarchy. Item “Equity instruments” includes Banca d’Italia stake (presented among Level 2 instruments), with a value of €554 million and ABH Holding SA investments (presented among Level 3 instruments) acquired in contemplation of the sale of PJSC Ukrsotbank to Alfa Group, with a value of €287 million, equal to the consideration of the put option of the shares exercised by UniCredit S.p.A. on 9 November 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 635 2.6 Other Financial assets mandatorily at fair value:breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Equity instruments 870 596 of which: banks 229 - of which: other financial companies 104 103 of which: non-financial companies 537 494 2. Debt securities 3,420 2,248 a) Central banks - - b) Governments and other Public Sector Entities 65 68 c) Banks 3,053 2,010 d) Other financial companies 295 165 of which: insurance companies 69 45 e) Non-financial companies 7 5 3. Units in investment funds 1,566 1,465 4. Loans and advances 89 43 a) Central banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies 37 - of which: insurance companies - - e) Non-financial companies 52 43 f) Households - - Total 5,945 4,352 The item “1. Equity instruments of which: Banks” includes Yapi Ve Kredi Bankasi A.S. stake. For further details on the Yapi Ve kredi Bankasi A.S.’s transaction refer to the paragraph “7.1 Equity investments: information on shareholders’ equity” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, Section 7 - Equity investments - Item 70. Section 3 - Financial assets at fair value through other comprehensive income - Item 30 3.1 Financial assets at fair value through other comprehensive income: breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ITEMS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Debt securities 28,603 5,558 1,095 27,176 5,150 128 1.1 Structured securities - - - - - - 1.2 Other 28,603 5,558 1,095 27,176 5,150 128 2. Equity instruments 6 554 648 17 804 562 3. Loans - - - - - - Total 28,609 6,112 1,743 27,193 5,954 690 Total Level 1, Level 2 and Level 3 36,464 33,837 Changes in debt securities is mainly determined by new purchases of government bonds net of sales and maturities. Item “Debt Securities” includes FINO Project’s investments in Senior and in part in Mezzanine notes, qualified as Level 3 instruments, with a value of €88 million, in Senior bonds of Prisma securitisation for €745 million, qualified as Level 3 instruments, in Senior bonds of Relais for €407 million, qualified as Level 2 instruments, and in Senior bonds of Olympia securitisation, qualified as Level 3 instruments, for €261 million. It should be noted, in particular, that during 2021, as a result of the occurred unobservability of inputs used in the valuation, the senior class securities related to Prisma securitisation have been reclassified from Level 2 to Level 3 of the Fair value hierarchy. Item “Equity instruments” includes Banca d’Italia stake (presented among Level 2 instruments), with a value of €554 million and ABH Holding SA investments (presented among Level 3 instruments) acquired in contemplation of the sale of PJSC Ukrsotbank to Alfa Group, with a value of €287 million, equal to the consideration of the put option of the shares exercised by UniCredit S.p.A. on 9 November 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 636 2021 Annual Report and Accounts · UniCredit Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,490 Mezzanine 12 Junior - Total 1,502 Information about the shareholding in Banca d'Italia Since the end of 2015, UniCredit S.p.A. started the disposal of its stake in Banca d’Italia for an amount corresponding to its carrying value. Until the end of 2021, UniCredit S.p.A. completed the disposal of about 14.7% of the share capital of Banca d’Italia for about €1.105 million, of which about €251 million in 2021 (equal to about 3.3%), thus reducing its shareholding to 7.4% (carrying value equal to about €554 million). The disposal process is the result of a capital increase carried out by Banca d’Italia in 2013 when, in order to facilitate the redistribution of shares, a limit of 3% was introduced in respect of holding shares: after an interim period of no more than 36 months, no economic rights were applicable to shares exceeding the above limit. Such limit is now equal to 5%, following a legislative change. During the last years, the shareholders with excess shares started the disposal process, finalising sales for approximately 50% of Banca d’Italia total capital. The carrying value as at 31 December 2021, in line with the figure at the end of the previous year and the outcome of the measurement conducted by the committee of high-level experts on behalf of Banca d’Italia at the time of the capital increase, is supported by the price consideration of the transactions that took place since 2015. The relevant measurement was therefore confirmed as Level 2 in the fair value classification. With regard to regulatory treatment as at 31 December 2021, the value of the investment, measured at fair value, is given a weighting of 100% (in accordance with article 133 “Exposures in Equity Instruments” of the CRR). 3.2 Financial assets at fair value through other comprehensive income: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 35,256 32,454 a) Central Banks - - b) Governments and other Public Sector Entities 30,552 28,405 c) Banks 1,936 1,839 d) Other financial companies 1,956 1,434 of which: insurance companies - - e) Non-financial companies 812 776 2. Equity instruments 1,208 1,383 a) Banks 614 870 b) Other issuers 594 513 - Other financial companies 459 370 of which: insurance companies 3 5 - Non-financial companies 135 143 - Other - - 3. Loans and advances - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 36,464 33,837 The item “2.Equity instruments a) Banks” includes Banca d’Italia stake. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 636 2021 Annual Report and Accounts · UniCredit Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,490 Mezzanine 12 Junior - Total 1,502 Information about the shareholding in Banca d'Italia Since the end of 2015, UniCredit S.p.A. started the disposal of its stake in Banca d’Italia for an amount corresponding to its carrying value. Until the end of 2021, UniCredit S.p.A. completed the disposal of about 14.7% of the share capital of Banca d’Italia for about €1.105 million, of which about €251 million in 2021 (equal to about 3.3%), thus reducing its shareholding to 7.4% (carrying value equal to about €554 million). The disposal process is the result of a capital increase carried out by Banca d’Italia in 2013 when, in order to facilitate the redistribution of shares, a limit of 3% was introduced in respect of holding shares: after an interim period of no more than 36 months, no economic rights were applicable to shares exceeding the above limit. Such limit is now equal to 5%, following a legislative change. During the last years, the shareholders with excess shares started the disposal process, finalising sales for approximately 50% of Banca d’Italia total capital. The carrying value as at 31 December 2021, in line with the figure at the end of the previous year and the outcome of the measurement conducted by the committee of high-level experts on behalf of Banca d’Italia at the time of the capital increase, is supported by the price consideration of the transactions that took place since 2015. The relevant measurement was therefore confirmed as Level 2 in the fair value classification. With regard to regulatory treatment as at 31 December 2021, the value of the investment, measured at fair value, is given a weighting of 100% (in accordance with article 133 “Exposures in Equity Instruments” of the CRR). 3.2 Financial assets at fair value through other comprehensive income: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 35,256 32,454 a) Central Banks - - b) Governments and other Public Sector Entities 30,552 28,405 c) Banks 1,936 1,839 d) Other financial companies 1,956 1,434 of which: insurance companies - - e) Non-financial companies 812 776 2. Equity instruments 1,208 1,383 a) Banks 614 870 b) Other issuers 594 513 - Other financial companies 459 370 of which: insurance companies 3 5 - Non-financial companies 135 143 - Other - - 3. Loans and advances - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 36,464 33,837 The item “2.Equity instruments a) Banks” includes Banca d’Italia stake. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 636 2021 Annual Report and Accounts · UniCredit Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,490 Mezzanine 12 Junior - Total 1,502 Information about the shareholding in Banca d'Italia Since the end of 2015, UniCredit S.p.A. started the disposal of its stake in Banca d’Italia for an amount corresponding to its carrying value. Until the end of 2021, UniCredit S.p.A. completed the disposal of about 14.7% of the share capital of Banca d’Italia for about €1.105 million, of which about €251 million in 2021 (equal to about 3.3%), thus reducing its shareholding to 7.4% (carrying value equal to about €554 million). The disposal process is the result of a capital increase carried out by Banca d’Italia in 2013 when, in order to facilitate the redistribution of shares, a limit of 3% was introduced in respect of holding shares: after an interim period of no more than 36 months, no economic rights were applicable to shares exceeding the above limit. Such limit is now equal to 5%, following a legislative change. During the last years, the shareholders with excess shares started the disposal process, finalising sales for approximately 50% of Banca d’Italia total capital. The carrying value as at 31 December 2021, in line with the figure at the end of the previous year and the outcome of the measurement conducted by the committee of high-level experts on behalf of Banca d’Italia at the time of the capital increase, is supported by the price consideration of the transactions that took place since 2015. The relevant measurement was therefore confirmed as Level 2 in the fair value classification. With regard to regulatory treatment as at 31 December 2021, the value of the investment, measured at fair value, is given a weighting of 100% (in accordance with article 133 “Exposures in Equity Instruments” of the CRR). 3.2 Financial assets at fair value through other comprehensive income: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 35,256 32,454 a) Central Banks - - b) Governments and other Public Sector Entities 30,552 28,405 c) Banks 1,936 1,839 d) Other financial companies 1,956 1,434 of which: insurance companies - - e) Non-financial companies 812 776 2. Equity instruments 1,208 1,383 a) Banks 614 870 b) Other issuers 594 513 - Other financial companies 459 370 of which: insurance companies 3 5 - Non-financial companies 135 143 - Other - - 3. Loans and advances - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 36,464 33,837 The item “2.Equity instruments a) Banks” includes Banca d’Italia stake. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 636 2021 Annual Report and Accounts · UniCredit Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,490 Mezzanine 12 Junior - Total 1,502 Information about the shareholding in Banca d'Italia Since the end of 2015, UniCredit S.p.A. started the disposal of its stake in Banca d’Italia for an amount corresponding to its carrying value. Until the end of 2021, UniCredit S.p.A. completed the disposal of about 14.7% of the share capital of Banca d’Italia for about €1.105 million, of which about €251 million in 2021 (equal to about 3.3%), thus reducing its shareholding to 7.4% (carrying value equal to about €554 million). The disposal process is the result of a capital increase carried out by Banca d’Italia in 2013 when, in order to facilitate the redistribution of shares, a limit of 3% was introduced in respect of holding shares: after an interim period of no more than 36 months, no economic rights were applicable to shares exceeding the above limit. Such limit is now equal to 5%, following a legislative change. During the last years, the shareholders with excess shares started the disposal process, finalising sales for approximately 50% of Banca d’Italia total capital. The carrying value as at 31 December 2021, in line with the figure at the end of the previous year and the outcome of the measurement conducted by the committee of high-level experts on behalf of Banca d’Italia at the time of the capital increase, is supported by the price consideration of the transactions that took place since 2015. The relevant measurement was therefore confirmed as Level 2 in the fair value classification. With regard to regulatory treatment as at 31 December 2021, the value of the investment, measured at fair value, is given a weighting of 100% (in accordance with article 133 “Exposures in Equity Instruments” of the CRR). 3.2 Financial assets at fair value through other comprehensive income: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 35,256 32,454 a) Central Banks - - b) Governments and other Public Sector Entities 30,552 28,405 c) Banks 1,936 1,839 d) Other financial companies 1,956 1,434 of which: insurance companies - - e) Non-financial companies 812 776 2. Equity instruments 1,208 1,383 a) Banks 614 870 b) Other issuers 594 513 - Other financial companies 459 370 of which: insurance companies 3 5 - Non-financial companies 135 143 - Other - - 3. Loans and advances - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 36,464 33,837 The item “2.Equity instruments a) Banks” includes Banca d’Italia stake. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 636 2021 Annual Report and Accounts · UniCredit Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1,490 Mezzanine 12 Junior - Total 1,502 Information about the shareholding in Banca d'Italia Since the end of 2015, UniCredit S.p.A. started the disposal of its stake in Banca d’Italia for an amount corresponding to its carrying value. Until the end of 2021, UniCredit S.p.A. completed the disposal of about 14.7% of the share capital of Banca d’Italia for about €1.105 million, of which about €251 million in 2021 (equal to about 3.3%), thus reducing its shareholding to 7.4% (carrying value equal to about €554 million). The disposal process is the result of a capital increase carried out by Banca d’Italia in 2013 when, in order to facilitate the redistribution of shares, a limit of 3% was introduced in respect of holding shares: after an interim period of no more than 36 months, no economic rights were applicable to shares exceeding the above limit. Such limit is now equal to 5%, following a legislative change. During the last years, the shareholders with excess shares started the disposal process, finalising sales for approximately 50% of Banca d’Italia total capital. The carrying value as at 31 December 2021, in line with the figure at the end of the previous year and the outcome of the measurement conducted by the committee of high-level experts on behalf of Banca d’Italia at the time of the capital increase, is supported by the price consideration of the transactions that took place since 2015. The relevant measurement was therefore confirmed as Level 2 in the fair value classification. With regard to regulatory treatment as at 31 December 2021, the value of the investment, measured at fair value, is given a weighting of 100% (in accordance with article 133 “Exposures in Equity Instruments” of the CRR). 3.2 Financial assets at fair value through other comprehensive income: breakdown by borrowers/issuers (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Debt securities 35,256 32,454 a) Central Banks - - b) Governments and other Public Sector Entities 30,552 28,405 c) Banks 1,936 1,839 d) Other financial companies 1,956 1,434 of which: insurance companies - - e) Non-financial companies 812 776 2. Equity instruments 1,208 1,383 a) Banks 614 870 b) Other issuers 594 513 - Other financial companies 459 370 of which: insurance companies 3 5 - Non-financial companies 135 143 - Other - - 3. Loans and advances - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - of which: insurance companies - - e) Non-financial companies - - f) Households - - Total 36,464 33,837 The item “2.Equity instruments a) Banks” includes Banca d’Italia stake. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 637 3.3 Financial assets at fair value through other comprehensive income: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS PARTIAL ACCUMULATED WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION Debt securities 35,264 35,263 44 2 - 52 - 2 - - Loans and advances - - - - - - - - - - Total 12.31.2021 35,264 35,263 44 2 - 52 - 2 - - Total 12.31.2020 32,493 32,492 - 1 - 39 - 1 - - Note: (*) Value shown for information purposes. Section 4 - Financial assets at amortised cost - Item 40 4.1 Financial assets at amortised cost: breakdown by product of loans and advances to banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 A. Loans and advances to Central Banks 15,117 - - - 453 14,664 13,735 - - - - 13,735 1. Time deposits - - - X X X - - - X X X 2. Compulsory reserves 14,663 - - X X X 13,735 - - X X X 3. Reverse repos 452 - - X X X - - - X X X 4. Other 2 - - X X X - - - X X X B. Loans and advances to banks 22,257 - - 3,872 14,356 4,206 26,163 - - 2,063 19,300 5,085 1. Loans 11,611 - - - 7,472 4,196 19,651 - - - 14,603 5,075 1.1 Current accounts - - - X X X - - - X X X 1.2 Time deposits 2,194 - - X X X 3,641 - - X X X 1.3 Other loans 9,417 - - X X X 16,010 - - X X X - Reverse repos 4,487 - - X X X 10,344 - - X X X - Lease Loans 17 - - X X X 19 - - X X X - Other 4,913 - - X X X 5,647 - - X X X 2. Debt securities 10,646 - - 3,872 6,884 10 6,512 - - 2,063 4,697 10 2.1 Structured - - - - - - - - - - - - 2.2 Other 10,646 - - 3,872 6,884 10 6,512 - - 2,063 4,697 10 Total 37,374 - - 3,872 14,809 18,870 39,898 - - 2,063 19,300 18,820 Total Level 1, Level 2 and Level 3 37,551 40,183 Loans and Advances with Central Banks include into compulsory reserve temporary retained liquidity to be invested in a short term. Into Loans and advances to banks, debt securities increase due to purchases of bonds mainly issued by legal entities belonging to the Group. Further, the Loans and advances with Central Banks as at 31 December 2021 include reverse repos with a fair value classified as level 2, reported into the table only for disclosure purposes. Loans and receivables with banks are not managed on the basis of their fair value, which is only shown in order to meet financial disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part A - Accounting policies. It should be noted that securities lending transactions collateralised by other securities or not collateralised are shown under “off-balance sheet” exposures in table reported in the paragraph “A.1.6 On and off-balance sheet credit exposure with banks: gross and net values”, Part E - Information on risks and hedging policies, Section 1 - Credit risk, A. Credit quality, Quantitative information. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 637 3.3 Financial assets at fair value through other comprehensive income: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS PARTIAL ACCUMULATED WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION Debt securities 35,264 35,263 44 2 - 52 - 2 - - Loans and advances - - - - - - - - - - Total 12.31.2021 35,264 35,263 44 2 - 52 - 2 - - Total 12.31.2020 32,493 32,492 - 1 - 39 - 1 - - Note: (*) Value shown for information purposes. Section 4 - Financial assets at amortised cost - Item 40 4.1 Financial assets at amortised cost: breakdown by product of loans and advances to banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 A. Loans and advances to Central Banks 15,117 - - - 453 14,664 13,735 - - - - 13,735 1. Time deposits - - - X X X - - - X X X 2. Compulsory reserves 14,663 - - X X X 13,735 - - X X X 3. Reverse repos 452 - - X X X - - - X X X 4. Other 2 - - X X X - - - X X X B. Loans and advances to banks 22,257 - - 3,872 14,356 4,206 26,163 - - 2,063 19,300 5,085 1. Loans 11,611 - - - 7,472 4,196 19,651 - - - 14,603 5,075 1.1 Current accounts - - - X X X - - - X X X 1.2 Time deposits 2,194 - - X X X 3,641 - - X X X 1.3 Other loans 9,417 - - X X X 16,010 - - X X X - Reverse repos 4,487 - - X X X 10,344 - - X X X - Lease Loans 17 - - X X X 19 - - X X X - Other 4,913 - - X X X 5,647 - - X X X 2. Debt securities 10,646 - - 3,872 6,884 10 6,512 - - 2,063 4,697 10 2.1 Structured - - - - - - - - - - - - 2.2 Other 10,646 - - 3,872 6,884 10 6,512 - - 2,063 4,697 10 Total 37,374 - - 3,872 14,809 18,870 39,898 - - 2,063 19,300 18,820 Total Level 1, Level 2 and Level 3 37,551 40,183 Loans and Advances with Central Banks include into compulsory reserve temporary retained liquidity to be invested in a short term. Into Loans and advances to banks, debt securities increase due to purchases of bonds mainly issued by legal entities belonging to the Group. Further, the Loans and advances with Central Banks as at 31 December 2021 include reverse repos with a fair value classified as level 2, reported into the table only for disclosure purposes. Loans and receivables with banks are not managed on the basis of their fair value, which is only shown in order to meet financial disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part A - Accounting policies. It should be noted that securities lending transactions collateralised by other securities or not collateralised are shown under “off-balance sheet” exposures in table reported in the paragraph “A.1.6 On and off-balance sheet credit exposure with banks: gross and net values”, Part E - Information on risks and hedging policies, Section 1 - Credit risk, A. Credit quality, Quantitative information. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 637 3.3 Financial assets at fair value through other comprehensive income: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS PARTIAL ACCUMULATED WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION Debt securities 35,264 35,263 44 2 - 52 - 2 - - Loans and advances - - - - - - - - - - Total 12.31.2021 35,264 35,263 44 2 - 52 - 2 - - Total 12.31.2020 32,493 32,492 - 1 - 39 - 1 - - Note: (*) Value shown for information purposes. Section 4 - Financial assets at amortised cost - Item 40 4.1 Financial assets at amortised cost: breakdown by product of loans and advances to banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 A. Loans and advances to Central Banks 15,117 - - - 453 14,664 13,735 - - - - 13,735 1. Time deposits - - - X X X - - - X X X 2. Compulsory reserves 14,663 - - X X X 13,735 - - X X X 3. Reverse repos 452 - - X X X - - - X X X 4. Other 2 - - X X X - - - X X X B. Loans and advances to banks 22,257 - - 3,872 14,356 4,206 26,163 - - 2,063 19,300 5,085 1. Loans 11,611 - - - 7,472 4,196 19,651 - - - 14,603 5,075 1.1 Current accounts - - - X X X - - - X X X 1.2 Time deposits 2,194 - - X X X 3,641 - - X X X 1.3 Other loans 9,417 - - X X X 16,010 - - X X X - Reverse repos 4,487 - - X X X 10,344 - - X X X - Lease Loans 17 - - X X X 19 - - X X X - Other 4,913 - - X X X 5,647 - - X X X 2. Debt securities 10,646 - - 3,872 6,884 10 6,512 - - 2,063 4,697 10 2.1 Structured - - - - - - - - - - - - 2.2 Other 10,646 - - 3,872 6,884 10 6,512 - - 2,063 4,697 10 Total 37,374 - - 3,872 14,809 18,870 39,898 - - 2,063 19,300 18,820 Total Level 1, Level 2 and Level 3 37,551 40,183 Loans and Advances with Central Banks include into compulsory reserve temporary retained liquidity to be invested in a short term. Into Loans and advances to banks, debt securities increase due to purchases of bonds mainly issued by legal entities belonging to the Group. Further, the Loans and advances with Central Banks as at 31 December 2021 include reverse repos with a fair value classified as level 2, reported into the table only for disclosure purposes. Loans and receivables with banks are not managed on the basis of their fair value, which is only shown in order to meet financial disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part A - Accounting policies. It should be noted that securities lending transactions collateralised by other securities or not collateralised are shown under “off-balance sheet” exposures in table reported in the paragraph “A.1.6 On and off-balance sheet credit exposure with banks: gross and net values”, Part E - Information on risks and hedging policies, Section 1 - Credit risk, A. Credit quality, Quantitative information. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 637 3.3 Financial assets at fair value through other comprehensive income: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS PARTIAL ACCUMULATED WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION Debt securities 35,264 35,263 44 2 - 52 - 2 - - Loans and advances - - - - - - - - - - Total 12.31.2021 35,264 35,263 44 2 - 52 - 2 - - Total 12.31.2020 32,493 32,492 - 1 - 39 - 1 - - Note: (*) Value shown for information purposes. Section 4 - Financial assets at amortised cost - Item 40 4.1 Financial assets at amortised cost: breakdown by product of loans and advances to banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 A. Loans and advances to Central Banks 15,117 - - - 453 14,664 13,735 - - - - 13,735 1. Time deposits - - - X X X - - - X X X 2. Compulsory reserves 14,663 - - X X X 13,735 - - X X X 3. Reverse repos 452 - - X X X - - - X X X 4. Other 2 - - X X X - - - X X X B. Loans and advances to banks 22,257 - - 3,872 14,356 4,206 26,163 - - 2,063 19,300 5,085 1. Loans 11,611 - - - 7,472 4,196 19,651 - - - 14,603 5,075 1.1 Current accounts - - - X X X - - - X X X 1.2 Time deposits 2,194 - - X X X 3,641 - - X X X 1.3 Other loans 9,417 - - X X X 16,010 - - X X X - Reverse repos 4,487 - - X X X 10,344 - - X X X - Lease Loans 17 - - X X X 19 - - X X X - Other 4,913 - - X X X 5,647 - - X X X 2. Debt securities 10,646 - - 3,872 6,884 10 6,512 - - 2,063 4,697 10 2.1 Structured - - - - - - - - - - - - 2.2 Other 10,646 - - 3,872 6,884 10 6,512 - - 2,063 4,697 10 Total 37,374 - - 3,872 14,809 18,870 39,898 - - 2,063 19,300 18,820 Total Level 1, Level 2 and Level 3 37,551 40,183 Loans and Advances with Central Banks include into compulsory reserve temporary retained liquidity to be invested in a short term. Into Loans and advances to banks, debt securities increase due to purchases of bonds mainly issued by legal entities belonging to the Group. Further, the Loans and advances with Central Banks as at 31 December 2021 include reverse repos with a fair value classified as level 2, reported into the table only for disclosure purposes. Loans and receivables with banks are not managed on the basis of their fair value, which is only shown in order to meet financial disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part A - Accounting policies. It should be noted that securities lending transactions collateralised by other securities or not collateralised are shown under “off-balance sheet” exposures in table reported in the paragraph “A.1.6 On and off-balance sheet credit exposure with banks: gross and net values”, Part E - Information on risks and hedging policies, Section 1 - Credit risk, A. Credit quality, Quantitative information. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 637 3.3 Financial assets at fair value through other comprehensive income: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS PARTIAL ACCUMULATED WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION Debt securities 35,264 35,263 44 2 - 52 - 2 - - Loans and advances - - - - - - - - - - Total 12.31.2021 35,264 35,263 44 2 - 52 - 2 - - Total 12.31.2020 32,493 32,492 - 1 - 39 - 1 - - Note: (*) Value shown for information purposes. Section 4 - Financial assets at amortised cost - Item 40 4.1 Financial assets at amortised cost: breakdown by product of loans and advances to banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 A. Loans and advances to Central Banks 15,117 - - - 453 14,664 13,735 - - - - 13,735 1. Time deposits - - - X X X - - - X X X 2. Compulsory reserves 14,663 - - X X X 13,735 - - X X X 3. Reverse repos 452 - - X X X - - - X X X 4. Other 2 - - X X X - - - X X X B. Loans and advances to banks 22,257 - - 3,872 14,356 4,206 26,163 - - 2,063 19,300 5,085 1. Loans 11,611 - - - 7,472 4,196 19,651 - - - 14,603 5,075 1.1 Current accounts - - - X X X - - - X X X 1.2 Time deposits 2,194 - - X X X 3,641 - - X X X 1.3 Other loans 9,417 - - X X X 16,010 - - X X X - Reverse repos 4,487 - - X X X 10,344 - - X X X - Lease Loans 17 - - X X X 19 - - X X X - Other 4,913 - - X X X 5,647 - - X X X 2. Debt securities 10,646 - - 3,872 6,884 10 6,512 - - 2,063 4,697 10 2.1 Structured - - - - - - - - - - - - 2.2 Other 10,646 - - 3,872 6,884 10 6,512 - - 2,063 4,697 10 Total 37,374 - - 3,872 14,809 18,870 39,898 - - 2,063 19,300 18,820 Total Level 1, Level 2 and Level 3 37,551 40,183 Loans and Advances with Central Banks include into compulsory reserve temporary retained liquidity to be invested in a short term. Into Loans and advances to banks, debt securities increase due to purchases of bonds mainly issued by legal entities belonging to the Group. Further, the Loans and advances with Central Banks as at 31 December 2021 include reverse repos with a fair value classified as level 2, reported into the table only for disclosure purposes. Loans and receivables with banks are not managed on the basis of their fair value, which is only shown in order to meet financial disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value” of the Company financial statements of UniCredit S.p.A., Notes to the accounts, Part A - Accounting policies. It should be noted that securities lending transactions collateralised by other securities or not collateralised are shown under “off-balance sheet” exposures in table reported in the paragraph “A.1.6 On and off-balance sheet credit exposure with banks: gross and net values”, Part E - Information on risks and hedging policies, Section 1 - Credit risk, A. Credit quality, Quantitative information. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 638 2021 Annual Report and Accounts · UniCredit 4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 1. Loans 188,688 3,772 1 - 81,509 112,265 204,612 3,645 1 - 91,154 116,021 1.1 Current accounts 6,523 248 - X X X 7,640 310 - X X X 1.2 Reverse repos 16,580 - - X X X 30,469 - - X X X 1.3 Mortgages 104,174 2,440 1 X X X 100,922 2,216 1 X X X 1.4 Credit cards and personal loans, including wage assignment 10,438 185 - X X X 10,404 192 - X X X 1.5 Lease loans 53 - - X X X 57 - - X X X 1.6 Factoring 180 1 - X X X 203 1 - X X X 1.7 Other loans 50,740 898 - X X X 54,917 926 - X X X 2. Debt securities 37,986 - - 37,812 184 522 30,152 - - 30,093 446 368 2.1 Structured securities 41 - - - - 41 35 - - - - 35 2.2 Other debt securities 37,945 - - 37,812 184 481 30,117 - - 30,093 446 333 Total 226,674 3,772 1 37,812 81,693 112,787 234,764 3,645 1 30,093 91,600 116,389 Total Level 1, Level 2 and Level 3 232,292 238,082 Increase of impaired loans to customers (Stage 3) is due to adoption of New Definition of Default form 1 January 2021, whose effects have been partially compensated by disposal transactions performed during the period. Debt securities increase due to purchases of bonds mainly issued by Governments. The item “2.2 Other debt securities" include securities related to securitisation transactions shown in the following table. It should be noted that during the period, the sales performed out of Item “40. Financial assets at amortised cost” have been non-significant being below the threshold established internally. The fair value of impaired loans was estimated by considering that the realizable value expressed by the net book value is the best estimate of the future expected cash flows discounted at the valuation date, further adjusted to incorporate, when available, a premium derived from significant market’s transaction for similar instruments. According to this assumption, impaired loans were classified as Level 3 in the fair value hierarchy. Loans and receivables with customers are not managed on the basis of their fair value, which is only shown in order to meet disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflection the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1 Mezzanine - Junior - Total 1 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 638 2021 Annual Report and Accounts · UniCredit 4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 1. Loans 188,688 3,772 1 - 81,509 112,265 204,612 3,645 1 - 91,154 116,021 1.1 Current accounts 6,523 248 - X X X 7,640 310 - X X X 1.2 Reverse repos 16,580 - - X X X 30,469 - - X X X 1.3 Mortgages 104,174 2,440 1 X X X 100,922 2,216 1 X X X 1.4 Credit cards and personal loans, including wage assignment 10,438 185 - X X X 10,404 192 - X X X 1.5 Lease loans 53 - - X X X 57 - - X X X 1.6 Factoring 180 1 - X X X 203 1 - X X X 1.7 Other loans 50,740 898 - X X X 54,917 926 - X X X 2. Debt securities 37,986 - - 37,812 184 522 30,152 - - 30,093 446 368 2.1 Structured securities 41 - - - - 41 35 - - - - 35 2.2 Other debt securities 37,945 - - 37,812 184 481 30,117 - - 30,093 446 333 Total 226,674 3,772 1 37,812 81,693 112,787 234,764 3,645 1 30,093 91,600 116,389 Total Level 1, Level 2 and Level 3 232,292 238,082 Increase of impaired loans to customers (Stage 3) is due to adoption of New Definition of Default form 1 January 2021, whose effects have been partially compensated by disposal transactions performed during the period. Debt securities increase due to purchases of bonds mainly issued by Governments. The item “2.2 Other debt securities" include securities related to securitisation transactions shown in the following table. It should be noted that during the period, the sales performed out of Item “40. Financial assets at amortised cost” have been non-significant being below the threshold established internally. The fair value of impaired loans was estimated by considering that the realizable value expressed by the net book value is the best estimate of the future expected cash flows discounted at the valuation date, further adjusted to incorporate, when available, a premium derived from significant market’s transaction for similar instruments. According to this assumption, impaired loans were classified as Level 3 in the fair value hierarchy. Loans and receivables with customers are not managed on the basis of their fair value, which is only shown in order to meet disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflection the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1 Mezzanine - Junior - Total 1 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 638 2021 Annual Report and Accounts · UniCredit 4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 1. Loans 188,688 3,772 1 - 81,509 112,265 204,612 3,645 1 - 91,154 116,021 1.1 Current accounts 6,523 248 - X X X 7,640 310 - X X X 1.2 Reverse repos 16,580 - - X X X 30,469 - - X X X 1.3 Mortgages 104,174 2,440 1 X X X 100,922 2,216 1 X X X 1.4 Credit cards and personal loans, including wage assignment 10,438 185 - X X X 10,404 192 - X X X 1.5 Lease loans 53 - - X X X 57 - - X X X 1.6 Factoring 180 1 - X X X 203 1 - X X X 1.7 Other loans 50,740 898 - X X X 54,917 926 - X X X 2. Debt securities 37,986 - - 37,812 184 522 30,152 - - 30,093 446 368 2.1 Structured securities 41 - - - - 41 35 - - - - 35 2.2 Other debt securities 37,945 - - 37,812 184 481 30,117 - - 30,093 446 333 Total 226,674 3,772 1 37,812 81,693 112,787 234,764 3,645 1 30,093 91,600 116,389 Total Level 1, Level 2 and Level 3 232,292 238,082 Increase of impaired loans to customers (Stage 3) is due to adoption of New Definition of Default form 1 January 2021, whose effects have been partially compensated by disposal transactions performed during the period. Debt securities increase due to purchases of bonds mainly issued by Governments. The item “2.2 Other debt securities" include securities related to securitisation transactions shown in the following table. It should be noted that during the period, the sales performed out of Item “40. Financial assets at amortised cost” have been non-significant being below the threshold established internally. The fair value of impaired loans was estimated by considering that the realizable value expressed by the net book value is the best estimate of the future expected cash flows discounted at the valuation date, further adjusted to incorporate, when available, a premium derived from significant market’s transaction for similar instruments. According to this assumption, impaired loans were classified as Level 3 in the fair value hierarchy. Loans and receivables with customers are not managed on the basis of their fair value, which is only shown in order to meet disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflection the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1 Mezzanine - Junior - Total 1 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 638 2021 Annual Report and Accounts · UniCredit 4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 1. Loans 188,688 3,772 1 - 81,509 112,265 204,612 3,645 1 - 91,154 116,021 1.1 Current accounts 6,523 248 - X X X 7,640 310 - X X X 1.2 Reverse repos 16,580 - - X X X 30,469 - - X X X 1.3 Mortgages 104,174 2,440 1 X X X 100,922 2,216 1 X X X 1.4 Credit cards and personal loans, including wage assignment 10,438 185 - X X X 10,404 192 - X X X 1.5 Lease loans 53 - - X X X 57 - - X X X 1.6 Factoring 180 1 - X X X 203 1 - X X X 1.7 Other loans 50,740 898 - X X X 54,917 926 - X X X 2. Debt securities 37,986 - - 37,812 184 522 30,152 - - 30,093 446 368 2.1 Structured securities 41 - - - - 41 35 - - - - 35 2.2 Other debt securities 37,945 - - 37,812 184 481 30,117 - - 30,093 446 333 Total 226,674 3,772 1 37,812 81,693 112,787 234,764 3,645 1 30,093 91,600 116,389 Total Level 1, Level 2 and Level 3 232,292 238,082 Increase of impaired loans to customers (Stage 3) is due to adoption of New Definition of Default form 1 January 2021, whose effects have been partially compensated by disposal transactions performed during the period. Debt securities increase due to purchases of bonds mainly issued by Governments. The item “2.2 Other debt securities" include securities related to securitisation transactions shown in the following table. It should be noted that during the period, the sales performed out of Item “40. Financial assets at amortised cost” have been non-significant being below the threshold established internally. The fair value of impaired loans was estimated by considering that the realizable value expressed by the net book value is the best estimate of the future expected cash flows discounted at the valuation date, further adjusted to incorporate, when available, a premium derived from significant market’s transaction for similar instruments. According to this assumption, impaired loans were classified as Level 3 in the fair value hierarchy. Loans and receivables with customers are not managed on the basis of their fair value, which is only shown in order to meet disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflection the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1 Mezzanine - Junior - Total 1 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 638 2021 Annual Report and Accounts · UniCredit 4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF TRANSACTIONS/VALUES STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 STAGE 1 AND STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS LEVEL 1 LEVEL 2 LEVEL 3 1. Loans 188,688 3,772 1 - 81,509 112,265 204,612 3,645 1 - 91,154 116,021 1.1 Current accounts 6,523 248 - X X X 7,640 310 - X X X 1.2 Reverse repos 16,580 - - X X X 30,469 - - X X X 1.3 Mortgages 104,174 2,440 1 X X X 100,922 2,216 1 X X X 1.4 Credit cards and personal loans, including wage assignment 10,438 185 - X X X 10,404 192 - X X X 1.5 Lease loans 53 - - X X X 57 - - X X X 1.6 Factoring 180 1 - X X X 203 1 - X X X 1.7 Other loans 50,740 898 - X X X 54,917 926 - X X X 2. Debt securities 37,986 - - 37,812 184 522 30,152 - - 30,093 446 368 2.1 Structured securities 41 - - - - 41 35 - - - - 35 2.2 Other debt securities 37,945 - - 37,812 184 481 30,117 - - 30,093 446 333 Total 226,674 3,772 1 37,812 81,693 112,787 234,764 3,645 1 30,093 91,600 116,389 Total Level 1, Level 2 and Level 3 232,292 238,082 Increase of impaired loans to customers (Stage 3) is due to adoption of New Definition of Default form 1 January 2021, whose effects have been partially compensated by disposal transactions performed during the period. Debt securities increase due to purchases of bonds mainly issued by Governments. The item “2.2 Other debt securities" include securities related to securitisation transactions shown in the following table. It should be noted that during the period, the sales performed out of Item “40. Financial assets at amortised cost” have been non-significant being below the threshold established internally. The fair value of impaired loans was estimated by considering that the realizable value expressed by the net book value is the best estimate of the future expected cash flows discounted at the valuation date, further adjusted to incorporate, when available, a premium derived from significant market’s transaction for similar instruments. According to this assumption, impaired loans were classified as Level 3 in the fair value hierarchy. Loans and receivables with customers are not managed on the basis of their fair value, which is only shown in order to meet disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflection the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Exposures to securities relating to Securitisation transactions (€ million) TRANCHING AMOUNTS AS AT 12.31.2021 Senior 1 Mezzanine - Junior - Total 1 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 639 4.3 Financial assets at amortised cost: breakdown by borrowers/issuers of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS 1. Debt securities 37,986 - - 30,152 - - a) Governments and other Public Sector Entities 35,268 - - 27,786 - - b) Other financial companies 209 - - 234 - - of which: insurance companies - - - - - - c) Non-financial companies 2,509 - - 2,132 - - 2. Loans 188,688 3,772 1 204,612 3,645 1 a) Governments and other Public Sector Entities 3,378 213 - 3,493 183 - b) Other financial companies 45,300 120 - 61,301 159 - of which: insurance companies 569 - - 862 - - c) Non-financial companies 77,099 1,869 - 79,174 2,191 1 d) Households 62,911 1,570 1 60,644 1,112 - Total 226,674 3,772 1 234,764 3,645 1 4.4 Financial assets at amortised cost: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS PARTIAL ACCUMULATED WRITE-OFFS(*) 1. Debt securities 47,128 47,128 1,524 - - 7 13 - - - 2. Loans 172,622 - 45,139 8,648 5 404 1,941 4,876 4 1,538 Total 12.31.2021 219,750 47,128 46,663 8,648 5 411 1,954 4,876 4 1,538 Total 12.31.2020 247,680 36,376 29,158 11,454 7 700 1,476 7,809 6 1,600 Note: (*) Value shown for information purposes. For additional information on this section refer to the paragraph “A. Credit quality”, Note to the accounts, Part E - Information on risks and hedging policies, Quantitative information. 4.4a Financial assets at amortised cost subject to Covid-19 measures: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED PARTIAL ACCUMULATED WRITE-OFFS(*) 1. EBA-compliant moratoria loans and advances 35 - 81 2 - - 5 1 - - 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 174 - 1,805 54 - 1 106 28 - - 3. Loans and advances with other forbearance measures - - 2,387 682 - - 184 222 - - 4. Newly originated loans and advances 14,869 - 7,293 169 - 16 49 56 - - Total 12.31.2021 15,078 - 11,566 907 - 17 344 307 - - Total 12.31.2020 16,957 - 12,129 243 - 45 438 125 - - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 639 4.3 Financial assets at amortised cost: breakdown by borrowers/issuers of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS 1. Debt securities 37,986 - - 30,152 - - a) Governments and other Public Sector Entities 35,268 - - 27,786 - - b) Other financial companies 209 - - 234 - - of which: insurance companies - - - - - - c) Non-financial companies 2,509 - - 2,132 - - 2. Loans 188,688 3,772 1 204,612 3,645 1 a) Governments and other Public Sector Entities 3,378 213 - 3,493 183 - b) Other financial companies 45,300 120 - 61,301 159 - of which: insurance companies 569 - - 862 - - c) Non-financial companies 77,099 1,869 - 79,174 2,191 1 d) Households 62,911 1,570 1 60,644 1,112 - Total 226,674 3,772 1 234,764 3,645 1 4.4 Financial assets at amortised cost: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS PARTIAL ACCUMULATED WRITE-OFFS(*) 1. Debt securities 47,128 47,128 1,524 - - 7 13 - - - 2. Loans 172,622 - 45,139 8,648 5 404 1,941 4,876 4 1,538 Total 12.31.2021 219,750 47,128 46,663 8,648 5 411 1,954 4,876 4 1,538 Total 12.31.2020 247,680 36,376 29,158 11,454 7 700 1,476 7,809 6 1,600 Note: (*) Value shown for information purposes. For additional information on this section refer to the paragraph “A. Credit quality”, Note to the accounts, Part E - Information on risks and hedging policies, Quantitative information. 4.4a Financial assets at amortised cost subject to Covid-19 measures: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED PARTIAL ACCUMULATED WRITE-OFFS(*) 1. EBA-compliant moratoria loans and advances 35 - 81 2 - - 5 1 - - 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 174 - 1,805 54 - 1 106 28 - - 3. Loans and advances with other forbearance measures - - 2,387 682 - - 184 222 - - 4. Newly originated loans and advances 14,869 - 7,293 169 - 16 49 56 - - Total 12.31.2021 15,078 - 11,566 907 - 17 344 307 - - Total 12.31.2020 16,957 - 12,129 243 - 45 438 125 - - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 639 4.3 Financial assets at amortised cost: breakdown by borrowers/issuers of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS 1. Debt securities 37,986 - - 30,152 - - a) Governments and other Public Sector Entities 35,268 - - 27,786 - - b) Other financial companies 209 - - 234 - - of which: insurance companies - - - - - - c) Non-financial companies 2,509 - - 2,132 - - 2. Loans 188,688 3,772 1 204,612 3,645 1 a) Governments and other Public Sector Entities 3,378 213 - 3,493 183 - b) Other financial companies 45,300 120 - 61,301 159 - of which: insurance companies 569 - - 862 - - c) Non-financial companies 77,099 1,869 - 79,174 2,191 1 d) Households 62,911 1,570 1 60,644 1,112 - Total 226,674 3,772 1 234,764 3,645 1 4.4 Financial assets at amortised cost: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS PARTIAL ACCUMULATED WRITE-OFFS(*) 1. Debt securities 47,128 47,128 1,524 - - 7 13 - - - 2. Loans 172,622 - 45,139 8,648 5 404 1,941 4,876 4 1,538 Total 12.31.2021 219,750 47,128 46,663 8,648 5 411 1,954 4,876 4 1,538 Total 12.31.2020 247,680 36,376 29,158 11,454 7 700 1,476 7,809 6 1,600 Note: (*) Value shown for information purposes. For additional information on this section refer to the paragraph “A. Credit quality”, Note to the accounts, Part E - Information on risks and hedging policies, Quantitative information. 4.4a Financial assets at amortised cost subject to Covid-19 measures: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED PARTIAL ACCUMULATED WRITE-OFFS(*) 1. EBA-compliant moratoria loans and advances 35 - 81 2 - - 5 1 - - 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 174 - 1,805 54 - 1 106 28 - - 3. Loans and advances with other forbearance measures - - 2,387 682 - - 184 222 - - 4. Newly originated loans and advances 14,869 - 7,293 169 - 16 49 56 - - Total 12.31.2021 15,078 - 11,566 907 - 17 344 307 - - Total 12.31.2020 16,957 - 12,129 243 - 45 438 125 - - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 639 4.3 Financial assets at amortised cost: breakdown by borrowers/issuers of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS 1. Debt securities 37,986 - - 30,152 - - a) Governments and other Public Sector Entities 35,268 - - 27,786 - - b) Other financial companies 209 - - 234 - - of which: insurance companies - - - - - - c) Non-financial companies 2,509 - - 2,132 - - 2. Loans 188,688 3,772 1 204,612 3,645 1 a) Governments and other Public Sector Entities 3,378 213 - 3,493 183 - b) Other financial companies 45,300 120 - 61,301 159 - of which: insurance companies 569 - - 862 - - c) Non-financial companies 77,099 1,869 - 79,174 2,191 1 d) Households 62,911 1,570 1 60,644 1,112 - Total 226,674 3,772 1 234,764 3,645 1 4.4 Financial assets at amortised cost: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS PARTIAL ACCUMULATED WRITE-OFFS(*) 1. Debt securities 47,128 47,128 1,524 - - 7 13 - - - 2. Loans 172,622 - 45,139 8,648 5 404 1,941 4,876 4 1,538 Total 12.31.2021 219,750 47,128 46,663 8,648 5 411 1,954 4,876 4 1,538 Total 12.31.2020 247,680 36,376 29,158 11,454 7 700 1,476 7,809 6 1,600 Note: (*) Value shown for information purposes. For additional information on this section refer to the paragraph “A. Credit quality”, Note to the accounts, Part E - Information on risks and hedging policies, Quantitative information. 4.4a Financial assets at amortised cost subject to Covid-19 measures: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED PARTIAL ACCUMULATED WRITE-OFFS(*) 1. EBA-compliant moratoria loans and advances 35 - 81 2 - - 5 1 - - 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 174 - 1,805 54 - 1 106 28 - - 3. Loans and advances with other forbearance measures - - 2,387 682 - - 184 222 - - 4. Newly originated loans and advances 14,869 - 7,293 169 - 16 49 56 - - Total 12.31.2021 15,078 - 11,566 907 - 17 344 307 - - Total 12.31.2020 16,957 - 12,129 243 - 45 438 125 - - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 639 4.3 Financial assets at amortised cost: breakdown by borrowers/issuers of loans and advances to customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 OR STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS 1. Debt securities 37,986 - - 30,152 - - a) Governments and other Public Sector Entities 35,268 - - 27,786 - - b) Other financial companies 209 - - 234 - - of which: insurance companies - - - - - - c) Non-financial companies 2,509 - - 2,132 - - 2. Loans 188,688 3,772 1 204,612 3,645 1 a) Governments and other Public Sector Entities 3,378 213 - 3,493 183 - b) Other financial companies 45,300 120 - 61,301 159 - of which: insurance companies 569 - - 862 - - c) Non-financial companies 77,099 1,869 - 79,174 2,191 1 d) Households 62,911 1,570 1 60,644 1,112 - Total 226,674 3,772 1 234,764 3,645 1 4.4 Financial assets at amortised cost: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS PARTIAL ACCUMULATED WRITE-OFFS(*) 1. Debt securities 47,128 47,128 1,524 - - 7 13 - - - 2. Loans 172,622 - 45,139 8,648 5 404 1,941 4,876 4 1,538 Total 12.31.2021 219,750 47,128 46,663 8,648 5 411 1,954 4,876 4 1,538 Total 12.31.2020 247,680 36,376 29,158 11,454 7 700 1,476 7,809 6 1,600 Note: (*) Value shown for information purposes. For additional information on this section refer to the paragraph “A. Credit quality”, Note to the accounts, Part E - Information on risks and hedging policies, Quantitative information. 4.4a Financial assets at amortised cost subject to Covid-19 measures: gross value and total accumulated impairments (€ million) GROSS VALUE TOTAL ACCUMULATED IMPAIRMENTS STAGE 1 OF WHICH: INSTRUMENTS WITH LOW CREDIT RISK EXEMPTION STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED PARTIAL ACCUMULATED WRITE-OFFS(*) 1. EBA-compliant moratoria loans and advances 35 - 81 2 - - 5 1 - - 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 174 - 1,805 54 - 1 106 28 - - 3. Loans and advances with other forbearance measures - - 2,387 682 - - 184 222 - - 4. Newly originated loans and advances 14,869 - 7,293 169 - 16 49 56 - - Total 12.31.2021 15,078 - 11,566 907 - 17 344 307 - - Total 12.31.2020 16,957 - 12,129 243 - 45 438 125 - - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 640 2021 Annual Report and Accounts · UniCredit Section 5 - Hedging derivatives - Item 50 5.1 Hedging derivatives: breakdown by hedged risk and fair value hierarchy (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 FAIR VALUE NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 38 4,324 - 250,560 114 6,018 - 228,032 1) Fair value 38 3,608 - 226,933 114 5,245 - 215,881 2) Cash flows - 716 - 23,627 - 773 - 12,151 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 38 4,324 - 250,560 114 6,018 - 228,032 Total Level 1, Level 2 and Level 3 4,362 6,132 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 5.2 Hedging derivatives: composition for covered portfolios and by type of hedging (€ million) TRANSACTIONS/TYPE OF HEDGES AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW FOREIGN INVESTMENTS MICRO-HEDGE MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHERS 1. Financial assets at fair value through other comprehensive income 107 - - - X X X - X X 2. Financial assets at amortised cost 325 X - - X X X - X X 3. Portfolio X X X X X X 1,070 X 439 X 4. Other transactions - - - - - - X - X - Total assets 432 - - - - - 1,070 - 439 - 1. Financial liabilities - X - - - - X - X X 2. Portfolio X X X X X X 2,144 X 277 X Total liabilities - - - - - - 2,144 - 277 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X - X - - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 640 2021 Annual Report and Accounts · UniCredit Section 5 - Hedging derivatives - Item 50 5.1 Hedging derivatives: breakdown by hedged risk and fair value hierarchy (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 FAIR VALUE NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 38 4,324 - 250,560 114 6,018 - 228,032 1) Fair value 38 3,608 - 226,933 114 5,245 - 215,881 2) Cash flows - 716 - 23,627 - 773 - 12,151 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 38 4,324 - 250,560 114 6,018 - 228,032 Total Level 1, Level 2 and Level 3 4,362 6,132 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 5.2 Hedging derivatives: composition for covered portfolios and by type of hedging (€ million) TRANSACTIONS/TYPE OF HEDGES AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW FOREIGN INVESTMENTS MICRO-HEDGE MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHERS 1. Financial assets at fair value through other comprehensive income 107 - - - X X X - X X 2. Financial assets at amortised cost 325 X - - X X X - X X 3. Portfolio X X X X X X 1,070 X 439 X 4. Other transactions - - - - - - X - X - Total assets 432 - - - - - 1,070 - 439 - 1. Financial liabilities - X - - - - X - X X 2. Portfolio X X X X X X 2,144 X 277 X Total liabilities - - - - - - 2,144 - 277 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X - X - - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 640 2021 Annual Report and Accounts · UniCredit Section 5 - Hedging derivatives - Item 50 5.1 Hedging derivatives: breakdown by hedged risk and fair value hierarchy (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 FAIR VALUE NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 38 4,324 - 250,560 114 6,018 - 228,032 1) Fair value 38 3,608 - 226,933 114 5,245 - 215,881 2) Cash flows - 716 - 23,627 - 773 - 12,151 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 38 4,324 - 250,560 114 6,018 - 228,032 Total Level 1, Level 2 and Level 3 4,362 6,132 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 5.2 Hedging derivatives: composition for covered portfolios and by type of hedging (€ million) TRANSACTIONS/TYPE OF HEDGES AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW FOREIGN INVESTMENTS MICRO-HEDGE MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHERS 1. Financial assets at fair value through other comprehensive income 107 - - - X X X - X X 2. Financial assets at amortised cost 325 X - - X X X - X X 3. Portfolio X X X X X X 1,070 X 439 X 4. Other transactions - - - - - - X - X - Total assets 432 - - - - - 1,070 - 439 - 1. Financial liabilities - X - - - - X - X X 2. Portfolio X X X X X X 2,144 X 277 X Total liabilities - - - - - - 2,144 - 277 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X - X - - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 640 2021 Annual Report and Accounts · UniCredit Section 5 - Hedging derivatives - Item 50 5.1 Hedging derivatives: breakdown by hedged risk and fair value hierarchy (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 FAIR VALUE NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 38 4,324 - 250,560 114 6,018 - 228,032 1) Fair value 38 3,608 - 226,933 114 5,245 - 215,881 2) Cash flows - 716 - 23,627 - 773 - 12,151 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 38 4,324 - 250,560 114 6,018 - 228,032 Total Level 1, Level 2 and Level 3 4,362 6,132 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 5.2 Hedging derivatives: composition for covered portfolios and by type of hedging (€ million) TRANSACTIONS/TYPE OF HEDGES AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW FOREIGN INVESTMENTS MICRO-HEDGE MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHERS 1. Financial assets at fair value through other comprehensive income 107 - - - X X X - X X 2. Financial assets at amortised cost 325 X - - X X X - X X 3. Portfolio X X X X X X 1,070 X 439 X 4. Other transactions - - - - - - X - X - Total assets 432 - - - - - 1,070 - 439 - 1. Financial liabilities - X - - - - X - X X 2. Portfolio X X X X X X 2,144 X 277 X Total liabilities - - - - - - 2,144 - 277 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X - X - - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 640 2021 Annual Report and Accounts · UniCredit Section 5 - Hedging derivatives - Item 50 5.1 Hedging derivatives: breakdown by hedged risk and fair value hierarchy (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 FAIR VALUE NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 38 4,324 - 250,560 114 6,018 - 228,032 1) Fair value 38 3,608 - 226,933 114 5,245 - 215,881 2) Cash flows - 716 - 23,627 - 773 - 12,151 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 38 4,324 - 250,560 114 6,018 - 228,032 Total Level 1, Level 2 and Level 3 4,362 6,132 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 5.2 Hedging derivatives: composition for covered portfolios and by type of hedging (€ million) TRANSACTIONS/TYPE OF HEDGES AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW FOREIGN INVESTMENTS MICRO-HEDGE MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHERS 1. Financial assets at fair value through other comprehensive income 107 - - - X X X - X X 2. Financial assets at amortised cost 325 X - - X X X - X X 3. Portfolio X X X X X X 1,070 X 439 X 4. Other transactions - - - - - - X - X - Total assets 432 - - - - - 1,070 - 439 - 1. Financial liabilities - X - - - - X - X X 2. Portfolio X X X X X X 2,144 X 277 X Total liabilities - - - - - - 2,144 - 277 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X - X - - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 641 Section 6 - Changes in fair value of portfolio hedged items - Item 60 6.1 Changes to macro-hedged financial assets: breakdown by hedged portfolio (€ million) AMOUNTS AS AT CHANGES TO HEDGED ASSETS/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes 2,331 3,458 1.1 Of specific portfolios - - a) Financial assets at amortised cost - - b) Financial assets at fair value through other comprehensive income - - 1.2 Overall 2,331 3,458 2. Negative changes 973 1,023 2.1 Of specific portfolios - - a) Financial assets at amortised cost - - b) Financial assets at fair value through other comprehensive income - - 2.2 Overall 973 1,023 Total 1,358 2,435 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Section 7 - Equity investments - Item 70 7.1 Equity: information on shareholder's equity COMPANY NAME MAIN OFFICE LEGAL MAIN OFFICE OPERATIVE(*) EQUITY %(**) VOTING RIGHTS % A. Subsidiaries 1 Anthemis EVO LLP London London 99.99% 100.00% 2 AO UniCredit Bank Moscow Moscow 100.00% 3 Cordusio SIM S.p.A. Milan Milan 100.00% 4 Cordusio Società Fiduciaria per Azioni Milan Milan 100.00% 5 Crivelli S.r.l. Milan Milan 100.00% 6 Island Finance (ICR4) S.r.l. (in liquidation) Rome Rome 100.00% 7 Nuova Compagnia di Partecipazioni S.p.A. Rome Rome 100.00% 8 PAI (Bermuda) Limited Hamilton Hamilton 100.00% 9 Pai Management LTD Dublin Dublin 100.00% 10 Pirta Verwaltungs GMBH Wien Wien 100.00% 11 Sanità - S.r.l. (in liquidation) Rome Rome 99.60% 12 Società di Gestioni Esattoriali in Sicilia SO.G.E.SI. S.p.A. (in liquidation) Palermo Palermo 80.00% 13 Sofigere Société par Actions Simplifiée Paris Paris 100.00% 14 UniCredit Bank A.D. Banja Luka Banja Luka Banja Luka 99.44% 15 UniCredit Bank AG Munich Munich 100.00% 16 UniCredit Bank Austria AG Wien Wien 100.00% (A) 17 UniCredit Bank Czech Republic and Slovakia A.S. Prague Prague 100.00% 18 UniCredit Bank Hungary ZRT Budapest Budapest 100.00% 19 UniCredit Bank S.A. Bucharest Bucharest 98.63% 20 UniCredit Bank Serbia JSC Belgrade Belgrade 100.00% 21 UniCredit Banka Slovenija D.D. Ljubljana Ljubljana 100.00% 22 UniCredit BPC Mortgage S.r.l. Verona Verona 60.00% 23 UniCredit Bulbank A.D. Sofia Sofia 99.45% 24 UniCredit Consumer Financing IFN S.A. Bucharest Bucharest 49.90% (B) 25 UniCredit Factoring S.p.A. Milan Milan 100.00% 26 UniCredit Global Leasing Export GMBH Wien Wien 100.00% 27 UniCredit International Bank (Luxembourg) S.A. Luxembourg Luxembourg 100.00% 28 UniCredit Myagents S.r.l. Bologna Bologna 100.00% 29 UniCredit OBG S.r.l. Verona Verona 60.00% 30 UniCredit Services S.c.p.A. Milan Milan 100.00% (C) 31 UniCredit Subito Casa S.p.A. Milan Milan 100.00% 32 UniCredit Turn-Around Management CEE GMBH Wien Wien 100.00% 33 Visconti S.r.l. Milan Milan 76.00% 34 Zagrebacka Banka D.D. Zagreb Zagreb 84.48% Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 641 Section 6 - Changes in fair value of portfolio hedged items - Item 60 6.1 Changes to macro-hedged financial assets: breakdown by hedged portfolio (€ million) AMOUNTS AS AT CHANGES TO HEDGED ASSETS/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes 2,331 3,458 1.1 Of specific portfolios - - a) Financial assets at amortised cost - - b) Financial assets at fair value through other comprehensive income - - 1.2 Overall 2,331 3,458 2. Negative changes 973 1,023 2.1 Of specific portfolios - - a) Financial assets at amortised cost - - b) Financial assets at fair value through other comprehensive income - - 2.2 Overall 973 1,023 Total 1,358 2,435 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Section 7 - Equity investments - Item 70 7.1 Equity: information on shareholder's equity COMPANY NAME MAIN OFFICE LEGAL MAIN OFFICE OPERATIVE(*) EQUITY %(**) VOTING RIGHTS % A. Subsidiaries 1 Anthemis EVO LLP London London 99.99% 100.00% 2 AO UniCredit Bank Moscow Moscow 100.00% 3 Cordusio SIM S.p.A. Milan Milan 100.00% 4 Cordusio Società Fiduciaria per Azioni Milan Milan 100.00% 5 Crivelli S.r.l. Milan Milan 100.00% 6 Island Finance (ICR4) S.r.l. (in liquidation) Rome Rome 100.00% 7 Nuova Compagnia di Partecipazioni S.p.A. Rome Rome 100.00% 8 PAI (Bermuda) Limited Hamilton Hamilton 100.00% 9 Pai Management LTD Dublin Dublin 100.00% 10 Pirta Verwaltungs GMBH Wien Wien 100.00% 11 Sanità - S.r.l. (in liquidation) Rome Rome 99.60% 12 Società di Gestioni Esattoriali in Sicilia SO.G.E.SI. S.p.A. (in liquidation) Palermo Palermo 80.00% 13 Sofigere Société par Actions Simplifiée Paris Paris 100.00% 14 UniCredit Bank A.D. Banja Luka Banja Luka Banja Luka 99.44% 15 UniCredit Bank AG Munich Munich 100.00% 16 UniCredit Bank Austria AG Wien Wien 100.00% (A) 17 UniCredit Bank Czech Republic and Slovakia A.S. Prague Prague 100.00% 18 UniCredit Bank Hungary ZRT Budapest Budapest 100.00% 19 UniCredit Bank S.A. Bucharest Bucharest 98.63% 20 UniCredit Bank Serbia JSC Belgrade Belgrade 100.00% 21 UniCredit Banka Slovenija D.D. Ljubljana Ljubljana 100.00% 22 UniCredit BPC Mortgage S.r.l. Verona Verona 60.00% 23 UniCredit Bulbank A.D. Sofia Sofia 99.45% 24 UniCredit Consumer Financing IFN S.A. Bucharest Bucharest 49.90% (B) 25 UniCredit Factoring S.p.A. Milan Milan 100.00% 26 UniCredit Global Leasing Export GMBH Wien Wien 100.00% 27 UniCredit International Bank (Luxembourg) S.A. Luxembourg Luxembourg 100.00% 28 UniCredit Myagents S.r.l. Bologna Bologna 100.00% 29 UniCredit OBG S.r.l. Verona Verona 60.00% 30 UniCredit Services S.c.p.A. Milan Milan 100.00% (C) 31 UniCredit Subito Casa S.p.A. Milan Milan 100.00% 32 UniCredit Turn-Around Management CEE GMBH Wien Wien 100.00% 33 Visconti S.r.l. Milan Milan 76.00% 34 Zagrebacka Banka D.D. Zagreb Zagreb 84.48% Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 641 Section 6 - Changes in fair value of portfolio hedged items - Item 60 6.1 Changes to macro-hedged financial assets: breakdown by hedged portfolio (€ million) AMOUNTS AS AT CHANGES TO HEDGED ASSETS/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes 2,331 3,458 1.1 Of specific portfolios - - a) Financial assets at amortised cost - - b) Financial assets at fair value through other comprehensive income - - 1.2 Overall 2,331 3,458 2. Negative changes 973 1,023 2.1 Of specific portfolios - - a) Financial assets at amortised cost - - b) Financial assets at fair value through other comprehensive income - - 2.2 Overall 973 1,023 Total 1,358 2,435 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Section 7 - Equity investments - Item 70 7.1 Equity: information on shareholder's equity COMPANY NAME MAIN OFFICE LEGAL MAIN OFFICE OPERATIVE(*) EQUITY %(**) VOTING RIGHTS % A. Subsidiaries 1 Anthemis EVO LLP London London 99.99% 100.00% 2 AO UniCredit Bank Moscow Moscow 100.00% 3 Cordusio SIM S.p.A. Milan Milan 100.00% 4 Cordusio Società Fiduciaria per Azioni Milan Milan 100.00% 5 Crivelli S.r.l. Milan Milan 100.00% 6 Island Finance (ICR4) S.r.l. (in liquidation) Rome Rome 100.00% 7 Nuova Compagnia di Partecipazioni S.p.A. Rome Rome 100.00% 8 PAI (Bermuda) Limited Hamilton Hamilton 100.00% 9 Pai Management LTD Dublin Dublin 100.00% 10 Pirta Verwaltungs GMBH Wien Wien 100.00% 11 Sanità - S.r.l. (in liquidation) Rome Rome 99.60% 12 Società di Gestioni Esattoriali in Sicilia SO.G.E.SI. S.p.A. (in liquidation) Palermo Palermo 80.00% 13 Sofigere Société par Actions Simplifiée Paris Paris 100.00% 14 UniCredit Bank A.D. Banja Luka Banja Luka Banja Luka 99.44% 15 UniCredit Bank AG Munich Munich 100.00% 16 UniCredit Bank Austria AG Wien Wien 100.00% (A) 17 UniCredit Bank Czech Republic and Slovakia A.S. Prague Prague 100.00% 18 UniCredit Bank Hungary ZRT Budapest Budapest 100.00% 19 UniCredit Bank S.A. Bucharest Bucharest 98.63% 20 UniCredit Bank Serbia JSC Belgrade Belgrade 100.00% 21 UniCredit Banka Slovenija D.D. Ljubljana Ljubljana 100.00% 22 UniCredit BPC Mortgage S.r.l. Verona Verona 60.00% 23 UniCredit Bulbank A.D. Sofia Sofia 99.45% 24 UniCredit Consumer Financing IFN S.A. Bucharest Bucharest 49.90% (B) 25 UniCredit Factoring S.p.A. Milan Milan 100.00% 26 UniCredit Global Leasing Export GMBH Wien Wien 100.00% 27 UniCredit International Bank (Luxembourg) S.A. Luxembourg Luxembourg 100.00% 28 UniCredit Myagents S.r.l. Bologna Bologna 100.00% 29 UniCredit OBG S.r.l. Verona Verona 60.00% 30 UniCredit Services S.c.p.A. Milan Milan 100.00% (C) 31 UniCredit Subito Casa S.p.A. Milan Milan 100.00% 32 UniCredit Turn-Around Management CEE GMBH Wien Wien 100.00% 33 Visconti S.r.l. Milan Milan 76.00% 34 Zagrebacka Banka D.D. Zagreb Zagreb 84.48% Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 641 Section 6 - Changes in fair value of portfolio hedged items - Item 60 6.1 Changes to macro-hedged financial assets: breakdown by hedged portfolio (€ million) AMOUNTS AS AT CHANGES TO HEDGED ASSETS/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes 2,331 3,458 1.1 Of specific portfolios - - a) Financial assets at amortised cost - - b) Financial assets at fair value through other comprehensive income - - 1.2 Overall 2,331 3,458 2. Negative changes 973 1,023 2.1 Of specific portfolios - - a) Financial assets at amortised cost - - b) Financial assets at fair value through other comprehensive income - - 2.2 Overall 973 1,023 Total 1,358 2,435 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Section 7 - Equity investments - Item 70 7.1 Equity: information on shareholder's equity COMPANY NAME MAIN OFFICE LEGAL MAIN OFFICE OPERATIVE(*) EQUITY %(**) VOTING RIGHTS % A. Subsidiaries 1 Anthemis EVO LLP London London 99.99% 100.00% 2 AO UniCredit Bank Moscow Moscow 100.00% 3 Cordusio SIM S.p.A. Milan Milan 100.00% 4 Cordusio Società Fiduciaria per Azioni Milan Milan 100.00% 5 Crivelli S.r.l. Milan Milan 100.00% 6 Island Finance (ICR4) S.r.l. (in liquidation) Rome Rome 100.00% 7 Nuova Compagnia di Partecipazioni S.p.A. Rome Rome 100.00% 8 PAI (Bermuda) Limited Hamilton Hamilton 100.00% 9 Pai Management LTD Dublin Dublin 100.00% 10 Pirta Verwaltungs GMBH Wien Wien 100.00% 11 Sanità - S.r.l. (in liquidation) Rome Rome 99.60% 12 Società di Gestioni Esattoriali in Sicilia SO.G.E.SI. S.p.A. (in liquidation) Palermo Palermo 80.00% 13 Sofigere Société par Actions Simplifiée Paris Paris 100.00% 14 UniCredit Bank A.D. Banja Luka Banja Luka Banja Luka 99.44% 15 UniCredit Bank AG Munich Munich 100.00% 16 UniCredit Bank Austria AG Wien Wien 100.00% (A) 17 UniCredit Bank Czech Republic and Slovakia A.S. Prague Prague 100.00% 18 UniCredit Bank Hungary ZRT Budapest Budapest 100.00% 19 UniCredit Bank S.A. Bucharest Bucharest 98.63% 20 UniCredit Bank Serbia JSC Belgrade Belgrade 100.00% 21 UniCredit Banka Slovenija D.D. Ljubljana Ljubljana 100.00% 22 UniCredit BPC Mortgage S.r.l. Verona Verona 60.00% 23 UniCredit Bulbank A.D. Sofia Sofia 99.45% 24 UniCredit Consumer Financing IFN S.A. Bucharest Bucharest 49.90% (B) 25 UniCredit Factoring S.p.A. Milan Milan 100.00% 26 UniCredit Global Leasing Export GMBH Wien Wien 100.00% 27 UniCredit International Bank (Luxembourg) S.A. Luxembourg Luxembourg 100.00% 28 UniCredit Myagents S.r.l. Bologna Bologna 100.00% 29 UniCredit OBG S.r.l. Verona Verona 60.00% 30 UniCredit Services S.c.p.A. Milan Milan 100.00% (C) 31 UniCredit Subito Casa S.p.A. Milan Milan 100.00% 32 UniCredit Turn-Around Management CEE GMBH Wien Wien 100.00% 33 Visconti S.r.l. Milan Milan 76.00% 34 Zagrebacka Banka D.D. Zagreb Zagreb 84.48% Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 641 Section 6 - Changes in fair value of portfolio hedged items - Item 60 6.1 Changes to macro-hedged financial assets: breakdown by hedged portfolio (€ million) AMOUNTS AS AT CHANGES TO HEDGED ASSETS/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes 2,331 3,458 1.1 Of specific portfolios - - a) Financial assets at amortised cost - - b) Financial assets at fair value through other comprehensive income - - 1.2 Overall 2,331 3,458 2. Negative changes 973 1,023 2.1 Of specific portfolios - - a) Financial assets at amortised cost - - b) Financial assets at fair value through other comprehensive income - - 2.2 Overall 973 1,023 Total 1,358 2,435 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Section 7 - Equity investments - Item 70 7.1 Equity: information on shareholder's equity COMPANY NAME MAIN OFFICE LEGAL MAIN OFFICE OPERATIVE(*) EQUITY %(**) VOTING RIGHTS % A. Subsidiaries 1 Anthemis EVO LLP London London 99.99% 100.00% 2 AO UniCredit Bank Moscow Moscow 100.00% 3 Cordusio SIM S.p.A. Milan Milan 100.00% 4 Cordusio Società Fiduciaria per Azioni Milan Milan 100.00% 5 Crivelli S.r.l. Milan Milan 100.00% 6 Island Finance (ICR4) S.r.l. (in liquidation) Rome Rome 100.00% 7 Nuova Compagnia di Partecipazioni S.p.A. Rome Rome 100.00% 8 PAI (Bermuda) Limited Hamilton Hamilton 100.00% 9 Pai Management LTD Dublin Dublin 100.00% 10 Pirta Verwaltungs GMBH Wien Wien 100.00% 11 Sanità - S.r.l. (in liquidation) Rome Rome 99.60% 12 Società di Gestioni Esattoriali in Sicilia SO.G.E.SI. S.p.A. (in liquidation) Palermo Palermo 80.00% 13 Sofigere Société par Actions Simplifiée Paris Paris 100.00% 14 UniCredit Bank A.D. Banja Luka Banja Luka Banja Luka 99.44% 15 UniCredit Bank AG Munich Munich 100.00% 16 UniCredit Bank Austria AG Wien Wien 100.00% (A) 17 UniCredit Bank Czech Republic and Slovakia A.S. Prague Prague 100.00% 18 UniCredit Bank Hungary ZRT Budapest Budapest 100.00% 19 UniCredit Bank S.A. Bucharest Bucharest 98.63% 20 UniCredit Bank Serbia JSC Belgrade Belgrade 100.00% 21 UniCredit Banka Slovenija D.D. Ljubljana Ljubljana 100.00% 22 UniCredit BPC Mortgage S.r.l. Verona Verona 60.00% 23 UniCredit Bulbank A.D. Sofia Sofia 99.45% 24 UniCredit Consumer Financing IFN S.A. Bucharest Bucharest 49.90% (B) 25 UniCredit Factoring S.p.A. Milan Milan 100.00% 26 UniCredit Global Leasing Export GMBH Wien Wien 100.00% 27 UniCredit International Bank (Luxembourg) S.A. Luxembourg Luxembourg 100.00% 28 UniCredit Myagents S.r.l. Bologna Bologna 100.00% 29 UniCredit OBG S.r.l. Verona Verona 60.00% 30 UniCredit Services S.c.p.A. Milan Milan 100.00% (C) 31 UniCredit Subito Casa S.p.A. Milan Milan 100.00% 32 UniCredit Turn-Around Management CEE GMBH Wien Wien 100.00% 33 Visconti S.r.l. Milan Milan 76.00% 34 Zagrebacka Banka D.D. Zagreb Zagreb 84.48% Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 642 2021 Annual Report and Accounts · UniCredit continued: 7.1 Equity: information on shareholder's equity COMPANY NAME MAIN OFFICE LEGAL MAIN OFFICE OPERATIVE(*) EQUITY %(**) VOTING RIGHTS % C. Companies under significant influence 1 Asset Bancari II Milan Milan 21.55% (D) 2 Aviva S.p.A. Milan Milan 49.00% 3 Camfin S.p.A. Milan Milan 8.53% 15.82% 4 CNP UniCredit Vita S.p.A. Milan Milan 38.80% 5 Compagnia Aerea Italiana S.p.A. Rome Rome 36.59% 6 Creditras Assicurazioni S.p.A. Milan Milan 50.00% 7 Creditras Vita S.p.A. Milan Milan 50.00% 8 Europrogetti & Finanza S.p.A. (in liquidation) Rome Rome 39.79% 9 Focus Investments S.p.A. Milan Milan 8.33% 25.00% 10 Incontra Assicurazioni S.p.A. Milan Milan 49.00% 11 Maccorp Italiana S.p.A. Milan Milan 28.01% 12 UniQLegal S.t.a.p.A. Milan Milan 9.00% Notes: (*) Also meaning the administrative office. (**) The equity stake is held by the Parent Company and does not include any stake held by other Group companies. (A) A fractional share is held by third parties. (B) The remaining share of 50.10% is held indirectly by UniCredit Bank S.A. (C) A fractional share is held by various Group companies and by third parties. (D) It is a real estate closed-end investment fund Subsidiaries no more include UniCredit Bank Ireland PLC (booked for €1.975 million at December 2020) following the business combination under common control realized at the end of 2021 the brought to its merge into UniCredit S.p.A. and UniCredit Leasing S.p.A. (booked for €650 million at December 2020) following its reclassification into assets held for sale. Subsidiaries under significative influence non more include Yapi Ve kredi Bankasi A.S. following the loss of significative influence and the reclassification into assets mandatory at fair value (for further details on the Yapi Ve kredi Bankasi A.S. transaction refer to the paragraph “7.1 Equity investments: information on shareholders’ equity”,of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Assets, Section 7 - Equity investments - Item 70). Valuation of investment in subsidiaries The investments are individually tested for impairment in accordance with the provisions of IAS36. When the conditions provided for therein apply, their recovery value is determined, meant as the higher of their "fair value" and "value in use" (the latter determined by discounting the cash flows at a rate that takes account of the current market rates and the specific risks of the asset or using other commonly accepted valuation criteria and methods suitable for the correct valuation of the investment). If the recovery value is lower than the carrying amount, the latter is consequently reduced by allocating the corresponding impairment loss to the income statement. On the basis of the above impairment loss has been recognised in subsidiaries, including: UniCredit Leasing S.p.A. (-€280 million, before its reclassification under assets held for sale), Yapi Ve Kredi Bankasi A.S. (-€249 million, before its reclassification among the instruments mandatorily valued at fair value), Cordusio SIM S.pA. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million). Further, some write-ups have been recognised, including: UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli SRL (€3 million), UniCredit Subito Casa S.p.A. (€1 million). The item Equity investments is equal to €38,414 million of which €824 million related to investments in associates and €37,590 million related to investments in subsidiaries. In accordance with the IAS27 principle these investments are held at cost net of impairment losses determined in compliance with the IAS36 principle. According to this International Accounting Standard, equity investments must be subject to an impairment test whenever there is objective evidence that events have taken place which may have decreased their value. According to the relevant standard, the impairment test shall be carried out by comparing the carrying amount of each equity investments with its recoverable amount. If the latter value is found to be lower than the carrying amount an impairment must be recognised. On the contrary, should the recoverable amount be found to be higher than the carrying amount, the latter cannot be modified unless an impairment was recognised in previous periods. In this case, a reversal of previous impairment must be recognised for the difference between the recoverable amount and carrying amount and the reversal cannot exceed impairment recognised in previous periods. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 642 2021 Annual Report and Accounts · UniCredit continued: 7.1 Equity: information on shareholder's equity COMPANY NAME MAIN OFFICE LEGAL MAIN OFFICE OPERATIVE(*) EQUITY %(**) VOTING RIGHTS % C. Companies under significant influence 1 Asset Bancari II Milan Milan 21.55% (D) 2 Aviva S.p.A. Milan Milan 49.00% 3 Camfin S.p.A. Milan Milan 8.53% 15.82% 4 CNP UniCredit Vita S.p.A. Milan Milan 38.80% 5 Compagnia Aerea Italiana S.p.A. Rome Rome 36.59% 6 Creditras Assicurazioni S.p.A. Milan Milan 50.00% 7 Creditras Vita S.p.A. Milan Milan 50.00% 8 Europrogetti & Finanza S.p.A. (in liquidation) Rome Rome 39.79% 9 Focus Investments S.p.A. Milan Milan 8.33% 25.00% 10 Incontra Assicurazioni S.p.A. Milan Milan 49.00% 11 Maccorp Italiana S.p.A. Milan Milan 28.01% 12 UniQLegal S.t.a.p.A. Milan Milan 9.00% Notes: (*) Also meaning the administrative office. (**) The equity stake is held by the Parent Company and does not include any stake held by other Group companies. (A) A fractional share is held by third parties. (B) The remaining share of 50.10% is held indirectly by UniCredit Bank S.A. (C) A fractional share is held by various Group companies and by third parties. (D) It is a real estate closed-end investment fund Subsidiaries no more include UniCredit Bank Ireland PLC (booked for €1.975 million at December 2020) following the business combination under common control realized at the end of 2021 the brought to its merge into UniCredit S.p.A. and UniCredit Leasing S.p.A. (booked for €650 million at December 2020) following its reclassification into assets held for sale. Subsidiaries under significative influence non more include Yapi Ve kredi Bankasi A.S. following the loss of significative influence and the reclassification into assets mandatory at fair value (for further details on the Yapi Ve kredi Bankasi A.S. transaction refer to the paragraph “7.1 Equity investments: information on shareholders’ equity”,of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Assets, Section 7 - Equity investments - Item 70). Valuation of investment in subsidiaries The investments are individually tested for impairment in accordance with the provisions of IAS36. When the conditions provided for therein apply, their recovery value is determined, meant as the higher of their "fair value" and "value in use" (the latter determined by discounting the cash flows at a rate that takes account of the current market rates and the specific risks of the asset or using other commonly accepted valuation criteria and methods suitable for the correct valuation of the investment). If the recovery value is lower than the carrying amount, the latter is consequently reduced by allocating the corresponding impairment loss to the income statement. On the basis of the above impairment loss has been recognised in subsidiaries, including: UniCredit Leasing S.p.A. (-€280 million, before its reclassification under assets held for sale), Yapi Ve Kredi Bankasi A.S. (-€249 million, before its reclassification among the instruments mandatorily valued at fair value), Cordusio SIM S.pA. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million). Further, some write-ups have been recognised, including: UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli SRL (€3 million), UniCredit Subito Casa S.p.A. (€1 million). The item Equity investments is equal to €38,414 million of which €824 million related to investments in associates and €37,590 million related to investments in subsidiaries. In accordance with the IAS27 principle these investments are held at cost net of impairment losses determined in compliance with the IAS36 principle. According to this International Accounting Standard, equity investments must be subject to an impairment test whenever there is objective evidence that events have taken place which may have decreased their value. According to the relevant standard, the impairment test shall be carried out by comparing the carrying amount of each equity investments with its recoverable amount. If the latter value is found to be lower than the carrying amount an impairment must be recognised. On the contrary, should the recoverable amount be found to be higher than the carrying amount, the latter cannot be modified unless an impairment was recognised in previous periods. In this case, a reversal of previous impairment must be recognised for the difference between the recoverable amount and carrying amount and the reversal cannot exceed impairment recognised in previous periods. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 642 2021 Annual Report and Accounts · UniCredit continued: 7.1 Equity: information on shareholder's equity COMPANY NAME MAIN OFFICE LEGAL MAIN OFFICE OPERATIVE(*) EQUITY %(**) VOTING RIGHTS % C. Companies under significant influence 1 Asset Bancari II Milan Milan 21.55% (D) 2 Aviva S.p.A. Milan Milan 49.00% 3 Camfin S.p.A. Milan Milan 8.53% 15.82% 4 CNP UniCredit Vita S.p.A. Milan Milan 38.80% 5 Compagnia Aerea Italiana S.p.A. Rome Rome 36.59% 6 Creditras Assicurazioni S.p.A. Milan Milan 50.00% 7 Creditras Vita S.p.A. Milan Milan 50.00% 8 Europrogetti & Finanza S.p.A. (in liquidation) Rome Rome 39.79% 9 Focus Investments S.p.A. Milan Milan 8.33% 25.00% 10 Incontra Assicurazioni S.p.A. Milan Milan 49.00% 11 Maccorp Italiana S.p.A. Milan Milan 28.01% 12 UniQLegal S.t.a.p.A. Milan Milan 9.00% Notes: (*) Also meaning the administrative office. (**) The equity stake is held by the Parent Company and does not include any stake held by other Group companies. (A) A fractional share is held by third parties. (B) The remaining share of 50.10% is held indirectly by UniCredit Bank S.A. (C) A fractional share is held by various Group companies and by third parties. (D) It is a real estate closed-end investment fund Subsidiaries no more include UniCredit Bank Ireland PLC (booked for €1.975 million at December 2020) following the business combination under common control realized at the end of 2021 the brought to its merge into UniCredit S.p.A. and UniCredit Leasing S.p.A. (booked for €650 million at December 2020) following its reclassification into assets held for sale. Subsidiaries under significative influence non more include Yapi Ve kredi Bankasi A.S. following the loss of significative influence and the reclassification into assets mandatory at fair value (for further details on the Yapi Ve kredi Bankasi A.S. transaction refer to the paragraph “7.1 Equity investments: information on shareholders’ equity”,of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Assets, Section 7 - Equity investments - Item 70). Valuation of investment in subsidiaries The investments are individually tested for impairment in accordance with the provisions of IAS36. When the conditions provided for therein apply, their recovery value is determined, meant as the higher of their "fair value" and "value in use" (the latter determined by discounting the cash flows at a rate that takes account of the current market rates and the specific risks of the asset or using other commonly accepted valuation criteria and methods suitable for the correct valuation of the investment). If the recovery value is lower than the carrying amount, the latter is consequently reduced by allocating the corresponding impairment loss to the income statement. On the basis of the above impairment loss has been recognised in subsidiaries, including: UniCredit Leasing S.p.A. (-€280 million, before its reclassification under assets held for sale), Yapi Ve Kredi Bankasi A.S. (-€249 million, before its reclassification among the instruments mandatorily valued at fair value), Cordusio SIM S.pA. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million). Further, some write-ups have been recognised, including: UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli SRL (€3 million), UniCredit Subito Casa S.p.A. (€1 million). The item Equity investments is equal to €38,414 million of which €824 million related to investments in associates and €37,590 million related to investments in subsidiaries. In accordance with the IAS27 principle these investments are held at cost net of impairment losses determined in compliance with the IAS36 principle. According to this International Accounting Standard, equity investments must be subject to an impairment test whenever there is objective evidence that events have taken place which may have decreased their value. According to the relevant standard, the impairment test shall be carried out by comparing the carrying amount of each equity investments with its recoverable amount. If the latter value is found to be lower than the carrying amount an impairment must be recognised. On the contrary, should the recoverable amount be found to be higher than the carrying amount, the latter cannot be modified unless an impairment was recognised in previous periods. In this case, a reversal of previous impairment must be recognised for the difference between the recoverable amount and carrying amount and the reversal cannot exceed impairment recognised in previous periods. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 642 2021 Annual Report and Accounts · UniCredit continued: 7.1 Equity: information on shareholder's equity COMPANY NAME MAIN OFFICE LEGAL MAIN OFFICE OPERATIVE(*) EQUITY %(**) VOTING RIGHTS % C. Companies under significant influence 1 Asset Bancari II Milan Milan 21.55% (D) 2 Aviva S.p.A. Milan Milan 49.00% 3 Camfin S.p.A. Milan Milan 8.53% 15.82% 4 CNP UniCredit Vita S.p.A. Milan Milan 38.80% 5 Compagnia Aerea Italiana S.p.A. Rome Rome 36.59% 6 Creditras Assicurazioni S.p.A. Milan Milan 50.00% 7 Creditras Vita S.p.A. Milan Milan 50.00% 8 Europrogetti & Finanza S.p.A. (in liquidation) Rome Rome 39.79% 9 Focus Investments S.p.A. Milan Milan 8.33% 25.00% 10 Incontra Assicurazioni S.p.A. Milan Milan 49.00% 11 Maccorp Italiana S.p.A. Milan Milan 28.01% 12 UniQLegal S.t.a.p.A. Milan Milan 9.00% Notes: (*) Also meaning the administrative office. (**) The equity stake is held by the Parent Company and does not include any stake held by other Group companies. (A) A fractional share is held by third parties. (B) The remaining share of 50.10% is held indirectly by UniCredit Bank S.A. (C) A fractional share is held by various Group companies and by third parties. (D) It is a real estate closed-end investment fund Subsidiaries no more include UniCredit Bank Ireland PLC (booked for €1.975 million at December 2020) following the business combination under common control realized at the end of 2021 the brought to its merge into UniCredit S.p.A. and UniCredit Leasing S.p.A. (booked for €650 million at December 2020) following its reclassification into assets held for sale. Subsidiaries under significative influence non more include Yapi Ve kredi Bankasi A.S. following the loss of significative influence and the reclassification into assets mandatory at fair value (for further details on the Yapi Ve kredi Bankasi A.S. transaction refer to the paragraph “7.1 Equity investments: information on shareholders’ equity”,of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Assets, Section 7 - Equity investments - Item 70). Valuation of investment in subsidiaries The investments are individually tested for impairment in accordance with the provisions of IAS36. When the conditions provided for therein apply, their recovery value is determined, meant as the higher of their "fair value" and "value in use" (the latter determined by discounting the cash flows at a rate that takes account of the current market rates and the specific risks of the asset or using other commonly accepted valuation criteria and methods suitable for the correct valuation of the investment). If the recovery value is lower than the carrying amount, the latter is consequently reduced by allocating the corresponding impairment loss to the income statement. On the basis of the above impairment loss has been recognised in subsidiaries, including: UniCredit Leasing S.p.A. (-€280 million, before its reclassification under assets held for sale), Yapi Ve Kredi Bankasi A.S. (-€249 million, before its reclassification among the instruments mandatorily valued at fair value), Cordusio SIM S.pA. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million). Further, some write-ups have been recognised, including: UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli SRL (€3 million), UniCredit Subito Casa S.p.A. (€1 million). The item Equity investments is equal to €38,414 million of which €824 million related to investments in associates and €37,590 million related to investments in subsidiaries. In accordance with the IAS27 principle these investments are held at cost net of impairment losses determined in compliance with the IAS36 principle. According to this International Accounting Standard, equity investments must be subject to an impairment test whenever there is objective evidence that events have taken place which may have decreased their value. According to the relevant standard, the impairment test shall be carried out by comparing the carrying amount of each equity investments with its recoverable amount. If the latter value is found to be lower than the carrying amount an impairment must be recognised. On the contrary, should the recoverable amount be found to be higher than the carrying amount, the latter cannot be modified unless an impairment was recognised in previous periods. In this case, a reversal of previous impairment must be recognised for the difference between the recoverable amount and carrying amount and the reversal cannot exceed impairment recognised in previous periods. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 642 2021 Annual Report and Accounts · UniCredit continued: 7.1 Equity: information on shareholder's equity COMPANY NAME MAIN OFFICE LEGAL MAIN OFFICE OPERATIVE(*) EQUITY %(**) VOTING RIGHTS % C. Companies under significant influence 1 Asset Bancari II Milan Milan 21.55% (D) 2 Aviva S.p.A. Milan Milan 49.00% 3 Camfin S.p.A. Milan Milan 8.53% 15.82% 4 CNP UniCredit Vita S.p.A. Milan Milan 38.80% 5 Compagnia Aerea Italiana S.p.A. Rome Rome 36.59% 6 Creditras Assicurazioni S.p.A. Milan Milan 50.00% 7 Creditras Vita S.p.A. Milan Milan 50.00% 8 Europrogetti & Finanza S.p.A. (in liquidation) Rome Rome 39.79% 9 Focus Investments S.p.A. Milan Milan 8.33% 25.00% 10 Incontra Assicurazioni S.p.A. Milan Milan 49.00% 11 Maccorp Italiana S.p.A. Milan Milan 28.01% 12 UniQLegal S.t.a.p.A. Milan Milan 9.00% Notes: (*) Also meaning the administrative office. (**) The equity stake is held by the Parent Company and does not include any stake held by other Group companies. (A) A fractional share is held by third parties. (B) The remaining share of 50.10% is held indirectly by UniCredit Bank S.A. (C) A fractional share is held by various Group companies and by third parties. (D) It is a real estate closed-end investment fund Subsidiaries no more include UniCredit Bank Ireland PLC (booked for €1.975 million at December 2020) following the business combination under common control realized at the end of 2021 the brought to its merge into UniCredit S.p.A. and UniCredit Leasing S.p.A. (booked for €650 million at December 2020) following its reclassification into assets held for sale. Subsidiaries under significative influence non more include Yapi Ve kredi Bankasi A.S. following the loss of significative influence and the reclassification into assets mandatory at fair value (for further details on the Yapi Ve kredi Bankasi A.S. transaction refer to the paragraph “7.1 Equity investments: information on shareholders’ equity”,of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet, Assets, Section 7 - Equity investments - Item 70). Valuation of investment in subsidiaries The investments are individually tested for impairment in accordance with the provisions of IAS36. When the conditions provided for therein apply, their recovery value is determined, meant as the higher of their "fair value" and "value in use" (the latter determined by discounting the cash flows at a rate that takes account of the current market rates and the specific risks of the asset or using other commonly accepted valuation criteria and methods suitable for the correct valuation of the investment). If the recovery value is lower than the carrying amount, the latter is consequently reduced by allocating the corresponding impairment loss to the income statement. On the basis of the above impairment loss has been recognised in subsidiaries, including: UniCredit Leasing S.p.A. (-€280 million, before its reclassification under assets held for sale), Yapi Ve Kredi Bankasi A.S. (-€249 million, before its reclassification among the instruments mandatorily valued at fair value), Cordusio SIM S.pA. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million). Further, some write-ups have been recognised, including: UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli SRL (€3 million), UniCredit Subito Casa S.p.A. (€1 million). The item Equity investments is equal to €38,414 million of which €824 million related to investments in associates and €37,590 million related to investments in subsidiaries. In accordance with the IAS27 principle these investments are held at cost net of impairment losses determined in compliance with the IAS36 principle. According to this International Accounting Standard, equity investments must be subject to an impairment test whenever there is objective evidence that events have taken place which may have decreased their value. According to the relevant standard, the impairment test shall be carried out by comparing the carrying amount of each equity investments with its recoverable amount. If the latter value is found to be lower than the carrying amount an impairment must be recognised. On the contrary, should the recoverable amount be found to be higher than the carrying amount, the latter cannot be modified unless an impairment was recognised in previous periods. In this case, a reversal of previous impairment must be recognised for the difference between the recoverable amount and carrying amount and the reversal cannot exceed impairment recognised in previous periods. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 643 With reference to investments in subsidiaries, it should be noted that the recoverable amount is generally determined through the discounting of future cash flows at an appropriate discount rate as explained in the section “Estimating cash flows to determine the value in use of investments in subsidiaries”. For some investments, the future cash flows expected to be received from the subsidiary are not deemed to be appropriate for the computation of the recoverable amount, generally due to the fact that their contribution to Group profitability is not expected to take place through the distribution of dividends but rather through the provision of specific services to other companies in the Group with the aim of reducing the costs that these companies incur into in order to perform their business. In cases such as these the recoverable amount has been generally determined based on the net equity of the investment. On 31 December 2021 reversal of previous impairment were recognised on investments in subsidiaries for €7,535 million, amount that include the impairment recognized on the investment in UniCredit Leasing S.p.A. (-€280 million), which has been classified under Non-current assets and asset groups held for sale at 31 December 2021. With reference to investments in associates impairment net losses for €-206 million were recognized. This amount includes the write-downs (-€249 million) relating to Yapi Ve Kredi Bankasi A.S. recognized in the year before the reclassification of the investment into financial assets mandatorily at fair value. Estimating cash flows to determine the value in use of investments in subsidiaries Projections The set of projections employed for the impairment test of investments in subsidiaries as of 31 December 2021 was based around two alternative scenarios, to reflect the volatility and uncertainty underlying the continuing Covid-19 pandemic. The two scenarios were articulated as follows: • “Baseline” scenario based on the financial forecasts (Net Profit and RWA) underlying the 2022-2024 “UniCredit Unlocked” strategic plan; • “Downturn” scenario less favourable than the “base” scenario, reflecting lowered 2022-2024 macroeconomic forecasts to take into account the higher risks part of the current uncertain context. For a description of the assumptions underlying the “Baseline” and “Downturn” scenarios refer to the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies. Impairment test model The calculation of the value in use for impairment testing purposes was carried out using a Dividend Discount Model (DDM). The free cash flows to equity were determined by subtracting from Net Profit (gross of minority interests) the annual capital requirement generated by changes in risk-weighted assets (RWA). The capital requirement is defined as the level of capitalisation that the Group aims to achieve in the long term, also in light of the minimum regulatory capital requirements currently in place. The DDM model employed is based on three stages with an explicit forecast period, an intermediate period and a terminal value. Due to the employment of the two scenarios described above the model was set-up in different ways in the various stages. PERIOD "BASELINE" SCENARIO “DOWNTURN” SCENARIO Explicit forecast (2022 - 2024) Financial projections underlying the “UniCredit Unlocked" strategic plan Financial projections derived from the macroeconomic scenario underlying the “Downturn” scenario. Intermediate (2025 - 2029) Financial projections extrapolated by applying to the last year of the explicit forecast period (2024) growth rates converging to that of the “terminal value”. The application of an intermediate period aims to allow a normalisation in the nominal growth rate of Net Profit and RWA before their convergence to terminal value, since the Group operates in different geographical areas and business segments and these are characterised by different risk profiles and growth prospects. For subsidiaries in Italy, Germany and Austria the growth rates for the intermediate period are defined considering a conservative cap. Financial projections extrapolated by applying to the last year of the explicit forecast period (2024) a fixed growth rate equal to the nominal long term growth rate. Terminal value Derived through a nominal long term growth rate of 2%. The average growth rate of real GDP in the Eurozone from 2000 to 2020 was 1.0%. The nominal rate of 2%, corresponding to approximately 0% in real terms, was chosen for cautionary reasons. Derived through a nominal long term growth rate of 2%. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 643 With reference to investments in subsidiaries, it should be noted that the recoverable amount is generally determined through the discounting of future cash flows at an appropriate discount rate as explained in the section “Estimating cash flows to determine the value in use of investments in subsidiaries”. For some investments, the future cash flows expected to be received from the subsidiary are not deemed to be appropriate for the computation of the recoverable amount, generally due to the fact that their contribution to Group profitability is not expected to take place through the distribution of dividends but rather through the provision of specific services to other companies in the Group with the aim of reducing the costs that these companies incur into in order to perform their business. In cases such as these the recoverable amount has been generally determined based on the net equity of the investment. On 31 December 2021 reversal of previous impairment were recognised on investments in subsidiaries for €7,535 million, amount that include the impairment recognized on the investment in UniCredit Leasing S.p.A. (-€280 million), which has been classified under Non-current assets and asset groups held for sale at 31 December 2021. With reference to investments in associates impairment net losses for €-206 million were recognized. This amount includes the write-downs (-€249 million) relating to Yapi Ve Kredi Bankasi A.S. recognized in the year before the reclassification of the investment into financial assets mandatorily at fair value. Estimating cash flows to determine the value in use of investments in subsidiaries Projections The set of projections employed for the impairment test of investments in subsidiaries as of 31 December 2021 was based around two alternative scenarios, to reflect the volatility and uncertainty underlying the continuing Covid-19 pandemic. The two scenarios were articulated as follows: • “Baseline” scenario based on the financial forecasts (Net Profit and RWA) underlying the 2022-2024 “UniCredit Unlocked” strategic plan; • “Downturn” scenario less favourable than the “base” scenario, reflecting lowered 2022-2024 macroeconomic forecasts to take into account the higher risks part of the current uncertain context. For a description of the assumptions underlying the “Baseline” and “Downturn” scenarios refer to the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies. Impairment test model The calculation of the value in use for impairment testing purposes was carried out using a Dividend Discount Model (DDM). The free cash flows to equity were determined by subtracting from Net Profit (gross of minority interests) the annual capital requirement generated by changes in risk-weighted assets (RWA). The capital requirement is defined as the level of capitalisation that the Group aims to achieve in the long term, also in light of the minimum regulatory capital requirements currently in place. The DDM model employed is based on three stages with an explicit forecast period, an intermediate period and a terminal value. Due to the employment of the two scenarios described above the model was set-up in different ways in the various stages. PERIOD "BASELINE" SCENARIO “DOWNTURN” SCENARIO Explicit forecast (2022 - 2024) Financial projections underlying the “UniCredit Unlocked" strategic plan Financial projections derived from the macroeconomic scenario underlying the “Downturn” scenario. Intermediate (2025 - 2029) Financial projections extrapolated by applying to the last year of the explicit forecast period (2024) growth rates converging to that of the “terminal value”. The application of an intermediate period aims to allow a normalisation in the nominal growth rate of Net Profit and RWA before their convergence to terminal value, since the Group operates in different geographical areas and business segments and these are characterised by different risk profiles and growth prospects. For subsidiaries in Italy, Germany and Austria the growth rates for the intermediate period are defined considering a conservative cap. Financial projections extrapolated by applying to the last year of the explicit forecast period (2024) a fixed growth rate equal to the nominal long term growth rate. Terminal value Derived through a nominal long term growth rate of 2%. The average growth rate of real GDP in the Eurozone from 2000 to 2020 was 1.0%. The nominal rate of 2%, corresponding to approximately 0% in real terms, was chosen for cautionary reasons. Derived through a nominal long term growth rate of 2%. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 643 With reference to investments in subsidiaries, it should be noted that the recoverable amount is generally determined through the discounting of future cash flows at an appropriate discount rate as explained in the section “Estimating cash flows to determine the value in use of investments in subsidiaries”. For some investments, the future cash flows expected to be received from the subsidiary are not deemed to be appropriate for the computation of the recoverable amount, generally due to the fact that their contribution to Group profitability is not expected to take place through the distribution of dividends but rather through the provision of specific services to other companies in the Group with the aim of reducing the costs that these companies incur into in order to perform their business. In cases such as these the recoverable amount has been generally determined based on the net equity of the investment. On 31 December 2021 reversal of previous impairment were recognised on investments in subsidiaries for €7,535 million, amount that include the impairment recognized on the investment in UniCredit Leasing S.p.A. (-€280 million), which has been classified under Non-current assets and asset groups held for sale at 31 December 2021. With reference to investments in associates impairment net losses for €-206 million were recognized. This amount includes the write-downs (-€249 million) relating to Yapi Ve Kredi Bankasi A.S. recognized in the year before the reclassification of the investment into financial assets mandatorily at fair value. Estimating cash flows to determine the value in use of investments in subsidiaries Projections The set of projections employed for the impairment test of investments in subsidiaries as of 31 December 2021 was based around two alternative scenarios, to reflect the volatility and uncertainty underlying the continuing Covid-19 pandemic. The two scenarios were articulated as follows: • “Baseline” scenario based on the financial forecasts (Net Profit and RWA) underlying the 2022-2024 “UniCredit Unlocked” strategic plan; • “Downturn” scenario less favourable than the “base” scenario, reflecting lowered 2022-2024 macroeconomic forecasts to take into account the higher risks part of the current uncertain context. For a description of the assumptions underlying the “Baseline” and “Downturn” scenarios refer to the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies. Impairment test model The calculation of the value in use for impairment testing purposes was carried out using a Dividend Discount Model (DDM). The free cash flows to equity were determined by subtracting from Net Profit (gross of minority interests) the annual capital requirement generated by changes in risk-weighted assets (RWA). The capital requirement is defined as the level of capitalisation that the Group aims to achieve in the long term, also in light of the minimum regulatory capital requirements currently in place. The DDM model employed is based on three stages with an explicit forecast period, an intermediate period and a terminal value. Due to the employment of the two scenarios described above the model was set-up in different ways in the various stages. PERIOD "BASELINE" SCENARIO “DOWNTURN” SCENARIO Explicit forecast (2022 - 2024) Financial projections underlying the “UniCredit Unlocked" strategic plan Financial projections derived from the macroeconomic scenario underlying the “Downturn” scenario. Intermediate (2025 - 2029) Financial projections extrapolated by applying to the last year of the explicit forecast period (2024) growth rates converging to that of the “terminal value”. The application of an intermediate period aims to allow a normalisation in the nominal growth rate of Net Profit and RWA before their convergence to terminal value, since the Group operates in different geographical areas and business segments and these are characterised by different risk profiles and growth prospects. For subsidiaries in Italy, Germany and Austria the growth rates for the intermediate period are defined considering a conservative cap. Financial projections extrapolated by applying to the last year of the explicit forecast period (2024) a fixed growth rate equal to the nominal long term growth rate. Terminal value Derived through a nominal long term growth rate of 2%. The average growth rate of real GDP in the Eurozone from 2000 to 2020 was 1.0%. The nominal rate of 2%, corresponding to approximately 0% in real terms, was chosen for cautionary reasons. Derived through a nominal long term growth rate of 2%. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 643 With reference to investments in subsidiaries, it should be noted that the recoverable amount is generally determined through the discounting of future cash flows at an appropriate discount rate as explained in the section “Estimating cash flows to determine the value in use of investments in subsidiaries”. For some investments, the future cash flows expected to be received from the subsidiary are not deemed to be appropriate for the computation of the recoverable amount, generally due to the fact that their contribution to Group profitability is not expected to take place through the distribution of dividends but rather through the provision of specific services to other companies in the Group with the aim of reducing the costs that these companies incur into in order to perform their business. In cases such as these the recoverable amount has been generally determined based on the net equity of the investment. On 31 December 2021 reversal of previous impairment were recognised on investments in subsidiaries for €7,535 million, amount that include the impairment recognized on the investment in UniCredit Leasing S.p.A. (-€280 million), which has been classified under Non-current assets and asset groups held for sale at 31 December 2021. With reference to investments in associates impairment net losses for €-206 million were recognized. This amount includes the write-downs (-€249 million) relating to Yapi Ve Kredi Bankasi A.S. recognized in the year before the reclassification of the investment into financial assets mandatorily at fair value. Estimating cash flows to determine the value in use of investments in subsidiaries Projections The set of projections employed for the impairment test of investments in subsidiaries as of 31 December 2021 was based around two alternative scenarios, to reflect the volatility and uncertainty underlying the continuing Covid-19 pandemic. The two scenarios were articulated as follows: • “Baseline” scenario based on the financial forecasts (Net Profit and RWA) underlying the 2022-2024 “UniCredit Unlocked” strategic plan; • “Downturn” scenario less favourable than the “base” scenario, reflecting lowered 2022-2024 macroeconomic forecasts to take into account the higher risks part of the current uncertain context. For a description of the assumptions underlying the “Baseline” and “Downturn” scenarios refer to the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies. Impairment test model The calculation of the value in use for impairment testing purposes was carried out using a Dividend Discount Model (DDM). The free cash flows to equity were determined by subtracting from Net Profit (gross of minority interests) the annual capital requirement generated by changes in risk-weighted assets (RWA). The capital requirement is defined as the level of capitalisation that the Group aims to achieve in the long term, also in light of the minimum regulatory capital requirements currently in place. The DDM model employed is based on three stages with an explicit forecast period, an intermediate period and a terminal value. Due to the employment of the two scenarios described above the model was set-up in different ways in the various stages. PERIOD "BASELINE" SCENARIO “DOWNTURN” SCENARIO Explicit forecast (2022 - 2024) Financial projections underlying the “UniCredit Unlocked" strategic plan Financial projections derived from the macroeconomic scenario underlying the “Downturn” scenario. Intermediate (2025 - 2029) Financial projections extrapolated by applying to the last year of the explicit forecast period (2024) growth rates converging to that of the “terminal value”. The application of an intermediate period aims to allow a normalisation in the nominal growth rate of Net Profit and RWA before their convergence to terminal value, since the Group operates in different geographical areas and business segments and these are characterised by different risk profiles and growth prospects. For subsidiaries in Italy, Germany and Austria the growth rates for the intermediate period are defined considering a conservative cap. Financial projections extrapolated by applying to the last year of the explicit forecast period (2024) a fixed growth rate equal to the nominal long term growth rate. Terminal value Derived through a nominal long term growth rate of 2%. The average growth rate of real GDP in the Eurozone from 2000 to 2020 was 1.0%. The nominal rate of 2%, corresponding to approximately 0% in real terms, was chosen for cautionary reasons. Derived through a nominal long term growth rate of 2%. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 643 With reference to investments in subsidiaries, it should be noted that the recoverable amount is generally determined through the discounting of future cash flows at an appropriate discount rate as explained in the section “Estimating cash flows to determine the value in use of investments in subsidiaries”. For some investments, the future cash flows expected to be received from the subsidiary are not deemed to be appropriate for the computation of the recoverable amount, generally due to the fact that their contribution to Group profitability is not expected to take place through the distribution of dividends but rather through the provision of specific services to other companies in the Group with the aim of reducing the costs that these companies incur into in order to perform their business. In cases such as these the recoverable amount has been generally determined based on the net equity of the investment. On 31 December 2021 reversal of previous impairment were recognised on investments in subsidiaries for €7,535 million, amount that include the impairment recognized on the investment in UniCredit Leasing S.p.A. (-€280 million), which has been classified under Non-current assets and asset groups held for sale at 31 December 2021. With reference to investments in associates impairment net losses for €-206 million were recognized. This amount includes the write-downs (-€249 million) relating to Yapi Ve Kredi Bankasi A.S. recognized in the year before the reclassification of the investment into financial assets mandatorily at fair value. Estimating cash flows to determine the value in use of investments in subsidiaries Projections The set of projections employed for the impairment test of investments in subsidiaries as of 31 December 2021 was based around two alternative scenarios, to reflect the volatility and uncertainty underlying the continuing Covid-19 pandemic. The two scenarios were articulated as follows: • “Baseline” scenario based on the financial forecasts (Net Profit and RWA) underlying the 2022-2024 “UniCredit Unlocked” strategic plan; • “Downturn” scenario less favourable than the “base” scenario, reflecting lowered 2022-2024 macroeconomic forecasts to take into account the higher risks part of the current uncertain context. For a description of the assumptions underlying the “Baseline” and “Downturn” scenarios refer to the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies. Impairment test model The calculation of the value in use for impairment testing purposes was carried out using a Dividend Discount Model (DDM). The free cash flows to equity were determined by subtracting from Net Profit (gross of minority interests) the annual capital requirement generated by changes in risk-weighted assets (RWA). The capital requirement is defined as the level of capitalisation that the Group aims to achieve in the long term, also in light of the minimum regulatory capital requirements currently in place. The DDM model employed is based on three stages with an explicit forecast period, an intermediate period and a terminal value. Due to the employment of the two scenarios described above the model was set-up in different ways in the various stages. PERIOD "BASELINE" SCENARIO “DOWNTURN” SCENARIO Explicit forecast (2022 - 2024) Financial projections underlying the “UniCredit Unlocked" strategic plan Financial projections derived from the macroeconomic scenario underlying the “Downturn” scenario. Intermediate (2025 - 2029) Financial projections extrapolated by applying to the last year of the explicit forecast period (2024) growth rates converging to that of the “terminal value”. The application of an intermediate period aims to allow a normalisation in the nominal growth rate of Net Profit and RWA before their convergence to terminal value, since the Group operates in different geographical areas and business segments and these are characterised by different risk profiles and growth prospects. For subsidiaries in Italy, Germany and Austria the growth rates for the intermediate period are defined considering a conservative cap. Financial projections extrapolated by applying to the last year of the explicit forecast period (2024) a fixed growth rate equal to the nominal long term growth rate. Terminal value Derived through a nominal long term growth rate of 2%. The average growth rate of real GDP in the Eurozone from 2000 to 2020 was 1.0%. The nominal rate of 2%, corresponding to approximately 0% in real terms, was chosen for cautionary reasons. Derived through a nominal long term growth rate of 2%. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 644 2021 Annual Report and Accounts · UniCredit Discount rates and regulatory capital targets Future financial flows were discounted using an estimate of the discount rate incorporating in the cost of equity the various risk factors linked to each business sector. This discount rate is a nominal rate, net of taxes. In particular, the cost of equity for each subsidiary in the “Baseline” scenario is assessed with the Capital Asset Pricing Model adopting a through the cycle approach (i.e., six years average) as the sum of the following items: • Risk Free Rate: equal to the yield of the benchmark government bond of the reference country (local currency approach, maturity: 10 years), alternative references are used for countries lacking appropriate government issuances; • Equity Risk Premium: given by the product of the following items: - UniCredit Beta (β): measures the sensitivity of UniCredit shares to variations in the reference market; - Market Risk Premium: estimated by Professor Damodaran as the difference between the return of US stock and bond markets since 1928 (geometric mean). The discount rates used in the “Downturn” scenario are based on the rates used in the “Baseline” scenario but also include an add-on to reflect the higher volatility which is likely to coincide with a less favourable economic environment. The size of the add-on has been determined through an historical analysis. A further parameter used to determine the initial allocated capital and its evolution over time is the Common Equity Tier 1 ratio target. A target Common Equity Tier 1 ratio coherent with the Group target was employed for all subsidiaries. Results of the impairment test The results of the two scenarios were weighted differently to reflect their different probability of taking place. Specifically, the results from the “Baseline” scenario, considered the most probable scenario, were weighted at 60% while the “Downturn” scenario was weighted at 40%. The investment in subsidiaries impairment test as of 31 December 2021 led, overall, to a write-back of previous impairments for €7,930 million. The table below shows the result of the test for the subsidiaries with carrying value before the test above €1 billion. (€ million) COMPANY NAME CARRYING AMOUNT AS OF 31 DECEMBER 2020 IMPAIRMENT/REVERSAL OF IMPAIRMENT FOLLOWING THE IMPAIRMENT TEST CARRYING AMOUNT AFTER THE IMPAIRMENT TEST UNICREDIT BANK AG 12,665 4,958 17,624 UNICREDIT BANK AUSTRIA AG 6,522 2,972 9,494 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA 2,029 - 2,029 AO UNICREDIT BANK 1,837 - 1,837 ZAGREBACKA BANKA D.D. ZAGREB 1,699 - 1,699 UNICREDIT BULBANK AD 1,291 - 1,291 It must be underlined that the parameters and information used to verify the recoverability of carrying values (in particular the expected cash flows for the various subsidiaries, and the discount rates applied) are significantly influenced by the macroeconomic and market situation, which may be subject to changes which are not currently predictable. In the coming reporting periods the effect of such changes, alongside potential changes in corporate strategies, could therefore lead to a review of the estimated cash flows of the various subsidiaries and of the assumptions on the main financial parameters (discount rates, expected growth rates, Common Equity Tier 1 ratio, etc.) and these could impact the results of future impairment tests. Sensitivity analysis Following the employment of two scenarios for the impairment test of investments in subsidiaries as of 31 December 2021, an analysis on the sensitivity of the test result to changes in the weights of the two scenarios was carried out. The results of this analysis for subsidiaries with carrying value before the test above €1 billion are reported below. (€ million) COMPANY NAME CHANGE IN THE IMPAIRMENT/REVERSAL OF IMPAIRMENT OF THE SUBSIDIARY WITH AN INCREASE OF 5% IN THE WEIGHT OF THE “BASELINE” SCENARIO UNICREDIT BANK AG 391 UNICREDIT BANK AUSTRIA AG 201 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA - AO UNICREDIT BANK - ZAGREBACKA BANKA D.D. ZAGREB - UNICREDIT BULBANK AD - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 644 2021 Annual Report and Accounts · UniCredit Discount rates and regulatory capital targets Future financial flows were discounted using an estimate of the discount rate incorporating in the cost of equity the various risk factors linked to each business sector. This discount rate is a nominal rate, net of taxes. In particular, the cost of equity for each subsidiary in the “Baseline” scenario is assessed with the Capital Asset Pricing Model adopting a through the cycle approach (i.e., six years average) as the sum of the following items: • Risk Free Rate: equal to the yield of the benchmark government bond of the reference country (local currency approach, maturity: 10 years), alternative references are used for countries lacking appropriate government issuances; • Equity Risk Premium: given by the product of the following items: - UniCredit Beta (β): measures the sensitivity of UniCredit shares to variations in the reference market; - Market Risk Premium: estimated by Professor Damodaran as the difference between the return of US stock and bond markets since 1928 (geometric mean). The discount rates used in the “Downturn” scenario are based on the rates used in the “Baseline” scenario but also include an add-on to reflect the higher volatility which is likely to coincide with a less favourable economic environment. The size of the add-on has been determined through an historical analysis. A further parameter used to determine the initial allocated capital and its evolution over time is the Common Equity Tier 1 ratio target. A target Common Equity Tier 1 ratio coherent with the Group target was employed for all subsidiaries. Results of the impairment test The results of the two scenarios were weighted differently to reflect their different probability of taking place. Specifically, the results from the “Baseline” scenario, considered the most probable scenario, were weighted at 60% while the “Downturn” scenario was weighted at 40%. The investment in subsidiaries impairment test as of 31 December 2021 led, overall, to a write-back of previous impairments for €7,930 million. The table below shows the result of the test for the subsidiaries with carrying value before the test above €1 billion. (€ million) COMPANY NAME CARRYING AMOUNT AS OF 31 DECEMBER 2020 IMPAIRMENT/REVERSAL OF IMPAIRMENT FOLLOWING THE IMPAIRMENT TEST CARRYING AMOUNT AFTER THE IMPAIRMENT TEST UNICREDIT BANK AG 12,665 4,958 17,624 UNICREDIT BANK AUSTRIA AG 6,522 2,972 9,494 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA 2,029 - 2,029 AO UNICREDIT BANK 1,837 - 1,837 ZAGREBACKA BANKA D.D. ZAGREB 1,699 - 1,699 UNICREDIT BULBANK AD 1,291 - 1,291 It must be underlined that the parameters and information used to verify the recoverability of carrying values (in particular the expected cash flows for the various subsidiaries, and the discount rates applied) are significantly influenced by the macroeconomic and market situation, which may be subject to changes which are not currently predictable. In the coming reporting periods the effect of such changes, alongside potential changes in corporate strategies, could therefore lead to a review of the estimated cash flows of the various subsidiaries and of the assumptions on the main financial parameters (discount rates, expected growth rates, Common Equity Tier 1 ratio, etc.) and these could impact the results of future impairment tests. Sensitivity analysis Following the employment of two scenarios for the impairment test of investments in subsidiaries as of 31 December 2021, an analysis on the sensitivity of the test result to changes in the weights of the two scenarios was carried out. The results of this analysis for subsidiaries with carrying value before the test above €1 billion are reported below. (€ million) COMPANY NAME CHANGE IN THE IMPAIRMENT/REVERSAL OF IMPAIRMENT OF THE SUBSIDIARY WITH AN INCREASE OF 5% IN THE WEIGHT OF THE “BASELINE” SCENARIO UNICREDIT BANK AG 391 UNICREDIT BANK AUSTRIA AG 201 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA - AO UNICREDIT BANK - ZAGREBACKA BANKA D.D. ZAGREB - UNICREDIT BULBANK AD - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 644 2021 Annual Report and Accounts · UniCredit Discount rates and regulatory capital targets Future financial flows were discounted using an estimate of the discount rate incorporating in the cost of equity the various risk factors linked to each business sector. This discount rate is a nominal rate, net of taxes. In particular, the cost of equity for each subsidiary in the “Baseline” scenario is assessed with the Capital Asset Pricing Model adopting a through the cycle approach (i.e., six years average) as the sum of the following items: • Risk Free Rate: equal to the yield of the benchmark government bond of the reference country (local currency approach, maturity: 10 years), alternative references are used for countries lacking appropriate government issuances; • Equity Risk Premium: given by the product of the following items: - UniCredit Beta (β): measures the sensitivity of UniCredit shares to variations in the reference market; - Market Risk Premium: estimated by Professor Damodaran as the difference between the return of US stock and bond markets since 1928 (geometric mean). The discount rates used in the “Downturn” scenario are based on the rates used in the “Baseline” scenario but also include an add-on to reflect the higher volatility which is likely to coincide with a less favourable economic environment. The size of the add-on has been determined through an historical analysis. A further parameter used to determine the initial allocated capital and its evolution over time is the Common Equity Tier 1 ratio target. A target Common Equity Tier 1 ratio coherent with the Group target was employed for all subsidiaries. Results of the impairment test The results of the two scenarios were weighted differently to reflect their different probability of taking place. Specifically, the results from the “Baseline” scenario, considered the most probable scenario, were weighted at 60% while the “Downturn” scenario was weighted at 40%. The investment in subsidiaries impairment test as of 31 December 2021 led, overall, to a write-back of previous impairments for €7,930 million. The table below shows the result of the test for the subsidiaries with carrying value before the test above €1 billion. (€ million) COMPANY NAME CARRYING AMOUNT AS OF 31 DECEMBER 2020 IMPAIRMENT/REVERSAL OF IMPAIRMENT FOLLOWING THE IMPAIRMENT TEST CARRYING AMOUNT AFTER THE IMPAIRMENT TEST UNICREDIT BANK AG 12,665 4,958 17,624 UNICREDIT BANK AUSTRIA AG 6,522 2,972 9,494 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA 2,029 - 2,029 AO UNICREDIT BANK 1,837 - 1,837 ZAGREBACKA BANKA D.D. ZAGREB 1,699 - 1,699 UNICREDIT BULBANK AD 1,291 - 1,291 It must be underlined that the parameters and information used to verify the recoverability of carrying values (in particular the expected cash flows for the various subsidiaries, and the discount rates applied) are significantly influenced by the macroeconomic and market situation, which may be subject to changes which are not currently predictable. In the coming reporting periods the effect of such changes, alongside potential changes in corporate strategies, could therefore lead to a review of the estimated cash flows of the various subsidiaries and of the assumptions on the main financial parameters (discount rates, expected growth rates, Common Equity Tier 1 ratio, etc.) and these could impact the results of future impairment tests. Sensitivity analysis Following the employment of two scenarios for the impairment test of investments in subsidiaries as of 31 December 2021, an analysis on the sensitivity of the test result to changes in the weights of the two scenarios was carried out. The results of this analysis for subsidiaries with carrying value before the test above €1 billion are reported below. (€ million) COMPANY NAME CHANGE IN THE IMPAIRMENT/REVERSAL OF IMPAIRMENT OF THE SUBSIDIARY WITH AN INCREASE OF 5% IN THE WEIGHT OF THE “BASELINE” SCENARIO UNICREDIT BANK AG 391 UNICREDIT BANK AUSTRIA AG 201 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA - AO UNICREDIT BANK - ZAGREBACKA BANKA D.D. ZAGREB - UNICREDIT BULBANK AD - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 644 2021 Annual Report and Accounts · UniCredit Discount rates and regulatory capital targets Future financial flows were discounted using an estimate of the discount rate incorporating in the cost of equity the various risk factors linked to each business sector. This discount rate is a nominal rate, net of taxes. In particular, the cost of equity for each subsidiary in the “Baseline” scenario is assessed with the Capital Asset Pricing Model adopting a through the cycle approach (i.e., six years average) as the sum of the following items: • Risk Free Rate: equal to the yield of the benchmark government bond of the reference country (local currency approach, maturity: 10 years), alternative references are used for countries lacking appropriate government issuances; • Equity Risk Premium: given by the product of the following items: - UniCredit Beta (β): measures the sensitivity of UniCredit shares to variations in the reference market; - Market Risk Premium: estimated by Professor Damodaran as the difference between the return of US stock and bond markets since 1928 (geometric mean). The discount rates used in the “Downturn” scenario are based on the rates used in the “Baseline” scenario but also include an add-on to reflect the higher volatility which is likely to coincide with a less favourable economic environment. The size of the add-on has been determined through an historical analysis. A further parameter used to determine the initial allocated capital and its evolution over time is the Common Equity Tier 1 ratio target. A target Common Equity Tier 1 ratio coherent with the Group target was employed for all subsidiaries. Results of the impairment test The results of the two scenarios were weighted differently to reflect their different probability of taking place. Specifically, the results from the “Baseline” scenario, considered the most probable scenario, were weighted at 60% while the “Downturn” scenario was weighted at 40%. The investment in subsidiaries impairment test as of 31 December 2021 led, overall, to a write-back of previous impairments for €7,930 million. The table below shows the result of the test for the subsidiaries with carrying value before the test above €1 billion. (€ million) COMPANY NAME CARRYING AMOUNT AS OF 31 DECEMBER 2020 IMPAIRMENT/REVERSAL OF IMPAIRMENT FOLLOWING THE IMPAIRMENT TEST CARRYING AMOUNT AFTER THE IMPAIRMENT TEST UNICREDIT BANK AG 12,665 4,958 17,624 UNICREDIT BANK AUSTRIA AG 6,522 2,972 9,494 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA 2,029 - 2,029 AO UNICREDIT BANK 1,837 - 1,837 ZAGREBACKA BANKA D.D. ZAGREB 1,699 - 1,699 UNICREDIT BULBANK AD 1,291 - 1,291 It must be underlined that the parameters and information used to verify the recoverability of carrying values (in particular the expected cash flows for the various subsidiaries, and the discount rates applied) are significantly influenced by the macroeconomic and market situation, which may be subject to changes which are not currently predictable. In the coming reporting periods the effect of such changes, alongside potential changes in corporate strategies, could therefore lead to a review of the estimated cash flows of the various subsidiaries and of the assumptions on the main financial parameters (discount rates, expected growth rates, Common Equity Tier 1 ratio, etc.) and these could impact the results of future impairment tests. Sensitivity analysis Following the employment of two scenarios for the impairment test of investments in subsidiaries as of 31 December 2021, an analysis on the sensitivity of the test result to changes in the weights of the two scenarios was carried out. The results of this analysis for subsidiaries with carrying value before the test above €1 billion are reported below. (€ million) COMPANY NAME CHANGE IN THE IMPAIRMENT/REVERSAL OF IMPAIRMENT OF THE SUBSIDIARY WITH AN INCREASE OF 5% IN THE WEIGHT OF THE “BASELINE” SCENARIO UNICREDIT BANK AG 391 UNICREDIT BANK AUSTRIA AG 201 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA - AO UNICREDIT BANK - ZAGREBACKA BANKA D.D. ZAGREB - UNICREDIT BULBANK AD - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 644 2021 Annual Report and Accounts · UniCredit Discount rates and regulatory capital targets Future financial flows were discounted using an estimate of the discount rate incorporating in the cost of equity the various risk factors linked to each business sector. This discount rate is a nominal rate, net of taxes. In particular, the cost of equity for each subsidiary in the “Baseline” scenario is assessed with the Capital Asset Pricing Model adopting a through the cycle approach (i.e., six years average) as the sum of the following items: • Risk Free Rate: equal to the yield of the benchmark government bond of the reference country (local currency approach, maturity: 10 years), alternative references are used for countries lacking appropriate government issuances; • Equity Risk Premium: given by the product of the following items: - UniCredit Beta (β): measures the sensitivity of UniCredit shares to variations in the reference market; - Market Risk Premium: estimated by Professor Damodaran as the difference between the return of US stock and bond markets since 1928 (geometric mean). The discount rates used in the “Downturn” scenario are based on the rates used in the “Baseline” scenario but also include an add-on to reflect the higher volatility which is likely to coincide with a less favourable economic environment. The size of the add-on has been determined through an historical analysis. A further parameter used to determine the initial allocated capital and its evolution over time is the Common Equity Tier 1 ratio target. A target Common Equity Tier 1 ratio coherent with the Group target was employed for all subsidiaries. Results of the impairment test The results of the two scenarios were weighted differently to reflect their different probability of taking place. Specifically, the results from the “Baseline” scenario, considered the most probable scenario, were weighted at 60% while the “Downturn” scenario was weighted at 40%. The investment in subsidiaries impairment test as of 31 December 2021 led, overall, to a write-back of previous impairments for €7,930 million. The table below shows the result of the test for the subsidiaries with carrying value before the test above €1 billion. (€ million) COMPANY NAME CARRYING AMOUNT AS OF 31 DECEMBER 2020 IMPAIRMENT/REVERSAL OF IMPAIRMENT FOLLOWING THE IMPAIRMENT TEST CARRYING AMOUNT AFTER THE IMPAIRMENT TEST UNICREDIT BANK AG 12,665 4,958 17,624 UNICREDIT BANK AUSTRIA AG 6,522 2,972 9,494 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA 2,029 - 2,029 AO UNICREDIT BANK 1,837 - 1,837 ZAGREBACKA BANKA D.D. ZAGREB 1,699 - 1,699 UNICREDIT BULBANK AD 1,291 - 1,291 It must be underlined that the parameters and information used to verify the recoverability of carrying values (in particular the expected cash flows for the various subsidiaries, and the discount rates applied) are significantly influenced by the macroeconomic and market situation, which may be subject to changes which are not currently predictable. In the coming reporting periods the effect of such changes, alongside potential changes in corporate strategies, could therefore lead to a review of the estimated cash flows of the various subsidiaries and of the assumptions on the main financial parameters (discount rates, expected growth rates, Common Equity Tier 1 ratio, etc.) and these could impact the results of future impairment tests. Sensitivity analysis Following the employment of two scenarios for the impairment test of investments in subsidiaries as of 31 December 2021, an analysis on the sensitivity of the test result to changes in the weights of the two scenarios was carried out. The results of this analysis for subsidiaries with carrying value before the test above €1 billion are reported below. (€ million) COMPANY NAME CHANGE IN THE IMPAIRMENT/REVERSAL OF IMPAIRMENT OF THE SUBSIDIARY WITH AN INCREASE OF 5% IN THE WEIGHT OF THE “BASELINE” SCENARIO UNICREDIT BANK AG 391 UNICREDIT BANK AUSTRIA AG 201 UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA - AO UNICREDIT BANK - ZAGREBACKA BANKA D.D. ZAGREB - UNICREDIT BULBANK AD - Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 645 7.5 Equity investments: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 33,725 37,873 B. Increases 8,001 1,233 of which: business combinations - - B.1 Purchases 19 1,043 B.2 Write-backs 7,982 79 B.3 Revaluation - - B.4 Other changes - 111 C. Decreases 3,312 5,381 of which: business combinations 1,975 - C.1 Sales 1,976 444 C.2 Write-downs 595 4,919 C.3 Impairment - - C.4 Other changes 741 18 D. Closing balance 38,414 33,725 E. Total revaluation - - F. Total write-downs 8,416 18,354 Reductions due to business combinations include the effects of the merge into UniCredit S.p.A. of UniCredit Bank Ireland PLC occurred during the year. Item C.4 Other changes includes effects due to the reclassifications into assets mandatory at fair value of Yapi Ve Kredi Bankasi A.S. and into assets held for sale of UniCredit Leasing S.p.A. Section 8 - Property, plant and equipment - Item 80 With reference to the description of effects produced by update of appraisals conducted for fair value evaluation of respective assets, reference is made to the paragraph “Section 9 - Property, plant and equipment - item 90” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, which is herewith quoted entirely for the information related to UniCredit S.p.A. 8.1 Property, plant and equipment used in the business: breakdown of assets carried at cost (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Owned assets 291 302 a) Land - - b) Buildings - - c) Office furniture and fitting 42 45 d) Electronic systems 173 171 e) Other 76 86 2. Right of use of Leased Assets 947 1,089 a) Land - - b) Buildings 938 1,077 c) Office furniture and fitting - - d) Electronic systems - - e) Other 9 12 Total 1,238 1,391 of which: obtained by the enforcement of collateral - - 8.2 Property, plant and equipment held for investment: breakdown of assets carried at cost No data to be disclosed. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 645 7.5 Equity investments: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 33,725 37,873 B. Increases 8,001 1,233 of which: business combinations - - B.1 Purchases 19 1,043 B.2 Write-backs 7,982 79 B.3 Revaluation - - B.4 Other changes - 111 C. Decreases 3,312 5,381 of which: business combinations 1,975 - C.1 Sales 1,976 444 C.2 Write-downs 595 4,919 C.3 Impairment - - C.4 Other changes 741 18 D. Closing balance 38,414 33,725 E. Total revaluation - - F. Total write-downs 8,416 18,354 Reductions due to business combinations include the effects of the merge into UniCredit S.p.A. of UniCredit Bank Ireland PLC occurred during the year. Item C.4 Other changes includes effects due to the reclassifications into assets mandatory at fair value of Yapi Ve Kredi Bankasi A.S. and into assets held for sale of UniCredit Leasing S.p.A. Section 8 - Property, plant and equipment - Item 80 With reference to the description of effects produced by update of appraisals conducted for fair value evaluation of respective assets, reference is made to the paragraph “Section 9 - Property, plant and equipment - item 90” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, which is herewith quoted entirely for the information related to UniCredit S.p.A. 8.1 Property, plant and equipment used in the business: breakdown of assets carried at cost (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Owned assets 291 302 a) Land - - b) Buildings - - c) Office furniture and fitting 42 45 d) Electronic systems 173 171 e) Other 76 86 2. Right of use of Leased Assets 947 1,089 a) Land - - b) Buildings 938 1,077 c) Office furniture and fitting - - d) Electronic systems - - e) Other 9 12 Total 1,238 1,391 of which: obtained by the enforcement of collateral - - 8.2 Property, plant and equipment held for investment: breakdown of assets carried at cost No data to be disclosed. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 645 7.5 Equity investments: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 33,725 37,873 B. Increases 8,001 1,233 of which: business combinations - - B.1 Purchases 19 1,043 B.2 Write-backs 7,982 79 B.3 Revaluation - - B.4 Other changes - 111 C. Decreases 3,312 5,381 of which: business combinations 1,975 - C.1 Sales 1,976 444 C.2 Write-downs 595 4,919 C.3 Impairment - - C.4 Other changes 741 18 D. Closing balance 38,414 33,725 E. Total revaluation - - F. Total write-downs 8,416 18,354 Reductions due to business combinations include the effects of the merge into UniCredit S.p.A. of UniCredit Bank Ireland PLC occurred during the year. Item C.4 Other changes includes effects due to the reclassifications into assets mandatory at fair value of Yapi Ve Kredi Bankasi A.S. and into assets held for sale of UniCredit Leasing S.p.A. Section 8 - Property, plant and equipment - Item 80 With reference to the description of effects produced by update of appraisals conducted for fair value evaluation of respective assets, reference is made to the paragraph “Section 9 - Property, plant and equipment - item 90” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, which is herewith quoted entirely for the information related to UniCredit S.p.A. 8.1 Property, plant and equipment used in the business: breakdown of assets carried at cost (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Owned assets 291 302 a) Land - - b) Buildings - - c) Office furniture and fitting 42 45 d) Electronic systems 173 171 e) Other 76 86 2. Right of use of Leased Assets 947 1,089 a) Land - - b) Buildings 938 1,077 c) Office furniture and fitting - - d) Electronic systems - - e) Other 9 12 Total 1,238 1,391 of which: obtained by the enforcement of collateral - - 8.2 Property, plant and equipment held for investment: breakdown of assets carried at cost No data to be disclosed. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 645 7.5 Equity investments: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 33,725 37,873 B. Increases 8,001 1,233 of which: business combinations - - B.1 Purchases 19 1,043 B.2 Write-backs 7,982 79 B.3 Revaluation - - B.4 Other changes - 111 C. Decreases 3,312 5,381 of which: business combinations 1,975 - C.1 Sales 1,976 444 C.2 Write-downs 595 4,919 C.3 Impairment - - C.4 Other changes 741 18 D. Closing balance 38,414 33,725 E. Total revaluation - - F. Total write-downs 8,416 18,354 Reductions due to business combinations include the effects of the merge into UniCredit S.p.A. of UniCredit Bank Ireland PLC occurred during the year. Item C.4 Other changes includes effects due to the reclassifications into assets mandatory at fair value of Yapi Ve Kredi Bankasi A.S. and into assets held for sale of UniCredit Leasing S.p.A. Section 8 - Property, plant and equipment - Item 80 With reference to the description of effects produced by update of appraisals conducted for fair value evaluation of respective assets, reference is made to the paragraph “Section 9 - Property, plant and equipment - item 90” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, which is herewith quoted entirely for the information related to UniCredit S.p.A. 8.1 Property, plant and equipment used in the business: breakdown of assets carried at cost (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Owned assets 291 302 a) Land - - b) Buildings - - c) Office furniture and fitting 42 45 d) Electronic systems 173 171 e) Other 76 86 2. Right of use of Leased Assets 947 1,089 a) Land - - b) Buildings 938 1,077 c) Office furniture and fitting - - d) Electronic systems - - e) Other 9 12 Total 1,238 1,391 of which: obtained by the enforcement of collateral - - 8.2 Property, plant and equipment held for investment: breakdown of assets carried at cost No data to be disclosed. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 645 7.5 Equity investments: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 33,725 37,873 B. Increases 8,001 1,233 of which: business combinations - - B.1 Purchases 19 1,043 B.2 Write-backs 7,982 79 B.3 Revaluation - - B.4 Other changes - 111 C. Decreases 3,312 5,381 of which: business combinations 1,975 - C.1 Sales 1,976 444 C.2 Write-downs 595 4,919 C.3 Impairment - - C.4 Other changes 741 18 D. Closing balance 38,414 33,725 E. Total revaluation - - F. Total write-downs 8,416 18,354 Reductions due to business combinations include the effects of the merge into UniCredit S.p.A. of UniCredit Bank Ireland PLC occurred during the year. Item C.4 Other changes includes effects due to the reclassifications into assets mandatory at fair value of Yapi Ve Kredi Bankasi A.S. and into assets held for sale of UniCredit Leasing S.p.A. Section 8 - Property, plant and equipment - Item 80 With reference to the description of effects produced by update of appraisals conducted for fair value evaluation of respective assets, reference is made to the paragraph “Section 9 - Property, plant and equipment - item 90” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets, which is herewith quoted entirely for the information related to UniCredit S.p.A. 8.1 Property, plant and equipment used in the business: breakdown of assets carried at cost (€ million) AMOUNTS AS AT ASSETS/VALUES 12.31.2021 12.31.2020 1. Owned assets 291 302 a) Land - - b) Buildings - - c) Office furniture and fitting 42 45 d) Electronic systems 173 171 e) Other 76 86 2. Right of use of Leased Assets 947 1,089 a) Land - - b) Buildings 938 1,077 c) Office furniture and fitting - - d) Electronic systems - - e) Other 9 12 Total 1,238 1,391 of which: obtained by the enforcement of collateral - - 8.2 Property, plant and equipment held for investment: breakdown of assets carried at cost No data to be disclosed. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 646 2021 Annual Report and Accounts · UniCredit 8.3 Property, plant and equipment used in the business: breakdown of revalued assets (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 2,339 - - 2,288 a) Land - - 844 - - 841 b) Buildings - - 1,495 - - 1,447 c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - Total - - 2,339 - - 2,288 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 2,339 2,288 8.4 Property, plant and equipment held for investment: breakdown of assets designated at fair value (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 229 - - 320 a) Land - - 77 - - 102 b) Buildings - - 152 - - 218 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - Total - - 229 - - 320 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 229 320 8.5 Inventories of tangible assets regulated by IAS2: breakdown The Company does not have tangible assets to be recorded according to IAS2. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 646 2021 Annual Report and Accounts · UniCredit 8.3 Property, plant and equipment used in the business: breakdown of revalued assets (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 2,339 - - 2,288 a) Land - - 844 - - 841 b) Buildings - - 1,495 - - 1,447 c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - Total - - 2,339 - - 2,288 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 2,339 2,288 8.4 Property, plant and equipment held for investment: breakdown of assets designated at fair value (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 229 - - 320 a) Land - - 77 - - 102 b) Buildings - - 152 - - 218 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - Total - - 229 - - 320 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 229 320 8.5 Inventories of tangible assets regulated by IAS2: breakdown The Company does not have tangible assets to be recorded according to IAS2. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 646 2021 Annual Report and Accounts · UniCredit 8.3 Property, plant and equipment used in the business: breakdown of revalued assets (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 2,339 - - 2,288 a) Land - - 844 - - 841 b) Buildings - - 1,495 - - 1,447 c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - Total - - 2,339 - - 2,288 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 2,339 2,288 8.4 Property, plant and equipment held for investment: breakdown of assets designated at fair value (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 229 - - 320 a) Land - - 77 - - 102 b) Buildings - - 152 - - 218 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - Total - - 229 - - 320 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 229 320 8.5 Inventories of tangible assets regulated by IAS2: breakdown The Company does not have tangible assets to be recorded according to IAS2. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 646 2021 Annual Report and Accounts · UniCredit 8.3 Property, plant and equipment used in the business: breakdown of revalued assets (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 2,339 - - 2,288 a) Land - - 844 - - 841 b) Buildings - - 1,495 - - 1,447 c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - Total - - 2,339 - - 2,288 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 2,339 2,288 8.4 Property, plant and equipment held for investment: breakdown of assets designated at fair value (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 229 - - 320 a) Land - - 77 - - 102 b) Buildings - - 152 - - 218 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - Total - - 229 - - 320 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 229 320 8.5 Inventories of tangible assets regulated by IAS2: breakdown The Company does not have tangible assets to be recorded according to IAS2. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 646 2021 Annual Report and Accounts · UniCredit 8.3 Property, plant and equipment used in the business: breakdown of revalued assets (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 2,339 - - 2,288 a) Land - - 844 - - 841 b) Buildings - - 1,495 - - 1,447 c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - c) Office furniture and fitting - - - - - - d) Electronic systems - - - - - - e) Other - - - - - - Total - - 2,339 - - 2,288 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 2,339 2,288 8.4 Property, plant and equipment held for investment: breakdown of assets designated at fair value (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Owned assets - - 229 - - 320 a) Land - - 77 - - 102 b) Buildings - - 152 - - 218 2. Right of use of Leased Assets - - - - - - a) Land - - - - - - b) Buildings - - - - - - Total - - 229 - - 320 of which: obtained by the enforcement of collateral - - - - - - Total Level 1, Level 2 and Level 3 229 320 8.5 Inventories of tangible assets regulated by IAS2: breakdown The Company does not have tangible assets to be recorded according to IAS2. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 647 8.6 Tangible assets used in the business: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER TOTAL A. Gross opening balance 841 3,524 679 1,335 501 6,880 A.1 Total net reduction in value - (1,000) (634) (1,164) (403) (3,201) A.2 Net opening balance 841 2,524 45 171 98 3,679 B. Increases 13 194 5 51 18 281 B.1 Purchases 2 54 5 51 18 130 of which: business combinations - 2 - - - 2 B.2 Capitalised expenditure on improvements - 29 - - - 29 B.3 Write-backs - 7 - - - 7 B.4 Increases in fair value 2 58 - - - 60 a) In equity 1 52 - - - 53 b) Through profit or loss 1 6 - - - 7 B.5 Positive exchange differences - - - - - - B.6 Transfer from properties held for investment 9 43 X X X 52 B.7 Other changes - 3 - - - 3 C. Reductions 10 285 8 49 31 383 C.1 Disposals 1 1 - - - 2 of which: business combinations - - - - - - C.2 Depreciation - 232 8 45 29 314 C.3 Impairment losses - 27 - 4 - 31 a) In equity - - - - - - b) Through profit or loss - 27 - 4 - 31 C.4 Reduction of fair value 3 7 - - - 10 a) In equity 1 6 - - - 7 b) Through profit or loss 2 1 - - - 3 C.5 Negative exchange differences - - - - - - C.6 Transfer to 4 9 - - - 13 a) Property, plant and equipment held for investment 4 9 X X X 13 b) Non-current assets and disposal groups classified as held for sale - - - - - - C.7 Other changes 2 9 - - 2 13 D. Net final balance 844 2,433 42 173 85 3,577 D.1 Total net reduction in value - (1,219) (636) (1,185) (406) (3,446) D.2 Gross closing balance 844 3,652 678 1,358 491 7,023 E. Carried at cost 845 1,446 - - - 2,291 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 647 8.6 Tangible assets used in the business: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER TOTAL A. Gross opening balance 841 3,524 679 1,335 501 6,880 A.1 Total net reduction in value - (1,000) (634) (1,164) (403) (3,201) A.2 Net opening balance 841 2,524 45 171 98 3,679 B. Increases 13 194 5 51 18 281 B.1 Purchases 2 54 5 51 18 130 of which: business combinations - 2 - - - 2 B.2 Capitalised expenditure on improvements - 29 - - - 29 B.3 Write-backs - 7 - - - 7 B.4 Increases in fair value 2 58 - - - 60 a) In equity 1 52 - - - 53 b) Through profit or loss 1 6 - - - 7 B.5 Positive exchange differences - - - - - - B.6 Transfer from properties held for investment 9 43 X X X 52 B.7 Other changes - 3 - - - 3 C. Reductions 10 285 8 49 31 383 C.1 Disposals 1 1 - - - 2 of which: business combinations - - - - - - C.2 Depreciation - 232 8 45 29 314 C.3 Impairment losses - 27 - 4 - 31 a) In equity - - - - - - b) Through profit or loss - 27 - 4 - 31 C.4 Reduction of fair value 3 7 - - - 10 a) In equity 1 6 - - - 7 b) Through profit or loss 2 1 - - - 3 C.5 Negative exchange differences - - - - - - C.6 Transfer to 4 9 - - - 13 a) Property, plant and equipment held for investment 4 9 X X X 13 b) Non-current assets and disposal groups classified as held for sale - - - - - - C.7 Other changes 2 9 - - 2 13 D. Net final balance 844 2,433 42 173 85 3,577 D.1 Total net reduction in value - (1,219) (636) (1,185) (406) (3,446) D.2 Gross closing balance 844 3,652 678 1,358 491 7,023 E. Carried at cost 845 1,446 - - - 2,291 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 647 8.6 Tangible assets used in the business: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER TOTAL A. Gross opening balance 841 3,524 679 1,335 501 6,880 A.1 Total net reduction in value - (1,000) (634) (1,164) (403) (3,201) A.2 Net opening balance 841 2,524 45 171 98 3,679 B. Increases 13 194 5 51 18 281 B.1 Purchases 2 54 5 51 18 130 of which: business combinations - 2 - - - 2 B.2 Capitalised expenditure on improvements - 29 - - - 29 B.3 Write-backs - 7 - - - 7 B.4 Increases in fair value 2 58 - - - 60 a) In equity 1 52 - - - 53 b) Through profit or loss 1 6 - - - 7 B.5 Positive exchange differences - - - - - - B.6 Transfer from properties held for investment 9 43 X X X 52 B.7 Other changes - 3 - - - 3 C. Reductions 10 285 8 49 31 383 C.1 Disposals 1 1 - - - 2 of which: business combinations - - - - - - C.2 Depreciation - 232 8 45 29 314 C.3 Impairment losses - 27 - 4 - 31 a) In equity - - - - - - b) Through profit or loss - 27 - 4 - 31 C.4 Reduction of fair value 3 7 - - - 10 a) In equity 1 6 - - - 7 b) Through profit or loss 2 1 - - - 3 C.5 Negative exchange differences - - - - - - C.6 Transfer to 4 9 - - - 13 a) Property, plant and equipment held for investment 4 9 X X X 13 b) Non-current assets and disposal groups classified as held for sale - - - - - - C.7 Other changes 2 9 - - 2 13 D. Net final balance 844 2,433 42 173 85 3,577 D.1 Total net reduction in value - (1,219) (636) (1,185) (406) (3,446) D.2 Gross closing balance 844 3,652 678 1,358 491 7,023 E. Carried at cost 845 1,446 - - - 2,291 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 647 8.6 Tangible assets used in the business: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER TOTAL A. Gross opening balance 841 3,524 679 1,335 501 6,880 A.1 Total net reduction in value - (1,000) (634) (1,164) (403) (3,201) A.2 Net opening balance 841 2,524 45 171 98 3,679 B. Increases 13 194 5 51 18 281 B.1 Purchases 2 54 5 51 18 130 of which: business combinations - 2 - - - 2 B.2 Capitalised expenditure on improvements - 29 - - - 29 B.3 Write-backs - 7 - - - 7 B.4 Increases in fair value 2 58 - - - 60 a) In equity 1 52 - - - 53 b) Through profit or loss 1 6 - - - 7 B.5 Positive exchange differences - - - - - - B.6 Transfer from properties held for investment 9 43 X X X 52 B.7 Other changes - 3 - - - 3 C. Reductions 10 285 8 49 31 383 C.1 Disposals 1 1 - - - 2 of which: business combinations - - - - - - C.2 Depreciation - 232 8 45 29 314 C.3 Impairment losses - 27 - 4 - 31 a) In equity - - - - - - b) Through profit or loss - 27 - 4 - 31 C.4 Reduction of fair value 3 7 - - - 10 a) In equity 1 6 - - - 7 b) Through profit or loss 2 1 - - - 3 C.5 Negative exchange differences - - - - - - C.6 Transfer to 4 9 - - - 13 a) Property, plant and equipment held for investment 4 9 X X X 13 b) Non-current assets and disposal groups classified as held for sale - - - - - - C.7 Other changes 2 9 - - 2 13 D. Net final balance 844 2,433 42 173 85 3,577 D.1 Total net reduction in value - (1,219) (636) (1,185) (406) (3,446) D.2 Gross closing balance 844 3,652 678 1,358 491 7,023 E. Carried at cost 845 1,446 - - - 2,291 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 647 8.6 Tangible assets used in the business: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS OFFICE FURNITURE AND FITTINGS ELECTRONIC SYSTEMS OTHER TOTAL A. Gross opening balance 841 3,524 679 1,335 501 6,880 A.1 Total net reduction in value - (1,000) (634) (1,164) (403) (3,201) A.2 Net opening balance 841 2,524 45 171 98 3,679 B. Increases 13 194 5 51 18 281 B.1 Purchases 2 54 5 51 18 130 of which: business combinations - 2 - - - 2 B.2 Capitalised expenditure on improvements - 29 - - - 29 B.3 Write-backs - 7 - - - 7 B.4 Increases in fair value 2 58 - - - 60 a) In equity 1 52 - - - 53 b) Through profit or loss 1 6 - - - 7 B.5 Positive exchange differences - - - - - - B.6 Transfer from properties held for investment 9 43 X X X 52 B.7 Other changes - 3 - - - 3 C. Reductions 10 285 8 49 31 383 C.1 Disposals 1 1 - - - 2 of which: business combinations - - - - - - C.2 Depreciation - 232 8 45 29 314 C.3 Impairment losses - 27 - 4 - 31 a) In equity - - - - - - b) Through profit or loss - 27 - 4 - 31 C.4 Reduction of fair value 3 7 - - - 10 a) In equity 1 6 - - - 7 b) Through profit or loss 2 1 - - - 3 C.5 Negative exchange differences - - - - - - C.6 Transfer to 4 9 - - - 13 a) Property, plant and equipment held for investment 4 9 X X X 13 b) Non-current assets and disposal groups classified as held for sale - - - - - - C.7 Other changes 2 9 - - 2 13 D. Net final balance 844 2,433 42 173 85 3,577 D.1 Total net reduction in value - (1,219) (636) (1,185) (406) (3,446) D.2 Gross closing balance 844 3,652 678 1,358 491 7,023 E. Carried at cost 845 1,446 - - - 2,291 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 648 2021 Annual Report and Accounts · UniCredit 8.7 Tangible assets held for investment: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS TOTAL A. Opening balances 102 218 320 B. Increases 6 19 25 B.1 Purchases - - - of which: business combinations - - - B.2 Capitalised expenditure on improvements - 1 1 B.3 Increases in fair value - 5 5 B.4 Write-backs - - - B.5 Positive exchange differences - - - B.6 Transfer from properties used in the business 4 9 13 B.7 Other changes 2 4 6 C. Reductions 31 85 116 C.1 Disposals 1 2 3 of which: business combinations - - - C.2 Depreciation - - - C.3 Reductions in fair value 6 12 18 C.4 Impairment losses - - - C.5 Negative exchange differences - - - C.6 Transfer to 24 71 95 a) Properties used in the business 9 43 52 b) Non-current assets and disposal groups classified as held for sale 15 28 43 C.7 Other changes - - - D. Closing balances 77 152 229 E. Measured at fair value - - - 8.8 Inventories of tangible assets regulated by IAS2: annual changes No data to be disclosed. 8.9 Commitments to purchase property, plant and equipment At Financial Statement date, Commitments for the purchase of tangible assets do not exist. Section 9 - Intangible assets - Item 90 9.1 Intangible assets: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE A.1 Goodwill X - X - A.2 Other intangible assets 7 - 6 - of which: software 7 - 6 - A.2.1 Assets carried at cost 7 - 6 - a) Intangible assets generated internally - - - - b) Other assets 7 - 6 - A.2.2 Assets measured at fair value - - - - a) Intangible assets generated internally - - - - b) Other assets - - - - Total 7 - 6 - Total finite and indefinite life 7 6 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 648 2021 Annual Report and Accounts · UniCredit 8.7 Tangible assets held for investment: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS TOTAL A. Opening balances 102 218 320 B. Increases 6 19 25 B.1 Purchases - - - of which: business combinations - - - B.2 Capitalised expenditure on improvements - 1 1 B.3 Increases in fair value - 5 5 B.4 Write-backs - - - B.5 Positive exchange differences - - - B.6 Transfer from properties used in the business 4 9 13 B.7 Other changes 2 4 6 C. Reductions 31 85 116 C.1 Disposals 1 2 3 of which: business combinations - - - C.2 Depreciation - - - C.3 Reductions in fair value 6 12 18 C.4 Impairment losses - - - C.5 Negative exchange differences - - - C.6 Transfer to 24 71 95 a) Properties used in the business 9 43 52 b) Non-current assets and disposal groups classified as held for sale 15 28 43 C.7 Other changes - - - D. Closing balances 77 152 229 E. Measured at fair value - - - 8.8 Inventories of tangible assets regulated by IAS2: annual changes No data to be disclosed. 8.9 Commitments to purchase property, plant and equipment At Financial Statement date, Commitments for the purchase of tangible assets do not exist. Section 9 - Intangible assets - Item 90 9.1 Intangible assets: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE A.1 Goodwill X - X - A.2 Other intangible assets 7 - 6 - of which: software 7 - 6 - A.2.1 Assets carried at cost 7 - 6 - a) Intangible assets generated internally - - - - b) Other assets 7 - 6 - A.2.2 Assets measured at fair value - - - - a) Intangible assets generated internally - - - - b) Other assets - - - - Total 7 - 6 - Total finite and indefinite life 7 6 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 648 2021 Annual Report and Accounts · UniCredit 8.7 Tangible assets held for investment: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS TOTAL A. Opening balances 102 218 320 B. Increases 6 19 25 B.1 Purchases - - - of which: business combinations - - - B.2 Capitalised expenditure on improvements - 1 1 B.3 Increases in fair value - 5 5 B.4 Write-backs - - - B.5 Positive exchange differences - - - B.6 Transfer from properties used in the business 4 9 13 B.7 Other changes 2 4 6 C. Reductions 31 85 116 C.1 Disposals 1 2 3 of which: business combinations - - - C.2 Depreciation - - - C.3 Reductions in fair value 6 12 18 C.4 Impairment losses - - - C.5 Negative exchange differences - - - C.6 Transfer to 24 71 95 a) Properties used in the business 9 43 52 b) Non-current assets and disposal groups classified as held for sale 15 28 43 C.7 Other changes - - - D. Closing balances 77 152 229 E. Measured at fair value - - - 8.8 Inventories of tangible assets regulated by IAS2: annual changes No data to be disclosed. 8.9 Commitments to purchase property, plant and equipment At Financial Statement date, Commitments for the purchase of tangible assets do not exist. Section 9 - Intangible assets - Item 90 9.1 Intangible assets: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE A.1 Goodwill X - X - A.2 Other intangible assets 7 - 6 - of which: software 7 - 6 - A.2.1 Assets carried at cost 7 - 6 - a) Intangible assets generated internally - - - - b) Other assets 7 - 6 - A.2.2 Assets measured at fair value - - - - a) Intangible assets generated internally - - - - b) Other assets - - - - Total 7 - 6 - Total finite and indefinite life 7 6 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 648 2021 Annual Report and Accounts · UniCredit 8.7 Tangible assets held for investment: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS TOTAL A. Opening balances 102 218 320 B. Increases 6 19 25 B.1 Purchases - - - of which: business combinations - - - B.2 Capitalised expenditure on improvements - 1 1 B.3 Increases in fair value - 5 5 B.4 Write-backs - - - B.5 Positive exchange differences - - - B.6 Transfer from properties used in the business 4 9 13 B.7 Other changes 2 4 6 C. Reductions 31 85 116 C.1 Disposals 1 2 3 of which: business combinations - - - C.2 Depreciation - - - C.3 Reductions in fair value 6 12 18 C.4 Impairment losses - - - C.5 Negative exchange differences - - - C.6 Transfer to 24 71 95 a) Properties used in the business 9 43 52 b) Non-current assets and disposal groups classified as held for sale 15 28 43 C.7 Other changes - - - D. Closing balances 77 152 229 E. Measured at fair value - - - 8.8 Inventories of tangible assets regulated by IAS2: annual changes No data to be disclosed. 8.9 Commitments to purchase property, plant and equipment At Financial Statement date, Commitments for the purchase of tangible assets do not exist. Section 9 - Intangible assets - Item 90 9.1 Intangible assets: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE A.1 Goodwill X - X - A.2 Other intangible assets 7 - 6 - of which: software 7 - 6 - A.2.1 Assets carried at cost 7 - 6 - a) Intangible assets generated internally - - - - b) Other assets 7 - 6 - A.2.2 Assets measured at fair value - - - - a) Intangible assets generated internally - - - - b) Other assets - - - - Total 7 - 6 - Total finite and indefinite life 7 6 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 648 2021 Annual Report and Accounts · UniCredit 8.7 Tangible assets held for investment: annual changes (€ million) CHANGES IN 2021 LANDS BUILDINGS TOTAL A. Opening balances 102 218 320 B. Increases 6 19 25 B.1 Purchases - - - of which: business combinations - - - B.2 Capitalised expenditure on improvements - 1 1 B.3 Increases in fair value - 5 5 B.4 Write-backs - - - B.5 Positive exchange differences - - - B.6 Transfer from properties used in the business 4 9 13 B.7 Other changes 2 4 6 C. Reductions 31 85 116 C.1 Disposals 1 2 3 of which: business combinations - - - C.2 Depreciation - - - C.3 Reductions in fair value 6 12 18 C.4 Impairment losses - - - C.5 Negative exchange differences - - - C.6 Transfer to 24 71 95 a) Properties used in the business 9 43 52 b) Non-current assets and disposal groups classified as held for sale 15 28 43 C.7 Other changes - - - D. Closing balances 77 152 229 E. Measured at fair value - - - 8.8 Inventories of tangible assets regulated by IAS2: annual changes No data to be disclosed. 8.9 Commitments to purchase property, plant and equipment At Financial Statement date, Commitments for the purchase of tangible assets do not exist. Section 9 - Intangible assets - Item 90 9.1 Intangible assets: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ASSETS/VALUES FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE A.1 Goodwill X - X - A.2 Other intangible assets 7 - 6 - of which: software 7 - 6 - A.2.1 Assets carried at cost 7 - 6 - a) Intangible assets generated internally - - - - b) Other assets 7 - 6 - A.2.2 Assets measured at fair value - - - - a) Intangible assets generated internally - - - - b) Other assets - - - - Total 7 - 6 - Total finite and indefinite life 7 6 Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 649 9.2 Intangible assets: annual changes (€ million) CHANGES IN 2021 OTHER INTANGIBLE ASSETS GENERATED INTERNALLY OTHER GOODWILL FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE TOTAL A. Gross opening balance 7,710 - - 250 - 7,960 A.1 Total net reduction in value (7,710) - - (244) - (7,954) A.2 Net opening balance - - - 6 - 6 B. Increases - - - 4 - 4 B.1 Purchases - - - 3 - 3 B.2 Increases in intangible assets generated internally X - - - - - B.3 Write-backs X - - - - - B.4 Increases in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - B.5 Positive exchange differences - - - - - - B.6 Other changes - - - 1 - 1 of which: business combinations - - - - - - C. Reduction - - - 3 - 3 C.1 Disposals - - - - - - C.2 Write-downs - - - 3 - 3 - Amortisation X - - 3 - 3 - Write-downs - - - - - - + In equity X - - - - - + Through profit or loss - - - - - - C.3 Reduction in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - C.4 Transfer to non-current assets held for sale - - - - - - C.5 Negative exchange differences - - - - - - C.6 Other changes - - - - - - of which: business combinations - - - - - - D. Net closing balance - - - 7 - 7 D.1 Total net write-down (7,710) - - (247) - (7,957) E. Gross closing balance 7,710 - - 254 - 7,964 F. Carried at cost - - - - - - 9.3 Other information NON PUBBLICARE SENTITO MALDIFASSIsssss Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 649 9.2 Intangible assets: annual changes (€ million) CHANGES IN 2021 OTHER INTANGIBLE ASSETS GENERATED INTERNALLY OTHER GOODWILL FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE TOTAL A. Gross opening balance 7,710 - - 250 - 7,960 A.1 Total net reduction in value (7,710) - - (244) - (7,954) A.2 Net opening balance - - - 6 - 6 B. Increases - - - 4 - 4 B.1 Purchases - - - 3 - 3 B.2 Increases in intangible assets generated internally X - - - - - B.3 Write-backs X - - - - - B.4 Increases in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - B.5 Positive exchange differences - - - - - - B.6 Other changes - - - 1 - 1 of which: business combinations - - - - - - C. Reduction - - - 3 - 3 C.1 Disposals - - - - - - C.2 Write-downs - - - 3 - 3 - Amortisation X - - 3 - 3 - Write-downs - - - - - - + In equity X - - - - - + Through profit or loss - - - - - - C.3 Reduction in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - C.4 Transfer to non-current assets held for sale - - - - - - C.5 Negative exchange differences - - - - - - C.6 Other changes - - - - - - of which: business combinations - - - - - - D. Net closing balance - - - 7 - 7 D.1 Total net write-down (7,710) - - (247) - (7,957) E. Gross closing balance 7,710 - - 254 - 7,964 F. Carried at cost - - - - - - 9.3 Other information NON PUBBLICARE SENTITO MALDIFASSIsssss Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 649 9.2 Intangible assets: annual changes (€ million) CHANGES IN 2021 OTHER INTANGIBLE ASSETS GENERATED INTERNALLY OTHER GOODWILL FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE TOTAL A. Gross opening balance 7,710 - - 250 - 7,960 A.1 Total net reduction in value (7,710) - - (244) - (7,954) A.2 Net opening balance - - - 6 - 6 B. Increases - - - 4 - 4 B.1 Purchases - - - 3 - 3 B.2 Increases in intangible assets generated internally X - - - - - B.3 Write-backs X - - - - - B.4 Increases in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - B.5 Positive exchange differences - - - - - - B.6 Other changes - - - 1 - 1 of which: business combinations - - - - - - C. Reduction - - - 3 - 3 C.1 Disposals - - - - - - C.2 Write-downs - - - 3 - 3 - Amortisation X - - 3 - 3 - Write-downs - - - - - - + In equity X - - - - - + Through profit or loss - - - - - - C.3 Reduction in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - C.4 Transfer to non-current assets held for sale - - - - - - C.5 Negative exchange differences - - - - - - C.6 Other changes - - - - - - of which: business combinations - - - - - - D. Net closing balance - - - 7 - 7 D.1 Total net write-down (7,710) - - (247) - (7,957) E. Gross closing balance 7,710 - - 254 - 7,964 F. Carried at cost - - - - - - 9.3 Other information NON PUBBLICARE SENTITO MALDIFASSIsssss Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 649 9.2 Intangible assets: annual changes (€ million) CHANGES IN 2021 OTHER INTANGIBLE ASSETS GENERATED INTERNALLY OTHER GOODWILL FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE TOTAL A. Gross opening balance 7,710 - - 250 - 7,960 A.1 Total net reduction in value (7,710) - - (244) - (7,954) A.2 Net opening balance - - - 6 - 6 B. Increases - - - 4 - 4 B.1 Purchases - - - 3 - 3 B.2 Increases in intangible assets generated internally X - - - - - B.3 Write-backs X - - - - - B.4 Increases in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - B.5 Positive exchange differences - - - - - - B.6 Other changes - - - 1 - 1 of which: business combinations - - - - - - C. Reduction - - - 3 - 3 C.1 Disposals - - - - - - C.2 Write-downs - - - 3 - 3 - Amortisation X - - 3 - 3 - Write-downs - - - - - - + In equity X - - - - - + Through profit or loss - - - - - - C.3 Reduction in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - C.4 Transfer to non-current assets held for sale - - - - - - C.5 Negative exchange differences - - - - - - C.6 Other changes - - - - - - of which: business combinations - - - - - - D. Net closing balance - - - 7 - 7 D.1 Total net write-down (7,710) - - (247) - (7,957) E. Gross closing balance 7,710 - - 254 - 7,964 F. Carried at cost - - - - - - 9.3 Other information NON PUBBLICARE SENTITO MALDIFASSIsssss Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 649 9.2 Intangible assets: annual changes (€ million) CHANGES IN 2021 OTHER INTANGIBLE ASSETS GENERATED INTERNALLY OTHER GOODWILL FINITE LIFE INDEFINITE LIFE FINITE LIFE INDEFINITE LIFE TOTAL A. Gross opening balance 7,710 - - 250 - 7,960 A.1 Total net reduction in value (7,710) - - (244) - (7,954) A.2 Net opening balance - - - 6 - 6 B. Increases - - - 4 - 4 B.1 Purchases - - - 3 - 3 B.2 Increases in intangible assets generated internally X - - - - - B.3 Write-backs X - - - - - B.4 Increases in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - B.5 Positive exchange differences - - - - - - B.6 Other changes - - - 1 - 1 of which: business combinations - - - - - - C. Reduction - - - 3 - 3 C.1 Disposals - - - - - - C.2 Write-downs - - - 3 - 3 - Amortisation X - - 3 - 3 - Write-downs - - - - - - + In equity X - - - - - + Through profit or loss - - - - - - C.3 Reduction in fair value - - - - - - - In equity X - - - - - - Through profit or loss X - - - - - C.4 Transfer to non-current assets held for sale - - - - - - C.5 Negative exchange differences - - - - - - C.6 Other changes - - - - - - of which: business combinations - - - - - - D. Net closing balance - - - 7 - 7 D.1 Total net write-down (7,710) - - (247) - (7,957) E. Gross closing balance 7,710 - - 254 - 7,964 F. Carried at cost - - - - - - 9.3 Other information NON PUBBLICARE SENTITO MALDIFASSIsssss Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 650 2021 Annual Report and Accounts · UniCredit Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) 10.1 Deferred tax assets: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax assets arising from Italian law 214/2011 6,209 7,355 Deferred tax assets arising from tax losses 2,036 814 Deferred tax assets arising from temporary differences 1,529 1,500 Financial assets and liabilities (different from loans and deposits) 36 24 Loans and deposits to/from banks and customers 680 700 Hedging and hedged item revaluation 57 63 Property, plant and equipment and intangible assets different from goodwill 99 109 Goodwill and equity investments - - Current assets and liabilities held for sale - - Other assets and Other liabilities - - Provisions, pension funds and similar 657 604 Other - - Accounting offsetting (311) (489) Total 9,463 9,180 The item "Deferred tax assets arising from tax losses" also includes the IRAP tax credit deriving from the conversion of the ACE benefit for €195 million. 10.2 Deferred tax liabilities: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax liabilities arising from temporary differences 311 489 Financial assets and liabilities (different from loans and deposits) 137 179 Loans and deposits to/from banks and customers - - Hedging and hedged item revaluation 50 12 Property, plant and equipment and intangible assets different from goodwill 120 294 Goodwill and equity investments - - Assets and liabilities held for sale - - Other assets and Other liabilities 3 3 Other 1 1 Accounting offsetting (311) (489) Total - - Deferred tax assets deriving from Law No.214/2011 The item includes: • the amount of €2,747 million related to deferred tax assets (for IRES and IRAP) due to the tax release of the value of the equity investments pursuant to Art.23 of D.L. No.98/2011; • the amount of €1,116 million related to deferred tax assets (for IRES and IRAP) arising from goodwill tax redemption; • the amount of €2,346 million related to deferred tax assets (for IRES and IRAP) arising from impairment losses on receivables. As of 31 December 2021, the total amount of deferred tax assets convertible into tax credits is equal to €6,209 million of which €5,430 million for IRES and €779 million for IRAP. Deferred tax assets for the carry-forward of unused tax losses - DTA TLCF The possibility to book DTA TLCF, against future taxable income, implies an estimate of future economic results; this estimate is based on the execution of a sustainability test, in accordance with the provisions of IAS12. With reference to the italian tax group perimeter, starting from 31 December 2019, the sustainability test for both IRES and IRAP has been developed on a 10 years-time length, for testing the DTA on TLCF, deemed coherent to assess sufficient taxable base generation to be used for the offsetting of said deferred taxes. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 650 2021 Annual Report and Accounts · UniCredit Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) 10.1 Deferred tax assets: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax assets arising from Italian law 214/2011 6,209 7,355 Deferred tax assets arising from tax losses 2,036 814 Deferred tax assets arising from temporary differences 1,529 1,500 Financial assets and liabilities (different from loans and deposits) 36 24 Loans and deposits to/from banks and customers 680 700 Hedging and hedged item revaluation 57 63 Property, plant and equipment and intangible assets different from goodwill 99 109 Goodwill and equity investments - - Current assets and liabilities held for sale - - Other assets and Other liabilities - - Provisions, pension funds and similar 657 604 Other - - Accounting offsetting (311) (489) Total 9,463 9,180 The item "Deferred tax assets arising from tax losses" also includes the IRAP tax credit deriving from the conversion of the ACE benefit for €195 million. 10.2 Deferred tax liabilities: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax liabilities arising from temporary differences 311 489 Financial assets and liabilities (different from loans and deposits) 137 179 Loans and deposits to/from banks and customers - - Hedging and hedged item revaluation 50 12 Property, plant and equipment and intangible assets different from goodwill 120 294 Goodwill and equity investments - - Assets and liabilities held for sale - - Other assets and Other liabilities 3 3 Other 1 1 Accounting offsetting (311) (489) Total - - Deferred tax assets deriving from Law No.214/2011 The item includes: • the amount of €2,747 million related to deferred tax assets (for IRES and IRAP) due to the tax release of the value of the equity investments pursuant to Art.23 of D.L. No.98/2011; • the amount of €1,116 million related to deferred tax assets (for IRES and IRAP) arising from goodwill tax redemption; • the amount of €2,346 million related to deferred tax assets (for IRES and IRAP) arising from impairment losses on receivables. As of 31 December 2021, the total amount of deferred tax assets convertible into tax credits is equal to €6,209 million of which €5,430 million for IRES and €779 million for IRAP. Deferred tax assets for the carry-forward of unused tax losses - DTA TLCF The possibility to book DTA TLCF, against future taxable income, implies an estimate of future economic results; this estimate is based on the execution of a sustainability test, in accordance with the provisions of IAS12. With reference to the italian tax group perimeter, starting from 31 December 2019, the sustainability test for both IRES and IRAP has been developed on a 10 years-time length, for testing the DTA on TLCF, deemed coherent to assess sufficient taxable base generation to be used for the offsetting of said deferred taxes. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 650 2021 Annual Report and Accounts · UniCredit Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) 10.1 Deferred tax assets: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax assets arising from Italian law 214/2011 6,209 7,355 Deferred tax assets arising from tax losses 2,036 814 Deferred tax assets arising from temporary differences 1,529 1,500 Financial assets and liabilities (different from loans and deposits) 36 24 Loans and deposits to/from banks and customers 680 700 Hedging and hedged item revaluation 57 63 Property, plant and equipment and intangible assets different from goodwill 99 109 Goodwill and equity investments - - Current assets and liabilities held for sale - - Other assets and Other liabilities - - Provisions, pension funds and similar 657 604 Other - - Accounting offsetting (311) (489) Total 9,463 9,180 The item "Deferred tax assets arising from tax losses" also includes the IRAP tax credit deriving from the conversion of the ACE benefit for €195 million. 10.2 Deferred tax liabilities: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax liabilities arising from temporary differences 311 489 Financial assets and liabilities (different from loans and deposits) 137 179 Loans and deposits to/from banks and customers - - Hedging and hedged item revaluation 50 12 Property, plant and equipment and intangible assets different from goodwill 120 294 Goodwill and equity investments - - Assets and liabilities held for sale - - Other assets and Other liabilities 3 3 Other 1 1 Accounting offsetting (311) (489) Total - - Deferred tax assets deriving from Law No.214/2011 The item includes: • the amount of €2,747 million related to deferred tax assets (for IRES and IRAP) due to the tax release of the value of the equity investments pursuant to Art.23 of D.L. No.98/2011; • the amount of €1,116 million related to deferred tax assets (for IRES and IRAP) arising from goodwill tax redemption; • the amount of €2,346 million related to deferred tax assets (for IRES and IRAP) arising from impairment losses on receivables. As of 31 December 2021, the total amount of deferred tax assets convertible into tax credits is equal to €6,209 million of which €5,430 million for IRES and €779 million for IRAP. Deferred tax assets for the carry-forward of unused tax losses - DTA TLCF The possibility to book DTA TLCF, against future taxable income, implies an estimate of future economic results; this estimate is based on the execution of a sustainability test, in accordance with the provisions of IAS12. With reference to the italian tax group perimeter, starting from 31 December 2019, the sustainability test for both IRES and IRAP has been developed on a 10 years-time length, for testing the DTA on TLCF, deemed coherent to assess sufficient taxable base generation to be used for the offsetting of said deferred taxes. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 650 2021 Annual Report and Accounts · UniCredit Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) 10.1 Deferred tax assets: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax assets arising from Italian law 214/2011 6,209 7,355 Deferred tax assets arising from tax losses 2,036 814 Deferred tax assets arising from temporary differences 1,529 1,500 Financial assets and liabilities (different from loans and deposits) 36 24 Loans and deposits to/from banks and customers 680 700 Hedging and hedged item revaluation 57 63 Property, plant and equipment and intangible assets different from goodwill 99 109 Goodwill and equity investments - - Current assets and liabilities held for sale - - Other assets and Other liabilities - - Provisions, pension funds and similar 657 604 Other - - Accounting offsetting (311) (489) Total 9,463 9,180 The item "Deferred tax assets arising from tax losses" also includes the IRAP tax credit deriving from the conversion of the ACE benefit for €195 million. 10.2 Deferred tax liabilities: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax liabilities arising from temporary differences 311 489 Financial assets and liabilities (different from loans and deposits) 137 179 Loans and deposits to/from banks and customers - - Hedging and hedged item revaluation 50 12 Property, plant and equipment and intangible assets different from goodwill 120 294 Goodwill and equity investments - - Assets and liabilities held for sale - - Other assets and Other liabilities 3 3 Other 1 1 Accounting offsetting (311) (489) Total - - Deferred tax assets deriving from Law No.214/2011 The item includes: • the amount of €2,747 million related to deferred tax assets (for IRES and IRAP) due to the tax release of the value of the equity investments pursuant to Art.23 of D.L. No.98/2011; • the amount of €1,116 million related to deferred tax assets (for IRES and IRAP) arising from goodwill tax redemption; • the amount of €2,346 million related to deferred tax assets (for IRES and IRAP) arising from impairment losses on receivables. As of 31 December 2021, the total amount of deferred tax assets convertible into tax credits is equal to €6,209 million of which €5,430 million for IRES and €779 million for IRAP. Deferred tax assets for the carry-forward of unused tax losses - DTA TLCF The possibility to book DTA TLCF, against future taxable income, implies an estimate of future economic results; this estimate is based on the execution of a sustainability test, in accordance with the provisions of IAS12. With reference to the italian tax group perimeter, starting from 31 December 2019, the sustainability test for both IRES and IRAP has been developed on a 10 years-time length, for testing the DTA on TLCF, deemed coherent to assess sufficient taxable base generation to be used for the offsetting of said deferred taxes. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 650 2021 Annual Report and Accounts · UniCredit Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) 10.1 Deferred tax assets: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax assets arising from Italian law 214/2011 6,209 7,355 Deferred tax assets arising from tax losses 2,036 814 Deferred tax assets arising from temporary differences 1,529 1,500 Financial assets and liabilities (different from loans and deposits) 36 24 Loans and deposits to/from banks and customers 680 700 Hedging and hedged item revaluation 57 63 Property, plant and equipment and intangible assets different from goodwill 99 109 Goodwill and equity investments - - Current assets and liabilities held for sale - - Other assets and Other liabilities - - Provisions, pension funds and similar 657 604 Other - - Accounting offsetting (311) (489) Total 9,463 9,180 The item "Deferred tax assets arising from tax losses" also includes the IRAP tax credit deriving from the conversion of the ACE benefit for €195 million. 10.2 Deferred tax liabilities: breakdown (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Deferred tax liabilities arising from temporary differences 311 489 Financial assets and liabilities (different from loans and deposits) 137 179 Loans and deposits to/from banks and customers - - Hedging and hedged item revaluation 50 12 Property, plant and equipment and intangible assets different from goodwill 120 294 Goodwill and equity investments - - Assets and liabilities held for sale - - Other assets and Other liabilities 3 3 Other 1 1 Accounting offsetting (311) (489) Total - - Deferred tax assets deriving from Law No.214/2011 The item includes: • the amount of €2,747 million related to deferred tax assets (for IRES and IRAP) due to the tax release of the value of the equity investments pursuant to Art.23 of D.L. No.98/2011; • the amount of €1,116 million related to deferred tax assets (for IRES and IRAP) arising from goodwill tax redemption; • the amount of €2,346 million related to deferred tax assets (for IRES and IRAP) arising from impairment losses on receivables. As of 31 December 2021, the total amount of deferred tax assets convertible into tax credits is equal to €6,209 million of which €5,430 million for IRES and €779 million for IRAP. Deferred tax assets for the carry-forward of unused tax losses - DTA TLCF The possibility to book DTA TLCF, against future taxable income, implies an estimate of future economic results; this estimate is based on the execution of a sustainability test, in accordance with the provisions of IAS12. With reference to the italian tax group perimeter, starting from 31 December 2019, the sustainability test for both IRES and IRAP has been developed on a 10 years-time length, for testing the DTA on TLCF, deemed coherent to assess sufficient taxable base generation to be used for the offsetting of said deferred taxes. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 651 Considered the 10 years time horizon and in order to mitigate the effects of the uncertainty inherent the adoption of an approach based also on estimates beyond the plan horizon, it has been adopted a model incorporating a probabilistic component; in particular, in line with ESMA recommendation issued on 15 July 2019, the sustainability test for the determination of future taxable incomes envisages: • a deterministic approach for the years for which official projections are available (i.e. the period 2022-2024); with this regard, the model has been updated with the forecasts of the new strategic plan “UniCredit Unlocked”, approved by the Board of Directors (BoD) during the meeting held on 8 December 2021, and presented to the market the day after; • a statistical approach for the years beyond official projections (2025-2031); this approach is based on the statistical generation of multiple scenarios that lead to generate projections of future taxable income in the test time horizon. According to the approach of the previous tests, as far as possible, objective criteria and realistic assumptions have been adopted to define the values of this projection, such as: - long-term annual growth rate set at 2%, which incorporates an assumption of growth at 0% in real terms, as 2% represents the target rate of price stability; - nominal future growth rate with 4% cap applied to pre-tax profit for the first year of projections beyond the deterministic period, which leads to consistency with the long-term annual growth rate of 2% through a linear convergence; - a volatility parameter calculated on the historical series since 2007 of the pre-tax results of a significant sample of european banks (data from European Central Bank Statistical Datawarehouse). Furthermore, in line with IAS12, as well as taking into consideration the ESMA document, a confidence interval has been selected which reflects a probability greater than 50% in relation to the expected tax incomes. Given the current macroeconomic scenario characterized by a high level of uncertainty, for a detailed description of such items of uncertainty, refer to the analysis available in the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements, Notes to the Consolidated accounts, Part A - Accounting policies, A1 General. ESMA in the publication dated 29 October 2021 recommends greater caution, in the processing of the underlying estimates, considering the evaluation of long term pandemic effects; in this context the reference to ESMA recommendations dated 28 October 2020 that require also to consider the adoption of multiple scenarios in the processing of the underlying estimates; in consideration of this and according to the approach of the previous year, two scenarios were considered in projections used for DTA sustainability test as well as for participation impairment test: • “base” coherent with strategic plan “UniCredit Unlocked”; • “downturn”, deteriorated compared to the “base” scenario, built with macroeconomic forecasts 2022-2024 revised “downturn” to factor in greater risks linked to uncertainty. In this context and considering the last months Covid-19 experience an adjustment of the approach adopted for the forecast cash flow estimate in the “downturn” scenario has assumed necessary in order to consider the long term pandemic effects; in the forecasts after 2024 a constant annual increase of profit before taxes equal to long-term annual growth rate set at 2% has been assumed, turning off every assumption through a linear convergence to the “base” scenario previously considered in 2020 sustainability test. For a description of main assumptions behind “base” and “downturn” scenarios, refer to the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies, A.1 - General. In addition, the volatility parameter behind the statistic model has been updated from 8.1 of 2020 to 7.3 of 2021; such a decrease derives from the update up to the second half 2020 of the historical series of pre-tax results of European banks included in the statistic sample. According to the approach of the 2020 test, the final results of the test derive from the weighting of the results of both scenarios with a greater weigh, equal to 60%, for the “base” scenario that has been considered the most probable. Consistently with the approach outlined, the sustainability test, performed on the Italian tax group perimeter applying the current ordinary tax rate of 24% and on UniCredit S.p.A. applying the additional tax rate of 3.5%, determined the sustainability of DTA TLCF as at 31 December 2021 for a total amount of €1,842 million, of which: (i) €1,200 million (of which €1,164 million related to 2021) recognised through Income statement and (ii) €642 million (of which € 0,5 million booked in 2021) recognised through Net equity as they are attributable to transactions recognised through Net equity according to international accounting standards. With reference to the test results derived from statistical approach, adopted, as previously stated, in the years of projections for which a plan is not available, a sensitivity analysis was run on volatility parameter and on confidence interval; the outcomes of such analysis are the following: • 0.1 increase of volatility parameter would originate a lower amount of sustainable DTA TLCF equal to €78 million; • 1% increase of confidence interval would result in €32 million lower amount of sustainable DTA TLCF. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 651 Considered the 10 years time horizon and in order to mitigate the effects of the uncertainty inherent the adoption of an approach based also on estimates beyond the plan horizon, it has been adopted a model incorporating a probabilistic component; in particular, in line with ESMA recommendation issued on 15 July 2019, the sustainability test for the determination of future taxable incomes envisages: • a deterministic approach for the years for which official projections are available (i.e. the period 2022-2024); with this regard, the model has been updated with the forecasts of the new strategic plan “UniCredit Unlocked”, approved by the Board of Directors (BoD) during the meeting held on 8 December 2021, and presented to the market the day after; • a statistical approach for the years beyond official projections (2025-2031); this approach is based on the statistical generation of multiple scenarios that lead to generate projections of future taxable income in the test time horizon. According to the approach of the previous tests, as far as possible, objective criteria and realistic assumptions have been adopted to define the values of this projection, such as: - long-term annual growth rate set at 2%, which incorporates an assumption of growth at 0% in real terms, as 2% represents the target rate of price stability; - nominal future growth rate with 4% cap applied to pre-tax profit for the first year of projections beyond the deterministic period, which leads to consistency with the long-term annual growth rate of 2% through a linear convergence; - a volatility parameter calculated on the historical series since 2007 of the pre-tax results of a significant sample of european banks (data from European Central Bank Statistical Datawarehouse). Furthermore, in line with IAS12, as well as taking into consideration the ESMA document, a confidence interval has been selected which reflects a probability greater than 50% in relation to the expected tax incomes. Given the current macroeconomic scenario characterized by a high level of uncertainty, for a detailed description of such items of uncertainty, refer to the analysis available in the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements, Notes to the Consolidated accounts, Part A - Accounting policies, A1 General. ESMA in the publication dated 29 October 2021 recommends greater caution, in the processing of the underlying estimates, considering the evaluation of long term pandemic effects; in this context the reference to ESMA recommendations dated 28 October 2020 that require also to consider the adoption of multiple scenarios in the processing of the underlying estimates; in consideration of this and according to the approach of the previous year, two scenarios were considered in projections used for DTA sustainability test as well as for participation impairment test: • “base” coherent with strategic plan “UniCredit Unlocked”; • “downturn”, deteriorated compared to the “base” scenario, built with macroeconomic forecasts 2022-2024 revised “downturn” to factor in greater risks linked to uncertainty. In this context and considering the last months Covid-19 experience an adjustment of the approach adopted for the forecast cash flow estimate in the “downturn” scenario has assumed necessary in order to consider the long term pandemic effects; in the forecasts after 2024 a constant annual increase of profit before taxes equal to long-term annual growth rate set at 2% has been assumed, turning off every assumption through a linear convergence to the “base” scenario previously considered in 2020 sustainability test. For a description of main assumptions behind “base” and “downturn” scenarios, refer to the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies, A.1 - General. In addition, the volatility parameter behind the statistic model has been updated from 8.1 of 2020 to 7.3 of 2021; such a decrease derives from the update up to the second half 2020 of the historical series of pre-tax results of European banks included in the statistic sample. According to the approach of the 2020 test, the final results of the test derive from the weighting of the results of both scenarios with a greater weigh, equal to 60%, for the “base” scenario that has been considered the most probable. Consistently with the approach outlined, the sustainability test, performed on the Italian tax group perimeter applying the current ordinary tax rate of 24% and on UniCredit S.p.A. applying the additional tax rate of 3.5%, determined the sustainability of DTA TLCF as at 31 December 2021 for a total amount of €1,842 million, of which: (i) €1,200 million (of which €1,164 million related to 2021) recognised through Income statement and (ii) €642 million (of which € 0,5 million booked in 2021) recognised through Net equity as they are attributable to transactions recognised through Net equity according to international accounting standards. With reference to the test results derived from statistical approach, adopted, as previously stated, in the years of projections for which a plan is not available, a sensitivity analysis was run on volatility parameter and on confidence interval; the outcomes of such analysis are the following: • 0.1 increase of volatility parameter would originate a lower amount of sustainable DTA TLCF equal to €78 million; • 1% increase of confidence interval would result in €32 million lower amount of sustainable DTA TLCF. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 651 Considered the 10 years time horizon and in order to mitigate the effects of the uncertainty inherent the adoption of an approach based also on estimates beyond the plan horizon, it has been adopted a model incorporating a probabilistic component; in particular, in line with ESMA recommendation issued on 15 July 2019, the sustainability test for the determination of future taxable incomes envisages: • a deterministic approach for the years for which official projections are available (i.e. the period 2022-2024); with this regard, the model has been updated with the forecasts of the new strategic plan “UniCredit Unlocked”, approved by the Board of Directors (BoD) during the meeting held on 8 December 2021, and presented to the market the day after; • a statistical approach for the years beyond official projections (2025-2031); this approach is based on the statistical generation of multiple scenarios that lead to generate projections of future taxable income in the test time horizon. According to the approach of the previous tests, as far as possible, objective criteria and realistic assumptions have been adopted to define the values of this projection, such as: - long-term annual growth rate set at 2%, which incorporates an assumption of growth at 0% in real terms, as 2% represents the target rate of price stability; - nominal future growth rate with 4% cap applied to pre-tax profit for the first year of projections beyond the deterministic period, which leads to consistency with the long-term annual growth rate of 2% through a linear convergence; - a volatility parameter calculated on the historical series since 2007 of the pre-tax results of a significant sample of european banks (data from European Central Bank Statistical Datawarehouse). Furthermore, in line with IAS12, as well as taking into consideration the ESMA document, a confidence interval has been selected which reflects a probability greater than 50% in relation to the expected tax incomes. Given the current macroeconomic scenario characterized by a high level of uncertainty, for a detailed description of such items of uncertainty, refer to the analysis available in the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements, Notes to the Consolidated accounts, Part A - Accounting policies, A1 General. ESMA in the publication dated 29 October 2021 recommends greater caution, in the processing of the underlying estimates, considering the evaluation of long term pandemic effects; in this context the reference to ESMA recommendations dated 28 October 2020 that require also to consider the adoption of multiple scenarios in the processing of the underlying estimates; in consideration of this and according to the approach of the previous year, two scenarios were considered in projections used for DTA sustainability test as well as for participation impairment test: • “base” coherent with strategic plan “UniCredit Unlocked”; • “downturn”, deteriorated compared to the “base” scenario, built with macroeconomic forecasts 2022-2024 revised “downturn” to factor in greater risks linked to uncertainty. In this context and considering the last months Covid-19 experience an adjustment of the approach adopted for the forecast cash flow estimate in the “downturn” scenario has assumed necessary in order to consider the long term pandemic effects; in the forecasts after 2024 a constant annual increase of profit before taxes equal to long-term annual growth rate set at 2% has been assumed, turning off every assumption through a linear convergence to the “base” scenario previously considered in 2020 sustainability test. For a description of main assumptions behind “base” and “downturn” scenarios, refer to the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies, A.1 - General. In addition, the volatility parameter behind the statistic model has been updated from 8.1 of 2020 to 7.3 of 2021; such a decrease derives from the update up to the second half 2020 of the historical series of pre-tax results of European banks included in the statistic sample. According to the approach of the 2020 test, the final results of the test derive from the weighting of the results of both scenarios with a greater weigh, equal to 60%, for the “base” scenario that has been considered the most probable. Consistently with the approach outlined, the sustainability test, performed on the Italian tax group perimeter applying the current ordinary tax rate of 24% and on UniCredit S.p.A. applying the additional tax rate of 3.5%, determined the sustainability of DTA TLCF as at 31 December 2021 for a total amount of €1,842 million, of which: (i) €1,200 million (of which €1,164 million related to 2021) recognised through Income statement and (ii) €642 million (of which € 0,5 million booked in 2021) recognised through Net equity as they are attributable to transactions recognised through Net equity according to international accounting standards. With reference to the test results derived from statistical approach, adopted, as previously stated, in the years of projections for which a plan is not available, a sensitivity analysis was run on volatility parameter and on confidence interval; the outcomes of such analysis are the following: • 0.1 increase of volatility parameter would originate a lower amount of sustainable DTA TLCF equal to €78 million; • 1% increase of confidence interval would result in €32 million lower amount of sustainable DTA TLCF. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 651 Considered the 10 years time horizon and in order to mitigate the effects of the uncertainty inherent the adoption of an approach based also on estimates beyond the plan horizon, it has been adopted a model incorporating a probabilistic component; in particular, in line with ESMA recommendation issued on 15 July 2019, the sustainability test for the determination of future taxable incomes envisages: • a deterministic approach for the years for which official projections are available (i.e. the period 2022-2024); with this regard, the model has been updated with the forecasts of the new strategic plan “UniCredit Unlocked”, approved by the Board of Directors (BoD) during the meeting held on 8 December 2021, and presented to the market the day after; • a statistical approach for the years beyond official projections (2025-2031); this approach is based on the statistical generation of multiple scenarios that lead to generate projections of future taxable income in the test time horizon. According to the approach of the previous tests, as far as possible, objective criteria and realistic assumptions have been adopted to define the values of this projection, such as: - long-term annual growth rate set at 2%, which incorporates an assumption of growth at 0% in real terms, as 2% represents the target rate of price stability; - nominal future growth rate with 4% cap applied to pre-tax profit for the first year of projections beyond the deterministic period, which leads to consistency with the long-term annual growth rate of 2% through a linear convergence; - a volatility parameter calculated on the historical series since 2007 of the pre-tax results of a significant sample of european banks (data from European Central Bank Statistical Datawarehouse). Furthermore, in line with IAS12, as well as taking into consideration the ESMA document, a confidence interval has been selected which reflects a probability greater than 50% in relation to the expected tax incomes. Given the current macroeconomic scenario characterized by a high level of uncertainty, for a detailed description of such items of uncertainty, refer to the analysis available in the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements, Notes to the Consolidated accounts, Part A - Accounting policies, A1 General. ESMA in the publication dated 29 October 2021 recommends greater caution, in the processing of the underlying estimates, considering the evaluation of long term pandemic effects; in this context the reference to ESMA recommendations dated 28 October 2020 that require also to consider the adoption of multiple scenarios in the processing of the underlying estimates; in consideration of this and according to the approach of the previous year, two scenarios were considered in projections used for DTA sustainability test as well as for participation impairment test: • “base” coherent with strategic plan “UniCredit Unlocked”; • “downturn”, deteriorated compared to the “base” scenario, built with macroeconomic forecasts 2022-2024 revised “downturn” to factor in greater risks linked to uncertainty. In this context and considering the last months Covid-19 experience an adjustment of the approach adopted for the forecast cash flow estimate in the “downturn” scenario has assumed necessary in order to consider the long term pandemic effects; in the forecasts after 2024 a constant annual increase of profit before taxes equal to long-term annual growth rate set at 2% has been assumed, turning off every assumption through a linear convergence to the “base” scenario previously considered in 2020 sustainability test. For a description of main assumptions behind “base” and “downturn” scenarios, refer to the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies, A.1 - General. In addition, the volatility parameter behind the statistic model has been updated from 8.1 of 2020 to 7.3 of 2021; such a decrease derives from the update up to the second half 2020 of the historical series of pre-tax results of European banks included in the statistic sample. According to the approach of the 2020 test, the final results of the test derive from the weighting of the results of both scenarios with a greater weigh, equal to 60%, for the “base” scenario that has been considered the most probable. Consistently with the approach outlined, the sustainability test, performed on the Italian tax group perimeter applying the current ordinary tax rate of 24% and on UniCredit S.p.A. applying the additional tax rate of 3.5%, determined the sustainability of DTA TLCF as at 31 December 2021 for a total amount of €1,842 million, of which: (i) €1,200 million (of which €1,164 million related to 2021) recognised through Income statement and (ii) €642 million (of which € 0,5 million booked in 2021) recognised through Net equity as they are attributable to transactions recognised through Net equity according to international accounting standards. With reference to the test results derived from statistical approach, adopted, as previously stated, in the years of projections for which a plan is not available, a sensitivity analysis was run on volatility parameter and on confidence interval; the outcomes of such analysis are the following: • 0.1 increase of volatility parameter would originate a lower amount of sustainable DTA TLCF equal to €78 million; • 1% increase of confidence interval would result in €32 million lower amount of sustainable DTA TLCF. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 651 Considered the 10 years time horizon and in order to mitigate the effects of the uncertainty inherent the adoption of an approach based also on estimates beyond the plan horizon, it has been adopted a model incorporating a probabilistic component; in particular, in line with ESMA recommendation issued on 15 July 2019, the sustainability test for the determination of future taxable incomes envisages: • a deterministic approach for the years for which official projections are available (i.e. the period 2022-2024); with this regard, the model has been updated with the forecasts of the new strategic plan “UniCredit Unlocked”, approved by the Board of Directors (BoD) during the meeting held on 8 December 2021, and presented to the market the day after; • a statistical approach for the years beyond official projections (2025-2031); this approach is based on the statistical generation of multiple scenarios that lead to generate projections of future taxable income in the test time horizon. According to the approach of the previous tests, as far as possible, objective criteria and realistic assumptions have been adopted to define the values of this projection, such as: - long-term annual growth rate set at 2%, which incorporates an assumption of growth at 0% in real terms, as 2% represents the target rate of price stability; - nominal future growth rate with 4% cap applied to pre-tax profit for the first year of projections beyond the deterministic period, which leads to consistency with the long-term annual growth rate of 2% through a linear convergence; - a volatility parameter calculated on the historical series since 2007 of the pre-tax results of a significant sample of european banks (data from European Central Bank Statistical Datawarehouse). Furthermore, in line with IAS12, as well as taking into consideration the ESMA document, a confidence interval has been selected which reflects a probability greater than 50% in relation to the expected tax incomes. Given the current macroeconomic scenario characterized by a high level of uncertainty, for a detailed description of such items of uncertainty, refer to the analysis available in the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements, Notes to the Consolidated accounts, Part A - Accounting policies, A1 General. ESMA in the publication dated 29 October 2021 recommends greater caution, in the processing of the underlying estimates, considering the evaluation of long term pandemic effects; in this context the reference to ESMA recommendations dated 28 October 2020 that require also to consider the adoption of multiple scenarios in the processing of the underlying estimates; in consideration of this and according to the approach of the previous year, two scenarios were considered in projections used for DTA sustainability test as well as for participation impairment test: • “base” coherent with strategic plan “UniCredit Unlocked”; • “downturn”, deteriorated compared to the “base” scenario, built with macroeconomic forecasts 2022-2024 revised “downturn” to factor in greater risks linked to uncertainty. In this context and considering the last months Covid-19 experience an adjustment of the approach adopted for the forecast cash flow estimate in the “downturn” scenario has assumed necessary in order to consider the long term pandemic effects; in the forecasts after 2024 a constant annual increase of profit before taxes equal to long-term annual growth rate set at 2% has been assumed, turning off every assumption through a linear convergence to the “base” scenario previously considered in 2020 sustainability test. For a description of main assumptions behind “base” and “downturn” scenarios, refer to the paragraph “Section 2 - General preparation criteria” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part A - Accounting policies, A.1 - General. In addition, the volatility parameter behind the statistic model has been updated from 8.1 of 2020 to 7.3 of 2021; such a decrease derives from the update up to the second half 2020 of the historical series of pre-tax results of European banks included in the statistic sample. According to the approach of the 2020 test, the final results of the test derive from the weighting of the results of both scenarios with a greater weigh, equal to 60%, for the “base” scenario that has been considered the most probable. Consistently with the approach outlined, the sustainability test, performed on the Italian tax group perimeter applying the current ordinary tax rate of 24% and on UniCredit S.p.A. applying the additional tax rate of 3.5%, determined the sustainability of DTA TLCF as at 31 December 2021 for a total amount of €1,842 million, of which: (i) €1,200 million (of which €1,164 million related to 2021) recognised through Income statement and (ii) €642 million (of which € 0,5 million booked in 2021) recognised through Net equity as they are attributable to transactions recognised through Net equity according to international accounting standards. With reference to the test results derived from statistical approach, adopted, as previously stated, in the years of projections for which a plan is not available, a sensitivity analysis was run on volatility parameter and on confidence interval; the outcomes of such analysis are the following: • 0.1 increase of volatility parameter would originate a lower amount of sustainable DTA TLCF equal to €78 million; • 1% increase of confidence interval would result in €32 million lower amount of sustainable DTA TLCF. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 652 2021 Annual Report and Accounts · UniCredit Moreover, regarding the weight assigned to the different scenarios adopted (“base” and “downturn”), the test points out that a 5% increase in “base” scenario weight (meaning 65% weight for “base” and 35% “downturn”) would result in a €31 million increase of sustainable DTA TLCF; conversely, a 5% lower weight for “base” scenario (meaning 55% weight for “base” and 45% “downturn”) would determine a €31 million decrease of sustainable DTA TLCF. Further risk elements related to this approach are linked to a possible significant reduction in the tax rate, as well as to any time limits on the recovery of tax assets that may be introduced by changes in the current legislation. However, it is to be kept in mind the substantial invariance of the DTA TLCF for the purposes of the impact on Common Equity Tier 1 Capital, given their regulatory treatment. The amount of DTA TLCF not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) related to UniCredit S.p.A. and referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. Deferred tax assets from temporary differences With particular reference to deferred tax assets due to temporary differences (€1,529 million booked before the offset against the corresponding deferred tax liabilities), the sustainability test caused the total sustainability of deferred tax assets due to temporary differences, of which: (i) €1,412 million recognised through Income statement and (ii) €117 million recognised through Net equity originated from transactions accrued to Net equity due to IFRS principles. Therefore, an impairment write-up of €170 million of which i) €163 million concerning Income statement and ii) €7 million concerning Net equity has been done. During the year deferred tax assets on Income statement have had an increase of €300 million due to the effects deriving from the sustainability test update for €1,327 million (of which €1,164 million concerning the increase of DTA for fiscal losses carry forward and €163 million concerning impairment DTA write-up on provisions and charges). The other changes are related to the normal dynamic of the tax assets against current taxes. 10.3 Deferred tax assets: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 8,404 9,176 2. Increases 2,507 1,829 2.1 Deferred tax assets arisen during the year 1,830 1,328 a) Relating to previous years 76 161 b) Due to change in accounting criteria - - c) Write-backs 1,462 357 d) Other 292 810 2.2 New taxes or increases in tax rates - - 2.3 Other increases 677 501 3. Decreases 2,206 2,601 3.1 Deferred tax assets derecognised during the year 1,045 1,319 a) Reversals of temporary differences 852 422 b) Write-downs of non-recoverable items 38 713 c) Change in accounting criteria - - d) Other 155 184 3.2 Reduction in tax rates - - 3.3 Other decreases 1,161 1,282 a) Conversion into tax credit under Italian Law 214/2011 850 793 b) Other 311 489 4. Closing balance 8,705 8,404 For the portion of deferred tax assets arising from tax losses carried forward to subsequent years, please refer to the table 10.1 of these section of the Notes to the accounts. The sub-item “2.1 c) Write-backs” reports the effects of the recognition in the income statement of DTA TLCF arising from the results of the sustainability test; the sub-items “2.3 Other increases” and “3.3 Other decreases” b) Other” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amounts referring to the year 2020 of the sub-items “2.1 c) Write-backs” (€357 million) and “3.1 a) Reversals of temporary differences” (€422 million) have been restated, previously classified respectively under the item “2.1 d) Other” and "3.1 d) Other". Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 652 2021 Annual Report and Accounts · UniCredit Moreover, regarding the weight assigned to the different scenarios adopted (“base” and “downturn”), the test points out that a 5% increase in “base” scenario weight (meaning 65% weight for “base” and 35% “downturn”) would result in a €31 million increase of sustainable DTA TLCF; conversely, a 5% lower weight for “base” scenario (meaning 55% weight for “base” and 45% “downturn”) would determine a €31 million decrease of sustainable DTA TLCF. Further risk elements related to this approach are linked to a possible significant reduction in the tax rate, as well as to any time limits on the recovery of tax assets that may be introduced by changes in the current legislation. However, it is to be kept in mind the substantial invariance of the DTA TLCF for the purposes of the impact on Common Equity Tier 1 Capital, given their regulatory treatment. The amount of DTA TLCF not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) related to UniCredit S.p.A. and referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. Deferred tax assets from temporary differences With particular reference to deferred tax assets due to temporary differences (€1,529 million booked before the offset against the corresponding deferred tax liabilities), the sustainability test caused the total sustainability of deferred tax assets due to temporary differences, of which: (i) €1,412 million recognised through Income statement and (ii) €117 million recognised through Net equity originated from transactions accrued to Net equity due to IFRS principles. Therefore, an impairment write-up of €170 million of which i) €163 million concerning Income statement and ii) €7 million concerning Net equity has been done. During the year deferred tax assets on Income statement have had an increase of €300 million due to the effects deriving from the sustainability test update for €1,327 million (of which €1,164 million concerning the increase of DTA for fiscal losses carry forward and €163 million concerning impairment DTA write-up on provisions and charges). The other changes are related to the normal dynamic of the tax assets against current taxes. 10.3 Deferred tax assets: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 8,404 9,176 2. Increases 2,507 1,829 2.1 Deferred tax assets arisen during the year 1,830 1,328 a) Relating to previous years 76 161 b) Due to change in accounting criteria - - c) Write-backs 1,462 357 d) Other 292 810 2.2 New taxes or increases in tax rates - - 2.3 Other increases 677 501 3. Decreases 2,206 2,601 3.1 Deferred tax assets derecognised during the year 1,045 1,319 a) Reversals of temporary differences 852 422 b) Write-downs of non-recoverable items 38 713 c) Change in accounting criteria - - d) Other 155 184 3.2 Reduction in tax rates - - 3.3 Other decreases 1,161 1,282 a) Conversion into tax credit under Italian Law 214/2011 850 793 b) Other 311 489 4. Closing balance 8,705 8,404 For the portion of deferred tax assets arising from tax losses carried forward to subsequent years, please refer to the table 10.1 of these section of the Notes to the accounts. The sub-item “2.1 c) Write-backs” reports the effects of the recognition in the income statement of DTA TLCF arising from the results of the sustainability test; the sub-items “2.3 Other increases” and “3.3 Other decreases” b) Other” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amounts referring to the year 2020 of the sub-items “2.1 c) Write-backs” (€357 million) and “3.1 a) Reversals of temporary differences” (€422 million) have been restated, previously classified respectively under the item “2.1 d) Other” and "3.1 d) Other". Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 652 2021 Annual Report and Accounts · UniCredit Moreover, regarding the weight assigned to the different scenarios adopted (“base” and “downturn”), the test points out that a 5% increase in “base” scenario weight (meaning 65% weight for “base” and 35% “downturn”) would result in a €31 million increase of sustainable DTA TLCF; conversely, a 5% lower weight for “base” scenario (meaning 55% weight for “base” and 45% “downturn”) would determine a €31 million decrease of sustainable DTA TLCF. Further risk elements related to this approach are linked to a possible significant reduction in the tax rate, as well as to any time limits on the recovery of tax assets that may be introduced by changes in the current legislation. However, it is to be kept in mind the substantial invariance of the DTA TLCF for the purposes of the impact on Common Equity Tier 1 Capital, given their regulatory treatment. The amount of DTA TLCF not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) related to UniCredit S.p.A. and referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. Deferred tax assets from temporary differences With particular reference to deferred tax assets due to temporary differences (€1,529 million booked before the offset against the corresponding deferred tax liabilities), the sustainability test caused the total sustainability of deferred tax assets due to temporary differences, of which: (i) €1,412 million recognised through Income statement and (ii) €117 million recognised through Net equity originated from transactions accrued to Net equity due to IFRS principles. Therefore, an impairment write-up of €170 million of which i) €163 million concerning Income statement and ii) €7 million concerning Net equity has been done. During the year deferred tax assets on Income statement have had an increase of €300 million due to the effects deriving from the sustainability test update for €1,327 million (of which €1,164 million concerning the increase of DTA for fiscal losses carry forward and €163 million concerning impairment DTA write-up on provisions and charges). The other changes are related to the normal dynamic of the tax assets against current taxes. 10.3 Deferred tax assets: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 8,404 9,176 2. Increases 2,507 1,829 2.1 Deferred tax assets arisen during the year 1,830 1,328 a) Relating to previous years 76 161 b) Due to change in accounting criteria - - c) Write-backs 1,462 357 d) Other 292 810 2.2 New taxes or increases in tax rates - - 2.3 Other increases 677 501 3. Decreases 2,206 2,601 3.1 Deferred tax assets derecognised during the year 1,045 1,319 a) Reversals of temporary differences 852 422 b) Write-downs of non-recoverable items 38 713 c) Change in accounting criteria - - d) Other 155 184 3.2 Reduction in tax rates - - 3.3 Other decreases 1,161 1,282 a) Conversion into tax credit under Italian Law 214/2011 850 793 b) Other 311 489 4. Closing balance 8,705 8,404 For the portion of deferred tax assets arising from tax losses carried forward to subsequent years, please refer to the table 10.1 of these section of the Notes to the accounts. The sub-item “2.1 c) Write-backs” reports the effects of the recognition in the income statement of DTA TLCF arising from the results of the sustainability test; the sub-items “2.3 Other increases” and “3.3 Other decreases” b) Other” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amounts referring to the year 2020 of the sub-items “2.1 c) Write-backs” (€357 million) and “3.1 a) Reversals of temporary differences” (€422 million) have been restated, previously classified respectively under the item “2.1 d) Other” and "3.1 d) Other". Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 652 2021 Annual Report and Accounts · UniCredit Moreover, regarding the weight assigned to the different scenarios adopted (“base” and “downturn”), the test points out that a 5% increase in “base” scenario weight (meaning 65% weight for “base” and 35% “downturn”) would result in a €31 million increase of sustainable DTA TLCF; conversely, a 5% lower weight for “base” scenario (meaning 55% weight for “base” and 45% “downturn”) would determine a €31 million decrease of sustainable DTA TLCF. Further risk elements related to this approach are linked to a possible significant reduction in the tax rate, as well as to any time limits on the recovery of tax assets that may be introduced by changes in the current legislation. However, it is to be kept in mind the substantial invariance of the DTA TLCF for the purposes of the impact on Common Equity Tier 1 Capital, given their regulatory treatment. The amount of DTA TLCF not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) related to UniCredit S.p.A. and referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. Deferred tax assets from temporary differences With particular reference to deferred tax assets due to temporary differences (€1,529 million booked before the offset against the corresponding deferred tax liabilities), the sustainability test caused the total sustainability of deferred tax assets due to temporary differences, of which: (i) €1,412 million recognised through Income statement and (ii) €117 million recognised through Net equity originated from transactions accrued to Net equity due to IFRS principles. Therefore, an impairment write-up of €170 million of which i) €163 million concerning Income statement and ii) €7 million concerning Net equity has been done. During the year deferred tax assets on Income statement have had an increase of €300 million due to the effects deriving from the sustainability test update for €1,327 million (of which €1,164 million concerning the increase of DTA for fiscal losses carry forward and €163 million concerning impairment DTA write-up on provisions and charges). The other changes are related to the normal dynamic of the tax assets against current taxes. 10.3 Deferred tax assets: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 8,404 9,176 2. Increases 2,507 1,829 2.1 Deferred tax assets arisen during the year 1,830 1,328 a) Relating to previous years 76 161 b) Due to change in accounting criteria - - c) Write-backs 1,462 357 d) Other 292 810 2.2 New taxes or increases in tax rates - - 2.3 Other increases 677 501 3. Decreases 2,206 2,601 3.1 Deferred tax assets derecognised during the year 1,045 1,319 a) Reversals of temporary differences 852 422 b) Write-downs of non-recoverable items 38 713 c) Change in accounting criteria - - d) Other 155 184 3.2 Reduction in tax rates - - 3.3 Other decreases 1,161 1,282 a) Conversion into tax credit under Italian Law 214/2011 850 793 b) Other 311 489 4. Closing balance 8,705 8,404 For the portion of deferred tax assets arising from tax losses carried forward to subsequent years, please refer to the table 10.1 of these section of the Notes to the accounts. The sub-item “2.1 c) Write-backs” reports the effects of the recognition in the income statement of DTA TLCF arising from the results of the sustainability test; the sub-items “2.3 Other increases” and “3.3 Other decreases” b) Other” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amounts referring to the year 2020 of the sub-items “2.1 c) Write-backs” (€357 million) and “3.1 a) Reversals of temporary differences” (€422 million) have been restated, previously classified respectively under the item “2.1 d) Other” and "3.1 d) Other". Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 652 2021 Annual Report and Accounts · UniCredit Moreover, regarding the weight assigned to the different scenarios adopted (“base” and “downturn”), the test points out that a 5% increase in “base” scenario weight (meaning 65% weight for “base” and 35% “downturn”) would result in a €31 million increase of sustainable DTA TLCF; conversely, a 5% lower weight for “base” scenario (meaning 55% weight for “base” and 45% “downturn”) would determine a €31 million decrease of sustainable DTA TLCF. Further risk elements related to this approach are linked to a possible significant reduction in the tax rate, as well as to any time limits on the recovery of tax assets that may be introduced by changes in the current legislation. However, it is to be kept in mind the substantial invariance of the DTA TLCF for the purposes of the impact on Common Equity Tier 1 Capital, given their regulatory treatment. The amount of DTA TLCF not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) related to UniCredit S.p.A. and referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. Deferred tax assets from temporary differences With particular reference to deferred tax assets due to temporary differences (€1,529 million booked before the offset against the corresponding deferred tax liabilities), the sustainability test caused the total sustainability of deferred tax assets due to temporary differences, of which: (i) €1,412 million recognised through Income statement and (ii) €117 million recognised through Net equity originated from transactions accrued to Net equity due to IFRS principles. Therefore, an impairment write-up of €170 million of which i) €163 million concerning Income statement and ii) €7 million concerning Net equity has been done. During the year deferred tax assets on Income statement have had an increase of €300 million due to the effects deriving from the sustainability test update for €1,327 million (of which €1,164 million concerning the increase of DTA for fiscal losses carry forward and €163 million concerning impairment DTA write-up on provisions and charges). The other changes are related to the normal dynamic of the tax assets against current taxes. 10.3 Deferred tax assets: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance 8,404 9,176 2. Increases 2,507 1,829 2.1 Deferred tax assets arisen during the year 1,830 1,328 a) Relating to previous years 76 161 b) Due to change in accounting criteria - - c) Write-backs 1,462 357 d) Other 292 810 2.2 New taxes or increases in tax rates - - 2.3 Other increases 677 501 3. Decreases 2,206 2,601 3.1 Deferred tax assets derecognised during the year 1,045 1,319 a) Reversals of temporary differences 852 422 b) Write-downs of non-recoverable items 38 713 c) Change in accounting criteria - - d) Other 155 184 3.2 Reduction in tax rates - - 3.3 Other decreases 1,161 1,282 a) Conversion into tax credit under Italian Law 214/2011 850 793 b) Other 311 489 4. Closing balance 8,705 8,404 For the portion of deferred tax assets arising from tax losses carried forward to subsequent years, please refer to the table 10.1 of these section of the Notes to the accounts. The sub-item “2.1 c) Write-backs” reports the effects of the recognition in the income statement of DTA TLCF arising from the results of the sustainability test; the sub-items “2.3 Other increases” and “3.3 Other decreases” b) Other” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amounts referring to the year 2020 of the sub-items “2.1 c) Write-backs” (€357 million) and “3.1 a) Reversals of temporary differences” (€422 million) have been restated, previously classified respectively under the item “2.1 d) Other” and "3.1 d) Other". Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 653 10.3bis Deferred tax assets (Italian Law 214/2011): annual changes (€ million) CHANGES IN 2021 2020 1. Opening balance 7,355 8,146 2. Increases - 2 3. Decreases 1,146 793 3.1 Reversals of temporary differences 296 - 3.2 Conversion into tax credits 850 793 a) Due to loss positions arisen from P&L 384 87 b) Due to tax losses 466 706 3.3 Other decreases - - 4. Closing balance 6,209 7,355 In accordance with the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), starting from 31 December 2018, the table shows the deferred tax asset annual changes of which L.214/2011 both equity balancing and income statement balancing. 10.4 Deferred tax liabilities: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance - - 2. Increases 44 59 2.1 Deferred tax liabilities arisen during the year 1 1 a) Relating to previous years - - b) Due to change in accounting criteria - - c) Other 1 1 2.2 New taxes or increases in tax rates - - 2.3 Other increases 43 58 3. Decreases 44 59 3.1 Deferred tax liabilities derecognised during the year 21 18 a) Reversals of temporary differences 9 18 b) Due to change in accounting criteria - - c) Other 12 - 3.2 Reduction in tax rates - - 3.3 Other decreases 23 41 4. Closing balance - - The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amount related to “3.1 a) Reversals of temporary differences” referring to the year 2020 (€18 million), previously classified under the item "3.1 c) Other", has been restated. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 653 10.3bis Deferred tax assets (Italian Law 214/2011): annual changes (€ million) CHANGES IN 2021 2020 1. Opening balance 7,355 8,146 2. Increases - 2 3. Decreases 1,146 793 3.1 Reversals of temporary differences 296 - 3.2 Conversion into tax credits 850 793 a) Due to loss positions arisen from P&L 384 87 b) Due to tax losses 466 706 3.3 Other decreases - - 4. Closing balance 6,209 7,355 In accordance with the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), starting from 31 December 2018, the table shows the deferred tax asset annual changes of which L.214/2011 both equity balancing and income statement balancing. 10.4 Deferred tax liabilities: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance - - 2. Increases 44 59 2.1 Deferred tax liabilities arisen during the year 1 1 a) Relating to previous years - - b) Due to change in accounting criteria - - c) Other 1 1 2.2 New taxes or increases in tax rates - - 2.3 Other increases 43 58 3. Decreases 44 59 3.1 Deferred tax liabilities derecognised during the year 21 18 a) Reversals of temporary differences 9 18 b) Due to change in accounting criteria - - c) Other 12 - 3.2 Reduction in tax rates - - 3.3 Other decreases 23 41 4. Closing balance - - The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amount related to “3.1 a) Reversals of temporary differences” referring to the year 2020 (€18 million), previously classified under the item "3.1 c) Other", has been restated. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 653 10.3bis Deferred tax assets (Italian Law 214/2011): annual changes (€ million) CHANGES IN 2021 2020 1. Opening balance 7,355 8,146 2. Increases - 2 3. Decreases 1,146 793 3.1 Reversals of temporary differences 296 - 3.2 Conversion into tax credits 850 793 a) Due to loss positions arisen from P&L 384 87 b) Due to tax losses 466 706 3.3 Other decreases - - 4. Closing balance 6,209 7,355 In accordance with the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), starting from 31 December 2018, the table shows the deferred tax asset annual changes of which L.214/2011 both equity balancing and income statement balancing. 10.4 Deferred tax liabilities: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance - - 2. Increases 44 59 2.1 Deferred tax liabilities arisen during the year 1 1 a) Relating to previous years - - b) Due to change in accounting criteria - - c) Other 1 1 2.2 New taxes or increases in tax rates - - 2.3 Other increases 43 58 3. Decreases 44 59 3.1 Deferred tax liabilities derecognised during the year 21 18 a) Reversals of temporary differences 9 18 b) Due to change in accounting criteria - - c) Other 12 - 3.2 Reduction in tax rates - - 3.3 Other decreases 23 41 4. Closing balance - - The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amount related to “3.1 a) Reversals of temporary differences” referring to the year 2020 (€18 million), previously classified under the item "3.1 c) Other", has been restated. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 653 10.3bis Deferred tax assets (Italian Law 214/2011): annual changes (€ million) CHANGES IN 2021 2020 1. Opening balance 7,355 8,146 2. Increases - 2 3. Decreases 1,146 793 3.1 Reversals of temporary differences 296 - 3.2 Conversion into tax credits 850 793 a) Due to loss positions arisen from P&L 384 87 b) Due to tax losses 466 706 3.3 Other decreases - - 4. Closing balance 6,209 7,355 In accordance with the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), starting from 31 December 2018, the table shows the deferred tax asset annual changes of which L.214/2011 both equity balancing and income statement balancing. 10.4 Deferred tax liabilities: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance - - 2. Increases 44 59 2.1 Deferred tax liabilities arisen during the year 1 1 a) Relating to previous years - - b) Due to change in accounting criteria - - c) Other 1 1 2.2 New taxes or increases in tax rates - - 2.3 Other increases 43 58 3. Decreases 44 59 3.1 Deferred tax liabilities derecognised during the year 21 18 a) Reversals of temporary differences 9 18 b) Due to change in accounting criteria - - c) Other 12 - 3.2 Reduction in tax rates - - 3.3 Other decreases 23 41 4. Closing balance - - The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amount related to “3.1 a) Reversals of temporary differences” referring to the year 2020 (€18 million), previously classified under the item "3.1 c) Other", has been restated. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 653 10.3bis Deferred tax assets (Italian Law 214/2011): annual changes (€ million) CHANGES IN 2021 2020 1. Opening balance 7,355 8,146 2. Increases - 2 3. Decreases 1,146 793 3.1 Reversals of temporary differences 296 - 3.2 Conversion into tax credits 850 793 a) Due to loss positions arisen from P&L 384 87 b) Due to tax losses 466 706 3.3 Other decreases - - 4. Closing balance 6,209 7,355 In accordance with the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), starting from 31 December 2018, the table shows the deferred tax asset annual changes of which L.214/2011 both equity balancing and income statement balancing. 10.4 Deferred tax liabilities: annual changes (balancing P&L) (€ million) CHANGES IN 2021 2020 1. Opening balance - - 2. Increases 44 59 2.1 Deferred tax liabilities arisen during the year 1 1 a) Relating to previous years - - b) Due to change in accounting criteria - - c) Other 1 1 2.2 New taxes or increases in tax rates - - 2.3 Other increases 43 58 3. Decreases 44 59 3.1 Deferred tax liabilities derecognised during the year 21 18 a) Reversals of temporary differences 9 18 b) Due to change in accounting criteria - - c) Other 12 - 3.2 Reduction in tax rates - - 3.3 Other decreases 23 41 4. Closing balance - - The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. For a homogeneous comparison the amount related to “3.1 a) Reversals of temporary differences” referring to the year 2020 (€18 million), previously classified under the item "3.1 c) Other", has been restated. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 654 2021 Annual Report and Accounts · UniCredit 10.5 Deferred tax assets: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 776 634 2. Increases 23 155 2.1 Deferred tax assets arisen during the year 23 44 a) Relating to previous years 2 - b) Due to change in accounting criteria - - c) Other 21 44 2.2 New taxes or increase in tax rates - - 2.3 Other increases - 111 3. Decreases 41 13 3.1 Deferred tax assets derecognised during the year 40 8 a) Reversals of temporary differences 38 3 b) Write-downs of non-recoverable items - 5 c) Due to change in accounting criteria - - d) Other 2 - 3.2 Reduction in tax rates - - 3.3 Other decreases 1 5 4. Closing balance 758 776 10.6 Deferred tax liabilities: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance - - 2. Increases 507 462 2.1 Deferred tax liabilities arisen during the year 52 70 a) Relating to previous years - - b) Due to change in accounting criteria - - c) Other 52 70 2.2 New taxes or increase in tax rates - - 2.3 Other increases 455 392 3. Decreases 507 462 3.1 Deferred tax liabilities derecognised during the year 219 14 a) Reversal of temporary differences 51 14 b) Due to change in accounting criteria - - c) Other 168 - 3.2 Reduction in tax rates - - 3.3 Other decreases 288 448 4. Closing balance - - The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 654 2021 Annual Report and Accounts · UniCredit 10.5 Deferred tax assets: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 776 634 2. Increases 23 155 2.1 Deferred tax assets arisen during the year 23 44 a) Relating to previous years 2 - b) Due to change in accounting criteria - - c) Other 21 44 2.2 New taxes or increase in tax rates - - 2.3 Other increases - 111 3. Decreases 41 13 3.1 Deferred tax assets derecognised during the year 40 8 a) Reversals of temporary differences 38 3 b) Write-downs of non-recoverable items - 5 c) Due to change in accounting criteria - - d) Other 2 - 3.2 Reduction in tax rates - - 3.3 Other decreases 1 5 4. Closing balance 758 776 10.6 Deferred tax liabilities: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance - - 2. Increases 507 462 2.1 Deferred tax liabilities arisen during the year 52 70 a) Relating to previous years - - b) Due to change in accounting criteria - - c) Other 52 70 2.2 New taxes or increase in tax rates - - 2.3 Other increases 455 392 3. Decreases 507 462 3.1 Deferred tax liabilities derecognised during the year 219 14 a) Reversal of temporary differences 51 14 b) Due to change in accounting criteria - - c) Other 168 - 3.2 Reduction in tax rates - - 3.3 Other decreases 288 448 4. Closing balance - - The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 654 2021 Annual Report and Accounts · UniCredit 10.5 Deferred tax assets: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 776 634 2. Increases 23 155 2.1 Deferred tax assets arisen during the year 23 44 a) Relating to previous years 2 - b) Due to change in accounting criteria - - c) Other 21 44 2.2 New taxes or increase in tax rates - - 2.3 Other increases - 111 3. Decreases 41 13 3.1 Deferred tax assets derecognised during the year 40 8 a) Reversals of temporary differences 38 3 b) Write-downs of non-recoverable items - 5 c) Due to change in accounting criteria - - d) Other 2 - 3.2 Reduction in tax rates - - 3.3 Other decreases 1 5 4. Closing balance 758 776 10.6 Deferred tax liabilities: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance - - 2. Increases 507 462 2.1 Deferred tax liabilities arisen during the year 52 70 a) Relating to previous years - - b) Due to change in accounting criteria - - c) Other 52 70 2.2 New taxes or increase in tax rates - - 2.3 Other increases 455 392 3. Decreases 507 462 3.1 Deferred tax liabilities derecognised during the year 219 14 a) Reversal of temporary differences 51 14 b) Due to change in accounting criteria - - c) Other 168 - 3.2 Reduction in tax rates - - 3.3 Other decreases 288 448 4. Closing balance - - The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 654 2021 Annual Report and Accounts · UniCredit 10.5 Deferred tax assets: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 776 634 2. Increases 23 155 2.1 Deferred tax assets arisen during the year 23 44 a) Relating to previous years 2 - b) Due to change in accounting criteria - - c) Other 21 44 2.2 New taxes or increase in tax rates - - 2.3 Other increases - 111 3. Decreases 41 13 3.1 Deferred tax assets derecognised during the year 40 8 a) Reversals of temporary differences 38 3 b) Write-downs of non-recoverable items - 5 c) Due to change in accounting criteria - - d) Other 2 - 3.2 Reduction in tax rates - - 3.3 Other decreases 1 5 4. Closing balance 758 776 10.6 Deferred tax liabilities: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance - - 2. Increases 507 462 2.1 Deferred tax liabilities arisen during the year 52 70 a) Relating to previous years - - b) Due to change in accounting criteria - - c) Other 52 70 2.2 New taxes or increase in tax rates - - 2.3 Other increases 455 392 3. Decreases 507 462 3.1 Deferred tax liabilities derecognised during the year 219 14 a) Reversal of temporary differences 51 14 b) Due to change in accounting criteria - - c) Other 168 - 3.2 Reduction in tax rates - - 3.3 Other decreases 288 448 4. Closing balance - - The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 654 2021 Annual Report and Accounts · UniCredit 10.5 Deferred tax assets: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance 776 634 2. Increases 23 155 2.1 Deferred tax assets arisen during the year 23 44 a) Relating to previous years 2 - b) Due to change in accounting criteria - - c) Other 21 44 2.2 New taxes or increase in tax rates - - 2.3 Other increases - 111 3. Decreases 41 13 3.1 Deferred tax assets derecognised during the year 40 8 a) Reversals of temporary differences 38 3 b) Write-downs of non-recoverable items - 5 c) Due to change in accounting criteria - - d) Other 2 - 3.2 Reduction in tax rates - - 3.3 Other decreases 1 5 4. Closing balance 758 776 10.6 Deferred tax liabilities: annual changes (balancing Net Equity) (€ million) CHANGES IN 2021 2020 1. Opening balance - - 2. Increases 507 462 2.1 Deferred tax liabilities arisen during the year 52 70 a) Relating to previous years - - b) Due to change in accounting criteria - - c) Other 52 70 2.2 New taxes or increase in tax rates - - 2.3 Other increases 455 392 3. Decreases 507 462 3.1 Deferred tax liabilities derecognised during the year 219 14 a) Reversal of temporary differences 51 14 b) Due to change in accounting criteria - - c) Other 168 - 3.2 Reduction in tax rates - - 3.3 Other decreases 288 448 4. Closing balance - - The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 655 10.7 Other information Italian group tax The Tax Group regime was introduced in Italy by Legislative Decree of 12 December 2003 No.344, that implemented the Italian corporate income tax (IRES) reform. The regime of national Tax Group is optional, with a duration bound for three financial years and certain conditions (controlling relationship, same operating period) to be met. The participation to the Tax Group regime allows the offsetting between taxable income and tax losses generated by the companies participating to such regime. For financial year 2021 the following legal entities adhered to the italian Tax Group with UniCredit S.p.A.: • UniCredit Factoring S.p.A. - Milan; • UniCredit Leasing S.p.A.- Milan; • Cordusio Fiduciaria S.p.A.- Milan; • UniCredit Services (ex UniCredit Business Integrated Solutions S.C.p.A) S.C.p.A.- Milan; • Cordusio SIM S.p.A.- Milan; • UniCredit Bank AG - Milan Branch; • UniCredit Leased Asset Management S.p.A. Deferred tax assets due to tax losses carried forward Considering the italian tax group perimeter the financial year 2021 closed with an income amount equal to €181 million. Tax due on income is equal to 43 million, this amount has been reduced to zero due to tax credits of €13 million and residual tax losses of €30 million. The IRES amount of the residual tax losses carried forward is equal to €3,914 million of which €3,153 million deriving from accounting items originated in the Income statement and €761 million from Net equity components. Following the sustainability test an additional amount of deferred tax assets limited to €1,164 million can be registered. Therefore, the amount of deferred tax assets arising from tax losses booked is equal to €1,842 million of which €1,201 million deriving from accounting items originated in the Income statement and €641 million from Net equity components. The amount of deferred tax assets arising from tax losses not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) related to UniCredit S.p.A. and referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. In respect of foreign branches, relevant tax losses not utilised are equal to €8,782 million, due to start-up expenses or other operating costs. However, these are tax losses that can only be used against the taxable income at the level of permanent establishment of Wien and of each single branch for taxes due in the relevant country of establishment. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 655 10.7 Other information Italian group tax The Tax Group regime was introduced in Italy by Legislative Decree of 12 December 2003 No.344, that implemented the Italian corporate income tax (IRES) reform. The regime of national Tax Group is optional, with a duration bound for three financial years and certain conditions (controlling relationship, same operating period) to be met. The participation to the Tax Group regime allows the offsetting between taxable income and tax losses generated by the companies participating to such regime. For financial year 2021 the following legal entities adhered to the italian Tax Group with UniCredit S.p.A.: • UniCredit Factoring S.p.A. - Milan; • UniCredit Leasing S.p.A.- Milan; • Cordusio Fiduciaria S.p.A.- Milan; • UniCredit Services (ex UniCredit Business Integrated Solutions S.C.p.A) S.C.p.A.- Milan; • Cordusio SIM S.p.A.- Milan; • UniCredit Bank AG - Milan Branch; • UniCredit Leased Asset Management S.p.A. Deferred tax assets due to tax losses carried forward Considering the italian tax group perimeter the financial year 2021 closed with an income amount equal to €181 million. Tax due on income is equal to 43 million, this amount has been reduced to zero due to tax credits of €13 million and residual tax losses of €30 million. The IRES amount of the residual tax losses carried forward is equal to €3,914 million of which €3,153 million deriving from accounting items originated in the Income statement and €761 million from Net equity components. Following the sustainability test an additional amount of deferred tax assets limited to €1,164 million can be registered. Therefore, the amount of deferred tax assets arising from tax losses booked is equal to €1,842 million of which €1,201 million deriving from accounting items originated in the Income statement and €641 million from Net equity components. The amount of deferred tax assets arising from tax losses not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) related to UniCredit S.p.A. and referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. In respect of foreign branches, relevant tax losses not utilised are equal to €8,782 million, due to start-up expenses or other operating costs. However, these are tax losses that can only be used against the taxable income at the level of permanent establishment of Wien and of each single branch for taxes due in the relevant country of establishment. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 655 10.7 Other information Italian group tax The Tax Group regime was introduced in Italy by Legislative Decree of 12 December 2003 No.344, that implemented the Italian corporate income tax (IRES) reform. The regime of national Tax Group is optional, with a duration bound for three financial years and certain conditions (controlling relationship, same operating period) to be met. The participation to the Tax Group regime allows the offsetting between taxable income and tax losses generated by the companies participating to such regime. For financial year 2021 the following legal entities adhered to the italian Tax Group with UniCredit S.p.A.: • UniCredit Factoring S.p.A. - Milan; • UniCredit Leasing S.p.A.- Milan; • Cordusio Fiduciaria S.p.A.- Milan; • UniCredit Services (ex UniCredit Business Integrated Solutions S.C.p.A) S.C.p.A.- Milan; • Cordusio SIM S.p.A.- Milan; • UniCredit Bank AG - Milan Branch; • UniCredit Leased Asset Management S.p.A. Deferred tax assets due to tax losses carried forward Considering the italian tax group perimeter the financial year 2021 closed with an income amount equal to €181 million. Tax due on income is equal to 43 million, this amount has been reduced to zero due to tax credits of €13 million and residual tax losses of €30 million. The IRES amount of the residual tax losses carried forward is equal to €3,914 million of which €3,153 million deriving from accounting items originated in the Income statement and €761 million from Net equity components. Following the sustainability test an additional amount of deferred tax assets limited to €1,164 million can be registered. Therefore, the amount of deferred tax assets arising from tax losses booked is equal to €1,842 million of which €1,201 million deriving from accounting items originated in the Income statement and €641 million from Net equity components. The amount of deferred tax assets arising from tax losses not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) related to UniCredit S.p.A. and referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. In respect of foreign branches, relevant tax losses not utilised are equal to €8,782 million, due to start-up expenses or other operating costs. However, these are tax losses that can only be used against the taxable income at the level of permanent establishment of Wien and of each single branch for taxes due in the relevant country of establishment. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 655 10.7 Other information Italian group tax The Tax Group regime was introduced in Italy by Legislative Decree of 12 December 2003 No.344, that implemented the Italian corporate income tax (IRES) reform. The regime of national Tax Group is optional, with a duration bound for three financial years and certain conditions (controlling relationship, same operating period) to be met. The participation to the Tax Group regime allows the offsetting between taxable income and tax losses generated by the companies participating to such regime. For financial year 2021 the following legal entities adhered to the italian Tax Group with UniCredit S.p.A.: • UniCredit Factoring S.p.A. - Milan; • UniCredit Leasing S.p.A.- Milan; • Cordusio Fiduciaria S.p.A.- Milan; • UniCredit Services (ex UniCredit Business Integrated Solutions S.C.p.A) S.C.p.A.- Milan; • Cordusio SIM S.p.A.- Milan; • UniCredit Bank AG - Milan Branch; • UniCredit Leased Asset Management S.p.A. Deferred tax assets due to tax losses carried forward Considering the italian tax group perimeter the financial year 2021 closed with an income amount equal to €181 million. Tax due on income is equal to 43 million, this amount has been reduced to zero due to tax credits of €13 million and residual tax losses of €30 million. The IRES amount of the residual tax losses carried forward is equal to €3,914 million of which €3,153 million deriving from accounting items originated in the Income statement and €761 million from Net equity components. Following the sustainability test an additional amount of deferred tax assets limited to €1,164 million can be registered. Therefore, the amount of deferred tax assets arising from tax losses booked is equal to €1,842 million of which €1,201 million deriving from accounting items originated in the Income statement and €641 million from Net equity components. The amount of deferred tax assets arising from tax losses not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) related to UniCredit S.p.A. and referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. In respect of foreign branches, relevant tax losses not utilised are equal to €8,782 million, due to start-up expenses or other operating costs. However, these are tax losses that can only be used against the taxable income at the level of permanent establishment of Wien and of each single branch for taxes due in the relevant country of establishment. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 655 10.7 Other information Italian group tax The Tax Group regime was introduced in Italy by Legislative Decree of 12 December 2003 No.344, that implemented the Italian corporate income tax (IRES) reform. The regime of national Tax Group is optional, with a duration bound for three financial years and certain conditions (controlling relationship, same operating period) to be met. The participation to the Tax Group regime allows the offsetting between taxable income and tax losses generated by the companies participating to such regime. For financial year 2021 the following legal entities adhered to the italian Tax Group with UniCredit S.p.A.: • UniCredit Factoring S.p.A. - Milan; • UniCredit Leasing S.p.A.- Milan; • Cordusio Fiduciaria S.p.A.- Milan; • UniCredit Services (ex UniCredit Business Integrated Solutions S.C.p.A) S.C.p.A.- Milan; • Cordusio SIM S.p.A.- Milan; • UniCredit Bank AG - Milan Branch; • UniCredit Leased Asset Management S.p.A. Deferred tax assets due to tax losses carried forward Considering the italian tax group perimeter the financial year 2021 closed with an income amount equal to €181 million. Tax due on income is equal to 43 million, this amount has been reduced to zero due to tax credits of €13 million and residual tax losses of €30 million. The IRES amount of the residual tax losses carried forward is equal to €3,914 million of which €3,153 million deriving from accounting items originated in the Income statement and €761 million from Net equity components. Following the sustainability test an additional amount of deferred tax assets limited to €1,164 million can be registered. Therefore, the amount of deferred tax assets arising from tax losses booked is equal to €1,842 million of which €1,201 million deriving from accounting items originated in the Income statement and €641 million from Net equity components. The amount of deferred tax assets arising from tax losses not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) related to UniCredit S.p.A. and referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. In respect of foreign branches, relevant tax losses not utilised are equal to €8,782 million, due to start-up expenses or other operating costs. However, these are tax losses that can only be used against the taxable income at the level of permanent establishment of Wien and of each single branch for taxes due in the relevant country of establishment. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 656 2021 Annual Report and Accounts · UniCredit Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 110 (Assets) and Item 70 (Liabilities) 11.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Assets held for sale A.1 Financial assets 1,514 203 A.2 Equity investments 383 35 A.3 Property, plant and equipment 12 17 of which: obtained by the enforcement of collateral - - A.4 Intangible assets - - A.5 Other non-current assets - - Total (A) 1,909 255 of which: carried at cost 1,897 238 of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 12 17 of which: designated at fair value - level 3 - - B. Discontinued operations B.1 Financial assets at fair value through profit or loss - - - Financial assets held for trading - - - Financial assets designated at fair value - - - Other financial assets mandatorily at fair value - - B.2 Financial assets at fair value through other comprehensive income - - B.3 Financial assets at amortised cost - - B.4 Equity investments - - B.5 Property, plant and equipment - - of which: obtained by the enforcement of collateral - - B.6 Intangible assets - - B.7 Other assets - - Total (B) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - C. Liabilities associated with assets classified as held for sale C.1 Deposits - - C.2 Securities - - C.3 Other liabilities - - Total (C) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - D. Liabilities associated with discontinued operations D.1 Financial liabilities at amortised cost - - D.2 Financial liabilities held for trading - - D.3 Financial liabilities designated at fair value - - D.4 Provisions - - D.5 Other liabilities - - Total (D) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - Sub-item “A.1 Financial assets” mainly includes performing loans that will be sold in the first months of 2022. Sub-item “A.2 Equity investments” is composed by stakes into UniCredit Leasing S.p.A. (€370 million) and in Risanamento S.p.A. (€13 million). As at December 2020 also stakes into Sia UniCredit Leasing and Capital Dev S.p.A. were included, then sold during 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 656 2021 Annual Report and Accounts · UniCredit Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 110 (Assets) and Item 70 (Liabilities) 11.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Assets held for sale A.1 Financial assets 1,514 203 A.2 Equity investments 383 35 A.3 Property, plant and equipment 12 17 of which: obtained by the enforcement of collateral - - A.4 Intangible assets - - A.5 Other non-current assets - - Total (A) 1,909 255 of which: carried at cost 1,897 238 of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 12 17 of which: designated at fair value - level 3 - - B. Discontinued operations B.1 Financial assets at fair value through profit or loss - - - Financial assets held for trading - - - Financial assets designated at fair value - - - Other financial assets mandatorily at fair value - - B.2 Financial assets at fair value through other comprehensive income - - B.3 Financial assets at amortised cost - - B.4 Equity investments - - B.5 Property, plant and equipment - - of which: obtained by the enforcement of collateral - - B.6 Intangible assets - - B.7 Other assets - - Total (B) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - C. Liabilities associated with assets classified as held for sale C.1 Deposits - - C.2 Securities - - C.3 Other liabilities - - Total (C) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - D. Liabilities associated with discontinued operations D.1 Financial liabilities at amortised cost - - D.2 Financial liabilities held for trading - - D.3 Financial liabilities designated at fair value - - D.4 Provisions - - D.5 Other liabilities - - Total (D) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - Sub-item “A.1 Financial assets” mainly includes performing loans that will be sold in the first months of 2022. Sub-item “A.2 Equity investments” is composed by stakes into UniCredit Leasing S.p.A. (€370 million) and in Risanamento S.p.A. (€13 million). As at December 2020 also stakes into Sia UniCredit Leasing and Capital Dev S.p.A. were included, then sold during 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 656 2021 Annual Report and Accounts · UniCredit Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 110 (Assets) and Item 70 (Liabilities) 11.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Assets held for sale A.1 Financial assets 1,514 203 A.2 Equity investments 383 35 A.3 Property, plant and equipment 12 17 of which: obtained by the enforcement of collateral - - A.4 Intangible assets - - A.5 Other non-current assets - - Total (A) 1,909 255 of which: carried at cost 1,897 238 of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 12 17 of which: designated at fair value - level 3 - - B. Discontinued operations B.1 Financial assets at fair value through profit or loss - - - Financial assets held for trading - - - Financial assets designated at fair value - - - Other financial assets mandatorily at fair value - - B.2 Financial assets at fair value through other comprehensive income - - B.3 Financial assets at amortised cost - - B.4 Equity investments - - B.5 Property, plant and equipment - - of which: obtained by the enforcement of collateral - - B.6 Intangible assets - - B.7 Other assets - - Total (B) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - C. Liabilities associated with assets classified as held for sale C.1 Deposits - - C.2 Securities - - C.3 Other liabilities - - Total (C) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - D. Liabilities associated with discontinued operations D.1 Financial liabilities at amortised cost - - D.2 Financial liabilities held for trading - - D.3 Financial liabilities designated at fair value - - D.4 Provisions - - D.5 Other liabilities - - Total (D) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - Sub-item “A.1 Financial assets” mainly includes performing loans that will be sold in the first months of 2022. Sub-item “A.2 Equity investments” is composed by stakes into UniCredit Leasing S.p.A. (€370 million) and in Risanamento S.p.A. (€13 million). As at December 2020 also stakes into Sia UniCredit Leasing and Capital Dev S.p.A. were included, then sold during 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 656 2021 Annual Report and Accounts · UniCredit Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 110 (Assets) and Item 70 (Liabilities) 11.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Assets held for sale A.1 Financial assets 1,514 203 A.2 Equity investments 383 35 A.3 Property, plant and equipment 12 17 of which: obtained by the enforcement of collateral - - A.4 Intangible assets - - A.5 Other non-current assets - - Total (A) 1,909 255 of which: carried at cost 1,897 238 of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 12 17 of which: designated at fair value - level 3 - - B. Discontinued operations B.1 Financial assets at fair value through profit or loss - - - Financial assets held for trading - - - Financial assets designated at fair value - - - Other financial assets mandatorily at fair value - - B.2 Financial assets at fair value through other comprehensive income - - B.3 Financial assets at amortised cost - - B.4 Equity investments - - B.5 Property, plant and equipment - - of which: obtained by the enforcement of collateral - - B.6 Intangible assets - - B.7 Other assets - - Total (B) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - C. Liabilities associated with assets classified as held for sale C.1 Deposits - - C.2 Securities - - C.3 Other liabilities - - Total (C) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - D. Liabilities associated with discontinued operations D.1 Financial liabilities at amortised cost - - D.2 Financial liabilities held for trading - - D.3 Financial liabilities designated at fair value - - D.4 Provisions - - D.5 Other liabilities - - Total (D) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - Sub-item “A.1 Financial assets” mainly includes performing loans that will be sold in the first months of 2022. Sub-item “A.2 Equity investments” is composed by stakes into UniCredit Leasing S.p.A. (€370 million) and in Risanamento S.p.A. (€13 million). As at December 2020 also stakes into Sia UniCredit Leasing and Capital Dev S.p.A. were included, then sold during 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 656 2021 Annual Report and Accounts · UniCredit Section 11 - Non-current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale - Item 110 (Assets) and Item 70 (Liabilities) 11.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 A. Assets held for sale A.1 Financial assets 1,514 203 A.2 Equity investments 383 35 A.3 Property, plant and equipment 12 17 of which: obtained by the enforcement of collateral - - A.4 Intangible assets - - A.5 Other non-current assets - - Total (A) 1,909 255 of which: carried at cost 1,897 238 of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 12 17 of which: designated at fair value - level 3 - - B. Discontinued operations B.1 Financial assets at fair value through profit or loss - - - Financial assets held for trading - - - Financial assets designated at fair value - - - Other financial assets mandatorily at fair value - - B.2 Financial assets at fair value through other comprehensive income - - B.3 Financial assets at amortised cost - - B.4 Equity investments - - B.5 Property, plant and equipment - - of which: obtained by the enforcement of collateral - - B.6 Intangible assets - - B.7 Other assets - - Total (B) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - C. Liabilities associated with assets classified as held for sale C.1 Deposits - - C.2 Securities - - C.3 Other liabilities - - Total (C) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - D. Liabilities associated with discontinued operations D.1 Financial liabilities at amortised cost - - D.2 Financial liabilities held for trading - - D.3 Financial liabilities designated at fair value - - D.4 Provisions - - D.5 Other liabilities - - Total (D) - - of which: carried at cost - - of which: designated at fair value - level 1 - - of which: designated at fair value - level 2 - - of which: designated at fair value - level 3 - - Sub-item “A.1 Financial assets” mainly includes performing loans that will be sold in the first months of 2022. Sub-item “A.2 Equity investments” is composed by stakes into UniCredit Leasing S.p.A. (€370 million) and in Risanamento S.p.A. (€13 million). As at December 2020 also stakes into Sia UniCredit Leasing and Capital Dev S.p.A. were included, then sold during 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 657 Section 12 - Other assets - Item 120 12.1 Other assets: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Margin with derivatives clearers (non-interest bearing) - - Gold, silver and precious metals 52 73 Accrued income and prepaid expenses other than capitalised income 252 232 Positive value of management agreements (so-called servicing assets) - - Cash and other valuables held by cashier 125 127 - Current account cheques being settled, drawn on third parties 125 127 - Current account cheques payable by group banks, cleared and in the process of being debited - - - Money orders, bank drafts and equivalent securities - - - Coupons, securities due on demand, revenue stamps and miscellaneous valuables - - Interest and changes to be debited to - - - Customers - - - Banks - - Items in transit between branches not yet allocated to destination accounts 10 - Items in processing 128 227 Items deemed definitive but not-attributable to other items 1,364 1,107 - Securities and coupons to be settled 48 50 - Other transactions 1,316 1,057 Adjustments for unpaid bills and notes 4 4 Tax items other than those included in item 110 1,432 1,297 Commercial credits pursuant to IFRS15 47 60 Other items 423 548 Total 3,837 3,675 It should be noted that, as at 31 December 2021, into the item "Gold, silver and precious metals" are recognised, at their fair value of €52 million, the precious stones (diamonds) repurchased from customers within the "customer care" initiative promoted by the Bank regarding this topic. For a homogeneous comparison the corresponding figure at 31 December 2020 (€73 million), previously classified under the item "Other items", has been restated. Referring to item “Commercial credits pursuant to IFRS15” figure at 31 December 2020 (€60 million), previously classified under the item "Other items", has been restated. Item “Accrued income and prepaid expenses other than capitalised income” includes the contract assets recognised in accordance with IFRS15. In this context accrued income represents the portion of the performance obligation already satisfied through the services provided by the Bank and that will be settled in the future periods in accordance with contractual provisions. The aggregate amount of revenues from services to customers related to the portion of performance obligations not yet satisfied, and therefore not represented in the table above, is of a non-material amount and relates to performance obligations expected to be satisfied by the following year end reporting date. It should be noted that during the period there have not been significant changes in the accrued income and prepaid expenses not included in the carrying amount of the relevant financial assets. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 657 Section 12 - Other assets - Item 120 12.1 Other assets: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Margin with derivatives clearers (non-interest bearing) - - Gold, silver and precious metals 52 73 Accrued income and prepaid expenses other than capitalised income 252 232 Positive value of management agreements (so-called servicing assets) - - Cash and other valuables held by cashier 125 127 - Current account cheques being settled, drawn on third parties 125 127 - Current account cheques payable by group banks, cleared and in the process of being debited - - - Money orders, bank drafts and equivalent securities - - - Coupons, securities due on demand, revenue stamps and miscellaneous valuables - - Interest and changes to be debited to - - - Customers - - - Banks - - Items in transit between branches not yet allocated to destination accounts 10 - Items in processing 128 227 Items deemed definitive but not-attributable to other items 1,364 1,107 - Securities and coupons to be settled 48 50 - Other transactions 1,316 1,057 Adjustments for unpaid bills and notes 4 4 Tax items other than those included in item 110 1,432 1,297 Commercial credits pursuant to IFRS15 47 60 Other items 423 548 Total 3,837 3,675 It should be noted that, as at 31 December 2021, into the item "Gold, silver and precious metals" are recognised, at their fair value of €52 million, the precious stones (diamonds) repurchased from customers within the "customer care" initiative promoted by the Bank regarding this topic. For a homogeneous comparison the corresponding figure at 31 December 2020 (€73 million), previously classified under the item "Other items", has been restated. Referring to item “Commercial credits pursuant to IFRS15” figure at 31 December 2020 (€60 million), previously classified under the item "Other items", has been restated. Item “Accrued income and prepaid expenses other than capitalised income” includes the contract assets recognised in accordance with IFRS15. In this context accrued income represents the portion of the performance obligation already satisfied through the services provided by the Bank and that will be settled in the future periods in accordance with contractual provisions. The aggregate amount of revenues from services to customers related to the portion of performance obligations not yet satisfied, and therefore not represented in the table above, is of a non-material amount and relates to performance obligations expected to be satisfied by the following year end reporting date. It should be noted that during the period there have not been significant changes in the accrued income and prepaid expenses not included in the carrying amount of the relevant financial assets. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 657 Section 12 - Other assets - Item 120 12.1 Other assets: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Margin with derivatives clearers (non-interest bearing) - - Gold, silver and precious metals 52 73 Accrued income and prepaid expenses other than capitalised income 252 232 Positive value of management agreements (so-called servicing assets) - - Cash and other valuables held by cashier 125 127 - Current account cheques being settled, drawn on third parties 125 127 - Current account cheques payable by group banks, cleared and in the process of being debited - - - Money orders, bank drafts and equivalent securities - - - Coupons, securities due on demand, revenue stamps and miscellaneous valuables - - Interest and changes to be debited to - - - Customers - - - Banks - - Items in transit between branches not yet allocated to destination accounts 10 - Items in processing 128 227 Items deemed definitive but not-attributable to other items 1,364 1,107 - Securities and coupons to be settled 48 50 - Other transactions 1,316 1,057 Adjustments for unpaid bills and notes 4 4 Tax items other than those included in item 110 1,432 1,297 Commercial credits pursuant to IFRS15 47 60 Other items 423 548 Total 3,837 3,675 It should be noted that, as at 31 December 2021, into the item "Gold, silver and precious metals" are recognised, at their fair value of €52 million, the precious stones (diamonds) repurchased from customers within the "customer care" initiative promoted by the Bank regarding this topic. For a homogeneous comparison the corresponding figure at 31 December 2020 (€73 million), previously classified under the item "Other items", has been restated. Referring to item “Commercial credits pursuant to IFRS15” figure at 31 December 2020 (€60 million), previously classified under the item "Other items", has been restated. Item “Accrued income and prepaid expenses other than capitalised income” includes the contract assets recognised in accordance with IFRS15. In this context accrued income represents the portion of the performance obligation already satisfied through the services provided by the Bank and that will be settled in the future periods in accordance with contractual provisions. The aggregate amount of revenues from services to customers related to the portion of performance obligations not yet satisfied, and therefore not represented in the table above, is of a non-material amount and relates to performance obligations expected to be satisfied by the following year end reporting date. It should be noted that during the period there have not been significant changes in the accrued income and prepaid expenses not included in the carrying amount of the relevant financial assets. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 657 Section 12 - Other assets - Item 120 12.1 Other assets: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Margin with derivatives clearers (non-interest bearing) - - Gold, silver and precious metals 52 73 Accrued income and prepaid expenses other than capitalised income 252 232 Positive value of management agreements (so-called servicing assets) - - Cash and other valuables held by cashier 125 127 - Current account cheques being settled, drawn on third parties 125 127 - Current account cheques payable by group banks, cleared and in the process of being debited - - - Money orders, bank drafts and equivalent securities - - - Coupons, securities due on demand, revenue stamps and miscellaneous valuables - - Interest and changes to be debited to - - - Customers - - - Banks - - Items in transit between branches not yet allocated to destination accounts 10 - Items in processing 128 227 Items deemed definitive but not-attributable to other items 1,364 1,107 - Securities and coupons to be settled 48 50 - Other transactions 1,316 1,057 Adjustments for unpaid bills and notes 4 4 Tax items other than those included in item 110 1,432 1,297 Commercial credits pursuant to IFRS15 47 60 Other items 423 548 Total 3,837 3,675 It should be noted that, as at 31 December 2021, into the item "Gold, silver and precious metals" are recognised, at their fair value of €52 million, the precious stones (diamonds) repurchased from customers within the "customer care" initiative promoted by the Bank regarding this topic. For a homogeneous comparison the corresponding figure at 31 December 2020 (€73 million), previously classified under the item "Other items", has been restated. Referring to item “Commercial credits pursuant to IFRS15” figure at 31 December 2020 (€60 million), previously classified under the item "Other items", has been restated. Item “Accrued income and prepaid expenses other than capitalised income” includes the contract assets recognised in accordance with IFRS15. In this context accrued income represents the portion of the performance obligation already satisfied through the services provided by the Bank and that will be settled in the future periods in accordance with contractual provisions. The aggregate amount of revenues from services to customers related to the portion of performance obligations not yet satisfied, and therefore not represented in the table above, is of a non-material amount and relates to performance obligations expected to be satisfied by the following year end reporting date. It should be noted that during the period there have not been significant changes in the accrued income and prepaid expenses not included in the carrying amount of the relevant financial assets. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets UniCredit · 2021 Annual Report and Accounts 657 Section 12 - Other assets - Item 120 12.1 Other assets: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Margin with derivatives clearers (non-interest bearing) - - Gold, silver and precious metals 52 73 Accrued income and prepaid expenses other than capitalised income 252 232 Positive value of management agreements (so-called servicing assets) - - Cash and other valuables held by cashier 125 127 - Current account cheques being settled, drawn on third parties 125 127 - Current account cheques payable by group banks, cleared and in the process of being debited - - - Money orders, bank drafts and equivalent securities - - - Coupons, securities due on demand, revenue stamps and miscellaneous valuables - - Interest and changes to be debited to - - - Customers - - - Banks - - Items in transit between branches not yet allocated to destination accounts 10 - Items in processing 128 227 Items deemed definitive but not-attributable to other items 1,364 1,107 - Securities and coupons to be settled 48 50 - Other transactions 1,316 1,057 Adjustments for unpaid bills and notes 4 4 Tax items other than those included in item 110 1,432 1,297 Commercial credits pursuant to IFRS15 47 60 Other items 423 548 Total 3,837 3,675 It should be noted that, as at 31 December 2021, into the item "Gold, silver and precious metals" are recognised, at their fair value of €52 million, the precious stones (diamonds) repurchased from customers within the "customer care" initiative promoted by the Bank regarding this topic. For a homogeneous comparison the corresponding figure at 31 December 2020 (€73 million), previously classified under the item "Other items", has been restated. Referring to item “Commercial credits pursuant to IFRS15” figure at 31 December 2020 (€60 million), previously classified under the item "Other items", has been restated. Item “Accrued income and prepaid expenses other than capitalised income” includes the contract assets recognised in accordance with IFRS15. In this context accrued income represents the portion of the performance obligation already satisfied through the services provided by the Bank and that will be settled in the future periods in accordance with contractual provisions. The aggregate amount of revenues from services to customers related to the portion of performance obligations not yet satisfied, and therefore not represented in the table above, is of a non-material amount and relates to performance obligations expected to be satisfied by the following year end reporting date. It should be noted that during the period there have not been significant changes in the accrued income and prepaid expenses not included in the carrying amount of the relevant financial assets. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 658 2021 Annual Report and Accounts · UniCredit Periodic change of accrued income/expenses and prepaid expenses/income (€ million) AMOUNTS AS AT 12.31.2021 ACCRUED INCOME AND PREPAID EXPENSES ACCRUED EXPENSES AND DEFERRED INCOME Opening balance 232 143 Increases 40 21 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) - - c) Reversal of impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - - e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 40 21 Decreases 20 9 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) - - c) Impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - - e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 20 9 Closing balance 252 155 Note that the item “f) other” include (i) the deferral of income and expenses related to performance obligation that have already been paid but not yet satisfied as well as the recognition in P&L of the amount previously deferred in accordance with the progressive satisfaction of the performance obligation and (ii) the accrual in P&L of the amounts due as a result of the satisfaction of a performance obligation for which the payment is contractually postponed as well as their subsequent settlement. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 658 2021 Annual Report and Accounts · UniCredit Periodic change of accrued income/expenses and prepaid expenses/income (€ million) AMOUNTS AS AT 12.31.2021 ACCRUED INCOME AND PREPAID EXPENSES ACCRUED EXPENSES AND DEFERRED INCOME Opening balance 232 143 Increases 40 21 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) - - c) Reversal of impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - - e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 40 21 Decreases 20 9 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) - - c) Impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - - e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 20 9 Closing balance 252 155 Note that the item “f) other” include (i) the deferral of income and expenses related to performance obligation that have already been paid but not yet satisfied as well as the recognition in P&L of the amount previously deferred in accordance with the progressive satisfaction of the performance obligation and (ii) the accrual in P&L of the amounts due as a result of the satisfaction of a performance obligation for which the payment is contractually postponed as well as their subsequent settlement. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 658 2021 Annual Report and Accounts · UniCredit Periodic change of accrued income/expenses and prepaid expenses/income (€ million) AMOUNTS AS AT 12.31.2021 ACCRUED INCOME AND PREPAID EXPENSES ACCRUED EXPENSES AND DEFERRED INCOME Opening balance 232 143 Increases 40 21 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) - - c) Reversal of impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - - e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 40 21 Decreases 20 9 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) - - c) Impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - - e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 20 9 Closing balance 252 155 Note that the item “f) other” include (i) the deferral of income and expenses related to performance obligation that have already been paid but not yet satisfied as well as the recognition in P&L of the amount previously deferred in accordance with the progressive satisfaction of the performance obligation and (ii) the accrual in P&L of the amounts due as a result of the satisfaction of a performance obligation for which the payment is contractually postponed as well as their subsequent settlement. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 658 2021 Annual Report and Accounts · UniCredit Periodic change of accrued income/expenses and prepaid expenses/income (€ million) AMOUNTS AS AT 12.31.2021 ACCRUED INCOME AND PREPAID EXPENSES ACCRUED EXPENSES AND DEFERRED INCOME Opening balance 232 143 Increases 40 21 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) - - c) Reversal of impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - - e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 40 21 Decreases 20 9 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) - - c) Impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - - e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 20 9 Closing balance 252 155 Note that the item “f) other” include (i) the deferral of income and expenses related to performance obligation that have already been paid but not yet satisfied as well as the recognition in P&L of the amount previously deferred in accordance with the progressive satisfaction of the performance obligation and (ii) the accrual in P&L of the amounts due as a result of the satisfaction of a performance obligation for which the payment is contractually postponed as well as their subsequent settlement. Company financial statements | Notes to the accounts Part B - Balance sheet - Assets 658 2021 Annual Report and Accounts · UniCredit Periodic change of accrued income/expenses and prepaid expenses/income (€ million) AMOUNTS AS AT 12.31.2021 ACCRUED INCOME AND PREPAID EXPENSES ACCRUED EXPENSES AND DEFERRED INCOME Opening balance 232 143 Increases 40 21 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) - - c) Reversal of impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - - e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 40 21 Decreases 20 9 a) Changes due to business combinations - - b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract liability, including adjustments arising from a change in the measure of progress, a change in an estimate of the transaction price (including any changes in the assessment of whether an estimate of variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b) - - c) Impairment of a contract asset (IFRS15 Par. 118.c) - X d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset to be reclassified to a receivable) (IFRS15 Par. 118.d) - - e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue arising from a contract liability (IFRS15 Par. 118.e) - - f) Other 20 9 Closing balance 252 155 Note that the item “f) other” include (i) the deferral of income and expenses related to performance obligation that have already been paid but not yet satisfied as well as the recognition in P&L of the amount previously deferred in accordance with the progressive satisfaction of the performance obligation and (ii) the accrual in P&L of the amounts due as a result of the satisfaction of a performance obligation for which the payment is contractually postponed as well as their subsequent settlement. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 659 Liabilities Section 1 - Financial liabilities at amortised cost - Item 10 1.1 Financial liabilities at amortised cost: breakdown by product of deposits from banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from central banks 56,844 X X X 51,567 X X X 2. Deposits from banks 29,421 X X X 37,719 X X X 2.1 Current accounts and demand deposits 3,806 X X X 2,455 X X X 2.2 Time deposits 4,294 X X X 5,598 X X X 2.3 Loans 21,299 X X X 29,646 X X X 2.3.1 Repos 18,790 X X X 26,648 X X X 2.3.2 Other 2,509 X X X 2,998 X X X 2.4 Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 2.5 Lease deposits 7 X X X 7 X X X 2.6 Other deposits 15 X X X 13 X X X Total 86,265 - 78,783 7,492 89,286 - 26,654 62,637 Total Level 1, Level 2 and Level 3 86,275 89,291 “Deposits from central banks” include TLTRO III facilities for €56 billion, of which €5 billion subscribed in March 2021 and €51 billion already existing at December 2020. Deposits from banks are not carried based at their fair value, which is only shown in order to meet disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model. 1.2 Financial liabilities at amortised cost: breakdown by product of deposits from customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTION/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Current accounts and demand deposits 198,332 X X X 188,449 X X X 2. Time deposits 583 X X X 842 X X X 3. Loans 22,807 X X X 26,743 X X X 3.1 Repos 21,815 X X X 25,859 X X X 3.2 Other 992 X X X 884 X X X 4. Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 5. Lease deposits 1,067 X X X 1,204 X X X 6. Other deposits 3,239 X X X 3,683 X X X Total 226,028 - 22,180 203,866 220,921 - 26,162 194,652 Total Level 1, Level 2 and Level 3 226,046 220,814 Deposits from customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 659 Liabilities Section 1 - Financial liabilities at amortised cost - Item 10 1.1 Financial liabilities at amortised cost: breakdown by product of deposits from banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from central banks 56,844 X X X 51,567 X X X 2. Deposits from banks 29,421 X X X 37,719 X X X 2.1 Current accounts and demand deposits 3,806 X X X 2,455 X X X 2.2 Time deposits 4,294 X X X 5,598 X X X 2.3 Loans 21,299 X X X 29,646 X X X 2.3.1 Repos 18,790 X X X 26,648 X X X 2.3.2 Other 2,509 X X X 2,998 X X X 2.4 Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 2.5 Lease deposits 7 X X X 7 X X X 2.6 Other deposits 15 X X X 13 X X X Total 86,265 - 78,783 7,492 89,286 - 26,654 62,637 Total Level 1, Level 2 and Level 3 86,275 89,291 “Deposits from central banks” include TLTRO III facilities for €56 billion, of which €5 billion subscribed in March 2021 and €51 billion already existing at December 2020. Deposits from banks are not carried based at their fair value, which is only shown in order to meet disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model. 1.2 Financial liabilities at amortised cost: breakdown by product of deposits from customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTION/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Current accounts and demand deposits 198,332 X X X 188,449 X X X 2. Time deposits 583 X X X 842 X X X 3. Loans 22,807 X X X 26,743 X X X 3.1 Repos 21,815 X X X 25,859 X X X 3.2 Other 992 X X X 884 X X X 4. Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 5. Lease deposits 1,067 X X X 1,204 X X X 6. Other deposits 3,239 X X X 3,683 X X X Total 226,028 - 22,180 203,866 220,921 - 26,162 194,652 Total Level 1, Level 2 and Level 3 226,046 220,814 Deposits from customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 659 Liabilities Section 1 - Financial liabilities at amortised cost - Item 10 1.1 Financial liabilities at amortised cost: breakdown by product of deposits from banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from central banks 56,844 X X X 51,567 X X X 2. Deposits from banks 29,421 X X X 37,719 X X X 2.1 Current accounts and demand deposits 3,806 X X X 2,455 X X X 2.2 Time deposits 4,294 X X X 5,598 X X X 2.3 Loans 21,299 X X X 29,646 X X X 2.3.1 Repos 18,790 X X X 26,648 X X X 2.3.2 Other 2,509 X X X 2,998 X X X 2.4 Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 2.5 Lease deposits 7 X X X 7 X X X 2.6 Other deposits 15 X X X 13 X X X Total 86,265 - 78,783 7,492 89,286 - 26,654 62,637 Total Level 1, Level 2 and Level 3 86,275 89,291 “Deposits from central banks” include TLTRO III facilities for €56 billion, of which €5 billion subscribed in March 2021 and €51 billion already existing at December 2020. Deposits from banks are not carried based at their fair value, which is only shown in order to meet disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model. 1.2 Financial liabilities at amortised cost: breakdown by product of deposits from customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTION/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Current accounts and demand deposits 198,332 X X X 188,449 X X X 2. Time deposits 583 X X X 842 X X X 3. Loans 22,807 X X X 26,743 X X X 3.1 Repos 21,815 X X X 25,859 X X X 3.2 Other 992 X X X 884 X X X 4. Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 5. Lease deposits 1,067 X X X 1,204 X X X 6. Other deposits 3,239 X X X 3,683 X X X Total 226,028 - 22,180 203,866 220,921 - 26,162 194,652 Total Level 1, Level 2 and Level 3 226,046 220,814 Deposits from customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 659 Liabilities Section 1 - Financial liabilities at amortised cost - Item 10 1.1 Financial liabilities at amortised cost: breakdown by product of deposits from banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from central banks 56,844 X X X 51,567 X X X 2. Deposits from banks 29,421 X X X 37,719 X X X 2.1 Current accounts and demand deposits 3,806 X X X 2,455 X X X 2.2 Time deposits 4,294 X X X 5,598 X X X 2.3 Loans 21,299 X X X 29,646 X X X 2.3.1 Repos 18,790 X X X 26,648 X X X 2.3.2 Other 2,509 X X X 2,998 X X X 2.4 Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 2.5 Lease deposits 7 X X X 7 X X X 2.6 Other deposits 15 X X X 13 X X X Total 86,265 - 78,783 7,492 89,286 - 26,654 62,637 Total Level 1, Level 2 and Level 3 86,275 89,291 “Deposits from central banks” include TLTRO III facilities for €56 billion, of which €5 billion subscribed in March 2021 and €51 billion already existing at December 2020. Deposits from banks are not carried based at their fair value, which is only shown in order to meet disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model. 1.2 Financial liabilities at amortised cost: breakdown by product of deposits from customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTION/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Current accounts and demand deposits 198,332 X X X 188,449 X X X 2. Time deposits 583 X X X 842 X X X 3. Loans 22,807 X X X 26,743 X X X 3.1 Repos 21,815 X X X 25,859 X X X 3.2 Other 992 X X X 884 X X X 4. Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 5. Lease deposits 1,067 X X X 1,204 X X X 6. Other deposits 3,239 X X X 3,683 X X X Total 226,028 - 22,180 203,866 220,921 - 26,162 194,652 Total Level 1, Level 2 and Level 3 226,046 220,814 Deposits from customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 659 Liabilities Section 1 - Financial liabilities at amortised cost - Item 10 1.1 Financial liabilities at amortised cost: breakdown by product of deposits from banks (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTIONS/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from central banks 56,844 X X X 51,567 X X X 2. Deposits from banks 29,421 X X X 37,719 X X X 2.1 Current accounts and demand deposits 3,806 X X X 2,455 X X X 2.2 Time deposits 4,294 X X X 5,598 X X X 2.3 Loans 21,299 X X X 29,646 X X X 2.3.1 Repos 18,790 X X X 26,648 X X X 2.3.2 Other 2,509 X X X 2,998 X X X 2.4 Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 2.5 Lease deposits 7 X X X 7 X X X 2.6 Other deposits 15 X X X 13 X X X Total 86,265 - 78,783 7,492 89,286 - 26,654 62,637 Total Level 1, Level 2 and Level 3 86,275 89,291 “Deposits from central banks” include TLTRO III facilities for €56 billion, of which €5 billion subscribed in March 2021 and €51 billion already existing at December 2020. Deposits from banks are not carried based at their fair value, which is only shown in order to meet disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. The increase in the level 2 and the decrease in the level 3 of fair valuer hierarchy occurred in the item “1. Financial liabilities at amortised cost” mainly derives from the reclassification of the TLTRO exposures liabilities, due to a review of the evaluation model. 1.2 Financial liabilities at amortised cost: breakdown by product of deposits from customers (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 TYPE OF TRANSACTION/VALUES BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Current accounts and demand deposits 198,332 X X X 188,449 X X X 2. Time deposits 583 X X X 842 X X X 3. Loans 22,807 X X X 26,743 X X X 3.1 Repos 21,815 X X X 25,859 X X X 3.2 Other 992 X X X 884 X X X 4. Liabilities relating to commitments to repurchase treasury shares - X X X - X X X 5. Lease deposits 1,067 X X X 1,204 X X X 6. Other deposits 3,239 X X X 3,683 X X X Total 226,028 - 22,180 203,866 220,921 - 26,162 194,652 Total Level 1, Level 2 and Level 3 226,046 220,814 Deposits from customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption, demand items were classified as Level 3 in the fair value hierarchy. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 660 2021 Annual Report and Accounts · UniCredit 1.3 Financial liabilities at amortised cost: breakdown by product of debt securities in issue (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF SECURITIES/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Debt securities 1. Bonds 47,922 32,064 17,397 - 48,521 31,162 19,861 - 1.1 Structured 417 134 278 - 279 - 279 - 1.2 Other 47,505 31,930 17,119 - 48,242 31,162 19,582 - 2. Other securities 9,802 - 70 9,738 10,498 - 92 10,414 2.1 Structured 44 - 50 - 63 - 71 - 2.2 Other 9,758 - 20 9,738 10,435 - 21 10,414 Total 57,724 32,064 17,467 9,738 59,019 31,162 19,953 10,414 Total Level 1, Level 2 and Level 3 59,269 61,529 Sub-items “1.1 structured” of bonds and “2.1. Structured” of other securities totally amount to €461 million and represent 0.80% of the total. They mainly relate to interest-rate linked instruments with highly correlated derivative component, identified in accordance with the Mifid classification rules. Issued bonds change due to joint effect of maturities and new issuances and as a consequence of buy-backs realised in the period. The fair value of derivatives embedded in structured securities, presented in item 20 of Assets and item 20 of Liabilities and included in Trading derivatives - Others, amounted to a net balance of €18 million negative. Fair value measurements solely for financial disclosure purposes only are classified according to a hierarchy of levels reflecting the observability of the inputs used. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 1.4 Detail of subordinated debts/bonds The subordinated debt recognised in item “Deposits from banks” amounts to nil, the one in item “Deposits from customers” amounts to nil, the one in item “Debt securities in issue” amounts to €9,421 million. 1.5 Detail of structured debts Structured deposits from banks or customers do not exist. 1.6 Amounts payable under finance leases (€ million) TIME BUCKET 12.31.2021 12.31.2020 CASH OUTFLOWS CASH OUTFLOWS FINANCE LEASES OPERATING LEASES FINANCE LEASES OPERATING LEASES Up to 1 year - 209 - 207 1 year to 2 years - 194 - 202 2 year to 3 years - 184 - 186 3 year to 4 years - 172 - 176 4 year to 5 years - 154 - 164 Over 5 years - 273 - 399 Total Lease Payments to be made - 1,186 - 1,334 RECONCILIATION WITH DEPOSITS Unearned finance expenses (-) (Discounting effect) - 112 - 123 Lease deposits - 1,074 - 1,211 It should be noted that table “1.6 Amounts payable under finance leases” reports the maturity analysis based on time bucket of the lease liability as requested by IFRS16 and the concurrent Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 660 2021 Annual Report and Accounts · UniCredit 1.3 Financial liabilities at amortised cost: breakdown by product of debt securities in issue (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF SECURITIES/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Debt securities 1. Bonds 47,922 32,064 17,397 - 48,521 31,162 19,861 - 1.1 Structured 417 134 278 - 279 - 279 - 1.2 Other 47,505 31,930 17,119 - 48,242 31,162 19,582 - 2. Other securities 9,802 - 70 9,738 10,498 - 92 10,414 2.1 Structured 44 - 50 - 63 - 71 - 2.2 Other 9,758 - 20 9,738 10,435 - 21 10,414 Total 57,724 32,064 17,467 9,738 59,019 31,162 19,953 10,414 Total Level 1, Level 2 and Level 3 59,269 61,529 Sub-items “1.1 structured” of bonds and “2.1. Structured” of other securities totally amount to €461 million and represent 0.80% of the total. They mainly relate to interest-rate linked instruments with highly correlated derivative component, identified in accordance with the Mifid classification rules. Issued bonds change due to joint effect of maturities and new issuances and as a consequence of buy-backs realised in the period. The fair value of derivatives embedded in structured securities, presented in item 20 of Assets and item 20 of Liabilities and included in Trading derivatives - Others, amounted to a net balance of €18 million negative. Fair value measurements solely for financial disclosure purposes only are classified according to a hierarchy of levels reflecting the observability of the inputs used. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 1.4 Detail of subordinated debts/bonds The subordinated debt recognised in item “Deposits from banks” amounts to nil, the one in item “Deposits from customers” amounts to nil, the one in item “Debt securities in issue” amounts to €9,421 million. 1.5 Detail of structured debts Structured deposits from banks or customers do not exist. 1.6 Amounts payable under finance leases (€ million) TIME BUCKET 12.31.2021 12.31.2020 CASH OUTFLOWS CASH OUTFLOWS FINANCE LEASES OPERATING LEASES FINANCE LEASES OPERATING LEASES Up to 1 year - 209 - 207 1 year to 2 years - 194 - 202 2 year to 3 years - 184 - 186 3 year to 4 years - 172 - 176 4 year to 5 years - 154 - 164 Over 5 years - 273 - 399 Total Lease Payments to be made - 1,186 - 1,334 RECONCILIATION WITH DEPOSITS Unearned finance expenses (-) (Discounting effect) - 112 - 123 Lease deposits - 1,074 - 1,211 It should be noted that table “1.6 Amounts payable under finance leases” reports the maturity analysis based on time bucket of the lease liability as requested by IFRS16 and the concurrent Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 660 2021 Annual Report and Accounts · UniCredit 1.3 Financial liabilities at amortised cost: breakdown by product of debt securities in issue (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF SECURITIES/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Debt securities 1. Bonds 47,922 32,064 17,397 - 48,521 31,162 19,861 - 1.1 Structured 417 134 278 - 279 - 279 - 1.2 Other 47,505 31,930 17,119 - 48,242 31,162 19,582 - 2. Other securities 9,802 - 70 9,738 10,498 - 92 10,414 2.1 Structured 44 - 50 - 63 - 71 - 2.2 Other 9,758 - 20 9,738 10,435 - 21 10,414 Total 57,724 32,064 17,467 9,738 59,019 31,162 19,953 10,414 Total Level 1, Level 2 and Level 3 59,269 61,529 Sub-items “1.1 structured” of bonds and “2.1. Structured” of other securities totally amount to €461 million and represent 0.80% of the total. They mainly relate to interest-rate linked instruments with highly correlated derivative component, identified in accordance with the Mifid classification rules. Issued bonds change due to joint effect of maturities and new issuances and as a consequence of buy-backs realised in the period. The fair value of derivatives embedded in structured securities, presented in item 20 of Assets and item 20 of Liabilities and included in Trading derivatives - Others, amounted to a net balance of €18 million negative. Fair value measurements solely for financial disclosure purposes only are classified according to a hierarchy of levels reflecting the observability of the inputs used. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 1.4 Detail of subordinated debts/bonds The subordinated debt recognised in item “Deposits from banks” amounts to nil, the one in item “Deposits from customers” amounts to nil, the one in item “Debt securities in issue” amounts to €9,421 million. 1.5 Detail of structured debts Structured deposits from banks or customers do not exist. 1.6 Amounts payable under finance leases (€ million) TIME BUCKET 12.31.2021 12.31.2020 CASH OUTFLOWS CASH OUTFLOWS FINANCE LEASES OPERATING LEASES FINANCE LEASES OPERATING LEASES Up to 1 year - 209 - 207 1 year to 2 years - 194 - 202 2 year to 3 years - 184 - 186 3 year to 4 years - 172 - 176 4 year to 5 years - 154 - 164 Over 5 years - 273 - 399 Total Lease Payments to be made - 1,186 - 1,334 RECONCILIATION WITH DEPOSITS Unearned finance expenses (-) (Discounting effect) - 112 - 123 Lease deposits - 1,074 - 1,211 It should be noted that table “1.6 Amounts payable under finance leases” reports the maturity analysis based on time bucket of the lease liability as requested by IFRS16 and the concurrent Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 660 2021 Annual Report and Accounts · UniCredit 1.3 Financial liabilities at amortised cost: breakdown by product of debt securities in issue (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF SECURITIES/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Debt securities 1. Bonds 47,922 32,064 17,397 - 48,521 31,162 19,861 - 1.1 Structured 417 134 278 - 279 - 279 - 1.2 Other 47,505 31,930 17,119 - 48,242 31,162 19,582 - 2. Other securities 9,802 - 70 9,738 10,498 - 92 10,414 2.1 Structured 44 - 50 - 63 - 71 - 2.2 Other 9,758 - 20 9,738 10,435 - 21 10,414 Total 57,724 32,064 17,467 9,738 59,019 31,162 19,953 10,414 Total Level 1, Level 2 and Level 3 59,269 61,529 Sub-items “1.1 structured” of bonds and “2.1. Structured” of other securities totally amount to €461 million and represent 0.80% of the total. They mainly relate to interest-rate linked instruments with highly correlated derivative component, identified in accordance with the Mifid classification rules. Issued bonds change due to joint effect of maturities and new issuances and as a consequence of buy-backs realised in the period. The fair value of derivatives embedded in structured securities, presented in item 20 of Assets and item 20 of Liabilities and included in Trading derivatives - Others, amounted to a net balance of €18 million negative. Fair value measurements solely for financial disclosure purposes only are classified according to a hierarchy of levels reflecting the observability of the inputs used. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 1.4 Detail of subordinated debts/bonds The subordinated debt recognised in item “Deposits from banks” amounts to nil, the one in item “Deposits from customers” amounts to nil, the one in item “Debt securities in issue” amounts to €9,421 million. 1.5 Detail of structured debts Structured deposits from banks or customers do not exist. 1.6 Amounts payable under finance leases (€ million) TIME BUCKET 12.31.2021 12.31.2020 CASH OUTFLOWS CASH OUTFLOWS FINANCE LEASES OPERATING LEASES FINANCE LEASES OPERATING LEASES Up to 1 year - 209 - 207 1 year to 2 years - 194 - 202 2 year to 3 years - 184 - 186 3 year to 4 years - 172 - 176 4 year to 5 years - 154 - 164 Over 5 years - 273 - 399 Total Lease Payments to be made - 1,186 - 1,334 RECONCILIATION WITH DEPOSITS Unearned finance expenses (-) (Discounting effect) - 112 - 123 Lease deposits - 1,074 - 1,211 It should be noted that table “1.6 Amounts payable under finance leases” reports the maturity analysis based on time bucket of the lease liability as requested by IFRS16 and the concurrent Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 660 2021 Annual Report and Accounts · UniCredit 1.3 Financial liabilities at amortised cost: breakdown by product of debt securities in issue (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 BOOK VALUE FAIR VALUE BOOK VALUE FAIR VALUE TYPE OF SECURITIES/VALUES LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Debt securities 1. Bonds 47,922 32,064 17,397 - 48,521 31,162 19,861 - 1.1 Structured 417 134 278 - 279 - 279 - 1.2 Other 47,505 31,930 17,119 - 48,242 31,162 19,582 - 2. Other securities 9,802 - 70 9,738 10,498 - 92 10,414 2.1 Structured 44 - 50 - 63 - 71 - 2.2 Other 9,758 - 20 9,738 10,435 - 21 10,414 Total 57,724 32,064 17,467 9,738 59,019 31,162 19,953 10,414 Total Level 1, Level 2 and Level 3 59,269 61,529 Sub-items “1.1 structured” of bonds and “2.1. Structured” of other securities totally amount to €461 million and represent 0.80% of the total. They mainly relate to interest-rate linked instruments with highly correlated derivative component, identified in accordance with the Mifid classification rules. Issued bonds change due to joint effect of maturities and new issuances and as a consequence of buy-backs realised in the period. The fair value of derivatives embedded in structured securities, presented in item 20 of Assets and item 20 of Liabilities and included in Trading derivatives - Others, amounted to a net balance of €18 million negative. Fair value measurements solely for financial disclosure purposes only are classified according to a hierarchy of levels reflecting the observability of the inputs used. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 1.4 Detail of subordinated debts/bonds The subordinated debt recognised in item “Deposits from banks” amounts to nil, the one in item “Deposits from customers” amounts to nil, the one in item “Debt securities in issue” amounts to €9,421 million. 1.5 Detail of structured debts Structured deposits from banks or customers do not exist. 1.6 Amounts payable under finance leases (€ million) TIME BUCKET 12.31.2021 12.31.2020 CASH OUTFLOWS CASH OUTFLOWS FINANCE LEASES OPERATING LEASES FINANCE LEASES OPERATING LEASES Up to 1 year - 209 - 207 1 year to 2 years - 194 - 202 2 year to 3 years - 184 - 186 3 year to 4 years - 172 - 176 4 year to 5 years - 154 - 164 Over 5 years - 273 - 399 Total Lease Payments to be made - 1,186 - 1,334 RECONCILIATION WITH DEPOSITS Unearned finance expenses (-) (Discounting effect) - 112 - 123 Lease deposits - 1,074 - 1,211 It should be noted that table “1.6 Amounts payable under finance leases” reports the maturity analysis based on time bucket of the lease liability as requested by IFRS16 and the concurrent Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 661 Section 2 - Financial liabilities held for trading - Item 20 2.1 Financial liabilities held for trading: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Cash liabilities 1. Deposits from banks - 254 - - 254 - 207 - - 207 2. Deposits from customers - 4,591 - - 4,591 - 2,496 - - 2,496 3. Debt securities - - - - - - - - - - 3.1 Bonds - - - - - - - - - - 3.1.1 Structured - - - - X - - - - X 3.1.2 Other - - - - X - - - - X 3.2 Other securities - - - - - - - - - - 3.2.1 Structured - - - - X - - - - X 3.2.2 Other - - - - X - - - - X Total (A) - 4,845 - - 4,845 - 2,703 - - 2,703 B. Derivatives instruments 1. Financial derivatives X 11 8,570 210 X X 1 6,905 62 X 1.1 Trading derivatives X 11 8,357 11 X X 1 6,436 11 X 1.2 Linked to fair value option X - 148 181 X X - 345 30 X 1.3 Other X - 65 18 X X - 124 21 X 2. Credit derivatives X - - - X X - - - X 2.1 Trading derivatives X - - - X X - - - X 2.2 Linked to fair value option X - - - X X - - - X 2.3 Other X - - - X X - - - X Total (B) X 11 8,570 210 X X 1 6,905 62 X Total (A+B) X 4,856 8,570 210 X X 2,704 6,905 62 X Total Level 1, Level 2 and Level 3 13,636 9,671 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. “Deposit from banks” and “Deposit from customers” are referred to technical overdrafts in respect of which no nominal amount was attributed. They are fed by the recognition of technical overdrafts typical of primary dealer and market-maker transactions in government bonds. “Financial derivatives: other” comprises derivatives that, for economic purposes are associated with Banking Book instruments. 2.2 Detail of financial liabilities held for trading: subordinated liabilities Subordinated trading financial liabilities do not exist. 2.3 Detail of financial liabilities held for trading: structured debts Structured trading financial liabilities do not exist. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 661 Section 2 - Financial liabilities held for trading - Item 20 2.1 Financial liabilities held for trading: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Cash liabilities 1. Deposits from banks - 254 - - 254 - 207 - - 207 2. Deposits from customers - 4,591 - - 4,591 - 2,496 - - 2,496 3. Debt securities - - - - - - - - - - 3.1 Bonds - - - - - - - - - - 3.1.1 Structured - - - - X - - - - X 3.1.2 Other - - - - X - - - - X 3.2 Other securities - - - - - - - - - - 3.2.1 Structured - - - - X - - - - X 3.2.2 Other - - - - X - - - - X Total (A) - 4,845 - - 4,845 - 2,703 - - 2,703 B. Derivatives instruments 1. Financial derivatives X 11 8,570 210 X X 1 6,905 62 X 1.1 Trading derivatives X 11 8,357 11 X X 1 6,436 11 X 1.2 Linked to fair value option X - 148 181 X X - 345 30 X 1.3 Other X - 65 18 X X - 124 21 X 2. Credit derivatives X - - - X X - - - X 2.1 Trading derivatives X - - - X X - - - X 2.2 Linked to fair value option X - - - X X - - - X 2.3 Other X - - - X X - - - X Total (B) X 11 8,570 210 X X 1 6,905 62 X Total (A+B) X 4,856 8,570 210 X X 2,704 6,905 62 X Total Level 1, Level 2 and Level 3 13,636 9,671 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. “Deposit from banks” and “Deposit from customers” are referred to technical overdrafts in respect of which no nominal amount was attributed. They are fed by the recognition of technical overdrafts typical of primary dealer and market-maker transactions in government bonds. “Financial derivatives: other” comprises derivatives that, for economic purposes are associated with Banking Book instruments. 2.2 Detail of financial liabilities held for trading: subordinated liabilities Subordinated trading financial liabilities do not exist. 2.3 Detail of financial liabilities held for trading: structured debts Structured trading financial liabilities do not exist. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 661 Section 2 - Financial liabilities held for trading - Item 20 2.1 Financial liabilities held for trading: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Cash liabilities 1. Deposits from banks - 254 - - 254 - 207 - - 207 2. Deposits from customers - 4,591 - - 4,591 - 2,496 - - 2,496 3. Debt securities - - - - - - - - - - 3.1 Bonds - - - - - - - - - - 3.1.1 Structured - - - - X - - - - X 3.1.2 Other - - - - X - - - - X 3.2 Other securities - - - - - - - - - - 3.2.1 Structured - - - - X - - - - X 3.2.2 Other - - - - X - - - - X Total (A) - 4,845 - - 4,845 - 2,703 - - 2,703 B. Derivatives instruments 1. Financial derivatives X 11 8,570 210 X X 1 6,905 62 X 1.1 Trading derivatives X 11 8,357 11 X X 1 6,436 11 X 1.2 Linked to fair value option X - 148 181 X X - 345 30 X 1.3 Other X - 65 18 X X - 124 21 X 2. Credit derivatives X - - - X X - - - X 2.1 Trading derivatives X - - - X X - - - X 2.2 Linked to fair value option X - - - X X - - - X 2.3 Other X - - - X X - - - X Total (B) X 11 8,570 210 X X 1 6,905 62 X Total (A+B) X 4,856 8,570 210 X X 2,704 6,905 62 X Total Level 1, Level 2 and Level 3 13,636 9,671 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. “Deposit from banks” and “Deposit from customers” are referred to technical overdrafts in respect of which no nominal amount was attributed. They are fed by the recognition of technical overdrafts typical of primary dealer and market-maker transactions in government bonds. “Financial derivatives: other” comprises derivatives that, for economic purposes are associated with Banking Book instruments. 2.2 Detail of financial liabilities held for trading: subordinated liabilities Subordinated trading financial liabilities do not exist. 2.3 Detail of financial liabilities held for trading: structured debts Structured trading financial liabilities do not exist. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 661 Section 2 - Financial liabilities held for trading - Item 20 2.1 Financial liabilities held for trading: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Cash liabilities 1. Deposits from banks - 254 - - 254 - 207 - - 207 2. Deposits from customers - 4,591 - - 4,591 - 2,496 - - 2,496 3. Debt securities - - - - - - - - - - 3.1 Bonds - - - - - - - - - - 3.1.1 Structured - - - - X - - - - X 3.1.2 Other - - - - X - - - - X 3.2 Other securities - - - - - - - - - - 3.2.1 Structured - - - - X - - - - X 3.2.2 Other - - - - X - - - - X Total (A) - 4,845 - - 4,845 - 2,703 - - 2,703 B. Derivatives instruments 1. Financial derivatives X 11 8,570 210 X X 1 6,905 62 X 1.1 Trading derivatives X 11 8,357 11 X X 1 6,436 11 X 1.2 Linked to fair value option X - 148 181 X X - 345 30 X 1.3 Other X - 65 18 X X - 124 21 X 2. Credit derivatives X - - - X X - - - X 2.1 Trading derivatives X - - - X X - - - X 2.2 Linked to fair value option X - - - X X - - - X 2.3 Other X - - - X X - - - X Total (B) X 11 8,570 210 X X 1 6,905 62 X Total (A+B) X 4,856 8,570 210 X X 2,704 6,905 62 X Total Level 1, Level 2 and Level 3 13,636 9,671 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. “Deposit from banks” and “Deposit from customers” are referred to technical overdrafts in respect of which no nominal amount was attributed. They are fed by the recognition of technical overdrafts typical of primary dealer and market-maker transactions in government bonds. “Financial derivatives: other” comprises derivatives that, for economic purposes are associated with Banking Book instruments. 2.2 Detail of financial liabilities held for trading: subordinated liabilities Subordinated trading financial liabilities do not exist. 2.3 Detail of financial liabilities held for trading: structured debts Structured trading financial liabilities do not exist. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 661 Section 2 - Financial liabilities held for trading - Item 20 2.1 Financial liabilities held for trading: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Cash liabilities 1. Deposits from banks - 254 - - 254 - 207 - - 207 2. Deposits from customers - 4,591 - - 4,591 - 2,496 - - 2,496 3. Debt securities - - - - - - - - - - 3.1 Bonds - - - - - - - - - - 3.1.1 Structured - - - - X - - - - X 3.1.2 Other - - - - X - - - - X 3.2 Other securities - - - - - - - - - - 3.2.1 Structured - - - - X - - - - X 3.2.2 Other - - - - X - - - - X Total (A) - 4,845 - - 4,845 - 2,703 - - 2,703 B. Derivatives instruments 1. Financial derivatives X 11 8,570 210 X X 1 6,905 62 X 1.1 Trading derivatives X 11 8,357 11 X X 1 6,436 11 X 1.2 Linked to fair value option X - 148 181 X X - 345 30 X 1.3 Other X - 65 18 X X - 124 21 X 2. Credit derivatives X - - - X X - - - X 2.1 Trading derivatives X - - - X X - - - X 2.2 Linked to fair value option X - - - X X - - - X 2.3 Other X - - - X X - - - X Total (B) X 11 8,570 210 X X 1 6,905 62 X Total (A+B) X 4,856 8,570 210 X X 2,704 6,905 62 X Total Level 1, Level 2 and Level 3 13,636 9,671 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. “Deposit from banks” and “Deposit from customers” are referred to technical overdrafts in respect of which no nominal amount was attributed. They are fed by the recognition of technical overdrafts typical of primary dealer and market-maker transactions in government bonds. “Financial derivatives: other” comprises derivatives that, for economic purposes are associated with Banking Book instruments. 2.2 Detail of financial liabilities held for trading: subordinated liabilities Subordinated trading financial liabilities do not exist. 2.3 Detail of financial liabilities held for trading: structured debts Structured trading financial liabilities do not exist. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 662 2021 Annual Report and Accounts · UniCredit Section 3 - Financial liabilities designated at fair value - Item 30 3.1 Financial liabilities designated at fair value: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from banks - - - - - - - - - - 1.1 Structured - - - - X - - - - X 1.2 Other - - - - X - - - - X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 2. Deposits from customers - - - - - - - - - - 2.1 Structured - - - - X - - - - X 2.2 Other - - - - X - - - - X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 3. Debt securities 4,045 - 3,854 257 3,990 4,750 - 4,490 373 4,656 3.1 Structured 4,045 - 3,854 257 X 4,750 - 4,490 373 X 3.2 Other - - - - X - - - - X Total 4,045 - 3,854 257 3,990 4,750 - 4,490 373 4,656 Total Level 1, Level 2 and Level 3 4,111 4,863 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Item “Debt securities - Structured” includes “Certificates” (structured debt securities) issued by UniCredit S.p.A. starting from the first quarter of 2016. These securities are classified as measured at fair value their embedded derivative component not being separable. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 3.2 Detail of financial liabilities designated at fair value: subordinated liabilities Subordinated financial liabilities designated at fair value do not exist. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 662 2021 Annual Report and Accounts · UniCredit Section 3 - Financial liabilities designated at fair value - Item 30 3.1 Financial liabilities designated at fair value: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from banks - - - - - - - - - - 1.1 Structured - - - - X - - - - X 1.2 Other - - - - X - - - - X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 2. Deposits from customers - - - - - - - - - - 2.1 Structured - - - - X - - - - X 2.2 Other - - - - X - - - - X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 3. Debt securities 4,045 - 3,854 257 3,990 4,750 - 4,490 373 4,656 3.1 Structured 4,045 - 3,854 257 X 4,750 - 4,490 373 X 3.2 Other - - - - X - - - - X Total 4,045 - 3,854 257 3,990 4,750 - 4,490 373 4,656 Total Level 1, Level 2 and Level 3 4,111 4,863 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Item “Debt securities - Structured” includes “Certificates” (structured debt securities) issued by UniCredit S.p.A. starting from the first quarter of 2016. These securities are classified as measured at fair value their embedded derivative component not being separable. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 3.2 Detail of financial liabilities designated at fair value: subordinated liabilities Subordinated financial liabilities designated at fair value do not exist. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 662 2021 Annual Report and Accounts · UniCredit Section 3 - Financial liabilities designated at fair value - Item 30 3.1 Financial liabilities designated at fair value: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from banks - - - - - - - - - - 1.1 Structured - - - - X - - - - X 1.2 Other - - - - X - - - - X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 2. Deposits from customers - - - - - - - - - - 2.1 Structured - - - - X - - - - X 2.2 Other - - - - X - - - - X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 3. Debt securities 4,045 - 3,854 257 3,990 4,750 - 4,490 373 4,656 3.1 Structured 4,045 - 3,854 257 X 4,750 - 4,490 373 X 3.2 Other - - - - X - - - - X Total 4,045 - 3,854 257 3,990 4,750 - 4,490 373 4,656 Total Level 1, Level 2 and Level 3 4,111 4,863 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Item “Debt securities - Structured” includes “Certificates” (structured debt securities) issued by UniCredit S.p.A. starting from the first quarter of 2016. These securities are classified as measured at fair value their embedded derivative component not being separable. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 3.2 Detail of financial liabilities designated at fair value: subordinated liabilities Subordinated financial liabilities designated at fair value do not exist. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 662 2021 Annual Report and Accounts · UniCredit Section 3 - Financial liabilities designated at fair value - Item 30 3.1 Financial liabilities designated at fair value: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from banks - - - - - - - - - - 1.1 Structured - - - - X - - - - X 1.2 Other - - - - X - - - - X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 2. Deposits from customers - - - - - - - - - - 2.1 Structured - - - - X - - - - X 2.2 Other - - - - X - - - - X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 3. Debt securities 4,045 - 3,854 257 3,990 4,750 - 4,490 373 4,656 3.1 Structured 4,045 - 3,854 257 X 4,750 - 4,490 373 X 3.2 Other - - - - X - - - - X Total 4,045 - 3,854 257 3,990 4,750 - 4,490 373 4,656 Total Level 1, Level 2 and Level 3 4,111 4,863 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Item “Debt securities - Structured” includes “Certificates” (structured debt securities) issued by UniCredit S.p.A. starting from the first quarter of 2016. These securities are classified as measured at fair value their embedded derivative component not being separable. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 3.2 Detail of financial liabilities designated at fair value: subordinated liabilities Subordinated financial liabilities designated at fair value do not exist. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 662 2021 Annual Report and Accounts · UniCredit Section 3 - Financial liabilities designated at fair value - Item 30 3.1 Financial liabilities designated at fair value: breakdown by product (€ million) TYPE OF TRANSACTIONS/VALUES AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOMINAL VALUE FAIR VALUE FAIR VALUE* NOMINAL VALUE FAIR VALUE FAIR VALUE* LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 1. Deposits from banks - - - - - - - - - - 1.1 Structured - - - - X - - - - X 1.2 Other - - - - X - - - - X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 2. Deposits from customers - - - - - - - - - - 2.1 Structured - - - - X - - - - X 2.2 Other - - - - X - - - - X of which: - loan commitments given - X X X X - X X X X - financial guarantees given - X X X X - X X X X 3. Debt securities 4,045 - 3,854 257 3,990 4,750 - 4,490 373 4,656 3.1 Structured 4,045 - 3,854 257 X 4,750 - 4,490 373 X 3.2 Other - - - - X - - - - X Total 4,045 - 3,854 257 3,990 4,750 - 4,490 373 4,656 Total Level 1, Level 2 and Level 3 4,111 4,863 Note: Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date. Item “Debt securities - Structured” includes “Certificates” (structured debt securities) issued by UniCredit S.p.A. starting from the first quarter of 2016. These securities are classified as measured at fair value their embedded derivative component not being separable. Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 3.2 Detail of financial liabilities designated at fair value: subordinated liabilities Subordinated financial liabilities designated at fair value do not exist. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 663 Section 4 - Hedging derivatives - Item 40 4.1 Hedging derivatives: breakdown by type of hedging and by levels (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 246,277 51 4,777 15 238,496 126 5,905 - 1) Fair value 234,325 51 4,348 - 223,043 126 4,844 - 2) Cash flows 11,952 - 429 15 15,453 - 1,061 - 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 246,277 51 4,777 15 238,496 126 5,905 - Total Level 1, Level 2 and Level 3 4,843 6,031 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging (€ million) AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW MICRO-HEDGE TRANSACTIONS/HEDGE TYPES DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHER MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE FOREIGN INVESTMENTS 1. Financial assets at fair value through other comprehensive income 752 - 10 - X X X - X X 2. Financial assets at amortised cost 300 X - - X X X - X X 3. Portfolio X X X X X X 2,357 X 257 X 4. Other transactions - - - - - - X - X - Total assets 1,052 - 10 - - - 2,357 - 257 - 1. Financial liabilities - X - - - - X - X X 2. Portfolio X X X X X X 980 X 187 X Total liabilities - - - - - - 980 - 187 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X - X - - Section 5 - Value adjustment of hedged financial liabilities - Item 50 5.1 Changes to hedged financial liabilities (€ million) AMOUNTS AS AT CHANGES TO HEDGED LIABILITIES/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes to financial liabilities 1,636 3,637 2. Negative changes to financial liabilities (976) (205) Total 660 3,432 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 663 Section 4 - Hedging derivatives - Item 40 4.1 Hedging derivatives: breakdown by type of hedging and by levels (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 246,277 51 4,777 15 238,496 126 5,905 - 1) Fair value 234,325 51 4,348 - 223,043 126 4,844 - 2) Cash flows 11,952 - 429 15 15,453 - 1,061 - 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 246,277 51 4,777 15 238,496 126 5,905 - Total Level 1, Level 2 and Level 3 4,843 6,031 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging (€ million) AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW MICRO-HEDGE TRANSACTIONS/HEDGE TYPES DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHER MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE FOREIGN INVESTMENTS 1. Financial assets at fair value through other comprehensive income 752 - 10 - X X X - X X 2. Financial assets at amortised cost 300 X - - X X X - X X 3. Portfolio X X X X X X 2,357 X 257 X 4. Other transactions - - - - - - X - X - Total assets 1,052 - 10 - - - 2,357 - 257 - 1. Financial liabilities - X - - - - X - X X 2. Portfolio X X X X X X 980 X 187 X Total liabilities - - - - - - 980 - 187 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X - X - - Section 5 - Value adjustment of hedged financial liabilities - Item 50 5.1 Changes to hedged financial liabilities (€ million) AMOUNTS AS AT CHANGES TO HEDGED LIABILITIES/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes to financial liabilities 1,636 3,637 2. Negative changes to financial liabilities (976) (205) Total 660 3,432 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 663 Section 4 - Hedging derivatives - Item 40 4.1 Hedging derivatives: breakdown by type of hedging and by levels (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 246,277 51 4,777 15 238,496 126 5,905 - 1) Fair value 234,325 51 4,348 - 223,043 126 4,844 - 2) Cash flows 11,952 - 429 15 15,453 - 1,061 - 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 246,277 51 4,777 15 238,496 126 5,905 - Total Level 1, Level 2 and Level 3 4,843 6,031 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging (€ million) AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW MICRO-HEDGE TRANSACTIONS/HEDGE TYPES DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHER MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE FOREIGN INVESTMENTS 1. Financial assets at fair value through other comprehensive income 752 - 10 - X X X - X X 2. Financial assets at amortised cost 300 X - - X X X - X X 3. Portfolio X X X X X X 2,357 X 257 X 4. Other transactions - - - - - - X - X - Total assets 1,052 - 10 - - - 2,357 - 257 - 1. Financial liabilities - X - - - - X - X X 2. Portfolio X X X X X X 980 X 187 X Total liabilities - - - - - - 980 - 187 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X - X - - Section 5 - Value adjustment of hedged financial liabilities - Item 50 5.1 Changes to hedged financial liabilities (€ million) AMOUNTS AS AT CHANGES TO HEDGED LIABILITIES/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes to financial liabilities 1,636 3,637 2. Negative changes to financial liabilities (976) (205) Total 660 3,432 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 663 Section 4 - Hedging derivatives - Item 40 4.1 Hedging derivatives: breakdown by type of hedging and by levels (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 246,277 51 4,777 15 238,496 126 5,905 - 1) Fair value 234,325 51 4,348 - 223,043 126 4,844 - 2) Cash flows 11,952 - 429 15 15,453 - 1,061 - 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 246,277 51 4,777 15 238,496 126 5,905 - Total Level 1, Level 2 and Level 3 4,843 6,031 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging (€ million) AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW MICRO-HEDGE TRANSACTIONS/HEDGE TYPES DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHER MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE FOREIGN INVESTMENTS 1. Financial assets at fair value through other comprehensive income 752 - 10 - X X X - X X 2. Financial assets at amortised cost 300 X - - X X X - X X 3. Portfolio X X X X X X 2,357 X 257 X 4. Other transactions - - - - - - X - X - Total assets 1,052 - 10 - - - 2,357 - 257 - 1. Financial liabilities - X - - - - X - X X 2. Portfolio X X X X X X 980 X 187 X Total liabilities - - - - - - 980 - 187 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X - X - - Section 5 - Value adjustment of hedged financial liabilities - Item 50 5.1 Changes to hedged financial liabilities (€ million) AMOUNTS AS AT CHANGES TO HEDGED LIABILITIES/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes to financial liabilities 1,636 3,637 2. Negative changes to financial liabilities (976) (205) Total 660 3,432 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 663 Section 4 - Hedging derivatives - Item 40 4.1 Hedging derivatives: breakdown by type of hedging and by levels (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 NOTIONAL AMOUNT FAIR VALUE NOTIONAL AMOUNT FAIR VALUE LEVEL 1 LEVEL 2 LEVEL 3 LEVEL 1 LEVEL 2 LEVEL 3 A. Financial derivatives 246,277 51 4,777 15 238,496 126 5,905 - 1) Fair value 234,325 51 4,348 - 223,043 126 4,844 - 2) Cash flows 11,952 - 429 15 15,453 - 1,061 - 3) Net investment in foreign subsidiaries - - - - - - - - B. Credit derivatives - - - - - - - - 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - - Total 246,277 51 4,777 15 238,496 126 5,905 - Total Level 1, Level 2 and Level 3 4,843 6,031 Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. For further information see the paragraph “A.4 - Information on fair value”, Notes to the accounts, Part A - Accounting policies. 4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging (€ million) AMOUNTS AS AT 12.31.2021 FAIR VALUE CASH FLOW MICRO-HEDGE TRANSACTIONS/HEDGE TYPES DEBT SECURITIES AND INTEREST RATES RISK EQUITY INSTRUMENTS AND EQUITY INDICES RISK CURRENCY AND GOLD CREDIT RISK COMMODITIES OTHER MACRO-HEDGE MICRO-HEDGE MACRO-HEDGE FOREIGN INVESTMENTS 1. Financial assets at fair value through other comprehensive income 752 - 10 - X X X - X X 2. Financial assets at amortised cost 300 X - - X X X - X X 3. Portfolio X X X X X X 2,357 X 257 X 4. Other transactions - - - - - - X - X - Total assets 1,052 - 10 - - - 2,357 - 257 - 1. Financial liabilities - X - - - - X - X X 2. Portfolio X X X X X X 980 X 187 X Total liabilities - - - - - - 980 - 187 - 1. Expected transactions X X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X X - X - - Section 5 - Value adjustment of hedged financial liabilities - Item 50 5.1 Changes to hedged financial liabilities (€ million) AMOUNTS AS AT CHANGES TO HEDGED LIABILITIES/GROUP COMPONENTS 12.31.2021 12.31.2020 1. Positive changes to financial liabilities 1,636 3,637 2. Negative changes to financial liabilities (976) (205) Total 660 3,432 The decrease in the item is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 664 2021 Annual Report and Accounts · UniCredit Section 6 - Tax liabilities - Item 60 See the paragraph “Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities)”, Notes to the accounts, Part B - Balance sheet, Asset. Section 7 - Liabilities associated with assets classified as held for sale - Item 70 Refer to the paragraph “Section 11 - Non current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale- Item 110 (Assets) and Item 70 (Liabilities)”, Notes to the accounts, Part B - Balance sheet, Asset. Section 8 - Other liabilities - Item 80 8.1 Other liabilities: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Liabilities in respect of financial guarantees issued - - Accrued expenses and deferred income other than those to be capitalised for the financial liabilities concerned 155 143 Negative value of management agreements (so-called servicing assets) - - Payment agreements based on the value of own capital instruments classified as deposits pursuant to IFRS2 - - Other liabilities due to employees 1,467 1,917 Other liabilities due to other staff 5 23 Other liabilities due to Directors and Statutory Auditors - - Interest and amounts to be credited to - - - Customers - - - Banks - - Items in transit between branches and not yet allocated to destination accounts 6 23 Available amounts to be paid to others - - Items in processing 109 168 Entries relating to securities transactions 113 99 Definitive items but not attributable to other lines 2,735 2,461 - Accounts payable - suppliers 570 496 - Provisions for tax withholding on accrued interest, bond coupon payments or dividends 6 2 - Other entries 2,159 1,963 Liabilities for miscellaneous entries related to tax collection service - - Adjustments for unpaid portfolio entries 1,205 1,032 Tax items different from those included in item 60 1,033 718 Other entries 115 144 Total 6,943 6,728 Item “Accrued expenses and deferred income other than those to be capitalised for the financial liabilities” includes the contract liabilities recognised in accordance with IFRS15. In this context, deferred income represents the portion of performance obligations not yet satisfied through the services provided by the Bank but already settled during the period or in previous periods. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. For information about the changes in deferred income and accrued expenses occurred in the period refer to the paragraph “Section 12 - Other assets - Item 120”, Notes to the accounts, Part B - Balance sheet, Assets. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 664 2021 Annual Report and Accounts · UniCredit Section 6 - Tax liabilities - Item 60 See the paragraph “Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities)”, Notes to the accounts, Part B - Balance sheet, Asset. Section 7 - Liabilities associated with assets classified as held for sale - Item 70 Refer to the paragraph “Section 11 - Non current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale- Item 110 (Assets) and Item 70 (Liabilities)”, Notes to the accounts, Part B - Balance sheet, Asset. Section 8 - Other liabilities - Item 80 8.1 Other liabilities: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Liabilities in respect of financial guarantees issued - - Accrued expenses and deferred income other than those to be capitalised for the financial liabilities concerned 155 143 Negative value of management agreements (so-called servicing assets) - - Payment agreements based on the value of own capital instruments classified as deposits pursuant to IFRS2 - - Other liabilities due to employees 1,467 1,917 Other liabilities due to other staff 5 23 Other liabilities due to Directors and Statutory Auditors - - Interest and amounts to be credited to - - - Customers - - - Banks - - Items in transit between branches and not yet allocated to destination accounts 6 23 Available amounts to be paid to others - - Items in processing 109 168 Entries relating to securities transactions 113 99 Definitive items but not attributable to other lines 2,735 2,461 - Accounts payable - suppliers 570 496 - Provisions for tax withholding on accrued interest, bond coupon payments or dividends 6 2 - Other entries 2,159 1,963 Liabilities for miscellaneous entries related to tax collection service - - Adjustments for unpaid portfolio entries 1,205 1,032 Tax items different from those included in item 60 1,033 718 Other entries 115 144 Total 6,943 6,728 Item “Accrued expenses and deferred income other than those to be capitalised for the financial liabilities” includes the contract liabilities recognised in accordance with IFRS15. In this context, deferred income represents the portion of performance obligations not yet satisfied through the services provided by the Bank but already settled during the period or in previous periods. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. For information about the changes in deferred income and accrued expenses occurred in the period refer to the paragraph “Section 12 - Other assets - Item 120”, Notes to the accounts, Part B - Balance sheet, Assets. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 664 2021 Annual Report and Accounts · UniCredit Section 6 - Tax liabilities - Item 60 See the paragraph “Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities)”, Notes to the accounts, Part B - Balance sheet, Asset. Section 7 - Liabilities associated with assets classified as held for sale - Item 70 Refer to the paragraph “Section 11 - Non current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale- Item 110 (Assets) and Item 70 (Liabilities)”, Notes to the accounts, Part B - Balance sheet, Asset. Section 8 - Other liabilities - Item 80 8.1 Other liabilities: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Liabilities in respect of financial guarantees issued - - Accrued expenses and deferred income other than those to be capitalised for the financial liabilities concerned 155 143 Negative value of management agreements (so-called servicing assets) - - Payment agreements based on the value of own capital instruments classified as deposits pursuant to IFRS2 - - Other liabilities due to employees 1,467 1,917 Other liabilities due to other staff 5 23 Other liabilities due to Directors and Statutory Auditors - - Interest and amounts to be credited to - - - Customers - - - Banks - - Items in transit between branches and not yet allocated to destination accounts 6 23 Available amounts to be paid to others - - Items in processing 109 168 Entries relating to securities transactions 113 99 Definitive items but not attributable to other lines 2,735 2,461 - Accounts payable - suppliers 570 496 - Provisions for tax withholding on accrued interest, bond coupon payments or dividends 6 2 - Other entries 2,159 1,963 Liabilities for miscellaneous entries related to tax collection service - - Adjustments for unpaid portfolio entries 1,205 1,032 Tax items different from those included in item 60 1,033 718 Other entries 115 144 Total 6,943 6,728 Item “Accrued expenses and deferred income other than those to be capitalised for the financial liabilities” includes the contract liabilities recognised in accordance with IFRS15. In this context, deferred income represents the portion of performance obligations not yet satisfied through the services provided by the Bank but already settled during the period or in previous periods. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. For information about the changes in deferred income and accrued expenses occurred in the period refer to the paragraph “Section 12 - Other assets - Item 120”, Notes to the accounts, Part B - Balance sheet, Assets. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 664 2021 Annual Report and Accounts · UniCredit Section 6 - Tax liabilities - Item 60 See the paragraph “Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities)”, Notes to the accounts, Part B - Balance sheet, Asset. Section 7 - Liabilities associated with assets classified as held for sale - Item 70 Refer to the paragraph “Section 11 - Non current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale- Item 110 (Assets) and Item 70 (Liabilities)”, Notes to the accounts, Part B - Balance sheet, Asset. Section 8 - Other liabilities - Item 80 8.1 Other liabilities: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Liabilities in respect of financial guarantees issued - - Accrued expenses and deferred income other than those to be capitalised for the financial liabilities concerned 155 143 Negative value of management agreements (so-called servicing assets) - - Payment agreements based on the value of own capital instruments classified as deposits pursuant to IFRS2 - - Other liabilities due to employees 1,467 1,917 Other liabilities due to other staff 5 23 Other liabilities due to Directors and Statutory Auditors - - Interest and amounts to be credited to - - - Customers - - - Banks - - Items in transit between branches and not yet allocated to destination accounts 6 23 Available amounts to be paid to others - - Items in processing 109 168 Entries relating to securities transactions 113 99 Definitive items but not attributable to other lines 2,735 2,461 - Accounts payable - suppliers 570 496 - Provisions for tax withholding on accrued interest, bond coupon payments or dividends 6 2 - Other entries 2,159 1,963 Liabilities for miscellaneous entries related to tax collection service - - Adjustments for unpaid portfolio entries 1,205 1,032 Tax items different from those included in item 60 1,033 718 Other entries 115 144 Total 6,943 6,728 Item “Accrued expenses and deferred income other than those to be capitalised for the financial liabilities” includes the contract liabilities recognised in accordance with IFRS15. In this context, deferred income represents the portion of performance obligations not yet satisfied through the services provided by the Bank but already settled during the period or in previous periods. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. For information about the changes in deferred income and accrued expenses occurred in the period refer to the paragraph “Section 12 - Other assets - Item 120”, Notes to the accounts, Part B - Balance sheet, Assets. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 664 2021 Annual Report and Accounts · UniCredit Section 6 - Tax liabilities - Item 60 See the paragraph “Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities)”, Notes to the accounts, Part B - Balance sheet, Asset. Section 7 - Liabilities associated with assets classified as held for sale - Item 70 Refer to the paragraph “Section 11 - Non current assets and disposal groups classified as held for sale and Liabilities associated with assets classified as held for sale- Item 110 (Assets) and Item 70 (Liabilities)”, Notes to the accounts, Part B - Balance sheet, Asset. Section 8 - Other liabilities - Item 80 8.1 Other liabilities: breakdown (€ million) AMOUNTS AS AT ITEMS/VALUES 12.31.2021 12.31.2020 Liabilities in respect of financial guarantees issued - - Accrued expenses and deferred income other than those to be capitalised for the financial liabilities concerned 155 143 Negative value of management agreements (so-called servicing assets) - - Payment agreements based on the value of own capital instruments classified as deposits pursuant to IFRS2 - - Other liabilities due to employees 1,467 1,917 Other liabilities due to other staff 5 23 Other liabilities due to Directors and Statutory Auditors - - Interest and amounts to be credited to - - - Customers - - - Banks - - Items in transit between branches and not yet allocated to destination accounts 6 23 Available amounts to be paid to others - - Items in processing 109 168 Entries relating to securities transactions 113 99 Definitive items but not attributable to other lines 2,735 2,461 - Accounts payable - suppliers 570 496 - Provisions for tax withholding on accrued interest, bond coupon payments or dividends 6 2 - Other entries 2,159 1,963 Liabilities for miscellaneous entries related to tax collection service - - Adjustments for unpaid portfolio entries 1,205 1,032 Tax items different from those included in item 60 1,033 718 Other entries 115 144 Total 6,943 6,728 Item “Accrued expenses and deferred income other than those to be capitalised for the financial liabilities” includes the contract liabilities recognised in accordance with IFRS15. In this context, deferred income represents the portion of performance obligations not yet satisfied through the services provided by the Bank but already settled during the period or in previous periods. The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date. For information about the changes in deferred income and accrued expenses occurred in the period refer to the paragraph “Section 12 - Other assets - Item 120”, Notes to the accounts, Part B - Balance sheet, Assets. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 665 Section 9 - Provision for employee severance pay - Item 90 The “TFR” provision for Italy-based employee benefits is to be constructed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external actuary using “projected unit credit” method (see the paragraph “Part A.2 - Main items of the accounts”, Notes to the accounts, Part A - Accounting policies). 9.1 Provisions for employee severance pay: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 557 623 B. Increases 18 20 B.1 Provisions for the year 3 5 B.2 Other increases 15 15 of which: business combinations - - C. Reductions 84 86 C.1 Severance payments 84 85 C.2 Other decreases - 1 of which: business combinations - - D. Closing Balance 491 557 9.2 Other information (€ million) CHANGES IN 2021 2020 Cost Recognised in P&L: 3 5 - Current Service Cost - - - Interest Cost on the DBO 3 5 - Settlement (gains)/losses - - - Past Service Cost - - Remeasurement Effects (Gains) Losses Recognised in OCI 14 15 Annual weighted average assumptions - Discount rate 0.75% 0.45% - Price inflation 1.60% 0.80% The financial duration of the commitments is 9 years; the balance of the negative Revaluation reserves net of tax changed from -€129 million at 31 December 2020 to -€139 million at 31 December 2021. A change of -25 basis points in the discount rate would result in an increase in liabilities of €11 million (+2.31%); an equivalent increase in the rate, on the other hand, would result in a reduction in liabilities of €11 million (-2.25%). A change of -25 basis points in the inflation rate would result in a reduction in liabilities of €7 million (-1.39%); an equivalent increase in the rate, on the other hand, would result in an increase in liabilities of €7 million (+1.41%). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 665 Section 9 - Provision for employee severance pay - Item 90 The “TFR” provision for Italy-based employee benefits is to be constructed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external actuary using “projected unit credit” method (see the paragraph “Part A.2 - Main items of the accounts”, Notes to the accounts, Part A - Accounting policies). 9.1 Provisions for employee severance pay: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 557 623 B. Increases 18 20 B.1 Provisions for the year 3 5 B.2 Other increases 15 15 of which: business combinations - - C. Reductions 84 86 C.1 Severance payments 84 85 C.2 Other decreases - 1 of which: business combinations - - D. Closing Balance 491 557 9.2 Other information (€ million) CHANGES IN 2021 2020 Cost Recognised in P&L: 3 5 - Current Service Cost - - - Interest Cost on the DBO 3 5 - Settlement (gains)/losses - - - Past Service Cost - - Remeasurement Effects (Gains) Losses Recognised in OCI 14 15 Annual weighted average assumptions - Discount rate 0.75% 0.45% - Price inflation 1.60% 0.80% The financial duration of the commitments is 9 years; the balance of the negative Revaluation reserves net of tax changed from -€129 million at 31 December 2020 to -€139 million at 31 December 2021. A change of -25 basis points in the discount rate would result in an increase in liabilities of €11 million (+2.31%); an equivalent increase in the rate, on the other hand, would result in a reduction in liabilities of €11 million (-2.25%). A change of -25 basis points in the inflation rate would result in a reduction in liabilities of €7 million (-1.39%); an equivalent increase in the rate, on the other hand, would result in an increase in liabilities of €7 million (+1.41%). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 665 Section 9 - Provision for employee severance pay - Item 90 The “TFR” provision for Italy-based employee benefits is to be constructed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external actuary using “projected unit credit” method (see the paragraph “Part A.2 - Main items of the accounts”, Notes to the accounts, Part A - Accounting policies). 9.1 Provisions for employee severance pay: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 557 623 B. Increases 18 20 B.1 Provisions for the year 3 5 B.2 Other increases 15 15 of which: business combinations - - C. Reductions 84 86 C.1 Severance payments 84 85 C.2 Other decreases - 1 of which: business combinations - - D. Closing Balance 491 557 9.2 Other information (€ million) CHANGES IN 2021 2020 Cost Recognised in P&L: 3 5 - Current Service Cost - - - Interest Cost on the DBO 3 5 - Settlement (gains)/losses - - - Past Service Cost - - Remeasurement Effects (Gains) Losses Recognised in OCI 14 15 Annual weighted average assumptions - Discount rate 0.75% 0.45% - Price inflation 1.60% 0.80% The financial duration of the commitments is 9 years; the balance of the negative Revaluation reserves net of tax changed from -€129 million at 31 December 2020 to -€139 million at 31 December 2021. A change of -25 basis points in the discount rate would result in an increase in liabilities of €11 million (+2.31%); an equivalent increase in the rate, on the other hand, would result in a reduction in liabilities of €11 million (-2.25%). A change of -25 basis points in the inflation rate would result in a reduction in liabilities of €7 million (-1.39%); an equivalent increase in the rate, on the other hand, would result in an increase in liabilities of €7 million (+1.41%). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 665 Section 9 - Provision for employee severance pay - Item 90 The “TFR” provision for Italy-based employee benefits is to be constructed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external actuary using “projected unit credit” method (see the paragraph “Part A.2 - Main items of the accounts”, Notes to the accounts, Part A - Accounting policies). 9.1 Provisions for employee severance pay: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 557 623 B. Increases 18 20 B.1 Provisions for the year 3 5 B.2 Other increases 15 15 of which: business combinations - - C. Reductions 84 86 C.1 Severance payments 84 85 C.2 Other decreases - 1 of which: business combinations - - D. Closing Balance 491 557 9.2 Other information (€ million) CHANGES IN 2021 2020 Cost Recognised in P&L: 3 5 - Current Service Cost - - - Interest Cost on the DBO 3 5 - Settlement (gains)/losses - - - Past Service Cost - - Remeasurement Effects (Gains) Losses Recognised in OCI 14 15 Annual weighted average assumptions - Discount rate 0.75% 0.45% - Price inflation 1.60% 0.80% The financial duration of the commitments is 9 years; the balance of the negative Revaluation reserves net of tax changed from -€129 million at 31 December 2020 to -€139 million at 31 December 2021. A change of -25 basis points in the discount rate would result in an increase in liabilities of €11 million (+2.31%); an equivalent increase in the rate, on the other hand, would result in a reduction in liabilities of €11 million (-2.25%). A change of -25 basis points in the inflation rate would result in a reduction in liabilities of €7 million (-1.39%); an equivalent increase in the rate, on the other hand, would result in an increase in liabilities of €7 million (+1.41%). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 665 Section 9 - Provision for employee severance pay - Item 90 The “TFR” provision for Italy-based employee benefits is to be constructed as a “post-retirement defined benefit”. It is therefore recognised on the basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external actuary using “projected unit credit” method (see the paragraph “Part A.2 - Main items of the accounts”, Notes to the accounts, Part A - Accounting policies). 9.1 Provisions for employee severance pay: annual changes (€ million) CHANGES IN 2021 2020 A. Opening balance 557 623 B. Increases 18 20 B.1 Provisions for the year 3 5 B.2 Other increases 15 15 of which: business combinations - - C. Reductions 84 86 C.1 Severance payments 84 85 C.2 Other decreases - 1 of which: business combinations - - D. Closing Balance 491 557 9.2 Other information (€ million) CHANGES IN 2021 2020 Cost Recognised in P&L: 3 5 - Current Service Cost - - - Interest Cost on the DBO 3 5 - Settlement (gains)/losses - - - Past Service Cost - - Remeasurement Effects (Gains) Losses Recognised in OCI 14 15 Annual weighted average assumptions - Discount rate 0.75% 0.45% - Price inflation 1.60% 0.80% The financial duration of the commitments is 9 years; the balance of the negative Revaluation reserves net of tax changed from -€129 million at 31 December 2020 to -€139 million at 31 December 2021. A change of -25 basis points in the discount rate would result in an increase in liabilities of €11 million (+2.31%); an equivalent increase in the rate, on the other hand, would result in a reduction in liabilities of €11 million (-2.25%). A change of -25 basis points in the inflation rate would result in a reduction in liabilities of €7 million (-1.39%); an equivalent increase in the rate, on the other hand, would result in an increase in liabilities of €7 million (+1.41%). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 666 2021 Annual Report and Accounts · UniCredit Section 10 - Provisions for risks and charges - Item 100 10.1 Provisions for risks and charges: breakdown (€ million) AMOUNTS AS AT ITEMS/COMPONENTS 12.31.2021 12.31.2020 1. Provisions for credit risk on commitments and financial guarantees given 419 442 2. Provisions for other commitments and other guarantees given - - 3. Pensions and other post-retirement benefit obligations 61 98 4. Other provisions for risks and charges 1,494 1,525 4.1 Legal and tax disputes 445 425 4.2 Staff expenses 588 275 4.3 Other 461 825 Total 1,974 2,065 To cover liabilities that may result from pending lawsuits (excluding labor disputes and tax cases), UniCredit S.p.A. has set aside a provision for risks and charges of €428 million (€371 million at 31 December 2020). More details are included in the paragraph “Part E - Information on risks and hedging policies”, Notes to the accounts. 10.2 Provisions for risks and charges: annual changes (€ million) CHANGES IN 2021 PROVISIONS FOR OTHER OFF-BALANCE SHEET COMMITMENTS AND OTHER GUARANTEES GIVEN PENSION AND POST-RETIREMENT BENEFIT OBLIGATIONS OTHER PROVISIONS FOR RISKS AND CHARGES TOTAL A. Opening balance - 98 1,525 1,623 B. Increases - (11) 567 556 B.1 Provisions for the year - (13) 565 552 B.2 Changes due to the passing time - 1 - 1 B.3 Differences due to discount-rate changes - - - - B.4 Other changes - 1 2 3 of which: business combinations - - - - C. Decreases - 26 598 624 C.1 Use during the year - - 327 327 C.2 Differences due to discount-rate changes - - 1 1 C.3 Other changes - 26 270 296 of which: business combinations - - - - D. Closing balance - 61 1,494 1,555 More details about annual changes for pensions and post-retirement benefit obligation are presented in the paragraph “10.5 - Pensions and other postretirement defined benefit obligations”, Notes to the accounts, Part B - Balance sheet -Liabilities, Section 10 - Provision for risks and charges - Item 100. It should be noted that the item “B.1 Provision for the year” includes also €14 million as profit for settlement related to the capitalization offer. 10.3 Provisions for credit risk on commitments and financial guarantees given (€ million) AMOUNTS AS AT 12.31.2021 PROVISIONS FOR CREDIT RISK ON COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL Loan commitments given 32 33 20 - 85 Financial guarantees given 21 36 277 - 334 Total 53 69 297 - 419 More details on provisions for commitments and guarantees given are presented in the paragraph “10.3 Provisions for credit risk on commitments and financial guarantees given” and “10.4 Provisions on other commitments and other issued guarantees”, Notes to the accounts, Part B - Balance sheet - Liabilities, Section 10 - Provision for risks and charges - Item 100. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 666 2021 Annual Report and Accounts · UniCredit Section 10 - Provisions for risks and charges - Item 100 10.1 Provisions for risks and charges: breakdown (€ million) AMOUNTS AS AT ITEMS/COMPONENTS 12.31.2021 12.31.2020 1. Provisions for credit risk on commitments and financial guarantees given 419 442 2. Provisions for other commitments and other guarantees given - - 3. Pensions and other post-retirement benefit obligations 61 98 4. Other provisions for risks and charges 1,494 1,525 4.1 Legal and tax disputes 445 425 4.2 Staff expenses 588 275 4.3 Other 461 825 Total 1,974 2,065 To cover liabilities that may result from pending lawsuits (excluding labor disputes and tax cases), UniCredit S.p.A. has set aside a provision for risks and charges of €428 million (€371 million at 31 December 2020). More details are included in the paragraph “Part E - Information on risks and hedging policies”, Notes to the accounts. 10.2 Provisions for risks and charges: annual changes (€ million) CHANGES IN 2021 PROVISIONS FOR OTHER OFF-BALANCE SHEET COMMITMENTS AND OTHER GUARANTEES GIVEN PENSION AND POST-RETIREMENT BENEFIT OBLIGATIONS OTHER PROVISIONS FOR RISKS AND CHARGES TOTAL A. Opening balance - 98 1,525 1,623 B. Increases - (11) 567 556 B.1 Provisions for the year - (13) 565 552 B.2 Changes due to the passing time - 1 - 1 B.3 Differences due to discount-rate changes - - - - B.4 Other changes - 1 2 3 of which: business combinations - - - - C. Decreases - 26 598 624 C.1 Use during the year - - 327 327 C.2 Differences due to discount-rate changes - - 1 1 C.3 Other changes - 26 270 296 of which: business combinations - - - - D. Closing balance - 61 1,494 1,555 More details about annual changes for pensions and post-retirement benefit obligation are presented in the paragraph “10.5 - Pensions and other postretirement defined benefit obligations”, Notes to the accounts, Part B - Balance sheet -Liabilities, Section 10 - Provision for risks and charges - Item 100. It should be noted that the item “B.1 Provision for the year” includes also €14 million as profit for settlement related to the capitalization offer. 10.3 Provisions for credit risk on commitments and financial guarantees given (€ million) AMOUNTS AS AT 12.31.2021 PROVISIONS FOR CREDIT RISK ON COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL Loan commitments given 32 33 20 - 85 Financial guarantees given 21 36 277 - 334 Total 53 69 297 - 419 More details on provisions for commitments and guarantees given are presented in the paragraph “10.3 Provisions for credit risk on commitments and financial guarantees given” and “10.4 Provisions on other commitments and other issued guarantees”, Notes to the accounts, Part B - Balance sheet - Liabilities, Section 10 - Provision for risks and charges - Item 100. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 666 2021 Annual Report and Accounts · UniCredit Section 10 - Provisions for risks and charges - Item 100 10.1 Provisions for risks and charges: breakdown (€ million) AMOUNTS AS AT ITEMS/COMPONENTS 12.31.2021 12.31.2020 1. Provisions for credit risk on commitments and financial guarantees given 419 442 2. Provisions for other commitments and other guarantees given - - 3. Pensions and other post-retirement benefit obligations 61 98 4. Other provisions for risks and charges 1,494 1,525 4.1 Legal and tax disputes 445 425 4.2 Staff expenses 588 275 4.3 Other 461 825 Total 1,974 2,065 To cover liabilities that may result from pending lawsuits (excluding labor disputes and tax cases), UniCredit S.p.A. has set aside a provision for risks and charges of €428 million (€371 million at 31 December 2020). More details are included in the paragraph “Part E - Information on risks and hedging policies”, Notes to the accounts. 10.2 Provisions for risks and charges: annual changes (€ million) CHANGES IN 2021 PROVISIONS FOR OTHER OFF-BALANCE SHEET COMMITMENTS AND OTHER GUARANTEES GIVEN PENSION AND POST-RETIREMENT BENEFIT OBLIGATIONS OTHER PROVISIONS FOR RISKS AND CHARGES TOTAL A. Opening balance - 98 1,525 1,623 B. Increases - (11) 567 556 B.1 Provisions for the year - (13) 565 552 B.2 Changes due to the passing time - 1 - 1 B.3 Differences due to discount-rate changes - - - - B.4 Other changes - 1 2 3 of which: business combinations - - - - C. Decreases - 26 598 624 C.1 Use during the year - - 327 327 C.2 Differences due to discount-rate changes - - 1 1 C.3 Other changes - 26 270 296 of which: business combinations - - - - D. Closing balance - 61 1,494 1,555 More details about annual changes for pensions and post-retirement benefit obligation are presented in the paragraph “10.5 - Pensions and other postretirement defined benefit obligations”, Notes to the accounts, Part B - Balance sheet -Liabilities, Section 10 - Provision for risks and charges - Item 100. It should be noted that the item “B.1 Provision for the year” includes also €14 million as profit for settlement related to the capitalization offer. 10.3 Provisions for credit risk on commitments and financial guarantees given (€ million) AMOUNTS AS AT 12.31.2021 PROVISIONS FOR CREDIT RISK ON COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL Loan commitments given 32 33 20 - 85 Financial guarantees given 21 36 277 - 334 Total 53 69 297 - 419 More details on provisions for commitments and guarantees given are presented in the paragraph “10.3 Provisions for credit risk on commitments and financial guarantees given” and “10.4 Provisions on other commitments and other issued guarantees”, Notes to the accounts, Part B - Balance sheet - Liabilities, Section 10 - Provision for risks and charges - Item 100. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 666 2021 Annual Report and Accounts · UniCredit Section 10 - Provisions for risks and charges - Item 100 10.1 Provisions for risks and charges: breakdown (€ million) AMOUNTS AS AT ITEMS/COMPONENTS 12.31.2021 12.31.2020 1. Provisions for credit risk on commitments and financial guarantees given 419 442 2. Provisions for other commitments and other guarantees given - - 3. Pensions and other post-retirement benefit obligations 61 98 4. Other provisions for risks and charges 1,494 1,525 4.1 Legal and tax disputes 445 425 4.2 Staff expenses 588 275 4.3 Other 461 825 Total 1,974 2,065 To cover liabilities that may result from pending lawsuits (excluding labor disputes and tax cases), UniCredit S.p.A. has set aside a provision for risks and charges of €428 million (€371 million at 31 December 2020). More details are included in the paragraph “Part E - Information on risks and hedging policies”, Notes to the accounts. 10.2 Provisions for risks and charges: annual changes (€ million) CHANGES IN 2021 PROVISIONS FOR OTHER OFF-BALANCE SHEET COMMITMENTS AND OTHER GUARANTEES GIVEN PENSION AND POST-RETIREMENT BENEFIT OBLIGATIONS OTHER PROVISIONS FOR RISKS AND CHARGES TOTAL A. Opening balance - 98 1,525 1,623 B. Increases - (11) 567 556 B.1 Provisions for the year - (13) 565 552 B.2 Changes due to the passing time - 1 - 1 B.3 Differences due to discount-rate changes - - - - B.4 Other changes - 1 2 3 of which: business combinations - - - - C. Decreases - 26 598 624 C.1 Use during the year - - 327 327 C.2 Differences due to discount-rate changes - - 1 1 C.3 Other changes - 26 270 296 of which: business combinations - - - - D. Closing balance - 61 1,494 1,555 More details about annual changes for pensions and post-retirement benefit obligation are presented in the paragraph “10.5 - Pensions and other postretirement defined benefit obligations”, Notes to the accounts, Part B - Balance sheet -Liabilities, Section 10 - Provision for risks and charges - Item 100. It should be noted that the item “B.1 Provision for the year” includes also €14 million as profit for settlement related to the capitalization offer. 10.3 Provisions for credit risk on commitments and financial guarantees given (€ million) AMOUNTS AS AT 12.31.2021 PROVISIONS FOR CREDIT RISK ON COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL Loan commitments given 32 33 20 - 85 Financial guarantees given 21 36 277 - 334 Total 53 69 297 - 419 More details on provisions for commitments and guarantees given are presented in the paragraph “10.3 Provisions for credit risk on commitments and financial guarantees given” and “10.4 Provisions on other commitments and other issued guarantees”, Notes to the accounts, Part B - Balance sheet - Liabilities, Section 10 - Provision for risks and charges - Item 100. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 666 2021 Annual Report and Accounts · UniCredit Section 10 - Provisions for risks and charges - Item 100 10.1 Provisions for risks and charges: breakdown (€ million) AMOUNTS AS AT ITEMS/COMPONENTS 12.31.2021 12.31.2020 1. Provisions for credit risk on commitments and financial guarantees given 419 442 2. Provisions for other commitments and other guarantees given - - 3. Pensions and other post-retirement benefit obligations 61 98 4. Other provisions for risks and charges 1,494 1,525 4.1 Legal and tax disputes 445 425 4.2 Staff expenses 588 275 4.3 Other 461 825 Total 1,974 2,065 To cover liabilities that may result from pending lawsuits (excluding labor disputes and tax cases), UniCredit S.p.A. has set aside a provision for risks and charges of €428 million (€371 million at 31 December 2020). More details are included in the paragraph “Part E - Information on risks and hedging policies”, Notes to the accounts. 10.2 Provisions for risks and charges: annual changes (€ million) CHANGES IN 2021 PROVISIONS FOR OTHER OFF-BALANCE SHEET COMMITMENTS AND OTHER GUARANTEES GIVEN PENSION AND POST-RETIREMENT BENEFIT OBLIGATIONS OTHER PROVISIONS FOR RISKS AND CHARGES TOTAL A. Opening balance - 98 1,525 1,623 B. Increases - (11) 567 556 B.1 Provisions for the year - (13) 565 552 B.2 Changes due to the passing time - 1 - 1 B.3 Differences due to discount-rate changes - - - - B.4 Other changes - 1 2 3 of which: business combinations - - - - C. Decreases - 26 598 624 C.1 Use during the year - - 327 327 C.2 Differences due to discount-rate changes - - 1 1 C.3 Other changes - 26 270 296 of which: business combinations - - - - D. Closing balance - 61 1,494 1,555 More details about annual changes for pensions and post-retirement benefit obligation are presented in the paragraph “10.5 - Pensions and other postretirement defined benefit obligations”, Notes to the accounts, Part B - Balance sheet -Liabilities, Section 10 - Provision for risks and charges - Item 100. It should be noted that the item “B.1 Provision for the year” includes also €14 million as profit for settlement related to the capitalization offer. 10.3 Provisions for credit risk on commitments and financial guarantees given (€ million) AMOUNTS AS AT 12.31.2021 PROVISIONS FOR CREDIT RISK ON COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL Loan commitments given 32 33 20 - 85 Financial guarantees given 21 36 277 - 334 Total 53 69 297 - 419 More details on provisions for commitments and guarantees given are presented in the paragraph “10.3 Provisions for credit risk on commitments and financial guarantees given” and “10.4 Provisions on other commitments and other issued guarantees”, Notes to the accounts, Part B - Balance sheet - Liabilities, Section 10 - Provision for risks and charges - Item 100. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 667 10.4 Provisions on other commitments and other issued guarantees No data to be disclosed. 10.5 Pensions and other post-retirement defined-benefit obligations 1. Pensions and other post-retirement benefit obligations In respect of Pensions and other post-retirement benefit obligations, the Annexes provide details of Internal Fund movements and include statements of changes in funds with segregated assets pursuant to Art.2117 of the Italian Civil Code, as well as explanatory notes thereto. According to IAS19, obligations arising from defined-benefit plans are determined using the “projected unit credit” method, while segregated assets are measured at fair value at Balance sheet reporting date. The balance sheet obligation is the result of the deficit/surplus (i.e. the difference between obligations and assets) net of any impacts of the asset ceiling; actuarial gains and losses are recognised in shareholders’ equity and shown in a specific item of revaluation reserves in the financial year in which they are recorded. The actuarial assumptions used to determine obligations vary from country to country and from plan to plan; the discount rate is determined, depending on the currency of denomination of the commitments and the maturity of the liability, by reference to market yields at the balance sheet date on a basket of “high quality corporate bonds”. In light of evolving common interpretation about “high quality corporate bonds” identification and persisting interest rates decreasing trend, UniCredit group refined its Discount Rate setting methodology by referencing AA rated corporate bonds basket. In addition, a Nelson Siegel methodology has been applied in modelling the yield-curve expressed by the basket of securities (adjusted above the last liquid point, defined as the average maturity of the last 5 available bonds, relying on the slope of a Treasury curve build with AA Govies). It is worth to note that, during second quarter 2021, a capitalization offer (early settlement of liabity by one-off payment) has been launched, on a voluntary basis, with regard to defined benefit plans of UniCredit S.p.A. It has been concluded within second half 2021 with an overall impact in P&L of +€14 million. The balance of the negative Revaluation reserves net of deferred taxes changed from -€106 million at 31 December 2020 to -€87 million at 31 December 2021 (including €17 million transferred to “Other Reserves” in connection with the above mentioned capitalization offer). 2. Changes of net defined benefit liability/asset and any reimbursement rights 2.1 Breakdown of defined benefit net obligation (€ million) 12.31.2021 12.31.2020 Current value of the defined benefit obligation 252 320 Current value of the plan assets (191) (222) Deficit/(Surplus) 61 98 Irrecoverable surplus (effect of asset ceiling) - - Net defined benefit liability/(asset) as of the period end date 61 98 2.2 Changes in defined benefit obligations (€ million) 12.31.2021 12.31.2020 Initial defined benefit obligation 320 339 Current service cost 1 1 Settlement (gain)/loss (14) - Past service cost - - Interest expense on the defined benefit obligation 2 3 Write-downs for actuarial (gains)/losses on defined benefit plans (3) 7 Employees' contributions for defined benefit plans - - Disbursements from plan assets (24) (28) Disbursements directly paid by the fund - - Settlements (33) - Other increases (decreases) 3 (2) Net defined benefit liability/(asset) as of the period end date 252 320 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 667 10.4 Provisions on other commitments and other issued guarantees No data to be disclosed. 10.5 Pensions and other post-retirement defined-benefit obligations 1. Pensions and other post-retirement benefit obligations In respect of Pensions and other post-retirement benefit obligations, the Annexes provide details of Internal Fund movements and include statements of changes in funds with segregated assets pursuant to Art.2117 of the Italian Civil Code, as well as explanatory notes thereto. According to IAS19, obligations arising from defined-benefit plans are determined using the “projected unit credit” method, while segregated assets are measured at fair value at Balance sheet reporting date. The balance sheet obligation is the result of the deficit/surplus (i.e. the difference between obligations and assets) net of any impacts of the asset ceiling; actuarial gains and losses are recognised in shareholders’ equity and shown in a specific item of revaluation reserves in the financial year in which they are recorded. The actuarial assumptions used to determine obligations vary from country to country and from plan to plan; the discount rate is determined, depending on the currency of denomination of the commitments and the maturity of the liability, by reference to market yields at the balance sheet date on a basket of “high quality corporate bonds”. In light of evolving common interpretation about “high quality corporate bonds” identification and persisting interest rates decreasing trend, UniCredit group refined its Discount Rate setting methodology by referencing AA rated corporate bonds basket. In addition, a Nelson Siegel methodology has been applied in modelling the yield-curve expressed by the basket of securities (adjusted above the last liquid point, defined as the average maturity of the last 5 available bonds, relying on the slope of a Treasury curve build with AA Govies). It is worth to note that, during second quarter 2021, a capitalization offer (early settlement of liabity by one-off payment) has been launched, on a voluntary basis, with regard to defined benefit plans of UniCredit S.p.A. It has been concluded within second half 2021 with an overall impact in P&L of +€14 million. The balance of the negative Revaluation reserves net of deferred taxes changed from -€106 million at 31 December 2020 to -€87 million at 31 December 2021 (including €17 million transferred to “Other Reserves” in connection with the above mentioned capitalization offer). 2. Changes of net defined benefit liability/asset and any reimbursement rights 2.1 Breakdown of defined benefit net obligation (€ million) 12.31.2021 12.31.2020 Current value of the defined benefit obligation 252 320 Current value of the plan assets (191) (222) Deficit/(Surplus) 61 98 Irrecoverable surplus (effect of asset ceiling) - - Net defined benefit liability/(asset) as of the period end date 61 98 2.2 Changes in defined benefit obligations (€ million) 12.31.2021 12.31.2020 Initial defined benefit obligation 320 339 Current service cost 1 1 Settlement (gain)/loss (14) - Past service cost - - Interest expense on the defined benefit obligation 2 3 Write-downs for actuarial (gains)/losses on defined benefit plans (3) 7 Employees' contributions for defined benefit plans - - Disbursements from plan assets (24) (28) Disbursements directly paid by the fund - - Settlements (33) - Other increases (decreases) 3 (2) Net defined benefit liability/(asset) as of the period end date 252 320 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 667 10.4 Provisions on other commitments and other issued guarantees No data to be disclosed. 10.5 Pensions and other post-retirement defined-benefit obligations 1. Pensions and other post-retirement benefit obligations In respect of Pensions and other post-retirement benefit obligations, the Annexes provide details of Internal Fund movements and include statements of changes in funds with segregated assets pursuant to Art.2117 of the Italian Civil Code, as well as explanatory notes thereto. According to IAS19, obligations arising from defined-benefit plans are determined using the “projected unit credit” method, while segregated assets are measured at fair value at Balance sheet reporting date. The balance sheet obligation is the result of the deficit/surplus (i.e. the difference between obligations and assets) net of any impacts of the asset ceiling; actuarial gains and losses are recognised in shareholders’ equity and shown in a specific item of revaluation reserves in the financial year in which they are recorded. The actuarial assumptions used to determine obligations vary from country to country and from plan to plan; the discount rate is determined, depending on the currency of denomination of the commitments and the maturity of the liability, by reference to market yields at the balance sheet date on a basket of “high quality corporate bonds”. In light of evolving common interpretation about “high quality corporate bonds” identification and persisting interest rates decreasing trend, UniCredit group refined its Discount Rate setting methodology by referencing AA rated corporate bonds basket. In addition, a Nelson Siegel methodology has been applied in modelling the yield-curve expressed by the basket of securities (adjusted above the last liquid point, defined as the average maturity of the last 5 available bonds, relying on the slope of a Treasury curve build with AA Govies). It is worth to note that, during second quarter 2021, a capitalization offer (early settlement of liabity by one-off payment) has been launched, on a voluntary basis, with regard to defined benefit plans of UniCredit S.p.A. It has been concluded within second half 2021 with an overall impact in P&L of +€14 million. The balance of the negative Revaluation reserves net of deferred taxes changed from -€106 million at 31 December 2020 to -€87 million at 31 December 2021 (including €17 million transferred to “Other Reserves” in connection with the above mentioned capitalization offer). 2. Changes of net defined benefit liability/asset and any reimbursement rights 2.1 Breakdown of defined benefit net obligation (€ million) 12.31.2021 12.31.2020 Current value of the defined benefit obligation 252 320 Current value of the plan assets (191) (222) Deficit/(Surplus) 61 98 Irrecoverable surplus (effect of asset ceiling) - - Net defined benefit liability/(asset) as of the period end date 61 98 2.2 Changes in defined benefit obligations (€ million) 12.31.2021 12.31.2020 Initial defined benefit obligation 320 339 Current service cost 1 1 Settlement (gain)/loss (14) - Past service cost - - Interest expense on the defined benefit obligation 2 3 Write-downs for actuarial (gains)/losses on defined benefit plans (3) 7 Employees' contributions for defined benefit plans - - Disbursements from plan assets (24) (28) Disbursements directly paid by the fund - - Settlements (33) - Other increases (decreases) 3 (2) Net defined benefit liability/(asset) as of the period end date 252 320 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 667 10.4 Provisions on other commitments and other issued guarantees No data to be disclosed. 10.5 Pensions and other post-retirement defined-benefit obligations 1. Pensions and other post-retirement benefit obligations In respect of Pensions and other post-retirement benefit obligations, the Annexes provide details of Internal Fund movements and include statements of changes in funds with segregated assets pursuant to Art.2117 of the Italian Civil Code, as well as explanatory notes thereto. According to IAS19, obligations arising from defined-benefit plans are determined using the “projected unit credit” method, while segregated assets are measured at fair value at Balance sheet reporting date. The balance sheet obligation is the result of the deficit/surplus (i.e. the difference between obligations and assets) net of any impacts of the asset ceiling; actuarial gains and losses are recognised in shareholders’ equity and shown in a specific item of revaluation reserves in the financial year in which they are recorded. The actuarial assumptions used to determine obligations vary from country to country and from plan to plan; the discount rate is determined, depending on the currency of denomination of the commitments and the maturity of the liability, by reference to market yields at the balance sheet date on a basket of “high quality corporate bonds”. In light of evolving common interpretation about “high quality corporate bonds” identification and persisting interest rates decreasing trend, UniCredit group refined its Discount Rate setting methodology by referencing AA rated corporate bonds basket. In addition, a Nelson Siegel methodology has been applied in modelling the yield-curve expressed by the basket of securities (adjusted above the last liquid point, defined as the average maturity of the last 5 available bonds, relying on the slope of a Treasury curve build with AA Govies). It is worth to note that, during second quarter 2021, a capitalization offer (early settlement of liabity by one-off payment) has been launched, on a voluntary basis, with regard to defined benefit plans of UniCredit S.p.A. It has been concluded within second half 2021 with an overall impact in P&L of +€14 million. The balance of the negative Revaluation reserves net of deferred taxes changed from -€106 million at 31 December 2020 to -€87 million at 31 December 2021 (including €17 million transferred to “Other Reserves” in connection with the above mentioned capitalization offer). 2. Changes of net defined benefit liability/asset and any reimbursement rights 2.1 Breakdown of defined benefit net obligation (€ million) 12.31.2021 12.31.2020 Current value of the defined benefit obligation 252 320 Current value of the plan assets (191) (222) Deficit/(Surplus) 61 98 Irrecoverable surplus (effect of asset ceiling) - - Net defined benefit liability/(asset) as of the period end date 61 98 2.2 Changes in defined benefit obligations (€ million) 12.31.2021 12.31.2020 Initial defined benefit obligation 320 339 Current service cost 1 1 Settlement (gain)/loss (14) - Past service cost - - Interest expense on the defined benefit obligation 2 3 Write-downs for actuarial (gains)/losses on defined benefit plans (3) 7 Employees' contributions for defined benefit plans - - Disbursements from plan assets (24) (28) Disbursements directly paid by the fund - - Settlements (33) - Other increases (decreases) 3 (2) Net defined benefit liability/(asset) as of the period end date 252 320 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 667 10.4 Provisions on other commitments and other issued guarantees No data to be disclosed. 10.5 Pensions and other post-retirement defined-benefit obligations 1. Pensions and other post-retirement benefit obligations In respect of Pensions and other post-retirement benefit obligations, the Annexes provide details of Internal Fund movements and include statements of changes in funds with segregated assets pursuant to Art.2117 of the Italian Civil Code, as well as explanatory notes thereto. According to IAS19, obligations arising from defined-benefit plans are determined using the “projected unit credit” method, while segregated assets are measured at fair value at Balance sheet reporting date. The balance sheet obligation is the result of the deficit/surplus (i.e. the difference between obligations and assets) net of any impacts of the asset ceiling; actuarial gains and losses are recognised in shareholders’ equity and shown in a specific item of revaluation reserves in the financial year in which they are recorded. The actuarial assumptions used to determine obligations vary from country to country and from plan to plan; the discount rate is determined, depending on the currency of denomination of the commitments and the maturity of the liability, by reference to market yields at the balance sheet date on a basket of “high quality corporate bonds”. In light of evolving common interpretation about “high quality corporate bonds” identification and persisting interest rates decreasing trend, UniCredit group refined its Discount Rate setting methodology by referencing AA rated corporate bonds basket. In addition, a Nelson Siegel methodology has been applied in modelling the yield-curve expressed by the basket of securities (adjusted above the last liquid point, defined as the average maturity of the last 5 available bonds, relying on the slope of a Treasury curve build with AA Govies). It is worth to note that, during second quarter 2021, a capitalization offer (early settlement of liabity by one-off payment) has been launched, on a voluntary basis, with regard to defined benefit plans of UniCredit S.p.A. It has been concluded within second half 2021 with an overall impact in P&L of +€14 million. The balance of the negative Revaluation reserves net of deferred taxes changed from -€106 million at 31 December 2020 to -€87 million at 31 December 2021 (including €17 million transferred to “Other Reserves” in connection with the above mentioned capitalization offer). 2. Changes of net defined benefit liability/asset and any reimbursement rights 2.1 Breakdown of defined benefit net obligation (€ million) 12.31.2021 12.31.2020 Current value of the defined benefit obligation 252 320 Current value of the plan assets (191) (222) Deficit/(Surplus) 61 98 Irrecoverable surplus (effect of asset ceiling) - - Net defined benefit liability/(asset) as of the period end date 61 98 2.2 Changes in defined benefit obligations (€ million) 12.31.2021 12.31.2020 Initial defined benefit obligation 320 339 Current service cost 1 1 Settlement (gain)/loss (14) - Past service cost - - Interest expense on the defined benefit obligation 2 3 Write-downs for actuarial (gains)/losses on defined benefit plans (3) 7 Employees' contributions for defined benefit plans - - Disbursements from plan assets (24) (28) Disbursements directly paid by the fund - - Settlements (33) - Other increases (decreases) 3 (2) Net defined benefit liability/(asset) as of the period end date 252 320 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 668 2021 Annual Report and Accounts · UniCredit 2.3 Changes to plan assets (€ million) 12.31.2021 12.31.2020 Initial fair value of plan assets 222 245 Interest income on plan assets 1 2 Administrative expenses paid from plan assets - - Write-downs on the fair value of plan assets for actuarial gains (losses) on the discount rate - 2 Employer contributions 21 3 Disbursements from plan assets (23) (28) Settlements (33) - Other increases (decreases) 3 (2) Final fair value of plan assets 191 222 3. Main plan asset classes (€ million) 12.31.2021 12.31.2020 1. Shares 20 14 2. Bonds 41 101 3. Units in investment funds 102 8 4. Real estate properties 2 2 5. Derivative instruments - - 6. Other assets 26 97 Total 191 222 4. Significant actuarial assumptions used to determine the current value of defined benefit obligation 12.31.2021 12.31.2020 % % Discount rate 0.93 0.55 Expected return on plan assets 0.93 0.55 Expected compensation increase rate 1.63 1.58 Future increases relating to pension treatments 1.51 0.49 Expected inflation rate 2.02 1.09 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 668 2021 Annual Report and Accounts · UniCredit 2.3 Changes to plan assets (€ million) 12.31.2021 12.31.2020 Initial fair value of plan assets 222 245 Interest income on plan assets 1 2 Administrative expenses paid from plan assets - - Write-downs on the fair value of plan assets for actuarial gains (losses) on the discount rate - 2 Employer contributions 21 3 Disbursements from plan assets (23) (28) Settlements (33) - Other increases (decreases) 3 (2) Final fair value of plan assets 191 222 3. Main plan asset classes (€ million) 12.31.2021 12.31.2020 1. Shares 20 14 2. Bonds 41 101 3. Units in investment funds 102 8 4. Real estate properties 2 2 5. Derivative instruments - - 6. Other assets 26 97 Total 191 222 4. Significant actuarial assumptions used to determine the current value of defined benefit obligation 12.31.2021 12.31.2020 % % Discount rate 0.93 0.55 Expected return on plan assets 0.93 0.55 Expected compensation increase rate 1.63 1.58 Future increases relating to pension treatments 1.51 0.49 Expected inflation rate 2.02 1.09 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 668 2021 Annual Report and Accounts · UniCredit 2.3 Changes to plan assets (€ million) 12.31.2021 12.31.2020 Initial fair value of plan assets 222 245 Interest income on plan assets 1 2 Administrative expenses paid from plan assets - - Write-downs on the fair value of plan assets for actuarial gains (losses) on the discount rate - 2 Employer contributions 21 3 Disbursements from plan assets (23) (28) Settlements (33) - Other increases (decreases) 3 (2) Final fair value of plan assets 191 222 3. Main plan asset classes (€ million) 12.31.2021 12.31.2020 1. Shares 20 14 2. Bonds 41 101 3. Units in investment funds 102 8 4. Real estate properties 2 2 5. Derivative instruments - - 6. Other assets 26 97 Total 191 222 4. Significant actuarial assumptions used to determine the current value of defined benefit obligation 12.31.2021 12.31.2020 % % Discount rate 0.93 0.55 Expected return on plan assets 0.93 0.55 Expected compensation increase rate 1.63 1.58 Future increases relating to pension treatments 1.51 0.49 Expected inflation rate 2.02 1.09 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 668 2021 Annual Report and Accounts · UniCredit 2.3 Changes to plan assets (€ million) 12.31.2021 12.31.2020 Initial fair value of plan assets 222 245 Interest income on plan assets 1 2 Administrative expenses paid from plan assets - - Write-downs on the fair value of plan assets for actuarial gains (losses) on the discount rate - 2 Employer contributions 21 3 Disbursements from plan assets (23) (28) Settlements (33) - Other increases (decreases) 3 (2) Final fair value of plan assets 191 222 3. Main plan asset classes (€ million) 12.31.2021 12.31.2020 1. Shares 20 14 2. Bonds 41 101 3. Units in investment funds 102 8 4. Real estate properties 2 2 5. Derivative instruments - - 6. Other assets 26 97 Total 191 222 4. Significant actuarial assumptions used to determine the current value of defined benefit obligation 12.31.2021 12.31.2020 % % Discount rate 0.93 0.55 Expected return on plan assets 0.93 0.55 Expected compensation increase rate 1.63 1.58 Future increases relating to pension treatments 1.51 0.49 Expected inflation rate 2.02 1.09 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 668 2021 Annual Report and Accounts · UniCredit 2.3 Changes to plan assets (€ million) 12.31.2021 12.31.2020 Initial fair value of plan assets 222 245 Interest income on plan assets 1 2 Administrative expenses paid from plan assets - - Write-downs on the fair value of plan assets for actuarial gains (losses) on the discount rate - 2 Employer contributions 21 3 Disbursements from plan assets (23) (28) Settlements (33) - Other increases (decreases) 3 (2) Final fair value of plan assets 191 222 3. Main plan asset classes (€ million) 12.31.2021 12.31.2020 1. Shares 20 14 2. Bonds 41 101 3. Units in investment funds 102 8 4. Real estate properties 2 2 5. Derivative instruments - - 6. Other assets 26 97 Total 191 222 4. Significant actuarial assumptions used to determine the current value of defined benefit obligation 12.31.2021 12.31.2020 % % Discount rate 0.93 0.55 Expected return on plan assets 0.93 0.55 Expected compensation increase rate 1.63 1.58 Future increases relating to pension treatments 1.51 0.49 Expected inflation rate 2.02 1.09 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 669 5. Impact of changes in financial/demographic assumptions on DBOs and financial duration (€ million) 12.31.2021 - Impact of changes in financial/demographic assumptions on DBOs A. Discount rate A1. -25 basis points 6 2.55% A2. +25 basis points (6) -2.43% B. Future increase rate relating to pension treatments B1. -25 basis points (4) -1.47% B2. +25 basis points 4 1.52% C. Mortality C.1 Life expectancy + 1 year 15 5.79% - Financial duration (years) 10.1 10.6 Provisions for risks and charges - other provisions (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 4.3 Other provisions for risks and charges - other Real estate risks/charges - - Restructuring costs - - Allowances payable to agents 6 5 Disputes regarding financial instruments and derivatives 6 6 Costs for liabilities arising from equity investment disposals 14 208 Other 435 606 Total 461 825 Other Provisions include: • the ones posted in order to cope with the probable risks of loss related to the repurchases of diamonds, that could be carried out under action of “customer care” promoted by the Bank. To complete the information more details are included in the paragraph “E. Other claims by customers”, Notes to the accounts, Part E - Information about risks and hedging policies, Section 5 - Operational risk, Qualitative information; • those referring to cover the risks related to certain standard contractual terms contained in the documentary frameworks (i.e. reps & warranties), including securitisation transactions signed with the SPVs, of which UniCredit S.p.A. is Originator, pending the analysis and assessments to be completed within the deadlines established. Section 11 - Redeemable shares - Item 120 No data to be disclosed. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 669 5. Impact of changes in financial/demographic assumptions on DBOs and financial duration (€ million) 12.31.2021 - Impact of changes in financial/demographic assumptions on DBOs A. Discount rate A1. -25 basis points 6 2.55% A2. +25 basis points (6) -2.43% B. Future increase rate relating to pension treatments B1. -25 basis points (4) -1.47% B2. +25 basis points 4 1.52% C. Mortality C.1 Life expectancy + 1 year 15 5.79% - Financial duration (years) 10.1 10.6 Provisions for risks and charges - other provisions (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 4.3 Other provisions for risks and charges - other Real estate risks/charges - - Restructuring costs - - Allowances payable to agents 6 5 Disputes regarding financial instruments and derivatives 6 6 Costs for liabilities arising from equity investment disposals 14 208 Other 435 606 Total 461 825 Other Provisions include: • the ones posted in order to cope with the probable risks of loss related to the repurchases of diamonds, that could be carried out under action of “customer care” promoted by the Bank. To complete the information more details are included in the paragraph “E. Other claims by customers”, Notes to the accounts, Part E - Information about risks and hedging policies, Section 5 - Operational risk, Qualitative information; • those referring to cover the risks related to certain standard contractual terms contained in the documentary frameworks (i.e. reps & warranties), including securitisation transactions signed with the SPVs, of which UniCredit S.p.A. is Originator, pending the analysis and assessments to be completed within the deadlines established. Section 11 - Redeemable shares - Item 120 No data to be disclosed. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 669 5. Impact of changes in financial/demographic assumptions on DBOs and financial duration (€ million) 12.31.2021 - Impact of changes in financial/demographic assumptions on DBOs A. Discount rate A1. -25 basis points 6 2.55% A2. +25 basis points (6) -2.43% B. Future increase rate relating to pension treatments B1. -25 basis points (4) -1.47% B2. +25 basis points 4 1.52% C. Mortality C.1 Life expectancy + 1 year 15 5.79% - Financial duration (years) 10.1 10.6 Provisions for risks and charges - other provisions (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 4.3 Other provisions for risks and charges - other Real estate risks/charges - - Restructuring costs - - Allowances payable to agents 6 5 Disputes regarding financial instruments and derivatives 6 6 Costs for liabilities arising from equity investment disposals 14 208 Other 435 606 Total 461 825 Other Provisions include: • the ones posted in order to cope with the probable risks of loss related to the repurchases of diamonds, that could be carried out under action of “customer care” promoted by the Bank. To complete the information more details are included in the paragraph “E. Other claims by customers”, Notes to the accounts, Part E - Information about risks and hedging policies, Section 5 - Operational risk, Qualitative information; • those referring to cover the risks related to certain standard contractual terms contained in the documentary frameworks (i.e. reps & warranties), including securitisation transactions signed with the SPVs, of which UniCredit S.p.A. is Originator, pending the analysis and assessments to be completed within the deadlines established. Section 11 - Redeemable shares - Item 120 No data to be disclosed. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 669 5. Impact of changes in financial/demographic assumptions on DBOs and financial duration (€ million) 12.31.2021 - Impact of changes in financial/demographic assumptions on DBOs A. Discount rate A1. -25 basis points 6 2.55% A2. +25 basis points (6) -2.43% B. Future increase rate relating to pension treatments B1. -25 basis points (4) -1.47% B2. +25 basis points 4 1.52% C. Mortality C.1 Life expectancy + 1 year 15 5.79% - Financial duration (years) 10.1 10.6 Provisions for risks and charges - other provisions (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 4.3 Other provisions for risks and charges - other Real estate risks/charges - - Restructuring costs - - Allowances payable to agents 6 5 Disputes regarding financial instruments and derivatives 6 6 Costs for liabilities arising from equity investment disposals 14 208 Other 435 606 Total 461 825 Other Provisions include: • the ones posted in order to cope with the probable risks of loss related to the repurchases of diamonds, that could be carried out under action of “customer care” promoted by the Bank. To complete the information more details are included in the paragraph “E. Other claims by customers”, Notes to the accounts, Part E - Information about risks and hedging policies, Section 5 - Operational risk, Qualitative information; • those referring to cover the risks related to certain standard contractual terms contained in the documentary frameworks (i.e. reps & warranties), including securitisation transactions signed with the SPVs, of which UniCredit S.p.A. is Originator, pending the analysis and assessments to be completed within the deadlines established. Section 11 - Redeemable shares - Item 120 No data to be disclosed. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 669 5. Impact of changes in financial/demographic assumptions on DBOs and financial duration (€ million) 12.31.2021 - Impact of changes in financial/demographic assumptions on DBOs A. Discount rate A1. -25 basis points 6 2.55% A2. +25 basis points (6) -2.43% B. Future increase rate relating to pension treatments B1. -25 basis points (4) -1.47% B2. +25 basis points 4 1.52% C. Mortality C.1 Life expectancy + 1 year 15 5.79% - Financial duration (years) 10.1 10.6 Provisions for risks and charges - other provisions (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 4.3 Other provisions for risks and charges - other Real estate risks/charges - - Restructuring costs - - Allowances payable to agents 6 5 Disputes regarding financial instruments and derivatives 6 6 Costs for liabilities arising from equity investment disposals 14 208 Other 435 606 Total 461 825 Other Provisions include: • the ones posted in order to cope with the probable risks of loss related to the repurchases of diamonds, that could be carried out under action of “customer care” promoted by the Bank. To complete the information more details are included in the paragraph “E. Other claims by customers”, Notes to the accounts, Part E - Information about risks and hedging policies, Section 5 - Operational risk, Qualitative information; • those referring to cover the risks related to certain standard contractual terms contained in the documentary frameworks (i.e. reps & warranties), including securitisation transactions signed with the SPVs, of which UniCredit S.p.A. is Originator, pending the analysis and assessments to be completed within the deadlines established. Section 11 - Redeemable shares - Item 120 No data to be disclosed. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 670 2021 Annual Report and Accounts · UniCredit Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 Further information about shareholders’ equity are disclosed in the paragraph “Part F - Shareholders’ equity”, Notes to the accounts. 12.1 "Share capital" and "treasury shares": breakdown (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ISSUED SHARES UNDERWRITTEN SHARES ISSUED SHARES UNDERWRITTEN SHARES A. Share capital A.1 Ordinary shares 21,133 - 21,060 - A.2 Savings shares - - - - Total A 21,133 - 21,060 - B. Treasury shares B.1 Ordinary shares (199) - (2) - B.2 Savings shares - - - - Total B (199) - (2) - Share capital, which as of 31 December 2020 was represented by No.2,237,261,803 ordinary shares, in 2021 changed due to a free share capital increase by €73 million resolved on 10 February 2021 by UniCredit’s Board of Directors by issuing No.6,288,605 ordinary shares to be granted to the employees of UniCredit group. On 4 October 2021 No.17,420,888 treasury shares were cancelled, without reduction of the share capital upon completion of the "First Buy-Back Programme 2021". As a result of the above as at 31 December 2021 the share capital of UniCredit S.p.A. amounts to €21,133 million represented by No.2,226,129,520 ordinary shares with no nominal value. The balance of treasury shares at year end 2021 recognise the cost of No.15,048,642 shares purchased and settled at the date in execution of the “Second Buy-Back Programme 2021” initiated on 13 December 2021, as also reported on section 12.2 below. 12.2 Share capital - Number of shares: annual changes CHANGES IN 2021 ITEMS/TYPES ORDINARY SAVINGS A. Issued shares as at the beginning of the year 2,237,261,803 - - Fully paid 2,237,261,803 - - Not fully paid - - A.1 Treasury shares (-) (4,760) - A.2 Shares outstanding: opening balance 2,237,257,043 - B. Increases 6,288,605 - B.1 New issues 6,288,605 - - Against payment - - - Business combinations - - - Bonds converted - - - Warrants exercised - - - Other - - - Free 6,288,605 - - To employees 6,288,605 - - To directors - - - Other - - B.2 Sales of treasury shares - - B.3 Other changes - - C. Decreases 32,464,770 - C.1 Cancellation - - C.2 Purchase of treasury shares 32,464,770 - C.3 Business tranferred - - C.4 Other changes - - of which: business combinations - - D. Shares outstanding: closing balance 2,211,080,878 - D.1 Treasury shares (+) 15,048,642 - D.2 Shares outstanding as at the end of the year 2,226,129,520 - - Fully paid 2,226,129,520 - - Not fully paid - - Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 670 2021 Annual Report and Accounts · UniCredit Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 Further information about shareholders’ equity are disclosed in the paragraph “Part F - Shareholders’ equity”, Notes to the accounts. 12.1 "Share capital" and "treasury shares": breakdown (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ISSUED SHARES UNDERWRITTEN SHARES ISSUED SHARES UNDERWRITTEN SHARES A. Share capital A.1 Ordinary shares 21,133 - 21,060 - A.2 Savings shares - - - - Total A 21,133 - 21,060 - B. Treasury shares B.1 Ordinary shares (199) - (2) - B.2 Savings shares - - - - Total B (199) - (2) - Share capital, which as of 31 December 2020 was represented by No.2,237,261,803 ordinary shares, in 2021 changed due to a free share capital increase by €73 million resolved on 10 February 2021 by UniCredit’s Board of Directors by issuing No.6,288,605 ordinary shares to be granted to the employees of UniCredit group. On 4 October 2021 No.17,420,888 treasury shares were cancelled, without reduction of the share capital upon completion of the "First Buy-Back Programme 2021". As a result of the above as at 31 December 2021 the share capital of UniCredit S.p.A. amounts to €21,133 million represented by No.2,226,129,520 ordinary shares with no nominal value. The balance of treasury shares at year end 2021 recognise the cost of No.15,048,642 shares purchased and settled at the date in execution of the “Second Buy-Back Programme 2021” initiated on 13 December 2021, as also reported on section 12.2 below. 12.2 Share capital - Number of shares: annual changes CHANGES IN 2021 ITEMS/TYPES ORDINARY SAVINGS A. Issued shares as at the beginning of the year 2,237,261,803 - - Fully paid 2,237,261,803 - - Not fully paid - - A.1 Treasury shares (-) (4,760) - A.2 Shares outstanding: opening balance 2,237,257,043 - B. Increases 6,288,605 - B.1 New issues 6,288,605 - - Against payment - - - Business combinations - - - Bonds converted - - - Warrants exercised - - - Other - - - Free 6,288,605 - - To employees 6,288,605 - - To directors - - - Other - - B.2 Sales of treasury shares - - B.3 Other changes - - C. Decreases 32,464,770 - C.1 Cancellation - - C.2 Purchase of treasury shares 32,464,770 - C.3 Business tranferred - - C.4 Other changes - - of which: business combinations - - D. Shares outstanding: closing balance 2,211,080,878 - D.1 Treasury shares (+) 15,048,642 - D.2 Shares outstanding as at the end of the year 2,226,129,520 - - Fully paid 2,226,129,520 - - Not fully paid - - Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 670 2021 Annual Report and Accounts · UniCredit Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 Further information about shareholders’ equity are disclosed in the paragraph “Part F - Shareholders’ equity”, Notes to the accounts. 12.1 "Share capital" and "treasury shares": breakdown (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ISSUED SHARES UNDERWRITTEN SHARES ISSUED SHARES UNDERWRITTEN SHARES A. Share capital A.1 Ordinary shares 21,133 - 21,060 - A.2 Savings shares - - - - Total A 21,133 - 21,060 - B. Treasury shares B.1 Ordinary shares (199) - (2) - B.2 Savings shares - - - - Total B (199) - (2) - Share capital, which as of 31 December 2020 was represented by No.2,237,261,803 ordinary shares, in 2021 changed due to a free share capital increase by €73 million resolved on 10 February 2021 by UniCredit’s Board of Directors by issuing No.6,288,605 ordinary shares to be granted to the employees of UniCredit group. On 4 October 2021 No.17,420,888 treasury shares were cancelled, without reduction of the share capital upon completion of the "First Buy-Back Programme 2021". As a result of the above as at 31 December 2021 the share capital of UniCredit S.p.A. amounts to €21,133 million represented by No.2,226,129,520 ordinary shares with no nominal value. The balance of treasury shares at year end 2021 recognise the cost of No.15,048,642 shares purchased and settled at the date in execution of the “Second Buy-Back Programme 2021” initiated on 13 December 2021, as also reported on section 12.2 below. 12.2 Share capital - Number of shares: annual changes CHANGES IN 2021 ITEMS/TYPES ORDINARY SAVINGS A. Issued shares as at the beginning of the year 2,237,261,803 - - Fully paid 2,237,261,803 - - Not fully paid - - A.1 Treasury shares (-) (4,760) - A.2 Shares outstanding: opening balance 2,237,257,043 - B. Increases 6,288,605 - B.1 New issues 6,288,605 - - Against payment - - - Business combinations - - - Bonds converted - - - Warrants exercised - - - Other - - - Free 6,288,605 - - To employees 6,288,605 - - To directors - - - Other - - B.2 Sales of treasury shares - - B.3 Other changes - - C. Decreases 32,464,770 - C.1 Cancellation - - C.2 Purchase of treasury shares 32,464,770 - C.3 Business tranferred - - C.4 Other changes - - of which: business combinations - - D. Shares outstanding: closing balance 2,211,080,878 - D.1 Treasury shares (+) 15,048,642 - D.2 Shares outstanding as at the end of the year 2,226,129,520 - - Fully paid 2,226,129,520 - - Not fully paid - - Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 670 2021 Annual Report and Accounts · UniCredit Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 Further information about shareholders’ equity are disclosed in the paragraph “Part F - Shareholders’ equity”, Notes to the accounts. 12.1 "Share capital" and "treasury shares": breakdown (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ISSUED SHARES UNDERWRITTEN SHARES ISSUED SHARES UNDERWRITTEN SHARES A. Share capital A.1 Ordinary shares 21,133 - 21,060 - A.2 Savings shares - - - - Total A 21,133 - 21,060 - B. Treasury shares B.1 Ordinary shares (199) - (2) - B.2 Savings shares - - - - Total B (199) - (2) - Share capital, which as of 31 December 2020 was represented by No.2,237,261,803 ordinary shares, in 2021 changed due to a free share capital increase by €73 million resolved on 10 February 2021 by UniCredit’s Board of Directors by issuing No.6,288,605 ordinary shares to be granted to the employees of UniCredit group. On 4 October 2021 No.17,420,888 treasury shares were cancelled, without reduction of the share capital upon completion of the "First Buy-Back Programme 2021". As a result of the above as at 31 December 2021 the share capital of UniCredit S.p.A. amounts to €21,133 million represented by No.2,226,129,520 ordinary shares with no nominal value. The balance of treasury shares at year end 2021 recognise the cost of No.15,048,642 shares purchased and settled at the date in execution of the “Second Buy-Back Programme 2021” initiated on 13 December 2021, as also reported on section 12.2 below. 12.2 Share capital - Number of shares: annual changes CHANGES IN 2021 ITEMS/TYPES ORDINARY SAVINGS A. Issued shares as at the beginning of the year 2,237,261,803 - - Fully paid 2,237,261,803 - - Not fully paid - - A.1 Treasury shares (-) (4,760) - A.2 Shares outstanding: opening balance 2,237,257,043 - B. Increases 6,288,605 - B.1 New issues 6,288,605 - - Against payment - - - Business combinations - - - Bonds converted - - - Warrants exercised - - - Other - - - Free 6,288,605 - - To employees 6,288,605 - - To directors - - - Other - - B.2 Sales of treasury shares - - B.3 Other changes - - C. Decreases 32,464,770 - C.1 Cancellation - - C.2 Purchase of treasury shares 32,464,770 - C.3 Business tranferred - - C.4 Other changes - - of which: business combinations - - D. Shares outstanding: closing balance 2,211,080,878 - D.1 Treasury shares (+) 15,048,642 - D.2 Shares outstanding as at the end of the year 2,226,129,520 - - Fully paid 2,226,129,520 - - Not fully paid - - Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 670 2021 Annual Report and Accounts · UniCredit Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 Further information about shareholders’ equity are disclosed in the paragraph “Part F - Shareholders’ equity”, Notes to the accounts. 12.1 "Share capital" and "treasury shares": breakdown (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 ISSUED SHARES UNDERWRITTEN SHARES ISSUED SHARES UNDERWRITTEN SHARES A. Share capital A.1 Ordinary shares 21,133 - 21,060 - A.2 Savings shares - - - - Total A 21,133 - 21,060 - B. Treasury shares B.1 Ordinary shares (199) - (2) - B.2 Savings shares - - - - Total B (199) - (2) - Share capital, which as of 31 December 2020 was represented by No.2,237,261,803 ordinary shares, in 2021 changed due to a free share capital increase by €73 million resolved on 10 February 2021 by UniCredit’s Board of Directors by issuing No.6,288,605 ordinary shares to be granted to the employees of UniCredit group. On 4 October 2021 No.17,420,888 treasury shares were cancelled, without reduction of the share capital upon completion of the "First Buy-Back Programme 2021". As a result of the above as at 31 December 2021 the share capital of UniCredit S.p.A. amounts to €21,133 million represented by No.2,226,129,520 ordinary shares with no nominal value. The balance of treasury shares at year end 2021 recognise the cost of No.15,048,642 shares purchased and settled at the date in execution of the “Second Buy-Back Programme 2021” initiated on 13 December 2021, as also reported on section 12.2 below. 12.2 Share capital - Number of shares: annual changes CHANGES IN 2021 ITEMS/TYPES ORDINARY SAVINGS A. Issued shares as at the beginning of the year 2,237,261,803 - - Fully paid 2,237,261,803 - - Not fully paid - - A.1 Treasury shares (-) (4,760) - A.2 Shares outstanding: opening balance 2,237,257,043 - B. Increases 6,288,605 - B.1 New issues 6,288,605 - - Against payment - - - Business combinations - - - Bonds converted - - - Warrants exercised - - - Other - - - Free 6,288,605 - - To employees 6,288,605 - - To directors - - - Other - - B.2 Sales of treasury shares - - B.3 Other changes - - C. Decreases 32,464,770 - C.1 Cancellation - - C.2 Purchase of treasury shares 32,464,770 - C.3 Business tranferred - - C.4 Other changes - - of which: business combinations - - D. Shares outstanding: closing balance 2,211,080,878 - D.1 Treasury shares (+) 15,048,642 - D.2 Shares outstanding as at the end of the year 2,226,129,520 - - Fully paid 2,226,129,520 - - Not fully paid - - Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 671 The item “Purchase of treasury shares” shows the shares purchased in execution of the share buy-back programs approved by Shareholders' Meeting of 15 April 2021 which concerned the purchase of No.17,416,128 shares with the “First Buy-Back programme 2021” completed on 23 June 2021 and No.15,048,642 shares purchased under the “Second Buy-Back Programme 2021” launched on 13 December 2021. The treasury shares purchased with the first buy-back tranche were canceled on 4 October 2021 including the No.4,760 treasury shares already in portfolio at the beginning of the year. 12.3 Capital: other information Pursuant to the resolution passed by the Extraordinary Shareholders' Meeting on 15 December 2011 shares have no face value. Outstanding ordinary shares relating to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” amount to No.9,675,640 (issued in the context of the January 2009 capital increase) provides for Euribor-linked discretionary payments contingent also on the payment of dividends on ordinary shares. The voting right cannot be exercised on these shares. 12.4 Reserves from profits: other information (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Legal reserve 1,518 1,518 Statutory reserve 6,828 7,380 Other reserves 1,079 766 Total 9,425 9,664 The Legal reserve in overall includes, in addition to the amount of €1,518 million, also the amount of €2,738 million classified among other reserves (not from profits) through a withdrawal from the “Share premium reserve” as resolved by the Shareholders’ Meeting of 11 May 2013, 13 May 2014, 14 April 2016 and 15 April 2021 in order to replenish the Legal reserve above the limit set by Art.2430 of the Italian Civil Code. 12.5 Equity instruments: composition and annual changes The item is entirely composed by Additional Tier 1 bond issuances placed between 2014 and 2021 net of the related issue costs (a total of eight issues. During 2021 an early repayment of equity instruments placed in 2014 was carried out for a total amount of €1,000 million and a new issue was placed for a nominal amount of €750 million. 12.6 Other Information Valuation reserves: breakdown (€ million) AMOUNTS AS AT ITEM/TYPES 12.31.2021 12.31.2020 1. Equity instruments designated at fair value through other comprehensive income (260) (350) 2. Financial assets (other than equity instruments) at fair value through other comprehensive income 407 433 3. Hedging of equity instruments at fair value through other comprehensive income - - 4. Financial liabilities at fair value through profit or loss (changes in own credit risk) (87) (144) 5. Hedging instruments (non-designated elements) - - 6. Property, plant and equipment 699 518 7. Intangible assets - - 8. Hedges of foreign investments - - 9. Cash-flow hedges (14) (103) 10. Exchange differences - - 11. Non-current assets classified as held for sale - - 12. Actuarial gains (losses) on defined-benefit plans (228) (236) 13. Part of valuation reserves of investments valued at net equity - - 14. Special revaluation laws 277 277 Total 794 395 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 671 The item “Purchase of treasury shares” shows the shares purchased in execution of the share buy-back programs approved by Shareholders' Meeting of 15 April 2021 which concerned the purchase of No.17,416,128 shares with the “First Buy-Back programme 2021” completed on 23 June 2021 and No.15,048,642 shares purchased under the “Second Buy-Back Programme 2021” launched on 13 December 2021. The treasury shares purchased with the first buy-back tranche were canceled on 4 October 2021 including the No.4,760 treasury shares already in portfolio at the beginning of the year. 12.3 Capital: other information Pursuant to the resolution passed by the Extraordinary Shareholders' Meeting on 15 December 2011 shares have no face value. Outstanding ordinary shares relating to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” amount to No.9,675,640 (issued in the context of the January 2009 capital increase) provides for Euribor-linked discretionary payments contingent also on the payment of dividends on ordinary shares. The voting right cannot be exercised on these shares. 12.4 Reserves from profits: other information (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Legal reserve 1,518 1,518 Statutory reserve 6,828 7,380 Other reserves 1,079 766 Total 9,425 9,664 The Legal reserve in overall includes, in addition to the amount of €1,518 million, also the amount of €2,738 million classified among other reserves (not from profits) through a withdrawal from the “Share premium reserve” as resolved by the Shareholders’ Meeting of 11 May 2013, 13 May 2014, 14 April 2016 and 15 April 2021 in order to replenish the Legal reserve above the limit set by Art.2430 of the Italian Civil Code. 12.5 Equity instruments: composition and annual changes The item is entirely composed by Additional Tier 1 bond issuances placed between 2014 and 2021 net of the related issue costs (a total of eight issues. During 2021 an early repayment of equity instruments placed in 2014 was carried out for a total amount of €1,000 million and a new issue was placed for a nominal amount of €750 million. 12.6 Other Information Valuation reserves: breakdown (€ million) AMOUNTS AS AT ITEM/TYPES 12.31.2021 12.31.2020 1. Equity instruments designated at fair value through other comprehensive income (260) (350) 2. Financial assets (other than equity instruments) at fair value through other comprehensive income 407 433 3. Hedging of equity instruments at fair value through other comprehensive income - - 4. Financial liabilities at fair value through profit or loss (changes in own credit risk) (87) (144) 5. Hedging instruments (non-designated elements) - - 6. Property, plant and equipment 699 518 7. Intangible assets - - 8. Hedges of foreign investments - - 9. Cash-flow hedges (14) (103) 10. Exchange differences - - 11. Non-current assets classified as held for sale - - 12. Actuarial gains (losses) on defined-benefit plans (228) (236) 13. Part of valuation reserves of investments valued at net equity - - 14. Special revaluation laws 277 277 Total 794 395 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 671 The item “Purchase of treasury shares” shows the shares purchased in execution of the share buy-back programs approved by Shareholders' Meeting of 15 April 2021 which concerned the purchase of No.17,416,128 shares with the “First Buy-Back programme 2021” completed on 23 June 2021 and No.15,048,642 shares purchased under the “Second Buy-Back Programme 2021” launched on 13 December 2021. The treasury shares purchased with the first buy-back tranche were canceled on 4 October 2021 including the No.4,760 treasury shares already in portfolio at the beginning of the year. 12.3 Capital: other information Pursuant to the resolution passed by the Extraordinary Shareholders' Meeting on 15 December 2011 shares have no face value. Outstanding ordinary shares relating to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” amount to No.9,675,640 (issued in the context of the January 2009 capital increase) provides for Euribor-linked discretionary payments contingent also on the payment of dividends on ordinary shares. The voting right cannot be exercised on these shares. 12.4 Reserves from profits: other information (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Legal reserve 1,518 1,518 Statutory reserve 6,828 7,380 Other reserves 1,079 766 Total 9,425 9,664 The Legal reserve in overall includes, in addition to the amount of €1,518 million, also the amount of €2,738 million classified among other reserves (not from profits) through a withdrawal from the “Share premium reserve” as resolved by the Shareholders’ Meeting of 11 May 2013, 13 May 2014, 14 April 2016 and 15 April 2021 in order to replenish the Legal reserve above the limit set by Art.2430 of the Italian Civil Code. 12.5 Equity instruments: composition and annual changes The item is entirely composed by Additional Tier 1 bond issuances placed between 2014 and 2021 net of the related issue costs (a total of eight issues. During 2021 an early repayment of equity instruments placed in 2014 was carried out for a total amount of €1,000 million and a new issue was placed for a nominal amount of €750 million. 12.6 Other Information Valuation reserves: breakdown (€ million) AMOUNTS AS AT ITEM/TYPES 12.31.2021 12.31.2020 1. Equity instruments designated at fair value through other comprehensive income (260) (350) 2. Financial assets (other than equity instruments) at fair value through other comprehensive income 407 433 3. Hedging of equity instruments at fair value through other comprehensive income - - 4. Financial liabilities at fair value through profit or loss (changes in own credit risk) (87) (144) 5. Hedging instruments (non-designated elements) - - 6. Property, plant and equipment 699 518 7. Intangible assets - - 8. Hedges of foreign investments - - 9. Cash-flow hedges (14) (103) 10. Exchange differences - - 11. Non-current assets classified as held for sale - - 12. Actuarial gains (losses) on defined-benefit plans (228) (236) 13. Part of valuation reserves of investments valued at net equity - - 14. Special revaluation laws 277 277 Total 794 395 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 671 The item “Purchase of treasury shares” shows the shares purchased in execution of the share buy-back programs approved by Shareholders' Meeting of 15 April 2021 which concerned the purchase of No.17,416,128 shares with the “First Buy-Back programme 2021” completed on 23 June 2021 and No.15,048,642 shares purchased under the “Second Buy-Back Programme 2021” launched on 13 December 2021. The treasury shares purchased with the first buy-back tranche were canceled on 4 October 2021 including the No.4,760 treasury shares already in portfolio at the beginning of the year. 12.3 Capital: other information Pursuant to the resolution passed by the Extraordinary Shareholders' Meeting on 15 December 2011 shares have no face value. Outstanding ordinary shares relating to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” amount to No.9,675,640 (issued in the context of the January 2009 capital increase) provides for Euribor-linked discretionary payments contingent also on the payment of dividends on ordinary shares. The voting right cannot be exercised on these shares. 12.4 Reserves from profits: other information (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Legal reserve 1,518 1,518 Statutory reserve 6,828 7,380 Other reserves 1,079 766 Total 9,425 9,664 The Legal reserve in overall includes, in addition to the amount of €1,518 million, also the amount of €2,738 million classified among other reserves (not from profits) through a withdrawal from the “Share premium reserve” as resolved by the Shareholders’ Meeting of 11 May 2013, 13 May 2014, 14 April 2016 and 15 April 2021 in order to replenish the Legal reserve above the limit set by Art.2430 of the Italian Civil Code. 12.5 Equity instruments: composition and annual changes The item is entirely composed by Additional Tier 1 bond issuances placed between 2014 and 2021 net of the related issue costs (a total of eight issues. During 2021 an early repayment of equity instruments placed in 2014 was carried out for a total amount of €1,000 million and a new issue was placed for a nominal amount of €750 million. 12.6 Other Information Valuation reserves: breakdown (€ million) AMOUNTS AS AT ITEM/TYPES 12.31.2021 12.31.2020 1. Equity instruments designated at fair value through other comprehensive income (260) (350) 2. Financial assets (other than equity instruments) at fair value through other comprehensive income 407 433 3. Hedging of equity instruments at fair value through other comprehensive income - - 4. Financial liabilities at fair value through profit or loss (changes in own credit risk) (87) (144) 5. Hedging instruments (non-designated elements) - - 6. Property, plant and equipment 699 518 7. Intangible assets - - 8. Hedges of foreign investments - - 9. Cash-flow hedges (14) (103) 10. Exchange differences - - 11. Non-current assets classified as held for sale - - 12. Actuarial gains (losses) on defined-benefit plans (228) (236) 13. Part of valuation reserves of investments valued at net equity - - 14. Special revaluation laws 277 277 Total 794 395 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 671 The item “Purchase of treasury shares” shows the shares purchased in execution of the share buy-back programs approved by Shareholders' Meeting of 15 April 2021 which concerned the purchase of No.17,416,128 shares with the “First Buy-Back programme 2021” completed on 23 June 2021 and No.15,048,642 shares purchased under the “Second Buy-Back Programme 2021” launched on 13 December 2021. The treasury shares purchased with the first buy-back tranche were canceled on 4 October 2021 including the No.4,760 treasury shares already in portfolio at the beginning of the year. 12.3 Capital: other information Pursuant to the resolution passed by the Extraordinary Shareholders' Meeting on 15 December 2011 shares have no face value. Outstanding ordinary shares relating to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares for the issuance of convertible securities denominated “Cashes” amount to No.9,675,640 (issued in the context of the January 2009 capital increase) provides for Euribor-linked discretionary payments contingent also on the payment of dividends on ordinary shares. The voting right cannot be exercised on these shares. 12.4 Reserves from profits: other information (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 Legal reserve 1,518 1,518 Statutory reserve 6,828 7,380 Other reserves 1,079 766 Total 9,425 9,664 The Legal reserve in overall includes, in addition to the amount of €1,518 million, also the amount of €2,738 million classified among other reserves (not from profits) through a withdrawal from the “Share premium reserve” as resolved by the Shareholders’ Meeting of 11 May 2013, 13 May 2014, 14 April 2016 and 15 April 2021 in order to replenish the Legal reserve above the limit set by Art.2430 of the Italian Civil Code. 12.5 Equity instruments: composition and annual changes The item is entirely composed by Additional Tier 1 bond issuances placed between 2014 and 2021 net of the related issue costs (a total of eight issues. During 2021 an early repayment of equity instruments placed in 2014 was carried out for a total amount of €1,000 million and a new issue was placed for a nominal amount of €750 million. 12.6 Other Information Valuation reserves: breakdown (€ million) AMOUNTS AS AT ITEM/TYPES 12.31.2021 12.31.2020 1. Equity instruments designated at fair value through other comprehensive income (260) (350) 2. Financial assets (other than equity instruments) at fair value through other comprehensive income 407 433 3. Hedging of equity instruments at fair value through other comprehensive income - - 4. Financial liabilities at fair value through profit or loss (changes in own credit risk) (87) (144) 5. Hedging instruments (non-designated elements) - - 6. Property, plant and equipment 699 518 7. Intangible assets - - 8. Hedges of foreign investments - - 9. Cash-flow hedges (14) (103) 10. Exchange differences - - 11. Non-current assets classified as held for sale - - 12. Actuarial gains (losses) on defined-benefit plans (228) (236) 13. Part of valuation reserves of investments valued at net equity - - 14. Special revaluation laws 277 277 Total 794 395 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 672 2021 Annual Report and Accounts · UniCredit The following table, in accordance with article 2427, paragraph 7-bis, of the Italian Civil Code, provides details on the origin, possible uses and availability of distribution of shareholders’ equity, as well as the summary of its use in the three previous financial years. Breakdown of Shareholders' Equity (with indication of availability and distribution) (€ million) SUMMARY OF USE IN THE THREE PREVIOUS FINANCIAL YEARS ITEMS AMOUNT PERMITTED USES(*) AVAILABLE PORTION TO COVER LOSSES OTHER REASONS Share capital 21,133 - - Share premium 5,446 A, B, C 5,446 3,287 4,659 (1) Reserves: 15,131 Legal reserve 4,256 B (2) 4,256 - - Reserve for treasury shares 199 - - - - Statutory reserves 6,828 A, B, C 6,828 - 1,132 (3) Reserves arising out of transfer of assets 420 A, B, C (4) 420 - - Reserves related to the medium-term incentive programme for Group staff 21 - (5) - - 193 (14) Reserve related to equity-settled plans 902 A, B, C (6) 684 - - Reserve related to business combinations (IFRS3) 2,093 A, B, C (7) 2,093 - - Reserve pursuant to Art.1, C.984 Legislative Decree 145/2018 144 A, B, C (8) 144 Reserve related to business combinations within the Group 518 A, B, C (9) 518 - - Reserve pursuant to Art.6, paragraph 2 Legislative Decree 38/2005 369 B (10) 369 - - Reserve for share purchase transactions 452 - - Other reserves 84 A, B, C 84 - - Negative components of shareholders' equity (1,155) - (11) (1,155) - - Revaluation reserves: 793 Monetary equalisation reserve under L.576/75 4 A, B, C (12) 4 - - Monetary revaluation reserve under L.72/83 85 A, B, C (12) 85 - - Asset revaluation reserve under L.408/90 29 A, B, C (12) 29 - - Property revaluation reserve under L.413/91 159 A, B, C (12) 159 - - Financial assets and liabilities at fair value through other comprehensive income 60 - (13) - - - Reserve for property plant and equipment 698 - (13) - Cash-flow hedges reserve (14) - (13) - - - Reserve for actuarial gains (losses) on employee defined -benefit plans (228) - (13) - - - Total 42,503 19,964 3,287 5,984 Portion not allowed in distribution 4,625 Remaining portion available for distribution(**) 15,339 Notes: (*) A: for capital increase; B: to cover losses; C: distribution to shareholders. (**) Share premium reserve is considered distributable as the legal reserve is at the level of one-fifth of the share capital, as per article 2430 of the Italian Civil Code; the distributable overall amount is net of negative items. (1) Reserve used for coverage negative reserves (€3,774 million); to increase the Legal reserve (€55 million) and for the allocation to the unavailable reserve for buyback (€830 million). (2) Reserve available to cover losses only after the utilisation of other reserves, except for the reserves pursuant to article 6, paragraph 2, of Legislative Decree 38/2005; the reserve includes €2,738 million from Share premium reserve as approved by the Ordinary Shareholders’ Meetings of 11 May 2013, 13 May 2014, 14 April 2016 and 15 April 2021. (3) Reserve used to cover negative reserves (€376 million); for allocation to the specific reserve pursuant to Art.1, p. 984 L.D.145/2018 (€144 million), for allocation to the reserve pursuant to Art.6, p.2 L.D. 38/2005 (€270 million), for allocation to the reserve related to the medium-term incentive programme for Group staff (€74 million) and for distribution of dividends (€268 million). (4) The reserve includes €215 million distributable according to the procedure established article 2445 of the Italian Civil Code; in case of utilization to cover losses, profits may not be distributed until the reserve is restored to its full amount or is reduced by the corresponding amount. (5) The shareholders' meeting can resolve the removal of the constraint making it available and distributable. (6) These reserves set up in application of the accounting standard IFRS2 are unavailable as long as the related plans are vested. (7) The Reserve from business combination (IFRS3), generated with the acquisition of the shareholdings UniCredit Bank AG and UniCredit Bank Austria AG, is fully available due to the write-downs recognised through Profit and loss in the previous years on these shareholdings and covered without using the reserve in question. A portion of this reserve equal to €736 million is to be considered restricted in tax suspension due to the tax realignment of the properties carried out pursuant to Art.110 of the D.L. 2020/104. In the event of distribution of the reserve, the related restricted portion will be subject to taxation at the ordinary rate. (8) Reserve in suspension of tax established with withdrawal of the statutory reserve; in case of distribution will be subject to taxation at the ordinary rate. (9) The reserve includes the merger surplus from the merger of the subsidiary UniCredit Bank Ireland Public Limited Company (€295 million). (10) Reserve from profit non distributable; includes retained earnings connected with the application of the fair value model on investment properties (€75 million); if the reserve is used to cover losses, profits cannot be distributed until this reserve has been replenished by allocating profits from future years. (11) Negative components affect the availability and distributability of positive reserves of the shareholders’ equity. (12) If case of use to cover losses, profits may not be distributed until the reserve is restored to its full amount or is reduced by the corresponding amount by resolution of the extraordinary Shareholders' Meeting Resolution, without application of the provisions of the second and third paragraphs of article 2445 of the Italian Civil Code. If the reserve is not recognised under share capital, it may only be reduced by resolution adopted in application of the provisions of the second and third paragraphs of article 2445 of the Italian Civil Code. (13) The reserve, when positive, is not available pursuant to article 6 of Legislative Decree 38/2005. (14) Reserve used for free capital increase with respect to allocation of performance shares connected to the personnel incentive plan. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 672 2021 Annual Report and Accounts · UniCredit The following table, in accordance with article 2427, paragraph 7-bis, of the Italian Civil Code, provides details on the origin, possible uses and availability of distribution of shareholders’ equity, as well as the summary of its use in the three previous financial years. Breakdown of Shareholders' Equity (with indication of availability and distribution) (€ million) SUMMARY OF USE IN THE THREE PREVIOUS FINANCIAL YEARS ITEMS AMOUNT PERMITTED USES(*) AVAILABLE PORTION TO COVER LOSSES OTHER REASONS Share capital 21,133 - - Share premium 5,446 A, B, C 5,446 3,287 4,659 (1) Reserves: 15,131 Legal reserve 4,256 B (2) 4,256 - - Reserve for treasury shares 199 - - - - Statutory reserves 6,828 A, B, C 6,828 - 1,132 (3) Reserves arising out of transfer of assets 420 A, B, C (4) 420 - - Reserves related to the medium-term incentive programme for Group staff 21 - (5) - - 193 (14) Reserve related to equity-settled plans 902 A, B, C (6) 684 - - Reserve related to business combinations (IFRS3) 2,093 A, B, C (7) 2,093 - - Reserve pursuant to Art.1, C.984 Legislative Decree 145/2018 144 A, B, C (8) 144 Reserve related to business combinations within the Group 518 A, B, C (9) 518 - - Reserve pursuant to Art.6, paragraph 2 Legislative Decree 38/2005 369 B (10) 369 - - Reserve for share purchase transactions 452 - - Other reserves 84 A, B, C 84 - - Negative components of shareholders' equity (1,155) - (11) (1,155) - - Revaluation reserves: 793 Monetary equalisation reserve under L.576/75 4 A, B, C (12) 4 - - Monetary revaluation reserve under L.72/83 85 A, B, C (12) 85 - - Asset revaluation reserve under L.408/90 29 A, B, C (12) 29 - - Property revaluation reserve under L.413/91 159 A, B, C (12) 159 - - Financial assets and liabilities at fair value through other comprehensive income 60 - (13) - - - Reserve for property plant and equipment 698 - (13) - Cash-flow hedges reserve (14) - (13) - - - Reserve for actuarial gains (losses) on employee defined -benefit plans (228) - (13) - - - Total 42,503 19,964 3,287 5,984 Portion not allowed in distribution 4,625 Remaining portion available for distribution(**) 15,339 Notes: (*) A: for capital increase; B: to cover losses; C: distribution to shareholders. (**) Share premium reserve is considered distributable as the legal reserve is at the level of one-fifth of the share capital, as per article 2430 of the Italian Civil Code; the distributable overall amount is net of negative items. (1) Reserve used for coverage negative reserves (€3,774 million); to increase the Legal reserve (€55 million) and for the allocation to the unavailable reserve for buyback (€830 million). (2) Reserve available to cover losses only after the utilisation of other reserves, except for the reserves pursuant to article 6, paragraph 2, of Legislative Decree 38/2005; the reserve includes €2,738 million from Share premium reserve as approved by the Ordinary Shareholders’ Meetings of 11 May 2013, 13 May 2014, 14 April 2016 and 15 April 2021. (3) Reserve used to cover negative reserves (€376 million); for allocation to the specific reserve pursuant to Art.1, p. 984 L.D.145/2018 (€144 million), for allocation to the reserve pursuant to Art.6, p.2 L.D. 38/2005 (€270 million), for allocation to the reserve related to the medium-term incentive programme for Group staff (€74 million) and for distribution of dividends (€268 million). (4) The reserve includes €215 million distributable according to the procedure established article 2445 of the Italian Civil Code; in case of utilization to cover losses, profits may not be distributed until the reserve is restored to its full amount or is reduced by the corresponding amount. (5) The shareholders' meeting can resolve the removal of the constraint making it available and distributable. (6) These reserves set up in application of the accounting standard IFRS2 are unavailable as long as the related plans are vested. (7) The Reserve from business combination (IFRS3), generated with the acquisition of the shareholdings UniCredit Bank AG and UniCredit Bank Austria AG, is fully available due to the write-downs recognised through Profit and loss in the previous years on these shareholdings and covered without using the reserve in question. A portion of this reserve equal to €736 million is to be considered restricted in tax suspension due to the tax realignment of the properties carried out pursuant to Art.110 of the D.L. 2020/104. In the event of distribution of the reserve, the related restricted portion will be subject to taxation at the ordinary rate. (8) Reserve in suspension of tax established with withdrawal of the statutory reserve; in case of distribution will be subject to taxation at the ordinary rate. (9) The reserve includes the merger surplus from the merger of the subsidiary UniCredit Bank Ireland Public Limited Company (€295 million). (10) Reserve from profit non distributable; includes retained earnings connected with the application of the fair value model on investment properties (€75 million); if the reserve is used to cover losses, profits cannot be distributed until this reserve has been replenished by allocating profits from future years. (11) Negative components affect the availability and distributability of positive reserves of the shareholders’ equity. (12) If case of use to cover losses, profits may not be distributed until the reserve is restored to its full amount or is reduced by the corresponding amount by resolution of the extraordinary Shareholders' Meeting Resolution, without application of the provisions of the second and third paragraphs of article 2445 of the Italian Civil Code. If the reserve is not recognised under share capital, it may only be reduced by resolution adopted in application of the provisions of the second and third paragraphs of article 2445 of the Italian Civil Code. (13) The reserve, when positive, is not available pursuant to article 6 of Legislative Decree 38/2005. (14) Reserve used for free capital increase with respect to allocation of performance shares connected to the personnel incentive plan. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 672 2021 Annual Report and Accounts · UniCredit The following table, in accordance with article 2427, paragraph 7-bis, of the Italian Civil Code, provides details on the origin, possible uses and availability of distribution of shareholders’ equity, as well as the summary of its use in the three previous financial years. Breakdown of Shareholders' Equity (with indication of availability and distribution) (€ million) SUMMARY OF USE IN THE THREE PREVIOUS FINANCIAL YEARS ITEMS AMOUNT PERMITTED USES(*) AVAILABLE PORTION TO COVER LOSSES OTHER REASONS Share capital 21,133 - - Share premium 5,446 A, B, C 5,446 3,287 4,659 (1) Reserves: 15,131 Legal reserve 4,256 B (2) 4,256 - - Reserve for treasury shares 199 - - - - Statutory reserves 6,828 A, B, C 6,828 - 1,132 (3) Reserves arising out of transfer of assets 420 A, B, C (4) 420 - - Reserves related to the medium-term incentive programme for Group staff 21 - (5) - - 193 (14) Reserve related to equity-settled plans 902 A, B, C (6) 684 - - Reserve related to business combinations (IFRS3) 2,093 A, B, C (7) 2,093 - - Reserve pursuant to Art.1, C.984 Legislative Decree 145/2018 144 A, B, C (8) 144 Reserve related to business combinations within the Group 518 A, B, C (9) 518 - - Reserve pursuant to Art.6, paragraph 2 Legislative Decree 38/2005 369 B (10) 369 - - Reserve for share purchase transactions 452 - - Other reserves 84 A, B, C 84 - - Negative components of shareholders' equity (1,155) - (11) (1,155) - - Revaluation reserves: 793 Monetary equalisation reserve under L.576/75 4 A, B, C (12) 4 - - Monetary revaluation reserve under L.72/83 85 A, B, C (12) 85 - - Asset revaluation reserve under L.408/90 29 A, B, C (12) 29 - - Property revaluation reserve under L.413/91 159 A, B, C (12) 159 - - Financial assets and liabilities at fair value through other comprehensive income 60 - (13) - - - Reserve for property plant and equipment 698 - (13) - Cash-flow hedges reserve (14) - (13) - - - Reserve for actuarial gains (losses) on employee defined -benefit plans (228) - (13) - - - Total 42,503 19,964 3,287 5,984 Portion not allowed in distribution 4,625 Remaining portion available for distribution(**) 15,339 Notes: (*) A: for capital increase; B: to cover losses; C: distribution to shareholders. (**) Share premium reserve is considered distributable as the legal reserve is at the level of one-fifth of the share capital, as per article 2430 of the Italian Civil Code; the distributable overall amount is net of negative items. (1) Reserve used for coverage negative reserves (€3,774 million); to increase the Legal reserve (€55 million) and for the allocation to the unavailable reserve for buyback (€830 million). (2) Reserve available to cover losses only after the utilisation of other reserves, except for the reserves pursuant to article 6, paragraph 2, of Legislative Decree 38/2005; the reserve includes €2,738 million from Share premium reserve as approved by the Ordinary Shareholders’ Meetings of 11 May 2013, 13 May 2014, 14 April 2016 and 15 April 2021. (3) Reserve used to cover negative reserves (€376 million); for allocation to the specific reserve pursuant to Art.1, p. 984 L.D.145/2018 (€144 million), for allocation to the reserve pursuant to Art.6, p.2 L.D. 38/2005 (€270 million), for allocation to the reserve related to the medium-term incentive programme for Group staff (€74 million) and for distribution of dividends (€268 million). (4) The reserve includes €215 million distributable according to the procedure established article 2445 of the Italian Civil Code; in case of utilization to cover losses, profits may not be distributed until the reserve is restored to its full amount or is reduced by the corresponding amount. (5) The shareholders' meeting can resolve the removal of the constraint making it available and distributable. (6) These reserves set up in application of the accounting standard IFRS2 are unavailable as long as the related plans are vested. (7) The Reserve from business combination (IFRS3), generated with the acquisition of the shareholdings UniCredit Bank AG and UniCredit Bank Austria AG, is fully available due to the write-downs recognised through Profit and loss in the previous years on these shareholdings and covered without using the reserve in question. A portion of this reserve equal to €736 million is to be considered restricted in tax suspension due to the tax realignment of the properties carried out pursuant to Art.110 of the D.L. 2020/104. In the event of distribution of the reserve, the related restricted portion will be subject to taxation at the ordinary rate. (8) Reserve in suspension of tax established with withdrawal of the statutory reserve; in case of distribution will be subject to taxation at the ordinary rate. (9) The reserve includes the merger surplus from the merger of the subsidiary UniCredit Bank Ireland Public Limited Company (€295 million). (10) Reserve from profit non distributable; includes retained earnings connected with the application of the fair value model on investment properties (€75 million); if the reserve is used to cover losses, profits cannot be distributed until this reserve has been replenished by allocating profits from future years. (11) Negative components affect the availability and distributability of positive reserves of the shareholders’ equity. (12) If case of use to cover losses, profits may not be distributed until the reserve is restored to its full amount or is reduced by the corresponding amount by resolution of the extraordinary Shareholders' Meeting Resolution, without application of the provisions of the second and third paragraphs of article 2445 of the Italian Civil Code. If the reserve is not recognised under share capital, it may only be reduced by resolution adopted in application of the provisions of the second and third paragraphs of article 2445 of the Italian Civil Code. (13) The reserve, when positive, is not available pursuant to article 6 of Legislative Decree 38/2005. (14) Reserve used for free capital increase with respect to allocation of performance shares connected to the personnel incentive plan. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 672 2021 Annual Report and Accounts · UniCredit The following table, in accordance with article 2427, paragraph 7-bis, of the Italian Civil Code, provides details on the origin, possible uses and availability of distribution of shareholders’ equity, as well as the summary of its use in the three previous financial years. Breakdown of Shareholders' Equity (with indication of availability and distribution) (€ million) SUMMARY OF USE IN THE THREE PREVIOUS FINANCIAL YEARS ITEMS AMOUNT PERMITTED USES(*) AVAILABLE PORTION TO COVER LOSSES OTHER REASONS Share capital 21,133 - - Share premium 5,446 A, B, C 5,446 3,287 4,659 (1) Reserves: 15,131 Legal reserve 4,256 B (2) 4,256 - - Reserve for treasury shares 199 - - - - Statutory reserves 6,828 A, B, C 6,828 - 1,132 (3) Reserves arising out of transfer of assets 420 A, B, C (4) 420 - - Reserves related to the medium-term incentive programme for Group staff 21 - (5) - - 193 (14) Reserve related to equity-settled plans 902 A, B, C (6) 684 - - Reserve related to business combinations (IFRS3) 2,093 A, B, C (7) 2,093 - - Reserve pursuant to Art.1, C.984 Legislative Decree 145/2018 144 A, B, C (8) 144 Reserve related to business combinations within the Group 518 A, B, C (9) 518 - - Reserve pursuant to Art.6, paragraph 2 Legislative Decree 38/2005 369 B (10) 369 - - Reserve for share purchase transactions 452 - - Other reserves 84 A, B, C 84 - - Negative components of shareholders' equity (1,155) - (11) (1,155) - - Revaluation reserves: 793 Monetary equalisation reserve under L.576/75 4 A, B, C (12) 4 - - Monetary revaluation reserve under L.72/83 85 A, B, C (12) 85 - - Asset revaluation reserve under L.408/90 29 A, B, C (12) 29 - - Property revaluation reserve under L.413/91 159 A, B, C (12) 159 - - Financial assets and liabilities at fair value through other comprehensive income 60 - (13) - - - Reserve for property plant and equipment 698 - (13) - Cash-flow hedges reserve (14) - (13) - - - Reserve for actuarial gains (losses) on employee defined -benefit plans (228) - (13) - - - Total 42,503 19,964 3,287 5,984 Portion not allowed in distribution 4,625 Remaining portion available for distribution(**) 15,339 Notes: (*) A: for capital increase; B: to cover losses; C: distribution to shareholders. (**) Share premium reserve is considered distributable as the legal reserve is at the level of one-fifth of the share capital, as per article 2430 of the Italian Civil Code; the distributable overall amount is net of negative items. (1) Reserve used for coverage negative reserves (€3,774 million); to increase the Legal reserve (€55 million) and for the allocation to the unavailable reserve for buyback (€830 million). (2) Reserve available to cover losses only after the utilisation of other reserves, except for the reserves pursuant to article 6, paragraph 2, of Legislative Decree 38/2005; the reserve includes €2,738 million from Share premium reserve as approved by the Ordinary Shareholders’ Meetings of 11 May 2013, 13 May 2014, 14 April 2016 and 15 April 2021. (3) Reserve used to cover negative reserves (€376 million); for allocation to the specific reserve pursuant to Art.1, p. 984 L.D.145/2018 (€144 million), for allocation to the reserve pursuant to Art.6, p.2 L.D. 38/2005 (€270 million), for allocation to the reserve related to the medium-term incentive programme for Group staff (€74 million) and for distribution of dividends (€268 million). (4) The reserve includes €215 million distributable according to the procedure established article 2445 of the Italian Civil Code; in case of utilization to cover losses, profits may not be distributed until the reserve is restored to its full amount or is reduced by the corresponding amount. (5) The shareholders' meeting can resolve the removal of the constraint making it available and distributable. (6) These reserves set up in application of the accounting standard IFRS2 are unavailable as long as the related plans are vested. (7) The Reserve from business combination (IFRS3), generated with the acquisition of the shareholdings UniCredit Bank AG and UniCredit Bank Austria AG, is fully available due to the write-downs recognised through Profit and loss in the previous years on these shareholdings and covered without using the reserve in question. A portion of this reserve equal to €736 million is to be considered restricted in tax suspension due to the tax realignment of the properties carried out pursuant to Art.110 of the D.L. 2020/104. In the event of distribution of the reserve, the related restricted portion will be subject to taxation at the ordinary rate. (8) Reserve in suspension of tax established with withdrawal of the statutory reserve; in case of distribution will be subject to taxation at the ordinary rate. (9) The reserve includes the merger surplus from the merger of the subsidiary UniCredit Bank Ireland Public Limited Company (€295 million). (10) Reserve from profit non distributable; includes retained earnings connected with the application of the fair value model on investment properties (€75 million); if the reserve is used to cover losses, profits cannot be distributed until this reserve has been replenished by allocating profits from future years. (11) Negative components affect the availability and distributability of positive reserves of the shareholders’ equity. (12) If case of use to cover losses, profits may not be distributed until the reserve is restored to its full amount or is reduced by the corresponding amount by resolution of the extraordinary Shareholders' Meeting Resolution, without application of the provisions of the second and third paragraphs of article 2445 of the Italian Civil Code. If the reserve is not recognised under share capital, it may only be reduced by resolution adopted in application of the provisions of the second and third paragraphs of article 2445 of the Italian Civil Code. (13) The reserve, when positive, is not available pursuant to article 6 of Legislative Decree 38/2005. (14) Reserve used for free capital increase with respect to allocation of performance shares connected to the personnel incentive plan. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 672 2021 Annual Report and Accounts · UniCredit The following table, in accordance with article 2427, paragraph 7-bis, of the Italian Civil Code, provides details on the origin, possible uses and availability of distribution of shareholders’ equity, as well as the summary of its use in the three previous financial years. Breakdown of Shareholders' Equity (with indication of availability and distribution) (€ million) SUMMARY OF USE IN THE THREE PREVIOUS FINANCIAL YEARS ITEMS AMOUNT PERMITTED USES(*) AVAILABLE PORTION TO COVER LOSSES OTHER REASONS Share capital 21,133 - - Share premium 5,446 A, B, C 5,446 3,287 4,659 (1) Reserves: 15,131 Legal reserve 4,256 B (2) 4,256 - - Reserve for treasury shares 199 - - - - Statutory reserves 6,828 A, B, C 6,828 - 1,132 (3) Reserves arising out of transfer of assets 420 A, B, C (4) 420 - - Reserves related to the medium-term incentive programme for Group staff 21 - (5) - - 193 (14) Reserve related to equity-settled plans 902 A, B, C (6) 684 - - Reserve related to business combinations (IFRS3) 2,093 A, B, C (7) 2,093 - - Reserve pursuant to Art.1, C.984 Legislative Decree 145/2018 144 A, B, C (8) 144 Reserve related to business combinations within the Group 518 A, B, C (9) 518 - - Reserve pursuant to Art.6, paragraph 2 Legislative Decree 38/2005 369 B (10) 369 - - Reserve for share purchase transactions 452 - - Other reserves 84 A, B, C 84 - - Negative components of shareholders' equity (1,155) - (11) (1,155) - - Revaluation reserves: 793 Monetary equalisation reserve under L.576/75 4 A, B, C (12) 4 - - Monetary revaluation reserve under L.72/83 85 A, B, C (12) 85 - - Asset revaluation reserve under L.408/90 29 A, B, C (12) 29 - - Property revaluation reserve under L.413/91 159 A, B, C (12) 159 - - Financial assets and liabilities at fair value through other comprehensive income 60 - (13) - - - Reserve for property plant and equipment 698 - (13) - Cash-flow hedges reserve (14) - (13) - - - Reserve for actuarial gains (losses) on employee defined -benefit plans (228) - (13) - - - Total 42,503 19,964 3,287 5,984 Portion not allowed in distribution 4,625 Remaining portion available for distribution(**) 15,339 Notes: (*) A: for capital increase; B: to cover losses; C: distribution to shareholders. (**) Share premium reserve is considered distributable as the legal reserve is at the level of one-fifth of the share capital, as per article 2430 of the Italian Civil Code; the distributable overall amount is net of negative items. (1) Reserve used for coverage negative reserves (€3,774 million); to increase the Legal reserve (€55 million) and for the allocation to the unavailable reserve for buyback (€830 million). (2) Reserve available to cover losses only after the utilisation of other reserves, except for the reserves pursuant to article 6, paragraph 2, of Legislative Decree 38/2005; the reserve includes €2,738 million from Share premium reserve as approved by the Ordinary Shareholders’ Meetings of 11 May 2013, 13 May 2014, 14 April 2016 and 15 April 2021. (3) Reserve used to cover negative reserves (€376 million); for allocation to the specific reserve pursuant to Art.1, p. 984 L.D.145/2018 (€144 million), for allocation to the reserve pursuant to Art.6, p.2 L.D. 38/2005 (€270 million), for allocation to the reserve related to the medium-term incentive programme for Group staff (€74 million) and for distribution of dividends (€268 million). (4) The reserve includes €215 million distributable according to the procedure established article 2445 of the Italian Civil Code; in case of utilization to cover losses, profits may not be distributed until the reserve is restored to its full amount or is reduced by the corresponding amount. (5) The shareholders' meeting can resolve the removal of the constraint making it available and distributable. (6) These reserves set up in application of the accounting standard IFRS2 are unavailable as long as the related plans are vested. (7) The Reserve from business combination (IFRS3), generated with the acquisition of the shareholdings UniCredit Bank AG and UniCredit Bank Austria AG, is fully available due to the write-downs recognised through Profit and loss in the previous years on these shareholdings and covered without using the reserve in question. A portion of this reserve equal to €736 million is to be considered restricted in tax suspension due to the tax realignment of the properties carried out pursuant to Art.110 of the D.L. 2020/104. In the event of distribution of the reserve, the related restricted portion will be subject to taxation at the ordinary rate. (8) Reserve in suspension of tax established with withdrawal of the statutory reserve; in case of distribution will be subject to taxation at the ordinary rate. (9) The reserve includes the merger surplus from the merger of the subsidiary UniCredit Bank Ireland Public Limited Company (€295 million). (10) Reserve from profit non distributable; includes retained earnings connected with the application of the fair value model on investment properties (€75 million); if the reserve is used to cover losses, profits cannot be distributed until this reserve has been replenished by allocating profits from future years. (11) Negative components affect the availability and distributability of positive reserves of the shareholders’ equity. (12) If case of use to cover losses, profits may not be distributed until the reserve is restored to its full amount or is reduced by the corresponding amount by resolution of the extraordinary Shareholders' Meeting Resolution, without application of the provisions of the second and third paragraphs of article 2445 of the Italian Civil Code. If the reserve is not recognised under share capital, it may only be reduced by resolution adopted in application of the provisions of the second and third paragraphs of article 2445 of the Italian Civil Code. (13) The reserve, when positive, is not available pursuant to article 6 of Legislative Decree 38/2005. (14) Reserve used for free capital increase with respect to allocation of performance shares connected to the personnel incentive plan. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 673 In detail the composition of negative components of shareholders’ equity: (€ million) ITEMS 12.31.2021 Reserve for repayment of AT1 coupons and Cashes fees (380) Reserve for capital increase costs (300) Reserve for the unsustainable deferred tax assets relating to tax losses carried forward linked to equity items (113) Financial instruments at fair value through other comprehensive income (239) Reserve relating to business combination within the Group and other negative reserves (123) Total (1,155) The reserves relating to “business combinations within the Group” includes the negative differences arising from the merger of Buddy Servizi Molecolari S.p.A. (€7 million), Pioneer Global Asset Management (PGAM) S.p.A. (€30 million) and demerger of UniCredit Services S.C.p.A. of the activities related to italian operations and real estate and logistics businesses (€40 million, so-called "Reus" demerger). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 673 In detail the composition of negative components of shareholders’ equity: (€ million) ITEMS 12.31.2021 Reserve for repayment of AT1 coupons and Cashes fees (380) Reserve for capital increase costs (300) Reserve for the unsustainable deferred tax assets relating to tax losses carried forward linked to equity items (113) Financial instruments at fair value through other comprehensive income (239) Reserve relating to business combination within the Group and other negative reserves (123) Total (1,155) The reserves relating to “business combinations within the Group” includes the negative differences arising from the merger of Buddy Servizi Molecolari S.p.A. (€7 million), Pioneer Global Asset Management (PGAM) S.p.A. (€30 million) and demerger of UniCredit Services S.C.p.A. of the activities related to italian operations and real estate and logistics businesses (€40 million, so-called "Reus" demerger). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 673 In detail the composition of negative components of shareholders’ equity: (€ million) ITEMS 12.31.2021 Reserve for repayment of AT1 coupons and Cashes fees (380) Reserve for capital increase costs (300) Reserve for the unsustainable deferred tax assets relating to tax losses carried forward linked to equity items (113) Financial instruments at fair value through other comprehensive income (239) Reserve relating to business combination within the Group and other negative reserves (123) Total (1,155) The reserves relating to “business combinations within the Group” includes the negative differences arising from the merger of Buddy Servizi Molecolari S.p.A. (€7 million), Pioneer Global Asset Management (PGAM) S.p.A. (€30 million) and demerger of UniCredit Services S.C.p.A. of the activities related to italian operations and real estate and logistics businesses (€40 million, so-called "Reus" demerger). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 673 In detail the composition of negative components of shareholders’ equity: (€ million) ITEMS 12.31.2021 Reserve for repayment of AT1 coupons and Cashes fees (380) Reserve for capital increase costs (300) Reserve for the unsustainable deferred tax assets relating to tax losses carried forward linked to equity items (113) Financial instruments at fair value through other comprehensive income (239) Reserve relating to business combination within the Group and other negative reserves (123) Total (1,155) The reserves relating to “business combinations within the Group” includes the negative differences arising from the merger of Buddy Servizi Molecolari S.p.A. (€7 million), Pioneer Global Asset Management (PGAM) S.p.A. (€30 million) and demerger of UniCredit Services S.C.p.A. of the activities related to italian operations and real estate and logistics businesses (€40 million, so-called "Reus" demerger). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 673 In detail the composition of negative components of shareholders’ equity: (€ million) ITEMS 12.31.2021 Reserve for repayment of AT1 coupons and Cashes fees (380) Reserve for capital increase costs (300) Reserve for the unsustainable deferred tax assets relating to tax losses carried forward linked to equity items (113) Financial instruments at fair value through other comprehensive income (239) Reserve relating to business combination within the Group and other negative reserves (123) Total (1,155) The reserves relating to “business combinations within the Group” includes the negative differences arising from the merger of Buddy Servizi Molecolari S.p.A. (€7 million), Pioneer Global Asset Management (PGAM) S.p.A. (€30 million) and demerger of UniCredit Services S.C.p.A. of the activities related to italian operations and real estate and logistics businesses (€40 million, so-called "Reus" demerger). Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 674 2021 Annual Report and Accounts · UniCredit Other information 1. Commitments and financial guarantees given (different from those designated at fair value) (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT NOTIONAL AMOUNTS OF COMMITMENTS AND FINANCIAL GUARANTEES GIVEN 12.31.2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL TOTAL 1. Loan commitments given 19,331 5,326 99 - 24,756 25,832 a) Central Banks 19 - - - 19 18 b) Governments and other Public Sector Entities 2,235 333 28 - 2,596 3,703 c) Banks 692 29 - - 721 1,167 d) Other financial companies 4,110 454 9 - 4,573 3,830 e) Non-financial companies 12,046 4,487 60 - 16,593 16,934 f) Households 229 23 2 - 254 180 2. Financial guarantees given 29,998 10,164 660 - 40,822 34,321 a) Central Banks 34 - - - 34 55 b) Governments and other Public Sector Entities 558 2 - - 560 463 c) Banks 4,787 941 - - 5,728 5,351 d) Other financial companies 6,012 54 32 - 6,098 3,622 e) Non-financial companies 18,467 9,125 626 - 28,218 24,621 f) Households 140 42 2 - 184 209 2. Others commitments and others guarantees given (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 NOTIONAL AMOUNTS NOTIONAL AMOUNTS 1. Others guarantees given - - of which: non-performing loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - e) Non-financial companies - - f) Households - - 2. Others commitments 99,295 111,405 of which: non-performing loans 739 1,272 a) Central Banks 405 921 b) Governments and other Public Sector Entities 1,078 891 c) Banks 12,764 20,093 d) Other financial companies 17,962 25,305 e) Non-financial companies 61,949 58,980 f) Households 5,137 5,215 Table “1. Commitments and financial guarantees given” shows commitments and guarantees evaluated according to the IFRS9 requirements. Table “2. Other commitments and others guarantees given” shows commitments and guarantees that are not evaluated according to the IFRS9 requirements. According to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the tables also include the revocable commitments and the item “financial guarantees” also includes the commercial ones. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 674 2021 Annual Report and Accounts · UniCredit Other information 1. Commitments and financial guarantees given (different from those designated at fair value) (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT NOTIONAL AMOUNTS OF COMMITMENTS AND FINANCIAL GUARANTEES GIVEN 12.31.2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL TOTAL 1. Loan commitments given 19,331 5,326 99 - 24,756 25,832 a) Central Banks 19 - - - 19 18 b) Governments and other Public Sector Entities 2,235 333 28 - 2,596 3,703 c) Banks 692 29 - - 721 1,167 d) Other financial companies 4,110 454 9 - 4,573 3,830 e) Non-financial companies 12,046 4,487 60 - 16,593 16,934 f) Households 229 23 2 - 254 180 2. Financial guarantees given 29,998 10,164 660 - 40,822 34,321 a) Central Banks 34 - - - 34 55 b) Governments and other Public Sector Entities 558 2 - - 560 463 c) Banks 4,787 941 - - 5,728 5,351 d) Other financial companies 6,012 54 32 - 6,098 3,622 e) Non-financial companies 18,467 9,125 626 - 28,218 24,621 f) Households 140 42 2 - 184 209 2. Others commitments and others guarantees given (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 NOTIONAL AMOUNTS NOTIONAL AMOUNTS 1. Others guarantees given - - of which: non-performing loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - e) Non-financial companies - - f) Households - - 2. Others commitments 99,295 111,405 of which: non-performing loans 739 1,272 a) Central Banks 405 921 b) Governments and other Public Sector Entities 1,078 891 c) Banks 12,764 20,093 d) Other financial companies 17,962 25,305 e) Non-financial companies 61,949 58,980 f) Households 5,137 5,215 Table “1. Commitments and financial guarantees given” shows commitments and guarantees evaluated according to the IFRS9 requirements. Table “2. Other commitments and others guarantees given” shows commitments and guarantees that are not evaluated according to the IFRS9 requirements. According to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the tables also include the revocable commitments and the item “financial guarantees” also includes the commercial ones. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 674 2021 Annual Report and Accounts · UniCredit Other information 1. Commitments and financial guarantees given (different from those designated at fair value) (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT NOTIONAL AMOUNTS OF COMMITMENTS AND FINANCIAL GUARANTEES GIVEN 12.31.2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL TOTAL 1. Loan commitments given 19,331 5,326 99 - 24,756 25,832 a) Central Banks 19 - - - 19 18 b) Governments and other Public Sector Entities 2,235 333 28 - 2,596 3,703 c) Banks 692 29 - - 721 1,167 d) Other financial companies 4,110 454 9 - 4,573 3,830 e) Non-financial companies 12,046 4,487 60 - 16,593 16,934 f) Households 229 23 2 - 254 180 2. Financial guarantees given 29,998 10,164 660 - 40,822 34,321 a) Central Banks 34 - - - 34 55 b) Governments and other Public Sector Entities 558 2 - - 560 463 c) Banks 4,787 941 - - 5,728 5,351 d) Other financial companies 6,012 54 32 - 6,098 3,622 e) Non-financial companies 18,467 9,125 626 - 28,218 24,621 f) Households 140 42 2 - 184 209 2. Others commitments and others guarantees given (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 NOTIONAL AMOUNTS NOTIONAL AMOUNTS 1. Others guarantees given - - of which: non-performing loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - e) Non-financial companies - - f) Households - - 2. Others commitments 99,295 111,405 of which: non-performing loans 739 1,272 a) Central Banks 405 921 b) Governments and other Public Sector Entities 1,078 891 c) Banks 12,764 20,093 d) Other financial companies 17,962 25,305 e) Non-financial companies 61,949 58,980 f) Households 5,137 5,215 Table “1. Commitments and financial guarantees given” shows commitments and guarantees evaluated according to the IFRS9 requirements. Table “2. Other commitments and others guarantees given” shows commitments and guarantees that are not evaluated according to the IFRS9 requirements. According to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the tables also include the revocable commitments and the item “financial guarantees” also includes the commercial ones. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 674 2021 Annual Report and Accounts · UniCredit Other information 1. Commitments and financial guarantees given (different from those designated at fair value) (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT NOTIONAL AMOUNTS OF COMMITMENTS AND FINANCIAL GUARANTEES GIVEN 12.31.2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL TOTAL 1. Loan commitments given 19,331 5,326 99 - 24,756 25,832 a) Central Banks 19 - - - 19 18 b) Governments and other Public Sector Entities 2,235 333 28 - 2,596 3,703 c) Banks 692 29 - - 721 1,167 d) Other financial companies 4,110 454 9 - 4,573 3,830 e) Non-financial companies 12,046 4,487 60 - 16,593 16,934 f) Households 229 23 2 - 254 180 2. Financial guarantees given 29,998 10,164 660 - 40,822 34,321 a) Central Banks 34 - - - 34 55 b) Governments and other Public Sector Entities 558 2 - - 560 463 c) Banks 4,787 941 - - 5,728 5,351 d) Other financial companies 6,012 54 32 - 6,098 3,622 e) Non-financial companies 18,467 9,125 626 - 28,218 24,621 f) Households 140 42 2 - 184 209 2. Others commitments and others guarantees given (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 NOTIONAL AMOUNTS NOTIONAL AMOUNTS 1. Others guarantees given - - of which: non-performing loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - e) Non-financial companies - - f) Households - - 2. Others commitments 99,295 111,405 of which: non-performing loans 739 1,272 a) Central Banks 405 921 b) Governments and other Public Sector Entities 1,078 891 c) Banks 12,764 20,093 d) Other financial companies 17,962 25,305 e) Non-financial companies 61,949 58,980 f) Households 5,137 5,215 Table “1. Commitments and financial guarantees given” shows commitments and guarantees evaluated according to the IFRS9 requirements. Table “2. Other commitments and others guarantees given” shows commitments and guarantees that are not evaluated according to the IFRS9 requirements. According to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the tables also include the revocable commitments and the item “financial guarantees” also includes the commercial ones. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 674 2021 Annual Report and Accounts · UniCredit Other information 1. Commitments and financial guarantees given (different from those designated at fair value) (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT NOTIONAL AMOUNTS OF COMMITMENTS AND FINANCIAL GUARANTEES GIVEN 12.31.2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TOTAL TOTAL 1. Loan commitments given 19,331 5,326 99 - 24,756 25,832 a) Central Banks 19 - - - 19 18 b) Governments and other Public Sector Entities 2,235 333 28 - 2,596 3,703 c) Banks 692 29 - - 721 1,167 d) Other financial companies 4,110 454 9 - 4,573 3,830 e) Non-financial companies 12,046 4,487 60 - 16,593 16,934 f) Households 229 23 2 - 254 180 2. Financial guarantees given 29,998 10,164 660 - 40,822 34,321 a) Central Banks 34 - - - 34 55 b) Governments and other Public Sector Entities 558 2 - - 560 463 c) Banks 4,787 941 - - 5,728 5,351 d) Other financial companies 6,012 54 32 - 6,098 3,622 e) Non-financial companies 18,467 9,125 626 - 28,218 24,621 f) Households 140 42 2 - 184 209 2. Others commitments and others guarantees given (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 NOTIONAL AMOUNTS NOTIONAL AMOUNTS 1. Others guarantees given - - of which: non-performing loans - - a) Central Banks - - b) Governments and other Public Sector Entities - - c) Banks - - d) Other financial companies - - e) Non-financial companies - - f) Households - - 2. Others commitments 99,295 111,405 of which: non-performing loans 739 1,272 a) Central Banks 405 921 b) Governments and other Public Sector Entities 1,078 891 c) Banks 12,764 20,093 d) Other financial companies 17,962 25,305 e) Non-financial companies 61,949 58,980 f) Households 5,137 5,215 Table “1. Commitments and financial guarantees given” shows commitments and guarantees evaluated according to the IFRS9 requirements. Table “2. Other commitments and others guarantees given” shows commitments and guarantees that are not evaluated according to the IFRS9 requirements. According to the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments), the tables also include the revocable commitments and the item “financial guarantees” also includes the commercial ones. Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 675 3. Assets used to guarantee own liabilities and commitments (€ million) AMOUNTS AS AT PORTFOLIOS 12.31.2021 12.31.2020 1. Financial assets at fair value through profit or loss 3,009 1,771 2. Financial assets at fair value through other comprehensive income 17,644 14,739 3. Financial assets at amortised cost 84,330 80,720 4. Property, plant and equipment - - of which: inventories of property, plant and equipment - - 4. Asset management and trading on behalf of others (€ million) AMOUNTS AS AT TYPE OF SERVICES 12.31.2021 12.31.2020 1. Execution of orders on behalf of customers a) Purchases - - 1. Settled - - 2. Unsettled - - b) Sales - - 1. Settled - - 2. Unsettled - - 2. Individual portfolio management 3,600 4,026 3. Custody and administration of securities a) Third party securities on deposits: relating to depositary bank activities (excluding portfolio management) - - 1. Securities issued by companies included in consolidation - - 2. Other securities - - b) Third party securities held in deposits (excluding portfolio management): other 63,104 86,084 1. Securities issued by companies included in consolidation 4,033 5,600 2. Other securities 59,071 80,484 c) Third party securities deposited with third parties 62,589 85,468 d) Property securities deposited with third parties 119,534 104,550 4. Other transactions 6,931 6,877 5. Financial assets subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL ASSETS FINANCIAL LIABILITIES OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL ASSETS RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 12,638 - 12,638 10,764 1,291 583 1,024 2. Reverse repos 21,218 - 21,218 11,130 - 10,088 23,403 3. Securities lending - - - - - - - 4. Others - - - - - - - Total 12.31.2021 33,856 - 33,856 21,894 1,291 10,671 X Total 12.31.2020 51,681 - 51,681 26,654 600 X 24,427 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 675 3. Assets used to guarantee own liabilities and commitments (€ million) AMOUNTS AS AT PORTFOLIOS 12.31.2021 12.31.2020 1. Financial assets at fair value through profit or loss 3,009 1,771 2. Financial assets at fair value through other comprehensive income 17,644 14,739 3. Financial assets at amortised cost 84,330 80,720 4. Property, plant and equipment - - of which: inventories of property, plant and equipment - - 4. Asset management and trading on behalf of others (€ million) AMOUNTS AS AT TYPE OF SERVICES 12.31.2021 12.31.2020 1. Execution of orders on behalf of customers a) Purchases - - 1. Settled - - 2. Unsettled - - b) Sales - - 1. Settled - - 2. Unsettled - - 2. Individual portfolio management 3,600 4,026 3. Custody and administration of securities a) Third party securities on deposits: relating to depositary bank activities (excluding portfolio management) - - 1. Securities issued by companies included in consolidation - - 2. Other securities - - b) Third party securities held in deposits (excluding portfolio management): other 63,104 86,084 1. Securities issued by companies included in consolidation 4,033 5,600 2. Other securities 59,071 80,484 c) Third party securities deposited with third parties 62,589 85,468 d) Property securities deposited with third parties 119,534 104,550 4. Other transactions 6,931 6,877 5. Financial assets subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL ASSETS FINANCIAL LIABILITIES OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL ASSETS RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 12,638 - 12,638 10,764 1,291 583 1,024 2. Reverse repos 21,218 - 21,218 11,130 - 10,088 23,403 3. Securities lending - - - - - - - 4. Others - - - - - - - Total 12.31.2021 33,856 - 33,856 21,894 1,291 10,671 X Total 12.31.2020 51,681 - 51,681 26,654 600 X 24,427 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 675 3. Assets used to guarantee own liabilities and commitments (€ million) AMOUNTS AS AT PORTFOLIOS 12.31.2021 12.31.2020 1. Financial assets at fair value through profit or loss 3,009 1,771 2. Financial assets at fair value through other comprehensive income 17,644 14,739 3. Financial assets at amortised cost 84,330 80,720 4. Property, plant and equipment - - of which: inventories of property, plant and equipment - - 4. Asset management and trading on behalf of others (€ million) AMOUNTS AS AT TYPE OF SERVICES 12.31.2021 12.31.2020 1. Execution of orders on behalf of customers a) Purchases - - 1. Settled - - 2. Unsettled - - b) Sales - - 1. Settled - - 2. Unsettled - - 2. Individual portfolio management 3,600 4,026 3. Custody and administration of securities a) Third party securities on deposits: relating to depositary bank activities (excluding portfolio management) - - 1. Securities issued by companies included in consolidation - - 2. Other securities - - b) Third party securities held in deposits (excluding portfolio management): other 63,104 86,084 1. Securities issued by companies included in consolidation 4,033 5,600 2. Other securities 59,071 80,484 c) Third party securities deposited with third parties 62,589 85,468 d) Property securities deposited with third parties 119,534 104,550 4. Other transactions 6,931 6,877 5. Financial assets subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL ASSETS FINANCIAL LIABILITIES OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL ASSETS RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 12,638 - 12,638 10,764 1,291 583 1,024 2. Reverse repos 21,218 - 21,218 11,130 - 10,088 23,403 3. Securities lending - - - - - - - 4. Others - - - - - - - Total 12.31.2021 33,856 - 33,856 21,894 1,291 10,671 X Total 12.31.2020 51,681 - 51,681 26,654 600 X 24,427 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 675 3. Assets used to guarantee own liabilities and commitments (€ million) AMOUNTS AS AT PORTFOLIOS 12.31.2021 12.31.2020 1. Financial assets at fair value through profit or loss 3,009 1,771 2. Financial assets at fair value through other comprehensive income 17,644 14,739 3. Financial assets at amortised cost 84,330 80,720 4. Property, plant and equipment - - of which: inventories of property, plant and equipment - - 4. Asset management and trading on behalf of others (€ million) AMOUNTS AS AT TYPE OF SERVICES 12.31.2021 12.31.2020 1. Execution of orders on behalf of customers a) Purchases - - 1. Settled - - 2. Unsettled - - b) Sales - - 1. Settled - - 2. Unsettled - - 2. Individual portfolio management 3,600 4,026 3. Custody and administration of securities a) Third party securities on deposits: relating to depositary bank activities (excluding portfolio management) - - 1. Securities issued by companies included in consolidation - - 2. Other securities - - b) Third party securities held in deposits (excluding portfolio management): other 63,104 86,084 1. Securities issued by companies included in consolidation 4,033 5,600 2. Other securities 59,071 80,484 c) Third party securities deposited with third parties 62,589 85,468 d) Property securities deposited with third parties 119,534 104,550 4. Other transactions 6,931 6,877 5. Financial assets subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL ASSETS FINANCIAL LIABILITIES OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL ASSETS RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 12,638 - 12,638 10,764 1,291 583 1,024 2. Reverse repos 21,218 - 21,218 11,130 - 10,088 23,403 3. Securities lending - - - - - - - 4. Others - - - - - - - Total 12.31.2021 33,856 - 33,856 21,894 1,291 10,671 X Total 12.31.2020 51,681 - 51,681 26,654 600 X 24,427 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities UniCredit · 2021 Annual Report and Accounts 675 3. Assets used to guarantee own liabilities and commitments (€ million) AMOUNTS AS AT PORTFOLIOS 12.31.2021 12.31.2020 1. Financial assets at fair value through profit or loss 3,009 1,771 2. Financial assets at fair value through other comprehensive income 17,644 14,739 3. Financial assets at amortised cost 84,330 80,720 4. Property, plant and equipment - - of which: inventories of property, plant and equipment - - 4. Asset management and trading on behalf of others (€ million) AMOUNTS AS AT TYPE OF SERVICES 12.31.2021 12.31.2020 1. Execution of orders on behalf of customers a) Purchases - - 1. Settled - - 2. Unsettled - - b) Sales - - 1. Settled - - 2. Unsettled - - 2. Individual portfolio management 3,600 4,026 3. Custody and administration of securities a) Third party securities on deposits: relating to depositary bank activities (excluding portfolio management) - - 1. Securities issued by companies included in consolidation - - 2. Other securities - - b) Third party securities held in deposits (excluding portfolio management): other 63,104 86,084 1. Securities issued by companies included in consolidation 4,033 5,600 2. Other securities 59,071 80,484 c) Third party securities deposited with third parties 62,589 85,468 d) Property securities deposited with third parties 119,534 104,550 4. Other transactions 6,931 6,877 5. Financial assets subject to accounting offsetting or under master netting agreements and similar agreements (€ million) GROSS AMOUNTS OF FINANCIAL ASSETS FINANCIAL LIABILITIES OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL ASSETS RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 12,638 - 12,638 10,764 1,291 583 1,024 2. Reverse repos 21,218 - 21,218 11,130 - 10,088 23,403 3. Securities lending - - - - - - - 4. Others - - - - - - - Total 12.31.2021 33,856 - 33,856 21,894 1,291 10,671 X Total 12.31.2020 51,681 - 51,681 26,654 600 X 24,427 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 676 2021 Annual Report and Accounts · UniCredit 6. Liabilities subject to accounting offsetting or under master netting agreements and similar ones (€ million) GROSS AMOUNTS OF FINANCIAL LIABILITIES FINANCIAL ASSETS OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL LIABILITIES RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 13,281 - 13,281 11,222 1,508 551 183 2. Reverse repos 40,566 - 40,566 11,130 119 29,317 35,234 3. Securities lending - - - - - - - 4. Others - - - - - - - Total 12.31.2021 53,847 - 53,847 22,352 1,627 29,868 X Total 12.31.2020 64,290 - 64,290 26,660 2,213 X 35,417 7. Security borrowing transactions (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS OF THE SECURITIES BORROWED/TRANSACTION PURPOSES TYPE OF LENDER GIVEN AS COLLATERAL IN OWN FUNDING TRANSACTIONS SOLD SOLD IN REPO TRANSACTIONS OTHER PURPOSES A. Banks 2,035 - - 850 B. Financial companies - - - - C. Insurance companies - - - - D. Non-financial companies - - - - E. Others 3 - 186 671 Total 2,038 - 186 1,521 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 676 2021 Annual Report and Accounts · UniCredit 6. Liabilities subject to accounting offsetting or under master netting agreements and similar ones (€ million) GROSS AMOUNTS OF FINANCIAL LIABILITIES FINANCIAL ASSETS OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL LIABILITIES RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 13,281 - 13,281 11,222 1,508 551 183 2. Reverse repos 40,566 - 40,566 11,130 119 29,317 35,234 3. Securities lending - - - - - - - 4. Others - - - - - - - Total 12.31.2021 53,847 - 53,847 22,352 1,627 29,868 X Total 12.31.2020 64,290 - 64,290 26,660 2,213 X 35,417 7. Security borrowing transactions (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS OF THE SECURITIES BORROWED/TRANSACTION PURPOSES TYPE OF LENDER GIVEN AS COLLATERAL IN OWN FUNDING TRANSACTIONS SOLD SOLD IN REPO TRANSACTIONS OTHER PURPOSES A. Banks 2,035 - - 850 B. Financial companies - - - - C. Insurance companies - - - - D. Non-financial companies - - - - E. Others 3 - 186 671 Total 2,038 - 186 1,521 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 676 2021 Annual Report and Accounts · UniCredit 6. Liabilities subject to accounting offsetting or under master netting agreements and similar ones (€ million) GROSS AMOUNTS OF FINANCIAL LIABILITIES FINANCIAL ASSETS OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL LIABILITIES RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 13,281 - 13,281 11,222 1,508 551 183 2. Reverse repos 40,566 - 40,566 11,130 119 29,317 35,234 3. Securities lending - - - - - - - 4. Others - - - - - - - Total 12.31.2021 53,847 - 53,847 22,352 1,627 29,868 X Total 12.31.2020 64,290 - 64,290 26,660 2,213 X 35,417 7. Security borrowing transactions (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS OF THE SECURITIES BORROWED/TRANSACTION PURPOSES TYPE OF LENDER GIVEN AS COLLATERAL IN OWN FUNDING TRANSACTIONS SOLD SOLD IN REPO TRANSACTIONS OTHER PURPOSES A. Banks 2,035 - - 850 B. Financial companies - - - - C. Insurance companies - - - - D. Non-financial companies - - - - E. Others 3 - 186 671 Total 2,038 - 186 1,521 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 676 2021 Annual Report and Accounts · UniCredit 6. Liabilities subject to accounting offsetting or under master netting agreements and similar ones (€ million) GROSS AMOUNTS OF FINANCIAL LIABILITIES FINANCIAL ASSETS OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL LIABILITIES RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 13,281 - 13,281 11,222 1,508 551 183 2. Reverse repos 40,566 - 40,566 11,130 119 29,317 35,234 3. Securities lending - - - - - - - 4. Others - - - - - - - Total 12.31.2021 53,847 - 53,847 22,352 1,627 29,868 X Total 12.31.2020 64,290 - 64,290 26,660 2,213 X 35,417 7. Security borrowing transactions (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS OF THE SECURITIES BORROWED/TRANSACTION PURPOSES TYPE OF LENDER GIVEN AS COLLATERAL IN OWN FUNDING TRANSACTIONS SOLD SOLD IN REPO TRANSACTIONS OTHER PURPOSES A. Banks 2,035 - - 850 B. Financial companies - - - - C. Insurance companies - - - - D. Non-financial companies - - - - E. Others 3 - 186 671 Total 2,038 - 186 1,521 Company financial statements | Notes to the accounts Part B - Balance sheet - Liabilities 676 2021 Annual Report and Accounts · UniCredit 6. Liabilities subject to accounting offsetting or under master netting agreements and similar ones (€ million) GROSS AMOUNTS OF FINANCIAL LIABILITIES FINANCIAL ASSETS OFFSET IN BALANCE SHEET NET BALANCE SHEET VALUES OF FINANCIAL LIABILITIES RELATED AMOUNTS NOT SUBJECT TO ACCOUNTING OFFSETTING NET AMOUNT NET AMOUNT INSTRUMENT TYPE FINANCIAL INSTRUMENTS CASH COLLATERAL RECEIVED 12.31.2021 12.31.2020 (A) (B) (C=A-B) (D) (E) (F=C-D-E) 1. Derivatives 13,281 - 13,281 11,222 1,508 551 183 2. Reverse repos 40,566 - 40,566 11,130 119 29,317 35,234 3. Securities lending - - - - - - - 4. Others - - - - - - - Total 12.31.2021 53,847 - 53,847 22,352 1,627 29,868 X Total 12.31.2020 64,290 - 64,290 26,660 2,213 X 35,417 7. Security borrowing transactions (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS OF THE SECURITIES BORROWED/TRANSACTION PURPOSES TYPE OF LENDER GIVEN AS COLLATERAL IN OWN FUNDING TRANSACTIONS SOLD SOLD IN REPO TRANSACTIONS OTHER PURPOSES A. Banks 2,035 - - 850 B. Financial companies - - - - C. Insurance companies - - - - D. Non-financial companies - - - - E. Others 3 - 186 671 Total 2,038 - 186 1,521 Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 677 Part C - Income statement Section 1 - Interests - Items 10 and 20 1.1 Interest income and similar revenues: breakdown (€ million) YEAR 2021 YEAR DEBT SECURITIES LOANS OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial assets at fair value through profit or loss 195 2 - 197 28 1.1 Financial assets held for trading 32 - - 32 - 1.2 Financial assets designated at fair value 1 - - 1 1 1.3 Other financial assets mandatorily at fair value 162 2 - 164 27 2. Financial assets at fair value through other comprehensive income 355 - X 355 338 3. Financial assets at amortised cost 424 3,172 X 3,596 4,115 3.1 Loans and advances to banks 95 75 X 170 188 3.2 Loans and advances to customers 329 3,097 X 3,426 3,927 4. Hedging derivatives X X (569) (569) (417) 5. Other assets X X 11 11 15 6. Financial liabilities X X X 817 506 Total 974 3,174 (558) 4,407 4,585 of which: interest income on impaired financial assets 1 221 - 222 210 of which: interest income on financial lease X - X - - The interests on financial assets mandatory at fair value include €99 million referred to the first coupon settlement of Additional Tier 1 instruments issued by UniCredit Bank AG subsidiary. The interests on financial liabilities, contributing to net interest margin, include €472 million arising from TLTRO III facilities, for the calculation of which refer to the paragraph “TLTRO”, Notes to the accounts, Part A - Accounting policies, Section 4 - Other matters. 1.2 Interest income and similar revenues: other information 1.2.1 Interest income from financial assets denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Assets denominated in currency 278 340 Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 677 Part C - Income statement Section 1 - Interests - Items 10 and 20 1.1 Interest income and similar revenues: breakdown (€ million) YEAR 2021 YEAR DEBT SECURITIES LOANS OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial assets at fair value through profit or loss 195 2 - 197 28 1.1 Financial assets held for trading 32 - - 32 - 1.2 Financial assets designated at fair value 1 - - 1 1 1.3 Other financial assets mandatorily at fair value 162 2 - 164 27 2. Financial assets at fair value through other comprehensive income 355 - X 355 338 3. Financial assets at amortised cost 424 3,172 X 3,596 4,115 3.1 Loans and advances to banks 95 75 X 170 188 3.2 Loans and advances to customers 329 3,097 X 3,426 3,927 4. Hedging derivatives X X (569) (569) (417) 5. Other assets X X 11 11 15 6. Financial liabilities X X X 817 506 Total 974 3,174 (558) 4,407 4,585 of which: interest income on impaired financial assets 1 221 - 222 210 of which: interest income on financial lease X - X - - The interests on financial assets mandatory at fair value include €99 million referred to the first coupon settlement of Additional Tier 1 instruments issued by UniCredit Bank AG subsidiary. The interests on financial liabilities, contributing to net interest margin, include €472 million arising from TLTRO III facilities, for the calculation of which refer to the paragraph “TLTRO”, Notes to the accounts, Part A - Accounting policies, Section 4 - Other matters. 1.2 Interest income and similar revenues: other information 1.2.1 Interest income from financial assets denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Assets denominated in currency 278 340 Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 677 Part C - Income statement Section 1 - Interests - Items 10 and 20 1.1 Interest income and similar revenues: breakdown (€ million) YEAR 2021 YEAR DEBT SECURITIES LOANS OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial assets at fair value through profit or loss 195 2 - 197 28 1.1 Financial assets held for trading 32 - - 32 - 1.2 Financial assets designated at fair value 1 - - 1 1 1.3 Other financial assets mandatorily at fair value 162 2 - 164 27 2. Financial assets at fair value through other comprehensive income 355 - X 355 338 3. Financial assets at amortised cost 424 3,172 X 3,596 4,115 3.1 Loans and advances to banks 95 75 X 170 188 3.2 Loans and advances to customers 329 3,097 X 3,426 3,927 4. Hedging derivatives X X (569) (569) (417) 5. Other assets X X 11 11 15 6. Financial liabilities X X X 817 506 Total 974 3,174 (558) 4,407 4,585 of which: interest income on impaired financial assets 1 221 - 222 210 of which: interest income on financial lease X - X - - The interests on financial assets mandatory at fair value include €99 million referred to the first coupon settlement of Additional Tier 1 instruments issued by UniCredit Bank AG subsidiary. The interests on financial liabilities, contributing to net interest margin, include €472 million arising from TLTRO III facilities, for the calculation of which refer to the paragraph “TLTRO”, Notes to the accounts, Part A - Accounting policies, Section 4 - Other matters. 1.2 Interest income and similar revenues: other information 1.2.1 Interest income from financial assets denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Assets denominated in currency 278 340 Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 677 Part C - Income statement Section 1 - Interests - Items 10 and 20 1.1 Interest income and similar revenues: breakdown (€ million) YEAR 2021 YEAR DEBT SECURITIES LOANS OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial assets at fair value through profit or loss 195 2 - 197 28 1.1 Financial assets held for trading 32 - - 32 - 1.2 Financial assets designated at fair value 1 - - 1 1 1.3 Other financial assets mandatorily at fair value 162 2 - 164 27 2. Financial assets at fair value through other comprehensive income 355 - X 355 338 3. Financial assets at amortised cost 424 3,172 X 3,596 4,115 3.1 Loans and advances to banks 95 75 X 170 188 3.2 Loans and advances to customers 329 3,097 X 3,426 3,927 4. Hedging derivatives X X (569) (569) (417) 5. Other assets X X 11 11 15 6. Financial liabilities X X X 817 506 Total 974 3,174 (558) 4,407 4,585 of which: interest income on impaired financial assets 1 221 - 222 210 of which: interest income on financial lease X - X - - The interests on financial assets mandatory at fair value include €99 million referred to the first coupon settlement of Additional Tier 1 instruments issued by UniCredit Bank AG subsidiary. The interests on financial liabilities, contributing to net interest margin, include €472 million arising from TLTRO III facilities, for the calculation of which refer to the paragraph “TLTRO”, Notes to the accounts, Part A - Accounting policies, Section 4 - Other matters. 1.2 Interest income and similar revenues: other information 1.2.1 Interest income from financial assets denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Assets denominated in currency 278 340 Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 677 Part C - Income statement Section 1 - Interests - Items 10 and 20 1.1 Interest income and similar revenues: breakdown (€ million) YEAR 2021 YEAR DEBT SECURITIES LOANS OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial assets at fair value through profit or loss 195 2 - 197 28 1.1 Financial assets held for trading 32 - - 32 - 1.2 Financial assets designated at fair value 1 - - 1 1 1.3 Other financial assets mandatorily at fair value 162 2 - 164 27 2. Financial assets at fair value through other comprehensive income 355 - X 355 338 3. Financial assets at amortised cost 424 3,172 X 3,596 4,115 3.1 Loans and advances to banks 95 75 X 170 188 3.2 Loans and advances to customers 329 3,097 X 3,426 3,927 4. Hedging derivatives X X (569) (569) (417) 5. Other assets X X 11 11 15 6. Financial liabilities X X X 817 506 Total 974 3,174 (558) 4,407 4,585 of which: interest income on impaired financial assets 1 221 - 222 210 of which: interest income on financial lease X - X - - The interests on financial assets mandatory at fair value include €99 million referred to the first coupon settlement of Additional Tier 1 instruments issued by UniCredit Bank AG subsidiary. The interests on financial liabilities, contributing to net interest margin, include €472 million arising from TLTRO III facilities, for the calculation of which refer to the paragraph “TLTRO”, Notes to the accounts, Part A - Accounting policies, Section 4 - Other matters. 1.2 Interest income and similar revenues: other information 1.2.1 Interest income from financial assets denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Assets denominated in currency 278 340 Company financial statements | Notes to the accounts Part C - Income statement 678 2021 Annual Report and Accounts · UniCredit 1.3 Interest expenses and similar charges: breakdown (€ million) YEAR 2021 YEAR DEBTS SECURITIES OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial liabilities at amortised cost (171) (1,509) X (1,680) (1,821) 1.1 Deposits from central banks - X X - (4) 1.2 Deposits from banks (26) X X (26) (54) 1.3 Deposits from customers (145) X X (145) (155) 1.4 Debt securities in issue X (1,509) X (1,509) (1,608) 2. Financial liabilities held for trading - (38) (40) (78) (65) 3. Financial liabilities designated at fair value - (9) - (9) (4) 4. Other liabilities and funds X X - - - 5. Hedging derivatives X X 1,023 1,023 1,033 6. Financial assets X X X (500) (296) Total (171) (1,556) 983 (1,244) (1,153) of which: interest expenses on lease deposits (11) X X (11) (14) 1.4 Interest expenses and similar charges: other information 1.4.1 Interest expenses on liabilities denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Liabilities denominated in currency (547) (581) 1.5 Differentials relating to hedging operations (€ million) ITEMS YEAR 2021 YEAR 2020 A. Positive differentials relating to hedging operations 2,524 2,464 B. Negative differentials relating to hedging operations (2,070) (1,848) C. Net differential (A-B) 454 616 Company financial statements | Notes to the accounts Part C - Income statement 678 2021 Annual Report and Accounts · UniCredit 1.3 Interest expenses and similar charges: breakdown (€ million) YEAR 2021 YEAR DEBTS SECURITIES OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial liabilities at amortised cost (171) (1,509) X (1,680) (1,821) 1.1 Deposits from central banks - X X - (4) 1.2 Deposits from banks (26) X X (26) (54) 1.3 Deposits from customers (145) X X (145) (155) 1.4 Debt securities in issue X (1,509) X (1,509) (1,608) 2. Financial liabilities held for trading - (38) (40) (78) (65) 3. Financial liabilities designated at fair value - (9) - (9) (4) 4. Other liabilities and funds X X - - - 5. Hedging derivatives X X 1,023 1,023 1,033 6. Financial assets X X X (500) (296) Total (171) (1,556) 983 (1,244) (1,153) of which: interest expenses on lease deposits (11) X X (11) (14) 1.4 Interest expenses and similar charges: other information 1.4.1 Interest expenses on liabilities denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Liabilities denominated in currency (547) (581) 1.5 Differentials relating to hedging operations (€ million) ITEMS YEAR 2021 YEAR 2020 A. Positive differentials relating to hedging operations 2,524 2,464 B. Negative differentials relating to hedging operations (2,070) (1,848) C. Net differential (A-B) 454 616 Company financial statements | Notes to the accounts Part C - Income statement 678 2021 Annual Report and Accounts · UniCredit 1.3 Interest expenses and similar charges: breakdown (€ million) YEAR 2021 YEAR DEBTS SECURITIES OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial liabilities at amortised cost (171) (1,509) X (1,680) (1,821) 1.1 Deposits from central banks - X X - (4) 1.2 Deposits from banks (26) X X (26) (54) 1.3 Deposits from customers (145) X X (145) (155) 1.4 Debt securities in issue X (1,509) X (1,509) (1,608) 2. Financial liabilities held for trading - (38) (40) (78) (65) 3. Financial liabilities designated at fair value - (9) - (9) (4) 4. Other liabilities and funds X X - - - 5. Hedging derivatives X X 1,023 1,023 1,033 6. Financial assets X X X (500) (296) Total (171) (1,556) 983 (1,244) (1,153) of which: interest expenses on lease deposits (11) X X (11) (14) 1.4 Interest expenses and similar charges: other information 1.4.1 Interest expenses on liabilities denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Liabilities denominated in currency (547) (581) 1.5 Differentials relating to hedging operations (€ million) ITEMS YEAR 2021 YEAR 2020 A. Positive differentials relating to hedging operations 2,524 2,464 B. Negative differentials relating to hedging operations (2,070) (1,848) C. Net differential (A-B) 454 616 Company financial statements | Notes to the accounts Part C - Income statement 678 2021 Annual Report and Accounts · UniCredit 1.3 Interest expenses and similar charges: breakdown (€ million) YEAR 2021 YEAR DEBTS SECURITIES OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial liabilities at amortised cost (171) (1,509) X (1,680) (1,821) 1.1 Deposits from central banks - X X - (4) 1.2 Deposits from banks (26) X X (26) (54) 1.3 Deposits from customers (145) X X (145) (155) 1.4 Debt securities in issue X (1,509) X (1,509) (1,608) 2. Financial liabilities held for trading - (38) (40) (78) (65) 3. Financial liabilities designated at fair value - (9) - (9) (4) 4. Other liabilities and funds X X - - - 5. Hedging derivatives X X 1,023 1,023 1,033 6. Financial assets X X X (500) (296) Total (171) (1,556) 983 (1,244) (1,153) of which: interest expenses on lease deposits (11) X X (11) (14) 1.4 Interest expenses and similar charges: other information 1.4.1 Interest expenses on liabilities denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Liabilities denominated in currency (547) (581) 1.5 Differentials relating to hedging operations (€ million) ITEMS YEAR 2021 YEAR 2020 A. Positive differentials relating to hedging operations 2,524 2,464 B. Negative differentials relating to hedging operations (2,070) (1,848) C. Net differential (A-B) 454 616 Company financial statements | Notes to the accounts Part C - Income statement 678 2021 Annual Report and Accounts · UniCredit 1.3 Interest expenses and similar charges: breakdown (€ million) YEAR 2021 YEAR DEBTS SECURITIES OTHER TRANSACTIONS 2020 ITEMS/TYPES TOTAL TOTAL 1. Financial liabilities at amortised cost (171) (1,509) X (1,680) (1,821) 1.1 Deposits from central banks - X X - (4) 1.2 Deposits from banks (26) X X (26) (54) 1.3 Deposits from customers (145) X X (145) (155) 1.4 Debt securities in issue X (1,509) X (1,509) (1,608) 2. Financial liabilities held for trading - (38) (40) (78) (65) 3. Financial liabilities designated at fair value - (9) - (9) (4) 4. Other liabilities and funds X X - - - 5. Hedging derivatives X X 1,023 1,023 1,033 6. Financial assets X X X (500) (296) Total (171) (1,556) 983 (1,244) (1,153) of which: interest expenses on lease deposits (11) X X (11) (14) 1.4 Interest expenses and similar charges: other information 1.4.1 Interest expenses on liabilities denominated in currency (€ million) ITEMS YEAR 2021 YEAR 2020 a) Liabilities denominated in currency (547) (581) 1.5 Differentials relating to hedging operations (€ million) ITEMS YEAR 2021 YEAR 2020 A. Positive differentials relating to hedging operations 2,524 2,464 B. Negative differentials relating to hedging operations (2,070) (1,848) C. Net differential (A-B) 454 616 Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 679 Section 2 - Fees and commissions - Items 40 and 50 2.1 Fees and commissions income: breakdown (€ million) TYPE OF SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial Instruments 1,432 1,065 1. Placement of securities 1,267 892 1.1 Underwriting and/or on the basis of an irrevocable commitment - - 1.2 Without irrevocable commitment 1,267 892 2. Reception and transmission of orders 118 118 2.1 Reception and transmission of orders of financial instruments 118 118 2.2 Execution of orders on behalf of customers - - 3. Other fees related to activities linked to financial instruments 47 55 of which: proprietary Trading - - of which: individual portfolio management 47 55 b) Corporate Finance 11 2 1. M&A advisory - - 2. Treasury services - - 3. Other fee and commission income in relation to corporate finance activities 11 2 c) Fee based advice 4 4 d) Clearing and settlement - - e) Custody and administration of securities 8 8 1. Custodian Bank - - 2. Other fee and commission income in relation to corporate finance activities 8 8 f) Central administrative services for collective investment - - g) Fiduciary transactions - - h) Payment services 784 694 1. Current accounts - - 2. Credit cards 55 51 3. Debits cards and other card payments 147 126 4. Transfers and other payment orders 248 217 5. Other fees in relation to payment services 334 300 i) Distribution of third party services 748 663 1.Collective portfolio management - - 2. Insurance products 742 662 3. Other products 6 1 of which: individual portfolio management 2 - j) Structured finance - - k) Loan servicing activities 42 47 l) Loan commitment given 28 31 m) Financial guarantees 208 212 of which: credit derivatives - - n) Lending transaction 211 192 of which: factoring services - - o) Currency trading 115 99 p) Commodities - - q) Other fee income 1,046 1,057 of which: management of sharing multilateral trading facilities - - of which: management of organized trading systems - - Total 4,637 4,074 Item “a) Financial instruments - 1. Placement of securities” includes placement management fees on investment funds for €1,227 million. Item “q) other fee income” mainly comprise: • fees for ancillary services linked to current accounts (e.g., token, debt card): €391 million in 2021, €346 million in 2020 (+13%); • fees for immediate funds availability: €326 million in 2021, €356 million in 2020 (-8%); • fees for ATM and credit card services not included in collection and payment services: €65 million in 2021, €266 million in 2020 (-1%); • fees for current accounts keeping: €112 million in 2021, €110 million in 2020 (+2%). Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 679 Section 2 - Fees and commissions - Items 40 and 50 2.1 Fees and commissions income: breakdown (€ million) TYPE OF SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial Instruments 1,432 1,065 1. Placement of securities 1,267 892 1.1 Underwriting and/or on the basis of an irrevocable commitment - - 1.2 Without irrevocable commitment 1,267 892 2. Reception and transmission of orders 118 118 2.1 Reception and transmission of orders of financial instruments 118 118 2.2 Execution of orders on behalf of customers - - 3. Other fees related to activities linked to financial instruments 47 55 of which: proprietary Trading - - of which: individual portfolio management 47 55 b) Corporate Finance 11 2 1. M&A advisory - - 2. Treasury services - - 3. Other fee and commission income in relation to corporate finance activities 11 2 c) Fee based advice 4 4 d) Clearing and settlement - - e) Custody and administration of securities 8 8 1. Custodian Bank - - 2. Other fee and commission income in relation to corporate finance activities 8 8 f) Central administrative services for collective investment - - g) Fiduciary transactions - - h) Payment services 784 694 1. Current accounts - - 2. Credit cards 55 51 3. Debits cards and other card payments 147 126 4. Transfers and other payment orders 248 217 5. Other fees in relation to payment services 334 300 i) Distribution of third party services 748 663 1.Collective portfolio management - - 2. Insurance products 742 662 3. Other products 6 1 of which: individual portfolio management 2 - j) Structured finance - - k) Loan servicing activities 42 47 l) Loan commitment given 28 31 m) Financial guarantees 208 212 of which: credit derivatives - - n) Lending transaction 211 192 of which: factoring services - - o) Currency trading 115 99 p) Commodities - - q) Other fee income 1,046 1,057 of which: management of sharing multilateral trading facilities - - of which: management of organized trading systems - - Total 4,637 4,074 Item “a) Financial instruments - 1. Placement of securities” includes placement management fees on investment funds for €1,227 million. Item “q) other fee income” mainly comprise: • fees for ancillary services linked to current accounts (e.g., token, debt card): €391 million in 2021, €346 million in 2020 (+13%); • fees for immediate funds availability: €326 million in 2021, €356 million in 2020 (-8%); • fees for ATM and credit card services not included in collection and payment services: €65 million in 2021, €266 million in 2020 (-1%); • fees for current accounts keeping: €112 million in 2021, €110 million in 2020 (+2%). Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 679 Section 2 - Fees and commissions - Items 40 and 50 2.1 Fees and commissions income: breakdown (€ million) TYPE OF SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial Instruments 1,432 1,065 1. Placement of securities 1,267 892 1.1 Underwriting and/or on the basis of an irrevocable commitment - - 1.2 Without irrevocable commitment 1,267 892 2. Reception and transmission of orders 118 118 2.1 Reception and transmission of orders of financial instruments 118 118 2.2 Execution of orders on behalf of customers - - 3. Other fees related to activities linked to financial instruments 47 55 of which: proprietary Trading - - of which: individual portfolio management 47 55 b) Corporate Finance 11 2 1. M&A advisory - - 2. Treasury services - - 3. Other fee and commission income in relation to corporate finance activities 11 2 c) Fee based advice 4 4 d) Clearing and settlement - - e) Custody and administration of securities 8 8 1. Custodian Bank - - 2. Other fee and commission income in relation to corporate finance activities 8 8 f) Central administrative services for collective investment - - g) Fiduciary transactions - - h) Payment services 784 694 1. Current accounts - - 2. Credit cards 55 51 3. Debits cards and other card payments 147 126 4. Transfers and other payment orders 248 217 5. Other fees in relation to payment services 334 300 i) Distribution of third party services 748 663 1.Collective portfolio management - - 2. Insurance products 742 662 3. Other products 6 1 of which: individual portfolio management 2 - j) Structured finance - - k) Loan servicing activities 42 47 l) Loan commitment given 28 31 m) Financial guarantees 208 212 of which: credit derivatives - - n) Lending transaction 211 192 of which: factoring services - - o) Currency trading 115 99 p) Commodities - - q) Other fee income 1,046 1,057 of which: management of sharing multilateral trading facilities - - of which: management of organized trading systems - - Total 4,637 4,074 Item “a) Financial instruments - 1. Placement of securities” includes placement management fees on investment funds for €1,227 million. Item “q) other fee income” mainly comprise: • fees for ancillary services linked to current accounts (e.g., token, debt card): €391 million in 2021, €346 million in 2020 (+13%); • fees for immediate funds availability: €326 million in 2021, €356 million in 2020 (-8%); • fees for ATM and credit card services not included in collection and payment services: €65 million in 2021, €266 million in 2020 (-1%); • fees for current accounts keeping: €112 million in 2021, €110 million in 2020 (+2%). Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 679 Section 2 - Fees and commissions - Items 40 and 50 2.1 Fees and commissions income: breakdown (€ million) TYPE OF SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial Instruments 1,432 1,065 1. Placement of securities 1,267 892 1.1 Underwriting and/or on the basis of an irrevocable commitment - - 1.2 Without irrevocable commitment 1,267 892 2. Reception and transmission of orders 118 118 2.1 Reception and transmission of orders of financial instruments 118 118 2.2 Execution of orders on behalf of customers - - 3. Other fees related to activities linked to financial instruments 47 55 of which: proprietary Trading - - of which: individual portfolio management 47 55 b) Corporate Finance 11 2 1. M&A advisory - - 2. Treasury services - - 3. Other fee and commission income in relation to corporate finance activities 11 2 c) Fee based advice 4 4 d) Clearing and settlement - - e) Custody and administration of securities 8 8 1. Custodian Bank - - 2. Other fee and commission income in relation to corporate finance activities 8 8 f) Central administrative services for collective investment - - g) Fiduciary transactions - - h) Payment services 784 694 1. Current accounts - - 2. Credit cards 55 51 3. Debits cards and other card payments 147 126 4. Transfers and other payment orders 248 217 5. Other fees in relation to payment services 334 300 i) Distribution of third party services 748 663 1.Collective portfolio management - - 2. Insurance products 742 662 3. Other products 6 1 of which: individual portfolio management 2 - j) Structured finance - - k) Loan servicing activities 42 47 l) Loan commitment given 28 31 m) Financial guarantees 208 212 of which: credit derivatives - - n) Lending transaction 211 192 of which: factoring services - - o) Currency trading 115 99 p) Commodities - - q) Other fee income 1,046 1,057 of which: management of sharing multilateral trading facilities - - of which: management of organized trading systems - - Total 4,637 4,074 Item “a) Financial instruments - 1. Placement of securities” includes placement management fees on investment funds for €1,227 million. Item “q) other fee income” mainly comprise: • fees for ancillary services linked to current accounts (e.g., token, debt card): €391 million in 2021, €346 million in 2020 (+13%); • fees for immediate funds availability: €326 million in 2021, €356 million in 2020 (-8%); • fees for ATM and credit card services not included in collection and payment services: €65 million in 2021, €266 million in 2020 (-1%); • fees for current accounts keeping: €112 million in 2021, €110 million in 2020 (+2%). Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 679 Section 2 - Fees and commissions - Items 40 and 50 2.1 Fees and commissions income: breakdown (€ million) TYPE OF SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial Instruments 1,432 1,065 1. Placement of securities 1,267 892 1.1 Underwriting and/or on the basis of an irrevocable commitment - - 1.2 Without irrevocable commitment 1,267 892 2. Reception and transmission of orders 118 118 2.1 Reception and transmission of orders of financial instruments 118 118 2.2 Execution of orders on behalf of customers - - 3. Other fees related to activities linked to financial instruments 47 55 of which: proprietary Trading - - of which: individual portfolio management 47 55 b) Corporate Finance 11 2 1. M&A advisory - - 2. Treasury services - - 3. Other fee and commission income in relation to corporate finance activities 11 2 c) Fee based advice 4 4 d) Clearing and settlement - - e) Custody and administration of securities 8 8 1. Custodian Bank - - 2. Other fee and commission income in relation to corporate finance activities 8 8 f) Central administrative services for collective investment - - g) Fiduciary transactions - - h) Payment services 784 694 1. Current accounts - - 2. Credit cards 55 51 3. Debits cards and other card payments 147 126 4. Transfers and other payment orders 248 217 5. Other fees in relation to payment services 334 300 i) Distribution of third party services 748 663 1.Collective portfolio management - - 2. Insurance products 742 662 3. Other products 6 1 of which: individual portfolio management 2 - j) Structured finance - - k) Loan servicing activities 42 47 l) Loan commitment given 28 31 m) Financial guarantees 208 212 of which: credit derivatives - - n) Lending transaction 211 192 of which: factoring services - - o) Currency trading 115 99 p) Commodities - - q) Other fee income 1,046 1,057 of which: management of sharing multilateral trading facilities - - of which: management of organized trading systems - - Total 4,637 4,074 Item “a) Financial instruments - 1. Placement of securities” includes placement management fees on investment funds for €1,227 million. Item “q) other fee income” mainly comprise: • fees for ancillary services linked to current accounts (e.g., token, debt card): €391 million in 2021, €346 million in 2020 (+13%); • fees for immediate funds availability: €326 million in 2021, €356 million in 2020 (-8%); • fees for ATM and credit card services not included in collection and payment services: €65 million in 2021, €266 million in 2020 (-1%); • fees for current accounts keeping: €112 million in 2021, €110 million in 2020 (+2%). Company financial statements | Notes to the accounts Part C - Income statement 680 2021 Annual Report and Accounts · UniCredit 2.2 Fees and commissions income: distribution channels of products and services (€ million) CHANNELS/VALUES YEAR 2021 YEAR 2020 A) Through bank branches 2,062 1,610 1. Portfolio management 47 55 2. Placement of securities 1,267 892 3. Others' products and services 748 663 B) Off-site offer - - 1. Portfolio management - - 2. Placement of securities - - 3. Others' products and services - - C) Other distribution channels - - 1. Portfolio management - - 2. Placement of securities - - 3. Others' products and services - - 2.3 Fees and commissions expenses: breakdown (€ million) SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial instruments (22) (20) of which: trading in financial instruments (10) (8) of which: placement of financial instruments (5) (4) of which: individual Portfolio management (7) (8) - own portfolio - - - third party portfolio (7) (8) b) Clearing and settlement - - c) Custody and administration of securities (35) (33) d) Collection and payment services (317) (286) of which: debit credit card service and other payment cards (277) (245) e) Loan securitisation servicing activities (1) - f) Loan commitment given - - g) Financial guarantees received (77) (85) of which: credit derivatives - (4) h) Off-site distribution of financial instruments, products and services (7) (6) i) Currencies trading (1) (1) j) Other fees and commissions expenses (84) (106) Total (544) (537) Company financial statements | Notes to the accounts Part C - Income statement 680 2021 Annual Report and Accounts · UniCredit 2.2 Fees and commissions income: distribution channels of products and services (€ million) CHANNELS/VALUES YEAR 2021 YEAR 2020 A) Through bank branches 2,062 1,610 1. Portfolio management 47 55 2. Placement of securities 1,267 892 3. Others' products and services 748 663 B) Off-site offer - - 1. Portfolio management - - 2. Placement of securities - - 3. Others' products and services - - C) Other distribution channels - - 1. Portfolio management - - 2. Placement of securities - - 3. Others' products and services - - 2.3 Fees and commissions expenses: breakdown (€ million) SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial instruments (22) (20) of which: trading in financial instruments (10) (8) of which: placement of financial instruments (5) (4) of which: individual Portfolio management (7) (8) - own portfolio - - - third party portfolio (7) (8) b) Clearing and settlement - - c) Custody and administration of securities (35) (33) d) Collection and payment services (317) (286) of which: debit credit card service and other payment cards (277) (245) e) Loan securitisation servicing activities (1) - f) Loan commitment given - - g) Financial guarantees received (77) (85) of which: credit derivatives - (4) h) Off-site distribution of financial instruments, products and services (7) (6) i) Currencies trading (1) (1) j) Other fees and commissions expenses (84) (106) Total (544) (537) Company financial statements | Notes to the accounts Part C - Income statement 680 2021 Annual Report and Accounts · UniCredit 2.2 Fees and commissions income: distribution channels of products and services (€ million) CHANNELS/VALUES YEAR 2021 YEAR 2020 A) Through bank branches 2,062 1,610 1. Portfolio management 47 55 2. Placement of securities 1,267 892 3. Others' products and services 748 663 B) Off-site offer - - 1. Portfolio management - - 2. Placement of securities - - 3. Others' products and services - - C) Other distribution channels - - 1. Portfolio management - - 2. Placement of securities - - 3. Others' products and services - - 2.3 Fees and commissions expenses: breakdown (€ million) SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial instruments (22) (20) of which: trading in financial instruments (10) (8) of which: placement of financial instruments (5) (4) of which: individual Portfolio management (7) (8) - own portfolio - - - third party portfolio (7) (8) b) Clearing and settlement - - c) Custody and administration of securities (35) (33) d) Collection and payment services (317) (286) of which: debit credit card service and other payment cards (277) (245) e) Loan securitisation servicing activities (1) - f) Loan commitment given - - g) Financial guarantees received (77) (85) of which: credit derivatives - (4) h) Off-site distribution of financial instruments, products and services (7) (6) i) Currencies trading (1) (1) j) Other fees and commissions expenses (84) (106) Total (544) (537) Company financial statements | Notes to the accounts Part C - Income statement 680 2021 Annual Report and Accounts · UniCredit 2.2 Fees and commissions income: distribution channels of products and services (€ million) CHANNELS/VALUES YEAR 2021 YEAR 2020 A) Through bank branches 2,062 1,610 1. Portfolio management 47 55 2. Placement of securities 1,267 892 3. Others' products and services 748 663 B) Off-site offer - - 1. Portfolio management - - 2. Placement of securities - - 3. Others' products and services - - C) Other distribution channels - - 1. Portfolio management - - 2. Placement of securities - - 3. Others' products and services - - 2.3 Fees and commissions expenses: breakdown (€ million) SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial instruments (22) (20) of which: trading in financial instruments (10) (8) of which: placement of financial instruments (5) (4) of which: individual Portfolio management (7) (8) - own portfolio - - - third party portfolio (7) (8) b) Clearing and settlement - - c) Custody and administration of securities (35) (33) d) Collection and payment services (317) (286) of which: debit credit card service and other payment cards (277) (245) e) Loan securitisation servicing activities (1) - f) Loan commitment given - - g) Financial guarantees received (77) (85) of which: credit derivatives - (4) h) Off-site distribution of financial instruments, products and services (7) (6) i) Currencies trading (1) (1) j) Other fees and commissions expenses (84) (106) Total (544) (537) Company financial statements | Notes to the accounts Part C - Income statement 680 2021 Annual Report and Accounts · UniCredit 2.2 Fees and commissions income: distribution channels of products and services (€ million) CHANNELS/VALUES YEAR 2021 YEAR 2020 A) Through bank branches 2,062 1,610 1. Portfolio management 47 55 2. Placement of securities 1,267 892 3. Others' products and services 748 663 B) Off-site offer - - 1. Portfolio management - - 2. Placement of securities - - 3. Others' products and services - - C) Other distribution channels - - 1. Portfolio management - - 2. Placement of securities - - 3. Others' products and services - - 2.3 Fees and commissions expenses: breakdown (€ million) SERVICES/VALUES YEAR 2021 YEAR 2020 a) Financial instruments (22) (20) of which: trading in financial instruments (10) (8) of which: placement of financial instruments (5) (4) of which: individual Portfolio management (7) (8) - own portfolio - - - third party portfolio (7) (8) b) Clearing and settlement - - c) Custody and administration of securities (35) (33) d) Collection and payment services (317) (286) of which: debit credit card service and other payment cards (277) (245) e) Loan securitisation servicing activities (1) - f) Loan commitment given - - g) Financial guarantees received (77) (85) of which: credit derivatives - (4) h) Off-site distribution of financial instruments, products and services (7) (6) i) Currencies trading (1) (1) j) Other fees and commissions expenses (84) (106) Total (544) (537) Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 681 Section 3 - Dividend income and similar revenue - Item 70 3.1 Dividend income and similar revenues: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/REVENUES DIVIDENDS SIMILAR REVENUES DIVIDENDS SIMILAR REVENUES A. Financial assets held for trading - - - - B. Other financial assets mandatorily at fair value 20 24 17 7 C. Financial assets at fair value through other comprehensive income 11 - 24 - D. Equity investments 837 - 3,645 - Total 868 24 3,686 7 Total dividends and similar revenues 892 3,693 Dividends are recognised in the income statement when distribution is approved. The item “B. Other financial assets mandatorily at fair value” includes mainly the dividends relating to the shareholding in La Villata S.p.A. Immobiliare di Investimento e Sviluppo for €16 million and Webuild S.p.A. for €3 million, further to €24 million from Investment Funds distributions. The item “C. Financial assets at fair value through other comprehensive income” includes mainly the dividends received relating to the shareholding in Banca d’Italia (€10 million). Here below the breakdown of dividends on equity investments collected during 2021 and 2020. Breakdown of dividends by investments (€ million) YEAR 2021 YEAR 2020 UniCredit Bank Austria AG 400 3,288 UniCredit Bank Czech Republic and Slovakia A.S. 126 - AO UniCredit Bank 101 90 Creditras Vita S.p.A. 45 8 UniCredit Bank Ireland P.l.c. 42 32 UniCredit Factoring S.p.A. 38 58 UniCredit Bank Serbia JSC 18 60 UniCredit Banka Slovenija D.D. 14 - Creditras Assicurazioni S.p.A. 13 - Yapi Ve Kredi Bankasi A.S. 10 - Camfin S.p.A. 8 - UniCredit Bank A.D. Banja Luka 8 - CNP UniCredit Vita S.p.A. 6 - Incontra Assicurazioni S.p.A. 6 5 UniCredit Myagents S.r.l. 2 1 UniCredit Bank Hungary ZRT - 49 UniCredit Bank Austria AG - 44 UniCredit International Bank (Luxembourg) S.A. - 9 Bavaria Servicos De Representao Commercial LTD - 1 Total 837 3,645 The dividend distributed in 2020 by UniCredit Bank AG for a total amount of €3,288 million also included an extraordinary dividend amount of €2,500 million. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 681 Section 3 - Dividend income and similar revenue - Item 70 3.1 Dividend income and similar revenues: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/REVENUES DIVIDENDS SIMILAR REVENUES DIVIDENDS SIMILAR REVENUES A. Financial assets held for trading - - - - B. Other financial assets mandatorily at fair value 20 24 17 7 C. Financial assets at fair value through other comprehensive income 11 - 24 - D. Equity investments 837 - 3,645 - Total 868 24 3,686 7 Total dividends and similar revenues 892 3,693 Dividends are recognised in the income statement when distribution is approved. The item “B. Other financial assets mandatorily at fair value” includes mainly the dividends relating to the shareholding in La Villata S.p.A. Immobiliare di Investimento e Sviluppo for €16 million and Webuild S.p.A. for €3 million, further to €24 million from Investment Funds distributions. The item “C. Financial assets at fair value through other comprehensive income” includes mainly the dividends received relating to the shareholding in Banca d’Italia (€10 million). Here below the breakdown of dividends on equity investments collected during 2021 and 2020. Breakdown of dividends by investments (€ million) YEAR 2021 YEAR 2020 UniCredit Bank Austria AG 400 3,288 UniCredit Bank Czech Republic and Slovakia A.S. 126 - AO UniCredit Bank 101 90 Creditras Vita S.p.A. 45 8 UniCredit Bank Ireland P.l.c. 42 32 UniCredit Factoring S.p.A. 38 58 UniCredit Bank Serbia JSC 18 60 UniCredit Banka Slovenija D.D. 14 - Creditras Assicurazioni S.p.A. 13 - Yapi Ve Kredi Bankasi A.S. 10 - Camfin S.p.A. 8 - UniCredit Bank A.D. Banja Luka 8 - CNP UniCredit Vita S.p.A. 6 - Incontra Assicurazioni S.p.A. 6 5 UniCredit Myagents S.r.l. 2 1 UniCredit Bank Hungary ZRT - 49 UniCredit Bank Austria AG - 44 UniCredit International Bank (Luxembourg) S.A. - 9 Bavaria Servicos De Representao Commercial LTD - 1 Total 837 3,645 The dividend distributed in 2020 by UniCredit Bank AG for a total amount of €3,288 million also included an extraordinary dividend amount of €2,500 million. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 681 Section 3 - Dividend income and similar revenue - Item 70 3.1 Dividend income and similar revenues: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/REVENUES DIVIDENDS SIMILAR REVENUES DIVIDENDS SIMILAR REVENUES A. Financial assets held for trading - - - - B. Other financial assets mandatorily at fair value 20 24 17 7 C. Financial assets at fair value through other comprehensive income 11 - 24 - D. Equity investments 837 - 3,645 - Total 868 24 3,686 7 Total dividends and similar revenues 892 3,693 Dividends are recognised in the income statement when distribution is approved. The item “B. Other financial assets mandatorily at fair value” includes mainly the dividends relating to the shareholding in La Villata S.p.A. Immobiliare di Investimento e Sviluppo for €16 million and Webuild S.p.A. for €3 million, further to €24 million from Investment Funds distributions. The item “C. Financial assets at fair value through other comprehensive income” includes mainly the dividends received relating to the shareholding in Banca d’Italia (€10 million). Here below the breakdown of dividends on equity investments collected during 2021 and 2020. Breakdown of dividends by investments (€ million) YEAR 2021 YEAR 2020 UniCredit Bank Austria AG 400 3,288 UniCredit Bank Czech Republic and Slovakia A.S. 126 - AO UniCredit Bank 101 90 Creditras Vita S.p.A. 45 8 UniCredit Bank Ireland P.l.c. 42 32 UniCredit Factoring S.p.A. 38 58 UniCredit Bank Serbia JSC 18 60 UniCredit Banka Slovenija D.D. 14 - Creditras Assicurazioni S.p.A. 13 - Yapi Ve Kredi Bankasi A.S. 10 - Camfin S.p.A. 8 - UniCredit Bank A.D. Banja Luka 8 - CNP UniCredit Vita S.p.A. 6 - Incontra Assicurazioni S.p.A. 6 5 UniCredit Myagents S.r.l. 2 1 UniCredit Bank Hungary ZRT - 49 UniCredit Bank Austria AG - 44 UniCredit International Bank (Luxembourg) S.A. - 9 Bavaria Servicos De Representao Commercial LTD - 1 Total 837 3,645 The dividend distributed in 2020 by UniCredit Bank AG for a total amount of €3,288 million also included an extraordinary dividend amount of €2,500 million. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 681 Section 3 - Dividend income and similar revenue - Item 70 3.1 Dividend income and similar revenues: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/REVENUES DIVIDENDS SIMILAR REVENUES DIVIDENDS SIMILAR REVENUES A. Financial assets held for trading - - - - B. Other financial assets mandatorily at fair value 20 24 17 7 C. Financial assets at fair value through other comprehensive income 11 - 24 - D. Equity investments 837 - 3,645 - Total 868 24 3,686 7 Total dividends and similar revenues 892 3,693 Dividends are recognised in the income statement when distribution is approved. The item “B. Other financial assets mandatorily at fair value” includes mainly the dividends relating to the shareholding in La Villata S.p.A. Immobiliare di Investimento e Sviluppo for €16 million and Webuild S.p.A. for €3 million, further to €24 million from Investment Funds distributions. The item “C. Financial assets at fair value through other comprehensive income” includes mainly the dividends received relating to the shareholding in Banca d’Italia (€10 million). Here below the breakdown of dividends on equity investments collected during 2021 and 2020. Breakdown of dividends by investments (€ million) YEAR 2021 YEAR 2020 UniCredit Bank Austria AG 400 3,288 UniCredit Bank Czech Republic and Slovakia A.S. 126 - AO UniCredit Bank 101 90 Creditras Vita S.p.A. 45 8 UniCredit Bank Ireland P.l.c. 42 32 UniCredit Factoring S.p.A. 38 58 UniCredit Bank Serbia JSC 18 60 UniCredit Banka Slovenija D.D. 14 - Creditras Assicurazioni S.p.A. 13 - Yapi Ve Kredi Bankasi A.S. 10 - Camfin S.p.A. 8 - UniCredit Bank A.D. Banja Luka 8 - CNP UniCredit Vita S.p.A. 6 - Incontra Assicurazioni S.p.A. 6 5 UniCredit Myagents S.r.l. 2 1 UniCredit Bank Hungary ZRT - 49 UniCredit Bank Austria AG - 44 UniCredit International Bank (Luxembourg) S.A. - 9 Bavaria Servicos De Representao Commercial LTD - 1 Total 837 3,645 The dividend distributed in 2020 by UniCredit Bank AG for a total amount of €3,288 million also included an extraordinary dividend amount of €2,500 million. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 681 Section 3 - Dividend income and similar revenue - Item 70 3.1 Dividend income and similar revenues: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/REVENUES DIVIDENDS SIMILAR REVENUES DIVIDENDS SIMILAR REVENUES A. Financial assets held for trading - - - - B. Other financial assets mandatorily at fair value 20 24 17 7 C. Financial assets at fair value through other comprehensive income 11 - 24 - D. Equity investments 837 - 3,645 - Total 868 24 3,686 7 Total dividends and similar revenues 892 3,693 Dividends are recognised in the income statement when distribution is approved. The item “B. Other financial assets mandatorily at fair value” includes mainly the dividends relating to the shareholding in La Villata S.p.A. Immobiliare di Investimento e Sviluppo for €16 million and Webuild S.p.A. for €3 million, further to €24 million from Investment Funds distributions. The item “C. Financial assets at fair value through other comprehensive income” includes mainly the dividends received relating to the shareholding in Banca d’Italia (€10 million). Here below the breakdown of dividends on equity investments collected during 2021 and 2020. Breakdown of dividends by investments (€ million) YEAR 2021 YEAR 2020 UniCredit Bank Austria AG 400 3,288 UniCredit Bank Czech Republic and Slovakia A.S. 126 - AO UniCredit Bank 101 90 Creditras Vita S.p.A. 45 8 UniCredit Bank Ireland P.l.c. 42 32 UniCredit Factoring S.p.A. 38 58 UniCredit Bank Serbia JSC 18 60 UniCredit Banka Slovenija D.D. 14 - Creditras Assicurazioni S.p.A. 13 - Yapi Ve Kredi Bankasi A.S. 10 - Camfin S.p.A. 8 - UniCredit Bank A.D. Banja Luka 8 - CNP UniCredit Vita S.p.A. 6 - Incontra Assicurazioni S.p.A. 6 5 UniCredit Myagents S.r.l. 2 1 UniCredit Bank Hungary ZRT - 49 UniCredit Bank Austria AG - 44 UniCredit International Bank (Luxembourg) S.A. - 9 Bavaria Servicos De Representao Commercial LTD - 1 Total 837 3,645 The dividend distributed in 2020 by UniCredit Bank AG for a total amount of €3,288 million also included an extraordinary dividend amount of €2,500 million. Company financial statements | Notes to the accounts Part C - Income statement 682 2021 Annual Report and Accounts · UniCredit Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 4.1 Net gains (losses) on trading: breakdown (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets held for trading 56 101 (37) (114) 6 1.1 Debt securities 56 101 (37) (114) 6 1.2 Equity instruments - - - - - 1.3 Units in investment funds - - - - - 1.4 Loans - - - - - 1.5 Other - - - - - 2. Financial liabilities held for trading - - - - - 2.1 Debt securities - - - - - 2.2 Deposits - - - - - 2.3 Other - - - - - 3. Financial assets and liabilities: exchange differences X X X X (259) 4. Derivatives 3,543 2,994 (3,433) (2,856) 638 4.1 Financial derivatives 3,543 2,994 (3,433) (2,856) 638 - On debt securities and interest rates 2,454 1,862 (2,361) (1,780) 175 - On equity securities and share indices 29 68 (12) (15) 70 - On currencies and gold X X X X 390 - Other 1,060 1,064 (1,060) (1,061) 3 4.2 Credit derivatives - - - - - of which: economic hedges linked to the fair value option X X X X - Total 3,599 3,095 (3,470) (2,970) 385 Financial derivatives include the ones connected to debt securities financial liabilities at fair value. Economic effects of derivatives belonging to the management strategy of Yapi Ve Kredi Bankasi A.S. are included, as mentioned into Report on operations. Section 5 - Fair value adjustments in hedge accounting - Item 90 5.1 Net gains (losses) on hedge accounting: breakdown (€ million) INCOME COMPONENT/VALUES YEAR 2021 YEAR 2020 A. Gains on A.1 Fair value hedging instruments 2,292 823 A.2 Hedged financial assets (in fair value hedge relationship) 112 785 A.3 Hedged financial liabilities (in fair value hedge relationship) 2,864 81 A.4 Cash-flow hedging derivatives 4 2 A.5 Assets and liabilities denominated in currency - - Total gains on hedging activities (A) 5,272 1,691 B. Losses on B.1 Fair value hedging instruments (3,027) (886) B.2 Hedged financial assets (in fair value hedge relationship) (2,154) - B.3 Hedged financial liabilities (in fair value hedge relationship) (94) (801) B.4 Cash-flow hedging derivatives (4) - B.5 Assets and liabilities denominated in currency - - Total losses on hedging activities (B) (5,279) (1,687) C. Net hedging result (A-B) (7) 4 of which: net gains (losses) of hedge accounting on net positions - - The increase in the items gain and losses on the hedging derivatives is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Company financial statements | Notes to the accounts Part C - Income statement 682 2021 Annual Report and Accounts · UniCredit Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 4.1 Net gains (losses) on trading: breakdown (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets held for trading 56 101 (37) (114) 6 1.1 Debt securities 56 101 (37) (114) 6 1.2 Equity instruments - - - - - 1.3 Units in investment funds - - - - - 1.4 Loans - - - - - 1.5 Other - - - - - 2. Financial liabilities held for trading - - - - - 2.1 Debt securities - - - - - 2.2 Deposits - - - - - 2.3 Other - - - - - 3. Financial assets and liabilities: exchange differences X X X X (259) 4. Derivatives 3,543 2,994 (3,433) (2,856) 638 4.1 Financial derivatives 3,543 2,994 (3,433) (2,856) 638 - On debt securities and interest rates 2,454 1,862 (2,361) (1,780) 175 - On equity securities and share indices 29 68 (12) (15) 70 - On currencies and gold X X X X 390 - Other 1,060 1,064 (1,060) (1,061) 3 4.2 Credit derivatives - - - - - of which: economic hedges linked to the fair value option X X X X - Total 3,599 3,095 (3,470) (2,970) 385 Financial derivatives include the ones connected to debt securities financial liabilities at fair value. Economic effects of derivatives belonging to the management strategy of Yapi Ve Kredi Bankasi A.S. are included, as mentioned into Report on operations. Section 5 - Fair value adjustments in hedge accounting - Item 90 5.1 Net gains (losses) on hedge accounting: breakdown (€ million) INCOME COMPONENT/VALUES YEAR 2021 YEAR 2020 A. Gains on A.1 Fair value hedging instruments 2,292 823 A.2 Hedged financial assets (in fair value hedge relationship) 112 785 A.3 Hedged financial liabilities (in fair value hedge relationship) 2,864 81 A.4 Cash-flow hedging derivatives 4 2 A.5 Assets and liabilities denominated in currency - - Total gains on hedging activities (A) 5,272 1,691 B. Losses on B.1 Fair value hedging instruments (3,027) (886) B.2 Hedged financial assets (in fair value hedge relationship) (2,154) - B.3 Hedged financial liabilities (in fair value hedge relationship) (94) (801) B.4 Cash-flow hedging derivatives (4) - B.5 Assets and liabilities denominated in currency - - Total losses on hedging activities (B) (5,279) (1,687) C. Net hedging result (A-B) (7) 4 of which: net gains (losses) of hedge accounting on net positions - - The increase in the items gain and losses on the hedging derivatives is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Company financial statements | Notes to the accounts Part C - Income statement 682 2021 Annual Report and Accounts · UniCredit Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 4.1 Net gains (losses) on trading: breakdown (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets held for trading 56 101 (37) (114) 6 1.1 Debt securities 56 101 (37) (114) 6 1.2 Equity instruments - - - - - 1.3 Units in investment funds - - - - - 1.4 Loans - - - - - 1.5 Other - - - - - 2. Financial liabilities held for trading - - - - - 2.1 Debt securities - - - - - 2.2 Deposits - - - - - 2.3 Other - - - - - 3. Financial assets and liabilities: exchange differences X X X X (259) 4. Derivatives 3,543 2,994 (3,433) (2,856) 638 4.1 Financial derivatives 3,543 2,994 (3,433) (2,856) 638 - On debt securities and interest rates 2,454 1,862 (2,361) (1,780) 175 - On equity securities and share indices 29 68 (12) (15) 70 - On currencies and gold X X X X 390 - Other 1,060 1,064 (1,060) (1,061) 3 4.2 Credit derivatives - - - - - of which: economic hedges linked to the fair value option X X X X - Total 3,599 3,095 (3,470) (2,970) 385 Financial derivatives include the ones connected to debt securities financial liabilities at fair value. Economic effects of derivatives belonging to the management strategy of Yapi Ve Kredi Bankasi A.S. are included, as mentioned into Report on operations. Section 5 - Fair value adjustments in hedge accounting - Item 90 5.1 Net gains (losses) on hedge accounting: breakdown (€ million) INCOME COMPONENT/VALUES YEAR 2021 YEAR 2020 A. Gains on A.1 Fair value hedging instruments 2,292 823 A.2 Hedged financial assets (in fair value hedge relationship) 112 785 A.3 Hedged financial liabilities (in fair value hedge relationship) 2,864 81 A.4 Cash-flow hedging derivatives 4 2 A.5 Assets and liabilities denominated in currency - - Total gains on hedging activities (A) 5,272 1,691 B. Losses on B.1 Fair value hedging instruments (3,027) (886) B.2 Hedged financial assets (in fair value hedge relationship) (2,154) - B.3 Hedged financial liabilities (in fair value hedge relationship) (94) (801) B.4 Cash-flow hedging derivatives (4) - B.5 Assets and liabilities denominated in currency - - Total losses on hedging activities (B) (5,279) (1,687) C. Net hedging result (A-B) (7) 4 of which: net gains (losses) of hedge accounting on net positions - - The increase in the items gain and losses on the hedging derivatives is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Company financial statements | Notes to the accounts Part C - Income statement 682 2021 Annual Report and Accounts · UniCredit Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 4.1 Net gains (losses) on trading: breakdown (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets held for trading 56 101 (37) (114) 6 1.1 Debt securities 56 101 (37) (114) 6 1.2 Equity instruments - - - - - 1.3 Units in investment funds - - - - - 1.4 Loans - - - - - 1.5 Other - - - - - 2. Financial liabilities held for trading - - - - - 2.1 Debt securities - - - - - 2.2 Deposits - - - - - 2.3 Other - - - - - 3. Financial assets and liabilities: exchange differences X X X X (259) 4. Derivatives 3,543 2,994 (3,433) (2,856) 638 4.1 Financial derivatives 3,543 2,994 (3,433) (2,856) 638 - On debt securities and interest rates 2,454 1,862 (2,361) (1,780) 175 - On equity securities and share indices 29 68 (12) (15) 70 - On currencies and gold X X X X 390 - Other 1,060 1,064 (1,060) (1,061) 3 4.2 Credit derivatives - - - - - of which: economic hedges linked to the fair value option X X X X - Total 3,599 3,095 (3,470) (2,970) 385 Financial derivatives include the ones connected to debt securities financial liabilities at fair value. Economic effects of derivatives belonging to the management strategy of Yapi Ve Kredi Bankasi A.S. are included, as mentioned into Report on operations. Section 5 - Fair value adjustments in hedge accounting - Item 90 5.1 Net gains (losses) on hedge accounting: breakdown (€ million) INCOME COMPONENT/VALUES YEAR 2021 YEAR 2020 A. Gains on A.1 Fair value hedging instruments 2,292 823 A.2 Hedged financial assets (in fair value hedge relationship) 112 785 A.3 Hedged financial liabilities (in fair value hedge relationship) 2,864 81 A.4 Cash-flow hedging derivatives 4 2 A.5 Assets and liabilities denominated in currency - - Total gains on hedging activities (A) 5,272 1,691 B. Losses on B.1 Fair value hedging instruments (3,027) (886) B.2 Hedged financial assets (in fair value hedge relationship) (2,154) - B.3 Hedged financial liabilities (in fair value hedge relationship) (94) (801) B.4 Cash-flow hedging derivatives (4) - B.5 Assets and liabilities denominated in currency - - Total losses on hedging activities (B) (5,279) (1,687) C. Net hedging result (A-B) (7) 4 of which: net gains (losses) of hedge accounting on net positions - - The increase in the items gain and losses on the hedging derivatives is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Company financial statements | Notes to the accounts Part C - Income statement 682 2021 Annual Report and Accounts · UniCredit Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80 4.1 Net gains (losses) on trading: breakdown (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets held for trading 56 101 (37) (114) 6 1.1 Debt securities 56 101 (37) (114) 6 1.2 Equity instruments - - - - - 1.3 Units in investment funds - - - - - 1.4 Loans - - - - - 1.5 Other - - - - - 2. Financial liabilities held for trading - - - - - 2.1 Debt securities - - - - - 2.2 Deposits - - - - - 2.3 Other - - - - - 3. Financial assets and liabilities: exchange differences X X X X (259) 4. Derivatives 3,543 2,994 (3,433) (2,856) 638 4.1 Financial derivatives 3,543 2,994 (3,433) (2,856) 638 - On debt securities and interest rates 2,454 1,862 (2,361) (1,780) 175 - On equity securities and share indices 29 68 (12) (15) 70 - On currencies and gold X X X X 390 - Other 1,060 1,064 (1,060) (1,061) 3 4.2 Credit derivatives - - - - - of which: economic hedges linked to the fair value option X X X X - Total 3,599 3,095 (3,470) (2,970) 385 Financial derivatives include the ones connected to debt securities financial liabilities at fair value. Economic effects of derivatives belonging to the management strategy of Yapi Ve Kredi Bankasi A.S. are included, as mentioned into Report on operations. Section 5 - Fair value adjustments in hedge accounting - Item 90 5.1 Net gains (losses) on hedge accounting: breakdown (€ million) INCOME COMPONENT/VALUES YEAR 2021 YEAR 2020 A. Gains on A.1 Fair value hedging instruments 2,292 823 A.2 Hedged financial assets (in fair value hedge relationship) 112 785 A.3 Hedged financial liabilities (in fair value hedge relationship) 2,864 81 A.4 Cash-flow hedging derivatives 4 2 A.5 Assets and liabilities denominated in currency - - Total gains on hedging activities (A) 5,272 1,691 B. Losses on B.1 Fair value hedging instruments (3,027) (886) B.2 Hedged financial assets (in fair value hedge relationship) (2,154) - B.3 Hedged financial liabilities (in fair value hedge relationship) (94) (801) B.4 Cash-flow hedging derivatives (4) - B.5 Assets and liabilities denominated in currency - - Total losses on hedging activities (B) (5,279) (1,687) C. Net hedging result (A-B) (7) 4 of which: net gains (losses) of hedge accounting on net positions - - The increase in the items gain and losses on the hedging derivatives is mainly attributable to the evolution in the markets interest rate curves observed in 2021. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 683 Hedging derivatives evaluation include any eventual “model” adjustment needed to reflect the presence of guarantees and credit risk of counterparties. Section 6 - Gains (Losses) on disposals/repurchases - Item 100 6.1 Gains (Losses) on disposal/repurchase: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/INCOME ITEMS GAINS LOSSES NET PROFIT GAINS LOSSES NET PROFIT A. Financial assets 1. Financial assets at amortised cost 193 (120) 73 241 (117) 124 1.1 Loans and advances to banks 2 - 2 2 - 2 1.2 Loans and advances to customers 191 (120) 71 239 (117) 122 2. Financial assets at fair value through other comprehensive income 239 (146) 93 86 (63) 23 2.1 Debt securities 239 (146) 93 86 (63) 23 2.2 Loans - - - - - - Total assets (A) 432 (266) 166 327 (180) 147 B. Financial liabilities at amortised cost 1. Deposits from banks - - - - - - 2. Deposits from customers 1 (2) (1) - - - 3. Debt securities in issue - (10) (10) 20 (10) 10 Total liabilities (B) 1 (12) (11) 20 (10) 10 Total financial assets/liabilities 155 157 Net results on financial assets at amortised cost mainly arise from sale of bonds and, for a lower amount, of non-performing loans to customers. Net gains on financial assets at fair value through other comprehensive income are essentially related to effects of the sale of government bonds, mainly Italian ones. Net gains from repurchase of debts securities in issue arise from buyback of some issuances before their original maturity. Negative 2021 result essentially originates from the accounting effects of the derecognition of issued bonds subscribed by UniCredit Bank Ireland PLC following its merge into UniCredit S.p.A. Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 7.1 Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: breakdown of financial assets and liabilities designated at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets - - (7) - (7) 1.1 Debt securities - - (7) - (7) 1.2 Loans - - - - - 2. Financial liabilities 60 134 (164) (131) (101) 2.1 Debt securities 60 134 (164) (131) (101) 2.2 Deposits from banks - - - - - 2.3 Deposits from customers - - - - - 3. Financial assets and liabilities in foreign currency: exchange differences X X X X - Total 60 134 (171) (131) (108) Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 683 Hedging derivatives evaluation include any eventual “model” adjustment needed to reflect the presence of guarantees and credit risk of counterparties. Section 6 - Gains (Losses) on disposals/repurchases - Item 100 6.1 Gains (Losses) on disposal/repurchase: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/INCOME ITEMS GAINS LOSSES NET PROFIT GAINS LOSSES NET PROFIT A. Financial assets 1. Financial assets at amortised cost 193 (120) 73 241 (117) 124 1.1 Loans and advances to banks 2 - 2 2 - 2 1.2 Loans and advances to customers 191 (120) 71 239 (117) 122 2. Financial assets at fair value through other comprehensive income 239 (146) 93 86 (63) 23 2.1 Debt securities 239 (146) 93 86 (63) 23 2.2 Loans - - - - - - Total assets (A) 432 (266) 166 327 (180) 147 B. Financial liabilities at amortised cost 1. Deposits from banks - - - - - - 2. Deposits from customers 1 (2) (1) - - - 3. Debt securities in issue - (10) (10) 20 (10) 10 Total liabilities (B) 1 (12) (11) 20 (10) 10 Total financial assets/liabilities 155 157 Net results on financial assets at amortised cost mainly arise from sale of bonds and, for a lower amount, of non-performing loans to customers. Net gains on financial assets at fair value through other comprehensive income are essentially related to effects of the sale of government bonds, mainly Italian ones. Net gains from repurchase of debts securities in issue arise from buyback of some issuances before their original maturity. Negative 2021 result essentially originates from the accounting effects of the derecognition of issued bonds subscribed by UniCredit Bank Ireland PLC following its merge into UniCredit S.p.A. Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 7.1 Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: breakdown of financial assets and liabilities designated at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets - - (7) - (7) 1.1 Debt securities - - (7) - (7) 1.2 Loans - - - - - 2. Financial liabilities 60 134 (164) (131) (101) 2.1 Debt securities 60 134 (164) (131) (101) 2.2 Deposits from banks - - - - - 2.3 Deposits from customers - - - - - 3. Financial assets and liabilities in foreign currency: exchange differences X X X X - Total 60 134 (171) (131) (108) Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 683 Hedging derivatives evaluation include any eventual “model” adjustment needed to reflect the presence of guarantees and credit risk of counterparties. Section 6 - Gains (Losses) on disposals/repurchases - Item 100 6.1 Gains (Losses) on disposal/repurchase: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/INCOME ITEMS GAINS LOSSES NET PROFIT GAINS LOSSES NET PROFIT A. Financial assets 1. Financial assets at amortised cost 193 (120) 73 241 (117) 124 1.1 Loans and advances to banks 2 - 2 2 - 2 1.2 Loans and advances to customers 191 (120) 71 239 (117) 122 2. Financial assets at fair value through other comprehensive income 239 (146) 93 86 (63) 23 2.1 Debt securities 239 (146) 93 86 (63) 23 2.2 Loans - - - - - - Total assets (A) 432 (266) 166 327 (180) 147 B. Financial liabilities at amortised cost 1. Deposits from banks - - - - - - 2. Deposits from customers 1 (2) (1) - - - 3. Debt securities in issue - (10) (10) 20 (10) 10 Total liabilities (B) 1 (12) (11) 20 (10) 10 Total financial assets/liabilities 155 157 Net results on financial assets at amortised cost mainly arise from sale of bonds and, for a lower amount, of non-performing loans to customers. Net gains on financial assets at fair value through other comprehensive income are essentially related to effects of the sale of government bonds, mainly Italian ones. Net gains from repurchase of debts securities in issue arise from buyback of some issuances before their original maturity. Negative 2021 result essentially originates from the accounting effects of the derecognition of issued bonds subscribed by UniCredit Bank Ireland PLC following its merge into UniCredit S.p.A. Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 7.1 Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: breakdown of financial assets and liabilities designated at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets - - (7) - (7) 1.1 Debt securities - - (7) - (7) 1.2 Loans - - - - - 2. Financial liabilities 60 134 (164) (131) (101) 2.1 Debt securities 60 134 (164) (131) (101) 2.2 Deposits from banks - - - - - 2.3 Deposits from customers - - - - - 3. Financial assets and liabilities in foreign currency: exchange differences X X X X - Total 60 134 (171) (131) (108) Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 683 Hedging derivatives evaluation include any eventual “model” adjustment needed to reflect the presence of guarantees and credit risk of counterparties. Section 6 - Gains (Losses) on disposals/repurchases - Item 100 6.1 Gains (Losses) on disposal/repurchase: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/INCOME ITEMS GAINS LOSSES NET PROFIT GAINS LOSSES NET PROFIT A. Financial assets 1. Financial assets at amortised cost 193 (120) 73 241 (117) 124 1.1 Loans and advances to banks 2 - 2 2 - 2 1.2 Loans and advances to customers 191 (120) 71 239 (117) 122 2. Financial assets at fair value through other comprehensive income 239 (146) 93 86 (63) 23 2.1 Debt securities 239 (146) 93 86 (63) 23 2.2 Loans - - - - - - Total assets (A) 432 (266) 166 327 (180) 147 B. Financial liabilities at amortised cost 1. Deposits from banks - - - - - - 2. Deposits from customers 1 (2) (1) - - - 3. Debt securities in issue - (10) (10) 20 (10) 10 Total liabilities (B) 1 (12) (11) 20 (10) 10 Total financial assets/liabilities 155 157 Net results on financial assets at amortised cost mainly arise from sale of bonds and, for a lower amount, of non-performing loans to customers. Net gains on financial assets at fair value through other comprehensive income are essentially related to effects of the sale of government bonds, mainly Italian ones. Net gains from repurchase of debts securities in issue arise from buyback of some issuances before their original maturity. Negative 2021 result essentially originates from the accounting effects of the derecognition of issued bonds subscribed by UniCredit Bank Ireland PLC following its merge into UniCredit S.p.A. Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 7.1 Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: breakdown of financial assets and liabilities designated at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets - - (7) - (7) 1.1 Debt securities - - (7) - (7) 1.2 Loans - - - - - 2. Financial liabilities 60 134 (164) (131) (101) 2.1 Debt securities 60 134 (164) (131) (101) 2.2 Deposits from banks - - - - - 2.3 Deposits from customers - - - - - 3. Financial assets and liabilities in foreign currency: exchange differences X X X X - Total 60 134 (171) (131) (108) Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 683 Hedging derivatives evaluation include any eventual “model” adjustment needed to reflect the presence of guarantees and credit risk of counterparties. Section 6 - Gains (Losses) on disposals/repurchases - Item 100 6.1 Gains (Losses) on disposal/repurchase: breakdown (€ million) YEAR 2021 YEAR 2020 ITEMS/INCOME ITEMS GAINS LOSSES NET PROFIT GAINS LOSSES NET PROFIT A. Financial assets 1. Financial assets at amortised cost 193 (120) 73 241 (117) 124 1.1 Loans and advances to banks 2 - 2 2 - 2 1.2 Loans and advances to customers 191 (120) 71 239 (117) 122 2. Financial assets at fair value through other comprehensive income 239 (146) 93 86 (63) 23 2.1 Debt securities 239 (146) 93 86 (63) 23 2.2 Loans - - - - - - Total assets (A) 432 (266) 166 327 (180) 147 B. Financial liabilities at amortised cost 1. Deposits from banks - - - - - - 2. Deposits from customers 1 (2) (1) - - - 3. Debt securities in issue - (10) (10) 20 (10) 10 Total liabilities (B) 1 (12) (11) 20 (10) 10 Total financial assets/liabilities 155 157 Net results on financial assets at amortised cost mainly arise from sale of bonds and, for a lower amount, of non-performing loans to customers. Net gains on financial assets at fair value through other comprehensive income are essentially related to effects of the sale of government bonds, mainly Italian ones. Net gains from repurchase of debts securities in issue arise from buyback of some issuances before their original maturity. Negative 2021 result essentially originates from the accounting effects of the derecognition of issued bonds subscribed by UniCredit Bank Ireland PLC following its merge into UniCredit S.p.A. Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through profit or loss - Item 110 7.1 Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: breakdown of financial assets and liabilities designated at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets - - (7) - (7) 1.1 Debt securities - - (7) - (7) 1.2 Loans - - - - - 2. Financial liabilities 60 134 (164) (131) (101) 2.1 Debt securities 60 134 (164) (131) (101) 2.2 Deposits from banks - - - - - 2.3 Deposits from customers - - - - - 3. Financial assets and liabilities in foreign currency: exchange differences X X X X - Total 60 134 (171) (131) (108) Company financial statements | Notes to the accounts Part C - Income statement 684 2021 Annual Report and Accounts · UniCredit Financial liabilities represented by debt securities show the economic result of “certificates” (structured debt securities) issued by UniCredit S.p.A. to which are also linked some financial derivatives for economic hedge purposes and whose economic results are included into table reported in the paragraph “4.1 Net gain (losses) on trading: breakdown”, Notes to the accounts, Part C - Income statement, Section 4 - Gain (Losses) on financial assets and liabilities held for trading - Item 80. 7.2 Net change in other financial assets/liabilities at fair value through profit or loss: breakdown of other financial assets mandatorily at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets 193 7 (128) (3) 69 1.1 Debt securities 95 5 (30) (1) 69 1.2 Equity securities 45 - (38) - 7 1.3 Units in investment funds 50 2 (51) - 1 1.4 Loans 3 - (9) (2) (8) 2. Financial assets: exchange differences X X X X - Total 193 7 (128) (3) 69 Debt securities into financial assets also include evaluation effects of Additional Tier 1 instruments subscribed by the Bank, among which, for €63 million, the ones issued by the subsidiary UniCredit Bank AG and subscribed in the fourth quarter 2020 for a nominal amount of €1,700 million and, for €16 million, the ones issued by the subsidiary UniCredit Bank Austria AG and subscribed in the fourth quarter 2021 for a nominal amount of €600 million. Equity securities include effects of the evaluation of the interests held in the “Schema Volontario” for which refer to specific comment below table reported in the paragraph “2.5 Financial assets mandatory at fair value: breakdown by product”, Notes to the accounts, Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Also, evaluation of Yapi Ve Kredi Bankasi A.S. after loose of significative influence is included for -€32 million. Units in investment funds include economic effects from Atlante fund and Italian Recovery Fund (-€8 million), for which refer to specific disclosure below table reported in the paragraph “2.5 Financial assets mandatory at fair value: breakdown by product”, Notes to the accounts, Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Section 8 - Net losses/recoveries on credit impairment - Item 130 8.1 Net impairment losses for credit risk relating to financial assets at amortised cost: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Loans and advances to banks (4) (1) - - - - 5 - 2 - 2 15 - Loans (3) - - - - - 5 - 2 - 4 17 - Debt securities (1) (1) - - - - - - - - (2) (2) B. Loans and advances to customers (195) (1,018) (117) (1,773) (1) - 406 562 1,159 - (977) (2,748) - Loans (192) (1,014) (117) (1,773) (1) - 394 555 1,159 - (989) (2,740) - Debt securities (3) (4) - - - - 12 7 - - 12 (8) Total (199) (1,019) (117) (1,773) (1) - 411 562 1,161 - (975) (2,733) Company financial statements | Notes to the accounts Part C - Income statement 684 2021 Annual Report and Accounts · UniCredit Financial liabilities represented by debt securities show the economic result of “certificates” (structured debt securities) issued by UniCredit S.p.A. to which are also linked some financial derivatives for economic hedge purposes and whose economic results are included into table reported in the paragraph “4.1 Net gain (losses) on trading: breakdown”, Notes to the accounts, Part C - Income statement, Section 4 - Gain (Losses) on financial assets and liabilities held for trading - Item 80. 7.2 Net change in other financial assets/liabilities at fair value through profit or loss: breakdown of other financial assets mandatorily at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets 193 7 (128) (3) 69 1.1 Debt securities 95 5 (30) (1) 69 1.2 Equity securities 45 - (38) - 7 1.3 Units in investment funds 50 2 (51) - 1 1.4 Loans 3 - (9) (2) (8) 2. Financial assets: exchange differences X X X X - Total 193 7 (128) (3) 69 Debt securities into financial assets also include evaluation effects of Additional Tier 1 instruments subscribed by the Bank, among which, for €63 million, the ones issued by the subsidiary UniCredit Bank AG and subscribed in the fourth quarter 2020 for a nominal amount of €1,700 million and, for €16 million, the ones issued by the subsidiary UniCredit Bank Austria AG and subscribed in the fourth quarter 2021 for a nominal amount of €600 million. Equity securities include effects of the evaluation of the interests held in the “Schema Volontario” for which refer to specific comment below table reported in the paragraph “2.5 Financial assets mandatory at fair value: breakdown by product”, Notes to the accounts, Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Also, evaluation of Yapi Ve Kredi Bankasi A.S. after loose of significative influence is included for -€32 million. Units in investment funds include economic effects from Atlante fund and Italian Recovery Fund (-€8 million), for which refer to specific disclosure below table reported in the paragraph “2.5 Financial assets mandatory at fair value: breakdown by product”, Notes to the accounts, Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Section 8 - Net losses/recoveries on credit impairment - Item 130 8.1 Net impairment losses for credit risk relating to financial assets at amortised cost: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Loans and advances to banks (4) (1) - - - - 5 - 2 - 2 15 - Loans (3) - - - - - 5 - 2 - 4 17 - Debt securities (1) (1) - - - - - - - - (2) (2) B. Loans and advances to customers (195) (1,018) (117) (1,773) (1) - 406 562 1,159 - (977) (2,748) - Loans (192) (1,014) (117) (1,773) (1) - 394 555 1,159 - (989) (2,740) - Debt securities (3) (4) - - - - 12 7 - - 12 (8) Total (199) (1,019) (117) (1,773) (1) - 411 562 1,161 - (975) (2,733) Company financial statements | Notes to the accounts Part C - Income statement 684 2021 Annual Report and Accounts · UniCredit Financial liabilities represented by debt securities show the economic result of “certificates” (structured debt securities) issued by UniCredit S.p.A. to which are also linked some financial derivatives for economic hedge purposes and whose economic results are included into table reported in the paragraph “4.1 Net gain (losses) on trading: breakdown”, Notes to the accounts, Part C - Income statement, Section 4 - Gain (Losses) on financial assets and liabilities held for trading - Item 80. 7.2 Net change in other financial assets/liabilities at fair value through profit or loss: breakdown of other financial assets mandatorily at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets 193 7 (128) (3) 69 1.1 Debt securities 95 5 (30) (1) 69 1.2 Equity securities 45 - (38) - 7 1.3 Units in investment funds 50 2 (51) - 1 1.4 Loans 3 - (9) (2) (8) 2. Financial assets: exchange differences X X X X - Total 193 7 (128) (3) 69 Debt securities into financial assets also include evaluation effects of Additional Tier 1 instruments subscribed by the Bank, among which, for €63 million, the ones issued by the subsidiary UniCredit Bank AG and subscribed in the fourth quarter 2020 for a nominal amount of €1,700 million and, for €16 million, the ones issued by the subsidiary UniCredit Bank Austria AG and subscribed in the fourth quarter 2021 for a nominal amount of €600 million. Equity securities include effects of the evaluation of the interests held in the “Schema Volontario” for which refer to specific comment below table reported in the paragraph “2.5 Financial assets mandatory at fair value: breakdown by product”, Notes to the accounts, Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Also, evaluation of Yapi Ve Kredi Bankasi A.S. after loose of significative influence is included for -€32 million. Units in investment funds include economic effects from Atlante fund and Italian Recovery Fund (-€8 million), for which refer to specific disclosure below table reported in the paragraph “2.5 Financial assets mandatory at fair value: breakdown by product”, Notes to the accounts, Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Section 8 - Net losses/recoveries on credit impairment - Item 130 8.1 Net impairment losses for credit risk relating to financial assets at amortised cost: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Loans and advances to banks (4) (1) - - - - 5 - 2 - 2 15 - Loans (3) - - - - - 5 - 2 - 4 17 - Debt securities (1) (1) - - - - - - - - (2) (2) B. Loans and advances to customers (195) (1,018) (117) (1,773) (1) - 406 562 1,159 - (977) (2,748) - Loans (192) (1,014) (117) (1,773) (1) - 394 555 1,159 - (989) (2,740) - Debt securities (3) (4) - - - - 12 7 - - 12 (8) Total (199) (1,019) (117) (1,773) (1) - 411 562 1,161 - (975) (2,733) Company financial statements | Notes to the accounts Part C - Income statement 684 2021 Annual Report and Accounts · UniCredit Financial liabilities represented by debt securities show the economic result of “certificates” (structured debt securities) issued by UniCredit S.p.A. to which are also linked some financial derivatives for economic hedge purposes and whose economic results are included into table reported in the paragraph “4.1 Net gain (losses) on trading: breakdown”, Notes to the accounts, Part C - Income statement, Section 4 - Gain (Losses) on financial assets and liabilities held for trading - Item 80. 7.2 Net change in other financial assets/liabilities at fair value through profit or loss: breakdown of other financial assets mandatorily at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets 193 7 (128) (3) 69 1.1 Debt securities 95 5 (30) (1) 69 1.2 Equity securities 45 - (38) - 7 1.3 Units in investment funds 50 2 (51) - 1 1.4 Loans 3 - (9) (2) (8) 2. Financial assets: exchange differences X X X X - Total 193 7 (128) (3) 69 Debt securities into financial assets also include evaluation effects of Additional Tier 1 instruments subscribed by the Bank, among which, for €63 million, the ones issued by the subsidiary UniCredit Bank AG and subscribed in the fourth quarter 2020 for a nominal amount of €1,700 million and, for €16 million, the ones issued by the subsidiary UniCredit Bank Austria AG and subscribed in the fourth quarter 2021 for a nominal amount of €600 million. Equity securities include effects of the evaluation of the interests held in the “Schema Volontario” for which refer to specific comment below table reported in the paragraph “2.5 Financial assets mandatory at fair value: breakdown by product”, Notes to the accounts, Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Also, evaluation of Yapi Ve Kredi Bankasi A.S. after loose of significative influence is included for -€32 million. Units in investment funds include economic effects from Atlante fund and Italian Recovery Fund (-€8 million), for which refer to specific disclosure below table reported in the paragraph “2.5 Financial assets mandatory at fair value: breakdown by product”, Notes to the accounts, Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Section 8 - Net losses/recoveries on credit impairment - Item 130 8.1 Net impairment losses for credit risk relating to financial assets at amortised cost: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Loans and advances to banks (4) (1) - - - - 5 - 2 - 2 15 - Loans (3) - - - - - 5 - 2 - 4 17 - Debt securities (1) (1) - - - - - - - - (2) (2) B. Loans and advances to customers (195) (1,018) (117) (1,773) (1) - 406 562 1,159 - (977) (2,748) - Loans (192) (1,014) (117) (1,773) (1) - 394 555 1,159 - (989) (2,740) - Debt securities (3) (4) - - - - 12 7 - - 12 (8) Total (199) (1,019) (117) (1,773) (1) - 411 562 1,161 - (975) (2,733) Company financial statements | Notes to the accounts Part C - Income statement 684 2021 Annual Report and Accounts · UniCredit Financial liabilities represented by debt securities show the economic result of “certificates” (structured debt securities) issued by UniCredit S.p.A. to which are also linked some financial derivatives for economic hedge purposes and whose economic results are included into table reported in the paragraph “4.1 Net gain (losses) on trading: breakdown”, Notes to the accounts, Part C - Income statement, Section 4 - Gain (Losses) on financial assets and liabilities held for trading - Item 80. 7.2 Net change in other financial assets/liabilities at fair value through profit or loss: breakdown of other financial assets mandatorily at fair value (€ million) YEAR 2021 TRANSACTIONS/INCOME ITEMS CAPITAL GAINS (A) REALISED PROFITS (B) CAPITAL LOSSES (C) REALISED LOSSES (D) NET PROFIT [(A+B)-(C+D)] 1. Financial assets 193 7 (128) (3) 69 1.1 Debt securities 95 5 (30) (1) 69 1.2 Equity securities 45 - (38) - 7 1.3 Units in investment funds 50 2 (51) - 1 1.4 Loans 3 - (9) (2) (8) 2. Financial assets: exchange differences X X X X - Total 193 7 (128) (3) 69 Debt securities into financial assets also include evaluation effects of Additional Tier 1 instruments subscribed by the Bank, among which, for €63 million, the ones issued by the subsidiary UniCredit Bank AG and subscribed in the fourth quarter 2020 for a nominal amount of €1,700 million and, for €16 million, the ones issued by the subsidiary UniCredit Bank Austria AG and subscribed in the fourth quarter 2021 for a nominal amount of €600 million. Equity securities include effects of the evaluation of the interests held in the “Schema Volontario” for which refer to specific comment below table reported in the paragraph “2.5 Financial assets mandatory at fair value: breakdown by product”, Notes to the accounts, Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Also, evaluation of Yapi Ve Kredi Bankasi A.S. after loose of significative influence is included for -€32 million. Units in investment funds include economic effects from Atlante fund and Italian Recovery Fund (-€8 million), for which refer to specific disclosure below table reported in the paragraph “2.5 Financial assets mandatory at fair value: breakdown by product”, Notes to the accounts, Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20. Section 8 - Net losses/recoveries on credit impairment - Item 130 8.1 Net impairment losses for credit risk relating to financial assets at amortised cost: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Loans and advances to banks (4) (1) - - - - 5 - 2 - 2 15 - Loans (3) - - - - - 5 - 2 - 4 17 - Debt securities (1) (1) - - - - - - - - (2) (2) B. Loans and advances to customers (195) (1,018) (117) (1,773) (1) - 406 562 1,159 - (977) (2,748) - Loans (192) (1,014) (117) (1,773) (1) - 394 555 1,159 - (989) (2,740) - Debt securities (3) (4) - - - - 12 7 - - 12 (8) Total (199) (1,019) (117) (1,773) (1) - 411 562 1,161 - (975) (2,733) Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 685 8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown (€ million) YEAR 2021 YEAR NET IMPAIRMENT LOSSES TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL 1. EBA-compliant moratoria loans and advances - - - - - - - (372) 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - (70) - (13) - - (83) (3) 3. Loans and advances with other forbearance measures - (98) - (141) - - (239) (5) 4. Newly originated loans and advances 4 (26) - (47) - - (69) (41) Total 12.31.2021 4 (194) - (201) - - (391) Total 12.31.2020 (17) (313) - (91) - - (421) 8.2 Net change for credit risk relating to financial assets at fair value through other comprehensive income: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Debt securities (23) - - (1) - - 10 - - - (14) (11) B. Loans - - - - - - - - - - - - - Loans and advances to customers - - - - - - - - - - - - - Loans and advances to banks - - - - - - - - - - - - Total (23) - - (1) - - 10 - - - (14) (11) Impacts related to performing exposures (Stage 1 and 2) include: • -€15 million related to the update of the macroeconomic scenario totally booked in the first semester; • -€223 million relating to changes in allocation methodology between Stages; • -€46 million totally booked in the first half on customers who benefited from measures to extend the moratorium through a PD flooring measure in order to limit improvements in the expected risk profile, linked to a mere effect of the suspension of payments, instead to an effective improvement of customer fundamentals; • -€252 million due to exposures related to Covid-19 pandemic moratoria. Net impairment losses related to non-performing exposures (Stage 3) include -€208 million concerning the evolution of the portfolio evaluated adopting selling scenario, for the inclusion of part of credit exposures classified as unlikely to pay and the exclusion of some bad loans that present characteristics of illiquidity. For additional information on this section refer to the paragraph “2.3 Methods for measuring expected losses” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 685 8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown (€ million) YEAR 2021 YEAR NET IMPAIRMENT LOSSES TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL 1. EBA-compliant moratoria loans and advances - - - - - - - (372) 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - (70) - (13) - - (83) (3) 3. Loans and advances with other forbearance measures - (98) - (141) - - (239) (5) 4. Newly originated loans and advances 4 (26) - (47) - - (69) (41) Total 12.31.2021 4 (194) - (201) - - (391) Total 12.31.2020 (17) (313) - (91) - - (421) 8.2 Net change for credit risk relating to financial assets at fair value through other comprehensive income: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Debt securities (23) - - (1) - - 10 - - - (14) (11) B. Loans - - - - - - - - - - - - - Loans and advances to customers - - - - - - - - - - - - - Loans and advances to banks - - - - - - - - - - - - Total (23) - - (1) - - 10 - - - (14) (11) Impacts related to performing exposures (Stage 1 and 2) include: • -€15 million related to the update of the macroeconomic scenario totally booked in the first semester; • -€223 million relating to changes in allocation methodology between Stages; • -€46 million totally booked in the first half on customers who benefited from measures to extend the moratorium through a PD flooring measure in order to limit improvements in the expected risk profile, linked to a mere effect of the suspension of payments, instead to an effective improvement of customer fundamentals; • -€252 million due to exposures related to Covid-19 pandemic moratoria. Net impairment losses related to non-performing exposures (Stage 3) include -€208 million concerning the evolution of the portfolio evaluated adopting selling scenario, for the inclusion of part of credit exposures classified as unlikely to pay and the exclusion of some bad loans that present characteristics of illiquidity. For additional information on this section refer to the paragraph “2.3 Methods for measuring expected losses” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 685 8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown (€ million) YEAR 2021 YEAR NET IMPAIRMENT LOSSES TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL 1. EBA-compliant moratoria loans and advances - - - - - - - (372) 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - (70) - (13) - - (83) (3) 3. Loans and advances with other forbearance measures - (98) - (141) - - (239) (5) 4. Newly originated loans and advances 4 (26) - (47) - - (69) (41) Total 12.31.2021 4 (194) - (201) - - (391) Total 12.31.2020 (17) (313) - (91) - - (421) 8.2 Net change for credit risk relating to financial assets at fair value through other comprehensive income: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Debt securities (23) - - (1) - - 10 - - - (14) (11) B. Loans - - - - - - - - - - - - - Loans and advances to customers - - - - - - - - - - - - - Loans and advances to banks - - - - - - - - - - - - Total (23) - - (1) - - 10 - - - (14) (11) Impacts related to performing exposures (Stage 1 and 2) include: • -€15 million related to the update of the macroeconomic scenario totally booked in the first semester; • -€223 million relating to changes in allocation methodology between Stages; • -€46 million totally booked in the first half on customers who benefited from measures to extend the moratorium through a PD flooring measure in order to limit improvements in the expected risk profile, linked to a mere effect of the suspension of payments, instead to an effective improvement of customer fundamentals; • -€252 million due to exposures related to Covid-19 pandemic moratoria. Net impairment losses related to non-performing exposures (Stage 3) include -€208 million concerning the evolution of the portfolio evaluated adopting selling scenario, for the inclusion of part of credit exposures classified as unlikely to pay and the exclusion of some bad loans that present characteristics of illiquidity. For additional information on this section refer to the paragraph “2.3 Methods for measuring expected losses” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 685 8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown (€ million) YEAR 2021 YEAR NET IMPAIRMENT LOSSES TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL 1. EBA-compliant moratoria loans and advances - - - - - - - (372) 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - (70) - (13) - - (83) (3) 3. Loans and advances with other forbearance measures - (98) - (141) - - (239) (5) 4. Newly originated loans and advances 4 (26) - (47) - - (69) (41) Total 12.31.2021 4 (194) - (201) - - (391) Total 12.31.2020 (17) (313) - (91) - - (421) 8.2 Net change for credit risk relating to financial assets at fair value through other comprehensive income: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Debt securities (23) - - (1) - - 10 - - - (14) (11) B. Loans - - - - - - - - - - - - - Loans and advances to customers - - - - - - - - - - - - - Loans and advances to banks - - - - - - - - - - - - Total (23) - - (1) - - 10 - - - (14) (11) Impacts related to performing exposures (Stage 1 and 2) include: • -€15 million related to the update of the macroeconomic scenario totally booked in the first semester; • -€223 million relating to changes in allocation methodology between Stages; • -€46 million totally booked in the first half on customers who benefited from measures to extend the moratorium through a PD flooring measure in order to limit improvements in the expected risk profile, linked to a mere effect of the suspension of payments, instead to an effective improvement of customer fundamentals; • -€252 million due to exposures related to Covid-19 pandemic moratoria. Net impairment losses related to non-performing exposures (Stage 3) include -€208 million concerning the evolution of the portfolio evaluated adopting selling scenario, for the inclusion of part of credit exposures classified as unlikely to pay and the exclusion of some bad loans that present characteristics of illiquidity. For additional information on this section refer to the paragraph “2.3 Methods for measuring expected losses” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 685 8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown (€ million) YEAR 2021 YEAR NET IMPAIRMENT LOSSES TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL 1. EBA-compliant moratoria loans and advances - - - - - - - (372) 2. Loans under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - (70) - (13) - - (83) (3) 3. Loans and advances with other forbearance measures - (98) - (141) - - (239) (5) 4. Newly originated loans and advances 4 (26) - (47) - - (69) (41) Total 12.31.2021 4 (194) - (201) - - (391) Total 12.31.2020 (17) (313) - (91) - - (421) 8.2 Net change for credit risk relating to financial assets at fair value through other comprehensive income: breakdown (€ million) YEAR 2021 YEAR WRITE-DOWNS WRITE-BACKS TOTAL 2020 STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS TRANSACTIONS/INCOME ITEMS WRITE-OFF OTHER WRITE-OFF OTHER TOTAL A. Debt securities (23) - - (1) - - 10 - - - (14) (11) B. Loans - - - - - - - - - - - - - Loans and advances to customers - - - - - - - - - - - - - Loans and advances to banks - - - - - - - - - - - - Total (23) - - (1) - - 10 - - - (14) (11) Impacts related to performing exposures (Stage 1 and 2) include: • -€15 million related to the update of the macroeconomic scenario totally booked in the first semester; • -€223 million relating to changes in allocation methodology between Stages; • -€46 million totally booked in the first half on customers who benefited from measures to extend the moratorium through a PD flooring measure in order to limit improvements in the expected risk profile, linked to a mere effect of the suspension of payments, instead to an effective improvement of customer fundamentals; • -€252 million due to exposures related to Covid-19 pandemic moratoria. Net impairment losses related to non-performing exposures (Stage 3) include -€208 million concerning the evolution of the portfolio evaluated adopting selling scenario, for the inclusion of part of credit exposures classified as unlikely to pay and the exclusion of some bad loans that present characteristics of illiquidity. For additional information on this section refer to the paragraph “2.3 Methods for measuring expected losses” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information. Company financial statements | Notes to the accounts Part C - Income statement 686 2021 Annual Report and Accounts · UniCredit Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 9.1 Gains (Losses) from contractual changes: breakdown (€ million) YEAR 2021 YEAR GAINS LOSSES TOTAL 2020 TOTAL A. Financial assets at amortised costs A.1 Debt securities - - - - A.2 Loans to banks - - - - A.3 Loans to customers 3 (6) (3) (7) Total (A) 3 (6) (3) (7) B. Financial assets at fair value through other comprehensive income B.1 Debt securities - - - - B.2 Loans to banks - - - - B.3 Loans to customers - - - - Total (B) - - - - Total (A+B) 3 (6) (3) (7) Section 10 - Administrative expenses - Item 160 10.1 Staff expenses: breakdown (€ million) TYPE OF EXPENSES/VALUES YEAR 2021 YEAR 2020 1) Employees (2,926) (3,917) a) Wages and salaries (1,861) (1,846) b) Social charges (513) (491) c) Severance pay (18) (29) d) Social security costs - - e) Allocation to employee severance pay provision (7) (7) f) Provision for retirements and similar provisions 12 (2) - Defined contribution - - - Defined benefit 12 (2) g) Payments to external pension funds (155) (159) - Defined contribution (155) (159) - Defined benefit - - h) Costs arising from share-based payments (40) (26) i) Other employee benefits (344) (1,357) 2) Other non-retired staff (4) (2) 3) Directors and Statutory Auditors (6) (5) 4) Early retirement costs - - 5) Recoveries of payments for seconded employees to other companies 59 67 6) Refund of expenses for secunded employees to the company (60) (80) Total (2,937) (3,937) 10.2 Average number of employees by category YEAR 2021 YEAR 2020 Employees 33,194 35,015 a) Senior managers 688 708 b) Managers 17,062 18,015 c) Remaining employees staff 15,444 16,292 Other Staff - - Total 33,194 35,015 The average number of employees in 2021 falls by about 5% compared to 2020. The same percentage decrease is also found in the number of employees (32,262 in 2021 versus 33,842 in 2020). The trend is mainly due to the decrease in resources as the result of the exits for Restructuring Plan as well as the secondment staff dynamics. Company financial statements | Notes to the accounts Part C - Income statement 686 2021 Annual Report and Accounts · UniCredit Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 9.1 Gains (Losses) from contractual changes: breakdown (€ million) YEAR 2021 YEAR GAINS LOSSES TOTAL 2020 TOTAL A. Financial assets at amortised costs A.1 Debt securities - - - - A.2 Loans to banks - - - - A.3 Loans to customers 3 (6) (3) (7) Total (A) 3 (6) (3) (7) B. Financial assets at fair value through other comprehensive income B.1 Debt securities - - - - B.2 Loans to banks - - - - B.3 Loans to customers - - - - Total (B) - - - - Total (A+B) 3 (6) (3) (7) Section 10 - Administrative expenses - Item 160 10.1 Staff expenses: breakdown (€ million) TYPE OF EXPENSES/VALUES YEAR 2021 YEAR 2020 1) Employees (2,926) (3,917) a) Wages and salaries (1,861) (1,846) b) Social charges (513) (491) c) Severance pay (18) (29) d) Social security costs - - e) Allocation to employee severance pay provision (7) (7) f) Provision for retirements and similar provisions 12 (2) - Defined contribution - - - Defined benefit 12 (2) g) Payments to external pension funds (155) (159) - Defined contribution (155) (159) - Defined benefit - - h) Costs arising from share-based payments (40) (26) i) Other employee benefits (344) (1,357) 2) Other non-retired staff (4) (2) 3) Directors and Statutory Auditors (6) (5) 4) Early retirement costs - - 5) Recoveries of payments for seconded employees to other companies 59 67 6) Refund of expenses for secunded employees to the company (60) (80) Total (2,937) (3,937) 10.2 Average number of employees by category YEAR 2021 YEAR 2020 Employees 33,194 35,015 a) Senior managers 688 708 b) Managers 17,062 18,015 c) Remaining employees staff 15,444 16,292 Other Staff - - Total 33,194 35,015 The average number of employees in 2021 falls by about 5% compared to 2020. The same percentage decrease is also found in the number of employees (32,262 in 2021 versus 33,842 in 2020). The trend is mainly due to the decrease in resources as the result of the exits for Restructuring Plan as well as the secondment staff dynamics. Company financial statements | Notes to the accounts Part C - Income statement 686 2021 Annual Report and Accounts · UniCredit Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 9.1 Gains (Losses) from contractual changes: breakdown (€ million) YEAR 2021 YEAR GAINS LOSSES TOTAL 2020 TOTAL A. Financial assets at amortised costs A.1 Debt securities - - - - A.2 Loans to banks - - - - A.3 Loans to customers 3 (6) (3) (7) Total (A) 3 (6) (3) (7) B. Financial assets at fair value through other comprehensive income B.1 Debt securities - - - - B.2 Loans to banks - - - - B.3 Loans to customers - - - - Total (B) - - - - Total (A+B) 3 (6) (3) (7) Section 10 - Administrative expenses - Item 160 10.1 Staff expenses: breakdown (€ million) TYPE OF EXPENSES/VALUES YEAR 2021 YEAR 2020 1) Employees (2,926) (3,917) a) Wages and salaries (1,861) (1,846) b) Social charges (513) (491) c) Severance pay (18) (29) d) Social security costs - - e) Allocation to employee severance pay provision (7) (7) f) Provision for retirements and similar provisions 12 (2) - Defined contribution - - - Defined benefit 12 (2) g) Payments to external pension funds (155) (159) - Defined contribution (155) (159) - Defined benefit - - h) Costs arising from share-based payments (40) (26) i) Other employee benefits (344) (1,357) 2) Other non-retired staff (4) (2) 3) Directors and Statutory Auditors (6) (5) 4) Early retirement costs - - 5) Recoveries of payments for seconded employees to other companies 59 67 6) Refund of expenses for secunded employees to the company (60) (80) Total (2,937) (3,937) 10.2 Average number of employees by category YEAR 2021 YEAR 2020 Employees 33,194 35,015 a) Senior managers 688 708 b) Managers 17,062 18,015 c) Remaining employees staff 15,444 16,292 Other Staff - - Total 33,194 35,015 The average number of employees in 2021 falls by about 5% compared to 2020. The same percentage decrease is also found in the number of employees (32,262 in 2021 versus 33,842 in 2020). The trend is mainly due to the decrease in resources as the result of the exits for Restructuring Plan as well as the secondment staff dynamics. Company financial statements | Notes to the accounts Part C - Income statement 686 2021 Annual Report and Accounts · UniCredit Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 9.1 Gains (Losses) from contractual changes: breakdown (€ million) YEAR 2021 YEAR GAINS LOSSES TOTAL 2020 TOTAL A. Financial assets at amortised costs A.1 Debt securities - - - - A.2 Loans to banks - - - - A.3 Loans to customers 3 (6) (3) (7) Total (A) 3 (6) (3) (7) B. Financial assets at fair value through other comprehensive income B.1 Debt securities - - - - B.2 Loans to banks - - - - B.3 Loans to customers - - - - Total (B) - - - - Total (A+B) 3 (6) (3) (7) Section 10 - Administrative expenses - Item 160 10.1 Staff expenses: breakdown (€ million) TYPE OF EXPENSES/VALUES YEAR 2021 YEAR 2020 1) Employees (2,926) (3,917) a) Wages and salaries (1,861) (1,846) b) Social charges (513) (491) c) Severance pay (18) (29) d) Social security costs - - e) Allocation to employee severance pay provision (7) (7) f) Provision for retirements and similar provisions 12 (2) - Defined contribution - - - Defined benefit 12 (2) g) Payments to external pension funds (155) (159) - Defined contribution (155) (159) - Defined benefit - - h) Costs arising from share-based payments (40) (26) i) Other employee benefits (344) (1,357) 2) Other non-retired staff (4) (2) 3) Directors and Statutory Auditors (6) (5) 4) Early retirement costs - - 5) Recoveries of payments for seconded employees to other companies 59 67 6) Refund of expenses for secunded employees to the company (60) (80) Total (2,937) (3,937) 10.2 Average number of employees by category YEAR 2021 YEAR 2020 Employees 33,194 35,015 a) Senior managers 688 708 b) Managers 17,062 18,015 c) Remaining employees staff 15,444 16,292 Other Staff - - Total 33,194 35,015 The average number of employees in 2021 falls by about 5% compared to 2020. The same percentage decrease is also found in the number of employees (32,262 in 2021 versus 33,842 in 2020). The trend is mainly due to the decrease in resources as the result of the exits for Restructuring Plan as well as the secondment staff dynamics. Company financial statements | Notes to the accounts Part C - Income statement 686 2021 Annual Report and Accounts · UniCredit Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140 9.1 Gains (Losses) from contractual changes: breakdown (€ million) YEAR 2021 YEAR GAINS LOSSES TOTAL 2020 TOTAL A. Financial assets at amortised costs A.1 Debt securities - - - - A.2 Loans to banks - - - - A.3 Loans to customers 3 (6) (3) (7) Total (A) 3 (6) (3) (7) B. Financial assets at fair value through other comprehensive income B.1 Debt securities - - - - B.2 Loans to banks - - - - B.3 Loans to customers - - - - Total (B) - - - - Total (A+B) 3 (6) (3) (7) Section 10 - Administrative expenses - Item 160 10.1 Staff expenses: breakdown (€ million) TYPE OF EXPENSES/VALUES YEAR 2021 YEAR 2020 1) Employees (2,926) (3,917) a) Wages and salaries (1,861) (1,846) b) Social charges (513) (491) c) Severance pay (18) (29) d) Social security costs - - e) Allocation to employee severance pay provision (7) (7) f) Provision for retirements and similar provisions 12 (2) - Defined contribution - - - Defined benefit 12 (2) g) Payments to external pension funds (155) (159) - Defined contribution (155) (159) - Defined benefit - - h) Costs arising from share-based payments (40) (26) i) Other employee benefits (344) (1,357) 2) Other non-retired staff (4) (2) 3) Directors and Statutory Auditors (6) (5) 4) Early retirement costs - - 5) Recoveries of payments for seconded employees to other companies 59 67 6) Refund of expenses for secunded employees to the company (60) (80) Total (2,937) (3,937) 10.2 Average number of employees by category YEAR 2021 YEAR 2020 Employees 33,194 35,015 a) Senior managers 688 708 b) Managers 17,062 18,015 c) Remaining employees staff 15,444 16,292 Other Staff - - Total 33,194 35,015 The average number of employees in 2021 falls by about 5% compared to 2020. The same percentage decrease is also found in the number of employees (32,262 in 2021 versus 33,842 in 2020). The trend is mainly due to the decrease in resources as the result of the exits for Restructuring Plan as well as the secondment staff dynamics. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 687 10.3 Defined benefit company retirement funds: costs and revenues (€ million) YEAR 2021 YEAR 2020 Current service cost (1) (1) Settlement gains (losses) 14 - Past service cost - - Interest cost on the DBO (2) (3) Interest income on plan assets 1 2 Other costs/revenues - - Administrative expenses paid through plan assets - - Total recognised in profit or loss 12 (2) With regard to the gain on settlement of €14 million, refer to paragraph “10.5 Pensions and other post-retirement defined-benefit obligations”, Notes to the accounts, Part B - Balance sheet - Liabilities. 10.4 Other employee benefits (€ million) YEAR 2021 YEAR 2020 - Seniority premiums - - - Leaving incentives (243) (1,243) - Other (101) (114) Total (344) (1,357) The net balance in the sub-item Leaving incentives for 2021 is mainly determined by the new Strategic Plan, announced to the market on 9 December 2021. The Plan envisages a reduction of the workforce over the plan horizon and the recognition of restructuring costs for €0.24 billion as at 31 December 2021. The exits for restructuring will be realized on a voluntary basis. In this regard, the negotiations with workers council have been finalized within 27 January 2022. It should be noted that these expenses are initially recognised as provisions for risks and charges and will be reclassified to “Other liabilities” when a specific debt toward the employees will arise. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 687 10.3 Defined benefit company retirement funds: costs and revenues (€ million) YEAR 2021 YEAR 2020 Current service cost (1) (1) Settlement gains (losses) 14 - Past service cost - - Interest cost on the DBO (2) (3) Interest income on plan assets 1 2 Other costs/revenues - - Administrative expenses paid through plan assets - - Total recognised in profit or loss 12 (2) With regard to the gain on settlement of €14 million, refer to paragraph “10.5 Pensions and other post-retirement defined-benefit obligations”, Notes to the accounts, Part B - Balance sheet - Liabilities. 10.4 Other employee benefits (€ million) YEAR 2021 YEAR 2020 - Seniority premiums - - - Leaving incentives (243) (1,243) - Other (101) (114) Total (344) (1,357) The net balance in the sub-item Leaving incentives for 2021 is mainly determined by the new Strategic Plan, announced to the market on 9 December 2021. The Plan envisages a reduction of the workforce over the plan horizon and the recognition of restructuring costs for €0.24 billion as at 31 December 2021. The exits for restructuring will be realized on a voluntary basis. In this regard, the negotiations with workers council have been finalized within 27 January 2022. It should be noted that these expenses are initially recognised as provisions for risks and charges and will be reclassified to “Other liabilities” when a specific debt toward the employees will arise. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 687 10.3 Defined benefit company retirement funds: costs and revenues (€ million) YEAR 2021 YEAR 2020 Current service cost (1) (1) Settlement gains (losses) 14 - Past service cost - - Interest cost on the DBO (2) (3) Interest income on plan assets 1 2 Other costs/revenues - - Administrative expenses paid through plan assets - - Total recognised in profit or loss 12 (2) With regard to the gain on settlement of €14 million, refer to paragraph “10.5 Pensions and other post-retirement defined-benefit obligations”, Notes to the accounts, Part B - Balance sheet - Liabilities. 10.4 Other employee benefits (€ million) YEAR 2021 YEAR 2020 - Seniority premiums - - - Leaving incentives (243) (1,243) - Other (101) (114) Total (344) (1,357) The net balance in the sub-item Leaving incentives for 2021 is mainly determined by the new Strategic Plan, announced to the market on 9 December 2021. The Plan envisages a reduction of the workforce over the plan horizon and the recognition of restructuring costs for €0.24 billion as at 31 December 2021. The exits for restructuring will be realized on a voluntary basis. In this regard, the negotiations with workers council have been finalized within 27 January 2022. It should be noted that these expenses are initially recognised as provisions for risks and charges and will be reclassified to “Other liabilities” when a specific debt toward the employees will arise. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 687 10.3 Defined benefit company retirement funds: costs and revenues (€ million) YEAR 2021 YEAR 2020 Current service cost (1) (1) Settlement gains (losses) 14 - Past service cost - - Interest cost on the DBO (2) (3) Interest income on plan assets 1 2 Other costs/revenues - - Administrative expenses paid through plan assets - - Total recognised in profit or loss 12 (2) With regard to the gain on settlement of €14 million, refer to paragraph “10.5 Pensions and other post-retirement defined-benefit obligations”, Notes to the accounts, Part B - Balance sheet - Liabilities. 10.4 Other employee benefits (€ million) YEAR 2021 YEAR 2020 - Seniority premiums - - - Leaving incentives (243) (1,243) - Other (101) (114) Total (344) (1,357) The net balance in the sub-item Leaving incentives for 2021 is mainly determined by the new Strategic Plan, announced to the market on 9 December 2021. The Plan envisages a reduction of the workforce over the plan horizon and the recognition of restructuring costs for €0.24 billion as at 31 December 2021. The exits for restructuring will be realized on a voluntary basis. In this regard, the negotiations with workers council have been finalized within 27 January 2022. It should be noted that these expenses are initially recognised as provisions for risks and charges and will be reclassified to “Other liabilities” when a specific debt toward the employees will arise. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 687 10.3 Defined benefit company retirement funds: costs and revenues (€ million) YEAR 2021 YEAR 2020 Current service cost (1) (1) Settlement gains (losses) 14 - Past service cost - - Interest cost on the DBO (2) (3) Interest income on plan assets 1 2 Other costs/revenues - - Administrative expenses paid through plan assets - - Total recognised in profit or loss 12 (2) With regard to the gain on settlement of €14 million, refer to paragraph “10.5 Pensions and other post-retirement defined-benefit obligations”, Notes to the accounts, Part B - Balance sheet - Liabilities. 10.4 Other employee benefits (€ million) YEAR 2021 YEAR 2020 - Seniority premiums - - - Leaving incentives (243) (1,243) - Other (101) (114) Total (344) (1,357) The net balance in the sub-item Leaving incentives for 2021 is mainly determined by the new Strategic Plan, announced to the market on 9 December 2021. The Plan envisages a reduction of the workforce over the plan horizon and the recognition of restructuring costs for €0.24 billion as at 31 December 2021. The exits for restructuring will be realized on a voluntary basis. In this regard, the negotiations with workers council have been finalized within 27 January 2022. It should be noted that these expenses are initially recognised as provisions for risks and charges and will be reclassified to “Other liabilities” when a specific debt toward the employees will arise. Company financial statements | Notes to the accounts Part C - Income statement 688 2021 Annual Report and Accounts · UniCredit 10.5 Other administrative expenses: breakdown (€ million) TYPE OF EXPENSES/SECTORS YEAR 2021 YEAR 2020 1) Indirect taxes and duties (431) (412) 1a. Settled (429) (412) 1b. Unsettled (2) - 2) Contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) (436) (346) 3) Guarantee fees for DTA conversion (100) (107) 4) Miscellaneous costs and expenses (1,534) (1,566) a) Advertising marketing and communication (48) (58) b) Expenses relating to credit risk (92) (104) c) Indirect expenses relating to personnel (24) (28) d) Information & Communication Technology expenses (858) (829) Lease of ICT equipment and software (13) (13) Software expenses: lease and maintenance (9) (9) ICT communication systems (6) (5) Services ICT in outsourcing (801) (777) Financial information providers (29) (25) e) Consulting and professional services (82) (82) Consulting (66) (69) Legal expenses (16) (13) f) Real estate expenses (158) (174) Premises rentals (28) (31) Utilities (63) (68) Other real estate expenses (67) (75) g) Operating costs (272) (291) Surveillance and security services (59) (89) Money counting services and transport - - Printing and stationery (5) (6) Postage and transport of documents (19) (18) Administrative and logistic services (116) (104) Insurance (35) (33) Association dues and fees and contributions to the administrative expenses deposit guarantee funds (21) (22) Other administrative expenses - other (17) (19) Total (1+2+3+4) (2,501) (2,431) Expenses related to personnel include the expenses that do not represent remuneration of the working activity of an employee in compliance with IAS19. Contributions to Resolution and Guarantee funds Reference is made to to the paragraph “Contribution to Resolution and Guarantee funds” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. Guarantee fees for DTA conversion Reference is made to the paragraph “Guarantee fees for DTA conversion” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part C - Income statement 688 2021 Annual Report and Accounts · UniCredit 10.5 Other administrative expenses: breakdown (€ million) TYPE OF EXPENSES/SECTORS YEAR 2021 YEAR 2020 1) Indirect taxes and duties (431) (412) 1a. Settled (429) (412) 1b. Unsettled (2) - 2) Contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) (436) (346) 3) Guarantee fees for DTA conversion (100) (107) 4) Miscellaneous costs and expenses (1,534) (1,566) a) Advertising marketing and communication (48) (58) b) Expenses relating to credit risk (92) (104) c) Indirect expenses relating to personnel (24) (28) d) Information & Communication Technology expenses (858) (829) Lease of ICT equipment and software (13) (13) Software expenses: lease and maintenance (9) (9) ICT communication systems (6) (5) Services ICT in outsourcing (801) (777) Financial information providers (29) (25) e) Consulting and professional services (82) (82) Consulting (66) (69) Legal expenses (16) (13) f) Real estate expenses (158) (174) Premises rentals (28) (31) Utilities (63) (68) Other real estate expenses (67) (75) g) Operating costs (272) (291) Surveillance and security services (59) (89) Money counting services and transport - - Printing and stationery (5) (6) Postage and transport of documents (19) (18) Administrative and logistic services (116) (104) Insurance (35) (33) Association dues and fees and contributions to the administrative expenses deposit guarantee funds (21) (22) Other administrative expenses - other (17) (19) Total (1+2+3+4) (2,501) (2,431) Expenses related to personnel include the expenses that do not represent remuneration of the working activity of an employee in compliance with IAS19. Contributions to Resolution and Guarantee funds Reference is made to to the paragraph “Contribution to Resolution and Guarantee funds” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. Guarantee fees for DTA conversion Reference is made to the paragraph “Guarantee fees for DTA conversion” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part C - Income statement 688 2021 Annual Report and Accounts · UniCredit 10.5 Other administrative expenses: breakdown (€ million) TYPE OF EXPENSES/SECTORS YEAR 2021 YEAR 2020 1) Indirect taxes and duties (431) (412) 1a. Settled (429) (412) 1b. Unsettled (2) - 2) Contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) (436) (346) 3) Guarantee fees for DTA conversion (100) (107) 4) Miscellaneous costs and expenses (1,534) (1,566) a) Advertising marketing and communication (48) (58) b) Expenses relating to credit risk (92) (104) c) Indirect expenses relating to personnel (24) (28) d) Information & Communication Technology expenses (858) (829) Lease of ICT equipment and software (13) (13) Software expenses: lease and maintenance (9) (9) ICT communication systems (6) (5) Services ICT in outsourcing (801) (777) Financial information providers (29) (25) e) Consulting and professional services (82) (82) Consulting (66) (69) Legal expenses (16) (13) f) Real estate expenses (158) (174) Premises rentals (28) (31) Utilities (63) (68) Other real estate expenses (67) (75) g) Operating costs (272) (291) Surveillance and security services (59) (89) Money counting services and transport - - Printing and stationery (5) (6) Postage and transport of documents (19) (18) Administrative and logistic services (116) (104) Insurance (35) (33) Association dues and fees and contributions to the administrative expenses deposit guarantee funds (21) (22) Other administrative expenses - other (17) (19) Total (1+2+3+4) (2,501) (2,431) Expenses related to personnel include the expenses that do not represent remuneration of the working activity of an employee in compliance with IAS19. Contributions to Resolution and Guarantee funds Reference is made to to the paragraph “Contribution to Resolution and Guarantee funds” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. Guarantee fees for DTA conversion Reference is made to the paragraph “Guarantee fees for DTA conversion” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part C - Income statement 688 2021 Annual Report and Accounts · UniCredit 10.5 Other administrative expenses: breakdown (€ million) TYPE OF EXPENSES/SECTORS YEAR 2021 YEAR 2020 1) Indirect taxes and duties (431) (412) 1a. Settled (429) (412) 1b. Unsettled (2) - 2) Contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) (436) (346) 3) Guarantee fees for DTA conversion (100) (107) 4) Miscellaneous costs and expenses (1,534) (1,566) a) Advertising marketing and communication (48) (58) b) Expenses relating to credit risk (92) (104) c) Indirect expenses relating to personnel (24) (28) d) Information & Communication Technology expenses (858) (829) Lease of ICT equipment and software (13) (13) Software expenses: lease and maintenance (9) (9) ICT communication systems (6) (5) Services ICT in outsourcing (801) (777) Financial information providers (29) (25) e) Consulting and professional services (82) (82) Consulting (66) (69) Legal expenses (16) (13) f) Real estate expenses (158) (174) Premises rentals (28) (31) Utilities (63) (68) Other real estate expenses (67) (75) g) Operating costs (272) (291) Surveillance and security services (59) (89) Money counting services and transport - - Printing and stationery (5) (6) Postage and transport of documents (19) (18) Administrative and logistic services (116) (104) Insurance (35) (33) Association dues and fees and contributions to the administrative expenses deposit guarantee funds (21) (22) Other administrative expenses - other (17) (19) Total (1+2+3+4) (2,501) (2,431) Expenses related to personnel include the expenses that do not represent remuneration of the working activity of an employee in compliance with IAS19. Contributions to Resolution and Guarantee funds Reference is made to to the paragraph “Contribution to Resolution and Guarantee funds” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. Guarantee fees for DTA conversion Reference is made to the paragraph “Guarantee fees for DTA conversion” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part C - Income statement 688 2021 Annual Report and Accounts · UniCredit 10.5 Other administrative expenses: breakdown (€ million) TYPE OF EXPENSES/SECTORS YEAR 2021 YEAR 2020 1) Indirect taxes and duties (431) (412) 1a. Settled (429) (412) 1b. Unsettled (2) - 2) Contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) (436) (346) 3) Guarantee fees for DTA conversion (100) (107) 4) Miscellaneous costs and expenses (1,534) (1,566) a) Advertising marketing and communication (48) (58) b) Expenses relating to credit risk (92) (104) c) Indirect expenses relating to personnel (24) (28) d) Information & Communication Technology expenses (858) (829) Lease of ICT equipment and software (13) (13) Software expenses: lease and maintenance (9) (9) ICT communication systems (6) (5) Services ICT in outsourcing (801) (777) Financial information providers (29) (25) e) Consulting and professional services (82) (82) Consulting (66) (69) Legal expenses (16) (13) f) Real estate expenses (158) (174) Premises rentals (28) (31) Utilities (63) (68) Other real estate expenses (67) (75) g) Operating costs (272) (291) Surveillance and security services (59) (89) Money counting services and transport - - Printing and stationery (5) (6) Postage and transport of documents (19) (18) Administrative and logistic services (116) (104) Insurance (35) (33) Association dues and fees and contributions to the administrative expenses deposit guarantee funds (21) (22) Other administrative expenses - other (17) (19) Total (1+2+3+4) (2,501) (2,431) Expenses related to personnel include the expenses that do not represent remuneration of the working activity of an employee in compliance with IAS19. Contributions to Resolution and Guarantee funds Reference is made to to the paragraph “Contribution to Resolution and Guarantee funds” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. Guarantee fees for DTA conversion Reference is made to the paragraph “Guarantee fees for DTA conversion” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 689 Section 11 - Net provisions for risks and charges - Item 170 11.1 Net provisions for credit risk from loans commitments and financial guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Loan committments (69) 44 (25) Financial guarantees given (144) 191 47 11.2 Net provisions for other commitments and guarantees given: breakdown No data to be disclosed. 11.3 Net provisions for risks and charges: breakdown (€ million) YEAR 2021 YEAR ASSETS/INCOME ITEMS PROVISIONS SURPLUS REALLOCATIONS TOTAL 2020 TOTAL 1. Other provisions 1.1 Legal disputes (266) 97 (169) (75) 1.2 Staff costs - - - - 1.3 Other (92) 120 28 (55) Total (358) 217 (141) (130) Provisions for legal disputes are posted to cover potential liabilities that may result from pending lawsuits. More details on legal disputes are included into the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks Section 12 - Net value adjustments/write-backs on property, plant and equipment - Item 180 12.1 Impairment on property, plant and equipment: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS DEPRECIATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Property, plant and equipment A.1 Used in the business (314) (31) 7 (338) - Owned (143) (4) - (147) - Right of use of Leased Assets (171) (27) 7 (191) A.2 Held for investment - - - - - Owned - - - - - Right of use of Leased Assets - - - - A.3 Inventories - - - - Total A (314) (31) 7 (338) B. Non-current assets and groups of assets held for sale X - - - - Used in the business X - - - - Held for investments X - - - - Inventories X - - - Total (A+B) (314) (31) 7 (338) Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 689 Section 11 - Net provisions for risks and charges - Item 170 11.1 Net provisions for credit risk from loans commitments and financial guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Loan committments (69) 44 (25) Financial guarantees given (144) 191 47 11.2 Net provisions for other commitments and guarantees given: breakdown No data to be disclosed. 11.3 Net provisions for risks and charges: breakdown (€ million) YEAR 2021 YEAR ASSETS/INCOME ITEMS PROVISIONS SURPLUS REALLOCATIONS TOTAL 2020 TOTAL 1. Other provisions 1.1 Legal disputes (266) 97 (169) (75) 1.2 Staff costs - - - - 1.3 Other (92) 120 28 (55) Total (358) 217 (141) (130) Provisions for legal disputes are posted to cover potential liabilities that may result from pending lawsuits. More details on legal disputes are included into the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks Section 12 - Net value adjustments/write-backs on property, plant and equipment - Item 180 12.1 Impairment on property, plant and equipment: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS DEPRECIATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Property, plant and equipment A.1 Used in the business (314) (31) 7 (338) - Owned (143) (4) - (147) - Right of use of Leased Assets (171) (27) 7 (191) A.2 Held for investment - - - - - Owned - - - - - Right of use of Leased Assets - - - - A.3 Inventories - - - - Total A (314) (31) 7 (338) B. Non-current assets and groups of assets held for sale X - - - - Used in the business X - - - - Held for investments X - - - - Inventories X - - - Total (A+B) (314) (31) 7 (338) Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 689 Section 11 - Net provisions for risks and charges - Item 170 11.1 Net provisions for credit risk from loans commitments and financial guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Loan committments (69) 44 (25) Financial guarantees given (144) 191 47 11.2 Net provisions for other commitments and guarantees given: breakdown No data to be disclosed. 11.3 Net provisions for risks and charges: breakdown (€ million) YEAR 2021 YEAR ASSETS/INCOME ITEMS PROVISIONS SURPLUS REALLOCATIONS TOTAL 2020 TOTAL 1. Other provisions 1.1 Legal disputes (266) 97 (169) (75) 1.2 Staff costs - - - - 1.3 Other (92) 120 28 (55) Total (358) 217 (141) (130) Provisions for legal disputes are posted to cover potential liabilities that may result from pending lawsuits. More details on legal disputes are included into the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks Section 12 - Net value adjustments/write-backs on property, plant and equipment - Item 180 12.1 Impairment on property, plant and equipment: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS DEPRECIATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Property, plant and equipment A.1 Used in the business (314) (31) 7 (338) - Owned (143) (4) - (147) - Right of use of Leased Assets (171) (27) 7 (191) A.2 Held for investment - - - - - Owned - - - - - Right of use of Leased Assets - - - - A.3 Inventories - - - - Total A (314) (31) 7 (338) B. Non-current assets and groups of assets held for sale X - - - - Used in the business X - - - - Held for investments X - - - - Inventories X - - - Total (A+B) (314) (31) 7 (338) Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 689 Section 11 - Net provisions for risks and charges - Item 170 11.1 Net provisions for credit risk from loans commitments and financial guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Loan committments (69) 44 (25) Financial guarantees given (144) 191 47 11.2 Net provisions for other commitments and guarantees given: breakdown No data to be disclosed. 11.3 Net provisions for risks and charges: breakdown (€ million) YEAR 2021 YEAR ASSETS/INCOME ITEMS PROVISIONS SURPLUS REALLOCATIONS TOTAL 2020 TOTAL 1. Other provisions 1.1 Legal disputes (266) 97 (169) (75) 1.2 Staff costs - - - - 1.3 Other (92) 120 28 (55) Total (358) 217 (141) (130) Provisions for legal disputes are posted to cover potential liabilities that may result from pending lawsuits. More details on legal disputes are included into the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks Section 12 - Net value adjustments/write-backs on property, plant and equipment - Item 180 12.1 Impairment on property, plant and equipment: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS DEPRECIATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Property, plant and equipment A.1 Used in the business (314) (31) 7 (338) - Owned (143) (4) - (147) - Right of use of Leased Assets (171) (27) 7 (191) A.2 Held for investment - - - - - Owned - - - - - Right of use of Leased Assets - - - - A.3 Inventories - - - - Total A (314) (31) 7 (338) B. Non-current assets and groups of assets held for sale X - - - - Used in the business X - - - - Held for investments X - - - - Inventories X - - - Total (A+B) (314) (31) 7 (338) Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 689 Section 11 - Net provisions for risks and charges - Item 170 11.1 Net provisions for credit risk from loans commitments and financial guarantees given: breakdown (€ million) YEAR 2021 PROVISIONS SURPLUS REALLOCATIONS TOTAL Loan committments (69) 44 (25) Financial guarantees given (144) 191 47 11.2 Net provisions for other commitments and guarantees given: breakdown No data to be disclosed. 11.3 Net provisions for risks and charges: breakdown (€ million) YEAR 2021 YEAR ASSETS/INCOME ITEMS PROVISIONS SURPLUS REALLOCATIONS TOTAL 2020 TOTAL 1. Other provisions 1.1 Legal disputes (266) 97 (169) (75) 1.2 Staff costs - - - - 1.3 Other (92) 120 28 (55) Total (358) 217 (141) (130) Provisions for legal disputes are posted to cover potential liabilities that may result from pending lawsuits. More details on legal disputes are included into the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks Section 12 - Net value adjustments/write-backs on property, plant and equipment - Item 180 12.1 Impairment on property, plant and equipment: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS DEPRECIATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Property, plant and equipment A.1 Used in the business (314) (31) 7 (338) - Owned (143) (4) - (147) - Right of use of Leased Assets (171) (27) 7 (191) A.2 Held for investment - - - - - Owned - - - - - Right of use of Leased Assets - - - - A.3 Inventories - - - - Total A (314) (31) 7 (338) B. Non-current assets and groups of assets held for sale X - - - - Used in the business X - - - - Held for investments X - - - - Inventories X - - - Total (A+B) (314) (31) 7 (338) Company financial statements | Notes to the accounts Part C - Income statement 690 2021 Annual Report and Accounts · UniCredit Section 13 - Net value adjustments/write-backs on intangible assets - Item 190 13.1 Net value adjustments/write-backs on intangible assets: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS AMORTISATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Intangible assets of which: software (3) - - (3) A.1 Owned (3) - - (3) - Generated internally by the company - - - - - Other (3) - - (3) A.2 Right of use of Leased Assets - - - - Total (3) - - (3) Section 14 - Other operating expenses/income - Item 200 14.1 Other operating expenses: breakdown (€ million) TYPE OF EXPENSE/VALUES YEAR 2021 YEAR 2020 Costs for operating leases - - Non-deductible tax and other fiscal charges - - Write-downs on leasehold improvements (37) (32) Costs relating to the specific service of financial leasing - - Other (277) (335) Total other operating expenses (314) (367) The sub-item “Other” includes settlements and indemnities for -€179 million and effects of evaluation of the precious stones (diamonds) repurchased from customers within the "customer care" initiative promoted by the Bank regarding this topic for -€41 million. 14.2 Other operating income: breakdown (€ million) TYPE OF REVENUE/VALUES YEAR 2021 YEAR 2020 A) Recovery of costs 459 442 B) Other revenues 181 135 Revenues from administrative services 49 45 Revenues from operating leases 19 17 Recovery of miscellaneous costs paid in previous years 2 2 Revenues on financial leases activities - - Other 111 71 Total other operating income (A+B) 640 577 The sub-item “Others” includes income deriving from the contract of “Collateral” related to the sale of FinecoBank S.p.A. occurred in 2019 for €8 million and the ones deriving from to the review of the terms of the existing business relationship between UniCredit S.p.A. and SIA for €42 million. Company financial statements | Notes to the accounts Part C - Income statement 690 2021 Annual Report and Accounts · UniCredit Section 13 - Net value adjustments/write-backs on intangible assets - Item 190 13.1 Net value adjustments/write-backs on intangible assets: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS AMORTISATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Intangible assets of which: software (3) - - (3) A.1 Owned (3) - - (3) - Generated internally by the company - - - - - Other (3) - - (3) A.2 Right of use of Leased Assets - - - - Total (3) - - (3) Section 14 - Other operating expenses/income - Item 200 14.1 Other operating expenses: breakdown (€ million) TYPE OF EXPENSE/VALUES YEAR 2021 YEAR 2020 Costs for operating leases - - Non-deductible tax and other fiscal charges - - Write-downs on leasehold improvements (37) (32) Costs relating to the specific service of financial leasing - - Other (277) (335) Total other operating expenses (314) (367) The sub-item “Other” includes settlements and indemnities for -€179 million and effects of evaluation of the precious stones (diamonds) repurchased from customers within the "customer care" initiative promoted by the Bank regarding this topic for -€41 million. 14.2 Other operating income: breakdown (€ million) TYPE OF REVENUE/VALUES YEAR 2021 YEAR 2020 A) Recovery of costs 459 442 B) Other revenues 181 135 Revenues from administrative services 49 45 Revenues from operating leases 19 17 Recovery of miscellaneous costs paid in previous years 2 2 Revenues on financial leases activities - - Other 111 71 Total other operating income (A+B) 640 577 The sub-item “Others” includes income deriving from the contract of “Collateral” related to the sale of FinecoBank S.p.A. occurred in 2019 for €8 million and the ones deriving from to the review of the terms of the existing business relationship between UniCredit S.p.A. and SIA for €42 million. Company financial statements | Notes to the accounts Part C - Income statement 690 2021 Annual Report and Accounts · UniCredit Section 13 - Net value adjustments/write-backs on intangible assets - Item 190 13.1 Net value adjustments/write-backs on intangible assets: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS AMORTISATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Intangible assets of which: software (3) - - (3) A.1 Owned (3) - - (3) - Generated internally by the company - - - - - Other (3) - - (3) A.2 Right of use of Leased Assets - - - - Total (3) - - (3) Section 14 - Other operating expenses/income - Item 200 14.1 Other operating expenses: breakdown (€ million) TYPE OF EXPENSE/VALUES YEAR 2021 YEAR 2020 Costs for operating leases - - Non-deductible tax and other fiscal charges - - Write-downs on leasehold improvements (37) (32) Costs relating to the specific service of financial leasing - - Other (277) (335) Total other operating expenses (314) (367) The sub-item “Other” includes settlements and indemnities for -€179 million and effects of evaluation of the precious stones (diamonds) repurchased from customers within the "customer care" initiative promoted by the Bank regarding this topic for -€41 million. 14.2 Other operating income: breakdown (€ million) TYPE OF REVENUE/VALUES YEAR 2021 YEAR 2020 A) Recovery of costs 459 442 B) Other revenues 181 135 Revenues from administrative services 49 45 Revenues from operating leases 19 17 Recovery of miscellaneous costs paid in previous years 2 2 Revenues on financial leases activities - - Other 111 71 Total other operating income (A+B) 640 577 The sub-item “Others” includes income deriving from the contract of “Collateral” related to the sale of FinecoBank S.p.A. occurred in 2019 for €8 million and the ones deriving from to the review of the terms of the existing business relationship between UniCredit S.p.A. and SIA for €42 million. Company financial statements | Notes to the accounts Part C - Income statement 690 2021 Annual Report and Accounts · UniCredit Section 13 - Net value adjustments/write-backs on intangible assets - Item 190 13.1 Net value adjustments/write-backs on intangible assets: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS AMORTISATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Intangible assets of which: software (3) - - (3) A.1 Owned (3) - - (3) - Generated internally by the company - - - - - Other (3) - - (3) A.2 Right of use of Leased Assets - - - - Total (3) - - (3) Section 14 - Other operating expenses/income - Item 200 14.1 Other operating expenses: breakdown (€ million) TYPE OF EXPENSE/VALUES YEAR 2021 YEAR 2020 Costs for operating leases - - Non-deductible tax and other fiscal charges - - Write-downs on leasehold improvements (37) (32) Costs relating to the specific service of financial leasing - - Other (277) (335) Total other operating expenses (314) (367) The sub-item “Other” includes settlements and indemnities for -€179 million and effects of evaluation of the precious stones (diamonds) repurchased from customers within the "customer care" initiative promoted by the Bank regarding this topic for -€41 million. 14.2 Other operating income: breakdown (€ million) TYPE OF REVENUE/VALUES YEAR 2021 YEAR 2020 A) Recovery of costs 459 442 B) Other revenues 181 135 Revenues from administrative services 49 45 Revenues from operating leases 19 17 Recovery of miscellaneous costs paid in previous years 2 2 Revenues on financial leases activities - - Other 111 71 Total other operating income (A+B) 640 577 The sub-item “Others” includes income deriving from the contract of “Collateral” related to the sale of FinecoBank S.p.A. occurred in 2019 for €8 million and the ones deriving from to the review of the terms of the existing business relationship between UniCredit S.p.A. and SIA for €42 million. Company financial statements | Notes to the accounts Part C - Income statement 690 2021 Annual Report and Accounts · UniCredit Section 13 - Net value adjustments/write-backs on intangible assets - Item 190 13.1 Net value adjustments/write-backs on intangible assets: breakdown (€ million) YEAR 2021 ASSETS/INCOME ITEMS AMORTISATION (A) IMPAIRMENT LOSSES (B) WRITE-BACKS (C) NET PROFIT (A+B-C) A. Intangible assets of which: software (3) - - (3) A.1 Owned (3) - - (3) - Generated internally by the company - - - - - Other (3) - - (3) A.2 Right of use of Leased Assets - - - - Total (3) - - (3) Section 14 - Other operating expenses/income - Item 200 14.1 Other operating expenses: breakdown (€ million) TYPE OF EXPENSE/VALUES YEAR 2021 YEAR 2020 Costs for operating leases - - Non-deductible tax and other fiscal charges - - Write-downs on leasehold improvements (37) (32) Costs relating to the specific service of financial leasing - - Other (277) (335) Total other operating expenses (314) (367) The sub-item “Other” includes settlements and indemnities for -€179 million and effects of evaluation of the precious stones (diamonds) repurchased from customers within the "customer care" initiative promoted by the Bank regarding this topic for -€41 million. 14.2 Other operating income: breakdown (€ million) TYPE OF REVENUE/VALUES YEAR 2021 YEAR 2020 A) Recovery of costs 459 442 B) Other revenues 181 135 Revenues from administrative services 49 45 Revenues from operating leases 19 17 Recovery of miscellaneous costs paid in previous years 2 2 Revenues on financial leases activities - - Other 111 71 Total other operating income (A+B) 640 577 The sub-item “Others” includes income deriving from the contract of “Collateral” related to the sale of FinecoBank S.p.A. occurred in 2019 for €8 million and the ones deriving from to the review of the terms of the existing business relationship between UniCredit S.p.A. and SIA for €42 million. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 691 Section 15 - Gains (Losses) of equity investments - Item 220 15.1 Profit (Loss) of equity investments: breakdown (€ million) INCOME ITEMS/VALUES YEAR 2021 YEAR 2020 A. Income 8,016 202 1. Revaluations - - 2. Gains on disposal 34 123 3. Writebacks 7,982 79 4. Other gains - - B. Expenses (652) (4,944) 1. Writedowns - - 2. Impairment losses (652) (4,944) 3. Losses on disposal - - 4. Other expenses - - Net profit 7,364 (4,742) Gains on disposal include the results from the sale of Capital Dev S.p.A. for €17 million, Sia UniCredit Leasing S.p.A. for €7 million and Yapi Ve Kredi Bankasi A.S. for €10 million. Impairment losses in subsidiaries UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million), Cordusio SIM S.p.A. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million). Writebacks in subsidiaries include UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli S.r.l. (€3 million), UniCredit Subito Casa S.p.A. (€1 million). Section 16 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 230 16.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value: breakdown (€ million) YEAR 2021 EXCHANGE DIFFERENCES NET PROFIT (A-B+C-D) ASSETS/INCOME ITEMS REVALUATIONS (A) WRITEDOWNS (B) POSITIVE (C) NEGATIVE (D) A. Property, plant and equipment 12 (21) - - (9) A.1 Used in the business 7 (3) - - 4 - Owned 7 (3) - - 4 - Right of use of Leased Assets - - - - - A.2 Held for investment 5 (18) - - (13) - Owned 5 (18) - - (13) - Right of use of Leased Assets - - - - - A.3 Inventories - - - - - B. Intangible assets - - - - - B.1 Owned - - - - - - Generated internally by the company - - - - - - Other - - - - - B.2 Right of use of Leased Assets - - - - - Total (A+B) 12 (21) - - (9) For further information about the description of effects produced by update of appraisals conducted for fair value evaluation of respective assets, reference is made to the paragraph “Section 9 - Property, plant and equipment - item 90” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets - Section 17 - Goodwill impairment - Item 240 No data to be disclosed. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 691 Section 15 - Gains (Losses) of equity investments - Item 220 15.1 Profit (Loss) of equity investments: breakdown (€ million) INCOME ITEMS/VALUES YEAR 2021 YEAR 2020 A. Income 8,016 202 1. Revaluations - - 2. Gains on disposal 34 123 3. Writebacks 7,982 79 4. Other gains - - B. Expenses (652) (4,944) 1. Writedowns - - 2. Impairment losses (652) (4,944) 3. Losses on disposal - - 4. Other expenses - - Net profit 7,364 (4,742) Gains on disposal include the results from the sale of Capital Dev S.p.A. for €17 million, Sia UniCredit Leasing S.p.A. for €7 million and Yapi Ve Kredi Bankasi A.S. for €10 million. Impairment losses in subsidiaries UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million), Cordusio SIM S.p.A. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million). Writebacks in subsidiaries include UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli S.r.l. (€3 million), UniCredit Subito Casa S.p.A. (€1 million). Section 16 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 230 16.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value: breakdown (€ million) YEAR 2021 EXCHANGE DIFFERENCES NET PROFIT (A-B+C-D) ASSETS/INCOME ITEMS REVALUATIONS (A) WRITEDOWNS (B) POSITIVE (C) NEGATIVE (D) A. Property, plant and equipment 12 (21) - - (9) A.1 Used in the business 7 (3) - - 4 - Owned 7 (3) - - 4 - Right of use of Leased Assets - - - - - A.2 Held for investment 5 (18) - - (13) - Owned 5 (18) - - (13) - Right of use of Leased Assets - - - - - A.3 Inventories - - - - - B. Intangible assets - - - - - B.1 Owned - - - - - - Generated internally by the company - - - - - - Other - - - - - B.2 Right of use of Leased Assets - - - - - Total (A+B) 12 (21) - - (9) For further information about the description of effects produced by update of appraisals conducted for fair value evaluation of respective assets, reference is made to the paragraph “Section 9 - Property, plant and equipment - item 90” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets - Section 17 - Goodwill impairment - Item 240 No data to be disclosed. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 691 Section 15 - Gains (Losses) of equity investments - Item 220 15.1 Profit (Loss) of equity investments: breakdown (€ million) INCOME ITEMS/VALUES YEAR 2021 YEAR 2020 A. Income 8,016 202 1. Revaluations - - 2. Gains on disposal 34 123 3. Writebacks 7,982 79 4. Other gains - - B. Expenses (652) (4,944) 1. Writedowns - - 2. Impairment losses (652) (4,944) 3. Losses on disposal - - 4. Other expenses - - Net profit 7,364 (4,742) Gains on disposal include the results from the sale of Capital Dev S.p.A. for €17 million, Sia UniCredit Leasing S.p.A. for €7 million and Yapi Ve Kredi Bankasi A.S. for €10 million. Impairment losses in subsidiaries UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million), Cordusio SIM S.p.A. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million). Writebacks in subsidiaries include UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli S.r.l. (€3 million), UniCredit Subito Casa S.p.A. (€1 million). Section 16 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 230 16.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value: breakdown (€ million) YEAR 2021 EXCHANGE DIFFERENCES NET PROFIT (A-B+C-D) ASSETS/INCOME ITEMS REVALUATIONS (A) WRITEDOWNS (B) POSITIVE (C) NEGATIVE (D) A. Property, plant and equipment 12 (21) - - (9) A.1 Used in the business 7 (3) - - 4 - Owned 7 (3) - - 4 - Right of use of Leased Assets - - - - - A.2 Held for investment 5 (18) - - (13) - Owned 5 (18) - - (13) - Right of use of Leased Assets - - - - - A.3 Inventories - - - - - B. Intangible assets - - - - - B.1 Owned - - - - - - Generated internally by the company - - - - - - Other - - - - - B.2 Right of use of Leased Assets - - - - - Total (A+B) 12 (21) - - (9) For further information about the description of effects produced by update of appraisals conducted for fair value evaluation of respective assets, reference is made to the paragraph “Section 9 - Property, plant and equipment - item 90” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets - Section 17 - Goodwill impairment - Item 240 No data to be disclosed. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 691 Section 15 - Gains (Losses) of equity investments - Item 220 15.1 Profit (Loss) of equity investments: breakdown (€ million) INCOME ITEMS/VALUES YEAR 2021 YEAR 2020 A. Income 8,016 202 1. Revaluations - - 2. Gains on disposal 34 123 3. Writebacks 7,982 79 4. Other gains - - B. Expenses (652) (4,944) 1. Writedowns - - 2. Impairment losses (652) (4,944) 3. Losses on disposal - - 4. Other expenses - - Net profit 7,364 (4,742) Gains on disposal include the results from the sale of Capital Dev S.p.A. for €17 million, Sia UniCredit Leasing S.p.A. for €7 million and Yapi Ve Kredi Bankasi A.S. for €10 million. Impairment losses in subsidiaries UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million), Cordusio SIM S.p.A. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million). Writebacks in subsidiaries include UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli S.r.l. (€3 million), UniCredit Subito Casa S.p.A. (€1 million). Section 16 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 230 16.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value: breakdown (€ million) YEAR 2021 EXCHANGE DIFFERENCES NET PROFIT (A-B+C-D) ASSETS/INCOME ITEMS REVALUATIONS (A) WRITEDOWNS (B) POSITIVE (C) NEGATIVE (D) A. Property, plant and equipment 12 (21) - - (9) A.1 Used in the business 7 (3) - - 4 - Owned 7 (3) - - 4 - Right of use of Leased Assets - - - - - A.2 Held for investment 5 (18) - - (13) - Owned 5 (18) - - (13) - Right of use of Leased Assets - - - - - A.3 Inventories - - - - - B. Intangible assets - - - - - B.1 Owned - - - - - - Generated internally by the company - - - - - - Other - - - - - B.2 Right of use of Leased Assets - - - - - Total (A+B) 12 (21) - - (9) For further information about the description of effects produced by update of appraisals conducted for fair value evaluation of respective assets, reference is made to the paragraph “Section 9 - Property, plant and equipment - item 90” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets - Section 17 - Goodwill impairment - Item 240 No data to be disclosed. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 691 Section 15 - Gains (Losses) of equity investments - Item 220 15.1 Profit (Loss) of equity investments: breakdown (€ million) INCOME ITEMS/VALUES YEAR 2021 YEAR 2020 A. Income 8,016 202 1. Revaluations - - 2. Gains on disposal 34 123 3. Writebacks 7,982 79 4. Other gains - - B. Expenses (652) (4,944) 1. Writedowns - - 2. Impairment losses (652) (4,944) 3. Losses on disposal - - 4. Other expenses - - Net profit 7,364 (4,742) Gains on disposal include the results from the sale of Capital Dev S.p.A. for €17 million, Sia UniCredit Leasing S.p.A. for €7 million and Yapi Ve Kredi Bankasi A.S. for €10 million. Impairment losses in subsidiaries UniCredit Leasing S.p.A. (-€280 million), Yapi Ve Kredi Bankasi A.S. (-€249 million), Cordusio SIM S.p.A. (-€104 million), Pioneer Alternative Investments Management Ltd (-€8 million), UniCredit Turn Around Management Cee Gmbh (-€8 million), Nuova Compagnia di Partecipazioni S.p.A. (-€3 million). Writebacks in subsidiaries include UniCredit Bank AG (€ 4,958 million), UniCredit Bank Austria AG (€2,972 million), CNP UniCredit Vita S.p.A. (€43 million), UniCredit International Luxembourg S.A. (€5 million), Crivelli S.r.l. (€3 million), UniCredit Subito Casa S.p.A. (€1 million). Section 16 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 230 16.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value: breakdown (€ million) YEAR 2021 EXCHANGE DIFFERENCES NET PROFIT (A-B+C-D) ASSETS/INCOME ITEMS REVALUATIONS (A) WRITEDOWNS (B) POSITIVE (C) NEGATIVE (D) A. Property, plant and equipment 12 (21) - - (9) A.1 Used in the business 7 (3) - - 4 - Owned 7 (3) - - 4 - Right of use of Leased Assets - - - - - A.2 Held for investment 5 (18) - - (13) - Owned 5 (18) - - (13) - Right of use of Leased Assets - - - - - A.3 Inventories - - - - - B. Intangible assets - - - - - B.1 Owned - - - - - - Generated internally by the company - - - - - - Other - - - - - B.2 Right of use of Leased Assets - - - - - Total (A+B) 12 (21) - - (9) For further information about the description of effects produced by update of appraisals conducted for fair value evaluation of respective assets, reference is made to the paragraph “Section 9 - Property, plant and equipment - item 90” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part B - Consolidated balance sheet - Assets - Section 17 - Goodwill impairment - Item 240 No data to be disclosed. Company financial statements | Notes to the accounts Part C - Income statement 692 2021 Annual Report and Accounts · UniCredit Section 18 - Gains (Losses) on disposals on investments - Item 250 18.1 Gains and losses on disposal of investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 A. Property - Gains on disposal - 1 - Losses on disposal (1) (1) B. Other assets - Gains on disposal 2 5 - Losses on disposal (2) - Net profit (1) 5 Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 Taxes on income are accounted in accordance with IAS12. The tax charge consists of current and deferred taxes, mainly determined in accordance with the applicable provisions on IRES and IRAP, and CFC separate taxation (Controlled Foreign Companies, i.e., foreign subsidiaries taxed on a transparency basis where specific conditions are met). IRES is calculated by making specific upward or downward adjustments to the current year profit or loss as resulting from the income statement for determining the taxable income. These tax adjustments are made as required by the provisions of the Italian Income Tax Code (TUIR), in relation to the non-deductibility of certain expenses or the non-taxability of certain revenues. The IRES tax rate applied to the taxable income is 24%. An additional surcharge of 3.5% applies to banks and financial companies. The above-mentioned tax adjustments may be “permanent” or “temporary”. The “permanent” adjustments refer to expenses/revenues that are totally or partially non-deductible/non-taxable. The “temporary” adjustments, on the other hand, relate to expenses or revenues whose deductibility or taxability is deferred to future tax periods on the occurrence of particular events, or distributed in equal quotas over a predefined number of years. The presence of “temporary” adjustments leads to the recognition of deferred tax assets (for costs to be deducted) or deferred tax liabilities (for revenues to be taxed). The purpose of the recognition of deferred tax assets and liabilities is to reconcile in the financial statements the different tax period of relevance established by the TUIR compared to the accounting accrual principle. For IRES purposes, subject to a specific election to be submitted to the “Agenzia Entrate”, this tax can be paid on a Tax Group level rather than on an individual basis. All Italian companies that meet the control pre-requisite can adhere to the Tax Group regime, in order to compute the tax payment on a unique taxable base consisting of the algebraic sum of the taxable amounts of all the companies adhering to the Tax Group regime. The tax rate applicable to the Tax Group is 24%. For IRES purposes, is stated a separate taxation “for transparency” on incomes, calculated according to the provisions of the Italian Income Tax Code (TUIR), of the foreign direct and indirect subsidiaries (so-called CFCs: Controlled Foreign Companies) established in countries with a nominal or effective tax rate which is significantly below the Italian corresponding one. The applicable tax rate is 27.5%. IRAP is levied on productive activities and relevant taxable base corresponds to the algebraic sum of certain items of the Income statement as specifically identified by Legislative Decree No.446 of 1997, which also states further upward and downward adjustments to be made (other than IRES ones). Law of 23 December 2014 No.190 (2015 Stability Law) establishes, starting from 2015, that personnel costs for employees with permanent employment contracts are fully deductible from IRAP in addition to the deductions already established by the so-called "cuneo fiscale". Furthermore, in 2016 the full deductibility of the loan loss provisions in the year of accrual in the financial statements was introduced following the entry into force of Art.16 of Law Decree 27 June 2015 No.83. The tax is calculated by apportioning the overall value of production among the various administrative regions where the productive activities are carried out (for banks the apportionment is made on the basis of the regional distribution of customer’s deposits) and applying the respective regional rate to each of the individual portions identified. A national rate of 4.65% is established, to which each region can autonomously add a surcharge up to 0.92%, with an overall theoretical rate of 5.57% (plus a further rate of 0.15% for regions with a deficit in spending on the local welfare sector). Company financial statements | Notes to the accounts Part C - Income statement 692 2021 Annual Report and Accounts · UniCredit Section 18 - Gains (Losses) on disposals on investments - Item 250 18.1 Gains and losses on disposal of investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 A. Property - Gains on disposal - 1 - Losses on disposal (1) (1) B. Other assets - Gains on disposal 2 5 - Losses on disposal (2) - Net profit (1) 5 Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 Taxes on income are accounted in accordance with IAS12. The tax charge consists of current and deferred taxes, mainly determined in accordance with the applicable provisions on IRES and IRAP, and CFC separate taxation (Controlled Foreign Companies, i.e., foreign subsidiaries taxed on a transparency basis where specific conditions are met). IRES is calculated by making specific upward or downward adjustments to the current year profit or loss as resulting from the income statement for determining the taxable income. These tax adjustments are made as required by the provisions of the Italian Income Tax Code (TUIR), in relation to the non-deductibility of certain expenses or the non-taxability of certain revenues. The IRES tax rate applied to the taxable income is 24%. An additional surcharge of 3.5% applies to banks and financial companies. The above-mentioned tax adjustments may be “permanent” or “temporary”. The “permanent” adjustments refer to expenses/revenues that are totally or partially non-deductible/non-taxable. The “temporary” adjustments, on the other hand, relate to expenses or revenues whose deductibility or taxability is deferred to future tax periods on the occurrence of particular events, or distributed in equal quotas over a predefined number of years. The presence of “temporary” adjustments leads to the recognition of deferred tax assets (for costs to be deducted) or deferred tax liabilities (for revenues to be taxed). The purpose of the recognition of deferred tax assets and liabilities is to reconcile in the financial statements the different tax period of relevance established by the TUIR compared to the accounting accrual principle. For IRES purposes, subject to a specific election to be submitted to the “Agenzia Entrate”, this tax can be paid on a Tax Group level rather than on an individual basis. All Italian companies that meet the control pre-requisite can adhere to the Tax Group regime, in order to compute the tax payment on a unique taxable base consisting of the algebraic sum of the taxable amounts of all the companies adhering to the Tax Group regime. The tax rate applicable to the Tax Group is 24%. For IRES purposes, is stated a separate taxation “for transparency” on incomes, calculated according to the provisions of the Italian Income Tax Code (TUIR), of the foreign direct and indirect subsidiaries (so-called CFCs: Controlled Foreign Companies) established in countries with a nominal or effective tax rate which is significantly below the Italian corresponding one. The applicable tax rate is 27.5%. IRAP is levied on productive activities and relevant taxable base corresponds to the algebraic sum of certain items of the Income statement as specifically identified by Legislative Decree No.446 of 1997, which also states further upward and downward adjustments to be made (other than IRES ones). Law of 23 December 2014 No.190 (2015 Stability Law) establishes, starting from 2015, that personnel costs for employees with permanent employment contracts are fully deductible from IRAP in addition to the deductions already established by the so-called "cuneo fiscale". Furthermore, in 2016 the full deductibility of the loan loss provisions in the year of accrual in the financial statements was introduced following the entry into force of Art.16 of Law Decree 27 June 2015 No.83. The tax is calculated by apportioning the overall value of production among the various administrative regions where the productive activities are carried out (for banks the apportionment is made on the basis of the regional distribution of customer’s deposits) and applying the respective regional rate to each of the individual portions identified. A national rate of 4.65% is established, to which each region can autonomously add a surcharge up to 0.92%, with an overall theoretical rate of 5.57% (plus a further rate of 0.15% for regions with a deficit in spending on the local welfare sector). Company financial statements | Notes to the accounts Part C - Income statement 692 2021 Annual Report and Accounts · UniCredit Section 18 - Gains (Losses) on disposals on investments - Item 250 18.1 Gains and losses on disposal of investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 A. Property - Gains on disposal - 1 - Losses on disposal (1) (1) B. Other assets - Gains on disposal 2 5 - Losses on disposal (2) - Net profit (1) 5 Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 Taxes on income are accounted in accordance with IAS12. The tax charge consists of current and deferred taxes, mainly determined in accordance with the applicable provisions on IRES and IRAP, and CFC separate taxation (Controlled Foreign Companies, i.e., foreign subsidiaries taxed on a transparency basis where specific conditions are met). IRES is calculated by making specific upward or downward adjustments to the current year profit or loss as resulting from the income statement for determining the taxable income. These tax adjustments are made as required by the provisions of the Italian Income Tax Code (TUIR), in relation to the non-deductibility of certain expenses or the non-taxability of certain revenues. The IRES tax rate applied to the taxable income is 24%. An additional surcharge of 3.5% applies to banks and financial companies. The above-mentioned tax adjustments may be “permanent” or “temporary”. The “permanent” adjustments refer to expenses/revenues that are totally or partially non-deductible/non-taxable. The “temporary” adjustments, on the other hand, relate to expenses or revenues whose deductibility or taxability is deferred to future tax periods on the occurrence of particular events, or distributed in equal quotas over a predefined number of years. The presence of “temporary” adjustments leads to the recognition of deferred tax assets (for costs to be deducted) or deferred tax liabilities (for revenues to be taxed). The purpose of the recognition of deferred tax assets and liabilities is to reconcile in the financial statements the different tax period of relevance established by the TUIR compared to the accounting accrual principle. For IRES purposes, subject to a specific election to be submitted to the “Agenzia Entrate”, this tax can be paid on a Tax Group level rather than on an individual basis. All Italian companies that meet the control pre-requisite can adhere to the Tax Group regime, in order to compute the tax payment on a unique taxable base consisting of the algebraic sum of the taxable amounts of all the companies adhering to the Tax Group regime. The tax rate applicable to the Tax Group is 24%. For IRES purposes, is stated a separate taxation “for transparency” on incomes, calculated according to the provisions of the Italian Income Tax Code (TUIR), of the foreign direct and indirect subsidiaries (so-called CFCs: Controlled Foreign Companies) established in countries with a nominal or effective tax rate which is significantly below the Italian corresponding one. The applicable tax rate is 27.5%. IRAP is levied on productive activities and relevant taxable base corresponds to the algebraic sum of certain items of the Income statement as specifically identified by Legislative Decree No.446 of 1997, which also states further upward and downward adjustments to be made (other than IRES ones). Law of 23 December 2014 No.190 (2015 Stability Law) establishes, starting from 2015, that personnel costs for employees with permanent employment contracts are fully deductible from IRAP in addition to the deductions already established by the so-called "cuneo fiscale". Furthermore, in 2016 the full deductibility of the loan loss provisions in the year of accrual in the financial statements was introduced following the entry into force of Art.16 of Law Decree 27 June 2015 No.83. The tax is calculated by apportioning the overall value of production among the various administrative regions where the productive activities are carried out (for banks the apportionment is made on the basis of the regional distribution of customer’s deposits) and applying the respective regional rate to each of the individual portions identified. A national rate of 4.65% is established, to which each region can autonomously add a surcharge up to 0.92%, with an overall theoretical rate of 5.57% (plus a further rate of 0.15% for regions with a deficit in spending on the local welfare sector). Company financial statements | Notes to the accounts Part C - Income statement 692 2021 Annual Report and Accounts · UniCredit Section 18 - Gains (Losses) on disposals on investments - Item 250 18.1 Gains and losses on disposal of investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 A. Property - Gains on disposal - 1 - Losses on disposal (1) (1) B. Other assets - Gains on disposal 2 5 - Losses on disposal (2) - Net profit (1) 5 Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 Taxes on income are accounted in accordance with IAS12. The tax charge consists of current and deferred taxes, mainly determined in accordance with the applicable provisions on IRES and IRAP, and CFC separate taxation (Controlled Foreign Companies, i.e., foreign subsidiaries taxed on a transparency basis where specific conditions are met). IRES is calculated by making specific upward or downward adjustments to the current year profit or loss as resulting from the income statement for determining the taxable income. These tax adjustments are made as required by the provisions of the Italian Income Tax Code (TUIR), in relation to the non-deductibility of certain expenses or the non-taxability of certain revenues. The IRES tax rate applied to the taxable income is 24%. An additional surcharge of 3.5% applies to banks and financial companies. The above-mentioned tax adjustments may be “permanent” or “temporary”. The “permanent” adjustments refer to expenses/revenues that are totally or partially non-deductible/non-taxable. The “temporary” adjustments, on the other hand, relate to expenses or revenues whose deductibility or taxability is deferred to future tax periods on the occurrence of particular events, or distributed in equal quotas over a predefined number of years. The presence of “temporary” adjustments leads to the recognition of deferred tax assets (for costs to be deducted) or deferred tax liabilities (for revenues to be taxed). The purpose of the recognition of deferred tax assets and liabilities is to reconcile in the financial statements the different tax period of relevance established by the TUIR compared to the accounting accrual principle. For IRES purposes, subject to a specific election to be submitted to the “Agenzia Entrate”, this tax can be paid on a Tax Group level rather than on an individual basis. All Italian companies that meet the control pre-requisite can adhere to the Tax Group regime, in order to compute the tax payment on a unique taxable base consisting of the algebraic sum of the taxable amounts of all the companies adhering to the Tax Group regime. The tax rate applicable to the Tax Group is 24%. For IRES purposes, is stated a separate taxation “for transparency” on incomes, calculated according to the provisions of the Italian Income Tax Code (TUIR), of the foreign direct and indirect subsidiaries (so-called CFCs: Controlled Foreign Companies) established in countries with a nominal or effective tax rate which is significantly below the Italian corresponding one. The applicable tax rate is 27.5%. IRAP is levied on productive activities and relevant taxable base corresponds to the algebraic sum of certain items of the Income statement as specifically identified by Legislative Decree No.446 of 1997, which also states further upward and downward adjustments to be made (other than IRES ones). Law of 23 December 2014 No.190 (2015 Stability Law) establishes, starting from 2015, that personnel costs for employees with permanent employment contracts are fully deductible from IRAP in addition to the deductions already established by the so-called "cuneo fiscale". Furthermore, in 2016 the full deductibility of the loan loss provisions in the year of accrual in the financial statements was introduced following the entry into force of Art.16 of Law Decree 27 June 2015 No.83. The tax is calculated by apportioning the overall value of production among the various administrative regions where the productive activities are carried out (for banks the apportionment is made on the basis of the regional distribution of customer’s deposits) and applying the respective regional rate to each of the individual portions identified. A national rate of 4.65% is established, to which each region can autonomously add a surcharge up to 0.92%, with an overall theoretical rate of 5.57% (plus a further rate of 0.15% for regions with a deficit in spending on the local welfare sector). Company financial statements | Notes to the accounts Part C - Income statement 692 2021 Annual Report and Accounts · UniCredit Section 18 - Gains (Losses) on disposals on investments - Item 250 18.1 Gains and losses on disposal of investments: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 A. Property - Gains on disposal - 1 - Losses on disposal (1) (1) B. Other assets - Gains on disposal 2 5 - Losses on disposal (2) - Net profit (1) 5 Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 Taxes on income are accounted in accordance with IAS12. The tax charge consists of current and deferred taxes, mainly determined in accordance with the applicable provisions on IRES and IRAP, and CFC separate taxation (Controlled Foreign Companies, i.e., foreign subsidiaries taxed on a transparency basis where specific conditions are met). IRES is calculated by making specific upward or downward adjustments to the current year profit or loss as resulting from the income statement for determining the taxable income. These tax adjustments are made as required by the provisions of the Italian Income Tax Code (TUIR), in relation to the non-deductibility of certain expenses or the non-taxability of certain revenues. The IRES tax rate applied to the taxable income is 24%. An additional surcharge of 3.5% applies to banks and financial companies. The above-mentioned tax adjustments may be “permanent” or “temporary”. The “permanent” adjustments refer to expenses/revenues that are totally or partially non-deductible/non-taxable. The “temporary” adjustments, on the other hand, relate to expenses or revenues whose deductibility or taxability is deferred to future tax periods on the occurrence of particular events, or distributed in equal quotas over a predefined number of years. The presence of “temporary” adjustments leads to the recognition of deferred tax assets (for costs to be deducted) or deferred tax liabilities (for revenues to be taxed). The purpose of the recognition of deferred tax assets and liabilities is to reconcile in the financial statements the different tax period of relevance established by the TUIR compared to the accounting accrual principle. For IRES purposes, subject to a specific election to be submitted to the “Agenzia Entrate”, this tax can be paid on a Tax Group level rather than on an individual basis. All Italian companies that meet the control pre-requisite can adhere to the Tax Group regime, in order to compute the tax payment on a unique taxable base consisting of the algebraic sum of the taxable amounts of all the companies adhering to the Tax Group regime. The tax rate applicable to the Tax Group is 24%. For IRES purposes, is stated a separate taxation “for transparency” on incomes, calculated according to the provisions of the Italian Income Tax Code (TUIR), of the foreign direct and indirect subsidiaries (so-called CFCs: Controlled Foreign Companies) established in countries with a nominal or effective tax rate which is significantly below the Italian corresponding one. The applicable tax rate is 27.5%. IRAP is levied on productive activities and relevant taxable base corresponds to the algebraic sum of certain items of the Income statement as specifically identified by Legislative Decree No.446 of 1997, which also states further upward and downward adjustments to be made (other than IRES ones). Law of 23 December 2014 No.190 (2015 Stability Law) establishes, starting from 2015, that personnel costs for employees with permanent employment contracts are fully deductible from IRAP in addition to the deductions already established by the so-called "cuneo fiscale". Furthermore, in 2016 the full deductibility of the loan loss provisions in the year of accrual in the financial statements was introduced following the entry into force of Art.16 of Law Decree 27 June 2015 No.83. The tax is calculated by apportioning the overall value of production among the various administrative regions where the productive activities are carried out (for banks the apportionment is made on the basis of the regional distribution of customer’s deposits) and applying the respective regional rate to each of the individual portions identified. A national rate of 4.65% is established, to which each region can autonomously add a surcharge up to 0.92%, with an overall theoretical rate of 5.57% (plus a further rate of 0.15% for regions with a deficit in spending on the local welfare sector). Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 693 During the year 2021, many provisions were confirmed to face the economic difficulties caused by the Covid-19 pandemic. Such provisions, however, mainly concerned non-banking or smaller companies; the only relevant provision of interest to UniCredit S.p.A. was contained in Legislative Decree 17 March 2020 No.18, confirmed by Law Decree 25 May 2021 No.73, which allows the transformation of tax losses carried forward into tax credits against the disposal to companies outside the Group occurred within 31 December 2021 of "non-performing" loans. The rule identifies as “non performing” the loans for which, at the time of the disposal, the non-repayment has continued for more than 90 days with respect to the expiry date, and states a maximum benefit available in terms of taxable base equal to €400 million (equivalent to 20% of a maximum total of €2 billion in terms of nominal amount of loans transferred) and, consequently, equal to €110 million in terms of taxes at a rate of 27.5%. Notwithstanding the rules states strict requirements of applicability, UniCredit S.p.A. was able to benefit for the entire amount. In fact, the “non-performing” credit disposals made during 2021, have been allowed the transformation of the DTA of tax losses carried forward into tax credits for the whole amount of €110 million, providing a positive impact on the Income statement for the same amount. The Art.110 of the Law Decree 14 August 2020, No.104 has established the realignment of the book values to the fiscal values of the Bank assets (by repurposing, as already done in the previous years, the provision introduced by the Art.14 Law 21 November 2000 No.342). The realignment involves tax recognition of the higher book value registered by payment of a substitute tax to the extent of 3%, due in three annual payments. In case of realignment the rule provides to bind a reserve in suspension of tax (for tax purposes) equals to the differential redeemed net of the substitute tax due. In case of distribution such reserve has to be taxed. The higher values redeemed have been assumed as valid for IRES and IRAP purposes as at 1 January 2021. The realignment has been made on 30 June 2021 by payment of a substitute tax of €5 million (€5.5 million due within 30 June 2022 and other €5.5 million due within 30 June 2023) with a benefit of €7 million in Income statement, due to the write off of deferred tax liabilities for €8 million, not considering the amount of the substitute tax referred to Income statement and a benefit of €153 million in Net equity, due to the write off of deferred tax liabilities for €169 million, not considering the amount of the substitute tax referred to Net equity. Taxes on income for 2021 reports a positive amount of €934 million, showing an increase in comparison with the positive amount of €302 million in 2020. The amount of the residual tax losses carried forward is equal to €3,914 million of which €3,389 million deriving from accounting items originated in the Income statement and €525 million from Net equity components. Following the sustainability test an additional amount of deferred tax assets limited to €1,164 million can be registered. Therefore, the amount of deferred tax assets arising from tax losses booked is equal to €1,842 million of which €1,201 million deriving from accounting items originated in the Income statement and €641 million from Net equity components. The amount of deferred tax assets arising from tax losses not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. Current IRAP tax accrual shows a positive tax base. IRAP due is equal to €36 million. The “ACE” (“Aiuto alla crescita economica”) benefit for 2021 is currently estimated in €38 million. Following the interviews that took place with “Agenzia delle Entrate”, in particular for what concerns the anti-avoidance rules on the increase of intra-Group loans, a further benefit of €18 million for the 2020 tax year were obtained. An analogous tax ruling for an amount still to be defined will be presented in 2022 to “Agenzia delle Entrate” also for the year 2021. During the year 2021, owing to the negative taxable basis for IRES and the availability of tax losses carried forward determining an indefinite postponement of the monetization of the ACE benefit, as provided for by Law Decree 24 June 2014, No.91 (converted with modification by Law 11 August 2014, No.116), a transformation into an IRAP tax credit of the amount of ACE benefit for 2020 for €38 million as already done in the previous years. The residual credit still to be used for IRAP purposes amounts to €177 million. The IRAP credit will be used over 5 years in equal installments as provided for by the relevant law, with the possibility to carry forward any unused amount upon the fifth year. The 2020 financial year closed with a loss in the Income statement of €2,732 million; therefore, there were the conditions for carrying out a new transformation of deferred tax assets (DTAs) into tax credits pursuant to Art.2, par.55 of the Law Decree of 29 December 2010 No.225, converted into Law No.10/2011. The amount of the conversion carried out is equal to €384 million. The 2021 financial year closed with a profit; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits are not verified again. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 693 During the year 2021, many provisions were confirmed to face the economic difficulties caused by the Covid-19 pandemic. Such provisions, however, mainly concerned non-banking or smaller companies; the only relevant provision of interest to UniCredit S.p.A. was contained in Legislative Decree 17 March 2020 No.18, confirmed by Law Decree 25 May 2021 No.73, which allows the transformation of tax losses carried forward into tax credits against the disposal to companies outside the Group occurred within 31 December 2021 of "non-performing" loans. The rule identifies as “non performing” the loans for which, at the time of the disposal, the non-repayment has continued for more than 90 days with respect to the expiry date, and states a maximum benefit available in terms of taxable base equal to €400 million (equivalent to 20% of a maximum total of €2 billion in terms of nominal amount of loans transferred) and, consequently, equal to €110 million in terms of taxes at a rate of 27.5%. Notwithstanding the rules states strict requirements of applicability, UniCredit S.p.A. was able to benefit for the entire amount. In fact, the “non-performing” credit disposals made during 2021, have been allowed the transformation of the DTA of tax losses carried forward into tax credits for the whole amount of €110 million, providing a positive impact on the Income statement for the same amount. The Art.110 of the Law Decree 14 August 2020, No.104 has established the realignment of the book values to the fiscal values of the Bank assets (by repurposing, as already done in the previous years, the provision introduced by the Art.14 Law 21 November 2000 No.342). The realignment involves tax recognition of the higher book value registered by payment of a substitute tax to the extent of 3%, due in three annual payments. In case of realignment the rule provides to bind a reserve in suspension of tax (for tax purposes) equals to the differential redeemed net of the substitute tax due. In case of distribution such reserve has to be taxed. The higher values redeemed have been assumed as valid for IRES and IRAP purposes as at 1 January 2021. The realignment has been made on 30 June 2021 by payment of a substitute tax of €5 million (€5.5 million due within 30 June 2022 and other €5.5 million due within 30 June 2023) with a benefit of €7 million in Income statement, due to the write off of deferred tax liabilities for €8 million, not considering the amount of the substitute tax referred to Income statement and a benefit of €153 million in Net equity, due to the write off of deferred tax liabilities for €169 million, not considering the amount of the substitute tax referred to Net equity. Taxes on income for 2021 reports a positive amount of €934 million, showing an increase in comparison with the positive amount of €302 million in 2020. The amount of the residual tax losses carried forward is equal to €3,914 million of which €3,389 million deriving from accounting items originated in the Income statement and €525 million from Net equity components. Following the sustainability test an additional amount of deferred tax assets limited to €1,164 million can be registered. Therefore, the amount of deferred tax assets arising from tax losses booked is equal to €1,842 million of which €1,201 million deriving from accounting items originated in the Income statement and €641 million from Net equity components. The amount of deferred tax assets arising from tax losses not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. Current IRAP tax accrual shows a positive tax base. IRAP due is equal to €36 million. The “ACE” (“Aiuto alla crescita economica”) benefit for 2021 is currently estimated in €38 million. Following the interviews that took place with “Agenzia delle Entrate”, in particular for what concerns the anti-avoidance rules on the increase of intra-Group loans, a further benefit of €18 million for the 2020 tax year were obtained. An analogous tax ruling for an amount still to be defined will be presented in 2022 to “Agenzia delle Entrate” also for the year 2021. During the year 2021, owing to the negative taxable basis for IRES and the availability of tax losses carried forward determining an indefinite postponement of the monetization of the ACE benefit, as provided for by Law Decree 24 June 2014, No.91 (converted with modification by Law 11 August 2014, No.116), a transformation into an IRAP tax credit of the amount of ACE benefit for 2020 for €38 million as already done in the previous years. The residual credit still to be used for IRAP purposes amounts to €177 million. The IRAP credit will be used over 5 years in equal installments as provided for by the relevant law, with the possibility to carry forward any unused amount upon the fifth year. The 2020 financial year closed with a loss in the Income statement of €2,732 million; therefore, there were the conditions for carrying out a new transformation of deferred tax assets (DTAs) into tax credits pursuant to Art.2, par.55 of the Law Decree of 29 December 2010 No.225, converted into Law No.10/2011. The amount of the conversion carried out is equal to €384 million. The 2021 financial year closed with a profit; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits are not verified again. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 693 During the year 2021, many provisions were confirmed to face the economic difficulties caused by the Covid-19 pandemic. Such provisions, however, mainly concerned non-banking or smaller companies; the only relevant provision of interest to UniCredit S.p.A. was contained in Legislative Decree 17 March 2020 No.18, confirmed by Law Decree 25 May 2021 No.73, which allows the transformation of tax losses carried forward into tax credits against the disposal to companies outside the Group occurred within 31 December 2021 of "non-performing" loans. The rule identifies as “non performing” the loans for which, at the time of the disposal, the non-repayment has continued for more than 90 days with respect to the expiry date, and states a maximum benefit available in terms of taxable base equal to €400 million (equivalent to 20% of a maximum total of €2 billion in terms of nominal amount of loans transferred) and, consequently, equal to €110 million in terms of taxes at a rate of 27.5%. Notwithstanding the rules states strict requirements of applicability, UniCredit S.p.A. was able to benefit for the entire amount. In fact, the “non-performing” credit disposals made during 2021, have been allowed the transformation of the DTA of tax losses carried forward into tax credits for the whole amount of €110 million, providing a positive impact on the Income statement for the same amount. The Art.110 of the Law Decree 14 August 2020, No.104 has established the realignment of the book values to the fiscal values of the Bank assets (by repurposing, as already done in the previous years, the provision introduced by the Art.14 Law 21 November 2000 No.342). The realignment involves tax recognition of the higher book value registered by payment of a substitute tax to the extent of 3%, due in three annual payments. In case of realignment the rule provides to bind a reserve in suspension of tax (for tax purposes) equals to the differential redeemed net of the substitute tax due. In case of distribution such reserve has to be taxed. The higher values redeemed have been assumed as valid for IRES and IRAP purposes as at 1 January 2021. The realignment has been made on 30 June 2021 by payment of a substitute tax of €5 million (€5.5 million due within 30 June 2022 and other €5.5 million due within 30 June 2023) with a benefit of €7 million in Income statement, due to the write off of deferred tax liabilities for €8 million, not considering the amount of the substitute tax referred to Income statement and a benefit of €153 million in Net equity, due to the write off of deferred tax liabilities for €169 million, not considering the amount of the substitute tax referred to Net equity. Taxes on income for 2021 reports a positive amount of €934 million, showing an increase in comparison with the positive amount of €302 million in 2020. The amount of the residual tax losses carried forward is equal to €3,914 million of which €3,389 million deriving from accounting items originated in the Income statement and €525 million from Net equity components. Following the sustainability test an additional amount of deferred tax assets limited to €1,164 million can be registered. Therefore, the amount of deferred tax assets arising from tax losses booked is equal to €1,842 million of which €1,201 million deriving from accounting items originated in the Income statement and €641 million from Net equity components. The amount of deferred tax assets arising from tax losses not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. Current IRAP tax accrual shows a positive tax base. IRAP due is equal to €36 million. The “ACE” (“Aiuto alla crescita economica”) benefit for 2021 is currently estimated in €38 million. Following the interviews that took place with “Agenzia delle Entrate”, in particular for what concerns the anti-avoidance rules on the increase of intra-Group loans, a further benefit of €18 million for the 2020 tax year were obtained. An analogous tax ruling for an amount still to be defined will be presented in 2022 to “Agenzia delle Entrate” also for the year 2021. During the year 2021, owing to the negative taxable basis for IRES and the availability of tax losses carried forward determining an indefinite postponement of the monetization of the ACE benefit, as provided for by Law Decree 24 June 2014, No.91 (converted with modification by Law 11 August 2014, No.116), a transformation into an IRAP tax credit of the amount of ACE benefit for 2020 for €38 million as already done in the previous years. The residual credit still to be used for IRAP purposes amounts to €177 million. The IRAP credit will be used over 5 years in equal installments as provided for by the relevant law, with the possibility to carry forward any unused amount upon the fifth year. The 2020 financial year closed with a loss in the Income statement of €2,732 million; therefore, there were the conditions for carrying out a new transformation of deferred tax assets (DTAs) into tax credits pursuant to Art.2, par.55 of the Law Decree of 29 December 2010 No.225, converted into Law No.10/2011. The amount of the conversion carried out is equal to €384 million. The 2021 financial year closed with a profit; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits are not verified again. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 693 During the year 2021, many provisions were confirmed to face the economic difficulties caused by the Covid-19 pandemic. Such provisions, however, mainly concerned non-banking or smaller companies; the only relevant provision of interest to UniCredit S.p.A. was contained in Legislative Decree 17 March 2020 No.18, confirmed by Law Decree 25 May 2021 No.73, which allows the transformation of tax losses carried forward into tax credits against the disposal to companies outside the Group occurred within 31 December 2021 of "non-performing" loans. The rule identifies as “non performing” the loans for which, at the time of the disposal, the non-repayment has continued for more than 90 days with respect to the expiry date, and states a maximum benefit available in terms of taxable base equal to €400 million (equivalent to 20% of a maximum total of €2 billion in terms of nominal amount of loans transferred) and, consequently, equal to €110 million in terms of taxes at a rate of 27.5%. Notwithstanding the rules states strict requirements of applicability, UniCredit S.p.A. was able to benefit for the entire amount. In fact, the “non-performing” credit disposals made during 2021, have been allowed the transformation of the DTA of tax losses carried forward into tax credits for the whole amount of €110 million, providing a positive impact on the Income statement for the same amount. The Art.110 of the Law Decree 14 August 2020, No.104 has established the realignment of the book values to the fiscal values of the Bank assets (by repurposing, as already done in the previous years, the provision introduced by the Art.14 Law 21 November 2000 No.342). The realignment involves tax recognition of the higher book value registered by payment of a substitute tax to the extent of 3%, due in three annual payments. In case of realignment the rule provides to bind a reserve in suspension of tax (for tax purposes) equals to the differential redeemed net of the substitute tax due. In case of distribution such reserve has to be taxed. The higher values redeemed have been assumed as valid for IRES and IRAP purposes as at 1 January 2021. The realignment has been made on 30 June 2021 by payment of a substitute tax of €5 million (€5.5 million due within 30 June 2022 and other €5.5 million due within 30 June 2023) with a benefit of €7 million in Income statement, due to the write off of deferred tax liabilities for €8 million, not considering the amount of the substitute tax referred to Income statement and a benefit of €153 million in Net equity, due to the write off of deferred tax liabilities for €169 million, not considering the amount of the substitute tax referred to Net equity. Taxes on income for 2021 reports a positive amount of €934 million, showing an increase in comparison with the positive amount of €302 million in 2020. The amount of the residual tax losses carried forward is equal to €3,914 million of which €3,389 million deriving from accounting items originated in the Income statement and €525 million from Net equity components. Following the sustainability test an additional amount of deferred tax assets limited to €1,164 million can be registered. Therefore, the amount of deferred tax assets arising from tax losses booked is equal to €1,842 million of which €1,201 million deriving from accounting items originated in the Income statement and €641 million from Net equity components. The amount of deferred tax assets arising from tax losses not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. Current IRAP tax accrual shows a positive tax base. IRAP due is equal to €36 million. The “ACE” (“Aiuto alla crescita economica”) benefit for 2021 is currently estimated in €38 million. Following the interviews that took place with “Agenzia delle Entrate”, in particular for what concerns the anti-avoidance rules on the increase of intra-Group loans, a further benefit of €18 million for the 2020 tax year were obtained. An analogous tax ruling for an amount still to be defined will be presented in 2022 to “Agenzia delle Entrate” also for the year 2021. During the year 2021, owing to the negative taxable basis for IRES and the availability of tax losses carried forward determining an indefinite postponement of the monetization of the ACE benefit, as provided for by Law Decree 24 June 2014, No.91 (converted with modification by Law 11 August 2014, No.116), a transformation into an IRAP tax credit of the amount of ACE benefit for 2020 for €38 million as already done in the previous years. The residual credit still to be used for IRAP purposes amounts to €177 million. The IRAP credit will be used over 5 years in equal installments as provided for by the relevant law, with the possibility to carry forward any unused amount upon the fifth year. The 2020 financial year closed with a loss in the Income statement of €2,732 million; therefore, there were the conditions for carrying out a new transformation of deferred tax assets (DTAs) into tax credits pursuant to Art.2, par.55 of the Law Decree of 29 December 2010 No.225, converted into Law No.10/2011. The amount of the conversion carried out is equal to €384 million. The 2021 financial year closed with a profit; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits are not verified again. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 693 During the year 2021, many provisions were confirmed to face the economic difficulties caused by the Covid-19 pandemic. Such provisions, however, mainly concerned non-banking or smaller companies; the only relevant provision of interest to UniCredit S.p.A. was contained in Legislative Decree 17 March 2020 No.18, confirmed by Law Decree 25 May 2021 No.73, which allows the transformation of tax losses carried forward into tax credits against the disposal to companies outside the Group occurred within 31 December 2021 of "non-performing" loans. The rule identifies as “non performing” the loans for which, at the time of the disposal, the non-repayment has continued for more than 90 days with respect to the expiry date, and states a maximum benefit available in terms of taxable base equal to €400 million (equivalent to 20% of a maximum total of €2 billion in terms of nominal amount of loans transferred) and, consequently, equal to €110 million in terms of taxes at a rate of 27.5%. Notwithstanding the rules states strict requirements of applicability, UniCredit S.p.A. was able to benefit for the entire amount. In fact, the “non-performing” credit disposals made during 2021, have been allowed the transformation of the DTA of tax losses carried forward into tax credits for the whole amount of €110 million, providing a positive impact on the Income statement for the same amount. The Art.110 of the Law Decree 14 August 2020, No.104 has established the realignment of the book values to the fiscal values of the Bank assets (by repurposing, as already done in the previous years, the provision introduced by the Art.14 Law 21 November 2000 No.342). The realignment involves tax recognition of the higher book value registered by payment of a substitute tax to the extent of 3%, due in three annual payments. In case of realignment the rule provides to bind a reserve in suspension of tax (for tax purposes) equals to the differential redeemed net of the substitute tax due. In case of distribution such reserve has to be taxed. The higher values redeemed have been assumed as valid for IRES and IRAP purposes as at 1 January 2021. The realignment has been made on 30 June 2021 by payment of a substitute tax of €5 million (€5.5 million due within 30 June 2022 and other €5.5 million due within 30 June 2023) with a benefit of €7 million in Income statement, due to the write off of deferred tax liabilities for €8 million, not considering the amount of the substitute tax referred to Income statement and a benefit of €153 million in Net equity, due to the write off of deferred tax liabilities for €169 million, not considering the amount of the substitute tax referred to Net equity. Taxes on income for 2021 reports a positive amount of €934 million, showing an increase in comparison with the positive amount of €302 million in 2020. The amount of the residual tax losses carried forward is equal to €3,914 million of which €3,389 million deriving from accounting items originated in the Income statement and €525 million from Net equity components. Following the sustainability test an additional amount of deferred tax assets limited to €1,164 million can be registered. Therefore, the amount of deferred tax assets arising from tax losses booked is equal to €1,842 million of which €1,201 million deriving from accounting items originated in the Income statement and €641 million from Net equity components. The amount of deferred tax assets arising from tax losses not booked is equal to €2,072 million of which (i) €1,728 million (€1,623 million deriving from accounting items originated in the Income statement and €105 million from Net equity components) referred to the italian tax group perimeter and related to the 24% IRES ordinary tax rate and (ii) €344 million (€329 million deriving from accounting items originated in the Income statement and €15 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate. Current IRAP tax accrual shows a positive tax base. IRAP due is equal to €36 million. The “ACE” (“Aiuto alla crescita economica”) benefit for 2021 is currently estimated in €38 million. Following the interviews that took place with “Agenzia delle Entrate”, in particular for what concerns the anti-avoidance rules on the increase of intra-Group loans, a further benefit of €18 million for the 2020 tax year were obtained. An analogous tax ruling for an amount still to be defined will be presented in 2022 to “Agenzia delle Entrate” also for the year 2021. During the year 2021, owing to the negative taxable basis for IRES and the availability of tax losses carried forward determining an indefinite postponement of the monetization of the ACE benefit, as provided for by Law Decree 24 June 2014, No.91 (converted with modification by Law 11 August 2014, No.116), a transformation into an IRAP tax credit of the amount of ACE benefit for 2020 for €38 million as already done in the previous years. The residual credit still to be used for IRAP purposes amounts to €177 million. The IRAP credit will be used over 5 years in equal installments as provided for by the relevant law, with the possibility to carry forward any unused amount upon the fifth year. The 2020 financial year closed with a loss in the Income statement of €2,732 million; therefore, there were the conditions for carrying out a new transformation of deferred tax assets (DTAs) into tax credits pursuant to Art.2, par.55 of the Law Decree of 29 December 2010 No.225, converted into Law No.10/2011. The amount of the conversion carried out is equal to €384 million. The 2021 financial year closed with a profit; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits are not verified again. Company financial statements | Notes to the accounts Part C - Income statement 694 2021 Annual Report and Accounts · UniCredit For the regime of conversion of DTAs into tax credits, refer to the paragraph “Guarantee fees for DTA conversion” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. 19.1 Tax expense (income) relating to profit or loss from continuing operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Current taxes (-) 7 67 2. Change of current taxes of previous years (+/-) 12 105 3. Reduction of current taxes for the year (+) 110 111 3.bis Reduction of current taxes for the year due tax credit under Law 214/2011 (+) 850 793 4. Change of deferred tax assets (+/-) (65) (784) 5. Change of deferred tax liabilities (+/-) 20 17 6. Tax expenses for the year (-) (-1+/-2+3+3bis+/-4+/-5) 934 309 19.2 Reconciliation of theoretical tax charge to actual tax charge (€ million) YEAR 2021 YEAR 2020 Profit (Loss) before tax from continuing operations (income statement item) 9,432 (3,041) Theoretical tax rate 27.5% 27.5% Theoretical computed taxes on income (2,594) 836 1. Different tax rates - - 2. Non-taxable income - permanent differences 2,452 1,042 3. Non-deductible expenses - permanent differences (270) (1,277) 4. Different fiscal laws/IRAP (47) (11) a) IRAP (italian companies) (33) - b) Other taxes (foreign companies) (14) (11) 5. Previous years and changes in tax rates 111 271 a) Effects on current taxes 161 294 - Tax loss carryforward/unused Tax credit 110 110 - Other effects of previous periods 51 184 b) Effects on deferred taxes (50) (23) - Changes in tax rates - - - New taxes incurred (+) previous taxes revocation (-) - - - True-ups/adjustments of the calculated deferred taxes (50) (23) 6. Valuation adjustments and non-recognition of deferred taxes 1,283 (552) a) Deferred tax assets write-down (38) (631) b) Deferred tax assets recognition 1,321 73 c) Deferred tax assets non-recognition - - d) Deferred tax assets non-recognition according to IAS12.39 and 12.44 - - e) Other - 6 7. Amortisation of goodwill - - 8. Non-taxable foreign income - - 9. Other differences (1) - Recognised taxes on income 934 309 Section 20 - Profit (Loss) after tax from discontinued operations - Item 290 No data to be disclosed in this section. Company financial statements | Notes to the accounts Part C - Income statement 694 2021 Annual Report and Accounts · UniCredit For the regime of conversion of DTAs into tax credits, refer to the paragraph “Guarantee fees for DTA conversion” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. 19.1 Tax expense (income) relating to profit or loss from continuing operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Current taxes (-) 7 67 2. Change of current taxes of previous years (+/-) 12 105 3. Reduction of current taxes for the year (+) 110 111 3.bis Reduction of current taxes for the year due tax credit under Law 214/2011 (+) 850 793 4. Change of deferred tax assets (+/-) (65) (784) 5. Change of deferred tax liabilities (+/-) 20 17 6. Tax expenses for the year (-) (-1+/-2+3+3bis+/-4+/-5) 934 309 19.2 Reconciliation of theoretical tax charge to actual tax charge (€ million) YEAR 2021 YEAR 2020 Profit (Loss) before tax from continuing operations (income statement item) 9,432 (3,041) Theoretical tax rate 27.5% 27.5% Theoretical computed taxes on income (2,594) 836 1. Different tax rates - - 2. Non-taxable income - permanent differences 2,452 1,042 3. Non-deductible expenses - permanent differences (270) (1,277) 4. Different fiscal laws/IRAP (47) (11) a) IRAP (italian companies) (33) - b) Other taxes (foreign companies) (14) (11) 5. Previous years and changes in tax rates 111 271 a) Effects on current taxes 161 294 - Tax loss carryforward/unused Tax credit 110 110 - Other effects of previous periods 51 184 b) Effects on deferred taxes (50) (23) - Changes in tax rates - - - New taxes incurred (+) previous taxes revocation (-) - - - True-ups/adjustments of the calculated deferred taxes (50) (23) 6. Valuation adjustments and non-recognition of deferred taxes 1,283 (552) a) Deferred tax assets write-down (38) (631) b) Deferred tax assets recognition 1,321 73 c) Deferred tax assets non-recognition - - d) Deferred tax assets non-recognition according to IAS12.39 and 12.44 - - e) Other - 6 7. Amortisation of goodwill - - 8. Non-taxable foreign income - - 9. Other differences (1) - Recognised taxes on income 934 309 Section 20 - Profit (Loss) after tax from discontinued operations - Item 290 No data to be disclosed in this section. Company financial statements | Notes to the accounts Part C - Income statement 694 2021 Annual Report and Accounts · UniCredit For the regime of conversion of DTAs into tax credits, refer to the paragraph “Guarantee fees for DTA conversion” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. 19.1 Tax expense (income) relating to profit or loss from continuing operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Current taxes (-) 7 67 2. Change of current taxes of previous years (+/-) 12 105 3. Reduction of current taxes for the year (+) 110 111 3.bis Reduction of current taxes for the year due tax credit under Law 214/2011 (+) 850 793 4. Change of deferred tax assets (+/-) (65) (784) 5. Change of deferred tax liabilities (+/-) 20 17 6. Tax expenses for the year (-) (-1+/-2+3+3bis+/-4+/-5) 934 309 19.2 Reconciliation of theoretical tax charge to actual tax charge (€ million) YEAR 2021 YEAR 2020 Profit (Loss) before tax from continuing operations (income statement item) 9,432 (3,041) Theoretical tax rate 27.5% 27.5% Theoretical computed taxes on income (2,594) 836 1. Different tax rates - - 2. Non-taxable income - permanent differences 2,452 1,042 3. Non-deductible expenses - permanent differences (270) (1,277) 4. Different fiscal laws/IRAP (47) (11) a) IRAP (italian companies) (33) - b) Other taxes (foreign companies) (14) (11) 5. Previous years and changes in tax rates 111 271 a) Effects on current taxes 161 294 - Tax loss carryforward/unused Tax credit 110 110 - Other effects of previous periods 51 184 b) Effects on deferred taxes (50) (23) - Changes in tax rates - - - New taxes incurred (+) previous taxes revocation (-) - - - True-ups/adjustments of the calculated deferred taxes (50) (23) 6. Valuation adjustments and non-recognition of deferred taxes 1,283 (552) a) Deferred tax assets write-down (38) (631) b) Deferred tax assets recognition 1,321 73 c) Deferred tax assets non-recognition - - d) Deferred tax assets non-recognition according to IAS12.39 and 12.44 - - e) Other - 6 7. Amortisation of goodwill - - 8. Non-taxable foreign income - - 9. Other differences (1) - Recognised taxes on income 934 309 Section 20 - Profit (Loss) after tax from discontinued operations - Item 290 No data to be disclosed in this section. Company financial statements | Notes to the accounts Part C - Income statement 694 2021 Annual Report and Accounts · UniCredit For the regime of conversion of DTAs into tax credits, refer to the paragraph “Guarantee fees for DTA conversion” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. 19.1 Tax expense (income) relating to profit or loss from continuing operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Current taxes (-) 7 67 2. Change of current taxes of previous years (+/-) 12 105 3. Reduction of current taxes for the year (+) 110 111 3.bis Reduction of current taxes for the year due tax credit under Law 214/2011 (+) 850 793 4. Change of deferred tax assets (+/-) (65) (784) 5. Change of deferred tax liabilities (+/-) 20 17 6. Tax expenses for the year (-) (-1+/-2+3+3bis+/-4+/-5) 934 309 19.2 Reconciliation of theoretical tax charge to actual tax charge (€ million) YEAR 2021 YEAR 2020 Profit (Loss) before tax from continuing operations (income statement item) 9,432 (3,041) Theoretical tax rate 27.5% 27.5% Theoretical computed taxes on income (2,594) 836 1. Different tax rates - - 2. Non-taxable income - permanent differences 2,452 1,042 3. Non-deductible expenses - permanent differences (270) (1,277) 4. Different fiscal laws/IRAP (47) (11) a) IRAP (italian companies) (33) - b) Other taxes (foreign companies) (14) (11) 5. Previous years and changes in tax rates 111 271 a) Effects on current taxes 161 294 - Tax loss carryforward/unused Tax credit 110 110 - Other effects of previous periods 51 184 b) Effects on deferred taxes (50) (23) - Changes in tax rates - - - New taxes incurred (+) previous taxes revocation (-) - - - True-ups/adjustments of the calculated deferred taxes (50) (23) 6. Valuation adjustments and non-recognition of deferred taxes 1,283 (552) a) Deferred tax assets write-down (38) (631) b) Deferred tax assets recognition 1,321 73 c) Deferred tax assets non-recognition - - d) Deferred tax assets non-recognition according to IAS12.39 and 12.44 - - e) Other - 6 7. Amortisation of goodwill - - 8. Non-taxable foreign income - - 9. Other differences (1) - Recognised taxes on income 934 309 Section 20 - Profit (Loss) after tax from discontinued operations - Item 290 No data to be disclosed in this section. Company financial statements | Notes to the accounts Part C - Income statement 694 2021 Annual Report and Accounts · UniCredit For the regime of conversion of DTAs into tax credits, refer to the paragraph “Guarantee fees for DTA conversion” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part C - Consolidated income statement, Section 12 - Administrative expenses - Item 190, which is herewith quoted entirely. 19.1 Tax expense (income) relating to profit or loss from continuing operations: breakdown (€ million) INCOME ITEMS/SECTORS YEAR 2021 YEAR 2020 1. Current taxes (-) 7 67 2. Change of current taxes of previous years (+/-) 12 105 3. Reduction of current taxes for the year (+) 110 111 3.bis Reduction of current taxes for the year due tax credit under Law 214/2011 (+) 850 793 4. Change of deferred tax assets (+/-) (65) (784) 5. Change of deferred tax liabilities (+/-) 20 17 6. Tax expenses for the year (-) (-1+/-2+3+3bis+/-4+/-5) 934 309 19.2 Reconciliation of theoretical tax charge to actual tax charge (€ million) YEAR 2021 YEAR 2020 Profit (Loss) before tax from continuing operations (income statement item) 9,432 (3,041) Theoretical tax rate 27.5% 27.5% Theoretical computed taxes on income (2,594) 836 1. Different tax rates - - 2. Non-taxable income - permanent differences 2,452 1,042 3. Non-deductible expenses - permanent differences (270) (1,277) 4. Different fiscal laws/IRAP (47) (11) a) IRAP (italian companies) (33) - b) Other taxes (foreign companies) (14) (11) 5. Previous years and changes in tax rates 111 271 a) Effects on current taxes 161 294 - Tax loss carryforward/unused Tax credit 110 110 - Other effects of previous periods 51 184 b) Effects on deferred taxes (50) (23) - Changes in tax rates - - - New taxes incurred (+) previous taxes revocation (-) - - - True-ups/adjustments of the calculated deferred taxes (50) (23) 6. Valuation adjustments and non-recognition of deferred taxes 1,283 (552) a) Deferred tax assets write-down (38) (631) b) Deferred tax assets recognition 1,321 73 c) Deferred tax assets non-recognition - - d) Deferred tax assets non-recognition according to IAS12.39 and 12.44 - - e) Other - 6 7. Amortisation of goodwill - - 8. Non-taxable foreign income - - 9. Other differences (1) - Recognised taxes on income 934 309 Section 20 - Profit (Loss) after tax from discontinued operations - Item 290 No data to be disclosed in this section. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 695 Section 21 - Other information Disclosure regarding the transparency of public funding required by article 1, paragraph 125 of the law 124/2017 Pursuant to Art.1, paragraph 125 of law 124/2017, during 2021 UniCredit S.p.A. collected the following public contributions granted by Italian entities: Reduction of the extraordinary contribution pursuant to Art.1, paragraph 235 of Law 232 of 11 December 2016 charged to the management of welfare interventions and pension support (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.49 Total 0.49 Contributions for the recruitment/stabilisation of personnel deriving from the application of the CCNL of the Credit in force from time to time (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 5.41 Total 5.41 Contributions for new recruits/stabilisations, introduced by the stability law 2018 (law No.205/2017) (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.72 Total 0.72 Article 8 of Legislative Decree 30/9/2005, n.203 converted, with modifications, from the law 2 December 2005, n.248. Compensatory measures for companies that assign the TFR to supplementary pension schemes and/or to the Fund for the payment of the TFR (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 8.37 Total 8.37 Result awards decontribution for year 2020 - Decree 50 of 24/4/2017 - article 55; converted into law 96 of 21/6/2017 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 2.81 Total 2.81 Ordinary Section of Solidarity Fund - Covid Absence - Decree Law 17 March 2020, n. 18 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 36.02 Total 36.02 Contribitions to alternation of work-schooling (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.78 Total 0.78 For further information, refer to the National State Aid Register "Transparency”. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 695 Section 21 - Other information Disclosure regarding the transparency of public funding required by article 1, paragraph 125 of the law 124/2017 Pursuant to Art.1, paragraph 125 of law 124/2017, during 2021 UniCredit S.p.A. collected the following public contributions granted by Italian entities: Reduction of the extraordinary contribution pursuant to Art.1, paragraph 235 of Law 232 of 11 December 2016 charged to the management of welfare interventions and pension support (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.49 Total 0.49 Contributions for the recruitment/stabilisation of personnel deriving from the application of the CCNL of the Credit in force from time to time (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 5.41 Total 5.41 Contributions for new recruits/stabilisations, introduced by the stability law 2018 (law No.205/2017) (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.72 Total 0.72 Article 8 of Legislative Decree 30/9/2005, n.203 converted, with modifications, from the law 2 December 2005, n.248. Compensatory measures for companies that assign the TFR to supplementary pension schemes and/or to the Fund for the payment of the TFR (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 8.37 Total 8.37 Result awards decontribution for year 2020 - Decree 50 of 24/4/2017 - article 55; converted into law 96 of 21/6/2017 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 2.81 Total 2.81 Ordinary Section of Solidarity Fund - Covid Absence - Decree Law 17 March 2020, n. 18 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 36.02 Total 36.02 Contribitions to alternation of work-schooling (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.78 Total 0.78 For further information, refer to the National State Aid Register "Transparency”. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 695 Section 21 - Other information Disclosure regarding the transparency of public funding required by article 1, paragraph 125 of the law 124/2017 Pursuant to Art.1, paragraph 125 of law 124/2017, during 2021 UniCredit S.p.A. collected the following public contributions granted by Italian entities: Reduction of the extraordinary contribution pursuant to Art.1, paragraph 235 of Law 232 of 11 December 2016 charged to the management of welfare interventions and pension support (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.49 Total 0.49 Contributions for the recruitment/stabilisation of personnel deriving from the application of the CCNL of the Credit in force from time to time (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 5.41 Total 5.41 Contributions for new recruits/stabilisations, introduced by the stability law 2018 (law No.205/2017) (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.72 Total 0.72 Article 8 of Legislative Decree 30/9/2005, n.203 converted, with modifications, from the law 2 December 2005, n.248. Compensatory measures for companies that assign the TFR to supplementary pension schemes and/or to the Fund for the payment of the TFR (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 8.37 Total 8.37 Result awards decontribution for year 2020 - Decree 50 of 24/4/2017 - article 55; converted into law 96 of 21/6/2017 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 2.81 Total 2.81 Ordinary Section of Solidarity Fund - Covid Absence - Decree Law 17 March 2020, n. 18 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 36.02 Total 36.02 Contribitions to alternation of work-schooling (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.78 Total 0.78 For further information, refer to the National State Aid Register "Transparency”. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 695 Section 21 - Other information Disclosure regarding the transparency of public funding required by article 1, paragraph 125 of the law 124/2017 Pursuant to Art.1, paragraph 125 of law 124/2017, during 2021 UniCredit S.p.A. collected the following public contributions granted by Italian entities: Reduction of the extraordinary contribution pursuant to Art.1, paragraph 235 of Law 232 of 11 December 2016 charged to the management of welfare interventions and pension support (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.49 Total 0.49 Contributions for the recruitment/stabilisation of personnel deriving from the application of the CCNL of the Credit in force from time to time (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 5.41 Total 5.41 Contributions for new recruits/stabilisations, introduced by the stability law 2018 (law No.205/2017) (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.72 Total 0.72 Article 8 of Legislative Decree 30/9/2005, n.203 converted, with modifications, from the law 2 December 2005, n.248. Compensatory measures for companies that assign the TFR to supplementary pension schemes and/or to the Fund for the payment of the TFR (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 8.37 Total 8.37 Result awards decontribution for year 2020 - Decree 50 of 24/4/2017 - article 55; converted into law 96 of 21/6/2017 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 2.81 Total 2.81 Ordinary Section of Solidarity Fund - Covid Absence - Decree Law 17 March 2020, n. 18 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 36.02 Total 36.02 Contribitions to alternation of work-schooling (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.78 Total 0.78 For further information, refer to the National State Aid Register "Transparency”. Company financial statements | Notes to the accounts Part C - Income statement UniCredit · 2021 Annual Report and Accounts 695 Section 21 - Other information Disclosure regarding the transparency of public funding required by article 1, paragraph 125 of the law 124/2017 Pursuant to Art.1, paragraph 125 of law 124/2017, during 2021 UniCredit S.p.A. collected the following public contributions granted by Italian entities: Reduction of the extraordinary contribution pursuant to Art.1, paragraph 235 of Law 232 of 11 December 2016 charged to the management of welfare interventions and pension support (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.49 Total 0.49 Contributions for the recruitment/stabilisation of personnel deriving from the application of the CCNL of the Credit in force from time to time (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Fondo Nazionale per il sostegno dell'occupazione nel settore del credito UNICREDIT S.P.A. 5.41 Total 5.41 Contributions for new recruits/stabilisations, introduced by the stability law 2018 (law No.205/2017) (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.72 Total 0.72 Article 8 of Legislative Decree 30/9/2005, n.203 converted, with modifications, from the law 2 December 2005, n.248. Compensatory measures for companies that assign the TFR to supplementary pension schemes and/or to the Fund for the payment of the TFR (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 8.37 Total 8.37 Result awards decontribution for year 2020 - Decree 50 of 24/4/2017 - article 55; converted into law 96 of 21/6/2017 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 2.81 Total 2.81 Ordinary Section of Solidarity Fund - Covid Absence - Decree Law 17 March 2020, n. 18 (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 36.02 Total 36.02 Contribitions to alternation of work-schooling (€ million) LENDING ENTITY LEGAL ENTITY BENEFICIARY PUBLIC CONTRIBUTION AMOUNT Istituto Nazionale della Previdenza Sociale UNICREDIT S.P.A. 0.78 Total 0.78 For further information, refer to the National State Aid Register "Transparency”. Company financial statements | Notes to the accounts Part C - Income statement 696 2021 Annual Report and Accounts · UniCredit Section 22 - Earnings per share 22.1 and 22.2 Average number of diluted shares and other information YEAR 2021 YEAR 2020 Net profit (Loss) (€ million) 10,336 (2,854) Average number of outstanding shares 2,221,699,263 2,226,668,543 Average number of potential dilutive shares 14,329,935 12,861,551 Average number of diluted shares 2,236,029,199 2,239,530,094 Earnings per share (€) 4.652 (1.282) Diluted earnings per share (€) 4.623 (1.274) €30 million has been deducted from the 2021 net profit of €10,366 million due to the disbursements (charged to net equity, which occurred in the first quarter of 2021 and relating to the last payment referring to the results of the year 2019) in connection with the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares supporting the issuance of convertible securities denominated “Cashes” (€122 million was added to 2020 net loss). Net of the average number of treasury shares, considering the shares buyback made during the financial year 2021 (part of them cancelled in October), and of further No.9,675,640 shares held under a contract of usufruct. Company financial statements | Notes to the accounts Part C - Income statement 696 2021 Annual Report and Accounts · UniCredit Section 22 - Earnings per share 22.1 and 22.2 Average number of diluted shares and other information YEAR 2021 YEAR 2020 Net profit (Loss) (€ million) 10,336 (2,854) Average number of outstanding shares 2,221,699,263 2,226,668,543 Average number of potential dilutive shares 14,329,935 12,861,551 Average number of diluted shares 2,236,029,199 2,239,530,094 Earnings per share (€) 4.652 (1.282) Diluted earnings per share (€) 4.623 (1.274) €30 million has been deducted from the 2021 net profit of €10,366 million due to the disbursements (charged to net equity, which occurred in the first quarter of 2021 and relating to the last payment referring to the results of the year 2019) in connection with the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares supporting the issuance of convertible securities denominated “Cashes” (€122 million was added to 2020 net loss). Net of the average number of treasury shares, considering the shares buyback made during the financial year 2021 (part of them cancelled in October), and of further No.9,675,640 shares held under a contract of usufruct. Company financial statements | Notes to the accounts Part C - Income statement 696 2021 Annual Report and Accounts · UniCredit Section 22 - Earnings per share 22.1 and 22.2 Average number of diluted shares and other information YEAR 2021 YEAR 2020 Net profit (Loss) (€ million) 10,336 (2,854) Average number of outstanding shares 2,221,699,263 2,226,668,543 Average number of potential dilutive shares 14,329,935 12,861,551 Average number of diluted shares 2,236,029,199 2,239,530,094 Earnings per share (€) 4.652 (1.282) Diluted earnings per share (€) 4.623 (1.274) €30 million has been deducted from the 2021 net profit of €10,366 million due to the disbursements (charged to net equity, which occurred in the first quarter of 2021 and relating to the last payment referring to the results of the year 2019) in connection with the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares supporting the issuance of convertible securities denominated “Cashes” (€122 million was added to 2020 net loss). Net of the average number of treasury shares, considering the shares buyback made during the financial year 2021 (part of them cancelled in October), and of further No.9,675,640 shares held under a contract of usufruct. Company financial statements | Notes to the accounts Part C - Income statement 696 2021 Annual Report and Accounts · UniCredit Section 22 - Earnings per share 22.1 and 22.2 Average number of diluted shares and other information YEAR 2021 YEAR 2020 Net profit (Loss) (€ million) 10,336 (2,854) Average number of outstanding shares 2,221,699,263 2,226,668,543 Average number of potential dilutive shares 14,329,935 12,861,551 Average number of diluted shares 2,236,029,199 2,239,530,094 Earnings per share (€) 4.652 (1.282) Diluted earnings per share (€) 4.623 (1.274) €30 million has been deducted from the 2021 net profit of €10,366 million due to the disbursements (charged to net equity, which occurred in the first quarter of 2021 and relating to the last payment referring to the results of the year 2019) in connection with the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares supporting the issuance of convertible securities denominated “Cashes” (€122 million was added to 2020 net loss). Net of the average number of treasury shares, considering the shares buyback made during the financial year 2021 (part of them cancelled in October), and of further No.9,675,640 shares held under a contract of usufruct. Company financial statements | Notes to the accounts Part C - Income statement 696 2021 Annual Report and Accounts · UniCredit Section 22 - Earnings per share 22.1 and 22.2 Average number of diluted shares and other information YEAR 2021 YEAR 2020 Net profit (Loss) (€ million) 10,336 (2,854) Average number of outstanding shares 2,221,699,263 2,226,668,543 Average number of potential dilutive shares 14,329,935 12,861,551 Average number of diluted shares 2,236,029,199 2,239,530,094 Earnings per share (€) 4.652 (1.282) Diluted earnings per share (€) 4.623 (1.274) €30 million has been deducted from the 2021 net profit of €10,366 million due to the disbursements (charged to net equity, which occurred in the first quarter of 2021 and relating to the last payment referring to the results of the year 2019) in connection with the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares supporting the issuance of convertible securities denominated “Cashes” (€122 million was added to 2020 net loss). Net of the average number of treasury shares, considering the shares buyback made during the financial year 2021 (part of them cancelled in October), and of further No.9,675,640 shares held under a contract of usufruct. Company financial statements | Notes to the accounts Part D - Other comprehensive income UniCredit · 2021 Annual Report and Accounts 697 Analytical statement of other comprehensive income (€) YEAR ITEMS 2021 2020 10. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Other comprehensive income not reclassified to profit or loss 20. Equity instruments designated at fair value through other comprehensive income: 91,274,929 (113,710,793) a) fair value changes 66,536,716 (92,552,518) b) tranfers to other shareholders' equity items 24,738,213 (21,158,275) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes): 84,727,998 (100,511,628) a) fair value changes 18,128,938 (159,350,549) b) tranfers to other shareholders' equity items 66,599,060 58,838,921 40. Hedge accounting of equity instruments measured at fair value through other comprehensive income: - - a) fair value change (hedged instrument) - - b) fair value change (hedging instrument) - - 50. Property, plant and equipment 24,051,515 11,148,717 60. Intangible assets - - 70. Defined benefit plans 10,241,546 (18,777,823) 80. Non-current assets and disposal groups classified as held for sale (2,464,263) (256,874) 90. Part of valuation reserves from investments valued at equity method - - 100. Tax expenses (income) relating to items not reclassified to profit or loss 127,709,812 34,739,773 Other comprehensive income reclassified to profit or loss 110. Foreign investments hedging: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 120. Foreign exchange differences: - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 130. Cash flow hedging: 132,676,634 (107,491,719) a) fair value changes 132,676,634 (107,491,719) b) reclassification to profit or loss - - c) other changes - - of which: net position - - 140. Hedging instruments (not designated items): - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 150. Financial assets (different from equity instruments) at fair value through other comprehensive income: (136,142,230) 251,770,865 a) fair value changes (49,980,489) 276,887,976 b) reclassification to profit or loss: (86,726,891) (19,987,458) - impairment losses 13,405,327 10,129,007 - gains/losses on disposals (100,132,218) (30,116,465) c) other changes 565,150 (5,129,653) 160. Non-current assets and disposal groups classified as held for sale: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 170. Part of valuation reserves from investments valued at equity method: - - a) fair value changes - - b) reclassification to profit or loss: - - - impairment losses - - - gains/losses on disposals - - c) other changes - - 180. Tax expenses (income) relating to items reclassified to profit or loss 16,455,236 (33,811,310) 190. Total other comprehensive income 348,531,177 (76,900,792) 200. Other comprehensive income (Item 10+190) 10,714,726,927 (2,808,713,078) Part D - Comprehensive income Company financial statements | Notes to the accounts Part D - Other comprehensive income UniCredit · 2021 Annual Report and Accounts 697 Analytical statement of other comprehensive income (€) YEAR ITEMS 2021 2020 10. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Other comprehensive income not reclassified to profit or loss 20. Equity instruments designated at fair value through other comprehensive income: 91,274,929 (113,710,793) a) fair value changes 66,536,716 (92,552,518) b) tranfers to other shareholders' equity items 24,738,213 (21,158,275) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes): 84,727,998 (100,511,628) a) fair value changes 18,128,938 (159,350,549) b) tranfers to other shareholders' equity items 66,599,060 58,838,921 40. Hedge accounting of equity instruments measured at fair value through other comprehensive income: - - a) fair value change (hedged instrument) - - b) fair value change (hedging instrument) - - 50. Property, plant and equipment 24,051,515 11,148,717 60. Intangible assets - - 70. Defined benefit plans 10,241,546 (18,777,823) 80. Non-current assets and disposal groups classified as held for sale (2,464,263) (256,874) 90. Part of valuation reserves from investments valued at equity method - - 100. Tax expenses (income) relating to items not reclassified to profit or loss 127,709,812 34,739,773 Other comprehensive income reclassified to profit or loss 110. Foreign investments hedging: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 120. Foreign exchange differences: - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 130. Cash flow hedging: 132,676,634 (107,491,719) a) fair value changes 132,676,634 (107,491,719) b) reclassification to profit or loss - - c) other changes - - of which: net position - - 140. Hedging instruments (not designated items): - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 150. Financial assets (different from equity instruments) at fair value through other comprehensive income: (136,142,230) 251,770,865 a) fair value changes (49,980,489) 276,887,976 b) reclassification to profit or loss: (86,726,891) (19,987,458) - impairment losses 13,405,327 10,129,007 - gains/losses on disposals (100,132,218) (30,116,465) c) other changes 565,150 (5,129,653) 160. Non-current assets and disposal groups classified as held for sale: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 170. Part of valuation reserves from investments valued at equity method: - - a) fair value changes - - b) reclassification to profit or loss: - - - impairment losses - - - gains/losses on disposals - - c) other changes - - 180. Tax expenses (income) relating to items reclassified to profit or loss 16,455,236 (33,811,310) 190. Total other comprehensive income 348,531,177 (76,900,792) 200. Other comprehensive income (Item 10+190) 10,714,726,927 (2,808,713,078) Part D - Comprehensive income Company financial statements | Notes to the accounts Part D - Other comprehensive income UniCredit · 2021 Annual Report and Accounts 697 Analytical statement of other comprehensive income (€) YEAR ITEMS 2021 2020 10. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Other comprehensive income not reclassified to profit or loss 20. Equity instruments designated at fair value through other comprehensive income: 91,274,929 (113,710,793) a) fair value changes 66,536,716 (92,552,518) b) tranfers to other shareholders' equity items 24,738,213 (21,158,275) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes): 84,727,998 (100,511,628) a) fair value changes 18,128,938 (159,350,549) b) tranfers to other shareholders' equity items 66,599,060 58,838,921 40. Hedge accounting of equity instruments measured at fair value through other comprehensive income: - - a) fair value change (hedged instrument) - - b) fair value change (hedging instrument) - - 50. Property, plant and equipment 24,051,515 11,148,717 60. Intangible assets - - 70. Defined benefit plans 10,241,546 (18,777,823) 80. Non-current assets and disposal groups classified as held for sale (2,464,263) (256,874) 90. Part of valuation reserves from investments valued at equity method - - 100. Tax expenses (income) relating to items not reclassified to profit or loss 127,709,812 34,739,773 Other comprehensive income reclassified to profit or loss 110. Foreign investments hedging: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 120. Foreign exchange differences: - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 130. Cash flow hedging: 132,676,634 (107,491,719) a) fair value changes 132,676,634 (107,491,719) b) reclassification to profit or loss - - c) other changes - - of which: net position - - 140. Hedging instruments (not designated items): - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 150. Financial assets (different from equity instruments) at fair value through other comprehensive income: (136,142,230) 251,770,865 a) fair value changes (49,980,489) 276,887,976 b) reclassification to profit or loss: (86,726,891) (19,987,458) - impairment losses 13,405,327 10,129,007 - gains/losses on disposals (100,132,218) (30,116,465) c) other changes 565,150 (5,129,653) 160. Non-current assets and disposal groups classified as held for sale: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 170. Part of valuation reserves from investments valued at equity method: - - a) fair value changes - - b) reclassification to profit or loss: - - - impairment losses - - - gains/losses on disposals - - c) other changes - - 180. Tax expenses (income) relating to items reclassified to profit or loss 16,455,236 (33,811,310) 190. Total other comprehensive income 348,531,177 (76,900,792) 200. Other comprehensive income (Item 10+190) 10,714,726,927 (2,808,713,078) Part D - Comprehensive income Company financial statements | Notes to the accounts Part D - Other comprehensive income UniCredit · 2021 Annual Report and Accounts 697 Analytical statement of other comprehensive income (€) YEAR ITEMS 2021 2020 10. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Other comprehensive income not reclassified to profit or loss 20. Equity instruments designated at fair value through other comprehensive income: 91,274,929 (113,710,793) a) fair value changes 66,536,716 (92,552,518) b) tranfers to other shareholders' equity items 24,738,213 (21,158,275) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes): 84,727,998 (100,511,628) a) fair value changes 18,128,938 (159,350,549) b) tranfers to other shareholders' equity items 66,599,060 58,838,921 40. Hedge accounting of equity instruments measured at fair value through other comprehensive income: - - a) fair value change (hedged instrument) - - b) fair value change (hedging instrument) - - 50. Property, plant and equipment 24,051,515 11,148,717 60. Intangible assets - - 70. Defined benefit plans 10,241,546 (18,777,823) 80. Non-current assets and disposal groups classified as held for sale (2,464,263) (256,874) 90. Part of valuation reserves from investments valued at equity method - - 100. Tax expenses (income) relating to items not reclassified to profit or loss 127,709,812 34,739,773 Other comprehensive income reclassified to profit or loss 110. Foreign investments hedging: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 120. Foreign exchange differences: - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 130. Cash flow hedging: 132,676,634 (107,491,719) a) fair value changes 132,676,634 (107,491,719) b) reclassification to profit or loss - - c) other changes - - of which: net position - - 140. Hedging instruments (not designated items): - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 150. Financial assets (different from equity instruments) at fair value through other comprehensive income: (136,142,230) 251,770,865 a) fair value changes (49,980,489) 276,887,976 b) reclassification to profit or loss: (86,726,891) (19,987,458) - impairment losses 13,405,327 10,129,007 - gains/losses on disposals (100,132,218) (30,116,465) c) other changes 565,150 (5,129,653) 160. Non-current assets and disposal groups classified as held for sale: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 170. Part of valuation reserves from investments valued at equity method: - - a) fair value changes - - b) reclassification to profit or loss: - - - impairment losses - - - gains/losses on disposals - - c) other changes - - 180. Tax expenses (income) relating to items reclassified to profit or loss 16,455,236 (33,811,310) 190. Total other comprehensive income 348,531,177 (76,900,792) 200. Other comprehensive income (Item 10+190) 10,714,726,927 (2,808,713,078) Part D - Comprehensive income Company financial statements | Notes to the accounts Part D - Other comprehensive income UniCredit · 2021 Annual Report and Accounts 697 Analytical statement of other comprehensive income (€) YEAR ITEMS 2021 2020 10. Profit (Loss) of the year 10,366,195,750 (2,731,812,286) Other comprehensive income not reclassified to profit or loss 20. Equity instruments designated at fair value through other comprehensive income: 91,274,929 (113,710,793) a) fair value changes 66,536,716 (92,552,518) b) tranfers to other shareholders' equity items 24,738,213 (21,158,275) 30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes): 84,727,998 (100,511,628) a) fair value changes 18,128,938 (159,350,549) b) tranfers to other shareholders' equity items 66,599,060 58,838,921 40. Hedge accounting of equity instruments measured at fair value through other comprehensive income: - - a) fair value change (hedged instrument) - - b) fair value change (hedging instrument) - - 50. Property, plant and equipment 24,051,515 11,148,717 60. Intangible assets - - 70. Defined benefit plans 10,241,546 (18,777,823) 80. Non-current assets and disposal groups classified as held for sale (2,464,263) (256,874) 90. Part of valuation reserves from investments valued at equity method - - 100. Tax expenses (income) relating to items not reclassified to profit or loss 127,709,812 34,739,773 Other comprehensive income reclassified to profit or loss 110. Foreign investments hedging: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 120. Foreign exchange differences: - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 130. Cash flow hedging: 132,676,634 (107,491,719) a) fair value changes 132,676,634 (107,491,719) b) reclassification to profit or loss - - c) other changes - - of which: net position - - 140. Hedging instruments (not designated items): - - a) value changes - - b) reclassification to profit or loss - - c) other changes - - 150. Financial assets (different from equity instruments) at fair value through other comprehensive income: (136,142,230) 251,770,865 a) fair value changes (49,980,489) 276,887,976 b) reclassification to profit or loss: (86,726,891) (19,987,458) - impairment losses 13,405,327 10,129,007 - gains/losses on disposals (100,132,218) (30,116,465) c) other changes 565,150 (5,129,653) 160. Non-current assets and disposal groups classified as held for sale: - - a) fair value changes - - b) reclassification to profit or loss - - c) other changes - - 170. Part of valuation reserves from investments valued at equity method: - - a) fair value changes - - b) reclassification to profit or loss: - - - impairment losses - - - gains/losses on disposals - - c) other changes - - 180. Tax expenses (income) relating to items reclassified to profit or loss 16,455,236 (33,811,310) 190. Total other comprehensive income 348,531,177 (76,900,792) 200. Other comprehensive income (Item 10+190) 10,714,726,927 (2,808,713,078) Part D - Comprehensive income Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 698 2021 Annual Report and Accounts · UniCredit Part E - Information on risks and hedging policies Introduction Reference is made to the paragraph “Introduction” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, which is herewith quoted entirely. Section 1 - Credit risk Qualitative information 1. General aspects Credit policies Reference is made to the paragraph “1. General aspects - Credit policies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, which is herewith quoted entirely. Credit strategies Reference is made to the paragraph “1. General aspects - Credit strategies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. Effects arising from Covid-19 pandemic Reference is made to the paragraph “1. General Aspects - Effects arising from Covid-19 pandemic” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2. Credit risk management policies 2.1 Organisational aspects In credit risk management, the organisational structure as at 31 December 2021, envisages specific structures and responsibilities at Group and local level. Regarding the Organisational model of the Parent company functions, reference is made to the paragraph “2.1 Organisational aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. With specific reference to the Italian perimeter of UniCredit S.p.A., the “Risk Italy” function is responsible for credit risk and non-financial risk oversight: it coordinates and manages the activities of competence regarding the credit granting, credit monitoring, restructuring and workout activities, it is also responsible for analysing and monitoring the riskiness and overall credit quality of the Italian loan portfolio, identifying anomalies in relation to expectations and identifying corrective actions, as well as for the definition and monitoring of the credit strategies both for performing and non-performing loans; it is also in charge of the definition of credit operating rules and policies, consistently with standards defined by Group Risk Management structures, as well as for the identification, management and monitoring of operational risks, supporting the related business functions. The structure is also responsible for the managerial coordination of the credit activities of UniCredit S.p.A. Italian Legal Entities. The organisational units under “Risk Italy” are the following: • the “Credit Risk Framework & Rules Italy” structure whose responsibilities include the following activities: - designing and maintaining credit processes considering Business and Risk needs, regulatory requirements (requirements definition and user acceptance); - definition of relevant credit operating rules and policies, consistent with the strategic guidelines, credit policies and standards/methods defined by the dedicated Group Risk Management structures, collaborating with Business structures; - guiding the transformation of lending processes through the prioritization and coordination of dedicated projects and initiatives, including related ICT investments and relevant functions. The structure consists of the following units: - “Managerial Models & Credit Engines”; - “Origination Individuals Credit Framework”; - “Origination Enterprises & Cib Credit Framework”; - “Credit Administration Framework”; - “Monitoring & Npe Framework”; - “Credit Products & Policies”; • the “Credit Risk Management Italy” structure whose responsibilities include the following activities for the Italian perimeter: - providing Top Management with a current view of credit risk; Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 698 2021 Annual Report and Accounts · UniCredit Part E - Information on risks and hedging policies Introduction Reference is made to the paragraph “Introduction” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, which is herewith quoted entirely. Section 1 - Credit risk Qualitative information 1. General aspects Credit policies Reference is made to the paragraph “1. General aspects - Credit policies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, which is herewith quoted entirely. Credit strategies Reference is made to the paragraph “1. General aspects - Credit strategies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. Effects arising from Covid-19 pandemic Reference is made to the paragraph “1. General Aspects - Effects arising from Covid-19 pandemic” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2. Credit risk management policies 2.1 Organisational aspects In credit risk management, the organisational structure as at 31 December 2021, envisages specific structures and responsibilities at Group and local level. Regarding the Organisational model of the Parent company functions, reference is made to the paragraph “2.1 Organisational aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. With specific reference to the Italian perimeter of UniCredit S.p.A., the “Risk Italy” function is responsible for credit risk and non-financial risk oversight: it coordinates and manages the activities of competence regarding the credit granting, credit monitoring, restructuring and workout activities, it is also responsible for analysing and monitoring the riskiness and overall credit quality of the Italian loan portfolio, identifying anomalies in relation to expectations and identifying corrective actions, as well as for the definition and monitoring of the credit strategies both for performing and non-performing loans; it is also in charge of the definition of credit operating rules and policies, consistently with standards defined by Group Risk Management structures, as well as for the identification, management and monitoring of operational risks, supporting the related business functions. The structure is also responsible for the managerial coordination of the credit activities of UniCredit S.p.A. Italian Legal Entities. The organisational units under “Risk Italy” are the following: • the “Credit Risk Framework & Rules Italy” structure whose responsibilities include the following activities: - designing and maintaining credit processes considering Business and Risk needs, regulatory requirements (requirements definition and user acceptance); - definition of relevant credit operating rules and policies, consistent with the strategic guidelines, credit policies and standards/methods defined by the dedicated Group Risk Management structures, collaborating with Business structures; - guiding the transformation of lending processes through the prioritization and coordination of dedicated projects and initiatives, including related ICT investments and relevant functions. The structure consists of the following units: - “Managerial Models & Credit Engines”; - “Origination Individuals Credit Framework”; - “Origination Enterprises & Cib Credit Framework”; - “Credit Administration Framework”; - “Monitoring & Npe Framework”; - “Credit Products & Policies”; • the “Credit Risk Management Italy” structure whose responsibilities include the following activities for the Italian perimeter: - providing Top Management with a current view of credit risk; Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 698 2021 Annual Report and Accounts · UniCredit Part E - Information on risks and hedging policies Introduction Reference is made to the paragraph “Introduction” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, which is herewith quoted entirely. Section 1 - Credit risk Qualitative information 1. General aspects Credit policies Reference is made to the paragraph “1. General aspects - Credit policies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, which is herewith quoted entirely. Credit strategies Reference is made to the paragraph “1. General aspects - Credit strategies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. Effects arising from Covid-19 pandemic Reference is made to the paragraph “1. General Aspects - Effects arising from Covid-19 pandemic” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2. Credit risk management policies 2.1 Organisational aspects In credit risk management, the organisational structure as at 31 December 2021, envisages specific structures and responsibilities at Group and local level. Regarding the Organisational model of the Parent company functions, reference is made to the paragraph “2.1 Organisational aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. With specific reference to the Italian perimeter of UniCredit S.p.A., the “Risk Italy” function is responsible for credit risk and non-financial risk oversight: it coordinates and manages the activities of competence regarding the credit granting, credit monitoring, restructuring and workout activities, it is also responsible for analysing and monitoring the riskiness and overall credit quality of the Italian loan portfolio, identifying anomalies in relation to expectations and identifying corrective actions, as well as for the definition and monitoring of the credit strategies both for performing and non-performing loans; it is also in charge of the definition of credit operating rules and policies, consistently with standards defined by Group Risk Management structures, as well as for the identification, management and monitoring of operational risks, supporting the related business functions. The structure is also responsible for the managerial coordination of the credit activities of UniCredit S.p.A. Italian Legal Entities. The organisational units under “Risk Italy” are the following: • the “Credit Risk Framework & Rules Italy” structure whose responsibilities include the following activities: - designing and maintaining credit processes considering Business and Risk needs, regulatory requirements (requirements definition and user acceptance); - definition of relevant credit operating rules and policies, consistent with the strategic guidelines, credit policies and standards/methods defined by the dedicated Group Risk Management structures, collaborating with Business structures; - guiding the transformation of lending processes through the prioritization and coordination of dedicated projects and initiatives, including related ICT investments and relevant functions. The structure consists of the following units: - “Managerial Models & Credit Engines”; - “Origination Individuals Credit Framework”; - “Origination Enterprises & Cib Credit Framework”; - “Credit Administration Framework”; - “Monitoring & Npe Framework”; - “Credit Products & Policies”; • the “Credit Risk Management Italy” structure whose responsibilities include the following activities for the Italian perimeter: - providing Top Management with a current view of credit risk; Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 698 2021 Annual Report and Accounts · UniCredit Part E - Information on risks and hedging policies Introduction Reference is made to the paragraph “Introduction” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, which is herewith quoted entirely. Section 1 - Credit risk Qualitative information 1. General aspects Credit policies Reference is made to the paragraph “1. General aspects - Credit policies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, which is herewith quoted entirely. Credit strategies Reference is made to the paragraph “1. General aspects - Credit strategies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. Effects arising from Covid-19 pandemic Reference is made to the paragraph “1. General Aspects - Effects arising from Covid-19 pandemic” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2. Credit risk management policies 2.1 Organisational aspects In credit risk management, the organisational structure as at 31 December 2021, envisages specific structures and responsibilities at Group and local level. Regarding the Organisational model of the Parent company functions, reference is made to the paragraph “2.1 Organisational aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. With specific reference to the Italian perimeter of UniCredit S.p.A., the “Risk Italy” function is responsible for credit risk and non-financial risk oversight: it coordinates and manages the activities of competence regarding the credit granting, credit monitoring, restructuring and workout activities, it is also responsible for analysing and monitoring the riskiness and overall credit quality of the Italian loan portfolio, identifying anomalies in relation to expectations and identifying corrective actions, as well as for the definition and monitoring of the credit strategies both for performing and non-performing loans; it is also in charge of the definition of credit operating rules and policies, consistently with standards defined by Group Risk Management structures, as well as for the identification, management and monitoring of operational risks, supporting the related business functions. The structure is also responsible for the managerial coordination of the credit activities of UniCredit S.p.A. Italian Legal Entities. The organisational units under “Risk Italy” are the following: • the “Credit Risk Framework & Rules Italy” structure whose responsibilities include the following activities: - designing and maintaining credit processes considering Business and Risk needs, regulatory requirements (requirements definition and user acceptance); - definition of relevant credit operating rules and policies, consistent with the strategic guidelines, credit policies and standards/methods defined by the dedicated Group Risk Management structures, collaborating with Business structures; - guiding the transformation of lending processes through the prioritization and coordination of dedicated projects and initiatives, including related ICT investments and relevant functions. The structure consists of the following units: - “Managerial Models & Credit Engines”; - “Origination Individuals Credit Framework”; - “Origination Enterprises & Cib Credit Framework”; - “Credit Administration Framework”; - “Monitoring & Npe Framework”; - “Credit Products & Policies”; • the “Credit Risk Management Italy” structure whose responsibilities include the following activities for the Italian perimeter: - providing Top Management with a current view of credit risk; Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 698 2021 Annual Report and Accounts · UniCredit Part E - Information on risks and hedging policies Introduction Reference is made to the paragraph “Introduction” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, which is herewith quoted entirely. Section 1 - Credit risk Qualitative information 1. General aspects Credit policies Reference is made to the paragraph “1. General aspects - Credit policies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, which is herewith quoted entirely. Credit strategies Reference is made to the paragraph “1. General aspects - Credit strategies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. Effects arising from Covid-19 pandemic Reference is made to the paragraph “1. General Aspects - Effects arising from Covid-19 pandemic” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2. Credit risk management policies 2.1 Organisational aspects In credit risk management, the organisational structure as at 31 December 2021, envisages specific structures and responsibilities at Group and local level. Regarding the Organisational model of the Parent company functions, reference is made to the paragraph “2.1 Organisational aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. With specific reference to the Italian perimeter of UniCredit S.p.A., the “Risk Italy” function is responsible for credit risk and non-financial risk oversight: it coordinates and manages the activities of competence regarding the credit granting, credit monitoring, restructuring and workout activities, it is also responsible for analysing and monitoring the riskiness and overall credit quality of the Italian loan portfolio, identifying anomalies in relation to expectations and identifying corrective actions, as well as for the definition and monitoring of the credit strategies both for performing and non-performing loans; it is also in charge of the definition of credit operating rules and policies, consistently with standards defined by Group Risk Management structures, as well as for the identification, management and monitoring of operational risks, supporting the related business functions. The structure is also responsible for the managerial coordination of the credit activities of UniCredit S.p.A. Italian Legal Entities. The organisational units under “Risk Italy” are the following: • the “Credit Risk Framework & Rules Italy” structure whose responsibilities include the following activities: - designing and maintaining credit processes considering Business and Risk needs, regulatory requirements (requirements definition and user acceptance); - definition of relevant credit operating rules and policies, consistent with the strategic guidelines, credit policies and standards/methods defined by the dedicated Group Risk Management structures, collaborating with Business structures; - guiding the transformation of lending processes through the prioritization and coordination of dedicated projects and initiatives, including related ICT investments and relevant functions. The structure consists of the following units: - “Managerial Models & Credit Engines”; - “Origination Individuals Credit Framework”; - “Origination Enterprises & Cib Credit Framework”; - “Credit Administration Framework”; - “Monitoring & Npe Framework”; - “Credit Products & Policies”; • the “Credit Risk Management Italy” structure whose responsibilities include the following activities for the Italian perimeter: - providing Top Management with a current view of credit risk; Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 699 - definition and monitoring process of credit strategies (both for performing and non-performing loans), the monitoring, on a periodic basis, of the overall credit portfolio; - the AQ planning, the provisions, the RWAs and the capital absorption for performing and non-performing loans; - periodical analysis production in order to give to the Top Management a credit risk profile view; - defining the provisioning methodology and the framework of second-level controls on UniCredit S.p.A.'s portfolio of Performing and Non-Performing loans, as well as carrying out such controls on the perimeter of competence. The structure consists of the following units: - “Credit Risk Strategies & Planning Italy”; - “Credit Risk Portfolio Analytics Italy”; - “Credit Risk Control Italy”; • the “Non-Financial Risk Italy” structure whose responsibilities include the following activities for the Italian perimeter of UniCredit S.p.A.: - identification, management and monitoring of operational risks, also by executing specific risk assessment activities (e.g., on relevant transactions); - identifying, assessing and monitoring the most relevant ICT and Cyber Risks areas in coherence with Group ICT and Cyber Risk framework. • the “Credit Underwriting” structure whose responsibilities include the following activities: - coordinating the activities of 8 Regional Industry Team; - RIT decision-making activities; - managing the lending to UniCredit S.p.A. customers; - coordinating and managing the lending to UniCredit S.p.A. customers in relation to Consumer and Mortgage non-banking products and post-sales phases; - preliminary and administrative activities for transactions to be submitted to the Italy Transactional Credit Committee (ITCC). The structure consists of the following units: - “Credit Committee Secretariat”; - “Central Credit Risk Underwriting Italy”; - “Individuals Credit Underwriting Italy”; - “Territorial Credit Risk Underwriting Italy” composed by 7 territorial Credit Hubs; • the “Credit Monitoring” structure whose responsibilities include the following activities: - ensure the quality of the loan portfolio through performance monitoring of the positions, risk analysis and identification of corrective measures; - support the Business functions in monitoring the credit portfolio of the territorial areas, analysing the performance and implementing the corrective measures required. The structure consists of the following functions: - “Credit Monitoring Operations & Support”; - “Central Credit Monitoring”; - “Territorial Credit Monitoring” composed by 7 Territorial Monitoring Hubs; - “Individuals Credit Monitoring & Retail classification”; - “Customer Recovery”; • the “Npe Operational Management Italy” responsible for coordinating and managing the restructuring and workout files of UniCredit S.p.A. related to the non-performing portfolio. The structure consists of the following functions: - “Non Core Risk Analysis & Operations”; - “Non Core Restructuring Italy”; - “Non Core Special Credit”; - “Restructuring Italy”; - “Risk Analysis & Operations”; - “Special Credit”; • in addition, with respect to credit risk, specific committee has been set up: the “Italy Transactional Credit Committee”, which is responsible, within its assigned sub-delegated powers, to evaluate and approve the underwriting and the review of the credit lines and to evaluate and approve the loan loss provisions, asset value adjustments and releases of capital and/or capitalised interests related to performing and non-performing portfolio of UniCredit S.p.A., with the exclusion of Banks, Financial Institutions and Sovereign(FIBS), as well as of the “Investment Banking” segment. 2.2 Credit risk management, measurement and control 2.2.1 Credit risk management Reference is made to the paragraph “2.2.1 Credit risk management” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 699 - definition and monitoring process of credit strategies (both for performing and non-performing loans), the monitoring, on a periodic basis, of the overall credit portfolio; - the AQ planning, the provisions, the RWAs and the capital absorption for performing and non-performing loans; - periodical analysis production in order to give to the Top Management a credit risk profile view; - defining the provisioning methodology and the framework of second-level controls on UniCredit S.p.A.'s portfolio of Performing and Non-Performing loans, as well as carrying out such controls on the perimeter of competence. The structure consists of the following units: - “Credit Risk Strategies & Planning Italy”; - “Credit Risk Portfolio Analytics Italy”; - “Credit Risk Control Italy”; • the “Non-Financial Risk Italy” structure whose responsibilities include the following activities for the Italian perimeter of UniCredit S.p.A.: - identification, management and monitoring of operational risks, also by executing specific risk assessment activities (e.g., on relevant transactions); - identifying, assessing and monitoring the most relevant ICT and Cyber Risks areas in coherence with Group ICT and Cyber Risk framework. • the “Credit Underwriting” structure whose responsibilities include the following activities: - coordinating the activities of 8 Regional Industry Team; - RIT decision-making activities; - managing the lending to UniCredit S.p.A. customers; - coordinating and managing the lending to UniCredit S.p.A. customers in relation to Consumer and Mortgage non-banking products and post-sales phases; - preliminary and administrative activities for transactions to be submitted to the Italy Transactional Credit Committee (ITCC). The structure consists of the following units: - “Credit Committee Secretariat”; - “Central Credit Risk Underwriting Italy”; - “Individuals Credit Underwriting Italy”; - “Territorial Credit Risk Underwriting Italy” composed by 7 territorial Credit Hubs; • the “Credit Monitoring” structure whose responsibilities include the following activities: - ensure the quality of the loan portfolio through performance monitoring of the positions, risk analysis and identification of corrective measures; - support the Business functions in monitoring the credit portfolio of the territorial areas, analysing the performance and implementing the corrective measures required. The structure consists of the following functions: - “Credit Monitoring Operations & Support”; - “Central Credit Monitoring”; - “Territorial Credit Monitoring” composed by 7 Territorial Monitoring Hubs; - “Individuals Credit Monitoring & Retail classification”; - “Customer Recovery”; • the “Npe Operational Management Italy” responsible for coordinating and managing the restructuring and workout files of UniCredit S.p.A. related to the non-performing portfolio. The structure consists of the following functions: - “Non Core Risk Analysis & Operations”; - “Non Core Restructuring Italy”; - “Non Core Special Credit”; - “Restructuring Italy”; - “Risk Analysis & Operations”; - “Special Credit”; • in addition, with respect to credit risk, specific committee has been set up: the “Italy Transactional Credit Committee”, which is responsible, within its assigned sub-delegated powers, to evaluate and approve the underwriting and the review of the credit lines and to evaluate and approve the loan loss provisions, asset value adjustments and releases of capital and/or capitalised interests related to performing and non-performing portfolio of UniCredit S.p.A., with the exclusion of Banks, Financial Institutions and Sovereign(FIBS), as well as of the “Investment Banking” segment. 2.2 Credit risk management, measurement and control 2.2.1 Credit risk management Reference is made to the paragraph “2.2.1 Credit risk management” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 699 - definition and monitoring process of credit strategies (both for performing and non-performing loans), the monitoring, on a periodic basis, of the overall credit portfolio; - the AQ planning, the provisions, the RWAs and the capital absorption for performing and non-performing loans; - periodical analysis production in order to give to the Top Management a credit risk profile view; - defining the provisioning methodology and the framework of second-level controls on UniCredit S.p.A.'s portfolio of Performing and Non-Performing loans, as well as carrying out such controls on the perimeter of competence. The structure consists of the following units: - “Credit Risk Strategies & Planning Italy”; - “Credit Risk Portfolio Analytics Italy”; - “Credit Risk Control Italy”; • the “Non-Financial Risk Italy” structure whose responsibilities include the following activities for the Italian perimeter of UniCredit S.p.A.: - identification, management and monitoring of operational risks, also by executing specific risk assessment activities (e.g., on relevant transactions); - identifying, assessing and monitoring the most relevant ICT and Cyber Risks areas in coherence with Group ICT and Cyber Risk framework. • the “Credit Underwriting” structure whose responsibilities include the following activities: - coordinating the activities of 8 Regional Industry Team; - RIT decision-making activities; - managing the lending to UniCredit S.p.A. customers; - coordinating and managing the lending to UniCredit S.p.A. customers in relation to Consumer and Mortgage non-banking products and post-sales phases; - preliminary and administrative activities for transactions to be submitted to the Italy Transactional Credit Committee (ITCC). The structure consists of the following units: - “Credit Committee Secretariat”; - “Central Credit Risk Underwriting Italy”; - “Individuals Credit Underwriting Italy”; - “Territorial Credit Risk Underwriting Italy” composed by 7 territorial Credit Hubs; • the “Credit Monitoring” structure whose responsibilities include the following activities: - ensure the quality of the loan portfolio through performance monitoring of the positions, risk analysis and identification of corrective measures; - support the Business functions in monitoring the credit portfolio of the territorial areas, analysing the performance and implementing the corrective measures required. The structure consists of the following functions: - “Credit Monitoring Operations & Support”; - “Central Credit Monitoring”; - “Territorial Credit Monitoring” composed by 7 Territorial Monitoring Hubs; - “Individuals Credit Monitoring & Retail classification”; - “Customer Recovery”; • the “Npe Operational Management Italy” responsible for coordinating and managing the restructuring and workout files of UniCredit S.p.A. related to the non-performing portfolio. The structure consists of the following functions: - “Non Core Risk Analysis & Operations”; - “Non Core Restructuring Italy”; - “Non Core Special Credit”; - “Restructuring Italy”; - “Risk Analysis & Operations”; - “Special Credit”; • in addition, with respect to credit risk, specific committee has been set up: the “Italy Transactional Credit Committee”, which is responsible, within its assigned sub-delegated powers, to evaluate and approve the underwriting and the review of the credit lines and to evaluate and approve the loan loss provisions, asset value adjustments and releases of capital and/or capitalised interests related to performing and non-performing portfolio of UniCredit S.p.A., with the exclusion of Banks, Financial Institutions and Sovereign(FIBS), as well as of the “Investment Banking” segment. 2.2 Credit risk management, measurement and control 2.2.1 Credit risk management Reference is made to the paragraph “2.2.1 Credit risk management” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 699 - definition and monitoring process of credit strategies (both for performing and non-performing loans), the monitoring, on a periodic basis, of the overall credit portfolio; - the AQ planning, the provisions, the RWAs and the capital absorption for performing and non-performing loans; - periodical analysis production in order to give to the Top Management a credit risk profile view; - defining the provisioning methodology and the framework of second-level controls on UniCredit S.p.A.'s portfolio of Performing and Non-Performing loans, as well as carrying out such controls on the perimeter of competence. The structure consists of the following units: - “Credit Risk Strategies & Planning Italy”; - “Credit Risk Portfolio Analytics Italy”; - “Credit Risk Control Italy”; • the “Non-Financial Risk Italy” structure whose responsibilities include the following activities for the Italian perimeter of UniCredit S.p.A.: - identification, management and monitoring of operational risks, also by executing specific risk assessment activities (e.g., on relevant transactions); - identifying, assessing and monitoring the most relevant ICT and Cyber Risks areas in coherence with Group ICT and Cyber Risk framework. • the “Credit Underwriting” structure whose responsibilities include the following activities: - coordinating the activities of 8 Regional Industry Team; - RIT decision-making activities; - managing the lending to UniCredit S.p.A. customers; - coordinating and managing the lending to UniCredit S.p.A. customers in relation to Consumer and Mortgage non-banking products and post-sales phases; - preliminary and administrative activities for transactions to be submitted to the Italy Transactional Credit Committee (ITCC). The structure consists of the following units: - “Credit Committee Secretariat”; - “Central Credit Risk Underwriting Italy”; - “Individuals Credit Underwriting Italy”; - “Territorial Credit Risk Underwriting Italy” composed by 7 territorial Credit Hubs; • the “Credit Monitoring” structure whose responsibilities include the following activities: - ensure the quality of the loan portfolio through performance monitoring of the positions, risk analysis and identification of corrective measures; - support the Business functions in monitoring the credit portfolio of the territorial areas, analysing the performance and implementing the corrective measures required. The structure consists of the following functions: - “Credit Monitoring Operations & Support”; - “Central Credit Monitoring”; - “Territorial Credit Monitoring” composed by 7 Territorial Monitoring Hubs; - “Individuals Credit Monitoring & Retail classification”; - “Customer Recovery”; • the “Npe Operational Management Italy” responsible for coordinating and managing the restructuring and workout files of UniCredit S.p.A. related to the non-performing portfolio. The structure consists of the following functions: - “Non Core Risk Analysis & Operations”; - “Non Core Restructuring Italy”; - “Non Core Special Credit”; - “Restructuring Italy”; - “Risk Analysis & Operations”; - “Special Credit”; • in addition, with respect to credit risk, specific committee has been set up: the “Italy Transactional Credit Committee”, which is responsible, within its assigned sub-delegated powers, to evaluate and approve the underwriting and the review of the credit lines and to evaluate and approve the loan loss provisions, asset value adjustments and releases of capital and/or capitalised interests related to performing and non-performing portfolio of UniCredit S.p.A., with the exclusion of Banks, Financial Institutions and Sovereign(FIBS), as well as of the “Investment Banking” segment. 2.2 Credit risk management, measurement and control 2.2.1 Credit risk management Reference is made to the paragraph “2.2.1 Credit risk management” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 699 - definition and monitoring process of credit strategies (both for performing and non-performing loans), the monitoring, on a periodic basis, of the overall credit portfolio; - the AQ planning, the provisions, the RWAs and the capital absorption for performing and non-performing loans; - periodical analysis production in order to give to the Top Management a credit risk profile view; - defining the provisioning methodology and the framework of second-level controls on UniCredit S.p.A.'s portfolio of Performing and Non-Performing loans, as well as carrying out such controls on the perimeter of competence. The structure consists of the following units: - “Credit Risk Strategies & Planning Italy”; - “Credit Risk Portfolio Analytics Italy”; - “Credit Risk Control Italy”; • the “Non-Financial Risk Italy” structure whose responsibilities include the following activities for the Italian perimeter of UniCredit S.p.A.: - identification, management and monitoring of operational risks, also by executing specific risk assessment activities (e.g., on relevant transactions); - identifying, assessing and monitoring the most relevant ICT and Cyber Risks areas in coherence with Group ICT and Cyber Risk framework. • the “Credit Underwriting” structure whose responsibilities include the following activities: - coordinating the activities of 8 Regional Industry Team; - RIT decision-making activities; - managing the lending to UniCredit S.p.A. customers; - coordinating and managing the lending to UniCredit S.p.A. customers in relation to Consumer and Mortgage non-banking products and post-sales phases; - preliminary and administrative activities for transactions to be submitted to the Italy Transactional Credit Committee (ITCC). The structure consists of the following units: - “Credit Committee Secretariat”; - “Central Credit Risk Underwriting Italy”; - “Individuals Credit Underwriting Italy”; - “Territorial Credit Risk Underwriting Italy” composed by 7 territorial Credit Hubs; • the “Credit Monitoring” structure whose responsibilities include the following activities: - ensure the quality of the loan portfolio through performance monitoring of the positions, risk analysis and identification of corrective measures; - support the Business functions in monitoring the credit portfolio of the territorial areas, analysing the performance and implementing the corrective measures required. The structure consists of the following functions: - “Credit Monitoring Operations & Support”; - “Central Credit Monitoring”; - “Territorial Credit Monitoring” composed by 7 Territorial Monitoring Hubs; - “Individuals Credit Monitoring & Retail classification”; - “Customer Recovery”; • the “Npe Operational Management Italy” responsible for coordinating and managing the restructuring and workout files of UniCredit S.p.A. related to the non-performing portfolio. The structure consists of the following functions: - “Non Core Risk Analysis & Operations”; - “Non Core Restructuring Italy”; - “Non Core Special Credit”; - “Restructuring Italy”; - “Risk Analysis & Operations”; - “Special Credit”; • in addition, with respect to credit risk, specific committee has been set up: the “Italy Transactional Credit Committee”, which is responsible, within its assigned sub-delegated powers, to evaluate and approve the underwriting and the review of the credit lines and to evaluate and approve the loan loss provisions, asset value adjustments and releases of capital and/or capitalised interests related to performing and non-performing portfolio of UniCredit S.p.A., with the exclusion of Banks, Financial Institutions and Sovereign(FIBS), as well as of the “Investment Banking” segment. 2.2 Credit risk management, measurement and control 2.2.1 Credit risk management Reference is made to the paragraph “2.2.1 Credit risk management” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 700 2021 Annual Report and Accounts · UniCredit 2.2.2 Risk parameters Reference is made to the paragraph “2.2.2 Risk parameters” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.2.3 Rating systems Reference is made to the paragraph “2.2.3 Rating systems” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.2.4 Stress Test Reference is made to the paragraph “2.2.4 Stress test” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.3 Measurement methods for expected losses Risk management practices 2.3.1 Staging allocation and Expected Credit Losses calculation Reference is made to the paragraph “2.3.1 Staging allocation and Expected Credit Losses calculation” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.2 Non-performing exposures Reference is made to the paragraph “2.3.2 Measurement methods for expected losses - Non-performing exposures” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.3 Selling scenarios Reference is made to the paragraph “2.3.3 Measurement methods for expected losses - Selling scenario” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.4 Scenarios and Sensitivity Reference is made to the paragraph “2.3.4 Scenarios and Sensitivity” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR) Reference is made to the paragraph “2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.4 Credit risk mitigation technique Reference is made to the paragraph “2.4 Credit risk mitigation technique” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 3. Non-performing credit exposures 3.1 Management strategies and policies In order to ensure a homogeneous approach in the classification of credit exposures for regulatory and reporting purposes, UniCredit has defined guidelines at Group level for the classification of non-performing exposures that refer to the principles reported in the Implementing Technical Standards issued by the Authority European Banking in 2014. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 700 2021 Annual Report and Accounts · UniCredit 2.2.2 Risk parameters Reference is made to the paragraph “2.2.2 Risk parameters” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.2.3 Rating systems Reference is made to the paragraph “2.2.3 Rating systems” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.2.4 Stress Test Reference is made to the paragraph “2.2.4 Stress test” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.3 Measurement methods for expected losses Risk management practices 2.3.1 Staging allocation and Expected Credit Losses calculation Reference is made to the paragraph “2.3.1 Staging allocation and Expected Credit Losses calculation” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.2 Non-performing exposures Reference is made to the paragraph “2.3.2 Measurement methods for expected losses - Non-performing exposures” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.3 Selling scenarios Reference is made to the paragraph “2.3.3 Measurement methods for expected losses - Selling scenario” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.4 Scenarios and Sensitivity Reference is made to the paragraph “2.3.4 Scenarios and Sensitivity” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR) Reference is made to the paragraph “2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.4 Credit risk mitigation technique Reference is made to the paragraph “2.4 Credit risk mitigation technique” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 3. Non-performing credit exposures 3.1 Management strategies and policies In order to ensure a homogeneous approach in the classification of credit exposures for regulatory and reporting purposes, UniCredit has defined guidelines at Group level for the classification of non-performing exposures that refer to the principles reported in the Implementing Technical Standards issued by the Authority European Banking in 2014. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 700 2021 Annual Report and Accounts · UniCredit 2.2.2 Risk parameters Reference is made to the paragraph “2.2.2 Risk parameters” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.2.3 Rating systems Reference is made to the paragraph “2.2.3 Rating systems” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.2.4 Stress Test Reference is made to the paragraph “2.2.4 Stress test” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.3 Measurement methods for expected losses Risk management practices 2.3.1 Staging allocation and Expected Credit Losses calculation Reference is made to the paragraph “2.3.1 Staging allocation and Expected Credit Losses calculation” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.2 Non-performing exposures Reference is made to the paragraph “2.3.2 Measurement methods for expected losses - Non-performing exposures” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.3 Selling scenarios Reference is made to the paragraph “2.3.3 Measurement methods for expected losses - Selling scenario” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.4 Scenarios and Sensitivity Reference is made to the paragraph “2.3.4 Scenarios and Sensitivity” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR) Reference is made to the paragraph “2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.4 Credit risk mitigation technique Reference is made to the paragraph “2.4 Credit risk mitigation technique” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 3. Non-performing credit exposures 3.1 Management strategies and policies In order to ensure a homogeneous approach in the classification of credit exposures for regulatory and reporting purposes, UniCredit has defined guidelines at Group level for the classification of non-performing exposures that refer to the principles reported in the Implementing Technical Standards issued by the Authority European Banking in 2014. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 700 2021 Annual Report and Accounts · UniCredit 2.2.2 Risk parameters Reference is made to the paragraph “2.2.2 Risk parameters” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.2.3 Rating systems Reference is made to the paragraph “2.2.3 Rating systems” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.2.4 Stress Test Reference is made to the paragraph “2.2.4 Stress test” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.3 Measurement methods for expected losses Risk management practices 2.3.1 Staging allocation and Expected Credit Losses calculation Reference is made to the paragraph “2.3.1 Staging allocation and Expected Credit Losses calculation” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.2 Non-performing exposures Reference is made to the paragraph “2.3.2 Measurement methods for expected losses - Non-performing exposures” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.3 Selling scenarios Reference is made to the paragraph “2.3.3 Measurement methods for expected losses - Selling scenario” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.4 Scenarios and Sensitivity Reference is made to the paragraph “2.3.4 Scenarios and Sensitivity” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR) Reference is made to the paragraph “2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.4 Credit risk mitigation technique Reference is made to the paragraph “2.4 Credit risk mitigation technique” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 3. Non-performing credit exposures 3.1 Management strategies and policies In order to ensure a homogeneous approach in the classification of credit exposures for regulatory and reporting purposes, UniCredit has defined guidelines at Group level for the classification of non-performing exposures that refer to the principles reported in the Implementing Technical Standards issued by the Authority European Banking in 2014. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 700 2021 Annual Report and Accounts · UniCredit 2.2.2 Risk parameters Reference is made to the paragraph “2.2.2 Risk parameters” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.2.3 Rating systems Reference is made to the paragraph “2.2.3 Rating systems” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.2.4 Stress Test Reference is made to the paragraph “2.2.4 Stress test” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, 2.2 Credit risk management, measurement and control, which is herewith quoted entirely. 2.3 Measurement methods for expected losses Risk management practices 2.3.1 Staging allocation and Expected Credit Losses calculation Reference is made to the paragraph “2.3.1 Staging allocation and Expected Credit Losses calculation” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.2 Non-performing exposures Reference is made to the paragraph “2.3.2 Measurement methods for expected losses - Non-performing exposures” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.3 Selling scenarios Reference is made to the paragraph “2.3.3 Measurement methods for expected losses - Selling scenario” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.4 Scenarios and Sensitivity Reference is made to the paragraph “2.3.4 Scenarios and Sensitivity” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR) Reference is made to the paragraph “2.3.5 Changes due to Covid-19 - Assessment of the Significant Increase of the Credit Risk (SICR)” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 2.4 Credit risk mitigation technique Reference is made to the paragraph “2.4 Credit risk mitigation technique” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 2. Credit risk management policies, which is herewith quoted entirely. 3. Non-performing credit exposures 3.1 Management strategies and policies In order to ensure a homogeneous approach in the classification of credit exposures for regulatory and reporting purposes, UniCredit has defined guidelines at Group level for the classification of non-performing exposures that refer to the principles reported in the Implementing Technical Standards issued by the Authority European Banking in 2014. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 701 This definition of non-performing exposures complements the definition of “default” exposures, disciplined by EBA Guidelines on default definition in line with article 178 of Regulation (EU) 575/2013 of the European Parliament and of the Council (EBA/GL/2016/07) in force since 1 January 2021, and “impaired” exposures defined by IFRS9 Accounting Standards. A substantial alignment within the Group has been pursued between the three definitions, providing the Supervisory Authorities with a harmonized view of these concepts and strengthening the tools available to the Authorities for assessing the asset quality. The default classification criteria in force since 1 January 2021 include, among the main aspects, harmonized thresholds at European level for past due materiality and additional Unlikely to Pay triggers further regulated by EBA/GL/2016/07 with respect to the high-level provisions of article 178 of Regulation (EU) 575/2013. In this regard, it is highlighted the Distressed Restructuring for credit obligation object of concession, where a maximum threshold for decreasing the Net Present Value of 1% has been set, as well as specific requirements on the contagion effects of default in the case of connected customers (mainly, groups of companies, joint headings between individuals and links between individuals and companies with unlimited liability). In addition, a mandatory minimum probation period before returning to the non-defaulted status has been defined. Furthermore, in accordance with the provisions of Banca d’Italia in Circular 272/2008, non-performing credit exposures must be classified in one of the following risk classes: • past-due and/or overdue exposures: problematic exposures that are more than 90 days past due on any material obligation (the latter assessed in line with article 178 (2d) of EU Regulation No.575/2013 and the Technical Standards of the EBA); • unlikely to pay: the classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any (or rate) past due and unpaid amount; • bad loans: exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank. According to the Group rules, all debtors in the bank's portfolio must be mapped in the classes defined by Banca d’Italia, regardless of local reporting which has to be performed according to local accounting standards and/or local supervisory regulations or instructions. These classification rules are further integrated by accounting principles defined in IFRS9, according to which credit exposures must be allocated in three "stages" (for details see section "Expected loss measurement method” - Section 2). With regard to non-performing exposures, the allocation to "Stage 3" occurs when the customer's status changes into "non-performing". This is a classification at counterparty level and not at transaction level based on specific regulations on the classification of non-performing exposures. In accordance with article156 EBA ITS, an exposure must remain classified as non-performing as long as the following criteria (exit criteria) are not met simultaneously: • the situation of the debtor has improved to the extent that full repayment of the original due amount is likely to be made; • the debtor does not have any amount past-due by more than 90 days. Specific exit criteria must be applied in case the forbearance measures are extended to non-performing exposures, listed below: • the starting date of the observation period of one year is the latest between the adoption of Forbearance measures and the classification as non-performing; • any past due amount is verified if no past due occurs at debtor level; • concerns regarding the “full repayment" refer to a judgmental evaluation by the empowered Bodies. In the non-performing credit exposures management, UniCredit S.p.A. adopts certain strategies that operationally define the activities necessary to achieve the targets defined yearly. The aforementioned strategies concerning impaired loans include: • an effective internal restructuring activity, supported by qualified resources with specific skills dedicated to the management of loans classified as unlikely to pay; within these activities, ad-hoc approaches are then envisaged for positions considered strategic or referring to the Corporate and Real Estate segment; • proactive portfolio management through judicial and extra-judicial procedures managed by internal Workout professionals or assigned to external agencies specialised in credit recovery; • the recourse of alternative recovery strategies (which UniCredit was one of the first banks to use) based on formalised partnerships aimed at managing positions in the industrial or Real Estate sector; • disposal of impaired loans as a further strategy for internal recovery both for individual positions and for portfolios of impaired loans, already classified as bad loans and unlikely to pay. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 701 This definition of non-performing exposures complements the definition of “default” exposures, disciplined by EBA Guidelines on default definition in line with article 178 of Regulation (EU) 575/2013 of the European Parliament and of the Council (EBA/GL/2016/07) in force since 1 January 2021, and “impaired” exposures defined by IFRS9 Accounting Standards. A substantial alignment within the Group has been pursued between the three definitions, providing the Supervisory Authorities with a harmonized view of these concepts and strengthening the tools available to the Authorities for assessing the asset quality. The default classification criteria in force since 1 January 2021 include, among the main aspects, harmonized thresholds at European level for past due materiality and additional Unlikely to Pay triggers further regulated by EBA/GL/2016/07 with respect to the high-level provisions of article 178 of Regulation (EU) 575/2013. In this regard, it is highlighted the Distressed Restructuring for credit obligation object of concession, where a maximum threshold for decreasing the Net Present Value of 1% has been set, as well as specific requirements on the contagion effects of default in the case of connected customers (mainly, groups of companies, joint headings between individuals and links between individuals and companies with unlimited liability). In addition, a mandatory minimum probation period before returning to the non-defaulted status has been defined. Furthermore, in accordance with the provisions of Banca d’Italia in Circular 272/2008, non-performing credit exposures must be classified in one of the following risk classes: • past-due and/or overdue exposures: problematic exposures that are more than 90 days past due on any material obligation (the latter assessed in line with article 178 (2d) of EU Regulation No.575/2013 and the Technical Standards of the EBA); • unlikely to pay: the classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any (or rate) past due and unpaid amount; • bad loans: exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank. According to the Group rules, all debtors in the bank's portfolio must be mapped in the classes defined by Banca d’Italia, regardless of local reporting which has to be performed according to local accounting standards and/or local supervisory regulations or instructions. These classification rules are further integrated by accounting principles defined in IFRS9, according to which credit exposures must be allocated in three "stages" (for details see section "Expected loss measurement method” - Section 2). With regard to non-performing exposures, the allocation to "Stage 3" occurs when the customer's status changes into "non-performing". This is a classification at counterparty level and not at transaction level based on specific regulations on the classification of non-performing exposures. In accordance with article156 EBA ITS, an exposure must remain classified as non-performing as long as the following criteria (exit criteria) are not met simultaneously: • the situation of the debtor has improved to the extent that full repayment of the original due amount is likely to be made; • the debtor does not have any amount past-due by more than 90 days. Specific exit criteria must be applied in case the forbearance measures are extended to non-performing exposures, listed below: • the starting date of the observation period of one year is the latest between the adoption of Forbearance measures and the classification as non-performing; • any past due amount is verified if no past due occurs at debtor level; • concerns regarding the “full repayment" refer to a judgmental evaluation by the empowered Bodies. In the non-performing credit exposures management, UniCredit S.p.A. adopts certain strategies that operationally define the activities necessary to achieve the targets defined yearly. The aforementioned strategies concerning impaired loans include: • an effective internal restructuring activity, supported by qualified resources with specific skills dedicated to the management of loans classified as unlikely to pay; within these activities, ad-hoc approaches are then envisaged for positions considered strategic or referring to the Corporate and Real Estate segment; • proactive portfolio management through judicial and extra-judicial procedures managed by internal Workout professionals or assigned to external agencies specialised in credit recovery; • the recourse of alternative recovery strategies (which UniCredit was one of the first banks to use) based on formalised partnerships aimed at managing positions in the industrial or Real Estate sector; • disposal of impaired loans as a further strategy for internal recovery both for individual positions and for portfolios of impaired loans, already classified as bad loans and unlikely to pay. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 701 This definition of non-performing exposures complements the definition of “default” exposures, disciplined by EBA Guidelines on default definition in line with article 178 of Regulation (EU) 575/2013 of the European Parliament and of the Council (EBA/GL/2016/07) in force since 1 January 2021, and “impaired” exposures defined by IFRS9 Accounting Standards. A substantial alignment within the Group has been pursued between the three definitions, providing the Supervisory Authorities with a harmonized view of these concepts and strengthening the tools available to the Authorities for assessing the asset quality. The default classification criteria in force since 1 January 2021 include, among the main aspects, harmonized thresholds at European level for past due materiality and additional Unlikely to Pay triggers further regulated by EBA/GL/2016/07 with respect to the high-level provisions of article 178 of Regulation (EU) 575/2013. In this regard, it is highlighted the Distressed Restructuring for credit obligation object of concession, where a maximum threshold for decreasing the Net Present Value of 1% has been set, as well as specific requirements on the contagion effects of default in the case of connected customers (mainly, groups of companies, joint headings between individuals and links between individuals and companies with unlimited liability). In addition, a mandatory minimum probation period before returning to the non-defaulted status has been defined. Furthermore, in accordance with the provisions of Banca d’Italia in Circular 272/2008, non-performing credit exposures must be classified in one of the following risk classes: • past-due and/or overdue exposures: problematic exposures that are more than 90 days past due on any material obligation (the latter assessed in line with article 178 (2d) of EU Regulation No.575/2013 and the Technical Standards of the EBA); • unlikely to pay: the classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any (or rate) past due and unpaid amount; • bad loans: exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank. According to the Group rules, all debtors in the bank's portfolio must be mapped in the classes defined by Banca d’Italia, regardless of local reporting which has to be performed according to local accounting standards and/or local supervisory regulations or instructions. These classification rules are further integrated by accounting principles defined in IFRS9, according to which credit exposures must be allocated in three "stages" (for details see section "Expected loss measurement method” - Section 2). With regard to non-performing exposures, the allocation to "Stage 3" occurs when the customer's status changes into "non-performing". This is a classification at counterparty level and not at transaction level based on specific regulations on the classification of non-performing exposures. In accordance with article156 EBA ITS, an exposure must remain classified as non-performing as long as the following criteria (exit criteria) are not met simultaneously: • the situation of the debtor has improved to the extent that full repayment of the original due amount is likely to be made; • the debtor does not have any amount past-due by more than 90 days. Specific exit criteria must be applied in case the forbearance measures are extended to non-performing exposures, listed below: • the starting date of the observation period of one year is the latest between the adoption of Forbearance measures and the classification as non-performing; • any past due amount is verified if no past due occurs at debtor level; • concerns regarding the “full repayment" refer to a judgmental evaluation by the empowered Bodies. In the non-performing credit exposures management, UniCredit S.p.A. adopts certain strategies that operationally define the activities necessary to achieve the targets defined yearly. The aforementioned strategies concerning impaired loans include: • an effective internal restructuring activity, supported by qualified resources with specific skills dedicated to the management of loans classified as unlikely to pay; within these activities, ad-hoc approaches are then envisaged for positions considered strategic or referring to the Corporate and Real Estate segment; • proactive portfolio management through judicial and extra-judicial procedures managed by internal Workout professionals or assigned to external agencies specialised in credit recovery; • the recourse of alternative recovery strategies (which UniCredit was one of the first banks to use) based on formalised partnerships aimed at managing positions in the industrial or Real Estate sector; • disposal of impaired loans as a further strategy for internal recovery both for individual positions and for portfolios of impaired loans, already classified as bad loans and unlikely to pay. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 701 This definition of non-performing exposures complements the definition of “default” exposures, disciplined by EBA Guidelines on default definition in line with article 178 of Regulation (EU) 575/2013 of the European Parliament and of the Council (EBA/GL/2016/07) in force since 1 January 2021, and “impaired” exposures defined by IFRS9 Accounting Standards. A substantial alignment within the Group has been pursued between the three definitions, providing the Supervisory Authorities with a harmonized view of these concepts and strengthening the tools available to the Authorities for assessing the asset quality. The default classification criteria in force since 1 January 2021 include, among the main aspects, harmonized thresholds at European level for past due materiality and additional Unlikely to Pay triggers further regulated by EBA/GL/2016/07 with respect to the high-level provisions of article 178 of Regulation (EU) 575/2013. In this regard, it is highlighted the Distressed Restructuring for credit obligation object of concession, where a maximum threshold for decreasing the Net Present Value of 1% has been set, as well as specific requirements on the contagion effects of default in the case of connected customers (mainly, groups of companies, joint headings between individuals and links between individuals and companies with unlimited liability). In addition, a mandatory minimum probation period before returning to the non-defaulted status has been defined. Furthermore, in accordance with the provisions of Banca d’Italia in Circular 272/2008, non-performing credit exposures must be classified in one of the following risk classes: • past-due and/or overdue exposures: problematic exposures that are more than 90 days past due on any material obligation (the latter assessed in line with article 178 (2d) of EU Regulation No.575/2013 and the Technical Standards of the EBA); • unlikely to pay: the classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any (or rate) past due and unpaid amount; • bad loans: exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank. According to the Group rules, all debtors in the bank's portfolio must be mapped in the classes defined by Banca d’Italia, regardless of local reporting which has to be performed according to local accounting standards and/or local supervisory regulations or instructions. These classification rules are further integrated by accounting principles defined in IFRS9, according to which credit exposures must be allocated in three "stages" (for details see section "Expected loss measurement method” - Section 2). With regard to non-performing exposures, the allocation to "Stage 3" occurs when the customer's status changes into "non-performing". This is a classification at counterparty level and not at transaction level based on specific regulations on the classification of non-performing exposures. In accordance with article156 EBA ITS, an exposure must remain classified as non-performing as long as the following criteria (exit criteria) are not met simultaneously: • the situation of the debtor has improved to the extent that full repayment of the original due amount is likely to be made; • the debtor does not have any amount past-due by more than 90 days. Specific exit criteria must be applied in case the forbearance measures are extended to non-performing exposures, listed below: • the starting date of the observation period of one year is the latest between the adoption of Forbearance measures and the classification as non-performing; • any past due amount is verified if no past due occurs at debtor level; • concerns regarding the “full repayment" refer to a judgmental evaluation by the empowered Bodies. In the non-performing credit exposures management, UniCredit S.p.A. adopts certain strategies that operationally define the activities necessary to achieve the targets defined yearly. The aforementioned strategies concerning impaired loans include: • an effective internal restructuring activity, supported by qualified resources with specific skills dedicated to the management of loans classified as unlikely to pay; within these activities, ad-hoc approaches are then envisaged for positions considered strategic or referring to the Corporate and Real Estate segment; • proactive portfolio management through judicial and extra-judicial procedures managed by internal Workout professionals or assigned to external agencies specialised in credit recovery; • the recourse of alternative recovery strategies (which UniCredit was one of the first banks to use) based on formalised partnerships aimed at managing positions in the industrial or Real Estate sector; • disposal of impaired loans as a further strategy for internal recovery both for individual positions and for portfolios of impaired loans, already classified as bad loans and unlikely to pay. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 701 This definition of non-performing exposures complements the definition of “default” exposures, disciplined by EBA Guidelines on default definition in line with article 178 of Regulation (EU) 575/2013 of the European Parliament and of the Council (EBA/GL/2016/07) in force since 1 January 2021, and “impaired” exposures defined by IFRS9 Accounting Standards. A substantial alignment within the Group has been pursued between the three definitions, providing the Supervisory Authorities with a harmonized view of these concepts and strengthening the tools available to the Authorities for assessing the asset quality. The default classification criteria in force since 1 January 2021 include, among the main aspects, harmonized thresholds at European level for past due materiality and additional Unlikely to Pay triggers further regulated by EBA/GL/2016/07 with respect to the high-level provisions of article 178 of Regulation (EU) 575/2013. In this regard, it is highlighted the Distressed Restructuring for credit obligation object of concession, where a maximum threshold for decreasing the Net Present Value of 1% has been set, as well as specific requirements on the contagion effects of default in the case of connected customers (mainly, groups of companies, joint headings between individuals and links between individuals and companies with unlimited liability). In addition, a mandatory minimum probation period before returning to the non-defaulted status has been defined. Furthermore, in accordance with the provisions of Banca d’Italia in Circular 272/2008, non-performing credit exposures must be classified in one of the following risk classes: • past-due and/or overdue exposures: problematic exposures that are more than 90 days past due on any material obligation (the latter assessed in line with article 178 (2d) of EU Regulation No.575/2013 and the Technical Standards of the EBA); • unlikely to pay: the classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any (or rate) past due and unpaid amount; • bad loans: exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank. According to the Group rules, all debtors in the bank's portfolio must be mapped in the classes defined by Banca d’Italia, regardless of local reporting which has to be performed according to local accounting standards and/or local supervisory regulations or instructions. These classification rules are further integrated by accounting principles defined in IFRS9, according to which credit exposures must be allocated in three "stages" (for details see section "Expected loss measurement method” - Section 2). With regard to non-performing exposures, the allocation to "Stage 3" occurs when the customer's status changes into "non-performing". This is a classification at counterparty level and not at transaction level based on specific regulations on the classification of non-performing exposures. In accordance with article156 EBA ITS, an exposure must remain classified as non-performing as long as the following criteria (exit criteria) are not met simultaneously: • the situation of the debtor has improved to the extent that full repayment of the original due amount is likely to be made; • the debtor does not have any amount past-due by more than 90 days. Specific exit criteria must be applied in case the forbearance measures are extended to non-performing exposures, listed below: • the starting date of the observation period of one year is the latest between the adoption of Forbearance measures and the classification as non-performing; • any past due amount is verified if no past due occurs at debtor level; • concerns regarding the “full repayment" refer to a judgmental evaluation by the empowered Bodies. In the non-performing credit exposures management, UniCredit S.p.A. adopts certain strategies that operationally define the activities necessary to achieve the targets defined yearly. The aforementioned strategies concerning impaired loans include: • an effective internal restructuring activity, supported by qualified resources with specific skills dedicated to the management of loans classified as unlikely to pay; within these activities, ad-hoc approaches are then envisaged for positions considered strategic or referring to the Corporate and Real Estate segment; • proactive portfolio management through judicial and extra-judicial procedures managed by internal Workout professionals or assigned to external agencies specialised in credit recovery; • the recourse of alternative recovery strategies (which UniCredit was one of the first banks to use) based on formalised partnerships aimed at managing positions in the industrial or Real Estate sector; • disposal of impaired loans as a further strategy for internal recovery both for individual positions and for portfolios of impaired loans, already classified as bad loans and unlikely to pay. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 702 2021 Annual Report and Accounts · UniCredit These strategies reflect the main levers for reducing the amount of impaired loans and have led to an important result during 2021, highlighting: • write-off for €1,477 million; • recoveries for €1,555 million; • disposals for €3,416 million. The decrease amount of the stock of impaired loans to Bank’s customers was therefore in line with the reduction targets set within the new strategic plan “UniCredit Unlocked”. This result was possible thanks also to the reduction of the "Non Core" portfolio, whose rundown was completed by 2021, thanks to the activation of a coordinated set of levers aimed at reducing the stock. Regarding the management strategies and policies in force for the UniCredit group reference is made to the paragraph “3.1 Management strategies and policies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 3. Non-performing credit exposures, which is herewith quoted entirely. 3.2 Write-off UniCredit group guidelines for write-offs on financial assets provides that whenever a loan is deemed to be uncollectable/unrecoverable it needs to be identified at the earliest possible opportunity and properly dealt with in accordance with financial regulations. Write-offs can relate to a financial asset in its entirety, or to a portion of it. In assessing the recoverability of Non-Performing Exposures (NPE) and in determining internal NPE write-off approaches, the following cases, in particular, are taken into account: • exposures with prolonged arrears: it is assessed the recoverability of an exposure that presents arrears for a prolonged period of time. If, following this assessment, an exposure or part of an exposure is deemed as non-recoverable, it should be written-off in a timely manner, adopting different thresholds predefined on the basis of the different portfolios; • exposures under insolvency procedure: where the collateralisation of the exposure is low, legal expenses often absorb a significant portion of the proceeds from the bankruptcy procedure and therefore estimated recoveries are expected to be very low; • a partial write-off may be warranted where there are reasonable elements to demonstrate the debtor's inability to repay the full amount of the debt, i.e. a significant level of debt, even following the implementation of a forbearance treatment and/or the execution of collateral. Below a non-exhaustive list of hard evidences implying, with high likelihood, the not recoverability of the exposure, to be assessed, for the potential (total or partial) write-off: • the Bank cannot call the guarantor(s), or his assets are not sufficient for the recovery of the debtor’s exposures; • negative outcome of the judicial and/or out-of-court initiatives with absence of other assets that can be called in the event of un-recoverability of the debtor’s exposures; • impossibility to initiate actions to recover credit; • current insolvency procedure, from which the procedure itself states that the unsecured exposures will not have redress; • loans not backed by mortgage security older than 3 years that have not registered repayments/collections during the first 3 years after the NPE classification; • mortgage loans to private individuals with collaterals already executed or not recoverable (because of legal or administrative defects and if execution is considered not economically viable), if they have been classified as non-performing for more than 7 years, or between 2 and 7 years if the residual debt is less than €110,000. Specifically, for UniCredit S.p.A. perimeter, write-offs on financial assets still subject to an enforcement procedure amount to €2,125 million as at 31 December 2021, of which partial write-offs amount to €1,724 million and total write-offs amount to €401 million. The amount of write-offs (both partial and total) related to the 2021 financial year is €688 million. 2021 write-offs cannot be compared with write-offs amount reported in gross changes in non-performing exposures, because the latter includes “debt forgiveness”. 3.3 Acquired or originated impaired financial assets Reference is made to the paragraph “3.3 Acquired or originated impaired financial assets” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 3. Non-performing credit exposures, which is herewith quoted entirely. 4. Financial assets subject to commercial renegotiations and forborne exposures Changes in existing financial instruments which determine a modification of contractual conditions might be the result of either: • commercial initiatives, which may be specific for each customer or applied to portfolio of customers also as a result of dedicated initiatives sponsored by public authorities or banking associations, or • concessions granted in light of debtor’s financial difficulties (Forbearance). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 702 2021 Annual Report and Accounts · UniCredit These strategies reflect the main levers for reducing the amount of impaired loans and have led to an important result during 2021, highlighting: • write-off for €1,477 million; • recoveries for €1,555 million; • disposals for €3,416 million. The decrease amount of the stock of impaired loans to Bank’s customers was therefore in line with the reduction targets set within the new strategic plan “UniCredit Unlocked”. This result was possible thanks also to the reduction of the "Non Core" portfolio, whose rundown was completed by 2021, thanks to the activation of a coordinated set of levers aimed at reducing the stock. Regarding the management strategies and policies in force for the UniCredit group reference is made to the paragraph “3.1 Management strategies and policies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 3. Non-performing credit exposures, which is herewith quoted entirely. 3.2 Write-off UniCredit group guidelines for write-offs on financial assets provides that whenever a loan is deemed to be uncollectable/unrecoverable it needs to be identified at the earliest possible opportunity and properly dealt with in accordance with financial regulations. Write-offs can relate to a financial asset in its entirety, or to a portion of it. In assessing the recoverability of Non-Performing Exposures (NPE) and in determining internal NPE write-off approaches, the following cases, in particular, are taken into account: • exposures with prolonged arrears: it is assessed the recoverability of an exposure that presents arrears for a prolonged period of time. If, following this assessment, an exposure or part of an exposure is deemed as non-recoverable, it should be written-off in a timely manner, adopting different thresholds predefined on the basis of the different portfolios; • exposures under insolvency procedure: where the collateralisation of the exposure is low, legal expenses often absorb a significant portion of the proceeds from the bankruptcy procedure and therefore estimated recoveries are expected to be very low; • a partial write-off may be warranted where there are reasonable elements to demonstrate the debtor's inability to repay the full amount of the debt, i.e. a significant level of debt, even following the implementation of a forbearance treatment and/or the execution of collateral. Below a non-exhaustive list of hard evidences implying, with high likelihood, the not recoverability of the exposure, to be assessed, for the potential (total or partial) write-off: • the Bank cannot call the guarantor(s), or his assets are not sufficient for the recovery of the debtor’s exposures; • negative outcome of the judicial and/or out-of-court initiatives with absence of other assets that can be called in the event of un-recoverability of the debtor’s exposures; • impossibility to initiate actions to recover credit; • current insolvency procedure, from which the procedure itself states that the unsecured exposures will not have redress; • loans not backed by mortgage security older than 3 years that have not registered repayments/collections during the first 3 years after the NPE classification; • mortgage loans to private individuals with collaterals already executed or not recoverable (because of legal or administrative defects and if execution is considered not economically viable), if they have been classified as non-performing for more than 7 years, or between 2 and 7 years if the residual debt is less than €110,000. Specifically, for UniCredit S.p.A. perimeter, write-offs on financial assets still subject to an enforcement procedure amount to €2,125 million as at 31 December 2021, of which partial write-offs amount to €1,724 million and total write-offs amount to €401 million. The amount of write-offs (both partial and total) related to the 2021 financial year is €688 million. 2021 write-offs cannot be compared with write-offs amount reported in gross changes in non-performing exposures, because the latter includes “debt forgiveness”. 3.3 Acquired or originated impaired financial assets Reference is made to the paragraph “3.3 Acquired or originated impaired financial assets” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 3. Non-performing credit exposures, which is herewith quoted entirely. 4. Financial assets subject to commercial renegotiations and forborne exposures Changes in existing financial instruments which determine a modification of contractual conditions might be the result of either: • commercial initiatives, which may be specific for each customer or applied to portfolio of customers also as a result of dedicated initiatives sponsored by public authorities or banking associations, or • concessions granted in light of debtor’s financial difficulties (Forbearance). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 702 2021 Annual Report and Accounts · UniCredit These strategies reflect the main levers for reducing the amount of impaired loans and have led to an important result during 2021, highlighting: • write-off for €1,477 million; • recoveries for €1,555 million; • disposals for €3,416 million. The decrease amount of the stock of impaired loans to Bank’s customers was therefore in line with the reduction targets set within the new strategic plan “UniCredit Unlocked”. This result was possible thanks also to the reduction of the "Non Core" portfolio, whose rundown was completed by 2021, thanks to the activation of a coordinated set of levers aimed at reducing the stock. Regarding the management strategies and policies in force for the UniCredit group reference is made to the paragraph “3.1 Management strategies and policies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 3. Non-performing credit exposures, which is herewith quoted entirely. 3.2 Write-off UniCredit group guidelines for write-offs on financial assets provides that whenever a loan is deemed to be uncollectable/unrecoverable it needs to be identified at the earliest possible opportunity and properly dealt with in accordance with financial regulations. Write-offs can relate to a financial asset in its entirety, or to a portion of it. In assessing the recoverability of Non-Performing Exposures (NPE) and in determining internal NPE write-off approaches, the following cases, in particular, are taken into account: • exposures with prolonged arrears: it is assessed the recoverability of an exposure that presents arrears for a prolonged period of time. If, following this assessment, an exposure or part of an exposure is deemed as non-recoverable, it should be written-off in a timely manner, adopting different thresholds predefined on the basis of the different portfolios; • exposures under insolvency procedure: where the collateralisation of the exposure is low, legal expenses often absorb a significant portion of the proceeds from the bankruptcy procedure and therefore estimated recoveries are expected to be very low; • a partial write-off may be warranted where there are reasonable elements to demonstrate the debtor's inability to repay the full amount of the debt, i.e. a significant level of debt, even following the implementation of a forbearance treatment and/or the execution of collateral. Below a non-exhaustive list of hard evidences implying, with high likelihood, the not recoverability of the exposure, to be assessed, for the potential (total or partial) write-off: • the Bank cannot call the guarantor(s), or his assets are not sufficient for the recovery of the debtor’s exposures; • negative outcome of the judicial and/or out-of-court initiatives with absence of other assets that can be called in the event of un-recoverability of the debtor’s exposures; • impossibility to initiate actions to recover credit; • current insolvency procedure, from which the procedure itself states that the unsecured exposures will not have redress; • loans not backed by mortgage security older than 3 years that have not registered repayments/collections during the first 3 years after the NPE classification; • mortgage loans to private individuals with collaterals already executed or not recoverable (because of legal or administrative defects and if execution is considered not economically viable), if they have been classified as non-performing for more than 7 years, or between 2 and 7 years if the residual debt is less than €110,000. Specifically, for UniCredit S.p.A. perimeter, write-offs on financial assets still subject to an enforcement procedure amount to €2,125 million as at 31 December 2021, of which partial write-offs amount to €1,724 million and total write-offs amount to €401 million. The amount of write-offs (both partial and total) related to the 2021 financial year is €688 million. 2021 write-offs cannot be compared with write-offs amount reported in gross changes in non-performing exposures, because the latter includes “debt forgiveness”. 3.3 Acquired or originated impaired financial assets Reference is made to the paragraph “3.3 Acquired or originated impaired financial assets” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 3. Non-performing credit exposures, which is herewith quoted entirely. 4. Financial assets subject to commercial renegotiations and forborne exposures Changes in existing financial instruments which determine a modification of contractual conditions might be the result of either: • commercial initiatives, which may be specific for each customer or applied to portfolio of customers also as a result of dedicated initiatives sponsored by public authorities or banking associations, or • concessions granted in light of debtor’s financial difficulties (Forbearance). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 702 2021 Annual Report and Accounts · UniCredit These strategies reflect the main levers for reducing the amount of impaired loans and have led to an important result during 2021, highlighting: • write-off for €1,477 million; • recoveries for €1,555 million; • disposals for €3,416 million. The decrease amount of the stock of impaired loans to Bank’s customers was therefore in line with the reduction targets set within the new strategic plan “UniCredit Unlocked”. This result was possible thanks also to the reduction of the "Non Core" portfolio, whose rundown was completed by 2021, thanks to the activation of a coordinated set of levers aimed at reducing the stock. Regarding the management strategies and policies in force for the UniCredit group reference is made to the paragraph “3.1 Management strategies and policies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 3. Non-performing credit exposures, which is herewith quoted entirely. 3.2 Write-off UniCredit group guidelines for write-offs on financial assets provides that whenever a loan is deemed to be uncollectable/unrecoverable it needs to be identified at the earliest possible opportunity and properly dealt with in accordance with financial regulations. Write-offs can relate to a financial asset in its entirety, or to a portion of it. In assessing the recoverability of Non-Performing Exposures (NPE) and in determining internal NPE write-off approaches, the following cases, in particular, are taken into account: • exposures with prolonged arrears: it is assessed the recoverability of an exposure that presents arrears for a prolonged period of time. If, following this assessment, an exposure or part of an exposure is deemed as non-recoverable, it should be written-off in a timely manner, adopting different thresholds predefined on the basis of the different portfolios; • exposures under insolvency procedure: where the collateralisation of the exposure is low, legal expenses often absorb a significant portion of the proceeds from the bankruptcy procedure and therefore estimated recoveries are expected to be very low; • a partial write-off may be warranted where there are reasonable elements to demonstrate the debtor's inability to repay the full amount of the debt, i.e. a significant level of debt, even following the implementation of a forbearance treatment and/or the execution of collateral. Below a non-exhaustive list of hard evidences implying, with high likelihood, the not recoverability of the exposure, to be assessed, for the potential (total or partial) write-off: • the Bank cannot call the guarantor(s), or his assets are not sufficient for the recovery of the debtor’s exposures; • negative outcome of the judicial and/or out-of-court initiatives with absence of other assets that can be called in the event of un-recoverability of the debtor’s exposures; • impossibility to initiate actions to recover credit; • current insolvency procedure, from which the procedure itself states that the unsecured exposures will not have redress; • loans not backed by mortgage security older than 3 years that have not registered repayments/collections during the first 3 years after the NPE classification; • mortgage loans to private individuals with collaterals already executed or not recoverable (because of legal or administrative defects and if execution is considered not economically viable), if they have been classified as non-performing for more than 7 years, or between 2 and 7 years if the residual debt is less than €110,000. Specifically, for UniCredit S.p.A. perimeter, write-offs on financial assets still subject to an enforcement procedure amount to €2,125 million as at 31 December 2021, of which partial write-offs amount to €1,724 million and total write-offs amount to €401 million. The amount of write-offs (both partial and total) related to the 2021 financial year is €688 million. 2021 write-offs cannot be compared with write-offs amount reported in gross changes in non-performing exposures, because the latter includes “debt forgiveness”. 3.3 Acquired or originated impaired financial assets Reference is made to the paragraph “3.3 Acquired or originated impaired financial assets” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 3. Non-performing credit exposures, which is herewith quoted entirely. 4. Financial assets subject to commercial renegotiations and forborne exposures Changes in existing financial instruments which determine a modification of contractual conditions might be the result of either: • commercial initiatives, which may be specific for each customer or applied to portfolio of customers also as a result of dedicated initiatives sponsored by public authorities or banking associations, or • concessions granted in light of debtor’s financial difficulties (Forbearance). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 702 2021 Annual Report and Accounts · UniCredit These strategies reflect the main levers for reducing the amount of impaired loans and have led to an important result during 2021, highlighting: • write-off for €1,477 million; • recoveries for €1,555 million; • disposals for €3,416 million. The decrease amount of the stock of impaired loans to Bank’s customers was therefore in line with the reduction targets set within the new strategic plan “UniCredit Unlocked”. This result was possible thanks also to the reduction of the "Non Core" portfolio, whose rundown was completed by 2021, thanks to the activation of a coordinated set of levers aimed at reducing the stock. Regarding the management strategies and policies in force for the UniCredit group reference is made to the paragraph “3.1 Management strategies and policies” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 3. Non-performing credit exposures, which is herewith quoted entirely. 3.2 Write-off UniCredit group guidelines for write-offs on financial assets provides that whenever a loan is deemed to be uncollectable/unrecoverable it needs to be identified at the earliest possible opportunity and properly dealt with in accordance with financial regulations. Write-offs can relate to a financial asset in its entirety, or to a portion of it. In assessing the recoverability of Non-Performing Exposures (NPE) and in determining internal NPE write-off approaches, the following cases, in particular, are taken into account: • exposures with prolonged arrears: it is assessed the recoverability of an exposure that presents arrears for a prolonged period of time. If, following this assessment, an exposure or part of an exposure is deemed as non-recoverable, it should be written-off in a timely manner, adopting different thresholds predefined on the basis of the different portfolios; • exposures under insolvency procedure: where the collateralisation of the exposure is low, legal expenses often absorb a significant portion of the proceeds from the bankruptcy procedure and therefore estimated recoveries are expected to be very low; • a partial write-off may be warranted where there are reasonable elements to demonstrate the debtor's inability to repay the full amount of the debt, i.e. a significant level of debt, even following the implementation of a forbearance treatment and/or the execution of collateral. Below a non-exhaustive list of hard evidences implying, with high likelihood, the not recoverability of the exposure, to be assessed, for the potential (total or partial) write-off: • the Bank cannot call the guarantor(s), or his assets are not sufficient for the recovery of the debtor’s exposures; • negative outcome of the judicial and/or out-of-court initiatives with absence of other assets that can be called in the event of un-recoverability of the debtor’s exposures; • impossibility to initiate actions to recover credit; • current insolvency procedure, from which the procedure itself states that the unsecured exposures will not have redress; • loans not backed by mortgage security older than 3 years that have not registered repayments/collections during the first 3 years after the NPE classification; • mortgage loans to private individuals with collaterals already executed or not recoverable (because of legal or administrative defects and if execution is considered not economically viable), if they have been classified as non-performing for more than 7 years, or between 2 and 7 years if the residual debt is less than €110,000. Specifically, for UniCredit S.p.A. perimeter, write-offs on financial assets still subject to an enforcement procedure amount to €2,125 million as at 31 December 2021, of which partial write-offs amount to €1,724 million and total write-offs amount to €401 million. The amount of write-offs (both partial and total) related to the 2021 financial year is €688 million. 2021 write-offs cannot be compared with write-offs amount reported in gross changes in non-performing exposures, because the latter includes “debt forgiveness”. 3.3 Acquired or originated impaired financial assets Reference is made to the paragraph “3.3 Acquired or originated impaired financial assets” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 3. Non-performing credit exposures, which is herewith quoted entirely. 4. Financial assets subject to commercial renegotiations and forborne exposures Changes in existing financial instruments which determine a modification of contractual conditions might be the result of either: • commercial initiatives, which may be specific for each customer or applied to portfolio of customers also as a result of dedicated initiatives sponsored by public authorities or banking associations, or • concessions granted in light of debtor’s financial difficulties (Forbearance). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 703 Such changes are accounted on the basis of whether the modification is considered significant or not. In this regard, reference is made to the Part A - Accounting policies, A.2 - Main items of the accounts. The concessions granted due to debtor’s financial difficulties, so-called Forbearance initiatives, are usually considered not significant from an accounting perspective. 4.1 Loan categorisation in the risk categories and forborne exposures Reference is made to the paragraph “4.1 Loan categorization in the risk categories and forborne exposures” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 4. Financial assets subject to commercial renegotiations and forborne exposures, which is herewith quoted entirely. Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one for non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds. A.1 Non-performing and performing credit exposure: amounts, write-downs, changes, distribution by business activity A.1.1 Breakdown of financial assets by portfolio and credit quality (carrying value) (€ million) PORTFOLIOS/QUALITY BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE EXPOSURES PERFORMING PAST-DUE EXPOSURES OTHER PERFORMING EXPOSURES TOTAL 1. Financial assets at amortised cost 482 2,967 322 3,002 261,048 267,821 2. Financial assets at fair value through other comprehensive income - - - - 35,256 35,256 3. Financial assets designated at fair value - - - - 119 119 4. Other financial assets mandatorily at fair value - 33 - - 3,476 3,509 5. Financial instruments classified as held for sale 31 52 - - 1,429 1,512 Total 12.31.2021 513 3,052 322 3,002 301,328 308,217 Total 12.31.2020 629 3,027 252 3,504 305,953 313,365 A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values) (€ million) NON-PERFORMING ASSETS PERFORMING ASSETS PORTFOLIOS/QUALITY GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE TOTAL (NET EXPOSURE) 1. Financial assets at amortised cost 8,650 4,879 3,771 1,538 266,415 2,365 264,050 267,821 2. Financial assets at fair value through other comprehensive income 2 2 - - 35,308 52 35,256 35,256 3. Financial assets designated at fair value - - - - X X 119 119 4. Other financial assets mandatorily at fair value 113 80 33 43 X X 3,476 3,509 5. Financial instruments classified as held for sale 309 226 83 143 1,447 18 1,429 1,512 Total 12.31.2021 9,074 5,187 3,887 1,724 303,170 2,435 304,330 308,217 Total 12.31.2020 12,329 8,421 3,908 1,727 309,330 2,215 309,457 313,365 Note: (*) Value shown for information purposes. The reduction in impaired credit exposures is mainly due to the actions aimed to complete the "rundown" of the "Non Core" portfolio, as defined in the 2016-2019 Strategic Plan (Transform 2019), confirmed and strengthened with the 2020-2023 Strategic Plan (Team 23). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 703 Such changes are accounted on the basis of whether the modification is considered significant or not. In this regard, reference is made to the Part A - Accounting policies, A.2 - Main items of the accounts. The concessions granted due to debtor’s financial difficulties, so-called Forbearance initiatives, are usually considered not significant from an accounting perspective. 4.1 Loan categorisation in the risk categories and forborne exposures Reference is made to the paragraph “4.1 Loan categorization in the risk categories and forborne exposures” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 4. Financial assets subject to commercial renegotiations and forborne exposures, which is herewith quoted entirely. Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one for non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds. A.1 Non-performing and performing credit exposure: amounts, write-downs, changes, distribution by business activity A.1.1 Breakdown of financial assets by portfolio and credit quality (carrying value) (€ million) PORTFOLIOS/QUALITY BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE EXPOSURES PERFORMING PAST-DUE EXPOSURES OTHER PERFORMING EXPOSURES TOTAL 1. Financial assets at amortised cost 482 2,967 322 3,002 261,048 267,821 2. Financial assets at fair value through other comprehensive income - - - - 35,256 35,256 3. Financial assets designated at fair value - - - - 119 119 4. Other financial assets mandatorily at fair value - 33 - - 3,476 3,509 5. Financial instruments classified as held for sale 31 52 - - 1,429 1,512 Total 12.31.2021 513 3,052 322 3,002 301,328 308,217 Total 12.31.2020 629 3,027 252 3,504 305,953 313,365 A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values) (€ million) NON-PERFORMING ASSETS PERFORMING ASSETS PORTFOLIOS/QUALITY GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE TOTAL (NET EXPOSURE) 1. Financial assets at amortised cost 8,650 4,879 3,771 1,538 266,415 2,365 264,050 267,821 2. Financial assets at fair value through other comprehensive income 2 2 - - 35,308 52 35,256 35,256 3. Financial assets designated at fair value - - - - X X 119 119 4. Other financial assets mandatorily at fair value 113 80 33 43 X X 3,476 3,509 5. Financial instruments classified as held for sale 309 226 83 143 1,447 18 1,429 1,512 Total 12.31.2021 9,074 5,187 3,887 1,724 303,170 2,435 304,330 308,217 Total 12.31.2020 12,329 8,421 3,908 1,727 309,330 2,215 309,457 313,365 Note: (*) Value shown for information purposes. The reduction in impaired credit exposures is mainly due to the actions aimed to complete the "rundown" of the "Non Core" portfolio, as defined in the 2016-2019 Strategic Plan (Transform 2019), confirmed and strengthened with the 2020-2023 Strategic Plan (Team 23). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 703 Such changes are accounted on the basis of whether the modification is considered significant or not. In this regard, reference is made to the Part A - Accounting policies, A.2 - Main items of the accounts. The concessions granted due to debtor’s financial difficulties, so-called Forbearance initiatives, are usually considered not significant from an accounting perspective. 4.1 Loan categorisation in the risk categories and forborne exposures Reference is made to the paragraph “4.1 Loan categorization in the risk categories and forborne exposures” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 4. Financial assets subject to commercial renegotiations and forborne exposures, which is herewith quoted entirely. Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one for non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds. A.1 Non-performing and performing credit exposure: amounts, write-downs, changes, distribution by business activity A.1.1 Breakdown of financial assets by portfolio and credit quality (carrying value) (€ million) PORTFOLIOS/QUALITY BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE EXPOSURES PERFORMING PAST-DUE EXPOSURES OTHER PERFORMING EXPOSURES TOTAL 1. Financial assets at amortised cost 482 2,967 322 3,002 261,048 267,821 2. Financial assets at fair value through other comprehensive income - - - - 35,256 35,256 3. Financial assets designated at fair value - - - - 119 119 4. Other financial assets mandatorily at fair value - 33 - - 3,476 3,509 5. Financial instruments classified as held for sale 31 52 - - 1,429 1,512 Total 12.31.2021 513 3,052 322 3,002 301,328 308,217 Total 12.31.2020 629 3,027 252 3,504 305,953 313,365 A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values) (€ million) NON-PERFORMING ASSETS PERFORMING ASSETS PORTFOLIOS/QUALITY GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE TOTAL (NET EXPOSURE) 1. Financial assets at amortised cost 8,650 4,879 3,771 1,538 266,415 2,365 264,050 267,821 2. Financial assets at fair value through other comprehensive income 2 2 - - 35,308 52 35,256 35,256 3. Financial assets designated at fair value - - - - X X 119 119 4. Other financial assets mandatorily at fair value 113 80 33 43 X X 3,476 3,509 5. Financial instruments classified as held for sale 309 226 83 143 1,447 18 1,429 1,512 Total 12.31.2021 9,074 5,187 3,887 1,724 303,170 2,435 304,330 308,217 Total 12.31.2020 12,329 8,421 3,908 1,727 309,330 2,215 309,457 313,365 Note: (*) Value shown for information purposes. The reduction in impaired credit exposures is mainly due to the actions aimed to complete the "rundown" of the "Non Core" portfolio, as defined in the 2016-2019 Strategic Plan (Transform 2019), confirmed and strengthened with the 2020-2023 Strategic Plan (Team 23). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 703 Such changes are accounted on the basis of whether the modification is considered significant or not. In this regard, reference is made to the Part A - Accounting policies, A.2 - Main items of the accounts. The concessions granted due to debtor’s financial difficulties, so-called Forbearance initiatives, are usually considered not significant from an accounting perspective. 4.1 Loan categorisation in the risk categories and forborne exposures Reference is made to the paragraph “4.1 Loan categorization in the risk categories and forborne exposures” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 4. Financial assets subject to commercial renegotiations and forborne exposures, which is herewith quoted entirely. Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one for non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds. A.1 Non-performing and performing credit exposure: amounts, write-downs, changes, distribution by business activity A.1.1 Breakdown of financial assets by portfolio and credit quality (carrying value) (€ million) PORTFOLIOS/QUALITY BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE EXPOSURES PERFORMING PAST-DUE EXPOSURES OTHER PERFORMING EXPOSURES TOTAL 1. Financial assets at amortised cost 482 2,967 322 3,002 261,048 267,821 2. Financial assets at fair value through other comprehensive income - - - - 35,256 35,256 3. Financial assets designated at fair value - - - - 119 119 4. Other financial assets mandatorily at fair value - 33 - - 3,476 3,509 5. Financial instruments classified as held for sale 31 52 - - 1,429 1,512 Total 12.31.2021 513 3,052 322 3,002 301,328 308,217 Total 12.31.2020 629 3,027 252 3,504 305,953 313,365 A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values) (€ million) NON-PERFORMING ASSETS PERFORMING ASSETS PORTFOLIOS/QUALITY GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE TOTAL (NET EXPOSURE) 1. Financial assets at amortised cost 8,650 4,879 3,771 1,538 266,415 2,365 264,050 267,821 2. Financial assets at fair value through other comprehensive income 2 2 - - 35,308 52 35,256 35,256 3. Financial assets designated at fair value - - - - X X 119 119 4. Other financial assets mandatorily at fair value 113 80 33 43 X X 3,476 3,509 5. Financial instruments classified as held for sale 309 226 83 143 1,447 18 1,429 1,512 Total 12.31.2021 9,074 5,187 3,887 1,724 303,170 2,435 304,330 308,217 Total 12.31.2020 12,329 8,421 3,908 1,727 309,330 2,215 309,457 313,365 Note: (*) Value shown for information purposes. The reduction in impaired credit exposures is mainly due to the actions aimed to complete the "rundown" of the "Non Core" portfolio, as defined in the 2016-2019 Strategic Plan (Transform 2019), confirmed and strengthened with the 2020-2023 Strategic Plan (Team 23). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 703 Such changes are accounted on the basis of whether the modification is considered significant or not. In this regard, reference is made to the Part A - Accounting policies, A.2 - Main items of the accounts. The concessions granted due to debtor’s financial difficulties, so-called Forbearance initiatives, are usually considered not significant from an accounting perspective. 4.1 Loan categorisation in the risk categories and forborne exposures Reference is made to the paragraph “4.1 Loan categorization in the risk categories and forborne exposures” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information, 4. Financial assets subject to commercial renegotiations and forborne exposures, which is herewith quoted entirely. Quantitative information In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one for non-performing exposures referred to in the EBA standards. A. Credit quality For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments and units in investment funds. A.1 Non-performing and performing credit exposure: amounts, write-downs, changes, distribution by business activity A.1.1 Breakdown of financial assets by portfolio and credit quality (carrying value) (€ million) PORTFOLIOS/QUALITY BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST-DUE EXPOSURES PERFORMING PAST-DUE EXPOSURES OTHER PERFORMING EXPOSURES TOTAL 1. Financial assets at amortised cost 482 2,967 322 3,002 261,048 267,821 2. Financial assets at fair value through other comprehensive income - - - - 35,256 35,256 3. Financial assets designated at fair value - - - - 119 119 4. Other financial assets mandatorily at fair value - 33 - - 3,476 3,509 5. Financial instruments classified as held for sale 31 52 - - 1,429 1,512 Total 12.31.2021 513 3,052 322 3,002 301,328 308,217 Total 12.31.2020 629 3,027 252 3,504 305,953 313,365 A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values) (€ million) NON-PERFORMING ASSETS PERFORMING ASSETS PORTFOLIOS/QUALITY GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) GROSS EXPOSURE OVERALL WRITEDOWNS NET EXPOSURE TOTAL (NET EXPOSURE) 1. Financial assets at amortised cost 8,650 4,879 3,771 1,538 266,415 2,365 264,050 267,821 2. Financial assets at fair value through other comprehensive income 2 2 - - 35,308 52 35,256 35,256 3. Financial assets designated at fair value - - - - X X 119 119 4. Other financial assets mandatorily at fair value 113 80 33 43 X X 3,476 3,509 5. Financial instruments classified as held for sale 309 226 83 143 1,447 18 1,429 1,512 Total 12.31.2021 9,074 5,187 3,887 1,724 303,170 2,435 304,330 308,217 Total 12.31.2020 12,329 8,421 3,908 1,727 309,330 2,215 309,457 313,365 Note: (*) Value shown for information purposes. The reduction in impaired credit exposures is mainly due to the actions aimed to complete the "rundown" of the "Non Core" portfolio, as defined in the 2016-2019 Strategic Plan (Transform 2019), confirmed and strengthened with the 2020-2023 Strategic Plan (Team 23). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 704 2021 Annual Report and Accounts · UniCredit Olympia transaction “Olympia transaction“ (hereinafter also "Olympia") is part of the plan of disposal of the assets belonging to the "Non Core" perimeter belonging to the UniCredit group through a market operation. It relates to a set of credit exposures owned by UniCredit S.p.A., classified as Bad loans which, as at 31 October 2021 (cut-off date), amounted to €1.6 billion in terms of gross book value (€2.1 billion in terms of credit claims), also defined below as the "Portfolio". Olympia consists of an overall transaction, approved by the Group Financial and Credit Risk Committee on 5 November 2021, realised by 2 phases of process: • PHASE 1: securitisation of receivables (Bad loans) originated by UniCredit S.p.A. (the "Securitization"). On 11 November 2021 the legal transfer of the loan Portfolio from UniCredit S.p.A. (Originator) to Olympia SPV S.r.l. (Assignee) occurred at a price equal to €290 million, subsequently settled on 25 November 2021 through the full subscription by UniCredit S.p.A. of all Asset Backed Securities (named also ABS or Note) (Senior Notes for €261 million, Mezzanine for €26.1 million and Junior for €2.9 million) issued on the same date by Olympia SPV S.r.l. UniCredit S.p.A. is not involved in any role associated with the recovery or management of collections of securitised receivables as Servicer or Master Servicer or other similar roles within the Securitization transaction, nor has any control over the recovery process on the basis of the contracts in place. Within the transaction, a liquidity line granted to Olympia SPV S.r.l. by UniCredit Bank AG is envisaged for an amount of €26 million (qualified as “super-senior” in the Securitization waterfall of payments), to fund upfront and on-going running costs and cover potential maturity mismatches between the payment dates of these costs and cash flows arising from the collections of the loans. • PHASE 2: partial sale by UniCredit S.p.A. of the Mezzanine and Junior Notes to third parties investors not belonging to the UniCredit group. Following a placement process supported by UniCredit Bank AG as Placement Agent, on 29 November 2021 UniCredit S.p.A. accepted a Binding Offer from third parties not belonging to UniCredit group for the purchase of 95% of Notes Mezzanine and Junior (€27.6 million out of the total of €29 million) at a total price of approximately €9.5 million. Consequently, on 9 December 2021, the sale of 95% of the Mezzanine and Junior Notes to the investors was finalised. The sale of 95% of the Mezzanine and Junior Securities created the fundamental and substantial conditions for the accounting derecognition (pursuant to the international accounting standards in force) from the UniCredit S.p.A. Balance sheet of the receivables included in the Portfolio of bad loans securitized with Olympia transaction. Indeed, UniCredit S.p.A. has transferred to third parties (outside UniCredit group) the risks and benefits underlying the loan Portfolio subject to sale, since it has substantially replaced a Portfolio of impaired credit exposures (bad loans) booked for a gross book value of €1.6 billion with an exposure in Senior Notes (nominal €261 million) with “investment grade” rating, maintaining a residual exposure (5%) in the Mezzanine Tranche (nominal €1.3 million) and Junior (nominal €0.14 million). It is therefore possible to state that after the sale of 95% of the Mezzanine and Junior Notes (i) the Bank is no longer significantly exposed to the variability of the future cash flows of the loan Portfolio, and (ii) the underlying risks/rewards on securitized loans are no longer substantially retained by UniCredit S.p.A. but by third party (outside the UniCredit group) subscribers of the Mezzanine and Junior tranches and (iii) the Bank has neither control over the portfolio nor power to govern the relevant activities of Olympia SPV S.r.l. as it is not Servicer or Master Servicer. The liquidity line granted to Olympia SPV S.r.l. by UniCredit Bank AG does not change the result of the analysis on exposure to variability and risks/rewards since the repayment of the exposure deriving from the use of this line by the Vehicle is “super-senior” to the Senior Tranche. Consequently, UniCredit, both in the 2021 Individual and Consolidated Financial Statements, proceeded to: • derecognise the receivables belonging to the loan Portfolio relating to Olympia Transaction, • recognise the ABS (100% of Senior Note; 5% of Mezzanine and Junior Notes), which have been classified in the categories envisaged by IFRS9 considering their characteristics. As at 31 December 2021, the Senior Note is classified in item “30. Financial asset at fair value through other comprehensive income” for an amount of €261 million, while Mezzanine and Junior Note are classified in item “20. Financial assets at fair value through profit or loss” for an amount of €0.5 million and zero million respectively. For more details related to the evaluation of the credit exposure refer to paragraph “Aspects relating to the valuation of credit exposures as at 31 December 2021” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, which, for what relates specifically to UniCredit S.p.A., is herewith quoted entirely. (€ million) ASSETS OF EVIDENT LOW CREDIT QUALITY OTHER ASSETS PORTFOLIOS/QUALITY CUMULATED LOSSES NET EXPOSURE NET EXPOSURE 1. Financial assets held for trading 34 42 13,897 2. Hedging derivatives - - 4,362 Total 12.31.2021 34 42 18,259 Total 12.31.2020 44 64 17,306 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 704 2021 Annual Report and Accounts · UniCredit Olympia transaction “Olympia transaction“ (hereinafter also "Olympia") is part of the plan of disposal of the assets belonging to the "Non Core" perimeter belonging to the UniCredit group through a market operation. It relates to a set of credit exposures owned by UniCredit S.p.A., classified as Bad loans which, as at 31 October 2021 (cut-off date), amounted to €1.6 billion in terms of gross book value (€2.1 billion in terms of credit claims), also defined below as the "Portfolio". Olympia consists of an overall transaction, approved by the Group Financial and Credit Risk Committee on 5 November 2021, realised by 2 phases of process: • PHASE 1: securitisation of receivables (Bad loans) originated by UniCredit S.p.A. (the "Securitization"). On 11 November 2021 the legal transfer of the loan Portfolio from UniCredit S.p.A. (Originator) to Olympia SPV S.r.l. (Assignee) occurred at a price equal to €290 million, subsequently settled on 25 November 2021 through the full subscription by UniCredit S.p.A. of all Asset Backed Securities (named also ABS or Note) (Senior Notes for €261 million, Mezzanine for €26.1 million and Junior for €2.9 million) issued on the same date by Olympia SPV S.r.l. UniCredit S.p.A. is not involved in any role associated with the recovery or management of collections of securitised receivables as Servicer or Master Servicer or other similar roles within the Securitization transaction, nor has any control over the recovery process on the basis of the contracts in place. Within the transaction, a liquidity line granted to Olympia SPV S.r.l. by UniCredit Bank AG is envisaged for an amount of €26 million (qualified as “super-senior” in the Securitization waterfall of payments), to fund upfront and on-going running costs and cover potential maturity mismatches between the payment dates of these costs and cash flows arising from the collections of the loans. • PHASE 2: partial sale by UniCredit S.p.A. of the Mezzanine and Junior Notes to third parties investors not belonging to the UniCredit group. Following a placement process supported by UniCredit Bank AG as Placement Agent, on 29 November 2021 UniCredit S.p.A. accepted a Binding Offer from third parties not belonging to UniCredit group for the purchase of 95% of Notes Mezzanine and Junior (€27.6 million out of the total of €29 million) at a total price of approximately €9.5 million. Consequently, on 9 December 2021, the sale of 95% of the Mezzanine and Junior Notes to the investors was finalised. The sale of 95% of the Mezzanine and Junior Securities created the fundamental and substantial conditions for the accounting derecognition (pursuant to the international accounting standards in force) from the UniCredit S.p.A. Balance sheet of the receivables included in the Portfolio of bad loans securitized with Olympia transaction. Indeed, UniCredit S.p.A. has transferred to third parties (outside UniCredit group) the risks and benefits underlying the loan Portfolio subject to sale, since it has substantially replaced a Portfolio of impaired credit exposures (bad loans) booked for a gross book value of €1.6 billion with an exposure in Senior Notes (nominal €261 million) with “investment grade” rating, maintaining a residual exposure (5%) in the Mezzanine Tranche (nominal €1.3 million) and Junior (nominal €0.14 million). It is therefore possible to state that after the sale of 95% of the Mezzanine and Junior Notes (i) the Bank is no longer significantly exposed to the variability of the future cash flows of the loan Portfolio, and (ii) the underlying risks/rewards on securitized loans are no longer substantially retained by UniCredit S.p.A. but by third party (outside the UniCredit group) subscribers of the Mezzanine and Junior tranches and (iii) the Bank has neither control over the portfolio nor power to govern the relevant activities of Olympia SPV S.r.l. as it is not Servicer or Master Servicer. The liquidity line granted to Olympia SPV S.r.l. by UniCredit Bank AG does not change the result of the analysis on exposure to variability and risks/rewards since the repayment of the exposure deriving from the use of this line by the Vehicle is “super-senior” to the Senior Tranche. Consequently, UniCredit, both in the 2021 Individual and Consolidated Financial Statements, proceeded to: • derecognise the receivables belonging to the loan Portfolio relating to Olympia Transaction, • recognise the ABS (100% of Senior Note; 5% of Mezzanine and Junior Notes), which have been classified in the categories envisaged by IFRS9 considering their characteristics. As at 31 December 2021, the Senior Note is classified in item “30. Financial asset at fair value through other comprehensive income” for an amount of €261 million, while Mezzanine and Junior Note are classified in item “20. Financial assets at fair value through profit or loss” for an amount of €0.5 million and zero million respectively. For more details related to the evaluation of the credit exposure refer to paragraph “Aspects relating to the valuation of credit exposures as at 31 December 2021” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, which, for what relates specifically to UniCredit S.p.A., is herewith quoted entirely. (€ million) ASSETS OF EVIDENT LOW CREDIT QUALITY OTHER ASSETS PORTFOLIOS/QUALITY CUMULATED LOSSES NET EXPOSURE NET EXPOSURE 1. Financial assets held for trading 34 42 13,897 2. Hedging derivatives - - 4,362 Total 12.31.2021 34 42 18,259 Total 12.31.2020 44 64 17,306 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 704 2021 Annual Report and Accounts · UniCredit Olympia transaction “Olympia transaction“ (hereinafter also "Olympia") is part of the plan of disposal of the assets belonging to the "Non Core" perimeter belonging to the UniCredit group through a market operation. It relates to a set of credit exposures owned by UniCredit S.p.A., classified as Bad loans which, as at 31 October 2021 (cut-off date), amounted to €1.6 billion in terms of gross book value (€2.1 billion in terms of credit claims), also defined below as the "Portfolio". Olympia consists of an overall transaction, approved by the Group Financial and Credit Risk Committee on 5 November 2021, realised by 2 phases of process: • PHASE 1: securitisation of receivables (Bad loans) originated by UniCredit S.p.A. (the "Securitization"). On 11 November 2021 the legal transfer of the loan Portfolio from UniCredit S.p.A. (Originator) to Olympia SPV S.r.l. (Assignee) occurred at a price equal to €290 million, subsequently settled on 25 November 2021 through the full subscription by UniCredit S.p.A. of all Asset Backed Securities (named also ABS or Note) (Senior Notes for €261 million, Mezzanine for €26.1 million and Junior for €2.9 million) issued on the same date by Olympia SPV S.r.l. UniCredit S.p.A. is not involved in any role associated with the recovery or management of collections of securitised receivables as Servicer or Master Servicer or other similar roles within the Securitization transaction, nor has any control over the recovery process on the basis of the contracts in place. Within the transaction, a liquidity line granted to Olympia SPV S.r.l. by UniCredit Bank AG is envisaged for an amount of €26 million (qualified as “super-senior” in the Securitization waterfall of payments), to fund upfront and on-going running costs and cover potential maturity mismatches between the payment dates of these costs and cash flows arising from the collections of the loans. • PHASE 2: partial sale by UniCredit S.p.A. of the Mezzanine and Junior Notes to third parties investors not belonging to the UniCredit group. Following a placement process supported by UniCredit Bank AG as Placement Agent, on 29 November 2021 UniCredit S.p.A. accepted a Binding Offer from third parties not belonging to UniCredit group for the purchase of 95% of Notes Mezzanine and Junior (€27.6 million out of the total of €29 million) at a total price of approximately €9.5 million. Consequently, on 9 December 2021, the sale of 95% of the Mezzanine and Junior Notes to the investors was finalised. The sale of 95% of the Mezzanine and Junior Securities created the fundamental and substantial conditions for the accounting derecognition (pursuant to the international accounting standards in force) from the UniCredit S.p.A. Balance sheet of the receivables included in the Portfolio of bad loans securitized with Olympia transaction. Indeed, UniCredit S.p.A. has transferred to third parties (outside UniCredit group) the risks and benefits underlying the loan Portfolio subject to sale, since it has substantially replaced a Portfolio of impaired credit exposures (bad loans) booked for a gross book value of €1.6 billion with an exposure in Senior Notes (nominal €261 million) with “investment grade” rating, maintaining a residual exposure (5%) in the Mezzanine Tranche (nominal €1.3 million) and Junior (nominal €0.14 million). It is therefore possible to state that after the sale of 95% of the Mezzanine and Junior Notes (i) the Bank is no longer significantly exposed to the variability of the future cash flows of the loan Portfolio, and (ii) the underlying risks/rewards on securitized loans are no longer substantially retained by UniCredit S.p.A. but by third party (outside the UniCredit group) subscribers of the Mezzanine and Junior tranches and (iii) the Bank has neither control over the portfolio nor power to govern the relevant activities of Olympia SPV S.r.l. as it is not Servicer or Master Servicer. The liquidity line granted to Olympia SPV S.r.l. by UniCredit Bank AG does not change the result of the analysis on exposure to variability and risks/rewards since the repayment of the exposure deriving from the use of this line by the Vehicle is “super-senior” to the Senior Tranche. Consequently, UniCredit, both in the 2021 Individual and Consolidated Financial Statements, proceeded to: • derecognise the receivables belonging to the loan Portfolio relating to Olympia Transaction, • recognise the ABS (100% of Senior Note; 5% of Mezzanine and Junior Notes), which have been classified in the categories envisaged by IFRS9 considering their characteristics. As at 31 December 2021, the Senior Note is classified in item “30. Financial asset at fair value through other comprehensive income” for an amount of €261 million, while Mezzanine and Junior Note are classified in item “20. Financial assets at fair value through profit or loss” for an amount of €0.5 million and zero million respectively. For more details related to the evaluation of the credit exposure refer to paragraph “Aspects relating to the valuation of credit exposures as at 31 December 2021” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, which, for what relates specifically to UniCredit S.p.A., is herewith quoted entirely. (€ million) ASSETS OF EVIDENT LOW CREDIT QUALITY OTHER ASSETS PORTFOLIOS/QUALITY CUMULATED LOSSES NET EXPOSURE NET EXPOSURE 1. Financial assets held for trading 34 42 13,897 2. Hedging derivatives - - 4,362 Total 12.31.2021 34 42 18,259 Total 12.31.2020 44 64 17,306 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 704 2021 Annual Report and Accounts · UniCredit Olympia transaction “Olympia transaction“ (hereinafter also "Olympia") is part of the plan of disposal of the assets belonging to the "Non Core" perimeter belonging to the UniCredit group through a market operation. It relates to a set of credit exposures owned by UniCredit S.p.A., classified as Bad loans which, as at 31 October 2021 (cut-off date), amounted to €1.6 billion in terms of gross book value (€2.1 billion in terms of credit claims), also defined below as the "Portfolio". Olympia consists of an overall transaction, approved by the Group Financial and Credit Risk Committee on 5 November 2021, realised by 2 phases of process: • PHASE 1: securitisation of receivables (Bad loans) originated by UniCredit S.p.A. (the "Securitization"). On 11 November 2021 the legal transfer of the loan Portfolio from UniCredit S.p.A. (Originator) to Olympia SPV S.r.l. (Assignee) occurred at a price equal to €290 million, subsequently settled on 25 November 2021 through the full subscription by UniCredit S.p.A. of all Asset Backed Securities (named also ABS or Note) (Senior Notes for €261 million, Mezzanine for €26.1 million and Junior for €2.9 million) issued on the same date by Olympia SPV S.r.l. UniCredit S.p.A. is not involved in any role associated with the recovery or management of collections of securitised receivables as Servicer or Master Servicer or other similar roles within the Securitization transaction, nor has any control over the recovery process on the basis of the contracts in place. Within the transaction, a liquidity line granted to Olympia SPV S.r.l. by UniCredit Bank AG is envisaged for an amount of €26 million (qualified as “super-senior” in the Securitization waterfall of payments), to fund upfront and on-going running costs and cover potential maturity mismatches between the payment dates of these costs and cash flows arising from the collections of the loans. • PHASE 2: partial sale by UniCredit S.p.A. of the Mezzanine and Junior Notes to third parties investors not belonging to the UniCredit group. Following a placement process supported by UniCredit Bank AG as Placement Agent, on 29 November 2021 UniCredit S.p.A. accepted a Binding Offer from third parties not belonging to UniCredit group for the purchase of 95% of Notes Mezzanine and Junior (€27.6 million out of the total of €29 million) at a total price of approximately €9.5 million. Consequently, on 9 December 2021, the sale of 95% of the Mezzanine and Junior Notes to the investors was finalised. The sale of 95% of the Mezzanine and Junior Securities created the fundamental and substantial conditions for the accounting derecognition (pursuant to the international accounting standards in force) from the UniCredit S.p.A. Balance sheet of the receivables included in the Portfolio of bad loans securitized with Olympia transaction. Indeed, UniCredit S.p.A. has transferred to third parties (outside UniCredit group) the risks and benefits underlying the loan Portfolio subject to sale, since it has substantially replaced a Portfolio of impaired credit exposures (bad loans) booked for a gross book value of €1.6 billion with an exposure in Senior Notes (nominal €261 million) with “investment grade” rating, maintaining a residual exposure (5%) in the Mezzanine Tranche (nominal €1.3 million) and Junior (nominal €0.14 million). It is therefore possible to state that after the sale of 95% of the Mezzanine and Junior Notes (i) the Bank is no longer significantly exposed to the variability of the future cash flows of the loan Portfolio, and (ii) the underlying risks/rewards on securitized loans are no longer substantially retained by UniCredit S.p.A. but by third party (outside the UniCredit group) subscribers of the Mezzanine and Junior tranches and (iii) the Bank has neither control over the portfolio nor power to govern the relevant activities of Olympia SPV S.r.l. as it is not Servicer or Master Servicer. The liquidity line granted to Olympia SPV S.r.l. by UniCredit Bank AG does not change the result of the analysis on exposure to variability and risks/rewards since the repayment of the exposure deriving from the use of this line by the Vehicle is “super-senior” to the Senior Tranche. Consequently, UniCredit, both in the 2021 Individual and Consolidated Financial Statements, proceeded to: • derecognise the receivables belonging to the loan Portfolio relating to Olympia Transaction, • recognise the ABS (100% of Senior Note; 5% of Mezzanine and Junior Notes), which have been classified in the categories envisaged by IFRS9 considering their characteristics. As at 31 December 2021, the Senior Note is classified in item “30. Financial asset at fair value through other comprehensive income” for an amount of €261 million, while Mezzanine and Junior Note are classified in item “20. Financial assets at fair value through profit or loss” for an amount of €0.5 million and zero million respectively. For more details related to the evaluation of the credit exposure refer to paragraph “Aspects relating to the valuation of credit exposures as at 31 December 2021” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, which, for what relates specifically to UniCredit S.p.A., is herewith quoted entirely. (€ million) ASSETS OF EVIDENT LOW CREDIT QUALITY OTHER ASSETS PORTFOLIOS/QUALITY CUMULATED LOSSES NET EXPOSURE NET EXPOSURE 1. Financial assets held for trading 34 42 13,897 2. Hedging derivatives - - 4,362 Total 12.31.2021 34 42 18,259 Total 12.31.2020 44 64 17,306 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 704 2021 Annual Report and Accounts · UniCredit Olympia transaction “Olympia transaction“ (hereinafter also "Olympia") is part of the plan of disposal of the assets belonging to the "Non Core" perimeter belonging to the UniCredit group through a market operation. It relates to a set of credit exposures owned by UniCredit S.p.A., classified as Bad loans which, as at 31 October 2021 (cut-off date), amounted to €1.6 billion in terms of gross book value (€2.1 billion in terms of credit claims), also defined below as the "Portfolio". Olympia consists of an overall transaction, approved by the Group Financial and Credit Risk Committee on 5 November 2021, realised by 2 phases of process: • PHASE 1: securitisation of receivables (Bad loans) originated by UniCredit S.p.A. (the "Securitization"). On 11 November 2021 the legal transfer of the loan Portfolio from UniCredit S.p.A. (Originator) to Olympia SPV S.r.l. (Assignee) occurred at a price equal to €290 million, subsequently settled on 25 November 2021 through the full subscription by UniCredit S.p.A. of all Asset Backed Securities (named also ABS or Note) (Senior Notes for €261 million, Mezzanine for €26.1 million and Junior for €2.9 million) issued on the same date by Olympia SPV S.r.l. UniCredit S.p.A. is not involved in any role associated with the recovery or management of collections of securitised receivables as Servicer or Master Servicer or other similar roles within the Securitization transaction, nor has any control over the recovery process on the basis of the contracts in place. Within the transaction, a liquidity line granted to Olympia SPV S.r.l. by UniCredit Bank AG is envisaged for an amount of €26 million (qualified as “super-senior” in the Securitization waterfall of payments), to fund upfront and on-going running costs and cover potential maturity mismatches between the payment dates of these costs and cash flows arising from the collections of the loans. • PHASE 2: partial sale by UniCredit S.p.A. of the Mezzanine and Junior Notes to third parties investors not belonging to the UniCredit group. Following a placement process supported by UniCredit Bank AG as Placement Agent, on 29 November 2021 UniCredit S.p.A. accepted a Binding Offer from third parties not belonging to UniCredit group for the purchase of 95% of Notes Mezzanine and Junior (€27.6 million out of the total of €29 million) at a total price of approximately €9.5 million. Consequently, on 9 December 2021, the sale of 95% of the Mezzanine and Junior Notes to the investors was finalised. The sale of 95% of the Mezzanine and Junior Securities created the fundamental and substantial conditions for the accounting derecognition (pursuant to the international accounting standards in force) from the UniCredit S.p.A. Balance sheet of the receivables included in the Portfolio of bad loans securitized with Olympia transaction. Indeed, UniCredit S.p.A. has transferred to third parties (outside UniCredit group) the risks and benefits underlying the loan Portfolio subject to sale, since it has substantially replaced a Portfolio of impaired credit exposures (bad loans) booked for a gross book value of €1.6 billion with an exposure in Senior Notes (nominal €261 million) with “investment grade” rating, maintaining a residual exposure (5%) in the Mezzanine Tranche (nominal €1.3 million) and Junior (nominal €0.14 million). It is therefore possible to state that after the sale of 95% of the Mezzanine and Junior Notes (i) the Bank is no longer significantly exposed to the variability of the future cash flows of the loan Portfolio, and (ii) the underlying risks/rewards on securitized loans are no longer substantially retained by UniCredit S.p.A. but by third party (outside the UniCredit group) subscribers of the Mezzanine and Junior tranches and (iii) the Bank has neither control over the portfolio nor power to govern the relevant activities of Olympia SPV S.r.l. as it is not Servicer or Master Servicer. The liquidity line granted to Olympia SPV S.r.l. by UniCredit Bank AG does not change the result of the analysis on exposure to variability and risks/rewards since the repayment of the exposure deriving from the use of this line by the Vehicle is “super-senior” to the Senior Tranche. Consequently, UniCredit, both in the 2021 Individual and Consolidated Financial Statements, proceeded to: • derecognise the receivables belonging to the loan Portfolio relating to Olympia Transaction, • recognise the ABS (100% of Senior Note; 5% of Mezzanine and Junior Notes), which have been classified in the categories envisaged by IFRS9 considering their characteristics. As at 31 December 2021, the Senior Note is classified in item “30. Financial asset at fair value through other comprehensive income” for an amount of €261 million, while Mezzanine and Junior Note are classified in item “20. Financial assets at fair value through profit or loss” for an amount of €0.5 million and zero million respectively. For more details related to the evaluation of the credit exposure refer to paragraph “Aspects relating to the valuation of credit exposures as at 31 December 2021” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, which, for what relates specifically to UniCredit S.p.A., is herewith quoted entirely. (€ million) ASSETS OF EVIDENT LOW CREDIT QUALITY OTHER ASSETS PORTFOLIOS/QUALITY CUMULATED LOSSES NET EXPOSURE NET EXPOSURE 1. Financial assets held for trading 34 42 13,897 2. Hedging derivatives - - 4,362 Total 12.31.2021 34 42 18,259 Total 12.31.2020 44 64 17,306 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 705 A.1.3 Breakdown of financial assets by past-due buckets (carrying value) (€ million) PORTFOLIOS/RISK STAGES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS 1. Financial assets at amortised cost 1,328 34 15 1,377 174 74 2,430 144 1,197 - - 1 2. Financial assets at fair value through other comprehensive income - - - - - - - - - - - - 3. Financial instruments classified as held for sale - - - - - - 35 - 49 - - - Total 12.31.2021 1,328 34 15 1,377 174 74 2,465 144 1,246 - - 1 Total 12.31.2020 2,075 56 33 716 355 269 1,987 76 1,785 - - 1 A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) OVERALL WRITE-DOWNS FINANCIAL ASSETS CLASSIFIED IN STAGE 1 FINANCIAL ASSETS CLASSIFIED IN STAGE 2 SOURCES/RISK STAGES CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 701 39 - - 740 - 1,476 - - - 1,476 Increases in acquired or originated financial assets - 104 - - - 104 - 161 - - - 161 Reversals different from write-offs - (142) (2) - - (144) - (172) - - - (172) Net losses/recoveries on credit impairment - (253) 14 - - (239) - 490 - 18 - 508 Contractual changes without cancellation - - - - - - - - - - - - Changes in estimation methodology - - - - - - - - - - - - Write-off - - - - - - - - - - - - Other changes 1 1 1 7 3 7 - (1) - (7) - (8) Closing balance (gross amount) 1 411 52 7 3 468 - 1,954 - 11 - 1,965 Recoveries from financial assets subject to write-off - - - - - - - - - - - - Write-off are not recognised directly in profit or loss - (22) - - - (22) - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 705 A.1.3 Breakdown of financial assets by past-due buckets (carrying value) (€ million) PORTFOLIOS/RISK STAGES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS 1. Financial assets at amortised cost 1,328 34 15 1,377 174 74 2,430 144 1,197 - - 1 2. Financial assets at fair value through other comprehensive income - - - - - - - - - - - - 3. Financial instruments classified as held for sale - - - - - - 35 - 49 - - - Total 12.31.2021 1,328 34 15 1,377 174 74 2,465 144 1,246 - - 1 Total 12.31.2020 2,075 56 33 716 355 269 1,987 76 1,785 - - 1 A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) OVERALL WRITE-DOWNS FINANCIAL ASSETS CLASSIFIED IN STAGE 1 FINANCIAL ASSETS CLASSIFIED IN STAGE 2 SOURCES/RISK STAGES CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 701 39 - - 740 - 1,476 - - - 1,476 Increases in acquired or originated financial assets - 104 - - - 104 - 161 - - - 161 Reversals different from write-offs - (142) (2) - - (144) - (172) - - - (172) Net losses/recoveries on credit impairment - (253) 14 - - (239) - 490 - 18 - 508 Contractual changes without cancellation - - - - - - - - - - - - Changes in estimation methodology - - - - - - - - - - - - Write-off - - - - - - - - - - - - Other changes 1 1 1 7 3 7 - (1) - (7) - (8) Closing balance (gross amount) 1 411 52 7 3 468 - 1,954 - 11 - 1,965 Recoveries from financial assets subject to write-off - - - - - - - - - - - - Write-off are not recognised directly in profit or loss - (22) - - - (22) - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 705 A.1.3 Breakdown of financial assets by past-due buckets (carrying value) (€ million) PORTFOLIOS/RISK STAGES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS 1. Financial assets at amortised cost 1,328 34 15 1,377 174 74 2,430 144 1,197 - - 1 2. Financial assets at fair value through other comprehensive income - - - - - - - - - - - - 3. Financial instruments classified as held for sale - - - - - - 35 - 49 - - - Total 12.31.2021 1,328 34 15 1,377 174 74 2,465 144 1,246 - - 1 Total 12.31.2020 2,075 56 33 716 355 269 1,987 76 1,785 - - 1 A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) OVERALL WRITE-DOWNS FINANCIAL ASSETS CLASSIFIED IN STAGE 1 FINANCIAL ASSETS CLASSIFIED IN STAGE 2 SOURCES/RISK STAGES CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 701 39 - - 740 - 1,476 - - - 1,476 Increases in acquired or originated financial assets - 104 - - - 104 - 161 - - - 161 Reversals different from write-offs - (142) (2) - - (144) - (172) - - - (172) Net losses/recoveries on credit impairment - (253) 14 - - (239) - 490 - 18 - 508 Contractual changes without cancellation - - - - - - - - - - - - Changes in estimation methodology - - - - - - - - - - - - Write-off - - - - - - - - - - - - Other changes 1 1 1 7 3 7 - (1) - (7) - (8) Closing balance (gross amount) 1 411 52 7 3 468 - 1,954 - 11 - 1,965 Recoveries from financial assets subject to write-off - - - - - - - - - - - - Write-off are not recognised directly in profit or loss - (22) - - - (22) - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 705 A.1.3 Breakdown of financial assets by past-due buckets (carrying value) (€ million) PORTFOLIOS/RISK STAGES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS 1. Financial assets at amortised cost 1,328 34 15 1,377 174 74 2,430 144 1,197 - - 1 2. Financial assets at fair value through other comprehensive income - - - - - - - - - - - - 3. Financial instruments classified as held for sale - - - - - - 35 - 49 - - - Total 12.31.2021 1,328 34 15 1,377 174 74 2,465 144 1,246 - - 1 Total 12.31.2020 2,075 56 33 716 355 269 1,987 76 1,785 - - 1 A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) OVERALL WRITE-DOWNS FINANCIAL ASSETS CLASSIFIED IN STAGE 1 FINANCIAL ASSETS CLASSIFIED IN STAGE 2 SOURCES/RISK STAGES CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 701 39 - - 740 - 1,476 - - - 1,476 Increases in acquired or originated financial assets - 104 - - - 104 - 161 - - - 161 Reversals different from write-offs - (142) (2) - - (144) - (172) - - - (172) Net losses/recoveries on credit impairment - (253) 14 - - (239) - 490 - 18 - 508 Contractual changes without cancellation - - - - - - - - - - - - Changes in estimation methodology - - - - - - - - - - - - Write-off - - - - - - - - - - - - Other changes 1 1 1 7 3 7 - (1) - (7) - (8) Closing balance (gross amount) 1 411 52 7 3 468 - 1,954 - 11 - 1,965 Recoveries from financial assets subject to write-off - - - - - - - - - - - - Write-off are not recognised directly in profit or loss - (22) - - - (22) - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 705 A.1.3 Breakdown of financial assets by past-due buckets (carrying value) (€ million) PORTFOLIOS/RISK STAGES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS FROM 1 TO 30 DAYS OVER 30 AND UP TO 90 DAYS OVER 90 DAYS 1. Financial assets at amortised cost 1,328 34 15 1,377 174 74 2,430 144 1,197 - - 1 2. Financial assets at fair value through other comprehensive income - - - - - - - - - - - - 3. Financial instruments classified as held for sale - - - - - - 35 - 49 - - - Total 12.31.2021 1,328 34 15 1,377 174 74 2,465 144 1,246 - - 1 Total 12.31.2020 2,075 56 33 716 355 269 1,987 76 1,785 - - 1 A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) OVERALL WRITE-DOWNS FINANCIAL ASSETS CLASSIFIED IN STAGE 1 FINANCIAL ASSETS CLASSIFIED IN STAGE 2 SOURCES/RISK STAGES CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 701 39 - - 740 - 1,476 - - - 1,476 Increases in acquired or originated financial assets - 104 - - - 104 - 161 - - - 161 Reversals different from write-offs - (142) (2) - - (144) - (172) - - - (172) Net losses/recoveries on credit impairment - (253) 14 - - (239) - 490 - 18 - 508 Contractual changes without cancellation - - - - - - - - - - - - Changes in estimation methodology - - - - - - - - - - - - Write-off - - - - - - - - - - - - Other changes 1 1 1 7 3 7 - (1) - (7) - (8) Closing balance (gross amount) 1 411 52 7 3 468 - 1,954 - 11 - 1,965 Recoveries from financial assets subject to write-off - - - - - - - - - - - - Write-off are not recognised directly in profit or loss - (22) - - - (22) - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 706 2021 Annual Report and Accounts · UniCredit continued: A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS ASSETS BELONGING TO THIRD STAGE PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 7,809 1 501 5,795 2,516 6 - - 2 3 Increases in acquired or originated financial assets - 222 1 - 179 43 - - - - - Reversals different from write-offs - (2,437) - (2,266) (980) (3,723) (2) - (3) - (5) Net losses/recoveries on credit impairment - 526 - (59) (276) 743 - - - - - Contractual changes without cancellation - 3 - - 3 - - - - - - Changes in estimation methodology - - - - - - - - - - - Write-off - (1,316) - (1) (938) (379) - - - - - Other changes - 69 - 2,051 (597) 2,716 - - 3 (1) 5 Closing balance (gross amount) - 4,876 2 226 3,186 1,916 4 - - 1 3 Recoveries from financial assets subject to write-off - 38 - - 6 32 - - - - - Write-off are not recognised directly in profit or loss - (110) - (6) (64) (52) (1) - - (1) - continued: A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS TOTAL TOTAL PROVISIONS ON LOANS COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 COMMITMENTS FUNDS AND FINANCIAL GUARANTEES PURCHASED OR ORIGINATED CREDIT-IMPAIRED Opening balance (gross amount) 56 55 331 - 10,975 Increases in acquired or originated financial assets 25 20 32 - 565 Reversals different from write-offs - - - - (5,024) Net losses/recoveries on credit impairment (28) (6) (66) - 636 Contractual changes without cancellation - - - - 3 Changes in estimation methodology - - - - - Write-off - - - - (1,317) Other changes - - - - 2,125 Closing balance (gross amount) 53 69 297 - 7,963 Recoveries from financial assets subject to write-off - - - - 38 Write-off are not recognised directly in profit or loss - - - - (139) Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 706 2021 Annual Report and Accounts · UniCredit continued: A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS ASSETS BELONGING TO THIRD STAGE PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 7,809 1 501 5,795 2,516 6 - - 2 3 Increases in acquired or originated financial assets - 222 1 - 179 43 - - - - - Reversals different from write-offs - (2,437) - (2,266) (980) (3,723) (2) - (3) - (5) Net losses/recoveries on credit impairment - 526 - (59) (276) 743 - - - - - Contractual changes without cancellation - 3 - - 3 - - - - - - Changes in estimation methodology - - - - - - - - - - - Write-off - (1,316) - (1) (938) (379) - - - - - Other changes - 69 - 2,051 (597) 2,716 - - 3 (1) 5 Closing balance (gross amount) - 4,876 2 226 3,186 1,916 4 - - 1 3 Recoveries from financial assets subject to write-off - 38 - - 6 32 - - - - - Write-off are not recognised directly in profit or loss - (110) - (6) (64) (52) (1) - - (1) - continued: A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS TOTAL TOTAL PROVISIONS ON LOANS COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 COMMITMENTS FUNDS AND FINANCIAL GUARANTEES PURCHASED OR ORIGINATED CREDIT-IMPAIRED Opening balance (gross amount) 56 55 331 - 10,975 Increases in acquired or originated financial assets 25 20 32 - 565 Reversals different from write-offs - - - - (5,024) Net losses/recoveries on credit impairment (28) (6) (66) - 636 Contractual changes without cancellation - - - - 3 Changes in estimation methodology - - - - - Write-off - - - - (1,317) Other changes - - - - 2,125 Closing balance (gross amount) 53 69 297 - 7,963 Recoveries from financial assets subject to write-off - - - - 38 Write-off are not recognised directly in profit or loss - - - - (139) Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 706 2021 Annual Report and Accounts · UniCredit continued: A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS ASSETS BELONGING TO THIRD STAGE PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 7,809 1 501 5,795 2,516 6 - - 2 3 Increases in acquired or originated financial assets - 222 1 - 179 43 - - - - - Reversals different from write-offs - (2,437) - (2,266) (980) (3,723) (2) - (3) - (5) Net losses/recoveries on credit impairment - 526 - (59) (276) 743 - - - - - Contractual changes without cancellation - 3 - - 3 - - - - - - Changes in estimation methodology - - - - - - - - - - - Write-off - (1,316) - (1) (938) (379) - - - - - Other changes - 69 - 2,051 (597) 2,716 - - 3 (1) 5 Closing balance (gross amount) - 4,876 2 226 3,186 1,916 4 - - 1 3 Recoveries from financial assets subject to write-off - 38 - - 6 32 - - - - - Write-off are not recognised directly in profit or loss - (110) - (6) (64) (52) (1) - - (1) - continued: A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS TOTAL TOTAL PROVISIONS ON LOANS COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 COMMITMENTS FUNDS AND FINANCIAL GUARANTEES PURCHASED OR ORIGINATED CREDIT-IMPAIRED Opening balance (gross amount) 56 55 331 - 10,975 Increases in acquired or originated financial assets 25 20 32 - 565 Reversals different from write-offs - - - - (5,024) Net losses/recoveries on credit impairment (28) (6) (66) - 636 Contractual changes without cancellation - - - - 3 Changes in estimation methodology - - - - - Write-off - - - - (1,317) Other changes - - - - 2,125 Closing balance (gross amount) 53 69 297 - 7,963 Recoveries from financial assets subject to write-off - - - - 38 Write-off are not recognised directly in profit or loss - - - - (139) Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 706 2021 Annual Report and Accounts · UniCredit continued: A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS ASSETS BELONGING TO THIRD STAGE PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 7,809 1 501 5,795 2,516 6 - - 2 3 Increases in acquired or originated financial assets - 222 1 - 179 43 - - - - - Reversals different from write-offs - (2,437) - (2,266) (980) (3,723) (2) - (3) - (5) Net losses/recoveries on credit impairment - 526 - (59) (276) 743 - - - - - Contractual changes without cancellation - 3 - - 3 - - - - - - Changes in estimation methodology - - - - - - - - - - - Write-off - (1,316) - (1) (938) (379) - - - - - Other changes - 69 - 2,051 (597) 2,716 - - 3 (1) 5 Closing balance (gross amount) - 4,876 2 226 3,186 1,916 4 - - 1 3 Recoveries from financial assets subject to write-off - 38 - - 6 32 - - - - - Write-off are not recognised directly in profit or loss - (110) - (6) (64) (52) (1) - - (1) - continued: A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS TOTAL TOTAL PROVISIONS ON LOANS COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 COMMITMENTS FUNDS AND FINANCIAL GUARANTEES PURCHASED OR ORIGINATED CREDIT-IMPAIRED Opening balance (gross amount) 56 55 331 - 10,975 Increases in acquired or originated financial assets 25 20 32 - 565 Reversals different from write-offs - - - - (5,024) Net losses/recoveries on credit impairment (28) (6) (66) - 636 Contractual changes without cancellation - - - - 3 Changes in estimation methodology - - - - - Write-off - - - - (1,317) Other changes - - - - 2,125 Closing balance (gross amount) 53 69 297 - 7,963 Recoveries from financial assets subject to write-off - - - - 38 Write-off are not recognised directly in profit or loss - - - - (139) Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 706 2021 Annual Report and Accounts · UniCredit continued: A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS ASSETS BELONGING TO THIRD STAGE PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS CURRENT ACCOUNTS AND DEMAND DEPOSITS WITH BANKS AND CENTRAL BANKS FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL INSTRUMENTS CLASSIFIED AS HELD FOR SALE OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT FINANCIAL ASSETS AT AMORTISED COST FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OF WHICH: INDIVIDUAL IMPAIRMENT OF WHICH: COLLECTIVE IMPAIRMENT Opening balance (gross amount) - 7,809 1 501 5,795 2,516 6 - - 2 3 Increases in acquired or originated financial assets - 222 1 - 179 43 - - - - - Reversals different from write-offs - (2,437) - (2,266) (980) (3,723) (2) - (3) - (5) Net losses/recoveries on credit impairment - 526 - (59) (276) 743 - - - - - Contractual changes without cancellation - 3 - - 3 - - - - - - Changes in estimation methodology - - - - - - - - - - - Write-off - (1,316) - (1) (938) (379) - - - - - Other changes - 69 - 2,051 (597) 2,716 - - 3 (1) 5 Closing balance (gross amount) - 4,876 2 226 3,186 1,916 4 - - 1 3 Recoveries from financial assets subject to write-off - 38 - - 6 32 - - - - - Write-off are not recognised directly in profit or loss - (110) - (6) (64) (52) (1) - - (1) - continued: A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions (€ million) SOURCES/RISK STAGES OVERALL WRITE-DOWNS TOTAL TOTAL PROVISIONS ON LOANS COMMITMENTS AND FINANCIAL GUARANTEES GIVEN STAGE 1 STAGE 2 STAGE 3 COMMITMENTS FUNDS AND FINANCIAL GUARANTEES PURCHASED OR ORIGINATED CREDIT-IMPAIRED Opening balance (gross amount) 56 55 331 - 10,975 Increases in acquired or originated financial assets 25 20 32 - 565 Reversals different from write-offs - - - - (5,024) Net losses/recoveries on credit impairment (28) (6) (66) - 636 Contractual changes without cancellation - - - - 3 Changes in estimation methodology - - - - - Write-off - - - - (1,317) Other changes - - - - 2,125 Closing balance (gross amount) 53 69 297 - 7,963 Recoveries from financial assets subject to write-off - - - - 38 Write-off are not recognised directly in profit or loss - - - - (139) Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 707 A.1.5 Financial assets, loan commitments and financial guarantees given: transfers between risk stages (gross values and nominal values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES/NOMINAL VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 1. Financial assets at amortised cost 27,562 3,788 2,081 604 679 17 2. Financial assets at fair value through other comprehensive income 44 - - - - - 3. Financial instruments classified as held for sale 11 - - - - - 4. Loan commitments and financial guarantees given 11,780 1,308 80 7 73 119 Total 12.31.2021 39,397 5,096 2,161 611 752 136 Total 12.31.2020 27,560 3,228 1,436 188 1,180 72 A.1.5a Other loans and advances subject to Covid-19 measures: transfers between impairment stages (gross value) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 A. Financial assets at amortised cost 6,457 1,761 679 24 116 3 A.1 EBA-compliant moratoria loans and advances 5 1 1 - - - A.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 668 4 32 1 3 - A.3 Loans and advances with other forbearance measures 764 - 570 20 36 - A.4 Newly originated loans and advances 5,020 1,756 76 3 77 3 B. Financial assets at fair value through other comprehensive income - - - - - - B.1 EBA-compliant moratoria loans and advances - - - - - - B.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - B.3 Loans and advances with other forbearance measures - - - - - - B.4 Newly originated loans and advances - - - - - - Total 12.31.2021 6,457 1,761 679 24 116 3 Total 12.31.2020 10,488 372 90 14 72 2 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 707 A.1.5 Financial assets, loan commitments and financial guarantees given: transfers between risk stages (gross values and nominal values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES/NOMINAL VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 1. Financial assets at amortised cost 27,562 3,788 2,081 604 679 17 2. Financial assets at fair value through other comprehensive income 44 - - - - - 3. Financial instruments classified as held for sale 11 - - - - - 4. Loan commitments and financial guarantees given 11,780 1,308 80 7 73 119 Total 12.31.2021 39,397 5,096 2,161 611 752 136 Total 12.31.2020 27,560 3,228 1,436 188 1,180 72 A.1.5a Other loans and advances subject to Covid-19 measures: transfers between impairment stages (gross value) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 A. Financial assets at amortised cost 6,457 1,761 679 24 116 3 A.1 EBA-compliant moratoria loans and advances 5 1 1 - - - A.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 668 4 32 1 3 - A.3 Loans and advances with other forbearance measures 764 - 570 20 36 - A.4 Newly originated loans and advances 5,020 1,756 76 3 77 3 B. Financial assets at fair value through other comprehensive income - - - - - - B.1 EBA-compliant moratoria loans and advances - - - - - - B.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - B.3 Loans and advances with other forbearance measures - - - - - - B.4 Newly originated loans and advances - - - - - - Total 12.31.2021 6,457 1,761 679 24 116 3 Total 12.31.2020 10,488 372 90 14 72 2 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 707 A.1.5 Financial assets, loan commitments and financial guarantees given: transfers between risk stages (gross values and nominal values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES/NOMINAL VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 1. Financial assets at amortised cost 27,562 3,788 2,081 604 679 17 2. Financial assets at fair value through other comprehensive income 44 - - - - - 3. Financial instruments classified as held for sale 11 - - - - - 4. Loan commitments and financial guarantees given 11,780 1,308 80 7 73 119 Total 12.31.2021 39,397 5,096 2,161 611 752 136 Total 12.31.2020 27,560 3,228 1,436 188 1,180 72 A.1.5a Other loans and advances subject to Covid-19 measures: transfers between impairment stages (gross value) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 A. Financial assets at amortised cost 6,457 1,761 679 24 116 3 A.1 EBA-compliant moratoria loans and advances 5 1 1 - - - A.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 668 4 32 1 3 - A.3 Loans and advances with other forbearance measures 764 - 570 20 36 - A.4 Newly originated loans and advances 5,020 1,756 76 3 77 3 B. Financial assets at fair value through other comprehensive income - - - - - - B.1 EBA-compliant moratoria loans and advances - - - - - - B.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - B.3 Loans and advances with other forbearance measures - - - - - - B.4 Newly originated loans and advances - - - - - - Total 12.31.2021 6,457 1,761 679 24 116 3 Total 12.31.2020 10,488 372 90 14 72 2 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 707 A.1.5 Financial assets, loan commitments and financial guarantees given: transfers between risk stages (gross values and nominal values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES/NOMINAL VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 1. Financial assets at amortised cost 27,562 3,788 2,081 604 679 17 2. Financial assets at fair value through other comprehensive income 44 - - - - - 3. Financial instruments classified as held for sale 11 - - - - - 4. Loan commitments and financial guarantees given 11,780 1,308 80 7 73 119 Total 12.31.2021 39,397 5,096 2,161 611 752 136 Total 12.31.2020 27,560 3,228 1,436 188 1,180 72 A.1.5a Other loans and advances subject to Covid-19 measures: transfers between impairment stages (gross value) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 A. Financial assets at amortised cost 6,457 1,761 679 24 116 3 A.1 EBA-compliant moratoria loans and advances 5 1 1 - - - A.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 668 4 32 1 3 - A.3 Loans and advances with other forbearance measures 764 - 570 20 36 - A.4 Newly originated loans and advances 5,020 1,756 76 3 77 3 B. Financial assets at fair value through other comprehensive income - - - - - - B.1 EBA-compliant moratoria loans and advances - - - - - - B.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - B.3 Loans and advances with other forbearance measures - - - - - - B.4 Newly originated loans and advances - - - - - - Total 12.31.2021 6,457 1,761 679 24 116 3 Total 12.31.2020 10,488 372 90 14 72 2 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 707 A.1.5 Financial assets, loan commitments and financial guarantees given: transfers between risk stages (gross values and nominal values) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES/NOMINAL VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 1. Financial assets at amortised cost 27,562 3,788 2,081 604 679 17 2. Financial assets at fair value through other comprehensive income 44 - - - - - 3. Financial instruments classified as held for sale 11 - - - - - 4. Loan commitments and financial guarantees given 11,780 1,308 80 7 73 119 Total 12.31.2021 39,397 5,096 2,161 611 752 136 Total 12.31.2020 27,560 3,228 1,436 188 1,180 72 A.1.5a Other loans and advances subject to Covid-19 measures: transfers between impairment stages (gross value) (€ million) PORTFOLIOS/RISK STAGES GROSS VALUES TRANSFERS BETWEEN STAGE 1 AND STAGE 2 TRANSFERS BETWEEN STAGE 2 AND STAGE 3 TRANSFERS BETWEEN STAGE 1 AND STAGE 3 FROM STAGE 1 TO STAGE 2 FROM STAGE 2 TO STAGE 1 FROM STAGE 2 TO STAGE 3 FROM STAGE 3 TO STAGE 2 FROM STAGE 1 TO STAGE 3 FROM STAGE 3 TO STAGE 1 A. Financial assets at amortised cost 6,457 1,761 679 24 116 3 A.1 EBA-compliant moratoria loans and advances 5 1 1 - - - A.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 668 4 32 1 3 - A.3 Loans and advances with other forbearance measures 764 - 570 20 36 - A.4 Newly originated loans and advances 5,020 1,756 76 3 77 3 B. Financial assets at fair value through other comprehensive income - - - - - - B.1 EBA-compliant moratoria loans and advances - - - - - - B.2 Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - B.3 Loans and advances with other forbearance measures - - - - - - B.4 Newly originated loans and advances - - - - - - Total 12.31.2021 6,457 1,761 679 24 116 3 Total 12.31.2020 10,488 372 90 14 72 2 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 708 2021 Annual Report and Accounts · UniCredit A.1.6 On- and off-balance sheet credit exposures with banks: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures A.1 On Demand 71,518 71,239 279 - - 1 1 - - - 71,517 - a) Non-performing - X - - - - X - - - - - b) Performing 71,518 71,239 279 X - 1 1 - X - 71,517 - A.2 Other 42,376 37,758 1,560 4 - 13 7 1 4 - 42,363 - a) Bad exposures 4 X - 4 - 4 X - 4 - - - of which: forborne exposures - X - - - - X - - - - - b) Unlikely to pay - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - c) Non-performing past due - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - d) Performing past due - - - X - - - - X - - - of which: forborne exposures - - - X - - - - X - - - e) Other performing exposures 42,372 37,758 1,560 X - 9 7 1 X - 42,363 - of which: forborne exposures - - - X - - - - X - - - Total (A) 113,894 108,997 1,839 4 - 14 8 1 4 - 113,880 - B. Off-balance sheet credit exposures a) Non-performing - X - - - - X - - - - - b) Performing 36,902 5,533 970 X - 5 3 2 X - 36,897 - Total (B) 36,902 5,533 970 - - 5 3 2 - - 36,897 - Total (A+B) 150,796 114,530 2,809 4 - 19 11 3 4 - 150,777 - Note: (*) Value shown for information purposes. On-balance sheet exposures to banks include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortised cost, assets at fair value through other comprehensive income, current accounts and demand deposits with banks and central banks and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 708 2021 Annual Report and Accounts · UniCredit A.1.6 On- and off-balance sheet credit exposures with banks: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures A.1 On Demand 71,518 71,239 279 - - 1 1 - - - 71,517 - a) Non-performing - X - - - - X - - - - - b) Performing 71,518 71,239 279 X - 1 1 - X - 71,517 - A.2 Other 42,376 37,758 1,560 4 - 13 7 1 4 - 42,363 - a) Bad exposures 4 X - 4 - 4 X - 4 - - - of which: forborne exposures - X - - - - X - - - - - b) Unlikely to pay - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - c) Non-performing past due - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - d) Performing past due - - - X - - - - X - - - of which: forborne exposures - - - X - - - - X - - - e) Other performing exposures 42,372 37,758 1,560 X - 9 7 1 X - 42,363 - of which: forborne exposures - - - X - - - - X - - - Total (A) 113,894 108,997 1,839 4 - 14 8 1 4 - 113,880 - B. Off-balance sheet credit exposures a) Non-performing - X - - - - X - - - - - b) Performing 36,902 5,533 970 X - 5 3 2 X - 36,897 - Total (B) 36,902 5,533 970 - - 5 3 2 - - 36,897 - Total (A+B) 150,796 114,530 2,809 4 - 19 11 3 4 - 150,777 - Note: (*) Value shown for information purposes. On-balance sheet exposures to banks include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortised cost, assets at fair value through other comprehensive income, current accounts and demand deposits with banks and central banks and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 708 2021 Annual Report and Accounts · UniCredit A.1.6 On- and off-balance sheet credit exposures with banks: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures A.1 On Demand 71,518 71,239 279 - - 1 1 - - - 71,517 - a) Non-performing - X - - - - X - - - - - b) Performing 71,518 71,239 279 X - 1 1 - X - 71,517 - A.2 Other 42,376 37,758 1,560 4 - 13 7 1 4 - 42,363 - a) Bad exposures 4 X - 4 - 4 X - 4 - - - of which: forborne exposures - X - - - - X - - - - - b) Unlikely to pay - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - c) Non-performing past due - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - d) Performing past due - - - X - - - - X - - - of which: forborne exposures - - - X - - - - X - - - e) Other performing exposures 42,372 37,758 1,560 X - 9 7 1 X - 42,363 - of which: forborne exposures - - - X - - - - X - - - Total (A) 113,894 108,997 1,839 4 - 14 8 1 4 - 113,880 - B. Off-balance sheet credit exposures a) Non-performing - X - - - - X - - - - - b) Performing 36,902 5,533 970 X - 5 3 2 X - 36,897 - Total (B) 36,902 5,533 970 - - 5 3 2 - - 36,897 - Total (A+B) 150,796 114,530 2,809 4 - 19 11 3 4 - 150,777 - Note: (*) Value shown for information purposes. On-balance sheet exposures to banks include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortised cost, assets at fair value through other comprehensive income, current accounts and demand deposits with banks and central banks and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 708 2021 Annual Report and Accounts · UniCredit A.1.6 On- and off-balance sheet credit exposures with banks: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures A.1 On Demand 71,518 71,239 279 - - 1 1 - - - 71,517 - a) Non-performing - X - - - - X - - - - - b) Performing 71,518 71,239 279 X - 1 1 - X - 71,517 - A.2 Other 42,376 37,758 1,560 4 - 13 7 1 4 - 42,363 - a) Bad exposures 4 X - 4 - 4 X - 4 - - - of which: forborne exposures - X - - - - X - - - - - b) Unlikely to pay - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - c) Non-performing past due - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - d) Performing past due - - - X - - - - X - - - of which: forborne exposures - - - X - - - - X - - - e) Other performing exposures 42,372 37,758 1,560 X - 9 7 1 X - 42,363 - of which: forborne exposures - - - X - - - - X - - - Total (A) 113,894 108,997 1,839 4 - 14 8 1 4 - 113,880 - B. Off-balance sheet credit exposures a) Non-performing - X - - - - X - - - - - b) Performing 36,902 5,533 970 X - 5 3 2 X - 36,897 - Total (B) 36,902 5,533 970 - - 5 3 2 - - 36,897 - Total (A+B) 150,796 114,530 2,809 4 - 19 11 3 4 - 150,777 - Note: (*) Value shown for information purposes. On-balance sheet exposures to banks include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortised cost, assets at fair value through other comprehensive income, current accounts and demand deposits with banks and central banks and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 708 2021 Annual Report and Accounts · UniCredit A.1.6 On- and off-balance sheet credit exposures with banks: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures A.1 On Demand 71,518 71,239 279 - - 1 1 - - - 71,517 - a) Non-performing - X - - - - X - - - - - b) Performing 71,518 71,239 279 X - 1 1 - X - 71,517 - A.2 Other 42,376 37,758 1,560 4 - 13 7 1 4 - 42,363 - a) Bad exposures 4 X - 4 - 4 X - 4 - - - of which: forborne exposures - X - - - - X - - - - - b) Unlikely to pay - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - c) Non-performing past due - X - - - - X - - - - - of which: forborne exposures - X - - - - X - - - - - d) Performing past due - - - X - - - - X - - - of which: forborne exposures - - - X - - - - X - - - e) Other performing exposures 42,372 37,758 1,560 X - 9 7 1 X - 42,363 - of which: forborne exposures - - - X - - - - X - - - Total (A) 113,894 108,997 1,839 4 - 14 8 1 4 - 113,880 - B. Off-balance sheet credit exposures a) Non-performing - X - - - - X - - - - - b) Performing 36,902 5,533 970 X - 5 3 2 X - 36,897 - Total (B) 36,902 5,533 970 - - 5 3 2 - - 36,897 - Total (A+B) 150,796 114,530 2,809 4 - 19 11 3 4 - 150,777 - Note: (*) Value shown for information purposes. On-balance sheet exposures to banks include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortised cost, assets at fair value through other comprehensive income, current accounts and demand deposits with banks and central banks and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 709 A.1.7 On- and off-balance sheet credit exposures with customers: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures a) Bad exposures 2,366 X - 2,361 5 1,852 X - 1,848 4 514 1,475 of which: forborne exposures 574 X - 574 - 402 X - 402 - 172 396 b) Unlikely to pay 6,194 X - 6,080 - 3,141 X - 3,061 - 3,053 249 of which: forborne exposures 4,238 X - 4,207 - 2,099 X - 2,078 - 2,139 208 c) Non-performing past due 513 X - 513 - 191 X - 191 - 322 - of which: forborne exposures 8 X - 8 - 2 X - 2 - 6 - d) Performing past due 3,223 1,392 1,831 X - 221 14 206 X - 3,002 - of which: forborne exposures 275 - 275 X - 51 - 51 X - 224 - e) Other performing exposures 266,346 216,450 44,178 X - 2,206 448 1,757 X - 264,140 - of which: forborne exposures 4,497 - 4,487 X - 554 - 554 X - 3,943 - Total (A) 278,642 217,842 46,009 8,954 5 7,611 462 1,963 5,100 4 271,031 1,724 B. Off-balance sheet credit exposures a) Non-performing 1,497 X - 757 - 297 X - 297 - 1,200 - b) Performing 149,919 43,797 14,519 X - 117 50 67 X - 149,802 - Total (B) 151,416 43,797 14,519 757 - 414 50 67 297 - 151,002 - Total (A+B) 430,058 261,639 60,528 9,711 5 8,025 512 2,030 5,397 4 422,033 1,724 Note: (*) Value shown for information purposes. On-balance sheet exposures to customers include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 709 A.1.7 On- and off-balance sheet credit exposures with customers: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures a) Bad exposures 2,366 X - 2,361 5 1,852 X - 1,848 4 514 1,475 of which: forborne exposures 574 X - 574 - 402 X - 402 - 172 396 b) Unlikely to pay 6,194 X - 6,080 - 3,141 X - 3,061 - 3,053 249 of which: forborne exposures 4,238 X - 4,207 - 2,099 X - 2,078 - 2,139 208 c) Non-performing past due 513 X - 513 - 191 X - 191 - 322 - of which: forborne exposures 8 X - 8 - 2 X - 2 - 6 - d) Performing past due 3,223 1,392 1,831 X - 221 14 206 X - 3,002 - of which: forborne exposures 275 - 275 X - 51 - 51 X - 224 - e) Other performing exposures 266,346 216,450 44,178 X - 2,206 448 1,757 X - 264,140 - of which: forborne exposures 4,497 - 4,487 X - 554 - 554 X - 3,943 - Total (A) 278,642 217,842 46,009 8,954 5 7,611 462 1,963 5,100 4 271,031 1,724 B. Off-balance sheet credit exposures a) Non-performing 1,497 X - 757 - 297 X - 297 - 1,200 - b) Performing 149,919 43,797 14,519 X - 117 50 67 X - 149,802 - Total (B) 151,416 43,797 14,519 757 - 414 50 67 297 - 151,002 - Total (A+B) 430,058 261,639 60,528 9,711 5 8,025 512 2,030 5,397 4 422,033 1,724 Note: (*) Value shown for information purposes. On-balance sheet exposures to customers include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 709 A.1.7 On- and off-balance sheet credit exposures with customers: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures a) Bad exposures 2,366 X - 2,361 5 1,852 X - 1,848 4 514 1,475 of which: forborne exposures 574 X - 574 - 402 X - 402 - 172 396 b) Unlikely to pay 6,194 X - 6,080 - 3,141 X - 3,061 - 3,053 249 of which: forborne exposures 4,238 X - 4,207 - 2,099 X - 2,078 - 2,139 208 c) Non-performing past due 513 X - 513 - 191 X - 191 - 322 - of which: forborne exposures 8 X - 8 - 2 X - 2 - 6 - d) Performing past due 3,223 1,392 1,831 X - 221 14 206 X - 3,002 - of which: forborne exposures 275 - 275 X - 51 - 51 X - 224 - e) Other performing exposures 266,346 216,450 44,178 X - 2,206 448 1,757 X - 264,140 - of which: forborne exposures 4,497 - 4,487 X - 554 - 554 X - 3,943 - Total (A) 278,642 217,842 46,009 8,954 5 7,611 462 1,963 5,100 4 271,031 1,724 B. Off-balance sheet credit exposures a) Non-performing 1,497 X - 757 - 297 X - 297 - 1,200 - b) Performing 149,919 43,797 14,519 X - 117 50 67 X - 149,802 - Total (B) 151,416 43,797 14,519 757 - 414 50 67 297 - 151,002 - Total (A+B) 430,058 261,639 60,528 9,711 5 8,025 512 2,030 5,397 4 422,033 1,724 Note: (*) Value shown for information purposes. On-balance sheet exposures to customers include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 709 A.1.7 On- and off-balance sheet credit exposures with customers: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures a) Bad exposures 2,366 X - 2,361 5 1,852 X - 1,848 4 514 1,475 of which: forborne exposures 574 X - 574 - 402 X - 402 - 172 396 b) Unlikely to pay 6,194 X - 6,080 - 3,141 X - 3,061 - 3,053 249 of which: forborne exposures 4,238 X - 4,207 - 2,099 X - 2,078 - 2,139 208 c) Non-performing past due 513 X - 513 - 191 X - 191 - 322 - of which: forborne exposures 8 X - 8 - 2 X - 2 - 6 - d) Performing past due 3,223 1,392 1,831 X - 221 14 206 X - 3,002 - of which: forborne exposures 275 - 275 X - 51 - 51 X - 224 - e) Other performing exposures 266,346 216,450 44,178 X - 2,206 448 1,757 X - 264,140 - of which: forborne exposures 4,497 - 4,487 X - 554 - 554 X - 3,943 - Total (A) 278,642 217,842 46,009 8,954 5 7,611 462 1,963 5,100 4 271,031 1,724 B. Off-balance sheet credit exposures a) Non-performing 1,497 X - 757 - 297 X - 297 - 1,200 - b) Performing 149,919 43,797 14,519 X - 117 50 67 X - 149,802 - Total (B) 151,416 43,797 14,519 757 - 414 50 67 297 - 151,002 - Total (A+B) 430,058 261,639 60,528 9,711 5 8,025 512 2,030 5,397 4 422,033 1,724 Note: (*) Value shown for information purposes. On-balance sheet exposures to customers include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 709 A.1.7 On- and off-balance sheet credit exposures with customers: gross and net values (€ million) AMOUNTS AS AT 12.31.2021 EXPOSURE TYPES/VALUES GROSS EXPOSURE OVERALL WRITE-DOWNS AND PROVISIONS NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS A. On-balance sheet credit exposures a) Bad exposures 2,366 X - 2,361 5 1,852 X - 1,848 4 514 1,475 of which: forborne exposures 574 X - 574 - 402 X - 402 - 172 396 b) Unlikely to pay 6,194 X - 6,080 - 3,141 X - 3,061 - 3,053 249 of which: forborne exposures 4,238 X - 4,207 - 2,099 X - 2,078 - 2,139 208 c) Non-performing past due 513 X - 513 - 191 X - 191 - 322 - of which: forborne exposures 8 X - 8 - 2 X - 2 - 6 - d) Performing past due 3,223 1,392 1,831 X - 221 14 206 X - 3,002 - of which: forborne exposures 275 - 275 X - 51 - 51 X - 224 - e) Other performing exposures 266,346 216,450 44,178 X - 2,206 448 1,757 X - 264,140 - of which: forborne exposures 4,497 - 4,487 X - 554 - 554 X - 3,943 - Total (A) 278,642 217,842 46,009 8,954 5 7,611 462 1,963 5,100 4 271,031 1,724 B. Off-balance sheet credit exposures a) Non-performing 1,497 X - 757 - 297 X - 297 - 1,200 - b) Performing 149,919 43,797 14,519 X - 117 50 67 X - 149,802 - Total (B) 151,416 43,797 14,519 757 - 414 50 67 297 - 151,002 - Total (A+B) 430,058 261,639 60,528 9,711 5 8,025 512 2,030 5,397 4 422,033 1,724 Note: (*) Value shown for information purposes. On-balance sheet exposures to customers include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held for sale). In more details columns Stage1, Stage 2, Stage 3 and Purchased or Originated Credit-Impaired financial assets include assets at amortized cost, assets at fair value through other comprehensive income and assets held for sale; the overall gross exposures also report held-for-trading, assets designed and mandatorily at fair value through profit or loss. Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s classification category and the revocable commitments to disburse funds. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 710 2021 Annual Report and Accounts · UniCredit A.1.7a Other loans and advances subject to Covid-19 measures: gross and net value (€ million) AMOUNTS AS AT 12.31.2021 GROSS EXPOSURE OVERALL WRITE-DOWNS EXPOSURE TYPES/VALUES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) A. Bad loans 1 - - 1 - - - - - - 1 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - - - - - - - c) Loans and advances with other forbearance measures - - - - - - - - - - - - d) Newly originated loans and advances 1 - - 1 - - - - - - 1 - B. Unlikely to pay loans 887 - - 887 - 305 - - 305 - 582 - a) EBA-compliant moratoria loans and advances 2 - - 2 - 1 - - 1 - 1 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 53 - - 53 - 27 - - 27 - 26 - c) Loans and advances with other forbearance measures 681 - - 681 - 222 - - 222 - 459 - d) Newly originated loans and advances 151 - - 151 - 55 - - 55 - 96 - C. Non-performing past due loans 19 - - 19 - 2 - - 2 - 17 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1 - - 1 - 1 - - 1 - - - c) Loans and advances with other forbearance measures 1 - - 1 - - - - - - 1 - d) Newly originated loans and advances 17 - - 17 - 1 - - 1 - 16 - D. Performing past due loans 226 55 171 - - 11 - 10 - - 215 - a) EBA-compliant moratoria loans and advances 13 - 13 - - 2 - 2 - - 11 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 16 1 15 - - 2 - 2 - - 14 - c) Loans and advances with other forbearance measures 44 - 44 - - 5 - 5 - - 39 - d) Newly originated loans and advances 153 54 99 - - 2 - 1 - - 151 - E. Other performing exposures loans 26,425 15,023 11,395 - - 353 17 334 - - 26,072 - a) EBA-compliant moratoria loans and advances 104 35 68 - - 4 - 3 - - 100 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1,964 173 1,790 - - 106 1 104 - - 1,858 - c) Loans and advances with other forbearance measures 2,348 - 2,343 - - 179 - 179 - - 2,169 - d) Newly originated loans and advances 22,009 14,815 7,194 - - 64 16 48 - - 21,945 - For further details refer to the table “A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 710 2021 Annual Report and Accounts · UniCredit A.1.7a Other loans and advances subject to Covid-19 measures: gross and net value (€ million) AMOUNTS AS AT 12.31.2021 GROSS EXPOSURE OVERALL WRITE-DOWNS EXPOSURE TYPES/VALUES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) A. Bad loans 1 - - 1 - - - - - - 1 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - - - - - - - c) Loans and advances with other forbearance measures - - - - - - - - - - - - d) Newly originated loans and advances 1 - - 1 - - - - - - 1 - B. Unlikely to pay loans 887 - - 887 - 305 - - 305 - 582 - a) EBA-compliant moratoria loans and advances 2 - - 2 - 1 - - 1 - 1 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 53 - - 53 - 27 - - 27 - 26 - c) Loans and advances with other forbearance measures 681 - - 681 - 222 - - 222 - 459 - d) Newly originated loans and advances 151 - - 151 - 55 - - 55 - 96 - C. Non-performing past due loans 19 - - 19 - 2 - - 2 - 17 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1 - - 1 - 1 - - 1 - - - c) Loans and advances with other forbearance measures 1 - - 1 - - - - - - 1 - d) Newly originated loans and advances 17 - - 17 - 1 - - 1 - 16 - D. Performing past due loans 226 55 171 - - 11 - 10 - - 215 - a) EBA-compliant moratoria loans and advances 13 - 13 - - 2 - 2 - - 11 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 16 1 15 - - 2 - 2 - - 14 - c) Loans and advances with other forbearance measures 44 - 44 - - 5 - 5 - - 39 - d) Newly originated loans and advances 153 54 99 - - 2 - 1 - - 151 - E. Other performing exposures loans 26,425 15,023 11,395 - - 353 17 334 - - 26,072 - a) EBA-compliant moratoria loans and advances 104 35 68 - - 4 - 3 - - 100 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1,964 173 1,790 - - 106 1 104 - - 1,858 - c) Loans and advances with other forbearance measures 2,348 - 2,343 - - 179 - 179 - - 2,169 - d) Newly originated loans and advances 22,009 14,815 7,194 - - 64 16 48 - - 21,945 - For further details refer to the table “A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 710 2021 Annual Report and Accounts · UniCredit A.1.7a Other loans and advances subject to Covid-19 measures: gross and net value (€ million) AMOUNTS AS AT 12.31.2021 GROSS EXPOSURE OVERALL WRITE-DOWNS EXPOSURE TYPES/VALUES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) A. Bad loans 1 - - 1 - - - - - - 1 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - - - - - - - c) Loans and advances with other forbearance measures - - - - - - - - - - - - d) Newly originated loans and advances 1 - - 1 - - - - - - 1 - B. Unlikely to pay loans 887 - - 887 - 305 - - 305 - 582 - a) EBA-compliant moratoria loans and advances 2 - - 2 - 1 - - 1 - 1 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 53 - - 53 - 27 - - 27 - 26 - c) Loans and advances with other forbearance measures 681 - - 681 - 222 - - 222 - 459 - d) Newly originated loans and advances 151 - - 151 - 55 - - 55 - 96 - C. Non-performing past due loans 19 - - 19 - 2 - - 2 - 17 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1 - - 1 - 1 - - 1 - - - c) Loans and advances with other forbearance measures 1 - - 1 - - - - - - 1 - d) Newly originated loans and advances 17 - - 17 - 1 - - 1 - 16 - D. Performing past due loans 226 55 171 - - 11 - 10 - - 215 - a) EBA-compliant moratoria loans and advances 13 - 13 - - 2 - 2 - - 11 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 16 1 15 - - 2 - 2 - - 14 - c) Loans and advances with other forbearance measures 44 - 44 - - 5 - 5 - - 39 - d) Newly originated loans and advances 153 54 99 - - 2 - 1 - - 151 - E. Other performing exposures loans 26,425 15,023 11,395 - - 353 17 334 - - 26,072 - a) EBA-compliant moratoria loans and advances 104 35 68 - - 4 - 3 - - 100 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1,964 173 1,790 - - 106 1 104 - - 1,858 - c) Loans and advances with other forbearance measures 2,348 - 2,343 - - 179 - 179 - - 2,169 - d) Newly originated loans and advances 22,009 14,815 7,194 - - 64 16 48 - - 21,945 - For further details refer to the table “A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 710 2021 Annual Report and Accounts · UniCredit A.1.7a Other loans and advances subject to Covid-19 measures: gross and net value (€ million) AMOUNTS AS AT 12.31.2021 GROSS EXPOSURE OVERALL WRITE-DOWNS EXPOSURE TYPES/VALUES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) A. Bad loans 1 - - 1 - - - - - - 1 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - - - - - - - c) Loans and advances with other forbearance measures - - - - - - - - - - - - d) Newly originated loans and advances 1 - - 1 - - - - - - 1 - B. Unlikely to pay loans 887 - - 887 - 305 - - 305 - 582 - a) EBA-compliant moratoria loans and advances 2 - - 2 - 1 - - 1 - 1 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 53 - - 53 - 27 - - 27 - 26 - c) Loans and advances with other forbearance measures 681 - - 681 - 222 - - 222 - 459 - d) Newly originated loans and advances 151 - - 151 - 55 - - 55 - 96 - C. Non-performing past due loans 19 - - 19 - 2 - - 2 - 17 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1 - - 1 - 1 - - 1 - - - c) Loans and advances with other forbearance measures 1 - - 1 - - - - - - 1 - d) Newly originated loans and advances 17 - - 17 - 1 - - 1 - 16 - D. Performing past due loans 226 55 171 - - 11 - 10 - - 215 - a) EBA-compliant moratoria loans and advances 13 - 13 - - 2 - 2 - - 11 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 16 1 15 - - 2 - 2 - - 14 - c) Loans and advances with other forbearance measures 44 - 44 - - 5 - 5 - - 39 - d) Newly originated loans and advances 153 54 99 - - 2 - 1 - - 151 - E. Other performing exposures loans 26,425 15,023 11,395 - - 353 17 334 - - 26,072 - a) EBA-compliant moratoria loans and advances 104 35 68 - - 4 - 3 - - 100 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1,964 173 1,790 - - 106 1 104 - - 1,858 - c) Loans and advances with other forbearance measures 2,348 - 2,343 - - 179 - 179 - - 2,169 - d) Newly originated loans and advances 22,009 14,815 7,194 - - 64 16 48 - - 21,945 - For further details refer to the table “A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 710 2021 Annual Report and Accounts · UniCredit A.1.7a Other loans and advances subject to Covid-19 measures: gross and net value (€ million) AMOUNTS AS AT 12.31.2021 GROSS EXPOSURE OVERALL WRITE-DOWNS EXPOSURE TYPES/VALUES STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED STAGE 1 STAGE 2 STAGE 3 PURCHASED OR ORIGINATED CREDIT IMPAIRED NET EXPOSURE OVERALL PARTIAL WRITE-OFFS(*) A. Bad loans 1 - - 1 - - - - - - 1 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure - - - - - - - - - - - - c) Loans and advances with other forbearance measures - - - - - - - - - - - - d) Newly originated loans and advances 1 - - 1 - - - - - - 1 - B. Unlikely to pay loans 887 - - 887 - 305 - - 305 - 582 - a) EBA-compliant moratoria loans and advances 2 - - 2 - 1 - - 1 - 1 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 53 - - 53 - 27 - - 27 - 26 - c) Loans and advances with other forbearance measures 681 - - 681 - 222 - - 222 - 459 - d) Newly originated loans and advances 151 - - 151 - 55 - - 55 - 96 - C. Non-performing past due loans 19 - - 19 - 2 - - 2 - 17 - a) EBA-compliant moratoria loans and advances - - - - - - - - - - - - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1 - - 1 - 1 - - 1 - - - c) Loans and advances with other forbearance measures 1 - - 1 - - - - - - 1 - d) Newly originated loans and advances 17 - - 17 - 1 - - 1 - 16 - D. Performing past due loans 226 55 171 - - 11 - 10 - - 215 - a) EBA-compliant moratoria loans and advances 13 - 13 - - 2 - 2 - - 11 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 16 1 15 - - 2 - 2 - - 14 - c) Loans and advances with other forbearance measures 44 - 44 - - 5 - 5 - - 39 - d) Newly originated loans and advances 153 54 99 - - 2 - 1 - - 151 - E. Other performing exposures loans 26,425 15,023 11,395 - - 353 17 334 - - 26,072 - a) EBA-compliant moratoria loans and advances 104 35 68 - - 4 - 3 - - 100 - b) Under moratorium no longer compliant to the GL requirements and not valued as forborne exposure 1,964 173 1,790 - - 106 1 104 - - 1,858 - c) Loans and advances with other forbearance measures 2,348 - 2,343 - - 179 - 179 - - 2,169 - d) Newly originated loans and advances 22,009 14,815 7,194 - - 64 16 48 - - 21,945 - For further details refer to the table “A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 711 A.1.8 On-balance sheet exposures with banks: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) - 6 - of which sold non-cancelled exposures - - - B. Increases 4 - - B.1 Transfers from performing loans - - - B.2 Transfers from acquired or originated impaired financial assets - - - of which: business combinations - - - B.3 Transfers from other categories of non-perforiming exposures 4 - - B.4 Contractual changes with no cancellations - - - B.5 Other increases - - - of which: business combinations - mergers - - - C. Reductions - 6 - C.1 Transfers to performing loans - - - C.2 Write-offs - - - C.3 Collections - 2 - C.4 Sale proceeds - - - C.5 Losses on disposal - - - C.6 Transfers to other non-performing exposures - 4 - C.7 Contractual changes with no cancellations - - - C.8 Other decreases - - - of which: business combinations - - - D. Closing balance (gross amount) 4 - - of which sold non-cancelled exposures - - - A.1.8bis Regulatory consolidation - On-balance sheet exposures with banks: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 2 - of which sold non-cancelled exposures - - B. Increases - - B.1 Transfers from performing non-forborne exposures - - B.2 Transfers from performing forbone exposures - X B.3 Transfers from non-performing forborne exposures X - of which: business combinations X - B.4 Other increases - - of which: business combinations - mergers - - C. Reductions 2 - C.1 Transfers to performing non-forborne exposures X - C.2 Transfers to performing forbone exposures - X C.3 Transfers to non-performing forborne exposures X - C.4 Write-offs - - C.5 Collections 2 - C.6 Sale proceeds - - C.7 Losses from disposal - - C.8 Other reductions - - of which: business combinations - - D. Closing balance (gross amount) - - of which sold non-cancelled exposures - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 711 A.1.8 On-balance sheet exposures with banks: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) - 6 - of which sold non-cancelled exposures - - - B. Increases 4 - - B.1 Transfers from performing loans - - - B.2 Transfers from acquired or originated impaired financial assets - - - of which: business combinations - - - B.3 Transfers from other categories of non-perforiming exposures 4 - - B.4 Contractual changes with no cancellations - - - B.5 Other increases - - - of which: business combinations - mergers - - - C. Reductions - 6 - C.1 Transfers to performing loans - - - C.2 Write-offs - - - C.3 Collections - 2 - C.4 Sale proceeds - - - C.5 Losses on disposal - - - C.6 Transfers to other non-performing exposures - 4 - C.7 Contractual changes with no cancellations - - - C.8 Other decreases - - - of which: business combinations - - - D. Closing balance (gross amount) 4 - - of which sold non-cancelled exposures - - - A.1.8bis Regulatory consolidation - On-balance sheet exposures with banks: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 2 - of which sold non-cancelled exposures - - B. Increases - - B.1 Transfers from performing non-forborne exposures - - B.2 Transfers from performing forbone exposures - X B.3 Transfers from non-performing forborne exposures X - of which: business combinations X - B.4 Other increases - - of which: business combinations - mergers - - C. Reductions 2 - C.1 Transfers to performing non-forborne exposures X - C.2 Transfers to performing forbone exposures - X C.3 Transfers to non-performing forborne exposures X - C.4 Write-offs - - C.5 Collections 2 - C.6 Sale proceeds - - C.7 Losses from disposal - - C.8 Other reductions - - of which: business combinations - - D. Closing balance (gross amount) - - of which sold non-cancelled exposures - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 711 A.1.8 On-balance sheet exposures with banks: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) - 6 - of which sold non-cancelled exposures - - - B. Increases 4 - - B.1 Transfers from performing loans - - - B.2 Transfers from acquired or originated impaired financial assets - - - of which: business combinations - - - B.3 Transfers from other categories of non-perforiming exposures 4 - - B.4 Contractual changes with no cancellations - - - B.5 Other increases - - - of which: business combinations - mergers - - - C. Reductions - 6 - C.1 Transfers to performing loans - - - C.2 Write-offs - - - C.3 Collections - 2 - C.4 Sale proceeds - - - C.5 Losses on disposal - - - C.6 Transfers to other non-performing exposures - 4 - C.7 Contractual changes with no cancellations - - - C.8 Other decreases - - - of which: business combinations - - - D. Closing balance (gross amount) 4 - - of which sold non-cancelled exposures - - - A.1.8bis Regulatory consolidation - On-balance sheet exposures with banks: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 2 - of which sold non-cancelled exposures - - B. Increases - - B.1 Transfers from performing non-forborne exposures - - B.2 Transfers from performing forbone exposures - X B.3 Transfers from non-performing forborne exposures X - of which: business combinations X - B.4 Other increases - - of which: business combinations - mergers - - C. Reductions 2 - C.1 Transfers to performing non-forborne exposures X - C.2 Transfers to performing forbone exposures - X C.3 Transfers to non-performing forborne exposures X - C.4 Write-offs - - C.5 Collections 2 - C.6 Sale proceeds - - C.7 Losses from disposal - - C.8 Other reductions - - of which: business combinations - - D. Closing balance (gross amount) - - of which sold non-cancelled exposures - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 711 A.1.8 On-balance sheet exposures with banks: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) - 6 - of which sold non-cancelled exposures - - - B. Increases 4 - - B.1 Transfers from performing loans - - - B.2 Transfers from acquired or originated impaired financial assets - - - of which: business combinations - - - B.3 Transfers from other categories of non-perforiming exposures 4 - - B.4 Contractual changes with no cancellations - - - B.5 Other increases - - - of which: business combinations - mergers - - - C. Reductions - 6 - C.1 Transfers to performing loans - - - C.2 Write-offs - - - C.3 Collections - 2 - C.4 Sale proceeds - - - C.5 Losses on disposal - - - C.6 Transfers to other non-performing exposures - 4 - C.7 Contractual changes with no cancellations - - - C.8 Other decreases - - - of which: business combinations - - - D. Closing balance (gross amount) 4 - - of which sold non-cancelled exposures - - - A.1.8bis Regulatory consolidation - On-balance sheet exposures with banks: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 2 - of which sold non-cancelled exposures - - B. Increases - - B.1 Transfers from performing non-forborne exposures - - B.2 Transfers from performing forbone exposures - X B.3 Transfers from non-performing forborne exposures X - of which: business combinations X - B.4 Other increases - - of which: business combinations - mergers - - C. Reductions 2 - C.1 Transfers to performing non-forborne exposures X - C.2 Transfers to performing forbone exposures - X C.3 Transfers to non-performing forborne exposures X - C.4 Write-offs - - C.5 Collections 2 - C.6 Sale proceeds - - C.7 Losses from disposal - - C.8 Other reductions - - of which: business combinations - - D. Closing balance (gross amount) - - of which sold non-cancelled exposures - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 711 A.1.8 On-balance sheet exposures with banks: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) - 6 - of which sold non-cancelled exposures - - - B. Increases 4 - - B.1 Transfers from performing loans - - - B.2 Transfers from acquired or originated impaired financial assets - - - of which: business combinations - - - B.3 Transfers from other categories of non-perforiming exposures 4 - - B.4 Contractual changes with no cancellations - - - B.5 Other increases - - - of which: business combinations - mergers - - - C. Reductions - 6 - C.1 Transfers to performing loans - - - C.2 Write-offs - - - C.3 Collections - 2 - C.4 Sale proceeds - - - C.5 Losses on disposal - - - C.6 Transfers to other non-performing exposures - 4 - C.7 Contractual changes with no cancellations - - - C.8 Other decreases - - - of which: business combinations - - - D. Closing balance (gross amount) 4 - - of which sold non-cancelled exposures - - - A.1.8bis Regulatory consolidation - On-balance sheet exposures with banks: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 2 - of which sold non-cancelled exposures - - B. Increases - - B.1 Transfers from performing non-forborne exposures - - B.2 Transfers from performing forbone exposures - X B.3 Transfers from non-performing forborne exposures X - of which: business combinations X - B.4 Other increases - - of which: business combinations - mergers - - C. Reductions 2 - C.1 Transfers to performing non-forborne exposures X - C.2 Transfers to performing forbone exposures - X C.3 Transfers to non-performing forborne exposures X - C.4 Write-offs - - C.5 Collections 2 - C.6 Sale proceeds - - C.7 Losses from disposal - - C.8 Other reductions - - of which: business combinations - - D. Closing balance (gross amount) - - of which sold non-cancelled exposures - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 712 2021 Annual Report and Accounts · UniCredit A.1.9 On-balance sheet credit exposures with customers: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 4,432 7,490 402 of which sold non-cancelled exposures 479 1,351 7 B. Increases 1,559 3,202 563 B.1 Transfer from performing loans 161 2,361 499 B.2 Transfer from acquired or originated impaired financial assets - 1 - of which: business combinations - - - B.3 Transfer from other non-performing exposures 1,190 102 14 B.4 Contractual changes with no cancellations - 1 - B.5 Other increases 208 737 50 of which: business combinations - mergers - - - C. Decreases 3,625 4,498 452 C.1 Transfers to performing loans 41 631 43 C.2 Write-offs 889 588 - C.3 Collections 315 1,108 146 C.4 Sale proceeds 410 334 - C.5 Losses on disposals 18 68 - C.6 Transfers to other non-performing exposures 3 1,040 263 C.7 Contractual changes with no cancellations - 4 - C.8 Other decreases 1,949 725 - of which: business combinations - - - D. Closing balance (gross amount) 2,366 6,194 513 of which sold non-cancelled exposures 102 519 15 A.1.9bis On-balance sheet exposures with customers: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON-PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 5,893 2,838 of which sold non-cancelled exposures 1,466 67 B. Increases 2,687 4,882 B.1 Transfers from performing non-forborne exposures 569 3,917 B.2 Transfers from performing forbone exposures 851 X B.3 Transfers from non-performing forborne exposures X 566 of which: business combinations X - B.4 Other increases 1,267 399 of which: business combinations - mergers - - C. Reductions 3,760 2,948 C.1 Transfers to performing non-forborne exposures X 656 C.2 Transfers to performing forbone exposures 566 X C.3 Transfers to non-performing forborne exposures X 851 C.4 Write-offs 649 - C.5 Collections 883 873 C.6 Sale proceeds 372 - C.7 Losses from disposal 61 - C.8 Other reductions 1,229 568 of which: business combinations - - D. Closing balance (gross amount) 4,820 4,772 of which sold non-cancelled exposures 512 396 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 712 2021 Annual Report and Accounts · UniCredit A.1.9 On-balance sheet credit exposures with customers: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 4,432 7,490 402 of which sold non-cancelled exposures 479 1,351 7 B. Increases 1,559 3,202 563 B.1 Transfer from performing loans 161 2,361 499 B.2 Transfer from acquired or originated impaired financial assets - 1 - of which: business combinations - - - B.3 Transfer from other non-performing exposures 1,190 102 14 B.4 Contractual changes with no cancellations - 1 - B.5 Other increases 208 737 50 of which: business combinations - mergers - - - C. Decreases 3,625 4,498 452 C.1 Transfers to performing loans 41 631 43 C.2 Write-offs 889 588 - C.3 Collections 315 1,108 146 C.4 Sale proceeds 410 334 - C.5 Losses on disposals 18 68 - C.6 Transfers to other non-performing exposures 3 1,040 263 C.7 Contractual changes with no cancellations - 4 - C.8 Other decreases 1,949 725 - of which: business combinations - - - D. Closing balance (gross amount) 2,366 6,194 513 of which sold non-cancelled exposures 102 519 15 A.1.9bis On-balance sheet exposures with customers: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON-PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 5,893 2,838 of which sold non-cancelled exposures 1,466 67 B. Increases 2,687 4,882 B.1 Transfers from performing non-forborne exposures 569 3,917 B.2 Transfers from performing forbone exposures 851 X B.3 Transfers from non-performing forborne exposures X 566 of which: business combinations X - B.4 Other increases 1,267 399 of which: business combinations - mergers - - C. Reductions 3,760 2,948 C.1 Transfers to performing non-forborne exposures X 656 C.2 Transfers to performing forbone exposures 566 X C.3 Transfers to non-performing forborne exposures X 851 C.4 Write-offs 649 - C.5 Collections 883 873 C.6 Sale proceeds 372 - C.7 Losses from disposal 61 - C.8 Other reductions 1,229 568 of which: business combinations - - D. Closing balance (gross amount) 4,820 4,772 of which sold non-cancelled exposures 512 396 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 712 2021 Annual Report and Accounts · UniCredit A.1.9 On-balance sheet credit exposures with customers: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 4,432 7,490 402 of which sold non-cancelled exposures 479 1,351 7 B. Increases 1,559 3,202 563 B.1 Transfer from performing loans 161 2,361 499 B.2 Transfer from acquired or originated impaired financial assets - 1 - of which: business combinations - - - B.3 Transfer from other non-performing exposures 1,190 102 14 B.4 Contractual changes with no cancellations - 1 - B.5 Other increases 208 737 50 of which: business combinations - mergers - - - C. Decreases 3,625 4,498 452 C.1 Transfers to performing loans 41 631 43 C.2 Write-offs 889 588 - C.3 Collections 315 1,108 146 C.4 Sale proceeds 410 334 - C.5 Losses on disposals 18 68 - C.6 Transfers to other non-performing exposures 3 1,040 263 C.7 Contractual changes with no cancellations - 4 - C.8 Other decreases 1,949 725 - of which: business combinations - - - D. Closing balance (gross amount) 2,366 6,194 513 of which sold non-cancelled exposures 102 519 15 A.1.9bis On-balance sheet exposures with customers: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON-PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 5,893 2,838 of which sold non-cancelled exposures 1,466 67 B. Increases 2,687 4,882 B.1 Transfers from performing non-forborne exposures 569 3,917 B.2 Transfers from performing forbone exposures 851 X B.3 Transfers from non-performing forborne exposures X 566 of which: business combinations X - B.4 Other increases 1,267 399 of which: business combinations - mergers - - C. Reductions 3,760 2,948 C.1 Transfers to performing non-forborne exposures X 656 C.2 Transfers to performing forbone exposures 566 X C.3 Transfers to non-performing forborne exposures X 851 C.4 Write-offs 649 - C.5 Collections 883 873 C.6 Sale proceeds 372 - C.7 Losses from disposal 61 - C.8 Other reductions 1,229 568 of which: business combinations - - D. Closing balance (gross amount) 4,820 4,772 of which sold non-cancelled exposures 512 396 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 712 2021 Annual Report and Accounts · UniCredit A.1.9 On-balance sheet credit exposures with customers: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 4,432 7,490 402 of which sold non-cancelled exposures 479 1,351 7 B. Increases 1,559 3,202 563 B.1 Transfer from performing loans 161 2,361 499 B.2 Transfer from acquired or originated impaired financial assets - 1 - of which: business combinations - - - B.3 Transfer from other non-performing exposures 1,190 102 14 B.4 Contractual changes with no cancellations - 1 - B.5 Other increases 208 737 50 of which: business combinations - mergers - - - C. Decreases 3,625 4,498 452 C.1 Transfers to performing loans 41 631 43 C.2 Write-offs 889 588 - C.3 Collections 315 1,108 146 C.4 Sale proceeds 410 334 - C.5 Losses on disposals 18 68 - C.6 Transfers to other non-performing exposures 3 1,040 263 C.7 Contractual changes with no cancellations - 4 - C.8 Other decreases 1,949 725 - of which: business combinations - - - D. Closing balance (gross amount) 2,366 6,194 513 of which sold non-cancelled exposures 102 519 15 A.1.9bis On-balance sheet exposures with customers: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON-PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 5,893 2,838 of which sold non-cancelled exposures 1,466 67 B. Increases 2,687 4,882 B.1 Transfers from performing non-forborne exposures 569 3,917 B.2 Transfers from performing forbone exposures 851 X B.3 Transfers from non-performing forborne exposures X 566 of which: business combinations X - B.4 Other increases 1,267 399 of which: business combinations - mergers - - C. Reductions 3,760 2,948 C.1 Transfers to performing non-forborne exposures X 656 C.2 Transfers to performing forbone exposures 566 X C.3 Transfers to non-performing forborne exposures X 851 C.4 Write-offs 649 - C.5 Collections 883 873 C.6 Sale proceeds 372 - C.7 Losses from disposal 61 - C.8 Other reductions 1,229 568 of which: business combinations - - D. Closing balance (gross amount) 4,820 4,772 of which sold non-cancelled exposures 512 396 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 712 2021 Annual Report and Accounts · UniCredit A.1.9 On-balance sheet credit exposures with customers: changes in gross non-performing exposures (€ million) CHANGES IN 2021 SOURCES/CATEGORIES BAD EXPOSURES UNLIKELY TO PAY NON-PERFORMING PAST DUE A. Opening balance (gross amount) 4,432 7,490 402 of which sold non-cancelled exposures 479 1,351 7 B. Increases 1,559 3,202 563 B.1 Transfer from performing loans 161 2,361 499 B.2 Transfer from acquired or originated impaired financial assets - 1 - of which: business combinations - - - B.3 Transfer from other non-performing exposures 1,190 102 14 B.4 Contractual changes with no cancellations - 1 - B.5 Other increases 208 737 50 of which: business combinations - mergers - - - C. Decreases 3,625 4,498 452 C.1 Transfers to performing loans 41 631 43 C.2 Write-offs 889 588 - C.3 Collections 315 1,108 146 C.4 Sale proceeds 410 334 - C.5 Losses on disposals 18 68 - C.6 Transfers to other non-performing exposures 3 1,040 263 C.7 Contractual changes with no cancellations - 4 - C.8 Other decreases 1,949 725 - of which: business combinations - - - D. Closing balance (gross amount) 2,366 6,194 513 of which sold non-cancelled exposures 102 519 15 A.1.9bis On-balance sheet exposures with customers: changes by credit quality in gross forborne exposures (€ million) CHANGES IN 2021 SOURCES/QUALITY FORBORNE EXPOSURES: NON-PERFORMING FORBORNE EXPOSURES: PERFORMING A. Opening balance (gross amount) 5,893 2,838 of which sold non-cancelled exposures 1,466 67 B. Increases 2,687 4,882 B.1 Transfers from performing non-forborne exposures 569 3,917 B.2 Transfers from performing forbone exposures 851 X B.3 Transfers from non-performing forborne exposures X 566 of which: business combinations X - B.4 Other increases 1,267 399 of which: business combinations - mergers - - C. Reductions 3,760 2,948 C.1 Transfers to performing non-forborne exposures X 656 C.2 Transfers to performing forbone exposures 566 X C.3 Transfers to non-performing forborne exposures X 851 C.4 Write-offs 649 - C.5 Collections 883 873 C.6 Sale proceeds 372 - C.7 Losses from disposal 61 - C.8 Other reductions 1,229 568 of which: business combinations - - D. Closing balance (gross amount) 4,820 4,772 of which sold non-cancelled exposures 512 396 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 713 A.1.10 On-balance sheet non-performing credit exposures with banks: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) - - 6 2 - - of which sold non-cancelled exposures - - - - - - B. Increases 4 - - - - - B.1 Write-downs of acquired or originated impaired financial assets - X - X - X of which: business combinations - - - - - - B.2 Other write-downs - - - - - - B.3 Losses on disposal - - - - - - B.4 Transfers from other categories of non-performing exposures 4 - - - - - B.5 Contractual changes with no cancellations - X - X - X B.6 Other increases - - - - - - of which: business combinations - mergers - - - - - - C. Reductions - - 6 2 - - C.1 Write-backs from valuation - - 2 2 - - C.2 Write-backs from collections - - - - - - C.3 Gains from disposals - - - - - - C.4 Write-offs - - - - - - C.5 Transfers to other categories of non-performing exposures - - 4 - - - C.6 Contractual changes with no cancellations - X - X - X C.7 Other decreases - - - - - - of which: business combinations - - - - - - D. Closing balance (gross amount) 4 - - - - - of which sold non-cancelled exposures - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 713 A.1.10 On-balance sheet non-performing credit exposures with banks: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) - - 6 2 - - of which sold non-cancelled exposures - - - - - - B. Increases 4 - - - - - B.1 Write-downs of acquired or originated impaired financial assets - X - X - X of which: business combinations - - - - - - B.2 Other write-downs - - - - - - B.3 Losses on disposal - - - - - - B.4 Transfers from other categories of non-performing exposures 4 - - - - - B.5 Contractual changes with no cancellations - X - X - X B.6 Other increases - - - - - - of which: business combinations - mergers - - - - - - C. Reductions - - 6 2 - - C.1 Write-backs from valuation - - 2 2 - - C.2 Write-backs from collections - - - - - - C.3 Gains from disposals - - - - - - C.4 Write-offs - - - - - - C.5 Transfers to other categories of non-performing exposures - - 4 - - - C.6 Contractual changes with no cancellations - X - X - X C.7 Other decreases - - - - - - of which: business combinations - - - - - - D. Closing balance (gross amount) 4 - - - - - of which sold non-cancelled exposures - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 713 A.1.10 On-balance sheet non-performing credit exposures with banks: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) - - 6 2 - - of which sold non-cancelled exposures - - - - - - B. Increases 4 - - - - - B.1 Write-downs of acquired or originated impaired financial assets - X - X - X of which: business combinations - - - - - - B.2 Other write-downs - - - - - - B.3 Losses on disposal - - - - - - B.4 Transfers from other categories of non-performing exposures 4 - - - - - B.5 Contractual changes with no cancellations - X - X - X B.6 Other increases - - - - - - of which: business combinations - mergers - - - - - - C. Reductions - - 6 2 - - C.1 Write-backs from valuation - - 2 2 - - C.2 Write-backs from collections - - - - - - C.3 Gains from disposals - - - - - - C.4 Write-offs - - - - - - C.5 Transfers to other categories of non-performing exposures - - 4 - - - C.6 Contractual changes with no cancellations - X - X - X C.7 Other decreases - - - - - - of which: business combinations - - - - - - D. Closing balance (gross amount) 4 - - - - - of which sold non-cancelled exposures - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 713 A.1.10 On-balance sheet non-performing credit exposures with banks: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) - - 6 2 - - of which sold non-cancelled exposures - - - - - - B. Increases 4 - - - - - B.1 Write-downs of acquired or originated impaired financial assets - X - X - X of which: business combinations - - - - - - B.2 Other write-downs - - - - - - B.3 Losses on disposal - - - - - - B.4 Transfers from other categories of non-performing exposures 4 - - - - - B.5 Contractual changes with no cancellations - X - X - X B.6 Other increases - - - - - - of which: business combinations - mergers - - - - - - C. Reductions - - 6 2 - - C.1 Write-backs from valuation - - 2 2 - - C.2 Write-backs from collections - - - - - - C.3 Gains from disposals - - - - - - C.4 Write-offs - - - - - - C.5 Transfers to other categories of non-performing exposures - - 4 - - - C.6 Contractual changes with no cancellations - X - X - X C.7 Other decreases - - - - - - of which: business combinations - - - - - - D. Closing balance (gross amount) 4 - - - - - of which sold non-cancelled exposures - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 713 A.1.10 On-balance sheet non-performing credit exposures with banks: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) - - 6 2 - - of which sold non-cancelled exposures - - - - - - B. Increases 4 - - - - - B.1 Write-downs of acquired or originated impaired financial assets - X - X - X of which: business combinations - - - - - - B.2 Other write-downs - - - - - - B.3 Losses on disposal - - - - - - B.4 Transfers from other categories of non-performing exposures 4 - - - - - B.5 Contractual changes with no cancellations - X - X - X B.6 Other increases - - - - - - of which: business combinations - mergers - - - - - - C. Reductions - - 6 2 - - C.1 Write-backs from valuation - - 2 2 - - C.2 Write-backs from collections - - - - - - C.3 Gains from disposals - - - - - - C.4 Write-offs - - - - - - C.5 Transfers to other categories of non-performing exposures - - 4 - - - C.6 Contractual changes with no cancellations - X - X - X C.7 Other decreases - - - - - - of which: business combinations - - - - - - D. Closing balance (gross amount) 4 - - - - - of which sold non-cancelled exposures - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 714 2021 Annual Report and Accounts · UniCredit A.1.11 On-balance sheet non-performing credit exposures with customers: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 3,802 787 4,463 2,889 150 4 of which sold non-cancelled exposures 381 201 733 678 2 - B. Increases 1,466 420 1,783 1,323 184 2 B.1 Write-downs of acquired or originated impaired financial assets 93 X 124 X 5 X of which: business combinations - - - - - - B.2 Other write-downs 496 185 1,083 966 99 2 B.3 Losses on disposal 18 1 68 60 - - B.4 Transfers from other categories of non-performing exposures 782 221 33 5 5 - B.5 Contractual changes with no cancellations - X 4 X - X B.6 Other increases 77 13 471 292 75 - of which: business combinations - mergers - - - - - - C. Reductions 3,416 805 3,105 2,113 143 4 C.1 Write-backs from valuation 376 128 618 374 2 - C.2 Write-backs from collections 77 17 51 21 37 - C.3 Gains from disposals 51 5 25 15 - - C.4 Write-offs 889 158 588 491 - - C.5 Transfers to other categories of non-performing exposures 2 1 725 221 93 4 C.6 Contractual changes with no cancellations - X 1 X - X C.7 Other decreases 2,021 496 1,097 991 11 - of which: business combinations - - - - - - D. Closing balance (gross amount) 1,852 402 3,141 2,099 191 2 of which sold non-cancelled exposures 49 21 158 146 4 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 714 2021 Annual Report and Accounts · UniCredit A.1.11 On-balance sheet non-performing credit exposures with customers: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 3,802 787 4,463 2,889 150 4 of which sold non-cancelled exposures 381 201 733 678 2 - B. Increases 1,466 420 1,783 1,323 184 2 B.1 Write-downs of acquired or originated impaired financial assets 93 X 124 X 5 X of which: business combinations - - - - - - B.2 Other write-downs 496 185 1,083 966 99 2 B.3 Losses on disposal 18 1 68 60 - - B.4 Transfers from other categories of non-performing exposures 782 221 33 5 5 - B.5 Contractual changes with no cancellations - X 4 X - X B.6 Other increases 77 13 471 292 75 - of which: business combinations - mergers - - - - - - C. Reductions 3,416 805 3,105 2,113 143 4 C.1 Write-backs from valuation 376 128 618 374 2 - C.2 Write-backs from collections 77 17 51 21 37 - C.3 Gains from disposals 51 5 25 15 - - C.4 Write-offs 889 158 588 491 - - C.5 Transfers to other categories of non-performing exposures 2 1 725 221 93 4 C.6 Contractual changes with no cancellations - X 1 X - X C.7 Other decreases 2,021 496 1,097 991 11 - of which: business combinations - - - - - - D. Closing balance (gross amount) 1,852 402 3,141 2,099 191 2 of which sold non-cancelled exposures 49 21 158 146 4 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 714 2021 Annual Report and Accounts · UniCredit A.1.11 On-balance sheet non-performing credit exposures with customers: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 3,802 787 4,463 2,889 150 4 of which sold non-cancelled exposures 381 201 733 678 2 - B. Increases 1,466 420 1,783 1,323 184 2 B.1 Write-downs of acquired or originated impaired financial assets 93 X 124 X 5 X of which: business combinations - - - - - - B.2 Other write-downs 496 185 1,083 966 99 2 B.3 Losses on disposal 18 1 68 60 - - B.4 Transfers from other categories of non-performing exposures 782 221 33 5 5 - B.5 Contractual changes with no cancellations - X 4 X - X B.6 Other increases 77 13 471 292 75 - of which: business combinations - mergers - - - - - - C. Reductions 3,416 805 3,105 2,113 143 4 C.1 Write-backs from valuation 376 128 618 374 2 - C.2 Write-backs from collections 77 17 51 21 37 - C.3 Gains from disposals 51 5 25 15 - - C.4 Write-offs 889 158 588 491 - - C.5 Transfers to other categories of non-performing exposures 2 1 725 221 93 4 C.6 Contractual changes with no cancellations - X 1 X - X C.7 Other decreases 2,021 496 1,097 991 11 - of which: business combinations - - - - - - D. Closing balance (gross amount) 1,852 402 3,141 2,099 191 2 of which sold non-cancelled exposures 49 21 158 146 4 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 714 2021 Annual Report and Accounts · UniCredit A.1.11 On-balance sheet non-performing credit exposures with customers: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 3,802 787 4,463 2,889 150 4 of which sold non-cancelled exposures 381 201 733 678 2 - B. Increases 1,466 420 1,783 1,323 184 2 B.1 Write-downs of acquired or originated impaired financial assets 93 X 124 X 5 X of which: business combinations - - - - - - B.2 Other write-downs 496 185 1,083 966 99 2 B.3 Losses on disposal 18 1 68 60 - - B.4 Transfers from other categories of non-performing exposures 782 221 33 5 5 - B.5 Contractual changes with no cancellations - X 4 X - X B.6 Other increases 77 13 471 292 75 - of which: business combinations - mergers - - - - - - C. Reductions 3,416 805 3,105 2,113 143 4 C.1 Write-backs from valuation 376 128 618 374 2 - C.2 Write-backs from collections 77 17 51 21 37 - C.3 Gains from disposals 51 5 25 15 - - C.4 Write-offs 889 158 588 491 - - C.5 Transfers to other categories of non-performing exposures 2 1 725 221 93 4 C.6 Contractual changes with no cancellations - X 1 X - X C.7 Other decreases 2,021 496 1,097 991 11 - of which: business combinations - - - - - - D. Closing balance (gross amount) 1,852 402 3,141 2,099 191 2 of which sold non-cancelled exposures 49 21 158 146 4 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 714 2021 Annual Report and Accounts · UniCredit A.1.11 On-balance sheet non-performing credit exposures with customers: changes in overall write-downs (€ million) CHANGES IN 2021 NON-PERFORMING LOANS UNLIKELY TO PAY NON-PERFORMING PAST DUE SOURCES/CATEGORIES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES TOTAL OF WHICH FORBORNE EXPOSURES A. Opening balance (gross amount) 3,802 787 4,463 2,889 150 4 of which sold non-cancelled exposures 381 201 733 678 2 - B. Increases 1,466 420 1,783 1,323 184 2 B.1 Write-downs of acquired or originated impaired financial assets 93 X 124 X 5 X of which: business combinations - - - - - - B.2 Other write-downs 496 185 1,083 966 99 2 B.3 Losses on disposal 18 1 68 60 - - B.4 Transfers from other categories of non-performing exposures 782 221 33 5 5 - B.5 Contractual changes with no cancellations - X 4 X - X B.6 Other increases 77 13 471 292 75 - of which: business combinations - mergers - - - - - - C. Reductions 3,416 805 3,105 2,113 143 4 C.1 Write-backs from valuation 376 128 618 374 2 - C.2 Write-backs from collections 77 17 51 21 37 - C.3 Gains from disposals 51 5 25 15 - - C.4 Write-offs 889 158 588 491 - - C.5 Transfers to other categories of non-performing exposures 2 1 725 221 93 4 C.6 Contractual changes with no cancellations - X 1 X - X C.7 Other decreases 2,021 496 1,097 991 11 - of which: business combinations - - - - - - D. Closing balance (gross amount) 1,852 402 3,141 2,099 191 2 of which sold non-cancelled exposures 49 21 158 146 4 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 715 A.2 Classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings A.2.1 Breakdown of financial assets, loan commitments and financial guarantees given by external rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 EXTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES CLASS 1 CLASS 2 CLASS 3 CLASS 4 CLASS 5 CLASS 6 A. Financial assets at amortised cost - Stage 1 6,056 11,393 64,081 715 1,148 - 136,357 219,750 - Stage 2 2 384 2,489 768 78 5 42,937 46,663 - Stage 3 - - - - 190 - 8,458 8,648 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - 5 5 B. Financial assets at fair value through other comprehensive income - Stage 1 5,116 7,542 20,562 - - - 2,044 35,264 - Stage 2 - - 44 - - - - 44 - Stage 3 - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - - 97 - - - 489 586 - Stage 2 - - 190 216 - - 456 862 - Stage 3 - - - - - - 310 310 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (A+B+C) 11,174 19,319 87,463 1,699 1,416 5 191,058 312,134 D. Loan commitments and financial guarantees given - Stage 1 3,686 3,099 10,897 2,993 639 3 28,012 49,329 - Stage 2 20 368 2,790 2,872 201 2 9,237 15,490 - Stage 3 - - - - - - 759 759 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (D) 3,706 3,467 13,687 5,865 840 5 38,008 65,578 Total (A+B+C+D) 14,880 22,786 101,150 7,564 2,256 10 229,066 377,712 The table details on- and off-balance sheet credits granted to counterparties rated by external rating agencies, which provide brief assessments of the creditworthiness of different classes of borrowers such as Countries, Banks, Public-Sector Entities, Insurance Companies and (usually large) Enterprises. The table refers to classification of Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments); then it provides, for external ratings, 6 classes of creditworthiness. Rating agencies utilised to fill the table are: Moody’s, S&Ps and Fitch. Where more than one rating agency is available, the most prudential rating is assigned. Concerning the classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings in force for the UniCredit group is made to the paragraph “A.2 Classification of credit exposure based on internal and external ratings” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, A. Credit quality, which is herewith quoted entirely. The 37% of rated counterparties were investment grade (from Class 1 to Class 3), referring to highly-rated borrowers. Unrated exposures, i.e. those with no external rating, were about 61% of the portfolio, due to the fact that a considerable proportion of borrowers were private individuals or SMEs, which are not externally rated. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 715 A.2 Classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings A.2.1 Breakdown of financial assets, loan commitments and financial guarantees given by external rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 EXTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES CLASS 1 CLASS 2 CLASS 3 CLASS 4 CLASS 5 CLASS 6 A. Financial assets at amortised cost - Stage 1 6,056 11,393 64,081 715 1,148 - 136,357 219,750 - Stage 2 2 384 2,489 768 78 5 42,937 46,663 - Stage 3 - - - - 190 - 8,458 8,648 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - 5 5 B. Financial assets at fair value through other comprehensive income - Stage 1 5,116 7,542 20,562 - - - 2,044 35,264 - Stage 2 - - 44 - - - - 44 - Stage 3 - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - - 97 - - - 489 586 - Stage 2 - - 190 216 - - 456 862 - Stage 3 - - - - - - 310 310 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (A+B+C) 11,174 19,319 87,463 1,699 1,416 5 191,058 312,134 D. Loan commitments and financial guarantees given - Stage 1 3,686 3,099 10,897 2,993 639 3 28,012 49,329 - Stage 2 20 368 2,790 2,872 201 2 9,237 15,490 - Stage 3 - - - - - - 759 759 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (D) 3,706 3,467 13,687 5,865 840 5 38,008 65,578 Total (A+B+C+D) 14,880 22,786 101,150 7,564 2,256 10 229,066 377,712 The table details on- and off-balance sheet credits granted to counterparties rated by external rating agencies, which provide brief assessments of the creditworthiness of different classes of borrowers such as Countries, Banks, Public-Sector Entities, Insurance Companies and (usually large) Enterprises. The table refers to classification of Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments); then it provides, for external ratings, 6 classes of creditworthiness. Rating agencies utilised to fill the table are: Moody’s, S&Ps and Fitch. Where more than one rating agency is available, the most prudential rating is assigned. Concerning the classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings in force for the UniCredit group is made to the paragraph “A.2 Classification of credit exposure based on internal and external ratings” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, A. Credit quality, which is herewith quoted entirely. The 37% of rated counterparties were investment grade (from Class 1 to Class 3), referring to highly-rated borrowers. Unrated exposures, i.e. those with no external rating, were about 61% of the portfolio, due to the fact that a considerable proportion of borrowers were private individuals or SMEs, which are not externally rated. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 715 A.2 Classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings A.2.1 Breakdown of financial assets, loan commitments and financial guarantees given by external rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 EXTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES CLASS 1 CLASS 2 CLASS 3 CLASS 4 CLASS 5 CLASS 6 A. Financial assets at amortised cost - Stage 1 6,056 11,393 64,081 715 1,148 - 136,357 219,750 - Stage 2 2 384 2,489 768 78 5 42,937 46,663 - Stage 3 - - - - 190 - 8,458 8,648 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - 5 5 B. Financial assets at fair value through other comprehensive income - Stage 1 5,116 7,542 20,562 - - - 2,044 35,264 - Stage 2 - - 44 - - - - 44 - Stage 3 - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - - 97 - - - 489 586 - Stage 2 - - 190 216 - - 456 862 - Stage 3 - - - - - - 310 310 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (A+B+C) 11,174 19,319 87,463 1,699 1,416 5 191,058 312,134 D. Loan commitments and financial guarantees given - Stage 1 3,686 3,099 10,897 2,993 639 3 28,012 49,329 - Stage 2 20 368 2,790 2,872 201 2 9,237 15,490 - Stage 3 - - - - - - 759 759 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (D) 3,706 3,467 13,687 5,865 840 5 38,008 65,578 Total (A+B+C+D) 14,880 22,786 101,150 7,564 2,256 10 229,066 377,712 The table details on- and off-balance sheet credits granted to counterparties rated by external rating agencies, which provide brief assessments of the creditworthiness of different classes of borrowers such as Countries, Banks, Public-Sector Entities, Insurance Companies and (usually large) Enterprises. The table refers to classification of Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments); then it provides, for external ratings, 6 classes of creditworthiness. Rating agencies utilised to fill the table are: Moody’s, S&Ps and Fitch. Where more than one rating agency is available, the most prudential rating is assigned. Concerning the classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings in force for the UniCredit group is made to the paragraph “A.2 Classification of credit exposure based on internal and external ratings” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, A. Credit quality, which is herewith quoted entirely. The 37% of rated counterparties were investment grade (from Class 1 to Class 3), referring to highly-rated borrowers. Unrated exposures, i.e. those with no external rating, were about 61% of the portfolio, due to the fact that a considerable proportion of borrowers were private individuals or SMEs, which are not externally rated. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 715 A.2 Classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings A.2.1 Breakdown of financial assets, loan commitments and financial guarantees given by external rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 EXTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES CLASS 1 CLASS 2 CLASS 3 CLASS 4 CLASS 5 CLASS 6 A. Financial assets at amortised cost - Stage 1 6,056 11,393 64,081 715 1,148 - 136,357 219,750 - Stage 2 2 384 2,489 768 78 5 42,937 46,663 - Stage 3 - - - - 190 - 8,458 8,648 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - 5 5 B. Financial assets at fair value through other comprehensive income - Stage 1 5,116 7,542 20,562 - - - 2,044 35,264 - Stage 2 - - 44 - - - - 44 - Stage 3 - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - - 97 - - - 489 586 - Stage 2 - - 190 216 - - 456 862 - Stage 3 - - - - - - 310 310 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (A+B+C) 11,174 19,319 87,463 1,699 1,416 5 191,058 312,134 D. Loan commitments and financial guarantees given - Stage 1 3,686 3,099 10,897 2,993 639 3 28,012 49,329 - Stage 2 20 368 2,790 2,872 201 2 9,237 15,490 - Stage 3 - - - - - - 759 759 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (D) 3,706 3,467 13,687 5,865 840 5 38,008 65,578 Total (A+B+C+D) 14,880 22,786 101,150 7,564 2,256 10 229,066 377,712 The table details on- and off-balance sheet credits granted to counterparties rated by external rating agencies, which provide brief assessments of the creditworthiness of different classes of borrowers such as Countries, Banks, Public-Sector Entities, Insurance Companies and (usually large) Enterprises. The table refers to classification of Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments); then it provides, for external ratings, 6 classes of creditworthiness. Rating agencies utilised to fill the table are: Moody’s, S&Ps and Fitch. Where more than one rating agency is available, the most prudential rating is assigned. Concerning the classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings in force for the UniCredit group is made to the paragraph “A.2 Classification of credit exposure based on internal and external ratings” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, A. Credit quality, which is herewith quoted entirely. The 37% of rated counterparties were investment grade (from Class 1 to Class 3), referring to highly-rated borrowers. Unrated exposures, i.e. those with no external rating, were about 61% of the portfolio, due to the fact that a considerable proportion of borrowers were private individuals or SMEs, which are not externally rated. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 715 A.2 Classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings A.2.1 Breakdown of financial assets, loan commitments and financial guarantees given by external rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 EXTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES CLASS 1 CLASS 2 CLASS 3 CLASS 4 CLASS 5 CLASS 6 A. Financial assets at amortised cost - Stage 1 6,056 11,393 64,081 715 1,148 - 136,357 219,750 - Stage 2 2 384 2,489 768 78 5 42,937 46,663 - Stage 3 - - - - 190 - 8,458 8,648 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - 5 5 B. Financial assets at fair value through other comprehensive income - Stage 1 5,116 7,542 20,562 - - - 2,044 35,264 - Stage 2 - - 44 - - - - 44 - Stage 3 - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - - 97 - - - 489 586 - Stage 2 - - 190 216 - - 456 862 - Stage 3 - - - - - - 310 310 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (A+B+C) 11,174 19,319 87,463 1,699 1,416 5 191,058 312,134 D. Loan commitments and financial guarantees given - Stage 1 3,686 3,099 10,897 2,993 639 3 28,012 49,329 - Stage 2 20 368 2,790 2,872 201 2 9,237 15,490 - Stage 3 - - - - - - 759 759 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - Total (D) 3,706 3,467 13,687 5,865 840 5 38,008 65,578 Total (A+B+C+D) 14,880 22,786 101,150 7,564 2,256 10 229,066 377,712 The table details on- and off-balance sheet credits granted to counterparties rated by external rating agencies, which provide brief assessments of the creditworthiness of different classes of borrowers such as Countries, Banks, Public-Sector Entities, Insurance Companies and (usually large) Enterprises. The table refers to classification of Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments); then it provides, for external ratings, 6 classes of creditworthiness. Rating agencies utilised to fill the table are: Moody’s, S&Ps and Fitch. Where more than one rating agency is available, the most prudential rating is assigned. Concerning the classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings in force for the UniCredit group is made to the paragraph “A.2 Classification of credit exposure based on internal and external ratings” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, A. Credit quality, which is herewith quoted entirely. The 37% of rated counterparties were investment grade (from Class 1 to Class 3), referring to highly-rated borrowers. Unrated exposures, i.e. those with no external rating, were about 61% of the portfolio, due to the fact that a considerable proportion of borrowers were private individuals or SMEs, which are not externally rated. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 716 2021 Annual Report and Accounts · UniCredit A.2.2 Breakdown of financial assets, loan commitments and financial guarantees given by internal rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 INTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES 1 2 3 4 5 6 7 8 9 A. Financial assets at amortised cost - Stage 1 286 2,743 88,319 67,399 16,987 10,707 5,047 762 17 27,483 219,750 - Stage 2 58 9 11,694 7,712 5,877 7,095 6,001 4,231 3,113 873 46,663 - Stage 3 - - - - - - - - - 8,648 8,648 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - 5 5 B. Financial assets at fair value through other comprehensive income - Stage 1 3,281 6,969 23,654 259 - - - 261 - 840 35,264 - Stage 2 - - - 44 - - - - - - 44 - Stage 3 - - - - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - - 111 315 148 12 - - - - 586 - Stage 2 - - 266 353 103 94 - 46 - - 862 - Stage 3 - - - - - - - - - 310 310 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (A+B+C) 3,625 9,721 124,044 76,082 23,115 17,908 11,048 5,300 3,130 38,161 312,134 D. Loan commitments and financial guarantees given - Stage 1 1 461 17,245 17,651 3,202 2,946 1,048 161 15 6,599 49,329 - Stage 2 12 575 3,723 5,601 1,195 2,285 892 568 256 383 15,490 - Stage 3 - - - - - - - - - 759 759 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (D) 13 1,036 20,968 23,252 4,397 5,231 1,940 729 271 7,741 65,578 Total (A+B+C+D) 3,638 10,757 145,012 99,334 27,512 23,139 12,988 6,029 3,401 45,902 377,712 The table contains on-balance and off-balance sheet exposures grouped according to the counterparties’ internal rating. Ratings are assigned to individual counterparties using internally-developed models included in their credit risk management processes. The internal models validated by the regulators are both “local” and “group-wide” (e.g. for Banks, Multinationals, Countries). The various rating scales of these models are mapped into a single Group master-scale of 9 classes (illustrated above) based on Probability of Default (PD). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 716 2021 Annual Report and Accounts · UniCredit A.2.2 Breakdown of financial assets, loan commitments and financial guarantees given by internal rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 INTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES 1 2 3 4 5 6 7 8 9 A. Financial assets at amortised cost - Stage 1 286 2,743 88,319 67,399 16,987 10,707 5,047 762 17 27,483 219,750 - Stage 2 58 9 11,694 7,712 5,877 7,095 6,001 4,231 3,113 873 46,663 - Stage 3 - - - - - - - - - 8,648 8,648 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - 5 5 B. Financial assets at fair value through other comprehensive income - Stage 1 3,281 6,969 23,654 259 - - - 261 - 840 35,264 - Stage 2 - - - 44 - - - - - - 44 - Stage 3 - - - - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - - 111 315 148 12 - - - - 586 - Stage 2 - - 266 353 103 94 - 46 - - 862 - Stage 3 - - - - - - - - - 310 310 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (A+B+C) 3,625 9,721 124,044 76,082 23,115 17,908 11,048 5,300 3,130 38,161 312,134 D. Loan commitments and financial guarantees given - Stage 1 1 461 17,245 17,651 3,202 2,946 1,048 161 15 6,599 49,329 - Stage 2 12 575 3,723 5,601 1,195 2,285 892 568 256 383 15,490 - Stage 3 - - - - - - - - - 759 759 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (D) 13 1,036 20,968 23,252 4,397 5,231 1,940 729 271 7,741 65,578 Total (A+B+C+D) 3,638 10,757 145,012 99,334 27,512 23,139 12,988 6,029 3,401 45,902 377,712 The table contains on-balance and off-balance sheet exposures grouped according to the counterparties’ internal rating. Ratings are assigned to individual counterparties using internally-developed models included in their credit risk management processes. The internal models validated by the regulators are both “local” and “group-wide” (e.g. for Banks, Multinationals, Countries). The various rating scales of these models are mapped into a single Group master-scale of 9 classes (illustrated above) based on Probability of Default (PD). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 716 2021 Annual Report and Accounts · UniCredit A.2.2 Breakdown of financial assets, loan commitments and financial guarantees given by internal rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 INTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES 1 2 3 4 5 6 7 8 9 A. Financial assets at amortised cost - Stage 1 286 2,743 88,319 67,399 16,987 10,707 5,047 762 17 27,483 219,750 - Stage 2 58 9 11,694 7,712 5,877 7,095 6,001 4,231 3,113 873 46,663 - Stage 3 - - - - - - - - - 8,648 8,648 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - 5 5 B. Financial assets at fair value through other comprehensive income - Stage 1 3,281 6,969 23,654 259 - - - 261 - 840 35,264 - Stage 2 - - - 44 - - - - - - 44 - Stage 3 - - - - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - - 111 315 148 12 - - - - 586 - Stage 2 - - 266 353 103 94 - 46 - - 862 - Stage 3 - - - - - - - - - 310 310 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (A+B+C) 3,625 9,721 124,044 76,082 23,115 17,908 11,048 5,300 3,130 38,161 312,134 D. Loan commitments and financial guarantees given - Stage 1 1 461 17,245 17,651 3,202 2,946 1,048 161 15 6,599 49,329 - Stage 2 12 575 3,723 5,601 1,195 2,285 892 568 256 383 15,490 - Stage 3 - - - - - - - - - 759 759 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (D) 13 1,036 20,968 23,252 4,397 5,231 1,940 729 271 7,741 65,578 Total (A+B+C+D) 3,638 10,757 145,012 99,334 27,512 23,139 12,988 6,029 3,401 45,902 377,712 The table contains on-balance and off-balance sheet exposures grouped according to the counterparties’ internal rating. Ratings are assigned to individual counterparties using internally-developed models included in their credit risk management processes. The internal models validated by the regulators are both “local” and “group-wide” (e.g. for Banks, Multinationals, Countries). The various rating scales of these models are mapped into a single Group master-scale of 9 classes (illustrated above) based on Probability of Default (PD). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 716 2021 Annual Report and Accounts · UniCredit A.2.2 Breakdown of financial assets, loan commitments and financial guarantees given by internal rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 INTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES 1 2 3 4 5 6 7 8 9 A. Financial assets at amortised cost - Stage 1 286 2,743 88,319 67,399 16,987 10,707 5,047 762 17 27,483 219,750 - Stage 2 58 9 11,694 7,712 5,877 7,095 6,001 4,231 3,113 873 46,663 - Stage 3 - - - - - - - - - 8,648 8,648 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - 5 5 B. Financial assets at fair value through other comprehensive income - Stage 1 3,281 6,969 23,654 259 - - - 261 - 840 35,264 - Stage 2 - - - 44 - - - - - - 44 - Stage 3 - - - - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - - 111 315 148 12 - - - - 586 - Stage 2 - - 266 353 103 94 - 46 - - 862 - Stage 3 - - - - - - - - - 310 310 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (A+B+C) 3,625 9,721 124,044 76,082 23,115 17,908 11,048 5,300 3,130 38,161 312,134 D. Loan commitments and financial guarantees given - Stage 1 1 461 17,245 17,651 3,202 2,946 1,048 161 15 6,599 49,329 - Stage 2 12 575 3,723 5,601 1,195 2,285 892 568 256 383 15,490 - Stage 3 - - - - - - - - - 759 759 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (D) 13 1,036 20,968 23,252 4,397 5,231 1,940 729 271 7,741 65,578 Total (A+B+C+D) 3,638 10,757 145,012 99,334 27,512 23,139 12,988 6,029 3,401 45,902 377,712 The table contains on-balance and off-balance sheet exposures grouped according to the counterparties’ internal rating. Ratings are assigned to individual counterparties using internally-developed models included in their credit risk management processes. The internal models validated by the regulators are both “local” and “group-wide” (e.g. for Banks, Multinationals, Countries). The various rating scales of these models are mapped into a single Group master-scale of 9 classes (illustrated above) based on Probability of Default (PD). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 716 2021 Annual Report and Accounts · UniCredit A.2.2 Breakdown of financial assets, loan commitments and financial guarantees given by internal rating classes (gross amounts) (€ million) AMOUNT AS AT 12.31.2021 INTERNAL RATING CLASSES NO RATING TOTAL EXPOSURES 1 2 3 4 5 6 7 8 9 A. Financial assets at amortised cost - Stage 1 286 2,743 88,319 67,399 16,987 10,707 5,047 762 17 27,483 219,750 - Stage 2 58 9 11,694 7,712 5,877 7,095 6,001 4,231 3,113 873 46,663 - Stage 3 - - - - - - - - - 8,648 8,648 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - 5 5 B. Financial assets at fair value through other comprehensive income - Stage 1 3,281 6,969 23,654 259 - - - 261 - 840 35,264 - Stage 2 - - - 44 - - - - - - 44 - Stage 3 - - - - - - - - - 2 2 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - C. Financial instruments classified as held for sale - Stage 1 - - 111 315 148 12 - - - - 586 - Stage 2 - - 266 353 103 94 - 46 - - 862 - Stage 3 - - - - - - - - - 310 310 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (A+B+C) 3,625 9,721 124,044 76,082 23,115 17,908 11,048 5,300 3,130 38,161 312,134 D. Loan commitments and financial guarantees given - Stage 1 1 461 17,245 17,651 3,202 2,946 1,048 161 15 6,599 49,329 - Stage 2 12 575 3,723 5,601 1,195 2,285 892 568 256 383 15,490 - Stage 3 - - - - - - - - - 759 759 - Purchased or Originated Credit-Impaired Financial Assets - - - - - - - - - - - Total (D) 13 1,036 20,968 23,252 4,397 5,231 1,940 729 271 7,741 65,578 Total (A+B+C+D) 3,638 10,757 145,012 99,334 27,512 23,139 12,988 6,029 3,401 45,902 377,712 The table contains on-balance and off-balance sheet exposures grouped according to the counterparties’ internal rating. Ratings are assigned to individual counterparties using internally-developed models included in their credit risk management processes. The internal models validated by the regulators are both “local” and “group-wide” (e.g. for Banks, Multinationals, Countries). The various rating scales of these models are mapped into a single Group master-scale of 9 classes (illustrated above) based on Probability of Default (PD). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 717 A.3 Distribution of secured credit exposures by type of security A.3.1 Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 4,939 4,939 - - 4,892 - of which non-performing - - - - - - 1.2 Partially secured - - - - - - of which non-performing - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured 2,345 2,345 - - 2,284 8 of which non-performing - - - - - - 2.2 Partially secured 12 12 - - - 1 of which non-performing - - - - - - continued: A.3.1 Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - - - - - 4,892 of which non-performing - - - - - - - - - - 1.2 Partially secured - - - - - - - - - - of which non-performing - - - - - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - - 37 - - 2,329 of which non-performing - - - - - - - - - - 2.2 Partially secured - - - - - - 10 - - 11 of which non-performing - - - - - - - - - - A.3.2 Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 109,744 105,441 59,988 - 18,490 3,740 of which non-performing 5,865 3,037 2,237 - 6 49 1.2 Partially secured 20,457 19,838 55 - 521 829 of which non-performing 703 273 22 - 39 3 2. Secured off-balance sheet credit exposures 2.1 Totally secured 29,935 29,836 2,000 - 7,953 340 of which non-performing 431 370 55 - 3 19 2.2 Partially secured 5,279 5,243 2 - 195 126 of which non-performing 119 92 - - 22 4 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 717 A.3 Distribution of secured credit exposures by type of security A.3.1 Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 4,939 4,939 - - 4,892 - of which non-performing - - - - - - 1.2 Partially secured - - - - - - of which non-performing - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured 2,345 2,345 - - 2,284 8 of which non-performing - - - - - - 2.2 Partially secured 12 12 - - - 1 of which non-performing - - - - - - continued: A.3.1 Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - - - - - 4,892 of which non-performing - - - - - - - - - - 1.2 Partially secured - - - - - - - - - - of which non-performing - - - - - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - - 37 - - 2,329 of which non-performing - - - - - - - - - - 2.2 Partially secured - - - - - - 10 - - 11 of which non-performing - - - - - - - - - - A.3.2 Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 109,744 105,441 59,988 - 18,490 3,740 of which non-performing 5,865 3,037 2,237 - 6 49 1.2 Partially secured 20,457 19,838 55 - 521 829 of which non-performing 703 273 22 - 39 3 2. Secured off-balance sheet credit exposures 2.1 Totally secured 29,935 29,836 2,000 - 7,953 340 of which non-performing 431 370 55 - 3 19 2.2 Partially secured 5,279 5,243 2 - 195 126 of which non-performing 119 92 - - 22 4 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 717 A.3 Distribution of secured credit exposures by type of security A.3.1 Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 4,939 4,939 - - 4,892 - of which non-performing - - - - - - 1.2 Partially secured - - - - - - of which non-performing - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured 2,345 2,345 - - 2,284 8 of which non-performing - - - - - - 2.2 Partially secured 12 12 - - - 1 of which non-performing - - - - - - continued: A.3.1 Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - - - - - 4,892 of which non-performing - - - - - - - - - - 1.2 Partially secured - - - - - - - - - - of which non-performing - - - - - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - - 37 - - 2,329 of which non-performing - - - - - - - - - - 2.2 Partially secured - - - - - - 10 - - 11 of which non-performing - - - - - - - - - - A.3.2 Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 109,744 105,441 59,988 - 18,490 3,740 of which non-performing 5,865 3,037 2,237 - 6 49 1.2 Partially secured 20,457 19,838 55 - 521 829 of which non-performing 703 273 22 - 39 3 2. Secured off-balance sheet credit exposures 2.1 Totally secured 29,935 29,836 2,000 - 7,953 340 of which non-performing 431 370 55 - 3 19 2.2 Partially secured 5,279 5,243 2 - 195 126 of which non-performing 119 92 - - 22 4 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 717 A.3 Distribution of secured credit exposures by type of security A.3.1 Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 4,939 4,939 - - 4,892 - of which non-performing - - - - - - 1.2 Partially secured - - - - - - of which non-performing - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured 2,345 2,345 - - 2,284 8 of which non-performing - - - - - - 2.2 Partially secured 12 12 - - - 1 of which non-performing - - - - - - continued: A.3.1 Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - - - - - 4,892 of which non-performing - - - - - - - - - - 1.2 Partially secured - - - - - - - - - - of which non-performing - - - - - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - - 37 - - 2,329 of which non-performing - - - - - - - - - - 2.2 Partially secured - - - - - - 10 - - 11 of which non-performing - - - - - - - - - - A.3.2 Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 109,744 105,441 59,988 - 18,490 3,740 of which non-performing 5,865 3,037 2,237 - 6 49 1.2 Partially secured 20,457 19,838 55 - 521 829 of which non-performing 703 273 22 - 39 3 2. Secured off-balance sheet credit exposures 2.1 Totally secured 29,935 29,836 2,000 - 7,953 340 of which non-performing 431 370 55 - 3 19 2.2 Partially secured 5,279 5,243 2 - 195 126 of which non-performing 119 92 - - 22 4 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 717 A.3 Distribution of secured credit exposures by type of security A.3.1 Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 4,939 4,939 - - 4,892 - of which non-performing - - - - - - 1.2 Partially secured - - - - - - of which non-performing - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured 2,345 2,345 - - 2,284 8 of which non-performing - - - - - - 2.2 Partially secured 12 12 - - - 1 of which non-performing - - - - - - continued: A.3.1 Secured on-balance and off-balance sheet credit exposures with banks (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - - - - - 4,892 of which non-performing - - - - - - - - - - 1.2 Partially secured - - - - - - - - - - of which non-performing - - - - - - - - - - 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - - 37 - - 2,329 of which non-performing - - - - - - - - - - 2.2 Partially secured - - - - - - 10 - - 11 of which non-performing - - - - - - - - - - A.3.2 Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GROSS EXPOSURE NET EXPOSURE COLLATERALS (1) PROPERTY - MORTGAGES PROPERTY - LEASE LOANS SECURITIES OTHER COLLATERALS 1. Secured on-balance sheet credit exposures 1.1 Totally secured 109,744 105,441 59,988 - 18,490 3,740 of which non-performing 5,865 3,037 2,237 - 6 49 1.2 Partially secured 20,457 19,838 55 - 521 829 of which non-performing 703 273 22 - 39 3 2. Secured off-balance sheet credit exposures 2.1 Totally secured 29,935 29,836 2,000 - 7,953 340 of which non-performing 431 370 55 - 3 19 2.2 Partially secured 5,279 5,243 2 - 195 126 of which non-performing 119 92 - - 22 4 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 718 2021 Annual Report and Accounts · UniCredit continued: A.3.2 Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 10,788 108 1,231 10,387 104,732 of which non-performing - - - - - 270 4 14 271 2,851 1.2 Partially secured - - - - - 8,929 211 31 4,207 14,783 of which non-performing - - - - - 97 14 4 23 202 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - 2,661 808 1,582 14,404 29,748 of which non-performing - - - - - 10 35 30 207 359 2.2 Partially secured - - - - - 776 245 586 1,287 3,217 of which non-performing - - - - - 6 5 1 33 71 A.4 Financial and non-financial assets obtained by taking possession of collaterals (€ million) CANCELLED CREDIT EXPOSURE GROSS AMOUNT OVERALL WRITE-DOWNS CARRYING VALUE OF WHICH OBTAINED DURING THE YEAR A. Property, plant and equipment - - - - - A.1 Used in business - - - - - A.2 Held for investment - - - - - A.3 Inventories - - - - - B. Equity instruments and debt securities 178 129 47 83 1 C. Other assets - - - - - D. Non-current assets and disposal groups classified as held for sale - - - - - D.1 Property, plant and equipment - - - - - D.2 Other assets - - - - - Total 12.31.2021 178 129 47 83 1 Total 12.31.2020 227 165 43 123 83 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 718 2021 Annual Report and Accounts · UniCredit continued: A.3.2 Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 10,788 108 1,231 10,387 104,732 of which non-performing - - - - - 270 4 14 271 2,851 1.2 Partially secured - - - - - 8,929 211 31 4,207 14,783 of which non-performing - - - - - 97 14 4 23 202 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - 2,661 808 1,582 14,404 29,748 of which non-performing - - - - - 10 35 30 207 359 2.2 Partially secured - - - - - 776 245 586 1,287 3,217 of which non-performing - - - - - 6 5 1 33 71 A.4 Financial and non-financial assets obtained by taking possession of collaterals (€ million) CANCELLED CREDIT EXPOSURE GROSS AMOUNT OVERALL WRITE-DOWNS CARRYING VALUE OF WHICH OBTAINED DURING THE YEAR A. Property, plant and equipment - - - - - A.1 Used in business - - - - - A.2 Held for investment - - - - - A.3 Inventories - - - - - B. Equity instruments and debt securities 178 129 47 83 1 C. Other assets - - - - - D. Non-current assets and disposal groups classified as held for sale - - - - - D.1 Property, plant and equipment - - - - - D.2 Other assets - - - - - Total 12.31.2021 178 129 47 83 1 Total 12.31.2020 227 165 43 123 83 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 718 2021 Annual Report and Accounts · UniCredit continued: A.3.2 Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 10,788 108 1,231 10,387 104,732 of which non-performing - - - - - 270 4 14 271 2,851 1.2 Partially secured - - - - - 8,929 211 31 4,207 14,783 of which non-performing - - - - - 97 14 4 23 202 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - 2,661 808 1,582 14,404 29,748 of which non-performing - - - - - 10 35 30 207 359 2.2 Partially secured - - - - - 776 245 586 1,287 3,217 of which non-performing - - - - - 6 5 1 33 71 A.4 Financial and non-financial assets obtained by taking possession of collaterals (€ million) CANCELLED CREDIT EXPOSURE GROSS AMOUNT OVERALL WRITE-DOWNS CARRYING VALUE OF WHICH OBTAINED DURING THE YEAR A. Property, plant and equipment - - - - - A.1 Used in business - - - - - A.2 Held for investment - - - - - A.3 Inventories - - - - - B. Equity instruments and debt securities 178 129 47 83 1 C. Other assets - - - - - D. Non-current assets and disposal groups classified as held for sale - - - - - D.1 Property, plant and equipment - - - - - D.2 Other assets - - - - - Total 12.31.2021 178 129 47 83 1 Total 12.31.2020 227 165 43 123 83 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 718 2021 Annual Report and Accounts · UniCredit continued: A.3.2 Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 10,788 108 1,231 10,387 104,732 of which non-performing - - - - - 270 4 14 271 2,851 1.2 Partially secured - - - - - 8,929 211 31 4,207 14,783 of which non-performing - - - - - 97 14 4 23 202 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - 2,661 808 1,582 14,404 29,748 of which non-performing - - - - - 10 35 30 207 359 2.2 Partially secured - - - - - 776 245 586 1,287 3,217 of which non-performing - - - - - 6 5 1 33 71 A.4 Financial and non-financial assets obtained by taking possession of collaterals (€ million) CANCELLED CREDIT EXPOSURE GROSS AMOUNT OVERALL WRITE-DOWNS CARRYING VALUE OF WHICH OBTAINED DURING THE YEAR A. Property, plant and equipment - - - - - A.1 Used in business - - - - - A.2 Held for investment - - - - - A.3 Inventories - - - - - B. Equity instruments and debt securities 178 129 47 83 1 C. Other assets - - - - - D. Non-current assets and disposal groups classified as held for sale - - - - - D.1 Property, plant and equipment - - - - - D.2 Other assets - - - - - Total 12.31.2021 178 129 47 83 1 Total 12.31.2020 227 165 43 123 83 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 718 2021 Annual Report and Accounts · UniCredit continued: A.3.2 Secured on-balance and off-balance sheet credit exposures with customers (€ million) AMOUNT AS AT 12.31.2021 GUARANTEES (2) CREDIT DERIVATIVES SIGNATURE LOANS (LOANS GUARANTEES) TOTAL (1)+(2) OTHER CREDIT DERIVATIVES CLN GOVERNMENT AND CENTRAL BANKS BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES BANKS OTHER PUBLIC ENTITIES OTHER ENTITIES 1. Secured on-balance sheet credit exposures 1.1 Totally secured - - - - - 10,788 108 1,231 10,387 104,732 of which non-performing - - - - - 270 4 14 271 2,851 1.2 Partially secured - - - - - 8,929 211 31 4,207 14,783 of which non-performing - - - - - 97 14 4 23 202 2. Secured off-balance sheet credit exposures 2.1 Totally secured - - - - - 2,661 808 1,582 14,404 29,748 of which non-performing - - - - - 10 35 30 207 359 2.2 Partially secured - - - - - 776 245 586 1,287 3,217 of which non-performing - - - - - 6 5 1 33 71 A.4 Financial and non-financial assets obtained by taking possession of collaterals (€ million) CANCELLED CREDIT EXPOSURE GROSS AMOUNT OVERALL WRITE-DOWNS CARRYING VALUE OF WHICH OBTAINED DURING THE YEAR A. Property, plant and equipment - - - - - A.1 Used in business - - - - - A.2 Held for investment - - - - - A.3 Inventories - - - - - B. Equity instruments and debt securities 178 129 47 83 1 C. Other assets - - - - - D. Non-current assets and disposal groups classified as held for sale - - - - - D.1 Property, plant and equipment - - - - - D.2 Other assets - - - - - Total 12.31.2021 178 129 47 83 1 Total 12.31.2020 227 165 43 123 83 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 719 B. Distribution and concentration of credit exposures B.1 Distribution by segment of on-balance and off-balance sheet credit exposures with customers (€ million) GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES FINANCIAL COMPANIES FINANCIAL COMPANIES (OF WHICH INSURANCE COMPANIES) NON-FINANCIAL COMPANIES HOUSEHOLDS EXPOSURES/COUNTERPARTIES NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - 26 8 141 - - 320 1,274 186 411 of which: forborne exposures - - 4 13 - - 91 294 77 95 A.2 Unlikely to pay 206 28 144 265 - - 1,594 2,144 1,109 704 of which: forborne exposures 16 16 93 120 - - 1,214 1,487 816 476 A.3 Non-performing past-due 6 4 - - - - 37 33 279 154 of which: forborne exposures - - - - - - 3 1 3 1 A.4 Performing exposures 74,558 56 47,788 177 638 - 81,809 1,225 62,987 969 of which: forborne exposures 6 - 117 9 - - 2,666 450 1,378 146 Total (A) 74,770 114 47,940 583 638 - 83,760 4,676 64,561 2,238 B. Off-balance sheet credit exposures B.1 Non-performing exposures 17 11 34 19 - - 1,108 266 42 1 B.2 Performing exsposures 4,727 2 30,046 24 4,799 - 107,100 88 5,530 3 Total (B) 4,744 13 30,080 43 4,799 - 108,208 354 5,572 4 Total (A+B) 12.31.2021 79,514 127 78,020 626 5,437 - 191,968 5,030 70,133 2,242 Total (A+B) 12.31.2020 70,363 118 97,129 733 1,911 - 186,335 7,116 67,358 3,095 B.2 Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 512 1,772 2 80 - - - - - - A.2 Unlikely to pay 2,529 2,668 317 457 18 13 1 1 188 2 A.3 Non-performing past-due 320 190 1 1 1 - - - - - A.4 Performing exposures 229,049 2,285 23,830 90 4,237 10 8,749 42 1,277 - Total (A) 232,410 6,915 24,150 628 4,256 23 8,750 43 1,465 2 B. Off-balance sheet credit exposures B.1 Non-performing exposures 1,183 297 9 - 9 - - - - - B.2 Performing exposures 132,458 101 10,914 9 3,144 4 530 2 358 - Total (B) 133,641 398 10,923 9 3,153 4 530 2 358 - Total (A+B) 12.31.2021 366,051 7,313 35,073 637 7,409 27 9,280 45 1,823 2 Total (A+B) 12.31.2020 373,649 10,403 30,019 601 7,809 25 8,272 32 1,436 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 719 B. Distribution and concentration of credit exposures B.1 Distribution by segment of on-balance and off-balance sheet credit exposures with customers (€ million) GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES FINANCIAL COMPANIES FINANCIAL COMPANIES (OF WHICH INSURANCE COMPANIES) NON-FINANCIAL COMPANIES HOUSEHOLDS EXPOSURES/COUNTERPARTIES NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - 26 8 141 - - 320 1,274 186 411 of which: forborne exposures - - 4 13 - - 91 294 77 95 A.2 Unlikely to pay 206 28 144 265 - - 1,594 2,144 1,109 704 of which: forborne exposures 16 16 93 120 - - 1,214 1,487 816 476 A.3 Non-performing past-due 6 4 - - - - 37 33 279 154 of which: forborne exposures - - - - - - 3 1 3 1 A.4 Performing exposures 74,558 56 47,788 177 638 - 81,809 1,225 62,987 969 of which: forborne exposures 6 - 117 9 - - 2,666 450 1,378 146 Total (A) 74,770 114 47,940 583 638 - 83,760 4,676 64,561 2,238 B. Off-balance sheet credit exposures B.1 Non-performing exposures 17 11 34 19 - - 1,108 266 42 1 B.2 Performing exsposures 4,727 2 30,046 24 4,799 - 107,100 88 5,530 3 Total (B) 4,744 13 30,080 43 4,799 - 108,208 354 5,572 4 Total (A+B) 12.31.2021 79,514 127 78,020 626 5,437 - 191,968 5,030 70,133 2,242 Total (A+B) 12.31.2020 70,363 118 97,129 733 1,911 - 186,335 7,116 67,358 3,095 B.2 Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 512 1,772 2 80 - - - - - - A.2 Unlikely to pay 2,529 2,668 317 457 18 13 1 1 188 2 A.3 Non-performing past-due 320 190 1 1 1 - - - - - A.4 Performing exposures 229,049 2,285 23,830 90 4,237 10 8,749 42 1,277 - Total (A) 232,410 6,915 24,150 628 4,256 23 8,750 43 1,465 2 B. Off-balance sheet credit exposures B.1 Non-performing exposures 1,183 297 9 - 9 - - - - - B.2 Performing exposures 132,458 101 10,914 9 3,144 4 530 2 358 - Total (B) 133,641 398 10,923 9 3,153 4 530 2 358 - Total (A+B) 12.31.2021 366,051 7,313 35,073 637 7,409 27 9,280 45 1,823 2 Total (A+B) 12.31.2020 373,649 10,403 30,019 601 7,809 25 8,272 32 1,436 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 719 B. Distribution and concentration of credit exposures B.1 Distribution by segment of on-balance and off-balance sheet credit exposures with customers (€ million) GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES FINANCIAL COMPANIES FINANCIAL COMPANIES (OF WHICH INSURANCE COMPANIES) NON-FINANCIAL COMPANIES HOUSEHOLDS EXPOSURES/COUNTERPARTIES NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - 26 8 141 - - 320 1,274 186 411 of which: forborne exposures - - 4 13 - - 91 294 77 95 A.2 Unlikely to pay 206 28 144 265 - - 1,594 2,144 1,109 704 of which: forborne exposures 16 16 93 120 - - 1,214 1,487 816 476 A.3 Non-performing past-due 6 4 - - - - 37 33 279 154 of which: forborne exposures - - - - - - 3 1 3 1 A.4 Performing exposures 74,558 56 47,788 177 638 - 81,809 1,225 62,987 969 of which: forborne exposures 6 - 117 9 - - 2,666 450 1,378 146 Total (A) 74,770 114 47,940 583 638 - 83,760 4,676 64,561 2,238 B. Off-balance sheet credit exposures B.1 Non-performing exposures 17 11 34 19 - - 1,108 266 42 1 B.2 Performing exsposures 4,727 2 30,046 24 4,799 - 107,100 88 5,530 3 Total (B) 4,744 13 30,080 43 4,799 - 108,208 354 5,572 4 Total (A+B) 12.31.2021 79,514 127 78,020 626 5,437 - 191,968 5,030 70,133 2,242 Total (A+B) 12.31.2020 70,363 118 97,129 733 1,911 - 186,335 7,116 67,358 3,095 B.2 Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 512 1,772 2 80 - - - - - - A.2 Unlikely to pay 2,529 2,668 317 457 18 13 1 1 188 2 A.3 Non-performing past-due 320 190 1 1 1 - - - - - A.4 Performing exposures 229,049 2,285 23,830 90 4,237 10 8,749 42 1,277 - Total (A) 232,410 6,915 24,150 628 4,256 23 8,750 43 1,465 2 B. Off-balance sheet credit exposures B.1 Non-performing exposures 1,183 297 9 - 9 - - - - - B.2 Performing exposures 132,458 101 10,914 9 3,144 4 530 2 358 - Total (B) 133,641 398 10,923 9 3,153 4 530 2 358 - Total (A+B) 12.31.2021 366,051 7,313 35,073 637 7,409 27 9,280 45 1,823 2 Total (A+B) 12.31.2020 373,649 10,403 30,019 601 7,809 25 8,272 32 1,436 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 719 B. Distribution and concentration of credit exposures B.1 Distribution by segment of on-balance and off-balance sheet credit exposures with customers (€ million) GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES FINANCIAL COMPANIES FINANCIAL COMPANIES (OF WHICH INSURANCE COMPANIES) NON-FINANCIAL COMPANIES HOUSEHOLDS EXPOSURES/COUNTERPARTIES NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - 26 8 141 - - 320 1,274 186 411 of which: forborne exposures - - 4 13 - - 91 294 77 95 A.2 Unlikely to pay 206 28 144 265 - - 1,594 2,144 1,109 704 of which: forborne exposures 16 16 93 120 - - 1,214 1,487 816 476 A.3 Non-performing past-due 6 4 - - - - 37 33 279 154 of which: forborne exposures - - - - - - 3 1 3 1 A.4 Performing exposures 74,558 56 47,788 177 638 - 81,809 1,225 62,987 969 of which: forborne exposures 6 - 117 9 - - 2,666 450 1,378 146 Total (A) 74,770 114 47,940 583 638 - 83,760 4,676 64,561 2,238 B. Off-balance sheet credit exposures B.1 Non-performing exposures 17 11 34 19 - - 1,108 266 42 1 B.2 Performing exsposures 4,727 2 30,046 24 4,799 - 107,100 88 5,530 3 Total (B) 4,744 13 30,080 43 4,799 - 108,208 354 5,572 4 Total (A+B) 12.31.2021 79,514 127 78,020 626 5,437 - 191,968 5,030 70,133 2,242 Total (A+B) 12.31.2020 70,363 118 97,129 733 1,911 - 186,335 7,116 67,358 3,095 B.2 Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 512 1,772 2 80 - - - - - - A.2 Unlikely to pay 2,529 2,668 317 457 18 13 1 1 188 2 A.3 Non-performing past-due 320 190 1 1 1 - - - - - A.4 Performing exposures 229,049 2,285 23,830 90 4,237 10 8,749 42 1,277 - Total (A) 232,410 6,915 24,150 628 4,256 23 8,750 43 1,465 2 B. Off-balance sheet credit exposures B.1 Non-performing exposures 1,183 297 9 - 9 - - - - - B.2 Performing exposures 132,458 101 10,914 9 3,144 4 530 2 358 - Total (B) 133,641 398 10,923 9 3,153 4 530 2 358 - Total (A+B) 12.31.2021 366,051 7,313 35,073 637 7,409 27 9,280 45 1,823 2 Total (A+B) 12.31.2020 373,649 10,403 30,019 601 7,809 25 8,272 32 1,436 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 719 B. Distribution and concentration of credit exposures B.1 Distribution by segment of on-balance and off-balance sheet credit exposures with customers (€ million) GOVERNMENTS AND OTHER PUBLIC SECTOR ENTITIES FINANCIAL COMPANIES FINANCIAL COMPANIES (OF WHICH INSURANCE COMPANIES) NON-FINANCIAL COMPANIES HOUSEHOLDS EXPOSURES/COUNTERPARTIES NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - 26 8 141 - - 320 1,274 186 411 of which: forborne exposures - - 4 13 - - 91 294 77 95 A.2 Unlikely to pay 206 28 144 265 - - 1,594 2,144 1,109 704 of which: forborne exposures 16 16 93 120 - - 1,214 1,487 816 476 A.3 Non-performing past-due 6 4 - - - - 37 33 279 154 of which: forborne exposures - - - - - - 3 1 3 1 A.4 Performing exposures 74,558 56 47,788 177 638 - 81,809 1,225 62,987 969 of which: forborne exposures 6 - 117 9 - - 2,666 450 1,378 146 Total (A) 74,770 114 47,940 583 638 - 83,760 4,676 64,561 2,238 B. Off-balance sheet credit exposures B.1 Non-performing exposures 17 11 34 19 - - 1,108 266 42 1 B.2 Performing exsposures 4,727 2 30,046 24 4,799 - 107,100 88 5,530 3 Total (B) 4,744 13 30,080 43 4,799 - 108,208 354 5,572 4 Total (A+B) 12.31.2021 79,514 127 78,020 626 5,437 - 191,968 5,030 70,133 2,242 Total (A+B) 12.31.2020 70,363 118 97,129 733 1,911 - 186,335 7,116 67,358 3,095 B.2 Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 512 1,772 2 80 - - - - - - A.2 Unlikely to pay 2,529 2,668 317 457 18 13 1 1 188 2 A.3 Non-performing past-due 320 190 1 1 1 - - - - - A.4 Performing exposures 229,049 2,285 23,830 90 4,237 10 8,749 42 1,277 - Total (A) 232,410 6,915 24,150 628 4,256 23 8,750 43 1,465 2 B. Off-balance sheet credit exposures B.1 Non-performing exposures 1,183 297 9 - 9 - - - - - B.2 Performing exposures 132,458 101 10,914 9 3,144 4 530 2 358 - Total (B) 133,641 398 10,923 9 3,153 4 530 2 358 - Total (A+B) 12.31.2021 366,051 7,313 35,073 637 7,409 27 9,280 45 1,823 2 Total (A+B) 12.31.2020 373,649 10,403 30,019 601 7,809 25 8,272 32 1,436 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 720 2021 Annual Report and Accounts · UniCredit B.2 Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area - Italy (€ million) NORTH-WEST ITALY NORTH-EAST ITALY CENTRAL ITALY SOUTH ITALY AND ISLANDS EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 109 329 130 329 129 499 144 615 A.2 Unlikely to pay 701 820 408 591 939 742 481 515 A.3 Non-performing past-due 97 68 53 29 67 40 103 53 A.4 Performing exposures 69,325 728 38,103 556 98,623 508 22,998 493 Total (A) 70,232 1,945 38,694 1,505 99,758 1,789 23,726 1,676 B. Off-balance sheet credit exposures B.1 Non-performing exposures 542 101 308 86 259 81 73 29 B.2 Performing exposures 49,541 47 30,328 25 44,184 21 8,404 9 Total (B) 50,083 148 30,636 111 44,443 102 8,477 38 Total (A+B) 12.31.2021 120,315 2,093 69,330 1,616 144,201 1,891 32,203 1,714 Total (A+B) 12.31.2020 115,218 2,878 68,756 2,172 158,390 2,974 31,284 2,379 B.3 Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - 4 - - - - A.2 Unlikely to pay - - - - - - - - - - A.3 Non-performing past-due - - - - - - - - - - A.4 Performing exposures 86,392 2 20,981 7 3,152 - 3,055 1 300 - Total (A) 86,392 2 20,981 7 3,152 4 3,055 1 300 - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - - - B.2 Performing exposures 5,212 - 17,173 2 831 - 4,634 2 1,153 1 Total (B) 5,212 - 17,173 2 831 - 4,634 2 1,153 1 Total (A+B) 12.31.2021 91,604 2 38,154 9 3,983 4 7,689 3 1,453 1 Totale (A+B) 12.31.2020 85,519 3 47,389 9 2,417 4 5,669 2 1,672 - B.3 Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area - Italy (€ million) NORTH-WEST ITALY NORTH-EAST ITALY CENTRAL ITALY SOUTH ITALY AND ISLANDS EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - - - - A.2 Unlikely to pay - - - - - - - - A.3 Non-performing past-due - - - - - - - - A.4 Performing exposures 2,929 1 430 - 83,033 1 - - Total (A) 2,929 1 430 - 83,033 1 - - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - B.2 Performing exposures 4,609 - 504 - 98 - - - Total (B) 4,609 - 504 - 98 - - - Total (A+B) 12.31.2021 7,538 1 934 - 83,131 1 - - Totale (A+B) 12.31.2020 11,124 2 660 - 73,684 1 51 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 720 2021 Annual Report and Accounts · UniCredit B.2 Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area - Italy (€ million) NORTH-WEST ITALY NORTH-EAST ITALY CENTRAL ITALY SOUTH ITALY AND ISLANDS EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 109 329 130 329 129 499 144 615 A.2 Unlikely to pay 701 820 408 591 939 742 481 515 A.3 Non-performing past-due 97 68 53 29 67 40 103 53 A.4 Performing exposures 69,325 728 38,103 556 98,623 508 22,998 493 Total (A) 70,232 1,945 38,694 1,505 99,758 1,789 23,726 1,676 B. Off-balance sheet credit exposures B.1 Non-performing exposures 542 101 308 86 259 81 73 29 B.2 Performing exposures 49,541 47 30,328 25 44,184 21 8,404 9 Total (B) 50,083 148 30,636 111 44,443 102 8,477 38 Total (A+B) 12.31.2021 120,315 2,093 69,330 1,616 144,201 1,891 32,203 1,714 Total (A+B) 12.31.2020 115,218 2,878 68,756 2,172 158,390 2,974 31,284 2,379 B.3 Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - 4 - - - - A.2 Unlikely to pay - - - - - - - - - - A.3 Non-performing past-due - - - - - - - - - - A.4 Performing exposures 86,392 2 20,981 7 3,152 - 3,055 1 300 - Total (A) 86,392 2 20,981 7 3,152 4 3,055 1 300 - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - - - B.2 Performing exposures 5,212 - 17,173 2 831 - 4,634 2 1,153 1 Total (B) 5,212 - 17,173 2 831 - 4,634 2 1,153 1 Total (A+B) 12.31.2021 91,604 2 38,154 9 3,983 4 7,689 3 1,453 1 Totale (A+B) 12.31.2020 85,519 3 47,389 9 2,417 4 5,669 2 1,672 - B.3 Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area - Italy (€ million) NORTH-WEST ITALY NORTH-EAST ITALY CENTRAL ITALY SOUTH ITALY AND ISLANDS EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - - - - A.2 Unlikely to pay - - - - - - - - A.3 Non-performing past-due - - - - - - - - A.4 Performing exposures 2,929 1 430 - 83,033 1 - - Total (A) 2,929 1 430 - 83,033 1 - - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - B.2 Performing exposures 4,609 - 504 - 98 - - - Total (B) 4,609 - 504 - 98 - - - Total (A+B) 12.31.2021 7,538 1 934 - 83,131 1 - - Totale (A+B) 12.31.2020 11,124 2 660 - 73,684 1 51 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 720 2021 Annual Report and Accounts · UniCredit B.2 Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area - Italy (€ million) NORTH-WEST ITALY NORTH-EAST ITALY CENTRAL ITALY SOUTH ITALY AND ISLANDS EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 109 329 130 329 129 499 144 615 A.2 Unlikely to pay 701 820 408 591 939 742 481 515 A.3 Non-performing past-due 97 68 53 29 67 40 103 53 A.4 Performing exposures 69,325 728 38,103 556 98,623 508 22,998 493 Total (A) 70,232 1,945 38,694 1,505 99,758 1,789 23,726 1,676 B. Off-balance sheet credit exposures B.1 Non-performing exposures 542 101 308 86 259 81 73 29 B.2 Performing exposures 49,541 47 30,328 25 44,184 21 8,404 9 Total (B) 50,083 148 30,636 111 44,443 102 8,477 38 Total (A+B) 12.31.2021 120,315 2,093 69,330 1,616 144,201 1,891 32,203 1,714 Total (A+B) 12.31.2020 115,218 2,878 68,756 2,172 158,390 2,974 31,284 2,379 B.3 Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - 4 - - - - A.2 Unlikely to pay - - - - - - - - - - A.3 Non-performing past-due - - - - - - - - - - A.4 Performing exposures 86,392 2 20,981 7 3,152 - 3,055 1 300 - Total (A) 86,392 2 20,981 7 3,152 4 3,055 1 300 - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - - - B.2 Performing exposures 5,212 - 17,173 2 831 - 4,634 2 1,153 1 Total (B) 5,212 - 17,173 2 831 - 4,634 2 1,153 1 Total (A+B) 12.31.2021 91,604 2 38,154 9 3,983 4 7,689 3 1,453 1 Totale (A+B) 12.31.2020 85,519 3 47,389 9 2,417 4 5,669 2 1,672 - B.3 Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area - Italy (€ million) NORTH-WEST ITALY NORTH-EAST ITALY CENTRAL ITALY SOUTH ITALY AND ISLANDS EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - - - - A.2 Unlikely to pay - - - - - - - - A.3 Non-performing past-due - - - - - - - - A.4 Performing exposures 2,929 1 430 - 83,033 1 - - Total (A) 2,929 1 430 - 83,033 1 - - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - B.2 Performing exposures 4,609 - 504 - 98 - - - Total (B) 4,609 - 504 - 98 - - - Total (A+B) 12.31.2021 7,538 1 934 - 83,131 1 - - Totale (A+B) 12.31.2020 11,124 2 660 - 73,684 1 51 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 720 2021 Annual Report and Accounts · UniCredit B.2 Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area - Italy (€ million) NORTH-WEST ITALY NORTH-EAST ITALY CENTRAL ITALY SOUTH ITALY AND ISLANDS EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 109 329 130 329 129 499 144 615 A.2 Unlikely to pay 701 820 408 591 939 742 481 515 A.3 Non-performing past-due 97 68 53 29 67 40 103 53 A.4 Performing exposures 69,325 728 38,103 556 98,623 508 22,998 493 Total (A) 70,232 1,945 38,694 1,505 99,758 1,789 23,726 1,676 B. Off-balance sheet credit exposures B.1 Non-performing exposures 542 101 308 86 259 81 73 29 B.2 Performing exposures 49,541 47 30,328 25 44,184 21 8,404 9 Total (B) 50,083 148 30,636 111 44,443 102 8,477 38 Total (A+B) 12.31.2021 120,315 2,093 69,330 1,616 144,201 1,891 32,203 1,714 Total (A+B) 12.31.2020 115,218 2,878 68,756 2,172 158,390 2,974 31,284 2,379 B.3 Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - 4 - - - - A.2 Unlikely to pay - - - - - - - - - - A.3 Non-performing past-due - - - - - - - - - - A.4 Performing exposures 86,392 2 20,981 7 3,152 - 3,055 1 300 - Total (A) 86,392 2 20,981 7 3,152 4 3,055 1 300 - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - - - B.2 Performing exposures 5,212 - 17,173 2 831 - 4,634 2 1,153 1 Total (B) 5,212 - 17,173 2 831 - 4,634 2 1,153 1 Total (A+B) 12.31.2021 91,604 2 38,154 9 3,983 4 7,689 3 1,453 1 Totale (A+B) 12.31.2020 85,519 3 47,389 9 2,417 4 5,669 2 1,672 - B.3 Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area - Italy (€ million) NORTH-WEST ITALY NORTH-EAST ITALY CENTRAL ITALY SOUTH ITALY AND ISLANDS EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - - - - A.2 Unlikely to pay - - - - - - - - A.3 Non-performing past-due - - - - - - - - A.4 Performing exposures 2,929 1 430 - 83,033 1 - - Total (A) 2,929 1 430 - 83,033 1 - - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - B.2 Performing exposures 4,609 - 504 - 98 - - - Total (B) 4,609 - 504 - 98 - - - Total (A+B) 12.31.2021 7,538 1 934 - 83,131 1 - - Totale (A+B) 12.31.2020 11,124 2 660 - 73,684 1 51 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 720 2021 Annual Report and Accounts · UniCredit B.2 Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area - Italy (€ million) NORTH-WEST ITALY NORTH-EAST ITALY CENTRAL ITALY SOUTH ITALY AND ISLANDS EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures 109 329 130 329 129 499 144 615 A.2 Unlikely to pay 701 820 408 591 939 742 481 515 A.3 Non-performing past-due 97 68 53 29 67 40 103 53 A.4 Performing exposures 69,325 728 38,103 556 98,623 508 22,998 493 Total (A) 70,232 1,945 38,694 1,505 99,758 1,789 23,726 1,676 B. Off-balance sheet credit exposures B.1 Non-performing exposures 542 101 308 86 259 81 73 29 B.2 Performing exposures 49,541 47 30,328 25 44,184 21 8,404 9 Total (B) 50,083 148 30,636 111 44,443 102 8,477 38 Total (A+B) 12.31.2021 120,315 2,093 69,330 1,616 144,201 1,891 32,203 1,714 Total (A+B) 12.31.2020 115,218 2,878 68,756 2,172 158,390 2,974 31,284 2,379 B.3 Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area (€ million) ITALY OTHER EUROPEAN COUNTRIES AMERICA ASIA REST OF THE WORLD EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - 4 - - - - A.2 Unlikely to pay - - - - - - - - - - A.3 Non-performing past-due - - - - - - - - - - A.4 Performing exposures 86,392 2 20,981 7 3,152 - 3,055 1 300 - Total (A) 86,392 2 20,981 7 3,152 4 3,055 1 300 - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - - - B.2 Performing exposures 5,212 - 17,173 2 831 - 4,634 2 1,153 1 Total (B) 5,212 - 17,173 2 831 - 4,634 2 1,153 1 Total (A+B) 12.31.2021 91,604 2 38,154 9 3,983 4 7,689 3 1,453 1 Totale (A+B) 12.31.2020 85,519 3 47,389 9 2,417 4 5,669 2 1,672 - B.3 Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area - Italy (€ million) NORTH-WEST ITALY NORTH-EAST ITALY CENTRAL ITALY SOUTH ITALY AND ISLANDS EXPOSURES/GEOGRAPHIC AREAS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS NET EXPOSURE OVERALL WRITE-DOWNS A. On-balance sheet credit exposures A.1 Bad exposures - - - - - - - - A.2 Unlikely to pay - - - - - - - - A.3 Non-performing past-due - - - - - - - - A.4 Performing exposures 2,929 1 430 - 83,033 1 - - Total (A) 2,929 1 430 - 83,033 1 - - B. Off-balance sheet credit exposures B.1 Non-performing exposures - - - - - - - - B.2 Performing exposures 4,609 - 504 - 98 - - - Total (B) 4,609 - 504 - 98 - - - Total (A+B) 12.31.2021 7,538 1 934 - 83,131 1 - - Totale (A+B) 12.31.2020 11,124 2 660 - 73,684 1 51 - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 721 B.4 Large exposures 12.31.2021 a) Amount book value (€ million) 287,837 b) Amount weighted value (€ million) 19,482 c) Number 8 The table refers to large exposures as defined by Regulation (EU) 876/2019 (CRR2). In compliance with Art.4.1 39 of Regulation (EU) 575/2013 (CRR), in case of exposures towards a group of connected clients formed by a Central Government and other groups of connected clients, such exposure towards the Central Government is reported for each group of connected clients when remitting regulatory reporting; despite the abovementioned regulatory approach, both the amounts shown in letter a), b), and the number in letter c) in the table above disclose only once the exposure towards the Central Government originated following the method used. It should be noted that deferred tax assets towards Italian Central Government were considered as fully exempted and, as a consequence, the weighted amount reported is null. C. Securitisation transactions Qualitative information In 2021 UniCredit S.p.A. carried out 6 new transactions, of which 1 traditional and 5 synthetic ones: • Olympia - traditional; • Bond Italia 8 - Investimenti - synthetic; • Bond Italia 8 - Misto - synthetic; • Puglia Sviluppo 2021 - synthetic; • A.R.T.S. MidCap 2021 - synthetic; • A.R.T.S. Re.Mo. 2021 - synthetic. Details of the transactions, traditional and synthetic, are set out in the tables enclosed in the “Annexes” to the Consolidated financial statements, including also those carried out in previous financial years. It should also be noted that "self-securitisations" and transactions in warehousing phase are not included in the quantitative tables of this paragraph (C. Securitisation transactions), as required by regulations. Part of the portfolio are: • own securitisation transactions, both traditional and synthetic, including also those traditional carried out by the Banks absorbed by UniCredit S.p.A. in previous years, for a book value of €6,310 million as at 31 December 2021; • securities arising out of securitisation transactions carried out by other companies belonging to the UniCredit group, for a book value of €407 million as at 31 December 2021; • other third-party securitisation exposures, for a book value of € 74million as at 31 December 2021. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 721 B.4 Large exposures 12.31.2021 a) Amount book value (€ million) 287,837 b) Amount weighted value (€ million) 19,482 c) Number 8 The table refers to large exposures as defined by Regulation (EU) 876/2019 (CRR2). In compliance with Art.4.1 39 of Regulation (EU) 575/2013 (CRR), in case of exposures towards a group of connected clients formed by a Central Government and other groups of connected clients, such exposure towards the Central Government is reported for each group of connected clients when remitting regulatory reporting; despite the abovementioned regulatory approach, both the amounts shown in letter a), b), and the number in letter c) in the table above disclose only once the exposure towards the Central Government originated following the method used. It should be noted that deferred tax assets towards Italian Central Government were considered as fully exempted and, as a consequence, the weighted amount reported is null. C. Securitisation transactions Qualitative information In 2021 UniCredit S.p.A. carried out 6 new transactions, of which 1 traditional and 5 synthetic ones: • Olympia - traditional; • Bond Italia 8 - Investimenti - synthetic; • Bond Italia 8 - Misto - synthetic; • Puglia Sviluppo 2021 - synthetic; • A.R.T.S. MidCap 2021 - synthetic; • A.R.T.S. Re.Mo. 2021 - synthetic. Details of the transactions, traditional and synthetic, are set out in the tables enclosed in the “Annexes” to the Consolidated financial statements, including also those carried out in previous financial years. It should also be noted that "self-securitisations" and transactions in warehousing phase are not included in the quantitative tables of this paragraph (C. Securitisation transactions), as required by regulations. Part of the portfolio are: • own securitisation transactions, both traditional and synthetic, including also those traditional carried out by the Banks absorbed by UniCredit S.p.A. in previous years, for a book value of €6,310 million as at 31 December 2021; • securities arising out of securitisation transactions carried out by other companies belonging to the UniCredit group, for a book value of €407 million as at 31 December 2021; • other third-party securitisation exposures, for a book value of € 74million as at 31 December 2021. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 721 B.4 Large exposures 12.31.2021 a) Amount book value (€ million) 287,837 b) Amount weighted value (€ million) 19,482 c) Number 8 The table refers to large exposures as defined by Regulation (EU) 876/2019 (CRR2). In compliance with Art.4.1 39 of Regulation (EU) 575/2013 (CRR), in case of exposures towards a group of connected clients formed by a Central Government and other groups of connected clients, such exposure towards the Central Government is reported for each group of connected clients when remitting regulatory reporting; despite the abovementioned regulatory approach, both the amounts shown in letter a), b), and the number in letter c) in the table above disclose only once the exposure towards the Central Government originated following the method used. It should be noted that deferred tax assets towards Italian Central Government were considered as fully exempted and, as a consequence, the weighted amount reported is null. C. Securitisation transactions Qualitative information In 2021 UniCredit S.p.A. carried out 6 new transactions, of which 1 traditional and 5 synthetic ones: • Olympia - traditional; • Bond Italia 8 - Investimenti - synthetic; • Bond Italia 8 - Misto - synthetic; • Puglia Sviluppo 2021 - synthetic; • A.R.T.S. MidCap 2021 - synthetic; • A.R.T.S. Re.Mo. 2021 - synthetic. Details of the transactions, traditional and synthetic, are set out in the tables enclosed in the “Annexes” to the Consolidated financial statements, including also those carried out in previous financial years. It should also be noted that "self-securitisations" and transactions in warehousing phase are not included in the quantitative tables of this paragraph (C. Securitisation transactions), as required by regulations. Part of the portfolio are: • own securitisation transactions, both traditional and synthetic, including also those traditional carried out by the Banks absorbed by UniCredit S.p.A. in previous years, for a book value of €6,310 million as at 31 December 2021; • securities arising out of securitisation transactions carried out by other companies belonging to the UniCredit group, for a book value of €407 million as at 31 December 2021; • other third-party securitisation exposures, for a book value of € 74million as at 31 December 2021. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 721 B.4 Large exposures 12.31.2021 a) Amount book value (€ million) 287,837 b) Amount weighted value (€ million) 19,482 c) Number 8 The table refers to large exposures as defined by Regulation (EU) 876/2019 (CRR2). In compliance with Art.4.1 39 of Regulation (EU) 575/2013 (CRR), in case of exposures towards a group of connected clients formed by a Central Government and other groups of connected clients, such exposure towards the Central Government is reported for each group of connected clients when remitting regulatory reporting; despite the abovementioned regulatory approach, both the amounts shown in letter a), b), and the number in letter c) in the table above disclose only once the exposure towards the Central Government originated following the method used. It should be noted that deferred tax assets towards Italian Central Government were considered as fully exempted and, as a consequence, the weighted amount reported is null. C. Securitisation transactions Qualitative information In 2021 UniCredit S.p.A. carried out 6 new transactions, of which 1 traditional and 5 synthetic ones: • Olympia - traditional; • Bond Italia 8 - Investimenti - synthetic; • Bond Italia 8 - Misto - synthetic; • Puglia Sviluppo 2021 - synthetic; • A.R.T.S. MidCap 2021 - synthetic; • A.R.T.S. Re.Mo. 2021 - synthetic. Details of the transactions, traditional and synthetic, are set out in the tables enclosed in the “Annexes” to the Consolidated financial statements, including also those carried out in previous financial years. It should also be noted that "self-securitisations" and transactions in warehousing phase are not included in the quantitative tables of this paragraph (C. Securitisation transactions), as required by regulations. Part of the portfolio are: • own securitisation transactions, both traditional and synthetic, including also those traditional carried out by the Banks absorbed by UniCredit S.p.A. in previous years, for a book value of €6,310 million as at 31 December 2021; • securities arising out of securitisation transactions carried out by other companies belonging to the UniCredit group, for a book value of €407 million as at 31 December 2021; • other third-party securitisation exposures, for a book value of € 74million as at 31 December 2021. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 721 B.4 Large exposures 12.31.2021 a) Amount book value (€ million) 287,837 b) Amount weighted value (€ million) 19,482 c) Number 8 The table refers to large exposures as defined by Regulation (EU) 876/2019 (CRR2). In compliance with Art.4.1 39 of Regulation (EU) 575/2013 (CRR), in case of exposures towards a group of connected clients formed by a Central Government and other groups of connected clients, such exposure towards the Central Government is reported for each group of connected clients when remitting regulatory reporting; despite the abovementioned regulatory approach, both the amounts shown in letter a), b), and the number in letter c) in the table above disclose only once the exposure towards the Central Government originated following the method used. It should be noted that deferred tax assets towards Italian Central Government were considered as fully exempted and, as a consequence, the weighted amount reported is null. C. Securitisation transactions Qualitative information In 2021 UniCredit S.p.A. carried out 6 new transactions, of which 1 traditional and 5 synthetic ones: • Olympia - traditional; • Bond Italia 8 - Investimenti - synthetic; • Bond Italia 8 - Misto - synthetic; • Puglia Sviluppo 2021 - synthetic; • A.R.T.S. MidCap 2021 - synthetic; • A.R.T.S. Re.Mo. 2021 - synthetic. Details of the transactions, traditional and synthetic, are set out in the tables enclosed in the “Annexes” to the Consolidated financial statements, including also those carried out in previous financial years. It should also be noted that "self-securitisations" and transactions in warehousing phase are not included in the quantitative tables of this paragraph (C. Securitisation transactions), as required by regulations. Part of the portfolio are: • own securitisation transactions, both traditional and synthetic, including also those traditional carried out by the Banks absorbed by UniCredit S.p.A. in previous years, for a book value of €6,310 million as at 31 December 2021; • securities arising out of securitisation transactions carried out by other companies belonging to the UniCredit group, for a book value of €407 million as at 31 December 2021; • other third-party securitisation exposures, for a book value of € 74million as at 31 December 2021. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 722 2021 Annual Report and Accounts · UniCredit Quantitative information C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised 1,083 - 53 - 21 - A.1 Residential mortgages 745 - 3 - - - A.2 Loans to SME 338 - 50 - 21 - B. Partially derecognised - - 9 - 9 7 B.1 Loans to SME - - 9 - 9 7 C. Not-derecognised 4,119 - 238 - 820 119 C.1 Residential mortgages 736 - 146 - 565 43 C.2 Loans to SME 3,383 - 92 - 255 76 Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued: C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - continued: C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 722 2021 Annual Report and Accounts · UniCredit Quantitative information C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised 1,083 - 53 - 21 - A.1 Residential mortgages 745 - 3 - - - A.2 Loans to SME 338 - 50 - 21 - B. Partially derecognised - - 9 - 9 7 B.1 Loans to SME - - 9 - 9 7 C. Not-derecognised 4,119 - 238 - 820 119 C.1 Residential mortgages 736 - 146 - 565 43 C.2 Loans to SME 3,383 - 92 - 255 76 Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued: C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - continued: C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 722 2021 Annual Report and Accounts · UniCredit Quantitative information C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised 1,083 - 53 - 21 - A.1 Residential mortgages 745 - 3 - - - A.2 Loans to SME 338 - 50 - 21 - B. Partially derecognised - - 9 - 9 7 B.1 Loans to SME - - 9 - 9 7 C. Not-derecognised 4,119 - 238 - 820 119 C.1 Residential mortgages 736 - 146 - 565 43 C.2 Loans to SME 3,383 - 92 - 255 76 Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued: C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - continued: C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 722 2021 Annual Report and Accounts · UniCredit Quantitative information C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised 1,083 - 53 - 21 - A.1 Residential mortgages 745 - 3 - - - A.2 Loans to SME 338 - 50 - 21 - B. Partially derecognised - - 9 - 9 7 B.1 Loans to SME - - 9 - 9 7 C. Not-derecognised 4,119 - 238 - 820 119 C.1 Residential mortgages 736 - 146 - 565 43 C.2 Loans to SME 3,383 - 92 - 255 76 Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued: C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - continued: C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 722 2021 Annual Report and Accounts · UniCredit Quantitative information C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised 1,083 - 53 - 21 - A.1 Residential mortgages 745 - 3 - - - A.2 Loans to SME 338 - 50 - 21 - B. Partially derecognised - - 9 - 9 7 B.1 Loans to SME - - 9 - 9 7 C. Not-derecognised 4,119 - 238 - 820 119 C.1 Residential mortgages 736 - 146 - 565 43 C.2 Loans to SME 3,383 - 92 - 255 76 Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued: C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - continued: C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS A. Totally derecognised - - - - - - A.1 Residential mortgages - - - - - - A.2 Loans to SME - - - - - - B. Partially derecognised - - - - - - B.1 Loans to SME - - - - - - C. Not-derecognised - - - - - - C.1 Residential mortgages - - - - - - C.2 Loans to SME - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 723 C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS - Loans to SME 1 - - - 29 - - Leasing 407 - - - - - - Other retail exposures - - - - 2 - Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued: C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS - Loans to SME - - - - - - - Leasing - - - - - - - Other retail exposures - - - - - - continued: C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS - Loans to SME - - - - - - - Leasing - - - - - - - Other retail exposures - - - - - - C.3 SPVs for securitisations (€ million) NAME OF SECURITISATION/NAME OF VEHICLE COUNTRY OF INCORPORATION CONSOLIDATION ASSETS LIABILITIES LOANS AND RECEIVEBLES DEBT SECURITIES OTHERS SENIOR MEZZANINE JUNIOR Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Piazzetta Monte 1 - 37121 Verona Y 398 - 49 270 74 67 Cordusio RMBS - UCFin S.r.l Piazzetta Monte 1 - 37121 Verona Y 261 - 21 69 148 13 Cordusio RMBS Securitisation S.r.l. Piazzetta Monte 1 - 37121 Verona Y 448 - 17 177 236 2 F-E Mortgages S.r.l. - 2003 Piazzetta Monte 1 - 37121 Verona Y 65 - 14 12 29 8 F-E Mortgages S.r.l. - 2005 Piazzetta Monte 1 - 37121 Verona Y 115 - 13 30 37 32 ARCOBALENO FINANCE SRL FORO BUONAPARTE,70 20121 MILANO N 38 - 2 - - 48 CREDIARC SPV SRL FORO BUONAPARTE,70 20121 MILANO N 13 - 2 5 - 26 FINO 1 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 277 - 68 141 70 50 FINO 2 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 155 - 306 212 201 40 OLYMPIA SPV S.R.L. VIA VITTORIO ALFIERI 1, 31015 Conegliano N 287 - 44 261 26 3 ONIF FINANCE SRL VIA ALESSANDRO PESTALOZZA 12/14, 20131 MILANO N 201 - 26 - 68 115 PRISMA SPV S.R.L. VIA MARIO CARUCCI 131, Roma N 653 - 332 824 80 30 Pillarstone Italy SPV S.r.l. - Premuda Via Pietro Mascagni 14, 20122 MILANO N 73 - 31 2 182 89 Pillarstone Italy SPV S.r.l. - Rainbow Via Pietro Mascagni 14, 20122 MILANO N 50 - - 1 51 106 Sestante Finance S.r.l. Via Borromei, 5 - 20123 Milano N 165 - - 107 90 9 YANEZ SPV S.R.L. - SANDOKAN VIA VITTORIO ALFIERI 1, 31015 Conegliano N 242 - 883 - 234 890 YANEZ SPV S.R.L. - SANDOKAN 2 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 270 - 646 - 118 798 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 723 C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS - Loans to SME 1 - - - 29 - - Leasing 407 - - - - - - Other retail exposures - - - - 2 - Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued: C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS - Loans to SME - - - - - - - Leasing - - - - - - - Other retail exposures - - - - - - continued: C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS - Loans to SME - - - - - - - Leasing - - - - - - - Other retail exposures - - - - - - C.3 SPVs for securitisations (€ million) NAME OF SECURITISATION/NAME OF VEHICLE COUNTRY OF INCORPORATION CONSOLIDATION ASSETS LIABILITIES LOANS AND RECEIVEBLES DEBT SECURITIES OTHERS SENIOR MEZZANINE JUNIOR Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Piazzetta Monte 1 - 37121 Verona Y 398 - 49 270 74 67 Cordusio RMBS - UCFin S.r.l Piazzetta Monte 1 - 37121 Verona Y 261 - 21 69 148 13 Cordusio RMBS Securitisation S.r.l. Piazzetta Monte 1 - 37121 Verona Y 448 - 17 177 236 2 F-E Mortgages S.r.l. - 2003 Piazzetta Monte 1 - 37121 Verona Y 65 - 14 12 29 8 F-E Mortgages S.r.l. - 2005 Piazzetta Monte 1 - 37121 Verona Y 115 - 13 30 37 32 ARCOBALENO FINANCE SRL FORO BUONAPARTE,70 20121 MILANO N 38 - 2 - - 48 CREDIARC SPV SRL FORO BUONAPARTE,70 20121 MILANO N 13 - 2 5 - 26 FINO 1 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 277 - 68 141 70 50 FINO 2 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 155 - 306 212 201 40 OLYMPIA SPV S.R.L. VIA VITTORIO ALFIERI 1, 31015 Conegliano N 287 - 44 261 26 3 ONIF FINANCE SRL VIA ALESSANDRO PESTALOZZA 12/14, 20131 MILANO N 201 - 26 - 68 115 PRISMA SPV S.R.L. VIA MARIO CARUCCI 131, Roma N 653 - 332 824 80 30 Pillarstone Italy SPV S.r.l. - Premuda Via Pietro Mascagni 14, 20122 MILANO N 73 - 31 2 182 89 Pillarstone Italy SPV S.r.l. - Rainbow Via Pietro Mascagni 14, 20122 MILANO N 50 - - 1 51 106 Sestante Finance S.r.l. Via Borromei, 5 - 20123 Milano N 165 - - 107 90 9 YANEZ SPV S.R.L. - SANDOKAN VIA VITTORIO ALFIERI 1, 31015 Conegliano N 242 - 883 - 234 890 YANEZ SPV S.R.L. - SANDOKAN 2 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 270 - 646 - 118 798 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 723 C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS - Loans to SME 1 - - - 29 - - Leasing 407 - - - - - - Other retail exposures - - - - 2 - Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued: C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS - Loans to SME - - - - - - - Leasing - - - - - - - Other retail exposures - - - - - - continued: C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS - Loans to SME - - - - - - - Leasing - - - - - - - Other retail exposures - - - - - - C.3 SPVs for securitisations (€ million) NAME OF SECURITISATION/NAME OF VEHICLE COUNTRY OF INCORPORATION CONSOLIDATION ASSETS LIABILITIES LOANS AND RECEIVEBLES DEBT SECURITIES OTHERS SENIOR MEZZANINE JUNIOR Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Piazzetta Monte 1 - 37121 Verona Y 398 - 49 270 74 67 Cordusio RMBS - UCFin S.r.l Piazzetta Monte 1 - 37121 Verona Y 261 - 21 69 148 13 Cordusio RMBS Securitisation S.r.l. Piazzetta Monte 1 - 37121 Verona Y 448 - 17 177 236 2 F-E Mortgages S.r.l. - 2003 Piazzetta Monte 1 - 37121 Verona Y 65 - 14 12 29 8 F-E Mortgages S.r.l. - 2005 Piazzetta Monte 1 - 37121 Verona Y 115 - 13 30 37 32 ARCOBALENO FINANCE SRL FORO BUONAPARTE,70 20121 MILANO N 38 - 2 - - 48 CREDIARC SPV SRL FORO BUONAPARTE,70 20121 MILANO N 13 - 2 5 - 26 FINO 1 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 277 - 68 141 70 50 FINO 2 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 155 - 306 212 201 40 OLYMPIA SPV S.R.L. VIA VITTORIO ALFIERI 1, 31015 Conegliano N 287 - 44 261 26 3 ONIF FINANCE SRL VIA ALESSANDRO PESTALOZZA 12/14, 20131 MILANO N 201 - 26 - 68 115 PRISMA SPV S.R.L. VIA MARIO CARUCCI 131, Roma N 653 - 332 824 80 30 Pillarstone Italy SPV S.r.l. - Premuda Via Pietro Mascagni 14, 20122 MILANO N 73 - 31 2 182 89 Pillarstone Italy SPV S.r.l. - Rainbow Via Pietro Mascagni 14, 20122 MILANO N 50 - - 1 51 106 Sestante Finance S.r.l. Via Borromei, 5 - 20123 Milano N 165 - - 107 90 9 YANEZ SPV S.R.L. - SANDOKAN VIA VITTORIO ALFIERI 1, 31015 Conegliano N 242 - 883 - 234 890 YANEZ SPV S.R.L. - SANDOKAN 2 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 270 - 646 - 118 798 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 723 C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS - Loans to SME 1 - - - 29 - - Leasing 407 - - - - - - Other retail exposures - - - - 2 - Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued: C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS - Loans to SME - - - - - - - Leasing - - - - - - - Other retail exposures - - - - - - continued: C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS - Loans to SME - - - - - - - Leasing - - - - - - - Other retail exposures - - - - - - C.3 SPVs for securitisations (€ million) NAME OF SECURITISATION/NAME OF VEHICLE COUNTRY OF INCORPORATION CONSOLIDATION ASSETS LIABILITIES LOANS AND RECEIVEBLES DEBT SECURITIES OTHERS SENIOR MEZZANINE JUNIOR Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Piazzetta Monte 1 - 37121 Verona Y 398 - 49 270 74 67 Cordusio RMBS - UCFin S.r.l Piazzetta Monte 1 - 37121 Verona Y 261 - 21 69 148 13 Cordusio RMBS Securitisation S.r.l. Piazzetta Monte 1 - 37121 Verona Y 448 - 17 177 236 2 F-E Mortgages S.r.l. - 2003 Piazzetta Monte 1 - 37121 Verona Y 65 - 14 12 29 8 F-E Mortgages S.r.l. - 2005 Piazzetta Monte 1 - 37121 Verona Y 115 - 13 30 37 32 ARCOBALENO FINANCE SRL FORO BUONAPARTE,70 20121 MILANO N 38 - 2 - - 48 CREDIARC SPV SRL FORO BUONAPARTE,70 20121 MILANO N 13 - 2 5 - 26 FINO 1 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 277 - 68 141 70 50 FINO 2 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 155 - 306 212 201 40 OLYMPIA SPV S.R.L. VIA VITTORIO ALFIERI 1, 31015 Conegliano N 287 - 44 261 26 3 ONIF FINANCE SRL VIA ALESSANDRO PESTALOZZA 12/14, 20131 MILANO N 201 - 26 - 68 115 PRISMA SPV S.R.L. VIA MARIO CARUCCI 131, Roma N 653 - 332 824 80 30 Pillarstone Italy SPV S.r.l. - Premuda Via Pietro Mascagni 14, 20122 MILANO N 73 - 31 2 182 89 Pillarstone Italy SPV S.r.l. - Rainbow Via Pietro Mascagni 14, 20122 MILANO N 50 - - 1 51 106 Sestante Finance S.r.l. Via Borromei, 5 - 20123 Milano N 165 - - 107 90 9 YANEZ SPV S.R.L. - SANDOKAN VIA VITTORIO ALFIERI 1, 31015 Conegliano N 242 - 883 - 234 890 YANEZ SPV S.R.L. - SANDOKAN 2 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 270 - 646 - 118 798 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 723 C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure (€ million) TYPE OF SECURITISED ASSETS/EXPOSURE BALANCE-SHEET EXPOSURE SENIOR MEZZANINE JUNIOR CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS CARRYING VALUE WRITE-DOWNS/WRITE-BACKS - Loans to SME 1 - - - 29 - - Leasing 407 - - - - - - Other retail exposures - - - - 2 - Possible write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2021 only. continued: C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE GUARANTEES GIVEN SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS - Loans to SME - - - - - - - Leasing - - - - - - - Other retail exposures - - - - - - continued: C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure TYPE OF SECURITISED ASSETS/EXPOSURE CREDIT FACILITIES SENIOR MEZZANINE JUNIOR NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS NET EXPOSURE WRITE-DOWNS/WRITE-BACKS - Loans to SME - - - - - - - Leasing - - - - - - - Other retail exposures - - - - - - C.3 SPVs for securitisations (€ million) NAME OF SECURITISATION/NAME OF VEHICLE COUNTRY OF INCORPORATION CONSOLIDATION ASSETS LIABILITIES LOANS AND RECEIVEBLES DEBT SECURITIES OTHERS SENIOR MEZZANINE JUNIOR Capital Mortgage S.r.l. - CAPITAL MORTGAGE 2007 - 1 Piazzetta Monte 1 - 37121 Verona Y 398 - 49 270 74 67 Cordusio RMBS - UCFin S.r.l Piazzetta Monte 1 - 37121 Verona Y 261 - 21 69 148 13 Cordusio RMBS Securitisation S.r.l. Piazzetta Monte 1 - 37121 Verona Y 448 - 17 177 236 2 F-E Mortgages S.r.l. - 2003 Piazzetta Monte 1 - 37121 Verona Y 65 - 14 12 29 8 F-E Mortgages S.r.l. - 2005 Piazzetta Monte 1 - 37121 Verona Y 115 - 13 30 37 32 ARCOBALENO FINANCE SRL FORO BUONAPARTE,70 20121 MILANO N 38 - 2 - - 48 CREDIARC SPV SRL FORO BUONAPARTE,70 20121 MILANO N 13 - 2 5 - 26 FINO 1 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 277 - 68 141 70 50 FINO 2 SECURITISATION SRL VIALE LUIGI MAJNO 45, 20122 MILANO N 155 - 306 212 201 40 OLYMPIA SPV S.R.L. VIA VITTORIO ALFIERI 1, 31015 Conegliano N 287 - 44 261 26 3 ONIF FINANCE SRL VIA ALESSANDRO PESTALOZZA 12/14, 20131 MILANO N 201 - 26 - 68 115 PRISMA SPV S.R.L. VIA MARIO CARUCCI 131, Roma N 653 - 332 824 80 30 Pillarstone Italy SPV S.r.l. - Premuda Via Pietro Mascagni 14, 20122 MILANO N 73 - 31 2 182 89 Pillarstone Italy SPV S.r.l. - Rainbow Via Pietro Mascagni 14, 20122 MILANO N 50 - - 1 51 106 Sestante Finance S.r.l. Via Borromei, 5 - 20123 Milano N 165 - - 107 90 9 YANEZ SPV S.R.L. - SANDOKAN VIA VITTORIO ALFIERI 1, 31015 Conegliano N 242 - 883 - 234 890 YANEZ SPV S.R.L. - SANDOKAN 2 VIA VITTORIO ALFIERI 1, 31015 Conegliano N 270 - 646 - 118 798 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 724 2021 Annual Report and Accounts · UniCredit C.4 Special Purpose Vehicles for securitisation not subject to consolidation Refer to the corresponding paragraph “C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, C. Securitisation transactions, Quantitative information. C.5 Servicer activities - “In house” securitisations - Collections of securitised loans and redemptions of securities issued by the special purpose vehicle for securitisation As at 31 December 2021, the Bank does not perform any servicer activity in its “in house” securitisations in which the assets sold were derecognised from the balance sheet under IFRS9. D. Information on structured entities not consolidated for accounting purposes (other than vehicles for securitisation transactions) Refer to the corresponding paragraph “B.2 Non-consolidated for accounting purposes structured entities” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, Quantitative information, B. Structured entities (other than entities for securitisation transaction). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 724 2021 Annual Report and Accounts · UniCredit C.4 Special Purpose Vehicles for securitisation not subject to consolidation Refer to the corresponding paragraph “C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, C. Securitisation transactions, Quantitative information. C.5 Servicer activities - “In house” securitisations - Collections of securitised loans and redemptions of securities issued by the special purpose vehicle for securitisation As at 31 December 2021, the Bank does not perform any servicer activity in its “in house” securitisations in which the assets sold were derecognised from the balance sheet under IFRS9. D. Information on structured entities not consolidated for accounting purposes (other than vehicles for securitisation transactions) Refer to the corresponding paragraph “B.2 Non-consolidated for accounting purposes structured entities” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, Quantitative information, B. Structured entities (other than entities for securitisation transaction). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 724 2021 Annual Report and Accounts · UniCredit C.4 Special Purpose Vehicles for securitisation not subject to consolidation Refer to the corresponding paragraph “C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, C. Securitisation transactions, Quantitative information. C.5 Servicer activities - “In house” securitisations - Collections of securitised loans and redemptions of securities issued by the special purpose vehicle for securitisation As at 31 December 2021, the Bank does not perform any servicer activity in its “in house” securitisations in which the assets sold were derecognised from the balance sheet under IFRS9. D. Information on structured entities not consolidated for accounting purposes (other than vehicles for securitisation transactions) Refer to the corresponding paragraph “B.2 Non-consolidated for accounting purposes structured entities” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, Quantitative information, B. Structured entities (other than entities for securitisation transaction). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 724 2021 Annual Report and Accounts · UniCredit C.4 Special Purpose Vehicles for securitisation not subject to consolidation Refer to the corresponding paragraph “C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, C. Securitisation transactions, Quantitative information. C.5 Servicer activities - “In house” securitisations - Collections of securitised loans and redemptions of securities issued by the special purpose vehicle for securitisation As at 31 December 2021, the Bank does not perform any servicer activity in its “in house” securitisations in which the assets sold were derecognised from the balance sheet under IFRS9. D. Information on structured entities not consolidated for accounting purposes (other than vehicles for securitisation transactions) Refer to the corresponding paragraph “B.2 Non-consolidated for accounting purposes structured entities” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, Quantitative information, B. Structured entities (other than entities for securitisation transaction). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 724 2021 Annual Report and Accounts · UniCredit C.4 Special Purpose Vehicles for securitisation not subject to consolidation Refer to the corresponding paragraph “C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, C. Securitisation transactions, Quantitative information. C.5 Servicer activities - “In house” securitisations - Collections of securitised loans and redemptions of securities issued by the special purpose vehicle for securitisation As at 31 December 2021, the Bank does not perform any servicer activity in its “in house” securitisations in which the assets sold were derecognised from the balance sheet under IFRS9. D. Information on structured entities not consolidated for accounting purposes (other than vehicles for securitisation transactions) Refer to the corresponding paragraph “B.2 Non-consolidated for accounting purposes structured entities” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, Quantitative information, B. Structured entities (other than entities for securitisation transaction). Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 725 E. Sales transaction A. Financial assets sold and not fully derecognised Quantitative information Any exposures that, at the reference date, are booked under item “110. Non-current assets and disposal groups classified as held for sale”, in the tables below are shown in correspondence of the original accounting portfolio. E.1 Financial assets sold and fully recognised and associated financial liabilities: book value (€ million) FINANCIAL ASSETS SOLD AND FULLY RECOGNISED ASSOCIATED FINANCIAL LIABILITIES BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION OF WHICH NON-PERFORMING BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION A. Financial assets held for trading 2,370 - 2,370 X 2,380 - 2,380 1. Debt securities 2,370 - 2,370 X 2,380 - 2,380 2. Equity instruments - - - X - - - 3. Loans - - - X - - - 4. Derivative instruments - - - X - - - B. Other financial assets mandatorily at fair value 7 7 - 7 - - - 1. Debt securities - - - - - - - 2. Equity instruments - - - X - - - 3. Loans 7 7 - 7 - - - C. Financial assets designated at fair value 80 - 80 - 81 - 81 1. Debt securities 80 - 80 - 81 - 81 2. Loans - - - - - - - D. Financial assets at fair value through other comprehensive income 12,567 - 12,567 - 12,617 - 12,617 1. Debt securities 12,567 - 12,567 - 12,617 - 12,617 2. Equity instruments - - - X - - - 3. Loans - - - - - - - E. Financial assets at amortised cost 32,746 17,661 15,085 642 15,807 662 15,145 1. Debt securities 15,085 - 15,085 - 15,145 - 15,145 2. Loans 17,661 17,661 - 642 662 662 - Total 12.31.2021 47,770 17,668 30,102 649 30,885 662 30,223 Total 12.31.2020 45,688 18,212 27,476 777 28,609 907 27,702 E.2 Financial assets sold and partially recognised and associated financial liabilities: book value (€ million) ORIGINAL GROSS VALUE OF ASSETS BEFORE SALE BOOK VALUE OF ASSETS STILL PARTIALLY RECOGNISEDOF WHICH NON-PERFORMING BOOK VALUE OF ASSOCIATED FINANCIAL LIABILITIES A. Financial assets held for trading - - X - 1. Debt securities - - X - 2. Equity instruments - - X - 3. Loans - - X - 4. Derivative instruments - - X - B. Other financial assets mandatory at fair value - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - E. Financial assets at amortised cost 60 14 14 3 1. Debt securities - - - - 2. Loans 60 14 14 3 Total 12.31.2021 60 14 14 3 Total 12.31.2020 60 11 11 9 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 725 E. Sales transaction A. Financial assets sold and not fully derecognised Quantitative information Any exposures that, at the reference date, are booked under item “110. Non-current assets and disposal groups classified as held for sale”, in the tables below are shown in correspondence of the original accounting portfolio. E.1 Financial assets sold and fully recognised and associated financial liabilities: book value (€ million) FINANCIAL ASSETS SOLD AND FULLY RECOGNISED ASSOCIATED FINANCIAL LIABILITIES BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION OF WHICH NON-PERFORMING BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION A. Financial assets held for trading 2,370 - 2,370 X 2,380 - 2,380 1. Debt securities 2,370 - 2,370 X 2,380 - 2,380 2. Equity instruments - - - X - - - 3. Loans - - - X - - - 4. Derivative instruments - - - X - - - B. Other financial assets mandatorily at fair value 7 7 - 7 - - - 1. Debt securities - - - - - - - 2. Equity instruments - - - X - - - 3. Loans 7 7 - 7 - - - C. Financial assets designated at fair value 80 - 80 - 81 - 81 1. Debt securities 80 - 80 - 81 - 81 2. Loans - - - - - - - D. Financial assets at fair value through other comprehensive income 12,567 - 12,567 - 12,617 - 12,617 1. Debt securities 12,567 - 12,567 - 12,617 - 12,617 2. Equity instruments - - - X - - - 3. Loans - - - - - - - E. Financial assets at amortised cost 32,746 17,661 15,085 642 15,807 662 15,145 1. Debt securities 15,085 - 15,085 - 15,145 - 15,145 2. Loans 17,661 17,661 - 642 662 662 - Total 12.31.2021 47,770 17,668 30,102 649 30,885 662 30,223 Total 12.31.2020 45,688 18,212 27,476 777 28,609 907 27,702 E.2 Financial assets sold and partially recognised and associated financial liabilities: book value (€ million) ORIGINAL GROSS VALUE OF ASSETS BEFORE SALE BOOK VALUE OF ASSETS STILL PARTIALLY RECOGNISEDOF WHICH NON-PERFORMING BOOK VALUE OF ASSOCIATED FINANCIAL LIABILITIES A. Financial assets held for trading - - X - 1. Debt securities - - X - 2. Equity instruments - - X - 3. Loans - - X - 4. Derivative instruments - - X - B. Other financial assets mandatory at fair value - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - E. Financial assets at amortised cost 60 14 14 3 1. Debt securities - - - - 2. Loans 60 14 14 3 Total 12.31.2021 60 14 14 3 Total 12.31.2020 60 11 11 9 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 725 E. Sales transaction A. Financial assets sold and not fully derecognised Quantitative information Any exposures that, at the reference date, are booked under item “110. Non-current assets and disposal groups classified as held for sale”, in the tables below are shown in correspondence of the original accounting portfolio. E.1 Financial assets sold and fully recognised and associated financial liabilities: book value (€ million) FINANCIAL ASSETS SOLD AND FULLY RECOGNISED ASSOCIATED FINANCIAL LIABILITIES BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION OF WHICH NON-PERFORMING BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION A. Financial assets held for trading 2,370 - 2,370 X 2,380 - 2,380 1. Debt securities 2,370 - 2,370 X 2,380 - 2,380 2. Equity instruments - - - X - - - 3. Loans - - - X - - - 4. Derivative instruments - - - X - - - B. Other financial assets mandatorily at fair value 7 7 - 7 - - - 1. Debt securities - - - - - - - 2. Equity instruments - - - X - - - 3. Loans 7 7 - 7 - - - C. Financial assets designated at fair value 80 - 80 - 81 - 81 1. Debt securities 80 - 80 - 81 - 81 2. Loans - - - - - - - D. Financial assets at fair value through other comprehensive income 12,567 - 12,567 - 12,617 - 12,617 1. Debt securities 12,567 - 12,567 - 12,617 - 12,617 2. Equity instruments - - - X - - - 3. Loans - - - - - - - E. Financial assets at amortised cost 32,746 17,661 15,085 642 15,807 662 15,145 1. Debt securities 15,085 - 15,085 - 15,145 - 15,145 2. Loans 17,661 17,661 - 642 662 662 - Total 12.31.2021 47,770 17,668 30,102 649 30,885 662 30,223 Total 12.31.2020 45,688 18,212 27,476 777 28,609 907 27,702 E.2 Financial assets sold and partially recognised and associated financial liabilities: book value (€ million) ORIGINAL GROSS VALUE OF ASSETS BEFORE SALE BOOK VALUE OF ASSETS STILL PARTIALLY RECOGNISEDOF WHICH NON-PERFORMING BOOK VALUE OF ASSOCIATED FINANCIAL LIABILITIES A. Financial assets held for trading - - X - 1. Debt securities - - X - 2. Equity instruments - - X - 3. Loans - - X - 4. Derivative instruments - - X - B. Other financial assets mandatory at fair value - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - E. Financial assets at amortised cost 60 14 14 3 1. Debt securities - - - - 2. Loans 60 14 14 3 Total 12.31.2021 60 14 14 3 Total 12.31.2020 60 11 11 9 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 725 E. Sales transaction A. Financial assets sold and not fully derecognised Quantitative information Any exposures that, at the reference date, are booked under item “110. Non-current assets and disposal groups classified as held for sale”, in the tables below are shown in correspondence of the original accounting portfolio. E.1 Financial assets sold and fully recognised and associated financial liabilities: book value (€ million) FINANCIAL ASSETS SOLD AND FULLY RECOGNISED ASSOCIATED FINANCIAL LIABILITIES BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION OF WHICH NON-PERFORMING BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION A. Financial assets held for trading 2,370 - 2,370 X 2,380 - 2,380 1. Debt securities 2,370 - 2,370 X 2,380 - 2,380 2. Equity instruments - - - X - - - 3. Loans - - - X - - - 4. Derivative instruments - - - X - - - B. Other financial assets mandatorily at fair value 7 7 - 7 - - - 1. Debt securities - - - - - - - 2. Equity instruments - - - X - - - 3. Loans 7 7 - 7 - - - C. Financial assets designated at fair value 80 - 80 - 81 - 81 1. Debt securities 80 - 80 - 81 - 81 2. Loans - - - - - - - D. Financial assets at fair value through other comprehensive income 12,567 - 12,567 - 12,617 - 12,617 1. Debt securities 12,567 - 12,567 - 12,617 - 12,617 2. Equity instruments - - - X - - - 3. Loans - - - - - - - E. Financial assets at amortised cost 32,746 17,661 15,085 642 15,807 662 15,145 1. Debt securities 15,085 - 15,085 - 15,145 - 15,145 2. Loans 17,661 17,661 - 642 662 662 - Total 12.31.2021 47,770 17,668 30,102 649 30,885 662 30,223 Total 12.31.2020 45,688 18,212 27,476 777 28,609 907 27,702 E.2 Financial assets sold and partially recognised and associated financial liabilities: book value (€ million) ORIGINAL GROSS VALUE OF ASSETS BEFORE SALE BOOK VALUE OF ASSETS STILL PARTIALLY RECOGNISEDOF WHICH NON-PERFORMING BOOK VALUE OF ASSOCIATED FINANCIAL LIABILITIES A. Financial assets held for trading - - X - 1. Debt securities - - X - 2. Equity instruments - - X - 3. Loans - - X - 4. Derivative instruments - - X - B. Other financial assets mandatory at fair value - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - E. Financial assets at amortised cost 60 14 14 3 1. Debt securities - - - - 2. Loans 60 14 14 3 Total 12.31.2021 60 14 14 3 Total 12.31.2020 60 11 11 9 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 725 E. Sales transaction A. Financial assets sold and not fully derecognised Quantitative information Any exposures that, at the reference date, are booked under item “110. Non-current assets and disposal groups classified as held for sale”, in the tables below are shown in correspondence of the original accounting portfolio. E.1 Financial assets sold and fully recognised and associated financial liabilities: book value (€ million) FINANCIAL ASSETS SOLD AND FULLY RECOGNISED ASSOCIATED FINANCIAL LIABILITIES BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION OF WHICH NON-PERFORMING BOOK VALUE OF WHICH: SUBJECT TO SECURITISATION TRANSACTION OF WHICH: SUBJECT TO SALE AGREEMENT WITH REPURCHASE OBLIGATION A. Financial assets held for trading 2,370 - 2,370 X 2,380 - 2,380 1. Debt securities 2,370 - 2,370 X 2,380 - 2,380 2. Equity instruments - - - X - - - 3. Loans - - - X - - - 4. Derivative instruments - - - X - - - B. Other financial assets mandatorily at fair value 7 7 - 7 - - - 1. Debt securities - - - - - - - 2. Equity instruments - - - X - - - 3. Loans 7 7 - 7 - - - C. Financial assets designated at fair value 80 - 80 - 81 - 81 1. Debt securities 80 - 80 - 81 - 81 2. Loans - - - - - - - D. Financial assets at fair value through other comprehensive income 12,567 - 12,567 - 12,617 - 12,617 1. Debt securities 12,567 - 12,567 - 12,617 - 12,617 2. Equity instruments - - - X - - - 3. Loans - - - - - - - E. Financial assets at amortised cost 32,746 17,661 15,085 642 15,807 662 15,145 1. Debt securities 15,085 - 15,085 - 15,145 - 15,145 2. Loans 17,661 17,661 - 642 662 662 - Total 12.31.2021 47,770 17,668 30,102 649 30,885 662 30,223 Total 12.31.2020 45,688 18,212 27,476 777 28,609 907 27,702 E.2 Financial assets sold and partially recognised and associated financial liabilities: book value (€ million) ORIGINAL GROSS VALUE OF ASSETS BEFORE SALE BOOK VALUE OF ASSETS STILL PARTIALLY RECOGNISEDOF WHICH NON-PERFORMING BOOK VALUE OF ASSOCIATED FINANCIAL LIABILITIES A. Financial assets held for trading - - X - 1. Debt securities - - X - 2. Equity instruments - - X - 3. Loans - - X - 4. Derivative instruments - - X - B. Other financial assets mandatory at fair value - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - X - 3. Loans - - - - E. Financial assets at amortised cost 60 14 14 3 1. Debt securities - - - - 2. Loans 60 14 14 3 Total 12.31.2021 60 14 14 3 Total 12.31.2020 60 11 11 9 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 726 2021 Annual Report and Accounts · UniCredit E.3 Sale transactions relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: fair value (€ million) FULLY RECOGNISED PARTIALLY RECOGNISED TOTAL 12.31.2021 12.31.2020 A. Financial assets held for trading - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - 4. Derivative instruments - - - - B. Other financial assets mandatorily at fair value 7 - 7 16 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans 7 - 7 16 C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - E. Financial assets at amortised cost (fair value) 17,931 14 17,945 17,909 1. Debt securities - - - - 2. Loans 17,931 14 17,945 17,909 Total associated financial assets 17,938 14 17,952 17,925 Total associated financial liabilities 576 3 X X Total net amount 12.31.2021 17,362 11 17,373 X Total net amount 12.31.2020 16,990 19 X 17,009 B. Financial assets sold and fully derecognised with recognition of continuing involvement Qualitative and quantitative information At the end of the year there were no disposals of financial assets that had been fully derecognised, which required the recognition of continuing involvement. C. Financial assets sold and fully derecognised Quantitative information As at 31 December 2021, the Bank holds asset-backed securities and units in investment funds acquired following the sale of financial assets fully derecognised, carried out in 2021 and in previous years. These transactions involved the sale of financial assets, mainly consisting of loans classified as "unlikely to pay", by the Bank to securitisation vehicles or investment funds and their derecognition from the financial statements pursuant to IFRS9, following the assessment that the Bank originator itself has substantially transferred the risks and benefits of the assets sold and at the same time has not maintained any control over the same assets. Instead of these derecognised assets, the asset-backed securities or the units in investment funds received in the same transactions were recognized among the Financial assets at fair value through other comprehensive income or those mandatorily valued at fair value. For further information on each transaction carried out in the 2021 and also in the previous years, refer to “Annex 3 - Securitizations - qualitative tables” and “Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables” of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as Originator, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 726 2021 Annual Report and Accounts · UniCredit E.3 Sale transactions relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: fair value (€ million) FULLY RECOGNISED PARTIALLY RECOGNISED TOTAL 12.31.2021 12.31.2020 A. Financial assets held for trading - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - 4. Derivative instruments - - - - B. Other financial assets mandatorily at fair value 7 - 7 16 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans 7 - 7 16 C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - E. Financial assets at amortised cost (fair value) 17,931 14 17,945 17,909 1. Debt securities - - - - 2. Loans 17,931 14 17,945 17,909 Total associated financial assets 17,938 14 17,952 17,925 Total associated financial liabilities 576 3 X X Total net amount 12.31.2021 17,362 11 17,373 X Total net amount 12.31.2020 16,990 19 X 17,009 B. Financial assets sold and fully derecognised with recognition of continuing involvement Qualitative and quantitative information At the end of the year there were no disposals of financial assets that had been fully derecognised, which required the recognition of continuing involvement. C. Financial assets sold and fully derecognised Quantitative information As at 31 December 2021, the Bank holds asset-backed securities and units in investment funds acquired following the sale of financial assets fully derecognised, carried out in 2021 and in previous years. These transactions involved the sale of financial assets, mainly consisting of loans classified as "unlikely to pay", by the Bank to securitisation vehicles or investment funds and their derecognition from the financial statements pursuant to IFRS9, following the assessment that the Bank originator itself has substantially transferred the risks and benefits of the assets sold and at the same time has not maintained any control over the same assets. Instead of these derecognised assets, the asset-backed securities or the units in investment funds received in the same transactions were recognized among the Financial assets at fair value through other comprehensive income or those mandatorily valued at fair value. For further information on each transaction carried out in the 2021 and also in the previous years, refer to “Annex 3 - Securitizations - qualitative tables” and “Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables” of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as Originator, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 726 2021 Annual Report and Accounts · UniCredit E.3 Sale transactions relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: fair value (€ million) FULLY RECOGNISED PARTIALLY RECOGNISED TOTAL 12.31.2021 12.31.2020 A. Financial assets held for trading - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - 4. Derivative instruments - - - - B. Other financial assets mandatorily at fair value 7 - 7 16 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans 7 - 7 16 C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - E. Financial assets at amortised cost (fair value) 17,931 14 17,945 17,909 1. Debt securities - - - - 2. Loans 17,931 14 17,945 17,909 Total associated financial assets 17,938 14 17,952 17,925 Total associated financial liabilities 576 3 X X Total net amount 12.31.2021 17,362 11 17,373 X Total net amount 12.31.2020 16,990 19 X 17,009 B. Financial assets sold and fully derecognised with recognition of continuing involvement Qualitative and quantitative information At the end of the year there were no disposals of financial assets that had been fully derecognised, which required the recognition of continuing involvement. C. Financial assets sold and fully derecognised Quantitative information As at 31 December 2021, the Bank holds asset-backed securities and units in investment funds acquired following the sale of financial assets fully derecognised, carried out in 2021 and in previous years. These transactions involved the sale of financial assets, mainly consisting of loans classified as "unlikely to pay", by the Bank to securitisation vehicles or investment funds and their derecognition from the financial statements pursuant to IFRS9, following the assessment that the Bank originator itself has substantially transferred the risks and benefits of the assets sold and at the same time has not maintained any control over the same assets. Instead of these derecognised assets, the asset-backed securities or the units in investment funds received in the same transactions were recognized among the Financial assets at fair value through other comprehensive income or those mandatorily valued at fair value. For further information on each transaction carried out in the 2021 and also in the previous years, refer to “Annex 3 - Securitizations - qualitative tables” and “Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables” of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as Originator, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 726 2021 Annual Report and Accounts · UniCredit E.3 Sale transactions relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: fair value (€ million) FULLY RECOGNISED PARTIALLY RECOGNISED TOTAL 12.31.2021 12.31.2020 A. Financial assets held for trading - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - 4. Derivative instruments - - - - B. Other financial assets mandatorily at fair value 7 - 7 16 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans 7 - 7 16 C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - E. Financial assets at amortised cost (fair value) 17,931 14 17,945 17,909 1. Debt securities - - - - 2. Loans 17,931 14 17,945 17,909 Total associated financial assets 17,938 14 17,952 17,925 Total associated financial liabilities 576 3 X X Total net amount 12.31.2021 17,362 11 17,373 X Total net amount 12.31.2020 16,990 19 X 17,009 B. Financial assets sold and fully derecognised with recognition of continuing involvement Qualitative and quantitative information At the end of the year there were no disposals of financial assets that had been fully derecognised, which required the recognition of continuing involvement. C. Financial assets sold and fully derecognised Quantitative information As at 31 December 2021, the Bank holds asset-backed securities and units in investment funds acquired following the sale of financial assets fully derecognised, carried out in 2021 and in previous years. These transactions involved the sale of financial assets, mainly consisting of loans classified as "unlikely to pay", by the Bank to securitisation vehicles or investment funds and their derecognition from the financial statements pursuant to IFRS9, following the assessment that the Bank originator itself has substantially transferred the risks and benefits of the assets sold and at the same time has not maintained any control over the same assets. Instead of these derecognised assets, the asset-backed securities or the units in investment funds received in the same transactions were recognized among the Financial assets at fair value through other comprehensive income or those mandatorily valued at fair value. For further information on each transaction carried out in the 2021 and also in the previous years, refer to “Annex 3 - Securitizations - qualitative tables” and “Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables” of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as Originator, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 726 2021 Annual Report and Accounts · UniCredit E.3 Sale transactions relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: fair value (€ million) FULLY RECOGNISED PARTIALLY RECOGNISED TOTAL 12.31.2021 12.31.2020 A. Financial assets held for trading - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - 4. Derivative instruments - - - - B. Other financial assets mandatorily at fair value 7 - 7 16 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans 7 - 7 16 C. Financial assets designated at fair value - - - - 1. Debt securities - - - - 2. Loans - - - - D. Financial assets at fair value through other comprehensive income - - - - 1. Debt securities - - - - 2. Equity instruments - - - - 3. Loans - - - - E. Financial assets at amortised cost (fair value) 17,931 14 17,945 17,909 1. Debt securities - - - - 2. Loans 17,931 14 17,945 17,909 Total associated financial assets 17,938 14 17,952 17,925 Total associated financial liabilities 576 3 X X Total net amount 12.31.2021 17,362 11 17,373 X Total net amount 12.31.2020 16,990 19 X 17,009 B. Financial assets sold and fully derecognised with recognition of continuing involvement Qualitative and quantitative information At the end of the year there were no disposals of financial assets that had been fully derecognised, which required the recognition of continuing involvement. C. Financial assets sold and fully derecognised Quantitative information As at 31 December 2021, the Bank holds asset-backed securities and units in investment funds acquired following the sale of financial assets fully derecognised, carried out in 2021 and in previous years. These transactions involved the sale of financial assets, mainly consisting of loans classified as "unlikely to pay", by the Bank to securitisation vehicles or investment funds and their derecognition from the financial statements pursuant to IFRS9, following the assessment that the Bank originator itself has substantially transferred the risks and benefits of the assets sold and at the same time has not maintained any control over the same assets. Instead of these derecognised assets, the asset-backed securities or the units in investment funds received in the same transactions were recognized among the Financial assets at fair value through other comprehensive income or those mandatorily valued at fair value. For further information on each transaction carried out in the 2021 and also in the previous years, refer to “Annex 3 - Securitizations - qualitative tables” and “Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables” of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as Originator, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 727 C. Financial assets sold and fully derecognised (€ million) ORIGINAL BOOK VALUE OF ASSETS BEFORE SALE OF WHICH NON-PERFORMING BOOK VALUE OF THE BALANCE-SHEET EXPOSURE ACQUIRED A. Financial assets held for trading - X - 1. Debt securities - X - 2. Equity instruments - X - 3. Loans - X - 4. Derivative instruments - X - B. Other financial assets mandatorily at fair value - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - C. Financial assets designated at fair value - - - 1. Debt securities - - - 2. Loans - - - D. Financial assets at fair value through other comprehensive income - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - E. Financial assets at amortised cost 333 333 300 1. Debt securities - - - 2. Loans 333 333 300 Total 12.31.2021 333 333 300 The asset-backed securities acquired during the year by such transactions, amounting to €261 million, are classified in the Financial assets at fair value through other comprehensive income portfolio, while the units in investment Funds underwritten, amounting to €39 million, are classified in the Financial assets mandatorily at fair value portfolio. Moreover, with reference to sales of financial assets fully derecognised carried out in previous years, it should be noted that as of 31 December 2021, additional €1,241 million of asset-backed securities are booked in the Financial assets at fair value through other comprehensive income portfolio as well as in the Financial assets mandatorily at fair value portfolio are booked additional €62 million of asset-backed securities and €244 million of Investment Funds’ Units acquired in the previous years. E.4 Covered bond transaction Reference is made to the paragraph “D.4 Regulatory consolidation - Covered bond transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 1.1 Credit Risk, Quantitative information, D. Sales transactions, which is herewith quoted entirely. Information on Sovereign exposures With reference to the UniCredit S.p.A. Sovereign exposures, the book value of Sovereign debt securities as at 31 December 2021 amounted to €66,004 million, of which nearly 66% in connection with Italy. This exposures is shown in the table below: Breakdown of Sovereign Debt Securities by Country and Portfolio (€ million) COUNTRY/PORTFOLIO AMOUNTS AS AT 12.31.2021 NOMINAL VALUE BOOK VALUE FAIR VALUE - Italy 41,835 43,336 43,687 Financial assets at amortised cost 23,003 23,807 24,158 Financial assets mandatorily at fair value 50 62 62 Financial assets designated at fair value 0 0 0 Financial assets/liabilities held for trading (net exposure) 768 291 291 Financial assets at fair value through other comprehensive income 18,014 19,176 19,176 The remaining 34% of the total of Sovereign debt securities, amounting to €22,668 million with reference to the book value as at 31 December 2021, is divided into 16 countries, of which €8,637 million to Spain, €5,698 million to Japan, €1,875 million to United States. The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total of the portfolio under which they are classified: Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 727 C. Financial assets sold and fully derecognised (€ million) ORIGINAL BOOK VALUE OF ASSETS BEFORE SALE OF WHICH NON-PERFORMING BOOK VALUE OF THE BALANCE-SHEET EXPOSURE ACQUIRED A. Financial assets held for trading - X - 1. Debt securities - X - 2. Equity instruments - X - 3. Loans - X - 4. Derivative instruments - X - B. Other financial assets mandatorily at fair value - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - C. Financial assets designated at fair value - - - 1. Debt securities - - - 2. Loans - - - D. Financial assets at fair value through other comprehensive income - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - E. Financial assets at amortised cost 333 333 300 1. Debt securities - - - 2. Loans 333 333 300 Total 12.31.2021 333 333 300 The asset-backed securities acquired during the year by such transactions, amounting to €261 million, are classified in the Financial assets at fair value through other comprehensive income portfolio, while the units in investment Funds underwritten, amounting to €39 million, are classified in the Financial assets mandatorily at fair value portfolio. Moreover, with reference to sales of financial assets fully derecognised carried out in previous years, it should be noted that as of 31 December 2021, additional €1,241 million of asset-backed securities are booked in the Financial assets at fair value through other comprehensive income portfolio as well as in the Financial assets mandatorily at fair value portfolio are booked additional €62 million of asset-backed securities and €244 million of Investment Funds’ Units acquired in the previous years. E.4 Covered bond transaction Reference is made to the paragraph “D.4 Regulatory consolidation - Covered bond transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 1.1 Credit Risk, Quantitative information, D. Sales transactions, which is herewith quoted entirely. Information on Sovereign exposures With reference to the UniCredit S.p.A. Sovereign exposures, the book value of Sovereign debt securities as at 31 December 2021 amounted to €66,004 million, of which nearly 66% in connection with Italy. This exposures is shown in the table below: Breakdown of Sovereign Debt Securities by Country and Portfolio (€ million) COUNTRY/PORTFOLIO AMOUNTS AS AT 12.31.2021 NOMINAL VALUE BOOK VALUE FAIR VALUE - Italy 41,835 43,336 43,687 Financial assets at amortised cost 23,003 23,807 24,158 Financial assets mandatorily at fair value 50 62 62 Financial assets designated at fair value 0 0 0 Financial assets/liabilities held for trading (net exposure) 768 291 291 Financial assets at fair value through other comprehensive income 18,014 19,176 19,176 The remaining 34% of the total of Sovereign debt securities, amounting to €22,668 million with reference to the book value as at 31 December 2021, is divided into 16 countries, of which €8,637 million to Spain, €5,698 million to Japan, €1,875 million to United States. The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total of the portfolio under which they are classified: Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 727 C. Financial assets sold and fully derecognised (€ million) ORIGINAL BOOK VALUE OF ASSETS BEFORE SALE OF WHICH NON-PERFORMING BOOK VALUE OF THE BALANCE-SHEET EXPOSURE ACQUIRED A. Financial assets held for trading - X - 1. Debt securities - X - 2. Equity instruments - X - 3. Loans - X - 4. Derivative instruments - X - B. Other financial assets mandatorily at fair value - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - C. Financial assets designated at fair value - - - 1. Debt securities - - - 2. Loans - - - D. Financial assets at fair value through other comprehensive income - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - E. Financial assets at amortised cost 333 333 300 1. Debt securities - - - 2. Loans 333 333 300 Total 12.31.2021 333 333 300 The asset-backed securities acquired during the year by such transactions, amounting to €261 million, are classified in the Financial assets at fair value through other comprehensive income portfolio, while the units in investment Funds underwritten, amounting to €39 million, are classified in the Financial assets mandatorily at fair value portfolio. Moreover, with reference to sales of financial assets fully derecognised carried out in previous years, it should be noted that as of 31 December 2021, additional €1,241 million of asset-backed securities are booked in the Financial assets at fair value through other comprehensive income portfolio as well as in the Financial assets mandatorily at fair value portfolio are booked additional €62 million of asset-backed securities and €244 million of Investment Funds’ Units acquired in the previous years. E.4 Covered bond transaction Reference is made to the paragraph “D.4 Regulatory consolidation - Covered bond transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 1.1 Credit Risk, Quantitative information, D. Sales transactions, which is herewith quoted entirely. Information on Sovereign exposures With reference to the UniCredit S.p.A. Sovereign exposures, the book value of Sovereign debt securities as at 31 December 2021 amounted to €66,004 million, of which nearly 66% in connection with Italy. This exposures is shown in the table below: Breakdown of Sovereign Debt Securities by Country and Portfolio (€ million) COUNTRY/PORTFOLIO AMOUNTS AS AT 12.31.2021 NOMINAL VALUE BOOK VALUE FAIR VALUE - Italy 41,835 43,336 43,687 Financial assets at amortised cost 23,003 23,807 24,158 Financial assets mandatorily at fair value 50 62 62 Financial assets designated at fair value 0 0 0 Financial assets/liabilities held for trading (net exposure) 768 291 291 Financial assets at fair value through other comprehensive income 18,014 19,176 19,176 The remaining 34% of the total of Sovereign debt securities, amounting to €22,668 million with reference to the book value as at 31 December 2021, is divided into 16 countries, of which €8,637 million to Spain, €5,698 million to Japan, €1,875 million to United States. The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total of the portfolio under which they are classified: Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 727 C. Financial assets sold and fully derecognised (€ million) ORIGINAL BOOK VALUE OF ASSETS BEFORE SALE OF WHICH NON-PERFORMING BOOK VALUE OF THE BALANCE-SHEET EXPOSURE ACQUIRED A. Financial assets held for trading - X - 1. Debt securities - X - 2. Equity instruments - X - 3. Loans - X - 4. Derivative instruments - X - B. Other financial assets mandatorily at fair value - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - C. Financial assets designated at fair value - - - 1. Debt securities - - - 2. Loans - - - D. Financial assets at fair value through other comprehensive income - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - E. Financial assets at amortised cost 333 333 300 1. Debt securities - - - 2. Loans 333 333 300 Total 12.31.2021 333 333 300 The asset-backed securities acquired during the year by such transactions, amounting to €261 million, are classified in the Financial assets at fair value through other comprehensive income portfolio, while the units in investment Funds underwritten, amounting to €39 million, are classified in the Financial assets mandatorily at fair value portfolio. Moreover, with reference to sales of financial assets fully derecognised carried out in previous years, it should be noted that as of 31 December 2021, additional €1,241 million of asset-backed securities are booked in the Financial assets at fair value through other comprehensive income portfolio as well as in the Financial assets mandatorily at fair value portfolio are booked additional €62 million of asset-backed securities and €244 million of Investment Funds’ Units acquired in the previous years. E.4 Covered bond transaction Reference is made to the paragraph “D.4 Regulatory consolidation - Covered bond transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 1.1 Credit Risk, Quantitative information, D. Sales transactions, which is herewith quoted entirely. Information on Sovereign exposures With reference to the UniCredit S.p.A. Sovereign exposures, the book value of Sovereign debt securities as at 31 December 2021 amounted to €66,004 million, of which nearly 66% in connection with Italy. This exposures is shown in the table below: Breakdown of Sovereign Debt Securities by Country and Portfolio (€ million) COUNTRY/PORTFOLIO AMOUNTS AS AT 12.31.2021 NOMINAL VALUE BOOK VALUE FAIR VALUE - Italy 41,835 43,336 43,687 Financial assets at amortised cost 23,003 23,807 24,158 Financial assets mandatorily at fair value 50 62 62 Financial assets designated at fair value 0 0 0 Financial assets/liabilities held for trading (net exposure) 768 291 291 Financial assets at fair value through other comprehensive income 18,014 19,176 19,176 The remaining 34% of the total of Sovereign debt securities, amounting to €22,668 million with reference to the book value as at 31 December 2021, is divided into 16 countries, of which €8,637 million to Spain, €5,698 million to Japan, €1,875 million to United States. The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total of the portfolio under which they are classified: Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 727 C. Financial assets sold and fully derecognised (€ million) ORIGINAL BOOK VALUE OF ASSETS BEFORE SALE OF WHICH NON-PERFORMING BOOK VALUE OF THE BALANCE-SHEET EXPOSURE ACQUIRED A. Financial assets held for trading - X - 1. Debt securities - X - 2. Equity instruments - X - 3. Loans - X - 4. Derivative instruments - X - B. Other financial assets mandatorily at fair value - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - C. Financial assets designated at fair value - - - 1. Debt securities - - - 2. Loans - - - D. Financial assets at fair value through other comprehensive income - - - 1. Debt securities - - - 2. Equity instruments - X - 3. Loans - - - E. Financial assets at amortised cost 333 333 300 1. Debt securities - - - 2. Loans 333 333 300 Total 12.31.2021 333 333 300 The asset-backed securities acquired during the year by such transactions, amounting to €261 million, are classified in the Financial assets at fair value through other comprehensive income portfolio, while the units in investment Funds underwritten, amounting to €39 million, are classified in the Financial assets mandatorily at fair value portfolio. Moreover, with reference to sales of financial assets fully derecognised carried out in previous years, it should be noted that as of 31 December 2021, additional €1,241 million of asset-backed securities are booked in the Financial assets at fair value through other comprehensive income portfolio as well as in the Financial assets mandatorily at fair value portfolio are booked additional €62 million of asset-backed securities and €244 million of Investment Funds’ Units acquired in the previous years. E.4 Covered bond transaction Reference is made to the paragraph “D.4 Regulatory consolidation - Covered bond transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 1.1 Credit Risk, Quantitative information, D. Sales transactions, which is herewith quoted entirely. Information on Sovereign exposures With reference to the UniCredit S.p.A. Sovereign exposures, the book value of Sovereign debt securities as at 31 December 2021 amounted to €66,004 million, of which nearly 66% in connection with Italy. This exposures is shown in the table below: Breakdown of Sovereign Debt Securities by Country and Portfolio (€ million) COUNTRY/PORTFOLIO AMOUNTS AS AT 12.31.2021 NOMINAL VALUE BOOK VALUE FAIR VALUE - Italy 41,835 43,336 43,687 Financial assets at amortised cost 23,003 23,807 24,158 Financial assets mandatorily at fair value 50 62 62 Financial assets designated at fair value 0 0 0 Financial assets/liabilities held for trading (net exposure) 768 291 291 Financial assets at fair value through other comprehensive income 18,014 19,176 19,176 The remaining 34% of the total of Sovereign debt securities, amounting to €22,668 million with reference to the book value as at 31 December 2021, is divided into 16 countries, of which €8,637 million to Spain, €5,698 million to Japan, €1,875 million to United States. The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total of the portfolio under which they are classified: Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 728 2021 Annual Report and Accounts · UniCredit Breakdown of Sovereign Debt Securities by Portfolio (€ million) AMOUNTS AS AT 12.31.2021 FINACIAL ASSETS DESIGNATED AT FAIR VALUE FINANCIAL ASSETS MANDATORILY AT FAIR VALUE FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT AMORTISED COST TOTAL Book value 119 65 30,552 35,268 66,004 % Portfolio 100.00% 1.09% 83.79% 13.17% In addition to the exposures to Sovereign debt securities, loans given to central and local governments and governmental bodies must be taken into account. The table below shows the total amount of the loans as at 31 December 2021: Breakdown of Sovereign Loans by Country (€ million) COUNTRY AMOUNTS AS AT 12.31.2021 BOOK VALUE - Italy 2,564 - Qatar 621 - Kenya 188 - Egypt 134 - Dominican Republic 40 - Turkey 2 - Other 43 Total on-balance sheet exposures 3,592 Other transaction With reference to the indications of Banca d’Italia/Consob/IVASS document No.6 of 8 March 2013 - Booking of "long-term structured repos" - instructions, there are no transactions of this kind to report. Information on trading book derivative instruments with customers The business model governing OTC derivatives trading with customers provides for centralization of market risk in the Group Client Solutions division - Group Client Risk Management, while credit risk is assumed by the Group company which, under the divisional or geographical segmentation model, manages the relevant customer’s account. The Group’s operational model provides for customer trading derivatives business to be carried on, as part of each subsidiary’s operational independence: • by the commercial banks and divisions that close transaction in OTC derivatives in order to provide non-institutional clients with products to manage currency, interest-rate and price risk. Under these transactions, the commercial banks transfer their market risks to the Group Client Solutions division by means of equal and opposite contracts, retaining only the relevant counterparty risk. The commercial banks also place or collect orders on behalf of others for investment products with embedded derivatives (e.g. structured bonds); • by CE/CEE banks, which transact business directly with their customers. The UniCredit group trades OTC derivatives on a wide range of underlying, e.g. interest rates, currency rates, share prices and indexes, commodities (precious metals, base metals, petroleum and energy materials) and credit rights. OTC derivatives offer considerable scope for personalization; new payoff profiles can be constructed by combining several OTC derivatives (for example, a plain vanilla IRS with one or more plain vanilla or exotic options). The risk and the complexity of the structures obtained in this manner depend on the respective characteristics of the components (reference parameters and indexation mechanisms) and the way in which they are combined. Credit and market risk arising from OTC derivatives business is controlled by the Chief Risk Officer competence line (CRO) in the Parent Company and/or in the Division or subsidiary involved. This control is carried out by means of guidelines and policies covering risk management, measurement and controls in terms of principles, rules and processes, as well as by setting VaR limits. The business with non-institutional clients does not (usually) entail the use of margin calls, whereas with institutional counterparties (dealt with by the CIB Division) recourse may be made to credit-risk mitigation (“CRM”) techniques, by using netting and/or collateral agreements. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 728 2021 Annual Report and Accounts · UniCredit Breakdown of Sovereign Debt Securities by Portfolio (€ million) AMOUNTS AS AT 12.31.2021 FINACIAL ASSETS DESIGNATED AT FAIR VALUE FINANCIAL ASSETS MANDATORILY AT FAIR VALUE FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT AMORTISED COST TOTAL Book value 119 65 30,552 35,268 66,004 % Portfolio 100.00% 1.09% 83.79% 13.17% In addition to the exposures to Sovereign debt securities, loans given to central and local governments and governmental bodies must be taken into account. The table below shows the total amount of the loans as at 31 December 2021: Breakdown of Sovereign Loans by Country (€ million) COUNTRY AMOUNTS AS AT 12.31.2021 BOOK VALUE - Italy 2,564 - Qatar 621 - Kenya 188 - Egypt 134 - Dominican Republic 40 - Turkey 2 - Other 43 Total on-balance sheet exposures 3,592 Other transaction With reference to the indications of Banca d’Italia/Consob/IVASS document No.6 of 8 March 2013 - Booking of "long-term structured repos" - instructions, there are no transactions of this kind to report. Information on trading book derivative instruments with customers The business model governing OTC derivatives trading with customers provides for centralization of market risk in the Group Client Solutions division - Group Client Risk Management, while credit risk is assumed by the Group company which, under the divisional or geographical segmentation model, manages the relevant customer’s account. The Group’s operational model provides for customer trading derivatives business to be carried on, as part of each subsidiary’s operational independence: • by the commercial banks and divisions that close transaction in OTC derivatives in order to provide non-institutional clients with products to manage currency, interest-rate and price risk. Under these transactions, the commercial banks transfer their market risks to the Group Client Solutions division by means of equal and opposite contracts, retaining only the relevant counterparty risk. The commercial banks also place or collect orders on behalf of others for investment products with embedded derivatives (e.g. structured bonds); • by CE/CEE banks, which transact business directly with their customers. The UniCredit group trades OTC derivatives on a wide range of underlying, e.g. interest rates, currency rates, share prices and indexes, commodities (precious metals, base metals, petroleum and energy materials) and credit rights. OTC derivatives offer considerable scope for personalization; new payoff profiles can be constructed by combining several OTC derivatives (for example, a plain vanilla IRS with one or more plain vanilla or exotic options). The risk and the complexity of the structures obtained in this manner depend on the respective characteristics of the components (reference parameters and indexation mechanisms) and the way in which they are combined. Credit and market risk arising from OTC derivatives business is controlled by the Chief Risk Officer competence line (CRO) in the Parent Company and/or in the Division or subsidiary involved. This control is carried out by means of guidelines and policies covering risk management, measurement and controls in terms of principles, rules and processes, as well as by setting VaR limits. The business with non-institutional clients does not (usually) entail the use of margin calls, whereas with institutional counterparties (dealt with by the CIB Division) recourse may be made to credit-risk mitigation (“CRM”) techniques, by using netting and/or collateral agreements. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 728 2021 Annual Report and Accounts · UniCredit Breakdown of Sovereign Debt Securities by Portfolio (€ million) AMOUNTS AS AT 12.31.2021 FINACIAL ASSETS DESIGNATED AT FAIR VALUE FINANCIAL ASSETS MANDATORILY AT FAIR VALUE FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT AMORTISED COST TOTAL Book value 119 65 30,552 35,268 66,004 % Portfolio 100.00% 1.09% 83.79% 13.17% In addition to the exposures to Sovereign debt securities, loans given to central and local governments and governmental bodies must be taken into account. The table below shows the total amount of the loans as at 31 December 2021: Breakdown of Sovereign Loans by Country (€ million) COUNTRY AMOUNTS AS AT 12.31.2021 BOOK VALUE - Italy 2,564 - Qatar 621 - Kenya 188 - Egypt 134 - Dominican Republic 40 - Turkey 2 - Other 43 Total on-balance sheet exposures 3,592 Other transaction With reference to the indications of Banca d’Italia/Consob/IVASS document No.6 of 8 March 2013 - Booking of "long-term structured repos" - instructions, there are no transactions of this kind to report. Information on trading book derivative instruments with customers The business model governing OTC derivatives trading with customers provides for centralization of market risk in the Group Client Solutions division - Group Client Risk Management, while credit risk is assumed by the Group company which, under the divisional or geographical segmentation model, manages the relevant customer’s account. The Group’s operational model provides for customer trading derivatives business to be carried on, as part of each subsidiary’s operational independence: • by the commercial banks and divisions that close transaction in OTC derivatives in order to provide non-institutional clients with products to manage currency, interest-rate and price risk. Under these transactions, the commercial banks transfer their market risks to the Group Client Solutions division by means of equal and opposite contracts, retaining only the relevant counterparty risk. The commercial banks also place or collect orders on behalf of others for investment products with embedded derivatives (e.g. structured bonds); • by CE/CEE banks, which transact business directly with their customers. The UniCredit group trades OTC derivatives on a wide range of underlying, e.g. interest rates, currency rates, share prices and indexes, commodities (precious metals, base metals, petroleum and energy materials) and credit rights. OTC derivatives offer considerable scope for personalization; new payoff profiles can be constructed by combining several OTC derivatives (for example, a plain vanilla IRS with one or more plain vanilla or exotic options). The risk and the complexity of the structures obtained in this manner depend on the respective characteristics of the components (reference parameters and indexation mechanisms) and the way in which they are combined. Credit and market risk arising from OTC derivatives business is controlled by the Chief Risk Officer competence line (CRO) in the Parent Company and/or in the Division or subsidiary involved. This control is carried out by means of guidelines and policies covering risk management, measurement and controls in terms of principles, rules and processes, as well as by setting VaR limits. The business with non-institutional clients does not (usually) entail the use of margin calls, whereas with institutional counterparties (dealt with by the CIB Division) recourse may be made to credit-risk mitigation (“CRM”) techniques, by using netting and/or collateral agreements. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 728 2021 Annual Report and Accounts · UniCredit Breakdown of Sovereign Debt Securities by Portfolio (€ million) AMOUNTS AS AT 12.31.2021 FINACIAL ASSETS DESIGNATED AT FAIR VALUE FINANCIAL ASSETS MANDATORILY AT FAIR VALUE FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT AMORTISED COST TOTAL Book value 119 65 30,552 35,268 66,004 % Portfolio 100.00% 1.09% 83.79% 13.17% In addition to the exposures to Sovereign debt securities, loans given to central and local governments and governmental bodies must be taken into account. The table below shows the total amount of the loans as at 31 December 2021: Breakdown of Sovereign Loans by Country (€ million) COUNTRY AMOUNTS AS AT 12.31.2021 BOOK VALUE - Italy 2,564 - Qatar 621 - Kenya 188 - Egypt 134 - Dominican Republic 40 - Turkey 2 - Other 43 Total on-balance sheet exposures 3,592 Other transaction With reference to the indications of Banca d’Italia/Consob/IVASS document No.6 of 8 March 2013 - Booking of "long-term structured repos" - instructions, there are no transactions of this kind to report. Information on trading book derivative instruments with customers The business model governing OTC derivatives trading with customers provides for centralization of market risk in the Group Client Solutions division - Group Client Risk Management, while credit risk is assumed by the Group company which, under the divisional or geographical segmentation model, manages the relevant customer’s account. The Group’s operational model provides for customer trading derivatives business to be carried on, as part of each subsidiary’s operational independence: • by the commercial banks and divisions that close transaction in OTC derivatives in order to provide non-institutional clients with products to manage currency, interest-rate and price risk. Under these transactions, the commercial banks transfer their market risks to the Group Client Solutions division by means of equal and opposite contracts, retaining only the relevant counterparty risk. The commercial banks also place or collect orders on behalf of others for investment products with embedded derivatives (e.g. structured bonds); • by CE/CEE banks, which transact business directly with their customers. The UniCredit group trades OTC derivatives on a wide range of underlying, e.g. interest rates, currency rates, share prices and indexes, commodities (precious metals, base metals, petroleum and energy materials) and credit rights. OTC derivatives offer considerable scope for personalization; new payoff profiles can be constructed by combining several OTC derivatives (for example, a plain vanilla IRS with one or more plain vanilla or exotic options). The risk and the complexity of the structures obtained in this manner depend on the respective characteristics of the components (reference parameters and indexation mechanisms) and the way in which they are combined. Credit and market risk arising from OTC derivatives business is controlled by the Chief Risk Officer competence line (CRO) in the Parent Company and/or in the Division or subsidiary involved. This control is carried out by means of guidelines and policies covering risk management, measurement and controls in terms of principles, rules and processes, as well as by setting VaR limits. The business with non-institutional clients does not (usually) entail the use of margin calls, whereas with institutional counterparties (dealt with by the CIB Division) recourse may be made to credit-risk mitigation (“CRM”) techniques, by using netting and/or collateral agreements. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 728 2021 Annual Report and Accounts · UniCredit Breakdown of Sovereign Debt Securities by Portfolio (€ million) AMOUNTS AS AT 12.31.2021 FINACIAL ASSETS DESIGNATED AT FAIR VALUE FINANCIAL ASSETS MANDATORILY AT FAIR VALUE FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME FINANCIAL ASSETS AT AMORTISED COST TOTAL Book value 119 65 30,552 35,268 66,004 % Portfolio 100.00% 1.09% 83.79% 13.17% In addition to the exposures to Sovereign debt securities, loans given to central and local governments and governmental bodies must be taken into account. The table below shows the total amount of the loans as at 31 December 2021: Breakdown of Sovereign Loans by Country (€ million) COUNTRY AMOUNTS AS AT 12.31.2021 BOOK VALUE - Italy 2,564 - Qatar 621 - Kenya 188 - Egypt 134 - Dominican Republic 40 - Turkey 2 - Other 43 Total on-balance sheet exposures 3,592 Other transaction With reference to the indications of Banca d’Italia/Consob/IVASS document No.6 of 8 March 2013 - Booking of "long-term structured repos" - instructions, there are no transactions of this kind to report. Information on trading book derivative instruments with customers The business model governing OTC derivatives trading with customers provides for centralization of market risk in the Group Client Solutions division - Group Client Risk Management, while credit risk is assumed by the Group company which, under the divisional or geographical segmentation model, manages the relevant customer’s account. The Group’s operational model provides for customer trading derivatives business to be carried on, as part of each subsidiary’s operational independence: • by the commercial banks and divisions that close transaction in OTC derivatives in order to provide non-institutional clients with products to manage currency, interest-rate and price risk. Under these transactions, the commercial banks transfer their market risks to the Group Client Solutions division by means of equal and opposite contracts, retaining only the relevant counterparty risk. The commercial banks also place or collect orders on behalf of others for investment products with embedded derivatives (e.g. structured bonds); • by CE/CEE banks, which transact business directly with their customers. The UniCredit group trades OTC derivatives on a wide range of underlying, e.g. interest rates, currency rates, share prices and indexes, commodities (precious metals, base metals, petroleum and energy materials) and credit rights. OTC derivatives offer considerable scope for personalization; new payoff profiles can be constructed by combining several OTC derivatives (for example, a plain vanilla IRS with one or more plain vanilla or exotic options). The risk and the complexity of the structures obtained in this manner depend on the respective characteristics of the components (reference parameters and indexation mechanisms) and the way in which they are combined. Credit and market risk arising from OTC derivatives business is controlled by the Chief Risk Officer competence line (CRO) in the Parent Company and/or in the Division or subsidiary involved. This control is carried out by means of guidelines and policies covering risk management, measurement and controls in terms of principles, rules and processes, as well as by setting VaR limits. The business with non-institutional clients does not (usually) entail the use of margin calls, whereas with institutional counterparties (dealt with by the CIB Division) recourse may be made to credit-risk mitigation (“CRM”) techniques, by using netting and/or collateral agreements. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 729 Write-downs and write-backs of derivatives to take account of counterparty risk are determined in line with the procedure used to assess other credit exposure, specifically: • performing exposure to customers are mapped by deriving EAD (Exposure at Default) that take into account the Wrong Way Risk and measured with PD (Probability of Default) and LGD (Loss Given Default) implied by current market default rates obtained from credit & loan-credit default swaps, in order to obtain a value in terms of ‘expected loss’ (EL) to be used for items designated and measured at fair value maximising usage of market’s inputs; • non-performing positions are valued in terms of estimated expected future cash flow according to specific indications of impairment (which are the basis for the calculation of the amount and timing of the cash flow). Here follows the breakdown of balance-sheet asset item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” and of balance-sheet liability item “20. Financial liabilities held for trading”. To make the distinction between customers and banking counterparties, the definition contained in Circular No.262 of 22 December 2005 of Banca d’Italia and subsequent amendments (which was used for the preparation of the accounts) was used as a reference. Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to several types of risk (with the exception of cross-currency swaps) and/or leverage effects. The balance of item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” with regard to derivative contracts totaled €8,764 million (with a notional value of €181,175 million) including €3,618 million with customers. The notional value of derivatives with customers amounted to €66,366 million, including €1,523 related to structured derivatives (fair value €90 million). The notional value of derivatives with banking counterparties totaled €114,809 million (fair value of €5,146 million) including €1,155 million relating to structured derivatives (fair value of €31 million). The balance of item “20. Financial liabilities held for trading” with regard to derivative contracts totaled €8,791 million (with a notional value of €181,343 million) including €3,463 million with customers. The notional value of derivatives with customers amounted to €58,762 million, including €1,025 million in structured derivatives (fair value of €31 million). The notional value of derivatives with banking counterparties totaled €122,581 million (fair value of €5,329 million), including €1,394 million relating to structured derivatives (fair value €101 million). F. Credit risk measurement models At 31 December 2021 the expected loss on the credit risk perimeter was 0,48% of total Bank credit exposure. This trend is mitigated by the exposures which have migrated to default and therefore do not enter in the calculation of expected loss and improvement PD dynamics. Besides, since risk measurement systems tend to be anti-cyclical, this may result in a smaller elasticity to the swift changes of the macroeconomic scenario. The ratio between credit economic capital (including a component to cover migration risk) and its relative credit exposure amount is 3.17% with reference date end of December 2021. As far as quantitative information of UniCredit group, reference is made to the paragraph Part E - Notes to the consolidated accounts of UniCredit group - Section 2 - Risk of the prudential consolidated perimeter - Quantitative information - E. Prudential perimeter - Credit risk measurement models. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 729 Write-downs and write-backs of derivatives to take account of counterparty risk are determined in line with the procedure used to assess other credit exposure, specifically: • performing exposure to customers are mapped by deriving EAD (Exposure at Default) that take into account the Wrong Way Risk and measured with PD (Probability of Default) and LGD (Loss Given Default) implied by current market default rates obtained from credit & loan-credit default swaps, in order to obtain a value in terms of ‘expected loss’ (EL) to be used for items designated and measured at fair value maximising usage of market’s inputs; • non-performing positions are valued in terms of estimated expected future cash flow according to specific indications of impairment (which are the basis for the calculation of the amount and timing of the cash flow). Here follows the breakdown of balance-sheet asset item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” and of balance-sheet liability item “20. Financial liabilities held for trading”. To make the distinction between customers and banking counterparties, the definition contained in Circular No.262 of 22 December 2005 of Banca d’Italia and subsequent amendments (which was used for the preparation of the accounts) was used as a reference. Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to several types of risk (with the exception of cross-currency swaps) and/or leverage effects. The balance of item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” with regard to derivative contracts totaled €8,764 million (with a notional value of €181,175 million) including €3,618 million with customers. The notional value of derivatives with customers amounted to €66,366 million, including €1,523 related to structured derivatives (fair value €90 million). The notional value of derivatives with banking counterparties totaled €114,809 million (fair value of €5,146 million) including €1,155 million relating to structured derivatives (fair value of €31 million). The balance of item “20. Financial liabilities held for trading” with regard to derivative contracts totaled €8,791 million (with a notional value of €181,343 million) including €3,463 million with customers. The notional value of derivatives with customers amounted to €58,762 million, including €1,025 million in structured derivatives (fair value of €31 million). The notional value of derivatives with banking counterparties totaled €122,581 million (fair value of €5,329 million), including €1,394 million relating to structured derivatives (fair value €101 million). F. Credit risk measurement models At 31 December 2021 the expected loss on the credit risk perimeter was 0,48% of total Bank credit exposure. This trend is mitigated by the exposures which have migrated to default and therefore do not enter in the calculation of expected loss and improvement PD dynamics. Besides, since risk measurement systems tend to be anti-cyclical, this may result in a smaller elasticity to the swift changes of the macroeconomic scenario. The ratio between credit economic capital (including a component to cover migration risk) and its relative credit exposure amount is 3.17% with reference date end of December 2021. As far as quantitative information of UniCredit group, reference is made to the paragraph Part E - Notes to the consolidated accounts of UniCredit group - Section 2 - Risk of the prudential consolidated perimeter - Quantitative information - E. Prudential perimeter - Credit risk measurement models. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 729 Write-downs and write-backs of derivatives to take account of counterparty risk are determined in line with the procedure used to assess other credit exposure, specifically: • performing exposure to customers are mapped by deriving EAD (Exposure at Default) that take into account the Wrong Way Risk and measured with PD (Probability of Default) and LGD (Loss Given Default) implied by current market default rates obtained from credit & loan-credit default swaps, in order to obtain a value in terms of ‘expected loss’ (EL) to be used for items designated and measured at fair value maximising usage of market’s inputs; • non-performing positions are valued in terms of estimated expected future cash flow according to specific indications of impairment (which are the basis for the calculation of the amount and timing of the cash flow). Here follows the breakdown of balance-sheet asset item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” and of balance-sheet liability item “20. Financial liabilities held for trading”. To make the distinction between customers and banking counterparties, the definition contained in Circular No.262 of 22 December 2005 of Banca d’Italia and subsequent amendments (which was used for the preparation of the accounts) was used as a reference. Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to several types of risk (with the exception of cross-currency swaps) and/or leverage effects. The balance of item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” with regard to derivative contracts totaled €8,764 million (with a notional value of €181,175 million) including €3,618 million with customers. The notional value of derivatives with customers amounted to €66,366 million, including €1,523 related to structured derivatives (fair value €90 million). The notional value of derivatives with banking counterparties totaled €114,809 million (fair value of €5,146 million) including €1,155 million relating to structured derivatives (fair value of €31 million). The balance of item “20. Financial liabilities held for trading” with regard to derivative contracts totaled €8,791 million (with a notional value of €181,343 million) including €3,463 million with customers. The notional value of derivatives with customers amounted to €58,762 million, including €1,025 million in structured derivatives (fair value of €31 million). The notional value of derivatives with banking counterparties totaled €122,581 million (fair value of €5,329 million), including €1,394 million relating to structured derivatives (fair value €101 million). F. Credit risk measurement models At 31 December 2021 the expected loss on the credit risk perimeter was 0,48% of total Bank credit exposure. This trend is mitigated by the exposures which have migrated to default and therefore do not enter in the calculation of expected loss and improvement PD dynamics. Besides, since risk measurement systems tend to be anti-cyclical, this may result in a smaller elasticity to the swift changes of the macroeconomic scenario. The ratio between credit economic capital (including a component to cover migration risk) and its relative credit exposure amount is 3.17% with reference date end of December 2021. As far as quantitative information of UniCredit group, reference is made to the paragraph Part E - Notes to the consolidated accounts of UniCredit group - Section 2 - Risk of the prudential consolidated perimeter - Quantitative information - E. Prudential perimeter - Credit risk measurement models. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 729 Write-downs and write-backs of derivatives to take account of counterparty risk are determined in line with the procedure used to assess other credit exposure, specifically: • performing exposure to customers are mapped by deriving EAD (Exposure at Default) that take into account the Wrong Way Risk and measured with PD (Probability of Default) and LGD (Loss Given Default) implied by current market default rates obtained from credit & loan-credit default swaps, in order to obtain a value in terms of ‘expected loss’ (EL) to be used for items designated and measured at fair value maximising usage of market’s inputs; • non-performing positions are valued in terms of estimated expected future cash flow according to specific indications of impairment (which are the basis for the calculation of the amount and timing of the cash flow). Here follows the breakdown of balance-sheet asset item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” and of balance-sheet liability item “20. Financial liabilities held for trading”. To make the distinction between customers and banking counterparties, the definition contained in Circular No.262 of 22 December 2005 of Banca d’Italia and subsequent amendments (which was used for the preparation of the accounts) was used as a reference. Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to several types of risk (with the exception of cross-currency swaps) and/or leverage effects. The balance of item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” with regard to derivative contracts totaled €8,764 million (with a notional value of €181,175 million) including €3,618 million with customers. The notional value of derivatives with customers amounted to €66,366 million, including €1,523 related to structured derivatives (fair value €90 million). The notional value of derivatives with banking counterparties totaled €114,809 million (fair value of €5,146 million) including €1,155 million relating to structured derivatives (fair value of €31 million). The balance of item “20. Financial liabilities held for trading” with regard to derivative contracts totaled €8,791 million (with a notional value of €181,343 million) including €3,463 million with customers. The notional value of derivatives with customers amounted to €58,762 million, including €1,025 million in structured derivatives (fair value of €31 million). The notional value of derivatives with banking counterparties totaled €122,581 million (fair value of €5,329 million), including €1,394 million relating to structured derivatives (fair value €101 million). F. Credit risk measurement models At 31 December 2021 the expected loss on the credit risk perimeter was 0,48% of total Bank credit exposure. This trend is mitigated by the exposures which have migrated to default and therefore do not enter in the calculation of expected loss and improvement PD dynamics. Besides, since risk measurement systems tend to be anti-cyclical, this may result in a smaller elasticity to the swift changes of the macroeconomic scenario. The ratio between credit economic capital (including a component to cover migration risk) and its relative credit exposure amount is 3.17% with reference date end of December 2021. As far as quantitative information of UniCredit group, reference is made to the paragraph Part E - Notes to the consolidated accounts of UniCredit group - Section 2 - Risk of the prudential consolidated perimeter - Quantitative information - E. Prudential perimeter - Credit risk measurement models. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 729 Write-downs and write-backs of derivatives to take account of counterparty risk are determined in line with the procedure used to assess other credit exposure, specifically: • performing exposure to customers are mapped by deriving EAD (Exposure at Default) that take into account the Wrong Way Risk and measured with PD (Probability of Default) and LGD (Loss Given Default) implied by current market default rates obtained from credit & loan-credit default swaps, in order to obtain a value in terms of ‘expected loss’ (EL) to be used for items designated and measured at fair value maximising usage of market’s inputs; • non-performing positions are valued in terms of estimated expected future cash flow according to specific indications of impairment (which are the basis for the calculation of the amount and timing of the cash flow). Here follows the breakdown of balance-sheet asset item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” and of balance-sheet liability item “20. Financial liabilities held for trading”. To make the distinction between customers and banking counterparties, the definition contained in Circular No.262 of 22 December 2005 of Banca d’Italia and subsequent amendments (which was used for the preparation of the accounts) was used as a reference. Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to several types of risk (with the exception of cross-currency swaps) and/or leverage effects. The balance of item “20. Financial assets at fair value through profit or loss: a) financial assets held for trading” with regard to derivative contracts totaled €8,764 million (with a notional value of €181,175 million) including €3,618 million with customers. The notional value of derivatives with customers amounted to €66,366 million, including €1,523 related to structured derivatives (fair value €90 million). The notional value of derivatives with banking counterparties totaled €114,809 million (fair value of €5,146 million) including €1,155 million relating to structured derivatives (fair value of €31 million). The balance of item “20. Financial liabilities held for trading” with regard to derivative contracts totaled €8,791 million (with a notional value of €181,343 million) including €3,463 million with customers. The notional value of derivatives with customers amounted to €58,762 million, including €1,025 million in structured derivatives (fair value of €31 million). The notional value of derivatives with banking counterparties totaled €122,581 million (fair value of €5,329 million), including €1,394 million relating to structured derivatives (fair value €101 million). F. Credit risk measurement models At 31 December 2021 the expected loss on the credit risk perimeter was 0,48% of total Bank credit exposure. This trend is mitigated by the exposures which have migrated to default and therefore do not enter in the calculation of expected loss and improvement PD dynamics. Besides, since risk measurement systems tend to be anti-cyclical, this may result in a smaller elasticity to the swift changes of the macroeconomic scenario. The ratio between credit economic capital (including a component to cover migration risk) and its relative credit exposure amount is 3.17% with reference date end of December 2021. As far as quantitative information of UniCredit group, reference is made to the paragraph Part E - Notes to the consolidated accounts of UniCredit group - Section 2 - Risk of the prudential consolidated perimeter - Quantitative information - E. Prudential perimeter - Credit risk measurement models. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 730 2021 Annual Report and Accounts · UniCredit Section 2 - Market risk Reference is made to the paragraph “2.2 Market risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, which is herewith quoted entirely. Below, end of year VaR, SVaR and IRC results of UniCredit S.p.A. Daily VaR on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 2.48 2.5 10.6 0.9 4.9 SVaR on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 9.39 10.00 16.83 4.42 9.97 IRC on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 93.7 94.3 184.1 48.6 85.0 2.1 Interest rate risk and price risk - Regulatory trading book Qualitative information Interest rate risk A. General aspects Reference is made to the paragraph “A. General aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Interest rate risk, which is herewith quoted entirely. B. Operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “B. Risk management process and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Interest rate risk, which is herewith quoted entirely. Price risk A. General aspects Reference is made to the paragraph “A. General aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Price risk, which is herewith quoted entirely. B. Operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “B. Risk management process and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Price risk, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 730 2021 Annual Report and Accounts · UniCredit Section 2 - Market risk Reference is made to the paragraph “2.2 Market risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, which is herewith quoted entirely. Below, end of year VaR, SVaR and IRC results of UniCredit S.p.A. Daily VaR on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 2.48 2.5 10.6 0.9 4.9 SVaR on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 9.39 10.00 16.83 4.42 9.97 IRC on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 93.7 94.3 184.1 48.6 85.0 2.1 Interest rate risk and price risk - Regulatory trading book Qualitative information Interest rate risk A. General aspects Reference is made to the paragraph “A. General aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Interest rate risk, which is herewith quoted entirely. B. Operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “B. Risk management process and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Interest rate risk, which is herewith quoted entirely. Price risk A. General aspects Reference is made to the paragraph “A. General aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Price risk, which is herewith quoted entirely. B. Operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “B. Risk management process and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Price risk, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 730 2021 Annual Report and Accounts · UniCredit Section 2 - Market risk Reference is made to the paragraph “2.2 Market risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, which is herewith quoted entirely. Below, end of year VaR, SVaR and IRC results of UniCredit S.p.A. Daily VaR on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 2.48 2.5 10.6 0.9 4.9 SVaR on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 9.39 10.00 16.83 4.42 9.97 IRC on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 93.7 94.3 184.1 48.6 85.0 2.1 Interest rate risk and price risk - Regulatory trading book Qualitative information Interest rate risk A. General aspects Reference is made to the paragraph “A. General aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Interest rate risk, which is herewith quoted entirely. B. Operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “B. Risk management process and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Interest rate risk, which is herewith quoted entirely. Price risk A. General aspects Reference is made to the paragraph “A. General aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Price risk, which is herewith quoted entirely. B. Operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “B. Risk management process and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Price risk, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 730 2021 Annual Report and Accounts · UniCredit Section 2 - Market risk Reference is made to the paragraph “2.2 Market risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, which is herewith quoted entirely. Below, end of year VaR, SVaR and IRC results of UniCredit S.p.A. Daily VaR on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 2.48 2.5 10.6 0.9 4.9 SVaR on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 9.39 10.00 16.83 4.42 9.97 IRC on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 93.7 94.3 184.1 48.6 85.0 2.1 Interest rate risk and price risk - Regulatory trading book Qualitative information Interest rate risk A. General aspects Reference is made to the paragraph “A. General aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Interest rate risk, which is herewith quoted entirely. B. Operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “B. Risk management process and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Interest rate risk, which is herewith quoted entirely. Price risk A. General aspects Reference is made to the paragraph “A. General aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Price risk, which is herewith quoted entirely. B. Operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “B. Risk management process and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Price risk, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 730 2021 Annual Report and Accounts · UniCredit Section 2 - Market risk Reference is made to the paragraph “2.2 Market risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, which is herewith quoted entirely. Below, end of year VaR, SVaR and IRC results of UniCredit S.p.A. Daily VaR on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 2.48 2.5 10.6 0.9 4.9 SVaR on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 9.39 10.00 16.83 4.42 9.97 IRC on Regulatory Trading book (€ million) 2021 2020 12.30.2021 AVERAGE MAX MIN AVERAGE UniCredit S.p.A. 93.7 94.3 184.1 48.6 85.0 2.1 Interest rate risk and price risk - Regulatory trading book Qualitative information Interest rate risk A. General aspects Reference is made to the paragraph “A. General aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Interest rate risk, which is herewith quoted entirely. B. Operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “B. Risk management process and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Interest rate risk, which is herewith quoted entirely. Price risk A. General aspects Reference is made to the paragraph “A. General aspects” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Price risk, which is herewith quoted entirely. B. Operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “B. Risk management process and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Qualitative information, Price risk, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 731 Quantitative information 1. Regulatory trading portfolio: distribution by residual duration (re-pricing date) of financial assets and liabilities for cash and financial derivatives The table is not reported since a table showing interest rate sensitivity is described below, in accordance with internal model. 2. Regulatory trading portfolio: distribution of equity exposures and equity indices for the main listing countries The table is not reported since a table showing price risk sensitivity is described below, in accordance with internal model. 3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. Interest rate risk Reference is made to the paragraph “Interest rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Quantitative information, which is herewith quoted entirely. The tables below show trading book sensitivities. (€ million) INTEREST RATES +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL -10 BP +10 BP -100 PB +100 BP CW CCW Total -0.0 0.0 -0.1 -0.1 -0.2 0.0 0.0 -0.4 4.3 -4.4 40.9 -44.3 2.0 -2.4 of which: EUR 0.0 -0.0 -0.2 -0.1 -0.3 -0.0 0.0 -0.6 6.4 -6.5 62.6 -64.7 4.0 -4.3 USD -0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.2 -1.9 1.9 -19.4 18.2 -212.1 GBP 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -010.1 CHF -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -010.1 JPY -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.9 0.9 0.1 -0.1 Price risk Reference is made to the paragraph “Price risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Quantitative information, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 731 Quantitative information 1. Regulatory trading portfolio: distribution by residual duration (re-pricing date) of financial assets and liabilities for cash and financial derivatives The table is not reported since a table showing interest rate sensitivity is described below, in accordance with internal model. 2. Regulatory trading portfolio: distribution of equity exposures and equity indices for the main listing countries The table is not reported since a table showing price risk sensitivity is described below, in accordance with internal model. 3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. Interest rate risk Reference is made to the paragraph “Interest rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Quantitative information, which is herewith quoted entirely. The tables below show trading book sensitivities. (€ million) INTEREST RATES +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL -10 BP +10 BP -100 PB +100 BP CW CCW Total -0.0 0.0 -0.1 -0.1 -0.2 0.0 0.0 -0.4 4.3 -4.4 40.9 -44.3 2.0 -2.4 of which: EUR 0.0 -0.0 -0.2 -0.1 -0.3 -0.0 0.0 -0.6 6.4 -6.5 62.6 -64.7 4.0 -4.3 USD -0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.2 -1.9 1.9 -19.4 18.2 -212.1 GBP 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -010.1 CHF -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -010.1 JPY -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.9 0.9 0.1 -0.1 Price risk Reference is made to the paragraph “Price risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Quantitative information, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 731 Quantitative information 1. Regulatory trading portfolio: distribution by residual duration (re-pricing date) of financial assets and liabilities for cash and financial derivatives The table is not reported since a table showing interest rate sensitivity is described below, in accordance with internal model. 2. Regulatory trading portfolio: distribution of equity exposures and equity indices for the main listing countries The table is not reported since a table showing price risk sensitivity is described below, in accordance with internal model. 3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. Interest rate risk Reference is made to the paragraph “Interest rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Quantitative information, which is herewith quoted entirely. The tables below show trading book sensitivities. (€ million) INTEREST RATES +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL -10 BP +10 BP -100 PB +100 BP CW CCW Total -0.0 0.0 -0.1 -0.1 -0.2 0.0 0.0 -0.4 4.3 -4.4 40.9 -44.3 2.0 -2.4 of which: EUR 0.0 -0.0 -0.2 -0.1 -0.3 -0.0 0.0 -0.6 6.4 -6.5 62.6 -64.7 4.0 -4.3 USD -0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.2 -1.9 1.9 -19.4 18.2 -212.1 GBP 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -010.1 CHF -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -010.1 JPY -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.9 0.9 0.1 -0.1 Price risk Reference is made to the paragraph “Price risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Quantitative information, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 731 Quantitative information 1. Regulatory trading portfolio: distribution by residual duration (re-pricing date) of financial assets and liabilities for cash and financial derivatives The table is not reported since a table showing interest rate sensitivity is described below, in accordance with internal model. 2. Regulatory trading portfolio: distribution of equity exposures and equity indices for the main listing countries The table is not reported since a table showing price risk sensitivity is described below, in accordance with internal model. 3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. Interest rate risk Reference is made to the paragraph “Interest rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Quantitative information, which is herewith quoted entirely. The tables below show trading book sensitivities. (€ million) INTEREST RATES +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL -10 BP +10 BP -100 PB +100 BP CW CCW Total -0.0 0.0 -0.1 -0.1 -0.2 0.0 0.0 -0.4 4.3 -4.4 40.9 -44.3 2.0 -2.4 of which: EUR 0.0 -0.0 -0.2 -0.1 -0.3 -0.0 0.0 -0.6 6.4 -6.5 62.6 -64.7 4.0 -4.3 USD -0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.2 -1.9 1.9 -19.4 18.2 -212.1 GBP 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -010.1 CHF -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -010.1 JPY -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.9 0.9 0.1 -0.1 Price risk Reference is made to the paragraph “Price risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Quantitative information, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 731 Quantitative information 1. Regulatory trading portfolio: distribution by residual duration (re-pricing date) of financial assets and liabilities for cash and financial derivatives The table is not reported since a table showing interest rate sensitivity is described below, in accordance with internal model. 2. Regulatory trading portfolio: distribution of equity exposures and equity indices for the main listing countries The table is not reported since a table showing price risk sensitivity is described below, in accordance with internal model. 3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure, also refer to the introduction on internal models. Interest rate risk Reference is made to the paragraph “Interest rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Quantitative information, which is herewith quoted entirely. The tables below show trading book sensitivities. (€ million) INTEREST RATES +1BP LESS THAN 1 MONTH +1BP 1 MONTH TO 6 MONTHS +1BP 6 MONTHS TO 1 YEAR +1BP 1 YEAR TO 5 YEARS +1BP 5 YEARS TO 10 YEARS +1BP 10 YEARS TO 20 YEARS +1BP OVER 20 YEARS +1 BP TOTAL -10 BP +10 BP -100 PB +100 BP CW CCW Total -0.0 0.0 -0.1 -0.1 -0.2 0.0 0.0 -0.4 4.3 -4.4 40.9 -44.3 2.0 -2.4 of which: EUR 0.0 -0.0 -0.2 -0.1 -0.3 -0.0 0.0 -0.6 6.4 -6.5 62.6 -64.7 4.0 -4.3 USD -0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.2 -1.9 1.9 -19.4 18.2 -212.1 GBP 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -010.1 CHF -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -010.1 JPY -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.9 0.9 0.1 -0.1 Price risk Reference is made to the paragraph “Price risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.1 Interest rate risk and price risk - Regulatory trading book, Quantitative information, which is herewith quoted entirely. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 732 2021 Annual Report and Accounts · UniCredit 2.2 Interest rate and price risk - Banking book Qualitative information Interest rate risk and price risk A. General aspects, operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring interest rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.2 Interest rate risk and price risk - Banking book, Qualitative information, Interest rate risk, which is herewith quoted entirely. Quantitative information 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 27,656 122,409 20,693 19,849 74,124 29,550 13,979 - 1.1 Debt securities 612 13,335 5,300 9,484 39,023 18,181 1,532 - - With prepayment option - - - - - - - - - Other 612 13,335 5,300 9,484 39,023 18,181 1,532 - 1.2 Loans to banks 2,338 20,718 1,063 1,586 1,008 16 - - 1.3 Loans to customers 24,706 88,356 14,330 8,779 34,093 11,353 12,447 - - Current accounts 6,544 7 64 7 153 8 2 - - Other loans 18,162 88,349 14,266 8,772 33,940 11,345 12,445 - - With prepayment option 11,545 51,126 9,594 4,307 22,206 9,477 11,559 - - Other 6,617 37,223 4,672 4,465 11,734 1,868 886 - 2. On-balance sheet liabilities 210,509 51,817 14,725 9,116 71,588 8,838 6,735 - 2.1 Deposits from customers 202,183 19,836 567 25 312 1,116 1,186 - - Current accounts 195,116 84 1 1 - - - - - Other 7,067 19,752 566 24 312 1,116 1,186 - - With prepayment option - - - - - - - - - Other 7,067 19,752 566 24 312 1,116 1,186 - 2.2 Deposits from banks 7,771 18,942 8,564 171 50,798 16 3 - - Current accounts 1,453 - - - - - - - - Other 6,318 18,942 8,564 171 50,798 16 3 - 2.3 Debt secuties in issue 553 13,039 5,594 8,920 20,478 7,706 5,546 - - With prepayment option 33 750 - - - - - - - Other 520 12,289 5,594 8,920 20,478 7,706 5,546 - 2.4 Other liabilities 2 - - - - - - - - With prepayment option - - - - - - - - - Other 2 - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions 650 20,894 10,360 22,640 168,989 156,325 49,362 - + Short positions 350 15,077 10,360 22,890 171,439 157,930 51,177 - - Other derivatives + Long positions 8,146 236,703 27,743 41,483 154,896 54,977 6,178 - + Short positions 4,396 193,897 34,988 63,712 183,814 37,796 7,881 - 4. Other off-balance sheet transactions + Long positions 7 29,291 2,127 2,079 3,196 1,048 815 - + Short positions 13,767 21,125 1,976 1,563 130 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 732 2021 Annual Report and Accounts · UniCredit 2.2 Interest rate and price risk - Banking book Qualitative information Interest rate risk and price risk A. General aspects, operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring interest rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.2 Interest rate risk and price risk - Banking book, Qualitative information, Interest rate risk, which is herewith quoted entirely. Quantitative information 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 27,656 122,409 20,693 19,849 74,124 29,550 13,979 - 1.1 Debt securities 612 13,335 5,300 9,484 39,023 18,181 1,532 - - With prepayment option - - - - - - - - - Other 612 13,335 5,300 9,484 39,023 18,181 1,532 - 1.2 Loans to banks 2,338 20,718 1,063 1,586 1,008 16 - - 1.3 Loans to customers 24,706 88,356 14,330 8,779 34,093 11,353 12,447 - - Current accounts 6,544 7 64 7 153 8 2 - - Other loans 18,162 88,349 14,266 8,772 33,940 11,345 12,445 - - With prepayment option 11,545 51,126 9,594 4,307 22,206 9,477 11,559 - - Other 6,617 37,223 4,672 4,465 11,734 1,868 886 - 2. On-balance sheet liabilities 210,509 51,817 14,725 9,116 71,588 8,838 6,735 - 2.1 Deposits from customers 202,183 19,836 567 25 312 1,116 1,186 - - Current accounts 195,116 84 1 1 - - - - - Other 7,067 19,752 566 24 312 1,116 1,186 - - With prepayment option - - - - - - - - - Other 7,067 19,752 566 24 312 1,116 1,186 - 2.2 Deposits from banks 7,771 18,942 8,564 171 50,798 16 3 - - Current accounts 1,453 - - - - - - - - Other 6,318 18,942 8,564 171 50,798 16 3 - 2.3 Debt secuties in issue 553 13,039 5,594 8,920 20,478 7,706 5,546 - - With prepayment option 33 750 - - - - - - - Other 520 12,289 5,594 8,920 20,478 7,706 5,546 - 2.4 Other liabilities 2 - - - - - - - - With prepayment option - - - - - - - - - Other 2 - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions 650 20,894 10,360 22,640 168,989 156,325 49,362 - + Short positions 350 15,077 10,360 22,890 171,439 157,930 51,177 - - Other derivatives + Long positions 8,146 236,703 27,743 41,483 154,896 54,977 6,178 - + Short positions 4,396 193,897 34,988 63,712 183,814 37,796 7,881 - 4. Other off-balance sheet transactions + Long positions 7 29,291 2,127 2,079 3,196 1,048 815 - + Short positions 13,767 21,125 1,976 1,563 130 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 732 2021 Annual Report and Accounts · UniCredit 2.2 Interest rate and price risk - Banking book Qualitative information Interest rate risk and price risk A. General aspects, operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring interest rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.2 Interest rate risk and price risk - Banking book, Qualitative information, Interest rate risk, which is herewith quoted entirely. Quantitative information 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 27,656 122,409 20,693 19,849 74,124 29,550 13,979 - 1.1 Debt securities 612 13,335 5,300 9,484 39,023 18,181 1,532 - - With prepayment option - - - - - - - - - Other 612 13,335 5,300 9,484 39,023 18,181 1,532 - 1.2 Loans to banks 2,338 20,718 1,063 1,586 1,008 16 - - 1.3 Loans to customers 24,706 88,356 14,330 8,779 34,093 11,353 12,447 - - Current accounts 6,544 7 64 7 153 8 2 - - Other loans 18,162 88,349 14,266 8,772 33,940 11,345 12,445 - - With prepayment option 11,545 51,126 9,594 4,307 22,206 9,477 11,559 - - Other 6,617 37,223 4,672 4,465 11,734 1,868 886 - 2. On-balance sheet liabilities 210,509 51,817 14,725 9,116 71,588 8,838 6,735 - 2.1 Deposits from customers 202,183 19,836 567 25 312 1,116 1,186 - - Current accounts 195,116 84 1 1 - - - - - Other 7,067 19,752 566 24 312 1,116 1,186 - - With prepayment option - - - - - - - - - Other 7,067 19,752 566 24 312 1,116 1,186 - 2.2 Deposits from banks 7,771 18,942 8,564 171 50,798 16 3 - - Current accounts 1,453 - - - - - - - - Other 6,318 18,942 8,564 171 50,798 16 3 - 2.3 Debt secuties in issue 553 13,039 5,594 8,920 20,478 7,706 5,546 - - With prepayment option 33 750 - - - - - - - Other 520 12,289 5,594 8,920 20,478 7,706 5,546 - 2.4 Other liabilities 2 - - - - - - - - With prepayment option - - - - - - - - - Other 2 - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions 650 20,894 10,360 22,640 168,989 156,325 49,362 - + Short positions 350 15,077 10,360 22,890 171,439 157,930 51,177 - - Other derivatives + Long positions 8,146 236,703 27,743 41,483 154,896 54,977 6,178 - + Short positions 4,396 193,897 34,988 63,712 183,814 37,796 7,881 - 4. Other off-balance sheet transactions + Long positions 7 29,291 2,127 2,079 3,196 1,048 815 - + Short positions 13,767 21,125 1,976 1,563 130 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 732 2021 Annual Report and Accounts · UniCredit 2.2 Interest rate and price risk - Banking book Qualitative information Interest rate risk and price risk A. General aspects, operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring interest rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.2 Interest rate risk and price risk - Banking book, Qualitative information, Interest rate risk, which is herewith quoted entirely. Quantitative information 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 27,656 122,409 20,693 19,849 74,124 29,550 13,979 - 1.1 Debt securities 612 13,335 5,300 9,484 39,023 18,181 1,532 - - With prepayment option - - - - - - - - - Other 612 13,335 5,300 9,484 39,023 18,181 1,532 - 1.2 Loans to banks 2,338 20,718 1,063 1,586 1,008 16 - - 1.3 Loans to customers 24,706 88,356 14,330 8,779 34,093 11,353 12,447 - - Current accounts 6,544 7 64 7 153 8 2 - - Other loans 18,162 88,349 14,266 8,772 33,940 11,345 12,445 - - With prepayment option 11,545 51,126 9,594 4,307 22,206 9,477 11,559 - - Other 6,617 37,223 4,672 4,465 11,734 1,868 886 - 2. On-balance sheet liabilities 210,509 51,817 14,725 9,116 71,588 8,838 6,735 - 2.1 Deposits from customers 202,183 19,836 567 25 312 1,116 1,186 - - Current accounts 195,116 84 1 1 - - - - - Other 7,067 19,752 566 24 312 1,116 1,186 - - With prepayment option - - - - - - - - - Other 7,067 19,752 566 24 312 1,116 1,186 - 2.2 Deposits from banks 7,771 18,942 8,564 171 50,798 16 3 - - Current accounts 1,453 - - - - - - - - Other 6,318 18,942 8,564 171 50,798 16 3 - 2.3 Debt secuties in issue 553 13,039 5,594 8,920 20,478 7,706 5,546 - - With prepayment option 33 750 - - - - - - - Other 520 12,289 5,594 8,920 20,478 7,706 5,546 - 2.4 Other liabilities 2 - - - - - - - - With prepayment option - - - - - - - - - Other 2 - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions 650 20,894 10,360 22,640 168,989 156,325 49,362 - + Short positions 350 15,077 10,360 22,890 171,439 157,930 51,177 - - Other derivatives + Long positions 8,146 236,703 27,743 41,483 154,896 54,977 6,178 - + Short positions 4,396 193,897 34,988 63,712 183,814 37,796 7,881 - 4. Other off-balance sheet transactions + Long positions 7 29,291 2,127 2,079 3,196 1,048 815 - + Short positions 13,767 21,125 1,976 1,563 130 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 732 2021 Annual Report and Accounts · UniCredit 2.2 Interest rate and price risk - Banking book Qualitative information Interest rate risk and price risk A. General aspects, operational processes and methods for measuring interest rate risk and price risk Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring interest rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.2 Interest rate risk and price risk - Banking book, Qualitative information, Interest rate risk, which is herewith quoted entirely. Quantitative information 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 27,656 122,409 20,693 19,849 74,124 29,550 13,979 - 1.1 Debt securities 612 13,335 5,300 9,484 39,023 18,181 1,532 - - With prepayment option - - - - - - - - - Other 612 13,335 5,300 9,484 39,023 18,181 1,532 - 1.2 Loans to banks 2,338 20,718 1,063 1,586 1,008 16 - - 1.3 Loans to customers 24,706 88,356 14,330 8,779 34,093 11,353 12,447 - - Current accounts 6,544 7 64 7 153 8 2 - - Other loans 18,162 88,349 14,266 8,772 33,940 11,345 12,445 - - With prepayment option 11,545 51,126 9,594 4,307 22,206 9,477 11,559 - - Other 6,617 37,223 4,672 4,465 11,734 1,868 886 - 2. On-balance sheet liabilities 210,509 51,817 14,725 9,116 71,588 8,838 6,735 - 2.1 Deposits from customers 202,183 19,836 567 25 312 1,116 1,186 - - Current accounts 195,116 84 1 1 - - - - - Other 7,067 19,752 566 24 312 1,116 1,186 - - With prepayment option - - - - - - - - - Other 7,067 19,752 566 24 312 1,116 1,186 - 2.2 Deposits from banks 7,771 18,942 8,564 171 50,798 16 3 - - Current accounts 1,453 - - - - - - - - Other 6,318 18,942 8,564 171 50,798 16 3 - 2.3 Debt secuties in issue 553 13,039 5,594 8,920 20,478 7,706 5,546 - - With prepayment option 33 750 - - - - - - - Other 520 12,289 5,594 8,920 20,478 7,706 5,546 - 2.4 Other liabilities 2 - - - - - - - - With prepayment option - - - - - - - - - Other 2 - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions 650 20,894 10,360 22,640 168,989 156,325 49,362 - + Short positions 350 15,077 10,360 22,890 171,439 157,930 51,177 - - Other derivatives + Long positions 8,146 236,703 27,743 41,483 154,896 54,977 6,178 - + Short positions 4,396 193,897 34,988 63,712 183,814 37,796 7,881 - 4. Other off-balance sheet transactions + Long positions 7 29,291 2,127 2,079 3,196 1,048 815 - + Short positions 13,767 21,125 1,976 1,563 130 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 733 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: euro (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 27,054 117,593 18,863 17,627 66,705 26,738 13,756 - 1.1 Debt securities 584 12,637 5,135 7,539 33,435 15,633 1,357 - - With prepayment option - - - - - - - - - Other 584 12,637 5,135 7,539 33,435 15,633 1,357 - 1.2 Loans to banks 2,337 20,418 946 1,576 221 16 - - 1.3 Loans to customers 24,133 84,538 12,782 8,512 33,049 11,089 12,399 - - Current accounts 6,520 7 61 7 153 8 2 - - Other loans 17,613 84,531 12,721 8,505 32,896 11,081 12,397 - - With prepayment option 11,471 48,779 8,718 4,279 21,852 9,226 11,511 - - Other 6,142 35,752 4,003 4,226 11,044 1,855 886 - 2. On-balance sheet liabilities 204,796 43,283 12,905 9,021 67,965 7,346 2,564 - 2.1 Deposits from customers 198,615 19,735 566 24 312 1,116 1,186 - - Current accounts 191,661 16 - - - - - - - Other 6,954 19,719 566 24 312 1,116 1,186 - - With prepayment option - - - - - - - - - Other 6,954 19,719 566 24 312 1,116 1,186 - 2.2 Deposits from banks 5,760 13,659 8,195 133 50,774 16 3 - - Current accounts 1,312 - - - - - - - - Other 4,448 13,659 8,195 133 50,774 16 3 - 2.3 Debt secuties in issue 419 9,889 4,144 8,864 16,879 6,214 1,375 - - With prepayment option 33 750 - - - - - - - Other 386 9,139 4,144 8,864 16,879 6,214 1,375 - 2.4 Other liabilities 2 - - - - - - - - With prepayment option - - - - - - - - - Other 2 - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions 650 20,871 10,360 22,640 168,702 156,325 49,362 - + Short positions 350 14,837 10,360 22,890 171,439 157,930 51,177 - - Other derivatives + Long positions 7,881 204,930 22,774 39,460 144,982 43,040 6,178 - + Short positions 3,292 167,147 33,092 56,709 167,442 26,373 7,061 - 4. Other off-balance sheet transactions + Long positions 1 29,285 2,127 2,079 3,175 709 800 - + Short positions 13,392 21,118 1,976 1,559 130 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 733 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: euro (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 27,054 117,593 18,863 17,627 66,705 26,738 13,756 - 1.1 Debt securities 584 12,637 5,135 7,539 33,435 15,633 1,357 - - With prepayment option - - - - - - - - - Other 584 12,637 5,135 7,539 33,435 15,633 1,357 - 1.2 Loans to banks 2,337 20,418 946 1,576 221 16 - - 1.3 Loans to customers 24,133 84,538 12,782 8,512 33,049 11,089 12,399 - - Current accounts 6,520 7 61 7 153 8 2 - - Other loans 17,613 84,531 12,721 8,505 32,896 11,081 12,397 - - With prepayment option 11,471 48,779 8,718 4,279 21,852 9,226 11,511 - - Other 6,142 35,752 4,003 4,226 11,044 1,855 886 - 2. On-balance sheet liabilities 204,796 43,283 12,905 9,021 67,965 7,346 2,564 - 2.1 Deposits from customers 198,615 19,735 566 24 312 1,116 1,186 - - Current accounts 191,661 16 - - - - - - - Other 6,954 19,719 566 24 312 1,116 1,186 - - With prepayment option - - - - - - - - - Other 6,954 19,719 566 24 312 1,116 1,186 - 2.2 Deposits from banks 5,760 13,659 8,195 133 50,774 16 3 - - Current accounts 1,312 - - - - - - - - Other 4,448 13,659 8,195 133 50,774 16 3 - 2.3 Debt secuties in issue 419 9,889 4,144 8,864 16,879 6,214 1,375 - - With prepayment option 33 750 - - - - - - - Other 386 9,139 4,144 8,864 16,879 6,214 1,375 - 2.4 Other liabilities 2 - - - - - - - - With prepayment option - - - - - - - - - Other 2 - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions 650 20,871 10,360 22,640 168,702 156,325 49,362 - + Short positions 350 14,837 10,360 22,890 171,439 157,930 51,177 - - Other derivatives + Long positions 7,881 204,930 22,774 39,460 144,982 43,040 6,178 - + Short positions 3,292 167,147 33,092 56,709 167,442 26,373 7,061 - 4. Other off-balance sheet transactions + Long positions 1 29,285 2,127 2,079 3,175 709 800 - + Short positions 13,392 21,118 1,976 1,559 130 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 733 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: euro (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 27,054 117,593 18,863 17,627 66,705 26,738 13,756 - 1.1 Debt securities 584 12,637 5,135 7,539 33,435 15,633 1,357 - - With prepayment option - - - - - - - - - Other 584 12,637 5,135 7,539 33,435 15,633 1,357 - 1.2 Loans to banks 2,337 20,418 946 1,576 221 16 - - 1.3 Loans to customers 24,133 84,538 12,782 8,512 33,049 11,089 12,399 - - Current accounts 6,520 7 61 7 153 8 2 - - Other loans 17,613 84,531 12,721 8,505 32,896 11,081 12,397 - - With prepayment option 11,471 48,779 8,718 4,279 21,852 9,226 11,511 - - Other 6,142 35,752 4,003 4,226 11,044 1,855 886 - 2. On-balance sheet liabilities 204,796 43,283 12,905 9,021 67,965 7,346 2,564 - 2.1 Deposits from customers 198,615 19,735 566 24 312 1,116 1,186 - - Current accounts 191,661 16 - - - - - - - Other 6,954 19,719 566 24 312 1,116 1,186 - - With prepayment option - - - - - - - - - Other 6,954 19,719 566 24 312 1,116 1,186 - 2.2 Deposits from banks 5,760 13,659 8,195 133 50,774 16 3 - - Current accounts 1,312 - - - - - - - - Other 4,448 13,659 8,195 133 50,774 16 3 - 2.3 Debt secuties in issue 419 9,889 4,144 8,864 16,879 6,214 1,375 - - With prepayment option 33 750 - - - - - - - Other 386 9,139 4,144 8,864 16,879 6,214 1,375 - 2.4 Other liabilities 2 - - - - - - - - With prepayment option - - - - - - - - - Other 2 - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions 650 20,871 10,360 22,640 168,702 156,325 49,362 - + Short positions 350 14,837 10,360 22,890 171,439 157,930 51,177 - - Other derivatives + Long positions 7,881 204,930 22,774 39,460 144,982 43,040 6,178 - + Short positions 3,292 167,147 33,092 56,709 167,442 26,373 7,061 - 4. Other off-balance sheet transactions + Long positions 1 29,285 2,127 2,079 3,175 709 800 - + Short positions 13,392 21,118 1,976 1,559 130 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 733 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: euro (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 27,054 117,593 18,863 17,627 66,705 26,738 13,756 - 1.1 Debt securities 584 12,637 5,135 7,539 33,435 15,633 1,357 - - With prepayment option - - - - - - - - - Other 584 12,637 5,135 7,539 33,435 15,633 1,357 - 1.2 Loans to banks 2,337 20,418 946 1,576 221 16 - - 1.3 Loans to customers 24,133 84,538 12,782 8,512 33,049 11,089 12,399 - - Current accounts 6,520 7 61 7 153 8 2 - - Other loans 17,613 84,531 12,721 8,505 32,896 11,081 12,397 - - With prepayment option 11,471 48,779 8,718 4,279 21,852 9,226 11,511 - - Other 6,142 35,752 4,003 4,226 11,044 1,855 886 - 2. On-balance sheet liabilities 204,796 43,283 12,905 9,021 67,965 7,346 2,564 - 2.1 Deposits from customers 198,615 19,735 566 24 312 1,116 1,186 - - Current accounts 191,661 16 - - - - - - - Other 6,954 19,719 566 24 312 1,116 1,186 - - With prepayment option - - - - - - - - - Other 6,954 19,719 566 24 312 1,116 1,186 - 2.2 Deposits from banks 5,760 13,659 8,195 133 50,774 16 3 - - Current accounts 1,312 - - - - - - - - Other 4,448 13,659 8,195 133 50,774 16 3 - 2.3 Debt secuties in issue 419 9,889 4,144 8,864 16,879 6,214 1,375 - - With prepayment option 33 750 - - - - - - - Other 386 9,139 4,144 8,864 16,879 6,214 1,375 - 2.4 Other liabilities 2 - - - - - - - - With prepayment option - - - - - - - - - Other 2 - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions 650 20,871 10,360 22,640 168,702 156,325 49,362 - + Short positions 350 14,837 10,360 22,890 171,439 157,930 51,177 - - Other derivatives + Long positions 7,881 204,930 22,774 39,460 144,982 43,040 6,178 - + Short positions 3,292 167,147 33,092 56,709 167,442 26,373 7,061 - 4. Other off-balance sheet transactions + Long positions 1 29,285 2,127 2,079 3,175 709 800 - + Short positions 13,392 21,118 1,976 1,559 130 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 733 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: euro (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 27,054 117,593 18,863 17,627 66,705 26,738 13,756 - 1.1 Debt securities 584 12,637 5,135 7,539 33,435 15,633 1,357 - - With prepayment option - - - - - - - - - Other 584 12,637 5,135 7,539 33,435 15,633 1,357 - 1.2 Loans to banks 2,337 20,418 946 1,576 221 16 - - 1.3 Loans to customers 24,133 84,538 12,782 8,512 33,049 11,089 12,399 - - Current accounts 6,520 7 61 7 153 8 2 - - Other loans 17,613 84,531 12,721 8,505 32,896 11,081 12,397 - - With prepayment option 11,471 48,779 8,718 4,279 21,852 9,226 11,511 - - Other 6,142 35,752 4,003 4,226 11,044 1,855 886 - 2. On-balance sheet liabilities 204,796 43,283 12,905 9,021 67,965 7,346 2,564 - 2.1 Deposits from customers 198,615 19,735 566 24 312 1,116 1,186 - - Current accounts 191,661 16 - - - - - - - Other 6,954 19,719 566 24 312 1,116 1,186 - - With prepayment option - - - - - - - - - Other 6,954 19,719 566 24 312 1,116 1,186 - 2.2 Deposits from banks 5,760 13,659 8,195 133 50,774 16 3 - - Current accounts 1,312 - - - - - - - - Other 4,448 13,659 8,195 133 50,774 16 3 - 2.3 Debt secuties in issue 419 9,889 4,144 8,864 16,879 6,214 1,375 - - With prepayment option 33 750 - - - - - - - Other 386 9,139 4,144 8,864 16,879 6,214 1,375 - 2.4 Other liabilities 2 - - - - - - - - With prepayment option - - - - - - - - - Other 2 - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions 650 20,871 10,360 22,640 168,702 156,325 49,362 - + Short positions 350 14,837 10,360 22,890 171,439 157,930 51,177 - - Other derivatives + Long positions 7,881 204,930 22,774 39,460 144,982 43,040 6,178 - + Short positions 3,292 167,147 33,092 56,709 167,442 26,373 7,061 - 4. Other off-balance sheet transactions + Long positions 1 29,285 2,127 2,079 3,175 709 800 - + Short positions 13,392 21,118 1,976 1,559 130 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 734 2021 Annual Report and Accounts · UniCredit 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: other currencies (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 602 4,816 1,830 2,222 7,419 2,812 223 - 1.1 Debt securities 28 698 165 1,945 5,588 2,548 175 - - With prepayment option - - - - - - - - - Other 28 698 165 1,945 5,588 2,548 175 - 1.2 Loans to banks 1 300 117 10 787 - - - 1.3 Loans to customers 573 3,818 1,548 267 1,044 264 48 - - Current accounts 24 - 3 - - - - - - Other loans 549 3,818 1,545 267 1,044 264 48 - - With prepayment option 74 2,347 876 28 354 251 48 - - Other 475 1,471 669 239 690 13 - - 2. On-balance sheet liabilities 5,713 8,534 1,820 95 3,623 1,492 4,171 - 2.1 Deposits from customers 3,568 101 1 1 - - - - - Current accounts 3,455 68 1 1 - - - - - Other 113 33 - - - - - - - With prepayment option - - - - - - - - - Other 113 33 - - - - - - 2.2 Deposits from banks 2,011 5,283 369 38 24 - - - - Current accounts 141 - - - - - - - - Other 1,870 5,283 369 38 24 - - - 2.3 Debt secuties in issue 134 3,150 1,450 56 3,599 1,492 4,171 - - With prepayment option - - - - - - - - - Other 134 3,150 1,450 56 3,599 1,492 4,171 - 2.4 Other liabilities - - - - - - - - - With prepayment option - - - - - - - - - Other - - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions - 23 - - 287 - - - + Short positions - 240 - - - - - - - Other derivatives + Long positions 265 31,773 4,969 2,023 9,914 11,937 - - + Short positions 1,104 26,750 1,896 7,003 16,372 11,423 820 - 4. Other off-balance sheet transactions + Long positions 6 6 - - 21 339 15 - + Short positions 375 7 - 4 - - - - 2. Banking book: internal models and other methods for sensitivity analysis Interest Rate Risk As at 31 December 2021, the interest income sensitivity to an immediate and parallel shift of +100bps was +€519 million, whilst the immediate change to a parallel downward shift of interest rate of -100bp (or less, according to the interest rates level of each currency) was equal to -€107 million. The sensitivity of the economic value of shareholders’ equity to an immediate and parallel change in interest rates (“parallel shift”) of +200bps and -200bp was respectively equal to -€1,170 million and -€531 million. The sensitivity to interest rates changes for the worst-of-six “Supervisory Outlier Test”, as envisioned by EBA guideline (EBA/GL/2018/02) was equal to -€1,168 million. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 734 2021 Annual Report and Accounts · UniCredit 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: other currencies (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 602 4,816 1,830 2,222 7,419 2,812 223 - 1.1 Debt securities 28 698 165 1,945 5,588 2,548 175 - - With prepayment option - - - - - - - - - Other 28 698 165 1,945 5,588 2,548 175 - 1.2 Loans to banks 1 300 117 10 787 - - - 1.3 Loans to customers 573 3,818 1,548 267 1,044 264 48 - - Current accounts 24 - 3 - - - - - - Other loans 549 3,818 1,545 267 1,044 264 48 - - With prepayment option 74 2,347 876 28 354 251 48 - - Other 475 1,471 669 239 690 13 - - 2. On-balance sheet liabilities 5,713 8,534 1,820 95 3,623 1,492 4,171 - 2.1 Deposits from customers 3,568 101 1 1 - - - - - Current accounts 3,455 68 1 1 - - - - - Other 113 33 - - - - - - - With prepayment option - - - - - - - - - Other 113 33 - - - - - - 2.2 Deposits from banks 2,011 5,283 369 38 24 - - - - Current accounts 141 - - - - - - - - Other 1,870 5,283 369 38 24 - - - 2.3 Debt secuties in issue 134 3,150 1,450 56 3,599 1,492 4,171 - - With prepayment option - - - - - - - - - Other 134 3,150 1,450 56 3,599 1,492 4,171 - 2.4 Other liabilities - - - - - - - - - With prepayment option - - - - - - - - - Other - - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions - 23 - - 287 - - - + Short positions - 240 - - - - - - - Other derivatives + Long positions 265 31,773 4,969 2,023 9,914 11,937 - - + Short positions 1,104 26,750 1,896 7,003 16,372 11,423 820 - 4. Other off-balance sheet transactions + Long positions 6 6 - - 21 339 15 - + Short positions 375 7 - 4 - - - - 2. Banking book: internal models and other methods for sensitivity analysis Interest Rate Risk As at 31 December 2021, the interest income sensitivity to an immediate and parallel shift of +100bps was +€519 million, whilst the immediate change to a parallel downward shift of interest rate of -100bp (or less, according to the interest rates level of each currency) was equal to -€107 million. The sensitivity of the economic value of shareholders’ equity to an immediate and parallel change in interest rates (“parallel shift”) of +200bps and -200bp was respectively equal to -€1,170 million and -€531 million. The sensitivity to interest rates changes for the worst-of-six “Supervisory Outlier Test”, as envisioned by EBA guideline (EBA/GL/2018/02) was equal to -€1,168 million. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 734 2021 Annual Report and Accounts · UniCredit 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: other currencies (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 602 4,816 1,830 2,222 7,419 2,812 223 - 1.1 Debt securities 28 698 165 1,945 5,588 2,548 175 - - With prepayment option - - - - - - - - - Other 28 698 165 1,945 5,588 2,548 175 - 1.2 Loans to banks 1 300 117 10 787 - - - 1.3 Loans to customers 573 3,818 1,548 267 1,044 264 48 - - Current accounts 24 - 3 - - - - - - Other loans 549 3,818 1,545 267 1,044 264 48 - - With prepayment option 74 2,347 876 28 354 251 48 - - Other 475 1,471 669 239 690 13 - - 2. On-balance sheet liabilities 5,713 8,534 1,820 95 3,623 1,492 4,171 - 2.1 Deposits from customers 3,568 101 1 1 - - - - - Current accounts 3,455 68 1 1 - - - - - Other 113 33 - - - - - - - With prepayment option - - - - - - - - - Other 113 33 - - - - - - 2.2 Deposits from banks 2,011 5,283 369 38 24 - - - - Current accounts 141 - - - - - - - - Other 1,870 5,283 369 38 24 - - - 2.3 Debt secuties in issue 134 3,150 1,450 56 3,599 1,492 4,171 - - With prepayment option - - - - - - - - - Other 134 3,150 1,450 56 3,599 1,492 4,171 - 2.4 Other liabilities - - - - - - - - - With prepayment option - - - - - - - - - Other - - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions - 23 - - 287 - - - + Short positions - 240 - - - - - - - Other derivatives + Long positions 265 31,773 4,969 2,023 9,914 11,937 - - + Short positions 1,104 26,750 1,896 7,003 16,372 11,423 820 - 4. Other off-balance sheet transactions + Long positions 6 6 - - 21 339 15 - + Short positions 375 7 - 4 - - - - 2. Banking book: internal models and other methods for sensitivity analysis Interest Rate Risk As at 31 December 2021, the interest income sensitivity to an immediate and parallel shift of +100bps was +€519 million, whilst the immediate change to a parallel downward shift of interest rate of -100bp (or less, according to the interest rates level of each currency) was equal to -€107 million. The sensitivity of the economic value of shareholders’ equity to an immediate and parallel change in interest rates (“parallel shift”) of +200bps and -200bp was respectively equal to -€1,170 million and -€531 million. The sensitivity to interest rates changes for the worst-of-six “Supervisory Outlier Test”, as envisioned by EBA guideline (EBA/GL/2018/02) was equal to -€1,168 million. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 734 2021 Annual Report and Accounts · UniCredit 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: other currencies (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 602 4,816 1,830 2,222 7,419 2,812 223 - 1.1 Debt securities 28 698 165 1,945 5,588 2,548 175 - - With prepayment option - - - - - - - - - Other 28 698 165 1,945 5,588 2,548 175 - 1.2 Loans to banks 1 300 117 10 787 - - - 1.3 Loans to customers 573 3,818 1,548 267 1,044 264 48 - - Current accounts 24 - 3 - - - - - - Other loans 549 3,818 1,545 267 1,044 264 48 - - With prepayment option 74 2,347 876 28 354 251 48 - - Other 475 1,471 669 239 690 13 - - 2. On-balance sheet liabilities 5,713 8,534 1,820 95 3,623 1,492 4,171 - 2.1 Deposits from customers 3,568 101 1 1 - - - - - Current accounts 3,455 68 1 1 - - - - - Other 113 33 - - - - - - - With prepayment option - - - - - - - - - Other 113 33 - - - - - - 2.2 Deposits from banks 2,011 5,283 369 38 24 - - - - Current accounts 141 - - - - - - - - Other 1,870 5,283 369 38 24 - - - 2.3 Debt secuties in issue 134 3,150 1,450 56 3,599 1,492 4,171 - - With prepayment option - - - - - - - - - Other 134 3,150 1,450 56 3,599 1,492 4,171 - 2.4 Other liabilities - - - - - - - - - With prepayment option - - - - - - - - - Other - - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions - 23 - - 287 - - - + Short positions - 240 - - - - - - - Other derivatives + Long positions 265 31,773 4,969 2,023 9,914 11,937 - - + Short positions 1,104 26,750 1,896 7,003 16,372 11,423 820 - 4. Other off-balance sheet transactions + Long positions 6 6 - - 21 339 15 - + Short positions 375 7 - 4 - - - - 2. Banking book: internal models and other methods for sensitivity analysis Interest Rate Risk As at 31 December 2021, the interest income sensitivity to an immediate and parallel shift of +100bps was +€519 million, whilst the immediate change to a parallel downward shift of interest rate of -100bp (or less, according to the interest rates level of each currency) was equal to -€107 million. The sensitivity of the economic value of shareholders’ equity to an immediate and parallel change in interest rates (“parallel shift”) of +200bps and -200bp was respectively equal to -€1,170 million and -€531 million. The sensitivity to interest rates changes for the worst-of-six “Supervisory Outlier Test”, as envisioned by EBA guideline (EBA/GL/2018/02) was equal to -€1,168 million. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 734 2021 Annual Report and Accounts · UniCredit 1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: other currencies (€ million) AMOUNTS AS AT 12.31.2021 TYPE/RESIDUAL MATURITY ON DEMAND UP TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS 5 TO 10 YEARS OVER 10 YEARS INDEFINITE MATURITY 1. On-balance sheet assets 602 4,816 1,830 2,222 7,419 2,812 223 - 1.1 Debt securities 28 698 165 1,945 5,588 2,548 175 - - With prepayment option - - - - - - - - - Other 28 698 165 1,945 5,588 2,548 175 - 1.2 Loans to banks 1 300 117 10 787 - - - 1.3 Loans to customers 573 3,818 1,548 267 1,044 264 48 - - Current accounts 24 - 3 - - - - - - Other loans 549 3,818 1,545 267 1,044 264 48 - - With prepayment option 74 2,347 876 28 354 251 48 - - Other 475 1,471 669 239 690 13 - - 2. On-balance sheet liabilities 5,713 8,534 1,820 95 3,623 1,492 4,171 - 2.1 Deposits from customers 3,568 101 1 1 - - - - - Current accounts 3,455 68 1 1 - - - - - Other 113 33 - - - - - - - With prepayment option - - - - - - - - - Other 113 33 - - - - - - 2.2 Deposits from banks 2,011 5,283 369 38 24 - - - - Current accounts 141 - - - - - - - - Other 1,870 5,283 369 38 24 - - - 2.3 Debt secuties in issue 134 3,150 1,450 56 3,599 1,492 4,171 - - With prepayment option - - - - - - - - - Other 134 3,150 1,450 56 3,599 1,492 4,171 - 2.4 Other liabilities - - - - - - - - - With prepayment option - - - - - - - - - Other - - - - - - - - 3. Financial derivatives 3.1 With underlying security - Option + Long positions - - - - - - - - + Short positions - - - - - - - - - Other derivates + Long positions - - - - - - - - + Short positions - - - - - - - - 3.2 Without underlying security - Option + Long positions - 23 - - 287 - - - + Short positions - 240 - - - - - - - Other derivatives + Long positions 265 31,773 4,969 2,023 9,914 11,937 - - + Short positions 1,104 26,750 1,896 7,003 16,372 11,423 820 - 4. Other off-balance sheet transactions + Long positions 6 6 - - 21 339 15 - + Short positions 375 7 - 4 - - - - 2. Banking book: internal models and other methods for sensitivity analysis Interest Rate Risk As at 31 December 2021, the interest income sensitivity to an immediate and parallel shift of +100bps was +€519 million, whilst the immediate change to a parallel downward shift of interest rate of -100bp (or less, according to the interest rates level of each currency) was equal to -€107 million. The sensitivity of the economic value of shareholders’ equity to an immediate and parallel change in interest rates (“parallel shift”) of +200bps and -200bp was respectively equal to -€1,170 million and -€531 million. The sensitivity to interest rates changes for the worst-of-six “Supervisory Outlier Test”, as envisioned by EBA guideline (EBA/GL/2018/02) was equal to -€1,168 million. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 735 Template EU IRRBB1 - Interest rate risks of non-trading book activities (€ million) SUPERVISORY SHOCK SCENARIOS a b c d CHANGES OF THE ECONOMIC VALUE OF EQUITY CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 12.31.2021 12.31.2020 1 Parallel up (1,168) 642 519 615 2 Parallel down (532) (1,341) (107) (169) 3 Steepener 91 277 - - 4 Flattener (592) (386) - - 5 Short rates up (719) (46) - - 6 Short rates down 80 (276) - - 2.3 Exchange rate risk Qualitative information A. General aspects, risk management processes and measurement methods Reference is made to the paragraph “A. General aspects, risk management processes and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Qualitative information, which is herewith quoted entirely. B. Hedging exchange rate risk Reference is made to the paragraph “B. Hedging exchange rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Qualitative information, which is herewith quoted entirely. Quantitative information 1. Distribution by currency of assets and liabilities and derivatives (€ million) ITEMS AMOUNTS AS AT 12.31.2021 CURRENCIES U.S. DOLLAR SWITZERLAND FRANC JAPAN YEN BRITISH PUOND CANADIAN DOLLAR OTHER CURRENCIES A. Financial assets 11,991 907 5,716 84 21 1,548 A.1 Debt securities 5,473 - 5,698 1 - - A.2 Equity securities 701 6 - 4 - 229 A.3 Loans to banks 1,136 - 5 - 1 73 A.4 Loans to customers 4,681 901 13 79 20 1,246 A.5 Other financial assets - - - - - - B. Other assets 3,429 10 4 173 6 382 C. Financial liabilities 23,805 56 66 297 34 1,189 C.1 Deposits from banks 6,759 17 5 164 12 768 C.2 Deposits from customers 3,097 39 23 133 22 357 C.3 Debt securities in issue 13,949 - 38 - - 64 C.4 Other financial liabilities - - - - - - D. Other liabilities 174 - - 3 - 4 E. Financial derivatives - Options + Long positions 428 - 6 5 1 248 + Short positions 140 - 6 5 1 464 - Other derivatives + Long positions 46,933 1,431 773 2,364 141 2,982 + Short positions 39,203 2,298 6,366 2,336 140 4,086 Total assets 62,781 2,348 6,499 2,626 169 5,160 Total liabilities 63,322 2,354 6,438 2,641 175 5,743 Difference (+/-) (541) (6) 61 (15) (6) (583) Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 735 Template EU IRRBB1 - Interest rate risks of non-trading book activities (€ million) SUPERVISORY SHOCK SCENARIOS a b c d CHANGES OF THE ECONOMIC VALUE OF EQUITY CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 12.31.2021 12.31.2020 1 Parallel up (1,168) 642 519 615 2 Parallel down (532) (1,341) (107) (169) 3 Steepener 91 277 - - 4 Flattener (592) (386) - - 5 Short rates up (719) (46) - - 6 Short rates down 80 (276) - - 2.3 Exchange rate risk Qualitative information A. General aspects, risk management processes and measurement methods Reference is made to the paragraph “A. General aspects, risk management processes and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Qualitative information, which is herewith quoted entirely. B. Hedging exchange rate risk Reference is made to the paragraph “B. Hedging exchange rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Qualitative information, which is herewith quoted entirely. Quantitative information 1. Distribution by currency of assets and liabilities and derivatives (€ million) ITEMS AMOUNTS AS AT 12.31.2021 CURRENCIES U.S. DOLLAR SWITZERLAND FRANC JAPAN YEN BRITISH PUOND CANADIAN DOLLAR OTHER CURRENCIES A. Financial assets 11,991 907 5,716 84 21 1,548 A.1 Debt securities 5,473 - 5,698 1 - - A.2 Equity securities 701 6 - 4 - 229 A.3 Loans to banks 1,136 - 5 - 1 73 A.4 Loans to customers 4,681 901 13 79 20 1,246 A.5 Other financial assets - - - - - - B. Other assets 3,429 10 4 173 6 382 C. Financial liabilities 23,805 56 66 297 34 1,189 C.1 Deposits from banks 6,759 17 5 164 12 768 C.2 Deposits from customers 3,097 39 23 133 22 357 C.3 Debt securities in issue 13,949 - 38 - - 64 C.4 Other financial liabilities - - - - - - D. Other liabilities 174 - - 3 - 4 E. Financial derivatives - Options + Long positions 428 - 6 5 1 248 + Short positions 140 - 6 5 1 464 - Other derivatives + Long positions 46,933 1,431 773 2,364 141 2,982 + Short positions 39,203 2,298 6,366 2,336 140 4,086 Total assets 62,781 2,348 6,499 2,626 169 5,160 Total liabilities 63,322 2,354 6,438 2,641 175 5,743 Difference (+/-) (541) (6) 61 (15) (6) (583) Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 735 Template EU IRRBB1 - Interest rate risks of non-trading book activities (€ million) SUPERVISORY SHOCK SCENARIOS a b c d CHANGES OF THE ECONOMIC VALUE OF EQUITY CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 12.31.2021 12.31.2020 1 Parallel up (1,168) 642 519 615 2 Parallel down (532) (1,341) (107) (169) 3 Steepener 91 277 - - 4 Flattener (592) (386) - - 5 Short rates up (719) (46) - - 6 Short rates down 80 (276) - - 2.3 Exchange rate risk Qualitative information A. General aspects, risk management processes and measurement methods Reference is made to the paragraph “A. General aspects, risk management processes and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Qualitative information, which is herewith quoted entirely. B. Hedging exchange rate risk Reference is made to the paragraph “B. Hedging exchange rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Qualitative information, which is herewith quoted entirely. Quantitative information 1. Distribution by currency of assets and liabilities and derivatives (€ million) ITEMS AMOUNTS AS AT 12.31.2021 CURRENCIES U.S. DOLLAR SWITZERLAND FRANC JAPAN YEN BRITISH PUOND CANADIAN DOLLAR OTHER CURRENCIES A. Financial assets 11,991 907 5,716 84 21 1,548 A.1 Debt securities 5,473 - 5,698 1 - - A.2 Equity securities 701 6 - 4 - 229 A.3 Loans to banks 1,136 - 5 - 1 73 A.4 Loans to customers 4,681 901 13 79 20 1,246 A.5 Other financial assets - - - - - - B. Other assets 3,429 10 4 173 6 382 C. Financial liabilities 23,805 56 66 297 34 1,189 C.1 Deposits from banks 6,759 17 5 164 12 768 C.2 Deposits from customers 3,097 39 23 133 22 357 C.3 Debt securities in issue 13,949 - 38 - - 64 C.4 Other financial liabilities - - - - - - D. Other liabilities 174 - - 3 - 4 E. Financial derivatives - Options + Long positions 428 - 6 5 1 248 + Short positions 140 - 6 5 1 464 - Other derivatives + Long positions 46,933 1,431 773 2,364 141 2,982 + Short positions 39,203 2,298 6,366 2,336 140 4,086 Total assets 62,781 2,348 6,499 2,626 169 5,160 Total liabilities 63,322 2,354 6,438 2,641 175 5,743 Difference (+/-) (541) (6) 61 (15) (6) (583) Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 735 Template EU IRRBB1 - Interest rate risks of non-trading book activities (€ million) SUPERVISORY SHOCK SCENARIOS a b c d CHANGES OF THE ECONOMIC VALUE OF EQUITY CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 12.31.2021 12.31.2020 1 Parallel up (1,168) 642 519 615 2 Parallel down (532) (1,341) (107) (169) 3 Steepener 91 277 - - 4 Flattener (592) (386) - - 5 Short rates up (719) (46) - - 6 Short rates down 80 (276) - - 2.3 Exchange rate risk Qualitative information A. General aspects, risk management processes and measurement methods Reference is made to the paragraph “A. General aspects, risk management processes and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Qualitative information, which is herewith quoted entirely. B. Hedging exchange rate risk Reference is made to the paragraph “B. Hedging exchange rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Qualitative information, which is herewith quoted entirely. Quantitative information 1. Distribution by currency of assets and liabilities and derivatives (€ million) ITEMS AMOUNTS AS AT 12.31.2021 CURRENCIES U.S. DOLLAR SWITZERLAND FRANC JAPAN YEN BRITISH PUOND CANADIAN DOLLAR OTHER CURRENCIES A. Financial assets 11,991 907 5,716 84 21 1,548 A.1 Debt securities 5,473 - 5,698 1 - - A.2 Equity securities 701 6 - 4 - 229 A.3 Loans to banks 1,136 - 5 - 1 73 A.4 Loans to customers 4,681 901 13 79 20 1,246 A.5 Other financial assets - - - - - - B. Other assets 3,429 10 4 173 6 382 C. Financial liabilities 23,805 56 66 297 34 1,189 C.1 Deposits from banks 6,759 17 5 164 12 768 C.2 Deposits from customers 3,097 39 23 133 22 357 C.3 Debt securities in issue 13,949 - 38 - - 64 C.4 Other financial liabilities - - - - - - D. Other liabilities 174 - - 3 - 4 E. Financial derivatives - Options + Long positions 428 - 6 5 1 248 + Short positions 140 - 6 5 1 464 - Other derivatives + Long positions 46,933 1,431 773 2,364 141 2,982 + Short positions 39,203 2,298 6,366 2,336 140 4,086 Total assets 62,781 2,348 6,499 2,626 169 5,160 Total liabilities 63,322 2,354 6,438 2,641 175 5,743 Difference (+/-) (541) (6) 61 (15) (6) (583) Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 735 Template EU IRRBB1 - Interest rate risks of non-trading book activities (€ million) SUPERVISORY SHOCK SCENARIOS a b c d CHANGES OF THE ECONOMIC VALUE OF EQUITY CHANGES OF THE NET INTEREST INCOME 12.31.2021 12.31.2020 12.31.2021 12.31.2020 1 Parallel up (1,168) 642 519 615 2 Parallel down (532) (1,341) (107) (169) 3 Steepener 91 277 - - 4 Flattener (592) (386) - - 5 Short rates up (719) (46) - - 6 Short rates down 80 (276) - - 2.3 Exchange rate risk Qualitative information A. General aspects, risk management processes and measurement methods Reference is made to the paragraph “A. General aspects, risk management processes and measurement methods” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Qualitative information, which is herewith quoted entirely. B. Hedging exchange rate risk Reference is made to the paragraph “B. Hedging exchange rate risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Qualitative information, which is herewith quoted entirely. Quantitative information 1. Distribution by currency of assets and liabilities and derivatives (€ million) ITEMS AMOUNTS AS AT 12.31.2021 CURRENCIES U.S. DOLLAR SWITZERLAND FRANC JAPAN YEN BRITISH PUOND CANADIAN DOLLAR OTHER CURRENCIES A. Financial assets 11,991 907 5,716 84 21 1,548 A.1 Debt securities 5,473 - 5,698 1 - - A.2 Equity securities 701 6 - 4 - 229 A.3 Loans to banks 1,136 - 5 - 1 73 A.4 Loans to customers 4,681 901 13 79 20 1,246 A.5 Other financial assets - - - - - - B. Other assets 3,429 10 4 173 6 382 C. Financial liabilities 23,805 56 66 297 34 1,189 C.1 Deposits from banks 6,759 17 5 164 12 768 C.2 Deposits from customers 3,097 39 23 133 22 357 C.3 Debt securities in issue 13,949 - 38 - - 64 C.4 Other financial liabilities - - - - - - D. Other liabilities 174 - - 3 - 4 E. Financial derivatives - Options + Long positions 428 - 6 5 1 248 + Short positions 140 - 6 5 1 464 - Other derivatives + Long positions 46,933 1,431 773 2,364 141 2,982 + Short positions 39,203 2,298 6,366 2,336 140 4,086 Total assets 62,781 2,348 6,499 2,626 169 5,160 Total liabilities 63,322 2,354 6,438 2,641 175 5,743 Difference (+/-) (541) (6) 61 (15) (6) (583) Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 736 2021 Annual Report and Accounts · UniCredit 2. Internal models and other methodologies for sensitivity analysis Reference is made to the paragraph “2.Internal models and other methodologies for sensitivity analysis” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Quantitative information, which is herewith quoted entirely. Credit spread risk and Stress test Reference is made to the paragraphs “Credit spread risk” and “Stress test” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, which is herewith quoted entirely. Below, end of year Stress test results. Stress Test on Trading book 30 December 2021 Scenario (€ million) 2021 PANDEMIC SCENARIO PANDEMIC SCENARIO + SOVEREIGN STRESS SEVERE INFLATION UniCredit S.p.A. -11 -11 -24 Section 3 - Derivative instruments and hedging policies 3.1 Trading financial derivatives A. Financial derivatives A.1 Trading financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 46,295 200,730 26,472 1,816 42,191 211,991 22,435 948 a) Options - 9,437 3,101 25 - 8,939 3,013 - b) Swap 46,295 191,293 20,464 - 42,191 203,052 19,082 - c) Forward - - - - - - 7 - d) Futures - - 2,907 1,791 - - 333 948 e) Other - - - - - - - - 2. Equity instruments and stock indexes - 9,246 7 - - 34,570 16 - a) Options - 9,246 7 - - 34,570 16 - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies - 68,294 4,159 - - 67,912 3,306 - a) Options - 7,968 1,279 - - 8,377 874 - b) Swap - 14,599 79 - - 13,754 68 - c) Forward - 45,727 2,801 - - 45,781 2,364 - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - 5,088 410 - - 3,069 272 - 5. Other - - - - - - - - Total 46,295 283,358 31,048 1,816 42,191 317,542 26,029 948 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 736 2021 Annual Report and Accounts · UniCredit 2. Internal models and other methodologies for sensitivity analysis Reference is made to the paragraph “2.Internal models and other methodologies for sensitivity analysis” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Quantitative information, which is herewith quoted entirely. Credit spread risk and Stress test Reference is made to the paragraphs “Credit spread risk” and “Stress test” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, which is herewith quoted entirely. Below, end of year Stress test results. Stress Test on Trading book 30 December 2021 Scenario (€ million) 2021 PANDEMIC SCENARIO PANDEMIC SCENARIO + SOVEREIGN STRESS SEVERE INFLATION UniCredit S.p.A. -11 -11 -24 Section 3 - Derivative instruments and hedging policies 3.1 Trading financial derivatives A. Financial derivatives A.1 Trading financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 46,295 200,730 26,472 1,816 42,191 211,991 22,435 948 a) Options - 9,437 3,101 25 - 8,939 3,013 - b) Swap 46,295 191,293 20,464 - 42,191 203,052 19,082 - c) Forward - - - - - - 7 - d) Futures - - 2,907 1,791 - - 333 948 e) Other - - - - - - - - 2. Equity instruments and stock indexes - 9,246 7 - - 34,570 16 - a) Options - 9,246 7 - - 34,570 16 - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies - 68,294 4,159 - - 67,912 3,306 - a) Options - 7,968 1,279 - - 8,377 874 - b) Swap - 14,599 79 - - 13,754 68 - c) Forward - 45,727 2,801 - - 45,781 2,364 - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - 5,088 410 - - 3,069 272 - 5. Other - - - - - - - - Total 46,295 283,358 31,048 1,816 42,191 317,542 26,029 948 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 736 2021 Annual Report and Accounts · UniCredit 2. Internal models and other methodologies for sensitivity analysis Reference is made to the paragraph “2.Internal models and other methodologies for sensitivity analysis” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Quantitative information, which is herewith quoted entirely. Credit spread risk and Stress test Reference is made to the paragraphs “Credit spread risk” and “Stress test” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, which is herewith quoted entirely. Below, end of year Stress test results. Stress Test on Trading book 30 December 2021 Scenario (€ million) 2021 PANDEMIC SCENARIO PANDEMIC SCENARIO + SOVEREIGN STRESS SEVERE INFLATION UniCredit S.p.A. -11 -11 -24 Section 3 - Derivative instruments and hedging policies 3.1 Trading financial derivatives A. Financial derivatives A.1 Trading financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 46,295 200,730 26,472 1,816 42,191 211,991 22,435 948 a) Options - 9,437 3,101 25 - 8,939 3,013 - b) Swap 46,295 191,293 20,464 - 42,191 203,052 19,082 - c) Forward - - - - - - 7 - d) Futures - - 2,907 1,791 - - 333 948 e) Other - - - - - - - - 2. Equity instruments and stock indexes - 9,246 7 - - 34,570 16 - a) Options - 9,246 7 - - 34,570 16 - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies - 68,294 4,159 - - 67,912 3,306 - a) Options - 7,968 1,279 - - 8,377 874 - b) Swap - 14,599 79 - - 13,754 68 - c) Forward - 45,727 2,801 - - 45,781 2,364 - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - 5,088 410 - - 3,069 272 - 5. Other - - - - - - - - Total 46,295 283,358 31,048 1,816 42,191 317,542 26,029 948 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 736 2021 Annual Report and Accounts · UniCredit 2. Internal models and other methodologies for sensitivity analysis Reference is made to the paragraph “2.Internal models and other methodologies for sensitivity analysis” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Quantitative information, which is herewith quoted entirely. Credit spread risk and Stress test Reference is made to the paragraphs “Credit spread risk” and “Stress test” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, which is herewith quoted entirely. Below, end of year Stress test results. Stress Test on Trading book 30 December 2021 Scenario (€ million) 2021 PANDEMIC SCENARIO PANDEMIC SCENARIO + SOVEREIGN STRESS SEVERE INFLATION UniCredit S.p.A. -11 -11 -24 Section 3 - Derivative instruments and hedging policies 3.1 Trading financial derivatives A. Financial derivatives A.1 Trading financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 46,295 200,730 26,472 1,816 42,191 211,991 22,435 948 a) Options - 9,437 3,101 25 - 8,939 3,013 - b) Swap 46,295 191,293 20,464 - 42,191 203,052 19,082 - c) Forward - - - - - - 7 - d) Futures - - 2,907 1,791 - - 333 948 e) Other - - - - - - - - 2. Equity instruments and stock indexes - 9,246 7 - - 34,570 16 - a) Options - 9,246 7 - - 34,570 16 - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies - 68,294 4,159 - - 67,912 3,306 - a) Options - 7,968 1,279 - - 8,377 874 - b) Swap - 14,599 79 - - 13,754 68 - c) Forward - 45,727 2,801 - - 45,781 2,364 - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - 5,088 410 - - 3,069 272 - 5. Other - - - - - - - - Total 46,295 283,358 31,048 1,816 42,191 317,542 26,029 948 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 736 2021 Annual Report and Accounts · UniCredit 2. Internal models and other methodologies for sensitivity analysis Reference is made to the paragraph “2.Internal models and other methodologies for sensitivity analysis” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, Quantitative information, which is herewith quoted entirely. Credit spread risk and Stress test Reference is made to the paragraphs “Credit spread risk” and “Stress test” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.2 Market risk, 2.2.3 Exchange rate risk, which is herewith quoted entirely. Below, end of year Stress test results. Stress Test on Trading book 30 December 2021 Scenario (€ million) 2021 PANDEMIC SCENARIO PANDEMIC SCENARIO + SOVEREIGN STRESS SEVERE INFLATION UniCredit S.p.A. -11 -11 -24 Section 3 - Derivative instruments and hedging policies 3.1 Trading financial derivatives A. Financial derivatives A.1 Trading financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 46,295 200,730 26,472 1,816 42,191 211,991 22,435 948 a) Options - 9,437 3,101 25 - 8,939 3,013 - b) Swap 46,295 191,293 20,464 - 42,191 203,052 19,082 - c) Forward - - - - - - 7 - d) Futures - - 2,907 1,791 - - 333 948 e) Other - - - - - - - - 2. Equity instruments and stock indexes - 9,246 7 - - 34,570 16 - a) Options - 9,246 7 - - 34,570 16 - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies - 68,294 4,159 - - 67,912 3,306 - a) Options - 7,968 1,279 - - 8,377 874 - b) Swap - 14,599 79 - - 13,754 68 - c) Forward - 45,727 2,801 - - 45,781 2,364 - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - 5,088 410 - - 3,069 272 - 5. Other - - - - - - - - Total 46,295 283,358 31,048 1,816 42,191 317,542 26,029 948 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 737 A.2 Trading financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 411 26 - - 416 46 - b) Interest rate swap 1,301 3,606 293 - 415 3,363 572 - c) Cross currency swap - 1,132 - - - 806 - - d) Equity swap - - - - - - - - e) Forward - 588 47 - - 852 42 - f) Futures - - - 1 - - - - g) Other - 1,276 60 - - 259 21 - Total 1,301 7,013 426 1 415 5,696 681 - 2. Negative fair value a) Options - 160 55 - - 249 35 - b) Interest rate swap 1,747 3,747 22 - 344 4,370 6 - c) Cross currency swap - 1,135 13 - - 822 11 - d) Equity swap - - - - - - - - e) Forward - 541 21 - - 811 34 - f) Futures - - - 11 - - 1 1 g) Other - 1,158 177 - - 262 18 - Total 1,747 6,741 288 11 344 6,514 105 1 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 737 A.2 Trading financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 411 26 - - 416 46 - b) Interest rate swap 1,301 3,606 293 - 415 3,363 572 - c) Cross currency swap - 1,132 - - - 806 - - d) Equity swap - - - - - - - - e) Forward - 588 47 - - 852 42 - f) Futures - - - 1 - - - - g) Other - 1,276 60 - - 259 21 - Total 1,301 7,013 426 1 415 5,696 681 - 2. Negative fair value a) Options - 160 55 - - 249 35 - b) Interest rate swap 1,747 3,747 22 - 344 4,370 6 - c) Cross currency swap - 1,135 13 - - 822 11 - d) Equity swap - - - - - - - - e) Forward - 541 21 - - 811 34 - f) Futures - - - 11 - - 1 1 g) Other - 1,158 177 - - 262 18 - Total 1,747 6,741 288 11 344 6,514 105 1 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 737 A.2 Trading financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 411 26 - - 416 46 - b) Interest rate swap 1,301 3,606 293 - 415 3,363 572 - c) Cross currency swap - 1,132 - - - 806 - - d) Equity swap - - - - - - - - e) Forward - 588 47 - - 852 42 - f) Futures - - - 1 - - - - g) Other - 1,276 60 - - 259 21 - Total 1,301 7,013 426 1 415 5,696 681 - 2. Negative fair value a) Options - 160 55 - - 249 35 - b) Interest rate swap 1,747 3,747 22 - 344 4,370 6 - c) Cross currency swap - 1,135 13 - - 822 11 - d) Equity swap - - - - - - - - e) Forward - 541 21 - - 811 34 - f) Futures - - - 11 - - 1 1 g) Other - 1,158 177 - - 262 18 - Total 1,747 6,741 288 11 344 6,514 105 1 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 737 A.2 Trading financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 411 26 - - 416 46 - b) Interest rate swap 1,301 3,606 293 - 415 3,363 572 - c) Cross currency swap - 1,132 - - - 806 - - d) Equity swap - - - - - - - - e) Forward - 588 47 - - 852 42 - f) Futures - - - 1 - - - - g) Other - 1,276 60 - - 259 21 - Total 1,301 7,013 426 1 415 5,696 681 - 2. Negative fair value a) Options - 160 55 - - 249 35 - b) Interest rate swap 1,747 3,747 22 - 344 4,370 6 - c) Cross currency swap - 1,135 13 - - 822 11 - d) Equity swap - - - - - - - - e) Forward - 541 21 - - 811 34 - f) Futures - - - 11 - - 1 1 g) Other - 1,158 177 - - 262 18 - Total 1,747 6,741 288 11 344 6,514 105 1 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 737 A.2 Trading financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 411 26 - - 416 46 - b) Interest rate swap 1,301 3,606 293 - 415 3,363 572 - c) Cross currency swap - 1,132 - - - 806 - - d) Equity swap - - - - - - - - e) Forward - 588 47 - - 852 42 - f) Futures - - - 1 - - - - g) Other - 1,276 60 - - 259 21 - Total 1,301 7,013 426 1 415 5,696 681 - 2. Negative fair value a) Options - 160 55 - - 249 35 - b) Interest rate swap 1,747 3,747 22 - 344 4,370 6 - c) Cross currency swap - 1,135 13 - - 822 11 - d) Equity swap - - - - - - - - e) Forward - 541 21 - - 811 34 - f) Futures - - - 11 - - 1 1 g) Other - 1,158 177 - - 262 18 - Total 1,747 6,741 288 11 344 6,514 105 1 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 738 2021 Annual Report and Accounts · UniCredit A.3 OTC trading financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 2,922 1,475 22,074 - Positive fair value X - 43 260 - Negative fair value X 2 - 31 2) Equity instruments and stock indexes - Notional amount X - - 7 - Positive fair value X - 1 5 - Negative fair value X - - 18 3) Gold and currencies - Notional amount X 340 18 3,802 - Positive fair value X - - 57 - Negative fair value X - - 59 4) Commodities - Notional amount X - - 410 - Positive fair value X - - 60 - Negative fair value X - - 178 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 46,295 166,575 19,551 14,605 - Positive fair value 1,301 2,784 348 505 - Negative fair value 1,747 3,284 332 160 2) Equity instruments and stock indexes - Notional amount - 9,246 - - - Positive fair value - 285 - - - Negative fair value - 67 - - 3) Gold and currencies - Notional amount - 53,707 6,308 8,277 - Positive fair value - 1,126 56 631 - Negative fair value - 1,478 89 171 4) Commodities - Notional amount - 2,781 565 1,743 - Positive fair value - 945 7 326 - Negative fair value - 485 115 560 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - A.4 OTC financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 61,709 152,542 59,245 273,496 A.2 Financial derivative contracts on equity securities and stock indexes 1,345 6,166 1,742 9,253 A.3 Financial derivative contracts on exchange rates and hold 53,459 14,767 4,229 72,455 A.4 Financial derivative contracts on other values 4,586 904 9 5,499 A.5 Other financial derivatives - - - - Total 12.31.2021 121,099 174,379 65,225 360,703 Total 12.31.2020 131,077 186,244 68,443 385,764 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 738 2021 Annual Report and Accounts · UniCredit A.3 OTC trading financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 2,922 1,475 22,074 - Positive fair value X - 43 260 - Negative fair value X 2 - 31 2) Equity instruments and stock indexes - Notional amount X - - 7 - Positive fair value X - 1 5 - Negative fair value X - - 18 3) Gold and currencies - Notional amount X 340 18 3,802 - Positive fair value X - - 57 - Negative fair value X - - 59 4) Commodities - Notional amount X - - 410 - Positive fair value X - - 60 - Negative fair value X - - 178 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 46,295 166,575 19,551 14,605 - Positive fair value 1,301 2,784 348 505 - Negative fair value 1,747 3,284 332 160 2) Equity instruments and stock indexes - Notional amount - 9,246 - - - Positive fair value - 285 - - - Negative fair value - 67 - - 3) Gold and currencies - Notional amount - 53,707 6,308 8,277 - Positive fair value - 1,126 56 631 - Negative fair value - 1,478 89 171 4) Commodities - Notional amount - 2,781 565 1,743 - Positive fair value - 945 7 326 - Negative fair value - 485 115 560 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - A.4 OTC financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 61,709 152,542 59,245 273,496 A.2 Financial derivative contracts on equity securities and stock indexes 1,345 6,166 1,742 9,253 A.3 Financial derivative contracts on exchange rates and hold 53,459 14,767 4,229 72,455 A.4 Financial derivative contracts on other values 4,586 904 9 5,499 A.5 Other financial derivatives - - - - Total 12.31.2021 121,099 174,379 65,225 360,703 Total 12.31.2020 131,077 186,244 68,443 385,764 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 738 2021 Annual Report and Accounts · UniCredit A.3 OTC trading financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 2,922 1,475 22,074 - Positive fair value X - 43 260 - Negative fair value X 2 - 31 2) Equity instruments and stock indexes - Notional amount X - - 7 - Positive fair value X - 1 5 - Negative fair value X - - 18 3) Gold and currencies - Notional amount X 340 18 3,802 - Positive fair value X - - 57 - Negative fair value X - - 59 4) Commodities - Notional amount X - - 410 - Positive fair value X - - 60 - Negative fair value X - - 178 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 46,295 166,575 19,551 14,605 - Positive fair value 1,301 2,784 348 505 - Negative fair value 1,747 3,284 332 160 2) Equity instruments and stock indexes - Notional amount - 9,246 - - - Positive fair value - 285 - - - Negative fair value - 67 - - 3) Gold and currencies - Notional amount - 53,707 6,308 8,277 - Positive fair value - 1,126 56 631 - Negative fair value - 1,478 89 171 4) Commodities - Notional amount - 2,781 565 1,743 - Positive fair value - 945 7 326 - Negative fair value - 485 115 560 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - A.4 OTC financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 61,709 152,542 59,245 273,496 A.2 Financial derivative contracts on equity securities and stock indexes 1,345 6,166 1,742 9,253 A.3 Financial derivative contracts on exchange rates and hold 53,459 14,767 4,229 72,455 A.4 Financial derivative contracts on other values 4,586 904 9 5,499 A.5 Other financial derivatives - - - - Total 12.31.2021 121,099 174,379 65,225 360,703 Total 12.31.2020 131,077 186,244 68,443 385,764 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 738 2021 Annual Report and Accounts · UniCredit A.3 OTC trading financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 2,922 1,475 22,074 - Positive fair value X - 43 260 - Negative fair value X 2 - 31 2) Equity instruments and stock indexes - Notional amount X - - 7 - Positive fair value X - 1 5 - Negative fair value X - - 18 3) Gold and currencies - Notional amount X 340 18 3,802 - Positive fair value X - - 57 - Negative fair value X - - 59 4) Commodities - Notional amount X - - 410 - Positive fair value X - - 60 - Negative fair value X - - 178 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 46,295 166,575 19,551 14,605 - Positive fair value 1,301 2,784 348 505 - Negative fair value 1,747 3,284 332 160 2) Equity instruments and stock indexes - Notional amount - 9,246 - - - Positive fair value - 285 - - - Negative fair value - 67 - - 3) Gold and currencies - Notional amount - 53,707 6,308 8,277 - Positive fair value - 1,126 56 631 - Negative fair value - 1,478 89 171 4) Commodities - Notional amount - 2,781 565 1,743 - Positive fair value - 945 7 326 - Negative fair value - 485 115 560 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - A.4 OTC financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 61,709 152,542 59,245 273,496 A.2 Financial derivative contracts on equity securities and stock indexes 1,345 6,166 1,742 9,253 A.3 Financial derivative contracts on exchange rates and hold 53,459 14,767 4,229 72,455 A.4 Financial derivative contracts on other values 4,586 904 9 5,499 A.5 Other financial derivatives - - - - Total 12.31.2021 121,099 174,379 65,225 360,703 Total 12.31.2020 131,077 186,244 68,443 385,764 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 738 2021 Annual Report and Accounts · UniCredit A.3 OTC trading financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 2,922 1,475 22,074 - Positive fair value X - 43 260 - Negative fair value X 2 - 31 2) Equity instruments and stock indexes - Notional amount X - - 7 - Positive fair value X - 1 5 - Negative fair value X - - 18 3) Gold and currencies - Notional amount X 340 18 3,802 - Positive fair value X - - 57 - Negative fair value X - - 59 4) Commodities - Notional amount X - - 410 - Positive fair value X - - 60 - Negative fair value X - - 178 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 46,295 166,575 19,551 14,605 - Positive fair value 1,301 2,784 348 505 - Negative fair value 1,747 3,284 332 160 2) Equity instruments and stock indexes - Notional amount - 9,246 - - - Positive fair value - 285 - - - Negative fair value - 67 - - 3) Gold and currencies - Notional amount - 53,707 6,308 8,277 - Positive fair value - 1,126 56 631 - Negative fair value - 1,478 89 171 4) Commodities - Notional amount - 2,781 565 1,743 - Positive fair value - 945 7 326 - Negative fair value - 485 115 560 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - A.4 OTC financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 61,709 152,542 59,245 273,496 A.2 Financial derivative contracts on equity securities and stock indexes 1,345 6,166 1,742 9,253 A.3 Financial derivative contracts on exchange rates and hold 53,459 14,767 4,229 72,455 A.4 Financial derivative contracts on other values 4,586 904 9 5,499 A.5 Other financial derivatives - - - - Total 12.31.2021 121,099 174,379 65,225 360,703 Total 12.31.2020 131,077 186,244 68,443 385,764 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 739 B. Credit derivatives No data to be disclosed. 3.2 Hedging policies Qualitative information Hedging transactions are used to manage the exposure to market risks and volatility of financial outcomes that arise as part of our normal business operations and are executed in accordance with internal policies. Derivatives are mainly used to manage the banking book interest rate risk with the following goals: • to reduce banking book interest rate risk profile according to Risk Appetite Framework approved by the Board of Directors and limits defined by relevant Committees or risk functions. Within Risk Appetite Framework, the banking book exposure to interest rate risk is defined either in terms of Net Interest Income Sensitivity or Economic Value Sensitivity; • to optimise the natural hedge between the risk profile of assets and liabilities using derivatives to manage the mismatch, even temporary, between the volume and the rates of assets and liabilities with different repricing schedules; • to minimise the net exposure of derivatives used as economic hedges of the most stable portion of either assets or liabilities subject to hedge accounting, thereby reducing the associated transaction cost. A. Fair value hedging activities The objective of fair value hedge on assets/liabilities is to hedge the exposure to changes in fair value coming from the embedded risk factor subject to a hedging transaction. The fair value hedge is applied both for identified financial instruments (securities, debt issues, loans, borrowings) and for portfolios of financial instruments (in particular, fixed rate loans and non-maturity deposits or other fixed rate liabilities). The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. The hedging strategy on identified financial instruments classified as Held-to-Collect (HTC) and Held-to-Collect & Sell (HTCS) considers the contractual features of each instruments and business intent. The hedging strategy on portfolios of financial instruments refers to the amounts of money contained in the portfolio of interest rate exposures that are not already subject to "micro/specific" hedging and mirrors to the nominal amount and financial conditions of hedging derivatives. The objective of fair value hedge on assets/liabilities denominated in foreign currency could refer to hedge the exposure to changes in fair value by converting to Euro denominated assets/liabilities. The hedging instruments used mainly consist of interest rate swaps, basis swaps, caps, floors, and cross currencies swaps. B. Cash flow hedging activities The objective of cash flow hedge on floating rate assets/liabilities is to hedge the exposure to changes in cash flows from borrowings/lending that bear a floating interest rate. The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. Cash flow hedges are particularly used to hedge interest rate risk on floating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. The hedging instruments used mainly consist of interest rate swaps, caps, floors, cross-currency swaps with a maturity up to 20-30 years for some commercial hedged assets. C. Foreign net investments hedge activities No hedging strategy is in place on an investment in entities whose functional currency differs from the Bank’s functional currency. The Bank put in place some economic hedges on forecasted foreign currency revenues stemming from those entities. The objective of the economic hedge is to reduce the volatility on the income statement coming from the foreign exchange risks. FX risk on forecasted foreign currency revenues is continuously monitored and hedging strategies are periodically assessed. The hedging strategy and the percentage to be hedged is defined on a case-by-case basis considering, inter alia, the diversification effect and taking into account the volatility and correlation in the FX rates. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 739 B. Credit derivatives No data to be disclosed. 3.2 Hedging policies Qualitative information Hedging transactions are used to manage the exposure to market risks and volatility of financial outcomes that arise as part of our normal business operations and are executed in accordance with internal policies. Derivatives are mainly used to manage the banking book interest rate risk with the following goals: • to reduce banking book interest rate risk profile according to Risk Appetite Framework approved by the Board of Directors and limits defined by relevant Committees or risk functions. Within Risk Appetite Framework, the banking book exposure to interest rate risk is defined either in terms of Net Interest Income Sensitivity or Economic Value Sensitivity; • to optimise the natural hedge between the risk profile of assets and liabilities using derivatives to manage the mismatch, even temporary, between the volume and the rates of assets and liabilities with different repricing schedules; • to minimise the net exposure of derivatives used as economic hedges of the most stable portion of either assets or liabilities subject to hedge accounting, thereby reducing the associated transaction cost. A. Fair value hedging activities The objective of fair value hedge on assets/liabilities is to hedge the exposure to changes in fair value coming from the embedded risk factor subject to a hedging transaction. The fair value hedge is applied both for identified financial instruments (securities, debt issues, loans, borrowings) and for portfolios of financial instruments (in particular, fixed rate loans and non-maturity deposits or other fixed rate liabilities). The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. The hedging strategy on identified financial instruments classified as Held-to-Collect (HTC) and Held-to-Collect & Sell (HTCS) considers the contractual features of each instruments and business intent. The hedging strategy on portfolios of financial instruments refers to the amounts of money contained in the portfolio of interest rate exposures that are not already subject to "micro/specific" hedging and mirrors to the nominal amount and financial conditions of hedging derivatives. The objective of fair value hedge on assets/liabilities denominated in foreign currency could refer to hedge the exposure to changes in fair value by converting to Euro denominated assets/liabilities. The hedging instruments used mainly consist of interest rate swaps, basis swaps, caps, floors, and cross currencies swaps. B. Cash flow hedging activities The objective of cash flow hedge on floating rate assets/liabilities is to hedge the exposure to changes in cash flows from borrowings/lending that bear a floating interest rate. The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. Cash flow hedges are particularly used to hedge interest rate risk on floating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. The hedging instruments used mainly consist of interest rate swaps, caps, floors, cross-currency swaps with a maturity up to 20-30 years for some commercial hedged assets. C. Foreign net investments hedge activities No hedging strategy is in place on an investment in entities whose functional currency differs from the Bank’s functional currency. The Bank put in place some economic hedges on forecasted foreign currency revenues stemming from those entities. The objective of the economic hedge is to reduce the volatility on the income statement coming from the foreign exchange risks. FX risk on forecasted foreign currency revenues is continuously monitored and hedging strategies are periodically assessed. The hedging strategy and the percentage to be hedged is defined on a case-by-case basis considering, inter alia, the diversification effect and taking into account the volatility and correlation in the FX rates. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 739 B. Credit derivatives No data to be disclosed. 3.2 Hedging policies Qualitative information Hedging transactions are used to manage the exposure to market risks and volatility of financial outcomes that arise as part of our normal business operations and are executed in accordance with internal policies. Derivatives are mainly used to manage the banking book interest rate risk with the following goals: • to reduce banking book interest rate risk profile according to Risk Appetite Framework approved by the Board of Directors and limits defined by relevant Committees or risk functions. Within Risk Appetite Framework, the banking book exposure to interest rate risk is defined either in terms of Net Interest Income Sensitivity or Economic Value Sensitivity; • to optimise the natural hedge between the risk profile of assets and liabilities using derivatives to manage the mismatch, even temporary, between the volume and the rates of assets and liabilities with different repricing schedules; • to minimise the net exposure of derivatives used as economic hedges of the most stable portion of either assets or liabilities subject to hedge accounting, thereby reducing the associated transaction cost. A. Fair value hedging activities The objective of fair value hedge on assets/liabilities is to hedge the exposure to changes in fair value coming from the embedded risk factor subject to a hedging transaction. The fair value hedge is applied both for identified financial instruments (securities, debt issues, loans, borrowings) and for portfolios of financial instruments (in particular, fixed rate loans and non-maturity deposits or other fixed rate liabilities). The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. The hedging strategy on identified financial instruments classified as Held-to-Collect (HTC) and Held-to-Collect & Sell (HTCS) considers the contractual features of each instruments and business intent. The hedging strategy on portfolios of financial instruments refers to the amounts of money contained in the portfolio of interest rate exposures that are not already subject to "micro/specific" hedging and mirrors to the nominal amount and financial conditions of hedging derivatives. The objective of fair value hedge on assets/liabilities denominated in foreign currency could refer to hedge the exposure to changes in fair value by converting to Euro denominated assets/liabilities. The hedging instruments used mainly consist of interest rate swaps, basis swaps, caps, floors, and cross currencies swaps. B. Cash flow hedging activities The objective of cash flow hedge on floating rate assets/liabilities is to hedge the exposure to changes in cash flows from borrowings/lending that bear a floating interest rate. The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. Cash flow hedges are particularly used to hedge interest rate risk on floating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. The hedging instruments used mainly consist of interest rate swaps, caps, floors, cross-currency swaps with a maturity up to 20-30 years for some commercial hedged assets. C. Foreign net investments hedge activities No hedging strategy is in place on an investment in entities whose functional currency differs from the Bank’s functional currency. The Bank put in place some economic hedges on forecasted foreign currency revenues stemming from those entities. The objective of the economic hedge is to reduce the volatility on the income statement coming from the foreign exchange risks. FX risk on forecasted foreign currency revenues is continuously monitored and hedging strategies are periodically assessed. The hedging strategy and the percentage to be hedged is defined on a case-by-case basis considering, inter alia, the diversification effect and taking into account the volatility and correlation in the FX rates. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 739 B. Credit derivatives No data to be disclosed. 3.2 Hedging policies Qualitative information Hedging transactions are used to manage the exposure to market risks and volatility of financial outcomes that arise as part of our normal business operations and are executed in accordance with internal policies. Derivatives are mainly used to manage the banking book interest rate risk with the following goals: • to reduce banking book interest rate risk profile according to Risk Appetite Framework approved by the Board of Directors and limits defined by relevant Committees or risk functions. Within Risk Appetite Framework, the banking book exposure to interest rate risk is defined either in terms of Net Interest Income Sensitivity or Economic Value Sensitivity; • to optimise the natural hedge between the risk profile of assets and liabilities using derivatives to manage the mismatch, even temporary, between the volume and the rates of assets and liabilities with different repricing schedules; • to minimise the net exposure of derivatives used as economic hedges of the most stable portion of either assets or liabilities subject to hedge accounting, thereby reducing the associated transaction cost. A. Fair value hedging activities The objective of fair value hedge on assets/liabilities is to hedge the exposure to changes in fair value coming from the embedded risk factor subject to a hedging transaction. The fair value hedge is applied both for identified financial instruments (securities, debt issues, loans, borrowings) and for portfolios of financial instruments (in particular, fixed rate loans and non-maturity deposits or other fixed rate liabilities). The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. The hedging strategy on identified financial instruments classified as Held-to-Collect (HTC) and Held-to-Collect & Sell (HTCS) considers the contractual features of each instruments and business intent. The hedging strategy on portfolios of financial instruments refers to the amounts of money contained in the portfolio of interest rate exposures that are not already subject to "micro/specific" hedging and mirrors to the nominal amount and financial conditions of hedging derivatives. The objective of fair value hedge on assets/liabilities denominated in foreign currency could refer to hedge the exposure to changes in fair value by converting to Euro denominated assets/liabilities. The hedging instruments used mainly consist of interest rate swaps, basis swaps, caps, floors, and cross currencies swaps. B. Cash flow hedging activities The objective of cash flow hedge on floating rate assets/liabilities is to hedge the exposure to changes in cash flows from borrowings/lending that bear a floating interest rate. The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. Cash flow hedges are particularly used to hedge interest rate risk on floating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. The hedging instruments used mainly consist of interest rate swaps, caps, floors, cross-currency swaps with a maturity up to 20-30 years for some commercial hedged assets. C. Foreign net investments hedge activities No hedging strategy is in place on an investment in entities whose functional currency differs from the Bank’s functional currency. The Bank put in place some economic hedges on forecasted foreign currency revenues stemming from those entities. The objective of the economic hedge is to reduce the volatility on the income statement coming from the foreign exchange risks. FX risk on forecasted foreign currency revenues is continuously monitored and hedging strategies are periodically assessed. The hedging strategy and the percentage to be hedged is defined on a case-by-case basis considering, inter alia, the diversification effect and taking into account the volatility and correlation in the FX rates. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 739 B. Credit derivatives No data to be disclosed. 3.2 Hedging policies Qualitative information Hedging transactions are used to manage the exposure to market risks and volatility of financial outcomes that arise as part of our normal business operations and are executed in accordance with internal policies. Derivatives are mainly used to manage the banking book interest rate risk with the following goals: • to reduce banking book interest rate risk profile according to Risk Appetite Framework approved by the Board of Directors and limits defined by relevant Committees or risk functions. Within Risk Appetite Framework, the banking book exposure to interest rate risk is defined either in terms of Net Interest Income Sensitivity or Economic Value Sensitivity; • to optimise the natural hedge between the risk profile of assets and liabilities using derivatives to manage the mismatch, even temporary, between the volume and the rates of assets and liabilities with different repricing schedules; • to minimise the net exposure of derivatives used as economic hedges of the most stable portion of either assets or liabilities subject to hedge accounting, thereby reducing the associated transaction cost. A. Fair value hedging activities The objective of fair value hedge on assets/liabilities is to hedge the exposure to changes in fair value coming from the embedded risk factor subject to a hedging transaction. The fair value hedge is applied both for identified financial instruments (securities, debt issues, loans, borrowings) and for portfolios of financial instruments (in particular, fixed rate loans and non-maturity deposits or other fixed rate liabilities). The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. The hedging strategy on identified financial instruments classified as Held-to-Collect (HTC) and Held-to-Collect & Sell (HTCS) considers the contractual features of each instruments and business intent. The hedging strategy on portfolios of financial instruments refers to the amounts of money contained in the portfolio of interest rate exposures that are not already subject to "micro/specific" hedging and mirrors to the nominal amount and financial conditions of hedging derivatives. The objective of fair value hedge on assets/liabilities denominated in foreign currency could refer to hedge the exposure to changes in fair value by converting to Euro denominated assets/liabilities. The hedging instruments used mainly consist of interest rate swaps, basis swaps, caps, floors, and cross currencies swaps. B. Cash flow hedging activities The objective of cash flow hedge on floating rate assets/liabilities is to hedge the exposure to changes in cash flows from borrowings/lending that bear a floating interest rate. The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. Cash flow hedges are particularly used to hedge interest rate risk on floating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. The hedging instruments used mainly consist of interest rate swaps, caps, floors, cross-currency swaps with a maturity up to 20-30 years for some commercial hedged assets. C. Foreign net investments hedge activities No hedging strategy is in place on an investment in entities whose functional currency differs from the Bank’s functional currency. The Bank put in place some economic hedges on forecasted foreign currency revenues stemming from those entities. The objective of the economic hedge is to reduce the volatility on the income statement coming from the foreign exchange risks. FX risk on forecasted foreign currency revenues is continuously monitored and hedging strategies are periodically assessed. The hedging strategy and the percentage to be hedged is defined on a case-by-case basis considering, inter alia, the diversification effect and taking into account the volatility and correlation in the FX rates. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 740 2021 Annual Report and Accounts · UniCredit The derivatives used mainly consist of currency options. These derivatives may not or should not qualify for hedge accounting even though achieve substantially the same economic results. The impact of economic hedge is accounted in the item “80. Net gains (losses) on trading”. D. Hedging instruments and E. Hedging elements Prospective hedge effectiveness is established by the fact that all derivatives must, at inception, have the effect of reducing interest rate risk in term of Economic Value Sensitivity (Fair Value Hedge) or Net Interest Income Sensitivity (Cash Flow Hedge) in the specific/portfolio of hedged underlyings. Retrospectively the hedge effectiveness is quarterly measured by referring to the most stable portion of assets/liabilities using a portfolio hedge approach or by referring to the portion of risk being hedged using a micro/specific approach. Sources of ineffectiveness comes from (i) the Euribor vs Eonia/€STER basis for hedging derivatives transactions subject to a collateral agreement, (ii) Credit/Debit Value and Funding Value adjustment impacting derivative transactions fair values, (iii) shortfall arising in the underlying’s specifically associated with that hedge in term of nominal or reverse sensitivity due to prepayment or default on commercial assets or withdrawals on liabilities included such as commercial non-maturity deposits and are presented in item “90. Net gains (losses) on hedge accounting”. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 740 2021 Annual Report and Accounts · UniCredit The derivatives used mainly consist of currency options. These derivatives may not or should not qualify for hedge accounting even though achieve substantially the same economic results. The impact of economic hedge is accounted in the item “80. Net gains (losses) on trading”. D. Hedging instruments and E. Hedging elements Prospective hedge effectiveness is established by the fact that all derivatives must, at inception, have the effect of reducing interest rate risk in term of Economic Value Sensitivity (Fair Value Hedge) or Net Interest Income Sensitivity (Cash Flow Hedge) in the specific/portfolio of hedged underlyings. Retrospectively the hedge effectiveness is quarterly measured by referring to the most stable portion of assets/liabilities using a portfolio hedge approach or by referring to the portion of risk being hedged using a micro/specific approach. Sources of ineffectiveness comes from (i) the Euribor vs Eonia/€STER basis for hedging derivatives transactions subject to a collateral agreement, (ii) Credit/Debit Value and Funding Value adjustment impacting derivative transactions fair values, (iii) shortfall arising in the underlying’s specifically associated with that hedge in term of nominal or reverse sensitivity due to prepayment or default on commercial assets or withdrawals on liabilities included such as commercial non-maturity deposits and are presented in item “90. Net gains (losses) on hedge accounting”. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 740 2021 Annual Report and Accounts · UniCredit The derivatives used mainly consist of currency options. These derivatives may not or should not qualify for hedge accounting even though achieve substantially the same economic results. The impact of economic hedge is accounted in the item “80. Net gains (losses) on trading”. D. Hedging instruments and E. Hedging elements Prospective hedge effectiveness is established by the fact that all derivatives must, at inception, have the effect of reducing interest rate risk in term of Economic Value Sensitivity (Fair Value Hedge) or Net Interest Income Sensitivity (Cash Flow Hedge) in the specific/portfolio of hedged underlyings. Retrospectively the hedge effectiveness is quarterly measured by referring to the most stable portion of assets/liabilities using a portfolio hedge approach or by referring to the portion of risk being hedged using a micro/specific approach. Sources of ineffectiveness comes from (i) the Euribor vs Eonia/€STER basis for hedging derivatives transactions subject to a collateral agreement, (ii) Credit/Debit Value and Funding Value adjustment impacting derivative transactions fair values, (iii) shortfall arising in the underlying’s specifically associated with that hedge in term of nominal or reverse sensitivity due to prepayment or default on commercial assets or withdrawals on liabilities included such as commercial non-maturity deposits and are presented in item “90. Net gains (losses) on hedge accounting”. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 740 2021 Annual Report and Accounts · UniCredit The derivatives used mainly consist of currency options. These derivatives may not or should not qualify for hedge accounting even though achieve substantially the same economic results. The impact of economic hedge is accounted in the item “80. Net gains (losses) on trading”. D. Hedging instruments and E. Hedging elements Prospective hedge effectiveness is established by the fact that all derivatives must, at inception, have the effect of reducing interest rate risk in term of Economic Value Sensitivity (Fair Value Hedge) or Net Interest Income Sensitivity (Cash Flow Hedge) in the specific/portfolio of hedged underlyings. Retrospectively the hedge effectiveness is quarterly measured by referring to the most stable portion of assets/liabilities using a portfolio hedge approach or by referring to the portion of risk being hedged using a micro/specific approach. Sources of ineffectiveness comes from (i) the Euribor vs Eonia/€STER basis for hedging derivatives transactions subject to a collateral agreement, (ii) Credit/Debit Value and Funding Value adjustment impacting derivative transactions fair values, (iii) shortfall arising in the underlying’s specifically associated with that hedge in term of nominal or reverse sensitivity due to prepayment or default on commercial assets or withdrawals on liabilities included such as commercial non-maturity deposits and are presented in item “90. Net gains (losses) on hedge accounting”. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 740 2021 Annual Report and Accounts · UniCredit The derivatives used mainly consist of currency options. These derivatives may not or should not qualify for hedge accounting even though achieve substantially the same economic results. The impact of economic hedge is accounted in the item “80. Net gains (losses) on trading”. D. Hedging instruments and E. Hedging elements Prospective hedge effectiveness is established by the fact that all derivatives must, at inception, have the effect of reducing interest rate risk in term of Economic Value Sensitivity (Fair Value Hedge) or Net Interest Income Sensitivity (Cash Flow Hedge) in the specific/portfolio of hedged underlyings. Retrospectively the hedge effectiveness is quarterly measured by referring to the most stable portion of assets/liabilities using a portfolio hedge approach or by referring to the portion of risk being hedged using a micro/specific approach. Sources of ineffectiveness comes from (i) the Euribor vs Eonia/€STER basis for hedging derivatives transactions subject to a collateral agreement, (ii) Credit/Debit Value and Funding Value adjustment impacting derivative transactions fair values, (iii) shortfall arising in the underlying’s specifically associated with that hedge in term of nominal or reverse sensitivity due to prepayment or default on commercial assets or withdrawals on liabilities included such as commercial non-maturity deposits and are presented in item “90. Net gains (losses) on hedge accounting”. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 741 Quantitative information A. Cash flow hedging derivatives A.1 Hedging financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 4,836 382,687 78,592 - 3,318 320,482 119,787 - a) Options - 13,242 - - - 9,459 - - b) Swap 4,836 369,445 2,498 - 3,318 311,023 1,282 - c) Forward - - - - - - - - d) Futures - - 76,094 - - - 118,505 - e) Other - - - - - - - - 2. Equity instruments and stock indexes - - - - - - - - a) Options - - - - - - - - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies - 32,007 - - - 23,445 - - a) Options - - - - - - - - b) Swap - 32,007 - - - 23,445 - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - - - - - - - - 5. Other - - - - - - - - Total 4,836 414,694 78,592 - 3,318 343,927 119,787 - A.2 Hedging financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 AMOUNT AS AT AMOUNT AS AT POSITIVE AND NEGATIVE FAIR VALUE POSITIVE AND NEGATIVE FAIR VALUE OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS 12.31.2021 12.31.2020 TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CHANGES IN VALUE USED TO CALCULATE HEDGE INEFFECTIVENESS WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 114 - - - 116 - - - - b) Interest rate swap 4 3,552 - - 4 5,165 - - - - c) Cross currency swap - 653 - - - 734 - - - - d) Equity swap - - - - - - - - - - e) Forward - - - - - - - - - - f) Futures - - 38 - - - 114 - - - g) Other - - - - - - - - - - Total 4 4,319 38 - 4 6,015 114 - - - 2. Negative fair value a) Options - 126 - - - 164 - - - - b) Interest rate swap 27 4,266 - - 55 4,661 - - - - c) Cross currency swap - 374 - - - 1,025 - - - - d) Equity swap - - - - - - - - - - e) Forward - - - - - - - - - - f) Futures - - 51 - - - 126 - - - g) Other - - - - - - - - - - Total 27 4,766 51 - 55 5,850 126 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 741 Quantitative information A. Cash flow hedging derivatives A.1 Hedging financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 4,836 382,687 78,592 - 3,318 320,482 119,787 - a) Options - 13,242 - - - 9,459 - - b) Swap 4,836 369,445 2,498 - 3,318 311,023 1,282 - c) Forward - - - - - - - - d) Futures - - 76,094 - - - 118,505 - e) Other - - - - - - - - 2. Equity instruments and stock indexes - - - - - - - - a) Options - - - - - - - - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies - 32,007 - - - 23,445 - - a) Options - - - - - - - - b) Swap - 32,007 - - - 23,445 - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - - - - - - - - 5. Other - - - - - - - - Total 4,836 414,694 78,592 - 3,318 343,927 119,787 - A.2 Hedging financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 AMOUNT AS AT AMOUNT AS AT POSITIVE AND NEGATIVE FAIR VALUE POSITIVE AND NEGATIVE FAIR VALUE OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS 12.31.2021 12.31.2020 TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CHANGES IN VALUE USED TO CALCULATE HEDGE INEFFECTIVENESS WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 114 - - - 116 - - - - b) Interest rate swap 4 3,552 - - 4 5,165 - - - - c) Cross currency swap - 653 - - - 734 - - - - d) Equity swap - - - - - - - - - - e) Forward - - - - - - - - - - f) Futures - - 38 - - - 114 - - - g) Other - - - - - - - - - - Total 4 4,319 38 - 4 6,015 114 - - - 2. Negative fair value a) Options - 126 - - - 164 - - - - b) Interest rate swap 27 4,266 - - 55 4,661 - - - - c) Cross currency swap - 374 - - - 1,025 - - - - d) Equity swap - - - - - - - - - - e) Forward - - - - - - - - - - f) Futures - - 51 - - - 126 - - - g) Other - - - - - - - - - - Total 27 4,766 51 - 55 5,850 126 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 741 Quantitative information A. Cash flow hedging derivatives A.1 Hedging financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 4,836 382,687 78,592 - 3,318 320,482 119,787 - a) Options - 13,242 - - - 9,459 - - b) Swap 4,836 369,445 2,498 - 3,318 311,023 1,282 - c) Forward - - - - - - - - d) Futures - - 76,094 - - - 118,505 - e) Other - - - - - - - - 2. Equity instruments and stock indexes - - - - - - - - a) Options - - - - - - - - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies - 32,007 - - - 23,445 - - a) Options - - - - - - - - b) Swap - 32,007 - - - 23,445 - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - - - - - - - - 5. Other - - - - - - - - Total 4,836 414,694 78,592 - 3,318 343,927 119,787 - A.2 Hedging financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 AMOUNT AS AT AMOUNT AS AT POSITIVE AND NEGATIVE FAIR VALUE POSITIVE AND NEGATIVE FAIR VALUE OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS 12.31.2021 12.31.2020 TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CHANGES IN VALUE USED TO CALCULATE HEDGE INEFFECTIVENESS WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 114 - - - 116 - - - - b) Interest rate swap 4 3,552 - - 4 5,165 - - - - c) Cross currency swap - 653 - - - 734 - - - - d) Equity swap - - - - - - - - - - e) Forward - - - - - - - - - - f) Futures - - 38 - - - 114 - - - g) Other - - - - - - - - - - Total 4 4,319 38 - 4 6,015 114 - - - 2. Negative fair value a) Options - 126 - - - 164 - - - - b) Interest rate swap 27 4,266 - - 55 4,661 - - - - c) Cross currency swap - 374 - - - 1,025 - - - - d) Equity swap - - - - - - - - - - e) Forward - - - - - - - - - - f) Futures - - 51 - - - 126 - - - g) Other - - - - - - - - - - Total 27 4,766 51 - 55 5,850 126 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 741 Quantitative information A. Cash flow hedging derivatives A.1 Hedging financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 4,836 382,687 78,592 - 3,318 320,482 119,787 - a) Options - 13,242 - - - 9,459 - - b) Swap 4,836 369,445 2,498 - 3,318 311,023 1,282 - c) Forward - - - - - - - - d) Futures - - 76,094 - - - 118,505 - e) Other - - - - - - - - 2. Equity instruments and stock indexes - - - - - - - - a) Options - - - - - - - - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies - 32,007 - - - 23,445 - - a) Options - - - - - - - - b) Swap - 32,007 - - - 23,445 - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - - - - - - - - 5. Other - - - - - - - - Total 4,836 414,694 78,592 - 3,318 343,927 119,787 - A.2 Hedging financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 AMOUNT AS AT AMOUNT AS AT POSITIVE AND NEGATIVE FAIR VALUE POSITIVE AND NEGATIVE FAIR VALUE OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS 12.31.2021 12.31.2020 TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CHANGES IN VALUE USED TO CALCULATE HEDGE INEFFECTIVENESS WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 114 - - - 116 - - - - b) Interest rate swap 4 3,552 - - 4 5,165 - - - - c) Cross currency swap - 653 - - - 734 - - - - d) Equity swap - - - - - - - - - - e) Forward - - - - - - - - - - f) Futures - - 38 - - - 114 - - - g) Other - - - - - - - - - - Total 4 4,319 38 - 4 6,015 114 - - - 2. Negative fair value a) Options - 126 - - - 164 - - - - b) Interest rate swap 27 4,266 - - 55 4,661 - - - - c) Cross currency swap - 374 - - - 1,025 - - - - d) Equity swap - - - - - - - - - - e) Forward - - - - - - - - - - f) Futures - - 51 - - - 126 - - - g) Other - - - - - - - - - - Total 27 4,766 51 - 55 5,850 126 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 741 Quantitative information A. Cash flow hedging derivatives A.1 Hedging financial derivatives: end-of-period notional amounts (€ million) AMOUNTS AS AT 12.31.2021 AMOUNTS AS AT 12.31.2020 OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS UNDERLYING ACTIVITIES/TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Debt securities and interest rate indexes 4,836 382,687 78,592 - 3,318 320,482 119,787 - a) Options - 13,242 - - - 9,459 - - b) Swap 4,836 369,445 2,498 - 3,318 311,023 1,282 - c) Forward - - - - - - - - d) Futures - - 76,094 - - - 118,505 - e) Other - - - - - - - - 2. Equity instruments and stock indexes - - - - - - - - a) Options - - - - - - - - b) Swap - - - - - - - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 3. Gold and currencies - 32,007 - - - 23,445 - - a) Options - - - - - - - - b) Swap - 32,007 - - - 23,445 - - c) Forward - - - - - - - - d) Futures - - - - - - - - e) Other - - - - - - - - 4. Commodities - - - - - - - - 5. Other - - - - - - - - Total 4,836 414,694 78,592 - 3,318 343,927 119,787 - A.2 Hedging financial derivatives: positive and negative gross fair value - breakdown by product (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 AMOUNT AS AT AMOUNT AS AT POSITIVE AND NEGATIVE FAIR VALUE POSITIVE AND NEGATIVE FAIR VALUE OVER THE COUNTER ORGANISED MARKETS OVER THE COUNTER ORGANISED MARKETS 12.31.2021 12.31.2020 TYPE OF DERIVATIVES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CENTRAL COUNTERPARTIES WITHOUT CENTRAL COUNTERPARTIES CHANGES IN VALUE USED TO CALCULATE HEDGE INEFFECTIVENESS WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT WITH NETTING AGREEMENT WITHOUT NETTING AGREEMENT 1. Positive fair value a) Options - 114 - - - 116 - - - - b) Interest rate swap 4 3,552 - - 4 5,165 - - - - c) Cross currency swap - 653 - - - 734 - - - - d) Equity swap - - - - - - - - - - e) Forward - - - - - - - - - - f) Futures - - 38 - - - 114 - - - g) Other - - - - - - - - - - Total 4 4,319 38 - 4 6,015 114 - - - 2. Negative fair value a) Options - 126 - - - 164 - - - - b) Interest rate swap 27 4,266 - - 55 4,661 - - - - c) Cross currency swap - 374 - - - 1,025 - - - - d) Equity swap - - - - - - - - - - e) Forward - - - - - - - - - - f) Futures - - 51 - - - 126 - - - g) Other - - - - - - - - - - Total 27 4,766 51 - 55 5,850 126 - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 742 2021 Annual Report and Accounts · UniCredit A.3 OTC hedging financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 78,592 - - - Positive fair value X 38 - - - Negative fair value X 51 - - 2) Equity instruments and stock indexes - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 3) Gold and currencies - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 4) Commodities - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 4,836 382,150 537 - - Positive fair value 4 3,649 17 - - Negative fair value 27 4,335 57 - 2) Equity instruments and stock indexes - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 3) Gold and currencies - Notional amount - 31,250 757 - - Positive fair value - 602 51 - - Negative fair value - 374 - - 4) Commodities - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - A.4 OTC hedging financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 159,050 220,206 86,859 466,115 A.2 Financial derivative contracts on equity securities and stock indexes - - - - A.3 Financial derivative contracts on exchange rates and gold 6,607 14,439 10,961 32,007 A.4 Financial derivative contracts on other values - - - - A.5 Other financial derivatives - - - - Total 12.31.2021 165,657 234,645 97,820 498,122 Total 12.31.2020 171,541 221,186 74,304 467,031 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 742 2021 Annual Report and Accounts · UniCredit A.3 OTC hedging financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 78,592 - - - Positive fair value X 38 - - - Negative fair value X 51 - - 2) Equity instruments and stock indexes - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 3) Gold and currencies - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 4) Commodities - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 4,836 382,150 537 - - Positive fair value 4 3,649 17 - - Negative fair value 27 4,335 57 - 2) Equity instruments and stock indexes - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 3) Gold and currencies - Notional amount - 31,250 757 - - Positive fair value - 602 51 - - Negative fair value - 374 - - 4) Commodities - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - A.4 OTC hedging financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 159,050 220,206 86,859 466,115 A.2 Financial derivative contracts on equity securities and stock indexes - - - - A.3 Financial derivative contracts on exchange rates and gold 6,607 14,439 10,961 32,007 A.4 Financial derivative contracts on other values - - - - A.5 Other financial derivatives - - - - Total 12.31.2021 165,657 234,645 97,820 498,122 Total 12.31.2020 171,541 221,186 74,304 467,031 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 742 2021 Annual Report and Accounts · UniCredit A.3 OTC hedging financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 78,592 - - - Positive fair value X 38 - - - Negative fair value X 51 - - 2) Equity instruments and stock indexes - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 3) Gold and currencies - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 4) Commodities - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 4,836 382,150 537 - - Positive fair value 4 3,649 17 - - Negative fair value 27 4,335 57 - 2) Equity instruments and stock indexes - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 3) Gold and currencies - Notional amount - 31,250 757 - - Positive fair value - 602 51 - - Negative fair value - 374 - - 4) Commodities - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - A.4 OTC hedging financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 159,050 220,206 86,859 466,115 A.2 Financial derivative contracts on equity securities and stock indexes - - - - A.3 Financial derivative contracts on exchange rates and gold 6,607 14,439 10,961 32,007 A.4 Financial derivative contracts on other values - - - - A.5 Other financial derivatives - - - - Total 12.31.2021 165,657 234,645 97,820 498,122 Total 12.31.2020 171,541 221,186 74,304 467,031 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 742 2021 Annual Report and Accounts · UniCredit A.3 OTC hedging financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 78,592 - - - Positive fair value X 38 - - - Negative fair value X 51 - - 2) Equity instruments and stock indexes - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 3) Gold and currencies - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 4) Commodities - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 4,836 382,150 537 - - Positive fair value 4 3,649 17 - - Negative fair value 27 4,335 57 - 2) Equity instruments and stock indexes - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 3) Gold and currencies - Notional amount - 31,250 757 - - Positive fair value - 602 51 - - Negative fair value - 374 - - 4) Commodities - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - A.4 OTC hedging financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 159,050 220,206 86,859 466,115 A.2 Financial derivative contracts on equity securities and stock indexes - - - - A.3 Financial derivative contracts on exchange rates and gold 6,607 14,439 10,961 32,007 A.4 Financial derivative contracts on other values - - - - A.5 Other financial derivatives - - - - Total 12.31.2021 165,657 234,645 97,820 498,122 Total 12.31.2020 171,541 221,186 74,304 467,031 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 742 2021 Annual Report and Accounts · UniCredit A.3 OTC hedging financial derivatives: notional amounts, positive and negative gross fair value by counterparty (€ million) AMOUNTS AS AT 12.31.2021 UNDERLYING ACTIVITIES CENTRAL COUNTERPARTIES BANKS OTHER FINANCIAL COMPANIES OTHER ENTITIES Contracts not included in netting agreement 1) Debt securities and interest rate indexes - Notional amount X 78,592 - - - Positive fair value X 38 - - - Negative fair value X 51 - - 2) Equity instruments and stock indexes - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 3) Gold and currencies - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 4) Commodities - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - 5) Other - Notional amount X - - - - Positive fair value X - - - - Negative fair value X - - - Contracts included in netting agreement 1) Debt securities and interest rate indexes - Notional amount 4,836 382,150 537 - - Positive fair value 4 3,649 17 - - Negative fair value 27 4,335 57 - 2) Equity instruments and stock indexes - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 3) Gold and currencies - Notional amount - 31,250 757 - - Positive fair value - 602 51 - - Negative fair value - 374 - - 4) Commodities - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - 5) Other - Notional amount - - - - - Positive fair value - - - - - Negative fair value - - - - A.4 OTC hedging financial derivatives - residual life: notional amounts (€ million) UNDERLYING/RESIDUAL MATURITY UP TO 1 YEAR OVER 1 YEAR UP TO 5 YEARS OVER 5 YEARS TOTAL A.1 Financial derivative contracts on debt securities and interest rates 159,050 220,206 86,859 466,115 A.2 Financial derivative contracts on equity securities and stock indexes - - - - A.3 Financial derivative contracts on exchange rates and gold 6,607 14,439 10,961 32,007 A.4 Financial derivative contracts on other values - - - - A.5 Other financial derivatives - - - - Total 12.31.2021 165,657 234,645 97,820 498,122 Total 12.31.2020 171,541 221,186 74,304 467,031 Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 743 B. Hedging credit derivatives No data to be disclosed. C. Non hedging instruments Note that, as provided by the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments) the present table is not disclosed as the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. D. Hedging instruments Note that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. In this context the following table provides the required information about hedged instruments. Micro hedging and macro hedging: breakdown by hedged item and risk type (€ million) AMOUNT AS AT 12.31.2021 MICRO HEDGE: CARRYING AMOUNT MACRO HEDGE: CARRYING AMOUNT A) Fair value hedge 1. Assets 1.1 Financial assets measured at fair value through other comprehensive income 32,237 - 1.1.1 Interest rate 32,237 X 1.1.2 Equity - X 1.1.3 Foreign exchange and gold - X 1.1.4 Credit - X 1.1.5 Other - X 1.2 Financial assets measured at amortised cost 35,120 1,358 1.2.1 Interest rate 35,120 X 1.2.2 Equity - X 1.2.3 Foreign exchange and gold - X 1.2.4 Credit - X 1.2.5 Other - X 2. Liabilites 2.1 Financial liabilities measured at amortised costs - 660 2.1.1 Interest rate - X 2.1.2 Equity - X 2.1.3 Foreign exchange and gold - X 2.1.4 Credit - X 2.1.5 Other - X B) Cash flow hedge 1. Assets - X 1.1 Interest rate - X 1.2 Equity - X 1.3 Foreign exchange and gold - X 1.4 Credit - X 1.5 Other - X 2. Liabilites - X 2.1 Interest rate - X 2.2 Equity - X 2.3 Foreign exchange and gold - X 2.4 Credit - X 2.5 Other - X C) Hedge of net investments in foreign operations - X D) Porftolio - Assets X - E) Porftolio - Liabilities X - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 743 B. Hedging credit derivatives No data to be disclosed. C. Non hedging instruments Note that, as provided by the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments) the present table is not disclosed as the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. D. Hedging instruments Note that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. In this context the following table provides the required information about hedged instruments. Micro hedging and macro hedging: breakdown by hedged item and risk type (€ million) AMOUNT AS AT 12.31.2021 MICRO HEDGE: CARRYING AMOUNT MACRO HEDGE: CARRYING AMOUNT A) Fair value hedge 1. Assets 1.1 Financial assets measured at fair value through other comprehensive income 32,237 - 1.1.1 Interest rate 32,237 X 1.1.2 Equity - X 1.1.3 Foreign exchange and gold - X 1.1.4 Credit - X 1.1.5 Other - X 1.2 Financial assets measured at amortised cost 35,120 1,358 1.2.1 Interest rate 35,120 X 1.2.2 Equity - X 1.2.3 Foreign exchange and gold - X 1.2.4 Credit - X 1.2.5 Other - X 2. Liabilites 2.1 Financial liabilities measured at amortised costs - 660 2.1.1 Interest rate - X 2.1.2 Equity - X 2.1.3 Foreign exchange and gold - X 2.1.4 Credit - X 2.1.5 Other - X B) Cash flow hedge 1. Assets - X 1.1 Interest rate - X 1.2 Equity - X 1.3 Foreign exchange and gold - X 1.4 Credit - X 1.5 Other - X 2. Liabilites - X 2.1 Interest rate - X 2.2 Equity - X 2.3 Foreign exchange and gold - X 2.4 Credit - X 2.5 Other - X C) Hedge of net investments in foreign operations - X D) Porftolio - Assets X - E) Porftolio - Liabilities X - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 743 B. Hedging credit derivatives No data to be disclosed. C. Non hedging instruments Note that, as provided by the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments) the present table is not disclosed as the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. D. Hedging instruments Note that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. In this context the following table provides the required information about hedged instruments. Micro hedging and macro hedging: breakdown by hedged item and risk type (€ million) AMOUNT AS AT 12.31.2021 MICRO HEDGE: CARRYING AMOUNT MACRO HEDGE: CARRYING AMOUNT A) Fair value hedge 1. Assets 1.1 Financial assets measured at fair value through other comprehensive income 32,237 - 1.1.1 Interest rate 32,237 X 1.1.2 Equity - X 1.1.3 Foreign exchange and gold - X 1.1.4 Credit - X 1.1.5 Other - X 1.2 Financial assets measured at amortised cost 35,120 1,358 1.2.1 Interest rate 35,120 X 1.2.2 Equity - X 1.2.3 Foreign exchange and gold - X 1.2.4 Credit - X 1.2.5 Other - X 2. Liabilites 2.1 Financial liabilities measured at amortised costs - 660 2.1.1 Interest rate - X 2.1.2 Equity - X 2.1.3 Foreign exchange and gold - X 2.1.4 Credit - X 2.1.5 Other - X B) Cash flow hedge 1. Assets - X 1.1 Interest rate - X 1.2 Equity - X 1.3 Foreign exchange and gold - X 1.4 Credit - X 1.5 Other - X 2. Liabilites - X 2.1 Interest rate - X 2.2 Equity - X 2.3 Foreign exchange and gold - X 2.4 Credit - X 2.5 Other - X C) Hedge of net investments in foreign operations - X D) Porftolio - Assets X - E) Porftolio - Liabilities X - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 743 B. Hedging credit derivatives No data to be disclosed. C. Non hedging instruments Note that, as provided by the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments) the present table is not disclosed as the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. D. Hedging instruments Note that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. In this context the following table provides the required information about hedged instruments. Micro hedging and macro hedging: breakdown by hedged item and risk type (€ million) AMOUNT AS AT 12.31.2021 MICRO HEDGE: CARRYING AMOUNT MACRO HEDGE: CARRYING AMOUNT A) Fair value hedge 1. Assets 1.1 Financial assets measured at fair value through other comprehensive income 32,237 - 1.1.1 Interest rate 32,237 X 1.1.2 Equity - X 1.1.3 Foreign exchange and gold - X 1.1.4 Credit - X 1.1.5 Other - X 1.2 Financial assets measured at amortised cost 35,120 1,358 1.2.1 Interest rate 35,120 X 1.2.2 Equity - X 1.2.3 Foreign exchange and gold - X 1.2.4 Credit - X 1.2.5 Other - X 2. Liabilites 2.1 Financial liabilities measured at amortised costs - 660 2.1.1 Interest rate - X 2.1.2 Equity - X 2.1.3 Foreign exchange and gold - X 2.1.4 Credit - X 2.1.5 Other - X B) Cash flow hedge 1. Assets - X 1.1 Interest rate - X 1.2 Equity - X 1.3 Foreign exchange and gold - X 1.4 Credit - X 1.5 Other - X 2. Liabilites - X 2.1 Interest rate - X 2.2 Equity - X 2.3 Foreign exchange and gold - X 2.4 Credit - X 2.5 Other - X C) Hedge of net investments in foreign operations - X D) Porftolio - Assets X - E) Porftolio - Liabilities X - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 743 B. Hedging credit derivatives No data to be disclosed. C. Non hedging instruments Note that, as provided by the Circular No.262 of 22 December 2005 of Banca d’Italia (and subsequent amendments) the present table is not disclosed as the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. D. Hedging instruments Note that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for macro-hedging. In this context the following table provides the required information about hedged instruments. Micro hedging and macro hedging: breakdown by hedged item and risk type (€ million) AMOUNT AS AT 12.31.2021 MICRO HEDGE: CARRYING AMOUNT MACRO HEDGE: CARRYING AMOUNT A) Fair value hedge 1. Assets 1.1 Financial assets measured at fair value through other comprehensive income 32,237 - 1.1.1 Interest rate 32,237 X 1.1.2 Equity - X 1.1.3 Foreign exchange and gold - X 1.1.4 Credit - X 1.1.5 Other - X 1.2 Financial assets measured at amortised cost 35,120 1,358 1.2.1 Interest rate 35,120 X 1.2.2 Equity - X 1.2.3 Foreign exchange and gold - X 1.2.4 Credit - X 1.2.5 Other - X 2. Liabilites 2.1 Financial liabilities measured at amortised costs - 660 2.1.1 Interest rate - X 2.1.2 Equity - X 2.1.3 Foreign exchange and gold - X 2.1.4 Credit - X 2.1.5 Other - X B) Cash flow hedge 1. Assets - X 1.1 Interest rate - X 1.2 Equity - X 1.3 Foreign exchange and gold - X 1.4 Credit - X 1.5 Other - X 2. Liabilites - X 2.1 Interest rate - X 2.2 Equity - X 2.3 Foreign exchange and gold - X 2.4 Credit - X 2.5 Other - X C) Hedge of net investments in foreign operations - X D) Porftolio - Assets X - E) Porftolio - Liabilities X - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 744 2021 Annual Report and Accounts · UniCredit E. Effects of hedging policy at equity This table has to be filled in only by entities that apply IFRS9 hedge accounting rules. 3.3 Other information on derivatives instruments (trading and hedging) A. Financial and credit derivatives A.1 OTC financial and credit derivatives: net fair value by counterparty No data to be disclosed. Section 4 - Liquidity risk Qualitative information Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring liquidity risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.4 Liquidity risk, Qualitative information, which is herewith quoted entirely. The only difference is related with the amount of material outflows due to deterioration of own credit quality, included in the components of the Liquidity Coverage Ratio, which for UniCredit S.p.A. is equal to €8,986 million as at 31 December 2021. Quantitative information 1. Time breakdown by contractual residual maturity of financial assets and liabilities (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 16,891 10,444 4,072 10,552 15,389 16,356 27,368 127,781 73,943 14,694 A.1 Government securities 24 - 89 495 412 2,473 7,255 40,184 17,150 - A.2 Other debt securities 42 71 91 188 54 293 693 9,362 11,706 23 A.3 Units in investment funds 1,565 - - - - - - - - - A.4 Loans 15,260 10,373 3,892 9,869 14,923 13,590 19,420 78,235 45,087 14,671 - Banks 2,039 2,891 241 1,254 657 1,145 1,943 1,762 189 14,662 - Customers 13,221 7,482 3,651 8,615 14,266 12,445 17,477 76,473 44,898 9 B. On-balance sheet liabilities 215,596 22,129 7,580 7,267 9,413 13,166 7,662 77,846 19,155 - B.1. Deposits and current accounts 200,689 1,465 1,584 1,097 248 416 52 21 2 - - Banks 3,063 1,438 1,583 1,039 206 376 49 21 - - - Customers 197,626 27 1 58 42 40 3 - 2 - B.2 Debt securities 20 905 3,111 2,112 1,948 5,637 7,197 25,312 16,408 - B.3 Other liabilities 14,887 19,759 2,885 4,058 7,217 7,113 413 52,513 2,745 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 7 9,813 10,490 7,962 36,618 11,819 28,972 40,584 15,381 - - Short positions 8 9,827 6,807 47,870 17,201 11,197 11,886 40,467 15,363 - C.2 Financial derivatives without capital swap - Long positions 6,560 298 302 698 2,361 3,160 5,571 - - - - Short positions 6,612 321 196 515 3,091 2,456 6,586 - - - C.3 Deposits and loans to be received - Long positions 5 22,179 2 - 368 1,361 811 65 - - - Short positions - 14,768 2 4,352 1,997 1,976 1,563 130 - - C.4 Commitments to disburse funds - Long positions 14 5,915 - 210 302 683 1,270 3,379 2,013 - - Short positions 13,780 1 - - 5 - - - - - C.5 Financial guarantees given - - - 40 - - 4 7 28 - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 744 2021 Annual Report and Accounts · UniCredit E. Effects of hedging policy at equity This table has to be filled in only by entities that apply IFRS9 hedge accounting rules. 3.3 Other information on derivatives instruments (trading and hedging) A. Financial and credit derivatives A.1 OTC financial and credit derivatives: net fair value by counterparty No data to be disclosed. Section 4 - Liquidity risk Qualitative information Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring liquidity risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.4 Liquidity risk, Qualitative information, which is herewith quoted entirely. The only difference is related with the amount of material outflows due to deterioration of own credit quality, included in the components of the Liquidity Coverage Ratio, which for UniCredit S.p.A. is equal to €8,986 million as at 31 December 2021. Quantitative information 1. Time breakdown by contractual residual maturity of financial assets and liabilities (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 16,891 10,444 4,072 10,552 15,389 16,356 27,368 127,781 73,943 14,694 A.1 Government securities 24 - 89 495 412 2,473 7,255 40,184 17,150 - A.2 Other debt securities 42 71 91 188 54 293 693 9,362 11,706 23 A.3 Units in investment funds 1,565 - - - - - - - - - A.4 Loans 15,260 10,373 3,892 9,869 14,923 13,590 19,420 78,235 45,087 14,671 - Banks 2,039 2,891 241 1,254 657 1,145 1,943 1,762 189 14,662 - Customers 13,221 7,482 3,651 8,615 14,266 12,445 17,477 76,473 44,898 9 B. On-balance sheet liabilities 215,596 22,129 7,580 7,267 9,413 13,166 7,662 77,846 19,155 - B.1. Deposits and current accounts 200,689 1,465 1,584 1,097 248 416 52 21 2 - - Banks 3,063 1,438 1,583 1,039 206 376 49 21 - - - Customers 197,626 27 1 58 42 40 3 - 2 - B.2 Debt securities 20 905 3,111 2,112 1,948 5,637 7,197 25,312 16,408 - B.3 Other liabilities 14,887 19,759 2,885 4,058 7,217 7,113 413 52,513 2,745 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 7 9,813 10,490 7,962 36,618 11,819 28,972 40,584 15,381 - - Short positions 8 9,827 6,807 47,870 17,201 11,197 11,886 40,467 15,363 - C.2 Financial derivatives without capital swap - Long positions 6,560 298 302 698 2,361 3,160 5,571 - - - - Short positions 6,612 321 196 515 3,091 2,456 6,586 - - - C.3 Deposits and loans to be received - Long positions 5 22,179 2 - 368 1,361 811 65 - - - Short positions - 14,768 2 4,352 1,997 1,976 1,563 130 - - C.4 Commitments to disburse funds - Long positions 14 5,915 - 210 302 683 1,270 3,379 2,013 - - Short positions 13,780 1 - - 5 - - - - - C.5 Financial guarantees given - - - 40 - - 4 7 28 - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 744 2021 Annual Report and Accounts · UniCredit E. Effects of hedging policy at equity This table has to be filled in only by entities that apply IFRS9 hedge accounting rules. 3.3 Other information on derivatives instruments (trading and hedging) A. Financial and credit derivatives A.1 OTC financial and credit derivatives: net fair value by counterparty No data to be disclosed. Section 4 - Liquidity risk Qualitative information Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring liquidity risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.4 Liquidity risk, Qualitative information, which is herewith quoted entirely. The only difference is related with the amount of material outflows due to deterioration of own credit quality, included in the components of the Liquidity Coverage Ratio, which for UniCredit S.p.A. is equal to €8,986 million as at 31 December 2021. Quantitative information 1. Time breakdown by contractual residual maturity of financial assets and liabilities (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 16,891 10,444 4,072 10,552 15,389 16,356 27,368 127,781 73,943 14,694 A.1 Government securities 24 - 89 495 412 2,473 7,255 40,184 17,150 - A.2 Other debt securities 42 71 91 188 54 293 693 9,362 11,706 23 A.3 Units in investment funds 1,565 - - - - - - - - - A.4 Loans 15,260 10,373 3,892 9,869 14,923 13,590 19,420 78,235 45,087 14,671 - Banks 2,039 2,891 241 1,254 657 1,145 1,943 1,762 189 14,662 - Customers 13,221 7,482 3,651 8,615 14,266 12,445 17,477 76,473 44,898 9 B. On-balance sheet liabilities 215,596 22,129 7,580 7,267 9,413 13,166 7,662 77,846 19,155 - B.1. Deposits and current accounts 200,689 1,465 1,584 1,097 248 416 52 21 2 - - Banks 3,063 1,438 1,583 1,039 206 376 49 21 - - - Customers 197,626 27 1 58 42 40 3 - 2 - B.2 Debt securities 20 905 3,111 2,112 1,948 5,637 7,197 25,312 16,408 - B.3 Other liabilities 14,887 19,759 2,885 4,058 7,217 7,113 413 52,513 2,745 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 7 9,813 10,490 7,962 36,618 11,819 28,972 40,584 15,381 - - Short positions 8 9,827 6,807 47,870 17,201 11,197 11,886 40,467 15,363 - C.2 Financial derivatives without capital swap - Long positions 6,560 298 302 698 2,361 3,160 5,571 - - - - Short positions 6,612 321 196 515 3,091 2,456 6,586 - - - C.3 Deposits and loans to be received - Long positions 5 22,179 2 - 368 1,361 811 65 - - - Short positions - 14,768 2 4,352 1,997 1,976 1,563 130 - - C.4 Commitments to disburse funds - Long positions 14 5,915 - 210 302 683 1,270 3,379 2,013 - - Short positions 13,780 1 - - 5 - - - - - C.5 Financial guarantees given - - - 40 - - 4 7 28 - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 744 2021 Annual Report and Accounts · UniCredit E. Effects of hedging policy at equity This table has to be filled in only by entities that apply IFRS9 hedge accounting rules. 3.3 Other information on derivatives instruments (trading and hedging) A. Financial and credit derivatives A.1 OTC financial and credit derivatives: net fair value by counterparty No data to be disclosed. Section 4 - Liquidity risk Qualitative information Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring liquidity risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.4 Liquidity risk, Qualitative information, which is herewith quoted entirely. The only difference is related with the amount of material outflows due to deterioration of own credit quality, included in the components of the Liquidity Coverage Ratio, which for UniCredit S.p.A. is equal to €8,986 million as at 31 December 2021. Quantitative information 1. Time breakdown by contractual residual maturity of financial assets and liabilities (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 16,891 10,444 4,072 10,552 15,389 16,356 27,368 127,781 73,943 14,694 A.1 Government securities 24 - 89 495 412 2,473 7,255 40,184 17,150 - A.2 Other debt securities 42 71 91 188 54 293 693 9,362 11,706 23 A.3 Units in investment funds 1,565 - - - - - - - - - A.4 Loans 15,260 10,373 3,892 9,869 14,923 13,590 19,420 78,235 45,087 14,671 - Banks 2,039 2,891 241 1,254 657 1,145 1,943 1,762 189 14,662 - Customers 13,221 7,482 3,651 8,615 14,266 12,445 17,477 76,473 44,898 9 B. On-balance sheet liabilities 215,596 22,129 7,580 7,267 9,413 13,166 7,662 77,846 19,155 - B.1. Deposits and current accounts 200,689 1,465 1,584 1,097 248 416 52 21 2 - - Banks 3,063 1,438 1,583 1,039 206 376 49 21 - - - Customers 197,626 27 1 58 42 40 3 - 2 - B.2 Debt securities 20 905 3,111 2,112 1,948 5,637 7,197 25,312 16,408 - B.3 Other liabilities 14,887 19,759 2,885 4,058 7,217 7,113 413 52,513 2,745 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 7 9,813 10,490 7,962 36,618 11,819 28,972 40,584 15,381 - - Short positions 8 9,827 6,807 47,870 17,201 11,197 11,886 40,467 15,363 - C.2 Financial derivatives without capital swap - Long positions 6,560 298 302 698 2,361 3,160 5,571 - - - - Short positions 6,612 321 196 515 3,091 2,456 6,586 - - - C.3 Deposits and loans to be received - Long positions 5 22,179 2 - 368 1,361 811 65 - - - Short positions - 14,768 2 4,352 1,997 1,976 1,563 130 - - C.4 Commitments to disburse funds - Long positions 14 5,915 - 210 302 683 1,270 3,379 2,013 - - Short positions 13,780 1 - - 5 - - - - - C.5 Financial guarantees given - - - 40 - - 4 7 28 - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 744 2021 Annual Report and Accounts · UniCredit E. Effects of hedging policy at equity This table has to be filled in only by entities that apply IFRS9 hedge accounting rules. 3.3 Other information on derivatives instruments (trading and hedging) A. Financial and credit derivatives A.1 OTC financial and credit derivatives: net fair value by counterparty No data to be disclosed. Section 4 - Liquidity risk Qualitative information Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring liquidity risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.4 Liquidity risk, Qualitative information, which is herewith quoted entirely. The only difference is related with the amount of material outflows due to deterioration of own credit quality, included in the components of the Liquidity Coverage Ratio, which for UniCredit S.p.A. is equal to €8,986 million as at 31 December 2021. Quantitative information 1. Time breakdown by contractual residual maturity of financial assets and liabilities (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 16,891 10,444 4,072 10,552 15,389 16,356 27,368 127,781 73,943 14,694 A.1 Government securities 24 - 89 495 412 2,473 7,255 40,184 17,150 - A.2 Other debt securities 42 71 91 188 54 293 693 9,362 11,706 23 A.3 Units in investment funds 1,565 - - - - - - - - - A.4 Loans 15,260 10,373 3,892 9,869 14,923 13,590 19,420 78,235 45,087 14,671 - Banks 2,039 2,891 241 1,254 657 1,145 1,943 1,762 189 14,662 - Customers 13,221 7,482 3,651 8,615 14,266 12,445 17,477 76,473 44,898 9 B. On-balance sheet liabilities 215,596 22,129 7,580 7,267 9,413 13,166 7,662 77,846 19,155 - B.1. Deposits and current accounts 200,689 1,465 1,584 1,097 248 416 52 21 2 - - Banks 3,063 1,438 1,583 1,039 206 376 49 21 - - - Customers 197,626 27 1 58 42 40 3 - 2 - B.2 Debt securities 20 905 3,111 2,112 1,948 5,637 7,197 25,312 16,408 - B.3 Other liabilities 14,887 19,759 2,885 4,058 7,217 7,113 413 52,513 2,745 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 7 9,813 10,490 7,962 36,618 11,819 28,972 40,584 15,381 - - Short positions 8 9,827 6,807 47,870 17,201 11,197 11,886 40,467 15,363 - C.2 Financial derivatives without capital swap - Long positions 6,560 298 302 698 2,361 3,160 5,571 - - - - Short positions 6,612 321 196 515 3,091 2,456 6,586 - - - C.3 Deposits and loans to be received - Long positions 5 22,179 2 - 368 1,361 811 65 - - - Short positions - 14,768 2 4,352 1,997 1,976 1,563 130 - - C.4 Commitments to disburse funds - Long positions 14 5,915 - 210 302 683 1,270 3,379 2,013 - - Short positions 13,780 1 - - 5 - - - - - C.5 Financial guarantees given - - - 40 - - 4 7 28 - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 745 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: euro (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 16,148 9,971 3,906 9,845 14,616 15,160 24,685 118,406 69,770 14,688 A.1 Government securities 21 - 89 495 409 2,279 5,275 35,894 15,163 - A.2 Other debt securities 42 71 88 188 47 282 673 8,168 10,320 17 A.3 Units in investment funds 1,336 - - - - - - - - - A.4 Loans 14,749 9,900 3,729 9,162 14,160 12,599 18,737 74,344 44,287 14,671 - Banks 2,038 2,761 211 1,172 566 1,025 1,924 978 189 14,662 - Customers 12,711 7,139 3,518 7,990 13,594 11,574 16,813 73,366 44,098 9 B. On-balance sheet liabilities 210,018 20,477 3,182 5,951 8,585 11,111 7,350 73,695 13,441 - B.1. Deposits and current accounts 196,053 31 1 513 27 46 14 - 2 - - Banks 1,881 30 - 506 8 8 12 - - - - Customers 194,172 1 1 7 19 38 2 - 2 - B.2 Debt securities 20 905 340 2,081 1,921 3,958 6,933 21,191 10,694 - B.3 Other liabilities 13,945 19,541 2,841 3,357 6,637 7,107 403 52,504 2,745 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 4 5,554 5,494 3,477 25,856 5,589 21,881 28,130 7,076 - - Short positions 3 5,597 4,841 44,558 10,989 5,096 3,354 23,366 6,257 - C.2 Financial derivatives without capital swap - Long positions 2,984 298 84 697 2,297 2,338 4,767 - - - - Short positions 3,029 279 98 514 2,736 2,047 5,899 - - - C.3 Deposits and loans to be received - Long positions - 22,179 - - 368 1,361 811 65 - - - Short positions - 14,768 - 4,352 1,997 1,976 1,559 130 - - C.4 Commitments to disburse funds - Long positions 13 5,915 - 210 297 683 1,270 3,358 1,658 - - Short positions 13,404 - - - - - - - - - C.5 Financial guarantees given - - - 39 - - 4 7 28 - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 745 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: euro (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 16,148 9,971 3,906 9,845 14,616 15,160 24,685 118,406 69,770 14,688 A.1 Government securities 21 - 89 495 409 2,279 5,275 35,894 15,163 - A.2 Other debt securities 42 71 88 188 47 282 673 8,168 10,320 17 A.3 Units in investment funds 1,336 - - - - - - - - - A.4 Loans 14,749 9,900 3,729 9,162 14,160 12,599 18,737 74,344 44,287 14,671 - Banks 2,038 2,761 211 1,172 566 1,025 1,924 978 189 14,662 - Customers 12,711 7,139 3,518 7,990 13,594 11,574 16,813 73,366 44,098 9 B. On-balance sheet liabilities 210,018 20,477 3,182 5,951 8,585 11,111 7,350 73,695 13,441 - B.1. Deposits and current accounts 196,053 31 1 513 27 46 14 - 2 - - Banks 1,881 30 - 506 8 8 12 - - - - Customers 194,172 1 1 7 19 38 2 - 2 - B.2 Debt securities 20 905 340 2,081 1,921 3,958 6,933 21,191 10,694 - B.3 Other liabilities 13,945 19,541 2,841 3,357 6,637 7,107 403 52,504 2,745 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 4 5,554 5,494 3,477 25,856 5,589 21,881 28,130 7,076 - - Short positions 3 5,597 4,841 44,558 10,989 5,096 3,354 23,366 6,257 - C.2 Financial derivatives without capital swap - Long positions 2,984 298 84 697 2,297 2,338 4,767 - - - - Short positions 3,029 279 98 514 2,736 2,047 5,899 - - - C.3 Deposits and loans to be received - Long positions - 22,179 - - 368 1,361 811 65 - - - Short positions - 14,768 - 4,352 1,997 1,976 1,559 130 - - C.4 Commitments to disburse funds - Long positions 13 5,915 - 210 297 683 1,270 3,358 1,658 - - Short positions 13,404 - - - - - - - - - C.5 Financial guarantees given - - - 39 - - 4 7 28 - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 745 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: euro (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 16,148 9,971 3,906 9,845 14,616 15,160 24,685 118,406 69,770 14,688 A.1 Government securities 21 - 89 495 409 2,279 5,275 35,894 15,163 - A.2 Other debt securities 42 71 88 188 47 282 673 8,168 10,320 17 A.3 Units in investment funds 1,336 - - - - - - - - - A.4 Loans 14,749 9,900 3,729 9,162 14,160 12,599 18,737 74,344 44,287 14,671 - Banks 2,038 2,761 211 1,172 566 1,025 1,924 978 189 14,662 - Customers 12,711 7,139 3,518 7,990 13,594 11,574 16,813 73,366 44,098 9 B. On-balance sheet liabilities 210,018 20,477 3,182 5,951 8,585 11,111 7,350 73,695 13,441 - B.1. Deposits and current accounts 196,053 31 1 513 27 46 14 - 2 - - Banks 1,881 30 - 506 8 8 12 - - - - Customers 194,172 1 1 7 19 38 2 - 2 - B.2 Debt securities 20 905 340 2,081 1,921 3,958 6,933 21,191 10,694 - B.3 Other liabilities 13,945 19,541 2,841 3,357 6,637 7,107 403 52,504 2,745 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 4 5,554 5,494 3,477 25,856 5,589 21,881 28,130 7,076 - - Short positions 3 5,597 4,841 44,558 10,989 5,096 3,354 23,366 6,257 - C.2 Financial derivatives without capital swap - Long positions 2,984 298 84 697 2,297 2,338 4,767 - - - - Short positions 3,029 279 98 514 2,736 2,047 5,899 - - - C.3 Deposits and loans to be received - Long positions - 22,179 - - 368 1,361 811 65 - - - Short positions - 14,768 - 4,352 1,997 1,976 1,559 130 - - C.4 Commitments to disburse funds - Long positions 13 5,915 - 210 297 683 1,270 3,358 1,658 - - Short positions 13,404 - - - - - - - - - C.5 Financial guarantees given - - - 39 - - 4 7 28 - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 745 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: euro (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 16,148 9,971 3,906 9,845 14,616 15,160 24,685 118,406 69,770 14,688 A.1 Government securities 21 - 89 495 409 2,279 5,275 35,894 15,163 - A.2 Other debt securities 42 71 88 188 47 282 673 8,168 10,320 17 A.3 Units in investment funds 1,336 - - - - - - - - - A.4 Loans 14,749 9,900 3,729 9,162 14,160 12,599 18,737 74,344 44,287 14,671 - Banks 2,038 2,761 211 1,172 566 1,025 1,924 978 189 14,662 - Customers 12,711 7,139 3,518 7,990 13,594 11,574 16,813 73,366 44,098 9 B. On-balance sheet liabilities 210,018 20,477 3,182 5,951 8,585 11,111 7,350 73,695 13,441 - B.1. Deposits and current accounts 196,053 31 1 513 27 46 14 - 2 - - Banks 1,881 30 - 506 8 8 12 - - - - Customers 194,172 1 1 7 19 38 2 - 2 - B.2 Debt securities 20 905 340 2,081 1,921 3,958 6,933 21,191 10,694 - B.3 Other liabilities 13,945 19,541 2,841 3,357 6,637 7,107 403 52,504 2,745 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 4 5,554 5,494 3,477 25,856 5,589 21,881 28,130 7,076 - - Short positions 3 5,597 4,841 44,558 10,989 5,096 3,354 23,366 6,257 - C.2 Financial derivatives without capital swap - Long positions 2,984 298 84 697 2,297 2,338 4,767 - - - - Short positions 3,029 279 98 514 2,736 2,047 5,899 - - - C.3 Deposits and loans to be received - Long positions - 22,179 - - 368 1,361 811 65 - - - Short positions - 14,768 - 4,352 1,997 1,976 1,559 130 - - C.4 Commitments to disburse funds - Long positions 13 5,915 - 210 297 683 1,270 3,358 1,658 - - Short positions 13,404 - - - - - - - - - C.5 Financial guarantees given - - - 39 - - 4 7 28 - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 745 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: euro (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 16,148 9,971 3,906 9,845 14,616 15,160 24,685 118,406 69,770 14,688 A.1 Government securities 21 - 89 495 409 2,279 5,275 35,894 15,163 - A.2 Other debt securities 42 71 88 188 47 282 673 8,168 10,320 17 A.3 Units in investment funds 1,336 - - - - - - - - - A.4 Loans 14,749 9,900 3,729 9,162 14,160 12,599 18,737 74,344 44,287 14,671 - Banks 2,038 2,761 211 1,172 566 1,025 1,924 978 189 14,662 - Customers 12,711 7,139 3,518 7,990 13,594 11,574 16,813 73,366 44,098 9 B. On-balance sheet liabilities 210,018 20,477 3,182 5,951 8,585 11,111 7,350 73,695 13,441 - B.1. Deposits and current accounts 196,053 31 1 513 27 46 14 - 2 - - Banks 1,881 30 - 506 8 8 12 - - - - Customers 194,172 1 1 7 19 38 2 - 2 - B.2 Debt securities 20 905 340 2,081 1,921 3,958 6,933 21,191 10,694 - B.3 Other liabilities 13,945 19,541 2,841 3,357 6,637 7,107 403 52,504 2,745 - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 4 5,554 5,494 3,477 25,856 5,589 21,881 28,130 7,076 - - Short positions 3 5,597 4,841 44,558 10,989 5,096 3,354 23,366 6,257 - C.2 Financial derivatives without capital swap - Long positions 2,984 298 84 697 2,297 2,338 4,767 - - - - Short positions 3,029 279 98 514 2,736 2,047 5,899 - - - C.3 Deposits and loans to be received - Long positions - 22,179 - - 368 1,361 811 65 - - - Short positions - 14,768 - 4,352 1,997 1,976 1,559 130 - - C.4 Commitments to disburse funds - Long positions 13 5,915 - 210 297 683 1,270 3,358 1,658 - - Short positions 13,404 - - - - - - - - - C.5 Financial guarantees given - - - 39 - - 4 7 28 - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 746 2021 Annual Report and Accounts · UniCredit 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: other currencies (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 743 473 166 707 773 1,196 2,683 9,375 4,173 6 A.1 Government securities 3 - - - 3 194 1,980 4,290 1,987 - A.2 Other debt securities - - 3 - 7 11 20 1,194 1,386 6 A.3 Units in investment funds 229 - - - - - - - - - A.4 Loans 511 473 163 707 763 991 683 3,891 800 - - Banks 1 130 30 82 91 120 19 784 - - - Customers 510 343 133 625 672 871 664 3,107 800 - B. On-balance sheet liabilities 5,578 1,652 4,398 1,316 828 2,055 312 4,151 5,714 - B.1. Deposits and current accounts 4,636 1,434 1,583 584 221 370 38 21 - - - Banks 1,182 1,408 1,583 533 198 368 37 21 - - - Customers 3,454 26 - 51 23 2 1 - - - B.2 Debt securities - - 2,771 31 27 1,679 264 4,121 5,714 - B.3 Other liabilities 942 218 44 701 580 6 10 9 - - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 3 4,259 4,996 4,485 10,762 6,230 7,091 12,454 8,305 - - Short positions 5 4,230 1,966 3,312 6,212 6,101 8,532 17,101 9,106 - C.2 Financial derivatives without capital swap - Long positions 3,576 - 218 1 64 822 804 - - - - Short positions 3,583 42 98 1 355 409 687 - - - C.3 Deposits and loans to be received - Long positions 5 - 2 - - - - - - - - Short positions - - 2 - - - 4 - - - C.4 Commitments to disburse funds - Long positions 1 - - - 5 - - 21 355 - - Short positions 376 1 - - 5 - - - - - C.5 Financial guarantees given - - - 1 - - - - - - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 746 2021 Annual Report and Accounts · UniCredit 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: other currencies (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 743 473 166 707 773 1,196 2,683 9,375 4,173 6 A.1 Government securities 3 - - - 3 194 1,980 4,290 1,987 - A.2 Other debt securities - - 3 - 7 11 20 1,194 1,386 6 A.3 Units in investment funds 229 - - - - - - - - - A.4 Loans 511 473 163 707 763 991 683 3,891 800 - - Banks 1 130 30 82 91 120 19 784 - - - Customers 510 343 133 625 672 871 664 3,107 800 - B. On-balance sheet liabilities 5,578 1,652 4,398 1,316 828 2,055 312 4,151 5,714 - B.1. Deposits and current accounts 4,636 1,434 1,583 584 221 370 38 21 - - - Banks 1,182 1,408 1,583 533 198 368 37 21 - - - Customers 3,454 26 - 51 23 2 1 - - - B.2 Debt securities - - 2,771 31 27 1,679 264 4,121 5,714 - B.3 Other liabilities 942 218 44 701 580 6 10 9 - - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 3 4,259 4,996 4,485 10,762 6,230 7,091 12,454 8,305 - - Short positions 5 4,230 1,966 3,312 6,212 6,101 8,532 17,101 9,106 - C.2 Financial derivatives without capital swap - Long positions 3,576 - 218 1 64 822 804 - - - - Short positions 3,583 42 98 1 355 409 687 - - - C.3 Deposits and loans to be received - Long positions 5 - 2 - - - - - - - - Short positions - - 2 - - - 4 - - - C.4 Commitments to disburse funds - Long positions 1 - - - 5 - - 21 355 - - Short positions 376 1 - - 5 - - - - - C.5 Financial guarantees given - - - 1 - - - - - - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 746 2021 Annual Report and Accounts · UniCredit 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: other currencies (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 743 473 166 707 773 1,196 2,683 9,375 4,173 6 A.1 Government securities 3 - - - 3 194 1,980 4,290 1,987 - A.2 Other debt securities - - 3 - 7 11 20 1,194 1,386 6 A.3 Units in investment funds 229 - - - - - - - - - A.4 Loans 511 473 163 707 763 991 683 3,891 800 - - Banks 1 130 30 82 91 120 19 784 - - - Customers 510 343 133 625 672 871 664 3,107 800 - B. On-balance sheet liabilities 5,578 1,652 4,398 1,316 828 2,055 312 4,151 5,714 - B.1. Deposits and current accounts 4,636 1,434 1,583 584 221 370 38 21 - - - Banks 1,182 1,408 1,583 533 198 368 37 21 - - - Customers 3,454 26 - 51 23 2 1 - - - B.2 Debt securities - - 2,771 31 27 1,679 264 4,121 5,714 - B.3 Other liabilities 942 218 44 701 580 6 10 9 - - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 3 4,259 4,996 4,485 10,762 6,230 7,091 12,454 8,305 - - Short positions 5 4,230 1,966 3,312 6,212 6,101 8,532 17,101 9,106 - C.2 Financial derivatives without capital swap - Long positions 3,576 - 218 1 64 822 804 - - - - Short positions 3,583 42 98 1 355 409 687 - - - C.3 Deposits and loans to be received - Long positions 5 - 2 - - - - - - - - Short positions - - 2 - - - 4 - - - C.4 Commitments to disburse funds - Long positions 1 - - - 5 - - 21 355 - - Short positions 376 1 - - 5 - - - - - C.5 Financial guarantees given - - - 1 - - - - - - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 746 2021 Annual Report and Accounts · UniCredit 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: other currencies (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 743 473 166 707 773 1,196 2,683 9,375 4,173 6 A.1 Government securities 3 - - - 3 194 1,980 4,290 1,987 - A.2 Other debt securities - - 3 - 7 11 20 1,194 1,386 6 A.3 Units in investment funds 229 - - - - - - - - - A.4 Loans 511 473 163 707 763 991 683 3,891 800 - - Banks 1 130 30 82 91 120 19 784 - - - Customers 510 343 133 625 672 871 664 3,107 800 - B. On-balance sheet liabilities 5,578 1,652 4,398 1,316 828 2,055 312 4,151 5,714 - B.1. Deposits and current accounts 4,636 1,434 1,583 584 221 370 38 21 - - - Banks 1,182 1,408 1,583 533 198 368 37 21 - - - Customers 3,454 26 - 51 23 2 1 - - - B.2 Debt securities - - 2,771 31 27 1,679 264 4,121 5,714 - B.3 Other liabilities 942 218 44 701 580 6 10 9 - - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 3 4,259 4,996 4,485 10,762 6,230 7,091 12,454 8,305 - - Short positions 5 4,230 1,966 3,312 6,212 6,101 8,532 17,101 9,106 - C.2 Financial derivatives without capital swap - Long positions 3,576 - 218 1 64 822 804 - - - - Short positions 3,583 42 98 1 355 409 687 - - - C.3 Deposits and loans to be received - Long positions 5 - 2 - - - - - - - - Short positions - - 2 - - - 4 - - - C.4 Commitments to disburse funds - Long positions 1 - - - 5 - - 21 355 - - Short positions 376 1 - - 5 - - - - - C.5 Financial guarantees given - - - 1 - - - - - - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 746 2021 Annual Report and Accounts · UniCredit 1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: other currencies (€ million) ITEMS/MATURITY AMOUNT AS AT 12.31.2021 ON DEMAND 1 TO 7 DAYS 7 TO 15 DAYS 15 DAYS TO ONE MONTH 1 TO 3 MONTHS 3 TO 6 MONTHS 6 MONTHS TO 1 YEAR 1 TO 5 YEARS OVER 5 YEARS INDEFINITE MATURITY A. On-balance sheet assets 743 473 166 707 773 1,196 2,683 9,375 4,173 6 A.1 Government securities 3 - - - 3 194 1,980 4,290 1,987 - A.2 Other debt securities - - 3 - 7 11 20 1,194 1,386 6 A.3 Units in investment funds 229 - - - - - - - - - A.4 Loans 511 473 163 707 763 991 683 3,891 800 - - Banks 1 130 30 82 91 120 19 784 - - - Customers 510 343 133 625 672 871 664 3,107 800 - B. On-balance sheet liabilities 5,578 1,652 4,398 1,316 828 2,055 312 4,151 5,714 - B.1. Deposits and current accounts 4,636 1,434 1,583 584 221 370 38 21 - - - Banks 1,182 1,408 1,583 533 198 368 37 21 - - - Customers 3,454 26 - 51 23 2 1 - - - B.2 Debt securities - - 2,771 31 27 1,679 264 4,121 5,714 - B.3 Other liabilities 942 218 44 701 580 6 10 9 - - C. Off-balance sheet transactions C.1 Financial derivatives with capital swap - Long positions 3 4,259 4,996 4,485 10,762 6,230 7,091 12,454 8,305 - - Short positions 5 4,230 1,966 3,312 6,212 6,101 8,532 17,101 9,106 - C.2 Financial derivatives without capital swap - Long positions 3,576 - 218 1 64 822 804 - - - - Short positions 3,583 42 98 1 355 409 687 - - - C.3 Deposits and loans to be received - Long positions 5 - 2 - - - - - - - - Short positions - - 2 - - - 4 - - - C.4 Commitments to disburse funds - Long positions 1 - - - 5 - - 21 355 - - Short positions 376 1 - - 5 - - - - - C.5 Financial guarantees given - - - 1 - - - - - - C.6 Financial guarantees received - - - - - - - - - - C.7 Credit derivatives with capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - C.8 Credit derivatives without capital swap - Long positions - - - - - - - - - - - Short positions - - - - - - - - - - Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 747 Section 5 - Operational risk Qualitative information A. General aspects, operational processes and methods for measuring operational risk Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring operational risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. B. Risks arising from legal disputes Reference is made to the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. C. Risks arising from employment law cases Reference is made to the paragraph “C. Risk arising from employment law cases” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. D. Risks arising from tax disputes Reference is made to the paragraph “D. Risks arising from tax disputes” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. E. Other claims by customers Supporting the business structures, the Compliance function oversees the regulatory environment evolution relating to banking services and products in areas like transparency, financial and investment services and anti-usury. Compliance, as control function, develops rules, checks processes and procedures and monitors complaints trends. The Compliance function, along with the Legal one, also supports analysis and evaluation stages of adequacy of potential "customer care" actions or other initiatives designed to compose particular situations in which UniCredit S.p.A. might be involved in order to define them. Considering the regulatory complexity and interpretations not always homogeneous, UniCredit S.p.A. time-to-time assesses the accounting of provisions for risk and charges, aimed at facing costs, deemed probable, in a contest that has increased the litigiousness at baking system level. Concerning the financing of consumer credit, the EU Directive 2008/48 establishes that “the consumer shall be entitled at any time to discharge fully or partially his obligations under a credit agreement. In such cases, he shall be entitled to a reduction in the total cost of credit, such reduction consisting of the interest and the costs for the remaining duration of the contract”. Following the decision of the European Court of Justice in September 2019 (judgment C-383/18 referring to the “Lexitor” case) and the communication of the Banca d’Italia issued in December 2020, UniCredit S.p.A. proceeded to adapt to the most recent interpretation of this legislation. Therefore, in the event of a request for early repayment of the loan, the consumer is entitled to pay off his debt net of costs not yet accrued on the repayment date. In consideration of the above, as well as the interpretations prior to the aforementioned communication of Banca d’Italia, the Bank noted the guidelines issued by the Authority adapting to the framework outlined, and has carried out the appropriate assessments, also to preserve the quality of the customers relationship. Diamond offer Over the years, within the diversification of investments to which the available assets are addressed and also considering in this context those investments with the characteristics of the so-called “safe haven” with a long-term horizon, several UniCredit S.p.A. customers have historically invested in diamonds through a specialised intermediary company, with which the Bank has stipulated, since 1998, a collaboration agreement as “Introducer”, in order to regulate the "reporting" methods of the offer of diamonds by the same company to UniCredit S.p.A. customers. Since the end of 2016, the liquidity available on the market to meet the requests of customers who intended to divest their diamond assets has contracted to a certain extent until it became nil, with the suspension of the service by the brokerage company. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 747 Section 5 - Operational risk Qualitative information A. General aspects, operational processes and methods for measuring operational risk Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring operational risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. B. Risks arising from legal disputes Reference is made to the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. C. Risks arising from employment law cases Reference is made to the paragraph “C. Risk arising from employment law cases” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. D. Risks arising from tax disputes Reference is made to the paragraph “D. Risks arising from tax disputes” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. E. Other claims by customers Supporting the business structures, the Compliance function oversees the regulatory environment evolution relating to banking services and products in areas like transparency, financial and investment services and anti-usury. Compliance, as control function, develops rules, checks processes and procedures and monitors complaints trends. The Compliance function, along with the Legal one, also supports analysis and evaluation stages of adequacy of potential "customer care" actions or other initiatives designed to compose particular situations in which UniCredit S.p.A. might be involved in order to define them. Considering the regulatory complexity and interpretations not always homogeneous, UniCredit S.p.A. time-to-time assesses the accounting of provisions for risk and charges, aimed at facing costs, deemed probable, in a contest that has increased the litigiousness at baking system level. Concerning the financing of consumer credit, the EU Directive 2008/48 establishes that “the consumer shall be entitled at any time to discharge fully or partially his obligations under a credit agreement. In such cases, he shall be entitled to a reduction in the total cost of credit, such reduction consisting of the interest and the costs for the remaining duration of the contract”. Following the decision of the European Court of Justice in September 2019 (judgment C-383/18 referring to the “Lexitor” case) and the communication of the Banca d’Italia issued in December 2020, UniCredit S.p.A. proceeded to adapt to the most recent interpretation of this legislation. Therefore, in the event of a request for early repayment of the loan, the consumer is entitled to pay off his debt net of costs not yet accrued on the repayment date. In consideration of the above, as well as the interpretations prior to the aforementioned communication of Banca d’Italia, the Bank noted the guidelines issued by the Authority adapting to the framework outlined, and has carried out the appropriate assessments, also to preserve the quality of the customers relationship. Diamond offer Over the years, within the diversification of investments to which the available assets are addressed and also considering in this context those investments with the characteristics of the so-called “safe haven” with a long-term horizon, several UniCredit S.p.A. customers have historically invested in diamonds through a specialised intermediary company, with which the Bank has stipulated, since 1998, a collaboration agreement as “Introducer”, in order to regulate the "reporting" methods of the offer of diamonds by the same company to UniCredit S.p.A. customers. Since the end of 2016, the liquidity available on the market to meet the requests of customers who intended to divest their diamond assets has contracted to a certain extent until it became nil, with the suspension of the service by the brokerage company. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 747 Section 5 - Operational risk Qualitative information A. General aspects, operational processes and methods for measuring operational risk Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring operational risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. B. Risks arising from legal disputes Reference is made to the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. C. Risks arising from employment law cases Reference is made to the paragraph “C. Risk arising from employment law cases” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. D. Risks arising from tax disputes Reference is made to the paragraph “D. Risks arising from tax disputes” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. E. Other claims by customers Supporting the business structures, the Compliance function oversees the regulatory environment evolution relating to banking services and products in areas like transparency, financial and investment services and anti-usury. Compliance, as control function, develops rules, checks processes and procedures and monitors complaints trends. The Compliance function, along with the Legal one, also supports analysis and evaluation stages of adequacy of potential "customer care" actions or other initiatives designed to compose particular situations in which UniCredit S.p.A. might be involved in order to define them. Considering the regulatory complexity and interpretations not always homogeneous, UniCredit S.p.A. time-to-time assesses the accounting of provisions for risk and charges, aimed at facing costs, deemed probable, in a contest that has increased the litigiousness at baking system level. Concerning the financing of consumer credit, the EU Directive 2008/48 establishes that “the consumer shall be entitled at any time to discharge fully or partially his obligations under a credit agreement. In such cases, he shall be entitled to a reduction in the total cost of credit, such reduction consisting of the interest and the costs for the remaining duration of the contract”. Following the decision of the European Court of Justice in September 2019 (judgment C-383/18 referring to the “Lexitor” case) and the communication of the Banca d’Italia issued in December 2020, UniCredit S.p.A. proceeded to adapt to the most recent interpretation of this legislation. Therefore, in the event of a request for early repayment of the loan, the consumer is entitled to pay off his debt net of costs not yet accrued on the repayment date. In consideration of the above, as well as the interpretations prior to the aforementioned communication of Banca d’Italia, the Bank noted the guidelines issued by the Authority adapting to the framework outlined, and has carried out the appropriate assessments, also to preserve the quality of the customers relationship. Diamond offer Over the years, within the diversification of investments to which the available assets are addressed and also considering in this context those investments with the characteristics of the so-called “safe haven” with a long-term horizon, several UniCredit S.p.A. customers have historically invested in diamonds through a specialised intermediary company, with which the Bank has stipulated, since 1998, a collaboration agreement as “Introducer”, in order to regulate the "reporting" methods of the offer of diamonds by the same company to UniCredit S.p.A. customers. Since the end of 2016, the liquidity available on the market to meet the requests of customers who intended to divest their diamond assets has contracted to a certain extent until it became nil, with the suspension of the service by the brokerage company. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 747 Section 5 - Operational risk Qualitative information A. General aspects, operational processes and methods for measuring operational risk Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring operational risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. B. Risks arising from legal disputes Reference is made to the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. C. Risks arising from employment law cases Reference is made to the paragraph “C. Risk arising from employment law cases” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. D. Risks arising from tax disputes Reference is made to the paragraph “D. Risks arising from tax disputes” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. E. Other claims by customers Supporting the business structures, the Compliance function oversees the regulatory environment evolution relating to banking services and products in areas like transparency, financial and investment services and anti-usury. Compliance, as control function, develops rules, checks processes and procedures and monitors complaints trends. The Compliance function, along with the Legal one, also supports analysis and evaluation stages of adequacy of potential "customer care" actions or other initiatives designed to compose particular situations in which UniCredit S.p.A. might be involved in order to define them. Considering the regulatory complexity and interpretations not always homogeneous, UniCredit S.p.A. time-to-time assesses the accounting of provisions for risk and charges, aimed at facing costs, deemed probable, in a contest that has increased the litigiousness at baking system level. Concerning the financing of consumer credit, the EU Directive 2008/48 establishes that “the consumer shall be entitled at any time to discharge fully or partially his obligations under a credit agreement. In such cases, he shall be entitled to a reduction in the total cost of credit, such reduction consisting of the interest and the costs for the remaining duration of the contract”. Following the decision of the European Court of Justice in September 2019 (judgment C-383/18 referring to the “Lexitor” case) and the communication of the Banca d’Italia issued in December 2020, UniCredit S.p.A. proceeded to adapt to the most recent interpretation of this legislation. Therefore, in the event of a request for early repayment of the loan, the consumer is entitled to pay off his debt net of costs not yet accrued on the repayment date. In consideration of the above, as well as the interpretations prior to the aforementioned communication of Banca d’Italia, the Bank noted the guidelines issued by the Authority adapting to the framework outlined, and has carried out the appropriate assessments, also to preserve the quality of the customers relationship. Diamond offer Over the years, within the diversification of investments to which the available assets are addressed and also considering in this context those investments with the characteristics of the so-called “safe haven” with a long-term horizon, several UniCredit S.p.A. customers have historically invested in diamonds through a specialised intermediary company, with which the Bank has stipulated, since 1998, a collaboration agreement as “Introducer”, in order to regulate the "reporting" methods of the offer of diamonds by the same company to UniCredit S.p.A. customers. Since the end of 2016, the liquidity available on the market to meet the requests of customers who intended to divest their diamond assets has contracted to a certain extent until it became nil, with the suspension of the service by the brokerage company. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 747 Section 5 - Operational risk Qualitative information A. General aspects, operational processes and methods for measuring operational risk Reference is made to the paragraph “A. General aspects, operational processes and methods for measuring operational risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. B. Risks arising from legal disputes Reference is made to the paragraph “B. Legal risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. C. Risks arising from employment law cases Reference is made to the paragraph “C. Risk arising from employment law cases” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. D. Risks arising from tax disputes Reference is made to the paragraph “D. Risks arising from tax disputes” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, Qualitative information, which is herewith quoted entirely. E. Other claims by customers Supporting the business structures, the Compliance function oversees the regulatory environment evolution relating to banking services and products in areas like transparency, financial and investment services and anti-usury. Compliance, as control function, develops rules, checks processes and procedures and monitors complaints trends. The Compliance function, along with the Legal one, also supports analysis and evaluation stages of adequacy of potential "customer care" actions or other initiatives designed to compose particular situations in which UniCredit S.p.A. might be involved in order to define them. Considering the regulatory complexity and interpretations not always homogeneous, UniCredit S.p.A. time-to-time assesses the accounting of provisions for risk and charges, aimed at facing costs, deemed probable, in a contest that has increased the litigiousness at baking system level. Concerning the financing of consumer credit, the EU Directive 2008/48 establishes that “the consumer shall be entitled at any time to discharge fully or partially his obligations under a credit agreement. In such cases, he shall be entitled to a reduction in the total cost of credit, such reduction consisting of the interest and the costs for the remaining duration of the contract”. Following the decision of the European Court of Justice in September 2019 (judgment C-383/18 referring to the “Lexitor” case) and the communication of the Banca d’Italia issued in December 2020, UniCredit S.p.A. proceeded to adapt to the most recent interpretation of this legislation. Therefore, in the event of a request for early repayment of the loan, the consumer is entitled to pay off his debt net of costs not yet accrued on the repayment date. In consideration of the above, as well as the interpretations prior to the aforementioned communication of Banca d’Italia, the Bank noted the guidelines issued by the Authority adapting to the framework outlined, and has carried out the appropriate assessments, also to preserve the quality of the customers relationship. Diamond offer Over the years, within the diversification of investments to which the available assets are addressed and also considering in this context those investments with the characteristics of the so-called “safe haven” with a long-term horizon, several UniCredit S.p.A. customers have historically invested in diamonds through a specialised intermediary company, with which the Bank has stipulated, since 1998, a collaboration agreement as “Introducer”, in order to regulate the "reporting" methods of the offer of diamonds by the same company to UniCredit S.p.A. customers. Since the end of 2016, the liquidity available on the market to meet the requests of customers who intended to divest their diamond assets has contracted to a certain extent until it became nil, with the suspension of the service by the brokerage company. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 748 2021 Annual Report and Accounts · UniCredit In 2017 UniCredit S.p.A. started a “customer care” initiative which envisaged the availability of the Bank to intervene for the acknowledgement towards the customer of the original cost incurred for the purchase of precious items and the consequent withdrawal of the stones, upon certain conditions. The initiative has been adopted by the Bank assessing the absence of responsibility for its role as “Introducer”; nevertheless, the AGCM ascertained the responsibility of UniCredit S.p.A. for unfair commercial practice (confirmed in appeal by the Administrative Regional Court in the second half of 2018), imposing, in 2017, a fine of €4 million paid in the same year. The Bank has filed an appeal to the Council of State. With a sentence of 11 March 2021, the Council of State accepted the appeal brought by UniCredit S.p.A. against the fine imposed by reducing the amount of the fine to €2.8 million and sentenced AGCM to return 1.2 million, amount reimbursed in June 2021. For the sake of completeness, it should be noted that on 8 March 2018, a specific communication was issued from Banca d'Italia concerning the “Related activities exercisable by bank”", in which large attention was given to the reporting at the bank branches of operations, purchase and sale of diamonds by specialised third-party companies. As at 31 December 2021, UniCredit S.p.A. received reimbursement requests for a total amount of about €409 million (cost originally incurred by the Clients) from No.12,233 Customers; according to a preliminary analysis, such requests fulfill the requirements envisaged by the "customer care" initiative; the finalization of the reimbursement requests is currently carried out, aimed at assessing their effective compliance with the "customer care" initiative, and then proceed with the settlement where conditions recur; with reference to the scope outlined above (€409 million), reimbursed No.11,076 customers for about €387 million (equivalent value of original purchases), equal to about 95% of the reimbursement requests said above. In order to cope with the probable risks of loss related to the repurchases of diamonds, a dedicated Provision for risks and charges was set up; its quantification was also based on the outcome of an independent study (commissioned to a primary third company) aiming at evaluating the diamonds' value. Finally, in line with a strategy that envisages its disposal in the short term, the gems purchased are recognised for about €52 million in item “120. Other assets” of the balance sheet. On 19 February 2019, the Judge in charge of the Preliminary Investigation at the Court of Milan issued an interim seizure directed to UniCredit S.p.A. and other financial institutions aimed at: (i) direct confiscation of the amount of €33 million against UniCredit S.p.A. for the offence of aggravated fraud and (ii) indirect as well as direct confiscation of the amount of €72 thousand for the offence of self-laundering against UniCredit S.p.A. From the seizure order it emerges that investigations for the administrative offence under Art.25-octies of Legislative Decree No.231/2001 are pending against UniCredit S.p.A. for the crime of self-laundering. On 2 October 2019, the Bank and certain individuals received the notice of conclusion of the investigations pursuant to Art.415-bis of the Italian Code of criminal procedure. The notice confirmed the involvement of certain current and former employees for the offence of aggravated fraud and self-laundering. With regard to the latter, self-laundering serves as a predicate crime for the administrative liability of the Bank under Legislative Decree No.231/2001. In September 2020, a new notice pursuant to Art.415-bis of the Italian Code of criminal procedure was served on certain individuals already involved in the proceedings. The allegations against the UniCredit S.p.A. individuals only pertain to the offence of fraud. Such new allegations do not modify the overall investigative framework as per the notice served in the autumn of 2019. In June 2021 the public prosecutor issued the formal request of indictment against certain current and former employees and the preliminary hearing has commenced. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 748 2021 Annual Report and Accounts · UniCredit In 2017 UniCredit S.p.A. started a “customer care” initiative which envisaged the availability of the Bank to intervene for the acknowledgement towards the customer of the original cost incurred for the purchase of precious items and the consequent withdrawal of the stones, upon certain conditions. The initiative has been adopted by the Bank assessing the absence of responsibility for its role as “Introducer”; nevertheless, the AGCM ascertained the responsibility of UniCredit S.p.A. for unfair commercial practice (confirmed in appeal by the Administrative Regional Court in the second half of 2018), imposing, in 2017, a fine of €4 million paid in the same year. The Bank has filed an appeal to the Council of State. With a sentence of 11 March 2021, the Council of State accepted the appeal brought by UniCredit S.p.A. against the fine imposed by reducing the amount of the fine to €2.8 million and sentenced AGCM to return 1.2 million, amount reimbursed in June 2021. For the sake of completeness, it should be noted that on 8 March 2018, a specific communication was issued from Banca d'Italia concerning the “Related activities exercisable by bank”", in which large attention was given to the reporting at the bank branches of operations, purchase and sale of diamonds by specialised third-party companies. As at 31 December 2021, UniCredit S.p.A. received reimbursement requests for a total amount of about €409 million (cost originally incurred by the Clients) from No.12,233 Customers; according to a preliminary analysis, such requests fulfill the requirements envisaged by the "customer care" initiative; the finalization of the reimbursement requests is currently carried out, aimed at assessing their effective compliance with the "customer care" initiative, and then proceed with the settlement where conditions recur; with reference to the scope outlined above (€409 million), reimbursed No.11,076 customers for about €387 million (equivalent value of original purchases), equal to about 95% of the reimbursement requests said above. In order to cope with the probable risks of loss related to the repurchases of diamonds, a dedicated Provision for risks and charges was set up; its quantification was also based on the outcome of an independent study (commissioned to a primary third company) aiming at evaluating the diamonds' value. Finally, in line with a strategy that envisages its disposal in the short term, the gems purchased are recognised for about €52 million in item “120. Other assets” of the balance sheet. On 19 February 2019, the Judge in charge of the Preliminary Investigation at the Court of Milan issued an interim seizure directed to UniCredit S.p.A. and other financial institutions aimed at: (i) direct confiscation of the amount of €33 million against UniCredit S.p.A. for the offence of aggravated fraud and (ii) indirect as well as direct confiscation of the amount of €72 thousand for the offence of self-laundering against UniCredit S.p.A. From the seizure order it emerges that investigations for the administrative offence under Art.25-octies of Legislative Decree No.231/2001 are pending against UniCredit S.p.A. for the crime of self-laundering. On 2 October 2019, the Bank and certain individuals received the notice of conclusion of the investigations pursuant to Art.415-bis of the Italian Code of criminal procedure. The notice confirmed the involvement of certain current and former employees for the offence of aggravated fraud and self-laundering. With regard to the latter, self-laundering serves as a predicate crime for the administrative liability of the Bank under Legislative Decree No.231/2001. In September 2020, a new notice pursuant to Art.415-bis of the Italian Code of criminal procedure was served on certain individuals already involved in the proceedings. The allegations against the UniCredit S.p.A. individuals only pertain to the offence of fraud. Such new allegations do not modify the overall investigative framework as per the notice served in the autumn of 2019. In June 2021 the public prosecutor issued the formal request of indictment against certain current and former employees and the preliminary hearing has commenced. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 748 2021 Annual Report and Accounts · UniCredit In 2017 UniCredit S.p.A. started a “customer care” initiative which envisaged the availability of the Bank to intervene for the acknowledgement towards the customer of the original cost incurred for the purchase of precious items and the consequent withdrawal of the stones, upon certain conditions. The initiative has been adopted by the Bank assessing the absence of responsibility for its role as “Introducer”; nevertheless, the AGCM ascertained the responsibility of UniCredit S.p.A. for unfair commercial practice (confirmed in appeal by the Administrative Regional Court in the second half of 2018), imposing, in 2017, a fine of €4 million paid in the same year. The Bank has filed an appeal to the Council of State. With a sentence of 11 March 2021, the Council of State accepted the appeal brought by UniCredit S.p.A. against the fine imposed by reducing the amount of the fine to €2.8 million and sentenced AGCM to return 1.2 million, amount reimbursed in June 2021. For the sake of completeness, it should be noted that on 8 March 2018, a specific communication was issued from Banca d'Italia concerning the “Related activities exercisable by bank”", in which large attention was given to the reporting at the bank branches of operations, purchase and sale of diamonds by specialised third-party companies. As at 31 December 2021, UniCredit S.p.A. received reimbursement requests for a total amount of about €409 million (cost originally incurred by the Clients) from No.12,233 Customers; according to a preliminary analysis, such requests fulfill the requirements envisaged by the "customer care" initiative; the finalization of the reimbursement requests is currently carried out, aimed at assessing their effective compliance with the "customer care" initiative, and then proceed with the settlement where conditions recur; with reference to the scope outlined above (€409 million), reimbursed No.11,076 customers for about €387 million (equivalent value of original purchases), equal to about 95% of the reimbursement requests said above. In order to cope with the probable risks of loss related to the repurchases of diamonds, a dedicated Provision for risks and charges was set up; its quantification was also based on the outcome of an independent study (commissioned to a primary third company) aiming at evaluating the diamonds' value. Finally, in line with a strategy that envisages its disposal in the short term, the gems purchased are recognised for about €52 million in item “120. Other assets” of the balance sheet. On 19 February 2019, the Judge in charge of the Preliminary Investigation at the Court of Milan issued an interim seizure directed to UniCredit S.p.A. and other financial institutions aimed at: (i) direct confiscation of the amount of €33 million against UniCredit S.p.A. for the offence of aggravated fraud and (ii) indirect as well as direct confiscation of the amount of €72 thousand for the offence of self-laundering against UniCredit S.p.A. From the seizure order it emerges that investigations for the administrative offence under Art.25-octies of Legislative Decree No.231/2001 are pending against UniCredit S.p.A. for the crime of self-laundering. On 2 October 2019, the Bank and certain individuals received the notice of conclusion of the investigations pursuant to Art.415-bis of the Italian Code of criminal procedure. The notice confirmed the involvement of certain current and former employees for the offence of aggravated fraud and self-laundering. With regard to the latter, self-laundering serves as a predicate crime for the administrative liability of the Bank under Legislative Decree No.231/2001. In September 2020, a new notice pursuant to Art.415-bis of the Italian Code of criminal procedure was served on certain individuals already involved in the proceedings. The allegations against the UniCredit S.p.A. individuals only pertain to the offence of fraud. Such new allegations do not modify the overall investigative framework as per the notice served in the autumn of 2019. In June 2021 the public prosecutor issued the formal request of indictment against certain current and former employees and the preliminary hearing has commenced. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 748 2021 Annual Report and Accounts · UniCredit In 2017 UniCredit S.p.A. started a “customer care” initiative which envisaged the availability of the Bank to intervene for the acknowledgement towards the customer of the original cost incurred for the purchase of precious items and the consequent withdrawal of the stones, upon certain conditions. The initiative has been adopted by the Bank assessing the absence of responsibility for its role as “Introducer”; nevertheless, the AGCM ascertained the responsibility of UniCredit S.p.A. for unfair commercial practice (confirmed in appeal by the Administrative Regional Court in the second half of 2018), imposing, in 2017, a fine of €4 million paid in the same year. The Bank has filed an appeal to the Council of State. With a sentence of 11 March 2021, the Council of State accepted the appeal brought by UniCredit S.p.A. against the fine imposed by reducing the amount of the fine to €2.8 million and sentenced AGCM to return 1.2 million, amount reimbursed in June 2021. For the sake of completeness, it should be noted that on 8 March 2018, a specific communication was issued from Banca d'Italia concerning the “Related activities exercisable by bank”", in which large attention was given to the reporting at the bank branches of operations, purchase and sale of diamonds by specialised third-party companies. As at 31 December 2021, UniCredit S.p.A. received reimbursement requests for a total amount of about €409 million (cost originally incurred by the Clients) from No.12,233 Customers; according to a preliminary analysis, such requests fulfill the requirements envisaged by the "customer care" initiative; the finalization of the reimbursement requests is currently carried out, aimed at assessing their effective compliance with the "customer care" initiative, and then proceed with the settlement where conditions recur; with reference to the scope outlined above (€409 million), reimbursed No.11,076 customers for about €387 million (equivalent value of original purchases), equal to about 95% of the reimbursement requests said above. In order to cope with the probable risks of loss related to the repurchases of diamonds, a dedicated Provision for risks and charges was set up; its quantification was also based on the outcome of an independent study (commissioned to a primary third company) aiming at evaluating the diamonds' value. Finally, in line with a strategy that envisages its disposal in the short term, the gems purchased are recognised for about €52 million in item “120. Other assets” of the balance sheet. On 19 February 2019, the Judge in charge of the Preliminary Investigation at the Court of Milan issued an interim seizure directed to UniCredit S.p.A. and other financial institutions aimed at: (i) direct confiscation of the amount of €33 million against UniCredit S.p.A. for the offence of aggravated fraud and (ii) indirect as well as direct confiscation of the amount of €72 thousand for the offence of self-laundering against UniCredit S.p.A. From the seizure order it emerges that investigations for the administrative offence under Art.25-octies of Legislative Decree No.231/2001 are pending against UniCredit S.p.A. for the crime of self-laundering. On 2 October 2019, the Bank and certain individuals received the notice of conclusion of the investigations pursuant to Art.415-bis of the Italian Code of criminal procedure. The notice confirmed the involvement of certain current and former employees for the offence of aggravated fraud and self-laundering. With regard to the latter, self-laundering serves as a predicate crime for the administrative liability of the Bank under Legislative Decree No.231/2001. In September 2020, a new notice pursuant to Art.415-bis of the Italian Code of criminal procedure was served on certain individuals already involved in the proceedings. The allegations against the UniCredit S.p.A. individuals only pertain to the offence of fraud. Such new allegations do not modify the overall investigative framework as per the notice served in the autumn of 2019. In June 2021 the public prosecutor issued the formal request of indictment against certain current and former employees and the preliminary hearing has commenced. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies 748 2021 Annual Report and Accounts · UniCredit In 2017 UniCredit S.p.A. started a “customer care” initiative which envisaged the availability of the Bank to intervene for the acknowledgement towards the customer of the original cost incurred for the purchase of precious items and the consequent withdrawal of the stones, upon certain conditions. The initiative has been adopted by the Bank assessing the absence of responsibility for its role as “Introducer”; nevertheless, the AGCM ascertained the responsibility of UniCredit S.p.A. for unfair commercial practice (confirmed in appeal by the Administrative Regional Court in the second half of 2018), imposing, in 2017, a fine of €4 million paid in the same year. The Bank has filed an appeal to the Council of State. With a sentence of 11 March 2021, the Council of State accepted the appeal brought by UniCredit S.p.A. against the fine imposed by reducing the amount of the fine to €2.8 million and sentenced AGCM to return 1.2 million, amount reimbursed in June 2021. For the sake of completeness, it should be noted that on 8 March 2018, a specific communication was issued from Banca d'Italia concerning the “Related activities exercisable by bank”", in which large attention was given to the reporting at the bank branches of operations, purchase and sale of diamonds by specialised third-party companies. As at 31 December 2021, UniCredit S.p.A. received reimbursement requests for a total amount of about €409 million (cost originally incurred by the Clients) from No.12,233 Customers; according to a preliminary analysis, such requests fulfill the requirements envisaged by the "customer care" initiative; the finalization of the reimbursement requests is currently carried out, aimed at assessing their effective compliance with the "customer care" initiative, and then proceed with the settlement where conditions recur; with reference to the scope outlined above (€409 million), reimbursed No.11,076 customers for about €387 million (equivalent value of original purchases), equal to about 95% of the reimbursement requests said above. In order to cope with the probable risks of loss related to the repurchases of diamonds, a dedicated Provision for risks and charges was set up; its quantification was also based on the outcome of an independent study (commissioned to a primary third company) aiming at evaluating the diamonds' value. Finally, in line with a strategy that envisages its disposal in the short term, the gems purchased are recognised for about €52 million in item “120. Other assets” of the balance sheet. On 19 February 2019, the Judge in charge of the Preliminary Investigation at the Court of Milan issued an interim seizure directed to UniCredit S.p.A. and other financial institutions aimed at: (i) direct confiscation of the amount of €33 million against UniCredit S.p.A. for the offence of aggravated fraud and (ii) indirect as well as direct confiscation of the amount of €72 thousand for the offence of self-laundering against UniCredit S.p.A. From the seizure order it emerges that investigations for the administrative offence under Art.25-octies of Legislative Decree No.231/2001 are pending against UniCredit S.p.A. for the crime of self-laundering. On 2 October 2019, the Bank and certain individuals received the notice of conclusion of the investigations pursuant to Art.415-bis of the Italian Code of criminal procedure. The notice confirmed the involvement of certain current and former employees for the offence of aggravated fraud and self-laundering. With regard to the latter, self-laundering serves as a predicate crime for the administrative liability of the Bank under Legislative Decree No.231/2001. In September 2020, a new notice pursuant to Art.415-bis of the Italian Code of criminal procedure was served on certain individuals already involved in the proceedings. The allegations against the UniCredit S.p.A. individuals only pertain to the offence of fraud. Such new allegations do not modify the overall investigative framework as per the notice served in the autumn of 2019. In June 2021 the public prosecutor issued the formal request of indictment against certain current and former employees and the preliminary hearing has commenced. Company financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 749 Quantitative information Reference is made to the paragraph “Quantitative information” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, which is herewith quoted entirely. The categories “Process execution” and “External fraud” are not shown in the chart since they have a positive impact in the reference period due to the effects of recoveries and releases of funds. In 2021, the main source of operational risk refers to “Business practices”. The second largest contribution to losses refers to “Business disruption and technology system failures”. There were also, in decreasing order, losses stemming from “Employment practices”, “Internal fraud” and “Damage to physical assets”. Section 6 - Other risks Other risks included in Economic capital Reference is made to the paragraph “Other risks included in Economic capital” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. Reputational risk Reference is made to the paragraph “Reputational risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. Top and emerging risks Reference is made to the paragraph “Top and emerging risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. 92.4%3.4%2.5%1.3%0.4%Operational losses 2021 divided by risk categoryBusiness practicesBusiness disruption and technology system failuresEmployment practicesInternal fraudDamage to physical assetsProcess executionExternal fraudCompany financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 749 Quantitative information Reference is made to the paragraph “Quantitative information” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, which is herewith quoted entirely. The categories “Process execution” and “External fraud” are not shown in the chart since they have a positive impact in the reference period due to the effects of recoveries and releases of funds. In 2021, the main source of operational risk refers to “Business practices”. The second largest contribution to losses refers to “Business disruption and technology system failures”. There were also, in decreasing order, losses stemming from “Employment practices”, “Internal fraud” and “Damage to physical assets”. Section 6 - Other risks Other risks included in Economic capital Reference is made to the paragraph “Other risks included in Economic capital” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. Reputational risk Reference is made to the paragraph “Reputational risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. Top and emerging risks Reference is made to the paragraph “Top and emerging risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. 92.4%3.4%2.5%1.3%0.4%Operational losses 2021 divided by risk categoryBusiness practicesBusiness disruption and technology system failuresEmployment practicesInternal fraudDamage to physical assetsProcess executionExternal fraudCompany financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 749 Quantitative information Reference is made to the paragraph “Quantitative information” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, which is herewith quoted entirely. The categories “Process execution” and “External fraud” are not shown in the chart since they have a positive impact in the reference period due to the effects of recoveries and releases of funds. In 2021, the main source of operational risk refers to “Business practices”. The second largest contribution to losses refers to “Business disruption and technology system failures”. There were also, in decreasing order, losses stemming from “Employment practices”, “Internal fraud” and “Damage to physical assets”. Section 6 - Other risks Other risks included in Economic capital Reference is made to the paragraph “Other risks included in Economic capital” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. Reputational risk Reference is made to the paragraph “Reputational risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. Top and emerging risks Reference is made to the paragraph “Top and emerging risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. 92.4%3.4%2.5%1.3%0.4%Operational losses 2021 divided by risk categoryBusiness practicesBusiness disruption and technology system failuresEmployment practicesInternal fraudDamage to physical assetsProcess executionExternal fraudCompany financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 749 Quantitative information Reference is made to the paragraph “Quantitative information” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, which is herewith quoted entirely. The categories “Process execution” and “External fraud” are not shown in the chart since they have a positive impact in the reference period due to the effects of recoveries and releases of funds. In 2021, the main source of operational risk refers to “Business practices”. The second largest contribution to losses refers to “Business disruption and technology system failures”. There were also, in decreasing order, losses stemming from “Employment practices”, “Internal fraud” and “Damage to physical assets”. Section 6 - Other risks Other risks included in Economic capital Reference is made to the paragraph “Other risks included in Economic capital” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. Reputational risk Reference is made to the paragraph “Reputational risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. Top and emerging risks Reference is made to the paragraph “Top and emerging risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. 92.4%3.4%2.5%1.3%0.4%Operational losses 2021 divided by risk categoryBusiness practicesBusiness disruption and technology system failuresEmployment practicesInternal fraudDamage to physical assetsProcess executionExternal fraudCompany financial statements | Notes to the accounts Part E - Information on risks and hedging policies UniCredit · 2021 Annual Report and Accounts 749 Quantitative information Reference is made to the paragraph “Quantitative information” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.5 Operational risks, which is herewith quoted entirely. The categories “Process execution” and “External fraud” are not shown in the chart since they have a positive impact in the reference period due to the effects of recoveries and releases of funds. In 2021, the main source of operational risk refers to “Business practices”. The second largest contribution to losses refers to “Business disruption and technology system failures”. There were also, in decreasing order, losses stemming from “Employment practices”, “Internal fraud” and “Damage to physical assets”. Section 6 - Other risks Other risks included in Economic capital Reference is made to the paragraph “Other risks included in Economic capital” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. Reputational risk Reference is made to the paragraph “Reputational risk” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. Top and emerging risks Reference is made to the paragraph “Top and emerging risks” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.6 Other risks, which is herewith quoted entirely. 92.4%3.4%2.5%1.3%0.4%Operational losses 2021 divided by risk categoryBusiness practicesBusiness disruption and technology system failuresEmployment practicesInternal fraudDamage to physical assetsProcess executionExternal fraudCompany financial statements | Notes to the accounts Part F - Shareholders’ equity 750 2021 Annual Report and Accounts · UniCredit Part F - Shareholders’ equity Section 1 - Shareholders’ equity A. Qualitative information Reference is made to the paragraph “A. Qualitative information” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part F - Consolidated shareholders’ equity, Section 1 - Consolidated Shareholders’ Equity which is herewith quoted entirely. B. Quantitative information B.1 Company shareholders' equity: breakdown (€ million) AMOUNT AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Share capital 21,133 21,060 2. Share premium reserve 5,446 9,386 3. Reserves 15,131 14,545 - from profits 9,425 9,664 a) legal 1,518 1,518 b) statutory 6,828 7,380 c) treasury shares - - d) other 1,079 766 - other(*) 5,706 4,881 4. Equity instruments 6,595 6,841 5. Treasury shares (199) (2) 6. Revaluation reserves 793 395 - Equity instruments designated at fair value through other comprehensive income (260) (350) - Hedge accounting of equity instruments designated at fair value through other comprehensive income - - - Financial assets (different from equity instruments) at fair value through other comprehensive income 407 433 - Property, plant and equipment 698 518 - Intangible assets - - - Hedges of foreign investments - - - Cash flow hedges (14) (103) - Foreign investments hedging - - - Exchange differences - - - Non-current assets and disposal groups classified as held for sale - - - Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) (87) (144) - Actuarial gains (losses) on defined benefit plans (228) (236) - Changes in valuation reserve pertaining to equity method investments - - - Special revaluation laws 277 277 7. Net profit (loss) 10,366 (2,732) Total 59,265 49,493 Note: (*) The sub-item "Reserves - other" includes: i) the "Reserve of treasury shares" (€199 million) for the amount of the shares purchased recognized in the negative component of net equity “Treasury shares” and ii) the unavailable “Reserve for the purchase of treasury shares” (€452 million) for the residual authorized amount for purchases under the "Second Buy-Back Program" not yet carried out at the reference date, originally formed with the withdrawal from the "Share premium reserve" in force of the resolutions of the Ordinary Shareholders' Meeting of 15 April 2021. “Reserves - other” also includes a part of the "Legal reserve" (€2,738 million) also constituted, as resolved by the approval of the Ordinary Shareholders' Meeting of 11 May 2013, 13 May 2014, 4 April 2016 and 15 April 2021, with the withdrawal from the "Share premium reserve". Shareholders’ equity as of 31 December 2021, additionally to the changes in capital explained in detail in the Notes to the accounts, Part B - Balance sheet - Assets, Section 12 - Shareholders’ equity, reflects, among the others, the changes resulting from the ordinary Shareholders’ Meeting resolutions of 15 April 2021 regarding: • coverage the entire loss from the 2020 financial year through the use of the Share premium reserve (€2,732 million); • increase of the Legal reserve (€55 million) withdrawn from Share premium reserve; • coverage of the negative reserves totaling €449 million, partly buy use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out related to the usufruct contract connected to the Cashes financial instruments (€127 million); • allocation of part of the Share premium (€179 million) reserve to specific unavailable reserve in relation to the amount of treasury shares purchased under the “First Buy-Back Programme” completed on 23 June 2021 with the purchase of No.17,416,128 ordinary shares; • offset of the item “Treasury shares” (€181 million) by the use of the relevant unavailable reserve due to the cancellation of the shares registered on 4 October 2021; Company financial statements | Notes to the accounts Part F - Shareholders’ equity 750 2021 Annual Report and Accounts · UniCredit Part F - Shareholders’ equity Section 1 - Shareholders’ equity A. Qualitative information Reference is made to the paragraph “A. Qualitative information” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part F - Consolidated shareholders’ equity, Section 1 - Consolidated Shareholders’ Equity which is herewith quoted entirely. B. Quantitative information B.1 Company shareholders' equity: breakdown (€ million) AMOUNT AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Share capital 21,133 21,060 2. Share premium reserve 5,446 9,386 3. Reserves 15,131 14,545 - from profits 9,425 9,664 a) legal 1,518 1,518 b) statutory 6,828 7,380 c) treasury shares - - d) other 1,079 766 - other(*) 5,706 4,881 4. Equity instruments 6,595 6,841 5. Treasury shares (199) (2) 6. Revaluation reserves 793 395 - Equity instruments designated at fair value through other comprehensive income (260) (350) - Hedge accounting of equity instruments designated at fair value through other comprehensive income - - - Financial assets (different from equity instruments) at fair value through other comprehensive income 407 433 - Property, plant and equipment 698 518 - Intangible assets - - - Hedges of foreign investments - - - Cash flow hedges (14) (103) - Foreign investments hedging - - - Exchange differences - - - Non-current assets and disposal groups classified as held for sale - - - Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) (87) (144) - Actuarial gains (losses) on defined benefit plans (228) (236) - Changes in valuation reserve pertaining to equity method investments - - - Special revaluation laws 277 277 7. Net profit (loss) 10,366 (2,732) Total 59,265 49,493 Note: (*) The sub-item "Reserves - other" includes: i) the "Reserve of treasury shares" (€199 million) for the amount of the shares purchased recognized in the negative component of net equity “Treasury shares” and ii) the unavailable “Reserve for the purchase of treasury shares” (€452 million) for the residual authorized amount for purchases under the "Second Buy-Back Program" not yet carried out at the reference date, originally formed with the withdrawal from the "Share premium reserve" in force of the resolutions of the Ordinary Shareholders' Meeting of 15 April 2021. “Reserves - other” also includes a part of the "Legal reserve" (€2,738 million) also constituted, as resolved by the approval of the Ordinary Shareholders' Meeting of 11 May 2013, 13 May 2014, 4 April 2016 and 15 April 2021, with the withdrawal from the "Share premium reserve". Shareholders’ equity as of 31 December 2021, additionally to the changes in capital explained in detail in the Notes to the accounts, Part B - Balance sheet - Assets, Section 12 - Shareholders’ equity, reflects, among the others, the changes resulting from the ordinary Shareholders’ Meeting resolutions of 15 April 2021 regarding: • coverage the entire loss from the 2020 financial year through the use of the Share premium reserve (€2,732 million); • increase of the Legal reserve (€55 million) withdrawn from Share premium reserve; • coverage of the negative reserves totaling €449 million, partly buy use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out related to the usufruct contract connected to the Cashes financial instruments (€127 million); • allocation of part of the Share premium (€179 million) reserve to specific unavailable reserve in relation to the amount of treasury shares purchased under the “First Buy-Back Programme” completed on 23 June 2021 with the purchase of No.17,416,128 ordinary shares; • offset of the item “Treasury shares” (€181 million) by the use of the relevant unavailable reserve due to the cancellation of the shares registered on 4 October 2021; Company financial statements | Notes to the accounts Part F - Shareholders’ equity 750 2021 Annual Report and Accounts · UniCredit Part F - Shareholders’ equity Section 1 - Shareholders’ equity A. Qualitative information Reference is made to the paragraph “A. Qualitative information” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part F - Consolidated shareholders’ equity, Section 1 - Consolidated Shareholders’ Equity which is herewith quoted entirely. B. Quantitative information B.1 Company shareholders' equity: breakdown (€ million) AMOUNT AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Share capital 21,133 21,060 2. Share premium reserve 5,446 9,386 3. Reserves 15,131 14,545 - from profits 9,425 9,664 a) legal 1,518 1,518 b) statutory 6,828 7,380 c) treasury shares - - d) other 1,079 766 - other(*) 5,706 4,881 4. Equity instruments 6,595 6,841 5. Treasury shares (199) (2) 6. Revaluation reserves 793 395 - Equity instruments designated at fair value through other comprehensive income (260) (350) - Hedge accounting of equity instruments designated at fair value through other comprehensive income - - - Financial assets (different from equity instruments) at fair value through other comprehensive income 407 433 - Property, plant and equipment 698 518 - Intangible assets - - - Hedges of foreign investments - - - Cash flow hedges (14) (103) - Foreign investments hedging - - - Exchange differences - - - Non-current assets and disposal groups classified as held for sale - - - Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) (87) (144) - Actuarial gains (losses) on defined benefit plans (228) (236) - Changes in valuation reserve pertaining to equity method investments - - - Special revaluation laws 277 277 7. Net profit (loss) 10,366 (2,732) Total 59,265 49,493 Note: (*) The sub-item "Reserves - other" includes: i) the "Reserve of treasury shares" (€199 million) for the amount of the shares purchased recognized in the negative component of net equity “Treasury shares” and ii) the unavailable “Reserve for the purchase of treasury shares” (€452 million) for the residual authorized amount for purchases under the "Second Buy-Back Program" not yet carried out at the reference date, originally formed with the withdrawal from the "Share premium reserve" in force of the resolutions of the Ordinary Shareholders' Meeting of 15 April 2021. “Reserves - other” also includes a part of the "Legal reserve" (€2,738 million) also constituted, as resolved by the approval of the Ordinary Shareholders' Meeting of 11 May 2013, 13 May 2014, 4 April 2016 and 15 April 2021, with the withdrawal from the "Share premium reserve". Shareholders’ equity as of 31 December 2021, additionally to the changes in capital explained in detail in the Notes to the accounts, Part B - Balance sheet - Assets, Section 12 - Shareholders’ equity, reflects, among the others, the changes resulting from the ordinary Shareholders’ Meeting resolutions of 15 April 2021 regarding: • coverage the entire loss from the 2020 financial year through the use of the Share premium reserve (€2,732 million); • increase of the Legal reserve (€55 million) withdrawn from Share premium reserve; • coverage of the negative reserves totaling €449 million, partly buy use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out related to the usufruct contract connected to the Cashes financial instruments (€127 million); • allocation of part of the Share premium (€179 million) reserve to specific unavailable reserve in relation to the amount of treasury shares purchased under the “First Buy-Back Programme” completed on 23 June 2021 with the purchase of No.17,416,128 ordinary shares; • offset of the item “Treasury shares” (€181 million) by the use of the relevant unavailable reserve due to the cancellation of the shares registered on 4 October 2021; Company financial statements | Notes to the accounts Part F - Shareholders’ equity 750 2021 Annual Report and Accounts · UniCredit Part F - Shareholders’ equity Section 1 - Shareholders’ equity A. Qualitative information Reference is made to the paragraph “A. Qualitative information” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part F - Consolidated shareholders’ equity, Section 1 - Consolidated Shareholders’ Equity which is herewith quoted entirely. B. Quantitative information B.1 Company shareholders' equity: breakdown (€ million) AMOUNT AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Share capital 21,133 21,060 2. Share premium reserve 5,446 9,386 3. Reserves 15,131 14,545 - from profits 9,425 9,664 a) legal 1,518 1,518 b) statutory 6,828 7,380 c) treasury shares - - d) other 1,079 766 - other(*) 5,706 4,881 4. Equity instruments 6,595 6,841 5. Treasury shares (199) (2) 6. Revaluation reserves 793 395 - Equity instruments designated at fair value through other comprehensive income (260) (350) - Hedge accounting of equity instruments designated at fair value through other comprehensive income - - - Financial assets (different from equity instruments) at fair value through other comprehensive income 407 433 - Property, plant and equipment 698 518 - Intangible assets - - - Hedges of foreign investments - - - Cash flow hedges (14) (103) - Foreign investments hedging - - - Exchange differences - - - Non-current assets and disposal groups classified as held for sale - - - Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) (87) (144) - Actuarial gains (losses) on defined benefit plans (228) (236) - Changes in valuation reserve pertaining to equity method investments - - - Special revaluation laws 277 277 7. Net profit (loss) 10,366 (2,732) Total 59,265 49,493 Note: (*) The sub-item "Reserves - other" includes: i) the "Reserve of treasury shares" (€199 million) for the amount of the shares purchased recognized in the negative component of net equity “Treasury shares” and ii) the unavailable “Reserve for the purchase of treasury shares” (€452 million) for the residual authorized amount for purchases under the "Second Buy-Back Program" not yet carried out at the reference date, originally formed with the withdrawal from the "Share premium reserve" in force of the resolutions of the Ordinary Shareholders' Meeting of 15 April 2021. “Reserves - other” also includes a part of the "Legal reserve" (€2,738 million) also constituted, as resolved by the approval of the Ordinary Shareholders' Meeting of 11 May 2013, 13 May 2014, 4 April 2016 and 15 April 2021, with the withdrawal from the "Share premium reserve". Shareholders’ equity as of 31 December 2021, additionally to the changes in capital explained in detail in the Notes to the accounts, Part B - Balance sheet - Assets, Section 12 - Shareholders’ equity, reflects, among the others, the changes resulting from the ordinary Shareholders’ Meeting resolutions of 15 April 2021 regarding: • coverage the entire loss from the 2020 financial year through the use of the Share premium reserve (€2,732 million); • increase of the Legal reserve (€55 million) withdrawn from Share premium reserve; • coverage of the negative reserves totaling €449 million, partly buy use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out related to the usufruct contract connected to the Cashes financial instruments (€127 million); • allocation of part of the Share premium (€179 million) reserve to specific unavailable reserve in relation to the amount of treasury shares purchased under the “First Buy-Back Programme” completed on 23 June 2021 with the purchase of No.17,416,128 ordinary shares; • offset of the item “Treasury shares” (€181 million) by the use of the relevant unavailable reserve due to the cancellation of the shares registered on 4 October 2021; Company financial statements | Notes to the accounts Part F - Shareholders’ equity 750 2021 Annual Report and Accounts · UniCredit Part F - Shareholders’ equity Section 1 - Shareholders’ equity A. Qualitative information Reference is made to the paragraph “A. Qualitative information” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part F - Consolidated shareholders’ equity, Section 1 - Consolidated Shareholders’ Equity which is herewith quoted entirely. B. Quantitative information B.1 Company shareholders' equity: breakdown (€ million) AMOUNT AS AT ITEMS/VALUES 12.31.2021 12.31.2020 1. Share capital 21,133 21,060 2. Share premium reserve 5,446 9,386 3. Reserves 15,131 14,545 - from profits 9,425 9,664 a) legal 1,518 1,518 b) statutory 6,828 7,380 c) treasury shares - - d) other 1,079 766 - other(*) 5,706 4,881 4. Equity instruments 6,595 6,841 5. Treasury shares (199) (2) 6. Revaluation reserves 793 395 - Equity instruments designated at fair value through other comprehensive income (260) (350) - Hedge accounting of equity instruments designated at fair value through other comprehensive income - - - Financial assets (different from equity instruments) at fair value through other comprehensive income 407 433 - Property, plant and equipment 698 518 - Intangible assets - - - Hedges of foreign investments - - - Cash flow hedges (14) (103) - Foreign investments hedging - - - Exchange differences - - - Non-current assets and disposal groups classified as held for sale - - - Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) (87) (144) - Actuarial gains (losses) on defined benefit plans (228) (236) - Changes in valuation reserve pertaining to equity method investments - - - Special revaluation laws 277 277 7. Net profit (loss) 10,366 (2,732) Total 59,265 49,493 Note: (*) The sub-item "Reserves - other" includes: i) the "Reserve of treasury shares" (€199 million) for the amount of the shares purchased recognized in the negative component of net equity “Treasury shares” and ii) the unavailable “Reserve for the purchase of treasury shares” (€452 million) for the residual authorized amount for purchases under the "Second Buy-Back Program" not yet carried out at the reference date, originally formed with the withdrawal from the "Share premium reserve" in force of the resolutions of the Ordinary Shareholders' Meeting of 15 April 2021. “Reserves - other” also includes a part of the "Legal reserve" (€2,738 million) also constituted, as resolved by the approval of the Ordinary Shareholders' Meeting of 11 May 2013, 13 May 2014, 4 April 2016 and 15 April 2021, with the withdrawal from the "Share premium reserve". Shareholders’ equity as of 31 December 2021, additionally to the changes in capital explained in detail in the Notes to the accounts, Part B - Balance sheet - Assets, Section 12 - Shareholders’ equity, reflects, among the others, the changes resulting from the ordinary Shareholders’ Meeting resolutions of 15 April 2021 regarding: • coverage the entire loss from the 2020 financial year through the use of the Share premium reserve (€2,732 million); • increase of the Legal reserve (€55 million) withdrawn from Share premium reserve; • coverage of the negative reserves totaling €449 million, partly buy use of Share premium reserve to eliminate the negative components related to the payment of AT1 coupons (€322 million) and partly by use of the Statutory reserve to cover the negative reserve emerged from the cash-out related to the usufruct contract connected to the Cashes financial instruments (€127 million); • allocation of part of the Share premium (€179 million) reserve to specific unavailable reserve in relation to the amount of treasury shares purchased under the “First Buy-Back Programme” completed on 23 June 2021 with the purchase of No.17,416,128 ordinary shares; • offset of the item “Treasury shares” (€181 million) by the use of the relevant unavailable reserve due to the cancellation of the shares registered on 4 October 2021; Company financial statements | Notes to the accounts Part F - Shareholders’ equity UniCredit · 2021 Annual Report and Accounts 751 • allocation of part of the Share premium reserve (€652 million) to the specific unavailable reserve for the maximum authorised purchases amount of treasury shares in execution of “Second Buy-Back Programme 2021” initiated on 13 December 2021, which entailed the purchase of UniCredit ordinary shares for €199 million as at 31 December 2021, recorded under the item “Treasury shares”. B.2 Revaluation reserves of financial assets at fair value through other comprehensive income: breakdown (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 ASSETS/VALUES POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE 1. Debt securities 429 (22) 466 (33) 2. Equity securities 69 (329) 28 (378) 3. Loans - - - - Total 499 (351) 494 (411) B.3 Revaluation reserves of financial assets at fair value through other comprehensive income: annual change (€ million) ASSETS/VALUES CHANGES IN 2021 DEBT SECURITIES EQUITY SECURITIES LOANS 1. Opening balance 433 (350) - 2. Positive changes 582 102 - 2.1 Fair value increases 405 50 - 2.2 Net losses on impairment 17 X - 2.3 Reclassification through profit or loss of negative reserves: following disposal 100 X - 2.4 Transfers to other comprehensive shareholders' equity (equity instruments) - 27 - 2.5 Other changes 60 25 - 3. Negative changes (608) (12) - 3.1 Fair value reductions (430) (11) - 3.2 Recoveries on impairment (7) - - 3.3 Reclassification throught profit or loss of positive reserves: following disposal (168) X - 3.4 Transfers to other comprehensive shareholders' equity (equity instruments) - (2) - 3.5 Other changes (3) 1 - 4. Closing balance 407 (260) - B.4 Revaluation reserves to defined benefit plan: annual changes (€ million) CHANGES IN 2021 2020 1. Net opening balance (236) (222) 2. Positive changes 19 - 2.1 Fair value increase 2 - 2.2 Other changes 17 - 3. Negative changes (11) (14) 3.1 Fair value reductions (11) (14) 3.2 Other changes - - 4. Closing balance (228) (236) Section 2 - Own funds and regulatory ratios For information on the regulatory ratios of UniCredit S.p.A. at the reference date and for the comparison with the previous periods refer to the own funds disclosure reported into the UniCredit group disclosure (Pillar III). Company financial statements | Notes to the accounts Part F - Shareholders’ equity UniCredit · 2021 Annual Report and Accounts 751 • allocation of part of the Share premium reserve (€652 million) to the specific unavailable reserve for the maximum authorised purchases amount of treasury shares in execution of “Second Buy-Back Programme 2021” initiated on 13 December 2021, which entailed the purchase of UniCredit ordinary shares for €199 million as at 31 December 2021, recorded under the item “Treasury shares”. B.2 Revaluation reserves of financial assets at fair value through other comprehensive income: breakdown (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 ASSETS/VALUES POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE 1. Debt securities 429 (22) 466 (33) 2. Equity securities 69 (329) 28 (378) 3. Loans - - - - Total 499 (351) 494 (411) B.3 Revaluation reserves of financial assets at fair value through other comprehensive income: annual change (€ million) ASSETS/VALUES CHANGES IN 2021 DEBT SECURITIES EQUITY SECURITIES LOANS 1. Opening balance 433 (350) - 2. Positive changes 582 102 - 2.1 Fair value increases 405 50 - 2.2 Net losses on impairment 17 X - 2.3 Reclassification through profit or loss of negative reserves: following disposal 100 X - 2.4 Transfers to other comprehensive shareholders' equity (equity instruments) - 27 - 2.5 Other changes 60 25 - 3. Negative changes (608) (12) - 3.1 Fair value reductions (430) (11) - 3.2 Recoveries on impairment (7) - - 3.3 Reclassification throught profit or loss of positive reserves: following disposal (168) X - 3.4 Transfers to other comprehensive shareholders' equity (equity instruments) - (2) - 3.5 Other changes (3) 1 - 4. Closing balance 407 (260) - B.4 Revaluation reserves to defined benefit plan: annual changes (€ million) CHANGES IN 2021 2020 1. Net opening balance (236) (222) 2. Positive changes 19 - 2.1 Fair value increase 2 - 2.2 Other changes 17 - 3. Negative changes (11) (14) 3.1 Fair value reductions (11) (14) 3.2 Other changes - - 4. Closing balance (228) (236) Section 2 - Own funds and regulatory ratios For information on the regulatory ratios of UniCredit S.p.A. at the reference date and for the comparison with the previous periods refer to the own funds disclosure reported into the UniCredit group disclosure (Pillar III). Company financial statements | Notes to the accounts Part F - Shareholders’ equity UniCredit · 2021 Annual Report and Accounts 751 • allocation of part of the Share premium reserve (€652 million) to the specific unavailable reserve for the maximum authorised purchases amount of treasury shares in execution of “Second Buy-Back Programme 2021” initiated on 13 December 2021, which entailed the purchase of UniCredit ordinary shares for €199 million as at 31 December 2021, recorded under the item “Treasury shares”. B.2 Revaluation reserves of financial assets at fair value through other comprehensive income: breakdown (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 ASSETS/VALUES POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE 1. Debt securities 429 (22) 466 (33) 2. Equity securities 69 (329) 28 (378) 3. Loans - - - - Total 499 (351) 494 (411) B.3 Revaluation reserves of financial assets at fair value through other comprehensive income: annual change (€ million) ASSETS/VALUES CHANGES IN 2021 DEBT SECURITIES EQUITY SECURITIES LOANS 1. Opening balance 433 (350) - 2. Positive changes 582 102 - 2.1 Fair value increases 405 50 - 2.2 Net losses on impairment 17 X - 2.3 Reclassification through profit or loss of negative reserves: following disposal 100 X - 2.4 Transfers to other comprehensive shareholders' equity (equity instruments) - 27 - 2.5 Other changes 60 25 - 3. Negative changes (608) (12) - 3.1 Fair value reductions (430) (11) - 3.2 Recoveries on impairment (7) - - 3.3 Reclassification throught profit or loss of positive reserves: following disposal (168) X - 3.4 Transfers to other comprehensive shareholders' equity (equity instruments) - (2) - 3.5 Other changes (3) 1 - 4. Closing balance 407 (260) - B.4 Revaluation reserves to defined benefit plan: annual changes (€ million) CHANGES IN 2021 2020 1. Net opening balance (236) (222) 2. Positive changes 19 - 2.1 Fair value increase 2 - 2.2 Other changes 17 - 3. Negative changes (11) (14) 3.1 Fair value reductions (11) (14) 3.2 Other changes - - 4. Closing balance (228) (236) Section 2 - Own funds and regulatory ratios For information on the regulatory ratios of UniCredit S.p.A. at the reference date and for the comparison with the previous periods refer to the own funds disclosure reported into the UniCredit group disclosure (Pillar III). Company financial statements | Notes to the accounts Part F - Shareholders’ equity UniCredit · 2021 Annual Report and Accounts 751 • allocation of part of the Share premium reserve (€652 million) to the specific unavailable reserve for the maximum authorised purchases amount of treasury shares in execution of “Second Buy-Back Programme 2021” initiated on 13 December 2021, which entailed the purchase of UniCredit ordinary shares for €199 million as at 31 December 2021, recorded under the item “Treasury shares”. B.2 Revaluation reserves of financial assets at fair value through other comprehensive income: breakdown (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 ASSETS/VALUES POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE 1. Debt securities 429 (22) 466 (33) 2. Equity securities 69 (329) 28 (378) 3. Loans - - - - Total 499 (351) 494 (411) B.3 Revaluation reserves of financial assets at fair value through other comprehensive income: annual change (€ million) ASSETS/VALUES CHANGES IN 2021 DEBT SECURITIES EQUITY SECURITIES LOANS 1. Opening balance 433 (350) - 2. Positive changes 582 102 - 2.1 Fair value increases 405 50 - 2.2 Net losses on impairment 17 X - 2.3 Reclassification through profit or loss of negative reserves: following disposal 100 X - 2.4 Transfers to other comprehensive shareholders' equity (equity instruments) - 27 - 2.5 Other changes 60 25 - 3. Negative changes (608) (12) - 3.1 Fair value reductions (430) (11) - 3.2 Recoveries on impairment (7) - - 3.3 Reclassification throught profit or loss of positive reserves: following disposal (168) X - 3.4 Transfers to other comprehensive shareholders' equity (equity instruments) - (2) - 3.5 Other changes (3) 1 - 4. Closing balance 407 (260) - B.4 Revaluation reserves to defined benefit plan: annual changes (€ million) CHANGES IN 2021 2020 1. Net opening balance (236) (222) 2. Positive changes 19 - 2.1 Fair value increase 2 - 2.2 Other changes 17 - 3. Negative changes (11) (14) 3.1 Fair value reductions (11) (14) 3.2 Other changes - - 4. Closing balance (228) (236) Section 2 - Own funds and regulatory ratios For information on the regulatory ratios of UniCredit S.p.A. at the reference date and for the comparison with the previous periods refer to the own funds disclosure reported into the UniCredit group disclosure (Pillar III). Company financial statements | Notes to the accounts Part F - Shareholders’ equity UniCredit · 2021 Annual Report and Accounts 751 • allocation of part of the Share premium reserve (€652 million) to the specific unavailable reserve for the maximum authorised purchases amount of treasury shares in execution of “Second Buy-Back Programme 2021” initiated on 13 December 2021, which entailed the purchase of UniCredit ordinary shares for €199 million as at 31 December 2021, recorded under the item “Treasury shares”. B.2 Revaluation reserves of financial assets at fair value through other comprehensive income: breakdown (€ million) AMOUNT AS AT 12.31.2021 AMOUNT AS AT 12.31.2020 ASSETS/VALUES POSITIVE RESERVE NEGATIVE RESERVE POSITIVE RESERVE NEGATIVE RESERVE 1. Debt securities 429 (22) 466 (33) 2. Equity securities 69 (329) 28 (378) 3. Loans - - - - Total 499 (351) 494 (411) B.3 Revaluation reserves of financial assets at fair value through other comprehensive income: annual change (€ million) ASSETS/VALUES CHANGES IN 2021 DEBT SECURITIES EQUITY SECURITIES LOANS 1. Opening balance 433 (350) - 2. Positive changes 582 102 - 2.1 Fair value increases 405 50 - 2.2 Net losses on impairment 17 X - 2.3 Reclassification through profit or loss of negative reserves: following disposal 100 X - 2.4 Transfers to other comprehensive shareholders' equity (equity instruments) - 27 - 2.5 Other changes 60 25 - 3. Negative changes (608) (12) - 3.1 Fair value reductions (430) (11) - 3.2 Recoveries on impairment (7) - - 3.3 Reclassification throught profit or loss of positive reserves: following disposal (168) X - 3.4 Transfers to other comprehensive shareholders' equity (equity instruments) - (2) - 3.5 Other changes (3) 1 - 4. Closing balance 407 (260) - B.4 Revaluation reserves to defined benefit plan: annual changes (€ million) CHANGES IN 2021 2020 1. Net opening balance (236) (222) 2. Positive changes 19 - 2.1 Fair value increase 2 - 2.2 Other changes 17 - 3. Negative changes (11) (14) 3.1 Fair value reductions (11) (14) 3.2 Other changes - - 4. Closing balance (228) (236) Section 2 - Own funds and regulatory ratios For information on the regulatory ratios of UniCredit S.p.A. at the reference date and for the comparison with the previous periods refer to the own funds disclosure reported into the UniCredit group disclosure (Pillar III). Company financial statements | Notes to the accounts Part G - Business combinations 752 2021 Annual Report and Accounts · UniCredit Part G - Business combinations Section 1 - Business combinations completed in the year 1.1 Business combinations Business combinations with counterparties outside the Group are performed using the “purchase method” as required by IFRS3 “Business Combinations”, cited in the disclosure of accounting policies, part A.2 - Main items of the accounts. In 2021 the Bank did not carry out any business combinations outside the Group. Within the Group the Bank carried out the cross-border merger by incorporation of the wholly owned subsidiary UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. on 1 November 2021, in line with the Group's strategic guidelines. The transaction (Business Combination Under Common Control) was accounted for in accordance with the continuity principle without impacts at consolidated level and with effects retroactive to 1 January 2021 for the allocation of the transactions to the financial statements of the merging company. Section 2 - Business Combinations completed after year-end No business combinations have been completed after year end. Section 3 - Retrospective adjustments No retrospective adjustments have been applied in 2021 on business combinations competed in previous years. Company financial statements | Notes to the accounts Part G - Business combinations 752 2021 Annual Report and Accounts · UniCredit Part G - Business combinations Section 1 - Business combinations completed in the year 1.1 Business combinations Business combinations with counterparties outside the Group are performed using the “purchase method” as required by IFRS3 “Business Combinations”, cited in the disclosure of accounting policies, part A.2 - Main items of the accounts. In 2021 the Bank did not carry out any business combinations outside the Group. Within the Group the Bank carried out the cross-border merger by incorporation of the wholly owned subsidiary UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. on 1 November 2021, in line with the Group's strategic guidelines. The transaction (Business Combination Under Common Control) was accounted for in accordance with the continuity principle without impacts at consolidated level and with effects retroactive to 1 January 2021 for the allocation of the transactions to the financial statements of the merging company. Section 2 - Business Combinations completed after year-end No business combinations have been completed after year end. Section 3 - Retrospective adjustments No retrospective adjustments have been applied in 2021 on business combinations competed in previous years. Company financial statements | Notes to the accounts Part G - Business combinations 752 2021 Annual Report and Accounts · UniCredit Part G - Business combinations Section 1 - Business combinations completed in the year 1.1 Business combinations Business combinations with counterparties outside the Group are performed using the “purchase method” as required by IFRS3 “Business Combinations”, cited in the disclosure of accounting policies, part A.2 - Main items of the accounts. In 2021 the Bank did not carry out any business combinations outside the Group. Within the Group the Bank carried out the cross-border merger by incorporation of the wholly owned subsidiary UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. on 1 November 2021, in line with the Group's strategic guidelines. The transaction (Business Combination Under Common Control) was accounted for in accordance with the continuity principle without impacts at consolidated level and with effects retroactive to 1 January 2021 for the allocation of the transactions to the financial statements of the merging company. Section 2 - Business Combinations completed after year-end No business combinations have been completed after year end. Section 3 - Retrospective adjustments No retrospective adjustments have been applied in 2021 on business combinations competed in previous years. Company financial statements | Notes to the accounts Part G - Business combinations 752 2021 Annual Report and Accounts · UniCredit Part G - Business combinations Section 1 - Business combinations completed in the year 1.1 Business combinations Business combinations with counterparties outside the Group are performed using the “purchase method” as required by IFRS3 “Business Combinations”, cited in the disclosure of accounting policies, part A.2 - Main items of the accounts. In 2021 the Bank did not carry out any business combinations outside the Group. Within the Group the Bank carried out the cross-border merger by incorporation of the wholly owned subsidiary UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. on 1 November 2021, in line with the Group's strategic guidelines. The transaction (Business Combination Under Common Control) was accounted for in accordance with the continuity principle without impacts at consolidated level and with effects retroactive to 1 January 2021 for the allocation of the transactions to the financial statements of the merging company. Section 2 - Business Combinations completed after year-end No business combinations have been completed after year end. Section 3 - Retrospective adjustments No retrospective adjustments have been applied in 2021 on business combinations competed in previous years. Company financial statements | Notes to the accounts Part G - Business combinations 752 2021 Annual Report and Accounts · UniCredit Part G - Business combinations Section 1 - Business combinations completed in the year 1.1 Business combinations Business combinations with counterparties outside the Group are performed using the “purchase method” as required by IFRS3 “Business Combinations”, cited in the disclosure of accounting policies, part A.2 - Main items of the accounts. In 2021 the Bank did not carry out any business combinations outside the Group. Within the Group the Bank carried out the cross-border merger by incorporation of the wholly owned subsidiary UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A. on 1 November 2021, in line with the Group's strategic guidelines. The transaction (Business Combination Under Common Control) was accounted for in accordance with the continuity principle without impacts at consolidated level and with effects retroactive to 1 January 2021 for the allocation of the transactions to the financial statements of the merging company. Section 2 - Business Combinations completed after year-end No business combinations have been completed after year end. Section 3 - Retrospective adjustments No retrospective adjustments have been applied in 2021 on business combinations competed in previous years. Company financial statements | Notes to the accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 753 Part H - Related-party transactions Introduction Reference is made to the paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, which is herewith quoted entirely. 1. Details of Key management personnels’ compensation Details of Key management personnel’s 2021 remuneration are given below pursuant to IAS24 and to the Circular No.262 dated 22 December 2005 of Banca d’Italia (and subsequent amendments) requiring that also the Statutory Auditors’ compensation be included. Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Statutory Auditors and, following a change in definition of “key management personnel”, approved by the Board of Directors on 12 October 2021, with the aim to ensure the alignment to the new organization model, the Chief Audit Executive and the Group Executive Committee (GEC) members, body that reports directly to the Chief Executive Officer, excluding the Heads of Group Strategy & Optimization and Group Stakeholder Engagement. Before such date, the aggregate included the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer. Remuneration paid to key management personnel (including directors) (€ million) YEAR 2021 YEAR 2020 a) short-term employee benefits 21 18 b) post-retirement benefits 1 1 of which: under defined benefit plans - - of which: under defined contribution plans 1 1 c) other long-term benefits - - d) termination benefits 15 - e) share-based payments 13 9 Total 50 28 The information reported above include the compensation paid to Directors (€5 million), Statutory Auditors (€1 million), General Manager (€0.3 million) and other Managers with strategic responsibilities (€13 million), as shown in the document "Information Tables Pursuant Art.84 -quarter “Annual Report - Section II” of the Regulation No.11971 Issued by Consob" attached to the “2021 Group Remuneration Policy”, and about €30 million relating to other costs (the company share of social security contributions, accruals to severance pay funds and share-based payments using UniCredit and its subsidiaries’ equity instruments). The compensation paid shows an increase compared to fiscal year 2020 primarily related to: (i) the fact that 2020 pay levels had been extremely low compared to normal given the severe impacts of the Covid-19 pandemic; (ii) the payment of indemnities related to the termination of employment relationships, linked to the managerial changes that took place in the context of the strategic review carried out during the year; (iii) the need, in compliance with the international accounting standards, to fully charge to 2021 both the Share Award assigned to the new CEO and the costs related to the incentive plans based on financial instruments maintained as "good leaver" by some managers who left the Group during the year. Company financial statements | Notes to the accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 753 Part H - Related-party transactions Introduction Reference is made to the paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, which is herewith quoted entirely. 1. Details of Key management personnels’ compensation Details of Key management personnel’s 2021 remuneration are given below pursuant to IAS24 and to the Circular No.262 dated 22 December 2005 of Banca d’Italia (and subsequent amendments) requiring that also the Statutory Auditors’ compensation be included. Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Statutory Auditors and, following a change in definition of “key management personnel”, approved by the Board of Directors on 12 October 2021, with the aim to ensure the alignment to the new organization model, the Chief Audit Executive and the Group Executive Committee (GEC) members, body that reports directly to the Chief Executive Officer, excluding the Heads of Group Strategy & Optimization and Group Stakeholder Engagement. Before such date, the aggregate included the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer. Remuneration paid to key management personnel (including directors) (€ million) YEAR 2021 YEAR 2020 a) short-term employee benefits 21 18 b) post-retirement benefits 1 1 of which: under defined benefit plans - - of which: under defined contribution plans 1 1 c) other long-term benefits - - d) termination benefits 15 - e) share-based payments 13 9 Total 50 28 The information reported above include the compensation paid to Directors (€5 million), Statutory Auditors (€1 million), General Manager (€0.3 million) and other Managers with strategic responsibilities (€13 million), as shown in the document "Information Tables Pursuant Art.84 -quarter “Annual Report - Section II” of the Regulation No.11971 Issued by Consob" attached to the “2021 Group Remuneration Policy”, and about €30 million relating to other costs (the company share of social security contributions, accruals to severance pay funds and share-based payments using UniCredit and its subsidiaries’ equity instruments). The compensation paid shows an increase compared to fiscal year 2020 primarily related to: (i) the fact that 2020 pay levels had been extremely low compared to normal given the severe impacts of the Covid-19 pandemic; (ii) the payment of indemnities related to the termination of employment relationships, linked to the managerial changes that took place in the context of the strategic review carried out during the year; (iii) the need, in compliance with the international accounting standards, to fully charge to 2021 both the Share Award assigned to the new CEO and the costs related to the incentive plans based on financial instruments maintained as "good leaver" by some managers who left the Group during the year. Company financial statements | Notes to the accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 753 Part H - Related-party transactions Introduction Reference is made to the paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, which is herewith quoted entirely. 1. Details of Key management personnels’ compensation Details of Key management personnel’s 2021 remuneration are given below pursuant to IAS24 and to the Circular No.262 dated 22 December 2005 of Banca d’Italia (and subsequent amendments) requiring that also the Statutory Auditors’ compensation be included. Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Statutory Auditors and, following a change in definition of “key management personnel”, approved by the Board of Directors on 12 October 2021, with the aim to ensure the alignment to the new organization model, the Chief Audit Executive and the Group Executive Committee (GEC) members, body that reports directly to the Chief Executive Officer, excluding the Heads of Group Strategy & Optimization and Group Stakeholder Engagement. Before such date, the aggregate included the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer. Remuneration paid to key management personnel (including directors) (€ million) YEAR 2021 YEAR 2020 a) short-term employee benefits 21 18 b) post-retirement benefits 1 1 of which: under defined benefit plans - - of which: under defined contribution plans 1 1 c) other long-term benefits - - d) termination benefits 15 - e) share-based payments 13 9 Total 50 28 The information reported above include the compensation paid to Directors (€5 million), Statutory Auditors (€1 million), General Manager (€0.3 million) and other Managers with strategic responsibilities (€13 million), as shown in the document "Information Tables Pursuant Art.84 -quarter “Annual Report - Section II” of the Regulation No.11971 Issued by Consob" attached to the “2021 Group Remuneration Policy”, and about €30 million relating to other costs (the company share of social security contributions, accruals to severance pay funds and share-based payments using UniCredit and its subsidiaries’ equity instruments). The compensation paid shows an increase compared to fiscal year 2020 primarily related to: (i) the fact that 2020 pay levels had been extremely low compared to normal given the severe impacts of the Covid-19 pandemic; (ii) the payment of indemnities related to the termination of employment relationships, linked to the managerial changes that took place in the context of the strategic review carried out during the year; (iii) the need, in compliance with the international accounting standards, to fully charge to 2021 both the Share Award assigned to the new CEO and the costs related to the incentive plans based on financial instruments maintained as "good leaver" by some managers who left the Group during the year. Company financial statements | Notes to the accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 753 Part H - Related-party transactions Introduction Reference is made to the paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, which is herewith quoted entirely. 1. Details of Key management personnels’ compensation Details of Key management personnel’s 2021 remuneration are given below pursuant to IAS24 and to the Circular No.262 dated 22 December 2005 of Banca d’Italia (and subsequent amendments) requiring that also the Statutory Auditors’ compensation be included. Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Statutory Auditors and, following a change in definition of “key management personnel”, approved by the Board of Directors on 12 October 2021, with the aim to ensure the alignment to the new organization model, the Chief Audit Executive and the Group Executive Committee (GEC) members, body that reports directly to the Chief Executive Officer, excluding the Heads of Group Strategy & Optimization and Group Stakeholder Engagement. Before such date, the aggregate included the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer. Remuneration paid to key management personnel (including directors) (€ million) YEAR 2021 YEAR 2020 a) short-term employee benefits 21 18 b) post-retirement benefits 1 1 of which: under defined benefit plans - - of which: under defined contribution plans 1 1 c) other long-term benefits - - d) termination benefits 15 - e) share-based payments 13 9 Total 50 28 The information reported above include the compensation paid to Directors (€5 million), Statutory Auditors (€1 million), General Manager (€0.3 million) and other Managers with strategic responsibilities (€13 million), as shown in the document "Information Tables Pursuant Art.84 -quarter “Annual Report - Section II” of the Regulation No.11971 Issued by Consob" attached to the “2021 Group Remuneration Policy”, and about €30 million relating to other costs (the company share of social security contributions, accruals to severance pay funds and share-based payments using UniCredit and its subsidiaries’ equity instruments). The compensation paid shows an increase compared to fiscal year 2020 primarily related to: (i) the fact that 2020 pay levels had been extremely low compared to normal given the severe impacts of the Covid-19 pandemic; (ii) the payment of indemnities related to the termination of employment relationships, linked to the managerial changes that took place in the context of the strategic review carried out during the year; (iii) the need, in compliance with the international accounting standards, to fully charge to 2021 both the Share Award assigned to the new CEO and the costs related to the incentive plans based on financial instruments maintained as "good leaver" by some managers who left the Group during the year. Company financial statements | Notes to the accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 753 Part H - Related-party transactions Introduction Reference is made to the paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, which is herewith quoted entirely. 1. Details of Key management personnels’ compensation Details of Key management personnel’s 2021 remuneration are given below pursuant to IAS24 and to the Circular No.262 dated 22 December 2005 of Banca d’Italia (and subsequent amendments) requiring that also the Statutory Auditors’ compensation be included. Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Statutory Auditors and, following a change in definition of “key management personnel”, approved by the Board of Directors on 12 October 2021, with the aim to ensure the alignment to the new organization model, the Chief Audit Executive and the Group Executive Committee (GEC) members, body that reports directly to the Chief Executive Officer, excluding the Heads of Group Strategy & Optimization and Group Stakeholder Engagement. Before such date, the aggregate included the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer. Remuneration paid to key management personnel (including directors) (€ million) YEAR 2021 YEAR 2020 a) short-term employee benefits 21 18 b) post-retirement benefits 1 1 of which: under defined benefit plans - - of which: under defined contribution plans 1 1 c) other long-term benefits - - d) termination benefits 15 - e) share-based payments 13 9 Total 50 28 The information reported above include the compensation paid to Directors (€5 million), Statutory Auditors (€1 million), General Manager (€0.3 million) and other Managers with strategic responsibilities (€13 million), as shown in the document "Information Tables Pursuant Art.84 -quarter “Annual Report - Section II” of the Regulation No.11971 Issued by Consob" attached to the “2021 Group Remuneration Policy”, and about €30 million relating to other costs (the company share of social security contributions, accruals to severance pay funds and share-based payments using UniCredit and its subsidiaries’ equity instruments). The compensation paid shows an increase compared to fiscal year 2020 primarily related to: (i) the fact that 2020 pay levels had been extremely low compared to normal given the severe impacts of the Covid-19 pandemic; (ii) the payment of indemnities related to the termination of employment relationships, linked to the managerial changes that took place in the context of the strategic review carried out during the year; (iii) the need, in compliance with the international accounting standards, to fully charge to 2021 both the Share Award assigned to the new CEO and the costs related to the incentive plans based on financial instruments maintained as "good leaver" by some managers who left the Group during the year. Company financial statements | Notes to the accounts Part H - Related-party transactions 754 2021 Annual Report and Accounts · UniCredit 2. Related-party transactions The following table sets out the assets, liabilities, guarantees and commitments, for each group of related parties, pursuant to IAS24. Related-party transactions: balance sheet items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM Cash and cash balances 489 - - - - 489 0.67% - - Financial assets at fair value through profit or loss 7,412 - 46 - - 7,458 37.28% - - a) Financial assets held for trading 4,727 - - - - 4,727 33.91% - - b) Financial assets designated at fair value - - - - - - - - - c) Other financial assets mandatorily at fair value 2,685 - 46 - - 2,731 45.94% - - Financial assets at fair value through other comprehensive income - - - - - - - - - Financial assets at amortised cost 33,466 - 298 1 - 33,765 12.61% - - a) Loans and advances to banks 11,005 - - - - 11,005 29.45% - - b) Loans and advances to customers 22,461 - 298 1 - 22,760 9.88% - - Hedging derivatives (assets) 4,134 - - - - 4,134 94.77% - - Non-current assets and disposal groups classified as held for sale - - 13 - - 13 0.68% - - Other assets 223 - - - - 223 5.81% - - Total assets 45,724 - 357 1 - 46,082 13.78% - - Financial liabilities at amortised cost 14,739 - 204 3 81 15,027 4.06% 49 0.01% a) Deposits from banks 13,976 - - - - 13,976 16.20% 7 0.01% b) Deposits from customers 485 - 204 3 81 773 0.34% 42 0.02% c) Debt securities in issue 278 - - - - 278 0.48% - - Financial liabilities held for trading and designated at fair value 5,124 - - - - 5,124 28.87% - - Hedging derivatives (liabilities) 4,620 - - - - 4,620 95.40% - - Liabilities associated with disposal groups classified as held for sale - - - - - - - - #DIV/0! Other liabilities 203 - 6 - - 209 3.01% - - Total liabilities 24,686 - 210 3 81 24,980 6.25% 49 0.01% Guarantees given and commitments 14,120 - 41 - - 14,161 8.59% 1 01.00.1900 Note: (*) Shareholders and related companies holding more than 2% of voting shares in UniCredit. Other assets mandatory at fair value include UniCredit Bank AG’s Additional Tier 1 issuances, subscribed by UniCredit S.p.A. in October 2020, for a nominal amount of €1,700 million and evaluated at year end €1,860 million, with a revaluation of €63 million into Profit & Loss and UniCredit Bank Austria AG’s Additional Tier 1 issuances, subscribed by UniCredit S.p.A. in December 2021, for a nominal amount of €600 million and evaluated at year end €616 million, with a revaluation of €16 million. The value of the percentage on accounts Item, referred to “Commitments and guarantees given”, has been calculated on the total of the tables “1. Commitments and financial guarantees given (different from those designated at fair value)” and “2. Others commitments and others guarantees given” in Notes to the accounts - Part B - Balance sheet - Liabilities - Other information. Company financial statements | Notes to the accounts Part H - Related-party transactions 754 2021 Annual Report and Accounts · UniCredit 2. Related-party transactions The following table sets out the assets, liabilities, guarantees and commitments, for each group of related parties, pursuant to IAS24. Related-party transactions: balance sheet items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM Cash and cash balances 489 - - - - 489 0.67% - - Financial assets at fair value through profit or loss 7,412 - 46 - - 7,458 37.28% - - a) Financial assets held for trading 4,727 - - - - 4,727 33.91% - - b) Financial assets designated at fair value - - - - - - - - - c) Other financial assets mandatorily at fair value 2,685 - 46 - - 2,731 45.94% - - Financial assets at fair value through other comprehensive income - - - - - - - - - Financial assets at amortised cost 33,466 - 298 1 - 33,765 12.61% - - a) Loans and advances to banks 11,005 - - - - 11,005 29.45% - - b) Loans and advances to customers 22,461 - 298 1 - 22,760 9.88% - - Hedging derivatives (assets) 4,134 - - - - 4,134 94.77% - - Non-current assets and disposal groups classified as held for sale - - 13 - - 13 0.68% - - Other assets 223 - - - - 223 5.81% - - Total assets 45,724 - 357 1 - 46,082 13.78% - - Financial liabilities at amortised cost 14,739 - 204 3 81 15,027 4.06% 49 0.01% a) Deposits from banks 13,976 - - - - 13,976 16.20% 7 0.01% b) Deposits from customers 485 - 204 3 81 773 0.34% 42 0.02% c) Debt securities in issue 278 - - - - 278 0.48% - - Financial liabilities held for trading and designated at fair value 5,124 - - - - 5,124 28.87% - - Hedging derivatives (liabilities) 4,620 - - - - 4,620 95.40% - - Liabilities associated with disposal groups classified as held for sale - - - - - - - - #DIV/0! Other liabilities 203 - 6 - - 209 3.01% - - Total liabilities 24,686 - 210 3 81 24,980 6.25% 49 0.01% Guarantees given and commitments 14,120 - 41 - - 14,161 8.59% 1 01.00.1900 Note: (*) Shareholders and related companies holding more than 2% of voting shares in UniCredit. Other assets mandatory at fair value include UniCredit Bank AG’s Additional Tier 1 issuances, subscribed by UniCredit S.p.A. in October 2020, for a nominal amount of €1,700 million and evaluated at year end €1,860 million, with a revaluation of €63 million into Profit & Loss and UniCredit Bank Austria AG’s Additional Tier 1 issuances, subscribed by UniCredit S.p.A. in December 2021, for a nominal amount of €600 million and evaluated at year end €616 million, with a revaluation of €16 million. The value of the percentage on accounts Item, referred to “Commitments and guarantees given”, has been calculated on the total of the tables “1. Commitments and financial guarantees given (different from those designated at fair value)” and “2. Others commitments and others guarantees given” in Notes to the accounts - Part B - Balance sheet - Liabilities - Other information. Company financial statements | Notes to the accounts Part H - Related-party transactions 754 2021 Annual Report and Accounts · UniCredit 2. Related-party transactions The following table sets out the assets, liabilities, guarantees and commitments, for each group of related parties, pursuant to IAS24. Related-party transactions: balance sheet items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM Cash and cash balances 489 - - - - 489 0.67% - - Financial assets at fair value through profit or loss 7,412 - 46 - - 7,458 37.28% - - a) Financial assets held for trading 4,727 - - - - 4,727 33.91% - - b) Financial assets designated at fair value - - - - - - - - - c) Other financial assets mandatorily at fair value 2,685 - 46 - - 2,731 45.94% - - Financial assets at fair value through other comprehensive income - - - - - - - - - Financial assets at amortised cost 33,466 - 298 1 - 33,765 12.61% - - a) Loans and advances to banks 11,005 - - - - 11,005 29.45% - - b) Loans and advances to customers 22,461 - 298 1 - 22,760 9.88% - - Hedging derivatives (assets) 4,134 - - - - 4,134 94.77% - - Non-current assets and disposal groups classified as held for sale - - 13 - - 13 0.68% - - Other assets 223 - - - - 223 5.81% - - Total assets 45,724 - 357 1 - 46,082 13.78% - - Financial liabilities at amortised cost 14,739 - 204 3 81 15,027 4.06% 49 0.01% a) Deposits from banks 13,976 - - - - 13,976 16.20% 7 0.01% b) Deposits from customers 485 - 204 3 81 773 0.34% 42 0.02% c) Debt securities in issue 278 - - - - 278 0.48% - - Financial liabilities held for trading and designated at fair value 5,124 - - - - 5,124 28.87% - - Hedging derivatives (liabilities) 4,620 - - - - 4,620 95.40% - - Liabilities associated with disposal groups classified as held for sale - - - - - - - - #DIV/0! Other liabilities 203 - 6 - - 209 3.01% - - Total liabilities 24,686 - 210 3 81 24,980 6.25% 49 0.01% Guarantees given and commitments 14,120 - 41 - - 14,161 8.59% 1 01.00.1900 Note: (*) Shareholders and related companies holding more than 2% of voting shares in UniCredit. Other assets mandatory at fair value include UniCredit Bank AG’s Additional Tier 1 issuances, subscribed by UniCredit S.p.A. in October 2020, for a nominal amount of €1,700 million and evaluated at year end €1,860 million, with a revaluation of €63 million into Profit & Loss and UniCredit Bank Austria AG’s Additional Tier 1 issuances, subscribed by UniCredit S.p.A. in December 2021, for a nominal amount of €600 million and evaluated at year end €616 million, with a revaluation of €16 million. The value of the percentage on accounts Item, referred to “Commitments and guarantees given”, has been calculated on the total of the tables “1. Commitments and financial guarantees given (different from those designated at fair value)” and “2. Others commitments and others guarantees given” in Notes to the accounts - Part B - Balance sheet - Liabilities - Other information. Company financial statements | Notes to the accounts Part H - Related-party transactions 754 2021 Annual Report and Accounts · UniCredit 2. Related-party transactions The following table sets out the assets, liabilities, guarantees and commitments, for each group of related parties, pursuant to IAS24. Related-party transactions: balance sheet items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM Cash and cash balances 489 - - - - 489 0.67% - - Financial assets at fair value through profit or loss 7,412 - 46 - - 7,458 37.28% - - a) Financial assets held for trading 4,727 - - - - 4,727 33.91% - - b) Financial assets designated at fair value - - - - - - - - - c) Other financial assets mandatorily at fair value 2,685 - 46 - - 2,731 45.94% - - Financial assets at fair value through other comprehensive income - - - - - - - - - Financial assets at amortised cost 33,466 - 298 1 - 33,765 12.61% - - a) Loans and advances to banks 11,005 - - - - 11,005 29.45% - - b) Loans and advances to customers 22,461 - 298 1 - 22,760 9.88% - - Hedging derivatives (assets) 4,134 - - - - 4,134 94.77% - - Non-current assets and disposal groups classified as held for sale - - 13 - - 13 0.68% - - Other assets 223 - - - - 223 5.81% - - Total assets 45,724 - 357 1 - 46,082 13.78% - - Financial liabilities at amortised cost 14,739 - 204 3 81 15,027 4.06% 49 0.01% a) Deposits from banks 13,976 - - - - 13,976 16.20% 7 0.01% b) Deposits from customers 485 - 204 3 81 773 0.34% 42 0.02% c) Debt securities in issue 278 - - - - 278 0.48% - - Financial liabilities held for trading and designated at fair value 5,124 - - - - 5,124 28.87% - - Hedging derivatives (liabilities) 4,620 - - - - 4,620 95.40% - - Liabilities associated with disposal groups classified as held for sale - - - - - - - - #DIV/0! Other liabilities 203 - 6 - - 209 3.01% - - Total liabilities 24,686 - 210 3 81 24,980 6.25% 49 0.01% Guarantees given and commitments 14,120 - 41 - - 14,161 8.59% 1 01.00.1900 Note: (*) Shareholders and related companies holding more than 2% of voting shares in UniCredit. Other assets mandatory at fair value include UniCredit Bank AG’s Additional Tier 1 issuances, subscribed by UniCredit S.p.A. in October 2020, for a nominal amount of €1,700 million and evaluated at year end €1,860 million, with a revaluation of €63 million into Profit & Loss and UniCredit Bank Austria AG’s Additional Tier 1 issuances, subscribed by UniCredit S.p.A. in December 2021, for a nominal amount of €600 million and evaluated at year end €616 million, with a revaluation of €16 million. The value of the percentage on accounts Item, referred to “Commitments and guarantees given”, has been calculated on the total of the tables “1. Commitments and financial guarantees given (different from those designated at fair value)” and “2. Others commitments and others guarantees given” in Notes to the accounts - Part B - Balance sheet - Liabilities - Other information. Company financial statements | Notes to the accounts Part H - Related-party transactions 754 2021 Annual Report and Accounts · UniCredit 2. Related-party transactions The following table sets out the assets, liabilities, guarantees and commitments, for each group of related parties, pursuant to IAS24. Related-party transactions: balance sheet items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM Cash and cash balances 489 - - - - 489 0.67% - - Financial assets at fair value through profit or loss 7,412 - 46 - - 7,458 37.28% - - a) Financial assets held for trading 4,727 - - - - 4,727 33.91% - - b) Financial assets designated at fair value - - - - - - - - - c) Other financial assets mandatorily at fair value 2,685 - 46 - - 2,731 45.94% - - Financial assets at fair value through other comprehensive income - - - - - - - - - Financial assets at amortised cost 33,466 - 298 1 - 33,765 12.61% - - a) Loans and advances to banks 11,005 - - - - 11,005 29.45% - - b) Loans and advances to customers 22,461 - 298 1 - 22,760 9.88% - - Hedging derivatives (assets) 4,134 - - - - 4,134 94.77% - - Non-current assets and disposal groups classified as held for sale - - 13 - - 13 0.68% - - Other assets 223 - - - - 223 5.81% - - Total assets 45,724 - 357 1 - 46,082 13.78% - - Financial liabilities at amortised cost 14,739 - 204 3 81 15,027 4.06% 49 0.01% a) Deposits from banks 13,976 - - - - 13,976 16.20% 7 0.01% b) Deposits from customers 485 - 204 3 81 773 0.34% 42 0.02% c) Debt securities in issue 278 - - - - 278 0.48% - - Financial liabilities held for trading and designated at fair value 5,124 - - - - 5,124 28.87% - - Hedging derivatives (liabilities) 4,620 - - - - 4,620 95.40% - - Liabilities associated with disposal groups classified as held for sale - - - - - - - - #DIV/0! Other liabilities 203 - 6 - - 209 3.01% - - Total liabilities 24,686 - 210 3 81 24,980 6.25% 49 0.01% Guarantees given and commitments 14,120 - 41 - - 14,161 8.59% 1 01.00.1900 Note: (*) Shareholders and related companies holding more than 2% of voting shares in UniCredit. Other assets mandatory at fair value include UniCredit Bank AG’s Additional Tier 1 issuances, subscribed by UniCredit S.p.A. in October 2020, for a nominal amount of €1,700 million and evaluated at year end €1,860 million, with a revaluation of €63 million into Profit & Loss and UniCredit Bank Austria AG’s Additional Tier 1 issuances, subscribed by UniCredit S.p.A. in December 2021, for a nominal amount of €600 million and evaluated at year end €616 million, with a revaluation of €16 million. The value of the percentage on accounts Item, referred to “Commitments and guarantees given”, has been calculated on the total of the tables “1. Commitments and financial guarantees given (different from those designated at fair value)” and “2. Others commitments and others guarantees given” in Notes to the accounts - Part B - Balance sheet - Liabilities - Other information. Company financial statements | Notes to the accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 755 The following table sets out the impact of transactions, for each group of related parties, on income statements, pursuant to IAS24. Related-party transactions: profit and loss items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM 10. Interest income and similar revenues (245) 2 62 - - (181) 4.11% - - 20. Interest expenses and similar charges 899 - - - - 899 72.27% - - 30. Net interest margin 654 2 62 - - 718 22.70% - - 40. Fees and commissions income 110 - 737 - - 847 18.27% 64 1.38% 50. Fees and commissions expenses (180) - - - - (180) 33.09% - - 60. Net fees and commissions (70) - 737 - - 667 16.30% 64 1.56% 190. Administrative expenses (889) - (2) - (3) (894) 16.44% - - a) Staff costs 17 - (1) - - 16 0.54% - - b) Other administrative expenses (906) - (1) - (3) (910) 36.39% - - 230. Other operating expenses/income 134 - (68) - - 66 20.25% - - Note: (*) Shareholders and related companies holding more than 2% of voting shares in UniCredit. The “Other related-parties IAS” category includes: • close family members of key management personnel (i.e. those family members who, as is expected, maybe influence, or be influenced by, the person in question); • companies controlled (or jointly controlled) by key management personnel or their close family members; • Group employee post-employment benefit plans. With reference to the description of main transactions with related parties, reference is made to the corresponding paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, which is herewith quoted entirely for the transactions related to UniCredit S.p.A. Company financial statements | Notes to the accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 755 The following table sets out the impact of transactions, for each group of related parties, on income statements, pursuant to IAS24. Related-party transactions: profit and loss items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM 10. Interest income and similar revenues (245) 2 62 - - (181) 4.11% - - 20. Interest expenses and similar charges 899 - - - - 899 72.27% - - 30. Net interest margin 654 2 62 - - 718 22.70% - - 40. Fees and commissions income 110 - 737 - - 847 18.27% 64 1.38% 50. Fees and commissions expenses (180) - - - - (180) 33.09% - - 60. Net fees and commissions (70) - 737 - - 667 16.30% 64 1.56% 190. Administrative expenses (889) - (2) - (3) (894) 16.44% - - a) Staff costs 17 - (1) - - 16 0.54% - - b) Other administrative expenses (906) - (1) - (3) (910) 36.39% - - 230. Other operating expenses/income 134 - (68) - - 66 20.25% - - Note: (*) Shareholders and related companies holding more than 2% of voting shares in UniCredit. The “Other related-parties IAS” category includes: • close family members of key management personnel (i.e. those family members who, as is expected, maybe influence, or be influenced by, the person in question); • companies controlled (or jointly controlled) by key management personnel or their close family members; • Group employee post-employment benefit plans. With reference to the description of main transactions with related parties, reference is made to the corresponding paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, which is herewith quoted entirely for the transactions related to UniCredit S.p.A. Company financial statements | Notes to the accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 755 The following table sets out the impact of transactions, for each group of related parties, on income statements, pursuant to IAS24. Related-party transactions: profit and loss items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM 10. Interest income and similar revenues (245) 2 62 - - (181) 4.11% - - 20. Interest expenses and similar charges 899 - - - - 899 72.27% - - 30. Net interest margin 654 2 62 - - 718 22.70% - - 40. Fees and commissions income 110 - 737 - - 847 18.27% 64 1.38% 50. Fees and commissions expenses (180) - - - - (180) 33.09% - - 60. Net fees and commissions (70) - 737 - - 667 16.30% 64 1.56% 190. Administrative expenses (889) - (2) - (3) (894) 16.44% - - a) Staff costs 17 - (1) - - 16 0.54% - - b) Other administrative expenses (906) - (1) - (3) (910) 36.39% - - 230. Other operating expenses/income 134 - (68) - - 66 20.25% - - Note: (*) Shareholders and related companies holding more than 2% of voting shares in UniCredit. The “Other related-parties IAS” category includes: • close family members of key management personnel (i.e. those family members who, as is expected, maybe influence, or be influenced by, the person in question); • companies controlled (or jointly controlled) by key management personnel or their close family members; • Group employee post-employment benefit plans. With reference to the description of main transactions with related parties, reference is made to the corresponding paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, which is herewith quoted entirely for the transactions related to UniCredit S.p.A. Company financial statements | Notes to the accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 755 The following table sets out the impact of transactions, for each group of related parties, on income statements, pursuant to IAS24. Related-party transactions: profit and loss items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM 10. Interest income and similar revenues (245) 2 62 - - (181) 4.11% - - 20. Interest expenses and similar charges 899 - - - - 899 72.27% - - 30. Net interest margin 654 2 62 - - 718 22.70% - - 40. Fees and commissions income 110 - 737 - - 847 18.27% 64 1.38% 50. Fees and commissions expenses (180) - - - - (180) 33.09% - - 60. Net fees and commissions (70) - 737 - - 667 16.30% 64 1.56% 190. Administrative expenses (889) - (2) - (3) (894) 16.44% - - a) Staff costs 17 - (1) - - 16 0.54% - - b) Other administrative expenses (906) - (1) - (3) (910) 36.39% - - 230. Other operating expenses/income 134 - (68) - - 66 20.25% - - Note: (*) Shareholders and related companies holding more than 2% of voting shares in UniCredit. The “Other related-parties IAS” category includes: • close family members of key management personnel (i.e. those family members who, as is expected, maybe influence, or be influenced by, the person in question); • companies controlled (or jointly controlled) by key management personnel or their close family members; • Group employee post-employment benefit plans. With reference to the description of main transactions with related parties, reference is made to the corresponding paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, which is herewith quoted entirely for the transactions related to UniCredit S.p.A. Company financial statements | Notes to the accounts Part H - Related-party transactions UniCredit · 2021 Annual Report and Accounts 755 The following table sets out the impact of transactions, for each group of related parties, on income statements, pursuant to IAS24. Related-party transactions: profit and loss items (€ million) AMOUNTS AS AT 12.31.2021 CONTROLLED JOINT VENTURES ASSOCIATED COMPANIES KEY MANAGEMENT PERSONNEL OTHER RELATED PARTIES TOTAL % ON ACCOUNTS ITEM SHAREHOLDERS(*) % ON ACCOUNTS ITEM 10. Interest income and similar revenues (245) 2 62 - - (181) 4.11% - - 20. Interest expenses and similar charges 899 - - - - 899 72.27% - - 30. Net interest margin 654 2 62 - - 718 22.70% - - 40. Fees and commissions income 110 - 737 - - 847 18.27% 64 1.38% 50. Fees and commissions expenses (180) - - - - (180) 33.09% - - 60. Net fees and commissions (70) - 737 - - 667 16.30% 64 1.56% 190. Administrative expenses (889) - (2) - (3) (894) 16.44% - - a) Staff costs 17 - (1) - - 16 0.54% - - b) Other administrative expenses (906) - (1) - (3) (910) 36.39% - - 230. Other operating expenses/income 134 - (68) - - 66 20.25% - - Note: (*) Shareholders and related companies holding more than 2% of voting shares in UniCredit. The “Other related-parties IAS” category includes: • close family members of key management personnel (i.e. those family members who, as is expected, maybe influence, or be influenced by, the person in question); • companies controlled (or jointly controlled) by key management personnel or their close family members; • Group employee post-employment benefit plans. With reference to the description of main transactions with related parties, reference is made to the corresponding paragraph “Part H - Related-party transactions” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts, which is herewith quoted entirely for the transactions related to UniCredit S.p.A. Company financial statements | Notes to the accounts Part I - Share based payments 756 2021 Annual Report and Accounts · UniCredit Part I - Share-based payments A. Qualitative information 1. Description of payment agreements based on own equity instruments For the part that concern the delivery of UniCredit shares reference is made to the paragraph “1. Description of payment agreements based on own equity instruments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part I Share-based payments, Qualitative information, which is herewith quoted. B. Quantitative information 1. Annual changes Reference is made to the paragraph “1. Annual changes” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part I - Share-based payments, Quantitative information. 2. Other information All Share-Based Payment granted after 7 November 2002 whose vesting period ends after 1 January 2005 are included within the scope of the IFRS2. Financial statement presentation related to share based payments (€ million) 2021 2020 TOTAL VESTED PLANS TOTAL VESTED PLANS (Costs)/Revenues (41) (26) - connected to equity-settled plans(1) (41) (25) - connected to cash-settled plans - (1) Debts for cash-settled plans - - - - Note: (1) Includes costs for € 6.5 million related to golden parachute. Company financial statements | Notes to the accounts Part I - Share based payments 756 2021 Annual Report and Accounts · UniCredit Part I - Share-based payments A. Qualitative information 1. Description of payment agreements based on own equity instruments For the part that concern the delivery of UniCredit shares reference is made to the paragraph “1. Description of payment agreements based on own equity instruments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part I Share-based payments, Qualitative information, which is herewith quoted. B. Quantitative information 1. Annual changes Reference is made to the paragraph “1. Annual changes” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part I - Share-based payments, Quantitative information. 2. Other information All Share-Based Payment granted after 7 November 2002 whose vesting period ends after 1 January 2005 are included within the scope of the IFRS2. Financial statement presentation related to share based payments (€ million) 2021 2020 TOTAL VESTED PLANS TOTAL VESTED PLANS (Costs)/Revenues (41) (26) - connected to equity-settled plans(1) (41) (25) - connected to cash-settled plans - (1) Debts for cash-settled plans - - - - Note: (1) Includes costs for € 6.5 million related to golden parachute. Company financial statements | Notes to the accounts Part I - Share based payments 756 2021 Annual Report and Accounts · UniCredit Part I - Share-based payments A. Qualitative information 1. Description of payment agreements based on own equity instruments For the part that concern the delivery of UniCredit shares reference is made to the paragraph “1. Description of payment agreements based on own equity instruments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part I Share-based payments, Qualitative information, which is herewith quoted. B. Quantitative information 1. Annual changes Reference is made to the paragraph “1. Annual changes” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part I - Share-based payments, Quantitative information. 2. Other information All Share-Based Payment granted after 7 November 2002 whose vesting period ends after 1 January 2005 are included within the scope of the IFRS2. Financial statement presentation related to share based payments (€ million) 2021 2020 TOTAL VESTED PLANS TOTAL VESTED PLANS (Costs)/Revenues (41) (26) - connected to equity-settled plans(1) (41) (25) - connected to cash-settled plans - (1) Debts for cash-settled plans - - - - Note: (1) Includes costs for € 6.5 million related to golden parachute. Company financial statements | Notes to the accounts Part I - Share based payments 756 2021 Annual Report and Accounts · UniCredit Part I - Share-based payments A. Qualitative information 1. Description of payment agreements based on own equity instruments For the part that concern the delivery of UniCredit shares reference is made to the paragraph “1. Description of payment agreements based on own equity instruments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part I Share-based payments, Qualitative information, which is herewith quoted. B. Quantitative information 1. Annual changes Reference is made to the paragraph “1. Annual changes” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part I - Share-based payments, Quantitative information. 2. Other information All Share-Based Payment granted after 7 November 2002 whose vesting period ends after 1 January 2005 are included within the scope of the IFRS2. Financial statement presentation related to share based payments (€ million) 2021 2020 TOTAL VESTED PLANS TOTAL VESTED PLANS (Costs)/Revenues (41) (26) - connected to equity-settled plans(1) (41) (25) - connected to cash-settled plans - (1) Debts for cash-settled plans - - - - Note: (1) Includes costs for € 6.5 million related to golden parachute. Company financial statements | Notes to the accounts Part I - Share based payments 756 2021 Annual Report and Accounts · UniCredit Part I - Share-based payments A. Qualitative information 1. Description of payment agreements based on own equity instruments For the part that concern the delivery of UniCredit shares reference is made to the paragraph “1. Description of payment agreements based on own equity instruments” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part I Share-based payments, Qualitative information, which is herewith quoted. B. Quantitative information 1. Annual changes Reference is made to the paragraph “1. Annual changes” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts Part I - Share-based payments, Quantitative information. 2. Other information All Share-Based Payment granted after 7 November 2002 whose vesting period ends after 1 January 2005 are included within the scope of the IFRS2. Financial statement presentation related to share based payments (€ million) 2021 2020 TOTAL VESTED PLANS TOTAL VESTED PLANS (Costs)/Revenues (41) (26) - connected to equity-settled plans(1) (41) (25) - connected to cash-settled plans - (1) Debts for cash-settled plans - - - - Note: (1) Includes costs for € 6.5 million related to golden parachute. Company financial statements | Notes to the accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 757 Part L - Segment reporting Segment reporting of UniCredit S.p.A., parent company of the UniCredit banking group, is provided to the paragraph “Part L - Segment reporting” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts. Company financial statements | Notes to the accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 757 Part L - Segment reporting Segment reporting of UniCredit S.p.A., parent company of the UniCredit banking group, is provided to the paragraph “Part L - Segment reporting” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts. Company financial statements | Notes to the accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 757 Part L - Segment reporting Segment reporting of UniCredit S.p.A., parent company of the UniCredit banking group, is provided to the paragraph “Part L - Segment reporting” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts. Company financial statements | Notes to the accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 757 Part L - Segment reporting Segment reporting of UniCredit S.p.A., parent company of the UniCredit banking group, is provided to the paragraph “Part L - Segment reporting” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts. Company financial statements | Notes to the accounts Part L - Segment reporting UniCredit · 2021 Annual Report and Accounts 757 Part L - Segment reporting Segment reporting of UniCredit S.p.A., parent company of the UniCredit banking group, is provided to the paragraph “Part L - Segment reporting” of the Consolidated financial statements of UniCredit group, Notes to the consolidated accounts. Company financial statements | Notes to the accounts Part M - Information on leases 758 2021 Annual Report and Accounts · UniCredit Part M - Information on leases Section 1 - Lessee Qualitative information The Bank in conducting its business, signs lease contracts for which accounts for rights of use that mainly relate to the following type of tangible assets: • Buildings; • Others (eg. cars). These contracts are accounted for in accordance with rules set in accounting standard IFRS16 further detailed in Part A - Accounting policies, A.2 - Main items of the accounts (section to refer to). The rights of use deriving from these lease contracts are mainly used to provide for services or for administrative purposes and accounted for according to the cost method. If these rights of use are sub-leased to third parties, a financial or operating lease contract is booked based on their characteristics. As allowed by the accounting standard, the Bank has decided not to account for rights of use or lease liabilities in case of: • short-term leases, lower than 12 months; and • lease of low value assets. In this regard, in this respect an asset is considered as low value if its fair value when new is equal to or lower than €5 thousand. This category mainly includes office machines (PCs, monitors, tablets, etc.) as well as fixed and mobile telephony devices. The lease payments deriving from this type of activity are booked in item “160. Administrative expenses” on an accrual basis. Quantitative information The book value of the rights of use arising from lease contracts are exposed in Part B - Balance sheet - Assets, Section 8 - Property, plant and equipment of the Notes to the accounts. During the year, these rights of use resulted in the recognition of depreciations for €171 million of which: • €165 million relating to buildings; • €6 million relating to the other category (eg. cars). In addition, impairment for €20 million has been booked. With reference to leasing liabilities, the related book value is shown in Part B - Balance sheet - Liabilities, Section 1 - Financial liabilities at amortised cost of the Notes to the accounts (section to refer to). During the year, these lease liabilities led to the recognition of interest expenses shown in Part C - Income statement, Section 1 - Interests of the Notes to the accounts. With reference to short-term leases and leases of low value assets, it should be noted that during the year, rentals were accounted for €52 million. It should be noted that such amount also includes VAT on rentals which is not included in the lease liability calculation. For the purposes of determining the lease term, the Bank considers the non-cancellable period established by the contract, during which the lessee has the right to use the underlying asset as well as any renewal options where the lessee has reasonable expectation to proceed with the renewal. In particular, with reference to contracts that provide the lessee with the option to automatically renew the lease at the end of a first period, the lease term is determined considering elements such as the duration of the first period, the existence of any plan leading to the disposal of the asset leased as well as any other circumstance indicating the reasonable certainty of renewal. Therefore, the amount of cash flows, not reflected in the calculation of the lease liability, to which the Bank is potentially exposed, is essentially due to the possible renewal of lease contracts and the subsequent extension of the lease term not included in the original calculation of the lease liabilities taking into account the information available and expectations existing as at 1 January 2019 (date of initial application of IFRS16) or on the starting date of the lease. Company financial statements | Notes to the accounts Part M - Information on leases 758 2021 Annual Report and Accounts · UniCredit Part M - Information on leases Section 1 - Lessee Qualitative information The Bank in conducting its business, signs lease contracts for which accounts for rights of use that mainly relate to the following type of tangible assets: • Buildings; • Others (eg. cars). These contracts are accounted for in accordance with rules set in accounting standard IFRS16 further detailed in Part A - Accounting policies, A.2 - Main items of the accounts (section to refer to). The rights of use deriving from these lease contracts are mainly used to provide for services or for administrative purposes and accounted for according to the cost method. If these rights of use are sub-leased to third parties, a financial or operating lease contract is booked based on their characteristics. As allowed by the accounting standard, the Bank has decided not to account for rights of use or lease liabilities in case of: • short-term leases, lower than 12 months; and • lease of low value assets. In this regard, in this respect an asset is considered as low value if its fair value when new is equal to or lower than €5 thousand. This category mainly includes office machines (PCs, monitors, tablets, etc.) as well as fixed and mobile telephony devices. The lease payments deriving from this type of activity are booked in item “160. Administrative expenses” on an accrual basis. Quantitative information The book value of the rights of use arising from lease contracts are exposed in Part B - Balance sheet - Assets, Section 8 - Property, plant and equipment of the Notes to the accounts. During the year, these rights of use resulted in the recognition of depreciations for €171 million of which: • €165 million relating to buildings; • €6 million relating to the other category (eg. cars). In addition, impairment for €20 million has been booked. With reference to leasing liabilities, the related book value is shown in Part B - Balance sheet - Liabilities, Section 1 - Financial liabilities at amortised cost of the Notes to the accounts (section to refer to). During the year, these lease liabilities led to the recognition of interest expenses shown in Part C - Income statement, Section 1 - Interests of the Notes to the accounts. With reference to short-term leases and leases of low value assets, it should be noted that during the year, rentals were accounted for €52 million. It should be noted that such amount also includes VAT on rentals which is not included in the lease liability calculation. For the purposes of determining the lease term, the Bank considers the non-cancellable period established by the contract, during which the lessee has the right to use the underlying asset as well as any renewal options where the lessee has reasonable expectation to proceed with the renewal. In particular, with reference to contracts that provide the lessee with the option to automatically renew the lease at the end of a first period, the lease term is determined considering elements such as the duration of the first period, the existence of any plan leading to the disposal of the asset leased as well as any other circumstance indicating the reasonable certainty of renewal. Therefore, the amount of cash flows, not reflected in the calculation of the lease liability, to which the Bank is potentially exposed, is essentially due to the possible renewal of lease contracts and the subsequent extension of the lease term not included in the original calculation of the lease liabilities taking into account the information available and expectations existing as at 1 January 2019 (date of initial application of IFRS16) or on the starting date of the lease. Company financial statements | Notes to the accounts Part M - Information on leases 758 2021 Annual Report and Accounts · UniCredit Part M - Information on leases Section 1 - Lessee Qualitative information The Bank in conducting its business, signs lease contracts for which accounts for rights of use that mainly relate to the following type of tangible assets: • Buildings; • Others (eg. cars). These contracts are accounted for in accordance with rules set in accounting standard IFRS16 further detailed in Part A - Accounting policies, A.2 - Main items of the accounts (section to refer to). The rights of use deriving from these lease contracts are mainly used to provide for services or for administrative purposes and accounted for according to the cost method. If these rights of use are sub-leased to third parties, a financial or operating lease contract is booked based on their characteristics. As allowed by the accounting standard, the Bank has decided not to account for rights of use or lease liabilities in case of: • short-term leases, lower than 12 months; and • lease of low value assets. In this regard, in this respect an asset is considered as low value if its fair value when new is equal to or lower than €5 thousand. This category mainly includes office machines (PCs, monitors, tablets, etc.) as well as fixed and mobile telephony devices. The lease payments deriving from this type of activity are booked in item “160. Administrative expenses” on an accrual basis. Quantitative information The book value of the rights of use arising from lease contracts are exposed in Part B - Balance sheet - Assets, Section 8 - Property, plant and equipment of the Notes to the accounts. During the year, these rights of use resulted in the recognition of depreciations for €171 million of which: • €165 million relating to buildings; • €6 million relating to the other category (eg. cars). In addition, impairment for €20 million has been booked. With reference to leasing liabilities, the related book value is shown in Part B - Balance sheet - Liabilities, Section 1 - Financial liabilities at amortised cost of the Notes to the accounts (section to refer to). During the year, these lease liabilities led to the recognition of interest expenses shown in Part C - Income statement, Section 1 - Interests of the Notes to the accounts. With reference to short-term leases and leases of low value assets, it should be noted that during the year, rentals were accounted for €52 million. It should be noted that such amount also includes VAT on rentals which is not included in the lease liability calculation. For the purposes of determining the lease term, the Bank considers the non-cancellable period established by the contract, during which the lessee has the right to use the underlying asset as well as any renewal options where the lessee has reasonable expectation to proceed with the renewal. In particular, with reference to contracts that provide the lessee with the option to automatically renew the lease at the end of a first period, the lease term is determined considering elements such as the duration of the first period, the existence of any plan leading to the disposal of the asset leased as well as any other circumstance indicating the reasonable certainty of renewal. Therefore, the amount of cash flows, not reflected in the calculation of the lease liability, to which the Bank is potentially exposed, is essentially due to the possible renewal of lease contracts and the subsequent extension of the lease term not included in the original calculation of the lease liabilities taking into account the information available and expectations existing as at 1 January 2019 (date of initial application of IFRS16) or on the starting date of the lease. Company financial statements | Notes to the accounts Part M - Information on leases 758 2021 Annual Report and Accounts · UniCredit Part M - Information on leases Section 1 - Lessee Qualitative information The Bank in conducting its business, signs lease contracts for which accounts for rights of use that mainly relate to the following type of tangible assets: • Buildings; • Others (eg. cars). These contracts are accounted for in accordance with rules set in accounting standard IFRS16 further detailed in Part A - Accounting policies, A.2 - Main items of the accounts (section to refer to). The rights of use deriving from these lease contracts are mainly used to provide for services or for administrative purposes and accounted for according to the cost method. If these rights of use are sub-leased to third parties, a financial or operating lease contract is booked based on their characteristics. As allowed by the accounting standard, the Bank has decided not to account for rights of use or lease liabilities in case of: • short-term leases, lower than 12 months; and • lease of low value assets. In this regard, in this respect an asset is considered as low value if its fair value when new is equal to or lower than €5 thousand. This category mainly includes office machines (PCs, monitors, tablets, etc.) as well as fixed and mobile telephony devices. The lease payments deriving from this type of activity are booked in item “160. Administrative expenses” on an accrual basis. Quantitative information The book value of the rights of use arising from lease contracts are exposed in Part B - Balance sheet - Assets, Section 8 - Property, plant and equipment of the Notes to the accounts. During the year, these rights of use resulted in the recognition of depreciations for €171 million of which: • €165 million relating to buildings; • €6 million relating to the other category (eg. cars). In addition, impairment for €20 million has been booked. With reference to leasing liabilities, the related book value is shown in Part B - Balance sheet - Liabilities, Section 1 - Financial liabilities at amortised cost of the Notes to the accounts (section to refer to). During the year, these lease liabilities led to the recognition of interest expenses shown in Part C - Income statement, Section 1 - Interests of the Notes to the accounts. With reference to short-term leases and leases of low value assets, it should be noted that during the year, rentals were accounted for €52 million. It should be noted that such amount also includes VAT on rentals which is not included in the lease liability calculation. For the purposes of determining the lease term, the Bank considers the non-cancellable period established by the contract, during which the lessee has the right to use the underlying asset as well as any renewal options where the lessee has reasonable expectation to proceed with the renewal. In particular, with reference to contracts that provide the lessee with the option to automatically renew the lease at the end of a first period, the lease term is determined considering elements such as the duration of the first period, the existence of any plan leading to the disposal of the asset leased as well as any other circumstance indicating the reasonable certainty of renewal. Therefore, the amount of cash flows, not reflected in the calculation of the lease liability, to which the Bank is potentially exposed, is essentially due to the possible renewal of lease contracts and the subsequent extension of the lease term not included in the original calculation of the lease liabilities taking into account the information available and expectations existing as at 1 January 2019 (date of initial application of IFRS16) or on the starting date of the lease. Company financial statements | Notes to the accounts Part M - Information on leases 758 2021 Annual Report and Accounts · UniCredit Part M - Information on leases Section 1 - Lessee Qualitative information The Bank in conducting its business, signs lease contracts for which accounts for rights of use that mainly relate to the following type of tangible assets: • Buildings; • Others (eg. cars). These contracts are accounted for in accordance with rules set in accounting standard IFRS16 further detailed in Part A - Accounting policies, A.2 - Main items of the accounts (section to refer to). The rights of use deriving from these lease contracts are mainly used to provide for services or for administrative purposes and accounted for according to the cost method. If these rights of use are sub-leased to third parties, a financial or operating lease contract is booked based on their characteristics. As allowed by the accounting standard, the Bank has decided not to account for rights of use or lease liabilities in case of: • short-term leases, lower than 12 months; and • lease of low value assets. In this regard, in this respect an asset is considered as low value if its fair value when new is equal to or lower than €5 thousand. This category mainly includes office machines (PCs, monitors, tablets, etc.) as well as fixed and mobile telephony devices. The lease payments deriving from this type of activity are booked in item “160. Administrative expenses” on an accrual basis. Quantitative information The book value of the rights of use arising from lease contracts are exposed in Part B - Balance sheet - Assets, Section 8 - Property, plant and equipment of the Notes to the accounts. During the year, these rights of use resulted in the recognition of depreciations for €171 million of which: • €165 million relating to buildings; • €6 million relating to the other category (eg. cars). In addition, impairment for €20 million has been booked. With reference to leasing liabilities, the related book value is shown in Part B - Balance sheet - Liabilities, Section 1 - Financial liabilities at amortised cost of the Notes to the accounts (section to refer to). During the year, these lease liabilities led to the recognition of interest expenses shown in Part C - Income statement, Section 1 - Interests of the Notes to the accounts. With reference to short-term leases and leases of low value assets, it should be noted that during the year, rentals were accounted for €52 million. It should be noted that such amount also includes VAT on rentals which is not included in the lease liability calculation. For the purposes of determining the lease term, the Bank considers the non-cancellable period established by the contract, during which the lessee has the right to use the underlying asset as well as any renewal options where the lessee has reasonable expectation to proceed with the renewal. In particular, with reference to contracts that provide the lessee with the option to automatically renew the lease at the end of a first period, the lease term is determined considering elements such as the duration of the first period, the existence of any plan leading to the disposal of the asset leased as well as any other circumstance indicating the reasonable certainty of renewal. Therefore, the amount of cash flows, not reflected in the calculation of the lease liability, to which the Bank is potentially exposed, is essentially due to the possible renewal of lease contracts and the subsequent extension of the lease term not included in the original calculation of the lease liabilities taking into account the information available and expectations existing as at 1 January 2019 (date of initial application of IFRS16) or on the starting date of the lease. Company financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 759 Section 2 - Lessor Qualitative information The Bank carries out financial leasing activities associated with the sublease of properties both to other Group’s companies and to third parties. These contracts are exposed through the recognition of a credit for financial leases recognised in item “40. Financial assets at amortised cost”, of the related income on an accrual basis in item "10. Interest income and similar revenues" and of the impairment for the expected credit loss in item “130.Net losses/recoveries on credit impairment”. Operating leases activities, on the other hand, are essentially attributable to the leasing of owned properties to parties external to the Group. These contracts are represented through the recognition, on an accrual basis, of the rentals received in item “200. Other operating expenses/income”. Quantitative information 1. Balance sheet and Income statement information With reference to financial lease contracts, the book value of credit for financial leases is shown in Part B - Balance sheet - Assets, Section 4 - Financial assets at amortised cost of these Notes to the accounts. Such loans determined, during the year, interest income shown in Part C - Income statement, Section 1 - Interests of Notes to the accounts. With reference to operating lease contracts, it should be noted that the book value of the owned assets granted under operating lease is composed as follows: • Land: €77 million; • Buildings: €152 million. Rentals recognised on an accrual basis during the year for leasing of these activities are shown in Part C - Income statement, Section 14 - Other operating expenses/income of these Notes to the accounts. 2. Financial leases 2.1 Classification for time bucket of Payments to be received and Reconciliation with Lease Loans booked in the Assets (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year - - 1 year to 2 years 1 - 2 year to 3 years 2 2 3 year to 4 years 2 3 4 year to 5 years 1 2 Over 5 years 65 74 Total Payments to be received for lease 71 81 RECONCILIATION WITH LOANS Unpaid Financial Profits (-) - - Not guaranteed Residual Amount (-) - - Lease Loans 71 81 The value shown in the table represents the gross exposure. This value is decreased by impairment, equal to €1 million, leading to the amount of €70 million shown among the Assets - Section 4 - Financial assets at amortised cost of these Notes to the accounts. 2.2 Other information With regard to financial leases, the credit risk associated with the contract is managed according to what is stated in Part E - Information on risks and hedging policies, Section 1 - Credit risk of the Notes to the accounts (section to referred to). The classification of the contract as a finance lease is determined by the fact that the risks and rewards of the leased right of use are transferred to the lessee mainly through contract durations substantially aligned with the useful life of the related right. Company financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 759 Section 2 - Lessor Qualitative information The Bank carries out financial leasing activities associated with the sublease of properties both to other Group’s companies and to third parties. These contracts are exposed through the recognition of a credit for financial leases recognised in item “40. Financial assets at amortised cost”, of the related income on an accrual basis in item "10. Interest income and similar revenues" and of the impairment for the expected credit loss in item “130.Net losses/recoveries on credit impairment”. Operating leases activities, on the other hand, are essentially attributable to the leasing of owned properties to parties external to the Group. These contracts are represented through the recognition, on an accrual basis, of the rentals received in item “200. Other operating expenses/income”. Quantitative information 1. Balance sheet and Income statement information With reference to financial lease contracts, the book value of credit for financial leases is shown in Part B - Balance sheet - Assets, Section 4 - Financial assets at amortised cost of these Notes to the accounts. Such loans determined, during the year, interest income shown in Part C - Income statement, Section 1 - Interests of Notes to the accounts. With reference to operating lease contracts, it should be noted that the book value of the owned assets granted under operating lease is composed as follows: • Land: €77 million; • Buildings: €152 million. Rentals recognised on an accrual basis during the year for leasing of these activities are shown in Part C - Income statement, Section 14 - Other operating expenses/income of these Notes to the accounts. 2. Financial leases 2.1 Classification for time bucket of Payments to be received and Reconciliation with Lease Loans booked in the Assets (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year - - 1 year to 2 years 1 - 2 year to 3 years 2 2 3 year to 4 years 2 3 4 year to 5 years 1 2 Over 5 years 65 74 Total Payments to be received for lease 71 81 RECONCILIATION WITH LOANS Unpaid Financial Profits (-) - - Not guaranteed Residual Amount (-) - - Lease Loans 71 81 The value shown in the table represents the gross exposure. This value is decreased by impairment, equal to €1 million, leading to the amount of €70 million shown among the Assets - Section 4 - Financial assets at amortised cost of these Notes to the accounts. 2.2 Other information With regard to financial leases, the credit risk associated with the contract is managed according to what is stated in Part E - Information on risks and hedging policies, Section 1 - Credit risk of the Notes to the accounts (section to referred to). The classification of the contract as a finance lease is determined by the fact that the risks and rewards of the leased right of use are transferred to the lessee mainly through contract durations substantially aligned with the useful life of the related right. Company financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 759 Section 2 - Lessor Qualitative information The Bank carries out financial leasing activities associated with the sublease of properties both to other Group’s companies and to third parties. These contracts are exposed through the recognition of a credit for financial leases recognised in item “40. Financial assets at amortised cost”, of the related income on an accrual basis in item "10. Interest income and similar revenues" and of the impairment for the expected credit loss in item “130.Net losses/recoveries on credit impairment”. Operating leases activities, on the other hand, are essentially attributable to the leasing of owned properties to parties external to the Group. These contracts are represented through the recognition, on an accrual basis, of the rentals received in item “200. Other operating expenses/income”. Quantitative information 1. Balance sheet and Income statement information With reference to financial lease contracts, the book value of credit for financial leases is shown in Part B - Balance sheet - Assets, Section 4 - Financial assets at amortised cost of these Notes to the accounts. Such loans determined, during the year, interest income shown in Part C - Income statement, Section 1 - Interests of Notes to the accounts. With reference to operating lease contracts, it should be noted that the book value of the owned assets granted under operating lease is composed as follows: • Land: €77 million; • Buildings: €152 million. Rentals recognised on an accrual basis during the year for leasing of these activities are shown in Part C - Income statement, Section 14 - Other operating expenses/income of these Notes to the accounts. 2. Financial leases 2.1 Classification for time bucket of Payments to be received and Reconciliation with Lease Loans booked in the Assets (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year - - 1 year to 2 years 1 - 2 year to 3 years 2 2 3 year to 4 years 2 3 4 year to 5 years 1 2 Over 5 years 65 74 Total Payments to be received for lease 71 81 RECONCILIATION WITH LOANS Unpaid Financial Profits (-) - - Not guaranteed Residual Amount (-) - - Lease Loans 71 81 The value shown in the table represents the gross exposure. This value is decreased by impairment, equal to €1 million, leading to the amount of €70 million shown among the Assets - Section 4 - Financial assets at amortised cost of these Notes to the accounts. 2.2 Other information With regard to financial leases, the credit risk associated with the contract is managed according to what is stated in Part E - Information on risks and hedging policies, Section 1 - Credit risk of the Notes to the accounts (section to referred to). The classification of the contract as a finance lease is determined by the fact that the risks and rewards of the leased right of use are transferred to the lessee mainly through contract durations substantially aligned with the useful life of the related right. Company financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 759 Section 2 - Lessor Qualitative information The Bank carries out financial leasing activities associated with the sublease of properties both to other Group’s companies and to third parties. These contracts are exposed through the recognition of a credit for financial leases recognised in item “40. Financial assets at amortised cost”, of the related income on an accrual basis in item "10. Interest income and similar revenues" and of the impairment for the expected credit loss in item “130.Net losses/recoveries on credit impairment”. Operating leases activities, on the other hand, are essentially attributable to the leasing of owned properties to parties external to the Group. These contracts are represented through the recognition, on an accrual basis, of the rentals received in item “200. Other operating expenses/income”. Quantitative information 1. Balance sheet and Income statement information With reference to financial lease contracts, the book value of credit for financial leases is shown in Part B - Balance sheet - Assets, Section 4 - Financial assets at amortised cost of these Notes to the accounts. Such loans determined, during the year, interest income shown in Part C - Income statement, Section 1 - Interests of Notes to the accounts. With reference to operating lease contracts, it should be noted that the book value of the owned assets granted under operating lease is composed as follows: • Land: €77 million; • Buildings: €152 million. Rentals recognised on an accrual basis during the year for leasing of these activities are shown in Part C - Income statement, Section 14 - Other operating expenses/income of these Notes to the accounts. 2. Financial leases 2.1 Classification for time bucket of Payments to be received and Reconciliation with Lease Loans booked in the Assets (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year - - 1 year to 2 years 1 - 2 year to 3 years 2 2 3 year to 4 years 2 3 4 year to 5 years 1 2 Over 5 years 65 74 Total Payments to be received for lease 71 81 RECONCILIATION WITH LOANS Unpaid Financial Profits (-) - - Not guaranteed Residual Amount (-) - - Lease Loans 71 81 The value shown in the table represents the gross exposure. This value is decreased by impairment, equal to €1 million, leading to the amount of €70 million shown among the Assets - Section 4 - Financial assets at amortised cost of these Notes to the accounts. 2.2 Other information With regard to financial leases, the credit risk associated with the contract is managed according to what is stated in Part E - Information on risks and hedging policies, Section 1 - Credit risk of the Notes to the accounts (section to referred to). The classification of the contract as a finance lease is determined by the fact that the risks and rewards of the leased right of use are transferred to the lessee mainly through contract durations substantially aligned with the useful life of the related right. Company financial statements | Notes to the accounts Part M - Information on leases UniCredit · 2021 Annual Report and Accounts 759 Section 2 - Lessor Qualitative information The Bank carries out financial leasing activities associated with the sublease of properties both to other Group’s companies and to third parties. These contracts are exposed through the recognition of a credit for financial leases recognised in item “40. Financial assets at amortised cost”, of the related income on an accrual basis in item "10. Interest income and similar revenues" and of the impairment for the expected credit loss in item “130.Net losses/recoveries on credit impairment”. Operating leases activities, on the other hand, are essentially attributable to the leasing of owned properties to parties external to the Group. These contracts are represented through the recognition, on an accrual basis, of the rentals received in item “200. Other operating expenses/income”. Quantitative information 1. Balance sheet and Income statement information With reference to financial lease contracts, the book value of credit for financial leases is shown in Part B - Balance sheet - Assets, Section 4 - Financial assets at amortised cost of these Notes to the accounts. Such loans determined, during the year, interest income shown in Part C - Income statement, Section 1 - Interests of Notes to the accounts. With reference to operating lease contracts, it should be noted that the book value of the owned assets granted under operating lease is composed as follows: • Land: €77 million; • Buildings: €152 million. Rentals recognised on an accrual basis during the year for leasing of these activities are shown in Part C - Income statement, Section 14 - Other operating expenses/income of these Notes to the accounts. 2. Financial leases 2.1 Classification for time bucket of Payments to be received and Reconciliation with Lease Loans booked in the Assets (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year - - 1 year to 2 years 1 - 2 year to 3 years 2 2 3 year to 4 years 2 3 4 year to 5 years 1 2 Over 5 years 65 74 Total Payments to be received for lease 71 81 RECONCILIATION WITH LOANS Unpaid Financial Profits (-) - - Not guaranteed Residual Amount (-) - - Lease Loans 71 81 The value shown in the table represents the gross exposure. This value is decreased by impairment, equal to €1 million, leading to the amount of €70 million shown among the Assets - Section 4 - Financial assets at amortised cost of these Notes to the accounts. 2.2 Other information With regard to financial leases, the credit risk associated with the contract is managed according to what is stated in Part E - Information on risks and hedging policies, Section 1 - Credit risk of the Notes to the accounts (section to referred to). The classification of the contract as a finance lease is determined by the fact that the risks and rewards of the leased right of use are transferred to the lessee mainly through contract durations substantially aligned with the useful life of the related right. Company financial statements | Notes to the accounts Part M - Information on leases 760 2021 Annual Report and Accounts · UniCredit 3. Operating leases 3.1 Classification for time bucket of Payments to be received (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 17 20 1 year to 2 years 17 19 2 year to 3 years 16 19 3 year to 4 years 16 19 4 year to 5 years 14 18 Over 5 years 70 97 Total 150 192 3.2 Other information There is no further significant information to report compared to the above. Company financial statements | Notes to the accounts Part M - Information on leases 760 2021 Annual Report and Accounts · UniCredit 3. Operating leases 3.1 Classification for time bucket of Payments to be received (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 17 20 1 year to 2 years 17 19 2 year to 3 years 16 19 3 year to 4 years 16 19 4 year to 5 years 14 18 Over 5 years 70 97 Total 150 192 3.2 Other information There is no further significant information to report compared to the above. Company financial statements | Notes to the accounts Part M - Information on leases 760 2021 Annual Report and Accounts · UniCredit 3. Operating leases 3.1 Classification for time bucket of Payments to be received (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 17 20 1 year to 2 years 17 19 2 year to 3 years 16 19 3 year to 4 years 16 19 4 year to 5 years 14 18 Over 5 years 70 97 Total 150 192 3.2 Other information There is no further significant information to report compared to the above. Company financial statements | Notes to the accounts Part M - Information on leases 760 2021 Annual Report and Accounts · UniCredit 3. Operating leases 3.1 Classification for time bucket of Payments to be received (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 17 20 1 year to 2 years 17 19 2 year to 3 years 16 19 3 year to 4 years 16 19 4 year to 5 years 14 18 Over 5 years 70 97 Total 150 192 3.2 Other information There is no further significant information to report compared to the above. Company financial statements | Notes to the accounts Part M - Information on leases 760 2021 Annual Report and Accounts · UniCredit 3. Operating leases 3.1 Classification for time bucket of Payments to be received (€ million) TIME BUCKET 12.31.2021 12.31.2020 PAYMENTS TO BE RECEIVED FOR LEASE PAYMENTS TO BE RECEIVED FOR LEASE Up to 1 year 17 20 1 year to 2 years 17 19 2 year to 3 years 16 19 3 year to 4 years 16 19 4 year to 5 years 14 18 Over 5 years 70 97 Total 150 192 3.2 Other information There is no further significant information to report compared to the above.  UniCredit · 2021 Annual Report and Accounts 761 UniCredit · 2021 Annual Report and Accounts 761 UniCredit · 2021 Annual Report and Accounts 761 UniCredit · 2021 Annual Report and Accounts 761 UniCredit · 2021 Annual Report and Accounts 761  762 2021 Annual Report and Accounts · UniCredit 762 2021 Annual Report and Accounts · UniCredit 762 2021 Annual Report and Accounts · UniCredit 762 2021 Annual Report and Accounts · UniCredit 762 2021 Annual Report and Accounts · UniCredit Company financial statements | Certification Annual Financial Statements certification pursuant to art.81-ter of Consob regulation No.11971/99, as amended UniCredit · 2021 Annual Report and Accounts 763 1. The undersigned Andrea Orcel (as Chief Executive Officer) and Stefano Porro (as the Manager charged with preparing the financial reports) of UniCredit S.p.A., also in compliance with Art.154-bis, (paragraphs 3 and 4) of Italian Legislative Decree No.58 of 24 February 1998, hereby certify: • the adequacy in relation to the Legal Entity’s features, and • the actual application of the administrative and accounting procedures employed to draw up the 2021 Annual Financial Statements. 2. The adequacy of the administrative and accounting procedures employed to draw up the 2021 Annual Financial Statements has been evaluated by applying a model developed by UniCredit S.p.A., in accordance with the “Internal Control - Integrated Framework (CoSO)” and the “Control Objective for IT and Related Technologies (Cobit)”, which represent generally accepted international standards for internal control system and for financial reporting in particular. 3. The undersigned also certify that: 3.1 the 2021 Annual Financial Statements: a) were prepared in compliance with applicable international accounting standards recognised by the European Community pursuant to European Parliament and Council Regulation No.1606/2002, of 19 July 2002; b) correspond to the results of the accounting books and records; c) are suitable to provide a fair and correct representation of the economic and financial situation of the issuer; 3.2 the Report on Operations includes a reliable analysis of the operating trend and results as well as of the situation of the issuer, together with a description of the main risks and uncertainties they are exposed to. Milan, 15 February 2022 Andrea ORCEL Stefano PORRO Certification Company financial statements | Certification Annual Financial Statements certification pursuant to art.81-ter of Consob regulation No.11971/99, as amended UniCredit · 2021 Annual Report and Accounts 763 1. The undersigned Andrea Orcel (as Chief Executive Officer) and Stefano Porro (as the Manager charged with preparing the financial reports) of UniCredit S.p.A., also in compliance with Art.154-bis, (paragraphs 3 and 4) of Italian Legislative Decree No.58 of 24 February 1998, hereby certify: • the adequacy in relation to the Legal Entity’s features, and • the actual application of the administrative and accounting procedures employed to draw up the 2021 Annual Financial Statements. 2. The adequacy of the administrative and accounting procedures employed to draw up the 2021 Annual Financial Statements has been evaluated by applying a model developed by UniCredit S.p.A., in accordance with the “Internal Control - Integrated Framework (CoSO)” and the “Control Objective for IT and Related Technologies (Cobit)”, which represent generally accepted international standards for internal control system and for financial reporting in particular. 3. The undersigned also certify that: 3.1 the 2021 Annual Financial Statements: a) were prepared in compliance with applicable international accounting standards recognised by the European Community pursuant to European Parliament and Council Regulation No.1606/2002, of 19 July 2002; b) correspond to the results of the accounting books and records; c) are suitable to provide a fair and correct representation of the economic and financial situation of the issuer; 3.2 the Report on Operations includes a reliable analysis of the operating trend and results as well as of the situation of the issuer, together with a description of the main risks and uncertainties they are exposed to. Milan, 15 February 2022 Andrea ORCEL Stefano PORRO Certification Company financial statements | Certification Annual Financial Statements certification pursuant to art.81-ter of Consob regulation No.11971/99, as amended UniCredit · 2021 Annual Report and Accounts 763 1. The undersigned Andrea Orcel (as Chief Executive Officer) and Stefano Porro (as the Manager charged with preparing the financial reports) of UniCredit S.p.A., also in compliance with Art.154-bis, (paragraphs 3 and 4) of Italian Legislative Decree No.58 of 24 February 1998, hereby certify: • the adequacy in relation to the Legal Entity’s features, and • the actual application of the administrative and accounting procedures employed to draw up the 2021 Annual Financial Statements. 2. The adequacy of the administrative and accounting procedures employed to draw up the 2021 Annual Financial Statements has been evaluated by applying a model developed by UniCredit S.p.A., in accordance with the “Internal Control - Integrated Framework (CoSO)” and the “Control Objective for IT and Related Technologies (Cobit)”, which represent generally accepted international standards for internal control system and for financial reporting in particular. 3. The undersigned also certify that: 3.1 the 2021 Annual Financial Statements: a) were prepared in compliance with applicable international accounting standards recognised by the European Community pursuant to European Parliament and Council Regulation No.1606/2002, of 19 July 2002; b) correspond to the results of the accounting books and records; c) are suitable to provide a fair and correct representation of the economic and financial situation of the issuer; 3.2 the Report on Operations includes a reliable analysis of the operating trend and results as well as of the situation of the issuer, together with a description of the main risks and uncertainties they are exposed to. Milan, 15 February 2022 Andrea ORCEL Stefano PORRO Certification Company financial statements | Certification Annual Financial Statements certification pursuant to art.81-ter of Consob regulation No.11971/99, as amended UniCredit · 2021 Annual Report and Accounts 763 1. The undersigned Andrea Orcel (as Chief Executive Officer) and Stefano Porro (as the Manager charged with preparing the financial reports) of UniCredit S.p.A., also in compliance with Art.154-bis, (paragraphs 3 and 4) of Italian Legislative Decree No.58 of 24 February 1998, hereby certify: • the adequacy in relation to the Legal Entity’s features, and • the actual application of the administrative and accounting procedures employed to draw up the 2021 Annual Financial Statements. 2. The adequacy of the administrative and accounting procedures employed to draw up the 2021 Annual Financial Statements has been evaluated by applying a model developed by UniCredit S.p.A., in accordance with the “Internal Control - Integrated Framework (CoSO)” and the “Control Objective for IT and Related Technologies (Cobit)”, which represent generally accepted international standards for internal control system and for financial reporting in particular. 3. The undersigned also certify that: 3.1 the 2021 Annual Financial Statements: a) were prepared in compliance with applicable international accounting standards recognised by the European Community pursuant to European Parliament and Council Regulation No.1606/2002, of 19 July 2002; b) correspond to the results of the accounting books and records; c) are suitable to provide a fair and correct representation of the economic and financial situation of the issuer; 3.2 the Report on Operations includes a reliable analysis of the operating trend and results as well as of the situation of the issuer, together with a description of the main risks and uncertainties they are exposed to. Milan, 15 February 2022 Andrea ORCEL Stefano PORRO Certification Company financial statements | Certification Annual Financial Statements certification pursuant to art.81-ter of Consob regulation No.11971/99, as amended UniCredit · 2021 Annual Report and Accounts 763 1. The undersigned Andrea Orcel (as Chief Executive Officer) and Stefano Porro (as the Manager charged with preparing the financial reports) of UniCredit S.p.A., also in compliance with Art.154-bis, (paragraphs 3 and 4) of Italian Legislative Decree No.58 of 24 February 1998, hereby certify: • the adequacy in relation to the Legal Entity’s features, and • the actual application of the administrative and accounting procedures employed to draw up the 2021 Annual Financial Statements. 2. The adequacy of the administrative and accounting procedures employed to draw up the 2021 Annual Financial Statements has been evaluated by applying a model developed by UniCredit S.p.A., in accordance with the “Internal Control - Integrated Framework (CoSO)” and the “Control Objective for IT and Related Technologies (Cobit)”, which represent generally accepted international standards for internal control system and for financial reporting in particular. 3. The undersigned also certify that: 3.1 the 2021 Annual Financial Statements: a) were prepared in compliance with applicable international accounting standards recognised by the European Community pursuant to European Parliament and Council Regulation No.1606/2002, of 19 July 2002; b) correspond to the results of the accounting books and records; c) are suitable to provide a fair and correct representation of the economic and financial situation of the issuer; 3.2 the Report on Operations includes a reliable analysis of the operating trend and results as well as of the situation of the issuer, together with a description of the main risks and uncertainties they are exposed to. Milan, 15 February 2022 Andrea ORCEL Stefano PORRO Certification Company financial statements | Certification Annual Financial Statements certification pursuant to Art.81-ter of Consob regulation No.11971/99, as amended 764 2021 Annual Report and Accounts · UniCredit Company financial statements | Certification Annual Financial Statements certification pursuant to Art.81-ter of Consob regulation No.11971/99, as amended 764 2021 Annual Report and Accounts · UniCredit Company financial statements | Certification Annual Financial Statements certification pursuant to Art.81-ter of Consob regulation No.11971/99, as amended 764 2021 Annual Report and Accounts · UniCredit Company financial statements | Certification Annual Financial Statements certification pursuant to Art.81-ter of Consob regulation No.11971/99, as amended 764 2021 Annual Report and Accounts · UniCredit Company financial statements | Certification Annual Financial Statements certification pursuant to Art.81-ter of Consob regulation No.11971/99, as amended 764 2021 Annual Report and Accounts · UniCredit Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 765 Reports and resolutions (English translation of the Italian original document) Report of the Board of Statutory Auditors BOARD OF STATUTORY AUDITORS' REPORT TO THE SHAREHOLDERS MEETING OF 8 APRIL 2022 (PURSUANT TO ART.153 OF ITALIAN LEGISLATIVE DECREE N.58/1998 AND ART.2429, PAR. 2, OF THE ITALIAN CIVIL CODE) Dear Shareholders, the Board of Statutory Auditors (hereinafter, also the “BoSA”, the “Control Body”) is called to report to the Shareholders' Meeting of UniCredit S.p.A. (hereinafter, also the “Bank”, the ”Parent company”, “UniCredit”) on the oversight activity performed during the year and on any detected omissions and censurable facts, pursuant to Art.153 of Italian Legislative Decree No.58/1998 Consolidated Law on Finance (TUF) and Art.2429, paragraph 2, of the Italian Civil Code. The Board of Statutory Auditors is also entitled to make comments and proposals concerning the financial statements, their approval, and all matters within its remit. This report provides the information required by Consob Communication 1025564/2001 as amended and/or supplemented. During 2021, the Board of Statutory Auditors performed its institutional duties in compliance with the Italian Civil Code, Italian Legislative Decree No.385/1993 Consolidated Law on Banking (TUB), No.58/1998 (Consolidated Law on Finance TUF) and No.39/2010 and subsequent amendments and/or additions, the provisions of the company Bylaws and those issued by the Authorities that exercise supervisory and control activities, also taking into consideration the rules of conduct recommended by the Italian National Board of Certified Public Accountants and Accounting Experts (Consiglio Nazionale dei Dottori Commercialisti e degli Esperti Contabili). 1. Appointment and activities of the Board of Statutory Auditors On 11 April 2019, the Shareholders’ Meeting of UniCredit S.p.A. renewed the Board of Statutory Auditors, which had lapsed from office after completing its three-year term, appointing its members for the subsequent period and until the approval of the financial statements at 31 December 2021. These were Mr. Marco Rigotti (Chairman), Ms. Antonella Bientinesi, Mr. Angelo Rocco Bonissoni, Ms. Benedetta Navarra and Mr. Guido Paolucci (Permanent Statutory Auditors). The Statutory Auditors Ms. Antonella Bientinesi, Mr. Angelo Rocco Bonissoni, Ms. Benedetta Navarra and Mr. Guido Paolucci were already present in the previous composition of the BoSA. The Board of Directors of UniCredit, in its meeting held on 6 February 2019, approved by resolution to charge the Board of Statutory Auditors with the functions of Supervisory Body pursuant to Italian Legislative Decree No.231/2001 as from its aforementioned renewal for the financial years 2019-2021. Until the renewal of the Board of Statutory Auditors, the previous organizational structure was therefore maintained, entrusting these functions to an independent body, specifically set up for this purpose, composed of external members and senior executives of the Company with the task of guidance, support and control functions. During the year 2021, the Board of Statutory Auditors held overall No.64 meetings with an average duration of about 3 hours, of which No.52 as ordinary session and No.12 acting as 231 Supervisory Body’s. During 2022 and until the date of the present Report, the Board of Statutory Auditors met 12 times (of which No.10 as ordinary session and No.2 acting as 231 Supervisory Body’s). During 2021, the Board of Statutory Auditors attended all the meetings of the Board of Directors. The Shareholders' Meeting held on 15 April 2021 was attended by the Chairman of the Board of the Statutory Auditors - representing the entire Body - due to limitations caused by the Covid-19 epidemiological emergency. In compliance with the provisions of the “UniCredit - Corporate Bodies and Committees Regulation”, the Chairman of the Board of Statutory Auditors - or another Statutory Auditor appointed by him - attends the meetings of the Board Committees, without prejudice to the right of the other Statutory Auditors to attend the meetings. During 2021, the Chairman of the Board of Statutory Auditors, as a permanent guest, attended all meetings of the Internal Controls & Risks Committee ("IC&RC"); he also attended the meetings of the Corporate Governance & Nomination Committee and the ESG Committee (Environmental, Social, Governance established in April 2021, to which the responsibilities on sustainability, previously assigned to the Corporate Governance, Nomination & Sustainability Committee, since April 2021 becoming the Corporate Governance & Nomination Committee since April 2021, were assigned). Individual members of the Board of Statutory Auditors (with rotation on a six-month basis) also attended the meetings of the Internal Controls & Risks Committee, the Related Parties Committee, the Remuneration Committee and the ESG Committee. The entire Board of Statutory Auditors attended the meetings of the Internal Controls & Risks Committee when issues of common interest were discussed together with the Manager in charge of preparing the Company’s financial statements and the External Auditors (annual and half-yearly financial reports and accounting issues). Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 765 Reports and resolutions (English translation of the Italian original document) Report of the Board of Statutory Auditors BOARD OF STATUTORY AUDITORS' REPORT TO THE SHAREHOLDERS MEETING OF 8 APRIL 2022 (PURSUANT TO ART.153 OF ITALIAN LEGISLATIVE DECREE N.58/1998 AND ART.2429, PAR. 2, OF THE ITALIAN CIVIL CODE) Dear Shareholders, the Board of Statutory Auditors (hereinafter, also the “BoSA”, the “Control Body”) is called to report to the Shareholders' Meeting of UniCredit S.p.A. (hereinafter, also the “Bank”, the ”Parent company”, “UniCredit”) on the oversight activity performed during the year and on any detected omissions and censurable facts, pursuant to Art.153 of Italian Legislative Decree No.58/1998 Consolidated Law on Finance (TUF) and Art.2429, paragraph 2, of the Italian Civil Code. The Board of Statutory Auditors is also entitled to make comments and proposals concerning the financial statements, their approval, and all matters within its remit. This report provides the information required by Consob Communication 1025564/2001 as amended and/or supplemented. During 2021, the Board of Statutory Auditors performed its institutional duties in compliance with the Italian Civil Code, Italian Legislative Decree No.385/1993 Consolidated Law on Banking (TUB), No.58/1998 (Consolidated Law on Finance TUF) and No.39/2010 and subsequent amendments and/or additions, the provisions of the company Bylaws and those issued by the Authorities that exercise supervisory and control activities, also taking into consideration the rules of conduct recommended by the Italian National Board of Certified Public Accountants and Accounting Experts (Consiglio Nazionale dei Dottori Commercialisti e degli Esperti Contabili). 1. Appointment and activities of the Board of Statutory Auditors On 11 April 2019, the Shareholders’ Meeting of UniCredit S.p.A. renewed the Board of Statutory Auditors, which had lapsed from office after completing its three-year term, appointing its members for the subsequent period and until the approval of the financial statements at 31 December 2021. These were Mr. Marco Rigotti (Chairman), Ms. Antonella Bientinesi, Mr. Angelo Rocco Bonissoni, Ms. Benedetta Navarra and Mr. Guido Paolucci (Permanent Statutory Auditors). The Statutory Auditors Ms. Antonella Bientinesi, Mr. Angelo Rocco Bonissoni, Ms. Benedetta Navarra and Mr. Guido Paolucci were already present in the previous composition of the BoSA. The Board of Directors of UniCredit, in its meeting held on 6 February 2019, approved by resolution to charge the Board of Statutory Auditors with the functions of Supervisory Body pursuant to Italian Legislative Decree No.231/2001 as from its aforementioned renewal for the financial years 2019-2021. Until the renewal of the Board of Statutory Auditors, the previous organizational structure was therefore maintained, entrusting these functions to an independent body, specifically set up for this purpose, composed of external members and senior executives of the Company with the task of guidance, support and control functions. During the year 2021, the Board of Statutory Auditors held overall No.64 meetings with an average duration of about 3 hours, of which No.52 as ordinary session and No.12 acting as 231 Supervisory Body’s. During 2022 and until the date of the present Report, the Board of Statutory Auditors met 12 times (of which No.10 as ordinary session and No.2 acting as 231 Supervisory Body’s). During 2021, the Board of Statutory Auditors attended all the meetings of the Board of Directors. The Shareholders' Meeting held on 15 April 2021 was attended by the Chairman of the Board of the Statutory Auditors - representing the entire Body - due to limitations caused by the Covid-19 epidemiological emergency. In compliance with the provisions of the “UniCredit - Corporate Bodies and Committees Regulation”, the Chairman of the Board of Statutory Auditors - or another Statutory Auditor appointed by him - attends the meetings of the Board Committees, without prejudice to the right of the other Statutory Auditors to attend the meetings. During 2021, the Chairman of the Board of Statutory Auditors, as a permanent guest, attended all meetings of the Internal Controls & Risks Committee ("IC&RC"); he also attended the meetings of the Corporate Governance & Nomination Committee and the ESG Committee (Environmental, Social, Governance established in April 2021, to which the responsibilities on sustainability, previously assigned to the Corporate Governance, Nomination & Sustainability Committee, since April 2021 becoming the Corporate Governance & Nomination Committee since April 2021, were assigned). Individual members of the Board of Statutory Auditors (with rotation on a six-month basis) also attended the meetings of the Internal Controls & Risks Committee, the Related Parties Committee, the Remuneration Committee and the ESG Committee. The entire Board of Statutory Auditors attended the meetings of the Internal Controls & Risks Committee when issues of common interest were discussed together with the Manager in charge of preparing the Company’s financial statements and the External Auditors (annual and half-yearly financial reports and accounting issues). Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 765 Reports and resolutions (English translation of the Italian original document) Report of the Board of Statutory Auditors BOARD OF STATUTORY AUDITORS' REPORT TO THE SHAREHOLDERS MEETING OF 8 APRIL 2022 (PURSUANT TO ART.153 OF ITALIAN LEGISLATIVE DECREE N.58/1998 AND ART.2429, PAR. 2, OF THE ITALIAN CIVIL CODE) Dear Shareholders, the Board of Statutory Auditors (hereinafter, also the “BoSA”, the “Control Body”) is called to report to the Shareholders' Meeting of UniCredit S.p.A. (hereinafter, also the “Bank”, the ”Parent company”, “UniCredit”) on the oversight activity performed during the year and on any detected omissions and censurable facts, pursuant to Art.153 of Italian Legislative Decree No.58/1998 Consolidated Law on Finance (TUF) and Art.2429, paragraph 2, of the Italian Civil Code. The Board of Statutory Auditors is also entitled to make comments and proposals concerning the financial statements, their approval, and all matters within its remit. This report provides the information required by Consob Communication 1025564/2001 as amended and/or supplemented. During 2021, the Board of Statutory Auditors performed its institutional duties in compliance with the Italian Civil Code, Italian Legislative Decree No.385/1993 Consolidated Law on Banking (TUB), No.58/1998 (Consolidated Law on Finance TUF) and No.39/2010 and subsequent amendments and/or additions, the provisions of the company Bylaws and those issued by the Authorities that exercise supervisory and control activities, also taking into consideration the rules of conduct recommended by the Italian National Board of Certified Public Accountants and Accounting Experts (Consiglio Nazionale dei Dottori Commercialisti e degli Esperti Contabili). 1. Appointment and activities of the Board of Statutory Auditors On 11 April 2019, the Shareholders’ Meeting of UniCredit S.p.A. renewed the Board of Statutory Auditors, which had lapsed from office after completing its three-year term, appointing its members for the subsequent period and until the approval of the financial statements at 31 December 2021. These were Mr. Marco Rigotti (Chairman), Ms. Antonella Bientinesi, Mr. Angelo Rocco Bonissoni, Ms. Benedetta Navarra and Mr. Guido Paolucci (Permanent Statutory Auditors). The Statutory Auditors Ms. Antonella Bientinesi, Mr. Angelo Rocco Bonissoni, Ms. Benedetta Navarra and Mr. Guido Paolucci were already present in the previous composition of the BoSA. The Board of Directors of UniCredit, in its meeting held on 6 February 2019, approved by resolution to charge the Board of Statutory Auditors with the functions of Supervisory Body pursuant to Italian Legislative Decree No.231/2001 as from its aforementioned renewal for the financial years 2019-2021. Until the renewal of the Board of Statutory Auditors, the previous organizational structure was therefore maintained, entrusting these functions to an independent body, specifically set up for this purpose, composed of external members and senior executives of the Company with the task of guidance, support and control functions. During the year 2021, the Board of Statutory Auditors held overall No.64 meetings with an average duration of about 3 hours, of which No.52 as ordinary session and No.12 acting as 231 Supervisory Body’s. During 2022 and until the date of the present Report, the Board of Statutory Auditors met 12 times (of which No.10 as ordinary session and No.2 acting as 231 Supervisory Body’s). During 2021, the Board of Statutory Auditors attended all the meetings of the Board of Directors. The Shareholders' Meeting held on 15 April 2021 was attended by the Chairman of the Board of the Statutory Auditors - representing the entire Body - due to limitations caused by the Covid-19 epidemiological emergency. In compliance with the provisions of the “UniCredit - Corporate Bodies and Committees Regulation”, the Chairman of the Board of Statutory Auditors - or another Statutory Auditor appointed by him - attends the meetings of the Board Committees, without prejudice to the right of the other Statutory Auditors to attend the meetings. During 2021, the Chairman of the Board of Statutory Auditors, as a permanent guest, attended all meetings of the Internal Controls & Risks Committee ("IC&RC"); he also attended the meetings of the Corporate Governance & Nomination Committee and the ESG Committee (Environmental, Social, Governance established in April 2021, to which the responsibilities on sustainability, previously assigned to the Corporate Governance, Nomination & Sustainability Committee, since April 2021 becoming the Corporate Governance & Nomination Committee since April 2021, were assigned). Individual members of the Board of Statutory Auditors (with rotation on a six-month basis) also attended the meetings of the Internal Controls & Risks Committee, the Related Parties Committee, the Remuneration Committee and the ESG Committee. The entire Board of Statutory Auditors attended the meetings of the Internal Controls & Risks Committee when issues of common interest were discussed together with the Manager in charge of preparing the Company’s financial statements and the External Auditors (annual and half-yearly financial reports and accounting issues). Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 765 Reports and resolutions (English translation of the Italian original document) Report of the Board of Statutory Auditors BOARD OF STATUTORY AUDITORS' REPORT TO THE SHAREHOLDERS MEETING OF 8 APRIL 2022 (PURSUANT TO ART.153 OF ITALIAN LEGISLATIVE DECREE N.58/1998 AND ART.2429, PAR. 2, OF THE ITALIAN CIVIL CODE) Dear Shareholders, the Board of Statutory Auditors (hereinafter, also the “BoSA”, the “Control Body”) is called to report to the Shareholders' Meeting of UniCredit S.p.A. (hereinafter, also the “Bank”, the ”Parent company”, “UniCredit”) on the oversight activity performed during the year and on any detected omissions and censurable facts, pursuant to Art.153 of Italian Legislative Decree No.58/1998 Consolidated Law on Finance (TUF) and Art.2429, paragraph 2, of the Italian Civil Code. The Board of Statutory Auditors is also entitled to make comments and proposals concerning the financial statements, their approval, and all matters within its remit. This report provides the information required by Consob Communication 1025564/2001 as amended and/or supplemented. During 2021, the Board of Statutory Auditors performed its institutional duties in compliance with the Italian Civil Code, Italian Legislative Decree No.385/1993 Consolidated Law on Banking (TUB), No.58/1998 (Consolidated Law on Finance TUF) and No.39/2010 and subsequent amendments and/or additions, the provisions of the company Bylaws and those issued by the Authorities that exercise supervisory and control activities, also taking into consideration the rules of conduct recommended by the Italian National Board of Certified Public Accountants and Accounting Experts (Consiglio Nazionale dei Dottori Commercialisti e degli Esperti Contabili). 1. Appointment and activities of the Board of Statutory Auditors On 11 April 2019, the Shareholders’ Meeting of UniCredit S.p.A. renewed the Board of Statutory Auditors, which had lapsed from office after completing its three-year term, appointing its members for the subsequent period and until the approval of the financial statements at 31 December 2021. These were Mr. Marco Rigotti (Chairman), Ms. Antonella Bientinesi, Mr. Angelo Rocco Bonissoni, Ms. Benedetta Navarra and Mr. Guido Paolucci (Permanent Statutory Auditors). The Statutory Auditors Ms. Antonella Bientinesi, Mr. Angelo Rocco Bonissoni, Ms. Benedetta Navarra and Mr. Guido Paolucci were already present in the previous composition of the BoSA. The Board of Directors of UniCredit, in its meeting held on 6 February 2019, approved by resolution to charge the Board of Statutory Auditors with the functions of Supervisory Body pursuant to Italian Legislative Decree No.231/2001 as from its aforementioned renewal for the financial years 2019-2021. Until the renewal of the Board of Statutory Auditors, the previous organizational structure was therefore maintained, entrusting these functions to an independent body, specifically set up for this purpose, composed of external members and senior executives of the Company with the task of guidance, support and control functions. During the year 2021, the Board of Statutory Auditors held overall No.64 meetings with an average duration of about 3 hours, of which No.52 as ordinary session and No.12 acting as 231 Supervisory Body’s. During 2022 and until the date of the present Report, the Board of Statutory Auditors met 12 times (of which No.10 as ordinary session and No.2 acting as 231 Supervisory Body’s). During 2021, the Board of Statutory Auditors attended all the meetings of the Board of Directors. The Shareholders' Meeting held on 15 April 2021 was attended by the Chairman of the Board of the Statutory Auditors - representing the entire Body - due to limitations caused by the Covid-19 epidemiological emergency. In compliance with the provisions of the “UniCredit - Corporate Bodies and Committees Regulation”, the Chairman of the Board of Statutory Auditors - or another Statutory Auditor appointed by him - attends the meetings of the Board Committees, without prejudice to the right of the other Statutory Auditors to attend the meetings. During 2021, the Chairman of the Board of Statutory Auditors, as a permanent guest, attended all meetings of the Internal Controls & Risks Committee ("IC&RC"); he also attended the meetings of the Corporate Governance & Nomination Committee and the ESG Committee (Environmental, Social, Governance established in April 2021, to which the responsibilities on sustainability, previously assigned to the Corporate Governance, Nomination & Sustainability Committee, since April 2021 becoming the Corporate Governance & Nomination Committee since April 2021, were assigned). Individual members of the Board of Statutory Auditors (with rotation on a six-month basis) also attended the meetings of the Internal Controls & Risks Committee, the Related Parties Committee, the Remuneration Committee and the ESG Committee. The entire Board of Statutory Auditors attended the meetings of the Internal Controls & Risks Committee when issues of common interest were discussed together with the Manager in charge of preparing the Company’s financial statements and the External Auditors (annual and half-yearly financial reports and accounting issues). Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 765 Reports and resolutions (English translation of the Italian original document) Report of the Board of Statutory Auditors BOARD OF STATUTORY AUDITORS' REPORT TO THE SHAREHOLDERS MEETING OF 8 APRIL 2022 (PURSUANT TO ART.153 OF ITALIAN LEGISLATIVE DECREE N.58/1998 AND ART.2429, PAR. 2, OF THE ITALIAN CIVIL CODE) Dear Shareholders, the Board of Statutory Auditors (hereinafter, also the “BoSA”, the “Control Body”) is called to report to the Shareholders' Meeting of UniCredit S.p.A. (hereinafter, also the “Bank”, the ”Parent company”, “UniCredit”) on the oversight activity performed during the year and on any detected omissions and censurable facts, pursuant to Art.153 of Italian Legislative Decree No.58/1998 Consolidated Law on Finance (TUF) and Art.2429, paragraph 2, of the Italian Civil Code. The Board of Statutory Auditors is also entitled to make comments and proposals concerning the financial statements, their approval, and all matters within its remit. This report provides the information required by Consob Communication 1025564/2001 as amended and/or supplemented. During 2021, the Board of Statutory Auditors performed its institutional duties in compliance with the Italian Civil Code, Italian Legislative Decree No.385/1993 Consolidated Law on Banking (TUB), No.58/1998 (Consolidated Law on Finance TUF) and No.39/2010 and subsequent amendments and/or additions, the provisions of the company Bylaws and those issued by the Authorities that exercise supervisory and control activities, also taking into consideration the rules of conduct recommended by the Italian National Board of Certified Public Accountants and Accounting Experts (Consiglio Nazionale dei Dottori Commercialisti e degli Esperti Contabili). 1. Appointment and activities of the Board of Statutory Auditors On 11 April 2019, the Shareholders’ Meeting of UniCredit S.p.A. renewed the Board of Statutory Auditors, which had lapsed from office after completing its three-year term, appointing its members for the subsequent period and until the approval of the financial statements at 31 December 2021. These were Mr. Marco Rigotti (Chairman), Ms. Antonella Bientinesi, Mr. Angelo Rocco Bonissoni, Ms. Benedetta Navarra and Mr. Guido Paolucci (Permanent Statutory Auditors). The Statutory Auditors Ms. Antonella Bientinesi, Mr. Angelo Rocco Bonissoni, Ms. Benedetta Navarra and Mr. Guido Paolucci were already present in the previous composition of the BoSA. The Board of Directors of UniCredit, in its meeting held on 6 February 2019, approved by resolution to charge the Board of Statutory Auditors with the functions of Supervisory Body pursuant to Italian Legislative Decree No.231/2001 as from its aforementioned renewal for the financial years 2019-2021. Until the renewal of the Board of Statutory Auditors, the previous organizational structure was therefore maintained, entrusting these functions to an independent body, specifically set up for this purpose, composed of external members and senior executives of the Company with the task of guidance, support and control functions. During the year 2021, the Board of Statutory Auditors held overall No.64 meetings with an average duration of about 3 hours, of which No.52 as ordinary session and No.12 acting as 231 Supervisory Body’s. During 2022 and until the date of the present Report, the Board of Statutory Auditors met 12 times (of which No.10 as ordinary session and No.2 acting as 231 Supervisory Body’s). During 2021, the Board of Statutory Auditors attended all the meetings of the Board of Directors. The Shareholders' Meeting held on 15 April 2021 was attended by the Chairman of the Board of the Statutory Auditors - representing the entire Body - due to limitations caused by the Covid-19 epidemiological emergency. In compliance with the provisions of the “UniCredit - Corporate Bodies and Committees Regulation”, the Chairman of the Board of Statutory Auditors - or another Statutory Auditor appointed by him - attends the meetings of the Board Committees, without prejudice to the right of the other Statutory Auditors to attend the meetings. During 2021, the Chairman of the Board of Statutory Auditors, as a permanent guest, attended all meetings of the Internal Controls & Risks Committee ("IC&RC"); he also attended the meetings of the Corporate Governance & Nomination Committee and the ESG Committee (Environmental, Social, Governance established in April 2021, to which the responsibilities on sustainability, previously assigned to the Corporate Governance, Nomination & Sustainability Committee, since April 2021 becoming the Corporate Governance & Nomination Committee since April 2021, were assigned). Individual members of the Board of Statutory Auditors (with rotation on a six-month basis) also attended the meetings of the Internal Controls & Risks Committee, the Related Parties Committee, the Remuneration Committee and the ESG Committee. The entire Board of Statutory Auditors attended the meetings of the Internal Controls & Risks Committee when issues of common interest were discussed together with the Manager in charge of preparing the Company’s financial statements and the External Auditors (annual and half-yearly financial reports and accounting issues). Company financial statements | Report and resolutions Report of the Board of Statutory auditors 766 2021 Annual Report and Accounts · UniCredit In short, in 2021: the Chairman Mr. Rigotti attended No.20 meetings of the Internal Controls & Risks Committee, No.19 meetings of the Corporate Governance & Nomination Committee, No.7 meetings of the ESG Committee and No.1 meeting of the Remuneration Committee; the Statutory Auditor Ms. Bientinesi attended No.13 meetings of the Internal Controls & Risks Committee, No.4 meetings of the Related Parties Committee, and No.3 meetings of the ESG Committee; the Statutory Auditor Mr. Bonissoni attended No.6 meetings of the Internal Controls & Risks Committee, No.6 meetings of the Remuneration Committee, and No.4 meetings of the Related Parties Committee; the Statutory Auditor Ms. Navarra attended No.5 meetings of the Internal Controls & Risks Committee, No.5 meetings of the Remuneration Committee, and No.1 meeting of the Related Parties Committee; the Statutory Auditor Mr. Paolucci attended No.2 meetings of the Internal Controls & Risks Committee, No.4 meetings of the Remuneration Committee, No.5 meetings of the Related Parties Committee, and No.4 meetings of the ESG Committee. The members of the Board of Statutory Auditors also participated to the permanent induction program for the members of the Board of Directors, carried out, in some cases, with the support of an external consultant, including, inter alia, recurrent training sessions in order to preserve over time the expertise of technical skills needed to consciously play their role. In 2021, the training initiatives covered issues of strategic importance, as well as topics related to business and ESG strategies, risks, market development and in-depth analyses of legislative and regulatory insights, with the aim of ensuring knowledge and awareness of the risk profile assumed by the Group. 2. Group activities development operations and other corporate transactions As stated in the Consolidated Annual Report, the macroeconomic context in which the Group worked in 2021 was characterized by the encouraging signs of recovery compared with the prior year, supported by government’s measures sustaining the economy, by vaccination campaigns and by the progressive slowing-down of the lockdown measures to contain the Covid-19 pandemic. The adequate operative answer ensured by the Group during 2020 (as already noted by the Board of Statutory Auditors in its Report to the Shareholders’ Meeting of 15 April 2021), to face the crisis emerging from the Covid -19 pandemic, allowed in 2021 to continue to effectively pursuing the strategic priorities of the “Team 23” Strategic Plan communicated in December 2019. However, the profoundly changed economic scenario following the pandemic, the resulting reprioritization of some of the strategic guidelines, as well as the appointment of the new Managerial Team, led during 2021 to the development of a new Strategic Plan “UniCredit Unlocked” (hereinafter, also the “Plan”) for the three-year period 2022-2024. The aim of such Plan is to optimize the Group's current set-up and define a clear long-term program, moving towards a new era of growth and value creation for all stakeholders. In detail, the Plan, presented to the financial community on 9 December 2021, pursues the following strategic objectives: Grow in the reference geographical areas and develop the client franchise, changing the Group’s business model, and operating methods: selective growth, with respect to both existing and new clients; • development of best-in-class products and services: either in house or with external partners; • business growth based on low capital absorption, focusing on value-added products and services for clients; • targeted cost efficiency to fund investments and ensure operating lever. Achieve economies of scale from the Group’s banks network, through a transformation of technology leveraging on Digital & Data and operating with a view towards sustainability: achieve the full integration of the 13 Group’s banks; • empowering the local banks within clear risk and behavior framework, limiting the central steering to those activities where it can actually adds value; • redesign operating model by re-insourcing the strategic competencies; • adopting a new client oriented working model and based on common platforms; • equipping the Group with all necessary tools to support customers and communities in the transition to a more sustainable way of operating, both for the environment and for the society. Drive financial performance via three interconnected levers under full management control: • further reducing the cost base of 2024, excluding the impact of new significant investments expected in Digital & Data and Business and the inflation; • generate organic capital growth thanks to higher profitability and capital low capital absorption model, to optimal capital allocation and active portfolio management driven by RoTE maximization (Return on Tangible Equity); • increase of revenues excluding LLPs to achieve a profitability above the cost of equity, mostly driven by fees and a recovery of market share. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 766 2021 Annual Report and Accounts · UniCredit In short, in 2021: the Chairman Mr. Rigotti attended No.20 meetings of the Internal Controls & Risks Committee, No.19 meetings of the Corporate Governance & Nomination Committee, No.7 meetings of the ESG Committee and No.1 meeting of the Remuneration Committee; the Statutory Auditor Ms. Bientinesi attended No.13 meetings of the Internal Controls & Risks Committee, No.4 meetings of the Related Parties Committee, and No.3 meetings of the ESG Committee; the Statutory Auditor Mr. Bonissoni attended No.6 meetings of the Internal Controls & Risks Committee, No.6 meetings of the Remuneration Committee, and No.4 meetings of the Related Parties Committee; the Statutory Auditor Ms. Navarra attended No.5 meetings of the Internal Controls & Risks Committee, No.5 meetings of the Remuneration Committee, and No.1 meeting of the Related Parties Committee; the Statutory Auditor Mr. Paolucci attended No.2 meetings of the Internal Controls & Risks Committee, No.4 meetings of the Remuneration Committee, No.5 meetings of the Related Parties Committee, and No.4 meetings of the ESG Committee. The members of the Board of Statutory Auditors also participated to the permanent induction program for the members of the Board of Directors, carried out, in some cases, with the support of an external consultant, including, inter alia, recurrent training sessions in order to preserve over time the expertise of technical skills needed to consciously play their role. In 2021, the training initiatives covered issues of strategic importance, as well as topics related to business and ESG strategies, risks, market development and in-depth analyses of legislative and regulatory insights, with the aim of ensuring knowledge and awareness of the risk profile assumed by the Group. 2. Group activities development operations and other corporate transactions As stated in the Consolidated Annual Report, the macroeconomic context in which the Group worked in 2021 was characterized by the encouraging signs of recovery compared with the prior year, supported by government’s measures sustaining the economy, by vaccination campaigns and by the progressive slowing-down of the lockdown measures to contain the Covid-19 pandemic. The adequate operative answer ensured by the Group during 2020 (as already noted by the Board of Statutory Auditors in its Report to the Shareholders’ Meeting of 15 April 2021), to face the crisis emerging from the Covid -19 pandemic, allowed in 2021 to continue to effectively pursuing the strategic priorities of the “Team 23” Strategic Plan communicated in December 2019. However, the profoundly changed economic scenario following the pandemic, the resulting reprioritization of some of the strategic guidelines, as well as the appointment of the new Managerial Team, led during 2021 to the development of a new Strategic Plan “UniCredit Unlocked” (hereinafter, also the “Plan”) for the three-year period 2022-2024. The aim of such Plan is to optimize the Group's current set-up and define a clear long-term program, moving towards a new era of growth and value creation for all stakeholders. In detail, the Plan, presented to the financial community on 9 December 2021, pursues the following strategic objectives: Grow in the reference geographical areas and develop the client franchise, changing the Group’s business model, and operating methods: selective growth, with respect to both existing and new clients; • development of best-in-class products and services: either in house or with external partners; • business growth based on low capital absorption, focusing on value-added products and services for clients; • targeted cost efficiency to fund investments and ensure operating lever. Achieve economies of scale from the Group’s banks network, through a transformation of technology leveraging on Digital & Data and operating with a view towards sustainability: achieve the full integration of the 13 Group’s banks; • empowering the local banks within clear risk and behavior framework, limiting the central steering to those activities where it can actually adds value; • redesign operating model by re-insourcing the strategic competencies; • adopting a new client oriented working model and based on common platforms; • equipping the Group with all necessary tools to support customers and communities in the transition to a more sustainable way of operating, both for the environment and for the society. Drive financial performance via three interconnected levers under full management control: • further reducing the cost base of 2024, excluding the impact of new significant investments expected in Digital & Data and Business and the inflation; • generate organic capital growth thanks to higher profitability and capital low capital absorption model, to optimal capital allocation and active portfolio management driven by RoTE maximization (Return on Tangible Equity); • increase of revenues excluding LLPs to achieve a profitability above the cost of equity, mostly driven by fees and a recovery of market share. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 766 2021 Annual Report and Accounts · UniCredit In short, in 2021: the Chairman Mr. Rigotti attended No.20 meetings of the Internal Controls & Risks Committee, No.19 meetings of the Corporate Governance & Nomination Committee, No.7 meetings of the ESG Committee and No.1 meeting of the Remuneration Committee; the Statutory Auditor Ms. Bientinesi attended No.13 meetings of the Internal Controls & Risks Committee, No.4 meetings of the Related Parties Committee, and No.3 meetings of the ESG Committee; the Statutory Auditor Mr. Bonissoni attended No.6 meetings of the Internal Controls & Risks Committee, No.6 meetings of the Remuneration Committee, and No.4 meetings of the Related Parties Committee; the Statutory Auditor Ms. Navarra attended No.5 meetings of the Internal Controls & Risks Committee, No.5 meetings of the Remuneration Committee, and No.1 meeting of the Related Parties Committee; the Statutory Auditor Mr. Paolucci attended No.2 meetings of the Internal Controls & Risks Committee, No.4 meetings of the Remuneration Committee, No.5 meetings of the Related Parties Committee, and No.4 meetings of the ESG Committee. The members of the Board of Statutory Auditors also participated to the permanent induction program for the members of the Board of Directors, carried out, in some cases, with the support of an external consultant, including, inter alia, recurrent training sessions in order to preserve over time the expertise of technical skills needed to consciously play their role. In 2021, the training initiatives covered issues of strategic importance, as well as topics related to business and ESG strategies, risks, market development and in-depth analyses of legislative and regulatory insights, with the aim of ensuring knowledge and awareness of the risk profile assumed by the Group. 2. Group activities development operations and other corporate transactions As stated in the Consolidated Annual Report, the macroeconomic context in which the Group worked in 2021 was characterized by the encouraging signs of recovery compared with the prior year, supported by government’s measures sustaining the economy, by vaccination campaigns and by the progressive slowing-down of the lockdown measures to contain the Covid-19 pandemic. The adequate operative answer ensured by the Group during 2020 (as already noted by the Board of Statutory Auditors in its Report to the Shareholders’ Meeting of 15 April 2021), to face the crisis emerging from the Covid -19 pandemic, allowed in 2021 to continue to effectively pursuing the strategic priorities of the “Team 23” Strategic Plan communicated in December 2019. However, the profoundly changed economic scenario following the pandemic, the resulting reprioritization of some of the strategic guidelines, as well as the appointment of the new Managerial Team, led during 2021 to the development of a new Strategic Plan “UniCredit Unlocked” (hereinafter, also the “Plan”) for the three-year period 2022-2024. The aim of such Plan is to optimize the Group's current set-up and define a clear long-term program, moving towards a new era of growth and value creation for all stakeholders. In detail, the Plan, presented to the financial community on 9 December 2021, pursues the following strategic objectives: Grow in the reference geographical areas and develop the client franchise, changing the Group’s business model, and operating methods: selective growth, with respect to both existing and new clients; • development of best-in-class products and services: either in house or with external partners; • business growth based on low capital absorption, focusing on value-added products and services for clients; • targeted cost efficiency to fund investments and ensure operating lever. Achieve economies of scale from the Group’s banks network, through a transformation of technology leveraging on Digital & Data and operating with a view towards sustainability: achieve the full integration of the 13 Group’s banks; • empowering the local banks within clear risk and behavior framework, limiting the central steering to those activities where it can actually adds value; • redesign operating model by re-insourcing the strategic competencies; • adopting a new client oriented working model and based on common platforms; • equipping the Group with all necessary tools to support customers and communities in the transition to a more sustainable way of operating, both for the environment and for the society. Drive financial performance via three interconnected levers under full management control: • further reducing the cost base of 2024, excluding the impact of new significant investments expected in Digital & Data and Business and the inflation; • generate organic capital growth thanks to higher profitability and capital low capital absorption model, to optimal capital allocation and active portfolio management driven by RoTE maximization (Return on Tangible Equity); • increase of revenues excluding LLPs to achieve a profitability above the cost of equity, mostly driven by fees and a recovery of market share. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 766 2021 Annual Report and Accounts · UniCredit In short, in 2021: the Chairman Mr. Rigotti attended No.20 meetings of the Internal Controls & Risks Committee, No.19 meetings of the Corporate Governance & Nomination Committee, No.7 meetings of the ESG Committee and No.1 meeting of the Remuneration Committee; the Statutory Auditor Ms. Bientinesi attended No.13 meetings of the Internal Controls & Risks Committee, No.4 meetings of the Related Parties Committee, and No.3 meetings of the ESG Committee; the Statutory Auditor Mr. Bonissoni attended No.6 meetings of the Internal Controls & Risks Committee, No.6 meetings of the Remuneration Committee, and No.4 meetings of the Related Parties Committee; the Statutory Auditor Ms. Navarra attended No.5 meetings of the Internal Controls & Risks Committee, No.5 meetings of the Remuneration Committee, and No.1 meeting of the Related Parties Committee; the Statutory Auditor Mr. Paolucci attended No.2 meetings of the Internal Controls & Risks Committee, No.4 meetings of the Remuneration Committee, No.5 meetings of the Related Parties Committee, and No.4 meetings of the ESG Committee. The members of the Board of Statutory Auditors also participated to the permanent induction program for the members of the Board of Directors, carried out, in some cases, with the support of an external consultant, including, inter alia, recurrent training sessions in order to preserve over time the expertise of technical skills needed to consciously play their role. In 2021, the training initiatives covered issues of strategic importance, as well as topics related to business and ESG strategies, risks, market development and in-depth analyses of legislative and regulatory insights, with the aim of ensuring knowledge and awareness of the risk profile assumed by the Group. 2. Group activities development operations and other corporate transactions As stated in the Consolidated Annual Report, the macroeconomic context in which the Group worked in 2021 was characterized by the encouraging signs of recovery compared with the prior year, supported by government’s measures sustaining the economy, by vaccination campaigns and by the progressive slowing-down of the lockdown measures to contain the Covid-19 pandemic. The adequate operative answer ensured by the Group during 2020 (as already noted by the Board of Statutory Auditors in its Report to the Shareholders’ Meeting of 15 April 2021), to face the crisis emerging from the Covid -19 pandemic, allowed in 2021 to continue to effectively pursuing the strategic priorities of the “Team 23” Strategic Plan communicated in December 2019. However, the profoundly changed economic scenario following the pandemic, the resulting reprioritization of some of the strategic guidelines, as well as the appointment of the new Managerial Team, led during 2021 to the development of a new Strategic Plan “UniCredit Unlocked” (hereinafter, also the “Plan”) for the three-year period 2022-2024. The aim of such Plan is to optimize the Group's current set-up and define a clear long-term program, moving towards a new era of growth and value creation for all stakeholders. In detail, the Plan, presented to the financial community on 9 December 2021, pursues the following strategic objectives: Grow in the reference geographical areas and develop the client franchise, changing the Group’s business model, and operating methods: selective growth, with respect to both existing and new clients; • development of best-in-class products and services: either in house or with external partners; • business growth based on low capital absorption, focusing on value-added products and services for clients; • targeted cost efficiency to fund investments and ensure operating lever. Achieve economies of scale from the Group’s banks network, through a transformation of technology leveraging on Digital & Data and operating with a view towards sustainability: achieve the full integration of the 13 Group’s banks; • empowering the local banks within clear risk and behavior framework, limiting the central steering to those activities where it can actually adds value; • redesign operating model by re-insourcing the strategic competencies; • adopting a new client oriented working model and based on common platforms; • equipping the Group with all necessary tools to support customers and communities in the transition to a more sustainable way of operating, both for the environment and for the society. Drive financial performance via three interconnected levers under full management control: • further reducing the cost base of 2024, excluding the impact of new significant investments expected in Digital & Data and Business and the inflation; • generate organic capital growth thanks to higher profitability and capital low capital absorption model, to optimal capital allocation and active portfolio management driven by RoTE maximization (Return on Tangible Equity); • increase of revenues excluding LLPs to achieve a profitability above the cost of equity, mostly driven by fees and a recovery of market share. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 766 2021 Annual Report and Accounts · UniCredit In short, in 2021: the Chairman Mr. Rigotti attended No.20 meetings of the Internal Controls & Risks Committee, No.19 meetings of the Corporate Governance & Nomination Committee, No.7 meetings of the ESG Committee and No.1 meeting of the Remuneration Committee; the Statutory Auditor Ms. Bientinesi attended No.13 meetings of the Internal Controls & Risks Committee, No.4 meetings of the Related Parties Committee, and No.3 meetings of the ESG Committee; the Statutory Auditor Mr. Bonissoni attended No.6 meetings of the Internal Controls & Risks Committee, No.6 meetings of the Remuneration Committee, and No.4 meetings of the Related Parties Committee; the Statutory Auditor Ms. Navarra attended No.5 meetings of the Internal Controls & Risks Committee, No.5 meetings of the Remuneration Committee, and No.1 meeting of the Related Parties Committee; the Statutory Auditor Mr. Paolucci attended No.2 meetings of the Internal Controls & Risks Committee, No.4 meetings of the Remuneration Committee, No.5 meetings of the Related Parties Committee, and No.4 meetings of the ESG Committee. The members of the Board of Statutory Auditors also participated to the permanent induction program for the members of the Board of Directors, carried out, in some cases, with the support of an external consultant, including, inter alia, recurrent training sessions in order to preserve over time the expertise of technical skills needed to consciously play their role. In 2021, the training initiatives covered issues of strategic importance, as well as topics related to business and ESG strategies, risks, market development and in-depth analyses of legislative and regulatory insights, with the aim of ensuring knowledge and awareness of the risk profile assumed by the Group. 2. Group activities development operations and other corporate transactions As stated in the Consolidated Annual Report, the macroeconomic context in which the Group worked in 2021 was characterized by the encouraging signs of recovery compared with the prior year, supported by government’s measures sustaining the economy, by vaccination campaigns and by the progressive slowing-down of the lockdown measures to contain the Covid-19 pandemic. The adequate operative answer ensured by the Group during 2020 (as already noted by the Board of Statutory Auditors in its Report to the Shareholders’ Meeting of 15 April 2021), to face the crisis emerging from the Covid -19 pandemic, allowed in 2021 to continue to effectively pursuing the strategic priorities of the “Team 23” Strategic Plan communicated in December 2019. However, the profoundly changed economic scenario following the pandemic, the resulting reprioritization of some of the strategic guidelines, as well as the appointment of the new Managerial Team, led during 2021 to the development of a new Strategic Plan “UniCredit Unlocked” (hereinafter, also the “Plan”) for the three-year period 2022-2024. The aim of such Plan is to optimize the Group's current set-up and define a clear long-term program, moving towards a new era of growth and value creation for all stakeholders. In detail, the Plan, presented to the financial community on 9 December 2021, pursues the following strategic objectives: Grow in the reference geographical areas and develop the client franchise, changing the Group’s business model, and operating methods: selective growth, with respect to both existing and new clients; • development of best-in-class products and services: either in house or with external partners; • business growth based on low capital absorption, focusing on value-added products and services for clients; • targeted cost efficiency to fund investments and ensure operating lever. Achieve economies of scale from the Group’s banks network, through a transformation of technology leveraging on Digital & Data and operating with a view towards sustainability: achieve the full integration of the 13 Group’s banks; • empowering the local banks within clear risk and behavior framework, limiting the central steering to those activities where it can actually adds value; • redesign operating model by re-insourcing the strategic competencies; • adopting a new client oriented working model and based on common platforms; • equipping the Group with all necessary tools to support customers and communities in the transition to a more sustainable way of operating, both for the environment and for the society. Drive financial performance via three interconnected levers under full management control: • further reducing the cost base of 2024, excluding the impact of new significant investments expected in Digital & Data and Business and the inflation; • generate organic capital growth thanks to higher profitability and capital low capital absorption model, to optimal capital allocation and active portfolio management driven by RoTE maximization (Return on Tangible Equity); • increase of revenues excluding LLPs to achieve a profitability above the cost of equity, mostly driven by fees and a recovery of market share. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 767 Allow, through the new business model, a strong organic generation of capital with materially increased and progressively growing Shareholders’ distribution, while maintaining or exceeding a CET1 ratio target of 12.5-13%: • it is expected a Shareholder distribution of at least €16 billion total for 2021-2024, with yearly distributions being consistent with the organic capital generation of each relevant financial year (such goal might be influenced by the possible consequences of Russia's recent military invasion of Ukraine, as explained below). In this context, the Board of Statutory Auditors noted from time to time, through the information acquired in its meetings and the related analyses carried out, as well as by attending the meetings of the Board of Directors, the guidelines and assumptions underlying the Plan definition, observing a strong transformative value and potentiality aimed at achieving long-term sustainable growth, by relaunching and strengthening the business, focusing on the digitalization and valorization of the economies of scale which are intrinsic to the Group’s Banks. In light of the above, the Board of Statutory Auditors considers that the implementation modalities and execution of the measures defined with the new Strategic Plan are of key importance to its success, and therefore hopes that the entire Managerial Team will maintain constant focus on it. The minimum capital requirements applicable to the Group as at 31 December 2021 in coherence with CRR article 92 are the following (Pillar 1): • Common Equity Tier 1 Capital: 4,50% • Tier 1 Capital: 6,00% • Total capital: 8,00% In addition to such requirements, for 2021 the Group shall also meet the following additional requirements: 1.75%, required Pillar 2 Capital Requirement (P2R) consistent with SREP results, confirmed following the communication received from the European Central Bank (ECB) in relation to the completion of the 2021 Supervisory Review and Evaluation Process (SREP); 2.50%, as Capital Conservation buffer (CCB), according to CRDIV article 129; 1.00%, as Global Systemically Important Institutions (G-SII) buffer; 0.05%, as Countercyclical Capital buffer (CCyB) according to the CRDIV article 130, to be calculated on a quarterly basis. On 3 February 2022 UniCredit informed that, following the communication received from the European Central Bank (ECB) in relation to the completion of the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit’s Pillar 2 Capital Requirement (P2R) is confirmed at 175bps. Starting from 1 March 2022, UniCredit is required to comply with the following overall capital requirements on a consolidated basis, unchanged from those previously applied, and equal to: • Common Equity Tier 1 Capital: 9.03% • Tier 1 Capital: 10.86% • Total Capital: 13.30% As at 31 December 2021, UniCredit group’s ratios are compliant with all the above requirements. With reference to the results of the 2021 financial year, the Group managed to benefit from the economic and financial context characterized by the first clear signs of post-pandemic recovery, recording a consolidated net profit of €1,540 million (€ 10,366 million for UniCredit S.p.A.) compared to the consolidated loss of -€2,785 million realized in 2020 (-€2,690 for UniCredit S.p.A.). The above-mentioned consolidated net profit is recognized in the Own Funds for €366 million (€9,192 million for UniCredit S.p.A.) resulting after the cash distribution approved by the Board of Directors for €1,170 million through cash dividend, and €4 million for social and charity initiatives. Consistent with the 2022-2024 Plan, which provides for a profit distribution of at least €16 billion over the next four years in a sustainable manner, therefore with annual distribution in line with the organic generation of capital for each respective reporting year, the Shareholders' remuneration proposal for 2021 consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) up to €2,580 million, for a total amount up to €3,750 million. Specifically, in relation to the possible consequences of the large-scale military invasion of Ukraine by Russia which began on 24 February 2022, in a press release dated 8 March 2022, UniCredit provided information on the Group's Russian exposures and the possible impact on the CET1 ratio in the event that the entirety of maximum exposure is non-recoverable and zeroed, explaining how the impact on UniCredit’s 2021 year end CET1 ratio (15.03% including the cash dividend mentioned above, but not the share buy-back component as subject to ECB authorization) would be around 200bps, thus not falling below 13%. The Board of Directors declared its intention to carry out the share buyback up to the amount of €2,580 million to the extent that this is compatible with a pro forma 2021 year- end CET1 remaining above 13.0%, considering the ultimate capital impact from Russian exposures. The Board of Directors also confirmed that the target CET1 capital ratio remains within the range of 12.5-13.0%. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 767 Allow, through the new business model, a strong organic generation of capital with materially increased and progressively growing Shareholders’ distribution, while maintaining or exceeding a CET1 ratio target of 12.5-13%: • it is expected a Shareholder distribution of at least €16 billion total for 2021-2024, with yearly distributions being consistent with the organic capital generation of each relevant financial year (such goal might be influenced by the possible consequences of Russia's recent military invasion of Ukraine, as explained below). In this context, the Board of Statutory Auditors noted from time to time, through the information acquired in its meetings and the related analyses carried out, as well as by attending the meetings of the Board of Directors, the guidelines and assumptions underlying the Plan definition, observing a strong transformative value and potentiality aimed at achieving long-term sustainable growth, by relaunching and strengthening the business, focusing on the digitalization and valorization of the economies of scale which are intrinsic to the Group’s Banks. In light of the above, the Board of Statutory Auditors considers that the implementation modalities and execution of the measures defined with the new Strategic Plan are of key importance to its success, and therefore hopes that the entire Managerial Team will maintain constant focus on it. The minimum capital requirements applicable to the Group as at 31 December 2021 in coherence with CRR article 92 are the following (Pillar 1): • Common Equity Tier 1 Capital: 4,50% • Tier 1 Capital: 6,00% • Total capital: 8,00% In addition to such requirements, for 2021 the Group shall also meet the following additional requirements: 1.75%, required Pillar 2 Capital Requirement (P2R) consistent with SREP results, confirmed following the communication received from the European Central Bank (ECB) in relation to the completion of the 2021 Supervisory Review and Evaluation Process (SREP); 2.50%, as Capital Conservation buffer (CCB), according to CRDIV article 129; 1.00%, as Global Systemically Important Institutions (G-SII) buffer; 0.05%, as Countercyclical Capital buffer (CCyB) according to the CRDIV article 130, to be calculated on a quarterly basis. On 3 February 2022 UniCredit informed that, following the communication received from the European Central Bank (ECB) in relation to the completion of the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit’s Pillar 2 Capital Requirement (P2R) is confirmed at 175bps. Starting from 1 March 2022, UniCredit is required to comply with the following overall capital requirements on a consolidated basis, unchanged from those previously applied, and equal to: • Common Equity Tier 1 Capital: 9.03% • Tier 1 Capital: 10.86% • Total Capital: 13.30% As at 31 December 2021, UniCredit group’s ratios are compliant with all the above requirements. With reference to the results of the 2021 financial year, the Group managed to benefit from the economic and financial context characterized by the first clear signs of post-pandemic recovery, recording a consolidated net profit of €1,540 million (€ 10,366 million for UniCredit S.p.A.) compared to the consolidated loss of -€2,785 million realized in 2020 (-€2,690 for UniCredit S.p.A.). The above-mentioned consolidated net profit is recognized in the Own Funds for €366 million (€9,192 million for UniCredit S.p.A.) resulting after the cash distribution approved by the Board of Directors for €1,170 million through cash dividend, and €4 million for social and charity initiatives. Consistent with the 2022-2024 Plan, which provides for a profit distribution of at least €16 billion over the next four years in a sustainable manner, therefore with annual distribution in line with the organic generation of capital for each respective reporting year, the Shareholders' remuneration proposal for 2021 consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) up to €2,580 million, for a total amount up to €3,750 million. Specifically, in relation to the possible consequences of the large-scale military invasion of Ukraine by Russia which began on 24 February 2022, in a press release dated 8 March 2022, UniCredit provided information on the Group's Russian exposures and the possible impact on the CET1 ratio in the event that the entirety of maximum exposure is non-recoverable and zeroed, explaining how the impact on UniCredit’s 2021 year end CET1 ratio (15.03% including the cash dividend mentioned above, but not the share buy-back component as subject to ECB authorization) would be around 200bps, thus not falling below 13%. The Board of Directors declared its intention to carry out the share buyback up to the amount of €2,580 million to the extent that this is compatible with a pro forma 2021 year- end CET1 remaining above 13.0%, considering the ultimate capital impact from Russian exposures. The Board of Directors also confirmed that the target CET1 capital ratio remains within the range of 12.5-13.0%. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 767 Allow, through the new business model, a strong organic generation of capital with materially increased and progressively growing Shareholders’ distribution, while maintaining or exceeding a CET1 ratio target of 12.5-13%: • it is expected a Shareholder distribution of at least €16 billion total for 2021-2024, with yearly distributions being consistent with the organic capital generation of each relevant financial year (such goal might be influenced by the possible consequences of Russia's recent military invasion of Ukraine, as explained below). In this context, the Board of Statutory Auditors noted from time to time, through the information acquired in its meetings and the related analyses carried out, as well as by attending the meetings of the Board of Directors, the guidelines and assumptions underlying the Plan definition, observing a strong transformative value and potentiality aimed at achieving long-term sustainable growth, by relaunching and strengthening the business, focusing on the digitalization and valorization of the economies of scale which are intrinsic to the Group’s Banks. In light of the above, the Board of Statutory Auditors considers that the implementation modalities and execution of the measures defined with the new Strategic Plan are of key importance to its success, and therefore hopes that the entire Managerial Team will maintain constant focus on it. The minimum capital requirements applicable to the Group as at 31 December 2021 in coherence with CRR article 92 are the following (Pillar 1): • Common Equity Tier 1 Capital: 4,50% • Tier 1 Capital: 6,00% • Total capital: 8,00% In addition to such requirements, for 2021 the Group shall also meet the following additional requirements: 1.75%, required Pillar 2 Capital Requirement (P2R) consistent with SREP results, confirmed following the communication received from the European Central Bank (ECB) in relation to the completion of the 2021 Supervisory Review and Evaluation Process (SREP); 2.50%, as Capital Conservation buffer (CCB), according to CRDIV article 129; 1.00%, as Global Systemically Important Institutions (G-SII) buffer; 0.05%, as Countercyclical Capital buffer (CCyB) according to the CRDIV article 130, to be calculated on a quarterly basis. On 3 February 2022 UniCredit informed that, following the communication received from the European Central Bank (ECB) in relation to the completion of the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit’s Pillar 2 Capital Requirement (P2R) is confirmed at 175bps. Starting from 1 March 2022, UniCredit is required to comply with the following overall capital requirements on a consolidated basis, unchanged from those previously applied, and equal to: • Common Equity Tier 1 Capital: 9.03% • Tier 1 Capital: 10.86% • Total Capital: 13.30% As at 31 December 2021, UniCredit group’s ratios are compliant with all the above requirements. With reference to the results of the 2021 financial year, the Group managed to benefit from the economic and financial context characterized by the first clear signs of post-pandemic recovery, recording a consolidated net profit of €1,540 million (€ 10,366 million for UniCredit S.p.A.) compared to the consolidated loss of -€2,785 million realized in 2020 (-€2,690 for UniCredit S.p.A.). The above-mentioned consolidated net profit is recognized in the Own Funds for €366 million (€9,192 million for UniCredit S.p.A.) resulting after the cash distribution approved by the Board of Directors for €1,170 million through cash dividend, and €4 million for social and charity initiatives. Consistent with the 2022-2024 Plan, which provides for a profit distribution of at least €16 billion over the next four years in a sustainable manner, therefore with annual distribution in line with the organic generation of capital for each respective reporting year, the Shareholders' remuneration proposal for 2021 consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) up to €2,580 million, for a total amount up to €3,750 million. Specifically, in relation to the possible consequences of the large-scale military invasion of Ukraine by Russia which began on 24 February 2022, in a press release dated 8 March 2022, UniCredit provided information on the Group's Russian exposures and the possible impact on the CET1 ratio in the event that the entirety of maximum exposure is non-recoverable and zeroed, explaining how the impact on UniCredit’s 2021 year end CET1 ratio (15.03% including the cash dividend mentioned above, but not the share buy-back component as subject to ECB authorization) would be around 200bps, thus not falling below 13%. The Board of Directors declared its intention to carry out the share buyback up to the amount of €2,580 million to the extent that this is compatible with a pro forma 2021 year- end CET1 remaining above 13.0%, considering the ultimate capital impact from Russian exposures. The Board of Directors also confirmed that the target CET1 capital ratio remains within the range of 12.5-13.0%. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 767 Allow, through the new business model, a strong organic generation of capital with materially increased and progressively growing Shareholders’ distribution, while maintaining or exceeding a CET1 ratio target of 12.5-13%: • it is expected a Shareholder distribution of at least €16 billion total for 2021-2024, with yearly distributions being consistent with the organic capital generation of each relevant financial year (such goal might be influenced by the possible consequences of Russia's recent military invasion of Ukraine, as explained below). In this context, the Board of Statutory Auditors noted from time to time, through the information acquired in its meetings and the related analyses carried out, as well as by attending the meetings of the Board of Directors, the guidelines and assumptions underlying the Plan definition, observing a strong transformative value and potentiality aimed at achieving long-term sustainable growth, by relaunching and strengthening the business, focusing on the digitalization and valorization of the economies of scale which are intrinsic to the Group’s Banks. In light of the above, the Board of Statutory Auditors considers that the implementation modalities and execution of the measures defined with the new Strategic Plan are of key importance to its success, and therefore hopes that the entire Managerial Team will maintain constant focus on it. The minimum capital requirements applicable to the Group as at 31 December 2021 in coherence with CRR article 92 are the following (Pillar 1): • Common Equity Tier 1 Capital: 4,50% • Tier 1 Capital: 6,00% • Total capital: 8,00% In addition to such requirements, for 2021 the Group shall also meet the following additional requirements: 1.75%, required Pillar 2 Capital Requirement (P2R) consistent with SREP results, confirmed following the communication received from the European Central Bank (ECB) in relation to the completion of the 2021 Supervisory Review and Evaluation Process (SREP); 2.50%, as Capital Conservation buffer (CCB), according to CRDIV article 129; 1.00%, as Global Systemically Important Institutions (G-SII) buffer; 0.05%, as Countercyclical Capital buffer (CCyB) according to the CRDIV article 130, to be calculated on a quarterly basis. On 3 February 2022 UniCredit informed that, following the communication received from the European Central Bank (ECB) in relation to the completion of the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit’s Pillar 2 Capital Requirement (P2R) is confirmed at 175bps. Starting from 1 March 2022, UniCredit is required to comply with the following overall capital requirements on a consolidated basis, unchanged from those previously applied, and equal to: • Common Equity Tier 1 Capital: 9.03% • Tier 1 Capital: 10.86% • Total Capital: 13.30% As at 31 December 2021, UniCredit group’s ratios are compliant with all the above requirements. With reference to the results of the 2021 financial year, the Group managed to benefit from the economic and financial context characterized by the first clear signs of post-pandemic recovery, recording a consolidated net profit of €1,540 million (€ 10,366 million for UniCredit S.p.A.) compared to the consolidated loss of -€2,785 million realized in 2020 (-€2,690 for UniCredit S.p.A.). The above-mentioned consolidated net profit is recognized in the Own Funds for €366 million (€9,192 million for UniCredit S.p.A.) resulting after the cash distribution approved by the Board of Directors for €1,170 million through cash dividend, and €4 million for social and charity initiatives. Consistent with the 2022-2024 Plan, which provides for a profit distribution of at least €16 billion over the next four years in a sustainable manner, therefore with annual distribution in line with the organic generation of capital for each respective reporting year, the Shareholders' remuneration proposal for 2021 consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) up to €2,580 million, for a total amount up to €3,750 million. Specifically, in relation to the possible consequences of the large-scale military invasion of Ukraine by Russia which began on 24 February 2022, in a press release dated 8 March 2022, UniCredit provided information on the Group's Russian exposures and the possible impact on the CET1 ratio in the event that the entirety of maximum exposure is non-recoverable and zeroed, explaining how the impact on UniCredit’s 2021 year end CET1 ratio (15.03% including the cash dividend mentioned above, but not the share buy-back component as subject to ECB authorization) would be around 200bps, thus not falling below 13%. The Board of Directors declared its intention to carry out the share buyback up to the amount of €2,580 million to the extent that this is compatible with a pro forma 2021 year- end CET1 remaining above 13.0%, considering the ultimate capital impact from Russian exposures. The Board of Directors also confirmed that the target CET1 capital ratio remains within the range of 12.5-13.0%. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 767 Allow, through the new business model, a strong organic generation of capital with materially increased and progressively growing Shareholders’ distribution, while maintaining or exceeding a CET1 ratio target of 12.5-13%: • it is expected a Shareholder distribution of at least €16 billion total for 2021-2024, with yearly distributions being consistent with the organic capital generation of each relevant financial year (such goal might be influenced by the possible consequences of Russia's recent military invasion of Ukraine, as explained below). In this context, the Board of Statutory Auditors noted from time to time, through the information acquired in its meetings and the related analyses carried out, as well as by attending the meetings of the Board of Directors, the guidelines and assumptions underlying the Plan definition, observing a strong transformative value and potentiality aimed at achieving long-term sustainable growth, by relaunching and strengthening the business, focusing on the digitalization and valorization of the economies of scale which are intrinsic to the Group’s Banks. In light of the above, the Board of Statutory Auditors considers that the implementation modalities and execution of the measures defined with the new Strategic Plan are of key importance to its success, and therefore hopes that the entire Managerial Team will maintain constant focus on it. The minimum capital requirements applicable to the Group as at 31 December 2021 in coherence with CRR article 92 are the following (Pillar 1): • Common Equity Tier 1 Capital: 4,50% • Tier 1 Capital: 6,00% • Total capital: 8,00% In addition to such requirements, for 2021 the Group shall also meet the following additional requirements: 1.75%, required Pillar 2 Capital Requirement (P2R) consistent with SREP results, confirmed following the communication received from the European Central Bank (ECB) in relation to the completion of the 2021 Supervisory Review and Evaluation Process (SREP); 2.50%, as Capital Conservation buffer (CCB), according to CRDIV article 129; 1.00%, as Global Systemically Important Institutions (G-SII) buffer; 0.05%, as Countercyclical Capital buffer (CCyB) according to the CRDIV article 130, to be calculated on a quarterly basis. On 3 February 2022 UniCredit informed that, following the communication received from the European Central Bank (ECB) in relation to the completion of the 2021 Supervisory Review and Evaluation Process (SREP), UniCredit’s Pillar 2 Capital Requirement (P2R) is confirmed at 175bps. Starting from 1 March 2022, UniCredit is required to comply with the following overall capital requirements on a consolidated basis, unchanged from those previously applied, and equal to: • Common Equity Tier 1 Capital: 9.03% • Tier 1 Capital: 10.86% • Total Capital: 13.30% As at 31 December 2021, UniCredit group’s ratios are compliant with all the above requirements. With reference to the results of the 2021 financial year, the Group managed to benefit from the economic and financial context characterized by the first clear signs of post-pandemic recovery, recording a consolidated net profit of €1,540 million (€ 10,366 million for UniCredit S.p.A.) compared to the consolidated loss of -€2,785 million realized in 2020 (-€2,690 for UniCredit S.p.A.). The above-mentioned consolidated net profit is recognized in the Own Funds for €366 million (€9,192 million for UniCredit S.p.A.) resulting after the cash distribution approved by the Board of Directors for €1,170 million through cash dividend, and €4 million for social and charity initiatives. Consistent with the 2022-2024 Plan, which provides for a profit distribution of at least €16 billion over the next four years in a sustainable manner, therefore with annual distribution in line with the organic generation of capital for each respective reporting year, the Shareholders' remuneration proposal for 2021 consists of a cash dividend for €1,170 million, equal to circa 30% of the Underlying Group Net Profit, and of Share Buy Backs (SBB) up to €2,580 million, for a total amount up to €3,750 million. Specifically, in relation to the possible consequences of the large-scale military invasion of Ukraine by Russia which began on 24 February 2022, in a press release dated 8 March 2022, UniCredit provided information on the Group's Russian exposures and the possible impact on the CET1 ratio in the event that the entirety of maximum exposure is non-recoverable and zeroed, explaining how the impact on UniCredit’s 2021 year end CET1 ratio (15.03% including the cash dividend mentioned above, but not the share buy-back component as subject to ECB authorization) would be around 200bps, thus not falling below 13%. The Board of Directors declared its intention to carry out the share buyback up to the amount of €2,580 million to the extent that this is compatible with a pro forma 2021 year- end CET1 remaining above 13.0%, considering the ultimate capital impact from Russian exposures. The Board of Directors also confirmed that the target CET1 capital ratio remains within the range of 12.5-13.0%. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 768 2021 Annual Report and Accounts · UniCredit The Board of Directors' Explanatory Report to the Shareholders’ Meeting called to approve the authorization of the share buyback for the purpose of remunerating Shareholders therefore states that the execution of the share buyback will be subject to maintaining UniCredit's pro-forma 2021 CET1 ratio above 13.0%, specifying that the share buyback program covered by the request for authorization may not be carried out, or may only be partially carried out. Please note that the ECB’s recommendation on dividend distribution (ECB/2020/62, issued on 15 December 2020), referring to the exceptional circumstances in the context of the Covid-19 outbreak, impacted the ordinary distribution on 2020 results. The restrictions remained in place until 30 September 2021, following ECB/2021/31 Recommendation issued on 23 July 2021, and are therefore not applicable to accrued dividends on 2021 results. The Consolidated Report discloses the capital strengthening actions carried out during 2021, through transactions on Additional Tier 1 instruments (so-called “Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes” accounted for in the “Capital Instruments” item of the shareholders' equity). It should be noted that the Group’s net profit was negatively impacted by the accounting of some non-recurring items amounting, net of taxes and minority interest, to a negative amount of - €2,361 million; particularly were recorded: • with negative impact: - €1,644 million related to the sale on the market of 2% of the participation in Yapi ve Kredi Bankasi A.S. (“Yapi”), and to the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi also considering the FX hedging effects on foreign exchange risk; -€554 million related to classification under disposal of the leasing legal entities in Italy, Germany and Slovenia, -€370 million from additional loan loss provisions following the update of the internal calculation models derived from the implementation of the European regulation, -€735 million for severances in Italy, Germany and Austria, -€221 million for other integration costs; • with positive impact, €1,164 million related to the recognition with reference to the Italian fiscal perimeter of new Deferred Tax Assets (DTA) from tax loss carry forward derived from the update of the sustainability test also based on the new Strategic Plan projection. With regard to the transactions and initiatives involving shareholdings, described in the financial statements report, please note the following: Information about Yapi Ve Kredi Bankasi A.S. At the end of October 2021, the UniCredit S.p.A. Board of Directors approved the disposal of up to the entire shareholding in Yapı. UniCredit delivered therefore a right of first offer notice to Koç Holding A.S., pursuant to the share purchase agreement signed in 2019, and the Koç Holding A.S. confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a 18% stake. As a result, UniCredit: (i) has reclassified 20% stake as held for sale (IFRS5); (ii) has disposed 2% stake in Yapı on the market; and (iii) deconsolidated the remaining 18% stake as held for sale subsequently the loss of significant influence. Considering the binding commitment subject only to regulatory approvals in the jurisdictions concerned, the completion of the sale of such remaining stake is expected to occur in the first quarter of 2022. Disposal of SIA UniCredit Leasing On 4 January 2021, UniCredit completed the disposal of SIA UniCredit Leasing and its subsidiary SIA UniCredit Insurance Broker to AS Citadele Banka. The investment was classified among held for sale (IFRS5) as at 31 December 2020. The transaction had a low single digit positive impact on the consolidated CET1 ratio. The intragroup debt exposure has been fully reimbursed at closing. Acquisition of the entire stake in Cordusio SIM On 30 April 2021, following the execution of a call Option on the minority stake held by some private bankers, UniCredit completed the acquisition of the remaining shareholding (2.88%) in Cordusio SIM S.p.A., reaching the 100% ownership. Merger by incorporation of UniCredit Bank Ireland Public Limited Company in UniCredit S.p.A. In order to simplifying the Group’s structure and ensure greater efficiency optimizing the economic, management and financial structure, the cross-border merger for the incorporation of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A., after having received the required authorization by European Central Bank, was carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. In relation to the aforementioned transactions and the other transactions described in the Consolidated Annual Report, including the initiatives of disposal of non-performing loan portfolios, the Board of Statutory Auditors, based on the analyses carried out and the information obtained, including through attendance at the Board of Directors’ meeting and examination of the related documentation, and based on the information available, can reasonably consider the transactions themselves compliant with the law and the Bank's Articles of Association and not manifestly imprudent, risky, contrary to the resolutions of the Shareholders' Meeting, or such as to compromise the integrity of the corporate assets. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 768 2021 Annual Report and Accounts · UniCredit The Board of Directors' Explanatory Report to the Shareholders’ Meeting called to approve the authorization of the share buyback for the purpose of remunerating Shareholders therefore states that the execution of the share buyback will be subject to maintaining UniCredit's pro-forma 2021 CET1 ratio above 13.0%, specifying that the share buyback program covered by the request for authorization may not be carried out, or may only be partially carried out. Please note that the ECB’s recommendation on dividend distribution (ECB/2020/62, issued on 15 December 2020), referring to the exceptional circumstances in the context of the Covid-19 outbreak, impacted the ordinary distribution on 2020 results. The restrictions remained in place until 30 September 2021, following ECB/2021/31 Recommendation issued on 23 July 2021, and are therefore not applicable to accrued dividends on 2021 results. The Consolidated Report discloses the capital strengthening actions carried out during 2021, through transactions on Additional Tier 1 instruments (so-called “Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes” accounted for in the “Capital Instruments” item of the shareholders' equity). It should be noted that the Group’s net profit was negatively impacted by the accounting of some non-recurring items amounting, net of taxes and minority interest, to a negative amount of - €2,361 million; particularly were recorded: • with negative impact: - €1,644 million related to the sale on the market of 2% of the participation in Yapi ve Kredi Bankasi A.S. (“Yapi”), and to the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi also considering the FX hedging effects on foreign exchange risk; -€554 million related to classification under disposal of the leasing legal entities in Italy, Germany and Slovenia, -€370 million from additional loan loss provisions following the update of the internal calculation models derived from the implementation of the European regulation, -€735 million for severances in Italy, Germany and Austria, -€221 million for other integration costs; • with positive impact, €1,164 million related to the recognition with reference to the Italian fiscal perimeter of new Deferred Tax Assets (DTA) from tax loss carry forward derived from the update of the sustainability test also based on the new Strategic Plan projection. With regard to the transactions and initiatives involving shareholdings, described in the financial statements report, please note the following: Information about Yapi Ve Kredi Bankasi A.S. At the end of October 2021, the UniCredit S.p.A. Board of Directors approved the disposal of up to the entire shareholding in Yapı. UniCredit delivered therefore a right of first offer notice to Koç Holding A.S., pursuant to the share purchase agreement signed in 2019, and the Koç Holding A.S. confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a 18% stake. As a result, UniCredit: (i) has reclassified 20% stake as held for sale (IFRS5); (ii) has disposed 2% stake in Yapı on the market; and (iii) deconsolidated the remaining 18% stake as held for sale subsequently the loss of significant influence. Considering the binding commitment subject only to regulatory approvals in the jurisdictions concerned, the completion of the sale of such remaining stake is expected to occur in the first quarter of 2022. Disposal of SIA UniCredit Leasing On 4 January 2021, UniCredit completed the disposal of SIA UniCredit Leasing and its subsidiary SIA UniCredit Insurance Broker to AS Citadele Banka. The investment was classified among held for sale (IFRS5) as at 31 December 2020. The transaction had a low single digit positive impact on the consolidated CET1 ratio. The intragroup debt exposure has been fully reimbursed at closing. Acquisition of the entire stake in Cordusio SIM On 30 April 2021, following the execution of a call Option on the minority stake held by some private bankers, UniCredit completed the acquisition of the remaining shareholding (2.88%) in Cordusio SIM S.p.A., reaching the 100% ownership. Merger by incorporation of UniCredit Bank Ireland Public Limited Company in UniCredit S.p.A. In order to simplifying the Group’s structure and ensure greater efficiency optimizing the economic, management and financial structure, the cross-border merger for the incorporation of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A., after having received the required authorization by European Central Bank, was carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. In relation to the aforementioned transactions and the other transactions described in the Consolidated Annual Report, including the initiatives of disposal of non-performing loan portfolios, the Board of Statutory Auditors, based on the analyses carried out and the information obtained, including through attendance at the Board of Directors’ meeting and examination of the related documentation, and based on the information available, can reasonably consider the transactions themselves compliant with the law and the Bank's Articles of Association and not manifestly imprudent, risky, contrary to the resolutions of the Shareholders' Meeting, or such as to compromise the integrity of the corporate assets. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 768 2021 Annual Report and Accounts · UniCredit The Board of Directors' Explanatory Report to the Shareholders’ Meeting called to approve the authorization of the share buyback for the purpose of remunerating Shareholders therefore states that the execution of the share buyback will be subject to maintaining UniCredit's pro-forma 2021 CET1 ratio above 13.0%, specifying that the share buyback program covered by the request for authorization may not be carried out, or may only be partially carried out. Please note that the ECB’s recommendation on dividend distribution (ECB/2020/62, issued on 15 December 2020), referring to the exceptional circumstances in the context of the Covid-19 outbreak, impacted the ordinary distribution on 2020 results. The restrictions remained in place until 30 September 2021, following ECB/2021/31 Recommendation issued on 23 July 2021, and are therefore not applicable to accrued dividends on 2021 results. The Consolidated Report discloses the capital strengthening actions carried out during 2021, through transactions on Additional Tier 1 instruments (so-called “Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes” accounted for in the “Capital Instruments” item of the shareholders' equity). It should be noted that the Group’s net profit was negatively impacted by the accounting of some non-recurring items amounting, net of taxes and minority interest, to a negative amount of - €2,361 million; particularly were recorded: • with negative impact: - €1,644 million related to the sale on the market of 2% of the participation in Yapi ve Kredi Bankasi A.S. (“Yapi”), and to the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi also considering the FX hedging effects on foreign exchange risk; -€554 million related to classification under disposal of the leasing legal entities in Italy, Germany and Slovenia, -€370 million from additional loan loss provisions following the update of the internal calculation models derived from the implementation of the European regulation, -€735 million for severances in Italy, Germany and Austria, -€221 million for other integration costs; • with positive impact, €1,164 million related to the recognition with reference to the Italian fiscal perimeter of new Deferred Tax Assets (DTA) from tax loss carry forward derived from the update of the sustainability test also based on the new Strategic Plan projection. With regard to the transactions and initiatives involving shareholdings, described in the financial statements report, please note the following: Information about Yapi Ve Kredi Bankasi A.S. At the end of October 2021, the UniCredit S.p.A. Board of Directors approved the disposal of up to the entire shareholding in Yapı. UniCredit delivered therefore a right of first offer notice to Koç Holding A.S., pursuant to the share purchase agreement signed in 2019, and the Koç Holding A.S. confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a 18% stake. As a result, UniCredit: (i) has reclassified 20% stake as held for sale (IFRS5); (ii) has disposed 2% stake in Yapı on the market; and (iii) deconsolidated the remaining 18% stake as held for sale subsequently the loss of significant influence. Considering the binding commitment subject only to regulatory approvals in the jurisdictions concerned, the completion of the sale of such remaining stake is expected to occur in the first quarter of 2022. Disposal of SIA UniCredit Leasing On 4 January 2021, UniCredit completed the disposal of SIA UniCredit Leasing and its subsidiary SIA UniCredit Insurance Broker to AS Citadele Banka. The investment was classified among held for sale (IFRS5) as at 31 December 2020. The transaction had a low single digit positive impact on the consolidated CET1 ratio. The intragroup debt exposure has been fully reimbursed at closing. Acquisition of the entire stake in Cordusio SIM On 30 April 2021, following the execution of a call Option on the minority stake held by some private bankers, UniCredit completed the acquisition of the remaining shareholding (2.88%) in Cordusio SIM S.p.A., reaching the 100% ownership. Merger by incorporation of UniCredit Bank Ireland Public Limited Company in UniCredit S.p.A. In order to simplifying the Group’s structure and ensure greater efficiency optimizing the economic, management and financial structure, the cross-border merger for the incorporation of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A., after having received the required authorization by European Central Bank, was carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. In relation to the aforementioned transactions and the other transactions described in the Consolidated Annual Report, including the initiatives of disposal of non-performing loan portfolios, the Board of Statutory Auditors, based on the analyses carried out and the information obtained, including through attendance at the Board of Directors’ meeting and examination of the related documentation, and based on the information available, can reasonably consider the transactions themselves compliant with the law and the Bank's Articles of Association and not manifestly imprudent, risky, contrary to the resolutions of the Shareholders' Meeting, or such as to compromise the integrity of the corporate assets. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 768 2021 Annual Report and Accounts · UniCredit The Board of Directors' Explanatory Report to the Shareholders’ Meeting called to approve the authorization of the share buyback for the purpose of remunerating Shareholders therefore states that the execution of the share buyback will be subject to maintaining UniCredit's pro-forma 2021 CET1 ratio above 13.0%, specifying that the share buyback program covered by the request for authorization may not be carried out, or may only be partially carried out. Please note that the ECB’s recommendation on dividend distribution (ECB/2020/62, issued on 15 December 2020), referring to the exceptional circumstances in the context of the Covid-19 outbreak, impacted the ordinary distribution on 2020 results. The restrictions remained in place until 30 September 2021, following ECB/2021/31 Recommendation issued on 23 July 2021, and are therefore not applicable to accrued dividends on 2021 results. The Consolidated Report discloses the capital strengthening actions carried out during 2021, through transactions on Additional Tier 1 instruments (so-called “Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes” accounted for in the “Capital Instruments” item of the shareholders' equity). It should be noted that the Group’s net profit was negatively impacted by the accounting of some non-recurring items amounting, net of taxes and minority interest, to a negative amount of - €2,361 million; particularly were recorded: • with negative impact: - €1,644 million related to the sale on the market of 2% of the participation in Yapi ve Kredi Bankasi A.S. (“Yapi”), and to the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi also considering the FX hedging effects on foreign exchange risk; -€554 million related to classification under disposal of the leasing legal entities in Italy, Germany and Slovenia, -€370 million from additional loan loss provisions following the update of the internal calculation models derived from the implementation of the European regulation, -€735 million for severances in Italy, Germany and Austria, -€221 million for other integration costs; • with positive impact, €1,164 million related to the recognition with reference to the Italian fiscal perimeter of new Deferred Tax Assets (DTA) from tax loss carry forward derived from the update of the sustainability test also based on the new Strategic Plan projection. With regard to the transactions and initiatives involving shareholdings, described in the financial statements report, please note the following: Information about Yapi Ve Kredi Bankasi A.S. At the end of October 2021, the UniCredit S.p.A. Board of Directors approved the disposal of up to the entire shareholding in Yapı. UniCredit delivered therefore a right of first offer notice to Koç Holding A.S., pursuant to the share purchase agreement signed in 2019, and the Koç Holding A.S. confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a 18% stake. As a result, UniCredit: (i) has reclassified 20% stake as held for sale (IFRS5); (ii) has disposed 2% stake in Yapı on the market; and (iii) deconsolidated the remaining 18% stake as held for sale subsequently the loss of significant influence. Considering the binding commitment subject only to regulatory approvals in the jurisdictions concerned, the completion of the sale of such remaining stake is expected to occur in the first quarter of 2022. Disposal of SIA UniCredit Leasing On 4 January 2021, UniCredit completed the disposal of SIA UniCredit Leasing and its subsidiary SIA UniCredit Insurance Broker to AS Citadele Banka. The investment was classified among held for sale (IFRS5) as at 31 December 2020. The transaction had a low single digit positive impact on the consolidated CET1 ratio. The intragroup debt exposure has been fully reimbursed at closing. Acquisition of the entire stake in Cordusio SIM On 30 April 2021, following the execution of a call Option on the minority stake held by some private bankers, UniCredit completed the acquisition of the remaining shareholding (2.88%) in Cordusio SIM S.p.A., reaching the 100% ownership. Merger by incorporation of UniCredit Bank Ireland Public Limited Company in UniCredit S.p.A. In order to simplifying the Group’s structure and ensure greater efficiency optimizing the economic, management and financial structure, the cross-border merger for the incorporation of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A., after having received the required authorization by European Central Bank, was carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. In relation to the aforementioned transactions and the other transactions described in the Consolidated Annual Report, including the initiatives of disposal of non-performing loan portfolios, the Board of Statutory Auditors, based on the analyses carried out and the information obtained, including through attendance at the Board of Directors’ meeting and examination of the related documentation, and based on the information available, can reasonably consider the transactions themselves compliant with the law and the Bank's Articles of Association and not manifestly imprudent, risky, contrary to the resolutions of the Shareholders' Meeting, or such as to compromise the integrity of the corporate assets. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 768 2021 Annual Report and Accounts · UniCredit The Board of Directors' Explanatory Report to the Shareholders’ Meeting called to approve the authorization of the share buyback for the purpose of remunerating Shareholders therefore states that the execution of the share buyback will be subject to maintaining UniCredit's pro-forma 2021 CET1 ratio above 13.0%, specifying that the share buyback program covered by the request for authorization may not be carried out, or may only be partially carried out. Please note that the ECB’s recommendation on dividend distribution (ECB/2020/62, issued on 15 December 2020), referring to the exceptional circumstances in the context of the Covid-19 outbreak, impacted the ordinary distribution on 2020 results. The restrictions remained in place until 30 September 2021, following ECB/2021/31 Recommendation issued on 23 July 2021, and are therefore not applicable to accrued dividends on 2021 results. The Consolidated Report discloses the capital strengthening actions carried out during 2021, through transactions on Additional Tier 1 instruments (so-called “Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate Resettable Notes” accounted for in the “Capital Instruments” item of the shareholders' equity). It should be noted that the Group’s net profit was negatively impacted by the accounting of some non-recurring items amounting, net of taxes and minority interest, to a negative amount of - €2,361 million; particularly were recorded: • with negative impact: - €1,644 million related to the sale on the market of 2% of the participation in Yapi ve Kredi Bankasi A.S. (“Yapi”), and to the deconsolidation of the remaining quota of 18%, as a consequence of the loss of significant influence resulting from the withdrawal of the 2 UniCredit representatives from the Board of Directors of Yapi also considering the FX hedging effects on foreign exchange risk; -€554 million related to classification under disposal of the leasing legal entities in Italy, Germany and Slovenia, -€370 million from additional loan loss provisions following the update of the internal calculation models derived from the implementation of the European regulation, -€735 million for severances in Italy, Germany and Austria, -€221 million for other integration costs; • with positive impact, €1,164 million related to the recognition with reference to the Italian fiscal perimeter of new Deferred Tax Assets (DTA) from tax loss carry forward derived from the update of the sustainability test also based on the new Strategic Plan projection. With regard to the transactions and initiatives involving shareholdings, described in the financial statements report, please note the following: Information about Yapi Ve Kredi Bankasi A.S. At the end of October 2021, the UniCredit S.p.A. Board of Directors approved the disposal of up to the entire shareholding in Yapı. UniCredit delivered therefore a right of first offer notice to Koç Holding A.S., pursuant to the share purchase agreement signed in 2019, and the Koç Holding A.S. confirmed to UniCredit the irrevocable decision to exercise the right of first offer for a 18% stake. As a result, UniCredit: (i) has reclassified 20% stake as held for sale (IFRS5); (ii) has disposed 2% stake in Yapı on the market; and (iii) deconsolidated the remaining 18% stake as held for sale subsequently the loss of significant influence. Considering the binding commitment subject only to regulatory approvals in the jurisdictions concerned, the completion of the sale of such remaining stake is expected to occur in the first quarter of 2022. Disposal of SIA UniCredit Leasing On 4 January 2021, UniCredit completed the disposal of SIA UniCredit Leasing and its subsidiary SIA UniCredit Insurance Broker to AS Citadele Banka. The investment was classified among held for sale (IFRS5) as at 31 December 2020. The transaction had a low single digit positive impact on the consolidated CET1 ratio. The intragroup debt exposure has been fully reimbursed at closing. Acquisition of the entire stake in Cordusio SIM On 30 April 2021, following the execution of a call Option on the minority stake held by some private bankers, UniCredit completed the acquisition of the remaining shareholding (2.88%) in Cordusio SIM S.p.A., reaching the 100% ownership. Merger by incorporation of UniCredit Bank Ireland Public Limited Company in UniCredit S.p.A. In order to simplifying the Group’s structure and ensure greater efficiency optimizing the economic, management and financial structure, the cross-border merger for the incorporation of UniCredit Bank Ireland Public Limited Company into UniCredit S.p.A., after having received the required authorization by European Central Bank, was carried out on 1 November 2021 with retroactive accounting effect to 1 January 2021. In relation to the aforementioned transactions and the other transactions described in the Consolidated Annual Report, including the initiatives of disposal of non-performing loan portfolios, the Board of Statutory Auditors, based on the analyses carried out and the information obtained, including through attendance at the Board of Directors’ meeting and examination of the related documentation, and based on the information available, can reasonably consider the transactions themselves compliant with the law and the Bank's Articles of Association and not manifestly imprudent, risky, contrary to the resolutions of the Shareholders' Meeting, or such as to compromise the integrity of the corporate assets. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 769 3. Atypical or unusual transactions The financial statements report, the information received during the meetings of the Board of Directors and the information provided by the Chairman, the CEO, the Management, the Head of Internal Audit, the direct subsidiaries’ Boards of Statutory Auditors, and the External Auditor revealed no atypical or unusual transactions, carried out with third parties, related parties or intragroup. 4. Related-party transactions Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” At its meeting held on 8 June 2021, the Board of Directors - subject to the binding opinion of the Related Parties Committee and the Board of Statutory Auditors - approved the updated version of the internal regulations (“Global Policy”) on the management of transactions with parties in conflict of interest called “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA”. The yearly update of the Policy was necessary in order to consider the experience and application practices gained over time, as well as the changes made in the sector regulations, with specific reference to the update approved by CONSOB (Resolution No.21624 dated 10 December 2020) on CONSOB Regulation 17221/2010 implementing the so-called “Shareholders' Rights I” Directive, effective from 1 July 2021. The indications and recommendations emerging from the results of the assessment activity carried out by Internal Audit on the management process of transactions with related parties and formalized in the Audit Report “Global View - Related Parties management process” of 30 June 2020 were also noted. The financial statements report contains information relating to related-party transactions, together with the related certifications (pursuant to paragraph 8 of article 5 of the Consob Regulation containing the provisions on related-party transactions adopted by resolution No.17221/2010 and subsequent amendments ruling “Public information on related-party transactions”). In particular, by stating that: • according to the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” adopted by the Board of Directors of UniCredit S.p.A. on 8 June 2021 and published on the website www.unicreditgroup.eu, during 2021, the Bank’s Presidio Unico received no reports of transactions of greater importance ended in the period; • during 2021, no transactions with related parties as defined by article 2427, paragraph 22-bis of the Civil Code were conducted, under different conditions from normal market conditions and materially affecting the Group’s financial and economic situation; • during 2021, there were no changes or developments in the individual transactions with related parties already described in the previous annual report that had a material effect on the Group’s financial position or results during the reference period. 5. Oversight of the external audit activity Directive 2014/56/EU Art.28 amended Directive 2006/43/EC concerning external audit and was transposed in Italy with Legislative Decree No.135/2016, which updated Italian Legislative Decree No.39/2010. Regulation (EU) 537/2014 of 16 April 2014, Art.10 (hereafter also the “Regulation”) defines the specific requirements of the audit report for public interest entities. The financial statements of UniCredit S.p.A. of the Company and the consolidated financial statements as at 31 December 2021, are audited by the External Auditors Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010, and in execution of the Shareholders’ resolution of 11 May 2012. The financial statements of the other Group companies are audited by Deloitte & Touche S.p.A. itself, or by other companies in the Deloitte & Touche Network. Pursuant to Art.19 of Italian Legislative Decree No.135/2016, during 2021 and up to the date of this Report to the Shareholders, the Board of Statutory Auditors carried out an in-depth monitoring process during all the activity carried out by the External Auditors. Specifically, the BoSA scheduled a series of specific meetings during the various audit phases, during which it examined, inter alia: • the 2021 Transparency Report (independent auditing policies and procedures and internal quality control system (practice review); • the resources and hours budgeted for the 2021 external audit; • the scope of work, materiality and significant risks 2021; • the 2021 Audit Plan; • the 2021 Group Audit timetable. The Board of Statutory Auditors also analysed the methodology adopted by the External Auditors and acquired the necessary information during the task, with constant interaction on the audit approach used for the various significant areas of the financial statements, sharing the issues related to corporate risks, as well as receiving updates on the progress of the audit and on the main aspects examined by the External Auditor. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 769 3. Atypical or unusual transactions The financial statements report, the information received during the meetings of the Board of Directors and the information provided by the Chairman, the CEO, the Management, the Head of Internal Audit, the direct subsidiaries’ Boards of Statutory Auditors, and the External Auditor revealed no atypical or unusual transactions, carried out with third parties, related parties or intragroup. 4. Related-party transactions Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” At its meeting held on 8 June 2021, the Board of Directors - subject to the binding opinion of the Related Parties Committee and the Board of Statutory Auditors - approved the updated version of the internal regulations (“Global Policy”) on the management of transactions with parties in conflict of interest called “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA”. The yearly update of the Policy was necessary in order to consider the experience and application practices gained over time, as well as the changes made in the sector regulations, with specific reference to the update approved by CONSOB (Resolution No.21624 dated 10 December 2020) on CONSOB Regulation 17221/2010 implementing the so-called “Shareholders' Rights I” Directive, effective from 1 July 2021. The indications and recommendations emerging from the results of the assessment activity carried out by Internal Audit on the management process of transactions with related parties and formalized in the Audit Report “Global View - Related Parties management process” of 30 June 2020 were also noted. The financial statements report contains information relating to related-party transactions, together with the related certifications (pursuant to paragraph 8 of article 5 of the Consob Regulation containing the provisions on related-party transactions adopted by resolution No.17221/2010 and subsequent amendments ruling “Public information on related-party transactions”). In particular, by stating that: • according to the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” adopted by the Board of Directors of UniCredit S.p.A. on 8 June 2021 and published on the website www.unicreditgroup.eu, during 2021, the Bank’s Presidio Unico received no reports of transactions of greater importance ended in the period; • during 2021, no transactions with related parties as defined by article 2427, paragraph 22-bis of the Civil Code were conducted, under different conditions from normal market conditions and materially affecting the Group’s financial and economic situation; • during 2021, there were no changes or developments in the individual transactions with related parties already described in the previous annual report that had a material effect on the Group’s financial position or results during the reference period. 5. Oversight of the external audit activity Directive 2014/56/EU Art.28 amended Directive 2006/43/EC concerning external audit and was transposed in Italy with Legislative Decree No.135/2016, which updated Italian Legislative Decree No.39/2010. Regulation (EU) 537/2014 of 16 April 2014, Art.10 (hereafter also the “Regulation”) defines the specific requirements of the audit report for public interest entities. The financial statements of UniCredit S.p.A. of the Company and the consolidated financial statements as at 31 December 2021, are audited by the External Auditors Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010, and in execution of the Shareholders’ resolution of 11 May 2012. The financial statements of the other Group companies are audited by Deloitte & Touche S.p.A. itself, or by other companies in the Deloitte & Touche Network. Pursuant to Art.19 of Italian Legislative Decree No.135/2016, during 2021 and up to the date of this Report to the Shareholders, the Board of Statutory Auditors carried out an in-depth monitoring process during all the activity carried out by the External Auditors. Specifically, the BoSA scheduled a series of specific meetings during the various audit phases, during which it examined, inter alia: • the 2021 Transparency Report (independent auditing policies and procedures and internal quality control system (practice review); • the resources and hours budgeted for the 2021 external audit; • the scope of work, materiality and significant risks 2021; • the 2021 Audit Plan; • the 2021 Group Audit timetable. The Board of Statutory Auditors also analysed the methodology adopted by the External Auditors and acquired the necessary information during the task, with constant interaction on the audit approach used for the various significant areas of the financial statements, sharing the issues related to corporate risks, as well as receiving updates on the progress of the audit and on the main aspects examined by the External Auditor. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 769 3. Atypical or unusual transactions The financial statements report, the information received during the meetings of the Board of Directors and the information provided by the Chairman, the CEO, the Management, the Head of Internal Audit, the direct subsidiaries’ Boards of Statutory Auditors, and the External Auditor revealed no atypical or unusual transactions, carried out with third parties, related parties or intragroup. 4. Related-party transactions Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” At its meeting held on 8 June 2021, the Board of Directors - subject to the binding opinion of the Related Parties Committee and the Board of Statutory Auditors - approved the updated version of the internal regulations (“Global Policy”) on the management of transactions with parties in conflict of interest called “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA”. The yearly update of the Policy was necessary in order to consider the experience and application practices gained over time, as well as the changes made in the sector regulations, with specific reference to the update approved by CONSOB (Resolution No.21624 dated 10 December 2020) on CONSOB Regulation 17221/2010 implementing the so-called “Shareholders' Rights I” Directive, effective from 1 July 2021. The indications and recommendations emerging from the results of the assessment activity carried out by Internal Audit on the management process of transactions with related parties and formalized in the Audit Report “Global View - Related Parties management process” of 30 June 2020 were also noted. The financial statements report contains information relating to related-party transactions, together with the related certifications (pursuant to paragraph 8 of article 5 of the Consob Regulation containing the provisions on related-party transactions adopted by resolution No.17221/2010 and subsequent amendments ruling “Public information on related-party transactions”). In particular, by stating that: • according to the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” adopted by the Board of Directors of UniCredit S.p.A. on 8 June 2021 and published on the website www.unicreditgroup.eu, during 2021, the Bank’s Presidio Unico received no reports of transactions of greater importance ended in the period; • during 2021, no transactions with related parties as defined by article 2427, paragraph 22-bis of the Civil Code were conducted, under different conditions from normal market conditions and materially affecting the Group’s financial and economic situation; • during 2021, there were no changes or developments in the individual transactions with related parties already described in the previous annual report that had a material effect on the Group’s financial position or results during the reference period. 5. Oversight of the external audit activity Directive 2014/56/EU Art.28 amended Directive 2006/43/EC concerning external audit and was transposed in Italy with Legislative Decree No.135/2016, which updated Italian Legislative Decree No.39/2010. Regulation (EU) 537/2014 of 16 April 2014, Art.10 (hereafter also the “Regulation”) defines the specific requirements of the audit report for public interest entities. The financial statements of UniCredit S.p.A. of the Company and the consolidated financial statements as at 31 December 2021, are audited by the External Auditors Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010, and in execution of the Shareholders’ resolution of 11 May 2012. The financial statements of the other Group companies are audited by Deloitte & Touche S.p.A. itself, or by other companies in the Deloitte & Touche Network. Pursuant to Art.19 of Italian Legislative Decree No.135/2016, during 2021 and up to the date of this Report to the Shareholders, the Board of Statutory Auditors carried out an in-depth monitoring process during all the activity carried out by the External Auditors. Specifically, the BoSA scheduled a series of specific meetings during the various audit phases, during which it examined, inter alia: • the 2021 Transparency Report (independent auditing policies and procedures and internal quality control system (practice review); • the resources and hours budgeted for the 2021 external audit; • the scope of work, materiality and significant risks 2021; • the 2021 Audit Plan; • the 2021 Group Audit timetable. The Board of Statutory Auditors also analysed the methodology adopted by the External Auditors and acquired the necessary information during the task, with constant interaction on the audit approach used for the various significant areas of the financial statements, sharing the issues related to corporate risks, as well as receiving updates on the progress of the audit and on the main aspects examined by the External Auditor. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 769 3. Atypical or unusual transactions The financial statements report, the information received during the meetings of the Board of Directors and the information provided by the Chairman, the CEO, the Management, the Head of Internal Audit, the direct subsidiaries’ Boards of Statutory Auditors, and the External Auditor revealed no atypical or unusual transactions, carried out with third parties, related parties or intragroup. 4. Related-party transactions Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” At its meeting held on 8 June 2021, the Board of Directors - subject to the binding opinion of the Related Parties Committee and the Board of Statutory Auditors - approved the updated version of the internal regulations (“Global Policy”) on the management of transactions with parties in conflict of interest called “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA”. The yearly update of the Policy was necessary in order to consider the experience and application practices gained over time, as well as the changes made in the sector regulations, with specific reference to the update approved by CONSOB (Resolution No.21624 dated 10 December 2020) on CONSOB Regulation 17221/2010 implementing the so-called “Shareholders' Rights I” Directive, effective from 1 July 2021. The indications and recommendations emerging from the results of the assessment activity carried out by Internal Audit on the management process of transactions with related parties and formalized in the Audit Report “Global View - Related Parties management process” of 30 June 2020 were also noted. The financial statements report contains information relating to related-party transactions, together with the related certifications (pursuant to paragraph 8 of article 5 of the Consob Regulation containing the provisions on related-party transactions adopted by resolution No.17221/2010 and subsequent amendments ruling “Public information on related-party transactions”). In particular, by stating that: • according to the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” adopted by the Board of Directors of UniCredit S.p.A. on 8 June 2021 and published on the website www.unicreditgroup.eu, during 2021, the Bank’s Presidio Unico received no reports of transactions of greater importance ended in the period; • during 2021, no transactions with related parties as defined by article 2427, paragraph 22-bis of the Civil Code were conducted, under different conditions from normal market conditions and materially affecting the Group’s financial and economic situation; • during 2021, there were no changes or developments in the individual transactions with related parties already described in the previous annual report that had a material effect on the Group’s financial position or results during the reference period. 5. Oversight of the external audit activity Directive 2014/56/EU Art.28 amended Directive 2006/43/EC concerning external audit and was transposed in Italy with Legislative Decree No.135/2016, which updated Italian Legislative Decree No.39/2010. Regulation (EU) 537/2014 of 16 April 2014, Art.10 (hereafter also the “Regulation”) defines the specific requirements of the audit report for public interest entities. The financial statements of UniCredit S.p.A. of the Company and the consolidated financial statements as at 31 December 2021, are audited by the External Auditors Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010, and in execution of the Shareholders’ resolution of 11 May 2012. The financial statements of the other Group companies are audited by Deloitte & Touche S.p.A. itself, or by other companies in the Deloitte & Touche Network. Pursuant to Art.19 of Italian Legislative Decree No.135/2016, during 2021 and up to the date of this Report to the Shareholders, the Board of Statutory Auditors carried out an in-depth monitoring process during all the activity carried out by the External Auditors. Specifically, the BoSA scheduled a series of specific meetings during the various audit phases, during which it examined, inter alia: • the 2021 Transparency Report (independent auditing policies and procedures and internal quality control system (practice review); • the resources and hours budgeted for the 2021 external audit; • the scope of work, materiality and significant risks 2021; • the 2021 Audit Plan; • the 2021 Group Audit timetable. The Board of Statutory Auditors also analysed the methodology adopted by the External Auditors and acquired the necessary information during the task, with constant interaction on the audit approach used for the various significant areas of the financial statements, sharing the issues related to corporate risks, as well as receiving updates on the progress of the audit and on the main aspects examined by the External Auditor. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 769 3. Atypical or unusual transactions The financial statements report, the information received during the meetings of the Board of Directors and the information provided by the Chairman, the CEO, the Management, the Head of Internal Audit, the direct subsidiaries’ Boards of Statutory Auditors, and the External Auditor revealed no atypical or unusual transactions, carried out with third parties, related parties or intragroup. 4. Related-party transactions Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” At its meeting held on 8 June 2021, the Board of Directors - subject to the binding opinion of the Related Parties Committee and the Board of Statutory Auditors - approved the updated version of the internal regulations (“Global Policy”) on the management of transactions with parties in conflict of interest called “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA”. The yearly update of the Policy was necessary in order to consider the experience and application practices gained over time, as well as the changes made in the sector regulations, with specific reference to the update approved by CONSOB (Resolution No.21624 dated 10 December 2020) on CONSOB Regulation 17221/2010 implementing the so-called “Shareholders' Rights I” Directive, effective from 1 July 2021. The indications and recommendations emerging from the results of the assessment activity carried out by Internal Audit on the management process of transactions with related parties and formalized in the Audit Report “Global View - Related Parties management process” of 30 June 2020 were also noted. The financial statements report contains information relating to related-party transactions, together with the related certifications (pursuant to paragraph 8 of article 5 of the Consob Regulation containing the provisions on related-party transactions adopted by resolution No.17221/2010 and subsequent amendments ruling “Public information on related-party transactions”). In particular, by stating that: • according to the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” adopted by the Board of Directors of UniCredit S.p.A. on 8 June 2021 and published on the website www.unicreditgroup.eu, during 2021, the Bank’s Presidio Unico received no reports of transactions of greater importance ended in the period; • during 2021, no transactions with related parties as defined by article 2427, paragraph 22-bis of the Civil Code were conducted, under different conditions from normal market conditions and materially affecting the Group’s financial and economic situation; • during 2021, there were no changes or developments in the individual transactions with related parties already described in the previous annual report that had a material effect on the Group’s financial position or results during the reference period. 5. Oversight of the external audit activity Directive 2014/56/EU Art.28 amended Directive 2006/43/EC concerning external audit and was transposed in Italy with Legislative Decree No.135/2016, which updated Italian Legislative Decree No.39/2010. Regulation (EU) 537/2014 of 16 April 2014, Art.10 (hereafter also the “Regulation”) defines the specific requirements of the audit report for public interest entities. The financial statements of UniCredit S.p.A. of the Company and the consolidated financial statements as at 31 December 2021, are audited by the External Auditors Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010, and in execution of the Shareholders’ resolution of 11 May 2012. The financial statements of the other Group companies are audited by Deloitte & Touche S.p.A. itself, or by other companies in the Deloitte & Touche Network. Pursuant to Art.19 of Italian Legislative Decree No.135/2016, during 2021 and up to the date of this Report to the Shareholders, the Board of Statutory Auditors carried out an in-depth monitoring process during all the activity carried out by the External Auditors. Specifically, the BoSA scheduled a series of specific meetings during the various audit phases, during which it examined, inter alia: • the 2021 Transparency Report (independent auditing policies and procedures and internal quality control system (practice review); • the resources and hours budgeted for the 2021 external audit; • the scope of work, materiality and significant risks 2021; • the 2021 Audit Plan; • the 2021 Group Audit timetable. The Board of Statutory Auditors also analysed the methodology adopted by the External Auditors and acquired the necessary information during the task, with constant interaction on the audit approach used for the various significant areas of the financial statements, sharing the issues related to corporate risks, as well as receiving updates on the progress of the audit and on the main aspects examined by the External Auditor. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 770 2021 Annual Report and Accounts · UniCredit In November 2021, the Board of Statutory Auditors met in two separate sessions with the Partners of the Deloitte network in charge of the audits of UniCredit Bank AG (Germany), UniCredit Bank Austria AG, AO UniCredit Bank (Russia) and of the Banks belonging to to the CE&E Division (Central Europe & Eastern Europe, i.e. the banks based in Croatia, Czech Republic Slovakia, Bulgaria, Romania, Serbia, B&H Republic of Srpska, Hungary, Slovenia, B&H - Federation of BIH), as well as of the Italian subsidiaries Cordusio SIM S.p.A., Cordusio Fiduciaria S.p.A., UniCredit Factoring S.p.A., UniCredit Leasing S.p.A., UniCredit Services S.C.p.A., for the usual annual update on the scenario developments in the various countries and on the main results of the respective audit activities. The Board of Statutory Auditors examined the following reports of the External Auditor Deloitte & Touche S.p.A., whose activity supplements the general framework of the control Functions required by the regulations regarding financial information process: • the auditing reports issued on 11 March 2022, pursuant to Art. 14 of Italian Legislative Decree 39/2010 and Art. 10 of Regulation (EU) No.537/2014; • the supplemental report issued on 11 March 2022, pursuant to article 11 of the aforementioned Regulation, to the Board of Statutory Auditors in its capacity as Internal Control and Auditing Committee; • the annual confirmation of independence, issued on 11March 2022, pursuant to Art.6, par.2), subpar. a) of the Regulation and pursuant to paragraph 17 of ISA Italia 260. The aforementioned reports on the audit of the Company financial statements of UniCredit S.p.A. and the consolidated financial statements of the Group highlight that they both provide a truthful and correct representation of the equity and financial situation of UniCredit S.p.A. and of the UniCredit group at 31 December 2021, of the economic performance and cash flow for the year ended on that date, in accordance with the International Financial Reporting Standards adopted by the European Union as well as the provisions issued in implementation of Art.9 of Italian Legislative Decree No.38/2005 and of article 43 of Italian Legislative Decree No.136/2015. Furthermore, in the opinion of the External Auditor, the Management Report and some specific information contained in the Report on Corporate Governance and Ownership Structure indicated in article 123-bis, paragraph 4, of Italian Legislative Decree No.58/1998 (Consolidated Law on Finance TUF) are consistent with the financial statements of UniCredit S.p.A. and with the consolidated financial statements of the UniCredit group at 31 December 2021, and are prepared pursuant to the law. With reference to the possible identification of significant errors in the Management Report (article 14, paragraph 2, subparagraph E) of Italian Legislative Decree No.39/2010), the External Auditor declared that there was nothing to report. The reports on the auditing of the financial statements of UniCredit S.p.A. and the consolidated financial statements show the key matters that, according to the professional opinion of the External Auditor, were more significant in the accounting audit of the Company and consolidated financial statements for the year under review [ISA Italy 701]: • Financial statements of UniCredit S.p.A. • Recognition of Deferred Tax Assets on tax losses carry forward; • Classification and valuation of the equity investment in UniCredit Leasing S.p.A.; • Impairment test of the equity investments in subsidiaries; • Risk of uncorrected classification and valuation of performing customer loans; • Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” and “unlikely to pay”). Consolidated financial statements of UniCredit Group • Recognition of Deferred Tax Assets on tax losses carry forward related to the Italian tax perimeter; • Classification and valuation of the net assets related to leasing companies in Italy, Germany and Slovenia; • Risk of uncorrected classification and valuation of performing customer loans; • Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” and “unlikely to pay”). As regards the aforementioned key matters, for which the External Auditor’s reports illustrate the related audit procedures adopted, the External Auditor does not express a separate opinion, as the same have been dealt within the audit, and in the assessment of the financial statements as a whole. The aforementioned key matters have been the subject of detailed analysis and updating during the periodic meetings that the Board of Statutory Auditors held with the External Auditor. The aforementioned reports also contain the Auditor’s assessment of compliance with the provisions of the Delegated Regulation 2019/815 (EU) regarding the preparation of the financial statements and consolidated financial statements. The Board of Statutory Auditors met regularly with the External Auditor, as required by article 150, paragraph 3, of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF) for a mutual exchange of information. It informed the Board of Statutory Auditors that there were no censurable actions or facts or irregularities which would have required specific reporting under article 155, paragraph 2, of Italian Legislative Decree 58/1998 (TUF). Considering the foregoing, the Board of Statutory Auditors deems the process of interaction with the External Auditor to be adequate and transparent. It also believes that the consolidated “two-way dialogue” between the External Auditor and the Bodies responsible for governance on Company financial statements | Report and resolutions Report of the Board of Statutory auditors 770 2021 Annual Report and Accounts · UniCredit In November 2021, the Board of Statutory Auditors met in two separate sessions with the Partners of the Deloitte network in charge of the audits of UniCredit Bank AG (Germany), UniCredit Bank Austria AG, AO UniCredit Bank (Russia) and of the Banks belonging to to the CE&E Division (Central Europe & Eastern Europe, i.e. the banks based in Croatia, Czech Republic Slovakia, Bulgaria, Romania, Serbia, B&H Republic of Srpska, Hungary, Slovenia, B&H - Federation of BIH), as well as of the Italian subsidiaries Cordusio SIM S.p.A., Cordusio Fiduciaria S.p.A., UniCredit Factoring S.p.A., UniCredit Leasing S.p.A., UniCredit Services S.C.p.A., for the usual annual update on the scenario developments in the various countries and on the main results of the respective audit activities. The Board of Statutory Auditors examined the following reports of the External Auditor Deloitte & Touche S.p.A., whose activity supplements the general framework of the control Functions required by the regulations regarding financial information process: • the auditing reports issued on 11 March 2022, pursuant to Art. 14 of Italian Legislative Decree 39/2010 and Art. 10 of Regulation (EU) No.537/2014; • the supplemental report issued on 11 March 2022, pursuant to article 11 of the aforementioned Regulation, to the Board of Statutory Auditors in its capacity as Internal Control and Auditing Committee; • the annual confirmation of independence, issued on 11March 2022, pursuant to Art.6, par.2), subpar. a) of the Regulation and pursuant to paragraph 17 of ISA Italia 260. The aforementioned reports on the audit of the Company financial statements of UniCredit S.p.A. and the consolidated financial statements of the Group highlight that they both provide a truthful and correct representation of the equity and financial situation of UniCredit S.p.A. and of the UniCredit group at 31 December 2021, of the economic performance and cash flow for the year ended on that date, in accordance with the International Financial Reporting Standards adopted by the European Union as well as the provisions issued in implementation of Art.9 of Italian Legislative Decree No.38/2005 and of article 43 of Italian Legislative Decree No.136/2015. Furthermore, in the opinion of the External Auditor, the Management Report and some specific information contained in the Report on Corporate Governance and Ownership Structure indicated in article 123-bis, paragraph 4, of Italian Legislative Decree No.58/1998 (Consolidated Law on Finance TUF) are consistent with the financial statements of UniCredit S.p.A. and with the consolidated financial statements of the UniCredit group at 31 December 2021, and are prepared pursuant to the law. With reference to the possible identification of significant errors in the Management Report (article 14, paragraph 2, subparagraph E) of Italian Legislative Decree No.39/2010), the External Auditor declared that there was nothing to report. The reports on the auditing of the financial statements of UniCredit S.p.A. and the consolidated financial statements show the key matters that, according to the professional opinion of the External Auditor, were more significant in the accounting audit of the Company and consolidated financial statements for the year under review [ISA Italy 701]: • Financial statements of UniCredit S.p.A. • Recognition of Deferred Tax Assets on tax losses carry forward; • Classification and valuation of the equity investment in UniCredit Leasing S.p.A.; • Impairment test of the equity investments in subsidiaries; • Risk of uncorrected classification and valuation of performing customer loans; • Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” and “unlikely to pay”). Consolidated financial statements of UniCredit Group • Recognition of Deferred Tax Assets on tax losses carry forward related to the Italian tax perimeter; • Classification and valuation of the net assets related to leasing companies in Italy, Germany and Slovenia; • Risk of uncorrected classification and valuation of performing customer loans; • Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” and “unlikely to pay”). As regards the aforementioned key matters, for which the External Auditor’s reports illustrate the related audit procedures adopted, the External Auditor does not express a separate opinion, as the same have been dealt within the audit, and in the assessment of the financial statements as a whole. The aforementioned key matters have been the subject of detailed analysis and updating during the periodic meetings that the Board of Statutory Auditors held with the External Auditor. The aforementioned reports also contain the Auditor’s assessment of compliance with the provisions of the Delegated Regulation 2019/815 (EU) regarding the preparation of the financial statements and consolidated financial statements. The Board of Statutory Auditors met regularly with the External Auditor, as required by article 150, paragraph 3, of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF) for a mutual exchange of information. It informed the Board of Statutory Auditors that there were no censurable actions or facts or irregularities which would have required specific reporting under article 155, paragraph 2, of Italian Legislative Decree 58/1998 (TUF). Considering the foregoing, the Board of Statutory Auditors deems the process of interaction with the External Auditor to be adequate and transparent. It also believes that the consolidated “two-way dialogue” between the External Auditor and the Bodies responsible for governance on Company financial statements | Report and resolutions Report of the Board of Statutory auditors 770 2021 Annual Report and Accounts · UniCredit In November 2021, the Board of Statutory Auditors met in two separate sessions with the Partners of the Deloitte network in charge of the audits of UniCredit Bank AG (Germany), UniCredit Bank Austria AG, AO UniCredit Bank (Russia) and of the Banks belonging to to the CE&E Division (Central Europe & Eastern Europe, i.e. the banks based in Croatia, Czech Republic Slovakia, Bulgaria, Romania, Serbia, B&H Republic of Srpska, Hungary, Slovenia, B&H - Federation of BIH), as well as of the Italian subsidiaries Cordusio SIM S.p.A., Cordusio Fiduciaria S.p.A., UniCredit Factoring S.p.A., UniCredit Leasing S.p.A., UniCredit Services S.C.p.A., for the usual annual update on the scenario developments in the various countries and on the main results of the respective audit activities. The Board of Statutory Auditors examined the following reports of the External Auditor Deloitte & Touche S.p.A., whose activity supplements the general framework of the control Functions required by the regulations regarding financial information process: • the auditing reports issued on 11 March 2022, pursuant to Art. 14 of Italian Legislative Decree 39/2010 and Art. 10 of Regulation (EU) No.537/2014; • the supplemental report issued on 11 March 2022, pursuant to article 11 of the aforementioned Regulation, to the Board of Statutory Auditors in its capacity as Internal Control and Auditing Committee; • the annual confirmation of independence, issued on 11March 2022, pursuant to Art.6, par.2), subpar. a) of the Regulation and pursuant to paragraph 17 of ISA Italia 260. The aforementioned reports on the audit of the Company financial statements of UniCredit S.p.A. and the consolidated financial statements of the Group highlight that they both provide a truthful and correct representation of the equity and financial situation of UniCredit S.p.A. and of the UniCredit group at 31 December 2021, of the economic performance and cash flow for the year ended on that date, in accordance with the International Financial Reporting Standards adopted by the European Union as well as the provisions issued in implementation of Art.9 of Italian Legislative Decree No.38/2005 and of article 43 of Italian Legislative Decree No.136/2015. Furthermore, in the opinion of the External Auditor, the Management Report and some specific information contained in the Report on Corporate Governance and Ownership Structure indicated in article 123-bis, paragraph 4, of Italian Legislative Decree No.58/1998 (Consolidated Law on Finance TUF) are consistent with the financial statements of UniCredit S.p.A. and with the consolidated financial statements of the UniCredit group at 31 December 2021, and are prepared pursuant to the law. With reference to the possible identification of significant errors in the Management Report (article 14, paragraph 2, subparagraph E) of Italian Legislative Decree No.39/2010), the External Auditor declared that there was nothing to report. The reports on the auditing of the financial statements of UniCredit S.p.A. and the consolidated financial statements show the key matters that, according to the professional opinion of the External Auditor, were more significant in the accounting audit of the Company and consolidated financial statements for the year under review [ISA Italy 701]: • Financial statements of UniCredit S.p.A. • Recognition of Deferred Tax Assets on tax losses carry forward; • Classification and valuation of the equity investment in UniCredit Leasing S.p.A.; • Impairment test of the equity investments in subsidiaries; • Risk of uncorrected classification and valuation of performing customer loans; • Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” and “unlikely to pay”). Consolidated financial statements of UniCredit Group • Recognition of Deferred Tax Assets on tax losses carry forward related to the Italian tax perimeter; • Classification and valuation of the net assets related to leasing companies in Italy, Germany and Slovenia; • Risk of uncorrected classification and valuation of performing customer loans; • Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” and “unlikely to pay”). As regards the aforementioned key matters, for which the External Auditor’s reports illustrate the related audit procedures adopted, the External Auditor does not express a separate opinion, as the same have been dealt within the audit, and in the assessment of the financial statements as a whole. The aforementioned key matters have been the subject of detailed analysis and updating during the periodic meetings that the Board of Statutory Auditors held with the External Auditor. The aforementioned reports also contain the Auditor’s assessment of compliance with the provisions of the Delegated Regulation 2019/815 (EU) regarding the preparation of the financial statements and consolidated financial statements. The Board of Statutory Auditors met regularly with the External Auditor, as required by article 150, paragraph 3, of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF) for a mutual exchange of information. It informed the Board of Statutory Auditors that there were no censurable actions or facts or irregularities which would have required specific reporting under article 155, paragraph 2, of Italian Legislative Decree 58/1998 (TUF). Considering the foregoing, the Board of Statutory Auditors deems the process of interaction with the External Auditor to be adequate and transparent. It also believes that the consolidated “two-way dialogue” between the External Auditor and the Bodies responsible for governance on Company financial statements | Report and resolutions Report of the Board of Statutory auditors 770 2021 Annual Report and Accounts · UniCredit In November 2021, the Board of Statutory Auditors met in two separate sessions with the Partners of the Deloitte network in charge of the audits of UniCredit Bank AG (Germany), UniCredit Bank Austria AG, AO UniCredit Bank (Russia) and of the Banks belonging to to the CE&E Division (Central Europe & Eastern Europe, i.e. the banks based in Croatia, Czech Republic Slovakia, Bulgaria, Romania, Serbia, B&H Republic of Srpska, Hungary, Slovenia, B&H - Federation of BIH), as well as of the Italian subsidiaries Cordusio SIM S.p.A., Cordusio Fiduciaria S.p.A., UniCredit Factoring S.p.A., UniCredit Leasing S.p.A., UniCredit Services S.C.p.A., for the usual annual update on the scenario developments in the various countries and on the main results of the respective audit activities. The Board of Statutory Auditors examined the following reports of the External Auditor Deloitte & Touche S.p.A., whose activity supplements the general framework of the control Functions required by the regulations regarding financial information process: • the auditing reports issued on 11 March 2022, pursuant to Art. 14 of Italian Legislative Decree 39/2010 and Art. 10 of Regulation (EU) No.537/2014; • the supplemental report issued on 11 March 2022, pursuant to article 11 of the aforementioned Regulation, to the Board of Statutory Auditors in its capacity as Internal Control and Auditing Committee; • the annual confirmation of independence, issued on 11March 2022, pursuant to Art.6, par.2), subpar. a) of the Regulation and pursuant to paragraph 17 of ISA Italia 260. The aforementioned reports on the audit of the Company financial statements of UniCredit S.p.A. and the consolidated financial statements of the Group highlight that they both provide a truthful and correct representation of the equity and financial situation of UniCredit S.p.A. and of the UniCredit group at 31 December 2021, of the economic performance and cash flow for the year ended on that date, in accordance with the International Financial Reporting Standards adopted by the European Union as well as the provisions issued in implementation of Art.9 of Italian Legislative Decree No.38/2005 and of article 43 of Italian Legislative Decree No.136/2015. Furthermore, in the opinion of the External Auditor, the Management Report and some specific information contained in the Report on Corporate Governance and Ownership Structure indicated in article 123-bis, paragraph 4, of Italian Legislative Decree No.58/1998 (Consolidated Law on Finance TUF) are consistent with the financial statements of UniCredit S.p.A. and with the consolidated financial statements of the UniCredit group at 31 December 2021, and are prepared pursuant to the law. With reference to the possible identification of significant errors in the Management Report (article 14, paragraph 2, subparagraph E) of Italian Legislative Decree No.39/2010), the External Auditor declared that there was nothing to report. The reports on the auditing of the financial statements of UniCredit S.p.A. and the consolidated financial statements show the key matters that, according to the professional opinion of the External Auditor, were more significant in the accounting audit of the Company and consolidated financial statements for the year under review [ISA Italy 701]: • Financial statements of UniCredit S.p.A. • Recognition of Deferred Tax Assets on tax losses carry forward; • Classification and valuation of the equity investment in UniCredit Leasing S.p.A.; • Impairment test of the equity investments in subsidiaries; • Risk of uncorrected classification and valuation of performing customer loans; • Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” and “unlikely to pay”). Consolidated financial statements of UniCredit Group • Recognition of Deferred Tax Assets on tax losses carry forward related to the Italian tax perimeter; • Classification and valuation of the net assets related to leasing companies in Italy, Germany and Slovenia; • Risk of uncorrected classification and valuation of performing customer loans; • Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” and “unlikely to pay”). As regards the aforementioned key matters, for which the External Auditor’s reports illustrate the related audit procedures adopted, the External Auditor does not express a separate opinion, as the same have been dealt within the audit, and in the assessment of the financial statements as a whole. The aforementioned key matters have been the subject of detailed analysis and updating during the periodic meetings that the Board of Statutory Auditors held with the External Auditor. The aforementioned reports also contain the Auditor’s assessment of compliance with the provisions of the Delegated Regulation 2019/815 (EU) regarding the preparation of the financial statements and consolidated financial statements. The Board of Statutory Auditors met regularly with the External Auditor, as required by article 150, paragraph 3, of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF) for a mutual exchange of information. It informed the Board of Statutory Auditors that there were no censurable actions or facts or irregularities which would have required specific reporting under article 155, paragraph 2, of Italian Legislative Decree 58/1998 (TUF). Considering the foregoing, the Board of Statutory Auditors deems the process of interaction with the External Auditor to be adequate and transparent. It also believes that the consolidated “two-way dialogue” between the External Auditor and the Bodies responsible for governance on Company financial statements | Report and resolutions Report of the Board of Statutory auditors 770 2021 Annual Report and Accounts · UniCredit In November 2021, the Board of Statutory Auditors met in two separate sessions with the Partners of the Deloitte network in charge of the audits of UniCredit Bank AG (Germany), UniCredit Bank Austria AG, AO UniCredit Bank (Russia) and of the Banks belonging to to the CE&E Division (Central Europe & Eastern Europe, i.e. the banks based in Croatia, Czech Republic Slovakia, Bulgaria, Romania, Serbia, B&H Republic of Srpska, Hungary, Slovenia, B&H - Federation of BIH), as well as of the Italian subsidiaries Cordusio SIM S.p.A., Cordusio Fiduciaria S.p.A., UniCredit Factoring S.p.A., UniCredit Leasing S.p.A., UniCredit Services S.C.p.A., for the usual annual update on the scenario developments in the various countries and on the main results of the respective audit activities. The Board of Statutory Auditors examined the following reports of the External Auditor Deloitte & Touche S.p.A., whose activity supplements the general framework of the control Functions required by the regulations regarding financial information process: • the auditing reports issued on 11 March 2022, pursuant to Art. 14 of Italian Legislative Decree 39/2010 and Art. 10 of Regulation (EU) No.537/2014; • the supplemental report issued on 11 March 2022, pursuant to article 11 of the aforementioned Regulation, to the Board of Statutory Auditors in its capacity as Internal Control and Auditing Committee; • the annual confirmation of independence, issued on 11March 2022, pursuant to Art.6, par.2), subpar. a) of the Regulation and pursuant to paragraph 17 of ISA Italia 260. The aforementioned reports on the audit of the Company financial statements of UniCredit S.p.A. and the consolidated financial statements of the Group highlight that they both provide a truthful and correct representation of the equity and financial situation of UniCredit S.p.A. and of the UniCredit group at 31 December 2021, of the economic performance and cash flow for the year ended on that date, in accordance with the International Financial Reporting Standards adopted by the European Union as well as the provisions issued in implementation of Art.9 of Italian Legislative Decree No.38/2005 and of article 43 of Italian Legislative Decree No.136/2015. Furthermore, in the opinion of the External Auditor, the Management Report and some specific information contained in the Report on Corporate Governance and Ownership Structure indicated in article 123-bis, paragraph 4, of Italian Legislative Decree No.58/1998 (Consolidated Law on Finance TUF) are consistent with the financial statements of UniCredit S.p.A. and with the consolidated financial statements of the UniCredit group at 31 December 2021, and are prepared pursuant to the law. With reference to the possible identification of significant errors in the Management Report (article 14, paragraph 2, subparagraph E) of Italian Legislative Decree No.39/2010), the External Auditor declared that there was nothing to report. The reports on the auditing of the financial statements of UniCredit S.p.A. and the consolidated financial statements show the key matters that, according to the professional opinion of the External Auditor, were more significant in the accounting audit of the Company and consolidated financial statements for the year under review [ISA Italy 701]: • Financial statements of UniCredit S.p.A. • Recognition of Deferred Tax Assets on tax losses carry forward; • Classification and valuation of the equity investment in UniCredit Leasing S.p.A.; • Impairment test of the equity investments in subsidiaries; • Risk of uncorrected classification and valuation of performing customer loans; • Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” and “unlikely to pay”). Consolidated financial statements of UniCredit Group • Recognition of Deferred Tax Assets on tax losses carry forward related to the Italian tax perimeter; • Classification and valuation of the net assets related to leasing companies in Italy, Germany and Slovenia; • Risk of uncorrected classification and valuation of performing customer loans; • Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” and “unlikely to pay”). As regards the aforementioned key matters, for which the External Auditor’s reports illustrate the related audit procedures adopted, the External Auditor does not express a separate opinion, as the same have been dealt within the audit, and in the assessment of the financial statements as a whole. The aforementioned key matters have been the subject of detailed analysis and updating during the periodic meetings that the Board of Statutory Auditors held with the External Auditor. The aforementioned reports also contain the Auditor’s assessment of compliance with the provisions of the Delegated Regulation 2019/815 (EU) regarding the preparation of the financial statements and consolidated financial statements. The Board of Statutory Auditors met regularly with the External Auditor, as required by article 150, paragraph 3, of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF) for a mutual exchange of information. It informed the Board of Statutory Auditors that there were no censurable actions or facts or irregularities which would have required specific reporting under article 155, paragraph 2, of Italian Legislative Decree 58/1998 (TUF). Considering the foregoing, the Board of Statutory Auditors deems the process of interaction with the External Auditor to be adequate and transparent. It also believes that the consolidated “two-way dialogue” between the External Auditor and the Bodies responsible for governance on Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 771 the areas of financial statements risk and on the procedures identified to oversee them further supported the role and responsibility of the parties involved in the preparation of the financial statements and in the auditing activities. With the approval of the UniCredit S.p.A. financial statements and the UniCredit group consolidated financial statements as at 31 December 2021 by the UniCredit S.p.A. Shareholders’ Meeting held on 8 April 2022, the statutory audit appointment conferred on May 11 2011, by UniCredit S.p.A. Shareholders’ Meeting to Deloitte & Touche S.p.A. (“Deloitte”), for the nine-year period 2013-2021, will expire. Based on the Reasoned Proposal of the Board of Statutory Auditors made available at the time, the UniCredit Shareholders' Meeting held on 9 April 2020 assigned the audit mandate for the 2022-2030 financial years to KPMG S.p.A. (“KPMG”). As stated in the above-mentioned Reasoned Proposal of the Board of the Statutory Advisors, it was deemed appropriate, at the time, the early appointment of the external auditor, in view of the size and structure of UniCredit group; this is a widespread practice among the main listed entities - and allows, first of all, a more profitable handover between the outgoing auditor and the new auditor, as well as the compliance with the time limits set to guarantee the auditor's independence (so-called Cooling in period), and the appointment by the other UniCredit group entities. The Board of Statutory Auditors already met with KPMG in February 2022 and acknowledged the activities already carried out by the latter as the new auditor aimed at acquiring full knowledge of the Group and starting the review of the quarterly report for the first quarter of 2022. 6. Oversight on the independence of the External Auditors During the 2021 financial year, pursuant to article 19 of Italian Legislative Decree 39/2010, the Board of Statutory Auditors verified and monitored the independence of the External Auditor Deloitte & Touche S.p.A., pursuant to articles 10, 10-bis, 10-ter, 10-quater and 17 of the aforementioned decree and article 6 of the Regulation (EU) 537/2014 dated 16 April 2014 (“the “Regulation”), specifically with regard to the provision of services other than auditing (so-called “non-audit services”) to the audited entity. Furthermore, as previously stated (see previous paragraph), the Board of Statutory Auditors received by Deloitte & Touche the declaration confirming its independence. Since January 2017, for the purposes of the correct application of the Regulation, the Bank has adopted an internal regulation containing operating instructions addressed to all the companies of the UniCredit group so that they may submit each individual non-audit assignment for the assessment and approval of the Control Body of each Group company (Board of Statutory Auditors, Audit Committee or equivalent Body), and subsequently to the UniCredit S.p.A. Board of Statutory Auditors to issue its final binding prior opinion. The Board of Statutory Auditors also noted the information concerning non-audit services prepared through a preventive and four-monthly flow by the competent Function: pursuant to this process, all the companies of the UniCredit group contributed to the transmission of the data requested and required by internal regulations, to enable the timely monitoring of the costs of the services provided to the External Auditor and by all entities belonging to the Deloitte Network. The Control Body, together with the Bank’s competent Functions, carried out a review of the internal regulations, Global Operational Regulation (GOR), called “Principles and rules for the management of contractual relations with the Group's External Auditors”; it was issued in March 2018, and addressed to all the Group’s subsidiaries, prompting specifically the introduction of wider restrictions than those foreseen by the regulations concerning the identification of the non-audit services number that can be assigned to the Group’s External Auditor Network. With the issue of the new version of the aforementioned GOR in March 2020, the Board of Statutory Auditors requested and carried out precise monitoring of its implementation level by the Group companies concerned. During 2021, the Board of Statutory Auditors examined and made its observations to the competent Functions in relation to the proposed guidelines in order to ensure the independence of both the outgoing External Auditor and the incoming External Auditor, in compliance with EU regulations, during the so-called transition period. Based on the final 2021 data, the value of the services provided to UniCredit group companies by the Group’s External Auditor and the companies belonging to its Network amount to approximately €33.4 million, of which €7.1 million refer to verification/attestation services and €6.4 million to other non-audit services. At the Group level, the costs of non-audit services assigned to the External Auditors decreased by 4% compared to 2020. With reference to the information concerning only the Parent Company, provided in the statement relating to the “Publication of the remuneration - UniCredit S.p.A. - 2021 financial year - Deloitte Network” the Board of Statutory Auditors notes that, compared to the previous year, the costs of services assigned to the External Auditor remain unchanged, the costs of attestation services, amounting to €3.4 million, decreased compared to the previous year by 6%, while the costs of non-audit services remain equal to about €1 million. The ratio between the cost of non-audit services provided by Deloitte & Touche S.p.A., External Auditor of the Parent Company, and the three-year average of the audit services (2018-2019-2020) amounted to 23% for 2021, lower than the 70% limit established by internal regulations and applicable external regulations (“fee cap”). With regard to the planning of non-audit services for 2022, KPMG S.p.A. is expected to be assigned services with a total equivalent value of approximately €0.5 million, with a forecast fee cap of 14%. Please note that, according to the regulations, non-audit services required by national or European Union rules, or those representing a charge for the benefit of a certain discipline, are not relevant for the determination of the fee cap. Lastly, it should be noted, that the assignment of non-audit services performed by companies belonging to the Deloitte Network (other than the Group Auditor) for an amount of approximately €1.5 million, was approved for 2022. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 771 the areas of financial statements risk and on the procedures identified to oversee them further supported the role and responsibility of the parties involved in the preparation of the financial statements and in the auditing activities. With the approval of the UniCredit S.p.A. financial statements and the UniCredit group consolidated financial statements as at 31 December 2021 by the UniCredit S.p.A. Shareholders’ Meeting held on 8 April 2022, the statutory audit appointment conferred on May 11 2011, by UniCredit S.p.A. Shareholders’ Meeting to Deloitte & Touche S.p.A. (“Deloitte”), for the nine-year period 2013-2021, will expire. Based on the Reasoned Proposal of the Board of Statutory Auditors made available at the time, the UniCredit Shareholders' Meeting held on 9 April 2020 assigned the audit mandate for the 2022-2030 financial years to KPMG S.p.A. (“KPMG”). As stated in the above-mentioned Reasoned Proposal of the Board of the Statutory Advisors, it was deemed appropriate, at the time, the early appointment of the external auditor, in view of the size and structure of UniCredit group; this is a widespread practice among the main listed entities - and allows, first of all, a more profitable handover between the outgoing auditor and the new auditor, as well as the compliance with the time limits set to guarantee the auditor's independence (so-called Cooling in period), and the appointment by the other UniCredit group entities. The Board of Statutory Auditors already met with KPMG in February 2022 and acknowledged the activities already carried out by the latter as the new auditor aimed at acquiring full knowledge of the Group and starting the review of the quarterly report for the first quarter of 2022. 6. Oversight on the independence of the External Auditors During the 2021 financial year, pursuant to article 19 of Italian Legislative Decree 39/2010, the Board of Statutory Auditors verified and monitored the independence of the External Auditor Deloitte & Touche S.p.A., pursuant to articles 10, 10-bis, 10-ter, 10-quater and 17 of the aforementioned decree and article 6 of the Regulation (EU) 537/2014 dated 16 April 2014 (“the “Regulation”), specifically with regard to the provision of services other than auditing (so-called “non-audit services”) to the audited entity. Furthermore, as previously stated (see previous paragraph), the Board of Statutory Auditors received by Deloitte & Touche the declaration confirming its independence. Since January 2017, for the purposes of the correct application of the Regulation, the Bank has adopted an internal regulation containing operating instructions addressed to all the companies of the UniCredit group so that they may submit each individual non-audit assignment for the assessment and approval of the Control Body of each Group company (Board of Statutory Auditors, Audit Committee or equivalent Body), and subsequently to the UniCredit S.p.A. Board of Statutory Auditors to issue its final binding prior opinion. The Board of Statutory Auditors also noted the information concerning non-audit services prepared through a preventive and four-monthly flow by the competent Function: pursuant to this process, all the companies of the UniCredit group contributed to the transmission of the data requested and required by internal regulations, to enable the timely monitoring of the costs of the services provided to the External Auditor and by all entities belonging to the Deloitte Network. The Control Body, together with the Bank’s competent Functions, carried out a review of the internal regulations, Global Operational Regulation (GOR), called “Principles and rules for the management of contractual relations with the Group's External Auditors”; it was issued in March 2018, and addressed to all the Group’s subsidiaries, prompting specifically the introduction of wider restrictions than those foreseen by the regulations concerning the identification of the non-audit services number that can be assigned to the Group’s External Auditor Network. With the issue of the new version of the aforementioned GOR in March 2020, the Board of Statutory Auditors requested and carried out precise monitoring of its implementation level by the Group companies concerned. During 2021, the Board of Statutory Auditors examined and made its observations to the competent Functions in relation to the proposed guidelines in order to ensure the independence of both the outgoing External Auditor and the incoming External Auditor, in compliance with EU regulations, during the so-called transition period. Based on the final 2021 data, the value of the services provided to UniCredit group companies by the Group’s External Auditor and the companies belonging to its Network amount to approximately €33.4 million, of which €7.1 million refer to verification/attestation services and €6.4 million to other non-audit services. At the Group level, the costs of non-audit services assigned to the External Auditors decreased by 4% compared to 2020. With reference to the information concerning only the Parent Company, provided in the statement relating to the “Publication of the remuneration - UniCredit S.p.A. - 2021 financial year - Deloitte Network” the Board of Statutory Auditors notes that, compared to the previous year, the costs of services assigned to the External Auditor remain unchanged, the costs of attestation services, amounting to €3.4 million, decreased compared to the previous year by 6%, while the costs of non-audit services remain equal to about €1 million. The ratio between the cost of non-audit services provided by Deloitte & Touche S.p.A., External Auditor of the Parent Company, and the three-year average of the audit services (2018-2019-2020) amounted to 23% for 2021, lower than the 70% limit established by internal regulations and applicable external regulations (“fee cap”). With regard to the planning of non-audit services for 2022, KPMG S.p.A. is expected to be assigned services with a total equivalent value of approximately €0.5 million, with a forecast fee cap of 14%. Please note that, according to the regulations, non-audit services required by national or European Union rules, or those representing a charge for the benefit of a certain discipline, are not relevant for the determination of the fee cap. Lastly, it should be noted, that the assignment of non-audit services performed by companies belonging to the Deloitte Network (other than the Group Auditor) for an amount of approximately €1.5 million, was approved for 2022. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 771 the areas of financial statements risk and on the procedures identified to oversee them further supported the role and responsibility of the parties involved in the preparation of the financial statements and in the auditing activities. With the approval of the UniCredit S.p.A. financial statements and the UniCredit group consolidated financial statements as at 31 December 2021 by the UniCredit S.p.A. Shareholders’ Meeting held on 8 April 2022, the statutory audit appointment conferred on May 11 2011, by UniCredit S.p.A. Shareholders’ Meeting to Deloitte & Touche S.p.A. (“Deloitte”), for the nine-year period 2013-2021, will expire. Based on the Reasoned Proposal of the Board of Statutory Auditors made available at the time, the UniCredit Shareholders' Meeting held on 9 April 2020 assigned the audit mandate for the 2022-2030 financial years to KPMG S.p.A. (“KPMG”). As stated in the above-mentioned Reasoned Proposal of the Board of the Statutory Advisors, it was deemed appropriate, at the time, the early appointment of the external auditor, in view of the size and structure of UniCredit group; this is a widespread practice among the main listed entities - and allows, first of all, a more profitable handover between the outgoing auditor and the new auditor, as well as the compliance with the time limits set to guarantee the auditor's independence (so-called Cooling in period), and the appointment by the other UniCredit group entities. The Board of Statutory Auditors already met with KPMG in February 2022 and acknowledged the activities already carried out by the latter as the new auditor aimed at acquiring full knowledge of the Group and starting the review of the quarterly report for the first quarter of 2022. 6. Oversight on the independence of the External Auditors During the 2021 financial year, pursuant to article 19 of Italian Legislative Decree 39/2010, the Board of Statutory Auditors verified and monitored the independence of the External Auditor Deloitte & Touche S.p.A., pursuant to articles 10, 10-bis, 10-ter, 10-quater and 17 of the aforementioned decree and article 6 of the Regulation (EU) 537/2014 dated 16 April 2014 (“the “Regulation”), specifically with regard to the provision of services other than auditing (so-called “non-audit services”) to the audited entity. Furthermore, as previously stated (see previous paragraph), the Board of Statutory Auditors received by Deloitte & Touche the declaration confirming its independence. Since January 2017, for the purposes of the correct application of the Regulation, the Bank has adopted an internal regulation containing operating instructions addressed to all the companies of the UniCredit group so that they may submit each individual non-audit assignment for the assessment and approval of the Control Body of each Group company (Board of Statutory Auditors, Audit Committee or equivalent Body), and subsequently to the UniCredit S.p.A. Board of Statutory Auditors to issue its final binding prior opinion. The Board of Statutory Auditors also noted the information concerning non-audit services prepared through a preventive and four-monthly flow by the competent Function: pursuant to this process, all the companies of the UniCredit group contributed to the transmission of the data requested and required by internal regulations, to enable the timely monitoring of the costs of the services provided to the External Auditor and by all entities belonging to the Deloitte Network. The Control Body, together with the Bank’s competent Functions, carried out a review of the internal regulations, Global Operational Regulation (GOR), called “Principles and rules for the management of contractual relations with the Group's External Auditors”; it was issued in March 2018, and addressed to all the Group’s subsidiaries, prompting specifically the introduction of wider restrictions than those foreseen by the regulations concerning the identification of the non-audit services number that can be assigned to the Group’s External Auditor Network. With the issue of the new version of the aforementioned GOR in March 2020, the Board of Statutory Auditors requested and carried out precise monitoring of its implementation level by the Group companies concerned. During 2021, the Board of Statutory Auditors examined and made its observations to the competent Functions in relation to the proposed guidelines in order to ensure the independence of both the outgoing External Auditor and the incoming External Auditor, in compliance with EU regulations, during the so-called transition period. Based on the final 2021 data, the value of the services provided to UniCredit group companies by the Group’s External Auditor and the companies belonging to its Network amount to approximately €33.4 million, of which €7.1 million refer to verification/attestation services and €6.4 million to other non-audit services. At the Group level, the costs of non-audit services assigned to the External Auditors decreased by 4% compared to 2020. With reference to the information concerning only the Parent Company, provided in the statement relating to the “Publication of the remuneration - UniCredit S.p.A. - 2021 financial year - Deloitte Network” the Board of Statutory Auditors notes that, compared to the previous year, the costs of services assigned to the External Auditor remain unchanged, the costs of attestation services, amounting to €3.4 million, decreased compared to the previous year by 6%, while the costs of non-audit services remain equal to about €1 million. The ratio between the cost of non-audit services provided by Deloitte & Touche S.p.A., External Auditor of the Parent Company, and the three-year average of the audit services (2018-2019-2020) amounted to 23% for 2021, lower than the 70% limit established by internal regulations and applicable external regulations (“fee cap”). With regard to the planning of non-audit services for 2022, KPMG S.p.A. is expected to be assigned services with a total equivalent value of approximately €0.5 million, with a forecast fee cap of 14%. Please note that, according to the regulations, non-audit services required by national or European Union rules, or those representing a charge for the benefit of a certain discipline, are not relevant for the determination of the fee cap. Lastly, it should be noted, that the assignment of non-audit services performed by companies belonging to the Deloitte Network (other than the Group Auditor) for an amount of approximately €1.5 million, was approved for 2022. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 771 the areas of financial statements risk and on the procedures identified to oversee them further supported the role and responsibility of the parties involved in the preparation of the financial statements and in the auditing activities. With the approval of the UniCredit S.p.A. financial statements and the UniCredit group consolidated financial statements as at 31 December 2021 by the UniCredit S.p.A. Shareholders’ Meeting held on 8 April 2022, the statutory audit appointment conferred on May 11 2011, by UniCredit S.p.A. Shareholders’ Meeting to Deloitte & Touche S.p.A. (“Deloitte”), for the nine-year period 2013-2021, will expire. Based on the Reasoned Proposal of the Board of Statutory Auditors made available at the time, the UniCredit Shareholders' Meeting held on 9 April 2020 assigned the audit mandate for the 2022-2030 financial years to KPMG S.p.A. (“KPMG”). As stated in the above-mentioned Reasoned Proposal of the Board of the Statutory Advisors, it was deemed appropriate, at the time, the early appointment of the external auditor, in view of the size and structure of UniCredit group; this is a widespread practice among the main listed entities - and allows, first of all, a more profitable handover between the outgoing auditor and the new auditor, as well as the compliance with the time limits set to guarantee the auditor's independence (so-called Cooling in period), and the appointment by the other UniCredit group entities. The Board of Statutory Auditors already met with KPMG in February 2022 and acknowledged the activities already carried out by the latter as the new auditor aimed at acquiring full knowledge of the Group and starting the review of the quarterly report for the first quarter of 2022. 6. Oversight on the independence of the External Auditors During the 2021 financial year, pursuant to article 19 of Italian Legislative Decree 39/2010, the Board of Statutory Auditors verified and monitored the independence of the External Auditor Deloitte & Touche S.p.A., pursuant to articles 10, 10-bis, 10-ter, 10-quater and 17 of the aforementioned decree and article 6 of the Regulation (EU) 537/2014 dated 16 April 2014 (“the “Regulation”), specifically with regard to the provision of services other than auditing (so-called “non-audit services”) to the audited entity. Furthermore, as previously stated (see previous paragraph), the Board of Statutory Auditors received by Deloitte & Touche the declaration confirming its independence. Since January 2017, for the purposes of the correct application of the Regulation, the Bank has adopted an internal regulation containing operating instructions addressed to all the companies of the UniCredit group so that they may submit each individual non-audit assignment for the assessment and approval of the Control Body of each Group company (Board of Statutory Auditors, Audit Committee or equivalent Body), and subsequently to the UniCredit S.p.A. Board of Statutory Auditors to issue its final binding prior opinion. The Board of Statutory Auditors also noted the information concerning non-audit services prepared through a preventive and four-monthly flow by the competent Function: pursuant to this process, all the companies of the UniCredit group contributed to the transmission of the data requested and required by internal regulations, to enable the timely monitoring of the costs of the services provided to the External Auditor and by all entities belonging to the Deloitte Network. The Control Body, together with the Bank’s competent Functions, carried out a review of the internal regulations, Global Operational Regulation (GOR), called “Principles and rules for the management of contractual relations with the Group's External Auditors”; it was issued in March 2018, and addressed to all the Group’s subsidiaries, prompting specifically the introduction of wider restrictions than those foreseen by the regulations concerning the identification of the non-audit services number that can be assigned to the Group’s External Auditor Network. With the issue of the new version of the aforementioned GOR in March 2020, the Board of Statutory Auditors requested and carried out precise monitoring of its implementation level by the Group companies concerned. During 2021, the Board of Statutory Auditors examined and made its observations to the competent Functions in relation to the proposed guidelines in order to ensure the independence of both the outgoing External Auditor and the incoming External Auditor, in compliance with EU regulations, during the so-called transition period. Based on the final 2021 data, the value of the services provided to UniCredit group companies by the Group’s External Auditor and the companies belonging to its Network amount to approximately €33.4 million, of which €7.1 million refer to verification/attestation services and €6.4 million to other non-audit services. At the Group level, the costs of non-audit services assigned to the External Auditors decreased by 4% compared to 2020. With reference to the information concerning only the Parent Company, provided in the statement relating to the “Publication of the remuneration - UniCredit S.p.A. - 2021 financial year - Deloitte Network” the Board of Statutory Auditors notes that, compared to the previous year, the costs of services assigned to the External Auditor remain unchanged, the costs of attestation services, amounting to €3.4 million, decreased compared to the previous year by 6%, while the costs of non-audit services remain equal to about €1 million. The ratio between the cost of non-audit services provided by Deloitte & Touche S.p.A., External Auditor of the Parent Company, and the three-year average of the audit services (2018-2019-2020) amounted to 23% for 2021, lower than the 70% limit established by internal regulations and applicable external regulations (“fee cap”). With regard to the planning of non-audit services for 2022, KPMG S.p.A. is expected to be assigned services with a total equivalent value of approximately €0.5 million, with a forecast fee cap of 14%. Please note that, according to the regulations, non-audit services required by national or European Union rules, or those representing a charge for the benefit of a certain discipline, are not relevant for the determination of the fee cap. Lastly, it should be noted, that the assignment of non-audit services performed by companies belonging to the Deloitte Network (other than the Group Auditor) for an amount of approximately €1.5 million, was approved for 2022. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 771 the areas of financial statements risk and on the procedures identified to oversee them further supported the role and responsibility of the parties involved in the preparation of the financial statements and in the auditing activities. With the approval of the UniCredit S.p.A. financial statements and the UniCredit group consolidated financial statements as at 31 December 2021 by the UniCredit S.p.A. Shareholders’ Meeting held on 8 April 2022, the statutory audit appointment conferred on May 11 2011, by UniCredit S.p.A. Shareholders’ Meeting to Deloitte & Touche S.p.A. (“Deloitte”), for the nine-year period 2013-2021, will expire. Based on the Reasoned Proposal of the Board of Statutory Auditors made available at the time, the UniCredit Shareholders' Meeting held on 9 April 2020 assigned the audit mandate for the 2022-2030 financial years to KPMG S.p.A. (“KPMG”). As stated in the above-mentioned Reasoned Proposal of the Board of the Statutory Advisors, it was deemed appropriate, at the time, the early appointment of the external auditor, in view of the size and structure of UniCredit group; this is a widespread practice among the main listed entities - and allows, first of all, a more profitable handover between the outgoing auditor and the new auditor, as well as the compliance with the time limits set to guarantee the auditor's independence (so-called Cooling in period), and the appointment by the other UniCredit group entities. The Board of Statutory Auditors already met with KPMG in February 2022 and acknowledged the activities already carried out by the latter as the new auditor aimed at acquiring full knowledge of the Group and starting the review of the quarterly report for the first quarter of 2022. 6. Oversight on the independence of the External Auditors During the 2021 financial year, pursuant to article 19 of Italian Legislative Decree 39/2010, the Board of Statutory Auditors verified and monitored the independence of the External Auditor Deloitte & Touche S.p.A., pursuant to articles 10, 10-bis, 10-ter, 10-quater and 17 of the aforementioned decree and article 6 of the Regulation (EU) 537/2014 dated 16 April 2014 (“the “Regulation”), specifically with regard to the provision of services other than auditing (so-called “non-audit services”) to the audited entity. Furthermore, as previously stated (see previous paragraph), the Board of Statutory Auditors received by Deloitte & Touche the declaration confirming its independence. Since January 2017, for the purposes of the correct application of the Regulation, the Bank has adopted an internal regulation containing operating instructions addressed to all the companies of the UniCredit group so that they may submit each individual non-audit assignment for the assessment and approval of the Control Body of each Group company (Board of Statutory Auditors, Audit Committee or equivalent Body), and subsequently to the UniCredit S.p.A. Board of Statutory Auditors to issue its final binding prior opinion. The Board of Statutory Auditors also noted the information concerning non-audit services prepared through a preventive and four-monthly flow by the competent Function: pursuant to this process, all the companies of the UniCredit group contributed to the transmission of the data requested and required by internal regulations, to enable the timely monitoring of the costs of the services provided to the External Auditor and by all entities belonging to the Deloitte Network. The Control Body, together with the Bank’s competent Functions, carried out a review of the internal regulations, Global Operational Regulation (GOR), called “Principles and rules for the management of contractual relations with the Group's External Auditors”; it was issued in March 2018, and addressed to all the Group’s subsidiaries, prompting specifically the introduction of wider restrictions than those foreseen by the regulations concerning the identification of the non-audit services number that can be assigned to the Group’s External Auditor Network. With the issue of the new version of the aforementioned GOR in March 2020, the Board of Statutory Auditors requested and carried out precise monitoring of its implementation level by the Group companies concerned. During 2021, the Board of Statutory Auditors examined and made its observations to the competent Functions in relation to the proposed guidelines in order to ensure the independence of both the outgoing External Auditor and the incoming External Auditor, in compliance with EU regulations, during the so-called transition period. Based on the final 2021 data, the value of the services provided to UniCredit group companies by the Group’s External Auditor and the companies belonging to its Network amount to approximately €33.4 million, of which €7.1 million refer to verification/attestation services and €6.4 million to other non-audit services. At the Group level, the costs of non-audit services assigned to the External Auditors decreased by 4% compared to 2020. With reference to the information concerning only the Parent Company, provided in the statement relating to the “Publication of the remuneration - UniCredit S.p.A. - 2021 financial year - Deloitte Network” the Board of Statutory Auditors notes that, compared to the previous year, the costs of services assigned to the External Auditor remain unchanged, the costs of attestation services, amounting to €3.4 million, decreased compared to the previous year by 6%, while the costs of non-audit services remain equal to about €1 million. The ratio between the cost of non-audit services provided by Deloitte & Touche S.p.A., External Auditor of the Parent Company, and the three-year average of the audit services (2018-2019-2020) amounted to 23% for 2021, lower than the 70% limit established by internal regulations and applicable external regulations (“fee cap”). With regard to the planning of non-audit services for 2022, KPMG S.p.A. is expected to be assigned services with a total equivalent value of approximately €0.5 million, with a forecast fee cap of 14%. Please note that, according to the regulations, non-audit services required by national or European Union rules, or those representing a charge for the benefit of a certain discipline, are not relevant for the determination of the fee cap. Lastly, it should be noted, that the assignment of non-audit services performed by companies belonging to the Deloitte Network (other than the Group Auditor) for an amount of approximately €1.5 million, was approved for 2022. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 772 2021 Annual Report and Accounts · UniCredit With reference to KPMG S.p.A., as mentioned above, appointed as External Auditor for the 2022-2030 financial years, the Board of Statutory Auditors decided to supervise the assignment of additional services to such Company and its Network starting from 1 September 2021, agreeing with the Bank to issue specific internal regulations sent to be applied to all Group Companies. 7. Oversight of the financial information process For the purposes of overseeing the financial reporting processes, the Board of Statutory Auditors, in addition to the aforementioned in-depth analysis carried out with the External Auditors, which did not reveal significant critical issues of the internal control system concerning the financial reporting process, carried out the planned and periodic meetings with the Manager in charge of preparing the financial statements and the competent Accounting and Group Risk Management structures. The administrative and accounting procedures for drafting the half-yearly report and the Company and consolidated financial statements and all other financial information were set up under the responsibility of the Manager in charge of preparing the financial statements who, together with the CEO, attests that they are adequate and actually applied. As stated in the financial statements, Directive 2004/109/EC (the “Transparency Directive”) and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets in the European Union to draw up their annual financial report in the XHTML language, based on the European Single Electronic Format (ESEF) approved by ESMA. For the year 2021, it is expected that the consolidated financial statements will be “marked up” with the ESEF taxonomy, using an integrated computer language (iXBRL). Starting from 2022, the marking will also be extended to the information in the notes to the financial statements. During the above-mentioned periodic meetings, the Manager in charge of preparing the financial statements did not report any significant shortcomings in the operating and control processes that could undermine the overall adequacy and actual application of the administrative and accounting procedures, in order to correctly represent the economic, asset and financial aspects of the accounting events in compliance with international accounting standards. The Manager in charge of preparing the financial statements and the Chief Executive Officer signed the statements relating to the individual and consolidated financial statements at 31 December 2021, pursuant to article 81-ter of the Issuer Regulation, approved by Consob with Resolution 11971/1999 as amended and supplemented. The Board of Statutory Auditors noted the updates occurred in the internal regulations concerning the internal control system applicable to Financial Reporting and the Manual on Group accounting rules and principles, most recently approved by the Board of Directors at its meeting held on 18 January 2022. The Board of Statutory Auditors was regularly briefed on the initiatives regarding the accuracy of IT controls and processes and the automation of the input phases of the different processes, in order to streamline, by strengthening them, the processes and communicate the financial results to the market more efficiently. The Board of Statutory Auditors also therefore acknowledged the “Report on the status of the Internal Control System on Financial Reporting - Management Report” regarding the certification campaign pursuant to the Law 262/05 of the consolidated and individual financial statements as at 31 December 2021, submitted to the Board of Directors on 15 February 2022. Compared to a total of No.407 companies fully consolidated, based on the criteria defined in the internal regulations, the companies subject to the 262-certification campaign amount to No.34 covering 98% of the Group Total Aggregated Assets (“GTAA”). The certification campaign as at 31 December 2021, which for UniCredit S.p.A. involved No.427 processes that undergo No.1,682 checks, and No.1,816 processes relating to the other Group companies on which there were a total No.5,448 checks, ended with the issuance of all the so-called “internal certifications” to the Manager in charge of preparing the financial statements of UniCredit S.p.A. by the corresponding managers of the other Group companies subject to the campaign. With reference to the points of attention that emerged for UniCredit S.p.A., the Board of Statutory Auditors noted the analyses carried out and recommended the Bank to proceed without delay to the necessary strengthening of the Group application for the campaign management. Regarding the improvement areas overall identified by the certification campaign, the Board of Statutory Auditors notes that they mainly concern: i) the definition of processes, roles, responsibilities, and identification of the structure responsible for some additional processes not yet defined/implemented, ii) the automation of processes/procedures to improve data production and control activities. The BoSA therefore recommended the continuation of the corrective measures planned by the Management (Group Remediation Plan), as part of the complete and correct maintenance of the administrative-accounting system. In the light of the information received and the analyses carried out, as mentioned below, the Board of Statutory Auditors considers that the administrative and accounting system in place is, on the whole, adequate to the requirements of the current reference regulations and is suitable of properly representing the management events. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 772 2021 Annual Report and Accounts · UniCredit With reference to KPMG S.p.A., as mentioned above, appointed as External Auditor for the 2022-2030 financial years, the Board of Statutory Auditors decided to supervise the assignment of additional services to such Company and its Network starting from 1 September 2021, agreeing with the Bank to issue specific internal regulations sent to be applied to all Group Companies. 7. Oversight of the financial information process For the purposes of overseeing the financial reporting processes, the Board of Statutory Auditors, in addition to the aforementioned in-depth analysis carried out with the External Auditors, which did not reveal significant critical issues of the internal control system concerning the financial reporting process, carried out the planned and periodic meetings with the Manager in charge of preparing the financial statements and the competent Accounting and Group Risk Management structures. The administrative and accounting procedures for drafting the half-yearly report and the Company and consolidated financial statements and all other financial information were set up under the responsibility of the Manager in charge of preparing the financial statements who, together with the CEO, attests that they are adequate and actually applied. As stated in the financial statements, Directive 2004/109/EC (the “Transparency Directive”) and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets in the European Union to draw up their annual financial report in the XHTML language, based on the European Single Electronic Format (ESEF) approved by ESMA. For the year 2021, it is expected that the consolidated financial statements will be “marked up” with the ESEF taxonomy, using an integrated computer language (iXBRL). Starting from 2022, the marking will also be extended to the information in the notes to the financial statements. During the above-mentioned periodic meetings, the Manager in charge of preparing the financial statements did not report any significant shortcomings in the operating and control processes that could undermine the overall adequacy and actual application of the administrative and accounting procedures, in order to correctly represent the economic, asset and financial aspects of the accounting events in compliance with international accounting standards. The Manager in charge of preparing the financial statements and the Chief Executive Officer signed the statements relating to the individual and consolidated financial statements at 31 December 2021, pursuant to article 81-ter of the Issuer Regulation, approved by Consob with Resolution 11971/1999 as amended and supplemented. The Board of Statutory Auditors noted the updates occurred in the internal regulations concerning the internal control system applicable to Financial Reporting and the Manual on Group accounting rules and principles, most recently approved by the Board of Directors at its meeting held on 18 January 2022. The Board of Statutory Auditors was regularly briefed on the initiatives regarding the accuracy of IT controls and processes and the automation of the input phases of the different processes, in order to streamline, by strengthening them, the processes and communicate the financial results to the market more efficiently. The Board of Statutory Auditors also therefore acknowledged the “Report on the status of the Internal Control System on Financial Reporting - Management Report” regarding the certification campaign pursuant to the Law 262/05 of the consolidated and individual financial statements as at 31 December 2021, submitted to the Board of Directors on 15 February 2022. Compared to a total of No.407 companies fully consolidated, based on the criteria defined in the internal regulations, the companies subject to the 262-certification campaign amount to No.34 covering 98% of the Group Total Aggregated Assets (“GTAA”). The certification campaign as at 31 December 2021, which for UniCredit S.p.A. involved No.427 processes that undergo No.1,682 checks, and No.1,816 processes relating to the other Group companies on which there were a total No.5,448 checks, ended with the issuance of all the so-called “internal certifications” to the Manager in charge of preparing the financial statements of UniCredit S.p.A. by the corresponding managers of the other Group companies subject to the campaign. With reference to the points of attention that emerged for UniCredit S.p.A., the Board of Statutory Auditors noted the analyses carried out and recommended the Bank to proceed without delay to the necessary strengthening of the Group application for the campaign management. Regarding the improvement areas overall identified by the certification campaign, the Board of Statutory Auditors notes that they mainly concern: i) the definition of processes, roles, responsibilities, and identification of the structure responsible for some additional processes not yet defined/implemented, ii) the automation of processes/procedures to improve data production and control activities. The BoSA therefore recommended the continuation of the corrective measures planned by the Management (Group Remediation Plan), as part of the complete and correct maintenance of the administrative-accounting system. In the light of the information received and the analyses carried out, as mentioned below, the Board of Statutory Auditors considers that the administrative and accounting system in place is, on the whole, adequate to the requirements of the current reference regulations and is suitable of properly representing the management events. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 772 2021 Annual Report and Accounts · UniCredit With reference to KPMG S.p.A., as mentioned above, appointed as External Auditor for the 2022-2030 financial years, the Board of Statutory Auditors decided to supervise the assignment of additional services to such Company and its Network starting from 1 September 2021, agreeing with the Bank to issue specific internal regulations sent to be applied to all Group Companies. 7. Oversight of the financial information process For the purposes of overseeing the financial reporting processes, the Board of Statutory Auditors, in addition to the aforementioned in-depth analysis carried out with the External Auditors, which did not reveal significant critical issues of the internal control system concerning the financial reporting process, carried out the planned and periodic meetings with the Manager in charge of preparing the financial statements and the competent Accounting and Group Risk Management structures. The administrative and accounting procedures for drafting the half-yearly report and the Company and consolidated financial statements and all other financial information were set up under the responsibility of the Manager in charge of preparing the financial statements who, together with the CEO, attests that they are adequate and actually applied. As stated in the financial statements, Directive 2004/109/EC (the “Transparency Directive”) and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets in the European Union to draw up their annual financial report in the XHTML language, based on the European Single Electronic Format (ESEF) approved by ESMA. For the year 2021, it is expected that the consolidated financial statements will be “marked up” with the ESEF taxonomy, using an integrated computer language (iXBRL). Starting from 2022, the marking will also be extended to the information in the notes to the financial statements. During the above-mentioned periodic meetings, the Manager in charge of preparing the financial statements did not report any significant shortcomings in the operating and control processes that could undermine the overall adequacy and actual application of the administrative and accounting procedures, in order to correctly represent the economic, asset and financial aspects of the accounting events in compliance with international accounting standards. The Manager in charge of preparing the financial statements and the Chief Executive Officer signed the statements relating to the individual and consolidated financial statements at 31 December 2021, pursuant to article 81-ter of the Issuer Regulation, approved by Consob with Resolution 11971/1999 as amended and supplemented. The Board of Statutory Auditors noted the updates occurred in the internal regulations concerning the internal control system applicable to Financial Reporting and the Manual on Group accounting rules and principles, most recently approved by the Board of Directors at its meeting held on 18 January 2022. The Board of Statutory Auditors was regularly briefed on the initiatives regarding the accuracy of IT controls and processes and the automation of the input phases of the different processes, in order to streamline, by strengthening them, the processes and communicate the financial results to the market more efficiently. The Board of Statutory Auditors also therefore acknowledged the “Report on the status of the Internal Control System on Financial Reporting - Management Report” regarding the certification campaign pursuant to the Law 262/05 of the consolidated and individual financial statements as at 31 December 2021, submitted to the Board of Directors on 15 February 2022. Compared to a total of No.407 companies fully consolidated, based on the criteria defined in the internal regulations, the companies subject to the 262-certification campaign amount to No.34 covering 98% of the Group Total Aggregated Assets (“GTAA”). The certification campaign as at 31 December 2021, which for UniCredit S.p.A. involved No.427 processes that undergo No.1,682 checks, and No.1,816 processes relating to the other Group companies on which there were a total No.5,448 checks, ended with the issuance of all the so-called “internal certifications” to the Manager in charge of preparing the financial statements of UniCredit S.p.A. by the corresponding managers of the other Group companies subject to the campaign. With reference to the points of attention that emerged for UniCredit S.p.A., the Board of Statutory Auditors noted the analyses carried out and recommended the Bank to proceed without delay to the necessary strengthening of the Group application for the campaign management. Regarding the improvement areas overall identified by the certification campaign, the Board of Statutory Auditors notes that they mainly concern: i) the definition of processes, roles, responsibilities, and identification of the structure responsible for some additional processes not yet defined/implemented, ii) the automation of processes/procedures to improve data production and control activities. The BoSA therefore recommended the continuation of the corrective measures planned by the Management (Group Remediation Plan), as part of the complete and correct maintenance of the administrative-accounting system. In the light of the information received and the analyses carried out, as mentioned below, the Board of Statutory Auditors considers that the administrative and accounting system in place is, on the whole, adequate to the requirements of the current reference regulations and is suitable of properly representing the management events. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 772 2021 Annual Report and Accounts · UniCredit With reference to KPMG S.p.A., as mentioned above, appointed as External Auditor for the 2022-2030 financial years, the Board of Statutory Auditors decided to supervise the assignment of additional services to such Company and its Network starting from 1 September 2021, agreeing with the Bank to issue specific internal regulations sent to be applied to all Group Companies. 7. Oversight of the financial information process For the purposes of overseeing the financial reporting processes, the Board of Statutory Auditors, in addition to the aforementioned in-depth analysis carried out with the External Auditors, which did not reveal significant critical issues of the internal control system concerning the financial reporting process, carried out the planned and periodic meetings with the Manager in charge of preparing the financial statements and the competent Accounting and Group Risk Management structures. The administrative and accounting procedures for drafting the half-yearly report and the Company and consolidated financial statements and all other financial information were set up under the responsibility of the Manager in charge of preparing the financial statements who, together with the CEO, attests that they are adequate and actually applied. As stated in the financial statements, Directive 2004/109/EC (the “Transparency Directive”) and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets in the European Union to draw up their annual financial report in the XHTML language, based on the European Single Electronic Format (ESEF) approved by ESMA. For the year 2021, it is expected that the consolidated financial statements will be “marked up” with the ESEF taxonomy, using an integrated computer language (iXBRL). Starting from 2022, the marking will also be extended to the information in the notes to the financial statements. During the above-mentioned periodic meetings, the Manager in charge of preparing the financial statements did not report any significant shortcomings in the operating and control processes that could undermine the overall adequacy and actual application of the administrative and accounting procedures, in order to correctly represent the economic, asset and financial aspects of the accounting events in compliance with international accounting standards. The Manager in charge of preparing the financial statements and the Chief Executive Officer signed the statements relating to the individual and consolidated financial statements at 31 December 2021, pursuant to article 81-ter of the Issuer Regulation, approved by Consob with Resolution 11971/1999 as amended and supplemented. The Board of Statutory Auditors noted the updates occurred in the internal regulations concerning the internal control system applicable to Financial Reporting and the Manual on Group accounting rules and principles, most recently approved by the Board of Directors at its meeting held on 18 January 2022. The Board of Statutory Auditors was regularly briefed on the initiatives regarding the accuracy of IT controls and processes and the automation of the input phases of the different processes, in order to streamline, by strengthening them, the processes and communicate the financial results to the market more efficiently. The Board of Statutory Auditors also therefore acknowledged the “Report on the status of the Internal Control System on Financial Reporting - Management Report” regarding the certification campaign pursuant to the Law 262/05 of the consolidated and individual financial statements as at 31 December 2021, submitted to the Board of Directors on 15 February 2022. Compared to a total of No.407 companies fully consolidated, based on the criteria defined in the internal regulations, the companies subject to the 262-certification campaign amount to No.34 covering 98% of the Group Total Aggregated Assets (“GTAA”). The certification campaign as at 31 December 2021, which for UniCredit S.p.A. involved No.427 processes that undergo No.1,682 checks, and No.1,816 processes relating to the other Group companies on which there were a total No.5,448 checks, ended with the issuance of all the so-called “internal certifications” to the Manager in charge of preparing the financial statements of UniCredit S.p.A. by the corresponding managers of the other Group companies subject to the campaign. With reference to the points of attention that emerged for UniCredit S.p.A., the Board of Statutory Auditors noted the analyses carried out and recommended the Bank to proceed without delay to the necessary strengthening of the Group application for the campaign management. Regarding the improvement areas overall identified by the certification campaign, the Board of Statutory Auditors notes that they mainly concern: i) the definition of processes, roles, responsibilities, and identification of the structure responsible for some additional processes not yet defined/implemented, ii) the automation of processes/procedures to improve data production and control activities. The BoSA therefore recommended the continuation of the corrective measures planned by the Management (Group Remediation Plan), as part of the complete and correct maintenance of the administrative-accounting system. In the light of the information received and the analyses carried out, as mentioned below, the Board of Statutory Auditors considers that the administrative and accounting system in place is, on the whole, adequate to the requirements of the current reference regulations and is suitable of properly representing the management events. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 772 2021 Annual Report and Accounts · UniCredit With reference to KPMG S.p.A., as mentioned above, appointed as External Auditor for the 2022-2030 financial years, the Board of Statutory Auditors decided to supervise the assignment of additional services to such Company and its Network starting from 1 September 2021, agreeing with the Bank to issue specific internal regulations sent to be applied to all Group Companies. 7. Oversight of the financial information process For the purposes of overseeing the financial reporting processes, the Board of Statutory Auditors, in addition to the aforementioned in-depth analysis carried out with the External Auditors, which did not reveal significant critical issues of the internal control system concerning the financial reporting process, carried out the planned and periodic meetings with the Manager in charge of preparing the financial statements and the competent Accounting and Group Risk Management structures. The administrative and accounting procedures for drafting the half-yearly report and the Company and consolidated financial statements and all other financial information were set up under the responsibility of the Manager in charge of preparing the financial statements who, together with the CEO, attests that they are adequate and actually applied. As stated in the financial statements, Directive 2004/109/EC (the “Transparency Directive”) and Delegated Regulation (EU) 2019/815 introduced the obligation for issuers of securities listed on regulated markets in the European Union to draw up their annual financial report in the XHTML language, based on the European Single Electronic Format (ESEF) approved by ESMA. For the year 2021, it is expected that the consolidated financial statements will be “marked up” with the ESEF taxonomy, using an integrated computer language (iXBRL). Starting from 2022, the marking will also be extended to the information in the notes to the financial statements. During the above-mentioned periodic meetings, the Manager in charge of preparing the financial statements did not report any significant shortcomings in the operating and control processes that could undermine the overall adequacy and actual application of the administrative and accounting procedures, in order to correctly represent the economic, asset and financial aspects of the accounting events in compliance with international accounting standards. The Manager in charge of preparing the financial statements and the Chief Executive Officer signed the statements relating to the individual and consolidated financial statements at 31 December 2021, pursuant to article 81-ter of the Issuer Regulation, approved by Consob with Resolution 11971/1999 as amended and supplemented. The Board of Statutory Auditors noted the updates occurred in the internal regulations concerning the internal control system applicable to Financial Reporting and the Manual on Group accounting rules and principles, most recently approved by the Board of Directors at its meeting held on 18 January 2022. The Board of Statutory Auditors was regularly briefed on the initiatives regarding the accuracy of IT controls and processes and the automation of the input phases of the different processes, in order to streamline, by strengthening them, the processes and communicate the financial results to the market more efficiently. The Board of Statutory Auditors also therefore acknowledged the “Report on the status of the Internal Control System on Financial Reporting - Management Report” regarding the certification campaign pursuant to the Law 262/05 of the consolidated and individual financial statements as at 31 December 2021, submitted to the Board of Directors on 15 February 2022. Compared to a total of No.407 companies fully consolidated, based on the criteria defined in the internal regulations, the companies subject to the 262-certification campaign amount to No.34 covering 98% of the Group Total Aggregated Assets (“GTAA”). The certification campaign as at 31 December 2021, which for UniCredit S.p.A. involved No.427 processes that undergo No.1,682 checks, and No.1,816 processes relating to the other Group companies on which there were a total No.5,448 checks, ended with the issuance of all the so-called “internal certifications” to the Manager in charge of preparing the financial statements of UniCredit S.p.A. by the corresponding managers of the other Group companies subject to the campaign. With reference to the points of attention that emerged for UniCredit S.p.A., the Board of Statutory Auditors noted the analyses carried out and recommended the Bank to proceed without delay to the necessary strengthening of the Group application for the campaign management. Regarding the improvement areas overall identified by the certification campaign, the Board of Statutory Auditors notes that they mainly concern: i) the definition of processes, roles, responsibilities, and identification of the structure responsible for some additional processes not yet defined/implemented, ii) the automation of processes/procedures to improve data production and control activities. The BoSA therefore recommended the continuation of the corrective measures planned by the Management (Group Remediation Plan), as part of the complete and correct maintenance of the administrative-accounting system. In the light of the information received and the analyses carried out, as mentioned below, the Board of Statutory Auditors considers that the administrative and accounting system in place is, on the whole, adequate to the requirements of the current reference regulations and is suitable of properly representing the management events. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 773 The Board of Statutory Auditors noted the procedures carried out by the External Auditor requested by the Bank (“Agreed upon procedures”) as suggested by the Board of Statutory Auditors, regarding the preparation of the disclosure made with reference to 31 December 2021, by UniCredit S.p.A. in the information document of the UniCredit group drawn up pursuant to Regulation (EU) No.575/2013 (“Pillar III”), in relation to: (i) the processes and their first and second-level controls for: (a) the determination of the Own Funds and Banking Regulatory Ratios; (b) the determination of Risk Weighted Assets; (c) the preparation of the disclosure made in Pillar III; (ii) verifying the composition, the correct determination and the arithmetic correctness of certain information provided in Pillar III; (iii) the trend and consistency analysis of the Own Funds, Banking Regulatory Ratios and Risk Weighted Assets (RWA). The Board of Statutory Auditors believes, as in the previous years, that the above-described activity makes it possible to consider the internal regulatory framework adequate and updated, the design of the procedures and the control processes implemented sufficiently formalized and comprehensible, and the planned control activities (both first and second level) actually implemented and effective. It also contributes to the growth of the internal culture regarding the analysis of the phenomena underlying the formation of the Own Funds, as well as an ever-greater transparency towards the markets. With regard to activities related to the strengthening of the governance of data and information (Data Quality), as well as the strongest safeguards serving the decision-making and risk-control processes, a topic on which the Board of Statutory Auditors has long paid significant attention over time, during 2021 the BoSA requested an update on the Data Roadmap and the related multi-year strategic initiative called Umbrella Program. The program is led by the Group Risk Management, Group Finance and Group Digital & Information structures and concerns initiatives aimed at improving and strengthening Data Aggregation Capabilities, Data Architecture & Infrastructure and Data Governance within the Finance and Risk areas, in order to increase the accuracy of the Group’s data and the relative flexibility in data aggregation, to meet new or ad hoc regulatory requirements also in the context of stress scenarios, also considering the Supervisor’s recommendations. The Board of Statutory Auditors observed that the program of initiatives and actions foreseen by the Umbrella Program in the 2020-2026 period, at the end of the first two years of execution, is basically on track, and has so far allowed to solve about 40% of the root causes included in the entire program, including some resulted as a priority. The Board of Statutory Auditors observed that the re-organization launched by the Group in 2021 did not have any major impact on the Umbrella Program’s activities: the investments, updated and in line with the new Strategic Plan, continue in line with forecasts. The BoSA recommends that the incoming Control Body continues monitoring such program, focusing on the benefits resulting from the reinforcements carried out and on the periodic feedback by the Supervisor. Risks and uncertainty relating to the use of estimates As stated in the financial statements report, the current market environment continues to be affected by a risk of lower predictability of the macroeconomic projections, essentially arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery that may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macroeconomic projections as of 30 September 2021 reporting that GDP is showing positive growth rate for next years. Specifically, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks, and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. In the context of persisting uncertainty explained above and also considering the ESMA communication (“European common enforcement priorities for 2021 Annual Financial Reports”) which recalls the messages included in the corresponding document issued in 2020, including those related to the impairment test of assets, UniCredit group has defined different macroeconomic scenarios, to be used for the purposes of the evaluation processes of the company and consolidated financial statements as at 31 December 2021. Specifically, in addition to the “Baseline” scenario, which reflects the expectations considered most likely concerning macroeconomic trend, alternative scenarios have been outlined, that assume different trends of the main macroeconomic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of deferred tax assets, a worst-case scenario (called “Downturn”) was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios (“Positive” and “Negative” compared to the “Baseline” scenario) were defined, providing for different assessments regarding the expected parameters trend that may influence the assessment of the prospective credit risk. The results of such assessments may be subject to unpredictable changes depending on the pandemic evolution, the effect of the relief measures implemented and, ultimately, the existence and extent of economic recovery. Any deviation of the actual economic recovery from the assumptions underlying the assessments may require a re-calculation of the parameters used for the assessments, particularly with regard to future income flows, and the consequent assessments’ review. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 773 The Board of Statutory Auditors noted the procedures carried out by the External Auditor requested by the Bank (“Agreed upon procedures”) as suggested by the Board of Statutory Auditors, regarding the preparation of the disclosure made with reference to 31 December 2021, by UniCredit S.p.A. in the information document of the UniCredit group drawn up pursuant to Regulation (EU) No.575/2013 (“Pillar III”), in relation to: (i) the processes and their first and second-level controls for: (a) the determination of the Own Funds and Banking Regulatory Ratios; (b) the determination of Risk Weighted Assets; (c) the preparation of the disclosure made in Pillar III; (ii) verifying the composition, the correct determination and the arithmetic correctness of certain information provided in Pillar III; (iii) the trend and consistency analysis of the Own Funds, Banking Regulatory Ratios and Risk Weighted Assets (RWA). The Board of Statutory Auditors believes, as in the previous years, that the above-described activity makes it possible to consider the internal regulatory framework adequate and updated, the design of the procedures and the control processes implemented sufficiently formalized and comprehensible, and the planned control activities (both first and second level) actually implemented and effective. It also contributes to the growth of the internal culture regarding the analysis of the phenomena underlying the formation of the Own Funds, as well as an ever-greater transparency towards the markets. With regard to activities related to the strengthening of the governance of data and information (Data Quality), as well as the strongest safeguards serving the decision-making and risk-control processes, a topic on which the Board of Statutory Auditors has long paid significant attention over time, during 2021 the BoSA requested an update on the Data Roadmap and the related multi-year strategic initiative called Umbrella Program. The program is led by the Group Risk Management, Group Finance and Group Digital & Information structures and concerns initiatives aimed at improving and strengthening Data Aggregation Capabilities, Data Architecture & Infrastructure and Data Governance within the Finance and Risk areas, in order to increase the accuracy of the Group’s data and the relative flexibility in data aggregation, to meet new or ad hoc regulatory requirements also in the context of stress scenarios, also considering the Supervisor’s recommendations. The Board of Statutory Auditors observed that the program of initiatives and actions foreseen by the Umbrella Program in the 2020-2026 period, at the end of the first two years of execution, is basically on track, and has so far allowed to solve about 40% of the root causes included in the entire program, including some resulted as a priority. The Board of Statutory Auditors observed that the re-organization launched by the Group in 2021 did not have any major impact on the Umbrella Program’s activities: the investments, updated and in line with the new Strategic Plan, continue in line with forecasts. The BoSA recommends that the incoming Control Body continues monitoring such program, focusing on the benefits resulting from the reinforcements carried out and on the periodic feedback by the Supervisor. Risks and uncertainty relating to the use of estimates As stated in the financial statements report, the current market environment continues to be affected by a risk of lower predictability of the macroeconomic projections, essentially arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery that may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macroeconomic projections as of 30 September 2021 reporting that GDP is showing positive growth rate for next years. Specifically, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks, and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. In the context of persisting uncertainty explained above and also considering the ESMA communication (“European common enforcement priorities for 2021 Annual Financial Reports”) which recalls the messages included in the corresponding document issued in 2020, including those related to the impairment test of assets, UniCredit group has defined different macroeconomic scenarios, to be used for the purposes of the evaluation processes of the company and consolidated financial statements as at 31 December 2021. Specifically, in addition to the “Baseline” scenario, which reflects the expectations considered most likely concerning macroeconomic trend, alternative scenarios have been outlined, that assume different trends of the main macroeconomic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of deferred tax assets, a worst-case scenario (called “Downturn”) was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios (“Positive” and “Negative” compared to the “Baseline” scenario) were defined, providing for different assessments regarding the expected parameters trend that may influence the assessment of the prospective credit risk. The results of such assessments may be subject to unpredictable changes depending on the pandemic evolution, the effect of the relief measures implemented and, ultimately, the existence and extent of economic recovery. Any deviation of the actual economic recovery from the assumptions underlying the assessments may require a re-calculation of the parameters used for the assessments, particularly with regard to future income flows, and the consequent assessments’ review. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 773 The Board of Statutory Auditors noted the procedures carried out by the External Auditor requested by the Bank (“Agreed upon procedures”) as suggested by the Board of Statutory Auditors, regarding the preparation of the disclosure made with reference to 31 December 2021, by UniCredit S.p.A. in the information document of the UniCredit group drawn up pursuant to Regulation (EU) No.575/2013 (“Pillar III”), in relation to: (i) the processes and their first and second-level controls for: (a) the determination of the Own Funds and Banking Regulatory Ratios; (b) the determination of Risk Weighted Assets; (c) the preparation of the disclosure made in Pillar III; (ii) verifying the composition, the correct determination and the arithmetic correctness of certain information provided in Pillar III; (iii) the trend and consistency analysis of the Own Funds, Banking Regulatory Ratios and Risk Weighted Assets (RWA). The Board of Statutory Auditors believes, as in the previous years, that the above-described activity makes it possible to consider the internal regulatory framework adequate and updated, the design of the procedures and the control processes implemented sufficiently formalized and comprehensible, and the planned control activities (both first and second level) actually implemented and effective. It also contributes to the growth of the internal culture regarding the analysis of the phenomena underlying the formation of the Own Funds, as well as an ever-greater transparency towards the markets. With regard to activities related to the strengthening of the governance of data and information (Data Quality), as well as the strongest safeguards serving the decision-making and risk-control processes, a topic on which the Board of Statutory Auditors has long paid significant attention over time, during 2021 the BoSA requested an update on the Data Roadmap and the related multi-year strategic initiative called Umbrella Program. The program is led by the Group Risk Management, Group Finance and Group Digital & Information structures and concerns initiatives aimed at improving and strengthening Data Aggregation Capabilities, Data Architecture & Infrastructure and Data Governance within the Finance and Risk areas, in order to increase the accuracy of the Group’s data and the relative flexibility in data aggregation, to meet new or ad hoc regulatory requirements also in the context of stress scenarios, also considering the Supervisor’s recommendations. The Board of Statutory Auditors observed that the program of initiatives and actions foreseen by the Umbrella Program in the 2020-2026 period, at the end of the first two years of execution, is basically on track, and has so far allowed to solve about 40% of the root causes included in the entire program, including some resulted as a priority. The Board of Statutory Auditors observed that the re-organization launched by the Group in 2021 did not have any major impact on the Umbrella Program’s activities: the investments, updated and in line with the new Strategic Plan, continue in line with forecasts. The BoSA recommends that the incoming Control Body continues monitoring such program, focusing on the benefits resulting from the reinforcements carried out and on the periodic feedback by the Supervisor. Risks and uncertainty relating to the use of estimates As stated in the financial statements report, the current market environment continues to be affected by a risk of lower predictability of the macroeconomic projections, essentially arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery that may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macroeconomic projections as of 30 September 2021 reporting that GDP is showing positive growth rate for next years. Specifically, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks, and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. In the context of persisting uncertainty explained above and also considering the ESMA communication (“European common enforcement priorities for 2021 Annual Financial Reports”) which recalls the messages included in the corresponding document issued in 2020, including those related to the impairment test of assets, UniCredit group has defined different macroeconomic scenarios, to be used for the purposes of the evaluation processes of the company and consolidated financial statements as at 31 December 2021. Specifically, in addition to the “Baseline” scenario, which reflects the expectations considered most likely concerning macroeconomic trend, alternative scenarios have been outlined, that assume different trends of the main macroeconomic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of deferred tax assets, a worst-case scenario (called “Downturn”) was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios (“Positive” and “Negative” compared to the “Baseline” scenario) were defined, providing for different assessments regarding the expected parameters trend that may influence the assessment of the prospective credit risk. The results of such assessments may be subject to unpredictable changes depending on the pandemic evolution, the effect of the relief measures implemented and, ultimately, the existence and extent of economic recovery. Any deviation of the actual economic recovery from the assumptions underlying the assessments may require a re-calculation of the parameters used for the assessments, particularly with regard to future income flows, and the consequent assessments’ review. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 773 The Board of Statutory Auditors noted the procedures carried out by the External Auditor requested by the Bank (“Agreed upon procedures”) as suggested by the Board of Statutory Auditors, regarding the preparation of the disclosure made with reference to 31 December 2021, by UniCredit S.p.A. in the information document of the UniCredit group drawn up pursuant to Regulation (EU) No.575/2013 (“Pillar III”), in relation to: (i) the processes and their first and second-level controls for: (a) the determination of the Own Funds and Banking Regulatory Ratios; (b) the determination of Risk Weighted Assets; (c) the preparation of the disclosure made in Pillar III; (ii) verifying the composition, the correct determination and the arithmetic correctness of certain information provided in Pillar III; (iii) the trend and consistency analysis of the Own Funds, Banking Regulatory Ratios and Risk Weighted Assets (RWA). The Board of Statutory Auditors believes, as in the previous years, that the above-described activity makes it possible to consider the internal regulatory framework adequate and updated, the design of the procedures and the control processes implemented sufficiently formalized and comprehensible, and the planned control activities (both first and second level) actually implemented and effective. It also contributes to the growth of the internal culture regarding the analysis of the phenomena underlying the formation of the Own Funds, as well as an ever-greater transparency towards the markets. With regard to activities related to the strengthening of the governance of data and information (Data Quality), as well as the strongest safeguards serving the decision-making and risk-control processes, a topic on which the Board of Statutory Auditors has long paid significant attention over time, during 2021 the BoSA requested an update on the Data Roadmap and the related multi-year strategic initiative called Umbrella Program. The program is led by the Group Risk Management, Group Finance and Group Digital & Information structures and concerns initiatives aimed at improving and strengthening Data Aggregation Capabilities, Data Architecture & Infrastructure and Data Governance within the Finance and Risk areas, in order to increase the accuracy of the Group’s data and the relative flexibility in data aggregation, to meet new or ad hoc regulatory requirements also in the context of stress scenarios, also considering the Supervisor’s recommendations. The Board of Statutory Auditors observed that the program of initiatives and actions foreseen by the Umbrella Program in the 2020-2026 period, at the end of the first two years of execution, is basically on track, and has so far allowed to solve about 40% of the root causes included in the entire program, including some resulted as a priority. The Board of Statutory Auditors observed that the re-organization launched by the Group in 2021 did not have any major impact on the Umbrella Program’s activities: the investments, updated and in line with the new Strategic Plan, continue in line with forecasts. The BoSA recommends that the incoming Control Body continues monitoring such program, focusing on the benefits resulting from the reinforcements carried out and on the periodic feedback by the Supervisor. Risks and uncertainty relating to the use of estimates As stated in the financial statements report, the current market environment continues to be affected by a risk of lower predictability of the macroeconomic projections, essentially arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery that may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macroeconomic projections as of 30 September 2021 reporting that GDP is showing positive growth rate for next years. Specifically, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks, and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. In the context of persisting uncertainty explained above and also considering the ESMA communication (“European common enforcement priorities for 2021 Annual Financial Reports”) which recalls the messages included in the corresponding document issued in 2020, including those related to the impairment test of assets, UniCredit group has defined different macroeconomic scenarios, to be used for the purposes of the evaluation processes of the company and consolidated financial statements as at 31 December 2021. Specifically, in addition to the “Baseline” scenario, which reflects the expectations considered most likely concerning macroeconomic trend, alternative scenarios have been outlined, that assume different trends of the main macroeconomic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of deferred tax assets, a worst-case scenario (called “Downturn”) was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios (“Positive” and “Negative” compared to the “Baseline” scenario) were defined, providing for different assessments regarding the expected parameters trend that may influence the assessment of the prospective credit risk. The results of such assessments may be subject to unpredictable changes depending on the pandemic evolution, the effect of the relief measures implemented and, ultimately, the existence and extent of economic recovery. Any deviation of the actual economic recovery from the assumptions underlying the assessments may require a re-calculation of the parameters used for the assessments, particularly with regard to future income flows, and the consequent assessments’ review. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 773 The Board of Statutory Auditors noted the procedures carried out by the External Auditor requested by the Bank (“Agreed upon procedures”) as suggested by the Board of Statutory Auditors, regarding the preparation of the disclosure made with reference to 31 December 2021, by UniCredit S.p.A. in the information document of the UniCredit group drawn up pursuant to Regulation (EU) No.575/2013 (“Pillar III”), in relation to: (i) the processes and their first and second-level controls for: (a) the determination of the Own Funds and Banking Regulatory Ratios; (b) the determination of Risk Weighted Assets; (c) the preparation of the disclosure made in Pillar III; (ii) verifying the composition, the correct determination and the arithmetic correctness of certain information provided in Pillar III; (iii) the trend and consistency analysis of the Own Funds, Banking Regulatory Ratios and Risk Weighted Assets (RWA). The Board of Statutory Auditors believes, as in the previous years, that the above-described activity makes it possible to consider the internal regulatory framework adequate and updated, the design of the procedures and the control processes implemented sufficiently formalized and comprehensible, and the planned control activities (both first and second level) actually implemented and effective. It also contributes to the growth of the internal culture regarding the analysis of the phenomena underlying the formation of the Own Funds, as well as an ever-greater transparency towards the markets. With regard to activities related to the strengthening of the governance of data and information (Data Quality), as well as the strongest safeguards serving the decision-making and risk-control processes, a topic on which the Board of Statutory Auditors has long paid significant attention over time, during 2021 the BoSA requested an update on the Data Roadmap and the related multi-year strategic initiative called Umbrella Program. The program is led by the Group Risk Management, Group Finance and Group Digital & Information structures and concerns initiatives aimed at improving and strengthening Data Aggregation Capabilities, Data Architecture & Infrastructure and Data Governance within the Finance and Risk areas, in order to increase the accuracy of the Group’s data and the relative flexibility in data aggregation, to meet new or ad hoc regulatory requirements also in the context of stress scenarios, also considering the Supervisor’s recommendations. The Board of Statutory Auditors observed that the program of initiatives and actions foreseen by the Umbrella Program in the 2020-2026 period, at the end of the first two years of execution, is basically on track, and has so far allowed to solve about 40% of the root causes included in the entire program, including some resulted as a priority. The Board of Statutory Auditors observed that the re-organization launched by the Group in 2021 did not have any major impact on the Umbrella Program’s activities: the investments, updated and in line with the new Strategic Plan, continue in line with forecasts. The BoSA recommends that the incoming Control Body continues monitoring such program, focusing on the benefits resulting from the reinforcements carried out and on the periodic feedback by the Supervisor. Risks and uncertainty relating to the use of estimates As stated in the financial statements report, the current market environment continues to be affected by a risk of lower predictability of the macroeconomic projections, essentially arising from a substantial degree of uncertainty about the evolution of the pandemic and the consequent uncertainty of predicting timing and extent of the economic recovery that may occur in future periods. Such uncertainty is still persisting as at 31 December 2021 as also highlighted by ECB Macroeconomic projections as of 30 September 2021 reporting that GDP is showing positive growth rate for next years. Specifically, the projected increase in global growth shall be assessed against the backdrop of: (i) persistent supply bottlenecks, and (ii) low vaccine rates in many Eastern Europe countries. These factors act as headwinds to growth, and weigh especially on more fragile economies, where progress on vaccination remains limited. In the context of persisting uncertainty explained above and also considering the ESMA communication (“European common enforcement priorities for 2021 Annual Financial Reports”) which recalls the messages included in the corresponding document issued in 2020, including those related to the impairment test of assets, UniCredit group has defined different macroeconomic scenarios, to be used for the purposes of the evaluation processes of the company and consolidated financial statements as at 31 December 2021. Specifically, in addition to the “Baseline” scenario, which reflects the expectations considered most likely concerning macroeconomic trend, alternative scenarios have been outlined, that assume different trends of the main macroeconomic parameters (e.g. gross domestic product, interest rates); in this respect: • with reference to the sustainability test of deferred tax assets, a worst-case scenario (called “Downturn”) was defined, reflecting a downward forecast of the expected profitability of the business; • with reference to the valuation of credit exposures (IFRS9), two alternative scenarios (“Positive” and “Negative” compared to the “Baseline” scenario) were defined, providing for different assessments regarding the expected parameters trend that may influence the assessment of the prospective credit risk. The results of such assessments may be subject to unpredictable changes depending on the pandemic evolution, the effect of the relief measures implemented and, ultimately, the existence and extent of economic recovery. Any deviation of the actual economic recovery from the assumptions underlying the assessments may require a re-calculation of the parameters used for the assessments, particularly with regard to future income flows, and the consequent assessments’ review. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 774 2021 Annual Report and Accounts · UniCredit Estimating cash flows to determine the value in use of investments in subsidiaries As stated in the Notes to the Financial Statements, the set of projections employed for the impairment test of investments in subsidiaries as at 31 December 2021 was based on two alternative scenarios mentioned above (“Baseline” and “Downturn”); the calculation of the value in use for impairment testing purposes was carried out using a Dividend Discount Model (DDM) and the results of the two scenarios were weighed differently to detect their different probability of taking place. A sensitivity analysis of the test result was then carried out as the weightings assigned to the two scenarios changed. The impairment test of investments in subsidiaries as at 31 December 2021 led, overall, to a write-back of previous impairments for €7,930 million in the company’s balance sheet. It should be noted that the parameters and information used to verify the recoverability of the carrying values (in particular, the expected cash flows for the various subsidiaries, and the discount rates applied) are significantly influenced by the macroeconomic and market situation, which may be subject to to changes which are not currently predictable. The effect of these changes, as well as changes in corporate strategies, could therefore lead in the coming reporting periods to a review of the estimated cash flows of the various subsidiaries and of the assumptions on the main financial parameters (discount rates, expected growth rates, Common Equity Tier 1 ratio, etc.), which could have an impact on the results of future impairment tests. Measurement of Real estate portfolio As stated in the financial statements report, starting from 31 December 2019, the Group changed its accounting policy for the measurement of real estate properties moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For these assets, on 31 December 2021, the fair value has been determined through external appraisals. In this context, as also indicated in the financial statements report, the Board of Statutory Auditors points out that in the upcoming financial years, the fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures, aimed at containing the Covid-19 pandemic, will be lifted. Valuation of Credit Exposures The slow-down of the economic activity resulting from the Covid-19 pandemic and the associated containment measures, as also indicated in the financial statements report, has also affected the estimates of the recoverability of credit exposures and the calculation of related credit risk adjustments. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, inter alia, forward looking information and the expected evolution of the macroeconomic scenario. In this context, the Board of Statutory Auditors points out that the Group has updated the macroeconomic scenarios adopted for the preparation of the financial statements as at 31 December 2021, considering, in addition to a Baseline scenario, a negative scenario and a positive scenario, by applying proper weighting factors to them, which are detailed in the financial statements report. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the Baseline scenario and the positive scenario have been kept at 55% and 5% respectively. Net write-downs on loans and provisions for guarantees and commitments of the Group in 2021 amounted to €1,634 million, compared to €4,996 million of 2020 (down by 67.3% or down by 67.3% at constant exchange rates). Such trend was positively impacted by the dynamic of the non-performing loans portfolio, with Italy being able to benefit from lower default flows and Germany which recorded recoveries on corporate counterparties. At the same time, €131 million of writebacks were recognized following the update of the IFRS9 macroeconomic scenario; particularly recoveries were booked in the second quarter of 2021, while in the fourth quarter the Bank adopted a managerial overlay aimed at granting a substantial neutrality resulting from the impact of the macroeconomic scenarios, considering the uncertainty related to the pandemic evolution. Lastly, it should be noted that the cost of risk in 2021 was 37bps, compared to 105bps in 2020. In detail, Italy shows a cost of risk of 55bps, an improvement of -81bps compared to the previous year. Other measurements Additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 774 2021 Annual Report and Accounts · UniCredit Estimating cash flows to determine the value in use of investments in subsidiaries As stated in the Notes to the Financial Statements, the set of projections employed for the impairment test of investments in subsidiaries as at 31 December 2021 was based on two alternative scenarios mentioned above (“Baseline” and “Downturn”); the calculation of the value in use for impairment testing purposes was carried out using a Dividend Discount Model (DDM) and the results of the two scenarios were weighed differently to detect their different probability of taking place. A sensitivity analysis of the test result was then carried out as the weightings assigned to the two scenarios changed. The impairment test of investments in subsidiaries as at 31 December 2021 led, overall, to a write-back of previous impairments for €7,930 million in the company’s balance sheet. It should be noted that the parameters and information used to verify the recoverability of the carrying values (in particular, the expected cash flows for the various subsidiaries, and the discount rates applied) are significantly influenced by the macroeconomic and market situation, which may be subject to to changes which are not currently predictable. The effect of these changes, as well as changes in corporate strategies, could therefore lead in the coming reporting periods to a review of the estimated cash flows of the various subsidiaries and of the assumptions on the main financial parameters (discount rates, expected growth rates, Common Equity Tier 1 ratio, etc.), which could have an impact on the results of future impairment tests. Measurement of Real estate portfolio As stated in the financial statements report, starting from 31 December 2019, the Group changed its accounting policy for the measurement of real estate properties moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For these assets, on 31 December 2021, the fair value has been determined through external appraisals. In this context, as also indicated in the financial statements report, the Board of Statutory Auditors points out that in the upcoming financial years, the fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures, aimed at containing the Covid-19 pandemic, will be lifted. Valuation of Credit Exposures The slow-down of the economic activity resulting from the Covid-19 pandemic and the associated containment measures, as also indicated in the financial statements report, has also affected the estimates of the recoverability of credit exposures and the calculation of related credit risk adjustments. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, inter alia, forward looking information and the expected evolution of the macroeconomic scenario. In this context, the Board of Statutory Auditors points out that the Group has updated the macroeconomic scenarios adopted for the preparation of the financial statements as at 31 December 2021, considering, in addition to a Baseline scenario, a negative scenario and a positive scenario, by applying proper weighting factors to them, which are detailed in the financial statements report. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the Baseline scenario and the positive scenario have been kept at 55% and 5% respectively. Net write-downs on loans and provisions for guarantees and commitments of the Group in 2021 amounted to €1,634 million, compared to €4,996 million of 2020 (down by 67.3% or down by 67.3% at constant exchange rates). Such trend was positively impacted by the dynamic of the non-performing loans portfolio, with Italy being able to benefit from lower default flows and Germany which recorded recoveries on corporate counterparties. At the same time, €131 million of writebacks were recognized following the update of the IFRS9 macroeconomic scenario; particularly recoveries were booked in the second quarter of 2021, while in the fourth quarter the Bank adopted a managerial overlay aimed at granting a substantial neutrality resulting from the impact of the macroeconomic scenarios, considering the uncertainty related to the pandemic evolution. Lastly, it should be noted that the cost of risk in 2021 was 37bps, compared to 105bps in 2020. In detail, Italy shows a cost of risk of 55bps, an improvement of -81bps compared to the previous year. Other measurements Additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 774 2021 Annual Report and Accounts · UniCredit Estimating cash flows to determine the value in use of investments in subsidiaries As stated in the Notes to the Financial Statements, the set of projections employed for the impairment test of investments in subsidiaries as at 31 December 2021 was based on two alternative scenarios mentioned above (“Baseline” and “Downturn”); the calculation of the value in use for impairment testing purposes was carried out using a Dividend Discount Model (DDM) and the results of the two scenarios were weighed differently to detect their different probability of taking place. A sensitivity analysis of the test result was then carried out as the weightings assigned to the two scenarios changed. The impairment test of investments in subsidiaries as at 31 December 2021 led, overall, to a write-back of previous impairments for €7,930 million in the company’s balance sheet. It should be noted that the parameters and information used to verify the recoverability of the carrying values (in particular, the expected cash flows for the various subsidiaries, and the discount rates applied) are significantly influenced by the macroeconomic and market situation, which may be subject to to changes which are not currently predictable. The effect of these changes, as well as changes in corporate strategies, could therefore lead in the coming reporting periods to a review of the estimated cash flows of the various subsidiaries and of the assumptions on the main financial parameters (discount rates, expected growth rates, Common Equity Tier 1 ratio, etc.), which could have an impact on the results of future impairment tests. Measurement of Real estate portfolio As stated in the financial statements report, starting from 31 December 2019, the Group changed its accounting policy for the measurement of real estate properties moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For these assets, on 31 December 2021, the fair value has been determined through external appraisals. In this context, as also indicated in the financial statements report, the Board of Statutory Auditors points out that in the upcoming financial years, the fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures, aimed at containing the Covid-19 pandemic, will be lifted. Valuation of Credit Exposures The slow-down of the economic activity resulting from the Covid-19 pandemic and the associated containment measures, as also indicated in the financial statements report, has also affected the estimates of the recoverability of credit exposures and the calculation of related credit risk adjustments. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, inter alia, forward looking information and the expected evolution of the macroeconomic scenario. In this context, the Board of Statutory Auditors points out that the Group has updated the macroeconomic scenarios adopted for the preparation of the financial statements as at 31 December 2021, considering, in addition to a Baseline scenario, a negative scenario and a positive scenario, by applying proper weighting factors to them, which are detailed in the financial statements report. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the Baseline scenario and the positive scenario have been kept at 55% and 5% respectively. Net write-downs on loans and provisions for guarantees and commitments of the Group in 2021 amounted to €1,634 million, compared to €4,996 million of 2020 (down by 67.3% or down by 67.3% at constant exchange rates). Such trend was positively impacted by the dynamic of the non-performing loans portfolio, with Italy being able to benefit from lower default flows and Germany which recorded recoveries on corporate counterparties. At the same time, €131 million of writebacks were recognized following the update of the IFRS9 macroeconomic scenario; particularly recoveries were booked in the second quarter of 2021, while in the fourth quarter the Bank adopted a managerial overlay aimed at granting a substantial neutrality resulting from the impact of the macroeconomic scenarios, considering the uncertainty related to the pandemic evolution. Lastly, it should be noted that the cost of risk in 2021 was 37bps, compared to 105bps in 2020. In detail, Italy shows a cost of risk of 55bps, an improvement of -81bps compared to the previous year. Other measurements Additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 774 2021 Annual Report and Accounts · UniCredit Estimating cash flows to determine the value in use of investments in subsidiaries As stated in the Notes to the Financial Statements, the set of projections employed for the impairment test of investments in subsidiaries as at 31 December 2021 was based on two alternative scenarios mentioned above (“Baseline” and “Downturn”); the calculation of the value in use for impairment testing purposes was carried out using a Dividend Discount Model (DDM) and the results of the two scenarios were weighed differently to detect their different probability of taking place. A sensitivity analysis of the test result was then carried out as the weightings assigned to the two scenarios changed. The impairment test of investments in subsidiaries as at 31 December 2021 led, overall, to a write-back of previous impairments for €7,930 million in the company’s balance sheet. It should be noted that the parameters and information used to verify the recoverability of the carrying values (in particular, the expected cash flows for the various subsidiaries, and the discount rates applied) are significantly influenced by the macroeconomic and market situation, which may be subject to to changes which are not currently predictable. The effect of these changes, as well as changes in corporate strategies, could therefore lead in the coming reporting periods to a review of the estimated cash flows of the various subsidiaries and of the assumptions on the main financial parameters (discount rates, expected growth rates, Common Equity Tier 1 ratio, etc.), which could have an impact on the results of future impairment tests. Measurement of Real estate portfolio As stated in the financial statements report, starting from 31 December 2019, the Group changed its accounting policy for the measurement of real estate properties moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For these assets, on 31 December 2021, the fair value has been determined through external appraisals. In this context, as also indicated in the financial statements report, the Board of Statutory Auditors points out that in the upcoming financial years, the fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures, aimed at containing the Covid-19 pandemic, will be lifted. Valuation of Credit Exposures The slow-down of the economic activity resulting from the Covid-19 pandemic and the associated containment measures, as also indicated in the financial statements report, has also affected the estimates of the recoverability of credit exposures and the calculation of related credit risk adjustments. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, inter alia, forward looking information and the expected evolution of the macroeconomic scenario. In this context, the Board of Statutory Auditors points out that the Group has updated the macroeconomic scenarios adopted for the preparation of the financial statements as at 31 December 2021, considering, in addition to a Baseline scenario, a negative scenario and a positive scenario, by applying proper weighting factors to them, which are detailed in the financial statements report. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the Baseline scenario and the positive scenario have been kept at 55% and 5% respectively. Net write-downs on loans and provisions for guarantees and commitments of the Group in 2021 amounted to €1,634 million, compared to €4,996 million of 2020 (down by 67.3% or down by 67.3% at constant exchange rates). Such trend was positively impacted by the dynamic of the non-performing loans portfolio, with Italy being able to benefit from lower default flows and Germany which recorded recoveries on corporate counterparties. At the same time, €131 million of writebacks were recognized following the update of the IFRS9 macroeconomic scenario; particularly recoveries were booked in the second quarter of 2021, while in the fourth quarter the Bank adopted a managerial overlay aimed at granting a substantial neutrality resulting from the impact of the macroeconomic scenarios, considering the uncertainty related to the pandemic evolution. Lastly, it should be noted that the cost of risk in 2021 was 37bps, compared to 105bps in 2020. In detail, Italy shows a cost of risk of 55bps, an improvement of -81bps compared to the previous year. Other measurements Additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 774 2021 Annual Report and Accounts · UniCredit Estimating cash flows to determine the value in use of investments in subsidiaries As stated in the Notes to the Financial Statements, the set of projections employed for the impairment test of investments in subsidiaries as at 31 December 2021 was based on two alternative scenarios mentioned above (“Baseline” and “Downturn”); the calculation of the value in use for impairment testing purposes was carried out using a Dividend Discount Model (DDM) and the results of the two scenarios were weighed differently to detect their different probability of taking place. A sensitivity analysis of the test result was then carried out as the weightings assigned to the two scenarios changed. The impairment test of investments in subsidiaries as at 31 December 2021 led, overall, to a write-back of previous impairments for €7,930 million in the company’s balance sheet. It should be noted that the parameters and information used to verify the recoverability of the carrying values (in particular, the expected cash flows for the various subsidiaries, and the discount rates applied) are significantly influenced by the macroeconomic and market situation, which may be subject to to changes which are not currently predictable. The effect of these changes, as well as changes in corporate strategies, could therefore lead in the coming reporting periods to a review of the estimated cash flows of the various subsidiaries and of the assumptions on the main financial parameters (discount rates, expected growth rates, Common Equity Tier 1 ratio, etc.), which could have an impact on the results of future impairment tests. Measurement of Real estate portfolio As stated in the financial statements report, starting from 31 December 2019, the Group changed its accounting policy for the measurement of real estate properties moving from a cost model to a fair value model for properties held for investment and revaluation model for properties used in business. For these assets, on 31 December 2021, the fair value has been determined through external appraisals. In this context, as also indicated in the financial statements report, the Board of Statutory Auditors points out that in the upcoming financial years, the fair value of these assets might be different from the fair value observed as at 31 December 2021 as a result of the possible evolution of real estate market which will also depend on the new practice, in terms of remote working, that could prevail once the lock-down measures, aimed at containing the Covid-19 pandemic, will be lifted. Valuation of Credit Exposures The slow-down of the economic activity resulting from the Covid-19 pandemic and the associated containment measures, as also indicated in the financial statements report, has also affected the estimates of the recoverability of credit exposures and the calculation of related credit risk adjustments. In this regard it must be noted that the amount of loan loss provisions is determined considering the classification, current and expected, of credit exposures as non-performing, the sale prices, for those non performing exposure whose recovery is expected through sale to external counterparties, and credit parameters (Probability of Default, Loss Given Default and Exposure at Default) which, in accordance with IFRS9, incorporates, inter alia, forward looking information and the expected evolution of the macroeconomic scenario. In this context, the Board of Statutory Auditors points out that the Group has updated the macroeconomic scenarios adopted for the preparation of the financial statements as at 31 December 2021, considering, in addition to a Baseline scenario, a negative scenario and a positive scenario, by applying proper weighting factors to them, which are detailed in the financial statements report. Considering the persisting uncertainty and in continuity with the assumptions used for the preparation of Year’s end 2020 financial statements, the probability of the negative scenario in December 2021 has been kept at 40% so to incorporate the risks of downturns. The probabilities used for the Baseline scenario and the positive scenario have been kept at 55% and 5% respectively. Net write-downs on loans and provisions for guarantees and commitments of the Group in 2021 amounted to €1,634 million, compared to €4,996 million of 2020 (down by 67.3% or down by 67.3% at constant exchange rates). Such trend was positively impacted by the dynamic of the non-performing loans portfolio, with Italy being able to benefit from lower default flows and Germany which recorded recoveries on corporate counterparties. At the same time, €131 million of writebacks were recognized following the update of the IFRS9 macroeconomic scenario; particularly recoveries were booked in the second quarter of 2021, while in the fourth quarter the Bank adopted a managerial overlay aimed at granting a substantial neutrality resulting from the impact of the macroeconomic scenarios, considering the uncertainty related to the pandemic evolution. Lastly, it should be noted that the cost of risk in 2021 was 37bps, compared to 105bps in 2020. In detail, Italy shows a cost of risk of 55bps, an improvement of -81bps compared to the previous year. Other measurements Additional Balance sheet items might be significantly affected in their evaluation by risks and uncertainties, even if not directly connected with the slow-down of the economic activity and the associated uncertainty level of the economic recovery: • fair value of financial instruments not listed in active markets; • severance pay (in Italy) and other employee’s benefits (including defined benefit obligation); • provisions for risks and charges. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 775 While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Group and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Group operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Group operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. With regard to the above-mentioned aspects, the Board of Statutory Auditors has carried out the necessary in-depth analyses with the relevant Functions and with the External Auditors. It is worth pointing out that the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the existence and degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, inter alia, the ability of customers to pay off their debt, once the moratorium measures adopted have expired, will become important. Lastly, developments in the real estate market may affect the value of the properties received as collateral and may require an adjustment of the loan loss provisions. Although following the approval date of the financial statements by the Directors, it is considered appropriate to recall here the possible consequences of Russia’s decision to start a large-scale invasion of Ukraine, carried out starting from 24 February 2022, which, together with the reactions by many countries and the European Union in terms of economic and financial sanctions, appears to cause a situation of uncertainty on the macroeconomic level, on exchange rates, on energy and raw material costs, on trade, on inflation expectations, on the debt cost, and on credit risks. Uncertainties are also present on the policies that will be followed by the central banks and in particular by the European Central Bank. More generally, geopolitical tensions appear likely to influence the expectations and behavior of economic players and radically change the macroeconomic outlook. Specific consequences may also affect the valuations of the UniCredit group’s Companies based in Russia as well as the Group’s credit positions towards Russian residents, and positions in derivative instruments, as highlighted in the Bank’s press release dated 8 March 2022, where UniCredit specified how the Bank is continuing to dynamically manage the risk exposure, whilst constantly assessing the potential impact of the conflict on global GDP and public policies. Lastly, it should be noted that, unlike what happened in the previous year, as stated, the 2021 financial year closed with a net profit of UniCredit S.p.A. of €10.366 million; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits did not occur again. The financial statements report contains detailed information on any liabilities and costs that may arise from pending legal proceedings. The Board of Statutory Auditors, together with the relevant Functions of the Bank, has examined in detail the methodology and process adopted in the analysis of litigation, and in the analysis and assessment of provisions for risks and charges, and has requested to be periodically and promptly updated on the evolution of the main situations. To provide for possible liabilities and costs that may result from pending legal proceedings (excluding labour law and tax cases), as at 31 December 2021, UniCredit group set aside a provision for risks and charges of €688.4 million, of which €428.1 million for the parent company UniCredit S.p.A. The Notes to the consolidated accounts also update on the proceedings relating to: • Financial sanctions matters. Following the settlement in April 2019, the U.S. and New York Authorities require an annual external review regarding the evolution of the process implementation. In light of the request, in 2020 the Group appointed an external independent consultant. Following the interaction with the independent consultant and also considering the mandatory commitments towards the Authorities, the parent company UniCredit S.p.A., UCB AG and UCB Austria AG have implemented additional requirements and controls, about which the banks make periodic reports to the Authorities. • Squeeze-Out of UCB AG and UCB Austria’s former minority shareholders (so-called Appraisal Proceeding). In 2008, approximately 300 former minority shareholders of UCB AG filed a request before the District Court of Munich to have a review of the price paid to them by the parent company UniCredit S.p.A., equal to €38.26 per share, in the context of the squeeze out of minority shareholders (Appraisal Proceeding). The dispute mainly concerns the valuation of UCB AG, which is the basis for the calculation of the price to be paid to the former minority shareholders. At present, the proceeding is pending in the first instance. With reference to UCB Austria, in 2008, approximately 70 former minority shareholders of UCB Austria commenced proceedings before the Commercial Court of Vienna claiming that the squeeze-out price paid to them, equal to €129.4 per share, was inadequate, and asking the Court to review the adequacy of the amount paid (Appraisal Proceeding). At present the proceeding is pending in the first instance. At the same time, five contentious proceedings, in which plaintiffs claim damages, have been initiated, involving however only insignificant amounts in dispute. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 775 While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Group and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Group operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Group operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. With regard to the above-mentioned aspects, the Board of Statutory Auditors has carried out the necessary in-depth analyses with the relevant Functions and with the External Auditors. It is worth pointing out that the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the existence and degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, inter alia, the ability of customers to pay off their debt, once the moratorium measures adopted have expired, will become important. Lastly, developments in the real estate market may affect the value of the properties received as collateral and may require an adjustment of the loan loss provisions. Although following the approval date of the financial statements by the Directors, it is considered appropriate to recall here the possible consequences of Russia’s decision to start a large-scale invasion of Ukraine, carried out starting from 24 February 2022, which, together with the reactions by many countries and the European Union in terms of economic and financial sanctions, appears to cause a situation of uncertainty on the macroeconomic level, on exchange rates, on energy and raw material costs, on trade, on inflation expectations, on the debt cost, and on credit risks. Uncertainties are also present on the policies that will be followed by the central banks and in particular by the European Central Bank. More generally, geopolitical tensions appear likely to influence the expectations and behavior of economic players and radically change the macroeconomic outlook. Specific consequences may also affect the valuations of the UniCredit group’s Companies based in Russia as well as the Group’s credit positions towards Russian residents, and positions in derivative instruments, as highlighted in the Bank’s press release dated 8 March 2022, where UniCredit specified how the Bank is continuing to dynamically manage the risk exposure, whilst constantly assessing the potential impact of the conflict on global GDP and public policies. Lastly, it should be noted that, unlike what happened in the previous year, as stated, the 2021 financial year closed with a net profit of UniCredit S.p.A. of €10.366 million; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits did not occur again. The financial statements report contains detailed information on any liabilities and costs that may arise from pending legal proceedings. The Board of Statutory Auditors, together with the relevant Functions of the Bank, has examined in detail the methodology and process adopted in the analysis of litigation, and in the analysis and assessment of provisions for risks and charges, and has requested to be periodically and promptly updated on the evolution of the main situations. To provide for possible liabilities and costs that may result from pending legal proceedings (excluding labour law and tax cases), as at 31 December 2021, UniCredit group set aside a provision for risks and charges of €688.4 million, of which €428.1 million for the parent company UniCredit S.p.A. The Notes to the consolidated accounts also update on the proceedings relating to: • Financial sanctions matters. Following the settlement in April 2019, the U.S. and New York Authorities require an annual external review regarding the evolution of the process implementation. In light of the request, in 2020 the Group appointed an external independent consultant. Following the interaction with the independent consultant and also considering the mandatory commitments towards the Authorities, the parent company UniCredit S.p.A., UCB AG and UCB Austria AG have implemented additional requirements and controls, about which the banks make periodic reports to the Authorities. • Squeeze-Out of UCB AG and UCB Austria’s former minority shareholders (so-called Appraisal Proceeding). In 2008, approximately 300 former minority shareholders of UCB AG filed a request before the District Court of Munich to have a review of the price paid to them by the parent company UniCredit S.p.A., equal to €38.26 per share, in the context of the squeeze out of minority shareholders (Appraisal Proceeding). The dispute mainly concerns the valuation of UCB AG, which is the basis for the calculation of the price to be paid to the former minority shareholders. At present, the proceeding is pending in the first instance. With reference to UCB Austria, in 2008, approximately 70 former minority shareholders of UCB Austria commenced proceedings before the Commercial Court of Vienna claiming that the squeeze-out price paid to them, equal to €129.4 per share, was inadequate, and asking the Court to review the adequacy of the amount paid (Appraisal Proceeding). At present the proceeding is pending in the first instance. At the same time, five contentious proceedings, in which plaintiffs claim damages, have been initiated, involving however only insignificant amounts in dispute. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 775 While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Group and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Group operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Group operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. With regard to the above-mentioned aspects, the Board of Statutory Auditors has carried out the necessary in-depth analyses with the relevant Functions and with the External Auditors. It is worth pointing out that the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the existence and degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, inter alia, the ability of customers to pay off their debt, once the moratorium measures adopted have expired, will become important. Lastly, developments in the real estate market may affect the value of the properties received as collateral and may require an adjustment of the loan loss provisions. Although following the approval date of the financial statements by the Directors, it is considered appropriate to recall here the possible consequences of Russia’s decision to start a large-scale invasion of Ukraine, carried out starting from 24 February 2022, which, together with the reactions by many countries and the European Union in terms of economic and financial sanctions, appears to cause a situation of uncertainty on the macroeconomic level, on exchange rates, on energy and raw material costs, on trade, on inflation expectations, on the debt cost, and on credit risks. Uncertainties are also present on the policies that will be followed by the central banks and in particular by the European Central Bank. More generally, geopolitical tensions appear likely to influence the expectations and behavior of economic players and radically change the macroeconomic outlook. Specific consequences may also affect the valuations of the UniCredit group’s Companies based in Russia as well as the Group’s credit positions towards Russian residents, and positions in derivative instruments, as highlighted in the Bank’s press release dated 8 March 2022, where UniCredit specified how the Bank is continuing to dynamically manage the risk exposure, whilst constantly assessing the potential impact of the conflict on global GDP and public policies. Lastly, it should be noted that, unlike what happened in the previous year, as stated, the 2021 financial year closed with a net profit of UniCredit S.p.A. of €10.366 million; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits did not occur again. The financial statements report contains detailed information on any liabilities and costs that may arise from pending legal proceedings. The Board of Statutory Auditors, together with the relevant Functions of the Bank, has examined in detail the methodology and process adopted in the analysis of litigation, and in the analysis and assessment of provisions for risks and charges, and has requested to be periodically and promptly updated on the evolution of the main situations. To provide for possible liabilities and costs that may result from pending legal proceedings (excluding labour law and tax cases), as at 31 December 2021, UniCredit group set aside a provision for risks and charges of €688.4 million, of which €428.1 million for the parent company UniCredit S.p.A. The Notes to the consolidated accounts also update on the proceedings relating to: • Financial sanctions matters. Following the settlement in April 2019, the U.S. and New York Authorities require an annual external review regarding the evolution of the process implementation. In light of the request, in 2020 the Group appointed an external independent consultant. Following the interaction with the independent consultant and also considering the mandatory commitments towards the Authorities, the parent company UniCredit S.p.A., UCB AG and UCB Austria AG have implemented additional requirements and controls, about which the banks make periodic reports to the Authorities. • Squeeze-Out of UCB AG and UCB Austria’s former minority shareholders (so-called Appraisal Proceeding). In 2008, approximately 300 former minority shareholders of UCB AG filed a request before the District Court of Munich to have a review of the price paid to them by the parent company UniCredit S.p.A., equal to €38.26 per share, in the context of the squeeze out of minority shareholders (Appraisal Proceeding). The dispute mainly concerns the valuation of UCB AG, which is the basis for the calculation of the price to be paid to the former minority shareholders. At present, the proceeding is pending in the first instance. With reference to UCB Austria, in 2008, approximately 70 former minority shareholders of UCB Austria commenced proceedings before the Commercial Court of Vienna claiming that the squeeze-out price paid to them, equal to €129.4 per share, was inadequate, and asking the Court to review the adequacy of the amount paid (Appraisal Proceeding). At present the proceeding is pending in the first instance. At the same time, five contentious proceedings, in which plaintiffs claim damages, have been initiated, involving however only insignificant amounts in dispute. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 775 While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Group and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Group operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Group operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. With regard to the above-mentioned aspects, the Board of Statutory Auditors has carried out the necessary in-depth analyses with the relevant Functions and with the External Auditors. It is worth pointing out that the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the existence and degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, inter alia, the ability of customers to pay off their debt, once the moratorium measures adopted have expired, will become important. Lastly, developments in the real estate market may affect the value of the properties received as collateral and may require an adjustment of the loan loss provisions. Although following the approval date of the financial statements by the Directors, it is considered appropriate to recall here the possible consequences of Russia’s decision to start a large-scale invasion of Ukraine, carried out starting from 24 February 2022, which, together with the reactions by many countries and the European Union in terms of economic and financial sanctions, appears to cause a situation of uncertainty on the macroeconomic level, on exchange rates, on energy and raw material costs, on trade, on inflation expectations, on the debt cost, and on credit risks. Uncertainties are also present on the policies that will be followed by the central banks and in particular by the European Central Bank. More generally, geopolitical tensions appear likely to influence the expectations and behavior of economic players and radically change the macroeconomic outlook. Specific consequences may also affect the valuations of the UniCredit group’s Companies based in Russia as well as the Group’s credit positions towards Russian residents, and positions in derivative instruments, as highlighted in the Bank’s press release dated 8 March 2022, where UniCredit specified how the Bank is continuing to dynamically manage the risk exposure, whilst constantly assessing the potential impact of the conflict on global GDP and public policies. Lastly, it should be noted that, unlike what happened in the previous year, as stated, the 2021 financial year closed with a net profit of UniCredit S.p.A. of €10.366 million; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits did not occur again. The financial statements report contains detailed information on any liabilities and costs that may arise from pending legal proceedings. The Board of Statutory Auditors, together with the relevant Functions of the Bank, has examined in detail the methodology and process adopted in the analysis of litigation, and in the analysis and assessment of provisions for risks and charges, and has requested to be periodically and promptly updated on the evolution of the main situations. To provide for possible liabilities and costs that may result from pending legal proceedings (excluding labour law and tax cases), as at 31 December 2021, UniCredit group set aside a provision for risks and charges of €688.4 million, of which €428.1 million for the parent company UniCredit S.p.A. The Notes to the consolidated accounts also update on the proceedings relating to: • Financial sanctions matters. Following the settlement in April 2019, the U.S. and New York Authorities require an annual external review regarding the evolution of the process implementation. In light of the request, in 2020 the Group appointed an external independent consultant. Following the interaction with the independent consultant and also considering the mandatory commitments towards the Authorities, the parent company UniCredit S.p.A., UCB AG and UCB Austria AG have implemented additional requirements and controls, about which the banks make periodic reports to the Authorities. • Squeeze-Out of UCB AG and UCB Austria’s former minority shareholders (so-called Appraisal Proceeding). In 2008, approximately 300 former minority shareholders of UCB AG filed a request before the District Court of Munich to have a review of the price paid to them by the parent company UniCredit S.p.A., equal to €38.26 per share, in the context of the squeeze out of minority shareholders (Appraisal Proceeding). The dispute mainly concerns the valuation of UCB AG, which is the basis for the calculation of the price to be paid to the former minority shareholders. At present, the proceeding is pending in the first instance. With reference to UCB Austria, in 2008, approximately 70 former minority shareholders of UCB Austria commenced proceedings before the Commercial Court of Vienna claiming that the squeeze-out price paid to them, equal to €129.4 per share, was inadequate, and asking the Court to review the adequacy of the amount paid (Appraisal Proceeding). At present the proceeding is pending in the first instance. At the same time, five contentious proceedings, in which plaintiffs claim damages, have been initiated, involving however only insignificant amounts in dispute. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 775 While evaluations have been made on the basis of information deemed to be reasonable and supportable as at 31 December 2021, they might be subject to changes not foreseeable at the moment, as a result of the evolution in the parameters used for the evaluation. Furthermore, the following factors, in addition to those illustrated above, might influence the future results of the Group and cause outcomes materially different from those deriving from the valuations: (1) general economic and industrial conditions of the regions in which the Group operates or holds significant investments; (2) exposure to various market risks (e.g. foreign exchange risk); (3) political instability in the areas in which the Group operates or holds significant investments; (4) legislative, regulatory and tax changes, including regulatory capital and liquidity requirements, also taking into account Brexit and increased regulation in response to the financial crisis. Other unknown and unforeseeable factors could determine material deviations between actual and expected results. With regard to the above-mentioned aspects, the Board of Statutory Auditors has carried out the necessary in-depth analyses with the relevant Functions and with the External Auditors. It is worth pointing out that the measurement is affected by the already mentioned degree of uncertainty on the evolution of the pandemic, the effect of the relief measures and, ultimately, the existence and degree of economic recovery. The evolution of these factors may, indeed, require in future financial years the classification of additional credit exposures as non-performing thus determining the recognition of additional loan loss provisions related to both these exposures as well as performing exposures following the update in credit parameters. In this context it will be relevant, inter alia, the ability of customers to pay off their debt, once the moratorium measures adopted have expired, will become important. Lastly, developments in the real estate market may affect the value of the properties received as collateral and may require an adjustment of the loan loss provisions. Although following the approval date of the financial statements by the Directors, it is considered appropriate to recall here the possible consequences of Russia’s decision to start a large-scale invasion of Ukraine, carried out starting from 24 February 2022, which, together with the reactions by many countries and the European Union in terms of economic and financial sanctions, appears to cause a situation of uncertainty on the macroeconomic level, on exchange rates, on energy and raw material costs, on trade, on inflation expectations, on the debt cost, and on credit risks. Uncertainties are also present on the policies that will be followed by the central banks and in particular by the European Central Bank. More generally, geopolitical tensions appear likely to influence the expectations and behavior of economic players and radically change the macroeconomic outlook. Specific consequences may also affect the valuations of the UniCredit group’s Companies based in Russia as well as the Group’s credit positions towards Russian residents, and positions in derivative instruments, as highlighted in the Bank’s press release dated 8 March 2022, where UniCredit specified how the Bank is continuing to dynamically manage the risk exposure, whilst constantly assessing the potential impact of the conflict on global GDP and public policies. Lastly, it should be noted that, unlike what happened in the previous year, as stated, the 2021 financial year closed with a net profit of UniCredit S.p.A. of €10.366 million; therefore, the conditions to carry out a new transformation of deferred tax assets, for IRES and IRAP, into tax credits did not occur again. The financial statements report contains detailed information on any liabilities and costs that may arise from pending legal proceedings. The Board of Statutory Auditors, together with the relevant Functions of the Bank, has examined in detail the methodology and process adopted in the analysis of litigation, and in the analysis and assessment of provisions for risks and charges, and has requested to be periodically and promptly updated on the evolution of the main situations. To provide for possible liabilities and costs that may result from pending legal proceedings (excluding labour law and tax cases), as at 31 December 2021, UniCredit group set aside a provision for risks and charges of €688.4 million, of which €428.1 million for the parent company UniCredit S.p.A. The Notes to the consolidated accounts also update on the proceedings relating to: • Financial sanctions matters. Following the settlement in April 2019, the U.S. and New York Authorities require an annual external review regarding the evolution of the process implementation. In light of the request, in 2020 the Group appointed an external independent consultant. Following the interaction with the independent consultant and also considering the mandatory commitments towards the Authorities, the parent company UniCredit S.p.A., UCB AG and UCB Austria AG have implemented additional requirements and controls, about which the banks make periodic reports to the Authorities. • Squeeze-Out of UCB AG and UCB Austria’s former minority shareholders (so-called Appraisal Proceeding). In 2008, approximately 300 former minority shareholders of UCB AG filed a request before the District Court of Munich to have a review of the price paid to them by the parent company UniCredit S.p.A., equal to €38.26 per share, in the context of the squeeze out of minority shareholders (Appraisal Proceeding). The dispute mainly concerns the valuation of UCB AG, which is the basis for the calculation of the price to be paid to the former minority shareholders. At present, the proceeding is pending in the first instance. With reference to UCB Austria, in 2008, approximately 70 former minority shareholders of UCB Austria commenced proceedings before the Commercial Court of Vienna claiming that the squeeze-out price paid to them, equal to €129.4 per share, was inadequate, and asking the Court to review the adequacy of the amount paid (Appraisal Proceeding). At present the proceeding is pending in the first instance. At the same time, five contentious proceedings, in which plaintiffs claim damages, have been initiated, involving however only insignificant amounts in dispute. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 776 2021 Annual Report and Accounts · UniCredit • Euro-denominated bonds issued by EU Countries; on 31 January 2019, the parent company UniCredit S.p.A. and UCB AG received a “Statement of Objections” from the European Commission referring to the investigation by the European Commission of a suspected violation of antitrust rules in relation to European government bonds. The subject matter of the investigation extended to certain periods from 2007 to 2011 and included activities by UCB AG between September and November 2011. The European Commission concluded its investigation by issuance of its decision on 20 May 2021, which provides for the imposition of a fine of €69.4 million in total towards the parent company UniCredit S.p.A. and UCB AG; the amount of the penalty is substantially in line with the previously recognised provision, and therefore did not cause any material impact on the Group’s second quarter 2021 accounts. The parent company UniCredit S.p.A. and UCB AG contest the European Commission's findings and to this end, on 30 July 2021, they filed an appeal with the Court of Justice of the European Union for the annulment of the Commission’s decision. On 11 June 2019, UCB AG and UniCredit Capital Markets LLC were named, among other financial institutions, as defendants in a putative class action already pending in the United States District Court for the Southern District of New York. The third amended class action complaint, filed on 3 December 2019, alleges a conspiracy among dealers of Euro-denominated bonds issued by European central banks to fix and manipulate the prices of those bonds, among other things by widening the bid-ask spreads they quoted to customers. The putative class consists of those who purchased or sold Euro-denominated bonds issued by European central banks in the US between 2007 and 2012. At present, the class action complaint does not include a quantification of damages claimed. On 23 July 2020, the Court granted motions to dismiss (so called “motion to dismiss”) the class action complaint filed by certain defendants, including UCB AG and UniCredit Capital Markets LLC. On 9 February 2021, the plaintiffs filed their fourth amended class action complaint, repleading their claim against UCB AG, UniCredit Capital Markets LLC and other financial institutions. Like earlier pleadings, the fourth amended class action complaint does not include a quantification of damages claimed. Exchange of correspondence concerning the filing requests has been completed, and in June 2021, the defendants submitted to the Court the request for the setting of the dismissal hearing (“pre-motion conference”). In the financial statements report, the Directors inform about the proceedings related to certain forms of banking transactions with customers that do not specifically concern the UniCredit group but involve the entire financial system. The proceedings pertaining to compound interest mainly involve damages requests from clients arising from the alleged unlawfulness of the calculation methods of the amount of interest payable in connection with certain banking contracts. As at 31 December 2021, the total claimed amount against the parent company UniCredit S.p.A. was equal to €1.1 billion, mediations included. At present, the parent company UniCredit S.p.A. has made provisions that it deems appropriate for the risks associated with these claims. About the litigation connected to derivative products, for which, as at 31 December 2021, the claimed amount against the parent company UniCredit S.p.A. was €692 million, mediations included, the Directors report that several financial institutions, including UniCredit group companies, entered several derivative contracts, both with institutional and non-institutional investors. In Germany and in Italy there are some pending proceedings towards certain Group companies that relate to derivative contracts concluded by both institutional and non-institutional investors. The filing of such litigations affects the financial sector generally and is not specific to the parent company UniCredit S.p.A. and its Group companies. At present, the parent company UniCredit S.p.A. and the involved Group companies have made provisions deemed appropriate, based on the best estimate of the impact which might derive from such proceedings. With respect to proceedings relating to foreign currency loans, it should be noted, as set out in previous Reports that in the last decade, a significant number of customers in the Central and Eastern Europe area took out loans and mortgages denominated in a foreign currency (“FX”). In a number of instances customers, or consumer associations acting on their behalf, have sought to renegotiate the terms of such FX loans and mortgages, including the possibility that the principal and associated interest payments related to the loan redenominated in the local currency at the time that the loan was taken out, and floating rates retrospectively changed to fixed rates. In addition, in a number of countries legislation that impacts FX loans was proposed or implemented. These developments resulted in litigation against subsidiaries of the parent company UniCredit S.p.A. in a number of CEE countries including Croatia, Slovenia, and Serbia. In 2019 the Supreme Court of the Republic of Croatia ruled that the Swiss franc (CHF) currency clause was invalid. In the course of 2019, court decisions, recent court practice related to FX matter along with the expiration of the statute of limitation for filing individual lawsuits in respect to invalidity of the interest rate clause, led to a significant increase in the number of new lawsuits against Zagrebačka Banka (“Zaba”).In March 2020, the Supreme Court ruled that agreements entered into following the Conversion Amendments whereby customers converted their CHF mortgages and/or loans into EUR are valid and accordingly no additional payments are due. In October 2020 the Supreme Court, as well as one additional lower court, approached the European Court of Justice with a request for preliminary ruling asking for an interpretation on the applicability of the Directive on unfair terms in consumer contracts, and consequently whether a consumer who converted its loan in accordance with the terms of the of the Conversion Amendments is entitled to additional payments. The Supreme Court withdrew its request, while the other case is still pending. In March 2021, the Croatian Constitutional Court rejected Zaba's application on the validity of the FX clause. In light of the above, the Directors report that the provisions, which have been booked, are deemed appropriate. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 776 2021 Annual Report and Accounts · UniCredit • Euro-denominated bonds issued by EU Countries; on 31 January 2019, the parent company UniCredit S.p.A. and UCB AG received a “Statement of Objections” from the European Commission referring to the investigation by the European Commission of a suspected violation of antitrust rules in relation to European government bonds. The subject matter of the investigation extended to certain periods from 2007 to 2011 and included activities by UCB AG between September and November 2011. The European Commission concluded its investigation by issuance of its decision on 20 May 2021, which provides for the imposition of a fine of €69.4 million in total towards the parent company UniCredit S.p.A. and UCB AG; the amount of the penalty is substantially in line with the previously recognised provision, and therefore did not cause any material impact on the Group’s second quarter 2021 accounts. The parent company UniCredit S.p.A. and UCB AG contest the European Commission's findings and to this end, on 30 July 2021, they filed an appeal with the Court of Justice of the European Union for the annulment of the Commission’s decision. On 11 June 2019, UCB AG and UniCredit Capital Markets LLC were named, among other financial institutions, as defendants in a putative class action already pending in the United States District Court for the Southern District of New York. The third amended class action complaint, filed on 3 December 2019, alleges a conspiracy among dealers of Euro-denominated bonds issued by European central banks to fix and manipulate the prices of those bonds, among other things by widening the bid-ask spreads they quoted to customers. The putative class consists of those who purchased or sold Euro-denominated bonds issued by European central banks in the US between 2007 and 2012. At present, the class action complaint does not include a quantification of damages claimed. On 23 July 2020, the Court granted motions to dismiss (so called “motion to dismiss”) the class action complaint filed by certain defendants, including UCB AG and UniCredit Capital Markets LLC. On 9 February 2021, the plaintiffs filed their fourth amended class action complaint, repleading their claim against UCB AG, UniCredit Capital Markets LLC and other financial institutions. Like earlier pleadings, the fourth amended class action complaint does not include a quantification of damages claimed. Exchange of correspondence concerning the filing requests has been completed, and in June 2021, the defendants submitted to the Court the request for the setting of the dismissal hearing (“pre-motion conference”). In the financial statements report, the Directors inform about the proceedings related to certain forms of banking transactions with customers that do not specifically concern the UniCredit group but involve the entire financial system. The proceedings pertaining to compound interest mainly involve damages requests from clients arising from the alleged unlawfulness of the calculation methods of the amount of interest payable in connection with certain banking contracts. As at 31 December 2021, the total claimed amount against the parent company UniCredit S.p.A. was equal to €1.1 billion, mediations included. At present, the parent company UniCredit S.p.A. has made provisions that it deems appropriate for the risks associated with these claims. About the litigation connected to derivative products, for which, as at 31 December 2021, the claimed amount against the parent company UniCredit S.p.A. was €692 million, mediations included, the Directors report that several financial institutions, including UniCredit group companies, entered several derivative contracts, both with institutional and non-institutional investors. In Germany and in Italy there are some pending proceedings towards certain Group companies that relate to derivative contracts concluded by both institutional and non-institutional investors. The filing of such litigations affects the financial sector generally and is not specific to the parent company UniCredit S.p.A. and its Group companies. At present, the parent company UniCredit S.p.A. and the involved Group companies have made provisions deemed appropriate, based on the best estimate of the impact which might derive from such proceedings. With respect to proceedings relating to foreign currency loans, it should be noted, as set out in previous Reports that in the last decade, a significant number of customers in the Central and Eastern Europe area took out loans and mortgages denominated in a foreign currency (“FX”). In a number of instances customers, or consumer associations acting on their behalf, have sought to renegotiate the terms of such FX loans and mortgages, including the possibility that the principal and associated interest payments related to the loan redenominated in the local currency at the time that the loan was taken out, and floating rates retrospectively changed to fixed rates. In addition, in a number of countries legislation that impacts FX loans was proposed or implemented. These developments resulted in litigation against subsidiaries of the parent company UniCredit S.p.A. in a number of CEE countries including Croatia, Slovenia, and Serbia. In 2019 the Supreme Court of the Republic of Croatia ruled that the Swiss franc (CHF) currency clause was invalid. In the course of 2019, court decisions, recent court practice related to FX matter along with the expiration of the statute of limitation for filing individual lawsuits in respect to invalidity of the interest rate clause, led to a significant increase in the number of new lawsuits against Zagrebačka Banka (“Zaba”).In March 2020, the Supreme Court ruled that agreements entered into following the Conversion Amendments whereby customers converted their CHF mortgages and/or loans into EUR are valid and accordingly no additional payments are due. In October 2020 the Supreme Court, as well as one additional lower court, approached the European Court of Justice with a request for preliminary ruling asking for an interpretation on the applicability of the Directive on unfair terms in consumer contracts, and consequently whether a consumer who converted its loan in accordance with the terms of the of the Conversion Amendments is entitled to additional payments. The Supreme Court withdrew its request, while the other case is still pending. In March 2021, the Croatian Constitutional Court rejected Zaba's application on the validity of the FX clause. In light of the above, the Directors report that the provisions, which have been booked, are deemed appropriate. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 776 2021 Annual Report and Accounts · UniCredit • Euro-denominated bonds issued by EU Countries; on 31 January 2019, the parent company UniCredit S.p.A. and UCB AG received a “Statement of Objections” from the European Commission referring to the investigation by the European Commission of a suspected violation of antitrust rules in relation to European government bonds. The subject matter of the investigation extended to certain periods from 2007 to 2011 and included activities by UCB AG between September and November 2011. The European Commission concluded its investigation by issuance of its decision on 20 May 2021, which provides for the imposition of a fine of €69.4 million in total towards the parent company UniCredit S.p.A. and UCB AG; the amount of the penalty is substantially in line with the previously recognised provision, and therefore did not cause any material impact on the Group’s second quarter 2021 accounts. The parent company UniCredit S.p.A. and UCB AG contest the European Commission's findings and to this end, on 30 July 2021, they filed an appeal with the Court of Justice of the European Union for the annulment of the Commission’s decision. On 11 June 2019, UCB AG and UniCredit Capital Markets LLC were named, among other financial institutions, as defendants in a putative class action already pending in the United States District Court for the Southern District of New York. The third amended class action complaint, filed on 3 December 2019, alleges a conspiracy among dealers of Euro-denominated bonds issued by European central banks to fix and manipulate the prices of those bonds, among other things by widening the bid-ask spreads they quoted to customers. The putative class consists of those who purchased or sold Euro-denominated bonds issued by European central banks in the US between 2007 and 2012. At present, the class action complaint does not include a quantification of damages claimed. On 23 July 2020, the Court granted motions to dismiss (so called “motion to dismiss”) the class action complaint filed by certain defendants, including UCB AG and UniCredit Capital Markets LLC. On 9 February 2021, the plaintiffs filed their fourth amended class action complaint, repleading their claim against UCB AG, UniCredit Capital Markets LLC and other financial institutions. Like earlier pleadings, the fourth amended class action complaint does not include a quantification of damages claimed. Exchange of correspondence concerning the filing requests has been completed, and in June 2021, the defendants submitted to the Court the request for the setting of the dismissal hearing (“pre-motion conference”). In the financial statements report, the Directors inform about the proceedings related to certain forms of banking transactions with customers that do not specifically concern the UniCredit group but involve the entire financial system. The proceedings pertaining to compound interest mainly involve damages requests from clients arising from the alleged unlawfulness of the calculation methods of the amount of interest payable in connection with certain banking contracts. As at 31 December 2021, the total claimed amount against the parent company UniCredit S.p.A. was equal to €1.1 billion, mediations included. At present, the parent company UniCredit S.p.A. has made provisions that it deems appropriate for the risks associated with these claims. About the litigation connected to derivative products, for which, as at 31 December 2021, the claimed amount against the parent company UniCredit S.p.A. was €692 million, mediations included, the Directors report that several financial institutions, including UniCredit group companies, entered several derivative contracts, both with institutional and non-institutional investors. In Germany and in Italy there are some pending proceedings towards certain Group companies that relate to derivative contracts concluded by both institutional and non-institutional investors. The filing of such litigations affects the financial sector generally and is not specific to the parent company UniCredit S.p.A. and its Group companies. At present, the parent company UniCredit S.p.A. and the involved Group companies have made provisions deemed appropriate, based on the best estimate of the impact which might derive from such proceedings. With respect to proceedings relating to foreign currency loans, it should be noted, as set out in previous Reports that in the last decade, a significant number of customers in the Central and Eastern Europe area took out loans and mortgages denominated in a foreign currency (“FX”). In a number of instances customers, or consumer associations acting on their behalf, have sought to renegotiate the terms of such FX loans and mortgages, including the possibility that the principal and associated interest payments related to the loan redenominated in the local currency at the time that the loan was taken out, and floating rates retrospectively changed to fixed rates. In addition, in a number of countries legislation that impacts FX loans was proposed or implemented. These developments resulted in litigation against subsidiaries of the parent company UniCredit S.p.A. in a number of CEE countries including Croatia, Slovenia, and Serbia. In 2019 the Supreme Court of the Republic of Croatia ruled that the Swiss franc (CHF) currency clause was invalid. In the course of 2019, court decisions, recent court practice related to FX matter along with the expiration of the statute of limitation for filing individual lawsuits in respect to invalidity of the interest rate clause, led to a significant increase in the number of new lawsuits against Zagrebačka Banka (“Zaba”).In March 2020, the Supreme Court ruled that agreements entered into following the Conversion Amendments whereby customers converted their CHF mortgages and/or loans into EUR are valid and accordingly no additional payments are due. In October 2020 the Supreme Court, as well as one additional lower court, approached the European Court of Justice with a request for preliminary ruling asking for an interpretation on the applicability of the Directive on unfair terms in consumer contracts, and consequently whether a consumer who converted its loan in accordance with the terms of the of the Conversion Amendments is entitled to additional payments. The Supreme Court withdrew its request, while the other case is still pending. In March 2021, the Croatian Constitutional Court rejected Zaba's application on the validity of the FX clause. In light of the above, the Directors report that the provisions, which have been booked, are deemed appropriate. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 776 2021 Annual Report and Accounts · UniCredit • Euro-denominated bonds issued by EU Countries; on 31 January 2019, the parent company UniCredit S.p.A. and UCB AG received a “Statement of Objections” from the European Commission referring to the investigation by the European Commission of a suspected violation of antitrust rules in relation to European government bonds. The subject matter of the investigation extended to certain periods from 2007 to 2011 and included activities by UCB AG between September and November 2011. The European Commission concluded its investigation by issuance of its decision on 20 May 2021, which provides for the imposition of a fine of €69.4 million in total towards the parent company UniCredit S.p.A. and UCB AG; the amount of the penalty is substantially in line with the previously recognised provision, and therefore did not cause any material impact on the Group’s second quarter 2021 accounts. The parent company UniCredit S.p.A. and UCB AG contest the European Commission's findings and to this end, on 30 July 2021, they filed an appeal with the Court of Justice of the European Union for the annulment of the Commission’s decision. On 11 June 2019, UCB AG and UniCredit Capital Markets LLC were named, among other financial institutions, as defendants in a putative class action already pending in the United States District Court for the Southern District of New York. The third amended class action complaint, filed on 3 December 2019, alleges a conspiracy among dealers of Euro-denominated bonds issued by European central banks to fix and manipulate the prices of those bonds, among other things by widening the bid-ask spreads they quoted to customers. The putative class consists of those who purchased or sold Euro-denominated bonds issued by European central banks in the US between 2007 and 2012. At present, the class action complaint does not include a quantification of damages claimed. On 23 July 2020, the Court granted motions to dismiss (so called “motion to dismiss”) the class action complaint filed by certain defendants, including UCB AG and UniCredit Capital Markets LLC. On 9 February 2021, the plaintiffs filed their fourth amended class action complaint, repleading their claim against UCB AG, UniCredit Capital Markets LLC and other financial institutions. Like earlier pleadings, the fourth amended class action complaint does not include a quantification of damages claimed. Exchange of correspondence concerning the filing requests has been completed, and in June 2021, the defendants submitted to the Court the request for the setting of the dismissal hearing (“pre-motion conference”). In the financial statements report, the Directors inform about the proceedings related to certain forms of banking transactions with customers that do not specifically concern the UniCredit group but involve the entire financial system. The proceedings pertaining to compound interest mainly involve damages requests from clients arising from the alleged unlawfulness of the calculation methods of the amount of interest payable in connection with certain banking contracts. As at 31 December 2021, the total claimed amount against the parent company UniCredit S.p.A. was equal to €1.1 billion, mediations included. At present, the parent company UniCredit S.p.A. has made provisions that it deems appropriate for the risks associated with these claims. About the litigation connected to derivative products, for which, as at 31 December 2021, the claimed amount against the parent company UniCredit S.p.A. was €692 million, mediations included, the Directors report that several financial institutions, including UniCredit group companies, entered several derivative contracts, both with institutional and non-institutional investors. In Germany and in Italy there are some pending proceedings towards certain Group companies that relate to derivative contracts concluded by both institutional and non-institutional investors. The filing of such litigations affects the financial sector generally and is not specific to the parent company UniCredit S.p.A. and its Group companies. At present, the parent company UniCredit S.p.A. and the involved Group companies have made provisions deemed appropriate, based on the best estimate of the impact which might derive from such proceedings. With respect to proceedings relating to foreign currency loans, it should be noted, as set out in previous Reports that in the last decade, a significant number of customers in the Central and Eastern Europe area took out loans and mortgages denominated in a foreign currency (“FX”). In a number of instances customers, or consumer associations acting on their behalf, have sought to renegotiate the terms of such FX loans and mortgages, including the possibility that the principal and associated interest payments related to the loan redenominated in the local currency at the time that the loan was taken out, and floating rates retrospectively changed to fixed rates. In addition, in a number of countries legislation that impacts FX loans was proposed or implemented. These developments resulted in litigation against subsidiaries of the parent company UniCredit S.p.A. in a number of CEE countries including Croatia, Slovenia, and Serbia. In 2019 the Supreme Court of the Republic of Croatia ruled that the Swiss franc (CHF) currency clause was invalid. In the course of 2019, court decisions, recent court practice related to FX matter along with the expiration of the statute of limitation for filing individual lawsuits in respect to invalidity of the interest rate clause, led to a significant increase in the number of new lawsuits against Zagrebačka Banka (“Zaba”).In March 2020, the Supreme Court ruled that agreements entered into following the Conversion Amendments whereby customers converted their CHF mortgages and/or loans into EUR are valid and accordingly no additional payments are due. In October 2020 the Supreme Court, as well as one additional lower court, approached the European Court of Justice with a request for preliminary ruling asking for an interpretation on the applicability of the Directive on unfair terms in consumer contracts, and consequently whether a consumer who converted its loan in accordance with the terms of the of the Conversion Amendments is entitled to additional payments. The Supreme Court withdrew its request, while the other case is still pending. In March 2021, the Croatian Constitutional Court rejected Zaba's application on the validity of the FX clause. In light of the above, the Directors report that the provisions, which have been booked, are deemed appropriate. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 776 2021 Annual Report and Accounts · UniCredit • Euro-denominated bonds issued by EU Countries; on 31 January 2019, the parent company UniCredit S.p.A. and UCB AG received a “Statement of Objections” from the European Commission referring to the investigation by the European Commission of a suspected violation of antitrust rules in relation to European government bonds. The subject matter of the investigation extended to certain periods from 2007 to 2011 and included activities by UCB AG between September and November 2011. The European Commission concluded its investigation by issuance of its decision on 20 May 2021, which provides for the imposition of a fine of €69.4 million in total towards the parent company UniCredit S.p.A. and UCB AG; the amount of the penalty is substantially in line with the previously recognised provision, and therefore did not cause any material impact on the Group’s second quarter 2021 accounts. The parent company UniCredit S.p.A. and UCB AG contest the European Commission's findings and to this end, on 30 July 2021, they filed an appeal with the Court of Justice of the European Union for the annulment of the Commission’s decision. On 11 June 2019, UCB AG and UniCredit Capital Markets LLC were named, among other financial institutions, as defendants in a putative class action already pending in the United States District Court for the Southern District of New York. The third amended class action complaint, filed on 3 December 2019, alleges a conspiracy among dealers of Euro-denominated bonds issued by European central banks to fix and manipulate the prices of those bonds, among other things by widening the bid-ask spreads they quoted to customers. The putative class consists of those who purchased or sold Euro-denominated bonds issued by European central banks in the US between 2007 and 2012. At present, the class action complaint does not include a quantification of damages claimed. On 23 July 2020, the Court granted motions to dismiss (so called “motion to dismiss”) the class action complaint filed by certain defendants, including UCB AG and UniCredit Capital Markets LLC. On 9 February 2021, the plaintiffs filed their fourth amended class action complaint, repleading their claim against UCB AG, UniCredit Capital Markets LLC and other financial institutions. Like earlier pleadings, the fourth amended class action complaint does not include a quantification of damages claimed. Exchange of correspondence concerning the filing requests has been completed, and in June 2021, the defendants submitted to the Court the request for the setting of the dismissal hearing (“pre-motion conference”). In the financial statements report, the Directors inform about the proceedings related to certain forms of banking transactions with customers that do not specifically concern the UniCredit group but involve the entire financial system. The proceedings pertaining to compound interest mainly involve damages requests from clients arising from the alleged unlawfulness of the calculation methods of the amount of interest payable in connection with certain banking contracts. As at 31 December 2021, the total claimed amount against the parent company UniCredit S.p.A. was equal to €1.1 billion, mediations included. At present, the parent company UniCredit S.p.A. has made provisions that it deems appropriate for the risks associated with these claims. About the litigation connected to derivative products, for which, as at 31 December 2021, the claimed amount against the parent company UniCredit S.p.A. was €692 million, mediations included, the Directors report that several financial institutions, including UniCredit group companies, entered several derivative contracts, both with institutional and non-institutional investors. In Germany and in Italy there are some pending proceedings towards certain Group companies that relate to derivative contracts concluded by both institutional and non-institutional investors. The filing of such litigations affects the financial sector generally and is not specific to the parent company UniCredit S.p.A. and its Group companies. At present, the parent company UniCredit S.p.A. and the involved Group companies have made provisions deemed appropriate, based on the best estimate of the impact which might derive from such proceedings. With respect to proceedings relating to foreign currency loans, it should be noted, as set out in previous Reports that in the last decade, a significant number of customers in the Central and Eastern Europe area took out loans and mortgages denominated in a foreign currency (“FX”). In a number of instances customers, or consumer associations acting on their behalf, have sought to renegotiate the terms of such FX loans and mortgages, including the possibility that the principal and associated interest payments related to the loan redenominated in the local currency at the time that the loan was taken out, and floating rates retrospectively changed to fixed rates. In addition, in a number of countries legislation that impacts FX loans was proposed or implemented. These developments resulted in litigation against subsidiaries of the parent company UniCredit S.p.A. in a number of CEE countries including Croatia, Slovenia, and Serbia. In 2019 the Supreme Court of the Republic of Croatia ruled that the Swiss franc (CHF) currency clause was invalid. In the course of 2019, court decisions, recent court practice related to FX matter along with the expiration of the statute of limitation for filing individual lawsuits in respect to invalidity of the interest rate clause, led to a significant increase in the number of new lawsuits against Zagrebačka Banka (“Zaba”).In March 2020, the Supreme Court ruled that agreements entered into following the Conversion Amendments whereby customers converted their CHF mortgages and/or loans into EUR are valid and accordingly no additional payments are due. In October 2020 the Supreme Court, as well as one additional lower court, approached the European Court of Justice with a request for preliminary ruling asking for an interpretation on the applicability of the Directive on unfair terms in consumer contracts, and consequently whether a consumer who converted its loan in accordance with the terms of the of the Conversion Amendments is entitled to additional payments. The Supreme Court withdrew its request, while the other case is still pending. In March 2021, the Croatian Constitutional Court rejected Zaba's application on the validity of the FX clause. In light of the above, the Directors report that the provisions, which have been booked, are deemed appropriate. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 777 On 2 February 2022, the National Assembly of the Republic of Slovenia approved a law aimed at restructuring consumer loans denominated in CHF, or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap limiting the amount to be repaid by customers, as capital or interest, following the revaluation of the CHF against the EUR, despite the fact that on 26 November 2021 the European Central Bank released an opinion (CON/2021/36) on the amendment of Swiss franc loan agreements, which, inter alia, stated that “the introducing measures with retroactive effect undermines legal certainty and does not comply with the principle of legitimate expectations and may also interfere with acquired rights”, and the National Assembly’s Legislative Office itself, on 5 January 2022, had issued an opinion highlighting material constitutional deficiencies of the proposed law, mainly related to retroactivity, rule of law, right to private property and free enterprise. As explained by the Directors in the financial statement report, no provision was recognized as at 31 December 2021 regarding the entry into force of the above-mentioned law, as its approval by the National Assembly was deemed to be a non-adjusting event pursuant to IAS10, since the condition relating to the virtual certainty of the law enactment, which is the condition required by IAS37 for recognition and measurement of provision determined by the introduction of a new law, was not met at 31 December 2021, having only emerged in February 2022 with the approval by the National Assembly. The Group is currently evaluating the feature of the law; in the event its enactment will result in a negative economic effect, the estimated impact on the Group’s CET1 ratio is estimated at around 5bps. Among other proceedings, which are explained in the financial statements, the Board of Statutory Auditors examined in-depth the Bitminer case in the Republic of Bosnia and Herzegovina. In 2019, a local customer, Bitminer Factory d.o.o. Gradiška ("Bitminer"), filed a lawsuit before the Commercial Section of the Court in Banja Luka claiming damages that it would have suffered following the allegedly unjustified closure of its current accounts by UniCredit Bank a.d. Banja Luka (“UCBL”), a subsidiary of the parent company UniCredit S.p.A. in Bosnia and Herzegovina, Republic of Srpska. Bitminer alleged that the closure of its accounts would have obstructed its initial coin offering (ICO) relating to a start-up renewable-energy-powered cryptocurrency mining project in Bosnia and Herzegovina. On 30 December 2021, the Court of First Instance adopted most of Bitminer's claims and ordered UCBL to pay damages in the amount of 256,326,152 Bosnian marks (approximately €131.2 million). UCBL appealed the decision in January 2022. The first instance decision is not final, biding, or enforceable. The ultimate liability of UCBL, if any, will only be determined upon the final outcome of all available procedural remedies, and, in any case, not before the final and binding decision by the Court of Appeal”. Within the diversification of investments to which the available assets are addressed and also considering in this context those investments with the characteristics of the so-called “safe haven” with a long-term horizon, several UniCredit S.p.A.’s customers have historically invested in diamonds through a specialized intermediary company, with which the Bank has stipulated, since 1998, a collaboration agreement as “Introducer”, in order to regulate the “reporting” methods of the offer of diamonds by the same company to UniCredit customers. As reported in the financial statements report, since the end of 2016, the liquidity available on the market to meet the requests of customers who intended to divest their diamond assets has contracted to a certain extent until it became nil, with the suspension of the service by the brokerage company. Already starting from 2017 UniCredit S.p.A. started a “customer care” initiative which envisaged the availability of the Bank to intervene for the acknowledgement towards the customer of the original cost incurred for the purchase of precious items and the consequent withdrawal of the stones. The initiative has been adopted assessing the absence of responsibility for its role as “Introducer”; nevertheless, the AGCM (Italian Competition and Market Authority) ascertained UniCredit’s responsibility for unfair commercial practice (confirmed in appeal by the Administrative Regional Court in the second half of 2018), imposing, in 2017, a fine of €4 million paid in the same year. UniCredit has filed an appeal against this decision to the Council of State and with a sentence dated 11 March 2021 the Council of State partially accepted the appeal brought by UniCredit S.p.A., by reducing the amount of the fine to €2.8 million and sentenced AGCM to return €1.2 million, amount which was reimbursed in June 2021. As at 31 December 2021, UniCredit S.p.A: • received reimbursement requests for a total amount of about €409 million (cost originally incurred by the Clients) from No.12,233 Customers; according to a preliminary analysis, such requests fulfill the requirements envisaged by the “customer care” initiative; the finalization of the reimbursement requests is currently carried out, aimed at assessing their effective compliance with the “customer care” initiative, and then proceed with the settlement where conditions recur; • with reference to the scope outlined in the previous point (€409 million approximately), reimbursed No.11,076 customers for about €387 million (equivalent value of original purchases), equal to about 95% of the reimbursement requests said above. In order to cope with the probable risks of loss related to the repurchases of diamonds, a dedicated Risk and Charges Fund was set up; its quantification was also based on the outcome of an independent study (commissioned to a primary third company) aiming at evaluating the diamonds’ value. Lastly, in line with a strategy of disposal in the short term, the gems purchased are recognized for about €52 million in item ”130. Other assets” of the balance sheet. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 777 On 2 February 2022, the National Assembly of the Republic of Slovenia approved a law aimed at restructuring consumer loans denominated in CHF, or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap limiting the amount to be repaid by customers, as capital or interest, following the revaluation of the CHF against the EUR, despite the fact that on 26 November 2021 the European Central Bank released an opinion (CON/2021/36) on the amendment of Swiss franc loan agreements, which, inter alia, stated that “the introducing measures with retroactive effect undermines legal certainty and does not comply with the principle of legitimate expectations and may also interfere with acquired rights”, and the National Assembly’s Legislative Office itself, on 5 January 2022, had issued an opinion highlighting material constitutional deficiencies of the proposed law, mainly related to retroactivity, rule of law, right to private property and free enterprise. As explained by the Directors in the financial statement report, no provision was recognized as at 31 December 2021 regarding the entry into force of the above-mentioned law, as its approval by the National Assembly was deemed to be a non-adjusting event pursuant to IAS10, since the condition relating to the virtual certainty of the law enactment, which is the condition required by IAS37 for recognition and measurement of provision determined by the introduction of a new law, was not met at 31 December 2021, having only emerged in February 2022 with the approval by the National Assembly. The Group is currently evaluating the feature of the law; in the event its enactment will result in a negative economic effect, the estimated impact on the Group’s CET1 ratio is estimated at around 5bps. Among other proceedings, which are explained in the financial statements, the Board of Statutory Auditors examined in-depth the Bitminer case in the Republic of Bosnia and Herzegovina. In 2019, a local customer, Bitminer Factory d.o.o. Gradiška ("Bitminer"), filed a lawsuit before the Commercial Section of the Court in Banja Luka claiming damages that it would have suffered following the allegedly unjustified closure of its current accounts by UniCredit Bank a.d. Banja Luka (“UCBL”), a subsidiary of the parent company UniCredit S.p.A. in Bosnia and Herzegovina, Republic of Srpska. Bitminer alleged that the closure of its accounts would have obstructed its initial coin offering (ICO) relating to a start-up renewable-energy-powered cryptocurrency mining project in Bosnia and Herzegovina. On 30 December 2021, the Court of First Instance adopted most of Bitminer's claims and ordered UCBL to pay damages in the amount of 256,326,152 Bosnian marks (approximately €131.2 million). UCBL appealed the decision in January 2022. The first instance decision is not final, biding, or enforceable. The ultimate liability of UCBL, if any, will only be determined upon the final outcome of all available procedural remedies, and, in any case, not before the final and binding decision by the Court of Appeal”. Within the diversification of investments to which the available assets are addressed and also considering in this context those investments with the characteristics of the so-called “safe haven” with a long-term horizon, several UniCredit S.p.A.’s customers have historically invested in diamonds through a specialized intermediary company, with which the Bank has stipulated, since 1998, a collaboration agreement as “Introducer”, in order to regulate the “reporting” methods of the offer of diamonds by the same company to UniCredit customers. As reported in the financial statements report, since the end of 2016, the liquidity available on the market to meet the requests of customers who intended to divest their diamond assets has contracted to a certain extent until it became nil, with the suspension of the service by the brokerage company. Already starting from 2017 UniCredit S.p.A. started a “customer care” initiative which envisaged the availability of the Bank to intervene for the acknowledgement towards the customer of the original cost incurred for the purchase of precious items and the consequent withdrawal of the stones. The initiative has been adopted assessing the absence of responsibility for its role as “Introducer”; nevertheless, the AGCM (Italian Competition and Market Authority) ascertained UniCredit’s responsibility for unfair commercial practice (confirmed in appeal by the Administrative Regional Court in the second half of 2018), imposing, in 2017, a fine of €4 million paid in the same year. UniCredit has filed an appeal against this decision to the Council of State and with a sentence dated 11 March 2021 the Council of State partially accepted the appeal brought by UniCredit S.p.A., by reducing the amount of the fine to €2.8 million and sentenced AGCM to return €1.2 million, amount which was reimbursed in June 2021. As at 31 December 2021, UniCredit S.p.A: • received reimbursement requests for a total amount of about €409 million (cost originally incurred by the Clients) from No.12,233 Customers; according to a preliminary analysis, such requests fulfill the requirements envisaged by the “customer care” initiative; the finalization of the reimbursement requests is currently carried out, aimed at assessing their effective compliance with the “customer care” initiative, and then proceed with the settlement where conditions recur; • with reference to the scope outlined in the previous point (€409 million approximately), reimbursed No.11,076 customers for about €387 million (equivalent value of original purchases), equal to about 95% of the reimbursement requests said above. In order to cope with the probable risks of loss related to the repurchases of diamonds, a dedicated Risk and Charges Fund was set up; its quantification was also based on the outcome of an independent study (commissioned to a primary third company) aiming at evaluating the diamonds’ value. Lastly, in line with a strategy of disposal in the short term, the gems purchased are recognized for about €52 million in item ”130. Other assets” of the balance sheet. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 777 On 2 February 2022, the National Assembly of the Republic of Slovenia approved a law aimed at restructuring consumer loans denominated in CHF, or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap limiting the amount to be repaid by customers, as capital or interest, following the revaluation of the CHF against the EUR, despite the fact that on 26 November 2021 the European Central Bank released an opinion (CON/2021/36) on the amendment of Swiss franc loan agreements, which, inter alia, stated that “the introducing measures with retroactive effect undermines legal certainty and does not comply with the principle of legitimate expectations and may also interfere with acquired rights”, and the National Assembly’s Legislative Office itself, on 5 January 2022, had issued an opinion highlighting material constitutional deficiencies of the proposed law, mainly related to retroactivity, rule of law, right to private property and free enterprise. As explained by the Directors in the financial statement report, no provision was recognized as at 31 December 2021 regarding the entry into force of the above-mentioned law, as its approval by the National Assembly was deemed to be a non-adjusting event pursuant to IAS10, since the condition relating to the virtual certainty of the law enactment, which is the condition required by IAS37 for recognition and measurement of provision determined by the introduction of a new law, was not met at 31 December 2021, having only emerged in February 2022 with the approval by the National Assembly. The Group is currently evaluating the feature of the law; in the event its enactment will result in a negative economic effect, the estimated impact on the Group’s CET1 ratio is estimated at around 5bps. Among other proceedings, which are explained in the financial statements, the Board of Statutory Auditors examined in-depth the Bitminer case in the Republic of Bosnia and Herzegovina. In 2019, a local customer, Bitminer Factory d.o.o. Gradiška ("Bitminer"), filed a lawsuit before the Commercial Section of the Court in Banja Luka claiming damages that it would have suffered following the allegedly unjustified closure of its current accounts by UniCredit Bank a.d. Banja Luka (“UCBL”), a subsidiary of the parent company UniCredit S.p.A. in Bosnia and Herzegovina, Republic of Srpska. Bitminer alleged that the closure of its accounts would have obstructed its initial coin offering (ICO) relating to a start-up renewable-energy-powered cryptocurrency mining project in Bosnia and Herzegovina. On 30 December 2021, the Court of First Instance adopted most of Bitminer's claims and ordered UCBL to pay damages in the amount of 256,326,152 Bosnian marks (approximately €131.2 million). UCBL appealed the decision in January 2022. The first instance decision is not final, biding, or enforceable. The ultimate liability of UCBL, if any, will only be determined upon the final outcome of all available procedural remedies, and, in any case, not before the final and binding decision by the Court of Appeal”. Within the diversification of investments to which the available assets are addressed and also considering in this context those investments with the characteristics of the so-called “safe haven” with a long-term horizon, several UniCredit S.p.A.’s customers have historically invested in diamonds through a specialized intermediary company, with which the Bank has stipulated, since 1998, a collaboration agreement as “Introducer”, in order to regulate the “reporting” methods of the offer of diamonds by the same company to UniCredit customers. As reported in the financial statements report, since the end of 2016, the liquidity available on the market to meet the requests of customers who intended to divest their diamond assets has contracted to a certain extent until it became nil, with the suspension of the service by the brokerage company. Already starting from 2017 UniCredit S.p.A. started a “customer care” initiative which envisaged the availability of the Bank to intervene for the acknowledgement towards the customer of the original cost incurred for the purchase of precious items and the consequent withdrawal of the stones. The initiative has been adopted assessing the absence of responsibility for its role as “Introducer”; nevertheless, the AGCM (Italian Competition and Market Authority) ascertained UniCredit’s responsibility for unfair commercial practice (confirmed in appeal by the Administrative Regional Court in the second half of 2018), imposing, in 2017, a fine of €4 million paid in the same year. UniCredit has filed an appeal against this decision to the Council of State and with a sentence dated 11 March 2021 the Council of State partially accepted the appeal brought by UniCredit S.p.A., by reducing the amount of the fine to €2.8 million and sentenced AGCM to return €1.2 million, amount which was reimbursed in June 2021. As at 31 December 2021, UniCredit S.p.A: • received reimbursement requests for a total amount of about €409 million (cost originally incurred by the Clients) from No.12,233 Customers; according to a preliminary analysis, such requests fulfill the requirements envisaged by the “customer care” initiative; the finalization of the reimbursement requests is currently carried out, aimed at assessing their effective compliance with the “customer care” initiative, and then proceed with the settlement where conditions recur; • with reference to the scope outlined in the previous point (€409 million approximately), reimbursed No.11,076 customers for about €387 million (equivalent value of original purchases), equal to about 95% of the reimbursement requests said above. In order to cope with the probable risks of loss related to the repurchases of diamonds, a dedicated Risk and Charges Fund was set up; its quantification was also based on the outcome of an independent study (commissioned to a primary third company) aiming at evaluating the diamonds’ value. Lastly, in line with a strategy of disposal in the short term, the gems purchased are recognized for about €52 million in item ”130. Other assets” of the balance sheet. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 777 On 2 February 2022, the National Assembly of the Republic of Slovenia approved a law aimed at restructuring consumer loans denominated in CHF, or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap limiting the amount to be repaid by customers, as capital or interest, following the revaluation of the CHF against the EUR, despite the fact that on 26 November 2021 the European Central Bank released an opinion (CON/2021/36) on the amendment of Swiss franc loan agreements, which, inter alia, stated that “the introducing measures with retroactive effect undermines legal certainty and does not comply with the principle of legitimate expectations and may also interfere with acquired rights”, and the National Assembly’s Legislative Office itself, on 5 January 2022, had issued an opinion highlighting material constitutional deficiencies of the proposed law, mainly related to retroactivity, rule of law, right to private property and free enterprise. As explained by the Directors in the financial statement report, no provision was recognized as at 31 December 2021 regarding the entry into force of the above-mentioned law, as its approval by the National Assembly was deemed to be a non-adjusting event pursuant to IAS10, since the condition relating to the virtual certainty of the law enactment, which is the condition required by IAS37 for recognition and measurement of provision determined by the introduction of a new law, was not met at 31 December 2021, having only emerged in February 2022 with the approval by the National Assembly. The Group is currently evaluating the feature of the law; in the event its enactment will result in a negative economic effect, the estimated impact on the Group’s CET1 ratio is estimated at around 5bps. Among other proceedings, which are explained in the financial statements, the Board of Statutory Auditors examined in-depth the Bitminer case in the Republic of Bosnia and Herzegovina. In 2019, a local customer, Bitminer Factory d.o.o. Gradiška ("Bitminer"), filed a lawsuit before the Commercial Section of the Court in Banja Luka claiming damages that it would have suffered following the allegedly unjustified closure of its current accounts by UniCredit Bank a.d. Banja Luka (“UCBL”), a subsidiary of the parent company UniCredit S.p.A. in Bosnia and Herzegovina, Republic of Srpska. Bitminer alleged that the closure of its accounts would have obstructed its initial coin offering (ICO) relating to a start-up renewable-energy-powered cryptocurrency mining project in Bosnia and Herzegovina. On 30 December 2021, the Court of First Instance adopted most of Bitminer's claims and ordered UCBL to pay damages in the amount of 256,326,152 Bosnian marks (approximately €131.2 million). UCBL appealed the decision in January 2022. The first instance decision is not final, biding, or enforceable. The ultimate liability of UCBL, if any, will only be determined upon the final outcome of all available procedural remedies, and, in any case, not before the final and binding decision by the Court of Appeal”. Within the diversification of investments to which the available assets are addressed and also considering in this context those investments with the characteristics of the so-called “safe haven” with a long-term horizon, several UniCredit S.p.A.’s customers have historically invested in diamonds through a specialized intermediary company, with which the Bank has stipulated, since 1998, a collaboration agreement as “Introducer”, in order to regulate the “reporting” methods of the offer of diamonds by the same company to UniCredit customers. As reported in the financial statements report, since the end of 2016, the liquidity available on the market to meet the requests of customers who intended to divest their diamond assets has contracted to a certain extent until it became nil, with the suspension of the service by the brokerage company. Already starting from 2017 UniCredit S.p.A. started a “customer care” initiative which envisaged the availability of the Bank to intervene for the acknowledgement towards the customer of the original cost incurred for the purchase of precious items and the consequent withdrawal of the stones. The initiative has been adopted assessing the absence of responsibility for its role as “Introducer”; nevertheless, the AGCM (Italian Competition and Market Authority) ascertained UniCredit’s responsibility for unfair commercial practice (confirmed in appeal by the Administrative Regional Court in the second half of 2018), imposing, in 2017, a fine of €4 million paid in the same year. UniCredit has filed an appeal against this decision to the Council of State and with a sentence dated 11 March 2021 the Council of State partially accepted the appeal brought by UniCredit S.p.A., by reducing the amount of the fine to €2.8 million and sentenced AGCM to return €1.2 million, amount which was reimbursed in June 2021. As at 31 December 2021, UniCredit S.p.A: • received reimbursement requests for a total amount of about €409 million (cost originally incurred by the Clients) from No.12,233 Customers; according to a preliminary analysis, such requests fulfill the requirements envisaged by the “customer care” initiative; the finalization of the reimbursement requests is currently carried out, aimed at assessing their effective compliance with the “customer care” initiative, and then proceed with the settlement where conditions recur; • with reference to the scope outlined in the previous point (€409 million approximately), reimbursed No.11,076 customers for about €387 million (equivalent value of original purchases), equal to about 95% of the reimbursement requests said above. In order to cope with the probable risks of loss related to the repurchases of diamonds, a dedicated Risk and Charges Fund was set up; its quantification was also based on the outcome of an independent study (commissioned to a primary third company) aiming at evaluating the diamonds’ value. Lastly, in line with a strategy of disposal in the short term, the gems purchased are recognized for about €52 million in item ”130. Other assets” of the balance sheet. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 777 On 2 February 2022, the National Assembly of the Republic of Slovenia approved a law aimed at restructuring consumer loans denominated in CHF, or those contractually linked to CHF, originated between 28 June 2004 and 31 December 2010, effectively retroactively introducing a 10% exchange rate cap limiting the amount to be repaid by customers, as capital or interest, following the revaluation of the CHF against the EUR, despite the fact that on 26 November 2021 the European Central Bank released an opinion (CON/2021/36) on the amendment of Swiss franc loan agreements, which, inter alia, stated that “the introducing measures with retroactive effect undermines legal certainty and does not comply with the principle of legitimate expectations and may also interfere with acquired rights”, and the National Assembly’s Legislative Office itself, on 5 January 2022, had issued an opinion highlighting material constitutional deficiencies of the proposed law, mainly related to retroactivity, rule of law, right to private property and free enterprise. As explained by the Directors in the financial statement report, no provision was recognized as at 31 December 2021 regarding the entry into force of the above-mentioned law, as its approval by the National Assembly was deemed to be a non-adjusting event pursuant to IAS10, since the condition relating to the virtual certainty of the law enactment, which is the condition required by IAS37 for recognition and measurement of provision determined by the introduction of a new law, was not met at 31 December 2021, having only emerged in February 2022 with the approval by the National Assembly. The Group is currently evaluating the feature of the law; in the event its enactment will result in a negative economic effect, the estimated impact on the Group’s CET1 ratio is estimated at around 5bps. Among other proceedings, which are explained in the financial statements, the Board of Statutory Auditors examined in-depth the Bitminer case in the Republic of Bosnia and Herzegovina. In 2019, a local customer, Bitminer Factory d.o.o. Gradiška ("Bitminer"), filed a lawsuit before the Commercial Section of the Court in Banja Luka claiming damages that it would have suffered following the allegedly unjustified closure of its current accounts by UniCredit Bank a.d. Banja Luka (“UCBL”), a subsidiary of the parent company UniCredit S.p.A. in Bosnia and Herzegovina, Republic of Srpska. Bitminer alleged that the closure of its accounts would have obstructed its initial coin offering (ICO) relating to a start-up renewable-energy-powered cryptocurrency mining project in Bosnia and Herzegovina. On 30 December 2021, the Court of First Instance adopted most of Bitminer's claims and ordered UCBL to pay damages in the amount of 256,326,152 Bosnian marks (approximately €131.2 million). UCBL appealed the decision in January 2022. The first instance decision is not final, biding, or enforceable. The ultimate liability of UCBL, if any, will only be determined upon the final outcome of all available procedural remedies, and, in any case, not before the final and binding decision by the Court of Appeal”. Within the diversification of investments to which the available assets are addressed and also considering in this context those investments with the characteristics of the so-called “safe haven” with a long-term horizon, several UniCredit S.p.A.’s customers have historically invested in diamonds through a specialized intermediary company, with which the Bank has stipulated, since 1998, a collaboration agreement as “Introducer”, in order to regulate the “reporting” methods of the offer of diamonds by the same company to UniCredit customers. As reported in the financial statements report, since the end of 2016, the liquidity available on the market to meet the requests of customers who intended to divest their diamond assets has contracted to a certain extent until it became nil, with the suspension of the service by the brokerage company. Already starting from 2017 UniCredit S.p.A. started a “customer care” initiative which envisaged the availability of the Bank to intervene for the acknowledgement towards the customer of the original cost incurred for the purchase of precious items and the consequent withdrawal of the stones. The initiative has been adopted assessing the absence of responsibility for its role as “Introducer”; nevertheless, the AGCM (Italian Competition and Market Authority) ascertained UniCredit’s responsibility for unfair commercial practice (confirmed in appeal by the Administrative Regional Court in the second half of 2018), imposing, in 2017, a fine of €4 million paid in the same year. UniCredit has filed an appeal against this decision to the Council of State and with a sentence dated 11 March 2021 the Council of State partially accepted the appeal brought by UniCredit S.p.A., by reducing the amount of the fine to €2.8 million and sentenced AGCM to return €1.2 million, amount which was reimbursed in June 2021. As at 31 December 2021, UniCredit S.p.A: • received reimbursement requests for a total amount of about €409 million (cost originally incurred by the Clients) from No.12,233 Customers; according to a preliminary analysis, such requests fulfill the requirements envisaged by the “customer care” initiative; the finalization of the reimbursement requests is currently carried out, aimed at assessing their effective compliance with the “customer care” initiative, and then proceed with the settlement where conditions recur; • with reference to the scope outlined in the previous point (€409 million approximately), reimbursed No.11,076 customers for about €387 million (equivalent value of original purchases), equal to about 95% of the reimbursement requests said above. In order to cope with the probable risks of loss related to the repurchases of diamonds, a dedicated Risk and Charges Fund was set up; its quantification was also based on the outcome of an independent study (commissioned to a primary third company) aiming at evaluating the diamonds’ value. Lastly, in line with a strategy of disposal in the short term, the gems purchased are recognized for about €52 million in item ”130. Other assets” of the balance sheet. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 778 2021 Annual Report and Accounts · UniCredit On 19 February 2019, the judge in charge of the preliminary investigation at the Court of Milan issued an interim seizure directed to UniCredit and other financial institutions aimed at: (i) direct confiscation of the amount of €33 million against UniCredit for the offence of aggravated fraud and (ii) indirect as well as direct confiscation of the amount of €72 thousand for the offence of self-laundering against UniCredit, assuming the administrative liability of UniCredit S.p.A. pursuant to article 25-octies of Legislative Decree 231/2001 for the crime of self-laundering. On 2 October 2019, the Bank and certain individuals received the notice of conclusion of the investigations pursuant to article 415-bis of the Italian Code of criminal procedure. The notice confirmed the involvement of certain current and former employees for the offence of aggravated fraud and self-laundering. With regard to the latter, self-laundering serves as a predicate crime for the administrative liability of the Bank under Legislative Decree No.231/2001. In September 2020, a new notice pursuant to article 415-bis of the Italian code of criminal procedure was served on certain individuals already involved in the proceedings. The allegations against the UniCredit individuals only pertain to the offence of fraud. Such new allegations do not modify the overall investigative framework as per the notice served in the autumn of 2019. In June 2021, the Public Prosecutor requested the indictment of some employees and former employees and the preliminary hearing is ongoing. With regard to this matter, the Board of Statutory Auditors, acting as 231 Supervisory Body’s, has followed, and will continue following, the evolution of the matter in close coordination with the Functions and with the external legal advisor. With regard to other claims by customers, the Compliance Function, supporting the business structures, oversees the regulatory environment evolution relating to banking services and products in areas like transparency, financial and investment services, and anti-usury. Compliance, as control Function, develops rules, checks processes and procedures and monitors complaints trends. The Compliance Function, along with the Legal one, also supports analysis and evaluation phases of adequacy of potential “customer care” actions or other initiatives designed to compose particular situations in which UniCredit S.p.A. might be involved in order to define them. Considering the regulatory complexity and interpretations not always homogeneous, UniCredit S.p.A. time-to-time assesses the accounting of provisions for risk and charges, aimed at facing costs, deemed probable, in a contest that has increased the litigiousness at banking system level. Concerning the financing of consumer credit, the EU Directive 2008/48 establishes that “the consumer shall be entitled at any time to discharge fully or partially his obligations under a credit agreement. In such cases, he shall be entitled to a reduction in the total cost of credit, such reduction consisting of the interest and the costs for the remaining duration of the contract”. Following the decision of the European Court of Justice in September 2019 (judgment C-383/18 referring to the “Lexitor” case) and the communication of the Banca d’Italia issued in December 2020, UniCredit S.p.A. proceeded to adapt to the most recent interpretation of this legislation. Therefore, in the event of a request for early repayment of the loan, the consumer is entitled to pay off his debt net of costs not yet accrued on the repayment date. Considering the above, as well as the interpretations prior to the aforementioned communication of the Banca d’Italia, the Bank noted the guidelines issued by the Authority adapting to the outlined framework, and has carried out the appropriate assessments, to also preserve the quality of the customers relationship. The Notes to the consolidated accounts also include information on the provision for tax risks for risks arising from tax disputes and risks arising from labor lawsuits. 8. Oversight of the adequacy of the internal control and risk management system The internal control system in the UniCredit group is based on: • Control bodies and Functions which involve, each for their respective remits, the Board of Directors, the Internal Controls & Risks Committee (IC&RC), the Chief Executive Officer as Director in charge of the internal control and risk management system, the Board of Statutory Auditors, as well as the company Functions with specific duties in this regard; • information flows and methods of coordination between the parties involved in the internal control and risk management system; • Group Governance mechanisms. As stated in the Report on Corporate Governance and Ownership Structures, the types of control in UniCredit, in compliance with current legislation and inspired by international best practices, are structured on three levels: • line controls (known as first-level controls), handled by the corporate Functions responsible for the business/operating activities; • controls on risks and compliance (known as second-level controls), handled by the Group Compliance and Group Risk Management Functions, each for the matters within their respective remit; • internal audit (known as third-level controls), handled by the Internal Audit Function. The Group Compliance, Group Risk Management and Internal Audit Functions are separate from one another and hierarchically independent of the corporate Functions performing the activities subject to the controls. The Board of Directors decides with exclusive competence, after proposal of the Internal Control & Risk Committee and consultation with the Board of Statutory Auditors, on the appointment and removal of their Heads. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 778 2021 Annual Report and Accounts · UniCredit On 19 February 2019, the judge in charge of the preliminary investigation at the Court of Milan issued an interim seizure directed to UniCredit and other financial institutions aimed at: (i) direct confiscation of the amount of €33 million against UniCredit for the offence of aggravated fraud and (ii) indirect as well as direct confiscation of the amount of €72 thousand for the offence of self-laundering against UniCredit, assuming the administrative liability of UniCredit S.p.A. pursuant to article 25-octies of Legislative Decree 231/2001 for the crime of self-laundering. On 2 October 2019, the Bank and certain individuals received the notice of conclusion of the investigations pursuant to article 415-bis of the Italian Code of criminal procedure. The notice confirmed the involvement of certain current and former employees for the offence of aggravated fraud and self-laundering. With regard to the latter, self-laundering serves as a predicate crime for the administrative liability of the Bank under Legislative Decree No.231/2001. In September 2020, a new notice pursuant to article 415-bis of the Italian code of criminal procedure was served on certain individuals already involved in the proceedings. The allegations against the UniCredit individuals only pertain to the offence of fraud. Such new allegations do not modify the overall investigative framework as per the notice served in the autumn of 2019. In June 2021, the Public Prosecutor requested the indictment of some employees and former employees and the preliminary hearing is ongoing. With regard to this matter, the Board of Statutory Auditors, acting as 231 Supervisory Body’s, has followed, and will continue following, the evolution of the matter in close coordination with the Functions and with the external legal advisor. With regard to other claims by customers, the Compliance Function, supporting the business structures, oversees the regulatory environment evolution relating to banking services and products in areas like transparency, financial and investment services, and anti-usury. Compliance, as control Function, develops rules, checks processes and procedures and monitors complaints trends. The Compliance Function, along with the Legal one, also supports analysis and evaluation phases of adequacy of potential “customer care” actions or other initiatives designed to compose particular situations in which UniCredit S.p.A. might be involved in order to define them. Considering the regulatory complexity and interpretations not always homogeneous, UniCredit S.p.A. time-to-time assesses the accounting of provisions for risk and charges, aimed at facing costs, deemed probable, in a contest that has increased the litigiousness at banking system level. Concerning the financing of consumer credit, the EU Directive 2008/48 establishes that “the consumer shall be entitled at any time to discharge fully or partially his obligations under a credit agreement. In such cases, he shall be entitled to a reduction in the total cost of credit, such reduction consisting of the interest and the costs for the remaining duration of the contract”. Following the decision of the European Court of Justice in September 2019 (judgment C-383/18 referring to the “Lexitor” case) and the communication of the Banca d’Italia issued in December 2020, UniCredit S.p.A. proceeded to adapt to the most recent interpretation of this legislation. Therefore, in the event of a request for early repayment of the loan, the consumer is entitled to pay off his debt net of costs not yet accrued on the repayment date. Considering the above, as well as the interpretations prior to the aforementioned communication of the Banca d’Italia, the Bank noted the guidelines issued by the Authority adapting to the outlined framework, and has carried out the appropriate assessments, to also preserve the quality of the customers relationship. The Notes to the consolidated accounts also include information on the provision for tax risks for risks arising from tax disputes and risks arising from labor lawsuits. 8. Oversight of the adequacy of the internal control and risk management system The internal control system in the UniCredit group is based on: • Control bodies and Functions which involve, each for their respective remits, the Board of Directors, the Internal Controls & Risks Committee (IC&RC), the Chief Executive Officer as Director in charge of the internal control and risk management system, the Board of Statutory Auditors, as well as the company Functions with specific duties in this regard; • information flows and methods of coordination between the parties involved in the internal control and risk management system; • Group Governance mechanisms. As stated in the Report on Corporate Governance and Ownership Structures, the types of control in UniCredit, in compliance with current legislation and inspired by international best practices, are structured on three levels: • line controls (known as first-level controls), handled by the corporate Functions responsible for the business/operating activities; • controls on risks and compliance (known as second-level controls), handled by the Group Compliance and Group Risk Management Functions, each for the matters within their respective remit; • internal audit (known as third-level controls), handled by the Internal Audit Function. The Group Compliance, Group Risk Management and Internal Audit Functions are separate from one another and hierarchically independent of the corporate Functions performing the activities subject to the controls. The Board of Directors decides with exclusive competence, after proposal of the Internal Control & Risk Committee and consultation with the Board of Statutory Auditors, on the appointment and removal of their Heads. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 778 2021 Annual Report and Accounts · UniCredit On 19 February 2019, the judge in charge of the preliminary investigation at the Court of Milan issued an interim seizure directed to UniCredit and other financial institutions aimed at: (i) direct confiscation of the amount of €33 million against UniCredit for the offence of aggravated fraud and (ii) indirect as well as direct confiscation of the amount of €72 thousand for the offence of self-laundering against UniCredit, assuming the administrative liability of UniCredit S.p.A. pursuant to article 25-octies of Legislative Decree 231/2001 for the crime of self-laundering. On 2 October 2019, the Bank and certain individuals received the notice of conclusion of the investigations pursuant to article 415-bis of the Italian Code of criminal procedure. The notice confirmed the involvement of certain current and former employees for the offence of aggravated fraud and self-laundering. With regard to the latter, self-laundering serves as a predicate crime for the administrative liability of the Bank under Legislative Decree No.231/2001. In September 2020, a new notice pursuant to article 415-bis of the Italian code of criminal procedure was served on certain individuals already involved in the proceedings. The allegations against the UniCredit individuals only pertain to the offence of fraud. Such new allegations do not modify the overall investigative framework as per the notice served in the autumn of 2019. In June 2021, the Public Prosecutor requested the indictment of some employees and former employees and the preliminary hearing is ongoing. With regard to this matter, the Board of Statutory Auditors, acting as 231 Supervisory Body’s, has followed, and will continue following, the evolution of the matter in close coordination with the Functions and with the external legal advisor. With regard to other claims by customers, the Compliance Function, supporting the business structures, oversees the regulatory environment evolution relating to banking services and products in areas like transparency, financial and investment services, and anti-usury. Compliance, as control Function, develops rules, checks processes and procedures and monitors complaints trends. The Compliance Function, along with the Legal one, also supports analysis and evaluation phases of adequacy of potential “customer care” actions or other initiatives designed to compose particular situations in which UniCredit S.p.A. might be involved in order to define them. Considering the regulatory complexity and interpretations not always homogeneous, UniCredit S.p.A. time-to-time assesses the accounting of provisions for risk and charges, aimed at facing costs, deemed probable, in a contest that has increased the litigiousness at banking system level. Concerning the financing of consumer credit, the EU Directive 2008/48 establishes that “the consumer shall be entitled at any time to discharge fully or partially his obligations under a credit agreement. In such cases, he shall be entitled to a reduction in the total cost of credit, such reduction consisting of the interest and the costs for the remaining duration of the contract”. Following the decision of the European Court of Justice in September 2019 (judgment C-383/18 referring to the “Lexitor” case) and the communication of the Banca d’Italia issued in December 2020, UniCredit S.p.A. proceeded to adapt to the most recent interpretation of this legislation. Therefore, in the event of a request for early repayment of the loan, the consumer is entitled to pay off his debt net of costs not yet accrued on the repayment date. Considering the above, as well as the interpretations prior to the aforementioned communication of the Banca d’Italia, the Bank noted the guidelines issued by the Authority adapting to the outlined framework, and has carried out the appropriate assessments, to also preserve the quality of the customers relationship. The Notes to the consolidated accounts also include information on the provision for tax risks for risks arising from tax disputes and risks arising from labor lawsuits. 8. Oversight of the adequacy of the internal control and risk management system The internal control system in the UniCredit group is based on: • Control bodies and Functions which involve, each for their respective remits, the Board of Directors, the Internal Controls & Risks Committee (IC&RC), the Chief Executive Officer as Director in charge of the internal control and risk management system, the Board of Statutory Auditors, as well as the company Functions with specific duties in this regard; • information flows and methods of coordination between the parties involved in the internal control and risk management system; • Group Governance mechanisms. As stated in the Report on Corporate Governance and Ownership Structures, the types of control in UniCredit, in compliance with current legislation and inspired by international best practices, are structured on three levels: • line controls (known as first-level controls), handled by the corporate Functions responsible for the business/operating activities; • controls on risks and compliance (known as second-level controls), handled by the Group Compliance and Group Risk Management Functions, each for the matters within their respective remit; • internal audit (known as third-level controls), handled by the Internal Audit Function. The Group Compliance, Group Risk Management and Internal Audit Functions are separate from one another and hierarchically independent of the corporate Functions performing the activities subject to the controls. The Board of Directors decides with exclusive competence, after proposal of the Internal Control & Risk Committee and consultation with the Board of Statutory Auditors, on the appointment and removal of their Heads. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 778 2021 Annual Report and Accounts · UniCredit On 19 February 2019, the judge in charge of the preliminary investigation at the Court of Milan issued an interim seizure directed to UniCredit and other financial institutions aimed at: (i) direct confiscation of the amount of €33 million against UniCredit for the offence of aggravated fraud and (ii) indirect as well as direct confiscation of the amount of €72 thousand for the offence of self-laundering against UniCredit, assuming the administrative liability of UniCredit S.p.A. pursuant to article 25-octies of Legislative Decree 231/2001 for the crime of self-laundering. On 2 October 2019, the Bank and certain individuals received the notice of conclusion of the investigations pursuant to article 415-bis of the Italian Code of criminal procedure. The notice confirmed the involvement of certain current and former employees for the offence of aggravated fraud and self-laundering. With regard to the latter, self-laundering serves as a predicate crime for the administrative liability of the Bank under Legislative Decree No.231/2001. In September 2020, a new notice pursuant to article 415-bis of the Italian code of criminal procedure was served on certain individuals already involved in the proceedings. The allegations against the UniCredit individuals only pertain to the offence of fraud. Such new allegations do not modify the overall investigative framework as per the notice served in the autumn of 2019. In June 2021, the Public Prosecutor requested the indictment of some employees and former employees and the preliminary hearing is ongoing. With regard to this matter, the Board of Statutory Auditors, acting as 231 Supervisory Body’s, has followed, and will continue following, the evolution of the matter in close coordination with the Functions and with the external legal advisor. With regard to other claims by customers, the Compliance Function, supporting the business structures, oversees the regulatory environment evolution relating to banking services and products in areas like transparency, financial and investment services, and anti-usury. Compliance, as control Function, develops rules, checks processes and procedures and monitors complaints trends. The Compliance Function, along with the Legal one, also supports analysis and evaluation phases of adequacy of potential “customer care” actions or other initiatives designed to compose particular situations in which UniCredit S.p.A. might be involved in order to define them. Considering the regulatory complexity and interpretations not always homogeneous, UniCredit S.p.A. time-to-time assesses the accounting of provisions for risk and charges, aimed at facing costs, deemed probable, in a contest that has increased the litigiousness at banking system level. Concerning the financing of consumer credit, the EU Directive 2008/48 establishes that “the consumer shall be entitled at any time to discharge fully or partially his obligations under a credit agreement. In such cases, he shall be entitled to a reduction in the total cost of credit, such reduction consisting of the interest and the costs for the remaining duration of the contract”. Following the decision of the European Court of Justice in September 2019 (judgment C-383/18 referring to the “Lexitor” case) and the communication of the Banca d’Italia issued in December 2020, UniCredit S.p.A. proceeded to adapt to the most recent interpretation of this legislation. Therefore, in the event of a request for early repayment of the loan, the consumer is entitled to pay off his debt net of costs not yet accrued on the repayment date. Considering the above, as well as the interpretations prior to the aforementioned communication of the Banca d’Italia, the Bank noted the guidelines issued by the Authority adapting to the outlined framework, and has carried out the appropriate assessments, to also preserve the quality of the customers relationship. The Notes to the consolidated accounts also include information on the provision for tax risks for risks arising from tax disputes and risks arising from labor lawsuits. 8. Oversight of the adequacy of the internal control and risk management system The internal control system in the UniCredit group is based on: • Control bodies and Functions which involve, each for their respective remits, the Board of Directors, the Internal Controls & Risks Committee (IC&RC), the Chief Executive Officer as Director in charge of the internal control and risk management system, the Board of Statutory Auditors, as well as the company Functions with specific duties in this regard; • information flows and methods of coordination between the parties involved in the internal control and risk management system; • Group Governance mechanisms. As stated in the Report on Corporate Governance and Ownership Structures, the types of control in UniCredit, in compliance with current legislation and inspired by international best practices, are structured on three levels: • line controls (known as first-level controls), handled by the corporate Functions responsible for the business/operating activities; • controls on risks and compliance (known as second-level controls), handled by the Group Compliance and Group Risk Management Functions, each for the matters within their respective remit; • internal audit (known as third-level controls), handled by the Internal Audit Function. The Group Compliance, Group Risk Management and Internal Audit Functions are separate from one another and hierarchically independent of the corporate Functions performing the activities subject to the controls. The Board of Directors decides with exclusive competence, after proposal of the Internal Control & Risk Committee and consultation with the Board of Statutory Auditors, on the appointment and removal of their Heads. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 778 2021 Annual Report and Accounts · UniCredit On 19 February 2019, the judge in charge of the preliminary investigation at the Court of Milan issued an interim seizure directed to UniCredit and other financial institutions aimed at: (i) direct confiscation of the amount of €33 million against UniCredit for the offence of aggravated fraud and (ii) indirect as well as direct confiscation of the amount of €72 thousand for the offence of self-laundering against UniCredit, assuming the administrative liability of UniCredit S.p.A. pursuant to article 25-octies of Legislative Decree 231/2001 for the crime of self-laundering. On 2 October 2019, the Bank and certain individuals received the notice of conclusion of the investigations pursuant to article 415-bis of the Italian Code of criminal procedure. The notice confirmed the involvement of certain current and former employees for the offence of aggravated fraud and self-laundering. With regard to the latter, self-laundering serves as a predicate crime for the administrative liability of the Bank under Legislative Decree No.231/2001. In September 2020, a new notice pursuant to article 415-bis of the Italian code of criminal procedure was served on certain individuals already involved in the proceedings. The allegations against the UniCredit individuals only pertain to the offence of fraud. Such new allegations do not modify the overall investigative framework as per the notice served in the autumn of 2019. In June 2021, the Public Prosecutor requested the indictment of some employees and former employees and the preliminary hearing is ongoing. With regard to this matter, the Board of Statutory Auditors, acting as 231 Supervisory Body’s, has followed, and will continue following, the evolution of the matter in close coordination with the Functions and with the external legal advisor. With regard to other claims by customers, the Compliance Function, supporting the business structures, oversees the regulatory environment evolution relating to banking services and products in areas like transparency, financial and investment services, and anti-usury. Compliance, as control Function, develops rules, checks processes and procedures and monitors complaints trends. The Compliance Function, along with the Legal one, also supports analysis and evaluation phases of adequacy of potential “customer care” actions or other initiatives designed to compose particular situations in which UniCredit S.p.A. might be involved in order to define them. Considering the regulatory complexity and interpretations not always homogeneous, UniCredit S.p.A. time-to-time assesses the accounting of provisions for risk and charges, aimed at facing costs, deemed probable, in a contest that has increased the litigiousness at banking system level. Concerning the financing of consumer credit, the EU Directive 2008/48 establishes that “the consumer shall be entitled at any time to discharge fully or partially his obligations under a credit agreement. In such cases, he shall be entitled to a reduction in the total cost of credit, such reduction consisting of the interest and the costs for the remaining duration of the contract”. Following the decision of the European Court of Justice in September 2019 (judgment C-383/18 referring to the “Lexitor” case) and the communication of the Banca d’Italia issued in December 2020, UniCredit S.p.A. proceeded to adapt to the most recent interpretation of this legislation. Therefore, in the event of a request for early repayment of the loan, the consumer is entitled to pay off his debt net of costs not yet accrued on the repayment date. Considering the above, as well as the interpretations prior to the aforementioned communication of the Banca d’Italia, the Bank noted the guidelines issued by the Authority adapting to the outlined framework, and has carried out the appropriate assessments, to also preserve the quality of the customers relationship. The Notes to the consolidated accounts also include information on the provision for tax risks for risks arising from tax disputes and risks arising from labor lawsuits. 8. Oversight of the adequacy of the internal control and risk management system The internal control system in the UniCredit group is based on: • Control bodies and Functions which involve, each for their respective remits, the Board of Directors, the Internal Controls & Risks Committee (IC&RC), the Chief Executive Officer as Director in charge of the internal control and risk management system, the Board of Statutory Auditors, as well as the company Functions with specific duties in this regard; • information flows and methods of coordination between the parties involved in the internal control and risk management system; • Group Governance mechanisms. As stated in the Report on Corporate Governance and Ownership Structures, the types of control in UniCredit, in compliance with current legislation and inspired by international best practices, are structured on three levels: • line controls (known as first-level controls), handled by the corporate Functions responsible for the business/operating activities; • controls on risks and compliance (known as second-level controls), handled by the Group Compliance and Group Risk Management Functions, each for the matters within their respective remit; • internal audit (known as third-level controls), handled by the Internal Audit Function. The Group Compliance, Group Risk Management and Internal Audit Functions are separate from one another and hierarchically independent of the corporate Functions performing the activities subject to the controls. The Board of Directors decides with exclusive competence, after proposal of the Internal Control & Risk Committee and consultation with the Board of Statutory Auditors, on the appointment and removal of their Heads. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 779 Pursuant to Circular No.285/2013 of Banca d’Italia, the Anti-Money Laundering Function and the Internal Validation Function are also included in the corporate control Functions, respectively positioned within Group Compliance and Group Risk Management. During the period under examination, the Board of Statutory Auditors acknowledges having carried out a periodic exchange of relevant information with the Control Functions. It also acknowledges that the Control Functions have fulfilled the related disclosure obligations towards the BoSA. Furthermore, in order to guarantee a continuous and timely flow of information with Internal Audit, the Head of the Function has a standing invitation to the Board of Statutory Auditors meetings. Based on the information acquired and included in the 2021 Internal Audit Function Report (Integrated Audit Report), the internal control system was rated by the same Function overall as “mostly satisfactory”, (confirming the same rating referred to the previous period), in light of the decreasing trend in audit analysis process with negative results, the lack of critical findings, and the maintenance of a strong focus and a strict discipline on the completion of remedial actions, with reference to both audit findings and those of the Authorities. In the period under examination, the Board of Statutory Auditors received and discussed, with the Internal Audit Department, several Audit Reports, and some special investigations. In the cases of “unsatisfactory” or “partially satisfactory” audit reports, the Board of Statutory Auditors asked to be kept up to date about the implementation of the Remediation Plans and, where appropriate, has called upon the Managers of the involved areas, in order to discuss the audit results and the related Remediation Plans directly. In general, the most important analyzed issues at Group level were the compliance risk, (rated as “mostly satisfactory”), ICT risk (whose rating passed from “partially satisfactory” to “mostly satisfactory”, due to the good level of maturity achieved in the related control framework specifically for ICT Security), Operational Risk (rated as “mostly satisfactory”), for which the Bank and the Group, compared to previous years, further increase their levels of risk management application standards. Improvements were noted in the internal controls system with regard to smaller subsidiaries, some of which still require adjustments in terms of compliance, ICT, and operational risks; the completion of the remedial actions implementation is planned by 2022. The Board of Statutory Auditors has examined and formulated its own recommendations on all the aforementioned issues. The Board of Statutory Auditors has examined in detail the underlying root causes and examined the detailed remedial plans defined and launched by Management, whose execution it regularly monitors, also calling the Parent company’s central structures to maintain the strong focus on steering and control, in all the Group’s companies, also in view of the important ongoing application projects in relation to the review of the organizational models and the controls framework. With reference to the “Outsourcing of activities” report prepared by the Internal Audit Function in compliance with the requirements of Banca d’Italia (Circular No.285/2013), the Board of Statutory Auditors was able to note - in relation to Outsourcers and Third Parties - the need to continue the framework improvement process already in place, based on the results of the audit work carried out on critical or important functions outsourced (CoI) and Third Parties. Credit, counterparty, market, operational risk management With regard to credit risk, the Internal Audit assessment is confirmed “mostly satisfactory” for the main Group Companies. As regards UniCredit S.p.A., the overall rating remains “partially satisfactory” in view of the execution risk for the IRB Model Roadmap and the need to complete the definition of the credit risk governance framework following the organizational changes foreseen by the “Simplification Program”. The Board of Statutory Auditors continued monitoring the credit risk by examining the specific periodic reports prepared by Group Risk Management together with those relating to the Credit Risk Strategy and monitoring the evolution of the Risk Appetite Framework. The Board of Statutory Auditors noted that the actions started in 2020 and enhanced during 2021 resulted efficient as confirmed by: • robust asset quality (benefitting from the disciplined underwriting and the de-risking phase prosecution); • further decrease of the NPE stock; • portfolio under moratoria showing good asset quality; • Group’s portfolio evolution overall in line with the risk appetite and steering signals, specifically in those sectors most sensitive to the pandemic impacts; • cost of risk in line with market guidance. The Board of Statutory Auditors has carefully considered the reorganization and simplification of the Group Risk Management Function started in 2021 (see also paragraph 9 below), paying specific attention to the integration of the activities previously carried out by the Group Lending Office and the distribution of responsibilities between the Holding Company and local Legal Entities. The Board of Statutory Auditors noted that the reorganization will go along with the strengthening of the Credit Risk Control Framework (with clear responsibilities assigned to the 1st and 2nd line of defense) and, as regards Italy Function, with a review of the credit underwriting and decision-making process with the Empowerment project aimed at strengthening the control framework and accountability of the 1st line of defense (Business) with delegated powers for credit decisions (under clear credit strategies and rules), and strengthening the supervision of the 2nd line of defense (Risk Management). Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 779 Pursuant to Circular No.285/2013 of Banca d’Italia, the Anti-Money Laundering Function and the Internal Validation Function are also included in the corporate control Functions, respectively positioned within Group Compliance and Group Risk Management. During the period under examination, the Board of Statutory Auditors acknowledges having carried out a periodic exchange of relevant information with the Control Functions. It also acknowledges that the Control Functions have fulfilled the related disclosure obligations towards the BoSA. Furthermore, in order to guarantee a continuous and timely flow of information with Internal Audit, the Head of the Function has a standing invitation to the Board of Statutory Auditors meetings. Based on the information acquired and included in the 2021 Internal Audit Function Report (Integrated Audit Report), the internal control system was rated by the same Function overall as “mostly satisfactory”, (confirming the same rating referred to the previous period), in light of the decreasing trend in audit analysis process with negative results, the lack of critical findings, and the maintenance of a strong focus and a strict discipline on the completion of remedial actions, with reference to both audit findings and those of the Authorities. In the period under examination, the Board of Statutory Auditors received and discussed, with the Internal Audit Department, several Audit Reports, and some special investigations. In the cases of “unsatisfactory” or “partially satisfactory” audit reports, the Board of Statutory Auditors asked to be kept up to date about the implementation of the Remediation Plans and, where appropriate, has called upon the Managers of the involved areas, in order to discuss the audit results and the related Remediation Plans directly. In general, the most important analyzed issues at Group level were the compliance risk, (rated as “mostly satisfactory”), ICT risk (whose rating passed from “partially satisfactory” to “mostly satisfactory”, due to the good level of maturity achieved in the related control framework specifically for ICT Security), Operational Risk (rated as “mostly satisfactory”), for which the Bank and the Group, compared to previous years, further increase their levels of risk management application standards. Improvements were noted in the internal controls system with regard to smaller subsidiaries, some of which still require adjustments in terms of compliance, ICT, and operational risks; the completion of the remedial actions implementation is planned by 2022. The Board of Statutory Auditors has examined and formulated its own recommendations on all the aforementioned issues. The Board of Statutory Auditors has examined in detail the underlying root causes and examined the detailed remedial plans defined and launched by Management, whose execution it regularly monitors, also calling the Parent company’s central structures to maintain the strong focus on steering and control, in all the Group’s companies, also in view of the important ongoing application projects in relation to the review of the organizational models and the controls framework. With reference to the “Outsourcing of activities” report prepared by the Internal Audit Function in compliance with the requirements of Banca d’Italia (Circular No.285/2013), the Board of Statutory Auditors was able to note - in relation to Outsourcers and Third Parties - the need to continue the framework improvement process already in place, based on the results of the audit work carried out on critical or important functions outsourced (CoI) and Third Parties. Credit, counterparty, market, operational risk management With regard to credit risk, the Internal Audit assessment is confirmed “mostly satisfactory” for the main Group Companies. As regards UniCredit S.p.A., the overall rating remains “partially satisfactory” in view of the execution risk for the IRB Model Roadmap and the need to complete the definition of the credit risk governance framework following the organizational changes foreseen by the “Simplification Program”. The Board of Statutory Auditors continued monitoring the credit risk by examining the specific periodic reports prepared by Group Risk Management together with those relating to the Credit Risk Strategy and monitoring the evolution of the Risk Appetite Framework. The Board of Statutory Auditors noted that the actions started in 2020 and enhanced during 2021 resulted efficient as confirmed by: • robust asset quality (benefitting from the disciplined underwriting and the de-risking phase prosecution); • further decrease of the NPE stock; • portfolio under moratoria showing good asset quality; • Group’s portfolio evolution overall in line with the risk appetite and steering signals, specifically in those sectors most sensitive to the pandemic impacts; • cost of risk in line with market guidance. The Board of Statutory Auditors has carefully considered the reorganization and simplification of the Group Risk Management Function started in 2021 (see also paragraph 9 below), paying specific attention to the integration of the activities previously carried out by the Group Lending Office and the distribution of responsibilities between the Holding Company and local Legal Entities. The Board of Statutory Auditors noted that the reorganization will go along with the strengthening of the Credit Risk Control Framework (with clear responsibilities assigned to the 1st and 2nd line of defense) and, as regards Italy Function, with a review of the credit underwriting and decision-making process with the Empowerment project aimed at strengthening the control framework and accountability of the 1st line of defense (Business) with delegated powers for credit decisions (under clear credit strategies and rules), and strengthening the supervision of the 2nd line of defense (Risk Management). Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 779 Pursuant to Circular No.285/2013 of Banca d’Italia, the Anti-Money Laundering Function and the Internal Validation Function are also included in the corporate control Functions, respectively positioned within Group Compliance and Group Risk Management. During the period under examination, the Board of Statutory Auditors acknowledges having carried out a periodic exchange of relevant information with the Control Functions. It also acknowledges that the Control Functions have fulfilled the related disclosure obligations towards the BoSA. Furthermore, in order to guarantee a continuous and timely flow of information with Internal Audit, the Head of the Function has a standing invitation to the Board of Statutory Auditors meetings. Based on the information acquired and included in the 2021 Internal Audit Function Report (Integrated Audit Report), the internal control system was rated by the same Function overall as “mostly satisfactory”, (confirming the same rating referred to the previous period), in light of the decreasing trend in audit analysis process with negative results, the lack of critical findings, and the maintenance of a strong focus and a strict discipline on the completion of remedial actions, with reference to both audit findings and those of the Authorities. In the period under examination, the Board of Statutory Auditors received and discussed, with the Internal Audit Department, several Audit Reports, and some special investigations. In the cases of “unsatisfactory” or “partially satisfactory” audit reports, the Board of Statutory Auditors asked to be kept up to date about the implementation of the Remediation Plans and, where appropriate, has called upon the Managers of the involved areas, in order to discuss the audit results and the related Remediation Plans directly. In general, the most important analyzed issues at Group level were the compliance risk, (rated as “mostly satisfactory”), ICT risk (whose rating passed from “partially satisfactory” to “mostly satisfactory”, due to the good level of maturity achieved in the related control framework specifically for ICT Security), Operational Risk (rated as “mostly satisfactory”), for which the Bank and the Group, compared to previous years, further increase their levels of risk management application standards. Improvements were noted in the internal controls system with regard to smaller subsidiaries, some of which still require adjustments in terms of compliance, ICT, and operational risks; the completion of the remedial actions implementation is planned by 2022. The Board of Statutory Auditors has examined and formulated its own recommendations on all the aforementioned issues. The Board of Statutory Auditors has examined in detail the underlying root causes and examined the detailed remedial plans defined and launched by Management, whose execution it regularly monitors, also calling the Parent company’s central structures to maintain the strong focus on steering and control, in all the Group’s companies, also in view of the important ongoing application projects in relation to the review of the organizational models and the controls framework. With reference to the “Outsourcing of activities” report prepared by the Internal Audit Function in compliance with the requirements of Banca d’Italia (Circular No.285/2013), the Board of Statutory Auditors was able to note - in relation to Outsourcers and Third Parties - the need to continue the framework improvement process already in place, based on the results of the audit work carried out on critical or important functions outsourced (CoI) and Third Parties. Credit, counterparty, market, operational risk management With regard to credit risk, the Internal Audit assessment is confirmed “mostly satisfactory” for the main Group Companies. As regards UniCredit S.p.A., the overall rating remains “partially satisfactory” in view of the execution risk for the IRB Model Roadmap and the need to complete the definition of the credit risk governance framework following the organizational changes foreseen by the “Simplification Program”. The Board of Statutory Auditors continued monitoring the credit risk by examining the specific periodic reports prepared by Group Risk Management together with those relating to the Credit Risk Strategy and monitoring the evolution of the Risk Appetite Framework. The Board of Statutory Auditors noted that the actions started in 2020 and enhanced during 2021 resulted efficient as confirmed by: • robust asset quality (benefitting from the disciplined underwriting and the de-risking phase prosecution); • further decrease of the NPE stock; • portfolio under moratoria showing good asset quality; • Group’s portfolio evolution overall in line with the risk appetite and steering signals, specifically in those sectors most sensitive to the pandemic impacts; • cost of risk in line with market guidance. The Board of Statutory Auditors has carefully considered the reorganization and simplification of the Group Risk Management Function started in 2021 (see also paragraph 9 below), paying specific attention to the integration of the activities previously carried out by the Group Lending Office and the distribution of responsibilities between the Holding Company and local Legal Entities. The Board of Statutory Auditors noted that the reorganization will go along with the strengthening of the Credit Risk Control Framework (with clear responsibilities assigned to the 1st and 2nd line of defense) and, as regards Italy Function, with a review of the credit underwriting and decision-making process with the Empowerment project aimed at strengthening the control framework and accountability of the 1st line of defense (Business) with delegated powers for credit decisions (under clear credit strategies and rules), and strengthening the supervision of the 2nd line of defense (Risk Management). Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 779 Pursuant to Circular No.285/2013 of Banca d’Italia, the Anti-Money Laundering Function and the Internal Validation Function are also included in the corporate control Functions, respectively positioned within Group Compliance and Group Risk Management. During the period under examination, the Board of Statutory Auditors acknowledges having carried out a periodic exchange of relevant information with the Control Functions. It also acknowledges that the Control Functions have fulfilled the related disclosure obligations towards the BoSA. Furthermore, in order to guarantee a continuous and timely flow of information with Internal Audit, the Head of the Function has a standing invitation to the Board of Statutory Auditors meetings. Based on the information acquired and included in the 2021 Internal Audit Function Report (Integrated Audit Report), the internal control system was rated by the same Function overall as “mostly satisfactory”, (confirming the same rating referred to the previous period), in light of the decreasing trend in audit analysis process with negative results, the lack of critical findings, and the maintenance of a strong focus and a strict discipline on the completion of remedial actions, with reference to both audit findings and those of the Authorities. In the period under examination, the Board of Statutory Auditors received and discussed, with the Internal Audit Department, several Audit Reports, and some special investigations. In the cases of “unsatisfactory” or “partially satisfactory” audit reports, the Board of Statutory Auditors asked to be kept up to date about the implementation of the Remediation Plans and, where appropriate, has called upon the Managers of the involved areas, in order to discuss the audit results and the related Remediation Plans directly. In general, the most important analyzed issues at Group level were the compliance risk, (rated as “mostly satisfactory”), ICT risk (whose rating passed from “partially satisfactory” to “mostly satisfactory”, due to the good level of maturity achieved in the related control framework specifically for ICT Security), Operational Risk (rated as “mostly satisfactory”), for which the Bank and the Group, compared to previous years, further increase their levels of risk management application standards. Improvements were noted in the internal controls system with regard to smaller subsidiaries, some of which still require adjustments in terms of compliance, ICT, and operational risks; the completion of the remedial actions implementation is planned by 2022. The Board of Statutory Auditors has examined and formulated its own recommendations on all the aforementioned issues. The Board of Statutory Auditors has examined in detail the underlying root causes and examined the detailed remedial plans defined and launched by Management, whose execution it regularly monitors, also calling the Parent company’s central structures to maintain the strong focus on steering and control, in all the Group’s companies, also in view of the important ongoing application projects in relation to the review of the organizational models and the controls framework. With reference to the “Outsourcing of activities” report prepared by the Internal Audit Function in compliance with the requirements of Banca d’Italia (Circular No.285/2013), the Board of Statutory Auditors was able to note - in relation to Outsourcers and Third Parties - the need to continue the framework improvement process already in place, based on the results of the audit work carried out on critical or important functions outsourced (CoI) and Third Parties. Credit, counterparty, market, operational risk management With regard to credit risk, the Internal Audit assessment is confirmed “mostly satisfactory” for the main Group Companies. As regards UniCredit S.p.A., the overall rating remains “partially satisfactory” in view of the execution risk for the IRB Model Roadmap and the need to complete the definition of the credit risk governance framework following the organizational changes foreseen by the “Simplification Program”. The Board of Statutory Auditors continued monitoring the credit risk by examining the specific periodic reports prepared by Group Risk Management together with those relating to the Credit Risk Strategy and monitoring the evolution of the Risk Appetite Framework. The Board of Statutory Auditors noted that the actions started in 2020 and enhanced during 2021 resulted efficient as confirmed by: • robust asset quality (benefitting from the disciplined underwriting and the de-risking phase prosecution); • further decrease of the NPE stock; • portfolio under moratoria showing good asset quality; • Group’s portfolio evolution overall in line with the risk appetite and steering signals, specifically in those sectors most sensitive to the pandemic impacts; • cost of risk in line with market guidance. The Board of Statutory Auditors has carefully considered the reorganization and simplification of the Group Risk Management Function started in 2021 (see also paragraph 9 below), paying specific attention to the integration of the activities previously carried out by the Group Lending Office and the distribution of responsibilities between the Holding Company and local Legal Entities. The Board of Statutory Auditors noted that the reorganization will go along with the strengthening of the Credit Risk Control Framework (with clear responsibilities assigned to the 1st and 2nd line of defense) and, as regards Italy Function, with a review of the credit underwriting and decision-making process with the Empowerment project aimed at strengthening the control framework and accountability of the 1st line of defense (Business) with delegated powers for credit decisions (under clear credit strategies and rules), and strengthening the supervision of the 2nd line of defense (Risk Management). Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 779 Pursuant to Circular No.285/2013 of Banca d’Italia, the Anti-Money Laundering Function and the Internal Validation Function are also included in the corporate control Functions, respectively positioned within Group Compliance and Group Risk Management. During the period under examination, the Board of Statutory Auditors acknowledges having carried out a periodic exchange of relevant information with the Control Functions. It also acknowledges that the Control Functions have fulfilled the related disclosure obligations towards the BoSA. Furthermore, in order to guarantee a continuous and timely flow of information with Internal Audit, the Head of the Function has a standing invitation to the Board of Statutory Auditors meetings. Based on the information acquired and included in the 2021 Internal Audit Function Report (Integrated Audit Report), the internal control system was rated by the same Function overall as “mostly satisfactory”, (confirming the same rating referred to the previous period), in light of the decreasing trend in audit analysis process with negative results, the lack of critical findings, and the maintenance of a strong focus and a strict discipline on the completion of remedial actions, with reference to both audit findings and those of the Authorities. In the period under examination, the Board of Statutory Auditors received and discussed, with the Internal Audit Department, several Audit Reports, and some special investigations. In the cases of “unsatisfactory” or “partially satisfactory” audit reports, the Board of Statutory Auditors asked to be kept up to date about the implementation of the Remediation Plans and, where appropriate, has called upon the Managers of the involved areas, in order to discuss the audit results and the related Remediation Plans directly. In general, the most important analyzed issues at Group level were the compliance risk, (rated as “mostly satisfactory”), ICT risk (whose rating passed from “partially satisfactory” to “mostly satisfactory”, due to the good level of maturity achieved in the related control framework specifically for ICT Security), Operational Risk (rated as “mostly satisfactory”), for which the Bank and the Group, compared to previous years, further increase their levels of risk management application standards. Improvements were noted in the internal controls system with regard to smaller subsidiaries, some of which still require adjustments in terms of compliance, ICT, and operational risks; the completion of the remedial actions implementation is planned by 2022. The Board of Statutory Auditors has examined and formulated its own recommendations on all the aforementioned issues. The Board of Statutory Auditors has examined in detail the underlying root causes and examined the detailed remedial plans defined and launched by Management, whose execution it regularly monitors, also calling the Parent company’s central structures to maintain the strong focus on steering and control, in all the Group’s companies, also in view of the important ongoing application projects in relation to the review of the organizational models and the controls framework. With reference to the “Outsourcing of activities” report prepared by the Internal Audit Function in compliance with the requirements of Banca d’Italia (Circular No.285/2013), the Board of Statutory Auditors was able to note - in relation to Outsourcers and Third Parties - the need to continue the framework improvement process already in place, based on the results of the audit work carried out on critical or important functions outsourced (CoI) and Third Parties. Credit, counterparty, market, operational risk management With regard to credit risk, the Internal Audit assessment is confirmed “mostly satisfactory” for the main Group Companies. As regards UniCredit S.p.A., the overall rating remains “partially satisfactory” in view of the execution risk for the IRB Model Roadmap and the need to complete the definition of the credit risk governance framework following the organizational changes foreseen by the “Simplification Program”. The Board of Statutory Auditors continued monitoring the credit risk by examining the specific periodic reports prepared by Group Risk Management together with those relating to the Credit Risk Strategy and monitoring the evolution of the Risk Appetite Framework. The Board of Statutory Auditors noted that the actions started in 2020 and enhanced during 2021 resulted efficient as confirmed by: • robust asset quality (benefitting from the disciplined underwriting and the de-risking phase prosecution); • further decrease of the NPE stock; • portfolio under moratoria showing good asset quality; • Group’s portfolio evolution overall in line with the risk appetite and steering signals, specifically in those sectors most sensitive to the pandemic impacts; • cost of risk in line with market guidance. The Board of Statutory Auditors has carefully considered the reorganization and simplification of the Group Risk Management Function started in 2021 (see also paragraph 9 below), paying specific attention to the integration of the activities previously carried out by the Group Lending Office and the distribution of responsibilities between the Holding Company and local Legal Entities. The Board of Statutory Auditors noted that the reorganization will go along with the strengthening of the Credit Risk Control Framework (with clear responsibilities assigned to the 1st and 2nd line of defense) and, as regards Italy Function, with a review of the credit underwriting and decision-making process with the Empowerment project aimed at strengthening the control framework and accountability of the 1st line of defense (Business) with delegated powers for credit decisions (under clear credit strategies and rules), and strengthening the supervision of the 2nd line of defense (Risk Management). Company financial statements | Report and resolutions Report of the Board of Statutory auditors 780 2021 Annual Report and Accounts · UniCredit The Board of Statutory Auditors observed that the ongoing reorganization denotes Management’s awareness of the issues of the Business empowerment and accountability and noted that a timeline has been outlined whereby each new phase will only be started once the elements of the previous phase have been completed and, specifically, that an appropriate control framework is in place. The Board of Statutory Auditors examined the periodic update of the Group Risk Management Global Policy carried out in order to ensure their effectiveness over time pursuant to the Banca d’Italia provisions on the internal control system; The Board of Statutory Auditors noted that this review (which also covered 12 policies relating to the Credit Risk, Financial Risk, Non Financial Risk and GIV - Group Internal Validation risk pillars) was carried out as part of an initiative launched by Top Management with the aim of strengthening the internal policy framework itself by making its use clearer and easier and avoiding redundancies and duplications. The Board of Statutory Auditors noted that the new policies incorporated the renewed organizational set-up, including the new managerial Committees, and considered the Supervisors’ finding, regulatory requirements and expectations as well as methodological enhancements. With reference to Internal Models, during the course of its supervisory activities, the Board of Statutory Auditors has positively noted, through the necessary updates with the relevant Functions, that: • the development and validation activities envisaged by the IRB Model Roadmap continued with some time delays mainly due to the pandemic and the lengthening of the regulatory approval process; • the validation framework is up and running at Group level and is based on: (i) organisational set-up reporting directly to the Group CRO (Credit Risk Officer) mirrored in Group Companies; (ii) GIV steering on Local Validation Functions; (iii) common validation methodological standards for IRB models; • the Internal Rating System in preparation is assessed to comply with regulatory requirements, improving over the previous year thanks to the implementations of the Model Roadmap. With regard to credit risk (IRB Systems), the assessments of the Internal Validation and Internal Audit Functions agree that the IRB systems are overall compliant with regulatory requirements. The Board of Statutory Auditors noted that Internal Audit’s evaluation remains “partially satisfactory” mainly due to the execution delays of the Model Roadmap and the persistent weaknesses of the Group Wide rating systems currently in production, despite the implementations and recalibrations completed in 2021. However, the BoSA noted that Internal Audit does not believe there is underestimation of risks, as also verified by GIV in the context of its annual checks on rating models. The BoSA also noted that, with regard to many local models, the recalibration process for the new definition of default was completed and Internal Audit assessments highlighted a general positive result. The evaluations of the Validation Function with regard to counterparty credit risk (“adequate”), market risk (“adequate”) and operational risk (“fully adequate”) meet the Internal Audit evaluations (“mostly satisfactory”), considering the relevant system to be overall compliant with the regulatory provisions. The Board of Statutory Auditors examined the annual audit on GIV, carried out with specific focus on IFRS9 models, and noted that Internal Audit confirmed the “satisfactory” rating. Such rating was supported specifically by the adequacy of the Function governance and the validation framework, confirmed to be satisfactory for both IFRS9 and IRB models. The Board of Statutory Auditors examined, inter alia, the following audit reports with a “satisfactory” rating: • “Model Risk Management Framework”; • “Advanced Measurement Approach (AMA) framework and Operational Risk Management”; • “Global View Management of Public Guarantees”; • “Global Audit on New Definition of Default”; • “ICS on Market Risk”. The Board of Statutory Auditors has also taken note of the confirmation of the “mostly satisfactory” assessment carried out by the Internal Audit Function at UniCredit S.p.A., and in the main Group companies with regard to the Risk Management Functions, based on the overall adequacy in the identification, measurement, and management of Group risks (Credit, Liquidity, Operational risk including ICAAP, RAF). On 8 March 2022, the Board of Statutory Auditors issued its positive opinion for the certification by the Board of Directors about the compliance with the requirements for using the Group’s credit, counterparty, market and operational risk management, measurement, and control systems. Liquidity risk In the context of the initiatives and actions concerning the liquidity monitoring procedures, the Board of Statutory Auditors examined the review of the “Global Policy - Group Liquidity Stress Test”, approved by the Board of Directors in May 2021, whereby, as recommended by ECB, the BoSA was involved in the periodic review of the main features of scenarios used in liquidity stress tests. The review included: (i) clarifications regarding the roles of Bodies and Committees in approving key elements of liquidity stress tests; (ii) a more precise description of the different stress scenarios; (iii) the review of the analysis frequency, now related to the actual liquidity situation. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 780 2021 Annual Report and Accounts · UniCredit The Board of Statutory Auditors observed that the ongoing reorganization denotes Management’s awareness of the issues of the Business empowerment and accountability and noted that a timeline has been outlined whereby each new phase will only be started once the elements of the previous phase have been completed and, specifically, that an appropriate control framework is in place. The Board of Statutory Auditors examined the periodic update of the Group Risk Management Global Policy carried out in order to ensure their effectiveness over time pursuant to the Banca d’Italia provisions on the internal control system; The Board of Statutory Auditors noted that this review (which also covered 12 policies relating to the Credit Risk, Financial Risk, Non Financial Risk and GIV - Group Internal Validation risk pillars) was carried out as part of an initiative launched by Top Management with the aim of strengthening the internal policy framework itself by making its use clearer and easier and avoiding redundancies and duplications. The Board of Statutory Auditors noted that the new policies incorporated the renewed organizational set-up, including the new managerial Committees, and considered the Supervisors’ finding, regulatory requirements and expectations as well as methodological enhancements. With reference to Internal Models, during the course of its supervisory activities, the Board of Statutory Auditors has positively noted, through the necessary updates with the relevant Functions, that: • the development and validation activities envisaged by the IRB Model Roadmap continued with some time delays mainly due to the pandemic and the lengthening of the regulatory approval process; • the validation framework is up and running at Group level and is based on: (i) organisational set-up reporting directly to the Group CRO (Credit Risk Officer) mirrored in Group Companies; (ii) GIV steering on Local Validation Functions; (iii) common validation methodological standards for IRB models; • the Internal Rating System in preparation is assessed to comply with regulatory requirements, improving over the previous year thanks to the implementations of the Model Roadmap. With regard to credit risk (IRB Systems), the assessments of the Internal Validation and Internal Audit Functions agree that the IRB systems are overall compliant with regulatory requirements. The Board of Statutory Auditors noted that Internal Audit’s evaluation remains “partially satisfactory” mainly due to the execution delays of the Model Roadmap and the persistent weaknesses of the Group Wide rating systems currently in production, despite the implementations and recalibrations completed in 2021. However, the BoSA noted that Internal Audit does not believe there is underestimation of risks, as also verified by GIV in the context of its annual checks on rating models. The BoSA also noted that, with regard to many local models, the recalibration process for the new definition of default was completed and Internal Audit assessments highlighted a general positive result. The evaluations of the Validation Function with regard to counterparty credit risk (“adequate”), market risk (“adequate”) and operational risk (“fully adequate”) meet the Internal Audit evaluations (“mostly satisfactory”), considering the relevant system to be overall compliant with the regulatory provisions. The Board of Statutory Auditors examined the annual audit on GIV, carried out with specific focus on IFRS9 models, and noted that Internal Audit confirmed the “satisfactory” rating. Such rating was supported specifically by the adequacy of the Function governance and the validation framework, confirmed to be satisfactory for both IFRS9 and IRB models. The Board of Statutory Auditors examined, inter alia, the following audit reports with a “satisfactory” rating: • “Model Risk Management Framework”; • “Advanced Measurement Approach (AMA) framework and Operational Risk Management”; • “Global View Management of Public Guarantees”; • “Global Audit on New Definition of Default”; • “ICS on Market Risk”. The Board of Statutory Auditors has also taken note of the confirmation of the “mostly satisfactory” assessment carried out by the Internal Audit Function at UniCredit S.p.A., and in the main Group companies with regard to the Risk Management Functions, based on the overall adequacy in the identification, measurement, and management of Group risks (Credit, Liquidity, Operational risk including ICAAP, RAF). On 8 March 2022, the Board of Statutory Auditors issued its positive opinion for the certification by the Board of Directors about the compliance with the requirements for using the Group’s credit, counterparty, market and operational risk management, measurement, and control systems. Liquidity risk In the context of the initiatives and actions concerning the liquidity monitoring procedures, the Board of Statutory Auditors examined the review of the “Global Policy - Group Liquidity Stress Test”, approved by the Board of Directors in May 2021, whereby, as recommended by ECB, the BoSA was involved in the periodic review of the main features of scenarios used in liquidity stress tests. The review included: (i) clarifications regarding the roles of Bodies and Committees in approving key elements of liquidity stress tests; (ii) a more precise description of the different stress scenarios; (iii) the review of the analysis frequency, now related to the actual liquidity situation. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 780 2021 Annual Report and Accounts · UniCredit The Board of Statutory Auditors observed that the ongoing reorganization denotes Management’s awareness of the issues of the Business empowerment and accountability and noted that a timeline has been outlined whereby each new phase will only be started once the elements of the previous phase have been completed and, specifically, that an appropriate control framework is in place. The Board of Statutory Auditors examined the periodic update of the Group Risk Management Global Policy carried out in order to ensure their effectiveness over time pursuant to the Banca d’Italia provisions on the internal control system; The Board of Statutory Auditors noted that this review (which also covered 12 policies relating to the Credit Risk, Financial Risk, Non Financial Risk and GIV - Group Internal Validation risk pillars) was carried out as part of an initiative launched by Top Management with the aim of strengthening the internal policy framework itself by making its use clearer and easier and avoiding redundancies and duplications. The Board of Statutory Auditors noted that the new policies incorporated the renewed organizational set-up, including the new managerial Committees, and considered the Supervisors’ finding, regulatory requirements and expectations as well as methodological enhancements. With reference to Internal Models, during the course of its supervisory activities, the Board of Statutory Auditors has positively noted, through the necessary updates with the relevant Functions, that: • the development and validation activities envisaged by the IRB Model Roadmap continued with some time delays mainly due to the pandemic and the lengthening of the regulatory approval process; • the validation framework is up and running at Group level and is based on: (i) organisational set-up reporting directly to the Group CRO (Credit Risk Officer) mirrored in Group Companies; (ii) GIV steering on Local Validation Functions; (iii) common validation methodological standards for IRB models; • the Internal Rating System in preparation is assessed to comply with regulatory requirements, improving over the previous year thanks to the implementations of the Model Roadmap. With regard to credit risk (IRB Systems), the assessments of the Internal Validation and Internal Audit Functions agree that the IRB systems are overall compliant with regulatory requirements. The Board of Statutory Auditors noted that Internal Audit’s evaluation remains “partially satisfactory” mainly due to the execution delays of the Model Roadmap and the persistent weaknesses of the Group Wide rating systems currently in production, despite the implementations and recalibrations completed in 2021. However, the BoSA noted that Internal Audit does not believe there is underestimation of risks, as also verified by GIV in the context of its annual checks on rating models. The BoSA also noted that, with regard to many local models, the recalibration process for the new definition of default was completed and Internal Audit assessments highlighted a general positive result. The evaluations of the Validation Function with regard to counterparty credit risk (“adequate”), market risk (“adequate”) and operational risk (“fully adequate”) meet the Internal Audit evaluations (“mostly satisfactory”), considering the relevant system to be overall compliant with the regulatory provisions. The Board of Statutory Auditors examined the annual audit on GIV, carried out with specific focus on IFRS9 models, and noted that Internal Audit confirmed the “satisfactory” rating. Such rating was supported specifically by the adequacy of the Function governance and the validation framework, confirmed to be satisfactory for both IFRS9 and IRB models. The Board of Statutory Auditors examined, inter alia, the following audit reports with a “satisfactory” rating: • “Model Risk Management Framework”; • “Advanced Measurement Approach (AMA) framework and Operational Risk Management”; • “Global View Management of Public Guarantees”; • “Global Audit on New Definition of Default”; • “ICS on Market Risk”. The Board of Statutory Auditors has also taken note of the confirmation of the “mostly satisfactory” assessment carried out by the Internal Audit Function at UniCredit S.p.A., and in the main Group companies with regard to the Risk Management Functions, based on the overall adequacy in the identification, measurement, and management of Group risks (Credit, Liquidity, Operational risk including ICAAP, RAF). On 8 March 2022, the Board of Statutory Auditors issued its positive opinion for the certification by the Board of Directors about the compliance with the requirements for using the Group’s credit, counterparty, market and operational risk management, measurement, and control systems. Liquidity risk In the context of the initiatives and actions concerning the liquidity monitoring procedures, the Board of Statutory Auditors examined the review of the “Global Policy - Group Liquidity Stress Test”, approved by the Board of Directors in May 2021, whereby, as recommended by ECB, the BoSA was involved in the periodic review of the main features of scenarios used in liquidity stress tests. The review included: (i) clarifications regarding the roles of Bodies and Committees in approving key elements of liquidity stress tests; (ii) a more precise description of the different stress scenarios; (iii) the review of the analysis frequency, now related to the actual liquidity situation. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 780 2021 Annual Report and Accounts · UniCredit The Board of Statutory Auditors observed that the ongoing reorganization denotes Management’s awareness of the issues of the Business empowerment and accountability and noted that a timeline has been outlined whereby each new phase will only be started once the elements of the previous phase have been completed and, specifically, that an appropriate control framework is in place. The Board of Statutory Auditors examined the periodic update of the Group Risk Management Global Policy carried out in order to ensure their effectiveness over time pursuant to the Banca d’Italia provisions on the internal control system; The Board of Statutory Auditors noted that this review (which also covered 12 policies relating to the Credit Risk, Financial Risk, Non Financial Risk and GIV - Group Internal Validation risk pillars) was carried out as part of an initiative launched by Top Management with the aim of strengthening the internal policy framework itself by making its use clearer and easier and avoiding redundancies and duplications. The Board of Statutory Auditors noted that the new policies incorporated the renewed organizational set-up, including the new managerial Committees, and considered the Supervisors’ finding, regulatory requirements and expectations as well as methodological enhancements. With reference to Internal Models, during the course of its supervisory activities, the Board of Statutory Auditors has positively noted, through the necessary updates with the relevant Functions, that: • the development and validation activities envisaged by the IRB Model Roadmap continued with some time delays mainly due to the pandemic and the lengthening of the regulatory approval process; • the validation framework is up and running at Group level and is based on: (i) organisational set-up reporting directly to the Group CRO (Credit Risk Officer) mirrored in Group Companies; (ii) GIV steering on Local Validation Functions; (iii) common validation methodological standards for IRB models; • the Internal Rating System in preparation is assessed to comply with regulatory requirements, improving over the previous year thanks to the implementations of the Model Roadmap. With regard to credit risk (IRB Systems), the assessments of the Internal Validation and Internal Audit Functions agree that the IRB systems are overall compliant with regulatory requirements. The Board of Statutory Auditors noted that Internal Audit’s evaluation remains “partially satisfactory” mainly due to the execution delays of the Model Roadmap and the persistent weaknesses of the Group Wide rating systems currently in production, despite the implementations and recalibrations completed in 2021. However, the BoSA noted that Internal Audit does not believe there is underestimation of risks, as also verified by GIV in the context of its annual checks on rating models. The BoSA also noted that, with regard to many local models, the recalibration process for the new definition of default was completed and Internal Audit assessments highlighted a general positive result. The evaluations of the Validation Function with regard to counterparty credit risk (“adequate”), market risk (“adequate”) and operational risk (“fully adequate”) meet the Internal Audit evaluations (“mostly satisfactory”), considering the relevant system to be overall compliant with the regulatory provisions. The Board of Statutory Auditors examined the annual audit on GIV, carried out with specific focus on IFRS9 models, and noted that Internal Audit confirmed the “satisfactory” rating. Such rating was supported specifically by the adequacy of the Function governance and the validation framework, confirmed to be satisfactory for both IFRS9 and IRB models. The Board of Statutory Auditors examined, inter alia, the following audit reports with a “satisfactory” rating: • “Model Risk Management Framework”; • “Advanced Measurement Approach (AMA) framework and Operational Risk Management”; • “Global View Management of Public Guarantees”; • “Global Audit on New Definition of Default”; • “ICS on Market Risk”. The Board of Statutory Auditors has also taken note of the confirmation of the “mostly satisfactory” assessment carried out by the Internal Audit Function at UniCredit S.p.A., and in the main Group companies with regard to the Risk Management Functions, based on the overall adequacy in the identification, measurement, and management of Group risks (Credit, Liquidity, Operational risk including ICAAP, RAF). On 8 March 2022, the Board of Statutory Auditors issued its positive opinion for the certification by the Board of Directors about the compliance with the requirements for using the Group’s credit, counterparty, market and operational risk management, measurement, and control systems. Liquidity risk In the context of the initiatives and actions concerning the liquidity monitoring procedures, the Board of Statutory Auditors examined the review of the “Global Policy - Group Liquidity Stress Test”, approved by the Board of Directors in May 2021, whereby, as recommended by ECB, the BoSA was involved in the periodic review of the main features of scenarios used in liquidity stress tests. The review included: (i) clarifications regarding the roles of Bodies and Committees in approving key elements of liquidity stress tests; (ii) a more precise description of the different stress scenarios; (iii) the review of the analysis frequency, now related to the actual liquidity situation. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 780 2021 Annual Report and Accounts · UniCredit The Board of Statutory Auditors observed that the ongoing reorganization denotes Management’s awareness of the issues of the Business empowerment and accountability and noted that a timeline has been outlined whereby each new phase will only be started once the elements of the previous phase have been completed and, specifically, that an appropriate control framework is in place. The Board of Statutory Auditors examined the periodic update of the Group Risk Management Global Policy carried out in order to ensure their effectiveness over time pursuant to the Banca d’Italia provisions on the internal control system; The Board of Statutory Auditors noted that this review (which also covered 12 policies relating to the Credit Risk, Financial Risk, Non Financial Risk and GIV - Group Internal Validation risk pillars) was carried out as part of an initiative launched by Top Management with the aim of strengthening the internal policy framework itself by making its use clearer and easier and avoiding redundancies and duplications. The Board of Statutory Auditors noted that the new policies incorporated the renewed organizational set-up, including the new managerial Committees, and considered the Supervisors’ finding, regulatory requirements and expectations as well as methodological enhancements. With reference to Internal Models, during the course of its supervisory activities, the Board of Statutory Auditors has positively noted, through the necessary updates with the relevant Functions, that: • the development and validation activities envisaged by the IRB Model Roadmap continued with some time delays mainly due to the pandemic and the lengthening of the regulatory approval process; • the validation framework is up and running at Group level and is based on: (i) organisational set-up reporting directly to the Group CRO (Credit Risk Officer) mirrored in Group Companies; (ii) GIV steering on Local Validation Functions; (iii) common validation methodological standards for IRB models; • the Internal Rating System in preparation is assessed to comply with regulatory requirements, improving over the previous year thanks to the implementations of the Model Roadmap. With regard to credit risk (IRB Systems), the assessments of the Internal Validation and Internal Audit Functions agree that the IRB systems are overall compliant with regulatory requirements. The Board of Statutory Auditors noted that Internal Audit’s evaluation remains “partially satisfactory” mainly due to the execution delays of the Model Roadmap and the persistent weaknesses of the Group Wide rating systems currently in production, despite the implementations and recalibrations completed in 2021. However, the BoSA noted that Internal Audit does not believe there is underestimation of risks, as also verified by GIV in the context of its annual checks on rating models. The BoSA also noted that, with regard to many local models, the recalibration process for the new definition of default was completed and Internal Audit assessments highlighted a general positive result. The evaluations of the Validation Function with regard to counterparty credit risk (“adequate”), market risk (“adequate”) and operational risk (“fully adequate”) meet the Internal Audit evaluations (“mostly satisfactory”), considering the relevant system to be overall compliant with the regulatory provisions. The Board of Statutory Auditors examined the annual audit on GIV, carried out with specific focus on IFRS9 models, and noted that Internal Audit confirmed the “satisfactory” rating. Such rating was supported specifically by the adequacy of the Function governance and the validation framework, confirmed to be satisfactory for both IFRS9 and IRB models. The Board of Statutory Auditors examined, inter alia, the following audit reports with a “satisfactory” rating: • “Model Risk Management Framework”; • “Advanced Measurement Approach (AMA) framework and Operational Risk Management”; • “Global View Management of Public Guarantees”; • “Global Audit on New Definition of Default”; • “ICS on Market Risk”. The Board of Statutory Auditors has also taken note of the confirmation of the “mostly satisfactory” assessment carried out by the Internal Audit Function at UniCredit S.p.A., and in the main Group companies with regard to the Risk Management Functions, based on the overall adequacy in the identification, measurement, and management of Group risks (Credit, Liquidity, Operational risk including ICAAP, RAF). On 8 March 2022, the Board of Statutory Auditors issued its positive opinion for the certification by the Board of Directors about the compliance with the requirements for using the Group’s credit, counterparty, market and operational risk management, measurement, and control systems. Liquidity risk In the context of the initiatives and actions concerning the liquidity monitoring procedures, the Board of Statutory Auditors examined the review of the “Global Policy - Group Liquidity Stress Test”, approved by the Board of Directors in May 2021, whereby, as recommended by ECB, the BoSA was involved in the periodic review of the main features of scenarios used in liquidity stress tests. The review included: (i) clarifications regarding the roles of Bodies and Committees in approving key elements of liquidity stress tests; (ii) a more precise description of the different stress scenarios; (iii) the review of the analysis frequency, now related to the actual liquidity situation. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 781 Furthermore, in February 2022, as part of an initiative launched by Top Management with the aim of strengthening the internal policy framework by making it clearer and easier to use and avoiding redundancies and duplications, the new version of the “Global Policy Group Liquidity Management & Control” was approved; such version defines governance, risk measurement, control and reporting for ordinary liquidity management and in case of a liquidity crisis and its evolution. The Board of Statutory Auditors noted the new features introduced with the aforementioned review, consisting of: (i) content simplification, inclusion of the new Committees and new organizational set-up; (ii) decommissioning and inclusion of some pre-existing Global Policies related to the same topic; (iii) transfer part of the detail operational processes to dedicated Global Process Regulations. As part of its control activities, the Board of Statutory Auditors has continuously monitored the evolution of the Group’s liquidity situation, by meeting the relevant Functions and receiving information on: • the trend of liquidity indicators, the 2022 Funding Plan, the 2022 Contingency Funding Plan, and the Financial Plan related to the Multi Year Plan 2022-2024; • the updates on the TLTRO (Targeted Longer-Term Refinancing Operations) Strategy; • the results of the 2020 ILAAP process (Group Internal Liquidity Capital Adequacy Assessment Process), for which the GRM’s evaluation is confirmed as “mostly adequate”, and the results of the related Internal Audit activities have been rated “mostly satisfactory”; • periodic reports on the results of the Group Risk Appetite Framework’ monitoring and the evolution of the Integrated Risk Profile; • the results of the audit report “Structural Liquidity Management”, issued by Internal Audit and rated “satisfactory” due to the compliance of governance and organizational set-up with regulatory requirements; the adequacy of the Structural Liquidity Risk Strategy and Appetite Framework, operational processes, line controls and second-level controls relating to Liquidity Risk. The Board of Statutory Auditors observed that, in 2021, the main structural and short-term liquidity indicators remained above the limits set by the Risk Appetite Framework. Compliance risk During the year, the Board of Statutory Auditors received the ICR (Integrated Compliance Report) report on a quarterly basis, and took note of the Compliance Function’s Annual Report, which includes the assessments made regarding potential compliance risks, at Group level, with reference to both Italian-registered companies, including UniCredit S.p.A., and the main foreign companies. The aforementioned Report also fulfils the requirements of CONSOB Regulation No.20307/2018 and article 89 of CONSOB Regulation No.20197/2017. Considering the results of the compliance risk assessment and second-level controls carried out and the activities completed in accordance with the 2021 Compliance Plan, the Compliance Function expressed a “mostly satisfactory” evaluation on the non-compliance risk management for UniCredit S.p.A. and the main Group companies. In some smaller Group companies, the evaluation is “partially satisfactory”, due to some weaknesses detected in the AML (Anti-money laundering) and MIFID area. In a more general context, improvements in AML, Financial Sanctions and MiFID area have nonetheless been recorded through the completion of the main remedial actions foreseen by the Supervisory Authorities and the Compliance/Internal Audit findings; initiatives are being taken in relation to the Global Data Protection Regulation (GDPR) area, specifically the right to be forgotten. During the year, the Board of Statutory Auditors received regular updates on the progress of the Compliance Next Program (see also paragraph 9 below), the development plan for the reorganization of the Compliance Function model and its operating procedures, approved by the Board of Directors in September 2021, which was also drawn up based on an external assessment carried out on the compliance risk framework. The Board of Statutory Auditors believes that the implementation of the Compliance Next Program - whose planned initiatives will be developed in the period 2021-2025 - will gradually ensure a decisive and homogeneous strengthening of the compliance risk control framework within the Group, as well as a repositioning of the operational mission of the Compliance Function itself, with greater focus on its compliance advisory role. In this regard, the Board of Statutory Auditors considers of key importance to strengthen the first-level controls foreseen in the Compliance Next Program, to monitor compliance risks and other risk categories. The Board of Auditors analyzed the contents of the “Report on the Overall State of Complaints received by UniCredit S.p.A. in 2021” submitted to the Board of Directors of 8 March 2022, which highlights, with reference to UniCredit S.p.A., a number of written complaints received in 2021 amounting to No.51,338 (down by 14% compared to 2020, thanks also to mitigation actions put in place to address the main underlying causes). The main reasons for the complaints received related the issues: Salary-backed loans (25% of complaints received and down by 26% compared to 2020), cards (10% of complaints received and down by 7% compared to 2020), complaints on housing mortgages (about 6% of complaints received and down by 25% compared to 2020) and generic complaints (16% of complaints received and down by 8% compared to 2020). With regard to reimbursements, complaints accepted with refund in 2021 represent 12% of all closed complaints (15% in 2020) and generated disbursements for €9 million (down by 34% compared to 2020). Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 781 Furthermore, in February 2022, as part of an initiative launched by Top Management with the aim of strengthening the internal policy framework by making it clearer and easier to use and avoiding redundancies and duplications, the new version of the “Global Policy Group Liquidity Management & Control” was approved; such version defines governance, risk measurement, control and reporting for ordinary liquidity management and in case of a liquidity crisis and its evolution. The Board of Statutory Auditors noted the new features introduced with the aforementioned review, consisting of: (i) content simplification, inclusion of the new Committees and new organizational set-up; (ii) decommissioning and inclusion of some pre-existing Global Policies related to the same topic; (iii) transfer part of the detail operational processes to dedicated Global Process Regulations. As part of its control activities, the Board of Statutory Auditors has continuously monitored the evolution of the Group’s liquidity situation, by meeting the relevant Functions and receiving information on: • the trend of liquidity indicators, the 2022 Funding Plan, the 2022 Contingency Funding Plan, and the Financial Plan related to the Multi Year Plan 2022-2024; • the updates on the TLTRO (Targeted Longer-Term Refinancing Operations) Strategy; • the results of the 2020 ILAAP process (Group Internal Liquidity Capital Adequacy Assessment Process), for which the GRM’s evaluation is confirmed as “mostly adequate”, and the results of the related Internal Audit activities have been rated “mostly satisfactory”; • periodic reports on the results of the Group Risk Appetite Framework’ monitoring and the evolution of the Integrated Risk Profile; • the results of the audit report “Structural Liquidity Management”, issued by Internal Audit and rated “satisfactory” due to the compliance of governance and organizational set-up with regulatory requirements; the adequacy of the Structural Liquidity Risk Strategy and Appetite Framework, operational processes, line controls and second-level controls relating to Liquidity Risk. The Board of Statutory Auditors observed that, in 2021, the main structural and short-term liquidity indicators remained above the limits set by the Risk Appetite Framework. Compliance risk During the year, the Board of Statutory Auditors received the ICR (Integrated Compliance Report) report on a quarterly basis, and took note of the Compliance Function’s Annual Report, which includes the assessments made regarding potential compliance risks, at Group level, with reference to both Italian-registered companies, including UniCredit S.p.A., and the main foreign companies. The aforementioned Report also fulfils the requirements of CONSOB Regulation No.20307/2018 and article 89 of CONSOB Regulation No.20197/2017. Considering the results of the compliance risk assessment and second-level controls carried out and the activities completed in accordance with the 2021 Compliance Plan, the Compliance Function expressed a “mostly satisfactory” evaluation on the non-compliance risk management for UniCredit S.p.A. and the main Group companies. In some smaller Group companies, the evaluation is “partially satisfactory”, due to some weaknesses detected in the AML (Anti-money laundering) and MIFID area. In a more general context, improvements in AML, Financial Sanctions and MiFID area have nonetheless been recorded through the completion of the main remedial actions foreseen by the Supervisory Authorities and the Compliance/Internal Audit findings; initiatives are being taken in relation to the Global Data Protection Regulation (GDPR) area, specifically the right to be forgotten. During the year, the Board of Statutory Auditors received regular updates on the progress of the Compliance Next Program (see also paragraph 9 below), the development plan for the reorganization of the Compliance Function model and its operating procedures, approved by the Board of Directors in September 2021, which was also drawn up based on an external assessment carried out on the compliance risk framework. The Board of Statutory Auditors believes that the implementation of the Compliance Next Program - whose planned initiatives will be developed in the period 2021-2025 - will gradually ensure a decisive and homogeneous strengthening of the compliance risk control framework within the Group, as well as a repositioning of the operational mission of the Compliance Function itself, with greater focus on its compliance advisory role. In this regard, the Board of Statutory Auditors considers of key importance to strengthen the first-level controls foreseen in the Compliance Next Program, to monitor compliance risks and other risk categories. The Board of Auditors analyzed the contents of the “Report on the Overall State of Complaints received by UniCredit S.p.A. in 2021” submitted to the Board of Directors of 8 March 2022, which highlights, with reference to UniCredit S.p.A., a number of written complaints received in 2021 amounting to No.51,338 (down by 14% compared to 2020, thanks also to mitigation actions put in place to address the main underlying causes). The main reasons for the complaints received related the issues: Salary-backed loans (25% of complaints received and down by 26% compared to 2020), cards (10% of complaints received and down by 7% compared to 2020), complaints on housing mortgages (about 6% of complaints received and down by 25% compared to 2020) and generic complaints (16% of complaints received and down by 8% compared to 2020). With regard to reimbursements, complaints accepted with refund in 2021 represent 12% of all closed complaints (15% in 2020) and generated disbursements for €9 million (down by 34% compared to 2020). Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 781 Furthermore, in February 2022, as part of an initiative launched by Top Management with the aim of strengthening the internal policy framework by making it clearer and easier to use and avoiding redundancies and duplications, the new version of the “Global Policy Group Liquidity Management & Control” was approved; such version defines governance, risk measurement, control and reporting for ordinary liquidity management and in case of a liquidity crisis and its evolution. The Board of Statutory Auditors noted the new features introduced with the aforementioned review, consisting of: (i) content simplification, inclusion of the new Committees and new organizational set-up; (ii) decommissioning and inclusion of some pre-existing Global Policies related to the same topic; (iii) transfer part of the detail operational processes to dedicated Global Process Regulations. As part of its control activities, the Board of Statutory Auditors has continuously monitored the evolution of the Group’s liquidity situation, by meeting the relevant Functions and receiving information on: • the trend of liquidity indicators, the 2022 Funding Plan, the 2022 Contingency Funding Plan, and the Financial Plan related to the Multi Year Plan 2022-2024; • the updates on the TLTRO (Targeted Longer-Term Refinancing Operations) Strategy; • the results of the 2020 ILAAP process (Group Internal Liquidity Capital Adequacy Assessment Process), for which the GRM’s evaluation is confirmed as “mostly adequate”, and the results of the related Internal Audit activities have been rated “mostly satisfactory”; • periodic reports on the results of the Group Risk Appetite Framework’ monitoring and the evolution of the Integrated Risk Profile; • the results of the audit report “Structural Liquidity Management”, issued by Internal Audit and rated “satisfactory” due to the compliance of governance and organizational set-up with regulatory requirements; the adequacy of the Structural Liquidity Risk Strategy and Appetite Framework, operational processes, line controls and second-level controls relating to Liquidity Risk. The Board of Statutory Auditors observed that, in 2021, the main structural and short-term liquidity indicators remained above the limits set by the Risk Appetite Framework. Compliance risk During the year, the Board of Statutory Auditors received the ICR (Integrated Compliance Report) report on a quarterly basis, and took note of the Compliance Function’s Annual Report, which includes the assessments made regarding potential compliance risks, at Group level, with reference to both Italian-registered companies, including UniCredit S.p.A., and the main foreign companies. The aforementioned Report also fulfils the requirements of CONSOB Regulation No.20307/2018 and article 89 of CONSOB Regulation No.20197/2017. Considering the results of the compliance risk assessment and second-level controls carried out and the activities completed in accordance with the 2021 Compliance Plan, the Compliance Function expressed a “mostly satisfactory” evaluation on the non-compliance risk management for UniCredit S.p.A. and the main Group companies. In some smaller Group companies, the evaluation is “partially satisfactory”, due to some weaknesses detected in the AML (Anti-money laundering) and MIFID area. In a more general context, improvements in AML, Financial Sanctions and MiFID area have nonetheless been recorded through the completion of the main remedial actions foreseen by the Supervisory Authorities and the Compliance/Internal Audit findings; initiatives are being taken in relation to the Global Data Protection Regulation (GDPR) area, specifically the right to be forgotten. During the year, the Board of Statutory Auditors received regular updates on the progress of the Compliance Next Program (see also paragraph 9 below), the development plan for the reorganization of the Compliance Function model and its operating procedures, approved by the Board of Directors in September 2021, which was also drawn up based on an external assessment carried out on the compliance risk framework. The Board of Statutory Auditors believes that the implementation of the Compliance Next Program - whose planned initiatives will be developed in the period 2021-2025 - will gradually ensure a decisive and homogeneous strengthening of the compliance risk control framework within the Group, as well as a repositioning of the operational mission of the Compliance Function itself, with greater focus on its compliance advisory role. In this regard, the Board of Statutory Auditors considers of key importance to strengthen the first-level controls foreseen in the Compliance Next Program, to monitor compliance risks and other risk categories. The Board of Auditors analyzed the contents of the “Report on the Overall State of Complaints received by UniCredit S.p.A. in 2021” submitted to the Board of Directors of 8 March 2022, which highlights, with reference to UniCredit S.p.A., a number of written complaints received in 2021 amounting to No.51,338 (down by 14% compared to 2020, thanks also to mitigation actions put in place to address the main underlying causes). The main reasons for the complaints received related the issues: Salary-backed loans (25% of complaints received and down by 26% compared to 2020), cards (10% of complaints received and down by 7% compared to 2020), complaints on housing mortgages (about 6% of complaints received and down by 25% compared to 2020) and generic complaints (16% of complaints received and down by 8% compared to 2020). With regard to reimbursements, complaints accepted with refund in 2021 represent 12% of all closed complaints (15% in 2020) and generated disbursements for €9 million (down by 34% compared to 2020). Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 781 Furthermore, in February 2022, as part of an initiative launched by Top Management with the aim of strengthening the internal policy framework by making it clearer and easier to use and avoiding redundancies and duplications, the new version of the “Global Policy Group Liquidity Management & Control” was approved; such version defines governance, risk measurement, control and reporting for ordinary liquidity management and in case of a liquidity crisis and its evolution. The Board of Statutory Auditors noted the new features introduced with the aforementioned review, consisting of: (i) content simplification, inclusion of the new Committees and new organizational set-up; (ii) decommissioning and inclusion of some pre-existing Global Policies related to the same topic; (iii) transfer part of the detail operational processes to dedicated Global Process Regulations. As part of its control activities, the Board of Statutory Auditors has continuously monitored the evolution of the Group’s liquidity situation, by meeting the relevant Functions and receiving information on: • the trend of liquidity indicators, the 2022 Funding Plan, the 2022 Contingency Funding Plan, and the Financial Plan related to the Multi Year Plan 2022-2024; • the updates on the TLTRO (Targeted Longer-Term Refinancing Operations) Strategy; • the results of the 2020 ILAAP process (Group Internal Liquidity Capital Adequacy Assessment Process), for which the GRM’s evaluation is confirmed as “mostly adequate”, and the results of the related Internal Audit activities have been rated “mostly satisfactory”; • periodic reports on the results of the Group Risk Appetite Framework’ monitoring and the evolution of the Integrated Risk Profile; • the results of the audit report “Structural Liquidity Management”, issued by Internal Audit and rated “satisfactory” due to the compliance of governance and organizational set-up with regulatory requirements; the adequacy of the Structural Liquidity Risk Strategy and Appetite Framework, operational processes, line controls and second-level controls relating to Liquidity Risk. The Board of Statutory Auditors observed that, in 2021, the main structural and short-term liquidity indicators remained above the limits set by the Risk Appetite Framework. Compliance risk During the year, the Board of Statutory Auditors received the ICR (Integrated Compliance Report) report on a quarterly basis, and took note of the Compliance Function’s Annual Report, which includes the assessments made regarding potential compliance risks, at Group level, with reference to both Italian-registered companies, including UniCredit S.p.A., and the main foreign companies. The aforementioned Report also fulfils the requirements of CONSOB Regulation No.20307/2018 and article 89 of CONSOB Regulation No.20197/2017. Considering the results of the compliance risk assessment and second-level controls carried out and the activities completed in accordance with the 2021 Compliance Plan, the Compliance Function expressed a “mostly satisfactory” evaluation on the non-compliance risk management for UniCredit S.p.A. and the main Group companies. In some smaller Group companies, the evaluation is “partially satisfactory”, due to some weaknesses detected in the AML (Anti-money laundering) and MIFID area. In a more general context, improvements in AML, Financial Sanctions and MiFID area have nonetheless been recorded through the completion of the main remedial actions foreseen by the Supervisory Authorities and the Compliance/Internal Audit findings; initiatives are being taken in relation to the Global Data Protection Regulation (GDPR) area, specifically the right to be forgotten. During the year, the Board of Statutory Auditors received regular updates on the progress of the Compliance Next Program (see also paragraph 9 below), the development plan for the reorganization of the Compliance Function model and its operating procedures, approved by the Board of Directors in September 2021, which was also drawn up based on an external assessment carried out on the compliance risk framework. The Board of Statutory Auditors believes that the implementation of the Compliance Next Program - whose planned initiatives will be developed in the period 2021-2025 - will gradually ensure a decisive and homogeneous strengthening of the compliance risk control framework within the Group, as well as a repositioning of the operational mission of the Compliance Function itself, with greater focus on its compliance advisory role. In this regard, the Board of Statutory Auditors considers of key importance to strengthen the first-level controls foreseen in the Compliance Next Program, to monitor compliance risks and other risk categories. The Board of Auditors analyzed the contents of the “Report on the Overall State of Complaints received by UniCredit S.p.A. in 2021” submitted to the Board of Directors of 8 March 2022, which highlights, with reference to UniCredit S.p.A., a number of written complaints received in 2021 amounting to No.51,338 (down by 14% compared to 2020, thanks also to mitigation actions put in place to address the main underlying causes). The main reasons for the complaints received related the issues: Salary-backed loans (25% of complaints received and down by 26% compared to 2020), cards (10% of complaints received and down by 7% compared to 2020), complaints on housing mortgages (about 6% of complaints received and down by 25% compared to 2020) and generic complaints (16% of complaints received and down by 8% compared to 2020). With regard to reimbursements, complaints accepted with refund in 2021 represent 12% of all closed complaints (15% in 2020) and generated disbursements for €9 million (down by 34% compared to 2020). Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 781 Furthermore, in February 2022, as part of an initiative launched by Top Management with the aim of strengthening the internal policy framework by making it clearer and easier to use and avoiding redundancies and duplications, the new version of the “Global Policy Group Liquidity Management & Control” was approved; such version defines governance, risk measurement, control and reporting for ordinary liquidity management and in case of a liquidity crisis and its evolution. The Board of Statutory Auditors noted the new features introduced with the aforementioned review, consisting of: (i) content simplification, inclusion of the new Committees and new organizational set-up; (ii) decommissioning and inclusion of some pre-existing Global Policies related to the same topic; (iii) transfer part of the detail operational processes to dedicated Global Process Regulations. As part of its control activities, the Board of Statutory Auditors has continuously monitored the evolution of the Group’s liquidity situation, by meeting the relevant Functions and receiving information on: • the trend of liquidity indicators, the 2022 Funding Plan, the 2022 Contingency Funding Plan, and the Financial Plan related to the Multi Year Plan 2022-2024; • the updates on the TLTRO (Targeted Longer-Term Refinancing Operations) Strategy; • the results of the 2020 ILAAP process (Group Internal Liquidity Capital Adequacy Assessment Process), for which the GRM’s evaluation is confirmed as “mostly adequate”, and the results of the related Internal Audit activities have been rated “mostly satisfactory”; • periodic reports on the results of the Group Risk Appetite Framework’ monitoring and the evolution of the Integrated Risk Profile; • the results of the audit report “Structural Liquidity Management”, issued by Internal Audit and rated “satisfactory” due to the compliance of governance and organizational set-up with regulatory requirements; the adequacy of the Structural Liquidity Risk Strategy and Appetite Framework, operational processes, line controls and second-level controls relating to Liquidity Risk. The Board of Statutory Auditors observed that, in 2021, the main structural and short-term liquidity indicators remained above the limits set by the Risk Appetite Framework. Compliance risk During the year, the Board of Statutory Auditors received the ICR (Integrated Compliance Report) report on a quarterly basis, and took note of the Compliance Function’s Annual Report, which includes the assessments made regarding potential compliance risks, at Group level, with reference to both Italian-registered companies, including UniCredit S.p.A., and the main foreign companies. The aforementioned Report also fulfils the requirements of CONSOB Regulation No.20307/2018 and article 89 of CONSOB Regulation No.20197/2017. Considering the results of the compliance risk assessment and second-level controls carried out and the activities completed in accordance with the 2021 Compliance Plan, the Compliance Function expressed a “mostly satisfactory” evaluation on the non-compliance risk management for UniCredit S.p.A. and the main Group companies. In some smaller Group companies, the evaluation is “partially satisfactory”, due to some weaknesses detected in the AML (Anti-money laundering) and MIFID area. In a more general context, improvements in AML, Financial Sanctions and MiFID area have nonetheless been recorded through the completion of the main remedial actions foreseen by the Supervisory Authorities and the Compliance/Internal Audit findings; initiatives are being taken in relation to the Global Data Protection Regulation (GDPR) area, specifically the right to be forgotten. During the year, the Board of Statutory Auditors received regular updates on the progress of the Compliance Next Program (see also paragraph 9 below), the development plan for the reorganization of the Compliance Function model and its operating procedures, approved by the Board of Directors in September 2021, which was also drawn up based on an external assessment carried out on the compliance risk framework. The Board of Statutory Auditors believes that the implementation of the Compliance Next Program - whose planned initiatives will be developed in the period 2021-2025 - will gradually ensure a decisive and homogeneous strengthening of the compliance risk control framework within the Group, as well as a repositioning of the operational mission of the Compliance Function itself, with greater focus on its compliance advisory role. In this regard, the Board of Statutory Auditors considers of key importance to strengthen the first-level controls foreseen in the Compliance Next Program, to monitor compliance risks and other risk categories. The Board of Auditors analyzed the contents of the “Report on the Overall State of Complaints received by UniCredit S.p.A. in 2021” submitted to the Board of Directors of 8 March 2022, which highlights, with reference to UniCredit S.p.A., a number of written complaints received in 2021 amounting to No.51,338 (down by 14% compared to 2020, thanks also to mitigation actions put in place to address the main underlying causes). The main reasons for the complaints received related the issues: Salary-backed loans (25% of complaints received and down by 26% compared to 2020), cards (10% of complaints received and down by 7% compared to 2020), complaints on housing mortgages (about 6% of complaints received and down by 25% compared to 2020) and generic complaints (16% of complaints received and down by 8% compared to 2020). With regard to reimbursements, complaints accepted with refund in 2021 represent 12% of all closed complaints (15% in 2020) and generated disbursements for €9 million (down by 34% compared to 2020). Company financial statements | Report and resolutions Report of the Board of Statutory auditors 782 2021 Annual Report and Accounts · UniCredit During the year, the Board of Statutory Auditors continued examining the issues relating to AML/FC (Anti-money laundering/Financial Crime) area, requesting specific updates to the relevant Functions. The Board of Statutory Auditors then examined the “Report of the Anti-Money Laundering Function of UniCredit S.p.A. - Italian Perimeter - Year 2021” submitted to the Board of Directors at its meeting held on 8 March 2022. The activities carried out for the self-assessment of the risks of money laundering and terrorist financing have identified, as at 31 December 2021, a “Medium” residual risk level, down compared to the “Significant” risk level at the end of 2020. The Board of Statutory Auditors observed that the transformation process of the organizational set-up of UniCredit Anti-Money Laundering Function - Italian Perimeter continued in 2021. In addition, also in compliance with a request of Banca d’Italia, in order to ensure the application of the AML framework to the entire Group, on 8 March 2022 the Board of Directors - with positive opinion given by the Control Body - appointed a Group AML Officer with responsibility also for the UniCredit S.p.A. - Italy perimeter. The Board of Statutory Auditors was also informed about the analysis of the suspicious transaction reports (“SOS”), which showed a slight decrease in the SOS flow received in 2021 (No.21.622 decreased by 15.3% compared to 2020 but still high compared to 2019, + 57.5%); the BoSA noted the actions put in place to cope with the SOS flow received in the last two years, including the model integration for carrying out the SOS analysis activities approved by the Board of Directors and the additional internal staff in the dedicated structures. The Board of Statutory Auditors noted the points of attention identified in the outcome of the second-level controls carried out in 2021, including (i) review/renewal of the due diligence, specifically for counterparties subject to enhanced due diligence, (ii) collection and filing of documentation and some information required in “Know Your Customer” activities, (iii) the effectiveness of certain rules for generating Transaction Monitoring alerts, for whose mitigation specific actions have been activated (iv) assessment of negative information. The Board of Statutory Auditors also noted that activities aimed at implementing the corrective actions necessary to settle the findings attributed to UniCredit's anti-money laundering function in the Italy Perimeter in previous audits continued, according to the established planning. At the meeting of the UniCredit Board of Directors held on 8 March 2022, the new version of the “Anti-Money Laundering Policy” was approved (as required by the Banca d’Italia “Provisions applicable to organizational, procedures and internal controls aimed at preventing the use of intermediaries for the purposes of money laundering and terrorist financing” issued on 26 March 2019), which explains and specifies the choices that the Bank has defined about the various relevant profiles regarding organizational structures, procedures and controls, due diligence and data retention. Lastly, the Board of Statutory Auditors noted the Anti-Money Laundering Training Plan 2022 - UniCredit S.p.A., which aims to continuously mitigate the money laundering risks, diversifying training courses based on the specific activities identified, and to ensure the increase of knowledge and skills of the relevant staff. The Training Plan provides for training courses modulated according to the different corporate roles and the associated risks (basic, specialist and advanced training). During the financial year, the Board of Statutory Auditors periodically examined the so-called “whistleblowing” reports it received in its function as UniCredit S.p.A.’s 231 Supervisory Body, analyzing in depth, in its function of Board of the Statutory Auditor, supported by the People & Culture Function, the whistleblowing reports that may involve issues of misconduct/unlawful conduct, regardless of their relevance pursuant to Legislative Decree 231/2001. The Board of Statutory Auditors has therefore taken note of the information contained in the “Report on the internal system for reporting violations (so-called whistleblowing) for 2021”, prepared in compliance with the Banca d’Italia Supervisory Provisions (Circular No.285/2013 with reference to the proper functioning of the whistleblowing framework, with aggregate data on the investigation results, tools, communication campaigns and training in UniCredit S.p.A. and at Group level. More specifically, No.199 reports were received, No.106 of them were received at UniCredit S.p.A. (down by 5% compared to 2020). The “Courageous Voices” campaign - a Group-wide initiative launched in the latter part of 2021, designed to encourage all people to make their voices heard in view of the high number of reports received by UniCredit S.p.A. (No.37 in the same period) - seems to have increased the level of employees’ awareness. The Board of Statutory Auditors welcomed the UniCredit group’s continued work in promoting a corporate culture characterized by correct behavior, and shared and stressed on several occasions, with the Management and the People & Culture Function the importance of paying the utmost attention to the correctness of the behaviors assumed by the Group’s human resources. The specific compulsory online training on whistleblowing, already launched at the end of 2020 in the main companies, continues, with the aim to further promote the knowledge on internal reporting channels and whistleblowers’ protection. The reports sent by the employees in 2021, which decreased compared to the previous year presumably due to the new working modalities (remote working) implemented following Covid-19 pandemic, highlighted that Whistleblowing is becoming increasingly useful for reporting irregularities related to individual behaviors and also for assessing processes. In addition, the Board of Statutory Advisors has learned that all the required second-level compliance controls have been carried out, and the results have not revealed any retaliation act against the parties involved in the process; the reports received were promptly handled and confidentiality safeguards were respected. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 782 2021 Annual Report and Accounts · UniCredit During the year, the Board of Statutory Auditors continued examining the issues relating to AML/FC (Anti-money laundering/Financial Crime) area, requesting specific updates to the relevant Functions. The Board of Statutory Auditors then examined the “Report of the Anti-Money Laundering Function of UniCredit S.p.A. - Italian Perimeter - Year 2021” submitted to the Board of Directors at its meeting held on 8 March 2022. The activities carried out for the self-assessment of the risks of money laundering and terrorist financing have identified, as at 31 December 2021, a “Medium” residual risk level, down compared to the “Significant” risk level at the end of 2020. The Board of Statutory Auditors observed that the transformation process of the organizational set-up of UniCredit Anti-Money Laundering Function - Italian Perimeter continued in 2021. In addition, also in compliance with a request of Banca d’Italia, in order to ensure the application of the AML framework to the entire Group, on 8 March 2022 the Board of Directors - with positive opinion given by the Control Body - appointed a Group AML Officer with responsibility also for the UniCredit S.p.A. - Italy perimeter. The Board of Statutory Auditors was also informed about the analysis of the suspicious transaction reports (“SOS”), which showed a slight decrease in the SOS flow received in 2021 (No.21.622 decreased by 15.3% compared to 2020 but still high compared to 2019, + 57.5%); the BoSA noted the actions put in place to cope with the SOS flow received in the last two years, including the model integration for carrying out the SOS analysis activities approved by the Board of Directors and the additional internal staff in the dedicated structures. The Board of Statutory Auditors noted the points of attention identified in the outcome of the second-level controls carried out in 2021, including (i) review/renewal of the due diligence, specifically for counterparties subject to enhanced due diligence, (ii) collection and filing of documentation and some information required in “Know Your Customer” activities, (iii) the effectiveness of certain rules for generating Transaction Monitoring alerts, for whose mitigation specific actions have been activated (iv) assessment of negative information. The Board of Statutory Auditors also noted that activities aimed at implementing the corrective actions necessary to settle the findings attributed to UniCredit's anti-money laundering function in the Italy Perimeter in previous audits continued, according to the established planning. At the meeting of the UniCredit Board of Directors held on 8 March 2022, the new version of the “Anti-Money Laundering Policy” was approved (as required by the Banca d’Italia “Provisions applicable to organizational, procedures and internal controls aimed at preventing the use of intermediaries for the purposes of money laundering and terrorist financing” issued on 26 March 2019), which explains and specifies the choices that the Bank has defined about the various relevant profiles regarding organizational structures, procedures and controls, due diligence and data retention. Lastly, the Board of Statutory Auditors noted the Anti-Money Laundering Training Plan 2022 - UniCredit S.p.A., which aims to continuously mitigate the money laundering risks, diversifying training courses based on the specific activities identified, and to ensure the increase of knowledge and skills of the relevant staff. The Training Plan provides for training courses modulated according to the different corporate roles and the associated risks (basic, specialist and advanced training). During the financial year, the Board of Statutory Auditors periodically examined the so-called “whistleblowing” reports it received in its function as UniCredit S.p.A.’s 231 Supervisory Body, analyzing in depth, in its function of Board of the Statutory Auditor, supported by the People & Culture Function, the whistleblowing reports that may involve issues of misconduct/unlawful conduct, regardless of their relevance pursuant to Legislative Decree 231/2001. The Board of Statutory Auditors has therefore taken note of the information contained in the “Report on the internal system for reporting violations (so-called whistleblowing) for 2021”, prepared in compliance with the Banca d’Italia Supervisory Provisions (Circular No.285/2013 with reference to the proper functioning of the whistleblowing framework, with aggregate data on the investigation results, tools, communication campaigns and training in UniCredit S.p.A. and at Group level. More specifically, No.199 reports were received, No.106 of them were received at UniCredit S.p.A. (down by 5% compared to 2020). The “Courageous Voices” campaign - a Group-wide initiative launched in the latter part of 2021, designed to encourage all people to make their voices heard in view of the high number of reports received by UniCredit S.p.A. (No.37 in the same period) - seems to have increased the level of employees’ awareness. The Board of Statutory Auditors welcomed the UniCredit group’s continued work in promoting a corporate culture characterized by correct behavior, and shared and stressed on several occasions, with the Management and the People & Culture Function the importance of paying the utmost attention to the correctness of the behaviors assumed by the Group’s human resources. The specific compulsory online training on whistleblowing, already launched at the end of 2020 in the main companies, continues, with the aim to further promote the knowledge on internal reporting channels and whistleblowers’ protection. The reports sent by the employees in 2021, which decreased compared to the previous year presumably due to the new working modalities (remote working) implemented following Covid-19 pandemic, highlighted that Whistleblowing is becoming increasingly useful for reporting irregularities related to individual behaviors and also for assessing processes. In addition, the Board of Statutory Advisors has learned that all the required second-level compliance controls have been carried out, and the results have not revealed any retaliation act against the parties involved in the process; the reports received were promptly handled and confidentiality safeguards were respected. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 782 2021 Annual Report and Accounts · UniCredit During the year, the Board of Statutory Auditors continued examining the issues relating to AML/FC (Anti-money laundering/Financial Crime) area, requesting specific updates to the relevant Functions. The Board of Statutory Auditors then examined the “Report of the Anti-Money Laundering Function of UniCredit S.p.A. - Italian Perimeter - Year 2021” submitted to the Board of Directors at its meeting held on 8 March 2022. The activities carried out for the self-assessment of the risks of money laundering and terrorist financing have identified, as at 31 December 2021, a “Medium” residual risk level, down compared to the “Significant” risk level at the end of 2020. The Board of Statutory Auditors observed that the transformation process of the organizational set-up of UniCredit Anti-Money Laundering Function - Italian Perimeter continued in 2021. In addition, also in compliance with a request of Banca d’Italia, in order to ensure the application of the AML framework to the entire Group, on 8 March 2022 the Board of Directors - with positive opinion given by the Control Body - appointed a Group AML Officer with responsibility also for the UniCredit S.p.A. - Italy perimeter. The Board of Statutory Auditors was also informed about the analysis of the suspicious transaction reports (“SOS”), which showed a slight decrease in the SOS flow received in 2021 (No.21.622 decreased by 15.3% compared to 2020 but still high compared to 2019, + 57.5%); the BoSA noted the actions put in place to cope with the SOS flow received in the last two years, including the model integration for carrying out the SOS analysis activities approved by the Board of Directors and the additional internal staff in the dedicated structures. The Board of Statutory Auditors noted the points of attention identified in the outcome of the second-level controls carried out in 2021, including (i) review/renewal of the due diligence, specifically for counterparties subject to enhanced due diligence, (ii) collection and filing of documentation and some information required in “Know Your Customer” activities, (iii) the effectiveness of certain rules for generating Transaction Monitoring alerts, for whose mitigation specific actions have been activated (iv) assessment of negative information. The Board of Statutory Auditors also noted that activities aimed at implementing the corrective actions necessary to settle the findings attributed to UniCredit's anti-money laundering function in the Italy Perimeter in previous audits continued, according to the established planning. At the meeting of the UniCredit Board of Directors held on 8 March 2022, the new version of the “Anti-Money Laundering Policy” was approved (as required by the Banca d’Italia “Provisions applicable to organizational, procedures and internal controls aimed at preventing the use of intermediaries for the purposes of money laundering and terrorist financing” issued on 26 March 2019), which explains and specifies the choices that the Bank has defined about the various relevant profiles regarding organizational structures, procedures and controls, due diligence and data retention. Lastly, the Board of Statutory Auditors noted the Anti-Money Laundering Training Plan 2022 - UniCredit S.p.A., which aims to continuously mitigate the money laundering risks, diversifying training courses based on the specific activities identified, and to ensure the increase of knowledge and skills of the relevant staff. The Training Plan provides for training courses modulated according to the different corporate roles and the associated risks (basic, specialist and advanced training). During the financial year, the Board of Statutory Auditors periodically examined the so-called “whistleblowing” reports it received in its function as UniCredit S.p.A.’s 231 Supervisory Body, analyzing in depth, in its function of Board of the Statutory Auditor, supported by the People & Culture Function, the whistleblowing reports that may involve issues of misconduct/unlawful conduct, regardless of their relevance pursuant to Legislative Decree 231/2001. The Board of Statutory Auditors has therefore taken note of the information contained in the “Report on the internal system for reporting violations (so-called whistleblowing) for 2021”, prepared in compliance with the Banca d’Italia Supervisory Provisions (Circular No.285/2013 with reference to the proper functioning of the whistleblowing framework, with aggregate data on the investigation results, tools, communication campaigns and training in UniCredit S.p.A. and at Group level. More specifically, No.199 reports were received, No.106 of them were received at UniCredit S.p.A. (down by 5% compared to 2020). The “Courageous Voices” campaign - a Group-wide initiative launched in the latter part of 2021, designed to encourage all people to make their voices heard in view of the high number of reports received by UniCredit S.p.A. (No.37 in the same period) - seems to have increased the level of employees’ awareness. The Board of Statutory Auditors welcomed the UniCredit group’s continued work in promoting a corporate culture characterized by correct behavior, and shared and stressed on several occasions, with the Management and the People & Culture Function the importance of paying the utmost attention to the correctness of the behaviors assumed by the Group’s human resources. The specific compulsory online training on whistleblowing, already launched at the end of 2020 in the main companies, continues, with the aim to further promote the knowledge on internal reporting channels and whistleblowers’ protection. The reports sent by the employees in 2021, which decreased compared to the previous year presumably due to the new working modalities (remote working) implemented following Covid-19 pandemic, highlighted that Whistleblowing is becoming increasingly useful for reporting irregularities related to individual behaviors and also for assessing processes. In addition, the Board of Statutory Advisors has learned that all the required second-level compliance controls have been carried out, and the results have not revealed any retaliation act against the parties involved in the process; the reports received were promptly handled and confidentiality safeguards were respected. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 782 2021 Annual Report and Accounts · UniCredit During the year, the Board of Statutory Auditors continued examining the issues relating to AML/FC (Anti-money laundering/Financial Crime) area, requesting specific updates to the relevant Functions. The Board of Statutory Auditors then examined the “Report of the Anti-Money Laundering Function of UniCredit S.p.A. - Italian Perimeter - Year 2021” submitted to the Board of Directors at its meeting held on 8 March 2022. The activities carried out for the self-assessment of the risks of money laundering and terrorist financing have identified, as at 31 December 2021, a “Medium” residual risk level, down compared to the “Significant” risk level at the end of 2020. The Board of Statutory Auditors observed that the transformation process of the organizational set-up of UniCredit Anti-Money Laundering Function - Italian Perimeter continued in 2021. In addition, also in compliance with a request of Banca d’Italia, in order to ensure the application of the AML framework to the entire Group, on 8 March 2022 the Board of Directors - with positive opinion given by the Control Body - appointed a Group AML Officer with responsibility also for the UniCredit S.p.A. - Italy perimeter. The Board of Statutory Auditors was also informed about the analysis of the suspicious transaction reports (“SOS”), which showed a slight decrease in the SOS flow received in 2021 (No.21.622 decreased by 15.3% compared to 2020 but still high compared to 2019, + 57.5%); the BoSA noted the actions put in place to cope with the SOS flow received in the last two years, including the model integration for carrying out the SOS analysis activities approved by the Board of Directors and the additional internal staff in the dedicated structures. The Board of Statutory Auditors noted the points of attention identified in the outcome of the second-level controls carried out in 2021, including (i) review/renewal of the due diligence, specifically for counterparties subject to enhanced due diligence, (ii) collection and filing of documentation and some information required in “Know Your Customer” activities, (iii) the effectiveness of certain rules for generating Transaction Monitoring alerts, for whose mitigation specific actions have been activated (iv) assessment of negative information. The Board of Statutory Auditors also noted that activities aimed at implementing the corrective actions necessary to settle the findings attributed to UniCredit's anti-money laundering function in the Italy Perimeter in previous audits continued, according to the established planning. At the meeting of the UniCredit Board of Directors held on 8 March 2022, the new version of the “Anti-Money Laundering Policy” was approved (as required by the Banca d’Italia “Provisions applicable to organizational, procedures and internal controls aimed at preventing the use of intermediaries for the purposes of money laundering and terrorist financing” issued on 26 March 2019), which explains and specifies the choices that the Bank has defined about the various relevant profiles regarding organizational structures, procedures and controls, due diligence and data retention. Lastly, the Board of Statutory Auditors noted the Anti-Money Laundering Training Plan 2022 - UniCredit S.p.A., which aims to continuously mitigate the money laundering risks, diversifying training courses based on the specific activities identified, and to ensure the increase of knowledge and skills of the relevant staff. The Training Plan provides for training courses modulated according to the different corporate roles and the associated risks (basic, specialist and advanced training). During the financial year, the Board of Statutory Auditors periodically examined the so-called “whistleblowing” reports it received in its function as UniCredit S.p.A.’s 231 Supervisory Body, analyzing in depth, in its function of Board of the Statutory Auditor, supported by the People & Culture Function, the whistleblowing reports that may involve issues of misconduct/unlawful conduct, regardless of their relevance pursuant to Legislative Decree 231/2001. The Board of Statutory Auditors has therefore taken note of the information contained in the “Report on the internal system for reporting violations (so-called whistleblowing) for 2021”, prepared in compliance with the Banca d’Italia Supervisory Provisions (Circular No.285/2013 with reference to the proper functioning of the whistleblowing framework, with aggregate data on the investigation results, tools, communication campaigns and training in UniCredit S.p.A. and at Group level. More specifically, No.199 reports were received, No.106 of them were received at UniCredit S.p.A. (down by 5% compared to 2020). The “Courageous Voices” campaign - a Group-wide initiative launched in the latter part of 2021, designed to encourage all people to make their voices heard in view of the high number of reports received by UniCredit S.p.A. (No.37 in the same period) - seems to have increased the level of employees’ awareness. The Board of Statutory Auditors welcomed the UniCredit group’s continued work in promoting a corporate culture characterized by correct behavior, and shared and stressed on several occasions, with the Management and the People & Culture Function the importance of paying the utmost attention to the correctness of the behaviors assumed by the Group’s human resources. The specific compulsory online training on whistleblowing, already launched at the end of 2020 in the main companies, continues, with the aim to further promote the knowledge on internal reporting channels and whistleblowers’ protection. The reports sent by the employees in 2021, which decreased compared to the previous year presumably due to the new working modalities (remote working) implemented following Covid-19 pandemic, highlighted that Whistleblowing is becoming increasingly useful for reporting irregularities related to individual behaviors and also for assessing processes. In addition, the Board of Statutory Advisors has learned that all the required second-level compliance controls have been carried out, and the results have not revealed any retaliation act against the parties involved in the process; the reports received were promptly handled and confidentiality safeguards were respected. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 782 2021 Annual Report and Accounts · UniCredit During the year, the Board of Statutory Auditors continued examining the issues relating to AML/FC (Anti-money laundering/Financial Crime) area, requesting specific updates to the relevant Functions. The Board of Statutory Auditors then examined the “Report of the Anti-Money Laundering Function of UniCredit S.p.A. - Italian Perimeter - Year 2021” submitted to the Board of Directors at its meeting held on 8 March 2022. The activities carried out for the self-assessment of the risks of money laundering and terrorist financing have identified, as at 31 December 2021, a “Medium” residual risk level, down compared to the “Significant” risk level at the end of 2020. The Board of Statutory Auditors observed that the transformation process of the organizational set-up of UniCredit Anti-Money Laundering Function - Italian Perimeter continued in 2021. In addition, also in compliance with a request of Banca d’Italia, in order to ensure the application of the AML framework to the entire Group, on 8 March 2022 the Board of Directors - with positive opinion given by the Control Body - appointed a Group AML Officer with responsibility also for the UniCredit S.p.A. - Italy perimeter. The Board of Statutory Auditors was also informed about the analysis of the suspicious transaction reports (“SOS”), which showed a slight decrease in the SOS flow received in 2021 (No.21.622 decreased by 15.3% compared to 2020 but still high compared to 2019, + 57.5%); the BoSA noted the actions put in place to cope with the SOS flow received in the last two years, including the model integration for carrying out the SOS analysis activities approved by the Board of Directors and the additional internal staff in the dedicated structures. The Board of Statutory Auditors noted the points of attention identified in the outcome of the second-level controls carried out in 2021, including (i) review/renewal of the due diligence, specifically for counterparties subject to enhanced due diligence, (ii) collection and filing of documentation and some information required in “Know Your Customer” activities, (iii) the effectiveness of certain rules for generating Transaction Monitoring alerts, for whose mitigation specific actions have been activated (iv) assessment of negative information. The Board of Statutory Auditors also noted that activities aimed at implementing the corrective actions necessary to settle the findings attributed to UniCredit's anti-money laundering function in the Italy Perimeter in previous audits continued, according to the established planning. At the meeting of the UniCredit Board of Directors held on 8 March 2022, the new version of the “Anti-Money Laundering Policy” was approved (as required by the Banca d’Italia “Provisions applicable to organizational, procedures and internal controls aimed at preventing the use of intermediaries for the purposes of money laundering and terrorist financing” issued on 26 March 2019), which explains and specifies the choices that the Bank has defined about the various relevant profiles regarding organizational structures, procedures and controls, due diligence and data retention. Lastly, the Board of Statutory Auditors noted the Anti-Money Laundering Training Plan 2022 - UniCredit S.p.A., which aims to continuously mitigate the money laundering risks, diversifying training courses based on the specific activities identified, and to ensure the increase of knowledge and skills of the relevant staff. The Training Plan provides for training courses modulated according to the different corporate roles and the associated risks (basic, specialist and advanced training). During the financial year, the Board of Statutory Auditors periodically examined the so-called “whistleblowing” reports it received in its function as UniCredit S.p.A.’s 231 Supervisory Body, analyzing in depth, in its function of Board of the Statutory Auditor, supported by the People & Culture Function, the whistleblowing reports that may involve issues of misconduct/unlawful conduct, regardless of their relevance pursuant to Legislative Decree 231/2001. The Board of Statutory Auditors has therefore taken note of the information contained in the “Report on the internal system for reporting violations (so-called whistleblowing) for 2021”, prepared in compliance with the Banca d’Italia Supervisory Provisions (Circular No.285/2013 with reference to the proper functioning of the whistleblowing framework, with aggregate data on the investigation results, tools, communication campaigns and training in UniCredit S.p.A. and at Group level. More specifically, No.199 reports were received, No.106 of them were received at UniCredit S.p.A. (down by 5% compared to 2020). The “Courageous Voices” campaign - a Group-wide initiative launched in the latter part of 2021, designed to encourage all people to make their voices heard in view of the high number of reports received by UniCredit S.p.A. (No.37 in the same period) - seems to have increased the level of employees’ awareness. The Board of Statutory Auditors welcomed the UniCredit group’s continued work in promoting a corporate culture characterized by correct behavior, and shared and stressed on several occasions, with the Management and the People & Culture Function the importance of paying the utmost attention to the correctness of the behaviors assumed by the Group’s human resources. The specific compulsory online training on whistleblowing, already launched at the end of 2020 in the main companies, continues, with the aim to further promote the knowledge on internal reporting channels and whistleblowers’ protection. The reports sent by the employees in 2021, which decreased compared to the previous year presumably due to the new working modalities (remote working) implemented following Covid-19 pandemic, highlighted that Whistleblowing is becoming increasingly useful for reporting irregularities related to individual behaviors and also for assessing processes. In addition, the Board of Statutory Advisors has learned that all the required second-level compliance controls have been carried out, and the results have not revealed any retaliation act against the parties involved in the process; the reports received were promptly handled and confidentiality safeguards were respected. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 783 For 2022, the Board of Statutory Auditors suggests to the incoming Control Body to closely monitor the actions aimed at: • monitoring regulatory updates, related specifically to the transposition by Member States of the European Directive EU/1937/2019 on the protection of Whistleblowers, those with an impact on the Whistleblowing process (such as, for example, the rulings on the General Data Protection Regulation, so-called “GDPR”), as well as the forthcoming issuance of the ISO 37002 standard for the certification of Whistleblowing management systems; • envisaging further development of initiatives aimed at increasing the communication of best practices to all the Legal Entities relating to the Whistleblowing process; • reviewing the whistleblowing process in the light of the changed Company’s organizational context and changes in external regulations affecting the normal conduct investigation activities. The Board of Statutory Auditors examined the information contained in the Report of the Data Protection Officer (DPO) of UniCredit S.p.A. for the year 2021. The DPO of UniCredit S.p.A. plays the role of DPO of the Companies of the Italian perimeter by virtue of an appointment by the respective Data Controllers and acts towards the Group Companies as Group DPO with a direction and coordination role (also through the oversight of the DPOs of the subsidiaries), in order to promote a uniform approach in the management of personal data protection issues at local level and receiving periodical information flows. GDPR risk assessment activities for UniCredit S.p.A. ended with a “significant” risk assessment, mainly due to the high level of “basic” risk factors (so-called inherent risk) determined by factors related to UniCredit’s size and operations (e.g. number of subjects whose data are processed, type of data processed, number of processes and procedures involved), the outcome of second-level controls (especially related to the “right to be forgotten” management), the proper keeping of the processing register and, lastly, the cases of personal data breach detected during the period. All corrective measures with a deadline identified during 2021, related to findings issued by Internal Audit Function, have been completed. Further activities are to be completed with due date within the first quarter of 2022. With regard to breaches (so-called data breaches), the Board of Statutory Auditors lastly noted the most significant cases identified during the year, and subject of notification to the Personal Data Protection Authority. None of the cases reported to the Authority resulted, at the date of submission of the DPO’s Report, in any sanction being issued by the Authority. The BoSA also observed that a direct assessment of compliance with GDPR requirements was carried out by an independent third party as part of the overall assessment of the Group Compliance framework and comparison with market best practices. During 2021, personal data protection training was provided with a specific course covering all the GDPR general principles, data subject rights, data transfer, data breach, governance, and the responsibilities of individual employees. Given the new developments in European regulations about the transfer of personal data outside the European Economic Area, specific training has also been provided on the Transfer Impact Assessment (TIA) topic. Sessions dedicated to specific sectors of UniCredit S.p.A. are also planned for 2022 to deal with GDPR aspects specific to their respective activities. With regard to the provision of investment services and related controls, the Board of Statutory Auditors lastly examined the annual reports prepared by the Control Functions (Internal Audit, Group Risk Management, Compliance) to be submitted to CONSOB. Non-Financial Risks The Board of Statutory Auditors noted that, in the context of the reorganization and simplification of the Group Risk Management Function, launched in 2021 (see also paragraph 9 below), the Group Non-Financial Risks (GNFR) structure has been defined, and has been assigned responsibility for the management, control, assessment, mitigation of the Group’s operational and reputational risks, containment of the related losses and risk-weighted assets. The Structure is also responsible for the management and control of ICT/Cyber Risks, by defining the framework for managing the risks, the coordination and monitoring of the Group’s Companies in its implementation, measurement, assessment, and control. The Board of Statutory Auditors periodically examined the results of the Integrated Risk Report and, with regard to Non-Financial Risks, the BoSA noted the operational losses trend and Operational Risk Weighted Assets, as well as the results of periodic risk assessments and second-level controls on ICT and Cyber Risk. The Board of Statutory Auditors was pleased to note that, net of past issues that are no longer present in the Bank’s risk profile, the downward trend of operational losses continued in 2021 and that no critical issues were reported for ICT and Cyber Risk. The Board of Statutory Auditors was informed about the initiative, led by the Group Risk Management and Group Operating Office functions, to include the principles of operational resilience, a discipline concerning the ability to prevent and react to disruption, in the framework of corporate policies and practices and to define a specific target operating model. In February 2022, in the context of the aforementioned initiative to update internal regulations launched by Top Management, the new version of the “Group Operational Risk Management” was approved; such new version defines the rules for identifying, assessing, measuring, monitoring, and reporting Operational Risk in the Group and explains the organizational model, governance principles and the main formal and functional relationships between the Holding Company and Legal Entities. The Board of Statutory Auditors noted the changes introduced with the Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 783 For 2022, the Board of Statutory Auditors suggests to the incoming Control Body to closely monitor the actions aimed at: • monitoring regulatory updates, related specifically to the transposition by Member States of the European Directive EU/1937/2019 on the protection of Whistleblowers, those with an impact on the Whistleblowing process (such as, for example, the rulings on the General Data Protection Regulation, so-called “GDPR”), as well as the forthcoming issuance of the ISO 37002 standard for the certification of Whistleblowing management systems; • envisaging further development of initiatives aimed at increasing the communication of best practices to all the Legal Entities relating to the Whistleblowing process; • reviewing the whistleblowing process in the light of the changed Company’s organizational context and changes in external regulations affecting the normal conduct investigation activities. The Board of Statutory Auditors examined the information contained in the Report of the Data Protection Officer (DPO) of UniCredit S.p.A. for the year 2021. The DPO of UniCredit S.p.A. plays the role of DPO of the Companies of the Italian perimeter by virtue of an appointment by the respective Data Controllers and acts towards the Group Companies as Group DPO with a direction and coordination role (also through the oversight of the DPOs of the subsidiaries), in order to promote a uniform approach in the management of personal data protection issues at local level and receiving periodical information flows. GDPR risk assessment activities for UniCredit S.p.A. ended with a “significant” risk assessment, mainly due to the high level of “basic” risk factors (so-called inherent risk) determined by factors related to UniCredit’s size and operations (e.g. number of subjects whose data are processed, type of data processed, number of processes and procedures involved), the outcome of second-level controls (especially related to the “right to be forgotten” management), the proper keeping of the processing register and, lastly, the cases of personal data breach detected during the period. All corrective measures with a deadline identified during 2021, related to findings issued by Internal Audit Function, have been completed. Further activities are to be completed with due date within the first quarter of 2022. With regard to breaches (so-called data breaches), the Board of Statutory Auditors lastly noted the most significant cases identified during the year, and subject of notification to the Personal Data Protection Authority. None of the cases reported to the Authority resulted, at the date of submission of the DPO’s Report, in any sanction being issued by the Authority. The BoSA also observed that a direct assessment of compliance with GDPR requirements was carried out by an independent third party as part of the overall assessment of the Group Compliance framework and comparison with market best practices. During 2021, personal data protection training was provided with a specific course covering all the GDPR general principles, data subject rights, data transfer, data breach, governance, and the responsibilities of individual employees. Given the new developments in European regulations about the transfer of personal data outside the European Economic Area, specific training has also been provided on the Transfer Impact Assessment (TIA) topic. Sessions dedicated to specific sectors of UniCredit S.p.A. are also planned for 2022 to deal with GDPR aspects specific to their respective activities. With regard to the provision of investment services and related controls, the Board of Statutory Auditors lastly examined the annual reports prepared by the Control Functions (Internal Audit, Group Risk Management, Compliance) to be submitted to CONSOB. Non-Financial Risks The Board of Statutory Auditors noted that, in the context of the reorganization and simplification of the Group Risk Management Function, launched in 2021 (see also paragraph 9 below), the Group Non-Financial Risks (GNFR) structure has been defined, and has been assigned responsibility for the management, control, assessment, mitigation of the Group’s operational and reputational risks, containment of the related losses and risk-weighted assets. The Structure is also responsible for the management and control of ICT/Cyber Risks, by defining the framework for managing the risks, the coordination and monitoring of the Group’s Companies in its implementation, measurement, assessment, and control. The Board of Statutory Auditors periodically examined the results of the Integrated Risk Report and, with regard to Non-Financial Risks, the BoSA noted the operational losses trend and Operational Risk Weighted Assets, as well as the results of periodic risk assessments and second-level controls on ICT and Cyber Risk. The Board of Statutory Auditors was pleased to note that, net of past issues that are no longer present in the Bank’s risk profile, the downward trend of operational losses continued in 2021 and that no critical issues were reported for ICT and Cyber Risk. The Board of Statutory Auditors was informed about the initiative, led by the Group Risk Management and Group Operating Office functions, to include the principles of operational resilience, a discipline concerning the ability to prevent and react to disruption, in the framework of corporate policies and practices and to define a specific target operating model. In February 2022, in the context of the aforementioned initiative to update internal regulations launched by Top Management, the new version of the “Group Operational Risk Management” was approved; such new version defines the rules for identifying, assessing, measuring, monitoring, and reporting Operational Risk in the Group and explains the organizational model, governance principles and the main formal and functional relationships between the Holding Company and Legal Entities. The Board of Statutory Auditors noted the changes introduced with the Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 783 For 2022, the Board of Statutory Auditors suggests to the incoming Control Body to closely monitor the actions aimed at: • monitoring regulatory updates, related specifically to the transposition by Member States of the European Directive EU/1937/2019 on the protection of Whistleblowers, those with an impact on the Whistleblowing process (such as, for example, the rulings on the General Data Protection Regulation, so-called “GDPR”), as well as the forthcoming issuance of the ISO 37002 standard for the certification of Whistleblowing management systems; • envisaging further development of initiatives aimed at increasing the communication of best practices to all the Legal Entities relating to the Whistleblowing process; • reviewing the whistleblowing process in the light of the changed Company’s organizational context and changes in external regulations affecting the normal conduct investigation activities. The Board of Statutory Auditors examined the information contained in the Report of the Data Protection Officer (DPO) of UniCredit S.p.A. for the year 2021. The DPO of UniCredit S.p.A. plays the role of DPO of the Companies of the Italian perimeter by virtue of an appointment by the respective Data Controllers and acts towards the Group Companies as Group DPO with a direction and coordination role (also through the oversight of the DPOs of the subsidiaries), in order to promote a uniform approach in the management of personal data protection issues at local level and receiving periodical information flows. GDPR risk assessment activities for UniCredit S.p.A. ended with a “significant” risk assessment, mainly due to the high level of “basic” risk factors (so-called inherent risk) determined by factors related to UniCredit’s size and operations (e.g. number of subjects whose data are processed, type of data processed, number of processes and procedures involved), the outcome of second-level controls (especially related to the “right to be forgotten” management), the proper keeping of the processing register and, lastly, the cases of personal data breach detected during the period. All corrective measures with a deadline identified during 2021, related to findings issued by Internal Audit Function, have been completed. Further activities are to be completed with due date within the first quarter of 2022. With regard to breaches (so-called data breaches), the Board of Statutory Auditors lastly noted the most significant cases identified during the year, and subject of notification to the Personal Data Protection Authority. None of the cases reported to the Authority resulted, at the date of submission of the DPO’s Report, in any sanction being issued by the Authority. The BoSA also observed that a direct assessment of compliance with GDPR requirements was carried out by an independent third party as part of the overall assessment of the Group Compliance framework and comparison with market best practices. During 2021, personal data protection training was provided with a specific course covering all the GDPR general principles, data subject rights, data transfer, data breach, governance, and the responsibilities of individual employees. Given the new developments in European regulations about the transfer of personal data outside the European Economic Area, specific training has also been provided on the Transfer Impact Assessment (TIA) topic. Sessions dedicated to specific sectors of UniCredit S.p.A. are also planned for 2022 to deal with GDPR aspects specific to their respective activities. With regard to the provision of investment services and related controls, the Board of Statutory Auditors lastly examined the annual reports prepared by the Control Functions (Internal Audit, Group Risk Management, Compliance) to be submitted to CONSOB. Non-Financial Risks The Board of Statutory Auditors noted that, in the context of the reorganization and simplification of the Group Risk Management Function, launched in 2021 (see also paragraph 9 below), the Group Non-Financial Risks (GNFR) structure has been defined, and has been assigned responsibility for the management, control, assessment, mitigation of the Group’s operational and reputational risks, containment of the related losses and risk-weighted assets. The Structure is also responsible for the management and control of ICT/Cyber Risks, by defining the framework for managing the risks, the coordination and monitoring of the Group’s Companies in its implementation, measurement, assessment, and control. The Board of Statutory Auditors periodically examined the results of the Integrated Risk Report and, with regard to Non-Financial Risks, the BoSA noted the operational losses trend and Operational Risk Weighted Assets, as well as the results of periodic risk assessments and second-level controls on ICT and Cyber Risk. The Board of Statutory Auditors was pleased to note that, net of past issues that are no longer present in the Bank’s risk profile, the downward trend of operational losses continued in 2021 and that no critical issues were reported for ICT and Cyber Risk. The Board of Statutory Auditors was informed about the initiative, led by the Group Risk Management and Group Operating Office functions, to include the principles of operational resilience, a discipline concerning the ability to prevent and react to disruption, in the framework of corporate policies and practices and to define a specific target operating model. In February 2022, in the context of the aforementioned initiative to update internal regulations launched by Top Management, the new version of the “Group Operational Risk Management” was approved; such new version defines the rules for identifying, assessing, measuring, monitoring, and reporting Operational Risk in the Group and explains the organizational model, governance principles and the main formal and functional relationships between the Holding Company and Legal Entities. The Board of Statutory Auditors noted the changes introduced with the Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 783 For 2022, the Board of Statutory Auditors suggests to the incoming Control Body to closely monitor the actions aimed at: • monitoring regulatory updates, related specifically to the transposition by Member States of the European Directive EU/1937/2019 on the protection of Whistleblowers, those with an impact on the Whistleblowing process (such as, for example, the rulings on the General Data Protection Regulation, so-called “GDPR”), as well as the forthcoming issuance of the ISO 37002 standard for the certification of Whistleblowing management systems; • envisaging further development of initiatives aimed at increasing the communication of best practices to all the Legal Entities relating to the Whistleblowing process; • reviewing the whistleblowing process in the light of the changed Company’s organizational context and changes in external regulations affecting the normal conduct investigation activities. The Board of Statutory Auditors examined the information contained in the Report of the Data Protection Officer (DPO) of UniCredit S.p.A. for the year 2021. The DPO of UniCredit S.p.A. plays the role of DPO of the Companies of the Italian perimeter by virtue of an appointment by the respective Data Controllers and acts towards the Group Companies as Group DPO with a direction and coordination role (also through the oversight of the DPOs of the subsidiaries), in order to promote a uniform approach in the management of personal data protection issues at local level and receiving periodical information flows. GDPR risk assessment activities for UniCredit S.p.A. ended with a “significant” risk assessment, mainly due to the high level of “basic” risk factors (so-called inherent risk) determined by factors related to UniCredit’s size and operations (e.g. number of subjects whose data are processed, type of data processed, number of processes and procedures involved), the outcome of second-level controls (especially related to the “right to be forgotten” management), the proper keeping of the processing register and, lastly, the cases of personal data breach detected during the period. All corrective measures with a deadline identified during 2021, related to findings issued by Internal Audit Function, have been completed. Further activities are to be completed with due date within the first quarter of 2022. With regard to breaches (so-called data breaches), the Board of Statutory Auditors lastly noted the most significant cases identified during the year, and subject of notification to the Personal Data Protection Authority. None of the cases reported to the Authority resulted, at the date of submission of the DPO’s Report, in any sanction being issued by the Authority. The BoSA also observed that a direct assessment of compliance with GDPR requirements was carried out by an independent third party as part of the overall assessment of the Group Compliance framework and comparison with market best practices. During 2021, personal data protection training was provided with a specific course covering all the GDPR general principles, data subject rights, data transfer, data breach, governance, and the responsibilities of individual employees. Given the new developments in European regulations about the transfer of personal data outside the European Economic Area, specific training has also been provided on the Transfer Impact Assessment (TIA) topic. Sessions dedicated to specific sectors of UniCredit S.p.A. are also planned for 2022 to deal with GDPR aspects specific to their respective activities. With regard to the provision of investment services and related controls, the Board of Statutory Auditors lastly examined the annual reports prepared by the Control Functions (Internal Audit, Group Risk Management, Compliance) to be submitted to CONSOB. Non-Financial Risks The Board of Statutory Auditors noted that, in the context of the reorganization and simplification of the Group Risk Management Function, launched in 2021 (see also paragraph 9 below), the Group Non-Financial Risks (GNFR) structure has been defined, and has been assigned responsibility for the management, control, assessment, mitigation of the Group’s operational and reputational risks, containment of the related losses and risk-weighted assets. The Structure is also responsible for the management and control of ICT/Cyber Risks, by defining the framework for managing the risks, the coordination and monitoring of the Group’s Companies in its implementation, measurement, assessment, and control. The Board of Statutory Auditors periodically examined the results of the Integrated Risk Report and, with regard to Non-Financial Risks, the BoSA noted the operational losses trend and Operational Risk Weighted Assets, as well as the results of periodic risk assessments and second-level controls on ICT and Cyber Risk. The Board of Statutory Auditors was pleased to note that, net of past issues that are no longer present in the Bank’s risk profile, the downward trend of operational losses continued in 2021 and that no critical issues were reported for ICT and Cyber Risk. The Board of Statutory Auditors was informed about the initiative, led by the Group Risk Management and Group Operating Office functions, to include the principles of operational resilience, a discipline concerning the ability to prevent and react to disruption, in the framework of corporate policies and practices and to define a specific target operating model. In February 2022, in the context of the aforementioned initiative to update internal regulations launched by Top Management, the new version of the “Group Operational Risk Management” was approved; such new version defines the rules for identifying, assessing, measuring, monitoring, and reporting Operational Risk in the Group and explains the organizational model, governance principles and the main formal and functional relationships between the Holding Company and Legal Entities. The Board of Statutory Auditors noted the changes introduced with the Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 783 For 2022, the Board of Statutory Auditors suggests to the incoming Control Body to closely monitor the actions aimed at: • monitoring regulatory updates, related specifically to the transposition by Member States of the European Directive EU/1937/2019 on the protection of Whistleblowers, those with an impact on the Whistleblowing process (such as, for example, the rulings on the General Data Protection Regulation, so-called “GDPR”), as well as the forthcoming issuance of the ISO 37002 standard for the certification of Whistleblowing management systems; • envisaging further development of initiatives aimed at increasing the communication of best practices to all the Legal Entities relating to the Whistleblowing process; • reviewing the whistleblowing process in the light of the changed Company’s organizational context and changes in external regulations affecting the normal conduct investigation activities. The Board of Statutory Auditors examined the information contained in the Report of the Data Protection Officer (DPO) of UniCredit S.p.A. for the year 2021. The DPO of UniCredit S.p.A. plays the role of DPO of the Companies of the Italian perimeter by virtue of an appointment by the respective Data Controllers and acts towards the Group Companies as Group DPO with a direction and coordination role (also through the oversight of the DPOs of the subsidiaries), in order to promote a uniform approach in the management of personal data protection issues at local level and receiving periodical information flows. GDPR risk assessment activities for UniCredit S.p.A. ended with a “significant” risk assessment, mainly due to the high level of “basic” risk factors (so-called inherent risk) determined by factors related to UniCredit’s size and operations (e.g. number of subjects whose data are processed, type of data processed, number of processes and procedures involved), the outcome of second-level controls (especially related to the “right to be forgotten” management), the proper keeping of the processing register and, lastly, the cases of personal data breach detected during the period. All corrective measures with a deadline identified during 2021, related to findings issued by Internal Audit Function, have been completed. Further activities are to be completed with due date within the first quarter of 2022. With regard to breaches (so-called data breaches), the Board of Statutory Auditors lastly noted the most significant cases identified during the year, and subject of notification to the Personal Data Protection Authority. None of the cases reported to the Authority resulted, at the date of submission of the DPO’s Report, in any sanction being issued by the Authority. The BoSA also observed that a direct assessment of compliance with GDPR requirements was carried out by an independent third party as part of the overall assessment of the Group Compliance framework and comparison with market best practices. During 2021, personal data protection training was provided with a specific course covering all the GDPR general principles, data subject rights, data transfer, data breach, governance, and the responsibilities of individual employees. Given the new developments in European regulations about the transfer of personal data outside the European Economic Area, specific training has also been provided on the Transfer Impact Assessment (TIA) topic. Sessions dedicated to specific sectors of UniCredit S.p.A. are also planned for 2022 to deal with GDPR aspects specific to their respective activities. With regard to the provision of investment services and related controls, the Board of Statutory Auditors lastly examined the annual reports prepared by the Control Functions (Internal Audit, Group Risk Management, Compliance) to be submitted to CONSOB. Non-Financial Risks The Board of Statutory Auditors noted that, in the context of the reorganization and simplification of the Group Risk Management Function, launched in 2021 (see also paragraph 9 below), the Group Non-Financial Risks (GNFR) structure has been defined, and has been assigned responsibility for the management, control, assessment, mitigation of the Group’s operational and reputational risks, containment of the related losses and risk-weighted assets. The Structure is also responsible for the management and control of ICT/Cyber Risks, by defining the framework for managing the risks, the coordination and monitoring of the Group’s Companies in its implementation, measurement, assessment, and control. The Board of Statutory Auditors periodically examined the results of the Integrated Risk Report and, with regard to Non-Financial Risks, the BoSA noted the operational losses trend and Operational Risk Weighted Assets, as well as the results of periodic risk assessments and second-level controls on ICT and Cyber Risk. The Board of Statutory Auditors was pleased to note that, net of past issues that are no longer present in the Bank’s risk profile, the downward trend of operational losses continued in 2021 and that no critical issues were reported for ICT and Cyber Risk. The Board of Statutory Auditors was informed about the initiative, led by the Group Risk Management and Group Operating Office functions, to include the principles of operational resilience, a discipline concerning the ability to prevent and react to disruption, in the framework of corporate policies and practices and to define a specific target operating model. In February 2022, in the context of the aforementioned initiative to update internal regulations launched by Top Management, the new version of the “Group Operational Risk Management” was approved; such new version defines the rules for identifying, assessing, measuring, monitoring, and reporting Operational Risk in the Group and explains the organizational model, governance principles and the main formal and functional relationships between the Holding Company and Legal Entities. The Board of Statutory Auditors noted the changes introduced with the Company financial statements | Report and resolutions Report of the Board of Statutory auditors 784 2021 Annual Report and Accounts · UniCredit aforementioned review, consisting of: (i) content simplification, inclusion of the new Committees and new organizational set-up; (ii) decommissioning and inclusion of a pre-existing Global Policy related to the same topic; (iii) incorporation of methodological adjustments. The Board of Statutory Auditors also examined the Annual Report on the analysis results of the operational and security risks relating to payment services, required by the Banca d’Italia Supervisory Provisions, identifying the main security measures and areas of improvement identified during the risk assessment phase. The methodology adopted at UniCredit for assessing the related risks is set out in the “Operational Risk Assessment for ICT and Cyber Risk” internal regulations. Focus on ICT Risk In the period under examination, the Board of Statutory Auditors continued turning its attention to the ICT Risk topic and met with the competent structures in order to examine the periodic reports on ICT and ICT Security. In 2021, the Board of Statutory Auditors noted the set-up of the new Digital & Information Division, which was designed with the aim of ensuring the inclusion of technology, digitalization, and data in every Bank’s strategic decision, in light of the critical importance of such area for future business challenges. The BoSA examined UniCredit’s Digital Transformation Plan, part of the overall Unlocked Strategic Plan 2022-2024, and noted that digital transformation will be pursued on the basis of four strategic pillars: (i) insourcing core skills within the Group; (ii) developing a new way of working, focusing on customers, and building on common platforms; (iii) redesigning architectures and platforms; (iv) producing customized digital experiences. The BoSA noted that the Group plans to invest €2.8bn in digital and data in the three-year period 2022-2024, in order to transform its technology. In view of this significant objective, as well as the pillar for the operational implementation of the new Strategic Plan, the Board of Statutory Auditors considers of key importance that the Board of Directors and the appointed Management constantly pay the utmost attention and monitor the aforementioned issues. The BoSA welcomed the continuation of the decreasing trend of IT incidents and of the favorable trend of IT availability in 2021. The BoSA was informed about the evolution of the Group Security Strategy KPIs, the scope extension of the Digital Security Posture process and the progress of the aforementioned operational resiliency program on IT security processes. The Board of Statutory Auditors analyzed the annual Internal Audit report on the results of the activities carried out in the Group on Business Continuity, Disaster Recovery and Crisis Management processes and noted that (i) all completed audit activities led to positive assessments; (ii) the Management acted appropriately and promptly in order to mitigate the identified risks; (iii) the audit work did not identify material issues. The Board of Statutory Auditors was informed by the Management about the results of the business continuity activities carried out in 2021 and about the Business Continuity Plan for 2022, updated following the conclusion of the Business Impact Analysis cycle; the Board of Statutory Auditors noted that with regard to all systemic activities defined by Banca d’Italia, UniCredit has robust continuity measures for all risk scenarios. As a whole, the Board of Statutory Auditors observed the business continuity plan to be comprehensive, adequate, functional, and reliable. With regard to Third Party Risk Management (TPRM), the Board of Statutory Auditors was updated on the progress of the TPRM Program, launched in early 2020 with the aim of defining the process related to Third Parties Relationships; specifically, the Board of Statutory Auditors was informed in relation to: (i) the status of the Group-wide implementation activities of the “Global Policy - Third Party Risk Management (TPRM) for Non-Outsourcing arrangements”; the verification activities of contracts with Third Parties; (iii) ECB recommendations on Third Party Outsourcing and Non-Outsourcing. The Board of Statutory Auditors noted, inter alia, the positive results of the “Global Audit - Data Loss Prevention: strategies and implementation - Follow-up”, which was rated “satisfactory”, thanks to a number of progresses in the data loss prevention control framework. The BoSA was informed about the “Cloud Collaborative Audit” initiatives launched by the Internal Audit Function, in collaboration with the corresponding Functions of other financial institutions, in line with the guidelines published in draft by EBA for the execution of Internal Audit interventions on cloud service providers. The Board of Statutory Auditors examined the new Group Policy “Digital Security” with which the Group, in line with the requirements of Circular 285/2013 of Banca d’Italia, defines principles and guidelines concerning the definition, implementation, and ongoing improvement of Digital Security in order to ensure an adequate level of protection of digital assets, data, information, and related oversight. The Board of Statutory Auditors noted that the issue of the new version, replacing the previous Global Policy “Cyber and Information Security”, allows to: (i) bring about a comprehensive simplification of the most important Digital Security principles; (ii) include the most relevant contents of the ongoing repeal of the Global Operation Regulation “ICT Security Governance Monitoring Methodology”; (iii) introduce some updates resulting from Internal Audit findings aimed at strengthening the overall framework; (iv) update roles, responsibilities, main elements of the Digital Security Strategy and Third Party Digital Security principles. Lastly, the Board of Statutory Auditors received updates from the Independent Auditors’ experts on the audit activities related to the Bank's and the Group’s information systems (ISAE 3402 Report E&Y), their design and operational effectiveness. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 784 2021 Annual Report and Accounts · UniCredit aforementioned review, consisting of: (i) content simplification, inclusion of the new Committees and new organizational set-up; (ii) decommissioning and inclusion of a pre-existing Global Policy related to the same topic; (iii) incorporation of methodological adjustments. The Board of Statutory Auditors also examined the Annual Report on the analysis results of the operational and security risks relating to payment services, required by the Banca d’Italia Supervisory Provisions, identifying the main security measures and areas of improvement identified during the risk assessment phase. The methodology adopted at UniCredit for assessing the related risks is set out in the “Operational Risk Assessment for ICT and Cyber Risk” internal regulations. Focus on ICT Risk In the period under examination, the Board of Statutory Auditors continued turning its attention to the ICT Risk topic and met with the competent structures in order to examine the periodic reports on ICT and ICT Security. In 2021, the Board of Statutory Auditors noted the set-up of the new Digital & Information Division, which was designed with the aim of ensuring the inclusion of technology, digitalization, and data in every Bank’s strategic decision, in light of the critical importance of such area for future business challenges. The BoSA examined UniCredit’s Digital Transformation Plan, part of the overall Unlocked Strategic Plan 2022-2024, and noted that digital transformation will be pursued on the basis of four strategic pillars: (i) insourcing core skills within the Group; (ii) developing a new way of working, focusing on customers, and building on common platforms; (iii) redesigning architectures and platforms; (iv) producing customized digital experiences. The BoSA noted that the Group plans to invest €2.8bn in digital and data in the three-year period 2022-2024, in order to transform its technology. In view of this significant objective, as well as the pillar for the operational implementation of the new Strategic Plan, the Board of Statutory Auditors considers of key importance that the Board of Directors and the appointed Management constantly pay the utmost attention and monitor the aforementioned issues. The BoSA welcomed the continuation of the decreasing trend of IT incidents and of the favorable trend of IT availability in 2021. The BoSA was informed about the evolution of the Group Security Strategy KPIs, the scope extension of the Digital Security Posture process and the progress of the aforementioned operational resiliency program on IT security processes. The Board of Statutory Auditors analyzed the annual Internal Audit report on the results of the activities carried out in the Group on Business Continuity, Disaster Recovery and Crisis Management processes and noted that (i) all completed audit activities led to positive assessments; (ii) the Management acted appropriately and promptly in order to mitigate the identified risks; (iii) the audit work did not identify material issues. The Board of Statutory Auditors was informed by the Management about the results of the business continuity activities carried out in 2021 and about the Business Continuity Plan for 2022, updated following the conclusion of the Business Impact Analysis cycle; the Board of Statutory Auditors noted that with regard to all systemic activities defined by Banca d’Italia, UniCredit has robust continuity measures for all risk scenarios. As a whole, the Board of Statutory Auditors observed the business continuity plan to be comprehensive, adequate, functional, and reliable. With regard to Third Party Risk Management (TPRM), the Board of Statutory Auditors was updated on the progress of the TPRM Program, launched in early 2020 with the aim of defining the process related to Third Parties Relationships; specifically, the Board of Statutory Auditors was informed in relation to: (i) the status of the Group-wide implementation activities of the “Global Policy - Third Party Risk Management (TPRM) for Non-Outsourcing arrangements”; the verification activities of contracts with Third Parties; (iii) ECB recommendations on Third Party Outsourcing and Non-Outsourcing. The Board of Statutory Auditors noted, inter alia, the positive results of the “Global Audit - Data Loss Prevention: strategies and implementation - Follow-up”, which was rated “satisfactory”, thanks to a number of progresses in the data loss prevention control framework. The BoSA was informed about the “Cloud Collaborative Audit” initiatives launched by the Internal Audit Function, in collaboration with the corresponding Functions of other financial institutions, in line with the guidelines published in draft by EBA for the execution of Internal Audit interventions on cloud service providers. The Board of Statutory Auditors examined the new Group Policy “Digital Security” with which the Group, in line with the requirements of Circular 285/2013 of Banca d’Italia, defines principles and guidelines concerning the definition, implementation, and ongoing improvement of Digital Security in order to ensure an adequate level of protection of digital assets, data, information, and related oversight. The Board of Statutory Auditors noted that the issue of the new version, replacing the previous Global Policy “Cyber and Information Security”, allows to: (i) bring about a comprehensive simplification of the most important Digital Security principles; (ii) include the most relevant contents of the ongoing repeal of the Global Operation Regulation “ICT Security Governance Monitoring Methodology”; (iii) introduce some updates resulting from Internal Audit findings aimed at strengthening the overall framework; (iv) update roles, responsibilities, main elements of the Digital Security Strategy and Third Party Digital Security principles. Lastly, the Board of Statutory Auditors received updates from the Independent Auditors’ experts on the audit activities related to the Bank's and the Group’s information systems (ISAE 3402 Report E&Y), their design and operational effectiveness. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 784 2021 Annual Report and Accounts · UniCredit aforementioned review, consisting of: (i) content simplification, inclusion of the new Committees and new organizational set-up; (ii) decommissioning and inclusion of a pre-existing Global Policy related to the same topic; (iii) incorporation of methodological adjustments. The Board of Statutory Auditors also examined the Annual Report on the analysis results of the operational and security risks relating to payment services, required by the Banca d’Italia Supervisory Provisions, identifying the main security measures and areas of improvement identified during the risk assessment phase. The methodology adopted at UniCredit for assessing the related risks is set out in the “Operational Risk Assessment for ICT and Cyber Risk” internal regulations. Focus on ICT Risk In the period under examination, the Board of Statutory Auditors continued turning its attention to the ICT Risk topic and met with the competent structures in order to examine the periodic reports on ICT and ICT Security. In 2021, the Board of Statutory Auditors noted the set-up of the new Digital & Information Division, which was designed with the aim of ensuring the inclusion of technology, digitalization, and data in every Bank’s strategic decision, in light of the critical importance of such area for future business challenges. The BoSA examined UniCredit’s Digital Transformation Plan, part of the overall Unlocked Strategic Plan 2022-2024, and noted that digital transformation will be pursued on the basis of four strategic pillars: (i) insourcing core skills within the Group; (ii) developing a new way of working, focusing on customers, and building on common platforms; (iii) redesigning architectures and platforms; (iv) producing customized digital experiences. The BoSA noted that the Group plans to invest €2.8bn in digital and data in the three-year period 2022-2024, in order to transform its technology. In view of this significant objective, as well as the pillar for the operational implementation of the new Strategic Plan, the Board of Statutory Auditors considers of key importance that the Board of Directors and the appointed Management constantly pay the utmost attention and monitor the aforementioned issues. The BoSA welcomed the continuation of the decreasing trend of IT incidents and of the favorable trend of IT availability in 2021. The BoSA was informed about the evolution of the Group Security Strategy KPIs, the scope extension of the Digital Security Posture process and the progress of the aforementioned operational resiliency program on IT security processes. The Board of Statutory Auditors analyzed the annual Internal Audit report on the results of the activities carried out in the Group on Business Continuity, Disaster Recovery and Crisis Management processes and noted that (i) all completed audit activities led to positive assessments; (ii) the Management acted appropriately and promptly in order to mitigate the identified risks; (iii) the audit work did not identify material issues. The Board of Statutory Auditors was informed by the Management about the results of the business continuity activities carried out in 2021 and about the Business Continuity Plan for 2022, updated following the conclusion of the Business Impact Analysis cycle; the Board of Statutory Auditors noted that with regard to all systemic activities defined by Banca d’Italia, UniCredit has robust continuity measures for all risk scenarios. As a whole, the Board of Statutory Auditors observed the business continuity plan to be comprehensive, adequate, functional, and reliable. With regard to Third Party Risk Management (TPRM), the Board of Statutory Auditors was updated on the progress of the TPRM Program, launched in early 2020 with the aim of defining the process related to Third Parties Relationships; specifically, the Board of Statutory Auditors was informed in relation to: (i) the status of the Group-wide implementation activities of the “Global Policy - Third Party Risk Management (TPRM) for Non-Outsourcing arrangements”; the verification activities of contracts with Third Parties; (iii) ECB recommendations on Third Party Outsourcing and Non-Outsourcing. The Board of Statutory Auditors noted, inter alia, the positive results of the “Global Audit - Data Loss Prevention: strategies and implementation - Follow-up”, which was rated “satisfactory”, thanks to a number of progresses in the data loss prevention control framework. The BoSA was informed about the “Cloud Collaborative Audit” initiatives launched by the Internal Audit Function, in collaboration with the corresponding Functions of other financial institutions, in line with the guidelines published in draft by EBA for the execution of Internal Audit interventions on cloud service providers. The Board of Statutory Auditors examined the new Group Policy “Digital Security” with which the Group, in line with the requirements of Circular 285/2013 of Banca d’Italia, defines principles and guidelines concerning the definition, implementation, and ongoing improvement of Digital Security in order to ensure an adequate level of protection of digital assets, data, information, and related oversight. The Board of Statutory Auditors noted that the issue of the new version, replacing the previous Global Policy “Cyber and Information Security”, allows to: (i) bring about a comprehensive simplification of the most important Digital Security principles; (ii) include the most relevant contents of the ongoing repeal of the Global Operation Regulation “ICT Security Governance Monitoring Methodology”; (iii) introduce some updates resulting from Internal Audit findings aimed at strengthening the overall framework; (iv) update roles, responsibilities, main elements of the Digital Security Strategy and Third Party Digital Security principles. Lastly, the Board of Statutory Auditors received updates from the Independent Auditors’ experts on the audit activities related to the Bank's and the Group’s information systems (ISAE 3402 Report E&Y), their design and operational effectiveness. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 784 2021 Annual Report and Accounts · UniCredit aforementioned review, consisting of: (i) content simplification, inclusion of the new Committees and new organizational set-up; (ii) decommissioning and inclusion of a pre-existing Global Policy related to the same topic; (iii) incorporation of methodological adjustments. The Board of Statutory Auditors also examined the Annual Report on the analysis results of the operational and security risks relating to payment services, required by the Banca d’Italia Supervisory Provisions, identifying the main security measures and areas of improvement identified during the risk assessment phase. The methodology adopted at UniCredit for assessing the related risks is set out in the “Operational Risk Assessment for ICT and Cyber Risk” internal regulations. Focus on ICT Risk In the period under examination, the Board of Statutory Auditors continued turning its attention to the ICT Risk topic and met with the competent structures in order to examine the periodic reports on ICT and ICT Security. In 2021, the Board of Statutory Auditors noted the set-up of the new Digital & Information Division, which was designed with the aim of ensuring the inclusion of technology, digitalization, and data in every Bank’s strategic decision, in light of the critical importance of such area for future business challenges. The BoSA examined UniCredit’s Digital Transformation Plan, part of the overall Unlocked Strategic Plan 2022-2024, and noted that digital transformation will be pursued on the basis of four strategic pillars: (i) insourcing core skills within the Group; (ii) developing a new way of working, focusing on customers, and building on common platforms; (iii) redesigning architectures and platforms; (iv) producing customized digital experiences. The BoSA noted that the Group plans to invest €2.8bn in digital and data in the three-year period 2022-2024, in order to transform its technology. In view of this significant objective, as well as the pillar for the operational implementation of the new Strategic Plan, the Board of Statutory Auditors considers of key importance that the Board of Directors and the appointed Management constantly pay the utmost attention and monitor the aforementioned issues. The BoSA welcomed the continuation of the decreasing trend of IT incidents and of the favorable trend of IT availability in 2021. The BoSA was informed about the evolution of the Group Security Strategy KPIs, the scope extension of the Digital Security Posture process and the progress of the aforementioned operational resiliency program on IT security processes. The Board of Statutory Auditors analyzed the annual Internal Audit report on the results of the activities carried out in the Group on Business Continuity, Disaster Recovery and Crisis Management processes and noted that (i) all completed audit activities led to positive assessments; (ii) the Management acted appropriately and promptly in order to mitigate the identified risks; (iii) the audit work did not identify material issues. The Board of Statutory Auditors was informed by the Management about the results of the business continuity activities carried out in 2021 and about the Business Continuity Plan for 2022, updated following the conclusion of the Business Impact Analysis cycle; the Board of Statutory Auditors noted that with regard to all systemic activities defined by Banca d’Italia, UniCredit has robust continuity measures for all risk scenarios. As a whole, the Board of Statutory Auditors observed the business continuity plan to be comprehensive, adequate, functional, and reliable. With regard to Third Party Risk Management (TPRM), the Board of Statutory Auditors was updated on the progress of the TPRM Program, launched in early 2020 with the aim of defining the process related to Third Parties Relationships; specifically, the Board of Statutory Auditors was informed in relation to: (i) the status of the Group-wide implementation activities of the “Global Policy - Third Party Risk Management (TPRM) for Non-Outsourcing arrangements”; the verification activities of contracts with Third Parties; (iii) ECB recommendations on Third Party Outsourcing and Non-Outsourcing. The Board of Statutory Auditors noted, inter alia, the positive results of the “Global Audit - Data Loss Prevention: strategies and implementation - Follow-up”, which was rated “satisfactory”, thanks to a number of progresses in the data loss prevention control framework. The BoSA was informed about the “Cloud Collaborative Audit” initiatives launched by the Internal Audit Function, in collaboration with the corresponding Functions of other financial institutions, in line with the guidelines published in draft by EBA for the execution of Internal Audit interventions on cloud service providers. The Board of Statutory Auditors examined the new Group Policy “Digital Security” with which the Group, in line with the requirements of Circular 285/2013 of Banca d’Italia, defines principles and guidelines concerning the definition, implementation, and ongoing improvement of Digital Security in order to ensure an adequate level of protection of digital assets, data, information, and related oversight. The Board of Statutory Auditors noted that the issue of the new version, replacing the previous Global Policy “Cyber and Information Security”, allows to: (i) bring about a comprehensive simplification of the most important Digital Security principles; (ii) include the most relevant contents of the ongoing repeal of the Global Operation Regulation “ICT Security Governance Monitoring Methodology”; (iii) introduce some updates resulting from Internal Audit findings aimed at strengthening the overall framework; (iv) update roles, responsibilities, main elements of the Digital Security Strategy and Third Party Digital Security principles. Lastly, the Board of Statutory Auditors received updates from the Independent Auditors’ experts on the audit activities related to the Bank's and the Group’s information systems (ISAE 3402 Report E&Y), their design and operational effectiveness. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 784 2021 Annual Report and Accounts · UniCredit aforementioned review, consisting of: (i) content simplification, inclusion of the new Committees and new organizational set-up; (ii) decommissioning and inclusion of a pre-existing Global Policy related to the same topic; (iii) incorporation of methodological adjustments. The Board of Statutory Auditors also examined the Annual Report on the analysis results of the operational and security risks relating to payment services, required by the Banca d’Italia Supervisory Provisions, identifying the main security measures and areas of improvement identified during the risk assessment phase. The methodology adopted at UniCredit for assessing the related risks is set out in the “Operational Risk Assessment for ICT and Cyber Risk” internal regulations. Focus on ICT Risk In the period under examination, the Board of Statutory Auditors continued turning its attention to the ICT Risk topic and met with the competent structures in order to examine the periodic reports on ICT and ICT Security. In 2021, the Board of Statutory Auditors noted the set-up of the new Digital & Information Division, which was designed with the aim of ensuring the inclusion of technology, digitalization, and data in every Bank’s strategic decision, in light of the critical importance of such area for future business challenges. The BoSA examined UniCredit’s Digital Transformation Plan, part of the overall Unlocked Strategic Plan 2022-2024, and noted that digital transformation will be pursued on the basis of four strategic pillars: (i) insourcing core skills within the Group; (ii) developing a new way of working, focusing on customers, and building on common platforms; (iii) redesigning architectures and platforms; (iv) producing customized digital experiences. The BoSA noted that the Group plans to invest €2.8bn in digital and data in the three-year period 2022-2024, in order to transform its technology. In view of this significant objective, as well as the pillar for the operational implementation of the new Strategic Plan, the Board of Statutory Auditors considers of key importance that the Board of Directors and the appointed Management constantly pay the utmost attention and monitor the aforementioned issues. The BoSA welcomed the continuation of the decreasing trend of IT incidents and of the favorable trend of IT availability in 2021. The BoSA was informed about the evolution of the Group Security Strategy KPIs, the scope extension of the Digital Security Posture process and the progress of the aforementioned operational resiliency program on IT security processes. The Board of Statutory Auditors analyzed the annual Internal Audit report on the results of the activities carried out in the Group on Business Continuity, Disaster Recovery and Crisis Management processes and noted that (i) all completed audit activities led to positive assessments; (ii) the Management acted appropriately and promptly in order to mitigate the identified risks; (iii) the audit work did not identify material issues. The Board of Statutory Auditors was informed by the Management about the results of the business continuity activities carried out in 2021 and about the Business Continuity Plan for 2022, updated following the conclusion of the Business Impact Analysis cycle; the Board of Statutory Auditors noted that with regard to all systemic activities defined by Banca d’Italia, UniCredit has robust continuity measures for all risk scenarios. As a whole, the Board of Statutory Auditors observed the business continuity plan to be comprehensive, adequate, functional, and reliable. With regard to Third Party Risk Management (TPRM), the Board of Statutory Auditors was updated on the progress of the TPRM Program, launched in early 2020 with the aim of defining the process related to Third Parties Relationships; specifically, the Board of Statutory Auditors was informed in relation to: (i) the status of the Group-wide implementation activities of the “Global Policy - Third Party Risk Management (TPRM) for Non-Outsourcing arrangements”; the verification activities of contracts with Third Parties; (iii) ECB recommendations on Third Party Outsourcing and Non-Outsourcing. The Board of Statutory Auditors noted, inter alia, the positive results of the “Global Audit - Data Loss Prevention: strategies and implementation - Follow-up”, which was rated “satisfactory”, thanks to a number of progresses in the data loss prevention control framework. The BoSA was informed about the “Cloud Collaborative Audit” initiatives launched by the Internal Audit Function, in collaboration with the corresponding Functions of other financial institutions, in line with the guidelines published in draft by EBA for the execution of Internal Audit interventions on cloud service providers. The Board of Statutory Auditors examined the new Group Policy “Digital Security” with which the Group, in line with the requirements of Circular 285/2013 of Banca d’Italia, defines principles and guidelines concerning the definition, implementation, and ongoing improvement of Digital Security in order to ensure an adequate level of protection of digital assets, data, information, and related oversight. The Board of Statutory Auditors noted that the issue of the new version, replacing the previous Global Policy “Cyber and Information Security”, allows to: (i) bring about a comprehensive simplification of the most important Digital Security principles; (ii) include the most relevant contents of the ongoing repeal of the Global Operation Regulation “ICT Security Governance Monitoring Methodology”; (iii) introduce some updates resulting from Internal Audit findings aimed at strengthening the overall framework; (iv) update roles, responsibilities, main elements of the Digital Security Strategy and Third Party Digital Security principles. Lastly, the Board of Statutory Auditors received updates from the Independent Auditors’ experts on the audit activities related to the Bank's and the Group’s information systems (ISAE 3402 Report E&Y), their design and operational effectiveness. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 785 Other risks - Main and emerging risks In the context of a rapidly changing regulatory framework and external scenario, the Board of Statutory Auditors had the opportunity to analyze some of the main changes in terms of main and emerging risks, with the relevant Functions. With regard to such changes, the following were considered significant during 2021: (i) impacts from the evolution of the Covid-19 pandemic; (ii) macroeconomic and (geo-) political challenges in the world; (ii) climate and environmental change risks; (iii) cybersecurity risk; (iv) risks resulting from current regulatory developments. Military invasion of Ukraine As already noted in paragraph 7, Russia's decision to launch a large-scale military invasion of Ukraine, which took place on 24 February 2022 and the reactions of many countries and the European Union in terms of economic and financial sanctions, appears to lead to macroeconomic uncertainty, exchange rates, energy and raw material costs, trading, inflation expectations, debt costs and credit risks. Uncertainties are also present in the policies that will be followed by the Central Banks and specifically by the European Central Bank. More generally, geopolitical tensions appear likely to influence the expectations and behavior of economic players and radically change macroeconomic outlook. Specific consequences may also affect UniCredit group companies based in Russia, as well as the Group’s credit positions with Russian residents, and the positions in derivative instruments. In a press release dated 8 March 2022, UniCredit provided information on the credit position of its subsidiary UniCredit Bank Russia, its Shareholders’ equity, and the Parent Company’s exposure to it. UniCredit also provided information on cross-border exposure to Russian customers by type of counterparty, as well as on derivative exposure. The above-mentioned statement explains that, in the extreme scenario, where the entirety of the maximum exposure is non-recoverable and zeroed, the impact on UniCredit's 2021- year end CET1 ratio (15.03% inclusive of €1.2bn accrued dividend) would be around 200bps, noting how this would absorb such impact without falling below 13% (data reported at the end of 2021). As already explained in paragraph 2, the Board of Directors confirmed its intention to execute the share buyback up to the previously agreed amount of €2.58 bn, subject to the pro-forma 2021- year end CET1 remaining above 13.0%, considering the final impact on the capital of Russian exposures. The Board of Directors also confirmed the CET1 capital ratio target remains within the range of 12.5-13.0%. In addition, the reactions of many Countries and the European Union in terms of economic and financial sanctions directly impact on the Group’s operations, called upon to apply them in a particularly complex and uncertain context. UniCredit’s Management and Board of Directors are carefully monitoring the situation in order to take the necessary steps, starting with those aimed at complying with international sanctions. In UniCredit’s press release dated 8 March 2022, the Bank explains how is continuing to dynamically manage the risk exposure, whilst constantly assessing the potential impact of the conflict on global GDP and public policies. Cyber Security Risk Along with the ongoing digitalization of banking services, that has been accelerated in light of the Covid-19 pandemic, both the financial sector and its customers are increasingly exposed to cyber risks. This requires for enhanced governance with a continued strong focus on data protection and cyber security. The impact of cyber risks can lead to service interruptions, as well as the loss of integrity and availability of data and information. Considering that the Group has been subject to cyber- attacks in recent years that have led, albeit only in a few limited cases, to data theft, the BoSA has closely monitored the initiatives undertaken by Management to address cyber risk and observed that UniCredit is continuously enhancing its cyber security program with the aim of further strengthening security controls. The Board of Statutory Auditors also notes that the ICT Risk and ICT Security issues appear destined to become increasingly important in a context of ongoing evolution of the level of cyber-attacks, further strengthened by geopolitical dynamics. According to the experts’ assessments, these phenomena are likely to worsen in the context of the situation resulting from the above-mentioned military invasion of Ukraine. Other contributions With reference to the additional reporting containing information on the internal control and risk management system, the Board of Statutory Auditors noted that, at the date of the present Report, the relevant structures are assessing the internal capital adequacy assessment process (ICAAP), and the overall functionality of the internal liquidity adequacy assessment process (ILAAP), for 2021, whose reports will be prepared in due time. During 2021, the Board of Statutory Auditors, in the review of the 2020 ICAAP and ILAAP assessments, observed for both ICAAP and ILAAP processes that the main indications previously received from ECB or Internal Audit Function were considered and/or included in appropriate action plans and that the relevant regulatory provisions were duly considered by the Bank. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 785 Other risks - Main and emerging risks In the context of a rapidly changing regulatory framework and external scenario, the Board of Statutory Auditors had the opportunity to analyze some of the main changes in terms of main and emerging risks, with the relevant Functions. With regard to such changes, the following were considered significant during 2021: (i) impacts from the evolution of the Covid-19 pandemic; (ii) macroeconomic and (geo-) political challenges in the world; (ii) climate and environmental change risks; (iii) cybersecurity risk; (iv) risks resulting from current regulatory developments. Military invasion of Ukraine As already noted in paragraph 7, Russia's decision to launch a large-scale military invasion of Ukraine, which took place on 24 February 2022 and the reactions of many countries and the European Union in terms of economic and financial sanctions, appears to lead to macroeconomic uncertainty, exchange rates, energy and raw material costs, trading, inflation expectations, debt costs and credit risks. Uncertainties are also present in the policies that will be followed by the Central Banks and specifically by the European Central Bank. More generally, geopolitical tensions appear likely to influence the expectations and behavior of economic players and radically change macroeconomic outlook. Specific consequences may also affect UniCredit group companies based in Russia, as well as the Group’s credit positions with Russian residents, and the positions in derivative instruments. In a press release dated 8 March 2022, UniCredit provided information on the credit position of its subsidiary UniCredit Bank Russia, its Shareholders’ equity, and the Parent Company’s exposure to it. UniCredit also provided information on cross-border exposure to Russian customers by type of counterparty, as well as on derivative exposure. The above-mentioned statement explains that, in the extreme scenario, where the entirety of the maximum exposure is non-recoverable and zeroed, the impact on UniCredit's 2021- year end CET1 ratio (15.03% inclusive of €1.2bn accrued dividend) would be around 200bps, noting how this would absorb such impact without falling below 13% (data reported at the end of 2021). As already explained in paragraph 2, the Board of Directors confirmed its intention to execute the share buyback up to the previously agreed amount of €2.58 bn, subject to the pro-forma 2021- year end CET1 remaining above 13.0%, considering the final impact on the capital of Russian exposures. The Board of Directors also confirmed the CET1 capital ratio target remains within the range of 12.5-13.0%. In addition, the reactions of many Countries and the European Union in terms of economic and financial sanctions directly impact on the Group’s operations, called upon to apply them in a particularly complex and uncertain context. UniCredit’s Management and Board of Directors are carefully monitoring the situation in order to take the necessary steps, starting with those aimed at complying with international sanctions. In UniCredit’s press release dated 8 March 2022, the Bank explains how is continuing to dynamically manage the risk exposure, whilst constantly assessing the potential impact of the conflict on global GDP and public policies. Cyber Security Risk Along with the ongoing digitalization of banking services, that has been accelerated in light of the Covid-19 pandemic, both the financial sector and its customers are increasingly exposed to cyber risks. This requires for enhanced governance with a continued strong focus on data protection and cyber security. The impact of cyber risks can lead to service interruptions, as well as the loss of integrity and availability of data and information. Considering that the Group has been subject to cyber- attacks in recent years that have led, albeit only in a few limited cases, to data theft, the BoSA has closely monitored the initiatives undertaken by Management to address cyber risk and observed that UniCredit is continuously enhancing its cyber security program with the aim of further strengthening security controls. The Board of Statutory Auditors also notes that the ICT Risk and ICT Security issues appear destined to become increasingly important in a context of ongoing evolution of the level of cyber-attacks, further strengthened by geopolitical dynamics. According to the experts’ assessments, these phenomena are likely to worsen in the context of the situation resulting from the above-mentioned military invasion of Ukraine. Other contributions With reference to the additional reporting containing information on the internal control and risk management system, the Board of Statutory Auditors noted that, at the date of the present Report, the relevant structures are assessing the internal capital adequacy assessment process (ICAAP), and the overall functionality of the internal liquidity adequacy assessment process (ILAAP), for 2021, whose reports will be prepared in due time. During 2021, the Board of Statutory Auditors, in the review of the 2020 ICAAP and ILAAP assessments, observed for both ICAAP and ILAAP processes that the main indications previously received from ECB or Internal Audit Function were considered and/or included in appropriate action plans and that the relevant regulatory provisions were duly considered by the Bank. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 785 Other risks - Main and emerging risks In the context of a rapidly changing regulatory framework and external scenario, the Board of Statutory Auditors had the opportunity to analyze some of the main changes in terms of main and emerging risks, with the relevant Functions. With regard to such changes, the following were considered significant during 2021: (i) impacts from the evolution of the Covid-19 pandemic; (ii) macroeconomic and (geo-) political challenges in the world; (ii) climate and environmental change risks; (iii) cybersecurity risk; (iv) risks resulting from current regulatory developments. Military invasion of Ukraine As already noted in paragraph 7, Russia's decision to launch a large-scale military invasion of Ukraine, which took place on 24 February 2022 and the reactions of many countries and the European Union in terms of economic and financial sanctions, appears to lead to macroeconomic uncertainty, exchange rates, energy and raw material costs, trading, inflation expectations, debt costs and credit risks. Uncertainties are also present in the policies that will be followed by the Central Banks and specifically by the European Central Bank. More generally, geopolitical tensions appear likely to influence the expectations and behavior of economic players and radically change macroeconomic outlook. Specific consequences may also affect UniCredit group companies based in Russia, as well as the Group’s credit positions with Russian residents, and the positions in derivative instruments. In a press release dated 8 March 2022, UniCredit provided information on the credit position of its subsidiary UniCredit Bank Russia, its Shareholders’ equity, and the Parent Company’s exposure to it. UniCredit also provided information on cross-border exposure to Russian customers by type of counterparty, as well as on derivative exposure. The above-mentioned statement explains that, in the extreme scenario, where the entirety of the maximum exposure is non-recoverable and zeroed, the impact on UniCredit's 2021- year end CET1 ratio (15.03% inclusive of €1.2bn accrued dividend) would be around 200bps, noting how this would absorb such impact without falling below 13% (data reported at the end of 2021). As already explained in paragraph 2, the Board of Directors confirmed its intention to execute the share buyback up to the previously agreed amount of €2.58 bn, subject to the pro-forma 2021- year end CET1 remaining above 13.0%, considering the final impact on the capital of Russian exposures. The Board of Directors also confirmed the CET1 capital ratio target remains within the range of 12.5-13.0%. In addition, the reactions of many Countries and the European Union in terms of economic and financial sanctions directly impact on the Group’s operations, called upon to apply them in a particularly complex and uncertain context. UniCredit’s Management and Board of Directors are carefully monitoring the situation in order to take the necessary steps, starting with those aimed at complying with international sanctions. In UniCredit’s press release dated 8 March 2022, the Bank explains how is continuing to dynamically manage the risk exposure, whilst constantly assessing the potential impact of the conflict on global GDP and public policies. Cyber Security Risk Along with the ongoing digitalization of banking services, that has been accelerated in light of the Covid-19 pandemic, both the financial sector and its customers are increasingly exposed to cyber risks. This requires for enhanced governance with a continued strong focus on data protection and cyber security. The impact of cyber risks can lead to service interruptions, as well as the loss of integrity and availability of data and information. Considering that the Group has been subject to cyber- attacks in recent years that have led, albeit only in a few limited cases, to data theft, the BoSA has closely monitored the initiatives undertaken by Management to address cyber risk and observed that UniCredit is continuously enhancing its cyber security program with the aim of further strengthening security controls. The Board of Statutory Auditors also notes that the ICT Risk and ICT Security issues appear destined to become increasingly important in a context of ongoing evolution of the level of cyber-attacks, further strengthened by geopolitical dynamics. According to the experts’ assessments, these phenomena are likely to worsen in the context of the situation resulting from the above-mentioned military invasion of Ukraine. Other contributions With reference to the additional reporting containing information on the internal control and risk management system, the Board of Statutory Auditors noted that, at the date of the present Report, the relevant structures are assessing the internal capital adequacy assessment process (ICAAP), and the overall functionality of the internal liquidity adequacy assessment process (ILAAP), for 2021, whose reports will be prepared in due time. During 2021, the Board of Statutory Auditors, in the review of the 2020 ICAAP and ILAAP assessments, observed for both ICAAP and ILAAP processes that the main indications previously received from ECB or Internal Audit Function were considered and/or included in appropriate action plans and that the relevant regulatory provisions were duly considered by the Bank. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 785 Other risks - Main and emerging risks In the context of a rapidly changing regulatory framework and external scenario, the Board of Statutory Auditors had the opportunity to analyze some of the main changes in terms of main and emerging risks, with the relevant Functions. With regard to such changes, the following were considered significant during 2021: (i) impacts from the evolution of the Covid-19 pandemic; (ii) macroeconomic and (geo-) political challenges in the world; (ii) climate and environmental change risks; (iii) cybersecurity risk; (iv) risks resulting from current regulatory developments. Military invasion of Ukraine As already noted in paragraph 7, Russia's decision to launch a large-scale military invasion of Ukraine, which took place on 24 February 2022 and the reactions of many countries and the European Union in terms of economic and financial sanctions, appears to lead to macroeconomic uncertainty, exchange rates, energy and raw material costs, trading, inflation expectations, debt costs and credit risks. Uncertainties are also present in the policies that will be followed by the Central Banks and specifically by the European Central Bank. More generally, geopolitical tensions appear likely to influence the expectations and behavior of economic players and radically change macroeconomic outlook. Specific consequences may also affect UniCredit group companies based in Russia, as well as the Group’s credit positions with Russian residents, and the positions in derivative instruments. In a press release dated 8 March 2022, UniCredit provided information on the credit position of its subsidiary UniCredit Bank Russia, its Shareholders’ equity, and the Parent Company’s exposure to it. UniCredit also provided information on cross-border exposure to Russian customers by type of counterparty, as well as on derivative exposure. The above-mentioned statement explains that, in the extreme scenario, where the entirety of the maximum exposure is non-recoverable and zeroed, the impact on UniCredit's 2021- year end CET1 ratio (15.03% inclusive of €1.2bn accrued dividend) would be around 200bps, noting how this would absorb such impact without falling below 13% (data reported at the end of 2021). As already explained in paragraph 2, the Board of Directors confirmed its intention to execute the share buyback up to the previously agreed amount of €2.58 bn, subject to the pro-forma 2021- year end CET1 remaining above 13.0%, considering the final impact on the capital of Russian exposures. The Board of Directors also confirmed the CET1 capital ratio target remains within the range of 12.5-13.0%. In addition, the reactions of many Countries and the European Union in terms of economic and financial sanctions directly impact on the Group’s operations, called upon to apply them in a particularly complex and uncertain context. UniCredit’s Management and Board of Directors are carefully monitoring the situation in order to take the necessary steps, starting with those aimed at complying with international sanctions. In UniCredit’s press release dated 8 March 2022, the Bank explains how is continuing to dynamically manage the risk exposure, whilst constantly assessing the potential impact of the conflict on global GDP and public policies. Cyber Security Risk Along with the ongoing digitalization of banking services, that has been accelerated in light of the Covid-19 pandemic, both the financial sector and its customers are increasingly exposed to cyber risks. This requires for enhanced governance with a continued strong focus on data protection and cyber security. The impact of cyber risks can lead to service interruptions, as well as the loss of integrity and availability of data and information. Considering that the Group has been subject to cyber- attacks in recent years that have led, albeit only in a few limited cases, to data theft, the BoSA has closely monitored the initiatives undertaken by Management to address cyber risk and observed that UniCredit is continuously enhancing its cyber security program with the aim of further strengthening security controls. The Board of Statutory Auditors also notes that the ICT Risk and ICT Security issues appear destined to become increasingly important in a context of ongoing evolution of the level of cyber-attacks, further strengthened by geopolitical dynamics. According to the experts’ assessments, these phenomena are likely to worsen in the context of the situation resulting from the above-mentioned military invasion of Ukraine. Other contributions With reference to the additional reporting containing information on the internal control and risk management system, the Board of Statutory Auditors noted that, at the date of the present Report, the relevant structures are assessing the internal capital adequacy assessment process (ICAAP), and the overall functionality of the internal liquidity adequacy assessment process (ILAAP), for 2021, whose reports will be prepared in due time. During 2021, the Board of Statutory Auditors, in the review of the 2020 ICAAP and ILAAP assessments, observed for both ICAAP and ILAAP processes that the main indications previously received from ECB or Internal Audit Function were considered and/or included in appropriate action plans and that the relevant regulatory provisions were duly considered by the Bank. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 785 Other risks - Main and emerging risks In the context of a rapidly changing regulatory framework and external scenario, the Board of Statutory Auditors had the opportunity to analyze some of the main changes in terms of main and emerging risks, with the relevant Functions. With regard to such changes, the following were considered significant during 2021: (i) impacts from the evolution of the Covid-19 pandemic; (ii) macroeconomic and (geo-) political challenges in the world; (ii) climate and environmental change risks; (iii) cybersecurity risk; (iv) risks resulting from current regulatory developments. Military invasion of Ukraine As already noted in paragraph 7, Russia's decision to launch a large-scale military invasion of Ukraine, which took place on 24 February 2022 and the reactions of many countries and the European Union in terms of economic and financial sanctions, appears to lead to macroeconomic uncertainty, exchange rates, energy and raw material costs, trading, inflation expectations, debt costs and credit risks. Uncertainties are also present in the policies that will be followed by the Central Banks and specifically by the European Central Bank. More generally, geopolitical tensions appear likely to influence the expectations and behavior of economic players and radically change macroeconomic outlook. Specific consequences may also affect UniCredit group companies based in Russia, as well as the Group’s credit positions with Russian residents, and the positions in derivative instruments. In a press release dated 8 March 2022, UniCredit provided information on the credit position of its subsidiary UniCredit Bank Russia, its Shareholders’ equity, and the Parent Company’s exposure to it. UniCredit also provided information on cross-border exposure to Russian customers by type of counterparty, as well as on derivative exposure. The above-mentioned statement explains that, in the extreme scenario, where the entirety of the maximum exposure is non-recoverable and zeroed, the impact on UniCredit's 2021- year end CET1 ratio (15.03% inclusive of €1.2bn accrued dividend) would be around 200bps, noting how this would absorb such impact without falling below 13% (data reported at the end of 2021). As already explained in paragraph 2, the Board of Directors confirmed its intention to execute the share buyback up to the previously agreed amount of €2.58 bn, subject to the pro-forma 2021- year end CET1 remaining above 13.0%, considering the final impact on the capital of Russian exposures. The Board of Directors also confirmed the CET1 capital ratio target remains within the range of 12.5-13.0%. In addition, the reactions of many Countries and the European Union in terms of economic and financial sanctions directly impact on the Group’s operations, called upon to apply them in a particularly complex and uncertain context. UniCredit’s Management and Board of Directors are carefully monitoring the situation in order to take the necessary steps, starting with those aimed at complying with international sanctions. In UniCredit’s press release dated 8 March 2022, the Bank explains how is continuing to dynamically manage the risk exposure, whilst constantly assessing the potential impact of the conflict on global GDP and public policies. Cyber Security Risk Along with the ongoing digitalization of banking services, that has been accelerated in light of the Covid-19 pandemic, both the financial sector and its customers are increasingly exposed to cyber risks. This requires for enhanced governance with a continued strong focus on data protection and cyber security. The impact of cyber risks can lead to service interruptions, as well as the loss of integrity and availability of data and information. Considering that the Group has been subject to cyber- attacks in recent years that have led, albeit only in a few limited cases, to data theft, the BoSA has closely monitored the initiatives undertaken by Management to address cyber risk and observed that UniCredit is continuously enhancing its cyber security program with the aim of further strengthening security controls. The Board of Statutory Auditors also notes that the ICT Risk and ICT Security issues appear destined to become increasingly important in a context of ongoing evolution of the level of cyber-attacks, further strengthened by geopolitical dynamics. According to the experts’ assessments, these phenomena are likely to worsen in the context of the situation resulting from the above-mentioned military invasion of Ukraine. Other contributions With reference to the additional reporting containing information on the internal control and risk management system, the Board of Statutory Auditors noted that, at the date of the present Report, the relevant structures are assessing the internal capital adequacy assessment process (ICAAP), and the overall functionality of the internal liquidity adequacy assessment process (ILAAP), for 2021, whose reports will be prepared in due time. During 2021, the Board of Statutory Auditors, in the review of the 2020 ICAAP and ILAAP assessments, observed for both ICAAP and ILAAP processes that the main indications previously received from ECB or Internal Audit Function were considered and/or included in appropriate action plans and that the relevant regulatory provisions were duly considered by the Bank. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 786 2021 Annual Report and Accounts · UniCredit In conclusion, the Board of Statutory Auditors did not identify critical situations or facts that could make the internal control and risk management system as a whole inadequate, even though situations that required the planning and addressing of specific corrective actions did emerge. Lastly, the Board of Statutory Auditors acknowledges the even greater renewed reactivity and proactive nature of the Management in relation to the operational definition and implementation of the actions in order to improve and remedy the detected weaknesses and shortcomings. 9. Oversight of the adequacy of the organizational structure The Board of Statutory Auditors examined the report prepared by the competent Group Organizational Excellence structure which considers the organisational structure of UniCredit S.p.A. to be adequate, by virtue of the robustness of the overall regulatory framework that ensures the uniqueness of the system of responsibility and powers with reference to the Bodies/Committees and the corporate structures. During 2021, the Board of Statutory Auditors noted the significant organizational changes occurred after the appointment of new Management Team. In May and June 2021, the Board of Directors approved the new organizational model of UniCredit S.p.A. (which was implemented on 1 July, through the launch of a specific project known as “Simplification Program”), which involved a comprehensive review, with reallocation of responsibilities, of the structures/roles first reporting to the Chief Executive Officer, as well as the review of the Management Committees in order to simplify and optimize their overall set-up, reducing the number of Committees and participants, focusing on responsibilities/decision-making processes. Specifically, the “Group Executive Committee” (GEC) was established as the highest Group Executive Committee chaired by the Chief Executive Officer. The GEC leads the Group and its overall business, develops, and implements the Strategic Plan, defines the ESG global strategy, supports the Group Recovery Plan issues and acts as a Group-level risk council with overall responsibility for risk management and control, as well as for managing the Group’s risk profile. Notice was given to the Board of Auditors that the structures were redesigned with the aim of ensuring faster execution levels and decision-making capabilities as well as promoting operational excellence, facilitating even closer links among management, customers, and the communities in which the bank operates. With effect from August 2021, the Divisions’ structures and other Governance Functions have been reviewed to empower the Business Divisions through the assignment of dedicated functions (“country node”) directly supporting the business and ensuring, at the same time, the alignment with the Group’s initiatives in terms of targets, direction, and purpose. Organizational structure UniCredit adopts an organizational and business model that, while guaranteeing, on one hand, the autonomy of Countries/local Banks on specific activities in order to ensure greater proximity to customers and efficient decision-making processes, maintains, on the other hand, a divisional structure for business/product governance, as well as global control over Digital & Information and Operation Functions. More specifically, the organizational structure of the Holding Company can be broken down into: • Group Finance, Group Risk Management, Group Legal, Group Compliance, Group People & Culture, the Functions identified as Competence Lines, together with Internal Audit, aimed at guiding, coordinating, and controlling, for their respective areas of competence, the management of activities and risks at Group as a whole and of the single Legal Entities; • Italy, Germany, Central Europe & Eastern Europe, Group Client Solutions Divisions: the Business Divisions, responsible for proposing and implementing business strategies and maximizing risk-adjusted value creation for the relevant perimeter, concentrate the responsibility for marketing, service model definition and product development activities referred to customers in their respective segments/geographies; • Group Digital & Information Division, responsible for defining and implementing the Group’s digital transformation through the management of technology and data, embedded into digital solutions that optimise execution and improve the customer experience; • Group Operations, responsible for overseeing the operating machine with specific focus on costs, procurement, real estate, operations performance management, corporate “physical security” and “health & safety”, in line with defined Group strategies, while ensuring synergies, cost reductions and operational excellence; • Group Stakeholder Engagement governs the Group’s reputation and oversees all communication activities to ensure the delivery of coordinated and consistent messages to the Group’s multiple stakeholders (investor relations, identity and communication, relationships with institutional counterparties and with the European Banking Supervisory Authorities - and Banca d’Italia); • Group Strategy & Optimization, responsible for supporting strategic initiatives, including the integration of ESG into the Group’s strategy. The Group Strategy and Optimization and Group Stakeholder Engagement Functions represent the “CEO Office”, aimed at supporting the CEO in developing and implementing strategic initiatives. The Board of Statutory Auditors examined the main organizational changes occurred in 2021, including the following: • set-up of the “Italy” Division, which includes responsibilities for the Italy perimeter • cancellation of the role of Co-CEO Western Europe; • change of the Central Europe & Eastern Europe Division, with the definition of different perimeters of responsibility for the countries of the Central (including Austria) and Eastern areas respectively ; Company financial statements | Report and resolutions Report of the Board of Statutory auditors 786 2021 Annual Report and Accounts · UniCredit In conclusion, the Board of Statutory Auditors did not identify critical situations or facts that could make the internal control and risk management system as a whole inadequate, even though situations that required the planning and addressing of specific corrective actions did emerge. Lastly, the Board of Statutory Auditors acknowledges the even greater renewed reactivity and proactive nature of the Management in relation to the operational definition and implementation of the actions in order to improve and remedy the detected weaknesses and shortcomings. 9. Oversight of the adequacy of the organizational structure The Board of Statutory Auditors examined the report prepared by the competent Group Organizational Excellence structure which considers the organisational structure of UniCredit S.p.A. to be adequate, by virtue of the robustness of the overall regulatory framework that ensures the uniqueness of the system of responsibility and powers with reference to the Bodies/Committees and the corporate structures. During 2021, the Board of Statutory Auditors noted the significant organizational changes occurred after the appointment of new Management Team. In May and June 2021, the Board of Directors approved the new organizational model of UniCredit S.p.A. (which was implemented on 1 July, through the launch of a specific project known as “Simplification Program”), which involved a comprehensive review, with reallocation of responsibilities, of the structures/roles first reporting to the Chief Executive Officer, as well as the review of the Management Committees in order to simplify and optimize their overall set-up, reducing the number of Committees and participants, focusing on responsibilities/decision-making processes. Specifically, the “Group Executive Committee” (GEC) was established as the highest Group Executive Committee chaired by the Chief Executive Officer. The GEC leads the Group and its overall business, develops, and implements the Strategic Plan, defines the ESG global strategy, supports the Group Recovery Plan issues and acts as a Group-level risk council with overall responsibility for risk management and control, as well as for managing the Group’s risk profile. Notice was given to the Board of Auditors that the structures were redesigned with the aim of ensuring faster execution levels and decision-making capabilities as well as promoting operational excellence, facilitating even closer links among management, customers, and the communities in which the bank operates. With effect from August 2021, the Divisions’ structures and other Governance Functions have been reviewed to empower the Business Divisions through the assignment of dedicated functions (“country node”) directly supporting the business and ensuring, at the same time, the alignment with the Group’s initiatives in terms of targets, direction, and purpose. Organizational structure UniCredit adopts an organizational and business model that, while guaranteeing, on one hand, the autonomy of Countries/local Banks on specific activities in order to ensure greater proximity to customers and efficient decision-making processes, maintains, on the other hand, a divisional structure for business/product governance, as well as global control over Digital & Information and Operation Functions. More specifically, the organizational structure of the Holding Company can be broken down into: • Group Finance, Group Risk Management, Group Legal, Group Compliance, Group People & Culture, the Functions identified as Competence Lines, together with Internal Audit, aimed at guiding, coordinating, and controlling, for their respective areas of competence, the management of activities and risks at Group as a whole and of the single Legal Entities; • Italy, Germany, Central Europe & Eastern Europe, Group Client Solutions Divisions: the Business Divisions, responsible for proposing and implementing business strategies and maximizing risk-adjusted value creation for the relevant perimeter, concentrate the responsibility for marketing, service model definition and product development activities referred to customers in their respective segments/geographies; • Group Digital & Information Division, responsible for defining and implementing the Group’s digital transformation through the management of technology and data, embedded into digital solutions that optimise execution and improve the customer experience; • Group Operations, responsible for overseeing the operating machine with specific focus on costs, procurement, real estate, operations performance management, corporate “physical security” and “health & safety”, in line with defined Group strategies, while ensuring synergies, cost reductions and operational excellence; • Group Stakeholder Engagement governs the Group’s reputation and oversees all communication activities to ensure the delivery of coordinated and consistent messages to the Group’s multiple stakeholders (investor relations, identity and communication, relationships with institutional counterparties and with the European Banking Supervisory Authorities - and Banca d’Italia); • Group Strategy & Optimization, responsible for supporting strategic initiatives, including the integration of ESG into the Group’s strategy. The Group Strategy and Optimization and Group Stakeholder Engagement Functions represent the “CEO Office”, aimed at supporting the CEO in developing and implementing strategic initiatives. The Board of Statutory Auditors examined the main organizational changes occurred in 2021, including the following: • set-up of the “Italy” Division, which includes responsibilities for the Italy perimeter • cancellation of the role of Co-CEO Western Europe; • change of the Central Europe & Eastern Europe Division, with the definition of different perimeters of responsibility for the countries of the Central (including Austria) and Eastern areas respectively ; Company financial statements | Report and resolutions Report of the Board of Statutory auditors 786 2021 Annual Report and Accounts · UniCredit In conclusion, the Board of Statutory Auditors did not identify critical situations or facts that could make the internal control and risk management system as a whole inadequate, even though situations that required the planning and addressing of specific corrective actions did emerge. Lastly, the Board of Statutory Auditors acknowledges the even greater renewed reactivity and proactive nature of the Management in relation to the operational definition and implementation of the actions in order to improve and remedy the detected weaknesses and shortcomings. 9. Oversight of the adequacy of the organizational structure The Board of Statutory Auditors examined the report prepared by the competent Group Organizational Excellence structure which considers the organisational structure of UniCredit S.p.A. to be adequate, by virtue of the robustness of the overall regulatory framework that ensures the uniqueness of the system of responsibility and powers with reference to the Bodies/Committees and the corporate structures. During 2021, the Board of Statutory Auditors noted the significant organizational changes occurred after the appointment of new Management Team. In May and June 2021, the Board of Directors approved the new organizational model of UniCredit S.p.A. (which was implemented on 1 July, through the launch of a specific project known as “Simplification Program”), which involved a comprehensive review, with reallocation of responsibilities, of the structures/roles first reporting to the Chief Executive Officer, as well as the review of the Management Committees in order to simplify and optimize their overall set-up, reducing the number of Committees and participants, focusing on responsibilities/decision-making processes. Specifically, the “Group Executive Committee” (GEC) was established as the highest Group Executive Committee chaired by the Chief Executive Officer. The GEC leads the Group and its overall business, develops, and implements the Strategic Plan, defines the ESG global strategy, supports the Group Recovery Plan issues and acts as a Group-level risk council with overall responsibility for risk management and control, as well as for managing the Group’s risk profile. Notice was given to the Board of Auditors that the structures were redesigned with the aim of ensuring faster execution levels and decision-making capabilities as well as promoting operational excellence, facilitating even closer links among management, customers, and the communities in which the bank operates. With effect from August 2021, the Divisions’ structures and other Governance Functions have been reviewed to empower the Business Divisions through the assignment of dedicated functions (“country node”) directly supporting the business and ensuring, at the same time, the alignment with the Group’s initiatives in terms of targets, direction, and purpose. Organizational structure UniCredit adopts an organizational and business model that, while guaranteeing, on one hand, the autonomy of Countries/local Banks on specific activities in order to ensure greater proximity to customers and efficient decision-making processes, maintains, on the other hand, a divisional structure for business/product governance, as well as global control over Digital & Information and Operation Functions. More specifically, the organizational structure of the Holding Company can be broken down into: • Group Finance, Group Risk Management, Group Legal, Group Compliance, Group People & Culture, the Functions identified as Competence Lines, together with Internal Audit, aimed at guiding, coordinating, and controlling, for their respective areas of competence, the management of activities and risks at Group as a whole and of the single Legal Entities; • Italy, Germany, Central Europe & Eastern Europe, Group Client Solutions Divisions: the Business Divisions, responsible for proposing and implementing business strategies and maximizing risk-adjusted value creation for the relevant perimeter, concentrate the responsibility for marketing, service model definition and product development activities referred to customers in their respective segments/geographies; • Group Digital & Information Division, responsible for defining and implementing the Group’s digital transformation through the management of technology and data, embedded into digital solutions that optimise execution and improve the customer experience; • Group Operations, responsible for overseeing the operating machine with specific focus on costs, procurement, real estate, operations performance management, corporate “physical security” and “health & safety”, in line with defined Group strategies, while ensuring synergies, cost reductions and operational excellence; • Group Stakeholder Engagement governs the Group’s reputation and oversees all communication activities to ensure the delivery of coordinated and consistent messages to the Group’s multiple stakeholders (investor relations, identity and communication, relationships with institutional counterparties and with the European Banking Supervisory Authorities - and Banca d’Italia); • Group Strategy & Optimization, responsible for supporting strategic initiatives, including the integration of ESG into the Group’s strategy. The Group Strategy and Optimization and Group Stakeholder Engagement Functions represent the “CEO Office”, aimed at supporting the CEO in developing and implementing strategic initiatives. The Board of Statutory Auditors examined the main organizational changes occurred in 2021, including the following: • set-up of the “Italy” Division, which includes responsibilities for the Italy perimeter • cancellation of the role of Co-CEO Western Europe; • change of the Central Europe & Eastern Europe Division, with the definition of different perimeters of responsibility for the countries of the Central (including Austria) and Eastern areas respectively ; Company financial statements | Report and resolutions Report of the Board of Statutory auditors 786 2021 Annual Report and Accounts · UniCredit In conclusion, the Board of Statutory Auditors did not identify critical situations or facts that could make the internal control and risk management system as a whole inadequate, even though situations that required the planning and addressing of specific corrective actions did emerge. Lastly, the Board of Statutory Auditors acknowledges the even greater renewed reactivity and proactive nature of the Management in relation to the operational definition and implementation of the actions in order to improve and remedy the detected weaknesses and shortcomings. 9. Oversight of the adequacy of the organizational structure The Board of Statutory Auditors examined the report prepared by the competent Group Organizational Excellence structure which considers the organisational structure of UniCredit S.p.A. to be adequate, by virtue of the robustness of the overall regulatory framework that ensures the uniqueness of the system of responsibility and powers with reference to the Bodies/Committees and the corporate structures. During 2021, the Board of Statutory Auditors noted the significant organizational changes occurred after the appointment of new Management Team. In May and June 2021, the Board of Directors approved the new organizational model of UniCredit S.p.A. (which was implemented on 1 July, through the launch of a specific project known as “Simplification Program”), which involved a comprehensive review, with reallocation of responsibilities, of the structures/roles first reporting to the Chief Executive Officer, as well as the review of the Management Committees in order to simplify and optimize their overall set-up, reducing the number of Committees and participants, focusing on responsibilities/decision-making processes. Specifically, the “Group Executive Committee” (GEC) was established as the highest Group Executive Committee chaired by the Chief Executive Officer. The GEC leads the Group and its overall business, develops, and implements the Strategic Plan, defines the ESG global strategy, supports the Group Recovery Plan issues and acts as a Group-level risk council with overall responsibility for risk management and control, as well as for managing the Group’s risk profile. Notice was given to the Board of Auditors that the structures were redesigned with the aim of ensuring faster execution levels and decision-making capabilities as well as promoting operational excellence, facilitating even closer links among management, customers, and the communities in which the bank operates. With effect from August 2021, the Divisions’ structures and other Governance Functions have been reviewed to empower the Business Divisions through the assignment of dedicated functions (“country node”) directly supporting the business and ensuring, at the same time, the alignment with the Group’s initiatives in terms of targets, direction, and purpose. Organizational structure UniCredit adopts an organizational and business model that, while guaranteeing, on one hand, the autonomy of Countries/local Banks on specific activities in order to ensure greater proximity to customers and efficient decision-making processes, maintains, on the other hand, a divisional structure for business/product governance, as well as global control over Digital & Information and Operation Functions. More specifically, the organizational structure of the Holding Company can be broken down into: • Group Finance, Group Risk Management, Group Legal, Group Compliance, Group People & Culture, the Functions identified as Competence Lines, together with Internal Audit, aimed at guiding, coordinating, and controlling, for their respective areas of competence, the management of activities and risks at Group as a whole and of the single Legal Entities; • Italy, Germany, Central Europe & Eastern Europe, Group Client Solutions Divisions: the Business Divisions, responsible for proposing and implementing business strategies and maximizing risk-adjusted value creation for the relevant perimeter, concentrate the responsibility for marketing, service model definition and product development activities referred to customers in their respective segments/geographies; • Group Digital & Information Division, responsible for defining and implementing the Group’s digital transformation through the management of technology and data, embedded into digital solutions that optimise execution and improve the customer experience; • Group Operations, responsible for overseeing the operating machine with specific focus on costs, procurement, real estate, operations performance management, corporate “physical security” and “health & safety”, in line with defined Group strategies, while ensuring synergies, cost reductions and operational excellence; • Group Stakeholder Engagement governs the Group’s reputation and oversees all communication activities to ensure the delivery of coordinated and consistent messages to the Group’s multiple stakeholders (investor relations, identity and communication, relationships with institutional counterparties and with the European Banking Supervisory Authorities - and Banca d’Italia); • Group Strategy & Optimization, responsible for supporting strategic initiatives, including the integration of ESG into the Group’s strategy. The Group Strategy and Optimization and Group Stakeholder Engagement Functions represent the “CEO Office”, aimed at supporting the CEO in developing and implementing strategic initiatives. The Board of Statutory Auditors examined the main organizational changes occurred in 2021, including the following: • set-up of the “Italy” Division, which includes responsibilities for the Italy perimeter • cancellation of the role of Co-CEO Western Europe; • change of the Central Europe & Eastern Europe Division, with the definition of different perimeters of responsibility for the countries of the Central (including Austria) and Eastern areas respectively ; Company financial statements | Report and resolutions Report of the Board of Statutory auditors 786 2021 Annual Report and Accounts · UniCredit In conclusion, the Board of Statutory Auditors did not identify critical situations or facts that could make the internal control and risk management system as a whole inadequate, even though situations that required the planning and addressing of specific corrective actions did emerge. Lastly, the Board of Statutory Auditors acknowledges the even greater renewed reactivity and proactive nature of the Management in relation to the operational definition and implementation of the actions in order to improve and remedy the detected weaknesses and shortcomings. 9. Oversight of the adequacy of the organizational structure The Board of Statutory Auditors examined the report prepared by the competent Group Organizational Excellence structure which considers the organisational structure of UniCredit S.p.A. to be adequate, by virtue of the robustness of the overall regulatory framework that ensures the uniqueness of the system of responsibility and powers with reference to the Bodies/Committees and the corporate structures. During 2021, the Board of Statutory Auditors noted the significant organizational changes occurred after the appointment of new Management Team. In May and June 2021, the Board of Directors approved the new organizational model of UniCredit S.p.A. (which was implemented on 1 July, through the launch of a specific project known as “Simplification Program”), which involved a comprehensive review, with reallocation of responsibilities, of the structures/roles first reporting to the Chief Executive Officer, as well as the review of the Management Committees in order to simplify and optimize their overall set-up, reducing the number of Committees and participants, focusing on responsibilities/decision-making processes. Specifically, the “Group Executive Committee” (GEC) was established as the highest Group Executive Committee chaired by the Chief Executive Officer. The GEC leads the Group and its overall business, develops, and implements the Strategic Plan, defines the ESG global strategy, supports the Group Recovery Plan issues and acts as a Group-level risk council with overall responsibility for risk management and control, as well as for managing the Group’s risk profile. Notice was given to the Board of Auditors that the structures were redesigned with the aim of ensuring faster execution levels and decision-making capabilities as well as promoting operational excellence, facilitating even closer links among management, customers, and the communities in which the bank operates. With effect from August 2021, the Divisions’ structures and other Governance Functions have been reviewed to empower the Business Divisions through the assignment of dedicated functions (“country node”) directly supporting the business and ensuring, at the same time, the alignment with the Group’s initiatives in terms of targets, direction, and purpose. Organizational structure UniCredit adopts an organizational and business model that, while guaranteeing, on one hand, the autonomy of Countries/local Banks on specific activities in order to ensure greater proximity to customers and efficient decision-making processes, maintains, on the other hand, a divisional structure for business/product governance, as well as global control over Digital & Information and Operation Functions. More specifically, the organizational structure of the Holding Company can be broken down into: • Group Finance, Group Risk Management, Group Legal, Group Compliance, Group People & Culture, the Functions identified as Competence Lines, together with Internal Audit, aimed at guiding, coordinating, and controlling, for their respective areas of competence, the management of activities and risks at Group as a whole and of the single Legal Entities; • Italy, Germany, Central Europe & Eastern Europe, Group Client Solutions Divisions: the Business Divisions, responsible for proposing and implementing business strategies and maximizing risk-adjusted value creation for the relevant perimeter, concentrate the responsibility for marketing, service model definition and product development activities referred to customers in their respective segments/geographies; • Group Digital & Information Division, responsible for defining and implementing the Group’s digital transformation through the management of technology and data, embedded into digital solutions that optimise execution and improve the customer experience; • Group Operations, responsible for overseeing the operating machine with specific focus on costs, procurement, real estate, operations performance management, corporate “physical security” and “health & safety”, in line with defined Group strategies, while ensuring synergies, cost reductions and operational excellence; • Group Stakeholder Engagement governs the Group’s reputation and oversees all communication activities to ensure the delivery of coordinated and consistent messages to the Group’s multiple stakeholders (investor relations, identity and communication, relationships with institutional counterparties and with the European Banking Supervisory Authorities - and Banca d’Italia); • Group Strategy & Optimization, responsible for supporting strategic initiatives, including the integration of ESG into the Group’s strategy. The Group Strategy and Optimization and Group Stakeholder Engagement Functions represent the “CEO Office”, aimed at supporting the CEO in developing and implementing strategic initiatives. The Board of Statutory Auditors examined the main organizational changes occurred in 2021, including the following: • set-up of the “Italy” Division, which includes responsibilities for the Italy perimeter • cancellation of the role of Co-CEO Western Europe; • change of the Central Europe & Eastern Europe Division, with the definition of different perimeters of responsibility for the countries of the Central (including Austria) and Eastern areas respectively ; Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 787 • cancellation of the Head of Finance & Controls role with the contextual reallocation of responsibilities and activities; • cancellation of the Chief Operating Office role (position held by two co-Chief Operating Officers), with contextual reallocation of responsibilities and activities to Group Operations (already existing) and Group Digital & Information Division (new); • set-up of the new Group Digital & Information Division, under the responsibility of the Group Digital and Information Officer, responsible for digitization and data management activities as an integral part of the final products, in order to optimize execution and improve the customer experience; • set-up of the role of Group Strategy & Optimization that supports the CEO in managing strategic initiatives, including the integration of ESG issues into the Group’s Strategy; • set-up of the Group Stakeholder Engagement role, which is in charge of coordinating the overall Investor Relations process, Identity and Communications activities, developing relationships with institutional counterparties, managing the relationships with the European Banking Supervisory Authorities (e.g. EBA, ECB) and Banca d’Italia; • overall review of the Managerial Committees in order to simplify and optimize the related set-up, streamlining the number of Committees and of participants, focusing on the decisional topic and processes. In particular, specific Risk/Control Committees have been set up (in particular the Group Financial & Credit Risks Committee and the Group Non-Financial Risks and Controls Committee) which, through their sessions chaired by the Chief Executive Officer, support the latter in his role of management, coordination and control of strategic issues and all risk categories (including compliance risk) at Group level. As regards the Italy Division, specific country nodes have been set up within Group Legal, Group Compliance, Internal Audit and Group Risk Management. In addition, specific functions have been shifted to the Italy Division from People and Culture, Group Finance, Group Operations and Group Risk Management. The overall structure of the new Division - revised and simplified as part of the “Simplification Program” - is focused on the “Retail Italy”, “Corporate Italy” and “Wealth Management & Private Banking Italy” business areas, responsible for managing the development of sales, commercial and marketing activities for their respective areas of competence. Italy Empowerment Project As part of its efforts to strengthen business activities and decision-making processes, by equipping it with the necessary decision-making and operational levers, the Board of Statutory Auditors examined the Empowerment project launched in 2021 aimed at shifting the operational activities and related delegations of powers of the credit sector to the Italy Division. The Board of Statutory Auditors considers such project of key importance as part of the overall structure of first- level controls, with a framework of clear rules, delegation of powers and strengthening of controls involving the competent Risk Management Functions (which are responsible for defining ex ante risk appetite, limits and ex-post controls, issuing prior risk opinions above defined thresholds), appropriate escalation processes where necessary, and in-depth knowledge and closeness to customers by the Territorial Network. The Board of Statutory Auditors recommends that the incoming Control Body continues monitoring the implementation of such project, since it is expected to be implemented in different phases in 2022. The Board of Statutory Auditors also noted the outcome of a recent audit rated “satisfactory”, aimed at examining, in light of the organizational review, the reorganization and reallocation of activities between the “global” Functions and the Italy Division, and the functioning of the managerial Committees dealing with risk management. With regard to the aforementioned organizational changes, the Board of Statutory Auditors emphasizes that they are functional to the implementation of the new Strategic Plan. The Board of Statutory Auditors therefore deems the organizational set-up of UniCredit S.p.A. to be appropriate in its design and implementation to data and agrees on the importance of simplifying and streamlining processes, by ensuring clear ownership and accountability of the processes, stressing the importance of this in conjunction with a strengthening of the first-level controls. Lastly, the BoSA recommends that the incoming Control Body continues monitoring the progressive development of the entire organizational set-up and its adequacy and operational effectiveness. Steering activity In the period, the BoSA paid specific attention to issues concerning the strengthening of the Parent Company's steering activities, focusing on the coordination, management and control of smaller Group Companies and foreign subsidiaries. As part of the simplification process, the first line of each business and geographical area has been redesigned to reduce overlaps and complexity, while maintaining well-defined control and supervisory functions, to further improve overall efficiency. The Board of Statutory Auditors also noted that further organisational changes were made, aimed at defining the target organisational set-up, strengthening the operational autonomy of the countries (governed by the Business Divisions), in compliance with the defined strategies and guidelines, frameworks and standards issued by the competent “global” functions. The steering activity in the Group is therefore enhanced by the implementation of an organisational set-up based on (i) reporting the relevant structures to a single Group Executive Member in order to fully implement the strategy of specific competence, (ii) “support” functions with double reporting line to ensure internal local autonomy and in compliance with “global” frameworks, strategies and standards, (iii) Group “control” functions responsible for defining the frameworks and guiding control activities through dedicated internal functions. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 787 • cancellation of the Head of Finance & Controls role with the contextual reallocation of responsibilities and activities; • cancellation of the Chief Operating Office role (position held by two co-Chief Operating Officers), with contextual reallocation of responsibilities and activities to Group Operations (already existing) and Group Digital & Information Division (new); • set-up of the new Group Digital & Information Division, under the responsibility of the Group Digital and Information Officer, responsible for digitization and data management activities as an integral part of the final products, in order to optimize execution and improve the customer experience; • set-up of the role of Group Strategy & Optimization that supports the CEO in managing strategic initiatives, including the integration of ESG issues into the Group’s Strategy; • set-up of the Group Stakeholder Engagement role, which is in charge of coordinating the overall Investor Relations process, Identity and Communications activities, developing relationships with institutional counterparties, managing the relationships with the European Banking Supervisory Authorities (e.g. EBA, ECB) and Banca d’Italia; • overall review of the Managerial Committees in order to simplify and optimize the related set-up, streamlining the number of Committees and of participants, focusing on the decisional topic and processes. In particular, specific Risk/Control Committees have been set up (in particular the Group Financial & Credit Risks Committee and the Group Non-Financial Risks and Controls Committee) which, through their sessions chaired by the Chief Executive Officer, support the latter in his role of management, coordination and control of strategic issues and all risk categories (including compliance risk) at Group level. As regards the Italy Division, specific country nodes have been set up within Group Legal, Group Compliance, Internal Audit and Group Risk Management. In addition, specific functions have been shifted to the Italy Division from People and Culture, Group Finance, Group Operations and Group Risk Management. The overall structure of the new Division - revised and simplified as part of the “Simplification Program” - is focused on the “Retail Italy”, “Corporate Italy” and “Wealth Management & Private Banking Italy” business areas, responsible for managing the development of sales, commercial and marketing activities for their respective areas of competence. Italy Empowerment Project As part of its efforts to strengthen business activities and decision-making processes, by equipping it with the necessary decision-making and operational levers, the Board of Statutory Auditors examined the Empowerment project launched in 2021 aimed at shifting the operational activities and related delegations of powers of the credit sector to the Italy Division. The Board of Statutory Auditors considers such project of key importance as part of the overall structure of first- level controls, with a framework of clear rules, delegation of powers and strengthening of controls involving the competent Risk Management Functions (which are responsible for defining ex ante risk appetite, limits and ex-post controls, issuing prior risk opinions above defined thresholds), appropriate escalation processes where necessary, and in-depth knowledge and closeness to customers by the Territorial Network. The Board of Statutory Auditors recommends that the incoming Control Body continues monitoring the implementation of such project, since it is expected to be implemented in different phases in 2022. The Board of Statutory Auditors also noted the outcome of a recent audit rated “satisfactory”, aimed at examining, in light of the organizational review, the reorganization and reallocation of activities between the “global” Functions and the Italy Division, and the functioning of the managerial Committees dealing with risk management. With regard to the aforementioned organizational changes, the Board of Statutory Auditors emphasizes that they are functional to the implementation of the new Strategic Plan. The Board of Statutory Auditors therefore deems the organizational set-up of UniCredit S.p.A. to be appropriate in its design and implementation to data and agrees on the importance of simplifying and streamlining processes, by ensuring clear ownership and accountability of the processes, stressing the importance of this in conjunction with a strengthening of the first-level controls. Lastly, the BoSA recommends that the incoming Control Body continues monitoring the progressive development of the entire organizational set-up and its adequacy and operational effectiveness. Steering activity In the period, the BoSA paid specific attention to issues concerning the strengthening of the Parent Company's steering activities, focusing on the coordination, management and control of smaller Group Companies and foreign subsidiaries. As part of the simplification process, the first line of each business and geographical area has been redesigned to reduce overlaps and complexity, while maintaining well-defined control and supervisory functions, to further improve overall efficiency. The Board of Statutory Auditors also noted that further organisational changes were made, aimed at defining the target organisational set-up, strengthening the operational autonomy of the countries (governed by the Business Divisions), in compliance with the defined strategies and guidelines, frameworks and standards issued by the competent “global” functions. The steering activity in the Group is therefore enhanced by the implementation of an organisational set-up based on (i) reporting the relevant structures to a single Group Executive Member in order to fully implement the strategy of specific competence, (ii) “support” functions with double reporting line to ensure internal local autonomy and in compliance with “global” frameworks, strategies and standards, (iii) Group “control” functions responsible for defining the frameworks and guiding control activities through dedicated internal functions. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 787 • cancellation of the Head of Finance & Controls role with the contextual reallocation of responsibilities and activities; • cancellation of the Chief Operating Office role (position held by two co-Chief Operating Officers), with contextual reallocation of responsibilities and activities to Group Operations (already existing) and Group Digital & Information Division (new); • set-up of the new Group Digital & Information Division, under the responsibility of the Group Digital and Information Officer, responsible for digitization and data management activities as an integral part of the final products, in order to optimize execution and improve the customer experience; • set-up of the role of Group Strategy & Optimization that supports the CEO in managing strategic initiatives, including the integration of ESG issues into the Group’s Strategy; • set-up of the Group Stakeholder Engagement role, which is in charge of coordinating the overall Investor Relations process, Identity and Communications activities, developing relationships with institutional counterparties, managing the relationships with the European Banking Supervisory Authorities (e.g. EBA, ECB) and Banca d’Italia; • overall review of the Managerial Committees in order to simplify and optimize the related set-up, streamlining the number of Committees and of participants, focusing on the decisional topic and processes. In particular, specific Risk/Control Committees have been set up (in particular the Group Financial & Credit Risks Committee and the Group Non-Financial Risks and Controls Committee) which, through their sessions chaired by the Chief Executive Officer, support the latter in his role of management, coordination and control of strategic issues and all risk categories (including compliance risk) at Group level. As regards the Italy Division, specific country nodes have been set up within Group Legal, Group Compliance, Internal Audit and Group Risk Management. In addition, specific functions have been shifted to the Italy Division from People and Culture, Group Finance, Group Operations and Group Risk Management. The overall structure of the new Division - revised and simplified as part of the “Simplification Program” - is focused on the “Retail Italy”, “Corporate Italy” and “Wealth Management & Private Banking Italy” business areas, responsible for managing the development of sales, commercial and marketing activities for their respective areas of competence. Italy Empowerment Project As part of its efforts to strengthen business activities and decision-making processes, by equipping it with the necessary decision-making and operational levers, the Board of Statutory Auditors examined the Empowerment project launched in 2021 aimed at shifting the operational activities and related delegations of powers of the credit sector to the Italy Division. The Board of Statutory Auditors considers such project of key importance as part of the overall structure of first- level controls, with a framework of clear rules, delegation of powers and strengthening of controls involving the competent Risk Management Functions (which are responsible for defining ex ante risk appetite, limits and ex-post controls, issuing prior risk opinions above defined thresholds), appropriate escalation processes where necessary, and in-depth knowledge and closeness to customers by the Territorial Network. The Board of Statutory Auditors recommends that the incoming Control Body continues monitoring the implementation of such project, since it is expected to be implemented in different phases in 2022. The Board of Statutory Auditors also noted the outcome of a recent audit rated “satisfactory”, aimed at examining, in light of the organizational review, the reorganization and reallocation of activities between the “global” Functions and the Italy Division, and the functioning of the managerial Committees dealing with risk management. With regard to the aforementioned organizational changes, the Board of Statutory Auditors emphasizes that they are functional to the implementation of the new Strategic Plan. The Board of Statutory Auditors therefore deems the organizational set-up of UniCredit S.p.A. to be appropriate in its design and implementation to data and agrees on the importance of simplifying and streamlining processes, by ensuring clear ownership and accountability of the processes, stressing the importance of this in conjunction with a strengthening of the first-level controls. Lastly, the BoSA recommends that the incoming Control Body continues monitoring the progressive development of the entire organizational set-up and its adequacy and operational effectiveness. Steering activity In the period, the BoSA paid specific attention to issues concerning the strengthening of the Parent Company's steering activities, focusing on the coordination, management and control of smaller Group Companies and foreign subsidiaries. As part of the simplification process, the first line of each business and geographical area has been redesigned to reduce overlaps and complexity, while maintaining well-defined control and supervisory functions, to further improve overall efficiency. The Board of Statutory Auditors also noted that further organisational changes were made, aimed at defining the target organisational set-up, strengthening the operational autonomy of the countries (governed by the Business Divisions), in compliance with the defined strategies and guidelines, frameworks and standards issued by the competent “global” functions. The steering activity in the Group is therefore enhanced by the implementation of an organisational set-up based on (i) reporting the relevant structures to a single Group Executive Member in order to fully implement the strategy of specific competence, (ii) “support” functions with double reporting line to ensure internal local autonomy and in compliance with “global” frameworks, strategies and standards, (iii) Group “control” functions responsible for defining the frameworks and guiding control activities through dedicated internal functions. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 787 • cancellation of the Head of Finance & Controls role with the contextual reallocation of responsibilities and activities; • cancellation of the Chief Operating Office role (position held by two co-Chief Operating Officers), with contextual reallocation of responsibilities and activities to Group Operations (already existing) and Group Digital & Information Division (new); • set-up of the new Group Digital & Information Division, under the responsibility of the Group Digital and Information Officer, responsible for digitization and data management activities as an integral part of the final products, in order to optimize execution and improve the customer experience; • set-up of the role of Group Strategy & Optimization that supports the CEO in managing strategic initiatives, including the integration of ESG issues into the Group’s Strategy; • set-up of the Group Stakeholder Engagement role, which is in charge of coordinating the overall Investor Relations process, Identity and Communications activities, developing relationships with institutional counterparties, managing the relationships with the European Banking Supervisory Authorities (e.g. EBA, ECB) and Banca d’Italia; • overall review of the Managerial Committees in order to simplify and optimize the related set-up, streamlining the number of Committees and of participants, focusing on the decisional topic and processes. In particular, specific Risk/Control Committees have been set up (in particular the Group Financial & Credit Risks Committee and the Group Non-Financial Risks and Controls Committee) which, through their sessions chaired by the Chief Executive Officer, support the latter in his role of management, coordination and control of strategic issues and all risk categories (including compliance risk) at Group level. As regards the Italy Division, specific country nodes have been set up within Group Legal, Group Compliance, Internal Audit and Group Risk Management. In addition, specific functions have been shifted to the Italy Division from People and Culture, Group Finance, Group Operations and Group Risk Management. The overall structure of the new Division - revised and simplified as part of the “Simplification Program” - is focused on the “Retail Italy”, “Corporate Italy” and “Wealth Management & Private Banking Italy” business areas, responsible for managing the development of sales, commercial and marketing activities for their respective areas of competence. Italy Empowerment Project As part of its efforts to strengthen business activities and decision-making processes, by equipping it with the necessary decision-making and operational levers, the Board of Statutory Auditors examined the Empowerment project launched in 2021 aimed at shifting the operational activities and related delegations of powers of the credit sector to the Italy Division. The Board of Statutory Auditors considers such project of key importance as part of the overall structure of first- level controls, with a framework of clear rules, delegation of powers and strengthening of controls involving the competent Risk Management Functions (which are responsible for defining ex ante risk appetite, limits and ex-post controls, issuing prior risk opinions above defined thresholds), appropriate escalation processes where necessary, and in-depth knowledge and closeness to customers by the Territorial Network. The Board of Statutory Auditors recommends that the incoming Control Body continues monitoring the implementation of such project, since it is expected to be implemented in different phases in 2022. The Board of Statutory Auditors also noted the outcome of a recent audit rated “satisfactory”, aimed at examining, in light of the organizational review, the reorganization and reallocation of activities between the “global” Functions and the Italy Division, and the functioning of the managerial Committees dealing with risk management. With regard to the aforementioned organizational changes, the Board of Statutory Auditors emphasizes that they are functional to the implementation of the new Strategic Plan. The Board of Statutory Auditors therefore deems the organizational set-up of UniCredit S.p.A. to be appropriate in its design and implementation to data and agrees on the importance of simplifying and streamlining processes, by ensuring clear ownership and accountability of the processes, stressing the importance of this in conjunction with a strengthening of the first-level controls. Lastly, the BoSA recommends that the incoming Control Body continues monitoring the progressive development of the entire organizational set-up and its adequacy and operational effectiveness. Steering activity In the period, the BoSA paid specific attention to issues concerning the strengthening of the Parent Company's steering activities, focusing on the coordination, management and control of smaller Group Companies and foreign subsidiaries. As part of the simplification process, the first line of each business and geographical area has been redesigned to reduce overlaps and complexity, while maintaining well-defined control and supervisory functions, to further improve overall efficiency. The Board of Statutory Auditors also noted that further organisational changes were made, aimed at defining the target organisational set-up, strengthening the operational autonomy of the countries (governed by the Business Divisions), in compliance with the defined strategies and guidelines, frameworks and standards issued by the competent “global” functions. The steering activity in the Group is therefore enhanced by the implementation of an organisational set-up based on (i) reporting the relevant structures to a single Group Executive Member in order to fully implement the strategy of specific competence, (ii) “support” functions with double reporting line to ensure internal local autonomy and in compliance with “global” frameworks, strategies and standards, (iii) Group “control” functions responsible for defining the frameworks and guiding control activities through dedicated internal functions. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 787 • cancellation of the Head of Finance & Controls role with the contextual reallocation of responsibilities and activities; • cancellation of the Chief Operating Office role (position held by two co-Chief Operating Officers), with contextual reallocation of responsibilities and activities to Group Operations (already existing) and Group Digital & Information Division (new); • set-up of the new Group Digital & Information Division, under the responsibility of the Group Digital and Information Officer, responsible for digitization and data management activities as an integral part of the final products, in order to optimize execution and improve the customer experience; • set-up of the role of Group Strategy & Optimization that supports the CEO in managing strategic initiatives, including the integration of ESG issues into the Group’s Strategy; • set-up of the Group Stakeholder Engagement role, which is in charge of coordinating the overall Investor Relations process, Identity and Communications activities, developing relationships with institutional counterparties, managing the relationships with the European Banking Supervisory Authorities (e.g. EBA, ECB) and Banca d’Italia; • overall review of the Managerial Committees in order to simplify and optimize the related set-up, streamlining the number of Committees and of participants, focusing on the decisional topic and processes. In particular, specific Risk/Control Committees have been set up (in particular the Group Financial & Credit Risks Committee and the Group Non-Financial Risks and Controls Committee) which, through their sessions chaired by the Chief Executive Officer, support the latter in his role of management, coordination and control of strategic issues and all risk categories (including compliance risk) at Group level. As regards the Italy Division, specific country nodes have been set up within Group Legal, Group Compliance, Internal Audit and Group Risk Management. In addition, specific functions have been shifted to the Italy Division from People and Culture, Group Finance, Group Operations and Group Risk Management. The overall structure of the new Division - revised and simplified as part of the “Simplification Program” - is focused on the “Retail Italy”, “Corporate Italy” and “Wealth Management & Private Banking Italy” business areas, responsible for managing the development of sales, commercial and marketing activities for their respective areas of competence. Italy Empowerment Project As part of its efforts to strengthen business activities and decision-making processes, by equipping it with the necessary decision-making and operational levers, the Board of Statutory Auditors examined the Empowerment project launched in 2021 aimed at shifting the operational activities and related delegations of powers of the credit sector to the Italy Division. The Board of Statutory Auditors considers such project of key importance as part of the overall structure of first- level controls, with a framework of clear rules, delegation of powers and strengthening of controls involving the competent Risk Management Functions (which are responsible for defining ex ante risk appetite, limits and ex-post controls, issuing prior risk opinions above defined thresholds), appropriate escalation processes where necessary, and in-depth knowledge and closeness to customers by the Territorial Network. The Board of Statutory Auditors recommends that the incoming Control Body continues monitoring the implementation of such project, since it is expected to be implemented in different phases in 2022. The Board of Statutory Auditors also noted the outcome of a recent audit rated “satisfactory”, aimed at examining, in light of the organizational review, the reorganization and reallocation of activities between the “global” Functions and the Italy Division, and the functioning of the managerial Committees dealing with risk management. With regard to the aforementioned organizational changes, the Board of Statutory Auditors emphasizes that they are functional to the implementation of the new Strategic Plan. The Board of Statutory Auditors therefore deems the organizational set-up of UniCredit S.p.A. to be appropriate in its design and implementation to data and agrees on the importance of simplifying and streamlining processes, by ensuring clear ownership and accountability of the processes, stressing the importance of this in conjunction with a strengthening of the first-level controls. Lastly, the BoSA recommends that the incoming Control Body continues monitoring the progressive development of the entire organizational set-up and its adequacy and operational effectiveness. Steering activity In the period, the BoSA paid specific attention to issues concerning the strengthening of the Parent Company's steering activities, focusing on the coordination, management and control of smaller Group Companies and foreign subsidiaries. As part of the simplification process, the first line of each business and geographical area has been redesigned to reduce overlaps and complexity, while maintaining well-defined control and supervisory functions, to further improve overall efficiency. The Board of Statutory Auditors also noted that further organisational changes were made, aimed at defining the target organisational set-up, strengthening the operational autonomy of the countries (governed by the Business Divisions), in compliance with the defined strategies and guidelines, frameworks and standards issued by the competent “global” functions. The steering activity in the Group is therefore enhanced by the implementation of an organisational set-up based on (i) reporting the relevant structures to a single Group Executive Member in order to fully implement the strategy of specific competence, (ii) “support” functions with double reporting line to ensure internal local autonomy and in compliance with “global” frameworks, strategies and standards, (iii) Group “control” functions responsible for defining the frameworks and guiding control activities through dedicated internal functions. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 788 2021 Annual Report and Accounts · UniCredit The Board of Statutory Auditors considers the harmonisation of the global approach thus set to be very important, also with a view, inter alia, to further comprehensive enhancing of risk awareness and decrease of compliance and operational risk, and non-or incomplete oversight by central structures. With regard to the organizational structure of the other Group’s Companies, the Board of Statutory Auditors has found out that initiatives are underway to share and adapt to the new organizational model of the Parent Company launched in 2021, through appropriate and careful mirroring initiatives, with the aim of replicating the model in the Companies themselves, always considering the local peculiarities and regulatory framework. Dedicated tools have been prepared to support the Companies, such as the "Orga Blueprint", which identifies the main constituent elements and responsibilities to be mirrored at a local level for each function part of the GEC, and the "Orga Guidelines", which define the Group’s standards for the design of functional and efficient organizational structures. Given the importance of such steering activity, the Board of Statutory Auditors therefore recommends to the incoming Control Body to carry out specific effectiveness analyses on the matter, with the competent structures, during 2022, following the activities currently being validated. Suitability of Control Functions and Activity Plans Internal Audit Function The Board of Statutory Auditors examined the 2021 Group Audit Plan Mid-Year review, revised according to risks prioritization and ongoing projects/initiatives of the Function consistently reviewed considering the adjustments carried out during the year and the 2022 Audit Plan approved by the Board of Directors in January 2022. The Audit Plan 2022 is part of the Long-Term Audit Plan which, on an ongoing basis, is defined in order to determine the audit priorities of UniCredit S.p.A. over a 5-year period, ensuring a proper coverage of the Bank’s processes mapped in the Audit Universe. Such Plan, together with the Internal Audit Guidelines for 2022 communicated to Group Companies, consolidates, based on the Internal Audit professional opinion, the information relating, inter alia, to: i) risk scenarios reported by external sources (EBA, ECB); ii) the contribution of UniCredit S.p.A.’s Top Management; iii) the findings and recommendations of the Supervisory Authorities and External Auditors; iv) the top risk driver reported by the Internal Audit Functions of the main Group companies, as well as the results of the specific risk assessment carried out on the elements of the audit universe. The Board of Statutory Auditors noted that the Plan also includes a section on internal quality assurance activities: in addition, an External Quality Assurance execution will be carried out by an independent expert in 2022. In 2021, the Board of Statutory Auditors noted the LEAP (Leading Enhanced Audit Performance) project aimed at reorganizing the Internal Audit Function, strongly encouraging its implementation as part of the broader reorganization of UniCredit’s internal control system and emphasized the importance of pursuing with determination the commitment to diversity topic; people’s involvement and commitment will be crucial for this project success. The Board of Statutory Auditors has received updates on the developments in terms of capacity also compared to the past gaps which have been cleared, due to the combined effect of the reduction of assigned resources and the hiring of new resources. Based on the information acquired, the BoSA deems the Function’s capacity in performing its duties to be adequate. Group Risk Management During the year, the Board of Statutory Auditors examined the “GRM Activity Plan 2021: semiannual update”, noting the stage of completion of the activities and projects in the plan. The BoSA also examined the GRM Plan for 2022, approved by the Board of Directors in January 2022, which is structured around the 5 pillars of the new GRM organizational framework: Credit Risk; Financial Risk; Non - Financial Risks; Strategic & Integrated Risks; Model & Validation Risks, for each of which emerging risks have been identified (in accordance with the RAF and ICAAP processes). The Board of Statutory Auditors also examined the Group Internal Validation (GIV) plan. Based on the information acquired, the BoSA considers that the size and capacity of the GRM Function is adequate to fulfill its tasks in the light of the ongoing process of credit processes automation - and recommends the continuation of selective hiring activities for the most complex profiles. Compliance Function During the year, the Board of Statutory Auditors examined the changes to the revised Compliance Plan 2021 considering the adjustments resulting from the definition of the Compliance Next Program and the Group Compliance Plan 2022 (approved by the Board of Directors in January 2022). The Plan is based on some key drivers, including increased regulatory and market-driven risks, the new Strategic Plan, the Compliance Next Program, and also considers, inter alia, several compliance culture and conduct initiatives, transversal to all Compliance Plan activities and supports the execution of the new Strategic Plan. At capacity level, the Board of Statutory Auditors noted that that the Compliance Plan does not report any critical issues and also recalls that it has started a specific monitoring of the Compliance Next Program progress; this includes both the definition and implementation of a sizing model for UniCredit S.p.A. to be extended to the other Group Companies, and a hiring activity, already underway, aimed at strengthening the Function with staff with specific skills. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 788 2021 Annual Report and Accounts · UniCredit The Board of Statutory Auditors considers the harmonisation of the global approach thus set to be very important, also with a view, inter alia, to further comprehensive enhancing of risk awareness and decrease of compliance and operational risk, and non-or incomplete oversight by central structures. With regard to the organizational structure of the other Group’s Companies, the Board of Statutory Auditors has found out that initiatives are underway to share and adapt to the new organizational model of the Parent Company launched in 2021, through appropriate and careful mirroring initiatives, with the aim of replicating the model in the Companies themselves, always considering the local peculiarities and regulatory framework. Dedicated tools have been prepared to support the Companies, such as the "Orga Blueprint", which identifies the main constituent elements and responsibilities to be mirrored at a local level for each function part of the GEC, and the "Orga Guidelines", which define the Group’s standards for the design of functional and efficient organizational structures. Given the importance of such steering activity, the Board of Statutory Auditors therefore recommends to the incoming Control Body to carry out specific effectiveness analyses on the matter, with the competent structures, during 2022, following the activities currently being validated. Suitability of Control Functions and Activity Plans Internal Audit Function The Board of Statutory Auditors examined the 2021 Group Audit Plan Mid-Year review, revised according to risks prioritization and ongoing projects/initiatives of the Function consistently reviewed considering the adjustments carried out during the year and the 2022 Audit Plan approved by the Board of Directors in January 2022. The Audit Plan 2022 is part of the Long-Term Audit Plan which, on an ongoing basis, is defined in order to determine the audit priorities of UniCredit S.p.A. over a 5-year period, ensuring a proper coverage of the Bank’s processes mapped in the Audit Universe. Such Plan, together with the Internal Audit Guidelines for 2022 communicated to Group Companies, consolidates, based on the Internal Audit professional opinion, the information relating, inter alia, to: i) risk scenarios reported by external sources (EBA, ECB); ii) the contribution of UniCredit S.p.A.’s Top Management; iii) the findings and recommendations of the Supervisory Authorities and External Auditors; iv) the top risk driver reported by the Internal Audit Functions of the main Group companies, as well as the results of the specific risk assessment carried out on the elements of the audit universe. The Board of Statutory Auditors noted that the Plan also includes a section on internal quality assurance activities: in addition, an External Quality Assurance execution will be carried out by an independent expert in 2022. In 2021, the Board of Statutory Auditors noted the LEAP (Leading Enhanced Audit Performance) project aimed at reorganizing the Internal Audit Function, strongly encouraging its implementation as part of the broader reorganization of UniCredit’s internal control system and emphasized the importance of pursuing with determination the commitment to diversity topic; people’s involvement and commitment will be crucial for this project success. The Board of Statutory Auditors has received updates on the developments in terms of capacity also compared to the past gaps which have been cleared, due to the combined effect of the reduction of assigned resources and the hiring of new resources. Based on the information acquired, the BoSA deems the Function’s capacity in performing its duties to be adequate. Group Risk Management During the year, the Board of Statutory Auditors examined the “GRM Activity Plan 2021: semiannual update”, noting the stage of completion of the activities and projects in the plan. The BoSA also examined the GRM Plan for 2022, approved by the Board of Directors in January 2022, which is structured around the 5 pillars of the new GRM organizational framework: Credit Risk; Financial Risk; Non - Financial Risks; Strategic & Integrated Risks; Model & Validation Risks, for each of which emerging risks have been identified (in accordance with the RAF and ICAAP processes). The Board of Statutory Auditors also examined the Group Internal Validation (GIV) plan. Based on the information acquired, the BoSA considers that the size and capacity of the GRM Function is adequate to fulfill its tasks in the light of the ongoing process of credit processes automation - and recommends the continuation of selective hiring activities for the most complex profiles. Compliance Function During the year, the Board of Statutory Auditors examined the changes to the revised Compliance Plan 2021 considering the adjustments resulting from the definition of the Compliance Next Program and the Group Compliance Plan 2022 (approved by the Board of Directors in January 2022). The Plan is based on some key drivers, including increased regulatory and market-driven risks, the new Strategic Plan, the Compliance Next Program, and also considers, inter alia, several compliance culture and conduct initiatives, transversal to all Compliance Plan activities and supports the execution of the new Strategic Plan. At capacity level, the Board of Statutory Auditors noted that that the Compliance Plan does not report any critical issues and also recalls that it has started a specific monitoring of the Compliance Next Program progress; this includes both the definition and implementation of a sizing model for UniCredit S.p.A. to be extended to the other Group Companies, and a hiring activity, already underway, aimed at strengthening the Function with staff with specific skills. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 788 2021 Annual Report and Accounts · UniCredit The Board of Statutory Auditors considers the harmonisation of the global approach thus set to be very important, also with a view, inter alia, to further comprehensive enhancing of risk awareness and decrease of compliance and operational risk, and non-or incomplete oversight by central structures. With regard to the organizational structure of the other Group’s Companies, the Board of Statutory Auditors has found out that initiatives are underway to share and adapt to the new organizational model of the Parent Company launched in 2021, through appropriate and careful mirroring initiatives, with the aim of replicating the model in the Companies themselves, always considering the local peculiarities and regulatory framework. Dedicated tools have been prepared to support the Companies, such as the "Orga Blueprint", which identifies the main constituent elements and responsibilities to be mirrored at a local level for each function part of the GEC, and the "Orga Guidelines", which define the Group’s standards for the design of functional and efficient organizational structures. Given the importance of such steering activity, the Board of Statutory Auditors therefore recommends to the incoming Control Body to carry out specific effectiveness analyses on the matter, with the competent structures, during 2022, following the activities currently being validated. Suitability of Control Functions and Activity Plans Internal Audit Function The Board of Statutory Auditors examined the 2021 Group Audit Plan Mid-Year review, revised according to risks prioritization and ongoing projects/initiatives of the Function consistently reviewed considering the adjustments carried out during the year and the 2022 Audit Plan approved by the Board of Directors in January 2022. The Audit Plan 2022 is part of the Long-Term Audit Plan which, on an ongoing basis, is defined in order to determine the audit priorities of UniCredit S.p.A. over a 5-year period, ensuring a proper coverage of the Bank’s processes mapped in the Audit Universe. Such Plan, together with the Internal Audit Guidelines for 2022 communicated to Group Companies, consolidates, based on the Internal Audit professional opinion, the information relating, inter alia, to: i) risk scenarios reported by external sources (EBA, ECB); ii) the contribution of UniCredit S.p.A.’s Top Management; iii) the findings and recommendations of the Supervisory Authorities and External Auditors; iv) the top risk driver reported by the Internal Audit Functions of the main Group companies, as well as the results of the specific risk assessment carried out on the elements of the audit universe. The Board of Statutory Auditors noted that the Plan also includes a section on internal quality assurance activities: in addition, an External Quality Assurance execution will be carried out by an independent expert in 2022. In 2021, the Board of Statutory Auditors noted the LEAP (Leading Enhanced Audit Performance) project aimed at reorganizing the Internal Audit Function, strongly encouraging its implementation as part of the broader reorganization of UniCredit’s internal control system and emphasized the importance of pursuing with determination the commitment to diversity topic; people’s involvement and commitment will be crucial for this project success. The Board of Statutory Auditors has received updates on the developments in terms of capacity also compared to the past gaps which have been cleared, due to the combined effect of the reduction of assigned resources and the hiring of new resources. Based on the information acquired, the BoSA deems the Function’s capacity in performing its duties to be adequate. Group Risk Management During the year, the Board of Statutory Auditors examined the “GRM Activity Plan 2021: semiannual update”, noting the stage of completion of the activities and projects in the plan. The BoSA also examined the GRM Plan for 2022, approved by the Board of Directors in January 2022, which is structured around the 5 pillars of the new GRM organizational framework: Credit Risk; Financial Risk; Non - Financial Risks; Strategic & Integrated Risks; Model & Validation Risks, for each of which emerging risks have been identified (in accordance with the RAF and ICAAP processes). The Board of Statutory Auditors also examined the Group Internal Validation (GIV) plan. Based on the information acquired, the BoSA considers that the size and capacity of the GRM Function is adequate to fulfill its tasks in the light of the ongoing process of credit processes automation - and recommends the continuation of selective hiring activities for the most complex profiles. Compliance Function During the year, the Board of Statutory Auditors examined the changes to the revised Compliance Plan 2021 considering the adjustments resulting from the definition of the Compliance Next Program and the Group Compliance Plan 2022 (approved by the Board of Directors in January 2022). The Plan is based on some key drivers, including increased regulatory and market-driven risks, the new Strategic Plan, the Compliance Next Program, and also considers, inter alia, several compliance culture and conduct initiatives, transversal to all Compliance Plan activities and supports the execution of the new Strategic Plan. At capacity level, the Board of Statutory Auditors noted that that the Compliance Plan does not report any critical issues and also recalls that it has started a specific monitoring of the Compliance Next Program progress; this includes both the definition and implementation of a sizing model for UniCredit S.p.A. to be extended to the other Group Companies, and a hiring activity, already underway, aimed at strengthening the Function with staff with specific skills. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 788 2021 Annual Report and Accounts · UniCredit The Board of Statutory Auditors considers the harmonisation of the global approach thus set to be very important, also with a view, inter alia, to further comprehensive enhancing of risk awareness and decrease of compliance and operational risk, and non-or incomplete oversight by central structures. With regard to the organizational structure of the other Group’s Companies, the Board of Statutory Auditors has found out that initiatives are underway to share and adapt to the new organizational model of the Parent Company launched in 2021, through appropriate and careful mirroring initiatives, with the aim of replicating the model in the Companies themselves, always considering the local peculiarities and regulatory framework. Dedicated tools have been prepared to support the Companies, such as the "Orga Blueprint", which identifies the main constituent elements and responsibilities to be mirrored at a local level for each function part of the GEC, and the "Orga Guidelines", which define the Group’s standards for the design of functional and efficient organizational structures. Given the importance of such steering activity, the Board of Statutory Auditors therefore recommends to the incoming Control Body to carry out specific effectiveness analyses on the matter, with the competent structures, during 2022, following the activities currently being validated. Suitability of Control Functions and Activity Plans Internal Audit Function The Board of Statutory Auditors examined the 2021 Group Audit Plan Mid-Year review, revised according to risks prioritization and ongoing projects/initiatives of the Function consistently reviewed considering the adjustments carried out during the year and the 2022 Audit Plan approved by the Board of Directors in January 2022. The Audit Plan 2022 is part of the Long-Term Audit Plan which, on an ongoing basis, is defined in order to determine the audit priorities of UniCredit S.p.A. over a 5-year period, ensuring a proper coverage of the Bank’s processes mapped in the Audit Universe. Such Plan, together with the Internal Audit Guidelines for 2022 communicated to Group Companies, consolidates, based on the Internal Audit professional opinion, the information relating, inter alia, to: i) risk scenarios reported by external sources (EBA, ECB); ii) the contribution of UniCredit S.p.A.’s Top Management; iii) the findings and recommendations of the Supervisory Authorities and External Auditors; iv) the top risk driver reported by the Internal Audit Functions of the main Group companies, as well as the results of the specific risk assessment carried out on the elements of the audit universe. The Board of Statutory Auditors noted that the Plan also includes a section on internal quality assurance activities: in addition, an External Quality Assurance execution will be carried out by an independent expert in 2022. In 2021, the Board of Statutory Auditors noted the LEAP (Leading Enhanced Audit Performance) project aimed at reorganizing the Internal Audit Function, strongly encouraging its implementation as part of the broader reorganization of UniCredit’s internal control system and emphasized the importance of pursuing with determination the commitment to diversity topic; people’s involvement and commitment will be crucial for this project success. The Board of Statutory Auditors has received updates on the developments in terms of capacity also compared to the past gaps which have been cleared, due to the combined effect of the reduction of assigned resources and the hiring of new resources. Based on the information acquired, the BoSA deems the Function’s capacity in performing its duties to be adequate. Group Risk Management During the year, the Board of Statutory Auditors examined the “GRM Activity Plan 2021: semiannual update”, noting the stage of completion of the activities and projects in the plan. The BoSA also examined the GRM Plan for 2022, approved by the Board of Directors in January 2022, which is structured around the 5 pillars of the new GRM organizational framework: Credit Risk; Financial Risk; Non - Financial Risks; Strategic & Integrated Risks; Model & Validation Risks, for each of which emerging risks have been identified (in accordance with the RAF and ICAAP processes). The Board of Statutory Auditors also examined the Group Internal Validation (GIV) plan. Based on the information acquired, the BoSA considers that the size and capacity of the GRM Function is adequate to fulfill its tasks in the light of the ongoing process of credit processes automation - and recommends the continuation of selective hiring activities for the most complex profiles. Compliance Function During the year, the Board of Statutory Auditors examined the changes to the revised Compliance Plan 2021 considering the adjustments resulting from the definition of the Compliance Next Program and the Group Compliance Plan 2022 (approved by the Board of Directors in January 2022). The Plan is based on some key drivers, including increased regulatory and market-driven risks, the new Strategic Plan, the Compliance Next Program, and also considers, inter alia, several compliance culture and conduct initiatives, transversal to all Compliance Plan activities and supports the execution of the new Strategic Plan. At capacity level, the Board of Statutory Auditors noted that that the Compliance Plan does not report any critical issues and also recalls that it has started a specific monitoring of the Compliance Next Program progress; this includes both the definition and implementation of a sizing model for UniCredit S.p.A. to be extended to the other Group Companies, and a hiring activity, already underway, aimed at strengthening the Function with staff with specific skills. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 788 2021 Annual Report and Accounts · UniCredit The Board of Statutory Auditors considers the harmonisation of the global approach thus set to be very important, also with a view, inter alia, to further comprehensive enhancing of risk awareness and decrease of compliance and operational risk, and non-or incomplete oversight by central structures. With regard to the organizational structure of the other Group’s Companies, the Board of Statutory Auditors has found out that initiatives are underway to share and adapt to the new organizational model of the Parent Company launched in 2021, through appropriate and careful mirroring initiatives, with the aim of replicating the model in the Companies themselves, always considering the local peculiarities and regulatory framework. Dedicated tools have been prepared to support the Companies, such as the "Orga Blueprint", which identifies the main constituent elements and responsibilities to be mirrored at a local level for each function part of the GEC, and the "Orga Guidelines", which define the Group’s standards for the design of functional and efficient organizational structures. Given the importance of such steering activity, the Board of Statutory Auditors therefore recommends to the incoming Control Body to carry out specific effectiveness analyses on the matter, with the competent structures, during 2022, following the activities currently being validated. Suitability of Control Functions and Activity Plans Internal Audit Function The Board of Statutory Auditors examined the 2021 Group Audit Plan Mid-Year review, revised according to risks prioritization and ongoing projects/initiatives of the Function consistently reviewed considering the adjustments carried out during the year and the 2022 Audit Plan approved by the Board of Directors in January 2022. The Audit Plan 2022 is part of the Long-Term Audit Plan which, on an ongoing basis, is defined in order to determine the audit priorities of UniCredit S.p.A. over a 5-year period, ensuring a proper coverage of the Bank’s processes mapped in the Audit Universe. Such Plan, together with the Internal Audit Guidelines for 2022 communicated to Group Companies, consolidates, based on the Internal Audit professional opinion, the information relating, inter alia, to: i) risk scenarios reported by external sources (EBA, ECB); ii) the contribution of UniCredit S.p.A.’s Top Management; iii) the findings and recommendations of the Supervisory Authorities and External Auditors; iv) the top risk driver reported by the Internal Audit Functions of the main Group companies, as well as the results of the specific risk assessment carried out on the elements of the audit universe. The Board of Statutory Auditors noted that the Plan also includes a section on internal quality assurance activities: in addition, an External Quality Assurance execution will be carried out by an independent expert in 2022. In 2021, the Board of Statutory Auditors noted the LEAP (Leading Enhanced Audit Performance) project aimed at reorganizing the Internal Audit Function, strongly encouraging its implementation as part of the broader reorganization of UniCredit’s internal control system and emphasized the importance of pursuing with determination the commitment to diversity topic; people’s involvement and commitment will be crucial for this project success. The Board of Statutory Auditors has received updates on the developments in terms of capacity also compared to the past gaps which have been cleared, due to the combined effect of the reduction of assigned resources and the hiring of new resources. Based on the information acquired, the BoSA deems the Function’s capacity in performing its duties to be adequate. Group Risk Management During the year, the Board of Statutory Auditors examined the “GRM Activity Plan 2021: semiannual update”, noting the stage of completion of the activities and projects in the plan. The BoSA also examined the GRM Plan for 2022, approved by the Board of Directors in January 2022, which is structured around the 5 pillars of the new GRM organizational framework: Credit Risk; Financial Risk; Non - Financial Risks; Strategic & Integrated Risks; Model & Validation Risks, for each of which emerging risks have been identified (in accordance with the RAF and ICAAP processes). The Board of Statutory Auditors also examined the Group Internal Validation (GIV) plan. Based on the information acquired, the BoSA considers that the size and capacity of the GRM Function is adequate to fulfill its tasks in the light of the ongoing process of credit processes automation - and recommends the continuation of selective hiring activities for the most complex profiles. Compliance Function During the year, the Board of Statutory Auditors examined the changes to the revised Compliance Plan 2021 considering the adjustments resulting from the definition of the Compliance Next Program and the Group Compliance Plan 2022 (approved by the Board of Directors in January 2022). The Plan is based on some key drivers, including increased regulatory and market-driven risks, the new Strategic Plan, the Compliance Next Program, and also considers, inter alia, several compliance culture and conduct initiatives, transversal to all Compliance Plan activities and supports the execution of the new Strategic Plan. At capacity level, the Board of Statutory Auditors noted that that the Compliance Plan does not report any critical issues and also recalls that it has started a specific monitoring of the Compliance Next Program progress; this includes both the definition and implementation of a sizing model for UniCredit S.p.A. to be extended to the other Group Companies, and a hiring activity, already underway, aimed at strengthening the Function with staff with specific skills. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 789 Specifically, in the Compliance Next Program implementation, a review of the organizational model of the Compliance Function was launched in the second half of 2021, considering the need to simplify processes and increase transparency. The Model review is fundamentally based on: (i) risk driven structures (ii) governance functions, focusing on data management and transformation processes (iii) business contacts. Based on the information acquired, the Board of Statutory Auditors deems the Function’s capacity in performing its duties to be adequate. In conclusion, overall and in view of the organizational changes in place and planned, together with the activities related to the verification and execution of the Strategic Plan, the BoSA recommends to the incoming Control Body to continuously monitor the evolution of the organizational structure and capacity of the Control Functions. 10. Remuneration policies The Board of Statutory Auditors previously examined the document “Group Incentive System 2022“, issuing its positive opinion at the Board of Directors’ meeting held on 21 February 2022, which approved the document itself. The Board of Statutory Auditors also acknowledged the Board’s approval, at its meeting held on 8 March 2022, of the Directors Report on the remuneration policy to be submitted to the Shareholders’ Meeting of 8 April 2022. The Board of Statutory Auditors also examined the results of the report issued by the Internal Audit Function “2021 Remuneration Policies and Practices”, which ends with the formulation of a “satisfactory” rating. Lastly, in compliance with the current regulations, the Board of Statutory Auditors examined specifically the proposals for: • 2021 Goal setting review and 2021 Evaluation and Bonus Payout for the Manager in charge of preparing the Financial Reports; • 2021 Reference Value for the Head of Internal Audit Function of UniCredit S.p.A; • 2022 Goal setting for the Chief Executive Officer and the Manager in charge of preparing the Financial Reports; • and verified the correctness of the Bank’s adopted process and criteria, including the consistency with the relevant regulations, thus issuing, where required, its positive opinions to the Board of Directors. 11. Sustainability and Integrated Report (Non-Financial Statement) The Board of Statutory Auditors has taken note of the adherence to the highest standards of policies concerning ESG (Environmental, Social, Governance) and of principles externally monitored and recognised, and the confirmation that ESG topics are considered by UniCredit to be an indispensable and crucial aspect of long-term value creation. The path undertaken, already started in previous years, is aimed at further integrating ESG factors into the Bank’s strategy, core business and processes, looking at both risks and market opportunities and adopting a linear multi-stakeholder approach. The Board of Statutory Auditors noted that sustainability is one of the five strategic imperatives of UniCredit Unlocked, built around UniCredit principles and beliefs and on four fundamentals: • leading by example, striving for the same high standards sought in those doing business with; • setting ambitious ESG goals to support customers’ need for change; • equipping oneself with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments to enable a more equal and sustainable society. In particular, it should be noted that sustainability and, therefore, a long-term perspective, allow the strategy contained in the new Strategic Plan, which aims at sustainable returns, a generation of sustainable capital that in turn allows for a sustainable distribution to shareholders. The Board of Statutory Auditors acknowledges that the path undertaken since 2019, aimed at greater integration of different topics sustainability-related into the Group’s corporate strategies, has been strongly strengthened and optimized, also with the propulsive thrust of the aforementioned ESG Board Committee, which was set up in May 2021, whose work the Chairman of the Board of Statutory Auditors and other appointed Statutory Auditor actively participated, also in view of its own oversight function of ESG governance and related issues. During 2021, the ESG Strategy Council was also set up, a permanent working group composed of Top Management’s Members and coordinated by the Head of ESG Strategy & Impact Banking. The Board of Statutory Auditors noted that for UniCredit, sustainable value is delivered to the stakeholders through four underlying drivers: • governance model, which supports the implementation of UniCredit ESG strategy, promoting both clarity and accountability; • targeted country approach: enabling each country to design a dedicated ESG plan which takes into account country-specific priorities; • culture, putting the values of integrity, ownership and care at the heart of everything done, with diversity and inclusion remaining strategic assets, and employee engagement and training being UniCredit priorities; • monitoring, reporting and disclosure: striving to invest in the deployment of an ESG IT Global architecture to manage all relevant ESG data, for several monitoring purposes, Multi-Year Plan ESG targets, Green Transition Financing, EU Taxonomy and Pillar III. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 789 Specifically, in the Compliance Next Program implementation, a review of the organizational model of the Compliance Function was launched in the second half of 2021, considering the need to simplify processes and increase transparency. The Model review is fundamentally based on: (i) risk driven structures (ii) governance functions, focusing on data management and transformation processes (iii) business contacts. Based on the information acquired, the Board of Statutory Auditors deems the Function’s capacity in performing its duties to be adequate. In conclusion, overall and in view of the organizational changes in place and planned, together with the activities related to the verification and execution of the Strategic Plan, the BoSA recommends to the incoming Control Body to continuously monitor the evolution of the organizational structure and capacity of the Control Functions. 10. Remuneration policies The Board of Statutory Auditors previously examined the document “Group Incentive System 2022“, issuing its positive opinion at the Board of Directors’ meeting held on 21 February 2022, which approved the document itself. The Board of Statutory Auditors also acknowledged the Board’s approval, at its meeting held on 8 March 2022, of the Directors Report on the remuneration policy to be submitted to the Shareholders’ Meeting of 8 April 2022. The Board of Statutory Auditors also examined the results of the report issued by the Internal Audit Function “2021 Remuneration Policies and Practices”, which ends with the formulation of a “satisfactory” rating. Lastly, in compliance with the current regulations, the Board of Statutory Auditors examined specifically the proposals for: • 2021 Goal setting review and 2021 Evaluation and Bonus Payout for the Manager in charge of preparing the Financial Reports; • 2021 Reference Value for the Head of Internal Audit Function of UniCredit S.p.A; • 2022 Goal setting for the Chief Executive Officer and the Manager in charge of preparing the Financial Reports; • and verified the correctness of the Bank’s adopted process and criteria, including the consistency with the relevant regulations, thus issuing, where required, its positive opinions to the Board of Directors. 11. Sustainability and Integrated Report (Non-Financial Statement) The Board of Statutory Auditors has taken note of the adherence to the highest standards of policies concerning ESG (Environmental, Social, Governance) and of principles externally monitored and recognised, and the confirmation that ESG topics are considered by UniCredit to be an indispensable and crucial aspect of long-term value creation. The path undertaken, already started in previous years, is aimed at further integrating ESG factors into the Bank’s strategy, core business and processes, looking at both risks and market opportunities and adopting a linear multi-stakeholder approach. The Board of Statutory Auditors noted that sustainability is one of the five strategic imperatives of UniCredit Unlocked, built around UniCredit principles and beliefs and on four fundamentals: • leading by example, striving for the same high standards sought in those doing business with; • setting ambitious ESG goals to support customers’ need for change; • equipping oneself with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments to enable a more equal and sustainable society. In particular, it should be noted that sustainability and, therefore, a long-term perspective, allow the strategy contained in the new Strategic Plan, which aims at sustainable returns, a generation of sustainable capital that in turn allows for a sustainable distribution to shareholders. The Board of Statutory Auditors acknowledges that the path undertaken since 2019, aimed at greater integration of different topics sustainability-related into the Group’s corporate strategies, has been strongly strengthened and optimized, also with the propulsive thrust of the aforementioned ESG Board Committee, which was set up in May 2021, whose work the Chairman of the Board of Statutory Auditors and other appointed Statutory Auditor actively participated, also in view of its own oversight function of ESG governance and related issues. During 2021, the ESG Strategy Council was also set up, a permanent working group composed of Top Management’s Members and coordinated by the Head of ESG Strategy & Impact Banking. The Board of Statutory Auditors noted that for UniCredit, sustainable value is delivered to the stakeholders through four underlying drivers: • governance model, which supports the implementation of UniCredit ESG strategy, promoting both clarity and accountability; • targeted country approach: enabling each country to design a dedicated ESG plan which takes into account country-specific priorities; • culture, putting the values of integrity, ownership and care at the heart of everything done, with diversity and inclusion remaining strategic assets, and employee engagement and training being UniCredit priorities; • monitoring, reporting and disclosure: striving to invest in the deployment of an ESG IT Global architecture to manage all relevant ESG data, for several monitoring purposes, Multi-Year Plan ESG targets, Green Transition Financing, EU Taxonomy and Pillar III. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 789 Specifically, in the Compliance Next Program implementation, a review of the organizational model of the Compliance Function was launched in the second half of 2021, considering the need to simplify processes and increase transparency. The Model review is fundamentally based on: (i) risk driven structures (ii) governance functions, focusing on data management and transformation processes (iii) business contacts. Based on the information acquired, the Board of Statutory Auditors deems the Function’s capacity in performing its duties to be adequate. In conclusion, overall and in view of the organizational changes in place and planned, together with the activities related to the verification and execution of the Strategic Plan, the BoSA recommends to the incoming Control Body to continuously monitor the evolution of the organizational structure and capacity of the Control Functions. 10. Remuneration policies The Board of Statutory Auditors previously examined the document “Group Incentive System 2022“, issuing its positive opinion at the Board of Directors’ meeting held on 21 February 2022, which approved the document itself. The Board of Statutory Auditors also acknowledged the Board’s approval, at its meeting held on 8 March 2022, of the Directors Report on the remuneration policy to be submitted to the Shareholders’ Meeting of 8 April 2022. The Board of Statutory Auditors also examined the results of the report issued by the Internal Audit Function “2021 Remuneration Policies and Practices”, which ends with the formulation of a “satisfactory” rating. Lastly, in compliance with the current regulations, the Board of Statutory Auditors examined specifically the proposals for: • 2021 Goal setting review and 2021 Evaluation and Bonus Payout for the Manager in charge of preparing the Financial Reports; • 2021 Reference Value for the Head of Internal Audit Function of UniCredit S.p.A; • 2022 Goal setting for the Chief Executive Officer and the Manager in charge of preparing the Financial Reports; • and verified the correctness of the Bank’s adopted process and criteria, including the consistency with the relevant regulations, thus issuing, where required, its positive opinions to the Board of Directors. 11. Sustainability and Integrated Report (Non-Financial Statement) The Board of Statutory Auditors has taken note of the adherence to the highest standards of policies concerning ESG (Environmental, Social, Governance) and of principles externally monitored and recognised, and the confirmation that ESG topics are considered by UniCredit to be an indispensable and crucial aspect of long-term value creation. The path undertaken, already started in previous years, is aimed at further integrating ESG factors into the Bank’s strategy, core business and processes, looking at both risks and market opportunities and adopting a linear multi-stakeholder approach. The Board of Statutory Auditors noted that sustainability is one of the five strategic imperatives of UniCredit Unlocked, built around UniCredit principles and beliefs and on four fundamentals: • leading by example, striving for the same high standards sought in those doing business with; • setting ambitious ESG goals to support customers’ need for change; • equipping oneself with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments to enable a more equal and sustainable society. In particular, it should be noted that sustainability and, therefore, a long-term perspective, allow the strategy contained in the new Strategic Plan, which aims at sustainable returns, a generation of sustainable capital that in turn allows for a sustainable distribution to shareholders. The Board of Statutory Auditors acknowledges that the path undertaken since 2019, aimed at greater integration of different topics sustainability-related into the Group’s corporate strategies, has been strongly strengthened and optimized, also with the propulsive thrust of the aforementioned ESG Board Committee, which was set up in May 2021, whose work the Chairman of the Board of Statutory Auditors and other appointed Statutory Auditor actively participated, also in view of its own oversight function of ESG governance and related issues. During 2021, the ESG Strategy Council was also set up, a permanent working group composed of Top Management’s Members and coordinated by the Head of ESG Strategy & Impact Banking. The Board of Statutory Auditors noted that for UniCredit, sustainable value is delivered to the stakeholders through four underlying drivers: • governance model, which supports the implementation of UniCredit ESG strategy, promoting both clarity and accountability; • targeted country approach: enabling each country to design a dedicated ESG plan which takes into account country-specific priorities; • culture, putting the values of integrity, ownership and care at the heart of everything done, with diversity and inclusion remaining strategic assets, and employee engagement and training being UniCredit priorities; • monitoring, reporting and disclosure: striving to invest in the deployment of an ESG IT Global architecture to manage all relevant ESG data, for several monitoring purposes, Multi-Year Plan ESG targets, Green Transition Financing, EU Taxonomy and Pillar III. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 789 Specifically, in the Compliance Next Program implementation, a review of the organizational model of the Compliance Function was launched in the second half of 2021, considering the need to simplify processes and increase transparency. The Model review is fundamentally based on: (i) risk driven structures (ii) governance functions, focusing on data management and transformation processes (iii) business contacts. Based on the information acquired, the Board of Statutory Auditors deems the Function’s capacity in performing its duties to be adequate. In conclusion, overall and in view of the organizational changes in place and planned, together with the activities related to the verification and execution of the Strategic Plan, the BoSA recommends to the incoming Control Body to continuously monitor the evolution of the organizational structure and capacity of the Control Functions. 10. Remuneration policies The Board of Statutory Auditors previously examined the document “Group Incentive System 2022“, issuing its positive opinion at the Board of Directors’ meeting held on 21 February 2022, which approved the document itself. The Board of Statutory Auditors also acknowledged the Board’s approval, at its meeting held on 8 March 2022, of the Directors Report on the remuneration policy to be submitted to the Shareholders’ Meeting of 8 April 2022. The Board of Statutory Auditors also examined the results of the report issued by the Internal Audit Function “2021 Remuneration Policies and Practices”, which ends with the formulation of a “satisfactory” rating. Lastly, in compliance with the current regulations, the Board of Statutory Auditors examined specifically the proposals for: • 2021 Goal setting review and 2021 Evaluation and Bonus Payout for the Manager in charge of preparing the Financial Reports; • 2021 Reference Value for the Head of Internal Audit Function of UniCredit S.p.A; • 2022 Goal setting for the Chief Executive Officer and the Manager in charge of preparing the Financial Reports; • and verified the correctness of the Bank’s adopted process and criteria, including the consistency with the relevant regulations, thus issuing, where required, its positive opinions to the Board of Directors. 11. Sustainability and Integrated Report (Non-Financial Statement) The Board of Statutory Auditors has taken note of the adherence to the highest standards of policies concerning ESG (Environmental, Social, Governance) and of principles externally monitored and recognised, and the confirmation that ESG topics are considered by UniCredit to be an indispensable and crucial aspect of long-term value creation. The path undertaken, already started in previous years, is aimed at further integrating ESG factors into the Bank’s strategy, core business and processes, looking at both risks and market opportunities and adopting a linear multi-stakeholder approach. The Board of Statutory Auditors noted that sustainability is one of the five strategic imperatives of UniCredit Unlocked, built around UniCredit principles and beliefs and on four fundamentals: • leading by example, striving for the same high standards sought in those doing business with; • setting ambitious ESG goals to support customers’ need for change; • equipping oneself with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments to enable a more equal and sustainable society. In particular, it should be noted that sustainability and, therefore, a long-term perspective, allow the strategy contained in the new Strategic Plan, which aims at sustainable returns, a generation of sustainable capital that in turn allows for a sustainable distribution to shareholders. The Board of Statutory Auditors acknowledges that the path undertaken since 2019, aimed at greater integration of different topics sustainability-related into the Group’s corporate strategies, has been strongly strengthened and optimized, also with the propulsive thrust of the aforementioned ESG Board Committee, which was set up in May 2021, whose work the Chairman of the Board of Statutory Auditors and other appointed Statutory Auditor actively participated, also in view of its own oversight function of ESG governance and related issues. During 2021, the ESG Strategy Council was also set up, a permanent working group composed of Top Management’s Members and coordinated by the Head of ESG Strategy & Impact Banking. The Board of Statutory Auditors noted that for UniCredit, sustainable value is delivered to the stakeholders through four underlying drivers: • governance model, which supports the implementation of UniCredit ESG strategy, promoting both clarity and accountability; • targeted country approach: enabling each country to design a dedicated ESG plan which takes into account country-specific priorities; • culture, putting the values of integrity, ownership and care at the heart of everything done, with diversity and inclusion remaining strategic assets, and employee engagement and training being UniCredit priorities; • monitoring, reporting and disclosure: striving to invest in the deployment of an ESG IT Global architecture to manage all relevant ESG data, for several monitoring purposes, Multi-Year Plan ESG targets, Green Transition Financing, EU Taxonomy and Pillar III. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 789 Specifically, in the Compliance Next Program implementation, a review of the organizational model of the Compliance Function was launched in the second half of 2021, considering the need to simplify processes and increase transparency. The Model review is fundamentally based on: (i) risk driven structures (ii) governance functions, focusing on data management and transformation processes (iii) business contacts. Based on the information acquired, the Board of Statutory Auditors deems the Function’s capacity in performing its duties to be adequate. In conclusion, overall and in view of the organizational changes in place and planned, together with the activities related to the verification and execution of the Strategic Plan, the BoSA recommends to the incoming Control Body to continuously monitor the evolution of the organizational structure and capacity of the Control Functions. 10. Remuneration policies The Board of Statutory Auditors previously examined the document “Group Incentive System 2022“, issuing its positive opinion at the Board of Directors’ meeting held on 21 February 2022, which approved the document itself. The Board of Statutory Auditors also acknowledged the Board’s approval, at its meeting held on 8 March 2022, of the Directors Report on the remuneration policy to be submitted to the Shareholders’ Meeting of 8 April 2022. The Board of Statutory Auditors also examined the results of the report issued by the Internal Audit Function “2021 Remuneration Policies and Practices”, which ends with the formulation of a “satisfactory” rating. Lastly, in compliance with the current regulations, the Board of Statutory Auditors examined specifically the proposals for: • 2021 Goal setting review and 2021 Evaluation and Bonus Payout for the Manager in charge of preparing the Financial Reports; • 2021 Reference Value for the Head of Internal Audit Function of UniCredit S.p.A; • 2022 Goal setting for the Chief Executive Officer and the Manager in charge of preparing the Financial Reports; • and verified the correctness of the Bank’s adopted process and criteria, including the consistency with the relevant regulations, thus issuing, where required, its positive opinions to the Board of Directors. 11. Sustainability and Integrated Report (Non-Financial Statement) The Board of Statutory Auditors has taken note of the adherence to the highest standards of policies concerning ESG (Environmental, Social, Governance) and of principles externally monitored and recognised, and the confirmation that ESG topics are considered by UniCredit to be an indispensable and crucial aspect of long-term value creation. The path undertaken, already started in previous years, is aimed at further integrating ESG factors into the Bank’s strategy, core business and processes, looking at both risks and market opportunities and adopting a linear multi-stakeholder approach. The Board of Statutory Auditors noted that sustainability is one of the five strategic imperatives of UniCredit Unlocked, built around UniCredit principles and beliefs and on four fundamentals: • leading by example, striving for the same high standards sought in those doing business with; • setting ambitious ESG goals to support customers’ need for change; • equipping oneself with tools to assist customers and communities in navigating the environmental and social transition, through strategic actions across building blocks; • embracing and investing the resources needed to deliver and reach medium and long-term commitments to enable a more equal and sustainable society. In particular, it should be noted that sustainability and, therefore, a long-term perspective, allow the strategy contained in the new Strategic Plan, which aims at sustainable returns, a generation of sustainable capital that in turn allows for a sustainable distribution to shareholders. The Board of Statutory Auditors acknowledges that the path undertaken since 2019, aimed at greater integration of different topics sustainability-related into the Group’s corporate strategies, has been strongly strengthened and optimized, also with the propulsive thrust of the aforementioned ESG Board Committee, which was set up in May 2021, whose work the Chairman of the Board of Statutory Auditors and other appointed Statutory Auditor actively participated, also in view of its own oversight function of ESG governance and related issues. During 2021, the ESG Strategy Council was also set up, a permanent working group composed of Top Management’s Members and coordinated by the Head of ESG Strategy & Impact Banking. The Board of Statutory Auditors noted that for UniCredit, sustainable value is delivered to the stakeholders through four underlying drivers: • governance model, which supports the implementation of UniCredit ESG strategy, promoting both clarity and accountability; • targeted country approach: enabling each country to design a dedicated ESG plan which takes into account country-specific priorities; • culture, putting the values of integrity, ownership and care at the heart of everything done, with diversity and inclusion remaining strategic assets, and employee engagement and training being UniCredit priorities; • monitoring, reporting and disclosure: striving to invest in the deployment of an ESG IT Global architecture to manage all relevant ESG data, for several monitoring purposes, Multi-Year Plan ESG targets, Green Transition Financing, EU Taxonomy and Pillar III. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 790 2021 Annual Report and Accounts · UniCredit As also stated in the financial statements report, UniCredit: • in October 2021, joined the Net Zero Banking Alliance, aimed at aligning the lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement; • is the first Italian bank to sign the commitment to “Financial Health and Inclusion”, developed under the framework of the “Principles for Responsible Banking”, as further proof of the bank’s strong social responsibility and dedication to building an inclusive economy for all stakeholders; • in 2021, through its CEO signed the CEO Champion Commitment “Towards the Zero Gender Gap”: €100 million will be invested to ensuring equal gender pay, which means equal pay for equal jobs. The Board of Statutory Auditors also noted the update of the Coal and Oil&Gas policies (submitted to the Group Non-Financial Risk Committee in December 2021), and also noted that the Group's sustainability performance was strengthened with several rating improvements in 2021 and the first part of 2022 (Sustainalytics, S&P Global, Vigeo Eiris, FTSE4Good as well as the recent inclusion in the Corporate Knights Global 100 Index, as the first Company in Italy). Based on the assumption of sustainable success as a guide for the Board of Directors’ action, the BoSA recommends that the incoming Control Body continues monitoring the integration of ESG priorities into the strategy pursued by Management. The Board of Statutory Auditors, taken note of Italian Legislative Decree No.254/2016 on the disclosure of non-financial information and the Implementing Regulation issued by Consob with a resolution dated 18 January 2018, No.20267, exercised its functions by supervising the compliance with the provisions contained therein regarding the drafting of the non-financial statement (hereinafter referred to as “DNF”) as part of the Integrated Financial Statements, approved by the Board of Directors on 8 March 2022. The Board of Statutory Auditors held several meetings with the Function responsible for the DFN’s drafting and the representatives of the appointed External Auditors (Deloitte & Touche), by examining the available documentation; the BoSA considered the Assonime Circular No.13 dated 12 June 2017, a commentary on Italian Legislative Decree No.254/2016 and Legislative Decree No.4 dated 11 February 2019, (“News on non-financial reporting”), and noted the application of the Global Rule “Preparation of Non-Financial Information for the Integrated Report Production”, aimed at defining roles, responsibilities, activities, controls and information flows of coordination between the Parent company and the Group's Companies and structures. The BoSA also acknowledged the report issued by the External Auditors on 11 March 2022, which states that no evidence has come its attention that would suggest that the DNF of the UniCredit group, regarding the financial year ended on 31 December 2021, had not been drafted in all significant aspects in compliance with the relevant regulations, and with the GRI Standards (“Global Reporting Initiative Sustainability Reporting Standards” defined by GRI - Global Reporting Initiative). Based on the information acquired, the Board of Statutory Auditors certifies that, during its examination of the non-financial statement, elements of non-compliance and/or violation of the relevant regulatory provisions have not come to its attention. 12. Additional activity by the Board of Statutory Auditors and information requested by Consob In the performance of its duties, the Board of Statutory Auditors, as required by article 2403 of the Italian Civil Code and article 149 of Legislative Decree 58/1998 Consolidated Law on Finance (TUF): • exercised oversight on the implementation of the corporate governance rules contained in the codes of conduct that the Company declares to abide by. UniCredit S.p.A. complies with the Corporate Governance Code approved by the Corporate Governance Committee promoted by Ania, Assogestioni, Assonime, Confindustria and Borsa Italiana, and has prepared, pursuant to article 123-bis of Italian Legislative Decree No.58/1998 Consolidated Law on Finance (TUF), the annual “Report on Corporate Governance and Ownership”; • exercised oversight on the adequacy of the instructions given to subsidiaries pursuant to Art.114, par.2 of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF); • exchanged half-year information and on request with the Boards of Statutory Auditors of the directly controlled companies as required by Art.151, paragraph 2, of Italian Legislative Decree No.58/1998 (TUF) and by the Supervisory Instructions of Banca d’Italia. Furthermore, in January 2022, the Board of Statutory Auditors met the Chairmen of the Boards of Statutory Auditors of the main Italian companies of the Group, in order to receive reports on any critical issues affecting the administration and control systems and the general trend of corporate activity; • in compliance with the regulations and customary practices, the BoSA met with ECB, acting as Supervisory Authority of the Parent company, for the purpose of a fruitful exchange of information on subjects of mutual interest, including specific issues illustrated in this Report. With the aim to continuously refining its functions, in compliance with the current regulatory framework and also in line with what discussed during the meetings held with the ECB in the previous financial year, the Board of Statutory Auditors followed up its program of meeting the Group’s main Legal Entities, as part of its supervisory and steering activity carried out by the parent company. To this end, the BoSA met the main company representatives and the Top Management of Zagrebacka Banka in November 2021. The meetings, which resulted in an exchange of information with the aim of an integrated governance, with particular reference to issues specific to the Bank’s themselves, took place in an atmosphere of open discussion, wishing that this constructive opportunity might be organized every year on a recurring basis. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 790 2021 Annual Report and Accounts · UniCredit As also stated in the financial statements report, UniCredit: • in October 2021, joined the Net Zero Banking Alliance, aimed at aligning the lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement; • is the first Italian bank to sign the commitment to “Financial Health and Inclusion”, developed under the framework of the “Principles for Responsible Banking”, as further proof of the bank’s strong social responsibility and dedication to building an inclusive economy for all stakeholders; • in 2021, through its CEO signed the CEO Champion Commitment “Towards the Zero Gender Gap”: €100 million will be invested to ensuring equal gender pay, which means equal pay for equal jobs. The Board of Statutory Auditors also noted the update of the Coal and Oil&Gas policies (submitted to the Group Non-Financial Risk Committee in December 2021), and also noted that the Group's sustainability performance was strengthened with several rating improvements in 2021 and the first part of 2022 (Sustainalytics, S&P Global, Vigeo Eiris, FTSE4Good as well as the recent inclusion in the Corporate Knights Global 100 Index, as the first Company in Italy). Based on the assumption of sustainable success as a guide for the Board of Directors’ action, the BoSA recommends that the incoming Control Body continues monitoring the integration of ESG priorities into the strategy pursued by Management. The Board of Statutory Auditors, taken note of Italian Legislative Decree No.254/2016 on the disclosure of non-financial information and the Implementing Regulation issued by Consob with a resolution dated 18 January 2018, No.20267, exercised its functions by supervising the compliance with the provisions contained therein regarding the drafting of the non-financial statement (hereinafter referred to as “DNF”) as part of the Integrated Financial Statements, approved by the Board of Directors on 8 March 2022. The Board of Statutory Auditors held several meetings with the Function responsible for the DFN’s drafting and the representatives of the appointed External Auditors (Deloitte & Touche), by examining the available documentation; the BoSA considered the Assonime Circular No.13 dated 12 June 2017, a commentary on Italian Legislative Decree No.254/2016 and Legislative Decree No.4 dated 11 February 2019, (“News on non-financial reporting”), and noted the application of the Global Rule “Preparation of Non-Financial Information for the Integrated Report Production”, aimed at defining roles, responsibilities, activities, controls and information flows of coordination between the Parent company and the Group's Companies and structures. The BoSA also acknowledged the report issued by the External Auditors on 11 March 2022, which states that no evidence has come its attention that would suggest that the DNF of the UniCredit group, regarding the financial year ended on 31 December 2021, had not been drafted in all significant aspects in compliance with the relevant regulations, and with the GRI Standards (“Global Reporting Initiative Sustainability Reporting Standards” defined by GRI - Global Reporting Initiative). Based on the information acquired, the Board of Statutory Auditors certifies that, during its examination of the non-financial statement, elements of non-compliance and/or violation of the relevant regulatory provisions have not come to its attention. 12. Additional activity by the Board of Statutory Auditors and information requested by Consob In the performance of its duties, the Board of Statutory Auditors, as required by article 2403 of the Italian Civil Code and article 149 of Legislative Decree 58/1998 Consolidated Law on Finance (TUF): • exercised oversight on the implementation of the corporate governance rules contained in the codes of conduct that the Company declares to abide by. UniCredit S.p.A. complies with the Corporate Governance Code approved by the Corporate Governance Committee promoted by Ania, Assogestioni, Assonime, Confindustria and Borsa Italiana, and has prepared, pursuant to article 123-bis of Italian Legislative Decree No.58/1998 Consolidated Law on Finance (TUF), the annual “Report on Corporate Governance and Ownership”; • exercised oversight on the adequacy of the instructions given to subsidiaries pursuant to Art.114, par.2 of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF); • exchanged half-year information and on request with the Boards of Statutory Auditors of the directly controlled companies as required by Art.151, paragraph 2, of Italian Legislative Decree No.58/1998 (TUF) and by the Supervisory Instructions of Banca d’Italia. Furthermore, in January 2022, the Board of Statutory Auditors met the Chairmen of the Boards of Statutory Auditors of the main Italian companies of the Group, in order to receive reports on any critical issues affecting the administration and control systems and the general trend of corporate activity; • in compliance with the regulations and customary practices, the BoSA met with ECB, acting as Supervisory Authority of the Parent company, for the purpose of a fruitful exchange of information on subjects of mutual interest, including specific issues illustrated in this Report. With the aim to continuously refining its functions, in compliance with the current regulatory framework and also in line with what discussed during the meetings held with the ECB in the previous financial year, the Board of Statutory Auditors followed up its program of meeting the Group’s main Legal Entities, as part of its supervisory and steering activity carried out by the parent company. To this end, the BoSA met the main company representatives and the Top Management of Zagrebacka Banka in November 2021. The meetings, which resulted in an exchange of information with the aim of an integrated governance, with particular reference to issues specific to the Bank’s themselves, took place in an atmosphere of open discussion, wishing that this constructive opportunity might be organized every year on a recurring basis. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 790 2021 Annual Report and Accounts · UniCredit As also stated in the financial statements report, UniCredit: • in October 2021, joined the Net Zero Banking Alliance, aimed at aligning the lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement; • is the first Italian bank to sign the commitment to “Financial Health and Inclusion”, developed under the framework of the “Principles for Responsible Banking”, as further proof of the bank’s strong social responsibility and dedication to building an inclusive economy for all stakeholders; • in 2021, through its CEO signed the CEO Champion Commitment “Towards the Zero Gender Gap”: €100 million will be invested to ensuring equal gender pay, which means equal pay for equal jobs. The Board of Statutory Auditors also noted the update of the Coal and Oil&Gas policies (submitted to the Group Non-Financial Risk Committee in December 2021), and also noted that the Group's sustainability performance was strengthened with several rating improvements in 2021 and the first part of 2022 (Sustainalytics, S&P Global, Vigeo Eiris, FTSE4Good as well as the recent inclusion in the Corporate Knights Global 100 Index, as the first Company in Italy). Based on the assumption of sustainable success as a guide for the Board of Directors’ action, the BoSA recommends that the incoming Control Body continues monitoring the integration of ESG priorities into the strategy pursued by Management. The Board of Statutory Auditors, taken note of Italian Legislative Decree No.254/2016 on the disclosure of non-financial information and the Implementing Regulation issued by Consob with a resolution dated 18 January 2018, No.20267, exercised its functions by supervising the compliance with the provisions contained therein regarding the drafting of the non-financial statement (hereinafter referred to as “DNF”) as part of the Integrated Financial Statements, approved by the Board of Directors on 8 March 2022. The Board of Statutory Auditors held several meetings with the Function responsible for the DFN’s drafting and the representatives of the appointed External Auditors (Deloitte & Touche), by examining the available documentation; the BoSA considered the Assonime Circular No.13 dated 12 June 2017, a commentary on Italian Legislative Decree No.254/2016 and Legislative Decree No.4 dated 11 February 2019, (“News on non-financial reporting”), and noted the application of the Global Rule “Preparation of Non-Financial Information for the Integrated Report Production”, aimed at defining roles, responsibilities, activities, controls and information flows of coordination between the Parent company and the Group's Companies and structures. The BoSA also acknowledged the report issued by the External Auditors on 11 March 2022, which states that no evidence has come its attention that would suggest that the DNF of the UniCredit group, regarding the financial year ended on 31 December 2021, had not been drafted in all significant aspects in compliance with the relevant regulations, and with the GRI Standards (“Global Reporting Initiative Sustainability Reporting Standards” defined by GRI - Global Reporting Initiative). Based on the information acquired, the Board of Statutory Auditors certifies that, during its examination of the non-financial statement, elements of non-compliance and/or violation of the relevant regulatory provisions have not come to its attention. 12. Additional activity by the Board of Statutory Auditors and information requested by Consob In the performance of its duties, the Board of Statutory Auditors, as required by article 2403 of the Italian Civil Code and article 149 of Legislative Decree 58/1998 Consolidated Law on Finance (TUF): • exercised oversight on the implementation of the corporate governance rules contained in the codes of conduct that the Company declares to abide by. UniCredit S.p.A. complies with the Corporate Governance Code approved by the Corporate Governance Committee promoted by Ania, Assogestioni, Assonime, Confindustria and Borsa Italiana, and has prepared, pursuant to article 123-bis of Italian Legislative Decree No.58/1998 Consolidated Law on Finance (TUF), the annual “Report on Corporate Governance and Ownership”; • exercised oversight on the adequacy of the instructions given to subsidiaries pursuant to Art.114, par.2 of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF); • exchanged half-year information and on request with the Boards of Statutory Auditors of the directly controlled companies as required by Art.151, paragraph 2, of Italian Legislative Decree No.58/1998 (TUF) and by the Supervisory Instructions of Banca d’Italia. Furthermore, in January 2022, the Board of Statutory Auditors met the Chairmen of the Boards of Statutory Auditors of the main Italian companies of the Group, in order to receive reports on any critical issues affecting the administration and control systems and the general trend of corporate activity; • in compliance with the regulations and customary practices, the BoSA met with ECB, acting as Supervisory Authority of the Parent company, for the purpose of a fruitful exchange of information on subjects of mutual interest, including specific issues illustrated in this Report. With the aim to continuously refining its functions, in compliance with the current regulatory framework and also in line with what discussed during the meetings held with the ECB in the previous financial year, the Board of Statutory Auditors followed up its program of meeting the Group’s main Legal Entities, as part of its supervisory and steering activity carried out by the parent company. To this end, the BoSA met the main company representatives and the Top Management of Zagrebacka Banka in November 2021. The meetings, which resulted in an exchange of information with the aim of an integrated governance, with particular reference to issues specific to the Bank’s themselves, took place in an atmosphere of open discussion, wishing that this constructive opportunity might be organized every year on a recurring basis. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 790 2021 Annual Report and Accounts · UniCredit As also stated in the financial statements report, UniCredit: • in October 2021, joined the Net Zero Banking Alliance, aimed at aligning the lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement; • is the first Italian bank to sign the commitment to “Financial Health and Inclusion”, developed under the framework of the “Principles for Responsible Banking”, as further proof of the bank’s strong social responsibility and dedication to building an inclusive economy for all stakeholders; • in 2021, through its CEO signed the CEO Champion Commitment “Towards the Zero Gender Gap”: €100 million will be invested to ensuring equal gender pay, which means equal pay for equal jobs. The Board of Statutory Auditors also noted the update of the Coal and Oil&Gas policies (submitted to the Group Non-Financial Risk Committee in December 2021), and also noted that the Group's sustainability performance was strengthened with several rating improvements in 2021 and the first part of 2022 (Sustainalytics, S&P Global, Vigeo Eiris, FTSE4Good as well as the recent inclusion in the Corporate Knights Global 100 Index, as the first Company in Italy). Based on the assumption of sustainable success as a guide for the Board of Directors’ action, the BoSA recommends that the incoming Control Body continues monitoring the integration of ESG priorities into the strategy pursued by Management. The Board of Statutory Auditors, taken note of Italian Legislative Decree No.254/2016 on the disclosure of non-financial information and the Implementing Regulation issued by Consob with a resolution dated 18 January 2018, No.20267, exercised its functions by supervising the compliance with the provisions contained therein regarding the drafting of the non-financial statement (hereinafter referred to as “DNF”) as part of the Integrated Financial Statements, approved by the Board of Directors on 8 March 2022. The Board of Statutory Auditors held several meetings with the Function responsible for the DFN’s drafting and the representatives of the appointed External Auditors (Deloitte & Touche), by examining the available documentation; the BoSA considered the Assonime Circular No.13 dated 12 June 2017, a commentary on Italian Legislative Decree No.254/2016 and Legislative Decree No.4 dated 11 February 2019, (“News on non-financial reporting”), and noted the application of the Global Rule “Preparation of Non-Financial Information for the Integrated Report Production”, aimed at defining roles, responsibilities, activities, controls and information flows of coordination between the Parent company and the Group's Companies and structures. The BoSA also acknowledged the report issued by the External Auditors on 11 March 2022, which states that no evidence has come its attention that would suggest that the DNF of the UniCredit group, regarding the financial year ended on 31 December 2021, had not been drafted in all significant aspects in compliance with the relevant regulations, and with the GRI Standards (“Global Reporting Initiative Sustainability Reporting Standards” defined by GRI - Global Reporting Initiative). Based on the information acquired, the Board of Statutory Auditors certifies that, during its examination of the non-financial statement, elements of non-compliance and/or violation of the relevant regulatory provisions have not come to its attention. 12. Additional activity by the Board of Statutory Auditors and information requested by Consob In the performance of its duties, the Board of Statutory Auditors, as required by article 2403 of the Italian Civil Code and article 149 of Legislative Decree 58/1998 Consolidated Law on Finance (TUF): • exercised oversight on the implementation of the corporate governance rules contained in the codes of conduct that the Company declares to abide by. UniCredit S.p.A. complies with the Corporate Governance Code approved by the Corporate Governance Committee promoted by Ania, Assogestioni, Assonime, Confindustria and Borsa Italiana, and has prepared, pursuant to article 123-bis of Italian Legislative Decree No.58/1998 Consolidated Law on Finance (TUF), the annual “Report on Corporate Governance and Ownership”; • exercised oversight on the adequacy of the instructions given to subsidiaries pursuant to Art.114, par.2 of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF); • exchanged half-year information and on request with the Boards of Statutory Auditors of the directly controlled companies as required by Art.151, paragraph 2, of Italian Legislative Decree No.58/1998 (TUF) and by the Supervisory Instructions of Banca d’Italia. Furthermore, in January 2022, the Board of Statutory Auditors met the Chairmen of the Boards of Statutory Auditors of the main Italian companies of the Group, in order to receive reports on any critical issues affecting the administration and control systems and the general trend of corporate activity; • in compliance with the regulations and customary practices, the BoSA met with ECB, acting as Supervisory Authority of the Parent company, for the purpose of a fruitful exchange of information on subjects of mutual interest, including specific issues illustrated in this Report. With the aim to continuously refining its functions, in compliance with the current regulatory framework and also in line with what discussed during the meetings held with the ECB in the previous financial year, the Board of Statutory Auditors followed up its program of meeting the Group’s main Legal Entities, as part of its supervisory and steering activity carried out by the parent company. To this end, the BoSA met the main company representatives and the Top Management of Zagrebacka Banka in November 2021. The meetings, which resulted in an exchange of information with the aim of an integrated governance, with particular reference to issues specific to the Bank’s themselves, took place in an atmosphere of open discussion, wishing that this constructive opportunity might be organized every year on a recurring basis. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 790 2021 Annual Report and Accounts · UniCredit As also stated in the financial statements report, UniCredit: • in October 2021, joined the Net Zero Banking Alliance, aimed at aligning the lending and investment portfolios with net-zero emissions by 2050 or sooner, in line with the most ambitious targets set by the Paris Climate Agreement; • is the first Italian bank to sign the commitment to “Financial Health and Inclusion”, developed under the framework of the “Principles for Responsible Banking”, as further proof of the bank’s strong social responsibility and dedication to building an inclusive economy for all stakeholders; • in 2021, through its CEO signed the CEO Champion Commitment “Towards the Zero Gender Gap”: €100 million will be invested to ensuring equal gender pay, which means equal pay for equal jobs. The Board of Statutory Auditors also noted the update of the Coal and Oil&Gas policies (submitted to the Group Non-Financial Risk Committee in December 2021), and also noted that the Group's sustainability performance was strengthened with several rating improvements in 2021 and the first part of 2022 (Sustainalytics, S&P Global, Vigeo Eiris, FTSE4Good as well as the recent inclusion in the Corporate Knights Global 100 Index, as the first Company in Italy). Based on the assumption of sustainable success as a guide for the Board of Directors’ action, the BoSA recommends that the incoming Control Body continues monitoring the integration of ESG priorities into the strategy pursued by Management. The Board of Statutory Auditors, taken note of Italian Legislative Decree No.254/2016 on the disclosure of non-financial information and the Implementing Regulation issued by Consob with a resolution dated 18 January 2018, No.20267, exercised its functions by supervising the compliance with the provisions contained therein regarding the drafting of the non-financial statement (hereinafter referred to as “DNF”) as part of the Integrated Financial Statements, approved by the Board of Directors on 8 March 2022. The Board of Statutory Auditors held several meetings with the Function responsible for the DFN’s drafting and the representatives of the appointed External Auditors (Deloitte & Touche), by examining the available documentation; the BoSA considered the Assonime Circular No.13 dated 12 June 2017, a commentary on Italian Legislative Decree No.254/2016 and Legislative Decree No.4 dated 11 February 2019, (“News on non-financial reporting”), and noted the application of the Global Rule “Preparation of Non-Financial Information for the Integrated Report Production”, aimed at defining roles, responsibilities, activities, controls and information flows of coordination between the Parent company and the Group's Companies and structures. The BoSA also acknowledged the report issued by the External Auditors on 11 March 2022, which states that no evidence has come its attention that would suggest that the DNF of the UniCredit group, regarding the financial year ended on 31 December 2021, had not been drafted in all significant aspects in compliance with the relevant regulations, and with the GRI Standards (“Global Reporting Initiative Sustainability Reporting Standards” defined by GRI - Global Reporting Initiative). Based on the information acquired, the Board of Statutory Auditors certifies that, during its examination of the non-financial statement, elements of non-compliance and/or violation of the relevant regulatory provisions have not come to its attention. 12. Additional activity by the Board of Statutory Auditors and information requested by Consob In the performance of its duties, the Board of Statutory Auditors, as required by article 2403 of the Italian Civil Code and article 149 of Legislative Decree 58/1998 Consolidated Law on Finance (TUF): • exercised oversight on the implementation of the corporate governance rules contained in the codes of conduct that the Company declares to abide by. UniCredit S.p.A. complies with the Corporate Governance Code approved by the Corporate Governance Committee promoted by Ania, Assogestioni, Assonime, Confindustria and Borsa Italiana, and has prepared, pursuant to article 123-bis of Italian Legislative Decree No.58/1998 Consolidated Law on Finance (TUF), the annual “Report on Corporate Governance and Ownership”; • exercised oversight on the adequacy of the instructions given to subsidiaries pursuant to Art.114, par.2 of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF); • exchanged half-year information and on request with the Boards of Statutory Auditors of the directly controlled companies as required by Art.151, paragraph 2, of Italian Legislative Decree No.58/1998 (TUF) and by the Supervisory Instructions of Banca d’Italia. Furthermore, in January 2022, the Board of Statutory Auditors met the Chairmen of the Boards of Statutory Auditors of the main Italian companies of the Group, in order to receive reports on any critical issues affecting the administration and control systems and the general trend of corporate activity; • in compliance with the regulations and customary practices, the BoSA met with ECB, acting as Supervisory Authority of the Parent company, for the purpose of a fruitful exchange of information on subjects of mutual interest, including specific issues illustrated in this Report. With the aim to continuously refining its functions, in compliance with the current regulatory framework and also in line with what discussed during the meetings held with the ECB in the previous financial year, the Board of Statutory Auditors followed up its program of meeting the Group’s main Legal Entities, as part of its supervisory and steering activity carried out by the parent company. To this end, the BoSA met the main company representatives and the Top Management of Zagrebacka Banka in November 2021. The meetings, which resulted in an exchange of information with the aim of an integrated governance, with particular reference to issues specific to the Bank’s themselves, took place in an atmosphere of open discussion, wishing that this constructive opportunity might be organized every year on a recurring basis. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 791 Since the date of the previous Report of the Board of Statutory Auditors (10 March 2021) and up to the date of this Report (11 March 2022), the following communications have been received, defined by the shareholders as complaints pursuant to article No.2408 of the Italian Civil Code: • an email communication, dated 13 April 2021, received from Bluebell Capital Partners Limited, in which the Shareholder, with reference to some questions posed by the Shareholder in the phase prior to the Shareholders’ Meeting of 15 April 2021, complained of not having received replies (supporting the relevance of the questions to the items on the agenda), or considered the replies received by the Bank to be unsatisfactory; • an e-mail communication, dated 25 June 2021, received from Bluebell Capital Partners Limited, by which the Shareholder requested the attention of the Board of Statutory Auditors on the issue of guarantees by the Bank in favor of a civil party constituted in the criminal proceedings related to the bankruptcy of the Company Divania S.p.A. The Shareholder points out that such issue, resulting from obtaining by the said civil party of a preventive seizure on the assets of the persons accused in the criminal proceedings, that is, employees/former employees and former managers of UniCredit S.p.A., would have allowed the defendants themselves to obtain the release from seizure of their assets even if the Bank was not involved in the precautionary proceedings; • a communication by certified e-mail and registered letter, dated 21 January 2022, received from Mr. Francesco Santoro, in which the Shareholder, in relation to some transactions involving the sale of non-performing loans carried out in recent years by the Bank, asked the Board of Statutory Auditors to ascertain any criminal profile in relation, specifically, to the crimes of false corporate communications and self-laundering; • a communication by certified e-mail, dated 14 February 2022, received from Mr. Marco Bava, in which the Shareholder criticized a transaction between the Bank and a natural person in relation to a dispute of approximately €16 million and asked the Board of Statutory Auditors to examine such matter. In response to the reports received, the Board of Statutory Auditors promptly carried out adequate in-depth analyses, gathering the information necessary to examine and evaluate the cases submitted with the support of the Bank’s relevant Functions. The Board of Statutory Auditors, having verified whether the complained facts were well-founded, in all cases shared the reasonableness of the conclusions proposed by such Functions. Thus, at the end of the analyses carried out, no irregularities were detected that required reporting to the Shareholders’ Meeting. In the same period, the Board of Statutory Auditors received three communications which could be qualified as complaints to the Supervisory Authorities. These communications were analyzed by the Board of Statutory Auditors, which acted promptly to obtain the information necessary to examine and assess the cases submitted from the competent structures. The analyses carried out did not reveal any cases worthy of mention and, to date, no follow-up has been received from the authorities concerned. During the year, the Board of Statutory Auditors, in addition to what has already been specifically stated in this Report, issued the opinions, and expressed the observations that the current regulations and supervisory provisions for banks assign to its responsibility. Furthermore, the Board of Statutory Auditors reports that: • it has taken note of the self-assessment required by the regulatory provisions, carried out by the Board of Directors in the meeting held on 3 March 2022; • it found that the criteria and procedures establishing the requirements of independence adopted by the Board of Directors (at the Board meeting held on 5 May 2021) to assess the independence of its Members and the substitute Auditor appointed by the Shareholders’ Meeting of 15 April 2021, were correctly applied; • it found that the Board of Directors carried out the verification of the positions held for the purposes of the interlocking prohibition pursuant to article 36 of Italian Legislative Decree 201/2011; • it verified the fulfilment of the independence requirements of the individual members of the Board of Statutory Auditors and carried out, periodically and occasionally, the acknowledgement and the assessments concerning the communications received by the individual members regarding the number of awarded/lapsed appointments and the associated time commitment; • in addition to the Board Meetings, it participated in specific meetings with the Directors, also open to the Statutory Auditors, dedicated to the perspectives and key elements of the strategy of the Group and the entire European Banking Sector; • it oversaw that the transactions undertaken with persons with administrative, managerial or control functions were always conducted in compliance with Art.136 Consolidated Law on Banking (TUB) and Supervisory Instructions. The Board of Statutory Auditors does not deem it necessary to exercise the option of making proposals to the Shareholders’ Meeting pursuant to Art.153, second paragraph of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF). Corporate Governance The Board of Statutory Auditors of UniCredit S.p.A. operates within the framework of an integrated governance and of adequate and structured internal corporate information flows. The BoSA took note of the information provided in the Report on Corporate Governance and Ownership Structures, approved by the Board of Directors during the meeting held on 8 March 2022. Since 2001, UniCredit has adopted the Code of Corporate Governance for the Italian Companies with listed shares, issued by the Corporate Governance Committee: in January 2020, the Corporate Governance Committee issued a new version of the Code of Corporate Governance, to be applied starting from 2021. The new features to be assessed when implementing the best practices of the new Code include the proportional application of certain recommendations, proportionate on the basis of the size and of the ownership structures of the Company. UniCredit, being a large company, applies the recommendations addressed to the category of “large companies”. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 791 Since the date of the previous Report of the Board of Statutory Auditors (10 March 2021) and up to the date of this Report (11 March 2022), the following communications have been received, defined by the shareholders as complaints pursuant to article No.2408 of the Italian Civil Code: • an email communication, dated 13 April 2021, received from Bluebell Capital Partners Limited, in which the Shareholder, with reference to some questions posed by the Shareholder in the phase prior to the Shareholders’ Meeting of 15 April 2021, complained of not having received replies (supporting the relevance of the questions to the items on the agenda), or considered the replies received by the Bank to be unsatisfactory; • an e-mail communication, dated 25 June 2021, received from Bluebell Capital Partners Limited, by which the Shareholder requested the attention of the Board of Statutory Auditors on the issue of guarantees by the Bank in favor of a civil party constituted in the criminal proceedings related to the bankruptcy of the Company Divania S.p.A. The Shareholder points out that such issue, resulting from obtaining by the said civil party of a preventive seizure on the assets of the persons accused in the criminal proceedings, that is, employees/former employees and former managers of UniCredit S.p.A., would have allowed the defendants themselves to obtain the release from seizure of their assets even if the Bank was not involved in the precautionary proceedings; • a communication by certified e-mail and registered letter, dated 21 January 2022, received from Mr. Francesco Santoro, in which the Shareholder, in relation to some transactions involving the sale of non-performing loans carried out in recent years by the Bank, asked the Board of Statutory Auditors to ascertain any criminal profile in relation, specifically, to the crimes of false corporate communications and self-laundering; • a communication by certified e-mail, dated 14 February 2022, received from Mr. Marco Bava, in which the Shareholder criticized a transaction between the Bank and a natural person in relation to a dispute of approximately €16 million and asked the Board of Statutory Auditors to examine such matter. In response to the reports received, the Board of Statutory Auditors promptly carried out adequate in-depth analyses, gathering the information necessary to examine and evaluate the cases submitted with the support of the Bank’s relevant Functions. The Board of Statutory Auditors, having verified whether the complained facts were well-founded, in all cases shared the reasonableness of the conclusions proposed by such Functions. Thus, at the end of the analyses carried out, no irregularities were detected that required reporting to the Shareholders’ Meeting. In the same period, the Board of Statutory Auditors received three communications which could be qualified as complaints to the Supervisory Authorities. These communications were analyzed by the Board of Statutory Auditors, which acted promptly to obtain the information necessary to examine and assess the cases submitted from the competent structures. The analyses carried out did not reveal any cases worthy of mention and, to date, no follow-up has been received from the authorities concerned. During the year, the Board of Statutory Auditors, in addition to what has already been specifically stated in this Report, issued the opinions, and expressed the observations that the current regulations and supervisory provisions for banks assign to its responsibility. Furthermore, the Board of Statutory Auditors reports that: • it has taken note of the self-assessment required by the regulatory provisions, carried out by the Board of Directors in the meeting held on 3 March 2022; • it found that the criteria and procedures establishing the requirements of independence adopted by the Board of Directors (at the Board meeting held on 5 May 2021) to assess the independence of its Members and the substitute Auditor appointed by the Shareholders’ Meeting of 15 April 2021, were correctly applied; • it found that the Board of Directors carried out the verification of the positions held for the purposes of the interlocking prohibition pursuant to article 36 of Italian Legislative Decree 201/2011; • it verified the fulfilment of the independence requirements of the individual members of the Board of Statutory Auditors and carried out, periodically and occasionally, the acknowledgement and the assessments concerning the communications received by the individual members regarding the number of awarded/lapsed appointments and the associated time commitment; • in addition to the Board Meetings, it participated in specific meetings with the Directors, also open to the Statutory Auditors, dedicated to the perspectives and key elements of the strategy of the Group and the entire European Banking Sector; • it oversaw that the transactions undertaken with persons with administrative, managerial or control functions were always conducted in compliance with Art.136 Consolidated Law on Banking (TUB) and Supervisory Instructions. The Board of Statutory Auditors does not deem it necessary to exercise the option of making proposals to the Shareholders’ Meeting pursuant to Art.153, second paragraph of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF). Corporate Governance The Board of Statutory Auditors of UniCredit S.p.A. operates within the framework of an integrated governance and of adequate and structured internal corporate information flows. The BoSA took note of the information provided in the Report on Corporate Governance and Ownership Structures, approved by the Board of Directors during the meeting held on 8 March 2022. Since 2001, UniCredit has adopted the Code of Corporate Governance for the Italian Companies with listed shares, issued by the Corporate Governance Committee: in January 2020, the Corporate Governance Committee issued a new version of the Code of Corporate Governance, to be applied starting from 2021. The new features to be assessed when implementing the best practices of the new Code include the proportional application of certain recommendations, proportionate on the basis of the size and of the ownership structures of the Company. UniCredit, being a large company, applies the recommendations addressed to the category of “large companies”. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 791 Since the date of the previous Report of the Board of Statutory Auditors (10 March 2021) and up to the date of this Report (11 March 2022), the following communications have been received, defined by the shareholders as complaints pursuant to article No.2408 of the Italian Civil Code: • an email communication, dated 13 April 2021, received from Bluebell Capital Partners Limited, in which the Shareholder, with reference to some questions posed by the Shareholder in the phase prior to the Shareholders’ Meeting of 15 April 2021, complained of not having received replies (supporting the relevance of the questions to the items on the agenda), or considered the replies received by the Bank to be unsatisfactory; • an e-mail communication, dated 25 June 2021, received from Bluebell Capital Partners Limited, by which the Shareholder requested the attention of the Board of Statutory Auditors on the issue of guarantees by the Bank in favor of a civil party constituted in the criminal proceedings related to the bankruptcy of the Company Divania S.p.A. The Shareholder points out that such issue, resulting from obtaining by the said civil party of a preventive seizure on the assets of the persons accused in the criminal proceedings, that is, employees/former employees and former managers of UniCredit S.p.A., would have allowed the defendants themselves to obtain the release from seizure of their assets even if the Bank was not involved in the precautionary proceedings; • a communication by certified e-mail and registered letter, dated 21 January 2022, received from Mr. Francesco Santoro, in which the Shareholder, in relation to some transactions involving the sale of non-performing loans carried out in recent years by the Bank, asked the Board of Statutory Auditors to ascertain any criminal profile in relation, specifically, to the crimes of false corporate communications and self-laundering; • a communication by certified e-mail, dated 14 February 2022, received from Mr. Marco Bava, in which the Shareholder criticized a transaction between the Bank and a natural person in relation to a dispute of approximately €16 million and asked the Board of Statutory Auditors to examine such matter. In response to the reports received, the Board of Statutory Auditors promptly carried out adequate in-depth analyses, gathering the information necessary to examine and evaluate the cases submitted with the support of the Bank’s relevant Functions. The Board of Statutory Auditors, having verified whether the complained facts were well-founded, in all cases shared the reasonableness of the conclusions proposed by such Functions. Thus, at the end of the analyses carried out, no irregularities were detected that required reporting to the Shareholders’ Meeting. In the same period, the Board of Statutory Auditors received three communications which could be qualified as complaints to the Supervisory Authorities. These communications were analyzed by the Board of Statutory Auditors, which acted promptly to obtain the information necessary to examine and assess the cases submitted from the competent structures. The analyses carried out did not reveal any cases worthy of mention and, to date, no follow-up has been received from the authorities concerned. During the year, the Board of Statutory Auditors, in addition to what has already been specifically stated in this Report, issued the opinions, and expressed the observations that the current regulations and supervisory provisions for banks assign to its responsibility. Furthermore, the Board of Statutory Auditors reports that: • it has taken note of the self-assessment required by the regulatory provisions, carried out by the Board of Directors in the meeting held on 3 March 2022; • it found that the criteria and procedures establishing the requirements of independence adopted by the Board of Directors (at the Board meeting held on 5 May 2021) to assess the independence of its Members and the substitute Auditor appointed by the Shareholders’ Meeting of 15 April 2021, were correctly applied; • it found that the Board of Directors carried out the verification of the positions held for the purposes of the interlocking prohibition pursuant to article 36 of Italian Legislative Decree 201/2011; • it verified the fulfilment of the independence requirements of the individual members of the Board of Statutory Auditors and carried out, periodically and occasionally, the acknowledgement and the assessments concerning the communications received by the individual members regarding the number of awarded/lapsed appointments and the associated time commitment; • in addition to the Board Meetings, it participated in specific meetings with the Directors, also open to the Statutory Auditors, dedicated to the perspectives and key elements of the strategy of the Group and the entire European Banking Sector; • it oversaw that the transactions undertaken with persons with administrative, managerial or control functions were always conducted in compliance with Art.136 Consolidated Law on Banking (TUB) and Supervisory Instructions. The Board of Statutory Auditors does not deem it necessary to exercise the option of making proposals to the Shareholders’ Meeting pursuant to Art.153, second paragraph of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF). Corporate Governance The Board of Statutory Auditors of UniCredit S.p.A. operates within the framework of an integrated governance and of adequate and structured internal corporate information flows. The BoSA took note of the information provided in the Report on Corporate Governance and Ownership Structures, approved by the Board of Directors during the meeting held on 8 March 2022. Since 2001, UniCredit has adopted the Code of Corporate Governance for the Italian Companies with listed shares, issued by the Corporate Governance Committee: in January 2020, the Corporate Governance Committee issued a new version of the Code of Corporate Governance, to be applied starting from 2021. The new features to be assessed when implementing the best practices of the new Code include the proportional application of certain recommendations, proportionate on the basis of the size and of the ownership structures of the Company. UniCredit, being a large company, applies the recommendations addressed to the category of “large companies”. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 791 Since the date of the previous Report of the Board of Statutory Auditors (10 March 2021) and up to the date of this Report (11 March 2022), the following communications have been received, defined by the shareholders as complaints pursuant to article No.2408 of the Italian Civil Code: • an email communication, dated 13 April 2021, received from Bluebell Capital Partners Limited, in which the Shareholder, with reference to some questions posed by the Shareholder in the phase prior to the Shareholders’ Meeting of 15 April 2021, complained of not having received replies (supporting the relevance of the questions to the items on the agenda), or considered the replies received by the Bank to be unsatisfactory; • an e-mail communication, dated 25 June 2021, received from Bluebell Capital Partners Limited, by which the Shareholder requested the attention of the Board of Statutory Auditors on the issue of guarantees by the Bank in favor of a civil party constituted in the criminal proceedings related to the bankruptcy of the Company Divania S.p.A. The Shareholder points out that such issue, resulting from obtaining by the said civil party of a preventive seizure on the assets of the persons accused in the criminal proceedings, that is, employees/former employees and former managers of UniCredit S.p.A., would have allowed the defendants themselves to obtain the release from seizure of their assets even if the Bank was not involved in the precautionary proceedings; • a communication by certified e-mail and registered letter, dated 21 January 2022, received from Mr. Francesco Santoro, in which the Shareholder, in relation to some transactions involving the sale of non-performing loans carried out in recent years by the Bank, asked the Board of Statutory Auditors to ascertain any criminal profile in relation, specifically, to the crimes of false corporate communications and self-laundering; • a communication by certified e-mail, dated 14 February 2022, received from Mr. Marco Bava, in which the Shareholder criticized a transaction between the Bank and a natural person in relation to a dispute of approximately €16 million and asked the Board of Statutory Auditors to examine such matter. In response to the reports received, the Board of Statutory Auditors promptly carried out adequate in-depth analyses, gathering the information necessary to examine and evaluate the cases submitted with the support of the Bank’s relevant Functions. The Board of Statutory Auditors, having verified whether the complained facts were well-founded, in all cases shared the reasonableness of the conclusions proposed by such Functions. Thus, at the end of the analyses carried out, no irregularities were detected that required reporting to the Shareholders’ Meeting. In the same period, the Board of Statutory Auditors received three communications which could be qualified as complaints to the Supervisory Authorities. These communications were analyzed by the Board of Statutory Auditors, which acted promptly to obtain the information necessary to examine and assess the cases submitted from the competent structures. The analyses carried out did not reveal any cases worthy of mention and, to date, no follow-up has been received from the authorities concerned. During the year, the Board of Statutory Auditors, in addition to what has already been specifically stated in this Report, issued the opinions, and expressed the observations that the current regulations and supervisory provisions for banks assign to its responsibility. Furthermore, the Board of Statutory Auditors reports that: • it has taken note of the self-assessment required by the regulatory provisions, carried out by the Board of Directors in the meeting held on 3 March 2022; • it found that the criteria and procedures establishing the requirements of independence adopted by the Board of Directors (at the Board meeting held on 5 May 2021) to assess the independence of its Members and the substitute Auditor appointed by the Shareholders’ Meeting of 15 April 2021, were correctly applied; • it found that the Board of Directors carried out the verification of the positions held for the purposes of the interlocking prohibition pursuant to article 36 of Italian Legislative Decree 201/2011; • it verified the fulfilment of the independence requirements of the individual members of the Board of Statutory Auditors and carried out, periodically and occasionally, the acknowledgement and the assessments concerning the communications received by the individual members regarding the number of awarded/lapsed appointments and the associated time commitment; • in addition to the Board Meetings, it participated in specific meetings with the Directors, also open to the Statutory Auditors, dedicated to the perspectives and key elements of the strategy of the Group and the entire European Banking Sector; • it oversaw that the transactions undertaken with persons with administrative, managerial or control functions were always conducted in compliance with Art.136 Consolidated Law on Banking (TUB) and Supervisory Instructions. The Board of Statutory Auditors does not deem it necessary to exercise the option of making proposals to the Shareholders’ Meeting pursuant to Art.153, second paragraph of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF). Corporate Governance The Board of Statutory Auditors of UniCredit S.p.A. operates within the framework of an integrated governance and of adequate and structured internal corporate information flows. The BoSA took note of the information provided in the Report on Corporate Governance and Ownership Structures, approved by the Board of Directors during the meeting held on 8 March 2022. Since 2001, UniCredit has adopted the Code of Corporate Governance for the Italian Companies with listed shares, issued by the Corporate Governance Committee: in January 2020, the Corporate Governance Committee issued a new version of the Code of Corporate Governance, to be applied starting from 2021. The new features to be assessed when implementing the best practices of the new Code include the proportional application of certain recommendations, proportionate on the basis of the size and of the ownership structures of the Company. UniCredit, being a large company, applies the recommendations addressed to the category of “large companies”. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 791 Since the date of the previous Report of the Board of Statutory Auditors (10 March 2021) and up to the date of this Report (11 March 2022), the following communications have been received, defined by the shareholders as complaints pursuant to article No.2408 of the Italian Civil Code: • an email communication, dated 13 April 2021, received from Bluebell Capital Partners Limited, in which the Shareholder, with reference to some questions posed by the Shareholder in the phase prior to the Shareholders’ Meeting of 15 April 2021, complained of not having received replies (supporting the relevance of the questions to the items on the agenda), or considered the replies received by the Bank to be unsatisfactory; • an e-mail communication, dated 25 June 2021, received from Bluebell Capital Partners Limited, by which the Shareholder requested the attention of the Board of Statutory Auditors on the issue of guarantees by the Bank in favor of a civil party constituted in the criminal proceedings related to the bankruptcy of the Company Divania S.p.A. The Shareholder points out that such issue, resulting from obtaining by the said civil party of a preventive seizure on the assets of the persons accused in the criminal proceedings, that is, employees/former employees and former managers of UniCredit S.p.A., would have allowed the defendants themselves to obtain the release from seizure of their assets even if the Bank was not involved in the precautionary proceedings; • a communication by certified e-mail and registered letter, dated 21 January 2022, received from Mr. Francesco Santoro, in which the Shareholder, in relation to some transactions involving the sale of non-performing loans carried out in recent years by the Bank, asked the Board of Statutory Auditors to ascertain any criminal profile in relation, specifically, to the crimes of false corporate communications and self-laundering; • a communication by certified e-mail, dated 14 February 2022, received from Mr. Marco Bava, in which the Shareholder criticized a transaction between the Bank and a natural person in relation to a dispute of approximately €16 million and asked the Board of Statutory Auditors to examine such matter. In response to the reports received, the Board of Statutory Auditors promptly carried out adequate in-depth analyses, gathering the information necessary to examine and evaluate the cases submitted with the support of the Bank’s relevant Functions. The Board of Statutory Auditors, having verified whether the complained facts were well-founded, in all cases shared the reasonableness of the conclusions proposed by such Functions. Thus, at the end of the analyses carried out, no irregularities were detected that required reporting to the Shareholders’ Meeting. In the same period, the Board of Statutory Auditors received three communications which could be qualified as complaints to the Supervisory Authorities. These communications were analyzed by the Board of Statutory Auditors, which acted promptly to obtain the information necessary to examine and assess the cases submitted from the competent structures. The analyses carried out did not reveal any cases worthy of mention and, to date, no follow-up has been received from the authorities concerned. During the year, the Board of Statutory Auditors, in addition to what has already been specifically stated in this Report, issued the opinions, and expressed the observations that the current regulations and supervisory provisions for banks assign to its responsibility. Furthermore, the Board of Statutory Auditors reports that: • it has taken note of the self-assessment required by the regulatory provisions, carried out by the Board of Directors in the meeting held on 3 March 2022; • it found that the criteria and procedures establishing the requirements of independence adopted by the Board of Directors (at the Board meeting held on 5 May 2021) to assess the independence of its Members and the substitute Auditor appointed by the Shareholders’ Meeting of 15 April 2021, were correctly applied; • it found that the Board of Directors carried out the verification of the positions held for the purposes of the interlocking prohibition pursuant to article 36 of Italian Legislative Decree 201/2011; • it verified the fulfilment of the independence requirements of the individual members of the Board of Statutory Auditors and carried out, periodically and occasionally, the acknowledgement and the assessments concerning the communications received by the individual members regarding the number of awarded/lapsed appointments and the associated time commitment; • in addition to the Board Meetings, it participated in specific meetings with the Directors, also open to the Statutory Auditors, dedicated to the perspectives and key elements of the strategy of the Group and the entire European Banking Sector; • it oversaw that the transactions undertaken with persons with administrative, managerial or control functions were always conducted in compliance with Art.136 Consolidated Law on Banking (TUB) and Supervisory Instructions. The Board of Statutory Auditors does not deem it necessary to exercise the option of making proposals to the Shareholders’ Meeting pursuant to Art.153, second paragraph of Italian Legislative Decree 58/1998 Consolidated Law on Finance (TUF). Corporate Governance The Board of Statutory Auditors of UniCredit S.p.A. operates within the framework of an integrated governance and of adequate and structured internal corporate information flows. The BoSA took note of the information provided in the Report on Corporate Governance and Ownership Structures, approved by the Board of Directors during the meeting held on 8 March 2022. Since 2001, UniCredit has adopted the Code of Corporate Governance for the Italian Companies with listed shares, issued by the Corporate Governance Committee: in January 2020, the Corporate Governance Committee issued a new version of the Code of Corporate Governance, to be applied starting from 2021. The new features to be assessed when implementing the best practices of the new Code include the proportional application of certain recommendations, proportionate on the basis of the size and of the ownership structures of the Company. UniCredit, being a large company, applies the recommendations addressed to the category of “large companies”. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 792 2021 Annual Report and Accounts · UniCredit Considering that 2022 represents the first year in which the companies are called to disclose the means for implementing the new Code, the Italian Corporate Governance Committee deemed appropriate to draft certain recommendations in order to support the compliance process. Specifically, the above Committee, while acknowledging the convenience of a proportionate approach in the implementing process, encouraged the Boards of Directors to provide a description of their choices as to the following matters and with reference to the areas subject to greater impact, as indicated in the letter of the Chair of said Committee dated 3 December 2021: • sustainable success: integration of sustainability in strategies, in controls system and in remunerations; dialogue with the generality of shareholders and initiatives to encourage the dialogue with the relevant stakeholders; • assessment of independence; • pre-meeting information; • process for the appointment and succession of Directors (specifically addressed to companies qualifying as “non concentrated”); • gender equality; • remuneration policies. The Board of Statutory Auditors attended the meetings of the Board of Directors and of the relevant Committees of UniCredit S.p.A. - through the Chairman or other appointed Statutory Auditor - where the above-mentioned aspects were the subject of attention and discussion, and the above-mentioned Report on Corporate Governance and Ownership Structures provides a comprehensive description of the initiatives taken by the Bank in this respect. The Board of Statutory Auditors agrees with the related considerations expressed by the Bank in the above-mentioned Report on Corporate Governance and Ownership Structure, regarding the good quality of the UniCredit Corporate Governance and the lack of criticalities with reference to the above-mentioned aspects highlighted in the letter of the Italian Corporate Governance Committee. The Board of Statutory Auditors has also constantly monitored how the recommendations of the Corporate Governance Code are actually implemented, intervening with specific requests deemed appropriate, specifically with reference to the pre-meeting information timeliness which shows room for improvement, as recognized by the Bank itself in the Report. The Board of Statutory Auditors also highlights the improvements achieved with regard to sustainability, including an accelerated process of integration of ESG variables into the Bank’s strategy and business. In this regard, the Board of Statutory Auditors highlights the set-up of a new ESG Committee within the Board of Directors and the approval of a new ESG strategy (declared “key” component of the new “UniCredit Unlocked” Strategic Plan). Lastly, with reference to the measures adopted to promote equal opportunities and treatment between genders, the Board of Statutory Auditors notes positively that UniCredit has recently issued the Diversity, Equity, and Inclusion Global Policy to enhance the inclusion of such key principles within the whole organization and in every moment of its employees’ journey, from recruiting and onboarding, to learning and development, performance management and compensation. Furthermore, a dedicated monitoring process including relevant metrics and KPIs in the gender diversity dashboard is in place, and relevant data, commitments and initiatives are disclosed within the yearly Group Integrated Report. On 22 February 2022, the Board of Statutory Auditors completed the self-assessment process on the adequacy in terms of composition, correct and effective functioning of the Body itself. The self-assessment process was carried out in compliance with the Regulations for Corporate Bodies and Committees, adopted in compliance with the Supervisory Provisions on Corporate Governance for Banks and in compliance with the indications contained in the document “Self-assessment of the Board of Statutory Auditors” issued by the National Council of Chartered Accountants and Accounting Experts in May 2019, and without employing external consultants. The Board of Statutory Auditors carried out the self-assessment on its composition, considering it adequate, also in the light of its development over time and the diversity in terms of skills, competences, and expertise, as well as gender, which ensured the effective ongoing functioning of the Body. In view of the renewal of the Board of Statutory Auditors for the 2022-202 financial years, the Board of Statutory Auditors approved the document “Qualitative and quantitative composition of UniCredit S.p.A. Board of Statutory Auditors” with which, in compliance with current regulations, it has previously identified its own qualitative-quantitative composition of the Control Body deemed to be optimal with respect to the goals indicated by the applicable rules, identifying and justifying the theoretical profile (including characteristics of experience, competence and independence) of the candidates that is appropriate to such end, as well as the commitment required. The result of the analysis carried out by the Control Body has been made available to the Shareholders - by means of publication on the Company’s website starting from 21 February 2022 - so that they could take it into account when choosing candidates. The Board of Statutory Auditors reported every six months to the Board of Directors and the IC&RC about the main activities carried out and the recommendations made. In addition to what has already been stated in paragraph 1. “Appointment and activities of the Board of Statutory Auditors” regarding attendance at meetings of the Bodies, the Board of Statutory Auditors received the usual information flows, during the period (provided for in the “Corporate Bodies and Committees Regulation” and in the policies) on the activities of the Remuneration Committee and Related-Party transactions. Starting from May 2020, the attendance of the Members of the Board of Statutory Auditors at the meetings of the Board Committees has increased according to the modalities reported in the above-mentioned paragraph 1. The Board of Statutory Auditors has verified how the increase in its attendance at the said Committees has decisively contributed to its effectiveness. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 792 2021 Annual Report and Accounts · UniCredit Considering that 2022 represents the first year in which the companies are called to disclose the means for implementing the new Code, the Italian Corporate Governance Committee deemed appropriate to draft certain recommendations in order to support the compliance process. Specifically, the above Committee, while acknowledging the convenience of a proportionate approach in the implementing process, encouraged the Boards of Directors to provide a description of their choices as to the following matters and with reference to the areas subject to greater impact, as indicated in the letter of the Chair of said Committee dated 3 December 2021: • sustainable success: integration of sustainability in strategies, in controls system and in remunerations; dialogue with the generality of shareholders and initiatives to encourage the dialogue with the relevant stakeholders; • assessment of independence; • pre-meeting information; • process for the appointment and succession of Directors (specifically addressed to companies qualifying as “non concentrated”); • gender equality; • remuneration policies. The Board of Statutory Auditors attended the meetings of the Board of Directors and of the relevant Committees of UniCredit S.p.A. - through the Chairman or other appointed Statutory Auditor - where the above-mentioned aspects were the subject of attention and discussion, and the above-mentioned Report on Corporate Governance and Ownership Structures provides a comprehensive description of the initiatives taken by the Bank in this respect. The Board of Statutory Auditors agrees with the related considerations expressed by the Bank in the above-mentioned Report on Corporate Governance and Ownership Structure, regarding the good quality of the UniCredit Corporate Governance and the lack of criticalities with reference to the above-mentioned aspects highlighted in the letter of the Italian Corporate Governance Committee. The Board of Statutory Auditors has also constantly monitored how the recommendations of the Corporate Governance Code are actually implemented, intervening with specific requests deemed appropriate, specifically with reference to the pre-meeting information timeliness which shows room for improvement, as recognized by the Bank itself in the Report. The Board of Statutory Auditors also highlights the improvements achieved with regard to sustainability, including an accelerated process of integration of ESG variables into the Bank’s strategy and business. In this regard, the Board of Statutory Auditors highlights the set-up of a new ESG Committee within the Board of Directors and the approval of a new ESG strategy (declared “key” component of the new “UniCredit Unlocked” Strategic Plan). Lastly, with reference to the measures adopted to promote equal opportunities and treatment between genders, the Board of Statutory Auditors notes positively that UniCredit has recently issued the Diversity, Equity, and Inclusion Global Policy to enhance the inclusion of such key principles within the whole organization and in every moment of its employees’ journey, from recruiting and onboarding, to learning and development, performance management and compensation. Furthermore, a dedicated monitoring process including relevant metrics and KPIs in the gender diversity dashboard is in place, and relevant data, commitments and initiatives are disclosed within the yearly Group Integrated Report. On 22 February 2022, the Board of Statutory Auditors completed the self-assessment process on the adequacy in terms of composition, correct and effective functioning of the Body itself. The self-assessment process was carried out in compliance with the Regulations for Corporate Bodies and Committees, adopted in compliance with the Supervisory Provisions on Corporate Governance for Banks and in compliance with the indications contained in the document “Self-assessment of the Board of Statutory Auditors” issued by the National Council of Chartered Accountants and Accounting Experts in May 2019, and without employing external consultants. The Board of Statutory Auditors carried out the self-assessment on its composition, considering it adequate, also in the light of its development over time and the diversity in terms of skills, competences, and expertise, as well as gender, which ensured the effective ongoing functioning of the Body. In view of the renewal of the Board of Statutory Auditors for the 2022-202 financial years, the Board of Statutory Auditors approved the document “Qualitative and quantitative composition of UniCredit S.p.A. Board of Statutory Auditors” with which, in compliance with current regulations, it has previously identified its own qualitative-quantitative composition of the Control Body deemed to be optimal with respect to the goals indicated by the applicable rules, identifying and justifying the theoretical profile (including characteristics of experience, competence and independence) of the candidates that is appropriate to such end, as well as the commitment required. The result of the analysis carried out by the Control Body has been made available to the Shareholders - by means of publication on the Company’s website starting from 21 February 2022 - so that they could take it into account when choosing candidates. The Board of Statutory Auditors reported every six months to the Board of Directors and the IC&RC about the main activities carried out and the recommendations made. In addition to what has already been stated in paragraph 1. “Appointment and activities of the Board of Statutory Auditors” regarding attendance at meetings of the Bodies, the Board of Statutory Auditors received the usual information flows, during the period (provided for in the “Corporate Bodies and Committees Regulation” and in the policies) on the activities of the Remuneration Committee and Related-Party transactions. Starting from May 2020, the attendance of the Members of the Board of Statutory Auditors at the meetings of the Board Committees has increased according to the modalities reported in the above-mentioned paragraph 1. The Board of Statutory Auditors has verified how the increase in its attendance at the said Committees has decisively contributed to its effectiveness. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 792 2021 Annual Report and Accounts · UniCredit Considering that 2022 represents the first year in which the companies are called to disclose the means for implementing the new Code, the Italian Corporate Governance Committee deemed appropriate to draft certain recommendations in order to support the compliance process. Specifically, the above Committee, while acknowledging the convenience of a proportionate approach in the implementing process, encouraged the Boards of Directors to provide a description of their choices as to the following matters and with reference to the areas subject to greater impact, as indicated in the letter of the Chair of said Committee dated 3 December 2021: • sustainable success: integration of sustainability in strategies, in controls system and in remunerations; dialogue with the generality of shareholders and initiatives to encourage the dialogue with the relevant stakeholders; • assessment of independence; • pre-meeting information; • process for the appointment and succession of Directors (specifically addressed to companies qualifying as “non concentrated”); • gender equality; • remuneration policies. The Board of Statutory Auditors attended the meetings of the Board of Directors and of the relevant Committees of UniCredit S.p.A. - through the Chairman or other appointed Statutory Auditor - where the above-mentioned aspects were the subject of attention and discussion, and the above-mentioned Report on Corporate Governance and Ownership Structures provides a comprehensive description of the initiatives taken by the Bank in this respect. The Board of Statutory Auditors agrees with the related considerations expressed by the Bank in the above-mentioned Report on Corporate Governance and Ownership Structure, regarding the good quality of the UniCredit Corporate Governance and the lack of criticalities with reference to the above-mentioned aspects highlighted in the letter of the Italian Corporate Governance Committee. The Board of Statutory Auditors has also constantly monitored how the recommendations of the Corporate Governance Code are actually implemented, intervening with specific requests deemed appropriate, specifically with reference to the pre-meeting information timeliness which shows room for improvement, as recognized by the Bank itself in the Report. The Board of Statutory Auditors also highlights the improvements achieved with regard to sustainability, including an accelerated process of integration of ESG variables into the Bank’s strategy and business. In this regard, the Board of Statutory Auditors highlights the set-up of a new ESG Committee within the Board of Directors and the approval of a new ESG strategy (declared “key” component of the new “UniCredit Unlocked” Strategic Plan). Lastly, with reference to the measures adopted to promote equal opportunities and treatment between genders, the Board of Statutory Auditors notes positively that UniCredit has recently issued the Diversity, Equity, and Inclusion Global Policy to enhance the inclusion of such key principles within the whole organization and in every moment of its employees’ journey, from recruiting and onboarding, to learning and development, performance management and compensation. Furthermore, a dedicated monitoring process including relevant metrics and KPIs in the gender diversity dashboard is in place, and relevant data, commitments and initiatives are disclosed within the yearly Group Integrated Report. On 22 February 2022, the Board of Statutory Auditors completed the self-assessment process on the adequacy in terms of composition, correct and effective functioning of the Body itself. The self-assessment process was carried out in compliance with the Regulations for Corporate Bodies and Committees, adopted in compliance with the Supervisory Provisions on Corporate Governance for Banks and in compliance with the indications contained in the document “Self-assessment of the Board of Statutory Auditors” issued by the National Council of Chartered Accountants and Accounting Experts in May 2019, and without employing external consultants. The Board of Statutory Auditors carried out the self-assessment on its composition, considering it adequate, also in the light of its development over time and the diversity in terms of skills, competences, and expertise, as well as gender, which ensured the effective ongoing functioning of the Body. In view of the renewal of the Board of Statutory Auditors for the 2022-202 financial years, the Board of Statutory Auditors approved the document “Qualitative and quantitative composition of UniCredit S.p.A. Board of Statutory Auditors” with which, in compliance with current regulations, it has previously identified its own qualitative-quantitative composition of the Control Body deemed to be optimal with respect to the goals indicated by the applicable rules, identifying and justifying the theoretical profile (including characteristics of experience, competence and independence) of the candidates that is appropriate to such end, as well as the commitment required. The result of the analysis carried out by the Control Body has been made available to the Shareholders - by means of publication on the Company’s website starting from 21 February 2022 - so that they could take it into account when choosing candidates. The Board of Statutory Auditors reported every six months to the Board of Directors and the IC&RC about the main activities carried out and the recommendations made. In addition to what has already been stated in paragraph 1. “Appointment and activities of the Board of Statutory Auditors” regarding attendance at meetings of the Bodies, the Board of Statutory Auditors received the usual information flows, during the period (provided for in the “Corporate Bodies and Committees Regulation” and in the policies) on the activities of the Remuneration Committee and Related-Party transactions. Starting from May 2020, the attendance of the Members of the Board of Statutory Auditors at the meetings of the Board Committees has increased according to the modalities reported in the above-mentioned paragraph 1. The Board of Statutory Auditors has verified how the increase in its attendance at the said Committees has decisively contributed to its effectiveness. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 792 2021 Annual Report and Accounts · UniCredit Considering that 2022 represents the first year in which the companies are called to disclose the means for implementing the new Code, the Italian Corporate Governance Committee deemed appropriate to draft certain recommendations in order to support the compliance process. Specifically, the above Committee, while acknowledging the convenience of a proportionate approach in the implementing process, encouraged the Boards of Directors to provide a description of their choices as to the following matters and with reference to the areas subject to greater impact, as indicated in the letter of the Chair of said Committee dated 3 December 2021: • sustainable success: integration of sustainability in strategies, in controls system and in remunerations; dialogue with the generality of shareholders and initiatives to encourage the dialogue with the relevant stakeholders; • assessment of independence; • pre-meeting information; • process for the appointment and succession of Directors (specifically addressed to companies qualifying as “non concentrated”); • gender equality; • remuneration policies. The Board of Statutory Auditors attended the meetings of the Board of Directors and of the relevant Committees of UniCredit S.p.A. - through the Chairman or other appointed Statutory Auditor - where the above-mentioned aspects were the subject of attention and discussion, and the above-mentioned Report on Corporate Governance and Ownership Structures provides a comprehensive description of the initiatives taken by the Bank in this respect. The Board of Statutory Auditors agrees with the related considerations expressed by the Bank in the above-mentioned Report on Corporate Governance and Ownership Structure, regarding the good quality of the UniCredit Corporate Governance and the lack of criticalities with reference to the above-mentioned aspects highlighted in the letter of the Italian Corporate Governance Committee. The Board of Statutory Auditors has also constantly monitored how the recommendations of the Corporate Governance Code are actually implemented, intervening with specific requests deemed appropriate, specifically with reference to the pre-meeting information timeliness which shows room for improvement, as recognized by the Bank itself in the Report. The Board of Statutory Auditors also highlights the improvements achieved with regard to sustainability, including an accelerated process of integration of ESG variables into the Bank’s strategy and business. In this regard, the Board of Statutory Auditors highlights the set-up of a new ESG Committee within the Board of Directors and the approval of a new ESG strategy (declared “key” component of the new “UniCredit Unlocked” Strategic Plan). Lastly, with reference to the measures adopted to promote equal opportunities and treatment between genders, the Board of Statutory Auditors notes positively that UniCredit has recently issued the Diversity, Equity, and Inclusion Global Policy to enhance the inclusion of such key principles within the whole organization and in every moment of its employees’ journey, from recruiting and onboarding, to learning and development, performance management and compensation. Furthermore, a dedicated monitoring process including relevant metrics and KPIs in the gender diversity dashboard is in place, and relevant data, commitments and initiatives are disclosed within the yearly Group Integrated Report. On 22 February 2022, the Board of Statutory Auditors completed the self-assessment process on the adequacy in terms of composition, correct and effective functioning of the Body itself. The self-assessment process was carried out in compliance with the Regulations for Corporate Bodies and Committees, adopted in compliance with the Supervisory Provisions on Corporate Governance for Banks and in compliance with the indications contained in the document “Self-assessment of the Board of Statutory Auditors” issued by the National Council of Chartered Accountants and Accounting Experts in May 2019, and without employing external consultants. The Board of Statutory Auditors carried out the self-assessment on its composition, considering it adequate, also in the light of its development over time and the diversity in terms of skills, competences, and expertise, as well as gender, which ensured the effective ongoing functioning of the Body. In view of the renewal of the Board of Statutory Auditors for the 2022-202 financial years, the Board of Statutory Auditors approved the document “Qualitative and quantitative composition of UniCredit S.p.A. Board of Statutory Auditors” with which, in compliance with current regulations, it has previously identified its own qualitative-quantitative composition of the Control Body deemed to be optimal with respect to the goals indicated by the applicable rules, identifying and justifying the theoretical profile (including characteristics of experience, competence and independence) of the candidates that is appropriate to such end, as well as the commitment required. The result of the analysis carried out by the Control Body has been made available to the Shareholders - by means of publication on the Company’s website starting from 21 February 2022 - so that they could take it into account when choosing candidates. The Board of Statutory Auditors reported every six months to the Board of Directors and the IC&RC about the main activities carried out and the recommendations made. In addition to what has already been stated in paragraph 1. “Appointment and activities of the Board of Statutory Auditors” regarding attendance at meetings of the Bodies, the Board of Statutory Auditors received the usual information flows, during the period (provided for in the “Corporate Bodies and Committees Regulation” and in the policies) on the activities of the Remuneration Committee and Related-Party transactions. Starting from May 2020, the attendance of the Members of the Board of Statutory Auditors at the meetings of the Board Committees has increased according to the modalities reported in the above-mentioned paragraph 1. The Board of Statutory Auditors has verified how the increase in its attendance at the said Committees has decisively contributed to its effectiveness. Company financial statements | Report and resolutions Report of the Board of Statutory auditors 792 2021 Annual Report and Accounts · UniCredit Considering that 2022 represents the first year in which the companies are called to disclose the means for implementing the new Code, the Italian Corporate Governance Committee deemed appropriate to draft certain recommendations in order to support the compliance process. Specifically, the above Committee, while acknowledging the convenience of a proportionate approach in the implementing process, encouraged the Boards of Directors to provide a description of their choices as to the following matters and with reference to the areas subject to greater impact, as indicated in the letter of the Chair of said Committee dated 3 December 2021: • sustainable success: integration of sustainability in strategies, in controls system and in remunerations; dialogue with the generality of shareholders and initiatives to encourage the dialogue with the relevant stakeholders; • assessment of independence; • pre-meeting information; • process for the appointment and succession of Directors (specifically addressed to companies qualifying as “non concentrated”); • gender equality; • remuneration policies. The Board of Statutory Auditors attended the meetings of the Board of Directors and of the relevant Committees of UniCredit S.p.A. - through the Chairman or other appointed Statutory Auditor - where the above-mentioned aspects were the subject of attention and discussion, and the above-mentioned Report on Corporate Governance and Ownership Structures provides a comprehensive description of the initiatives taken by the Bank in this respect. The Board of Statutory Auditors agrees with the related considerations expressed by the Bank in the above-mentioned Report on Corporate Governance and Ownership Structure, regarding the good quality of the UniCredit Corporate Governance and the lack of criticalities with reference to the above-mentioned aspects highlighted in the letter of the Italian Corporate Governance Committee. The Board of Statutory Auditors has also constantly monitored how the recommendations of the Corporate Governance Code are actually implemented, intervening with specific requests deemed appropriate, specifically with reference to the pre-meeting information timeliness which shows room for improvement, as recognized by the Bank itself in the Report. The Board of Statutory Auditors also highlights the improvements achieved with regard to sustainability, including an accelerated process of integration of ESG variables into the Bank’s strategy and business. In this regard, the Board of Statutory Auditors highlights the set-up of a new ESG Committee within the Board of Directors and the approval of a new ESG strategy (declared “key” component of the new “UniCredit Unlocked” Strategic Plan). Lastly, with reference to the measures adopted to promote equal opportunities and treatment between genders, the Board of Statutory Auditors notes positively that UniCredit has recently issued the Diversity, Equity, and Inclusion Global Policy to enhance the inclusion of such key principles within the whole organization and in every moment of its employees’ journey, from recruiting and onboarding, to learning and development, performance management and compensation. Furthermore, a dedicated monitoring process including relevant metrics and KPIs in the gender diversity dashboard is in place, and relevant data, commitments and initiatives are disclosed within the yearly Group Integrated Report. On 22 February 2022, the Board of Statutory Auditors completed the self-assessment process on the adequacy in terms of composition, correct and effective functioning of the Body itself. The self-assessment process was carried out in compliance with the Regulations for Corporate Bodies and Committees, adopted in compliance with the Supervisory Provisions on Corporate Governance for Banks and in compliance with the indications contained in the document “Self-assessment of the Board of Statutory Auditors” issued by the National Council of Chartered Accountants and Accounting Experts in May 2019, and without employing external consultants. The Board of Statutory Auditors carried out the self-assessment on its composition, considering it adequate, also in the light of its development over time and the diversity in terms of skills, competences, and expertise, as well as gender, which ensured the effective ongoing functioning of the Body. In view of the renewal of the Board of Statutory Auditors for the 2022-202 financial years, the Board of Statutory Auditors approved the document “Qualitative and quantitative composition of UniCredit S.p.A. Board of Statutory Auditors” with which, in compliance with current regulations, it has previously identified its own qualitative-quantitative composition of the Control Body deemed to be optimal with respect to the goals indicated by the applicable rules, identifying and justifying the theoretical profile (including characteristics of experience, competence and independence) of the candidates that is appropriate to such end, as well as the commitment required. The result of the analysis carried out by the Control Body has been made available to the Shareholders - by means of publication on the Company’s website starting from 21 February 2022 - so that they could take it into account when choosing candidates. The Board of Statutory Auditors reported every six months to the Board of Directors and the IC&RC about the main activities carried out and the recommendations made. In addition to what has already been stated in paragraph 1. “Appointment and activities of the Board of Statutory Auditors” regarding attendance at meetings of the Bodies, the Board of Statutory Auditors received the usual information flows, during the period (provided for in the “Corporate Bodies and Committees Regulation” and in the policies) on the activities of the Remuneration Committee and Related-Party transactions. Starting from May 2020, the attendance of the Members of the Board of Statutory Auditors at the meetings of the Board Committees has increased according to the modalities reported in the above-mentioned paragraph 1. The Board of Statutory Auditors has verified how the increase in its attendance at the said Committees has decisively contributed to its effectiveness. Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 793 The BoSA carried out the usual periodic checks, together with the competent Functions, examining a selected sample of reports within the forms pursuant to article 23 of the Articles of Association, detecting no exceptions. With specific reference to the assignment to the Board of Statutory Auditors also of the functions of Supervisory Body pursuant to Italian Legislative Decree No.231/2001 (“OdV 231”), starting from the renewal of its mandate which took place with the Shareholders’ Meeting of 11 April 2019, the Board of Statutory Auditors, charged with functions of Supervisory Body, reported to the Board of Directors every six months on the activities carried out on the implementation of the Organisational and Management Model adopted by UniCredit S.p.A. pursuant to the aforementioned Legislative Decree (at the meetings held on 29 July 2021 and 8 March 2022, respectively). During the reference period, the Board of Statutory Auditors, acting as 231 Supervisory Body’s, oversaw the functioning and compliance with the Model, and the verification and control activity, based on the information made available to it, and it was functional in pursuing the objectives of its effective implementation. The 231 Supervisory Body pursued these objectives with the collaboration of Internal Audit and Compliance Functions without substituting, replacing, or duplicating the control tasks institutionally assigned to these Functions. The Board of Statutory Auditors has adopted specific operating practices to perform its ordinary role in synergy with the one acting as 231 Supervisory Body. Conclusions The oversight of the Board of Statutory Auditors revealed no censurable actions, omissions or irregularities requiring to be noted in this Report. During the meetings of the Board of Directors, during which the most significant economic, financial and equity transactions of UniCredit S.p.A. and its subsidiaries were examined, the Board of Statutory Auditors received the information pursuant to Art.150, paragraph 1, of Italian Legislative Decree. 58/1998 Consolidated Law on Finance (TUF). Based on the information acquired through its oversight activity, the Board of Statutory Auditors did not become aware of any operations during the period covered by this report performed not in compliance with the principles of proper management, resolved and carried out not in accordance with the law and the Company Bylaws, not in the Company’s interest, not in accordance with Shareholders’ resolutions, manifestly imprudent or reckless, lacking the necessary information where Directors’ interests were involved, or prejudicial to the Company’s assets. Having regard to the foregoing, the Board of Statutory Auditors, having examined the reports drawn up by the External Auditors, having noted the joint attestations issued by the Chief Executive Officer and the Financial Reporting Manager, does not find in the areas under its remit any impediment to the approval of the proposal of the financial statements as at 31 December 2021 and of the remuneration proposal submitted by the Board of Directors, as presented in the next paragraph. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Board of Statutory Auditors emphasizes that the Directors observed the emergence of the Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Governments. The Directors have considered these circumstances in the assessments of significant items recognized in the Financial statements of UniCredit S.p.A. as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Group will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the Financial statements as at 31 December 2021 were prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the period 2022-2024. Based upon the aforementioned evaluations, the main regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the exact figures as at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); (iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistent with such evidence, in the Director’s Report to submit to the Shareholders’ Meeting, the Directors propose to allocate the net profit recorded by UniCredit on an individual basis, amounting to € 10.366.195.749,72, as follows: • to the Shareholders a dividend of €0.5380 for each share outstanding and entitled to dividend at payment date, for a maximum amount of €1,170,046,000.00, equivalent to approximately 30% of the so-called “Underlying consolidated net profit”; • to social, charity and cultural initiatives in favor of UniCredit Foundation for an amount of €4,000,000.00; Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 793 The BoSA carried out the usual periodic checks, together with the competent Functions, examining a selected sample of reports within the forms pursuant to article 23 of the Articles of Association, detecting no exceptions. With specific reference to the assignment to the Board of Statutory Auditors also of the functions of Supervisory Body pursuant to Italian Legislative Decree No.231/2001 (“OdV 231”), starting from the renewal of its mandate which took place with the Shareholders’ Meeting of 11 April 2019, the Board of Statutory Auditors, charged with functions of Supervisory Body, reported to the Board of Directors every six months on the activities carried out on the implementation of the Organisational and Management Model adopted by UniCredit S.p.A. pursuant to the aforementioned Legislative Decree (at the meetings held on 29 July 2021 and 8 March 2022, respectively). During the reference period, the Board of Statutory Auditors, acting as 231 Supervisory Body’s, oversaw the functioning and compliance with the Model, and the verification and control activity, based on the information made available to it, and it was functional in pursuing the objectives of its effective implementation. The 231 Supervisory Body pursued these objectives with the collaboration of Internal Audit and Compliance Functions without substituting, replacing, or duplicating the control tasks institutionally assigned to these Functions. The Board of Statutory Auditors has adopted specific operating practices to perform its ordinary role in synergy with the one acting as 231 Supervisory Body. Conclusions The oversight of the Board of Statutory Auditors revealed no censurable actions, omissions or irregularities requiring to be noted in this Report. During the meetings of the Board of Directors, during which the most significant economic, financial and equity transactions of UniCredit S.p.A. and its subsidiaries were examined, the Board of Statutory Auditors received the information pursuant to Art.150, paragraph 1, of Italian Legislative Decree. 58/1998 Consolidated Law on Finance (TUF). Based on the information acquired through its oversight activity, the Board of Statutory Auditors did not become aware of any operations during the period covered by this report performed not in compliance with the principles of proper management, resolved and carried out not in accordance with the law and the Company Bylaws, not in the Company’s interest, not in accordance with Shareholders’ resolutions, manifestly imprudent or reckless, lacking the necessary information where Directors’ interests were involved, or prejudicial to the Company’s assets. Having regard to the foregoing, the Board of Statutory Auditors, having examined the reports drawn up by the External Auditors, having noted the joint attestations issued by the Chief Executive Officer and the Financial Reporting Manager, does not find in the areas under its remit any impediment to the approval of the proposal of the financial statements as at 31 December 2021 and of the remuneration proposal submitted by the Board of Directors, as presented in the next paragraph. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Board of Statutory Auditors emphasizes that the Directors observed the emergence of the Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Governments. The Directors have considered these circumstances in the assessments of significant items recognized in the Financial statements of UniCredit S.p.A. as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Group will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the Financial statements as at 31 December 2021 were prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the period 2022-2024. Based upon the aforementioned evaluations, the main regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the exact figures as at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); (iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistent with such evidence, in the Director’s Report to submit to the Shareholders’ Meeting, the Directors propose to allocate the net profit recorded by UniCredit on an individual basis, amounting to € 10.366.195.749,72, as follows: • to the Shareholders a dividend of €0.5380 for each share outstanding and entitled to dividend at payment date, for a maximum amount of €1,170,046,000.00, equivalent to approximately 30% of the so-called “Underlying consolidated net profit”; • to social, charity and cultural initiatives in favor of UniCredit Foundation for an amount of €4,000,000.00; Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 793 The BoSA carried out the usual periodic checks, together with the competent Functions, examining a selected sample of reports within the forms pursuant to article 23 of the Articles of Association, detecting no exceptions. With specific reference to the assignment to the Board of Statutory Auditors also of the functions of Supervisory Body pursuant to Italian Legislative Decree No.231/2001 (“OdV 231”), starting from the renewal of its mandate which took place with the Shareholders’ Meeting of 11 April 2019, the Board of Statutory Auditors, charged with functions of Supervisory Body, reported to the Board of Directors every six months on the activities carried out on the implementation of the Organisational and Management Model adopted by UniCredit S.p.A. pursuant to the aforementioned Legislative Decree (at the meetings held on 29 July 2021 and 8 March 2022, respectively). During the reference period, the Board of Statutory Auditors, acting as 231 Supervisory Body’s, oversaw the functioning and compliance with the Model, and the verification and control activity, based on the information made available to it, and it was functional in pursuing the objectives of its effective implementation. The 231 Supervisory Body pursued these objectives with the collaboration of Internal Audit and Compliance Functions without substituting, replacing, or duplicating the control tasks institutionally assigned to these Functions. The Board of Statutory Auditors has adopted specific operating practices to perform its ordinary role in synergy with the one acting as 231 Supervisory Body. Conclusions The oversight of the Board of Statutory Auditors revealed no censurable actions, omissions or irregularities requiring to be noted in this Report. During the meetings of the Board of Directors, during which the most significant economic, financial and equity transactions of UniCredit S.p.A. and its subsidiaries were examined, the Board of Statutory Auditors received the information pursuant to Art.150, paragraph 1, of Italian Legislative Decree. 58/1998 Consolidated Law on Finance (TUF). Based on the information acquired through its oversight activity, the Board of Statutory Auditors did not become aware of any operations during the period covered by this report performed not in compliance with the principles of proper management, resolved and carried out not in accordance with the law and the Company Bylaws, not in the Company’s interest, not in accordance with Shareholders’ resolutions, manifestly imprudent or reckless, lacking the necessary information where Directors’ interests were involved, or prejudicial to the Company’s assets. Having regard to the foregoing, the Board of Statutory Auditors, having examined the reports drawn up by the External Auditors, having noted the joint attestations issued by the Chief Executive Officer and the Financial Reporting Manager, does not find in the areas under its remit any impediment to the approval of the proposal of the financial statements as at 31 December 2021 and of the remuneration proposal submitted by the Board of Directors, as presented in the next paragraph. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Board of Statutory Auditors emphasizes that the Directors observed the emergence of the Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Governments. The Directors have considered these circumstances in the assessments of significant items recognized in the Financial statements of UniCredit S.p.A. as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Group will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the Financial statements as at 31 December 2021 were prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the period 2022-2024. Based upon the aforementioned evaluations, the main regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the exact figures as at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); (iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistent with such evidence, in the Director’s Report to submit to the Shareholders’ Meeting, the Directors propose to allocate the net profit recorded by UniCredit on an individual basis, amounting to € 10.366.195.749,72, as follows: • to the Shareholders a dividend of €0.5380 for each share outstanding and entitled to dividend at payment date, for a maximum amount of €1,170,046,000.00, equivalent to approximately 30% of the so-called “Underlying consolidated net profit”; • to social, charity and cultural initiatives in favor of UniCredit Foundation for an amount of €4,000,000.00; Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 793 The BoSA carried out the usual periodic checks, together with the competent Functions, examining a selected sample of reports within the forms pursuant to article 23 of the Articles of Association, detecting no exceptions. With specific reference to the assignment to the Board of Statutory Auditors also of the functions of Supervisory Body pursuant to Italian Legislative Decree No.231/2001 (“OdV 231”), starting from the renewal of its mandate which took place with the Shareholders’ Meeting of 11 April 2019, the Board of Statutory Auditors, charged with functions of Supervisory Body, reported to the Board of Directors every six months on the activities carried out on the implementation of the Organisational and Management Model adopted by UniCredit S.p.A. pursuant to the aforementioned Legislative Decree (at the meetings held on 29 July 2021 and 8 March 2022, respectively). During the reference period, the Board of Statutory Auditors, acting as 231 Supervisory Body’s, oversaw the functioning and compliance with the Model, and the verification and control activity, based on the information made available to it, and it was functional in pursuing the objectives of its effective implementation. The 231 Supervisory Body pursued these objectives with the collaboration of Internal Audit and Compliance Functions without substituting, replacing, or duplicating the control tasks institutionally assigned to these Functions. The Board of Statutory Auditors has adopted specific operating practices to perform its ordinary role in synergy with the one acting as 231 Supervisory Body. Conclusions The oversight of the Board of Statutory Auditors revealed no censurable actions, omissions or irregularities requiring to be noted in this Report. During the meetings of the Board of Directors, during which the most significant economic, financial and equity transactions of UniCredit S.p.A. and its subsidiaries were examined, the Board of Statutory Auditors received the information pursuant to Art.150, paragraph 1, of Italian Legislative Decree. 58/1998 Consolidated Law on Finance (TUF). Based on the information acquired through its oversight activity, the Board of Statutory Auditors did not become aware of any operations during the period covered by this report performed not in compliance with the principles of proper management, resolved and carried out not in accordance with the law and the Company Bylaws, not in the Company’s interest, not in accordance with Shareholders’ resolutions, manifestly imprudent or reckless, lacking the necessary information where Directors’ interests were involved, or prejudicial to the Company’s assets. Having regard to the foregoing, the Board of Statutory Auditors, having examined the reports drawn up by the External Auditors, having noted the joint attestations issued by the Chief Executive Officer and the Financial Reporting Manager, does not find in the areas under its remit any impediment to the approval of the proposal of the financial statements as at 31 December 2021 and of the remuneration proposal submitted by the Board of Directors, as presented in the next paragraph. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Board of Statutory Auditors emphasizes that the Directors observed the emergence of the Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Governments. The Directors have considered these circumstances in the assessments of significant items recognized in the Financial statements of UniCredit S.p.A. as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Group will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the Financial statements as at 31 December 2021 were prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the period 2022-2024. Based upon the aforementioned evaluations, the main regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the exact figures as at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); (iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistent with such evidence, in the Director’s Report to submit to the Shareholders’ Meeting, the Directors propose to allocate the net profit recorded by UniCredit on an individual basis, amounting to € 10.366.195.749,72, as follows: • to the Shareholders a dividend of €0.5380 for each share outstanding and entitled to dividend at payment date, for a maximum amount of €1,170,046,000.00, equivalent to approximately 30% of the so-called “Underlying consolidated net profit”; • to social, charity and cultural initiatives in favor of UniCredit Foundation for an amount of €4,000,000.00; Company financial statements | Report and resolutions Report of the Board of Statutory auditors UniCredit · 2021 Annual Report and Accounts 793 The BoSA carried out the usual periodic checks, together with the competent Functions, examining a selected sample of reports within the forms pursuant to article 23 of the Articles of Association, detecting no exceptions. With specific reference to the assignment to the Board of Statutory Auditors also of the functions of Supervisory Body pursuant to Italian Legislative Decree No.231/2001 (“OdV 231”), starting from the renewal of its mandate which took place with the Shareholders’ Meeting of 11 April 2019, the Board of Statutory Auditors, charged with functions of Supervisory Body, reported to the Board of Directors every six months on the activities carried out on the implementation of the Organisational and Management Model adopted by UniCredit S.p.A. pursuant to the aforementioned Legislative Decree (at the meetings held on 29 July 2021 and 8 March 2022, respectively). During the reference period, the Board of Statutory Auditors, acting as 231 Supervisory Body’s, oversaw the functioning and compliance with the Model, and the verification and control activity, based on the information made available to it, and it was functional in pursuing the objectives of its effective implementation. The 231 Supervisory Body pursued these objectives with the collaboration of Internal Audit and Compliance Functions without substituting, replacing, or duplicating the control tasks institutionally assigned to these Functions. The Board of Statutory Auditors has adopted specific operating practices to perform its ordinary role in synergy with the one acting as 231 Supervisory Body. Conclusions The oversight of the Board of Statutory Auditors revealed no censurable actions, omissions or irregularities requiring to be noted in this Report. During the meetings of the Board of Directors, during which the most significant economic, financial and equity transactions of UniCredit S.p.A. and its subsidiaries were examined, the Board of Statutory Auditors received the information pursuant to Art.150, paragraph 1, of Italian Legislative Decree. 58/1998 Consolidated Law on Finance (TUF). Based on the information acquired through its oversight activity, the Board of Statutory Auditors did not become aware of any operations during the period covered by this report performed not in compliance with the principles of proper management, resolved and carried out not in accordance with the law and the Company Bylaws, not in the Company’s interest, not in accordance with Shareholders’ resolutions, manifestly imprudent or reckless, lacking the necessary information where Directors’ interests were involved, or prejudicial to the Company’s assets. Having regard to the foregoing, the Board of Statutory Auditors, having examined the reports drawn up by the External Auditors, having noted the joint attestations issued by the Chief Executive Officer and the Financial Reporting Manager, does not find in the areas under its remit any impediment to the approval of the proposal of the financial statements as at 31 December 2021 and of the remuneration proposal submitted by the Board of Directors, as presented in the next paragraph. Statement of going concern In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and ISVAP made a few observations on the current situation of the markets and businesses and requested that information essential for a better understanding of business trends and outlook be disclosed in financial reports. The Board of Statutory Auditors emphasizes that the Directors observed the emergence of the Covid-19 pandemic during the financial year 2020 which continued in 2021. Such pandemic determined the introduction of containment measures, in part still ongoing, which have determined, as mentioned above, negative effects that were offset, partially, by the economic relief measures put in place by the Governments. The Directors have considered these circumstances in the assessments of significant items recognized in the Financial statements of UniCredit S.p.A. as at 31 December 2021, and on the basis of these assessments, believe with reasonable certainty that the Group will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the Financial statements as at 31 December 2021 were prepared on a going concern basis. Such statement is further reinforced by the approval on 8 December 2021 by the Board of Directors of UniCredit Unlocked strategic plan for the period 2022-2024. Based upon the aforementioned evaluations, the main regulatory ratios have been taken into account at 31 December 2021, in terms of: (i) the exact figures as at 31 December 2021 (CET1 Ratio Transitional equal to 15.82%; TLAC Ratio equal to 25.45%; Liquidity Coverage Ratio at 182% based on monthly average on 12 months; (ii) the related buffer versus the minimum requirements at the same reference date (CET1 Ratio Transitional: excess of 678 basis points; TLAC Ratio: excess of 590 basis points; Liquidity Coverage Ratio: excess of more than 82 percentage points); (iii) the expected evolution of the same ratios during 2022 (in particular, in 2022, it is expected to maintain a significant margin above the capital requirements, consistently with the UniCredit Unlocked strategic plan target of maintaining or exceeding a CET1 ratio of 12.5%-13%). Consistent with such evidence, in the Director’s Report to submit to the Shareholders’ Meeting, the Directors propose to allocate the net profit recorded by UniCredit on an individual basis, amounting to € 10.366.195.749,72, as follows: • to the Shareholders a dividend of €0.5380 for each share outstanding and entitled to dividend at payment date, for a maximum amount of €1,170,046,000.00, equivalent to approximately 30% of the so-called “Underlying consolidated net profit”; • to social, charity and cultural initiatives in favor of UniCredit Foundation for an amount of €4,000,000.00; Company financial statements | Report and resolutions Report of the Board of Statutory auditors 794 2021 Annual Report and Accounts · UniCredit • to reserves related to the medium-term incentive program for Group Staff for an amount of €65,000,000.00; • to the statutory reserve for the remaining amount. Furthermore, in a press release dated 8 March 2022, UniCredit provided information on the overall Russian exposure (its subsidiary UniCredit Bank Russia, mark-to-market and derivative exposure), explaining how in the extreme scenario, where the entirety of the maximum exposure is non-recoverable and zeroed, the impact on UniCredit's 2021- year end CET1 ratio (15.03% inclusive of EUR1.2bn dividend accrued in 2021) would be around 200bps, noting how this would absorb such impact without falling below 13% (data reported at the end of 2021). The Board of Directors also confirmed the CET1 capital ratio target remains within the range of 12.5-13.0%. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. * * * * * * With the approval of the financial statements as at 31 December 2021, the mandate of the Board of Statutory Auditors appointed by the Shareholders’ Meeting of 11 April 2019 expires. Consequently, the Shareholders’ Meeting of 8 April 2022 is called upon to appoint the new Board of Statutory Auditors for the three-year period 2022 - 2024. We take this opportunity to thank you for the trust placed in the outgoing Board of Statutory Auditors during its mandate period. Milan, 11 March 2022 For the Board of Statutory Auditors The Chairman Marco Rigotti Company financial statements | Report and resolutions Report of the Board of Statutory auditors 794 2021 Annual Report and Accounts · UniCredit • to reserves related to the medium-term incentive program for Group Staff for an amount of €65,000,000.00; • to the statutory reserve for the remaining amount. Furthermore, in a press release dated 8 March 2022, UniCredit provided information on the overall Russian exposure (its subsidiary UniCredit Bank Russia, mark-to-market and derivative exposure), explaining how in the extreme scenario, where the entirety of the maximum exposure is non-recoverable and zeroed, the impact on UniCredit's 2021- year end CET1 ratio (15.03% inclusive of EUR1.2bn dividend accrued in 2021) would be around 200bps, noting how this would absorb such impact without falling below 13% (data reported at the end of 2021). The Board of Directors also confirmed the CET1 capital ratio target remains within the range of 12.5-13.0%. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. * * * * * * With the approval of the financial statements as at 31 December 2021, the mandate of the Board of Statutory Auditors appointed by the Shareholders’ Meeting of 11 April 2019 expires. Consequently, the Shareholders’ Meeting of 8 April 2022 is called upon to appoint the new Board of Statutory Auditors for the three-year period 2022 - 2024. We take this opportunity to thank you for the trust placed in the outgoing Board of Statutory Auditors during its mandate period. Milan, 11 March 2022 For the Board of Statutory Auditors The Chairman Marco Rigotti Company financial statements | Report and resolutions Report of the Board of Statutory auditors 794 2021 Annual Report and Accounts · UniCredit • to reserves related to the medium-term incentive program for Group Staff for an amount of €65,000,000.00; • to the statutory reserve for the remaining amount. Furthermore, in a press release dated 8 March 2022, UniCredit provided information on the overall Russian exposure (its subsidiary UniCredit Bank Russia, mark-to-market and derivative exposure), explaining how in the extreme scenario, where the entirety of the maximum exposure is non-recoverable and zeroed, the impact on UniCredit's 2021- year end CET1 ratio (15.03% inclusive of EUR1.2bn dividend accrued in 2021) would be around 200bps, noting how this would absorb such impact without falling below 13% (data reported at the end of 2021). The Board of Directors also confirmed the CET1 capital ratio target remains within the range of 12.5-13.0%. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. * * * * * * With the approval of the financial statements as at 31 December 2021, the mandate of the Board of Statutory Auditors appointed by the Shareholders’ Meeting of 11 April 2019 expires. Consequently, the Shareholders’ Meeting of 8 April 2022 is called upon to appoint the new Board of Statutory Auditors for the three-year period 2022 - 2024. We take this opportunity to thank you for the trust placed in the outgoing Board of Statutory Auditors during its mandate period. Milan, 11 March 2022 For the Board of Statutory Auditors The Chairman Marco Rigotti Company financial statements | Report and resolutions Report of the Board of Statutory auditors 794 2021 Annual Report and Accounts · UniCredit • to reserves related to the medium-term incentive program for Group Staff for an amount of €65,000,000.00; • to the statutory reserve for the remaining amount. Furthermore, in a press release dated 8 March 2022, UniCredit provided information on the overall Russian exposure (its subsidiary UniCredit Bank Russia, mark-to-market and derivative exposure), explaining how in the extreme scenario, where the entirety of the maximum exposure is non-recoverable and zeroed, the impact on UniCredit's 2021- year end CET1 ratio (15.03% inclusive of EUR1.2bn dividend accrued in 2021) would be around 200bps, noting how this would absorb such impact without falling below 13% (data reported at the end of 2021). The Board of Directors also confirmed the CET1 capital ratio target remains within the range of 12.5-13.0%. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. * * * * * * With the approval of the financial statements as at 31 December 2021, the mandate of the Board of Statutory Auditors appointed by the Shareholders’ Meeting of 11 April 2019 expires. Consequently, the Shareholders’ Meeting of 8 April 2022 is called upon to appoint the new Board of Statutory Auditors for the three-year period 2022 - 2024. We take this opportunity to thank you for the trust placed in the outgoing Board of Statutory Auditors during its mandate period. Milan, 11 March 2022 For the Board of Statutory Auditors The Chairman Marco Rigotti Company financial statements | Report and resolutions Report of the Board of Statutory auditors 794 2021 Annual Report and Accounts · UniCredit • to reserves related to the medium-term incentive program for Group Staff for an amount of €65,000,000.00; • to the statutory reserve for the remaining amount. Furthermore, in a press release dated 8 March 2022, UniCredit provided information on the overall Russian exposure (its subsidiary UniCredit Bank Russia, mark-to-market and derivative exposure), explaining how in the extreme scenario, where the entirety of the maximum exposure is non-recoverable and zeroed, the impact on UniCredit's 2021- year end CET1 ratio (15.03% inclusive of EUR1.2bn dividend accrued in 2021) would be around 200bps, noting how this would absorb such impact without falling below 13% (data reported at the end of 2021). The Board of Directors also confirmed the CET1 capital ratio target remains within the range of 12.5-13.0%. The measurement criteria adopted are therefore consistent with this assumption and with the principles of accrual-based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form. These criteria have not changed with respect to the previous year. * * * * * * With the approval of the financial statements as at 31 December 2021, the mandate of the Board of Statutory Auditors appointed by the Shareholders’ Meeting of 11 April 2019 expires. Consequently, the Shareholders’ Meeting of 8 April 2022 is called upon to appoint the new Board of Statutory Auditors for the three-year period 2022 - 2024. We take this opportunity to thank you for the trust placed in the outgoing Board of Statutory Auditors during its mandate period. Milan, 11 March 2022 For the Board of Statutory Auditors The Chairman Marco Rigotti  UniCredit · 2021 Annual Report and Accounts 795 UniCredit · 2021 Annual Report and Accounts 795 UniCredit · 2021 Annual Report and Accounts 795 UniCredit · 2021 Annual Report and Accounts 795 UniCredit · 2021 Annual Report and Accounts 795  796 2021 Annual Report and Accounts · UniCredit 796 2021 Annual Report and Accounts · UniCredit 796 2021 Annual Report and Accounts · UniCredit 796 2021 Annual Report and Accounts · UniCredit 796 2021 Annual Report and Accounts · UniCredit © Deloitte & Touche S.p.A. www.deloitte.com/about. clienti. Si invita a leggere l’informativa completa relativa alla descrizione della struttura legale di Deloitte Touche Tohmatsu Limited e delle sue member firm all’indirizzo le entità a esse correlate. DTTL e ciascuna delle sue member firm sono entità giuridicamente separate e indipendenti tra loro. DTTL (denominata anche “Deloitte Global”) non fornisce servizi ai Il nome Deloitte si riferisce a una o pi(cid:438) delle seguenti entità(cid:855) Deloitte Touche Tohmatsu Limited, una società inglese a responsabilità limitata (“DTTL”), le member firm aderenti al suo network e Codice Fiscale/Registro delle Imprese di Milano Monza Brianza Lodi n. 03049560166 - R.E.A. n. MI-1720239 | Partita IVA: IT 03049560166 Sede Legale: Via Tortona, 25 - 20144 Milano | Capitale Sociale: Euro 10.328.220,00 i.v. Ancona Bari Bergamo Bologna Brescia Cagliari Firenze Genova Milano Napoli Padova Parma Roma Torino Treviso Udine Verona provide a separate opinion on these matters. our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not audit of the financial statements of the current period. These matters were addressed in the context of Key audit matters are those matters that, in our professional judgment, were of most significance in our that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. the ethical requirements applicable under Italian law to the audit of the financial statements. We believe of the Financial Statements section of our report. We are independent of the Bank in accordance with responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our Key Audit Matters Basis for Opinion no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15. Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree then ended in accordance with International Financial Reporting Standards as adopted by the European of the Bank as at December 31, 2021, and of its financial performance and its cash flows for the year In our opinion, the accompanying financial statements give a true and fair view of the financial position notes to the accounts. statement of changes in equity and the statement of cash flows for the year then ended and the related sheet as at December 31, 2021, the income statement, the statement of comprehensive income, the We have audited the financial statements of UniCredit S.p.A. (the “Bank”), which comprise the balance REPORT ON THE AUDIT OF THE FINANCIAL STATEMENTS Opinion UniCredit S.p.A. To the Shareholders of AND ARTICLE 10 OF THE EU REGULATION 537/2014 PURSUANT TO ARTICLE 14 OF LEGISLATIVE DECREE No. 39 OF JANUARY 27, 2010 INDEPENDENT AUDITOR’S REPORT Deloitte & Touche S.p.A. Via Tortona, 25 20144 Milano Italia Tel: +39 02 83322111 Fax: +39 02 83322112 www.deloitte.it www.deloitte.it Fax: +39 02 83322112 Tel: +39 02 83322111 Italia 20144 Milano Via Tortona, 25 Deloitte & Touche S.p.A. Deloitte & Touche S.p.A. Via Tortona, 25 20144 Milano Italia Tel: +39 02 83322111 Fax: +39 02 83322112 www.deloitte.it Deloitte & Touche S.p.A. Via Tortona, 25 20144 Milano Italia Tel: +39 02 83322111 Fax: +39 02 83322112 www.deloitte.it INDEPENDENTAUDITOR’SREPORT PURSUANTTOARTICLE14OFLEGISLATIVEDECREENo.39OFJANUARY27,2010 ANDARTICLE10OFTHEEUREGULATION537/2014 INDEPENDENT AUDITOR’S REPORT PURSUANT TO ARTICLE 14 OF LEGISLATIVE DECREE No. 39 OF JANUARY 27, 2010 AND ARTICLE 10 OF THE EU REGULATION 537/2014 INDEPENDENTAUDITOR’SREPORT PURSUANTTOARTICLE14OFLEGISLATIVEDECREENo.39OFJANUARY27,2010 ANDARTICLE10OFTHEEUREGULATION537/2014 TotheShareholdersof UniCreditS.p.A. To the Shareholders of UniCredit S.p.A. REPORTONTHEAUDITOFTHEFINANCIALSTATEMENTS REPORT ON THE AUDIT OF THE FINANCIAL STATEMENTS REPORTONTHEAUDITOFTHEFINANCIALSTATEMENTS Opinion Opinion We have audited the financial statements of UniCredit S.p.A. (the “Bank”), which comprise the balance sheet as at December 31, 2021, the income statement, the statement of comprehensive income, the statement of changes in equity and the statement of cash flows for the year then ended and the related notes to the accounts. We have audited the financial statements of UniCredit S.p.A. (the “Bank”), which comprise the balance sheet as at December 31, 2021, the income statement, the statement of comprehensive income, the statement of changes in equity and the statement of cash flows for the year then ended and the related notes to the accounts. We have audited the financial statements of UniCredit S.p.A. (the “Bank”), which comprise the balance sheet as at December 31, 2021, the income statement, the statement of comprehensive income, the statement of changes in equity and the statement of cash flows for the year then ended and the related notes to the accounts. In our opinion, the accompanying financial statements give a true and fair view of the financial position of the Bank as at December 31, 2021, and of its financial performance and its cash flows for the year then ended in accordance with International Financial Reporting Standards as adopted by the European Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no.38/05 and to art. 43 ofItalian Legislative Decree no. 136/15. In our opinion, the accompanying financial statements give a true and fair view of the financial position of the Bank as at December 31, 2021, and of its financial performance and its cash flows for the year then ended in accordance with International Financial Reporting Standards as adopted by the European Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15. In our opinion, the accompanying financial statements give a true and fair view of the financial position of the Bank as at December 31, 2021, and of its financial performance and its cash flows for the year then ended in accordance with International Financial Reporting Standards as adopted by the European Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no.38/05 and to art. 43 ofItalian Legislative Decree no. 136/15. BasisforOpinion Basis for Opinion We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statementssection of our report. We are independent of the Bank in accordance with the ethical requirements applicable under Italian law to the audit of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are independent of the Bank in accordance with the ethical requirements applicable under Italian law to the audit of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statementssection of our report. We are independent of the Bank in accordance with the ethical requirements applicable under Italian law to the audit of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the financial statements of the current period. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters. Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the financial statements of the current period. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters. Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the financial statements of the current period. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters. KeyAuditMatters Key Audit Matters TotheShareholdersof UniCreditS.p.A. Opinion BasisforOpinion KeyAuditMatters Ancona Bari Bergamo Bologna Brescia Cagliari Firenze Genova Milano Napoli Padova Parma Roma Torino Treviso Udine Verona Ancona Bari Bergamo Bologna Brescia Cagliari Firenze Genova Milano Napoli Padova Parma Roma Torino Treviso Udine Verona Codice Fiscale/Registro delle Imprese di Milano Monza Brianza Lodi n. 03049560166 -R.E.A. n. MI-1720239 | Partita IVA: IT 03049560166 Sede Legale: Via Tortona, 25 -20144 Milano | Capitale Sociale: Euro 10.328.220,00 i.v. Sede Legale: Via Tortona, 25 - 20144 Milano | Capitale Sociale: Euro 10.328.220,00 i.v. Codice Fiscale/Registro delle Imprese di Milano Monza Brianza Lodi n. 03049560166 - R.E.A. n. MI-1720239 | Partita IVA: IT 03049560166 Il nome Deloitte si riferisce a una o pi(cid:438) delle seguenti entità(cid:855) Deloitte Touche Tohmatsu Limited, una società inglese a responsabilità limitata (“DTTL”), le member firm aderenti al suo network e le entità a esse correlate. DTTL e ciascuna delle sue member firm sono entità giuridicamenteseparate e indipendenti tra loro. DTTL (denominata anche “Deloitte Global”) non fornisce servizi ai clienti. Si invita a leggere l’informativa completa relativa alla descrizione della struttura legale di Deloitte Touche Tohmatsu Limited e delle sue member firm all’indirizzo www.deloitte.com/about. © Deloitte & Touche S.p.A. Il nome Deloitte si riferisce a una o pi(cid:438) delle seguenti entità(cid:855) Deloitte Touche Tohmatsu Limited, una società inglese a responsabilità limitata (“DTTL”), le member firm aderenti al suo network e le entità a esse correlate. DTTL e ciascuna delle sue member firm sono entità giuridicamente separate e indipendenti tra loro. DTTL (denominata anche “Deloitte Global”) non fornisce servizi ai clienti. Si invita a leggere l’informativa completa relativa alla descrizione della struttura legale di Deloitte Touche Tohmatsu Limited e delle sue member firm all’indirizzo www.deloitte.com/about. © Deloitte & Touche S.p.A. Ancona Bari Bergamo Bologna Brescia Cagliari Firenze Genova Milano Napoli Padova Parma Roma Torino Treviso Udine Verona Codice Fiscale/Registro delle Imprese di Milano Monza Brianza Lodi n. 03049560166 -R.E.A. n. MI-1720239 | Partita IVA: IT 03049560166 Sede Legale: Via Tortona, 25 -20144 Milano | Capitale Sociale: Euro 10.328.220,00 i.v. Il nome Deloitte si riferisce a una o pi(cid:438) delle seguenti entità(cid:855) Deloitte Touche Tohmatsu Limited, una società inglese a responsabilità limitata (“DTTL”), le member firm aderenti al suo network e le entità a esse correlate. DTTL e ciascuna delle sue member firm sono entità giuridicamenteseparate e indipendenti tra loro. DTTL (denominata anche “Deloitte Global”) non fornisce servizi ai clienti. Si invita a leggere l’informativa completa relativa alla descrizione della struttura legale di Deloitte Touche Tohmatsu Limited e delle sue member firm all’indirizzo www.deloitte.com/about. © Deloitte & Touche S.p.A. © Deloitte & Touche S.p.A. www.deloitte.com/about. clienti. Si invita a leggere l’informativa completa relativa alla descrizione della struttura legale di Deloitte Touche Tohmatsu Limited e delle sue member firm all’indirizzo le entità a esse correlate. DTTL e ciascuna delle sue member firm sono entità giuridicamente separate e indipendenti tra loro. DTTL (denominata anche “Deloitte Global”) non fornisce servizi ai Il nome Deloitte si riferisce a una o pi(cid:438) delle seguenti entità(cid:855) Deloitte Touche Tohmatsu Limited, una società inglese a responsabilità limitata (“DTTL”), le member firm aderenti al suo network e Codice Fiscale/Registro delle Imprese di Milano Monza Brianza Lodi n. 03049560166 - R.E.A. n. MI-1720239 | Partita IVA: IT 03049560166 Sede Legale: Via Tortona, 25 - 20144 Milano | Capitale Sociale: Euro 10.328.220,00 i.v. Ancona Bari Bergamo Bologna Brescia Cagliari Firenze Genova Milano Napoli Padova Parma Roma Torino Treviso Udine Verona provide a separate opinion on these matters. our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not audit of the financial statements of the current period. These matters were addressed in the context of Key audit matters are those matters that, in our professional judgment, were of most significance in our Key Audit Matters Basis for Opinion that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. the ethical requirements applicable under Italian law to the audit of the financial statements. We believe of the Financial Statements section of our report. We are independent of the Bank in accordance with responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15. Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree then ended in accordance with International Financial Reporting Standards as adopted by the European of the Bank as at December 31, 2021, and of its financial performance and its cash flows for the year In our opinion, the accompanying financial statements give a true and fair view of the financial position notes to the accounts. statement of changes in equity and the statement of cash flows for the year then ended and the related sheet as at December 31, 2021, the income statement, the statement of comprehensive income, the We have audited the financial statements of UniCredit S.p.A. (the “Bank”), which comprise the balance REPORT ON THE AUDIT OF THE FINANCIAL STATEMENTS Opinion UniCredit S.p.A. To the Shareholders of AND ARTICLE 10 OF THE EU REGULATION 537/2014 PURSUANT TO ARTICLE 14 OF LEGISLATIVE DECREE No. 39 OF JANUARY 27, 2010 INDEPENDENT AUDITOR’S REPORT www.deloitte.it Fax: +39 02 83322112 Tel: +39 02 83322111 Italia 20144 Milano Via Tortona, 25 Deloitte & Touche S.p.A. processes, as well as of the relevant controls on the process related to verification of the implementation of internal procedures and sustainability test for Deferred Tax Assets; internal procedures and processes in relation to the preparation of the analysis and understanding of the internal control system as well as the performed Audit procedures The audit procedures performed included, among others, the following: • • • • statements of the Bank as at December 31, 2021. Assets on tax losses carry forward as a key audit matter of the financial by numerous variables, we have identified the recognition of Deferred Tax management in conducting the sustainability test, which are characterised complexity and subjectivity inherent in the estimation processes adopted by Tax Assets mentioned above on the net results of the Bank and the Considering the significance of the effect of the recognition of the Deferred strategic plan. a downward revision of the profitability expected from the new conditions that are worse than the Baseline scenario and which reflects context of uncertainty, was developed considering macroeconomic a worst-case scenario ("Downturn") which, in light of the current “UniCredit Unlocked”; in September 2021 and used for the strategic plan 2022 – 2024 a base-case scenario ("Baseline"), which reflects the scenario outlined Tax Assets, two different scenarios were considered: More specifically, for the purposes of testing the sustainability of Deferred uncertain market context. scenarios, in order to take into account the current particularly volatile and future taxable income was conducted considering different macroeconomic IAS 12, the recoverability of deferred tax assets on the basis of expected criteria, explain that the sustainability test aimed at ascertaining, pursuant to accounts Part A – Accounting policies – Section 2 – General preparation The Directors of the Bank, as more broadly described in the Notes to the total amount equal to 1,164 million Euro on tax losses carry forward. recognised additional Deferred Tax Assets, previously not recognised, for a approved by the Board of Directors of the Bank on December 8, 2021, projections of the new strategic plan 2022 – 2024 "UniCredit Unlocked" audit matter Section 10 – Tax assets and tax liabilities, the Bank, also on the basis of the Description of the key As indicated in the Notes to the accounts Part B – Balance sheet – Assets – Recognition of Deferred Tax Assets on tax losses carry forward 2 2 2 a base-case scenario ("Baseline"), which reflects the scenario outlined in September 2021 and used for the strategic plan 2022 –2024 “UniCredit Unlocked”; a worst-case scenario ("Downturn") which, in light of the current context of uncertainty, was developed considering macroeconomic conditions that are worse than the Baseline scenario and which reflects a downward revision of the profitability expected from the new strategic plan. Considering the significance of the effect of the recognition of the Deferred Tax Assets mentioned above on the net results of the Bank andthe complexity and subjectivity inherent in the estimation processes adopted by management in conducting the sustainability test, which are characterised by numerous variables, we have identified the recognition of Deferred Tax Assets on taxlosses carry forward as a key audit matter of the financial statements of the Bankas at December 31, 2021. • • • • RecognitionofDeferredTaxAssetsontaxlossescarryforward Recognition of Deferred Tax Assets on tax losses carry forward RecognitionofDeferredTaxAssetsontaxlossescarryforward As indicated in the Notes to the accounts Part B–Balance sheet –Assets – Descriptionofthekey Section 10–Tax assets and tax liabilities, the Bank, also on the basis ofthe auditmatter Description of the key audit matter As indicated in the Notes to the accounts Part B – Balance sheet – Assets – Section 10 – Tax assets and tax liabilities, the Bank, also on the basis of the projections of the new strategic plan 2022 – 2024 "UniCredit Unlocked" approved by the Board of Directors of the Bank on December 8, 2021, recognised additional Deferred Tax Assets, previously not recognised, for a total amount equal to 1,164 million Euro on tax losses carry forward. The Directors of the Bank, as more broadly described in the Notes to the accounts Part A – Accounting policies – Section 2 – General preparation criteria, explain that the sustainability test aimed at ascertaining, pursuant to IAS 12, the recoverability of deferred tax assets on the basis of expected future taxable income was conducted considering different macroeconomic scenarios, in order to take into account the current particularly volatile and uncertain market context. As indicated in the Notes to the accounts Part B–Balance sheet –Assets – Descriptionofthekey Section 10–Tax assets and tax liabilities, the Bank, also on the basis ofthe auditmatter projections of the new strategic plan 2022 –2024 "UniCredit Unlocked" approved by the Board of Directors of the Bank on December 8, 2021, recognisedadditional Deferred Tax Assets, previously not recognised, for a total amount equal to 1,164 million Euro on tax losses carry forward. The Directors of the Bank, as more broadly described in the Notes to the accounts Part A –Accounting policies –Section 2 –General preparation criteria, explain that the sustainability test aimed at ascertaining, pursuant to IAS 12, the recoverability of deferred tax assets on the basis of expected future taxable income was conducted considering different macroeconomic scenarios, in order to take into account the current particularly volatile and uncertain market context. More specifically, for the purposes of testing the sustainability of Deferred Tax Assets, two different scenarios were considered: More specifically, for the purposes of testing the sustainability of Deferred Tax Assets, two different scenarios were considered: • • a base-case scenario ("Baseline"), which reflects the scenario outlined in September 2021 and used for the strategic plan 2022 – 2024 “UniCredit Unlocked”; a worst-case scenario ("Downturn") which, in light of the current context of uncertainty, was developed considering macroeconomic conditions that are worse than the Baseline scenario and which reflects a downward revision of the profitability expected from the new strategic plan. Considering the significance of the effect of the recognition of the Deferred Tax Assets mentioned above on the net results of the Bank and the complexity and subjectivity inherent in the estimation processes adopted by management in conducting the sustainability test, which are characterised by numerous variables, we have identified the recognition of Deferred Tax Assets on tax losses carry forward as a key audit matter of the financial statements of the Bank as at December 31, 2021. The audit procedures performed included, among others, the following: Auditprocedures performed Audit procedures performed The audit procedures performed included, among others, the following: The audit procedures performed included, among others, the following: Auditprocedures performed analysis and understanding of the internal control system as well as the internal procedures and processes in relation to the preparation of the sustainability test for Deferred Tax Assets; analysis and understanding of the internal control system as well as the internal procedures and processes in relation to the preparation of the sustainability test for Deferred Tax Assets; verification of the implementation of internal procedures and processes, as well as of the relevant controls on the process related to verification of the implementation of internal procedures and processes, as well as of the relevant controls on the process related to • • • • • • processes, as well as of the relevant controls on the process related to verification of the implementation of internal procedures and sustainability test for Deferred Tax Assets; internal procedures and processes in relation to the preparation of the analysis and understanding of the internal control system as well as the performed Audit procedures The audit procedures performed included, among others, the following: statements of the Bank as at December 31, 2021. Assets on tax losses carry forward as a key audit matter of the financial by numerous variables, we have identified the recognition of Deferred Tax management in conducting the sustainability test, which are characterised complexity and subjectivity inherent in the estimation processes adopted by Tax Assets mentioned above on the net results of the Bank and the Considering the significance of the effect of the recognition of the Deferred strategic plan. a downward revision of the profitability expected from the new conditions that are worse than the Baseline scenario and which reflects context of uncertainty, was developed considering macroeconomic a worst-case scenario ("Downturn") which, in light of the current “UniCredit Unlocked”; in September 2021 and used for the strategic plan 2022 – 2024 a base-case scenario ("Baseline"), which reflects the scenario outlined Tax Assets, two different scenarios were considered: More specifically, for the purposes of testing the sustainability of Deferred uncertain market context. scenarios, in order to take into account the current particularly volatile and future taxable income was conducted considering different macroeconomic IAS 12, the recoverability of deferred tax assets on the basis of expected criteria, explain that the sustainability test aimed at ascertaining, pursuant to accounts Part A – Accounting policies – Section 2 – General preparation The Directors of the Bank, as more broadly described in the Notes to the total amount equal to 1,164 million Euro on tax losses carry forward. recognised additional Deferred Tax Assets, previously not recognised, for a approved by the Board of Directors of the Bank on December 8, 2021, projections of the new strategic plan 2022 – 2024 "UniCredit Unlocked" audit matter Section 10 – Tax assets and tax liabilities, the Bank, also on the basis of the Description of the key As indicated in the Notes to the accounts Part B – Balance sheet – Assets – Recognition of Deferred Tax Assets on tax losses carry forward 2 2 projections of the new strategic plan 2022 –2024 "UniCredit Unlocked" approved by the Board of Directors of the Bank on December 8, 2021, recognisedadditional Deferred Tax Assets, previously not recognised, for a total amount equal to 1,164 million Euro on tax losses carry forward. The Directors of the Bank, as more broadly described in the Notes to the accounts Part A –Accounting policies –Section 2 –General preparation criteria, explain that the sustainability test aimed at ascertaining, pursuant to IAS 12, the recoverability of deferred tax assets on the basis of expected future taxable income was conducted considering different macroeconomic scenarios, in order to take into account the current particularly volatile and uncertain market context. More specifically, for the purposes of testing the sustainability of Deferred Tax Assets, two different scenarios were considered: a base-case scenario ("Baseline"), which reflects the scenario outlined in September 2021 and used for the strategic plan 2022 –2024 “UniCredit Unlocked”; a worst-case scenario ("Downturn") which, in light of the current context of uncertainty, was developed considering macroeconomic conditions that are worse than the Baseline scenario and which reflects a downward revision of the profitability expected from the new strategic plan. Considering the significance of the effect of the recognition of the Deferred Tax Assets mentioned above on the net results of the Bank andthe complexity and subjectivity inherent in the estimation processes adopted by management in conducting the sustainability test, which are characterised by numerous variables, we have identified the recognition of Deferred Tax Assets on taxlosses carry forward as a key audit matter of the financial statements of the Bankas at December 31, 2021. analysis and understanding of the internal control system as well as the internal procedures and processes in relation to the preparation of the sustainability test for Deferred Tax Assets; verification of the implementation of internal procedures and processes, as well as of the relevant controls on the process related to • • • • measurement of non-current assets and disposal groups classified as internal procedures and processes in relation to the classification and • analysis and understanding of the internal control system as well as the performed Audit procedures The audit procedures performed included, among others, the following: financial statements of the Bank as at December 31, 2021. the equity investment in UniCredit Leasing S.p.A. as a key audit matter of the estimating its fair value, we identified the classification and measurement of requirements for classifying it as an asset held for sale, as well as in S.p.A. and the complexity and subjectivity in assessing the meet of the Considering the relevance of the equity investment in UniCredit Leasing classification. investment and its fair value, net of expected costs to sell, at the date of the corresponding to the difference between the carrying amount of the equity in a negative impact on the income statement of 280 million Euro, This classification and the consequent valuation required by IFRS 5 resulted held for sale. the equity investment in UniCredit Leasing S.p.A. was classified as an asset audit matter Section 15 – Gains (Losses) of equity investments, as at December 31, 2021, Description of the key As indicated in the Notes to the accounts Part C – Income statement – Classification and valuation of the equity investment in UniCredit Leasing S.p.A. applicable accounting standards. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures financial statements. analysis of subsequent events occurring after the reference date of the change; Deferred Tax Assets that can be recognised when the parameters used examination of the sensitivity analyses carried out on the amount of parameters used; test and verification of the reasonableness of the estimate of the analysis and understanding of the model adopted for the sustainability 2024 strategic plan UniCredit Unlocked; verification of their consistency with the forecast data of the 2022 – underlying the estimate of expected future taxable income and analysis and understanding of the main assumptions and hypotheses the sustainability test; • • • • • • • • 3 3 3 the sustainability test; the sustainability test; analysis and understanding of the main assumptions and hypotheses underlying the estimate of expected future taxable income and verification of their consistency with the forecast data of the 2022 – 2024 strategic plan UniCredit Unlocked; analysis and understanding of the model adopted for the sustainability test and verification of the reasonableness of the estimate of the parameters used; examination of the sensitivity analyses carried out on the amount of Deferred Tax Assets that can be recognised when the parameters used change; analysis of subsequent events occurring after the reference date of the financial statements. analysis of subsequent events occurring after the reference date of the financial statements. analysis and understanding of the main assumptions and hypotheses underlying the estimate of expected future taxable income and verification of their consistency with the forecast data of the 2022 – 2024 strategic plan UniCredit Unlocked; analysis and understanding of the model adopted for the sustainability test and verification of the reasonableness of the estimate of the parameters used; examination of the sensitivity analyses carried out on the amount of Deferred Tax Assets that can be recognised when the parameters used change; • • • • ClassificationandvaluationoftheequityinvestmentinUniCreditLeasingS.p.A. Classification and valuation of the equity investment in UniCredit Leasing S.p.A. ClassificationandvaluationoftheequityinvestmentinUniCreditLeasingS.p.A. As indicated in the Notes to the accounts Part C–Income statement – Descriptionofthekey Section 15 –Gains (Losses) of equity investments, as at December 31, 2021, auditmatter the equity investment in UniCredit Leasing S.p.A. was classified asan asset held for sale. Description of the key audit matter As indicated in the Notes to the accounts Part C – Income statement – Section 15 – Gains (Losses) of equity investments, as at December 31, 2021, the equity investment in UniCredit Leasing S.p.A. was classified as an asset held for sale. As indicated in the Notes to the accounts Part C–Income statement – Descriptionofthekey Section 15 –Gains (Losses) of equity investments, as at December 31, 2021, auditmatter the equity investment in UniCredit Leasing S.p.A. was classified asan asset held for sale. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. This classification and the consequent valuation required by IFRS 5 resulted in a negative impact on the income statement of 280 million Euro, corresponding to the difference between the carrying amount of the equity investment and its fair value, net of expected costs to sell, at the date of the classification. Considering the relevance of the equity investment in UniCredit Leasing S.p.A. and the complexity and subjectivity in assessing the meet of the requirements for classifying it as an asset held for sale, as well as in estimating its fair value, we identified the classification and measurement of the equity investment in UniCredit Leasing S.p.A. as a key audit matter of the financial statements of the Bank as at December 31, 2021. This classification and the consequent valuation required by IFRS 5 resulted in a negative impact on the income statement of 280million Euro, corresponding to the difference between the carrying amount of theequity investmentand itsfair value, net of expected coststo sell, at the date of the classification. Considering the relevance of the equity investment in UniCredit Leasing S.p.A. and the complexity and subjectivity in assessing the meet of the requirements for classifying itas an asset held for sale, as well as in estimating its fair value, we identified the classification and measurement of the equity investment in UniCredit Leasing S.p.A. as a key audit matter of the financial statements of the Bank as at December 31, 2021. The audit procedures performed included, among others, the following: Auditprocedures performed Audit procedures performed The audit procedures performed included, among others, the following: The audit procedures performed included, among others, the following: Auditprocedures performed analysis and understanding of the internal control system as well as the • internal procedures and processes in relation to the classification and measurement of non-current assets and disposal groups classified as • analysis and understanding of the internal control system as well as the internal procedures and processes in relation to the classification and measurement of non-current assets and disposal groups classified as analysis and understanding of the internal control system as well as the • internal procedures and processes in relation to the classification and measurement of non-current assets and disposal groups classified as 3 the sustainability test; analysis and understanding of the main assumptions and hypotheses underlying the estimate of expected future taxable income and verification of their consistency with the forecast data of the 2022 – 2024 strategic plan UniCredit Unlocked; analysis and understanding of the model adopted for the sustainability test and verification of the reasonableness of the estimate of the parameters used; examination of the sensitivity analyses carried out on the amount of Deferred Tax Assets that can be recognised when the parameters used change; analysis of subsequent events occurring after the reference date of the financial statements. • • • • Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. This classification and the consequent valuation required by IFRS 5 resulted in a negative impact on the income statement of 280million Euro, corresponding to the difference between the carrying amount of theequity investmentand itsfair value, net of expected coststo sell, at the date of the classification. Considering the relevance of the equity investment in UniCredit Leasing S.p.A. and the complexity and subjectivity in assessing the meet of the requirements for classifying itas an asset held for sale, as well as in estimating its fair value, we identified the classification and measurement of the equity investment in UniCredit Leasing S.p.A. as a key audit matter of the financial statements of the Bank as at December 31, 2021. measurement of non-current assets and disposal groups classified as internal procedures and processes in relation to the classification and • analysis and understanding of the internal control system as well as the performed Audit procedures The audit procedures performed included, among others, the following: financial statements of the Bank as at December 31, 2021. the equity investment in UniCredit Leasing S.p.A. as a key audit matter of the estimating its fair value, we identified the classification and measurement of requirements for classifying it as an asset held for sale, as well as in S.p.A. and the complexity and subjectivity in assessing the meet of the Considering the relevance of the equity investment in UniCredit Leasing classification. investment and its fair value, net of expected costs to sell, at the date of the corresponding to the difference between the carrying amount of the equity in a negative impact on the income statement of 280 million Euro, This classification and the consequent valuation required by IFRS 5 resulted held for sale. the equity investment in UniCredit Leasing S.p.A. was classified as an asset audit matter Section 15 – Gains (Losses) of equity investments, as at December 31, 2021, Description of the key As indicated in the Notes to the accounts Part C – Income statement – Classification and valuation of the equity investment in UniCredit Leasing S.p.A. applicable accounting standards. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures financial statements. analysis of subsequent events occurring after the reference date of the change; Deferred Tax Assets that can be recognised when the parameters used examination of the sensitivity analyses carried out on the amount of parameters used; test and verification of the reasonableness of the estimate of the analysis and understanding of the model adopted for the sustainability 2024 strategic plan UniCredit Unlocked; verification of their consistency with the forecast data of the 2022 – underlying the estimate of expected future taxable income and analysis and understanding of the main assumptions and hypotheses • • • • the sustainability test; 3 different scenarios were considered: More specifically, for impairment testing of the equity investments, two context. to take into account the current particularly volatile and uncertain market 36 was conducted considering different macroeconomic scenarios, in order criteria, explain that the impairment test carried out in accordance with IAS accounts Part A – Accounting policies – Section 2 – General preparation The Directors of the Bank, as more broadly described in the Notes to the the investment in UniCredit Bank Austria AG for 2,972 million Euro. in relation to the investment in UniCredit Bank AG for 4,958 million Euro and 2021, the Bank recognised impairment reversals equal to 7,930 million Euro Unlocked" approved by the Board of Directors of the Bank on December 8, basis of the projections of the new strategic plan 2022 – 2024 "UniCredit investments in subsidiaries, carried out as at December 31, 2021 also on the audit matter Section 7 – Equity investments, as a result of the impairment test of equity Description of the key As indicated in the Notes to the accounts Part B – Balance Sheet – Assets – Impairment test of the equity investments in subsidiaries applicable accounting standards. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures financial statements. analysis of subsequent events occurring after the reference date of the respect to the reference accounting standards; by the Bank in determining the fair value of the equity investment with verification of the reasonableness of the principles and methods used equity investment as a non-current asset held for sale; international accounting standard IFRS 5 for the qualification of the in order to verify the existence of the requirements provided for by the management, the relevant documentation related to the proposed sale obtaining and analysing, also through discussions with the sale of the leasing company; analysis of the actions taken by the Bank in relation to the proposed groups classified as held for sale and the associated liabilities; classification and measurement of non-current assets and disposal processes, as well as relevant controls over the process related to the verification of the implementation of internal procedures and held for sale and the associated liabilities; • • • • • • • • • • 4 4 4 held for sale and the associated liabilities; held for sale and the associated liabilities; verification of the implementation of internal procedures and processes, as well as relevant controls over the process related to the classification and measurement of non-current assets and disposal groups classified as held for sale and the associated liabilities; verification of the implementation of internal procedures and processes, as well as relevant controls over the process related to the classification and measurement of non-current assets and disposal groups classified as held for sale and the associated liabilities; analysis of the actions taken by the Bank in relation to the proposed sale of the leasing company; analysis of the actions taken by the Bank in relation to the proposed sale of the leasing company; obtaining and analysing, also through discussions with the management, the relevant documentation related to the proposed sale in order to verify the existence of the requirements provided for by the international accounting standard IFRS 5 for the qualification of the equity investment as a non-current asset held for sale; verification of the reasonableness of the principles and methods used by the Bank in determining the fair value of the equity investment with respect to the reference accounting standards; obtaining and analysing, also through discussions with the management, the relevant documentation related to the proposed sale in order to verify the existence of the requirements provided for by the international accounting standard IFRS 5 for the qualification of the equity investment as a non-current asset held for sale; verification of the reasonableness of the principles and methods used by the Bank in determining the fair value of the equity investment with respect to the reference accounting standards; analysis of subsequent events occurring after the reference date of the financial statements. analysis of subsequent events occurring after the reference date of the financial statements. • • • • • Impairmenttestoftheequityinvestmentsinsubsidiaries Impairment test of the equity investments in subsidiaries Impairmenttestoftheequityinvestmentsinsubsidiaries Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. As indicated in the Notes to the accounts Part B –Balance Sheet –Assets – Descriptionofthekey Section 7 –Equity investments, as a result of the impairment test of equity auditmatter Description of the key audit matter As indicated in the Notes to the accounts Part B – Balance Sheet – Assets – Section 7 – Equity investments, as a result of the impairment test of equity investments in subsidiaries, carried out as at December 31, 2021 also on the basis of the projections of the new strategic plan 2022 – 2024 "UniCredit Unlocked" approved by the Board of Directors of the Bank on December 8, 2021, the Bank recognised impairment reversals equal to 7,930 million Euro in relation to the investment in UniCredit Bank AG for 4,958 million Euro and the investment in UniCredit Bank Austria AG for 2,972 million Euro. The Directors of the Bank, as more broadly described in the Notes to the accounts Part A – Accounting policies – Section 2 – General preparation criteria, explain that the impairment test carried out in accordance with IAS 36 was conducted considering different macroeconomic scenarios, in order to take into account the current particularly volatile and uncertain market context. As indicated in the Notes to the accounts Part B –Balance Sheet –Assets – Descriptionofthekey Section 7 –Equity investments, as a result of the impairment test of equity auditmatter investments in subsidiaries, carried out as at December 31, 2021 also on the basis of the projections of the new strategic plan 2022 –2024 "UniCredit Unlocked" approved by the Board of Directors of the Bank on December 8, 2021, the Bank recognised impairment reversals equal to7,930 million Euro in relationto the investment in UniCredit Bank AG for 4,958 million Euro and the investment in UniCredit Bank Austria AG for 2,972 million Euro. The Directors of theBank, as more broadly described in the Notes to the accounts Part A –Accounting policies –Section 2 –General preparation criteria, explain that the impairment test carried out in accordance with IAS 36 was conducted considering different macroeconomic scenarios, in order to take into account the current particularly volatile and uncertain market context. More specifically, for impairment testing of the equity investments, two different scenarios were considered: More specifically, for impairment testing of the equity investments, two different scenarios were considered: 4 held for sale and the associated liabilities; verification of the implementation of internal procedures and processes, as well as relevant controls over the process related to the classification and measurement of non-current assets and disposal groups classified as held for sale and the associated liabilities; analysis of the actions taken by the Bank in relation to the proposed sale of the leasing company; obtaining and analysing, also through discussions with the management, the relevant documentation related to the proposed sale in order to verify the existence of the requirements provided for by the international accounting standard IFRS 5 for the qualification of the equity investment as a non-current asset held for sale; verification of the reasonableness of the principles and methods used by the Bank in determining the fair value of the equity investment with respect to the reference accounting standards; analysis of subsequent events occurring after the reference date of the financial statements. • • • • • Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. investments in subsidiaries, carried out as at December 31, 2021 also on the basis of the projections of the new strategic plan 2022 –2024 "UniCredit Unlocked" approved by the Board of Directors of the Bank on December 8, 2021, the Bank recognised impairment reversals equal to7,930 million Euro in relationto the investment in UniCredit Bank AG for 4,958 million Euro and the investment in UniCredit Bank Austria AG for 2,972 million Euro. The Directors of theBank, as more broadly described in the Notes to the accounts Part A –Accounting policies –Section 2 –General preparation criteria, explain that the impairment test carried out in accordance with IAS 36 was conducted considering different macroeconomic scenarios, in order to take into account the current particularly volatile and uncertain market context. More specifically, for impairment testing of the equity investments, two different scenarios were considered: different scenarios were considered: More specifically, for impairment testing of the equity investments, two context. to take into account the current particularly volatile and uncertain market 36 was conducted considering different macroeconomic scenarios, in order criteria, explain that the impairment test carried out in accordance with IAS accounts Part A – Accounting policies – Section 2 – General preparation The Directors of the Bank, as more broadly described in the Notes to the the investment in UniCredit Bank Austria AG for 2,972 million Euro. in relation to the investment in UniCredit Bank AG for 4,958 million Euro and 2021, the Bank recognised impairment reversals equal to 7,930 million Euro Unlocked" approved by the Board of Directors of the Bank on December 8, basis of the projections of the new strategic plan 2022 – 2024 "UniCredit investments in subsidiaries, carried out as at December 31, 2021 also on the audit matter Section 7 – Equity investments, as a result of the impairment test of equity Description of the key As indicated in the Notes to the accounts Part B – Balance Sheet – Assets – Impairment test of the equity investments in subsidiaries applicable accounting standards. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures financial statements. analysis of subsequent events occurring after the reference date of the respect to the reference accounting standards; by the Bank in determining the fair value of the equity investment with verification of the reasonableness of the principles and methods used equity investment as a non-current asset held for sale; international accounting standard IFRS 5 for the qualification of the in order to verify the existence of the requirements provided for by the management, the relevant documentation related to the proposed sale obtaining and analysing, also through discussions with the sale of the leasing company; analysis of the actions taken by the Bank in relation to the proposed groups classified as held for sale and the associated liabilities; classification and measurement of non-current assets and disposal processes, as well as relevant controls over the process related to the verification of the implementation of internal procedures and • • • • • held for sale and the associated liabilities; 4 applicable accounting standards. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures financial statements. analysis of subsequent events occurring after the reference date of the the estimation of the main parameters used in the impairment test; examination of the sensitivity analysis of the results with reference to by the Directors; the estimation of the cash flow forecasts and of the parameters used verification of the reasonableness of the main assumptions underlying analysis and understanding of the impairment test model adopted and impairment test; strategic plan whose expected cash flows are used to perform the analysis and understanding of the process for preparing the new the impairment test; processes, as well as of the relevant controls on the process related to verification of the implementation of internal procedures and process approved by the Directors of the Bank; internal procedures and processes regarding the impairment test analysis and understanding of the internal control system as well as the financial statements of the Bank as at December 31, 2021. of the equity investments in subsidiaries as a key audit matter of the characterised by numerous variables, we have identified the impairment test adopted by management in conducting the impairment test, which are and the complexity and subjectivity inherent in the estimation processes Considering the significance of the reversals of impairment losses recognised strategic plan. a downward revision of the profitability expected from the new conditions that are worse than the Baseline scenario and which reflects context of uncertainty, was developed considering macroeconomic a worst-case scenario ("Downturn") which, in light of the current “UniCredit Unlocked”; in September 2021 and used for the strategic plan 2022 – 2024 a base-case scenario ("Baseline"), which reflects the scenario outlined performed Audit procedures The audit procedures performed included, among others, the following: • • • • • • • • • • 5 5 5 a base-case scenario ("Baseline"), which reflects the scenario outlined in September 2021 and used for the strategic plan 2022 – 2024 “UniCredit Unlocked”; a worst-case scenario ("Downturn") which, in light of the current context of uncertainty, was developed considering macroeconomic conditions that are worse than the Baseline scenario and which reflects a downward revision of the profitability expected from the new strategic plan. The audit procedures performed included, among others, the following: Auditprocedures performed Audit procedures performed The audit procedures performed included, among others, the following: The audit procedures performed included, among others, the following: Auditprocedures performed Considering the significance of the reversals of impairment losses recognised and the complexity and subjectivity inherent in the estimation processes adopted by management in conducting the impairment test, which are characterised by numerous variables, we have identified the impairment test of the equity investments in subsidiaries as a key audit matter of the financial statements of the Bank as at December 31, 2021. • • • • • • analysis and understanding of the internal control system as well as the internal procedures and processes regarding the impairment test process approved by the Directors of the Bank; verification of the implementation of internal procedures and processes, as well as of the relevant controls on the process related to the impairment test; analysis and understanding of the process for preparing the new strategic plan whose expected cash flows are used to perform the impairment test; analysis and understanding of the impairment test model adopted and verification of the reasonableness of the main assumptions underlying the estimation of the cash flow forecasts and of the parameters used by the Directors; examination of the sensitivity analysis of the results with reference to the estimation of the main parameters used in the impairment test; examination of the sensitivity analysis of the results with reference to the estimation of the main parameters used in the impairment test; analysis of subsequent events occurring after the reference date of the financial statements. analysis of subsequent events occurring after the reference date of the financial statements. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. a base-case scenario ("Baseline"), which reflects the scenario outlined in September 2021 and used for the strategic plan 2022 –2024 “UniCredit Unlocked”; a worst-case scenario ("Downturn") which, in light of the current context of uncertainty, was developed considering macroeconomic conditions that are worse than the Baseline scenario and which reflects a downward revision of the profitability expected from the new strategic plan. Considering the significance of the reversals of impairment losses recognised and the complexity and subjectivity inherent in the estimation processes adopted by management in conducting the impairment test, which are characterised by numerous variables, we have identified the impairment test of the equity investments in subsidiaries as a key audit matter of the financial statements of the Bank as at December 31, 2021. analysis and understanding of the internal control system as well as the internal procedures and processes regarding the impairment test process approved by the Directors of the Bank; verification of the implementation of internalprocedures and processes, as well as of the relevant controls on the process related to the impairmenttest; analysis and understanding of the process for preparingthenew strategic plan whose expected cash flows are used to perform the impairment test; analysis and understanding of the impairment test model adopted and verification of the reasonableness of the main assumptions underlying the estimation of the cash flow forecasts and of the parameters used by the Directors; • • • • • • • • 5 a base-case scenario ("Baseline"), which reflects the scenario outlined in September 2021 and used for the strategic plan 2022 –2024 “UniCredit Unlocked”; a worst-case scenario ("Downturn") which, in light of the current context of uncertainty, was developed considering macroeconomic conditions that are worse than the Baseline scenario and which reflects a downward revision of the profitability expected from the new strategic plan. Considering the significance of the reversals of impairment losses recognised and the complexity and subjectivity inherent in the estimation processes adopted by management in conducting the impairment test, which are characterised by numerous variables, we have identified the impairment test of the equity investments in subsidiaries as a key audit matter of the financial statements of the Bank as at December 31, 2021. analysis and understanding of the internal control system as well as the internal procedures and processes regarding the impairment test process approved by the Directors of the Bank; verification of the implementation of internalprocedures and processes, as well as of the relevant controls on the process related to the impairmenttest; analysis and understanding of the process for preparingthenew strategic plan whose expected cash flows are used to perform the impairment test; analysis and understanding of the impairment test model adopted and verification of the reasonableness of the main assumptions underlying the estimation of the cash flow forecasts and of the parameters used by the Directors; examination of the sensitivity analysis of the results with reference to the estimation of the main parameters used in the impairment test; analysis of subsequent events occurring after the reference date of the financial statements. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards. • • • • • • • • applicable accounting standards. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures financial statements. analysis of subsequent events occurring after the reference date of the the estimation of the main parameters used in the impairment test; examination of the sensitivity analysis of the results with reference to by the Directors; the estimation of the cash flow forecasts and of the parameters used verification of the reasonableness of the main assumptions underlying analysis and understanding of the impairment test model adopted and impairment test; strategic plan whose expected cash flows are used to perform the analysis and understanding of the process for preparing the new the impairment test; processes, as well as of the relevant controls on the process related to verification of the implementation of internal procedures and process approved by the Directors of the Bank; internal procedures and processes regarding the impairment test analysis and understanding of the internal control system as well as the financial statements of the Bank as at December 31, 2021. of the equity investments in subsidiaries as a key audit matter of the characterised by numerous variables, we have identified the impairment test adopted by management in conducting the impairment test, which are and the complexity and subjectivity inherent in the estimation processes Considering the significance of the reversals of impairment losses recognised strategic plan. a downward revision of the profitability expected from the new conditions that are worse than the Baseline scenario and which reflects context of uncertainty, was developed considering macroeconomic a worst-case scenario ("Downturn") which, in light of the current “UniCredit Unlocked”; in September 2021 and used for the strategic plan 2022 – 2024 a base-case scenario ("Baseline"), which reflects the scenario outlined • • • • • • • • 5 performed Audit procedures The audit procedures performed included, among others, the following: of intermediaries. and risk management policies, as well as on the financial and equity situation measures to support the economy have produced on strategies, objectives 2021 a specific information on the effects that the Covid-19 and the compilation rules” by the Bank of Italy which required also for financial year “Circular No.262 requirements - Banks financial statements: schemes and as required in the integration dated December 21, 2021 to the instructions Covid-19 measures: gross and net value); gross and net value and A.1.7a Other loans and advances subject to quality (A.1.5a Other loans and advances subject to Covid-19 measures: Part E – Information on risks and hedging policies – Section A – Credit breakdown); financial assets at amortised cost subject to Covid-19 measures: impairment (8.1a Net impairment losses for credit risk relating to Part C – Income statements – Section 8 Net losses/recoveries on credit 19 measures: gross value and total accumulated impairments); amortised cost (4.4a Financial assets at amortised cost subject to Covid- Part B – Balance sheet – Assets – Section 4 – Financial assets at • • • Notes to the accounts in the following sections: impacts on the Bank's economic and financial situation are reported in the The context was also characterized by the moratorium extension whose the recognition of higher write-downs in the financial statements. overall increase of credit exposures classified in Stage 2 and consequently have been introduced in the IFRS9 staging allocation process determining an European Central Bank expectations, specific methodological interventions Covid-19 pandemic, starting from December 31, 2021, based also on proper evaluation of the significant increase in credit risk deriving from the specific initiatives put in place starting from financial year 2020 to assure a governments to support the economies. Furthermore, in addition to the expiration of the Covid government measures introduced by the different to: i) persisting uncertainties deriving from Covid-19 prolonged effects; ii) estimate the expected credit losses to include future potential risks related methods for expected losses, the Bank applied managerial overlays to on risks and hedging policies – Section 1 – Credit Risk – 2.3 Measurement As more broadly described in the Notes to the accounts Part E – Information customers (stage 1 and stage 2) are equal to 188,688 million Euro. cost: Breakdown by product of loans and advances to customers), loans to audit matter – Financial assets at amortised cost (Table 4.2 Financial Assets at amortised Description of the key As indicated in the Notes to the accounts Part B – Balance Sheet – Section 4 Risk of uncorrected classification and valuation of performing customer loans 6 6 6 Riskofuncorrectedclassificationandvaluationofperformingcustomerloans Risk of uncorrected classification and valuation of performing customer loans Riskofuncorrectedclassificationandvaluationofperformingcustomerloans As indicated in the Notes to the accounts Part B –Balance Sheet –Section 4 Descriptionofthekey –Financial assets at amortised cost (Table 4.2 Financial Assets at amortised auditmatter Description of the key audit matter As indicated in the Notes to the accounts Part B –Balance Sheet –Section 4 Descriptionofthekey –Financial assets at amortised cost (Table 4.2 Financial Assets at amortised auditmatter cost: Breakdown by product of loans and advances to customers), loans to customers (stage 1 and stage2) are equal to 188,688 million Euro. As more broadly described in the Notes to the accounts Part E –Information on risks and hedging policies–Section 1 –Credit Risk –2.3 Measurement methods for expected losses, the Bank applied managerial overlays to estimate the expected credit losses to include future potential risks related to: i) persisting uncertainties deriving from Covid-19 prolonged effects; ii) expiration of the Covid government measures introduced by the different governments to support the economies. Furthermore, in addition to the specific initiatives put in place starting from financial year 2020 to assure a proper evaluation of the significant increase in credit risk deriving from the Covid-19 pandemic, starting from December 31, 2021, based also on European Central Bank expectations, specific methodological interventions have been introduced in the IFRS9 staging allocation process determining an overall increase of credit exposures classified in Stage 2 and consequently the recognition of higher write-downs in the financial statements. The context was also characterized by the moratorium extension whose impacts on the Bank's economic and financial situation are reported in the Notes to the accounts in the following sections: Part B –Balance sheet –Assets –Section 4 –Financial assets at amortised cost (4.4a Financial assets at amortised cost subject to Covid- 19 measures: gross value and total accumulated impairments); Part C –Income statements –Section 8 Net losses/recoveries on credit impairment (8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown); Part E –Information on risks and hedging policies –Section A –Credit quality (A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value and A.1.7a Other loans and advances subject to Covid-19 measures: gross and net value); • • • as required in the integration dated December 21, 2021 to the instructions “Circular No.262 requirements -Banks financial statements: schemes and compilation rules” by the Bank of Italy which required also for financial year 2021 a specific information on the effects that the Covid-19 and the measures to support the economy have produced on strategies, objectives and risk management policies, as well as on the financial and equity situation of intermediaries. As indicated in the Notes to the accounts Part B – Balance Sheet – Section 4 – Financial assets at amortised cost (Table 4.2 Financial Assets at amortised cost: Breakdown by product of loans and advances to customers), loans to customers (stage 1 and stage 2) are equal to 188,688 million Euro. As more broadly described in the Notes to the accounts Part E – Information on risks and hedging policies – Section 1 – Credit Risk – 2.3 Measurement methods for expected losses, the Bank applied managerial overlays to estimate the expected credit losses to include future potential risks related to: i) persisting uncertainties deriving from Covid-19 prolonged effects; ii) expiration of the Covid government measures introduced by the different governments to support the economies. Furthermore, in addition to the specific initiatives put in place starting from financial year 2020 to assure a proper evaluation of the significant increase in credit risk deriving from the Covid-19 pandemic, starting from December 31, 2021, based also on European Central Bank expectations, specific methodological interventions have been introduced in the IFRS9 staging allocation process determining an overall increase of credit exposures classified in Stage 2 and consequently the recognition of higher write-downs in the financial statements. The context was also characterized by the moratorium extension whose impacts on the Bank's economic and financial situation are reported in the Notes to the accounts in the following sections: • • • Part B – Balance sheet – Assets – Section 4 – Financial assets at amortised cost (4.4a Financial assets at amortised cost subject to Covid- 19 measures: gross value and total accumulated impairments); Part C – Income statements – Section 8 Net losses/recoveries on credit impairment (8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown); Part E – Information on risks and hedging policies – Section A – Credit quality (A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value and A.1.7a Other loans and advances subject to Covid-19 measures: gross and net value); as required in the integration dated December 21, 2021 to the instructions “Circular No.262 requirements - Banks financial statements: schemes and compilation rules” by the Bank of Italy which required also for financial year 2021 a specific information on the effects that the Covid-19 and the measures to support the economy have produced on strategies, objectives and risk management policies, as well as on the financial and equity situation of intermediaries. of intermediaries. and risk management policies, as well as on the financial and equity situation measures to support the economy have produced on strategies, objectives 2021 a specific information on the effects that the Covid-19 and the compilation rules” by the Bank of Italy which required also for financial year “Circular No.262 requirements - Banks financial statements: schemes and as required in the integration dated December 21, 2021 to the instructions Covid-19 measures: gross and net value); gross and net value and A.1.7a Other loans and advances subject to quality (A.1.5a Other loans and advances subject to Covid-19 measures: Part E – Information on risks and hedging policies – Section A – Credit breakdown); financial assets at amortised cost subject to Covid-19 measures: impairment (8.1a Net impairment losses for credit risk relating to Part C – Income statements – Section 8 Net losses/recoveries on credit 19 measures: gross value and total accumulated impairments); amortised cost (4.4a Financial assets at amortised cost subject to Covid- Part B – Balance sheet – Assets – Section 4 – Financial assets at • • • Notes to the accounts in the following sections: impacts on the Bank's economic and financial situation are reported in the The context was also characterized by the moratorium extension whose the recognition of higher write-downs in the financial statements. overall increase of credit exposures classified in Stage 2 and consequently have been introduced in the IFRS9 staging allocation process determining an European Central Bank expectations, specific methodological interventions Covid-19 pandemic, starting from December 31, 2021, based also on proper evaluation of the significant increase in credit risk deriving from the specific initiatives put in place starting from financial year 2020 to assure a governments to support the economies. Furthermore, in addition to the expiration of the Covid government measures introduced by the different to: i) persisting uncertainties deriving from Covid-19 prolonged effects; ii) estimate the expected credit losses to include future potential risks related methods for expected losses, the Bank applied managerial overlays to on risks and hedging policies – Section 1 – Credit Risk – 2.3 Measurement As more broadly described in the Notes to the accounts Part E – Information 6 cost: Breakdown by product of loans and advances to customers), loans to customers (stage 1 and stage2) are equal to 188,688 million Euro. As more broadly described in the Notes to the accounts Part E –Information on risks and hedging policies–Section 1 –Credit Risk –2.3 Measurement methods for expected losses, the Bank applied managerial overlays to estimate the expected credit losses to include future potential risks related to: i) persisting uncertainties deriving from Covid-19 prolonged effects; ii) expiration of the Covid government measures introduced by the different governments to support the economies. Furthermore, in addition to the specific initiatives put in place starting from financial year 2020 to assure a proper evaluation of the significant increase in credit risk deriving from the Covid-19 pandemic, starting from December 31, 2021, based also on European Central Bank expectations, specific methodological interventions have been introduced in the IFRS9 staging allocation process determining an overall increase of credit exposures classified in Stage 2 and consequently the recognition of higher write-downs in the financial statements. The context was also characterized by the moratorium extension whose impacts on the Bank's economic and financial situation are reported in the Notes to the accounts in the following sections: Part B –Balance sheet –Assets –Section 4 –Financial assets at amortised cost (4.4a Financial assets at amortised cost subject to Covid- 19 measures: gross value and total accumulated impairments); Part C –Income statements –Section 8 Net losses/recoveries on credit impairment (8.1a Net impairment losses for credit risk relating to financial assets at amortised cost subject to Covid-19 measures: breakdown); Part E –Information on risks and hedging policies –Section A –Credit quality (A.1.5a Other loans and advances subject to Covid-19 measures: gross and net value and A.1.7a Other loans and advances subject to Covid-19 measures: gross and net value); • • • as required in the integration dated December 21, 2021 to the instructions “Circular No.262 requirements -Banks financial statements: schemes and compilation rules” by the Bank of Italy which required also for financial year 2021 a specific information on the effects that the Covid-19 and the measures to support the economy have produced on strategies, objectives and risk management policies, as well as on the financial and equity situation of intermediaries. customers (stage 1 and stage 2) are equal to 188,688 million Euro. cost: Breakdown by product of loans and advances to customers), loans to audit matter – Financial assets at amortised cost (Table 4.2 Financial Assets at amortised Description of the key As indicated in the Notes to the accounts Part B – Balance Sheet – Section 4 Risk of uncorrected classification and valuation of performing customer loans 6 7 Considering the significance of the amount of the performing loans recorded in the financial statements, the increased complexity in the estimation processes adopted by the Bank also to take into accounts persisting prolonged effectsCovid-19 pandemic, we have identified the classification of performing loans, with particular reference to performing credit exposures with higher levels of management risk ("watchlist" exposures) and to exposures subject to moratorium-as well as the related process for determining collective loan loss provisions, as a key audit matter of the financial statements of the Bank as at December 31, 2021. •analysis and understanding of the Bank's internal control system and the relative internal regulations concerning to the credit process which included, in particular, the identification of the organizational and procedural safeguards implemented by the Bank for monitoring credit quality, for the adequacy of the classification according to the provisions of the sector legislation and for the credit valuation in compliance with the applicable accounting standards; such analyses were focused on the main aspects referred to by the Supervisory Authorities following the Covid-19 pandemic; •analysis and understanding of the IT systems and applications used and test of the operational effectiveness of relevant controls, also with the support of IT experts belonging to the Deloitte network; •analysis of the implementation of the procedures and Bank’s processes, test of the operational effectiveness of the relevant controls for the purposes of the classification and valuation process; •analysis and understanding of the main valuation models adopted by the Bank and of the related update, as well as check on a sample basis of the reasonableness of the parameters subject to estimation, also with the support of credit model experts and IT experts belonging to the Deloitte network; •analysis and verification on further assessments made by the Bank for the classification of Stage 2 exposures and for the assessment of counterparties risk; •checks on a sample basis of the classification according to the provisions of the sector legislation as well as of the related valuation in compliance with the applicable accounting standards; •analysis and check of the collective valuation of performing loans, also through the development of independent estimates; • comparative and trend analyses on the volumes of loans to customers and through the development of independent estimates; • analysis and check of the collective valuation of performing loans, also the applicable accounting standards; the sector legislation as well as of the related valuation in compliance with • checks on a sample basis of the classification according to the provisions of counterparties risk; classification of Stage 2 exposures and for the assessment of • analysis and verification on further assessments made by the Bank for the network; support of credit model experts and IT experts belonging to the Deloitte reasonableness of the parameters subject to estimation, also with the Bank and of the related update, as well as check on a sample basis of the • analysis and understanding of the main valuation models adopted by the purposes of the classification and valuation process; test of the operational effectiveness of the relevant controls for the • analysis of the implementation of the procedures and Bank’s processes, support of IT experts belonging to the Deloitte network; test of the operational effectiveness of relevant controls, also with the • analysis and understanding of the IT systems and applications used and pandemic; aspects referred to by the Supervisory Authorities following the Covid-19 applicable accounting standards; such analyses were focused on the main the sector legislation and for the credit valuation in compliance with the quality, for the adequacy of the classification according to the provisions of procedural safeguards implemented by the Bank for monitoring credit included, in particular, the identification of the organizational and relative internal regulations concerning to the credit process which • analysis and understanding of the Bank's internal control system and the financial statements of the Bank as at December 31, 2021. determining collective loan loss provisions, as a key audit matter of the exposures subject to moratorium- as well as the related process for with higher levels of management risk ("watchlist" exposures) and to performing loans, with particular reference to performing credit exposures prolonged effects Covid-19 pandemic, we have identified the classification of processes adopted by the Bank also to take into accounts persisting in the financial statements, the increased complexity in the estimation Considering the significance of the amount of the performing loans recorded performed Audit procedures The audit procedures performed, included, among others, the following: 7 7 7 Considering the significance of the amount of the performing loans recorded in the financial statements, the increased complexity in the estimation processes adopted by the Bank also to take into accounts persisting prolonged effects Covid-19 pandemic, we have identified the classification of performing loans, with particular reference to performing credit exposures with higher levels of management risk ("watchlist" exposures) and to exposures subject to moratorium- as well as the related process for determining collective loan loss provisions, as a key audit matter of the financial statements of the Bank as at December 31, 2021. The audit procedures performed, included, among others, the following: Auditprocedures performed Audit procedures performed The audit procedures performed, included, among others, the following: The audit procedures performed, included, among others, the following: Auditprocedures performed • analysis and understanding of the Bank's internal control system and the relative internal regulations concerning to the credit process which included, in particular, the identification of the organizational and procedural safeguards implemented by the Bank for monitoring credit quality, for the adequacy of the classification according to the provisions of the sector legislation and for the credit valuation in compliance with the applicable accounting standards; such analyses were focused on the main aspects referred to by the Supervisory Authorities following the Covid-19 pandemic; • analysis and understanding of the IT systems and applications used and test of the operational effectiveness of relevant controls, also with the support of IT experts belonging to the Deloitte network; • analysis of the implementation of the procedures and Bank’s processes, test of the operational effectiveness of the relevant controls for the purposes of the classification and valuation process; • analysis and understanding of the main valuation models adopted by the Bank and of the related update, as well as check on a sample basis of the reasonableness of the parameters subject to estimation, also with the support of credit model experts and IT experts belonging to the Deloitte network; • analysis and verification on further assessments made by the Bank for the classification of Stage 2 exposures and for the assessment of counterparties risk; • checks on a sample basis of the classification according to the provisions of the sector legislation as well as of the related valuation in compliance with the applicable accounting standards; •comparative and trend analyses on the volumes of loans to customers and • comparative and trend analyses on the volumes of loans to customers and •comparative and trend analyses on the volumes of loans to customers and • analysis and check of the collective valuation of performing loans, also through the development of independent estimates; •analysis and check of the collective valuation of performing loans, also through the development of independent estimates; • comparative and trend analyses on the volumes of loans to customers and through the development of independent estimates; • analysis and check of the collective valuation of performing loans, also the applicable accounting standards; the sector legislation as well as of the related valuation in compliance with • checks on a sample basis of the classification according to the provisions of counterparties risk; classification of Stage 2 exposures and for the assessment of • analysis and verification on further assessments made by the Bank for the network; support of credit model experts and IT experts belonging to the Deloitte reasonableness of the parameters subject to estimation, also with the Bank and of the related update, as well as check on a sample basis of the • analysis and understanding of the main valuation models adopted by the purposes of the classification and valuation process; test of the operational effectiveness of the relevant controls for the • analysis of the implementation of the procedures and Bank’s processes, support of IT experts belonging to the Deloitte network; test of the operational effectiveness of relevant controls, also with the • analysis and understanding of the IT systems and applications used and pandemic; aspects referred to by the Supervisory Authorities following the Covid-19 applicable accounting standards; such analyses were focused on the main the sector legislation and for the credit valuation in compliance with the quality, for the adequacy of the classification according to the provisions of procedural safeguards implemented by the Bank for monitoring credit included, in particular, the identification of the organizational and relative internal regulations concerning to the credit process which • analysis and understanding of the Bank's internal control system and the financial statements of the Bank as at December 31, 2021. determining collective loan loss provisions, as a key audit matter of the exposures subject to moratorium- as well as the related process for with higher levels of management risk ("watchlist" exposures) and to performing loans, with particular reference to performing credit exposures prolonged effects Covid-19 pandemic, we have identified the classification of processes adopted by the Bank also to take into accounts persisting in the financial statements, the increased complexity in the estimation Considering the significance of the amount of the performing loans recorded 7 performed Audit procedures The audit procedures performed, included, among others, the following: Considering the significance of the amount of the performing loans recorded in the financial statements, the increased complexity in the estimation processes adopted by the Bank also to take into accounts persisting prolonged effectsCovid-19 pandemic, we have identified the classification of performing loans, with particular reference to performing credit exposures with higher levels of management risk ("watchlist" exposures) and to exposures subject to moratorium-as well as the related process for determining collective loan loss provisions, as a key audit matter of the financial statements of the Bank as at December 31, 2021. •analysis and understanding of the Bank's internal control system and the relative internal regulations concerning to the credit process which included, in particular, the identification of the organizational and procedural safeguards implemented by the Bank for monitoring credit quality, for the adequacy of the classification according to the provisions of the sector legislation and for the credit valuation in compliance with the applicable accounting standards; such analyses were focused on the main aspects referred to by the Supervisory Authorities following the Covid-19 pandemic; •analysis and understanding of the IT systems and applications used and test of the operational effectiveness of relevant controls, also with the support of IT experts belonging to the Deloitte network; •analysis of the implementation of the procedures and Bank’s processes, test of the operational effectiveness of the relevant controls for the purposes of the classification and valuation process; •analysis and understanding of the main valuation models adopted by the Bank and of the related update, as well as check on a sample basis of the reasonableness of the parameters subject to estimation, also with the support of credit model experts and IT experts belonging to the Deloitte network; •analysis and verification on further assessments made by the Bank for the classification of Stage 2 exposures and for the assessment of counterparties risk; •checks on a sample basis of the classification according to the provisions of the sector legislation as well as of the related valuation in compliance with the applicable accounting standards; hedging policies - Section 1 – Credit Risk- 2.3 Measurement methods for In addition, in the Notes to the accounts Part E – Information on risks and evaluated based on flat-rate basis for homogeneous types of exposures. Furthermore, starting form 2021 unlikely to pay exposures are partly disposal on the market. non-performing loans asset strategy foresees the recovery through their to this type of exposures including any sales scenarios where the Bank's loans was determined by including also the multiple scenarios applicable and that, in accordance with the IFRS 9, the valuation of non-performing defined for credit portfolios below a predefined threshold; • on a statistical basis, through the acknowledgment of coverage levels flows, discounted at the original interest rate of the financial asset; • on an analytical basis, on the basis of the estimated recoverable cash described that the valuation of bad loans and unlikely to pay takes place: items of the accounts Paragraph 15 – Other Information (Impairment) is In the Notes to the accounts Part A – Accounting Policies section A.2 – Main a net carrying value of 322 million Euro. carrying value of 2,977 million Euro and for past due is equal to 37.2% with value of 482 million Euro, for unlikely to pay is equal to 49.9% with a net as at December 31, 2021 for bad loans is equal to 78.3% with a net carrying The Report on operations shows that non-performing loans coverage ratio equal to 3,773 million Euro. the net carrying amount of non-performing loans to customers (stage 3) is amortised cost: breakdown by product of loans and advances to customers), audit matter Section 4 – Financial assets at amortised cost (table 4.2 Financial assets at Description of the key As indicated in the Notes to the accounts Part B – Balance Sheet – Assets – and “unlikely to pay”) Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” applicable accounting standards and reference legislation. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures • analysis of subsequent events occurring after the reference date of the financial statements. scenarios; expected losses accounted for at year end to changes in macroeconomic • examination of the sensitivity analysis carried out by the Bank on the year and with sector data; on related coverage ratios and comparison with the data of the previous 8 8 8 on related coverage ratios and comparison with the data of the previous year and with sector data; on related coverage ratios and comparison with the data of the previous year and with sector data; • examination of the sensitivity analysis carried out by the Bank on the expected losses accounted for at year end to changes in macroeconomic scenarios; •examination of the sensitivity analysis carried out by the Bank on the expected losses accounted for at year end to changes in macroeconomic •analysis of subsequent events occurring after the reference date of the • analysis of subsequent events occurring after the reference date of the •analysis of subsequent events occurring after the reference date of the financial statements. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards and reference legislation. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards and reference legislation. Riskofuncorrectedclassificationandvaluationofnon-performingloanstocustomers(“badloans” and“unlikelytopay”) Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” and “unlikely to pay”) Riskofuncorrectedclassificationandvaluationofnon-performingloanstocustomers(“badloans” and“unlikelytopay”) scenarios; financial statements. As indicated in the Notes to the accounts Part B –Balance Sheet –Assets – Descriptionofthekey Section 4 –Financial assets at amortised cost(table 4.2 Financial assets at auditmatter Description of the key audit matter As indicated in the Notes to the accounts Part B – Balance Sheet – Assets – Section 4 – Financial assets at amortised cost (table 4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers), the net carrying amount of non-performing loans to customers (stage 3) is equal to 3,773 million Euro. The Report on operations shows that non-performing loans coverage ratio as at December 31, 2021 for bad loans is equal to 78.3% with a net carrying value of 482 million Euro, for unlikely to pay is equal to 49.9% with a net carrying value of 2,977 million Euro and for past due is equal to 37.2% with a net carrying value of 322 million Euro. In the Notes to the accounts Part A – Accounting Policies section A.2 – Main items of the accounts Paragraph 15 – Other Information (Impairment) is described that the valuation of bad loans and unlikely to pay takes place: • on an analytical basis, on the basis of the estimated recoverable cash flows, discounted at the original interest rate of the financial asset; • on a statistical basis, through the acknowledgment of coverage levels defined for credit portfolios below a predefined threshold; and that, in accordance with the IFRS 9, the valuation of non-performing loans was determined by including also the multiple scenarios applicable to this type of exposures including any sales scenarios where the Bank's non-performing loans asset strategy foresees the recovery through their disposal on the market. As indicated in the Notes to the accounts Part B –Balance Sheet –Assets – Descriptionofthekey Section 4 –Financial assets at amortised cost(table 4.2 Financial assets at auditmatter amortised cost: breakdown by product of loans and advances to customers), the net carrying amount of non-performing loans to customers (stage 3) is equal to 3,773 million Euro. The Report on operations shows that non-performing loans coverage ratio as at December 31, 2021 for bad loans is equal to 78.3% with a net carrying value of 482 million Euro, for unlikely to pay is equal to 49.9% with a net carrying value of 2,977 million Euro and for past due is equal to 37.2% with a net carrying value of 322 million Euro. In the Notes to the accounts Part A –Accounting Policies section A.2 –Main items of the accounts Paragraph 15 –Other Information (Impairment) is described that the valuation of bad loans and unlikely to pay takes place: •on an analytical basis, on the basis of the estimated recoverable cash flows, discounted at the original interest rate of the financial asset; •on a statistical basis, through the acknowledgment of coverage levels defined for credit portfolios below a predefined threshold; and that, in accordance with the IFRS 9, the valuation of non-performing loans was determined by including alsothe multiple scenarios applicable to this type of exposures including any sales scenarios where the Bank's non-performing loans asset strategy foresees the recovery through their disposal on the market. Furthermore, starting form 2021 unlikely to pay exposures are partly evaluated based on flat-rate basis for homogeneous types of exposures. Furthermore, starting form 2021 unlikely to pay exposures are partly evaluated based on flat-rate basis for homogeneous types of exposures. In addition, in the Notes to the accounts Part E – Information on risks and hedging policies - Section 1 – Credit Risk- 2.3 Measurement methods for In addition, in the Notes to the accounts Part E –Information on risks and hedging policies -Section 1 –Credit Risk-2.3 Measurement methods for 8 on related coverage ratios and comparison with the data of the previous year and with sector data; •examination of the sensitivity analysis carried out by the Bank on the expected losses accounted for at year end to changes in macroeconomic scenarios; financial statements. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards and reference legislation. amortised cost: breakdown by product of loans and advances to customers), the net carrying amount of non-performing loans to customers (stage 3) is equal to 3,773 million Euro. The Report on operations shows that non-performing loans coverage ratio as at December 31, 2021 for bad loans is equal to 78.3% with a net carrying value of 482 million Euro, for unlikely to pay is equal to 49.9% with a net carrying value of 2,977 million Euro and for past due is equal to 37.2% with a net carrying value of 322 million Euro. In the Notes to the accounts Part A –Accounting Policies section A.2 –Main items of the accounts Paragraph 15 –Other Information (Impairment) is described that the valuation of bad loans and unlikely to pay takes place: •on an analytical basis, on the basis of the estimated recoverable cash flows, discounted at the original interest rate of the financial asset; •on a statistical basis, through the acknowledgment of coverage levels defined for credit portfolios below a predefined threshold; and that, in accordance with the IFRS 9, the valuation of non-performing loans was determined by including alsothe multiple scenarios applicable to this type of exposures including any sales scenarios where the Bank's non-performing loans asset strategy foresees the recovery through their disposal on the market. Furthermore, starting form 2021 unlikely to pay exposures are partly evaluated based on flat-rate basis for homogeneous types of exposures. In addition, in the Notes to the accounts Part E –Information on risks and hedging policies -Section 1 –Credit Risk-2.3 Measurement methods for hedging policies - Section 1 – Credit Risk- 2.3 Measurement methods for In addition, in the Notes to the accounts Part E – Information on risks and evaluated based on flat-rate basis for homogeneous types of exposures. Furthermore, starting form 2021 unlikely to pay exposures are partly disposal on the market. non-performing loans asset strategy foresees the recovery through their to this type of exposures including any sales scenarios where the Bank's loans was determined by including also the multiple scenarios applicable and that, in accordance with the IFRS 9, the valuation of non-performing defined for credit portfolios below a predefined threshold; • on a statistical basis, through the acknowledgment of coverage levels flows, discounted at the original interest rate of the financial asset; • on an analytical basis, on the basis of the estimated recoverable cash described that the valuation of bad loans and unlikely to pay takes place: items of the accounts Paragraph 15 – Other Information (Impairment) is In the Notes to the accounts Part A – Accounting Policies section A.2 – Main a net carrying value of 322 million Euro. carrying value of 2,977 million Euro and for past due is equal to 37.2% with value of 482 million Euro, for unlikely to pay is equal to 49.9% with a net as at December 31, 2021 for bad loans is equal to 78.3% with a net carrying The Report on operations shows that non-performing loans coverage ratio equal to 3,773 million Euro. the net carrying amount of non-performing loans to customers (stage 3) is amortised cost: breakdown by product of loans and advances to customers), audit matter Section 4 – Financial assets at amortised cost (table 4.2 Financial assets at Description of the key As indicated in the Notes to the accounts Part B – Balance Sheet – Assets – and “unlikely to pay”) Risk of uncorrected classification and valuation of non-performing loans to customers (“bad loans” applicable accounting standards and reference legislation. provided in the Notes to the accounts with respect to the requirements of the Finally, we have verified the adequacy and compliance of the disclosures • analysis of subsequent events occurring after the reference date of the financial statements. scenarios; expected losses accounted for at year end to changes in macroeconomic • examination of the sensitivity analysis carried out by the Bank on the year and with sector data; on related coverage ratios and comparison with the data of the previous 8 9 expected losses,at the end of December 2021 the Bank updated its disposal plan including further unlikely to pay exposures for a gross carrying amount of 583 million Euro, which were evaluated on the basis of recovery through their disposal on the market (“Selling Scenario”). Consequently, as of December 31, 2021 the exposures evaluated applying Selling Scenario approach are 1,900 million Euro of gross carrying amount. The inclusion of these exposures in the disposal plan and the consequent evaluation based on expected market prices (defined by observable internal or market benchmarks, depending on the availability of the information and in compliance with internal regulations) led to additional loan loss provisions for 208 million Euro. Considering the significance of non-performing loans amount recorded in the financial statements and the complexity of the estimation processes adopted by the Bank which implied a complex classification activity into homogeneous risk categories and the use of some variables characterized by a high subjectivity (such as the estimates of expected cash flows, the relative recovery times, the recovery value of any guarantees and the recovery strategies, including the disposal on the market) for the determination of the relative recoverable amount, we have identified the classification of non-performing loans (bad loans and unlikely to pay) and their valuation as a key audit matter of the financial statements of the Bank as at December 31, 2021. •analysis and understanding of the internal control system as well as the related internal regulations regarding: (i) the monitoring of credit quality (ii) the management of non-performing loans (iii) the adequacy of the classification according to the provisions of the sector legislation and (iv) the credit valuation in compliance with the applicable accounting principles; •analysis and understanding of the IT systems and applications used and test of the operational effectiveness of relevant controls, also with the support of IT experts belonging to the Deloitte network; •verification of the implementation of the procedures and Bank’s processes, test of the operational effectiveness of the relevant controls for the purposes of the classification and valuation processes; •verification of the approval process by the competent bodies of the Bank of the strategy of reducing non-performing credit exposures through the disposal plan; •analysis and understanding of the valuation model adopted for the determination of the additional loan loss provisions relating to non- performing loans valued on the basis of the recovery expectations performed Audit procedures The audit procedures performed included, among others, the following: performing loans valued on the basis of the recovery expectations determination of the additional loan loss provisions relating to non- • analysis and understanding of the valuation model adopted for the through the disposal plan; Bank of the strategy of reducing non-performing credit exposures • verification of the approval process by the competent bodies of the for the purposes of the classification and valuation processes; processes, test of the operational effectiveness of the relevant controls • verification of the implementation of the procedures and Bank’s support of IT experts belonging to the Deloitte network; test of the operational effectiveness of relevant controls, also with the • analysis and understanding of the IT systems and applications used and principles; the credit valuation in compliance with the applicable accounting classification according to the provisions of the sector legislation and (iv) (ii) the management of non-performing loans (iii) the adequacy of the related internal regulations regarding: (i) the monitoring of credit quality • analysis and understanding of the internal control system as well as the as at December 31, 2021. their valuation as a key audit matter of the financial statements of the Bank classification of non-performing loans (bad loans and unlikely to pay) and determination of the relative recoverable amount, we have identified the recovery strategies, including the disposal on the market) for the relative recovery times, the recovery value of any guarantees and the by a high subjectivity (such as the estimates of expected cash flows, the homogeneous risk categories and the use of some variables characterized adopted by the Bank which implied a complex classification activity into the financial statements and the complexity of the estimation processes Considering the significance of non-performing loans amount recorded in for 208 million Euro. compliance with internal regulations) led to additional loan loss provisions benchmarks, depending on the availability of the information and in on expected market prices (defined by observable internal or market these exposures in the disposal plan and the consequent evaluation based approach are 1,900 million Euro of gross carrying amount. The inclusion of December 31, 2021 the exposures evaluated applying Selling Scenario their disposal on the market (“Selling Scenario”). Consequently, as of of 583 million Euro, which were evaluated on the basis of recovery through plan including further unlikely to pay exposures for a gross carrying amount expected losses, at the end of December 2021 the Bank updated its disposal 9 9 9 expected losses, at the end of December 2021 the Bank updated its disposal plan including further unlikely to pay exposures for a gross carrying amount of 583 million Euro, which were evaluated on the basis of recovery through their disposal on the market (“Selling Scenario”). Consequently, as of December 31, 2021 the exposures evaluated applying Selling Scenario approach are 1,900 million Euro of gross carrying amount. The inclusion of these exposures in the disposal plan and the consequent evaluation based on expected market prices (defined by observable internal or market benchmarks, depending on the availability of the information and in compliance with internal regulations) led to additional loan loss provisions for 208 million Euro. Considering the significance of non-performing loans amount recorded in the financial statements and the complexity of the estimation processes adopted by the Bank which implied a complex classification activity into homogeneous risk categories and the use of some variables characterized by a high subjectivity (such as the estimates of expected cash flows, the relative recovery times, the recovery value of any guarantees and the recovery strategies, including the disposal on the market) for the determination of the relative recoverable amount, we have identified the classification of non-performing loans (bad loans and unlikely to pay) and their valuation as a key audit matter of the financial statements of the Bank as at December 31, 2021. The audit procedures performed included, among others, the following: Auditprocedures performed Audit procedures performed The audit procedures performed included, among others, the following: The audit procedures performed included, among others, the following: Auditprocedures performed • analysis and understanding of the internal control system as well as the related internal regulations regarding: (i) the monitoring of credit quality (ii) the management of non-performing loans (iii) the adequacy of the classification according to the provisions of the sector legislation and (iv) the credit valuation in compliance with the applicable accounting principles; • analysis and understanding of the IT systems and applications used and test of the operational effectiveness of relevant controls, also with the support of IT experts belonging to the Deloitte network; • verification of the implementation of the procedures and Bank’s processes, test of the operational effectiveness of the relevant controls for the purposes of the classification and valuation processes; • verification of the approval process by the competent bodies of the Bank of the strategy of reducing non-performing credit exposures through the disposal plan; • analysis and understanding of the valuation model adopted for the determination of the additional loan loss provisions relating to non- performing loans valued on the basis of the recovery expectations performing loans valued on the basis of the recovery expectations determination of the additional loan loss provisions relating to non- • analysis and understanding of the valuation model adopted for the through the disposal plan; Bank of the strategy of reducing non-performing credit exposures • verification of the approval process by the competent bodies of the for the purposes of the classification and valuation processes; processes, test of the operational effectiveness of the relevant controls • verification of the implementation of the procedures and Bank’s support of IT experts belonging to the Deloitte network; test of the operational effectiveness of relevant controls, also with the • analysis and understanding of the IT systems and applications used and principles; the credit valuation in compliance with the applicable accounting classification according to the provisions of the sector legislation and (iv) (ii) the management of non-performing loans (iii) the adequacy of the related internal regulations regarding: (i) the monitoring of credit quality • analysis and understanding of the internal control system as well as the as at December 31, 2021. their valuation as a key audit matter of the financial statements of the Bank classification of non-performing loans (bad loans and unlikely to pay) and determination of the relative recoverable amount, we have identified the recovery strategies, including the disposal on the market) for the relative recovery times, the recovery value of any guarantees and the by a high subjectivity (such as the estimates of expected cash flows, the homogeneous risk categories and the use of some variables characterized adopted by the Bank which implied a complex classification activity into the financial statements and the complexity of the estimation processes Considering the significance of non-performing loans amount recorded in for 208 million Euro. compliance with internal regulations) led to additional loan loss provisions benchmarks, depending on the availability of the information and in on expected market prices (defined by observable internal or market these exposures in the disposal plan and the consequent evaluation based approach are 1,900 million Euro of gross carrying amount. The inclusion of December 31, 2021 the exposures evaluated applying Selling Scenario their disposal on the market (“Selling Scenario”). Consequently, as of of 583 million Euro, which were evaluated on the basis of recovery through plan including further unlikely to pay exposures for a gross carrying amount expected losses, at the end of December 2021 the Bank updated its disposal 9 performed Audit procedures The audit procedures performed included, among others, the following: expected losses,at the end of December 2021 the Bank updated its disposal plan including further unlikely to pay exposures for a gross carrying amount of 583 million Euro, which were evaluated on the basis of recovery through their disposal on the market (“Selling Scenario”). Consequently, as of December 31, 2021 the exposures evaluated applying Selling Scenario approach are 1,900 million Euro of gross carrying amount. The inclusion of these exposures in the disposal plan and the consequent evaluation based on expected market prices (defined by observable internal or market benchmarks, depending on the availability of the information and in compliance with internal regulations) led to additional loan loss provisions for 208 million Euro. Considering the significance of non-performing loans amount recorded in the financial statements and the complexity of the estimation processes adopted by the Bank which implied a complex classification activity into homogeneous risk categories and the use of some variables characterized by a high subjectivity (such as the estimates of expected cash flows, the relative recovery times, the recovery value of any guarantees and the recovery strategies, including the disposal on the market) for the determination of the relative recoverable amount, we have identified the classification of non-performing loans (bad loans and unlikely to pay) and their valuation as a key audit matter of the financial statements of the Bank as at December 31, 2021. •analysis and understanding of the internal control system as well as the related internal regulations regarding: (i) the monitoring of credit quality (ii) the management of non-performing loans (iii) the adequacy of the classification according to the provisions of the sector legislation and (iv) the credit valuation in compliance with the applicable accounting principles; •analysis and understanding of the IT systems and applications used and test of the operational effectiveness of relevant controls, also with the support of IT experts belonging to the Deloitte network; •verification of the implementation of the procedures and Bank’s processes, test of the operational effectiveness of the relevant controls for the purposes of the classification and valuation processes; •verification of the approval process by the competent bodies of the Bank of the strategy of reducing non-performing credit exposures through the disposal plan; •analysis and understanding of the valuation model adopted for the determination of the additional loan loss provisions relating to non- performing loans valued on the basis of the recovery expectations material misstatement when it exists. audit conducted in accordance with International Standards on Auditing (ISA Italia) will always detect a includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are Auditor’s Responsibilities for the Audit of the (cid:38)inancial Statements Bank’s financial reporting process. The Board of Statutory Auditors is responsible for overseeing, within the terms established by law, the choices. liquidation of the Bank or for the termination of the operations or have no realistic alternative to such going concern basis of accounting unless they have identified the existence of the conditions for the continue as a going concern, disclosing, as applicable, matters related to going concern and using the In preparing the financial statements, the Directors are responsible for assessing the Bank’s ability to that are free from material misstatement, whether due to fraud or error. internal control as the Directors determine is necessary to enable the preparation of financial statements to art. 43 of Italian Legislative Decree no. 136/15 and, within the terms established by law, for such requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and accordance with International Financial Reporting Standards as adopted by the European Union and the The Directors are responsible for the preparation of financial statements that give a true and fair view in Responsibilities of the Directors and the Board of Statutory Auditors for the Financial Statements the applicable accounting standards and reference legislation. provided in the Notes to the accounts with respect to the requirements of Finally, we have verified the adequacy and compliance of the disclosures financial statements. • analysis of subsequent events occurring after the reference date of the with the data of the previous year and with sector data; loans, on the volumes and on related coverage ratios and comparison • comparative and trend analyses, for each category of non-performing Bank’s internal regulations; the classification and of the related valuation in compliance with the • checks on a sample basis, for each category of non-performing loans, of Deloitte network; the support of credit model experts and IT experts belonging to the of the reasonableness of the parameters subject to estimation, also with the Bank and of the related update, as well as check on a sample basis • analysis and understanding of the main valuation models adopted by market prices, also through the development of independent estimates; through the sale and verification of the reasonableness of the expected 10 10 10 10 through the sale and verification of the reasonableness of the expected market prices, also through the development of independent estimates; •analysis and understanding of the main valuation models adopted by the Bank and of the related update, as well ascheck on a sample basis of the reasonableness of the parameters subject to estimation, also with the support of credit model experts and IT experts belonging to the Deloitte network; •checks on a sample basis, for each category of non-performing loans, of the classification and of the related valuation in compliance with the Bank’s internal regulations; •comparative and trend analyses, for each category of non-performing loans, on the volumes and on related coverage ratios and comparison with the data of the previous year and with sector data; •analysis of subsequent events occurring after the reference date of the financial statements. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards and reference legislation. through the sale and verification of the reasonableness of the expected market prices, also through the development of independent estimates; through the sale and verification of the reasonableness of the expected market prices, also through the development of independent estimates; • analysis and understanding of the main valuation models adopted by the Bank and of the related update, as well as check on a sample basis of the reasonableness of the parameters subject to estimation, also with the support of credit model experts and IT experts belonging to the Deloitte network; • checks on a sample basis, for each category of non-performing loans, of the classification and of the related valuation in compliance with the Bank’s internal regulations; • comparative and trend analyses, for each category of non-performing loans, on the volumes and on related coverage ratios and comparison with the data of the previous year and with sector data; •analysis and understanding of the main valuation models adopted by the Bank and of the related update, as well ascheck on a sample basis of the reasonableness of the parameters subject to estimation, also with the support of credit model experts and IT experts belonging to the Deloitte network; •checks on a sample basis, for each category of non-performing loans, of the classification and of the related valuation in compliance with the Bank’s internal regulations; •comparative and trend analyses, for each category of non-performing loans, on the volumes and on related coverage ratios and comparison with the data of the previous year and with sector data; • analysis of subsequent events occurring after the reference date of the •analysis of subsequent events occurring after the reference date of the financial statements. financial statements. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards and reference legislation. Finally, we have verified the adequacy and compliance of the disclosures provided in the Notes to the accounts with respect to the requirements of the applicable accounting standards and reference legislation. ResponsibilitiesoftheDirectorsandtheBoardofStatutoryAuditorsfortheFinancialStatements Responsibilities of the Directors and the Board of Statutory Auditors for the Financial Statements ResponsibilitiesoftheDirectorsandtheBoardofStatutoryAuditorsfortheFinancialStatements The Directors are responsible for the preparation of financial statements that give a true and fair view in accordance with International Financial Reporting Standards as adopted by the European Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15 and, within the terms established by law, for such internal control as the Directors determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Directors are responsible for assessing the Bank’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concernbasis of accounting unless they have identified the existence of the conditions for the liquidation of the Bank or for the termination of the operations or have no realistic alternative to such choices. The Directors are responsible for the preparation of financial statements that give a true and fair view in accordance with International Financial Reporting Standards as adopted by the European Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15 and, within the terms established by law, for such internal control as the Directors determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Directors are responsible for assessing the Bank’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless they have identified the existence of the conditions for the liquidation of the Bank or for the termination of the operations or have no realistic alternative to such choices. The Directors are responsible for the preparation of financial statements that give a true and fair view in accordance with International Financial Reporting Standards as adopted by the European Union and the requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and to art. 43 of Italian Legislative Decree no. 136/15 and, within the terms established by law, for such internal control as the Directors determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Directors are responsible for assessing the Bank’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concernbasis of accounting unless they have identified the existence of the conditions for the liquidation of the Bank or for the termination of the operations or have no realistic alternative to such choices. The Board of Statutory Auditors is responsible foroverseeing, within the terms established by law,the Bank’s financial reporting process. The Board of Statutory Auditors is responsible for overseeing, within the terms established by law, the Bank’s financial reporting process. The Board of Statutory Auditors is responsible foroverseeing, within the terms established by law,the Bank’s financial reporting process. Auditor’sResponsibilitiesfortheAuditofthe(cid:38)inancialStatements Auditor’s Responsibilities for the Audit of the (cid:38)inancial Statements Auditor’sResponsibilitiesfortheAuditofthe(cid:38)inancialStatements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with International Standards on Auditing (ISA Italia) will always detect a material misstatement when it exists. Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with International Standards on Auditing (ISA Italia) will always detect a material misstatement when it exists. Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with International Standards on Auditing (ISA Italia) will always detect a material misstatement when it exists. material misstatement when it exists. audit conducted in accordance with International Standards on Auditing (ISA Italia) will always detect a includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are Auditor’s Responsibilities for the Audit of the (cid:38)inancial Statements Bank’s financial reporting process. The Board of Statutory Auditors is responsible for overseeing, within the terms established by law, the choices. liquidation of the Bank or for the termination of the operations or have no realistic alternative to such going concern basis of accounting unless they have identified the existence of the conditions for the continue as a going concern, disclosing, as applicable, matters related to going concern and using the In preparing the financial statements, the Directors are responsible for assessing the Bank’s ability to that are free from material misstatement, whether due to fraud or error. internal control as the Directors determine is necessary to enable the preparation of financial statements to art. 43 of Italian Legislative Decree no. 136/15 and, within the terms established by law, for such requirements of national regulations issued pursuant to art. 9 of Italian Legislative Decree no. 38/05 and accordance with International Financial Reporting Standards as adopted by the European Union and the The Directors are responsible for the preparation of financial statements that give a true and fair view in Responsibilities of the Directors and the Board of Statutory Auditors for the Financial Statements the applicable accounting standards and reference legislation. provided in the Notes to the accounts with respect to the requirements of Finally, we have verified the adequacy and compliance of the disclosures financial statements. • analysis of subsequent events occurring after the reference date of the with the data of the previous year and with sector data; loans, on the volumes and on related coverage ratios and comparison • comparative and trend analyses, for each category of non-performing Bank’s internal regulations; the classification and of the related valuation in compliance with the • checks on a sample basis, for each category of non-performing loans, of Deloitte network; the support of credit model experts and IT experts belonging to the of the reasonableness of the parameters subject to estimation, also with the Bank and of the related update, as well as check on a sample basis • analysis and understanding of the main valuation models adopted by market prices, also through the development of independent estimates; through the sale and verification of the reasonableness of the expected 10 the key audit matters. We describe these matters in our auditors’ report. were of most significance in the audit of the financial statements of the current period and are therefore From the matters communicated with those charged with governance, we determine those matters that where applicable, related safeguards. relationships and other matters that may reasonably be thought to bear on our independence and, ethical requirements regarding independence applicable in Italy, and to communicate with them all We also provide those charged with governance with a statement that we have complied with relevant audit findings, including any significant deficiencies in internal control that we identify during our audit. ISA Italia, regarding, among other matters, the planned scope and timing of the audit and significant We communicate with those charged with governance, identified at an appropriate level as required by a manner that achieves fair presentation. disclosures, and whether the financial statements represent the underlying transactions and events in • evaluate the overall presentation, structure and content of the financial statements, including the concern; report. However, future events or conditions may cause the Bank to cease to continue as a going our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report conditions that may cast significant doubt on the Bank’s ability to continue as a going concern. If we based on the audit evidence obtained, whether a material uncertainty exists related to events or • conclude on the appropriateness of management’s use of the going concern basis of accounting and, estimates and related disclosures made by the Directors; • evaluate the appropriateness of accounting policies used and the reasonableness of accounting effectiveness of the Bank's internal control; that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the • obtain an understanding of internal control relevant to the audit in order to design audit procedures control; involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting fraud or error, design and perform audit procedures responsive to those risks, and obtain audit • identify and assess the risks of material misstatement of the financial statements, whether due to professional judgment and maintain professional skepticism throughout the audit. We also: As part of an audit in accordance with International Standards on Auditing (ISA Italia), we exercise basis of these financial statements. aggregate, they could reasonably be expected to influence the economic decisions of users taken on the Misstatements can arise from fraud or error and are considered material if, individually or in the 11 11 11 11 Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. As part of an audit in accordance with International Standards on Auditing (ISA Italia), we exercise professional judgment and maintain professional skepticism throughout the audit. We also: As part of an audit in accordance with International Standards on Auditing (ISA Italia), we exercise professional judgment and maintain professional skepticism throughout the audit. We also: As part of an audit in accordance with International Standards on Auditing (ISA Italia), we exercise professional judgment and maintain professional skepticism throughout the audit. We also: •identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control; • identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control; •identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control; •obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Bank's internal control; • obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Bank's internal control; •obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Bank's internal control; •evaluate the appropriateness of accounting policies used and the reasonableness of accounting • evaluate the appropriateness of accounting policies used and the reasonableness of accounting •evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Directors; estimates and related disclosures made by the Directors; estimates and related disclosures made by the Directors; •conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Bank’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the Bank to cease to continue as a going concern; • conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Bank’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the Bank to cease to continue as a going concern; •conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Bank’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the Bank to cease to continue as a going concern; •evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation. • evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation. •evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation. We communicate with those charged with governance, identified at an appropriate level as required by ISA Italia, regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit. We communicate with those charged with governance, identified at an appropriate level as required by ISA Italia, regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit. We communicate with those charged with governance, identified at an appropriate level as required by ISA Italia, regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit. We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independence applicable in Italy, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence and, where applicable, related safeguards. We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independence applicable in Italy, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence and, where applicable, related safeguards. We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independence applicable in Italy, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence and, where applicable, related safeguards. From the matters communicated with those charged with governance, we determine those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. We describe these matters in our auditors’ report. From the matters communicated with those charged with governance, we determine those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. We describe these matters in our auditors’ report. From the matters communicated with those charged with governance, we determine those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. We describe these matters in our auditors’ report. the key audit matters. We describe these matters in our auditors’ report. were of most significance in the audit of the financial statements of the current period and are therefore From the matters communicated with those charged with governance, we determine those matters that where applicable, related safeguards. relationships and other matters that may reasonably be thought to bear on our independence and, ethical requirements regarding independence applicable in Italy, and to communicate with them all We also provide those charged with governance with a statement that we have complied with relevant audit findings, including any significant deficiencies in internal control that we identify during our audit. ISA Italia, regarding, among other matters, the planned scope and timing of the audit and significant We communicate with those charged with governance, identified at an appropriate level as required by a manner that achieves fair presentation. disclosures, and whether the financial statements represent the underlying transactions and events in • evaluate the overall presentation, structure and content of the financial statements, including the concern; report. However, future events or conditions may cause the Bank to cease to continue as a going our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report conditions that may cast significant doubt on the Bank’s ability to continue as a going concern. If we based on the audit evidence obtained, whether a material uncertainty exists related to events or • conclude on the appropriateness of management’s use of the going concern basis of accounting and, estimates and related disclosures made by the Directors; • evaluate the appropriateness of accounting policies used and the reasonableness of accounting effectiveness of the Bank's internal control; that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the • obtain an understanding of internal control relevant to the audit in order to design audit procedures control; involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting fraud or error, design and perform audit procedures responsive to those risks, and obtain audit • identify and assess the risks of material misstatement of the financial statements, whether due to professional judgment and maintain professional skepticism throughout the audit. We also: As part of an audit in accordance with International Standards on Auditing (ISA Italia), we exercise basis of these financial statements. aggregate, they could reasonably be expected to influence the economic decisions of users taken on the Misstatements can arise from fraud or error and are considered material if, individually or in the 11 S.p.A. as at December 31, 2021 and are prepared in accordance with the law. corporate governance and ownership structure are consistent with the financial statements of UniCredit In our opinion, the above-mentioned report on operations and information contained in the report on and on their compliance with the law, as well as to make a statement about any material misstatement. of Legislative Decree 58/98 with the financial statements of UniCredit S.p.A. as at December 31, 2021 contained in the report on corporate governance and ownership structure set forth in art. 123-bis, n. 4 express an opinion on the consistency of the report on operations and some specific information We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 720B in order to including their consistency with the related financial statements and their compliance with the law. report on corporate governance and ownership structure of UniCredit S.p.A. as at December 31, 2021, The Directors of UniCredit S.p.A. are responsible for the preparation of the report on operations and the Legislative Decree 58/98 Opinion pursuant to art. 14, paragraph 2 (e), of Legislative Decree 39/10 and art. 123-bis, paragraph 4, of provisions of the Delegated Regulation. In our opinion, the financial statements have been prepared in XHTML format in accordance with the express an opinion on the compliance of the financial statements with the provisions of the Delegated We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 700B in order to Regulation. annual financial report. (hereinafter referred to as the “Delegated Regulation”) to the financial statements, to be included in the the specification of the single electronic reporting format (ESEF – European Single Electronic Format) Commission Delegated Regulation (EU) 2019/815 with regard to the regulatory technical standards on The Directors of UniCredit S.p.A. are responsible for the application of the provisions of the European Opinion on the compliance with the provisions of the Delegated Regulation (EU) 2019/815 REPORT ON OTHER LEGAL AND REGULATORY REQUIREMENTS of the said Regulation. additional report to the Board of Statutory Auditors, in its role of Audit Committee, referred to in art. 11 We confirm that the opinion on the financial statements expressed in this report is consistent with the Regulation 537/2014 and that we have remained independent of the Bank in conducting the audit. We declare that we have not provided prohibited non-audit services referred to in art. 5 (1) of EU for the years from December 31, 2013 to December 31, 2021. The Shareholders' Meeting of UniCredit S.p.A. has appointed us on May 11, 2012 as auditors of the Bank Other information communicated pursuant to art. 10 of the EU Regulation 537/2014 12 12 12 12 Otherinformationcommunicatedpursuanttoart.10oftheEURegulation537/2014 Other information communicated pursuant to art. 10 of the EU Regulation 537/2014 Otherinformationcommunicatedpursuanttoart.10oftheEURegulation537/2014 The Shareholders' Meeting of UniCredit S.p.A. has appointed us on May 11, 2012 as auditors of the Bank for the years from December 31, 2013 to December 31, 2021. The Shareholders' Meeting of UniCredit S.p.A. has appointed us on May 11, 2012 as auditors of the Bank for the years from December 31, 2013 to December 31, 2021. The Shareholders' Meeting of UniCredit S.p.A. has appointed us on May 11, 2012 as auditors of the Bank for the years from December 31, 2013 to December 31, 2021. We declare that we have not provided prohibited non-audit services referred to in art. 5 (1) of EU Regulation 537/2014 and that we have remained independent of the Bank in conducting the audit. We declare that we have not provided prohibited non-audit services referred to in art. 5 (1) of EU Regulation 537/2014 and that we have remained independent of the Bank in conducting the audit. We declare that we have not provided prohibited non-audit services referred to in art. 5 (1) of EU Regulation 537/2014 and that we have remained independent of the Bank in conducting the audit. We confirm that the opinion on the financial statements expressed in this report is consistent with the additional report to the Board of Statutory Auditors, in its role of Audit Committee, referred to in art. 11 of the said Regulation. We confirm that the opinion on the financial statements expressed in this report is consistent with the additional report to the Board of Statutory Auditors, in its role of Audit Committee, referred to in art. 11 of the said Regulation. We confirm that the opinion on the financial statements expressed in this report is consistent with the additional report to the Board of Statutory Auditors, in its role of Audit Committee, referred to in art. 11 of the said Regulation. REPORTONOTHERLEGALANDREGULATORYREQUIREMENTS REPORT ON OTHER LEGAL AND REGULATORY REQUIREMENTS REPORTONOTHERLEGALANDREGULATORYREQUIREMENTS OpiniononthecompliancewiththeprovisionsoftheDelegatedRegulation(EU)2019/815 Opinion on the compliance with the provisions of the Delegated Regulation (EU) 2019/815 OpiniononthecompliancewiththeprovisionsoftheDelegatedRegulation(EU)2019/815 The Directors of UniCredit S.p.A. are responsible for the application of the provisions of the European CommissionDelegated Regulation (EU) 2019/815 with regard to the regulatory technical standards on the specification of the single electronic reporting format (ESEF –European Single Electronic Format) (hereinafter referred to as the “Delegated Regulation”) to the financial statements, to be included in the We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 700B in order to express an opinion on the compliance of the financial statements with the provisions of the Delegated annual financial report. Regulation. The Directors of UniCredit S.p.A. are responsible for the application of the provisions of the European Commission Delegated Regulation (EU) 2019/815 with regard to the regulatory technical standards on the specification of the single electronic reporting format (ESEF – European Single Electronic Format) (hereinafter referred to as the “Delegated Regulation”) to the financial statements, to be included in the annual financial report. We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 700B in order to express an opinion on the compliance of the financial statements with the provisions of the Delegated Regulation. The Directors of UniCredit S.p.A. are responsible for the application of the provisions of the European CommissionDelegated Regulation (EU) 2019/815 with regard to the regulatory technical standards on the specification of the single electronic reporting format (ESEF –European Single Electronic Format) (hereinafter referred to as the “Delegated Regulation”) to the financial statements, to be included in the We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 700B in order to express an opinion on the compliance of the financial statements with the provisions of the Delegated annual financial report. Regulation. In our opinion, the financial statements have been prepared in XHTML format in accordance with the provisions of the Delegated Regulation. In our opinion, the financial statements have been prepared in XHTML format in accordance with the provisions of the Delegated Regulation. In our opinion, the financial statements have been prepared in XHTML format in accordance with the provisions of the Delegated Regulation. Opinionpursuanttoart.14,paragraph2(e),ofLegislativeDecree39/10andart.123-bis,paragraph4,of LegislativeDecree58/98 Opinion pursuant to art. 14, paragraph 2 (e), of Legislative Decree 39/10 and art. 123-bis, paragraph 4, of Legislative Decree 58/98 Opinionpursuanttoart.14,paragraph2(e),ofLegislativeDecree39/10andart.123-bis,paragraph4,of LegislativeDecree58/98 The Directors of UniCredit S.p.A. are responsible for the preparation of the report on operations and the report on corporate governance and ownership structure of UniCredit S.p.A. as at December 31, 2021, including their consistency with the related financial statements and their compliance with the law. The Directors of UniCredit S.p.A. are responsible for the preparation of the report on operations and the report on corporate governance and ownership structure of UniCredit S.p.A. as at December 31, 2021, including their consistency with the related financial statements and their compliance with the law. The Directors of UniCredit S.p.A. are responsible for the preparation of the report on operations and the report on corporate governance and ownership structure of UniCredit S.p.A. as at December 31, 2021, including their consistency with the related financial statements and their compliance with the law. We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 720B in order to express an opinion on the consistency of the report on operations and some specific information contained in the report on corporate governance and ownership structure set forth in art. 123-bis, n. 4 of Legislative Decree 58/98 with the financial statements of UniCredit S.p.A. as at December 31, 2021 and on their compliance with the law, as well as to makea statement about any material misstatement. We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 720B in order to express an opinion on the consistency of the report on operations and some specific information contained in the report on corporate governance and ownership structure set forth in art. 123-bis, n. 4 of Legislative Decree 58/98 with the financial statements of UniCredit S.p.A. as at December 31, 2021 and on their compliance with the law, as well as to make a statement about any material misstatement. We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 720B in order to express an opinion on the consistency of the report on operations and some specific information contained in the report on corporate governance and ownership structure set forth in art. 123-bis, n. 4 of Legislative Decree 58/98 with the financial statements of UniCredit S.p.A. as at December 31, 2021 and on their compliance with the law, as well as to makea statement about any material misstatement. In our opinion, the above-mentioned report on operations and information contained in the report on corporate governance and ownership structure are consistent with the financial statements of UniCredit S.p.A.as at December 31, 2021and are prepared in accordance with the law. In our opinion, the above-mentioned report on operations and information contained in the report on corporate governance and ownership structure are consistent with the financial statements of UniCredit S.p.A. as at December 31, 2021 and are prepared in accordance with the law. In our opinion, the above-mentioned report on operations and information contained in the report on corporate governance and ownership structure are consistent with the financial statements of UniCredit S.p.A.as at December 31, 2021and are prepared in accordance with the law. S.p.A. as at December 31, 2021 and are prepared in accordance with the law. corporate governance and ownership structure are consistent with the financial statements of UniCredit In our opinion, the above-mentioned report on operations and information contained in the report on and on their compliance with the law, as well as to make a statement about any material misstatement. of Legislative Decree 58/98 with the financial statements of UniCredit S.p.A. as at December 31, 2021 contained in the report on corporate governance and ownership structure set forth in art. 123-bis, n. 4 express an opinion on the consistency of the report on operations and some specific information We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 720B in order to including their consistency with the related financial statements and their compliance with the law. report on corporate governance and ownership structure of UniCredit S.p.A. as at December 31, 2021, The Directors of UniCredit S.p.A. are responsible for the preparation of the report on operations and the Legislative Decree 58/98 Opinion pursuant to art. 14, paragraph 2 (e), of Legislative Decree 39/10 and art. 123-bis, paragraph 4, of provisions of the Delegated Regulation. In our opinion, the financial statements have been prepared in XHTML format in accordance with the express an opinion on the compliance of the financial statements with the provisions of the Delegated We have carried out the procedures set forth in the Auditing Standard (SA Italia) n. 700B in order to Regulation. annual financial report. (hereinafter referred to as the “Delegated Regulation”) to the financial statements, to be included in the the specification of the single electronic reporting format (ESEF – European Single Electronic Format) Commission Delegated Regulation (EU) 2019/815 with regard to the regulatory technical standards on The Directors of UniCredit S.p.A. are responsible for the application of the provisions of the European Opinion on the compliance with the provisions of the Delegated Regulation (EU) 2019/815 REPORT ON OTHER LEGAL AND REGULATORY REQUIREMENTS of the said Regulation. additional report to the Board of Statutory Auditors, in its role of Audit Committee, referred to in art. 11 We confirm that the opinion on the financial statements expressed in this report is consistent with the Regulation 537/2014 and that we have remained independent of the Bank in conducting the audit. We declare that we have not provided prohibited non-audit services referred to in art. 5 (1) of EU for the years from December 31, 2013 to December 31, 2021. The Shareholders' Meeting of UniCredit S.p.A. has appointed us on May 11, 2012 as auditors of the Bank Other information communicated pursuant to art. 10 of the EU Regulation 537/2014 12 authoritative. convenience of international readers. Accordingly, only the original text in Italian language is This independent auditor’s report has been translated into the English language solely for the March 11, 2022 Milan, Italy Partner Maurizio Ferrero Signed by DELOITTE & TOUCHE S.p.A. during the audit, we have nothing to report. made on the basis of the knowledge and understanding of the entity and of the related context acquired With reference to the statement referred to in art. 14, paragraph 2 (e), of Legislative Decree 39/10, 13 13 13 13 With reference to the statement referred to in art. 14, paragraph 2 (e), of Legislative Decree 39/10, made on the basis of the knowledge and understanding of the entity and of the related context acquired during the audit, we have nothing to report. With reference to the statement referred to in art. 14, paragraph 2 (e), of Legislative Decree 39/10, made on the basis of the knowledge and understanding of the entity and of the related context acquired during the audit, we have nothing to report. With reference to the statement referred to in art. 14, paragraph 2 (e), of Legislative Decree 39/10, made on the basis of the knowledge and understanding of the entity and of the related context acquired during the audit, we have nothing to report. DELOITTE & TOUCHE S.p.A. DELOITTE & TOUCHE S.p.A. Signed by MaurizioFerrero Partner Milan, Italy March 11, 2022 Signed by Maurizio Ferrero Partner Milan, Italy March 11, 2022 DELOITTE & TOUCHE S.p.A. Signed by MaurizioFerrero Partner Milan, Italy March 11, 2022 This independent auditor’s report has been translated into the English language solely for the convenience of international readers. Accordingly, only the original text in Italian language is authoritative. This independent auditor’s report has been translated into the English language solely for the convenience of international readers. Accordingly, only the original text in Italian language is authoritative. This independent auditor’s report has been translated into the English language solely for the convenience of international readers. Accordingly, only the original text in Italian language is authoritative. authoritative. convenience of international readers. Accordingly, only the original text in Italian language is This independent auditor’s report has been translated into the English language solely for the March 11, 2022 Milan, Italy Partner Maurizio Ferrero Signed by DELOITTE & TOUCHE S.p.A. during the audit, we have nothing to report. made on the basis of the knowledge and understanding of the entity and of the related context acquired With reference to the statement referred to in art. 14, paragraph 2 (e), of Legislative Decree 39/10, 13  810 2021 Annual Report and Accounts · UniCredit 810 2021 Annual Report and Accounts · UniCredit 810 2021 Annual Report and Accounts · UniCredit 810 2021 Annual Report and Accounts · UniCredit 810 2021 Annual Report and Accounts · UniCredit Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 UniCredit · 2021 Annual Report and Accounts 811 Ordinary Shareholders’ Meeting resolution of 8 April 2022 The Shareholders' Meeting of UniCredit S.p.A. held in Milan on 8 April 2022 resolved in ordinary session on the following items on the agenda. Approval of the 2021 financial statements The Shareholders' Meeting has approved the Financial Statements of UniCredit S.p.A as at 31 December 2021, along with the Reports of the Board of Directors, the External Auditors and the Board of Statutory Auditors. Allocation of the net profit of the year 2021 The Shareholders' Meeting, in reference to the decisions taken upon approval of the 2021 Financial Statements of UniCredit S.p.A., and on the basis of the result for the year 2021 of €10,366,195,749.72, resolved to allocate the net profit as follow: • to the shareholders a dividend of €0.5380 for each share outstanding and entitled to dividend at payment date for a maximum amount of €1,170,046,000.00; • to social, charity and cultural initiatives in favor of UniCredit Foundation for an amount of €4,000,000.00; • to the Reserve related to the medium-term incentive program for Group Staff for an amount of €65,000,000.00; • to the Statutory reserve for the remaining amount. Elimination of negative reserves for the components not subject to change by means of their definitive coverage The Shareholders' Meeting approved the coverage of the negative reserves totaling €379,972,155.44 through use of the: i) Share Premium Reserve for €350,102,767.29, subject to the release of the necessary authorization by the European Central Bank, to cover to the negative reserve for coupon payments in 2021 related to Additional Tier 1 capital instruments, and ii) Statutory reserve for the amount of €29,869,388.15 to cover the negative reserve from the cash-out in 2021, related to the usufruct contract connected to the Cashes financial instruments. Authorisation to purchase treasury shares aimed at remunerating the shareholders. Consequent and inherent resolutions The Shareholders' Meeting authorised the Board of Directors, pursuant to Articles 2357 of the Italian Civil Code and 132 of the Italian Consolidated Financial Act, to carry out the purchases, in one or more transactions, for maximum ordinary shares of the Company equal to a total expenditure up to Euro 2,579,954,000 and, in any case, not exceeding No.215,000,000 shares, subject to the ECB's authorisation. Following the authorisation of the ECB and within the limits thereof, the purchases of UniCredit's shares may be carried out within the earliest of: (i) the term of the 18th (eighteenth) month from today; and (ii) the date of the shareholders' meeting which will be called to approve the financial statements for the year ending on 31 December 2022. UniCredit's ordinary shares purchases, if executed, must be carried out at a price that will be determined on a case-by-case basis, in compliance with any applicable regulatory requirements, including those of the European Union, in force from time to time, on the understanding that the purchase price cannot diverge downwards or upwards by more than 10 per cent from the official price registered by UniCredit's share in Euronext Milan's trading session, organised and managed by Borsa Italiana S.p.A., on the day prior to the execution of each individual purchase transaction. The authorisation to purchase ordinary shares is part of the activities envisaged in the 2022 - 2024 strategic plan "UniCredit Unlocked", through which UniCredit intends to sustainably increase Shareholder distribution over the course of said Plan. Appointment of the Board of Statutory Auditors and of the substitute Statutory Auditors Determination of the remuneration due to the Board of Statutory Auditors The Shareholders' Meeting has appointed, on the basis of a proportional representation mechanism (voto di lista), the members of the Board of Statutory Auditors for the 2022 - 2024 financial years, with a term of office expiring on the date of the AGM called to approve the 2024 financial statements. According to Clause 30 of the Articles of Association and to current provisions: • three permanent Statutory Auditors and two stand-in Statutory Auditors were elected from the list obtaining the majority of the Shareholders' votes filed by Allianz Finance II Luxembourg S.à.r.l. (List No.1), with a shareholding equal to around 3.2% of the share capital; • two permanent Statutory Auditors and two stand-in Statutory Auditors were taken from the list voted by a shareholders' minority, filed jointly by several investment Funds (List No.2), with an overall shareholding equal to around 1.1% of the share capital. Therefore, the newly appointed Board of Statutory Auditors is made up by Mr. Marco Giuseppe Maria RIGOTTI, as Chairman (from the minority list), Mr. Claudio CACCIAMANI, Mrs. Benedetta NAVARRA and Mr. Guido PAOLUCCI (from the majority list) and Mrs. Antonella BIENTINESI (from the minority list), as permanent Auditors. The stand-in Statutory Auditors appointed are Mrs. Raffaella PAGANI and Mrs. Paola MANES (from the majority list), Mr. Vittorio DELL'ATTI and Mrs. Enrica RIMOLDI (from the minority list). All the appointed Statutory Auditors declared their independence pursuant to the Legislative Decree No.58/1998, the Decree issued by the Ministry of Economics and Finance No.169/2020, as well as the Corporate Governance Code. The curriculum vitae of the new Auditors can be found on the Corporate Governance section of the Company website (www.unicreditgroup.eu). Furthermore, the Shareholders' Meeting approved the proposal for the yearly remuneration due to the Board of Statutory Auditors' members: €125,000 for each permanent Statutory Auditor and €190,000 for the Chairman, as well as an attendance fee of €400 for each Board of Statutory Auditors' meeting as well as of the other corporate bodies. Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 UniCredit · 2021 Annual Report and Accounts 811 Ordinary Shareholders’ Meeting resolution of 8 April 2022 The Shareholders' Meeting of UniCredit S.p.A. held in Milan on 8 April 2022 resolved in ordinary session on the following items on the agenda. Approval of the 2021 financial statements The Shareholders' Meeting has approved the Financial Statements of UniCredit S.p.A as at 31 December 2021, along with the Reports of the Board of Directors, the External Auditors and the Board of Statutory Auditors. Allocation of the net profit of the year 2021 The Shareholders' Meeting, in reference to the decisions taken upon approval of the 2021 Financial Statements of UniCredit S.p.A., and on the basis of the result for the year 2021 of €10,366,195,749.72, resolved to allocate the net profit as follow: • to the shareholders a dividend of €0.5380 for each share outstanding and entitled to dividend at payment date for a maximum amount of €1,170,046,000.00; • to social, charity and cultural initiatives in favor of UniCredit Foundation for an amount of €4,000,000.00; • to the Reserve related to the medium-term incentive program for Group Staff for an amount of €65,000,000.00; • to the Statutory reserve for the remaining amount. Elimination of negative reserves for the components not subject to change by means of their definitive coverage The Shareholders' Meeting approved the coverage of the negative reserves totaling €379,972,155.44 through use of the: i) Share Premium Reserve for €350,102,767.29, subject to the release of the necessary authorization by the European Central Bank, to cover to the negative reserve for coupon payments in 2021 related to Additional Tier 1 capital instruments, and ii) Statutory reserve for the amount of €29,869,388.15 to cover the negative reserve from the cash-out in 2021, related to the usufruct contract connected to the Cashes financial instruments. Authorisation to purchase treasury shares aimed at remunerating the shareholders. Consequent and inherent resolutions The Shareholders' Meeting authorised the Board of Directors, pursuant to Articles 2357 of the Italian Civil Code and 132 of the Italian Consolidated Financial Act, to carry out the purchases, in one or more transactions, for maximum ordinary shares of the Company equal to a total expenditure up to Euro 2,579,954,000 and, in any case, not exceeding No.215,000,000 shares, subject to the ECB's authorisation. Following the authorisation of the ECB and within the limits thereof, the purchases of UniCredit's shares may be carried out within the earliest of: (i) the term of the 18th (eighteenth) month from today; and (ii) the date of the shareholders' meeting which will be called to approve the financial statements for the year ending on 31 December 2022. UniCredit's ordinary shares purchases, if executed, must be carried out at a price that will be determined on a case-by-case basis, in compliance with any applicable regulatory requirements, including those of the European Union, in force from time to time, on the understanding that the purchase price cannot diverge downwards or upwards by more than 10 per cent from the official price registered by UniCredit's share in Euronext Milan's trading session, organised and managed by Borsa Italiana S.p.A., on the day prior to the execution of each individual purchase transaction. The authorisation to purchase ordinary shares is part of the activities envisaged in the 2022 - 2024 strategic plan "UniCredit Unlocked", through which UniCredit intends to sustainably increase Shareholder distribution over the course of said Plan. Appointment of the Board of Statutory Auditors and of the substitute Statutory Auditors Determination of the remuneration due to the Board of Statutory Auditors The Shareholders' Meeting has appointed, on the basis of a proportional representation mechanism (voto di lista), the members of the Board of Statutory Auditors for the 2022 - 2024 financial years, with a term of office expiring on the date of the AGM called to approve the 2024 financial statements. According to Clause 30 of the Articles of Association and to current provisions: • three permanent Statutory Auditors and two stand-in Statutory Auditors were elected from the list obtaining the majority of the Shareholders' votes filed by Allianz Finance II Luxembourg S.à.r.l. (List No.1), with a shareholding equal to around 3.2% of the share capital; • two permanent Statutory Auditors and two stand-in Statutory Auditors were taken from the list voted by a shareholders' minority, filed jointly by several investment Funds (List No.2), with an overall shareholding equal to around 1.1% of the share capital. Therefore, the newly appointed Board of Statutory Auditors is made up by Mr. Marco Giuseppe Maria RIGOTTI, as Chairman (from the minority list), Mr. Claudio CACCIAMANI, Mrs. Benedetta NAVARRA and Mr. Guido PAOLUCCI (from the majority list) and Mrs. Antonella BIENTINESI (from the minority list), as permanent Auditors. The stand-in Statutory Auditors appointed are Mrs. Raffaella PAGANI and Mrs. Paola MANES (from the majority list), Mr. Vittorio DELL'ATTI and Mrs. Enrica RIMOLDI (from the minority list). All the appointed Statutory Auditors declared their independence pursuant to the Legislative Decree No.58/1998, the Decree issued by the Ministry of Economics and Finance No.169/2020, as well as the Corporate Governance Code. The curriculum vitae of the new Auditors can be found on the Corporate Governance section of the Company website (www.unicreditgroup.eu). Furthermore, the Shareholders' Meeting approved the proposal for the yearly remuneration due to the Board of Statutory Auditors' members: €125,000 for each permanent Statutory Auditor and €190,000 for the Chairman, as well as an attendance fee of €400 for each Board of Statutory Auditors' meeting as well as of the other corporate bodies. Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 UniCredit · 2021 Annual Report and Accounts 811 Ordinary Shareholders’ Meeting resolution of 8 April 2022 The Shareholders' Meeting of UniCredit S.p.A. held in Milan on 8 April 2022 resolved in ordinary session on the following items on the agenda. Approval of the 2021 financial statements The Shareholders' Meeting has approved the Financial Statements of UniCredit S.p.A as at 31 December 2021, along with the Reports of the Board of Directors, the External Auditors and the Board of Statutory Auditors. Allocation of the net profit of the year 2021 The Shareholders' Meeting, in reference to the decisions taken upon approval of the 2021 Financial Statements of UniCredit S.p.A., and on the basis of the result for the year 2021 of €10,366,195,749.72, resolved to allocate the net profit as follow: • to the shareholders a dividend of €0.5380 for each share outstanding and entitled to dividend at payment date for a maximum amount of €1,170,046,000.00; • to social, charity and cultural initiatives in favor of UniCredit Foundation for an amount of €4,000,000.00; • to the Reserve related to the medium-term incentive program for Group Staff for an amount of €65,000,000.00; • to the Statutory reserve for the remaining amount. Elimination of negative reserves for the components not subject to change by means of their definitive coverage The Shareholders' Meeting approved the coverage of the negative reserves totaling €379,972,155.44 through use of the: i) Share Premium Reserve for €350,102,767.29, subject to the release of the necessary authorization by the European Central Bank, to cover to the negative reserve for coupon payments in 2021 related to Additional Tier 1 capital instruments, and ii) Statutory reserve for the amount of €29,869,388.15 to cover the negative reserve from the cash-out in 2021, related to the usufruct contract connected to the Cashes financial instruments. Authorisation to purchase treasury shares aimed at remunerating the shareholders. Consequent and inherent resolutions The Shareholders' Meeting authorised the Board of Directors, pursuant to Articles 2357 of the Italian Civil Code and 132 of the Italian Consolidated Financial Act, to carry out the purchases, in one or more transactions, for maximum ordinary shares of the Company equal to a total expenditure up to Euro 2,579,954,000 and, in any case, not exceeding No.215,000,000 shares, subject to the ECB's authorisation. Following the authorisation of the ECB and within the limits thereof, the purchases of UniCredit's shares may be carried out within the earliest of: (i) the term of the 18th (eighteenth) month from today; and (ii) the date of the shareholders' meeting which will be called to approve the financial statements for the year ending on 31 December 2022. UniCredit's ordinary shares purchases, if executed, must be carried out at a price that will be determined on a case-by-case basis, in compliance with any applicable regulatory requirements, including those of the European Union, in force from time to time, on the understanding that the purchase price cannot diverge downwards or upwards by more than 10 per cent from the official price registered by UniCredit's share in Euronext Milan's trading session, organised and managed by Borsa Italiana S.p.A., on the day prior to the execution of each individual purchase transaction. The authorisation to purchase ordinary shares is part of the activities envisaged in the 2022 - 2024 strategic plan "UniCredit Unlocked", through which UniCredit intends to sustainably increase Shareholder distribution over the course of said Plan. Appointment of the Board of Statutory Auditors and of the substitute Statutory Auditors Determination of the remuneration due to the Board of Statutory Auditors The Shareholders' Meeting has appointed, on the basis of a proportional representation mechanism (voto di lista), the members of the Board of Statutory Auditors for the 2022 - 2024 financial years, with a term of office expiring on the date of the AGM called to approve the 2024 financial statements. According to Clause 30 of the Articles of Association and to current provisions: • three permanent Statutory Auditors and two stand-in Statutory Auditors were elected from the list obtaining the majority of the Shareholders' votes filed by Allianz Finance II Luxembourg S.à.r.l. (List No.1), with a shareholding equal to around 3.2% of the share capital; • two permanent Statutory Auditors and two stand-in Statutory Auditors were taken from the list voted by a shareholders' minority, filed jointly by several investment Funds (List No.2), with an overall shareholding equal to around 1.1% of the share capital. Therefore, the newly appointed Board of Statutory Auditors is made up by Mr. Marco Giuseppe Maria RIGOTTI, as Chairman (from the minority list), Mr. Claudio CACCIAMANI, Mrs. Benedetta NAVARRA and Mr. Guido PAOLUCCI (from the majority list) and Mrs. Antonella BIENTINESI (from the minority list), as permanent Auditors. The stand-in Statutory Auditors appointed are Mrs. Raffaella PAGANI and Mrs. Paola MANES (from the majority list), Mr. Vittorio DELL'ATTI and Mrs. Enrica RIMOLDI (from the minority list). All the appointed Statutory Auditors declared their independence pursuant to the Legislative Decree No.58/1998, the Decree issued by the Ministry of Economics and Finance No.169/2020, as well as the Corporate Governance Code. The curriculum vitae of the new Auditors can be found on the Corporate Governance section of the Company website (www.unicreditgroup.eu). Furthermore, the Shareholders' Meeting approved the proposal for the yearly remuneration due to the Board of Statutory Auditors' members: €125,000 for each permanent Statutory Auditor and €190,000 for the Chairman, as well as an attendance fee of €400 for each Board of Statutory Auditors' meeting as well as of the other corporate bodies. Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 UniCredit · 2021 Annual Report and Accounts 811 Ordinary Shareholders’ Meeting resolution of 8 April 2022 The Shareholders' Meeting of UniCredit S.p.A. held in Milan on 8 April 2022 resolved in ordinary session on the following items on the agenda. Approval of the 2021 financial statements The Shareholders' Meeting has approved the Financial Statements of UniCredit S.p.A as at 31 December 2021, along with the Reports of the Board of Directors, the External Auditors and the Board of Statutory Auditors. Allocation of the net profit of the year 2021 The Shareholders' Meeting, in reference to the decisions taken upon approval of the 2021 Financial Statements of UniCredit S.p.A., and on the basis of the result for the year 2021 of €10,366,195,749.72, resolved to allocate the net profit as follow: • to the shareholders a dividend of €0.5380 for each share outstanding and entitled to dividend at payment date for a maximum amount of €1,170,046,000.00; • to social, charity and cultural initiatives in favor of UniCredit Foundation for an amount of €4,000,000.00; • to the Reserve related to the medium-term incentive program for Group Staff for an amount of €65,000,000.00; • to the Statutory reserve for the remaining amount. Elimination of negative reserves for the components not subject to change by means of their definitive coverage The Shareholders' Meeting approved the coverage of the negative reserves totaling €379,972,155.44 through use of the: i) Share Premium Reserve for €350,102,767.29, subject to the release of the necessary authorization by the European Central Bank, to cover to the negative reserve for coupon payments in 2021 related to Additional Tier 1 capital instruments, and ii) Statutory reserve for the amount of €29,869,388.15 to cover the negative reserve from the cash-out in 2021, related to the usufruct contract connected to the Cashes financial instruments. Authorisation to purchase treasury shares aimed at remunerating the shareholders. Consequent and inherent resolutions The Shareholders' Meeting authorised the Board of Directors, pursuant to Articles 2357 of the Italian Civil Code and 132 of the Italian Consolidated Financial Act, to carry out the purchases, in one or more transactions, for maximum ordinary shares of the Company equal to a total expenditure up to Euro 2,579,954,000 and, in any case, not exceeding No.215,000,000 shares, subject to the ECB's authorisation. Following the authorisation of the ECB and within the limits thereof, the purchases of UniCredit's shares may be carried out within the earliest of: (i) the term of the 18th (eighteenth) month from today; and (ii) the date of the shareholders' meeting which will be called to approve the financial statements for the year ending on 31 December 2022. UniCredit's ordinary shares purchases, if executed, must be carried out at a price that will be determined on a case-by-case basis, in compliance with any applicable regulatory requirements, including those of the European Union, in force from time to time, on the understanding that the purchase price cannot diverge downwards or upwards by more than 10 per cent from the official price registered by UniCredit's share in Euronext Milan's trading session, organised and managed by Borsa Italiana S.p.A., on the day prior to the execution of each individual purchase transaction. The authorisation to purchase ordinary shares is part of the activities envisaged in the 2022 - 2024 strategic plan "UniCredit Unlocked", through which UniCredit intends to sustainably increase Shareholder distribution over the course of said Plan. Appointment of the Board of Statutory Auditors and of the substitute Statutory Auditors Determination of the remuneration due to the Board of Statutory Auditors The Shareholders' Meeting has appointed, on the basis of a proportional representation mechanism (voto di lista), the members of the Board of Statutory Auditors for the 2022 - 2024 financial years, with a term of office expiring on the date of the AGM called to approve the 2024 financial statements. According to Clause 30 of the Articles of Association and to current provisions: • three permanent Statutory Auditors and two stand-in Statutory Auditors were elected from the list obtaining the majority of the Shareholders' votes filed by Allianz Finance II Luxembourg S.à.r.l. (List No.1), with a shareholding equal to around 3.2% of the share capital; • two permanent Statutory Auditors and two stand-in Statutory Auditors were taken from the list voted by a shareholders' minority, filed jointly by several investment Funds (List No.2), with an overall shareholding equal to around 1.1% of the share capital. Therefore, the newly appointed Board of Statutory Auditors is made up by Mr. Marco Giuseppe Maria RIGOTTI, as Chairman (from the minority list), Mr. Claudio CACCIAMANI, Mrs. Benedetta NAVARRA and Mr. Guido PAOLUCCI (from the majority list) and Mrs. Antonella BIENTINESI (from the minority list), as permanent Auditors. The stand-in Statutory Auditors appointed are Mrs. Raffaella PAGANI and Mrs. Paola MANES (from the majority list), Mr. Vittorio DELL'ATTI and Mrs. Enrica RIMOLDI (from the minority list). All the appointed Statutory Auditors declared their independence pursuant to the Legislative Decree No.58/1998, the Decree issued by the Ministry of Economics and Finance No.169/2020, as well as the Corporate Governance Code. The curriculum vitae of the new Auditors can be found on the Corporate Governance section of the Company website (www.unicreditgroup.eu). Furthermore, the Shareholders' Meeting approved the proposal for the yearly remuneration due to the Board of Statutory Auditors' members: €125,000 for each permanent Statutory Auditor and €190,000 for the Chairman, as well as an attendance fee of €400 for each Board of Statutory Auditors' meeting as well as of the other corporate bodies. Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 UniCredit · 2021 Annual Report and Accounts 811 Ordinary Shareholders’ Meeting resolution of 8 April 2022 The Shareholders' Meeting of UniCredit S.p.A. held in Milan on 8 April 2022 resolved in ordinary session on the following items on the agenda. Approval of the 2021 financial statements The Shareholders' Meeting has approved the Financial Statements of UniCredit S.p.A as at 31 December 2021, along with the Reports of the Board of Directors, the External Auditors and the Board of Statutory Auditors. Allocation of the net profit of the year 2021 The Shareholders' Meeting, in reference to the decisions taken upon approval of the 2021 Financial Statements of UniCredit S.p.A., and on the basis of the result for the year 2021 of €10,366,195,749.72, resolved to allocate the net profit as follow: • to the shareholders a dividend of €0.5380 for each share outstanding and entitled to dividend at payment date for a maximum amount of €1,170,046,000.00; • to social, charity and cultural initiatives in favor of UniCredit Foundation for an amount of €4,000,000.00; • to the Reserve related to the medium-term incentive program for Group Staff for an amount of €65,000,000.00; • to the Statutory reserve for the remaining amount. Elimination of negative reserves for the components not subject to change by means of their definitive coverage The Shareholders' Meeting approved the coverage of the negative reserves totaling €379,972,155.44 through use of the: i) Share Premium Reserve for €350,102,767.29, subject to the release of the necessary authorization by the European Central Bank, to cover to the negative reserve for coupon payments in 2021 related to Additional Tier 1 capital instruments, and ii) Statutory reserve for the amount of €29,869,388.15 to cover the negative reserve from the cash-out in 2021, related to the usufruct contract connected to the Cashes financial instruments. Authorisation to purchase treasury shares aimed at remunerating the shareholders. Consequent and inherent resolutions The Shareholders' Meeting authorised the Board of Directors, pursuant to Articles 2357 of the Italian Civil Code and 132 of the Italian Consolidated Financial Act, to carry out the purchases, in one or more transactions, for maximum ordinary shares of the Company equal to a total expenditure up to Euro 2,579,954,000 and, in any case, not exceeding No.215,000,000 shares, subject to the ECB's authorisation. Following the authorisation of the ECB and within the limits thereof, the purchases of UniCredit's shares may be carried out within the earliest of: (i) the term of the 18th (eighteenth) month from today; and (ii) the date of the shareholders' meeting which will be called to approve the financial statements for the year ending on 31 December 2022. UniCredit's ordinary shares purchases, if executed, must be carried out at a price that will be determined on a case-by-case basis, in compliance with any applicable regulatory requirements, including those of the European Union, in force from time to time, on the understanding that the purchase price cannot diverge downwards or upwards by more than 10 per cent from the official price registered by UniCredit's share in Euronext Milan's trading session, organised and managed by Borsa Italiana S.p.A., on the day prior to the execution of each individual purchase transaction. The authorisation to purchase ordinary shares is part of the activities envisaged in the 2022 - 2024 strategic plan "UniCredit Unlocked", through which UniCredit intends to sustainably increase Shareholder distribution over the course of said Plan. Appointment of the Board of Statutory Auditors and of the substitute Statutory Auditors Determination of the remuneration due to the Board of Statutory Auditors The Shareholders' Meeting has appointed, on the basis of a proportional representation mechanism (voto di lista), the members of the Board of Statutory Auditors for the 2022 - 2024 financial years, with a term of office expiring on the date of the AGM called to approve the 2024 financial statements. According to Clause 30 of the Articles of Association and to current provisions: • three permanent Statutory Auditors and two stand-in Statutory Auditors were elected from the list obtaining the majority of the Shareholders' votes filed by Allianz Finance II Luxembourg S.à.r.l. (List No.1), with a shareholding equal to around 3.2% of the share capital; • two permanent Statutory Auditors and two stand-in Statutory Auditors were taken from the list voted by a shareholders' minority, filed jointly by several investment Funds (List No.2), with an overall shareholding equal to around 1.1% of the share capital. Therefore, the newly appointed Board of Statutory Auditors is made up by Mr. Marco Giuseppe Maria RIGOTTI, as Chairman (from the minority list), Mr. Claudio CACCIAMANI, Mrs. Benedetta NAVARRA and Mr. Guido PAOLUCCI (from the majority list) and Mrs. Antonella BIENTINESI (from the minority list), as permanent Auditors. The stand-in Statutory Auditors appointed are Mrs. Raffaella PAGANI and Mrs. Paola MANES (from the majority list), Mr. Vittorio DELL'ATTI and Mrs. Enrica RIMOLDI (from the minority list). All the appointed Statutory Auditors declared their independence pursuant to the Legislative Decree No.58/1998, the Decree issued by the Ministry of Economics and Finance No.169/2020, as well as the Corporate Governance Code. The curriculum vitae of the new Auditors can be found on the Corporate Governance section of the Company website (www.unicreditgroup.eu). Furthermore, the Shareholders' Meeting approved the proposal for the yearly remuneration due to the Board of Statutory Auditors' members: €125,000 for each permanent Statutory Auditor and €190,000 for the Chairman, as well as an attendance fee of €400 for each Board of Statutory Auditors' meeting as well as of the other corporate bodies. Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 812 2021 Annual Report and Accounts · UniCredit 2022 Group Remuneration Policy The Shareholders' Meeting approved the 2022 Group Remuneration Policy which sets out the principles and standards applied by UniCredit to define, implement and monitor the compensation praxis, plans and programs of the Group. Remuneration Report The Shareholders' Meeting approved the Remuneration Report which provides all relevant Group compensation-related information on the remuneration policies, practices and outcomes. 2022 Group Incentive System The Shareholders' Meeting approved the adoption of the 2022 Group Incentive System which, as required by national and international regulatory requirements, provides for the allocation of an incentive in cash and/or in UniCredit ordinary shares to be granted, subject to the achievement of specific performance conditions over a multi-year period to a selected group of UniCredit Group employees. Amendment to Group incentive systems based on financial instruments. Consequent and inherent resolutions The Shareholders' Meeting approved the proposal to make some amendments to certain past Compensation Plans already approved in order to envisage that UniCredit shares to be assigned to the beneficiaries of such Compensation Plans may result, alternatively or in combination, from capital increase or the use of treasury shares purchased for this purpose on the market by UniCredit, subject to obtaining the necessary authorisations. Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 812 2021 Annual Report and Accounts · UniCredit 2022 Group Remuneration Policy The Shareholders' Meeting approved the 2022 Group Remuneration Policy which sets out the principles and standards applied by UniCredit to define, implement and monitor the compensation praxis, plans and programs of the Group. Remuneration Report The Shareholders' Meeting approved the Remuneration Report which provides all relevant Group compensation-related information on the remuneration policies, practices and outcomes. 2022 Group Incentive System The Shareholders' Meeting approved the adoption of the 2022 Group Incentive System which, as required by national and international regulatory requirements, provides for the allocation of an incentive in cash and/or in UniCredit ordinary shares to be granted, subject to the achievement of specific performance conditions over a multi-year period to a selected group of UniCredit Group employees. Amendment to Group incentive systems based on financial instruments. Consequent and inherent resolutions The Shareholders' Meeting approved the proposal to make some amendments to certain past Compensation Plans already approved in order to envisage that UniCredit shares to be assigned to the beneficiaries of such Compensation Plans may result, alternatively or in combination, from capital increase or the use of treasury shares purchased for this purpose on the market by UniCredit, subject to obtaining the necessary authorisations. Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 812 2021 Annual Report and Accounts · UniCredit 2022 Group Remuneration Policy The Shareholders' Meeting approved the 2022 Group Remuneration Policy which sets out the principles and standards applied by UniCredit to define, implement and monitor the compensation praxis, plans and programs of the Group. Remuneration Report The Shareholders' Meeting approved the Remuneration Report which provides all relevant Group compensation-related information on the remuneration policies, practices and outcomes. 2022 Group Incentive System The Shareholders' Meeting approved the adoption of the 2022 Group Incentive System which, as required by national and international regulatory requirements, provides for the allocation of an incentive in cash and/or in UniCredit ordinary shares to be granted, subject to the achievement of specific performance conditions over a multi-year period to a selected group of UniCredit Group employees. Amendment to Group incentive systems based on financial instruments. Consequent and inherent resolutions The Shareholders' Meeting approved the proposal to make some amendments to certain past Compensation Plans already approved in order to envisage that UniCredit shares to be assigned to the beneficiaries of such Compensation Plans may result, alternatively or in combination, from capital increase or the use of treasury shares purchased for this purpose on the market by UniCredit, subject to obtaining the necessary authorisations. Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 812 2021 Annual Report and Accounts · UniCredit 2022 Group Remuneration Policy The Shareholders' Meeting approved the 2022 Group Remuneration Policy which sets out the principles and standards applied by UniCredit to define, implement and monitor the compensation praxis, plans and programs of the Group. Remuneration Report The Shareholders' Meeting approved the Remuneration Report which provides all relevant Group compensation-related information on the remuneration policies, practices and outcomes. 2022 Group Incentive System The Shareholders' Meeting approved the adoption of the 2022 Group Incentive System which, as required by national and international regulatory requirements, provides for the allocation of an incentive in cash and/or in UniCredit ordinary shares to be granted, subject to the achievement of specific performance conditions over a multi-year period to a selected group of UniCredit Group employees. Amendment to Group incentive systems based on financial instruments. Consequent and inherent resolutions The Shareholders' Meeting approved the proposal to make some amendments to certain past Compensation Plans already approved in order to envisage that UniCredit shares to be assigned to the beneficiaries of such Compensation Plans may result, alternatively or in combination, from capital increase or the use of treasury shares purchased for this purpose on the market by UniCredit, subject to obtaining the necessary authorisations. Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 812 2021 Annual Report and Accounts · UniCredit 2022 Group Remuneration Policy The Shareholders' Meeting approved the 2022 Group Remuneration Policy which sets out the principles and standards applied by UniCredit to define, implement and monitor the compensation praxis, plans and programs of the Group. Remuneration Report The Shareholders' Meeting approved the Remuneration Report which provides all relevant Group compensation-related information on the remuneration policies, practices and outcomes. 2022 Group Incentive System The Shareholders' Meeting approved the adoption of the 2022 Group Incentive System which, as required by national and international regulatory requirements, provides for the allocation of an incentive in cash and/or in UniCredit ordinary shares to be granted, subject to the achievement of specific performance conditions over a multi-year period to a selected group of UniCredit Group employees. Amendment to Group incentive systems based on financial instruments. Consequent and inherent resolutions The Shareholders' Meeting approved the proposal to make some amendments to certain past Compensation Plans already approved in order to envisage that UniCredit shares to be assigned to the beneficiaries of such Compensation Plans may result, alternatively or in combination, from capital increase or the use of treasury shares purchased for this purpose on the market by UniCredit, subject to obtaining the necessary authorisations. Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 UniCredit · 2021 Annual Report and Accounts 813 Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 UniCredit · 2021 Annual Report and Accounts 813 Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 UniCredit · 2021 Annual Report and Accounts 813 Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 UniCredit · 2021 Annual Report and Accounts 813 Company financial statements | Report and resolutions Ordinary Shareholders’ Meeting resolution of 8 April 2022 UniCredit · 2021 Annual Report and Accounts 813  814 2021 Annual Report and Accounts · UniCredit 814 2021 Annual Report and Accounts · UniCredit 814 2021 Annual Report and Accounts · UniCredit 814 2021 Annual Report and Accounts · UniCredit 814 2021 Annual Report and Accounts · UniCredit Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 815 Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules A reconciliation of the reclassified balance sheet and profit and loss account to the mandatory reporting schedules, is provided below. An explanation for the restatement of comparative figures is provided in the previous sections. Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 ASSETS Cash and cash balances 72,830 63,334 10. Cash and cash balances 72,830 63,334 Financial assets held for trading 13,939 11,231 20. Financial assets at fair value through profit and loss: a) Financial assets held for trading 13,939 11,238 Change in the riclassified item for the merge of UCI Ireland - (7) Loans to banks 26,711 32,917 40. Financial assets at amortised cost: a) Loans and receivables with banks 37,391 39,917 less: Reclassification of leasing assets IFRS16 in Other financial assets (17) (19) less: Reclassification of debt securities in Other financial assets (10,663) (6,532) Change in the riclassified item for the merge of UCI Ireland - (450) Loans to customers 192,497 208,835 40. Financial assets at amortised cost: b) Loans and receivables with customers 230,447 238,410 less: Reclassification of debt securities in Other financial assets (37,986) (30,152) less: Reclassification of leasing assets IFRS16 in Other financial assets (53) (57) + Reclassification of loans from Other financial assets - Item 20 c) 89 43 Change in the riclassified item for the merge of UCI Ireland - 591 Other financial assets 129,555 113,826 20. Financial assets at fair value through profit and loss: b) Financial assets designated at fair value 102 90 20. Financial assets at fair value through profit and loss: c) Other financial assets mandatorily at fair value 5,945 4,352 less: Reclassification of loans in Loans to customers (89) (43) 30. Financial assets at fair value through other comprehensive income 36,464 33,837 70. Equity investments 38,414 33,725 + Reclassification of debt securities from Loans to banks - Item 40 a) 10,663 6,532 + Reclassification of debt securities from Loans to customers - Item 40 b) 37,986 30,152 + Reclassification of leasing assets IFRS16 from Loans to banks - Item 40 b) 17 19 + Reclassification of leasing assets IFRS16 from Loans to customers - Item 40 b) 53 57 Change in the riclassified item for the merge of UCI Ireland - 5,105 Hedging instruments 5,720 8,864 50. Hedging derivatives 4,362 6,132 60. Changes in fair value of portfolio hedged items (+/-) 1,358 2,435 Change in the riclassified item for the merge of UCI Ireland - 297 Property, plant and equipment 3,806 4,002 80. Property, plant and equipment 3,806 3,999 Change in the riclassified item for the merge of UCI Ireland - 3 Goodwill - - 90. Intangible assets of which: goodwill - - Other intangible assets 7 6 90. Intangible assets net of goodwill 7 6 Tax assets 11,142 10,664 100. Tax assets 11,142 10,664 Non-current assets and disposal groups classified as held for sale 1,909 255 110. Non-current assets and disposal groups classified as held for sale 1,909 255 Other assets 3,837 3,678 120. Other assets 3,837 3,675 Change in the riclassified item for the merge of UCI Ireland - 4 Total assets 461,953 452,069 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 815 Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules A reconciliation of the reclassified balance sheet and profit and loss account to the mandatory reporting schedules, is provided below. An explanation for the restatement of comparative figures is provided in the previous sections. Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 ASSETS Cash and cash balances 72,830 63,334 10. Cash and cash balances 72,830 63,334 Financial assets held for trading 13,939 11,231 20. Financial assets at fair value through profit and loss: a) Financial assets held for trading 13,939 11,238 Change in the riclassified item for the merge of UCI Ireland - (7) Loans to banks 26,711 32,917 40. Financial assets at amortised cost: a) Loans and receivables with banks 37,391 39,917 less: Reclassification of leasing assets IFRS16 in Other financial assets (17) (19) less: Reclassification of debt securities in Other financial assets (10,663) (6,532) Change in the riclassified item for the merge of UCI Ireland - (450) Loans to customers 192,497 208,835 40. Financial assets at amortised cost: b) Loans and receivables with customers 230,447 238,410 less: Reclassification of debt securities in Other financial assets (37,986) (30,152) less: Reclassification of leasing assets IFRS16 in Other financial assets (53) (57) + Reclassification of loans from Other financial assets - Item 20 c) 89 43 Change in the riclassified item for the merge of UCI Ireland - 591 Other financial assets 129,555 113,826 20. Financial assets at fair value through profit and loss: b) Financial assets designated at fair value 102 90 20. Financial assets at fair value through profit and loss: c) Other financial assets mandatorily at fair value 5,945 4,352 less: Reclassification of loans in Loans to customers (89) (43) 30. Financial assets at fair value through other comprehensive income 36,464 33,837 70. Equity investments 38,414 33,725 + Reclassification of debt securities from Loans to banks - Item 40 a) 10,663 6,532 + Reclassification of debt securities from Loans to customers - Item 40 b) 37,986 30,152 + Reclassification of leasing assets IFRS16 from Loans to banks - Item 40 b) 17 19 + Reclassification of leasing assets IFRS16 from Loans to customers - Item 40 b) 53 57 Change in the riclassified item for the merge of UCI Ireland - 5,105 Hedging instruments 5,720 8,864 50. Hedging derivatives 4,362 6,132 60. Changes in fair value of portfolio hedged items (+/-) 1,358 2,435 Change in the riclassified item for the merge of UCI Ireland - 297 Property, plant and equipment 3,806 4,002 80. Property, plant and equipment 3,806 3,999 Change in the riclassified item for the merge of UCI Ireland - 3 Goodwill - - 90. Intangible assets of which: goodwill - - Other intangible assets 7 6 90. Intangible assets net of goodwill 7 6 Tax assets 11,142 10,664 100. Tax assets 11,142 10,664 Non-current assets and disposal groups classified as held for sale 1,909 255 110. Non-current assets and disposal groups classified as held for sale 1,909 255 Other assets 3,837 3,678 120. Other assets 3,837 3,675 Change in the riclassified item for the merge of UCI Ireland - 4 Total assets 461,953 452,069 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 815 Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules A reconciliation of the reclassified balance sheet and profit and loss account to the mandatory reporting schedules, is provided below. An explanation for the restatement of comparative figures is provided in the previous sections. Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 ASSETS Cash and cash balances 72,830 63,334 10. Cash and cash balances 72,830 63,334 Financial assets held for trading 13,939 11,231 20. Financial assets at fair value through profit and loss: a) Financial assets held for trading 13,939 11,238 Change in the riclassified item for the merge of UCI Ireland - (7) Loans to banks 26,711 32,917 40. Financial assets at amortised cost: a) Loans and receivables with banks 37,391 39,917 less: Reclassification of leasing assets IFRS16 in Other financial assets (17) (19) less: Reclassification of debt securities in Other financial assets (10,663) (6,532) Change in the riclassified item for the merge of UCI Ireland - (450) Loans to customers 192,497 208,835 40. Financial assets at amortised cost: b) Loans and receivables with customers 230,447 238,410 less: Reclassification of debt securities in Other financial assets (37,986) (30,152) less: Reclassification of leasing assets IFRS16 in Other financial assets (53) (57) + Reclassification of loans from Other financial assets - Item 20 c) 89 43 Change in the riclassified item for the merge of UCI Ireland - 591 Other financial assets 129,555 113,826 20. Financial assets at fair value through profit and loss: b) Financial assets designated at fair value 102 90 20. Financial assets at fair value through profit and loss: c) Other financial assets mandatorily at fair value 5,945 4,352 less: Reclassification of loans in Loans to customers (89) (43) 30. Financial assets at fair value through other comprehensive income 36,464 33,837 70. Equity investments 38,414 33,725 + Reclassification of debt securities from Loans to banks - Item 40 a) 10,663 6,532 + Reclassification of debt securities from Loans to customers - Item 40 b) 37,986 30,152 + Reclassification of leasing assets IFRS16 from Loans to banks - Item 40 b) 17 19 + Reclassification of leasing assets IFRS16 from Loans to customers - Item 40 b) 53 57 Change in the riclassified item for the merge of UCI Ireland - 5,105 Hedging instruments 5,720 8,864 50. Hedging derivatives 4,362 6,132 60. Changes in fair value of portfolio hedged items (+/-) 1,358 2,435 Change in the riclassified item for the merge of UCI Ireland - 297 Property, plant and equipment 3,806 4,002 80. Property, plant and equipment 3,806 3,999 Change in the riclassified item for the merge of UCI Ireland - 3 Goodwill - - 90. Intangible assets of which: goodwill - - Other intangible assets 7 6 90. Intangible assets net of goodwill 7 6 Tax assets 11,142 10,664 100. Tax assets 11,142 10,664 Non-current assets and disposal groups classified as held for sale 1,909 255 110. Non-current assets and disposal groups classified as held for sale 1,909 255 Other assets 3,837 3,678 120. Other assets 3,837 3,675 Change in the riclassified item for the merge of UCI Ireland - 4 Total assets 461,953 452,069 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 815 Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules A reconciliation of the reclassified balance sheet and profit and loss account to the mandatory reporting schedules, is provided below. An explanation for the restatement of comparative figures is provided in the previous sections. Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 ASSETS Cash and cash balances 72,830 63,334 10. Cash and cash balances 72,830 63,334 Financial assets held for trading 13,939 11,231 20. Financial assets at fair value through profit and loss: a) Financial assets held for trading 13,939 11,238 Change in the riclassified item for the merge of UCI Ireland - (7) Loans to banks 26,711 32,917 40. Financial assets at amortised cost: a) Loans and receivables with banks 37,391 39,917 less: Reclassification of leasing assets IFRS16 in Other financial assets (17) (19) less: Reclassification of debt securities in Other financial assets (10,663) (6,532) Change in the riclassified item for the merge of UCI Ireland - (450) Loans to customers 192,497 208,835 40. Financial assets at amortised cost: b) Loans and receivables with customers 230,447 238,410 less: Reclassification of debt securities in Other financial assets (37,986) (30,152) less: Reclassification of leasing assets IFRS16 in Other financial assets (53) (57) + Reclassification of loans from Other financial assets - Item 20 c) 89 43 Change in the riclassified item for the merge of UCI Ireland - 591 Other financial assets 129,555 113,826 20. Financial assets at fair value through profit and loss: b) Financial assets designated at fair value 102 90 20. Financial assets at fair value through profit and loss: c) Other financial assets mandatorily at fair value 5,945 4,352 less: Reclassification of loans in Loans to customers (89) (43) 30. Financial assets at fair value through other comprehensive income 36,464 33,837 70. Equity investments 38,414 33,725 + Reclassification of debt securities from Loans to banks - Item 40 a) 10,663 6,532 + Reclassification of debt securities from Loans to customers - Item 40 b) 37,986 30,152 + Reclassification of leasing assets IFRS16 from Loans to banks - Item 40 b) 17 19 + Reclassification of leasing assets IFRS16 from Loans to customers - Item 40 b) 53 57 Change in the riclassified item for the merge of UCI Ireland - 5,105 Hedging instruments 5,720 8,864 50. Hedging derivatives 4,362 6,132 60. Changes in fair value of portfolio hedged items (+/-) 1,358 2,435 Change in the riclassified item for the merge of UCI Ireland - 297 Property, plant and equipment 3,806 4,002 80. Property, plant and equipment 3,806 3,999 Change in the riclassified item for the merge of UCI Ireland - 3 Goodwill - - 90. Intangible assets of which: goodwill - - Other intangible assets 7 6 90. Intangible assets net of goodwill 7 6 Tax assets 11,142 10,664 100. Tax assets 11,142 10,664 Non-current assets and disposal groups classified as held for sale 1,909 255 110. Non-current assets and disposal groups classified as held for sale 1,909 255 Other assets 3,837 3,678 120. Other assets 3,837 3,675 Change in the riclassified item for the merge of UCI Ireland - 4 Total assets 461,953 452,069 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 815 Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules A reconciliation of the reclassified balance sheet and profit and loss account to the mandatory reporting schedules, is provided below. An explanation for the restatement of comparative figures is provided in the previous sections. Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 ASSETS Cash and cash balances 72,830 63,334 10. Cash and cash balances 72,830 63,334 Financial assets held for trading 13,939 11,231 20. Financial assets at fair value through profit and loss: a) Financial assets held for trading 13,939 11,238 Change in the riclassified item for the merge of UCI Ireland - (7) Loans to banks 26,711 32,917 40. Financial assets at amortised cost: a) Loans and receivables with banks 37,391 39,917 less: Reclassification of leasing assets IFRS16 in Other financial assets (17) (19) less: Reclassification of debt securities in Other financial assets (10,663) (6,532) Change in the riclassified item for the merge of UCI Ireland - (450) Loans to customers 192,497 208,835 40. Financial assets at amortised cost: b) Loans and receivables with customers 230,447 238,410 less: Reclassification of debt securities in Other financial assets (37,986) (30,152) less: Reclassification of leasing assets IFRS16 in Other financial assets (53) (57) + Reclassification of loans from Other financial assets - Item 20 c) 89 43 Change in the riclassified item for the merge of UCI Ireland - 591 Other financial assets 129,555 113,826 20. Financial assets at fair value through profit and loss: b) Financial assets designated at fair value 102 90 20. Financial assets at fair value through profit and loss: c) Other financial assets mandatorily at fair value 5,945 4,352 less: Reclassification of loans in Loans to customers (89) (43) 30. Financial assets at fair value through other comprehensive income 36,464 33,837 70. Equity investments 38,414 33,725 + Reclassification of debt securities from Loans to banks - Item 40 a) 10,663 6,532 + Reclassification of debt securities from Loans to customers - Item 40 b) 37,986 30,152 + Reclassification of leasing assets IFRS16 from Loans to banks - Item 40 b) 17 19 + Reclassification of leasing assets IFRS16 from Loans to customers - Item 40 b) 53 57 Change in the riclassified item for the merge of UCI Ireland - 5,105 Hedging instruments 5,720 8,864 50. Hedging derivatives 4,362 6,132 60. Changes in fair value of portfolio hedged items (+/-) 1,358 2,435 Change in the riclassified item for the merge of UCI Ireland - 297 Property, plant and equipment 3,806 4,002 80. Property, plant and equipment 3,806 3,999 Change in the riclassified item for the merge of UCI Ireland - 3 Goodwill - - 90. Intangible assets of which: goodwill - - Other intangible assets 7 6 90. Intangible assets net of goodwill 7 6 Tax assets 11,142 10,664 100. Tax assets 11,142 10,664 Non-current assets and disposal groups classified as held for sale 1,909 255 110. Non-current assets and disposal groups classified as held for sale 1,909 255 Other assets 3,837 3,678 120. Other assets 3,837 3,675 Change in the riclassified item for the merge of UCI Ireland - 4 Total assets 461,953 452,069 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 816 2021 Annual Report and Accounts · UniCredit continued: Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 LIABILITIES AND SHAREHOLDERS' EQUITY Deposits from banks 86,258 89,152 10. Financial liabilities at amortised cost: a) Deposits from banks 86,265 89,286 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (7) (7) Change in the riclassified item for the merge of UCI Ireland - (127) Deposits from customers 224,961 223,467 10. Financial liabilities at amortised cost: b) Deposits from customers 226,028 220,921 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (1,067) (1,204) Change in the riclassified item for the merge of UCI Ireland - 3,750 Debt securities issued 57,724 59,998 10. Financial liabilities at amortised cost: c) Debt securities in issue 57,724 59,019 Change in the riclassified item for the merge of UCI Ireland - 979 Financial liabilities held for trading 13,636 9,672 20. Financial liabilities held for trading 13,636 9,671 Change in the riclassified item for the merge of UCI Ireland - 1 Other financial liabilities 5,185 6,076 30. Financial liabilities designated at fair value 4,111 4,863 + Reclassification of leasing liabilities IFRS16 from Deposits from customers - Item 10 b) 1,067 1,204 + Reclassification of leasing liabilities IFRS16 from Deposits from banks 7 7 Change in the riclassified item for the merge of UCI Ireland - 2 Hedging instruments 5,503 10,002 40. Hedging derivatives 4,843 6,031 50. Value adjustment of hedged financial liabilities (+/-) 660 3,432 Change in the riclassified item for the merge of UCI Ireland - 540 Tax liabilities 13 10 60. Tax liabilities 13 3 Change in the riclassified item for the merge of UCI Ireland - 7 Liabilities included in disposal group classified as held for sale - - 70. Liabilities referrable to disposal groups classified as held for sale - - Other liabilities 9,408 9,355 80. Other liabilities 6,943 6,728 90. Provision for employee severance pay 491 557 100. Provisions for risks and charges 1,974 2,065 Change in the riclassified item for the merge of UCI Ireland - 4 Shareholders' equity: 59,265 49,880 - Capital and reserves 48,899 52,570 110. Valuation reserves 793 395 120. Redeemable shares - - 130. Equity instruments 6,595 6,841 140. Reserves 15,131 14,545 150. Share premium 5,446 9,386 160. Share capital 21,133 21,060 170. Treasury shares (-) (199) (2) Change in the riclassified item for the merge of UCI Ireland - 345 - Net profit (loss) 10,366 (2,690) 180. Profit (Loss) of the year (+/-) 10,366 (2,732) Change in the riclassified item for the merge of UCI Ireland - 42 Total liabilities and shareholders' equity 461,953 452,069 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 816 2021 Annual Report and Accounts · UniCredit continued: Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 LIABILITIES AND SHAREHOLDERS' EQUITY Deposits from banks 86,258 89,152 10. Financial liabilities at amortised cost: a) Deposits from banks 86,265 89,286 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (7) (7) Change in the riclassified item for the merge of UCI Ireland - (127) Deposits from customers 224,961 223,467 10. Financial liabilities at amortised cost: b) Deposits from customers 226,028 220,921 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (1,067) (1,204) Change in the riclassified item for the merge of UCI Ireland - 3,750 Debt securities issued 57,724 59,998 10. Financial liabilities at amortised cost: c) Debt securities in issue 57,724 59,019 Change in the riclassified item for the merge of UCI Ireland - 979 Financial liabilities held for trading 13,636 9,672 20. Financial liabilities held for trading 13,636 9,671 Change in the riclassified item for the merge of UCI Ireland - 1 Other financial liabilities 5,185 6,076 30. Financial liabilities designated at fair value 4,111 4,863 + Reclassification of leasing liabilities IFRS16 from Deposits from customers - Item 10 b) 1,067 1,204 + Reclassification of leasing liabilities IFRS16 from Deposits from banks 7 7 Change in the riclassified item for the merge of UCI Ireland - 2 Hedging instruments 5,503 10,002 40. Hedging derivatives 4,843 6,031 50. Value adjustment of hedged financial liabilities (+/-) 660 3,432 Change in the riclassified item for the merge of UCI Ireland - 540 Tax liabilities 13 10 60. Tax liabilities 13 3 Change in the riclassified item for the merge of UCI Ireland - 7 Liabilities included in disposal group classified as held for sale - - 70. Liabilities referrable to disposal groups classified as held for sale - - Other liabilities 9,408 9,355 80. Other liabilities 6,943 6,728 90. Provision for employee severance pay 491 557 100. Provisions for risks and charges 1,974 2,065 Change in the riclassified item for the merge of UCI Ireland - 4 Shareholders' equity: 59,265 49,880 - Capital and reserves 48,899 52,570 110. Valuation reserves 793 395 120. Redeemable shares - - 130. Equity instruments 6,595 6,841 140. Reserves 15,131 14,545 150. Share premium 5,446 9,386 160. Share capital 21,133 21,060 170. Treasury shares (-) (199) (2) Change in the riclassified item for the merge of UCI Ireland - 345 - Net profit (loss) 10,366 (2,690) 180. Profit (Loss) of the year (+/-) 10,366 (2,732) Change in the riclassified item for the merge of UCI Ireland - 42 Total liabilities and shareholders' equity 461,953 452,069 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 816 2021 Annual Report and Accounts · UniCredit continued: Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 LIABILITIES AND SHAREHOLDERS' EQUITY Deposits from banks 86,258 89,152 10. Financial liabilities at amortised cost: a) Deposits from banks 86,265 89,286 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (7) (7) Change in the riclassified item for the merge of UCI Ireland - (127) Deposits from customers 224,961 223,467 10. Financial liabilities at amortised cost: b) Deposits from customers 226,028 220,921 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (1,067) (1,204) Change in the riclassified item for the merge of UCI Ireland - 3,750 Debt securities issued 57,724 59,998 10. Financial liabilities at amortised cost: c) Debt securities in issue 57,724 59,019 Change in the riclassified item for the merge of UCI Ireland - 979 Financial liabilities held for trading 13,636 9,672 20. Financial liabilities held for trading 13,636 9,671 Change in the riclassified item for the merge of UCI Ireland - 1 Other financial liabilities 5,185 6,076 30. Financial liabilities designated at fair value 4,111 4,863 + Reclassification of leasing liabilities IFRS16 from Deposits from customers - Item 10 b) 1,067 1,204 + Reclassification of leasing liabilities IFRS16 from Deposits from banks 7 7 Change in the riclassified item for the merge of UCI Ireland - 2 Hedging instruments 5,503 10,002 40. Hedging derivatives 4,843 6,031 50. Value adjustment of hedged financial liabilities (+/-) 660 3,432 Change in the riclassified item for the merge of UCI Ireland - 540 Tax liabilities 13 10 60. Tax liabilities 13 3 Change in the riclassified item for the merge of UCI Ireland - 7 Liabilities included in disposal group classified as held for sale - - 70. Liabilities referrable to disposal groups classified as held for sale - - Other liabilities 9,408 9,355 80. Other liabilities 6,943 6,728 90. Provision for employee severance pay 491 557 100. Provisions for risks and charges 1,974 2,065 Change in the riclassified item for the merge of UCI Ireland - 4 Shareholders' equity: 59,265 49,880 - Capital and reserves 48,899 52,570 110. Valuation reserves 793 395 120. Redeemable shares - - 130. Equity instruments 6,595 6,841 140. Reserves 15,131 14,545 150. Share premium 5,446 9,386 160. Share capital 21,133 21,060 170. Treasury shares (-) (199) (2) Change in the riclassified item for the merge of UCI Ireland - 345 - Net profit (loss) 10,366 (2,690) 180. Profit (Loss) of the year (+/-) 10,366 (2,732) Change in the riclassified item for the merge of UCI Ireland - 42 Total liabilities and shareholders' equity 461,953 452,069 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 816 2021 Annual Report and Accounts · UniCredit continued: Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 LIABILITIES AND SHAREHOLDERS' EQUITY Deposits from banks 86,258 89,152 10. Financial liabilities at amortised cost: a) Deposits from banks 86,265 89,286 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (7) (7) Change in the riclassified item for the merge of UCI Ireland - (127) Deposits from customers 224,961 223,467 10. Financial liabilities at amortised cost: b) Deposits from customers 226,028 220,921 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (1,067) (1,204) Change in the riclassified item for the merge of UCI Ireland - 3,750 Debt securities issued 57,724 59,998 10. Financial liabilities at amortised cost: c) Debt securities in issue 57,724 59,019 Change in the riclassified item for the merge of UCI Ireland - 979 Financial liabilities held for trading 13,636 9,672 20. Financial liabilities held for trading 13,636 9,671 Change in the riclassified item for the merge of UCI Ireland - 1 Other financial liabilities 5,185 6,076 30. Financial liabilities designated at fair value 4,111 4,863 + Reclassification of leasing liabilities IFRS16 from Deposits from customers - Item 10 b) 1,067 1,204 + Reclassification of leasing liabilities IFRS16 from Deposits from banks 7 7 Change in the riclassified item for the merge of UCI Ireland - 2 Hedging instruments 5,503 10,002 40. Hedging derivatives 4,843 6,031 50. Value adjustment of hedged financial liabilities (+/-) 660 3,432 Change in the riclassified item for the merge of UCI Ireland - 540 Tax liabilities 13 10 60. Tax liabilities 13 3 Change in the riclassified item for the merge of UCI Ireland - 7 Liabilities included in disposal group classified as held for sale - - 70. Liabilities referrable to disposal groups classified as held for sale - - Other liabilities 9,408 9,355 80. Other liabilities 6,943 6,728 90. Provision for employee severance pay 491 557 100. Provisions for risks and charges 1,974 2,065 Change in the riclassified item for the merge of UCI Ireland - 4 Shareholders' equity: 59,265 49,880 - Capital and reserves 48,899 52,570 110. Valuation reserves 793 395 120. Redeemable shares - - 130. Equity instruments 6,595 6,841 140. Reserves 15,131 14,545 150. Share premium 5,446 9,386 160. Share capital 21,133 21,060 170. Treasury shares (-) (199) (2) Change in the riclassified item for the merge of UCI Ireland - 345 - Net profit (loss) 10,366 (2,690) 180. Profit (Loss) of the year (+/-) 10,366 (2,732) Change in the riclassified item for the merge of UCI Ireland - 42 Total liabilities and shareholders' equity 461,953 452,069 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 816 2021 Annual Report and Accounts · UniCredit continued: Balance sheet (€ million) AMOUNTS AS AT 12.31.2021 12.31.2020 LIABILITIES AND SHAREHOLDERS' EQUITY Deposits from banks 86,258 89,152 10. Financial liabilities at amortised cost: a) Deposits from banks 86,265 89,286 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (7) (7) Change in the riclassified item for the merge of UCI Ireland - (127) Deposits from customers 224,961 223,467 10. Financial liabilities at amortised cost: b) Deposits from customers 226,028 220,921 less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities (1,067) (1,204) Change in the riclassified item for the merge of UCI Ireland - 3,750 Debt securities issued 57,724 59,998 10. Financial liabilities at amortised cost: c) Debt securities in issue 57,724 59,019 Change in the riclassified item for the merge of UCI Ireland - 979 Financial liabilities held for trading 13,636 9,672 20. Financial liabilities held for trading 13,636 9,671 Change in the riclassified item for the merge of UCI Ireland - 1 Other financial liabilities 5,185 6,076 30. Financial liabilities designated at fair value 4,111 4,863 + Reclassification of leasing liabilities IFRS16 from Deposits from customers - Item 10 b) 1,067 1,204 + Reclassification of leasing liabilities IFRS16 from Deposits from banks 7 7 Change in the riclassified item for the merge of UCI Ireland - 2 Hedging instruments 5,503 10,002 40. Hedging derivatives 4,843 6,031 50. Value adjustment of hedged financial liabilities (+/-) 660 3,432 Change in the riclassified item for the merge of UCI Ireland - 540 Tax liabilities 13 10 60. Tax liabilities 13 3 Change in the riclassified item for the merge of UCI Ireland - 7 Liabilities included in disposal group classified as held for sale - - 70. Liabilities referrable to disposal groups classified as held for sale - - Other liabilities 9,408 9,355 80. Other liabilities 6,943 6,728 90. Provision for employee severance pay 491 557 100. Provisions for risks and charges 1,974 2,065 Change in the riclassified item for the merge of UCI Ireland - 4 Shareholders' equity: 59,265 49,880 - Capital and reserves 48,899 52,570 110. Valuation reserves 793 395 120. Redeemable shares - - 130. Equity instruments 6,595 6,841 140. Reserves 15,131 14,545 150. Share premium 5,446 9,386 160. Share capital 21,133 21,060 170. Treasury shares (-) (199) (2) Change in the riclassified item for the merge of UCI Ireland - 345 - Net profit (loss) 10,366 (2,690) 180. Profit (Loss) of the year (+/-) 10,366 (2,732) Change in the riclassified item for the merge of UCI Ireland - 42 Total liabilities and shareholders' equity 461,953 452,069 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 817 Income statement (€ million) YEAR 2021 2020 Net interest 3,172 3,511 30. Net interest margin 3,163 3,432 less: Net interest from trading book instruments 8 21 + Derivatives instruments - Economic Hedges - Others - Interest component 2 9 Change in the riclassified item for the merge of UCI Ireland - 50 Dividends and other income from equity investments 848 3,670 70. Dividend income and similar revenue 892 3,693 less: Dividends on equity investments, shares and equity instruments mandatorily at fair value (44) (24) Net fees and commissions 4,093 3,556 60. Net fees and commissions 4,093 3,537 + Commission: Settlement of specific accruals referred to previous years operations - 22 Change in the riclassified item for the merge of UCI Ireland - (3) Net trading income 539 457 80. Net gains (losses) on trading 385 167 less: Derivatives instruments - Economic Hedges - Others - Interest component (2) (9) 90. Net gains (losses) on hedge accounting (7) 4 100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income 93 23 100. Gains (Losses) on disposal and repurchase of: c) financial liabilities (11) 10 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss (39) 137 + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (from Item 100 a) 84 105 + Dividends on equity investments, shares and equity instruments mandatorily at fair value (from Item 70) 44 24 + Net interest from trading book instruments (8) (21) Change in the riclassified item for the merge of UCI Ireland - 17 Net other expenses/income 16 (171) 200. Other operating expenses/income 326 210 less: Recovery of expenses (459) (442) less: Leasehold improvements 29 32 less: Integration costs 8 49 less: Net results from trading of physical gold, precious stones and metals 41 8 less: Commission: Settlement of specific accruals referred to previous years operations - (22) + Income from restated MSA with SIA (from item 160 b) 71 - + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans (from Item 100 a) - (2) Change in the riclassified item for the merge of UCI Ireland - (3) OPERATING INCOME 8,668 11,023 Payroll costs (2,688) (2,697) 160. Administrative expenses: a) staff costs (2,937) (3,937) less: Administrative expenses - staff costs - integration costs 249 1,245 Change in the riclassified item for the merge of UCI Ireland - (5) Other administrative expenses (1,982) (1,922) 160. Administrative expenses: b) Other administrative expenses (2,501) (2,431) less: Other administrative expenses contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) and Guarantee fees for DTA 538 453 less: Other administrative expenses - integration costs 80 52 less: Other administrative expenses - Income from restated MSA with SIA (71) - + Other operating expenses/income - leasehold improvements (from Item 200) (29) (32) Change in the riclassified item for the merge of UCI Ireland - 37 Recovery of expenses 459 402 + Other operating expenses/income - recovery of expenses (from Item 200) 459 442 Change in the riclassified item for the merge of UCI Ireland - (40) Amortisation, depreciation and impairment losses on intangible and tangible assets (317) (336) 180. Net value adjustments/write-backs on property, plant and equipment (338) (354) less: Impairment/write backs of right of use of land and buildings used in the business 6 22 less: Net value adjustments/write-backs on property, plant and equipment - integration costs 18 - 190. Net value adjustments/write-backs on intangible assets (3) (2) Change in the riclassified item for the merge of UCI Ireland - (1) Operating costs (4,528) (4,553) OPERATING PROFIT (LOSS) 4,140 6,470 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 817 Income statement (€ million) YEAR 2021 2020 Net interest 3,172 3,511 30. Net interest margin 3,163 3,432 less: Net interest from trading book instruments 8 21 + Derivatives instruments - Economic Hedges - Others - Interest component 2 9 Change in the riclassified item for the merge of UCI Ireland - 50 Dividends and other income from equity investments 848 3,670 70. Dividend income and similar revenue 892 3,693 less: Dividends on equity investments, shares and equity instruments mandatorily at fair value (44) (24) Net fees and commissions 4,093 3,556 60. Net fees and commissions 4,093 3,537 + Commission: Settlement of specific accruals referred to previous years operations - 22 Change in the riclassified item for the merge of UCI Ireland - (3) Net trading income 539 457 80. Net gains (losses) on trading 385 167 less: Derivatives instruments - Economic Hedges - Others - Interest component (2) (9) 90. Net gains (losses) on hedge accounting (7) 4 100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income 93 23 100. Gains (Losses) on disposal and repurchase of: c) financial liabilities (11) 10 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss (39) 137 + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (from Item 100 a) 84 105 + Dividends on equity investments, shares and equity instruments mandatorily at fair value (from Item 70) 44 24 + Net interest from trading book instruments (8) (21) Change in the riclassified item for the merge of UCI Ireland - 17 Net other expenses/income 16 (171) 200. Other operating expenses/income 326 210 less: Recovery of expenses (459) (442) less: Leasehold improvements 29 32 less: Integration costs 8 49 less: Net results from trading of physical gold, precious stones and metals 41 8 less: Commission: Settlement of specific accruals referred to previous years operations - (22) + Income from restated MSA with SIA (from item 160 b) 71 - + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans (from Item 100 a) - (2) Change in the riclassified item for the merge of UCI Ireland - (3) OPERATING INCOME 8,668 11,023 Payroll costs (2,688) (2,697) 160. Administrative expenses: a) staff costs (2,937) (3,937) less: Administrative expenses - staff costs - integration costs 249 1,245 Change in the riclassified item for the merge of UCI Ireland - (5) Other administrative expenses (1,982) (1,922) 160. Administrative expenses: b) Other administrative expenses (2,501) (2,431) less: Other administrative expenses contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) and Guarantee fees for DTA 538 453 less: Other administrative expenses - integration costs 80 52 less: Other administrative expenses - Income from restated MSA with SIA (71) - + Other operating expenses/income - leasehold improvements (from Item 200) (29) (32) Change in the riclassified item for the merge of UCI Ireland - 37 Recovery of expenses 459 402 + Other operating expenses/income - recovery of expenses (from Item 200) 459 442 Change in the riclassified item for the merge of UCI Ireland - (40) Amortisation, depreciation and impairment losses on intangible and tangible assets (317) (336) 180. Net value adjustments/write-backs on property, plant and equipment (338) (354) less: Impairment/write backs of right of use of land and buildings used in the business 6 22 less: Net value adjustments/write-backs on property, plant and equipment - integration costs 18 - 190. Net value adjustments/write-backs on intangible assets (3) (2) Change in the riclassified item for the merge of UCI Ireland - (1) Operating costs (4,528) (4,553) OPERATING PROFIT (LOSS) 4,140 6,470 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 817 Income statement (€ million) YEAR 2021 2020 Net interest 3,172 3,511 30. Net interest margin 3,163 3,432 less: Net interest from trading book instruments 8 21 + Derivatives instruments - Economic Hedges - Others - Interest component 2 9 Change in the riclassified item for the merge of UCI Ireland - 50 Dividends and other income from equity investments 848 3,670 70. Dividend income and similar revenue 892 3,693 less: Dividends on equity investments, shares and equity instruments mandatorily at fair value (44) (24) Net fees and commissions 4,093 3,556 60. Net fees and commissions 4,093 3,537 + Commission: Settlement of specific accruals referred to previous years operations - 22 Change in the riclassified item for the merge of UCI Ireland - (3) Net trading income 539 457 80. Net gains (losses) on trading 385 167 less: Derivatives instruments - Economic Hedges - Others - Interest component (2) (9) 90. Net gains (losses) on hedge accounting (7) 4 100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income 93 23 100. Gains (Losses) on disposal and repurchase of: c) financial liabilities (11) 10 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss (39) 137 + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (from Item 100 a) 84 105 + Dividends on equity investments, shares and equity instruments mandatorily at fair value (from Item 70) 44 24 + Net interest from trading book instruments (8) (21) Change in the riclassified item for the merge of UCI Ireland - 17 Net other expenses/income 16 (171) 200. Other operating expenses/income 326 210 less: Recovery of expenses (459) (442) less: Leasehold improvements 29 32 less: Integration costs 8 49 less: Net results from trading of physical gold, precious stones and metals 41 8 less: Commission: Settlement of specific accruals referred to previous years operations - (22) + Income from restated MSA with SIA (from item 160 b) 71 - + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans (from Item 100 a) - (2) Change in the riclassified item for the merge of UCI Ireland - (3) OPERATING INCOME 8,668 11,023 Payroll costs (2,688) (2,697) 160. Administrative expenses: a) staff costs (2,937) (3,937) less: Administrative expenses - staff costs - integration costs 249 1,245 Change in the riclassified item for the merge of UCI Ireland - (5) Other administrative expenses (1,982) (1,922) 160. Administrative expenses: b) Other administrative expenses (2,501) (2,431) less: Other administrative expenses contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) and Guarantee fees for DTA 538 453 less: Other administrative expenses - integration costs 80 52 less: Other administrative expenses - Income from restated MSA with SIA (71) - + Other operating expenses/income - leasehold improvements (from Item 200) (29) (32) Change in the riclassified item for the merge of UCI Ireland - 37 Recovery of expenses 459 402 + Other operating expenses/income - recovery of expenses (from Item 200) 459 442 Change in the riclassified item for the merge of UCI Ireland - (40) Amortisation, depreciation and impairment losses on intangible and tangible assets (317) (336) 180. Net value adjustments/write-backs on property, plant and equipment (338) (354) less: Impairment/write backs of right of use of land and buildings used in the business 6 22 less: Net value adjustments/write-backs on property, plant and equipment - integration costs 18 - 190. Net value adjustments/write-backs on intangible assets (3) (2) Change in the riclassified item for the merge of UCI Ireland - (1) Operating costs (4,528) (4,553) OPERATING PROFIT (LOSS) 4,140 6,470 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 817 Income statement (€ million) YEAR 2021 2020 Net interest 3,172 3,511 30. Net interest margin 3,163 3,432 less: Net interest from trading book instruments 8 21 + Derivatives instruments - Economic Hedges - Others - Interest component 2 9 Change in the riclassified item for the merge of UCI Ireland - 50 Dividends and other income from equity investments 848 3,670 70. Dividend income and similar revenue 892 3,693 less: Dividends on equity investments, shares and equity instruments mandatorily at fair value (44) (24) Net fees and commissions 4,093 3,556 60. Net fees and commissions 4,093 3,537 + Commission: Settlement of specific accruals referred to previous years operations - 22 Change in the riclassified item for the merge of UCI Ireland - (3) Net trading income 539 457 80. Net gains (losses) on trading 385 167 less: Derivatives instruments - Economic Hedges - Others - Interest component (2) (9) 90. Net gains (losses) on hedge accounting (7) 4 100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income 93 23 100. Gains (Losses) on disposal and repurchase of: c) financial liabilities (11) 10 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss (39) 137 + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (from Item 100 a) 84 105 + Dividends on equity investments, shares and equity instruments mandatorily at fair value (from Item 70) 44 24 + Net interest from trading book instruments (8) (21) Change in the riclassified item for the merge of UCI Ireland - 17 Net other expenses/income 16 (171) 200. Other operating expenses/income 326 210 less: Recovery of expenses (459) (442) less: Leasehold improvements 29 32 less: Integration costs 8 49 less: Net results from trading of physical gold, precious stones and metals 41 8 less: Commission: Settlement of specific accruals referred to previous years operations - (22) + Income from restated MSA with SIA (from item 160 b) 71 - + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans (from Item 100 a) - (2) Change in the riclassified item for the merge of UCI Ireland - (3) OPERATING INCOME 8,668 11,023 Payroll costs (2,688) (2,697) 160. Administrative expenses: a) staff costs (2,937) (3,937) less: Administrative expenses - staff costs - integration costs 249 1,245 Change in the riclassified item for the merge of UCI Ireland - (5) Other administrative expenses (1,982) (1,922) 160. Administrative expenses: b) Other administrative expenses (2,501) (2,431) less: Other administrative expenses contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) and Guarantee fees for DTA 538 453 less: Other administrative expenses - integration costs 80 52 less: Other administrative expenses - Income from restated MSA with SIA (71) - + Other operating expenses/income - leasehold improvements (from Item 200) (29) (32) Change in the riclassified item for the merge of UCI Ireland - 37 Recovery of expenses 459 402 + Other operating expenses/income - recovery of expenses (from Item 200) 459 442 Change in the riclassified item for the merge of UCI Ireland - (40) Amortisation, depreciation and impairment losses on intangible and tangible assets (317) (336) 180. Net value adjustments/write-backs on property, plant and equipment (338) (354) less: Impairment/write backs of right of use of land and buildings used in the business 6 22 less: Net value adjustments/write-backs on property, plant and equipment - integration costs 18 - 190. Net value adjustments/write-backs on intangible assets (3) (2) Change in the riclassified item for the merge of UCI Ireland - (1) Operating costs (4,528) (4,553) OPERATING PROFIT (LOSS) 4,140 6,470 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules UniCredit · 2021 Annual Report and Accounts 817 Income statement (€ million) YEAR 2021 2020 Net interest 3,172 3,511 30. Net interest margin 3,163 3,432 less: Net interest from trading book instruments 8 21 + Derivatives instruments - Economic Hedges - Others - Interest component 2 9 Change in the riclassified item for the merge of UCI Ireland - 50 Dividends and other income from equity investments 848 3,670 70. Dividend income and similar revenue 892 3,693 less: Dividends on equity investments, shares and equity instruments mandatorily at fair value (44) (24) Net fees and commissions 4,093 3,556 60. Net fees and commissions 4,093 3,537 + Commission: Settlement of specific accruals referred to previous years operations - 22 Change in the riclassified item for the merge of UCI Ireland - (3) Net trading income 539 457 80. Net gains (losses) on trading 385 167 less: Derivatives instruments - Economic Hedges - Others - Interest component (2) (9) 90. Net gains (losses) on hedge accounting (7) 4 100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income 93 23 100. Gains (Losses) on disposal and repurchase of: c) financial liabilities (11) 10 110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss (39) 137 + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (from Item 100 a) 84 105 + Dividends on equity investments, shares and equity instruments mandatorily at fair value (from Item 70) 44 24 + Net interest from trading book instruments (8) (21) Change in the riclassified item for the merge of UCI Ireland - 17 Net other expenses/income 16 (171) 200. Other operating expenses/income 326 210 less: Recovery of expenses (459) (442) less: Leasehold improvements 29 32 less: Integration costs 8 49 less: Net results from trading of physical gold, precious stones and metals 41 8 less: Commission: Settlement of specific accruals referred to previous years operations - (22) + Income from restated MSA with SIA (from item 160 b) 71 - + Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans (from Item 100 a) - (2) Change in the riclassified item for the merge of UCI Ireland - (3) OPERATING INCOME 8,668 11,023 Payroll costs (2,688) (2,697) 160. Administrative expenses: a) staff costs (2,937) (3,937) less: Administrative expenses - staff costs - integration costs 249 1,245 Change in the riclassified item for the merge of UCI Ireland - (5) Other administrative expenses (1,982) (1,922) 160. Administrative expenses: b) Other administrative expenses (2,501) (2,431) less: Other administrative expenses contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) and Guarantee fees for DTA 538 453 less: Other administrative expenses - integration costs 80 52 less: Other administrative expenses - Income from restated MSA with SIA (71) - + Other operating expenses/income - leasehold improvements (from Item 200) (29) (32) Change in the riclassified item for the merge of UCI Ireland - 37 Recovery of expenses 459 402 + Other operating expenses/income - recovery of expenses (from Item 200) 459 442 Change in the riclassified item for the merge of UCI Ireland - (40) Amortisation, depreciation and impairment losses on intangible and tangible assets (317) (336) 180. Net value adjustments/write-backs on property, plant and equipment (338) (354) less: Impairment/write backs of right of use of land and buildings used in the business 6 22 less: Net value adjustments/write-backs on property, plant and equipment - integration costs 18 - 190. Net value adjustments/write-backs on intangible assets (3) (2) Change in the riclassified item for the merge of UCI Ireland - (1) Operating costs (4,528) (4,553) OPERATING PROFIT (LOSS) 4,140 6,470 Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 818 2021 Annual Report and Accounts · UniCredit continued: Income statement (€ million) YEAR 2021 2020 OPERATING PROFIT (LOSS) 4,140 6,470 Net impairment losses on loans and provisions for guarantees and commitments (978) (2,736) 100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost 73 124 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans - 2 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (84) (105) 130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost (975) (2,733) less: Net losses/recoveries on impairment relating to: a) financial assets at amortised cost - debt securities (11) 9 130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income (14) (11) less: Net losses/recoveries on impairment relating to: b) financial assets at fair value through other comprehensive income - debt securities 14 11 140. Gains/Losses from contractual changes with no cancellations (3) (7) 170. Net provisions for risks and charges: a) commitments and financial guarantees given 22 (27) NET OPERATING PROFIT (LOSS) 3,162 3,734 Other charges and provisions (676) (588) 170. Net provisions for risks and charges: b) other net provisions (141) (130) less: Net provisions for risks and charges: b) other net provisions - integration costs 3 - + Administrative expenses - other administrative expenses contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) and Guarantee fees for DTA (from Item 160 b) (538) (453) Change in the riclassified item for the merge of UCI Ireland - (5) Integration costs (358) (1,345) + Administrative expenses - staff costs - integration costs (from Item 160 a) (249) (1,245) + Administrative expenses - other administrative expenses - integration costs (from Item 160 b) (80) (52) + Other operating income/expenses - integration costs (from Item 200) (8) (49) + Net provisions for risks and charges: b) other net provisions - integration costs (from Item 170 b) (3) - + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on property, plant and equipment - integration costs (from Item 180) (18) - Net income from investments 7,304 (4,793) 220. Profit (Loss) of equity investments 7,364 (4,742) 230. Net gains (losses) on tangible and intangible assets measured at fair value (9) (7) 250. Gains (Losses) on disposal of investments (1) 5 + Net losses/recoveries on impairment relating to financial assets at amortised cost - debt securities (from Item 130 a) 11 (9) + Net losses/recoveries on impairment relating to financial assets at fair value through other comprehensive income - debt securities (from Item 130 b) (14) (11) + Impairment/write backs of right of use of land and buildings used in the business (from Item 180) (6) (22) + Net results from trading of physical gold, precious stones and metals (from Item 200) (41) (8) PROFIT (LOSS) BEFORE TAX 9,432 (2,992) Income tax 934 302 270. Tax expenses (income) from continuing operations 934 309 Change in the riclassified item for the merge of UCI Ireland - (7) PROFIT (LOSS) AFTER TAX 10,366 (2,690) Profit (Loss) from non-current assets held for sale after tax - - 290. Profit (Loss) after tax from discontinued operations - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) Goodwill impairment - - 240. Goodwill impairment - - NET PROFIT (LOSS) 10,366 (2,690) 300. Net profit (loss) for the year 10,366 (2,690) Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 818 2021 Annual Report and Accounts · UniCredit continued: Income statement (€ million) YEAR 2021 2020 OPERATING PROFIT (LOSS) 4,140 6,470 Net impairment losses on loans and provisions for guarantees and commitments (978) (2,736) 100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost 73 124 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans - 2 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (84) (105) 130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost (975) (2,733) less: Net losses/recoveries on impairment relating to: a) financial assets at amortised cost - debt securities (11) 9 130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income (14) (11) less: Net losses/recoveries on impairment relating to: b) financial assets at fair value through other comprehensive income - debt securities 14 11 140. Gains/Losses from contractual changes with no cancellations (3) (7) 170. Net provisions for risks and charges: a) commitments and financial guarantees given 22 (27) NET OPERATING PROFIT (LOSS) 3,162 3,734 Other charges and provisions (676) (588) 170. Net provisions for risks and charges: b) other net provisions (141) (130) less: Net provisions for risks and charges: b) other net provisions - integration costs 3 - + Administrative expenses - other administrative expenses contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) and Guarantee fees for DTA (from Item 160 b) (538) (453) Change in the riclassified item for the merge of UCI Ireland - (5) Integration costs (358) (1,345) + Administrative expenses - staff costs - integration costs (from Item 160 a) (249) (1,245) + Administrative expenses - other administrative expenses - integration costs (from Item 160 b) (80) (52) + Other operating income/expenses - integration costs (from Item 200) (8) (49) + Net provisions for risks and charges: b) other net provisions - integration costs (from Item 170 b) (3) - + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on property, plant and equipment - integration costs (from Item 180) (18) - Net income from investments 7,304 (4,793) 220. Profit (Loss) of equity investments 7,364 (4,742) 230. Net gains (losses) on tangible and intangible assets measured at fair value (9) (7) 250. Gains (Losses) on disposal of investments (1) 5 + Net losses/recoveries on impairment relating to financial assets at amortised cost - debt securities (from Item 130 a) 11 (9) + Net losses/recoveries on impairment relating to financial assets at fair value through other comprehensive income - debt securities (from Item 130 b) (14) (11) + Impairment/write backs of right of use of land and buildings used in the business (from Item 180) (6) (22) + Net results from trading of physical gold, precious stones and metals (from Item 200) (41) (8) PROFIT (LOSS) BEFORE TAX 9,432 (2,992) Income tax 934 302 270. Tax expenses (income) from continuing operations 934 309 Change in the riclassified item for the merge of UCI Ireland - (7) PROFIT (LOSS) AFTER TAX 10,366 (2,690) Profit (Loss) from non-current assets held for sale after tax - - 290. Profit (Loss) after tax from discontinued operations - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) Goodwill impairment - - 240. Goodwill impairment - - NET PROFIT (LOSS) 10,366 (2,690) 300. Net profit (loss) for the year 10,366 (2,690) Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 818 2021 Annual Report and Accounts · UniCredit continued: Income statement (€ million) YEAR 2021 2020 OPERATING PROFIT (LOSS) 4,140 6,470 Net impairment losses on loans and provisions for guarantees and commitments (978) (2,736) 100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost 73 124 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans - 2 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (84) (105) 130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost (975) (2,733) less: Net losses/recoveries on impairment relating to: a) financial assets at amortised cost - debt securities (11) 9 130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income (14) (11) less: Net losses/recoveries on impairment relating to: b) financial assets at fair value through other comprehensive income - debt securities 14 11 140. Gains/Losses from contractual changes with no cancellations (3) (7) 170. Net provisions for risks and charges: a) commitments and financial guarantees given 22 (27) NET OPERATING PROFIT (LOSS) 3,162 3,734 Other charges and provisions (676) (588) 170. Net provisions for risks and charges: b) other net provisions (141) (130) less: Net provisions for risks and charges: b) other net provisions - integration costs 3 - + Administrative expenses - other administrative expenses contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) and Guarantee fees for DTA (from Item 160 b) (538) (453) Change in the riclassified item for the merge of UCI Ireland - (5) Integration costs (358) (1,345) + Administrative expenses - staff costs - integration costs (from Item 160 a) (249) (1,245) + Administrative expenses - other administrative expenses - integration costs (from Item 160 b) (80) (52) + Other operating income/expenses - integration costs (from Item 200) (8) (49) + Net provisions for risks and charges: b) other net provisions - integration costs (from Item 170 b) (3) - + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on property, plant and equipment - integration costs (from Item 180) (18) - Net income from investments 7,304 (4,793) 220. Profit (Loss) of equity investments 7,364 (4,742) 230. Net gains (losses) on tangible and intangible assets measured at fair value (9) (7) 250. Gains (Losses) on disposal of investments (1) 5 + Net losses/recoveries on impairment relating to financial assets at amortised cost - debt securities (from Item 130 a) 11 (9) + Net losses/recoveries on impairment relating to financial assets at fair value through other comprehensive income - debt securities (from Item 130 b) (14) (11) + Impairment/write backs of right of use of land and buildings used in the business (from Item 180) (6) (22) + Net results from trading of physical gold, precious stones and metals (from Item 200) (41) (8) PROFIT (LOSS) BEFORE TAX 9,432 (2,992) Income tax 934 302 270. Tax expenses (income) from continuing operations 934 309 Change in the riclassified item for the merge of UCI Ireland - (7) PROFIT (LOSS) AFTER TAX 10,366 (2,690) Profit (Loss) from non-current assets held for sale after tax - - 290. Profit (Loss) after tax from discontinued operations - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) Goodwill impairment - - 240. Goodwill impairment - - NET PROFIT (LOSS) 10,366 (2,690) 300. Net profit (loss) for the year 10,366 (2,690) Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 818 2021 Annual Report and Accounts · UniCredit continued: Income statement (€ million) YEAR 2021 2020 OPERATING PROFIT (LOSS) 4,140 6,470 Net impairment losses on loans and provisions for guarantees and commitments (978) (2,736) 100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost 73 124 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans - 2 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (84) (105) 130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost (975) (2,733) less: Net losses/recoveries on impairment relating to: a) financial assets at amortised cost - debt securities (11) 9 130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income (14) (11) less: Net losses/recoveries on impairment relating to: b) financial assets at fair value through other comprehensive income - debt securities 14 11 140. Gains/Losses from contractual changes with no cancellations (3) (7) 170. Net provisions for risks and charges: a) commitments and financial guarantees given 22 (27) NET OPERATING PROFIT (LOSS) 3,162 3,734 Other charges and provisions (676) (588) 170. Net provisions for risks and charges: b) other net provisions (141) (130) less: Net provisions for risks and charges: b) other net provisions - integration costs 3 - + Administrative expenses - other administrative expenses contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) and Guarantee fees for DTA (from Item 160 b) (538) (453) Change in the riclassified item for the merge of UCI Ireland - (5) Integration costs (358) (1,345) + Administrative expenses - staff costs - integration costs (from Item 160 a) (249) (1,245) + Administrative expenses - other administrative expenses - integration costs (from Item 160 b) (80) (52) + Other operating income/expenses - integration costs (from Item 200) (8) (49) + Net provisions for risks and charges: b) other net provisions - integration costs (from Item 170 b) (3) - + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on property, plant and equipment - integration costs (from Item 180) (18) - Net income from investments 7,304 (4,793) 220. Profit (Loss) of equity investments 7,364 (4,742) 230. Net gains (losses) on tangible and intangible assets measured at fair value (9) (7) 250. Gains (Losses) on disposal of investments (1) 5 + Net losses/recoveries on impairment relating to financial assets at amortised cost - debt securities (from Item 130 a) 11 (9) + Net losses/recoveries on impairment relating to financial assets at fair value through other comprehensive income - debt securities (from Item 130 b) (14) (11) + Impairment/write backs of right of use of land and buildings used in the business (from Item 180) (6) (22) + Net results from trading of physical gold, precious stones and metals (from Item 200) (41) (8) PROFIT (LOSS) BEFORE TAX 9,432 (2,992) Income tax 934 302 270. Tax expenses (income) from continuing operations 934 309 Change in the riclassified item for the merge of UCI Ireland - (7) PROFIT (LOSS) AFTER TAX 10,366 (2,690) Profit (Loss) from non-current assets held for sale after tax - - 290. Profit (Loss) after tax from discontinued operations - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) Goodwill impairment - - 240. Goodwill impairment - - NET PROFIT (LOSS) 10,366 (2,690) 300. Net profit (loss) for the year 10,366 (2,690) Company financial statements | Annexes Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules 818 2021 Annual Report and Accounts · UniCredit continued: Income statement (€ million) YEAR 2021 2020 OPERATING PROFIT (LOSS) 4,140 6,470 Net impairment losses on loans and provisions for guarantees and commitments (978) (2,736) 100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost 73 124 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans - 2 less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (84) (105) 130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost (975) (2,733) less: Net losses/recoveries on impairment relating to: a) financial assets at amortised cost - debt securities (11) 9 130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income (14) (11) less: Net losses/recoveries on impairment relating to: b) financial assets at fair value through other comprehensive income - debt securities 14 11 140. Gains/Losses from contractual changes with no cancellations (3) (7) 170. Net provisions for risks and charges: a) commitments and financial guarantees given 22 (27) NET OPERATING PROFIT (LOSS) 3,162 3,734 Other charges and provisions (676) (588) 170. Net provisions for risks and charges: b) other net provisions (141) (130) less: Net provisions for risks and charges: b) other net provisions - integration costs 3 - + Administrative expenses - other administrative expenses contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) and Guarantee fees for DTA (from Item 160 b) (538) (453) Change in the riclassified item for the merge of UCI Ireland - (5) Integration costs (358) (1,345) + Administrative expenses - staff costs - integration costs (from Item 160 a) (249) (1,245) + Administrative expenses - other administrative expenses - integration costs (from Item 160 b) (80) (52) + Other operating income/expenses - integration costs (from Item 200) (8) (49) + Net provisions for risks and charges: b) other net provisions - integration costs (from Item 170 b) (3) - + Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on property, plant and equipment - integration costs (from Item 180) (18) - Net income from investments 7,304 (4,793) 220. Profit (Loss) of equity investments 7,364 (4,742) 230. Net gains (losses) on tangible and intangible assets measured at fair value (9) (7) 250. Gains (Losses) on disposal of investments (1) 5 + Net losses/recoveries on impairment relating to financial assets at amortised cost - debt securities (from Item 130 a) 11 (9) + Net losses/recoveries on impairment relating to financial assets at fair value through other comprehensive income - debt securities (from Item 130 b) (14) (11) + Impairment/write backs of right of use of land and buildings used in the business (from Item 180) (6) (22) + Net results from trading of physical gold, precious stones and metals (from Item 200) (41) (8) PROFIT (LOSS) BEFORE TAX 9,432 (2,992) Income tax 934 302 270. Tax expenses (income) from continuing operations 934 309 Change in the riclassified item for the merge of UCI Ireland - (7) PROFIT (LOSS) AFTER TAX 10,366 (2,690) Profit (Loss) from non-current assets held for sale after tax - - 290. Profit (Loss) after tax from discontinued operations - - PROFIT (LOSS) FOR THE PERIOD 10,366 (2,690) Goodwill impairment - - 240. Goodwill impairment - - NET PROFIT (LOSS) 10,366 (2,690) 300. Net profit (loss) for the year 10,366 (2,690) Company financial statements | Annexes Annex 2 - Audit fees and other non-audit services UniCredit · 2021 Annual Report and Accounts 819 Annex 2 - Audit fees and other non-audit services (pursuant to article 149-duodecies, CONSOB Regulation No.11971/99, as supplemented) (€ million) DISCLOSURE OF EXTERNAL AUDITORS' FEES - UNICREDIT S.p.A. - FINANCIAL YEAR 2021 - DELOITTE NETWORK As prescribed by §149-duodecies of the Consob Issuers Regulation, the following table gives fees paid in 2021 for audit services rendered by the Auditor and firms in its network. EXTERNAL AUDITING SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(*) NAME OF AUDITING FIRM COMPANY NAME Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Audit of Company and Consolidated accounts and First Half Report, accounting checks and foreign branches(**) 3.4 Auditing Firm Total 3.4 External Auditing Total 3.4 CHECKING FOR THE PURPOSES OF OTHER OPINIONS SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(1) NAME OF AUDITING FIRM COMPANY NAME Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Limited review on 2021 non financial information, Limited review on 1Q 2021 and 3Q 2021 Company and Consolidated Reports, Comfort Letter for the inclusion of year-end net profit in Common Equity Tier 1 Capital, ISAE 3000 Revised Mifid II, ISAE 3000 Revised TLTRO III, Issuing Comfort Letters concerning bond issues, Signing the Italian tax declaration forms, Supervisory Fees ECB ISA805, English translation of the Auditor's Reports 3.2 Auditing Firm Total 3.2 Network Auditing Firm(s) Deloitte Touche Tohmatsu CPA LLP, Deloitte & Touche Middle Est LLP, Deloitte SL UniCredit S.p.A. Statutory audit of foreign branches Shanghai, Abu Dhabi and Madrid financial statements according to local regulations 0.1 Network Auditing Firm(s) Total 0.1 Data Checking Total 3.3 OTHER NON-AUDITING SERVICES SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(1) NAME OF THE AUDITING FIRM COMPANY NAME TYPE Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Agreed Upon Procedure (AUP) on Own Funds, AUP on quarterly calculation foreign exchange risk of CIUs, AUP on contributions to the Single Resolution Fund, AUP on Servicing Report Cordusio RMBS, Accounting due diligence Other services 0.6 Auditing Firm Total 0.6 Network Auditing Firm(s) Deloitte Consulting S.r.l. UniCredit S.p.A. Support to Projects "Cash Management initiative in Banking sector" and "Mobile Leadership Evolution prosecution" Other services 0.4 Network Auditing Firm(s) 0.4 Other Non-Auditing Services Total 1.0 Grand Total 7.7 Notes: (*) Excluding VAT and expenses. (**) Contract authorised by the Resolution of the Shareholders' Meeting of 11 May 2012 for a total amount of €2,206,600 (integrated by €150,000 in 2013, by €250,000 in 2016, by €250,000 in 2017, €224,000 in 2018 and by €196,000 in 2019), plus ISTAT indexation amounting to €176,396. Company financial statements | Annexes Annex 2 - Audit fees and other non-audit services UniCredit · 2021 Annual Report and Accounts 819 Annex 2 - Audit fees and other non-audit services (pursuant to article 149-duodecies, CONSOB Regulation No.11971/99, as supplemented) (€ million) DISCLOSURE OF EXTERNAL AUDITORS' FEES - UNICREDIT S.p.A. - FINANCIAL YEAR 2021 - DELOITTE NETWORK As prescribed by §149-duodecies of the Consob Issuers Regulation, the following table gives fees paid in 2021 for audit services rendered by the Auditor and firms in its network. EXTERNAL AUDITING SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(*) NAME OF AUDITING FIRM COMPANY NAME Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Audit of Company and Consolidated accounts and First Half Report, accounting checks and foreign branches(**) 3.4 Auditing Firm Total 3.4 External Auditing Total 3.4 CHECKING FOR THE PURPOSES OF OTHER OPINIONS SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(1) NAME OF AUDITING FIRM COMPANY NAME Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Limited review on 2021 non financial information, Limited review on 1Q 2021 and 3Q 2021 Company and Consolidated Reports, Comfort Letter for the inclusion of year-end net profit in Common Equity Tier 1 Capital, ISAE 3000 Revised Mifid II, ISAE 3000 Revised TLTRO III, Issuing Comfort Letters concerning bond issues, Signing the Italian tax declaration forms, Supervisory Fees ECB ISA805, English translation of the Auditor's Reports 3.2 Auditing Firm Total 3.2 Network Auditing Firm(s) Deloitte Touche Tohmatsu CPA LLP, Deloitte & Touche Middle Est LLP, Deloitte SL UniCredit S.p.A. Statutory audit of foreign branches Shanghai, Abu Dhabi and Madrid financial statements according to local regulations 0.1 Network Auditing Firm(s) Total 0.1 Data Checking Total 3.3 OTHER NON-AUDITING SERVICES SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(1) NAME OF THE AUDITING FIRM COMPANY NAME TYPE Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Agreed Upon Procedure (AUP) on Own Funds, AUP on quarterly calculation foreign exchange risk of CIUs, AUP on contributions to the Single Resolution Fund, AUP on Servicing Report Cordusio RMBS, Accounting due diligence Other services 0.6 Auditing Firm Total 0.6 Network Auditing Firm(s) Deloitte Consulting S.r.l. UniCredit S.p.A. Support to Projects "Cash Management initiative in Banking sector" and "Mobile Leadership Evolution prosecution" Other services 0.4 Network Auditing Firm(s) 0.4 Other Non-Auditing Services Total 1.0 Grand Total 7.7 Notes: (*) Excluding VAT and expenses. (**) Contract authorised by the Resolution of the Shareholders' Meeting of 11 May 2012 for a total amount of €2,206,600 (integrated by €150,000 in 2013, by €250,000 in 2016, by €250,000 in 2017, €224,000 in 2018 and by €196,000 in 2019), plus ISTAT indexation amounting to €176,396. Company financial statements | Annexes Annex 2 - Audit fees and other non-audit services UniCredit · 2021 Annual Report and Accounts 819 Annex 2 - Audit fees and other non-audit services (pursuant to article 149-duodecies, CONSOB Regulation No.11971/99, as supplemented) (€ million) DISCLOSURE OF EXTERNAL AUDITORS' FEES - UNICREDIT S.p.A. - FINANCIAL YEAR 2021 - DELOITTE NETWORK As prescribed by §149-duodecies of the Consob Issuers Regulation, the following table gives fees paid in 2021 for audit services rendered by the Auditor and firms in its network. EXTERNAL AUDITING SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(*) NAME OF AUDITING FIRM COMPANY NAME Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Audit of Company and Consolidated accounts and First Half Report, accounting checks and foreign branches(**) 3.4 Auditing Firm Total 3.4 External Auditing Total 3.4 CHECKING FOR THE PURPOSES OF OTHER OPINIONS SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(1) NAME OF AUDITING FIRM COMPANY NAME Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Limited review on 2021 non financial information, Limited review on 1Q 2021 and 3Q 2021 Company and Consolidated Reports, Comfort Letter for the inclusion of year-end net profit in Common Equity Tier 1 Capital, ISAE 3000 Revised Mifid II, ISAE 3000 Revised TLTRO III, Issuing Comfort Letters concerning bond issues, Signing the Italian tax declaration forms, Supervisory Fees ECB ISA805, English translation of the Auditor's Reports 3.2 Auditing Firm Total 3.2 Network Auditing Firm(s) Deloitte Touche Tohmatsu CPA LLP, Deloitte & Touche Middle Est LLP, Deloitte SL UniCredit S.p.A. Statutory audit of foreign branches Shanghai, Abu Dhabi and Madrid financial statements according to local regulations 0.1 Network Auditing Firm(s) Total 0.1 Data Checking Total 3.3 OTHER NON-AUDITING SERVICES SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(1) NAME OF THE AUDITING FIRM COMPANY NAME TYPE Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Agreed Upon Procedure (AUP) on Own Funds, AUP on quarterly calculation foreign exchange risk of CIUs, AUP on contributions to the Single Resolution Fund, AUP on Servicing Report Cordusio RMBS, Accounting due diligence Other services 0.6 Auditing Firm Total 0.6 Network Auditing Firm(s) Deloitte Consulting S.r.l. UniCredit S.p.A. Support to Projects "Cash Management initiative in Banking sector" and "Mobile Leadership Evolution prosecution" Other services 0.4 Network Auditing Firm(s) 0.4 Other Non-Auditing Services Total 1.0 Grand Total 7.7 Notes: (*) Excluding VAT and expenses. (**) Contract authorised by the Resolution of the Shareholders' Meeting of 11 May 2012 for a total amount of €2,206,600 (integrated by €150,000 in 2013, by €250,000 in 2016, by €250,000 in 2017, €224,000 in 2018 and by €196,000 in 2019), plus ISTAT indexation amounting to €176,396. Company financial statements | Annexes Annex 2 - Audit fees and other non-audit services UniCredit · 2021 Annual Report and Accounts 819 Annex 2 - Audit fees and other non-audit services (pursuant to article 149-duodecies, CONSOB Regulation No.11971/99, as supplemented) (€ million) DISCLOSURE OF EXTERNAL AUDITORS' FEES - UNICREDIT S.p.A. - FINANCIAL YEAR 2021 - DELOITTE NETWORK As prescribed by §149-duodecies of the Consob Issuers Regulation, the following table gives fees paid in 2021 for audit services rendered by the Auditor and firms in its network. EXTERNAL AUDITING SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(*) NAME OF AUDITING FIRM COMPANY NAME Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Audit of Company and Consolidated accounts and First Half Report, accounting checks and foreign branches(**) 3.4 Auditing Firm Total 3.4 External Auditing Total 3.4 CHECKING FOR THE PURPOSES OF OTHER OPINIONS SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(1) NAME OF AUDITING FIRM COMPANY NAME Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Limited review on 2021 non financial information, Limited review on 1Q 2021 and 3Q 2021 Company and Consolidated Reports, Comfort Letter for the inclusion of year-end net profit in Common Equity Tier 1 Capital, ISAE 3000 Revised Mifid II, ISAE 3000 Revised TLTRO III, Issuing Comfort Letters concerning bond issues, Signing the Italian tax declaration forms, Supervisory Fees ECB ISA805, English translation of the Auditor's Reports 3.2 Auditing Firm Total 3.2 Network Auditing Firm(s) Deloitte Touche Tohmatsu CPA LLP, Deloitte & Touche Middle Est LLP, Deloitte SL UniCredit S.p.A. Statutory audit of foreign branches Shanghai, Abu Dhabi and Madrid financial statements according to local regulations 0.1 Network Auditing Firm(s) Total 0.1 Data Checking Total 3.3 OTHER NON-AUDITING SERVICES SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(1) NAME OF THE AUDITING FIRM COMPANY NAME TYPE Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Agreed Upon Procedure (AUP) on Own Funds, AUP on quarterly calculation foreign exchange risk of CIUs, AUP on contributions to the Single Resolution Fund, AUP on Servicing Report Cordusio RMBS, Accounting due diligence Other services 0.6 Auditing Firm Total 0.6 Network Auditing Firm(s) Deloitte Consulting S.r.l. UniCredit S.p.A. Support to Projects "Cash Management initiative in Banking sector" and "Mobile Leadership Evolution prosecution" Other services 0.4 Network Auditing Firm(s) 0.4 Other Non-Auditing Services Total 1.0 Grand Total 7.7 Notes: (*) Excluding VAT and expenses. (**) Contract authorised by the Resolution of the Shareholders' Meeting of 11 May 2012 for a total amount of €2,206,600 (integrated by €150,000 in 2013, by €250,000 in 2016, by €250,000 in 2017, €224,000 in 2018 and by €196,000 in 2019), plus ISTAT indexation amounting to €176,396. Company financial statements | Annexes Annex 2 - Audit fees and other non-audit services UniCredit · 2021 Annual Report and Accounts 819 Annex 2 - Audit fees and other non-audit services (pursuant to article 149-duodecies, CONSOB Regulation No.11971/99, as supplemented) (€ million) DISCLOSURE OF EXTERNAL AUDITORS' FEES - UNICREDIT S.p.A. - FINANCIAL YEAR 2021 - DELOITTE NETWORK As prescribed by §149-duodecies of the Consob Issuers Regulation, the following table gives fees paid in 2021 for audit services rendered by the Auditor and firms in its network. EXTERNAL AUDITING SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(*) NAME OF AUDITING FIRM COMPANY NAME Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Audit of Company and Consolidated accounts and First Half Report, accounting checks and foreign branches(**) 3.4 Auditing Firm Total 3.4 External Auditing Total 3.4 CHECKING FOR THE PURPOSES OF OTHER OPINIONS SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(1) NAME OF AUDITING FIRM COMPANY NAME Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Limited review on 2021 non financial information, Limited review on 1Q 2021 and 3Q 2021 Company and Consolidated Reports, Comfort Letter for the inclusion of year-end net profit in Common Equity Tier 1 Capital, ISAE 3000 Revised Mifid II, ISAE 3000 Revised TLTRO III, Issuing Comfort Letters concerning bond issues, Signing the Italian tax declaration forms, Supervisory Fees ECB ISA805, English translation of the Auditor's Reports 3.2 Auditing Firm Total 3.2 Network Auditing Firm(s) Deloitte Touche Tohmatsu CPA LLP, Deloitte & Touche Middle Est LLP, Deloitte SL UniCredit S.p.A. Statutory audit of foreign branches Shanghai, Abu Dhabi and Madrid financial statements according to local regulations 0.1 Network Auditing Firm(s) Total 0.1 Data Checking Total 3.3 OTHER NON-AUDITING SERVICES SERVICE PROVIDER UNICREDIT GROUP SUBSIDIARY ASSIGNING THE SERVICE DESCRIPTION OF SERVICE FEES(1) NAME OF THE AUDITING FIRM COMPANY NAME TYPE Auditing Firm Deloitte & Touche S.p.A. UniCredit S.p.A. Agreed Upon Procedure (AUP) on Own Funds, AUP on quarterly calculation foreign exchange risk of CIUs, AUP on contributions to the Single Resolution Fund, AUP on Servicing Report Cordusio RMBS, Accounting due diligence Other services 0.6 Auditing Firm Total 0.6 Network Auditing Firm(s) Deloitte Consulting S.r.l. UniCredit S.p.A. Support to Projects "Cash Management initiative in Banking sector" and "Mobile Leadership Evolution prosecution" Other services 0.4 Network Auditing Firm(s) 0.4 Other Non-Auditing Services Total 1.0 Grand Total 7.7 Notes: (*) Excluding VAT and expenses. (**) Contract authorised by the Resolution of the Shareholders' Meeting of 11 May 2012 for a total amount of €2,206,600 (integrated by €150,000 in 2013, by €250,000 in 2016, by €250,000 in 2017, €224,000 in 2018 and by €196,000 in 2019), plus ISTAT indexation amounting to €176,396. Company financial statements | Annexes Annex 3 - Internal pension funds: statement of changes in the year and final accounts 820 2021 Annual Report and Accounts · UniCredit Annex 3 - Internal pension funds: statement of changes Internal Pension Funds As at 31 December 2021 UniCredit S.p.A. with regard to internal pension funds maintain commitments to the funds set up for the employees of the London and the Munich branch - of which the main details follow: Statement of changes in internal pension funds (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE Statement of the "Pension fund for employees of the former Banca di Roma - London Branch 7 19(*) Defined benefit _ Opening balance as at 12.31.2020 4.4 Provisions for the year: - Past service cost 0 - Interest cost on defined benefit obligations 0.1 - Interest Income on plan assets (0.1) Administrative expenses paid from plan assets 0.1 Employer Contributions (1.8) Exchange rate effect 0.3 Actuarial (gains)/losses recognised in the year (1.4) Balance as at 12.31.2021 1.6 Present value of the liabilities 10.2 Present value of plan assets 8.6 Net Liability as at 12.31.2021 1.6 Note: (*) of which 19 deferred benefit (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE "Pension fund for the employees of the London Branch" (ex Credito Italiano) 9 59(*) Defined benefit _ Opening balance as at 12.31.2020 (1.9) Provisions for the year: - Current service cost (gross) 0.1 - Past service cost - - Interest cost on defined benefit obligations 0.4 - Interest Income on plan assets (0.5) Employer Contributions (2.0) Exchange rate effects (0.2) Actuarial (gains)/losses recognised in the year (2.6) Balance as at 12.31.2021 (6.5) Present value of the liabilities 28.2 Present value of plan assets 34.8 Net Liability as at 12.31.2021 (6.6) Note: (*) of which 57 deferred benefit Company financial statements | Annexes Annex 3 - Internal pension funds: statement of changes in the year and final accounts 820 2021 Annual Report and Accounts · UniCredit Annex 3 - Internal pension funds: statement of changes Internal Pension Funds As at 31 December 2021 UniCredit S.p.A. with regard to internal pension funds maintain commitments to the funds set up for the employees of the London and the Munich branch - of which the main details follow: Statement of changes in internal pension funds (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE Statement of the "Pension fund for employees of the former Banca di Roma - London Branch 7 19(*) Defined benefit _ Opening balance as at 12.31.2020 4.4 Provisions for the year: - Past service cost 0 - Interest cost on defined benefit obligations 0.1 - Interest Income on plan assets (0.1) Administrative expenses paid from plan assets 0.1 Employer Contributions (1.8) Exchange rate effect 0.3 Actuarial (gains)/losses recognised in the year (1.4) Balance as at 12.31.2021 1.6 Present value of the liabilities 10.2 Present value of plan assets 8.6 Net Liability as at 12.31.2021 1.6 Note: (*) of which 19 deferred benefit (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE "Pension fund for the employees of the London Branch" (ex Credito Italiano) 9 59(*) Defined benefit _ Opening balance as at 12.31.2020 (1.9) Provisions for the year: - Current service cost (gross) 0.1 - Past service cost - - Interest cost on defined benefit obligations 0.4 - Interest Income on plan assets (0.5) Employer Contributions (2.0) Exchange rate effects (0.2) Actuarial (gains)/losses recognised in the year (2.6) Balance as at 12.31.2021 (6.5) Present value of the liabilities 28.2 Present value of plan assets 34.8 Net Liability as at 12.31.2021 (6.6) Note: (*) of which 57 deferred benefit Company financial statements | Annexes Annex 3 - Internal pension funds: statement of changes in the year and final accounts 820 2021 Annual Report and Accounts · UniCredit Annex 3 - Internal pension funds: statement of changes Internal Pension Funds As at 31 December 2021 UniCredit S.p.A. with regard to internal pension funds maintain commitments to the funds set up for the employees of the London and the Munich branch - of which the main details follow: Statement of changes in internal pension funds (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE Statement of the "Pension fund for employees of the former Banca di Roma - London Branch 7 19(*) Defined benefit _ Opening balance as at 12.31.2020 4.4 Provisions for the year: - Past service cost 0 - Interest cost on defined benefit obligations 0.1 - Interest Income on plan assets (0.1) Administrative expenses paid from plan assets 0.1 Employer Contributions (1.8) Exchange rate effect 0.3 Actuarial (gains)/losses recognised in the year (1.4) Balance as at 12.31.2021 1.6 Present value of the liabilities 10.2 Present value of plan assets 8.6 Net Liability as at 12.31.2021 1.6 Note: (*) of which 19 deferred benefit (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE "Pension fund for the employees of the London Branch" (ex Credito Italiano) 9 59(*) Defined benefit _ Opening balance as at 12.31.2020 (1.9) Provisions for the year: - Current service cost (gross) 0.1 - Past service cost - - Interest cost on defined benefit obligations 0.4 - Interest Income on plan assets (0.5) Employer Contributions (2.0) Exchange rate effects (0.2) Actuarial (gains)/losses recognised in the year (2.6) Balance as at 12.31.2021 (6.5) Present value of the liabilities 28.2 Present value of plan assets 34.8 Net Liability as at 12.31.2021 (6.6) Note: (*) of which 57 deferred benefit Company financial statements | Annexes Annex 3 - Internal pension funds: statement of changes in the year and final accounts 820 2021 Annual Report and Accounts · UniCredit Annex 3 - Internal pension funds: statement of changes Internal Pension Funds As at 31 December 2021 UniCredit S.p.A. with regard to internal pension funds maintain commitments to the funds set up for the employees of the London and the Munich branch - of which the main details follow: Statement of changes in internal pension funds (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE Statement of the "Pension fund for employees of the former Banca di Roma - London Branch 7 19(*) Defined benefit _ Opening balance as at 12.31.2020 4.4 Provisions for the year: - Past service cost 0 - Interest cost on defined benefit obligations 0.1 - Interest Income on plan assets (0.1) Administrative expenses paid from plan assets 0.1 Employer Contributions (1.8) Exchange rate effect 0.3 Actuarial (gains)/losses recognised in the year (1.4) Balance as at 12.31.2021 1.6 Present value of the liabilities 10.2 Present value of plan assets 8.6 Net Liability as at 12.31.2021 1.6 Note: (*) of which 19 deferred benefit (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE "Pension fund for the employees of the London Branch" (ex Credito Italiano) 9 59(*) Defined benefit _ Opening balance as at 12.31.2020 (1.9) Provisions for the year: - Current service cost (gross) 0.1 - Past service cost - - Interest cost on defined benefit obligations 0.4 - Interest Income on plan assets (0.5) Employer Contributions (2.0) Exchange rate effects (0.2) Actuarial (gains)/losses recognised in the year (2.6) Balance as at 12.31.2021 (6.5) Present value of the liabilities 28.2 Present value of plan assets 34.8 Net Liability as at 12.31.2021 (6.6) Note: (*) of which 57 deferred benefit Company financial statements | Annexes Annex 3 - Internal pension funds: statement of changes in the year and final accounts 820 2021 Annual Report and Accounts · UniCredit Annex 3 - Internal pension funds: statement of changes Internal Pension Funds As at 31 December 2021 UniCredit S.p.A. with regard to internal pension funds maintain commitments to the funds set up for the employees of the London and the Munich branch - of which the main details follow: Statement of changes in internal pension funds (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE Statement of the "Pension fund for employees of the former Banca di Roma - London Branch 7 19(*) Defined benefit _ Opening balance as at 12.31.2020 4.4 Provisions for the year: - Past service cost 0 - Interest cost on defined benefit obligations 0.1 - Interest Income on plan assets (0.1) Administrative expenses paid from plan assets 0.1 Employer Contributions (1.8) Exchange rate effect 0.3 Actuarial (gains)/losses recognised in the year (1.4) Balance as at 12.31.2021 1.6 Present value of the liabilities 10.2 Present value of plan assets 8.6 Net Liability as at 12.31.2021 1.6 Note: (*) of which 19 deferred benefit (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE "Pension fund for the employees of the London Branch" (ex Credito Italiano) 9 59(*) Defined benefit _ Opening balance as at 12.31.2020 (1.9) Provisions for the year: - Current service cost (gross) 0.1 - Past service cost - - Interest cost on defined benefit obligations 0.4 - Interest Income on plan assets (0.5) Employer Contributions (2.0) Exchange rate effects (0.2) Actuarial (gains)/losses recognised in the year (2.6) Balance as at 12.31.2021 (6.5) Present value of the liabilities 28.2 Present value of plan assets 34.8 Net Liability as at 12.31.2021 (6.6) Note: (*) of which 57 deferred benefit Company financial statements | Annexes Annex 3 - Internal pension funds: statement of changes in the year and final accounts UniCredit · 2021 Annual Report and Accounts 821 (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE "Pension fund for the employees of Munich Branch 1 46(*) Defined benefit Opening balance as at 12.31.2020 1.6 Provisions for the year: - - Current service cost (gross) 0.5 - Interest cost on defined benefit obligations - - Interest Income on plan assets - Employer Contributions (1.0) Other increases (decreses) 0.1 Actuarial (gains)/losses recognised in the year (0.3) Balance as at 12.31.2021 0.9 Present value of the liabilities 3.2 Present value of plan assets 2.3 Net Liability as at 12.31.2021 0.9 Note: (*) of which 6 deferred benefit. Company financial statements | Annexes Annex 3 - Internal pension funds: statement of changes in the year and final accounts UniCredit · 2021 Annual Report and Accounts 821 (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE "Pension fund for the employees of Munich Branch 1 46(*) Defined benefit Opening balance as at 12.31.2020 1.6 Provisions for the year: - - Current service cost (gross) 0.5 - Interest cost on defined benefit obligations - - Interest Income on plan assets - Employer Contributions (1.0) Other increases (decreses) 0.1 Actuarial (gains)/losses recognised in the year (0.3) Balance as at 12.31.2021 0.9 Present value of the liabilities 3.2 Present value of plan assets 2.3 Net Liability as at 12.31.2021 0.9 Note: (*) of which 6 deferred benefit. Company financial statements | Annexes Annex 3 - Internal pension funds: statement of changes in the year and final accounts UniCredit · 2021 Annual Report and Accounts 821 (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE "Pension fund for the employees of Munich Branch 1 46(*) Defined benefit Opening balance as at 12.31.2020 1.6 Provisions for the year: - - Current service cost (gross) 0.5 - Interest cost on defined benefit obligations - - Interest Income on plan assets - Employer Contributions (1.0) Other increases (decreses) 0.1 Actuarial (gains)/losses recognised in the year (0.3) Balance as at 12.31.2021 0.9 Present value of the liabilities 3.2 Present value of plan assets 2.3 Net Liability as at 12.31.2021 0.9 Note: (*) of which 6 deferred benefit. Company financial statements | Annexes Annex 3 - Internal pension funds: statement of changes in the year and final accounts UniCredit · 2021 Annual Report and Accounts 821 (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE "Pension fund for the employees of Munich Branch 1 46(*) Defined benefit Opening balance as at 12.31.2020 1.6 Provisions for the year: - - Current service cost (gross) 0.5 - Interest cost on defined benefit obligations - - Interest Income on plan assets - Employer Contributions (1.0) Other increases (decreses) 0.1 Actuarial (gains)/losses recognised in the year (0.3) Balance as at 12.31.2021 0.9 Present value of the liabilities 3.2 Present value of plan assets 2.3 Net Liability as at 12.31.2021 0.9 Note: (*) of which 6 deferred benefit. Company financial statements | Annexes Annex 3 - Internal pension funds: statement of changes in the year and final accounts UniCredit · 2021 Annual Report and Accounts 821 (€ million) FUNDS AND DESCRIPTION OF MOVEMENTS NO. OF RETIREES AS AT 12.31.2021 NO. OF MEMBERS AS AT 12.31.2021 TYPE ACCOUNTING FIGURES CONTRIBUTION RATE "Pension fund for the employees of Munich Branch 1 46(*) Defined benefit Opening balance as at 12.31.2020 1.6 Provisions for the year: - - Current service cost (gross) 0.5 - Interest cost on defined benefit obligations - - Interest Income on plan assets - Employer Contributions (1.0) Other increases (decreses) 0.1 Actuarial (gains)/losses recognised in the year (0.3) Balance as at 12.31.2021 0.9 Present value of the liabilities 3.2 Present value of plan assets 2.3 Net Liability as at 12.31.2021 0.9 Note: (*) of which 6 deferred benefit. Company financial statements | Annexes Annex 4 - Securitisation - qualitative tables 822 2021 Annual Report and Accounts · UniCredit Annex 4 - Securitisations - qualitative tables Reference is made to the Annexes - Annex 3 - Securitisations - qualitative tables of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as Originator which is herewith quoted entirely. Company financial statements | Annexes Annex 4 - Securitisation - qualitative tables 822 2021 Annual Report and Accounts · UniCredit Annex 4 - Securitisations - qualitative tables Reference is made to the Annexes - Annex 3 - Securitisations - qualitative tables of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as Originator which is herewith quoted entirely. Company financial statements | Annexes Annex 4 - Securitisation - qualitative tables 822 2021 Annual Report and Accounts · UniCredit Annex 4 - Securitisations - qualitative tables Reference is made to the Annexes - Annex 3 - Securitisations - qualitative tables of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as Originator which is herewith quoted entirely. Company financial statements | Annexes Annex 4 - Securitisation - qualitative tables 822 2021 Annual Report and Accounts · UniCredit Annex 4 - Securitisations - qualitative tables Reference is made to the Annexes - Annex 3 - Securitisations - qualitative tables of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as Originator which is herewith quoted entirely. Company financial statements | Annexes Annex 4 - Securitisation - qualitative tables 822 2021 Annual Report and Accounts · UniCredit Annex 4 - Securitisations - qualitative tables Reference is made to the Annexes - Annex 3 - Securitisations - qualitative tables of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as Originator which is herewith quoted entirely. Company financial statements | Annexes Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables UniCredit · 2021 Annual Report and Accounts 823 Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables Reference is made to the Annexes - Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same Funds - qualitative tables of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as originator which is herewith quoted entirely. Company financial statements | Annexes Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables UniCredit · 2021 Annual Report and Accounts 823 Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables Reference is made to the Annexes - Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same Funds - qualitative tables of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as originator which is herewith quoted entirely. Company financial statements | Annexes Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables UniCredit · 2021 Annual Report and Accounts 823 Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables Reference is made to the Annexes - Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same Funds - qualitative tables of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as originator which is herewith quoted entirely. Company financial statements | Annexes Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables UniCredit · 2021 Annual Report and Accounts 823 Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables Reference is made to the Annexes - Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same Funds - qualitative tables of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as originator which is herewith quoted entirely. Company financial statements | Annexes Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables UniCredit · 2021 Annual Report and Accounts 823 Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables Reference is made to the Annexes - Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same Funds - qualitative tables of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as originator which is herewith quoted entirely.  824 2021 Annual Report and Accounts · UniCredit 824 2021 Annual Report and Accounts · UniCredit 824 2021 Annual Report and Accounts · UniCredit 824 2021 Annual Report and Accounts · UniCredit 824 2021 Annual Report and Accounts · UniCredit  Incorporations of qualitative information by reference UniCredit · 2021 Annual Report and Accounts 825 Incorporations of qualitative information by reference The following is the list of the incorporations of qualitative information by reference made by the Consolidated financial statements to the Company financial statements: PART OF THE CONSOLIDATED FINANCIAL STATEMENTS WHERE A REFERENCE IS PRESENT DESCRIPTION OF THE PART OF THE COMPANY FINANCIAL STATEMENTS WHERE IS DETECTABLE THE QUALITATIVE INFORMATION INCORPORATED BY REFERENCE Part B - Information on consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 The paragraph “Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II)” is incorporated by reference to Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 of the Notes to the accounts. The paragraph “Information about the investments in the “Schema Volontario” (Voluntary Scheme) is incorporated by reference to Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 of the Notes to the accounts. Part B - Information on consolidated balance sheet - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30 The paragraph “Information about the shareholding in Banca d'Italia” is incorporated by reference to Part B - Balance sheet - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30 of the Notes to the accounts. Part B - Information on consolidated balance sheet - Assets, Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) The qualitative disclosure of deferred tax assets and liabilities of the Parent Company is incorporated by reference to Part B - Information on balance sheet - Assets, Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) of the Notes to the accounts. Part B - Information on consolidated balance sheet - Liabilities, Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 The paragraphs “12.1 Share capital and treasury shares", “12.2 Share capital - Number of shares: annual changes”, “12.3 Capital: other information” and “12.5 Equity instruments; composition and annual changes” are incorporated by reference to Part B - Information on balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 of the Notes to the accounts. Part C - Information on consolidated income statement, Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 The qualitative disclosure of tax expenses (income) for the period of the Parent Company is incorporated by reference to Part C - Income statement, Section 19 -Tax expenses (income) for the period from continuing operations - Item 270 of the Notes to the accounts. Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, Qualitative information. The qualitative disclosure of Olympia transaction is incorporated by reference to the paragraph “Olympia transaction, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Quantitative information, 2. Credit risk management policies. Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information The qualitative disclosure with reference to the Italian perimeter of UniCredit S.p.A., reporting specific credit risks committees, is incorporated by reference to Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Qualitative information, 2. Credit risk management policies, 2.1 Organisational aspects of the Notes to the accounts. Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, E. Prudential perimeter - Credit risk measurement models The quantitative information of UniCredit S.p.A. on Credit risk measurement model is incorporated by reference to the paragraph in Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, F. Credit risk measurement models of the Notes to the accounts. Part E - Information on risks and hedging policies - Section 2 - Risks of prudential consolidated perimeter - Section 2.5 - Operational risks The paragraph “E. Other claims by customers” and the sub-paragraph “Diamond offer” are incorporated by reference to the similar paragraphs of Part E - Information on risks and hedging policies - Section 5 - Operational risks of the Notes to the accounts. The paragraph “Quantitative information” is partly incorporated by reference to paragraph of Part E - Information on risks and hedging policies - Section 5 - Operational risks of the Notes to the accounts. Incorporations of qualitative information by reference UniCredit · 2021 Annual Report and Accounts 825 Incorporations of qualitative information by reference The following is the list of the incorporations of qualitative information by reference made by the Consolidated financial statements to the Company financial statements: PART OF THE CONSOLIDATED FINANCIAL STATEMENTS WHERE A REFERENCE IS PRESENT DESCRIPTION OF THE PART OF THE COMPANY FINANCIAL STATEMENTS WHERE IS DETECTABLE THE QUALITATIVE INFORMATION INCORPORATED BY REFERENCE Part B - Information on consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 The paragraph “Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II)” is incorporated by reference to Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 of the Notes to the accounts. The paragraph “Information about the investments in the “Schema Volontario” (Voluntary Scheme) is incorporated by reference to Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 of the Notes to the accounts. Part B - Information on consolidated balance sheet - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30 The paragraph “Information about the shareholding in Banca d'Italia” is incorporated by reference to Part B - Balance sheet - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30 of the Notes to the accounts. Part B - Information on consolidated balance sheet - Assets, Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) The qualitative disclosure of deferred tax assets and liabilities of the Parent Company is incorporated by reference to Part B - Information on balance sheet - Assets, Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) of the Notes to the accounts. Part B - Information on consolidated balance sheet - Liabilities, Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 The paragraphs “12.1 Share capital and treasury shares", “12.2 Share capital - Number of shares: annual changes”, “12.3 Capital: other information” and “12.5 Equity instruments; composition and annual changes” are incorporated by reference to Part B - Information on balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 of the Notes to the accounts. Part C - Information on consolidated income statement, Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 The qualitative disclosure of tax expenses (income) for the period of the Parent Company is incorporated by reference to Part C - Income statement, Section 19 -Tax expenses (income) for the period from continuing operations - Item 270 of the Notes to the accounts. Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, Qualitative information. The qualitative disclosure of Olympia transaction is incorporated by reference to the paragraph “Olympia transaction, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Quantitative information, 2. Credit risk management policies. Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information The qualitative disclosure with reference to the Italian perimeter of UniCredit S.p.A., reporting specific credit risks committees, is incorporated by reference to Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Qualitative information, 2. Credit risk management policies, 2.1 Organisational aspects of the Notes to the accounts. Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, E. Prudential perimeter - Credit risk measurement models The quantitative information of UniCredit S.p.A. on Credit risk measurement model is incorporated by reference to the paragraph in Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, F. Credit risk measurement models of the Notes to the accounts. Part E - Information on risks and hedging policies - Section 2 - Risks of prudential consolidated perimeter - Section 2.5 - Operational risks The paragraph “E. Other claims by customers” and the sub-paragraph “Diamond offer” are incorporated by reference to the similar paragraphs of Part E - Information on risks and hedging policies - Section 5 - Operational risks of the Notes to the accounts. The paragraph “Quantitative information” is partly incorporated by reference to paragraph of Part E - Information on risks and hedging policies - Section 5 - Operational risks of the Notes to the accounts. Incorporations of qualitative information by reference UniCredit · 2021 Annual Report and Accounts 825 Incorporations of qualitative information by reference The following is the list of the incorporations of qualitative information by reference made by the Consolidated financial statements to the Company financial statements: PART OF THE CONSOLIDATED FINANCIAL STATEMENTS WHERE A REFERENCE IS PRESENT DESCRIPTION OF THE PART OF THE COMPANY FINANCIAL STATEMENTS WHERE IS DETECTABLE THE QUALITATIVE INFORMATION INCORPORATED BY REFERENCE Part B - Information on consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 The paragraph “Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II)” is incorporated by reference to Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 of the Notes to the accounts. The paragraph “Information about the investments in the “Schema Volontario” (Voluntary Scheme) is incorporated by reference to Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 of the Notes to the accounts. Part B - Information on consolidated balance sheet - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30 The paragraph “Information about the shareholding in Banca d'Italia” is incorporated by reference to Part B - Balance sheet - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30 of the Notes to the accounts. Part B - Information on consolidated balance sheet - Assets, Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) The qualitative disclosure of deferred tax assets and liabilities of the Parent Company is incorporated by reference to Part B - Information on balance sheet - Assets, Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) of the Notes to the accounts. Part B - Information on consolidated balance sheet - Liabilities, Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 The paragraphs “12.1 Share capital and treasury shares", “12.2 Share capital - Number of shares: annual changes”, “12.3 Capital: other information” and “12.5 Equity instruments; composition and annual changes” are incorporated by reference to Part B - Information on balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 of the Notes to the accounts. Part C - Information on consolidated income statement, Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 The qualitative disclosure of tax expenses (income) for the period of the Parent Company is incorporated by reference to Part C - Income statement, Section 19 -Tax expenses (income) for the period from continuing operations - Item 270 of the Notes to the accounts. Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, Qualitative information. The qualitative disclosure of Olympia transaction is incorporated by reference to the paragraph “Olympia transaction, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Quantitative information, 2. Credit risk management policies. Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information The qualitative disclosure with reference to the Italian perimeter of UniCredit S.p.A., reporting specific credit risks committees, is incorporated by reference to Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Qualitative information, 2. Credit risk management policies, 2.1 Organisational aspects of the Notes to the accounts. Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, E. Prudential perimeter - Credit risk measurement models The quantitative information of UniCredit S.p.A. on Credit risk measurement model is incorporated by reference to the paragraph in Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, F. Credit risk measurement models of the Notes to the accounts. Part E - Information on risks and hedging policies - Section 2 - Risks of prudential consolidated perimeter - Section 2.5 - Operational risks The paragraph “E. Other claims by customers” and the sub-paragraph “Diamond offer” are incorporated by reference to the similar paragraphs of Part E - Information on risks and hedging policies - Section 5 - Operational risks of the Notes to the accounts. The paragraph “Quantitative information” is partly incorporated by reference to paragraph of Part E - Information on risks and hedging policies - Section 5 - Operational risks of the Notes to the accounts. Incorporations of qualitative information by reference UniCredit · 2021 Annual Report and Accounts 825 Incorporations of qualitative information by reference The following is the list of the incorporations of qualitative information by reference made by the Consolidated financial statements to the Company financial statements: PART OF THE CONSOLIDATED FINANCIAL STATEMENTS WHERE A REFERENCE IS PRESENT DESCRIPTION OF THE PART OF THE COMPANY FINANCIAL STATEMENTS WHERE IS DETECTABLE THE QUALITATIVE INFORMATION INCORPORATED BY REFERENCE Part B - Information on consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 The paragraph “Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II)” is incorporated by reference to Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 of the Notes to the accounts. The paragraph “Information about the investments in the “Schema Volontario” (Voluntary Scheme) is incorporated by reference to Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 of the Notes to the accounts. Part B - Information on consolidated balance sheet - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30 The paragraph “Information about the shareholding in Banca d'Italia” is incorporated by reference to Part B - Balance sheet - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30 of the Notes to the accounts. Part B - Information on consolidated balance sheet - Assets, Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) The qualitative disclosure of deferred tax assets and liabilities of the Parent Company is incorporated by reference to Part B - Information on balance sheet - Assets, Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) of the Notes to the accounts. Part B - Information on consolidated balance sheet - Liabilities, Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 The paragraphs “12.1 Share capital and treasury shares", “12.2 Share capital - Number of shares: annual changes”, “12.3 Capital: other information” and “12.5 Equity instruments; composition and annual changes” are incorporated by reference to Part B - Information on balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 of the Notes to the accounts. Part C - Information on consolidated income statement, Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 The qualitative disclosure of tax expenses (income) for the period of the Parent Company is incorporated by reference to Part C - Income statement, Section 19 -Tax expenses (income) for the period from continuing operations - Item 270 of the Notes to the accounts. Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, Qualitative information. The qualitative disclosure of Olympia transaction is incorporated by reference to the paragraph “Olympia transaction, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Quantitative information, 2. Credit risk management policies. Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information The qualitative disclosure with reference to the Italian perimeter of UniCredit S.p.A., reporting specific credit risks committees, is incorporated by reference to Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Qualitative information, 2. Credit risk management policies, 2.1 Organisational aspects of the Notes to the accounts. Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, E. Prudential perimeter - Credit risk measurement models The quantitative information of UniCredit S.p.A. on Credit risk measurement model is incorporated by reference to the paragraph in Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, F. Credit risk measurement models of the Notes to the accounts. Part E - Information on risks and hedging policies - Section 2 - Risks of prudential consolidated perimeter - Section 2.5 - Operational risks The paragraph “E. Other claims by customers” and the sub-paragraph “Diamond offer” are incorporated by reference to the similar paragraphs of Part E - Information on risks and hedging policies - Section 5 - Operational risks of the Notes to the accounts. The paragraph “Quantitative information” is partly incorporated by reference to paragraph of Part E - Information on risks and hedging policies - Section 5 - Operational risks of the Notes to the accounts. Incorporations of qualitative information by reference UniCredit · 2021 Annual Report and Accounts 825 Incorporations of qualitative information by reference The following is the list of the incorporations of qualitative information by reference made by the Consolidated financial statements to the Company financial statements: PART OF THE CONSOLIDATED FINANCIAL STATEMENTS WHERE A REFERENCE IS PRESENT DESCRIPTION OF THE PART OF THE COMPANY FINANCIAL STATEMENTS WHERE IS DETECTABLE THE QUALITATIVE INFORMATION INCORPORATED BY REFERENCE Part B - Information on consolidated balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 The paragraph “Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II)” is incorporated by reference to Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 of the Notes to the accounts. The paragraph “Information about the investments in the “Schema Volontario” (Voluntary Scheme) is incorporated by reference to Part B - Balance sheet - Assets, Section 2 - Financial assets at fair value through profit or loss - Item 20 of the Notes to the accounts. Part B - Information on consolidated balance sheet - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30 The paragraph “Information about the shareholding in Banca d'Italia” is incorporated by reference to Part B - Balance sheet - Assets, Section 3 - Financial assets at fair value through other comprehensive income - Item 30 of the Notes to the accounts. Part B - Information on consolidated balance sheet - Assets, Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities) The qualitative disclosure of deferred tax assets and liabilities of the Parent Company is incorporated by reference to Part B - Information on balance sheet - Assets, Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities) of the Notes to the accounts. Part B - Information on consolidated balance sheet - Liabilities, Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180 The paragraphs “12.1 Share capital and treasury shares", “12.2 Share capital - Number of shares: annual changes”, “12.3 Capital: other information” and “12.5 Equity instruments; composition and annual changes” are incorporated by reference to Part B - Information on balance sheet - Liabilities, Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180 of the Notes to the accounts. Part C - Information on consolidated income statement, Section 21 - Tax expenses (income) for the period from continuing operations - Item 300 The qualitative disclosure of tax expenses (income) for the period of the Parent Company is incorporated by reference to Part C - Income statement, Section 19 -Tax expenses (income) for the period from continuing operations - Item 270 of the Notes to the accounts. Part E - Information on risks and hedging policies, Section 1 - Risks of the accounting consolidated perimeter, Qualitative information. The qualitative disclosure of Olympia transaction is incorporated by reference to the paragraph “Olympia transaction, Part E - Information on risks and hedging policies, Section 1 - Credit risk, Quantitative information, 2. Credit risk management policies. Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information The qualitative disclosure with reference to the Italian perimeter of UniCredit S.p.A., reporting specific credit risks committees, is incorporated by reference to Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Qualitative information, 2. Credit risk management policies, 2.1 Organisational aspects of the Notes to the accounts. Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Quantitative information, E. Prudential perimeter - Credit risk measurement models The quantitative information of UniCredit S.p.A. on Credit risk measurement model is incorporated by reference to the paragraph in Part E - Information on risks and hedging policies, Section 1 - Credit Risk, Quantitative information, F. Credit risk measurement models of the Notes to the accounts. Part E - Information on risks and hedging policies - Section 2 - Risks of prudential consolidated perimeter - Section 2.5 - Operational risks The paragraph “E. Other claims by customers” and the sub-paragraph “Diamond offer” are incorporated by reference to the similar paragraphs of Part E - Information on risks and hedging policies - Section 5 - Operational risks of the Notes to the accounts. The paragraph “Quantitative information” is partly incorporated by reference to paragraph of Part E - Information on risks and hedging policies - Section 5 - Operational risks of the Notes to the accounts.  Incorporations of qualitative information by reference 826 2021 Annual Report and Accounts · UniCredit The following is the list of the incorporations of qualitative information made by reference by the Company financial statements to the Consolidated financial statements: PART OF THE COMPANY FINANCIAL STATEMENTS WHERE A REFERENCE IS PRESENT DESCRIPTION OF THE PART OF THE CONSOLIDATED FINANCIAL STATEMENTS WHERE IS DETECTABLE THE QUALITATIVE INFORMATION INCORPORATED BY REFERRENCE Report on operations - Introduction and highlights The paragraph “Share information” is presented by reference to the paragraph “Share information” - Group and UniCredit share historical data series of the Consolidated report on operations. The paragraph “Macroeconomic situation, banking and financial markets” is presented by reference to the paragraph “Macroeconomic situation, banking and financial markets” - Group results of the Consolidated report on operations. References of UniCredit official website where can be found Report on corporate governance and ownership structure, Report on remuneration and Non-financial information are reported in Other information of the Consolidated report on operations. The paragraph “Research and development projects” is presented by reference to the paragraph “Research and development projects” - Other information of the Consolidated report on operations. Information of significant organizational changes and organizational structure are presented by reference to the paragraph “Organisational model” - Other information of the Consolidated report on operations. Report on operations - Results of the year - Capital and value management The qualitative disclosure of “Principles of value creation and disciplined capital allocation”, “Capital ratios” for information relating to transitional capital requirements and buffers for UniCredit group and “Capital strengthening“ are incorporated by reference to the same paragraphs in “Capital and value management” - Group results of the Consolidated report on operations. Report on operations - Other information The paragraph “Group activities development operations and other corporate transactions”, with specific reference to events relating to the parent company UniCredit S.p.A., is incorporated by reference to the same paragraph “Group activities development operations and other corporate transaction” - Other information of the Consolidated report on operations. The paragraph “Certifications and other communications” is incorporated by reference to the same paragraph “Certifications and other communications” - Other information of the Consolidated report on operations. Report on operations - Subsequent events and Outlook The paragraph “Subsequent events”, with specific reference to events relating to the parent company UniCredit S.p.A., is incorporated by reference to the paragraph “Subsequent events” - Other information of the Consolidated report on operations. The paragraph “Outlook” is incorporated by reference to the paragraph “Outlook” of the Consolidated report on operations. Part A - Accounting policies, A.2. Main items of the accounts The paragraphs relating to main items of the accounts, where applicable, are incorporated by reference to the same paragraphs of Part A - Accounting policies, A.2 Main items of the accounts of the Notes to consolidated accounts. Part B - Balance sheet - Assets, Section 8 - Property, plant and equipment - Item 80 The description of the “effects produced by update of appraisals” conducted for fair value evaluation is incorporated by reference to the paragraph in Part B - Consolidated balance sheet - Assets, Section 9 - Property, plant and equipment - Item 90 of the Notes to the consolidated accounts. Part C - Income statement - Section 10 - Other administrative expenses - Item 160 The paragraph “Contributions to Resolution and Guarantee Funds” and “Guarantee fees for DTA conversion” are incorporated by reference respectively to the paragraphs “Contributions to Resolution and Guarantee Funds” and “Guarantee fees for DTA conversion” of Part C - Consolidated income statement - Section 12 Administrative expenses - Item 190 of the Notes to consolidated accounts. Incorporations of qualitative information by reference 826 2021 Annual Report and Accounts · UniCredit The following is the list of the incorporations of qualitative information made by reference by the Company financial statements to the Consolidated financial statements: PART OF THE COMPANY FINANCIAL STATEMENTS WHERE A REFERENCE IS PRESENT DESCRIPTION OF THE PART OF THE CONSOLIDATED FINANCIAL STATEMENTS WHERE IS DETECTABLE THE QUALITATIVE INFORMATION INCORPORATED BY REFERRENCE Report on operations - Introduction and highlights The paragraph “Share information” is presented by reference to the paragraph “Share information” - Group and UniCredit share historical data series of the Consolidated report on operations. The paragraph “Macroeconomic situation, banking and financial markets” is presented by reference to the paragraph “Macroeconomic situation, banking and financial markets” - Group results of the Consolidated report on operations. References of UniCredit official website where can be found Report on corporate governance and ownership structure, Report on remuneration and Non-financial information are reported in Other information of the Consolidated report on operations. The paragraph “Research and development projects” is presented by reference to the paragraph “Research and development projects” - Other information of the Consolidated report on operations. Information of significant organizational changes and organizational structure are presented by reference to the paragraph “Organisational model” - Other information of the Consolidated report on operations. Report on operations - Results of the year - Capital and value management The qualitative disclosure of “Principles of value creation and disciplined capital allocation”, “Capital ratios” for information relating to transitional capital requirements and buffers for UniCredit group and “Capital strengthening“ are incorporated by reference to the same paragraphs in “Capital and value management” - Group results of the Consolidated report on operations. Report on operations - Other information The paragraph “Group activities development operations and other corporate transactions”, with specific reference to events relating to the parent company UniCredit S.p.A., is incorporated by reference to the same paragraph “Group activities development operations and other corporate transaction” - Other information of the Consolidated report on operations. The paragraph “Certifications and other communications” is incorporated by reference to the same paragraph “Certifications and other communications” - Other information of the Consolidated report on operations. Report on operations - Subsequent events and Outlook The paragraph “Subsequent events”, with specific reference to events relating to the parent company UniCredit S.p.A., is incorporated by reference to the paragraph “Subsequent events” - Other information of the Consolidated report on operations. The paragraph “Outlook” is incorporated by reference to the paragraph “Outlook” of the Consolidated report on operations. Part A - Accounting policies, A.2. Main items of the accounts The paragraphs relating to main items of the accounts, where applicable, are incorporated by reference to the same paragraphs of Part A - Accounting policies, A.2 Main items of the accounts of the Notes to consolidated accounts. Part B - Balance sheet - Assets, Section 8 - Property, plant and equipment - Item 80 The description of the “effects produced by update of appraisals” conducted for fair value evaluation is incorporated by reference to the paragraph in Part B - Consolidated balance sheet - Assets, Section 9 - Property, plant and equipment - Item 90 of the Notes to the consolidated accounts. Part C - Income statement - Section 10 - Other administrative expenses - Item 160 The paragraph “Contributions to Resolution and Guarantee Funds” and “Guarantee fees for DTA conversion” are incorporated by reference respectively to the paragraphs “Contributions to Resolution and Guarantee Funds” and “Guarantee fees for DTA conversion” of Part C - Consolidated income statement - Section 12 Administrative expenses - Item 190 of the Notes to consolidated accounts. Incorporations of qualitative information by reference 826 2021 Annual Report and Accounts · UniCredit The following is the list of the incorporations of qualitative information made by reference by the Company financial statements to the Consolidated financial statements: PART OF THE COMPANY FINANCIAL STATEMENTS WHERE A REFERENCE IS PRESENT DESCRIPTION OF THE PART OF THE CONSOLIDATED FINANCIAL STATEMENTS WHERE IS DETECTABLE THE QUALITATIVE INFORMATION INCORPORATED BY REFERRENCE Report on operations - Introduction and highlights The paragraph “Share information” is presented by reference to the paragraph “Share information” - Group and UniCredit share historical data series of the Consolidated report on operations. The paragraph “Macroeconomic situation, banking and financial markets” is presented by reference to the paragraph “Macroeconomic situation, banking and financial markets” - Group results of the Consolidated report on operations. References of UniCredit official website where can be found Report on corporate governance and ownership structure, Report on remuneration and Non-financial information are reported in Other information of the Consolidated report on operations. The paragraph “Research and development projects” is presented by reference to the paragraph “Research and development projects” - Other information of the Consolidated report on operations. Information of significant organizational changes and organizational structure are presented by reference to the paragraph “Organisational model” - Other information of the Consolidated report on operations. Report on operations - Results of the year - Capital and value management The qualitative disclosure of “Principles of value creation and disciplined capital allocation”, “Capital ratios” for information relating to transitional capital requirements and buffers for UniCredit group and “Capital strengthening“ are incorporated by reference to the same paragraphs in “Capital and value management” - Group results of the Consolidated report on operations. Report on operations - Other information The paragraph “Group activities development operations and other corporate transactions”, with specific reference to events relating to the parent company UniCredit S.p.A., is incorporated by reference to the same paragraph “Group activities development operations and other corporate transaction” - Other information of the Consolidated report on operations. The paragraph “Certifications and other communications” is incorporated by reference to the same paragraph “Certifications and other communications” - Other information of the Consolidated report on operations. Report on operations - Subsequent events and Outlook The paragraph “Subsequent events”, with specific reference to events relating to the parent company UniCredit S.p.A., is incorporated by reference to the paragraph “Subsequent events” - Other information of the Consolidated report on operations. The paragraph “Outlook” is incorporated by reference to the paragraph “Outlook” of the Consolidated report on operations. Part A - Accounting policies, A.2. Main items of the accounts The paragraphs relating to main items of the accounts, where applicable, are incorporated by reference to the same paragraphs of Part A - Accounting policies, A.2 Main items of the accounts of the Notes to consolidated accounts. Part B - Balance sheet - Assets, Section 8 - Property, plant and equipment - Item 80 The description of the “effects produced by update of appraisals” conducted for fair value evaluation is incorporated by reference to the paragraph in Part B - Consolidated balance sheet - Assets, Section 9 - Property, plant and equipment - Item 90 of the Notes to the consolidated accounts. Part C - Income statement - Section 10 - Other administrative expenses - Item 160 The paragraph “Contributions to Resolution and Guarantee Funds” and “Guarantee fees for DTA conversion” are incorporated by reference respectively to the paragraphs “Contributions to Resolution and Guarantee Funds” and “Guarantee fees for DTA conversion” of Part C - Consolidated income statement - Section 12 Administrative expenses - Item 190 of the Notes to consolidated accounts. Incorporations of qualitative information by reference 826 2021 Annual Report and Accounts · UniCredit The following is the list of the incorporations of qualitative information made by reference by the Company financial statements to the Consolidated financial statements: PART OF THE COMPANY FINANCIAL STATEMENTS WHERE A REFERENCE IS PRESENT DESCRIPTION OF THE PART OF THE CONSOLIDATED FINANCIAL STATEMENTS WHERE IS DETECTABLE THE QUALITATIVE INFORMATION INCORPORATED BY REFERRENCE Report on operations - Introduction and highlights The paragraph “Share information” is presented by reference to the paragraph “Share information” - Group and UniCredit share historical data series of the Consolidated report on operations. The paragraph “Macroeconomic situation, banking and financial markets” is presented by reference to the paragraph “Macroeconomic situation, banking and financial markets” - Group results of the Consolidated report on operations. References of UniCredit official website where can be found Report on corporate governance and ownership structure, Report on remuneration and Non-financial information are reported in Other information of the Consolidated report on operations. The paragraph “Research and development projects” is presented by reference to the paragraph “Research and development projects” - Other information of the Consolidated report on operations. Information of significant organizational changes and organizational structure are presented by reference to the paragraph “Organisational model” - Other information of the Consolidated report on operations. Report on operations - Results of the year - Capital and value management The qualitative disclosure of “Principles of value creation and disciplined capital allocation”, “Capital ratios” for information relating to transitional capital requirements and buffers for UniCredit group and “Capital strengthening“ are incorporated by reference to the same paragraphs in “Capital and value management” - Group results of the Consolidated report on operations. Report on operations - Other information The paragraph “Group activities development operations and other corporate transactions”, with specific reference to events relating to the parent company UniCredit S.p.A., is incorporated by reference to the same paragraph “Group activities development operations and other corporate transaction” - Other information of the Consolidated report on operations. The paragraph “Certifications and other communications” is incorporated by reference to the same paragraph “Certifications and other communications” - Other information of the Consolidated report on operations. Report on operations - Subsequent events and Outlook The paragraph “Subsequent events”, with specific reference to events relating to the parent company UniCredit S.p.A., is incorporated by reference to the paragraph “Subsequent events” - Other information of the Consolidated report on operations. The paragraph “Outlook” is incorporated by reference to the paragraph “Outlook” of the Consolidated report on operations. Part A - Accounting policies, A.2. Main items of the accounts The paragraphs relating to main items of the accounts, where applicable, are incorporated by reference to the same paragraphs of Part A - Accounting policies, A.2 Main items of the accounts of the Notes to consolidated accounts. Part B - Balance sheet - Assets, Section 8 - Property, plant and equipment - Item 80 The description of the “effects produced by update of appraisals” conducted for fair value evaluation is incorporated by reference to the paragraph in Part B - Consolidated balance sheet - Assets, Section 9 - Property, plant and equipment - Item 90 of the Notes to the consolidated accounts. Part C - Income statement - Section 10 - Other administrative expenses - Item 160 The paragraph “Contributions to Resolution and Guarantee Funds” and “Guarantee fees for DTA conversion” are incorporated by reference respectively to the paragraphs “Contributions to Resolution and Guarantee Funds” and “Guarantee fees for DTA conversion” of Part C - Consolidated income statement - Section 12 Administrative expenses - Item 190 of the Notes to consolidated accounts. Incorporations of qualitative information by reference 826 2021 Annual Report and Accounts · UniCredit The following is the list of the incorporations of qualitative information made by reference by the Company financial statements to the Consolidated financial statements: PART OF THE COMPANY FINANCIAL STATEMENTS WHERE A REFERENCE IS PRESENT DESCRIPTION OF THE PART OF THE CONSOLIDATED FINANCIAL STATEMENTS WHERE IS DETECTABLE THE QUALITATIVE INFORMATION INCORPORATED BY REFERRENCE Report on operations - Introduction and highlights The paragraph “Share information” is presented by reference to the paragraph “Share information” - Group and UniCredit share historical data series of the Consolidated report on operations. The paragraph “Macroeconomic situation, banking and financial markets” is presented by reference to the paragraph “Macroeconomic situation, banking and financial markets” - Group results of the Consolidated report on operations. References of UniCredit official website where can be found Report on corporate governance and ownership structure, Report on remuneration and Non-financial information are reported in Other information of the Consolidated report on operations. The paragraph “Research and development projects” is presented by reference to the paragraph “Research and development projects” - Other information of the Consolidated report on operations. Information of significant organizational changes and organizational structure are presented by reference to the paragraph “Organisational model” - Other information of the Consolidated report on operations. Report on operations - Results of the year - Capital and value management The qualitative disclosure of “Principles of value creation and disciplined capital allocation”, “Capital ratios” for information relating to transitional capital requirements and buffers for UniCredit group and “Capital strengthening“ are incorporated by reference to the same paragraphs in “Capital and value management” - Group results of the Consolidated report on operations. Report on operations - Other information The paragraph “Group activities development operations and other corporate transactions”, with specific reference to events relating to the parent company UniCredit S.p.A., is incorporated by reference to the same paragraph “Group activities development operations and other corporate transaction” - Other information of the Consolidated report on operations. The paragraph “Certifications and other communications” is incorporated by reference to the same paragraph “Certifications and other communications” - Other information of the Consolidated report on operations. Report on operations - Subsequent events and Outlook The paragraph “Subsequent events”, with specific reference to events relating to the parent company UniCredit S.p.A., is incorporated by reference to the paragraph “Subsequent events” - Other information of the Consolidated report on operations. The paragraph “Outlook” is incorporated by reference to the paragraph “Outlook” of the Consolidated report on operations. Part A - Accounting policies, A.2. Main items of the accounts The paragraphs relating to main items of the accounts, where applicable, are incorporated by reference to the same paragraphs of Part A - Accounting policies, A.2 Main items of the accounts of the Notes to consolidated accounts. Part B - Balance sheet - Assets, Section 8 - Property, plant and equipment - Item 80 The description of the “effects produced by update of appraisals” conducted for fair value evaluation is incorporated by reference to the paragraph in Part B - Consolidated balance sheet - Assets, Section 9 - Property, plant and equipment - Item 90 of the Notes to the consolidated accounts. Part C - Income statement - Section 10 - Other administrative expenses - Item 160 The paragraph “Contributions to Resolution and Guarantee Funds” and “Guarantee fees for DTA conversion” are incorporated by reference respectively to the paragraphs “Contributions to Resolution and Guarantee Funds” and “Guarantee fees for DTA conversion” of Part C - Consolidated income statement - Section 12 Administrative expenses - Item 190 of the Notes to consolidated accounts.  Incorporations of qualitative information by reference UniCredit · 2021 Annual Report and Accounts 827 Part C - Income statement - Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 The description of “Guarantee fees for DTA conversion” is incorporated by reference to the paragraph “Guarantee fees for DTA conversion” of Part C - Consolidated income statement - Section 12 Administrative expenses - Item 190 of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Introduction The paragraph “Introduction” is incorporated by reference to the paragraph “Introduction” of Part E - Information on risks and hedging policies of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Section 1 - Credit risk - Qualitative information Qualitative information relating to “1. General aspects”, “2. Credit risk management policies”, “3. Non-performing credit exposure”, “4. Commercial renegotiation of financial assets and forborne exposures” is partially incorporated by reference to the same paragraphs of Part E - Information on risks and hedging policies Section 2 - Risks of prudential perimeter - 2.1 Credit risk - Qualitative information of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Section 1 - Credit risk - Quantitative information Concerning the classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings in force for the UniCredit group reference is made to the paragraph of Part E - Information on risks and hedging policies - Section 2 - Risks of the prudential consolidated perimeter of the Notes to consolidated accounts. Quantitative information regarding the sales of financial assets to Investment Funds, receiving as consideration units issued by the same Funds in entirely incorporated by reference to Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter of the Notes to consolidated accounts. The paragraph “E.4 Covered bond transaction” is incorporated by reference to the paragraph “D.4 Covered bond transaction” Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information of Part E - Information on risks and hedging policies of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 2 - Market risk Qualitative information as introduction (“Risk management strategies and processes”, “Structure and organisation”, “Risk measurement and reporting systems”, “Hedging policies and risk mitigation”, “Internal model for price, interest rate and exchange rate risk of the Regulatory trading book”) is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Qualitative information of “2.1 Interest rate risk and price risk - Regulatory trading book”, “2.2 Interest rate and price risk - Banking book” and “2.3 Exchange rate risk” is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Quantitative information of paragraph “3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis” of Interest rate risk and price risk - Regulatory trading book and of “2. Internal models and other methodologies for sensitivity analysis” of Exchange rate risk is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market Risk of the Notes to consolidated accounts. Information on “Credit spread risk” and “Stress test” are incorporated by reference to the relevant paragraphs in Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 4 - Liquidity risks Qualitative information is incorporated by reference to qualitative information of paragraph of Part E Information on risks and hedging policies Section 2 - Risk of the prudential consolidated perimeter - 2.4 Liquidity risk of the Notes to consolidated accounts. Incorporations of qualitative information by reference UniCredit · 2021 Annual Report and Accounts 827 Part C - Income statement - Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 The description of “Guarantee fees for DTA conversion” is incorporated by reference to the paragraph “Guarantee fees for DTA conversion” of Part C - Consolidated income statement - Section 12 Administrative expenses - Item 190 of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Introduction The paragraph “Introduction” is incorporated by reference to the paragraph “Introduction” of Part E - Information on risks and hedging policies of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Section 1 - Credit risk - Qualitative information Qualitative information relating to “1. General aspects”, “2. Credit risk management policies”, “3. Non-performing credit exposure”, “4. Commercial renegotiation of financial assets and forborne exposures” is partially incorporated by reference to the same paragraphs of Part E - Information on risks and hedging policies Section 2 - Risks of prudential perimeter - 2.1 Credit risk - Qualitative information of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Section 1 - Credit risk - Quantitative information Concerning the classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings in force for the UniCredit group reference is made to the paragraph of Part E - Information on risks and hedging policies - Section 2 - Risks of the prudential consolidated perimeter of the Notes to consolidated accounts. Quantitative information regarding the sales of financial assets to Investment Funds, receiving as consideration units issued by the same Funds in entirely incorporated by reference to Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter of the Notes to consolidated accounts. The paragraph “E.4 Covered bond transaction” is incorporated by reference to the paragraph “D.4 Covered bond transaction” Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information of Part E - Information on risks and hedging policies of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 2 - Market risk Qualitative information as introduction (“Risk management strategies and processes”, “Structure and organisation”, “Risk measurement and reporting systems”, “Hedging policies and risk mitigation”, “Internal model for price, interest rate and exchange rate risk of the Regulatory trading book”) is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Qualitative information of “2.1 Interest rate risk and price risk - Regulatory trading book”, “2.2 Interest rate and price risk - Banking book” and “2.3 Exchange rate risk” is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Quantitative information of paragraph “3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis” of Interest rate risk and price risk - Regulatory trading book and of “2. Internal models and other methodologies for sensitivity analysis” of Exchange rate risk is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market Risk of the Notes to consolidated accounts. Information on “Credit spread risk” and “Stress test” are incorporated by reference to the relevant paragraphs in Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 4 - Liquidity risks Qualitative information is incorporated by reference to qualitative information of paragraph of Part E Information on risks and hedging policies Section 2 - Risk of the prudential consolidated perimeter - 2.4 Liquidity risk of the Notes to consolidated accounts. Incorporations of qualitative information by reference UniCredit · 2021 Annual Report and Accounts 827 Part C - Income statement - Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 The description of “Guarantee fees for DTA conversion” is incorporated by reference to the paragraph “Guarantee fees for DTA conversion” of Part C - Consolidated income statement - Section 12 Administrative expenses - Item 190 of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Introduction The paragraph “Introduction” is incorporated by reference to the paragraph “Introduction” of Part E - Information on risks and hedging policies of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Section 1 - Credit risk - Qualitative information Qualitative information relating to “1. General aspects”, “2. Credit risk management policies”, “3. Non-performing credit exposure”, “4. Commercial renegotiation of financial assets and forborne exposures” is partially incorporated by reference to the same paragraphs of Part E - Information on risks and hedging policies Section 2 - Risks of prudential perimeter - 2.1 Credit risk - Qualitative information of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Section 1 - Credit risk - Quantitative information Concerning the classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings in force for the UniCredit group reference is made to the paragraph of Part E - Information on risks and hedging policies - Section 2 - Risks of the prudential consolidated perimeter of the Notes to consolidated accounts. Quantitative information regarding the sales of financial assets to Investment Funds, receiving as consideration units issued by the same Funds in entirely incorporated by reference to Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter of the Notes to consolidated accounts. The paragraph “E.4 Covered bond transaction” is incorporated by reference to the paragraph “D.4 Covered bond transaction” Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information of Part E - Information on risks and hedging policies of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 2 - Market risk Qualitative information as introduction (“Risk management strategies and processes”, “Structure and organisation”, “Risk measurement and reporting systems”, “Hedging policies and risk mitigation”, “Internal model for price, interest rate and exchange rate risk of the Regulatory trading book”) is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Qualitative information of “2.1 Interest rate risk and price risk - Regulatory trading book”, “2.2 Interest rate and price risk - Banking book” and “2.3 Exchange rate risk” is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Quantitative information of paragraph “3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis” of Interest rate risk and price risk - Regulatory trading book and of “2. Internal models and other methodologies for sensitivity analysis” of Exchange rate risk is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market Risk of the Notes to consolidated accounts. Information on “Credit spread risk” and “Stress test” are incorporated by reference to the relevant paragraphs in Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 4 - Liquidity risks Qualitative information is incorporated by reference to qualitative information of paragraph of Part E Information on risks and hedging policies Section 2 - Risk of the prudential consolidated perimeter - 2.4 Liquidity risk of the Notes to consolidated accounts. Incorporations of qualitative information by reference UniCredit · 2021 Annual Report and Accounts 827 Part C - Income statement - Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 The description of “Guarantee fees for DTA conversion” is incorporated by reference to the paragraph “Guarantee fees for DTA conversion” of Part C - Consolidated income statement - Section 12 Administrative expenses - Item 190 of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Introduction The paragraph “Introduction” is incorporated by reference to the paragraph “Introduction” of Part E - Information on risks and hedging policies of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Section 1 - Credit risk - Qualitative information Qualitative information relating to “1. General aspects”, “2. Credit risk management policies”, “3. Non-performing credit exposure”, “4. Commercial renegotiation of financial assets and forborne exposures” is partially incorporated by reference to the same paragraphs of Part E - Information on risks and hedging policies Section 2 - Risks of prudential perimeter - 2.1 Credit risk - Qualitative information of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Section 1 - Credit risk - Quantitative information Concerning the classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings in force for the UniCredit group reference is made to the paragraph of Part E - Information on risks and hedging policies - Section 2 - Risks of the prudential consolidated perimeter of the Notes to consolidated accounts. Quantitative information regarding the sales of financial assets to Investment Funds, receiving as consideration units issued by the same Funds in entirely incorporated by reference to Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter of the Notes to consolidated accounts. The paragraph “E.4 Covered bond transaction” is incorporated by reference to the paragraph “D.4 Covered bond transaction” Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information of Part E - Information on risks and hedging policies of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 2 - Market risk Qualitative information as introduction (“Risk management strategies and processes”, “Structure and organisation”, “Risk measurement and reporting systems”, “Hedging policies and risk mitigation”, “Internal model for price, interest rate and exchange rate risk of the Regulatory trading book”) is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Qualitative information of “2.1 Interest rate risk and price risk - Regulatory trading book”, “2.2 Interest rate and price risk - Banking book” and “2.3 Exchange rate risk” is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Quantitative information of paragraph “3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis” of Interest rate risk and price risk - Regulatory trading book and of “2. Internal models and other methodologies for sensitivity analysis” of Exchange rate risk is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market Risk of the Notes to consolidated accounts. Information on “Credit spread risk” and “Stress test” are incorporated by reference to the relevant paragraphs in Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 4 - Liquidity risks Qualitative information is incorporated by reference to qualitative information of paragraph of Part E Information on risks and hedging policies Section 2 - Risk of the prudential consolidated perimeter - 2.4 Liquidity risk of the Notes to consolidated accounts. Incorporations of qualitative information by reference UniCredit · 2021 Annual Report and Accounts 827 Part C - Income statement - Section 19 - Tax expenses (income) for the period from continuing operations - Item 270 The description of “Guarantee fees for DTA conversion” is incorporated by reference to the paragraph “Guarantee fees for DTA conversion” of Part C - Consolidated income statement - Section 12 Administrative expenses - Item 190 of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Introduction The paragraph “Introduction” is incorporated by reference to the paragraph “Introduction” of Part E - Information on risks and hedging policies of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Section 1 - Credit risk - Qualitative information Qualitative information relating to “1. General aspects”, “2. Credit risk management policies”, “3. Non-performing credit exposure”, “4. Commercial renegotiation of financial assets and forborne exposures” is partially incorporated by reference to the same paragraphs of Part E - Information on risks and hedging policies Section 2 - Risks of prudential perimeter - 2.1 Credit risk - Qualitative information of the Notes to consolidated accounts. Part E - Information on risks and hedging policies - Section 1 - Credit risk - Quantitative information Concerning the classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings in force for the UniCredit group reference is made to the paragraph of Part E - Information on risks and hedging policies - Section 2 - Risks of the prudential consolidated perimeter of the Notes to consolidated accounts. Quantitative information regarding the sales of financial assets to Investment Funds, receiving as consideration units issued by the same Funds in entirely incorporated by reference to Part E - Information on risks and hedging policies, Section 2 - Risks of the prudential consolidated perimeter of the Notes to consolidated accounts. The paragraph “E.4 Covered bond transaction” is incorporated by reference to the paragraph “D.4 Covered bond transaction” Section 2 - Risks of the prudential consolidated perimeter, 2.1 Credit risk, Qualitative information of Part E - Information on risks and hedging policies of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 2 - Market risk Qualitative information as introduction (“Risk management strategies and processes”, “Structure and organisation”, “Risk measurement and reporting systems”, “Hedging policies and risk mitigation”, “Internal model for price, interest rate and exchange rate risk of the Regulatory trading book”) is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Qualitative information of “2.1 Interest rate risk and price risk - Regulatory trading book”, “2.2 Interest rate and price risk - Banking book” and “2.3 Exchange rate risk” is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Quantitative information of paragraph “3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis” of Interest rate risk and price risk - Regulatory trading book and of “2. Internal models and other methodologies for sensitivity analysis” of Exchange rate risk is incorporated by reference to qualitative information of paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market Risk of the Notes to consolidated accounts. Information on “Credit spread risk” and “Stress test” are incorporated by reference to the relevant paragraphs in Section 2 - Risk of the prudential consolidated perimeter, 2.2 Market risk of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 4 - Liquidity risks Qualitative information is incorporated by reference to qualitative information of paragraph of Part E Information on risks and hedging policies Section 2 - Risk of the prudential consolidated perimeter - 2.4 Liquidity risk of the Notes to consolidated accounts.  Incorporations of qualitative information by reference 828 2021 Annual Report and Accounts · UniCredit Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information The paragraph “A. General aspects, operational processes and methods for measuring operational risk” is incorporated by reference paragraph “A. General aspects, operational processes and methods for measuring operational risk” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “B. Risks arising from legal disputes” is incorporated by reference to paragraph “B. Risks arising from legal disputes” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “C. Risks arising from employment law cases” is incorporated by reference to paragraph “Risks arising from employment law cases” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “D. Risks arising from tax disputes is incorporated by reference to paragraph “D. Risks arising from tax disputes” Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 5 - Operational risk, Quantitative information Quantitative information is incorporated by reference to the relevant paragraph in Part E - Information on risks and hedging policies - Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risks of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 6 - Other risks Qualitative information of paragraphs “Other risks included in Economic capital”, “Reputational risk” and “Top and emerging risks” is incorporated by reference to qualitative information in different paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.6 Other risks of the Notes to consolidated accounts. Part F - Shareholders’ equity The paragraph “A. Qualitative information” is incorporated by reference to paragraph “A. Qualitative information” of Part F - Consolidated shareholders’ equity of the Notes to consolidated accounts. Part F - Shareholders’ equity The paragraph “Section 2 - Own funds and banking regulatory ratios” is incorporated by reference to section the own funds disclosure and capital adequacy reported into the UniCredit group disclosure (Pillar III). Part H - Related-party transactions The paragraph “Introduction” and the qualitative information of paragraph “2. Related-party transactions” are incorporated by reference to paragraphs “Introduction” and “2. Related-party transactions” of Part H - Related-party transactions of the Notes to consolidated accounts. Part I - Share-based payments The paragraph “A. Qualitative information” and paragraph “B. Quantitative information -1. Annual changes” are incorporated by reference to paragraphs “A. Qualitative information” and “1 B. Quantitative information -1. Annual changes” of Part I - Shared base payments of the Notes to consolidated accounts. Annex 4 - Securitisations - qualitative tables Information is incorporated by reference to information in Annex 3 - Securitisations - qualitative tables of the consolidated financial statements. Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables Information is incorporated by reference to information in Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables of the consolidated financial statements. Incorporations of qualitative information by reference 828 2021 Annual Report and Accounts · UniCredit Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information The paragraph “A. General aspects, operational processes and methods for measuring operational risk” is incorporated by reference paragraph “A. General aspects, operational processes and methods for measuring operational risk” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “B. Risks arising from legal disputes” is incorporated by reference to paragraph “B. Risks arising from legal disputes” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “C. Risks arising from employment law cases” is incorporated by reference to paragraph “Risks arising from employment law cases” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “D. Risks arising from tax disputes is incorporated by reference to paragraph “D. Risks arising from tax disputes” Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 5 - Operational risk, Quantitative information Quantitative information is incorporated by reference to the relevant paragraph in Part E - Information on risks and hedging policies - Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risks of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 6 - Other risks Qualitative information of paragraphs “Other risks included in Economic capital”, “Reputational risk” and “Top and emerging risks” is incorporated by reference to qualitative information in different paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.6 Other risks of the Notes to consolidated accounts. Part F - Shareholders’ equity The paragraph “A. Qualitative information” is incorporated by reference to paragraph “A. Qualitative information” of Part F - Consolidated shareholders’ equity of the Notes to consolidated accounts. Part F - Shareholders’ equity The paragraph “Section 2 - Own funds and banking regulatory ratios” is incorporated by reference to section the own funds disclosure and capital adequacy reported into the UniCredit group disclosure (Pillar III). Part H - Related-party transactions The paragraph “Introduction” and the qualitative information of paragraph “2. Related-party transactions” are incorporated by reference to paragraphs “Introduction” and “2. Related-party transactions” of Part H - Related-party transactions of the Notes to consolidated accounts. Part I - Share-based payments The paragraph “A. Qualitative information” and paragraph “B. Quantitative information -1. Annual changes” are incorporated by reference to paragraphs “A. Qualitative information” and “1 B. Quantitative information -1. Annual changes” of Part I - Shared base payments of the Notes to consolidated accounts. Annex 4 - Securitisations - qualitative tables Information is incorporated by reference to information in Annex 3 - Securitisations - qualitative tables of the consolidated financial statements. Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables Information is incorporated by reference to information in Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables of the consolidated financial statements. Incorporations of qualitative information by reference 828 2021 Annual Report and Accounts · UniCredit Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information The paragraph “A. General aspects, operational processes and methods for measuring operational risk” is incorporated by reference paragraph “A. General aspects, operational processes and methods for measuring operational risk” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “B. Risks arising from legal disputes” is incorporated by reference to paragraph “B. Risks arising from legal disputes” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “C. Risks arising from employment law cases” is incorporated by reference to paragraph “Risks arising from employment law cases” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “D. Risks arising from tax disputes is incorporated by reference to paragraph “D. Risks arising from tax disputes” Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 5 - Operational risk, Quantitative information Quantitative information is incorporated by reference to the relevant paragraph in Part E - Information on risks and hedging policies - Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risks of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 6 - Other risks Qualitative information of paragraphs “Other risks included in Economic capital”, “Reputational risk” and “Top and emerging risks” is incorporated by reference to qualitative information in different paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.6 Other risks of the Notes to consolidated accounts. Part F - Shareholders’ equity The paragraph “A. Qualitative information” is incorporated by reference to paragraph “A. Qualitative information” of Part F - Consolidated shareholders’ equity of the Notes to consolidated accounts. Part F - Shareholders’ equity The paragraph “Section 2 - Own funds and banking regulatory ratios” is incorporated by reference to section the own funds disclosure and capital adequacy reported into the UniCredit group disclosure (Pillar III). Part H - Related-party transactions The paragraph “Introduction” and the qualitative information of paragraph “2. Related-party transactions” are incorporated by reference to paragraphs “Introduction” and “2. Related-party transactions” of Part H - Related-party transactions of the Notes to consolidated accounts. Part I - Share-based payments The paragraph “A. Qualitative information” and paragraph “B. Quantitative information -1. Annual changes” are incorporated by reference to paragraphs “A. Qualitative information” and “1 B. Quantitative information -1. Annual changes” of Part I - Shared base payments of the Notes to consolidated accounts. Annex 4 - Securitisations - qualitative tables Information is incorporated by reference to information in Annex 3 - Securitisations - qualitative tables of the consolidated financial statements. Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables Information is incorporated by reference to information in Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables of the consolidated financial statements. Incorporations of qualitative information by reference 828 2021 Annual Report and Accounts · UniCredit Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information The paragraph “A. General aspects, operational processes and methods for measuring operational risk” is incorporated by reference paragraph “A. General aspects, operational processes and methods for measuring operational risk” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “B. Risks arising from legal disputes” is incorporated by reference to paragraph “B. Risks arising from legal disputes” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “C. Risks arising from employment law cases” is incorporated by reference to paragraph “Risks arising from employment law cases” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “D. Risks arising from tax disputes is incorporated by reference to paragraph “D. Risks arising from tax disputes” Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 5 - Operational risk, Quantitative information Quantitative information is incorporated by reference to the relevant paragraph in Part E - Information on risks and hedging policies - Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risks of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 6 - Other risks Qualitative information of paragraphs “Other risks included in Economic capital”, “Reputational risk” and “Top and emerging risks” is incorporated by reference to qualitative information in different paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.6 Other risks of the Notes to consolidated accounts. Part F - Shareholders’ equity The paragraph “A. Qualitative information” is incorporated by reference to paragraph “A. Qualitative information” of Part F - Consolidated shareholders’ equity of the Notes to consolidated accounts. Part F - Shareholders’ equity The paragraph “Section 2 - Own funds and banking regulatory ratios” is incorporated by reference to section the own funds disclosure and capital adequacy reported into the UniCredit group disclosure (Pillar III). Part H - Related-party transactions The paragraph “Introduction” and the qualitative information of paragraph “2. Related-party transactions” are incorporated by reference to paragraphs “Introduction” and “2. Related-party transactions” of Part H - Related-party transactions of the Notes to consolidated accounts. Part I - Share-based payments The paragraph “A. Qualitative information” and paragraph “B. Quantitative information -1. Annual changes” are incorporated by reference to paragraphs “A. Qualitative information” and “1 B. Quantitative information -1. Annual changes” of Part I - Shared base payments of the Notes to consolidated accounts. Annex 4 - Securitisations - qualitative tables Information is incorporated by reference to information in Annex 3 - Securitisations - qualitative tables of the consolidated financial statements. Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables Information is incorporated by reference to information in Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables of the consolidated financial statements. Incorporations of qualitative information by reference 828 2021 Annual Report and Accounts · UniCredit Part E - Information on risks and hedging policies, Section 5 - Operational risk, Qualitative information The paragraph “A. General aspects, operational processes and methods for measuring operational risk” is incorporated by reference paragraph “A. General aspects, operational processes and methods for measuring operational risk” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “B. Risks arising from legal disputes” is incorporated by reference to paragraph “B. Risks arising from legal disputes” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “C. Risks arising from employment law cases” is incorporated by reference to paragraph “Risks arising from employment law cases” of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. The paragraph “D. Risks arising from tax disputes is incorporated by reference to paragraph “D. Risks arising from tax disputes” Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.5 Operational risks of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 5 - Operational risk, Quantitative information Quantitative information is incorporated by reference to the relevant paragraph in Part E - Information on risks and hedging policies - Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risks of the Notes to consolidated accounts. Part E - Information on risks and hedging policies, Section 6 - Other risks Qualitative information of paragraphs “Other risks included in Economic capital”, “Reputational risk” and “Top and emerging risks” is incorporated by reference to qualitative information in different paragraph of Part E - Information on risks and hedging policies, Section 2 - Risk of the prudential consolidated perimeter, 2.6 Other risks of the Notes to consolidated accounts. Part F - Shareholders’ equity The paragraph “A. Qualitative information” is incorporated by reference to paragraph “A. Qualitative information” of Part F - Consolidated shareholders’ equity of the Notes to consolidated accounts. Part F - Shareholders’ equity The paragraph “Section 2 - Own funds and banking regulatory ratios” is incorporated by reference to section the own funds disclosure and capital adequacy reported into the UniCredit group disclosure (Pillar III). Part H - Related-party transactions The paragraph “Introduction” and the qualitative information of paragraph “2. Related-party transactions” are incorporated by reference to paragraphs “Introduction” and “2. Related-party transactions” of Part H - Related-party transactions of the Notes to consolidated accounts. Part I - Share-based payments The paragraph “A. Qualitative information” and paragraph “B. Quantitative information -1. Annual changes” are incorporated by reference to paragraphs “A. Qualitative information” and “1 B. Quantitative information -1. Annual changes” of Part I - Shared base payments of the Notes to consolidated accounts. Annex 4 - Securitisations - qualitative tables Information is incorporated by reference to information in Annex 3 - Securitisations - qualitative tables of the consolidated financial statements. Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables Information is incorporated by reference to information in Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables of the consolidated financial statements.  UniCredit · 2021 Annual Report and Accounts 829 UniCredit · 2021 Annual Report and Accounts 829 UniCredit · 2021 Annual Report and Accounts 829 UniCredit · 2021 Annual Report and Accounts 829 UniCredit · 2021 Annual Report and Accounts 829  830 2021 Annual Report and Accounts · UniCredit 830 2021 Annual Report and Accounts · UniCredit 830 2021 Annual Report and Accounts · UniCredit 830 2021 Annual Report and Accounts · UniCredit 830 2021 Annual Report and Accounts · UniCredit  Glossary UniCredit · 2021 Annual Report and Accounts 831 ITEM DESCRIPTION ABB Accelerated Bookbuild Glossary An accelerated bookbuild is a form of offering in the equity capital markets of material stake of a company’s share to institutional investors. ABCP Conduits - Asset Backed Commercial Paper Conduits Asset Backed Commercial Paper Conduits are a type of “SPV - Special Purpose Vehicle” (see item) set up to securitise various types of assets and financed by Commercial Paper (see item). Commercial Paper generally matures in 270 days, with payment of principal and interest depending on the cash flow generated by the underlying assets. ABCP Conduits may be single-sellers or multi-sellers according to the number of issues they make. Conduits generally require several SPVs. The first-level vehicles issue the Commercial Paper and finance one or more second-level vehicles or Purchase Companies (see item) which purchase the assets to be securitised. An ABCP Conduit will have the following: • issues of short-term paper creating a maturity mismatch between the assets held and the paper issued; • liquidity lines covering the maturity mismatch; and • security covering default risk in respect of both specific assets and the entire programme. ABS - Asset Backed Securities Debt securities, generally issued by an “SPV - Special Purpose Vehicle” (see item) guaranteed by assets of various types such as mortgage loans, consumer credits, credit card receivables, etc. Principal and interest payments are subject to the performance of the securitised assets and the existence of any further security guaranteeing the bond. ABSs are divided into tranches (senior, mezzanine and junior) according to the priority with which principal and interest will be paid. AC Financial asset amortised at cost. Acquisition finance Finance for business acquisition operations. The most common form of Acquisition finance is the leveraged buy-out (see Leveraged finance). Affluent Banking customer segment whose available assets for investment are regarded as moderate to high. Allocated capital It represents the amount of capital absorbed by the Group and the Divisions to perform their business activities and to cover all the types of related risks. It is measured by Regulatory Capital obtained by multiplying risk-weighted assets by target Common Equity tier 1 ratio, plus certain regulatory deductions (e.g. shortfall, securitisations, equity exposures). If calculated as actual figure it can be also titled Capital. ALM - Asset & Liability Management Integrated management of assets and liabilities, designed to allocate resources in such a manner as to optimise the risk/return ratio. AMA - Advanced Measurement Approach Applying this methodology the operational risk requirement is obtained with calculation models based on operational loss data and other evaluation elements collected and processed by the bank. Admittance threshold and specific suitability requirements have been provided for the use of the standardised and advanced approaches. For the AMA approach the requirements concern, beside the management system, also the measurement system. Asset management Activities of management of the financial investments of third parties. Audit Process of controlling a company's activities and accounting, carried out either by an internal body (internal audit) or by an external firm of auditors (external audit). Back-testing Statistical technique which entails the comparison of model estimates of risk parameters with the ex-post empirical evidences. Bad Loans Exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank (i.e. irrespective of whether any, secured or personal, guarantees covering the exposures). Bank Levy Charges applied at national level specifically to financial institutions, mainly based on balance sheet figures, or parts of it. Banking Book Portfolio that identifies the technical forms of lending and funding typical of the core business of the bank, including consumer and residential loans, investments in securities, deposits, etc. Basel 2 New international capital agreement redefining the guidelines for determining the minimum capital requirements for banks. Such prudential regulation, which came into force in Italy in 2008, is based on three pillars. Pillar 1 While the objective of a level of capitalization equivalent to 8% of the risk-weighted exposures remains unchanged, a new set of rules has been defined for measuring the typical risks associated with banking and financial activities (credit risk, counterparty risk, market risk and operational risk) which provides for alternative calculation methods characterised by different levels of complexity, with the ability to use internally developed models subject to prior authorization by the Regulatory Authority; Pillar 2 This requires the banks to have processes and tools for determining the adequate level of total internal capital (Internal Capital Adequacy Assessment Process - ICAAP) for covering all types of risk, including risks other than those covered by the overall capital requirement (Pillar 1), within the framework of an evaluation of current and future exposure that takes account of strategies and of changes in the reference context. It is the Regulatory Authority's task to examine the ICAAP process, formulate an overall judgment and, where necessary, apply the appropriate corrective measures; Pillar 3 It refers to the obligations to publish information concerning capital adequacy, exposure to risks, and the general characteristics of the systems used for identifying, measuring and managing those risks. Glossary UniCredit · 2021 Annual Report and Accounts 831 ITEM DESCRIPTION ABB Accelerated Bookbuild Glossary An accelerated bookbuild is a form of offering in the equity capital markets of material stake of a company’s share to institutional investors. ABCP Conduits - Asset Backed Commercial Paper Conduits Asset Backed Commercial Paper Conduits are a type of “SPV - Special Purpose Vehicle” (see item) set up to securitise various types of assets and financed by Commercial Paper (see item). Commercial Paper generally matures in 270 days, with payment of principal and interest depending on the cash flow generated by the underlying assets. ABCP Conduits may be single-sellers or multi-sellers according to the number of issues they make. Conduits generally require several SPVs. The first-level vehicles issue the Commercial Paper and finance one or more second-level vehicles or Purchase Companies (see item) which purchase the assets to be securitised. An ABCP Conduit will have the following: • issues of short-term paper creating a maturity mismatch between the assets held and the paper issued; • liquidity lines covering the maturity mismatch; and • security covering default risk in respect of both specific assets and the entire programme. ABS - Asset Backed Securities Debt securities, generally issued by an “SPV - Special Purpose Vehicle” (see item) guaranteed by assets of various types such as mortgage loans, consumer credits, credit card receivables, etc. Principal and interest payments are subject to the performance of the securitised assets and the existence of any further security guaranteeing the bond. ABSs are divided into tranches (senior, mezzanine and junior) according to the priority with which principal and interest will be paid. AC Financial asset amortised at cost. Acquisition finance Finance for business acquisition operations. The most common form of Acquisition finance is the leveraged buy-out (see Leveraged finance). Affluent Banking customer segment whose available assets for investment are regarded as moderate to high. Allocated capital It represents the amount of capital absorbed by the Group and the Divisions to perform their business activities and to cover all the types of related risks. It is measured by Regulatory Capital obtained by multiplying risk-weighted assets by target Common Equity tier 1 ratio, plus certain regulatory deductions (e.g. shortfall, securitisations, equity exposures). If calculated as actual figure it can be also titled Capital. ALM - Asset & Liability Management Integrated management of assets and liabilities, designed to allocate resources in such a manner as to optimise the risk/return ratio. AMA - Advanced Measurement Approach Applying this methodology the operational risk requirement is obtained with calculation models based on operational loss data and other evaluation elements collected and processed by the bank. Admittance threshold and specific suitability requirements have been provided for the use of the standardised and advanced approaches. For the AMA approach the requirements concern, beside the management system, also the measurement system. Asset management Activities of management of the financial investments of third parties. Audit Process of controlling a company's activities and accounting, carried out either by an internal body (internal audit) or by an external firm of auditors (external audit). Back-testing Statistical technique which entails the comparison of model estimates of risk parameters with the ex-post empirical evidences. Bad Loans Exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank (i.e. irrespective of whether any, secured or personal, guarantees covering the exposures). Bank Levy Charges applied at national level specifically to financial institutions, mainly based on balance sheet figures, or parts of it. Banking Book Portfolio that identifies the technical forms of lending and funding typical of the core business of the bank, including consumer and residential loans, investments in securities, deposits, etc. Basel 2 New international capital agreement redefining the guidelines for determining the minimum capital requirements for banks. Such prudential regulation, which came into force in Italy in 2008, is based on three pillars. Pillar 1 While the objective of a level of capitalization equivalent to 8% of the risk-weighted exposures remains unchanged, a new set of rules has been defined for measuring the typical risks associated with banking and financial activities (credit risk, counterparty risk, market risk and operational risk) which provides for alternative calculation methods characterised by different levels of complexity, with the ability to use internally developed models subject to prior authorization by the Regulatory Authority; Pillar 2 This requires the banks to have processes and tools for determining the adequate level of total internal capital (Internal Capital Adequacy Assessment Process - ICAAP) for covering all types of risk, including risks other than those covered by the overall capital requirement (Pillar 1), within the framework of an evaluation of current and future exposure that takes account of strategies and of changes in the reference context. It is the Regulatory Authority's task to examine the ICAAP process, formulate an overall judgment and, where necessary, apply the appropriate corrective measures; Pillar 3 It refers to the obligations to publish information concerning capital adequacy, exposure to risks, and the general characteristics of the systems used for identifying, measuring and managing those risks. Glossary UniCredit · 2021 Annual Report and Accounts 831 ITEM DESCRIPTION ABB Accelerated Bookbuild Glossary An accelerated bookbuild is a form of offering in the equity capital markets of material stake of a company’s share to institutional investors. ABCP Conduits - Asset Backed Commercial Paper Conduits Asset Backed Commercial Paper Conduits are a type of “SPV - Special Purpose Vehicle” (see item) set up to securitise various types of assets and financed by Commercial Paper (see item). Commercial Paper generally matures in 270 days, with payment of principal and interest depending on the cash flow generated by the underlying assets. ABCP Conduits may be single-sellers or multi-sellers according to the number of issues they make. Conduits generally require several SPVs. The first-level vehicles issue the Commercial Paper and finance one or more second-level vehicles or Purchase Companies (see item) which purchase the assets to be securitised. An ABCP Conduit will have the following: • issues of short-term paper creating a maturity mismatch between the assets held and the paper issued; • liquidity lines covering the maturity mismatch; and • security covering default risk in respect of both specific assets and the entire programme. ABS - Asset Backed Securities Debt securities, generally issued by an “SPV - Special Purpose Vehicle” (see item) guaranteed by assets of various types such as mortgage loans, consumer credits, credit card receivables, etc. Principal and interest payments are subject to the performance of the securitised assets and the existence of any further security guaranteeing the bond. ABSs are divided into tranches (senior, mezzanine and junior) according to the priority with which principal and interest will be paid. AC Financial asset amortised at cost. Acquisition finance Finance for business acquisition operations. The most common form of Acquisition finance is the leveraged buy-out (see Leveraged finance). Affluent Banking customer segment whose available assets for investment are regarded as moderate to high. Allocated capital It represents the amount of capital absorbed by the Group and the Divisions to perform their business activities and to cover all the types of related risks. It is measured by Regulatory Capital obtained by multiplying risk-weighted assets by target Common Equity tier 1 ratio, plus certain regulatory deductions (e.g. shortfall, securitisations, equity exposures). If calculated as actual figure it can be also titled Capital. ALM - Asset & Liability Management Integrated management of assets and liabilities, designed to allocate resources in such a manner as to optimise the risk/return ratio. AMA - Advanced Measurement Approach Applying this methodology the operational risk requirement is obtained with calculation models based on operational loss data and other evaluation elements collected and processed by the bank. Admittance threshold and specific suitability requirements have been provided for the use of the standardised and advanced approaches. For the AMA approach the requirements concern, beside the management system, also the measurement system. Asset management Activities of management of the financial investments of third parties. Audit Process of controlling a company's activities and accounting, carried out either by an internal body (internal audit) or by an external firm of auditors (external audit). Back-testing Statistical technique which entails the comparison of model estimates of risk parameters with the ex-post empirical evidences. Bad Loans Exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank (i.e. irrespective of whether any, secured or personal, guarantees covering the exposures). Bank Levy Charges applied at national level specifically to financial institutions, mainly based on balance sheet figures, or parts of it. Banking Book Portfolio that identifies the technical forms of lending and funding typical of the core business of the bank, including consumer and residential loans, investments in securities, deposits, etc. Basel 2 New international capital agreement redefining the guidelines for determining the minimum capital requirements for banks. Such prudential regulation, which came into force in Italy in 2008, is based on three pillars. Pillar 1 While the objective of a level of capitalization equivalent to 8% of the risk-weighted exposures remains unchanged, a new set of rules has been defined for measuring the typical risks associated with banking and financial activities (credit risk, counterparty risk, market risk and operational risk) which provides for alternative calculation methods characterised by different levels of complexity, with the ability to use internally developed models subject to prior authorization by the Regulatory Authority; Pillar 2 This requires the banks to have processes and tools for determining the adequate level of total internal capital (Internal Capital Adequacy Assessment Process - ICAAP) for covering all types of risk, including risks other than those covered by the overall capital requirement (Pillar 1), within the framework of an evaluation of current and future exposure that takes account of strategies and of changes in the reference context. It is the Regulatory Authority's task to examine the ICAAP process, formulate an overall judgment and, where necessary, apply the appropriate corrective measures; Pillar 3 It refers to the obligations to publish information concerning capital adequacy, exposure to risks, and the general characteristics of the systems used for identifying, measuring and managing those risks. Glossary UniCredit · 2021 Annual Report and Accounts 831 ITEM DESCRIPTION ABB Accelerated Bookbuild Glossary An accelerated bookbuild is a form of offering in the equity capital markets of material stake of a company’s share to institutional investors. ABCP Conduits - Asset Backed Commercial Paper Conduits Asset Backed Commercial Paper Conduits are a type of “SPV - Special Purpose Vehicle” (see item) set up to securitise various types of assets and financed by Commercial Paper (see item). Commercial Paper generally matures in 270 days, with payment of principal and interest depending on the cash flow generated by the underlying assets. ABCP Conduits may be single-sellers or multi-sellers according to the number of issues they make. Conduits generally require several SPVs. The first-level vehicles issue the Commercial Paper and finance one or more second-level vehicles or Purchase Companies (see item) which purchase the assets to be securitised. An ABCP Conduit will have the following: • issues of short-term paper creating a maturity mismatch between the assets held and the paper issued; • liquidity lines covering the maturity mismatch; and • security covering default risk in respect of both specific assets and the entire programme. ABS - Asset Backed Securities Debt securities, generally issued by an “SPV - Special Purpose Vehicle” (see item) guaranteed by assets of various types such as mortgage loans, consumer credits, credit card receivables, etc. Principal and interest payments are subject to the performance of the securitised assets and the existence of any further security guaranteeing the bond. ABSs are divided into tranches (senior, mezzanine and junior) according to the priority with which principal and interest will be paid. AC Financial asset amortised at cost. Acquisition finance Finance for business acquisition operations. The most common form of Acquisition finance is the leveraged buy-out (see Leveraged finance). Affluent Banking customer segment whose available assets for investment are regarded as moderate to high. Allocated capital It represents the amount of capital absorbed by the Group and the Divisions to perform their business activities and to cover all the types of related risks. It is measured by Regulatory Capital obtained by multiplying risk-weighted assets by target Common Equity tier 1 ratio, plus certain regulatory deductions (e.g. shortfall, securitisations, equity exposures). If calculated as actual figure it can be also titled Capital. ALM - Asset & Liability Management Integrated management of assets and liabilities, designed to allocate resources in such a manner as to optimise the risk/return ratio. AMA - Advanced Measurement Approach Applying this methodology the operational risk requirement is obtained with calculation models based on operational loss data and other evaluation elements collected and processed by the bank. Admittance threshold and specific suitability requirements have been provided for the use of the standardised and advanced approaches. For the AMA approach the requirements concern, beside the management system, also the measurement system. Asset management Activities of management of the financial investments of third parties. Audit Process of controlling a company's activities and accounting, carried out either by an internal body (internal audit) or by an external firm of auditors (external audit). Back-testing Statistical technique which entails the comparison of model estimates of risk parameters with the ex-post empirical evidences. Bad Loans Exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank (i.e. irrespective of whether any, secured or personal, guarantees covering the exposures). Bank Levy Charges applied at national level specifically to financial institutions, mainly based on balance sheet figures, or parts of it. Banking Book Portfolio that identifies the technical forms of lending and funding typical of the core business of the bank, including consumer and residential loans, investments in securities, deposits, etc. Basel 2 New international capital agreement redefining the guidelines for determining the minimum capital requirements for banks. Such prudential regulation, which came into force in Italy in 2008, is based on three pillars. Pillar 1 While the objective of a level of capitalization equivalent to 8% of the risk-weighted exposures remains unchanged, a new set of rules has been defined for measuring the typical risks associated with banking and financial activities (credit risk, counterparty risk, market risk and operational risk) which provides for alternative calculation methods characterised by different levels of complexity, with the ability to use internally developed models subject to prior authorization by the Regulatory Authority; Pillar 2 This requires the banks to have processes and tools for determining the adequate level of total internal capital (Internal Capital Adequacy Assessment Process - ICAAP) for covering all types of risk, including risks other than those covered by the overall capital requirement (Pillar 1), within the framework of an evaluation of current and future exposure that takes account of strategies and of changes in the reference context. It is the Regulatory Authority's task to examine the ICAAP process, formulate an overall judgment and, where necessary, apply the appropriate corrective measures; Pillar 3 It refers to the obligations to publish information concerning capital adequacy, exposure to risks, and the general characteristics of the systems used for identifying, measuring and managing those risks. Glossary UniCredit · 2021 Annual Report and Accounts 831 ITEM DESCRIPTION ABB Accelerated Bookbuild Glossary An accelerated bookbuild is a form of offering in the equity capital markets of material stake of a company’s share to institutional investors. ABCP Conduits - Asset Backed Commercial Paper Conduits Asset Backed Commercial Paper Conduits are a type of “SPV - Special Purpose Vehicle” (see item) set up to securitise various types of assets and financed by Commercial Paper (see item). Commercial Paper generally matures in 270 days, with payment of principal and interest depending on the cash flow generated by the underlying assets. ABCP Conduits may be single-sellers or multi-sellers according to the number of issues they make. Conduits generally require several SPVs. The first-level vehicles issue the Commercial Paper and finance one or more second-level vehicles or Purchase Companies (see item) which purchase the assets to be securitised. An ABCP Conduit will have the following: • issues of short-term paper creating a maturity mismatch between the assets held and the paper issued; • liquidity lines covering the maturity mismatch; and • security covering default risk in respect of both specific assets and the entire programme. ABS - Asset Backed Securities Debt securities, generally issued by an “SPV - Special Purpose Vehicle” (see item) guaranteed by assets of various types such as mortgage loans, consumer credits, credit card receivables, etc. Principal and interest payments are subject to the performance of the securitised assets and the existence of any further security guaranteeing the bond. ABSs are divided into tranches (senior, mezzanine and junior) according to the priority with which principal and interest will be paid. AC Financial asset amortised at cost. Acquisition finance Finance for business acquisition operations. The most common form of Acquisition finance is the leveraged buy-out (see Leveraged finance). Affluent Banking customer segment whose available assets for investment are regarded as moderate to high. Allocated capital It represents the amount of capital absorbed by the Group and the Divisions to perform their business activities and to cover all the types of related risks. It is measured by Regulatory Capital obtained by multiplying risk-weighted assets by target Common Equity tier 1 ratio, plus certain regulatory deductions (e.g. shortfall, securitisations, equity exposures). If calculated as actual figure it can be also titled Capital. ALM - Asset & Liability Management Integrated management of assets and liabilities, designed to allocate resources in such a manner as to optimise the risk/return ratio. AMA - Advanced Measurement Approach Applying this methodology the operational risk requirement is obtained with calculation models based on operational loss data and other evaluation elements collected and processed by the bank. Admittance threshold and specific suitability requirements have been provided for the use of the standardised and advanced approaches. For the AMA approach the requirements concern, beside the management system, also the measurement system. Asset management Activities of management of the financial investments of third parties. Audit Process of controlling a company's activities and accounting, carried out either by an internal body (internal audit) or by an external firm of auditors (external audit). Back-testing Statistical technique which entails the comparison of model estimates of risk parameters with the ex-post empirical evidences. Bad Loans Exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any loss forecasts made by the bank (i.e. irrespective of whether any, secured or personal, guarantees covering the exposures). Bank Levy Charges applied at national level specifically to financial institutions, mainly based on balance sheet figures, or parts of it. Banking Book Portfolio that identifies the technical forms of lending and funding typical of the core business of the bank, including consumer and residential loans, investments in securities, deposits, etc. Basel 2 New international capital agreement redefining the guidelines for determining the minimum capital requirements for banks. Such prudential regulation, which came into force in Italy in 2008, is based on three pillars. Pillar 1 While the objective of a level of capitalization equivalent to 8% of the risk-weighted exposures remains unchanged, a new set of rules has been defined for measuring the typical risks associated with banking and financial activities (credit risk, counterparty risk, market risk and operational risk) which provides for alternative calculation methods characterised by different levels of complexity, with the ability to use internally developed models subject to prior authorization by the Regulatory Authority; Pillar 2 This requires the banks to have processes and tools for determining the adequate level of total internal capital (Internal Capital Adequacy Assessment Process - ICAAP) for covering all types of risk, including risks other than those covered by the overall capital requirement (Pillar 1), within the framework of an evaluation of current and future exposure that takes account of strategies and of changes in the reference context. It is the Regulatory Authority's task to examine the ICAAP process, formulate an overall judgment and, where necessary, apply the appropriate corrective measures; Pillar 3 It refers to the obligations to publish information concerning capital adequacy, exposure to risks, and the general characteristics of the systems used for identifying, measuring and managing those risks.  Glossary 832 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Basel 3 As a consequence of the crisis that, since 2008 has hit the financial markets, the Basel Committee on Banking Supervision has approved the substantial enhancement of the minimum capital requirements and the changes to the rules on the liquidity of banks (Basel 3) by providing for the gradual introduction of the new prudential requirements as at 1 January 2014. These rules have been implemented at the European level through the CRD IV “Package”. Best practice Behaviour commensurated with the most significant experience and/or the best level of knowledge achieved in relation to a given technical or professional field. BRRD -Bank Recovery and Resolution Directive European Directive that introduced harmonised roules on the recovery and resolution of credit institutions and investment firms. CBO - Collateralised Bond Obligations CDO - Collateralised Debt Obligations (see item) with bonds as underlyings. CDO - Collateralised Debt Obligations Bonds issued by a vehicle with loans, bonds, ABS - Asset Backed Securities (see item) or other CDOs as underlyings. CDOs make it possible to derecognise assets in the bank’s balance sheet and also to arbitrage the differences in yield between the securitised assets and the bonds issued by the vehicle. CDOs may be funded if the vehicle legally acquires title to the assets or unfunded if the vehicle acquires the underlying risk by means of a CDS - Credit Default Swap (see item) or similar security. These bonds may be further subdivided as follows: •CDOs of ABSs, which in turn have tranches of ABSs as underlyings; •Commercial Real Estate CDOs (CRE CDOs), with commercial property loans as underlyings; •Balance sheet CDOs which enable the Originator (see item), usually a bank, to transfer its credit risk to third investors, and, where possible under local law and supervisory regulations, to derecognise the assets from its balance sheet; •Market Value CDOs whereby payments of interest and principal are made not only out of cash flow from the underlying assets, but also by trading the instruments. The performance of the notes issued by the vehicle thus depends not only on the credit risk, but also on the market value of the underlyings; •Preferred Stock CDOs with hybrid debt/equity instruments or Preference shares (see item) issued by financial institutions; •Synthetic Arbitrage CDOs which arbitrage the differences in yield between the securitised assets acquired synthetically by means of derivatives and the bonds issued by the vehicle. CDS - Credit Default Swap A derivative in which a seller of protection engages, for a fee, to pay the buyer of protection a fixed amount should a certain event indicating a deterioration of the creditworthiness of a reference entity occur. CGU - Cash Generating Unit A cash-generating unit is the smallest identifiable group of assets that generates cash inflows that are largely independent of the cash inflows from other assets or groups of assets. CIU - Collective Investment Undertakings Collective Investment Undertaking means an UCITS “Undertakings for Collective Investments in Transferable Securities” that may be constituted in accordance with contract law (as common funds managed by management companies), trust law (as unit trusts), or statute (as investment companies), an AIF (Alternative Investments Fund) or a non-EU AIF. Commodity risk The risk that the value of the instrument decreases due to commodity prices (e.g. gold, crude oil) changes. Common Equity Tier 1 Capital Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Common Equity Tier 1 Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Corporate Customer segment consisting of medium to large businesses. Cost of risk The annualised ratio between loan loss provisions and average net volumes of loans and receivables with customers. It is one of the indicators of the bank assets’ level of risk: the lower the ratio, the less risky the bank assets. Cost/Income Ratio The ratio between operating expenses and operating income. It is one of the main key performance indicators of the bank’s efficiency: the lower the ratio, the more efficient the bank. Counterparty Credit Risk The risk that the counterparty to a transaction involving financial instruments might default prior to completing all agreed cash-flows exchanges. Covered bond A bond which, as well as being guaranteed by the issuing bank, may also be covered by a portfolio of mortgages or other high-quality loans transferred, to this end, to a suitable SPV - Special Purpose Vehicle (see item). CRD - Capital Requirement Directive Directives (EU) 2006/48 and 2006/49, incorporated into Banca d’Italia Circular No.263/2006 of 27 December 2006 as amended. The CRDIV “Package” has replaced the two aforementioned Directives and consists of the Directive (EU) 2013/36 on the taking up of the business of credit institutions and prudential supervision and the Regulation (EU) 575/2013 on prudential requirements, incorporated into Banca d’Italia Circular No.285 of 17 December 2013 as amended. CRD V Amendment to the CRD IV “Package”. Credit Quality Step (or creditworthiness) Step, based on external ratings, used to assign risk weights under credit risk Standardised Approach. Glossary 832 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Basel 3 As a consequence of the crisis that, since 2008 has hit the financial markets, the Basel Committee on Banking Supervision has approved the substantial enhancement of the minimum capital requirements and the changes to the rules on the liquidity of banks (Basel 3) by providing for the gradual introduction of the new prudential requirements as at 1 January 2014. These rules have been implemented at the European level through the CRD IV “Package”. Best practice Behaviour commensurated with the most significant experience and/or the best level of knowledge achieved in relation to a given technical or professional field. BRRD -Bank Recovery and Resolution Directive European Directive that introduced harmonised roules on the recovery and resolution of credit institutions and investment firms. CBO - Collateralised Bond Obligations CDO - Collateralised Debt Obligations (see item) with bonds as underlyings. CDO - Collateralised Debt Obligations Bonds issued by a vehicle with loans, bonds, ABS - Asset Backed Securities (see item) or other CDOs as underlyings. CDOs make it possible to derecognise assets in the bank’s balance sheet and also to arbitrage the differences in yield between the securitised assets and the bonds issued by the vehicle. CDOs may be funded if the vehicle legally acquires title to the assets or unfunded if the vehicle acquires the underlying risk by means of a CDS - Credit Default Swap (see item) or similar security. These bonds may be further subdivided as follows: •CDOs of ABSs, which in turn have tranches of ABSs as underlyings; •Commercial Real Estate CDOs (CRE CDOs), with commercial property loans as underlyings; •Balance sheet CDOs which enable the Originator (see item), usually a bank, to transfer its credit risk to third investors, and, where possible under local law and supervisory regulations, to derecognise the assets from its balance sheet; •Market Value CDOs whereby payments of interest and principal are made not only out of cash flow from the underlying assets, but also by trading the instruments. The performance of the notes issued by the vehicle thus depends not only on the credit risk, but also on the market value of the underlyings; •Preferred Stock CDOs with hybrid debt/equity instruments or Preference shares (see item) issued by financial institutions; •Synthetic Arbitrage CDOs which arbitrage the differences in yield between the securitised assets acquired synthetically by means of derivatives and the bonds issued by the vehicle. CDS - Credit Default Swap A derivative in which a seller of protection engages, for a fee, to pay the buyer of protection a fixed amount should a certain event indicating a deterioration of the creditworthiness of a reference entity occur. CGU - Cash Generating Unit A cash-generating unit is the smallest identifiable group of assets that generates cash inflows that are largely independent of the cash inflows from other assets or groups of assets. CIU - Collective Investment Undertakings Collective Investment Undertaking means an UCITS “Undertakings for Collective Investments in Transferable Securities” that may be constituted in accordance with contract law (as common funds managed by management companies), trust law (as unit trusts), or statute (as investment companies), an AIF (Alternative Investments Fund) or a non-EU AIF. Commodity risk The risk that the value of the instrument decreases due to commodity prices (e.g. gold, crude oil) changes. Common Equity Tier 1 Capital Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Common Equity Tier 1 Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Corporate Customer segment consisting of medium to large businesses. Cost of risk The annualised ratio between loan loss provisions and average net volumes of loans and receivables with customers. It is one of the indicators of the bank assets’ level of risk: the lower the ratio, the less risky the bank assets. Cost/Income Ratio The ratio between operating expenses and operating income. It is one of the main key performance indicators of the bank’s efficiency: the lower the ratio, the more efficient the bank. Counterparty Credit Risk The risk that the counterparty to a transaction involving financial instruments might default prior to completing all agreed cash-flows exchanges. Covered bond A bond which, as well as being guaranteed by the issuing bank, may also be covered by a portfolio of mortgages or other high-quality loans transferred, to this end, to a suitable SPV - Special Purpose Vehicle (see item). CRD - Capital Requirement Directive Directives (EU) 2006/48 and 2006/49, incorporated into Banca d’Italia Circular No.263/2006 of 27 December 2006 as amended. The CRDIV “Package” has replaced the two aforementioned Directives and consists of the Directive (EU) 2013/36 on the taking up of the business of credit institutions and prudential supervision and the Regulation (EU) 575/2013 on prudential requirements, incorporated into Banca d’Italia Circular No.285 of 17 December 2013 as amended. CRD V Amendment to the CRD IV “Package”. Credit Quality Step (or creditworthiness) Step, based on external ratings, used to assign risk weights under credit risk Standardised Approach. Glossary 832 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Basel 3 As a consequence of the crisis that, since 2008 has hit the financial markets, the Basel Committee on Banking Supervision has approved the substantial enhancement of the minimum capital requirements and the changes to the rules on the liquidity of banks (Basel 3) by providing for the gradual introduction of the new prudential requirements as at 1 January 2014. These rules have been implemented at the European level through the CRD IV “Package”. Best practice Behaviour commensurated with the most significant experience and/or the best level of knowledge achieved in relation to a given technical or professional field. BRRD -Bank Recovery and Resolution Directive European Directive that introduced harmonised roules on the recovery and resolution of credit institutions and investment firms. CBO - Collateralised Bond Obligations CDO - Collateralised Debt Obligations (see item) with bonds as underlyings. CDO - Collateralised Debt Obligations Bonds issued by a vehicle with loans, bonds, ABS - Asset Backed Securities (see item) or other CDOs as underlyings. CDOs make it possible to derecognise assets in the bank’s balance sheet and also to arbitrage the differences in yield between the securitised assets and the bonds issued by the vehicle. CDOs may be funded if the vehicle legally acquires title to the assets or unfunded if the vehicle acquires the underlying risk by means of a CDS - Credit Default Swap (see item) or similar security. These bonds may be further subdivided as follows: •CDOs of ABSs, which in turn have tranches of ABSs as underlyings; •Commercial Real Estate CDOs (CRE CDOs), with commercial property loans as underlyings; •Balance sheet CDOs which enable the Originator (see item), usually a bank, to transfer its credit risk to third investors, and, where possible under local law and supervisory regulations, to derecognise the assets from its balance sheet; •Market Value CDOs whereby payments of interest and principal are made not only out of cash flow from the underlying assets, but also by trading the instruments. The performance of the notes issued by the vehicle thus depends not only on the credit risk, but also on the market value of the underlyings; •Preferred Stock CDOs with hybrid debt/equity instruments or Preference shares (see item) issued by financial institutions; •Synthetic Arbitrage CDOs which arbitrage the differences in yield between the securitised assets acquired synthetically by means of derivatives and the bonds issued by the vehicle. CDS - Credit Default Swap A derivative in which a seller of protection engages, for a fee, to pay the buyer of protection a fixed amount should a certain event indicating a deterioration of the creditworthiness of a reference entity occur. CGU - Cash Generating Unit A cash-generating unit is the smallest identifiable group of assets that generates cash inflows that are largely independent of the cash inflows from other assets or groups of assets. CIU - Collective Investment Undertakings Collective Investment Undertaking means an UCITS “Undertakings for Collective Investments in Transferable Securities” that may be constituted in accordance with contract law (as common funds managed by management companies), trust law (as unit trusts), or statute (as investment companies), an AIF (Alternative Investments Fund) or a non-EU AIF. Commodity risk The risk that the value of the instrument decreases due to commodity prices (e.g. gold, crude oil) changes. Common Equity Tier 1 Capital Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Common Equity Tier 1 Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Corporate Customer segment consisting of medium to large businesses. Cost of risk The annualised ratio between loan loss provisions and average net volumes of loans and receivables with customers. It is one of the indicators of the bank assets’ level of risk: the lower the ratio, the less risky the bank assets. Cost/Income Ratio The ratio between operating expenses and operating income. It is one of the main key performance indicators of the bank’s efficiency: the lower the ratio, the more efficient the bank. Counterparty Credit Risk The risk that the counterparty to a transaction involving financial instruments might default prior to completing all agreed cash-flows exchanges. Covered bond A bond which, as well as being guaranteed by the issuing bank, may also be covered by a portfolio of mortgages or other high-quality loans transferred, to this end, to a suitable SPV - Special Purpose Vehicle (see item). CRD - Capital Requirement Directive Directives (EU) 2006/48 and 2006/49, incorporated into Banca d’Italia Circular No.263/2006 of 27 December 2006 as amended. The CRDIV “Package” has replaced the two aforementioned Directives and consists of the Directive (EU) 2013/36 on the taking up of the business of credit institutions and prudential supervision and the Regulation (EU) 575/2013 on prudential requirements, incorporated into Banca d’Italia Circular No.285 of 17 December 2013 as amended. CRD V Amendment to the CRD IV “Package”. Credit Quality Step (or creditworthiness) Step, based on external ratings, used to assign risk weights under credit risk Standardised Approach. Glossary 832 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Basel 3 As a consequence of the crisis that, since 2008 has hit the financial markets, the Basel Committee on Banking Supervision has approved the substantial enhancement of the minimum capital requirements and the changes to the rules on the liquidity of banks (Basel 3) by providing for the gradual introduction of the new prudential requirements as at 1 January 2014. These rules have been implemented at the European level through the CRD IV “Package”. Best practice Behaviour commensurated with the most significant experience and/or the best level of knowledge achieved in relation to a given technical or professional field. BRRD -Bank Recovery and Resolution Directive European Directive that introduced harmonised roules on the recovery and resolution of credit institutions and investment firms. CBO - Collateralised Bond Obligations CDO - Collateralised Debt Obligations (see item) with bonds as underlyings. CDO - Collateralised Debt Obligations Bonds issued by a vehicle with loans, bonds, ABS - Asset Backed Securities (see item) or other CDOs as underlyings. CDOs make it possible to derecognise assets in the bank’s balance sheet and also to arbitrage the differences in yield between the securitised assets and the bonds issued by the vehicle. CDOs may be funded if the vehicle legally acquires title to the assets or unfunded if the vehicle acquires the underlying risk by means of a CDS - Credit Default Swap (see item) or similar security. These bonds may be further subdivided as follows: •CDOs of ABSs, which in turn have tranches of ABSs as underlyings; •Commercial Real Estate CDOs (CRE CDOs), with commercial property loans as underlyings; •Balance sheet CDOs which enable the Originator (see item), usually a bank, to transfer its credit risk to third investors, and, where possible under local law and supervisory regulations, to derecognise the assets from its balance sheet; •Market Value CDOs whereby payments of interest and principal are made not only out of cash flow from the underlying assets, but also by trading the instruments. The performance of the notes issued by the vehicle thus depends not only on the credit risk, but also on the market value of the underlyings; •Preferred Stock CDOs with hybrid debt/equity instruments or Preference shares (see item) issued by financial institutions; •Synthetic Arbitrage CDOs which arbitrage the differences in yield between the securitised assets acquired synthetically by means of derivatives and the bonds issued by the vehicle. CDS - Credit Default Swap A derivative in which a seller of protection engages, for a fee, to pay the buyer of protection a fixed amount should a certain event indicating a deterioration of the creditworthiness of a reference entity occur. CGU - Cash Generating Unit A cash-generating unit is the smallest identifiable group of assets that generates cash inflows that are largely independent of the cash inflows from other assets or groups of assets. CIU - Collective Investment Undertakings Collective Investment Undertaking means an UCITS “Undertakings for Collective Investments in Transferable Securities” that may be constituted in accordance with contract law (as common funds managed by management companies), trust law (as unit trusts), or statute (as investment companies), an AIF (Alternative Investments Fund) or a non-EU AIF. Commodity risk The risk that the value of the instrument decreases due to commodity prices (e.g. gold, crude oil) changes. Common Equity Tier 1 Capital Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Common Equity Tier 1 Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Corporate Customer segment consisting of medium to large businesses. Cost of risk The annualised ratio between loan loss provisions and average net volumes of loans and receivables with customers. It is one of the indicators of the bank assets’ level of risk: the lower the ratio, the less risky the bank assets. Cost/Income Ratio The ratio between operating expenses and operating income. It is one of the main key performance indicators of the bank’s efficiency: the lower the ratio, the more efficient the bank. Counterparty Credit Risk The risk that the counterparty to a transaction involving financial instruments might default prior to completing all agreed cash-flows exchanges. Covered bond A bond which, as well as being guaranteed by the issuing bank, may also be covered by a portfolio of mortgages or other high-quality loans transferred, to this end, to a suitable SPV - Special Purpose Vehicle (see item). CRD - Capital Requirement Directive Directives (EU) 2006/48 and 2006/49, incorporated into Banca d’Italia Circular No.263/2006 of 27 December 2006 as amended. The CRDIV “Package” has replaced the two aforementioned Directives and consists of the Directive (EU) 2013/36 on the taking up of the business of credit institutions and prudential supervision and the Regulation (EU) 575/2013 on prudential requirements, incorporated into Banca d’Italia Circular No.285 of 17 December 2013 as amended. CRD V Amendment to the CRD IV “Package”. Credit Quality Step (or creditworthiness) Step, based on external ratings, used to assign risk weights under credit risk Standardised Approach. Glossary 832 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Basel 3 As a consequence of the crisis that, since 2008 has hit the financial markets, the Basel Committee on Banking Supervision has approved the substantial enhancement of the minimum capital requirements and the changes to the rules on the liquidity of banks (Basel 3) by providing for the gradual introduction of the new prudential requirements as at 1 January 2014. These rules have been implemented at the European level through the CRD IV “Package”. Best practice Behaviour commensurated with the most significant experience and/or the best level of knowledge achieved in relation to a given technical or professional field. BRRD -Bank Recovery and Resolution Directive European Directive that introduced harmonised roules on the recovery and resolution of credit institutions and investment firms. CBO - Collateralised Bond Obligations CDO - Collateralised Debt Obligations (see item) with bonds as underlyings. CDO - Collateralised Debt Obligations Bonds issued by a vehicle with loans, bonds, ABS - Asset Backed Securities (see item) or other CDOs as underlyings. CDOs make it possible to derecognise assets in the bank’s balance sheet and also to arbitrage the differences in yield between the securitised assets and the bonds issued by the vehicle. CDOs may be funded if the vehicle legally acquires title to the assets or unfunded if the vehicle acquires the underlying risk by means of a CDS - Credit Default Swap (see item) or similar security. These bonds may be further subdivided as follows: •CDOs of ABSs, which in turn have tranches of ABSs as underlyings; •Commercial Real Estate CDOs (CRE CDOs), with commercial property loans as underlyings; •Balance sheet CDOs which enable the Originator (see item), usually a bank, to transfer its credit risk to third investors, and, where possible under local law and supervisory regulations, to derecognise the assets from its balance sheet; •Market Value CDOs whereby payments of interest and principal are made not only out of cash flow from the underlying assets, but also by trading the instruments. The performance of the notes issued by the vehicle thus depends not only on the credit risk, but also on the market value of the underlyings; •Preferred Stock CDOs with hybrid debt/equity instruments or Preference shares (see item) issued by financial institutions; •Synthetic Arbitrage CDOs which arbitrage the differences in yield between the securitised assets acquired synthetically by means of derivatives and the bonds issued by the vehicle. CDS - Credit Default Swap A derivative in which a seller of protection engages, for a fee, to pay the buyer of protection a fixed amount should a certain event indicating a deterioration of the creditworthiness of a reference entity occur. CGU - Cash Generating Unit A cash-generating unit is the smallest identifiable group of assets that generates cash inflows that are largely independent of the cash inflows from other assets or groups of assets. CIU - Collective Investment Undertakings Collective Investment Undertaking means an UCITS “Undertakings for Collective Investments in Transferable Securities” that may be constituted in accordance with contract law (as common funds managed by management companies), trust law (as unit trusts), or statute (as investment companies), an AIF (Alternative Investments Fund) or a non-EU AIF. Commodity risk The risk that the value of the instrument decreases due to commodity prices (e.g. gold, crude oil) changes. Common Equity Tier 1 Capital Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Common Equity Tier 1 Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Corporate Customer segment consisting of medium to large businesses. Cost of risk The annualised ratio between loan loss provisions and average net volumes of loans and receivables with customers. It is one of the indicators of the bank assets’ level of risk: the lower the ratio, the less risky the bank assets. Cost/Income Ratio The ratio between operating expenses and operating income. It is one of the main key performance indicators of the bank’s efficiency: the lower the ratio, the more efficient the bank. Counterparty Credit Risk The risk that the counterparty to a transaction involving financial instruments might default prior to completing all agreed cash-flows exchanges. Covered bond A bond which, as well as being guaranteed by the issuing bank, may also be covered by a portfolio of mortgages or other high-quality loans transferred, to this end, to a suitable SPV - Special Purpose Vehicle (see item). CRD - Capital Requirement Directive Directives (EU) 2006/48 and 2006/49, incorporated into Banca d’Italia Circular No.263/2006 of 27 December 2006 as amended. The CRDIV “Package” has replaced the two aforementioned Directives and consists of the Directive (EU) 2013/36 on the taking up of the business of credit institutions and prudential supervision and the Regulation (EU) 575/2013 on prudential requirements, incorporated into Banca d’Italia Circular No.285 of 17 December 2013 as amended. CRD V Amendment to the CRD IV “Package”. Credit Quality Step (or creditworthiness) Step, based on external ratings, used to assign risk weights under credit risk Standardised Approach.  Glossary UniCredit · 2021 Annual Report and Accounts 833 ITEM DESCRIPTION Credit risk The risk that an unexpected change in the creditworthiness of a counterparty, the value of the guarantees provided by it or the margins used by it in the event of insolvency might produce an unexpected change in the value of the bank's credit position. Creditworthiness (or Credit quality step) See item "Credit quality step". CRM Credit Risk Mitigation is a set of techniques, contracts accessories to the loan or other instruments (e.g. securities, guarantees), which allows a reduction of the credit risk capital requirements. CRR - Capital Requirements Regulation Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013, and subsequently amendment in Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (“CRR2”), on prudential requirements for credit institutions and investment firms and that amending Regulation (EU) 648/2012. CRR2 Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (“CRR2”) amending Regulation (EU) 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) 648/2012 (see also “CRR” definition). Currency risk The risk that the value of the instrument decreases due to foreign exchange rates changes. CVA - Credit Valuation Adjustment Adjustment to the valuation of a portfolio of transactions reflecting the market value of the counterparties' credit risk. Cyber security risk Cyber security risk is the probability of exposure or loss resulting from a cyber-attack or data breach on the organization. Daily VaR It reflects the Value at Risk risk measures calibrated to a 1-day holding period to compare with the 99% confidence level with its trading outcomes. Default A party's declared inability to honor its debts and/or the payment of the associated interest. Duration This is generally calculated as the weighted average of the maturities for payment of the interest and capital associated with a bond, and represents an indicator of the interest rate risk to which a security or a bond portfolio is subject. EAD - Exposure At Default With reference to the on-balance and off-balance sheet positions, EAD is defined as the estimation of the future value of an exposure at the time of the debtor’s default. Only banks that meet the requirements for adopting the IRB - Internal Rating Based (see item) advanced approach are allowed to estimate EAD (see item). Other banks are required to refer to regulatory estimations. Earnings at risk The change in interest rates affects earnings by changing the net interest income and, depending on the accounting treatment of the individual balance sheet items, it can be reflected directly in equity, following the change in their market value. EBA - European Banking Authority The European Banking Authority is an independent EU Authority which works to ensure effective and consistent prudential regulation and supervision across the European banking sector. Its overall objectives are to maintain financial stability in the EU and to safeguard the integrity, efficiency and orderly functioning of the banking sector. ECB - European Central Bank Central bank for Europe's single currency, the euro. The ECB's main task is to preserve the purchasing power of the single currency thus ensuring the maintenance of price stability in the Euro area. Economic capital Level of capital required to a bank to cover losses in excess of those expected that could occur with a one-year horizon and a certain probability or confidence level. Economic value The change in interest rates impacts the theoretical economic value of assets, liabilities and off-balance sheet instruments, following the change in their current value. EL - Expected Losses Expected Losses are the losses recorded on average over a one year period on each exposure (or pool of exposures). ELOR - Expected Losses on Revenues ELOR is a ratio estimated, for the Group and for the main legal entities, with a statistical model, based on the historical losses time series, forward looking factors and the budget revenues. EPS - Earnings Per Share An indicator of a company’s profitability calculated as: Net Profit divided by Average total outstanding shares (excluding treasury shares). Equity risk The risk that the value of the instrument decreases due to stock or index prices changes. ESG - Environmental, Social and Governance Refers to criteria used to measure the environmental, social and governance impact of the company and highlight the sustainability of its initiatives. ESMA - European Securities and Markets Authority Authority the works in the field of securities legislation and regulation to improve the functioning of financial markets in Europe. EVA - Economic Value Added EVA is equal to the difference between the Net Operating Profit After Tax (“NOPAT” Net Operating Profit After Tax - see item) and the cost of the allocated capital. It expresses the ability to create value in monetary terms. Expected Shortfall Risk measure representing the expected loss of a portfolio or a counterparty calculated in the scenarios of loss exceeding the VaR. Factoring Contract for the sale without recourse (with credit risk borne by the buyer) or with recourse (with credit risk borne by the seller) of commercial credits to banks or specialist companies, for the purposes of management and collection. It may be associated with financing in favor of the seller. Glossary UniCredit · 2021 Annual Report and Accounts 833 ITEM DESCRIPTION Credit risk The risk that an unexpected change in the creditworthiness of a counterparty, the value of the guarantees provided by it or the margins used by it in the event of insolvency might produce an unexpected change in the value of the bank's credit position. Creditworthiness (or Credit quality step) See item "Credit quality step". CRM Credit Risk Mitigation is a set of techniques, contracts accessories to the loan or other instruments (e.g. securities, guarantees), which allows a reduction of the credit risk capital requirements. CRR - Capital Requirements Regulation Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013, and subsequently amendment in Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (“CRR2”), on prudential requirements for credit institutions and investment firms and that amending Regulation (EU) 648/2012. CRR2 Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (“CRR2”) amending Regulation (EU) 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) 648/2012 (see also “CRR” definition). Currency risk The risk that the value of the instrument decreases due to foreign exchange rates changes. CVA - Credit Valuation Adjustment Adjustment to the valuation of a portfolio of transactions reflecting the market value of the counterparties' credit risk. Cyber security risk Cyber security risk is the probability of exposure or loss resulting from a cyber-attack or data breach on the organization. Daily VaR It reflects the Value at Risk risk measures calibrated to a 1-day holding period to compare with the 99% confidence level with its trading outcomes. Default A party's declared inability to honor its debts and/or the payment of the associated interest. Duration This is generally calculated as the weighted average of the maturities for payment of the interest and capital associated with a bond, and represents an indicator of the interest rate risk to which a security or a bond portfolio is subject. EAD - Exposure At Default With reference to the on-balance and off-balance sheet positions, EAD is defined as the estimation of the future value of an exposure at the time of the debtor’s default. Only banks that meet the requirements for adopting the IRB - Internal Rating Based (see item) advanced approach are allowed to estimate EAD (see item). Other banks are required to refer to regulatory estimations. Earnings at risk The change in interest rates affects earnings by changing the net interest income and, depending on the accounting treatment of the individual balance sheet items, it can be reflected directly in equity, following the change in their market value. EBA - European Banking Authority The European Banking Authority is an independent EU Authority which works to ensure effective and consistent prudential regulation and supervision across the European banking sector. Its overall objectives are to maintain financial stability in the EU and to safeguard the integrity, efficiency and orderly functioning of the banking sector. ECB - European Central Bank Central bank for Europe's single currency, the euro. The ECB's main task is to preserve the purchasing power of the single currency thus ensuring the maintenance of price stability in the Euro area. Economic capital Level of capital required to a bank to cover losses in excess of those expected that could occur with a one-year horizon and a certain probability or confidence level. Economic value The change in interest rates impacts the theoretical economic value of assets, liabilities and off-balance sheet instruments, following the change in their current value. EL - Expected Losses Expected Losses are the losses recorded on average over a one year period on each exposure (or pool of exposures). ELOR - Expected Losses on Revenues ELOR is a ratio estimated, for the Group and for the main legal entities, with a statistical model, based on the historical losses time series, forward looking factors and the budget revenues. EPS - Earnings Per Share An indicator of a company’s profitability calculated as: Net Profit divided by Average total outstanding shares (excluding treasury shares). Equity risk The risk that the value of the instrument decreases due to stock or index prices changes. ESG - Environmental, Social and Governance Refers to criteria used to measure the environmental, social and governance impact of the company and highlight the sustainability of its initiatives. ESMA - European Securities and Markets Authority Authority the works in the field of securities legislation and regulation to improve the functioning of financial markets in Europe. EVA - Economic Value Added EVA is equal to the difference between the Net Operating Profit After Tax (“NOPAT” Net Operating Profit After Tax - see item) and the cost of the allocated capital. It expresses the ability to create value in monetary terms. Expected Shortfall Risk measure representing the expected loss of a portfolio or a counterparty calculated in the scenarios of loss exceeding the VaR. Factoring Contract for the sale without recourse (with credit risk borne by the buyer) or with recourse (with credit risk borne by the seller) of commercial credits to banks or specialist companies, for the purposes of management and collection. It may be associated with financing in favor of the seller. Glossary UniCredit · 2021 Annual Report and Accounts 833 ITEM DESCRIPTION Credit risk The risk that an unexpected change in the creditworthiness of a counterparty, the value of the guarantees provided by it or the margins used by it in the event of insolvency might produce an unexpected change in the value of the bank's credit position. Creditworthiness (or Credit quality step) See item "Credit quality step". CRM Credit Risk Mitigation is a set of techniques, contracts accessories to the loan or other instruments (e.g. securities, guarantees), which allows a reduction of the credit risk capital requirements. CRR - Capital Requirements Regulation Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013, and subsequently amendment in Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (“CRR2”), on prudential requirements for credit institutions and investment firms and that amending Regulation (EU) 648/2012. CRR2 Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (“CRR2”) amending Regulation (EU) 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) 648/2012 (see also “CRR” definition). Currency risk The risk that the value of the instrument decreases due to foreign exchange rates changes. CVA - Credit Valuation Adjustment Adjustment to the valuation of a portfolio of transactions reflecting the market value of the counterparties' credit risk. Cyber security risk Cyber security risk is the probability of exposure or loss resulting from a cyber-attack or data breach on the organization. Daily VaR It reflects the Value at Risk risk measures calibrated to a 1-day holding period to compare with the 99% confidence level with its trading outcomes. Default A party's declared inability to honor its debts and/or the payment of the associated interest. Duration This is generally calculated as the weighted average of the maturities for payment of the interest and capital associated with a bond, and represents an indicator of the interest rate risk to which a security or a bond portfolio is subject. EAD - Exposure At Default With reference to the on-balance and off-balance sheet positions, EAD is defined as the estimation of the future value of an exposure at the time of the debtor’s default. Only banks that meet the requirements for adopting the IRB - Internal Rating Based (see item) advanced approach are allowed to estimate EAD (see item). Other banks are required to refer to regulatory estimations. Earnings at risk The change in interest rates affects earnings by changing the net interest income and, depending on the accounting treatment of the individual balance sheet items, it can be reflected directly in equity, following the change in their market value. EBA - European Banking Authority The European Banking Authority is an independent EU Authority which works to ensure effective and consistent prudential regulation and supervision across the European banking sector. Its overall objectives are to maintain financial stability in the EU and to safeguard the integrity, efficiency and orderly functioning of the banking sector. ECB - European Central Bank Central bank for Europe's single currency, the euro. The ECB's main task is to preserve the purchasing power of the single currency thus ensuring the maintenance of price stability in the Euro area. Economic capital Level of capital required to a bank to cover losses in excess of those expected that could occur with a one-year horizon and a certain probability or confidence level. Economic value The change in interest rates impacts the theoretical economic value of assets, liabilities and off-balance sheet instruments, following the change in their current value. EL - Expected Losses Expected Losses are the losses recorded on average over a one year period on each exposure (or pool of exposures). ELOR - Expected Losses on Revenues ELOR is a ratio estimated, for the Group and for the main legal entities, with a statistical model, based on the historical losses time series, forward looking factors and the budget revenues. EPS - Earnings Per Share An indicator of a company’s profitability calculated as: Net Profit divided by Average total outstanding shares (excluding treasury shares). Equity risk The risk that the value of the instrument decreases due to stock or index prices changes. ESG - Environmental, Social and Governance Refers to criteria used to measure the environmental, social and governance impact of the company and highlight the sustainability of its initiatives. ESMA - European Securities and Markets Authority Authority the works in the field of securities legislation and regulation to improve the functioning of financial markets in Europe. EVA - Economic Value Added EVA is equal to the difference between the Net Operating Profit After Tax (“NOPAT” Net Operating Profit After Tax - see item) and the cost of the allocated capital. It expresses the ability to create value in monetary terms. Expected Shortfall Risk measure representing the expected loss of a portfolio or a counterparty calculated in the scenarios of loss exceeding the VaR. Factoring Contract for the sale without recourse (with credit risk borne by the buyer) or with recourse (with credit risk borne by the seller) of commercial credits to banks or specialist companies, for the purposes of management and collection. It may be associated with financing in favor of the seller. Glossary UniCredit · 2021 Annual Report and Accounts 833 ITEM DESCRIPTION Credit risk The risk that an unexpected change in the creditworthiness of a counterparty, the value of the guarantees provided by it or the margins used by it in the event of insolvency might produce an unexpected change in the value of the bank's credit position. Creditworthiness (or Credit quality step) See item "Credit quality step". CRM Credit Risk Mitigation is a set of techniques, contracts accessories to the loan or other instruments (e.g. securities, guarantees), which allows a reduction of the credit risk capital requirements. CRR - Capital Requirements Regulation Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013, and subsequently amendment in Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (“CRR2”), on prudential requirements for credit institutions and investment firms and that amending Regulation (EU) 648/2012. CRR2 Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (“CRR2”) amending Regulation (EU) 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) 648/2012 (see also “CRR” definition). Currency risk The risk that the value of the instrument decreases due to foreign exchange rates changes. CVA - Credit Valuation Adjustment Adjustment to the valuation of a portfolio of transactions reflecting the market value of the counterparties' credit risk. Cyber security risk Cyber security risk is the probability of exposure or loss resulting from a cyber-attack or data breach on the organization. Daily VaR It reflects the Value at Risk risk measures calibrated to a 1-day holding period to compare with the 99% confidence level with its trading outcomes. Default A party's declared inability to honor its debts and/or the payment of the associated interest. Duration This is generally calculated as the weighted average of the maturities for payment of the interest and capital associated with a bond, and represents an indicator of the interest rate risk to which a security or a bond portfolio is subject. EAD - Exposure At Default With reference to the on-balance and off-balance sheet positions, EAD is defined as the estimation of the future value of an exposure at the time of the debtor’s default. Only banks that meet the requirements for adopting the IRB - Internal Rating Based (see item) advanced approach are allowed to estimate EAD (see item). Other banks are required to refer to regulatory estimations. Earnings at risk The change in interest rates affects earnings by changing the net interest income and, depending on the accounting treatment of the individual balance sheet items, it can be reflected directly in equity, following the change in their market value. EBA - European Banking Authority The European Banking Authority is an independent EU Authority which works to ensure effective and consistent prudential regulation and supervision across the European banking sector. Its overall objectives are to maintain financial stability in the EU and to safeguard the integrity, efficiency and orderly functioning of the banking sector. ECB - European Central Bank Central bank for Europe's single currency, the euro. The ECB's main task is to preserve the purchasing power of the single currency thus ensuring the maintenance of price stability in the Euro area. Economic capital Level of capital required to a bank to cover losses in excess of those expected that could occur with a one-year horizon and a certain probability or confidence level. Economic value The change in interest rates impacts the theoretical economic value of assets, liabilities and off-balance sheet instruments, following the change in their current value. EL - Expected Losses Expected Losses are the losses recorded on average over a one year period on each exposure (or pool of exposures). ELOR - Expected Losses on Revenues ELOR is a ratio estimated, for the Group and for the main legal entities, with a statistical model, based on the historical losses time series, forward looking factors and the budget revenues. EPS - Earnings Per Share An indicator of a company’s profitability calculated as: Net Profit divided by Average total outstanding shares (excluding treasury shares). Equity risk The risk that the value of the instrument decreases due to stock or index prices changes. ESG - Environmental, Social and Governance Refers to criteria used to measure the environmental, social and governance impact of the company and highlight the sustainability of its initiatives. ESMA - European Securities and Markets Authority Authority the works in the field of securities legislation and regulation to improve the functioning of financial markets in Europe. EVA - Economic Value Added EVA is equal to the difference between the Net Operating Profit After Tax (“NOPAT” Net Operating Profit After Tax - see item) and the cost of the allocated capital. It expresses the ability to create value in monetary terms. Expected Shortfall Risk measure representing the expected loss of a portfolio or a counterparty calculated in the scenarios of loss exceeding the VaR. Factoring Contract for the sale without recourse (with credit risk borne by the buyer) or with recourse (with credit risk borne by the seller) of commercial credits to banks or specialist companies, for the purposes of management and collection. It may be associated with financing in favor of the seller. Glossary UniCredit · 2021 Annual Report and Accounts 833 ITEM DESCRIPTION Credit risk The risk that an unexpected change in the creditworthiness of a counterparty, the value of the guarantees provided by it or the margins used by it in the event of insolvency might produce an unexpected change in the value of the bank's credit position. Creditworthiness (or Credit quality step) See item "Credit quality step". CRM Credit Risk Mitigation is a set of techniques, contracts accessories to the loan or other instruments (e.g. securities, guarantees), which allows a reduction of the credit risk capital requirements. CRR - Capital Requirements Regulation Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013, and subsequently amendment in Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (“CRR2”), on prudential requirements for credit institutions and investment firms and that amending Regulation (EU) 648/2012. CRR2 Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 (“CRR2”) amending Regulation (EU) 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) 648/2012 (see also “CRR” definition). Currency risk The risk that the value of the instrument decreases due to foreign exchange rates changes. CVA - Credit Valuation Adjustment Adjustment to the valuation of a portfolio of transactions reflecting the market value of the counterparties' credit risk. Cyber security risk Cyber security risk is the probability of exposure or loss resulting from a cyber-attack or data breach on the organization. Daily VaR It reflects the Value at Risk risk measures calibrated to a 1-day holding period to compare with the 99% confidence level with its trading outcomes. Default A party's declared inability to honor its debts and/or the payment of the associated interest. Duration This is generally calculated as the weighted average of the maturities for payment of the interest and capital associated with a bond, and represents an indicator of the interest rate risk to which a security or a bond portfolio is subject. EAD - Exposure At Default With reference to the on-balance and off-balance sheet positions, EAD is defined as the estimation of the future value of an exposure at the time of the debtor’s default. Only banks that meet the requirements for adopting the IRB - Internal Rating Based (see item) advanced approach are allowed to estimate EAD (see item). Other banks are required to refer to regulatory estimations. Earnings at risk The change in interest rates affects earnings by changing the net interest income and, depending on the accounting treatment of the individual balance sheet items, it can be reflected directly in equity, following the change in their market value. EBA - European Banking Authority The European Banking Authority is an independent EU Authority which works to ensure effective and consistent prudential regulation and supervision across the European banking sector. Its overall objectives are to maintain financial stability in the EU and to safeguard the integrity, efficiency and orderly functioning of the banking sector. ECB - European Central Bank Central bank for Europe's single currency, the euro. The ECB's main task is to preserve the purchasing power of the single currency thus ensuring the maintenance of price stability in the Euro area. Economic capital Level of capital required to a bank to cover losses in excess of those expected that could occur with a one-year horizon and a certain probability or confidence level. Economic value The change in interest rates impacts the theoretical economic value of assets, liabilities and off-balance sheet instruments, following the change in their current value. EL - Expected Losses Expected Losses are the losses recorded on average over a one year period on each exposure (or pool of exposures). ELOR - Expected Losses on Revenues ELOR is a ratio estimated, for the Group and for the main legal entities, with a statistical model, based on the historical losses time series, forward looking factors and the budget revenues. EPS - Earnings Per Share An indicator of a company’s profitability calculated as: Net Profit divided by Average total outstanding shares (excluding treasury shares). Equity risk The risk that the value of the instrument decreases due to stock or index prices changes. ESG - Environmental, Social and Governance Refers to criteria used to measure the environmental, social and governance impact of the company and highlight the sustainability of its initiatives. ESMA - European Securities and Markets Authority Authority the works in the field of securities legislation and regulation to improve the functioning of financial markets in Europe. EVA - Economic Value Added EVA is equal to the difference between the Net Operating Profit After Tax (“NOPAT” Net Operating Profit After Tax - see item) and the cost of the allocated capital. It expresses the ability to create value in monetary terms. Expected Shortfall Risk measure representing the expected loss of a portfolio or a counterparty calculated in the scenarios of loss exceeding the VaR. Factoring Contract for the sale without recourse (with credit risk borne by the buyer) or with recourse (with credit risk borne by the seller) of commercial credits to banks or specialist companies, for the purposes of management and collection. It may be associated with financing in favor of the seller.  Glossary 834 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Fair value The sum for which, in a freely competitive market, an item can be exchanged or a liability extinguished between aware and independent parties. FINREP Document issued by the Committee of European Banking Supervisors (CEBS). The Committee gives advice to the European Commission on policy and regulatory issues relating to banking supervision; it also promotes cooperation and convergence of supervisory practice across the European Union. The objective of FINREP is to provide guidelines for the implementation of the consolidated Financial Reporting framework for supervisory purposes; it is based on International Financial Reporting Standards (IFRSs). FL - Forward looking IFRS9 adjustment that allows to reflect in the credit parameters the expectations about the future evolution of the economic cycle. Forbearance/Forborne exposures According to EBA Implementing Technical Standards, forborne exposures consist of exposures to which forbearance measures have been extended, i.e. concessions towards a debtor who is facing or about to face difficulties in meeting its financial commitments (“financial difficulties”). Forwards Forward contracts on interest rates, exchange rates or share indices, generally traded on "OTC - Over-the-Counter" (see item) markets, in which the conditions are fixed when the contract is agreed but execution will take place at a predetermined future date, by means of the collection or payment of differentials calculated with reference to various parameters according to the subject of the contract. FRTB - Fundamental Review of Trading Book Fundamental Review of Trading Book consists in a set of proposals by the Basel Committee on Banking Supervision for a new market risk-related capital requirement for banks. This reform this reforme is often named as "Basel IV". FTE - Full Time Equivalent The number of a company’s full-time employees. Part-time employees are considered on a pro-rata temporis basis. Full Revaluation Approach A methodology behind the historical simulation approach for VaR calculation, when the value of a portfolio is estimated by the complete revaluation of its value according to the simulation results. Funding Provision, in various forms, of the funds necessary to finance business activities or particular financial transactions. Futures Standardised contracts whereby the parties undertake to exchange money, transferable securities or goods at a present price at a future date. These contracts are traded on regulated markets, where their execution is guaranteed. FVOCI Financial asset at Fair Value through Other Comprehensive Income. FVtPL Financial Assets at Fair Value through Profit and Loss. GAR - Green Asset Ratio The Green Asset Ratio (GAR) is based on the EU Sustainable Finance Taxonomy and is a Paris aligned ratio that can be used to identify whether banks are financing sustainable activities, such as those consistent with the Paris agreement goals. GDP - Gross Domestic Product Total market value of the products and services produced by Country residents in a given time frame. GERMAS - Group Ermas Group platform used to compute Interest Rate Risk ("IRR") positions. GHOS - Governors and Heads of Supervision This is the oversight body of the Basel Committee on Banking Supervision. Goodwill The additional sum paid for the acquisition of an equity interest, equal to the difference between the cost and the corresponding share of net assets, for the portion not attributable to the identifiable assets of the acquired company. GW BANKS IRB calculation model - Group Wide model Financial Institution & Banks. GW MNC IRB calculation model - Group Wide Multinational Corporate. Hedge Fund Speculative mutual investment fund adopting hedging techniques which generally are not used by ordinary mutual funds, in order to deliver a constant performance, which is only hardly linked to reference markets. Hedge Funds are distinguished by a limited number of partners and require a high minimum level of investment. IAS/IFRS International accounting standards issued by the International Accounting Standard Board (IASB), a private international body established in April 2001, involving representatives of the accounting professions of the principal countries and, as observers, the European Union, IOSCO (International Organisation of Securities Commissions) and the Basel Committee. This body is the successor of the International Accounting Standards Committee (IASC), set up in 1973 to promote harmonisation of the rules for the preparation of company accounts. When the IASC became the IASB, it was decided, among other things, to name the new accounting principles "International Financial Reporting Standards" (IFRS). At international level, work is currently underway to harmonise the IAS/IFRS with the US GAAP - United States Generally Accepted Accounting Principles (Accounting principles issued by the Financial Accounting Statement Board-"FASB", generally accepted in the USA). ICAAP - Internal Capital Adequacy Assessment Process The discipline of the so called “Pillar 2” requires banks to implement processes and systems to determine the level of internal capital adequate to face any type of risk, also different from those provided by the capital requirements (Pillar 1) rules; in the scope of an assessment of the exposure, actual and future, that has to consider also the strategies and the evolution of the reference environment. ILAAP - Internal Liquidity Adequacy Assessment Process It requires the banks to have processes and tools for determining the adequate level of total internal liquidity (Internal Liquidity Adequacy Assessment Process - ILAAP) for covering liquidity risk, within the framework of an evaluation of current and future exposure that takes account of strategies and of changes in the reference context. It is the Regulatory Authority's task to examine the ILAAP process, formulate an overall judgment and, where necessary, apply the appropriate corrective measures. Glossary 834 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Fair value The sum for which, in a freely competitive market, an item can be exchanged or a liability extinguished between aware and independent parties. FINREP Document issued by the Committee of European Banking Supervisors (CEBS). The Committee gives advice to the European Commission on policy and regulatory issues relating to banking supervision; it also promotes cooperation and convergence of supervisory practice across the European Union. The objective of FINREP is to provide guidelines for the implementation of the consolidated Financial Reporting framework for supervisory purposes; it is based on International Financial Reporting Standards (IFRSs). FL - Forward looking IFRS9 adjustment that allows to reflect in the credit parameters the expectations about the future evolution of the economic cycle. Forbearance/Forborne exposures According to EBA Implementing Technical Standards, forborne exposures consist of exposures to which forbearance measures have been extended, i.e. concessions towards a debtor who is facing or about to face difficulties in meeting its financial commitments (“financial difficulties”). Forwards Forward contracts on interest rates, exchange rates or share indices, generally traded on "OTC - Over-the-Counter" (see item) markets, in which the conditions are fixed when the contract is agreed but execution will take place at a predetermined future date, by means of the collection or payment of differentials calculated with reference to various parameters according to the subject of the contract. FRTB - Fundamental Review of Trading Book Fundamental Review of Trading Book consists in a set of proposals by the Basel Committee on Banking Supervision for a new market risk-related capital requirement for banks. This reform this reforme is often named as "Basel IV". FTE - Full Time Equivalent The number of a company’s full-time employees. Part-time employees are considered on a pro-rata temporis basis. Full Revaluation Approach A methodology behind the historical simulation approach for VaR calculation, when the value of a portfolio is estimated by the complete revaluation of its value according to the simulation results. Funding Provision, in various forms, of the funds necessary to finance business activities or particular financial transactions. Futures Standardised contracts whereby the parties undertake to exchange money, transferable securities or goods at a present price at a future date. These contracts are traded on regulated markets, where their execution is guaranteed. FVOCI Financial asset at Fair Value through Other Comprehensive Income. FVtPL Financial Assets at Fair Value through Profit and Loss. GAR - Green Asset Ratio The Green Asset Ratio (GAR) is based on the EU Sustainable Finance Taxonomy and is a Paris aligned ratio that can be used to identify whether banks are financing sustainable activities, such as those consistent with the Paris agreement goals. GDP - Gross Domestic Product Total market value of the products and services produced by Country residents in a given time frame. GERMAS - Group Ermas Group platform used to compute Interest Rate Risk ("IRR") positions. GHOS - Governors and Heads of Supervision This is the oversight body of the Basel Committee on Banking Supervision. Goodwill The additional sum paid for the acquisition of an equity interest, equal to the difference between the cost and the corresponding share of net assets, for the portion not attributable to the identifiable assets of the acquired company. GW BANKS IRB calculation model - Group Wide model Financial Institution & Banks. GW MNC IRB calculation model - Group Wide Multinational Corporate. Hedge Fund Speculative mutual investment fund adopting hedging techniques which generally are not used by ordinary mutual funds, in order to deliver a constant performance, which is only hardly linked to reference markets. Hedge Funds are distinguished by a limited number of partners and require a high minimum level of investment. IAS/IFRS International accounting standards issued by the International Accounting Standard Board (IASB), a private international body established in April 2001, involving representatives of the accounting professions of the principal countries and, as observers, the European Union, IOSCO (International Organisation of Securities Commissions) and the Basel Committee. This body is the successor of the International Accounting Standards Committee (IASC), set up in 1973 to promote harmonisation of the rules for the preparation of company accounts. When the IASC became the IASB, it was decided, among other things, to name the new accounting principles "International Financial Reporting Standards" (IFRS). At international level, work is currently underway to harmonise the IAS/IFRS with the US GAAP - United States Generally Accepted Accounting Principles (Accounting principles issued by the Financial Accounting Statement Board-"FASB", generally accepted in the USA). ICAAP - Internal Capital Adequacy Assessment Process The discipline of the so called “Pillar 2” requires banks to implement processes and systems to determine the level of internal capital adequate to face any type of risk, also different from those provided by the capital requirements (Pillar 1) rules; in the scope of an assessment of the exposure, actual and future, that has to consider also the strategies and the evolution of the reference environment. ILAAP - Internal Liquidity Adequacy Assessment Process It requires the banks to have processes and tools for determining the adequate level of total internal liquidity (Internal Liquidity Adequacy Assessment Process - ILAAP) for covering liquidity risk, within the framework of an evaluation of current and future exposure that takes account of strategies and of changes in the reference context. It is the Regulatory Authority's task to examine the ILAAP process, formulate an overall judgment and, where necessary, apply the appropriate corrective measures. Glossary 834 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Fair value The sum for which, in a freely competitive market, an item can be exchanged or a liability extinguished between aware and independent parties. FINREP Document issued by the Committee of European Banking Supervisors (CEBS). The Committee gives advice to the European Commission on policy and regulatory issues relating to banking supervision; it also promotes cooperation and convergence of supervisory practice across the European Union. The objective of FINREP is to provide guidelines for the implementation of the consolidated Financial Reporting framework for supervisory purposes; it is based on International Financial Reporting Standards (IFRSs). FL - Forward looking IFRS9 adjustment that allows to reflect in the credit parameters the expectations about the future evolution of the economic cycle. Forbearance/Forborne exposures According to EBA Implementing Technical Standards, forborne exposures consist of exposures to which forbearance measures have been extended, i.e. concessions towards a debtor who is facing or about to face difficulties in meeting its financial commitments (“financial difficulties”). Forwards Forward contracts on interest rates, exchange rates or share indices, generally traded on "OTC - Over-the-Counter" (see item) markets, in which the conditions are fixed when the contract is agreed but execution will take place at a predetermined future date, by means of the collection or payment of differentials calculated with reference to various parameters according to the subject of the contract. FRTB - Fundamental Review of Trading Book Fundamental Review of Trading Book consists in a set of proposals by the Basel Committee on Banking Supervision for a new market risk-related capital requirement for banks. This reform this reforme is often named as "Basel IV". FTE - Full Time Equivalent The number of a company’s full-time employees. Part-time employees are considered on a pro-rata temporis basis. Full Revaluation Approach A methodology behind the historical simulation approach for VaR calculation, when the value of a portfolio is estimated by the complete revaluation of its value according to the simulation results. Funding Provision, in various forms, of the funds necessary to finance business activities or particular financial transactions. Futures Standardised contracts whereby the parties undertake to exchange money, transferable securities or goods at a present price at a future date. These contracts are traded on regulated markets, where their execution is guaranteed. FVOCI Financial asset at Fair Value through Other Comprehensive Income. FVtPL Financial Assets at Fair Value through Profit and Loss. GAR - Green Asset Ratio The Green Asset Ratio (GAR) is based on the EU Sustainable Finance Taxonomy and is a Paris aligned ratio that can be used to identify whether banks are financing sustainable activities, such as those consistent with the Paris agreement goals. GDP - Gross Domestic Product Total market value of the products and services produced by Country residents in a given time frame. GERMAS - Group Ermas Group platform used to compute Interest Rate Risk ("IRR") positions. GHOS - Governors and Heads of Supervision This is the oversight body of the Basel Committee on Banking Supervision. Goodwill The additional sum paid for the acquisition of an equity interest, equal to the difference between the cost and the corresponding share of net assets, for the portion not attributable to the identifiable assets of the acquired company. GW BANKS IRB calculation model - Group Wide model Financial Institution & Banks. GW MNC IRB calculation model - Group Wide Multinational Corporate. Hedge Fund Speculative mutual investment fund adopting hedging techniques which generally are not used by ordinary mutual funds, in order to deliver a constant performance, which is only hardly linked to reference markets. Hedge Funds are distinguished by a limited number of partners and require a high minimum level of investment. IAS/IFRS International accounting standards issued by the International Accounting Standard Board (IASB), a private international body established in April 2001, involving representatives of the accounting professions of the principal countries and, as observers, the European Union, IOSCO (International Organisation of Securities Commissions) and the Basel Committee. This body is the successor of the International Accounting Standards Committee (IASC), set up in 1973 to promote harmonisation of the rules for the preparation of company accounts. When the IASC became the IASB, it was decided, among other things, to name the new accounting principles "International Financial Reporting Standards" (IFRS). At international level, work is currently underway to harmonise the IAS/IFRS with the US GAAP - United States Generally Accepted Accounting Principles (Accounting principles issued by the Financial Accounting Statement Board-"FASB", generally accepted in the USA). ICAAP - Internal Capital Adequacy Assessment Process The discipline of the so called “Pillar 2” requires banks to implement processes and systems to determine the level of internal capital adequate to face any type of risk, also different from those provided by the capital requirements (Pillar 1) rules; in the scope of an assessment of the exposure, actual and future, that has to consider also the strategies and the evolution of the reference environment. ILAAP - Internal Liquidity Adequacy Assessment Process It requires the banks to have processes and tools for determining the adequate level of total internal liquidity (Internal Liquidity Adequacy Assessment Process - ILAAP) for covering liquidity risk, within the framework of an evaluation of current and future exposure that takes account of strategies and of changes in the reference context. It is the Regulatory Authority's task to examine the ILAAP process, formulate an overall judgment and, where necessary, apply the appropriate corrective measures. Glossary 834 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Fair value The sum for which, in a freely competitive market, an item can be exchanged or a liability extinguished between aware and independent parties. FINREP Document issued by the Committee of European Banking Supervisors (CEBS). The Committee gives advice to the European Commission on policy and regulatory issues relating to banking supervision; it also promotes cooperation and convergence of supervisory practice across the European Union. The objective of FINREP is to provide guidelines for the implementation of the consolidated Financial Reporting framework for supervisory purposes; it is based on International Financial Reporting Standards (IFRSs). FL - Forward looking IFRS9 adjustment that allows to reflect in the credit parameters the expectations about the future evolution of the economic cycle. Forbearance/Forborne exposures According to EBA Implementing Technical Standards, forborne exposures consist of exposures to which forbearance measures have been extended, i.e. concessions towards a debtor who is facing or about to face difficulties in meeting its financial commitments (“financial difficulties”). Forwards Forward contracts on interest rates, exchange rates or share indices, generally traded on "OTC - Over-the-Counter" (see item) markets, in which the conditions are fixed when the contract is agreed but execution will take place at a predetermined future date, by means of the collection or payment of differentials calculated with reference to various parameters according to the subject of the contract. FRTB - Fundamental Review of Trading Book Fundamental Review of Trading Book consists in a set of proposals by the Basel Committee on Banking Supervision for a new market risk-related capital requirement for banks. This reform this reforme is often named as "Basel IV". FTE - Full Time Equivalent The number of a company’s full-time employees. Part-time employees are considered on a pro-rata temporis basis. Full Revaluation Approach A methodology behind the historical simulation approach for VaR calculation, when the value of a portfolio is estimated by the complete revaluation of its value according to the simulation results. Funding Provision, in various forms, of the funds necessary to finance business activities or particular financial transactions. Futures Standardised contracts whereby the parties undertake to exchange money, transferable securities or goods at a present price at a future date. These contracts are traded on regulated markets, where their execution is guaranteed. FVOCI Financial asset at Fair Value through Other Comprehensive Income. FVtPL Financial Assets at Fair Value through Profit and Loss. GAR - Green Asset Ratio The Green Asset Ratio (GAR) is based on the EU Sustainable Finance Taxonomy and is a Paris aligned ratio that can be used to identify whether banks are financing sustainable activities, such as those consistent with the Paris agreement goals. GDP - Gross Domestic Product Total market value of the products and services produced by Country residents in a given time frame. GERMAS - Group Ermas Group platform used to compute Interest Rate Risk ("IRR") positions. GHOS - Governors and Heads of Supervision This is the oversight body of the Basel Committee on Banking Supervision. Goodwill The additional sum paid for the acquisition of an equity interest, equal to the difference between the cost and the corresponding share of net assets, for the portion not attributable to the identifiable assets of the acquired company. GW BANKS IRB calculation model - Group Wide model Financial Institution & Banks. GW MNC IRB calculation model - Group Wide Multinational Corporate. Hedge Fund Speculative mutual investment fund adopting hedging techniques which generally are not used by ordinary mutual funds, in order to deliver a constant performance, which is only hardly linked to reference markets. Hedge Funds are distinguished by a limited number of partners and require a high minimum level of investment. IAS/IFRS International accounting standards issued by the International Accounting Standard Board (IASB), a private international body established in April 2001, involving representatives of the accounting professions of the principal countries and, as observers, the European Union, IOSCO (International Organisation of Securities Commissions) and the Basel Committee. This body is the successor of the International Accounting Standards Committee (IASC), set up in 1973 to promote harmonisation of the rules for the preparation of company accounts. When the IASC became the IASB, it was decided, among other things, to name the new accounting principles "International Financial Reporting Standards" (IFRS). At international level, work is currently underway to harmonise the IAS/IFRS with the US GAAP - United States Generally Accepted Accounting Principles (Accounting principles issued by the Financial Accounting Statement Board-"FASB", generally accepted in the USA). ICAAP - Internal Capital Adequacy Assessment Process The discipline of the so called “Pillar 2” requires banks to implement processes and systems to determine the level of internal capital adequate to face any type of risk, also different from those provided by the capital requirements (Pillar 1) rules; in the scope of an assessment of the exposure, actual and future, that has to consider also the strategies and the evolution of the reference environment. ILAAP - Internal Liquidity Adequacy Assessment Process It requires the banks to have processes and tools for determining the adequate level of total internal liquidity (Internal Liquidity Adequacy Assessment Process - ILAAP) for covering liquidity risk, within the framework of an evaluation of current and future exposure that takes account of strategies and of changes in the reference context. It is the Regulatory Authority's task to examine the ILAAP process, formulate an overall judgment and, where necessary, apply the appropriate corrective measures. Glossary 834 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Fair value The sum for which, in a freely competitive market, an item can be exchanged or a liability extinguished between aware and independent parties. FINREP Document issued by the Committee of European Banking Supervisors (CEBS). The Committee gives advice to the European Commission on policy and regulatory issues relating to banking supervision; it also promotes cooperation and convergence of supervisory practice across the European Union. The objective of FINREP is to provide guidelines for the implementation of the consolidated Financial Reporting framework for supervisory purposes; it is based on International Financial Reporting Standards (IFRSs). FL - Forward looking IFRS9 adjustment that allows to reflect in the credit parameters the expectations about the future evolution of the economic cycle. Forbearance/Forborne exposures According to EBA Implementing Technical Standards, forborne exposures consist of exposures to which forbearance measures have been extended, i.e. concessions towards a debtor who is facing or about to face difficulties in meeting its financial commitments (“financial difficulties”). Forwards Forward contracts on interest rates, exchange rates or share indices, generally traded on "OTC - Over-the-Counter" (see item) markets, in which the conditions are fixed when the contract is agreed but execution will take place at a predetermined future date, by means of the collection or payment of differentials calculated with reference to various parameters according to the subject of the contract. FRTB - Fundamental Review of Trading Book Fundamental Review of Trading Book consists in a set of proposals by the Basel Committee on Banking Supervision for a new market risk-related capital requirement for banks. This reform this reforme is often named as "Basel IV". FTE - Full Time Equivalent The number of a company’s full-time employees. Part-time employees are considered on a pro-rata temporis basis. Full Revaluation Approach A methodology behind the historical simulation approach for VaR calculation, when the value of a portfolio is estimated by the complete revaluation of its value according to the simulation results. Funding Provision, in various forms, of the funds necessary to finance business activities or particular financial transactions. Futures Standardised contracts whereby the parties undertake to exchange money, transferable securities or goods at a present price at a future date. These contracts are traded on regulated markets, where their execution is guaranteed. FVOCI Financial asset at Fair Value through Other Comprehensive Income. FVtPL Financial Assets at Fair Value through Profit and Loss. GAR - Green Asset Ratio The Green Asset Ratio (GAR) is based on the EU Sustainable Finance Taxonomy and is a Paris aligned ratio that can be used to identify whether banks are financing sustainable activities, such as those consistent with the Paris agreement goals. GDP - Gross Domestic Product Total market value of the products and services produced by Country residents in a given time frame. GERMAS - Group Ermas Group platform used to compute Interest Rate Risk ("IRR") positions. GHOS - Governors and Heads of Supervision This is the oversight body of the Basel Committee on Banking Supervision. Goodwill The additional sum paid for the acquisition of an equity interest, equal to the difference between the cost and the corresponding share of net assets, for the portion not attributable to the identifiable assets of the acquired company. GW BANKS IRB calculation model - Group Wide model Financial Institution & Banks. GW MNC IRB calculation model - Group Wide Multinational Corporate. Hedge Fund Speculative mutual investment fund adopting hedging techniques which generally are not used by ordinary mutual funds, in order to deliver a constant performance, which is only hardly linked to reference markets. Hedge Funds are distinguished by a limited number of partners and require a high minimum level of investment. IAS/IFRS International accounting standards issued by the International Accounting Standard Board (IASB), a private international body established in April 2001, involving representatives of the accounting professions of the principal countries and, as observers, the European Union, IOSCO (International Organisation of Securities Commissions) and the Basel Committee. This body is the successor of the International Accounting Standards Committee (IASC), set up in 1973 to promote harmonisation of the rules for the preparation of company accounts. When the IASC became the IASB, it was decided, among other things, to name the new accounting principles "International Financial Reporting Standards" (IFRS). At international level, work is currently underway to harmonise the IAS/IFRS with the US GAAP - United States Generally Accepted Accounting Principles (Accounting principles issued by the Financial Accounting Statement Board-"FASB", generally accepted in the USA). ICAAP - Internal Capital Adequacy Assessment Process The discipline of the so called “Pillar 2” requires banks to implement processes and systems to determine the level of internal capital adequate to face any type of risk, also different from those provided by the capital requirements (Pillar 1) rules; in the scope of an assessment of the exposure, actual and future, that has to consider also the strategies and the evolution of the reference environment. ILAAP - Internal Liquidity Adequacy Assessment Process It requires the banks to have processes and tools for determining the adequate level of total internal liquidity (Internal Liquidity Adequacy Assessment Process - ILAAP) for covering liquidity risk, within the framework of an evaluation of current and future exposure that takes account of strategies and of changes in the reference context. It is the Regulatory Authority's task to examine the ILAAP process, formulate an overall judgment and, where necessary, apply the appropriate corrective measures.  Glossary UniCredit · 2021 Annual Report and Accounts 835 ITEM DESCRIPTION ILC - Italian Large Corporate IRB calculation model - Italian Large Corporate. Impaired loans Loans are subjected to periodic examination in order to identify those which, following events occurring after their entry in the accounts (at the market value, normally equal to the disbursed amount including the transaction costs and revenues directly attributable to the disbursement of the loan), show objective signs of a possible loss of value. This category includes loans that have been classed as bad, doubtful, restructured or overdue, in accordance with Banca d’Italia rules consistent with IAS/IFRS (see item). Impairment Within the framework of the IAS/IFRS (see item), this refers to the loss of value of a balance sheet asset, recorded when the book value is greater than the recoverable value, i.e. the sum that can be obtained by selling or using the asset. Interest rate risk - (IRR) Interest rate risk expresses the exposure to unfavorable changes in interest rates on the economic value of the equity and on the expected interest margin. Investor Any entity other than the Sponsor (see item) or Originator (see item) with exposure to a securitisation. IRB - Internal Rating Based Method for determining the capital needed to cover credit risk within the framework of Pillar 1 of Basel 2 (see item). The rules are applied to the exposures of the banking portfolio. Furthermore, in the IRB methods the risk weightings of the assets are determined on the basis of the bank's own internal evaluations of the debtors (or, in some cases, of the transactions). Using systems based on internal ratings, the banks determine the weighted risk exposure. The IRB methods consist of a basic method and an advanced method, which differ in terms of the risk parameters that the bank must estimate: in the basic method, the banks use their own estimates for "PD - Probability of Default” and the regulatory values for the other risk parameters; in the advanced method, the banks use their own estimates for " PD - Probability of Default ", "LGD - Loss Given Default", "CCF - Credit Conversion Factors" and, where provided for, "M - Maturity" (see item). The use of IRB methods for the calculation of capital requirements is subject to authorisation from Banca d’Italia. IRC - Incremental Risk Charge Incremental Risk Charge is a measure of potential losses arising from default and migration risks of unsecuritised credit products over a 1-year capital horizon at a 99.9% confidence level, taking into account the liquidity horizons of individual positions. IRS - Interest Rate Swap See "Swap". Joint venture Agreement between two or more companies for the conduct of a given economic activity, usually through the constitution of a joint stock company. Junior, Mezzanine and Senior exposures In a securitisation transaction, the exposures may be classified as follows: • junior exposures are the last to be repaid, and consequently absorb the first loss produced by the securitisation transaction; • mezzanine exposures are those with medium repayment priority, between senior and junior; • senior exposures are the first to be repaid. Ke The cost of equity is the minimum return on investment required by the shareholder. It is the sum of a risk-free rate and an additional spread remunerating the shareholder for the market risk and the volatility of the share price. The cost of capital is based on medium/long term averages of market parameters. KPI - Key Performance Indicators Set of indicators used to evaluate the performance of a business activity or process. LCR - Liquidity Coverage Ratio Ratio of a credit institution’s liquidity buffer to its net liquidity outflows over a 30 calendar day stress period. Leasing Contract whereby one party (the lessor) grants to another party (the lessee) for a given period of time the enjoyment of an asset purchased or built by the lessor at the choice and on the instructions of the lessee, with the latter having the option of acquiring ownership of the asset under predetermined conditions at the end of the leasing contract. Leverage ratio Is a measure which allows for the assessment of institutions’ exposure to the risk of excessive leverage. Leveraged finance Loans provided mainly to Private Equity funds in order to finance the acquisition of a company through a financial transaction based on the cash flow generation capacity of such target company. This can result in a higher level of debt and therefore a higher level of risk. Leveraged finance may be syndicated. LGD - Loss Given Default Expected value (which may be conditional upon adverse scenarios) of the ratio, expressed as a percentage, between the loss giving rise to the default and the amount of exposure at the time of the default (“EAD - Exposure At Default”, see item). Liquidity risk The risk of the company being unable to meet its payment commitments due to the inability to mobilise assets or obtain adequate funding from the market (funding liquidity risk) or due to the difficulty/impossibility of easily liquidating positions in financial assets without significantly and unfavourably affecting the price because of insufficient depth or temporary malfunction of the financial market (market liquidity risk). M - Maturity The average, for a given exposure, of the residual contractual maturities, each weighted for the relevant amount. Market risk The effect that changes in market variables might have on the economic value of the Group's portfolio, where this includes both the assets held in the Trading Book and those entered in the Banking Book, or the operations connected with the characteristic management of the commercial bank and its strategic investment choices. MDA - Maximum Distributable Amount Maximum Distributable Amount, i.e. a limit to the distributable profits in order to preserve the Combined Buffer Requirement. MREL - Minimum requirement for eligible liabilities Minimum requirements for own funds and eligible liabilities, is designed to ensure that there are sufficient resources to write down or convert into equity if a bank or other financial institution is in crisis. This allows the central government to intervene quickly in order to maintain the critical operations of that institution, without using tax money. Glossary UniCredit · 2021 Annual Report and Accounts 835 ITEM DESCRIPTION ILC - Italian Large Corporate IRB calculation model - Italian Large Corporate. Impaired loans Loans are subjected to periodic examination in order to identify those which, following events occurring after their entry in the accounts (at the market value, normally equal to the disbursed amount including the transaction costs and revenues directly attributable to the disbursement of the loan), show objective signs of a possible loss of value. This category includes loans that have been classed as bad, doubtful, restructured or overdue, in accordance with Banca d’Italia rules consistent with IAS/IFRS (see item). Impairment Within the framework of the IAS/IFRS (see item), this refers to the loss of value of a balance sheet asset, recorded when the book value is greater than the recoverable value, i.e. the sum that can be obtained by selling or using the asset. Interest rate risk - (IRR) Interest rate risk expresses the exposure to unfavorable changes in interest rates on the economic value of the equity and on the expected interest margin. Investor Any entity other than the Sponsor (see item) or Originator (see item) with exposure to a securitisation. IRB - Internal Rating Based Method for determining the capital needed to cover credit risk within the framework of Pillar 1 of Basel 2 (see item). The rules are applied to the exposures of the banking portfolio. Furthermore, in the IRB methods the risk weightings of the assets are determined on the basis of the bank's own internal evaluations of the debtors (or, in some cases, of the transactions). Using systems based on internal ratings, the banks determine the weighted risk exposure. The IRB methods consist of a basic method and an advanced method, which differ in terms of the risk parameters that the bank must estimate: in the basic method, the banks use their own estimates for "PD - Probability of Default” and the regulatory values for the other risk parameters; in the advanced method, the banks use their own estimates for " PD - Probability of Default ", "LGD - Loss Given Default", "CCF - Credit Conversion Factors" and, where provided for, "M - Maturity" (see item). The use of IRB methods for the calculation of capital requirements is subject to authorisation from Banca d’Italia. IRC - Incremental Risk Charge Incremental Risk Charge is a measure of potential losses arising from default and migration risks of unsecuritised credit products over a 1-year capital horizon at a 99.9% confidence level, taking into account the liquidity horizons of individual positions. IRS - Interest Rate Swap See "Swap". Joint venture Agreement between two or more companies for the conduct of a given economic activity, usually through the constitution of a joint stock company. Junior, Mezzanine and Senior exposures In a securitisation transaction, the exposures may be classified as follows: • junior exposures are the last to be repaid, and consequently absorb the first loss produced by the securitisation transaction; • mezzanine exposures are those with medium repayment priority, between senior and junior; • senior exposures are the first to be repaid. Ke The cost of equity is the minimum return on investment required by the shareholder. It is the sum of a risk-free rate and an additional spread remunerating the shareholder for the market risk and the volatility of the share price. The cost of capital is based on medium/long term averages of market parameters. KPI - Key Performance Indicators Set of indicators used to evaluate the performance of a business activity or process. LCR - Liquidity Coverage Ratio Ratio of a credit institution’s liquidity buffer to its net liquidity outflows over a 30 calendar day stress period. Leasing Contract whereby one party (the lessor) grants to another party (the lessee) for a given period of time the enjoyment of an asset purchased or built by the lessor at the choice and on the instructions of the lessee, with the latter having the option of acquiring ownership of the asset under predetermined conditions at the end of the leasing contract. Leverage ratio Is a measure which allows for the assessment of institutions’ exposure to the risk of excessive leverage. Leveraged finance Loans provided mainly to Private Equity funds in order to finance the acquisition of a company through a financial transaction based on the cash flow generation capacity of such target company. This can result in a higher level of debt and therefore a higher level of risk. Leveraged finance may be syndicated. LGD - Loss Given Default Expected value (which may be conditional upon adverse scenarios) of the ratio, expressed as a percentage, between the loss giving rise to the default and the amount of exposure at the time of the default (“EAD - Exposure At Default”, see item). Liquidity risk The risk of the company being unable to meet its payment commitments due to the inability to mobilise assets or obtain adequate funding from the market (funding liquidity risk) or due to the difficulty/impossibility of easily liquidating positions in financial assets without significantly and unfavourably affecting the price because of insufficient depth or temporary malfunction of the financial market (market liquidity risk). M - Maturity The average, for a given exposure, of the residual contractual maturities, each weighted for the relevant amount. Market risk The effect that changes in market variables might have on the economic value of the Group's portfolio, where this includes both the assets held in the Trading Book and those entered in the Banking Book, or the operations connected with the characteristic management of the commercial bank and its strategic investment choices. MDA - Maximum Distributable Amount Maximum Distributable Amount, i.e. a limit to the distributable profits in order to preserve the Combined Buffer Requirement. MREL - Minimum requirement for eligible liabilities Minimum requirements for own funds and eligible liabilities, is designed to ensure that there are sufficient resources to write down or convert into equity if a bank or other financial institution is in crisis. This allows the central government to intervene quickly in order to maintain the critical operations of that institution, without using tax money. Glossary UniCredit · 2021 Annual Report and Accounts 835 ITEM DESCRIPTION ILC - Italian Large Corporate IRB calculation model - Italian Large Corporate. Impaired loans Loans are subjected to periodic examination in order to identify those which, following events occurring after their entry in the accounts (at the market value, normally equal to the disbursed amount including the transaction costs and revenues directly attributable to the disbursement of the loan), show objective signs of a possible loss of value. This category includes loans that have been classed as bad, doubtful, restructured or overdue, in accordance with Banca d’Italia rules consistent with IAS/IFRS (see item). Impairment Within the framework of the IAS/IFRS (see item), this refers to the loss of value of a balance sheet asset, recorded when the book value is greater than the recoverable value, i.e. the sum that can be obtained by selling or using the asset. Interest rate risk - (IRR) Interest rate risk expresses the exposure to unfavorable changes in interest rates on the economic value of the equity and on the expected interest margin. Investor Any entity other than the Sponsor (see item) or Originator (see item) with exposure to a securitisation. IRB - Internal Rating Based Method for determining the capital needed to cover credit risk within the framework of Pillar 1 of Basel 2 (see item). The rules are applied to the exposures of the banking portfolio. Furthermore, in the IRB methods the risk weightings of the assets are determined on the basis of the bank's own internal evaluations of the debtors (or, in some cases, of the transactions). Using systems based on internal ratings, the banks determine the weighted risk exposure. The IRB methods consist of a basic method and an advanced method, which differ in terms of the risk parameters that the bank must estimate: in the basic method, the banks use their own estimates for "PD - Probability of Default” and the regulatory values for the other risk parameters; in the advanced method, the banks use their own estimates for " PD - Probability of Default ", "LGD - Loss Given Default", "CCF - Credit Conversion Factors" and, where provided for, "M - Maturity" (see item). The use of IRB methods for the calculation of capital requirements is subject to authorisation from Banca d’Italia. IRC - Incremental Risk Charge Incremental Risk Charge is a measure of potential losses arising from default and migration risks of unsecuritised credit products over a 1-year capital horizon at a 99.9% confidence level, taking into account the liquidity horizons of individual positions. IRS - Interest Rate Swap See "Swap". Joint venture Agreement between two or more companies for the conduct of a given economic activity, usually through the constitution of a joint stock company. Junior, Mezzanine and Senior exposures In a securitisation transaction, the exposures may be classified as follows: • junior exposures are the last to be repaid, and consequently absorb the first loss produced by the securitisation transaction; • mezzanine exposures are those with medium repayment priority, between senior and junior; • senior exposures are the first to be repaid. Ke The cost of equity is the minimum return on investment required by the shareholder. It is the sum of a risk-free rate and an additional spread remunerating the shareholder for the market risk and the volatility of the share price. The cost of capital is based on medium/long term averages of market parameters. KPI - Key Performance Indicators Set of indicators used to evaluate the performance of a business activity or process. LCR - Liquidity Coverage Ratio Ratio of a credit institution’s liquidity buffer to its net liquidity outflows over a 30 calendar day stress period. Leasing Contract whereby one party (the lessor) grants to another party (the lessee) for a given period of time the enjoyment of an asset purchased or built by the lessor at the choice and on the instructions of the lessee, with the latter having the option of acquiring ownership of the asset under predetermined conditions at the end of the leasing contract. Leverage ratio Is a measure which allows for the assessment of institutions’ exposure to the risk of excessive leverage. Leveraged finance Loans provided mainly to Private Equity funds in order to finance the acquisition of a company through a financial transaction based on the cash flow generation capacity of such target company. This can result in a higher level of debt and therefore a higher level of risk. Leveraged finance may be syndicated. LGD - Loss Given Default Expected value (which may be conditional upon adverse scenarios) of the ratio, expressed as a percentage, between the loss giving rise to the default and the amount of exposure at the time of the default (“EAD - Exposure At Default”, see item). Liquidity risk The risk of the company being unable to meet its payment commitments due to the inability to mobilise assets or obtain adequate funding from the market (funding liquidity risk) or due to the difficulty/impossibility of easily liquidating positions in financial assets without significantly and unfavourably affecting the price because of insufficient depth or temporary malfunction of the financial market (market liquidity risk). M - Maturity The average, for a given exposure, of the residual contractual maturities, each weighted for the relevant amount. Market risk The effect that changes in market variables might have on the economic value of the Group's portfolio, where this includes both the assets held in the Trading Book and those entered in the Banking Book, or the operations connected with the characteristic management of the commercial bank and its strategic investment choices. MDA - Maximum Distributable Amount Maximum Distributable Amount, i.e. a limit to the distributable profits in order to preserve the Combined Buffer Requirement. MREL - Minimum requirement for eligible liabilities Minimum requirements for own funds and eligible liabilities, is designed to ensure that there are sufficient resources to write down or convert into equity if a bank or other financial institution is in crisis. This allows the central government to intervene quickly in order to maintain the critical operations of that institution, without using tax money. Glossary UniCredit · 2021 Annual Report and Accounts 835 ITEM DESCRIPTION ILC - Italian Large Corporate IRB calculation model - Italian Large Corporate. Impaired loans Loans are subjected to periodic examination in order to identify those which, following events occurring after their entry in the accounts (at the market value, normally equal to the disbursed amount including the transaction costs and revenues directly attributable to the disbursement of the loan), show objective signs of a possible loss of value. This category includes loans that have been classed as bad, doubtful, restructured or overdue, in accordance with Banca d’Italia rules consistent with IAS/IFRS (see item). Impairment Within the framework of the IAS/IFRS (see item), this refers to the loss of value of a balance sheet asset, recorded when the book value is greater than the recoverable value, i.e. the sum that can be obtained by selling or using the asset. Interest rate risk - (IRR) Interest rate risk expresses the exposure to unfavorable changes in interest rates on the economic value of the equity and on the expected interest margin. Investor Any entity other than the Sponsor (see item) or Originator (see item) with exposure to a securitisation. IRB - Internal Rating Based Method for determining the capital needed to cover credit risk within the framework of Pillar 1 of Basel 2 (see item). The rules are applied to the exposures of the banking portfolio. Furthermore, in the IRB methods the risk weightings of the assets are determined on the basis of the bank's own internal evaluations of the debtors (or, in some cases, of the transactions). Using systems based on internal ratings, the banks determine the weighted risk exposure. The IRB methods consist of a basic method and an advanced method, which differ in terms of the risk parameters that the bank must estimate: in the basic method, the banks use their own estimates for "PD - Probability of Default” and the regulatory values for the other risk parameters; in the advanced method, the banks use their own estimates for " PD - Probability of Default ", "LGD - Loss Given Default", "CCF - Credit Conversion Factors" and, where provided for, "M - Maturity" (see item). The use of IRB methods for the calculation of capital requirements is subject to authorisation from Banca d’Italia. IRC - Incremental Risk Charge Incremental Risk Charge is a measure of potential losses arising from default and migration risks of unsecuritised credit products over a 1-year capital horizon at a 99.9% confidence level, taking into account the liquidity horizons of individual positions. IRS - Interest Rate Swap See "Swap". Joint venture Agreement between two or more companies for the conduct of a given economic activity, usually through the constitution of a joint stock company. Junior, Mezzanine and Senior exposures In a securitisation transaction, the exposures may be classified as follows: • junior exposures are the last to be repaid, and consequently absorb the first loss produced by the securitisation transaction; • mezzanine exposures are those with medium repayment priority, between senior and junior; • senior exposures are the first to be repaid. Ke The cost of equity is the minimum return on investment required by the shareholder. It is the sum of a risk-free rate and an additional spread remunerating the shareholder for the market risk and the volatility of the share price. The cost of capital is based on medium/long term averages of market parameters. KPI - Key Performance Indicators Set of indicators used to evaluate the performance of a business activity or process. LCR - Liquidity Coverage Ratio Ratio of a credit institution’s liquidity buffer to its net liquidity outflows over a 30 calendar day stress period. Leasing Contract whereby one party (the lessor) grants to another party (the lessee) for a given period of time the enjoyment of an asset purchased or built by the lessor at the choice and on the instructions of the lessee, with the latter having the option of acquiring ownership of the asset under predetermined conditions at the end of the leasing contract. Leverage ratio Is a measure which allows for the assessment of institutions’ exposure to the risk of excessive leverage. Leveraged finance Loans provided mainly to Private Equity funds in order to finance the acquisition of a company through a financial transaction based on the cash flow generation capacity of such target company. This can result in a higher level of debt and therefore a higher level of risk. Leveraged finance may be syndicated. LGD - Loss Given Default Expected value (which may be conditional upon adverse scenarios) of the ratio, expressed as a percentage, between the loss giving rise to the default and the amount of exposure at the time of the default (“EAD - Exposure At Default”, see item). Liquidity risk The risk of the company being unable to meet its payment commitments due to the inability to mobilise assets or obtain adequate funding from the market (funding liquidity risk) or due to the difficulty/impossibility of easily liquidating positions in financial assets without significantly and unfavourably affecting the price because of insufficient depth or temporary malfunction of the financial market (market liquidity risk). M - Maturity The average, for a given exposure, of the residual contractual maturities, each weighted for the relevant amount. Market risk The effect that changes in market variables might have on the economic value of the Group's portfolio, where this includes both the assets held in the Trading Book and those entered in the Banking Book, or the operations connected with the characteristic management of the commercial bank and its strategic investment choices. MDA - Maximum Distributable Amount Maximum Distributable Amount, i.e. a limit to the distributable profits in order to preserve the Combined Buffer Requirement. MREL - Minimum requirement for eligible liabilities Minimum requirements for own funds and eligible liabilities, is designed to ensure that there are sufficient resources to write down or convert into equity if a bank or other financial institution is in crisis. This allows the central government to intervene quickly in order to maintain the critical operations of that institution, without using tax money. Glossary UniCredit · 2021 Annual Report and Accounts 835 ITEM DESCRIPTION ILC - Italian Large Corporate IRB calculation model - Italian Large Corporate. Impaired loans Loans are subjected to periodic examination in order to identify those which, following events occurring after their entry in the accounts (at the market value, normally equal to the disbursed amount including the transaction costs and revenues directly attributable to the disbursement of the loan), show objective signs of a possible loss of value. This category includes loans that have been classed as bad, doubtful, restructured or overdue, in accordance with Banca d’Italia rules consistent with IAS/IFRS (see item). Impairment Within the framework of the IAS/IFRS (see item), this refers to the loss of value of a balance sheet asset, recorded when the book value is greater than the recoverable value, i.e. the sum that can be obtained by selling or using the asset. Interest rate risk - (IRR) Interest rate risk expresses the exposure to unfavorable changes in interest rates on the economic value of the equity and on the expected interest margin. Investor Any entity other than the Sponsor (see item) or Originator (see item) with exposure to a securitisation. IRB - Internal Rating Based Method for determining the capital needed to cover credit risk within the framework of Pillar 1 of Basel 2 (see item). The rules are applied to the exposures of the banking portfolio. Furthermore, in the IRB methods the risk weightings of the assets are determined on the basis of the bank's own internal evaluations of the debtors (or, in some cases, of the transactions). Using systems based on internal ratings, the banks determine the weighted risk exposure. The IRB methods consist of a basic method and an advanced method, which differ in terms of the risk parameters that the bank must estimate: in the basic method, the banks use their own estimates for "PD - Probability of Default” and the regulatory values for the other risk parameters; in the advanced method, the banks use their own estimates for " PD - Probability of Default ", "LGD - Loss Given Default", "CCF - Credit Conversion Factors" and, where provided for, "M - Maturity" (see item). The use of IRB methods for the calculation of capital requirements is subject to authorisation from Banca d’Italia. IRC - Incremental Risk Charge Incremental Risk Charge is a measure of potential losses arising from default and migration risks of unsecuritised credit products over a 1-year capital horizon at a 99.9% confidence level, taking into account the liquidity horizons of individual positions. IRS - Interest Rate Swap See "Swap". Joint venture Agreement between two or more companies for the conduct of a given economic activity, usually through the constitution of a joint stock company. Junior, Mezzanine and Senior exposures In a securitisation transaction, the exposures may be classified as follows: • junior exposures are the last to be repaid, and consequently absorb the first loss produced by the securitisation transaction; • mezzanine exposures are those with medium repayment priority, between senior and junior; • senior exposures are the first to be repaid. Ke The cost of equity is the minimum return on investment required by the shareholder. It is the sum of a risk-free rate and an additional spread remunerating the shareholder for the market risk and the volatility of the share price. The cost of capital is based on medium/long term averages of market parameters. KPI - Key Performance Indicators Set of indicators used to evaluate the performance of a business activity or process. LCR - Liquidity Coverage Ratio Ratio of a credit institution’s liquidity buffer to its net liquidity outflows over a 30 calendar day stress period. Leasing Contract whereby one party (the lessor) grants to another party (the lessee) for a given period of time the enjoyment of an asset purchased or built by the lessor at the choice and on the instructions of the lessee, with the latter having the option of acquiring ownership of the asset under predetermined conditions at the end of the leasing contract. Leverage ratio Is a measure which allows for the assessment of institutions’ exposure to the risk of excessive leverage. Leveraged finance Loans provided mainly to Private Equity funds in order to finance the acquisition of a company through a financial transaction based on the cash flow generation capacity of such target company. This can result in a higher level of debt and therefore a higher level of risk. Leveraged finance may be syndicated. LGD - Loss Given Default Expected value (which may be conditional upon adverse scenarios) of the ratio, expressed as a percentage, between the loss giving rise to the default and the amount of exposure at the time of the default (“EAD - Exposure At Default”, see item). Liquidity risk The risk of the company being unable to meet its payment commitments due to the inability to mobilise assets or obtain adequate funding from the market (funding liquidity risk) or due to the difficulty/impossibility of easily liquidating positions in financial assets without significantly and unfavourably affecting the price because of insufficient depth or temporary malfunction of the financial market (market liquidity risk). M - Maturity The average, for a given exposure, of the residual contractual maturities, each weighted for the relevant amount. Market risk The effect that changes in market variables might have on the economic value of the Group's portfolio, where this includes both the assets held in the Trading Book and those entered in the Banking Book, or the operations connected with the characteristic management of the commercial bank and its strategic investment choices. MDA - Maximum Distributable Amount Maximum Distributable Amount, i.e. a limit to the distributable profits in order to preserve the Combined Buffer Requirement. MREL - Minimum requirement for eligible liabilities Minimum requirements for own funds and eligible liabilities, is designed to ensure that there are sufficient resources to write down or convert into equity if a bank or other financial institution is in crisis. This allows the central government to intervene quickly in order to maintain the critical operations of that institution, without using tax money.  Glossary 836 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION NOPAT - Net Operating Profit After Tax Net Operating Profit after tax and minority interests, adjusted by elements that would not allow to assess the capability to create value through ordinary operations, such as extraordinary expenses and earnings. It represents the share of Group Net Profit produced by typical business activities, gross of the costs of capital. NPE - Non-performing exposures According to EBA Implementing Technical Standards, non-performing exposures are debt instruments and off-balance sheet exposures which satisfy either or both of the following criteria: (i) material exposures which are more than 90 days past-due; (ii) the debtor is assessed as unlikely to pay its credit obligations in full without realisation of collateral, regardless of the existence of any past-due amount or of the number of days past due. Operational risk The risk of losses due to errors, infringements, interruptions, damages caused by internal processes or personnel, systems, or caused by external events. This definition includes legal and compliance risks but excludes strategic and reputational risk. For example, losses arising from the following can be defined as operational: internal or external fraud, employment practices and workplace safety, client claims, products distribution, fines and penalties due to regulation breaches, damages to the company’s physical assets, business disruption and system failures, process management. Option The right, but not the commitment, acquired by the payment of a premium, to buy (call option) or sell (put option) a financial instrument at a given price (strike price) by or at a determined future date (American option/European option). Originator The entity that originated the assets to be securitised or acquired them from others. OTC - Over The Counter Over the counter (OTC) trading consists of the exchange of financial instruments such as shares, bonds, derivatives or goods directly between two counterparties. The OTC markets do not have standardised contracts or buying/selling procedures and are not associated with a set of rules (admissions, controls, obligations of information, etc.) like those that govern the official markets. PACTA - Paris Agreement Capital Transition Assessment Paris Agreement Capital Transition Assessment is a free, open-source methodology and tool, which measures financial portfolio’s alignment with various climate scenarios consistent with the Paris Agreement. Past Due Problematic exposures that, at the reporting date, are more than 90 days past due on any material obligation, as required by the relevant prudential regulation. Past due can be determined either at individual debtor or at single transaction level according to the relevant local prudential regulation. Payout ratio The cost of equity is the minimum return on investment required by the shareholder. It is the sum of a risk-free rate and an additional spread remunerating the shareholder for the market risk and the volatility of the share price. The cost of capital is based on medium/long term averages of market parameters. PD - Probability of Default Probability of a counterparty entering into a situation of "default" (see item) within a time horizon of one year. PEPP - Pandemic Emergency Purchase Programme Massive new stimulus package from the ECB to support the eurozone economy as a response to the Covid-19 (coronavirus) crisis. PIT - Point in time Calibration type of the credit parameters on a horizon that considers the current economic situation. POCI - Purchased Originated Credit Impaired Credit exposures that are already impaired on initial recognition. Preference shares Capital instruments that associate forms of remuneration tied to market rates with particularly pronounced subordination conditions, such as non-recovery in subsequent years of the interest not paid by the bank and bearing a share of its losses in the event that these produce a significant reduction in the capital requirements. The regulatory authorities set the conditions under which preference shares may be counted among the core capital of banks and banking groups. Private equity Investments in the risk capital of companies, generally unlisted but with high growth potential and the ability to generate constant cash flows. Investments in private equity include a wide range of operations that vary according to both the development phase of the company concerned and the investment techniques used. These techniques include closed-end private equity funds. Purchase companies Vehicle used by “ABCP Conduits - Asset Backed Commercial Paper Conduits” (see item) to purchase the assets to be securitised and subsequently financed by the Conduit vehicle by means of commercial paper. RAF - Risk Appetite Framework Within the ICAAP processes, RAF represents a managerial tool for ensuring the business evolution towards a sustainable healthy growth and steering the long- and short-term strategy. Rating Evaluation of the quality of a company or its issues of debt securities on the basis of the company's financial soundness and prospects. This evaluation is made either by specialist agencies or by the bank on the basis of internal models. Reputational risk Reputational risk is defined as the current or prospective risk to earnings and capital arising from the adverse perception of the image of the financial institution on the part of customers, counterparties (including also debt-holders, market analysts, other relevant parties), shareholders/investors, regulators or employees (stakeholders). Reputational risk is a secondary risk generated as a "knock-on effect" from risk categories, such as credit, market, operational and liquidity risks and all others risks types (e.g., business risk, strategy risk, ESG risk which considers the environmental, social and governance aspects of responsible investments). Reputational risk could also be generated from material events. Retail Customer segment consisting principally of private individuals, self-employed professionals, traders and artisans. RIC IRB calculation model - Integrated Corporate Rating. RIP IRB calculation model - Integrated Private Rating. RISB IRB calculation model - Rating Integrated Small Business (Small Business Integrate Rating). Glossary 836 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION NOPAT - Net Operating Profit After Tax Net Operating Profit after tax and minority interests, adjusted by elements that would not allow to assess the capability to create value through ordinary operations, such as extraordinary expenses and earnings. It represents the share of Group Net Profit produced by typical business activities, gross of the costs of capital. NPE - Non-performing exposures According to EBA Implementing Technical Standards, non-performing exposures are debt instruments and off-balance sheet exposures which satisfy either or both of the following criteria: (i) material exposures which are more than 90 days past-due; (ii) the debtor is assessed as unlikely to pay its credit obligations in full without realisation of collateral, regardless of the existence of any past-due amount or of the number of days past due. Operational risk The risk of losses due to errors, infringements, interruptions, damages caused by internal processes or personnel, systems, or caused by external events. This definition includes legal and compliance risks but excludes strategic and reputational risk. For example, losses arising from the following can be defined as operational: internal or external fraud, employment practices and workplace safety, client claims, products distribution, fines and penalties due to regulation breaches, damages to the company’s physical assets, business disruption and system failures, process management. Option The right, but not the commitment, acquired by the payment of a premium, to buy (call option) or sell (put option) a financial instrument at a given price (strike price) by or at a determined future date (American option/European option). Originator The entity that originated the assets to be securitised or acquired them from others. OTC - Over The Counter Over the counter (OTC) trading consists of the exchange of financial instruments such as shares, bonds, derivatives or goods directly between two counterparties. The OTC markets do not have standardised contracts or buying/selling procedures and are not associated with a set of rules (admissions, controls, obligations of information, etc.) like those that govern the official markets. PACTA - Paris Agreement Capital Transition Assessment Paris Agreement Capital Transition Assessment is a free, open-source methodology and tool, which measures financial portfolio’s alignment with various climate scenarios consistent with the Paris Agreement. Past Due Problematic exposures that, at the reporting date, are more than 90 days past due on any material obligation, as required by the relevant prudential regulation. Past due can be determined either at individual debtor or at single transaction level according to the relevant local prudential regulation. Payout ratio The cost of equity is the minimum return on investment required by the shareholder. It is the sum of a risk-free rate and an additional spread remunerating the shareholder for the market risk and the volatility of the share price. The cost of capital is based on medium/long term averages of market parameters. PD - Probability of Default Probability of a counterparty entering into a situation of "default" (see item) within a time horizon of one year. PEPP - Pandemic Emergency Purchase Programme Massive new stimulus package from the ECB to support the eurozone economy as a response to the Covid-19 (coronavirus) crisis. PIT - Point in time Calibration type of the credit parameters on a horizon that considers the current economic situation. POCI - Purchased Originated Credit Impaired Credit exposures that are already impaired on initial recognition. Preference shares Capital instruments that associate forms of remuneration tied to market rates with particularly pronounced subordination conditions, such as non-recovery in subsequent years of the interest not paid by the bank and bearing a share of its losses in the event that these produce a significant reduction in the capital requirements. The regulatory authorities set the conditions under which preference shares may be counted among the core capital of banks and banking groups. Private equity Investments in the risk capital of companies, generally unlisted but with high growth potential and the ability to generate constant cash flows. Investments in private equity include a wide range of operations that vary according to both the development phase of the company concerned and the investment techniques used. These techniques include closed-end private equity funds. Purchase companies Vehicle used by “ABCP Conduits - Asset Backed Commercial Paper Conduits” (see item) to purchase the assets to be securitised and subsequently financed by the Conduit vehicle by means of commercial paper. RAF - Risk Appetite Framework Within the ICAAP processes, RAF represents a managerial tool for ensuring the business evolution towards a sustainable healthy growth and steering the long- and short-term strategy. Rating Evaluation of the quality of a company or its issues of debt securities on the basis of the company's financial soundness and prospects. This evaluation is made either by specialist agencies or by the bank on the basis of internal models. Reputational risk Reputational risk is defined as the current or prospective risk to earnings and capital arising from the adverse perception of the image of the financial institution on the part of customers, counterparties (including also debt-holders, market analysts, other relevant parties), shareholders/investors, regulators or employees (stakeholders). Reputational risk is a secondary risk generated as a "knock-on effect" from risk categories, such as credit, market, operational and liquidity risks and all others risks types (e.g., business risk, strategy risk, ESG risk which considers the environmental, social and governance aspects of responsible investments). Reputational risk could also be generated from material events. Retail Customer segment consisting principally of private individuals, self-employed professionals, traders and artisans. RIC IRB calculation model - Integrated Corporate Rating. RIP IRB calculation model - Integrated Private Rating. RISB IRB calculation model - Rating Integrated Small Business (Small Business Integrate Rating). Glossary 836 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION NOPAT - Net Operating Profit After Tax Net Operating Profit after tax and minority interests, adjusted by elements that would not allow to assess the capability to create value through ordinary operations, such as extraordinary expenses and earnings. It represents the share of Group Net Profit produced by typical business activities, gross of the costs of capital. NPE - Non-performing exposures According to EBA Implementing Technical Standards, non-performing exposures are debt instruments and off-balance sheet exposures which satisfy either or both of the following criteria: (i) material exposures which are more than 90 days past-due; (ii) the debtor is assessed as unlikely to pay its credit obligations in full without realisation of collateral, regardless of the existence of any past-due amount or of the number of days past due. Operational risk The risk of losses due to errors, infringements, interruptions, damages caused by internal processes or personnel, systems, or caused by external events. This definition includes legal and compliance risks but excludes strategic and reputational risk. For example, losses arising from the following can be defined as operational: internal or external fraud, employment practices and workplace safety, client claims, products distribution, fines and penalties due to regulation breaches, damages to the company’s physical assets, business disruption and system failures, process management. Option The right, but not the commitment, acquired by the payment of a premium, to buy (call option) or sell (put option) a financial instrument at a given price (strike price) by or at a determined future date (American option/European option). Originator The entity that originated the assets to be securitised or acquired them from others. OTC - Over The Counter Over the counter (OTC) trading consists of the exchange of financial instruments such as shares, bonds, derivatives or goods directly between two counterparties. The OTC markets do not have standardised contracts or buying/selling procedures and are not associated with a set of rules (admissions, controls, obligations of information, etc.) like those that govern the official markets. PACTA - Paris Agreement Capital Transition Assessment Paris Agreement Capital Transition Assessment is a free, open-source methodology and tool, which measures financial portfolio’s alignment with various climate scenarios consistent with the Paris Agreement. Past Due Problematic exposures that, at the reporting date, are more than 90 days past due on any material obligation, as required by the relevant prudential regulation. Past due can be determined either at individual debtor or at single transaction level according to the relevant local prudential regulation. Payout ratio The cost of equity is the minimum return on investment required by the shareholder. It is the sum of a risk-free rate and an additional spread remunerating the shareholder for the market risk and the volatility of the share price. The cost of capital is based on medium/long term averages of market parameters. PD - Probability of Default Probability of a counterparty entering into a situation of "default" (see item) within a time horizon of one year. PEPP - Pandemic Emergency Purchase Programme Massive new stimulus package from the ECB to support the eurozone economy as a response to the Covid-19 (coronavirus) crisis. PIT - Point in time Calibration type of the credit parameters on a horizon that considers the current economic situation. POCI - Purchased Originated Credit Impaired Credit exposures that are already impaired on initial recognition. Preference shares Capital instruments that associate forms of remuneration tied to market rates with particularly pronounced subordination conditions, such as non-recovery in subsequent years of the interest not paid by the bank and bearing a share of its losses in the event that these produce a significant reduction in the capital requirements. The regulatory authorities set the conditions under which preference shares may be counted among the core capital of banks and banking groups. Private equity Investments in the risk capital of companies, generally unlisted but with high growth potential and the ability to generate constant cash flows. Investments in private equity include a wide range of operations that vary according to both the development phase of the company concerned and the investment techniques used. These techniques include closed-end private equity funds. Purchase companies Vehicle used by “ABCP Conduits - Asset Backed Commercial Paper Conduits” (see item) to purchase the assets to be securitised and subsequently financed by the Conduit vehicle by means of commercial paper. RAF - Risk Appetite Framework Within the ICAAP processes, RAF represents a managerial tool for ensuring the business evolution towards a sustainable healthy growth and steering the long- and short-term strategy. Rating Evaluation of the quality of a company or its issues of debt securities on the basis of the company's financial soundness and prospects. This evaluation is made either by specialist agencies or by the bank on the basis of internal models. Reputational risk Reputational risk is defined as the current or prospective risk to earnings and capital arising from the adverse perception of the image of the financial institution on the part of customers, counterparties (including also debt-holders, market analysts, other relevant parties), shareholders/investors, regulators or employees (stakeholders). Reputational risk is a secondary risk generated as a "knock-on effect" from risk categories, such as credit, market, operational and liquidity risks and all others risks types (e.g., business risk, strategy risk, ESG risk which considers the environmental, social and governance aspects of responsible investments). Reputational risk could also be generated from material events. Retail Customer segment consisting principally of private individuals, self-employed professionals, traders and artisans. RIC IRB calculation model - Integrated Corporate Rating. RIP IRB calculation model - Integrated Private Rating. RISB IRB calculation model - Rating Integrated Small Business (Small Business Integrate Rating). Glossary 836 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION NOPAT - Net Operating Profit After Tax Net Operating Profit after tax and minority interests, adjusted by elements that would not allow to assess the capability to create value through ordinary operations, such as extraordinary expenses and earnings. It represents the share of Group Net Profit produced by typical business activities, gross of the costs of capital. NPE - Non-performing exposures According to EBA Implementing Technical Standards, non-performing exposures are debt instruments and off-balance sheet exposures which satisfy either or both of the following criteria: (i) material exposures which are more than 90 days past-due; (ii) the debtor is assessed as unlikely to pay its credit obligations in full without realisation of collateral, regardless of the existence of any past-due amount or of the number of days past due. Operational risk The risk of losses due to errors, infringements, interruptions, damages caused by internal processes or personnel, systems, or caused by external events. This definition includes legal and compliance risks but excludes strategic and reputational risk. For example, losses arising from the following can be defined as operational: internal or external fraud, employment practices and workplace safety, client claims, products distribution, fines and penalties due to regulation breaches, damages to the company’s physical assets, business disruption and system failures, process management. Option The right, but not the commitment, acquired by the payment of a premium, to buy (call option) or sell (put option) a financial instrument at a given price (strike price) by or at a determined future date (American option/European option). Originator The entity that originated the assets to be securitised or acquired them from others. OTC - Over The Counter Over the counter (OTC) trading consists of the exchange of financial instruments such as shares, bonds, derivatives or goods directly between two counterparties. The OTC markets do not have standardised contracts or buying/selling procedures and are not associated with a set of rules (admissions, controls, obligations of information, etc.) like those that govern the official markets. PACTA - Paris Agreement Capital Transition Assessment Paris Agreement Capital Transition Assessment is a free, open-source methodology and tool, which measures financial portfolio’s alignment with various climate scenarios consistent with the Paris Agreement. Past Due Problematic exposures that, at the reporting date, are more than 90 days past due on any material obligation, as required by the relevant prudential regulation. Past due can be determined either at individual debtor or at single transaction level according to the relevant local prudential regulation. Payout ratio The cost of equity is the minimum return on investment required by the shareholder. It is the sum of a risk-free rate and an additional spread remunerating the shareholder for the market risk and the volatility of the share price. The cost of capital is based on medium/long term averages of market parameters. PD - Probability of Default Probability of a counterparty entering into a situation of "default" (see item) within a time horizon of one year. PEPP - Pandemic Emergency Purchase Programme Massive new stimulus package from the ECB to support the eurozone economy as a response to the Covid-19 (coronavirus) crisis. PIT - Point in time Calibration type of the credit parameters on a horizon that considers the current economic situation. POCI - Purchased Originated Credit Impaired Credit exposures that are already impaired on initial recognition. Preference shares Capital instruments that associate forms of remuneration tied to market rates with particularly pronounced subordination conditions, such as non-recovery in subsequent years of the interest not paid by the bank and bearing a share of its losses in the event that these produce a significant reduction in the capital requirements. The regulatory authorities set the conditions under which preference shares may be counted among the core capital of banks and banking groups. Private equity Investments in the risk capital of companies, generally unlisted but with high growth potential and the ability to generate constant cash flows. Investments in private equity include a wide range of operations that vary according to both the development phase of the company concerned and the investment techniques used. These techniques include closed-end private equity funds. Purchase companies Vehicle used by “ABCP Conduits - Asset Backed Commercial Paper Conduits” (see item) to purchase the assets to be securitised and subsequently financed by the Conduit vehicle by means of commercial paper. RAF - Risk Appetite Framework Within the ICAAP processes, RAF represents a managerial tool for ensuring the business evolution towards a sustainable healthy growth and steering the long- and short-term strategy. Rating Evaluation of the quality of a company or its issues of debt securities on the basis of the company's financial soundness and prospects. This evaluation is made either by specialist agencies or by the bank on the basis of internal models. Reputational risk Reputational risk is defined as the current or prospective risk to earnings and capital arising from the adverse perception of the image of the financial institution on the part of customers, counterparties (including also debt-holders, market analysts, other relevant parties), shareholders/investors, regulators or employees (stakeholders). Reputational risk is a secondary risk generated as a "knock-on effect" from risk categories, such as credit, market, operational and liquidity risks and all others risks types (e.g., business risk, strategy risk, ESG risk which considers the environmental, social and governance aspects of responsible investments). Reputational risk could also be generated from material events. Retail Customer segment consisting principally of private individuals, self-employed professionals, traders and artisans. RIC IRB calculation model - Integrated Corporate Rating. RIP IRB calculation model - Integrated Private Rating. RISB IRB calculation model - Rating Integrated Small Business (Small Business Integrate Rating). Glossary 836 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION NOPAT - Net Operating Profit After Tax Net Operating Profit after tax and minority interests, adjusted by elements that would not allow to assess the capability to create value through ordinary operations, such as extraordinary expenses and earnings. It represents the share of Group Net Profit produced by typical business activities, gross of the costs of capital. NPE - Non-performing exposures According to EBA Implementing Technical Standards, non-performing exposures are debt instruments and off-balance sheet exposures which satisfy either or both of the following criteria: (i) material exposures which are more than 90 days past-due; (ii) the debtor is assessed as unlikely to pay its credit obligations in full without realisation of collateral, regardless of the existence of any past-due amount or of the number of days past due. Operational risk The risk of losses due to errors, infringements, interruptions, damages caused by internal processes or personnel, systems, or caused by external events. This definition includes legal and compliance risks but excludes strategic and reputational risk. For example, losses arising from the following can be defined as operational: internal or external fraud, employment practices and workplace safety, client claims, products distribution, fines and penalties due to regulation breaches, damages to the company’s physical assets, business disruption and system failures, process management. Option The right, but not the commitment, acquired by the payment of a premium, to buy (call option) or sell (put option) a financial instrument at a given price (strike price) by or at a determined future date (American option/European option). Originator The entity that originated the assets to be securitised or acquired them from others. OTC - Over The Counter Over the counter (OTC) trading consists of the exchange of financial instruments such as shares, bonds, derivatives or goods directly between two counterparties. The OTC markets do not have standardised contracts or buying/selling procedures and are not associated with a set of rules (admissions, controls, obligations of information, etc.) like those that govern the official markets. PACTA - Paris Agreement Capital Transition Assessment Paris Agreement Capital Transition Assessment is a free, open-source methodology and tool, which measures financial portfolio’s alignment with various climate scenarios consistent with the Paris Agreement. Past Due Problematic exposures that, at the reporting date, are more than 90 days past due on any material obligation, as required by the relevant prudential regulation. Past due can be determined either at individual debtor or at single transaction level according to the relevant local prudential regulation. Payout ratio The cost of equity is the minimum return on investment required by the shareholder. It is the sum of a risk-free rate and an additional spread remunerating the shareholder for the market risk and the volatility of the share price. The cost of capital is based on medium/long term averages of market parameters. PD - Probability of Default Probability of a counterparty entering into a situation of "default" (see item) within a time horizon of one year. PEPP - Pandemic Emergency Purchase Programme Massive new stimulus package from the ECB to support the eurozone economy as a response to the Covid-19 (coronavirus) crisis. PIT - Point in time Calibration type of the credit parameters on a horizon that considers the current economic situation. POCI - Purchased Originated Credit Impaired Credit exposures that are already impaired on initial recognition. Preference shares Capital instruments that associate forms of remuneration tied to market rates with particularly pronounced subordination conditions, such as non-recovery in subsequent years of the interest not paid by the bank and bearing a share of its losses in the event that these produce a significant reduction in the capital requirements. The regulatory authorities set the conditions under which preference shares may be counted among the core capital of banks and banking groups. Private equity Investments in the risk capital of companies, generally unlisted but with high growth potential and the ability to generate constant cash flows. Investments in private equity include a wide range of operations that vary according to both the development phase of the company concerned and the investment techniques used. These techniques include closed-end private equity funds. Purchase companies Vehicle used by “ABCP Conduits - Asset Backed Commercial Paper Conduits” (see item) to purchase the assets to be securitised and subsequently financed by the Conduit vehicle by means of commercial paper. RAF - Risk Appetite Framework Within the ICAAP processes, RAF represents a managerial tool for ensuring the business evolution towards a sustainable healthy growth and steering the long- and short-term strategy. Rating Evaluation of the quality of a company or its issues of debt securities on the basis of the company's financial soundness and prospects. This evaluation is made either by specialist agencies or by the bank on the basis of internal models. Reputational risk Reputational risk is defined as the current or prospective risk to earnings and capital arising from the adverse perception of the image of the financial institution on the part of customers, counterparties (including also debt-holders, market analysts, other relevant parties), shareholders/investors, regulators or employees (stakeholders). Reputational risk is a secondary risk generated as a "knock-on effect" from risk categories, such as credit, market, operational and liquidity risks and all others risks types (e.g., business risk, strategy risk, ESG risk which considers the environmental, social and governance aspects of responsible investments). Reputational risk could also be generated from material events. Retail Customer segment consisting principally of private individuals, self-employed professionals, traders and artisans. RIC IRB calculation model - Integrated Corporate Rating. RIP IRB calculation model - Integrated Private Rating. RISB IRB calculation model - Rating Integrated Small Business (Small Business Integrate Rating).  Glossary UniCredit · 2021 Annual Report and Accounts 837 ITEM DESCRIPTION RNIME - Risk Not in the Model Engines Framework that provides an estimate on the completeness of the risk factors included in VaR, SVaR and IRC. ROA - Return On Assets Annualised ratio between Net Profit/(Loss) of the year and Total Assets as per IFRS balance sheet. ROAC - Return On Allocated Capital Annualised ratio between the net profit and the average allocated capital. It shows in percentage terms the earning capacity for allocated capital units. A corrective factor is applied to divisional net profit where capitalisation is substantially higher than Group’s target. RoTE - Return on Tangible Equity Annualised ratio between the net profit and the average tangible equity. RoTE - Underlying Annualised ratio between the underlying net profit and the average tangible equity. RWA - Risk Weighted Assets On-balance sheet assets and off-balance sheet assets (derivatives and guarantees) classified and weighted by different coefficients referring to risks, following banking rules issued by local Supervisors (i.e. Banca d’Italia, Bafin, etc.), to calculate solvency ratios. RWEA - Risk Weighted Exposure Amount Risk Weighted Exposure Amount; on-balance sheet assets and off-balance sheet assets (derivatives and guarantees) classified and weighted by different coefficients referring to risks, following banking rules issued by local Supervisors (i.e. Banca d’Italia, Bafin, etc.), to calculate solvency ratios. SBBS - Sovereign bond-backed securities Sovereign bond-backed securities, are securities backed by a diversified portfolio of euro area central government bonds. This is a new financial instrument which has been proposed as a solution to help banks diversify their Sovereign exposures and further weaken the link with their home governments. Securitisation Transfer of a portfolio of assets to an “SPV - Special Purpose Vehicle” (see item) and the issue of securities with various levels of seniority to meet any default by the underlying assets. Securitisations can be: • traditional: method of securitisation whereby transfer of the assets is by means of sale of the portfolio to the “SPV - Special Purpose Vehicle” (see item); • synthetic: method of securitisation whereby the transfer of assets is by means of credit derivatives or similar security enabling the risk of the portfolio to be transferred. Sensitivity The greater or lesser degree of sensitivity with which certain assets or liabilities react to changes in rates or other reference parameters. Sponsor An entity other than the Originator (see item) which sets up and manages an ABCP conduit or other securitisation scheme where assets are acquired from a third entity for securitisation. SPV - Special Purpose Vehicle An entity, partnership, limited company or trust, set up to carry out a set object, such as isolating financial risk or obtaining special regulatory or tax treatment for specific portfolios of financial assets. SPV’s operations are accordingly limited by a set of rules designed for this purpose. In general SPVs’ sponsors (see item) do not hold equity in them. The equity is held by other entities in order to ensure that there is no shareholder relationship with the Sponsor (see item). SPVs are usually bankruptcy-remote, in that their assets cannot be claimed by the creditors of the sponsor, even if the latter becomes insolvent. Stress Test Assessment of bank’ vulnerabilities either in terms of capital or liquidity position in case of possible adverse events, both of an idiosyncratic nature and related to macroeconomic scenarios. Subprime (Residential Mortgages) Although Subprime has no univocal definition, this category includes mortgages granted to borrowers who have had repayment difficulties in the past, e.g. delayed installments, insolvency or bankruptcy, or who are more likely to default than the average due to high loan-to-value and installment-to-income ratios. SVaR - Stressed VaR Stressed VaR is a quantification of exposures to particular extreme losses that can be inflicted to a Bank during market tensions, by modeling the portfolio response conditional on historical data from a (continuous 12-month) period of significant financial stress. Swap A transaction that generally consists of the exchange of financial streams between operators according to different contractual arrangements. In the case of an interest rate swap (IRS), the counterparties exchange payment streams that may or may not be linked to interest rates, calculated on a notional principal amount (for example, one counterparty pays a stream on the basis of a fixed rate, while the other does so on the basis of a variable rate). In the case of a currency swap, the counterparties exchange specific amounts in two different currencies, with these amounts being exchanged back in due course according to predefined arrangements that may concern both the capital (notional) and the streams of interest payments. Tangible Equity Shareholders’ equity (including consolidated profit of the period) less intangible assets (goodwill and other intangibles), less AT1 component; dividend pay-out is accounted for on a cash basis. Tier 1 Capital Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Tier 1 Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. TLAC -Total Loss Absorbing Capacity TLAC represents the indicator of the Total Loss Absorbing Capacity, a new Pillar I requirement established by the Regulation (EU) 2019/876 (CRR2), entered into force on 27 June 2019, for Global Systemically Important Banks (G-SIBs). The TLAC standard requires G-SIBs, to hold a sufficient amount of highly loss absorbing liabilities. TLTRO - Target Long Term Refinancing operations Open market operations conducted by the ECB for the management of interest rates and liquidity in the Eurozone. Total Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Glossary UniCredit · 2021 Annual Report and Accounts 837 ITEM DESCRIPTION RNIME - Risk Not in the Model Engines Framework that provides an estimate on the completeness of the risk factors included in VaR, SVaR and IRC. ROA - Return On Assets Annualised ratio between Net Profit/(Loss) of the year and Total Assets as per IFRS balance sheet. ROAC - Return On Allocated Capital Annualised ratio between the net profit and the average allocated capital. It shows in percentage terms the earning capacity for allocated capital units. A corrective factor is applied to divisional net profit where capitalisation is substantially higher than Group’s target. RoTE - Return on Tangible Equity Annualised ratio between the net profit and the average tangible equity. RoTE - Underlying Annualised ratio between the underlying net profit and the average tangible equity. RWA - Risk Weighted Assets On-balance sheet assets and off-balance sheet assets (derivatives and guarantees) classified and weighted by different coefficients referring to risks, following banking rules issued by local Supervisors (i.e. Banca d’Italia, Bafin, etc.), to calculate solvency ratios. RWEA - Risk Weighted Exposure Amount Risk Weighted Exposure Amount; on-balance sheet assets and off-balance sheet assets (derivatives and guarantees) classified and weighted by different coefficients referring to risks, following banking rules issued by local Supervisors (i.e. Banca d’Italia, Bafin, etc.), to calculate solvency ratios. SBBS - Sovereign bond-backed securities Sovereign bond-backed securities, are securities backed by a diversified portfolio of euro area central government bonds. This is a new financial instrument which has been proposed as a solution to help banks diversify their Sovereign exposures and further weaken the link with their home governments. Securitisation Transfer of a portfolio of assets to an “SPV - Special Purpose Vehicle” (see item) and the issue of securities with various levels of seniority to meet any default by the underlying assets. Securitisations can be: • traditional: method of securitisation whereby transfer of the assets is by means of sale of the portfolio to the “SPV - Special Purpose Vehicle” (see item); • synthetic: method of securitisation whereby the transfer of assets is by means of credit derivatives or similar security enabling the risk of the portfolio to be transferred. Sensitivity The greater or lesser degree of sensitivity with which certain assets or liabilities react to changes in rates or other reference parameters. Sponsor An entity other than the Originator (see item) which sets up and manages an ABCP conduit or other securitisation scheme where assets are acquired from a third entity for securitisation. SPV - Special Purpose Vehicle An entity, partnership, limited company or trust, set up to carry out a set object, such as isolating financial risk or obtaining special regulatory or tax treatment for specific portfolios of financial assets. SPV’s operations are accordingly limited by a set of rules designed for this purpose. In general SPVs’ sponsors (see item) do not hold equity in them. The equity is held by other entities in order to ensure that there is no shareholder relationship with the Sponsor (see item). SPVs are usually bankruptcy-remote, in that their assets cannot be claimed by the creditors of the sponsor, even if the latter becomes insolvent. Stress Test Assessment of bank’ vulnerabilities either in terms of capital or liquidity position in case of possible adverse events, both of an idiosyncratic nature and related to macroeconomic scenarios. Subprime (Residential Mortgages) Although Subprime has no univocal definition, this category includes mortgages granted to borrowers who have had repayment difficulties in the past, e.g. delayed installments, insolvency or bankruptcy, or who are more likely to default than the average due to high loan-to-value and installment-to-income ratios. SVaR - Stressed VaR Stressed VaR is a quantification of exposures to particular extreme losses that can be inflicted to a Bank during market tensions, by modeling the portfolio response conditional on historical data from a (continuous 12-month) period of significant financial stress. Swap A transaction that generally consists of the exchange of financial streams between operators according to different contractual arrangements. In the case of an interest rate swap (IRS), the counterparties exchange payment streams that may or may not be linked to interest rates, calculated on a notional principal amount (for example, one counterparty pays a stream on the basis of a fixed rate, while the other does so on the basis of a variable rate). In the case of a currency swap, the counterparties exchange specific amounts in two different currencies, with these amounts being exchanged back in due course according to predefined arrangements that may concern both the capital (notional) and the streams of interest payments. Tangible Equity Shareholders’ equity (including consolidated profit of the period) less intangible assets (goodwill and other intangibles), less AT1 component; dividend pay-out is accounted for on a cash basis. Tier 1 Capital Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Tier 1 Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. TLAC -Total Loss Absorbing Capacity TLAC represents the indicator of the Total Loss Absorbing Capacity, a new Pillar I requirement established by the Regulation (EU) 2019/876 (CRR2), entered into force on 27 June 2019, for Global Systemically Important Banks (G-SIBs). The TLAC standard requires G-SIBs, to hold a sufficient amount of highly loss absorbing liabilities. TLTRO - Target Long Term Refinancing operations Open market operations conducted by the ECB for the management of interest rates and liquidity in the Eurozone. Total Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Glossary UniCredit · 2021 Annual Report and Accounts 837 ITEM DESCRIPTION RNIME - Risk Not in the Model Engines Framework that provides an estimate on the completeness of the risk factors included in VaR, SVaR and IRC. ROA - Return On Assets Annualised ratio between Net Profit/(Loss) of the year and Total Assets as per IFRS balance sheet. ROAC - Return On Allocated Capital Annualised ratio between the net profit and the average allocated capital. It shows in percentage terms the earning capacity for allocated capital units. A corrective factor is applied to divisional net profit where capitalisation is substantially higher than Group’s target. RoTE - Return on Tangible Equity Annualised ratio between the net profit and the average tangible equity. RoTE - Underlying Annualised ratio between the underlying net profit and the average tangible equity. RWA - Risk Weighted Assets On-balance sheet assets and off-balance sheet assets (derivatives and guarantees) classified and weighted by different coefficients referring to risks, following banking rules issued by local Supervisors (i.e. Banca d’Italia, Bafin, etc.), to calculate solvency ratios. RWEA - Risk Weighted Exposure Amount Risk Weighted Exposure Amount; on-balance sheet assets and off-balance sheet assets (derivatives and guarantees) classified and weighted by different coefficients referring to risks, following banking rules issued by local Supervisors (i.e. Banca d’Italia, Bafin, etc.), to calculate solvency ratios. SBBS - Sovereign bond-backed securities Sovereign bond-backed securities, are securities backed by a diversified portfolio of euro area central government bonds. This is a new financial instrument which has been proposed as a solution to help banks diversify their Sovereign exposures and further weaken the link with their home governments. Securitisation Transfer of a portfolio of assets to an “SPV - Special Purpose Vehicle” (see item) and the issue of securities with various levels of seniority to meet any default by the underlying assets. Securitisations can be: • traditional: method of securitisation whereby transfer of the assets is by means of sale of the portfolio to the “SPV - Special Purpose Vehicle” (see item); • synthetic: method of securitisation whereby the transfer of assets is by means of credit derivatives or similar security enabling the risk of the portfolio to be transferred. Sensitivity The greater or lesser degree of sensitivity with which certain assets or liabilities react to changes in rates or other reference parameters. Sponsor An entity other than the Originator (see item) which sets up and manages an ABCP conduit or other securitisation scheme where assets are acquired from a third entity for securitisation. SPV - Special Purpose Vehicle An entity, partnership, limited company or trust, set up to carry out a set object, such as isolating financial risk or obtaining special regulatory or tax treatment for specific portfolios of financial assets. SPV’s operations are accordingly limited by a set of rules designed for this purpose. In general SPVs’ sponsors (see item) do not hold equity in them. The equity is held by other entities in order to ensure that there is no shareholder relationship with the Sponsor (see item). SPVs are usually bankruptcy-remote, in that their assets cannot be claimed by the creditors of the sponsor, even if the latter becomes insolvent. Stress Test Assessment of bank’ vulnerabilities either in terms of capital or liquidity position in case of possible adverse events, both of an idiosyncratic nature and related to macroeconomic scenarios. Subprime (Residential Mortgages) Although Subprime has no univocal definition, this category includes mortgages granted to borrowers who have had repayment difficulties in the past, e.g. delayed installments, insolvency or bankruptcy, or who are more likely to default than the average due to high loan-to-value and installment-to-income ratios. SVaR - Stressed VaR Stressed VaR is a quantification of exposures to particular extreme losses that can be inflicted to a Bank during market tensions, by modeling the portfolio response conditional on historical data from a (continuous 12-month) period of significant financial stress. Swap A transaction that generally consists of the exchange of financial streams between operators according to different contractual arrangements. In the case of an interest rate swap (IRS), the counterparties exchange payment streams that may or may not be linked to interest rates, calculated on a notional principal amount (for example, one counterparty pays a stream on the basis of a fixed rate, while the other does so on the basis of a variable rate). In the case of a currency swap, the counterparties exchange specific amounts in two different currencies, with these amounts being exchanged back in due course according to predefined arrangements that may concern both the capital (notional) and the streams of interest payments. Tangible Equity Shareholders’ equity (including consolidated profit of the period) less intangible assets (goodwill and other intangibles), less AT1 component; dividend pay-out is accounted for on a cash basis. Tier 1 Capital Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Tier 1 Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. TLAC -Total Loss Absorbing Capacity TLAC represents the indicator of the Total Loss Absorbing Capacity, a new Pillar I requirement established by the Regulation (EU) 2019/876 (CRR2), entered into force on 27 June 2019, for Global Systemically Important Banks (G-SIBs). The TLAC standard requires G-SIBs, to hold a sufficient amount of highly loss absorbing liabilities. TLTRO - Target Long Term Refinancing operations Open market operations conducted by the ECB for the management of interest rates and liquidity in the Eurozone. Total Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Glossary UniCredit · 2021 Annual Report and Accounts 837 ITEM DESCRIPTION RNIME - Risk Not in the Model Engines Framework that provides an estimate on the completeness of the risk factors included in VaR, SVaR and IRC. ROA - Return On Assets Annualised ratio between Net Profit/(Loss) of the year and Total Assets as per IFRS balance sheet. ROAC - Return On Allocated Capital Annualised ratio between the net profit and the average allocated capital. It shows in percentage terms the earning capacity for allocated capital units. A corrective factor is applied to divisional net profit where capitalisation is substantially higher than Group’s target. RoTE - Return on Tangible Equity Annualised ratio between the net profit and the average tangible equity. RoTE - Underlying Annualised ratio between the underlying net profit and the average tangible equity. RWA - Risk Weighted Assets On-balance sheet assets and off-balance sheet assets (derivatives and guarantees) classified and weighted by different coefficients referring to risks, following banking rules issued by local Supervisors (i.e. Banca d’Italia, Bafin, etc.), to calculate solvency ratios. RWEA - Risk Weighted Exposure Amount Risk Weighted Exposure Amount; on-balance sheet assets and off-balance sheet assets (derivatives and guarantees) classified and weighted by different coefficients referring to risks, following banking rules issued by local Supervisors (i.e. Banca d’Italia, Bafin, etc.), to calculate solvency ratios. SBBS - Sovereign bond-backed securities Sovereign bond-backed securities, are securities backed by a diversified portfolio of euro area central government bonds. This is a new financial instrument which has been proposed as a solution to help banks diversify their Sovereign exposures and further weaken the link with their home governments. Securitisation Transfer of a portfolio of assets to an “SPV - Special Purpose Vehicle” (see item) and the issue of securities with various levels of seniority to meet any default by the underlying assets. Securitisations can be: • traditional: method of securitisation whereby transfer of the assets is by means of sale of the portfolio to the “SPV - Special Purpose Vehicle” (see item); • synthetic: method of securitisation whereby the transfer of assets is by means of credit derivatives or similar security enabling the risk of the portfolio to be transferred. Sensitivity The greater or lesser degree of sensitivity with which certain assets or liabilities react to changes in rates or other reference parameters. Sponsor An entity other than the Originator (see item) which sets up and manages an ABCP conduit or other securitisation scheme where assets are acquired from a third entity for securitisation. SPV - Special Purpose Vehicle An entity, partnership, limited company or trust, set up to carry out a set object, such as isolating financial risk or obtaining special regulatory or tax treatment for specific portfolios of financial assets. SPV’s operations are accordingly limited by a set of rules designed for this purpose. In general SPVs’ sponsors (see item) do not hold equity in them. The equity is held by other entities in order to ensure that there is no shareholder relationship with the Sponsor (see item). SPVs are usually bankruptcy-remote, in that their assets cannot be claimed by the creditors of the sponsor, even if the latter becomes insolvent. Stress Test Assessment of bank’ vulnerabilities either in terms of capital or liquidity position in case of possible adverse events, both of an idiosyncratic nature and related to macroeconomic scenarios. Subprime (Residential Mortgages) Although Subprime has no univocal definition, this category includes mortgages granted to borrowers who have had repayment difficulties in the past, e.g. delayed installments, insolvency or bankruptcy, or who are more likely to default than the average due to high loan-to-value and installment-to-income ratios. SVaR - Stressed VaR Stressed VaR is a quantification of exposures to particular extreme losses that can be inflicted to a Bank during market tensions, by modeling the portfolio response conditional on historical data from a (continuous 12-month) period of significant financial stress. Swap A transaction that generally consists of the exchange of financial streams between operators according to different contractual arrangements. In the case of an interest rate swap (IRS), the counterparties exchange payment streams that may or may not be linked to interest rates, calculated on a notional principal amount (for example, one counterparty pays a stream on the basis of a fixed rate, while the other does so on the basis of a variable rate). In the case of a currency swap, the counterparties exchange specific amounts in two different currencies, with these amounts being exchanged back in due course according to predefined arrangements that may concern both the capital (notional) and the streams of interest payments. Tangible Equity Shareholders’ equity (including consolidated profit of the period) less intangible assets (goodwill and other intangibles), less AT1 component; dividend pay-out is accounted for on a cash basis. Tier 1 Capital Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Tier 1 Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. TLAC -Total Loss Absorbing Capacity TLAC represents the indicator of the Total Loss Absorbing Capacity, a new Pillar I requirement established by the Regulation (EU) 2019/876 (CRR2), entered into force on 27 June 2019, for Global Systemically Important Banks (G-SIBs). The TLAC standard requires G-SIBs, to hold a sufficient amount of highly loss absorbing liabilities. TLTRO - Target Long Term Refinancing operations Open market operations conducted by the ECB for the management of interest rates and liquidity in the Eurozone. Total Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Glossary UniCredit · 2021 Annual Report and Accounts 837 ITEM DESCRIPTION RNIME - Risk Not in the Model Engines Framework that provides an estimate on the completeness of the risk factors included in VaR, SVaR and IRC. ROA - Return On Assets Annualised ratio between Net Profit/(Loss) of the year and Total Assets as per IFRS balance sheet. ROAC - Return On Allocated Capital Annualised ratio between the net profit and the average allocated capital. It shows in percentage terms the earning capacity for allocated capital units. A corrective factor is applied to divisional net profit where capitalisation is substantially higher than Group’s target. RoTE - Return on Tangible Equity Annualised ratio between the net profit and the average tangible equity. RoTE - Underlying Annualised ratio between the underlying net profit and the average tangible equity. RWA - Risk Weighted Assets On-balance sheet assets and off-balance sheet assets (derivatives and guarantees) classified and weighted by different coefficients referring to risks, following banking rules issued by local Supervisors (i.e. Banca d’Italia, Bafin, etc.), to calculate solvency ratios. RWEA - Risk Weighted Exposure Amount Risk Weighted Exposure Amount; on-balance sheet assets and off-balance sheet assets (derivatives and guarantees) classified and weighted by different coefficients referring to risks, following banking rules issued by local Supervisors (i.e. Banca d’Italia, Bafin, etc.), to calculate solvency ratios. SBBS - Sovereign bond-backed securities Sovereign bond-backed securities, are securities backed by a diversified portfolio of euro area central government bonds. This is a new financial instrument which has been proposed as a solution to help banks diversify their Sovereign exposures and further weaken the link with their home governments. Securitisation Transfer of a portfolio of assets to an “SPV - Special Purpose Vehicle” (see item) and the issue of securities with various levels of seniority to meet any default by the underlying assets. Securitisations can be: • traditional: method of securitisation whereby transfer of the assets is by means of sale of the portfolio to the “SPV - Special Purpose Vehicle” (see item); • synthetic: method of securitisation whereby the transfer of assets is by means of credit derivatives or similar security enabling the risk of the portfolio to be transferred. Sensitivity The greater or lesser degree of sensitivity with which certain assets or liabilities react to changes in rates or other reference parameters. Sponsor An entity other than the Originator (see item) which sets up and manages an ABCP conduit or other securitisation scheme where assets are acquired from a third entity for securitisation. SPV - Special Purpose Vehicle An entity, partnership, limited company or trust, set up to carry out a set object, such as isolating financial risk or obtaining special regulatory or tax treatment for specific portfolios of financial assets. SPV’s operations are accordingly limited by a set of rules designed for this purpose. In general SPVs’ sponsors (see item) do not hold equity in them. The equity is held by other entities in order to ensure that there is no shareholder relationship with the Sponsor (see item). SPVs are usually bankruptcy-remote, in that their assets cannot be claimed by the creditors of the sponsor, even if the latter becomes insolvent. Stress Test Assessment of bank’ vulnerabilities either in terms of capital or liquidity position in case of possible adverse events, both of an idiosyncratic nature and related to macroeconomic scenarios. Subprime (Residential Mortgages) Although Subprime has no univocal definition, this category includes mortgages granted to borrowers who have had repayment difficulties in the past, e.g. delayed installments, insolvency or bankruptcy, or who are more likely to default than the average due to high loan-to-value and installment-to-income ratios. SVaR - Stressed VaR Stressed VaR is a quantification of exposures to particular extreme losses that can be inflicted to a Bank during market tensions, by modeling the portfolio response conditional on historical data from a (continuous 12-month) period of significant financial stress. Swap A transaction that generally consists of the exchange of financial streams between operators according to different contractual arrangements. In the case of an interest rate swap (IRS), the counterparties exchange payment streams that may or may not be linked to interest rates, calculated on a notional principal amount (for example, one counterparty pays a stream on the basis of a fixed rate, while the other does so on the basis of a variable rate). In the case of a currency swap, the counterparties exchange specific amounts in two different currencies, with these amounts being exchanged back in due course according to predefined arrangements that may concern both the capital (notional) and the streams of interest payments. Tangible Equity Shareholders’ equity (including consolidated profit of the period) less intangible assets (goodwill and other intangibles), less AT1 component; dividend pay-out is accounted for on a cash basis. Tier 1 Capital Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. Tier 1 Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. TLAC -Total Loss Absorbing Capacity TLAC represents the indicator of the Total Loss Absorbing Capacity, a new Pillar I requirement established by the Regulation (EU) 2019/876 (CRR2), entered into force on 27 June 2019, for Global Systemically Important Banks (G-SIBs). The TLAC standard requires G-SIBs, to hold a sufficient amount of highly loss absorbing liabilities. TLTRO - Target Long Term Refinancing operations Open market operations conducted by the ECB for the management of interest rates and liquidity in the Eurozone. Total Capital Ratio Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter.  Glossary 838 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Total own funds Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. TSR - Total Shareholder Return It is the full reward, in terms of capital gain and dividends, that a shareholder gets from holding one share. TTC - Through the cycle Calibration type of the credit parameters on a horizon that considers the entire economic cycle. UCITS - Undertakings for Collective Investment in Transferable Securities This term covers open-end real estate investment funds, both Italian and foreign, and investment companies with variable capital. The latter are joint stock companies that have the sole purpose of collective investment of the assets gathered through a public offer of their own shares. UGRM - UniCredit global Risk Monitor The pool of software applications, IT structure and database used by the Group for the financial risk analysis. Underlying Net Profit The principle behind the “Underlying Net Profit” is to identify the relevant recurring and sustainable profit base of the bank, which is the base for capital distribution. It is quantified excluding the non-operating items impacting the “ordinary business” executed by the Bank, which is expected to be in-line with assumption behind the MYP. Among the main non-operating items, both positive and negative in terms of income statement, it is worth mentioning the disposal of real estate assets, the sale of companies, the restructuring costs, etc. This approach was considered appropriate by the Remuneration Committee for the subsequent proposal to the Board of Directors. Unlikely to Pay The classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any amount (or rate) past due and unpaid. VaR - Value at Risk A measure of the risk of potential loss, under a given level of confidence and time horizon, which could occur on a position or a portfolio. Warehousing A stage in the preparation of a securitisation transaction whereby an “SPV - Special Purpose Vehicle” (see item) acquires assets for a certain period of time until it reaches a sufficient quantity to be able to issue an ABS. Glossary 838 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Total own funds Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. TSR - Total Shareholder Return It is the full reward, in terms of capital gain and dividends, that a shareholder gets from holding one share. TTC - Through the cycle Calibration type of the credit parameters on a horizon that considers the entire economic cycle. UCITS - Undertakings for Collective Investment in Transferable Securities This term covers open-end real estate investment funds, both Italian and foreign, and investment companies with variable capital. The latter are joint stock companies that have the sole purpose of collective investment of the assets gathered through a public offer of their own shares. UGRM - UniCredit global Risk Monitor The pool of software applications, IT structure and database used by the Group for the financial risk analysis. Underlying Net Profit The principle behind the “Underlying Net Profit” is to identify the relevant recurring and sustainable profit base of the bank, which is the base for capital distribution. It is quantified excluding the non-operating items impacting the “ordinary business” executed by the Bank, which is expected to be in-line with assumption behind the MYP. Among the main non-operating items, both positive and negative in terms of income statement, it is worth mentioning the disposal of real estate assets, the sale of companies, the restructuring costs, etc. This approach was considered appropriate by the Remuneration Committee for the subsequent proposal to the Board of Directors. Unlikely to Pay The classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any amount (or rate) past due and unpaid. VaR - Value at Risk A measure of the risk of potential loss, under a given level of confidence and time horizon, which could occur on a position or a portfolio. Warehousing A stage in the preparation of a securitisation transaction whereby an “SPV - Special Purpose Vehicle” (see item) acquires assets for a certain period of time until it reaches a sufficient quantity to be able to issue an ABS. Glossary 838 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Total own funds Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. TSR - Total Shareholder Return It is the full reward, in terms of capital gain and dividends, that a shareholder gets from holding one share. TTC - Through the cycle Calibration type of the credit parameters on a horizon that considers the entire economic cycle. UCITS - Undertakings for Collective Investment in Transferable Securities This term covers open-end real estate investment funds, both Italian and foreign, and investment companies with variable capital. The latter are joint stock companies that have the sole purpose of collective investment of the assets gathered through a public offer of their own shares. UGRM - UniCredit global Risk Monitor The pool of software applications, IT structure and database used by the Group for the financial risk analysis. Underlying Net Profit The principle behind the “Underlying Net Profit” is to identify the relevant recurring and sustainable profit base of the bank, which is the base for capital distribution. It is quantified excluding the non-operating items impacting the “ordinary business” executed by the Bank, which is expected to be in-line with assumption behind the MYP. Among the main non-operating items, both positive and negative in terms of income statement, it is worth mentioning the disposal of real estate assets, the sale of companies, the restructuring costs, etc. This approach was considered appropriate by the Remuneration Committee for the subsequent proposal to the Board of Directors. Unlikely to Pay The classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any amount (or rate) past due and unpaid. VaR - Value at Risk A measure of the risk of potential loss, under a given level of confidence and time horizon, which could occur on a position or a portfolio. Warehousing A stage in the preparation of a securitisation transaction whereby an “SPV - Special Purpose Vehicle” (see item) acquires assets for a certain period of time until it reaches a sufficient quantity to be able to issue an ABS. Glossary 838 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Total own funds Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. TSR - Total Shareholder Return It is the full reward, in terms of capital gain and dividends, that a shareholder gets from holding one share. TTC - Through the cycle Calibration type of the credit parameters on a horizon that considers the entire economic cycle. UCITS - Undertakings for Collective Investment in Transferable Securities This term covers open-end real estate investment funds, both Italian and foreign, and investment companies with variable capital. The latter are joint stock companies that have the sole purpose of collective investment of the assets gathered through a public offer of their own shares. UGRM - UniCredit global Risk Monitor The pool of software applications, IT structure and database used by the Group for the financial risk analysis. Underlying Net Profit The principle behind the “Underlying Net Profit” is to identify the relevant recurring and sustainable profit base of the bank, which is the base for capital distribution. It is quantified excluding the non-operating items impacting the “ordinary business” executed by the Bank, which is expected to be in-line with assumption behind the MYP. Among the main non-operating items, both positive and negative in terms of income statement, it is worth mentioning the disposal of real estate assets, the sale of companies, the restructuring costs, etc. This approach was considered appropriate by the Remuneration Committee for the subsequent proposal to the Board of Directors. Unlikely to Pay The classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any amount (or rate) past due and unpaid. VaR - Value at Risk A measure of the risk of potential loss, under a given level of confidence and time horizon, which could occur on a position or a portfolio. Warehousing A stage in the preparation of a securitisation transaction whereby an “SPV - Special Purpose Vehicle” (see item) acquires assets for a certain period of time until it reaches a sufficient quantity to be able to issue an ABS. Glossary 838 2021 Annual Report and Accounts · UniCredit ITEM DESCRIPTION Total own funds Refer to the content reported in the UniCredit Group Disclosure (Pillar III) in the Own Funds chapter. TSR - Total Shareholder Return It is the full reward, in terms of capital gain and dividends, that a shareholder gets from holding one share. TTC - Through the cycle Calibration type of the credit parameters on a horizon that considers the entire economic cycle. UCITS - Undertakings for Collective Investment in Transferable Securities This term covers open-end real estate investment funds, both Italian and foreign, and investment companies with variable capital. The latter are joint stock companies that have the sole purpose of collective investment of the assets gathered through a public offer of their own shares. UGRM - UniCredit global Risk Monitor The pool of software applications, IT structure and database used by the Group for the financial risk analysis. Underlying Net Profit The principle behind the “Underlying Net Profit” is to identify the relevant recurring and sustainable profit base of the bank, which is the base for capital distribution. It is quantified excluding the non-operating items impacting the “ordinary business” executed by the Bank, which is expected to be in-line with assumption behind the MYP. Among the main non-operating items, both positive and negative in terms of income statement, it is worth mentioning the disposal of real estate assets, the sale of companies, the restructuring costs, etc. This approach was considered appropriate by the Remuneration Committee for the subsequent proposal to the Board of Directors. Unlikely to Pay The classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the presence of any amount (or rate) past due and unpaid. VaR - Value at Risk A measure of the risk of potential loss, under a given level of confidence and time horizon, which could occur on a position or a portfolio. Warehousing A stage in the preparation of a securitisation transaction whereby an “SPV - Special Purpose Vehicle” (see item) acquires assets for a certain period of time until it reaches a sufficient quantity to be able to issue an ABS.  UniCredit · 2021 Annual Report and Accounts 839 UniCredit · 2021 Annual Report and Accounts 839 UniCredit · 2021 Annual Report and Accounts 839 UniCredit · 2021 Annual Report and Accounts 839 UniCredit · 2021 Annual Report and Accounts 839  840 2021 Annual Report and Accounts · UniCredit 840 2021 Annual Report and Accounts · UniCredit 840 2021 Annual Report and Accounts · UniCredit 840 2021 Annual Report and Accounts · UniCredit 840 2021 Annual Report and Accounts · UniCredit  Contacts UniCredit · 2021 Annual Report and Accounts 841 Contacts UniCredit S.p.A. Head Office in Milan Piazza Gae Aulenti 3 - Tower A 20154 Milano +39 02 88 62.1 Media Relations: E-mail: mediarelations@unicredit.eu Investor Relations: Tel. +39 02 88621028; e-mail: investorrelations@unicredit.eu Contacts UniCredit · 2021 Annual Report and Accounts 841 Contacts UniCredit S.p.A. Head Office in Milan Piazza Gae Aulenti 3 - Tower A 20154 Milano +39 02 88 62.1 Media Relations: E-mail: mediarelations@unicredit.eu Investor Relations: Tel. +39 02 88621028; e-mail: investorrelations@unicredit.eu Contacts UniCredit · 2021 Annual Report and Accounts 841 Contacts UniCredit S.p.A. Head Office in Milan Piazza Gae Aulenti 3 - Tower A 20154 Milano +39 02 88 62.1 Media Relations: E-mail: mediarelations@unicredit.eu Investor Relations: Tel. +39 02 88621028; e-mail: investorrelations@unicredit.eu Contacts UniCredit · 2021 Annual Report and Accounts 841 Contacts UniCredit S.p.A. Head Office in Milan Piazza Gae Aulenti 3 - Tower A 20154 Milano +39 02 88 62.1 Media Relations: E-mail: mediarelations@unicredit.eu Investor Relations: Tel. +39 02 88621028; e-mail: investorrelations@unicredit.eu Contacts UniCredit · 2021 Annual Report and Accounts 841 Contacts UniCredit S.p.A. Head Office in Milan Piazza Gae Aulenti 3 - Tower A 20154 Milano +39 02 88 62.1 Media Relations: E-mail: mediarelations@unicredit.eu Investor Relations: Tel. +39 02 88621028; e-mail: investorrelations@unicredit.eu Cov er and introduction creativ e def inition: Message S.p.A. S orter pag es creativ e def inition: Message S.p.A. D esig n, g raph ic dev elopm ent and production: UniCredit S.p.A. M ay 2022 UniCredit has chosen not to print official copies of this report, leading by example in our efforts to protect the environment. Please view the digital versions of the report below, available at the following links: https://www.unicreditgroup.eu/en/investors/financial-reporting/financial-reports.html https://annualreport.unicredit.eu/en unicreditgroup.eu 

Continue reading text version or see original annual report in PDF format above